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Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Annual Report for the Funds for the period ended March 31, 2019. During the reporting period, overall assets across the complex remained stable near $80 billion as inflows and price appreciation early in 2019 approximately offset the effects of rising rates and rebalancing activity over 2018.

After a summer characterized by an impressive equity and corporate bond rally, a harsh financial winter blew in over the close of 2018, as investment markets were whipsawed by investor concerns regarding slowing global growth, trade deterioration, and policy uncertainty and volatility spiked to further dampen the mood of investors who faced a liquidity-constrained environment at year-end. Indeed, the final trading months of 2018 reflected re-priced expectations, as the defining feature of this cycle – central bank support – continued to be withdrawn with the Federal Open Market Committee’s (FOMC) ninth rate hike since 2015. While this move was largely anticipated for the Fed’s December meeting, concerns about the economic outlook and significant late-year market volatility led many investors to expect the Fed to pause rate hikes in 2019, even as the Fed itself maintained a tightening bias. Ultimately, this mismatch in expectations between the market and the Fed proved to be a foreshadowing event, as it took only a few days into 2019 for a dovish pivot to change sentiment. Following Fed Chair Powell’s January 3rd “low inflation” and “patient” comments, the FOMC meeting concluded later in the month with an unchanged funds rate and substantially softened messaging, suppressing volatility and providing cover for higher valuations. The runway clear, risk assets ended the first quarter in strong positive territory, resulting in what was nearly a round trip in spreads and equity markets.

To the matter of growth, first for the U.S., as the effects of fiscal stimulus from tax cuts have abated, several additional drags - particularly the government shutdown – have the potential to slow down economic expansion. Notably, leading indicators such as manufacturing new orders, building permits and consumer expectations suggested weakening, while other downside signals included a flat-to-inverted yield curve and trend declines in more economically and interest rate sensitive sectors such as housing and auto sales. (The housing market slowdown was not recent as it showed signs of cooling over the course of 2018 as rates pushed higher from September 2017 through much of the following 13 months, translating into negative prints for housing starts and home sales on affordability concerns, i.e., years of housing price appreciation with higher financing costs layered on.) Globally speaking, growth concerns reverberated as Eurozone manufacturing data disappointed, Chinese growth faded, and the OECD once again trimmed its forecast for worldwide economic expansion in 2019 to 3.3% from 3.5%. Not atypically, other global central banks took their cues from the Fed, highlighted most prominently by an accommodative redirection from the European Central Bank (ECB) that pushed back the expected timing of their first hike to 2020 and announced a new round of targeted long-term refinancing operations to provide additional funding to banks.

Given the Fed’s transmitted pause to hikes and the resulting calm (and then some) to the markets, the yield curve flattened considerably on a year-over-year basis, with three-month T-bills 68 bps higher in contrast with the 33 and 16 bps decline for 10-Year and 30-Year Treasury yields, respectively. The decrease in intermediate and long yields delivered positive total returns across fixed income markets during the twelve-month period, as reflected in a 4.6% gain for the Bloomberg Barclays Aggregate Index with mixed spread movement resulting in 12 bps of positive excess returns relative to U.S. Treasuries. Corporate credit ended the period in strong positive territory despite volatility in December and ultimately posted a roughly 4.9% gain for the period, led by REITS, midstream

energy, banking and communications credits. Similarly, high yield posted an impressive 5.9% total return for the one-year period notwithstanding a fourth quarter that saw spreads widen out over 200 bps. Securitized products also fared well, though trailed corporate credit on a duration-adjusted basis. Commercial mortgage-backed securities (CMBS) led, gaining 5.4%, with particularly strong performance from non-agency CMBS. Meanwhile, asset-backed securities (ABS) and non-agency mortgage-backed securities (MBS) also remediated from late 2018 volatility and continued to post consistent, positive returns given benign fundamentals. Agency MBS performance, meanwhile, was mixed within the coupon stack, as performance was tempered by negative technical factors. In particular, the Fed’s reduced purchases of agency MBS has had a negative impact on the To Be Announced (TBA) market, as the worst to deliver bonds are no longer being purchased by the Fed, depressing TBAs versus specified pools, while further weakness stemmed from uncertainty regarding implementation of the single security platform.

The Fed’s surprisingly dovish shift to start the year effectively signaled that this might just be the end of the hiking cycle. While the Fed may think they are in a holding pattern and will take future actions based on incoming economic data, their recent capitulation to the markets has yet again demonstrated that markets may dictate the Fed’s future course of action more than the Fed itself lets on. Meanwhile, the inverted yield curve demonstrates that bond investors have a distinctively cautious view of future growth, which stands in stark contrast with the heady equity market rally of Q1. Regardless of the signaling effects, an inverted or flat curve weighs on banks’ willingness to extend credit as net interest margins are pressured, limiting credit creation on a go-forward basis and exacerbating liquidity conditions. Outside of the domestic concerns, there are numerous global sources of volatility with few identifiable catalysts to drive positive momentum. Considering these factors, we believe that fixed income valuations have not fully priced in long-term fundamentals and underwriting these potential risks remains paramount to the investment strategy. Echoing a theme of the past several quarters, credit conditions and pricing remain decidedly late cycle.

Data sources for the discussion above include Barclays, Bloomberg, JPMorgan and Merrill Lynch. Effective November 27, 2017, BofAML Indices were rebranded to ICE BofAML.

The performance data presented below represents past performance and is no guarantee of future results. Total returns include reinvestment of dividends and distributions. Current performance may be lower or higher than the performance data presented. Performance data current to the most recent month end is available on the Funds’ website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in a Fund, when redeemed, may be worth more or less than its original purchase cost.

The MetWest AlphaTrak 500 Fund (“Fund”) gained 9.93% (net of fees) for the one year period ending March 31, 2019, while the S&P 500 Index (“Index”) returned 9.50%. With U.S. Treasury yields 2-Year and beyond falling over the period, the duration of the Fund at 0.62 years benefited performance. On a sector basis, the allocation to short corporate credit, which outpaced comparable Treasuries by over 100 bps, boosted returns, with banking, utilities, and consumer non-cyclical issues particularly additive. Finally, the allocation to securitized products also rewarded performance, with CMBS and ABS supported by favorable supply/demand technicals and a healthy consumer base buoyed be a strong job market while non-agency MBS continued to be sustained by improving fundamentals.

Overall sector positioning remains defensive, with corporate credit emphasizing sectors such as financials, consumer non-cyclicals, and utilities, though we will continue to look for opportunities to add exposure as spreads widen toward median levels. Despite aggressive underwriting in certain sectors of the market, and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return. Non-agency MBS continues to present attractive risk-adjusted return potential despite a shrinking market, while a small allocation to agency MBS is centered on floating rate CMOs given relatively stable duration profiles. Super senior ABS and CMBS markets are still attractive fundamentally, but tighter spreads have made the sectors less compelling. The ABS allocation favors more robust structures such as government guaranteed student loans while the non-agency CMBS allocation continues to emphasize seasoned issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS.

Since its inception on June 29, 2018, the MetWest Corporate Bond Fund – I Class (“Fund”) gained 7.95%, outpacing the return of the Bloomberg Barclays U.S. Corporate Index (“Index”) by 198 bps. Outperformance was primarily driven by favorable relative positioning, particularly the overweight to financials versus the benchmark’s allocation as financials led the Corporate universe over this period. Insurance and REITs, both an emphasis in the Fund, outpaced the Index, while further contributions came from the overweight to communications. Additionally, the underweight to most industrial sectors benefitted relative returns as significant widening in the fourth quarter resulted in underperformance versus the Index for many of these sectors over the period. Outside of the corporate space, the allocation to CMBS was a small drag as the sector trailed corporates on a duration-adjusted basis. Meanwhile, the duration position of the Fund has been maintained slightly longer than the Index, ending the period 0.1 years long. With Treasury rates beyond 1-Year maturities falling, this longer than Index duration position has helped relative performance.

While recent market volatility afforded some opportunities to adjust positioning on improved valuations, the Fund remains conservative, emphasizing higher quality and non-cyclical parts of the corporate market, and senior areas of securitized credit markets. Additionally, given our view on the fair value of interest rates, duration remains slightly long relative to the Index. In the corporate sector, small yield premiums and historically high leverage influence our preference for regulated sectors like utilities and U.S. financials, with an emphasis on REIT and insurance credits that offer attractive long-term fundamentals and strong covenants, and electric utilities with solid asset coverage. Exposure to industrial credit remains conservative, focused on high quality, less risk sensitive names with stable cash flows and strong balance sheets. Although positioning reflects some caution, we continue to look for attractive relative value opportunities across a wide variety of sectors as we actively manage the Fund. Despite aggressive underwriting in certain sectors of the market, and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return. In particular, the Fund had a small allocation to floating rate agency CMOs given relatively stable duration profiles, and senior high quality commercial MBS.

¹Non-annualized. Cumulative return for the Fund during the period of June 29, 2018 through March 31, 2019.

The MetWest Flexible Income Fund (“Fund”) incepted on November 30, 2018 and gained 10.24% (net of fees) since inception, outpacing the Bloomberg Barclays U.S. Aggregate Bond Index (“Index”) by over 540 bps. Outperformance of the Fund was primarily driven by issue selection among securitized products, particularly non-agency CMBS which outpaced duration-matched Treasuries by 105 bps over the period as the sector benefited from favorable supply/demand technicals. Non-agency MBS also boosted the Fund’s relative performance, especially those backed by subprime collateral, as the sector continued to benefit from improving fundamentals. Corporate issue selection further rewarded Fund performance, particularly names in banking and REITS which were among the best performing in the Index on a duration-adjusted basis. However, the Fund’s shorter-than-Index duration profile weighed on performance as Treasury yields 2-Year and beyond fell.

Overall sector positioning remains defensive, with corporate credit emphasizing regulated financials such as banking and REITS, and we will continue to look for opportunities to add exposure as spreads widen toward median levels. Despite aggressive underwriting in certain sectors of the market, and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return. Non-agency MBS presents attractive risk-adjusted return potential despite a shrinking market. Finally, super senior ABS and CMBS markets are still solid fundamentally, but tighter spreads have made the sectors less compelling. Within CMBS, the emphasis on non-agency CMBS favors seasoned issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS. ABS bonds held in the Fund favor federally guaranteed student loans.

¹Non-annualized. Cumulative return for the Fund during the period of November 30, 2018 through March 31, 2019.

For the one year period ending March 31, 2019, the MetWest Floating Rate Bond Fund – I Class (“Fund”) returned 3.03% (net of fees), modestly outpacing the S&P/LSTA Leveraged Loan Index (“Index”) by 6 bps. Defensive positioning maintained by the Fund weighed on performance during the earlier part of the year as assets with more market risk outperformed, led by commodity-related sectors which were further buoyed by a rally in oil prices due to supply disruptions and tensions between Iran and the U.S. However, as volatility resurfaced toward the end of 2018, the Fund’s conservative positioning rewarded performance. The overweight to communications, healthcare, packaging, and gaming contributed the most to outperformance over the period while the underweight to consumer durables and manufacturing further benefited relative returns as the former came under pressure due to the way consumers buy products while the latter was adversely impacted by global trade concerns. Partially offsetting the gains was the underweight to retail, which was among the best performing in the Index owing to a solid consumer base sustained by a favorable job market. Finally, the Fund’s higher quality emphasis modestly detracted as lower quality outperformed over the period, likely a function of higher quality loans (which are often more liquid) serving as currency to meet fund redemptions toward the end of 2018.

Overall sector positioning remains defensive, emphasizing higher quality and non-cyclical industries such as healthcare, packaging, and gaming, and we will continue to look for opportunities to add exposure as spreads widen toward median levels. Rising rate concerns over the early part of the period drove inflows and the abatement of those fears following the dovish pivot by the Fed has led to outflows from the asset class toward the latter part of the period. Outflows from the loans universe and moderated CLO loan demand had created challenges for the sector, though crossover high yield investors helped to stabilize demand for loans while a lack of new issuance should provide a technical tailwind for the sector going forward.

The MetWest High Yield Bond Fund – I Class (“Fund”) gained 5.72% (net of fees) for the one-year period ended March 31, 2019, trailing the return of the Bloomberg Barclays High Yield 2% Issuer Capped Index by just over 20 bps. While the Fund was able to post considerable outperformance in the fourth quarter amid market volatility, this was offset by a reversal in risk sentiment to start the new year, as high yield credit spreads took nearly a round trip from December wides. Within the Fund’s sector allocation, an overweight to communications was additive, particularly the emphasis on strong performing wireless and cable credits, though the underweight exposure to supermarkets and electric utilities was a drag given their impressive 13.5% and 6.1% positive excess returns over duration-matched Treasuries. An additional drag on performance came in the form of exposure to certain issues that experienced price weakness during the period, namely Homer City Holdings. The overall up-in-quality emphasis ultimately was a positive for the full year period, as CCC-rated credits did not remediate into the start of the year to the same extent as BBs, indicating that although investors remain yield-hungry, investor unease may remain under the services as higher default risk in lower quality tiers is priced in. Finally, the Fund’s duration profile, which was extended the period from nine-tenths of a year short relative to the Index to three-tenths of a year short relative to the Index, weighed on performance amid the rise in rates.

After a brief bout of volatility, high yield spreads snapped back, and now are trading back to levels representative of the general valuation regime which existed for most of 2018. The aggregate metrics belie the larger catalyst of the rally – the move lower in interest rates, not any overwhelming improvement in fundamentals. Given the significant buildup in leverage and erosion of investor protections, valuations appear expensive overall, though diligent investors can find pockets of value in particular issuers and sectors and we will remain vigilant for those opportunities utilizing a credit-intensive, rigorous bottom-up approach. This disciplined approach to portfolio construction is reflected in the Fund’s focus on higher quality, better-collateralized areas of the market, while the introduction of risk into the portfolio is done in an extremely measured and selective way. Industrials continue to represent a relative underweight, with an emphasis on non-cyclical sectors that have less economically sensitive business drivers, focusing on select companies with solid asset coverage and stable cash flows within lower beta packaging, transportation, communication, food & beverage, and midstream energy sectors. Finally, the cash position remains elevated to preserve ample capacity to deploy capital as opportunities emerge.

The MetWest Intermediate Bond Fund – I Class (“Fund”) gained 4.29% (net of fees) for the one year period ended March 31, 2019, modestly outpacing the Bloomberg Barclays Intermediate U.S. Government/Credit Index (“Index”) which gained 4.24%. As rates marched higher until early November 2018, the duration of the Fund was extended in a disciplined fashion, dollar cost averaging the position to 0.4 years long by the end of 2018 (after starting the year 0.3 years short of the index) on the better yield compensation, before returning to 0.1 year long at the end of March 2019. As such, the longer-than-Index duration profile of the Fund in the latter half of the period contributed to relative performance as Treasury rates fell in late 2018 and early 2019. Additionally, the relative underweight to corporate credit, which widened over the period largely due to volatility during the fourth quarter of 2018, contributed to outperformance. The underweight to industrial credit was especially beneficial, particularly among consumer cyclicals and autos, which were among the worst performing sectors. As relative yields increased in more risk-sensitive sectors during the fourth quarter of 2018, valuations became more attractive and select credits were added across a variety of sectors including autos and manufacturing. These additions resulted in a slight drag late in the year as spreads continued to widen, but the underperformance was offset in Q1 2019 as spreads remediated. Outside of the corporate space, the impact from securitized products was minimal; the position in legacy non-agency residential MBS contributed on the margin as the sector widened in sympathy with credit markets in late 2018, but snapped back nicely in the first quarter of 2019. Additionally, the overweight to asset-backed securities and commercial MBS contributed, but more defensive issue selection (focused on higher quality more senior positions) detracted somewhat as the market’s appetite for risk recovered late in the period.

Overall sector positioning remains defensive, with corporate credit emphasizing defensive sectors like utilities, pharmaceuticals, communications and non-profit hospitals, though we will continue to look for opportunities to add exposure as spreads widen toward median levels. Despite aggressive underwriting in certain sectors of the market, and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return. Non-agency MBS continues to present attractive risk-adjusted return potential despite a shrinking market. Agency MBS offers better liquidity characteristics, but there is risk as the Fed continues to shrink its position. Finally, super senior ABS and CMBS markets are still solid fundamentally, but tighter spreads have made the sectors less compelling. Within CMBS, the emphasis remains on agency-backed issues, though exposure was trimmed somewhat in favor of better opportunities. The non-agency CMBS allocation continues to emphasize seasoned issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS.

Since its inception on June 29, 2018, the MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 9.20%, outpacing the return of the Bloomberg Barclays U.S. Intermediate Credit Index (“Index”) by 412 bps. Outperformance was primarily driven by favorable relative positioning, particularly the overweight within financials to insurance and REITs, which outpaced the Index, while further contributions came from the overweight to communications. Additionally, the underweight to most industrial sectors benefitted relative returns as significant widening in the fourth quarter resulted in underperformance versus the Index for many of these sectors over the period. Outside of the corporate space, the allocation to securitized products also contributed. Outside of corporates, further contributions came from issue selection among commercial MBS. Finally, the duration position of the Fund was maintained at approximately 0.3 to 0.4 years longer than the Index throughout the second half of 2018, which benefitted returns as intermediate and long rates fell. The position was shortened somewhat in the first quarter of 2019 to 0.1 years longer than the Index, which also contributed to relative returns, though to a lesser degree, as Treasury rates continued to fall.

While recent market volatility afforded some opportunities to adjust positioning on improved valuations, the Fund remains conservative, emphasizing higher quality and non-cyclical parts of the corporate market, and senior areas of securitized credit markets. Additionally, given our view on the fair value of interest rates, duration remains slightly long relative to the Index. In the corporate sector, small yield premiums and historically high leverage influence our preference for regulated sectors like U.S. financials, with an overweight to REIT and insurance credits that offer attractive long-term fundamentals and strong covenants. Exposure to industrial credit remains conservative, focused on high quality, less risk sensitive names with stable cash flows and strong balance sheets. Although positioning reflects some caution, we continue to look for attractive relative value opportunities across a wide variety of sectors as we actively manage the Fund. Despite aggressive underwriting in certain sectors of the market, and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return. In particular, the Fund had a small allocation to floating rate non-agency MBS, agency CMOs given relatively stable duration profiles, senior high quality commercial MBS, and government guaranteed student loan ABS, though these areas may be trimmed in favor of other opportunities.

¹Non-annualized. Cumulative return for the Fund during the period of June 29, 2018 through March 31, 2019.

The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 3.03% (net of fees) for the one year period ending March 31, 2019, outpacing the ICE BofAML 1-3 Year U.S. Treasury Index (“Index”) by over 30 bps. Outperformance was primarily driven by the allocation to corporate credit as short corporate bonds outperformed Treasuries by over 100 bps. Financials, an emphasis in the Fund, was the best performing short corporate sector, with banking and REIT names particularly additive. Other top contributors to Fund returns were holdings in the consumer non-cyclical and communications sectors. Securitized products also benefitted returns, including the allocation to floating rate agency CMOs and non-agency MBS, which held up well against rising intermediate and long rates, while ABS and CMBS outperformed Treasuries, adding to performance on the margin. Meanwhile, as rates marched higher over 2018 until early November, the duration of the Fund was extended in a disciplined fashion, dollar cost averaging the position from 0.2 years long the Index at the start of the period to 0.5 years long at the end of 2018 on better yield compensation, and then back to 0.2 years long by the end of March 2019. This position was beneficial in the fourth quarter as rates rallied, though was ultimately a drag for the year as front-end Treasury yields were higher year-over-year.

Overall sector positioning remains defensive, with corporate credit emphasizing regulated financials and defensive sectors like utilities, pharmaceuticals, communications and non-profit hospitals, and we will continue to look for opportunities to add exposure as spreads widen toward median levels. Despite aggressive underwriting in certain sectors of the market, and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return. Non-agency MBS continues to present attractive risk-adjusted return potential despite a shrinking market. Agency MBS offers better liquidity characteristics, but there is risk as the Fed continues to shrink its position. Super senior ABS and CMBS markets are still solid fundamentally, but tighter spreads have made the sectors less compelling. Within CMBS, the emphasis remains on agency-backed issues, though exposure may be trimmed somewhat in favor of better opportunities. The non-agency CMBS allocation continues to emphasize seasoned issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS. ABS bonds held in the Fund favor federally guaranteed student loans, with modest exposure to AAA-rated CLOs that offer value. Finally, the duration of the Fund remains somewhat long the Index at 2.07 years.

The MetWest Strategic Income Bond Fund – I Class (“Fund”) gained 3.41% (net of fees) for the one year period ending March 31, 2019, while the ICE BofAML 3-Month U.S. Treasury Bill Index (“Index”) +200 bps returned 4.16%. Positive Fund performance, despite trailing the above-market return target, was bolstered by the allocation to non-agency MBS amid solid supply/demand technicals and favorable housing fundamentals. CMBS was another notable contributor to returns, especially agency issues with the sector offering high quality and yield advantage over Treasuries, while ABS continued to benefit from a consumer base supported by a strong job market. In the credit sector, short banking issues and consumer non-cyclicals such as pharmaceuticals and healthcare boosted returns, with issue selection among communications and midstream energy providing additional gains. Non-U.S. sovereigns also contributed as the sector outpaced comparable Treasuries by over 100 bps owing chiefly to continued support from global central banks. In addition, the position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap, was beneficial though the exposure has been trimmed as the yield advantage over U.S. T-bills has diminished. Finally, the Fund’s duration position of approximately 2.0 years added to returns as rates fell.

Overall sector positioning remains defensive, with corporate credit emphasizing defensive sectors like consumer non-cyclicals such as healthcare and short financials with limited re-leveraging risk and reasonable yield premiums, though we will continue to look for opportunities to add exposure as spreads widen toward median levels. A modest allocation to select high yield corporate and emerging market bonds is also maintained. Despite aggressive underwriting in certain sectors of the market, and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return. Non-agency MBS continues to present attractive risk-adjusted return potential despite a shrinking market. Finally, super senior ABS and CMBS markets are still solid fundamentally, but tighter spreads have made the sectors less compelling. Within CMBS, the emphasis remains on agency-backed issues, though exposure was trimmed somewhat in favor of better opportunities. The non-agency CMBS allocation continues to emphasize seasoned issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS.

M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX), Plan-Class (MWTSX)

The MetWest Total Return Bond Fund – I Class (“Fund”) gained 4.72% (net of fees) for the one year period ended March 31, 2019, outpacing the Bloomberg Barclays U.S. Aggregate Bond Index (“Index”) by 24 basis points. As rates marched higher until early November 2018, the duration of the Fund was extended in a disciplined fashion, dollar cost averaging the position from neutral to the Index at the start of the period (and 0.3 years short of the index at the start of 2018) to 0.1 years long at the end on the better yield compensation. As such, the longer-than-Index duration profile of the Fund in the latter half of the period contributed to relative performance as Treasury rates fell in late 2018 and early 2019. Additionally, the relative underweight to corporate credit, which widened over the period largely due to volatility during the fourth quarter of 2018, contributed to outperformance. The underweight to industrial credit was especially beneficial, particularly among basic industries, autos, building materials, tobacco, and oil field services, which were among the worst performing sectors. As relative yields increased in more risk-sensitive sectors during the fourth quarter of 2018, valuations became more attractive and select credits were added across a variety of sectors including autos and manufacturing. These additions resulted in a slight drag late in the year as spreads continued to widen, but the underperformance was offset in Q1 2019 as spreads remediated. Meanwhile, an overweight to outperforming financials such as banking and REITs contributed as well. Outside of the corporate space, the impact from securitized products was minimal; the position in legacy non-agency residential MBS contributed on the margin as the sector widened in sympathy with credit markets in late 2018, but snapped back nicely in the first quarter of 2019. Additionally, the overweight to asset-backed securities and commercial MBS contributed, but more defensive issue selection (focused on higher quality more senior positions) detracted somewhat as the market’s appetite for risk recovered late in the period.

The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 2.53% (net of fees) for the one year period ending March 31, 2019, outpacing the ICE BofAML 1-Year U.S. Treasury Note Index (“Index”) by 9 bps. Outperformance was primarily driven by the allocation to corporate credit as short corporate bonds outperformed Treasuries by over 100 bps. Financials, an emphasis in the Fund, was the best performing short corporate sector, with banking and REIT names particularly additive. Other contributors to Fund returns included holdings in the consumer non-cyclical sector, and short automotive issues. Securitized products also benefitted returns, including the allocation to floating rate agency CMOs and non-agency MBS, which held up well against rising intermediate and long rates, while ABS and CMBS outperformed Treasuries, adding to performance on the margin. Meanwhile, the duration position of the Fund was somewhat defensive (shorter than the Index) over most of the period, resulting in a small boost to performance as short rates marched higher.

Overall sector positioning remains defensive, with corporate credit emphasizing regulated financials and defensive sectors like food and beverage and communications, and we will continue to look for opportunities to add exposure as spreads widen toward median levels. Despite aggressive underwriting in certain sectors of the market, and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return. Non-agency MBS continues to present attractive risk-adjusted return potential despite a shrinking market, while the larger allocation to agency MBS is focused on floating rate CMOs given relatively stable duration profiles. Super senior ABS and CMBS markets are still solid fundamentally, but tighter spreads have made the sectors less compelling. Within CMBS, the emphasis remains on agency-backed issues, though exposure may be trimmed somewhat in favor of better opportunities, while ABS bonds held in the Fund favor federally guaranteed student loans that offer value. Finally, the duration of the Fund is approximately 0.25 years short of the Index at 0.7 years.

The MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 3.60% (net of fees) for the one year period ending March 31, 2019, outpacing the ICE BofAML U.S. Dollar 3-Month Deposit Offered Rate Average Index (“Index”) by approximately 111 bps. Outperformance of the Fund was primarily driven by the allocation to corporate credit, particularly banking, midstream, healthcare, cable, and wirelines, as these were among the best performing sectors in the fixed income universe on a duration-adjusted basis versus comparable Treasuries. The Fund’s allocation to non-agency MBS further bolstered performance, with subprime and alt-A collaterals most additive, as the sector continued to benefit from favorable supply/demand technicals and still solid housing fundamentals. CMBS was another notable contributor to returns, especially agency issues with the sector offering high quality and a yield advantage over Treasuries. Finally, the Fund’s duration position of approximately 2 years boosted performance as yields 2-Year and beyond fell.

Overall sector positioning remains defensive, with corporate credit emphasizing regulated financials and defensive sectors like utilities, pharmaceuticals, communications and non-profit hospitals, and we will continue to look for opportunities to add exposure as spreads widen toward median levels. Despite aggressive underwriting in certain sectors of the market, and relatively tight spreads overall, senior parts of the structured products markets are a reasonable place to find protection from credit excesses while still generating incremental return. Non-agency MBS continues to present attractive risk-adjusted return potential despite a shrinking market. Finally, super senior ABS and CMBS markets are still solid fundamentally, but tighter spreads have made the sectors less compelling. Within CMBS, the emphasis remains on agency-backed issues, though exposure was trimmed somewhat in favor of better opportunities. The non-agency CMBS allocation continues to emphasize seasoned issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS. ABS bonds held in the Fund favor federally guaranteed student loans, with an additional focus on AAA-rated CLOs that offer value.

While it should never be surprising when volatility comes back to the markets, the close of 2018 will be yet another example of when some aggressive risk-seeking investors were caught off-guard and experienced sizable losses, as market technicals quickly turned and reflected in what seemed to be a systemic sprint to the exits. Despite the subsequent rally in markets over the past couple of months, the concerns we hold about underlying fundamental drivers remain. As such, our approach remains unchanged, steeped in fundamental analysis and abundantly aware of the asymmetric risks faced by bond investors. That recognition drives a full-cycle approach that values not only the return driver of income generation, but a principal protection focus that preserves capital. Most importantly, the discipline to vary the risk budgets in accordance with market conditions and valuations, we believe, has delivered and will continue to deliver to our investors.

Thank you again for your investment in the Metropolitan West Funds. We look forward to continuing to assist you in the fulfillment of your financial goals.

Portfolio composition is subject to change. The current and future portfolio holdings of the Funds are subject to investment risk.

Bond Funds have similar interest rate, issue, and credit risks as those risks*- associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. Additional risks to the Funds include derivatives risk, foreign securities risk, asset-backed securities investment risk, and prepayment risk. The High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including “leverage risk”. The Strategic Income Fund engages in sophisticated investment strategies, and is subject to short sales and leverage risks. The AlphaTrak 500 trades futures and derivative contracts. These Funds may not be suitable for all investors.

Derivatives risk refers to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset. Foreign securities risk refers to the risk that the value of a Fund’s investments in foreign securities may decline based on changes to currency values, or political and economic environments in the countries where the Fund invests. Asset-backed securities investment risk refers to the risk that the impairment of the value of the collateral underlying the security in which a Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. Prepayment risk refers to the possibility that falling interest rates may cause the underlying loans to pay off at a faster than expected rate. This tends to reduce returns since the funds prepaid will have to be reinvested at the then lower prevailing rates. Short sale risk refers to the limited ability of a Fund to sell a debt or equity security short (without owning it) and to borrow the same security from a broker or other institution to complete the sale. If the value of the short sale increases, a Fund would lose money because it will need to replace the borrowed security by purchasing it at a higher price. Leverage risk refers to the limited ability of a Fund to borrow from broker-dealers or other institutions to leverage a transaction, provided that the borrowing is fully-collateralized. The Fund’s assets may change in value while the borrowing is outstanding, which could create interest expenses that can exceed the income from the assets retained.

The views and forecasts expressed here are as of April 2019, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors.

The graphs below illustrate the assumed investment of $10,000 for each of the Metropolitan West Funds. The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. Returns are due in part to market conditions which may not be repeated in the future. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

The performance tables and graphs do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Unlike an index, the Fund’s total returns are reduced by transaction costs, taxes, management fees and other expenses.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West AlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual 10 year total returns for the Metropolitan West AlphaTrak 500 Fund were 9.93% and 21.07%, respectively. The graph assumes that distributions were reinvested.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Corporate Bond Fund Class M with the performance of the U.S. Corporate Index. The since inception total return for the Metropolitan West Corporate Bond Fund Class M was 7.75%. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Corporate Bond Fund Class I was June 29, 2018. The since inception total return for the Metropolitan West Corporate Bond Fund Class I was 7.95%. At the end of the same period, a $10,000 investment in the Metropolitan West Corporate Bond Fund Class I shares would have been valued at $10,795.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Flexible Income Fund Class M with the performance of the U.S. Corporate Index. The since inception total return for the Metropolitan West Flexible Income Fund Class M was 10.25%. The inception date for Class M was November 20, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Flexible Income Fund Class I was November 20, 2018. The since inception total return for the Metropolitan West Flexible Income Fund Class I was 10.24%. At the end of the same period, a $10,000 investment in the Metropolitan West Flexible Income Fund Class I shares would have been valued at $11,024.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class M with the performance of the S&P/LSTA Leveraged Loan Index. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class M were 2.72% and 3.51%, respectively. The inception date for Class M was June 28, 2013. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Floating Rate Income Fund Class I was June 28, 2013. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class I were 3.03% and 3.72%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class I shares would have been valued at $12,338.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap Index. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class M were 5.57% and 8.97%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West High Yield Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class I were 5.72% and 9.23%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $24,184.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Bloomberg Barclays Intermediate U.S. Government/Credit Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Intermediate Bond Fund Class M were 4.15% and 4.88%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Intermediate Bond Fund Class I, the one year and average annual 10 year total returns total returns for the Metropolitan West Intermediate Bond Fund Class I were 4.29% and 5.10%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $16,452.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class M with the performance of the U.S. Intermediate Credit Index. The since inception total return for the Metropolitan West Investment Grade Credit Fund Class M was 9.02%. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested

The inception date for the Metropolitan West Investment Grade Credit Fund Class I was June 29, 2018. The since inception total return for the Metropolitan West Investment Grade Credit Fund Class I was 9.20%. At the end of the same period, a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class I shares would have been valued at $10,920.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the ICE BofAML 1-3 Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class M were 2.93% and 4.41%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Low Duration Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class I were 3.03% and 4.62%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $15,716.

The inception date for the Metropolitan West Low Duration Bond Fund Administrative Class was September 22, 2009. The one year and average annual since inception total returns for the Metropolitan West Low Duration Bond Fund Administrative Class were 2.68% and 3.19%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Administrative Class shares would have been valued at $13,487.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the ICE BofAML 3-Month U.S. Treasury Bill Index. The one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class M were 3.01% and 8.24%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Strategic Income Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class I were 3.41% and 8.52%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $22,647.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Aggregate Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class M were 4.49% and 5.80%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Total Return Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class I were 4.72% and 6.03%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $17,964.

The inception date for the Metropolitan West Total Return Bond Fund Administrative Class was December 18, 2009. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Administrative Class were 4.36% and 4.27%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Administrative Class shares would have been valued at $14,741.

The inception date for the Metropolitan West Total Return Bond Fund Plan Class was August 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Plan Class were 4.80% and 3.71%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Plan Class shares would have been valued at $13,229.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the ICE BofAML 1-Year U.S. Treasury Note Index. The one year and average annual 10 year total returns for the Metropolitan West Ultra Short Bond Fund Class M were 2.37% and 3.79%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Ultra Short Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Ultra Short Bond Fund Class I were 2.53% and 3.98%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $14,774.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class M with the performance of the ICE BofAML U.S. Dollar 3-Month Deposit Offered Rate Average Index. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class M were 3.31% and 5.30%, respectively. The inception date for Class M was October 1, 2011. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Unconstrained Bond Fund Class I was October 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class I were 3.60% and 5.58%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $15,027.

We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return for the past six-month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund at the beginning of the period.

You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund in the first line under the heading entitled “Expenses Paid During Period.”

Hypothetical 5% Return: This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission (SEC) requires all mutual funds to calculate expenses based on an assumed 5% annual return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expense shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

These tables are provided to give you a quick reference to the composition of each Fund. The “Sector Diversification” table is a percentage of net assets. We hope that this information enhances your understanding of the different kinds of investments in the Funds.


ALPHATRAK 500 FUND
Sector Diversification
Corporate Bonds	30.28	%
U.S. Treasury Bills	28.67	%
Non-Agency Commercial Mortgage-Backed	9.00	%
Asset-Backed Securities	8.62	%
Non-Agency Mortgage-Backed	6.93	%
U.S. Agency Commercial Mortgage-Backed	5.72	%
Mutual Funds	4.57	%
U.S. Agency Mortgage-Backed	3.68	%
U.S. Treasury Securities	1.38	%
Commercial Paper	0.47	%
Bank Loans	0.03	%
Money Market Funds	0.02	%
Other *	0.63	%
Total	100.00	%


CORPORATE BOND FUND
Sector Diversification
Corporate Bonds	82.64	%
Non-Agency Commercial Mortgage-Backed	8.25	%
U.S. Agency Mortgage-Backed	5.03	%
U.S. Agency Commercial Mortgage-Backed	1.79	%
Municipal Bonds	0.79	%
U.S. Treasury Bills	0.69	%
Other *	0.81	%
Total	100.00	%


FLEXIBLE INCOME FUND
Sector Diversification
Non-Agency Commercial
Mortgage-Backed	22.57	%
U.S. Treasury Bills	18.90	%
Non-Agency Mortgage-Backed	15.85	%
Corporate Bonds	14.92	%
U.S. Agency Commercial Mortgage-Backed	14.19	%
Money Market Funds	7.36	%
Asset-Backed Securities	3.01	%
U.S. Agency Mortgage-Backed	1.30	%
Other *	1.90	%
Total	100.00	%


FLOATING RATE INCOME FUND
Sector Diversification
Bank Loans	87.19	%
U.S. Treasury Bills	7.30	%
Corporate Bonds	6.03	%
Money Market Funds	3.14	%
Municipal Bonds	0.15	%
Other *	(3.81)	%
Total	100.00	%


HIGH YIELD BOND FUND
Sector Diversification
Corporate Bonds	68.67	%
Bank Loans	18.66	%
U.S. Treasury Bills	8.56	%
Money Market Funds	2.49	%
U.S. Agency Discount Notes	1.87	%
Common Stock	0.91	%
Warrants	0.01	%
Other *	(1.17)	%
Total	100.00	%


INTERMEDIATE BOND FUND
Sector Diversification
U.S. Treasury Securities	42.63	%
Corporate Bonds	30.15	%
Money Market Funds	10.72	%
U.S. Agency Mortgage-Backed	7.21	%
Asset-Backed Securities	5.98	%
Non-Agency Mortgage-Backed	5.54	%
U.S. Treasury Bills	3.87	%
Non-Agency Commercial Mortgage-Backed	2.13	%
U.S. Agency Commercial Mortgage-Backed	1.84	%
Municipal Bonds	1.77	%
Bank Loans	0.80	%
U.S. Agency Discount Notes	0.40	%
Commercial Paper	0.18	%
U.S. Agency Securities	0.03	%
Common Stock	0.01	%
Other *	(13.26)	%
Total	100.00	%


INVESTMENT GRADE CREDIT FUND
Sector Diversification
Corporate Bonds	49.51	%
Non-Agency Mortgage-Backed	9.39	%
U.S. Agency Commercial Mortgage-Backed	8.78	%
Asset-Backed Securities	8.38	%
U.S. Treasury Securities	7.74	%
U.S. Agency Mortgage-Backed	7.51	%
Non-Agency Commercial Mortgage-Backed	7.14	%
U.S. Treasury Bills	0.46	%
Municipal Bonds	0.18	%
Other *	0.91	%
Total	100.00	%


LOW DURATION BOND FUND
Sector Diversification
Corporate Bonds	34.46	%
U.S. Treasury Securities	24.27	%
Non-Agency Mortgage-Backed	9.84	%
U.S. Agency Mortgage-Backed	9.54	%
Asset-Backed Securities	7.75	%
U.S. Agency Commercial Mortgage-Backed	7.51	%
U.S. Treasury Bills	7.02	%
Non-Agency Commercial Mortgage-Backed	4.03	%
Money Market Funds	2.31	%
Bank Loans	0.78	%
Commercial Paper	0.28	%
Common Stock	0.04	%
Purchased Swaptions	0.00	%
Written Swaptions	0.00	%
Other *	(7.83)	%
Total	100.00	%


STRATEGIC INCOME FUND
Sector Diversification
Corporate Bonds	34.93	%
Non-Agency Mortgage-Backed	27.20	%
Asset-Backed Securities	12.93	%
U.S. Treasury Bills	8.17	%
U.S. Agency Mortgage-Backed	5.50	%
Non-Agency Commercial Mortgage-Backed	3.96	%
U.S. Agency Commercial Mortgage-Backed	3.96	%
Foreign Government Obligations	1.14	%
Money Market Funds	0.98	%
Municipal Bonds	0.78	%
Common Stock	0.00	%
Other *	0.45	%
Total	100.00	%


TOTAL RETURN BOND FUND
Sector Diversification
U.S. Agency Mortgage-Backed	29.08	%
U.S. Treasury Securities	26.25	%
Corporate Bonds	26.04	%
Non-Agency Mortgage-Backed	6.46	%
Money Market Funds	5.77	%
Asset-Backed Securities	5.35	%
U.S. Treasury Bills	1.87	%
Non-Agency Commercial Mortgage-Backed	1.67	%
U.S. Agency Commercial Mortgage-Backed	1.45	%
U.S. Agency Discount Notes	1.11	%
Bank Loans	1.08	%
Municipal Bonds	0.72	%
Commercial Paper	0.21	%
Foreign Government Obligations	0.15	%
Common Stock	0.01	%
Other *	(7.22)	%
Total	100.00	%

ULTRA SHORT BOND FUND
Sector Diversification
U.S. Treasury Bills	22.84	%
U.S. Treasury Securities	22.04	%
Corporate Bonds	21.53	%
U.S. Agency Mortgage-Backed	20.64	%
U.S. Agency Commercial Mortgage-Backed	6.87	%
Asset-Backed Securities	2.40	%
Non-Agency Mortgage-Backed	2.38	%
Non-Agency Commercial Mortgage-Backed	1.64	%
Money Market Funds	1.62	%
Commercial Paper	0.22	%
Other *	(2.18)	%
Total	100.00	%

* Includes cash and equivalents, futures, foreign currency exchange contracts, swaps, pending trades, fund share transactions, interest and dividends receivable and accrued expenses payable.

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT-EX. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and is available on the SEC’s website at www.sec.gov.


Issues	Maturity Date			Principal Amount		Value
BONDS – 65.64%
ASSET-BACKED SECURITIES — 8.62%**
Access Group, Inc., Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
3.19%		07/25/56	^1,2		$ 19,057		$ 18,556
AMMC CLO XIV, Ltd., Series 2014-14A, Class A1LR (Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
4.02%		07/25/29	^1,2,3		35,000		35,007
BA Credit Card Trust, Series 2018-A2, Class A2
3.00%		09/15/23			75,000		75,692
Bayview Commercial Asset Trust, Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
3.04%		01/25/35	^1,2		14,783		14,662
BlueMountain CLO Ltd., Series 2013-2A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.18%)
3.94%		10/22/30	^1,2,3		50,000		49,737
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
3.85%		02/25/35	¹		15,000		15,213
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
3.77%		10/27/36	¹		15,000		15,015
Chase Issuance Trust, Series 2015-A4, Class A4
1.84%		04/15/22			140,000		138,947
Citibank Credit Card Issuance Trust, Series 2014-A6, Class A6
2.15%		07/15/21			140,000		139,804
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
3.69%		04/15/29	^1,2,3		50,000		49,564
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
3.42%		04/25/35	¹		3,973		3,955
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
3.54%		03/25/36	¹		40,115		40,355
Magnetite IX Ltd., Series 2014-9A,
Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
3.77%		07/25/26	^1,2,3		32,735		32,739

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Navient Student Loan Trust, Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.51%)

3.00%

06/25/31

$126,692

$125,834

Navient Student Loan Trust, Series 2016-7A, Class A

(LIBOR USD 1-Month plus 1.15%)

3.64%

03/25/66

^1,2

87,249

88,132

Navient Student Loan Trust, Series 2017-2A, Class A

(LIBOR USD 1-Month plus 1.05%)

3.54%

12/27/66

^1,2

83,441

83,855

Navient Student Loan Trust, Series 2017-4A, Class A2

(LIBOR USD 1-Month plus 0.50%)

2.99%

09/27/66

^1,2

100,000

99,961

Nelnet Student Loan Trust, Series 2014-3A, Class A

(LIBOR USD 1-Month plus 0.58%)

3.07%

06/25/41

^1,2

20,383

20,191

North Carolina State Education Authority,

Series 2011-1, Class A3

(LIBOR USD 3-Month plus 0.90%)

3.67%

10/25/41

13,106

13,217

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(1.00 X LIBOR USD 3-Month plus 0.75%)

3.52%

01/29/46

10,000

9,975

PHEAA Student Loan Trust, Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.15%)

3.64%

09/25/65

^1,2

94,970

96,527

Scholar Funding Trust, Series 2011-A, Class A

(LIBOR USD 3-Month plus 0.90%)

3.66%

10/28/43

^1,2

4,162

4,160

SLM Student Loan Trust, Series 2003-10A, Class A3

(LIBOR USD 3-Month plus 0.47%)

3.08%

12/15/27

^1,2

72,594

72,672

SLM Student Loan Trust, Series 2003-11,

Class A6

(LIBOR USD 3-Month plus 0.55%)

3.16%

12/15/25

^1,2

69,829

70,114

SLM Student Loan Trust, Series 2004-1,

Class A4

(LIBOR USD 3-Month plus 0.26%)

3.03%

10/27/25

88,932

88,883

SLM Student Loan Trust, Series 2005-4,

Class A3

(LIBOR USD 3-Month plus 0.12%)

2.89%

01/25/27

115,943

115,349

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%)

3.32%

01/25/28

57,390

57,521

SLM Student Loan Trust, Series 2007-6, Class A4

(LIBOR USD 3-Month plus 0.38%)

3.15%

10/25/24

50,636

50,693

SLM Student Loan Trust, Series 2008-9, Class A

(LIBOR USD 3-Month plus 1.50%)

4.27%

04/25/23

59,458

60,177

SLM Student Loan Trust, Series 2011-1, Class A1

(LIBOR USD 1-Month plus 0.52%)

3.01%

03/25/26

41,555

41,606

SLM Student Loan Trust, Series 2011-2, Class A1

(LIBOR USD 1-Month plus 0.60%)

3.09%

11/25/27

8,895

8,926

SLM Student Loan Trust, Series 2013-4, Class A

(LIBOR USD 1-Month plus 0.55%)

3.04%

06/25/43

8,037

8,006

TCI-Flatiron CLO Ltd., Series 2016-1,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

3.73%

07/17/28

^1,2,3

35,000

35,021

Voya CLO Ltd., Series 2014-3A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 0.72%)

3.49%

07/25/26

^1,2,3

37,325

37,176

Voya CLO Ltd., Series 2019-1A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

3.81%

04/15/29

^1,2,3

10,000

10,004

Total Asset-Backed Securities

(Cost $1,824,022)

1,827,246

BANK LOANS — 0.03%*

Industrials — 0.03%

Tyco International Holdings SARL,

Term Loan

(LIBOR plus 1.25%)

4.16%

03/02/20

^1,4,5

6,825

6,804

Total Bank Loans

(Cost $6,829)


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 30.28%*
Banking — 7.27%
Bank of America Corp.
2.74%		01/23/22	⁶	$	100,000	$	99,642
3.00%		12/20/23	⁶		91,000		90,680
Bank of America Corp. (GMTN)
2.37%		07/21/21	⁶		200,000		198,848
Bank of New York Mellon Corp., (The)
Series G
2.20%		05/15/19			100,000		99,939
JPMorgan Chase & Co.
(LIBOR USD 3-Month plus 0.68%)
3.31%		06/01/21	¹		75,000		75,085
JPMorgan Chase Bank N.A. (BKNT)
(LIBOR USD 3-Month plus 0.29%)
3.03%		02/01/21	¹		250,000		250,108
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^2,3		75,000		76,736
Macquarie Bank Ltd. (Australia)
2.60%		06/24/19	^2,3		50,000		49,982
US Bank N.A. (BKNT)
3.05%		07/24/20			250,000		251,566
Wells Fargo & Co., Series N (MTN)
2.15%		01/30/20			100,000		99,547
Wells Fargo Bank N.A. (BKNT)
2.40%		01/15/20			250,000		249,196


							1,541,329

Communications — 1.04%
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.13%		05/01/27	²		6,000		6,045
Clear Channel International BV (Netherlands)
8.75%		12/15/20	^2,3		3,000		3,090
Comcast Corp.
3.45%		10/01/21			60,000		61,210
CommScope Finance LLC
6.00%		03/01/26	²		12,000		12,442
Discovery Communications LLC
2.75%		11/15/19	²		35,000		34,922
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		20,000		17,850
8.50%		10/15/24	^2,3		5,000		4,866
9.75%		07/15/25	^2,3		2,000		2,041
Sprint Communications, Inc.
7.00%		03/01/20	²		16,000		16,460
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		62,500		62,409


							221,335


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary — 1.15%
Anheuser-Busch InBev Worldwide, Inc.
6.88%		11/15/19		$	75,000	$	76,801
Central Garden & Pet Co.
5.13%		02/01/28			6,000		5,595
Constellation Brands, Inc.
2.00%		11/07/19			50,000		49,734
(LIBOR USD 3-Month plus 0.70%)
3.38%		11/15/21	¹		50,000		50,031
KFC Holding Co./Pizza Hut Holdings LLC/
Taco Bell of America LLC
5.25%		06/01/26	²		6,000		6,071
Molson Coors Brewing Co.
1.45%		07/15/19			55,000		54,765


							242,997

Electric — 1.15%
DTE Energy Co.
2.40%		12/01/19			50,000		49,704
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.48%)
3.22%		05/04/21	¹		55,000		54,997
(LIBOR USD 3-Month plus 0.55%)
3.18%		08/28/21	¹		40,000		39,925
PNM Resources, Inc.
3.25%		03/09/21			100,000		99,907


							244,533

Energy — 0.43%
Antero Resources Corp.
5.00%		03/01/25			11,000		10,864
5.63%		06/01/23			5,000		5,100
Centennial Resource Production LLC
6.88%		04/01/27	²		6,000		6,074
Energy Transfer Operating LP
5.50%		06/01/27			12,000		13,022
Rockies Express Pipeline LLC
5.63%		04/15/20	²		20,000		20,525
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.88%		01/15/29	²		7,000		7,621
Transocean Guardian Ltd. (Cayman Islands)
5.88%		01/15/24	^2,3		6,615		6,747
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^2,3		5,670		5,769
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^2,3		6,000		6,255
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^2,3		3,200		3,300


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		09/01/27	²	$	5,000	$	5,106


							90,383

Finance — 5.28%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.75%		05/15/19	³		100,000		100,085
Air Lease Corp.
3.50%		01/15/22			65,000		65,625
BMW U.S. Capital LLC
(LIBOR USD 3-Month plus 0.38%)
2.97%		04/06/20	^1,2		60,000		60,071
Citibank N.A. (BKNT)
3.40%		07/23/21			100,000		101,340
Citigroup, Inc.
2.40%		02/18/20			40,000		39,882
8.50%		05/22/19			50,000		50,407
(LIBOR USD 3-Month plus 0.95%)
3.73%		07/24/23	¹		30,000		30,063
Daimler Finance North America LLC
1.75%		10/30/19	²		50,000		49,682
Ford Motor Credit Co. LLC
2.46%		03/27/20			50,000		49,614
3.20%		01/15/21			60,000		59,166
(LIBOR USD 3-Month plus 0.79%)
3.39%		06/12/20	¹		15,000		14,881
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	³		45,000		44,451
General Motors Financial Co., Inc.
2.35%		10/04/19			50,000		49,882
Goldman Sachs Group, Inc. (The)
2.55%		10/23/19			175,000		174,730
Goldman Sachs Group, Inc. (The) (MTN)
(LIBOR USD 3-Month plus 1.60%)
4.23%		11/29/23	¹		75,000		76,920
Morgan Stanley (GMTN)
5.50%		07/24/20			100,000		103,425
(LIBOR USD 3-Month plus 0.55%)
3.25%		02/10/21	¹		50,000		50,057


							1,120,281

Food — 1.57%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.50%)
3.11%		03/16/20	¹		50,000		49,897
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
3.09%		10/09/20	¹		60,000		59,703


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Danone SA (France)
1.69%		10/30/19	^2,3	$	50,000	$	49,682
Kraft Heinz Foods Co.
(LIBOR USD 3-Month plus 0.42%)
3.12%		08/09/19	¹		75,000		75,030
Mondelez International Holdings
Netherlands BV (Netherlands)
1.63%		10/28/19	^2,3		50,000		49,622
Tyson Foods, Inc.
(LIBOR USD 3-Month plus 0.45%)
3.09%		08/21/20	¹		50,000		49,820


							333,754

Gaming — 0.11%
Churchill Downs, Inc.
4.75%		01/15/28	²		10,000		9,564
5.50%		04/01/27	²		14,000		14,197


							23,761

Health Care — 3.65%
Allergan Sales LLC
5.00%		12/15/21	²		40,000		41,575
Anthem, Inc.
2.25%		08/15/19			75,000		74,867
Bausch Health Americas, Inc.
9.25%		04/01/26	²		5,000		5,475
Bayer U.S. Finance II LLC
2.13%		07/15/19	²		35,000		34,895
Bayer U.S. Finance LLC
2.38%		10/08/19	²		35,000		34,908
Becton Dickinson and Co.
2.68%		12/15/19			50,000		50,032
Centene Corp.
5.38%		06/01/26	²		5,000		5,225
5.63%		02/15/21			10,000		10,164
CHS/Community Health Systems, Inc.
8.00%		03/15/26	²		4,000		3,850
8.63%		01/15/24	²		3,000		3,015
Cigna Corp.
(LIBOR USD 3-Month plus 0.65%)
3.26%		09/17/21	^1,2		100,000		99,973
CVS Health Corp.
(LIBOR USD 3-Month plus 0.72%)
3.32%		03/09/21	¹		32,000		32,084
Fresenius Medical Care U.S. Finance II, Inc.
5.63%		07/31/19	²		75,000		75,488
HCA, Inc.
5.00%		03/15/24			5,000		5,307


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Hologic, Inc.
4.63%		02/01/28	²	$	2,000	$	1,945
Humana, Inc.
2.63%		10/01/19			50,000		49,941
Roche Holdings, Inc.
2.25%		09/30/19	²		75,000		74,822
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	³		100,000		99,580
Tenet Healthcare Corp.
4.38%		10/01/21			10,000		10,163
4.63%		07/15/24			10,000		10,053
WellCare Health Plans, Inc.
5.38%		08/15/26	²		10,000		10,500
Zimmer Biomet Holdings, Inc.
(LIBOR USD 3-Month plus 0.75%)
3.38%		03/19/21	¹		40,000		39,879


							773,741

Industrials — 1.93%
BAE Systems Holdings, Inc.
6.38%		06/01/19	²		90,000		90,453
Bemis Co., Inc.
6.80%		08/01/19			50,000		50,642
Berry Global, Inc.
5.13%		07/15/23			6,000		6,122
Clean Harbors, Inc.
5.13%		06/01/21			6,000		6,030
General Electric Co. (GMTN)
5.50%		01/08/20			50,000		50,925
General Electric Co. (MTN)
5.55%		05/04/20			45,000		46,229
(LIBOR USD 3-Month plus 0.38%)
3.11%		05/05/26	¹		30,000		26,346
(LIBOR USD 3-Month plus 0.48%)
3.16%		08/15/36	¹		75,000		57,380
United Technologies Corp.
(LIBOR USD 3-Month plus 0.65%)
3.33%		08/16/21	¹		75,000		75,050


							409,177

Information Technology — 0.50%
Analog Devices, Inc.
2.85%		03/12/20			40,000		40,025
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20			55,000		54,721
SS&C Technologies, Inc.
5.50%		09/30/27	²		6,000		6,071


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
Zayo Group LLC/Zayo Capital, Inc.
5.75%		01/15/27	²	$	4,000	$	4,001


							104,818

Insurance — 0.14%
Allstate Corp. (The)
(LIBOR USD 3-Month plus 0.43%)
3.03%		03/29/21	¹		30,000		29,977


Materials — 0.24%
Georgia-Pacific LLC
2.54%		11/15/19	²		50,000		49,927


Real Estate Investment Trust (REIT) — 4.13%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			65,000		64,902
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			90,000		90,249
Boston Properties LP
5.63%		11/15/20			15,000		15,567
Camden Property Trust
2.95%		12/15/22			55,000		55,073
Digital Realty Trust LP
5.25%		03/15/21			50,000		51,837
GLP Capital LP/GLP Financing II, Inc.
4.38%		04/15/21			45,000		45,756
4.88%		11/01/20			30,000		30,593
HCP, Inc.
2.63%		02/01/20			100,000		99,758
Healthcare Trust of America Holdings LP
3.38%		07/15/21			50,000		50,163
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.50%		01/15/28			6,000		5,670
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
3.66%		08/16/21	¹		100,000		99,583
UDR, Inc.
3.70%		10/01/20			100,000		101,052
Ventas Realty LP/Ventas Capital Corp.
2.70%		04/01/20			50,000		49,901
WEA Finance LLC/Westfield UK & Europe Finance PLC
2.70%		09/17/19	²		115,000		114,918


							875,022

Retail — 0.77%
Alimentation Couche-Tard, Inc. (Canada)
2.35%		12/13/19	^2,3		50,000		49,781


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.47%		04/17/20	¹	$	55,000	$	55,013
Rite Aid Corp.
6.13%		04/01/23	²		17,000		14,089
Walgreens Boots Alliance, Inc.
2.70%		11/18/19			45,000		44,926


							163,809

Services — 0.20%
IHS Markit Ltd. (Bermuda)
5.00%		11/01/22	^2,3		35,000		36,691
Matthews International Corp.
5.25%		12/01/25	²		6,000		5,798


							42,489

Transportation — 0.72%
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			53,608		55,340
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%		04/02/21			18,614		19,536
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21			22,855		24,056
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			50,437		54,549


							153,481

Total Corporates
(Cost $6,401,024)							6,420,814


MORTGAGE-BACKED — 25.33%**
Non-Agency Commercial
Mortgage-Backed — 9.00%
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class D
5.07%		09/11/42	⁶		100,000		102,021
Citigroup Commercial Mortgage Trust,
Series 2015-GC29, Class AAB
2.98%		04/10/48			90,000		90,719
Commercial Mortgage Trust,
Series 2006-GG7, Class AM
5.61%		07/10/38	⁶		13,618		13,712
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.77%		10/15/45	⁶		367,115		18,352
Commercial Mortgage Trust,
Series 2013-CR11, Class ASB
3.66%		08/10/50			19,262		19,625
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.23%		03/10/46	⁶		1,816,557		68,350


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
0.91%		08/10/48	⁶	$	2,909,398	$	125,247
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		07/12/44	^2,6		79,901		82,192
DBUBS Mortgage Trust, Series 2011-LC1A, Class A2
4.53%		11/10/46	²		3,685		3,688
DBUBS Mortgage Trust, Series 2011-LC1A, Class A3
5.00%		11/10/46	²		80,000		82,269
Four Times Square Trust Commercial
Mortgage Pass-Through Certificates,
Series 2006-4TS, Class A
5.40%		12/13/28	²		42,577		44,443
GRACE Mortgage Trust,
Series 2014-GRCE, Class A
3.37%		06/10/28	²		40,000		40,523
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
1.35%		08/10/43	^2,6		541,191		6,899
GS Mortgage Securities Trust,
Series 2010-C2, Class A1
3.85%		12/10/43	²		10,424		10,500
GS Mortgage Securities Trust,
Series 2012-GCJ7, Class A4
3.38%		05/10/45			76,986		77,827
GS Mortgage Securities Trust,
Series 2012-SHOP, Class A
2.93%		06/05/31	²		25,000		24,992
GS Mortgage Securities Trust,
Series 2013-GC12, Class XA (IO)
1.43%		06/10/46	⁶		964,585		43,070
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C19, Class XB (IO)
0.28%		04/15/47	^4,5,6		1,000,000		16,274
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C26, Class ASB
3.29%		01/15/48			85,000		86,353
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2005-CIBC11, Class C
5.56%		08/12/37	⁶		95,360		95,261
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C5, Class A3
4.17%		08/15/46			75,516		77,682
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C6, Class ASB
3.14%		05/15/45			107,271		108,192


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2015-JP1, Class XA (IO)
1.12%		01/15/49	^4,5,6	$	973,883	$	42,430
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO)
0.69%		09/15/39	^2,6		556,610		6,800
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C12, Class ASB
3.82%		10/15/46			51,551		52,766
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C13, Class ASB
3.56%		11/15/46			23,848		24,248
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C17, Class ASB
3.48%		08/15/47			110,000		112,014
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C19, Class ASB
3.33%		12/15/47			80,000		81,097
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C26, Class ASB
3.32%		10/15/48			80,000		81,098
Morgan Stanley Capital Barclays Bank Trust,
Series 2016-MART, Class A
2.20%		09/13/31	²		35,000		34,533
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A3
4.05%		07/15/49			52,347		52,386
OBP Depositor LLC Trust, Series 2010-OBP, Class A
4.65%		07/15/45	²		30,000		30,372
UBS Commercial Mortgage Trust, Series
2018-C12, Class A1
3.29%		08/15/51			82,226		83,204
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.20%		08/10/49	^2,4,5,6		3,000,000		24,225
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class XA (IO)
0.78%		02/15/44	^2,6		1,747,959		21,876
WF-RBS Commercial Mortgage Trust,
Series 2011-C3, Class A3
4.00%		03/15/44	²		23,444		23,565


							1,908,805

Non-Agency Mortgage-Backed — 6.93%
Ameriquest Mortgage Securities, Inc.,
Asset-Backed Pass-Through Certificates,
Series 2005-R3, Class M2
(LIBOR USD 1-Month plus 0.71%)
3.19%		05/25/35	¹		17,323		17,352

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Asset-Backed Funding Certificates,

Series 2006-OPT1, Class A2

(LIBOR USD 1-Month plus 0.14%)

2.63%

09/25/36

30,634

30,169

Banc of America Funding Trust,

Series 2006-G, Class 2A4

(LIBOR USD 1-Month plus 0.29%)

2.78%

07/20/36

58,988

58,971

BCAP LLC Trust, Series 2012-RR11, Class 2A3

2.61%

08/26/36

^2,6

10,319

10,377

Bear Stearns ALT-A Trust, Series 2004-11, Class 1A1

(LIBOR USD 1-Month plus 0.68%)

3.17%

11/25/34

2,324

2,327

Bear Stearns Asset Backed Securities Trust,

Series 2007-1, Class A2

(LIBOR USD 1-Month plus 0.28%)

2.77%

01/25/37

109,686

109,274

Citigroup Mortgage Loan Trust,

Series 2006-HE1, Class M2

(LIBOR USD 1-Month plus 0.51%)

3.00%

01/25/36

7,118

7,137

Countrywide Asset-Backed Certificates,

Series 2007-13, Class 2A1

(LIBOR USD 1-Month plus 0.90%)

3.39%

10/25/47

110,604

109,497

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-9, Class 1A1

(LIBOR USD 1-Month plus 0.60%)

3.09%

05/25/35

75,506

69,730

Credit Suisse First Boston Mortgage

Securities Corp., Series 1997-2, Class A

7.50%

06/25/20

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB1,

Class AF (STEP-reset date 05/25/19)

3.95%

01/25/33

12,123

12,296

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB5, Class M1

(LIBOR USD 1-Month plus 1.02%)

3.51%

11/25/33

16,019

15,760

DSLA Mortgage Loan Trust,

Series 2004-AR3, Class 2A2A

(LIBOR USD 1-Month plus 0.74%)

3.22%

07/19/44

4,614

4,636

First Franklin Mortgage Loan Trust,

Series 2006-FF4, Class A3

(LIBOR USD 1-Month plus 0.28%)

3.05%

03/25/36

120,000

114,667

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

4.25%

04/19/36

⁶

78,390

71,320

GSAA Home Equity Trust, Series 2005-8,

Class A4

(LIBOR USD 1-Month plus 0.27%)

2.76%

06/25/35

68,599

68,659

HarborView Mortgage Loan Trust,

Series 2005-4, Class 2A

4.99%

07/19/35

⁶

1,358

1,242

HarborView Mortgage Loan Trust,

Series 2005-9, Class 2A1A

(LIBOR USD 1-Month plus 0.34%)

2.83%

06/20/35

22,790

22,593

HSI Asset Securitization Corp. Trust,

2006-OPT1, Class 2A4

(LIBOR USD 1-Month plus 0.30%)

2.79%

12/25/35

74,129

73,546

IndyMac Index Mortgage Loan Trust,

Series 2004-AR5, Class 2A1A

(LIBOR USD 1-Month plus 0.86%)

3.35%

08/25/34

8,676

8,027

IndyMac Index Mortgage Loan Trust,

Series 2006-AR4, Class A1A

(LIBOR USD 1-Month plus 0.21%)

2.70%

05/25/46

87,770

83,571

IndyMac Index Mortgage Loan Trust,

Series 2007, Class AR1

3.79%

06/25/37

⁶

91,343

76,639

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH5, Class A4

(LIBOR USD 1-Month plus 0.16%)

2.65%

06/25/36

26,605

26,459

Long Beach Mortgage Loan Trust,

Series 2004-4, Class 1A1

(LIBOR USD 1-Month plus 0.56%)

3.05%

10/25/34

100,360

97,409

Residential Asset Mortgage Products Trust,

Series 2004-SL1, Class A2

8.50%

11/25/31

4,097

668

Residential Asset Mortgage Products Trust,

Series 2005-RZ3, Class M3

(LIBOR USD 1-Month plus 0.55%)

3.04%

09/25/35

100,000

100,423

Soundview Home Loan Trust,

Series 2006-2, Class M1

(LIBOR USD 1-Month plus 0.33%)

2.82%

03/25/36

51,762

51,695


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments II
Trust, Series 2006-AR1, Class 3A1
(LIBOR USD 1-Month plus 0.23%)
2.72%		02/25/36	¹	$	96,984	$	86,746
Terwin NIMs Trust, Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^2,4,5		2,939,110		47,803
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative
Average plus 1.40%)
3.80%		06/25/42	¹		3,530		3,441
Wells Fargo Alternative Loan Trust,
Series 2005-2, Class M1
(LIBOR USD 1-Month plus 0.45%)
2.94%		10/25/35	¹		59,106		59,336
Wells Fargo Mortgage-Backed Securities
Trust, Series 2003-I, Class A1
4.60%		09/25/33	⁶		20,803		20,962
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-I, Class 1A1
4.84%		07/25/34	⁶		5,907		5,865


							1,468,625

U.S. Agency Commercial Mortgage-Backed — 5.72%
Fannie Mae-Aces, Series 2014-M2, Class ASV2
2.78%		06/25/21	⁶		15,153		15,162
Fannie Mae-Aces, Series 2015-M4, Class X2 (IO)
0.37%		07/25/22	⁶		7,666,564		74,097
Fannie Mae-Aces, Series 2016-M9, Class FA
(LIBOR USD 1-Month plus 0.59%)
3.07%		09/25/23	¹		17,438		17,434
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
2.85%		08/25/24	¹		32,253		32,215
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series J15F, Class A1
2.36%		07/25/20			40,236		40,144
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K031,
Class X1 (IO)
0.23%		04/25/23	⁶		8,256,163		68,020
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KAIV,
Class X2 (IO)
3.61%		06/25/41	⁶		250,000		17,984

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial

Mortgage-Backed (continued)

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF04, Class A

(LIBOR USD 1-Month plus 0.31%)

2.80%

06/25/21

20,584

20,593

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF05, Class A

(LIBOR USD 1-Month plus 0.35%)

2.84%

09/25/21

1,839

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF19, Class A

(LIBOR USD 1-Month plus 0.45%)

2.94%

06/25/23

104,357

104,412

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ14,

Class A1

2.20%

11/25/23

141,519

139,712

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KP03,

Class A2

1.78%

07/25/19

168,260

167,974

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KP04,

Class AG1

(LIBOR USD 1-Month plus 0.22%)

2.71%

07/25/20

125,000

124,927

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS05, Class A

(LIBOR USD 1-Month plus 0.50%)

2.99%

01/25/23

107,021

107,149

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS07,

Class X (IO)

0.65%

09/25/25

⁶

3,000,000

112,495

FRESB Mortgage Trust, Series 2015-SB3,

Class A3

(LIBOR USD 1-Month plus 0.55%)

3.04%

01/25/43

58,302

58,220

FRESB Mortgage Trust, Series 2016-SB15,

Class A5H

(LIBOR USD 1-Month plus 2.06%)

2.06%

03/25/36

86,982

86,324

Ginnie Mae, Series 2010-140, Class IO (IO)

0.01%

10/16/43

⁶

3,733,488

23,645

1,212,346

U.S. Agency Mortgage-Backed — 3.68%

Fannie Mae Pool 464321

4.36%

01/01/20

99,610

100,252


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 468764
4.16%		07/01/21		$	100,000	$	103,145
Fannie Mae Pool 469911
3.50%		12/01/21			129,035		131,843
Fannie Mae Pool 471278
2.46%		05/01/19			93,133		92,958
Fannie Mae Pool 802665
(LIBOR USD 6-Month plus 1.74%)
4.36%		12/01/34	¹		749		760
Fannie Mae Pool 995916
5.01%		06/01/19			68,045		68,122
Fannie Mae Pool AD0166
4.79%		08/01/19			79,903		80,232
Fannie Mae Pool AE0800
3.79%		12/01/20			59,995		60,882
Fannie Mae Pool AL0851
6.00%		10/01/40			4,140		4,570
Fannie Mae Pool AN2059
1.64%		07/01/21			85,003		83,518
Fannie Mae REMICS, Series 1997-91,
Class SL (IO)
(LIBOR USD 1-Month plus 16.00%)
7.50%		11/25/23	¹		29,544		3,259
Fannie Mae REMICS, Series 2003-11, Class FA
(LIBOR USD 1-Month plus 1.00%)
3.49%		09/25/32	¹		8,101		8,324
Fannie Mae REMICS, Series 2008-47, Class PF
(LIBOR USD 1-Month plus 0.50%)
2.99%		06/25/38	¹		50		50
Fannie Mae REMICS, Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
2.89%		10/25/40	¹		7,275		7,284
Fannie Mae REMICS, Series G-36, Class ZB
7.00%		11/25/21			170		172
Freddie Mac REMICS, Series 2684, Class F
(LIBOR USD 1-Month plus 0.90%)
3.38%		01/15/33	¹		7,908		8,032
Freddie Mac Strips, Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
2.98%		06/15/42	¹		26,293		26,384


							779,787

Total Mortgage-Backed
(Cost $5,407,770)							5,369,563

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES — 1.38%

U.S. Treasury Notes — 1.38%

U.S. Treasury Notes

2.50%

01/15/22

$290,000

$291,999

Total U.S. Treasury Securities

(Cost $289,486)

291,999

Total Bonds – 65.64%

(Cost $13,929,131)

13,916,426

Shares

MUTUAL FUNDS — 4.57%

Mutual Funds — 4.57%

SPDR S&P 500 ETF Trust⁷

3,430

968,906

Total Mutual Funds

(Cost $953,227)

Maturity
Date

Principal
Amount/
Shares

SHORT-TERM INVESTMENTS — 29.16%

Commercial Paper — 0.47%

Ford Motor Credit Co. LLC

3.14%⁸

04/04/19

$ 100,000

99,949

Money Market Funds — 0.02%

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

2.39%⁹

5,000

U.S. Treasury Bills — 28.67%

U.S. Treasury Bills

2.39%⁸

04/16/19

995,000

994,001

2.39%⁸

04/23/19

100,000

99,854

2.39%^8,10

06/20/19

865,000

860,467

2.40%⁸

04/11/19

500,000

499,671

2.43%⁸

07/18/19

260,000

258,162

2.43%⁸

07/25/19

975,000

967,653

2.45%⁸

04/18/19

290,000

289,677

U.S. Treasury Bills (WI)

2.40%⁸

05/07/19

570,000

568,643

2.41%⁸

07/11/19

1,550,000

1,539,720

6,077,848

Total Short-Term Investments

(Cost $6,182,494)

6,182,797

¹	Floating rate security. The rate disclosed was in effect at March 31, 2019.

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 Board of Trustees. The aggregate value of illiquid securities is $137,536, which is 0.65% of total net assets.

⁶	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.

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, as amended. 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 its 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 March 31, 2019.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $860,416.

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

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

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

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized loan obligation

(ETF): Exchange-traded fund

(GMTN): Global medium-term note

(IO): Interest only

(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

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 98.50%
CORPORATES — 82.64%*
Banking — 7.34%
Bank of America Corp.
3.00%		12/20/23	¹	$	5,000	$	4,982
Bank of America Corp. (MTN)
3.97%		03/05/29	¹		20,000		20,404
4.27%		07/23/29	¹		15,000		15,622
Bank of New York Mellon Corp. (The) (MTN)
3.25%		09/11/24			5,000		5,075
Discover Bank (BKNT)
4.20%		08/08/23			10,000		10,402
JPMorgan Chase & Co.
4.01%		04/23/29	¹		20,000		20,529
4.02%		12/05/24	¹		15,000		15,574
4.20%		07/23/29	¹		15,000		15,661
Lloyds Banking Group PLC (United Kingdom)
2.91%		11/07/23	^1,2		10,000		9,755
State Street Corp.
3.78%		12/03/24	¹		5,000		5,189
Wells Fargo & Co.
3.07%		01/24/23			5,000		5,009
Wells Fargo & Co. (MTN)
3.55%		09/29/25			10,000		10,203
3.58%		05/22/28	¹		20,000		20,134


							158,539

Commercial Services — 0.47%
RELX Capital, Inc.
4.00%		03/18/29			10,000		10,224


Communications — 10.17%
AT&T, Inc.
4.35%		06/15/45			40,000		37,028
Charter Communications Operating LLC/Charter Communications Operating Capital
5.38%		05/01/47			15,000		14,988
Comcast Corp.
3.97%		11/01/47			10,000		9,690
4.00%		11/01/49			15,000		14,617
4.70%		10/15/48			10,000		10,857
Fox Corp.
4.71%		01/25/29	³		5,000		5,366
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	²		5,000		6,342
Qwest Corp.
6.88%		09/15/33			4,000		4,000
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	³		10,000		9,054


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
5.15%		03/20/28	³	$	10,000	$	10,200
Time Warner Cable LLC
5.50%		09/01/41			3,000		2,955
Verizon Communications, Inc.
4.02%		12/03/29	³		55,000		56,703
Viacom, Inc.
3.88%		04/01/24			6,000		6,119
Vodafone Group PLC (United Kingdom)
4.38%		05/30/28	²		10,000		10,174
Walt Disney Co. (The)
6.20%		12/15/34	³		8,000		10,481
Warner Media LLC
3.88%		01/15/26			11,000		11,048


							219,622

Consumer Discretionary — 3.34%
Altria Group, Inc.
5.38%		01/31/44			5,000		4,994
Anheuser-Busch InBev Worldwide, Inc.
4.60%		04/15/48			20,000		19,184
4.75%		01/23/29			5,000		5,332
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3		8,000		8,006
BAT Capital Corp.
3.56%		08/15/27			5,000		4,734
4.54%		08/15/47			5,000		4,394
Constellation Brands, Inc. (LIBOR USD 3-Month plus 0.70%)
3.38%		11/15/21	⁴		10,000		10,006
Pernod Ricard SA (France)
4.45%		01/15/22	^2,3		5,000		5,196
Reynolds American, Inc.
4.45%		06/12/25			5,000		5,144
5.85%		08/15/45			5,000		5,140


							72,130

Consumer Products — 0.23%
Newell Brands, Inc.
3.85%		04/01/23			5,000		4,942


Electric — 10.20%
Appalachian Power Co.
4.45%		06/01/45			10,000		10,369
Consolidated Edison Co. of New York, Inc.
3.88%		06/15/47			10,000		9,814
Duke Energy Carolinas LLC
3.75%		06/01/45			40,000		39,211


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Duquesne Light Holdings, Inc.
5.90%		12/01/21	³	$	2,000	$	2,125
6.40%		09/15/20	³		8,000		8,355
Florida Power & Light Co.
4.13%		02/01/42			15,000		15,904
ITC Holdings Corp.
4.05%		07/01/23			10,000		10,203
Kansas City Power & Light Co.
3.15%		03/15/23			5,000		5,079
Metropolitan Edison Co.
4.30%		01/15/29	³		4,000		4,196
MidAmerican Energy Co.
4.25%		05/01/46			10,000		10,613
Northern States Power Co./MN
4.13%		05/15/44			10,000		10,492
PacifiCorp.
4.13%		01/15/49			30,000		31,053
PNM Resources, Inc.
3.25%		03/09/21			10,000		9,991
Public Service Co. of New Mexico
3.85%		08/01/25			5,000		5,067
South Carolina Electric & Gas Co.
4.25%		08/15/28			5,000		5,403
Southern Co. Gas Capital Corp.
2.45%		10/01/23			13,000		12,643
Tucson Electric Power Co.
3.85%		03/15/23			10,000		10,184
Virginia Electric & Power Co., Series B
3.80%		09/15/47			20,000		19,410


							220,112

Energy — 9.51%
Enbridge Energy Partners LP
5.50%		09/15/40			10,000		11,181
Energy Transfer Operating LP
4.95%		06/15/28			15,000		15,747
6.25%		04/15/49			5,000		5,608
EQM Midstream Partners LP
6.50%		07/15/48			8,000		8,077
EQT Corp.
3.90%		10/01/27			5,000		4,681
Hess Corp.
4.30%		04/01/27			18,000		17,844
KeySpan Gas East Corp.
5.82%		04/01/41	³		15,000		18,256
Kinder Morgan Energy Partners LP (MTN)
6.95%		01/15/38			15,000		18,312


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25		$	10,000	$	10,458
Rockies Express Pipeline LLC
5.63%		04/15/20	³		6,000		6,157
Ruby Pipeline LLC
6.00%		04/01/22	³		8,409		8,318
Sabine Pass Liquefaction LLC
4.20%		03/15/28			3,000		3,034
5.75%		05/15/24			10,000		11,021
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.88%		01/15/29	³		5,000		5,444
TC PipeLines LP
3.90%		05/25/27			15,000		14,846
Texas Eastern Transmission LP
2.80%		10/15/22	³		10,000		9,854
TransCanada PipeLines Ltd. (Canada)
5.00%		10/16/43	²		15,000		15,774
Williams Cos., Inc. (The)
3.70%		01/15/23			12,000		12,223
4.55%		06/24/24			8,000		8,463


							205,298

Finance — 9.35%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.88%		01/23/28	²		14,000		13,186
Air Lease Corp.
3.63%		12/01/27			14,000		13,094
Citigroup, Inc.
2.88%		07/24/23	¹		5,000		4,979
3.14%		01/24/23	¹		10,000		10,039
3.67%		07/24/28	¹		20,000		19,970
Ford Motor Credit Co. LLC
5.88%		08/02/21			20,000		20,716
GE Capital International Funding Co. (Ireland)
4.42%		11/15/35	²		14,000		12,964
General Motors Financial Co., Inc.
3.55%		04/09/21			10,000		10,059
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	¹		10,000		9,938
3.50%		11/16/26			5,000		4,938
4.22%		05/01/29	¹		20,000		20,447
Morgan Stanley (GMTN)
3.70%		10/23/24			5,000		5,103
3.77%		01/24/29	¹		20,000		20,090
Morgan Stanley, Series F
3.88%		04/29/24			10,000		10,291


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Nationwide Building Society (United Kingdom)
3.77%		03/08/24	^1,2,3	$	5,000	$	4,981
Pipeline Funding Co. LLC
7.50%		01/15/30	³		9,401		11,028
Raymond James Financial, Inc.
3.63%		09/15/26			10,000		9,906


							201,729

Food — 1.86%
Campbell Soup Co. (LIBOR USD 3-Month plus 0.50%)
3.11%		03/16/20	⁴		10,000		9,979
Conagra Brands, Inc.
4.60%		11/01/25			6,000		6,303
Kraft Heinz Foods Co.
4.38%		06/01/46			10,000		8,695
Kroger Co. (The)
4.50%		01/15/29			5,000		5,124
Smithfield Foods, Inc.
5.20%		04/01/29	³		5,000		5,029
Tyson Foods, Inc.
4.00%		03/01/26			5,000		5,117


							40,247

Health Care — 11.81%
AbbVie, Inc.
4.40%		11/06/42			20,000		18,438
Allergan Funding SCS (Luxembourg)
4.55%		03/15/35	²		10,000		9,809
Amgen, Inc.
4.40%		05/01/45			15,000		14,728
Anthem, Inc.
4.38%		12/01/47			10,000		9,957
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	²		10,000		10,098
Barnabas Health, Inc.
4.00%		07/01/28			5,000		5,166
Bayer U.S. Finance II LLC
4.38%		12/15/28	³		10,000		9,946
Becton Dickinson and Co.
2.89%		06/06/22			10,000		9,963
Celgene Corp.
3.90%		02/20/28			13,000		13,284
Cigna Corp.
4.38%		10/15/28	³		5,000		5,191
4.90%		12/15/48	³		15,000		15,501
CVS Health Corp.
4.00%		12/05/23			22,000		22,590


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
4.30%		03/25/28		$	5,000	$	5,071
5.05%		03/25/48			5,000		5,045
Elanco Animal Health, Inc.
4.90%		08/28/28	³		10,000		10,626
Fresenius Medical Care U.S. Finance II, Inc.
5.63%		07/31/19	³		5,000		5,033
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	³		5,000		5,061
Gilead Sciences, Inc.
3.70%		04/01/24			10,000		10,333
HCA, Inc.
5.00%		03/15/24			4,000		4,245
Kaiser Foundation Hospitals
3.15%		05/01/27			10,000		10,067
Pfizer, Inc.
4.10%		09/15/38			10,000		10,516
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26			10,000		9,507
Quest Diagnostics, Inc.
4.20%		06/30/29			5,000		5,149
Shire Acquisitions Investments Ireland DAC (Ireland)
3.20%		09/23/26	²		10,000		9,678
UnitedHealth Group, Inc.
4.25%		04/15/47			15,000		15,721
WellCare Health Plans, Inc.
5.38%		08/15/26	³		4,000		4,200


							254,923

Industrials — 3.19%
Amcor Finance USA, Inc.
3.63%		04/28/26	³		10,000		9,814
BAE Systems Holdings, Inc.
6.38%		06/01/19	³		5,000		5,025
General Electric Co. (MTN)
4.65%		10/17/21			5,000		5,184
5.55%		05/04/20			5,000		5,137
5.55%		01/05/26			5,000		5,361
Ingersoll-Rand Luxembourg Finance SA (Luxembourg)
3.55%		11/01/24	²		5,000		5,117
L3 Technologies, Inc.
3.85%		06/15/23			10,000		10,315
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.63%		04/28/26	^2,3		5,000		4,979
United Technologies Corp.
4.13%		11/16/28			12,000		12,478
WRKCo, Inc.
4.90%		03/15/29			5,000		5,425


							68,835


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 3.66%
Berkshire Hathaway Finance Corp.
4.20%		08/15/48		$	20,000	$	20,839
Farmers Insurance Exchange
4.75%		11/01/57	^1,3		20,000		17,335
Nationwide Mutual Insurance Co.
4.90%		12/15/24	^1,3		10,000		9,950
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^1,3		20,000		20,578
Travelers Cos., Inc. (The)
4.05%		03/07/48			10,000		10,247


							78,949

Materials — 0.24%
International Flavors & Fragrances, Inc.
4.45%		09/26/28			5,000		5,255


Real Estate Investment Trust (REIT) — 7.23%
Alexandria Real Estate Equities, Inc.
4.50%		07/30/29			6,000		6,314
American Campus Communities Operating Partnership LP
3.35%		10/01/20			5,000		5,014
3.63%		11/15/27			5,000		4,898
Boston Properties LP
2.75%		10/01/26			10,000		9,484
CC Holdings GS V LLC/Crown Castle GS III Corp.
3.85%		04/15/23			10,000		10,249
CubeSmart LP
4.38%		02/15/29			5,000		5,119
Digital Realty Trust LP
3.63%		10/01/22			5,000		5,073
GLP Capital LP/GLP Financing II, Inc.
4.38%		04/15/21			5,000		5,084
HCP, Inc.
3.88%		08/15/24			10,000		10,236
Healthcare Realty Trust, Inc.
3.75%		04/15/23			5,000		5,036
Healthcare Trust of America Holdings LP
3.70%		04/15/23			5,000		5,055
Highwoods Realty LP
3.20%		06/15/21			5,000		4,985
Host Hotels & Resorts LP
5.25%		03/15/22			5,000		5,239
6.00%		10/01/21			5,000		5,291
Hudson Pacific Properties LP
3.95%		11/01/27			5,000		4,844
Kilroy Realty LP
3.45%		12/15/24			10,000		9,903


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Liberty Property LP
3.38%		06/15/23		$	10,000	$	10,076
National Retail Properties, Inc.
3.80%		10/15/22			5,000		5,114
Realty Income Corp.
3.25%		10/15/22			10,000		10,173
SL Green Realty Corp.
4.50%		12/01/22			8,000		8,275
UDR, Inc. (MTN)
4.63%		01/10/22			5,000		5,195
Ventas Realty LP
4.13%		01/15/26			10,000		10,275
VEREIT Operating Partnership LP
4.13%		06/01/21			5,000		5,085


							156,017

Retail — 1.17%
Family Dollar Stores, Inc.
5.00%		02/01/21			5,000		5,161
Home Depot, Inc. (The)
3.90%		12/06/28			5,000		5,293
Starbucks Corp.
3.80%		08/15/25			5,000		5,158
Walgreens Boots Alliance, Inc.
4.80%		11/18/44			10,000		9,538


							25,150

Services — 0.49%
IHS Markit Ltd. (Bermuda)
4.75%		08/01/28	²		5,000		5,238
5.00%		11/01/22	^2,3		5,000		5,241


							10,479

Transportation — 2.38%
Burlington Northern Santa Fe LLC
4.40%		03/15/42			8,000		8,596
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
7.13%		10/22/23			30,631		33,757
United Airlines Pass-Through Trust, Series 2016-2, Class AA
2.88%		10/07/28			9,471		9,019


							51,372

Total Corporates (Cost $1,731,119)							1,783,823


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 15.07%**
Non-Agency Commercial
Mortgage-Backed — 8.25%
Commercial Mortgage Pass-Through
Certificates, Series 2014-CR14,
Class XA (IO)
0.62%		02/10/47	¹	$	1,547,357	$	38,928
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.55%		12/10/45	¹		425,798		20,110
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.12%		07/10/45	¹		8,346,727		30,302
Commercial Mortgage Trust,
Series 2014-CR18, Class XA (IO)
1.14%		07/15/47	¹		143,039		5,368
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.01%		09/10/47	^1,5,6		799,398		24,432
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
0.94%		12/10/47	¹		525,269		20,265
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C3,
Class XA (IO)
0.94%		02/15/46	^1,3		228,907		3,471
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C5, Class XA (IO)
1.46%		08/15/45	^1,3		259,761		9,870
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6, Class XA (IO)
1.62%		11/15/45	^1,3,5,6		162,349		7,480
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.20%		08/10/49	^1,3,5,6		2,200,000		17,765


							177,991

U.S. Agency Commercial
Mortgage-Backed — 1.79%
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K712,
Class X1 (IO)
1.33%		11/25/19	¹		2,908,534		13,801
Ginnie Mae, Series 2009-111, Class IO (IO)
0.22%		09/16/51	¹		600,861		24,774


							38,575

U.S. Agency Mortgage-Backed — 5.03%
Fannie Mae REMICS, Series 2012-128,
Class UA
2.50%		06/25/42			41,456		39,802

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac REMICS, Series 4638,

Class UF

(LIBOR USD 1-Month plus 1.00%)

3.50%

09/15/44

⁴

$68,220

$ 68,770

108,572

Total Mortgage-Backed
(Cost $325,879)

325,138

MUNICIPAL BONDS — 0.79%*

California — 0.55%

Los Angeles Department of Water & Power,

Build America Bonds, Series SY

6.01%

07/01/39

5,000

6,279

University of California, Taxable Revenue

Bonds, Series AJ

4.60%

05/15/31

5,000

5,584

11,863

New York — 0.24%

New York City Transitional Finance Authority

Future Tax Secured Revenue

3.73%

08/01/29

5,000

5,211

Total Municipal Bonds
(Cost $16,376)

17,074

Total Bonds – 98.50%
(Cost $2,073,374)

2,126,035

Issues

Maturity
Date

Principal
Amount

Value

SHORT-TERM INVESTMENTS — 0.69%

U.S. Treasury Bills — 0.69%

U.S. Treasury Bills

2.41%^7,8

06/20/19

15,000

14,921

Total Short-Term Investments
(Cost $14,920)

14,921

Total Investments – 99.19%
(Cost $2,088,294)

2,140,956

Cash and Other Assets, Less

Liabilities – 0.81%

17,536

Net Assets – 100.00%

$2,158,492

¹	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.

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

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	Floating rate security. The rate disclosed was in effect at March 31, 2019.

⁵	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $49,677, which is 2.30% of total net assets.

⁷	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $14,921.

⁸	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 – 71.84%

ASSET-BACKED SECURITIES — 3.01%**

AMMC CLO XIV, Ltd., Series 2014-14A,

Class A1LR (Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

4.02%

07/25/29

^1,2,3

10,000

10,002

CIT Education Loan Trust, Series 2007-1, Class A

(LIBOR USD 3-Month plus 0.09%)

2.69%

03/25/42

^2,3

30,801

29,750

Dryden XXVIII Senior Loan Fund,

Series 2013-28A, Class A1LR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

3.88%

08/15/30

^1,2,3

10,000

9,975

Galaxy XXIX CLO Ltd. (Cayman Islands)

(LIBOR USD 3-Month plus 0.79%)

3.47%

11/15/26

^1,2,3

39,793

39,693

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

14,052

14,603

Madison Park Funding XXX, Ltd.,

Series 2018-30A, Class A (Cayman Islands)

(LIBOR USD 3-Month plus 0.75%)

3.54%

04/15/29

^1,2,3

40,000

39,374

Neuberger Berman CLO XVI-S Ltd.,

Series 2017-16SA, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.64%

01/15/28

^1,2,3

10,000

9,980

TCI-Flatiron CLO Ltd., Series 2016-1,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

3.73%

07/17/28

^1,2,3

10,000

10,006

Total Asset-Backed Securities

(Cost $160,905)

163,383

CORPORATES — 14.92%*

Automotive — 0.32%

Panther BF Aggregator 2 LP/Panther Finance Co., Inc.

6.25%

05/15/26

17,000

17,383

Banking — 1.50%

Bank of America Corp.

3.00%

12/20/23

⁴

15,000

14,947

Bank of New York Mellon Corp. (The) (MTN)

3.25%

09/11/24

5,000

5,075

JPMorgan Chase & Co.

(LIBOR USD 3-Month plus 1.00%)

3.79%

01/15/23

10,000

10,114

Lloyds Bank PLC (United Kingdom) (MTN)

5.80%

01/13/20

^1,3

5,000

5,116


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Santander UK Group Holdings PLC
(United Kingdom)
4.80%		11/15/24	^1,4	$	15,000	$	15,451
Wells Fargo & Co.
(LIBOR USD 3-Month plus 1.23%)
3.97%		10/31/23	²		30,000		30,679


							81,382

Communications — 1.48%
Charter Communications Operating
LLC/Charter Communications Operating Capital
4.50%		02/01/24			10,000		10,409
Fox Corp.
3.67%		01/25/22	³		10,000		10,201
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	¹		18,000		16,065
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	¹		5,000		6,342
Qwest Corp.
6.88%		09/15/33			16,000		16,000
Sprint Capital Corp.
8.75%		03/15/32			8,000		8,430
Viacom, Inc.
3.88%		04/01/24			8,000		8,159
Vodafone Group PLC (United Kingdom)
4.38%		05/30/28	¹		5,000		5,087


							80,693

Consumer Discretionary — 0.43%
Anheuser-Busch InBev Worldwide, Inc.
4.15%		01/23/25			8,000		8,339
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^1,3		5,000		5,004
Reynolds American, Inc.
4.45%		06/12/25			10,000		10,288


							23,631

Electric — 0.54%
Energizer Holdings, Inc.
7.75%		01/15/27	³		15,000		16,013
Eversource Energy, Series O
4.25%		04/01/29			8,000		8,531
Pennsylvania Electric Co.
4.15%		04/15/25	³		5,000		5,084


							29,628

Energy — 2.23%
Antero Resources Corp.
5.00%		03/01/25			9,000		8,887


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Centennial Resource Production LLC
6.88%		04/01/27	³	$	16,000	$	16,197
Energy Transfer Operating LP
4.75%		01/15/26			10,000		10,439
Kinder Morgan Energy Partners LP
3.50%		09/01/23			8,000		8,101
4.25%		09/01/24			5,000		5,220
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25			8,000		8,366
Range Resources Corp.
5.00%		03/15/23			3,000		2,951
Sabine Pass Liquefaction LLC
5.75%		05/15/24			5,000		5,510
Spectra Energy Partners LP
4.75%		03/15/24			10,000		10,625
TC PipeLines LP
4.38%		03/13/25			8,000		8,193
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3		17,000		17,723
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		09/01/27	³		8,000		8,170
Williams Cos., Inc. (The)
4.55%		06/24/24			10,000		10,579


							120,961

Finance — 2.04%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
4.50%		05/15/21	¹		10,000		10,237
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.95%)
3.73%		07/24/23	²		30,000		30,063
Ford Motor Credit Co. LLC
4.25%		09/20/22			30,000		29,650
Goldman Sachs Group, Inc. (The)
2.91%		07/24/23	⁴		5,000		4,951
4.22%		05/01/29	⁴		10,000		10,223
Morgan Stanley (GMTN)
4.43%		01/23/30	⁴		15,000		15,816
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4		10,000		9,962


							110,902

Food — 0.76%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.63%)
3.24%		03/15/21	²		10,000		9,944


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
3.09%		10/09/20	²	$	10,000	$	9,950
Kraft Heinz Foods Co.
3.95%		07/15/25			6,000		6,052
Kroger Co. (The)
4.50%		01/15/29			5,000		5,124
Smithfield Foods, Inc.
5.20%		04/01/29	³		5,000		5,029
Tyson Foods, Inc.
4.00%		03/01/26			5,000		5,117


							41,216

Gaming — 0.15%
Churchill Downs, Inc.
5.50%		04/01/27	³		8,000		8,112


Health Care — 1.41%
Aetna, Inc.
3.50%		11/15/24			10,000		10,020
Allergan Funding SCS (Luxembourg)
3.85%		06/15/24	¹		10,000		10,130
Bayer U.S. Finance II LLC
(LIBOR USD 3-Month plus 1.01%)
3.62%		12/15/23	^2,3		10,000		9,821
Becton Dickinson and Co.
3.73%		12/15/24			10,000		10,159
CHS/Community Health Systems, Inc.
8.00%		03/15/26	³		9,000		8,663
CVS Health Corp.
(LIBOR USD 3-Month plus 0.72%)
3.32%		03/09/21	²		10,000		10,026
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	³		10,000		10,120
HCA, Inc.
5.88%		02/01/29			7,000		7,551


							76,490

Industrials — 0.63%
Berry Global, Inc.
4.50%		02/15/26	³		10,000		9,527
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
3.16%		08/15/36	²		22,000		16,832
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)
7.75%		04/15/26	^1,3		9,000		7,807


							34,166


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials — 0.10%
International Flavors & Fragrances, Inc.
5.00%		09/26/48		$	5,000	$	5,250


Real Estate Investment Trust (REIT) — 2.23%
American Campus Communities
Operating Partnership LP
4.13%		07/01/24			10,000		10,239
Boston Properties LP
2.75%		10/01/26			10,000		9,484
Digital Realty Trust LP
3.63%		10/01/22			10,000		10,145
GLP Capital LP/GLP Financing II, Inc.
5.38%		11/01/23			10,000		10,524
HCP, Inc.
3.15%		08/01/22			10,000		10,002
Healthcare Realty Trust, Inc.
3.88%		05/01/25			10,000		10,056
Healthcare Trust of America Holdings LP
3.70%		04/15/23			5,000		5,055
Hudson Pacific Properties LP
3.95%		11/01/27			5,000		4,844
Kilroy Realty LP
4.38%		10/01/25			5,000		5,170
National Retail Properties, Inc.
3.80%		10/15/22			5,000		5,114
SL Green Operating Partnership LP
3.25%		10/15/22			10,000		9,953
WEA Finance LLC
3.15%		04/05/22	³		15,000		15,052
Welltower, Inc.
5.25%		01/15/22			15,000		15,836


							121,474

Retail — 0.12%
Rite Aid Corp.
6.13%		04/01/23	³		8,000		6,630


Services — 0.19%
IHS Markit Ltd. (Bermuda)
4.75%		02/15/25	^1,3		10,000		10,435


Transportation — 0.79%
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			17,869		18,447
Continental Airlines Pass-Through Trust,
Series 2001-1, Class A1
6.70%		06/15/21			3,003		3,177


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24		$	19,651	$	21,253


							42,877


Total Corporates (Cost $786,023)							811,230


MORTGAGE-BACKED — 53.91%**
Non-Agency Commercial Mortgage-Backed — 22.57%
BANK, Series 2017-BNK9, Class XA (IO)
0.82%		11/15/54	⁴		993,058		55,543
CFCRE Commercial Mortgage Trust,
Series 2017-C8, Class A4
3.57%		06/15/50			70,000		69,934
Commercial Mortgage Pass-Through
Certificates, Series 2014-CR14,
Class XA (IO)
0.62%		02/10/47	⁴		2,678,952		67,397
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.77%		10/15/45	⁴		355,062		17,750
Commercial Mortgage Trust,
Series 2012-LC4, Class XB (IO)
0.54%		12/10/44	^3,4		1,800,000		29,673
Commercial Mortgage Trust,
Series 2013-CR10, Class XA (IO)
0.68%		08/10/46	⁴		436,978		11,520
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
1.17%		10/10/46	⁴		740,470		31,473
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.23%		03/10/46	⁴		1,314,677		49,466
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.12%		07/10/45	⁴		6,096,062		22,131
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.01%		09/10/47	^4,5,6		940,468		28,743
DBUBS Mortgage Trust, Series 2011-LC1A,
Class XB (IO)
0.31%		11/10/46	^3,4		300,000		1,735
GS Mortgage Securities Trust,
Series 2012-GCJ7, Class X4 (IO)
2.19%		05/10/45	⁴		2,556,448		111,781
GS Mortgage Securities Trust,
Series 2013-GC13, Class XA (IO)
0.08%		07/10/46	⁴		4,824,142		17,677


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMBB Commercial Mortgage Securities
Trust, Series 2013-C15, Class XA (IO)
1.09%		11/15/45	⁴	$	741,380	$	30,303
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C19, Class XA (IO)
1.06%		04/15/47	⁴		2,431,514		50,952
JPMDB Commercial Mortgage Securities
Trust, Series 2016-C2, Class XA (IO)
1.69%		06/15/49	⁴		341,605		25,675
JPMDB Commercial Mortgage Securities
Trust, Series 2017-C7, Class AS
3.41%		10/15/50			24,000		23,760
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9, Class XA (IO)
1.52%		12/15/47	⁴		2,409,964		98,290
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-C13, Class XA (IO)
0.11%		01/15/46	⁴		11,119,562		50,501
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C9, Class XB (IO)
0.31%		05/15/46	^3,4		2,532,749		33,078
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C15, Class XA (IO)
0.98%		04/15/47	⁴		357,274		14,155
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C18, Class XA (IO)
0.89%		10/15/47	⁴		185,570		3,607
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C26, Class XA (IO)
1.04%		10/15/48	⁴		325,374		16,510
Morgan Stanley Capital I Trust,
Series 2012-C4, Class XA (IO)
2.08%		03/15/45	^3,4		2,401,508		116,332
Morgan Stanley Capital I Trust,
Series 2017-H1, Class XA (IO)
1.45%		06/15/50	⁴		108,613		8,662
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.64%		12/10/45	^3,4		823,795		39,093
Wells Fargo Commercial Mortgage Trust,
Series 2012-LC5, Class XA (IO)
1.78%		10/15/45	^3,4		1,025,071		51,833
Wells Fargo Commercial Mortgage Trust,
Series 2017-C41, Class A3
3.21%		11/15/50			60,000		58,987


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class XA (IO)
0.78%		02/15/44	^3,4	$	1,166,762	$	14,602
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XB (IO)
0.45%		05/15/45	^3,4		2,000,000		35,856
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.24%		03/15/47	⁴		871,194		39,945


							1,226,964


Non-Agency Mortgage-Backed — 15.85%
Alternative Loan Trust, 2007-16CB, Class 1A7
6.00%		08/25/37			14,304		13,643
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)
2.77%		03/25/46	²		27,481		25,583
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%		03/25/36			14,937		14,304
Bear Stearns ALT-A Trust, Series 2004-6, Class 1A
(LIBOR USD 1-Month plus 0.64%)
3.13%		07/25/34	²		16,285		16,242
Bear Stearns ARM Trust, Series 2004-3, Class 2A
4.02%		07/25/34	⁴		16,034		15,815
Bear Stearns Asset Backed Securities Trust,
Series 2007-1, Class A2
(LIBOR USD 1-Month plus 0.28%)
2.77%		01/25/37	²		58,069		57,851
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-MH1,
Class B1 (STEP-reset date 05/25/19)
6.25%		10/25/36	³		61,000		61,599
Fremont Home Loan Trust, Series 2005-A, Class M3
(LIBOR USD 1-Month plus 0.74%)
3.22%		01/25/35	²		26,000		25,523
Fremont Home Loan Trust, Series 2005-E,
Class 2A4
(LIBOR USD 1-Month plus 0.33%)
2.82%		01/25/36	²		35,250		34,011
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.24%)
2.73%		08/25/45	²		12,448		11,317


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAA Trust, Series 2007-3, Class 2A1B
(LIBOR USD 1-Month plus 0.10%)
2.59%		03/25/47	²	$	166,316	$	21,913
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
4.52%		09/25/35	⁴		11,328		11,586
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2X (IO)
1.25%		06/20/35	^3,4,5,6		2,145,570		76,536
IndyMac Index Mortgage Loan Trust,
Series 2007, Class F2
6.00%		07/25/37			14,379		13,981
Lehman Mortgage Trust, Series 2007-5, Class 10A2 (IO)
(LIBOR USD 1-Month plus 6.34%)
3.85%		06/25/37	^2,5,6		317,154		77,108
Mid-State Capital Corp., Series 2005-1, Class A
5.75%		01/15/40			11,535		12,456
Mid-State Capital Corp., Series 2006-1, Class A
5.79%		10/15/40	³		66,520		72,264
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			5,152		5,435
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
2.74%		06/25/37	²		35,000		33,168
Nomura Resecuritization Trust,
Series 2015-5R, Class 4A1
(LIBOR USD 1-Month plus 0.14%)
3.59%		07/26/37	^2,3		26,288		26,403
Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates,
Series 2005-WCH, Class M4
(LIBOR USD 1-Month plus 1.25%)
3.73%		01/25/36	²		25,000		25,054
People’s Choice Home Loan Securities
Trust, Series 2004-2, Class M1
(LIBOR USD 1-Month plus 0.90%)
3.39%		10/25/34	²		10,432		10,463
Residential Accredit Loans Trust,
Series 2005-QA10, Class A31
4.81%		09/25/35	⁴		13,046		11,254
Residential Asset Mortgage Products Trust,
Series 2006-EFC2, Class A4
(LIBOR USD 1-Month plus 0.22%)
2.71%		12/25/36	²		100,000		96,750
Residential Funding Mortgage Securities
Trust, Series 2006-S2, Class A1
5.75%		02/25/36			30,067		27,903

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-1, Class 4A1

4.57%

02/25/34

⁴

3,636

3,620

Structured Asset Mortgage Investments II

Trust, Series 2006-AR2, Class A1

(LIBOR USD 1-Month plus 0.23%)

2.72%

02/25/36

34,218

31,244

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR4, Class 2A1

5.17%

04/25/36

⁴

28,720

28,323

861,349

U.S. Agency Commercial

Mortgage-Backed — 14.19%

Fannie Mae-Aces, Series 2016-M2,

Class X3 (IO)

2.01%

04/25/36

⁴

1,080,828

48,971

Fannie Mae-Aces, Series 2018-M13, Class A2 (IO)

3.70%

09/25/30

⁴

35,000

36,137

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K006,

Class AX1 (IO)

0.94%

01/25/20

⁴

4,182,231

20,186

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K022,

Class X1 (IO)

1.23%

07/25/22

⁴

2,073,897

70,062

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K022,

Class X3 (IO)

1.81%

08/25/40

⁴

900,000

51,443

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K024,

Class X1 (IO)

0.84%

09/25/22

⁴

481,241

11,618

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K028,

Class X1 (IO)

0.29%

02/25/23

⁴

3,597,789

34,186

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K033,

Class X1 (IO)

0.30%

07/25/23

⁴

6,083,218

73,599

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K052,

Class X1 (IO)

0.67%

11/25/25

⁴

938,543

34,665

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K057,

Class X1 (IO)

1.19%

07/25/26

⁴

1,375,051

98,543


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K710,
Class X1 (IO)
1.85%		05/25/19	⁴	$	2,234,086	$	227
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K712,
Class X3 (IO)
1.44%		05/25/40	⁴		4,000,000		39,060
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KW02,
Class X1 (IO)
0.31%		12/25/26	⁴		1,282,721		20,708
Ginnie Mae, Series 2009-111, Class IO (IO)
0.22%		09/16/51	⁴		1,068,197		44,043
Ginnie Mae, Series 2011-119, Class IO (IO)
0.29%		08/16/51	⁴		2,876,105		32,806
Ginnie Mae, Series 2011-78, Class IX (IO)
0.14%		08/16/46	⁴		2,753,746		49,553
Ginnie Mae, Series 2012-135, Class IO (IO)
0.58%		01/16/53	⁴		645,701		19,711
Ginnie Mae, Series 2013-33, Class IO (IO)
0.82%		04/16/54	⁴		793,437		28,885
Ginnie Mae, Series 2013-74, Class IO (IO)
0.79%		12/16/53	⁴		740,459		33,271
Ginnie Mae, Series 2014-86, Class IO (IO)
0.75%		04/16/56	⁴		625,948		23,873


							771,547

U.S. Agency Mortgage-Backed — 1.30%
Fannie Mae Pool AN9655
3.71%		06/01/30			35,000		36,938
Fannie Mae REMICS, Series 2005-56,
Class SP
(LIBOR USD 1-Month plus 42.30%)
6.00%		08/25/33	²		15,346		15,998
Ginnie Mae, Series 2012-73, Class NK
3.00%		08/20/40			17,699		17,724


							70,660

Total Mortgage-Backed
(Cost $2,799,492)							2,930,520


Total Bonds – 71.84%
(Cost $3,746,420)							3,905,133


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 26.26%
Money Market Funds — 7.36%
Dreyfus Government Cash Management Fund
2.32%⁷				181,000	$	181,000
JPMorgan U.S. Government Money Market Fund
2.34%⁷				38,000		38,000
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.39%⁷				181,000		181,000


						400,000

U.S. Treasury Bills — 18.90%
U.S. Treasury Bills
4.14%⁸		04/30/19	$	490,000		489,057
U.S. Treasury Bills (WI)
2.18%⁸		05/07/19		540,000		538,714


						1,027,771

Total Short-Term Investments
(Cost $1,428,007)						1,427,771


Total Investments – 98.10%
(Cost $5,174,427)						5,332,904


Cash and Other Assets, Less Liabilities – 1.90%						103,151


Net Assets – 100.00%					$	5,436,055

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

²	Floating rate security. The rate disclosed was in effect at March 31, 2019.

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	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.

⁵	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $182,387, which is 3.36% of total net assets.

⁷	Represents the current yield as of March 31, 2019.

⁸	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 – 93.37%

BANK LOANS — 87.19%*

Automotive — 0.85%

Panther BF Aggregator 2 LP/Panther

Finance Co., Inc., Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.50%

03/18/26

2,000,000

1,979,980

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

(LIBOR plus 2.75%)

5.24%

06/18/25

349,125

333,851

2,313,831

Commercial Services — 0.36%

Dun & Bradstreet Corp. (The) Term Loan B,

1st Lien

(LIBOR plus 5.00%)

7.49%

02/06/26

1,000,000

990,625

Communications — 13.14%

Altice Financing SA, Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.24%

01/31/26

987,500

944,297

Altice SA, Term Loan B13, 1st Lien (France)

(LIBOR plus 4.00%)

6.48%

08/14/26

^1,2

498,750

479,423

AP NMT Acquisition BV, Term Loan B,

1st Lien

(LIBOR plus 5.75%)

8.55%

08/13/21

311,742

310,769

Beasley Mezzanine Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.48%

11/01/23

477,743

474,458

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

(LIBOR plus 2.75%)

5.25%

01/31/25

1,484,981

1,459,001

Charter Communications Operating LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.50%

04/30/25

1,975,000

1,964,266

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

(LIBOR plus 3.25%)

5.73%

02/06/26

1,000,000

1,000,830

Coral U.S. Co-Borrower LLC., Term Loan B4, 1st Lien

(LIBOR plus 3.25%)

5.75%

01/30/26

500,000

498,908

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.73%

01/15/26

1,000,000

973,250

Dawn Acquisition LLC, Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.35%

10/27/25

1,496,250

1,421,438


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Entercom/CBS Radio, Inc., Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
5.25%		11/17/24	¹	$	728,402	$	709,828
Go Wireless, Inc., Term Loan B, 2nd Lien
(LIBOR plus 6.50%)
9.00%		12/22/24	¹		703,125		689,941
Gray Television, Inc., Term Loan C, 1st Lien
(LIBOR plus 2.50%)
4.98%		11/02/25	¹		399,000		395,198
GTT Communications, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.25%		05/31/25	¹		1,489,994		1,408,230
Intelsat Jackson Holdings SA,
Term Loan B5, 1st Lien (Luxembourg)
6.63%		01/02/24	²		500,000		501,375
Lamar Media Corp., Term Loan B, 1st Lien
(LIBOR plus 1.75%)
4.25%		03/14/25	¹		1,435,500		1,434,309
LSF9 Atlantis Holdings LLC, Term Loan b, 1st Lien
(LIBOR plus 6.00%)
8.48%		05/01/23	¹		717,188		669,226
Maxar Technologies Ltd., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.25%		10/05/24	¹		1,334,135		1,042,773
Mission Broadcasting, Inc., Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.74%		01/17/24	¹		68,781		67,819
NEP Group, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.75%		10/20/25	¹		1,745,625		1,734,715
NEP Group, Inc., Term Loan, 2nd Lien
(LIBOR plus 7.00%)
9.50%		10/19/26	¹		440,000		435,600
Nexstar Broadcasting, Inc. Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.75%		01/17/24	¹		373,718		368,489
Radiate Holdco LLC, Term Loan B, 1st Lien
(LIBOR plus 3.00%)
5.50%		02/01/24	¹		1,484,867		1,453,938
Research Now Group, Inc., Term Loan, 1st Lien
(LIBOR plus 5.50%)
7.99%		12/20/24	¹		493,750		491,898

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

SBA Senior Finance II LLC, Term Loan B,

1st Lien

(LIBOR plus 2.00%)

4.50%

04/11/25

1,012,325

992,483

Sinclair Television Group, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.75%

01/03/24

1,945,256

1,930,063

Sprint Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.50%)

5.00%

02/02/24

1,977,266

1,929,812

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

(LIBOR plus 3.00%)

5.50%

12/27/20

41,215

41,260

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

(LIBOR plus 3.00%)

5.50%

01/27/24

513,695

514,016

Unitymedia Finance LLC, Term Loan D,

1st Lien

(LIBOR plus 2.25%)

4.73%

01/15/26

2,000,000

1,981,810

Unitymedia Hessen GMBH & Co.,

Term Loan B, 1st Lien (Germany)

(LIBOR plus 2.25%)

4.73%

09/30/25

^1,2

500,000

495,723

Univision Communications, Inc.,

Term Loan C5, 1st Lien

(LIBOR plus 2.75%)

5.25%

03/15/24

1,030,274

973,176

UPC Financing Partnership, Term Loan AR, 1st Lien

(LIBOR plus 2.50%)

4.98%

01/15/26

1,999,367

1,997,928

Virgin Media Bristol LLC, Term Loan K,

1st Lien

(LIBOR plus 2.50%)

4.98%

01/15/26

2,000,000

1,981,070

Windstream Services LLC, Term Loan B6,

1st Lien

(PRIME plus 5.00%)

10.50%

03/29/21

1,003,049

1,008,219

Windstream Services LLC, Term Loan B7,

1st Lien

(PRIME plus 4.25%)

9.75%

02/17/24

250,000

248,595

Ziggo Secured Finance Partnership,

Term Loan E, 1st Lien

(LIBOR plus 2.50%)

4.98%

04/15/25

945,114

921,878

35,946,012


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary — 9.56%
AI Aqua Merger Sub, Inc., Term Loan B1, 1st Lien
(LIBOR plus 3.25%)
5.75%		12/13/23	¹	$	498,728	$	478,155
AI Aqua Merger Sub, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.75%		12/13/23	¹		1,481,250		1,420,148
Allied Universal Holdco LLC, Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.25%		07/28/22	¹		994,872		964,528
Alphabet Holding Co., Inc., Term Loan, 1st Lien
(LIBOR plus 3.50%)
6.00%		09/26/24	¹		492,500		458,027
Arterra Wines Canada, Inc., Term Loan B1,
1st Lien (Canada)
(LIBOR plus 2.75%)
5.36%		12/15/23	^1,2		2,452,455		2,418,734
Boing US Holdco, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.99%		10/03/24	¹		987,525		986,908
CityCenter Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/18/24	¹		2,216,843		2,181,341
Crown Finance US, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.50%)
5.00%		02/28/25	¹		944,887		924,671
CSC SW Holdco, Inc., Term Loan B1, 1st Lien
(LIBOR plus 3.25%)
6.03%		11/14/22	¹		1,971,218		1,922,924
Four Seasons Hotels, Ltd., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		11/30/23	¹		977,500		971,288
Hilton Worldwide Finance LLC,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
4.24%		10/25/23	¹		539,970		539,338
KFC Holding Co., Term Loan B, 1st Lien
(LIBOR plus 1.75%)
4.23%		04/03/25	¹		2,457,774		2,447,526
KUEHG Corp., Term Loan B3, 1st Lien
(LIBOR plus 3.75%)
6.35%		02/21/25	¹		744,375		737,240

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Discretionary (continued)

NAI Entertainment Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

5.00%

05/08/25

746,250

736,922

National Cinemedia LLC, Term Loan B,

1st Lien

(LIBOR plus 3.00%)

5.50%

06/20/25

496,250

493,461

Nielsen Finance LLC, Term Loan B4,

1st Lien

(LIBOR plus 2.00%)

4.49%

10/04/23

1,221,984

1,202,298

Prometric Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 3.00%)

5.50%

01/29/25

992,481

980,075

Restaurant Technologies, Inc., Term Loan,

1st Lien

(LIBOR plus 3.25%)

5.75%

10/01/25

498,750

497,817

Reynolds Group Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.75%)

5.25%

02/05/23

937,083

927,820

SMG U.S. Midco 2, Inc., Term Loan, 1st Lien

(LIBOR plus 3.00%)

5.50%

01/23/25

495,000

489,842

Stars Group Holdings BV, Term Loan B,

1st Lien

(LIBOR plus 3.50%)

6.10%

07/10/25

1,931,473

1,931,251

Sunshine Investments BV, Term Loan B3,

1st Lien

(LIBOR plus 3.25%)

5.93%

03/28/25

1,980,000

1,962,675

Wyndham Hotels & Resorts, Inc.

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.25%

05/30/25

497,500

491,903

26,164,892

Consumer Products — 1.07%

Hoffmaster Group, Inc., Term Loan B1,

1st Lien

(LIBOR plus 4.00%)

6.50%

11/21/23

477,526

476,931

JBS USA LUX SA, Term Loan B, 1st Lien

(Luxembourg)

(LIBOR plus 2.50%)

4.98%

04/18/19

1,277,233

1,270,451

5.00%

04/30/19

^1,2

215,153

214,010

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Products (continued)

Shearer’s Foods LLC, Term Loan, 1st Lien

(LIBOR plus 4.25%)

6.75%

06/30/21

984,098

972,101

2,933,493

Electric — 0.93%

Calpine Corp., Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.25%

12/31/19

245,000

244,964

Calpine Corp., Term Loan B9

(LIBOR plus 2.75%)

5.34%

03/20/26

1,000,000

991,530

Chief Power Finance LLC, Term Loan B,

1st Lien

(LIBOR plus 4.75%)

7.25%

12/31/20

^1,3,4

914,765

864,124

EIF Channelview Cogeneration LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

6.75%

05/03/25

454,259

456,460

2,557,078

Energy — 2.96%

Centurion Pipeline Co. LLC, Term Loan B,

1st Lien

(LIBOR plus 3.25%)

5.85%

09/29/25

997,500

997,086

Contura Energy, Inc. Term Loan, 1st Lien

(LIBOR plus 5.00%)

7.49%

11/10/25

493,750

489,430

EG Dutch Finco BV, Term Loan B, 1st Lien

(United Kingdom)

(LIBOR plus 4.00%)

6.60%

02/07/25

^1,2

497,487

487,040

EG Group LLC, Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.60%

02/07/25

1,237,504

1,211,516

EMG Utica LLC, Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.25%

03/27/20

^1,3,4

557,589

Energizer Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.25%)

4.73%

12/17/25

1,000,000

990,000

Glass Mountain Pipeline Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

7.00%

12/23/24

495,000

483,452


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Energy (continued)
Seadrill Operating LP, Term Loan B, 1st Lien
(United Kingdom)
(LIBOR plus 6.00%)
8.60%		02/21/21	^1,2	$	494,672	$	413,051
Traverse Midstream Partners LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
6.50%		09/27/24	¹		995,000		995,935
Vistra Operations Co., LLC, Term Loan B3, 1st Lien
(LIBOR plus 2.00%)
4.48%		04/17/19	¹		1,096,176		1,081,652
4.50%		12/31/25	¹		390,696		385,519


							8,092,270

Entertainment — 0.36%
Hornblower Sub LLC, Term Loan, 1st Lien
(LIBOR plus 4.50%)
7.10%		04/27/25	¹		1,000,000		997,500


Finance — 6.45%
ADMI Corp., Term Loan B, 1st Lien
(LIBOR plus 3.00%)
5.50%		04/30/25	¹		992,500		984,644
Aruba Investments, Inc., Term Loan B1, 1st Lien
(LIBOR plus 3.25%)
5.74%		02/02/22	¹		401,043		396,532
Auris Lux Co., Term Loan B, 1st Lien
(Luxembourg)
(LIBOR plus 3.75%)
6.25%		02/27/26	^1,2		1,250,000		1,251,563
Avolon TLB Borrower 1 (US) LLC,
Term Loan B3, 1st Lien
(LIBOR plus 2.00%)
4.49%		01/15/25	¹		1,603,688		1,593,015
Camelot US Acquisition I Co., Term Loan, 1st Lien
(LIBOR plus 3.25%)
5.75%		10/03/23	^1,3,4		924,706		921,141
CBAC Borrower LLC, Term Loan B,
1st Lien
(LIBOR plus 4.00%)
6.50%		07/08/24	¹		781,766		779,030
Delos Finance SARL, Term Loan B, 1st Lien
(LIBOR plus 1.75%)
4.35%		10/06/23	¹		1,500,000		1,499,813
DTZ US Borrower LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.75%		08/21/25	¹		646,750		642,708


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
Engineered Machinery Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
5.85%		07/19/24	¹	$	987,500	$	956,641
Forest City Enterprises, Term Loan B, 1st Lien
(LIBOR plus 4.00%)
6.48%		12/08/25	¹		997,500		1,003,111
Helix Gen Funding LLC, Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.25%		06/02/24	¹		528,060		509,211
NMN Holdings III Corp. Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.32%		11/13/25	^1,5		1,234,641		1,225,381
Plaskolite PPC Intermediate II LLC,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
6.73%		12/15/25	¹		1,995,000		1,997,494
RPI Finance Trust, Term Loan B6, 1st Lien
(LIBOR plus 2.00%)
4.50%		03/27/23	¹		975,109		970,843
Telenet Financing USD LLC, Term Loan, 1st Lien
(LIBOR plus 2.25%)
4.73%		08/15/26	¹		1,500,000		1,471,118
UFC Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.75%		08/18/23	¹		1,462,500		1,455,202


							17,657,447

Food — 3.52%
8th Avenue Food & Provisions, Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.24%		10/01/25	¹		249,375		249,811
Albertson’s LLC, Term Loan B7, 1st Lien
(LIBOR plus 3.00%)
5.50%		11/17/25	¹		299,250		295,913
American Seafoods Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.24%		04/23/19	¹		19,345		19,224
5.25%		04/29/19	¹		1,262,248		1,254,359
Chobani LLC, Term Loan B, 1st Lien
(LIBOR plus 3.50%)
6.00%		10/10/23	¹		977,545		939,665
Flora Food Group, Term Loan B2
(LIBOR plus 3.00%)
5.60%		07/02/25	¹		992,500		965,206


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Food (continued)
H-Food Holdings LLC, Term Loan B2, 1st Lien
(LIBOR plus 4.00%)
6.50%		05/23/25	¹	$	997,500	$	985,031
H-Food Holdings LLC, Term Loan, 1st Lien
(LIBOR plus 3.69%)
6.19%		05/23/25	¹		992,500		968,184
Hostess Brands LLC, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/30/19	¹		599,272		584,140
4.99%		04/30/19	¹		870,952		848,961
Northeast Foods LLC, Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.25%		07/20/25	¹		1,290,250		1,272,509
Utz Quality Foods LLC, Term Loan, 1st Lien
(LIBOR plus 3.50%)
6.00%		11/21/24	¹		1,234,375		1,234,375


							9,617,378

Gaming — 6.51%
Affinity Gaming LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.75%		07/01/23	¹		467,637		449,633
Caesars Resort Collection LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.25%		12/22/24	¹		1,481,250		1,464,053
CEOC LLC, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		10/06/24	¹		988,737		968,221
Churchill Downs, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		12/27/24	¹		1,545,438		1,543,506
Gateway Casinos & Entertainment Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
5.60%		12/01/23	¹		992,500		991,106
Golden Entertainment, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.00%)
5.50%		10/21/24	¹		1,481,250		1,470,141
Golden Entertainment, Inc., Term Loan B, 2nd Lien
(LIBOR plus 7.00%)
9.50%		10/20/25	¹		500,000		491,875
Golden Nugget, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.23%		04/15/19	¹		622,380		617,080
5.25%		04/30/19	¹		780,119		773,477


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Gaming (continued)
Greektown Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.25%		04/25/24	¹	$	1,403,853	$	1,403,558
GVC Holdings PLC, Term Loan B2, 1st Lien
(LIBOR plus 2.50%)
5.00%		03/29/24	¹		1,485,000		1,476,335
Las Vegas Sands LLC, Term Loan B, 1st Lien
(LIBOR plus 1.75%)
4.25%		03/27/25	¹		929,575		914,563
Penn National Gaming, Inc., Term Loan B1, 1st Lien
(LIBOR plus 2.25%)
4.75%		10/15/25	¹		1,401,488		1,389,224
Station Casinos LLC, Term Loan B, 1st Lien
(LIBOR plus 2.50%)
5.00%		06/08/23	¹		1,420,270		1,408,382
Wynn Resorts, Ltd., Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.75%		10/30/24	¹		2,500,000		2,454,300


							17,815,454

Health Care — 9.29%
Acadia Healthcare Co., Inc., Term Loan B3, 1st Lien
(LIBOR plus 2.50%)
5.00%		02/11/22	¹		934,854		929,011
Acadia Healthcare Co., Inc., Term Loan B4, 1st Lien
(LIBOR plus 2.50%)
5.00%		02/16/23	¹		283,347		281,576
Albany Molecular Research, Inc., Term Loan, 1st Lien
(LIBOR plus 3.25%)
5.75%		08/30/24	¹		733,136		722,139
Argon Medical Devices Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.25%		01/23/25	¹		990,000		986,911
Aveanna Healthcare LLC, Term Loan, 1st Lien
(LIBOR plus 4.25%)
6.88%		03/13/24	¹		1,372,739		1,321,261
Bausch Health Cos., Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.23%		11/27/25	¹		237,500		235,070
(LIBOR plus 3.00%)
5.48%		06/02/25	¹		2,031,576		2,020,880

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Carestream Dental Equipment, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

5.75%

09/01/24

985,000

945,600

CCS-CMGC Holdings, Inc., Term Loan,

1st Lien

(LIBOR plus 5.50%)

8.00%

10/01/25

498,750

478,800

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.25%

03/01/24

497,409

491,582

Endo Luxembourg Finance I Co. SARL,

Term Loan B, 1st Lien (Luxembourg)

(LIBOR plus 4.25%)

6.75%

04/29/24

^1,2

485,682

478,093

Gentiva Health Services, Inc., Term Loan,

2nd Lien

(LIBOR plus 7.00%)

9.50%

07/02/26

250,000

256,250

Gentiva Health Services, Inc., Term Loan,

1st Lien

(LIBOR plus 3.75%)

6.25%

07/02/25

1,458,733

1,464,203

Inovalon Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 3.50%)

6.00%

04/02/25

995,000

993,448

Lantheus Medical Imaging, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.25%

06/30/22

980,000

980,412

Medical Solutions Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.25%

06/14/24

985,050

986,281

MPH Acquisition Holdings LLC, Term Loan B,

1st Lien

(LIBOR plus 2.75%)

5.35%

06/07/23

1,653,676

1,604,463

National Mentor Holdings, Inc., Term Loan C,

1st Lien

(LIBOR plus 4.25%)

6.75%

03/09/26

29,240

29,377

National Mentor Holdings, Inc., Term Loan,

1st Lien

(LIBOR plus 4.25%)

6.75%

03/09/26

470,760

472,968

Navicure, Inc., Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.25%

11/01/24

1,086,250

1,071,314


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
NMSC Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 5.00%)
7.50%		04/19/23	¹	$	1,177,338	$	1,180,282
Pearl Intermediate Parent LLC,
Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 2.75%)
5.24%		04/25/19	^1,6		344,658		327,855
Pearl Intermediate Parent LLC, Term Loan, 1st Lien
(LIBOR plus 2.75%)
5.24%		02/14/25	¹		1,530,000		1,455,412
Premise Health Holding Corp., Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.35%		07/10/25	^1,7		694,882		692,280
Prospect Medical Holdings, Inc., Term Loan B1, 1st Lien
(LIBOR plus 5.50%)
8.00%		02/22/24	¹		980,069		895,945
Surgery Center Holdings, Inc., Term Loan, 1st Lien
(LIBOR plus 3.25%)
5.75%		09/02/24	¹		1,233,706		1,213,917
TecoStar Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.99%		05/01/24	¹		703,094		700,239
Viant Medical Holdings, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.35%		07/02/25	¹		995,000		996,557
Wink Holdco, Inc., Term Loan, 1st Lien
(LIBOR plus 3.00%)
5.50%		12/02/24	¹		985,597		957,261
Wink Holdco, Inc., Term Loan, 2nd Lien
(LIBOR plus 6.75%)
9.25%		12/01/25	¹		250,000		245,000


							25,414,387

Industrials — 10.18%
Agro Merchants North America Holdings,
Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.35%		12/06/24	¹		1,526,224		1,511,923
American Traffic Solutions Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.25%		02/28/25	¹		1,489,975		1,493,700
Berry Global, Inc., Term Loan Q, 1st Lien
(LIBOR plus 2.00%)
4.61%		10/03/22	¹		469,600		467,278


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Berry Global, Inc., Term Loan R, 1st Lien
(LIBOR plus 2.00%)
4.49%		01/19/24	¹	$	490,000	$	487,185
CHG PPC Parent LLC, Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.25%		03/30/25	¹		992,500		977,613
Clean Harbors, Inc., Term Loan B, 1st Lien
(LIBOR plus 1.75%)
4.25%		06/28/24	¹		1,827,549		1,825,265
CPI Holdco LLC, Term Loan, 1st Lien
(LIBOR plus 3.50%)
6.24%		03/21/24	¹		1,960,007		1,940,407
CRCI Longhorn Holdings, Inc., Term Loan, 1st Lien
(LIBOR plus 3.50%)
6.00%		08/08/25	¹		1,990,000		1,960,150
IBC Capital Limited, Term Loan B1, 1st Lien
(LIBOR plus 3.75%)
6.36%		09/11/23	¹		1,980,000		1,925,560
Infiltrator Water Technologies LLC,
Term Loan B2, 1st Lien
(LIBOR plus 3.00%)
5.60%		05/27/22	¹		1,452,382		1,440,589
Jade Germany GMBH, Term Loan, 1st Lien (Germany)
(LIBOR plus 5.50%)
8.15%		05/31/23	^1,2		982,500		953,025
Pelican Products, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.98%		05/01/25	¹		496,250		490,459
Penn Engineering & Manufacturing Corp.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.24%		06/27/24	¹		736,875		735,033
PGT Innovations, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
6.00%		04/30/19	¹		59,236		59,162
6.08%		02/16/22	¹		59,236		59,162
PLZ Aeroscience Corp., Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.99%		08/01/22	¹		1,193,587		1,189,111
ProAmpac PG Borrower LLC,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.99%		11/20/23	¹		534,496		517,291
6.19%		11/20/23	¹		323,753		313,331
6.24%		11/20/23	¹		367,477		355,648
6.27%		11/20/23	¹		240,523		232,781


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Spectrum Holdings III Corp., Term Loan, 1st Lien
(LIBOR plus 3.25%)
5.75%		01/31/25	¹	$	1,445,425	$	1,373,154
Technimark LLC, Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.38%		08/08/25	¹		997,500		987,525
Titan Acquisition, Ltd. Term Loan, 1st Lien
(LIBOR plus 3.00%)
5.50%		03/28/25	¹		496,241		462,868
Transcendia Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
6.00%		05/30/24	¹		1,477,547		1,398,129
Transdigm, Inc., Term Loan F, 1st Lien
(LIBOR plus 2.50%)
5.00%		06/09/23	¹		1,476,455		1,445,081
TricorBraun, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.35%		11/30/23	¹		1,347,426		1,345,014
6.36%		11/30/23	¹		119,846		119,632
TruGreen Limited Partnership, Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.23%		03/19/26	¹		1,000,000		1,003,125
Tyco International Holdings SARL,
Term Loan
(LIBOR plus 1.25%)
4.16%		03/02/20	^1,3,4		136,500		136,074
Zep, Inc., Term Loan B, 1st Lien
(LIBOR plus 4.00%)
6.60%		08/12/24	¹		738,750		655,024


							27,860,299

Information Technology — 7.93%
Ascend Learning LLC, Term Loan B, 1st Lien
(LIBOR plus 3.00%)
5.50%		07/12/24	¹		985,000		966,531
Ciena Corp., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.49%		09/26/25	¹		498,750		498,957
Dell International LLC, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		09/07/23	¹		1,346,284		1,332,714
DigiCert Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 4.00%)
6.50%		10/31/24	¹		1,490,013		1,467,044


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
EagleView Technology Corp., Term Loan B,
1st Lien
(LIBOR plus 3.50%)
5.98%		08/14/25	¹	$	498,750	$	486,695
First Data Corp., Term Loan, 1st Lien
(LIBOR plus 2.00%)
4.49%		07/08/22	¹		934,132		932,876
4.49%		04/26/24	¹		528,184		527,252
GlobalLogic Holdings, Inc., Term Loan B,
1st Lien
(LIBOR plus 3.25%)
5.75%		08/01/25	^1,8		435,313		434,224
Imperva, Inc., Term Loan, 1st Lien
(LIBOR plus 4.00%)
6.49%		11/20/25	¹		1,500,000		1,490,393
IQVIA, Inc., Term Loan B2, 1st Lien
(LIBOR plus 2.00%)
4.60%		01/17/25	¹		1,979,949		1,976,980
IQVIA, Inc., Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
4.25%		06/11/25	¹		496,250		491,751
Microchip Technology, Inc., Term Loan,
1st Lien
(LIBOR plus 2.00%)
4.50%		05/29/25	¹		318,800		315,931
Oberthur Technologies Of America Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.35%		01/10/24	¹		1,470,000		1,443,224
OpenLink International Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
7.40%		03/21/25	¹		709,779		702,980
Perspecta, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.75%		05/30/25	¹		496,250		495,009
Project Alpha Intermediate Holdings Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
6.37%		04/26/24	¹		982,500		960,394
Scientific Games International, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.75%)
5.25%		04/30/19	¹		287,455		280,448
5.33%		04/30/19	¹		1,197,545		1,168,355
Sophia LP, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.85%		09/30/22	¹		1,155,925		1,150,388


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
SS&C Technologies, Inc., Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	¹	$	1,043,410	$	1,036,377
SS&C Technologies, Inc., Term Loan B4, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	¹		750,209		745,153
SS&C Technologies, Inc., Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	¹		497,459		493,910
TierPoint LLC, Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.25%		05/05/24	¹		465,948		442,552
VT Topco, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.35%		06/28/19	^1,9		114,536		113,927
6.35%		08/01/25	¹		796,000		791,773
Zotec Partners LLC, Term Loan, 1st Lien
(LIBOR plus 5.00%)
7.49%		02/14/24	¹		975,000		964,031


							21,709,869

Materials — 3.85%
Archroma Finance SARL, Term Loan B2,
1st Lien (Switzerland)
(LIBOR plus 4.00%)
6.60%		08/11/24	¹		3,750		3,722
6.80%		08/11/24	^1,2		735,000		729,488
Berry Plastics Group, Inc. Term Loan S, 1st Lien
(LIBOR plus 1.75%)
4.24%		02/08/20	¹		250,000		249,565
Berry Plastics Group, Inc. Term Loan T, 1st Lien
(LIBOR plus 1.75%)
4.24%		01/06/21	¹		900,000		897,872
Cyanco Intermediate 2 Corp., Term Loan, 1st Lien
(LIBOR plus 3.50%)
6.00%		03/16/25	¹		1,489,975		1,475,693
DuBois Chemicals, Inc., Term Loan, 1st Lien
(LIBOR plus 3.25%)
5.75%		03/15/24	¹		1,716,880		1,694,346
Flex Acquisition Co., Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.74%		06/29/25	¹		3,750		3,644
5.88%		06/03/19	¹		1,488,750		1,446,477


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Materials (continued)
Multi-Color Corp., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		10/31/24	¹	$	493,750	$	493,212
Schenectady International Group, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
7.54%		10/15/25	¹		598,500		599,248
Starfruit Finco BV, Term Loan B, 1st Lien
(Netherlands)
(LIBOR plus 3.25%)
5.74%		10/01/25	^1,2		1,000,000		988,130
WR Grace & Co., Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
4.35%		04/03/25	¹		733,158		723,839
WR Grace & Co., Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
4.35%		04/03/25	¹		1,256,842		1,240,868


							10,546,104

Real Estate Investment Trust (REIT) — 1.85%
Lightstone Holdco LLC, Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.25%		01/30/24	¹		887,192		860,208
Lightstone Holdco LLC, Term Loan C, 1st Lien
(LIBOR plus 3.75%)
6.25%		01/30/24	¹		50,039		48,517
MGM Growth Properties Operating
Partnership LP, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		04/25/23	¹		2,043,143		2,018,523
VICI Properties 1 LLC, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.49%		12/20/24	¹		2,159,091		2,124,686


							5,051,934

Retail — 1.33%
BC ULC/New Red Finance, Inc.,
Term Loan B-3, 1st Lien (Canada)
(LIBOR plus 2.25%)
4.75%		02/17/24	^1,2		2,218,289		2,186,856
IRB Holding Corp., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.74%		02/05/25	¹		1,489,975		1,455,653


							3,642,509


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services — 5.51%
Aramark Services, Inc., Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
4.25%		03/11/25	¹	$	1,865,325	$	1,853,378
Carlisle Foodservice Products, Inc.
Term Loan, 1st Lien
(LIBOR plus 3.00%)
5.50%		03/20/25	¹		495,695		482,993
CIBT Global, Inc.
Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.35%		06/28/19	¹		1,093,190		1,068,593
6.43%		08/30/19	¹		143,032		139,813
Epic Y-Grade Services LP, Term Loan B, 1st Lien
(LIBOR plus 5.50%)
8.00%		06/07/25	¹		250,000		244,375
GFL Environmental, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.00%)
5.50%		05/30/25	¹		987,919		957,352
Lakeland Tours LLC, Term Loan B, 1st Lien
(LIBOR plus 4.00%)
6.61%		12/16/24	¹		1,491,244		1,485,652
Laureate Education, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
6.00%		04/26/24	¹		362,682		363,092
Mister Car Wash Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.75%		08/20/21	¹		219,435		218,704
PODS LLC, Term Loan B4, 1st Lien
(LIBOR plus 2.75%)
5.24%		12/06/24	¹		1,484,930		1,459,723
PowerTeam Services LLC, Term Loan, 1st Lien
(LIBOR plus 3.25%)
5.85%		03/06/25	¹		1,459,653		1,399,443
PowerTeam Services LLC, Term Loan, 2nd Lien
(LIBOR plus 7.25%)
9.85%		03/06/26	¹		750,000		727,500
Prime Security Services Borrower LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
5.25%		05/02/22	¹		1,119,345		1,109,556
St. George’s University Scholastic Services
LLC, Term Loan B, 1st Lien
(LIBOR plus 3.50%)
6.00%		06/20/25	¹		2,160,827		2,160,827


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services (continued)
TKC Holdings, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.25%		02/01/23	¹	$	1,426,115	$	1,402,941


							15,073,942

Transportation — 1.54%
American Airlines, Inc., Term Loan B, 1st Lien
(LIBOR plus 1.75%)
4.24%		06/27/25	¹		1,293,406		1,260,495
Arctic LNG Carriers Ltd., Term Loan B, 1st Lien
(LIBOR plus 4.50%)
7.00%		05/18/23	¹		491,250		480,197
Commercial Barge Line Co., Term Loan B, 1st Lien
(LIBOR plus 8.75%)
11.25%		11/12/20	¹		178,947		126,337
International Seaways, Inc., Term Loan, 1st Lien
(LIBOR plus 6.00%)
8.50%		06/22/22	¹		1,424,890		1,440,920
Navios Maritime Partners LP, Term Loan B, 1st Lien (Greece)
(LIBOR plus 5.00%)
7.60%		09/14/20	^1,2		902,850		899,089


							4,207,038

Total Bank Loans (Cost $241,197,051)							238,592,062


CORPORATES — 6.03%*
Communications — 0.96%
CSC Holdings LLC
6.50%		02/01/29	¹⁰		500,000		533,437
6.75%		11/15/21			1,000,000		1,071,250
T-Mobile USA, Inc.
6.00%		03/01/23			1,000,000		1,030,000


							2,634,687

Consumer Discretionary — 0.35%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A.
5.75%		10/15/20			969,108		970,925


Energy — 0.19%
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		09/01/27	¹⁰		500,000		510,625


Finance — 0.88%
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.55%)


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
3.20%		08/25/36	¹	$	1,800,000	$	1,419,572
Goldman Sachs Group, Inc. (The) (MTN)
3.85%		07/08/24			980,000		1,001,081


							2,420,653

Health Care — 1.82%
CHS/Community Health Systems, Inc.
5.13%		08/01/21			250,000		246,237
Cigna Corp.
(LIBOR USD 3-Month plus 0.89%)
3.68%		07/15/23	^1,10		2,700,000		2,688,417
CVS Health Corp.
(LIBOR USD 3-Month plus 0.72%)
3.32%		03/09/21	¹		1,000,000		1,002,634
Tenet Healthcare Corp.
6.00%		10/01/20			1,000,000		1,038,750


							4,976,038

Industrials — 0.89%
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
3.16%		08/15/36	¹		850,000		650,310
Sealed Air Corp.
5.25%		04/01/23	¹⁰		1,500,000		1,563,750
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)
7.75%		04/15/26	^2,10		250,000		216,875


							2,430,935

Information Technology — 0.19%
SS&C Technologies, Inc.
5.50%		09/30/27	¹⁰		500,000		505,938


Real Estate Investment Trust (REIT) — 0.49%
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
3.66%		08/16/21	¹		1,350,000		1,344,368


Services — 0.09%
Hulk Finance Corp. (Canada)
7.00%		06/01/26	^2,10		250,000		237,500


Transportation — 0.17%
American Airlines Pass-Through Trust, Series 2013-2, Class B
5.60%		07/15/20	¹⁰		454,363		462,269


Total Corporates (Cost $16,474,845)							16,493,938

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS — 0.15%*

California — 0.15%

State of California, Build America Bonds

7.95%

03/01/36

$400,000

$419,128

Total Municipal Bonds
(Cost $420,035)

Total Bonds – 93.37%

(Cost $258,091,931)

255,505,128

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 10.44%

Money Market Funds — 3.14%

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

2.39%¹¹

8,592,000

U.S. Treasury Bills — 7.30%

U.S. Treasury Bills

2.39%¹²

04/11/19

3,000,000

2,998,026

2.41%¹²

04/16/19

12,000,000

11,987,950

U.S. Treasury Bills (WI)

2.39%¹²

05/07/19

5,000,000

4,988,095

19,974,071

Total Short-Term Investments
(Cost $28,566,063)

28,566,071

Total Investments – 103.81%
(Cost $286,657,994)

284,071,199

Net unrealized depreciation on unfunded commitments (0.00)%

(7,072

)

Liabilities in Excess of Other

Assets – (3.81)%

(10,428,129

)

Net Assets – 100.00%

273,635,998

¹	Floating rate security. The rate disclosed was in effect at March 31, 2019.

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 Board of Trustees. The aggregate value of illiquid securities is $2,478,928, which is 0.91% of total net assets.

⁵	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $260,531, at an interest rate of 1.88% and a maturity of November 13, 2025. The investment is accruing an unused commitment fee of 0.25% per annum.

⁶	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $102,577, at an interest rate of 1.00% and a maturity of February 14, 2025. The investment is not accruing an unused commitment fee.

⁷	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $55,219, at an interest rate of 1.00% and a maturity of July 10, 2025. The investment is accruing an unused commitment fee of 0.25% per annum.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $62,344, at an interest rate of 3.25% and a maturity of August 01, 2025. 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 $84,482, at an interest rate of 3.75% and a maturity of August 01, 2025. The investment is not accruing an unused commitment fee.

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 the current yield as of March 31, 2019.

¹²	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.

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 87.33%
BANK LOANS — 18.66%*
Communications — 6.10%
CenturyLink, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.25%		01/31/25	¹	$	2,482,406	$	2,438,976
Colorado Buyer, Inc., Term Loan, 1st Lien
(LIBOR plus 3.00%)
5.60%		05/01/24	¹		913,725		887,076
Colorado Buyer, Inc., Term Loan, 2nd Lien
(LIBOR plus 7.25%)
9.86%		05/01/25	¹		480,000		439,200
CommScope, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.73%		02/06/26	¹		2,500,000		2,502,075
CSC Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.73%		07/17/25	¹		5,637,996		5,486,982
Intelsat Jackson Holdings SA,
Term Loan B5, 1st Lien (Luxembourg)
6.63%		01/02/24	²		1,329,300		1,332,956
NEP Group, Inc., Term Loan, 2nd Lien
(LIBOR plus 7.00%)
9.50%		10/19/26	¹		875,000		866,250
SBA Senior Finance II LLC, Term Loan B,
1st Lien
(LIBOR plus 2.00%)
4.50%		04/11/25	¹		2,336,448		2,290,654
Sprint Communications, Inc., Term Loan B,
1st Lien
(LIBOR plus 2.50%)
5.00%		02/02/24	¹		4,135,053		4,035,811
(LIBOR plus 3.00%)
5.50%		02/02/24	¹		1,047,375		1,032,974
Unitymedia Finance LLC, Term Loan E, 1st Lien
(LIBOR plus 2.00%)
4.48%		06/01/23	¹		3,089,552		3,057,946
Virgin Media Bristol LLC, Term Loan K, 1st Lien
(LIBOR plus 2.50%)
4.98%		01/15/26	¹		5,000,000		4,952,675


							29,323,575

Consumer Discretionary — 0.62%
Alphabet Holding Co., Inc., Term Loan, 1st Lien
(LIBOR plus 3.50%)
6.00%		09/26/24	¹		1,494,090		1,389,512


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
CityCenter Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/18/24	¹	$	1,592,366	$	1,566,864


							2,956,376

Energy — 1.23%
Vistra Operations Co., LLC, Term Loan B1, 1st Lien
(LIBOR plus 2.00%)
4.50%		08/04/23	¹		1,742,350		1,725,693
Vistra Operations Co., LLC, Term Loan B3, 1st Lien
(LIBOR plus 2.00%)
4.48%		12/31/25	¹		4,240,214		4,184,031


							5,909,724

Finance — 0.44%
Auris Lux Co., Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
6.25%		02/27/26	^1,2		525,000		525,656
UFC Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.75%		08/18/23	¹		1,621,684		1,613,591


							2,139,247

Food — 0.11%
Northeast Foods LLC, Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.25%		07/20/25	¹		545,875		538,369


Gaming — 0.20%
Golden Nugget, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.23%		10/04/23	¹		958,622		950,460


Health Care — 2.12%
Aveanna Healthcare LLC, Term Loan, 1st Lien
(LIBOR plus 4.25%)
6.88%		03/13/24	¹		779,050		749,836
Aveanna Healthcare LLC, Term Loan, 2nd Lien
(LIBOR plus 8.00%)
10.63%		03/16/25	¹		465,000		445,238
Bausch Health Cos., Inc., Term Loan B, 1st Lien
(LIBOR plus 3.00%)
5.48%		06/02/25	¹		2,804,551		2,789,785
Catalent Pharma Solutions, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.75%		05/20/24	¹		842,837		840,338


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.25%		03/01/24	¹	$	2,889,693	$	2,855,840
Gentiva Health Services, Inc., Term Loan, 2nd Lien
(LIBOR plus 7.00%)
9.50%		07/02/26	¹		550,000		563,750
Gentiva Health Services, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.25%		07/02/25	¹		1,094,049		1,098,152
Wink Holdco, Inc., Term Loan, 2nd Lien
(LIBOR plus 6.75%)
9.25%		12/01/25	¹		850,000		833,000


							10,175,939

Information Technology — 3.86%
Dell International LLC, Term Loan A2, 1st Lien
(LIBOR plus 1.75%)
4.25%		09/07/21	¹		1,718,687		1,715,120
First Data Corp., Term Loan, 1st Lien
(LIBOR plus 2.00%)
4.49%		07/08/22	¹		1,930,282		1,927,686
4.49%		04/26/24	¹		6,689,948		6,678,140
IQVIA, Inc., Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
4.25%		06/11/25	¹		2,353,145		2,331,814
Scientific Games International, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.75%)
5.33%		08/14/24	¹		1,809,380		1,765,276
SS&C Technologies, Inc., Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	¹		1,701,954		1,690,483
SS&C Technologies, Inc., Term Loan B4, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	¹		1,223,701		1,215,453
TierPoint LLC, Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.25%		05/05/24	¹		1,268,245		1,204,567


							18,528,539

Materials — 0.46%
Axalta Coating Systems US Holdings, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
4.35%		06/01/24	¹		994,975		975,389


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Materials (continued)
Berry Plastics Group, Inc. Term Loan S, 1st Lien
(LIBOR plus 1.75%)
4.24%		02/08/20	¹	$	1,250,000	$	1,247,825


							2,223,214

Real Estate Investment Trust (REIT) — 1.69%
MGM Growth Properties Operating
Partnership LP, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		04/25/23	¹		5,044,141		4,983,359
VICI Properties 1 LLC, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.49%		12/20/24	¹		3,203,636		3,152,586


							8,135,945

Retail — 1.14%
BC ULC/New Red Finance, Inc.,
Term Loan B-3, 1st Lien (Canada)
(LIBOR plus 2.25%)
4.75%		02/17/24	^1,2		5,573,241		5,494,268


Services — 0.69%
Mister Car Wash Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.75%		08/20/21	¹		1,808,353		1,802,331
PowerTeam Services LLC, Term Loan, 2nd Lien
(LIBOR plus 7.25%)
9.85%		03/06/26	¹		1,565,000		1,518,050


							3,320,381

Total Bank Loans
(Cost $90,332,844)							89,696,037


CORPORATES — 68.67%*
Automotive — 1.36%
Allison Transmission, Inc.
5.88%		06/01/29	³		1,120,000		1,135,400
Panther BF Aggregator 2 LP/Panther Finance Co., Inc.
6.25%		05/15/26	³		5,261,000		5,379,373


							6,514,773

Communications — 19.44%
Altice Financing SA (Luxembourg)
7.50%		05/15/26	^2,3		1,593,000		1,576,273
Altice France SA (France)
7.38%		05/01/26	^2,3		3,134,000		3,079,155
AMC Networks, Inc.
4.75%		08/01/25			863,000		860,843


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Cable One, Inc.
5.75%		06/15/22	³	$	2,495,000	$	2,538,663
Charter Communications Operating
LLC/Charter Communications Operating
Capital
4.91%		07/23/25			5,000,000		5,285,797
Clear Channel International BV
(Netherlands)
8.75%		12/15/20	^2,3		4,108,000		4,231,240
CommScope Finance LLC
6.00%		03/01/26	³		2,233,000		2,315,331
CSC Holdings LLC
6.50%		02/01/29	³		1,166,000		1,243,976
DISH DBS Corp.
5.88%		11/15/24			489,000		413,205
7.75%		07/01/26			449,000		392,448
DISH Network Corp.
3.38%		08/15/26			1,398,000		1,191,096
EW Scripps Co. (The)
5.13%		05/15/25	³		1,967,000		1,900,614
Frontier Communications Corp.
7.13%		01/15/23			4,161,000		2,569,417
8.00%		04/01/27	³		918,000		951,277
8.50%		04/01/26	³		918,000		856,035
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	²		4,829,000		4,309,883
8.50%		10/15/24	^2,3		1,781,000		1,733,136
Intelsat Luxembourg SA (Luxembourg)
8.13%		06/01/23	²		2,545,000		1,781,500
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	²		1,100,000		1,395,134
Level 3 Financing, Inc.
5.38%		05/01/25			4,626,000		4,696,778
6.13%		01/15/21			1,850,000		1,868,870
Midcontinent Communications/Midcontinent Finance Corp.
6.88%		08/15/23	³		1,255,000		1,310,258
Qwest Corp.
6.75%		12/01/21			4,830,000		5,149,987
6.88%		09/15/33			1,528,000		1,528,000
Radiate Holdco LLC/Radiate Finance, Inc.
6.88%		02/15/23	³		879,000		874,605
Sinclair Television Group, Inc.
5.38%		04/01/21			3,350,000		3,358,375
Sirius XM Radio, Inc.
3.88%		08/01/22	³		2,999,000		2,995,251
Sprint Capital Corp.
8.75%		03/15/32			7,642,000		8,052,757


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	³	$	2,510,000	$	2,506,361
5.15%		03/20/28	³		4,154,000		4,237,080
TEGNA, Inc.
5.13%		10/15/19			2,980,000		2,991,175
T-Mobile USA, Inc.
4.75%		02/01/28			2,286,000		2,271,713
6.00%		03/01/23			6,000,000		6,180,000
6.50%		01/15/24			5,025,000		5,219,719
Univision Communications, Inc.
5.13%		02/15/25	³		1,123,000		1,048,657
Windstream Services LLC/Windstream Finance Corp.⁴
9.00%		06/30/25	^3,5		726,000		497,310


							93,411,919

Consumer Discretionary — 4.08%
Bacardi Ltd. (Bermuda)
5.30%		05/15/48	^2,3		1,475,000		1,416,068
Central Garden & Pet Co.
5.13%		02/01/28			3,155,000		2,942,037
High Ridge Brands Co.
8.88%		03/15/25	^3,6,7		400,000		162,000
KFC Holding Co./Pizza Hut Holdings LLC/
Taco Bell of America LLC
5.25%		06/01/26	³		2,280,000		2,307,132
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC/Reynolds Group Issuer
Luxembourg S.A.
5.75%		10/15/20			5,427,003		5,437,179
(LIBOR USD 3-Month plus 3.50%)
6.29%		07/15/21	^1,3		5,190,000		5,222,437
Spectrum Brands, Inc.
6.13%		12/15/24			2,025,000		2,057,906
6.63%		11/15/22			77,000		78,963


							19,623,722

Electric — 0.88%
Energizer Holdings, Inc.
7.75%		01/15/27	³		3,758,000		4,011,665
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20	^6,7		204,033		214,362


							4,226,027

Energy — 11.66%
Antero Resources Corp.
5.00%		03/01/25			3,083,000		3,044,463
Centennial Resource Production LLC
6.88%		04/01/27	³		4,000,000		4,049,200


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	³	$	570,000	$	548,625
Endeavor Energy Resources LP/EER
Finance, Inc.
5.75%		01/30/28	³		839,000		883,047
Energy Transfer Operating LP
5.50%		06/01/27			2,889,000		3,135,089
5.88%		01/15/24			3,055,000		3,350,174
Ensco PLC (United Kingdom)
7.75%		02/01/26	²		1,398,000		1,186,553
EQT Corp.
3.90%		10/01/27			2,280,000		2,134,725
Matador Resources Co.
5.88%		09/15/26			766,000		767,915
NGPL Pipe Co. LLC
4.38%		08/15/22	³		2,765,000		2,813,387
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	³		1,212,000		1,199,880
Range Resources Corp.
4.88%		05/15/25			1,610,000		1,501,325
Rockies Express Pipeline LLC
5.63%		04/15/20	³		4,553,000		4,672,516
6.88%		04/15/40	³		2,578,000		2,779,780
Sabine Pass Liquefaction LLC
5.63%		03/01/25			1,615,000		1,779,528
Seven Generations Energy Ltd. (Canada)
5.38%		09/30/25	^2,3		986,000		965,047
SunCoke Energy Partners LP/SunCoke
Energy Partners Finance Corp.
7.50%		06/15/25	³		740,000		753,875
Sunoco LP/Sunoco Finance Corp.
6.00%		04/15/27	³		945,000		952,088
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29	³		3,370,000		3,669,088
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26			2,170,000		2,050,650
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^2,3		1,518,615		1,545,191
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^2,3		2,490,000		2,595,825
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^2,3		1,522,400		1,569,975
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26			1,996,000		2,058,375
6.88%		09/01/27	³		1,587,000		1,620,724
Williams Cos., Inc. (The)
3.70%		01/15/23			1,695,000		1,726,506
4.55%		06/24/24			1,650,000		1,745,467


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
WPX Energy, Inc.
5.25%		09/15/24		$	814,000	$	826,210
5.75%		06/01/26			102,000		103,913


							56,029,141

Finance — 1.87%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
3.50%		01/15/25	²		450,000		434,251
4.88%		01/16/24	²		2,500,000		2,604,687
International Lease Finance Corp.
6.25%		05/15/19			4,000,000		4,014,741
Trident Merger Sub, Inc.
6.63%		11/01/25	³		2,073,000		1,948,620


							9,002,299

Food — 1.85%
B&G Foods, Inc.
4.63%		06/01/21			1,360,000		1,361,700
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	³		555,000		500,194
Pilgrim’s Pride Corp.
5.88%		09/30/27	³		2,068,000		2,088,680
Post Holdings, Inc.
5.63%		01/15/28	³		1,208,000		1,203,470
Sigma Holdco BV (Netherlands)
7.88%		05/15/26	^2,3		1,912,000		1,773,380
Smithfield Foods, Inc.
5.20%		04/01/29	³		1,950,000		1,961,392


							8,888,816

Gaming — 2.75%
Boyd Gaming Corp.
6.00%		08/15/26			1,839,000		1,891,871
Caesars Resort Collection LLC/CRC Finco, Inc.
5.25%		10/15/25	³		2,585,000		2,497,756
Churchill Downs, Inc.
4.75%		01/15/28	³		1,245,000		1,190,531
5.50%		04/01/27	³		3,662,000		3,713,451
Rivers Pittsburgh Borrower LP/Rivers
Pittsburgh Finance Corp.
6.13%		08/15/21	³		1,940,000		1,944,850
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.25%		05/15/27	³		1,119,000		1,061,651
5.50%		03/01/25	³		910,000		900,900


							13,201,010


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care — 8.73%
Acadia Healthcare Co., Inc.
6.50%		03/01/24		$	1,702,000	$	1,753,060
Bausch Health Cos., Inc. (Canada)
5.75%		08/15/27	^2,3		2,060,000		2,117,268
6.50%		03/15/22	^2,3		865,000		896,356
Centene Corp.
5.63%		02/15/21			2,514,000		2,554,853
6.13%		02/15/24			1,624,000		1,707,717
CHS/Community Health Systems, Inc.
5.13%		08/01/21			1,386,000		1,365,141
6.25%		03/31/23			882,000		833,181
6.88%		02/01/22			1,021,000		675,136
8.00%		03/15/26	³		1,750,000		1,684,375
Elanco Animal Health, Inc.
3.91%		08/27/21	³		2,147,000		2,183,685
4.90%		08/28/28	³		1,740,000		1,848,883
Endo DAC/Endo Finance LLC/Endo Finco,
Inc. (Ireland)
6.00%		02/01/25	^2,3		1,315,000		956,071
HCA, Inc.
5.88%		02/01/29			2,005,000		2,162,793
6.50%		02/15/20			5,234,000		5,388,403
Molina Healthcare, Inc.
4.88%		06/15/25	³		2,769,000		2,748,233
MPH Acquisition Holdings LLC
7.13%		06/01/24	³		548,000		548,000
Tenet Healthcare Corp.
4.75%		06/01/20			7,654,000		7,749,675
6.00%		10/01/20			4,618,000		4,796,948


							41,969,778

Industrials — 5.16%
Ardagh Packaging Finance PLC/Ardagh
Holdings USA, Inc. (Ireland)
6.00%		02/15/25	^2,3		1,624,000		1,628,060
Ball Corp.
4.38%		12/15/20			1,000,000		1,020,000
Berry Global, Inc.
4.50%		02/15/26	³		3,074,000		2,928,600
Bombardier, Inc. (Canada)
7.88%		04/15/27	^2,3		1,546,000		1,596,709
Clean Harbors, Inc.
5.13%		06/01/21			3,723,000		3,741,615
Covanta Holding Corp.
5.88%		07/01/25			530,000		541,263
6.00%		01/01/27			475,000		477,375
Crown Americas LLC/Crown Americas
Capital Corp. V
4.25%		09/30/26			1,803,000		1,748,910


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
General Electric Co. (GMTN)
6.00%		08/07/19		$	2,075,000	$	2,097,040
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
3.16%		08/15/36	¹		1,300,000		994,591
Graphic Packaging International LLC
4.88%		11/15/22			2,109,000		2,156,453
Sealed Air Corp.
5.25%		04/01/23	³		1,237,000		1,289,573
5.50%		09/15/25	³		1,115,000		1,176,548
Silgan Holdings, Inc.
4.75%		03/15/25			1,539,000		1,517,839
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)
7.75%		04/15/26	^2,3		2,195,000		1,904,163


							24,818,739

Information Technology — 1.67%
CDK Global, Inc.
3.80%		10/15/19			2,823,000		2,830,057
SS&C Technologies, Inc.
5.50%		09/30/27	³		2,500,000		2,529,687
Zayo Group LLC/Zayo Capital, Inc.
5.75%		01/15/27	³		2,678,000		2,678,803


							8,038,547

Materials — 0.48%
Valvoline, Inc.
4.38%		08/15/25			2,388,000		2,292,480


Real Estate Investment Trust (REIT) — 0.69%
GLP Capital LP/GLP Financing II, Inc.
5.30%		01/15/29			1,890,000		1,990,680
5.75%		06/01/28			1,215,000		1,309,102


							3,299,782

Retail — 1.35%
Cumberland Farms, Inc.
6.75%		05/01/25	³		540,000		563,625
IRB Holding Corp.
6.75%		02/15/26	³		1,303,000		1,228,077
Nathan’s Famous, Inc.
6.63%		11/01/25	³		696,000		677,730
Rite Aid Corp.
6.13%		04/01/23	³		4,858,000		4,026,067


							6,495,499

Services — 2.66%
GFL Environmental, Inc. (Canada)
5.38%		03/01/23	^2,3		1,234,000		1,172,300


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Services (continued)
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^2,3		$2,877,000		$ 2,881,315
4.75%		02/15/25	^2,3		455,000		474,788
Matthews International Corp.
5.25%		12/01/25	³		2,158,000		2,085,167
Service Corp. International/U.S.
4.50%		11/15/20			2,480,000		2,476,900
4.63%		12/15/27			1,174,000		1,171,065
Waste Pro USA, Inc.
5.50%		02/15/26	³		2,610,000		2,525,175


							12,786,710

Transportation — 4.04%
American Airlines Pass-Through Trust,
Series 2013-1, Class B
5.63%		01/15/21	³		3,061,272		3,114,000
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	^2,3		2,102,000		2,144,040
5.25%		05/15/24	^2,3		2,234,000		2,306,605
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			1,077,281		1,113,640
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			6,658,162		7,091,268
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			1,289,517		1,382,928
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			2,096,078		2,266,969


							19,419,450

Total Corporates
(Cost $327,923,092)							330,018,692


Total Bonds – 87.33%
(Cost $418,255,936)							419,714,729


Issues	Shares		Value
COMMON STOCK — 0.91%
Electric — 0.89%
Homer City Holdings
LLC^3,4,6,7,8		502,908		4,274,718


Energy — 0.02%
Sabine Oil & Gas
Holdings, Inc.^3,4,6,7		3,587		104,023


Total Common Stock
(Cost $30,886,763)				4,378,741


Issues	Shares		Value
WARRANT — 0.01%
Energy — 0.01%
Sabine Oil & Gas Holdings,
Inc. Warrant Tranche 1^3,4,6,7		11,172		$47,481
Sabine Oil & Gas Holdings,
Inc. Warrant Tranche 2^4,6,7		2,347		8,215


				55,696

Total Warrant
(Cost $2,595,507)


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 12.92%
Money Market Funds — 2.49%
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.39%⁹				11,952,000		11,952,000


U.S. Agency Discount Notes — 1.87%
Federal Home Loan Bank
2.44%¹⁰		04/26/19	$	9,000,000		8,984,938


U.S. Treasury Bills — 8.56%
U.S. Treasury Bills
2.29%¹⁰		04/23/19		19,800,000		19,771,150
2.36%¹⁰		04/09/19		5,000,000		4,997,364
2.41%^10,11		06/20/19		870,000		865,441
2.42%¹⁰		07/18/19		3,200,000		3,177,380
U.S. Treasury Bills (WI)
2.39%¹⁰		05/07/19		1,500,000		1,496,429
2.41%¹⁰		07/11/19		10,900,000		10,827,708

						41,135,472

Total Short-Term Investments (Cost $62,072,304)						62,072,410


Total Investments – 101.17% (Cost $513,810,510)						486,221,576


Liabilities in Excess of Other
Assets – (1.17)%						(5,641,459	)


Net Assets – 100.00%					$	480,580,117

Floating rate security. The rate disclosed was in effect at March 31, 2019.

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

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

Non-income producing security.

⁵

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

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 Board of Trustees. The aggregate value of illiquid securities is $4,810,799, which is 1.00% of total net assets.

⁸

Affiliated investment.

⁹

Represents the current yield as of March 31, 2019.

¹⁰

Represents annualized yield at date of purchase.

¹¹

Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $865,389.

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.

(GMTN): Global medium-term note

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(USD): U.S. dollar

(WI): When issued

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 98.08%

ASSET-BACKED SECURITIES — 5.98%**

Academic Loan Funding Trust,

Series 2012-1A, Class A2

(LIBOR USD 1-Month plus 1.10%)

3.59%

12/27/44

^1,2

815,143

820,016

Barings CLO Ltd., Series 2013-IA,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.56%

01/20/28

^1,2,3

1,315,000

1,305,519

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.84%

07/20/28

^1,2,3

50,000

50,003

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

3.04%

01/25/35

^1,2

443,496

439,851

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

3.85%

02/25/35

650,000

659,216

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

3.45%

02/25/30

35,028

35,134

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

3.77%

10/27/36

1,030,000

1,031,058

CIT Education Loan Trust, Series 2007-1,

Class A

(LIBOR USD 3-Month plus 0.09%)

2.69%

03/25/42

^1,2

284,914

275,188

Dryden 71 CLO Ltd.,

Series 2018-71A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.84%

01/15/29

^1,2,3

1,715,000

1,714,410

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.69%

04/15/29

^1,2,3

1,785,000

1,769,422

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

3.42%

04/25/35

339,690

338,188

GCO Education Loan Funding Trust,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

3.14%

08/27/46

^1,2

807,953

770,898


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Global SC Finance II SRL, Series 2014-1A,
Class A2 (Barbados)
3.09%		07/17/29	^2,3	$	893,333	$	883,213
Higher Education Funding I, Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
3.70%		05/25/34	^1,2		1,190,952		1,200,054
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	²		470,751		489,186
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%		01/17/73	²		870,844		886,669
LCM XIX LP, Series 19A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
0.00%		07/15/27	^1,2,3		50,000		50,008
LCM XX LP, Series 20A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
3.80%		10/20/27	^1,2,3		1,700,000		1,697,847
Magnetite IX Ltd., Series 2014-9A,
Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
3.77%		07/25/26	^1,2,3		40,919		40,924
Magnetite XI Ltd., Series 2014-11A,
Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.12%)
3.90%		01/18/27	^1,2,3		2,400,000		2,401,165
Magnetite XVIII Ltd., Series 2016-18A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
3.76%		11/15/28	^1,2,3		50,000		49,876
Navient Student Loan Trust, Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
3.00%		06/25/31	¹		2,335,362		2,319,536
Navient Student Loan Trust, Series 2014-2, Class A
(LIBOR USD 1-Month plus 0.64%)
3.13%		03/25/83	¹		76,058		75,411
Navient Student Loan Trust, Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
3.11%		03/25/83	¹		1,987,697		1,967,617
Navient Student Loan Trust, Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
3.11%		03/25/83	¹		1,834,915		1,808,746
Navient Student Loan Trust, Series 2016-2A, Class A3
(LIBOR USD 1-Month plus 1.50%)
3.99%		06/25/65	^1,2		1,640,000		1,687,808

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Nelnet Student Loan Trust, Series 2011-1A, Class A

(LIBOR USD 1-Month plus 0.85%)

3.34%

02/25/48

^1,2

1,107,020

1,116,740

Nelnet Student Loan Trust, Series 2014-4A,

Class A2

(LIBOR USD 1-Month plus 0.95%)

3.44%

11/25/48

^1,2

1,370,000

1,362,808

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(1.00 X LIBOR USD 3-Month plus 0.75%)

3.52%

01/29/46

75,000

74,815

SLC Student Loan Trust, Series 2004-1,
Class B

(LIBOR USD 3-Month plus 0.29%)

2.97%

08/15/31

167,599

155,859

SLC Student Loan Trust, Series 2008-1, Class A4A

(LIBOR USD 3-Month plus 1.60%)

4.21%

12/15/32

376,648

387,056

SLM Student Loan Trust, Series 2004-2,

Class B

(LIBOR USD 3-Month plus 0.47%)

3.24%

07/25/39

200,946

190,710

SLM Student Loan Trust, Series 2006-2,

Class A6

(LIBOR USD 3-Month plus 0.17%)

2.94%

01/25/41

94,554

92,476

SLM Student Loan Trust, Series 2006-8,

Class A6

(LIBOR USD 3-Month plus 0.16%)

2.93%

01/25/41

1,025,000

995,805

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.97%

01/25/83

185,000

178,390

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.97%

04/26/83

185,000

177,371

SLM Student Loan Trust, Series 2008-4,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.62%

04/25/73

185,000

188,014

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.62%

07/25/73

2,235,000

2,271,365

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

3.87%

07/25/23

2,446,210

2,448,190


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		07/26/83	¹	$	185,000	$	188,571
SLM Student Loan Trust, Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		07/26/83	¹		185,000		188,525
SLM Student Loan Trust, Series 2008-8,
Class B
(LIBOR USD 3-Month plus 2.25%)
5.02%		10/25/75	¹		185,000		189,481
SLM Student Loan Trust, Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
4.27%		04/25/23	¹		951,327		962,838
SLM Student Loan Trust, Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
5.02%		10/25/83	¹		1,885,000		1,935,315
SLM Student Loan Trust, Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
3.54%		01/25/45	^1,2		3,733,334		3,719,410
SLM Student Loan Trust, Series 2011-2, Class A2
(LIBOR USD 1-Month plus 1.20%)
3.69%		10/25/34	¹		500,000		508,777
SLM Student Loan Trust, Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
3.14%		05/26/26	¹		764,058		753,119
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%		01/16/46	^2,†		550,091		633,377
Student Loan Consolidation Center Student
Loan Trust I, Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%		07/01/42	^1,2		600,000		566,614
TCI-Flatiron CLO Ltd., Series 2016-1,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
3.73%		07/17/28	^1,2,3		10,000		10,006
Treman Park CLO Ltd., Series 2015-1A,
Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
3.83%		10/20/28	^1,2,3		50,000		50,064

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Voya CLO Ltd., Series 2019-1A, Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

3.81%

04/15/29

^1,2,3

350,000

350,154

Total Asset-Backed Securities
(Cost $44,176,089)

44,462,813

BANK LOANS — 0.80%*

Automotive — 0.04%

Panther BF Aggregator 2 LP/Panther

Finance Co., Inc., Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.50%

03/18/26

300,000

296,997

Communications — 0.11%

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.73%

01/15/26

360,000

350,370

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

6.63%

01/02/24

225,000

225,619

Lamar Media Corp., Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.25%

03/14/25

198,000

197,836

Sprint Communications, Inc., Term Loan B, 1st Lien

(LIBOR plus 2.50%)

5.00%

02/02/24

54,582

53,272

827,097

Consumer Discretionary — 0.06%

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

(LIBOR plus 2.75%)

5.25%

02/05/23

438,775

434,438

Energy — 0.02%

Vistra Operations Co., LLC, Term Loan B1, 1st Lien

(LIBOR plus 2.00%)

4.50%

08/04/23

120,117

118,968

Finance — 0.28%

Avolon TLB Borrower 1 (US) LLC,

Term Loan B3, 1st Lien

(LIBOR plus 2.00%)

4.49%

01/15/25

107,091

106,378

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.35%

10/06/23

1,980,136

1,979,888

2,086,266


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Gaming — 0.01%
Churchill Downs, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		12/27/24	¹	$	54,585	$	54,517


Health Care — 0.07%
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.25%		03/01/24	¹		248,705		245,791
Gentiva Health Services, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
6.25%		07/02/25	¹		29,850		29,962
MPH Acquisition Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.75%)
5.35%		06/07/23	¹		241,103		233,928


							509,681

Industrials — 0.06%
TransDigm, Inc., Term Loan E, 1st Lien
(LIBOR plus 2.50%)
5.00%		05/30/25	¹		199,496		194,644
Tyco International Holdings SARL, Term Loan
(LIBOR plus 1.25%)
4.16%		03/02/20	^1,4,5		291,200		290,291


							484,935

Information Technology — 0.08%
Dell International LLC, Term Loan A2, 1st Lien
(LIBOR plus 1.75%)
4.25%		09/07/21	¹		408,188		407,341
SS&C Technologies, Inc., Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	¹		109,351		108,614
SS&C Technologies, Inc., Term Loan B4, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	¹		78,623		78,093


							594,048

Materials — 0.03%
Berry Plastics Group, Inc. Term Loan S, 1st Lien
(LIBOR plus 1.75%)
4.24%		02/08/20	¹		250,000		249,565


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Real Estate Investment Trust (REIT) — 0.04%
MGM Growth Properties Operating
Partnership LP, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		04/25/23	¹	$	299,229	$	295,623


Total Bank Loans (Cost $5,949,315)							5,952,135


CORPORATES — 30.15%*
Automotive — 0.12%
General Motors Co.
4.88%		10/02/23			845,000		879,255


Banking — 3.01%
Bank of America Corp.
3.00%		12/20/23	⁶		916,000		912,782
3.71%		04/24/28	⁶		605,000		606,084
Bank of America Corp. (GMTN)
3.59%		07/21/28	⁶		440,000		439,173
Bank of America Corp. (MTN)
3.09%		10/01/25	⁶		1,795,000		1,781,594
3.97%		03/05/29	⁶		40,000		40,808
4.13%		01/22/24			955,000		1,001,247
4.27%		07/23/29	⁶		920,000		958,146
Bank of New York Mellon Corp. (The) (MTN)
2.50%		04/15/21			1,076,000		1,072,703
2.60%		02/07/22			665,000		665,459
3.25%		09/11/24			365,000		370,444
JPMorgan Chase & Co.
3.22%		03/01/25	⁶		1,960,000		1,961,768
3.51%		06/18/22	⁶		40,000		40,571
3.51%		01/23/29	⁶		50,000		49,702
3.96%		01/29/27	⁶		50,000		51,676
4.02%		12/05/24	⁶		1,820,000		1,889,648
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,6		1,465,000		1,429,087
3.90%		03/12/24	³		355,000		359,941
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		10/16/20	³		1,065,000		1,062,541
4.80%		11/15/24	^3,6		50,000		51,505
Santander UK PLC (United Kingdom)
3.40%		06/01/21	³		1,650,000		1,663,216
U.S. Bancorp, Series V (MTN)
2.63%		01/24/22			95,000		95,147
Wells Fargo & Co.
3.00%		04/22/26			640,000		622,920
3.00%		10/23/26			1,810,000		1,766,605
Wells Fargo & Co. (MTN)
2.63%		07/22/22			355,000		352,605


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
3.30%		09/09/24		$	3,040,000	$	3,067,958
3.75%		01/24/24			50,000		51,483


							22,364,813

Commercial Services — 0.10%
RELX Capital, Inc.
4.00%		03/18/29			740,000		756,561


Communications — 2.79%
AT&T, Inc.
3.40%		05/15/25			1,980,000		1,967,012
4.10%		02/15/28			50,000		50,599
(LIBOR USD 3-Month plus 1.18%)
3.78%		06/12/24	¹		1,200,000		1,191,789
CBS Corp.
2.50%		02/15/23			40,000		38,974
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.13%		05/01/27	²		226,000		227,705
Charter Communications Operating
LLC/Charter Communications Operating
Capital
3.75%		02/15/28			450,000		434,181
4.91%		07/23/25			1,500,000		1,585,739
Clear Channel International BV
(Netherlands)
8.75%		12/15/20	^2,3		142,000		146,260
Comcast Corp.
2.75%		03/01/23			45,000		44,950
3.95%		10/15/25			1,700,000		1,779,494
CommScope Finance LLC
6.00%		03/01/26	²		432,000		447,928
CSC Holdings LLC
5.50%		05/15/26	²		350,000		360,605
6.50%		02/01/29	²		200,000		213,375
Fox Corp.
4.71%		01/25/29	²		40,000		42,926
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		344,000		307,020
8.50%		10/15/24	^2,3		235,000		228,684
9.75%		07/15/25	^2,3		350,000		357,105
SES SA (Luxembourg)
3.60%		04/04/23	^2,3		1,500,000		1,491,696
Sirius XM Radio, Inc.
3.88%		08/01/22	²		219,000		218,726
Sprint Capital Corp.
8.75%		03/15/32			292,000		307,695
Sprint Corp.
7.13%		06/15/24			47,000		47,823
7.63%		03/01/26			192,000		195,072


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²	$	1,679,375	$	1,676,940
4.74%		03/20/25	²		780,000		790,725
5.15%		03/20/28	²		785,000		800,700
Time Warner Cable LLC
4.00%		09/01/21			50,000		50,838
T-Mobile USA, Inc.
4.50%		02/01/26			172,000		171,785
6.50%		01/15/24			367,000		381,221
Verizon Communications, Inc.
4.33%		09/21/28			468,000		495,162
Viacom, Inc.
4.25%		09/01/23			1,000,000		1,039,558
Vodafone Group PLC (United Kingdom)
3.75%		01/16/24	³		500,000		504,138
4.38%		05/30/28	³		780,000		793,554
Warner Media LLC
3.55%		06/01/24			800,000		807,569
3.88%		01/15/26			1,530,000		1,536,635


							20,734,183

Consumer Discretionary — 0.80%
Anheuser-Busch InBev Worldwide, Inc.
4.75%		01/23/29			730,000		778,430
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3		740,000		740,572
BAT Capital Corp.
2.76%		08/15/22			755,000		742,931
3.56%		08/15/27			820,000		776,429
Central Garden & Pet Co.
5.13%		02/01/28			278,000		259,235
First Quality Finance Co., Inc.
5.00%		07/01/25	²		171,000		166,730
Reckitt Benckiser Treasury Services PLC
(United Kingdom)
2.75%		06/26/24	^2,3		1,595,000		1,568,357
Reynolds American, Inc.
4.45%		06/12/25			365,000		375,527
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC/Reynolds Group Issuer
Luxembourg S.A.
5.75%		10/15/20			339,188		339,824
Spectrum Brands, Inc.
5.75%		07/15/25			225,000		227,531


							5,975,566


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Products — 0.10%
Newell Brands, Inc.
3.85%		04/01/23		$	750,000	$	741,257


Electric — 2.12%
AEP Texas, Inc.
3.85%		10/01/25	²		1,150,000		1,176,261
Duke Energy Corp.
2.65%		09/01/26			30,000		28,606
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²		395,000		419,694
6.40%		09/15/20	²		1,843,000		1,924,833
Entergy Corp.
4.00%		07/15/22			955,000		977,704
Entergy Mississippi LLC
3.10%		07/01/23			1,435,000		1,439,525
Kansas City Power & Light Co.
3.65%		08/15/25			640,000		659,828
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			1,995,000		2,216,318
Metropolitan Edison Co.
4.00%		04/15/25	²		770,000		793,127
MidAmerican Energy Co.
3.10%		05/01/27			45,000		45,281
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.55%)
3.18%		08/28/21	¹		1,635,000		1,631,916
Public Service Co. of New Mexico
3.85%		08/01/25			1,405,000		1,423,910
Southwestern Electric Power Co.
3.55%		02/15/22			955,000		967,074
Texas-New Mexico Power Co.
9.50%		04/01/19	²		1,405,000		1,404,890
Tucson Electric Power Co.
3.85%		03/15/23			595,000		605,930
Virginia Electric & Power Co., Series C
2.75%		03/15/23			50,000		49,852


							15,764,749

Energy — 2.69%
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	²		2,555,000		2,549,974
Canadian Natural Resources Ltd. (Canada)
3.85%		06/01/27	³		8,000		8,028
Centennial Resource Production LLC
6.88%		04/01/27	²		194,000		196,386
Concho Resources, Inc.
3.75%		10/01/27			30,000		29,784
Energy Transfer Operating LP
4.05%		03/15/25			2,000,000		2,032,103
5.50%		06/01/27			71,000		77,048
5.88%		01/15/24			1,000,000		1,096,620


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Energy Transfer Partners LP/Regency
Energy Finance Corp.
5.00%		10/01/22		$	235,000	$	248,160
Florida Gas Transmission Co. LLC
7.90%		05/15/19	²		1,170,000		1,176,004
Kinder Morgan, Inc.
4.30%		03/01/28			1,500,000		1,551,971
Matador Resources Co.
5.88%		09/15/26			225,000		225,563
NiSource, Inc.
2.65%		11/17/22			970,000		956,393
Panhandle Eastern Pipe Line Co. LP
8.13%		06/01/19			100,000		100,731
Petroleos Mexicanos (Mexico)
2.00%		12/20/22	³		1,200,000		1,184,964
5.35%		02/12/28	³		365,000		339,633
6.50%		01/23/29	³		735,000		729,671
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			780,000		815,708
Ruby Pipeline LLC
6.00%		04/01/22	²		819,886		810,990
Sabine Pass Liquefaction LLC
5.75%		05/15/24			1,081,000		1,191,366
Shell International Finance BV (Netherlands)
3.25%		05/11/25	³		40,000		40,774
Spectra Energy Partners LP
4.75%		03/15/24			1,500,000		1,593,703
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29	²		313,000		340,779
TC PipeLines LP
4.65%		06/15/21			2,030,000		2,081,187
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		09/01/27	²		181,000		184,846
Williams Cos., Inc. (The)
3.35%		08/15/22			480,000		483,414


							20,045,800

Finance — 4.55%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
4.45%		12/16/21	³		750,000		769,608
Air Lease Corp.
2.13%		01/15/20			1,170,000		1,163,919
4.75%		03/01/20			35,000		35,561
Citibank N.A. (BKNT)
2.10%		06/12/20			290,000		287,972


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Daimler Finance North America LLC
3.00%		02/22/21	²	$	30,000	$	30,008
Durrah MSN 35603 (Cayman Islands)
1.68%		01/22/25	³		3,354,083		3,274,303
Ford Motor Credit Co. LLC
2.02%		05/03/19			1,560,000		1,558,089
2.34%		11/02/20			1,095,000		1,070,203
2.43%		06/12/20			850,000		839,004
3.22%		01/09/22			500,000		486,215
3.34%		03/28/22			40,000		38,790
5.60%		01/07/22			1,330,000		1,372,361
5.88%		08/02/21			1,000,000		1,035,803
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	³		2,755,000		2,721,361
General Motors Financial Co., Inc.
2.40%		05/09/19			1,560,000		1,559,370
2.65%		04/13/20			50,000		49,809
Goldman Sachs Group, Inc. (The)
2.63%		04/25/21			50,000		49,815
2.75%		09/15/20			1,275,000		1,273,966
3.27%		09/29/25	⁶		1,130,000		1,117,556
3.69%		06/05/28	⁶		775,000		770,549
3.75%		02/25/26			20,000		20,086
4.22%		05/01/29	⁶		355,000		362,930
Goldman Sachs Group, Inc. (The) (MTN)
3.85%		07/08/24			1,860,000		1,900,011
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
3.69%		07/22/22	¹		1,180,000		1,186,565
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^2,3,6		730,000		727,217
Raymond James Financial, Inc.
3.63%		09/15/26			250,000		247,661
5.63%		04/01/24			1,990,000		2,203,182
Safina Ltd. (Cayman Islands)
2.00%		12/30/23	³		5,823,353		5,733,964
Sandalwood 2013 LLC
2.90%		07/10/25			1,936,447		1,952,036


							33,837,914

Food — 1.04%
Campbell Soup Co.
3.30%		03/15/21			30,000		30,180
(LIBOR USD 3-Month plus 0.50%)
3.11%		03/16/20	¹		1,000,000		997,943
Conagra Brands, Inc.
3.80%		10/22/21			52,000		52,998
4.60%		11/01/25			1,400,000		1,470,729


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
General Mills, Inc.
4.20%		04/17/28		$	640,000	$	665,652
Kraft Heinz Foods Co.
3.00%		06/01/26			660,000		615,814
3.95%		07/15/25			1,265,000		1,275,952
4.63%		01/30/29			30,000		30,888
Kroger Co. (The)
4.50%		01/15/29			730,000		748,040
Post Holdings, Inc.
5.75%		03/01/27	²		335,000		337,931
Tyson Foods, Inc.
4.00%		03/01/26			1,460,000		1,494,216


							7,720,343

Gaming — 0.06%
Churchill Downs, Inc.
5.50%		04/01/27	²		446,000		452,266


Health Care — 4.32%
AbbVie, Inc.
3.60%		05/14/25			1,777,000		1,782,620
Aetna, Inc.
2.80%		06/15/23			50,000		49,174
3.50%		11/15/24			1,250,000		1,252,554
Allergan Funding SCS (Luxembourg)
3.85%		06/15/24	³		1,342,000		1,359,393
Allergan Sales LLC
5.00%		12/15/21	²		500,000		519,692
Amgen, Inc.
3.63%		05/15/22			50,000		51,229
Anthem, Inc.
3.13%		05/15/22			1,995,000		2,012,392
Bausch Health Cos., Inc. (Canada)
5.50%		11/01/25	^2,3		150,000		153,750
Baxalta, Inc.
2.88%		06/23/20			325,000		324,705
Bayer U.S. Finance II LLC
4.25%		12/15/25	²		50,000		50,582
4.38%		12/15/28	²		1,500,000		1,491,916
Bayer U.S. Finance LLC
3.38%		10/08/24	²		1,020,000		995,711
Baylor Scott & White Holdings
2.65%		11/15/26			1,530,000		1,454,814
Becton Dickinson and Co.
2.89%		06/06/22			820,000		816,950
3.25%		11/12/20			30,000		30,084
3.73%		12/15/24			1,300,000		1,320,652
Boston Scientific Corp.
3.45%		03/01/24			1,500,000		1,527,893


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	²	$	400,000	$	398,000
Celgene Corp.
3.45%		11/15/27			500,000		494,425
3.88%		08/15/25			1,625,000		1,663,048
CHS/Community Health Systems, Inc.
8.00%		03/15/26	²		152,000		146,300
8.63%		01/15/24	²		90,000		90,450
Cigna Corp.
4.13%		11/15/25	²		1,330,000		1,377,772
Cigna Holding Co.
3.05%		10/15/27			1,315,000		1,247,406
CVS Health Corp.
2.88%		06/01/26			50,000		47,305
3.35%		03/09/21			20,000		20,160
4.00%		12/05/23			2,030,000		2,084,467
4.30%		03/25/28			750,000		760,626
5.05%		03/25/48			30,000		30,268
Elanco Animal Health, Inc.
3.91%		08/27/21	²		1,000,000		1,017,087
Eli Lilly & Co.
2.75%		06/01/25			350,000		350,636
Fresenius Medical Care U.S. Finance II, Inc.
5.63%		07/31/19	²		1,141,000		1,148,430
Gilead Sciences, Inc.
3.50%		02/01/25			1,430,000		1,460,736
HCA, Inc.
5.25%		04/15/25			206,000		221,485
6.50%		02/15/20			695,000		715,503
Hologic, Inc.
4.63%		02/01/28	²		200,000		194,500
Humana, Inc.
3.95%		03/15/27			885,000		895,018
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	³		450,000		448,109
Tenet Healthcare Corp.
4.38%		10/01/21			75,000		76,219
4.50%		04/01/21			789,000		803,794
UnitedHealth Group, Inc.
3.75%		07/15/25			855,000		893,297
WellCare Health Plans, Inc.
5.38%		08/15/26	²		350,000		367,500


							32,146,652

Industrials — 3.14%
Amcor Finance USA, Inc.
3.63%		04/28/26	²		1,950,000		1,913,671
4.50%		05/15/28	²		30,000		31,536


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
BAE Systems Holdings, Inc.
3.80%		10/07/24	²	$	630,000	$	644,977
6.38%		06/01/19	²		1,500,000		1,507,543
Clean Harbors, Inc.
5.13%		06/01/21			380,000		381,900
Crane Co.
4.45%		12/15/23			1,130,000		1,185,278
General Electric Co. (GMTN)
2.20%		01/09/20			850,000		844,687
4.63%		01/07/21			1,080,000		1,108,294
General Electric Co. (MTN)
4.38%		09/16/20			125,000		127,466
4.65%		10/17/21			1,430,000		1,482,696
5.55%		05/04/20			1,000,000		1,027,315
5.55%		01/05/26			1,090,000		1,168,811
(LIBOR USD 3-Month plus 0.48%)
3.16%		08/15/36	¹		1,115,000		853,053
General Electric Co., Series A (MTN)
6.75%		03/15/32			1,020,000		1,178,916
L3 Technologies, Inc.
3.85%		06/15/23			1,290,000		1,330,611
Northrop Grumman Corp.
2.93%		01/15/25			2,510,000		2,476,985
3.20%		02/01/27			985,000		970,521
Packaging Corp. of America
2.45%		12/15/20			1,450,000		1,438,650
Sealed Air Corp.
5.50%		09/15/25	²		600,000		633,120
Siemens Financieringsmaatschappij NV
(Netherlands)
2.00%		09/15/23	^2,3		1,275,000		1,230,856
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.38%		04/30/25	^2,3		410,000		406,737
United Technologies Corp.
3.35%		08/16/21			635,000		643,253
WRKCo, Inc.
4.65%		03/15/26			730,000		774,220


							23,361,096

Information Technology — 0.34%
Analog Devices, Inc.
2.85%		03/12/20			30,000		30,018
Apple, Inc.
3.25%		02/23/26			20,000		20,397
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%		01/15/20			1,785,000		1,775,957


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
Change Healthcare Holdings LLC/Change
Healthcare Finance, Inc.
5.75%		03/01/25	²	$	257,000	$	253,281
Oracle Corp.
2.40%		09/15/23			40,000		39,429
3.25%		11/15/27			20,000		20,114
SS&C Technologies, Inc.
5.50%		09/30/27	²		216,000		218,565
Zayo Group LLC/Zayo Capital, Inc.
5.75%		01/15/27	²		200,000		200,060


							2,557,821

Insurance — 0.44%
Berkshire Hathaway, Inc.
3.13%		03/15/26			55,000		55,613
Nationwide Mutual Insurance Co.
4.90%		12/15/24	^2,6		1,212,000		1,205,940
New York Life Global Funding
3.00%		01/10/28	²		50,000		49,527
Pricoa Global Funding I
2.55%		11/24/20	²		1,945,000		1,936,297


							3,247,377

Materials — 0.18%
Axalta Coating Systems LLC
4.88%		08/15/24	²		250,000		251,875
International Flavors & Fragrances, Inc.
4.45%		09/26/28			800,000		840,783
Valvoline, Inc.
5.50%		07/15/24			250,000		255,325


							1,347,983

Real Estate Investment Trust (REIT) — 2.81%
Alexandria Real Estate Equities, Inc.
4.60%		04/01/22			1,275,000		1,338,236
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			2,340,000		2,346,481
3.75%		04/15/23			50,000		50,712
Boston Properties LP
2.75%		10/01/26			1,300,000		1,232,910
CC Holdings GS V LLC/Crown Castle
GS III Corp.
3.85%		04/15/23			230,000		235,738
GLP Capital LP/GLP Financing II, Inc.
5.25%		06/01/25			525,000		551,250
5.38%		11/01/23			30,000		31,571
5.38%		04/15/26			1,373,000		1,438,080
5.75%		06/01/28			325,000		350,171


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
HCP, Inc.
4.00%		12/01/22		$	2,145,000	$	2,203,572
4.25%		11/15/23			1,275,000		1,327,041
Healthcare Realty Trust, Inc.
3.75%		04/15/23			25,000		25,178
Healthcare Trust of America Holdings LP
3.70%		04/15/23			920,000		930,130
Liberty Property LP
4.75%		10/01/20			50,000		51,015
Piedmont Operating Partnership LP
3.40%		06/01/23			1,210,000		1,179,375
Public Storage
2.37%		09/15/22			50,000		49,503
Reckson Operating Partnership LP
7.75%		03/15/20			505,000		526,337
SL Green Operating Partnership LP
3.25%		10/15/22			1,350,000		1,343,676
(LIBOR USD 3-Month plus 0.98%)
3.66%		08/16/21	¹		1,000,000		995,828
UDR, Inc.
3.70%		10/01/20			2,000,000		2,021,040
Ventas Realty LP
3.25%		10/15/26			1,155,000		1,121,903
Ventas Realty LP/Ventas Capital Corp.
3.25%		08/15/22			40,000		40,307
Welltower, Inc.
3.75%		03/15/23			640,000		656,764
5.25%		01/15/22			820,000		865,721


							20,912,539

Retail — 0.25%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^2,3		10,000		9,900
3.55%		07/26/27	^2,3		640,000		625,091
BC ULC/New Red Finance, Inc. (Canada)
4.25%		05/15/24	^2,3		295,000		292,788
Home Depot, Inc. (The)
3.90%		12/06/28			365,000		386,418
Rite Aid Corp.
6.13%		04/01/23	²		585,000		484,819
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			65,000		66,054


							1,865,070

Services — 0.21%
IHS Markit Ltd. (Bermuda)
4.13%		08/01/23	³		1,245,000		1,271,257
4.75%		02/15/25	^2,3		300,000		313,047


							1,584,304


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 1.08%
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23		$	398,277	$	411,964
Continental Airlines Pass-Through Trust, Series 1999-2, Class A
7.26%		03/15/20			14,087		14,285
Continental Airlines Pass-Through Trust, Series 2007-1, Class A
5.98%		04/19/22			1,800,634		1,896,068
Continental Airlines Pass-Through Trust, Series 2009-2, Class A
7.25%		11/10/19			1,743,870		1,785,287
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			567,370		604,277
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1
7.04%		04/01/22			945,026		1,014,958
U.S. Airways Pass-Through Trust, Series 2001-1, Class G
7.08%		03/20/21			114,926		120,967
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
7.13%		10/22/23			607,049		668,995
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			409,390		442,767
U.S. Airways Pass-Through Trust, Series 2012-2, Class A
4.63%		06/03/25			349,547		363,305
Union Pacific Corp.
3.95%		09/10/28			640,000		673,765


							7,996,638

Total Corporates (Cost $221,514,978)							224,292,187


MORTGAGE-BACKED — 16.72%**
Non-Agency Commercial Mortgage-Backed — 2.13%
225 Liberty Street Trust, Series 2016-225L, Class A
3.60%		02/10/36	²		1,225,000		1,260,739
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A
4.09%		08/10/38	^2,6		1,095,000		1,173,305
CALI Mortgage Trust, Series 2019-101C, Class A
3.96%		03/10/39	²		805,000		849,140
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
1.79%		09/10/45	^2,6		6,239,471		289,596


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
CityLine Commercial Mortgage Trust,
Series 2016-CLNE, Class A
2.78%		11/10/31	^2,6	$	1,085,000	$	1,079,923
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	²		1,160,000		1,225,208
Commercial Mortgage Trust, Series 2013-CR8, Class XA (IO)
0.45%		06/10/46	⁶		44,072,014		650,891
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^2,6		1,265,000		1,314,535
Commercial Mortgage Trust, Series 2014-CR16, Class XA (IO)
1.08%		04/10/47	⁶		23,963,332		956,758
Commercial Mortgage Trust, Series 2014-CR18, Class XA (IO)
1.14%		07/15/47	⁶		20,434,105		766,912
Commercial Mortgage Trust, Series 2015-CR25, Class XA (IO)
0.91%		08/10/48	⁶		17,170,170		739,159
Commercial Mortgage Trust, Series 2016-787S, Class A
3.55%		02/10/36	²		1,225,000		1,253,405
GS Mortgage Securities Trust, Series 2015-GS1, Class A (IO)
0.80%		11/10/48	⁶		14,794,977		646,776
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class XA (IO)
0.94%		12/15/46	⁶		14,828,320		538,243
RBS Commercial Funding, Inc., Trust, Series 2013-GSP, Class A
3.83%		01/15/32	^2,6		1,170,000		1,205,129
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class XA (IO)
1.32%		05/10/63	^2,6		38,725,647		1,407,085
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1
3.35%		11/15/43	²		466,316		467,432


							15,824,236

Non-Agency Mortgage-Backed — 5.54%
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1 (LIBOR USD 1-Month)
2.93%		12/25/35	¹		818,036		816,963
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 (LIBOR USD 1-Month)
3.45%		09/25/34	¹		479,691		480,948


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Amresco Residential Securities Corp. Mortgage Loan Trust, Series 1998-1, Class A5 (STEP-reset date 05/25/19)
7.22%		10/25/27		$	26,865	$	27,438
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1 (LIBOR USD 1-Month)
3.46%		12/25/34	¹		514,874		509,069
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			6,518		6,937
Banc of America Funding Trust, Series 2015-R2, Class 9A1 (LIBOR USD 1-Month)
2.70%		03/27/36	^1,2		974,251		970,534
Bear Stearns ALT-A Trust, Series 2004-12, Class 1M1 (LIBOR USD 1-Month)
3.42%		01/25/35	¹		2,487,996		2,485,749
Chevy Chase Mortgage Funding LLC,
Mortgage-Backed Certificates, Series 2005-2A, Class A1 (LIBOR USD 1-Month)
2.67%		05/25/36	^1,2		87,023		85,930
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
4.18%		02/25/34	⁶		27,887		27,380
Conseco Finance Corp., Series 1996-7, Class M1
7.70%		09/15/26	⁶		234,961		249,693
Conseco Finance Corp., Series 1998-4, Class A5
6.18%		04/01/30			131,847		135,165
Conseco Finance Corp., Series 1998-6, Class A8
6.66%		06/01/30	⁶		221,697		230,409
Conseco Finance Home Equity Loan Trust,
Series 2002-C, Class BF2
8.00%		06/15/32	^2,6		126,016		129,959
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%		08/01/32	⁶		43,468		44,081
CountryPlace Manufactured Housing
Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^2,6		516,945		524,905
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-14, Class 4A1
3.80%		08/25/34	⁶		89,069		87,101
Credit Suisse Mortgage Capital, Series 2014-4R, Class 16A1 (LIBOR USD 1-Month)
2.69%		02/27/36	^1,2		144,420		144,784


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP-reset date 05/25/19)
3.38%		12/25/32		$	782,672	$	782,409
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP-reset date 05/25/19)
3.44%		12/25/36			477,426		434,844
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
(LIBOR USD 1-Month)
2.55%		04/25/37	¹		146,147		107,943
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A3
(LIBOR USD 1-Month)
2.74%		04/25/37	¹		1,736,606		1,312,229
First Franklin Mortgage Loan Trust, Series 2005-FFH4, Class M1
(LIBOR USD 1-Month)
2.97%		12/25/35	¹		2,971,672		2,979,437
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
4.39%		09/25/34	⁶		167,971		166,857
GSAA Home Equity Trust, Series 2005-9, Class 1A1
(LIBOR USD 1-Month)
2.77%		08/25/35	¹		21,074		21,162
GSR Mortgage Loan Trust, Series 2004-9, Class 5A7
4.04%		08/25/34	⁶		68,411		68,589
HarborView Mortgage Loan Trust, Series 2007-7, Class 2A1A
(LIBOR USD 1-Month)
3.49%		10/25/37	¹		3,162,534		3,172,341
HomeBanc Mortgage Trust, Series 2005-4, Class A1
(LIBOR USD 1-Month)
2.76%		10/25/35	¹		74,229		74,355
HSI Asset Securitization Corp. Trust, 2005-OPT1, Class M1
(LIBOR USD 1-Month)
3.12%		11/25/35	¹		557,929		556,273
HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 1A
(LIBOR USD 1-Month)
2.71%		12/25/35	¹		869,433		861,726
IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A2
(LIBOR USD 1-Month)
3.35%		09/25/34	¹		13,279		12,579


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month)
3.29%		11/25/34	¹	$	39,545	$	37,489
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
3.33%		06/25/37	⁶		894,736		750,614
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A3
6.61%		02/25/28			127,453		128,504
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A4
6.75%		02/25/28			33,929		34,267
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4
6.49%		09/25/28			114,476		121,572
JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M2
(LIBOR USD 1-Month)
2.78%		07/25/36	¹		450,000		442,339
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
3.97%		05/25/37	⁶		235,858		229,403
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			1,682		1,688
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A5
5.87%		04/15/40			832		832
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	⁶		2,621		2,632
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
4.27%		01/25/34	⁶		107,934		107,086
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
5.12%		01/25/34	⁶		587		588
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
3.62%		06/25/34	⁶		1,832		1,825
MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1
4.63%		10/25/32	⁶		10,711		10,909
MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1
4.59%		10/25/32	⁶		26,489		26,942


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month)
2.67%		06/25/37	¹	$	486,771	$	363,397
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
(LIBOR USD 1-Month)
2.74%		06/25/37	¹		899,539		683,524
Mid-State Capital Corp., Series 2004-1, Class A
6.01%		08/15/37			325,135		350,900
Mid-State Capital Corp., Series 2004-1, Class B
8.90%		08/15/37			446,263		510,338
Mid-State Capital Corp., Series 2004-1, Class M1
6.50%		08/15/37			318,759		337,246
Mid-State Capital Corp., Series 2005-1, Class M2
7.08%		01/15/40			523,698		587,807
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			709,743		748,672
Morgan Stanley ABS Capital I Trust, Series 2004-NC7, Class M2
(LIBOR USD 1-Month)
3.42%		07/25/34	¹		381,816		383,008
Morgan Stanley ABS Capital I Trust, Series 2006-NC1, Class A4
(LIBOR USD 1-Month)
2.79%		12/25/35	¹		1,089,342		1,087,849
New Century Home Equity Loan Trust, Series 2005-D, Class A1
(LIBOR USD 1-Month)
2.71%		02/25/36	¹		3,764,829		3,733,331
New York Mortgage Trust, Series 2005-3, Class A1
(LIBOR USD 1-Month)
2.97%		02/25/36	¹		1,238,544		1,230,909
Nomura Resecuritization Trust, Series 2014-7R, Class 2A3
(LIBOR USD 1-Month)
2.69%		12/26/35	^1,2		2,915,529		2,891,129
Option One Mortgage Loan Trust, Series 2005-2, Class M1
(LIBOR USD 1-Month)
3.15%		05/25/35	¹		195,478		195,886
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-MHQ
(LIBOR USD 1-Month)
3.61%		12/25/34	¹		1,282		1,285


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)
2.91%		08/26/36	^1,2	$	75,592	$	75,856
Residential Asset Mortgage Product Trust, Series 2003-SL1, Class A41
8.00%		04/25/31			31,586		34,707
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A7
7.00%		11/25/31			14,060		15,146
Residential Asset Mortgage Products Trust, Series 2006-NC1, Class A3
(LIBOR USD 1-Month)
2.79%		01/25/36	¹		3,095,891		3,042,127
Residential Asset Securities Corp., Series 2005-AHL3, Class A3
(LIBOR USD 1-Month)
2.83%		11/25/35	¹		76,465		75,410
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1
4.46%		12/25/34	⁶		22,583		22,603
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A
4.50%		10/25/34	⁶		1,412,465		1,366,268
Structured Asset Mortgage Investments II Trust, Series 2005-AR1, Class A1
(LIBOR USD 1-Month)
2.96%		04/19/35	¹		848,037		832,703
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 (Federal Reserve US 12-Month Cumulative Average)
3.73%		02/25/36	¹		601,815		592,426
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1
3.93%		05/25/36	⁶		2,234,556		1,521,909
UCFC Home Equity Loan, Series 1998-D, Class MF1
6.91%		04/15/30			11,798		11,903
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
4.72%		01/25/33	⁶		5,759		5,913
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A3
(LIBOR USD 1-Month)
3.27%		10/25/45	¹		1,117,406		1,121,037


							41,227,768


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed — 1.84%
Fannie Mae-Aces, Series 2015-M4, Class X2 (IO)
0.37%		07/25/22	⁶	$	100,891,985	$	975,121
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K012, Class X3 (IO)
2.25%		01/25/41	⁶		18,028,222		695,329
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class A2
2.40%		06/25/22			105,000		104,605
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K025, Class X3 (IO)
1.75%		11/25/40	⁶		15,975,000		941,485
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K031, Class X1 (IO)
0.23%		04/25/23	⁶		100,019,179		824,023
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K035, Class X3 (IO)
1.79%		12/25/41	⁶		18,000,000		1,320,210
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K037, Class X3 (IO)
2.21%		01/25/42	⁶		13,274,876		1,279,039
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K045, Class X1 (IO)
0.45%		01/25/25	⁶		35,406,124		803,931
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K056, Class XAM (IO)
1.15%		05/25/26	⁶		9,400,000		699,125
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K063, Class X3 (IO)
2.07%		02/25/45	⁶		6,000,000		814,271
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K072, Class A2
3.44%		12/25/27			50,000		52,096
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K084, Class A2
3.78%		10/25/28	⁶		1,920,000		2,051,234
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K158, Class A3
3.90%		10/25/33	⁶		1,250,000		1,349,078
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X3 (IO)
1.79%		01/25/42	⁶		30,000,000		840,480


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS07,
Class X (IO)
0.65%		09/25/25	⁶	$	25,000,000	$	937,460


							13,687,487


U.S. Agency Mortgage-Backed — 7.21%
Fannie Mae Pool (TBA)
3.00%		04/25/27			165,000		166,495
5.00%		05/01/49			1,700,000		1,795,359
Fannie Mae Pool 253974
7.00%		08/01/31			1,621		1,740
Fannie Mae Pool 254232
6.50%		03/01/22			2,490		2,590
Fannie Mae Pool 527247
7.00%		09/01/26			24		25
Fannie Mae Pool 545191
7.00%		09/01/31			1,014		1,112
Fannie Mae Pool 545646
7.00%		09/01/26			16		16
Fannie Mae Pool 549740
6.50%		10/01/27			5,005		5,530
Fannie Mae Pool 606108
7.00%		03/01/31			416		417
Fannie Mae Pool 630599
7.00%		05/01/32			4,934		5,621
Fannie Mae Pool 655928
7.00%		08/01/32			3,020		3,513
Fannie Mae Pool 735207
7.00%		04/01/34			1,258		1,435
Fannie Mae Pool 735646
4.50%		07/01/20			256		261
Fannie Mae Pool 735686
6.50%		12/01/22			1,076		1,106
Fannie Mae Pool 735861
6.50%		09/01/33			79,341		87,099
Fannie Mae Pool 764388
(LIBOR USD 6-Month)
4.19%		03/01/34	¹		27,435		28,811
Fannie Mae Pool 776708
5.00%		05/01/34			126,059		137,020
Fannie Mae Pool 817611
(LIBOR USD 6-Month)
4.08%		11/01/35	¹		6,657		7,024
Fannie Mae Pool 844773
(LIBOR USD 12-Month)
4.55%		12/01/35	¹		9,137		9,506
Fannie Mae Pool 889125
5.00%		12/01/21			11,103		11,161


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 889184
5.50%		09/01/36		$	107,317	$	118,133
Fannie Mae Pool 890221
5.50%		12/01/33			165,969		179,579
Fannie Mae Pool 918445
(LIBOR USD 12-Month)
4.57%		05/01/37	¹		531		555
Fannie Mae Pool 939419
(LIBOR USD 12-Month)
3.64%		05/01/37	¹		23,528		24,735
Fannie Mae Pool AL0209
4.50%		05/01/41			412,436		442,057
Fannie Mae Pool AL6829
2.96%		05/01/27			56,130		56,912
Fannie Mae Pool AM6501
3.32%		08/01/26			2,000,000		2,075,747
Fannie Mae Pool AM7357
3.38%		12/01/29			2,328,181		2,400,072
Fannie Mae Pool AM7901
3.36%		02/01/30			32,697		33,649
Fannie Mae Pool AM8188
2.64%		03/01/27			32,324		32,191
Fannie Mae Pool AM8645
2.69%		05/01/27			101,631		100,412
Fannie Mae Pool AN0556
3.46%		12/01/30			2,384,795		2,475,031
Fannie Mae Pool AN1492
3.07%		05/01/31			43,032		42,909
Fannie Mae Pool AN2786
2.76%		09/01/36			50,000		47,175
Fannie Mae Pool AN2812
2.56%		10/01/28			65,000		62,934
Fannie Mae Pool AN5529
3.02%		06/01/28			38,962		39,285
Fannie Mae Pool AN9305
3.39%		05/01/30			108,429		111,028
Fannie Mae Pool AN9572
3.77%		07/01/30			60,000		63,894
Fannie Mae Pool AN9612
3.72%		07/01/33			60,000		63,056
Fannie Mae Pool BL0242
3.82%		11/01/30			1,950,000		2,069,703
Fannie Mae Pool BL0661
3.99%		11/01/33			3,560,629		3,855,895
Fannie Mae Pool BL0844
3.87%		02/01/29			105,000		112,612
Fannie Mae Pool BL1372
3.64%		03/01/29			1,535,000		1,619,647


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA1710
4.50%		05/01/48		$	46,047	$	48,059
Fannie Mae Pool CA1711
4.50%		05/01/48			3,250,971		3,393,074
Fannie Mae Pool CA2208
4.50%		08/01/48			47,395		49,487
Fannie Mae Pool FN0039
3.20%		09/01/27			43,494		44,659
Fannie Mae Pool MA1527
3.00%		08/01/33			32,533		32,792
Fannie Mae Pool MA1561
3.00%		09/01/33			1,793,941		1,808,237
Fannie Mae Pool MA1608
3.50%		10/01/33			1,646,108		1,691,470
Fannie Mae Pool MA3427
4.00%		07/01/33			45,186		46,732
Fannie Mae Pool MA3537
4.50%		12/01/48			4,891,431		5,095,543
Fannie Mae REMICS, Series 1989-25, Class G
6.00%		06/25/19			3		3
Fannie Mae REMICS, Series 1992-116, Class B
6.50%		06/25/22			4		4
Fannie Mae REMICS, Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.87%,
10.87% Cap)
7.84%		05/25/23	¹		2,624		2,850
Fannie Mae REMICS, Series 2001-52, Class YZ
6.50%		10/25/31			148,977		167,753
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		5,553		6,446
Fannie Mae REMICS, Series 2007-64, Class FA
(LIBOR USD 1-Month)
2.96%		07/25/37	¹		77,206		77,486
Fannie Mae REMICS, Series 2008-50,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%,
6.05% Cap)
3.56%		11/25/36	¹		1,270,520		177,871
Fannie Mae REMICS, Series 2018-38, Class PA
3.50%		06/25/47			22,971		23,371


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2018-55, Class PA
3.50%		01/25/47		$	227,578	$	231,337
Fannie Mae REMICS, Series 2018-86,
Class JA
4.00%		05/25/47			1,473,035		1,528,091
Fannie Mae Trust, Series 2003-W6, Class 5T (IO)
(LIBOR USD 1-Month)
0.55%		09/25/42	¹		12,379,190		194,191
Freddie Mac Gold Pool A25162
5.50%		05/01/34			137,656		150,348
Freddie Mac Gold Pool A33262
5.50%		02/01/35			43,848		49,152
Freddie Mac Gold Pool A68781
5.50%		10/01/37			8,921		9,876
Freddie Mac Gold Pool C03813
3.50%		04/01/42			1,114,959		1,139,459
Freddie Mac Gold Pool C90504
6.50%		12/01/21			284		293
Freddie Mac Gold Pool G01548
7.50%		07/01/32			264,145		314,044
Freddie Mac Gold Pool G01644
5.50%		02/01/34			85,835		94,390
Freddie Mac Gold Pool G02366
6.50%		10/01/36			61,338		69,999
Freddie Mac Gold Pool G08844
5.00%		10/01/48			1,115,601		1,182,213
Freddie Mac Gold Pool G11707
6.00%		03/01/20			46		46
Freddie Mac Gold Pool G12393
5.50%		10/01/21			32,076		32,683
Freddie Mac Gold Pool G12909
6.00%		11/01/22			72,566		75,402
Freddie Mac Gold Pool G13032
6.00%		09/01/22			31,978		32,865
Freddie Mac Gold Pool G15897
2.50%		09/01/31			43,227		43,072
Freddie Mac Gold Pool G16085
2.50%		02/01/32			2,565,191		2,553,709
Freddie Mac Gold Pool G16524
3.50%		05/01/33			123,066		126,449
Freddie Mac Gold Pool G16756
3.50%		01/01/34			2,951,282		3,031,494
Freddie Mac Gold Pool G18581
2.50%		01/01/31			52,590		52,311
Freddie Mac Gold Pool G18713
3.50%		11/01/33			104,372		106,882


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool J06246
5.50%		10/01/21		$	11,438	$	11,609
Freddie Mac REMICS, Series 1602,
Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	¹		13,495		14,499
Freddie Mac REMICS, Series 2174, Class PN
6.00%		07/15/29			33,474		36,241
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%		06/15/23			1,689		21
Freddie Mac REMICS, Series 3460, Class SA (IO)
(LIBOR USD 1-Month)
3.72%		06/15/38	¹		1,288,953		204,783
Freddie Mac REMICS, Series 4030, Class HS (IO)
(LIBOR USD 1-Month)
4.13%		04/15/42	¹		1,107,644		191,515
Ginnie Mae I Pool 782810
4.50%		11/15/39			879,529		930,913
Ginnie Mae II Pool 80968 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year)
3.75%		07/20/34	¹		23,680		24,410
Ginnie Mae II Pool MA4454
5.00%		05/20/47			57,361		60,499
Ginnie Mae II Pool MA4511
4.00%		06/20/47			18,338		19,000
Ginnie Mae II Pool MA4588
4.50%		07/20/47			633,886		662,353
Ginnie Mae II Pool MA4589
5.00%		07/20/47			3,207,712		3,371,194
Ginnie Mae II Pool MA4838
4.00%		11/20/47			1,727,498		1,786,544
Ginnie Mae II Pool MA4901
4.00%		12/20/47			1,442,621		1,491,929
Ginnie Mae II Pool MA5399
4.50%		08/20/48			2,713,455		2,819,457
Ginnie Mae II Pool MA5530
5.00%		10/20/48			39,377		41,187
Ginnie Mae, Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%,
14.30% Cap)
9.50%		11/26/23	¹		22,882		25,040


							53,668,389

Total Mortgage-Backed (Cost $122,316,302)							124,407,880


Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS — 1.77%*
California — 0.73%
Los Angeles Department of Water & Power, Electric Light and Power Improvements, Series C
5.52%		07/01/27	$	50,000	$	59,006
Metropolitan Water District of Southern California
6.54%		07/01/39		35,000		35,332
State of California, Build America Bonds
7.95%		03/01/36		2,800,000		2,933,896
University of California, Taxable Revenue Bonds, Series AJ
4.60%		05/15/31		2,150,000		2,401,292


						5,429,526


Florida — 0.00%
Florida’s Turnpike Enterprise
6.80%		07/01/39		30,000		30,311


Massachusetts — 0.38%
Commonwealth of Massachusetts, Build America Bonds, Series D
4.50%		08/01/31		2,485,000		2,800,670


New York — 0.65%
Metropolitan Transportation Authority
6.55%		11/15/31		25,000		31,330
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Subseries SU
3.88%		08/01/31		35,000		36,479
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds
5.01%		08/01/27		2,000,000		2,276,120
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, Series G-3
5.27%		05/01/27		1,465,000		1,671,726
New York State Dormitory Authority, Build America Bonds
5.50%		03/15/30		70,000		81,630
New York State Urban Development Corp., Personal Income Tax, Series SE
3.20%		03/15/22		700,000		711,655


						4,808,940


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Pennsylvania — 0.00%
Pennsylvania Economic Development Financing Authority
3.20%		11/15/27		$	40,000	$	40,148


Washington — 0.01%
State of Washington, Build America Bonds
5.04%		08/01/31			40,000		45,973


Total Municipal Bonds (Cost $13,108,263)							13,155,568


U.S. AGENCY SECURITIES — 0.03%
U.S. Agency Securities — 0.03%
Resolution Funding Corp. Strip Principal.
(PO)
0.00%		01/15/21	⁷		230,000		219,927


Total U.S. Agency Securities (Cost $220,454)							219,927


U.S. TREASURY SECURITIES — 42.63%
U.S. Treasury Notes — 42.63%
U.S. Treasury Notes
2.13%		03/31/24			116,835,000		116,198,340
2.38%		02/29/24			51,265,000		51,606,433
2.50%		01/31/21			64,675,000		64,903,111
2.50%		02/28/21			31,910,000		32,037,142
2.50%		01/15/22			6,300,000		6,343,436
2.50%		01/31/24			12,810,000		12,959,585
2.50%		02/28/26			845,000		854,721
3.13%		11/15/28			155,000		164,442
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.13%		07/15/24	⁸		243,818		240,814
0.38%		07/15/25	⁸		1,655,831		1,654,943
U.S. Treasury Notes (WI)
2.63%		02/15/29			29,680,000		30,233,780


Total U.S. Treasury Securities (Cost $315,955,961)							317,196,747


Total Bonds – 98.08% (Cost $723,241,362)							729,687,257


Issues	Shares	Value
COMMON STOCK — 0.01%
Electric — 0.01%
Homer City Holdings
LLC^2,4,5,9	8,014		68,119


Total Common Stock (Cost $457,400)


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 15.17%
Commercial Paper — 0.18%
Ford Motor Credit Co. LLC
3.14%¹⁰		04/04/19	$	1,355,000	$	1,354,315

Money Market Funds — 10.72%
Dreyfus Government Cash Management
Fund
2.32%¹¹				37,327,000		37,327,000
Fidelity Investments Money Market Funds -
Government Portfolio
2.31%^11,12				18		18
JPMorgan U.S. Government
Money Market Fund
2.34%¹¹				5,072,000		5,072,000
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.39%¹¹				37,327,000		37,327,000


						79,726,018

U.S. Agency Discount Notes — 0.40%
Federal Home Loan Bank
2.44%¹⁰		04/26/19		3,000,000		2,994,979

U.S. Treasury Bills — 3.87%
U.S. Treasury Bills
2.38%¹⁰		04/11/19		61,000		60,960
2.40%¹⁰		04/16/19		5,600,000		5,594,376
2.41%^10,13		06/20/19		1,159,000		1,152,927
2.42%¹⁰		04/23/19		22,000,000		21,967,944


						28,776,207


Total Short-Term Investments (Cost $112,851,374)						112,851,519


Total Investments – 113.26% (Cost $836,550,136)						842,606,895


Liabilities in Excess of Other Assets – (13.26)%						(98,619,158	)


Net Assets – 100.00%					$	743,987,737

¹	Floating rate security. The rate disclosed was in effect at March 31, 2019.

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 Board of Trustees. The aggregate value of illiquid securities is $358,410, which is 0.05% of total net assets.

⁶	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.

⁷	Zero coupon bond. The rate shown is the effective yield as of March 31, 2019.

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

⁹	Non-income producing security.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Represents the current yield as of March 31, 2019.

¹²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $18.

¹³	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,152,857.

^†

Fair valued security. The aggregate value of fair valued securities is $633,377, which is 0.09% of total net assets. These securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements.

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

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

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 98.63%
ASSET-BACKED SECURITIES — 8.38%**
CarMax Auto Owner Trust, Series 2016-2, Class B
2.16%		12/15/21			$30,000		$ 29,790
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	¹		42,157		43,808
Navient Student Loan Trust, Series 2014-2, Class A
(LIBOR USD 1-Month plus 0.64%)
3.13%		03/25/83	²		88,735		87,979
SLC Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.16%)
2.77%		03/15/55	²		60,000		57,776
SLM Student Loan Trust, Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		07/25/73	²		15,000		15,244
SLM Student Loan Trust, Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
3.87%		07/25/23	²		41,744		41,778
SLM Student Loan Trust, Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
4.27%		04/25/23	²		28,844		29,155
SLM Student Loan Trust, Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
5.02%		10/25/75	²		10,000		10,242
SLM Student Loan Trust, Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
4.27%		04/25/23	²		22,297		22,566
SLM Student Loan Trust, Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
5.02%		10/25/83	²		15,000		15,400
Structured Receivables Finance LLC, Series 2010-B, Class A
3.73%		08/15/36	¹		90,830		90,020
Wachovia Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
2.94%		04/25/40	^1,2		50,000		48,803

Total Asset-Backed Securities (Cost $479,142)							492,561


CORPORATES — 49.51%*
Banking — 7.26%
Bank of America Corp. (MTN)
3.50%		05/17/22	³		40,000		40,505


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
3.97%		03/05/29	³		$60,000		$ 61,212
3.97%		02/07/30	³		15,000		15,302
Bank of New York Mellon Corp. (The) (MTN)
2.66%		05/16/23	³		30,000		29,804
3.25%		09/11/24			5,000		5,075
Citigroup, Inc.
3.20%		10/21/26			20,000		19,608
JPMorgan Chase & Co.
3.90%		07/15/25			70,000		72,853
4.01%		04/23/29	³		20,000		20,529
4.02%		12/05/24	³		50,000		51,913
4.20%		07/23/29	³		15,000		15,661
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,4		30,000		29,265
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	^3,4		15,000		14,675
Santander UK PLC (United Kingdom)
2.50%		01/05/21	⁴		15,000		14,895
State Street Corp.
3.78%		12/03/24	³		15,000		15,568
Wells Fargo & Co. (MTN)
3.58%		05/22/28	³		20,000		20,134


							426,999


Commercial Services — 0.35%
RELX Capital, Inc.
4.00%		03/18/29			20,000		20,448


Communications — 4.74%
AT&T, Inc.
4.30%		02/15/30			45,000		45,598
Charter Communications Operating LLC/Charter Communications Operating Capital
3.75%		02/15/28			27,000		26,051
Comcast Corp.
2.35%		01/15/27			30,000		28,059
4.15%		10/15/28			30,000		31,647
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	⁴		10,000		12,683
Qwest Corp.
6.88%		09/15/33			12,000		12,000
SES SA (Luxembourg)
3.60%		04/04/23	^1,4		15,000		14,917
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
5.15%		03/20/28	¹		20,000		20,400
Verizon Communications, Inc.
4.33%		09/21/28			40,000		42,322


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Vodafone Group PLC (United Kingdom)
4.38%		05/30/28	⁴		$15,000		$ 15,261
Walt Disney Co. (The)
6.20%		12/15/34	¹		4,000		5,241
7.75%		01/20/24	¹		12,000		14,553
Warner Media LLC
3.88%		01/15/26			10,000		10,043


							278,775


Consumer Discretionary — 2.46%
Anheuser-Busch InBev Worldwide, Inc.
4.00%		04/13/28			52,000		52,925
4.75%		01/23/29			15,000		15,995
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^1,4		15,000		15,012
BAT Capital Corp.
2.76%		08/15/22			30,000		29,520
Constellation Brands, Inc.
4.25%		05/01/23			15,000		15,708
Pernod Ricard SA (France)
4.45%		01/15/22	^1,4		15,000		15,589


							144,749


Consumer Products — 0.25%
Newell Brands, Inc.
3.85%		04/01/23			15,000		14,825


Electric — 2.47%
Appalachian Power Co.
4.45%		06/01/45			5,000		5,185
Duquesne Light Holdings, Inc.
5.90%		12/01/21	¹		23,000		24,438
6.40%		09/15/20	¹		7,000		7,311
ITC Holdings Corp.
4.05%		07/01/23			10,000		10,203
Metropolitan Edison Co.
4.00%		04/15/25	¹		25,000		25,751
PNM Resources, Inc.
3.25%		03/09/21			10,000		9,991
Public Service Co. of New Mexico
3.85%		08/01/25			10,000		10,135
Southwestern Electric Power Co., Series M
4.10%		09/15/28			20,000		20,797
Tucson Electric Power Co.
5.15%		11/15/21			30,000		31,388


							145,199


Energy — 4.35%
Enbridge Energy Partners LP
5.50%		09/15/40			5,000		5,591


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Energy Transfer Operating LP
4.05%		03/15/25			$10,000		$ 10,160
4.95%		06/15/28			5,000		5,249
EQM Midstream Partners LP
5.50%		07/15/28			8,000		8,093
EQT Corp.
3.90%		10/01/27			15,000		14,044
Hess Corp.
4.30%		04/01/27			12,000		11,896
Kinder Morgan, Inc.
5.63%		11/15/23	¹		25,000		27,317
Petroleos Mexicanos (Mexico)
5.35%		02/12/28	⁴		15,000		13,957
6.50%		01/23/29	⁴		25,000		24,819
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25			15,000		15,687
Ruby Pipeline LLC
6.00%		04/01/22	¹		21,023		20,795
Sabine Pass Liquefaction LLC
4.20%		03/15/28			12,000		12,137
Sunoco Logistics Partners Operations LP
4.00%		10/01/27			10,000		9,923
TC PipeLines LP
3.90%		05/25/27			30,000		29,691
Texas Eastern Transmission LP
2.80%		10/15/22	¹		10,000		9,854
Williams Cos., Inc. (The)
3.70%		01/15/23			10,000		10,186
4.55%		06/24/24			25,000		26,446


							255,845


Finance — 7.25%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.88%		01/23/28	⁴		11,000		10,361
3.95%		02/01/22	⁴		20,000		20,267
Air Lease Corp.
3.00%		09/15/23			15,000		14,621
3.63%		12/01/27			11,000		10,288
Citigroup, Inc.
3.67%		07/24/28	³		20,000		19,970
Ford Motor Credit Co. LLC
4.25%		09/20/22			25,000		24,708
(LIBOR USD 3-Month plus 1.08%)
3.82%		08/03/22	²		35,000		33,519
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	⁴		20,000		19,756
4.42%		11/15/35	⁴		21,000		19,445


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	³		$75,000		$ 74,535
4.22%		05/01/29	³		20,000		20,447
Morgan Stanley (GMTN)
3.70%		10/23/24			70,000		71,447
3.77%		01/24/29	³		20,000		20,090
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4		15,000		14,943
Pipeline Funding Co. LLC
7.50%		01/15/30	¹		18,802		22,056
Raymond James Financial, Inc.
3.63%		09/15/26			30,000		29,719


							426,172


Food — 1.52%
Conagra Brands, Inc.
4.60%		11/01/25			16,000		16,808
General Mills, Inc.
3.70%		10/17/23			15,000		15,383
Kraft Heinz Foods Co.
3.00%		06/01/26			23,000		21,460
Smithfield Foods, Inc.
5.20%		04/01/29	¹		10,000		10,058
Tyson Foods, Inc.
4.00%		03/01/26			25,000		25,586


							89,295


Health Care — 6.95%
AbbVie, Inc.
3.60%		05/14/25			25,000		25,079
4.25%		11/14/28			10,000		10,174
Allergan Funding SCS (Luxembourg)
3.80%		03/15/25	⁴		5,000		5,075
Allergan Sales LLC
5.00%		12/15/21	¹		25,000		25,985
Anthem, Inc.
3.65%		12/01/27			25,000		24,983
AstraZeneca PLC (United Kingdom)
3.50%		08/17/23	⁴		12,000		12,263
Barnabas Health, Inc.
4.00%		07/01/28			15,000		15,500
Baxalta, Inc.
3.60%		06/23/22			25,000		25,140
Bayer U.S. Finance II LLC
4.38%		12/15/28	¹		25,000		24,865
Becton Dickinson and Co.
2.89%		06/06/22			15,000		14,944


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Celgene Corp.
3.90%		02/20/28			$25,000		$ 25,547
Cigna Corp.
4.38%		10/15/28	¹		30,000		31,147
CVS Health Corp.
4.00%		12/05/23			60,000		61,610
Elanco Animal Health, Inc.
4.90%		08/28/28	¹		15,000		15,939
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	¹		15,000		15,184
HCA, Inc.
5.00%		03/15/24			15,000		15,920
Humana, Inc.
2.90%		12/15/22			15,000		14,916
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26			20,000		19,013
Quest Diagnostics, Inc.
4.20%		06/30/29			10,000		10,298
Shire Acquisitions Investments Ireland DAC (Ireland)
3.20%		09/23/26	⁴		5,000		4,839
UnitedHealth Group, Inc.
3.85%		06/15/28			10,000		10,491


							408,912


Industrials — 2.63%
Amcor Finance USA, Inc.
3.63%		04/28/26	¹		5,000		4,907
4.50%		05/15/28	¹		15,000		15,768
BAE Systems Holdings, Inc.
3.80%		10/07/24	¹		25,000		25,594
General Electric Co.
2.70%		10/09/22			15,000		14,725
General Electric Co. (MTN)
5.55%		01/05/26			10,000		10,723
Ingersoll-Rand Co.
9.00%		08/15/21			10,000		11,202
L3 Technologies, Inc.
3.85%		06/15/23			15,000		15,472
Northrop Grumman Corp.
2.93%		01/15/25			15,000		14,803
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.63%		04/28/26	^1,4		15,000		14,938
United Technologies Corp.
4.13%		11/16/28			10,000		10,398
WRKCo, Inc.
4.65%		03/15/26			15,000		15,909


							154,439


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 1.41%
Farmers Insurance Exchange
4.75%		11/01/57	^1,3		$25,000		$ 21,669
Metropolitan Life Global Funding I
3.88%		04/11/22	¹		15,000		15,439
Nationwide Mutual Insurance Co.
4.90%		12/15/24	^1,3		20,000		19,900
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^1,3		25,000		25,722


							82,730


Materials — 0.27%
International Flavors & Fragrances, Inc.
4.45%		09/26/28			15,000		15,765


Real Estate Investment Trust (REIT) — 5.15%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26			5,000		5,076
4.50%		07/30/29			8,000		8,419
American Campus Communities Operating Partnership LP
3.35%		10/01/20			15,000		15,042
3.63%		11/15/27			5,000		4,898
American Tower Corp.
3.55%		07/15/27			15,000		14,774
Boston Properties LP
2.75%		10/01/26			10,000		9,484
4.50%		12/01/28			10,000		10,623
CC Holdings GS V LLC/Crown Castle GS III Corp.
3.85%		04/15/23			15,000		15,374
CubeSmart LP
4.38%		02/15/29			15,000		15,357
Digital Realty Trust LP
3.63%		10/01/22			15,000		15,217
GLP Capital LP/GLP Financing II, Inc.
5.30%		01/15/29			15,000		15,799
HCP, Inc.
3.88%		08/15/24			10,000		10,236
4.25%		11/15/23			20,000		20,816
Healthcare Realty Trust, Inc.
3.75%		04/15/23			15,000		15,107
Healthcare Trust of America Holdings LP
2.95%		07/01/22			15,000		14,800
Highwoods Realty LP
3.20%		06/15/21			5,000		4,985
Host Hotels & Resorts LP
6.00%		10/01/21			5,000		5,291
Hudson Pacific Properties LP
3.95%		11/01/27			10,000		9,689


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Kilroy Realty LP
4.38%		10/01/25			$15,000		$ 15,510
National Retail Properties, Inc.
3.80%		10/15/22			15,000		15,343
SL Green Operating Partnership LP
3.25%		10/15/22			15,000		14,930
UDR, Inc. (MTN)
4.63%		01/10/22			15,000		15,586
Ventas Realty LP
4.13%		01/15/26			10,000		10,275
WEA Finance LLC
3.15%		04/05/22	¹		20,000		20,070


							302,701


Retail — 0.44%
Family Dollar Stores, Inc.
5.00%		02/01/21			15,000		15,485
Home Depot, Inc. (The)
3.90%		12/06/28			10,000		10,587


							26,072


Services — 0.61%
IHS Markit Ltd. (Bermuda)
4.75%		08/01/28	⁴		5,000		5,238
5.00%		11/01/22	^1,4		15,000		15,725
Republic Services, Inc.
2.90%		07/01/26			15,000		14,694


							35,657


Transportation — 1.40%
Burlington Northern Santa Fe LLC
4.40%		03/15/42			4,000		4,298
Continental Airlines Pass-Through Trust, Series 2007-1, Class A
5.98%		04/19/22			27,355		28,805
U.S. Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			5,158		5,532
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
7.13%		10/22/23			25,062		27,619
Union Pacific Corp.
3.95%		09/10/28			15,000		15,791


							82,045

Total Corporates (Cost $2,828,619)							2,910,628


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 32.82%**
Non-Agency Commercial
Mortgage-Backed — 7.14%
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class XA (IO)
0.62%		02/10/47	³		$ 2,530,724		$ 63,667
Commercial Mortgage Trust, Series 2013-CR9, Class XA (IO)
0.12%		07/10/45	³		11,784,906		42,784
Commercial Mortgage Trust, Series 2014-CR18, Class XA (IO)
1.14%		07/15/47	³		1,226,046		46,015
DBUBS Mortgage Trust, Series 2011-LC2A, Class XA (IO)
1.05%		07/10/44	^1,3		813,450		14,383
GS Mortgage Securities Trust, Series 2011-GC5, Class XA (IO)
1.34%		08/10/44	^1,3		1,646,705		39,719
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class XB (IO)
0.70%		11/15/43	^1,3		1,397,175		13,164
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class XA (IO)
1.52%		12/15/47	³		1,204,982		49,145
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)
1.27%		04/15/46	³		478,753		20,560
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1
3.87%		01/05/43	^1,3		100,000		100,833
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class XB (IO)
0.20%		08/10/49	^1,3,5,6		3,700,000		29,877


							420,147


Non-Agency Mortgage-Backed — 9.39%
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A22
(LIBOR USD 1-Month plus 0.28%)
2.77%		09/25/35	²		13,652		13,660
Ameriquest Mortgage Securities, Inc., Series 2005-R2, Class M2
(LIBOR USD 1-Month plus 0.72%)
3.21%		04/25/35	²		218		219
Bear Stearns ALT-A Trust, Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.64%)
3.13%		04/25/34	²		44,124		43,287
Bear Stearns ARM Trust, Series 2004-1, Class 12A5
4.66%		04/25/34	³		13,598		13,695


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD2, Class A1
(LIBOR USD 1-Month plus 0.38%)
2.87%		06/25/36	²		$ 5,982		$ 5,990
Bombardier Capital Mortgage Securitization Corp., Series 2000-A, Class A2
7.58%		06/15/30	³		19,426		6,478
Centex Home Equity Loan Trust, Series 2005-D, Class M4
(LIBOR USD 1-Month plus 0.61%)
3.10%		10/25/35	²		30,000		29,446
CIT Mortgage Loan Trust, Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
3.84%		10/25/37	^1,2		13,838		13,996
Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
3.12%		02/25/35	²		20,859		20,638
Conseco Finance Corp., Series 1998-4, Class A5
6.18%		04/01/30			38,974		39,955
Fremont Home Loan Trust, Series 2005-A, Class M3
(LIBOR USD 1-Month plus 0.74%)
3.22%		01/25/35	²		49,000		48,101
Fremont Home Loan Trust, Series 2005-B, Class M4
(LIBOR USD 1-Month plus 0.71%)
3.19%		04/25/35	²		24,255		24,336
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
4.52%		09/25/35	³		28,321		28,964
IndyMac Index Mortgage Loan Trust, Series 2007-FLX3, Class A1
(LIBOR USD 1-Month plus 0.24%)
2.73%		06/25/37	²		18,307		17,869
JPMorgan Mortgage Acquisition Trust, Series 2007-CH2, Class AV1
(LIBOR USD 1-Month plus 0.16%)
2.65%		01/25/37	²		8,451		8,469
JPMorgan Mortgage Trust, Series 2005-A3, Class 2A1
4.25%		06/25/35	³		17,840		17,778
Long Beach Mortgage Loan Trust, Series 2006-1, Class 1A
(LIBOR USD 1-Month plus 0.22%)
2.71%		02/25/36	²		9,598		9,329
Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 3A1
4.21%		07/25/34	³		23,849		23,904


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Saxon Asset Securities Trust, Series 2007-2, Class A2A
(LIBOR USD 1-Month plus 0.10%)
2.59%		05/25/47	^2,5,6	$	95,903		$ 79,301
Structured Asset Mortgage Investments II Trust, Series 2004-AR1, Class 1A2
(LIBOR USD 1-Month plus 0.70%)
3.18%		03/19/34	²		3,346		3,283
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-EQ1A, Class A5
(LIBOR USD 1-Month plus 0.31%)
2.80%		07/25/36	^1,2		105,000		103,298


							551,996


U.S. Agency Commercial
Mortgage-Backed — 8.78%
Fannie Mae-Aces, Series 2016-M11, Class X2 (IO)
2.68%		07/25/39	³		2,032,400		78,961
Fannie Mae-Aces, Series 2016-M4, Class X2 (IO)
2.60%		01/25/39	³		595,457		52,622
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K011, Class X3 (IO)
2.57%		12/25/43	³		1,067,620		44,408
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K013, Class X3 (IO)
2.81%		01/25/43	³		860,000		42,072
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K015, Class X3 (IO)
2.80%		08/25/39	³		350,000		21,653
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K710, Class X1 (IO)
1.85%		05/25/19	³		5,454,892		555
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K717, Class X3 (IO)
1.63%		11/25/42	³		900,000		34,907
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KAIV, Class X2 (IO)
3.61%		06/25/41	³		200,000		14,387
Ginnie Mae, Series 2011-78, Class IX (IO)
0.14%		08/16/46	³		5,323,910		95,803
Ginnie Mae, Series 2013-1, Class IO (IO)
0.62%		02/16/54	³		2,019,302		72,309


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae, Series 2013-125, Class IO (IO)
0.72%		10/16/54	³	$	1,679,892	$	58,427


							516,104


U.S. Agency Mortgage-Backed — 7.51%
Fannie Mae Pool AM1691
3.46%		01/01/43			35,753		35,978
Fannie Mae Pool AN9420
3.77%		07/01/43			49,256		51,737
Fannie Mae REMICS, Series 2012-128, Class UA
2.50%		06/25/42			109,094		104,742
Fannie Mae REMICS, Series 2013-5, Class GF
(LIBOR USD 1-Month plus 1.10%)
3.59%		10/25/42	²		76,169		76,175
Freddie Mac REMICS, Series 4064, Class TB
3.50%		06/15/42			103,000		104,023
Freddie Mac REMICS, Series 4638, Class UF
(LIBOR USD 1-Month plus 1.00%)
3.50%		09/15/44	²		68,220		68,770


							441,425

Total Mortgage-Backed (Cost $1,962,610)							1,929,672


MUNICIPAL BONDS — 0.18%*
California — 0.09%
University of California, Taxable Revenue Bonds, Series AJ
4.60%		05/15/31			5,000		5,584


New York — 0.09%
New York City Transitional Finance Authority Future Tax Secured Revenue
3.73%		08/01/29			5,000		5,211

Total Municipal Bonds (Cost $10,285)							10,795


U.S. TREASURY SECURITIES — 7.74%
U.S. Treasury Notes — 7.74%
U.S. Treasury Notes (WI)
2.63%		02/15/29			447,000		455,340

Total U.S. Treasury Securities (Cost $451,720)							455,340


Total Bonds – 98.63% (Cost $5,732,376)							5,798,996

Issues

Maturity
Date

Principal
Amount

Value

SHORT-TERM INVESTMENTS — 0.46%

U.S. Treasury Bills — 0.46%

U.S. Treasury Bills

2.41%^7,8

06/20/19

$27,000

26,859

Total Short-Term Investments
(Cost $26,856)

26,859

Total Investments – 99.09%

(Cost $5,759,232)

5,825,855

Cash and Other Assets, Less

Liabilities – 0.91%

53,536

Net Assets – 100.00%

5,879,391

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 March 31, 2019.

³	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.

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

⁵	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $109,178, which is 1.86% of total net assets.

⁷	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $26,857.

⁸	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.

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term Note

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 98.18%
ASSET-BACKED SECURITIES — 7.75%**
Access Group, Inc., Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
3.19%		07/25/56	^1,2	$	1,986,641	$	1,934,495
Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
3.56%		01/20/28	^1,2,3		6,700,000		6,651,693
Barings CLO Ltd., Series 2016-2A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
3.84%		07/20/28	^1,2,3		5,500,000		5,500,374
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
2.94%		04/25/35	^1,2		241,129		235,803
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
3.45%		02/25/30	¹		105,084		105,403
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
3.77%		10/27/36	¹		5,075,000		5,080,214
CIFC Funding Ltd., Series 2014-4RA, Class A1A (Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
3.90%		10/17/30	^1,2,3		5,880,000		5,863,336
Education Loan Asset-Backed Trust I, Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
3.29%		04/26/32	^1,2		8,375,000		8,403,284
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
(LIBOR USD 1-Month plus 0.65%)
3.14%		08/27/46	^1,2		7,278,667		6,944,847
Goal Capital Funding Trust, Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
3.10%		08/25/42	¹		2,506,902		2,335,992
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	²		3,987,335		4,143,482
Magnetite VII Ltd., Series 2012-7A,
Class A1R2 (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
3.59%		01/15/28	^1,2,3		5,880,000		5,785,676
Navient Student Loan Trust, Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
3.06%		11/26/40	¹		5,300,000		5,255,918


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2016-7A, Class A
(LIBOR USD 1-Month plus 1.15%)
3.64%		03/25/66	^1,2	$	10,542,541	$	10,649,301
Navient Student Loan Trust, Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
3.54%		12/27/66	^1,2		3,129,046		3,144,547
Nelnet Student Loan Trust, Series 2013-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
3.09%		06/25/41	^1,2		2,879,404		2,856,850
Nelnet Student Loan Trust, Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
3.04%		07/25/46	^1,2		9,564,200		9,565,391
Northstar Education Finance, Inc., Series 2007-1, Class A1
(1.00 X LIBOR USD 3-Month plus 0.10%)
2.86%		04/28/30	¹		2,758,938		2,749,043
PHEAA Student Loan Trust, Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.15%)
3.64%		09/25/65	^1,2		10,130,157		10,296,242
SLC Student Loan Trust, Series 2007-1, Class A4
(LIBOR USD 3-Month plus 0.06%)
2.74%		05/15/29	¹		4,604,007		4,535,009
SLM Student Loan Trust, Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.47%)
3.08%		12/15/27	^1,2		8,779,092		8,788,471
SLM Student Loan Trust, Series 2003-11, Class A6
(LIBOR USD 3-Month plus 0.55%)
3.16%		12/15/25	^1,2		4,434,118		4,452,217
SLM Student Loan Trust, Series 2006-9, Class A5
(LIBOR USD 3-Month plus 0.10%)
2.87%		01/26/26	¹		1,768,412		1,765,605
SLM Student Loan Trust, Series 2007-3, Class A3
(LIBOR USD 3-Month plus 0.04%)
2.81%		04/25/19	¹		164,748		164,639
SLM Student Loan Trust, Series 2007-6, Class A4
(LIBOR USD 3-Month plus 0.38%)
3.15%		10/25/24	¹		4,683,797		4,689,090
SLM Student Loan Trust, Series 2008-1, Class A4
(LIBOR USD 3-Month plus 0.65%)
3.42%		01/25/22	¹		5,989,027		5,956,237

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-4, Class A4

(LIBOR USD 3-Month plus 1.65%)

4.42%

07/25/22

5,221,980

5,284,132

SLM Student Loan Trust, Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

3.87%

07/25/23

3,481,466

3,484,285

SLM Student Loan Trust, Series 2008-8, Class B

(LIBOR USD 3-Month plus 2.25%)

5.02%

10/25/75

1,095,000

1,121,525

SLM Student Loan Trust, Series 2011-1, Class A1

(LIBOR USD 1-Month plus 0.52%)

3.01%

03/25/26

97,654

97,775

SLM Student Loan Trust, Series 2012-2, Class A

(LIBOR USD 1-Month plus 0.70%)

3.19%

01/25/29

2,799,930

2,756,736

SLM Student Loan Trust, Series 2012-7, Class A3

(LIBOR USD 1-Month plus 0.65%)

3.14%

05/26/26

11,155,254

10,995,541

SLM Student Loan Trust, Series 2013-4, Class A

(LIBOR USD 1-Month plus 0.55%)

3.04%

06/25/43

3,476,045

3,462,637

SLM Student Loan Trust, Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.60%)

3.09%

02/26/29

5,617,698

5,500,418

Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^1,2

3,500,000

3,305,250

Voya CLO Ltd., Series 2015-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.97%)

3.74%

07/23/27

^1,2,3

3,505,000

3,487,223

Total Asset-Backed Securities

(Cost $166,468,264)

167,348,681

BANK LOANS — 0.78%*

Automotive — 0.05%

Panther BF Aggregator 2 LP/Panther

Finance Co., Inc., Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.50%

03/18/26

1,000,000

989,990

Communications — 0.19%

CSC Holdings LLC, Term Loan B, 1st Lien

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

(LIBOR plus 2.25%)

4.73%

01/15/26

1,200,000

1,167,900

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

6.63%

01/02/24

500,000

501,375

Lamar Media Corp., Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.25%

03/14/25

495,000

494,589

Sprint Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.50%)

5.00%

02/02/24

791,919

772,913

Unitymedia Finance LLC,

Term Loan E, 1st Lien

(LIBOR plus 2.00%)

4.48%

06/01/23

1,250,000

1,237,213

4,173,990

Electric — 0.04%

Chief Power Finance LLC, Term Loan B,

1st Lien

(LIBOR plus 4.75%)

7.25%

12/31/20

^1,4,5

965,780

912,315

Finance — 0.23%

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.35%

10/06/23

4,929,507

4,928,891

Health Care — 0.08%

Bausch Health Cos., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.48%

06/02/25

740,000

736,104

Catalent Pharma Solutions, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.75%

05/20/24

980,027

977,121

1,713,225

Industrials — 0.06%

Tyco International Holdings SARL,

Term Loan

(LIBOR plus 1.25%)

4.16%

03/02/20

^1,4,5

1,368,640

1,364,370

Information Technology — 0.13%

Dell International LLC,

Term Loan A2, 1st Lien

(LIBOR plus 1.75%)

4.25%

09/07/21

1,289,015

1,286,340

IQVIA, Inc., Term Loan B1, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
(LIBOR plus 2.00%)
4.60%		03/07/24	¹	$	450,337	$	449,305
IQVIA, Inc., Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
4.25%		06/11/25	¹		496,250		491,751
SS&C Technologies, Inc., Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	¹		309,734		307,647
SS&C Technologies, Inc.,
Term Loan B4, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	¹		222,698		221,197


							2,756,240


Total Bank Loans
(Cost $16,954,467)							16,839,021


CORPORATES — 34.46%*
Banking — 7.15%
Bank of America Corp.
2.74%		01/23/22	⁶		9,705,000		9,670,241
3.00%		12/20/23	⁶		2,159,000		2,151,416
7.63%		06/01/19			5,000,000		5,038,485
Bank of America Corp. (GMTN)
2.37%		07/21/21	⁶		18,025,000		17,921,041
Bank of America N.A.
3.34%		01/25/23	⁶		1,015,000		1,025,998
Bank of New York Mellon Corp. (The) (MTN)
2.30%		09/11/19			4,753,000		4,746,671
Bank of New York Mellon Corp., (The)
Series G
2.20%		05/15/19			629,000		628,616
JPMorgan Chase & Co.
2.25%		01/23/20			10,000,000		9,976,143
6.30%		04/23/19			12,375,000		12,400,814
JPMorgan Chase Bank N.A. (BKNT)
2.60%		02/01/21	⁶		13,950,000		13,924,302
3.09%		04/26/21	⁶		261,000		261,656
Lloyds Bank PLC (United Kingdom)
3.30%		05/07/21	³		6,475,000		6,532,707
6.38%		01/21/21	³		2,000,000		2,126,758
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^2,3		3,000,000		3,069,431
PNC Bank N.A. (BKNT)
2.25%		07/02/19			1,795,000		1,793,146
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		08/05/21	³		13,000,000		12,890,859
Santander UK PLC (United Kingdom)
2.50%		01/05/21	³		2,250,000		2,234,260


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
UBS AG/London (Switzerland)
(LIBOR USD 3-Month plus 0.32%)
2.95%		05/28/19	^1,2,3	$	8,000,000	$	8,001,056
Wells Fargo & Co.
(LIBOR USD 3-Month plus 1.23%)
3.97%		10/31/23	¹		2,000,000		2,045,260
Wells Fargo & Co. (MTN)
2.63%		07/22/22			1,105,000		1,097,544
Wells Fargo & Co., Series N (MTN)
2.15%		01/30/20			9,535,000		9,491,796
Wells Fargo Bank N.A. (BKNT)
2.15%		12/06/19			2,715,000		2,703,974
2.40%		01/15/20			20,000,000		19,935,640
3.33%		07/23/21	⁶		4,620,000		4,652,883


							154,320,697


Communications — 2.28%
AT&T, Inc.
3.00%		06/30/22			7,440,000		7,462,353
3.40%		05/15/25			2,655,000		2,637,585
3.90%		03/11/24			1,700,000		1,746,946
(LIBOR USD 3-Month plus 1.18%)
3.78%		06/12/24	¹		475,000		471,750
CBS Corp.
2.50%		02/15/23			2,095,000		2,041,268
Charter Communications Operating LLC/Charter Communications Operating Capital
4.50%		02/01/24			2,720,000		2,831,258
4.91%		07/23/25			1,400,000		1,480,023
Comcast Corp.
3.45%		10/01/21			3,265,000		3,330,857
Cox Communications, Inc.
7.63%		06/15/25			900,000		1,086,975
Discovery Communications LLC
2.75%		11/15/19	²		2,000,000		1,995,514
2.80%		06/15/20	²		715,000		712,001
Fox Corp.
3.67%		01/25/22	²		5,000,000		5,100,728
Sprint Communications, Inc.
7.00%		03/01/20	²		1,264,000		1,300,340
Sprint Corp.
7.63%		03/01/26			21,000		21,336
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%		09/20/21	²		9,531,250		9,517,430
Viacom, Inc.
3.88%		04/01/24			2,000,000		2,039,690
Vodafone Group PLC (United Kingdom)
3.75%		01/16/24	³		3,910,000		3,942,357


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Warner Media LLC
3.88%		01/15/26		$	1,400,000	$	1,406,071


							49,124,482


Consumer Discretionary — 0.84%
Anheuser-Busch InBev Worldwide, Inc.
4.15%		01/23/25			5,500,000		5,733,346
Constellation Brands, Inc.
2.00%		11/07/19			7,000,000		6,962,740
Molson Coors Brewing Co.
2.25%		03/15/20			5,000,000		4,969,461
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A.
(LIBOR USD 3-Month plus 3.50%)
6.29%		07/15/21	^1,2		550,000		553,438


							18,218,985


Electric — 2.03%
American Electric Power Co., Inc., Series I
3.65%		12/01/21			5,000,000		5,096,370
Black Hills Corp.
4.25%		11/30/23			4,050,000		4,202,946
Duke Energy Florida LLC
2.10%		12/15/19			1,680,000		1,676,461
ITC Holdings Corp.
5.50%		01/15/20	²		1,780,000		1,812,706
Kansas City Power & Light Co.
3.65%		08/15/25			2,555,000		2,634,159
LG&E & KU Energy LLC
3.75%		11/15/20			3,400,000		3,434,605
Mississippi Power Co.
(LIBOR USD 3-Month plus 0.65%)
3.26%		03/27/20	¹		5,000,000		4,999,514
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.48%)
3.22%		05/04/21	¹		7,700,000		7,699,641
(LIBOR USD 3-Month plus 0.55%)
3.18%		08/28/21	¹		3,952,000		3,944,547
Pennsylvania Electric Co.
5.20%		04/01/20			1,262,000		1,282,236
PNM Resources, Inc.
3.25%		03/09/21			7,115,000		7,108,390


							43,891,575


Energy — 1.54%
Energy Transfer Operating LP
4.90%		02/01/24			4,292,000		4,553,705
Florida Gas Transmission Co. LLC
7.90%		05/15/19	²		3,320,000		3,337,037


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Panhandle Eastern Pipe Line Co. LP
8.13%		06/01/19		$	1,000,000	$	1,007,308
Plains All American Pipeline LP/PAA
Finance Corp.
3.85%		10/15/23			5,422,000		5,523,261
Rockies Express Pipeline LLC
5.63%		04/15/20	²		2,036,000		2,089,445
Ruby Pipeline LLC
6.00%		04/01/22	²		3,292,159		3,256,437
Sabine Pass Liquefaction LLC
5.75%		05/15/24			1,715,000		1,890,096
Spectra Energy Partners LP
4.60%		06/15/21			1,725,000		1,772,654
4.75%		03/15/24			4,519,000		4,801,295
TC PipeLines LP
4.65%		06/15/21			4,900,000		5,023,556


							33,254,794


Finance — 6.33%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.75%		05/15/19	³		500,000		500,425
Air Lease Corp.
2.13%		01/15/20			5,000,000		4,974,012
3.50%		01/15/22			3,420,000		3,452,906
American Express Credit Corp. (GMTN)
2.25%		08/15/19			2,840,000		2,837,247
BMW U.S. Capital LLC
(LIBOR USD 3-Month plus 0.38%)
2.97%		04/06/20	^1,2		8,000,000		8,009,522
Citibank N.A. (BKNT)
3.05%		05/01/20			11,605,000		11,645,564
Citigroup, Inc.
2.50%		07/29/19			2,500,000		2,498,938
8.50%		05/22/19			3,000,000		3,024,446
Daimler Finance North America LLC
1.50%		07/05/19	²		4,407,000		4,392,469
1.75%		10/30/19	²		2,000,000		1,987,297
Ford Motor Credit Co. LLC
2.46%		03/27/20			1,000,000		992,277
2.60%		11/04/19			3,550,000		3,538,597
3.20%		01/15/21			3,000,000		2,958,322
5.60%		01/07/22			1,662,000		1,714,935
5.75%		02/01/21			5,241,000		5,396,531
(LIBOR USD 3-Month plus 0.79%)
3.39%		06/12/20	¹		2,080,000		2,063,493
(LIBOR USD 3-Month plus 0.88%)
3.68%		10/12/21	¹		2,500,000		2,423,235


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	³	$	14,515,000	$	14,337,772
General Motors Financial Co., Inc.
2.40%		05/09/19			2,600,000		2,598,949
Goldman Sachs Group, Inc. (The)
2.55%		10/23/19			6,049,000		6,039,657
2.63%		04/25/21			1,880,000		1,873,026
2.88%		10/31/22	⁶		726,000		721,503
2.91%		07/24/23	⁶		6,000,000		5,940,730
(LIBOR USD 3-Month plus 1.02%)
3.79%		10/23/19	¹		5,000,000		5,023,980
International Lease Finance Corp.
6.25%		05/15/19			3,000,000		3,011,055
Morgan Stanley (GMTN)
5.50%		01/26/20			2,805,000		2,866,526
5.50%		07/24/20			3,450,000		3,568,147
7.30%		05/13/19			8,000,000		8,041,435
(LIBOR USD 3-Month plus 0.55%)
3.25%		02/10/21	¹		10,000,000		10,011,365
Morgan Stanley (MTN)
5.63%		09/23/19			2,000,000		2,026,289
Protective Life Global Funding
1.72%		04/15/19	²		8,245,000		8,241,289


							136,711,939


Food — 1.93%
Campbell Soup Co.
3.30%		03/15/21			4,025,000		4,049,088
(LIBOR USD 3-Month plus 0.50%)
3.11%		03/16/20	¹		1,000,000		997,943
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
3.09%		10/09/20	¹		8,203,000		8,162,406
(LIBOR USD 3-Month plus 0.75%)
3.51%		10/22/20	¹		3,000,000		2,997,447
Danone SA (France)
1.69%		10/30/19	^2,3		3,325,000		3,303,866
General Mills, Inc.
3.20%		04/16/21			7,000,000		7,063,335
Kraft Heinz Foods Co.
3.95%		07/15/25			1,500,000		1,512,987
(LIBOR USD 3-Month plus 0.42%)
3.12%		08/09/19	¹		4,000,000		4,001,574
Mondelez International Holdings
Netherlands BV (Netherlands)
1.63%		10/28/19	^2,3		9,670,000		9,596,982


							41,685,628


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care — 3.69%
AbbVie, Inc.
3.75%		11/14/23		$	4,965,000	$	5,099,761
Aetna, Inc.
3.50%		11/15/24			3,136,000		3,142,408
Allergan Funding SCS (Luxembourg)
3.45%		03/15/22	³		3,000,000		3,028,334
Bayer U.S. Finance II LLC
2.13%		07/15/19	²		4,275,000		4,262,121
3.50%		06/25/21	²		1,825,000		1,835,322
Bayer U.S. Finance LLC
2.38%		10/08/19	²		6,425,000		6,408,160
Becton Dickinson and Co.
2.40%		06/05/20			2,260,000		2,244,246
2.68%		12/15/19			3,661,000		3,663,306
Celgene Corp.
2.75%		02/15/23			585,000		579,711
3.25%		08/15/22			2,278,000		2,305,375
Cigna Corp.
3.20%		09/17/20	²		6,000,000		6,034,911
Cigna Holding Co.
4.50%		03/15/21			5,335,000		5,478,154
5.13%		06/15/20			1,725,000		1,772,392
Elanco Animal Health, Inc.
3.91%		08/27/21	²		2,500,000		2,542,717
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	²		3,353,000		3,393,276
HCA, Inc.
5.00%		03/15/24			1,000,000		1,061,356
6.50%		02/15/20			1,960,000		2,017,820
Humana, Inc.
2.50%		12/15/20			5,675,000		5,652,599
3.15%		12/01/22			2,000,000		2,008,507
Roche Holdings, Inc.
2.25%		09/30/19	²		3,710,000		3,701,211
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	³		5,865,000		5,840,348
2.40%		09/23/21	³		1,500,000		1,482,177
Sutter Health, Series 13-C
2.29%		08/15/53			1,525,000		1,501,466
Tenet Healthcare Corp.
4.75%		06/01/20			340,000		344,250
6.00%		10/01/20			1,485,000		1,542,544
Zimmer Biomet Holdings, Inc.
(LIBOR USD 3-Month plus 0.75%)
3.38%		03/19/21	¹		2,685,000		2,676,909


							79,619,381


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials — 2.18%
BAE Systems Holdings, Inc.
6.38%		06/01/19	²	$	5,660,000	$	5,688,461
Bemis Co., Inc.
6.80%		08/01/19			4,180,000		4,233,633
Clean Harbors, Inc.
5.13%		06/01/21			243,000		244,215
General Electric Co. (GMTN)
2.20%		01/09/20			2,000,000		1,987,499
4.63%		01/07/21			1,030,000		1,056,985
6.00%		08/07/19			2,281,000		2,305,228
General Electric Co. (MTN)
4.65%		10/17/21			1,835,000		1,902,620
(LIBOR USD 3-Month plus 0.38%)
3.11%		05/05/26	¹		5,180,000		4,549,133
(LIBOR USD 3-Month plus 0.48%)
3.16%		08/15/36	¹		2,182,000		1,669,383
Ingersoll-Rand Co.
9.00%		08/15/21			1,100,000		1,232,245
L3 Technologies, Inc.
4.95%		02/15/21			1,525,000		1,569,384
Siemens Financieringsmaatschappij NV (Netherlands)
1.30%		09/13/19	^2,3		6,500,000		6,465,173
United Technologies Corp.
(LIBOR USD 3-Month plus 0.65%)
3.33%		08/16/21	¹		7,250,000		7,254,844
WestRock MWV LLC
7.38%		09/01/19			5,850,000		5,953,930
WestRock RKT LLC
3.50%		03/01/20			1,000,000		1,005,011


							47,117,744


Information Technology — 0.41%
Analog Devices, Inc.
2.85%		03/12/20			4,030,000		4,032,473
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%		01/15/20			4,750,000		4,725,938


							8,758,411


Insurance — 0.42%
Allstate Corp. (The)
(LIBOR USD 3-Month plus 0.43%)
3.03%		03/29/21	¹		4,000,000		3,996,939
Metropolitan Life Global Funding I
3.38%		01/11/22	²		1,550,000		1,573,557
Nationwide Mutual Insurance Co.
4.90%		12/15/24	^2,6		3,550,000		3,532,250


							9,102,746


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials — 0.37%
Georgia-Pacific LLC
2.54%		11/15/19	²	$	8,000,000	$	7,988,396


Real Estate Investment Trust (REIT) — 3.98%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			8,800,000		8,786,530
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			6,040,000		6,056,728
Boston Properties LP
5.63%		11/15/20			2,260,000		2,345,402
Digital Realty Trust LP
3.63%		10/01/22			2,430,000		2,465,237
Duke Realty LP
3.88%		02/15/21			6,385,000		6,482,734
GLP Capital LP/GLP Financing II, Inc.
4.38%		04/15/21			3,240,000		3,294,464
4.88%		11/01/20			4,210,000		4,293,225
HCP, Inc.
2.63%		02/01/20			10,765,000		10,738,976
Healthcare Trust of America Holdings LP
3.38%		07/15/21			425,000		426,383
Host Hotels & Resorts LP
6.00%		10/01/21			3,500,000		3,703,629
National Retail Properties, Inc.
3.80%		10/15/22			2,990,000		3,058,410
Realty Income Corp.
3.25%		10/15/22			3,000,000		3,051,947
Reckson Operating Partnership LP
7.75%		03/15/20			1,650,000		1,719,713
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
3.66%		08/16/21	¹		5,000,000		4,979,141
UDR, Inc.
3.70%		10/01/20			3,000,000		3,031,560
UDR, Inc. (MTN)
4.63%		01/10/22			5,523,000		5,738,670
Ventas Realty LP/Ventas Capital Corp.
2.70%		04/01/20			3,949,000		3,941,190
VEREIT Operating Partnership LP
4.13%		06/01/21			2,325,000		2,364,477
WEA Finance LLC/Westfield UK & Europe Finance PLC
2.70%		09/17/19	²		5,500,000		5,496,090
3.25%		10/05/20	²		4,000,000		4,031,588


							86,006,094


Retail — 0.88%
Alimentation Couche-Tard, Inc. (Canada)
2.35%		12/13/19	^2,3		7,000,000		6,969,407


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.47%		04/17/20	¹	$	7,000,000	$	7,001,612
Walgreens Boots Alliance, Inc.
2.70%		11/18/19			5,000,000		4,991,828


							18,962,847


Services — 0.32%
IHS Markit Ltd. (Bermuda)
5.00%		11/01/22	^2,3		5,761,000		6,039,256
Republic Services, Inc.
5.50%		09/15/19			850,000		858,985


							6,898,241


Transportation — 0.11%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21			86,845		90,597
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21			792,658		816,120
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23			1,021,222		1,056,318
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%		04/02/21			489,841		514,107


							2,477,142


Total Corporates
(Cost $739,966,348)							744,139,102


MORTGAGE-BACKED — 30.92%**
Non-Agency Commercial
Mortgage-Backed — 4.03%
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.79%		09/10/45	^2,6		17,258,112		801,011
Commercial Mortgage Trust, Series
2013-LC6, Class ASB
2.48%		01/10/46			6,880,105		6,844,128
Core Industrial Trust, Series 2015-CALW,
Class A
3.04%		02/10/34	²		3,529,057		3,561,260
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		07/12/44	^2,6		5,897,711		6,066,828
Four Times Square Trust Commercial
Mortgage Pass-Through Certificates,
Series 2006-4TS, Class A
5.40%		12/13/28	²		5,800,001		6,054,123
GE Business Loan Trust, Series 2006-2A,
Class A
(LIBOR USD 1-Month plus 0.18%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
2.66%		11/15/34	^1,2	$	1,719,739	$	1,692,729
GE Business Loan Trust, Series 2007-1A, Class A
(LIBOR USD 1-Month plus 0.17%)
2.65%		04/15/35	^1,2		874,683		858,313
GS Mortgage Securities Corp. II, Series 2013-KING, Class A
2.71%		12/10/27	²		4,049,530		4,043,625
GS Mortgage Securities Trust,
Series 2012-SHOP, Class A
2.93%		06/05/31	²		2,825,000		2,824,140
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2006-LDP9,
Class A3S
5.24%		05/15/47	²		308,216		307,033
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2006-LDP9,
Class A3SF
(LIBOR USD 1-Month plus 0.16%)
2.64%		05/15/47	¹		1,667,356		1,671,204
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C5,
Class A3
4.17%		08/15/46			4,969,562		5,112,094
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C6, Class ASB
3.14%		05/15/45			10,064,682		10,151,087
Morgan Stanley Capital Barclays Bank Trust, Series 2016-MART, Class A
2.20%		09/13/31	²		4,565,000		4,504,141
Morgan Stanley Capital I Trust,
Series 2011-C1, Class A4
5.03%		09/15/47	^2,6		2,693,404		2,761,583
OBP Depositor LLC Trust, Series 2010-OBP,
Class A
4.65%		07/15/45	²		3,855,000		3,902,847
One Lincoln Street Commercial Mortgage,
Series 2004-C3, Class A1
5.72%		10/15/30	^2,6		8,910,298		9,779,986
UBS Commercial Mortgage Trust, Series
2019-C16, Class A1
2.74%		04/15/52	^†		9,730,000		9,729,930
Vornado DP LLC Trust, Series 2010-VNO,
Class A1
2.97%		09/13/28	²		3,431,839		3,435,249
Wells Fargo Commercial Mortgage Trust,
Series 2013-120B, Class A
2.71%		03/18/28	^2,6		2,855,000		2,841,904


							86,943,215


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 9.84%
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
2.71%		02/25/37	¹	$	12,000,000	$	11,808,604
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1
(LIBOR USD 1-Month plus 0.44%)
2.93%		12/25/35	¹		1,075,832		1,074,421
Aegis Asset-Backed Securities Trust, Series 2005-5, Class 2A
(LIBOR USD 1-Month plus 0.25%)
2.74%		12/25/35	¹		4,448,624		4,449,987
Ameriquest Mortgage Securities Trust, Series 2006-R2, Class A1
(LIBOR USD 1-Month plus 0.18%)
2.66%		04/25/36	¹		1,591,475		1,589,535
Amresco Residential Securities Corp. Mortgage Loan Trust, Series 1998-1, Class A5 (STEP-reset date 05/25/19)
7.22%		10/25/27			11,159		11,397
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-W2, Class A1
(LIBOR USD 1-Month plus 0.26%)
2.75%		10/25/35	¹		3,254,870		3,259,196
Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1
5.50%		10/25/33			8,723,460		8,977,947
Banc of America Funding Trust, Series 2015-R2, Class 9A1
(LIBOR USD 1-Month plus 0.22%)
2.70%		03/27/36	^1,2		4,220,391		4,204,286
Banc of America Funding Trust, Series 2015-R4, Class 3A1
(LIBOR USD 1-Month plus 0.14%)
2.63%		07/27/36	^1,2		4,666,281		4,586,014
Banc of America Funding Trust, Series 2016-R1, Class A1
2.50%		03/25/40	^2,6		10,828,215		10,624,930
BCAP LLC Trust, Series 2008-IND2, Class A1
(LIBOR USD 1-Month plus 1.65%)
4.14%		04/25/38	¹		4,903,992		4,922,086
BCAP LLC Trust, Series 2013-RR5, Class 2A1
3.77%		03/26/37	^2,6		3,949,642		3,995,385
Bear Stearns ARM Trust, Series 2004-3, Class 4A
4.33%		07/25/34	⁶		1,633,990		1,631,349
Chase Funding Trust, Series 2002-2, Class 2M1
(LIBOR USD 1-Month plus 0.90%)
3.39%		02/25/32	¹		58,226		58,276


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chase Mortgage Finance Trust, Series 2007-A1, Class 8A1
4.69%		02/25/37	⁶	$	7,666,272	$	7,907,743
Chase Mortgage Finance Trust, Series 2007-A2, Class 2A3
4.51%		07/25/37	⁶		1,581,686		1,626,514
Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
2.67%		05/25/36	^1,2		862,336		851,498
CIM Trust, Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
3.57%		09/25/58	^1,2		8,289,873		8,235,438
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
4.18%		02/25/34	⁶		114,995		112,905
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C
(LIBOR USD 1-Month plus 1.30%)
3.79%		07/25/37	¹		90,000		86,431
Conseco Finance Corp., Series 1998-2, Class A5
6.24%		12/01/28			2,248		2,279
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		08/01/32	⁶		482,790		489,603
Countrywide Asset-Backed Certificates, Series 2005-11, Class MV2
(LIBOR USD 1-Month plus 0.49%)
2.98%		02/25/36	¹		2,062,339		2,061,200
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
3.80%		08/25/34	⁶		12,199		11,929
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 5A1
4.37%		02/25/34	⁶		1,883,696		1,907,640
Credit Suisse Mortgage Capital, Series 2014-9R, Class 8A1
(LIBOR USD 1-Month plus 0.16%)
2.65%		10/27/36	^1,2		727,925		724,750
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
2.55%		04/25/37	¹		2,930,628		2,164,530
DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.21%)
2.69%		03/19/45	¹		913,860		885,881


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Encore Credit Receivables Trust, Series 2005-2, Class M2
(LIBOR USD 1-Month plus 0.69%)
3.18%		11/25/35	¹	$	3,292,367	$	3,346,669
First Franklin Mortgage Loan Trust, Series 2004-FF5, Class A3C
(LIBOR USD 1-Month plus 1.00%)
3.49%		08/25/34	¹		837,810		819,046
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
4.39%		09/25/34	⁶		6,198		6,157
First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 2A2
4.54%		02/25/35	⁶		770,180		780,496
GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
2.93%		06/25/30	¹		176,883		147,907
GSAA Home Equity Trust, Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
2.77%		08/25/35	¹		60,625		60,877
GSAMP Trust, Series 2006-NC1, Class A3
(LIBOR USD 1-Month plus 0.29%)
2.78%		02/25/36	¹		8,458,034		8,352,487
GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1
4.46%		11/25/35	⁶		535,344		531,953
HSI Asset Securitization Corp. Trust, 2005-NC1, Class M1
(LIBOR USD 1-Month plus 0.77%)
3.25%		07/25/35	¹		3,180,584		3,196,063
Impac CMB Trust, Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.64%)
3.13%		08/25/35	¹		2,629,976		2,534,923
IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
3.27%		12/25/34	¹		271,740		235,089
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
3.29%		11/25/34	¹		882,333		836,445
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4
6.49%		09/25/28			521,494		553,820
JPMorgan Mortgage Acquisition Trust, Series 2005-FRE1, Class A2F3 (STEP-reset date 05/25/19)
3.37%		10/25/35			1,271,747		1,278,167


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
2.77%		03/25/47	¹	$	50,000	$	45,206
JPMorgan Mortgage Trust, Series 2007-A1, Class 1A1
4.44%		07/25/35	⁶		1,075,067		1,088,471
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
4.69%		07/25/35	⁶		281,877		290,960
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			17,758		17,817
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			16,287		16,348
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC (IO)
0.55%		04/15/40	^4,5,6		114,128,403		2,104,368
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
4.27%		01/25/34	⁶		9,480		9,405
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
5.12%		01/25/34	⁶		46,226		46,277
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
4.47%		11/21/34	⁶		944,964		975,370
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
4.46%		04/25/34	⁶		132,638		133,406
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
3.62%		06/25/34	⁶		31,096		30,975
MASTR Alternative Loan Trust, Series 2003-1, Class 1A1
6.25%		12/25/32			2,669,199		2,825,228
MASTR Alternative Loan Trust, Series 2003-5, Class 4A1
5.50%		07/25/33			4,077,474		4,369,390
MASTR Alternative Loan Trust, Series 2003-9, Class 4A1
5.25%		11/25/33			4,388,095		4,584,829
MASTR Alternative Loan Trust, Series 2004-7, Class 1A1
5.50%		07/25/34			4,350,009		4,515,276
MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1
4.63%		10/25/32	⁶		212,167		216,083


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
2.67%		06/25/37	¹	$	11,428,464	$	8,531,891
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
4.08%		08/25/34	⁶		1,372,619		1,379,784
Merrill Lynch Mortgage Investors Trust, Series 2006-F1, Class 1A2
6.00%		04/25/36			1,661,984		1,414,120
Merrill Lynch Mortgage Investors Trust, Series 2006-FF1, Class M3
(LIBOR USD 1-Month plus 0.31%)
2.80%		08/25/36	¹		8,390,000		8,405,960
Mid-State Capital Corp., Series 2004-1, Class B
8.90%		08/15/37			1,009,405		1,154,335
Mid-State Capital Corp., Series 2006-1, Class A
5.79%		10/15/40	²		4,980,010		5,410,067
Mid-State Trust, Series 2010-W, Class A2
5.82%		02/15/36			623,270		670,506
Morgan Stanley ABS Capital I Trust, Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
3.42%		07/25/34	¹		2,481,803		2,489,553
Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A
(LIBOR USD 1-Month plus 0.90%)
3.39%		07/25/34	¹		237,448		237,874
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 3A
(LIBOR USD 1-Month plus 1.25%)
3.74%		03/26/37	^1,2		44,497		44,595
MortgageIT Trust, Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.60%)
3.09%		08/25/35	¹		321,509		316,034
MortgageIT Trust, Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
2.77%		10/25/35	¹		4,907,770		4,901,967
New Century Home Equity Loan Trust, Series 2005-3, Class M2
(LIBOR USD 1-Month plus 0.74%)
3.22%		07/25/35	¹		1,030,064		1,033,124
New Century Home Equity Loan Trust, Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
2.71%		02/25/36	¹		9,524,390		9,444,704


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW2, Class M2
(LIBOR USD 1-Month plus 0.98%)
3.46%		10/25/34	¹	$	5,890,428	$	5,947,600
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M1
(LIBOR USD 1-Month plus 0.75%)
3.24%		07/25/35	¹		4,051,240		4,067,442
Residential Accredit Loans Trust, Series 2005-QA3, Class NB1
3.80%		03/25/35	⁶		2,538,581		1,676,586
Residential Asset Mortgage Products Trust, Series 2004-SL4, Class A3
6.50%		07/25/32			259,528		255,491
Residential Asset Mortgage Products Trust, Series 2005-SL1, Class A5
6.50%		05/25/32			807,851		790,115
Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2 (STEP-reset date 05/25/19)
3.34%		01/25/36			2,074,169		1,823,255
Structured Asset Investment Loan Trust, Series 2005-8, Class A4
(LIBOR USD 1-Month plus 0.72%)
3.21%		10/25/35	¹		1,791,798		1,796,372
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A5
(LIBOR USD 1-Month plus 0.14%)
2.63%		09/25/36	¹		3,850,813		3,838,575
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-26A, Class 3A5
4.62%		09/25/33	⁶		693,687		700,539
Terwin Mortgage Trust, Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 0.55%)
3.04%		07/25/34	^1,2		115,413		113,406
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
4.72%		01/25/33	⁶		104,467		107,246
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1
4.38%		01/25/35	⁶		719,858		738,643
WaMu Mortgage Pass-Through Certificates, Series 2004-CB2, Class 2A
5.50%		07/25/34			4,149,678		4,324,412
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.29%)
2.78%		10/25/45	¹		2,595,771		2,556,144


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.33%)
2.82%		01/25/45	¹	$	413,194	$	404,555
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Q, Class 1A1
4.72%		09/25/34	⁶		1,075,727		1,109,564
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14
4.80%		06/25/35	⁶		3,502,293		3,607,980
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR9, Class 1A1
4.59%		05/25/35	⁶		100,486		102,329
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A5
4.95%		03/25/36	⁶		847,244		842,400


							212,448,430


U.S. Agency Commercial
Mortgage-Backed — 7.51%
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
2.85%		08/25/24	¹		3,831,672		3,827,099
Freddie Mac Multifamily Structured Pass-Through Certificates, Series J19F, Class A1
2.91%		02/25/22			1,527,375		1,536,878
Freddie Mac Multifamily Structured Pass-Through Certificates, Series J22F, Class A1
3.45%		05/25/23			11,302,147		11,533,703
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class A2
3.81%		08/25/20			6,001,294		6,077,006
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A2
4.33%		10/25/20	⁶		8,360,496		8,537,503
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class A1
1.98%		10/25/22			12,305,873		12,195,920
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF08, Class A
(LIBOR USD 1-Month plus 0.30%)
2.79%		01/25/22	¹		4,870,612		4,867,600
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF17, Class A
(LIBOR USD 1-Month plus 0.55%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
3.04%		03/25/23	¹	$	1,964,889	$	1,968,573
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF19, Class A
(LIBOR USD 1-Month plus 0.45%)
2.94%		06/25/23	¹		10,764,222		10,769,929
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ03, Class A1
1.67%		01/25/21			3,563,868		3,521,832
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ14, Class A1
2.20%		11/25/23			5,873,038		5,798,041
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ18, Class A1
2.46%		03/25/22			5,228,953		5,210,416
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1
(LIBOR USD 1-Month plus 0.22%)
2.71%		07/25/20	¹		17,375,000		17,364,910
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS05, Class A
(LIBOR USD 1-Month plus 0.50%)
2.99%		01/25/23	¹		11,913,418		11,927,581
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class A2H
3.02%		01/25/46	⁶		11,214,146		11,237,747
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative
Average plus 0.74%)
3.14%		05/25/44	¹		4,388,735		4,392,361
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF32, Class A
(LIBOR USD 1-Month plus 0.37%)
2.86%		05/25/24	¹		6,280,516		6,280,861
FREMF Multifamily Aggregation Risk Transfer Trust, Series 2017-KT01, Class A
(LIBOR USD 1-Month plus 0.32%)
2.81%		02/25/20	¹		8,245,000		8,239,020
FRESB Mortgage Trust, Series 2016-SB15, Class A5H
(LIBOR USD 1-Month plus 2.06%)
2.06%		03/25/36	¹		11,307,597		11,222,055
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39	⁶		734,022		733,745


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae, Series 2007-12, Class C
5.28%		04/16/41	⁶	$	1,331,611	$	1,333,290
Ginnie Mae, Series 2009-115, Class D
4.66%		01/16/50	⁶		5,690,518		5,847,690
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
3.04%		03/09/21	¹		7,720,084		7,724,748


							162,148,508


U.S. Agency Mortgage-Backed — 9.54% Fannie Mae Pool 464321
4.36%		01/01/20			10,801,209		10,870,803
Fannie Mae Pool 466973
3.85%		01/01/21			13,433,700		13,735,226
Fannie Mae Pool 468764
4.16%		07/01/21			13,090,000		13,501,657
Fannie Mae Pool 469058
3.02%		02/01/22			5,035,007		5,079,653
Fannie Mae Pool 470606
2.99%		03/01/22			6,477,763		6,531,407
Fannie Mae Pool 567002
8.00%		05/01/23			20,444		21,523
Fannie Mae Pool 735861
6.50%		09/01/33			13,686		15,025
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.55%)
3.93%		04/01/34	¹		189,339		191,253
Fannie Mae Pool 995182
5.50%		06/01/20			15,357		15,358
Fannie Mae Pool AD0538
6.00%		05/01/24			368,947		385,785
Fannie Mae Pool AE0083
6.00%		01/01/40			1,092,953		1,206,643
Fannie Mae Pool AL0851
6.00%		10/01/40			1,322,690		1,459,798
Fannie Mae Pool AL2206
3.73%		07/01/22			6,676,992		6,853,491
Fannie Mae Pool AN2059
1.64%		07/01/21			8,623,124		8,472,483
Fannie Mae Pool FN0001
3.77%		12/01/20			11,443,770		11,616,179
Fannie Mae REMICS, Series 1997-76, Class FS
LIBOR USD 1-Month
2.93%		09/17/27	¹		15,329		15,065
Fannie Mae REMICS, Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
3.44%		10/25/31	¹	$	785,585	$	805,176
Fannie Mae REMICS, Series 2003-130, Class HF
(LIBOR USD 1-Month plus 0.45%)
2.94%		12/25/33	¹		242,574		242,671
Fannie Mae REMICS, Series 2003-134, Class FC
(LIBOR USD 1-Month plus 0.60%)
3.09%		12/25/32	¹		4,869,467		4,906,347
Fannie Mae REMICS, Series 2005-59, Class NF
(LIBOR USD 1-Month plus 0.25%)
2.74%		05/25/35	¹		2,496,175		2,487,320
Fannie Mae REMICS, Series 2007-61, Class AF
(LIBOR USD 1-Month plus 0.28%)
2.77%		03/25/37	¹		1,191,194		1,189,534
Fannie Mae REMICS, Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
2.96%		07/25/37	¹		406,277		407,754
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%		12/25/39			225,878		229,195
Fannie Mae REMICS, Series 2009-33, Class FB
(LIBOR USD 1-Month plus 0.82%)
3.31%		03/25/37	¹		2,386,574		2,427,751
Fannie Mae REMICS, Series 2009-85, Class LF
(LIBOR USD 1-Month plus 1.20%)
3.69%		10/25/49	¹		2,961,770		3,020,934
Fannie Mae REMICS, Series 2009-96, Class FA
(LIBOR USD 1-Month plus 0.90%)
3.39%		11/25/49	¹		2,137,332		2,183,982
Fannie Mae REMICS, Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
2.89%		10/25/40	¹		1,401,071		1,402,833
Fannie Mae REMICS, Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
3.74%		11/25/36	¹		8,423,931		1,318,577
Fannie Mae REMICS, Series 2010-39, Class FE
(LIBOR USD 1-Month plus 0.77%)
3.26%		06/25/37	¹		4,534,018		4,593,567
Fannie Mae REMICS, Series 2010-43, Class DP
5.00%		05/25/40			1,082,997		1,156,361


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2010-6, Class BF
(LIBOR USD 1-Month plus 0.76%)
3.25%		02/25/40	¹	$	1,669,910	$	1,698,750
Fannie Mae REMICS, Series 2010-95, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.11%		09/25/40	¹		6,017,596		1,152,644
Fannie Mae REMICS, Series 2011-118, Class FB
(LIBOR USD 1-Month plus 0.45%)
2.94%		11/25/41	¹		7,004,243		7,027,884
Fannie Mae REMICS, Series 2011-71, Class FB
(LIBOR USD 1-Month plus 0.50%)
2.99%		05/25/37	¹		2,953,782		2,960,901
Fannie Mae REMICS, Series 2012-33, Class F
(LIBOR USD 1-Month plus 0.52%)
3.01%		04/25/42	¹		6,060,781		6,105,205
Fannie Mae REMICS, Series 2013-75, Class FC
(LIBOR USD 1-Month plus 0.25%)
2.74%		07/25/42	¹		5,443,371		5,450,714
Fannie Mae REMICS, Series G92-10, Class Z
7.75%		01/25/22			320		332
Freddie Mac Gold Pool A45796
7.00%		01/01/33			5,624		6,159
Freddie Mac Gold Pool C46104
6.50%		09/01/29			7,474		8,281
Freddie Mac Gold Pool G13032
6.00%		09/01/22			399,457		410,539
Freddie Mac Gold Pool G13475
6.00%		01/01/24			53,712		55,220
Freddie Mac REMICS, Series 2174, Class PN
6.00%		07/15/29			464,525		502,932
Freddie Mac REMICS, Series 2454, Class FQ
(LIBOR USD 1-Month plus 1.00%)
3.48%		06/15/31	¹		7,578		7,777
Freddie Mac REMICS, Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
3.08%		10/15/33	¹		3,306,788		3,328,394
Freddie Mac REMICS, Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
2.78%		04/15/35	¹		3,279,563		3,280,488


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3084, Class FN
(LIBOR USD 1-Month plus 0.50%)
2.98%		12/15/34	¹	$	2,155,322	$	2,156,289
Freddie Mac REMICS, Series 3294, Class CB
5.50%		03/15/37			224,099		246,658
Freddie Mac REMICS, Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
2.78%		08/15/35	¹		857,994		854,802
Freddie Mac REMICS, Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
2.78%		08/15/35	¹		2,212,635		2,204,403
Freddie Mac REMICS, Series 3524, Class FC
(LIBOR USD 1-Month plus 0.94%)
3.42%		06/15/38	¹		471,625		478,664
Freddie Mac REMICS, Series 3531, Class FM
(LIBOR USD 1-Month plus 0.90%)
3.38%		05/15/39	¹		441,324		448,894
Freddie Mac REMICS, Series 3672, Class A
6.00%		05/15/40			146,951		160,065
Freddie Mac REMICS, Series 3792,
Class DF
(LIBOR USD 1-Month plus 0.40%)
2.88%		11/15/40	¹		493,222		489,957
Freddie Mac REMICS, Series 3828, Class TF
(LIBOR USD 1-Month plus 0.40%)
2.88%		04/15/29	¹		85,175		85,209
Freddie Mac REMICS, Series 4060,
Class FJ
(LIBOR USD 1-Month plus 0.35%)
2.83%		02/15/41	¹		6,336,862		6,319,726
Freddie Mac REMICS, Series 4109, Class KF
(LIBOR USD 1-Month plus 0.40%)
2.88%		05/15/32	¹		1,385,102		1,387,418
Freddie Mac REMICS, Series 4235, Class FA
(LIBOR USD 1-Month plus 0.35%)
2.83%		01/15/34	¹		1,347,766		1,349,001
Freddie Mac Strips, Series 240, Class F30
(LIBOR USD 1-Month plus 0.30%)
2.78%		07/15/36	¹		2,454,171		2,443,107
Freddie Mac Strips, Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
2.98%		06/15/42	¹	$	3,698,299	$	3,711,124
Freddie Mac Strips, Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
2.98%		11/15/43	¹		16,230,607		16,245,565
Ginnie Mae II Pool 1849
8.50%		08/20/24			289		291
Ginnie Mae II Pool 2020
8.50%		06/20/25			469		504
Ginnie Mae II Pool 2286
8.50%		09/20/26			1,105		1,207
Ginnie Mae II Pool 2487
8.50%		09/20/27			8,346		9,088
Ginnie Mae II Pool 80059
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.63%		04/20/27	¹		16,748		17,245
Ginnie Mae II Pool 80589
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.38%		03/20/32	¹		35,239		35,262
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.63%		06/20/32	¹		10,273		10,650
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.75%		07/20/34	¹		331,896		342,134
Ginnie Mae II Pool 81201
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 2.00%)
3.88%		01/20/35	¹		10,256		10,363
Ginnie Mae II Pool 8599
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.50%		02/20/25	¹		13,571		13,668
Ginnie Mae, Series 2003-11, Class FK
(LIBOR USD 1-Month plus 0.30%)
2.78%		02/16/33	¹		998,380		997,223
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
4.31%		05/20/37	¹		5,120,992		681,945
Ginnie Mae, Series 2012-13, Class KF
(LIBOR USD 1-Month plus 0.30%)
2.79%		07/20/38	¹		766,517		766,030
Ginnie Mae, Series 2013-53, Class AD
1.50%		12/20/26			2,589,884		2,517,894
NCUA Guaranteed Notes Trust, Series 2011-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
2.93%		01/08/20	¹	$	2,491,385	$	2,497,378
NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
2.93%		10/07/20	¹		8,985,114		8,983,511
NCUA Guaranteed Notes Trust, Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
3.04%		12/08/20	¹		7,403,805		7,442,558
NCUA Guaranteed Notes Trust, Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
3.04%		12/08/20	¹		3,343,346		3,355,900
NCUA Guaranteed Notes Trust, Series 2011-R3, Class 1A
(LIBOR USD 1-Month plus 0.40%)
2.89%		03/11/20	¹		1,376,592		1,379,976


							205,983,280


Total Mortgage-Backed
(Cost $663,347,186)							667,523,433


U.S. TREASURY SECURITIES — 24.27%
U.S. Treasury Notes — 24.27%
U.S. Treasury Notes
2.25%		03/31/21			161,053,000		160,990,089
2.50%		01/31/21			100,605,000		100,959,838
2.50%		02/28/21			35,845,000		35,987,820
2.50%		01/15/22			224,550,000		226,098,167


Total U.S. Treasury Securities
(Cost $521,738,241)							524,035,914


Total Bonds – 98.18%
(Cost $2,108,474,506)							2,119,886,151


Issues	Shares	Value
COMMON STOCK — 0.04%
Electric — 0.04%
Homer City Holdings
LLC^2,4,5,7	106,501		905,259


Total Common Stock
(Cost $6,078,660)

Purchased Swaptions – 0.00%
(Cost $939,000)			3,615


Issues	Maturity Date		Principal Amount/ Shares			Value
SHORT-TERM INVESTMENTS — 9.61%
Commercial Paper — 0.28%
Ford Motor Credit Co. LLC
3.14%⁸		04/04/19		$	6,000,000		$	5,996,968


Money Market Funds — 2.31%
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.39%⁹					49,961,000			49,961,000


U.S. Treasury Bills — 7.02%
U.S. Treasury Bills
2.41%^8,10		06/20/19			3,693,000			3,673,649
2.42%⁸		04/16/19			22,000,000			21,977,908
2.42%⁸		04/23/19			126,000,000			125,816,407


								151,467,964


Total Short-Term Investments (Cost $207,424,997)								207,425,932


Issues						Value
Total Investments Before Written Swaptions – 107.83%
(Cost $2,322,917,163)								2,328,220,957


Written Swaptions – 0.00%
(Cost $(540,000))								(1,257	)

Liabilities in Excess of Other Assets – (7.83)%								(169,091,772	)

Net Assets – 100.00%							$	2,159,127,928

¹	Floating rate security. The rate disclosed was in effect at March 31, 2019.

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 Board of Trustees. The aggregate value of illiquid securities is $5,286,312, which is 0.24% of total net assets.

⁶	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.

⁷	Non-income producing security.

⁸	Represents annualized yield at date of purchase.

⁹	Represents the current yield as of March 31, 2019.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $3,673,427.

^†

Fair valued security. The aggregate value of fair valued securities is $9,729,930, which is 0.45% of total net assets. These securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements.

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

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

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value
BONDS – 90.40%
ASSET-BACKED SECURITIES — 12.93%**
A Voce CLO Ltd., Series 2014-1A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
3.95%		07/15/26	^1,2,3		$223,914		$223,952
Atrium XII, Series 12A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.83%)
3.59%		04/22/27	^1,2,3		165,000		164,170
Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
3.56%		01/20/28	^1,2,3		250,000		248,197
Barings CLO Ltd., Series 2018-3A, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
3.71%		07/20/29	^1,2,3		250,000		248,179
Bayview Commercial Asset Trust, Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
3.04%		01/25/35	^2,3		170,007		168,609
Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.23%)
3.83%		06/09/30	^1,2,3		250,000		249,920
Crystal River CDO, Series 2005-1A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 0.36%)
2.68%		03/02/46	^1,2,3,4,5		419,900		35,867
Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
3.50%		11/15/28	^1,2,3		250,000		248,166
Education Loan Asset-Backed Trust I, Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
3.29%		04/26/32	^2,3		645,000		647,178
Flagship CLO VIII Ltd., Series 2014-8A, Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
3.63%		01/16/26	^1,2,3		110,000		109,717
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^1,3		162,667		160,824
Higher Education Funding I, Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
3.70%		05/25/34	^2,3		454,562		458,036
LCM XX LP, Series 20A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
3.80%		10/20/27	^1,2,3		200,000		199,747


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Magnetite VII Ltd., Series 2012-7A, Class A1R2 (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
3.59%		01/15/28	^1,2,3	$	250,000		$245,990
Nelnet Student Loan Trust, Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
3.44%		11/25/48	^2,3		500,000		497,375
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
3.64%		01/15/28	^1,2,3		250,000		249,500
Octagon Investment Partners 25 Ltd., Series 2015-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
3.56%		10/20/26	^1,2,3		240,000		238,996
Panthera Aviation, Series 2013-1
10.00%		01/25/22	^3,4,5,†		338,214		94,700
Scholar Funding Trust, Series 2012-B, Class A2
(LIBOR USD 1-Month plus 1.10%)
3.60%		03/28/46	^2,3		771,611		778,967
SLC Student Loan Trust, Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
2.97%		08/15/31	²		191,808		178,372
SLM Student Loan Trust, Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
3.24%		07/25/39	²		363,712		345,185
SLM Student Loan Trust, Series 2004-3A, Class A6A
(LIBOR USD 3-Month plus 0.55%)
3.32%		10/25/64	^2,3		270,000		268,416
SLM Student Loan Trust, Series 2005-9, Class B
(LIBOR USD 3-Month plus 0.30%)
3.07%		01/25/41	²		277,670		263,550
SLM Student Loan Trust, Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
3.52%		10/27/70	²		215,000		201,485
SLM Student Loan Trust, Series 2008-1, Class A4
(LIBOR USD 3-Month plus 0.65%)
3.42%		01/25/22	²		213,894		212,723
SLM Student Loan Trust, Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
3.97%		01/25/83	²		340,000		327,851


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%)
3.97%		04/26/83	²		$340,000		$ 325,980
SLM Student Loan Trust, Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		04/25/73	²		340,000		345,539
SLM Student Loan Trust, Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		07/25/73	²		235,000		238,824
SLM Student Loan Trust, Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		07/26/83	²		340,000		346,564
SLM Student Loan Trust, Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		07/26/83	²		340,000		346,478
SLM Student Loan Trust, Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
5.02%		10/25/75	²		340,000		348,236
SLM Student Loan Trust, Series 2011-1, Class A2
(LIBOR USD 1-Month plus 1.15%)
3.64%		10/25/34	²		310,000		313,711
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^3,†		330,055		380,026
Structured Receivables Finance LLC, Series 2010-B, Class B
7.97%		08/15/36	³		336,459		389,624
Treman Park CLO Ltd., Series 2015-1A, Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
3.83%		10/20/28	^1,2,3		450,000		450,575
Voya CLO Ltd., Series 2015-2A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.97%)
3.74%		07/23/27	^1,2,3		175,000		174,112
Wachovia Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
2.94%		04/25/40	^2,3		300,000		292,821

Total Asset-Backed Securities (Cost $11,433,288)							11,018,162


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 34.93%*
Automotive — 0.06%
Panther BF Aggregator 2 LP/Panther Finance Co., Inc.
6.25%		05/15/26	³		$ 50,000		$ 51,125

Banking — 4.27%
Bank of America Corp.
2.74%		01/23/22	⁶		270,000		269,033
3.00%		12/20/23	⁶		476,000		474,328
3.71%		04/24/28	⁶		440,000		440,788
Bank of America Corp. (MTN)
4.27%		07/23/29	⁶		80,000		83,317
Bank of New York Mellon Corp. (The) (MTN)
2.66%		05/16/23	⁶		250,000		248,368
JPMorgan Chase & Co.
3.22%		03/01/25	⁶		420,000		420,379
3.90%		07/15/25			250,000		260,190
4.02%		12/05/24	⁶		220,000		228,419
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^1,6		200,000		195,097
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		08/05/21	¹		165,000		163,615
3.37%		01/05/24	^1,6		200,000		195,663
4.80%		11/15/24	^1,6		75,000		77,257
Wells Fargo & Co.
3.00%		04/22/26			145,000		141,130
3.00%		10/23/26			250,000		244,006
(LIBOR USD 3-Month plus 1.23%)
3.97%		10/31/23	²		150,000		153,395
Wells Fargo & Co. (MTN)
2.63%		07/22/22			45,000		44,696


							3,639,681

Communications — 3.70%
AT&T, Inc.
4.80%		06/15/44			350,000		343,071
5.25%		03/01/37			265,000		279,639
CBS Corp.
3.38%		02/15/28			150,000		143,026
CCO Holdings LLC/CCO Holdings Capital Corp.
5.13%		05/01/27	³		48,000		48,362
Charter Communications Operating LLC/ Charter Communications Operating Capital
6.48%		10/23/45			200,000		225,070
Clear Channel International BV (Netherlands)
8.75%		12/15/20	^1,3		38,000		39,140


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Comcast Corp.
2.35%		01/15/27			$100,000		$ 93,529
CommScope Finance LLC
6.00%		03/01/26	³		51,000		52,880
CSC Holdings LLC
6.50%		02/01/29	³		77,000		82,149
Discovery Communications LLC
2.80%		06/15/20	³		150,000		149,371
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	¹		145,000		129,413
8.50%		10/15/24	^1,3		31,000		30,167
9.75%		07/15/25	^1,3		40,000		40,812
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	¹		70,000		88,781
Level 3 Financing, Inc.
5.38%		01/15/24			40,000		40,844
5.38%		05/01/25			90,000		91,377
Qwest Corp.
6.88%		09/15/33			50,000		50,000
7.25%		09/15/25			70,000		75,338
Sirius XM Radio, Inc.
3.88%		08/01/22	³		75,000		74,906
Sprint Capital Corp.
8.75%		03/15/32			29,000		30,559
Sprint Communications, Inc.
7.00%		03/01/20	³		30,000		30,863
Sprint Corp.
7.63%		02/15/25			25,000		25,563
7.63%		03/01/26			23,000		23,368
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	³		125,000		124,819
4.74%		03/20/25	³		200,000		202,750
T-Mobile USA, Inc.
4.50%		02/01/26			45,000		44,944
4.75%		02/01/28			45,000		44,719
6.00%		04/15/24			40,000		41,650
Verizon Communications, Inc.
4.02%		12/03/29	³		200,000		206,191
Vodafone Group PLC (United Kingdom)
4.38%		05/30/28	¹		100,000		101,738
Warner Media LLC
3.88%		01/15/26			200,000		200,867

							3,155,906

Consumer Discretionary — 0.90%
Anheuser-Busch InBev Worldwide, Inc.
4.00%		04/13/28			145,000		147,579


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Bacardi Ltd. (Bermuda)
5.30%		05/15/48	^1,3		$100,000		$ 96,005
BAT Capital Corp.
4.54%		08/15/47			75,000		65,906
Central Garden & Pet Co.
5.13%		02/01/28			31,000		28,907
6.13%		11/15/23			40,000		41,800
KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC
5.00%		06/01/24	³		41,000		41,923
Reynolds American, Inc.
4.45%		06/12/25			175,000		180,047
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A.
(LIBOR USD 3-Month plus 3.50%)
6.29%		07/15/21	^2,3		165,000		166,031


							768,198

Electric — 2.96%
Duke Energy Carolinas LLC
3.75%		06/01/45			355,000		347,998
Entergy Texas, Inc.
3.45%		12/01/27			250,000		244,925
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.48%)
3.22%		05/04/21	²		485,000		484,977
Pennsylvania Electric Co.
5.20%		04/01/20			400,000		406,414
Puget Energy, Inc.
6.00%		09/01/21			250,000		265,811
Southern Co. Gas Capital Corp.
3.25%		06/15/26			500,000		487,760
Southwestern Electric Power Co., Series K
2.75%		10/01/26			300,000		285,297


							2,523,182

Energy — 4.00%
Antero Resources Corp.
5.00%		03/01/25			74,000		73,075
5.13%		12/01/22			30,000		30,309
Centennial Resource Production LLC
6.88%		04/01/27	³		40,000		40,492
Cheniere Energy Partners LP
5.25%		10/01/25			45,000		46,181
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	³		10,000		9,625


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Energy Transfer Operating LP
5.50%		06/01/27			$ 3,000		$ 3,256
5.88%		01/15/24			70,000		76,763
6.25%		04/15/49			157,000		176,086
EQM Midstream Partners LP
4.13%		12/01/26			350,000		326,259
Florida Gas Transmission Co. LLC
7.90%		05/15/19	³		200,000		201,026
Gulfport Energy Corp.
6.38%		05/15/25			13,000		11,814
KazMunayGas National Co. JSC, Series REGS (Kazakhstan)
5.38%		04/24/30	¹		200,000		210,180
Kinder Morgan, Inc.
4.30%		03/01/28			175,000		181,063
Matador Resources Co.
5.88%		09/15/26			15,000		15,037
NiSource, Inc.
2.65%		11/17/22			150,000		147,896
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	³		10,000		9,900
5.38%		01/15/25	³		35,000		35,087
Peru LNG SRL, Series REGS (Peru)
5.38%		03/22/30	¹		200,000		207,920
Petroleos Mexicanos (Mexico)
6.50%		03/13/27	¹		45,000		45,315
6.50%		01/23/29	¹		230,000		228,333
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			125,000		130,722
Range Resources Corp.
4.88%		05/15/25			10,000		9,325
5.00%		03/15/23			43,000		42,301
Rockies Express Pipeline LLC
5.63%		04/15/20	³		142,000		145,727
Ruby Pipeline LLC
6.00%		04/01/22	³		168,182		166,357
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			200,000		199,252
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.88%		01/15/29	³		77,000		83,834
Texas Eastern Transmission LP
2.80%		10/15/22	³		150,000		147,803
TransMontaigne Partners LP/ TLP Finance Corp.
6.13%		02/15/26			45,000		42,525
Transocean Guardian Ltd. (Cayman Islands)
5.88%		01/15/24	^1,3		29,295		29,881


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^1,3		$ 38,745		$ 39,423
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3		87,000		90,697
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^1,3		15,200		15,675
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		04/01/26			27,000		27,844
6.88%		09/01/27	³		22,000		22,468
Williams Cos., Inc. (The)
3.70%		01/15/23			110,000		112,045
WPX Energy, Inc.
5.75%		06/01/26			30,000		30,563

							3,412,059

Finance — 3.01%
Citigroup, Inc.
3.67%		07/24/28	⁶		405,000		404,401
Ford Motor Credit Co. LLC
3.16%		08/04/20			275,000		273,352
3.20%		01/15/21			175,000		172,569
8.13%		01/15/20			300,000		310,942
(LIBOR USD 3-Month plus 1.27%)
3.87%		03/28/22	²		115,000		111,169
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	¹		225,000		222,253
General Motors Financial Co., Inc.
3.55%		04/09/21			95,000		95,556
Goldman Sachs Group, Inc. (The)
3.69%		06/05/28	⁶		200,000		198,851
3.81%		04/23/29	⁶		145,000		143,775
4.22%		05/01/29	⁶		45,000		46,005
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
3.69%		07/22/22	²		500,000		502,782
Nationwide Building Society (United Kingdom)
3.77%		03/08/24	^1,3,6		85,000		84,676

							2,566,331

Food — 0.93%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.50%)
3.11%		03/16/20	²		140,000		139,712
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	³		22,000		19,827
General Mills, Inc.
4.20%		04/17/28			145,000		150,812


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Kraft Heinz Foods Co.
4.63%		01/30/29			$190,000		$195,623
5.00%		06/04/42			94,000		89,072
Kroger Co. (The)
4.50%		01/15/29			85,000		87,101
Post Holdings, Inc.
5.63%		01/15/28	³		20,000		19,925
5.75%		03/01/27	³		49,000		49,429
Tyson Foods, Inc.
4.00%		03/01/26			40,000		40,937


							792,438

Gaming — 0.25%
Churchill Downs, Inc.
4.75%		01/15/28	³		60,000		57,375
5.50%		04/01/27	³		102,000		103,433
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
6.13%		08/15/21	³		50,000		50,125


							210,933

Health Care — 5.49%
AbbVie, Inc.
3.60%		05/14/25			100,000		100,316
4.50%		05/14/35			50,000		48,984
Amgen, Inc.
4.40%		05/01/45			200,000		196,369
Anthem, Inc.
3.65%		12/01/27			145,000		144,903
Bausch Health Americas, Inc.
9.25%		04/01/26	³		7,000		7,665
Bausch Health Cos., Inc. (Canada)
5.50%		11/01/25	^1,3		124,000		127,100
Bayer U.S. Finance II LLC
4.38%		12/15/28	³		200,000		198,922
Bayer U.S. Finance LLC
2.38%		10/08/19	³		200,000		199,476
Becton Dickinson and Co.
(LIBOR USD 3-Month plus 0.88%)
3.48%		12/29/20	²		187,000		187,020
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	³		75,000		74,625
Celgene Corp.
5.00%		08/15/45			320,000		338,649
Centene Corp.
4.75%		01/15/25			25,000		25,563
5.38%		06/01/26	³		52,000		54,343
5.63%		02/15/21			43,000		43,699


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
CHS/Community Health Systems, Inc.
8.00%		03/15/26	³		$ 18,000		$ 17,325
8.63%		01/15/24	³		14,000		14,070
Cigna Corp.
4.13%		11/15/25	³		375,000		388,469
CVS Health Corp.
5.05%		03/25/48			240,000		242,142
Elanco Animal Health, Inc.
4.90%		08/28/28	³		160,000		170,012
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	³		400,000		404,805
5.63%		07/31/19	³		300,000		301,954
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	³		150,000		151,841
Gilead Sciences, Inc.
4.15%		03/01/47			205,000		198,121
HCA, Inc.
4.75%		05/01/23			30,000		31,575
5.25%		04/15/25			12,000		12,902
5.38%		02/01/25			18,000		19,125
5.88%		02/01/29			32,000		34,518
6.50%		02/15/20			54,000		55,593
Hologic, Inc.
4.63%		02/01/28	³		55,000		53,487
Humana, Inc.
2.90%		12/15/22			195,000		193,911
Molina Healthcare, Inc.
5.38%		11/15/22			83,000		86,113
Shire Acquisitions Investments Ireland DAC
(Ireland)
1.90%		09/23/19	¹		300,000		298,739
Teleflex, Inc.
4.63%		11/15/27			10,000		9,925
Tenet Healthcare Corp.
4.63%		07/15/24			46,000		46,244
4.75%		06/01/20			60,000		60,750
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.70%		07/19/19	¹		63,000		62,662
WellCare Health Plans, Inc.
5.25%		04/01/25			77,000		79,984


							4,681,901

Industrials — 2.53%
Amcor Finance USA, Inc.
4.50%		05/15/28	³		145,000		152,426
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
7.25%		05/15/24	^1,3		75,000		79,290


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
BAE Systems Holdings, Inc.
2.85%		12/15/20	³	$	200,000	$	199,426
Ball Corp.
4.00%		11/15/23			30,000		30,337
Berry Global, Inc.
4.50%		02/15/26	³		13,000		12,385
5.13%		07/15/23			6,000		6,122
Crown Americas LLC/Crown Americas Capital Corp. V
4.25%		09/30/26			21,000		20,370
General Electric Co. (GMTN)
4.63%		01/07/21			100,000		102,620
5.50%		01/08/20			160,000		162,959
General Electric Co. (MTN)
4.65%		10/17/21			50,000		51,843
5.55%		01/05/26			130,000		139,399
(LIBOR USD 3-Month plus 0.48%)
3.16%		08/15/36	²		600,000		459,042
Graphic Packaging International LLC
4.88%		11/15/22			55,000		56,237
L3 Technologies, Inc.
4.40%		06/15/28			145,000		151,848
Northrop Grumman Corp.
3.20%		02/01/27			150,000		147,795
OI European Group BV (Netherlands)
4.00%		03/15/23	^1,3		15,000		14,756
Sealed Air Corp.
5.50%		09/15/25	³		70,000		73,864
Silgan Holdings, Inc.
4.75%		03/15/25			60,000		59,175
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)
7.75%		04/15/26	^1,3		55,000		47,713
WRKCo, Inc.
4.65%		03/15/26			175,000		185,601


							2,153,208

Information Technology — 0.32%
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20			200,000		198,987
Change Healthcare Holdings LLC/Change
Healthcare Finance, Inc.
5.75%		03/01/25	³		28,000		27,595
SS&C Technologies, Inc.
5.50%		09/30/27	³		43,000		43,511


							270,093


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 1.02%
Farmers Exchange Capital II
6.15%		11/01/53	^3,6	$	450,000	$	471,014
Nationwide Mutual Insurance Co.
4.90%		12/15/24	^3,6		400,000		398,000


							869,014

Materials — 0.37%
Indonesia Asahan Aluminum Persero PT (Indonesia)
6.53%		11/15/28	^1,3		200,000		228,702
International Flavors & Fragrances, Inc.
5.00%		09/26/48			40,000		42,001
Valvoline, Inc.
5.50%		07/15/24			40,000		40,852


							311,555

Real Estate Investment Trust (REIT) — 2.60%
Alexandria Real Estate Equities, Inc.
3.45%		04/30/25			200,000		199,566
American Campus Communities Operating Partnership LP
3.35%		10/01/20			125,000		125,346
Boston Properties LP
2.75%		10/01/26			200,000		189,678
CC Holdings GS V LLC/Crown Castle GS III Corp.
3.85%		04/15/23			200,000		204,990
GLP Capital LP/GLP Financing II, Inc.
5.30%		01/15/29			65,000		68,463
5.38%		04/15/26			205,000		214,717
HCP, Inc.
3.88%		08/15/24			325,000		332,675
SL Green Realty Corp.
4.50%		12/01/22			200,000		206,875
Ventas Realty LP
4.40%		01/15/29			250,000		260,569
Welltower, Inc.
3.75%		03/15/23			400,000		410,477


							2,213,356

Retail — 0.98%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^1,3		45,000		44,551
BC ULC/New Red Finance, Inc. (Canada)
4.25%		05/15/24	^1,3		20,000		19,850
Dollar Tree, Inc. (LIBOR USD 3-Month plus 0.70%)
3.47%		04/17/20	²		250,000		250,058
Home Depot, Inc. (The)
3.90%		12/06/28			50,000		52,934


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
Rite Aid Corp.
6.13%		04/01/23	³		$ 72,000		$ 59,670
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			400,000		406,487


							833,550

Services — 0.29%
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,3		7,000		7,011
4.75%		08/01/28	¹		35,000		36,665
5.00%		11/01/22	^1,3		170,000		178,211
Matthews International Corp.
5.25%		12/01/25	³		30,000		28,987


							250,874

Transportation — 1.25%
Avolon Holdings Funding Ltd. (Cayman Islands)
5.13%		10/01/23	^1,3		56,000		57,120
Continental Airlines Pass-Through Trust, Series 2007-1, Class B
6.90%		04/19/22			573,137		592,480
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			290,604		309,508
Union Pacific Corp.
3.95%		09/10/28			100,000		105,276


							1,064,384

Total Corporates (Cost $29,385,878)							29,767,788

FOREIGN GOVERNMENT OBLIGATIONS — 1.14%
Foreign Government Obligations — 1.14%
Argentine Republic Government International Bond (Argentina)
6.88%		04/22/21	¹		150,000		137,325
Bahrain Government International Bond, Series REGS (Bahrain)
7.00%		10/12/28	¹		200,000		215,500
Brazilian Government International Bond (Brazil)
4.63%		01/13/28	¹		200,000		201,952
Qatar Government International Bond (Qatar)
4.50%		04/23/28	¹		200,000		214,750


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Republic of South Africa Government International Bond (South Africa)
4.88%		04/14/26	¹	$	200,000	$	198,827


Total Foreign Government Obligations (Cost $932,974)							968,354

MORTGAGE-BACKED — 40.62%**
Non-Agency Commercial
Mortgage-Backed — 3.96%
Banc of America Commercial Mortgage Trust, Series 2007-5, Class AJ
5.76%		02/10/51	⁶		178,782		170,801
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A
4.09%		08/10/38	^3,6		140,000		150,012
Banc of America Merrill Lynch Trust, Series 2011-FSHN, Class A
4.42%		07/11/33	³		100,000		102,771
CALI Mortgage Trust, Series 2019-101C, Class A
3.96%		03/10/39	³		210,000		221,515
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A
3.37%		03/13/35	³		80,000		81,216
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
1.79%		09/10/45	^3,6		1,609,651		74,710
COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class X (IO)
0.29%		04/15/47	^3,6		6,822,927		17,605
Commercial Mortgage Trust, Series 2006-GG7, Class AM
5.61%		07/10/38	⁶		262,825		264,642
Commercial Mortgage Trust, Series 2013-CR12, Class XA (IO)
1.17%		10/10/46	⁶		1,953,209		83,019
Commercial Mortgage Trust, Series 2014-UBS5, Class XA (IO)
1.01%		09/10/47	^4,5,6		2,755,571		84,218
Commercial Mortgage Trust, Series 2015-CR26, Class XA (IO)
0.96%		10/10/48	^4,5,6		3,381,273		166,142
Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AJ
5.63%		01/15/49	⁶		23,268		23,421
GS Mortgage Securities Trust, Series 2012-GC6, Class XB (IO)
0.20%		01/10/45	^3,6		5,749,132		35,560
GS Mortgage Securities Trust, Series 2013-GC12, Class XA (IO)
1.43%		06/10/46	⁶		7,549,732		337,108


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA (IO)
1.09%		11/15/45	⁶		$2,965,521		$ 121,211
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class XA (IO)
0.97%		11/15/47	⁶		3,090,617		103,399
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class XA (IO)
0.11%		01/15/46	⁶		8,273,767		37,576
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)
1.27%		04/15/46	⁶		1,538,850		66,086
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON, Class A
3.73%		01/05/31	³		95,000		97,898
Morgan Stanley Capital I Trust, Series 2011-C3, Class A3
4.05%		07/15/49			212,638		212,794
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2A
3.66%		01/05/43	^3,6		120,000		120,223
UBS Commercial Mortgage Trust, Series 2012-C1, Class XA (IO)
2.07%		05/10/45	^3,6		1,817,822		92,618
UBS Commercial Mortgage Trust, Series 2018-C12, Class A1
3.29%		08/15/51			447,674		452,999
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)
1.73%		11/15/44	^3,6		3,562,080		121,307
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA (IO)
1.88%		11/15/45	^3,6		1,093,684		61,131
WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class XA (IO)
0.74%		06/15/46	⁶		3,115,344		78,771


							3,378,753

Non-Agency Mortgage-Backed — 27.20%
ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.15%)
2.64%		06/25/36	²		1,469,568		1,183,016
Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1
5.50%		03/25/20			51,074		48,667
Banc of America Funding Trust, Series 2006-3, Class 5A3
5.50%		03/25/36			336,093		321,835


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2011-RR3, Class 5A3
3.69%		11/27/37	^3,6		$276,963		$277,197
Bear Stearns ALT-A Trust, Series 2005-1, Class A1
(LIBOR USD 1-Month plus 0.56%)
3.05%		01/25/35	²		109,120		108,926
Chase Mortgage Finance Trust, Series 2007-A1, Class 8A1
4.69%		02/25/37	⁶		115,448		119,084
Conseco Finance Corp., Series 1996-7, Class M1
7.70%		09/15/26	⁶		257,570		273,721
Conseco Finance Corp., Series 1998-3, Class A6
6.76%		03/01/30			185,058		191,983
Conseco Finance Corp., Series 1998-4, Class A6
6.53%		04/01/30	⁶		250,772		261,993
Conseco Finance Corp., Series 1998-4, Class A7
6.87%		04/01/30	⁶		124,175		130,406
Conseco Finance Corp., Series 1999-5, Class A5
7.86%		03/01/30	⁶		79,945		56,616
Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF1
8.00%		06/15/32	⁶		297,330		301,304
Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF2
8.00%		06/15/32	^3,6		445,498		459,437
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		08/01/32	⁶		59,768		60,611
Credit Suisse Mortgage Capital, Series 2014-4R, Class 16A1
(LIBOR USD 1-Month plus 0.20%)
2.69%		02/27/36	^2,3		56,736		56,879
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2B (STEP-reset date 05/25/19)
4.04%		02/25/37			1,075,188		823,848
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2C (STEP-reset date 05/25/19)
4.04%		02/25/37			355,035		272,008
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB3, Class A3 (STEP-reset date 05/25/19)
3.82%		03/25/37			1,055,414		550,550


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
2.60%		12/25/37	²		$ 668,467		$ 573,477
First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)
2.71%		01/25/38	²		2,233,020		1,674,686
First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
2.59%		03/25/37	²		743,184		501,295
GMACM Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
4.25%		04/19/36	⁶		348,260		316,851
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A⁷
0.00%		01/25/47	^4,8,†		2,140,000		—
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A
4.37%		05/25/37	⁶		460,377		414,540
HSI Asset Loan Obligation Trust, Series 2007-2, Class 2A12
6.00%		09/25/37			364,850		328,166
Impac CMB Trust, Series 2004-4, Class 1A2
(LIBOR USD 1-Month plus 0.62%)
3.11%		09/25/34	²		282,732		279,688
IndyMac Index Mortgage Loan Trust, Series 2005-AR25, Class 2A1
3.77%		12/25/35	⁶		408,581		380,218
IndyMac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C
(LIBOR USD 1-Month plus 0.19%)
2.68%		04/25/37	²		1,636,563		1,537,974
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A3
6.61%		02/25/28			169,820		171,221
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A4
6.75%		02/25/28			71,489		72,201
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4
6.49%		09/25/28			89,051		94,571
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A5
6.96%		09/25/28	⁶		214,642		225,578


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF6 (STEP-reset date 05/25/19)
4.20%		03/25/47			$ 861,455		$ 635,618
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2
5.88%		06/25/21			165,747		157,312
JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2
5.50%		03/25/22			76,623		74,276
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	⁶		3,325		3,339
Lehman XS Trust, Series 2006-13, Class 1A2
(LIBOR USD 1-Month plus 0.17%)
2.66%		09/25/36	²		150,837		147,485
Lehman XS Trust, Series 2006-9, Class A1B
(LIBOR USD 1-Month plus 0.16%)
2.65%		05/25/46	²		102,019		169,369
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4
(LIBOR USD 1-Month plus 0.28%)
2.77%		05/25/37	²		1,810,500		1,563,391
Merrill Lynch Alternative Note Asset Trust, Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.33%)
2.82%		04/25/37	^2,4,5		1,696,107		157,336
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class A2C
(LIBOR USD 1-Month plus 1.16%)
3.65%		08/25/35	²		709,726		708,218
Mid-State Capital Corp., Series 2004-1, Class B
8.90%		08/15/37			592,467		677,534
Mid-State Capital Corp., Series 2004-1, Class M1
6.50%		08/15/37			409,754		433,519
Mid-State Capital Corp., Series 2005-1, Class A
5.75%		01/15/40			173,028		186,845
Mid-State Trust XI, Series 2011, Class B
8.22%		07/15/38			9,533		10,704
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
4.09%		09/25/34	⁶		291,165		288,152
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	⁶		2,434,066		1,029,396


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Oakwood Mortgage Investors, Inc., Series 1998-A, Class M
6.83%		05/15/28	⁶		$ 190,083		$ 196,467
Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4
6.99%		12/15/26			310,117		322,086
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A3
5.90%		09/15/22	⁶		836,248		656,309
Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3
6.03%		05/15/24	⁶		323,428		335,198
Residential Accredit Loans Trust, Series 2005-QA3, Class NB1
3.80%		03/25/35	⁶		325,570		215,020
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
2.73%		12/25/36	^2,3		1,515,021		1,009,909
Specialty Underwriting & Residential Finance Trust, Series 2006-AB3, Class A2B
(LIBOR USD 1-Month plus 0.15%)
2.64%		09/25/37	²		579,388		353,273
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
4.44%		09/25/34	⁶		360,604		357,098
Terwin Mortgage Trust, Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 0.55%)
3.04%		07/25/34	^2,3		98,925		97,205
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A
(LIBOR USD 1-Month plus 0.58%)
3.07%		07/25/45	²		83,652		83,308
Wells Fargo Home Equity Asset-Backed Securities, Series 2007-1, Class A3
(LIBOR USD 1-Month plus 0.32%)
2.81%		03/25/37	²		1,500,000		1,242,164


							23,179,078

U.S. Agency Commercial
Mortgage-Backed — 3.96%
Fannie Mae-Aces, Series 2006-M2, Class A2A
5.27%		10/25/32	⁶		347,024		359,419
Fannie Mae-Aces, Series 2011-M5, Class X (IO)
1.18%		07/25/21	⁶		3,962,082		84,917
Fannie Mae-Aces, Series 2012-M13, Class X2 (IO)
0.64%		05/25/22	⁶		21,596,281		342,464


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Fannie Mae-Aces, Series 2012-M14, Class X2 (IO)
0.42%		09/25/22	⁶		$5,087,206		$ 59,139
Fannie Mae-Aces, Series 2016-M11, Class AL
2.94%		07/25/39			333,678		332,377
Fannie Mae-Aces, Series 2016-M11, Class X2 (IO)
2.68%		07/25/39	⁶		1,911,063		74,246
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X3 (IO)
1.97%		07/25/40	⁶		850,000		51,261
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K022, Class X3 (IO)
1.81%		08/25/40	⁶		850,000		48,585
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K157, Class A3
3.99%		08/25/33	⁶		250,000		272,654
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K712, Class X1 (IO)
1.33%		11/25/19	⁶		5,099,234		24,196
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X1 (IO)
0.66%		10/25/20	⁶		10,689,547		90,059
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KAIV, Class X2 (IO)
3.61%		06/25/41	⁶		1,220,000		87,761
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class A2H
3.02%		01/25/46	⁶		491,541		492,575
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q006, Class APT1
2.62%		07/25/26	⁶		459,311		465,454
Ginnie Mae, Series 2008-92, Class E
5.56%		03/16/44	⁶		190,922		194,516
Ginnie Mae, Series 2009-114, Class IO (IO)
		10/16/49	⁶		7,547,691		5,963
Ginnie Mae, Series 2014-103, Class IO (IO)
0.61%		05/16/55	⁶		2,582,367		82,468
Ginnie Mae, Series 2014-125, Class IO (IO)
0.97%		11/16/54	⁶		2,434,656		150,157
Ginnie Mae, Series 2014-88, Class IE (IO)
0.32%		03/16/55	⁶		3,465,897		82,729


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae, Series 2015-47, Class IO (IO)
0.85%		10/16/56	⁶	$	1,327,821	$	74,506


							3,375,446

U.S. Agency Mortgage-Backed — 5.50%
Fannie Mae Pool 463408
5.25%		08/01/24			259,976		283,259
Fannie Mae Pool 874941
6.32%		11/01/37			496,704		547,642
Fannie Mae Pool AN6168
3.13%		07/01/32			200,000		198,600
Fannie Mae Pool AN7345
3.21%		11/01/37			459,097		448,441
Fannie Mae Pool AN9420
3.77%		07/01/43			246,281		258,686
Fannie Mae Pool AN9619
3.77%		06/01/33			285,000		299,824
Fannie Mae Pool BL0242
3.82%		11/01/30			250,000		265,346
Fannie Mae REMICS, Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)
7.84%		05/25/23	²		1,522		1,653
Fannie Mae REMICS, Series 2000-45, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)
5.47%		12/18/30	²		225,895		24,632
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	²		536		627
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	²		6,170		7,162
Fannie Mae REMICS, Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
3.61%		10/25/25	²		1,120,253		87,951
Fannie Mae REMICS, Series 2006-125, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
4.71%		01/25/37	²		1,076,713		207,302
Fannie Mae REMICS, Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
3.56%		11/25/36	²		1,306,821		182,953
Fannie Mae REMICS, Series 2010-43, Class KS (IO)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
3.93%		05/25/40	²	$	1,124,832	$	197,283
Freddie Mac Gold Pool WA3303
3.83%		05/01/35			447,872		443,598
Freddie Mac REMICS, Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	²		13,495		14,499
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)
13.90%		02/15/24	²		77,099		90,354
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%		06/15/23			1,254		16
Freddie Mac REMICS, Series 2990, Class ND
(-2.54 X LIBOR USD 1-Month plus 16.89%, 16.89% Cap)
10.58%		12/15/34	²		17,080		17,540
Freddie Mac REMICS, Series 3242, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
3.87%		11/15/36	²		3,608,138		578,713
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	²		14,986,866		86,158
Freddie Mac REMICS, Series 3260, Class AS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.38%, 6.38% Cap)
3.90%		01/15/37	²		2,392,782		337,569
Freddie Mac REMICS, Series 3289, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)
3.64%		03/15/37	²		858,684		52,814
Ginnie Mae, Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
9.50%		11/26/23	²		48,305		52,863


							4,685,485

Total Mortgage-Backed (Cost $36,366,108)							34,618,762

MUNICIPAL BONDS — 0.78%*
California — 0.35%
State of California, Taxable, Miscellaneous Revenue Bonds, Series B
2.19%		04/01/47			300,000		299,160

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

New York — 0.43%

New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds

5.81%

08/01/30

$350,000

$364,689

Total Municipal Bonds

(Cost $665,068)

663,849

Total Bonds – 90.40%

(Cost $78,783,316)

77,036,915

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 9.15%

Money Market Funds — 0.98%

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

2.39%⁹

838,000

U.S. Treasury Bills — 8.17%

U.S. Treasury Bills

2.38%¹⁰

04/09/19

1,550,000

1,549,183

2.39%¹⁰

04/16/19

1,740,000

1,738,253

2.40%¹⁰

04/11/19

1,090,000

1,089,283

2.40%¹⁰

04/23/19

1,000,000

998,543

2.40%¹⁰

04/30/19

1,000,000

998,075

2.41%^10,11

06/20/19

153,000

152,198

2.43%¹⁰

07/18/19

240,000

238,304

2.43%¹⁰

07/25/19

200,000

198,493

6,962,332

Total Short-Term Investments

(Cost $7,800,260)

7,800,332


Issues	Value
Total Investments – 99.55%
(Cost $86,583,576)		$84,837,247

Cash and Other Assets, Less Liabilities – 0.45%		380,634

Net Assets – 100.00%		$85,217,881

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

²	Floating rate security. The rate disclosed was in effect at March 31, 2019.

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 Board of Trustees. The aggregate value of illiquid securities is $538,263, which is 0.63% of total net assets.

⁶	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.

⁷	Non-income producing security.

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

⁹	Represents the current yield as of March 31, 2019.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $152,189.

^†

Fair valued security. The aggregate value of fair valued securities is $474,726, which is 0.56% of total net assets. These securities were not valued utilizing an independent quote but 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.

(CDO): Collateralized Debt Obligations

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 98.25%

ASSET-BACKED SECURITIES — 5.35%**

A Voce CLO Ltd., Series 2014-1A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

3.95%

07/15/26

^1,2,3

22,601,846

22,605,669

Academic Loan Funding Trust,
Series 2012-1A, Class A2

(LIBOR USD 1-Month plus 1.10%)

3.59%

12/27/44

^2,3

28,650,147

28,821,399

AIMCO CLO, Series 2014-AA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.10%)

3.86%

07/20/26

^1,2,3

14,464,102

14,464,212

AIMCO CLO, Series 2015-AA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.64%

01/15/28

^1,2,3

13,120,000

13,063,400

Atrium XII, Series 12A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.83%)

3.59%

04/22/27

^1,2,3

22,000,000

21,889,318

Barings CLO Ltd., Series 2013-IA,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.56%

01/20/28

^1,2,3

54,735,000

54,340,361

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.84%

07/20/28

^1,2,3

50,005,000

50,008,400

Barings CLO Ltd., Series 2018-3A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

3.71%

07/20/29

^1,2,3

35,831,000

35,570,079

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

3.04%

01/25/35

^2,3

1,660,204

1,646,557

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

2.94%

04/25/35

^2,3

3,600,528

3,521,004

BlueMountain CLO Ltd., Series 2015-2A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 0.93%)

3.71%

07/18/27

^1,2,3

8,330,000

8,296,597

Brazos Education Loan Authority, Inc.,

Series 2012-1, Class A1

(LIBOR USD 1-Month plus 0.70%)

3.19%

12/26/35

49,655

49,610

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

3.85%

02/25/35

14,100,000

14,299,927

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%)

3.70%

11/25/33

16,050,000

16,315,281

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

3.77%

10/27/36

24,361,000

24,386,028

CIFC Funding Ltd., Series 2014-4RA,

Class A1A (Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.90%

10/17/30

^1,2,3

16,175,000

16,129,160

CIT Education Loan Trust, Series 2007-1, Class A

(LIBOR USD 3-Month plus 0.09%)

2.69%

03/25/42

^2,3

20,965,037

20,249,391

CIT Education Loan Trust, Series 2007-1, Class B

(LIBOR USD 3-Month plus 0.30%)

2.90%

06/25/42

^2,3

14,781,662

13,716,090

Clear Creek CLO, Series 2015-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

3.96%

10/20/30

^1,2,3

27,190,000

27,141,031

College Loan Corp. Trust I, Series 2005-2,

Class B

(LIBOR USD 3-Month plus 0.49%)

3.28%

01/15/37

3,019,419

2,859,032

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.82%)

3.50%

11/15/28

^1,2,3

19,066,000

18,926,113

Dryden 33 Senior Loan Fund,

Series 2014-33A, Class AR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.23%)

4.02%

04/15/29

^1,2,3

1,000,000

1,000,735

Dryden 71 CLO Ltd.,

Series 2018-71A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.84%

01/15/29

^1,2,3

73,850,000

73,824,603

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.69%

04/15/29

^1,2,3

23,113,000

22,911,284

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

3.29%

04/26/32

^2,3

12,740,000

12,783,026

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

3.42%

04/25/35

23,838

23,732

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

3.54%

03/25/36

14,387,213

14,473,560

EFS Volunteer No. 2 LLC, Series 2012-1,

Class A2

(LIBOR USD 1-Month plus 1.35%)

3.84%

03/25/36

^2,3

16,085,000

16,407,232

Flatiron CLO Ltd., Series 2015-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.89%)

3.68%

04/15/27

^1,2,3

7,145,000

7,128,220

GCO Education Loan Funding Trust,

Series 2006-1, Class A11L

(LIBOR USD 3-Month plus 0.23%)

2.88%

05/25/36

25,000,000

24,360,240

Global SC Finance II SRL, Series 2014-1A,

Class A2 (Barbados)

3.09%

07/17/29

^1,3

47,490,667

46,952,651

Goal Capital Funding Trust, Series 2005-2,

Class B

(LIBOR USD 3-Month plus 0.53%)

3.18%

11/25/44

9,176,669

8,758,094

Goal Capital Funding Trust, Series 2006-1,

Class B

(LIBOR USD 3-Month plus 0.45%)

3.10%

08/25/42

2,621,898

2,443,148

Goal Structured Solutions Trust,

Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.65%)

3.14%

09/25/41

^2,3

76,186,442

75,368,946

GoldenTree Loan Opportunities IX Ltd.,

Series 2014-9A, Class AR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.11%)

3.86%

10/29/29

^1,2,3

5,345,000

5,336,300

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

800,980

832,347

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

47,218,682

48,076,756

LCM XIX LP, Series 19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

0.00%

07/15/27

^1,2,3

20,425,000

20,428,117

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

LCM XX LP, Series 20A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.04%)

3.80%

10/20/27

^1,2,3

8,615,000

8,604,091

LCM XXI LP, Series 21A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.88%)

3.64%

04/20/28

^1,2,3

32,465,000

32,276,248

Limerock CLO III LLC, Series 2014-3A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

3.96%

10/20/26

^1,2,3

76,187,946

76,216,498

Madison Park Funding XXX, Ltd.,

Series 2018-30A, Class A (Cayman Islands)

(LIBOR USD 3-Month plus 0.75%)

3.54%

04/15/29

^1,2,3

22,642,500

22,287,907

Magnetite IX Ltd., Series 2014-9A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.00%)

3.77%

07/25/26

^1,2,3

2,595,918

2,596,188

Magnetite XI Ltd., Series 2014-11A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.12%)

3.90%

01/18/27

^1,2,3

55,905,000

55,932,133

Magnetite XVIII Ltd., Series 2016-18A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.76%

11/15/28

^1,2,3

20,750,000

20,698,355

Magnetite XVIII Ltd., Series 2019-21A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.28%)

3.91%

04/20/30

^1,2,3

34,100,000

34,104,228

Navient Student Loan Trust, Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.51%)

3.00%

06/25/31

992,423

985,698

Navient Student Loan Trust, Series 2014-2, Class A

(LIBOR USD 1-Month plus 0.64%)

3.13%

03/25/83

72,195,072

71,580,569

Navient Student Loan Trust, Series 2014-3, Class A

(LIBOR USD 1-Month plus 0.62%)

3.11%

03/25/83

75,934,566

75,167,471

Navient Student Loan Trust, Series 2014-4, Class A

(LIBOR USD 1-Month plus 0.62%)

3.11%

03/25/83

115,584,008

113,935,595

Navient Student Loan Trust, Series 2014-5, Class A

(LIBOR USD 1-Month plus 0.62%)

3.11%

03/25/83

93,768,773

92,576,213

Navient Student Loan Trust, Series 2014-6, Class A

(LIBOR USD 1-Month plus 0.61%)

3.10%

03/25/83

94,953,938

94,432,204


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2014-7, Class A
(LIBOR USD 1-Month plus 0.61%)
3.10%		03/25/83	²	$	95,990,853	$	94,675,557
Navient Student Loan Trust, Series 2015-1, Class A2
(LIBOR USD 1-Month plus 0.60%)
3.09%		04/25/40	²		81,795,467		81,669,502
Navient Student Loan Trust, Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
3.06%		11/26/40	²		99,055,000		98,231,130
Navient Student Loan Trust, Series 2016-1A, Class A
(LIBOR USD 1-Month plus 0.70%)
3.19%		02/25/70	^2,3		34,376,619		34,331,722
Navient Student Loan Trust, Series 2016-7A, Class A
(LIBOR USD 1-Month plus 1.15%)
3.64%		03/25/66	^2,3		67,779,813		68,466,192
Navient Student Loan Trust, Series 2018-3A, Class A3
(LIBOR USD 1-Month plus 0.80%)
3.29%		03/25/67	^2,3		60,000,000		59,373,420
Nelnet Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.45%)
3.10%		08/23/36	^2,3		12,500,000		12,255,214
Nelnet Student Loan Trust, Series 2007-2A, Class A3L
(LIBOR USD 3-Month plus 0.35%)
2.95%		03/25/26	^2,3		33,217,389		32,733,457
Nelnet Student Loan Trust, Series 2008-3, Class A4
(LIBOR USD 3-Month plus 1.65%)
4.30%		11/25/24	²		1,652,206		1,660,887
Nelnet Student Loan Trust, Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
3.09%		10/27/36	^2,3		14,354,933		14,258,409
Nelnet Student Loan Trust, Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
3.44%		11/25/48	^2,3		21,495,000		21,382,154
Nelnet Student Loan Trust, Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
3.04%		07/25/46	^2,3		79,755,432		79,765,361
Nelnet Student Loan Trust, Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
3.08%		04/25/46	^2,3		143,133,144		141,979,019

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Nelnet Student Loan Trust, Series 2015-2A, Class A2

(LIBOR USD 1-Month plus 0.60%)

3.09%

09/25/47

^2,3

63,313,391

63,036,198

Nelnet Student Loan Trust, Series 2015-3A, Class A3

(LIBOR USD 1-Month plus 0.90%)

3.39%

06/25/54

^2,3

13,095,000

13,103,692

Neuberger Berman CLO XVI-S Ltd.,

Series 2017-16SA, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.64%

01/15/28

^1,2,3

1,690,000

1,686,620

North Carolina State Education Authority,

Series 2011-1, Class A3

(LIBOR USD 3-Month plus 0.90%)

3.67%

10/25/41

21,446,307

21,628,017

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(1.00 X LIBOR USD 3-Month plus 0.75%)

3.52%

01/29/46

42,780,000

42,674,312

Octagon Investment Partners 25 Ltd.,

Series 2015-1A, Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.56%

10/20/26

^1,2,3

17,910,000

17,835,082

Octagon Investment Partners XXIII Ltd.,

Series 2015-1A, Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.64%

07/15/27

^1,2,3

22,105,000

21,965,960

Palmer Square CLO Ltd., Series 2019-1,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 1.05%)

3.75%

04/20/27

^1,2,3

14,640,000

14,640,366

Panhandle-Plains Higher Education

Authority, Inc., Series 2011-1, Class A3

(LIBOR USD 3-Month plus 0.95%)

3.54%

10/01/37

16,955,000

17,035,803

Panthera Aviation, Series 2013-1

10.00%

01/25/22

^3,4,5,†

13,004,312

3,641,207

Panthera Aviation, Series 2013-2⁶

10.00%

03/20/24

^3,4,5,7,†

15,944,679

4,942,851

PHEAA Student Loan Trust, Series 2015-1A,

Class A

(LIBOR USD 1-Month plus 0.60%)

3.09%

10/25/41

^2,3

158,649,604

156,851,136

Scholar Funding Trust, Series 2012-B,

Class A2

(LIBOR USD 1-Month plus 1.10%)

3.60%

03/28/46

^2,3

29,957,814

30,243,407

SLC Student Loan Trust, Series 2004-1, Class B

(LIBOR USD 3-Month plus 0.29%)

2.97%

08/15/31

297,954

277,083


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLC Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.16%)
2.77%		03/15/55	²	$	9,495,000	$	9,143,003
SLC Student Loan Trust, Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.16%)
2.77%		09/15/39	²		16,000,000		15,340,054
SLC Student Loan Trust, Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
4.21%		12/15/32	²		17,073,914		17,545,694
SLM Student Loan Trust, Series 2003-4, Class A5E
(LIBOR USD 3-Month plus 0.75%)
3.36%		03/15/33	^2,3		5,910,981		5,816,266
SLM Student Loan Trust, Series 2004-3A, Class A6A
(LIBOR USD 3-Month plus 0.55%)
3.32%		10/25/64	^2,3		82,990,000		82,503,224
SLM Student Loan Trust, Series 2005-5, Class A5
(LIBOR USD 3-Month plus 0.75%)
3.52%		10/25/40	²		7,134,000		7,084,132
SLM Student Loan Trust, Series 2005-8,
Class A5
(LIBOR USD 3-Month plus 0.17%)
2.94%		01/25/40	²		430,000		417,817
SLM Student Loan Trust, Series 2005-9, Class A7A
(LIBOR USD 3-Month plus 0.60%)
3.37%		01/25/41	²		72,449,634		71,895,554
SLM Student Loan Trust, Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
2.94%		01/25/41	²		40,331,950		39,445,644
SLM Student Loan Trust, Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
2.93%		01/25/41	²		33,055,000		32,113,508
SLM Student Loan Trust, Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.22%)
2.99%		01/27/42	²		4,943,003		4,615,336
SLM Student Loan Trust, Series 2007-3, Class A4
(LIBOR USD 3-Month plus 0.06%)
2.83%		01/25/22	²		3,110,000		3,048,304
SLM Student Loan Trust, Series 2007-6, Class B
(LIBOR USD 3-Month plus 0.85%)
3.62%		04/27/43	²		4,987,731		4,793,864


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-1, Class A4
(LIBOR USD 3-Month plus 0.65%)
3.42%		01/25/22	²	$	46,500,520	$	46,245,926
SLM Student Loan Trust, Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
3.52%		04/25/23	²		106,860,331		106,222,183
SLM Student Loan Trust, Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
3.97%		01/25/83	²		38,874,000		37,484,997
SLM Student Loan Trust, Series 2008-3, Class A3
(LIBOR USD 3-Month plus 1.00%)
3.77%		10/25/21	²		22,209		22,244
SLM Student Loan Trust, Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
3.97%		04/26/83	²		2,170,000		2,080,517
SLM Student Loan Trust, Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
4.42%		07/25/22	²		2,696,975		2,729,075
SLM Student Loan Trust, Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		04/25/73	²		8,759,000		8,901,685
SLM Student Loan Trust, Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
4.47%		07/25/23	²		42,821,817		43,404,446
SLM Student Loan Trust, Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		07/25/73	²		37,199,000		37,804,248
SLM Student Loan Trust, Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
3.87%		07/25/23	²		16,046,470		16,059,461
SLM Student Loan Trust, Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		07/26/83	²		31,644,000		32,254,886
SLM Student Loan Trust, Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
4.62%		07/26/83	²		17,346,000		17,676,492
SLM Student Loan Trust, Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
4.27%		04/25/23	²		3,804,573		3,845,603

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%)

5.02%

10/25/75

545,000

558,202

SLM Student Loan Trust, Series 2008-9, Class A

(LIBOR USD 3-Month plus 1.50%)

4.27%

04/25/23

86,705,169

87,754,275

SLM Student Loan Trust, Series 2008-9,

Class B

(LIBOR USD 3-Month plus 2.25%)

5.02%

10/25/83

45,100,000

46,303,826

SLM Student Loan Trust, Series 2009-3, Class A

(LIBOR USD 1-Month plus 0.75%)

3.54%

01/25/45

^2,3

195,793,340

195,063,129

SLM Student Loan Trust, Series 2011-1,

Class A2

(LIBOR USD 1-Month plus 1.15%)

3.64%

10/25/34

3,070,000

3,106,749

SLM Student Loan Trust, Series 2012-1,

Class A3

(LIBOR USD 1-Month plus 0.95%)

3.44%

09/25/28

341,425

340,045

SLM Student Loan Trust, Series 2012-2, Class A

(LIBOR USD 1-Month plus 0.70%)

3.19%

01/25/29

15,488,471

15,249,535

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

3.14%

05/26/26

27,523,084

27,129,029

Student Loan Consolidation Center Student

Loan Trust I, Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^2,3

20,900,000

19,737,061

TCI-Flatiron CLO Ltd., Series 2016-1,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

3.73%

07/17/28

^1,2,3

57,520,000

57,555,317

Treman Park CLO Ltd., Series 2015-1A,

Class ARR (Cayman Islands)

(LIBOR USD 3-Month plus 1.07%)

3.83%

10/20/28

^1,2,3

21,540,000

21,567,508

Vermont Student Assistance Corp.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 0.70%)

3.20%

07/28/34

4,106,248

4,103,045

Voya CLO Ltd., Series 2014-3A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 0.72%)

3.49%

07/25/26

^1,2,3

26,533,994

26,428,320

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Voya CLO Ltd., Series 2015-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.97%)

3.74%

07/23/27

^1,2,3

22,585,000

22,470,451

Voya CLO Ltd., Series 2019-1A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

3.81%

04/15/29

^1,2,3

40,530,000

40,547,849

Wachovia Student Loan Trust,

Series 2006-1, Class A6

(LIBOR USD 3-Month plus 0.17%)

2.94%

04/25/40

^2,3

20,000

19,521

Total Asset-Backed Securities

(Cost $3,862,917,552)

3,857,572,831

BANK LOANS — 1.08%*

Automotive — 0.03%

Panther BF Aggregator 2 LP/Panther

Finance Co., Inc., Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.50%

03/18/26

22,600,000

22,373,774

Communications — 0.25%

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

(LIBOR plus 3.25%)

5.73%

02/06/26

9,250,000

9,257,678

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.73%

07/17/25

3,914,648

3,809,795

4.73%

01/15/26

25,310,391

24,633,338

Intelsat Jackson Holdings SA,

Term Loan B4, 1st Lien (Luxembourg)

(LIBOR plus 4.50%)

6.99%

01/02/24

^1,2

2,000,000

2,011,250

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

6.63%

01/02/24

22,379,651

22,441,195

Lamar Media Corp., Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.25%

03/14/25

2,475,000

2,472,946

Level 3 Financing, Inc.,Term Loan B,

1st Lien

(LIBOR plus 2.25%)

4.74%

02/22/24

6,750,000

6,680,374

SBA Senior Finance II LLC, Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.50%

04/11/25

44,741,900

43,864,959

Sprint Communications, Inc., Term Loan B, 1st Lien

(LIBOR plus 2.50%)

5.00%

02/02/24

17,521,212

17,100,703

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

(LIBOR plus 3.00%)

5.50%

02/02/24

12,817,875

12,641,629

Unitymedia Finance LLC, Term Loan E,

1st Lien

(LIBOR plus 2.00%)

4.48%

06/01/23

33,320,000

32,979,136

177,893,003

Consumer Discretionary — 0.04%

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

(LIBOR plus 2.75%)

5.25%

02/05/23

26,521,530

26,259,365

Electric — 0.03%

Dayton Power & Light Co. (The),

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.50%

08/24/22

15,790,746

Homer City Generation LP, Term Loan B,

1st Lien

(LIBOR plus 11.00%)

13.50%

04/05/23

^2,4,5

8,042,148

7,728,504

23,519,250

Energy — 0.02%

Energizer Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.25%)

4.73%

12/17/25

4,000,000

3,960,000

Vistra Operations Co., LLC, Term Loan B1,

1st Lien

(LIBOR plus 2.00%)

4.50%

08/04/23

11,693,640

11,581,849

Vistra Operations Co., LLC, Term Loan B3,

1st Lien

(LIBOR plus 2.00%)

4.48%

12/31/25

548,780

541,509

4.50%

12/31/25

195,595

193,003

16,276,361

Finance — 0.13%

Avolon TLB Borrower 1 (US) LLC,

Term Loan B3, 1st Lien

(LIBOR plus 2.00%)

4.49%

01/15/25

13,239,172

13,151,065

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.35%

10/06/23

57,015,171

57,008,045

Telenet Financing USD LLC, Term Loan,

1st Lien

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Finance (continued)

(LIBOR plus 2.25%)

4.73%

08/15/26

24,510,000

24,038,060

94,197,170

Food — 0.00%

Northeast Foods LLC, Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.25%

07/20/25

2,321,181

2,289,265

Gaming — 0.08%

CEOC LLC, Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.50%

10/06/24

11,357,487

11,121,820

Churchill Downs, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.00%)

4.50%

12/27/24

11,842,538

11,827,735

Las Vegas Sands LLC, Term Loan B,

1st Lien

(LIBOR plus 1.75%)

4.25%

03/27/25

38,065,500

37,450,742

60,400,297

Health Care — 0.09%

Bausch Health Cos., Inc., Term Loan B,

1st Lien

(LIBOR plus 2.75%)

5.23%

11/27/25

1,187,500

1,175,352

(LIBOR plus 3.00%)

5.48%

06/02/25

36,368,843

36,177,361

Catalent Pharma Solutions, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.75%

05/20/24

2,253,809

2,247,126

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.25%

03/01/24

5,819,689

5,751,511

Gentiva Health Services, Inc., Term Loan,

1st Lien

(LIBOR plus 3.75%)

6.25%

07/02/25

6,628,197

6,653,053

MPH Acquisition Holdings LLC, Term Loan B,

1st Lien

(LIBOR plus 2.75%)

5.35%

06/07/23

10,222,776

9,918,546

61,922,949

Industrials — 0.01%

Clean Harbors, Inc., Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.25%

06/28/24

2,977,273

2,973,551

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Tyco International Holdings SARL,

Term Loan

(LIBOR plus 1.25%)

4.16%

03/02/20

^2,4,5

3,672,358

3,660,901

6,634,452

Information Technology — 0.25%

Dell International LLC,

Term Loan A2, 1st Lien

(LIBOR plus 1.75%)

4.25%

09/07/21

53,337,592

53,226,917

First Data Corp., Term Loan, 1st Lien

(LIBOR plus 2.00%)

4.49%

07/08/22

6,337,759

6,329,235

4.49%

04/26/24

72,048,232

71,921,067

IQVIA, Inc., Term Loan B1, 1st Lien

(LIBOR plus 2.00%)

4.60%

03/07/24

13,182,323

13,152,136

IQVIA, Inc., Term Loan B2, 1st Lien

(LIBOR plus 2.00%)

4.60%

01/17/25

9,068,056

9,054,454

IQVIA, Inc., Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.25%

06/11/25

3,225,625

3,196,385

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.25%)

4.75%

04/16/25

9,002,667

8,941,989

SS&C Technologies, Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 2.25%)

4.75%

04/16/25

6,472,898

6,429,270

SS&C Technologies, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

4.75%

04/16/25

4,974,593

4,939,099

177,190,552

Materials — 0.02%

Berry Plastics Group, Inc. Term Loan S,

1st Lien

(LIBOR plus 1.75%)

4.24%

02/08/20

15,200,000

15,173,552

Real Estate Investment Trust (REIT) — 0.05%

MGM Growth Properties Operating

Partnership LP, Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.50%

04/25/23

28,769,827

28,423,151

VICI Properties 1 LLC, Term Loan B, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Real Estate Investment Trust (REIT) (continued)
(LIBOR plus 2.00%)
4.49%		12/20/24	²	$	9,218,636	$	9,071,737


							37,494,888

Retail — 0.06%
BC ULC/New Red Finance, Inc.,
Term Loan B-3, 1st Lien (Canada)
(LIBOR plus 2.25%)
4.75%		02/17/24	^1,2		41,541,912		40,953,263

Transportation — 0.02%
United Airlines, Inc., Term Loan, 1st Lien
(LIBOR plus 1.75%)
4.25%		04/01/24	²		18,644,350		18,475,246

Total Bank Loans
(Cost $784,992,655)							781,053,387

CORPORATES — 26.04%*
Automotive — 0.03%
General Motors Co.
6.60%		04/01/36			12,495,000		13,051,886
(LIBOR USD 3-Month plus 0.80%)
3.54%		08/07/20	²		5,000,000		4,994,612


							18,046,498

Banking — 3.24%
Bank of America Corp.
2.74%		01/23/22	⁸		139,664,000		139,163,781
3.00%		12/20/23	⁸		100,927,000		100,572,461
3.37%		01/23/26	⁸		19,750,000		19,779,901
3.42%		12/20/28	⁸		78,271,000		76,605,756
3.71%		04/24/28	⁸		120,153,000		120,368,194
Bank of America Corp. (GMTN)
3.59%		07/21/28	⁸		27,405,000		27,353,520
Bank of America Corp. (MTN)
3.09%		10/01/25	⁸		104,190,000		103,411,876
3.82%		01/20/28	⁸		15,762,000		15,988,759
3.97%		03/05/29	⁸		8,230,000		8,396,259
3.97%		02/07/30	⁸		4,165,000		4,248,744
4.00%		04/01/24			11,712,000		12,223,449
4.13%		01/22/24			68,467,000		71,782,625
4.27%		07/23/29	⁸		8,465,000		8,815,980
Discover Bank
7.00%		04/15/20			9,000,000		9,373,433
Discover Bank (BKNT)
3.10%		06/04/20			6,023,000		6,040,497
3.20%		08/09/21			6,040,000		6,071,689
4.20%		08/08/23			9,065,000		9,429,686
8.70%		11/18/19			3,676,000		3,804,800


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase & Co.
3.20%		01/25/23		$	2,315,000	$	2,342,385
3.20%		06/15/26			60,311,000		60,018,492
3.22%		03/01/25	⁸		149,826,000		149,961,143
3.51%		01/23/29	⁸		15,800,000		15,705,973
3.54%		05/01/28	⁸		19,470,000		19,539,196
3.78%		02/01/28	⁸		91,000		92,936
3.90%		07/15/25			52,554,000		54,696,075
4.01%		04/23/29	⁸		9,870,000		10,131,224
4.02%		12/05/24	⁸		262,435,000		272,477,939
4.20%		07/23/29	⁸		12,550,000		13,102,914
4.25%		10/15/20			9,620,000		9,847,321
4.95%		03/25/20			20,000,000		20,434,783
(LIBOR USD 3-Month plus 0.96%)
3.73%		01/23/20	²		15,000,000		15,104,039
JPMorgan Chase Bank N.A. (BKNT)
(LIBOR USD 3-Month plus 0.29%)
3.03%		02/01/21	²		220,000		220,095
Lloyds Bank PLC (United Kingdom)
2.40%		03/17/20	¹		2,450,000		2,441,931
3.30%		05/07/21	¹		29,510,000		29,773,002
6.38%		01/21/21	¹		5,070,000		5,391,331
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^1,3		9,850,000		10,077,966
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^1,8		59,990,000		58,519,405
3.57%		11/07/28	^1,8		16,550,000		15,937,087
3.90%		03/12/24	¹		32,230,000		32,678,557
4.05%		08/16/23	¹		4,750,000		4,846,300
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		10/16/20	¹		48,375,000		48,263,326
2.88%		08/05/21	¹		60,921,000		60,409,538
3.13%		01/08/21	¹		26,863,000		26,837,400
3.37%		01/05/24	^1,8		70,050,000		68,531,036
4.80%		11/15/24	^1,8		43,400,000		44,706,270
Santander UK PLC (United Kingdom)
3.40%		06/01/21	¹		45,470,000		45,834,190
Wells Fargo & Co.
3.00%		04/22/26			77,420,000		75,353,815
3.00%		10/23/26			100,291,000		97,886,515
(LIBOR USD 3-Month plus 1.23%)
3.97%		10/31/23	²		22,722,000		23,236,203
Wells Fargo & Co. (GMTN)
2.60%		07/22/20			10,646,000		10,626,509
Wells Fargo & Co. (MTN)
2.63%		07/22/22			198,488,000		197,148,702
3.55%		09/29/25			39,548,000		40,349,092


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
3.58%		05/22/28	⁸	$	26,848,000	$	27,027,318
4.15%		01/24/29			3,265,000		3,416,111
Wells Fargo & Co., Series N (MTN)
2.15%		01/30/20			6,040,000		6,012,632
Wells Fargo Bank N.A. (BKNT)
(SOFR Rate plus 0.48%)
2.94%		03/25/20	²		16,800,000		16,821,000


							2,339,231,161

Communications — 3.45%
AT&T, Inc.
3.40%		05/15/25			74,076,000		73,590,098
3.95%		01/15/25			12,305,000		12,563,347
4.30%		02/15/30			29,045,000		29,431,033
4.35%		06/15/45			37,933,000		35,114,250
4.50%		05/15/35			27,030,000		26,526,445
4.55%		03/09/49			9,500,000		8,987,199
4.75%		05/15/46			2,542,000		2,488,114
4.80%		06/15/44			94,253,000		92,387,141
4.85%		03/01/39			9,102,000		9,188,128
5.15%		11/15/46			15,680,000		16,117,770
5.25%		03/01/37			139,600,000		147,311,752
CBS Corp.
2.90%		06/01/23			19,545,000		19,317,699
3.70%		06/01/28			42,185,000		41,192,281
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.00%		02/01/28	³		1,023,000		1,011,491
5.13%		05/01/27	³		5,543,000		5,584,808
Charter Communications Operating LLC/Charter Communications Operating Capital
3.75%		02/15/28			12,585,000		12,142,599
4.50%		02/01/24			36,442,000		37,932,605
4.91%		07/23/25			25,975,000		27,459,713
5.75%		04/01/48			24,155,000		25,331,349
6.48%		10/23/45			45,043,000		50,689,140
Clear Channel International BV (Netherlands)
8.75%		12/15/20	^1,3		26,872,000		27,678,160
Comcast Corp.
2.35%		01/15/27			12,620,000		11,803,347
3.38%		02/15/25			1,900,000		1,937,058
3.60%		03/01/24			570,000		586,306
3.90%		03/01/38			4,905,000		4,812,279
3.95%		10/15/25			31,925,000		33,417,857
4.05%		11/01/52			1,875,000		1,814,782
4.15%		10/15/28			76,363,000		80,554,603
4.25%		10/15/30			95,000,000		100,889,193
4.40%		08/15/35			13,550,000		14,167,618
4.60%		10/15/38			84,420,000		90,520,805


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
4.65%		07/15/42		$	4,660,000	$	4,950,629
CommScope Finance LLC
6.00%		03/01/26	³		36,281,000		37,618,680
Cox Communications, Inc.
3.15%		08/15/24	³		14,675,000		14,617,489
CSC Holdings LLC
5.38%		07/15/23	³		200,000		204,250
5.38%		02/01/28	³		19,487,000		19,584,435
5.50%		05/15/26	³		598,000		616,119
6.50%		02/01/29	³		22,184,000		23,667,555
6.75%		11/15/21			4,216,000		4,516,390
Deutsche Telekom International Finance BV (Netherlands)
4.38%		06/21/28	^1,3		4,205,000		4,384,804
Discovery Communications LLC
2.75%		11/15/19	³		8,235,000		8,216,531
DISH DBS Corp.
5.88%		07/15/22			1,846,000		1,791,174
Fox Corp.
3.67%		01/25/22	³		4,186,000		4,270,329
4.71%		01/25/29	³		9,530,000		10,227,096
5.58%		01/25/49	³		14,510,000		16,354,387
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	¹		60,428,000		53,931,990
8.50%		10/15/24	^1,3		20,544,000		19,991,880
9.75%		07/15/25	^1,3		14,027,000		14,311,748
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	¹		33,473,000		42,453,940
Level 3 Financing, Inc.
5.25%		03/15/26			20,988,000		20,988,000
5.38%		01/15/24			7,697,000		7,859,407
5.38%		05/01/25			23,445,000		23,803,709
5.63%		02/01/23			2,171,000		2,200,851
Qwest Corp.
6.88%		09/15/33			33,527,000		33,527,000
7.25%		09/15/25			5,059,000		5,444,749
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	³		11,130,000		10,077,013
SES SA (Luxembourg)
3.60%		04/04/23	^1,3		16,882,000		16,788,541
Sprint Capital Corp.
8.75%		03/15/32			34,801,000		36,671,554
Sprint Communications, Inc.
7.00%		03/01/20	³		8,385,000		8,626,069
Sprint Corp.
7.13%		06/15/24			4,297,000		4,372,198
7.63%		02/15/25			126,000		128,835
7.63%		03/01/26			12,976,000		13,183,616


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	³	$	84,403,750	$	84,281,365
4.74%		03/20/25	³		42,375,000		42,957,656
5.15%		03/20/28	³		218,278,000		222,643,560
TEGNA, Inc.
5.50%		09/15/24	³		354,000		358,867
Time Warner Cable LLC
4.50%		09/15/42			23,307,000		20,494,544
5.50%		09/01/41			20,046,000		19,748,055
5.88%		11/15/40			36,463,000		37,853,006
8.25%		04/01/19			8,442,000		8,441,135
T-Mobile USA, Inc.
4.50%		02/01/26			3,629,000		3,624,464
4.75%		02/01/28			26,414,000		26,248,913
6.00%		03/01/23			29,570,000		30,457,100
6.50%		01/15/24			18,635,000		19,357,106
Verizon Communications, Inc.
4.02%		12/03/29	³		35,082,000		36,168,027
4.27%		01/15/36			10,205,000		10,358,008
4.40%		11/01/34			26,685,000		27,798,721
4.81%		03/15/39			16,983,000		18,223,141
5.25%		03/16/37			99,227,000		111,529,560
Viacom, Inc.
3.88%		04/01/24			40,342,000		41,142,587
4.25%		09/01/23			38,827,000		40,362,901
Virgin Media Secured Finance PLC
(United Kingdom)
5.25%		01/15/26	^1,3		5,575,000		5,630,750
5.50%		08/15/26	^1,3		19,102,000		19,484,040
Vodafone Group PLC (United Kingdom)
3.75%		01/16/24	¹		34,950,000		35,239,229
4.38%		05/30/28	¹		65,530,000		66,668,698
5.25%		05/30/48	¹		5,045,000		5,009,270
Walt Disney Co. (The)
4.95%		10/15/45	³		1,050,000		1,254,355
5.40%		10/01/43	³		5,335,000		6,608,201
6.15%		03/01/37	³		3,576,000		4,664,193
7.75%		01/20/24	³		4,872,000		5,908,683
Warner Media LLC
3.80%		02/15/27			24,315,000		24,234,165


							2,484,680,238

Consumer Discretionary — 1.14%
Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%		02/01/36	³		49,675,000		49,813,966
4.90%		02/01/46	³		74,575,000		74,955,966
Anheuser-Busch InBev Worldwide, Inc.
4.00%		04/13/28			21,780,000		22,167,391


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
4.15%		01/23/25		$	53,352,000	$	55,615,539
4.60%		04/15/48			35,640,000		34,185,339
4.75%		01/23/29			46,040,000		49,094,416
5.55%		01/23/49			40,681,000		44,713,344
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^1,3		15,236,000		15,247,775
5.15%		05/15/38	^1,3		12,881,000		12,319,742
5.30%		05/15/48	^1,3		36,316,000		34,865,032
BAT Capital Corp.
2.30%		08/14/20			37,450,000		37,073,431
3.56%		08/15/27			7,000,000		6,628,049
4.39%		08/15/37			7,800,000		6,991,247
4.54%		08/15/47			53,987,000		47,441,130
BAT International Finance PLC (EMTN) (United Kingdom)
1.63%		09/09/19	¹		22,385,000		22,257,578
Central Garden & Pet Co.
5.13%		02/01/28			27,599,000		25,736,067
6.13%		11/15/23			14,925,000		15,596,625
Constellation Brands, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.38%		11/15/21	²		74,320,000		74,365,482
First Quality Finance Co., Inc.
4.63%		05/15/21	³		3,938,000		3,947,845
5.00%		07/01/25	³		6,600,000		6,435,198
KFC Holding Co./Pizza Hut Holdings LLC/
Taco Bell of America LLC
4.75%		06/01/27	³		9,999,000		9,849,015
5.00%		06/01/24	³		1,863,000		1,904,917
5.25%		06/01/26	³		6,713,000		6,792,885
Molson Coors Brewing Co.
2.25%		03/15/20			13,040,000		12,960,354
Reynolds American, Inc.
4.00%		06/12/22			6,127,000		6,265,739
4.45%		06/12/25			1,268,000		1,304,570
5.85%		08/15/45			46,203,000		47,500,285
6.88%		05/01/20			5,845,000		6,083,267
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A.
5.75%		10/15/20			59,307,454		59,418,655
(LIBOR USD 3-Month plus 3.50%)
6.29%		07/15/21	^2,3		8,770,000		8,824,813
Spectrum Brands, Inc.
5.75%		07/15/25			18,916,000		19,128,805
6.13%		12/15/24			4,310,000		4,380,037


							823,864,504


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Products — 0.09%
Newell Brands, Inc.
3.85%		04/01/23		$	63,662,000	$	62,919,860


Electric — 2.44%
Alliant Energy Finance LLC
3.75%		06/15/23	³		34,081,000		34,776,493
American Electric Power Co., Inc., Series I
3.65%		12/01/21			14,300,000		14,575,618
American Electric Power Co., Inc., Series J
4.30%		12/01/28			68,405,000		72,651,194
Appalachian Power Co.
4.45%		06/01/45			23,066,000		23,918,070
Appalachian Power Co., Series X
3.30%		06/01/27			13,250,000		13,095,568
Consolidated Edison Co. of New York, Inc.
4.45%		03/15/44			24,565,000		25,902,748
Consolidated Edison Co. of New York, Inc., Series E
4.65%		12/01/48			49,736,000		54,835,302
Dominion Energy, Inc.
(LIBOR USD 3-Month plus 0.40%)
3.03%		12/01/20	^2,3		45,075,000		45,055,843
(LIBOR USD 3-Month plus 0.55%)
3.18%		06/01/19	^2,3		70,520,000		70,560,213
DTE Energy Co.
2.40%		12/01/19			350,000		347,925
Duke Energy Carolinas LLC
3.75%		06/01/45			32,875,000		32,226,590
4.00%		09/30/42			16,040,000		16,459,149
4.25%		12/15/41			26,358,000		27,984,473
Duke Energy Indiana LLC, Series WWW
4.90%		07/15/43			6,395,000		7,274,886
Duke Energy Progress LLC
3.70%		10/15/46			12,165,000		11,876,318
4.10%		05/15/42			8,150,000		8,419,127
4.15%		12/01/44			9,960,000		10,393,619
4.20%		08/15/45			22,820,000		24,049,238
Duquesne Light Holdings, Inc.
6.40%		09/15/20	³		19,829,000		20,709,443
Entergy Corp.
4.00%		07/15/22			12,632,000		12,932,307
5.13%		09/15/20			9,800,000		10,012,607
Eversource Energy, Series H
3.15%		01/15/25			6,120,000		6,115,375
Eversource Energy, Series N
3.80%		12/01/23			12,025,000		12,456,625
FirstEnergy Transmission LLC
4.35%		01/15/25	³		23,330,000		24,308,005
4.55%		04/01/49	³		16,175,000		16,562,504
5.45%		07/15/44	³		24,625,000		28,011,026


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Florida Power & Light Co.
3.95%		03/01/48		$	3,710,000	$	3,851,827
Indiana Michigan Power Co., Series J
3.20%		03/15/23			30,672,000		30,922,007
Indiana Michigan Power Co., Series K
4.55%		03/15/46			11,515,000		12,325,466
ITC Holdings Corp.
3.35%		11/15/27			6,225,000		6,158,728
3.65%		06/15/24			5,165,000		5,250,494
Jersey Central Power & Light Co.
4.30%		01/15/26	³		4,980,000		5,188,897
4.70%		04/01/24	³		37,747,000		40,201,209
6.40%		05/15/36			12,630,000		15,246,539
Kansas City Power & Light Co.
3.15%		03/15/23			8,034,000		8,161,375
3.65%		08/15/25			13,885,000		14,315,185
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			75,000		83,320
LG&E & KU Energy LLC
4.38%		10/01/21			14,595,000		15,039,162
Metropolitan Edison Co.
3.50%		03/15/23	³		10,715,000		10,874,210
4.00%		04/15/25	³		35,719,000		36,791,808
4.30%		01/15/29	³		21,746,000		22,810,010
MidAmerican Energy Co.
4.25%		05/01/46			30,700,000		32,582,707
4.40%		10/15/44			8,110,000		8,802,781
4.80%		09/15/43			13,715,000		15,577,895
Minejesa Capital BV (Netherlands)
5.63%		08/10/37	^1,3		4,400,000		4,382,664
Mississippi Power Co.
(LIBOR USD 3-Month plus 0.65%)
3.26%		03/27/20	²		6,300,000		6,299,388
NextEra Energy Capital Holdings, Inc.
2.30%		04/01/19			7,190,000		7,189,371
(LIBOR USD 3-Month plus 0.48%)
3.22%		05/04/21	²		268,945,000		268,932,478
(LIBOR USD 3-Month plus 0.55%)
3.18%		08/28/21	²		158,500,000		158,201,071
Niagara Mohawk Power Corp.
4.28%		12/15/28	³		46,775,000		49,709,523
Oncor Electric Delivery Co. LLC
5.75%		03/15/29			23,645,000		28,424,482
PacifiCorp
3.35%		07/01/25			6,580,000		6,593,677
Pennsylvania Electric Co.
4.15%		04/15/25	³		28,335,000		28,810,665
5.20%		04/01/20			25,200,000		25,604,082


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Perusahaan Listrik Negara PT, Series REGS (EMTN) (Indonesia)
6.15%		05/21/48	¹	$	4,200,000	$	4,672,143
PNM Resources, Inc.
3.25%		03/09/21			34,295,000		34,263,140
Potomac Electric Power Co.
3.60%		03/15/24			6,783,000		7,010,146
Progress Energy, Inc.
4.88%		12/01/19			4,761,000		4,824,533
Public Service Co. of New Mexico
3.85%		08/01/25			14,390,000		14,583,675
5.35%		10/01/21			5,065,000		5,342,273
South Carolina Electric & Gas Co.
4.25%		08/15/28			8,930,000		9,649,105
Southern Co. Gas Capital Corp.
2.45%		10/01/23			49,306,000		47,950,825
5.88%		03/15/41			12,990,000		15,433,607
Southwestern Electric Power Co.
3.55%		02/15/22			15,882,000		16,082,789
Southwestern Electric Power Co., Series K
2.75%		10/01/26			36,488,000		34,699,723
Tucson Electric Power Co.
4.85%		12/01/48			26,195,000		29,067,352
Virginia Electric & Power Co.
4.60%		12/01/48			27,495,000		30,391,997
WEC Energy Group, Inc.
3.38%		06/15/21			11,130,000		11,265,648


							1,759,078,243

Energy — 2.44%
Anadarko Petroleum Corp.
4.50%		07/15/44			16,496,000		15,549,241
Antero Resources Corp.
5.00%		03/01/25			28,941,000		28,579,237
5.13%		12/01/22			20,993,000		21,209,228
5.63%		06/01/23			7,021,000		7,161,420
BP Capital Markets PLC (United Kingdom)
3.51%		03/17/25	¹		5,782,000		5,898,016
3.54%		11/04/24	¹		13,028,000		13,457,220
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	³		12,245,000		12,220,914
Centennial Resource Production LLC
5.38%		01/15/26	³		5,352,000		5,157,990
6.88%		04/01/27	³		20,848,000		21,104,430
Cheniere Energy Partners LP
5.63%		10/01/26	³		2,000,000		2,055,000
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	³		3,017,000		2,903,863


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Devon Energy Corp.
5.00%		06/15/45		$	6,155,000	$	6,453,829
Diamondback Energy, Inc.
5.38%		05/31/25			957,000		1,000,065
Ecopetrol SA (Colombia)
5.88%		05/28/45	¹		3,600,000		3,732,840
Enbridge Energy Partners LP
7.38%		10/15/45			11,200,000		15,519,774
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%		01/30/26	³		2,377,000		2,448,310
5.75%		01/30/28	³		2,109,000		2,219,723
Energy Transfer Operating LP
4.05%		03/15/25			10,634,000		10,804,693
4.25%		03/15/23			1,750,000		1,800,873
4.75%		01/15/26			3,229,000		3,370,614
4.90%		03/15/35			5,320,000		5,113,541
5.15%		03/15/45			68,717,000		65,661,292
5.25%		04/15/29			17,175,000		18,433,671
5.50%		06/01/27			16,612,000		18,027,035
5.88%		01/15/24			38,148,000		41,833,860
Energy Transfer Partners LP/Regency Energy Finance Corp.
4.50%		11/01/23			3,937,000		4,109,736
EQM Midstream Partners LP
5.50%		07/15/28			42,545,000		43,038,097
6.50%		07/15/48			4,445,000		4,488,032
EQT Corp.
3.90%		10/01/27			112,954,000		105,756,915
Florida Gas Transmission Co. LLC
7.90%		05/15/19	³		21,200,000		21,308,788
Gulfport Energy Corp.
6.38%		05/15/25			5,618,000		5,105,357
Halliburton Co.
5.00%		11/15/45			2,854,000		3,040,470
Hess Corp.
5.60%		02/15/41			27,446,000		27,881,112
HollyFrontier Corp.
5.88%		04/01/26			15,800,000		16,877,868
KazMunayGas National Co. JSC,
Series REGS (Kazakhstan)
5.38%		04/24/30	¹		12,220,000		12,841,986
Kinder Morgan Energy Partners LP
5.00%		08/15/42			5,955,000		5,974,246
5.80%		03/15/35			6,940,000		7,658,290
Kinder Morgan, Inc.
5.30%		12/01/34			7,870,000		8,536,542
6.95%		06/01/28			5,465,000		6,203,916
Matador Resources Co.
5.88%		09/15/26			12,556,000		12,587,390


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
NGPL Pipe Co. LLC
4.38%		08/15/22	³	$	2,154,000	$	2,191,695
Noble Energy, Inc.
5.05%		11/15/44			8,268,000		8,249,728
Panhandle Eastern Pipe Line Co. LP
8.13%		06/01/19			2,407,000		2,424,590
Parsley Energy LLC/Parsley Finance Corp.
5.38%		01/15/25	³		3,313,000		3,321,283
5.63%		10/15/27	³		8,109,000		8,065,617
Peru LNG SRL, Series REGS (Peru)
5.38%		03/22/30	¹		9,000,000		9,356,400
Petrobras Global Finance BV (Netherlands)
5.75%		02/01/29	¹		5,650,000		5,602,540
Petroleos del Peru SA, Series REGS (Peru)
4.75%		06/19/32	¹		6,600,000		6,789,750
Petroleos Mexicanos (Mexico)
5.35%		02/12/28	¹		40,396,000		37,588,478
6.50%		03/13/27	¹		41,545,000		41,835,815
6.50%		01/23/29	¹		147,555,000		146,485,226
6.75%		09/21/47	¹		4,200,000		3,868,620
Plains All American Pipeline LP/PAA Finance Corp.
3.85%		10/15/23			9,423,000		9,598,984
4.50%		12/15/26			1,220,000		1,251,030
4.65%		10/15/25			114,221,000		119,449,986
6.65%		01/15/37			4,066,000		4,577,360
Range Resources Corp.
4.88%		05/15/25			2,452,000		2,286,490
5.00%		03/15/23			1,748,000		1,719,595
Rockies Express Pipeline LLC
5.63%		04/15/20	³		36,054,000		37,000,417
6.88%		04/15/40	³		22,741,000		24,520,938
Ruby Pipeline LLC
6.00%		04/01/22	³		79,698,000		78,833,225
Sabine Pass Liquefaction LLC
4.20%		03/15/28			17,150,000		17,345,081
5.63%		03/01/25			9,167,000		10,100,888
5.75%		05/15/24			26,055,000		28,715,127
Shell International Finance BV (Netherlands)
4.38%		05/11/45	¹		7,759,000		8,490,189
Spectra Energy Partners LP
4.60%		06/15/21			6,115,000		6,283,928
4.75%		03/15/24			9,047,000		9,612,153
Sunoco Logistics Partners Operations LP
4.00%		10/01/27			14,177,000		14,067,778
5.40%		10/01/47			69,348,000		69,088,766
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.88%		01/15/29	³		19,048,000		20,738,510


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
TC PipeLines LP
3.90%		05/25/27		$	68,834,000	$	68,126,111
4.38%		03/13/25			42,850,000		43,883,328
4.65%		06/15/21			6,108,000		6,262,016
Tennessee Gas Pipeline Co. LLC
8.38%		06/15/32			4,079,000		5,341,439
Transcontinental Gas Pipe Line Co. LLC
4.60%		03/15/48			9,250,000		9,436,914
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26			13,040,000		12,322,800
Transocean Guardian Ltd. (Cayman Islands)
5.88%		01/15/24	^1,3		22,104,495		22,546,585
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^1,3		23,126,040		23,530,746
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3		25,286,000		26,360,655
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^1,3		16,976,000		17,506,500
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		04/01/26			3,048,000		3,143,250
6.88%		09/01/27	³		11,920,000		12,173,300
Williams Cos., Inc. (The)
3.35%		08/15/22			7,545,000		7,598,662
3.70%		01/15/23			16,348,000		16,651,866
3.90%		01/15/25			5,952,000		6,069,353
4.50%		11/15/23			8,900,000		9,347,617
4.55%		06/24/24			54,708,000		57,873,347
6.30%		04/15/40			34,085,000		39,939,683
7.88%		09/01/21			3,543,000		3,917,133
WPX Energy, Inc.
5.75%		06/01/26			9,585,000		9,764,719


							1,758,381,635

Finance — 3.18%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.50%		05/26/22	¹		20,425,000		20,488,702
3.88%		01/23/28	¹		6,245,000		5,882,009
3.95%		02/01/22	¹		95,265,000		96,536,979
4.45%		12/16/21	¹		17,150,000		17,598,364
4.50%		05/15/21	¹		16,345,000		16,733,194
4.63%		10/30/20	¹		7,444,000		7,617,552
4.88%		01/16/24	¹		10,400,000		10,835,500
5.00%		10/01/21	¹		42,862,000		44,576,480
Air Lease Corp.
2.13%		01/15/20			5,150,000		5,123,232
2.50%		03/01/21			28,960,000		28,682,071
3.00%		09/15/23			10,870,000		10,595,460


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
3.25%		03/01/25		$	15,100,000	$	14,547,348
3.88%		07/03/23			3,285,000		3,322,640
4.75%		03/01/20			15,890,000		16,144,543
Alta Wind Holdings LLC
7.00%		06/30/35	^3,4,5		19,006,046		20,247,152
Citigroup, Inc.
3.14%		01/24/23	⁸		27,700,000		27,807,573
3.67%		07/24/28	⁸		97,375,000		97,231,084
3.88%		10/25/23			12,245,000		12,743,990
3.89%		01/10/28	⁸		8,253,000		8,379,671
Daimler Finance North America LLC
1.50%		07/05/19	³		11,600,000		11,561,753
1.75%		10/30/19	³		18,115,000		17,999,940
2.20%		05/05/20	³		5,950,000		5,906,151
2.30%		01/06/20	³		11,400,000		11,352,855
Discover Financial Services
3.85%		11/21/22			9,064,000		9,290,077
Ford Motor Credit Co. LLC
1.90%		08/12/19			14,465,000		14,392,689
2.02%		05/03/19			17,727,000		17,705,284
2.34%		11/02/20			38,147,000		37,283,129
2.43%		06/12/20			40,044,000		39,525,978
2.46%		03/27/20			8,855,000		8,786,611
2.60%		11/04/19			13,380,000		13,337,023
2.68%		01/09/20			3,820,000		3,805,692
3.10%		05/04/23			10,000,000		9,337,753
3.16%		08/04/20			2,000,000		1,988,012
3.20%		01/15/21			15,460,000		15,245,217
3.22%		01/09/22			60,140,000		58,481,999
3.34%		03/18/21			24,035,000		23,664,248
3.34%		03/28/22			11,257,000		10,916,431
3.81%		10/12/21			22,199,000		22,001,909
4.25%		09/20/22			19,823,000		19,591,834
5.09%		01/07/21			74,500,000		75,877,946
5.60%		01/07/22			51,828,000		53,478,723
5.75%		02/01/21			6,000,000		6,178,055
5.88%		08/02/21			22,933,000		23,754,072
8.13%		01/15/20			4,470,000		4,633,037
(LIBOR USD 3-Month plus 0.88%)
3.68%		10/12/21	²		48,530,000		47,039,846
(LIBOR USD 3-Month plus 1.08%)
3.82%		08/03/22	²		3,950,000		3,782,806
(LIBOR USD 3-Month plus 1.27%)
3.87%		03/28/22	²		30,153,000		29,148,586
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	¹		223,292,000		220,565,605
3.37%		11/15/25	¹		7,730,000		7,511,968
4.42%		11/15/35	¹		197,594,000		182,965,830


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Motors Financial Co., Inc.
2.35%		10/04/19		$	19,090,000	$	19,045,003
2.40%		05/09/19			37,332,000		37,316,912
3.20%		07/13/20			8,150,000		8,165,023
3.55%		04/09/21			51,224,000		51,523,991
Goldman Sachs Group, Inc. (The)
2.91%		06/05/23	⁸		4,750,000		4,701,337
2.91%		07/24/23	⁸		8,659,000		8,573,464
3.27%		09/29/25	⁸		110,665,000		109,446,292
3.69%		06/05/28	⁸		67,130,000		66,744,455
3.81%		04/23/29	⁸		72,105,000		71,496,018
3.85%		01/26/27			13,165,000		13,227,380
4.02%		10/31/38	⁸		5,285,000		5,078,280
4.22%		05/01/29	⁸		10,965,000		11,209,948
5.25%		07/27/21			39,220,000		41,283,639
5.75%		01/24/22			9,875,000		10,590,609
Goldman Sachs Group, Inc. (The) (GMTN)
5.38%		03/15/20			60,000		61,415
Goldman Sachs Group, Inc. (The) (MTN)
3.85%		07/08/24			97,679,000		99,780,222
Goldman Sachs Group, Inc., Series D (The) (MTN)
6.00%		06/15/20			9,510,000		9,880,329
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
3.69%		07/22/22	²		143,880,000		144,680,479
Morgan Stanley (GMTN)
4.00%		07/23/25			16,591,000		17,123,082
5.50%		01/26/20			4,000,000		4,087,738
Pipeline Funding Co. LLC
7.50%		01/15/30	³		25,824,547		30,293,855
Raymond James Financial, Inc.
4.95%		07/15/46			55,981,000		58,929,435


							2,295,443,509

Food — 0.82%
Campbell Soup Co.
3.30%		03/15/21			12,610,000		12,685,465
4.15%		03/15/28			1,595,000		1,590,435
(LIBOR USD 3-Month plus 0.50%)
3.11%		03/16/20	²		81,235,000		81,067,909
(LIBOR USD 3-Month plus 0.63%)
3.24%		03/15/21	²		5,838,000		5,805,161
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	³		11,294,000		10,178,717
Conagra Brands, Inc.
3.80%		10/22/21			19,277,000		19,647,028
4.60%		11/01/25			25,198,000		26,471,016
(LIBOR USD 3-Month plus 0.50%)
3.09%		10/09/20	²		8,525,000		8,482,812


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
(LIBOR USD 3-Month plus 0.75%)
3.51%		10/22/20	²	$	31,600,000	$	31,573,106
General Mills, Inc.
4.20%		04/17/28			22,725,000		23,635,837
4.70%		04/17/48			6,898,000		6,898,858
Kraft Heinz Foods Co.
3.95%		07/15/25			26,373,000		26,601,337
4.38%		06/01/46			86,253,000		74,993,878
4.63%		01/30/29			19,955,000		20,545,575
5.20%		07/15/45			22,397,000		21,481,108
5.38%		02/10/20			3,505,000		3,562,752
(LIBOR USD 3-Month plus 0.42%)
3.12%		08/09/19	²		11,505,000		11,509,527
Kroger Co. (The)
4.50%		01/15/29			4,295,000		4,401,142
5.40%		01/15/49			71,265,000		73,543,823
Mondelez International Holdings
Netherlands BV (Netherlands)
2.00%		10/28/21	^1,3		32,837,000		32,065,610
Pilgrim’s Pride Corp.
5.75%		03/15/25	³		1,985,000		2,014,775
5.88%		09/30/27	³		14,161,000		14,302,610
Post Holdings, Inc.
5.00%		08/15/26	³		15,710,000		15,356,525
5.63%		01/15/28	³		633,000		630,626
5.75%		03/01/27	³		3,436,000		3,466,065
Tyson Foods, Inc.
4.00%		03/01/26			11,020,000		11,278,259
4.35%		03/01/29			46,320,000		47,912,968
5.10%		09/28/48			2,810,000		2,864,486


							594,567,410

Gaming — 0.08%
Churchill Downs, Inc.
5.50%		04/01/27	³		55,754,000		56,537,344


Health Care — 4.01%
AbbVie, Inc.
3.60%		05/14/25			44,612,000		44,753,084
4.40%		11/06/42			61,894,000		57,060,233
4.45%		05/14/46			4,040,000		3,737,107
4.50%		05/14/35			5,845,000		5,726,208
4.88%		11/14/48			42,387,000		41,713,772
Aetna, Inc.
4.13%		06/01/21			13,170,000		13,456,023
4.13%		11/15/42			6,375,000		5,774,603
Allergan Finance LLC
3.25%		10/01/22			10,772,000		10,775,449
Allergan Funding SCS (Luxembourg)
3.45%		03/15/22	¹		15,285,000		15,429,361


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
3.80%		03/15/25	¹	$	16,704,000	$	16,954,463
3.85%		06/15/24	¹		58,908,000		59,671,483
Allergan Sales LLC
5.00%		12/15/21	³		31,435,000		32,673,020
Amgen, Inc.
3.63%		05/22/24			5,633,000		5,796,476
4.40%		05/01/45			32,527,000		31,936,522
4.56%		06/15/48			6,483,000		6,446,898
4.66%		06/15/51			56,290,000		56,856,570
Anthem, Inc.
3.30%		01/15/23			21,050,000		21,284,434
3.35%		12/01/24			53,890,000		54,295,911
3.50%		08/15/24			33,520,000		34,002,579
3.65%		12/01/27			50,685,000		50,651,218
4.38%		12/01/47			5,649,000		5,624,775
4.65%		01/15/43			10,965,000		11,332,218
AstraZeneca PLC (United Kingdom)
3.13%		06/12/27	¹		77,380,000		75,493,746
3.38%		11/16/25	¹		7,879,000		7,955,998
Bausch Health Americas, Inc.
9.25%		04/01/26	³		2,722,000		2,980,590
Bausch Health Cos., Inc. (Canada)
5.50%		11/01/25	^1,3		1,377,000		1,411,425
Baxalta, Inc.
2.88%		06/23/20			11,998,000		11,987,127
4.00%		06/23/25			4,695,000		4,830,498
Bayer U.S. Finance II LLC
2.13%		07/15/19	³		10,504,000		10,472,354
4.25%		12/15/25	³		12,551,000		12,697,028
4.38%		12/15/28	³		168,605,000		167,696,303
(LIBOR USD 3-Month plus 1.01%)
3.62%		12/15/23	^2,3		8,130,000		7,984,606
Becton Dickinson and Co.
2.68%		12/15/19			5,114,000		5,117,222
2.89%		06/06/22			17,905,000		17,838,393
3.25%		11/12/20			42,315,000		42,433,524
(LIBOR USD 3-Month plus 0.88%)
3.48%		12/29/20	²		100,723,000		100,733,804
Boston Scientific Corp.
3.45%		03/01/24			24,300,000		24,751,861
4.70%		03/01/49			5,475,000		5,823,308
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	³		9,846,000		9,796,770
Celgene Corp.
2.75%		02/15/23			48,660,000		48,220,084
3.45%		11/15/27			28,532,000		28,213,855
3.88%		08/15/25			22,320,000		22,842,605
3.90%		02/20/28			55,516,000		56,729,857
4.63%		05/15/44			12,335,000		12,440,222


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.00%		08/15/45		$	110,166,000	$	116,586,419
Centene Corp.
4.75%		05/15/22			5,876,000		6,000,865
4.75%		01/15/25			3,547,000		3,626,807
5.63%		02/15/21			4,517,000		4,590,401
CHS/Community Health Systems, Inc.
5.13%		08/01/21			1,841,000		1,813,293
8.00%		03/15/26	³		6,710,000		6,458,375
8.63%		01/15/24	³		5,038,000		5,063,190
Cigna Corp.
3.75%		07/15/23	³		63,990,000		65,672,105
4.38%		10/15/28	³		42,440,000		44,061,994
4.80%		08/15/38	³		29,813,000		30,694,843
4.90%		12/15/48	³		6,540,000		6,758,660
(LIBOR USD 3-Month plus 0.35%)
2.96%		03/17/20	^2,3		25,000,000		24,975,663
(LIBOR USD 3-Month plus 0.65%)
3.26%		09/17/21	^2,3		77,330,000		77,309,331
(LIBOR USD 3-Month plus 0.89%)
3.68%		07/15/23	^2,3		64,835,000		64,556,858
Cigna Holding Co.
3.05%		10/15/27			68,506,000		64,984,655
CVS Health Corp.
2.13%		06/01/21			14,355,000		14,115,404
3.35%		03/09/21			19,122,000		19,274,938
3.88%		07/20/25			27,753,000		28,104,018
4.00%		12/05/23			42,053,000		43,181,328
4.13%		05/15/21			15,235,000		15,614,425
4.30%		03/25/28			122,985,000		124,727,438
4.78%		03/25/38			39,706,000		39,378,888
4.88%		07/20/35			32,450,000		32,738,059
5.05%		03/25/48			111,205,000		112,197,445
Elanco Animal Health, Inc.
3.91%		08/27/21	³		19,750,000		20,087,465
4.27%		08/28/23	³		6,000,000		6,187,217
4.90%		08/28/28	³		11,850,000		12,591,528
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	³		3,850,000		3,896,246
5.63%		07/31/19	³		143,484,000		144,418,335
Gilead Sciences, Inc.
4.00%		09/01/36			15,800,000		15,530,549
4.50%		02/01/45			10,005,000		10,066,616
HCA, Inc.
4.25%		10/15/19			9,790,000		9,841,543
5.00%		03/15/24			36,635,000		38,882,774
5.25%		04/15/25			16,141,000		17,354,342
5.25%		06/15/26			2,652,000		2,847,585
5.38%		02/01/25			15,268,000		16,222,250
5.88%		05/01/23			1,600,000		1,710,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.88%		02/01/29		$	6,024,000	$	6,498,089
6.50%		02/15/20			42,247,000		43,493,287
Hologic, Inc.
4.63%		02/01/28	³		7,768,000		7,554,380
Kaiser Foundation Hospitals
4.15%		05/01/47			11,560,000		12,272,200
Merck & Co., Inc.
3.40%		03/07/29			3,440,000		3,533,457
Molina Healthcare, Inc.
4.88%		06/15/25	³		12,149,000		12,057,883
5.38%		11/15/22			14,588,000		15,135,050
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26			6,845,000		6,507,258
Shire Acquisitions Investments Ireland DAC (Ireland)
2.40%		09/23/21	¹		101,992,000		100,780,159
3.20%		09/23/26	¹		7,645,000		7,398,839
Teleflex, Inc.
4.63%		11/15/27			4,186,000		4,154,605
Tenet Healthcare Corp.
4.50%		04/01/21			18,503,000		18,849,931
4.75%		06/01/20			5,798,000		5,870,475
6.00%		10/01/20			11,750,000		12,205,313
Teva Pharmaceutical Finance IV LLC
2.25%		03/18/20			18,465,000		18,180,067
Teva Pharmaceutical Finance
Netherlands III BV (Netherlands)
1.70%		07/19/19	¹		16,750,000		16,660,136
UnitedHealth Group, Inc.
3.95%		10/15/42			4,907,000		4,964,338
4.25%		03/15/43			10,125,000		10,661,130
4.75%		07/15/45			37,058,000		41,818,171
WellCare Health Plans, Inc.
5.25%		04/01/25			7,525,000		7,816,594
5.38%		08/15/26	³		282,000		296,100
Zimmer Biomet Holdings, Inc.
2.70%		04/01/20			250,000		249,125
(LIBOR USD 3-Month plus 0.75%)
3.38%		03/19/21	²		16,850,000		16,799,222


							2,890,281,248

Industrials — 1.54%
Amcor Finance USA, Inc.
3.63%		04/28/26	³		11,781,000		11,561,514
4.50%		05/15/28	³		4,210,000		4,425,621
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
6.00%		02/15/25	^1,3		3,090,000		3,097,725
7.25%		05/15/24	^1,3		30,850,000		32,614,620


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
BAE Systems Holdings, Inc.
6.38%		06/01/19	³	$	45,190,000	$	45,417,238
Ball Corp.
4.00%		11/15/23			9,502,000		9,608,897
Bemis Co., Inc.
6.80%		08/01/19			7,415,000		7,510,141
Berry Global, Inc.
4.50%		02/15/26	³		1,454,000		1,385,226
5.13%		07/15/23			3,836,000		3,914,063
Clean Harbors, Inc.
5.13%		06/01/21			24,390,000		24,511,950
Crown Americas LLC/Crown Americas Capital Corp. V
4.25%		09/30/26			3,847,000		3,731,590
General Electric Co.
2.70%		10/09/22			27,420,000		26,916,720
General Electric Co. (GMTN)
2.20%		01/09/20			73,419,000		72,960,096
3.15%		09/07/22			7,508,000		7,484,901
4.63%		01/07/21			90,088,000		92,448,179
5.50%		01/08/20			34,772,000		35,415,014
General Electric Co. (MTN)
4.38%		09/16/20			5,815,000		5,929,715
4.65%		10/17/21			106,992,000		110,934,655
5.55%		05/04/20			38,121,000		39,162,256
5.55%		01/05/26			104,629,000		112,194,043
5.88%		01/14/38			52,985,000		56,520,549
(LIBOR USD 3-Month plus 0.48%)
3.16%		08/15/36	²		11,550,000		8,836,559
General Electric Co., Series A (MTN)
6.75%		03/15/32			18,098,000		20,917,664
General Electric Co., Series NOTZ (MTN)
(LIBOR USD 3-Month plus 0.80%)
3.59%		04/15/20	²		5,250,000		5,244,078
Graphic Packaging International LLC
4.13%		08/15/24			3,250,000		3,193,125
4.88%		11/15/22			5,635,000		5,761,787
L3 Technologies, Inc.
3.85%		06/15/23			91,875,000		94,767,335
4.40%		06/15/28			52,805,000		55,299,011
Northrop Grumman Corp.
3.20%		02/01/27			11,895,000		11,720,144
3.25%		01/15/28			38,605,000		37,997,756
OI European Group BV (Netherlands)
4.00%		03/15/23	^1,3		3,364,000		3,309,335
Sealed Air Corp.
4.88%		12/01/22	³		6,050,000		6,261,750
5.13%		12/01/24	³		3,255,000		3,388,325
5.25%		04/01/23	³		4,088,000		4,261,740
5.50%		09/15/25	³		14,156,000		14,937,411


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Silgan Holdings, Inc.
4.75%		03/15/25		$	3,558,000	$	3,509,077
United Technologies Corp.
4.13%		11/16/28			4,055,000		4,216,567
4.50%		06/01/42			3,512,000		3,636,359
8.75%		03/01/21			7,320,000		8,080,770
(LIBOR USD 3-Month plus 0.65%)
3.33%		08/16/21	²		33,525,000		33,547,400
WestRock MWV LLC
7.38%		09/01/19			11,000,000		11,195,423
WestRock RKT LLC
3.50%		03/01/20			10,120,000		10,170,710
WRKCo, Inc.
4.65%		03/15/26			24,935,000		26,445,459
4.90%		03/15/29			25,375,000		27,531,110


							1,111,973,608

Information Technology — 0.16%
Analog Devices, Inc.
2.85%		03/12/20			240,000		240,147
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%		01/15/20			7,584,000		7,545,579
Change Healthcare Holdings LLC/Change
Healthcare Finance, Inc.
5.75%		03/01/25	³		25,880,000		25,505,516
IQVIA, Inc.
5.00%		10/15/26	³		5,326,000		5,442,373
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^1,3		4,600,000		4,663,887
4.13%		06/01/21	^1,3		14,665,000		14,983,231
SS&C Technologies, Inc.
5.50%		09/30/27	³		42,938,000		43,447,889
Zayo Group LLC/Zayo Capital, Inc.
5.75%		01/15/27	³		16,815,000		16,820,045


							118,648,667

Insurance — 0.44%
Allstate Corp. (The)
(LIBOR USD 3-Month plus 0.43%)
3.03%		03/29/21	²		8,740,000		8,733,312
Berkshire Hathaway Finance Corp.
4.20%		08/15/48			51,261,000		53,410,220
4.25%		01/15/49			12,225,000		12,814,526
4.30%		05/15/43			6,290,000		6,621,282
4.40%		05/15/42			4,982,000		5,361,449
Farmers Exchange Capital
7.05%		07/15/28	³		13,283,000		15,275,319
7.20%		07/15/48	³		18,265,000		21,449,923


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Farmers Exchange Capital II
6.15%		11/01/53	^3,8	$	64,140,000	$	67,135,146
Farmers Exchange Capital III
5.45%		10/15/54	^3,8		72,575,000		71,123,500
Farmers Insurance Exchange
4.75%		11/01/57	^3,8		19,580,000		16,971,063
Nationwide Mutual Insurance Co.
4.90%		12/15/24	^3,8		18,189,000		18,098,055
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^3,8		19,825,000		20,397,863


							317,391,658

Materials — 0.22%
Axalta Coating Systems LLC
4.88%		08/15/24	³		13,543,000		13,644,573
Indonesia Asahan Aluminum Persero PT (Indonesia)
6.53%		11/15/28	^1,3		4,000,000		4,574,044
International Flavors & Fragrances, Inc.
5.00%		09/26/48			103,144,000		108,303,314
SASOL Financing USA LLC
5.88%		03/27/24			8,420,000		8,935,725
Valvoline, Inc.
4.38%		08/15/25			16,105,000		15,460,800
5.50%		07/15/24			6,995,000		7,143,994


							158,062,450

Real Estate Investment Trust (REIT) — 1.62%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26			15,104,900		15,334,442
3.90%		06/15/23			6,174,000		6,383,484
4.60%		04/01/22			32,455,000		34,064,672
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			14,995,000		15,036,529
3.63%		11/15/27			7,095,000		6,950,707
3.75%		04/15/23			43,679,000		44,300,683
4.13%		07/01/24			4,095,000		4,192,916
AvalonBay Communities, Inc. (GMTN)
3.95%		01/15/21			6,025,000		6,132,121
AvalonBay Communities, Inc. (MTN)
(LIBOR USD 3-Month plus 0.43%)
3.22%		01/15/21	²		60,530,000		60,113,058
Boston Properties LP
2.75%		10/01/26			58,327,000		55,316,861
3.20%		01/15/25			72,105,000		71,577,083
4.50%		12/01/28			5,260,000		5,587,705
CC Holdings GS V LLC/Crown Castle GS III Corp.
3.85%		04/15/23			12,849,000		13,169,576


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Digital Realty Trust LP
3.63%		10/01/22		$	5,490,000	$	5,569,610
GLP Capital LP/GLP Financing II, Inc.
4.38%		04/15/21			13,411,000		13,636,439
4.88%		11/01/20			19,699,000		20,088,419
5.25%		06/01/25			58,420,000		61,341,000
5.30%		01/15/29			25,900,000		27,279,693
5.38%		11/01/23			16,575,000		17,443,199
5.38%		04/15/26			63,032,000		66,019,717
5.75%		06/01/28			34,128,000		36,771,214
HCP, Inc.
3.15%		08/01/22			10,530,000		10,532,538
3.88%		08/15/24			24,274,000		24,847,243
4.00%		12/01/22			55,563,000		57,080,225
4.20%		03/01/24			20,709,000		21,501,020
4.25%		11/15/23			77,695,000		80,866,238
Healthcare Realty Trust, Inc.
3.75%		04/15/23			12,755,000		12,845,691
Healthcare Trust of America Holdings LP
3.75%		07/01/27			18,945,000		18,586,419
Host Hotels & Resorts LP
5.25%		03/15/22			20,960,000		21,961,143
Hudson Pacific Properties LP
3.95%		11/01/27			2,000,000		1,937,746
4.65%		04/01/29			9,585,000		9,783,450
Kilroy Realty LP
3.45%		12/15/24			24,005,000		23,771,599
Liberty Property LP
3.38%		06/15/23			9,128,000		9,197,369
Life Storage LP
3.88%		12/15/27			6,960,000		6,836,589
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.50%		01/15/28			1,292,000		1,220,940
Mid-America Apartments LP
4.30%		10/15/23			9,636,000		10,041,807
Reckson Operating Partnership LP
7.75%		03/15/20			26,913,000		28,050,088
SBA Communications Corp.
4.88%		09/01/24			2,494,000		2,525,175
SL Green Operating Partnership LP
3.25%		10/15/22			44,126,000		43,919,292
(LIBOR USD 3-Month plus 0.98%)
3.66%		08/16/21	²		21,635,000		21,544,742
SL Green Realty Corp.
4.50%		12/01/22			14,495,000		14,993,286
UDR, Inc.
3.70%		10/01/20			7,263,000		7,339,406


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Ventas Realty LP
3.25%		10/15/26		$	10,135,000	$	9,844,582
3.50%		02/01/25			22,540,000		22,566,382
3.75%		05/01/24			14,555,000		14,913,868
4.13%		01/15/26			20,800,000		21,371,245
Ventas Realty LP/Ventas Capital Corp.
2.70%		04/01/20			29,128,000		29,070,396
3.25%		08/15/22			7,357,000		7,413,547
WEA Finance LLC
3.15%		04/05/22	³		5,180,000		5,198,069
Welltower, Inc.
4.00%		06/01/25			27,119,000		27,913,951
4.95%		09/01/48			12,285,000		12,971,405


							1,166,954,579

Retail — 0.26%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^1,3		3,923,000		3,883,837
3.55%		07/26/27	^1,3		9,610,000		9,386,135
Cumberland Farms, Inc.
6.75%		05/01/25	³		3,771,000		3,935,981
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.47%		04/17/20	²		40,895,000		40,904,420
Family Dollar Stores, Inc.
5.00%		02/01/21			18,280,000		18,870,441
Rite Aid Corp.
6.13%		04/01/23	³		57,373,000		47,547,874
Walgreens Boots Alliance, Inc.
3.45%		06/01/26			39,735,000		38,924,644
3.80%		11/18/24			10,635,000		10,807,468
4.80%		11/18/44			13,454,000		12,832,802


							187,093,602

Services — 0.31%
DP World Crescent Ltd. (Cayman Islands)
4.85%		09/26/28	^1,3		6,600,000		6,909,705
Gartner, Inc.
5.13%		04/01/25	³		1,488,000		1,507,642
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,3		29,548,000		29,592,322
4.13%		08/01/23	¹		38,500,000		39,311,965
4.75%		02/15/25	^1,3		34,276,000		35,766,663
4.75%		08/01/28	¹		7,632,000		7,994,978
5.00%		11/01/22	^1,3		59,254,000		62,115,968
Matthews International Corp.
5.25%		12/01/25	³		11,682,000		11,287,733
Moody’s Corp.
3.25%		06/07/21			6,095,000		6,143,568


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Services (continued)
Northwestern University
3.69%		12/01/38		$	18,720,000	$	19,047,284
Service Corp. International/U.S.
4.63%		12/15/27			1,922,000		1,917,195


							221,595,023

Transportation — 0.57%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21			5,396,809		5,629,951
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21			1,951,920		2,009,697
American Airlines Pass-Through Trust,
Series 2013-1, Class A
4.00%		07/15/25			14,318,685		14,534,074
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23			52,542,882		54,348,597
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%		10/15/29			19,405,266		19,022,982
Continental Airlines Pass-Through Trust,
Series 1999-2 AMBC, Class C2
6.24%		03/15/20			5,711		5,783
Continental Airlines Pass-Through Trust,
Series 1999-2, Class A
7.26%		03/15/20			478,085		484,826
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			7,863		8,116
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%		04/02/21			1,250,661		1,312,618
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			62,092,127		65,383,010
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			540,695		558,944
Continental Airlines Pass-Through Trust,
Series 2009-2, Class A
7.25%		11/10/19			27,853,069		28,514,579
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			32,770,488		34,902,176
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			3,263,305		3,504,790
SMBC Aviation Capital Finance DAC (Ireland)
3.00%		07/15/22	^1,3		20,315,000		20,077,934


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21		$	457,092	$	481,120
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			17,493,583		18,760,801
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			3,258,017		3,590,480
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			40,871,560		44,203,777
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25			9,800		10,186
Union Pacific Corp.
3.95%		09/10/28			42,265,000		44,494,800
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%		08/15/25			14,649,378		15,217,683
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%		03/01/30			34,317,021		34,008,167


							411,065,091

Total Corporates
(Cost $18,505,328,800)							18,775,816,328


FOREIGN GOVERNMENT OBLIGATIONS — 0.15%
Foreign Government Obligations — 0.15%
Argentine Republic Government International Bond (Argentina)
6.88%		04/22/21	¹		9,240,000		8,459,220
Bahrain Government International Bond, Series REGS (Bahrain)
7.00%		10/12/28	¹		4,700,000		5,064,250
Brazilian Government International Bond
(Brazil)
4.63%		01/13/28	¹		5,700,000		5,755,632
Colombia Government International Bond
(Colombia)
4.00%		02/26/24	¹		4,700,000		4,855,100
Dominican Republic International Bond,
Series REGS (Dominican Republic)
6.60%		01/28/24	¹		8,420,000		9,119,702
Egypt Government International Bond
(Egypt)
5.58%		02/21/23	^1,3		4,700,000		4,676,030
Mexico Government International Bond
(Mexico)
3.75%		01/11/28	¹		7,500,000		7,405,500

Issues

Maturity
Date

Principal
Amount

Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)

Oman Government International Bond

(Oman)

5.63%

01/17/28

^1,3

9,400,000

8,847,750

Perusahaan Penerbit SBSN Indonesia III,

Series REGS (Indonesia)

4.15%

03/29/27

5,100,000

5,168,544

Qatar Government International Bond

(Qatar)

4.50%

04/23/28

8,430,000

9,051,713

Russian Foreign Bond - Eurobond,

Series REGS (Russia)

4.75%

05/27/26

9,400,000

9,700,800

Saudi Government International Bond,

Series REGS (EMTN) (Saudi Arabia)

4.50%

10/26/46

3,800,000

3,724,000

Saudi Government International Bond

(Saudi Arabia)

4.00%

04/17/25

^1,3

8,420,000

8,634,710

South Africa Government International Bond

(South Africa)

4.67%

01/17/24

7,500,000

7,584,375

Uruguay Government International Bond

(Uruguay)

4.38%

10/27/27

6,570,000

6,933,321

Total Foreign Government Obligations

(Cost $102,651,304)

104,980,647

MORTGAGE-BACKED — 38.66%**

Non-Agency Commercial

Mortgage-Backed — 1.67%

225 Liberty Street Trust,

Series 2016-225L, Class A

3.60%

02/10/36

63,710,000

65,568,739

Banc of America Merrill Lynch Commercial

Mortgage Trust, Series 2018-PARK, Class A

4.09%

08/10/38

^3,8

122,855,000

131,640,484

Banc of America Merrill Lynch Trust,

Series 2011-FSHN, Class A

4.42%

07/11/33

7,740,000

7,954,452

Bayview Commercial Asset Trust,

Series 2004-1, Class A

(LIBOR USD 1-Month plus 0.54%)

3.03%

04/25/34

^2,3

27,727

27,537

Bayview Commercial Asset Trust,

Series 2004-2, Class A

(LIBOR USD 1-Month plus 0.43%)

2.92%

08/25/34

^2,3

261,644

257,873

BB-UBS Trust, Series 2012-SHOW, Class A

3.43%

11/05/36

8,640,000

8,781,221

CALI Mortgage Trust, Series 2019-101C, Class A


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
3.96%		03/10/39	³	$	80,200,000	$	84,597,526
CALI Mortgage Trust, Series 2019-101C,
Class XA (IO)
0.44%		03/10/39	^3,8		272,551,000		7,364,423
Capmark Mortgage Securities, Inc., Series
1998-C2, Class X (IO)
1.09%		05/15/35	⁸		2,897,193		8,842
CGRBS Commercial Mortgage Trust,
Series 2013-VN05, Class A
3.37%		03/13/35	³		42,582,744		43,230,204
Citigroup Commercial Mortgage Trust,
Series 2013-375P, Class A
3.25%		05/10/35	³		5,000		5,064
Commercial Mortgage Trust,
Series 2013-300P, Class A1
4.35%		08/10/30	³		14,635,000		15,457,695
Commercial Mortgage Trust,
Series 2013-CR12, Class A4
4.05%		10/10/46			440,000		460,199
Commercial Mortgage Trust,
Series 2013-SFS, Class A2
2.99%		04/12/35	^3,8		7,205,000		7,236,433
Commercial Mortgage Trust,
Series 2014-277P, Class A
3.61%		08/10/49	^3,8		15,960,000		16,584,964
Commercial Mortgage Trust,
Series 2015-3BP, Class A
3.18%		02/10/35	³		16,440,000		16,635,350
Commercial Mortgage Trust,
Series 2016-787S, Class A
3.55%		02/10/36	³		74,550,000		76,278,643
Core Industrial Trust, Series 2015-CALW, Class A
3.04%		02/10/34	³		45,744,931		46,162,354
Core Industrial Trust, Series 2015-TEXW, Class A
3.08%		02/10/34	³		3,051,927		3,076,284
DBUBS Mortgage Trust, Series 2011-LC1A, Class A2
4.53%		11/10/46	³		1,070,268		1,071,325
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class A
3.55%		09/10/35	^3,8		1,362,500		1,401,662
GE Business Loan Trust, Series 2007-1A, Class A
(LIBOR USD 1-Month plus 0.17%)
2.65%		04/15/35	^2,3		6,784,709		6,657,736
GRACE Mortgage Trust,
Series 2014-GRCE, Class A
3.37%		06/10/28	³		73,520,000		74,481,958


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
GS Mortgage Securities Corp. II,
Series 2013-KING, Class A
2.71%		12/10/27	³	$	7,223,016	$	7,212,484
GS Mortgage Securities Trust,
Series 2010-C2, Class A1
3.85%		12/10/43	³		2,491,295		2,509,468
GS Mortgage Securities Trust,
Series 2011-GC5, Class A4
3.71%		08/10/44			67,335,000		68,466,440
GS Mortgage Securities Trust,
Series 2012-ALOH, Class A
3.55%		04/10/34	³		59,497,000		60,642,936
Irvine Core Office Trust, Series 2013-IRV,
Class A1
2.07%		05/15/48	³		6,186,268		6,100,907
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2006-LDP9,
Class A3S
5.24%		05/15/47	³		407,126		405,564
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C5,
Class A3
4.17%		08/15/46			31,209,282		32,104,400
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-HSBC,
Class A
3.09%		07/05/32	³		41,323,309		41,726,625
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 2A3
5.62%		03/25/37	^3,8		2,249,399		2,238,280
Morgan Stanley Capital I Trust,
Series 2014-CPT, Class A
3.35%		07/13/29	³		975,000		988,009
Morgan Stanley Capital I Trust,
Series 2014-MP, Class A
3.47%		08/11/33	³		94,742,500		96,170,629
Morgan Stanley Capital I Trust,
Series 2015-420, Class A
3.73%		10/12/50	³		1,065,000		1,089,891
Queens Center Mortgage Trust,
Series 2013-QCA, Class A
3.28%		01/11/37	³		15,810,000		15,976,463
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.83%		01/15/32	^3,8		103,085,000		106,180,127
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class A1
3.87%		01/05/43	^3,8		20,040,000		20,206,873
VNDO Mortgage Trust, Series 2012-6AVE, Class A
3.00%		11/15/30	³		29,803,200		30,028,578
Wells Fargo Commercial Mortgage Trust,
Series 2010-C1, Class A2
4.39%		11/15/43	³		900,000		913,708

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial

Mortgage-Backed (continued)

Wells Fargo Commercial Mortgage Trust,

Series 2013-120B, Class A

2.71%

03/18/28

^3,8

49,280,000

49,053,953

WF-RBS Commercial Mortgage Trust,

Series 2010-C8, Class A3

3.00%

08/15/45

47,205,000

47,523,242

WF-RBS Commercial Mortgage Trust,

Series 2011-C4, Class A3

4.39%

06/15/44

61,337

61,355

1,204,540,900

Non-Agency Mortgage-Backed — 6.46%

Aames Mortgage Trust,

Series 2002-1, Class A3

(STEP-reset date 05/25/19)

7.40%

06/25/32

46,235

46,166

Accredited Mortgage Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 1-Month plus 0.22%)

2.71%

02/25/37

46,525,000

45,782,940

ACE Securities Corp. Home Equity Loan

Trust, Series 2004-IN1, Class A1

(LIBOR USD 1-Month plus 0.64%)

3.13%

05/25/34

4,181

4,091

ACE Securities Corp. Home Equity Loan

Trust, Series 2006-HE3, Class A2C

(LIBOR USD 1-Month plus 0.15%)

2.64%

06/25/36

3,529,706

2,841,445

ACE Securities Corp. Home Equity Loan

Trust, Series 2007-ASAP2, Class A1

(LIBOR USD 1-Month plus 0.19%)

2.68%

06/25/37

46,965,237

38,280,928

Adjustable Rate Mortgage Trust,

Series 2005-10, Class 6A1

(LIBOR USD 1-Month plus 0.54%)

3.03%

01/25/36

328,536

311,523

Adjustable Rate Mortgage Trust,

Series 2005-5, Class 6A21

(LIBOR USD 1-Month plus 0.23%)

2.72%

09/25/35

434,344

435,091

Adjustable Rate Mortgage Trust,

Series 2006-3, Class 4A32

(LIBOR USD 1-Month plus 0.20%)

2.69%

08/25/36

10,517,110

10,404,433

American Home Mortgage Assets Trust,

Series 2006-3, Class 2A12

(Federal Reserve US 12-Month Cumulative

Average plus 1.15%)

3.55%

10/25/46

49,945,052

44,890,303

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

American Home Mortgage Assets Trust,

Series 2007-2, Class A1

(LIBOR USD 1-Month plus 0.13%)

2.61%

03/25/47

16,303,078

14,976,250

American Home Mortgage Investment Trust,

Series 2004-3, Class 2A

(LIBOR USD 6-Month plus 1.50%)

4.31%

10/25/34

6,639,092

6,551,545

Ameriquest Mortgage Securities Trust,

Series 2006-R1, Class M1

(LIBOR USD 1-Month plus 0.39%)

2.88%

03/25/36

19,156,879

19,127,843

Ameriquest Mortgage Securities, Inc.,

Asset-Backed Pass-Through Certificates,

Series 2004-R10, Class A1

(LIBOR USD 1-Month plus 0.66%)

3.15%

11/25/34

28,418,440

28,218,310

Ameriquest Mortgage Securities, Inc.,

Asset-Backed Pass-Through Certificates,

Series 2005-R11, Class M1

(LIBOR USD 1-Month plus 0.45%)

2.94%

01/25/36

16,496,786

16,577,843

Amresco Residential Securities Corp.

Mortgage Loan Trust, Series 1998-1,

Class A5 (STEP-reset date 05/25/19)

7.22%

10/25/27

49,597

50,655

Argent Securities, Inc., Asset-Backed

Pass-Through Certificates Series 2005-W3,

Class M1

(LIBOR USD 1-Month plus 0.44%)

2.93%

11/25/35

19,840,000

19,571,575

Argent Securities, Inc., Asset-Backed

Pass-Through Certificates, Series 2004-W6,

Class AV2

(LIBOR USD 1-Month plus 0.90%)

3.39%

05/25/34

13,032,702

13,019,386

Argent Securities, Inc., Asset-Backed

Pass-Through Certificates, Series 2005-W2,

Class A1

(LIBOR USD 1-Month plus 0.26%)

2.75%

10/25/35

12,756,721

12,773,675

Argent Securities, Inc., Asset-Backed

Pass-Through Certificates, Series 2005-W3,

Class A1

(LIBOR USD 1-Month plus 0.26%)

2.75%

11/25/35

32,616,564

32,391,828

Asset-Backed Funding Certificates,

Series 2005-HE1, Class M1

(LIBOR USD 1-Month plus 0.63%)

3.12%

03/25/35

8,591,455

8,605,232

Asset-Backed Funding Certificates,

Series 2006-OPT3, Class A3B

(LIBOR USD 1-Month plus 0.16%)

2.65%

11/25/36

23,011,509

13,241,372

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%)

3.49%

06/25/37

23,763,830

20,313,507

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE5, Class A1

(LIBOR USD 1-Month plus 0.13%)

2.61%

07/25/36

16,561,966

16,378,707

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE6, Class A5

(LIBOR USD 1-Month plus 0.23%)

2.72%

11/25/36

18,411,000

17,400,844

Banc of America Funding Trust,

Series 2003-2, Class 1A1

6.50%

06/25/32

19,735

21,005

Banc of America Funding Trust,

Series 2006-D, Class 3A1

3.93%

05/20/36

⁸

5,972,478

5,807,050

Banc of America Funding Trust,

Series 2006-E, Class 2A1

4.25%

06/20/36

⁸

88,290

86,406

Banc of America Funding Trust,

Series 2006-G, Class 2A1

(LIBOR USD 1-Month plus 0.22%)

2.71%

07/20/36

5,986,826

5,971,302

Banc of America Funding Trust,

Series 2006-H, Class 3A1

4.25%

09/20/46

⁸

1,590,394

1,473,321

Banc of America Funding Trust,

Series 2014-R8, Class A1

(LIBOR USD 1-Month plus 0.24%)

2.73%

06/26/36

^2,3

6,393,074

6,374,873

Banc of America Funding Trust,

Series 2015-R2, Class 1A1

(LIBOR USD 1-Month plus 0.14%)

2.63%

08/27/36

^2,3

29,936,162

29,506,195

Banc of America Funding Trust,

Series 2015-R2, Class 3A1

(LIBOR USD 1-Month plus 0.26%)

2.75%

04/29/37

^2,3

13,680,129

13,566,006

Banc of America Funding Trust,

Series 2015-R2, Class 7A1

(LIBOR USD 1-Month plus 0.28%)

2.77%

09/29/36

^2,3

9,957,091

9,954,514

Banc of America Funding Trust,

Series 2015-R2, Class 9A1

(LIBOR USD 1-Month plus 0.22%)

2.70%

03/27/36

^2,3

6,183,358

6,159,762


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust,
Series 2015-R5, Class 1A1
(LIBOR USD 1-Month plus 0.13%)
2.62%		10/26/36	^2,3	$	36,873,728	$	36,485,012
Banc of America Funding Trust,
Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)
2.62%		10/26/36	^2,3		42,536,000		41,090,890
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%		03/25/40	^3,8		32,889,054		32,271,608
Banc of America Mortgage Securities, Inc.,
Series 2004-F, Class 1A1
4.49%		07/25/34	⁸		51,051		52,378
Banc of America Mortgage Securities, Inc.,
Series 2005-C, Class 2A2
4.36%		04/25/35	⁸		459,988		455,809
Banc of America Mortgage Securities, Inc.,
Series 2006-2, Class A2
(0.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
6.00%		07/25/46	²		183,719		175,258
Banc of America Mortgage Securities, Inc.,
Series 2007-1, Class 1A24
6.00%		03/25/37			793,427		737,641
Banc of America Mortgage Securities, Inc.,
Series 2007-3, Class 1A1
6.00%		09/25/37			479,977		462,740
BCAP LLC Trust, Series 2007-AA2,
Class 2A5
6.00%		04/25/37			315,644		250,723
BCAP LLC Trust, Series 2007-AA5,
Class A1
(LIBOR USD 1-Month plus 0.65%)
3.14%		09/25/47	²		25,056,611		23,555,843
BCAP LLC Trust, Series 2011-RR3,
Class 5A3
3.69%		11/27/37	^3,8		1,753,269		1,754,750
BCAP LLC Trust, Series 2015-RR2,
Class 26A1
4.95%		03/28/36	^3,8		3,496,633		3,524,511
Bear Stearns ALT-A Trust, Series 2005-4,
Class 22A2
4.30%		05/25/35	⁸		21,791		20,063
Bear Stearns ALT-A Trust, Series 2005-7,
Class 11A1
(LIBOR USD 1-Month plus 0.54%)
3.03%		08/25/35	²		391,327		391,443
Bear Stearns ALT-A Trust, Series 2006-4,
Class 32A1
4.03%		07/25/36	⁸		2,082,875		1,778,716
Bear Stearns ARM Trust, Series 2004-1,
Class 13A2
4.66%		04/25/34	⁸		8,838		8,848

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Bear Stearns ARM Trust, Series 2004-10,

Class 14A1

4.46%

01/25/35

⁸

3,284,347

3,267,589

Bear Stearns ARM Trust, Series 2006-4,

Class 2A1

4.13%

10/25/36

⁸

629,224

590,239

Bear Stearns Asset-Backed Securities I

Trust, Series 2005-AC5, Class 2A3

(LIBOR USD 1-Month plus 0.25%)

2.74%

08/25/20

1,672,275

1,140,069

Bear Stearns Asset-Backed Securities I

Trust, Series 2006-AC2, Class 21A3

6.00%

03/25/36

779,101

868,620

Bear Stearns Asset-Backed Securities I

Trust, Series 2006-HE9, Class 3A

(LIBOR USD 1-Month plus 0.14%)

2.63%

11/25/36

9,187,293

8,435,820

Bear Stearns Asset-Backed Securities Trust,

Series 2003-AC7, Class A1

(STEP-reset date 05/25/19)

5.50%

01/25/34

727,710

733,830

Bear Stearns Asset-Backed Securities Trust,

Series 2003-AC7, Class A2

(STEP-reset date 05/25/19)

5.75%

01/25/34

656,080

662,403

Bear Stearns Mortgage Funding Trust,

Series 2006-AR3, Class 1A1

(LIBOR USD 1-Month plus 0.18%)

2.67%

10/25/36

2,370,055

2,227,410

Bear Stearns Mortgage Funding Trust,

Series 2007-AR5, Class 1A1A

(LIBOR USD 1-Month plus 0.17%)

2.66%

06/25/47

615,850

583,342

Carrington Mortgage Loan Trust,

Series 2005-NC5, Class M1

(LIBOR USD 1-Month plus 0.48%)

2.97%

10/25/35

597,657

598,970

Carrington Mortgage Loan Trust,

Series 2006-NC1, Class A4

(LIBOR USD 1-Month plus 0.31%)

2.80%

01/25/36

75,065,624

74,950,601

Centex Home Equity Loan Trust,

Series 2006-A, Class AV4

(LIBOR USD 1-Month plus 0.25%)

2.74%

06/25/36

9,486,296

9,449,043

Chase Funding Trust,

Series 2003-5, Class 2A2

(LIBOR USD 1-Month plus 0.60%)

3.09%

07/25/33

3,059

2,912


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chase Funding Trust,
Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)
2.99%		02/26/35	²	$	5,668	$	5,478
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2
4.06%		09/25/36	⁸		894,313		835,657
Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1
5.50%		11/25/21			1,839,976		1,298,619
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
4.51%		07/25/37	⁸		2,400,405		2,468,438
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%		05/25/20			811,755		748,237
Chaseflex Trust, Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)
2.69%		09/25/36	²		8,804,055		7,323,624
CIM Trust, Series 2016-4, Class A1
(LIBOR USD 1-Month plus 2.00%)
4.49%		10/25/57	^2,3		255,768,971		266,160,135
CIM Trust, Series 2017-5, Class A1
2.30%		05/25/57	^3,8		6,832,443		6,783,773
CIM Trust, Series 2017-8, Class A1
3.00%		12/25/65	^3,8		135,070,273		133,287,535
CIM Trust, Series 2018-R1, Class A1
3.65%		05/25/55	³		114,829,385		113,240,675
CIM Trust, Series 2018-R2, Class A1
3.69%		08/25/57	^3,8		89,501,557		89,217,219
CIM Trust, Series 2018-R4, Class A1
4.07%		12/26/57	^3,8		62,251,274		61,992,651
CIM Trust, Series 2018-R5, Class A1
3.75%		07/25/58	^3,8		155,294,893		155,400,851
CIM Trust, Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
3.57%		09/25/58	^2,3		129,114,774		128,266,954
CIT Mortgage Loan Trust, Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
3.84%		10/25/37	^2,3		62,546,915		63,261,933
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%		02/25/35			240,150		245,014
Citicorp Residential Mortgage Trust, Series 2006-2, Class A5
(STEP-reset date 05/25/19)
5.41%		09/25/36			438,474		444,355
Citicorp Residential Mortgage Trust, Series 2007-1, Class A5
(STEP-reset date 05/25/19)
5.35%		03/25/37			650,000		681,378

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-HYB1, Class A41

4.18%

02/25/34

⁸

129,687

127,331

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-RR2, Class A2

4.34%

05/25/34

^3,8

1,912,855

1,975,868

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-5, Class 3A2A

4.34%

10/25/35

⁸

691,288

527,072

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-9, Class 1A1

(LIBOR USD 1-Month plus 0.26%)

2.75%

11/25/35

178,287

144,327

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-WFH1, Class A4

(LIBOR USD 1-Month plus 0.20%)

2.69%

01/25/37

43,074

43,259

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-WFH3, Class A3

(LIBOR USD 1-Month plus 0.25%)

2.74%

06/25/37

671,146

664,619

Citigroup Mortgage Loan Trust,

Series 2006-HE1, Class M2

(LIBOR USD 1-Month plus 0.51%)

3.00%

01/25/36

1,977,843

1,983,182

Citigroup Mortgage Loan Trust,

Series 2006-AR2, Class 1A1

4.82%

03/25/36

⁸

15,254,187

14,514,786

Citigroup Mortgage Loan Trust,

Series 2006-AR3, Class 1A2A

4.22%

06/25/36

⁸

4,588,443

4,433,611

Citigroup Mortgage Loan Trust,

Series 2006-HE2, Class M1

(LIBOR USD 1-Month plus 0.29%)

2.78%

08/25/36

305,000

301,164

Citigroup Mortgage Loan Trust,

Series 2006-WF2, Class A1

(STEP-reset date 05/25/19)

6.75%

05/25/36

45,807,673

33,787,350

Citigroup Mortgage Loan Trust,

Series 2007-6, Class 1A4A

3.44%

03/25/37

⁸

489,928

412,610

Citigroup Mortgage Loan Trust,

Series 2010-7, Class 2A1

4.64%

02/25/35

^3,8

29,431

29,663

Citigroup Mortgage Loan Trust,

Series 2012-3, Class 4A1

4.22%

11/25/36

^3,8

402,166

404,207

Citigroup Mortgage Loan Trust,

Series 2014-5, Class 2A2

(LIBOR USD 1-Month plus 1.75%)

4.03%

02/20/36

^2,3

16,312,955

15,942,843


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2014-6, Class 3A2
4.31%		11/25/35	^3,8	$	846,291	$	848,630
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
2.69%		06/25/47	^2,3		13,889,393		13,947,631
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
3.03%		03/25/47	^2,3		17,637,545		17,374,115
Citigroup Mortgage Loan Trust,
Series 2015-3, Class 1A1
(LIBOR USD 1-Month plus 0.27%)
3.03%		03/25/36	^2,3		6,525,372		6,471,995
Conseco Finance Corp., Series 1996-7, Class M1
7.70%		09/15/26	⁸		4,213,111		4,477,286
Conseco Finance Corp., Series 1998-2, Class A5
6.24%		12/01/28			14,871		15,077
Conseco Finance Corp., Series 1998-3, Class A6
6.76%		03/01/30			1,735,708		1,800,657
Conseco Finance Corp., Series 1998-6, Class A8
6.66%		06/01/30	⁸		2,224,101		2,311,492
Conseco Finance Home Equity Loan Trust,
Series 2002-C, Class BF2
8.00%		06/15/32	^3,8		216,028		222,788
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%		08/01/32	⁸		652,124		661,326
CountryPlace Manufactured Housing
Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^3,8		6,757,216		6,861,259
Countrywide Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%		11/25/31			9,030		9,620
Countrywide Alternative Loan Trust,
Series 2005-38, Class A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.50%)
3.90%		09/25/35	²		611,527		611,162
Countrywide Alternative Loan Trust,
Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.00%)
3.40%		02/25/36	²		53,876,714		52,172,259
Countrywide Alternative Loan Trust,
Series 2005-84, Class 1A1
3.98%		02/25/36	⁸		72,651		57,605

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Countrywide Alternative Loan Trust,

Series 2006-HY13, Class 4A1

4.47%

02/25/37

⁸

1,796,205

1,750,492

Countrywide Alternative Loan Trust,

Series 2006-OC5, Class 2A2A

(LIBOR USD 1-Month plus 0.17%)

2.66%

06/25/46

507,330

524,964

Countrywide Alternative Loan Trust,

Series 2007-J1, Class 2A1

(LIBOR USD 1-Month plus 0.20%)

2.69%

03/25/37

659,999

246,878

Countrywide Asset-Backed Certificates,

Series 2005-11, Class AF4

5.21%

03/25/34

⁸

5,618,950

5,655,725

Countrywide Asset-Backed Certificates,

Series 2005-13, Class AF4

5.81%

04/25/36

⁸

256,931

225,408

Countrywide Asset-Backed Certificates,

Series 2005-AB2, Class 1A1

(LIBOR USD 1-Month plus 0.46%)

2.95%

11/25/35

16,181,127

16,110,847

Countrywide Asset-Backed Certificates,

Series 2007-13, Class 2A2

(LIBOR USD 1-Month plus 0.80%)

3.29%

10/25/47

12,592,389

12,211,689

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2001-HYB1, Class 1A1

3.81%

06/19/31

⁸

10,277

10,322

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2003-J8, Class 1A4

5.25%

09/25/23

72,846

73,366

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-14, Class 4A1

3.80%

08/25/34

⁸

986,113

964,322

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-25, Class 1A1

(LIBOR USD 1-Month plus 0.66%)

3.15%

02/25/35

124,968

122,658

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-HYB3, Class 1A

4.32%

06/20/34

⁸

28,101

28,635

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-HYB4, Class 2A1

4.21%

09/20/34

⁸

1,109,897

1,082,545


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
4.52%		11/20/34	⁸	$	307,525	$	313,512
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-11, Class 1A2
5.00%		04/25/35	⁸		973,972		963,906
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-31, Class 2A3
3.87%		01/25/36	⁸		214,301		204,627
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
3.09%		05/25/35	²		4,284,227		3,956,492
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2007-HY5, Class 1A1
4.51%		09/25/47	⁸		1,064,070		1,037,360
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2007-HYB1, Class 1A1
3.45%		03/25/37	⁸		1,419,998		1,201,201
Credit Suisse First Boston Mortgage
Securities Corp., Series 2003-AR20, Class 2A4
4.24%		08/25/33	⁸		18,085		18,354
Credit Suisse First Boston Mortgage
Securities Corp., Series 2005-6, Class 8A1
4.50%		07/25/20			5,148		5,051
Credit Suisse First Boston Mortgage-Backed
Pass-Through Certificates, Series 2004-1, Class 2A1
6.50%		02/25/34			30,152		31,457
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2004-AR5, Class 6A1
4.29%		06/25/34	⁸		163,232		167,069
Credit Suisse Mortgage Capital,
Mortgage-Backed Trust,
Series 2006-2, Class 5A1
(LIBOR USD 1-Month plus 0.70%)
3.19%		03/25/36	²		4,001,459		2,156,807
Credit Suisse Mortgage Capital,
Mortgage-Backed Trust,
Series 2007-2, Class 3A4
5.50%		03/25/37			2,071,191		1,749,874
Credit Suisse Mortgage Capital,
Series 2010-17R, Class 1A1
4.47%		06/26/36	^3,8		207,800		209,470
Credit Suisse Mortgage Capital,
Series 2014-11R, Class 10A1
(LIBOR USD 1-Month plus 0.22%)
2.71%		05/27/37	^2,3		2,129,294		2,132,060

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Credit Suisse Mortgage Capital,

Series 2014-12R, Class 1A1

(LIBOR USD 1-Month plus 1.75%)

4.24%

08/27/36

^2,3

10,504,220

10,567,666

Credit Suisse Mortgage Capital,

Series 2015-1R, Class 5A1

4.48%

09/27/35

^3,8

4,540,121

4,561,660

Credit Suisse Mortgage Capital,

Series 2015-2R, Class 4A1

2.69%

06/27/47

^3,8

17,397,400

17,265,665

Credit Suisse Mortgage Capital,

Series 2015-6R, Class 2A1

(LIBOR USD 1-Month plus 0.20%)

2.69%

11/27/46

^2,3

9,926,910

9,629,171

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2,

Class A2C (STEP-reset date 05/25/19)

4.04%

02/25/37

36,802,343

28,195,924

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2,

Class A2D (STEP-reset date 05/25/19)

4.04%

02/25/37

26,944,794

20,638,185

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2,

Class A2E (STEP-reset date 05/25/19)

4.04%

02/25/37

4,899,869

3,753,780

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB1,

Class AF (STEP-reset date 05/25/19)

3.95%

01/25/33

14,157

14,359

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB4, Class M1

(LIBOR USD 1-Month plus 1.04%)

3.52%

03/25/33

3,279,293

3,275,433

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB5, Class M1

(LIBOR USD 1-Month plus 1.02%)

3.51%

11/25/33

84,100

82,738

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB8, Class A1

(LIBOR USD 1-Month plus 0.14%)

2.63%

10/25/36

17,426,962

15,493,062

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB9, Class A3

(LIBOR USD 1-Month plus 0.15%)

2.64%

11/25/36

31,636,692

19,849,234

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 AF4 (STEP-reset date 05/25/19)

3.57%

01/25/37

7,541,617

3,384,873

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB1,

Class AF5 (STEP-reset date 05/25/19)

3.57%

01/25/37

14,172,494

6,359,783

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A2

(LIBOR USD 1-Month plus 0.17%)

2.66%

04/25/37

30,478,624

23,167,217

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB7, Class A1

(LIBOR USD 1-Month plus 0.14%)

2.63%

10/25/36

57,987,238

44,625,024

CSAB Mortgage-Backed Trust,

Series 2006-4, Class A6B

(STEP-reset date 05/25/19)

5.78%

12/25/36

5,268,016

659,047

Deutsche ALT-A Securities Mortgage Loan

Trust, Series 2006-AR3, Class A1

(LIBOR USD 1-Month plus 0.19%)

2.68%

08/25/36

4,123,550

3,876,671

Deutsche ALT-A Securities Mortgage Loan

Trust, Series 2006-AR4, Class A1

(LIBOR USD 1-Month plus 0.13%)

2.62%

12/25/36

2,107,133

1,170,493

Deutsche ALT-A Securities Mortgage Loan

Trust, Series 2006-AR6, Class AR6

(LIBOR USD 1-Month plus 0.19%)

2.68%

02/25/37

821,806

744,332

Deutsche ALT-A Securities, Inc. Mortgage

Loan Trust, Series 2005-6, Class 1A7

5.50%

12/25/35

474,287

433,168

Deutsche ALT-A Securities, Inc. Mortgage

Loan Trust, Series 2006-AR1, Class 2A1

4.20%

02/25/36

⁸

1,167,815

1,022,460

DSLA Mortgage Loan Trust,

Series 2004-AR4, Class 2A1A

(LIBOR USD 1-Month plus 0.36%)

2.84%

01/19/45

2,605,657

2,440,040

DSLA Mortgage Loan Trust,

Series 2005-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.25%)

2.73%

02/19/45

404,381

398,093

DSLA Mortgage Loan Trust,

Series 2005-AR3, Class 2A1A

(LIBOR USD 1-Month plus 0.24%)

2.72%

07/19/45

204,588

199,493

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

DSLA Mortgage Loan Trust,

Series 2006-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.20%)

2.68%

10/19/36

19,838,663

17,917,778

DSLA Mortgage Loan Trust,

Series 2007-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.14%)

2.62%

04/19/47

10,902,598

10,203,006

Equity One Mortgage Pass-Through Trust,

Series 2002-4, Class M1

5.22%

02/25/33

⁸

10,995

10,992

Equity One Mortgage Pass-Through Trust,

Series 2002-5, Class M1

(STEP-reset date 05/25/19)

5.80%

11/25/32

36,213

37,733

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2C

(LIBOR USD 1-Month plus 0.16%)

2.65%

10/25/36

15,696,565

11,908,588

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2D

(LIBOR USD 1-Month plus 0.24%)

2.73%

10/25/36

989,787

759,952

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2B

(LIBOR USD 1-Month plus 0.11%)

2.60%

12/25/37

11,665,576

10,007,885

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2C

(LIBOR USD 1-Month plus 0.16%)

2.65%

12/25/37

32,081,382

27,682,752

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2D

(LIBOR USD 1-Month plus 0.21%)

2.70%

12/25/37

23,251,541

20,179,643

First Franklin Mortgage Loan Trust,

Series 2006-FF5, Class 1A

(LIBOR USD 1-Month plus 0.15%)

2.64%

04/25/36

28,341,156

27,600,350

First Franklin Mortgage Loan Trust,

Series 2006-FF8, Class IIA4

(LIBOR USD 1-Month plus 0.23%)

2.72%

07/25/36

31,440,000

29,638,073

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2C

(LIBOR USD 1-Month plus 0.14%)

2.63%

01/25/38

75,808,165

56,180,089

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

2.59%

03/25/37

28,719,947

19,372,282


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
2.64%		03/25/37	²	$	16,464,686	$	11,203,572
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
2.71%		03/25/37	²		30,656,810		21,115,571
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA2, Class 1A1
4.23%		08/25/34	⁸		9,242,606		9,302,264
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
4.39%		09/25/34	⁸		39,462		39,200
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1
4.37%		10/25/34	⁸		1,564,123		1,554,464
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1
4.07%		12/25/35	⁸		17,375,253		16,001,715
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1
4.19%		02/25/36	⁸		19,106,375		17,187,580
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4, Class 2A1
3.88%		06/25/35	⁸		18,256,858		17,089,164
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1
4.39%		09/25/35	⁸		16,643,950		16,034,858
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1
4.44%		10/25/35	⁸		21,151,966		17,513,483
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1
4.17%		11/25/35	⁸		19,784,410		18,580,562
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1
4.44%		03/25/36	⁸		22,698,293		19,513,636
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7
6.00%		02/25/37			12,668		9,670
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR6, Class 2A1
4.70%		12/25/34	⁸		252,544		261,490
First Horizon Mortgage Pass-Through Trust,
Series 2006-AR4, Class 1A2
4.68%		01/25/37	⁸		120,481		107,899
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR3, Class 1A1
4.36%		11/25/37	⁸		287,784		262,505

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

FNBA Mortgage Loan Trust,

Series 2004-AR1, Class A2

(LIBOR USD 1-Month plus 0.40%)

2.88%

08/19/34

6,260

6,240

Fremont Home Loan Trust, Series 2005-C, Class M1

(LIBOR USD 1-Month plus 0.72%)

3.21%

07/25/35

262,278

263,012

GMACM Home Equity Loan Trust,

Series 2000-HE2, Class A1

(LIBOR USD 1-Month plus 0.44%)

2.93%

06/25/30

26,735

22,356

GMACM Mortgage Corp. Loan Trust,

Series 2003-AR2, Class 3A5

4.85%

12/19/33

⁸

2,161,034

2,186,944

GMACM Mortgage Corp. Loan Trust,

Series 2004-AR1, Class 22A

4.51%

06/25/34

⁸

5,027

4,997

GMACM Mortgage Corp. Loan Trust,

Series 2005-AR6, Class 3A1

4.17%

11/19/35

⁸

740,170

705,837

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR2, Class 1A1

3.95%

05/19/36

⁸

1,569,060

1,004,018

GreenPoint Mortgage Funding Trust,

Series 2005-AR3, Class 1A1

(LIBOR USD 1-Month plus 0.24%)

2.73%

08/25/45

1,840,130

1,672,974

GreenPoint Mortgage Funding Trust,

Series 2005-AR4, Class G41B

(LIBOR USD 1-Month plus 0.20%)

2.69%

10/25/45

16,943,992

15,227,135

GreenPoint Mortgage Funding Trust,

Series 2005-HY1, Class 1A1A

(LIBOR USD 1-Month plus 0.27%)

2.76%

07/25/35

2,278,106

2,278,864

GreenPoint Mortgage Funding Trust,

Series 2006-AR8, Class 1A2A⁶

0.00%

01/25/47

^4,7,†

37,800,000

—

GreenPoint Mortgage Funding Trust,

Series 2007-AR1, Class 3A2

(LIBOR USD 1-Month plus 0.16%)

2.65%

02/25/37

2,151,117

2,129,306

GS Mortgage Securities Resecuritization

Trust, Series 2014-3R, Class 2A

(LIBOR USD 1-Month plus 0.18%)

2.67%

09/26/36

^2,3

379,713

381,419

GS Mortgage Securities Resecuritization

Trust, Series 2015-1R, Class 2A

4.17%

01/26/36

^3,8

1,118,106

1,120,283

GS Mortgage-Backed Securities Trust,

Series 2018-RPL1, Class A1A

3.75%

10/25/57

52,801,797

52,136,510

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GSAA Home Equity Trust, Series 2005-11, Class 1A1

(LIBOR USD 1-Month plus 0.28%)

2.77%

10/25/35

$ 5,849,520

$ 5,842,486

GSAA Home Equity Trust, Series 2005-9, Class 2A3

(LIBOR USD 1-Month plus 0.37%)

2.86%

08/25/35

851,511

850,023

GSAMP Trust, Series 2005-AHL2, Class A2D

(LIBOR USD 1-Month plus 0.35%)

2.84%

12/25/35

25,693,000

24,841,321

GSR Mortgage Loan Trust,

Series 2004-9, Class 3A1

4.29%

08/25/34

⁸

4,310

4,347

GSR Mortgage Loan Trust,

Series 2004-9, Class 5A7

4.04%

08/25/34

⁸

365,441

366,392

GSR Mortgage Loan Trust,

Series 2005-AR5, Class 2A3

4.30%

10/25/35

⁸

3,354,503

2,706,598

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 4A5

4.41%

09/25/35

⁸

157,854

159,764

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 2A1

4.45%

05/25/37

⁸

2,476,791

2,180,988

HarborView Mortgage Loan Trust,

Series 2004-1, Class 2A

4.65%

04/19/34

⁸

6,588

6,600

HarborView Mortgage Loan Trust,

Series 2004-11, Class 3A2A

(LIBOR USD 1-Month plus 0.68%)

3.16%

01/19/35

424,735

385,999

HarborView Mortgage Loan Trust,

Series 2004-5, Class 2A6

3.87%

06/19/34

⁸

3,782

3,796

HarborView Mortgage Loan Trust,

Series 2005-3, Class 2A1A

(LIBOR USD 1-Month plus 0.48%)

2.96%

06/19/35

481,256

478,608

HarborView Mortgage Loan Trust,

Series 2005-4, Class 2A

4.99%

07/19/35

⁸

45,912

42,001

HarborView Mortgage Loan Trust,

Series 2006-10, Class 1A1A

(LIBOR USD 1-Month plus 0.20%)

2.68%

11/19/36

83,179,644

73,412,582

HarborView Mortgage Loan Trust,

Series 2006-7, Class 1A

(LIBOR USD 1-Month plus 0.21%)

2.69%

09/19/46

97,977,954

92,012,409

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

HarborView Mortgage Loan Trust,

Series 2007-7, Class 1A1

(LIBOR USD 1-Month plus 1.00%)

3.49%

10/25/37

$32,284,293

$30,704,654

HarborView Mortgage Loan Trust,

Series 2007-7, Class 2A1A

(LIBOR USD 1-Month plus 1.00%)

3.49%

10/25/37

9,989,466

10,020,442

Impac CMB Trust, Series 2005-1,

Class 1A1

(LIBOR USD 1-Month plus 0.52%)

3.01%

04/25/35

4,969,259

4,786,069

Impac CMB Trust, Series 2005-4, Class 1A1B

(LIBOR USD 1-Month plus 0.25%)

2.74%

05/25/35

6,487,672

6,272,060

Impac Secured Assets Corp.,

Series 2004-3, Class M1

(LIBOR USD 1-Month plus 0.90%)

3.39%

11/25/34

701,740

706,433

Impac Secured Assets Corp.,

Series 2004-4, Class M3

(LIBOR USD 1-Month plus 0.90%)

3.39%

02/25/35

670,000

671,201

Impac Secured Assets Trust,

Series 2006-3, Class A1

(LIBOR USD 1-Month plus 0.17%)

2.66%

11/25/36

10,035,488

9,468,755

Impac Secured Assets Trust,

Series 2007-2, Class 1A1A

(LIBOR USD 1-Month plus 0.11%)

2.60%

05/25/37

9,424,949

7,950,608

Impac Secured Assets Trust,

Series 2007-2, Class 1A1B

(LIBOR USD 1-Month plus 0.25%)

2.74%

05/25/37

69,319,342

58,805,515

IndyMac Index Mortgage Loan Trust,

Series 2004-AR4, Class 1A

4.05%

08/25/34

⁸

1,282,238

1,276,979

IndyMac Index Mortgage Loan Trust,

Series 2004-AR5, Class 2A1B

(LIBOR USD 1-Month plus 0.80%)

3.29%

08/25/34

18,489

17,037

IndyMac Index Mortgage Loan Trust,

Series 2004-AR7, Class A2

(LIBOR USD 1-Month plus 0.86%)

3.35%

09/25/34

68,388

64,784

IndyMac Index Mortgage Loan Trust,

Series 2005-AR1, Class 4A1

4.25%

03/25/35

⁸

738,948

732,515

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

IndyMac Index Mortgage Loan Trust,

Series 2005-AR17, Class 3A1

3.99%

09/25/35

⁸

$ 4,847,449

$ 4,269,933

IndyMac Index Mortgage Loan Trust,

Series 2005-AR19, Class A1

3.86%

10/25/35

⁸

28,160,377

25,217,438

IndyMac Index Mortgage Loan Trust,

Series 2005-AR31, Class 3A1

4.12%

01/25/36

⁸

1,347,888

1,270,917

IndyMac Index Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

(LIBOR USD 1-Month plus 0.48%)

2.97%

04/25/35

655,024

631,949

IndyMac Index Mortgage Loan Trust,

Series 2006-AR19, Class 1A2

3.95%

08/25/36

⁸

16,889,874

13,763,391

IndyMac Index Mortgage Loan Trust,

Series 2006-AR21, Class A1

(LIBOR USD 1-Month plus 0.12%)

2.61%

08/25/36

189,426

174,453

IndyMac Index Mortgage Loan Trust,

Series 2006-AR27, Class 2A2

(LIBOR USD 1-Month plus 0.20%)

2.69%

10/25/36

26,527,892

25,211,817

IndyMac Index Mortgage Loan Trust,

Series 2006-AR7, Class 1A1

3.80%

05/25/36

⁸

4,168,414

3,849,494

IndyMac Index Mortgage Loan Trust,

Series 2006-AR7, Class 2A1

3.98%

05/25/36

⁸

29,750,200

25,599,685

IndyMac Index Mortgage Loan Trust,

Series 2007-AR1, Class 1A2

4.25%

03/25/37

⁸

750,298

723,329

IndyMac Index Mortgage Loan Trust,

Series 2007-AR11, Class 1A1

3.33%

06/25/37

⁸

4,405,154

3,695,583

IndyMac Index Mortgage Loan Trust,

Series 2007-AR7, Class 1A1

3.96%

11/25/37

⁸

3,270,653

3,207,456

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1997-1, Class A3

6.61%

02/25/28

105,167

106,035

JPMorgan Alternative Loan Trust,

Series 2006-A2, Class 2A1

4.25%

05/25/36

⁸

837,063

682,284

JPMorgan Alternative Loan Trust,

Series 2006-A2, Class 5A1

3.90%

05/25/36

⁸

8,398,259

6,590,147

JPMorgan Mortgage Acquisition Trust,

Series 2005-WMC1, Class M2

(LIBOR USD 1-Month plus 0.66%)

3.15%

09/25/35

9,095,088

9,092,140

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

JPMorgan Mortgage Acquisition Trust,

Series 2006-NC2, Class A4

(LIBOR USD 1-Month plus 0.15%)

2.64%

07/25/36

$ 2,525,728

$ 2,542,574

JPMorgan Mortgage Acquisition Trust,

Series 2006-WF1, Class A3A

(STEP-reset date 05/25/19)

5.83%

07/25/36

37,147,755

19,377,573

JPMorgan Mortgage Acquisition Trust,

Series 2006-WF1, Class A6

(STEP-reset date 05/25/19)

6.00%

07/25/36

5,180,165

2,523,562

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH1, Class MV1

(LIBOR USD 1-Month plus 0.23%)

2.72%

11/25/36

639,757

640,647

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH3, Class A4

(LIBOR USD 1-Month plus 0.21%)

2.70%

03/25/37

1,225,611

1,224,823

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH4, Class A1

(LIBOR USD 1-Month plus 0.15%)

2.64%

05/25/37

60,782,235

58,580,083

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF1

(LIBOR USD 1-Month plus 0.10%)

2.59%

03/25/47

145,867

97,908

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF2

(STEP-reset date 05/25/19)

4.20%

03/25/47

9,542,356

7,040,852

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF3

(STEP-reset date 05/25/19)

4.20%

05/25/35

8,031,057

5,925,705

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF4

(STEP-reset date 05/25/19)

4.20%

03/25/47

3,650,481

2,693,472

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AV4

(LIBOR USD 1-Month plus 0.28%)

2.77%

03/25/47

240,000

216,988

JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3

3.89%

11/25/33

⁸

165,843

163,979

JPMorgan Mortgage Trust, Series 2004-A4, Class 1A3

4.64%

09/25/34

⁸

658,576

679,174


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2005-A5, Class TA1
4.53%		08/25/35	⁸		$ 139,265		$ 139,836
JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3
5.50%		09/25/20			2,468,432		2,278,808
JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3
4.63%		11/25/33	⁸		6,639		6,571
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
4.26%		05/25/36	⁸		1,328,784		1,280,580
JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3
4.01%		05/25/36	⁸		869,029		852,852
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1
4.27%		06/25/36	⁸		692,943		628,420
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4
4.27%		06/25/36	⁸		2,233,828		2,000,124
JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4
4.33%		08/25/36	⁸		637,593		580,384
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
4.69%		07/25/35	⁸		2,171,099		2,241,058
JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3
4.22%		05/25/37	⁸		3,179,746		2,881,299
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
3.97%		05/25/37	⁸		507,095		493,216
JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1
4.11%		06/25/37	⁸		4,557,602		4,280,908
JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3
4.31%		06/25/37	⁸		689,513		636,004
JPMorgan Resecuritization Trust,
Series 2015-1, Class 3A1
(LIBOR USD 1-Month plus 0.19%)
2.68%		12/27/46	^2,3		12,121,834		11,885,043
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			156		157
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	⁸		45,319		45,513

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%)

2.79%

11/25/35

$11,756,618

$11,590,313

Lehman XS Trust, Series 2005-7N,

Class 1A1A

(LIBOR USD 1-Month plus 0.54%)

3.03%

12/25/35

510,138

498,653

Lehman XS Trust, Series 2006-12N, Class A31A

(LIBOR USD 1-Month plus 0.20%)

2.69%

08/25/46

19,614,454

18,232,133

Lehman XS Trust, Series 2006-13, Class 1A2

(LIBOR USD 1-Month plus 0.17%)

2.66%

09/25/36

5,459,828

5,338,525

Lehman XS Trust, Series 2006-14N, Class 3A2

(LIBOR USD 1-Month plus 0.24%)

2.73%

08/25/36

73,455

70,324

Lehman XS Trust, Series 2006-8, Class 1A1A

(LIBOR USD 1-Month plus 0.16%)

2.65%

06/25/36

42,264,633

37,682,171

Lehman XS Trust, Series 2006-9, Class A1B

(LIBOR USD 1-Month plus 0.16%)

2.65%

05/25/46

4,611,452

7,655,809

Lehman XS Trust, Series 2007-4N, Class 1A3

(LIBOR USD 1-Month plus 0.24%)

2.73%

03/25/47

26,951,284

23,305,420

Long Beach Mortgage Loan Trust,

Series 2004-4, Class M1

(LIBOR USD 1-Month plus 0.90%)

3.39%

10/25/34

47,513

47,593

MASTR Adjustable Rate Mortgages Trust,

Series 2003-6, Class 4A2

4.27%

01/25/34

⁸

50,255

49,860

MASTR Adjustable Rate Mortgages Trust,

Series 2003-7, Class 3A1

4.34%

11/25/33

⁸

1,210,803

1,231,186

MASTR Adjustable Rate Mortgages Trust,

Series 2004-13, Class 3A1

4.47%

11/21/34

⁸

4,934,364

5,093,138

MASTR Adjustable Rate Mortgages Trust,

Series 2004-15, Class 9A1

4.46%

10/25/34

⁸

579,440

576,890

MASTR Adjustable Rate Mortgages Trust,

Series 2004-5, Class 3A1

3.62%

06/25/34

⁸

252

251

MASTR Adjustable Rate Mortgages Trust,

Series 2004-8, Class 2A1

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

4.53%

09/25/34

⁸

$ 3,398,881

$ 3,350,222

MASTR Adjustable Rate Mortgages Trust,

Series 2006-2, Class 5A1

4.21%

05/25/36

⁸

7,968,367

6,265,537

MASTR Alternative Loan Trust,

Series 2004-6, Class 3A1

4.75%

07/25/19

5,464

5,456

MASTR Asset-Backed Securities Trust,

Series 2006-HE4, Class A3

(LIBOR USD 1-Month plus 0.15%)

2.64%

11/25/36

15,656,232

7,563,364

MASTR Asset-Backed Securities Trust,

Series 2006-HE4, Class A4

(LIBOR USD 1-Month plus 0.21%)

2.70%

11/25/36

4,348,953

2,125,029

MASTR Asset-Backed Securities Trust,

Series 2007-HE1, Class A3

(LIBOR USD 1-Month plus 0.21%)

2.70%

05/25/37

37,864,993

36,128,989

MASTR Seasoned Securitization Trust,

Series 2004-1, Class 4A1

4.63%

10/25/32

⁸

18,605

18,948

Mellon Residential Funding Corp. Mortgage

Pass-Through Certificates,

Series 2001-TBC1, Class A1

(LIBOR USD 1-Month plus 0.70%)

3.18%

11/15/31

1,497,292

1,498,723

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-1, Class A2B

(LIBOR USD 1-Month plus 0.17%)

2.66%

04/25/37

36,452,158

20,063,534

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-1, Class A2C

(LIBOR USD 1-Month plus 0.25%)

2.74%

04/25/37

76,361,507

42,580,459

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-2, Class A2C

(LIBOR USD 1-Month plus 0.24%)

2.73%

05/25/37

37,466,198

25,102,982

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-2, Class A2D

(LIBOR USD 1-Month plus 0.32%)

2.81%

05/25/37

18,502,435

12,552,483

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-3, Class A2C

(LIBOR USD 1-Month plus 0.18%)

2.67%

06/25/37

15,594,829

11,642,280

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-3, Class A2D

(LIBOR USD 1-Month plus 0.25%)

2.74%

06/25/37

20,828,527

15,826,767

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-4, Class 2A2

(LIBOR USD 1-Month plus 0.12%)

2.61%

07/25/37

$33,326,970

$22,890,582

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-4, Class 2A3

(LIBOR USD 1-Month plus 0.16%)

2.65%

07/25/37

24,429,497

16,379,528

Merrill Lynch Mortgage Investors Trust,

Series 2003-A6, Class 2A

4.58%

10/25/33

⁸

441,688

450,306

Merrill Lynch Mortgage Investors Trust,

Series 2004-A4, Class A1

4.08%

08/25/34

⁸

1,994,759

2,005,172

Merrill Lynch Mortgage Investors Trust,

Series 2005-A10, Class A

(LIBOR USD 1-Month plus 0.21%)

2.70%

02/25/36

12,514

12,223

Merrill Lynch Mortgage Investors Trust,

Series 2005-A6, Class 2A4

(LIBOR USD 1-Month plus 0.34%)

2.83%

08/25/35

493,443

493,014

Merrill Lynch Mortgage Investors Trust,

Series 2006-WMC2, Class A2B

(STEP-reset date 05/25/19)

5.61%

03/25/37

32,064,842

11,418,584

Merrill Lynch Mortgage Investors Trust,

Series 2006-WMC2, Class A2D

(STEP-reset date 05/25/19)

5.90%

03/25/37

25,096,048

8,936,901

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%)

4.95%

08/25/36

5,327,972

5,220,053

Mid-State Capital Corp., Series 2004-1, Class A

6.01%

08/15/37

320,884

346,313

Mid-State Capital Corp., Series 2005-1, Class A

5.75%

01/15/40

15,700,325

16,954,095

Mid-State Capital Corp., Series 2006-1, Class A

5.79%

10/15/40

11,649,988

12,656,042

Mid-State Trust XI, Series 2011, Class A1

4.86%

07/15/38

256,332

270,391

Morgan Stanley ABS Capital I Trust,

Series 2006-NC1, Class A4

(LIBOR USD 1-Month plus 0.30%)

2.79%

12/25/35

3,631,139

3,626,162

Morgan Stanley Mortgage Loan Trust,

Series 2004-11AR, Class 1A1

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 0.32%)

2.81%

01/25/35

$ 158,273

$ 155,170

Morgan Stanley Mortgage Loan Trust,

Series 2004-7AR, Class 2A4

4.09%

09/25/34

⁸

982,683

972,513

Morgan Stanley Mortgage Loan Trust,

Series 2005-2AR, Class A

(LIBOR USD 1-Month plus 0.26%)

2.75%

04/25/35

3,489,555

3,456,863

Morgan Stanley Mortgage Loan Trust,

Series 2006-7, Class 5A2

5.96%

06/25/36

⁸

823,210

348,145

Morgan Stanley Mortgage Loan Trust,

Series 2007-6XS, Class 1A2S

(STEP-reset date 05/25/19)

5.50%

02/25/47

201,838

200,182

Morgan Stanley Mortgage Loan Trust,

Series 2007-7AX, Class 2A1

(LIBOR USD 1-Month plus 0.12%)

2.61%

04/25/37

5,628,641

2,626,648

Morgan Stanley Resecuritization Trust,

Series 2013-R9, Class 3A

3.91%

06/26/46

^3,8

2,192,687

2,196,855

Morgan Stanley Resecuritization Trust,

Series 2014-R2, Class 1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.82%)

3.15%

12/26/46

^2,3

11,921,526

11,816,230

Morgan Stanley Resecuritization Trust,

Series 2014-R3, Class 4A

(Federal Reserve US 12-Month Cumulative

Average plus 0.98%)

3.31%

07/26/46

^2,3

4,603,848

4,581,358

Morgan Stanley Resecuritization Trust,

Series 2014-R4, Class 2A

4.15%

08/26/34

^3,8

2,140,236

2,168,416

Morgan Stanley Resecuritization Trust,

Series 2014-R8, Class 3A

(Federal Reserve US 12-Month Cumulative

Average plus 0.75%)

2.82%

06/26/47

^2,3

25,317,572

24,782,797

Morgan Stanley Resecuritization Trust,

Series 2014-R8, Class 4A

(Federal Reserve US 12-Month Cumulative

Average plus 0.96%)

3.29%

06/26/47

^2,3

9,067,926

9,033,566

Morgan Stanley Resecuritization Trust,

Series 2015-R4, Class 2A

(LIBOR USD 1-Month plus 0.40%)

3.29%

08/26/47

^2,3

12,999,616

12,888,268

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MortgageIT Trust, Series 2005-1, Class 1A1

(LIBOR USD 1-Month plus 0.64%)

3.13%

02/25/35

$ 6,956,197

$ 6,957,580

MortgageIT Trust, Series 2005-4, Class A1

(LIBOR USD 1-Month plus 0.28%)

2.77%

10/25/35

8,462,047

8,452,041

MortgageIT Trust, Series 2005-5, Class A1

(LIBOR USD 1-Month plus 0.26%)

2.75%

12/25/35

1,375,083

1,369,586

Nationstar Home Equity Loan Trust,

Series 2006-B, Class AV4

(LIBOR USD 1-Month plus 0.28%)

2.77%

09/25/36

12,027,586

12,001,481

Nationstar Home Equity Loan Trust,

Series 2007-C, Class 2AV4

(LIBOR USD 1-Month plus 0.25%)

2.74%

06/25/37

8,265,000

7,832,440

New Century Home Equity Loan Trust,

Series 2003-6, Class M1

(LIBOR USD 1-Month plus 1.08%)

3.57%

01/25/34

146,201

147,893

New Century Home Equity Loan Trust,

Series 2005-1, Class M1

(LIBOR USD 1-Month plus 0.68%)

3.16%

03/25/35

714,213

714,787

New Century Home Equity Loan Trust,

Series 2005-B, Class A1

(LIBOR USD 1-Month plus 0.25%)

2.74%

10/25/35

3,880,874

3,881,834

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month plus 0.22%)

2.71%

02/25/36

323,845

321,136

Nomura Home Equity Loan, Inc.,

Series 2006-HE2, Class A4

(LIBOR USD 1-Month plus 0.27%)

2.76%

03/25/36

24,732,000

24,556,403

Nomura Resecuritization Trust,

Series 2011-4RA, Class 2A1

3.59%

06/26/37

^3,8

2,022,634

2,043,973

Nomura Resecuritization Trust,

Series 2013-1R, Class 2A1

(LIBOR USD 1-Month plus 0.14%)

2.98%

11/26/36

^2,3

5,075,639

5,015,682

Nomura Resecuritization Trust,

Series 2014-4R, Class 1A1

4.06%

01/26/36

^3,8

3,251,991

3,267,264

Nomura Resecuritization Trust,

Series 2014-4R, Class 3A1

(LIBOR USD 1-Month plus 0.15%)

3.20%

09/26/36

^2,3

62,759

63,068

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Nomura Resecuritization Trust,

Series 2014-6R, Class 2A1

(LIBOR USD 1-Month plus 0.16%)

2.23%

03/26/37

^2,3

$ 7,168,307

$ 7,025,299

Nomura Resecuritization Trust,

Series 2014-7R, Class 4A1

(LIBOR USD 1-Month plus 0.13%)

2.62%

01/26/37

^2,3

11,883,557

11,749,744

Oakwood Mortgage Investors, Inc.,

Series 2000-A, Class A5

8.16%

09/15/29

⁸

21,732,032

11,593,520

Option One Mortgage Loan Trust,

Series 2006-1, Class 1A1

(LIBOR USD 1-Month plus 0.22%)

2.71%

01/25/36

20,643,496

20,424,590

Ownit Mortgage Loan Trust,

Series 2006-4, Class A1

(LIBOR USD 1-Month plus 0.14%)

2.63%

05/25/37

24,912,690

24,104,941

Ownit Mortgage Loan Trust,

Series 2006-4, Class A2D

(LIBOR USD 1-Month plus 0.24%)

2.73%

05/25/37

23,302,473

19,662,599

Popular ABS Mortgage Pass-Through Trust,

Series 2005-6, Class A5

(STEP-reset date 05/25/19)

3.79%

01/25/36

22,910,000

20,854,565

Popular ABS Mortgage Pass-Through Trust,

Series 2006-D, Class A3

(LIBOR USD 1-Month plus 0.26%)

2.75%

11/25/36

75,408

74,377

Popular ABS Mortgage Pass-Through Trust,

Series 2007-A, Class A3

(LIBOR USD 1-Month plus 0.31%)

2.80%

06/25/47

23,015,500

18,814,232

Popular ABS, Inc., Series 1998-1,

Class A2 (STEP-reset date 05/25/19)

7.48%

11/25/29

73,604

71,819

Provident Funding Mortgage Loan Trust,

Series 2003-1, Class A

4.43%

08/25/33

⁸

577,036

585,681

Residential Accredit Loans Trust,

Series 2005-QA10, Class A31

4.81%

09/25/35

⁸

504,701

435,384

Residential Accredit Loans Trust,

Series 2005-QA12, Class CB1

4.86%

12/25/35

⁸

4,739,529

3,179,588

Residential Accredit Loans Trust,

Series 2005-QA4, Class A41

4.45%

04/25/35

⁸

1,554,357

1,466,534

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Accredit Loans Trust,

Series 2005-QA7, Class A1

4.22%

07/25/35

⁸

$ 4,072,722

$ 3,432,852

Residential Accredit Loans Trust,

Series 2005-QO5, Class A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.00%)

3.40%

01/25/46

6,661,444

6,195,627

Residential Accredit Loans Trust,

Series 2006-QA1, Class A11

4.63%

01/25/36

⁸

161,088

139,996

Residential Accredit Loans Trust,

Series 2006-QA1, Class A21

4.96%

01/25/36

⁸

16,653,150

14,550,790

Residential Accredit Loans Trust,

Series 2006-QA7, Class 2A1

(LIBOR USD 1-Month plus 0.19%)

2.67%

08/25/36

29,176,977

26,715,091

Residential Accredit Loans Trust,

Series 2006-QS10, Class AV (IO)

0.57%

08/25/36

^4,5,8

30,025,988

701,209

Residential Accredit Loans Trust,

Series 2006-QS12, Class 2A9

(LIBOR USD 1-Month plus 0.38%)

2.87%

09/25/36

274,278

214,948

Residential Accredit Loans Trust,

Series 2006-QS2, Class 1AV (IO)

0.47%

02/25/36

^4,5,8

95,829,898

1,535,990

Residential Accredit Loans Trust,

Series 2006-QS7, Class AV (IO)

0.71%

06/25/36

^4,5,8

51,185,240

1,331,105

Residential Accredit Loans Trust,

Series 2006-QS8, Class AV (IO)

0.78%

08/25/36

^4,5,8

117,205,090

3,781,476

Residential Accredit Loans Trust,

Series 2007-QS10, Class AV (IO)

0.47%

09/25/37

^4,5,8

83,833,326

1,894,306

Residential Accredit Loans Trust,

Series 2007-QS4, Class 3AV (IO)

0.38%

03/25/37

^4,5,8

52,669,251

775,665

Residential Accredit Loans Trust,

Series 2007-QS5, Class AV (IO)

0.27%

03/25/37

^4,5,8

62,093,016

574,056

Residential Accredit Loans Trust,

Series 2007-QS6, Class AV (IO)

0.32%

04/25/37

^4,5,8

131,041,448

1,766,976

Residential Accredit Loans Trust,

Series 2007-QS7, Class 2AV (IO)

0.38%

06/25/37

^4,5,8

41,999,797

614,667

Residential Accredit Loans Trust,

Series 2007-QS8, Class AV (IO)

0.40%

06/25/37

^4,5,8

110,769,159

2,114,648


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A2
6.50%		12/25/31			$ 3,785		$ 3,779
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A8
6.50%		11/25/31			38,222		40,273
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%		12/25/31			32,436		22,647
Residential Asset Mortgage Products Trust,
Series 2005-RS8, Class A3
(LIBOR USD 1-Month plus 0.37%)
2.86%		09/25/35	²		5,492,996		5,498,723
Residential Asset Mortgage Products Trust,
Series 2005-RZ3, Class M3
(LIBOR USD 1-Month plus 0.55%)
3.04%		09/25/35	²		750,000		753,175
Residential Asset Securities Trust,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
2.82%		04/25/36	²		815,000		794,648
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
4.55%		12/25/34	⁸		261,101		259,124
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
4.46%		12/25/34	⁸		21,302		21,321
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
4.60%		12/25/34	⁸		520,666		525,869
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%		07/25/36			2,556,463		2,549,180
Residential Funding Mortgage Securities
Trust, Series 2005-SA5, Class 1A
4.14%		11/25/35	⁸		5,478,917		4,458,196
Residential Funding Mortgage Securities
Trust, Series 2006-SA3, Class 3A1
5.10%		09/25/36	⁸		876,903		839,019
Residential Funding Mortgage Securities
Trust, Series 2006-SA3, Class 4A1
5.45%		09/25/36	⁸		364,955		288,695
Residential Funding Mortgage Securities
Trust, Series 2006-SA4, Class 2A1
5.33%		11/25/36	⁸		109,293		104,204
Residential Funding Mortgage Securities
Trust, Series 2007-SA2, Class 2A2
4.88%		04/25/37	⁸		2,063,318		1,982,622
Saxon Asset Securities Trust, Series 2001-2,
Class AF6 (STEP-reset date 05/25/19)
6.81%		08/25/31			5,786		5,783

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Saxon Asset Securities Trust, Series 2007-1, Class A2C

(LIBOR USD 1-Month plus 0.15%)

2.64%

01/25/47

$ 6,893,518

$ 6,803,328

Saxon Asset Securities Trust, Series 2007-3, Class 2A3

(LIBOR USD 1-Month plus 0.40%)

2.89%

09/25/47

32,174,000

29,660,287

Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1,

Class AF2 (STEP-reset date 05/25/19)

3.34%

01/25/36

8,177,638

7,188,384

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR1, Class A2A

(LIBOR USD 1-Month plus 0.11%)

2.60%

02/25/37

6,833,874

4,020,665

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR1, Class A2B

(LIBOR USD 1-Month plus 0.27%)

2.76%

02/25/37

33,829,814

20,536,023

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR2, Class A2

(LIBOR USD 1-Month plus 0.23%)

2.72%

02/25/37

45,640,713

24,834,232

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR5, Class A2A

(LIBOR USD 1-Month plus 0.13%)

2.62%

05/25/37

19,802,001

15,342,665

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR5, Class A2C

(LIBOR USD 1-Month plus 0.35%)

2.84%

05/25/37

14,934,498

11,863,391

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-NC1, Class A2B

(LIBOR USD 1-Month plus 0.15%)

2.64%

12/25/36

36,192,407

20,795,944

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-NC2, Class A2B

(LIBOR USD 1-Month plus 0.14%)

2.63%

01/25/37

19,755,420

15,606,247

Sequoia Mortgage Trust, Series 2003-2, Class A1

(LIBOR USD 1-Month plus 0.66%)

3.15%

06/20/33

874

861

Sequoia Mortgage Trust, Series 2003-8, Class A1

(LIBOR USD 1-Month plus 0.64%)

3.13%

01/20/34

1,843

1,801

Sequoia Mortgage Trust, Series 2004-3, Class A

(LIBOR USD 6-Month plus 0.50%)

3.19%

05/20/34

434,321

424,265

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

SG Mortgage Securities Trust,

Series 2007-NC1, Class A2

(LIBOR USD 1-Month plus 0.24%)

2.73%

12/25/36

^2,3

$16,320,795

$10,879,404

Soundview Home Loan Trust,

Series 2005-OPT1, Class M2

(LIBOR USD 1-Month plus 0.68%)

3.16%

06/25/35

25,589,694

25,515,699

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-1, Class 3A3

4.79%

02/25/34

⁸

23,293

23,586

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-12, Class 2A

4.44%

09/25/34

⁸

8,179,861

8,100,331

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-14, Class 1A

4.32%

10/25/34

⁸

226,202

225,095

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-14, Class 2A

4.48%

10/25/34

⁸

8,981,894

9,149,202

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-15, Class A

4.50%

10/25/34

⁸

3,152,933

3,049,811

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-17, Class A1

3.02%

11/25/34

⁸

46,809

44,016

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-20, Class 1A2

4.19%

01/25/35

⁸

739,374

734,470

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-12, Class 3A1

4.40%

06/25/35

⁸

2,502,729

2,445,844

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-18, Class 7A3

4.14%

09/25/35

⁸

18,087,519

15,213,103

Structured Adjustable Rate Mortgage Loan

Trust, Series 2006-12, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

2.65%

01/25/37

35,341,482

32,894,732

Structured Adjustable Rate Mortgage Loan

Trust, Series 2007-9, Class 2A1

4.22%

10/25/47

⁸

843,692

751,178

Structured Asset Mortgage Investments II

Trust, Series 2005-AR8, Class A1A

(LIBOR USD 1-Month plus 0.28%)

2.77%

02/25/36

669,884

635,196

Structured Asset Securities Corp. Mortgage

Loan Trust, Series 2006-WF2, Class A4

(LIBOR USD 1-Month plus 0.31%)

2.80%

07/25/36

7,684,231

7,717,955

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%)

2.63%

09/25/36

$3,415,900

$3,405,045

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates, Series

2004-23XS, Class 2A1

(LIBOR USD 1-Month plus 0.30%)

2.79%

01/25/35

1,884,983

1,858,341

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 1997-2, Class 2A4

7.25%

03/28/30

1,215

1,253

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 2003-26A, Class 3A5

4.62%

09/25/33

⁸

164,327

165,951

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 2003-34A, Class 5A4

4.46%

11/25/33

⁸

1,404,063

1,434,193

Structured Asset Securities Corp. Trust,

Series 2005-17, Class 4A4

5.50%

10/25/35

3,280,470

3,314,451

Structured Asset Securities Corp. Trust,

Series 2005-5, Class 2A4

5.50%

04/25/35

2,925,561

2,876,060

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-3, Class 1A1

4.21%

06/25/37

⁸

3,538,682

3,281,741

Thornburg Mortgage Securities Trust,

Series 2004-4, Class 2A

3.97%

12/25/44

⁸

139,494

137,764

Wachovia Mortgage Loan Trust,

Series 2006-ALT1, Class A3

(LIBOR USD 1-Month plus 0.23%)

2.72%

01/25/37

17,437,711

11,428,695

Wachovia Mortgage Loan Trust,

Series 2006-AMN1, Class A3

(LIBOR USD 1-Month plus 0.24%)

2.60%

08/25/36

20,046,650

11,488,519

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A2

(LIBOR USD 1-Month plus 0.11%)

2.60%

01/25/37

4,094,889

2,603,187

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A3

(LIBOR USD 1-Month plus 0.15%)

2.64%

01/25/37

37,800,430

24,167,249

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A4

(LIBOR USD 1-Month plus 0.23%)

2.72%

01/25/37

12,688,966

8,200,515

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

WaMu Mortgage Pass-Through Certificates,

Series 2003-AR6, Class A1

4.23%

06/25/33

⁸

$ 4,132,270

$ 4,199,743

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR3, Class A2

4.05%

06/25/34

⁸

41,895

42,810

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR6, Class A

(LIBOR USD 1-Month plus 0.42%)

2.91%

05/25/44

1,537,923

1,548,826

WaMu Mortgage Pass-Through Certificates,

Series 2005-3, Class 2A3

(LIBOR USD 1-Month plus 0.55%)

3.04%

05/25/35

3,505,136

2,820,620

WaMu Mortgage Pass-Through Certificates,

Series 2005-4, Class CB13

(LIBOR USD 1-Month plus 0.50%)

2.99%

06/25/35

5,999,058

5,109,404

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR1, Class A1A

(LIBOR USD 1-Month plus 0.64%)

3.13%

01/25/45

837,259

863,064

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR11, Class A1A

(LIBOR USD 1-Month plus 0.32%)

2.81%

08/25/45

42,378,062

42,614,515

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR12, Class 1A6

4.02%

10/25/35

⁸

1,370,900

1,357,265

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A1

(LIBOR USD 1-Month plus 0.29%)

2.78%

10/25/45

6,451,034

6,352,551

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR14, Class 2A1

4.07%

12/25/35

⁸

4,603,962

4,463,203

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR15, Class A1A1

(LIBOR USD 1-Month plus 0.26%)

2.75%

11/25/45

32,533,311

32,479,754

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR17, Class A1A1

(LIBOR USD 1-Month plus 0.27%)

2.76%

12/25/45

15,284,214

15,285,856

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR19, Class A1A2

(LIBOR USD 1-Month plus 0.29%)

2.78%

12/25/45

17,678,820

17,747,394

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 1A1A

(LIBOR USD 1-Month plus 0.33%)

2.82%

01/25/45

$15,433,274

$15,511,914

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.31%)

2.80%

01/25/45

1,371,144

1,350,703

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A23

(LIBOR USD 1-Month plus 0.38%)

2.87%

01/25/45

4,868,924

4,823,597

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR6, Class 2A1A

(LIBOR USD 1-Month plus 0.46%)

2.95%

04/25/45

179,039

174,411

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR1, Class 2A1A

(Federal Reserve US 12-Month Cumulative

Average plus 1.07%)

3.47%

01/25/46

35,548,884

35,456,500

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR10, Class 1A4

3.86%

09/25/36

⁸

14,427,095

13,503,599

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR16, Class 3A1

3.67%

12/25/36

⁸

821,303

794,239

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR3, Class A1A

(Federal Reserve US 12-Month Cumulative

Average plus 1.00%)

3.40%

02/25/46

18,439,892

18,434,345

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR4, Class 1A1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.94%)

3.27%

05/25/46

6,181,466

6,223,455

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR7, Class 2A

(Federal Reserve US 12-Month Cumulative

Average plus 0.98%)

3.38%

07/25/46

13,507,928

12,795,097

WaMu Mortgage Pass-Through Certificates,

Series 2007-1, Class 2A1

6.00%

01/25/22

241,226

231,469

WaMu Mortgage Pass-Through Certificates,

Series 2007-HY7, Class 4A2

3.94%

07/25/37

⁸

303,984

282,036

WaMu Mortgage Pass-Through Certificates,

Series 2007-OA1, Class A1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.70%)

3.10%

02/25/47

15,797,522

14,624,908


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu MSC Mortgage Pass-Through
Certificates, Series 2002-AR1, Class 1A1
4.28%		11/25/30	⁸		$ 338,283		$ 344,146
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37			202,897		197,526
Wells Fargo Mortgage-Backed Securities
Trust, Series 2003-M, Class A1
4.90%		12/25/33	⁸		907,132		934,581
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-L, Class A8
4.63%		07/25/34	⁸		159,800		160,411
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-S, Class A1
4.62%		09/25/34	⁸		1,589,009		1,636,625
Wells Fargo Mortgage-Backed Securities
Trust, Series 2005-AR10, Class 2A14
4.80%		06/25/35	⁸		745,551		768,049
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-10, Class A4
6.00%		08/25/36			1,654,378		1,641,956
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-2, Class 2A3
5.50%		03/25/36			205,248		200,406
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR1, Class 1A1
5.19%		03/25/36	⁸		3,237,921		3,211,325
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A1
4.54%		07/25/36	⁸		162,473		163,285
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A2
4.54%		07/25/36	⁸		55,101		55,376
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A3
4.54%		07/25/36	⁸		117,843		118,432
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A6
4.54%		07/25/36	⁸		688,848		692,291
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR8, Class 1A3
4.74%		04/25/36	⁸		3,080		3,087


							4,656,792,340

U.S. Agency Commercial
Mortgage-Backed — 1.45%
Fannie Mae-Aces, Series 2011-M5,
Class X (IO)
1.18%		07/25/21	⁸		111,645,226		2,392,814


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%)
2.78%		10/25/21	²		$ 9,715,482		$ 9,697,751
Fannie Mae-Aces, Series 2015-M10, Class A2
3.09%		04/25/27	⁸		122,515,000		123,892,571
Fannie Mae-Aces, Series 2016-M13, Class FA
(LIBOR USD 1-Month plus 0.67%)
3.15%		11/25/23	²		30,681,366		30,707,139
Fannie Mae-Aces, Series 2017-M13, Class A2
2.94%		09/25/27	⁸		100,000,000		100,277,805
Fannie Mae-Aces, Series 2018-M1, Class A2
2.99%		12/25/27	⁸		810,000		813,326
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K082, Class A2
3.92%		09/25/28	⁸		180,000,000		194,522,760
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K083, Class A2
4.05%		09/25/28	⁸		175,000,000		190,799,831
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K084, Class A2
3.78%		10/25/28	⁸		200,335,000		214,028,088
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K154, Class A2
3.42%		04/25/32			750,000		770,051
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K154, Class A3
3.46%		11/25/32			72,550,000		74,649,713
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K157, Class A3
3.99%		08/25/33	⁸		250,000		272,654
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF03, Class A
(LIBOR USD 1-Month plus 0.34%)
2.83%		01/25/21	²		115,307		115,508
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF15, Class A
(LIBOR USD 1-Month plus 0.67%)
3.16%		02/25/23	²		63,011,642		63,126,109
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF17,
Class A
(LIBOR USD 1-Month plus 0.55%)
3.04%		03/25/23	²		27,068,152		27,118,905


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KSW1,
Class A
(LIBOR USD 1-Month plus 0.58%)
3.07%		02/25/26	²		$ 6,816,993		$ 6,813,599
NCUA Guaranteed Notes Trust,
Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
3.04%		03/09/21	²		1,491,843		1,492,744


							1,041,491,368

U.S. Agency Mortgage-Backed — 29.08%
Fannie Mae Pool (TBA)
2.50%		04/25/28			125,950,000		125,182,492
4.50%		04/25/39			39,225,000		40,874,442
5.00%		05/01/49			200,175,000		211,403,566
Fannie Mae Pool 190375
5.50%		11/01/36			891,713		980,962
Fannie Mae Pool 190396
4.50%		06/01/39			13,467		14,236
Fannie Mae Pool 254232
6.50%		03/01/22			9,905		10,307
Fannie Mae Pool 313182
7.50%		10/01/26			1,408		1,516
Fannie Mae Pool 394854
6.50%		05/01/27			1,021		1,128
Fannie Mae Pool 467243
4.55%		01/01/21			2,429,445		2,510,320
Fannie Mae Pool 468128
4.33%		07/01/21			1,896,547		1,972,163
Fannie Mae Pool 468587
3.84%		08/01/21			631,507		649,273
Fannie Mae Pool 545191
7.00%		09/01/31			3,425		3,755
Fannie Mae Pool 545756
7.00%		06/01/32			887		1,014
Fannie Mae Pool 606108
7.00%		03/01/31			2,684		2,695
Fannie Mae Pool 613142
7.00%		11/01/31			9,451		10,797
Fannie Mae Pool 625666
7.00%		01/01/32			9,091		10,072
Fannie Mae Pool 633698
7.50%		02/01/31			32,940		38,057
Fannie Mae Pool 655928
7.00%		08/01/32			145,331		169,049
Fannie Mae Pool 725257
5.50%		02/01/34			1,008,093		1,109,145


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 734830
4.50%		08/01/33			$ 13,839		$ 14,617
Fannie Mae Pool 734922
4.50%		09/01/33			2,187,931		2,317,158
Fannie Mae Pool 735207
7.00%		04/01/34			20,759		23,682
Fannie Mae Pool 735224
5.50%		02/01/35			4,050,151		4,458,562
Fannie Mae Pool 735646
4.50%		07/01/20			140,050		142,499
Fannie Mae Pool 735651
4.50%		06/01/35			4,754,935		5,018,043
Fannie Mae Pool 735686
6.50%		12/01/22			1,812		1,863
Fannie Mae Pool 740297
5.50%		10/01/33			1,994		2,194
Fannie Mae Pool 745147
4.50%		12/01/35			29,615		31,297
Fannie Mae Pool 745592
5.00%		01/01/21			113		113
Fannie Mae Pool 753168
4.50%		12/01/33			7,503		7,932
Fannie Mae Pool 815422
4.50%		02/01/35			38,974		41,177
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.58%)
4.08%		11/01/35	²		186,223		196,474
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
4.79%		11/01/35	²		4,033		4,188
Fannie Mae Pool 841031
(LIBOR USD 12-Month plus 1.84%)
4.71%		11/01/35	²		2,664		2,775
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
4.55%		12/01/35	²		5,170		5,379
Fannie Mae Pool 888412
7.00%		04/01/37			249,680		275,002
Fannie Mae Pool 889125
5.00%		12/01/21			391,170		393,219
Fannie Mae Pool 889184
5.50%		09/01/36			3,814,502		4,198,926
Fannie Mae Pool 918445
(LIBOR USD 12-Month plus 1.57%)
4.57%		05/01/37	²		6,989		7,306
Fannie Mae Pool 933033
6.50%		10/01/37			283,572		309,359
Fannie Mae Pool AB1613
4.00%		10/01/40			36,834,125		38,537,143


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AB1803
4.00%		11/01/40		$41,744,406		$43,819,353
Fannie Mae Pool AB2127
3.50%		01/01/26		19,327,082		19,821,241
Fannie Mae Pool AB3679
3.50%		10/01/41		14,506,600		14,808,520
Fannie Mae Pool AB3864
3.50%		11/01/41		12,153,707		12,496,226
Fannie Mae Pool AB4045
3.50%		12/01/41		12,834,889		13,124,705
Fannie Mae Pool AB4262
3.50%		01/01/32		8,759,569		8,982,582
Fannie Mae Pool AB9703
3.50%		06/01/43		33,236,944		33,884,619
Fannie Mae Pool AC8279
4.50%		08/01/39		20,019		21,160
Fannie Mae Pool AD0849
4.25%		02/01/20		16,750,489		16,922,083
Fannie Mae Pool AE0482
5.50%		01/01/38		9,468,366		10,244,792
Fannie Mae Pool AE0600
3.85%		11/01/20		15,229,447		15,505,093
Fannie Mae Pool AE0605
4.65%		07/01/20		4,991,326		5,071,601
Fannie Mae Pool AE0913
4.15%		09/01/20		70,597,915		71,706,351
Fannie Mae Pool AE0918
3.67%		10/01/20		2,319,062		2,351,704
Fannie Mae Pool AH3780
4.00%		02/01/41		16,415,152		17,200,572
Fannie Mae Pool AJ1404
4.00%		09/01/41		24,715,610		25,820,546
Fannie Mae Pool AL0209
4.50%		05/01/41		24,759,456		26,537,695
Fannie Mae Pool AL0290
4.45%		04/01/21		18,207,491		18,868,468
Fannie Mae Pool AL0834
4.07%		10/01/21		21,491,540		22,176,249
Fannie Mae Pool AL0851
6.00%		10/01/40		15,979,935		17,636,382
Fannie Mae Pool AL1445
4.36%		11/01/21		65,702,241		67,327,112
Fannie Mae Pool AL2669
4.46%		09/01/21		14,835,900		15,119,461
Fannie Mae Pool AL4597
4.00%		01/01/44		62,987,004		66,176,887
Fannie Mae Pool AL6829
2.96%		05/01/27		2,294,787		2,326,772


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL8037
4.50%		07/01/34		$ 275,304		$ 289,595
Fannie Mae Pool AL8356
4.50%		07/01/34		736,474		773,775
Fannie Mae Pool AL8960
4.50%		05/01/46		64,647,768		68,044,301
Fannie Mae Pool AL9106
4.50%		02/01/46		84,656,928		89,104,202
Fannie Mae Pool AL9217
3.50%		10/01/46		41,905,567		42,903,225
Fannie Mae Pool AL9472
4.00%		10/01/43		11,945,912		12,422,815
Fannie Mae Pool AL9722
4.50%		08/01/46		285,443,723		300,440,669
Fannie Mae Pool AL9846
4.50%		02/01/47		284,183,068		299,113,780
Fannie Mae Pool AM0414
2.87%		09/01/27		39,760,000		39,648,011
Fannie Mae Pool AM1445
1.56%		11/01/19		645,372		641,284
Fannie Mae Pool AM4869
4.07%		12/01/25		1,822,349		1,961,962
Fannie Mae Pool AM6057
3.44%		08/01/26		6,750,000		7,110,739
Fannie Mae Pool AM6667
3.39%		09/01/26		3,461,000		3,605,755
Fannie Mae Pool AM7016
3.47%		10/01/29		4,951,415		5,140,700
Fannie Mae Pool AM8036
2.66%		03/01/27		1,965,000		1,941,553
Fannie Mae Pool AM8709
2.82%		04/01/27		6,285,578		6,311,911
Fannie Mae Pool AM8765
2.83%		06/01/27		4,000,000		3,993,122
Fannie Mae Pool AM8958
2.97%		06/01/30		5,500,000		5,424,288
Fannie Mae Pool AM8969
3.27%		07/01/30		12,691,000		12,962,240
Fannie Mae Pool AM9440
3.05%		07/01/27		47,705,000		48,391,122
Fannie Mae Pool AM9602
3.57%		08/01/27		1,734,353		1,824,954
Fannie Mae Pool AM9623
3.34%		07/01/30		1,420,000		1,450,335
Fannie Mae Pool AM9749
3.48%		11/01/30		5,384,263		5,596,988
Fannie Mae Pool AM9954
3.22%		11/01/27		3,178,570		3,276,436


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AN0153
3.36%		11/01/30			$10,570,304		$10,880,411
Fannie Mae Pool AN0154
3.36%		11/01/30			14,986,664		15,426,335
Fannie Mae Pool AN0648
3.28%		01/01/28			13,881,777		14,309,546
Fannie Mae Pool AN0959
2.92%		05/01/31			35,459,000		34,763,473
Fannie Mae Pool AN1161
3.05%		04/01/28			435,000		439,501
Fannie Mae Pool AN1210
2.85%		05/01/31			5,977,500		5,829,306
Fannie Mae Pool AN1427
2.96%		04/01/28			4,097,201		4,129,057
Fannie Mae Pool AN1482
3.03%		05/01/31			5,371,556		5,337,506
Fannie Mae Pool AN2228
2.52%		08/01/26			15,985,000		15,737,556
Fannie Mae Pool AN2248
2.48%		08/01/26			51,160,000		50,233,100
Fannie Mae Pool AN2270
2.51%		08/01/26			2,606,893		2,576,896
Fannie Mae Pool AN2271
2.33%		08/01/26			2,152,000		2,090,306
Fannie Mae Pool AN2338
2.36%		09/01/26			40,823,318		39,897,135
Fannie Mae Pool AN2371
2.18%		09/01/26			35,742,128		34,590,908
Fannie Mae Pool AN3097
2.54%		11/01/28			35,120,000		34,057,803
Fannie Mae Pool AN3574
2.34%		11/01/26			28,210,000		27,291,020
Fannie Mae Pool AN3597
(LIBOR USD 1-Month plus 0.64%)
3.13%		11/01/26	²		23,520,000		23,502,910
Fannie Mae Pool AN3631
2.99%		02/01/29			37,752,000		37,867,431
Fannie Mae Pool AN4429
3.22%		01/01/27			23,130,000		23,770,972
Fannie Mae Pool AN4431
3.22%		01/01/27			49,395,000		50,763,819
Fannie Mae Pool AN4435
3.22%		01/01/27			29,420,000		30,235,278
Fannie Mae Pool AN5718
3.24%		06/01/29			3,805,000		3,884,559
Fannie Mae Pool AN5719
3.24%		06/01/29			3,405,000		3,476,196


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AN6168
3.13%		07/01/32		$ 200,000		$ 198,600
Fannie Mae Pool AN6459
3.21%		08/01/29		780,205		796,532
Fannie Mae Pool AN9814
3.63%		08/01/28		135,274,192		142,400,240
Fannie Mae Pool AN9827
3.62%		08/01/28		37,930,000		39,875,346
Fannie Mae Pool AS8605
3.00%		01/01/32		313,539		317,148
Fannie Mae Pool AS8663
4.50%		01/01/47		50,746,964		53,186,401
Fannie Mae Pool AS9830
4.00%		06/01/47		212,938,499		220,661,459
Fannie Mae Pool AS9972
4.00%		07/01/47		185,051,855		191,763,409
Fannie Mae Pool AU3739
3.50%		08/01/43		43,608,067		44,819,468
Fannie Mae Pool BD2450
3.50%		01/01/47		184,531		187,637
Fannie Mae Pool BL0242
3.82%		11/01/30		250,000		265,346
Fannie Mae Pool BL0654
3.78%		01/01/29		39,164,000		41,770,339
Fannie Mae Pool BL0690
3.90%		12/01/30		17,950,000		19,216,627
Fannie Mae Pool BL0691
3.90%		12/01/30		34,968,000		37,435,489
Fannie Mae Pool BL0702
3.86%		11/01/28		39,100,000		41,825,821
Fannie Mae Pool BL0718
3.81%		01/01/29		42,300,000		45,109,642
Fannie Mae Pool BL0937
3.83%		12/01/28		94,564,911		100,336,580
Fannie Mae Pool BM5164
4.00%		11/01/48		124,778,033		130,391,889
Fannie Mae Pool CA1187
3.50%		02/01/48		207,561,874		210,682,264
Fannie Mae Pool CA1711
4.50%		05/01/48		46,818,693		48,865,182
Fannie Mae Pool CA2208
4.50%		08/01/48		113,333,424		118,334,391
Fannie Mae Pool CA2327
4.00%		09/01/48		69,949,492		73,096,532
Fannie Mae Pool FN0001
3.77%		12/01/20		31,653,467		32,130,352
Fannie Mae Pool MA1146
4.00%		08/01/42		63,984,507		66,516,394


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA1177
3.50%		09/01/42			$ 73,890,044		$ 75,348,988
Fannie Mae Pool MA1404
3.50%		04/01/43			5,683		5,793
Fannie Mae Pool MA1527
3.00%		08/01/33			69,283,748		69,835,711
Fannie Mae Pool MA1561
3.00%		09/01/33			43,296,867		43,641,904
Fannie Mae Pool MA1582
3.50%		09/01/43			22,020,312		22,448,207
Fannie Mae Pool MA1584
3.50%		09/01/33			70,070,271		72,001,219
Fannie Mae Pool MA1608
3.50%		10/01/33			48,214,146		49,542,797
Fannie Mae Pool MA2960
4.00%		04/01/47			118,388,584		122,608,368
Fannie Mae Pool MA3027
4.00%		06/01/47			88,333,212		91,481,717
Fannie Mae Pool MA3029
3.00%		06/01/32			68,485,396		69,121,117
Fannie Mae Pool MA3182
3.50%		11/01/47			126,550,237		128,613,930
Fannie Mae Pool MA3210
3.50%		12/01/47			223,337,684		226,979,718
Fannie Mae Pool MA3238
3.50%		01/01/48			182,764,415		185,638,592
Fannie Mae Pool MA3276
3.50%		02/01/48			77,872,440		78,954,384
Fannie Mae Pool MA3305
3.50%		03/01/48			88,150,277		89,353,640
Fannie Mae Pool MA3332
3.50%		04/01/48			289,707,593		293,662,469
Fannie Mae Pool MA3537
4.50%		12/01/48			101,638,476		105,879,702
Fannie Mae REMICS, Series 1989-27, Class Y
6.90%		06/25/19			3		3
Fannie Mae REMICS, Series 1991-65, Class Z
6.50%		06/25/21			1,094		1,116
Fannie Mae REMICS, Series 1992-123, Class Z
7.50%		07/25/22			548		575
Fannie Mae REMICS, Series 1993-132, Class D (PO)
0.00%		10/25/22	⁹		21,702		20,859
Fannie Mae REMICS, Series 1993-29, Class PK
7.00%		03/25/23			2,186		2,267


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 1994-55, Class H
7.00%		03/25/24			$ 9,287		$ 10,057
Fannie Mae REMICS, Series 1997-34, Class SA (Cost of Funds 11th District of San Francisco * 5.542, 37.68% Cap)
6.46%		10/25/23	²		2,711		3,292
Fannie Mae REMICS, Series 1998-37, Class VZ
6.00%		06/17/28			6,896		7,238
Fannie Mae REMICS, Series 1999-11, Class Z
5.50%		03/25/29			34,972		36,048
Fannie Mae REMICS, Series 2001-52, Class YZ
6.50%		10/25/31			120,119		135,258
Fannie Mae REMICS, Series 2005-104, Class NI (IO) (-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
4.21%		03/25/35	²		6,513,269		217,549
Fannie Mae REMICS, Series 2005-117, Class LC
5.50%		11/25/35			6,340,246		6,619,036
Fannie Mae REMICS, Series 2005-122, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.11%		11/25/35	²		75,977		8,835
Fannie Mae REMICS, Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
3.61%		10/25/25	²		5,333,204		418,709
Fannie Mae REMICS, Series 2006-4, Class WE
4.50%		02/25/36			78,550		83,743
Fannie Mae REMICS, Series 2006-49, Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
19.06%		04/25/36	²		2,256,867		3,299,621
Fannie Mae REMICS, Series 2007-17, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
3.91%		03/25/37	²		1,746,096		202,220
Fannie Mae REMICS, Series 2007-34, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
3.62%		04/25/37	²		3,912,866		605,576
Fannie Mae REMICS, Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
2.96%		07/25/37	²		5,390		5,409


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2008-24, Class NA
6.75%		06/25/37			$ 539,668		$ 600,258
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.11%		10/25/40	²		5,008,614		681,139
Fannie Mae REMICS, Series 2010-135, Class EA
3.00%		01/25/40			12,229		12,313
Fannie Mae REMICS, Series 2010-17, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
3.86%		03/25/40	²		8,935,166		1,369,102
Fannie Mae REMICS, Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
3.93%		05/25/40	²		15,854,338		2,780,670
Fannie Mae REMICS, Series 2011-101, Class HE
4.00%		10/25/41			10,100,000		10,783,343
Fannie Mae REMICS, Series 2011-111, Class DB
4.00%		11/25/41			24,977,334		26,253,094
Fannie Mae REMICS, Series 2011-2, Class PD
4.00%		12/25/39			31,032		31,338
Fannie Mae REMICS, Series 2013-101, Class BO (PO)
0.00%		10/25/43	⁹		22,843,329		19,212,218
Fannie Mae REMICS, Series 2013-101, Class CO (PO)
0.00%		10/25/43	⁹		13,943,211		11,768,245
Fannie Mae REMICS, Series 2018-29, Class AP
3.50%		11/25/46			274,001,955		278,194,985
Fannie Mae REMICS, Series 2018-55, Class PA
3.50%		01/25/47			78,017,459		79,306,044
Fannie Mae REMICS, Series 2018-86, Class JA
4.00%		05/25/47			6,573,053		6,818,728
Fannie Mae REMICS, Series 2018-94, Class KD
3.50%		12/25/48			32,711,474		33,240,801
Fannie Mae REMICS, Series 2019-1, Class AB
3.50%		02/25/49			5,505,758		5,557,397
Fannie Mae REMICS, Series 2019-1, Class KP
3.25%		02/25/49			14,500,615		14,586,244
Fannie Mae REMICS, Series G92-12, Class B
7.70%		02/25/22			3		3


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series G92-36, Class Z
7.00%		07/25/22		$ 29		$ 30
Fannie Mae REMICS, Series G93-21, Class Z
7.20%		05/25/23		2,156		2,282
Fannie Mae Trust, Series 2003-W2, Class 2A9
5.90%		07/25/42		30,174		33,326
Freddie Mac Gold Pool (TBA)
3.50%		04/15/26		81,455,000		83,402,284
Freddie Mac Gold Pool A24156
6.50%		10/01/31		211,723		234,590
Freddie Mac Gold Pool A25162
5.50%		05/01/34		2,100,920		2,294,620
Freddie Mac Gold Pool A39012
5.50%		06/01/35		42,212		46,234
Freddie Mac Gold Pool A54856
5.00%		01/01/34		4,070,378		4,387,381
Freddie Mac Gold Pool A61164
5.00%		04/01/36		12,886		13,861
Freddie Mac Gold Pool A97038
4.00%		02/01/41		13,434,643		13,978,307
Freddie Mac Gold Pool C01492
5.00%		02/01/33		662,800		711,772
Freddie Mac Gold Pool C04546
3.00%		02/01/43		21,334,927		21,353,305
Freddie Mac Gold Pool C04573
3.00%		03/01/43		26,450,764		26,604,240
Freddie Mac Gold Pool C46104
6.50%		09/01/29		16,178		17,925
Freddie Mac Gold Pool C55789
7.50%		10/01/27		6,968		7,485
Freddie Mac Gold Pool C90573
6.50%		08/01/22		36,862		38,865
Freddie Mac Gold Pool E02402
6.00%		10/01/22		9,849		10,137
Freddie Mac Gold Pool G00992
7.00%		11/01/28		735		810
Freddie Mac Gold Pool G01515
5.00%		02/01/33		667,004		715,577
Freddie Mac Gold Pool G02579
5.00%		12/01/34		965,177		1,040,942
Freddie Mac Gold Pool G02884
6.00%		04/01/37		2,439,221		2,719,447
Freddie Mac Gold Pool G02955
5.50%		03/01/37		3,630,092		4,019,455
Freddie Mac Gold Pool G03357
5.50%		08/01/37		1,477,020		1,617,211


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G03676
5.50%		12/01/37		$ 2,669,585		$ 2,957,604
Freddie Mac Gold Pool G03783
5.50%		01/01/38		1,871,626		2,072,639
Freddie Mac Gold Pool G03985
6.00%		03/01/38		22,776		25,625
Freddie Mac Gold Pool G04438
5.50%		05/01/38		5,124,599		5,597,400
Freddie Mac Gold Pool G04703
5.50%		08/01/38		4,660,976		5,112,167
Freddie Mac Gold Pool G04706
5.50%		09/01/38		192,995		215,736
Freddie Mac Gold Pool G05866
4.50%		02/01/40		19,120,967		20,500,074
Freddie Mac Gold Pool G06361
4.00%		03/01/41		25,459		26,650
Freddie Mac Gold Pool G06498
4.00%		04/01/41		25,518,253		26,766,756
Freddie Mac Gold Pool G06499
4.00%		03/01/41		12,311,522		12,820,890
Freddie Mac Gold Pool G07408
3.50%		06/01/43		23,985,757		24,715,185
Freddie Mac Gold Pool G07786
4.00%		08/01/44		229,988,205		241,384,327
Freddie Mac Gold Pool G07848
3.50%		04/01/44		118,702,501		121,630,302
Freddie Mac Gold Pool G07849
3.50%		05/01/44		17,020,129		17,420,198
Freddie Mac Gold Pool G07924
3.50%		01/01/45		24,817,920		25,479,588
Freddie Mac Gold Pool G07925
4.00%		02/01/45		14,946,826		15,662,552
Freddie Mac Gold Pool G08676
3.50%		11/01/45		91,238,983		92,863,709
Freddie Mac Gold Pool G08681
3.50%		12/01/45		60,215,110		61,287,383
Freddie Mac Gold Pool G08710
3.00%		06/01/46		296,258,238		295,225,799
Freddie Mac Gold Pool G08711
3.50%		06/01/46		26,622,847		27,091,367
Freddie Mac Gold Pool G08715
3.00%		08/01/46		423,384,483		421,908,819
Freddie Mac Gold Pool G08721
3.00%		09/01/46		28,428,080		28,329,005
Freddie Mac Gold Pool G08722
3.50%		09/01/46		116,400,981		118,427,828
Freddie Mac Gold Pool G08726
3.00%		10/01/46		461,726,989		460,031,586


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08727
3.50%		10/01/46		$ 94,808,322		$ 96,426,730
Freddie Mac Gold Pool G08732
3.00%		11/01/46		274,414,367		273,406,751
Freddie Mac Gold Pool G08737
3.00%		12/01/46		160,654,983		160,065,078
Freddie Mac Gold Pool G08741
3.00%		01/01/47		158,455,804		157,875,805
Freddie Mac Gold Pool G08742
3.50%		01/01/47		145,386,669		147,865,687
Freddie Mac Gold Pool G08747
3.00%		02/01/47		51,364,760		51,176,749
Freddie Mac Gold Pool G08757
3.50%		04/01/47		73,428,823		74,673,606
Freddie Mac Gold Pool G08762
4.00%		05/01/47		60,309,330		62,506,152
Freddie Mac Gold Pool G08791
3.00%		12/01/47		298,174,064		296,918,897
Freddie Mac Gold Pool G08826
5.00%		06/01/48		50,699,796		53,829,402
Freddie Mac Gold Pool G08833
5.00%		07/01/48		28,196,613		29,938,698
Freddie Mac Gold Pool G08838
5.00%		09/01/48		15,474,913		16,430,928
Freddie Mac Gold Pool G08840
5.00%		08/01/48		5,561,658		5,890,357
Freddie Mac Gold Pool G08843
4.50%		10/01/48		42,329,273		44,202,547
Freddie Mac Gold Pool G08844
5.00%		10/01/48		47,266,987		50,089,261
Freddie Mac Gold Pool G08849
5.00%		11/01/48		18,928,663		20,047,409
Freddie Mac Gold Pool G11707
6.00%		03/01/20		15,387		15,416
Freddie Mac Gold Pool G12393
5.50%		10/01/21		1,062,751		1,082,857
Freddie Mac Gold Pool G12399
6.00%		09/01/21		670		686
Freddie Mac Gold Pool G12824
6.00%		08/01/22		848,245		878,939
Freddie Mac Gold Pool G12909
6.00%		11/01/22		2,204,725		2,290,903
Freddie Mac Gold Pool G13032
6.00%		09/01/22		311,938		320,592
Freddie Mac Gold Pool G13058
4.50%		10/01/20		27,259		27,309
Freddie Mac Gold Pool G16085
2.50%		02/01/32		5,783,269		5,757,383


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G16524
3.50%		05/01/33		$ 56,041,430		$ 57,582,088
Freddie Mac Gold Pool G16584
3.50%		08/01/33		13,092,752		13,407,631
Freddie Mac Gold Pool G16607
3.50%		09/01/33		115,547,317		118,723,874
Freddie Mac Gold Pool G16623
2.50%		09/01/32		53,774,690		53,563,441
Freddie Mac Gold Pool G16755
3.50%		02/01/34		135,152,264		138,741,083
Freddie Mac Gold Pool G16756
3.50%		01/01/34		10,260,475		10,539,343
Freddie Mac Gold Pool G18596
3.00%		04/01/31		69,338,920		70,148,119
Freddie Mac Gold Pool G18691
3.00%		06/01/33		34,423,671		34,773,700
Freddie Mac Gold Pool G18692
3.50%		06/01/33		57,206,628		58,582,443
Freddie Mac Gold Pool G18713
3.50%		11/01/33		75,549,665		77,366,629
Freddie Mac Gold Pool G60023
3.50%		04/01/45		21,025,855		21,544,742
Freddie Mac Gold Pool G60080
3.50%		06/01/45		252,387,205		259,037,204
Freddie Mac Gold Pool G60138
3.50%		08/01/45		176,272,854		180,623,020
Freddie Mac Gold Pool G60238
3.50%		10/01/45		77,669,610		79,667,536
Freddie Mac Gold Pool G67700
3.50%		08/01/46		57,262,590		58,699,789
Freddie Mac Gold Pool G67703
3.50%		04/01/47		569,390,285		583,147,267
Freddie Mac Gold Pool G67706
3.50%		12/01/47		302,670,969		309,794,602
Freddie Mac Gold Pool G67707
3.50%		01/01/48		655,961,754		671,888,683
Freddie Mac Gold Pool G67708
3.50%		03/01/48		752,512,646		767,633,191
Freddie Mac Gold Pool G67709
3.50%		03/01/48		488,932,618		499,722,437
Freddie Mac Gold Pool G67710
3.50%		03/01/48		517,457,778		527,026,685
Freddie Mac Gold Pool G67711
4.00%		03/01/48		137,880,086		144,195,118
Freddie Mac Gold Pool G67713
4.00%		06/01/48		204,297,665		213,259,214
Freddie Mac Gold Pool G67717
4.00%		11/01/48		194,721,792		203,518,525


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G67718
4.00%		01/01/49			$315,926,738		$329,189,642
Freddie Mac Gold Pool H00790
5.50%		05/01/37			16,725		17,691
Freddie Mac Gold Pool H03161
6.50%		08/01/37			1,129		1,233
Freddie Mac Gold Pool H05069
5.50%		05/01/37			509,524		538,948
Freddie Mac Gold Pool Q05804
4.00%		01/01/42			42,179,386		44,322,136
Freddie Mac Gold Pool U99097
3.50%		07/01/43			72,844,538		74,331,361
Freddie Mac Gold Pool V62078
3.50%		08/01/33			13,206,307		13,548,001
Freddie Mac Gold Pool V62129
3.50%		08/01/33			27,507,097		28,179,463
Freddie Mac Gold Pool V80356
3.50%		08/01/43			44,268,890		45,559,811
Freddie Mac REMICS, Series 1004, Class H
7.95%		10/15/20			10		10
Freddie Mac REMICS, Series 1073, Class G
7.00%		05/15/21			121		125
Freddie Mac REMICS, Series 1107, Class ZC
6.50%		07/15/21			1,516		1,559
Freddie Mac REMICS, Series 165, Class K
6.50%		09/15/21			9		9
Freddie Mac REMICS, Series 1980, Class Z
7.00%		07/15/27			87,423		97,090
Freddie Mac REMICS, Series 1983, Class Z
6.50%		12/15/23			31,233		32,794
Freddie Mac REMICS, Series 2098, Class TZ
6.00%		01/15/28			357,089		384,110
Freddie Mac REMICS, Series 2174, Class PN
6.00%		07/15/29			19,098		20,678
Freddie Mac REMICS, Series 2313, Class LA
6.50%		05/15/31			9,688		11,023
Freddie Mac REMICS, Series 2433, Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
14.47%		02/15/32	²		10,298		14,279


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 2481, Class AW
6.50%		08/15/32			$ 40,038		$ 43,271
Freddie Mac REMICS, Series 2642,
Class BW (IO)
5.00%		06/15/23			3,849		48
Freddie Mac REMICS, Series 2649, Class PC
5.50%		07/15/33			1,508		1,515
Freddie Mac REMICS, Series 3019, Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
4.72%		08/15/35	²		1,597,916		325,861
Freddie Mac REMICS, Series 3063, Class YG
5.50%		11/15/35			4,111,904		4,501,535
Freddie Mac REMICS, Series 3300, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
4.72%		08/15/35	²		706,474		123,093
Freddie Mac REMICS, Series 3707, Class EI (IO)
5.00%		12/15/38			11,736,018		970,078
Freddie Mac REMICS, Series 3730, Class JG
3.00%		09/15/39			13,761		13,774
Freddie Mac REMICS, Series 3752, Class XL
4.50%		11/15/40			66,277,000		70,692,367
Freddie Mac REMICS, Series 3891, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
3.47%		07/15/41	²		7,384,911		585,420
Freddie Mac REMICS, Series 3904, Class JB
4.50%		08/15/41			18,155,000		19,470,784
Freddie Mac REMICS, Series 3925, Class LB
4.50%		09/15/41			9,215,000		10,428,427
Freddie Mac REMICS, Series 3928, Class JD
4.00%		09/15/41			32,095,702		33,868,521
Freddie Mac REMICS, Series 4102, Class TC
2.50%		09/15/41			18,072,835		17,965,871
Freddie Mac REMICS, Series 4161, Class BA
2.50%		12/15/41			27,363,434		26,989,389
Freddie Mac REMICS, Series 4818, Class CA
3.00%		04/15/48			8,035,718		7,950,817
Freddie Mac REMICS, Series 4846, Class PA
4.00%		06/15/47			2,983,923		3,096,876


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 4852, Class CA
4.00%		11/15/47			$80,141,545		$84,330,193
Freddie Mac REMICS, Series 4860, Class BH
3.50%		10/15/48			55,087,927		55,996,302
Freddie Mac REMICS, Series 4860, Class PA
3.50%		02/15/49			16,146,302		16,352,154
Freddie Mac Strips, Series 309, Class PO (PO)
0.00%		08/15/43	⁹		33,405,361		27,720,370
Freddie Mac Strips, Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
2.98%		11/15/43	²		6,412,199		6,418,108
Ginnie Mae I Pool 782817
4.50%		11/15/39			19,752,999		20,796,269
Ginnie Mae II Pool (TBA)
5.00%		04/20/49			26,025,000		27,192,472
Ginnie Mae II Pool 2631
7.00%		08/20/28			2,119		2,358
Ginnie Mae II Pool 3388
4.50%		05/20/33			6,123		6,406
Ginnie Mae II Pool 3427
4.50%		08/20/33			2,006		2,103
Ginnie Mae II Pool 3554
4.50%		05/20/34			2,017		2,114
Ginnie Mae II Pool 4058
5.00%		12/20/37			1,201		1,266
Ginnie Mae II Pool 4342
5.00%		01/20/39			1,727		1,855
Ginnie Mae II Pool 4520
5.00%		08/20/39			33,766		35,930
Ginnie Mae II Pool 5175
4.50%		09/20/41			10,932		11,515
Ginnie Mae II Pool 5281
4.50%		01/20/42			21,370		22,508
Ginnie Mae II Pool 783591
4.50%		07/20/41			28,395		29,912
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.75%		07/20/34	²		16,102		16,599
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.38%		03/20/35	²		23,385		23,711


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.75%		08/20/35	²		$ 29,629		$ 30,869
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
4.13%		10/20/35	²		24,960		25,941
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.63%		05/20/25	²		4,889		5,009
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.63%		06/20/25	²		6,819		6,933
Ginnie Mae II Pool MA0627
4.50%		12/20/42			84,050		88,556
Ginnie Mae II Pool MA0701
4.50%		01/20/43			106,058		111,183
Ginnie Mae II Pool MA1997
4.50%		06/20/44			24,116		25,447
Ginnie Mae II Pool MA2374
5.00%		11/20/44			603,746		645,836
Ginnie Mae II Pool MA2756
4.50%		04/20/45			53,385		56,199
Ginnie Mae II Pool MA2828
4.50%		05/20/45			2,288,419		2,387,841
Ginnie Mae II Pool MA2894
4.50%		06/20/45			877,482		918,946
Ginnie Mae II Pool MA3036
4.50%		08/20/45			96,849		101,967
Ginnie Mae II Pool MA3456
4.50%		02/20/46			633,209		663,511
Ginnie Mae II Pool MA3521
3.50%		03/20/46			85,930,872		87,974,273
Ginnie Mae II Pool MA3524
5.00%		03/20/46			25,424		27,209
Ginnie Mae II Pool MA3597
3.50%		04/20/46			216,815,085		221,970,514
Ginnie Mae II Pool MA3600
5.00%		04/20/46			16,583,740		17,745,751
Ginnie Mae II Pool MA3663
3.50%		05/20/46			63,373,563		64,880,379
Ginnie Mae II Pool MA3665
4.50%		05/20/46			262,101		275,264
Ginnie Mae II Pool MA3666
5.00%		05/20/46			9,117,661		9,756,717
Ginnie Mae II Pool MA3738
4.50%		06/20/46			1,131,080		1,187,885


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA3739
5.00%		06/20/46		$ 5,333,422		$ 5,706,011
Ginnie Mae II Pool MA3805
4.50%		07/20/46		9,190,668		9,652,242
Ginnie Mae II Pool MA3806
5.00%		07/20/46		401,214		429,274
Ginnie Mae II Pool MA3876
4.50%		08/20/46		9,513,373		9,991,155
Ginnie Mae II Pool MA3877
5.00%		08/20/46		1,918,934		2,059,129
Ginnie Mae II Pool MA3937
3.50%		09/20/46		50,169,537		51,363,432
Ginnie Mae II Pool MA3939
4.50%		09/20/46		5,139,987		5,483,741
Ginnie Mae II Pool MA4003
3.00%		10/20/46		26,150,680		26,319,443
Ginnie Mae II Pool MA4006
4.50%		10/20/46		5,746,692		6,038,895
Ginnie Mae II Pool MA4007
5.00%		10/20/46		11,559,933		12,367,963
Ginnie Mae II Pool MA4069
3.50%		11/20/46		156,572,819		160,297,187
Ginnie Mae II Pool MA4071
4.50%		11/20/46		16,996,495		17,953,961
Ginnie Mae II Pool MA4072
5.00%		11/20/46		2,817,504		3,058,709
Ginnie Mae II Pool MA4126
3.00%		12/20/46		433,891,882		436,691,556
Ginnie Mae II Pool MA4127
3.50%		12/20/46		162,503,854		166,368,371
Ginnie Mae II Pool MA4129
4.50%		12/20/46		49,997,413		52,539,637
Ginnie Mae II Pool MA4198
4.50%		01/20/47		447,740		465,603
Ginnie Mae II Pool MA4199
5.00%		01/20/47		9,350,990		10,003,974
Ginnie Mae II Pool MA4264
4.50%		02/20/47		145,965,389		152,885,550
Ginnie Mae II Pool MA4265
5.00%		02/20/47		2,588,324		2,765,812
Ginnie Mae II Pool MA4324
5.00%		03/20/47		14,034,073		14,999,306
Ginnie Mae II Pool MA4382
3.50%		04/20/47		118,420,525		121,131,917
Ginnie Mae II Pool MA4384
4.50%		04/20/47		7,483,306		7,838,087
Ginnie Mae II Pool MA4385
5.00%		04/20/47		24,312,783		25,719,042


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4453
4.50%		05/20/47		$399,363,179		$418,296,827
Ginnie Mae II Pool MA4454
5.00%		05/20/47		56,451,197		59,539,941
Ginnie Mae II Pool MA4511
4.00%		06/20/47		25,619,386		26,544,354
Ginnie Mae II Pool MA4512
4.50%		06/20/47		1,412,185		1,479,136
Ginnie Mae II Pool MA4513
5.00%		06/20/47		1,113,292		1,174,206
Ginnie Mae II Pool MA4586
3.50%		07/20/47		198,885,962		203,293,706
Ginnie Mae II Pool MA4589
5.00%		07/20/47		56,623,053		59,508,864
Ginnie Mae II Pool MA4652
3.50%		08/20/47		1,404,579		1,435,707
Ginnie Mae II Pool MA4655
5.00%		08/20/47		66,436,782		69,822,752
Ginnie Mae II Pool MA4719
3.50%		09/20/47		200,273,267		204,711,758
Ginnie Mae II Pool MA4720
4.00%		09/20/47		524,137		542,405
Ginnie Mae II Pool MA4722
5.00%		09/20/47		1,283,164		1,348,378
Ginnie Mae II Pool MA4781
5.00%		10/20/47		17,159,497		18,034,036
Ginnie Mae II Pool MA4836
3.00%		11/20/47		398,829,668		400,552,756
Ginnie Mae II Pool MA4837
3.50%		11/20/47		478,161,117		488,758,205
Ginnie Mae II Pool MA4838
4.00%		11/20/47		175,271,093		181,261,805
Ginnie Mae II Pool MA4840
5.00%		11/20/47		4,746,780		4,969,522
Ginnie Mae II Pool MA4900
3.50%		12/20/47		30,904,275		31,589,181
Ginnie Mae II Pool MA4901
4.00%		12/20/47		121,041,269		125,178,421
Ginnie Mae II Pool MA4961
3.00%		01/20/48		1,109,336		1,114,129
Ginnie Mae II Pool MA4963
4.00%		01/20/48		215,371,128		222,732,446
Ginnie Mae II Pool MA5137
4.00%		04/20/48		93,265,575		96,347,756
Ginnie Mae II Pool MA5399
4.50%		08/20/48		21,954,757		22,812,431
Ginnie Mae II Pool MA5466
4.00%		09/20/48		34,250,089		35,381,964


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA5528
4.00%		10/20/48			$162,947,714		$168,372,520
Ginnie Mae II Pool MA5530
5.00%		10/20/48			40,735,046		42,607,904
Ginnie Mae, Series 2000-22, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 10.80%, 10.80% Cap)
8.32%		05/16/30	²		1,953		34
Ginnie Mae, Series 2003-86, Class ZK
5.00%		10/20/33			8,382,312		8,976,215
Ginnie Mae, Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
4.27%		06/16/37	²		15,840,137		2,641,461
Ginnie Mae, Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
3.76%		03/20/36	²		12,930,834		1,329,689
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
4.31%		05/20/37	²		32,544,137		4,333,789
Ginnie Mae, Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
3.99%		12/20/39	²		5,356,192		972,891
Ginnie Mae, Series 2009-17, Class P
4.00%		08/16/38			10,309		10,406
Ginnie Mae, Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
4.32%		07/16/39	²		57,319		7,062
Ginnie Mae, Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
3.82%		08/16/38	²		92,654		7,841
Ginnie Mae, Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
3.92%		01/16/40	²		67,915		10,885
Ginnie Mae, Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
3.32%		01/16/40	²		12,348,091		1,685,315
Ginnie Mae, Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
4.02%		09/16/39	²		3,394,256		252,713
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			156,438		31,914
Ginnie Mae, Series 2013-113, Class LY
3.00%		05/20/43			51,184,000		50,070,948
Ginnie Mae, Series 2018-124, Class NW
3.50%		09/20/48			2,187,398		2,226,899
Ginnie Mae, Series 2019-1, Class NP
3.50%		01/20/49			44,892,159		45,356,074
Ginnie Mae, Series 2019-15, Class GT
3.50%		02/20/49			39,736,806		40,440,188


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes Trust,
Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
2.93%		10/07/20	²		$ 9,269,140		$ 9,267,486
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
3.04%		12/08/20	²		7,291,491		7,329,656
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
3.04%		12/08/20	²		19,283,940		19,356,351


							20,971,206,224

Total Mortgage-Backed (Cost $27,588,355,004)							27,874,030,832

MUNICIPAL BONDS — 0.72%*
California — 0.25%
Los Angeles Department of Water & Power, Build America Bonds, Series SY
6.01%		07/01/39			350,000		439,495
Los Angeles Department of Water & Power, Electric Light and Power Improvements, Series C
5.52%		07/01/27			12,625,000		14,898,889
Los Angeles Unified School District, Build America Bonds, Series KR
5.75%		07/01/34			2,765,000		3,402,360
Los Angeles Unified School District, Build America Bonds, Series RY
6.76%		07/01/34			12,165,000		16,201,347
San Jose Redevelopment Agency Successor Agency, Series A-T
3.08%		08/01/25			3,250,000		3,283,443
3.18%		08/01/26			450,000		455,166
State of California, Build America Bonds
6.65%		03/01/22			4,245,000		4,672,769
7.95%		03/01/36			77,500,000		81,206,050
State of California, Build America Bonds, Various Purpose
7.50%		04/01/34			3,885,000		5,614,252
State of California, Taxable, Miscellaneous Revenue Bonds, Series B
2.19%		04/01/47			17,800,000		17,750,160
University of California, Taxable Revenue Bonds, Series AP
3.93%		05/15/45			30,040,000		30,812,328


							178,736,259


Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
New Jersey — 0.00%
Jersey City Municipal Utilities Authority
5.47%		05/15/27		$ 400,000		$ 446,088
New Jersey Turnpike Authority
3.73%		01/01/36		300,000		303,972


						750,060

New York — 0.47%
City of New York, Build America Bonds
4.77%		10/01/23		4,420,000		4,807,104
5.21%		10/01/31		6,420,000		7,468,001
5.52%		10/01/37		6,075,000		7,520,425
5.82%		10/01/31		220,000		230,221
5.99%		12/01/36		14,055,000		17,570,858
City of New York, Build America Bonds, Series F1
6.65%		12/01/31		46,470,000		49,443,151
Fiscal Year 2005 Securitization Corp.,
Special Obligation, Series B
4.93%		04/01/20		15,000		15,046
New York City Municipal Water Finance
Authority, Build America Bonds, Series SE
6.49%		06/15/42		3,555,000		3,713,304
New York City Transitional Finance Authority
Future Tax Secured Revenue
3.73%		08/01/29		22,505,000		23,454,261
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds, Public
Improvements, Subseries C-5
3.90%		05/01/31		15,000,000		15,625,800
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds, Public
Improvements, Subseries F-2
2.90%		05/01/26		7,235,000		7,253,305
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Subseries FI
4.00%		08/01/33		6,450,000		6,724,447
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Subseries SU
3.88%		08/01/31		3,135,000		3,267,516
New York City Transitional Finance Authority
Revenue, Future Tax Secured Revenue,
Build America Bonds
5.51%		08/01/37		25,000,000		30,383,750
New York City Transitional Finance Authority
Revenue, Future Tax Secured Revenue,
Qualified School Construction Bonds
5.01%		08/01/27		5,225,000		5,946,363
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		14,988,480


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York City Water and Sewer Authority,
Build America, Taxable Bonds
5.88%		06/15/44			$ 5,505,000		$ 7,536,620
New York City Water and Sewer Authority,
Build America, Taxable Bonds, Series SE
6.01%		06/15/42			3,945,000		5,389,422
New York State Dormitory Authority, Taxable, Build America Bonds
5.43%		03/15/39			21,400,000		25,710,174
New York State Dormitory Authority,
Build America Bonds
5.29%		03/15/33			44,990,000		52,696,787
5.50%		03/15/30			21,430,000		24,990,380
New York State Urban Development Corp., Economic Improvements, Revenue Bonds, Series D-2
3.32%		03/15/29			18,330,000		18,458,677
New York State Urban Development Corp., Personal Income Tax, Series SE
3.20%		03/15/22			5,870,000		5,967,735


							339,161,827

Texas — 0.00%
Texas Transportation Commission State
Highway Fund, Taxable, Fuel Sales Revenue Bonds, Series B
5.18%		04/01/30			3,075,000		3,615,032


Total Municipal Bonds (Cost $514,347,948)							522,263,178

U.S. TREASURY SECURITIES — 26.25%
U.S. Treasury Bonds — 7.05%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.00%		02/15/48	¹⁰		117,329,980		119,860,829
U.S. Treasury Bonds (WI)
3.00%		02/15/49			4,792,702,000		4,966,167,762


							5,086,028,591

U.S. Treasury Notes — 19.20%
U.S. Treasury Notes
2.13%		03/31/24			5,179,060,000		5,150,838,163
2.25%		03/31/21			13,675,000		13,669,658
2.38%		02/29/24			2,252,562,000		2,267,564,423
2.50%		01/31/21			2,098,216,000		2,105,616,492
2.50%		02/28/21			1,249,889,000		1,254,869,033
2.50%		01/31/24			513,133,000		519,124,962
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.13%		07/15/24	¹⁰		12,429,438		12,276,277
0.38%		07/15/25	¹⁰		166,336,695		166,247,550
0.75%		07/15/28	¹⁰		258,945,297		264,742,153

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)

U.S. Treasury Notes (WI)

2.63%

02/15/29

$2,052,247,000

$ 2,090,538,543

13,845,487,254

Total U.S. Treasury Securities

(Cost $18,667,853,616)

18,931,515,845

Total Bonds – 98.25%

(Cost $70,026,446,879)

70,847,233,048

Issues

Shares

Value

COMMON STOCK — 0.01%

Electric — 0.01%

Homer City Holdings

LLC^3,4,5,6,11

1,180,703

10,035,975

Total Common Stock

(Cost $65,187,440)

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 8.96%

Commercial Paper — 0.21%

Ford Motor Credit Co. LLC

3.14%¹²

04/04/19

28,825,000

28,810,434

3.14%¹²

04/05/19

125,000,000

124,926,233

153,736,667

Money Market Funds — 5.77%

Dreyfus Government Cash Management Fund

2.32%¹³

2,030,568,000

Fidelity Investments Money Market Funds - Government Portfolio

2.31%^13,14

JPMorgan U.S. Government

Money Market Fund

2.34%¹³

570,350,000

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

2.39%¹³

1,559,886,000

4,160,804,024


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Agency Discount Notes — 1.11%
Federal Home Loan Bank
0.00%¹²		04/09/19		$300,000,000		$ 299,841,300
0.00%¹²		05/03/19		300,000,000		299,357,334
0.00%¹²		05/29/19		200,000,000		199,201,630


						798,400,264

U.S. Treasury Bills — 1.87%
U.S. Treasury Bills
2.40%¹²		04/11/19		450,000,000		449,703,833
2.40%¹²		04/23/19		300,000,000		299,562,873
2.40%¹²		04/30/19		500,000,000		499,037,360
2.41%^12,15		06/20/19		97,900,000		97,387,009


						1,345,691,075


Total Short-Term Investments
(Cost $6,458,663,011)						6,458,632,030


Total Investments – 107.22%
(Cost $76,550,297,330)						77,315,901,053


Liabilities in Excess of Other Assets – (7.22)%						(5,204,931,525	)


Net Assets – 100.00%						$72,110,969,528

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

²	Floating rate security. The rate disclosed was in effect at March 31, 2019.

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 Board of Trustees. The aggregate value of illiquid securities is $65,346,688, which is 0.09% of total net assets.

⁶	Non-income producing security.

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

⁸	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.

⁹	Zero coupon bond. The rate shown is the effective yield as of March 31, 2019.

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

¹¹	Affiliated investment.

¹²	Represents annualized yield at date of purchase.

¹³	Represents the current yield as of March 31, 2019.

¹⁴	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged for swaps is $24.

¹⁵	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged for futures is $97,381,130.

^†

Fair valued security. The aggregate value of fair valued securities is $8,584,058, which is 0.01% of total net assets. These securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements.

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

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

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized Loan Obligation

(EMTN): Euro medium-term note

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term Note

(PO): Principal only

(SOFR): Secured Overnight Financing Rate

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 77.50%
ASSET-BACKED SECURITIES — 2.40%**
Nelnet Student Loan Trust, Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
3.09%		10/27/36	^1,2	$	434,877	$	431,953
SLM Student Loan Trust, Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.47%)
3.08%		12/15/27	^1,2		358,133		358,515
SLM Student Loan Trust, Series 2003-14, Class A6
(LIBOR USD 3-Month plus 0.30%)
3.07%		07/25/25	¹		348,221		346,812
SLM Student Loan Trust, Series 2005-8, Class A4
(LIBOR USD 3-Month plus 0.55%)
3.32%		01/25/28	¹		366,416		367,250
SLM Student Loan Trust, Series 2007-6, Class A4
(LIBOR USD 3-Month plus 0.38%)
3.15%		10/25/24	¹		337,571		337,952
SLM Student Loan Trust, Series 2007-8, Class A4
(LIBOR USD 3-Month plus 0.47%)
3.24%		01/26/26	¹		241,775		242,319
SLM Student Loan Trust, Series 2011-1, Class A1
(LIBOR USD 1-Month plus 0.52%)
3.01%		03/25/26	¹		224,397		224,674
SLM Student Loan Trust, Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
3.04%		06/25/43	¹		152,705		152,116


Total Asset-Backed Securities
(Cost $2,464,510)							2,461,591


CORPORATES — 21.53%*
Banking — 5.31%
Bank of America Corp.
7.63%		06/01/19			500,000		503,848
Bank of America Corp. (GMTN)
2.37%		07/21/21	³		250,000		248,558
Bank of New York Mellon Corp., (The) Series G
2.20%		05/15/19			500,000		499,695
JPMorgan Chase & Co.
(LIBOR USD 3-Month plus 0.68%)
3.31%		06/01/21	¹		400,000		400,452
(LIBOR USD 3-Month plus 1.00%)
3.79%		01/15/23	¹		200,000		202,284


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase Bank N.A. (BKNT)
3.09%		04/26/21	³	$	250,000	$	250,629
(LIBOR USD 3-Month plus 0.29%)
3.03%		02/01/21	¹		500,000		500,217
Lloyds Bank PLC (United Kingdom)
2.40%		03/17/20	⁴		350,000		348,847
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^2,4		150,000		153,472
US Bank N.A. (BKNT)
3.05%		07/24/20			550,000		553,444
Wells Fargo Bank N.A. (BKNT)
2.40%		01/15/20			1,000,000		996,782
3.33%		07/23/21	³		275,000		276,957
(SOFR Rate plus 0.48%)
2.94%		03/25/20	¹		500,000		500,625


							5,435,810


Communications — 0.55%
Discovery Communications LLC
2.75%		11/15/19	²		200,000		199,551
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		368,750		368,215


							567,766


Consumer Discretionary — 0.61%
Constellation Brands, Inc.
2.00%		11/07/19			200,000		198,935
(LIBOR USD 3-Month plus 0.70%)
3.38%		11/15/21	¹		125,000		125,077
Molson Coors Brewing Co.
1.45%		07/15/19			300,000		298,721


							622,733


Electric — 0.24%
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.55%)
3.18%		08/28/21	¹		250,000		249,529


Finance — 4.76%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
4.63%		10/30/20	⁴		200,000		204,663
American Express Credit Corp. (GMTN)
2.25%		08/15/19			300,000		299,709
BMW U.S. Capital LLC
(LIBOR USD 3-Month plus 0.38%)
2.97%		04/06/20	^1,2		375,000		375,446


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Citigroup, Inc.
8.50%		05/22/19		$	1,050,000	$	1,058,556
(LIBOR USD 3-Month plus 0.95%)
3.73%		07/24/23	¹		308,000		308,644
Daimler Finance North America LLC
1.75%		10/30/19	²		200,000		198,730
Ford Motor Credit Co. LLC
2.60%		11/04/19			500,000		498,394
(LIBOR USD 3-Month plus 0.79%)
3.39%		06/12/20	¹		250,000		248,016
GE Capital International Funding Co.
(Ireland)
2.34%		11/15/20	⁴		310,000		306,215
Morgan Stanley (GMTN)
5.50%		07/24/20			500,000		517,123
7.30%		05/13/19			350,000		351,813
Morgan Stanley (MTN)
5.63%		09/23/19			500,000		506,572


							4,873,881


Food — 1.69%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.50%)
3.11%		03/16/20	¹		240,000		239,506
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
3.09%		10/09/20	¹		325,000		323,392
(LIBOR USD 3-Month plus 0.75%)
3.51%		10/22/20	¹		200,000		199,830
Danone SA (France)
1.69%		10/30/19	^2,4		250,000		248,411
Kraft Heinz Foods Co.
(LIBOR USD 3-Month plus 0.42%)
3.12%		08/09/19	¹		350,000		350,138
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%		10/28/19	^2,4		375,000		372,168


							1,733,445


Health Care — 2.06%
Bayer U.S. Finance LLC
2.38%		10/08/19	²		300,000		299,214
Becton Dickinson and Co.
(LIBOR USD 3-Month plus 0.88%)
3.48%		12/29/20	¹		243,000		243,026
Cigna Corp.
3.20%		09/17/20	²		200,000		201,164
CVS Health Corp.
2.25%		08/12/19			325,000		324,283


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Fresenius Medical Care U.S. Finance II, Inc.
5.63%		07/31/19	²	$	250,000	$	251,628
Humana, Inc.
2.63%		10/01/19			300,000		299,645
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	⁴		250,000		248,949
Zimmer Biomet Holdings, Inc. (LIBOR USD 3-Month plus 0.75%)
3.38%		03/19/21	¹		240,000		239,277


							2,107,186


Industrials — 1.69%
BAE Systems Holdings, Inc.
6.38%		06/01/19	²		325,000		326,634
Bemis Co., Inc.
6.80%		08/01/19			300,000		303,849
General Electric Co. (GMTN)
2.20%		01/09/20			250,000		248,437
4.63%		01/07/21			310,000		318,122
6.00%		08/07/19			150,000		151,593
General Electric Co. (MTN)
5.55%		05/04/20			125,000		128,414
United Technologies Corp.
(LIBOR USD 3-Month plus 0.65%)
3.33%		08/16/21	¹		250,000		250,167


							1,727,216


Information Technology — 0.38%
Analog Devices, Inc.
2.85%		03/12/20			120,000		120,074
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20			275,000		273,607


							393,681


Materials — 0.24%
Georgia-Pacific LLC
2.54%		11/15/19	²		250,000		249,637


Real Estate Investment Trust (REIT) — 2.99%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			300,000		299,541
American Campus Communities Operating Partnership LP
3.35%		10/01/20			400,000		401,108
Digital Realty Trust LP
5.25%		03/15/21			250,000		259,184
GLP Capital LP/GLP Financing II, Inc.
4.88%		11/01/20			375,000		382,413


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
HCP, Inc.
2.63%		02/01/20		$	650,000	$	648,429
Reckson Operating Partnership LP
7.75%		03/15/20			250,000		260,563
UDR, Inc.
3.70%		10/01/20			500,000		505,260
WEA Finance LLC/Westfield UK & Europe Finance PLC
2.70%		09/17/19	²		300,000		299,787


							3,056,285


Retail — 0.83%
Alimentation Couche-Tard, Inc. (Canada)
2.35%		12/13/19	^2,4		300,000		298,689
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.47%		04/17/20	¹		300,000		300,069
Walgreens Boots Alliance, Inc.
2.70%		11/18/19			250,000		249,591


							848,349


Transportation — 0.18%
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			178,694		184,466


Total Corporates
(Cost $22,010,999)							22,049,984


MORTGAGE-BACKED — 31.53%**

Non-Agency Commercial
Mortgage-Backed — 1.64%
Commercial Mortgage Trust, Series 2013-CR7, Class XA (IO)
1.23%		03/10/46	³		3,276,546		123,284
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
0.91%		08/10/48	³		4,336,632		186,688
Four Times Square Trust Commercial
Mortgage Pass-Through Certificates,
Series 2006-4TS, Class A
5.40%		12/13/28	²		141,925		148,143
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2006-LDP9, Class A3S
5.24%		05/15/47	²		20,004		19,928
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class ASB
3.14%		05/15/45			429,083		432,767
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class XA (IO)
1.35%		02/15/46	³		4,254,143		182,289


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
OBP Depositor LLC Trust, Series 2010-OBP, Class A
4.65%		07/15/45	²	$	150,000	$	151,862
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA (IO)
1.88%		11/15/45	^2,3		1,676,982		93,735
WF-RBS Commercial Mortgage Trust, Series 2013-C12, Class XA (IO)
1.27%		03/15/48	^2,3		2,163,854		85,203
WF-RBS Commercial Mortgage Trust, Series 2013-C13, Class XA (IO)
1.20%		05/15/45	^2,3		2,706,716		111,316
WF-RBS Commercial Mortgage Trust, Series 2013-C13, Class XB (IO)
0.45%		05/15/45	^2,3		8,000,000		143,426


							1,678,641


Non-Agency Mortgage-Backed — 2.38%
Aames Mortgage Trust, Series 2002-1, Class A3
(STEP-reset date 05/25/19)
7.40%		06/25/32			23,117		23,083
Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1
4.29%		05/25/35	³		142,203		137,258
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%		06/25/32			4,707		5,010
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
4.18%		02/25/34	³		53,974		52,993
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			73,922		78,752
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR31, Class 4A2
4.84%		11/25/32	³		23,471		23,734
DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.74%)
3.22%		07/19/44	¹		163,780		164,565
First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4
(LIBOR USD 1-Month plus 0.15%)
2.64%		07/25/36	¹		151,729		151,851
Fremont Home Loan Trust, Series 2005-C, Class M1
(LIBOR USD 1-Month plus 0.72%)
3.21%		07/25/35	¹		10,166		10,194


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GE Mortgage Services LLC,
Series 1998-HE1, Class A7
6.47%		06/25/28		$	7	$	7
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
3.27%		12/25/34	¹		422,575		365,580
IndyMac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
4.66%		10/25/34	³		134,665		132,506
JPMorgan Mortgage Trust, Series 2005-A2,
Class 9A1
4.86%		04/25/35	³		183,592		188,301
MASTR Adjustable Rate Mortgages Trust,
Series 2004-1, Class 2A1
5.12%		01/25/34	³		11,737		11,750
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
4.48%		10/25/34	³		286,385		289,364
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
3.62%		06/25/34	³		5,883		5,860
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A2⁵
0.00%		03/25/47	^6,7,8,†		4,000,000		—
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.63%		10/25/32	³		41,198		41,958
Merrill Lynch Mortgage Investors Trust,
Series 2003-A1, Class 2A
(LIBOR USD 12-Month plus 1.63%)
4.49%		12/25/32	¹		167,225		168,277
Morgan Stanley ABS Capital I Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.30%)
2.79%		12/25/35	¹		136,168		135,981
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%		11/25/31			34,570		5,636
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A8
6.50%		11/25/31			48,909		51,534
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
4.46%		12/25/34	³		105,707		105,804
Terwin NIMs Trust, Series 2004-13AL,
Class 2PX (IO)
0.34%		08/25/34	^2,6,7		2,038,309		33,152


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus 1.40%)
3.80%		06/25/42	¹	$	29,131	$	28,396
WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1
4.23%		06/25/33	³		73,411		74,609
WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
2.99%		06/25/35	¹		181,539		154,617


							2,440,772


U.S. Agency Commercial
Mortgage-Backed — 6.87%
Fannie Mae-Aces, Series 2012-M4,
Class X1 (IO)
0.57%		04/25/22	³		8,224,811		99,835
Fannie Mae-Aces, Series 2014-M12, Class FA
(LIBOR USD 1-Month plus 0.30%)
2.78%		10/25/21	¹		50,433		50,341
Fannie Mae-Aces, Series 2016-M6, Class ASQ2
1.79%		06/25/19			1,131		1,128
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
2.85%		08/25/24	¹		170,942		170,738
Freddie Mac Multifamily Structured Pass-Through Certificates, Series J15F, Class A1
2.36%		07/25/20			261,532		260,933
Freddie Mac Multifamily Structured Pass-Through Certificates, Series J22F, Class A1
3.45%		05/25/23			507,443		517,840
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A1
3.32%		07/25/20			14,992		14,973
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K012, Class X3 (IO)
2.25%		01/25/41	³		2,950,450		113,796
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K025, Class X3 (IO)
1.75%		11/25/40	³		2,000,000		117,870


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K031, Class X1 (IO)
0.23%		04/25/23	³	$	13,439,223	$	110,721
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K056, Class XAM (IO)
1.15%		05/25/26	³		1,400,000		104,125
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K504, Class A2
2.57%		09/25/20	³		1,187,981		1,186,229
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X3 (IO)
1.79%		01/25/42	³		4,000,000		112,064
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K717, Class A1
2.34%		02/25/21			122,087		121,793
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A
(LIBOR USD 1-Month plus 0.35%)
2.84%		09/25/21	¹		61,214		61,220
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF19, Class A
(LIBOR USD 1-Month plus 0.45%)
2.94%		06/25/23	¹		515,987		516,261
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP02, Class A2
2.36%		04/25/21	³		356,966		355,733
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1
(LIBOR USD 1-Month plus 0.22%)
2.71%		07/25/20	¹		770,000		769,553
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS05,
Class A
(LIBOR USD 1-Month plus 0.50%)
2.99%		01/25/23	¹		564,294		564,965
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X (IO)
0.65%		09/25/25	³		3,500,000		131,244
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
3.14%		05/25/44	¹		421,319		421,667


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
FRESB Mortgage Trust, Series 2016-SB15, Class A5H
(LIBOR USD 1-Month plus 2.06%)
2.06%		03/25/36	¹	$	521,889	$	517,941
Ginnie Mae, Series 2011-165, Class IO (IO)
0.50%		10/16/51	³		9,245,592		115,524
Ginnie Mae, Series 2012-135, Class IO (IO)
0.58%		01/16/53	³		3,933,205		120,068
Ginnie Mae, Series 2013-74, Class IO (IO)
0.79%		12/16/53	³		2,961,834		133,084
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
3.04%		03/09/21	¹		341,575		341,781


							7,031,427


U.S. Agency Mortgage-Backed — 20.64%
Fannie Mae Pool 111643
(US Treasury Yield Curve Rate T Note Constant Maturity 3 Year plus 1.57%)
2.37%		09/01/20	¹		120		119
Fannie Mae Pool 254548
5.50%		12/01/32			124,143		134,301
Fannie Mae Pool 464321
4.36%		01/01/20			627,977		632,023
Fannie Mae Pool 468764
4.16%		07/01/21			630,000		649,812
Fannie Mae Pool 523829
8.00%		11/01/19			2,633		2,636
Fannie Mae Pool 555098
(LIBOR USD 12-Month plus 1.51%)
4.39%		11/01/32	¹		15,615		15,884
Fannie Mae Pool 555424
5.50%		05/01/33			81,227		88,666
Fannie Mae Pool 567002
8.00%		05/01/23			19,514		20,544
Fannie Mae Pool 655133
7.00%		08/01/32			7,433		7,776
Fannie Mae Pool 655151
7.00%		08/01/32			14,115		14,740
Fannie Mae Pool 762525
6.50%		11/01/33			26,592		28,909
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.55%)
3.93%		04/01/34	¹		127,016		128,300
Fannie Mae Pool 893489
(LIBOR USD 12-Month plus 1.62%)
4.37%		09/01/36	¹		29,718		31,046


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AD0538
6.00%		05/01/24		$	50,311	$	52,607
Fannie Mae Pool AE0443
6.50%		10/01/39			89,632		95,693
Fannie Mae Pool AL0851
6.00%		10/01/40			82,171		90,688
Fannie Mae REMICS, Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)
7.84%		05/25/23	¹		840		912
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		1,455		1,702
Fannie Mae REMICS, Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
3.44%		10/25/31	¹		114,371		117,223
Fannie Mae REMICS, Series 2002-30, Class FB
(LIBOR USD 1-Month plus 1.00%)
3.49%		08/25/31	¹		141,477		143,579
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		18,026		20,923
Fannie Mae REMICS, Series 2003-134, Class FC
(LIBOR USD 1-Month plus 0.60%)
3.09%		12/25/32	¹		468,068		471,613
Fannie Mae REMICS, Series 2004-60, Class FW
(LIBOR USD 1-Month plus 0.45%)
2.94%		04/25/34	¹		434,143		434,449
Fannie Mae REMICS, Series 2004-79, Class F (LIBOR USD 1-Month plus 0.30%)
2.79%		08/25/32	¹		13,058		13,060
Fannie Mae REMICS, Series 2004-96, Class MT
LIBOR USD 1-Month
7.00%		12/25/34	¹		10,049		10,901
Fannie Mae REMICS, Series 2005-114, Class PF
(LIBOR USD 1-Month plus 0.38%)
2.86%		08/25/35	¹		500,515		500,471
Fannie Mae REMICS, Series 2006-84, Class WF
(LIBOR USD 1-Month plus 0.30%)
2.79%		02/25/36	¹		63,967		63,935


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2007-68, Class SC (IO)
LIBOR USD 1-Month
4.21%		07/25/37	¹	$	111,317	$	20,000
Fannie Mae REMICS, Series 2008-47, Class PF
(LIBOR USD 1-Month plus 0.50%)
2.99%		06/25/38	¹		1,009		1,009
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%		12/25/39			14,001		14,206
Fannie Mae REMICS, Series 2009-33, Class FB
(LIBOR USD 1-Month plus 0.82%)
3.31%		03/25/37	¹		148,500		151,062
Fannie Mae REMICS, Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
2.89%		10/25/40	¹		85,160		85,267
Fannie Mae REMICS, Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
3.74%		11/25/36	¹		466,310		72,990
Fannie Mae REMICS, Series 2011-124, Class DF
(LIBOR USD 1-Month plus 0.45%)
2.94%		08/25/40	¹		406,109		406,583
Fannie Mae REMICS, Series 2011-71, Class FB
(LIBOR USD 1-Month plus 0.50%)
2.99%		05/25/37	¹		174,262		174,682
Fannie Mae REMICS, Series 2011-8, Class PF
(LIBOR USD 1-Month plus 0.50%)
2.99%		01/25/40	¹		97,931		98,036
Fannie Mae REMICS, Series 2012-19, Class FP
(LIBOR USD 1-Month plus 0.50%)
2.99%		12/25/39	¹		579,291		582,409
Fannie Mae REMICS, Series 2012-33, Class F
(LIBOR USD 1-Month plus 0.52%)
3.01%		04/25/42	¹		624,158		628,733
Fannie Mae REMICS, Series 2013-75, Class FC
(LIBOR USD 1-Month plus 0.25%)
2.74%		07/25/42	¹		601,788		602,600
Fannie Mae REMICS, Series 2014-19, Class FA
(LIBOR USD 1-Month plus 0.40%)
2.89%		11/25/39	¹		246,503		246,561


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS. Series 2004-92, Class FD
(LIBOR USD 1-Month plus 0.35%)
2.84%		05/25/34	¹	$	556,444	$	557,245
Freddie Mac Gold Pool C90474
7.00%		08/01/21			11,385		11,645
Freddie Mac Gold Pool D93410
6.50%		04/01/19			61		61
Freddie Mac Gold Pool G13107
5.50%		07/01/20			5,221		5,233
Freddie Mac REMICS, Series 1526, Class L
6.50%		06/15/23			1,996		2,102
Freddie Mac REMICS, Series 2368, Class AF
(LIBOR USD 1-Month plus 0.95%)
3.43%		10/15/31	¹		72,246		73,992
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%		06/15/23			523		7
Freddie Mac REMICS, Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
3.08%		10/15/33	¹		842,968		848,475
Freddie Mac REMICS, Series 2763, Class FC
(LIBOR USD 1-Month plus 0.35%)
2.83%		04/15/32	¹		197,179		197,153
Freddie Mac REMICS, Series 2990, Class DE
(LIBOR USD 1-Month plus 0.38%)
2.86%		11/15/34	¹		245,323		245,629
Freddie Mac REMICS, Series 2990, Class LE
(LIBOR USD 1-Month plus 0.32%)
2.80%		10/15/34	¹		338,537		338,076
Freddie Mac REMICS, Series 3066, Class PF
(LIBOR USD 1-Month plus 0.30%)
2.78%		04/15/35	¹		522,631		522,314
Freddie Mac REMICS, Series 3085, Class FW
(LIBOR USD 1-Month plus 0.70%)
3.18%		08/15/35	¹		526,781		535,416
Freddie Mac REMICS, Series 3139, Class FL
(LIBOR USD 1-Month plus 0.30%)
2.78%		01/15/36	¹		354,200		354,026


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3172, Class FK
(LIBOR USD 1-Month plus 0.45%)
2.93%		08/15/33	¹	$	74,908	$	74,939
Freddie Mac REMICS, Series 3196, Class FA
(LIBOR USD 1-Month plus 0.35%)
2.83%		04/15/32	¹		571,141		571,179
Freddie Mac REMICS, Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
2.78%		08/15/35	¹		490,256		488,432
Freddie Mac REMICS, Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
2.78%		08/15/35	¹		98,485		98,119
Freddie Mac REMICS, Series 3652, Class PF
(LIBOR USD 1-Month plus 0.75%)
3.23%		07/15/32	¹		25,809		25,883
Freddie Mac REMICS, Series 3767, Class JF
(LIBOR USD 1-Month plus 0.30%)
2.78%		02/15/39	¹		346,951		347,782
Freddie Mac REMICS, Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
2.88%		11/15/40	¹		149,124		148,137
Freddie Mac REMICS, Series 3806, Class DF
(LIBOR USD 1-Month plus 0.40%)
2.88%		08/15/25	¹		148,789		149,088
Freddie Mac REMICS, Series 3828, Class TF
(LIBOR USD 1-Month plus 0.40%)
2.88%		04/15/29	¹		24,759		24,769
Freddie Mac REMICS, Series 3845, Class FQ
(LIBOR USD 1-Month plus 0.25%)
2.73%		02/15/26	¹		272,434		272,734
Freddie Mac REMICS, Series 3895, Class BF
(LIBOR USD 1-Month plus 0.50%)
2.98%		07/15/41	¹		323,053		324,337
Freddie Mac REMICS, Series 3940, Class PF
(LIBOR USD 1-Month plus 0.35%)
2.83%		05/15/40	¹		777,480		777,570


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3946, Class FG
(LIBOR USD 1-Month plus 0.35%)
2.83%		10/15/39	¹	$	383,742	$	383,375
Freddie Mac REMICS, Series 4109, Class KF
(LIBOR USD 1-Month plus 0.40%)
2.88%		05/15/32	¹		83,242		83,381
Freddie Mac Strips, Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
2.98%		06/15/42	¹		497,179		498,903
Ginnie Mae II Pool 80546
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
4.13%		10/20/31	¹		10,388		10,768
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.63%		06/20/32	¹		122,041		126,526
Ginnie Mae II Pool 80614
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.75%		07/20/32	¹		15,794		16,435
Ginnie Mae II Pool 80687
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.63%		04/20/33	¹		112,203		116,425
Ginnie Mae II Pool 8339
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
4.13%		12/20/23	¹		13,606		13,893
Ginnie Mae II Pool 8684
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.75%		08/20/25	¹		25,586		26,333
Ginnie Mae II Pool MA0331
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.75%		08/20/42	¹		154,419		159,157
Ginnie Mae, Series 2001-22, Class FK
(LIBOR USD 1-Month plus 0.35%)
2.83%		05/16/31	¹		687,017		687,475
Ginnie Mae, Series 2001-51, Class FA
(LIBOR USD 1-Month plus 0.50%)
2.98%		10/16/31	¹		515,112		515,972
Ginnie Mae, Series 2002-16, Class FV
(LIBOR USD 1-Month plus 0.40%)
2.88%		02/16/32	¹		776,865		778,537


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2002-72, Class FB
(LIBOR USD 1-Month plus 0.40%)
2.89%		10/20/32	¹	$	159,022	$	159,094
Ginnie Mae, Series 2002-72, Class FC
(LIBOR USD 1-Month plus 0.40%)
2.89%		10/20/32	¹		151,667		151,735
Ginnie Mae, Series 2003-42, Class FA
(LIBOR USD 1-Month plus 0.40%)
2.88%		07/16/31	¹		768,528		770,116
Ginnie Mae, Series 2004-2, Class FW
(LIBOR USD 1-Month plus 1.40%)
3.89%		01/16/34	¹		488,225		504,830
Ginnie Mae, Series 2009-66, Class UF
(LIBOR USD 1-Month plus 1.00%)
3.48%		08/16/39	¹		155,771		158,926
Ginnie Mae, Series 2009-92, Class FC
(LIBOR USD 1-Month plus 0.80%)
3.28%		10/16/39	¹		164,878		166,955
Ginnie Mae, Series 2011-70, Class IL (IO)
(LIBOR USD 1-Month plus 7.10%)
0.60%		06/16/37	¹		2,182,632		40,757
Ginnie Mae, Series 2012-10, Class FP
(LIBOR USD 1-Month plus 0.30%)
2.79%		01/20/41	¹		111,173		111,200
Ginnie Mae, Series 2012-13, Class KF
(LIBOR USD 1-Month plus 0.30%)
2.79%		07/20/38	¹		234,289		234,140
NCUA Guaranteed Notes Trust,
Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
2.93%		10/07/20	¹		826,528		826,381
NCUA Guaranteed Notes Trust, Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
3.04%		12/08/20	¹		559,787		562,717
NCUA Guaranteed Notes Trust, Series 2011-R3, Class 1A
(LIBOR USD 1-Month plus 0.40%)
2.89%		03/11/20	¹		176,110		176,543


							21,131,567


Total Mortgage-Backed
(Cost $32,328,466)							32,282,407


Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES — 22.04%
U.S. Treasury Notes — 22.04%
U.S. Treasury Notes
2.25%		03/31/21	$	2,945,000	$	2,943,850
2.50%		01/31/21		12,555,000		12,599,282
2.50%		02/28/21		5,395,000		5,416,496
2.50%		01/15/22		1,595,000		1,605,997


Total U.S. Treasury Securities (Cost $22,486,383)						22,565,625

Total Bonds – 77.50% (Cost $79,290,358)						79,359,607


Issues	Maturity Date		Principal Amount/ Share		Value
SHORT-TERM INVESTMENTS — 24.68%
Commercial Paper — 0.22%
Ford Motor Credit Co. LLC
3.14%⁹		04/04/19		225,000		224,886

Money Market Funds — 1.62%
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.39%¹⁰				1,657,000		1,657,000

U.S. Treasury Bills — 22.84%
U.S. Treasury Bills
2.37%⁹		04/04/19		600,000		599,882
2.38%⁹		04/09/19		2,200,000		2,198,840
2.40%⁹		04/16/19		5,900,000		5,894,075
2.41%^9,11		06/20/19		26,000		25,864
2.42%⁹		04/11/19		4,200,000		4,197,236
2.43%⁹		04/23/19		6,600,000		6,590,383
2.43%⁹		07/18/19		900,000		893,638
U.S. Treasury Bills (WI)
2.41%⁹		05/07/19		1,500,000		1,496,429
2.41%⁹		07/11/19		1,500,000		1,490,052


						23,386,399


Total Short-Term Investments (Cost $25,267,983)						25,268,285


Total Investments – 102.18% (Cost $104,558,341)						104,627,892

Liabilities in Excess of Other
Assets – (2.18)%						(2,231,415	)


Net Assets – 100.00%					$	102,396,477

¹	Floating rate security. The rate disclosed was in effect at March 31, 2019.

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	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.

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

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 Board of Trustees. The aggregate value of illiquid securities is $33,152, 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 March 31, 2019.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $25,862.

^†

Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. These securities were not valued utilizing an independent quote but 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.

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(SOFR): Secured Overnight Financing Rate

(USD): U.S. dollar

(WI): When issued

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 90.59%

ASSET-BACKED SECURITIES — 14.10%**

321 Henderson Receivables VI LLC

Series 2010-1A, Class B

9.31%

07/15/61

$ 378,019

$ 446,361

Access Group, Inc., Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.70%)

3.19%

07/25/56

^1,2

4,218,634

4,107,902

AIMCO CLO, Series 2014-AA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.10%)

3.86%

07/20/26

^1,2,3

2,342,038

2,342,056

AIMCO CLO, Series 2015-AA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.64%

01/15/28

^1,2,3

10,000,000

9,956,860

ARES XXIX CLO Ltd., Series 2014-1A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

3.96%

04/17/26

^1,2,3

4,736,132

4,736,349

Babson CLO Ltd., Series 2044-1A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.91%

07/20/25

^1,2,3

4,611,867

4,613,923

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.84%

07/20/28

^1,2,3

5,800,000

5,800,394

Barings CLO Ltd., Series 2018-3A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

3.71%

07/20/29

^1,2,3

8,400,000

8,338,831

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

3.04%

01/25/35

^1,2

647,289

641,968

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

2.94%

04/25/35

^1,2

1,161,856

1,136,194

BlueMountain CLO Ltd., Series 2015-1A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.33%)

4.13%

04/13/27

^1,2,3

6,285,000

6,286,654

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

3.45%

02/25/30

56,045

56,215

CIT Education Loan Trust, Series 2007-1,

Class A

(LIBOR USD 3-Month plus 0.09%)

2.69%

03/25/42

^1,2

2,886,100

2,787,582

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

CIT Education Loan Trust, Series 2007-1,

Class B

(LIBOR USD 3-Month plus 0.30%)

2.90%

06/25/42

^1,2

$2,579,697

$2,393,733

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.82%)

3.50%

11/15/28

^1,2,3

7,500,000

7,444,973

Edsouth Indenture No. 3 LLC, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.73%)

3.22%

04/25/39

^1,2

156,705

155,710

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

3.29%

04/26/32

^1,2

3,465,000

3,476,702

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

3.54%

03/25/36

87,206

87,729

EFS Volunteer No. 2 LLC, Series 2012-1,

Class A2

(LIBOR USD 1-Month plus 1.35%)

3.84%

03/25/36

^1,2

6,400,000

6,528,212

Flagship CLO VIII Ltd., Series 2014-8A,

Class ARR (Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.63%

01/16/26

^1,2,3

7,935,000

7,914,603

Galaxy XXIX CLO Ltd. (Cayman Islands)

(LIBOR USD 3-Month plus 0.79%)

3.47%

11/15/26

^1,2,3

3,481,897

3,473,124

GCO Education Loan Funding Trust,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

3.14%

08/27/46

^1,2

2,657,741

2,535,850

Global SC Finance II SRL, Series 2014-1A,

Class A2 (Barbados)

3.09%

07/17/29

^1,3

1,354,667

1,339,320

Goal Capital Funding Trust, Series 2006-1,

Class B

(LIBOR USD 3-Month plus 0.45%)

3.10%

08/25/42

459,982

428,622

Higher Education Funding I, Series 2014-1,

Class A

(LIBOR USD 3-Month plus 1.05%)

3.70%

05/25/34

^1,2

1,686,424

1,699,313

J.G. Wentworth XXXVIII LLC,

Series 2016-1A, Class A

3.41%

06/15/67

747,095

748,954

J.G. Wentworth XXXVIII LLC,

Series 2017-1A, Class A

3.99%

08/16/60

3,796,228

3,983,393

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

LCM XIX LP, Series 19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

0.00%

07/15/27

^1,2,3

$ 9,500,000

$ 9,501,450

LCM XXI LP, Series 21A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.88%)

3.64%

04/20/28

^1,2,3

3,575,000

3,554,215

Limerock CLO III LLC, Series 2014-3A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

3.96%

10/20/26

^1,2,3

7,844,824

7,847,763

Mill Creek II CLO Ltd., Series 2016-1A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

4.51%

04/20/28

^1,2,3

5,590,000

5,591,351

Navient Student Loan Trust, Series 2014-8,

Class A3

(LIBOR USD 1-Month plus 0.60%)

3.09%

05/27/49

6,120,000

6,087,046

Navient Student Loan Trust, Series 2015-1,

Class A2

(LIBOR USD 1-Month plus 0.60%)

3.09%

04/25/40

8,431,502

8,418,517

Navient Student Loan Trust, Series 2016-2A,

Class A3

(LIBOR USD 1-Month plus 1.50%)

3.99%

06/25/65

^1,2

11,200,000

11,526,496

Navient Student Loan Trust, Series 2017-1A,

Class A3

(LIBOR USD 1-Month plus 1.15%)

3.64%

07/26/66

^1,2

16,200,000

16,466,039

Navient Student Loan Trust, Series 2017-3A,

Class A3

(LIBOR USD 1-Month plus 1.05%)

3.54%

07/26/66

^1,2

18,400,000

18,610,408

Navient Student Loan Trust, Series 2018-3A,

Class A3

(LIBOR USD 1-Month plus 0.80%)

3.29%

03/25/67

^1,2

3,500,000

3,463,450

Nelnet Student Loan Trust, Series 2006-2,

Class B

(LIBOR USD 3-Month plus 0.20%)

2.97%

01/25/38

3,990,821

3,737,563

Nelnet Student Loan Trust, Series 2007-1,

Class A3

(LIBOR USD 3-Month plus 0.07%)

2.72%

05/27/25

1,855,245

1,847,503

Nelnet Student Loan Trust, Series 2012-5A,

Class A

(LIBOR USD 1-Month plus 0.60%)

3.09%

10/27/36

^1,2

129,665

128,793

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Nelnet Student Loan Trust, Series 2014-4A,

Class A2

(LIBOR USD 1-Month plus 0.95%)

3.44%

11/25/48

^1,2

$ 1,865,000

$ 1,855,209

Nelnet Student Loan Trust, Series 2015-1A,

Class A

(LIBOR USD 1-Month plus 0.59%)

3.08%

04/25/46

^1,2

2,499,845

2,479,688

Nelnet Student Loan Trust, Series 2015-3A,

Class A3

(LIBOR USD 1-Month plus 0.90%)

3.39%

06/25/54

^1,2

11,000,000

11,007,302

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(1.00 X LIBOR USD 3-Month plus 0.75%)

3.52%

01/29/46

135,000

134,666

Octagon Investment Partners 25 Ltd.,

Series 2015-1A, Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.56%

10/20/26

^1,2,3

4,910,000

4,889,461

PHEAA Student Loan Trust, Series 2013-3A,

Class A

(LIBOR USD 1-Month plus 0.75%)

3.24%

11/25/42

^1,2

3,955,836

3,970,775

Scholar Funding Trust, Series 2011-A,

Class A

(LIBOR USD 3-Month plus 0.90%)

3.66%

10/28/43

^1,2

110,290

110,252

SLC Student Loan Trust, Series 2004-1,

Class B

(LIBOR USD 3-Month plus 0.29%)

2.97%

08/15/31

595,907

554,167

SLC Student Loan Trust, Series 2005-2,

Class A4

(LIBOR USD 3-Month plus 0.16%)

2.77%

12/15/39

12,000,000

11,661,984

SLC Student Loan Trust, Series 2005-3,

Class A4

(LIBOR USD 3-Month plus 0.15%)

2.76%

12/15/39

13,800,000

13,109,100

SLC Student Loan Trust, Series 2006-1,

Class A6

(LIBOR USD 3-Month plus 0.16%)

2.77%

03/15/55

13,120,000

12,633,618

SLC Student Loan Trust, Series 2008-1,

Class A4A

(LIBOR USD 3-Month plus 1.60%)

4.21%

12/15/32

3,584,485

3,683,530

SLM Student Loan Trust, Series 2003-12,

Class B

(LIBOR USD 3-Month plus 0.59%)

3.20%

03/15/38

5,247,423

4,921,717

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2003-4,

Class A5D

(LIBOR USD 3-Month plus 0.75%)

3.36%

03/15/33

^1,2

$ 2,518,812

$ 2,487,932

SLM Student Loan Trust, Series 2003-7,

Class B

(LIBOR USD 3-Month plus 0.57%)

3.18%

09/15/39

3,691,638

3,495,147

SLM Student Loan Trust, Series 2004-10,

Class B

(LIBOR USD 3-Month plus 0.37%)

3.14%

01/25/40

10,618,654

9,913,234

SLM Student Loan Trust, Series 2004-2,

Class B

(LIBOR USD 3-Month plus 0.47%)

3.24%

07/25/39

643,026

610,272

SLM Student Loan Trust, Series 2006-2,

Class A6

(LIBOR USD 3-Month plus 0.17%)

2.94%

01/25/41

13,048,433

12,761,690

SLM Student Loan Trust, Series 2006-8,

Class A6

(LIBOR USD 3-Month plus 0.16%)

2.93%

01/25/41

1,800,000

1,748,731

SLM Student Loan Trust, Series 2007-2,

Class B

(LIBOR USD 3-Month plus 0.17%)

2.94%

07/25/25

12,800,000

11,814,672

SLM Student Loan Trust, Series 2007-3,

Class A4

(LIBOR USD 3-Month plus 0.06%)

2.83%

01/25/22

215,000

210,735

SLM Student Loan Trust, Series 2007-3,

Class B

(LIBOR USD 3-Month plus 0.15%)

2.92%

01/25/28

12,800,000

11,750,771

SLM Student Loan Trust, Series 2007-7,

Class B

(LIBOR USD 3-Month plus 0.75%)

3.52%

10/27/70

2,195,000

2,057,017

SLM Student Loan Trust, Series 2008-2,

Class A3

(LIBOR USD 3-Month plus 0.75%)

3.52%

04/25/23

15,886,095

15,791,227

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.97%

01/25/83

1,000,000

964,269

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.97%

04/26/83

710,000

680,722

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-4,

Class A4

(LIBOR USD 3-Month plus 1.65%)

4.42%

07/25/22

$ 1,411,693

$ 1,428,495

SLM Student Loan Trust, Series 2008-4,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.62%

04/25/73

710,000

721,566

SLM Student Loan Trust, Series 2008-5,

Class A4

(LIBOR USD 3-Month plus 1.70%)

4.47%

07/25/23

7,437,360

7,538,552

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.62%

07/25/73

7,315,000

7,434,019

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

3.87%

07/25/23

10,628,073

10,636,677

SLM Student Loan Trust, Series 2008-6,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.62%

07/26/83

710,000

723,707

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.62%

07/26/83

820,000

835,623

SLM Student Loan Trust, Series 2008-8,

Class A4

(LIBOR USD 3-Month plus 1.50%)

4.27%

04/25/23

1,851,809

1,871,779

SLM Student Loan Trust, Series 2008-8,

Class B

(LIBOR USD 3-Month plus 2.25%)

5.02%

10/25/75

735,000

752,804

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)

4.27%

04/25/23

2,620,610

2,652,318

SLM Student Loan Trust, Series 2008-9,

Class B

(LIBOR USD 3-Month plus 2.25%)

5.02%

10/25/83

7,235,000

7,428,119

SLM Student Loan Trust, Series 2009-3,

Class A

(LIBOR USD 1-Month plus 0.75%)

3.54%

01/25/45

^1,2

9,111,269

9,077,288

SLM Student Loan Trust, Series 2011-1,

Class A2

(LIBOR USD 1-Month plus 1.15%)

3.64%

10/25/34

2,680,000

2,712,080

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%)

3.69%

10/25/34

$ 4,035,000

$ 4,105,834

SLM Student Loan Trust, Series 2012-1,

Class A3

(LIBOR USD 1-Month plus 0.95%)

3.44%

09/25/28

986,338

982,354

SLM Student Loan Trust, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.70%)

3.19%

01/25/29

1,443,487

1,421,219

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

3.14%

05/26/26

3,735,397

3,681,916

SLM Student Loan Trust, Series 2012-7,

Class B

(LIBOR USD 1-Month plus 1.80%)

4.29%

09/25/43

2,200,000

2,231,733

SLM Student Loan Trust, Series 2013-4,

Class A

(LIBOR USD 1-Month plus 0.55%)

3.04%

06/25/43

1,366,307

1,361,036

SLM Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.60%)

3.09%

02/26/29

1,366,578

1,338,048

SLM Student Loan Trust, Series 2014-2,

Class A3

(LIBOR USD 1-Month plus 0.59%)

3.08%

03/25/55

12,642,671

12,610,805

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/46

^1,†

1,804,986

2,078,268

Structured Receivables Finance LLC,

Series 2010-B, Class B

7.97%

08/15/36

1,211,252

1,402,646

Student Loan Consolidation Center Student

Loan Trust I, Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^1,2

150,000

141,654

TCI-Flatiron CLO Ltd., Series 2016-1,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

3.73%

07/17/28

^1,2,3

6,300,000

6,303,868

Voya CLO Ltd., Series 2014-3A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 0.72%)

3.49%

07/25/26

^1,2,3

2,657,505

2,646,921

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Voya CLO Ltd., Series 2015-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.97%)

3.74%

07/23/27

^1,2,3

$8,445,000

$ 8,402,168

Total Asset-Backed Securities

(Cost $431,856,257)

438,061,506

BANK LOANS — 1.19%*

Automotive — 0.03%

Panther BF Aggregator 2 LP/Panther

Finance Co., Inc., Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.50%

03/18/26

1,000,000

989,990

Communications — 0.25%

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

(LIBOR plus 3.25%)

5.73%

02/06/26

1,000,000

1,000,830

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.73%

01/15/26

1,500,000

1,459,875

SBA Senior Finance II LLC, Term Loan B,

1st Lien

(LIBOR plus 2.00%)

4.50%

04/11/25

2,267,863

2,223,412

Sprint Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.50%)

5.00%

02/02/24

494,949

483,071

(LIBOR plus 3.00%)

5.50%

02/02/24

997,500

983,784

Unitymedia Finance LLC,

Term Loan E, 1st Lien

(LIBOR plus 2.00%)

4.48%

06/01/23

1,600,000

1,583,632

7,734,604

Consumer Discretionary — 0.02%

Reynolds Group Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.75%)

5.25%

02/05/23

804,421

796,470

Electric — 0.06%

Chief Power Finance LLC, Term Loan B,

1st Lien

(LIBOR plus 4.75%)

7.25%

12/31/20

^2,4,5

1,383,122

1,306,552

Homer City Generation LP, Term Loan B,

1st Lien

(LIBOR plus 11.00%)

13.50%

04/05/23

^2,4,5

711,415

683,670

1,990,222

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Energy — 0.00%

Vistra Operations Co., LLC, Term Loan B1,

1st Lien

(LIBOR plus 2.00%)

4.50%

08/04/23

$ 114,689

$ 113,593

Finance — 0.24%

Avolon TLB Borrower 1 (US) LLC,

Term Loan B3, 1st Lien

(LIBOR plus 2.00%)

4.49%

01/15/25

356,970

354,594

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.35%

10/06/23

7,152,629

7,151,735

7,506,329

Gaming — 0.05%

Las Vegas Sands LLC, Term Loan B,

1st Lien

(LIBOR plus 1.75%)

4.25%

03/27/25

1,584,000

1,558,418

Health Care — 0.20%

Bausch Health Cos., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.48%

06/02/25

4,758,381

4,733,328

Gentiva Health Services, Inc., Term Loan,

1st Lien

(LIBOR plus 3.75%)

6.25%

07/02/25

1,458,733

1,464,203

6,197,531

Industrials — 0.02%

Tyco International Holdings SARL,

Term Loan

(LIBOR plus 1.25%)

4.16%

03/02/20

^2,4,5

566,475

564,708

Information Technology — 0.23%

Dell International LLC,

Term Loan A2, 1st Lien

(LIBOR plus 1.75%)

4.25%

09/07/21

1,718,687

1,715,120

First Data Corp., Term Loan, 1st Lien

(LIBOR plus 2.00%)

4.49%

04/26/24

3,075,353

3,069,925

IQVIA, Inc., Term Loan B1, 1st Lien

(LIBOR plus 2.00%)

4.60%

03/07/24

675,505

673,958

IQVIA, Inc., Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.25%

06/11/25

744,375

737,627


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	²		$ 559,254		$ 555,484
SS&C Technologies, Inc.,
Term Loan B4, 1st Lien
(LIBOR plus 2.25%)
4.75%		04/16/25	²		402,102		399,392


							7,151,506

Materials — 0.02%
Berry Plastics Group, Inc. Term Loan S,
1st Lien
(LIBOR plus 1.75%)
4.24%		02/08/20	²		500,000		499,130


Real Estate Investment Trust (REIT) — 0.02%
MGM Growth Properties Operating
Partnership LP, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.50%		04/25/23	²		498,715		492,705


Retail — 0.05%
BC ULC/New Red Finance, Inc.,
Term Loan B-3, 1st Lien (Canada)
(LIBOR plus 2.25%)
4.75%		02/17/24	^2,3		1,488,477		1,467,385


Total Bank Loans
(Cost $37,235,106)							37,062,591


CORPORATES — 29.22%*
Automotive — 0.02%
Metalsa SA de CV, Series REGS (Mexico)
4.90%		04/24/23	³		500,000		495,860


Banking — 3.65%
Banco Internacional del Peru SAA Interbank,
Series REGS (Peru)
6.63%		03/19/29	^3,6		250,000		275,525
Banco Nacional de Comercio Exterior
SNC/Cayman Islands (Mexico)
3.80%		08/11/26	^1,3,6		2,000,000		1,965,800
Bank of America Corp.
2.74%		01/23/22	⁶		8,625,000		8,594,109
3.00%		12/20/23	⁶		1,515,000		1,509,678
3.42%		12/20/28	⁶		488,000		477,618
3.71%		04/24/28	⁶		5,940,000		5,950,639
Bank of America Corp. (GMTN)
3.59%		07/21/28	⁶		7,810,000		7,795,329
Bank of America Corp. (MTN)
3.09%		10/01/25	⁶		4,710,000		4,674,824
4.00%		04/01/24			544,000		567,756
4.27%		07/23/29	⁶		2,635,000		2,744,254


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Global Bank Corp. (Panama)
4.50%		10/20/21	^1,3		$ 1,198,000		$ 1,211,777
JPMorgan Chase & Co.
3.22%		03/01/25	⁶		10,980,000		10,989,904
3.54%		05/01/28	⁶		5,359,000		5,378,046
3.90%		07/15/25			3,244,000		3,376,224
3.96%		01/29/27	⁶		940,000		971,506
4.02%		12/05/24	⁶		7,635,000		7,927,178
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,6		5,780,000		5,638,309
3.90%		03/12/24	³		1,500,000		1,520,876
PNC Bank N.A. (BKNT)
1.45%		07/29/19			4,000,000		3,984,616
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		08/05/21	³		4,300,000		4,263,899
3.37%		01/05/24	^3,6		3,000,000		2,934,948
4.80%		11/15/24	^3,6		2,000,000		2,060,197
Santander UK PLC (United Kingdom)
2.50%		01/05/21	³		885,000		878,809
5.00%		11/07/23	^1,3		3,100,000		3,175,280
Wells Fargo & Co.
3.00%		04/22/26			14,265,000		13,884,296
3.00%		10/23/26			9,405,000		9,179,514
Wells Fargo & Co. (MTN)
2.63%		07/22/22			1,525,000		1,514,710


							113,445,621

Communications — 3.87%
AMC Networks, Inc.
4.75%		08/01/25			1,580,000		1,576,050
AT&T, Inc.
3.40%		05/15/25			1,500,000		1,490,161
4.30%		02/15/30			4,115,000		4,169,692
4.35%		06/15/45			3,765,000		3,485,228
4.80%		06/15/44			4,662,000		4,569,710
5.15%		11/15/46			3,415,000		3,510,343
5.25%		03/01/37			3,170,000		3,345,116
CBS Corp.
2.50%		02/15/23			4,000,000		3,897,410
3.38%		02/15/28			2,625,000		2,502,960
Charter Communications Operating
LLC/Charter Communications Operating
Capital
3.58%		07/23/20			1,250,000		1,259,312
5.75%		04/01/48			4,000,000		4,194,800
6.48%		10/23/45			1,490,000		1,676,772


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Clear Channel International BV
(Netherlands)
8.75%		12/15/20	^1,3		$1,069,000		$ 1,101,070
Comcast Corp.
4.60%		10/15/38			9,360,000		10,036,422
CommScope Finance LLC
6.00%		03/01/26	¹		2,198,000		2,279,040
CSC Holdings LLC
5.38%		02/01/28	¹		1,345,000		1,351,725
6.50%		02/01/29	¹		500,000		533,438
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		4,374,000		3,903,795
8.50%		10/15/24	^1,3		2,020,000		1,965,713
9.75%		07/15/25	^1,3		800,000		816,240
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	³		3,990,000		5,060,533
Level 3 Financing, Inc.
5.25%		03/15/26			843,000		843,000
5.38%		05/01/25			3,987,000		4,048,001
Qwest Corp.
6.75%		12/01/21			2,235,000		2,383,069
6.88%		09/15/33			2,000,000		2,000,000
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	¹		5,494,000		4,974,224
Sirius XM Radio, Inc.
3.88%		08/01/22	¹		1,379,000		1,377,276
Sprint Capital Corp.
8.75%		03/15/32			2,272,000		2,394,120
Sprint Communications, Inc.
7.00%		03/01/20	¹		1,400,000		1,440,250
Sprint Corp.
7.63%		02/15/25			541,000		553,173
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	¹		7,193,750		7,183,319
4.74%		03/20/25	¹		6,625,000		6,716,094
Time Warner Cable LLC
5.50%		09/01/41			2,972,000		2,927,827
5.88%		11/15/40			965,000		1,001,787
T-Mobile USA, Inc.
4.50%		02/01/26			200,000		199,750
4.75%		02/01/28			2,481,000		2,465,494
6.50%		01/15/24			740,000		768,675
Verizon Communications, Inc.
4.02%		12/03/29	¹		4,000,000		4,123,827
4.50%		08/10/33			4,755,000		5,039,877


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Virgin Media Secured Finance PLC
(United Kingdom)
5.25%		01/15/26	^1,3		$ 840,000		$ 848,400
5.50%		08/15/26	^1,3		983,000		1,002,660
Vodafone Group PLC (United Kingdom)
4.38%		05/30/28	³		3,000,000		3,052,130
Warner Media LLC
3.80%		02/15/27			2,205,000		2,197,669


							120,266,152

Consumer Discretionary — 1.00%
Anheuser-Busch Cos LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.90%		02/01/46	¹		2,950,000		2,965,070
Anheuser-Busch InBev Worldwide, Inc.
4.75%		01/23/29			4,590,000		4,894,513
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^1,3		2,250,000		2,251,739
5.15%		05/15/38	^1,3		1,500,000		1,434,641
BAT Capital Corp.
2.30%		08/14/20			3,000,000		2,969,834
4.54%		08/15/47			500,000		439,375
Central Garden & Pet Co.
5.13%		02/01/28			3,065,000		2,858,113
High Ridge Brands Co.
8.88%		03/15/25	^1,4,5		2,175,000		880,875
KFC Holding Co./Pizza Hut Holdings LLC/
Taco Bell of America LLC
5.00%		06/01/24	¹		464,000		474,440
Reynolds American, Inc.
4.45%		06/12/25			1,500,000		1,543,260
5.85%		08/15/45			2,000,000		2,056,156
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC/Reynolds Group Issuer
Luxembourg S.A.
5.75%		10/15/20			5,383,393		5,393,487
Suntory Holdings Ltd. (Japan)
2.55%		09/29/19	^1,3		3,015,000		3,002,688


							31,164,191

Consumer Products — 0.09%
Newell Brands, Inc.
3.85%		04/01/23			3,000,000		2,965,028


Electric — 2.14%
AES Panama SRL, Series REGS (Panama)
6.00%		06/25/22	³		250,000		259,378
Alabama Power Capital Trust V
5.69%		10/01/42	⁶		1,300,000		1,285,563
Cleco Power LLC
6.00%		12/01/40			1,380,000		1,600,348


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Consolidated Edison Co. of New York, Inc.
4.45%		03/15/44			$1,000,000		$ 1,054,458
Consolidated Edison Co. of New York, Inc.,
Series E
4.65%		12/01/48			3,000,000		3,307,582
Dominion Energy, Inc.
5.75%		10/01/54	⁶		2,515,000		2,569,638
Duke Energy Carolinas LLC
3.70%		12/01/47			1,810,000		1,768,580
Duke Energy Progress LLC
3.25%		08/15/25			2,625,000		2,685,665
Duquesne Light Holdings, Inc.
6.40%		09/15/20	¹		4,641,000		4,847,069
Entergy Corp.
4.00%		07/15/22			1,750,000		1,791,604
Eskom Holdings SOC Ltd., Series REGS
(South Africa)
7.13%		02/11/25	³		1,000,000		991,875
Interstate Power & Light Co.
3.25%		12/01/24			6,130,000		6,152,034
ITC Holdings Corp.
3.65%		06/15/24			1,251,000		1,271,707
Metropolitan Edison Co.
4.00%		04/15/25	¹		2,625,000		2,703,841
MidAmerican Energy Co.
4.25%		05/01/46			2,900,000		3,077,845
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.55%)
3.18%		08/28/21	²		7,005,000		6,991,789
Perusahaan Gas Negara Persero TBK PT
(Indonesia)
5.13%		05/16/24	^1,3		1,650,000		1,737,557
PNM Resources, Inc.
3.25%		03/09/21			1,073,000		1,072,003
Public Service Co. of New Mexico
3.85%		08/01/25			5,565,000		5,639,899
5.35%		10/01/21			45,000		47,463
Public Service Electric & Gas Co., Series CC
9.25%		06/01/21			6,935,000		7,871,440
Southern Co. Gas Capital Corp.
3.25%		06/15/26			2,935,000		2,863,150
Southwestern Electric Power Co.
3.55%		02/15/22			2,625,000		2,658,187
Southwestern Electric Power Co., Series M
4.10%		09/15/28			2,190,000		2,277,249


							66,525,924

Energy — 3.23%
Antero Resources Corp.
5.00%		03/01/25			1,983,000		1,958,213


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Centennial Resource Production LLC
5.38%		01/15/26	¹		$ 400,000		$ 385,500
6.88%		04/01/27	¹		2,000,000		2,024,600
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	¹		490,000		471,625
Enbridge Energy Partners LP
5.88%		10/15/25			2,190,000		2,477,895
Energy Transfer Operating LP
5.15%		03/15/45			3,826,000		3,655,865
5.50%		06/01/27			1,448,000		1,571,343
5.88%		01/15/24			1,745,000		1,913,602
EQM Midstream Partners LP
5.50%		07/15/28			1,205,000		1,218,966
EQT Corp.
3.90%		10/01/27			3,000,000		2,808,849
Florida Gas Transmission Co. LLC
7.90%		05/15/19	¹		1,375,000		1,382,056
Gulfport Energy Corp.
6.38%		05/15/25			315,000		286,256
Hess Corp.
7.88%		10/01/29			1,855,000		2,237,651
KazMunayGas National Co. JSC,
Series REGS (Kazakhstan)
5.38%		04/24/30	³		3,700,000		3,888,326
Kinder Morgan Energy Partners LP
5.80%		03/15/35			210,000		231,735
Kinder Morgan, Inc.
5.30%		12/01/34			875,000		949,107
5.63%		11/15/23	¹		1,215,000		1,327,588
Matador Resources Co.
5.88%		09/15/26			1,543,000		1,546,858
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	¹		523,000		517,770
5.63%		10/15/27	¹		143,000		142,235
Peru LNG SRL, Series REGS (Peru)
5.38%		03/22/30	³		950,000		987,620
Petroleos del Peru SA, Series REGS (Peru)
4.75%		06/19/32	³		500,000		514,375
Petroleos Mexicanos (Mexico)
1.70%		12/20/22	³		60,000		58,911
5.38%		03/13/22	³		3,650,000		3,717,160
6.50%		03/13/27	³		1,560,000		1,570,920
6.50%		01/23/29	³		4,135,000		4,105,021
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25			6,250,000		6,536,122
Rockies Express Pipeline LLC
5.63%		04/15/20	¹		6,234,000		6,397,643


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Ruby Pipeline LLC
6.00%		04/01/22	¹		$5,760,227		$ 5,697,725
Sabine Pass Liquefaction LLC
5.63%		03/01/25			2,280,000		2,512,275
Spectra Energy Partners LP
4.60%		06/15/21			3,335,000		3,427,130
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			5,150,000		5,130,748
Sunoco LP/Sunoco Finance Corp.
6.00%		04/15/27	¹		2,793,000		2,813,948
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29	¹		2,593,000		2,823,129
TC PipeLines LP
4.38%		03/13/25			3,000,000		3,072,345
4.65%		06/15/21			2,300,000		2,357,996
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26			2,050,000		1,937,250
Transocean Guardian Ltd. (Cayman Islands)
5.88%		01/15/24	^1,3		1,001,700		1,021,734
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^1,3		1,533,735		1,560,575
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3		2,930,000		3,054,525
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^1,3		888,800		916,575
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26			1,709,000		1,762,406
6.88%		09/01/27	¹		1,315,000		1,342,944
Williams Cos., Inc. (The)
3.60%		03/15/22			241,000		244,634
4.55%		06/24/24			2,625,000		2,776,880
6.30%		04/15/40			1,750,000		2,050,593
WPX Energy, Inc.
5.75%		06/01/26			939,000		956,606


							100,343,830

Finance — 3.56%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
3.95%		02/01/22	³		1,500,000		1,520,028
Air Lease Corp.
2.50%		03/01/21			3,450,000		3,416,890
3.88%		07/03/23			2,862,000		2,894,793
Alta Wind Holdings LLC
7.00%		06/30/35	^1,4,5		1,735,562		1,848,896


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Citigroup, Inc.
3.14%		01/24/23	⁶		$ 4,200,000		$ 4,216,311
3.67%		07/24/28	⁶		2,940,000		2,935,655
8.50%		05/22/19			3,050,000		3,074,853
Fondo MIVIVIENDA SA, Series REGS (Peru)
3.50%		01/31/23	³		1,000,000		1,003,900
Ford Motor Credit Co. LLC
2.02%		05/03/19			515,000		514,369
2.34%		11/02/20			3,295,000		3,220,382
2.98%		08/03/22			3,015,000		2,881,498
3.20%		01/15/21			5,970,000		5,887,060
3.22%		01/09/22			630,000		612,632
3.34%		03/28/22			7,735,000		7,500,985
8.13%		01/15/20			7,780,000		8,063,764
(LIBOR USD 3-Month plus 0.88%)
3.68%		10/12/21	²		3,000,000		2,907,882
GE Capital International Funding Co.
(Ireland)
2.34%		11/15/20	³		13,500,000		13,335,165
4.42%		11/15/35	³		4,462,000		4,131,672
General Motors Financial Co., Inc.
2.40%		05/09/19			2,500,000		2,498,990
Goldman Sachs Group, Inc. (The)
3.27%		09/29/25	⁶		4,745,000		4,692,745
3.81%		04/23/29	⁶		5,175,000		5,131,293
4.22%		05/01/29	⁶		1,505,000		1,538,620
Goldman Sachs Group, Inc. (The) (MTN)
3.85%		07/08/24			8,155,000		8,330,426
International Lease Finance Corp.
6.25%		05/15/19			3,000,000		3,011,055
Morgan Stanley
3.63%		01/20/27			2,290,000		2,297,520
(LIBOR USD 3-Month plus 0.93%)
3.69%		07/22/22	²		8,400,000		8,446,734
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,6		3,070,000		3,058,295
Raymond James Financial, Inc.
3.63%		09/15/26			1,540,000		1,525,592


							110,498,005

Food — 1.09%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.50%)
3.11%		03/16/20	²		5,000,000		4,989,716
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	¹		669,000		602,936
Conagra Brands, Inc.
3.80%		10/22/21			7,766,000		7,915,071


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Kraft Heinz Foods Co.
5.00%		06/04/42			$1,430,000		$ 1,355,032
5.20%		07/15/45			4,815,000		4,618,098
Kroger Co. (The)
4.50%		01/15/29			3,050,000		3,125,375
Pilgrim’s Pride Corp.
5.88%		09/30/27	¹		1,800,000		1,818,000
Post Holdings, Inc.
5.63%		01/15/28	¹		955,000		951,419
Smithfield Foods, Inc.
5.20%		04/01/29	¹		4,690,000		4,717,400
Tyson Foods, Inc.
4.00%		03/01/26			1,425,000		1,458,396
(LIBOR USD 3-Month plus 0.45%)
3.09%		08/21/20	²		2,185,000		2,177,153


							33,728,596

Gaming — 0.27%
Churchill Downs, Inc.
4.75%		01/15/28	¹		1,700,000		1,625,625
5.50%		04/01/27	¹		3,736,000		3,788,491
Rivers Pittsburgh Borrower LP/Rivers
Pittsburgh Finance Corp.
6.13%		08/15/21	¹		1,735,000		1,739,338
Wynn Las Vegas LLC/Wynn Las Vegas
Capital Corp.
5.25%		05/15/27	¹		1,260,000		1,195,425


							8,348,879

Health Care — 3.96%
AbbVie, Inc.
3.20%		05/14/26			700,000		679,775
4.30%		05/14/36			875,000		831,283
4.40%		11/06/42			1,900,000		1,751,615
4.88%		11/14/48			615,000		605,232
Aetna, Inc.
2.80%		06/15/23			1,382,000		1,359,182
4.13%		06/01/21			4,380,000		4,475,124
Allergan Funding SCS (Luxembourg)
3.80%		03/15/25	³		695,000		705,421
Amgen, Inc.
4.40%		05/01/45			3,570,000		3,505,192
Anthem, Inc.
3.50%		08/15/24			7,156,000		7,259,023
3.65%		12/01/27			3,385,000		3,382,744
AstraZeneca PLC (United Kingdom)
3.13%		06/12/27	³		646,000		630,253
3.38%		11/16/25	³		3,185,000		3,216,125


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Bayer U.S. Finance II LLC
4.38%		12/15/28	¹	$	6,400,000	$	6,365,507
(LIBOR USD 3-Month plus 1.01%)
3.62%		12/15/23	^1,2		1,000,000		982,116
Becton Dickinson and Co.
2.13%		06/06/19			2,920,000		2,916,101
2.89%		06/06/22			3,750,000		3,736,050
3.36%		06/06/24			1,350,000		1,349,537
(LIBOR USD 3-Month plus 0.88%)
3.48%		12/29/20	²		1,500,000		1,500,161
Biogen, Inc.
5.20%		09/15/45			2,998,000		3,168,316
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	¹		1,880,000		1,870,600
Celgene Corp.
2.75%		02/15/23			3,060,000		3,032,336
3.88%		08/15/25			1,400,000		1,432,780
5.00%		08/15/45			2,845,000		3,010,805
Centene Corp.
5.63%		02/15/21			1,206,000		1,225,598
6.13%		02/15/24			2,000,000		2,103,100
CHS/Community Health Systems, Inc.
6.25%		03/31/23			136,000		128,472
8.00%		03/15/26	¹		658,000		633,325
Cigna Corp.
4.13%		11/15/25	¹		4,380,000		4,537,323
4.38%		10/15/28	¹		1,750,000		1,816,882
Cigna Holding Co.
3.05%		10/15/27			4,875,000		4,624,415
CVS Health Corp.
4.30%		03/25/28			6,880,000		6,977,475
5.05%		03/25/48			2,190,000		2,209,545
Elanco Animal Health, Inc.
4.27%		08/28/23	¹		6,355,000		6,553,294
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	¹		1,015,000		1,027,192
5.63%		07/31/19	¹		6,446,000		6,487,975
Gilead Sciences, Inc.
4.15%		03/01/47			1,750,000		1,691,273
Hartford HealthCare Corp.
5.75%		04/01/44			1,525,000		1,739,220
HCA, Inc.
5.00%		03/15/24			533,000		565,703
5.25%		04/15/25			977,000		1,050,443
5.38%		02/01/25			658,000		699,125
5.88%		02/01/29			459,000		495,123
6.50%		02/15/20			1,698,000		1,748,091
Humana, Inc.
2.90%		12/15/22			4,795,000		4,768,213


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Molina Healthcare, Inc.
4.88%		06/15/25	¹	$	1,905,000	$	1,890,713
5.38%		11/15/22			413,000		428,488
MPH Acquisition Holdings LLC
7.13%		06/01/24	¹		1,025,000		1,025,000
Shire Acquisitions Investments Ireland DAC
(Ireland)
2.40%		09/23/21	³		5,450,000		5,385,245
Tenet Healthcare Corp.
4.50%		04/01/21			3,750,000		3,820,313
Teva Pharmaceutical Finance
Netherlands III BV (Netherlands)
1.70%		07/19/19	³		1,015,000		1,009,555
WellCare Health Plans, Inc.
5.25%		04/01/25			568,000		590,010


							122,996,389

Industrials — 1.66%
Amcor Finance USA, Inc.
3.63%		04/28/26	¹		2,125,000		2,085,410
Ardagh Packaging Finance PLC/Ardagh
Holdings USA, Inc. (Ireland)
6.00%		02/15/25	^1,3		900,000		902,250
BAE Systems Holdings, Inc.
2.85%		12/15/20	¹		1,895,000		1,889,566
Ball Corp.
4.00%		11/15/23			1,000,000		1,011,250
Berry Global, Inc.
4.50%		02/15/26	¹		1,345,000		1,281,382
Clean Harbors, Inc.
5.13%		06/01/21			3,000,000		3,015,000
Covanta Holding Corp.
6.00%		01/01/27			1,456,000		1,463,280
Crown Americas LLC/Crown Americas
Capital Corp. V
4.25%		09/30/26			1,000,000		970,000
General Electric Co. (GMTN)
2.20%		01/09/20			3,250,000		3,229,686
4.63%		01/07/21			3,220,000		3,304,359
General Electric Co. (MTN)
4.65%		10/17/21			2,060,000		2,135,911
5.55%		05/04/20			2,600,000		2,671,018
5.55%		01/05/26			4,550,000		4,878,981
(LIBOR USD 3-Month plus 0.48%)
3.16%		08/15/36	²		8,555,000		6,545,174
Graphic Packaging International LLC
4.88%		11/15/22			500,000		511,250
Heathrow Funding Ltd. (United Kingdom)
4.88%		07/15/21	^1,3		700,000		723,889


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
L3 Technologies, Inc.
4.40%		06/15/28		$	4,210,000	$	4,408,841
Northrop Grumman Corp.
2.93%		01/15/25			825,000		814,148
Sealed Air Corp.
5.25%		04/01/23	¹		1,000,000		1,042,500
5.50%		09/15/25	¹		563,000		594,078
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^1,3		1,670,000		1,448,725
WRKCo, Inc.
4.65%		03/15/26			6,215,000		6,591,479


							51,518,177


Information Technology — 0.36%
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%		01/15/20			5,297,000		5,270,165
IQVIA, Inc.
5.00%		10/15/26	¹		1,800,000		1,839,330
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^1,3		300,000		304,167
4.13%		06/01/21	^1,3		800,000		817,360
SS&C Technologies, Inc.
5.50%		09/30/27	¹		1,553,000		1,571,442
Zayo Group LLC/Zayo Capital, Inc.
5.75%		01/15/27	¹		1,531,000		1,531,459


							11,333,923


Insurance — 0.47%
Farmers Exchange Capital
7.20%		07/15/48	¹		150,000		176,156
Farmers Exchange Capital II
6.15%		11/01/53	^1,6		2,500,000		2,616,743
Farmers Insurance Exchange
4.75%		11/01/57	^1,6		3,800,000		3,293,669
8.63%		05/01/24	¹		942,000		1,123,469
Nationwide Mutual Insurance Co.
4.90%		12/15/24	^1,6		3,825,000		3,805,875
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^1,6		3,425,000		3,523,969


							14,539,881


Materials — 0.40%
Axalta Coating Systems LLC
4.88%		08/15/24	¹		1,000,000		1,007,500
Corp. Nacional del Cobre de Chile,
Series REGS (Chile)
3.63%		08/01/27	³		250,000		250,625


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials (continued)
Gold Fields Orogen Holdings BVI Ltd.,
Series REGS (British Virgin Islands)
4.88%		10/07/20	³	$	250,000	$	253,438
Indonesia Asahan Aluminum Persero PT
(Indonesia)
6.53%		11/15/28	^1,3		4,000,000		4,574,044
International Flavors & Fragrances, Inc.
5.00%		09/26/48			4,525,000		4,751,343
SASOL Financing USA LLC
5.88%		03/27/24			1,200,000		1,273,500
Vale Overseas Ltd. (Cayman Islands)
4.38%		01/11/22	³		66,000		67,349
Volcan Cia Minera SAA, Series REGS (Peru)
5.38%		02/02/22	³		300,000		309,780


							12,487,579


Real Estate Investment Trust (REIT) — 2.09%
Alexandria Real Estate Equities, Inc.
3.45%		04/30/25			2,660,000		2,654,225
4.60%		04/01/22			875,000		918,397
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			1,735,000		1,739,805
3.63%		11/15/27			2,246,000		2,200,322
AvalonBay Communities, Inc. (GMTN)
3.63%		10/01/20			1,500,000		1,515,401
Boston Properties LP
2.75%		10/01/26			4,000,000		3,793,568
CC Holdings GS V LLC/Crown Castle
GS III Corp.
3.85%		04/15/23			2,625,000		2,690,492
GLP Capital LP/GLP Financing II, Inc.
4.88%		11/01/20			1,650,000		1,682,618
5.30%		01/15/29			2,280,000		2,401,456
5.38%		04/15/26			2,680,000		2,807,032
5.75%		06/01/28			3,600,000		3,878,820
HCP, Inc.
3.88%		08/15/24			2,715,000		2,779,116
4.25%		11/15/23			5,325,000		5,542,348
Healthcare Realty Trust, Inc.
3.88%		05/01/25			2,190,000		2,202,317
Hudson Pacific Properties LP
3.95%		11/01/27			2,500,000		2,422,183
MGM Growth Properties Operating
Partnership LP/MGP Finance Co.-Issuer, Inc.
5.63%		05/01/24			625,000		652,344
Piedmont Operating Partnership LP
3.40%		06/01/23			4,520,000		4,405,600
Post Apartment Homes LP
3.38%		12/01/22			90,000		90,689


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Reckson Operating Partnership LP
7.75%		03/15/20		$	2,375,000	$	2,475,345
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
3.66%		08/16/21	²		1,500,000		1,493,742
SL Green Realty Corp.
4.50%		12/01/22			3,000,000		3,103,129
UDR, Inc.
3.70%		10/01/20			4,628,000		4,676,686
Ventas Realty LP
3.25%		10/15/26			4,380,000		4,254,491
3.75%		05/01/24			875,000		896,574
Welltower, Inc.
4.95%		01/15/21			1,020,000		1,050,895
5.25%		01/15/22			2,500,000		2,639,394


							64,966,989


Retail — 0.43%
Alimentation Couche-Tard, Inc. (Canada)
3.55%		07/26/27	^1,3		1,935,000		1,889,924
Home Depot, Inc. (The)
3.90%		12/06/28			1,715,000		1,815,635
Rite Aid Corp.
6.13%		04/01/23	¹		5,285,000		4,379,944
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			5,099,000		5,181,690


							13,267,193


Services — 0.53%
DP World Crescent Ltd. (Cayman Islands)
4.85%		09/26/28	^1,3		2,200,000		2,303,235
Gartner, Inc.
5.13%		04/01/25	¹		500,000		506,600
GFL Environmental, Inc. (Canada)
5.38%		03/01/23	^1,3		1,779,000		1,690,050
Hulk Finance Corp. (Canada)
7.00%		06/01/26	^1,3		815,000		774,250
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,3		1,516,000		1,518,274
4.13%		08/01/23	³		3,000,000		3,063,270
4.75%		02/15/25	^1,3		2,000,000		2,086,980
4.75%		08/01/28	³		1,750,000		1,833,230
Matthews International Corp.
5.25%		12/01/25	¹		1,554,000		1,501,553
Waste Pro USA, Inc.
5.50%		02/15/26	¹		1,378,000		1,333,215


							16,610,657


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 0.40%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21		$	967,704	$	1,009,508
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21			29,725		30,604
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23			1,238,231		1,280,785
American Airlines Pass-Through Trust,
Series 2015-2, Class AA
3.60%		09/22/27			2,433,066		2,444,258
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	^1,3		2,163,000		2,206,260
Continental Airlines Pass-Through Trust,
Series 1999-2, Class A
7.26%		03/15/20			158,634		160,871
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			268,041		276,699
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%		04/02/21			213,864		224,459
Continental Airlines Pass-Through Trust,
Series 2001-1, Class A1
6.70%		06/15/21			18,766		19,854
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			2,222,583		2,340,380
Continental Airlines Pass-Through Trust,
Series 2012-1, Class B
6.25%		04/11/20			33,192		33,746
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			841,369		896,099
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21			358,491		377,335
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			876,871		940,391
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			81,878		88,553


							12,329,802


Total Corporates
(Cost $897,541,827)							907,832,676


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS — 1.45%
Foreign Government Obligations — 1.45%
Argentine Republic Government International Bond (Argentina)
6.88%		04/22/21	³		$2,500,000		$2,288,750
Bahrain Government International Bond, Series REGS (Bahrain)
7.00%		10/12/28	³		1,400,000		1,508,500
Brazilian Government International Bond (Brazil)
4.63%		01/13/28	³		3,450,000		3,483,672
Chile Government International Bond (Chile)
2.25%		10/30/22	³		3,900,000		3,867,513
Colombia Government International Bond (Colombia)
4.50%		01/28/26	³		4,500,000		4,751,438
Corp. Financiera de Desarrollo SA, Series REGS (Peru)
4.75%		07/15/25	³		2,000,000		2,104,200
Dominican Republic International Bond, Series REGS (Dominican Republic)
6.60%		01/28/24	³		3,750,000		4,061,625
Egypt Government International Bond (Egypt)
5.58%		02/21/23	^1,3		1,600,000		1,591,840
Hazine Mustesarligi Varlik Kiralama AS, Series REGS (Turkey)
4.49%		11/25/24	³		270,000		241,391
Oman Government International Bond (Oman)
5.63%		01/17/28	^1,3		3,120,000		2,936,700
Paraguay Government International Bond, Series REGS (Paraguay)
4.63%		01/25/23	³		950,000		982,476
Qatar Government International Bond (Qatar)
4.50%		04/23/28	³		2,700,000		2,899,125
Republic of Azerbaijan International Bond, Series REGS (Azerbaijan)
4.75%		03/18/24	³		1,200,000		1,245,208
Russian Foreign Bond - Eurobond, Series REGS (Russia)
4.88%		09/16/23	³		4,200,000		4,412,100
Saudi Government International Bond, Series REGS (EMTN) (Saudi Arabia)
4.50%		10/26/46	³		1,300,000		1,274,000
Saudi Government International Bond (Saudi Arabia)
4.00%		04/17/25	^1,3		2,700,000		2,768,850
South Africa Government International Bond (South Africa)
4.67%		01/17/24	³		900,000		910,125
Turkey Government International Bond (Turkey)
5.13%		03/25/22	³		2,250,000		2,174,443


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Uruguay Government International Bond (Uruguay)
4.38%		10/27/27	³		$ 1,357,835		$ 1,432,923


Total Foreign Government Obligations (Cost $44,605,571)							44,934,879


MORTGAGE-BACKED — 43.99%**
Non-Agency Commercial
Mortgage-Backed — 5.98%
Banc of America Commercial Mortgage Trust, Series 2007-5, Class AJ
5.76%		02/10/51	⁶		6,167,966		5,892,633
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A
4.09%		08/10/38	^1,6		5,910,000		6,332,630
Banc of America Merrill Lynch Trust, Series 2011-FSHN, Class A
4.42%		07/11/33	¹		4,970,000		5,107,704
Bayview Commercial Asset Trust, Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.43%)
2.92%		08/25/34	^1,2		961,382		947,525
BBCMS Trust, Series 2013-TYSN, Class A2
3.76%		09/05/32	¹		4,675,000		4,734,223
BB-UBS Trust, Series 2012-SHOW, Class A
3.43%		11/05/36	¹		3,490,000		3,547,044
CALI Mortgage Trust, Series 2019-101C, Class A
3.96%		03/10/39	¹		7,630,000		8,048,368
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
1.79%		09/10/45	^1,6		42,252,505		1,961,091
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A
2.78%		11/10/31	^1,6		4,900,000		4,877,070
Commercial Mortgage Trust, Series 2012-CR4, Class XA (IO)
1.77%		10/15/45	⁶		47,929,956		2,396,036
Commercial Mortgage Trust, Series 2012-CR5, Class XA (IO)
1.55%		12/10/45	⁶		75,743,153		3,577,289
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	¹		2,840,000		2,999,648
Commercial Mortgage Trust, Series 2013-LC6, Class XA (IO)
1.36%		01/10/46	⁶		36,879,203		1,552,493
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^1,6		6,275,000		6,520,717


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A
5.40%		12/13/28	¹		$10,438,109		$10,895,446
GE Business Loan Trust, Series 2006-2A, Class A
(LIBOR USD 1-Month plus 0.18%)
2.66%		11/15/34	^1,2		7,814,889		7,692,149
GE Business Loan Trust, Series 2007-1A, Class A
(LIBOR USD 1-Month plus 0.17%)
2.65%		04/15/35	^1,2		3,429,398		3,365,218
GRACE Mortgage Trust, Series 2014-GRCE, Class A
3.37%		06/10/28	¹		1,875,000		1,899,533
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A
5.37%		05/03/32	¹		2,420,000		2,725,735
GS Mortgage Securities Trust, Series 2010-C1, Class X (IO)
1.35%		08/10/43	^1,6		41,246,124		525,787
GS Mortgage Securities Trust, Series 2012-GC6, Class XA (IO)
1.94%		01/10/45	^1,6		51,944,482		2,208,674
GS Mortgage Securities Trust, Series 2014-GC20, Class XA (IO)
1.06%		04/10/47	⁶		79,890,676		2,972,261
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class XA (IO)
0.54%		08/15/46	⁶		89,177,173		1,709,963
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA (IO)
1.09%		11/15/45	⁶		18,524,618		757,162
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2009-IWST, Class XA (IO)
2.08%		12/05/27	^1,6		49,222,655		626,206
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C1, Class A2
4.61%		06/15/43	¹		11,357,042		11,488,872
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class XA (IO)
0.94%		02/15/46	^1,6		17,576,676		266,500
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)
1.27%		04/15/46	⁶		12,393,496		532,240
Key Commercial Mortgage Securities Trust, Series 2018-S1, Class A1
3.72%		10/15/53	¹		6,129,734		6,218,701


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class 1A4
(LIBOR USD 1-Month plus 0.25%)
2.74%		06/25/37	^1,2		$ 2,319,817		$ 2,262,884
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6, Class A4
2.86%		11/15/45			1,182,307		1,184,277
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C12, Class XA (IO)
0.62%		10/15/46	⁶		34,704,939		801,188
Morgan Stanley Capital I Trust, Series 2011-C3, Class A3
4.05%		07/15/49			2,527,102		2,528,961
Morgan Stanley Capital I Trust, Series 2015-420, Class A
3.73%		10/12/50	¹		7,000,000		7,163,603
One Market Plaza Trust, Series 2017-1MKT, Class A
3.61%		02/10/32	¹		5,600,000		5,729,901
RBS Commercial Funding, Inc., Trust, Series 2013-GSP, Class A
3.83%		01/15/32	^1,6		3,460,000		3,563,887
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class XA (IO)
0.60%		01/05/43	^1,6		28,685,000		1,647,081
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ
5.48%		08/15/39	⁶		360,042		360,874
VNDO Mortgage Trust, Series 2012-6AVE, Class A
3.00%		11/15/30	¹		4,370,000		4,403,047
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2
4.39%		11/15/43	¹		21,025,000		21,345,240
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class XA (IO)
1.32%		08/15/50	⁶		55,880,179		2,509,299
WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A3
4.39%		06/15/44	¹		120,268		120,303
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)
1.73%		11/15/44	^1,6		21,782,118		741,790
WF-RBS Commercial Mortgage Trust, Series 2012-C10, Class XA (IO)
1.56%		12/15/45	^1,6		70,802,088		3,385,232
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA (IO)
1.83%		08/15/45	^1,6		46,416,586		2,244,295
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA (IO)
1.88%		11/15/45	^1,6		42,325,577		2,365,788

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial
Mortgage-Backed (continued)

WF-RBS Commercial Mortgage Trust,

Series 2013-C14, Class XA (IO)

0.74%

06/15/46

⁶

77,541,308

1,960,632

WF-RBS Commercial Mortgage Trust,

Series 2014-C23, Class XA (IO)

0.60%

10/15/57

⁶

93,589,924

2,396,641

Worldwide Plaza Trust, Series 2017-WWP,

Class A

3.53%

11/10/36

6,500,000

6,600,063

185,693,904

Non-Agency Mortgage-Backed — 25.75%

Aames Mortgage Investment Trust,

Series 2006-1, Class A4

(LIBOR USD 1-Month plus 0.56%)

3.05%

04/25/36

2,082,000

2,060,065

Accredited Mortgage Loan Trust,

Series 2006-1, Class A4

(LIBOR USD 1-Month plus 0.28%)

2.77%

04/25/36

4,690,044

4,573,389

ACE Securities Corp. Home Equity Loan

Trust, Series 2006-OP2, Class A2C

(LIBOR USD 1-Month plus 0.15%)

2.64%

08/25/36

542,112

533,382

ACE Securities Corp. Home Equity Loan

Trust, Series 2007-ASP1, Class A2D

(LIBOR USD 1-Month plus 0.38%)

2.87%

03/25/37

2,985,022

1,853,082

Adjustable Rate Mortgage Trust,

Series 2005-4, Class 5A1

4.09%

08/25/35

⁶

2,914,073

2,652,445

Adjustable Rate Mortgage Trust,

Series 2005-5, Class 6A21

(LIBOR USD 1-Month plus 0.23%)

2.72%

09/25/35

74,735

74,864

Adjustable Rate Mortgage Trust,

Series 2007-1, Class 1A1

4.62%

03/25/37

⁶

3,467,397

3,161,515

American Home Mortgage Investment Trust,

Series 2006-1, Class 12A1

(LIBOR USD 1-Month plus 0.40%)

2.89%

03/25/46

5,679,439

5,466,445

Asset-Backed Funding Certificates,

Series 2007-NC1, Class A2

(LIBOR USD 1-Month plus 0.30%)

2.79%

05/25/37

^1,2

5,663,476

5,526,469

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A2B

(LIBOR USD 1-Month plus 1.00%)

3.49%

06/25/37

4,637,855

3,964,474

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2004-HE9, Class M1

(LIBOR USD 1-Month plus 0.98%)

3.46%

12/25/34

1,831,114

1,810,470

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE1, Class A4

(LIBOR USD 1-Month plus 0.30%)

2.79%

01/25/36

5,000,000

4,897,576

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE5, Class A5

(LIBOR USD 1-Month plus 0.24%)

2.73%

07/25/36

9,754,000

9,121,789

Banc of America Alternative Loan Trust,

Series 2003-8, Class 1CB1

5.50%

10/25/33

1,130,026

1,162,992

Banc of America Alternative Loan Trust,

Series 2005-2, Class 4A1

5.50%

03/25/20

25,537

24,333

Banc of America Funding Trust,

Series 2004-B, Class 5A1

4.63%

11/20/34

⁶

396,866

388,266

Banc of America Funding Trust,

Series 2006-D, Class 3A1

3.93%

05/20/36

⁶

1,434,449

1,394,717

Banc of America Funding Trust,

Series 2006-G, Class 2A1

(LIBOR USD 1-Month plus 0.22%)

2.71%

07/20/36

1,291,746

1,288,396

Banc of America Funding Trust,

Series 2006-G, Class 2A4

(LIBOR USD 1-Month plus 0.29%)

2.78%

07/20/36

5,158,885

5,157,364

Banc of America Funding Trust,

Series 2015-R3, Class 6A2

2.66%

05/27/36

^1,6

17,346,425

16,333,435

Banc of America Funding Trust,

Series 2016-R1, Class A1

2.50%

03/25/40

^1,6

4,707,919

4,619,535

Banc of America Mortgage Securities, Inc.,

Series 2005-K, Class 2A1

4.50%

12/25/35

⁶

1,788,662

1,758,624

BCAP LLC Trust, Series 2007-AA1,

Class 2A1

(LIBOR USD 1-Month plus 0.18%)

2.67%

03/25/37

5,069,231

4,970,492

BCAP LLC Trust, Series 2014-RR2,

Class 6A1

(LIBOR USD 1-Month plus 0.24%)

2.73%

10/26/36

^1,2

10,069,418

10,010,649

BCAP LLC Trust, Series 2014-RR3,

Class 4A1

2.79%

03/26/36

^1,6

5,718,484

5,530,054


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns ALT-A Trust, Series 2005-1,
Class M1
(LIBOR USD 1-Month plus 0.75%)
3.24%		01/25/35	²	$	14,935,000	$	14,838,412
Bear Stearns ALT-A Trust, Series 2005-2,
Class 2A4
4.20%		04/25/35	⁶		2,198,363		2,192,409
Bear Stearns ALT-A Trust, Series 2005-8,
Class 11A1
(LIBOR USD 1-Month plus 0.54%)
3.03%		10/25/35	²		10,752,696		10,593,650
Bear Stearns ARM Trust, Series 2005-9,
Class A1
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 2.30%)
4.73%		10/25/35	²		3,156,579		3,203,789
Bear Stearns Asset-Backed Securities I
Trust, Series 2005-AC6, Class 1A3
5.50%		09/25/35	⁶		543,334		546,330
Bear Stearns Asset-Backed Securities I
Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36			91,405		101,907
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
2.69%		09/25/47	²		11,198,814		10,454,023
Carrington Mortgage Loan Trust,
Series 2005-OPT2, Class M4
(LIBOR USD 1-Month plus 0.98%)
3.46%		05/25/35	²		2,960,000		2,972,642
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.35%)
2.84%		02/25/36	²		3,620,000		3,582,913
Centex Home Equity Loan Trust,
Series 2006-A, Class AV4
(LIBOR USD 1-Month plus 0.25%)
2.74%		06/25/36	²		2,912,127		2,900,691
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
4.69%		02/25/37	⁶		1,238,439		1,277,447
CIM Trust, Series 2016-4, Class A1
(LIBOR USD 1-Month plus 2.00%)
4.49%		10/25/57	^1,2		7,801,259		8,118,202
CIM Trust, Series 2017-5, Class A1
2.30%		05/25/57	^1,6		2,813,731		2,793,688
CIM Trust, Series 2017-8, Class A1
3.00%		12/25/65	^1,6		14,293,549		14,104,894
CIM Trust, Series 2018-R4, Class A1
4.07%		12/26/57	^1,6		13,396,398		13,340,742

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

CIM Trust, Series 2018-R5, Class A1

3.75%

07/25/58

^1,6

13,573,504

13,582,765

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-9, Class 1A1

(LIBOR USD 1-Month plus 0.26%)

2.75%

11/25/35

73,143

59,211

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH2, Class M1

(LIBOR USD 1-Month plus 0.27%)

2.76%

08/25/36

8,972,899

8,863,380

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH3, Class M1

(LIBOR USD 1-Month plus 0.29%)

2.78%

10/25/36

8,343,078

8,375,322

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-WFH1, Class A4

(LIBOR USD 1-Month plus 0.20%)

2.69%

01/25/37

1,919,038

1,927,254

Citigroup Mortgage Loan Trust,

Series 2006-AR3, Class 1A2A

4.22%

06/25/36

⁶

327,232

316,190

Citigroup Mortgage Loan Trust,

Series 2006-HE2, Class A2D

(LIBOR USD 1-Month plus 0.24%)

2.73%

08/25/36

1,516,030

1,490,277

Citigroup Mortgage Loan Trust,

Series 2007-WFHE2, Class A4

(LIBOR USD 1-Month plus 0.35%)

2.84%

03/25/37

4,710,869

4,717,329

Conseco Finance Corp., Series 1998-6,

Class A8

6.66%

06/01/30

⁶

21,853

22,712

Countrywide Alternative Loan Trust,

Series 2005-76, Class 1A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.48%)

3.88%

01/25/36

5,046,759

5,098,399

Countrywide Alternative Loan Trust,

Series 2006-HY12, Class A5

3.87%

08/25/36

⁶

5,503,771

5,661,697

Countrywide Asset-Backed Certificates,

Series 2004-15, Class MV4

(LIBOR USD 1-Month plus 1.28%)

3.76%

04/25/35

3,412,336

3,449,389

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-HYB7,

Class 3A

4.52%

11/20/34

⁶

16,510

16,831

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-3,

Class 1A2

(LIBOR USD 1-Month plus 0.58%)

3.07%

04/25/35

5,334,324

4,907,800

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-9,

Class 1A1

(LIBOR USD 1-Month plus 0.60%)

3.09%

05/25/35

117,540

108,549

Credit Suisse First Boston Mortgage

Securities Corp., Series 2003-AR26,

Class 3A1

4.51%

11/25/33

⁶

1,047,070

1,047,065

Credit Suisse First Boston Mortgage

Securities Corp., Series 2005-11,

Class 1A1

6.50%

12/25/35

799,388

652,260

Credit Suisse First Boston Mortgage-Backed

Pass-Through Certificates, Series 2004-AR5,

Class 9A1

3.29%

06/25/34

⁶

99,774

98,241

Credit Suisse Mortgage Capital,

Mortgage-Backed Trust,

Series 2006-8, Class 3A1

6.00%

10/25/21

71,325

64,911

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2,

Class A2B (STEP-reset date 05/25/19)

4.04%

02/25/37

6,415,626

4,915,887

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2,

Class A2C (STEP-reset date 05/25/19)

4.04%

02/25/37

1,535,527

1,176,436

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB3,

Class A3 (STEP-reset date 05/25/19)

3.82%

03/25/37

6,930,553

3,615,276

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB2,

Class AF3 (STEP-reset date 05/25/19)

3.44%

12/25/36

909,154

830,894

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB9,

Class A2

(LIBOR USD 1-Month plus 0.11%)

2.60%

11/25/36

9,807,189

6,119,286

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB1,

Class AF2 (STEP-reset date 05/25/19)

3.57%

01/25/37

2,628,792

1,247,873

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB4,

Class A1A

(LIBOR USD 1-Month plus 0.09%)

2.58%

04/25/37

3,415,664

3,203,575

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A1

(LIBOR USD 1-Month plus 0.06%)

2.55%

04/25/37

1,936,178

1,430,040

DSLA Mortgage Loan Trust,

Series 2004-AR4, Class 2A1A

(LIBOR USD 1-Month plus 0.36%)

2.84%

01/19/45

1,034,761

968,991

DSLA Mortgage Loan Trust,

Series 2005-AR6, Class 2A1A

(LIBOR USD 1-Month plus 0.29%)

2.77%

10/19/45

5,633,748

5,481,856

DSLA Mortgage Loan Trust,

Series 2006-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.20%)

2.68%

10/19/36

7,903,075

7,137,858

DSLA Mortgage Loan Trust,

Series 2007-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.14%)

2.62%

04/19/47

2,375,527

2,223,095

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2C

(LIBOR USD 1-Month plus 0.16%)

2.65%

10/25/36

1,040,279

789,234

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2D

(LIBOR USD 1-Month plus 0.21%)

2.70%

12/25/37

1,694,485

1,470,616

First Franklin Mortgage Loan Trust,

Series 2006-FF4, Class A3

(LIBOR USD 1-Month plus 0.28%)

3.05%

03/25/36

15,096,000

14,425,048

First Franklin Mortgage Loan Trust,

Series 2006-FF9, Class 2A4

(LIBOR USD 1-Month plus 0.25%)

2.74%

06/25/36

8,650,000

7,642,996

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2D

(LIBOR USD 1-Month plus 0.22%)

2.71%

01/25/38

5,725,692

4,294,066

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

2.59%

03/25/37

743,184

501,295


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA3, Class A1
4.39%		09/25/34	⁶	$	616,721	$	612,631
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA3, Class A3
4.39%		09/25/34	⁶		948,324		942,036
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA10, Class 1A1
4.07%		12/25/35	⁶		1,802,667		1,660,164
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA12, Class 2A1
4.19%		02/25/36	⁶		2,560,385		2,303,254
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA2, Class 2A1
4.28%		04/25/35	⁶		3,148,076		3,152,321
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA3, Class 3A1
4.19%		05/25/35	⁶		3,145,813		3,139,727
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA7, Class 2A1
4.39%		09/25/35	⁶		3,793,340		3,654,521
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA8, Class 2A1
4.44%		10/25/35	⁶		4,204,711		3,481,432
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA9, Class 2A1
4.17%		11/25/35	⁶		2,481,938		2,330,916
First Horizon Alternative Mortgage Securities
Trust, Series 2006-AA1, Class 1A1
4.44%		03/25/36	⁶		3,075,316		2,643,838
First Horizon Alternative Mortgage Securities
Trust, Series 2006-AA7, Class A1
4.07%		01/25/37	⁶		4,393,743		3,970,704
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 1A1
4.37%		09/25/35	⁶		3,434,886		3,132,017
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1
4.07%		10/25/35	⁶		169,554		163,578
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR5, Class 2A1
4.67%		11/25/35	⁶		1,632,991		1,550,160
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR2, Class 1A2
4.52%		08/25/37	⁶		145,947		117,454
Ginnie Mae, Series 2018-134, Class ZP
4.50%		10/20/48			12,813,306		12,811,557
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 2A1
4.66%		09/19/35	⁶		1,895,435		1,621,336

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GMACM Mortgage Corp. Loan Trust,

Series 2005-AR5, Class 3A1

4.23%

09/19/35

⁶

2,372,491

2,264,736

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

4.25%

04/19/36

⁶

5,106,379

4,645,841

GreenPoint Mortgage Funding Trust,

Series 2005-HY1, Class 2A

(LIBOR USD 1-Month plus 0.29%)

2.78%

07/25/35

1,627,488

1,615,167

GreenPoint Mortgage Funding Trust,

Series 2006-AR8, Class 1A2A⁷

0.00%

01/25/47

^4,8,†

1,060,000

—

GreenPoint Mortgage Funding Trust,

Series 2007-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.20%)

2.69%

03/25/47

17,652,800

16,374,910

GSAMP Trust, Series 2005-HE5, Class M2

(LIBOR USD 1-Month plus 0.43%)

2.92%

11/25/35

6,841,300

6,866,513

GSR Mortgage Loan Trust,

Series 2005-7F, Class 3A3 (IO)

LIBOR USD 1-Month

3.01%

09/25/35

^2,4,5

27,431

460

GSR Mortgage Loan Trust,

Series 2005-AR4, Class 5A1

4.30%

07/25/35

⁶

1,213,226

1,141,919

GSR Mortgage Loan Trust,

Series 2006-AR2, Class 2A1

4.20%

04/25/36

⁶

294,012

257,439

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 5A1A

4.37%

05/25/37

⁶

1,190,631

1,072,085

HarborView Mortgage Loan Trust,

Series 2005-10, Class 2A1A

(LIBOR USD 1-Month plus 0.31%)

2.79%

11/19/35

3,637,338

3,366,723

HarborView Mortgage Loan Trust,

Series 2006-7, Class 1A

(LIBOR USD 1-Month plus 0.21%)

2.69%

09/19/46

15,868,074

14,901,921

HarborView Mortgage Loan Trust,

Series 2007-6, Class 1A1A

(LIBOR USD 1-Month plus 0.20%)

2.68%

08/19/37

16,794,406

15,333,884

Home Equity Mortgage Loan Asset-Backed

Trust, Series 2005-D, Class AII4

(LIBOR USD 1-Month plus 0.35%)

2.84%

03/25/36

7,954,182

7,830,499

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

HSI Asset Securitization Corp. Trust,

2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

3.12%

11/25/35

6,273,212

6,254,596

Impac CMB Trust, Series 2005-2,

Class 1A1

(LIBOR USD 1-Month plus 0.52%)

3.01%

04/25/35

5,220,775

5,198,834

IndyMac Index Mortgage Loan Trust,

Series 2005-AR14, Class 1A1A

(LIBOR USD 1-Month plus 0.28%)

2.77%

07/25/35

15,119,984

13,034,380

IndyMac Index Mortgage Loan Trust,

Series 2005-AR19, Class A1

3.86%

10/25/35

⁶

2,819,792

2,525,105

IndyMac Index Mortgage Loan Trust,

Series 2006-AR27, Class 1A3

(LIBOR USD 1-Month plus 0.27%)

2.76%

10/25/36

7,970,209

5,130,452

IndyMac Index Mortgage Loan Trust,

Series 2006-AR7, Class 3A1

4.06%

05/25/36

⁶

568,465

500,311

IndyMac Index Mortgage Loan Trust,

Series 2006-AR9, Class 3A3

3.66%

06/25/36

⁶

4,802,609

4,637,237

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1998-1,

Class A4

6.49%

09/25/28

57,238

60,786

JPMorgan Mortgage Acquisition Trust,

Series 2006-ACC1, Class M1

(LIBOR USD 1-Month plus 0.27%)

2.76%

05/25/36

8,497,000

8,456,082

JPMorgan Mortgage Acquisition Trust,

Series 2006-CH1, Class M2

(LIBOR USD 1-Month plus 0.29%)

2.78%

07/25/36

12,400,000

12,188,907

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH1, Class MV1

(LIBOR USD 1-Month plus 0.23%)

2.72%

11/25/36

6,713,503

6,722,838

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH1, Class MV3

(LIBOR USD 1-Month plus 0.32%)

2.81%

11/25/36

14,417,000

14,345,301

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH5, Class A4

(LIBOR USD 1-Month plus 0.16%)

2.65%

06/25/36

3,160,879

3,143,549

JPMorgan Mortgage Trust, Series 2005-A6,

Class 7A1

4.32%

08/25/35

⁶

52,499

50,967


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2006-A3,
Class 2A1
4.26%		05/25/36	⁶	$	47,313	$	45,596
JPMorgan Mortgage Trust, Series 2006-S2,
Class 2A2
5.88%		06/25/21			207,183		196,640
JPMorgan Mortgage Trust, Series 2007-S1,
Class 1A2
5.50%		03/25/22			105,357		102,130
Legacy Mortgage Asset Trust,
Series 2017-RPL1, Class A
(LIBOR USD 1-Month plus 1.75%)
4.25%		01/28/70	^1,2		15,835,187		16,132,749
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			176		177
Lehman XS Trust, Series 2005-4,
Class 1A3
(LIBOR USD 1-Month plus 0.80%)
3.29%		10/25/35	²		97,265		96,566
Lehman XS Trust, Series 2005-5N,
Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
2.79%		11/25/35	²		5,389,349		5,313,112
Lehman XS Trust, Series 2006-GP2,
Class 1A5A
(LIBOR USD 1-Month plus 0.21%)
2.70%		06/25/46	²		8,428,366		8,051,969
Lehman XS Trust, Series 2007-18N,
Class 1A1
(LIBOR USD 1-Month plus 0.85%)
3.34%		10/25/37	²		8,393,374		8,161,637
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
4.34%		11/25/33	⁶		349,640		355,526
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 8A1
5.39%		10/25/34	⁶		565,132		567,623
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
4.46%		04/25/34	⁶		82,345		82,821
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 4A1
4.71%		02/25/36	⁶		63,551		62,207
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.15%)
2.64%		03/25/47	²		6,077,518		5,759,199
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A2⁷
0.00%		03/25/47	^4,5,8,†		20,725,600		—

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Asset-Backed Securities Trust,

Series 2007-HE1, Class A4

(LIBOR USD 1-Month plus 0.28%)

2.77%

05/25/37

3,150,000

2,720,068

Merrill Lynch Alternative Note Asset Trust,

Series 2007-A3, Class A2D

(LIBOR USD 1-Month plus 0.33%)

2.82%

04/25/37

^2,4,5

883,581

81,964

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-4, Class 2A4

(LIBOR USD 1-Month plus 0.25%)

2.74%

07/25/37

1,281,257

869,816

Merrill Lynch Mortgage Investors Trust,

Series 2003-A6, Class 2A

4.58%

10/25/33

⁶

211,446

215,572

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%)

4.95%

08/25/36

1,999,179

1,958,685

Mid-State Capital Corp., Series 2004-1,

Class B

8.90%

08/15/37

63,752

72,905

Morgan Stanley Capital I, Inc., Trust,

Series 2006-NC2, Class A2D

(LIBOR USD 1-Month plus 0.29%)

2.78%

02/25/36

3,145,685

3,064,823

Morgan Stanley Home Equity Loan Trust,

Series 2006-2, Class A4

(LIBOR USD 1-Month plus 0.28%)

2.77%

02/25/36

3,501,080

3,497,178

Morgan Stanley Mortgage Loan Trust,

Series 2004-7AR, Class 2A4

4.09%

09/25/34

⁶

509,539

504,266

Morgan Stanley Mortgage Loan Trust,

Series 2005-6AR, Class 1A1

(LIBOR USD 1-Month plus 0.28%)

2.77%

11/25/35

30,961

31,075

Morgan Stanley Mortgage Loan Trust,

Series 2006-2, Class 1A

5.25%

02/25/21

161,094

158,246

Morgan Stanley Resecuritization Trust,

Series 2014-R9, Class 3A

(Federal Reserve US 12-Month Cumulative

Average plus 0.84%)

3.17%

11/26/46

^1,2

2,901,072

2,849,588

MortgageIT Trust, Series 2005-2, Class 2A

(LIBOR USD 1-Month plus 1.65%)

4.14%

05/25/35

2,670,489

2,662,741

MortgageIT Trust, Series 2005-4, Class A1

(LIBOR USD 1-Month plus 0.28%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
2.77%		10/25/35	²	$	3,186,138	$	3,182,370
MortgageIT Trust, Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.26%)
2.75%		12/25/35	²		583,122		580,791
New Century Home Equity Loan Trust,
Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.33%)
2.82%		02/25/36	²		3,189,123		3,128,041
New York Mortgage Trust, Series 2005-3,
Class A1
(LIBOR USD 1-Month plus 0.48%)
2.97%		02/25/36	²		743,126		738,546
Nomura Asset Acceptance Corp.,
Series 2005-AR4, Class 4A1
4.70%		08/25/35	⁶		4,133,771		4,139,132
Nomura Resecuritization Trust,
Series 2016-2R, Class 1A1
2.64%		09/26/36	^1,6		5,219,968		5,135,449
Nomura Resecuritization Trust,
Series 2011-2RA, Class 1A2
4.15%		12/26/46	^1,6		6,169,620		6,201,482
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%		09/15/29	⁶		10,788,072		5,755,179
Opteum Mortgage Acceptance Corp.
Asset-Backed Pass-Through Certificates,
Series 2005-3, Class M2
(LIBOR USD 1-Month plus 0.48%)
2.97%		07/25/35	²		11,301,000		10,757,619
Ownit Mortgage Loan Trust,
Series 2006-2, Class A1
(LIBOR USD 1-Month plus 0.21%)
2.70%		01/25/37	²		11,983,464		11,850,582
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
2.80%		06/25/47	²		5,152,000		4,211,550
RAAC Trust,
Series 2005-SP1, Class 4A1
7.00%		09/25/34			115,948		118,382
Residential Accredit Loans Trust,
Series 2005-QA13, Class 2A1
4.83%		12/25/35	⁶		2,651,448		2,408,240
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
4.45%		04/25/35	⁶		126,743		119,582
Residential Accredit Loans Trust,
Series 2005-QA7, Class A21
4.42%		07/25/35	⁶		1,232,096		1,175,266
Residential Accredit Loans Trust,
Series 2005-QA8, Class CB21
4.60%		07/25/35	⁶		1,047,574		811,897

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Accredit Loans Trust,

Series 2006-QS13, Class 2A1

5.75%

09/25/21

96,120

92,710

Residential Accredit Loans Trust,

Series 2006-QS16, Class A6

6.00%

11/25/36

768,580

690,353

Residential Accredit Loans Trust,

Series 2007-QS1, Class 2AV (IO)

0.18%

01/25/37

^4,5,6

3,104,943

24,398

Residential Asset Securities Trust,

Series 2004-KS9, Class AII4

(LIBOR USD 1-Month plus 0.60%)

3.09%

10/25/34

14,571

13,435

Residential Asset Securities Trust,

Series 2005-KS9, Class M4

(LIBOR USD 1-Month plus 0.60%)

3.09%

10/25/35

5,465,000

5,427,282

Residential Asset Securitization Trust,

Series 2006-A9CB, Class A9

6.00%

09/25/36

5,666,857

3,304,189

Residential Funding Mortgage Securities

Trust, Series 2007-SA2, Class 1A

4.82%

04/25/37

⁶

286,816

191,458

Saxon Asset Securities Trust, Series 2005-4,

Class M1

(LIBOR USD 1-Month plus 0.44%)

2.93%

11/25/37

8,400,000

8,360,527

Saxon Asset Securities Trust, Series 2007-2,

Class A2C

(LIBOR USD 1-Month plus 0.24%)

2.73%

05/25/47

19,282,914

16,158,555

Securitized Asset-Backed Receivables LLC

Trust, Series 2006-CB1,

Class AF4 (STEP-reset date 05/25/19)

3.34%

01/25/36

5,246,426

4,781,796

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR2, Class A2

(LIBOR USD 1-Month plus 0.23%)

2.72%

02/25/37

1,324,011

720,427

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR4, Class A2B

(LIBOR USD 1-Month plus 0.20%)

2.69%

05/25/37

2,691,689

1,732,846

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-NC1, Class A2B

(LIBOR USD 1-Month plus 0.15%)

2.64%

12/25/36

7,727,151

4,439,975

Soundview Home Loan Trust,

Series 2006-WF2, Class M1

(LIBOR USD 1-Month plus 0.22%)

2.71%

12/25/36

12,750,000

12,687,464

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Soundview Home Loan Trust,

Series 2007-WMC1, Class 3A3

(LIBOR USD 1-Month plus 0.26%)

2.75%

02/25/37

1,140,205

442,405

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-12, Class 2A

4.44%

09/25/34

⁶

1,318,987

1,306,163

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-2, Class 4A2

4.44%

03/25/34

⁶

1,864,322

1,865,223

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-12, Class 3A1

4.40%

06/25/35

⁶

1,658,442

1,620,746

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-21, Class 2A

4.53%

11/25/35

⁶

1,499,753

1,372,066

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-7, Class 1A3

4.15%

04/25/35

⁶

3,839,929

3,795,243

Structured Adjustable Rate Mortgage Loan

Trust, Series 2006-11, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

2.65%

12/25/36

2,607,234

2,501,025

Structured Asset Investment Loan Trust,

Series 2004-6, Class A3

(LIBOR USD 1-Month plus 0.80%)

3.29%

07/25/34

16,065,873

15,853,929

Structured Asset Mortgage Investments II

Trust, Series 2006-AR3, Class 22A1

3.93%

05/25/36

⁶

555,846

378,575

Structured Asset Mortgage Investments II

Trust, Series 2006-AR5, Class 1A1

(LIBOR USD 1-Month plus 0.21%)

2.70%

05/25/36

498,351

461,434

Structured Asset Mortgage Investments II

Trust, Series 2007-AR6, Class A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.50%)

3.90%

08/25/47

11,820,402

11,206,743

Structured Asset Securities Corp. Mortgage

Loan Trust, Series 2005-2XS, Class 2A2

(LIBOR USD 1-Month plus 1.50%)

3.99%

02/25/35

153,452

152,485

Structured Asset Securities Corp. Mortgage

Loan Trust, Series 2005-4XS, Class 2A1A

(LIBOR USD 1-Month plus 1.75%)

4.24%

03/25/35

2,068,352

2,017,561

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 2003-34A, Class 3A3

4.40%

11/25/33

⁶

76,852

77,320

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-4, Class 3A1

4.30%

10/25/37

⁶

2,521,770

2,375,671

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-S1, Class 2A1

4.92%

01/25/37

⁶

863,210

869,846

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-S1, Class 5A1

4.76%

01/25/37

⁶

551,150

558,532

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A2

(LIBOR USD 1-Month plus 0.11%)

2.60%

01/25/37

3,807,892

2,420,738

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR13, Class A1A

(LIBOR USD 1-Month plus 0.72%)

3.21%

11/25/34

237,504

238,215

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR14, Class A1

4.38%

01/25/35

⁶

834,170

855,938

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR6, Class A

(LIBOR USD 1-Month plus 0.42%)

2.91%

05/25/44

130,549

131,474

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR1, Class A1A

(LIBOR USD 1-Month plus 0.64%)

3.13%

01/25/45

256,112

264,005

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR11, Class A1A

(LIBOR USD 1-Month plus 0.32%)

2.81%

08/25/45

618,101

621,549

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR12, Class 1A6

4.02%

10/25/35

⁶

1,872,311

1,853,689

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A1

(LIBOR USD 1-Month plus 0.29%)

2.78%

10/25/45

1,472,984

1,450,498

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR14, Class 2A1

4.07%

12/25/35

⁶

38,572

37,392

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR16, Class 1A3

4.26%

12/25/35

⁶

2,122,935

2,125,262

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A21

(LIBOR USD 1-Month plus 0.33%)

2.82%

01/25/45

1,154,255

1,130,123

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR6, Class 2A1A

(LIBOR USD 1-Month plus 0.46%)

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

2.95%

04/25/45

1,247,332

1,215,093

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR9, Class A1A

(LIBOR USD 1-Month plus 0.64%)

3.13%

07/25/45

1,099,944

1,107,413

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR3, Class A1A

(Federal Reserve US 12-Month Cumulative

Average plus 1.00%)

3.40%

02/25/46

7,104,663

7,102,526

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR4, Class 1A1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.94%)

3.27%

05/25/46

2,911,111

2,930,885

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR7, Class 2A

(Federal Reserve US 12-Month Cumulative

Average plus 0.98%)

3.38%

07/25/46

5,956,112

5,641,800

WaMu Mortgage Pass-Through Certificates,

Series 2007-HY3, Class 1A1

3.58%

03/25/37

⁶

2,795,494

2,600,096

WaMu Mortgage Pass-Through Certificates,

Series 2007-OA5, Class 1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.75%)

3.15%

06/25/47

2,248,211

2,089,908

Wells Fargo Alternative Loan Trust,

Series 2007-PA5, Class 1A1

6.25%

11/25/37

3,430,930

3,340,108

Wells Fargo Home Equity Asset-Backed

Securities, Series 2006-2, Class A4

(LIBOR USD 1-Month plus 0.25%)

2.74%

07/25/36

1,186,173

1,179,493

Wells Fargo Home Equity Asset-Backed

Securities, Series 2007-1, Class A3

(LIBOR USD 1-Month plus 0.32%)

2.81%

03/25/37

4,690,000

3,883,832

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR4, Class 1A1

5.11%

04/25/36

⁶

191,010

193,048

Wells Fargo Mortgage-Backed Securities

Trust, Series 2005-AR16, Class 7A1

4.75%

10/25/35

⁶

1,112,487

1,115,090

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR10, Class 5A2

4.54%

07/25/36

⁶

189,410

190,357

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR14, Class 2A1

4.75%

10/25/36

⁶

864,872

857,461


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR2, Class 2A1
4.95%		03/25/36	⁶	$	1,524,317	$	1,559,962
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR8, Class 3A2
5.00%		04/25/36	⁶		1,738,536		1,741,128


							799,786,005

U.S. Agency Commercial
Mortgage-Backed — 6.44%
Fannie Mae-Aces, Series 2010-M5,
Class X (IO)
0.90%		07/25/20	⁶		13,908,158		133,403
Fannie Mae-Aces, Series 2011-M5,
Class X (IO)
1.18%		07/25/21	⁶		55,844,164		1,196,869
Fannie Mae-Aces, Series 2012-M17,
Class X2 (IO)
0.35%		11/25/22	⁶		113,509,277		1,166,921
Fannie Mae-Aces, Series 2012-M2,
Class X (IO)
0.68%		02/25/22	⁶		64,273,094		983,038
Fannie Mae-Aces, Series 2012-M4,
Class X1 (IO)
0.57%		04/25/22	⁶		63,642,864		772,513
Fannie Mae-Aces, Series 2016-M11,
Class X2 (IO)
2.68%		07/25/39	⁶		77,655,882		3,017,001
Fannie Mae-Aces, Series 2016-M13,
Class FA
(LIBOR USD 1-Month plus 0.67%)
3.15%		11/25/23	²		4,838,149		4,842,213
Fannie Mae-Aces, Series 2016-M2,
Class X3 (IO)
2.01%		04/25/36	⁶		89,021,592		4,033,421
Fannie Mae-Aces, Series 2016-M4,
Class X2 (IO)
2.60%		01/25/39	⁶		62,452,079		5,519,043
Fannie Mae-Aces, Series 2018-M13,
Class A1
3.70%		03/25/30	⁶		8,476,210		9,030,233
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series 1510,
Class A3
3.79%		01/25/34			8,000,000		8,505,749
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K004,
Class AX1 (IO)
1.26%		08/25/19	⁶		78,286,473		238,187
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K007,
Class X1 (IO)
1.03%		04/25/20	⁶		48,667,031		370,361

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed
(continued)

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K011,

Class X3 (IO)

2.57%

12/25/43

⁶

50,337,359

2,093,823

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K015,

Class X3 (IO)

2.80%

08/25/39

⁶

32,027,257

1,981,366

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K021,

Class X3 (IO)

1.97%

07/25/40

⁶

19,350,000

1,166,952

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K022,

Class X3 (IO)

1.81%

08/25/40

⁶

37,280,187

2,130,894

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K056,

Class XAM (IO)

1.15%

05/25/26

⁶

38,290,000

2,847,819

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K063,

Class X3 (IO)

2.07%

02/25/45

⁶

16,600,000

2,252,818

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K157,

Class A3

3.99%

08/25/33

⁶

9,550,000

10,415,400

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K159,

Class A3

3.95%

11/25/33

⁶

10,175,000

11,011,269

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K712,

Class X3 (IO)

1.44%

05/25/40

⁶

79,541,384

776,722

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K719,

Class X1 (IO)

0.44%

06/25/22

⁶

88,661,713

617,529

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC01,

Class X1 (IO)

0.71%

12/25/22

⁶

97,139,215

1,380,465

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF19,

Class A

(LIBOR USD 1-Month plus 0.45%)

2.94%

06/25/23

14,700,797

14,708,591

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ05,

Class A1

1.42%

05/25/21

5,638,378

5,599,586


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ18,
Class A1
2.46%		03/25/22		$	6,853,855	$	6,829,559
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ20,
Class A1
3.21%		10/25/24			4,408,307		4,530,057
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS01,
Class X1 (IO)
1.31%		01/25/23	⁶		30,121,481		984,403
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS05,
Class A
(LIBOR USD 1-Month plus 0.50%)
2.99%		01/25/23	²		6,693,697		6,701,654
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS07,
Class X (IO)
0.65%		09/25/25	⁶		104,500,000		3,918,583
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q004,
Class A2H
3.02%		01/25/46	⁶		16,533,317		16,568,113
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q006,
Class APT2
2.48%		09/25/26	⁶		14,728,099		14,829,355
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q007,
Class APT1
2.99%		10/25/47	⁶		12,255,821		12,379,176
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q007,
Class APT2
3.33%		10/25/47	⁶		14,303,077		14,552,222
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series X3FX,
Class XFX (IO)
0.09%		06/25/27	⁶		274,949,558		2,584,842
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39	⁶		285,058		284,950
Ginnie Mae, Series 2011-152, Class IO (IO)
0.35%		08/16/51	⁶		14,896,931		160,812
Ginnie Mae, Series 2012-112, Class IO (IO)
0.28%		02/16/53	⁶		63,030,699		1,227,901
Ginnie Mae, Series 2012-78, Class IO (IO)
0.49%		06/16/52	⁶		91,569,794		1,815,832
Ginnie Mae, Series 2014-103, Class IO (IO)
0.61%		05/16/55	⁶		42,504,293		1,357,375
Ginnie Mae, Series 2014-125, Class IO (IO)
0.97%		11/16/54	⁶		41,117,290		2,535,899


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae, Series 2016-22, Class IX (IO)
1.29%		06/16/38	⁶	$	5,194,203	$	1,011,541
Ginnie Mae, Series 2017-105, Class IO (IO)
0.74%		05/16/59	⁶		24,573,296		1,786,939
Ginnie Mae, Series 2017-142, Class IO (IO)
0.81%		11/16/59	⁶		54,780,646		4,098,918
Ginnie Mae, Series 2017-148, Class IO (IO)
0.66%		07/16/59	⁶		36,861,148		2,114,654
Ginnie Mae, Series 2018-56, Class IO (IO)
0.63%		11/16/59	⁶		55,049,495		3,080,369


							200,145,340

U.S. Agency Mortgage-Backed — 5.82%
Fannie Mae Pool AN0026
3.48%		11/01/35			3,632,438		3,751,204
Fannie Mae Pool AN0564
3.20%		03/01/31			7,500,000		7,610,770
Fannie Mae Pool AN0971
3.11%		02/01/28			7,535,000		7,668,638
Fannie Mae Pool AN0976
3.26%		02/01/28			2,965,432		3,052,617
Fannie Mae Pool AN1151
3.20%		03/01/31			3,625,072		3,679,837
Fannie Mae Pool AN2799
2.21%		09/01/26			12,655,000		12,038,676
Fannie Mae Pool AN3516
(LIBOR USD 1-Month plus 0.65%)
3.14%		11/01/26	²		17,245,000		17,254,956
Fannie Mae Pool AN3597
(LIBOR USD 1-Month plus 0.64%)
3.13%		11/01/26	²		15,000,000		14,989,101
Fannie Mae Pool AN6168
3.13%		07/01/32			5,800,000		5,759,400
Fannie Mae Pool AN7345
3.21%		11/01/37			16,605,623		16,220,200
Fannie Mae Pool AN9572
3.77%		07/01/30			6,384,000		6,798,322
Fannie Mae Pool AN9612
3.72%		07/01/33			4,059,000		4,265,763
Fannie Mae Pool BL0242
3.82%		11/01/30			15,550,000		16,504,551
Fannie Mae Pool BL0753
4.08%		01/01/34			6,000,000		6,491,719
Fannie Mae Pool BL1132
3.73%		01/01/29			9,468,400		10,064,246


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool BL1137
3.73%		01/01/29		$	21,436,800	$	22,695,961
Fannie Mae REMICS, Series 2006-11,
Class PS
LIBOR USD 1-Month
15.45%		03/25/36	²		22,847		33,707
Fannie Mae REMICS, Series 2006-8,
Class HJ (IO)
4.11%		03/25/36	²		1,208,629		197,713
Fannie Mae REMICS, Series 2007-52,
Class LS (IO)
3.56%		06/25/37	²		48,420		5,122
Fannie Mae REMICS, Series 2007-77,
Class SK (IO)
3.38%		08/25/37	²		86,894		12,022
Fannie Mae REMICS, Series 2007-88,
Class JI (IO)
3.96%		04/25/37	²		1,227,552		211,164
Fannie Mae REMICS, Series 2008-18,
Class SM (IO)
4.51%		03/25/38	²		55,571		7,009
Fannie Mae REMICS, Series 2008-62,
Class SN (IO)
3.71%		07/25/38	²		225,290		36,478
Fannie Mae REMICS, Series 2010-116,
Class SE (IO)
4.11%		10/25/40	²		71,136		9,674
Fannie Mae REMICS, Series 2013-5,
Class GF
(LIBOR USD 1-Month plus 1.10%)
3.59%		10/25/42	²		342,759		342,788
Fannie Mae REMICS, Series 2014-49,
Class CF
(LIBOR USD 1-Month plus 1.00%)
3.50%		07/25/43	²		14,521,503		14,575,028
Freddie Mac REMICS, Series 2711,
Class FA
(LIBOR USD 1-Month plus 1.00%)
3.48%		11/15/33	²		83,298		84,872
Freddie Mac REMICS, Series 2733,
Class FB
(LIBOR USD 1-Month plus 0.60%)
3.08%		10/15/33	²		337,807		340,014
Freddie Mac REMICS, Series 3339,
Class JS
LIBOR USD 1-Month
26.69%		07/15/37	²		16,887		32,486
Freddie Mac REMICS, Series 3404,
Class AS (IO)
3.41%		01/15/38	²		75,120		11,578


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3439,
Class SC (IO)
3.42%		04/15/38	²	$	54,930	$	8,214
Freddie Mac REMICS, Series 3828,
Class TF
(LIBOR USD 1-Month plus 0.40%)
2.88%		04/15/29	²		12,674		12,679
Freddie Mac REMICS, Series 3885, Class
PO (PO)
0.00%		11/15/33	⁹		25,651		22,344
Freddie Mac REMICS, Series 4030,
Class HS (IO)
LIBOR USD 1-Month
4.13%		04/15/42	²		170,033		29,399
Freddie Mac REMICS, Series 4638,
Class UF
(LIBOR USD 1-Month plus 1.00%)
3.50%		09/15/44	²		4,976,000		5,016,133
Freddie Mac REMICS, Series 4824,
Class ZC
4.00%		09/15/48			272,210		273,169
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			135,472		27,637
Ginnie Mae, Series 2011-69, Class GI (IO)
5.00%		05/16/40			170,948		10,451
Ginnie Mae, Series 2011-70, Class IL (IO)
(LIBOR USD 1-Month plus 7.10%)
0.60%		06/16/37	²		798,687		14,914
Ginnie Mae, Series 2011-81, Class IC (IO)
0.62%		07/20/35	²		1,080,340		20,552
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%		01/20/38			33,201		615
Ginnie Mae, Series 2013-135, Class CS (IO)
3.72%		09/16/43	²		3,222,734		457,225
Ginnie Mae, Series 2017-136, Class IO (IO)
5.00%		09/20/47			1,060,959		175,286


							180,814,234

Total Mortgage-Backed
(Cost $1,386,068,574)							1,366,439,483

MUNICIPAL BONDS — 0.64%*
California — 0.30%
Los Angeles Department of Water & Power,
Build America Bonds, Series SY
6.01%		07/01/39			1,950,000		2,448,615
State of California, Build America Bonds
7.95%		03/01/36			6,650,000		6,968,003


							9,416,618

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

New York — 0.34%

City of New York, Build America Bonds,

Series F1

6.65%

12/01/31

3,000,000

3,191,940

City of New York, General Purpose, Public

Improvements, Series B-3

3.05%

10/01/29

2,000,000

1,944,340

New York City Municipal Water Finance

Authority, Build America Bonds, Series SE

6.49%

06/15/42

1,650,000

1,723,475

New York State Dormitory Authority,

Build America Bonds

5.29%

03/15/33

3,100,000

3,631,030

10,490,785

Total Municipal Bonds

(Cost $19,875,775)

19,907,403

U.S. TREASURY SECURITIES — 0.00%

U.S. Treasury Notes — 0.00%

U.S. Treasury Notes

2.50%

01/31/21

50,000

50,176

Total U.S. Treasury Securities

(Cost $49,957)

Total Bonds – 90.59%

(Cost $2,817,233,067)

2,814,288,714

Issues

Shares

Value

COMMON STOCK — 0.03%

Electric — 0.03%

Homer City Holdings

LLC^1,4,5,7

112,222

953,887

Finance — 0.00%

Morgan Stanley Reremic Trust^4,7

1,200,000

—

Total Common Stock

(Cost $5,519,754)

953,887


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 9.63%
Money Market Funds — 1.06%
Fidelity Investments Money Market Funds -
Government Portfolio
2.31%^10,11				1	$	1
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.39%¹⁰				33,022,000		33,022,000


						33,022,001

U.S. Treasury Bills — 8.57%
U.S. Treasury Bills
2.39%¹²		04/16/19	$	124,000,000		123,875,479
2.40%¹²		04/11/19		80,000,000		79,947,348
2.40%¹²		04/23/19		15,000,000		14,978,144
2.41%^12,13		06/20/19		2,598,000		2,584,387
U.S. Treasury Bills (WI)
2.39%¹²		05/07/19		20,000,000		19,952,380
2.42%¹²		07/11/19		25,000,000		24,834,192
						266,171,930

Total Short-Term Investments
(Cost $299,192,284)						299,193,931


Total Investments – 100.25%
(Cost $3,121,945,105)				3,114,436,532


Liabilities in Excess of Other
Assets – (0.25)%						(7,837,878	)


Net Assets – 100.00%					$	3,106,598,654

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 March 31, 2019.

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 Board of Trustees. The aggregate value of illiquid securities is $6,345,410, which is 0.20% of total net assets.

⁶	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.

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 March 31, 2019.

¹⁰	Represents the current yield as of March 31, 2019.

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

¹²	Represents annualized yield at date of purchase.

¹³	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,584,231.

^†	Fair valued security. The aggregate value of fair valued securities is $2,078,268, which is 0.07% of total net assets. These securities were not valued utilizing an independent

The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of twelve separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West AlphaTrak 500 Fund (the “AlphaTrak 500 Fund”), Metropolitan West Corporate Bond Fund (the “Corporate Bond Fund”), Metropolitan West Flexible Income Fund (the “Flexible Income Fund”), Metropolitan West Floating Rate Income Fund (the “Floating Rate Income Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Investment Grade Credit Fund (the “Investment Grade Credit Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”) and Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”). The AlphaTrak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. The Corporate Bond Fund commenced investment operation on June 29, 2018 with Class M and Class I shares. The Flexible Income Fund commenced investment operation on November 30, 2018 with Class M and Class I shares. The Floating Rate Income Fund commenced investment operation on June 28, 2013 with Class M and Class I shares. The High Yield Bond Fund commenced investment operations on September 30, 2002 with Class M shares. Class I was added on March 31, 2003. The Intermediate Bond Fund commenced investment operations on June 28, 2002 with the Class I shares. Class M was added on June 30, 2004. The Investment Grade Credit Fund commenced investment operation on June 29, 2018 with Class M and Class I shares. The Low Duration Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000, and the Administrative Class was added on September 22, 2009. The Strategic Income Fund commenced investment operations on June 30, 2003 with Class M shares. Class I was added on March 31, 2004. The Total Return Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000; Administrative Class was added on December 18, 2009; and the Plan Class added on July 31, 2011. The Ultra Short Bond Fund commenced investment operations on June 30, 2003 with the Class M shares. Class I was added on July 31, 2004. The Unconstrained Bond Fund commenced investment operations on September 30, 2011 with Class M and Class I shares. Each Fund is an investment company following the accounting and reporting guidance in Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification ( the “ASC”) No. 946, Financial Services – Investment Companies.

The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and/or swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is up to five years.

The Corporate Bond Fund seeks to maximize long-term total return, by investing, under normal circumstances, at least 80% of its assets, which includes borrowings for investment purposes, in a diversified portfolio of corporate debt instruments of varying maturities issued by U.S. and foreign corporations domiciled in developed market and emerging market countries. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from three to nine years.

The Flexible Income Fund seeks a high level of current income with a secondary objective of long-term capital appreciation by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates.

The Floating Rate Income Fund seeks primarily to maximize current income with a secondary objective of long term capital appreciation, by investing normally at least 80% of its net assets, which includes borrowings for investment purposes, in floating rate investments and in investments that are the economic equivalent of floating rate investments. The Fund’s portfolio securities may have any duration or maturity.

The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a diversified portfolio of high-yield, fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.

The Investment Grade Credit Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of investment grade fixed-income securities of varying maturities. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from two to eight years.

The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses techniques intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund focuses on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund focuses on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include shifts in the portfolio’s duration, yield curve anomalies, and sector- and issue-specific dislocations.

The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity normally exceeds one year.

The Unconstrained Bond Fund seeks to provide investors with positive long-term returns irrespective of general securities market conditions. The Fund intends to pursue its objective by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates. There is no limit on the weighted average maturity of the Fund’s portfolio, and the average portfolio duration of the fixed-income portion of the Fund’s portfolio is expected to vary from negative three (-3) years to positive eight (8) years.

The accompanying consolidated financial statements include the account of Metropolitan West HY Sub I, LLC (the “U.S. Subsidiary”), which is wholly owned taxable subsidiary of the High Yield Bond Fund. The U.S. Subsidiary enables the High Yield Bond Fund to hold investments in operating companies and satisfy regulated investment company tax requirements. Income earned and gains realized on the investments held by the U.S. Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations for the High Yield Bond Fund. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statements of Operations for the High Yield Bond Fund. The High Yield Bond Fund may invest up to 25% of its total assets in the U.S. Subsidiary. Intercompany accounts and transactions have been eliminated. The U.S. Subsidiary is subject to the same investment policies and restrictions that apply to the High Yield Bond Fund. The U.S. Subsidiary liquidated during the year and there was no material impact to the financial statements.

A more complete description of the objectives and strategies of each of the Funds can be found in the Prospectuses and the Statement of Additional Information, which can be obtained at www.tcw.com or by calling (800) 241-4671.

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

The Net Asset Value (“NAV”) of each class of a Fund 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 of the 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” or the “Board of Trustees”). 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 approved by the Board of Trustees 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 year ended March 31, 2019, 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:

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 March 31, 2019, 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 as of March 31, 2019 is as follows:



ALPHATRAK 500 FUND	LEVEL 1	LEVEL 2	LEVEL 3	TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper	$ —	$ 99,949	$ —	$ 99,949

Money Market Funds	5,000	—	—	5,000

U.S. Treasury Bills	6,077,848	—	—	6,077,848

Long-Term Investments:

Asset-Backed Securities	—	1,827,246	—	1,827,246

Bank Loans	—	—	6,804	6,804

Corporates	—	6,420,814	—	6,420,814

Mortgage-Backed	—	5,238,831	130,732	5,369,563

Mutual Funds	968,906	—	—	968,906

U.S. Treasury Securities	291,999	—	—	291,999

Other Financial Instruments *

Assets:

Equity contracts	428,715	—	—	428,715

Total	$7,772,468	$13,586,840	$137,536	$21,496,844


CORPORATE BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


Investments in Securities

Assets

Short-Term Investments:

U.S. Treasury Bills		$	14,921		$	—		$	—		$	14,921

Long-Term Investments:

Corporates			—			1,783,823			—			1,783,823

Mortgage-Backed			—			275,461			49,677			325,138

Municipal Bonds			—			17,074			—			17,074

Other Financial Instruments *

Assets:

Interest rate contracts			1,063			—			—			1,063


Total		$	15,984		$	2,076,358		$	49,677		$	2,142,019


*Other financial instruments include futures. Interest rate contracts include futures.

FLEXIBLE INCOME FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


Investments in Securities

Assets

Short-Term Investments:

Money Market Funds		$	400,000		$	—		$	—		$	400,000

U.S. Treasury Bills			1,027,771			—			—			1,027,771

Long-Term Investments:

Asset-Backed Securities			—			163,383			—			163,383

Corporates			—			811,230			—			811,230

Mortgage-Backed			—			2,748,133			182,387			2,930,520


Total		$	1,427,771		$	3,722,746		$	182,387		$	5,332,904


FLOATING RATE INCOME FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


Investments in Securities

Assets

Short-Term Investments:

Money Market Funds		$	8,592,000		$	—		$	—		$	8,592,000

U.S. Treasury Bills			19,974,071			—			—			19,974,071

Long-Term Investments:

Bank Loans			—			236,113,134			2,478,928			238,592,062

Corporates			—			16,493,938			—			16,493,938

Municipal Bonds			—			419,128			—			419,128


Total		$	28,566,071		$	253,026,200		$	2,478,928		$	284,071,199


HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities

Assets

Short-Term Investments:

Money Market Funds		$11,952,000		$ —		$ —		$ 11,952,000

U.S. Agency Discount Notes		—		8,984,938		—		8,984,938

U.S. Treasury Bills		41,135,472		—		—		41,135,472

Long-Term Investments:

Bank Loans		—		89,696,037		—		89,696,037

Common Stock		—		—		4,378,741		4,378,741

Corporates		—		329,642,330		376,362		330,018,692

Warrant		—		—		55,696		55,696

Other Financial Instruments *

Assets:

Interest rate contracts		1,182,324		—		—		1,182,324

Liabilities:

Interest rate contracts		(746,994)		—		—		(746,994)

Total		$ 53,522,802		$ 428,323,305		$ 4,810,799		$ 486,656,906

*Other financial instruments include futures. Interest rate contracts include futures.


INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper	$	—	$	1,354,315		$ —	$	1,354,315

Money Market Funds		79,726,018		—		—		79,726,018

U.S. Agency Discount Notes		—		2,994,979		—		2,994,979

U.S. Treasury Bills		28,776,207		—		—		28,776,207

Long-Term Investments:

Asset-Backed Securities		—		44,462,813		—		44,462,813

Bank Loans		—		5,661,844		290,291		5,952,135

Common Stock		—		—		68,119		68,119

Corporates		—		224,292,187		—		224,292,187

Mortgage-Backed		—		124,407,880		—		124,407,880

Municipal Bonds		—		13,155,568		—		13,155,568

U.S. Agency Securities		—		219,927		—		219,927

U.S. Treasury Securities		315,300,990		1,895,757		—		317,196,747

Other Financial Instruments *

Assets:

Interest rate contracts		861,831		603,191		—		1,465,022
Liabilities:

Interest rate contracts		(133,298)		(600,905)		—		(734,203)


Total	$	424,531,748	$	418,447,556	$	358,410	$	843,337,714

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.


INVESTMENT GRADE CREDIT FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities

Assets

Short-Term Investments:

U.S. Treasury Bills		$26,859		$ —		$ —		$ 26,859

Long-Term Investments:

Asset-Backed Securities		—		492,561		—		492,561

Corporates		—		2,910,628		—		2,910,628

Mortgage-Backed		—		1,820,494		109,178		1,929,672

Municipal Bonds		—		10,795		—		10,795

U.S. Treasury Securities		455,340		—		—		455,340

Other Financial Instruments *

Assets:

Interest rate contracts		18,440		4,785		—		23,225

Liabilities:

Interest rate contracts		(20,794)		(4,752)		—		(25,546)

Total		$479,845		$5,234,511		$109,178		$5,823,534

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.


LOW DURATION BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper		$	—		$	5,996,968		$	—		$	5,996,968

Money Market Funds			49,961,000			—			—			49,961,000

U.S. Treasury Bills			151,467,964			—			—			151,467,964

Long-Term Investments:

Asset-Backed Securities			—			167,348,681			—			167,348,681

Bank Loans			—			14,562,336			2,276,685			16,839,021

Common Stock			—			—			905,259			905,259

Corporates			—			744,139,102			—			744,139,102

Mortgage-Backed			—			665,419,065			2,104,368			667,523,433

Purchased Swaptions			—			3,615			—			3,615

U.S. Treasury Securities			524,035,914			—			—			524,035,914

Other Financial Instruments *

Assets:

Interest rate contracts			3,766,741			1,886,294			—			5,653,035

Liabilities:

Interest rate contracts			(463,484)			(1,880,391)			—			(2,343,875)


Total		$	728,768,135		$	1,597,475,670		$	5,286,312		$	2,331,530,117

*Other financial instruments include futures, swaps and written swaptions. Interest rate contracts include futures, swaps and written swaptions.

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.


TOTAL RETURN BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper		$	—		$	153,736,667		$	—		$	153,736,667

Money Market Funds			4,160,804,024			—			—			4,160,804,024

U.S. Agency Discount Notes			—			798,400,264			—			798,400,264

U.S. Treasury Bills			1,345,691,075			—			—			1,345,691,075

Long-Term Investments:

Asset-Backed Securities			—			3,848,988,773			8,584,058			3,857,572,831

Bank Loans			—			769,663,982			11,389,405			781,053,387

Common Stock			—			—			10,035,975			10,035,975

Corporates			—			18,755,569,176			20,247,152			18,775,816,328

Foreign Government Obligations			—			104,980,647			—			104,980,647

Mortgage-Backed			—			27,858,940,734			15,090,098			27,874,030,832

Municipal Bonds			—			522,263,178			—			522,263,178

U.S. Treasury Securities			18,368,389,036			563,126,809			—			18,931,515,845

Other Financial Instruments *

Assets:

Interest rate contracts			107,325,349			59,953,011			—			167,278,360

Liabilities:

Interest rate contracts			(21,679,397)			(59,761,960)			—			(81,441,357)


Total		$	23,960,530,087		$	53,375,861,281		$	65,346,688		$	77,401,738,056

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.


ULTRA SHORT BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper		$	—		$	224,886		$	—		$	224,886

Money Market Funds			1,657,000			—			—			1,657,000

U.S. Treasury Bills			23,386,399			—			—			23,386,399

Long-Term Investments:

Asset-Backed Securities			—			2,461,591			—			2,461,591

Corporates			—			22,049,984			—			22,049,984

Mortgage-Backed			—			32,249,255			33,152			32,282,407

U.S. Treasury Securities			22,565,625			—			—			22,565,625

Other Financial Instruments *

Assets:

Interest rate contracts			7,399			—			—			7,399


Total		$	47,616,423		$	56,985,716		$	33,152		$	104,635,291

*Other financial instruments include futures. Interest contracts include futures.


UNCONSTRAINED BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL

Investments in Securities

Assets

Short-Term Investments:

Money Market Funds		$	33,022,001		$	—		$	—		$	33,022,001

U.S. Treasury Bills			266,171,930			—			—			266,171,930

Long-Term Investments:

Asset-Backed Securities			—			438,061,506			—			438,061,506

Bank Loans			—			34,507,661			2,554,930			37,062,591

Common Stock			—			—			953,887			953,887

Corporates			—			905,102,905			2,729,771			907,832,676

Foreign Government Obligations			—			44,934,879			—			44,934,879

Mortgage-Backed			—			1,366,332,661			106,822			1,366,439,483

Municipal Bonds			—			19,907,403			—			19,907,403

U.S. Treasury Securities			50,176			—			—			50,176

Other Financial Instruments *

Assets:

Interest rate contracts			2,380,457			2,642,773			—			5,023,230
Liabilities:

Interest rate contracts			(6,427,258)			(2,632,688)			—			(9,059,946)


Total		$	295,197,306		$	2,808,857,100		$	6,345,410		$	3,110,399,816

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.

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 year ended March 31, 2019.

For the year ended March 31, 2019, 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:

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $3,936 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2018, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $25,152 transferred from level 3 to level 2 in the disclosure hierarchy.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $(8,622) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended March 31, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $15,394 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended March 31, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $62,546 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the year ended March 31, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $(4,387,646) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $(68,550) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2018, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $289,596 transferred from level 3 to level 2 in the disclosure hierarchy.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $548 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended March 31, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $(1,012,215) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2018, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $801,011 transferred from level 3 to level 2 in the disclosure hierarchy.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $(155,175) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2018, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $703,998 transferred from level 3 to level 2 in the disclosure hierarchy.

***As of March 31, 2019, GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $(13,407,379) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2018, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $8,842 transferred from level 3 to level 2 in the disclosure hierarchy.

*** As of March 31, 2019, GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $7,188 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the year ended March 31, 2019.

*** As of March 31, 2018 and March 31, 2019, MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2 had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2019 was $(1,834,907) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2018, the Fund used observable inputs in determining the value of certain investments. As of March 31, 2019, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $1,935,750 transferred from level 2 to level 3 in the disclosure hierarchy. As of March 31, 2018, the Fund used significant unobservable inputs in determining the value of certain other investments. As of March 31, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $29,695,456 transferred from level 3 to level 2 in the disclosure hierarchy.

*** As of March 31, 2018 and March 31, 2019, Master Adjustable Rate Mortgages Trust, Series 2007-2, Class A2 had a $0 market value. As of March 31, 2019, GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A had a $0 market value.

Significant unobservable valuations inputs for Level 3 investments as of March 31, 2019, are as follows:

* The valuation technique employed on the Level 3 securities involves the use of vendor prices, broker quotes and benchmark pricing. The Adviser monitors the third-party brokers and vendors using the valuation process.

The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of March 31, 2019:

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2019:

¹Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

The following is a summary of the Funds’ realized gain/(loss) and change in unrealized appreciation/(depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2019:

¹Amounts disclosed represent the volume of derivative contracts for the year ended March 31, 2019.

A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty to perform.

With exchange traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of a Fund, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Portfolio Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically $250,000 or $500,000, before a transfer is required, which is determined at the close of business of the Fund and additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Each Fund attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards update No. 2011-11, Disclosures about Offsetting Assets and Liabilities, that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. Under this guidance the Funds disclose in the Statements of Assets and Liabilities both gross and net information about instruments and transactions eligible for offset such as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, the Funds disclose collateral received and posted in connection with master netting agreements or similar arrangements.

The following table presents Low Duration Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2019:


				LOW DURATION BOND FUND

COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED¹				DERIVATIVE (ASSETS)/LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF DERIVATIVE ASSETS²
Goldman Sachs International Swaptions		$	3,615		$	(2,358	)		$	(1,257	)		$	—


Total Goldman Sachs International			3,615			(2,358	)			(1,257	)			—

Total		$	3,615		$	(2,358	)		$	(1,257	)		$	—

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.

The following table presents Low Duration Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2019:


				LOW DURATION BOND FUND

COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED³			DERIVATIVE (ASSETS)/LIABILITIES AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE LIABILITIES⁴
Goldman Sachs International Swaptions		$	1,257		$	—		$	1,257		$	—


Total Goldman Sachs International			1,257			—			1,257			—

Total		$	1,257		$	—		$	1,257		$	—

³Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

⁴Represents the net amount payable to the counterparty in the event of default.

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.

On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National Mortgage Association (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.

The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities, CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.

The Funds may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the year ended March 31, 2019, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in

accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If a Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.

The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund will not make total short sales exceeding 25% of the value of each respective Fund’s assets. The High Yield Bond Fund, Unconstrained Bond Fund, Floating Rate Income Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of each respective Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At March 31, 2019, the Funds did not hold any short debt or equity.

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Funds might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Funds. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.

For the year ended March 31, 2019, the Funds did not receive any in-kind payments with respect to PIK securities.

The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.

Master Repurchase Agreements (“MRAs”) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2019, the Funds did not hold any repurchase agreements.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings.

Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under MRAs. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are not permitted to sell, re-pledge, or use the collateral associated with the transaction. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. There were no reverse repurchase agreements held on March 31, 2019.

Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment. Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.

The Funds engaged in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:

Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the Adviser’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, and the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.

Options - The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. The Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. When the Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of March 31, 2019, the Low Duration Bond Fund held written swaptions.

Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Funds to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).

Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.

The Funds entered into credit default swap agreements to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If a Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.

The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation. The collateral posted, net of assets received as collateral, for swap contracts is also disclosed in the Notes to Schedules of Portfolio Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of March 31, 2019, for which a portfolio is the seller of protection are also disclosed. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.

The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).

The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At March 31, 2019, the Low Duration Bond Fund held swaptions.

In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At March 31, 2019, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.

Foreign Investing Risk: The Funds may be exposed to the risk that the Funds’ share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.

Market Risk: Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.

Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.

Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.

Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increases the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.

Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.

Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage-and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.

Mortgage-backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.

The mortgage industry lacks a single bright-line as to what separates a subprime loan from an Alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:

Sub Prime - Any asset-backed bond whose collateral was residential mortgages were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.

Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as an Alt-A pool by Bloomberg were considered to be Alt-A bonds.

Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ Statements of Assets and Liabilities.

Investment transactions for the year ended March 31, 2019, excluding U.S. government and short-term investments, were as follows:

Investment transactions in U.S. government securities for the year ended March 31, 2019 were as follows:

Purchases include the Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund and Unconstrained Bond Fund’s purchase of certain securities from affiliated investment accounts for a total of $1,233,924, $1,662,744, $19,937,135 and $26,028,220, respectively. These trades are in accordance with the provisions set forth in Section 17(a)-7 of the 1940 Act.

During the year ended March 31, 2019, the Intermediate Bond Fund permitted an in-kind purchase of its shares, accepting payment for such shares in the form of securities that are permissible investments of the Fund. The purchase in-kind occurred on March 27, 2019 and totaled $21,104,488.

During the year ended March 31, 2019, the Total Return Bond Fund permitted an in-kind purchase of its shares, accepting payment for such shares in the form of securities that are permissible investments of the Fund and cash. The purchase in-kind occurred on June 27, 2018 and totaled $161,197,777, of which $7,400,000 was in cash.

Investment transactions in the shares of affiliated issuers for the year ended March 31, 2019 were as follows:

As compensation for advisory services, the Adviser charges the Corporate Bond Fund, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Total Return Bond Fund, the Ultra Short Bond Fund and the Unconstrained Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.40%, 0.45%, 0.55%, 0.50%, 0.35%, 0.35%, 0.30%, 0.35%, 0.25% and 0.65%, respectively, of each Fund’s average daily net assets. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant 12-month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the ICE BofAML 3-Month U.S. Treasury Bill Index over the same period. Under this agreement, the basic fee was decreased by 0.21% resulting in $900,905 of total management fees for the year ended March 31, 2019. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three-month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index, plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee decreased by 0.07% resulting in $51,517 total management fees for the year ended March 31, 2019.

The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses, (excluding interest, taxes, brokerage commissions, short sales dividend expense, acquired fund fees and expenses, and any expenses incurred in connection with any merger or reorganization or extraordinary expenses such as litigation) as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap at both the time of the waiver and the recoupment. The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses of the Fund are at or above the expense cap. However, if the total operating expenses of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year.

Investment advisory fees and related contractual expense limitations for the year ended March 31, 2019, were as follows:


	INVESTMENT ADVISORY FEE RATE				CONTRACTUAL EXPENSE LIMITATION¹
PORTFOLIO	CLASS M	CLASS I	ADMINISTRATIVE CLASS	PLAN CLASS	CLASS M	CLASS I	ADMINISTRATIVE CLASS	PLAN CLASS
AlphaTrak 500 Fund	0.00%-0.70%	N/A	N/A	N/A	0.90%	N/A	N/A	N/A
Corporate Bond Fund	0.40%	0.40%	N/A	N/A	0.75%	0.50%	N/A	N/A
Flexible Income Fund	0.45%	0.45%	N/A	N/A	0.80%	0.55%	N/A	N/A
Floating Rate Income Fund	0.55%	0.55%	N/A	N/A	0.90%	0.70%	N/A	N/A
High Yield Bond Fund	0.50%	0.50%	N/A	N/A	0.85%	0.60%	N/A	N/A
Intermediate Bond Fund	0.35%	0.35%	N/A	N/A	0.70%	0.49%	N/A	N/A
Investment Grade Credit Fund	0.35%	0.35%	N/A	N/A	0.70%	0.49%	N/A	N/A
Low Duration Bond Fund	0.30%	0.30%	0.30%	N/A	0.63%	0.44%	0.83%	N/A
Strategic Income Fund	0.50%-1.90%	0.50%-1.90%	N/A	N/A	2.35%	2.10%	N/A	N/A
Total Return Bond Fund	0.35%	0.35%	0.35%	0.35%	0.70%	0.49%	0.90%	0.39%
Ultra Short Bond Fund	0.25%	0.25%	N/A	N/A	0.50%	0.34%	N/A	N/A
Unconstrained Bond Fund	0.65%	0.65%	N/A	N/A	1.04%	0.80%	N/A	N/A

¹ The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2019, unless approved by the Board.

At March 31, 2019, the balance of recoupable expenses with expiration dates for the Funds were as follows:


PORTFOLIO	2019			2020			2021			2022			TOTAL


AlphaTrak 500 Fund		$	120,243		$	131,176		$	—		$	88,122		$	339,541
Corporate Bond Fund			—			—			—			138,411			138,411
Flexible Income Fund			—			—			—			84,349			84,349
Floating Rate Income Fund			60,249			101,217			69,036			47,495			277,997
High Yield Bond Fund			173,972			239,308			252,493			201,390			867,163
Investment Grade Credit Fund			—			—			—			142,645			142,645
Ultra Short Bond Fund			256,571			227,293			233,733			247,985			965,582


Total		$	611,035		$	698,994		$	555,262		$	950,397		$	2,815,688

During the year ended March 31, 2019, the Adviser recouped $117,930 and $194,740 from the Strategic Income Fund and the Unconstrained Bond Fund, respectively.

Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $120,000 and $10,000 for each meeting of the Board attended in person and $2,500 for each meeting attended telephonically. The chairman of the Board receives an annual retainer of $51,000. The respective chairman of the Audit Committee and the Nominating and Governance Committee each receive additional annual retainer of $34,000 and $17,000, respectively. The Trust has an unfunded, nonqualified deferred compensation plan (the “Deferred Compensation Plan”) for certain eligible Trustees. The Deferred Compensation Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of 10 annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Deferred Compensation Plan are recorded in Trustees’ fees and expenses in the Statements of Operations.

7.	SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING PLAN

The Trust has a Share Marketing Plan (or the “12b-1 Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Corporate Bond Fund, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Strategic Income Fund, the Total Return Bond Fund, the Ultra Short Bond Fund, the Unconstrained Bond Fund, and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. Under the 12b-1 Plan, the Trust pays TCW Funds Distributors, Inc., as the Trust’s distribution coordinator,

an annual fee up to 0.25% of the particular Fund’s average daily net assets attributable to Class M shares and Administrative Class shares to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the year ended March 31, 2019. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2019, to pay the distribution expenses of the AlphaTrak 500 Fund out of its own resources.

The Board of Trustees has adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Shareholder Servicing Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.

The Floating Rate Income Fund had the following unfunded commitments and unrealized gain/(loss) by investment as of March 31, 2019:

In the normal course of business, the Trust enters into contracts which provide a variety of representations and warranties, and that provide general indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to the Trust under these arrangements is unknown as it would involve future claims that may be made against the Trust; however, based on the Trust’s experience, the risk of loss is remote and no such claims are expected to occur. As such, the Trust has not accrued any liability in connection with such indemnifications.

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:


	FLOATING RATE INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	YEAR ENDED			YEAR ENDED			YEAR ENDED			YEAR ENDED
	MARCH 31,			MARCH 31,			MARCH 31,			MARCH 31,
	2019			2018			2019			2018

Change in Fund shares:
Shares outstanding at beginning of year		1,570,979			2,491,449			23,648,073			20,507,647

Shares sold		1,172,386			1,285,551			10,035,268			4,790,545
Shares issued through reinvestment of distributions		69,340			68,549			1,119,702			817,832
Shares redeemed		(1,678,787	)		(2,274,570	)		(8,294,715	)		(2,467,951	)

Net increase/(decrease) in fund shares		(437,061	)		(920,470	)		2,860,255			3,140,426

Shares outstanding at end of year		1,133,918			1,570,979			26,508,328			23,648,073

From time to time, a Fund may become a party to certain legal proceedings incidental to the normal course of its business. The Metropolitan West High Yield Bond Fund (“Fund”) was served in May of 2015 with a complaint naming it as a defendant along with others in a lawsuit brought by a trust (the “Avoidance Trust”), created pursuant to the General Motors Corporation (“GM”) Chapter 11 reorganization in 2009. The action involves a secured term loan to GM (“Term Loan”) that was paid off after GM’s bankruptcy filing, and seeks recovery of the amount paid to each Term Loan lender because of a purportedly unperfected lien on the date of bankruptcy. The Avoidance Trust seeks to recover (i) cash paid to Term Loan lenders both immediately before and after the GM bankruptcy filing, and (ii) unspecified interest on the amounts recovered. The approximate amount the Fund received on account of the Term Loan after the GM’s bankruptcy filing is $3.5 million. The Fund has engaged counsel and the parties began mediation in December 2017, and, on February 1, 2019, disclosed that they had reached agreement in principle on a settlement that would resolve all claims and cross-claims in the litigation. On February 1, 2019, the Bankruptcy Court entered an order staying all deadlines in light of the potential settlement. The terms of the proposed settlement were not made public. On April 12, 2019, the parties alerted the Bankruptcy Court that a final settlement agreement was in the process of being signed.

At March 31, 2019, the following Funds had available for federal income tax purposes unused capital losses as follows:

*Under the Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment.

As of March 31, 2019, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:

Permanent differences incurred during the fiscal year ended March 31, 2019, resulting from differences in book and tax accounting have been reclassified at year-end as follows:

The permanent differences are due to investments in swaps, foreign currency, the U.S. subsidiary, expired capital loss carryforwards and redesignation of dividends paid.

As of March 31, 2019, gross unrealized appreciation/(depreciation) based on cost for federal income tax purposes were as follows:

The Funds have entered into a $350,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purpose with an expiration date of September 13, 2019. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.15%. There were no borrowings from the line of credit as of or during the year ended March 31, 2019. The Funds pay the Bank a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the Statements of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.

Under the Funds ‘organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

In August 2018, the Securities and Exchange Commission adopted the Disclosure Update and Simplification rule, which amends certain disclosure requirements. The amendment requires presentation of the total, rather than the components, of accumulated or undistributed earnings on the Statements of Assets and Liabilities; the amendment also provides the presentation of the distributions on the Statements of Changes in Net Assets at the total level rather than components and to remove the requirement for disclosure of undistributed net investment income on a book basis. This amendment facilitates compliance of the disclosure of information without significantly altering the information provided to investors.

In August 2018, the FASB released Accounting Standards Update (ASU) 2018-13, which changes the fair value measurement disclosure requirements of Topic 820. The amendments in this ASU are the result of a broader disclosure project called FASB Concept Statement, Conceptual Framework for Financial Reporting — Chapter 8 Notes to Financial Statements. The objective and primary focus of the project are to improve the effectiveness of disclosures in the notes to the financial statements by facilitating clear communication of the information required by GAAP that is most important to users of the financial statements. The ASU is effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of the ASU. Management is currently evaluating the impact of the ASU to the financial statements.

We have audited the accompanying statements of assets and liabilities of the Metropolitan West Funds (the “Funds”), comprising Metropolitan West AlphaTrak 500 Fund, Metropolitan West Corporate Bond Fund, Metropolitan West Flexible Income Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Unconstrained Bond Fund, including the schedules of portfolio investments, as of March 31, 2019, the related statements of operations (as to Metropolitan West High Yield Bond Fund, consolidated statement of operations) for the year then ended, the statements of changes in net assets (as to Metropolitan West High Yield Bond Fund, consolidated statements of changes in net assets) for each of the two years in the period then ended, and the financial highlights (as to Metropolitan West High Yield Bond Fund, consolidated financial highlights) for each of the five years in the period then ended for the Funds, except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund; the related statements of operations, changes in net assets, and financial highlights for the period from June 29, 2018 (commencement of operations) through March 31, 2019, for Metropolitan West Corporate Bond Fund; the related statements of operations, changes in net assets, and financial highlights for the period from June 29, 2018 (commencement of operations) through March 31, 2019, for Metropolitan West Investment Grade Credit Fund; the related statements of operations, changes in net assets, and financial highlights for the period from December 3, 2018 (commencement of operations) through March 31, 2019, for Metropolitan West Flexible Income Fund, and the related notes.

In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds, except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund as of March 31, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five year years in the period then ended in conformity with accounting principles generally accepted in the United States of America. Also, in our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund as of March 31, 2019; the results of operations, changes in net assets, and financial highlights for Metropolitan West Corporate Bond Fund for the period from June 29, 2018 (commencement of operations) through March 31, 2019; the results of operations, changes in net assets, and financial highlights for Metropolitan West Investment Grade Credit Fund for the period from June 29, 2018 (commencement of operations) through March 31, 2019; and the results of operations, changes in net assets, and financial highlights for Metropolitan West Flexible Income Fund for the period from December 3, 2018 (commencement of operations) through March 31, 2019, in conformity with accounting principles generally accepted in the United States of America.

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2019, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.

The Adviser provides investment advisory services to each Fund under an Investment Management Agreement dated February 6, 2013, as amended (the “Agreement”), between the Trust, on behalf of each Fund, and the Adviser. The Agreement was approved for a two-year initial term by the shareholders of each Fund then existing at a special meeting of shareholders held on November 28, 2012, which was adjourned until December 20, 2012 with respect to certain Funds. The Agreement was most recently amended on June 29, 2018 for the purpose of adding the Corporate Bond Fund, the Flexible Income Fund and the Investment Grade Credit Fund. Following the Agreement’s initial two-year term with respect to each Fund, the Agreement continues in effect from year-to-year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of each of the Funds, or by the Board of Trustees of the Trust (the “Board”), and, in either event, by a majority of the Trustees who are not “interested persons” of the Trust, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended, (the “Independent Trustees”) casting votes in person at a meeting called for that purpose.

On September 24, 2018, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2019 through February 5, 2020 with respect to each Fund except for the Corporate Bond Fund, the Flexible Income Fund and the Investment Grade Credit Fund, for which the Agreement remains in the initial two-year term. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees met separately by telephone on August 28, 2018, and in person on September 24, 2018, with their independent legal counsel to review and discuss the information that had been requested on their behalf by their independent legal counsel and presented by the Adviser for their consideration. The information, material facts, and conclusions that formed the basis for the Independent Trustees’ recommendation and the Board’s subsequent approval are described below.

Materials reviewed - During the course of each year, the Trustees receive a wide variety of materials relating to the services provided by the Adviser, including reports on the Adviser’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed information furnished to the Independent Trustees in response to a detailed request sent to the Adviser on their behalf. The information in the Adviser’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Trustees also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to peer groups of mutual funds selected by Broadridge. After reviewing this information, the Trustees requested additional financial, profitability and service information from the Adviser, which the Adviser provided and the Trustees considered.

Review process - The Trustees’ determinations were made on the basis of each Trustee’s business judgment after consideration of all the information presented. The Independent Trustees were advised by their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Trustees also discussed the renewal of the Agreement with the Adviser’s representatives and in private sessions at which no representatives of the Adviser were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Trustees did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Trustee may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and Independent Trustees.

The Board and the Independent Trustees considered the depth and quality of the Adviser’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Adviser; and the ability of its organizational structure to address the growth in assets over the past several years. The Board and the Independent Trustees considered the ability of the Adviser to attract and retain well-qualified investment professionals, noting in particular the Adviser’s recent hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Trustees also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management,

Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)

compliance, trading, operations, administration, research, and portfolio accounting. They noted the substantial additional resources made available by The TCW Group, Inc. (“TCW”), the parent company of the Adviser. The Board and the Independent Trustees examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Adviser’s institutional and sub-advised clients, as well as the Adviser’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Adviser and the Independent Trustees. The Adviser explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Trustees and their meetings, regulatory filings, and various operational personnel, and the related costs.

The Board and the Independent Trustees concluded that the nature, extent, and quality of the services provided by the Adviser are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.

The Board and the Independent Trustees considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2018. The Board and the Independent Trustees reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with the Adviser. In reviewing each Fund’s relative performance, the Board and the Independent Trustees took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.

The Board and the Independent Trustees noted that each Fund’s performance was satisfactory over the relevant periods and in some cases very favorable, particularly over longer periods, which the Board and the Independent Trustees believe are generally the most relevant. The Board and the Independent Trustees indicated their belief that the performance of each Fund for periods where the Fund lagged its respective peer group average remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the amount of risk employed by peer funds to achieve their returns. The Board and the Independent Trustees recognized the Adviser’s deliberate strategy to manage risk in light of its critical view of the fixed-income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Trustees believed that relative performance also should be considered in light of future market conditions expected by the Adviser. The Board and the Independent Trustees noted the Adviser’s view that longer term performance can be more meaningful for active fixed income funds such as the Funds because market cycles in fixed income are generally longer than three years. The Board and the Independent Trustees also considered data showing that the Funds generally experienced less volatility for many periods compared to other funds in the applicable peer groups.

For the Metropolitan West Total Return Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the third (Class I)/fourth (Class M) quintile for the five-year period, the fourth quintile for the three-year period and the third quintile for the one-year period.

For the Metropolitan West Unconstrained Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the five-year period and the third quintile for the three- and one-year periods. The Board and the Independent Trustees noted the substantially lower volatility for this Fund compared to the funds in the peer group. They also considered the limitations of using the alternative credit focus funds peer group for this Fund because of the significant differences in the strategies used by those funds.

For the Metropolitan West Low Duration Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the second quintile for the five-year period, the third quintile for the three-year period and the second quintile for the one-year period.

For the Metropolitan West Intermediate Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the second quintile for the five-year period, the third quintile for the three-year period and the fourth quintile for the one-year period.

For the Metropolitan West High Yield Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the ten-year period, the fifth quintile for the five-year period, the third quintile for the three-year period and the second quintile for the one-year period.

For the Metropolitan West Floating Rate Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third quintile for the three-year period and the second quintile for the one-year period. The Board and the Independent Trustees noted the substantially lower volatility for this Fund compared to the funds in the peer group.

Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)

For the Metropolitan West Ultra Short Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the fourth quintile for the ten- and five-year periods, the third quintile for the three-year period and the second quintile for the one-year period. The Board and the Independent Trustees also considered that the peer group funds can have substantially longer dollar-weighted average maturities than would be permitted for this Fund, and those longer averages can result in higher performance under the prevailing market conditions over the applicable periods.

For the Metropolitan West Strategic Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period and the third quintile for the five-, three- and one-year periods. The Board and the Independent Trustees also considered the limitations of using the absolute return funds peer group for this Fund because of the significant differences in the strategies used by those funds.

For the Metropolitan West AlphaTrak 500 Fund, the Board and the Independent Trustees noted that the Fund was in the first quintile for the ten-, five- and three-year periods and the third quintile for the one-year period.

The Board and the Independent Trustees concluded that the Adviser was implementing each Fund’s investment objective(s) and that the Adviser’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.

The Board and the Independent Trustees compared the management fees (which Broadridge defines to include advisory fee and administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense levels of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Trustees by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Trustees observed that each Fund’s management fee was below or near the median of the peer group funds on a current basis, with the exception of the Strategic Income Fund and the Floating Rate Income Fund. The Board and the Independent Trustees considered the Adviser’s view that the Broadridge peer group did not provide a suitable comparison for either the Unconstrained Bond Fund or the Strategic Income Fund given the significant differences in the strategies used by the Fund as compared to those used by funds in the peer group. In particular, the Adviser’s view is that the Strategic Income Fund should instead be compared to private absolute return funds, which the Adviser views as that Fund’s closest relevant comparison and to which its fees and expenses compare very favorably. The Board and the Independent Trustees further noted that the AlphaTrak 500 Fund and the Strategic Income Fund each employ a fulcrum fee that adjusts upward from a basic fee only if the Fund has favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). The Board and the Independent Trustees noted that such a fee structure is designed so that the advisory fee payable to the Adviser by either Fund would be on the higher end of the fee range only if the Fund had favorable relative net performance. The Board and the Independent Trustees also noted the contractual expense limitations to which the Adviser has agreed with respect to each Fund and that the Adviser historically has absorbed any expenses in excess of these limits. They noted that although the Adviser may potentially recoup, and has recouped in the past, certain fees and/or expenses previously waived or reimbursed for certain Funds, such recoupment is permitted only if it occurs within three years and does not cause the applicable Fund’s annual expense ratio to exceed the lesser of (i) the expense limitation applicable at the time of that fee waiver and/or expense reimbursement or (ii) the expense limitation in effect at the time of recoupment. The Board and the Independent Trustees concluded that the competitive fees charged by the Adviser, and competitive expense ratios, should continue to benefit each Fund and its shareholders.

The Board and the Independent Trustees also reviewed information regarding the advisory fees charged by the Adviser to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Trustees concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Adviser to the Funds and the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.

The Board and the Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Adviser’s largest operating cost. The Board and the Independent Trustees recognized that the

Approval of Investment Management Agreement by Trustees (Unaudited) (Concluded)

Adviser should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Trustees also reviewed a comparison of the Adviser’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Adviser believed supported its view that the Adviser’s profitability was reasonable. Based on their review, the Board and the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.

The Board and the Independent Trustees considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Adviser’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. For example, the largest Fund, the Total Return Bond Fund, is one of the largest mutual funds in its peer group, but its contractual advisory fee and total expenses remain at or below the peer group median. The Board and the Independent Trustees recognized the benefits of the Adviser’s substantial past and on-going investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal and compliance programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Trustees also noted the Adviser’s explanation of the increased resources required to manage the Funds as a result of both asset growth and increased competitive pressures. The Board and the Independent Trustees further noted the Adviser’s past subsidies of the Funds’ operating expenses when they were newer and smaller and the Adviser’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Trustees also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Trustees concluded that the Adviser was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.

The Board and the Independent Trustees also considered other actual and potential financial benefits to the Adviser or its affiliates. In particular, they noted that the Adviser does not have any affiliates that materially benefit from the Adviser’s relationship to the Funds except through TCW’s ownership of the Adviser.

Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.

For shareholders that do not have a March 31, 2019 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2019 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2019, each portfolio is reporting the following items with regard to distributions paid during the year. All information is based on financial information available as of the date of this annual report and, accordingly is subject to change. For each item, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.

We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.

We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the U.S. Securities and Exchange Commission.

We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC and TCW Direct Lending VII LLC (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.

In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.

We may collect the following types of nonpublic personal and financial information about you from the following sources:

We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.

We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.

We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.

We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.

Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.

Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC and TCW Direct Lending VII LLC.

Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com

The business and affairs of the Trust and each Fund is under the direction of the Board of Trustees. Information pertaining to the Trustees and officers of the Trust is provided in the table below. The term “officer” means president, vice president, secretary, treasurer, controller, or any other officer who performs policy making functions. All officers serve without direct compensation from the Funds. You can find more information about the Trustees in the Statement of Additional Information which is available without charge by calling (800) 241-4671.

Board of Trustees

Andrew Tarica

Laird R. Landmann

Peter McMillan

Martin Luther King, III

Ronald J. Consiglio

Robert G. Rooney

Patrick C. Haden

Patrick Moore

Officers

David Lippman

President and Principal Executive Officer

David S. DeVito

Treasurer, Chief Financial Officer and Principal Accounting

Officer

Jeffrey Engelsman

Chief Compliance Officer

Adviser

Metropolitan West Asset Management, LLC

865 South Figueroa Street, Floor 1800

Los Angeles, CA 90017

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Transfer Agent

BNY Mellon Investment Servicing (U.S.) Inc.

760 Moore Road

King of Prussia, PA 19406

Independent Registered Public

Accounting Firm

Deloitte & Touche LLP

555 West 5th Street, Suite 2700

Los Angeles, CA 90013

Distributor

Foreside Funds Distributors LLC

899 Cassatt Road, 400

Berwyn Park Berwyn, PA 19312

Legal Counsel

Paul Hastings LLP

101 California Street, 48th Floor

San Francisco, CA 94111

For Additional Information about the MetWest Funds call: (213) 244-0000 or (800) 241-4671 (toll-free) www.TCW.com

A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at www.sec.gov

To reduce expenses, we may mail only one copy of the Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at (800) 241-4671 (or contact your financial institution). We will begin sending you individual copies thirty days after receiving your request.

This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.

As of the end of the period covered by the report, the registrant’s board of directors has determined that Ronald Consiglio and Robert Rooney are qualified to serve as audit committee financial experts serving on its audit committee and they are “independent,” as defined by Item 3 of Form N-CSR.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


Metropolitan West AlphaTrak 500 Fund		M-Class (MWATX)
Metropolitan West Corporate Bond Fund		M-Class (MWCSX), I Class (MWCBX)
Metropolitan West Flexible Income Fund		M-Class (MWFSX ), I Class (MWFEX)
Metropolitan West Floating Rate Income Fund		M-Class (MWFRX), I Class (MWFLX)
Metropolitan West High Yield Bond Fund		M-Class (MWHYX), I-Class (MWHIX)
Metropolitan West Intermediate Bond Fund		M-Class (MWIMX), I-Class (MWIIX)
Metropolitan West Investment Grade Credit Fund		M-Class (MWISX), I Class (MWIGX)
Metropolitan West Low Duration Bond Fund		M-Class (MWLDX), I-Class (MWLIX),
		Administrative-Class (MWLNX)
Metropolitan West Strategic Income Fund		M-Class (MWSTX), I Class (MWSIX)
Metropolitan West Total Return Bond Fund		M-Class (MWTRX), I-Class (MWTIX),
		Administrative-Class (MWTNX),
		Plan-Class (MWTSX)
Metropolitan West Ultra Short Bond Fund		M-Class (MWUSX), I-Class (MWUIX)
Metropolitan West Unconstrained Bond Fund		M-Class (MWCRX), I Class (MWCIX)


	Performance Through March 31, 2019

	6 Months (Cumulative)			1 Year (Annualized)			3 Year (Annualized)			5 Year (Annualized)			10 Year (Annualized)			Since Inception (Annualized)
MWATX (Inception: June 29, 1998)		-0.87	%		9.93	%		16.06	%		12.04	%		21.07	%		6.81	%
Standard & Poor’s 500 Index		-1.72	%		9.50	%		13.51	%		10.90	%		15.91	%		6.49	%


	Beginning Account Value 10/01/18			Ending Account Value 03/31/19			Expense Ratio¹			Expenses Paid During Period²

ALPHATRAK 500 FUND

Actual Fund Return		$	1,000.00		$	991.30		0.90	%		$	4.47

Hypothetical 5% Return		$	1,000.00		$	1,020.44		0.90	%		$	4.53
CORPORATE BOND FUND

Actual Fund Return
Class M		$	1,000.00		$	1,059.50		0.75	%		$	3.85
Class I		$	1,000.00		$	1,060.80		0.50	%		$	2.57
Hypothetical 5% Return
Class M		$	1,000.00		$	1,021.19		0.75	%		$	3.78
Class I		$	1,000.00		$	1,022.44		0.50	%		$	2.52


	Beginning Account Value 12/03/18*			Ending Account Value 03/31/19			Expense Ratio¹			Expenses Paid During Period²

FLEXIBLE INCOME FUND

Actual Fund Return
Class M		$	1,000.00		$	1,102.50		0.80	%		$	2.74
Class I		$	1,000.00		$	1,102.40		0.55	%		$	1.88
Hypothetical 5% Return
Class M		$	1,000.00		$	1,013.69		0.80	%		$	2.63
Class I		$	1,000.00		$	1,014.51		0.55	%		$	1.81


Issues	Value
Total Investments – 99.37%
(Cost $21,064,852)	$	21,068,129


Cash and Other Assets, Less Liabilities – 0.63%		134,177


Net Assets – 100.00%	$	21,202,306


Metropolitan West Funds
Table of Contents			March 31, 2019


Letter to Shareholders			1

Fund Performance			11

Disclosure of Fund Expenses (Unaudited)			18

Summary of Portfolio Holdings			22

Schedule of Portfolio Investments			25

AlphaTrak 500 Fund			25

Corporate Bond Fund			35

Flexible Income Fund			41

Floating Rate Income Fund			48

High Yield Bond Fund			59

Intermediate Bond Fund			66

Investment Grade Credit Fund			84

Low Duration Bond Fund			91

Strategic Income Fund			107

Total Return Bond Fund			120

Ultra Short Bond Fund			172

Unconstrained Bond Fund			182

Statements of Assets and Liabilities			209

Statements of Operations			213

Statements of Changes in Net Assets			217

Financial Highlights			223

Notes to Financials			249

Report of Independent Registered Public Accounting Firm			296

Approval of Investment Management Agreement by Trustees			298

Tax Information Notice			303

Privacy Notice			304

Management Information			306


	Performance Through March 31, 2019

	6 Months (Cumulative)			1 Year (Annualized)			3 Year (Annualized)			5 Year (Annualized)			10 Year (Annualized)			Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)		3.61	%		5.57	%		5.94	%		2.86	%		8.97	%		8.08	%
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap		2.39	%		5.93	%		8.56	%		4.68	%		11.20	%		8.85	%
MWHIX (Inception: March 31, 2003)		3.63	%		5.72	%		6.17	%		3.10	%		9.23	%		7.43	%
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap		2.39	%		5.93	%		8.56	%		4.68	%		11.20	%		8.22	%


Description	Number of Contracts		Expiration Date		Notional Amount			Value			Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
S&P 500 Emini Index		141		06/21/19		$	20,007,900		$	428,715		$	428,715


					Received by the Fund				Paid by the Fund
Descriptions	Put/Call		Maturity Date		Rate		Frequency		Rate		Frequency		Notional Amount (000’s)			Value				Premiums Paid			Unrealized Appreciation/ (Depreciation)
SWAPS: INTEREST RATE
Interest Rate										3-month
Swap¹		Call		11/21/21		3.07%		Semi-annually		USD LIBOR		Quarterly		$	305		$	4,785			$	—		$	4,785
Interest Rate						3 month
Swap¹		Call		11/21/24		USD LIBOR		Quarterly		3.08%		Semi-annually			125			(4,752	)			—			(4,752	)


TOTAL SWAPS CONTRACTS														$	430		$	33			$	—		$	33


	ALPHATRAK			CORPORATE BOND
ASSETS:	500 FUND			FUND
Investments, at value - Unaffiliated (Cost $21,064,852, $2,088,294, $5,174,427, $286,657,994, $486,638,689, and $836,550,136, respectively) (Note 2)		$	21,068,129		$	2,140,956
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $27,171,821, and $0, respectively) (Note 5)			—			—
Cash and cash equivalents (Note 2)			95,634			18,141
Cash on deposit with brokers for collateral on swaps (Note 2)			—			—
Unrealized appreciation on foreign currency transactions			—			—
Unrealized appreciation on swap contracts			—			—
Dividends and interest receivable			90,614			29,255
Due from Adviser (Note 6)			15,447			6,299
Receivable for securities sold			—			—
Receivable for capital stock sold			4,110			—
Receivable for daily variation margin on futures contracts (Note 3)			128,663			—
Other assets			16,001			325

Total assets			21,418,598			2,194,976

Liabilities:
Unrealized depreciation on swap contracts			—			—
Payable for securities purchased			109,342			4,975
Payable for terminated swaps (Note 3)			—			—
Payable for capital stock redeemed			22,912			—
Payable for daily variation margin on futures contracts (Note 3)			8,813			255
Line of credit commitment fee payable			—			4
Distributions payable			440			—
Administrative fees payable			24,996			17,175
Advisory fees payable (Note 6)			11,819			719
Audit fees payable			31,038			5,670
Transfer agent fees payable			2,379			3,017
Legal fees payable			11			1
Custodian fees payable			3,539			3,593
Accrued trustees fees and expenses			64			7
Accrued distribution (12b-1) and service fees payable			—			167
Net unrealized depreciation on unfunded commitments (Note 8)			—			—
Accrued other expenses			939			901

Total liabilities			216,292			36,484

Net assets		$	21,202,306		$	2,158,492

Class M Shares:
Net assets (Applicable to 1,976,652, 77,858, 102, 1,133,918, 19,395,315, and 3,409,753, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	21,202,306		$	803,102

Net asset value, offering and redemption price per Class M share		$	10.73		$	10.31

Class I Shares:
Net assets (Applicable to 0, 131,400, 503,964, 26,508,328, 30,373,750, and 68,386,996, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A		$	1,355,390

Net asset value, offering and redemption price per Class I share			N/A		$	10.31

Net Assets Consist of:
Paid-in Capital (Note 9)		$	21,216,413		$	2,092,911
Accumulated Earnings (Loss)			(14,107)			65,581

Net assets		$	21,202,306		$	2,158,492


FLEXIBLE INCOME FUND				FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND


	$	5,332,904			$	284,071,199			$	481,946,858			$	842,606,895

		—				—				4,274,718				—
		17,891				296,950				234,791				539,819
		—				—				—				119,941
		—				—				—				71
		—				—				—				603,191
		68,587				611,909				4,523,122				4,058,077
		13,422				1,963				4,271				—
		607,526				1,274,509				13,714,051				16,883,780
		—				100				2,069,388				764,253
		—				—				69,750				—
		754				13,584				21,857				23,846

		6,041,084				286,270,214				506,858,806				865,599,873


		—				—				—				600,905
		576,249				10,352,209				16,302,048				119,721,441
		—				—				—				—
		—				2,046,660				9,169,607				609,100
		—				—				294,971				219,239
		6				473				843				1,231
		—				17,651				124,756				32,604
		13,727				36,383				26,775				44,230
		1,252				126,936				206,381				214,578
		5,670				9,063				34,339				39,082
		3,030				23,550				42,803				84,909
		2				140				250				365
		4,183				5,158				6,339				13,015
		10				954				1,801				2,486
		—				2,392				40,978				6,333
		—				7,072				—				—
		900				5,575				26,798				22,618

		605,029				12,634,216				26,278,689				121,612,136

	$	5,436,055			$	273,635,998			$	480,580,117			$	743,987,737



	$	1,102			$	11,228,848			$	187,338,764			$	35,343,208

	$	10.79	¹		$	9.90			$	9.66			$	10.37



	$	5,434,953			$	262,407,150			$	293,241,353			$	708,644,529

	$	10.78			$	9.90			$	9.65			$	10.36


	$	5,194,147			$	278,422,985			$	581,029,969			$	761,525,498
		241,908				(4,786,987	)			(100,449,852	)			(17,537,761	)

	$	5,436,055			$	273,635,998			$	480,580,117			$	743,987,737


	INVESTMENT GRADE			LOW DURATION
ASSETS:	CREDIT FUND			BOND FUND

Investments, at value - Unaffiliated (Cost $5,759,232, $2,322,917,163, $86,583,576, $76,485,109,890, $104,558,341, and $3,121,945,105, respectively) (Note 2)		$	5,825,855		$	2,328,220,957
Investments, at value - Affiliated (Cost $0, $0, $0, $65,187,440, $0, and $0, respectively) (Note 5)			—			—
Cash and cash equivalents (Note 2)			18,278			306,339
Cash on deposit with brokers for collateral on swaps (Note 2)			936			375,065
Unrealized appreciation on foreign currency transactions			—			246
Unrealized appreciation on swap contracts			4,785			1,886,294
Dividends and interest receivable			72,337			10,129,313
Due from Adviser (Note 6)			9,782			—
Receivable for securities sold			—			22,329,537
Receivable for capital stock sold			—			1,378,070
Receivable for daily variation margin on futures contracts (Note 3)			1,781			—
Other receivables			—			—
Other assets			325			47,647

Total assets			5,934,079			2,364,673,468

Liabilities:
Unrealized depreciation on swap contracts			4,752			1,879,134
Options written, at value (Premiums received $0, $540,000, $0, $0, $0, and $0, respectively) (Note 3)			—			1,257
Payable for securities purchased			9,949			197,284,812
Payable for capital stock redeemed			—			4,106,406
Payable for daily variation margin on futures contracts (Note 3)			4,140			978,943
Line of credit commitment fee payable			10			3,693
Distributions payable			—			166,399
Administrative fees payable			20,120			64,881
Advisory fees payable (Note 6)			1,724			551,324
Audit fees payable			5,670			40,127
Transfer agent fees payable			3,027			267,757
Legal fees payable			3			1,095
Custodian fees payable			4,202			18,805
Accrued trustees fees and expenses			20			7,650
Accrued distribution (12b-1) and service fees payable			167			95,181
Accrued other expenses			904			78,076

Total liabilities			54,688			205,545,540

Net assets		$	5,879,391		$	2,159,127,928

Class M Shares:
Net assets (Applicable to 77,458, 66,879,265, 2,269,164, 898,185,006, 8,068,983, and 38,551,315, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	798,745		$	580,433,550

Net asset value, offering and redemption price per Class M share		$	10.31		$	8.68

Class I Shares:
Net assets (Applicable to 492,691, 181,809,771, 8,532,803, 3,846,257,449, 15,940,806, and 224,878,988, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	5,080,646		$	1,578,279,200

Net asset value, offering and redemption price per Class I share		$	10.31		$	8.68

Administrative Class:
Net assets (Applicable to 0, 37,023, 0, 94,995,241, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A		$	415,178

Net asset value, offering and redemption price per Administrative Class share			N/A		$	11.21

Plan Class:
Net assets (Applicable to 0, 0, 0, 2,058,158,463, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A			N/A

Net asset value, offering and redemption price per Plan Class share			N/A			N/A

Net Assets Consist of:
Paid-in Capital (Note 9)		$	5,769,172		$	2,231,238,716
Accumulated Earnings (Loss)			110,219			(72,110,788)

Net assets		$	5,879,391		$	2,159,127,928


STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND


	$	84,837,247			$	77,305,865,078			$	104,627,892			$	3,114,436,532

		—				10,035,975				—				—
		44,445				12,262,546				20,219				116,533
		14,910				11,960,536				—				525,424
		—				7,373				—				—
		74,761				59,953,011				—				2,642,773
		630,849				341,944,126				387,471				18,159,993
		—				—				19,217				—
		35,251				1,664,558,389				485,684				7,918,836
		7,998				166,321,761				43,923				7,935,825
		35,242				750,000				—				542,824
		—				—				—				—
		17,298				409,183				13,977				69,762

		85,698,001				79,574,067,978				105,598,383				3,152,348,502


		74,519				59,761,960				—				2,632,688

		—				—				—				—
		50,000				6,997,889,410				2,943,915				27,393,720
		166,837				335,727,589				143,709				10,909,696
		375				22,288,535				1,969				568,765
		146				121,739				177				5,322
		1,070				14,319,365				2,956				1,842,668
		39,895				799,776				27,443				98,638
		83,484				21,138,827				21,767				1,771,873
		35,741				151,403				34,088				9,775
		11,510				5,592,234				12,240				268,784
		43				36,090				53				1,578
		8,033				344,297				4,364				28,029
		294				244,108				363				10,725
		3,850				2,027,277				4,745				97,057
		4,323				2,655,840				4,117				110,530

		480,120				7,463,098,450				3,201,906				45,749,848

	$	85,217,881			$	72,110,969,528			$	102,396,477			$	3,106,598,654




	$	17,908,203			$	9,560,055,820			$	34,376,337			$	454,967,720

	$	7.89			$	10.64			$	4.26			$	11.80




	$	67,309,678			$	40,927,699,586			$	68,020,140			$	2,651,630,934

	$	7.89			$	10.64			$	4.27			$	11.79


		N/A			$	1,011,637,206				N/A				N/A

		N/A			$	10.65				N/A				N/A


		N/A			$	20,611,576,916				N/A				N/A

		N/A			$	10.01				N/A				N/A


	$	86,927,371			$	72,953,755,526			$	107,732,618			$	3,126,923,531
		(1,709,490	)			(842,785,998	)			(5,336,141	)			(20,324,877	)

	$	85,217,881			$	72,110,969,528			$	102,396,477			$	3,106,598,654


FLEXIBLE INCOME FUND²				FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND³				INTERMEDIATE BOND FUND

	$	75,958			$	13,810,641			$	26,448,843			$	22,999,419
		2,658				136,625				384,914				426,885

		78,616				13,947,266				26,833,757				23,426,304



		4,586				1,477,851				2,587,690				2,554,498
		23,454				149,116				127,372				151,746
		7				1,837				3,311				4,777
		8,212				28,377				33,979				61,544
		1				41,381				475,503				88,527
		—				2,711				6,482				8,859
		2,234				5,047				25,922				8,713
		29,089				42,584				52,835				53,674
		521				57,722				56,746				66,557
		9,774				10,920				54,070				37,401
		12,064				139,988				371,369				474,968
		14				3,967				7,666				10,800

		89,956				1,961,501				3,802,945				3,522,064
		(84,349	)			(47,495	)			(201,390	)			—

		5,607				1,914,006				3,601,555				3,522,064

		73,009				12,033,260				23,232,202				19,904,240





		83,569				(1,530,340	)			3,676,845				701,666
		—				—				1,004,882				537,733
		—				274,724				—				176,311
		—				(34,738	)			—				(7,033	)
		—				—				(338,761	)			37
		—				—				(4,274,718	)			—


		158,477				(2,860,620	)			5,610,324				7,888,043
		—				—				391,668				543,965
		—				—				—				192,824
		—				—				—				(534	)
		—				—				308,527				2,286


		242,046				(4,150,974	)			6,378,767				10,035,298

	$	315,055			$	7,882,286			$	29,610,969			$	29,939,538


	PERFORMANCE THROUGH MARCH 31, 2019

	6 MONTHS (CUMULATIVE)		1 YEAR (ANNUALIZED)		3 YEAR (ANNUALIZED)		5 YEAR (ANNUALIZED)		10 YEAR (ANNUALIZED)		SINCE INCEPTION¹
MWFSX (INCEPTION: NOVEMBER 30, 2018)		—		—		—		—		—		10.25	%
BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX		—		—		—		—		—		4.83	%
MWFEX (INCEPTION: NOVEMBER 30, 2018)		—		—		—		—		—		10.24	%
BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX		—		—		—		—		—		4.83	%


	PERFORMANCE THROUGH MARCH 31, 2019

	6 MONTHS (CUMULATIVE)			1 YEAR (ANNUALIZED)			3 YEAR (ANNUALIZED)			5 YEAR (ANNUALIZED)			10 YEAR (ANNUALIZED)		SINCE INCEPTION (ANNUALIZED)
MWFRX (INCEPTION: JUNE 28, 2013)		0.75	%		2.72	%		4.13	%		3.02	%		—		3.51	%
S&P/LSTA LEVERAGED LOAN INDEX		0.40	%		2.97	%		5.64	%		3.60	%		—		3.85	%
MWFLX (INCEPTION: JUNE 28, 2013)		0.85	%		3.03	%		4.34	%		3.22	%		—		3.72	%
S&P/LSTA LEVERAGED LOAN INDEX		0.40	%		2.97	%		5.64	%		3.60	%		—		3.85	%


	PERFORMANCE THROUGH MARCH 31, 2019

	6 MONTHS (CUMULATIVE)			1 YEAR (ANNUALIZED)			3 YEAR (ANNUALIZED)			5 YEAR (ANNUALIZED)			10 YEAR (ANNUALIZED)			SINCE INCEPTION (ANNUALIZED)
MWLDX (INCEPTION: MARCH 31, 1997)		2.56	%		2.93	%		1.55	%		1.22	%		4.41	%		3.61	%
ICE BOFAML 1-3 YEAR U.S. TREASURY INDEX		2.29	%		2.72	%		0.99	%		0.98	%		1.04	%		3.19	%
MWLIX (INCEPTION: MARCH 31, 2000)		2.54	%		3.03	%		1.76	%		1.44	%		4.62	%		3.27	%
ICE BOFAML 1-3 YEAR U.S. TREASURY INDEX		2.29	%		2.72	%		0.99	%		0.98	%		1.04	%		2.79	%
MWLNX (INCEPTION: SEPTEMBER 22, 2009)		2.38	%		2.68	%		1.44	%		1.09	%		—			3.19	%
ICE BOFAML 1-3 YEAR U.S. TREASURY INDEX		2.29	%		2.72	%		0.99	%		0.98	%		—			1.04	%


	INVESTMENT GRADE			LOW DURATION
	CREDIT FUND¹			BOND FUND
Investment Income:
Interest		$	272,786		$	67,509,304
Dividends			1,887			1,041,985

Total investment income			274,673			68,551,289


Expenses:
Investment advisory fees (Note 6)			12,327			7,024,015
Administration fees			59,436			263,033
Commitment fee			24			15,517
Custodian fees			21,357			100,621
Distribution (12b-1) and service fees - class specific (Note 7): Class M			1,424			1,393,825
Administrative Class			—			5,199
Interest expense (Note 3)			—			—
Insurance expense			—			27,656
Miscellaneous expenses			2,347			19,619
Professional fees			29,102			63,768
Registration and filing fees			950			98,832
Reports to shareholders			6,946			127,575
Transfer agent fees			27,133			1,861,360
Trustees’ fees and expenses			52			34,650
Repayment of reimbursed expenses - Class I (Note 6)			—			—

Total operating expenses			161,098			11,035,670
Expenses waived and reimbursed (Note 6)			(142,645)			—

Net expenses			18,453			11,035,670

Net investment income			256,220			57,515,619


Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions and Options and Swaptions Written:
Net realized gain/(loss) on:
Investments - Unaffiliated			60,259			(3,071,666)
Futures contracts			(1,384)			810,690
Foreign currency exchange contracts			—			1,840,320
Foreign currency transactions			—			(50,311)
Options and swaptions written			—			—
Swap contracts			(6)			115

Net change in unrealized appreciation/(depreciation) on:
Investments - Affiliated			—			—
Investments - Unaffiliated			66,623			5,976,618
Futures contracts			(2,354)			2,832,473
Foreign currency exchange contracts			—			—
Foreign currency transactions			—			(1,325)
Options and swaptions written			—			13,962
Swap contracts			33			7,160

Net realized and change in unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and options and swaptions written			123,171			8,358,036

Net Increase in Net Assets from Operations		$	379,391		$	65,873,655


STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND

	$	5,425,677			$	2,423,342,213			$	2,787,762			$	139,772,268
		26,877				24,681,940				58,666				1,140,870

		5,452,554				2,448,024,153				2,846,428				140,913,138



		900,905				255,406,402				274,021				20,325,854
		121,147				4,242,468				96,171				339,033
		605				495,013				726				21,246
		33,361				1,986,079				26,855				141,600

		54,742				21,431,884				63,764				1,314,441
		—				3,873,158				—				—
		—				228,795				—				60
		1,095				833,445				1,248				35,229
		4,217				475,941				4,343				24,310
		44,169				556,824				42,601				77,726
		46,377				786,636				51,965				138,083
		11,314				4,657,181				10,072				190,430
		127,108				39,187,253				111,034				1,936,468
		1,347				1,075,869				1,617				46,228
		117,930				—				—				194,740

		1,464,317				335,236,948				684,417				24,785,448
		—				—				(247,985	)			—

		1,464,317				335,236,948				436,432				24,785,448

		3,988,237				2,112,787,205				2,409,996				116,127,690





		(179,924	)			79,099,664				(236,494	)			(8,168,008	)
		(202,018	)			95,774,401				17,403				465,638
		96,350				2,837,382				305,114				458,759
		(168	)			(1,213,480	)			(2,040	)			—
		—				393,890				—				—
		5				4,362				—				161


		—				(10,035,976	)			—				—
		(753,967	)			855,211,319				138,562				2,609,894
		(175,155	)			65,079,365				2,130				(2,948,848	)
		62,621				21,112,610				—				(458,760	)
		—				(37,736	)			(53,541	)			—
		—				—				—				—
		242				191,051				—				10,085


		(1,152,014	)			1,108,416,852				171,134				(8,031,079	)

	$	2,836,223			$	3,221,204,057			$	2,581,130			$	108,096,611


	ALPHATRAK 500 FUND
	YEAR			YEAR
	ENDED			ENDED
	MARCH 31,			MARCH 31,
	2019			2018
Operations:
Net investment income		$	389,842		$	192,222
Net realized gain/(loss) on investments			69,956			140,374
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts			(251,932)			3,191,693
Net change in unrealized appreciation/(depreciation) on investments			88,466			(64,166)
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts			1,439,152			(903,955)

Net increase in net assets resulting from operations			1,735,484			2,556,168

Distributions to Shareholders:¹
Class M			(404,881)			(172,484)
Class I			—			—

Total Distributions			(404,881)			(172,484)


Capital Share Transactions:
Class M:
Proceeds from sale of shares			9,433,378			14,818,508
Shares issued in reinvestment of distributions			403,721			171,610
Cost of shares redeemed			(8,114,043)			(19,939,388)

Total Class M capital share transactions			1,723,056			(4,949,270)

Class I:
Proceeds from sale of shares			—			—
Shares issued in reinvestment of distributions			—			—
Cost of shares redeemed			—			—

Total Class I capital share transactions			—			—

Administrative Class:
Plan Class:
Net increase/(decrease) in net assets resulting from capital share transactions			1,723,056			(4,949,270)

Net increase/(decrease) in net assets			3,053,659			(2,565,586)
Net assets at beginning of period			18,148,647			20,714,233

Net assets at end of period		$	21,202,306		$	18,148,647


CORPORATE BOND FUND²				FLEXIBLE INCOME FUND³				FLOATING RATE INCOME FUND
PERIOD				PERIOD				YEAR				YEAR
ENDED				ENDED				ENDED				ENDED
MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,
2019				2019				2019				2018

	$	85,976			$	73,009			$	12,033,260			$	9,100,436
		15,462				83,569				(1,530,340	)			141,176

		3,329				—				239,986				(176,133	)
		52,662				158,477				(2,860,620	)			(328,106	)

		1,063				—				—				249,599

		158,492				315,055				7,882,286				8,986,972



		(33,698	)			(23	)			(700,543	)			(697,310	)
		(59,213	)			(73,124	)			(11,347,124	)			(8,403,151	)

		(92,911	)			(73,147	)			(12,047,667	)			(9,100,461	)




		745,000				1,000				11,739,229				12,941,144
		33,698				23				691,320				689,781
		—				—				(16,600,875	)			(22,886,374	)

		778,698				1,023				(4,170,326	)			(9,255,449	)


		1,255,000				5,120,000				99,811,617				48,177,026
		59,213				73,124				11,145,423				8,226,466
		—				—				(82,545,663	)			(24,822,189	)

		1,314,213				5,193,124				28,411,377				31,581,303



		2,092,911				5,194,147				24,241,051				22,325,854

		2,158,492				5,436,055				20,075,670				22,212,365
		—				—				253,560,328				231,347,963

	$	2,158,492			$	5,436,055			$	273,635,998			$	253,560,328


	HIGH YIELD BOND FUND¹
	YEAR			YEAR
	ENDED			ENDED
	MARCH 31,			MARCH 31,
	2019			2018
Operations:
Net investment income		$	23,232,202		$	26,689,351
Net realized gain/(loss) on investments			3,676,845			5,004,368
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts			666,121			(141,304)
Net change in unrealized appreciation/(depreciation) on investments			1,335,606			(5,744,616)
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts			700,195			118,950

Net increase in net assets resulting from operations			29,610,969			25,926,749


Distributions to Shareholders:³
Class M			(8,137,689)			(9,837,443)
Class I			(14,803,513)			(16,814,156)
Administrative Class			—			—
Tax Return of Capital:
Class M			—			—
Class I			—			—
Administrative Class			—			—

Total Distributions			(22,941,202)			(26,651,599)


Capital Share Transactions:
Class M:
Proceeds from sale of shares			59,028,791			33,490,369
Shares issued in reinvestment of distributions			7,904,396			9,422,300
Cost of shares redeemed			(92,773,959)			(176,667,817)

Total Class M capital share transactions			(25,840,772)			(133,755,148)

Class I:
Proceeds from sale of shares			201,045,150			126,992,323
Shares issued in reinvestment of distributions			13,424,835			15,875,887
Cost of shares redeemed			(319,107,409)			(280,398,449)

Total Class I capital share transactions			(104,637,424)			(137,530,239)

Administrative Class:
Proceeds from sale of shares			—			—
Shares issued in reinvestment of distributions			—			—
Cost of shares redeemed			—			—

Total Administrative Class capital share transactions			—			—

Net increase/(decrease) in net assets resulting from capital share transactions			(130,478,196)			(271,285,387)

Net increase/(decrease) in net assets			(123,808,429)			(272,010,237)
Net assets at beginning of period			604,388,546			876,398,783

Net assets at end of period		$	480,580,117		$	604,388,546


INTERMEDIATE BOND FUND								INVESTMENT GRADE CREDIT FUND²				LOW DURATION BOND FUND
YEAR				YEAR				PERIOD				YEAR				YEAR
ENDED				ENDED				ENDED				ENDED				ENDED
MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,
2019				2018				2019				2019				2018

	$	19,904,240			$	21,291,507			$	256,220			$	57,515,619			$	46,311,407

		701,666				(9,045,000	)			60,259				(3,071,666	)			(11,993,670	)
		707,048				(1,971,891	)			(1,390	)			2,600,814				(8,486,088	)
		7,888,043				(5,963,919	)			66,623				5,976,618				(9,892,436	)

		738,541				781,889				(2,321	)			2,852,270				3,450,566

		29,939,538				5,092,586				379,391				65,873,655				19,389,779



		(1,049,701	)			(1,240,600	)			(42,783	)			(16,667,480	)			(17,150,706	)
		(18,870,200	)			(20,051,776	)			(226,389	)			(40,401,619	)			(30,304,414	)
		—				—				—				(26,762	)			(91,114	)

		—				—				—				(23,477	)			—
		—				—				—				(51,488	)			—
		—				—				—				(32	)			—

		(19,919,901	)			(21,292,376	)			(269,172	)			(57,170,858	)			(47,546,234	)




		8,930,041				10,523,143				732,500				37,897,702				93,186,833
		1,038,740				1,200,819				42,783				16,512,389				16,843,760
		(27,862,526	)			(50,649,695	)			—				(450,522,739	)			(408,872,573	)

		(17,893,745	)			(38,925,733	)			775,283				(396,112,648	)			(298,841,980	)


		143,802,411				180,052,361				4,767,500				422,572,200				514,519,630
		18,354,290				19,116,311				226,389				38,796,615				28,588,695
		(231,490,840	)			(480,040,328	)			—				(576,061,745	)			(656,688,777	)

		(69,334,139	)			(280,871,656	)			4,993,889				(114,692,930	)			(113,580,452	)


		—				—				—				412,326				1,383,825
		—				—				—				3,028				19,578
		—				—				—				(5,361,196	)			(3,182,586	)

		—				—				—				(4,945,842	)			(1,779,183	)

		(87,227,884	)			(319,797,389	)			5,769,172				(515,751,420	)			(414,201,615	)

		(77,208,247	)			(335,997,179	)			5,879,391				(507,048,623	)			(442,358,070	)
		821,195,984				1,157,193,163				—				2,666,176,551				3,108,534,621

	$	743,987,737			$	821,195,984			$	5,879,391			$	2,159,127,928			$	2,666,176,551


TOTAL RETURN BOND FUND								ULTRA SHORT BOND FUND								UNCONSTRAINED BOND FUND
YEAR ENDED				YEAR ENDED				YEAR ENDED				YEAR ENDED				YEAR ENDED				YEAR ENDED
MARCH 31, 2019				MARCH 31, 2018				MARCH 31, 2019				MARCH 31, 2018				MARCH 31, 2019				MARCH 31, 2018

	$	2,112,787,205			$	1,729,777,007			$	2,409,996			$	1,574,913			$	116,127,690			$	96,725,079
		79,099,664				(408,458,047	)			(236,494	)			(423,953	)			(8,168,008	)			4,241,998

		97,796,555				(131,613,152	)			320,477				(14,498	)			924,558				1,147,114
		845,175,343				(321,481,208	)			138,562				(65,892	)			2,609,894				(16,600,295	)

		86,345,290				34,120,058				(51,411	)			106,416				(3,397,523	)			1,923,577

		3,221,204,057				902,344,658				2,581,130				1,176,986				108,096,611				87,437,473



		(273,391,389	)			(265,786,055	)			(829,374	)			(684,925	)			(18,384,003	)			(36,789,123	)
		(1,239,989,637	)			(1,070,701,261	)			(1,585,733	)			(889,848	)			(98,708,243	)			(71,907,655	)
		(24,372,504	)			(17,022,659	)			—				—				—				—
		(574,517,893	)			(389,468,587	)			—				—				—				—

		—				—				—				—				(3,771	)			—
		—				—				—				—				(18,705	)			—

		(2,112,271,423	)			(1,742,978,562	)			(2,415,107	)			(1,574,773	)			(117,114,722	)			(108,696,778	)




		1,476,031,777				2,126,082,296				5,620,754				17,336,598				120,030,558				499,552,793
		270,744,373				261,630,926				794,098				607,170				17,699,507				32,139,335
		(3,936,336,811	)			(5,892,904,636	)			(22,861,454	)			(33,228,320	)			(323,195,994	)			(1,346,138,872	)

		(2,189,560,661	)			(3,505,191,414	)			(16,446,602	)			(15,284,552	)			(185,465,929	)			(814,446,744	)


		10,831,780,423				14,656,574,863				24,210,837				37,487,086				1,122,095,700				1,184,471,297
		1,110,511,508				945,922,333				1,582,264				762,162				80,100,104				53,530,492
		(18,950,183,307	)			(16,791,591,140	)			(26,591,302	)			(40,073,066	)			(1,171,406,272	)			(589,436,719	)

		(7,007,891,376	)			(1,189,093,944	)			(798,201	)			(1,823,818	)			30,789,532				648,565,070


		402,509,711				392,932,270				—				—				—				—
		24,072,798				16,813,716				—				—				—				—
		(408,081,441	)			(189,843,444	)			—				—				—				—

		18,501,068				219,902,542				—				—				—				—


		7,224,408,177				8,302,903,199				—				—				—				—
		553,494,749				354,804,133				—				—				—				—
		(5,880,964,750	)			(3,751,717,579	)			—				—				—				—

		1,896,938,176				4,905,989,753				—				—				—				—

		(7,282,012,793	)			431,606,937				(17,244,803	)			(17,108,370	)			(154,676,397	)			(165,881,674	)

		(6,173,080,159	)			(409,026,967	)			(17,078,780	)			(17,506,157	)			(163,694,508	)			(187,140,979	)
		78,284,049,687				78,693,076,654				119,475,257				136,981,414				3,270,293,162				3,457,434,141

	$	72,110,969,528			$	78,284,049,687			$	102,396,477			$	119,475,257			$	3,106,598,654			$	3,270,293,162


	ALPHATRAK 500 FUND CLASS M
	YEAR				YEAR				YEAR				YEAR				YEAR
	ENDED				ENDED				ENDED				ENDED				ENDED
	MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,
	2019				2018				2017				2016				2015

Net Asset Value, Beginning of Year		$	9.98			$	8.95			$	7.22			$	7.22			$	6.48


Income from Investment Operations:
Net investment income¹			0.22				0.09				0.12				0.02				0.04
Net realized and unrealized gain			0.76				1.03				1.77				0.02				0.76


Total Income from Investment Operations			0.98				1.12				1.89				0.04				0.80


Less Distributions:
From net investment income			(0.23	)			(0.09	)			(0.16	)			(0.04	)			(0.06	)


Total Distributions			(0.23	)			(0.09	)			(0.16	)			(0.04	)			(0.06	)


Net Asset Value, End of Year		$	10.73			$	9.98			$	8.95			$	7.22			$	7.22


Total Return			9.93	%			12.52	%			26.38	%			0.53	%			12.37	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	21,202			$	18,149			$	20,714			$	2,406			$	9,735
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.39	%			0.90	%²			3.37	%			2.64	%			2.65	%
After expense waivers and reimbursements			0.90	%			0.90	%			0.90	%			0.90	%			0.90	%
Ratio of Net Investment Income to Average Net Assets After expense waivers and reimbursements			2.15	%			0.90	%			1.49	%			0.31	%			0.54	%
Portfolio Turnover Rate			140	%			115	%			505	%			59	%			30	%


	CORPORATE BOND FUND CLASS M*
	PERIOD
	ENDED
	MARCH 31,
	2019

Net Asset Value, Beginning of Period		$	10.00


Income from Investment Operations:
Net investment income¹			0.41
Net realized and unrealized gain/(loss)			0.34


Total Income from Investment Operations			0.75


Less Distributions:
From net investment income			(0.41	)
From net capital gains			(0.03	)


Total Distributions			(0.44	)


Net Asset Value, End of Period		$	10.31


Total Return			7.75	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	803
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			9.81	%³
After expense waivers and reimbursements			0.75	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.47	%³
Portfolio Turnover Rate			159	%²


	CORPORATE BOND FUND CLASS I*
	PERIOD
	ENDED
	MARCH 31,
	2019

Net Asset Value, Beginning of Period		$	10.00


Income from Investment Operations:

Net investment income¹			0.43
Net realized and unrealized gain/(loss)			0.34


Total Income from Investment Operations			0.77


Less Distributions:

From net investment income			(0.43	)
From net capital gains			(0.03	)


Total Distributions			(0.46	)


Net Asset Value, End of Period		$	10.31


Total Return			7.95	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,355
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			9.56	%³
After expense waivers and reimbursements			0.50	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.72	%³
Portfolio Turnover Rate			159	%²


	FLEXIBLE INCOME FUND CLASS M*

	PERIOD
	ENDED
	MARCH 31,
	2019
Net Asset Value, Beginning of Period		$	10.00


Income from Investment Operations:
Net investment income¹			0.23
Net realized and unrealized gain/(loss)			0.79


Total Income/(Loss) from Investment Operations			1.02


Less Distributions:
From net investment income			(0.23	)


Total Distributions			(0.23	)


Net Asset Value, End of Period		$	10.79


Total Return			10.25	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			9.18	%³
After expense waivers and reimbursements			0.80	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			6.76	%³
Portfolio Turnover Rate			80	%²


	FLEXIBLE INCOME FUND CLASS I*

	PERIOD
	ENDED
	MARCH 31,
	2019
Net Asset Value, Beginning of Period		$	10.00


Income from Investment Operations:
Net investment income¹			0.24
Net realized and unrealized gain/(loss)			0.78


Total Income/(Loss) from Investment Operations			1.02


Less Distributions:
From net investment income			(0.24	)


Total Distributions			(0.24	)


Net Asset Value, End of Period		$	10.78


Total Return			10.24	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	5,435
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			8.82	%³
After expense waivers and reimbursements			0.55	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.16	%³
Portfolio Turnover Rate			80	%²


	FLOATING RATE INCOME FUND CLASS M

	YEAR				YEAR				YEAR				YEAR				YEAR
	ENDED				ENDED				ENDED				ENDED				ENDED
	MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,
	2019				2018				2017				2016				2015

Net Asset Value, Beginning of Year		$	10.06			$	10.06			$	9.80			$	10.13			$	10.28


Income from Investment Operations:
Net investment income¹			0.42				0.36				0.33				0.34				0.32
Net realized and unrealized gain/(loss)			(0.15	)			—				0.26				(0.32	)			(0.06	)


Total Income from Investment Operations			0.27				0.36				0.59				0.02				0.26


Less Distributions:
From net investment income			(0.43	)			(0.36	)			(0.33	)			(0.34	)			(0.32	)
From net capital gains			—				—				—				(0.01	)			(0.09	)


Total Distributions			(0.43	)			(0.36	)			(0.33	)			(0.35	)			(0.41	)


Net Asset Value, End of Year		$	9.90			$	10.06			$	10.06			$	9.80			$	10.13


Total Return			2.72	%			3.61	%			6.08	%			0.23	%			2.53	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	11,229			$	15,802			$	25,072			$	8,206			$	6,126
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.03	%			1.04	%			1.05	%			1.07	%			1.10	%
After expense waivers and reimbursements			0.90	%			0.90	%			0.90	%			0.90	%			0.88	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.23	%			3.53	%			3.28	%			3.42	%			3.15	%
Portfolio Turnover Rate			52	%			71	%			40	%			66	%			49	%


	HIGH YIELD BOND FUND CLASS M

	YEAR				YEAR				YEAR				YEAR				YEAR
	ENDED				ENDED				ENDED				ENDED				ENDED
	MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,
	2019¹				2018¹				2017¹				2016¹				2015¹

Net Asset Value, Beginning of Year		$	9.55			$	9.60			$	9.09			$	9.72			$	10.37


Income from Investment Operations:
Net investment income²			0.41				0.34				0.34				0.39				0.45
Net realized and unrealized gain/(loss)			0.11				(0.05	)			0.50				(0.63	)			(0.51	)


Total Income/(Loss) from Investment Operations			0.52				0.29				0.84				(0.24	)			(0.06	)


Less Distributions:
From net investment income			(0.41	)			(0.34	)			(0.33	)			(0.39	)			(0.45	)
From net capital gains			—				—				—				—				(0.14	)


Total Distributions			(0.41	)			(0.34	)			(0.33	)			(0.39	)			(0.59	)


Net Asset Value, End of Year		$	9.66			$	9.55			$	9.60			$	9.09			$	9.72


Total Return			5.57	%			3.01	%			9.35	%			(2.52	)%			(0.65	)%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	187,339			$	211,021			$	344,328			$	498,128			$	764,684
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.92	%			0.91	%			0.89	%			0.87	%			0.89	%
After expense waivers and reimbursements			0.85	%			0.85	%			0.85	%			0.85	%			0.83	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.33	%			3.47	%			3.55	%			4.19	%			4.41	%
Portfolio Turnover Rate			120	%			167	%			185	%			139	%			61	%


	HIGH YIELD BOND FUND CLASS I

	YEAR				YEAR				YEAR				YEAR				YEAR
	ENDED				ENDED				ENDED				ENDED				ENDED
	MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,
	2019¹				2018¹				2017¹				2016¹				2015¹

Net Asset Value, Beginning of Year		$	9.55			$	9.60			$	9.09			$	9.72			$	10.37


Income from Investment Operations:
Net investment income²			0.44				0.36				0.36				0.42				0.47
Net realized and unrealized gain/(loss)			0.09				(0.05	)			0.50				(0.64	)			(0.51	)


Total Income/(Loss) from Investment Operations			0.53				0.31				0.86				(0.22	)			(0.04	)


Less Distributions:
From net investment income			(0.43	)			(0.36	)			(0.35	)			(0.41	)			(0.47	)
From net capital gains			—				—				—				—				(0.14	)


Total Distributions			(0.43	)			(0.36	)			(0.35	)			(0.41	)			(0.61	)


Net Asset Value, End of Year		$	9.65			$	9.55			$	9.60			$	9.09			$	9.72


Total Return			5.72	%			3.27	%			9.62	%			(2.28	)%			(0.40	)%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	293,241			$	393,368			$	532,071			$	572,436			$	755,786
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.63	%			0.63	%			0.62	%			0.61	%			0.60	%
After expense waivers and reimbursements			0.60	%			0.60	%			0.60	%			0.60	%			0.58	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.58	%			3.74	%			3.78	%			4.44	%			4.65	%
Portfolio Turnover Rate			120	%			167	%			185	%			139	%			61	%


	INTERMEDIATE BOND FUND CLASS M

	YEAR				YEAR				YEAR				YEAR				YEAR
	ENDED				ENDED				ENDED				ENDED				ENDED
	MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,
	2019				2018				2017				2016				2015

Net Asset Value, Beginning of Year		$	10.21			$	10.37			$	10.58			$	10.65			$	10.52


Income from Investment Operations:
Net investment income¹			0.25				0.18				0.14				0.13				0.14
Net realized and unrealized gain/(loss)			0.17				(0.16	)			(0.09	)			(0.03	)			0.16


Total Income from Investment Operations			0.42				0.02				0.05				0.10				0.30


Less Distributions:
From net investment income			(0.26	)			(0.18	)			(0.15	)			(0.12	)			(0.14	)
From net capital gains			—				—				(0.11	)			(0.05	)			(0.03	)


Total Distributions			(0.26	)			(0.18	)			(0.26	)			(0.17	)			(0.17	)


Net Asset Value, End of Year		$	10.37			$	10.21			$	10.37			$	10.58			$	10.65


Total Return			4.15	%			0.19	%			0.43	%			1.03	%			2.87	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	35,343			$	52,942			$	92,642			$	199,031			$	163,048
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.69	%			0.70	%²			0.70	%³			0.70	%			0.72	%
After expense waivers and reimbursements			0.69	%			0.70	%			0.70	%			0.70	%			0.68	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.49	%			1.71	%			1.35	%			1.20	%			1.30	%
Portfolio Turnover Rate			277	%			251	%			252	%			309	%			253	%


	INTERMEDIATE BOND FUND CLASS I

	YEAR				YEAR				YEAR				YEAR				YEAR
	ENDED				ENDED				ENDED				ENDED				ENDED
	MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,
	2019				2018				2017				2016				2015

Net Asset Value, Beginning of Year		$	10.21			$	10.37			$	10.58			$	10.65			$	10.52


Income from Investment Operations:
Net investment income¹			0.28				0.20				0.17				0.15				0.15
Net realized and unrealized gain/(loss)			0.15				(0.15	)			(0.10	)			(0.02	)			0.17


Total Income from Investment Operations			0.43				0.05				0.07				0.13				0.32


Less Distributions:
From net investment income			(0.28	)			(0.21	)			(0.17	)			(0.15	)			(0.16	)
From net capital gains			—				—				(0.11	)			(0.05	)			(0.03	)


Total Distributions			(0.28	)			(0.21	)			(0.28	)			(0.20	)			(0.19	)


Net Asset Value, End of Year		$	10.36			$	10.21			$	10.37			$	10.58			$	10.65


Total Return			4.29	%			0.43	%			0.68	%			1.28	%			3.09	%

Ratios/Supplemental Data:
Net Assets, end of the year (in thousands)		$	708,645			$	768,254			$	1,064,551			$	1,094,444			$	1,051,372
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.47	%			0.46	%			0.45	%			0.46	%			0.48	%²
After expense waivers and reimbursements			0.47	%			0.46	%			0.45	%			0.46	%			0.48	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.74	%			1.97	%			1.63	%			1.44	%			1.38	%
Portfolio Turnover Rate			277	%			251	%			252	%			309	%			253	%


	INVESTMENT GRADE CREDIT FUND CLASS M*

	PERIOD
	ENDED
	MARCH 31,
	2019

Net Asset Value, Beginning of Period		$	10.00


Income from Investment Operations:
Net investment income¹			0.55
Net realized and unrealized gain			0.33


Total Income from Investment Operations			0.88


Less Distributions:
From net investment income			(0.55)
From net capital gains			(0.02)


Total Distributions			(0.57)


Net Asset Value, End of Period		$	10.31


Total Return			9.02	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	799
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			4.78	%³
After expense waivers and reimbursements			0.70	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.20	%³
Portfolio Turnover Rate			199	%²


	INVESTMENT GRADE CREDIT FUND CLASS I*

	PERIOD
	ENDED
	MARCH 31,
	2019

Net Asset Value, Beginning of Period		$	10.00


Income from Investment Operations:
Net investment income¹			0.55
Net realized and unrealized gain			0.34


Total Income from Investment Operations			0.89


Less Distributions:
From net investment income			(0.56	)
From net capital gains			(0.02	)


Total Distributions			(0.58	)


Net Asset Value, End of Period		$	10.31


Total Return			9.20	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	5,081
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			4.53	%³
After expense waivers and reimbursements			0.49	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.29	%³
Portfolio Turnover Rate			199	%²


	LOW DURATION BOND FUND CLASS M

	YEAR				YEAR				YEAR				YEAR				YEAR
	ENDED				ENDED				ENDED				ENDED				ENDED
	MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,				MARCH 31,
	2019				2018				2017				2016				2015

Net Asset Value, Beginning of Year		$	8.63			$	8.72			$	8.73			$	8.81			$	8.81


Income from Investment Operations:
Net investment income¹			0.20				0.13				0.10				0.10				0.11
Net realized and unrealized gain/(loss)			0.05				(0.09	)			(0.00	)²			(0.08	)			(0.00	)²


Total Income from Investment Operations			0.25				0.04				0.10				0.02				0.11


Less Distributions:
From net investment income			(0.20	)			(0.13	)			(0.10	)			(0.10	)			(0.11	)
From net capital gains			—				—				(0.01	)			—				—
Return of Capital			(0.00	)²			—				—				—				—


Total Distributions			(0.20	)			(0.13	)			(0.11	)			(0.10	)			(0.11	)


Net Asset Value, End of Year		$	8.68			$	8.63			$	8.72			$	8.73			$	8.81


Total Return			2.93	%			0.48	%			1.25	%			0.22	%			1.24	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	580,434			$	975,388			$	1,284,692			$	1,492,411			$	1,749,130
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.62	%			0.62	%			0.61	%			0.62	%			0.62	%
After expense waivers and reimbursements			0.62	%			0.62	%			0.61	%			0.62	%			0.61	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.29	%			1.45	%			1.19	%			1.16	%			1.21	%
Portfolio Turnover Rate			174	%			200	%			95	%			119	%			30	%