Metropolitan West Funds

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.TCW.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically by contacting your financial intermediary (such as a broker-dealer, bank, or retirement plan), or by calling 1-800-241-4671 if you invest directly with the Funds.

You may elect to receive all future reports in paper free of charge. Contact your financial intermediary or, if you invest directly with the Funds, call 1-800-241-4671, to request that you continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held through your financial intermediary or directly with TCW.

We are pleased to provide the following Semi-Annual Report for the Funds for the period ended September 30, 2019. Given the backdrop of falling rates and strong investor sponsorship, the assets of the Funds ticked upwards to roughly $86 billion, a measure viewed with great appreciation for the confidence it conveys and the responsibility of meeting client expectations.

The September 30, 2019 Semi-Annual Report covers the following Metropolitan West Funds:

Having foreshadowed a willingness to renew monetary accommodation as early as January of this year, perhaps the Fed could be lauded for holding off action until the third quarter against the withering criticism from the President and intermittently volatile markets. But capitulate it finally did, not once but twice, with an ease of 25 basis points in September to follow one in late July, which had marked its first cut since 2008. It is not just the Fed - ECB President Mario Draghi delivered a boost to global markets earlier in the period as he indicated that additional monetary easing could be on the way, with a seemingly low bar for central bank action. These dovish shifts have occurred against a backdrop of heightened trade tensions that disaffected economic measurables in a meaningful way. Global recessionary concerns have mounted and manufacturing is of particular concern, highlighted by a drop in German manufacturing to a 10-year low, while the U.S. manufacturing PMI Index fell into contraction territory for the first time in three years. Not surprisingly, businesses remain skeptical of the prospective environment, as evidenced by sharp declines in survey-based measures of expectations, confidence, and spending decisions.

Despite the continuing late-cycle conditions characterizing the U.S. and global economy (i.e., soaring debt and slowing growth), thus far, a strong consumer and accommodative Fed have kept the expansion going and asset prices higher for the most part. Notwithstanding periodic sell-offs, equity markets continued their ascent to record highs, reflected in a 6.5% gain for the S&P 500 Index during the six-month period and 20% return year-to-date. Fixed income markets, too, have posted impressive total returns, with the Bloomberg Barclays Aggregate Index up 5.4% for the six-month period and 8.5% year-to-date. Corporate credit drove fixed income returns over the reporting period, gaining 7.7% on a total return basis and outpacing duration-matched Treasuries by nearly 115 bps during the period. High yield corporates followed with a six-month return of 3.9% and excess returns of nearly 60 bps. Securitized products were mixed, as agency mortgage-backed securities (MBS) trailed given the continued headwinds of Fed balance sheet reduction in addition to uncertainty stemming from the introduction of the single security platform for TBA issues. Meanwhile, non-agency MBS continued to post consistent, positive returns, particularly from issues backed by subprime and alt-A collateral. Commercial MBS (CMBS) also delivered positive returns, led by non-agency backed CMBS securities. Finally, ABS securities outperformed duration-matched Treasuries by over 30 bps.

Following a prolonged, albeit not especially vigorous, expansion, the management team has increasingly viewed current conditions as late-cycle in character, with a slowing pace of growth a consequence. Given the decidedly tightening posture of the Fed between late 2016 and early 2019 – nine rate hikes and significant balance sheet reduction – it’s not surprising that activity would turn down somewhat, particularly with a flatter yield curve reducing the incentives for financial intermediaries to expand their lending books. Add in the uncertainty of trade policy and you have players in the real economy deferring capital investment (weakening business confidence) and production volume (falling ISM manufacturing), putting further downward pressure on potential growth. The investment

management team continues to emphasize a cycle-aware philosophy to mitigate the effects of a more challenging downturn and remains positioned to expand the risk budget when long-term expected returns are more favorable.

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 6.43% (net of fees) for the half-year ending September 30, 2019, while the S&P 500 Index returned 6.08%. Bolstering the Fund’s performance was the corporate credit allocation, particularly in banking financials, consumer non-cyclicals such as healthcare and pharmaceuticals, as well as communications including wireless and wirelines. Securitized products further contributed, led by both agency and non-agency CMBS, as investors continued their reach for yield, while non-agency MBS backed by subprime and option ARM collateral types were also additive. In ABS, contribution to Fund performance was driven by government guaranteed student loans, followed by credit cards and highly rated CLOs, as the overall sector benefited from a healthy consumer sustained by a strong labor landscape. Finally, as rates rose during the early part of the period, the duration of the Fund extended from 0.6 to 0.9 years. The longer duration profile benefited Fund returns as rates ultimately ended lower from six months ago.

Cautious of the late credit cycle, the Fund continues to maintain a defensive stance with minimal exposure to the more vulnerable (i.e., “breakable”) credit issuers and industries. Positioning emphasizes financials such as large U.S. banks, and among industrials, the exposure favors consumer non-cyclicals such as pharmaceuticals and healthcare, with an eye towards adding opportunistically during bouts of volatility when prices look relatively more attractive. Outside of credit, senior parts of securitized products remain a haven from credit excesses while still generating incremental return, while informing vigilance against pockets of looser underwriting standards, particularly in current vintage CMBS. Residential MBS remain an area to pick up relatively reliable yield, particularly in the legacy non-agency MBS space, which continues to present attractive risk-adjusted return potential despite a shrinking market. Finally, the Fund focuses on agency-backed issues within CMBS as well as super senior ABS backed by government guaranteed student loan collateral. Finally, despite low rates, the Fund holds a sizable allocation to government and cash bonds as a buffer given the potential for equity volatility.

The MetWest Corporate Bond Fund – I Class (“Fund”) gained 8.42% (net of fees) for the six-month period ending September 30, 2019, outpacing the Bloomberg Barclays U.S. Corporate Index (“Index”) by over 75 bps. Corporate issue selection contributed positively to returns, particularly among communications and financials (REITS, finance companies, and insurance), which were among top Index performers. As yields fell, the exposure to utilities was beneficial, while a modest drag came from the underweight to automotives and manufacturing, which ended the period tighter amid more conciliatory trade talks between U.S. and China. Meanwhile, an additional benefit came from the underweight to energy, as the sector faced headwinds from commodity price pressures and trailed duration-matched Treasuries by nearly 40 bps, though an emphasis on the midstream subsector detracted. In addition, the off-Index allocation to securitized products boosted Fund performance, particularly non-agency CMBS given strong cash flows, with the overall sector benefiting from investors’ search for yield.

Portfolio duration was adjusted during the period as Treasury yields shifted, ending September 0.05 years long versus the benchmark (from roughly one-tenth long at the end of March). By way of sector positioning, the Fund maintains a defensive credit stance with minimal exposure to the more vulnerable (i.e., “breakable”) issuers and industries. Exposure emphasizes communications (favoring cable and wirelines), utilities (particularly electric), as well as insurance and finance companies, with an eye towards adding opportunistically

across credit during bouts of volatility when prices look relatively more attractive. Outside of credit, senior parts of the structured products markets remain a haven from credit excesses while still generating incremental return, while informing vigilance to pockets of looser underwriting standards, particularly in current vintage CMBS. Finally, the Fund maintains an allocation to high quality taxable municipal bonds that are self-financing and do not rely on government actions to make payments.

The MetWest Flexible Income Fund – I Class (“Fund”) gained 7.41% net of fees for the six-month period ending September 30, 2019, outpacing the Bloomberg Barclays Aggregate Index (“Index”) by 199 bps. Securitized products drove outperformance, led by legacy residential non-agency MBS (absent in the benchmark) and commercial MBS. Legacy non-agency MBS continued to edge steadily higher, supported by solid demand and attractive fundamentals, while CMBS (particularly non-agency CMBS) outpaced Index returns on a duration-adjusted basis. A defensive bent to the corporate credit allocation also contributed positively to returns over the period, particularly the emphasis on consumer non-cyclicals and communications, which were top performers. Further benefit came from the underweight to energy, as the sector faced considerable headwinds of commodity price pressures and trailed duration-matched Treasuries by nearly 40 bps. Finally, the Fund’s duration position was extended during the period, though was still relatively short versus the Index and acted as a headwind to performance as rates fell across the curve.

Portfolio strategy and potential repositioning will continue to be guided by TCW’s views on valuations across the allocable sectors. By way of sector positioning, the Fund maintains a defensive credit stance with minimal exposure to the more vulnerable (i.e., “breakable”) issuers and industries. Exposure emphasizes communications and consumer non-cyclicals such as pharmaceuticals, healthcare, or food and beverage, with an eye towards adding opportunistically across credit during bouts of volatility when prices look relatively more attractive. Outside of credit, senior parts of the structured products markets remain a haven from credit excesses while still generating incremental return, while informing vigilance to pockets of looser underwriting standards, particularly in current vintage CMBS. Residential MBS also remains an area to pick up safe yield, particularly in the legacy non-agency MBS space, which continues to present attractive risk-adjusted return potential despite a shrinking market, while the allocation to agency MBS is slightly ahead of the benchmark. Elsewhere in securitized, the Fund focuses on super senior ABS backed by government guaranteed student loan collateral and agency-backed issues within CMBS. Finally, as mentioned above, the duration profile was extended as the Fund ramped up, ending the period at 3.3 years.

For the half-year ending September 30, 2019, the MetWest Floating Rate Income Fund I-Class (“Fund”) gained 2.63% (net of fees), performing slightly behind the S&P/LSTA Leveraged Loan Index (“Index”). Issue selection among consumer non-cyclicals like healthcare and food & beverage boosted performance, while further contributing was the underweight to industries with more market sensitivity such as energy, metals & minerals, and retail, which were among the worst performing in the Index. Specifically, retailers continued to be disrupted by e-commerce (i.e. the Amazon Effect) and commodity-related sectors were weighed down by volatility associated with the U.S./China trade war. Detracting from returns, however, was issue selection within financials and utilities, particularly insurance and electric names. From a quality perspective, the Fund’s bias for higher-rated loans was additive as lower quality lagged over the period, especially amid increased rating agency activities in the form of downgrades and negative outlooks. Illustratively, the end of the specified period marked a monthly record in single-B net downgrades during September.

Cautious of the late credit cycle, the Fund continues to maintain a defensive stance, favoring “bendable” industries such as healthcare, food & beverage, gaming, packaging, and communications, while holding an underweight to cyclicals, technology, and retail. A general risk-off environment and idiosyncratic volatility capped off the specified period, affording tactical adjustments by the Fund at attractive levels including additions in non-cyclicals, automotive, services, and media, while trims were carried out in cable, healthcare, packaging, gaming, and technology. Going forward, with the ongoing bifurcation in quality, increased supply, and limited appetite for single Bs and triple C loans, expectations are for higher yield premiums to materialize. Furthermore, fundamentals continued to deteriorate (i.e. lagging 12-month default rates creeping upward) and forward rate expectations remain low, both of which will put downward pressures on loan prices. However, pockets of opportunities are available, and the management team continues to scour the marketplace for relative value by taking advantage of episodic bouts of volatility.

The MetWest High Yield Bond Fund – I Class (“Fund”) gained 4.59% (net of fees) over the six-month reporting period, outpacing the return of the Bloomberg Barclays High Yield 2% Issuer Capped Index (“Index”) by 72 bps. Within the Fund’s sector allocation, an overweight to communications was additive, particularly the emphasis on top performing wireless and cable credits which posted over 560 bps and 375 bps of positive excess return over duration-matched Treasuries, respectively. Further benefit came from the underweight to commodity-related energy sectors, which was the worst performing sector in the high yield universe (weighed down by significant negative returns from independent and oil field services) given oil price volatility and geopolitical turmoil. An up-in-quality emphasis also contributed, as the CCC-rated cohort continued to lag and experienced considerably more volatility. Outperformance of BB- over CCC-rated credits was over 660 bps during the period, as investors appear to be more discriminating than a “risk on” label tends to confer. Finally, the Fund’s duration positioning relative to the Index was adjusted modestly, from three-tenths of a year short to end September at two-tenths of a year short, and was a slight headwind to performance as rates fell.

The current market environment’s defining characteristics of reduced investor risk tolerance and very poor market liquidity represent a vulnerability of course, but also present opportunities for the strategy. As overvalued credit risk gives way to sharp re-pricings in bouts of volatility, credit-intensive, bottom-up investment discipline remains the key to value. 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 3.83% (net of fees) for the six-month period ending September 30, 2019, outpacing the Bloomberg Barclays Intermediate Government/Credit Index (“Index”) by 16 bps. Even as intermediate maturity corporate credit lagged longer-dated issues, the Fund benefitted from its defensive credit allocation, particularly the emphasis on consumer non-cyclicals and communications, which were top performers. Further benefit came from the underweight to energy, as

the sector faced considerable headwinds of commodity price pressures and trailed duration-matched Treasuries by nearly 40 bps. Securitized products had a more muted, but slightly positive impact. Residential agency MBS contributed on the margin as the position was sized-up in late August/September (with additions in the low coupon space) given wider spreads and attractive valuations, while the allocation to legacy residential non-agency MBS (absent in the benchmark) boosted returns as the sector edged steadily higher, supported by solid demand and attractive fundamentals. Finally, given the disciplined lengthening of Fund duration relative to the benchmark in last year’s rate run-up, performance has benefitted in the yield decline year-to-date, and positioning has been adjusted accordingly, with trimming in recent months to what is currently a neutral duration stance.

Portfolio strategy and potential repositioning will continue to be guided by TCW’s views on valuations across the allocable sectors. By way of sector positioning, the Fund maintains a defensive credit stance with minimal exposure to the more vulnerable (i.e., “breakable”) issuers and industries. Exposure emphasizes communications and consumer non-cyclicals such as pharmaceuticals, healthcare, or food and beverage, with an eye towards adding opportunistically across credit during bouts of volatility when prices look relatively more attractive. Outside of credit, senior parts of the structured products markets remain a haven from credit excesses while still generating incremental return, while informing vigilance to pockets of looser underwriting standards, particularly in current vintage CMBS. Residential MBS also remains an area to pick up relatively reliable yield, particularly in the legacy non-agency MBS space, which continues to present attractive risk-adjusted return potential despite a shrinking market, while the allocation to agency MBS was extended given wider spreads and attractive valuations. Elsewhere in securitized, the Fund focuses on super senior ABS backed by government guaranteed student loan collateral and agency-backed issues within CMBS. Finally, as mentioned above, the duration profile moved from neutral to a mild underweight at the end of August, and then subsequently extended into the back-up during the last several weeks in September, ending the period with a neutral position versus the benchmark.

The MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 5.22% (net of fees) for the six-month period ending September 30, 2019, outpacing the Bloomberg Barclays U.S. Intermediate Credit Index (“Index”) by 48 bps. Corporate issue selection contributed positively to returns, particularly among communications (cable and wirelines) as well as REITS and finance companies, which were top Index performers. Further rewarding performance was the underweight to energy, as the sector faced headwinds from commodity price pressures and was the laggard in the Index, though an emphasis on the midstream subsector detracted. The underweight to non-corporate credit such as municipals and non-U.S. sovereigns further held back returns as these sectors ended the period tighter amid more conciliatory trade talks between U.S. and China. However, the off-Index allocation to securitized products boosted performance, led by non-agency CMBS, as investors continued their reach for yield, with non-agency MBS (especially subprime) another notable contributor given still solid fundamentals (i.e. rising home prices, albeit at a slower pace). Among ABS, government guaranteed student loans were most additive, with the overall sector sustained by a healthy consumer against a strong job landscape.

Portfolio duration was adjusted during the period as Treasury yields shifted, ending September relatively neutral versus the benchmark (from nearly one-tenth long at the end of March). By way of sector positioning, the Fund maintains a defensive credit stance with minimal exposure to the more vulnerable (i.e., “breakable”) issuers and industries. Exposure emphasizes communications, finance companies, REITS, midstream, and food & beverage, with an eye towards adding opportunistically across credit during bouts of volatility when prices look relatively more attractive. Outside of credit, senior parts of the structured products markets remain a haven from credit excesses while still generating incremental return, while informing vigilance from pockets of looser underwriting standards, particularly in current vintage CMBS. Residential MBS also remains an area to pick up relatively reliable yield, with an allocation to agency CMOs and legacy non-agency MBS, which continue to present attractive risk-adjusted return potential despite a shrinking market. Finally, the Fund favors agency-backed issues within CMBS and super senior ABS backed by government guaranteed student loan collateral.

The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 2.28% (net of fees) for the six-month period ending September 30, 2019, outpacing the Merrill Lynch 1-3 Year U.S. Treasury Index by 26 bps. The allocation to investment grade credit contributed as short corporate bonds outperformed Treasuries by nearly 50 bps on a duration-adjusted basis. Gaming, finance companies, and REITS were the top performing short corporate sectors during the period, benefitting the Fund’s exposure, while further contributions came from positive issue selection among consumer non-cyclicals and communications. Securitized products also contributed, particularly the allocation to CMBS, which outpaced short corporates, while residential legacy non-agency MBS prices continued to edge higher, supported by solid demand and attractive fundamentals.

Portfolio duration was adjusted during the period as Treasury yields shifted, ending September 0.05 years long versus the benchmark (from roughly two-tenths long at the end of March) By way of sector positioning, the Fund maintains a defensive credit stance with minimal exposure to the more vulnerable (i.e., “breakable”) issuers and industries. Exposure emphasizes communications and consumer non-cyclicals such as pharmaceuticals, healthcare, or food and beverage, with an eye towards adding opportunistically across credit during bouts of volatility when prices look relatively more attractive. Outside of credit, senior parts of the structured products markets remain a haven from credit excesses while still generating incremental return, while informing vigilance to pockets of looser underwriting standards, particularly in current vintage CMBS. Residential MBS also remains an area to pick up relatively reliable yield, particularly in the legacy non-agency MBS space, which continues to present attractive risk-adjusted return potential despite a shrinking market. Finally, the Fund focuses on super senior ABS backed by government guaranteed student loan collateral and agency-backed issues within CMBS.

The MetWest Strategic Income Bond Fund – I Class (“Fund”) gained 2.86% (net of fees) for the half-year ending September 30, 2019, outpacing the ICE BofAML 3-Month U.S. Treasury Bill Index by 65 bps. Bolstering the Fund’s performance was the corporate credit allocation, particularly in large U.S. banks, consumer non-cyclicals such as healthcare and pharmaceuticals, and communications including cable, as well as electric utilities. Securitized products further boosted returns, led by non-agency MBS, especially subprime and alt-A collateral types, as the sector was supported by still solid housing fundamentals (i.e. rising home prices, albeit slowing), with agency MBS further additive. CMBS, both private labels and agency-backed, benefited performance with the sector supported by investors’ continued reach for yield. In ABS, contribution to Fund performance was driven by government guaranteed student loans, followed by highly rated CLOs, as the overall sector benefited from a healthy consumer sustained by a strong labor market. Finally, a duration positioning of 1.8 years benefited Fund returns as rates ended lower from six months ago.

standards, particularly in current vintage CMBS. Residential MBS remain an area to pick up relatively reliable yield, particularly in the legacy non-agency MBS space, which continues to present attractive risk-adjusted return potential despite a shrinking market. Additionally, the Fund focuses on agency-backed issues within CMBS as well as super senior ABS backed by government guaranteed student loan collateral. Finally, the Fund holds a modest allocation to high yield corporates and higher quality emerging market debt for incremental risk-adjusted returns.

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

The MetWest Total Return Bond Fund – I Class (“Fund”) returned 5.51% (net of fees) for the six-month period ending September 30, 2019, a 9 bps premium to the Bloomberg Barclays Aggregate Index (“Index”). A defensive bent to the corporate credit allocation contributed positively to returns over the period, particularly the emphasis on consumer non-cyclicals and communications, which were top performers. Further benefit came from the underweight to energy, as the sector faced considerable headwinds of commodity price pressures and trailed duration-matched Treasuries by nearly 40 bps. Securitized products had a more muted, but slightly positive impact. Residential agency MBS contributed on the margin as the position was sized-up in late August/September (with additions in the low coupon space) given wider spreads and attractive valuations, while the allocation to legacy residential non-agency MBS (absent in the benchmark) boosted returns as the sector edged steadily higher, supported by solid demand and attractive fundamentals. Finally, the Fund’s duration stance relative to the benchmark was adjusted in a disciplined manner given changing relative value in the Treasury rate space, and ultimately had limited impact of performance during the period.

Portfolio strategy and potential repositioning will continue to be guided by TCW’s views on valuations across the allocable sectors. By way of sector positioning, the Fund maintains a defensive credit stance with minimal exposure to the more vulnerable (i.e., “breakable”) issuers and industries. Exposure emphasizes communications and consumer non-cyclicals such as pharmaceuticals, healthcare, or food and beverage, with an eye towards adding opportunistically across credit during bouts of volatility when prices look relatively more attractive. Outside of credit, senior parts of the structured products markets remain a haven from credit excesses while still generating incremental return, while informing vigilance to pockets of looser underwriting standards, particularly in current vintage CMBS. Residential MBS also remains an area to pick up safe yield, particularly in the legacy non-agency MBS space, which continues to present attractive risk-adjusted return potential despite a shrinking market, while the allocation to agency MBS is slightly ahead of the benchmark. Elsewhere in securitized, the Fund focuses on super senior ABS backed by government guaranteed student loan collateral and agency-backed issues within CMBS. Finally, as mentioned above, the duration profile moved from neutral to a mild underweight at the end of August as Treasuries rallied, and then subsequently extended into the back-up during the last several weeks in September, ending the period with a neutral position versus the benchmark.

The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 1.52% (net of fees) and slightly outpaced the ICE BofAML 1-Year U.S. Treasury Note Index for the half-year ending September 30, 2019. The allocation to investment grade credit contributed as short corporate bonds outperformed Treasuries by nearly 50 bps on a duration-adjusted basis. Financials were the top contributor to returns, particularly banking and REITS. Non-cyclicals further added to performance amid a risk-off environment, led by food & beverage, healthcare, and pharmaceuticals. The exposure to securitized products also rewarded the Fund, particularly agency CMBS, which outpaced Treasuries by nearly 77 bps on a duration-adjusted basis, while prices continued to edge higher in non-agency MBS, supported by solid demand and attractive fundamentals (i.e. rising home prices, albeit at a slower pace). Finally, amid rate volatility, well-structured agency CMO’s bolstered returns given their relatively stable duration profiles, though the Fund’s slightly shorter duration stance was a marginal drag as rates ended the period lower.

Portfolio duration was adjusted over the period as Treasury yields shifted downward, ending 0.04 year short the Index (from roughly 0.25 year short at the end of March). By way of sector positioning, the Fund maintains a defensive credit stance with minimal exposure to the more vulnerable (i.e., “breakable”) issuers and industries. Exposure emphasizes financials, particularly large U.S. banks as well as REITS, and consumer non-cyclicals favoring food & beverage, with an eye towards adding opportunistically across credit during bouts of volatility when prices look relatively more attractive. Outside of credit, senior parts of the structured products markets remain a haven from credit excesses while still generating incremental return, while informing vigilance to pockets of looser underwriting standards, particularly in current vintage CMBS. Residential MBS also remains an area to pick up relatively reliable yield, with a sizable allocation to agency CMOs and a modest exposure to legacy non-agency MBS, which continue to present attractive risk-adjusted return potential despite a shrinking market. Additionally, the Fund focuses on agency-backed issues within CMBS and super senior ABS backed by government guaranteed student loan collateral. Finally, despite low rates, the Fund holds a sizable allocation to short government bonds as a buffer given the potential for equity volatility.

The MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 3.15% (net of fees) for the six-month period ending September 30, 2019, outpacing the Merrill Lynch U.S. LIBOR 3-Month Average Index by nearly 190 bps. The largest single driver of performance during this period was the duration position, steadily adjusted from 2.0 years to 1.8 years, which was rewarded by a falling rate backdrop as the 10-Year bellwether yield ended 74 bps lower at 1.67%. Notwithstanding spread widening among energy sectors, the Fund’s corporate credit exposure was also additive to performance given strength among consumer non-cyclicals and communications holdings. On an absolute basis, healthcare, food and beverage, wirelines, banking and pharmaceuticals were the top contributors, while select holdings in the independent energy sector resulted in a slight drag. Positive issue selection within the Fund’s emerging market debt allocation also contributed. Outside of credit, gains came from the Fund’s allocation to legacy residential non-agency MBS as the sector edged steadily higher, led by subprime collateral, supported by solid demand and attractive fundamentals. Additional gains came from ABS holdings and CMBS holdings, as both experienced spread tightening during the period.

Portfolio strategy and potential repositioning will continue to be guided by TCW’s views on valuations across the allocable sectors. By way of sector positioning, the Fund maintains a defensive credit stance with minimal exposure to the more vulnerable (i.e., “breakable”) issuers and industries. Exposure emphasizes communications and consumer non-cyclicals such as pharmaceuticals, healthcare, or food and beverage, with an eye towards adding opportunistically across credit during bouts of volatility when prices look relatively more attractive. Outside of credit, senior parts of the structured products markets remain a haven from credit excesses while still generating incremental return, while informing vigilance to pockets of looser underwriting standards, particularly in current vintage CMBS. Residential MBS also remains an area to pick up relatively reliable yield, particularly in the legacy non-agency MBS space, which continues to present attractive risk-adjusted return potential despite a shrinking market. Finally, the Fund focuses on super senior ABS backed by government guaranteed student loan collateral and agency-backed issues within CMBS.

Late cycle concerns remain the main theme informing portfolio strategy, as risk markets anchor hopes to continued support from dovish central banks to buoy asset prices, even though underlying fundamentals have weakened further. Consistent trends, including rising leverage and diminishing indenture protections, indicate growing risks, while credit spreads at the tight end of the historical range provide scant compensation for these risks, even with Fed support. As markets get closer to a deleveraging, a cautious outlook remains well-advised, and is reflected in the Funds’ value-oriented philosophy that has the principal goal of preserving capital. This discipline, along with a commitment to a risk management process that preserves capital, represents our steadfast approach to building and sustaining client assets.

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 October 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.

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.


FLEXIBLE INCOME FUND
Sector Diversification
Corporate Bonds			28.74%
Non-Agency Mortgage-Backed			18.57%
Non-Agency Commercial Mortgage-Backed			15.76%
U.S. Agency Commercial Mortgage-Backed			11.57%
U.S. Agency Mortgage-Backed			9.63%
Asset-Backed Securities			9.10%
Money Market Funds			4.80%
Other *			1.83%
Total			100.00%

FLOATING RATE INCOME FUND
Sector Diversification
Bank Loans			85.99%
Money Market Funds			10.55%
Corporate Bonds			6.19%
Municipal Bonds			0.17%
Other *			(2.90)%
Total			100.00%

HIGH YIELD BOND FUND
Sector Diversification
Corporate Bonds			68.20%
Bank Loans			21.74%
Money Market Funds			6.19%
Non-Agency Mortgage-Backed			4.46%
U.S. Agency Discount Notes			2.24%
Common Stock			0.55%
U.S. Treasury Bills			0.20%
Warrant			0.03%
Other *			(3.61)%
Total			100.00%


INTERMEDIATE BOND FUND
Sector Diversification
U.S. Treasury Securities			43.37%
Corporate Bonds			29.84%
U.S. Agency Mortgage-Backed			11.78%
Asset-Backed Securities			5.83%
Non-Agency Mortgage-Backed			4.55%
Money Market Funds			4.47%
Non-Agency Commercial Mortgage-Backed			3.10%
U.S. Agency Commercial Mortgage-Backed			2.04%
Bank Loans			0.68%
Municipal Bonds			0.64%
U.S. Treasury Bills			0.15%
U.S. Agency Securities			0.03%
Common Stock			0.00%
Other *			(6.48)%
Total			100.00%

INVESTMENT GRADE CREDIT FUND
Sector Diversification
Corporate Bonds			49.10%
Asset-Backed Securities			14.00%
U.S. Agency Mortgage-Backed			11.47%
Non-Agency Mortgage-Backed			7.38%
U.S. Agency Commercial Mortgage-Backed			7.27%
Non-Agency Commercial Mortgage-Backed			4.18%
U.S. Treasury Securities			3.68%
Money Market Funds			1.79%
U.S. Treasury Bills			0.44%
Municipal Bonds			0.09%
Other *			0.60%
Total			100.00%


LOW DURATION BOND FUND
Sector Diversification
Corporate Bonds			33.85%
U.S. Treasury Securities			21.85%
U.S. Agency Mortgage-Backed			9.64%
Non-Agency Mortgage-Backed			8.80%
U.S. Agency Commercial Mortgage-Backed			8.64%
Non-Agency Commercial Mortgage-Backed			8.26%
Asset-Backed Securities			7.41%
Money Market Funds			2.88%
Bank Loans			0.77%
U.S. Treasury Bills			0.18%
Common Stock			0.02%
Purchased Swaptions			0.00%
Written Swaptions			0.00%
Other *			(2.30)%
Total			100.00%

STRATEGIC INCOME FUND
Sector Diversification
Corporate Bonds			35.25%
Non-Agency Mortgage-Backed			25.51%
Asset-Backed Securities			13.58%
U.S. Agency Mortgage-Backed			6.50%
U.S. Agency Commercial Mortgage-Backed			6.03%
Non-Agency Commercial Mortgage-Backed			4.28%
Money Market Funds			3.42%
U.S. Treasury Bills			2.64%
Foreign Government Obligations			1.07%
Municipal Bonds			0.81%
Other *			0.91%
Total			100.00%


TOTAL RETURN BOND FUND
Sector Diversification
U.S. Agency Mortgage-Backed			33.61%
U.S. Treasury Securities			30.96%
Corporate Bonds			25.19%
Non-Agency Mortgage-Backed			6.78%
Asset-Backed Securities			4.83%
Non-Agency Commercial Mortgage-Backed			1.72%
U.S. Agency Discount Notes			1.57%
U.S. Agency Commercial Mortgage-Backed			1.41%
U.S. Treasury Bills			0.86%
Bank Loans			0.78%
Money Market Funds			0.73%
Repurchase Agreements			0.63%
Municipal Bonds			0.54%
Foreign Government Obligations			0.13%
Commercial paper			0.12%
Purchased Options			0.04%
Common Stock			0.01%
Written Options			(0.02)%
Other *			(9.89)%
Total			100.00%

ULTRA SHORT BOND FUND
Sector Diversification
U.S. Treasury Securities			33.22%
Corporate Bonds			25.87%
U.S. Agency Mortgage-Backed			18.73%
U.S. Agency Commercial Mortgage-Backed			6.91%
Money Market Funds			6.02%
U.S. Treasury Bills			4.52%
U.S. Agency Discount Notes			3.01%
Non-Agency Commercial Mortgage-Backed			2.83%
Non-Agency Mortgage-Backed			2.10%
Asset-Backed Securities			2.03%
Other *			(5.24)%
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 the 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-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.


Issues	Maturity Date			Principal Amount		Value
BONDS – 76.52%
ASSET-BACKED SECURITIES — 9.45%**
Access Group, Inc., Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
2.72%		07/25/56	^1,2	$	17,485	$	17,468
AMMC CLO XIV Ltd., Series 2014-14A,
Class A1LR (Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
3.53%		07/25/29	^1,2,3		35,000		35,038
Atrium XII, Series 12A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.83%)
3.11%		04/22/27	^1,2,3		90,000		89,856
BA Credit Card Trust, Series 2018-A2,
Class A2
3.00%		09/15/23			140,000		142,467
Barings BDC Static CLO Ltd.,
Series 2019-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
3.32%		04/15/27	^1,2,3		63,364		63,401
Barings CLO Ltd., Series 2013-IA,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
3.08%		01/20/28	^1,2,3		75,000		75,009
Barings CLO Ltd., Series 2018-3A,
Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
3.23%		07/20/29	^1,2,3		85,000		85,000
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
2.57%		01/25/35	^1,2		12,715		12,665
BlueMountain CLO Ltd., Series 2013-2A,
Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.18%)
3.46%		10/22/30	^1,2,3		50,000		50,030
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
3.33%		02/25/35	¹		215,000		217,160
Chase Issuance Trust, Series 2012-A7,
Class A7
2.16%		09/15/24			135,000		136,179
Chase Issuance Trust, Series 2015-A4,
Class A4
1.84%		04/15/22			140,000		139,871
Citibank Credit Card Issuance Trust,
Series 2014-A5, Class A5
2.68%		06/07/23			15,000		15,201
Citibank Credit Card Issuance Trust,
Series 2018-A1, Class A1
2.49%		01/20/23			230,000		231,800

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.20%

04/15/29

^1,2,3

50,000

49,912

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

2.93%

04/25/35

3,499

3,486

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

3.07%

03/25/36

36,261

36,445

Higher Education Funding I, Series 2014-1,

Class A

(LIBOR USD 3-Month plus 1.05%)

3.18%

05/25/34

^1,2

181,825

182,702

LCM XIII LP, Series 2013A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

3.32%

07/19/27

^1,2,3

80,000

80,004

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

85,000

85,251

Navient Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.51%)

2.53%

06/25/31

117,916

117,092

Navient Student Loan Trust, Series 2016-7A,

Class A

(LIBOR USD 1-Month plus 1.15%)

3.17%

03/25/66

^1,2

82,485

83,451

Navient Student Loan Trust, Series 2017-2A,

Class A

(LIBOR USD 1-Month plus 1.05%)

3.07%

12/27/66

^1,2

78,371

78,707

Navient Student Loan Trust, Series 2017-4A,

Class A2

(LIBOR USD 1-Month plus 0.50%)

2.52%

09/27/66

^1,2

100,000

99,850

Nelnet Student Loan Trust, Series 2014-3A,

Class A

(LIBOR USD 1-Month plus 0.58%)

2.60%

06/25/41

^1,2

18,921

18,655

North Carolina State Education Authority,

Series 2011-1, Class A3

(LIBOR USD 3-Month plus 0.90%)

3.18%

10/25/41

12,165

12,254

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(LIBOR USD 3-Month plus 0.75%)

3.01%

01/29/46

9,982

9,933

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

PHEAA Student Loan Trust, Series 2016-1A,

Class A

(LIBOR USD 1-Month plus 1.15%)

3.17%

09/25/65

^1,2

86,324

87,234

Scholar Funding Trust, Series 2011-A,

Class A

(LIBOR USD 3-Month plus 0.90%)

3.16%

10/28/43

^1,2

3,925

3,932

SLM Student Loan Trust, Series 2003-10A,

Class A3

(LIBOR USD 3-Month plus 0.47%)

2.59%

12/15/27

^1,2

60,134

60,100

SLM Student Loan Trust, Series 2003-11,

Class A6

(LIBOR USD 3-Month plus 0.55%)

2.67%

12/15/25

^1,2

60,446

60,489

SLM Student Loan Trust, Series 2004-1,

Class A4

(LIBOR USD 3-Month plus 0.26%)

2.54%

10/27/25

76,502

76,084

SLM Student Loan Trust, Series 2005-4,

Class A3

(LIBOR USD 3-Month plus 0.12%)

2.40%

01/25/27

100,600

100,540

SLM Student Loan Trust, Series 2005-5,

Class A4

(LIBOR USD 3-Month plus 0.14%)

2.42%

10/25/28

188,462

187,156

SLM Student Loan Trust, Series 2005-8,

Class A4

(LIBOR USD 3-Month plus 0.55%)

2.83%

01/25/28

44,852

44,859

SLM Student Loan Trust, Series 2007-6,

Class A4

(LIBOR USD 3-Month plus 0.38%)

2.66%

10/25/24

39,265

39,299

SLM Student Loan Trust, Series 2008-5,

Class A4

(LIBOR USD 3-Month plus 1.70%)

3.98%

07/25/23

142,944

144,401

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

3.38%

07/25/23

185,456

184,933

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)

3.78%

04/25/23

53,379

53,725

SLM Student Loan Trust, Series 2011-1,

Class A1

(LIBOR USD 1-Month plus 0.52%)

2.54%

03/25/26

24,670

24,698


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2011-2,
Class A1
(LIBOR USD 1-Month plus 0.60%)
2.62%		11/25/27	¹	$	6,823	$	6,843
SLM Student Loan Trust, Series 2012-1,
Class A3
(LIBOR USD 1-Month plus 0.95%)
2.97%		09/25/28	¹		177,557		175,645
SLM Student Loan Trust, Series 2013-4,
Class A
(LIBOR USD 1-Month plus 0.55%)
2.57%		06/25/43	¹		7,462		7,390
TCI-Flatiron CLO Ltd., Series 2016-1A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
3.52%		07/17/28	^1,2,3		35,000		35,017
Voya CLO Ltd., Series 2014-3A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.72%)
3.00%		07/25/26	^1,2,3		27,586		27,564


Total Asset-Backed Securities
(Cost $3,480,422)							3,488,796


CORPORATES — 34.85%*
Banking — 6.46%
Bank of America Corp.
2.74%		01/23/22	⁴		325,000		326,905
3.00%		12/20/23	⁴		91,000		92,984
Bank of America Corp. (GMTN)
2.37%		07/21/21	⁴		200,000		200,419
JPMorgan Chase & Co.
3.21%		04/01/23	⁴		200,000		204,969
(LIBOR USD 3-Month plus 0.68%)
2.82%		06/01/21	¹		75,000		75,184
JPMorgan Chase Bank N.A. (BKNT)
(LIBOR USD 3-Month plus 0.29%)
2.54%		02/01/21	¹		250,000		250,085
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^2,3		75,000		75,752
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,4		105,000		105,400
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		08/05/21	³		75,000		75,253
3.13%		01/08/21	³		125,000		125,864
U.S. Bank N.A. (BKNT)
3.05%		07/24/20			250,000		251,954
Wells Fargo & Co., Series N (MTN)
2.15%		01/30/20			100,000		99,975
Wells Fargo Bank N.A. (BKNT)
2.08%		09/09/22	⁴		250,000		249,343


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
2.40%		01/15/20		$	250,000	$	250,220


							2,384,307

Communications — 1.73%
AT&T, Inc.
(LIBOR USD 3-Month plus 1.18%)
3.31%		06/12/24	¹		175,000		178,399
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.38%		06/01/29	²		14,000		14,945
Comcast Corp.
3.45%		10/01/21			60,000		61,809
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		20,000		18,758
9.75%		07/15/25	^2,3		7,000		7,347
Level 3 Financing, Inc.
4.63%		09/15/27	²		8,000		8,092
5.38%		05/01/25			12,000		12,435
Sprint Communications, Inc.
7.00%		03/01/20	²		16,000		16,300
Sprint Corp.
7.63%		03/01/26			3,000		3,319
7.88%		09/15/23			10,000		11,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II
LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		180,000		181,125
Vodafone Group PLC (United Kingdom)
(LIBOR USD 3-Month plus 0.99%)
3.31%		01/16/24	^1,3		125,000		126,158


							639,687

Consumer Discretionary — 0.82%
Anheuser-Busch InBev Worldwide, Inc.
6.88%		11/15/19			75,000		75,396
BAT Capital Corp.
2.76%		08/15/22			125,000		126,148
Constellation Brands, Inc.
2.00%		11/07/19			50,000		49,980
(LIBOR USD 3-Month plus 0.70%)
2.86%		11/15/21	¹		50,000		50,001


							301,525

Electric — 2.00%
Dominion Energy, Inc., Series B
2.75%		09/15/22			150,000		151,567
DTE Energy Co.
2.40%		12/01/19			50,000		50,005
Duquesne Light Holdings, Inc.
6.40%		09/15/20	²		100,000		103,438


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Evergy, Inc.
4.85%		06/01/21		$	100,000	$	103,460
NextEra Energy Capital Holdings, Inc.
2.40%		09/01/21			30,000		30,199
(LIBOR USD 3-Month plus 0.48%)
2.77%		05/04/21	¹		55,000		55,101
(LIBOR USD 3-Month plus 0.55%)
2.69%		08/28/21	¹		40,000		40,012
PNM Resources, Inc.
3.25%		03/09/21			100,000		101,174
Puget Energy, Inc.
6.50%		12/15/20			100,000		104,723


							739,679

Energy — 0.88%
Antero Resources Corp.
5.00%		03/01/25			28,000		22,917
5.13%		12/01/22			11,000		9,721
5.63%		06/01/23			15,000		12,956
Energy Transfer Operating LP
5.50%		06/01/27			12,000		13,596
NGPL Pipe Co. LLC
4.38%		08/15/22	²		100,000		103,725
Rockies Express Pipeline LLC
5.63%		04/15/20	²		120,000		121,950
Targa Resources Partners LP/Targa Resources
Partners Finance Corp.
6.88%		01/15/29	²		4,000		4,380
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^2,3		15,750		16,537
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^2,3		5,340		5,447
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^2,3		6,000		6,270
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^2,3		3,000		3,060
USA Compression Partners LP/USA Compression
Finance Corp.
6.88%		09/01/27	²		5,000		5,188


							325,747

Finance — 8.61%
AerCap Ireland Capital DAC/AerCap Global Aviation
Trust (Ireland)
4.45%		12/16/21	³		150,000		156,018
Air Lease Corp.
2.25%		01/15/23			75,000		74,695
3.50%		01/15/22			65,000		66,689


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
BMW U.S. Capital LLC
(LIBOR USD 3-Month plus 0.38%)
2.42%		04/06/20	^1,2	$	60,000	$	60,108
Citibank N.A. (BKNT)
3.40%		07/23/21			100,000		102,377
Citigroup, Inc.
2.40%		02/18/20			40,000		40,038
2.88%		07/24/23	⁴		225,000		228,156
(LIBOR USD 3-Month plus 0.95%)
3.23%		07/24/23	¹		30,000		30,129
Daimler Finance North America LLC
1.75%		10/30/19	²		50,000		49,984
(LIBOR USD 3-Month plus 0.90%)
3.06%		02/15/22	^1,2		150,000		150,827
Ford Motor Credit Co. LLC
2.46%		03/27/20			50,000		49,948
3.20%		01/15/21			160,000		160,390
5.75%		02/01/21			75,000		77,604
5.88%		08/02/21			50,000		52,388
(LIBOR USD 3-Month plus 0.79%)
2.92%		06/12/20	¹		15,000		14,975
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	³		420,000		418,950
General Motors Financial Co., Inc.
2.35%		10/04/19			50,000		50,000
4.38%		09/25/21			125,000		129,179
Goldman Sachs Group, Inc. (The)
2.55%		10/23/19			175,000		175,038
2.88%		10/31/22	⁴		170,000		171,963
Goldman Sachs Group, Inc. (The) (MTN)
(LIBOR USD 3-Month plus 1.60%)
3.72%		11/29/23	¹		75,000		77,216
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
3.21%		07/22/22	¹		200,000		201,568
Morgan Stanley (GMTN)
5.50%		01/26/20			150,000		151,597
5.50%		07/24/20			100,000		102,710
(LIBOR USD 3-Month plus 0.55%)
2.73%		02/10/21	¹		50,000		50,048
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,4		75,000		76,495
4.36%		08/01/24	^2,3,4		75,000		78,809
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^2,3		175,000		181,792


							3,179,691


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food — 1.30%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.50%)
2.62%		03/16/20	¹	$	50,000	$	50,009
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
2.51%		10/09/20	¹		60,000		60,004
Danone SA (France)
1.69%		10/30/19	^2,3		50,000		49,977
Mondelez International Holdings
Netherlands BV (Netherlands)
1.63%		10/28/19	^2,3		50,000		49,977
2.00%		10/28/21	^2,3		100,000		99,828
Post Holdings, Inc.
5.50%		12/15/29	²		18,000		18,833
Smithfield Foods, Inc.
2.70%		01/31/20	²		100,000		99,625
Tyson Foods, Inc.
(LIBOR USD 3-Month plus 0.45%)
2.60%		08/21/20	¹		50,000		49,984


							478,237

Gaming — 0.06%
Churchill Downs, Inc.
4.75%		01/15/28	²		10,000		10,300
5.50%		04/01/27	²		10,000		10,599


							20,899

Health Care — 3.77%
AbbVie, Inc.
3.75%		11/14/23			125,000		131,541
Allergan Funding SCS (Luxembourg)
3.45%		03/15/22	³		50,000		51,256
Allergan Sales LLC
5.00%		12/15/21	²		40,000		42,037
Anthem, Inc.
3.70%		08/15/21			175,000		179,274
Bausch Health Americas, Inc.
9.25%		04/01/26	²		5,000		5,700
Bausch Health Cos., Inc. (Canada)
5.75%		08/15/27	^2,3		10,000		10,833
Bayer U.S. Finance II LLC
2.75%		07/15/21	²		90,000		90,433
Bayer U.S. Finance LLC
2.38%		10/08/19	²		35,000		35,000
Becton Dickinson and Co.
2.68%		12/15/19			14,000		14,027
3.25%		11/12/20			100,000		100,994


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Bristol-Myers Squibb Co.
(LIBOR USD 3-Month plus 0.20%)
2.37%		11/16/20	^1,2	$	150,000	$	150,123
Centene Corp.
5.38%		06/01/26	²		5,000		5,225
5.63%		02/15/21			10,000		10,147
CHS/Community Health Systems, Inc.
8.00%		03/15/26	²		4,000		4,010
8.63%		01/15/24	²		3,000		3,120
Cigna Corp., Series WI
(LIBOR USD 3-Month plus 0.65%)
2.79%		09/17/21	¹		100,000		100,004
CVS Health Corp.
4.00%		12/05/23			125,000		132,999
(LIBOR USD 3-Month plus 0.72%)
2.82%		03/09/21	¹		32,000		32,163
Encompass Health Corp.
4.75%		02/01/30			20,000		20,258
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	²		100,000		106,743
HCA, Inc.
5.00%		03/15/24			5,000		5,465
5.88%		02/01/29			7,000		7,871
Hologic, Inc.
4.63%		02/01/28	²		2,000		2,067
Humana, Inc.
2.63%		10/01/19			50,000		50,000
Tenet Healthcare Corp.
4.63%		07/15/24			10,000		10,315
4.88%		01/01/26	²		14,000		14,385
5.13%		11/01/27	²		24,000		24,830
WellCare Health Plans, Inc.
5.38%		08/15/26	²		10,000		10,688
Zimmer Biomet Holdings, Inc.
(LIBOR USD 3-Month plus 0.75%)
2.91%		03/19/21	¹		40,000		40,001


							1,391,509

Industrials — 1.12%
BAE Systems Holdings, Inc.
2.85%		12/15/20	²		100,000		100,400
Berry Global, Inc.
4.88%		07/15/26	²		6,000		6,217
General Electric Co. (GMTN)
5.50%		01/08/20			50,000		50,394
General Electric Co. (MTN)
5.55%		05/04/20			45,000		45,807
(LIBOR USD 3-Month plus 0.38%)
2.67%		05/05/26	¹		30,000		27,019


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
(LIBOR USD 3-Month plus 0.48%)
2.64%		08/15/36	¹	$	75,000	$	54,658
General Electric Co., Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
3.30%		04/15/23	¹		50,000		49,253
Matthews International Corp.
5.25%		12/01/25	²		6,000		5,700
United Technologies Corp.
(LIBOR USD 3-Month plus 0.65%)
2.82%		08/16/21	¹		75,000		75,007


							414,455

Information Technology — 1.06%
Analog Devices, Inc.
2.85%		03/12/20			40,000		40,150
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%		01/15/20			55,000		55,003
Broadcom, Inc.
3.13%		04/15/21	²		125,000		126,236
NXP BV/NXP Funding LLC (Netherlands)
4.13%		06/01/21	^2,3		150,000		153,966
SS&C Technologies, Inc.
5.50%		09/30/27	²		17,000		17,797


							393,152

Insurance — 0.08%
Allstate Corp. (The)
(LIBOR USD 3-Month plus 0.43%)
2.53%		03/29/21	¹		30,000		30,038


Materials — 0.55%
Georgia-Pacific LLC
2.54%		11/15/19	²		50,000		50,008
5.40%		11/01/20	²		50,000		51,659
International Flavors & Fragrances, Inc.
3.40%		09/25/20			100,000		101,190


							202,857

Real Estate Investment Trust (REIT) — 4.08%
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			90,000		90,931
Boston Properties LP
4.13%		05/15/21			150,000		153,441
Camden Property Trust
2.95%		12/15/22			55,000		56,199
CubeSmart LP
4.80%		07/15/22			75,000		79,361


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Essex Portfolio LP
3.63%		08/15/22		$	100,000	$	103,510
5.20%		03/15/21			50,000		51,744
GLP Capital LP/GLP Financing II, Inc.
4.38%		04/15/21			85,000		87,081
5.38%		11/01/23			85,000		92,267
Healthcare Realty Trust, Inc.
3.75%		04/15/23			150,000		154,993
Kimco Realty Corp.
3.40%		11/01/22			100,000		103,440
Liberty Property LP
4.75%		10/01/20			125,000		128,217
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.50%		01/15/28			6,000		6,255
National Retail Properties, Inc.
3.80%		10/15/22			75,000		78,034
Reckson Operating Partnership LP
7.75%		03/15/20			63,000		64,512
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
3.15%		08/16/21	¹		100,000		100,017
WEA Finance LLC
3.15%		04/05/22	²		50,000		51,030
Welltower, Inc.
3.75%		03/15/23			100,000		104,757


							1,505,789

Retail — 0.59%
Alimentation Couche-Tard, Inc. (Canada)
2.35%		12/13/19	^2,3		50,000		50,008
2.70%		07/26/22	^2,3		30,000		30,211
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.00%		04/17/20	¹		55,000		55,010
eG Global Finance PLC (United Kingdom)
6.75%		02/07/25	^2,3		13,000		12,740
Rite Aid Corp.
6.13%		04/01/23	²		32,000		25,507
Walgreens Boots Alliance, Inc.
2.70%		11/18/19			45,000		45,008


							218,484

Services — 0.38%
IHS Markit Ltd. (Bermuda)
5.00%		11/01/22	^2,3		35,000		37,329
Total System Services, Inc.
3.80%		04/01/21			100,000		102,129


							139,458


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 1.36%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23		$	173,813	$	182,428
Aviation Capital Group LLC
(LIBOR USD 3-Month plus 0.95%)
3.08%		06/01/21	^1,2		100,000		100,383
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			28,081		28,623
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%		04/02/21			15,095		15,636
Delta Air Lines Pass-Through Trust,
Series 2009-1, Class A
7.75%		12/17/19			96,919		97,944
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21			22,849		23,969
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			47,708		53,302


							502,285

Total Corporates
(Cost $12,772,914)							12,867,799


MORTGAGE-BACKED — 29.69%**
Non-Agency Commercial
Mortgage-Backed — 8.15%
1345 Avenue of the Americas & Park Avenue
Plaza Trust, Series 2005-1, Class A3
5.28%		08/10/35	²		50,000		55,628
Bear Stearns Commercial Mortgage
Securities Trust, Series 2005-PWR9,
Class D
5.07%		09/11/42	⁴		100,000		101,715
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class AAB
2.61%		09/10/45			83,072		83,608
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class AAB
2.69%		04/10/46			89,882		90,601
Citigroup Commercial Mortgage Trust,
Series 2015-GC29, Class AAB
2.98%		04/10/48			90,000		92,225
Commercial Mortgage Pass-Through
Certificates, Series 2014-CR14,
Class XA (IO)
0.76%		02/10/47	⁴		2,489,194		57,012
Commercial Mortgage Trust,
Series 2006-GG7, Class AM
5.83%		07/10/38	⁴		8,961		9,022


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.91%		10/15/45	⁴	$	333,839	$	14,685
Commercial Mortgage Trust,
Series 2013-CR11, Class ASB
3.66%		08/10/50			17,244		17,751
Commercial Mortgage Trust,
Series 2013-CR13, Class XA (IO)
0.93%		11/10/46	⁴		542,278		15,274
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.37%		03/10/46	⁴		1,575,344		52,226
Commercial Mortgage Trust,
Series 2013-LC6, Class XB (IO)
0.47%		01/10/46	^2,4		1,750,000		20,939
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
1.04%		08/10/48	⁴		2,884,984		119,669
Core Industrial Trust, Series 2015-CALW,
Class A
3.04%		02/10/34	²		47,434		48,548
Core Industrial Trust, Series 2015-TEXW,
Class A
3.08%		02/10/34	²		49,625		50,750
Credit Suisse Mortgage Capital,
Series 2015-GLPB, Class A
3.64%		11/15/34	²		98,939		104,942
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		07/12/44	^2,4		359,556		368,655
DBUBS Mortgage Trust, Series 2011-LC1A,
Class A3
5.00%		11/10/46	²		78,892		80,460
Four Times Square Trust Commercial
Mortgage Pass-Through Certificates,
Series 2006-4TS, Class A
5.40%		12/13/28	²		42,029		43,710
GRACE Mortgage Trust,
Series 2014-GRCE, Class A
3.37%		06/10/28	²		40,000		40,645
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
1.47%		08/10/43	^2,4		11,214,440		80,492
GS Mortgage Securities Trust,
Series 2010-C2, Class A1
3.85%		12/10/43	²		7,248		7,299
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.81%		03/10/44	^2,4		9,880,568		66,915


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2012-GCJ7, Class A4
3.38%		05/10/45		$	72,764	$	74,039
GS Mortgage Securities Trust,
Series 2013-GC12, Class XA (IO)
1.56%		06/10/46	⁴		949,513		38,151
JPMBB Commercial Mortgage Securities
Trust, Series 2013-C17, Class XA (IO)
0.93%		01/15/47	⁴		1,742,579		48,024
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C21, Class XA (IO)
1.16%		08/15/47	⁴		197,122		7,570
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C26, Class ASB
3.29%		01/15/48			85,000		87,356
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2005-CIBC11,
Class C
5.73%		08/12/37	⁴		52,883		52,924
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C5,
Class A3
4.17%		08/15/46			37,638		38,739
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C6,
Class ASB
3.14%		05/15/45			95,592		97,091
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-C13,
Class XA (IO)
0.24%		01/15/46	⁴		9,524,112		42,677
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-LC11,
Class XA (IO)
1.40%		04/15/46	⁴		3,413,500		129,640
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2015-JP1,
Class XA (IO)
1.25%		01/15/49	^4,5,6		961,332		38,615
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO)
0.78%		09/15/39	^2,4		544,704		4,922
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C12, Class ASB
3.82%		10/15/46			46,135		47,638
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C13, Class ASB
3.56%		11/15/46			21,684		22,246
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C14, Class XA (IO)
1.16%		02/15/47	⁴		2,005,830		59,216


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C17, Class ASB
3.48%		08/15/47		$	108,347	$	111,523
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C19, Class ASB
3.33%		12/15/47			80,000		82,452
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C21, Class XA (IO)
1.04%		03/15/48	⁴		1,412,730		53,661
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C26, Class ASB
3.32%		10/15/48			80,000		82,698
Morgan Stanley Capital Barclays Bank Trust,
Series 2016-MART, Class A
2.20%		09/13/31	²		60,000		59,996
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.31%		08/10/49	^2,4,5,6		3,000,000		20,115
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class XA (IO)
0.97%		02/15/44	^2,4		1,720,510		14,022
WF-RBS Commercial Mortgage Trust,
Series 2011-C3, Class A3
4.00%		03/15/44	²		14,067		14,127
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class XA (IO)
1.88%		11/15/44	^2,4		6,027,467		159,728


							3,009,941


Non-Agency Mortgage-Backed — 9.03%
Aames Mortgage Investment Trust,
Series 2005-4, Class M2
(LIBOR USD 1-Month plus 0.74%)
2.75%		10/25/35	¹		129,252		129,435
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%		09/25/37			236,354		162,605
Ameriquest Mortgage Securities, Inc.,
Asset-Backed Pass-Through Certificates,
Series 2005-R3, Class M2
(LIBOR USD 1-Month plus 0.71%)
2.72%		05/25/35	¹		11,109		11,123
Angel Oak Mortgage Trust I LLC,
Series 2019-4, Class A1
2.99%		07/26/49	^2,4		148,888		150,193
Asset-Backed Funding Certificates,
Series 2006-OPT1, Class A2
(LIBOR USD 1-Month plus 0.14%)
2.16%		09/25/36	¹		24,509		23,974

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Banc of America Funding Trust,

Series 2006-G, Class 2A4

(LIBOR USD 1-Month plus 0.58%)

2.62%

07/20/36

44,569

44,737

Banc of America Funding Trust,

Series 2014-R7, Class 1A1

(LIBOR USD 1-Month plus 0.15%)

2.17%

05/26/36

^1,2

96,796

94,098

Banc of America Funding Trust,

Series 2015-R7, Class 1A1

(Federal Reserve US 12-Month Cumulative

Average plus 0.92%)

2.71%

09/26/46

^1,2

155,742

156,676

Bear Stearns Asset-Backed Securities Trust,

Series 2007-1, Class A2

(LIBOR USD 1-Month plus 0.28%)

2.30%

01/25/37

44,931

45,013

CIM Trust, Series 2019-R1, Class A

3.25%

10/25/58

^2,4

157,296

158,658

CIT Mortgage Loan Trust, Series 2007-1,

Class 1A

(LIBOR USD 1-Month plus 1.35%)

3.37%

10/25/37

^1,2

78,737

79,820

Citigroup Mortgage Loan Trust,

Series 2006-HE1, Class M2

(LIBOR USD 1-Month plus 0.51%)

2.53%

01/25/36

2,141

2,147

Countrywide Asset-Backed Certificates,

Series 2007-13, Class 2A1

(LIBOR USD 1-Month plus 0.90%)

2.92%

10/25/47

102,417

100,537

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-9,

Class 1A1

(LIBOR USD 1-Month plus 0.60%)

2.62%

05/25/35

70,003

61,611

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB1,

Class AF (STEP-reset date 11/25/19)

3.95%

01/25/33

11,405

11,757

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB5,

Class M1

(LIBOR USD 1-Month plus 1.02%)

3.04%

11/25/33

15,421

15,330

DSLA Mortgage Loan Trust,

Series 2004-AR3, Class 2A2A

(LIBOR USD 1-Month plus 0.74%)

2.80%

07/19/44

4,087

4,185

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

First Franklin Mortgage Loan Trust,

Series 2006-FF4, Class A3

(LIBOR USD 1-Month plus 0.28%)

2.71%

03/25/36

120,000

114,627

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

4.18%

04/19/36

⁴

105,245

99,299

HarborView Mortgage Loan Trust,

Series 2005-4, Class 2A

4.95%

07/19/35

⁴

1,324

1,207

HarborView Mortgage Loan Trust,

Series 2005-9, Class 2A1A

(LIBOR USD 1-Month plus 0.34%)

2.38%

06/20/35

109,538

109,678

HSI Asset Securitization Corp. Trust,

Series 2006-OPT1, Class 2A4

(LIBOR USD 1-Month plus 0.30%)

2.32%

12/25/35

58,901

58,507

HSI Asset Securitization Corp. Trust,

Series 2007-WF1, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

2.18%

05/25/37

140,386

136,863

IndyMac Index Mortgage Loan Trust,

Series 2004-AR5, Class 2A1A

(LIBOR USD 1-Month plus 0.86%)

2.88%

08/25/34

8,676

8,335

IndyMac Index Mortgage Loan Trust,

Series 2006-AR4, Class A1A

(LIBOR USD 1-Month plus 0.21%)

2.23%

05/25/46

132,116

125,056

IndyMac Index Mortgage Loan Trust,

Series 2007, Class AR1

3.74%

06/25/37

⁴

83,986

70,441

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH5, Class A4

(LIBOR USD 1-Month plus 0.16%)

2.18%

06/25/36

13,139

13,095

Legacy Mortgage Asset Trust,

Series 2019-GS1, Class A1

(STEP-reset date 10/25/19)

4.00%

01/25/59

161,900

164,289

Long Beach Mortgage Loan Trust,

Series 2004-4, Class 1A1

(LIBOR USD 1-Month plus 0.56%)

2.58%

10/25/34

100,360

95,691

Opteum Mortgage Acceptance Corp.

Asset-Backed Pass-Through Certificates,

Series 2005-3, Class APT

(LIBOR USD 1-Month plus 0.29%)

2.31%

07/25/35

152,911

153,358

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Option One Mortgage Loan Trust,

Series 2005-4, Class M1

(LIBOR USD 1-Month plus 0.44%)

2.46%

11/25/35

99,732

100,109

Option One Mortgage Loan Trust,

Series 2006-1, Class 1A1

(LIBOR USD 1-Month plus 0.22%)

2.24%

01/25/36

186,651

183,260

Park Place Securities, Inc., Asset-Backed

Pass-Through Certificates,

Series 2005-WCW3, Class M1

(LIBOR USD 1-Month plus 0.48%)

2.50%

08/25/35

159,539

158,708

Residential Asset Mortgage Products Trust,

Series 2004-SL1, Class A2

8.50%

11/25/31

4,097

Residential Asset Mortgage Products Trust,

Series 2005-RZ3, Class M3

(LIBOR USD 1-Month plus 0.55%)

2.57%

09/25/35

100,000

100,661

Soundview Home Loan Trust,

Series 2006-2, Class M1

(LIBOR USD 1-Month plus 0.33%)

2.35%

03/25/36

37,257

37,119

Structured Asset Mortgage Investments II

Trust, Series 2006-AR1, Class 3A1

(LIBOR USD 1-Month plus 0.23%)

2.25%

02/25/36

90,333

83,375

Terwin NIMs Trust, Series 2004-13AL,

Class 2PX (IO)

0.34%

08/25/34

^2,5,6

2,772,011

43,209

WaMu Mortgage Pass-Through Certificates,

Series 2002-AR6, Class A

(Federal Reserve US 12-Month Cumulative

Average plus 1.40%)

3.85%

06/25/42

3,259

3,253

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR8, Class 2AB2

(LIBOR USD 1-Month plus 0.84%)

2.86%

07/25/45

157,445

155,816

Wells Fargo Alternative Loan Trust,

Series 2005-2, Class M1

(LIBOR USD 1-Month plus 0.45%)

2.47%

10/25/35

40,923

41,222

Wells Fargo Mortgage-Backed Securities

Trust, Series 2003-I, Class A1

4.79%

09/25/33

⁴

18,308

18,464

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Wells Fargo Mortgage-Backed Securities

Trust, Series 2004-I, Class 1A1

4.85%

07/25/34

⁴

5,464

5,495

3,333,037

U.S. Agency Commercial

Mortgage-Backed — 10.51%

Fannie Mae-Aces, Series 2014-M2,

Class ASV2

2.78%

06/25/21

⁴

11,718

11,762

Fannie Mae-Aces, Series 2015-M4,

Class X2 (IO)

0.48%

07/25/22

⁴

11,988,426

93,084

Fannie Mae-Aces, Series 2016-M9,

Class FA

(LIBOR USD 1-Month plus 0.59%)

2.76%

09/25/23

10,362

10,356

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K031,

Class X1 (IO)

0.33%

04/25/23

⁴

8,138,645

59,676

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K036,

Class X1 (IO)

0.88%

10/25/23

⁴

5,469,832

145,633

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K044,

Class X1 (IO)

0.87%

01/25/25

⁴

1,459,178

47,000

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K052,

Class X1 (IO)

0.80%

11/25/25

⁴

931,797

32,034

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K057,

Class X1 (IO)

1.33%

07/25/26

⁴

989,848

66,099

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K093,

Class XAM (IO)

1.33%

05/25/29

⁴

330,000

34,209

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K730,

Class A1

3.45%

09/25/24

241,132

249,373

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K732,

Class X3 (IO)

2.25%

05/25/46

⁴

250,000

27,894

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial
Mortgage-Backed (continued)

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K734,

Class X1 (IO)

0.79%

02/25/26

⁴

2,799,011

101,714

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KAIV,

Class X2 (IO)

3.61%

06/25/41

⁴

250,000

13,853

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC01,

Class X1 (IO)

0.83%

12/25/22

⁴

11,642,011

122,450

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF04,

Class A

(LIBOR USD 1-Month plus 0.31%)

2.40%

06/25/21

20,175

20,163

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF05,

Class A

(LIBOR USD 1-Month plus 0.35%)

2.44%

09/25/21

1,336

1,335

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF17,

Class A

(LIBOR USD 1-Month plus 0.55%)

2.64%

03/25/23

120,337

120,562

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF19,

Class A

(LIBOR USD 1-Month plus 0.45%)

2.54%

06/25/23

197,192

197,163

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF22,

Class A

(LIBOR USD 1-Month plus 0.50%)

2.59%

07/25/23

126,192

126,339

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ03,

Class A1

1.67%

01/25/21

213,542

213,321

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ14,

Class A1

2.20%

11/25/23

308,064

310,830

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ16,

Class A1

1.97%

04/25/22

36,860

36,902

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ17,

Class A1

2.40%

10/25/24

123,251

125,298


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ20,
Class A1
3.21%		10/25/24		$	130,966	$	136,991
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ24,
Class A1
2.28%		05/25/26			149,344		150,964
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ25,
Class A1
2.15%		11/25/24			110,000		110,346
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ25,
Class A2
2.61%		01/25/26			130,000		132,758
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS05,
Class A
(LIBOR USD 1-Month plus 0.50%)
2.59%		01/25/23	¹		106,275		106,291
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS07,
Class X (IO)
0.78%		09/25/25	⁴		3,000,000		106,066
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT1
2.93%		04/25/46	⁴		155,304		157,035
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT2
2.95%		12/25/47	⁴		77,943		79,026
FRESB Mortgage Trust, Series 2015-SB3,
Class A3
(LIBOR USD 1-Month plus 0.55%)
2.64%		01/25/43	¹		56,519		56,607
FRESB Mortgage Trust, Series 2016-SB17,
Class A5F
1.86%		06/25/21	⁴		212,499		212,065
FRESB Mortgage Trust, Series 2016-SB20,
Class A5F
1.74%		07/25/21	⁴		78,578		77,924
Ginnie Mae, Series 2008-92, Class E
5.56%		03/16/44	⁴		363,923		373,240
Ginnie Mae, Series 2010-140, Class IO (IO)
0.00%		10/16/43	⁴		3,541,995		13,433


							3,879,796

U.S. Agency Mortgage-Backed — 2.00%
Fannie Mae Pool 468764
4.16%		07/01/21			100,000		103,431


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 469911
3.50%		12/01/21		$	127,368	$	131,560
Fannie Mae Pool 802665
(LIBOR USD 6-Month plus 1.74%)
4.36%		12/01/34	¹		698		709
Fannie Mae Pool AE0800
3.79%		12/01/20			34,900		35,434
Fannie Mae Pool AL0851
6.00%		10/01/40			3,751		4,321
Fannie Mae Pool AM1619
2.34%		12/01/22			61,699		62,409
Fannie Mae Pool AM4580
3.43%		10/01/23			106,421		112,341
Fannie Mae Pool AN2059
1.64%		07/01/21			84,031		83,662
Fannie Mae REMICS, Series 1997-91,
Class SL (IO)
(-2.00 X LIBOR USD 1-Month plus 16.00%, 7.50% Cap)
7.50%		11/25/23	¹		24,042		2,420
Fannie Mae REMICS, Series 2003-11,
Class FA
(LIBOR USD 1-Month plus 1.00%)
3.02%		09/25/32	¹		7,253		7,451
Fannie Mae REMICS, Series 2010-109,
Class PF
(LIBOR USD 1-Month plus 0.40%)
2.42%		10/25/40	¹		6,657		6,670
Fannie Mae REMICS, Series G-36,
Class ZB
7.00%		11/25/21			85		86
Freddie Mac REMICS, Series 2684,
Class F
(LIBOR USD 1-Month plus 0.90%)
2.93%		01/15/33	¹		7,248		7,376
Freddie Mac Strips, Series 263,
Class F5
(LIBOR USD 1-Month plus 0.50%)
2.53%		06/15/42	¹		24,125		24,196
Ginnie Mae II Pool (TBA)
4.50%		10/20/44			150,000		157,031


							739,097


Total Mortgage-Backed
(Cost $11,070,857)							10,961,871

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES — 2.53%

U.S. Treasury Notes — 2.53%

1.91%

07/31/21

$700,000

699,866

1.50%

09/15/22

235,000

234,582

934,448

Total U.S. Treasury Securities

(Cost $934,222)

934,448

Total Bonds – 76.52%

(Cost $28,258,415)

28,252,914

Issues

Shares

Value

MUTUAL FUNDS — 7.80%

Mutual Funds — 7.80%

iShares Core S&P 500 ETF

3,845

1,147,809

SPDR S&P 500 ETF Trust⁷

5,840

1,733,137

2,880,946

Total Mutual Funds

(Cost $2,908,679)

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 15.26%

Foreign Government Obligations — 2.73%

Japan Treasury Discount Bill, Series 864

(Japan)

0.00%⁸

10/21/19³

109,100,000

1,009,572

Money Market Funds — 3.32%

Dreyfus Government Cash Management

Fund

1.81%⁹

1,225,000

U.S. Treasury Bills — 9.21%

U.S. Treasury Bills

1.89%^8,10

12/26/19

1,462,000

1,455,783

2.00%⁸

01/16/20

1,000,000

994,697

2.27%⁸

10/10/19

950,000

949,581

3,400,061

Total Short-Term Investments

(Cost $5,628,160)

5,634,633


Issues	Value
Total Investments – 99.58%
(Cost $36,795,254)	$	36,768,493


Cash and Other Assets, Less
Liabilities – 0.42%		153,426


Net Assets – 100.00%	$	36,921,919

¹	Floating rate security. The rate disclosed was in effect at September 30, 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	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 $101,939, which is 0.28% of total net assets.

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 September 30, 2019.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,455,713.

*	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

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(S&P): Standard and Poor’s

(SPDR): Standard and Poor’s Depositary Receipts

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 98.28%
CORPORATES — 82.35%*
Banking — 6.65%
Bank of America Corp.
3.00%		12/20/23	¹	$	5,000	$	5,109
Bank of America Corp. (MTN)
3.97%		03/05/29	¹		20,000		21,668
4.27%		07/23/29	¹		15,000		16,686
Bank of New York Mellon Corp. (The) (MTN)
3.25%		09/11/24			5,000		5,241
Discover Bank (BKNT)
4.20%		08/08/23			10,000		10,637
JPMorgan Chase & Co.
4.01%		04/23/29	¹		20,000		21,881
4.20%		07/23/29	¹		15,000		16,637
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^1,2		10,000		10,038
Santander UK Group Holdings PLC
(United Kingdom)
3.57%		01/10/23	²		5,000		5,074
4.80%		11/15/24	^1,2		5,000		5,359
State Street Corp.
3.78%		12/03/24	¹		5,000		5,291
Wells Fargo & Co. (MTN)
3.55%		09/29/25			10,000		10,583
3.58%		05/22/28	¹		20,000		21,225


							155,429

Communications — 9.42%
AT&T, Inc.
3.88%		01/15/26			11,000		11,679
4.35%		06/15/45			40,000		42,167
Charter Communications Operating LLC/
Charter Communications Operating Capital
5.38%		05/01/47			15,000		16,385
Comcast Corp.
3.97%		11/01/47			10,000		10,972
4.00%		11/01/49			15,000		16,686
4.70%		10/15/48			8,000		9,810
Fox Corp.
4.71%		01/25/29	³		3,000		3,429
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	²		5,000		6,761
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	³		10,000		10,399
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II
LLC/Sprint Spectrum Co. III LLC
5.15%		03/20/28	³		10,000		10,875
Time Warner Cable LLC
5.50%		09/01/41			3,000		3,237


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Verizon Communications, Inc.
4.02%		12/03/29		$	45,000	$	50,051
Viacom, Inc.
3.88%		04/01/24			6,000		6,300
Vodafone Group PLC (United Kingdom)
4.88%		06/19/49	²		6,000		6,708
5.25%		05/30/48	²		3,000		3,483
Walt Disney Co. (The)
6.20%		12/15/34	³		8,000		11,395


							220,337

Consumer Discretionary — 3.39%
Altria Group, Inc.
5.38%		01/31/44			5,000		5,566
Anheuser-Busch InBev Worldwide, Inc.
4.60%		04/15/48			20,000		23,145
4.75%		01/23/29			5,000		5,816
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3		8,000		8,745
BAT Capital Corp.
3.56%		08/15/27			5,000		5,040
4.54%		08/15/47			5,000		4,805
Constellation Brands, Inc.
(LIBOR USD 3-Month plus 0.70%)
2.86%		11/15/21	⁴		10,000		10,000
Pernod Ricard SA (France)
4.45%		01/15/22	^2,3		5,000		5,247
Reynolds American, Inc.
4.45%		06/12/25			5,000		5,337
5.85%		08/15/45			5,000		5,541


							79,242

Electric — 10.25%
Appalachian Power Co.
4.45%		06/01/45			10,000		11,759
Consolidated Edison Co. of New York, Inc.
3.88%		06/15/47			10,000		10,895
Duke Energy Carolinas LLC
3.75%		06/01/45			40,000		42,952
Duquesne Light Holdings, Inc.
5.90%		12/01/21	³		2,000		2,127
6.40%		09/15/20	³		8,000		8,275
Evergy, Inc.
2.45%		09/15/24			5,000		5,002
Florida Power & Light Co.
4.13%		02/01/42			15,000		17,321
ITC Holdings Corp.
4.05%		07/01/23			10,000		10,532


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Kansas City Power & Light Co.
3.15%		03/15/23		$	5,000	$	5,169
Metropolitan Edison Co.
4.00%		04/15/25	³		9,000		9,559
4.30%		01/15/29	³		4,000		4,523
MidAmerican Energy Co.
4.25%		05/01/46			10,000		11,841
Northern States Power Co./MN
4.13%		05/15/44			10,000		11,581
PacifiCorp.
4.13%		01/15/49			30,000		34,833
PNM Resources, Inc.
3.25%		03/09/21			10,000		10,117
Public Service Co. of New Mexico
3.85%		08/01/25			5,000		5,218
Tucson Electric Power Co.
3.85%		03/15/23			10,000		10,361
Virginia Electric & Power Co., Series B
3.80%		09/15/47			20,000		21,639
Vistra Operations Co. LLC
3.55%		07/15/24	³		6,000		6,064


							239,768

Energy — 10.38%
Enbridge Energy Partners LP
5.50%		09/15/40			10,000		11,862
Energy Transfer Operating LP
4.95%		06/15/28			15,000		16,499
EQM Midstream Partners LP
6.50%		07/15/48			8,000		7,754
EQT Corp.
3.90%		10/01/27			5,000		4,338
Hess Corp.
4.30%		04/01/27			18,000		18,828
KeySpan Gas East Corp.
5.82%		04/01/41	³		15,000		20,019
Kinder Morgan Energy Partners LP (MTN)
6.95%		01/15/38			15,000		19,684
Occidental Petroleum Corp.
3.50%		08/15/29			5,000		5,075
Petroleos Mexicanos (Mexico)
6.50%		01/23/29	²		10,000		10,170
7.69%		01/23/50	^2,3		5,000		5,217
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25			10,000		10,693
Rockies Express Pipeline LLC
5.63%		04/15/20	³		6,000		6,097


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Ruby Pipeline LLC
6.00%		04/01/22	³	$	7,879	$	8,194
Sabine Pass Liquefaction LLC
4.20%		03/15/28			3,000		3,178
5.75%		05/15/24			10,000		11,136
Southern Co. Gas Capital Corp.
2.45%		10/01/23			13,000		13,061
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			6,000		6,556
Targa Resources Partners LP/Targa Resources
Partners Finance Corp.
6.88%		01/15/29	³		5,000		5,475
TC PipeLines LP
3.90%		05/25/27			15,000		15,617
Texas Eastern Transmission LP
2.80%		10/15/22	³		10,000		10,085
TransCanada PipeLines Ltd. (Canada)
5.00%		10/16/43	²		15,000		17,366
Williams Cos., Inc. (The)
3.70%		01/15/23			7,000		7,243
4.55%		06/24/24			8,000		8,602


							242,749

Finance — 9.53%
AerCap Ireland Capital DAC/AerCap Global Aviation
Trust (Ireland)
3.88%		01/23/28	²		14,000		14,446
Air Lease Corp.
3.63%		12/01/27			14,000		14,408
Citigroup, Inc.
2.88%		07/24/23	¹		5,000		5,070
3.14%		01/24/23	¹		10,000		10,187
3.67%		07/24/28	¹		20,000		21,199
Ford Motor Credit Co. LLC
5.88%		08/02/21			20,000		20,955
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	²		5,000		4,987
4.42%		11/15/35	²		23,000		24,110
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	¹		10,000		10,115
3.50%		11/16/26			5,000		5,198
4.22%		05/01/29	¹		20,000		21,837
Morgan Stanley (GMTN)
3.70%		10/23/24			5,000		5,295
3.77%		01/24/29	¹		20,000		21,392
Morgan Stanley, Series F
3.88%		04/29/24			10,000		10,645
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,2,3		5,000		5,137


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%		02/15/24	^2,3	$	5,000	$	5,408
Pipeline Funding Co. LLC
7.50%		01/15/30	³		9,309		12,024
Raymond James Financial, Inc.
3.63%		09/15/26			10,000		10,470


							222,883

Food — 1.61%
Conagra Brands, Inc.
4.60%		11/01/25			6,000		6,603
Kraft Heinz Foods Co.
3.75%		04/01/30	³		5,000		5,051
4.38%		06/01/46			10,000		9,463
Kroger Co. (The)
4.50%		01/15/29			5,000		5,584
Smithfield Foods, Inc.
5.20%		04/01/29	³		5,000		5,507
Tyson Foods, Inc.
4.00%		03/01/26			5,000		5,428


							37,636

Health Care — 11.44%
AbbVie, Inc.
4.40%		11/06/42			20,000		20,714
Alcon Finance Corp.
3.00%		09/23/29	³		10,000		10,118
Allergan Funding SCS (Luxembourg)
3.80%		03/15/25	²		5,000		5,230
4.55%		03/15/35	²		10,000		10,632
Amgen, Inc.
4.40%		05/01/45			15,000		16,978
Anthem, Inc.
4.38%		12/01/47			10,000		10,812
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	²		10,000		10,519
Barnabas Health, Inc.
4.00%		07/01/28			5,000		5,497
Bayer U.S. Finance II LLC
4.38%		12/15/28	³		10,000		10,788
Becton Dickinson and Co.
2.89%		06/06/22			10,000		10,139
Celgene Corp.
3.90%		02/20/28			13,000		14,251
Cigna Corp.
4.38%		10/15/28			5,000		5,473
4.90%		12/15/48			15,000		17,231


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
CVS Health Corp.
4.00%		12/05/23		$	22,000	$	23,408
4.30%		03/25/28			5,000		5,411
5.05%		03/25/48			5,000		5,684
Elanco Animal Health, Inc.
4.90%		08/28/28			10,000		10,925
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	³		5,000		5,106
HCA, Inc.
4.13%		06/15/29			5,000		5,269
5.00%		03/15/24			4,000		4,372
Kaiser Foundation Hospitals
3.15%		05/01/27			10,000		10,542
Pfizer, Inc.
4.10%		09/15/38			10,000		11,438
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26			10,000		10,070
Quest Diagnostics, Inc.
4.20%		06/30/29			5,000		5,527
UnitedHealth Group, Inc.
4.25%		04/15/47			15,000		17,062
WellCare Health Plans, Inc.
5.38%		08/15/26	³		4,000		4,275


							267,471

Industrials — 2.55%
Amcor Finance USA, Inc.
3.63%		04/28/26	³		10,000		10,398
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.38%)
2.67%		05/05/26	⁴		10,000		9,006
Ingersoll-Rand Luxembourg Finance SA (Luxembourg)
3.55%		11/01/24	²		5,000		5,210
L3Harris Technologies, Inc.
3.85%		06/15/23	³		10,000		10,552
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.63%		04/28/26	^2,3		5,000		5,225
United Technologies Corp.
4.13%		11/16/28			12,000		13,588
WRKCo, Inc.
4.90%		03/15/29			5,000		5,663


							59,642

Insurance — 4.16%
Aon Corp.
3.75%		05/02/29			5,000		5,339
Berkshire Hathaway Finance Corp.
4.20%		08/15/48			20,000		23,433


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Farmers Insurance Exchange
4.75%		11/01/57	^1,3	$	20,000	$	21,033
Nationwide Mutual Insurance Co.
4.41%		12/15/24	^1,3		10,000		9,963
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^1,3		20,000		21,000
Travelers Cos., Inc. (The)
4.05%		03/07/48			10,000		11,568
Willis North America, Inc.
2.95%		09/15/29			5,000		4,932


							97,268

Materials — 0.23%
International Flavors & Fragrances, Inc.
4.45%		09/26/28			5,000		5,527


Real Estate Investment Trust (REIT) — 7.34%
Alexandria Real Estate Equities, Inc.
4.50%		07/30/29			6,000		6,789
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			5,000		5,052
3.63%		11/15/27			5,000		5,270
Boston Properties LP
2.75%		10/01/26			10,000		10,098
CC Holdings GS V LLC/Crown Castle
GS III Corp.
3.85%		04/15/23			10,000		10,516
CubeSmart LP
4.38%		02/15/29			5,000		5,511
Digital Realty Trust LP
3.63%		10/01/22			5,000		5,178
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30			5,000		5,048
4.38%		04/15/21			10,000		10,245
HCP, Inc.
3.88%		08/15/24			10,000		10,670
Healthcare Realty Trust, Inc.
3.75%		04/15/23			5,000		5,166
Healthcare Trust of America Holdings LP
3.70%		04/15/23			5,000		5,171
Highwoods Realty LP
3.20%		06/15/21			5,000		5,068
Host Hotels & Resorts LP
5.25%		03/15/22			5,000		5,339
6.00%		10/01/21			5,000		5,325
Hudson Pacific Properties LP
3.95%		11/01/27			5,000		5,248


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Kilroy Realty LP
3.45%		12/15/24		$	10,000	$	10,417
Liberty Property LP
3.38%		06/15/23			10,000		10,333
National Retail Properties, Inc.
3.80%		10/15/22			5,000		5,202
Realty Income Corp.
3.25%		10/15/22			10,000		10,323
SL Green Realty Corp.
4.50%		12/01/22			8,000		8,426
UDR, Inc. (MTN)
4.63%		01/10/22			5,000		5,231
Ventas Realty LP
4.13%		01/15/26			10,000		10,822
VEREIT Operating Partnership LP
4.13%		06/01/21			5,000		5,133


							171,581

Retail — 1.37%
Family Dollar Stores, Inc.
5.00%		02/01/21			5,000		5,153
Home Depot, Inc. (The)
3.90%		12/06/28			5,000		5,612
Lowe’s Cos., Inc.
3.65%		04/05/29			5,000		5,347
Starbucks Corp.
3.80%		08/15/25			5,000		5,415
Walgreens Boots Alliance, Inc.
4.80%		11/18/44			10,000		10,566


							32,093

Services — 1.38%
Global Payments, Inc.
3.20%		08/15/29			5,000		5,081
IHS Markit Ltd. (Bermuda)
4.75%		08/01/28	²		5,000		5,583
5.00%		11/01/22	^2,3		5,000		5,333
RELX Capital, Inc.
4.00%		03/18/29			10,000		10,924
Waste Management, Inc.
3.20%		06/15/26			5,000		5,277


							32,198

Transportation — 2.19%
Burlington Northern Santa Fe LLC
4.40%		03/15/42			8,000		9,404
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			28,838		32,501

Issues

Maturity
Date

Principal
Amount

Value

CORPORATES (continued)

Transportation (continued)

United Airlines Pass-Through Trust,

Series 2016-2, Class AA

2.88%

10/07/28

9,207

9,307

51,212

Water — 0.46%

American Water Capital Corp.

3.45%

06/01/29

10,000

10,674

Total Corporates

(Cost $1,762,549)

1,925,710

MORTGAGE-BACKED — 14.75%**

Non-Agency Commercial

Mortgage-Backed — 8.81%

Commercial Mortgage Pass-Through

Certificates, Series 2014-CR14,

Class XA (IO)

0.76%

02/10/47

1,532,913

35,110

Commercial Mortgage Trust,

Series 2012-CR5, Class XA (IO)

1.67%

12/10/45

417,642

17,565

Commercial Mortgage Trust,

Series 2014-UBS5, Class XA (IO)

1.04%

09/10/47

^1,5,6

643,947

21,520

Commercial Mortgage Trust,

Series 2014-UBS6, Class XA (IO)

1.07%

12/10/47

511,485

18,352

Credit Suisse Mortgage Capital,

Series 2015-GLPA, Class XA (IO)

0.40%

11/15/37

^1,3

827,205

12,111

GS Mortgage Securities Trust,

Series 2010-C1, Class X (IO)

1.47%

08/10/43

^1,3

2,079,716

14,927

GS Mortgage Securities Trust,

Series 2011-GC3, Class X (IO)

0.81%

03/10/44

^1,3

2,470,142

16,729

JPMBB Commercial Mortgage Securities

Trust, Series 2014-C26, Class XA (IO)

1.15%

01/15/48

783,508

29,704

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2011-C3,

Class XA (IO)

1.14%

02/15/46

^1,3

1,066,502

11,241

Morgan Stanley Bank of America Merrill

Lynch Trust, Series 2012-C5,

Class XA (IO)

1.60%

08/15/45

^1,3

252,148

7,863

Morgan Stanley Bank of America Merrill

Lynch Trust, Series 2012-C6,

Class XA (IO)

1.77%

11/15/45

^1,3,5,6

158,635

6,184

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial

Mortgage-Backed (continued)

UBS-Barclays Commercial Mortgage Trust,

Series 2012-C3, Class XB (IO)

0.31%

08/10/49

^1,3,5,6

2,200,000

14,751

206,057

U.S. Agency Commercial

Mortgage-Backed — 1.44%

Fannie Mae-Aces, Series 2015-M4,

Class X2 (IO)

0.48%

07/25/22

544,617

4,229

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K007,

Class X1 (IO)

1.20%

04/25/20

1,827,521

1,353

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K712,

Class X1 (IO)

1.37%

11/25/19

1,077,907

Ginnie Mae, Series 2009-111, Class IO (IO)

0.22%

09/16/51

596,019

28,064

33,735

U.S. Agency Mortgage-Backed — 4.50%

Fannie Mae REMICS, Series 2012-128,

Class UA

2.50%

06/25/42

37,485

37,941

Freddie Mac REMICS, Series 4638,

Class UF

(LIBOR USD 1-Month plus 1.00%)

3.03%

09/15/44

⁴

66,553

67,197

105,138

Total Mortgage-Backed

(Cost $373,601)

344,930

MUNICIPAL BONDS — 1.04%*

California — 0.80%

Los Angeles Department of Water & Power

Power System Revenue, Build America

Taxable Bonds, Water Utility Improvements,

Series SY

6.01%

07/01/39

5,000

6,673

Los Angeles Unified School District, Build

America Taxable Bonds, School

Improvements, Series KR

5.76%

07/01/29

5,000

6,147

University of California, Taxable, College &

University, Revenue Bonds, University &

College Improvements, Series AJ

4.60%

05/15/31

5,000

5,882

18,702

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

New York — 0.24%

New York City Transitional Finance Authority

Future Tax Secured Revenue, Taxable

Bonds, Public Improvements

3.73%

08/01/29

5,000

5,555

Total Municipal Bonds

(Cost $22,481)

24,257

U.S. TREASURY SECURITIES — 0.14%

U.S. Treasury Bonds — 0.14%

U.S. Treasury Bonds

2.88%

05/15/49

2,000

2,333

U.S. Treasury Bonds (WI)

2.25%

08/15/49

1,000

1,029

3,362

Total U.S. Treasury Securities

(Cost $3,130)

3,362

Total Bonds – 98.28%

(Cost $2,161,761)

2,298,259

Issues

Maturity
Date

Principal
Amount

Value

SHORT-TERM INVESTMENTS — 0.64%

U.S. Treasury Bills — 0.64%

U.S. Treasury Bills

1.90%^7,8

12/26/19

15,000

14,936

Total Short-Term Investments

(Cost $14,932)


	Value

Total Investments – 98.92%
(Cost $2,176,693)	$	2,313,195


Cash and Other Assets, Less
Liabilities – 1.08%		25,211


Net Assets – 100.00%	$	2,338,406

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 September 30, 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 $42,455, which is 1.82% of total net assets.

⁷	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $14,936.

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.

(BKNT): Banker’s Note, Inc.

(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 – 93.37%

ASSET-BACKED SECURITIES — 9.10%**

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

Class A1LR (Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

3.53%

07/25/29

^1,2,3

10,000

10,011

BlueMountain CLO Ltd., Series 2013-2A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.18%)

3.46%

10/22/30

^1,2,3

40,000

40,024

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.20%

04/15/29

^1,2,3

40,000

39,930

Dryden XXVIII Senior Loan Fund,

Series 2013-28A, Class A1LR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

3.36%

08/15/30

^1,2,3

10,000

10,008

Galaxy XXIX CLO Ltd., Series 2018-29A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 0.79%)

2.95%

11/15/26

^1,2,3

38,695

38,712

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

2.67%

08/27/46

^2,3

68,368

65,228

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

54,256

58,771

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

55,060

58,975

Madison Park Funding XXX Ltd.,

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

(LIBOR USD 3-Month plus 0.75%)

3.05%

04/15/29

^1,2,3

40,000

39,727

Nelnet Student Loan Trust, Series 2015-3A,

Class A3

(LIBOR USD 1-Month plus 0.90%)

2.92%

06/25/54

^2,3

100,000

98,262

Neuberger Berman CLO XVI-S Ltd.,

Series 2017-16SA, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.15%

01/15/28

^1,2,3

10,000

9,995

Palmer Square Loan Funding Ltd.,

Series 2019-4A, Class A1 (Cayman Islands)

(1.00 X LIBOR USD 3-Month plus 0.90%)

0.00%

10/24/27

^1,2,3

40,000

40,002

PHEAA Student Loan Trust, Series 2014-3A,

Class A

(LIBOR USD 1-Month plus 0.59%)

2.61%

08/25/40

^2,3

54,354

53,975


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2004-1,
Class B
(LIBOR USD 3-Month plus 0.50%)
2.78%		07/25/39	²	$	76,122	$	72,195
SLM Student Loan Trust, Series 2008-7,
Class B
(LIBOR USD 3-Month plus 1.85%)
4.13%		07/26/83	²		10,000		9,964
TCI-Flatiron CLO Ltd., Series 2016-1A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
3.52%		07/17/28	^1,2,3		10,000		10,005


Total Asset-Backed Securities
(Cost $640,303)							655,784


CORPORATES — 28.74%*
Banking — 1.86%
Bank of America Corp.
3.00%		12/20/23	⁴		15,000		15,327
Bank of New York Mellon Corp. (The) (MTN)
3.25%		09/11/24			5,000		5,241
JPMorgan Chase & Co.
(LIBOR USD 3-Month plus 1.00%)
3.30%		01/15/23	²		10,000		10,084
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^1,3		5,000		5,050
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^1,4		30,000		30,114
Santander UK Group Holdings PLC
(United Kingdom)
4.80%		11/15/24	^1,4		35,000		37,514
Wells Fargo & Co.
(LIBOR USD 3-Month plus 1.23%)
3.49%		10/31/23	²		30,000		30,535


							133,865

Communications — 3.68%
AT&T, Inc.
4.35%		06/15/45			55,000		57,980
Charter Communications Operating LLC/
Charter Communications Operating Capital
4.91%		07/23/25			8,000		8,771
6.48%		10/23/45			25,000		30,476
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	¹		18,000		16,882
9.75%		07/15/25	^1,3		35,000		36,733
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	¹		5,000		6,761
Sprint Corp.
7.63%		03/01/26			16,000		17,700


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	$	70,000	$	76,125
Viacom, Inc.
3.88%		04/01/24			8,000		8,400
Vodafone Group PLC (United Kingdom)
4.38%		05/30/28	¹		5,000		5,527


							265,355

Consumer Discretionary — 0.62%
Anheuser-Busch Cos LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.90%		02/01/46			10,000		11,908
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^1,3		5,000		5,465
Reynolds American, Inc.
4.45%		06/12/25			10,000		10,674
5.85%		08/15/45			15,000		16,624


							44,671

Electric — 0.48%
Evergy, Inc.
4.85%		06/01/21			20,000		20,692
Eversource Energy, Series O
4.25%		04/01/29			8,000		8,918
Pennsylvania Electric Co.
4.15%		04/15/25	³		5,000		5,336


							34,946

Energy — 4.29%
Antero Resources Corp.
5.00%		03/01/25			15,000		12,277
5.63%		06/01/23			7,000		6,046
Energy Transfer Operating LP
4.75%		01/15/26			10,000		10,835
Hess Corp.
5.60%		02/15/41			20,000		22,356
Kinder Morgan Energy Partners LP
3.50%		09/01/23			8,000		8,284
4.25%		09/01/24			5,000		5,365
Occidental Petroleum Corp.
3.50%		08/15/29			18,000		18,270
Petroleos Mexicanos (Mexico)
6.50%		01/23/29	¹		15,000		15,255
6.63%		06/15/35	¹		5,000		4,911
6.75%		09/21/47	¹		10,000		9,584
7.69%		01/23/50	^1,3		20,000		20,868
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25			18,000		19,247


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Range Resources Corp.
4.88%		05/15/25		$	9,000	$	7,470
Rockies Express Pipeline LLC
4.95%		07/15/29	³		35,000		34,871
Sabine Pass Liquefaction LLC
5.75%		05/15/24			5,000		5,568
Spectra Energy Partners LP
4.75%		03/15/24			10,000		10,912
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			28,000		30,597
TC PipeLines LP
3.90%		05/25/27			20,000		20,822
4.38%		03/13/25			8,000		8,545
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3		17,000		17,765
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		09/01/27	³		8,000		8,300
Williams Cos., Inc. (The)
4.55%		06/24/24			10,000		10,752


							308,900

Finance — 4.22%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
4.50%		05/15/21	¹		10,000		10,350
5.00%		10/01/21	¹		25,000		26,281
Air Lease Corp.
2.25%		01/15/23			25,000		24,898
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.95%)
3.23%		07/24/23	²		30,000		30,129
Ford Motor Credit Co. LLC
3.20%		01/15/21			30,000		30,073
4.25%		09/20/22			30,000		30,758
5.75%		02/01/21			10,000		10,347
General Motors Financial Co., Inc.
3.20%		07/06/21			25,000		25,264
4.38%		09/25/21			10,000		10,334
Goldman Sachs Group, Inc. (The)
2.91%		07/24/23	⁴		5,000		5,067
4.22%		05/01/29	⁴		10,000		10,919
Morgan Stanley (GMTN)
4.43%		01/23/30	⁴		15,000		16,828
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4		10,000		10,274
4.36%		08/01/24	^1,3,4		25,000		26,270


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3	$	30,000	$	31,164
5.50%		02/15/24	^1,3		5,000		5,408


							304,364

Food — 1.71%
Campbell Soup Co.
4.15%		03/15/28			10,000		10,785
(LIBOR USD 3-Month plus 0.63%)
2.75%		03/15/21	²		10,000		10,011
Conagra Brands, Inc.
4.85%		11/01/28			10,000		11,331
(LIBOR USD 3-Month plus 0.50%)
2.51%		10/09/20	²		10,000		10,001
Kraft Heinz Foods Co.
3.00%		06/01/26			5,000		4,951
3.95%		07/15/25			6,000		6,285
4.38%		06/01/46			15,000		14,194
4.63%		01/30/29			10,000		10,826
4.88%		10/01/49	³		15,000		15,170
6.88%		01/26/39			10,000		12,320
7.13%		08/01/39	³		5,000		6,315
Kroger Co. (The)
4.50%		01/15/29			5,000		5,584
Smithfield Foods, Inc.
5.20%		04/01/29	³		5,000		5,507


							123,280

Health Care — 4.97%
Aetna, Inc.
3.50%		11/15/24			10,000		10,426
Allergan Funding SCS (Luxembourg)
3.85%		06/15/24	¹		10,000		10,558
Bayer U.S. Finance II LLC
4.38%		12/15/28	³		5,000		5,394
4.88%		06/25/48	³		45,000		49,673
(LIBOR USD 3-Month plus 1.01%)
3.13%		12/15/23	^2,3		10,000		10,003
Becton Dickinson and Co.
3.73%		12/15/24			10,000		10,588
Centene Corp.
4.75%		05/15/22			55,000		56,317
CHS/Community Health Systems, Inc.
8.00%		03/15/26	³		14,000		14,035
Cigna Corp.
4.90%		12/15/48			35,000		40,206


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
CVS Health Corp.
5.05%		03/25/48		$	45,000	$	51,152
(LIBOR USD 3-Month plus 0.72%)
2.82%		03/09/21	²		10,000		10,051
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	³		10,000		10,154
Humana, Inc.
3.13%		08/15/29			35,000		35,041
Tenet Healthcare Corp.
4.63%		09/01/24	³		43,000		44,287


							357,885

Industrials — 2.45%
Energizer Holdings, Inc.
7.75%		01/15/27	³		15,000		16,751
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.38%)
2.67%		05/05/26	²		60,000		54,037
(LIBOR USD 3-Month plus 0.48%)
2.64%		08/15/36	²		52,000		37,896
General Electric Co., Series A (MTN)
6.75%		03/15/32			30,000		37,754
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^1,3		9,000		8,494
Trivium Packaging Finance BV (Netherlands)
8.50%		08/15/27	^1,3		20,000		21,675


							176,607

Information Technology — 0.35%
Broadcom, Inc.
3.13%		04/15/21	³		25,000		25,247


Insurance — 0.36%
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^3,4		25,000		26,250


Materials — 0.24%
International Flavors & Fragrances, Inc.
5.00%		09/26/48			15,000		17,145


Real Estate Investment Trust (REIT) — 2.01%
American Campus Communities
Operating Partnership LP
4.13%		07/01/24			10,000		10,687
Boston Properties LP
2.75%		10/01/26			10,000		10,098
Digital Realty Trust LP
3.63%		10/01/22			10,000		10,356


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30		$	5,000	$	5,048
4.38%		04/15/21			5,000		5,122
5.25%		06/01/25			5,000		5,524
5.38%		11/01/23			10,000		10,855
HCP, Inc.
3.15%		08/01/22			10,000		10,229
Healthcare Realty Trust, Inc.
3.88%		05/01/25			10,000		10,456
Healthcare Trust of America Holdings LP
3.70%		04/15/23			5,000		5,171
Hudson Pacific Properties LP
3.95%		11/01/27			5,000		5,248
Kilroy Realty LP
3.05%		02/15/30			20,000		19,617
4.38%		10/01/25			5,000		5,390
National Retail Properties, Inc.
3.80%		10/15/22			5,000		5,202
SL Green Operating Partnership LP
3.25%		10/15/22			10,000		10,203
WEA Finance LLC
3.15%		04/05/22	³		15,000		15,309


							144,515

Retail — 0.88%
eG Global Finance PLC (United Kingdom)
6.75%		02/07/25	^1,3		28,000		27,440
Rite Aid Corp.
6.13%		04/01/23	³		45,000		35,870


							63,310

Services — 0.15%
IHS Markit Ltd. (Bermuda)
4.75%		02/15/25	^1,3		10,000		10,875


Transportation — 0.47%
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			9,360		9,541
Continental Airlines Pass-Through Trust,
Series 2001-1, Class A1
6.70%		06/15/21			3,003		3,203
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			18,588		20,767


							33,511

Total Corporates
(Cost $2,028,608)							2,070,726


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 55.53%**
Non-Agency Commercial
Mortgage-Backed — 15.76%
CCRESG Commercial Mortgage Trust,
Series 2016-HEAT, Class X (IO)
1.54%		04/10/29	^3,4	$	1,280,000	$	19,876
Commercial Mortgage Pass-Through
Certificates, Series 2014-CR14,
Class XA (IO)
0.76%		02/10/47	⁴		2,653,946		60,786
Commercial Mortgage Trust,
Series 2013-CR6, Class XB (IO)
0.68%		03/10/46	⁴		2,000,000		36,573
Commercial Mortgage Trust,
Series 2012-CR1, Class XA (IO)
2.04%		05/15/45	⁴		773,868		31,356
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.91%		10/15/45	⁴		818,181		35,989
Commercial Mortgage Trust,
Series 2012-LC4, Class XB (IO)
0.64%		12/10/44	^3,4		1,800,000		24,084
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
1.32%		10/10/46	⁴		724,459		27,665
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.37%		03/10/46	⁴		1,639,043		54,338
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.04%		09/10/47	^4,5,6		757,585		25,317
Core Industrial Trust, Series 2015-CALW,
Class A
3.04%		02/10/34	³		66,407		67,967
Core Industrial Trust, Series 2015-TEXW,
Class A
3.08%		02/10/34	³		69,475		71,050
DBUBS Mortgage Trust, Series 2011-LC1A,
Class XB (IO)
0.39%		11/10/46	^3,4		300,000		1,270
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
1.47%		08/10/43	^3,4		3,560,140		25,553
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.81%		03/10/44	^3,4		4,199,241		28,439
GS Mortgage Securities Trust,
Series 2012-GCJ7, Class X4 (IO)
2.36%		05/10/45	⁴		2,415,952		80,403
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
2.11%		11/10/45	⁴		709,990		35,604
JPMBB Commercial Mortgage Securities
Trust, Series 2013-C15, Class XA (IO)
1.24%		11/15/45	⁴		718,338		26,187


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C19, Class XA (IO)
0.93%		04/15/47	⁴	$	1,825,858	$	43,182
JPMDB Commercial Mortgage Securities
Trust, Series 2016-C2, Class XA (IO)
1.83%		06/15/49	⁴		340,036		24,096
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9,
Class XA (IO)
1.66%		12/15/47	⁴		2,197,599		85,146
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-C13,
Class XA (IO)
0.24%		01/15/46	⁴		9,524,112		42,677
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C9, Class XB (IO)
0.40%		05/15/46	^3,4		2,532,749		29,937
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C15, Class XA (IO)
1.14%		04/15/47	⁴		353,493		12,640
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C18, Class XA (IO)
0.91%		10/15/47	⁴		119,264		3,151
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.78%		12/10/45	^3,4		809,009		32,621
Wells Fargo Commercial Mortgage Trust,
Series 2012-LC5, Class XA (IO)
1.92%		10/15/45	^3,4		980,317		41,997
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class XA (IO)
0.97%		02/15/44	^3,4		1,148,440		9,360
WF-RBS Commercial Mortgage Trust,
Series 2011-C3, Class XA (IO)
1.49%		03/15/44	^3,4		2,389,951		39,776
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.70%		12/15/45	^3,4		1,220,761		50,750
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XB (IO)
0.59%		05/15/45	^3,4		2,000,000		32,406
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.40%		03/15/47	⁴		860,265		35,551


							1,135,747

Non-Agency Mortgage-Backed — 18.57%
Alternative Loan Trust,
Series 2007-16CB, Class 1A7
6.00%		08/25/37			13,210		12,767
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

2.30%

03/25/46

25,556

23,654

Banc of America Funding Trust,

Series 2006-3, Class 5A3

5.50%

03/25/36

13,768

13,187

Banc of America Funding Trust,

Series 2014-R7, Class 1A1

(LIBOR USD 1-Month plus 0.15%)

2.17%

05/26/36

^2,3

43,998

42,772

Banc of America Funding Trust,

Series 2015-R4, Class 5A1

(LIBOR USD 1-Month plus 0.15%)

2.30%

10/25/36

^2,3

27,524

26,984

Bear Stearns ALT-A Trust, Series 2004-6,

Class 1A

(LIBOR USD 1-Month plus 0.64%)

2.66%

07/25/34

9,822

9,864

Bear Stearns ARM Trust, Series 2004-3,

Class 2A

4.20%

07/25/34

⁴

14,251

14,243

Bear Stearns Asset-Backed Securities Trust,

Series 2007-1, Class A2

(LIBOR USD 1-Month plus 0.28%)

2.30%

01/25/37

23,787

23,831

Bombardier Capital Mortgage Securitization

Corp., Series 2000-A, Class A4

8.29%

06/15/30

⁴

142,144

52,332

Citigroup Mortgage Loan Trust,

Series 2015-2, Class 1A1

(LIBOR USD 1-Month plus 0.20%)

2.35%

06/25/47

^2,3

20,287

20,434

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2007-14,

Class A3

6.25%

09/25/37

34,043

29,058

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-MH1,

Class B1 (STEP-reset date 11/25/19)

6.25%

10/25/36

61,000

61,100

Fremont Home Loan Trust, Series 2005-A,

Class M3

(LIBOR USD 1-Month plus 0.74%)

2.75%

01/25/35

57,000

56,871

Fremont Home Loan Trust, Series 2005-E,

Class 2A4

(LIBOR USD 1-Month plus 0.33%)

2.35%

01/25/36

33,821

33,123

GreenPoint Mortgage Funding Trust,

Series 2005-AR3, Class 1A1

(LIBOR USD 1-Month plus 0.24%)

2.26%

08/25/45

11,162

10,026

GSAA Trust, Series 2007-3, Class 2A1B

(LIBOR USD 1-Month plus 0.10%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
2.12%		03/25/47	²	$	166,316	$	20,351
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
4.48%		09/25/35	⁴		9,232		9,524
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(LIBOR USD 1-Month plus 0.34%)
2.38%		06/20/35	²		26,637		26,671
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2X (IO)
0.95%		06/20/35	^3,4,5,6		1,953,368		85,949
IndyMac Index Mortgage Loan Trust,
Series 2007-F2, Class 1A4
6.00%		07/25/37			14,123		13,980
Lehman Mortgage Trust, Series 2006-7,
Class 2A5 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
4.53%		11/25/36	^2,5,6		219,217		68,099
Lehman Mortgage Trust, Series 2007-5,
Class 10A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap)
4.32%		06/25/37	^2,5,6		304,787		93,261
MASTR Alternative Loan Trust,
Series 2005-2, Class 4A3
(LIBOR USD 1-Month plus 0.40%)
2.42%		03/25/35	²		35,538		34,601
Merrill Lynch Mortgage Investors Trust,
Series 2004-B, Class A1
(LIBOR USD 1-Month plus 0.50%)
2.52%		05/25/29	²		26,098		25,537
Mid-State Capital Corp., Series 2005-1,
Class A
5.75%		01/15/40			10,721		11,727
Mid-State Capital Corp., Series 2006-1,
Class A
5.79%		10/15/40	³		62,765		69,850
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			4,818		5,123
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
2.27%		06/25/37	²		35,000		33,803
Nomura Resecuritization Trust,
Series 2015-5R, Class 4A1
(LIBOR USD 1-Month plus 0.14%)
3.22%		07/26/37	^2,3		22,635		22,866
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A2
5.01%		03/15/20	⁴		23,216		23,798

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Park Place Securities, Inc., Asset-Backed

Pass-Through Certificates,

Series 2005-WCH1, Class M4

(LIBOR USD 1-Month plus 1.25%)

3.26%

01/25/36

25,000

25,093

People’s Choice Home Loan Securities

Trust, Series 2004-2, Class M1

(LIBOR USD 1-Month plus 0.90%)

2.92%

10/25/34

154

Residential Asset Mortgage Products Trust,

Series 2006-EFC2, Class A4

(LIBOR USD 1-Month plus 0.22%)

2.24%

12/25/36

100,000

97,822

Residential Asset Securitization Trust,

Series 2003-A15, Class 1A3 (IO)

(-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap)

5.53%

02/25/34

^2,5,6

891,008

104,529

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-1, Class 4A1

4.46%

02/25/34

⁴

3,440

Structured Asset Mortgage Investments II

Trust, Series 2006-AR2, Class A1

(LIBOR USD 1-Month plus 0.23%)

2.25%

02/25/36

31,137

28,416

Wells Fargo Mortgage-Backed Securities

Trust, Series 2004-BB, Class A2

4.95%

01/25/35

⁴

80,192

80,949

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR4, Class 2A1

5.22%

04/25/36

⁴

22,659

22,524

1,338,313

U.S. Agency Commercial

Mortgage-Backed — 11.57%

Fannie Mae-Aces, Series 2010-M3,

Class X (IO)

0.31%

03/25/20

⁴

64,327,082

34,962

Fannie Mae-Aces, Series 2011-M5,

Class X (IO)

1.21%

07/25/21

⁴

4,170,819

62,300

Fannie Mae-Aces, Series 2013-M5,

Class X2 (IO)

2.16%

01/25/22

⁴

864,392

17,902

Fannie Mae-Aces, Series 2016-M11,

Class X2 (IO)

2.71%

07/25/39

⁴

1,629,622

57,620

Fannie Mae-Aces, Series 2016-M2,

Class X3 (IO)

2.04%

04/25/36

⁴

1,016,281

37,437

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial

Mortgage-Backed (continued)

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K006,

Class AX1 (IO)

1.06%

01/25/20

⁴

3,071,744

2,767

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K017,

Class X3 (IO)

2.28%

12/25/39

⁴

2,147,000

100,251

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K022,

Class X3 (IO)

1.87%

08/25/40

⁴

900,000

44,219

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K031,

Class X3 (IO)

1.71%

07/25/41

⁴

1,170,000

65,346

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K037,

Class X3 (IO)

2.28%

01/25/42

⁴

390,000

33,617

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K503,

Class X3 (IO)

1.95%

10/25/42

⁴

19,848,479

1,397

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K715,

Class X1 (IO)

1.23%

01/25/21

⁴

4,435,597

47,652

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K718,

Class X1 (IO)

0.73%

01/25/22

⁴

348,120

3,993

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ25,

Class A1

2.15%

11/25/24

70,000

70,220

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KW01,

Class X1 (IO)

1.11%

01/25/26

⁴

1,065,184

51,830

Ginnie Mae, Series 2009-111, Class IO (IO)

0.22%

09/16/51

⁴

1,059,589

49,892

Ginnie Mae, Series 2011-119, Class IO (IO)

0.29%

08/16/51

⁴

2,844,622

28,047

Ginnie Mae, Series 2011-78, Class IX (IO)

0.11%

08/16/46

⁴

2,527,225

33,465

Ginnie Mae, Series 2012-135, Class IO (IO)

0.57%

01/16/53

⁴

604,306

17,355

Ginnie Mae, Series 2013-33, Class IO (IO)

0.80%

04/16/54

⁴

775,238

24,108


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	⁴	$	276,938	$	48,852


							833,232

U.S. Agency Mortgage-Backed — 9.63%
Fannie Mae Pool 109707
3.80%		09/01/33			71,447		79,084
Fannie Mae Pool 462209
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 2.18%)
4.74%		04/01/36	²		60,977		61,152
Fannie Mae Pool AN9976
3.96%		02/01/30			30,000		33,985
Fannie Mae REMICS, Series 2005-56,
Class SP
(-6.50 X LIBOR USD 1-Month plus 42.30%, 6.00% Cap)
6.00%		08/25/33	²		14,052		14,833
Fannie Mae REMICS, Series 2012-139,
Class AI (IO)
3.00%		12/25/27			496,640		40,851
Freddie Mac Strips, Series 240,
Class IO (IO)
5.50%		07/15/36			511,068		107,794
Ginnie Mae, Series 2003-11, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
4.52%		02/16/33	²		1,226,612		93,568
Ginnie Mae, Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.56%		10/20/33	²		571,314		102,692
Ginnie Mae, Series 2012-73, Class NK
3.00%		08/20/40			14,668		14,740
Ginnie Mae, Series 2018-124, Class NW
3.50%		09/20/48			82,688		84,560
Ginnie Mae, Series 2018-154, Class BP
3.50%		11/20/48			59,495		60,718


							693,977

Total Mortgage-Backed
(Cost $4,119,590)							4,001,269


Total Bonds – 93.37%
(Cost $6,788,501)							6,727,779

Issues

Maturity
Date

Shares

Value

SHORT-TERM INVESTMENTS — 4.80%

Money Market Funds — 4.80%

Dreyfus Government Cash Management

Fund

1.95%⁷

346,000

Total Short-Term Investments

(Cost $346,000)

Total Investments – 98.17%

(Cost $7,134,501)

7,073,779

Cash and Other Assets, Less

Liabilities – 1.83%

132,100

Net Assets – 100.00%

7,205,879

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

²	Floating rate security. The rate disclosed was in effect at September 30, 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.

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 92.35%

BANK LOANS — 85.99%*

Automotive — 0.38%

Oeconnection LLC, Term Loan B

(LIBOR plus 4.00%)

6.02%

09/24/26

^1,2,3

685,065

683,780

Panther BF Aggregator 2 LP/Panther

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

(LIBOR plus 3.50%)

5.54%

04/30/26

^2,3

250,000

248,360

932,140

Communications — 13.48%

Altice Financing SA, Term Loan B, 1st Lien

(LIBOR plus 2.75%)

4.81%

01/31/26

^2,3

982,500

960,148

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

(LIBOR plus 4.00%)

6.03%

08/14/26

^2,3,4

496,250

495,940

Beasley Mezzanine Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.04%

11/01/23

^2,3

465,296

464,910

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

(LIBOR plus 2.75%)

4.79%

01/31/25

^2,3

1,477,462

1,469,669

Charter Communications Operating LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.05%

04/30/25

^2,3

1,965,000

1,979,128

Clear Channel Outdoor Holdings

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

5.54%

08/21/26

^2,3

1,750,000

1,757,341

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

(LIBOR plus 3.25%)

5.29%

04/04/26

^2,3

1,000,000

998,215

Connect Finco SARL, Term Loan B

(LIBOR plus 4.50%)

4.50%

09/23/26

^2,3

1,500,000

1,479,023

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.28%

01/15/26

^2,3

995,000

995,995

Dawn Acquisition LLC, Term Loan B, 1st Lien

(LIBOR plus 3.75%)

5.85%

10/27/25

^2,3

493,763

469,074

Diamond Sports Group LLC

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.30%

08/24/26

^2,3

1,250,000

1,258,987

Gray Television, Inc., Term Loan C, 1st Lien

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

(LIBOR plus 2.50%)

4.83%

11/02/25

^2,3

397,000

398,957

GTT Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.75%)

4.79%

05/30/25

^2,3

1,482,487

1,199,651

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

6.63%

01/02/24

^2,3,4

500,000

512,343

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

(LIBOR plus 1.75%)

3.81%

03/14/25

^2,3

1,428,250

1,436,291

Level 3 Financing, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.29%

02/22/24

^2,3

500,000

501,563

MacDonald Dettwiler & Associates Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

4.85%

10/04/24

^2,3

1,324,002

1,170,325

Mediarena Acquisition BV,

Term Loan B, 1st Lien (Netherlands)

(LIBOR plus 5.75%)

8.07%

08/13/21

^2,3

310,109

307,008

Mission Broadcasting, Inc., Term Loan B3,

1st Lien

(LIBOR plus 2.25%)

4.35%

01/17/24

^2,3

68,437

68,608

National Cinemedia LLC, Term Loan B,

1st Lien

(LIBOR plus 3.00%)

5.06%

06/20/25

^2,3

493,750

493,906

NEP/NCP Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.29%

10/20/25

^2,3

1,736,875

1,709,372

NEP/NCP Holdco, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 7.00%)

9.04%

10/19/26

^2,3

440,000

431,935

New Insight Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.50%)

7.75%

12/20/24

^2,3

491,250

493,630

Nexstar Broadcasting, Inc. Term Loan B3,

1st Lien

(LIBOR plus 2.25%)

4.29%

01/17/24

^2,3

343,544

344,403

Nexstar Broadcasting, Term Loan B,

1st Lien

(LIBOR plus 2.75%)

4.81%

07/15/26

^2,3

1,000,000

1,005,700

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Radiate Holdco LLC,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

5.54%

02/01/24

^2,3

498,750

499,623

Radiate Holdco LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.04%

02/01/24

^2,3

1,477,292

1,473,850

Sable International Finance Ltd.,

Term Loan B4, 1st Lien

(LIBOR plus 3.25%)

5.29%

02/02/26

^2,3

437,333

439,671

Sinclair Television Group, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.30%

01/03/24

^2,3

1,935,305

1,943,472

Sprint Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.50%)

4.56%

02/02/24

^2,3

1,967,178

1,956,113

Virgin Media Bristol LLC,

Term Loan K, 1st Lien

(LIBOR plus 2.50%)

4.53%

01/15/26

^2,3

2,000,000

2,003,650

Windstream Services LLC,

Term Loan B6, 1st Lien

(PRIME plus 5.00%)

10.00%

03/29/21

^2,3

1,003,049

1,021,961

Ziggo Secured Finance Partnership,

Term Loan E, 1st Lien

(LIBOR plus 2.50%)

4.53%

04/15/25

^2,3

945,114

944,353

32,684,815

Consumer Discretionary — 8.08%

AI Aqua Merger Sub, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.29%

12/13/23

^2,3

1,470,000

1,408,135

AI Aqua Merger Sub, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 3.25%)

5.29%

12/13/23

^2,3

494,911

474,083

Allied Universal Holdco LLC,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

6.51%

06/26/26

^2,3,5

682,432

684,244

Arterra Wines Canada, Inc., Term Loan B1,

1st Lien (Canada)

(LIBOR plus 2.75%)

4.91%

12/15/23

^2,3,4

2,439,911

2,439,948

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Discretionary (continued)

Boing U.S. Holdco, Inc., Term Loan B,

1st Lien

(LIBOR plus 3.25%)

5.29%

10/03/24

^2,3

982,538

964,528

CityCenter Holdings LLC, Term Loan B,

1st Lien

(LIBOR plus 2.25%)

4.29%

04/18/24

^2,3

2,205,562

2,213,314

Four Seasons Hotels, Ltd., Term Loan B,

1st Lien

(LIBOR plus 2.00%)

4.04%

11/30/23

^2,3

972,500

978,175

KUEHG Corp., Term Loan B3, 1st Lien

(LIBOR plus 3.75%)

5.85%

02/21/25

^2,3

740,625

741,088

Mister Car Wash Holdings, Inc., Term Loan,

1st Lien

(LIBOR plus 3.50%)

5.66%

05/14/26

^2,3,6

1,187,500

1,187,821

Nielsen Finance LLC, Term Loan B4,

1st Lien

(LIBOR plus 2.00%)

4.04%

10/04/23

^2,3

1,215,766

1,216,525

Prometric Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 3.00%)

5.05%

01/29/25

^2,3

987,519

973,323

Refresco, Term Loan B3, 1st Lien

(LIBOR plus 3.25%)

5.41%

03/28/25

^2,3

1,980,000

1,983,722

Reynolds Group Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.75%)

4.79%

02/06/23

^2,3

932,290

935,068

Spin Holdco, Inc., Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.57%

11/14/22

^2,3

1,961,187

1,931,769

Wyndham Hotels & Resorts, Inc.

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

3.79%

05/30/25

^2,3

495,000

497,923

Yum! Brands, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

3.79%

04/03/25

^2,3

949,159

952,125

19,581,791

Consumer Products — 0.92%

Consolidated Container Co., Term Loan B,

1st Lien

(LIBOR plus 3.50%)

5.54%

06/15/26

^2,3

997,500

998,956

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Products (continued)

Edgewell Personal Care,

Term Loan B

(LIBOR plus 3.00%)

3.00%

09/18/26

^2,3

750,000

752,347

Hoffmaster Group, Inc., Term Loan,

1st Lien

(LIBOR plus 4.00%)

6.04%

11/21/23

^2,3

475,083

470,332

2,221,635

Electric — 1.31%

Calpine Corp., Term Loan B9

(LIBOR plus 2.75%)

4.86%

04/05/26

^2,3

997,500

1,001,305

Chief Power Finance LLC, Term Loan B,

1st Lien

(LIBOR plus 4.75%)

6.80%

12/31/20

^2,3,7,8

909,765

779,364

Vistra Operations Co., LLC, Term Loan B3,

1st Lien

(LIBOR plus 2.00%)

4.02%

12/31/25

^2,3

560,329

562,626

4.04%

12/31/25

^2,3

829,166

832,566

3,175,861

Energy — 2.01%

Centurion Pipeline Co. LLC, Term Loan B,

1st Lien

(LIBOR plus 3.25%)

5.29%

09/29/25

^2,3

992,500

993,433

EG America LLC, Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.10%

02/07/25

^2,3

233,787

231,537

EG Finco Ltd., Term Loan B,

1st Lien (United Kingdom)

(LIBOR plus 4.00%)

6.10%

02/07/25

^2,3,4

494,975

490,211

EMG Utica LLC, Term Loan B, 1st Lien

(LIBOR plus 3.75%)

5.79%

03/27/20

^2,3,7,8

554,693

551,919

Epic Y-Grade Services LP, Term Loan B,

1st Lien

(LIBOR plus 5.50%)

7.54%

06/07/25

^2,3

250,000

242,813

Glass Mountain Pipeline Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

7.12%

12/23/24

^2,3

492,500

466,028

KAMC Holdings, Inc.

Term Loan, 1st Lien

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Energy (continued)

(LIBOR plus 4.00%)

6.18%

08/14/26

^2,3

750,000

Seadrill Operating LP, Term Loan B, 1st Lien

(United Kingdom)

(LIBOR plus 6.00%)

8.10%

02/21/21

^2,3,4

491,941

273,027

Traverse Midstream Partners LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.05%

09/27/24

^2,3

990,000

878,625

4,877,593

Entertainment — 2.41%

CineWorld Finance US, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.29%

02/28/25

^2,3

819,586

815,185

Hornblower Sub LLC, Term Loan, 1st Lien

(LIBOR plus 4.50%)

6.60%

04/27/25

^2,3

1,000,000

1,004,170

NAI Entertainment Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.55%

05/08/25

^2,3

742,500

744,824

Nascar Holdings, Inc.

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.75%

07/26/26

^2,3

1,000,000

1,007,890

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

(LIBOR plus 3.00%)

5.04%

01/23/25

^2,3

492,500

490,193

Stars Group Holdings BV, Term Loan B,

1st Lien

(LIBOR plus 3.50%)

5.60%

07/10/25

^2,3

1,781,425

1,791,535

5,853,797

Finance — 3.71%

Auris Lux Co., Term Loan B, 1st Lien

(Luxembourg)

(LIBOR plus 3.75%)

5.79%

02/27/26

^2,3,4

1,243,750

1,238,695

Avolon TLB Borrower 1 US LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

3.79%

01/15/25

^2,3

1,424,235

1,431,292

CBAC Borrower LLC, Term Loan B,

1st Lien

(LIBOR plus 4.00%)

6.04%

07/08/24

^2,3

777,797

754,464

Clarivate Analytics,

Term Loan, 1st Lien

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Finance (continued)

(LIBOR plus 3.25%)

5.29%

10/03/23

^2,3

526,330

530,224

Cushman & Wakefield,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.29%

08/21/25

^2,3

643,500

645,511

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

3.85%

10/06/23

^2,3

1,250,000

1,255,469

LSF9 Atlantis Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 6.00%)

8.04%

05/01/23

^2,3

707,813

661,047

RPI Finance Trust, Term Loan B6, 1st Lien

(LIBOR plus 2.00%)

4.04%

03/27/23

^2,3

958,516

964,655

Telenet Financing USD LLC, Term Loan,

1st Lien

(LIBOR plus 2.25%)

4.28%

08/17/26

^2,3

1,500,000

1,502,257

8,983,614

Food — 6.81%

8th Avenue Food & Provisions, Term Loan,

1st Lien

(LIBOR plus 3.75%)

5.79%

10/01/25

^2,3

248,125

249,341

Agro Merchants Intermediate Holdings, LLC.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.85%

12/06/24

^2,3

1,518,714

1,526,307

American Seafoods Group LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

4.86%

08/21/23

^2,3

1,254,510

1,259,214

CH Guenther Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

4.79%

03/31/25

^2,3

987,500

989,969

Chobani LLC, Term Loan B, 1st Lien

(LIBOR plus 3.50%)

5.54%

10/10/23

^2,3

972,548

966,319

Flora Food Group,

Term Loan B

(LIBOR plus 3.00%)

5.32%

07/02/25

^2,3

987,500

985,446

Hearthside Group Holdings LLC,

Term Loan, 1st Lien

(LIBOR plus 3.69%)

5.73%

05/23/25

^2,3

987,500

932,200

Hostess Brands LLC, Term Loan B, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Food (continued)
(LIBOR plus 2.25%)
4.29%		08/03/22	^2,3	$	449,454	$	450,056
4.37%		08/03/22	^2,3		149,818		150,019
4.51%		08/03/22	^2,3		863,508		864,665
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.79%		07/20/25	^2,3		1,283,750		1,183,727
JBS USA, Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.54%		05/01/26	^2,3		1,243,750		1,251,007
Matterhorn Merger Sub LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
6.04%		05/23/25	^2,3		992,500		944,364
Shearer’s Foods LLC, Term Loan
(LIBOR plus 4.25%)
6.27%		03/27/22	^2,3		572,583		572,672
Shearer’s Foods LLC, Term Loan, 1st Lien
(LIBOR plus 4.25%)
6.29%		06/30/21	^2,3		951,697		951,845
U.S. Foods, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.00%)
4.05%		09/13/26	^2,3		2,000,000		2,009,590
Utz Quality Foods LLC, Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.54%		11/21/24	^2,3		1,228,125		1,225,976


							16,512,717

Gaming — 4.53%
Affinity Gaming LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.29%		07/03/23	^2,3		465,137		453,044
Caesars Entertainment LLC, Term Loan B,
1st Lien
(LIBOR plus 2.00%)
4.04%		10/07/24	^2,3		816,856		817,366
Caesars Resort Collection LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.79%		12/23/24	^2,3		1,473,750		1,465,740
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.05%		12/27/24	^2,3		1,537,613		1,545,301
Gateway Casinos & Entertainment Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
5.10%		12/01/23	^2,3		987,500		977,013

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Gaming (continued)

Golden Entertainment, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.06%

10/21/24

^2,3

1,447,500

1,453,833

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

(LIBOR plus 2.75%)

4.79%

10/04/23

^2,3

772,557

772,801

4.81%

10/04/23

^2,3

622,380

622,576

GVC Holdings, Term Loan B2,

1st Lien

(LIBOR plus 2.25%)

4.45%

03/29/24

^2,3

1,477,500

1,481,652

Penn National Gaming, Inc., Term Loan B1,

1st Lien

(LIBOR plus 2.25%)

4.29%

10/15/25

^2,3

1,394,463

1,403,331

10,992,657

Health Care — 10.02%

Acadia Healthcare Co., Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.50%)

4.54%

02/11/22

^2,3

930,081

932,625

Acadia Healthcare Co., Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 2.50%)

4.54%

02/16/23

^2,3

281,901

282,672

Admi Corp., Term Loan B, 1st Lien

(LIBOR plus 2.75%)

4.79%

04/30/25

^2,3

987,500

979,970

Aldevron LLC, Term Loan B

(LIBOR plus 4.25%)

4.25%

09/18/26

^2,3

1,000,000

1,005,000

Alphabet Holding Co., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

5.54%

09/26/24

^2,3

490,000

454,372

BCPE Eagle Buyer LLC,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

6.36%

03/13/24

^2,3

1,365,735

1,347,175

Carestream Dental Equipment, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

5.29%

09/02/24

^2,3

980,000

956,113

Catalent Pharma Solutions, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.29%

05/18/26

^2,3

995,000

999,353

CCS-CMGC Holdings, Inc., Term Loan,

1st Lien

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

(LIBOR plus 5.50%)

7.54%

10/01/25

^2,3

496,250

491,702

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.54%

03/01/24

^2,3

405,694

404,352

Civitas Solutions, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

6.30%

03/09/26

^2,3

468,406

471,100

Civitas Solutions, Inc.,

Term Loan, C, 1st Lien

(LIBOR plus 4.25%)

6.30%

03/09/26

^2,3

29,240

29,408

Kindred at Home, Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.81%

07/02/25

^2,3

1,451,403

1,461,381

Med Parentco LP

Term Loan, 1st Lien

(LIBOR plus 4.25%)

6.29%

08/31/26

^2,3,9

800,189

795,588

Medical Solutions Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.86%

06/14/24

^2,3

980,075

Medplast Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.08%

07/02/25

^2,3

990,000

928,125

NMN Holdings III Corp. Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.79%

11/13/25

^2,3,10

1,228,922

1,202,807

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

(LIBOR plus 5.00%)

7.26%

04/19/23

^2,3

1,177,338

1,171,946

Premise Health Holding Corp., Term Loan,

1st Lien

(LIBOR plus 3.50%)

5.60%

07/10/25

^2,3,11

691,390

685,050

Romulus Merger Sub LLC,

Delayed-Draw Term Loan, 1st Lien

(LIBOR plus 2.75%)

4.79%

02/14/25

^2,3,12

342,918

333,060

Romulus Merger Sub LLC,

Term Loan, 1st Lien

(LIBOR plus 2.75%)

4.79%

02/14/25

^2,3

1,522,273

1,478,507

Surgery Center Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

5.30%

09/02/24

^2,3

1,227,443

1,202,588

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

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

(LIBOR plus 3.25%)

5.28%

05/01/24

^2,3

699,516

696,455

U.S. Renal Care, Inc., Term Loan B, 1st Lien

(LIBOR plus 5.00%)

7.06%

06/12/26

^2,3

1,000,000

949,500

UIC Merger Sub, Inc., Term Loan, 1st Lien

(LIBOR plus 3.25%)

5.24%

08/30/24

^2,3

729,415

720,906

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

4.79%

11/27/25

^2,3

218,750

219,448

(LIBOR plus 3.00%)

5.04%

06/02/25

^2,3

1,891,691

1,901,547

Wink Holdco, Inc., Term Loan, 1st Lien

(LIBOR plus 3.00%)

5.04%

12/02/24

^2,3

980,606

967,128

Wink Holdco, Inc., Term Loan, 2nd Lien

(LIBOR plus 6.75%)

8.80%

12/01/25

^2,3

250,000

248,750

24,296,703

Industrials — 10.13%

American Traffic Solutions Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

5.79%

02/28/25

^2,3

1,482,450

1,490,477

BCPE Empire Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

6.04%

06/11/26

^2,3,13

1,044,304

1,032,561

Berry Global, Inc.,

Term Loan Q, 1st Lien

(LIBOR plus 2.25%)

4.30%

10/03/22

^2,3

469,600

472,376

Berry Global, Inc.,

Term Loan R, 1st Lien

(LIBOR plus 2.25%)

4.30%

01/19/24

^2,3

487,500

489,908

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

(LIBOR plus 1.75%)

3.79%

06/30/24

^2,3

1,818,249

1,828,931

Conserve Merger Sub, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

5.56%

08/08/25

^2,3

1,980,000

1,932,153

CPI Holdco LLC, Term Loan, 1st Lien

(LIBOR plus 3.50%)

5.54%

03/21/24

^2,3

1,950,007

1,951,226

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Energizer Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.25%)

4.38%

12/17/25

^2,3

982,500

984,347

Goodpack, Term Loan B, 1st Lien

(LIBOR plus 3.75%)

5.90%

09/11/23

^2,3

1,970,000

1,960,968

Jade Germany GMBH, Term Loan, 1st Lien

(Germany)

(LIBOR plus 5.50%)

7.56%

05/31/23

^2,3,4

977,500

932,291

Liqui-Box Corp., Term Loan B, 1st Lien

(LIBOR plus 4.50%)

4.50%

06/03/26

^2,3

1,000,000

992,500

Pelican Products, Inc., Term Loan B, 1st Lien

(LIBOR plus 3.50%)

5.54%

05/01/25

^2,3

493,750

474,617

Penn Engineering & Manufacturing Corp.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

4.79%

06/27/24

^2,3

669,420

659,378

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

(LIBOR plus 3.50%)

5.54%

02/16/22

^2,3

118,472

118,694

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

(LIBOR plus 3.50%)

5.63%

07/30/26

^2,3

1,250,000

1,248,437

Spectrum Holdings III Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

5.29%

01/31/25

^2,3

1,438,125

1,289,523

Technimark LLC, Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.87%

08/08/25

^2,3

992,500

987,537

Transcendia Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

5.54%

05/30/24

^2,3

1,470,066

1,242,205

TricorBraun, Inc., Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.85%

11/30/23

^2,3

1,339,926

1,308,438

5.91%

11/30/23

^2,3

119,846

117,030

TruGreen Limited Partnership, Term Loan B,

1st Lien

(LIBOR plus 3.75%)

5.79%

03/19/26

^2,3

995,000

999,980

U.S. Ecology, Inc.

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

2.50%

08/14/26

^2,3

500,000

503,283

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

WP Deluxe Merger Sub, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

5.35%

07/19/24

^2,3

982,500

966,122

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

(LIBOR plus 4.00%)

6.04%

08/12/24

^2,3

735,000

582,179

24,565,161

Information Technology — 9.82%

Ascend Learning LLC, Term Loan B,

1st Lien

(LIBOR plus 3.00%)

5.04%

07/12/24

^2,3

980,000

977,702

AVSC Holding Corp.,

Term Loan B

(LIBOR plus 4.00%)

4.00%

09/27/26

^2,3

500,000

491,875

Ciena Corp., Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.04%

09/26/25

^2,3

496,250

499,508

DCert Buyer, Inc.

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.00%

08/07/26

^2,3

1,000,000

998,125

Dell International LLC,

Term Loan B

(LIBOR plus 2.00%)

4.05%

09/19/25

^2,3

1,295,159

1,302,794

DigiCert Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 4.00%)

6.04%

10/31/24

^2,3

1,482,525

1,482,214

EagleView Technology Corp., Term Loan B,

1st Lien

(LIBOR plus 3.50%)

5.54%

08/14/25

^2,3

496,250

482,603

GlobalLogic Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 3.25%)

5.29%

08/01/25

^2,3

433,125

435,291

Imperva, Inc., Term Loan, 1st Lien

(LIBOR plus 4.00%)

6.30%

11/20/25

^2,3

1,496,250

1,458,844

Inovalon Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 3.50%)

5.56%

04/02/25

^2,3

990,000

997,054

IQVIA, Inc.,

Term Loan B3, 1st Lien

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

(LIBOR plus 1.75%)

3.85%

06/11/25

^2,3

493,750

495,063

Microchip Technology, Inc., Term Loan,

1st Lien

(LIBOR plus 2.00%)

4.05%

05/29/25

^2,3

287,446

288,792

Navicure, Inc., Term Loan

(LIBOR plus 4.00%)

4.00%

09/18/26

^2,3

1,000,000

1,001,250

Navicure, Inc., Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.79%

11/01/24

^2,3

1,080,750

1,081,766

Oberthur Technologies Group SAS,

Term Loan B1, 1st Lien

(LIBOR plus 3.75%)

5.85%

01/10/24

^2,3

1,462,500

1,427,992

OpenLink International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

7.15%

03/21/25

^2,3

709,200

705,654

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

(LIBOR plus 2.25%)

4.29%

05/30/25

^2,3

493,750

496,631

Project Alpha Intermediate Holdings Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

5.81%

04/26/24

^2,3

977,500

966,503

Quintiles IMS, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 2.00%)

4.10%

01/17/25

^2,3

972,444

978,521

Scientific Games International, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.75%)

4.79%

08/14/24

^2,3

287,455

285,444

4.90%

08/14/24

^2,3

1,190,045

1,181,721

Sophia LP, Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.35%

09/30/22

^2,3

1,149,490

1,151,169

SS&C Technologies Holdings Europe SARL,

Term Loan B4, 1st Lien

(LIBOR plus 2.25%)

4.29%

04/16/25

^2,3

685,698

688,852

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.25%)

4.29%

04/16/25

^2,3

1,038,113

1,042,888

SS&C Technologies, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

4.29%

04/16/25

^2,3

494,942

497,545


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
TierPoint LLC, Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.79%		05/06/24	^2,3	$	463,576	$	432,575
VT Topco, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.85%		08/01/25	^2,3		990,555		988,698
Zotec Partners LLC, Term Loan, 1st Lien
(LIBOR plus 5.00%)
7.05%		02/14/24	^2,3		962,500		963,703


							23,800,777

Insurance — 0.37%
Kwor Acquisition, Inc., Term Loan, 1st Lien
(LIBOR plus 4.00%)
6.04%		06/03/26	^2,3,14		906,818		900,017


Materials — 2.89%
AkzoNobel Specialty Chemicals,
Term Loan B, 1st Lien (Netherlands)
(LIBOR plus 3.25%)
5.29%		10/01/25	^2,3,4		995,000		976,841
Angus Chemical, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.35%		02/02/22	^2,3		398,960		395,968
Archroma Finance SARL, Term Loan B2,
1st Lien (Switzerland)
(LIBOR plus 4.00%)
6.34%		08/12/24	^2,3,4		735,000		735,000
Cyanco Intermediate Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.54%		03/16/25	^2,3		453,377		452,905
Plaskolite PPC Intermediate II LLC,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
6.31%		12/15/25	^2,3		1,985,000		1,885,750
Polar U.S. Borrower LLC,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
6.85%		10/15/25	^2,3		13,271		12,923
7.06%		10/15/25	^2,3		582,229		566,945
WR Grace & Co., Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
3.85%		04/03/25	^2,3		729,474		732,552
WR Grace & Co., Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
3.85%		04/03/25	^2,3		1,250,526		1,255,804


							7,014,688

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Real Estate Investment Trust (REIT) — 1.12%

MGM Growth Properties,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.04%

03/21/25

^2,3

536,487

538,462

SBA Senior Finance II LLC, Term Loan B,

1st Lien

(LIBOR plus 2.00%)

4.05%

04/11/25

^2,3

1,007,225

1,009,068

VICI Properties 1 LLC, Term Loan, 1st Lien

(LIBOR plus 2.00%)

4.05%

12/20/24

^2,3

1,159,091

1,163,559

2,711,089

Retail — 1.26%

Albertson’s LLC, Term Loan B7, 1st Lien

(LIBOR plus 2.75%)

4.79%

11/17/25

^2,3

225,000

226,633

BC ULC/New Red Finance, Inc.,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 2.25%)

4.29%

02/16/24

^2,3,4

686,071

689,158

Go Wireless, Inc., Term Loan B, 1st Lien

(LIBOR plus 6.50%)

8.54%

12/22/24

^2,3

684,375

665,555

IRB Holding Corp., Term Loan, 1st Lien

(LIBOR plus 3.25%)

5.55%

02/05/25

^2,3

1,482,450

1,477,921

3,059,267

Services — 5.10%

Aramark Services, Inc., Term Loan,

1st Lien

(LIBOR plus 1.75%)

3.79%

03/11/25

^2,3

1,865,325

1,870,380

Carlisle Foodservice Products, Inc.

Term Loan, 1st Lien

(LIBOR plus 3.00%)

5.04%

03/20/25

^2,3

493,204

472,243

CIBT Global, Inc.

Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.85%

06/03/24

^2,3

1,229,930

1,189,958

GFL Environmental, Inc., Term Loan B,

1st Lien

(LIBOR plus 3.00%)

5.04%

05/30/25

^2,3

1,480,423

1,470,245

PowerTeam Services LLC,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

5.35%

03/06/25

^2,3

1,459,653

1,255,302

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Services (continued)

PowerTeam Services LLC,

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

9.35%

03/06/26

^2,3,7

750,000

543,750

Prime Security Services Borrower LLC,

Term Loan B

(LIBOR plus 3.25%)

5.21%

09/23/26

^2,3

627,141

621,164

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

(LIBOR plus 3.75%)

5.80%

02/01/23

^2,3

1,402,408

1,381,120

University Support Services LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

5.55%

06/20/25

^2,3

2,058,710

2,065,143

Worldstrides,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

5.90%

12/16/24

^2,3

1,479,975

1,486,753

12,356,058

Transportation — 1.64%

Commercial Barge Line Co.,

Term Loan B, 1st Lien

(LIBOR plus 8.75%)

10.79%

11/12/20

^2,3

173,684

96,884

International Seaways, Inc.,

Term Loan, 1st Lien

(LIBOR plus 6.00%)

8.05%

06/22/22

^2,3

1,338,240

1,342,422

Kestrel Bidco, Inc.

Term Loan, 1st Lien

(LIBOR plus 3.00%)

3.00%

08/07/26

^2,3

500,000

504,338

Navios Maritime Partners LP, Term Loan B,

1st Lien (Greece)

(LIBOR plus 5.00%)

7.14%

09/14/20

^2,3,4

555,147

553,759

PODS LLC, Term Loan, 1st Lien

(LIBOR plus 2.75%)

5.05%

12/06/24

^2,3

1,477,395

1,476,782

3,974,185

Total Bank Loans

(Cost $210,545,077)

208,494,565


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 6.19%*
Communications — 0.42%
T-Mobile USA, Inc.
6.00%		03/01/23		$	1,000,000	$	1,021,190


Consumer Discretionary — 0.40%
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC/Reynolds Group Issuer
Luxembourg SA
5.75%		10/15/20			969,108		971,530


Energy — 0.21%
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		09/01/27	³		500,000		518,750


Finance — 1.35%
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.55%)
2.68%		08/25/36	²		1,800,000		1,410,132
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	⁴		75,000		78,621
Goldman Sachs Group, Inc. (The)
3.27%		09/29/25	¹⁵		980,000		1,011,700
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^3,4		750,000		779,110


							3,279,563

Health Care — 1.85%
Cigna Corp.
(LIBOR USD 3-Month plus 0.89%)
3.19%		07/15/23	²		2,700,000		2,707,512
CVS Health Corp.
(LIBOR USD 3-Month plus 0.72%)
2.82%		03/09/21	²		1,000,000		1,005,105
Hill-Rom Holdings, Inc.
5.75%		09/01/23	³		250,000		257,300
Tenet Healthcare Corp.
4.63%		09/01/24	³		500,000		514,965


							4,484,882

Industrials — 1.01%
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
2.64%		08/15/36	²		850,000		619,452
Sealed Air Corp.
5.25%		04/01/23	³		1,500,000		1,605,000
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^3,4		250,000		235,937


							2,460,389

Issues

Maturity
Date

Principal
Amount

Value

CORPORATES (continued)

Information Technology — 0.22%

SS&C Technologies, Inc.

5.50%

09/30/27

500,000

523,450

Real Estate Investment Trust (REIT) — 0.56%

SL Green Operating Partnership LP

(LIBOR USD 3-Month plus 0.98%)

3.15%

08/16/21

1,350,000

1,350,234

Transportation — 0.17%

American Airlines Pass-Through Trust,

Series 2013-2, Class B

5.60%

07/15/20

391,837

400,888

Total Corporates

(Cost $14,934,480)

15,010,876

MUNICIPAL BONDS — 0.17%*

California — 0.17%

State of California, Build America Bonds,

School Improvements, General Obligations

7.95%

03/01/36

400,000

409,548

Total Municipal Bonds

(Cost $409,185)

Total Bonds – 92.35%

(Cost $225,888,742)

223,914,989

Issues

Shares

Value

SHORT-TERM INVESTMENTS — 10.55%

Money Market Funds — 10.55%

Dreyfus Government Cash Management

Fund

1.95%¹⁶

12,449,000

JPMorgan U.S. Government

Money Market Fund

1.94%¹⁶

681,000

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

1.97%¹⁶

12,449,000

25,579,000

Total Short-Term Investments

(Cost $25,579,000)

25,579,000

Total Investments – 102.90%

(Cost $251,467,742)

249,493,989

Net unrealized depreciation on unfunded commitments (0.00)%

(9,400

)

Liabilities in Excess of Other

Assets – (2.90)%

(7,028,368

)

Net Assets – 100.00%

242,456,221

¹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $64,813, at an interest rate of 1.00% and a maturity of September 24, 2026. The investment is accruing an unused commitment fee of 0.50% per annum.

²	Floating rate security. The rate disclosed was in effect at September 30, 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	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $67,747, at an interest rate of 2.13% and a maturity of July 10, 2026.The investment is not accruing an unused commitment fee.

⁶	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $59,540, at an interest rate of 3.50% and a maturity of May 14, 2026. The investment is not accruing an unused commitment fee.

⁷	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁸	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $1,331,283, which is 0.55% of total net assets.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $198,662, at an interest rate of 2.13% and a maturity of September 30, 2026. The investment is accruing an unused commitment fee of 1.00% per annum.

¹⁰	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $256,922, at an interest rate of 3.75% and a maturity of November 13, 2025. The investment is accruing an unused commitment fee of 0.25% per annum.

¹¹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $54,918, 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.

¹²	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $104,397, at an interest rate of 1.00% and a maturity of February 14, 2025.The investment is not accruing an unused commitment fee.

¹³	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $203,383, at an interest rate of 4.00% and a maturity of June 11, 2026.The investment is not accruing an unused commitment fee.

¹⁴	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $90,227, at an interest rate of 2.00% and a maturity of June 03, 2026.The investment is not accruing an unused commitment fee.

¹⁵	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.

¹⁶	Represents the current yield as of September 30, 2019.

*	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

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 94.40%

BANK LOANS — 21.74%*

Communications — 6.22%

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

(LIBOR plus 2.75%)

4.79%

01/31/25

^1,2

2,743,444

2,728,972

Colorado Buyer, Inc., Term Loan, 1st Lien

(LIBOR plus 3.00%)

5.04%

05/01/24

^1,2

909,075

824,336

Colorado Buyer, Inc., Term Loan, 2nd Lien

(LIBOR plus 7.25%)

9.30%

05/01/25

^1,2

480,000

396,000

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

(LIBOR plus 3.25%)

5.29%

04/04/26

^1,2

2,500,000

2,495,537

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.28%

07/17/25

^1,2

5,609,304

5,614,801

Diamond Sports Group LLC

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.30%

08/24/26

^1,2

500,000

503,595

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

6.63%

01/02/24

^1,2,3

1,329,300

1,362,114

Level 3 Financing, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.29%

02/22/24

^1,2

3,410,000

3,420,656

NEP/NCP Holdco, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 7.00%)

9.04%

10/19/26

^1,2

875,000

858,961

Sinclair Broadcast Group, Inc.,

Term Loan B2B, 1st Lien

(LIBOR plus 2.50%)

4.54%

09/30/26

^1,2

1,250,000

1,256,775

Sprint Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.50%)

4.56%

02/02/24

^1,2

7,324,723

7,283,521

(LIBOR plus 3.00%)

5.06%

02/02/24

^1,2

1,042,125

1,040,822

27,786,090

Consumer Discretionary — 0.36%

CityCenter Holdings LLC, Term Loan B,

1st Lien

(LIBOR plus 2.25%)

4.29%

04/18/24

^1,2

1,584,262

1,589,831

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Products — 0.22%

Edgewell Personal Care,

Term Loan B

(LIBOR plus 3.00%)

3.00%

09/18/26

^1,2

1,000,000

1,003,130

Electric — 1.32%

Vistra Operations Co., LLC, Term Loan B1,

1st Lien

(LIBOR plus 2.00%)

4.04%

08/04/23

^1,2

1,186,193

1,191,382

Vistra Operations Co., LLC, Term Loan B3,

1st Lien

(LIBOR plus 2.00%)

4.02%

12/31/25

^1,2

1,886,218

1,893,952

4.04%

12/31/25

^1,2

2,791,198

2,802,642

5,887,976

Entertainment — 0.25%

WMG Acquisition Corp., Term Loan F,

1st Lien

(LIBOR plus 2.13%)

4.17%

11/01/23

^1,2

1,100,000

1,102,475

Finance — 0.12%

Auris Lux Co., Term Loan B, 1st Lien

(Luxembourg)

(LIBOR plus 3.75%)

5.79%

02/27/26

^1,2,3

522,375

520,252

Food — 1.11%

Houston Foods, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

5.79%

07/20/25

^1,2

543,125

500,807

JBS USA, Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.54%

05/01/26

^1,2

4,438,847

4,464,748

4,965,555

Gaming — 1.08%

Caesars Entertainment LLC, Term Loan B,

1st Lien

(LIBOR plus 2.00%)

4.04%

10/07/24

^1,2

1,652,321

1,653,353

Churchill Downs, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.05%

12/27/24

^1,2

2,229,327

2,240,474

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

(LIBOR plus 2.75%)

4.79%

10/04/23

^1,2

528,051

528,217

4.81%

10/04/23

^1,2

425,403

425,537

4,847,581

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care — 3.18%

Acadia Healthcare Co., Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 2.50%)

4.54%

02/16/23

^1,2

1,218,745

1,222,078

Alphabet Holding Co., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

5.54%

09/26/24

^1,2

1,486,506

1,378,422

BCPE Eagle Buyer LLC,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

6.36%

03/13/24

^1,2

775,076

764,542

BCPE Eagle Buyer LLC,

Term Loan, 2nd Lien

(LIBOR plus 8.00%)

10.04%

03/13/25

^1,2

465,000

448,725

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.54%

03/01/24

^1,2

1,201,799

1,197,821

Kindred at Home, Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.81%

07/02/25

^1,2

1,088,552

1,096,036

MPH Acquisition Holdings LLC, Term Loan B,

1st Lien

(LIBOR plus 2.75%)

4.85%

06/07/23

^1,2

2,000,000

1,910,830

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

4.79%

11/27/25

^1,2

2,717,106

2,725,773

(LIBOR plus 3.00%)

5.04%

06/02/25

^1,2

2,611,443

2,625,049

Wink Holdco, Inc., Term Loan, 2nd Lien

(LIBOR plus 6.75%)

8.80%

12/01/25

^1,2

850,000

845,750

14,215,026

Industrials — 0.94%

Berry Global, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.55%

07/01/26

^1,2

2,693,250

2,709,369

Liqui-Box Corp., Term Loan B, 1st Lien

(LIBOR plus 4.50%)

4.50%

06/03/26

^1,2

1,500,000

1,488,750

4,198,119

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology — 2.59%

IQVIA, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

3.85%

06/11/25

^1,2

4,514,788

4,526,798

Scientific Games International, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.75%)

4.79%

08/14/24

^1,2

350,246

347,796

4.90%

08/14/24

^1,2

1,449,996

1,439,853

SS&C Technologies Holdings Europe SARL,

Term Loan B4, 1st Lien

(LIBOR plus 2.25%)

4.29%

04/16/25

^1,2

1,606,999

1,614,391

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.25%)

4.29%

04/16/25

^1,2

2,432,918

2,444,110

TierPoint LLC, Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.79%

05/06/24

^1,2

1,261,791

1,177,409

11,550,357

Materials — 0.45%

Axalta Coating Systems U.S. Holdings, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

3.85%

06/01/24

^1,2

1,987,418

1,990,826

Real Estate Investment Trust (REIT) — 2.70%

MGM Growth Properties,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.04%

03/21/25

^1,2

5,018,140

5,036,607

SBA Senior Finance II LLC, Term Loan B,

1st Lien

(LIBOR plus 2.00%)

4.05%

04/11/25

^1,2

3,817,121

3,824,106

VICI Properties 1 LLC, Term Loan, 1st Lien

(LIBOR plus 2.00%)

4.05%

12/20/24

^1,2

3,203,636

3,215,986

12,076,699

Retail — 0.56%

BC ULC/New Red Finance, Inc.,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 2.25%)

4.29%

02/16/24

^1,2,3

2,471,018

2,482,137

Services — 0.64%

GFL Environmental, Inc., Term Loan B,

1st Lien

(LIBOR plus 3.00%)

5.04%

05/30/25

^1,2

1,743,068

1,731,085


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services (continued)
PowerTeam Services LLC,
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
9.35%		03/06/26	^1,2,4	$	1,565,000	$	1,134,625


							2,865,710

Total Bank Loans
(Cost $97,238,929)							97,081,764


CORPORATES — 68.20%*
Communications — 20.02%
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.88%		04/01/24	²		1,950,000		2,039,622
Charter Communications Operating LLC/
Charter Communications Operating Capital
3.75%		02/15/28			4,500,000		4,617,389
4.20%		03/15/28			2,000,000		2,105,149
4.91%		07/23/25			4,350,000		4,769,079
CSC Holdings LLC
6.50%		02/01/29	²		768,000		855,053
6.63%		10/15/25	²		4,760,000		5,106,528
DISH DBS Corp.
5.88%		11/15/24			489,000		485,944
7.75%		07/01/26			449,000		457,419
DISH Network Corp.
3.38%		08/15/26			1,398,000		1,284,351
EW Scripps Co. (The)
5.13%		05/15/25	²		1,542,000		1,557,420
5.88%		07/15/27	²		1,732,000		1,764,475
Frontier Communications Corp.
7.13%		01/15/23			3,761,000		1,701,853
8.00%		04/01/27	²		718,000		759,105
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		5,358,000		5,025,268
9.75%		07/15/25	^2,3		1,781,000		1,869,159
Intelsat Luxembourg SA (Luxembourg)
8.13%		06/01/23	³		2,545,000		2,130,649
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	³		1,100,000		1,487,418
Level 3 Financing, Inc.
4.63%		09/15/27	²		1,500,000		1,517,325
6.13%		01/15/21			693,000		694,386
Midcontinent Communications/Midcontinent
Finance Corp.
5.38%		08/15/27	²		795,000		838,725
Qwest Corp.
6.75%		12/01/21			4,980,000		5,397,075
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	²		2,150,000		2,235,688


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sirius XM Radio, Inc.
3.88%		08/01/22	²	$	3,601,000	$	3,656,140
Sprint Communications, Inc.
7.00%		03/01/20	²		2,768,000		2,819,900
Sprint Corp.
7.88%		09/15/23			2,450,000		2,695,000
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		2,008,000		2,020,550
5.15%		03/20/28	²		4,154,000		4,517,475
TEGNA, Inc.
5.13%		10/15/19			2,980,000		2,983,353
Telesat Canada/Telesat LLC (Canada)
6.50%		10/15/27	^2,3		3,555,000		3,621,656
T-Mobile USA, Inc.
4.75%		02/01/28			500,000		523,490
6.00%		03/01/23			7,100,000		7,250,449
6.50%		01/15/24			5,025,000		5,219,719
Univision Communications, Inc.
5.13%		02/15/25	²		1,123,000		1,092,791
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%		05/15/29	^2,3		3,739,000		3,911,929
Windstream Services LLC/Windstream
Finance Corp.⁵
9.00%		06/30/25	^2,6		726,000		395,670


							89,407,202

Consumer Discretionary — 3.50%
Bacardi Ltd. (Bermuda)
4.45%		05/15/25	^2,3		675,000		722,446
4.50%		01/15/21	^2,3		335,000		341,632
5.30%		05/15/48	^2,3		1,475,000		1,692,560
High Ridge Brands Co.
8.88%		03/15/25	^2,4,7		400,000		36,000
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC/Reynolds Group Issuer
Luxembourg SA
5.75%		10/15/20			5,427,003		5,440,571
(LIBOR USD 3-Month plus 3.50%)
5.80%		07/15/21	^1,2		7,373,000		7,400,649


							15,633,858

Electric — 0.03%
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20	^4,7		145,183		151,353


Energy — 8.68%
Antero Resources Corp.
5.00%		03/01/25	⁸		1,916,000		1,568,169
5.63%		06/01/23			825,000		712,594


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Endeavor Energy Resources LP/EER
Finance, Inc.
5.75%		01/30/28	²	$	1,267,000	$	1,352,523
EQT Corp.
3.90%		10/01/27			2,280,000		1,978,149
Hess Corp.
5.60%		02/15/41			1,940,000		2,168,546
NGPL Pipe Co. LLC
4.38%		08/15/22	²		3,295,000		3,417,724
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	²		609,000		621,003
Petroleos Mexicanos (Mexico)
6.75%		09/21/47	³		1,300,000		1,245,920
7.69%		01/23/50	^2,3		1,100,000		1,147,740
Range Resources Corp.
4.88%		05/15/25			1,485,000		1,232,550
Rockies Express Pipeline LLC
5.63%		04/15/20	²		4,553,000		4,626,986
6.88%		04/15/40	²		2,578,000		2,818,527
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29	²		3,100,000		3,394,717
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26			1,171,000		1,132,943
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^2,3		3,517,500		3,693,375
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^2,3		1,430,230		1,458,835
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^2,3		1,877,250		1,914,795
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26			1,012,000		1,055,010
6.88%		09/01/27	²		1,587,000		1,646,513
Valaris PLC (United Kingdom)
7.75%		02/01/26	³		1,398,000		755,200
WPX Energy, Inc.
5.25%		09/15/24			814,000		829,181


							38,771,000

Finance — 4.29%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
3.50%		01/15/25	³		450,000		459,533
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	^2,3		6,952,000		7,393,452
Ford Motor Credit Co. LLC
3.34%		03/18/21			1,257,000		1,262,536


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
5.88%		08/02/21		$	2,225,000	$	2,331,246
(LIBOR USD 3-Month plus 0.93%)
3.22%		11/04/19	¹		3,350,000		3,352,680
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³		2,400,000		2,515,867
Trident TPI Holdings, Inc.
6.63%		11/01/25	²		2,073,000		1,824,240


							19,139,554

Food — 2.56%
B&G Foods, Inc.
4.63%		06/01/21			2,499,000		2,508,871
Kraft Heinz Foods Co.
4.63%		10/01/39	²		1,150,000		1,157,443
6.88%		01/26/39			950,000		1,170,378
Nathan’s Famous, Inc.
6.63%		11/01/25	²		696,000		704,700
Post Holdings, Inc.
5.50%		12/15/29	²		1,837,000		1,921,961
Sigma Holdco BV (Netherlands)
7.88%		05/15/26	^2,3		942,000		944,355
Smithfield Foods, Inc.
2.70%		01/31/20	²		866,000		862,753
5.20%		04/01/29	²		1,950,000		2,147,570


							11,418,031

Gaming — 0.34%
Churchill Downs, Inc.
4.75%		01/15/28	²		445,000		458,350
Twin River Worldwide Holdings, Inc.
6.75%		06/01/27	²		985,000		1,036,713


							1,495,063

Health Care — 13.67%
Bausch Health Cos., Inc. (Canada)
5.75%		08/15/27	^2,3		1,352,000		1,464,662
6.50%		03/15/22	^2,3		865,000		895,275
7.00%		03/15/24	^2,3		2,500,000		2,633,650
Bayer U.S. Finance II LLC
4.38%		12/15/28	²		1,125,000		1,213,603
Becton Dickinson and Co.
3.25%		11/12/20			3,303,000		3,335,819
Centene Corp.
4.75%		05/15/22			4,682,000		4,794,134
5.38%		06/01/26	²		1,350,000		1,410,750
5.63%		02/15/21			6,708,000		6,806,675
CVS Health Corp.
5.05%		03/25/48			2,250,000		2,557,611


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Elanco Animal Health, Inc.
3.91%		08/27/21		$	3,582,000	$	3,669,460
4.27%		08/28/23			1,740,000		1,827,508
Encompass Health Corp.
4.75%		02/01/30			3,450,000		3,494,505
Endo DAC/Endo Finance LLC/Endo Finco,
Inc. (Ireland)
6.00%		02/01/25	^2,3		1,315,000		769,275
HCA, Inc.
5.00%		03/15/24			10,700,000		11,695,575
5.25%		06/15/49			1,450,000		1,587,858
Hill-Rom Holdings, Inc.
4.38%		09/15/27	²		1,160,000		1,188,826
5.75%		09/01/23	²		2,376,000		2,445,379
Tenet Healthcare Corp.
4.63%		09/01/24	²		4,750,000		4,892,167
4.88%		01/01/26	²		750,000		770,625
5.13%		11/01/27	²		3,474,000		3,594,200


							61,047,557

Industrials — 7.70%
Ardagh Packaging Finance PLC/Ardagh
Holdings USA, Inc. (Ireland)
4.13%		08/15/26	^2,3		6,800,000		6,859,500
Ball Corp.
4.38%		12/15/20			1,883,000		1,925,367
4.88%		03/15/26			1,428,000		1,554,735
Bombardier, Inc. (Canada)
7.88%		04/15/27	^2,3		1,546,000		1,543,449
Clean Harbors, Inc.
4.88%		07/15/27	²		3,200,000		3,348,000
Energizer Holdings, Inc.
7.75%		01/15/27	²		979,000		1,093,249
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
2.64%		08/15/36	¹		1,300,000		947,397
Graphic Packaging International LLC
4.75%		07/15/27	²		4,000,000		4,220,000
4.88%		11/15/22			3,531,000		3,698,723
Sealed Air Corp.
5.50%		09/15/25	²		4,198,000		4,533,840
Silgan Holdings, Inc.
4.75%		03/15/25			304,000		312,360
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^2,3		2,195,000		2,071,531


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Trivium Packaging Finance BV (Netherlands)
5.50%		08/15/26	^2,3	$	1,000,000	$	1,053,700
8.50%		08/15/27	^2,3		1,112,000		1,205,130


							34,366,981

Information Technology — 0.75%
CDK Global, Inc.
3.80%		10/15/19			3,361,000		3,362,681


Real Estate Investment Trust (REIT) — 1.03%
GLP Capital LP/GLP Financing II, Inc.
5.30%		01/15/29			1,890,000		2,090,264
5.38%		11/01/23			1,050,000		1,139,765
5.75%		06/01/28			1,215,000		1,386,607


							4,616,636

Retail — 1.00%
Cumberland Farms, Inc.
6.75%		05/01/25	²		540,000		578,475
Rite Aid Corp.
6.13%		04/01/23	²		4,863,000		3,876,297


							4,454,772

Services — 1.39%
IHS Markit Ltd. (Bermuda)
5.00%		11/01/22	^2,3		3,080,000		3,284,952
Service Corp. International/U.S.
4.63%		12/15/27			1,174,000		1,229,765
Waste Pro USA, Inc.
5.50%		02/15/26	²		1,610,000		1,667,896


							6,182,613

Transportation — 3.24%
American Airlines Pass-Through Trust,
Series 2013-1, Class B
5.63%		01/15/21	²		2,920,407		2,988,400
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			851,693		881,630
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			6,658,162		7,047,265
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			1,208,817		1,322,904
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			1,982,679		2,215,167


							14,455,366

Total Corporates
(Cost $301,001,756)							304,502,667

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED — 4.46%**

Non-Agency Mortgage-Backed — 4.46%

Ajax Mortgage Loan Trust,

Series 2019-D, Class A1

(STEP-reset date 10/25/19)

2.96%

09/25/65

2,161,697

2,157,140

Alternative Loan Trust,

Series 2004-J9, Class M1

(LIBOR USD 1-Month plus 0.98%)

2.99%

10/25/34

1,904,905

1,905,138

Banc of America Funding Trust,

Series 2005-C, Class A1

(LIBOR USD 1-Month plus 0.24%)

2.28%

05/20/35

2,259,826

2,263,813

GSAMP Trust, Series 2005-HE4, Class M3

(LIBOR USD 1-Month plus 0.78%)

2.80%

07/25/45

2,350,000

2,335,420

GSAMP Trust, Series 2005-HE5, Class M3

(LIBOR USD 1-Month plus 0.46%)

2.48%

11/25/35

2,500,889

2,468,937

Impac Secured Assets Corp.,

Series 2004-4, Class M3

(LIBOR USD 1-Month plus 0.90%)

2.92%

02/25/35

1,800,000

1,798,296

Lehman XS Trust, Series 2005-7N,

Class 1A1A

(LIBOR USD 1-Month plus 0.54%)

2.56%

12/25/35

1,142,920

1,103,075

MASTR Adjustable Rate Mortgages Trust,

Series 2007-HF2, Class A1

(LIBOR USD 1-Month plus 0.31%)

2.33%

09/25/37

1,857,956

1,829,163

Morgan Stanley Resecuritization Trust,

Series 2014-R3, Class 2A

3.00%

07/26/48

^2,9

2,085,284

2,087,715

Opteum Mortgage Acceptance Corp.

Asset-Backed Pass-Through Certificates,

Series 2005-4, Class 1APT

(LIBOR USD 1-Month plus 0.31%)

2.33%

11/25/35

1,962,947

1,974,562

Total Mortgage-Backed

(Cost $19,864,301)

19,923,259

Total Bonds – 94.40%

(Cost $418,104,986)

421,507,690

Issues

Shares

Value

COMMON STOCK — 0.55%

Electric — 0.51%

Homer City Holdings

LLC^2,4,5,7,10

502,908

2,263,086

Energy — 0.04%

Sabine Oil & Gas

Holdings, Inc.^4,5,7

3,587

201,769

Total Common Stock

(Cost $30,886,763)

2,464,855

WARRANT — 0.03%

Energy — 0.03%

Sabine Oil & Gas Holdings,

Inc. Warrant Tranche 1^2,4,5,7

11,172

117,306

Sabine Oil & Gas Holdings,

Inc. Warrant Tranche 2^4,5,7

2,347

29,337

Total Warrant

(Cost $2,595,507)

146,643

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 8.63%

Money Market Funds — 6.19%

Dreyfus Government Cash Management

Fund

1.95%¹¹

22,392,000

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

1.97%¹¹

5,261,500

27,653,500

U.S. Agency Discount Notes — 2.24%

Federal Home Loan Bank

1.99%¹²

10/03/19

10,000,000

9,998,961

U.S. Treasury Bills — 0.20%

U.S. Treasury Bills

1.89%^12,13

12/26/19

870,000

866,301

Total Short-Term Investments

(Cost $38,518,476)

38,518,762

Total Investments – 103.61%

(Cost $490,105,732)

462,637,950

Liabilities in Excess of Other

Assets – (3.61)%

(16,107,279

)

Net Assets – 100.00%

446,530,671

¹	Floating rate security. The rate disclosed was in effect at September 30, 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	Non-income producing security.

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

⁷	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,798,851, which is 0.63% of total net assets.

⁸	All or a portion of this security’s market value is pledged as collateral for the reverse repurchase agreement.

⁹	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.

¹⁰	Affiliated investment.

¹¹	Represents the current yield as of September 30, 2019.

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 $866,259.

*	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.

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 101.86%

ASSET-BACKED SECURITIES — 5.83%**

Academic Loan Funding Trust,

Series 2012-1A, Class A2

(LIBOR USD 1-Month plus 1.10%)

3.12%

12/27/44

^1,2

755,054

756,117

Barings CLO Ltd., Series 2013-IA,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.08%

01/20/28

^1,2,3

1,315,000

1,315,151

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.36%

07/20/28

^1,2,3

50,000

50,045

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

2.57%

01/25/35

^1,2

381,449

379,942

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

3.33%

02/25/35

650,000

656,531

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

2.93%

02/25/30

30,512

30,484

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

3.28%

10/27/36

1,030,000

1,041,919

CIT Education Loan Trust, Series 2007-1,

Class A

(LIBOR USD 3-Month plus 0.09%)

2.20%

03/25/42

^1,2

268,060

257,747

Corevest American Finance Trust,

Series 2019-1, Class XA (IO)

2.35%

03/15/52

^2,4

5,975,923

568,534

Dryden 71 CLO Ltd.,

Series 2018-71A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.45%

01/15/29

^1,2,3

1,715,000

1,715,073

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.20%

04/15/29

^1,2,3

1,785,000

1,781,873

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

2.93%

04/25/35

299,125

298,083

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

2.67%

08/27/46

^1,2

779,396

743,599

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

Class A2 (Barbados)

3.09%

07/17/29

^2,3

809,583

815,676

Higher Education Funding I, Series 2014-1,

Class A

(LIBOR USD 3-Month plus 1.05%)

3.18%

05/25/34

^1,2

1,190,952

1,196,699

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

454,390

492,207

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

844,250

904,280

LCM XIX LP, Series 19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

3.54%

07/15/27

^1,2,3

50,000

50,199

LCM XX LP, Series 20A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.04%)

3.32%

10/20/27

^1,2,3

1,700,000

1,700,918

Magnetite XVIII Ltd., Series 2016-18A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.24%

11/15/28

^1,2,3

50,000

50,032

Navient Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.51%)

2.53%

06/25/31

2,173,577

2,158,400

Navient Student Loan Trust, Series 2014-2,

Class A

(LIBOR USD 1-Month plus 0.64%)

2.66%

03/25/83

69,944

69,048

Navient Student Loan Trust, Series 2014-3,

Class A

(LIBOR USD 1-Month plus 0.62%)

2.64%

03/25/83

1,861,444

1,835,618

Navient Student Loan Trust, Series 2014-4,

Class A

(LIBOR USD 1-Month plus 0.62%)

2.64%

03/25/83

1,728,789

1,704,955

Navient Student Loan Trust, Series 2016-2A,

Class A3

(LIBOR USD 1-Month plus 1.50%)

3.52%

06/25/65

^1,2

1,640,000

1,699,491

Nelnet Student Loan Trust, Series 2011-1A,

Class A

(LIBOR USD 1-Month plus 0.85%)

2.87%

02/25/48

^1,2

1,025,357

1,031,885

Nelnet Student Loan Trust, Series 2014-4A,

Class A2

(LIBOR USD 1-Month plus 0.95%)

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

2.97%

11/25/48

^1,2

1,370,000

1,344,530

Nelnet Student Loan Trust, Series 2019-4A,

Class A

(LIBOR USD 1-Month plus 0.87%)

3.04%

09/26/67

^1,2

1,900,000

1,903,158

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(LIBOR USD 3-Month plus 0.75%)

3.01%

01/29/46

74,868

74,500

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.92%)

3.20%

10/20/27

^1,2,3

1,875,000

1,874,952

SLC Student Loan Trust, Series 2004-1,

Class B

(LIBOR USD 3-Month plus 0.29%)

2.45%

08/15/31

156,406

142,730

SLC Student Loan Trust, Series 2008-1,

Class A4A

(LIBOR USD 3-Month plus 1.60%)

3.72%

12/15/32

346,723

354,497

SLM Student Loan Trust, Series 2004-2,

Class B

(LIBOR USD 3-Month plus 0.47%)

2.75%

07/25/39

190,092

180,737

SLM Student Loan Trust, Series 2006-2,

Class A6

(LIBOR USD 3-Month plus 0.17%)

2.45%

01/25/41

89,707

86,457

SLM Student Loan Trust, Series 2006-8,

Class A6

(LIBOR USD 3-Month plus 0.16%)

2.44%

01/25/41

1,025,000

980,883

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

4.16%

01/25/83

185,000

177,083

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.48%

04/26/83

185,000

178,366

SLM Student Loan Trust, Series 2008-4,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

04/25/73

185,000

184,257

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/25/73

2,235,000

2,256,240

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

3.38%

07/25/23

2,264,103

2,257,724

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%)

4.13%

07/26/83

185,000

184,257

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/26/83

185,000

184,342

SLM Student Loan Trust, Series 2008-8,

Class B

(LIBOR USD 3-Month plus 2.25%)

4.53%

10/25/75

185,000

186,362

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)

3.78%

04/25/23

854,070

859,592

SLM Student Loan Trust, Series 2008-9,

Class B

(LIBOR USD 3-Month plus 2.25%)

4.53%

10/25/83

1,885,000

1,902,966

SLM Student Loan Trust, Series 2009-3,

Class A

(LIBOR USD 1-Month plus 0.75%)

2.77%

01/25/45

^1,2

3,517,564

3,508,274

SLM Student Loan Trust, Series 2011-2,

Class A2

(LIBOR USD 1-Month plus 1.20%)

3.22%

10/25/34

500,000

507,542

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

2.67%

05/26/26

713,908

697,274

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/46

^2,†

527,873

625,488

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

559,129

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

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

3.52%

07/17/28

^1,2,3

10,000

10,005

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

Class ARR (Cayman Islands)

(LIBOR USD 3-Month plus 1.07%)

3.35%

10/20/28

^1,2,3

50,000

50,060

Total Asset-Backed Securities

(Cost $44,323,355)

44,575,911

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS — 0.68%*

Automotive — 0.02%

Panther BF Aggregator 2 LP/Panther

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

(LIBOR plus 3.50%)

5.54%

04/30/26

^1,2

200,000

198,688

Communications — 0.11%

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.28%

01/15/26

^1,2

358,200

358,558

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

6.63%

01/02/24

^1,2,3

225,000

230,554

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

(LIBOR plus 1.75%)

3.81%

03/14/25

^1,2

197,000

198,109

Sprint Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.50%)

4.56%

02/02/24

^1,2

54,304

53,998

841,219

Consumer Discretionary — 0.06%

Reynolds Group Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.75%)

4.79%

02/06/23

^1,2

436,531

437,832

Electric — 0.01%

Vistra Operations Co., LLC, Term Loan B1,

1st Lien

(LIBOR plus 2.00%)

4.04%

08/04/23

^1,2

81,775

82,133

Finance — 0.24%

Avolon TLB Borrower 1 US LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

3.79%

01/15/25

^1,2

95,108

95,579

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

3.85%

10/06/23

^1,2

1,733,447

1,741,030

1,836,609

Gaming — 0.01%

Churchill Downs, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.05%

12/27/24

^1,2

54,309

54,581

Health Care — 0.11%

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.54%

03/01/24

^1,2

202,847

202,176


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Kindred at Home, Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.81%		07/02/25	^1,2	$	29,700	$	29,904
MPH Acquisition Holdings LLC, Term Loan B,
1st Lien
(LIBOR plus 2.75%)
4.85%		06/07/23	^1,2		641,103		612,520


							844,600

Industrials — 0.06%
Berry Global, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.55%		07/01/26	^1,2		249,375		250,868
TransDigm, Inc., Term Loan E, 1st Lien
(LIBOR plus 2.50%)
4.54%		05/30/25	^1,2		198,489		197,959


							448,827

Information Technology — 0.02%
SS&C Technologies Holdings Europe SARL,
Term Loan B4, 1st Lien
(LIBOR plus 2.25%)
4.29%		04/16/25	^1,2		71,862		72,193
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.29%		04/16/25	^1,2		108,796		109,296


							181,489

Real Estate Investment Trust (REIT) — 0.04%
MGM Growth Properties,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.04%		03/21/25	^1,2		297,686		298,782


Total Bank Loans
(Cost $5,200,311)							5,224,760


CORPORATES — 29.84%*
Automotive — 0.12%
General Motors Co.
4.88%		10/02/23			845,000		907,013


Banking — 2.90%
Bank of America Corp.
3.00%		12/20/23	⁴		1,871,000		1,911,785
Bank of America Corp. (GMTN)
3.59%		07/21/28	⁴		440,000		463,637
Bank of America Corp. (MTN)
3.09%		10/01/25	⁴		1,650,000		1,698,796
3.56%		04/23/27	⁴		605,000		638,639
3.97%		03/05/29	⁴		40,000		43,336


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
4.27%		07/23/29	⁴	$	920,000	$	1,023,422
Bank of New York Mellon Corp. (The) (MTN)
2.50%		04/15/21			1,076,000		1,084,299
2.60%		02/07/22			665,000		674,528
3.25%		09/11/24			365,000		382,586
JPMorgan Chase & Co.
3.51%		06/18/22	⁴		40,000		40,911
3.51%		01/23/29	⁴		50,000		52,894
3.96%		01/29/27	⁴		50,000		54,102
4.02%		12/05/24	⁴		1,820,000		1,941,653
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,4		2,800,000		2,810,674
3.90%		03/12/24	³		355,000		371,725
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		10/16/20	³		1,065,000		1,070,683
4.80%		11/15/24	^3,4		50,000		53,591
Santander UK PLC (United Kingdom)
3.40%		06/01/21	³		1,650,000		1,679,113
U.S. Bancorp, Series V (MTN)
2.63%		01/24/22			95,000		96,197
Wells Fargo & Co.
3.00%		04/22/26			640,000		656,647
3.00%		10/23/26			1,810,000		1,860,500
3.07%		01/24/23			50,000		50,940
Wells Fargo & Co. (MTN)
3.30%		09/09/24			3,040,000		3,174,003
Wells Fargo Bank N.A. (BKNT)
2.08%		09/09/22	⁴		355,000		354,067


							22,188,728

Communications — 2.50%
AT&T, Inc.
3.40%		05/15/25			325,000		339,001
3.55%		06/01/24			800,000		836,126
3.60%		07/15/25			1,155,000		1,218,242
3.88%		01/15/26			1,530,000		1,624,445
4.10%		02/15/28			50,000		54,097
(LIBOR USD 3-Month plus 1.18%)
3.31%		06/12/24	¹		1,200,000		1,223,311
CBS Corp.
2.50%		02/15/23			40,000		40,157
Charter Communications Operating LLC/
Charter Communications Operating Capital
4.91%		07/23/25			1,500,000		1,644,510
Comcast Corp.
2.75%		03/01/23			45,000		46,142
CSC Holdings LLC
5.50%		05/15/26	²		350,000		369,215


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
6.50%		02/01/29	²	$	43,000	$	47,874
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		344,000		322,638
9.75%		07/15/25	^2,3		585,000		613,958
Level 3 Financing, Inc.
4.63%		09/15/27	²		131,000		132,513
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	²		750,000		779,891
SES SA (Luxembourg)
3.60%		04/04/23	^2,3		1,500,000		1,524,449
Sirius XM Radio, Inc.
3.88%		08/01/22	²		219,000		222,353
Sprint Corp.
7.63%		03/01/26			68,000		75,225
7.88%		09/15/23			211,000		232,100
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		1,843,500		1,855,022
4.74%		03/20/25	²		780,000		831,098
5.15%		03/20/28	²		785,000		853,688
Time Warner Cable LLC
4.00%		09/01/21			50,000		51,169
T-Mobile USA, Inc.
4.50%		02/01/26			172,000		177,040
6.00%		03/01/23			280,000		285,933
6.00%		04/15/24			293,000		304,720
6.50%		01/15/24			367,000		381,221
Verizon Communications, Inc.
4.33%		09/21/28			468,000		528,966
Viacom, Inc.
4.25%		09/01/23			1,000,000		1,068,021
Vodafone Group PLC (United Kingdom)
3.75%		01/16/24	³		500,000		526,638
4.38%		05/30/28	³		780,000		862,234


							19,071,997

Consumer Discretionary — 0.90%
Anheuser-Busch InBev Worldwide, Inc.
4.75%		01/23/29			730,000		849,119
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3		740,000		808,881
BAT Capital Corp.
2.76%		08/15/22			755,000		761,931
3.46%		09/06/29			770,000		754,883
3.56%		08/15/27			820,000		826,561
4.39%		08/15/37			385,000		373,702
First Quality Finance Co., Inc.
5.00%		07/01/25	²		111,000		115,027


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Reckitt Benckiser Treasury Services PLC
(United Kingdom)
2.75%		06/26/24	^2,3	$	1,595,000	$	1,624,869
Reynolds American, Inc.
4.45%		06/12/25			365,000		389,583
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC/Reynolds Group Issuer
Luxembourg SA
5.75%		10/15/20			339,188		340,036


							6,844,592

Electric — 1.90%
AEP Texas, Inc.
3.85%		10/01/25	²		1,150,000		1,218,378
Duke Energy Corp.
2.65%		09/01/26			30,000		30,218
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²		395,000		420,120
6.40%		09/15/20	²		1,843,000		1,906,358
Entergy Corp.
4.00%		07/15/22			955,000		996,045
Entergy Mississippi LLC
3.10%		07/01/23			1,435,000		1,474,544
Kansas City Power & Light Co.
3.65%		08/15/25			640,000		683,645
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			1,995,000		2,204,252
Metropolitan Edison Co.
4.00%		04/15/25	²		770,000		817,849
MidAmerican Energy Co.
3.10%		05/01/27			45,000		47,425
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.55%)
2.69%		08/28/21	¹		1,635,000		1,635,505
Public Service Co. of New Mexico
3.85%		08/01/25			1,405,000		1,466,323
Southwestern Electric Power Co.
3.55%		02/15/22			955,000		981,073
Tucson Electric Power Co.
3.85%		03/15/23			595,000		616,468
Virginia Electric & Power Co., Series C
2.75%		03/15/23			50,000		50,981


							14,549,184

Energy — 2.95%
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	²		2,555,000		2,675,227
Canadian Natural Resources Ltd. (Canada)
3.85%		06/01/27	³		8,000		8,429


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Concho Resources, Inc.
3.75%		10/01/27		$	30,000	$	31,207
Energy Transfer Operating LP
4.05%		03/15/25			2,000,000		2,089,759
5.50%		06/01/27			71,000		80,446
5.88%		01/15/24			1,000,000		1,113,550
Energy Transfer Partners LP/Regency
Energy Finance Corp.
5.00%		10/01/22			235,000		249,923
Matador Resources Co.
5.88%		09/15/26			225,000		226,125
NiSource, Inc.
2.65%		11/17/22			970,000		982,979
Occidental Petroleum Corp.
3.50%		08/15/29			306,000		310,598
Petroleos Mexicanos (Mexico)
2.00%		12/20/22	³		1,050,000		1,051,502
5.35%		02/12/28	³		365,000		349,853
6.50%		01/23/29	³		2,010,000		2,044,170
6.63%		06/15/35	³		1,570,000		1,542,133
6.84%		01/23/30	^2,3		1,150,000		1,191,515
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25			780,000		834,022
Range Resources Corp.
4.88%		05/15/25			225,000		186,750
Rockies Express Pipeline LLC
4.95%		07/15/29	²		1,000,000		996,325
Ruby Pipeline LLC
6.00%		04/01/22	²		768,182		798,909
Sabine Pass Liquefaction LLC
5.75%		05/15/24			1,081,000		1,203,763
Shell International Finance BV (Netherlands)
3.25%		05/11/25	³		40,000		42,353
Spectra Energy Partners LP
4.75%		03/15/24			1,500,000		1,636,828
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29	²		119,000		130,313
TC PipeLines LP
4.65%		06/15/21			2,030,000		2,097,268
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		09/01/27	²		181,000		187,788
Williams Cos., Inc. (The)
3.35%		08/15/22			480,000		491,561


							22,553,296


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance — 5.31%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
4.45%		12/16/21	³	$	750,000	$	780,089
Air Lease Corp.
2.13%		01/15/20			1,170,000		1,169,488
2.25%		01/15/23			1,000,000		995,931
4.75%		03/01/20			35,000		35,340
Citibank N.A. (BKNT)
2.10%		06/12/20			290,000		290,125
Daimler Finance North America LLC
3.00%		02/22/21	²		30,000		30,301
(LIBOR USD 3-Month plus 0.90%)
3.06%		02/15/22	^1,2		1,900,000		1,910,479
Durrah MSN 35603 (Cayman Islands)
1.68%		01/22/25	³		3,085,940		3,066,170
Ford Motor Credit Co. LLC
2.34%		11/02/20			1,095,000		1,083,760
2.43%		06/12/20			850,000		847,982
3.20%		01/15/21			2,500,000		2,506,094
3.22%		01/09/22			500,000		499,667
3.34%		03/28/22			40,000		40,064
5.60%		01/07/22			1,330,000		1,397,792
5.88%		08/02/21			1,000,000		1,047,751
GE Capital International Funding Co.
(Ireland)
2.34%		11/15/20	³		4,185,000		4,174,533
4.42%		11/15/35	³		1,000,000		1,048,278
General Motors Financial Co., Inc.
2.65%		04/13/20			50,000		50,071
3.55%		04/09/21			1,000,000		1,014,856
Goldman Sachs Group, Inc. (The)
2.63%		04/25/21			50,000		50,304
2.75%		09/15/20			1,275,000		1,282,048
3.27%		09/29/25	⁴		2,990,000		3,086,718
3.69%		06/05/28	⁴		775,000		814,018
3.75%		02/25/26			20,000		21,167
4.22%		05/01/29	⁴		355,000		387,610
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
3.21%		07/22/22	¹		1,180,000		1,189,250
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,4		390,000		397,773
3.77%		03/08/24	^2,3,4		730,000		750,004
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^2,3		1,010,000		1,049,202
Raymond James Financial, Inc.
3.63%		09/15/26			250,000		261,749
5.63%		04/01/24			1,990,000		2,247,130


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Safina Ltd. (Cayman Islands)
2.00%		12/30/23	³	$	5,237,050	$	5,242,549
Sandalwood 2013 LLC
2.90%		07/10/25			1,799,898		1,849,485


							40,617,778

Food — 0.94%
Campbell Soup Co.
3.30%		03/15/21			30,000		30,420
(LIBOR USD 3-Month plus 0.50%)
2.62%		03/16/20	¹		1,000,000		1,000,181
Conagra Brands, Inc.
4.60%		11/01/25			1,400,000		1,540,767
Kraft Heinz Foods Co.
3.00%		06/01/26			960,000		950,636
3.75%		04/01/30	²		1,480,000		1,495,083
3.95%		07/15/25			1,265,000		1,325,124
4.63%		01/30/29			790,000		855,270


							7,197,481

Gaming — 0.06%
Churchill Downs, Inc.
5.50%		04/01/27	²		446,000		472,693


Health Care — 4.85%
AbbVie, Inc.
3.60%		05/14/25			1,777,000		1,849,673
Aetna, Inc.
2.80%		06/15/23			50,000		50,676
3.50%		11/15/24			1,250,000		1,303,250
Alcon Finance Corp.
2.75%		09/23/26	²		2,000,000		2,019,552
Allergan Funding SCS (Luxembourg)
3.85%		06/15/24	³		1,342,000		1,416,845
Allergan Sales LLC
5.00%		12/15/21	²		500,000		525,466
Amgen, Inc.
3.63%		05/15/22			50,000		51,743
Anthem, Inc.
3.13%		05/15/22			1,995,000		2,041,454
Bausch Health Cos., Inc. (Canada)
5.75%		08/15/27	^2,3		294,000		318,499
Bayer U.S. Finance II LLC
4.25%		12/15/25	²		50,000		53,459
4.38%		12/15/28	²		2,600,000		2,804,771
5.50%		08/15/25	²		600,000		663,643
Bayer U.S. Finance LLC
3.38%		10/08/24	²		1,020,000		1,043,864
Baylor Scott & White Holdings
2.65%		11/15/26			1,530,000		1,515,462


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Becton Dickinson and Co.
2.89%		06/06/22		$	820,000	$	831,357
3.25%		11/12/20			30,000		30,298
3.73%		12/15/24			1,300,000		1,376,423
Celgene Corp.
3.45%		11/15/27			500,000		530,189
3.88%		08/15/25			1,625,000		1,755,314
CHS/Community Health Systems, Inc.
8.00%		03/15/26	²		152,000		152,380
8.63%		01/15/24	²		90,000		93,600
Cigna Corp.
4.13%		11/15/25			2,365,000		2,542,649
Cigna Holding Co.
3.05%		10/15/27			1,315,000		1,328,441
CVS Health Corp.
2.88%		06/01/26			50,000		50,157
3.25%		08/15/29			1,450,000		1,459,647
4.30%		03/25/28			3,250,000		3,517,278
5.05%		03/25/48			30,000		34,101
Elanco Animal Health, Inc.
3.91%		08/27/21			1,000,000		1,024,417
Eli Lilly & Co.
2.75%		06/01/25			350,000		361,599
Encompass Health Corp.
4.75%		02/01/30			328,000		332,231
HCA, Inc.
4.13%		06/15/29			1,145,000		1,206,544
5.25%		04/15/25			206,000		229,398
Hologic, Inc.
4.63%		02/01/28	²		60,000		62,025
Humana, Inc.
3.13%		08/15/29			875,000		876,030
3.85%		10/01/24			860,000		909,015
3.95%		03/15/27			885,000		940,096
Tenet Healthcare Corp.
4.88%		01/01/26	²		312,000		320,580
5.13%		11/01/27	²		525,000		543,165
UnitedHealth Group, Inc.
3.75%		07/15/25			855,000		920,039


							37,085,330

Industrials — 2.67%
Amcor Finance USA, Inc.
3.63%		04/28/26	²		1,950,000		2,027,638
4.50%		05/15/28	²		30,000		32,721
BAE Systems Holdings, Inc.
3.80%		10/07/24	²		630,000		663,634
Crane Co.
4.45%		12/15/23			1,130,000		1,197,772


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
General Electric Co. (GMTN)
2.20%		01/09/20		$	850,000	$	849,042
4.63%		01/07/21			1,080,000		1,107,367
General Electric Co. (MTN)
4.38%		09/16/20			125,000		127,230
5.55%		05/04/20			1,000,000		1,017,937
5.55%		01/05/26			1,090,000		1,238,140
(LIBOR USD 3-Month plus 0.48%)
2.64%		08/15/36	¹		1,115,000		812,575
General Electric Co., Series A (MTN)
6.75%		03/15/32			1,700,000		2,139,398
L3Harris Technologies, Inc.
3.85%		06/15/23	²		1,290,000		1,361,270
Northrop Grumman Corp.
2.93%		01/15/25			2,510,000		2,589,135
Packaging Corp. of America
2.45%		12/15/20			1,450,000		1,451,265
Sealed Air Corp.
5.50%		09/15/25	²		600,000		648,000
Siemens Financieringsmaatschappij NV
(Netherlands)
2.00%		09/15/23	^2,3		1,275,000		1,272,020
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.38%		04/30/25	^2,3		410,000		424,197
United Technologies Corp.
3.35%		08/16/21			635,000		649,346
WRKCo, Inc.
4.65%		03/15/26			730,000		802,010


							20,410,697

Information Technology — 0.33%
Analog Devices, Inc.
2.85%		03/12/20			30,000		30,112
Apple, Inc.
3.25%		02/23/26			20,000		21,214
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%		01/15/20			1,785,000		1,785,101
Broadcom, Inc.
3.13%		04/15/21	²		130,000		131,285
IQVIA, Inc.
5.00%		05/15/27	²		224,000		234,920
Oracle Corp.
2.40%		09/15/23			40,000		40,520
SS&C Technologies, Inc.
5.50%		09/30/27	²		258,000		270,100


							2,513,252


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 0.43%
Berkshire Hathaway, Inc.
3.13%		03/15/26		$	55,000	$	58,086
Nationwide Mutual Insurance Co.
4.41%		12/15/24	^2,4		1,212,000		1,207,455
New York Life Global Funding
3.00%		01/10/28	²		50,000		52,277
Pricoa Global Funding I
2.55%		11/24/20	²		1,945,000		1,955,307


							3,273,125

Materials — 0.12%
International Flavors & Fragrances, Inc.
4.45%		09/26/28			800,000		884,370


Real Estate Investment Trust (REIT) — 2.14%
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			2,340,000		2,364,207
3.75%		04/15/23			50,000		52,228
CC Holdings GS V LLC/Crown Castle
GS III Corp.
3.85%		04/15/23			230,000		241,868
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			1,140,000		1,145,843
5.25%		06/01/25			685,000		756,741
5.38%		11/01/23			30,000		32,565
5.38%		04/15/26			1,373,000		1,513,540
5.75%		06/01/28			325,000		370,903
HCP, Inc.
4.00%		12/01/22			713,000		748,793
4.25%		11/15/23			598,000		641,203
Healthcare Realty Trust, Inc.
3.75%		04/15/23			25,000		25,832
3.88%		05/01/25			1,400,000		1,463,848
Healthcare Trust of America Holdings LP
3.70%		04/15/23			920,000		951,534
Liberty Property LP
4.75%		10/01/20			50,000		51,287
Piedmont Operating Partnership LP
3.40%		06/01/23			1,210,000		1,223,417
Reckson Operating Partnership LP
7.75%		03/15/20			505,000		517,117
SL Green Operating Partnership LP
3.25%		10/15/22			1,350,000		1,377,429
(LIBOR USD 3-Month plus 0.98%)
3.15%		08/16/21	¹		1,000,000		1,000,174
Ventas Realty LP
3.25%		10/15/26			1,155,000		1,194,090
Ventas Realty LP/Ventas Capital Corp.
3.25%		08/15/22			40,000		41,029


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Welltower, Inc.
3.75%		03/15/23		$	640,000	$	670,443


							16,384,091

Retail — 0.22%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^2,3		10,000		10,070
3.55%		07/26/27	^2,3		640,000		666,622
eG Global Finance PLC (United Kingdom)
6.75%		02/07/25	^2,3		382,000		374,360
Rite Aid Corp.
6.13%		04/01/23	²		743,000		592,245
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			65,000		68,581


							1,711,878

Services — 0.32%
IHS Markit Ltd. (Bermuda)
4.13%		08/01/23	³		1,245,000		1,311,670
4.75%		02/15/25	^2,3		300,000		326,250
RELX Capital, Inc.
4.00%		03/18/29			740,000		808,379


							2,446,299

Transportation — 1.02%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23			387,355		406,554
Continental Airlines Pass-Through Trust,
Series 1999-2, Class A
7.26%		03/15/20			13,944		14,066
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			1,754,884		1,853,509
Continental Airlines Pass-Through Trust,
Series 2009-2, Class A
7.25%		11/10/19			1,682,289		1,690,331
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			567,370		600,528
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			876,862		923,862
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21			114,897		120,532
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			571,523		644,118


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		$	387,242	$	432,650
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25			332,785		359,649
Union Pacific Corp.
3.95%		09/10/28			640,000		708,422


							7,754,221

Water — 0.16%
American Water Capital Corp.
3.45%		06/01/29			1,128,000		1,204,026


Total Corporates
(Cost $220,261,245)							228,070,051


MORTGAGE-BACKED — 21.47%**
Non-Agency Commercial
Mortgage-Backed — 3.10%
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2018-PARK, Class A
4.23%		08/10/38	^2,4		1,095,000		1,238,083
CALI Mortgage Trust, Series 2019-101C,
Class A
3.96%		03/10/39	²		805,000		906,034
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.93%		09/10/45	^2,4		5,828,636		247,259
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.52%		02/10/48	⁴		14,445,857		812,351
Commercial Mortgage Pass-Through
Certificates, Series 2014-UBS2,
Class XA (IO)
1.36%		03/10/47	⁴		25,893,239		1,090,830
Commercial Mortgage Trust,
Series 2013-300P, Class A1
4.35%		08/10/30	²		1,160,000		1,243,765
Commercial Mortgage Trust,
Series 2013-CR8, Class XA (IO)
0.55%		06/10/46	⁴		43,538,888		557,483
Commercial Mortgage Trust,
Series 2014-277P, Class A
3.73%		08/10/49	^2,4		1,265,000		1,348,863
Commercial Mortgage Trust,
Series 2014-CR16, Class XA (IO)
1.14%		04/10/47	⁴		22,861,715		863,370
Commercial Mortgage Trust,
Series 2014-CR18, Class XA (IO)
1.16%		07/15/47	⁴		18,053,936		692,377
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
1.04%		08/10/48	⁴		17,026,091		706,239


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2016-787S, Class A
3.55%		02/10/36	²	$	1,225,000	$	1,306,132
GS Mortgage Securities Trust,
Series 2016-GS2, Class XA (IO)
1.80%		05/10/49	⁴		16,783,878		1,300,584
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	²		760,000		813,005
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C22, Class XA (IO)
1.00%		09/15/47	⁴		40,183,655		1,380,035
JPMBB Commercial Mortgage Securities
Trust, Series 2015-C29, Class XA (IO)
0.90%		05/15/48	⁴		39,232,207		983,610
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-C16,
Class XA (IO)
1.11%		12/15/46	⁴		14,640,056		478,617
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2019-OSB,
Class A
3.40%		06/05/39	²		740,000		798,798
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C21, Class XA (IO)
1.04%		03/15/48	⁴		36,730,983		1,395,186
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/13/49	²		960,000		960,946
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.96%		01/15/32	^2,4		1,170,000		1,247,167
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C2, Class XA (IO)
1.47%		05/10/63	^2,4		38,148,756		1,163,255
Wells Fargo Commercial Mortgage Trust,
Series 2010-C1, Class A1
3.35%		11/15/43	²		233,236		233,591
Wells Fargo Commercial Mortgage Trust,
Series 2015-C26, Class XA (IO)
1.36%		02/15/48	⁴		37,615,692		1,911,584


							23,679,164

Non-Agency Mortgage-Backed — 4.55%
Ameriquest Mortgage Securities, Inc.,
Asset-Backed Pass-Through Certificates,
Series 2004-R8, Class M1
(LIBOR USD 1-Month)
2.98%		09/25/34	¹		271,774		272,592
Amresco Residential Securities Corp.
Mortgage Loan Trust, Series 1998-1,
Class A5 (STEP-reset date 11/25/19)
7.15%		10/25/27			24,554		26,073


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)
2.99%		12/25/34	¹	$	494,215	$	493,046
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%		06/25/32			6,390		6,862
Banc of America Funding Trust,
Series 2015-R2, Class 9A1
(LIBOR USD 1-Month)
2.23%		03/27/36	^1,2		744,366		743,780
Bear Stearns ALT-A Trust, Series 2004-12,
Class 1M1
(LIBOR USD 1-Month)
2.95%		01/25/35	¹		2,487,996		2,476,724
Chevy Chase Mortgage Funding LLC,
Mortgage-Backed Certificates,
Series 2005-2A, Class A1
(LIBOR USD 1-Month)
2.20%		05/25/36	^1,2		75,615		76,085
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
4.18%		02/25/34	⁴		27,538		27,113
Conseco Finance Corp., Series 1996-7,
Class M1
7.70%		09/15/26	⁴		182,969		193,399
Conseco Finance Corp., Series 1998-4,
Class A5
6.18%		04/01/30			107,893		110,626
Conseco Finance Corp., Series 1998-6,
Class A8
6.66%		06/01/30	⁴		173,355		179,612
Conseco Finance Home Equity Loan Trust,
Series 2002-C, Class BF2
8.00%		06/15/32	^2,4		106,557		109,310
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%		08/01/32	⁴		12,166		12,208
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-14,
Class 4A1
3.79%		08/25/34	⁴		86,987		85,845
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB3,
Class AF1 (STEP-reset date 11/25/19)
3.38%		12/25/32			739,733		753,904
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB2,
Class AF4 (STEP-reset date 11/25/19)
3.43%		12/25/36			462,437		413,525

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A1

(LIBOR USD 1-Month)

2.08%

04/25/37

139,491

108,358

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A3

(LIBOR USD 1-Month)

2.27%

04/25/37

1,657,518

1,322,431

First Franklin Mortgage Loan Trust,

Series 2005-FFH4, Class M1

(LIBOR USD 1-Month)

2.50%

12/25/35

3,439,037

3,431,878

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA3, Class A1

4.05%

09/25/34

⁴

132,052

132,729

GSR Mortgage Loan Trust,

Series 2004-9, Class 5A7

4.26%

08/25/34

⁴

63,145

63,994

HarborView Mortgage Loan Trust,

Series 2007-7, Class 2A1A

(LIBOR USD 1-Month)

3.02%

10/25/37

2,835,033

2,836,945

HomeBanc Mortgage Trust, Series 2005-4,

Class A1

(LIBOR USD 1-Month)

2.29%

10/25/35

59,799

60,659

HSI Asset Securitization Corp. Trust,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month)

2.65%

11/25/35

490,430

490,856

HSI Asset Securitization Corp. Trust,

Series 2006-OPT1, Class 1A

(LIBOR USD 1-Month)

2.24%

12/25/35

190,966

190,495

IndyMac Index Mortgage Loan Trust,

Series 2004-AR7, Class A2

(LIBOR USD 1-Month)

2.88%

09/25/34

12,135

10,924

IndyMac Index Mortgage Loan Trust,

Series 2004-AR8, Class 2A2A

(LIBOR USD 1-Month)

2.82%

11/25/34

37,025

35,954

IndyMac Index Mortgage Loan Trust,

Series 2007-AR11, Class 1A1

3.34%

06/25/37

⁴

834,373

716,608

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1997-1,

Class A3

6.61%

02/25/28

100,956

102,009


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1997-1,
Class A4
6.75%		02/25/28		$	26,875	$	27,193
IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1998-1,
Class A4
6.49%		09/25/28			105,335		108,313
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(LIBOR USD 1-Month)
2.31%		07/25/36	¹		450,000		444,790
JPMorgan Mortgage Trust, Series 2007-A3,
Class 3A2
4.16%		05/25/37	⁴		206,282		204,456
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
4.26%		01/25/34	⁴		79,636		80,610
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
3.63%		06/25/34	⁴		1,819		1,777
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.64%		10/25/32	⁴		10,386		10,778
MASTR Seasoned Securitization Trust,
Series 2005-1, Class 4A1
4.57%		10/25/32	⁴		24,035		24,935
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month)
2.20%		06/25/37	¹		465,362		375,446
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2D
(LIBOR USD 1-Month)
2.27%		06/25/37	¹		859,976		709,555
Mid-State Capital Corp., Series 2004-1,
Class A
6.01%		08/15/37			293,756		317,817
Mid-State Capital Corp., Series 2004-1,
Class B
8.90%		08/15/37			403,195		459,394
Mid-State Capital Corp., Series 2004-1,
Class M1
6.50%		08/15/37			287,996		304,284
Mid-State Capital Corp., Series 2005-1,
Class M2
7.08%		01/15/40			486,720		552,392
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			663,620		705,731
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month)

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

2.95%

07/25/34

251,044

252,456

Morgan Stanley ABS Capital I Trust,

Series 2006-NC1, Class A4

(LIBOR USD 1-Month)

2.32%

12/25/35

631,606

630,784

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month)

2.24%

02/25/36

3,471,756

3,413,755

New York Mortgage Trust, Series 2005-3,

Class A1

(LIBOR USD 1-Month)

2.50%

02/25/36

1,100,662

1,106,197

Nomura Resecuritization Trust,

Series 2014-7R, Class 2A3

(LIBOR USD 1-Month)

2.35%

12/26/35

^1,2

1,913,065

1,908,385

Option One Mortgage Loan Trust,

Series 2005-2, Class M1

(LIBOR USD 1-Month)

2.68%

05/25/35

167,902

168,597

Residential Asset Mortgage Products Trust,

Series 2003-SL1, Class A41

8.00%

04/25/31

30,920

34,411

Residential Asset Mortgage Products Trust,

Series 2004-SL1, Class A7

7.00%

11/25/31

13,449

14,615

Residential Asset Mortgage Products Trust,

Series 2006-NC1, Class A3

(LIBOR USD 1-Month)

2.32%

01/25/36

2,685,447

2,636,797

Residential Asset Securities Corp.,

Series 2005-AHL3, Class A3

(LIBOR USD 1-Month)

2.36%

11/25/35

70,710

69,600

Residential Asset Securitization Trust,

Series 2004-IP2, Class 2A1

4.42%

12/25/34

⁴

22,070

22,462

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-15, Class A

4.29%

10/25/34

⁴

1,061,424

1,029,652

Structured Asset Mortgage Investments II

Trust, Series 2005-AR1, Class A1

(LIBOR USD 1-Month)

2.54%

04/19/35

715,017

712,508

Structured Asset Mortgage Investments II

Trust, Series 2005-AR8, Class A2

(Federal Reserve US 12-Month Cumulative

Average)

3.73%

02/25/36

563,948

561,994

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Structured Asset Mortgage Investments II

Trust, Series 2006-AR3, Class 22A1

3.81%

05/25/36

⁴

2,134,906

1,447,544

UCFC Home Equity Loan, Series 1998-D,

Class MF1

6.91%

04/15/30

4,988

5,082

WaMu Mortgage Pass-Through Certificates,

Series 2002-AR18, Class A

4.73%

01/25/33

⁴

5,452

5,711

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A3

(LIBOR USD 1-Month)

2.80%

10/25/45

982,248

961,797

34,794,362

U.S. Agency Commercial

Mortgage-Backed — 2.04%

Fannie Mae-Aces, Series 2015-M4,

Class X2 (IO)

0.48%

07/25/22

⁴

90,152,964

699,993

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K012,

Class X3 (IO)

2.33%

01/25/41

⁴

18,028,222

499,342

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K021,

Class A2

2.40%

06/25/22

105,000

106,074

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K025,

Class X3 (IO)

1.81%

11/25/40

⁴

15,975,000

823,639

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K031,

Class X1 (IO)

0.33%

04/25/23

⁴

98,595,512

722,942

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K035,

Class X3 (IO)

1.85%

12/25/41

⁴

18,000,000

1,179,180

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K037,

Class X3 (IO)

2.28%

01/25/42

⁴

13,274,876

1,144,267

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K043,

Class X3 (IO)

1.69%

02/25/43

⁴

12,000,000

922,060

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K045,

Class X1 (IO)

0.57%

01/25/25

⁴

35,252,661

730,269


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K047,
Class X1 (IO)
0.26%		05/25/25	⁴	$	145,670,058	$	1,155,302
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K056,
Class XAM (IO)
1.29%		05/25/26	⁴		9,400,000		661,290
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K072,
Class A2
3.44%		12/25/27			50,000		54,829
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K084,
Class A2
3.78%		10/25/28	⁴		1,920,000		2,158,833
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K158,
Class A3
3.90%		10/25/33	⁴		1,250,000		1,451,045
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K714,
Class X3 (IO)
1.85%		01/25/42	⁴		30,000,000		588,405
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K728,
Class X3 (IO)
2.02%		11/25/45	⁴		10,000,000		887,200
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K736,
Class X1 (IO)
1.31%		07/25/26	⁴		12,100,000		908,801
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS07,
Class X (IO)
0.78%		09/25/25	⁴		25,000,000		883,880


							15,577,351

U.S. Agency Mortgage-Backed — 11.78%
Fannie Mae Pool (TBA)
2.50%		11/01/49			1,925,000		1,914,883
3.00%		10/01/32			165,000		168,661
3.00%		11/25/42			24,950,000		25,312,555
5.00%		11/01/49			1,700,000		1,822,055
Fannie Mae Pool 253974
7.00%		08/01/31			1,531		1,677
Fannie Mae Pool 254232
6.50%		03/01/22			1,853		1,924
Fannie Mae Pool 527247
7.00%		09/01/26			21		22
Fannie Mae Pool 545191
7.00%		09/01/31			862		961


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 545646
7.00%		09/01/26		$	11	$	12
Fannie Mae Pool 549740
6.50%		10/01/27			4,482		4,996
Fannie Mae Pool 606108
7.00%		03/01/31			400		402
Fannie Mae Pool 630599
7.00%		05/01/32			4,013		4,561
Fannie Mae Pool 655928
7.00%		08/01/32			2,869		3,407
Fannie Mae Pool 735207
7.00%		04/01/34			1,156		1,344
Fannie Mae Pool 735646
4.50%		07/01/20			82		84
Fannie Mae Pool 735686
6.50%		12/01/22			605		624
Fannie Mae Pool 735861
6.50%		09/01/33			71,304		78,962
Fannie Mae Pool 764388
(LIBOR USD 6-Month)
3.65%		03/01/34	¹		26,731		27,958
Fannie Mae Pool 776708
5.00%		05/01/34			117,819		130,150
Fannie Mae Pool 817611
(LIBOR USD 6-Month)
4.20%		11/01/35	¹		6,522		6,895
Fannie Mae Pool 844773
(LIBOR USD 12-Month)
4.55%		12/01/35	¹		8,927		9,291
Fannie Mae Pool 889125
5.00%		12/01/21			2,971		2,983
Fannie Mae Pool 889184
5.50%		09/01/36			98,542		111,500
Fannie Mae Pool 890221
5.50%		12/01/33			150,441		169,184
Fannie Mae Pool 918445
(LIBOR USD 12-Month)
4.57%		05/01/37	¹		522		544
Fannie Mae Pool 939419
(LIBOR USD 12-Month)
4.14%		05/01/37	¹		23,124		24,282
Fannie Mae Pool AL0209
4.50%		05/01/41			380,828		419,913
Fannie Mae Pool AL6829
2.83%		05/01/27			49,901		52,707
Fannie Mae Pool AM6501
3.32%		08/01/26			2,000,000		2,151,261


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AM7357
3.38%		12/01/29	$	2,309,277	$	2,527,743
Fannie Mae Pool AM7901
3.36%		02/01/30		32,391		35,490
Fannie Mae Pool AM8188
2.64%		03/01/27		31,965		33,080
Fannie Mae Pool AM8645
2.69%		05/01/27		100,467		104,771
Fannie Mae Pool AN0556
3.46%		12/01/30		2,362,631		2,603,021
Fannie Mae Pool AN1492
3.07%		05/01/31		42,664		45,710
Fannie Mae Pool AN2786
2.76%		09/01/36		50,000		51,068
Fannie Mae Pool AN5529
3.02%		06/01/28		38,670		40,942
Fannie Mae Pool AN9572
3.77%		07/01/30		60,000		68,741
Fannie Mae Pool AN9612
3.72%		07/01/33		60,000		67,722
Fannie Mae Pool BL0242
3.82%		11/01/30		1,950,000		2,229,563
Fannie Mae Pool BL0661
3.99%		11/01/33		3,532,769		4,012,220
Fannie Mae Pool BL0844
3.87%		02/01/29		105,000		119,947
Fannie Mae Pool CA1710
4.50%		05/01/48		39,531		41,846
Fannie Mae Pool CA1711
4.50%		05/01/48		2,756,282		2,917,718
Fannie Mae Pool CA2208
4.50%		08/01/48		41,094		43,360
Fannie Mae Pool FN0039
3.20%		09/01/27		43,127		46,155
Fannie Mae Pool MA1527
3.00%		08/01/33		29,829		30,762
Fannie Mae Pool MA1561
3.00%		09/01/33		1,656,067		1,707,914
Fannie Mae Pool MA1608
3.50%		10/01/33		1,509,917		1,575,122
Fannie Mae Pool MA3427
4.00%		07/01/33		38,857		40,600
Fannie Mae Pool MA3537
4.50%		12/01/48		3,967,090		4,190,394
Fannie Mae REMICS, Series 1992-116,
Class B
6.50%		06/25/22		2		2


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 1993-80,
Class S
(-1.22 X LIBOR USD 1-Month plus 10.87%,
10.87% Cap)
8.41%		05/25/23	¹	$	2,115	$	2,329
Fannie Mae REMICS, Series 2001-52,
Class YZ
6.50%		10/25/31			141,709		162,762
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		5,162		6,052
Fannie Mae REMICS, Series 2007-64,
Class FA
(LIBOR USD 1-Month)
2.49%		07/25/37	¹		70,905		71,166
Fannie Mae REMICS, Series 2008-50,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%,
6.05% Cap)
4.03%		11/25/36	¹		1,161,517		192,885
Fannie Mae REMICS, Series 2018-38,
Class PA
3.50%		06/25/47			21,399		21,910
Fannie Mae REMICS, Series 2018-55,
Class PA
3.50%		01/25/47			211,720		218,035
Fannie Mae REMICS, Series 2018-86,
Class JA
4.00%		05/25/47			1,406,363		1,486,913
Fannie Mae Trust, Series 2003-W6,
Class 5T (IO)
(-1.00 X LIBOR USD 1-Month plus 8.15%,
8.15% Cap)
0.55%		09/25/42	¹		10,570,192		169,456
Freddie Mac Gold Pool A25162
5.50%		05/01/34			123,889		138,394
Freddie Mac Gold Pool A33262
5.50%		02/01/35			37,389		42,149
Freddie Mac Gold Pool A68781
5.50%		10/01/37			8,110		8,966
Freddie Mac Gold Pool C03813
3.50%		04/01/42			1,045,478		1,099,077
Freddie Mac Gold Pool C90504
6.50%		12/01/21			198		204
Freddie Mac Gold Pool G01548
7.50%		07/01/32			254,445		309,405
Freddie Mac Gold Pool G01644
5.50%		02/01/34			78,030		88,320


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G02366
6.50%		10/01/36		$	56,420	$	65,476
Freddie Mac Gold Pool G08844
5.00%		10/01/48			908,423		974,655
Freddie Mac Gold Pool G11707
6.00%		03/01/20			3		3
Freddie Mac Gold Pool G12393
5.50%		10/01/21			20,320		20,643
Freddie Mac Gold Pool G12909
6.00%		11/01/22			53,252		55,426
Freddie Mac Gold Pool G13032
6.00%		09/01/22			22,457		23,048
Freddie Mac Gold Pool G15897
2.50%		09/01/31			39,624		40,223
Freddie Mac Gold Pool G16085
2.50%		02/01/32			2,359,495		2,393,371
Freddie Mac Gold Pool G16524
3.50%		05/01/33			114,663		119,735
Freddie Mac Gold Pool G16756
3.50%		01/01/34			2,691,313		2,811,201
Freddie Mac Gold Pool G18581
2.50%		01/01/31			47,496		47,994
Freddie Mac Gold Pool G18713
3.50%		11/01/33			90,332		93,460
Freddie Mac Gold Pool J06246
5.50%		10/01/21			7,077		7,169
Freddie Mac REMICS, Series 1602,
Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	¹		11,583		12,413
Freddie Mac REMICS, Series 2174,
Class PN
6.00%		07/15/29			29,813		32,843
Freddie Mac REMICS, Series 2642,
Class BW (IO)
5.00%		06/15/23			495		2
Freddie Mac REMICS, Series 3460,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%,
6.20% Cap)
4.17%		06/15/38	¹		1,115,521		188,494
Freddie Mac REMICS, Series 4030,
Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%,
6.61% Cap)
4.58%		04/15/42	¹		987,698		189,579
Ginnie Mae I Pool 782810
4.50%		11/15/39			807,597		884,246
Ginnie Mae II Pool (TBA)
3.00%		11/20/49			12,550,000		12,868,652


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed
(continued)
4.50%		10/20/44		$	410,000	$	429,219
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		22,206		22,935
Ginnie Mae II Pool MA4454
5.00%		05/20/47			49,257		52,865
Ginnie Mae II Pool MA4511
4.00%		06/20/47			16,077		16,877
Ginnie Mae II Pool MA4588
4.50%		07/20/47			542,756		573,575
Ginnie Mae II Pool MA4589
5.00%		07/20/47			2,664,146		2,862,170
Ginnie Mae II Pool MA4838
4.00%		11/20/47			1,493,949		1,568,262
Ginnie Mae II Pool MA4901
4.00%		12/20/47			1,242,916		1,304,707
Ginnie Mae II Pool MA5399
4.50%		08/20/48			2,045,700		2,151,423
Ginnie Mae II Pool MA5530
5.00%		10/20/48			27,671		29,338
Ginnie Mae II Pool MA6030
3.50%		07/20/49			919,049		938,717
Ginnie Mae II Pool MA6080
3.00%		08/20/49			304,255		307,928
Ginnie Mae, Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%,
14.30% Cap)
10.21%		11/26/23	¹		19,200		21,565


							90,083,926

Total Mortgage-Backed
(Cost $161,563,609)							164,134,803


MUNICIPAL BONDS — 0.64%*
California — 0.38%
Los Angeles Department of Water & Power
Power System Revenue, Taxable Bonds,
Electric Light & Power Improvements,
Series C
5.52%		07/01/27			50,000		61,939
State of California, Build America Bonds,
School Improvements, General Obligations
7.95%		03/01/36			2,800,000		2,866,836


							2,928,775

New York — 0.24%
Metropolitan Transportation Authority, Build
America Bonds, Transit Improvements
6.55%		11/15/31			25,000		32,505


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York City Transitional Finance Authority
Revenue, Future Tax Secured Revenue,
Qualified School Construction Bonds, School
Improvements, Series G-3
5.27%		05/01/27		$	1,465,000	$	1,747,906
New York State Dormitory Authority, Build
America Bonds, University & College
Improvements
5.50%		03/15/30			70,000		83,940


							1,864,351

Pennsylvania — 0.01%
Pennsylvania Economic Development
Financing Authority, Taxable Bonds,
University of Pittsburgh Medical Center,
Series B
3.20%		11/15/27			40,000		41,628


Washington — 0.01%
State of Washington, Build America Bonds,
Highway Improvements
5.04%		08/01/31			40,000		47,976


Total Municipal Bonds
(Cost $4,771,738)							4,882,730


U.S. AGENCY SECURITIES — 0.03%
U.S. Agency Securities — 0.03%
Resolution Funding Corp.
(Strip Principal) (PO)
0.00%		01/15/21	⁵		230,000		224,469


Total U.S. Agency Securities
(Cost $223,097)

U.S. TREASURY SECURITIES — 43.37%
U.S. Treasury Notes — 43.37%
U.S. Treasury Notes
1.25%		08/31/24			55,564,000		54,797,813
1.50%		08/31/21			45,683,000		45,555,407
1.50%		09/30/21			39,475,000		39,385,374
1.50%		09/15/22			5,145,000		5,135,856
1.50%		09/30/24			92,750,000		92,529,219
1.63%		06/30/21			25,405,000		25,379,390
1.63%		09/30/26			810,000		810,269
1.75%		06/30/24			10,225,000		10,312,445
1.75%		07/31/24			25,271,000		25,502,964
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.13%		07/15/24	⁶		1,145,372		1,144,691
0.25%		07/15/29	⁶		6,792,587		6,851,600
0.50%		04/15/24	⁶		6,826,083		6,911,249

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)

U.S. Treasury Notes (WI)

1.63%

08/15/29

17,291,000

17,213,326

Total U.S. Treasury Securities

(Cost $331,419,100)

331,529,603

Total Bonds – 101.86%

(Cost $767,762,455)

778,642,327

Issues

Shares

Value

COMMON STOCK — 0.00%

Electric — 0.00%

Homer City Holdings

LLC^2,7,8,9

8,014

36,063

Total Common Stock

(Cost $457,400)

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 4.62%

Money Market Funds — 4.47%

Dreyfus Government Cash Management

Fund

1.95%¹⁰

34,155,000

Fidelity Investments Money Market Funds -

Government Portfolio

1.92%^10,11

34,155,018

U.S. Treasury Bills — 0.15%

U.S. Treasury Bills

1.89%^12,13

12/26/19

1,159,000

1,154,072

Total Short-Term Investments

(Cost $35,308,799)

35,309,090


Issues	Value
Total Investments – 106.48%
(Cost $803,528,654)	$	813,987,480


Liabilities in Excess of Other
Assets – (6.48)%		(49,548,732	)


Net Assets – 100.00%	$	764,438,748

¹	Floating rate security. The rate disclosed was in effect at September 30, 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	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	Zero coupon bond. The rate shown is the effective yield as of September 30, 2019.

⁶	Inflation protected security. Principal amount reflects original security face amount.

⁷	Non-income producing security.

⁸	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁹	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $36,063, which is 0.00% of total net assets.

¹⁰	Represents the current yield as of September 30, 2019.

¹¹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $18.

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 $1,154,016.

^†

Fair valued security. The aggregate value of fair valued securities is $625,488, which is 0.08% of total net assets. Fair valued securities are 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

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 97.17%

ASSET-BACKED SECURITIES — 14.00%**

CarMax Auto Owner Trust, Series 2016-2,

Class B

2.16%

12/15/21

30,000

29,984

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

2.67%

08/27/46

^1,2

71,787

68,489

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

40,692

44,078

Navient Student Loan Trust, Series 2014-2,

Class A

(LIBOR USD 1-Month plus 0.64%)

2.66%

03/25/83

81,602

80,557

Saxon Asset Securities Trust, Series 2007-2,

Class A2A

(LIBOR USD 1-Month plus 0.10%)

2.12%

05/25/47

92,881

75,894

SLC Student Loan Trust, Series 2006-1,

Class A6

(LIBOR USD 3-Month plus 0.16%)

2.28%

03/15/55

60,000

56,739

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

4.16%

01/25/83

20,000

19,144

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.48%

04/26/83

20,000

19,283

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/25/73

35,000

35,333

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

3.38%

07/25/23

38,637

38,528

SLM Student Loan Trust, Series 2008-6,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/26/83

20,000

19,920

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/26/83

20,000

19,929

SLM Student Loan Trust, Series 2008-8,

Class A4

(LIBOR USD 3-Month plus 1.50%)

3.78%

04/25/23

25,995

26,270


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%)
4.53%		10/25/75	¹	$	30,000	$	30,221
SLM Student Loan Trust, Series 2008-9,
Class A
(LIBOR USD 3-Month plus 1.50%)
3.78%		04/25/23	¹		20,017		20,147
SLM Student Loan Trust, Series 2008-9,
Class B
(LIBOR USD 3-Month plus 2.25%)
4.53%		10/25/83	¹		15,000		15,143
Structured Asset Securities Corp. Mortgage
Loan Trust, Series 2006-EQ1A, Class A5
(LIBOR USD 1-Month plus 0.31%)
2.33%		07/25/36	^1,2		99,611		98,847
Structured Receivables Finance LLC,
Series 2010-B, Class A
3.73%		08/15/36	²		82,129		82,988
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
2.45%		04/25/40	^1,2		48,315		46,614
Wells Fargo Home Equity Asset-Backed
Securities Trust, Series 2006-3, Class A2
(LIBOR USD 1-Month plus 0.15%)
2.17%		01/25/37	¹		22,338		22,294
Wells Fargo Home Equity Trust Mortgage
Pass-Through Certificates, Series 2004-1,
Class 2A1
(LIBOR USD 1-Month plus 0.30%)
2.32%		04/25/34	¹		15,927		15,566


Total Asset-Backed Securities
(Cost $838,427)							865,968


CORPORATES — 49.10%*
Banking — 6.76%
Bank of America Corp. (MTN)
3.50%		05/17/22	³		40,000		40,785
3.97%		03/05/29	³		60,000		65,005
3.97%		02/07/30	³		15,000		16,405
Bank of New York Mellon Corp. (The) (MTN)
2.66%		05/16/23	³		30,000		30,365
3.25%		09/11/24			5,000		5,241
JPMorgan Chase & Co.
3.21%		04/01/23	³		50,000		51,242
3.56%		04/23/24	³		70,000		73,034
4.01%		04/23/29	³		20,000		21,881
4.20%		07/23/29	³		15,000		16,637
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,4		30,000		30,114


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	^3,4	$	15,000	$	15,239
Santander UK PLC (United Kingdom)
2.50%		01/05/21	⁴		15,000		15,023
State Street Corp.
3.78%		12/03/24	³		15,000		15,873
Wells Fargo & Co. (MTN)
3.58%		05/22/28	³		20,000		21,225


							418,069

Communications — 4.22%
AT&T, Inc.
3.88%		01/15/26			10,000		10,617
4.30%		02/15/30			45,000		49,589
Charter Communications Operating LLC/
Charter Communications Operating Capital
3.75%		02/15/28			27,000		27,704
Comcast Corp.
2.35%		01/15/27			30,000		29,891
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	⁴		10,000		13,522
SES SA (Luxembourg)
3.60%		04/04/23	^2,4		15,000		15,244
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
5.15%		03/20/28	²		30,000		32,625
Verizon Communications, Inc.
4.33%		09/21/28			40,000		45,211
Vodafone Group PLC (United Kingdom)
4.38%		05/30/28	⁴		15,000		16,581
Walt Disney Co. (The)
6.20%		12/15/34	²		4,000		5,697
7.75%		01/20/24	²		12,000		14,568


							261,249

Consumer Discretionary — 2.48%
Anheuser-Busch InBev Worldwide, Inc.
4.00%		04/13/28			52,000		57,397
4.75%		01/23/29			15,000		17,448
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,4		15,000		16,396
BAT Capital Corp.
2.76%		08/15/22			30,000		30,275
Constellation Brands, Inc.
4.25%		05/01/23			15,000		16,027
Pernod Ricard SA (France)
4.45%		01/15/22	^2,4		15,000		15,741


							153,284


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric — 2.40%
Appalachian Power Co.
4.45%		06/01/45		$	5,000	$	5,880
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²		23,000		24,463
6.40%		09/15/20	²		7,000		7,241
ITC Holdings Corp.
4.05%		07/01/23			10,000		10,532
Metropolitan Edison Co.
4.00%		04/15/25	²		25,000		26,554
PNM Resources, Inc.
3.25%		03/09/21			10,000		10,117
Public Service Co. of New Mexico
3.85%		08/01/25			10,000		10,436
Southwestern Electric Power Co., Series M
4.10%		09/15/28			20,000		22,133
Tucson Electric Power Co.
5.15%		11/15/21			30,000		31,336


							148,692

Energy — 4.47%
Enbridge Energy Partners LP
5.50%		09/15/40			5,000		5,931
Energy Transfer Operating LP
4.05%		03/15/25			10,000		10,449
4.95%		06/15/28			5,000		5,500
EQM Midstream Partners LP
5.50%		07/15/28			8,000		7,831
EQT Corp.
3.90%		10/01/27			15,000		13,014
Hess Corp.
4.30%		04/01/27			12,000		12,552
Kinder Morgan, Inc.
5.63%		11/15/23	²		25,000		27,760
Petroleos Mexicanos (Mexico)
5.35%		02/12/28	⁴		15,000		14,377
6.50%		01/23/29	⁴		25,000		25,425
6.84%		01/23/30	^2,4		5,000		5,181
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25			15,000		16,039
Rockies Express Pipeline LLC
4.95%		07/15/29	²		10,000		9,963
Ruby Pipeline LLC
6.00%		04/01/22	²		19,697		20,485
Sabine Pass Liquefaction LLC
4.20%		03/15/28			12,000		12,713
Sunoco Logistics Partners Operations LP
3.90%		07/15/26			10,000		10,430
4.00%		10/01/27			10,000		10,361


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
TC PipeLines LP
3.90%		05/25/27		$	30,000	$	31,233
Texas Eastern Transmission LP
2.80%		10/15/22	²		10,000		10,085
Williams Cos., Inc. (The)
4.55%		06/24/24			25,000		26,880


							276,209

Finance — 7.96%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.88%		01/23/28	⁴		11,000		11,351
3.95%		02/01/22	⁴		20,000		20,657
Air Lease Corp.
3.00%		09/15/23			15,000		15,214
3.63%		12/01/27			11,000		11,320
Citigroup, Inc.
3.20%		10/21/26			20,000		20,692
3.67%		07/24/28	³		20,000		21,199
Ford Motor Credit Co. LLC
4.25%		09/20/22			25,000		25,632
(LIBOR USD 3-Month plus 1.08%)
3.37%		08/03/22	¹		35,000		34,251
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	⁴		20,000		19,950
4.42%		11/15/35	⁴		21,000		22,014
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	³		75,000		75,866
4.22%		05/01/29	³		20,000		21,837
Morgan Stanley (GMTN)
3.70%		10/23/24			70,000		74,131
3.77%		01/24/29	³		20,000		21,392
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,4		10,000		10,199
3.77%		03/08/24	^2,3,4		15,000		15,411
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^2,4		10,000		10,388
5.50%		02/15/24	^2,4		5,000		5,408
Pipeline Funding Co. LLC
7.50%		01/15/30	²		18,618		24,047
Raymond James Financial, Inc.
3.63%		09/15/26			30,000		31,410


							492,369

Food — 1.85%
Conagra Brands, Inc.
4.60%		11/01/25			16,000		17,609


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
General Mills, Inc.
3.70%		10/17/23		$	15,000	$	15,799
Kraft Heinz Foods Co.
3.00%		06/01/26			23,000		22,776
3.75%		04/01/30	²		20,000		20,204
Smithfield Foods, Inc.
5.20%		04/01/29	²		10,000		11,013
Tyson Foods, Inc.
4.00%		03/01/26			25,000		27,139


							114,540

Health Care — 6.03%
AbbVie, Inc.
3.60%		05/14/25			25,000		26,022
4.25%		11/14/28			10,000		10,845
Allergan Funding SCS (Luxembourg)
3.80%		03/15/25	⁴		5,000		5,230
Allergan Sales LLC
5.00%		12/15/21	²		25,000		26,273
Anthem, Inc.
3.65%		12/01/27			25,000		26,267
AstraZeneca PLC (United Kingdom)
3.50%		08/17/23	⁴		12,000		12,543
Barnabas Health, Inc.
4.00%		07/01/28			15,000		16,492
Baxalta, Inc.
3.60%		06/23/22			25,000		25,664
Bayer U.S. Finance II LLC
4.38%		12/15/28	²		25,000		26,969
Becton Dickinson and Co.
2.89%		06/06/22			15,000		15,208
Celgene Corp.
3.90%		02/20/28			25,000		27,406
Cigna Corp.
4.38%		10/15/28			30,000		32,841
Elanco Animal Health, Inc.
4.90%		08/28/28			15,000		16,388
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	²		15,000		15,317
HCA, Inc.
4.13%		06/15/29			15,000		15,806
5.00%		03/15/24			15,000		16,396
Humana, Inc.
2.90%		12/15/22			15,000		15,211
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26			20,000		20,140
Quest Diagnostics, Inc.
4.20%		06/30/29			10,000		11,054


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
UnitedHealth Group, Inc.
3.85%		06/15/28		$	10,000	$	10,967


							373,039

Industrials — 2.99%
Amcor Finance USA, Inc.
3.63%		04/28/26	²		5,000		5,199
4.50%		05/15/28	²		15,000		16,360
BAE Systems Holdings, Inc.
3.80%		10/07/24	²		25,000		26,335
General Electric Co.
2.70%		10/09/22			15,000		15,024
General Electric Co. (MTN)
5.55%		01/05/26			10,000		11,359
5.88%		01/14/38			30,000		36,230
Ingersoll-Rand Co.
9.00%		08/15/21			10,000		11,025
L3Harris Technologies, Inc.
3.85%		06/15/23	²		15,000		15,829
Northrop Grumman Corp.
2.93%		01/15/25			15,000		15,473
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.63%		04/28/26	^2,4		15,000		15,676
WRKCo, Inc.
4.65%		03/15/26			15,000		16,480


							184,990

Insurance — 1.76%
Aon Corp.
3.75%		05/02/29			10,000		10,678
Farmers Insurance Exchange
4.75%		11/01/57	^2,3		25,000		26,291
Metropolitan Life Global Funding I
3.88%		04/11/22	²		15,000		15,658
Nationwide Mutual Insurance Co.
4.41%		12/15/24	^2,3		20,000		19,925
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^2,3		25,000		26,250
Willis North America, Inc.
2.95%		09/15/29			10,000		9,863


							108,665

Materials — 0.27%
International Flavors & Fragrances, Inc.
4.45%		09/26/28			15,000		16,582


Real Estate Investment Trust (REIT) — 4.97%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26			5,000		5,343


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
4.50%		07/30/29		$	8,000	$	9,052
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			15,000		15,155
3.63%		11/15/27			5,000		5,270
American Tower Corp.
3.55%		07/15/27			15,000		15,809
Boston Properties LP
2.75%		10/01/26			10,000		10,098
3.40%		06/21/29			10,000		10,473
CC Holdings GS V LLC/Crown Castle
GS III Corp.
3.85%		04/15/23			15,000		15,774
CubeSmart LP
4.38%		02/15/29			15,000		16,534
Digital Realty Trust LP
3.63%		10/01/22			15,000		15,535
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			15,000		15,077
5.30%		01/15/29			15,000		16,589
HCP, Inc.
3.88%		08/15/24			10,000		10,670
4.25%		11/15/23			10,000		10,722
Healthcare Realty Trust, Inc.
3.75%		04/15/23			15,000		15,499
Highwoods Realty LP
3.20%		06/15/21			5,000		5,068
Host Hotels & Resorts LP
6.00%		10/01/21			5,000		5,325
Hudson Pacific Properties LP
3.95%		11/01/27			10,000		10,495
Kilroy Realty LP
3.05%		02/15/30			5,000		4,904
4.38%		10/01/25			15,000		16,169
National Retail Properties, Inc.
3.80%		10/15/22			15,000		15,607
SL Green Operating Partnership LP
3.25%		10/15/22			15,000		15,305
UDR, Inc. (MTN)
4.63%		01/10/22			15,000		15,692
Ventas Realty LP
4.13%		01/15/26			10,000		10,822
WEA Finance LLC
3.15%		04/05/22	²		20,000		20,412


							307,399

Retail — 0.43%
Family Dollar Stores, Inc.
5.00%		02/01/21			15,000		15,458


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
Home Depot, Inc. (The)
3.90%		12/06/28		$	10,000	$	11,224


							26,682

Services — 1.20%
Global Payments, Inc.
3.20%		08/15/29			15,000		15,243
IHS Markit Ltd. (Bermuda)
4.75%		08/01/28	⁴		5,000		5,583
5.00%		11/01/22	^2,4		15,000		15,998
RELX Capital, Inc.
4.00%		03/18/29			20,000		21,848
Republic Services, Inc.
2.90%		07/01/26			15,000		15,446


							74,118

Transportation — 1.31%
Burlington Northern Santa Fe LLC
4.40%		03/15/42			4,000		4,702
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			26,660		28,158
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			4,835		5,292
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			23,595		26,592
Union Pacific Corp.
3.95%		09/10/28			15,000		16,604


							81,348

Total Corporates
(Cost $2,848,769)							3,037,235


MORTGAGE-BACKED — 30.30%**
Non-Agency Commercial Mortgage-Backed — 4.18%
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14,
Class XA (IO)
0.76%		02/10/47	³		2,507,101		57,423
DBUBS Mortgage Trust, Series 2011-LC2A,
Class XA (IO)
1.22%		07/10/44	^2,3		801,101		10,272
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
1.50%		08/10/44	^2,3		1,626,429		30,398
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	²		5,000		5,349

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial

Mortgage-Backed (continued)

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2010-C2,

Class XB (IO)

0.79%

11/15/43

^2,3

1,397,175

8,229

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2012-LC9,

Class XA (IO)

1.66%

12/15/47

1,098,800

42,573

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2013-LC11,

Class XA (IO)

1.40%

04/15/46

472,037

17,927

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2019-OSB,

Class A

3.40%

06/05/39

5,000

5,397

One Bryant Park Trust,

Series 2019-OBP, Class A

2.52%

09/13/49

10,000

10,010

UBS-Barclays Commercial Mortgage Trust,

Series 2012-C3, Class XB (IO)

0.31%

08/10/49

^2,3,5,6

3,700,000

24,809

WF-RBS Commercial Mortgage Trust,

Series 2011-C3, Class XA (IO)

1.49%

03/15/44

^2,3

2,798,014

46,567

258,954

Non-Agency Mortgage-Backed — 7.38%

Adjustable Rate Mortgage Trust,

Series 2005-5, Class 6A22

(LIBOR USD 1-Month plus 0.28%)

2.30%

09/25/35

2,902

2,909

Banc of America Funding Trust,

Series 2014-R7, Class 2A1

(LIBOR USD 1-Month plus 0.14%)

2.16%

09/26/36

^1,2

42,648

41,341

Bear Stearns ALT-A Trust, Series 2004-12,

Class 1A1

(LIBOR USD 1-Month plus 0.70%)

2.72%

01/25/35

18,057

18,130

Bear Stearns ALT-A Trust, Series 2004-3,

Class A1

(LIBOR USD 1-Month plus 0.64%)

2.66%

04/25/34

39,759

38,344

Bear Stearns ARM Trust, Series 2004-1,

Class 12A5

4.69%

04/25/34

13,246

13,631

Bear Stearns Asset-Backed Securities Trust,

Series 2006-SD2, Class A1

(LIBOR USD 1-Month plus 0.38%)

2.40%

06/25/36

2,660

2,669

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Bombardier Capital Mortgage Securitization

Corp., Series 2000-A, Class A2

7.58%

06/15/30

19,426

6,360

Centex Home Equity Loan Trust,

Series 2005-D, Class M4

(LIBOR USD 1-Month plus 0.61%)

2.63%

10/25/35

30,000

30,067

CIT Mortgage Loan Trust, Series 2007-1,

Class 1A

(LIBOR USD 1-Month plus 1.35%)

3.37%

10/25/37

^1,2

12,659

12,833

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

2.65%

02/25/35

19,808

19,759

Conseco Finance Corp., Series 1998-4,

Class A5

6.18%

04/01/30

31,893

32,701

Fremont Home Loan Trust, Series 2005-A,

Class M3

(LIBOR USD 1-Month plus 0.74%)

2.75%

01/25/35

49,000

48,889

Fremont Home Loan Trust, Series 2005-B,

Class M4

(LIBOR USD 1-Month plus 0.71%)

2.72%

04/25/35

20,032

20,120

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

4.48%

09/25/35

23,079

23,811

HSI Asset Securitization Corp. Trust,

Series 2007-WF1, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

2.18%

05/25/37

33,032

32,203

IndyMac Index Mortgage Loan Trust,

Series 2007-FLX3, Class A1

(LIBOR USD 1-Month plus 0.24%)

2.26%

06/25/37

16,264

16,242

JPMorgan Mortgage Trust, Series 2005-A3,

Class 2A1

4.50%

06/25/35

15,956

16,133

Long Beach Mortgage Loan Trust,

Series 2006-1, Class 1A

(LIBOR USD 1-Month plus 0.22%)

2.24%

02/25/36

9,019

8,841

Morgan Stanley Mortgage Loan Trust,

Series 2004-5AR, Class 3A1

4.27%

07/25/34

21,439

21,879

Structured Asset Mortgage Investments II

Trust, Series 2004-AR1, Class 1A2

(LIBOR USD 1-Month plus 0.70%)

2.76%

03/19/34

2,990

2,889


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR12, Class A2A
(LIBOR USD 1-Month plus 0.78%)
2.80%		10/25/44	¹	$	47,735	$	46,606


							456,357

U.S. Agency Commercial
Mortgage-Backed — 7.27%
Fannie Mae-Aces, Series 2016-M11,
Class X2 (IO)
2.71%		07/25/39	³		1,733,090		61,278
Fannie Mae-Aces, Series 2016-M4,
Class X2 (IO)
2.71%		01/25/39	³		515,129		41,074
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K011,
Class X3 (IO)
2.66%		12/25/43	³		1,067,620		31,951
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K013,
Class X3 (IO)
2.91%		01/25/43	³		860,000		30,397
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K015,
Class X3 (IO)
2.90%		08/25/39	³		350,000		16,884
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K503,
Class X3 (IO)
1.95%		10/25/42	³		14,948,288		1,052
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K717,
Class X3 (IO)
1.68%		11/25/42	³		900,000		28,350
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KAIV,
Class X2 (IO)
3.61%		06/25/41	³		200,000		11,082
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KC01,
Class X1 (IO)
0.83%		12/25/22	³		4,850,838		51,021
Ginnie Mae, Series 2011-78, Class IX (IO)
0.11%		08/16/46	³		4,885,969		64,699
Ginnie Mae, Series 2013-1, Class IO (IO)
0.66%		02/16/54	³		1,802,230		60,034
Ginnie Mae, Series 2013-125, Class IO (IO)
0.68%		10/16/54	³		1,560,370		51,747


							449,569

U.S. Agency Mortgage-Backed — 11.47%
Fannie Mae Pool 109707
3.80%		09/01/33			52,395		57,995


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2012-128,
Class UA
2.50%		06/25/42		$	98,645	$	99,845
Fannie Mae REMICS, Series 2013-5,
Class GF
(LIBOR USD 1-Month plus 1.10%)
3.12%		10/25/42	¹		76,169		75,415
Freddie Mac REMICS, Series 4064,
Class TB
3.50%		06/15/42			103,000		105,686
Freddie Mac REMICS, Series 4638,
Class UF
(LIBOR USD 1-Month plus 1.00%)
3.03%		09/15/44	¹		66,553		67,197
Freddie Mac Strips, Series 240,
Class IO (IO)
5.50%		07/15/36			319,417		67,371
Ginnie Mae, Series 2003-11, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
4.52%		02/16/33	¹		612,966		46,758
Ginnie Mae, Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.56%		10/20/33	¹		367,273		66,016
Ginnie Mae, Series 2018-124, Class NW
3.50%		09/20/48			68,907		70,467
Ginnie Mae, Series 2018-154, Class BP
3.50%		11/20/48			51,563		52,622


							709,372

Total Mortgage-Backed
(Cost $2,116,649)							1,874,252


MUNICIPAL BONDS — 0.09%*
New York — 0.09%
New York City Transitional Finance Authority
Future Tax Secured Revenue, Taxable
Bonds, Public Improvements
3.73%		08/01/29			5,000		5,555


Total Municipal Bonds
(Cost $4,986)
U.S. TREASURY SECURITIES — 3.68%
U.S. Treasury Notes — 3.68%
U.S. Treasury Notes
1.25%		08/31/24			62,000		61,145
1.50%		09/30/24			11,000		10,974
U.S. Treasury Notes (WI)
1.63%		08/15/29			156,000		155,299


							227,418


Issues	Maturity Date	Principal Amount	Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
Total U.S. Treasury Securities
(Cost $227,750)			$	227,418


Total Bonds – 97.17%
(Cost $6,036,581)				6,010,428

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 2.23%

Money Market Funds — 1.79%

Dreyfus Government Cash Management

Fund

1.81%⁷

111,000

U.S. Treasury Bills — 0.44%

U.S. Treasury Bills

1.89%^8,9

12/26/19

$ 27,000

26,885

Total Short-Term Investments

(Cost $137,878)

137,885

Total Investments – 99.40%

(Cost $6,174,459)

6,148,313

Cash and Other Assets, Less

Liabilities – 0.60%

36,948

Net Assets – 100.00%

6,185,261

¹	Floating rate security. The rate disclosed was in effect at September 30, 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	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 $24,809, which is 0.40% of total net assets.

⁷	Represents the current yield as of September 30, 2019.

⁸	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $26,884.

⁹	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 – 99.22%

ASSET-BACKED SECURITIES — 7.41%**

Access Group, Inc., Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.70%)

2.72%

07/25/56

^1,2

1,822,762

1,821,033

Barings CLO Ltd., Series 2013-IA,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.08%

01/20/28

^1,2,3

6,700,000

6,700,771

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.36%

07/20/28

^1,2,3

5,500,000

5,504,905

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

2.47%

04/25/35

^1,2

216,886

213,252

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

2.93%

02/25/30

91,535

91,453

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

3.28%

10/27/36

5,075,000

5,133,728

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

2.82%

04/26/32

^1,2

8,375,000

8,319,265

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

2.67%

08/27/46

^1,2

7,021,405

6,698,916

Goal Capital Funding Trust,

Series 2006-1, Class B

(LIBOR USD 3-Month plus 0.45%)

2.58%

08/25/42

2,373,187

2,188,369

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

3,848,750

4,169,070

Magnetite VII Ltd., Series 2012-7A,

Class A1R2 (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.10%

01/15/28

^1,2,3

5,825,000

5,815,936

Navient Student Loan Trust, Series 2015-2,

Class A3

(LIBOR USD 1-Month plus 0.57%)

2.59%

11/26/40

5,300,000

5,233,347

Navient Student Loan Trust, Series 2016-7A,

Class A

(LIBOR USD 1-Month plus 1.15%)

3.17%

03/25/66

^1,2

9,966,994

10,083,674

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Navient Student Loan Trust, Series 2017-2A,

Class A

(LIBOR USD 1-Month plus 1.05%)

3.07%

12/27/66

^1,2

2,938,913

2,951,528

Nelnet Student Loan Trust, Series 2013-1A,

Class A

(LIBOR USD 1-Month plus 0.60%)

2.62%

06/25/41

^1,2

2,651,109

2,615,047

Nelnet Student Loan Trust, Series 2014-5A,

Class A

(LIBOR USD 1-Month plus 0.55%)

2.57%

07/25/46

^1,2

8,684,760

8,625,665

Northstar Education Finance, Inc.,

Series 2007-1, Class A1

(1.00 X LIBOR USD 3-Month plus 0.10%)

2.36%

04/28/30

1,887,694

1,880,080

PHEAA Student Loan Trust, Series 2016-1A,

Class A

(LIBOR USD 1-Month plus 1.15%)

3.17%

09/25/65

^1,2

9,207,939

9,304,998

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.92%)

3.20%

10/20/27

^1,2,3

5,100,000

5,099,869

SLC Student Loan Trust, Series 2007-1,

Class A4

(LIBOR USD 3-Month plus 0.06%)

2.22%

05/15/29

4,210,541

4,133,720

SLM Student Loan Trust, Series 2003-10A,

Class A3

(LIBOR USD 3-Month plus 0.47%)

2.59%

12/15/27

^1,2

7,272,187

7,268,070

SLM Student Loan Trust, Series 2003-11,

Class A6

(LIBOR USD 3-Month plus 0.55%)

2.67%

12/15/25

^1,2

3,838,340

3,841,072

SLM Student Loan Trust, Series 2006-9,

Class A5

(LIBOR USD 3-Month plus 0.10%)

2.38%

01/26/26

1,264,391

1,263,563

SLM Student Loan Trust, Series 2007-6,

Class A4

(LIBOR USD 3-Month plus 0.38%)

2.66%

10/25/24

3,631,981

3,635,182

SLM Student Loan Trust, Series 2008-1,

Class A4

(LIBOR USD 3-Month plus 0.65%)

2.93%

01/25/22

5,583,885

5,530,344

SLM Student Loan Trust, Series 2008-4,

Class A4

(LIBOR USD 3-Month plus 1.65%)

3.93%

07/25/22

4,789,470

4,841,529

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

3.38%

07/25/23

3,222,289

3,213,211

SLM Student Loan Trust, Series 2011-1,

Class A1

(LIBOR USD 1-Month plus 0.52%)

2.54%

03/25/26

57,973

58,039

SLM Student Loan Trust, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.70%)

2.72%

01/25/29

2,634,422

2,588,223

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

2.67%

05/26/26

10,423,063

10,180,196

SLM Student Loan Trust, Series 2013-4,

Class A

(LIBOR USD 1-Month plus 0.55%)

2.57%

06/25/43

3,227,168

3,196,366

SLM Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.60%)

2.62%

02/26/29

5,210,051

5,082,911

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

3,261,584

Total Asset-Backed Securities

(Cost $149,825,230)

150,544,916

BANK LOANS — 0.77%*

Automotive — 0.03%

Panther BF Aggregator 2 LP/Panther

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

(LIBOR plus 3.50%)

5.54%

04/30/26

^1,2

600,000

596,064

Communications — 0.36%

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.28%

01/15/26

^1,2

1,194,000

1,195,194

Intelsat Jackson Holdings SA,

Term Loan B4, 1st Lien (Luxembourg)

(LIBOR plus 4.50%)

6.55%

01/02/24

^1,2,3

488,919

496,404

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

6.63%

01/02/24

^1,2,3

4,252,054

4,357,016

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

(LIBOR plus 1.75%)

3.81%

03/14/25

^1,2

492,500

495,273

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Sprint Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.50%)

4.56%

02/02/24

^1,2

787,879

783,447

7,327,334

Electric — 0.04%

Chief Power Finance LLC, Term Loan B,

1st Lien

(LIBOR plus 4.75%)

6.80%

12/31/20

^1,2,4,5

960,501

822,828

Finance — 0.20%

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

3.85%

10/06/23

^1,2

4,107,922

4,125,895

Health Care — 0.04%

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.04%

06/02/25

^1,2

689,047

692,637

Industrials — 0.03%

Berry Global, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.55%

07/01/26

^1,2

598,500

602,082

Information Technology — 0.07%

IQVIA, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

3.85%

06/11/25

^1,2

493,750

495,063

Quintiles IMS, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.10%

03/07/24

^1,2

450,337

452,870

SS&C Technologies Holdings Europe SARL,

Term Loan B4, 1st Lien

(LIBOR plus 2.25%)

4.29%

04/16/25

^1,2

203,548

204,484

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.25%)

4.29%

04/16/25

^1,2

308,162

309,579

1,461,996

Total Bank Loans

(Cost $15,688,990)

15,628,836

CORPORATES — 33.85%*

Banking — 5.53%

Bank of America Corp.

2.74%

01/23/22

⁶

9,705,000

9,761,886


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
3.00%		12/20/23	⁶	$	2,159,000	$	2,206,063
Bank of America Corp. (GMTN)
2.37%		07/21/21	⁶		18,025,000		18,062,789
Bank of America N.A.
3.34%		01/25/23	⁶		1,015,000		1,039,318
JPMorgan Chase Bank N.A. (BKNT)
2.60%		02/01/21	⁶		13,950,000		13,975,586
3.09%		04/26/21	⁶		261,000		262,316
Lloyds Bank PLC (United Kingdom)
3.30%		05/07/21	³		6,475,000		6,591,198
6.38%		01/21/21	³		2,000,000		2,109,083
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^2,3		3,000,000		3,030,070
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		08/05/21	³		13,000,000		13,043,895
Santander UK PLC (United Kingdom)
2.50%		01/05/21	³		2,250,000		2,253,468
Wells Fargo & Co.
(LIBOR USD 3-Month plus 1.23%)
3.49%		10/31/23	¹		2,000,000		2,035,679
Wells Fargo & Co., Series N (MTN)
2.15%		01/30/20			9,535,000		9,532,585
Wells Fargo Bank N.A. (BKNT)
2.08%		09/09/22	⁶		1,105,000		1,102,097
2.15%		12/06/19			2,715,000		2,715,312
2.40%		01/15/20			20,000,000		20,017,560
3.33%		07/23/21	⁶		4,620,000		4,661,386


							112,400,291

Communications — 1.76%
AT&T, Inc.
3.40%		05/15/25			2,655,000		2,769,381
3.88%		01/15/26			1,400,000		1,486,421
3.90%		03/11/24			1,700,000		1,803,809
(LIBOR USD 3-Month plus 1.18%)
3.31%		06/12/24	¹		475,000		484,227
CBS Corp.
2.50%		02/15/23			2,095,000		2,103,235
Charter Communications Operating LLC/
Charter Communications Operating Capital
4.50%		02/01/24			1,720,000		1,845,285
4.91%		07/23/25			2,200,000		2,411,948
Comcast Corp.
3.45%		10/01/21			3,265,000		3,363,419
Cox Communications, Inc.
7.63%		06/15/25			900,000		1,106,385
Discovery Communications LLC
2.80%		06/15/20			715,000		717,526


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Communications, Inc.
7.00%		03/01/20	²	$	1,264,000	$	1,287,700
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II
LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		8,950,000		9,005,937
4.74%		03/20/25	²		1,000,000		1,065,510
Viacom, Inc.
3.88%		04/01/24			2,000,000		2,099,902
Vodafone Group PLC (United Kingdom)
3.75%		01/16/24	³		3,910,000		4,118,307


							35,668,992

Consumer Discretionary — 0.97%
Anheuser-Busch InBev Worldwide, Inc.
4.15%		01/23/25			4,190,000		4,581,348
BAT Capital Corp.
2.76%		08/15/22			2,575,000		2,598,639
Constellation Brands, Inc.
2.00%		11/07/19			7,000,000		6,997,203
Molson Coors Brewing Co.
2.25%		03/15/20			5,000,000		4,997,652
Reynolds Group Issuer, Inc./Reynolds Group Issuer
LLC/Reynolds Group Issuer Luxembourg SA
(LIBOR USD 3-Month plus 3.50%)
5.80%		07/15/21	^1,2		550,000		552,063


							19,726,905

Electric — 2.28%
American Electric Power Co., Inc., Series I
3.65%		12/01/21			5,000,000		5,159,443
Black Hills Corp.
4.25%		11/30/23			4,050,000		4,322,576
Dominion Energy, Inc.
2.45%		01/15/23	²		5,000,000		5,022,519
Duke Energy Florida LLC
2.10%		12/15/19			560,000		559,877
Kansas City Power & Light Co.
3.65%		08/15/25			2,555,000		2,729,238
LG&E & KU Energy LLC
3.75%		11/15/20			3,400,000		3,443,323
Mississippi Power Co.
(LIBOR USD 3-Month plus 0.65%)
2.75%		03/27/20	¹		5,000,000		5,002,026
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.48%)
2.77%		05/04/21	¹		7,700,000		7,714,121
(LIBOR USD 3-Month plus 0.55%)
2.69%		08/28/21	¹		3,952,000		3,953,220
Pennsylvania Electric Co.
5.20%		04/01/20			1,262,000		1,277,447


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
PNM Resources, Inc.
3.25%		03/09/21		$	7,115,000	$	7,198,548


							46,382,338

Energy — 2.25%
Energy Transfer Operating LP
4.90%		02/01/24			4,292,000		4,631,785
Occidental Petroleum Corp.
2.70%		08/15/22			5,000,000		5,048,609
Petroleos Mexicanos (Mexico)
5.35%		02/12/28	³		6,470,000		6,201,495
6.84%		01/23/30	^2,3		5,000,000		5,180,500
Plains All American Pipeline LP/PAA
Finance Corp.
3.85%		10/15/23			5,422,000		5,611,323
Rockies Express Pipeline LLC
5.63%		04/15/20	²		2,036,000		2,069,085
Ruby Pipeline LLC
6.00%		04/01/22	²		3,084,545		3,207,927
Sabine Pass Liquefaction LLC
5.75%		05/15/24			1,715,000		1,909,762
Spectra Energy Partners LP
4.60%		06/15/21			1,725,000		1,788,618
4.75%		03/15/24			4,519,000		4,931,216
TC PipeLines LP
4.65%		06/15/21			4,900,000		5,062,371


							45,642,691

Finance — 6.63%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
5.00%		10/01/21	³		1,000,000		1,051,250
Air Lease Corp.
2.13%		01/15/20			5,000,000		4,997,813
3.50%		01/15/22			3,420,000		3,508,855
BMW U.S. Capital LLC
(LIBOR USD 3-Month plus 0.38%)
2.42%		04/06/20	^1,2		8,000,000		8,014,343
Citibank N.A. (BKNT)
3.05%		05/01/20			11,605,000		11,664,962
Daimler Finance North America LLC
1.75%		10/30/19	²		2,000,000		1,999,371
(LIBOR USD 3-Month plus 0.90%)
3.06%		02/15/22	^1,2		8,195,000		8,240,198
Ford Motor Credit Co. LLC
2.46%		03/27/20			1,000,000		998,967
2.60%		11/04/19			3,550,000		3,548,534
3.20%		01/15/21			5,000,000		5,012,187
5.60%		01/07/22			1,662,000		1,746,714
5.75%		02/01/21			5,241,000		5,422,986


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
(LIBOR USD 3-Month plus 0.79%)
2.92%		06/12/20	¹	$	2,080,000	$	2,076,603
(LIBOR USD 3-Month plus 0.88%)
3.22%		10/12/21	¹		2,500,000		2,458,201
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	³		17,475,000		17,431,295
General Motors Financial Co., Inc.
4.20%		03/01/21			3,000,000		3,066,090
4.20%		11/06/21			3,000,000		3,092,715
4.38%		09/25/21			4,000,000		4,133,721
Goldman Sachs Group, Inc. (The)
2.55%		10/23/19			6,049,000		6,050,328
2.63%		04/25/21			1,880,000		1,891,424
2.88%		10/31/22	⁶		726,000		734,383
2.91%		07/24/23	⁶		6,814,000		6,905,776
(LIBOR USD 3-Month plus 1.02%)
3.28%		10/23/19	¹		5,000,000		5,003,305
Morgan Stanley (GMTN)
5.50%		01/26/20			2,805,000		2,834,871
5.50%		07/24/20			3,450,000		3,543,501
(LIBOR USD 3-Month plus 0.55%)
2.73%		02/10/21	¹		10,000,000		10,009,540
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,6		4,910,000		5,007,854
Park Aerospace Holdings Ltd.
(Cayman Islands)
3.63%		03/15/21	^2,3		860,000		866,987
4.50%		03/15/23	^2,3		2,070,000		2,150,344
5.25%		08/15/22	^2,3		1,165,000		1,230,706


							134,693,824

Food — 2.04%
Campbell Soup Co.
3.30%		03/15/21			4,025,000		4,081,394
(LIBOR USD 3-Month plus 0.50%)
2.62%		03/16/20	¹		1,000,000		1,000,181
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
2.51%		10/09/20	¹		8,203,000		8,203,563
(LIBOR USD 3-Month plus 0.75%)
3.03%		10/22/20	¹		3,000,000		3,000,652
Danone SA (France)
1.69%		10/30/19	^2,3		3,325,000		3,323,502
Kraft Heinz Foods Co.
3.95%		07/15/25			1,500,000		1,571,293
4.00%		06/15/23			7,436,000		7,765,842
Mondelez International Holdings
Netherlands BV (Netherlands)
1.63%		10/28/19	^2,3		9,670,000		9,665,590


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Smithfield Foods, Inc.
2.70%		01/31/20	²	$	2,880,000	$	2,869,200


							41,481,217

Health Care — 4.28%
Aetna, Inc.
3.50%		11/15/24			3,136,000		3,269,594
Allergan Finance LLC
3.25%		10/01/22			1,500,000		1,533,160
Allergan Funding SCS (Luxembourg)
3.45%		03/15/22	³		3,000,000		3,075,355
3.80%		03/15/25	³		2,615,000		2,735,506
3.85%		06/15/24	³		2,500,000		2,639,427
Anthem, Inc.
2.38%		01/15/25			6,000,000		5,984,757
3.70%		08/15/21			1,478,000		1,514,094
Bayer U.S. Finance II LLC
2.75%		07/15/21	²		635,000		638,052
2.85%		04/15/25	²		1,300,000		1,254,308
3.50%		06/25/21	²		1,825,000		1,862,537
3.88%		12/15/23	²		2,000,000		2,090,026
4.25%		12/15/25	²		1,000,000		1,069,182
Bayer U.S. Finance LLC
2.38%		10/08/19	²		6,425,000		6,424,968
Becton Dickinson and Co.
2.40%		06/05/20			2,260,000		2,262,134
2.68%		12/15/19			975,000		976,901
3.25%		11/12/20			875,000		883,694
Bristol-Myers Squibb Co.
(LIBOR USD 3-Month plus 0.20%)
2.37%		11/16/20	^1,2		4,100,000		4,103,368
Celgene Corp.
3.25%		08/15/22			2,278,000		2,344,116
3.63%		05/15/24			1,500,000		1,585,927
Cigna Corp.
3.20%		09/17/20			6,000,000		6,054,297
Cigna Holding Co.
4.50%		03/15/21			5,335,000		5,489,805
5.13%		06/15/20			1,725,000		1,761,153
CVS Health Corp.
4.10%		03/25/25			4,000,000		4,278,797
Elanco Animal Health, Inc.
3.91%		08/27/21			2,500,000		2,561,041
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	²		3,353,000		3,404,736
HCA, Inc.
5.00%		03/15/24			1,000,000		1,093,044


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Humana, Inc.
2.50%		12/15/20		$	5,675,000	$	5,691,347
3.15%		12/01/22			2,000,000		2,043,818
Shire Acquisitions Investments Ireland DAC (Ireland)
2.40%		09/23/21	³		1,000,000		1,004,929
Sutter Health, Series 13-C
2.29%		08/15/53			1,525,000		1,525,323
Tenet Healthcare Corp.
4.63%		09/01/24	²		3,000,000		3,089,790
Zimmer Biomet Holdings, Inc.
(LIBOR USD 3-Month plus 0.75%)
2.91%		03/19/21	¹		2,685,000		2,685,066


							86,930,252

Industrials — 1.69%
BAE Systems Holdings, Inc.
2.85%		12/15/20	²		1,070,000		1,074,276
General Electric Co. (GMTN)
2.20%		01/09/20			2,000,000		1,997,745
4.63%		01/07/21			1,030,000		1,056,100
General Electric Co. (MTN)
2.00%		02/15/21			7,000,000		6,864,893
(LIBOR USD 3-Month plus 0.38%)
2.67%		05/05/26	¹		7,674,000		6,911,348
(LIBOR USD 3-Month plus 0.48%)
2.64%		08/15/36	¹		2,182,000		1,590,170
General Electric Co., Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
3.30%		04/15/23	¹		4,936,000		4,862,227
Ingersoll-Rand Co.
9.00%		08/15/21			1,100,000		1,212,795
L3Harris Technologies, Inc.
4.95%		02/15/21	²		1,525,000		1,569,693
United Technologies Corp.
(LIBOR USD 3-Month plus 0.65%)
2.82%		08/16/21	¹		7,250,000		7,250,691


							34,389,938

Information Technology — 0.74%
Analog Devices, Inc.
2.85%		03/12/20			4,030,000		4,045,086
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%		01/15/20			4,750,000		4,750,268
Broadcom, Inc.
3.13%		04/15/21	²		2,525,000		2,549,964
NXP BV/NXP Funding LLC (Netherlands)
4.13%		06/01/21	^2,3		3,550,000		3,643,864


							14,989,182


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 0.25%
Metropolitan Life Global Funding I
3.38%		01/11/22	²	$	1,550,000	$	1,595,115
Nationwide Mutual Insurance Co.
4.41%		12/15/24	^2,6		3,550,000		3,536,687


							5,131,802

Materials — 0.39%
Georgia-Pacific LLC
2.54%		11/15/19	²		8,000,000		8,001,304


Real Estate Investment Trust (REIT) — 3.51%
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			7,700,000		7,779,657
Boston Properties LP
4.13%		05/15/21			1,495,000		1,529,300
Digital Realty Trust LP
2.75%		02/01/23			1,030,000		1,041,060
3.63%		10/01/22			2,430,000		2,516,615
Duke Realty LP
3.88%		02/15/21			6,385,000		6,499,668
Essex Portfolio LP
5.20%		03/15/21			1,405,000		1,454,002
GLP Capital LP/GLP Financing II, Inc.
4.38%		04/15/21			3,240,000		3,319,315
5.38%		11/01/23			6,725,000		7,299,920
Healthcare Realty Trust, Inc.
3.75%		04/15/23			5,000,000		5,166,443
Host Hotels & Resorts LP
6.00%		10/01/21			3,500,000		3,727,500
Kimco Realty Corp.
3.40%		11/01/22			4,000,000		4,137,595
National Retail Properties, Inc.
3.80%		10/15/22			4,750,000		4,942,145
Realty Income Corp.
3.25%		10/15/22			3,000,000		3,096,836
Reckson Operating Partnership LP
7.75%		03/15/20			1,650,000		1,689,590
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
3.15%		08/16/21	¹		5,000,000		5,000,868
UDR, Inc. (MTN)
4.63%		01/10/22			5,523,000		5,777,980
VEREIT Operating Partnership LP
4.13%		06/01/21			2,325,000		2,386,687
WEA Finance LLC/Westfield UK & Europe Finance PLC
3.25%		10/05/20	²		4,000,000		4,036,354


							71,401,535


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail — 0.94%
Alimentation Couche-Tard, Inc. (Canada)
2.35%		12/13/19	^2,3	$	7,000,000	$	7,001,186
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.00%		04/17/20	¹		7,000,000		7,001,304
Walgreens Boots Alliance, Inc.
2.70%		11/18/19			5,000,000		5,000,860


							19,003,350

Services — 0.37%
IHS Markit Ltd. (Bermuda)
5.00%		11/01/22	^2,3		7,046,000		7,514,862


Transportation — 0.22%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21			79,363		82,363
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21			720,426		744,849
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23			993,218		1,042,446
Aviation Capital Group LLC
(LIBOR USD 3-Month plus 0.95%)
3.08%		06/01/21	^1,2		2,135,000		2,143,178
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%		04/02/21			397,246		411,472


							4,424,308

Total Corporates
(Cost $678,150,255)							687,782,791


MORTGAGE-BACKED — 35.34%**
Non-Agency Commercial
Mortgage-Backed — 8.26%
BENCHMARK Mortgage Trust,
Series 2018-B4, Class A1
3.13%		07/15/51			2,923,436		2,980,342
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.93%		09/10/45	^2,6		16,121,758		683,909
Commercial Mortgage Trust,
Series 2010-C1, Class A3
4.21%		07/10/46	²		12,201,181		12,286,874
Commercial Mortgage Trust,
Series 2012-CR3, Class A3
2.82%		10/15/45			10,852,512		11,027,726
Commercial Mortgage Trust,
Series 2013-LC6, Class ASB
2.48%		01/10/46			8,107,079		8,163,836


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Core Industrial Trust, Series 2015-CALW,
Class A
3.04%		02/10/34	²	$	3,529,057	$	3,611,973
Core Industrial Trust, Series 2015-TEXW,
Class A
3.08%		02/10/34	²		4,267,736		4,364,530
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		07/12/44	^2,6		5,897,711		6,046,960
DBUBS Mortgage Trust, Series 2011-LC2A,
Class A4
4.54%		07/10/44	²		7,768,038		7,989,932
Four Times Square Trust Commercial
Mortgage Pass-Through Certificates,
Series 2006-4TS, Class A
5.40%		12/13/28	²		5,725,295		5,954,297
GE Business Loan Trust, Series 2007-1A,
Class A
(LIBOR USD 1-Month plus 0.17%)
2.20%		04/15/35	^1,2		827,445		811,189
GS Mortgage Securities Corp. II,
Series 2018-GS10, Class A1
3.20%		07/10/51			6,389,344		6,536,182
GS Mortgage Securities Trust,
Series 2010-C1, Class A2
4.59%		08/10/43	²		7,565,000		7,649,417
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2010-C2, Class A3
4.07%		11/15/43	²		7,360,687		7,423,235
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C5,
Class A3
4.17%		08/15/46			2,476,911		2,549,322
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C6,
Class ASB
3.14%		05/15/45			8,968,877		9,109,553
Morgan Stanley Capital Barclays Bank Trust,
Series 2016-MART, Class A
2.20%		09/13/31	²		4,565,000		4,564,730
Morgan Stanley Capital I Trust,
Series 2011-C1, Class A4
5.03%		09/15/47	^2,6		2,638,383		2,686,201
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A4
4.12%		07/15/49			3,449,141		3,533,431
One Lincoln Street Commercial Mortgage,
Series 2004-C3, Class A1
5.72%		10/15/30	^2,6		8,462,729		9,358,458
UBS Commercial Mortgage Trust,
Series 2019-C16, Class A1
2.74%		04/15/52			9,282,142		9,402,057


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class A4
2.79%		12/10/45		$	13,800,000	$	13,997,547
Vornado DP LLC Trust, Series 2010-VNO,
Class A1
2.97%		09/13/28	²		2,309,482		2,315,607
Wells Fargo Commercial Mortgage Trust,
Series 2010-C1, Class A2
4.39%		11/15/43	²		6,680,000		6,771,118
Wells Fargo Commercial Mortgage Trust,
Series 2015-C29, Class A2
2.55%		06/15/48			9,714,160		9,715,145
WF-RBS Commercial Mortgage Trust,
Series 2013-C11, Class A4
3.04%		03/15/45			8,050,000		8,265,678


							167,799,249

Non-Agency Mortgage-Backed — 8.80%
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
2.24%		02/25/37	¹		12,000,000		11,872,114
Aegis Asset-Backed Securities Trust,
Series 2005-5, Class 2A
(LIBOR USD 1-Month plus 0.25%)
2.27%		12/25/35	¹		3,525,151		3,534,021
Amresco Residential Securities Corp.
Mortgage Loan Trust, Series 1998-1,
Class A5 (STEP-reset date 11/25/19)
7.15%		10/25/27			10,200		10,830
Argent Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2005-W2,
Class A1
(LIBOR USD 1-Month plus 0.26%)
2.28%		10/25/35	¹		1,445,906		1,449,227
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%		10/25/33			7,958,316		8,218,307
Banc of America Funding Trust,
Series 2015-R2, Class 9A1
(LIBOR USD 1-Month plus 0.22%)
2.23%		03/27/36	^1,2		3,224,543		3,222,005
Banc of America Funding Trust,
Series 2015-R4, Class 3A1
(LIBOR USD 1-Month plus 0.14%)
2.29%		07/27/36	^1,2		3,844,680		3,794,620
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%		03/25/40	^2,6		8,890,753		8,894,128

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

BCAP LLC Trust, Series 2008-IND2,

Class A1

(LIBOR USD 1-Month plus 1.65%)

3.67%

04/25/38

3,693,931

3,730,587

BCAP LLC Trust, Series 2013-RR5,

Class 2A1

3.70%

03/26/37

^2,6

2,721,103

2,756,912

Bear Stearns ARM Trust, Series 2004-3,

Class 4A

4.54%

07/25/34

⁶

1,089,057

1,096,283

Chase Funding Trust,

Series 2002-2, Class 2M1

(LIBOR USD 1-Month plus 0.90%)

2.92%

02/25/32

30,777

30,714

Chase Mortgage Finance Trust,

Series 2007-A1, Class 8A1

4.54%

02/25/37

⁶

6,556,806

6,890,459

Chase Mortgage Finance Trust,

Series 2007-A2, Class 2A3

4.40%

07/25/37

⁶

1,384,997

1,409,074

Chevy Chase Mortgage Funding LLC,

Mortgage-Backed Certificates,

Series 2005-2A, Class A1

(LIBOR USD 1-Month plus 0.18%)

2.20%

05/25/36

^1,2

749,286

753,950

CIM Trust, Series 2018-R6, Class A1

(LIBOR USD 1-Month plus 1.08%)

3.18%

09/25/58

^1,2

7,486,104

7,443,035

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-HYB1, Class A41

4.18%

02/25/34

⁶

113,558

111,805

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-WFH4, Class A2C

(LIBOR USD 1-Month plus 1.30%)

3.32%

07/25/37

90,000

86,808

Conseco Finance Corp., Series 1998-2,

Class A5

6.24%

12/01/28

979

986

Conseco Finance Securitizations Corp.,

Series 2001-4, Class A4

7.36%

08/01/32

⁶

135,126

135,590

Countrywide Asset-Backed Certificates,

Series 2005-11, Class MV2

(LIBOR USD 1-Month plus 0.49%)

2.51%

02/25/36

1,388,711

1,393,822

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-14,

Class 4A1

3.79%

08/25/34

⁶

11,913

11,757

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Credit Suisse First Boston Mortgage

Securities Corp., Series 2004-AR1,

Class 5A1

4.35%

02/25/34

⁶

1,744,810

1,812,788

Credit Suisse Mortgage Capital,

Series 2014-9R, Class 8A1

(LIBOR USD 1-Month plus 0.16%)

2.31%

10/27/36

^1,2

319,137

322,011

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A1

(LIBOR USD 1-Month plus 0.06%)

2.08%

04/25/37

2,797,161

2,172,854

DSLA Mortgage Loan Trust,

Series 2005-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.21%)

2.27%

03/19/45

798,240

775,143

Encore Credit Receivables Trust,

Series 2005-2, Class M2

(LIBOR USD 1-Month plus 0.69%)

2.71%

11/25/35

2,150,156

2,171,442

First Franklin Mortgage Loan Trust,

Series 2004-FF5, Class A3C

(LIBOR USD 1-Month plus 1.00%)

3.02%

08/25/34

718,652

720,443

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA3, Class A1

4.05%

09/25/34

⁶

4,873

4,898

GMACM Home Equity Loan Trust,

Series 2000-HE2, Class A1

(LIBOR USD 1-Month plus 0.44%)

2.84%

06/25/30

158,742

132,875

GSAMP Trust, Series 2006-NC1, Class A3

(LIBOR USD 1-Month plus 0.29%)

2.31%

02/25/36

7,156,124

7,118,464

GSR Mortgage Loan Trust,

Series 2005-AR7, Class 2A1

4.68%

11/25/35

⁶

373,735

373,355

HSI Asset Securitization Corp. Trust,

Series 2005-NC1, Class M1

(LIBOR USD 1-Month plus 0.77%)

2.78%

07/25/35

2,237,803

2,269,729

Impac CMB Trust, Series 2005-5,

Class A1

(LIBOR USD 1-Month plus 0.64%)

2.66%

08/25/35

2,407,380

2,353,475

IndyMac Index Mortgage Loan Trust,

Series 2004-AR12, Class A1

(LIBOR USD 1-Month plus 0.78%)

2.80%

12/25/34

257,327

228,566


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 plus 0.80%)
2.82%		11/25/34	¹	$	826,092	$	802,197
IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1998-1,
Class A4
6.49%		09/25/28			479,854		493,421
JPMorgan Mortgage Acquisition Trust,
Series 2005-FRE1, Class A2F3
(STEP-reset date 11/25/19)
3.30%		10/25/35			935,970		936,921
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
2.30%		03/25/47	¹		50,000		44,312
JPMorgan Mortgage Trust, Series 2007-A1,
Class 1A1
4.48%		07/25/35	⁶		1,021,706		1,018,905
JPMorgan Mortgage Trust, Series 2007-A1,
Class 5A2
4.63%		07/25/35	⁶		227,123		233,181
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class AIOC
(IO)
0.55%		04/15/40	^4,5,6		105,173,175		1,910,297
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
4.26%		01/25/34	⁶		6,995		7,080
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
4.73%		11/21/34	⁶		778,681		803,230
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
4.26%		04/25/34	⁶		126,356		127,292
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
3.63%		06/25/34	⁶		30,873		30,165
MASTR Alternative Loan Trust,
Series 2003-1, Class 1A1
6.25%		12/25/32			2,331,139		2,519,772
MASTR Alternative Loan Trust,
Series 2003-5, Class 4A1
5.50%		07/25/33			3,809,152		4,210,181
MASTR Alternative Loan Trust,
Series 2003-9, Class 4A1
5.25%		11/25/33			4,036,795		4,276,695
MASTR Alternative Loan Trust,
Series 2004-7, Class 1A1
5.50%		07/25/34			3,735,393		3,889,794
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.64%		10/25/32	⁶		205,728		213,487

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%)

2.20%

06/25/37

10,925,823

8,814,777

Merrill Lynch Mortgage Investors Trust,

Series 2004-A4, Class A1

4.38%

08/25/34

⁶

1,060,568

1,068,586

Merrill Lynch Mortgage Investors Trust,

Series 2006-F1, Class 1A2

6.00%

04/25/36

1,425,352

1,167,807

Merrill Lynch Mortgage Investors Trust,

Series 2006-FF1, Class M3

(LIBOR USD 1-Month plus 0.31%)

2.33%

08/25/36

3,887,240

3,896,911

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

Class B

8.90%

08/15/37

911,988

1,039,105

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

Class A

5.79%

10/15/40

4,698,906

5,229,291

Mid-State Trust, Series 2010-W, Class A2

5.82%

02/15/36

584,724

640,469

Morgan Stanley ABS Capital I Trust,

Series 2004-NC7, Class M2

(LIBOR USD 1-Month plus 0.93%)

2.95%

07/25/34

1,631,785

1,640,967

Morgan Stanley Mortgage Loan Trust,

Series 2004-6AR, Class 1A

(LIBOR USD 1-Month plus 0.90%)

2.92%

07/25/34

158,112

158,835

MortgageIT Trust, Series 2005-3, Class A1

(LIBOR USD 1-Month plus 0.60%)

2.62%

08/25/35

286,406

286,421

MortgageIT Trust, Series 2005-4, Class A1

(LIBOR USD 1-Month plus 0.28%)

2.30%

10/25/35

4,177,177

4,214,687

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month plus 0.22%)

2.24%

02/25/36

8,782,963

8,636,231

Park Place Securities, Inc., Asset-Backed

Pass-Through Certificates,

Series 2004-WCW2, Class M2

(LIBOR USD 1-Month plus 0.98%)

2.99%

10/25/34

4,970,207

5,033,258

Park Place Securities, Inc., Asset-Backed

Pass-Through Certificates,

Series 2005-WCW2, Class M1

(LIBOR USD 1-Month plus 0.75%)

2.77%

07/25/35

1,855,988

1,862,711


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.67%		03/25/35	⁶	$	2,086,260	$	1,408,283
Residential Asset Mortgage Products Trust,
Series 2004-SL4, Class A3
6.50%		07/25/32			194,965		192,603
Residential Asset Mortgage Products Trust,
Series 2005-SL1, Class A5
6.50%		05/25/32			486,268		467,988
Saxon Asset Securities Trust, Series 2005-3,
Class M2
(LIBOR USD 1-Month plus 0.72%)
2.27%		11/25/35	¹		7,254,953		7,241,472
Securitized Asset-Backed Receivables LLC
Trust, Series 2006-CB1, Class AF2
(STEP-reset date 11/25/19)
3.31%		01/25/36			1,986,838		1,723,713
Structured Asset Investment Loan Trust,
Series 2005-8, Class A4
(LIBOR USD 1-Month plus 0.72%)
2.74%		10/25/35	¹		723,945		726,225
Structured Asset Securities Corp. Mortgage
Loan Trust, Series 2006-WF3, Class A5
(LIBOR USD 1-Month plus 0.14%)
2.16%		09/25/36	¹		1,563,750		1,559,342
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 2003-26A, Class 3A5
4.28%		09/25/33	⁶		618,371		632,005
Terwin Mortgage Trust, Series 2004-7HE,
Class A1
(LIBOR USD 1-Month plus 0.55%)
2.57%		07/25/34	^1,2		115,413		114,272
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR18, Class A
4.73%		01/25/33	⁶		98,883		103,587
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
4.40%		01/25/35	⁶		627,551		652,518
WaMu Mortgage Pass-Through Certificates,
Series 2004-CB2, Class 2A
5.50%		07/25/34			3,796,785		4,070,849
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.29%)
2.31%		10/25/45	¹		2,281,794		2,268,936
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.33%)
2.35%		01/25/45	¹		370,256		368,479


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-Q, Class 1A1
4.81%		09/25/34	⁶	$	979,141	$	1,012,048
Wells Fargo Mortgage-Backed Securities
Trust, Series 2005-AR10, Class 2A14
4.97%		06/25/35	⁶		2,946,095		2,950,319
Wells Fargo Mortgage-Backed Securities
Trust, Series 2005-AR9, Class 1A1
4.95%		05/25/35	⁶		83,589		86,208
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR2, Class 2A5
4.99%		03/25/36	⁶		708,743		711,111


							178,800,021

U.S. Agency Commercial
Mortgage-Backed — 8.64%
Fannie Mae, Series 2012-M2, Class A2
2.72%		02/25/22			9,736,057		9,864,262
Fannie Mae-Aces, Series 2017-M14,
Class A1
2.97%		11/25/27	⁶		12,398,052		12,890,043
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series J19F,
Class A1
2.91%		02/25/22			173,510		173,813
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series J22F,
Class A1
3.45%		05/25/23			7,971,899		8,213,763
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K009,
Class A2
3.81%		08/25/20			5,849,928		5,911,096
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K010,
Class A2
4.33%		10/25/20	⁶		8,293,900		8,444,681
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KC01,
Class A1
1.98%		10/25/22			11,103,555		11,125,041
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF08,
Class A
(LIBOR USD 1-Month plus 0.30%)
2.39%		01/25/22	¹		2,882,787		2,880,766
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF17,
Class A
(LIBOR USD 1-Month plus 0.55%)
2.64%		03/25/23	¹		8,299,028		8,314,589

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial
Mortgage-Backed (continued)

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF19,

Class A

(LIBOR USD 1-Month plus 0.45%)

2.54%

06/25/23

4,656,187

4,655,512

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF22,

Class A

(LIBOR USD 1-Month plus 0.50%)

2.59%

07/25/23

8,896,532

8,906,897

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ03,

Class A1

1.67%

01/25/21

3,047,827

3,044,673

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ11,

Class A2

2.93%

01/25/23

10,708,590

10,992,450

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ14,

Class A1

2.20%

11/25/23

3,320,694

3,350,502

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ17,

Class A1

2.40%

10/25/24

4,478,108

4,552,480

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ18,

Class A1

2.46%

03/25/22

2,241,151

2,253,959

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ24,

Class A1

2.28%

05/25/26

14,053,260

14,205,741

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS05,

Class A

(LIBOR USD 1-Month plus 0.50%)

2.59%

01/25/23

11,830,371

11,832,119

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series Q004,

Class A2H

3.07%

01/25/46

⁶

9,486,409

9,544,879

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series Q004,

Class AFL

(Federal Reserve US 12-Month Cumulative

Average plus 0.74%)

3.19%

05/25/44

3,833,511

3,836,317

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series Q010,

Class APT1

2.93%

04/25/46

⁶

9,638,280

9,745,705


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
FREMF Multifamily Aggregation Risk
Transfer Trust, Series 2017-KT01,
Class A
(LIBOR USD 1-Month plus 0.32%)
2.36%		02/25/20	¹	$	8,245,000	$	8,245,712
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39	⁶		510,195		509,929
Ginnie Mae, Series 2007-12, Class C
5.28%		04/16/41	⁶		1,124,102		1,127,762
Ginnie Mae, Series 2009-115, Class D
4.59%		01/16/50	⁶		4,357,242		4,491,392
NCUA Guaranteed Notes Trust,
Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
2.59%		03/09/21	¹		6,420,944		6,424,092


							175,538,175

U.S. Agency Mortgage-Backed — 9.64%
Fannie Mae Pool 466973
3.85%		01/01/21			13,288,173		13,490,346
Fannie Mae Pool 468764
4.16%		07/01/21			13,090,000		13,539,096
Fannie Mae Pool 469058
3.02%		02/01/22			4,971,970		5,061,761
Fannie Mae Pool 470606
2.99%		03/01/22			6,394,226		6,515,225
Fannie Mae Pool 567002
8.00%		05/01/23			16,397		17,328
Fannie Mae Pool 735861
6.50%		09/01/33			12,300		13,621
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.55%)
4.43%		04/01/34	¹		181,641		184,796
Fannie Mae Pool 995182
5.50%		06/01/20			392		391
Fannie Mae Pool AD0538
6.00%		05/01/24			311,778		327,129
Fannie Mae Pool AE0083
6.00%		01/01/40			1,013,880		1,167,698
Fannie Mae Pool AL0851
6.00%		10/01/40			1,198,426		1,380,233
Fannie Mae Pool AL2206
3.73%		07/01/22			6,270,715		6,486,220
Fannie Mae Pool AM4580
3.43%		10/01/23			6,739,703		7,114,610
Fannie Mae Pool AN2059
1.64%		07/01/21			8,524,472		8,487,070
Fannie Mae Pool FN0001
3.77%		12/01/20			11,223,206		11,414,976

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed
(continued)

Fannie Mae REMICS, Series 1997-76,

Class FS

(LIBOR USD 1-Month plus 0.45%)

2.47%

09/17/27

14,242

14,000

Fannie Mae REMICS, Series 2001-60,

Class OF

(LIBOR USD 1-Month plus 0.95%)

2.97%

10/25/31

713,620

725,822

Fannie Mae REMICS, Series 2003-130,

Class HF

(LIBOR USD 1-Month plus 0.45%)

2.47%

12/25/33

150,088

150,092

Fannie Mae REMICS, Series 2003-134,

Class FC

(LIBOR USD 1-Month plus 0.60%)

2.62%

12/25/32

4,423,250

4,453,239

Fannie Mae REMICS, Series 2005-59,

Class NF

(LIBOR USD 1-Month plus 0.25%)

2.27%

05/25/35

2,187,363

2,174,436

Fannie Mae REMICS, Series 2007-61,

Class AF

(LIBOR USD 1-Month plus 0.28%)

2.30%

03/25/37

922,151

921,184

Fannie Mae REMICS, Series 2007-64,

Class FA

(LIBOR USD 1-Month plus 0.47%)

2.49%

07/25/37

373,121

374,492

Fannie Mae REMICS, Series 2009-111,

Class DA

5.00%

12/25/39

118,497

119,575

Fannie Mae REMICS, Series 2009-33,

Class FB

(LIBOR USD 1-Month plus 0.82%)

2.84%

03/25/37

2,204,416

2,236,015

Fannie Mae REMICS, Series 2009-85,

Class LF

(LIBOR USD 1-Month plus 1.20%)

3.22%

10/25/49

2,733,346

2,791,680

Fannie Mae REMICS, Series 2009-96,

Class FA

(LIBOR USD 1-Month plus 0.90%)

2.92%

11/25/49

1,978,979

2,019,352

Fannie Mae REMICS, Series 2010-109,

Class PF

(LIBOR USD 1-Month plus 0.40%)

2.42%

10/25/40

1,282,056

1,284,486

Fannie Mae REMICS, Series 2010-26,

Class S (IO)

(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)

4.21%

11/25/36

7,505,343

1,412,799


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2010-39,
Class FE
(LIBOR USD 1-Month plus 0.77%)
2.79%		06/25/37	¹	$	4,174,189	$	4,224,169
Fannie Mae REMICS, Series 2010-43,
Class DP
5.00%		05/25/40			1,000,955		1,090,853
Fannie Mae REMICS, Series 2010-6,
Class BF
(LIBOR USD 1-Month plus 0.76%)
2.78%		02/25/40	¹		1,519,925		1,545,574
Fannie Mae REMICS, Series 2010-95,
Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.58%		09/25/40	¹		5,534,130		1,255,415
Fannie Mae REMICS, Series 2011-118,
Class FB
(LIBOR USD 1-Month plus 0.45%)
2.47%		11/25/41	¹		6,229,532		6,176,142
Fannie Mae REMICS, Series 2011-71,
Class FB
(LIBOR USD 1-Month plus 0.50%)
2.52%		05/25/37	¹		2,556,963		2,560,648
Fannie Mae REMICS, Series 2012-33,
Class F
(LIBOR USD 1-Month plus 0.52%)
2.54%		04/25/42	¹		5,425,726		5,459,943
Fannie Mae REMICS, Series 2013-75,
Class FC
(LIBOR USD 1-Month plus 0.25%)
2.27%		07/25/42	¹		4,600,737		4,608,628
Fannie Mae REMICS, Series G92-10,
Class Z
7.75%		01/25/22			234		242
Freddie Mac Gold Pool A45796
7.00%		01/01/33			4,327		4,714
Freddie Mac Gold Pool C46104
6.50%		09/01/29			6,405		7,144
Freddie Mac Gold Pool G13032
6.00%		09/01/22			280,529		287,912
Freddie Mac Gold Pool G13475
6.00%		01/01/24			39,364		40,553
Freddie Mac REMICS, Series 2174,
Class PN
6.00%		07/15/29			413,730		455,775
Freddie Mac REMICS, Series 2454,
Class FQ
(LIBOR USD 1-Month plus 1.00%)
3.03%		06/15/31	¹		6,662		6,835

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed
(continued)

Freddie Mac REMICS, Series 2733,

Class FB

(LIBOR USD 1-Month plus 0.60%)

2.63%

10/15/33

2,981,241

3,001,187

Freddie Mac REMICS, Series 3071,

Class TF

(LIBOR USD 1-Month plus 0.30%)

2.33%

04/15/35

2,938,396

2,930,735

Freddie Mac REMICS, Series 3084,

Class FN

(LIBOR USD 1-Month plus 0.50%)

2.53%

12/15/34

1,835,590

1,835,488

Freddie Mac REMICS, Series 3294,

Class CB

5.50%

03/15/37

220,404

249,148

Freddie Mac REMICS, Series 3300,

Class FA

(LIBOR USD 1-Month plus 0.30%)

2.33%

08/15/35

784,814

782,709

Freddie Mac REMICS, Series 3325,

Class NF

(LIBOR USD 1-Month plus 0.30%)

2.33%

08/15/35

2,023,914

2,018,487

Freddie Mac REMICS, Series 3524,

Class FC

(LIBOR USD 1-Month plus 0.94%)

2.97%

06/15/38

431,638

436,194

Freddie Mac REMICS, Series 3531,

Class FM

(LIBOR USD 1-Month plus 0.90%)

2.93%

05/15/39

388,406

394,393

Freddie Mac REMICS, Series 3672,

Class A

6.00%

05/15/40

144,544

158,655

Freddie Mac REMICS, Series 3792,

Class DF

(LIBOR USD 1-Month plus 0.40%)

2.43%

11/15/40

383,712

381,168

Freddie Mac REMICS, Series 4060,

Class FJ

(LIBOR USD 1-Month plus 0.35%)

2.38%

02/15/41

5,549,854

5,530,408

Freddie Mac REMICS, Series 4109,

Class KF

(LIBOR USD 1-Month plus 0.40%)

2.43%

05/15/32

889,642

890,132

Freddie Mac Strips, Series 240,

Class F30

(LIBOR USD 1-Month plus 0.30%)

2.33%

07/15/36

2,235,920

2,224,690


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Strips, Series 263,
Class F5
(LIBOR USD 1-Month plus 0.50%)
2.53%		06/15/42	¹	$	3,393,313	$	3,403,321
Freddie Mac Strips, Series 319,
Class F2
(LIBOR USD 1-Month plus 0.50%)
2.53%		11/15/43	¹		14,877,104		14,885,033
Ginnie Mae II Pool (TBA)
4.50%		10/20/44			9,925,000		10,390,234
Ginnie Mae II Pool 1849
8.50%		08/20/24			261		263
Ginnie Mae II Pool 2020
8.50%		06/20/25			437		473
Ginnie Mae II Pool 2286
8.50%		09/20/26			710		773
Ginnie Mae II Pool 2487
8.50%		09/20/27			6,815		7,452
Ginnie Mae II Pool 80059
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.88%		04/20/27	¹		14,825		15,326
Ginnie Mae II Pool 80589
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
4.00%		03/20/32	¹		23,660		23,652
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.88%		06/20/32	¹		8,967		9,338
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		311,241		321,462
Ginnie Mae II Pool 81201
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 2.00%)
4.50%		01/20/35	¹		10,039		10,155
Ginnie Mae II Pool 8599
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
4.00%		02/20/25	¹		12,426		12,524
Ginnie Mae, Series 2003-11, Class FK
(LIBOR USD 1-Month plus 0.30%)
2.33%		02/16/33	¹		845,708		844,829
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
4.76%		05/20/37	¹		4,702,581		614,909


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2012-13, Class KF
(LIBOR USD 1-Month plus 0.30%)
2.34%		07/20/38	¹	$	516,109	$	516,432
Ginnie Mae, Series 2013-53, Class AD
1.50%		12/20/26			2,213,809		2,186,062
NCUA Guaranteed Notes Trust,
Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
2.45%		10/07/20	¹		7,256,636		7,263,137
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
2.62%		12/08/20	¹		6,884,062		6,919,100
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
2.62%		12/08/20	¹		3,136,113		3,141,021
NCUA Guaranteed Notes Trust,
Series 2011-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
2.51%		01/08/20	¹		1,848,892		1,849,195
NCUA Guaranteed Notes Trust,
Series 2011-R3, Class 1A
(LIBOR USD 1-Month plus 0.40%)
2.45%		03/11/20	¹		1,130,175		1,130,304


							195,980,608

Total Mortgage-Backed
(Cost $710,646,388)							718,118,053


U.S. TREASURY SECURITIES — 21.85%
U.S. Treasury Notes — 21.85%
U.S. Treasury Floating Rate Notes
1.91%		07/31/21	¹		10,000,000		9,998,092
U.S. Treasury Notes
1.50%		08/31/21			147,351,000		146,939,449
1.50%		09/30/21			248,305,000		247,741,236
1.50%		09/15/22			13,515,000		13,490,979
1.63%		06/30/21			25,265,000		25,239,532
1.75%		07/31/24			510,000		514,681


Total U.S. Treasury Securities
(Cost $443,848,287)							443,923,969


Total Bonds – 99.22%
(Cost $1,998,159,150)							2,015,998,565

Issues

Shares

Value

COMMON STOCK — 0.02%

Electric — 0.02%

Homer City Holdings

LLC^2,4,5,7

106,501

479,255

Total Common Stock

(Cost $6,078,660)

Purchased Swaptions – 0.00%

(Cost $939,000)

1,776

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 3.06%

Money Market Funds — 2.88%

Dreyfus Government Cash Management

Fund

1.95%⁸

58,429,000

U.S. Treasury Bills — 0.18%

U.S. Treasury Bills

1.89%^9,10

12/26/19

3,693,000

3,677,297

Total Short-Term Investments

(Cost $62,105,370)

62,106,297

Total Investments Before Written

Swaptions – 102.30%

(Cost $2,067,282,180)

2,078,585,893

Written Swaptions – 0.00%

(Cost $(540,000))

(960

)

Liabilities in Excess of Other

Assets – (2.30)%

(46,645,880

)

Net Assets – 100.00%

2,031,939,053

¹	Floating rate security. The rate disclosed was in effect at September 30, 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 $3,212,380, which is 0.16% 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 the current yield as of September 30, 2019.

⁹	Represents annualized yield at date of purchase.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $3,677,120.

*	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 – 93.03%

ASSET-BACKED SECURITIES — 13.58%**

Atrium XII, Series 12A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.83%)

3.11%

04/22/27

^1,2,3

165,000

164,736

Barings CLO Ltd., Series 2013-IA,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.08%

01/20/28

^1,2,3

250,000

250,029

Barings CLO Ltd., Series 2018-3A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

3.23%

07/20/29

^1,2,3

250,000

250,001

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

2.57%

01/25/35

^2,3

146,222

145,645

BlueMountain CLO Ltd., Series 2013-1A,

Class A1R2 (Cayman Islands)

(LIBOR USD 3-Month plus 1.23%)

3.51%

01/20/29

^1,2,3

175,000

175,133

Cedar Funding II CLO Ltd., Series 2013-1A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.23%)

3.33%

06/09/30

^1,2,3

250,000

250,108

Conseco Finance Corp., Series 1998-3,

Class A6

6.76%

03/01/30

⁴

144,459

148,952

Corevest American Finance Trust,

Series 2019-1, Class XA (IO)

2.35%

03/15/52

^3,4

587,632

55,906

Crystal River CDO, Series 2005-1A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 0.36%)

2.68%

03/02/46

^1,2,3,5,6

419,900

38,413

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.82%)

2.98%

11/15/28

^1,2,3

250,000

249,817

Eaton Vance CLO Ltd., Series 2013-1A,

Class A1RR (Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

3.38%

01/15/28

^1,2,3

85,000

85,043

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

2.82%

04/26/32

^2,3

645,000

640,707

Flagship CLO VIII Ltd., Series 2014-8A,

Class ARR (Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.17%

01/16/26

^1,2,3

88,022

88,026

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

^1,3

147,417

148,526

Higher Education Funding I, Series 2014-1,

Class A

(LIBOR USD 3-Month plus 1.05%)

3.18%

05/25/34

^2,3

454,562

456,755

LCM XX LP, Series 20A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.04%)

3.32%

10/20/27

^1,2,3

200,000

200,108

Magnetite VII Ltd., Series 2012-7A,

Class A1R2 (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.10%

01/15/28

^1,2,3

250,000

249,611

Nelnet Student Loan Trust, Series 2014-4A,

Class A2

(LIBOR USD 1-Month plus 0.95%)

2.97%

11/25/48

^2,3

500,000

490,704

Nelnet Student Loan Trust, Series 2015-3A,

Class A3

(LIBOR USD 1-Month plus 0.90%)

2.92%

06/25/54

^2,3

290,000

284,960

Neuberger Berman CLO XVI-S Ltd.,

Series 2017-16SA, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.15%

01/15/28

^1,2,3

250,000

249,874

Octagon Investment Partners 25 Ltd.,

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

(LIBOR USD 3-Month plus 0.80%)

3.08%

10/20/26

^1,2,3

240,000

Panthera Aviation, Series 2013-1

10.00%

01/25/22

^3,5,6,†

338,214

74,407

Scholar Funding Trust, Series 2012-B,

Class A2

(LIBOR USD 1-Month plus 1.10%)

3.14%

03/28/46

^2,3

729,731

735,102

SLC Student Loan Trust, Series 2004-1,

Class B

(LIBOR USD 3-Month plus 0.29%)

2.45%

08/15/31

178,998

163,347

SLM Student Loan Trust, Series 2004-2,

Class B

(LIBOR USD 3-Month plus 0.47%)

2.75%

07/25/39

344,067

327,134

SLM Student Loan Trust, Series 2004-3A,

Class A6A

(LIBOR USD 3-Month plus 0.55%)

2.83%

10/25/64

^2,3

270,000

265,963

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2005-9,

Class B

(LIBOR USD 3-Month plus 0.30%)

2.58%

01/25/41

262,814

247,592

SLM Student Loan Trust, Series 2007-7,

Class B

(LIBOR USD 3-Month plus 0.75%)

3.03%

10/27/70

215,000

201,959

SLM Student Loan Trust, Series 2008-1,

Class A4

(LIBOR USD 3-Month plus 0.65%)

2.93%

01/25/22

199,424

197,512

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

4.16%

01/25/83

340,000

325,450

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.48%

04/26/83

340,000

327,808

SLM Student Loan Trust, Series 2008-4,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

04/25/73

340,000

338,634

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/25/73

235,000

237,233

SLM Student Loan Trust, Series 2008-6,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/26/83

340,000

338,635

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/26/83

340,000

338,791

SLM Student Loan Trust, Series 2008-8,

Class B

(LIBOR USD 3-Month plus 2.25%)

4.53%

10/25/75

340,000

342,502

SLM Student Loan Trust, Series 2011-1,

Class A2

(LIBOR USD 1-Month plus 1.15%)

3.17%

10/25/34

310,000

313,795

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/46

^3,†

316,724

375,293

Structured Receivables Finance LLC,

Series 2010-B, Class B

7.97%

08/15/36

325,590

388,329


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Treman Park CLO Ltd., Series 2015-1A,
Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
3.35%		10/20/28	^1,2,3	$	450,000	$	450,540
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
2.45%		04/25/40	^2,3		289,892		279,684


Total Asset-Backed Securities
(Cost $11,586,441)							11,132,764


CORPORATES — 35.25%*
Banking — 3.89%
Bank of America Corp.
2.74%		01/23/22	⁴		270,000		271,583
3.00%		12/20/23	⁴		476,000		486,376
Bank of America Corp. (MTN)
3.56%		04/23/27	⁴		440,000		464,465
Bank of New York Mellon Corp. (The) (MTN)
2.66%		05/16/23	⁴		250,000		253,046
JPMorgan Chase & Co.
3.56%		04/23/24	⁴		250,000		260,836
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	^1,4		200,000		200,697
2.91%		11/07/23	^1,4		200,000		200,762
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		08/05/21	¹		165,000		165,557
3.37%		01/05/24	^1,4		200,000		203,182
4.80%		11/15/24	^1,4		75,000		80,387
Wells Fargo & Co.
3.00%		04/22/26			145,000		148,772
3.00%		10/23/26			250,000		256,975
(LIBOR USD 3-Month plus 1.23%)
3.49%		10/31/23	²		150,000		152,676
Wells Fargo Bank N.A. (BKNT)
2.08%		09/09/22	⁴		45,000		44,882


							3,190,196

Communications — 3.85%
AT&T, Inc.
3.88%		01/15/26			200,000		212,346
4.80%		06/15/44			350,000		388,085
5.25%		03/01/37			265,000		311,700
CBS Corp.
3.38%		02/15/28			150,000		153,041
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.38%		06/01/29	³		80,000		85,400


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
CSC Holdings LLC
6.50%		02/01/29	³	$	117,000	$	130,262
Discovery Communications LLC
2.80%		06/15/20			150,000		150,530
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	¹		145,000		135,995
9.75%		07/15/25	^1,3		71,000		74,515
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	¹		70,000		94,654
Level 3 Financing, Inc.
4.63%		09/15/27	³		40,000		40,462
5.38%		01/15/24			40,000		40,844
5.38%		05/01/25			16,000		16,580
Qwest Corp.
7.25%		09/15/25			70,000		78,837
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	³		200,000		207,971
Sirius XM Radio, Inc.
3.88%		08/01/22	³		75,000		76,148
Sprint Communications, Inc.
7.00%		03/01/20	³		30,000		30,563
Sprint Corp.
7.63%		03/01/26			15,000		16,594
7.88%		09/15/23			32,000		35,200
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	³		100,000		100,625
4.74%		03/20/25	³		200,000		213,102
Time Warner Cable LLC
5.50%		09/01/41			230,000		248,142
T-Mobile USA, Inc.
4.50%		02/01/26			45,000		46,319
4.75%		02/01/28			45,000		47,114
6.00%		04/15/24			108,000		112,320
Vodafone Group PLC (United Kingdom)
4.88%		06/19/49	¹		48,000		53,665
5.25%		05/30/48	¹		50,000		58,048


							3,159,062

Consumer Discretionary — 0.95%
Anheuser-Busch InBev Worldwide, Inc.
4.00%		04/13/28			145,000		160,049
Bacardi Ltd. (Bermuda)
5.30%		05/15/48	^1,3		100,000		114,750
BAT Capital Corp.
4.54%		08/15/47			75,000		72,068
4.76%		09/06/49			155,000		152,788
Reynolds American, Inc.
5.85%		08/15/45			100,000		110,825


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC/Reynolds Group Issuer
Luxembourg SA
(LIBOR USD 3-Month plus 3.50%)
5.80%		07/15/21	^2,3	$	165,000	$	165,619


							776,099

Electric — 2.43%
Duke Energy Carolinas LLC
3.75%		06/01/45			355,000		381,202
Entergy Texas, Inc.
3.45%		12/01/27			150,000		156,119
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.48%)
2.77%		05/04/21	²		485,000		485,889
Pennsylvania Electric Co.
5.20%		04/01/20			400,000		404,896
Puget Energy, Inc.
6.00%		09/01/21			250,000		266,015
Southwestern Electric Power Co., Series K
2.75%		10/01/26			300,000		301,041


							1,995,162

Energy — 4.22%
Antero Resources Corp.
5.00%		03/01/25			149,000		121,951
5.13%		12/01/22			35,000		30,931
Cheniere Energy Partners LP
5.25%		10/01/25			45,000		46,856
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	³		10,000		10,077
Energy Transfer Operating LP
5.50%		06/01/27			3,000		3,399
5.88%		01/15/24			70,000		77,948
EQM Midstream Partners LP
4.13%		12/01/26			350,000		325,663
Gulfport Energy Corp.
6.38%		05/15/25			13,000		9,295
KazMunayGas National Co. JSC,
Series REGS (Kazakhstan)
5.38%		04/24/30	¹		200,000		225,225
Matador Resources Co.
5.88%		09/15/26			15,000		15,075
NiSource, Inc.
2.65%		11/17/22			150,000		152,007
Occidental Petroleum Corp.
3.50%		08/15/29			33,000		33,496
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	³		10,000		10,197
5.38%		01/15/25	³		35,000		35,613


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Peru LNG SRL, Series REGS (Peru)
5.38%		03/22/30	¹	$	200,000	$	208,500
Petroleos Mexicanos (Mexico)
6.50%		01/23/29	¹		230,000		233,910
6.63%		06/15/35	¹		100,000		98,225
6.75%		09/21/47	¹		50,000		47,920
7.69%		01/23/50	^1,3		85,000		88,689
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25			125,000		133,657
Range Resources Corp.
4.88%		05/15/25			103,000		85,490
Rockies Express Pipeline LLC
5.63%		04/15/20	³		142,000		144,307
Ruby Pipeline LLC
6.00%		04/01/22	³		157,576		163,879
Southern Co. Gas Capital Corp.
3.25%		06/15/26			500,000		514,324
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			174,000		190,139
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29	³		39,000		42,708
Texas Eastern Transmission LP
2.80%		10/15/22	³		150,000		151,270
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26			35,000		33,863
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^1,3		36,490		37,220
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3		87,000		90,915
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^1,3		14,250		14,535
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26			27,000		28,147
6.88%		09/01/27	³		22,000		22,825
WPX Energy, Inc.
5.75%		06/01/26			30,000		30,863


							3,459,119

Finance — 3.39%
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	^1,3		56,000		59,556
Citigroup, Inc.
3.67%		07/24/28	⁴		60,000		63,596


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
3.06%		02/15/22	^2,3	$	210,000	$	211,158
Ford Motor Credit Co. LLC
3.16%		08/04/20			275,000		275,949
3.20%		01/15/21			175,000		175,427
8.13%		01/15/20			300,000		304,463
(LIBOR USD 3-Month plus 1.27%)
3.37%		03/28/22	²		115,000		113,465
GE Capital International Funding Co.
(Ireland)
2.34%		11/15/20	¹		275,000		274,312
4.42%		11/15/35	¹		130,000		136,276
General Motors Financial Co., Inc.
3.55%		04/09/21			95,000		96,411
4.20%		11/06/21			175,000		180,408
Goldman Sachs Group, Inc. (The)
3.81%		04/23/29	⁴		145,000		154,072
4.22%		05/01/29	⁴		45,000		49,134
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
3.21%		07/22/22	²		500,000		503,919
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4		85,000		87,329
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%		02/15/24	^1,3		85,000		91,940


							2,777,415

Food — 1.35%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.50%)
2.62%		03/16/20	²		140,000		140,025
Kraft Heinz Foods Co.
3.00%		06/01/26			30,000		29,707
3.75%		04/01/30	³		190,000		191,936
4.88%		10/01/49	³		80,000		80,906
5.00%		06/04/42			439,000		453,495
5.20%		07/15/45			25,000		26,396
7.13%		08/01/39	³		35,000		44,204
Kroger Co. (The)
5.40%		01/15/49			46,000		54,393
Post Holdings, Inc.
5.50%		12/15/29	³		80,000		83,700


							1,104,762


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Gaming — 0.16%
Churchill Downs, Inc.
4.75%		01/15/28	³	$	125,000	$	128,750


Health Care — 5.79%
AbbVie, Inc.
3.60%		05/14/25			100,000		104,090
4.45%		05/14/46			61,000		63,374
4.50%		05/14/35			50,000		53,667
Allergan Finance LLC
3.25%		10/01/22			150,000		153,316
Amgen, Inc.
4.40%		05/01/45			200,000		226,374
Anthem, Inc.
3.65%		12/01/27			145,000		152,347
Bausch Health Americas, Inc.
9.25%		04/01/26	³		7,000		7,980
Bausch Health Cos., Inc. (Canada)
7.00%		03/15/24	^1,3		110,000		115,881
Bayer U.S. Finance II LLC
4.38%		12/15/28	³		290,000		312,840
Bayer U.S. Finance LLC
2.38%		10/08/19	³		200,000		199,999
Becton Dickinson and Co.
(LIBOR USD 3-Month plus 0.88%)
2.98%		12/29/20	²		187,000		187,066
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	³		75,000		77,531
Celgene Corp.
5.00%		08/15/45			320,000		399,935
Centene Corp.
5.38%		06/01/26	³		77,000		80,465
5.63%		02/15/21			43,000		43,633
CHS/Community Health Systems, Inc.
8.00%		03/15/26	³		18,000		18,045
8.63%		01/15/24	³		14,000		14,560
Cigna Corp.
4.13%		11/15/25			375,000		403,168
CVS Health Corp.
5.05%		03/25/48			390,000		443,319
Elanco Animal Health, Inc.
4.90%		08/28/28			160,000		174,808
Encompass Health Corp.
4.75%		02/01/30			119,000		120,535
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	³		400,000		406,172
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	³		150,000		153,171


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
HCA, Inc.
4.13%		06/15/29		$	85,000	$	89,569
4.75%		05/01/23			30,000		32,137
5.25%		04/15/25			12,000		13,363
5.25%		06/15/49			35,000		38,328
Hologic, Inc.
4.63%		02/01/28	³		55,000		56,856
Humana, Inc.
2.90%		12/15/22			195,000		197,746
Molina Healthcare, Inc.
5.38%		11/15/22			83,000		88,395
Teleflex, Inc.
4.63%		11/15/27			10,000		10,425
Tenet Healthcare Corp.
4.63%		07/15/24			46,000		47,448
4.88%		01/01/26	³		67,000		68,843
5.13%		11/01/27	³		142,000		146,913
WellCare Health Plans, Inc.
5.25%		04/01/25			40,000		41,800


							4,744,099

Industrials — 2.39%
Amcor Finance USA, Inc.
4.50%		05/15/28	³		145,000		158,152
BAE Systems Holdings, Inc.
2.85%		12/15/20	³		200,000		200,799
Ball Corp.
4.00%		11/15/23			30,000		31,500
Berry Global, Inc.
4.88%		07/15/26	³		19,000		19,687
Crown Americas LLC/Crown Americas
Capital Corp. V
4.25%		09/30/26			21,000		21,814
General Electric Co. (GMTN)
4.63%		01/07/21			100,000		102,534
5.50%		01/08/20			160,000		161,260
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
2.64%		08/15/36	²		600,000		437,260
General Electric Co., Series A (MTN)
6.75%		03/15/32			110,000		138,432
Graphic Packaging International LLC
4.75%		07/15/27	³		40,000		42,200
4.88%		11/15/22			55,000		57,613
L3Harris Technologies, Inc.
4.40%		06/15/28	³		145,000		163,759
Matthews International Corp.
5.25%		12/01/25	³		30,000		28,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
OI European Group BV (Netherlands)
4.00%		03/15/23	^1,3	$	15,000	$	15,131
Sealed Air Corp.
5.50%		09/15/25	³		70,000		75,600
Silgan Holdings, Inc.
4.75%		03/15/25			60,000		61,650
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^1,3		55,000		51,906
WRKCo, Inc.
4.65%		03/15/26			175,000		192,263


							1,960,060

Information Technology — 0.51%
Broadcom, Inc.
3.13%		04/15/21	³		290,000		292,867
Change Healthcare Holdings LLC/Change
Healthcare Finance, Inc.
5.75%		03/01/25	³		41,000		41,615
SS&C Technologies, Inc.
5.50%		09/30/27	³		80,000		83,752


							418,234

Insurance — 1.09%
Farmers Exchange Capital II
6.15%		11/01/53	^3,4		400,000		497,000
Nationwide Mutual Insurance Co.
4.41%		12/15/24	^3,4		400,000		398,500


							895,500

Materials — 0.35%
Indonesia Asahan Aluminum Persero PT
(Indonesia)
6.53%		11/15/28	^1,3		200,000		245,125
International Flavors & Fragrances, Inc.
5.00%		09/26/48			40,000		45,721


							290,846

Real Estate Investment Trust (REIT) — 2.38%
Alexandria Real Estate Equities, Inc.
3.45%		04/30/25			200,000		209,331
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			125,000		126,293
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30			60,000		60,571
5.30%		01/15/29			65,000		71,887
5.38%		04/15/26			205,000		225,984
HCP, Inc.
3.88%		08/15/24			325,000		346,789


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
SL Green Realty Corp.
4.50%		12/01/22		$	200,000	$	210,663
Ventas Realty LP
4.40%		01/15/29			250,000		277,028
Welltower, Inc.
3.75%		03/15/23			400,000		419,027


							1,947,573

Retail — 1.14%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^1,3		45,000		45,317
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.00%		04/17/20	²		250,000		250,047
eG Global Finance PLC (United Kingdom)
6.75%		02/07/25	^1,3		85,000		83,300
Rite Aid Corp.
6.13%		04/01/23	³		173,000		137,898
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			400,000		422,036


							938,598

Services — 0.28%
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,3		7,000		7,389
4.75%		08/01/28	¹		35,000		39,077
5.00%		11/01/22	^1,3		170,000		181,312


							227,778

Transportation — 1.08%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			453,119		469,047
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			290,604		307,587
Union Pacific Corp.
3.95%		09/10/28			100,000		110,691


							887,325

Total Corporates
(Cost $27,836,091)							28,900,578


FOREIGN GOVERNMENT OBLIGATIONS — 1.07%
Foreign Government Obligations — 1.07%
Bahrain Government International Bond,
Series REGS (Bahrain)
7.00%		10/12/28	¹		200,000		224,808
Brazilian Government International Bond
(Brazil)
4.63%		01/13/28	¹		200,000		212,852


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations
(continued)
Qatar Government International Bond
(Qatar)
4.50%		04/23/28	¹	$	200,000	$	228,420
Republic of South Africa Government
International Bond (South Africa)
4.88%		04/14/26	¹		200,000		206,942


Total Foreign Government Obligations
(Cost $794,744)							873,022


MORTGAGE-BACKED — 42.32%**
Non-Agency Commercial
Mortgage-Backed — 4.28%
1345 Avenue of the Americas & Park Avenue
Plaza Trust, Series 2005-1, Class A3
5.28%		08/10/35	³		150,000		166,883
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2018-PARK, Class A
4.23%		08/10/38	^3,4		140,000		158,294
Banc of America Merrill Lynch Trust,
Series 2011-FSHN, Class A
4.42%		07/11/33	³		100,000		103,077
CALI Mortgage Trust, Series 2019-101C,
Class A
3.96%		03/10/39	³		210,000		236,357
CGRBS Commercial Mortgage Trust,
Series 2013-VN05, Class A
3.37%		03/13/35	³		80,000		83,817
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.93%		09/10/45	^3,4		1,503,664		63,788
COBALT CMBS Commercial Mortgage Trust,
Series 2007-C2, Class X (IO)
0.77%		04/15/47	^3,4		1,606,768		9,241
Commercial Mortgage Trust,
Series 2006-GG7, Class AM
5.83%		07/10/38	⁴		172,953		174,131
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.67%		12/10/45	⁴		4,298,233		180,776
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
1.32%		10/10/46	⁴		1,910,974		72,975
Commercial Mortgage Trust,
Series 2013-CR13, Class XA (IO)
0.93%		11/10/46	⁴		1,550,359		43,669
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.04%		09/10/47	^4,5,6		2,219,723		74,180
Credit Suisse Commercial Mortgage Trust,
Series 2007-C2, Class AJ
5.75%		01/15/49	⁴		7,729		7,748

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial

Mortgage-Backed (continued)

Credit Suisse Mortgage Capital,

Series 2015-GLPB, Class A

3.64%

11/15/34

296,817

314,826

GS Mortgage Securities Trust,

Series 2012-GC6, Class XB (IO)

0.26%

01/10/45

^3,4

5,749,132

29,833

GS Mortgage Securities Trust,

Series 2013-GC12, Class XA (IO)

1.56%

06/10/46

⁴

7,431,765

298,605

Hudson Yards Mortgage Trust,

Series 2019-30HY, Class A

3.23%

07/10/39

165,000

176,508

JPMBB Commercial Mortgage Securities

Trust, Series 2013-C15, Class XA (IO)

1.24%

11/15/45

⁴

2,873,350

104,750

JPMBB Commercial Mortgage Securities

Trust, Series 2014-C21, Class XA (IO)

1.16%

08/15/47

⁴

565,654

21,723

JPMBB Commercial Mortgage Securities

Trust, Series 2014-C24, Class XA (IO)

1.08%

11/15/47

⁴

2,772,189

89,653

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2012-LC9,

Class XA (IO)

1.66%

12/15/47

⁴

2,472,299

95,789

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2013-C13,

Class XA (IO)

0.24%

01/15/46

⁴

7,086,636

31,754

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2013-LC11,

Class XA (IO)

1.40%

04/15/46

⁴

1,517,261

57,624

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2018-BCON,

Class A

3.73%

01/05/31

95,000

99,375

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2019-OSB,

Class A

3.40%

06/05/39

80,000

86,357

SFAVE Commercial Mortgage Securities

Trust, Series 2015-5AVE, Class A2A

3.66%

01/05/43

^3,4

120,000

132,929

UBS Commercial Mortgage Trust,

Series 2012-C1, Class XA (IO)

2.24%

05/10/45

^3,4

1,715,577

73,079

WF-RBS Commercial Mortgage Trust,

Series 2011-C3, Class XA (IO)

1.49%

03/15/44

^3,4

19,119,609

318,206

WF-RBS Commercial Mortgage Trust,

Series 2011-C5, Class XA (IO)

1.88%

11/15/44

^3,4

3,444,267

91,273


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
2.06%		11/15/45	^3,4	$	978,827	$	47,062
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.87%		06/15/46	⁴		3,084,510		66,564


							3,510,846

Non-Agency Mortgage-Backed — 25.51%
ACE Securities Corp. Home Equity Loan
Trust, Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.15%)
2.17%		06/25/36	²		1,389,485		1,133,483
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%		03/25/36			309,774		296,713
BCAP LLC Trust, Series 2011-RR3,
Class 5A3
3.63%		11/27/37	^3,4		124,782		125,214
Bear Stearns ALT-A Trust, Series 2005-1,
Class A1
(LIBOR USD 1-Month plus 0.56%)
2.58%		01/25/35	²		34,968		35,037
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
4.54%		02/25/37	⁴		98,740		103,765
Conseco Finance Corp., Series 1996-7,
Class M1
7.70%		09/15/26	⁴		200,576		212,009
Conseco Finance Corp., Series 1998-4,
Class A6
6.53%		04/01/30	⁴		205,212		213,734
Conseco Finance Corp., Series 1998-4,
Class A7
6.87%		04/01/30	⁴		101,614		106,296
Conseco Finance Corp., Series 1999-5,
Class A5
7.86%		03/01/30	⁴		77,547		54,828
Conseco Finance Home Equity Loan Trust,
Series 2002-C, Class BF1
8.00%		06/15/32	⁴		123,647		124,324
Conseco Finance Home Equity Loan Trust,
Series 2002-C, Class BF2
8.00%		06/15/32	^3,4		376,706		386,438
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%		08/01/32	⁴		16,728		16,786
Credit-Based Asset Servicing and
Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2B
(STEP-reset date 11/25/19)
4.00%		02/25/37			1,022,141		816,734

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2C

(STEP-reset date 11/25/19)

4.00%

02/25/37

337,518

269,660

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB3, Class A3

(STEP-reset date 11/25/19)

3.78%

03/25/37

1,026,474

570,699

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2B

(LIBOR USD 1-Month plus 0.11%)

2.13%

12/25/37

472,881

443,678

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2D

(LIBOR USD 1-Month plus 0.22%)

2.24%

01/25/38

2,170,142

1,564,419

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

2.12%

03/25/37

720,909

468,509

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

4.18%

04/19/36

⁴

316,781

298,884

GreenPoint Mortgage Funding Trust,

Series 2006-AR8, Class 1A2A⁷

0.00%

01/25/47

^8,†

2,140,000

—

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 5A1A

4.36%

05/25/37

⁴

412,095

375,582

HSI Asset Loan Obligation Trust,

Series 2007-2, Class 2A12

6.00%

09/25/37

340,540

314,308

Impac CMB Trust, Series 2004-4,

Class 1A2

(LIBOR USD 1-Month plus 0.62%)

2.64%

09/25/34

236,587

231,014

IndyMac Index Mortgage Loan Trust,

Series 2005-AR25, Class 2A1

3.74%

12/25/35

⁴

371,301

352,822

IndyMac Index Mortgage Loan Trust,

Series 2007-FLX2, Class A1C

(LIBOR USD 1-Month plus 0.19%)

2.21%

04/25/37

1,636,563

1,551,795

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1997-1,

Class A3

6.61%

02/25/28

134,515

135,918

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1997-1,

Class A4

6.75%

02/25/28

56,627

57,296


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1998-1,
Class A4
6.49%		09/25/28		$	81,940	$	84,257
IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1998-1,
Class A5
6.96%		09/25/28	⁴		197,504		205,488
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF6
(STEP-reset date 11/25/19)
4.21%		03/25/47			834,208		683,999
JPMorgan Mortgage Trust, Series 2006-S2,
Class 2A2
5.88%		06/25/21			132,319		124,945
JPMorgan Mortgage Trust, Series 2007-S1,
Class 1A2
5.50%		03/25/22			47,922		46,845
Lehman XS Trust, Series 2006-13,
Class 1A2
(LIBOR USD 1-Month plus 0.34%)
2.36%		09/25/36	²		65,749		66,847
Lehman XS Trust, Series 2006-9,
Class A1B
(LIBOR USD 1-Month plus 0.16%)
2.18%		05/25/46	²		12,138		14,160
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
(LIBOR USD 1-Month plus 0.28%)
2.30%		05/25/37	²		1,810,500		1,593,170
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.33%)
2.35%		04/25/37	^2,5,6		1,696,107		145,335
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE2, Class A2C
(LIBOR USD 1-Month plus 1.16%)
3.18%		08/25/35	²		709,726		691,339
Mid-State Capital Corp., Series 2004-1,
Class B
8.90%		08/15/37			535,289		609,900
Mid-State Capital Corp., Series 2004-1,
Class M1
6.50%		08/15/37			370,210		391,147
Mid-State Capital Corp., Series 2005-1,
Class A
5.75%		01/15/40			160,811		175,903
Mid-State Trust XI, Series 2011, Class B
8.22%		07/15/38			8,913		10,174
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
4.01%		09/25/34	⁴		253,812		251,498

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Morgan Stanley Mortgage Loan Trust,

Series 2006-7, Class 5A2

5.96%

06/25/36

⁴

2,365,013

966,704

Oakwood Mortgage Investors, Inc.,

Series 1998-A, Class M

6.83%

05/15/28

⁴

154,559

158,744

Oakwood Mortgage Investors, Inc.,

Series 1999-B, Class A4

6.99%

12/15/26

262,062

268,657

Oakwood Mortgage Investors, Inc.,

Series 2001-D, Class A3

5.90%

09/15/22

⁴

795,409

612,636

Oakwood Mortgage Investors, Inc.,

Series 2002-A, Class A3

6.03%

05/15/24

⁴

282,542

291,768

Residential Accredit Loans Trust,

Series 2005-QA3, Class NB1

3.67%

03/25/35

⁴

267,560

180,611

SG Mortgage Securities Trust,

Series 2007-NC1, Class A2

(LIBOR USD 1-Month plus 0.24%)

2.26%

12/25/36

^2,3

1,454,515

965,143

Specialty Underwriting & Residential Finance

Trust, Series 2006-AB3, Class A2B

(LIBOR USD 1-Month plus 0.15%)

2.17%

09/25/37

563,173

340,224

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-12, Class 2A

4.16%

09/25/34

⁴

311,417

311,574

Terwin Mortgage Trust, Series 2004-7HE,

Class A1

(LIBOR USD 1-Month plus 0.55%)

2.57%

07/25/34

^2,3

98,925

97,947

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR8, Class 2A1A

(LIBOR USD 1-Month plus 0.58%)

2.60%

07/25/45

76,093

75,923

Wells Fargo Home Equity Asset-Backed

Securities Trust, Series 2007-1, Class A3

(LIBOR USD 1-Month plus 0.32%)

2.34%

03/25/37

1,500,000

1,286,602

20,911,485

U.S. Agency Commercial

Mortgage-Backed — 6.03%

Fannie Mae-Aces, Series 2006-M2,

Class A2A

5.27%

10/25/32

⁴

312,870

320,614

Fannie Mae-Aces, Series 2011-M5,

Class X (IO)

1.21%

07/25/21

⁴

3,376,487

50,435

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial

Mortgage-Backed (continued)

Fannie Mae-Aces, Series 2012-M13,

Class X2 (IO)

0.74%

05/25/22

⁴

18,636,681

250,694

Fannie Mae-Aces, Series 2012-M14,

Class X2 (IO)

0.48%

09/25/22

⁴

4,320,397

42,772

Fannie Mae-Aces, Series 2013-M6,

Class 1A1

1.30%

02/25/43

428,867

426,000

Fannie Mae-Aces, Series 2016-M11,

Class AL

2.94%

07/25/39

284,537

296,970

Fannie Mae-Aces, Series 2016-M11,

Class X2 (IO)

2.71%

07/25/39

⁴

1,629,622

57,620

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K021,

Class X3 (IO)

2.03%

07/25/40

⁴

1,150,000

58,814

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K022,

Class X3 (IO)

1.87%

08/25/40

⁴

850,000

41,763

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K034,

Class X1 (IO)

0.24%

07/25/23

⁴

6,490,089

26,777

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K093,

Class XAM (IO)

1.33%

05/25/29

⁴

945,000

97,961

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K712,

Class X1 (IO)

1.37%

11/25/19

⁴

1,889,784

156

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K714,

Class X1 (IO)

0.79%

10/25/20

⁴

10,572,862

49,957

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K732,

Class X3 (IO)

2.25%

05/25/46

⁴

700,000

78,102

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K734,

Class X1 (IO)

0.79%

02/25/26

⁴

2,249,206

81,734

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K736,

Class X1 (IO)

1.31%

07/25/26

⁴

1,350,000

101,395


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial
Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K736,
Class XAM (IO)
1.71%		07/25/26	⁴	$	1,150,000	$	121,297
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KAIV,
Class X2 (IO)
3.61%		06/25/41	⁴		1,220,000		67,600
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KIR1,
Class X (IO)
1.21%		03/25/26	⁴		1,367,619		80,465
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q004,
Class A2H
3.07%		01/25/46	⁴		415,810		418,373
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q006,
Class APT1
2.62%		07/25/26	⁴		442,542		455,172
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT1
2.93%		04/25/46	⁴		385,908		390,209
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT2
2.95%		12/25/47	⁴		199,730		202,505
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class XPT2 (IO)
0.36%		08/25/24			6,132,811		76,991
FREMF Mortgage Trust, Series 2012-K23,
Class X2A (IO)
0.13%		10/25/45	³		62,847,379		194,538
Ginnie Mae, Series 2007-15, Class Z
4.30%		03/16/47	⁴		394,553		407,109
Ginnie Mae, Series 2008-92, Class E
5.56%		03/16/44	⁴		181,961		186,620
Ginnie Mae, Series 2009-114, Class IO (IO)
0.07%		10/16/49	⁴		7,467,809		448
Ginnie Mae, Series 2014-103, Class IO (IO)
0.58%		05/16/55	⁴		2,394,048		67,680
Ginnie Mae, Series 2014-125, Class IO (IO)
0.96%		11/16/54	⁴		2,401,344		141,336
Ginnie Mae, Series 2014-88, Class IE (IO)
0.32%		03/16/55	⁴		3,428,741		78,023
Ginnie Mae, Series 2015-47, Class IO (IO)
0.85%		10/16/56	⁴		1,300,700		70,070


							4,940,200


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 6.50%
Fannie Mae Pool 463408
5.25%		08/01/24		$	257,188	$	287,068
Fannie Mae Pool 874941
6.32%		11/01/37			490,035		545,134
Fannie Mae Pool AN3542
3.41%		11/01/46			381,317		394,478
Fannie Mae Pool AN6168
3.13%		07/01/32			200,000		214,567
Fannie Mae Pool AN7345
3.21%		11/01/37			454,963		489,474
Fannie Mae Pool AN9420
3.77%		07/01/43			243,471		281,560
Fannie Mae Pool AN9619
3.77%		06/01/33			285,000		327,692
Fannie Mae Pool BL0242
3.82%		11/01/30			250,000		285,841
Fannie Mae REMICS, Series 1993-80,
Class S
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)
8.41%		05/25/23	²		1,226		1,351
Fannie Mae REMICS, Series 2000-45,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)
5.91%		12/18/30	²		188,391		21,107
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		466		529
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		5,735		6,724
Fannie Mae REMICS, Series 2005-92,
Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
4.08%		10/25/25	²		943,609		84,749
Fannie Mae REMICS, Series 2006-125,
Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
5.18%		01/25/37	²		1,029,349		229,881
Fannie Mae REMICS, Series 2008-50,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
4.03%		11/25/36	²		1,194,704		198,396
Fannie Mae REMICS, Series 2010-43,
Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
4.40%		05/25/40	²		1,044,360		209,656

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed

(continued)

Freddie Mac Gold Pool WA3303

3.83%

05/01/35

445,890

518,599

Freddie Mac REMICS, Series 1602,

Class SN

(-4.25 X PRIME plus 46.22%, 10.09% Cap)

10.09%

10/15/23

11,583

12,413

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)

15.51%

02/15/24

62,076

73,361

Freddie Mac REMICS, Series 2642,

Class BW (IO)

5.00%

06/15/23

367

Freddie Mac REMICS, Series 2990,

Class ND

(-2.54 X LIBOR USD 1-Month plus 16.89%, 16.89% Cap)

11.74%

12/15/34

2,230

2,251

Freddie Mac REMICS, Series 3242,

Class SA (IO)

(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)

4.32%

11/15/36

3,332,467

631,545

Freddie Mac REMICS, Series 3247,

Class SI (IO)

(-1.00 X LIBOR USD 1-Month plus 6.65%, 6.65% Cap)

0.15%

08/15/36

13,944,570

79,483

Freddie Mac REMICS, Series 3260,

Class AS (IO)

(-1.00 X LIBOR USD 1-Month plus 6.38%, 6.38% Cap)

4.35%

01/15/37

2,182,572

337,827

Freddie Mac REMICS, Series 3289,

Class SD (IO)

(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)

4.09%

03/15/37

737,542

52,556

Ginnie Mae, Series 2004-8, Class SE

(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)

10.21%

11/26/23

40,532

45,526

5,331,769

Total Mortgage-Backed

(Cost $36,498,337)

34,694,300

MUNICIPAL BONDS — 0.81%*

California — 0.37%

State of California, Taxable, Miscellaneous

Revenue Bonds, General Obligations,

Series B

2.19%

04/01/47

300,000

299,997

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

New York — 0.44%

New York City Transitional Finance Authority

Revenue, Future Tax Secured Revenue,

Build America Bonds, Public Improvements

5.81%

08/01/30

350,000

361,133

Total Municipal Bonds

(Cost $659,458)

661,130

Total Bonds – 93.03%

(Cost $77,375,071)

76,261,794


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 6.06%
Money Market Funds — 3.42%
Dreyfus Government Cash Management
Fund
1.95%⁹				862,000		862,000
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
1.97%⁹				1,941,000		1,941,000


						2,803,000

U.S. Treasury Bills — 2.64%
U.S. Treasury Bills
1.89%^10,11		12/26/19	$	172,000		171,269
2.40%¹¹		10/24/19		1,000,000		998,858
2.41%¹¹		10/10/19		1,000,000		999,559


						2,169,686

Total Short-Term Investments
(Cost $4,972,115)						4,972,686


Total Investments – 99.09%
(Cost $82,347,186)						81,234,480


Cash and Other Assets, Less
Liabilities – 0.91%						743,101


Net Assets – 100.00%					$	81,977,581

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

²	Floating rate security. The rate disclosed was in effect at September 30, 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 $332,335, which is 0.41% of total net assets.

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 September 30, 2019.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $171,260.

¹¹	Represents annualized yield at date of purchase.

^†

Fair valued security. The aggregate value of fair valued securities is $449,700, which is 0.55% of total net assets. Fair valued securities are 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.

(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 – 105.95%
ASSET-BACKED SECURITIES — 4.83%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
3.12%	12/27/44^1,2	$	24,849,219	$	24,884,216
AIMCO CLO, Series 2015-AA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
3.15%	01/15/28^1,2,3		13,120,000		13,107,930
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2A
(LIBOR USD 1-Month plus 0.75%)
2.77%	06/25/37¹		31,551,437		28,180,017
Atrium XII, Series 12A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.83%)
3.11%	04/22/27^1,2,3		21,945,000		21,909,912
Barings BDC Static CLO Ltd.,
Series 2019-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
3.32%	04/15/27^1,2,3		3,348,547		3,350,520
Barings CLO Ltd., Series 2013-IA,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
3.08%	01/20/28^1,2,3		54,535,000		54,541,277
Barings CLO Ltd., Series 2016-2A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
3.36%	07/20/28^1,2,3		50,005,000		50,049,594
Barings CLO Ltd., Series 2018-3A,
Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
3.23%	07/20/29^1,2,3		35,811,000		35,811,143
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
2.57%	01/25/35^1,2		1,427,932		1,422,293
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
2.47%	04/25/35^1,2		3,238,540		3,184,281
BlueMountain CLO Ltd., Series 2015-2A,
Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 0.93%)
3.23%	07/18/27^1,2,3		8,330,000		8,335,177
Brazos Education Loan Authority, Inc.,
Series 2012-1, Class A1
(LIBOR USD 1-Month plus 0.70%)
2.72%	12/26/35¹		45,278		45,163
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
3.33%	02/25/35¹	$	14,100,000	$	14,241,670
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 1.05%)
3.18%	11/25/33¹		16,050,000		16,119,763
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
3.28%	10/27/36¹		24,361,000		24,642,905
CIT Education Loan Trust, Series 2007-1,
Class A
(LIBOR USD 3-Month plus 0.09%)
2.20%	03/25/42^1,2		19,724,892		18,966,019
CIT Education Loan Trust, Series 2007-1,
Class B
(LIBOR USD 3-Month plus 0.30%)
2.41%	06/25/42^1,2		13,907,283		12,767,760
Clear Creek CLO, Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
3.48%	10/20/30^1,2,3		27,190,000		27,190,398
College Loan Corp. Trust I, Series 2005-2,
Class B
(LIBOR USD 3-Month plus 0.49%)
2.79%	01/15/37¹		2,834,191		2,661,487
Conseco Finance Corp., Series 1998-3,
Class A6
6.76%	03/01/30⁴		1,354,915		1,397,058
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
2.98%	11/15/28^1,2,3		19,066,000		19,052,044
Dryden 33 Senior Loan Fund,
Series 2014-33A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.23%)
3.53%	04/15/29^1,2,3		1,000,000		1,000,473
Dryden 71 CLO Ltd.,
Series 2018-71A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
3.45%	01/15/29^1,2,3		73,850,000		73,853,135
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
3.20%	04/15/29^1,2,3		23,113,000		23,072,511
Eaton Vance CLO Ltd., Series 2013-1A,
Class A1RR (Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
3.38%	01/15/28^1,2,3		20,025,000		20,035,233


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
3.37%	07/26/66^1,2	$	39,828,286	$	40,146,918
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
2.82%	04/26/32^1,2		12,740,000		12,655,216
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
2.93%	04/25/35¹		20,991		20,918
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
3.07%	03/25/36¹		13,005,224		13,070,994
EFS Volunteer No. 2 LLC, Series 2012-1,
Class A2
(LIBOR USD 1-Month plus 1.35%)
3.37%	03/25/36^1,2		16,015,317		16,219,295
Flatiron CLO Ltd., Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.89%)
3.19%	04/15/27^1,2,3		6,765,556		6,765,803
GCO Education Loan Funding Trust,
Series 2006-1, Class A11L
(LIBOR USD 3-Month plus 0.23%)
2.36%	05/25/36¹		25,000,000		24,369,387
Global SC Finance II SRL, Series 2014-1A,
Class A2 (Barbados)
3.09%	07/17/29^2,3		43,038,417		43,362,329
Goal Capital Funding Trust, Series 2005-2,
Class B
(LIBOR USD 3-Month plus 0.53%)
2.66%	11/25/44¹		8,908,325		8,538,667
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
2.58%	08/25/42¹		2,482,048		2,288,752
Goal Structured Solutions Trust,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.65%)
2.67%	09/25/41^1,2		68,628,748		67,546,411
GoldenTree Loan Opportunities IX Ltd.,
Series 2014-9A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
3.37%	10/29/29^1,2,3		5,345,000		5,337,593
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/73²		773,141		837,487


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/73²	$	45,776,678	$	49,031,631
LCM XIII LP, Series 2013A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
3.32%	07/19/27^1,2,3		23,725,000		23,726,249
LCM XIX LP, Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
3.54%	07/15/27^1,2,3		20,425,000		20,506,353
LCM XX LP, Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
3.32%	10/20/27^1,2,3		8,535,000		8,539,607
LCM XXI LP, Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
3.16%	04/20/28^1,2,3		32,465,000		32,362,930
Limerock CLO III LLC, Series 2014-3A,
Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
3.48%	10/20/26^1,2,3		62,723,268		62,753,108
Madison Park Funding XXX Ltd.,
Series 2018-30A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 0.75%)
3.05%	04/15/29^1,2,3		22,882,500		22,726,373
Magnetite XVIII Ltd., Series 2016-18A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
3.24%	11/15/28^1,2,3		20,750,000		20,763,324
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		34,200,595
Navient Student Loan Trust, Series 2014-1,
Class A3
(LIBOR USD 1-Month plus 0.51%)
2.53%	06/25/31¹		923,672		917,222
Navient Student Loan Trust, Series 2014-2,
Class A
(LIBOR USD 1-Month plus 0.64%)
2.66%	03/25/83¹		66,391,714		65,541,363
Navient Student Loan Trust, Series 2014-3,
Class A
(LIBOR USD 1-Month plus 0.62%)
2.64%	03/25/83¹		71,111,413		70,124,799
Navient Student Loan Trust, Series 2014-4,
Class A
(LIBOR USD 1-Month plus 0.62%)
2.64%	03/25/83¹		108,898,993		107,397,615


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2014-5,
Class A
(LIBOR USD 1-Month plus 0.62%)
2.64%	03/25/83¹	$	87,863,355	$	86,149,563
Navient Student Loan Trust, Series 2014-6,
Class A
(LIBOR USD 1-Month plus 0.61%)
2.63%	03/25/83¹		88,403,572		86,659,628
Navient Student Loan Trust, Series 2014-7,
Class A
(LIBOR USD 1-Month plus 0.61%)
2.63%	03/25/83¹		91,007,062		89,686,449
Navient Student Loan Trust, Series 2015-1,
Class A2
(LIBOR USD 1-Month plus 0.60%)
2.62%	04/25/40¹		68,912,050		68,225,204
Navient Student Loan Trust, Series 2015-2,
Class A3
(LIBOR USD 1-Month plus 0.57%)
2.59%	11/26/40¹		99,055,000		97,809,284
Navient Student Loan Trust, Series 2016-1A,
Class A
(LIBOR USD 1-Month plus 0.70%)
2.72%	02/25/70^1,2		31,968,987		31,637,983
Navient Student Loan Trust, Series 2016-7A,
Class A
(LIBOR USD 1-Month plus 1.15%)
3.17%	03/25/66^1,2		64,079,524		64,829,678
Navient Student Loan Trust, Series 2018-3A,
Class A3
(LIBOR USD 1-Month plus 0.80%)
2.82%	03/25/67^1,2		60,000,000		59,843,049
Navient Student Loan Trust, Series 2019-3A,
Class A
(LIBOR USD 1-Month plus 0.83%)
2.89%	07/25/68^1,2		131,450,000		131,615,049
Nelnet Student Loan Trust, Series 2006-1,
Class A6
(LIBOR USD 3-Month plus 0.45%)
2.60%	08/23/36^1,2		12,500,000		12,141,429
Nelnet Student Loan Trust, Series 2007-2A,
Class A3L
(LIBOR USD 3-Month plus 0.35%)
2.46%	03/25/26^1,2		29,318,990		28,970,028
Nelnet Student Loan Trust, Series 2008-3,
Class A4
(LIBOR USD 3-Month plus 1.65%)
3.78%	11/25/24¹		1,508,219		1,510,029
Nelnet Student Loan Trust, Series 2012-5A,
Class A
(LIBOR USD 1-Month plus 0.60%)
2.62%	10/27/36^1,2		13,193,938		13,135,942


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%)
2.97%	11/25/48^1,2	$	21,495,000	$	21,095,381
Nelnet Student Loan Trust, Series 2014-5A,
Class A
(LIBOR USD 1-Month plus 0.55%)
2.57%	07/25/46^1,2		72,421,815		71,929,028
Nelnet Student Loan Trust, Series 2015-1A,
Class A
(LIBOR USD 1-Month plus 0.59%)
2.61%	04/25/46^1,2		132,820,681		131,419,583
Nelnet Student Loan Trust, Series 2015-2A,
Class A2
(LIBOR USD 1-Month plus 0.60%)
2.62%	09/25/47^1,2		57,435,064		57,406,967
Nelnet Student Loan Trust, Series 2015-3A,
Class A3
(LIBOR USD 1-Month plus 0.90%)
2.92%	06/25/54^1,2		13,095,000		12,867,418
Neuberger Berman CLO XVI-S Ltd.,
Series 2017-16SA, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
3.15%	01/15/28^1,2,3		1,690,000		1,689,146
North Carolina State Education Authority,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 0.90%)
3.18%	10/25/41¹		19,906,014		20,052,008
Northstar Education Finance, Inc.,
Series 2007-1, Class A2
(LIBOR USD 3-Month plus 0.75%)
3.01%	01/29/46¹		42,704,432		42,494,873
Octagon Investment Partners 25 Ltd.,
Series 2015-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
3.08%	10/20/26^1,2,3		17,760,000		17,760,000
Palmer Square Loan Funding Ltd.,
Series 2019-1, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 1.05%)
3.33%	04/20/27^1,2,3		13,886,688		13,892,646
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1 (Cayman Islands)
(1.00 X LIBOR USD 3-Month plus 0.90%)
0.00%	10/24/27^1,2,3		72,595,000		72,598,593
Panhandle-Plains Higher Education
Authority, Inc., Series 2011-1, Class A3
(LIBOR USD 3-Month plus 0.95%)
3.05%	10/01/37¹		16,330,104		16,388,517
Panthera Aviation, Series 2013-1
10.00%	01/25/22^2,5,6,†		13,004,312		2,860,949
Panthera Aviation, Series 2013-2⁷
10.00%	03/20/24^2,5,6,8,†		15,058,118		3,192,321


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
PHEAA Student Loan Trust, Series 2015-1A,
Class A
(LIBOR USD 1-Month plus 0.60%)
2.62%	10/25/41^1,2	$	146,409,328	$	143,941,438
Recette CLO Ltd., Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.92%)
3.20%	10/20/27^1,2,3		40,880,000		40,878,949
Riserva CLO Ltd., Series 2016-3A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
3.44%	10/18/28^1,2,3		13,270,000		13,277,259
Scholar Funding Trust, Series 2012-B,
Class A2
(LIBOR USD 1-Month plus 1.10%)
3.14%	03/28/46^1,2		28,331,825		28,540,327
SLC Student Loan Trust, Series 2004-1,
Class B
(LIBOR USD 3-Month plus 0.29%)
2.45%	08/15/31¹		278,055		253,743
SLC Student Loan Trust, Series 2006-1,
Class A6
(LIBOR USD 3-Month plus 0.16%)
2.28%	03/15/55¹		9,495,000		8,978,995
SLC Student Loan Trust, Series 2006-2,
Class A6
(LIBOR USD 3-Month plus 0.16%)
2.28%	09/15/39¹		16,000,000		15,426,453
SLC Student Loan Trust, Series 2008-1,
Class A4A
(LIBOR USD 3-Month plus 1.60%)
3.72%	12/15/32¹		15,717,351		16,069,773
SLM Student Loan Trust, Series 2003-4,
Class A5E
(LIBOR USD 3-Month plus 0.75%)
2.87%	03/15/33^1,2		5,582,317		5,489,710
SLM Student Loan Trust, Series 2004-3A,
Class A6A
(LIBOR USD 3-Month plus 0.55%)
2.83%	10/25/64^1,2		82,990,000		81,748,999
SLM Student Loan Trust, Series 2005-5,
Class A5
(LIBOR USD 3-Month plus 0.75%)
3.03%	10/25/40¹		7,134,000		7,064,264
SLM Student Loan Trust, Series 2005-8,
Class A5
(LIBOR USD 3-Month plus 0.17%)
2.45%	01/25/40¹		430,000		414,695
SLM Student Loan Trust, Series 2005-9,
Class A7A
(LIBOR USD 3-Month plus 0.60%)
2.88%	01/25/41¹		68,573,405		67,601,076


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2006-2,
Class A6
(LIBOR USD 3-Month plus 0.17%)
2.45%	01/25/41¹	$	38,264,493	$	36,878,186
SLM Student Loan Trust, Series 2006-8,
Class A6
(LIBOR USD 3-Month plus 0.16%)
2.44%	01/25/41¹		33,055,000		31,632,290
SLM Student Loan Trust, Series 2007-1,
Class B
(LIBOR USD 3-Month plus 0.22%)
2.50%	01/27/42¹		4,822,911		4,495,978
SLM Student Loan Trust, Series 2007-3,
Class A4
(LIBOR USD 3-Month plus 0.06%)
2.34%	01/25/22¹		2,863,967		2,786,386
SLM Student Loan Trust, Series 2007-6,
Class B
(LIBOR USD 3-Month plus 0.85%)
3.13%	04/27/43¹		4,725,623		4,509,502
SLM Student Loan Trust, Series 2008-1,
Class A4
(LIBOR USD 3-Month plus 0.65%)
2.93%	01/25/22¹		43,354,875		42,939,172
SLM Student Loan Trust, Series 2008-2,
Class A3
(LIBOR USD 3-Month plus 0.75%)
3.03%	04/25/23¹		99,287,949		98,012,928
SLM Student Loan Trust, Series 2008-2,
Class B
(LIBOR USD 3-Month plus 1.20%)
4.16%	01/25/83¹		38,874,000		37,210,449
SLM Student Loan Trust, Series 2008-3,
Class A3
(LIBOR USD 3-Month plus 1.00%)
3.28%	10/25/21¹		20,601		20,471
SLM Student Loan Trust, Series 2008-3,
Class B
(LIBOR USD 3-Month plus 1.20%)
3.48%	04/26/83¹		2,170,000		2,092,185
SLM Student Loan Trust, Series 2008-4,
Class A4
(LIBOR USD 3-Month plus 1.65%)
3.93%	07/25/22¹		2,473,598		2,500,485
SLM Student Loan Trust, Series 2008-4,
Class B
(LIBOR USD 3-Month plus 1.85%)
4.13%	04/25/73¹		8,759,000		8,723,811
SLM Student Loan Trust, Series 2008-5,
Class A4
(LIBOR USD 3-Month plus 1.70%)
3.98%	07/25/23¹		38,282,525		38,672,754


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-5,
Class B
(LIBOR USD 3-Month plus 1.85%)
4.13%	07/25/73¹	$	37,199,000	$	37,552,517
SLM Student Loan Trust, Series 2008-6,
Class A4
(LIBOR USD 3-Month plus 1.10%)
3.38%	07/25/23¹		14,851,895		14,810,053
SLM Student Loan Trust, Series 2008-6,
Class B
(LIBOR USD 3-Month plus 1.85%)
4.13%	07/26/83¹		31,424,000		31,297,820
SLM Student Loan Trust, Series 2008-7,
Class B
(LIBOR USD 3-Month plus 1.85%)
4.13%	07/26/83¹		17,126,000		17,065,095
SLM Student Loan Trust, Series 2008-8,
Class A4
(LIBOR USD 3-Month plus 1.50%)
3.78%	04/25/23¹		3,355,894		3,391,409
SLM Student Loan Trust, Series 2008-8,
Class B
(LIBOR USD 3-Month plus 2.25%)
4.53%	10/25/75¹		545,000		549,011
SLM Student Loan Trust, Series 2008-9,
Class A
(LIBOR USD 3-Month plus 1.50%)
3.78%	04/25/23¹		77,841,022		78,344,288
SLM Student Loan Trust, Series 2008-9,
Class B
(LIBOR USD 3-Month plus 2.25%)
4.53%	10/25/83¹		45,100,000		45,529,848
SLM Student Loan Trust, Series 2009-3,
Class A
(LIBOR USD 1-Month plus 0.75%)
2.77%	01/25/45^1,2		184,477,400		183,990,177
SLM Student Loan Trust, Series 2011-1,
Class A2
(LIBOR USD 1-Month plus 1.15%)
3.17%	10/25/34¹		3,070,000		3,107,582
SLM Student Loan Trust, Series 2012-1,
Class A3
(LIBOR USD 1-Month plus 0.95%)
2.97%	09/25/28¹		319,603		316,162
SLM Student Loan Trust, Series 2012-2,
Class A
(LIBOR USD 1-Month plus 0.70%)
2.72%	01/25/29¹		14,572,926		14,317,364
SLM Student Loan Trust, Series 2012-7,
Class A3
(LIBOR USD 1-Month plus 0.65%)
2.67%	05/26/26¹		25,716,569		25,117,347


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
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	$	20,900,000	$	19,476,313
TCI-Flatiron CLO Ltd., Series 2016-1A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
3.52%	07/17/28^1,2,3		57,380,000		57,407,385
Treman Park CLO Ltd., Series 2015-1A,
Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
3.35%	10/20/28^1,2,3		21,540,000		21,565,842
Vermont Student Assistance Corp.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 0.70%)
2.74%	07/28/34¹		3,751,425		3,723,578
Voya CLO Ltd., Series 2014-3A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.72%)
3.00%	07/25/26^1,2,3		19,611,005		19,594,973
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
2.45%	04/25/40^1,2		19,326		18,646


Total Asset-Backed Securities
(Cost $3,849,372,269)					3,834,769,351


BANK LOANS — 0.78%*
Automotive — 0.01%
Panther BF Aggregator 2 LP/Panther
Finance Co., Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.54%	04/30/26^1,2		5,500,000		5,463,920

Communications — 0.14%
CommScope, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.29%	04/04/26^1,2		9,250,000		9,233,489
CSC Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.28%	07/17/25^1,2		3,894,727		3,898,543
4.28%	01/15/26^1,2,9		25,183,839		25,209,023
Intelsat Jackson Holdings SA,
Term Loan B4, 1st Lien (Luxembourg)
(LIBOR plus 4.50%)
6.55%	01/02/24^1,2,3		2,000,000		2,030,620
Intelsat Jackson Holdings SA,
Term Loan B5, 1st Lien (Luxembourg)
6.63%	01/02/24^1,2,3		25,379,651		26,006,148
Lamar Media Corp., Term Loan B, 1st Lien
(LIBOR plus 1.75%)
3.81%	03/14/25^1,2		2,462,500		2,476,364


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Level 3 Financing, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.29%	02/22/24^1,2	$	11,250,000	$	11,285,156
Sprint Communications, Inc., Term Loan B,
1st Lien
(LIBOR plus 2.50%)
4.56%	02/02/24^1,2		17,431,818		17,333,764
(LIBOR plus 3.00%)
5.06%	02/02/24^1,2		12,753,625		12,737,683


					110,210,790

Consumer Discretionary — 0.03%
Reynolds Group Holdings, Inc., Term Loan B,
1st Lien
(LIBOR plus 2.75%)
4.79%	02/06/23^1,2		26,385,870		26,464,500

Electric — 0.04%
Homer City Generation LP, Term Loan B,
1st Lien
(LIBOR plus 11.00%)
13.11%	04/05/23^1,2,5,6		8,001,116		7,652,708
Vistra Operations Co., LLC, Term Loan B1,
1st Lien
(LIBOR plus 2.00%)
4.04%	08/04/23^1,2		12,726,639		12,782,318
Vistra Operations Co., LLC, Term Loan B3,
1st Lien
(LIBOR plus 2.00%)
4.02%	12/31/25^1,2		5,258,808		5,280,369
4.04%	12/31/25^1,2		7,781,905		7,813,811


					33,529,206

Finance — 0.12%
Auris Lux Co., Term Loan B, 1st Lien
(Luxembourg)
(LIBOR plus 3.75%)
5.79%	02/27/26^1,2,3		1,496,241		1,490,159
Avolon TLB Borrower 1 US LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
3.79%	01/15/25^1,2		11,757,709		11,815,968
Delos Finance SARL, Term Loan B, 1st Lien
(LIBOR plus 1.75%)
3.85%	10/06/23^1,2		56,470,976		56,718,037
Telenet Financing USD LLC, Term Loan,
1st Lien
(LIBOR plus 2.25%)
4.28%	08/17/26^1,2		24,510,000		24,546,888


					94,571,052


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Food — 0.00%
JBS USA, Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.54%	05/01/26^1,2	$	1,139,138	$	1,145,785

Gaming — 0.03%
Caesars Entertainment LLC, Term Loan B,
1st Lien
(LIBOR plus 2.00%)
4.04%	10/07/24^1,2		10,209,266		10,215,647
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.05%	12/27/24^1,2		11,782,576		11,841,488


					22,057,135

Health Care — 0.14%
Catalent Pharma Solutions, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.29%	05/18/26^1,2		15,920,000		15,989,650
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.54%	03/01/24^1,2		4,746,625		4,730,913
Kindred at Home, Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.81%	07/02/25^1,2		6,594,890		6,640,229
MPH Acquisition Holdings LLC, Term Loan B,
1st Lien
(LIBOR plus 2.75%)
4.85%	06/07/23^1,2		48,947,776		46,765,439
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.79%	11/27/25^1,2		5,008,224		5,024,200
(LIBOR plus 3.00%)
5.04%	06/02/25^1,2		33,864,660		34,041,095


					113,191,526

Industrials — 0.05%
Berry Global, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.55%	07/01/26^1,2		25,935,000		26,090,221
Clean Harbors, Inc., Term Loan B, 1st Lien
(LIBOR plus 1.75%)
3.79%	06/30/24^1,2		2,962,121		2,979,524
Energizer Holdings, Inc., Term Loan B,
1st Lien
(LIBOR plus 2.25%)
4.38%	12/17/25^1,2		3,930,000		3,937,388
TransDigm, Inc., Term Loan F, 1st Lien


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
(LIBOR plus 2.50%)
4.54%	06/09/23^1,2	$	5,486,076	$	5,479,959


					38,487,092

Information Technology — 0.06%
IQVIA, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
3.85%	06/11/25^1,2		3,209,375		3,217,912
Quintiles IMS, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.10%	03/07/24^1,2		13,182,323		13,256,474
Quintiles IMS, Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 2.00%)
4.10%	01/17/25^1,2		9,022,025		9,078,413
SS&C Technologies Holdings Europe SARL,
Term Loan B4, 1st Lien
(LIBOR plus 2.25%)
4.29%	04/16/25^1,2		5,916,282		5,943,497
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.29%	04/16/25^1,2		8,956,963		8,998,165
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
4.29%	04/16/25^1,2		4,949,418		4,975,452


					45,469,913

Real Estate Investment Trust (REIT) — 0.11%
MGM Growth Properties,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
4.04%	03/21/25^1,2		28,621,529		28,726,857
SBA Senior Finance II LLC, Term Loan B,
1st Lien
(LIBOR plus 2.00%)
4.05%	04/11/25^1,2		44,516,500		44,597,965
VICI Properties 1 LLC, Term Loan, 1st Lien
(LIBOR plus 2.00%)
4.05%	12/20/24^1,2		9,218,636		9,254,174


					82,578,996

Retail — 0.03%
BC ULC/New Red Finance, Inc.,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.25%)
4.29%	02/16/24^1,2,3		25,295,462		25,409,291


Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Services — 0.00%
GFL Environmental, Inc., Term Loan B,
1st Lien
(LIBOR plus 3.00%)
5.04%	05/30/25^1,2	$	1,492,443	$	1,482,183

Transportation — 0.02%
United Airlines, Inc., Term Loan, 1st Lien
(LIBOR plus 1.75%)
3.79%	04/01/24^1,2		18,549,226		18,586,881

Total Bank Loans
(Cost $616,292,635)					618,648,270


CORPORATES — 25.19%*
Automotive — 0.03%
General Motors Co.
6.60%	04/01/36		12,120,000		13,986,185
(LIBOR USD 3-Month plus 0.80%)
3.01%	08/07/20¹		4,850,000		4,859,831
(LIBOR USD 3-Month plus 0.90%)
3.03%	09/10/21¹		8,685,000		8,679,537


					27,525,553

Banking — 2.44%
Bank of America Corp.
2.74%	01/23/22⁴		135,474,000		136,268,085
3.00%	12/20/23⁴		125,817,000		128,559,627
3.37%	01/23/26⁴		32,240,000		33,557,634
3.42%	12/20/28⁴		14,528,000		15,185,555
3.71%	04/24/28⁴		23,958,000		25,544,834
Bank of America Corp. (MTN)
2.33%	10/01/21⁴		32,930,000		32,971,918
3.09%	10/01/25⁴		84,205,000		86,695,220
3.12%	01/20/23⁴		11,362,000		11,594,347
Discover Bank
7.00%	04/15/20		9,000,000		9,214,709
Discover Bank (BKNT)
3.10%	06/04/20		5,843,000		5,873,886
3.20%	08/09/21		5,860,000		5,951,630
4.20%	08/08/23		8,795,000		9,355,622
8.70%	11/18/19		3,676,000		3,705,960
JPMorgan Chase & Co.
3.21%	04/01/23⁴		7,510,000		7,696,596
3.22%	03/01/25⁴		115,456,000		119,589,556
4.01%	04/23/29⁴		4,575,000		5,005,242
4.02%	12/05/24⁴		265,620,000		283,374,697
4.25%	10/15/20		9,330,000		9,542,999
Lloyds Bank PLC (United Kingdom)
2.40%	03/17/20³		2,450,000		2,452,346
3.30%	05/07/21³		28,625,000		29,138,696
6.38%	01/21/21³		4,920,000		5,188,344


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%	01/13/20^2,3	$	9,850,000	$	9,948,729
Lloyds Banking Group PLC
(United Kingdom)
2.86%	03/17/23^3,4		136,460,000		136,935,723
2.91%	11/07/23^3,4		119,778,000		120,234,594
3.90%	03/12/24³		31,265,000		32,737,954
4.05%	08/16/23³		4,605,000		4,831,638
Santander UK Group Holdings PLC
(United Kingdom)
2.88%	10/16/20³		46,925,000		47,175,392
2.88%	08/05/21³		85,476,000		85,764,610
3.13%	01/08/21³		26,058,000		26,238,178
3.37%	01/05/24^3,4		67,950,000		69,031,085
4.80%	11/15/24^3,4		49,290,000		52,830,024
Santander UK PLC (United Kingdom)
3.40%	06/01/21³		34,105,000		34,706,753
Wells Fargo & Co.
3.00%	04/22/26		45,095,000		46,267,966
(LIBOR USD 3-Month plus 1.23%)
3.49%	10/31/23¹		12,724,000		12,950,990
Wells Fargo & Co. (GMTN)
2.60%	07/22/20		10,326,000		10,374,120
Wells Fargo & Co. (MTN)
2.63%	07/22/22		57,784,000		58,424,593
3.20%	06/17/27⁴		12,250,000		12,670,659
3.55%	09/29/25		51,363,000		54,356,947
Wells Fargo & Co., Series N (MTN)
2.15%	01/30/20		6,040,000		6,038,470
Wells Fargo Bank N.A. (BKNT)
2.08%	09/09/22⁴		134,749,000		134,394,947
(SOFR Rate plus 0.48%)
2.30%	03/25/20¹		16,800,000		16,815,254


					1,939,196,129

Communications — 2.95%
AT&T, Inc.
3.40%	05/15/25		21,384,000		22,305,255
3.80%	02/15/27		23,340,000		24,736,712
3.95%	01/15/25		11,460,000		12,242,996
4.30%	02/15/30		27,050,000		29,808,567
4.30%	12/15/42		7,177,000		7,527,748
4.35%	06/15/45		30,793,000		32,461,363
4.50%	05/15/35		25,170,000		27,613,164
4.75%	05/15/46		44,127,000		49,015,032
4.80%	06/15/44		96,212,000		106,681,222
4.85%	03/01/39		4,572,000		5,202,982
5.15%	11/15/46		14,600,000		16,895,900
5.25%	03/01/37		146,695,000		172,546,392


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
C&W Senior Financing DAC (Ireland)
6.88%	09/15/27^2,3	$	3,150,000	$	3,272,085
CBS Corp.
2.90%	06/01/23		9,260,000		9,394,050
3.70%	06/01/28		21,780,000		22,703,407
4.20%	06/01/29		16,500,000		17,919,317
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.38%	06/01/29²		9,407,000		10,041,973
5.88%	04/01/24²		3,638,000		3,805,202
Charter Communications Operating LLC/
Charter Communications Operating Capital
3.75%	02/15/28		10,000,000		10,260,864
4.20%	03/15/28		21,541,000		22,673,506
4.50%	02/01/24		672,000		720,948
4.91%	07/23/25		38,607,000		42,326,398
5.75%	04/01/48		14,240,000		16,192,874
6.48%	10/23/45		39,593,000		48,265,847
Comcast Corp.
3.38%	02/15/25		1,800,000		1,899,206
3.60%	03/01/24		570,000		605,166
3.95%	10/15/25		3,355,000		3,654,571
4.25%	10/15/30		47,150,000		53,629,777
4.40%	08/15/35		13,145,000		15,334,344
4.60%	10/15/38		9,975,000		11,936,326
Cox Communications, Inc.
3.15%	08/15/24²		14,235,000		14,839,938
CSC Holdings LLC
5.38%	07/15/23²		200,000		205,750
5.38%	02/01/28²		13,486,000		14,244,587
5.50%	05/15/26²		598,000		630,830
6.50%	02/01/29²		5,512,000		6,136,785
6.75%	11/15/21		4,216,000		4,553,280
Fox Corp.
5.58%	01/25/49²		7,075,000		8,965,128
Intelsat Jackson Holdings SA (Luxembourg)
5.50%	08/01/23³		60,428,000		56,675,421
8.50%	10/15/24^2,3		12,588,000		12,678,445
9.75%	07/15/25^2,3		25,983,000		27,269,159
Koninklijke KPN NV (Netherlands)
8.38%	10/01/30³		41,548,000		56,181,123
Level 3 Financing, Inc.
4.63%	09/15/27²		25,890,000		26,189,029
5.38%	01/15/24		6,147,000		6,276,702
5.38%	05/01/25		4,763,000		4,935,659
5.63%	02/01/23		2,171,000		2,203,565
Qwest Corp.
7.25%	09/15/25		5,059,000		5,697,699


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
SES GLOBAL Americas Holdings GP
5.30%	03/25/44²	$	45,300,000	$	47,105,431
SES SA (Luxembourg)
3.60%	04/04/23^2,3		16,882,000		17,157,164
Sprint Communications, Inc.
7.00%	03/01/20²		15,700,000		15,994,375
Sprint Corp.
7.63%	03/01/26		3,827,000		4,233,619
7.88%	09/15/23		32,541,000		35,795,100
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%	09/20/21²		84,569,000		85,097,556
4.74%	03/20/25²		53,975,000		57,510,902
5.15%	03/20/28²		218,278,000		237,377,325
TEGNA, Inc.
5.50%	09/15/24²		354,000		366,390
Time Warner Cable LLC
4.50%	09/15/42		23,307,000		22,937,689
5.50%	09/01/41		25,694,000		27,720,752
5.88%	11/15/40		41,652,000		46,582,368
T-Mobile USA, Inc.
4.50%	02/01/26		3,629,000		3,735,330
4.75%	02/01/28		24,330,000		25,473,023
6.00%	03/01/23		48,736,000		49,768,716
6.00%	04/15/24		11,585,000		12,048,400
6.50%	01/15/24		18,635,000		19,357,106
Verizon Communications, Inc.
4.27%	01/15/36		9,505,000		10,692,965
4.40%	11/01/34		18,355,000		21,028,347
4.81%	03/15/39		12,198,000		14,645,166
5.25%	03/16/37		57,814,000		72,088,421
Viacom, Inc.
3.45%	10/04/26		2,913,000		2,941,100
3.88%	04/01/24		39,132,000		41,086,683
4.25%	09/01/23		23,112,000		24,684,105
Virgin Media Secured Finance PLC
(United Kingdom)
5.25%	01/15/26^2,3		5,575,000		5,734,543
5.50%	08/15/26^2,3		19,102,000		20,104,855
5.50%	05/15/29^2,3		36,825,000		38,528,156
Vodafone Group PLC (United Kingdom)
3.75%	01/16/24³		19,950,000		21,012,846
4.13%	05/30/25³		20,700,000		22,351,472
4.25%	09/17/50³		50,420,000		51,579,617
4.88%	06/19/49³		139,539,000		156,007,243
5.25%	05/30/48³		64,873,000		75,315,099
Walt Disney Co. (The)
7.75%	01/20/24²		4,872,000		5,914,742


					2,341,332,900


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary — 0.92%
Anheuser-Busch Cos LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.70%	02/01/36	$	13,260,000	$	15,350,744
4.90%	02/01/46		137,701,000		163,968,154
Anheuser-Busch InBev Worldwide, Inc.
4.60%	04/15/48		36,668,000		42,434,094
Bacardi Ltd. (Bermuda)
4.70%	05/15/28^2,3		15,236,000		16,654,198
5.15%	05/15/38^2,3		12,881,000		14,159,102
5.30%	05/15/48^2,3		39,956,000		45,849,447
BAT Capital Corp.
3.46%	09/06/29		9,355,000		9,171,334
4.39%	08/15/37		16,990,000		16,491,434
4.54%	08/15/47		53,987,000		51,876,810
4.76%	09/06/49		106,468,000		104,948,703
BAT International Finance PLC (EMTN) (United Kingdom)
2.25%	09/09/52³		11,770,000		11,135,179
Constellation Brands, Inc.
(LIBOR USD 3-Month plus 0.70%)
2.86%	11/15/21¹		72,090,000		72,091,013
First Quality Finance Co., Inc.
4.63%	05/15/21²		3,938,000		3,947,845
KFC Holding Co./Pizza Hut Holdings LLC/
Taco Bell of America LLC
5.00%	06/01/24²		982,000		1,021,280
5.25%	06/01/26²		1,245,000		1,317,833
Reynolds American, Inc.
5.85%	08/15/45		77,842,000		86,268,548
6.88%	05/01/20		5,845,000		5,998,601
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA
5.75%	10/15/20		59,307,454		59,455,722
(LIBOR USD 3-Month plus 3.50%)
5.80%	07/15/21^1,2		8,770,000		8,802,887
Spectrum Brands, Inc.
6.13%	12/15/24		1,340,000		1,393,600


					732,336,528


Electric — 1.89%
Alliant Energy Finance LLC
3.75%	06/15/23²		34,081,000		35,647,681
American Electric Power Co., Inc., Series F
2.95%	12/15/22		4,511,000		4,595,130
American Electric Power Co., Inc., Series I
3.65%	12/01/21		14,300,000		14,756,006
American Electric Power Co., Inc., Series J
4.30%	12/01/28		18,405,000		20,638,417
Consolidated Edison Co. of New York, Inc., Series E
4.65%	12/01/48		24,736,000		30,678,502


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Dominion Energy, Inc.
2.45%	01/15/23²	$	160,175,000	$	160,896,404
(LIBOR USD 3-Month plus 0.40%)
2.54%	12/01/20^1,2		45,075,000		45,117,235
DTE Energy Co.
2.40%	12/01/19		350,000		350,033
Duke Energy Carolinas LLC
3.75%	06/01/45		15,875,000		17,046,710
4.00%	09/30/42		16,040,000		17,893,943
4.25%	12/15/41		26,358,000		30,453,387
Duke Energy Progress LLC
4.10%	05/15/42		8,150,000		9,296,941
4.20%	08/15/45		12,820,000		14,872,363
Duquesne Light Holdings, Inc.
6.40%	09/15/20²		19,829,000		20,510,679
Entergy Corp.
4.00%	07/15/22		12,632,000		13,174,911
5.13%	09/15/20		9,800,000		9,999,790
Evergy, Inc.
2.45%	09/15/24		53,705,000		53,725,793
4.85%	06/01/21		2,521,000		2,608,218
Eversource Energy, Series N
3.80%	12/01/23		12,025,000		12,684,517
FirstEnergy Transmission LLC
4.35%	01/15/25²		23,330,000		25,260,661
4.55%	04/01/49²		16,175,000		19,039,447
5.45%	07/15/44²		24,625,000		31,730,103
Indiana Michigan Power Co., Series J
3.20%	03/15/23		30,672,000		31,699,497
ITC Holdings Corp.
3.65%	06/15/24		5,165,000		5,432,579
Jersey Central Power & Light Co.
4.30%	01/15/26²		4,980,000		5,455,661
4.70%	04/01/24²		37,747,000		41,254,003
6.40%	05/15/36		12,630,000		16,005,057
Kansas City Power & Light Co.
3.15%	03/15/23		3,264,000		3,374,225
3.65%	08/15/25		13,885,000		14,831,888
KCP&L Greater Missouri Operations Co.
8.27%	11/15/21		75,000		82,867
LG&E & KU Energy LLC
4.38%	10/01/21		14,595,000		15,097,550
Metropolitan Edison Co.
3.50%	03/15/23²		10,715,000		11,173,944
4.00%	04/15/25²		35,719,000		37,938,655
4.30%	01/15/29²		21,746,000		24,589,670
MidAmerican Energy Co.
4.80%	09/15/43		13,715,000		17,233,261


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Minejesa Capital BV (Netherlands)
5.63%	08/10/37^2,3	$	4,400,000	$	4,766,960
Mississippi Power Co.
(LIBOR USD 3-Month plus 0.65%)
2.75%	03/27/20¹		6,300,000		6,302,553
NextEra Energy Capital Holdings, Inc.
2.40%	09/01/21		10,720,000		10,791,167
3.20%	02/25/22		5,900,000		6,035,553
(LIBOR USD 3-Month plus 0.48%)
2.77%	05/04/21¹		268,945,000		269,438,213
(LIBOR USD 3-Month plus 0.55%)
2.69%	08/28/21¹		158,500,000		158,548,942
Niagara Mohawk Power Corp.
4.28%	12/15/28²		21,775,000		24,694,015
PacifiCorp
3.35%	07/01/25		6,580,000		6,898,474
Pennsylvania Electric Co.
4.15%	04/15/25²		28,335,000		30,238,202
5.20%	04/01/20		25,200,000		25,508,448
Perusahaan Listrik Negara PT, Series REGS (EMTN) (Indonesia)
6.15%	05/21/48³		4,200,000		5,394,514
PNM Resources, Inc.
3.25%	03/09/21		34,295,000		34,697,709
Potomac Electric Power Co.
3.60%	03/15/24		6,783,000		7,174,589
Progress Energy, Inc.
4.88%	12/01/19		4,761,000		4,781,337
Public Service Co. of New Mexico
3.85%	08/01/25		14,390,000		15,018,073
5.35%	10/01/21		5,065,000		5,306,696
Southwestern Electric Power Co.
3.55%	02/15/22		15,882,000		16,315,602
Southwestern Electric Power Co., Series K
2.75%	10/01/26		36,488,000		36,614,632
Tucson Electric Power Co.
4.85%	12/01/48		3,755,000		4,749,566
WEC Energy Group, Inc.
3.38%	06/15/21		11,130,000		11,374,710


					1,499,795,683

Energy — 2.72%
Antero Resources Corp.
5.00%	03/01/25¹⁰		78,839,000		64,526,568
5.13%	12/01/22		19,299,000		17,055,491
5.63%	06/01/23		22,771,000		19,668,451
Centennial Resource Production LLC
5.38%	01/15/26²		3,352,000		3,201,160


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
CrownRock LP/CrownRock Finance, Inc.
5.63%	10/15/25²	$	2,132,000	$	2,148,416
Ecopetrol SA (Colombia)
5.88%	05/28/45³		3,600,000		4,218,750
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%	01/30/26²		2,377,000		2,483,965
5.75%	01/30/28²		2,109,000		2,251,357
Energy Transfer Operating LP
4.05%	03/15/25		9,899,000		10,343,263
4.90%	03/15/35		5,160,000		5,403,268
5.15%	03/15/45		63,992,000		68,384,155
5.25%	04/15/29		3,825,000		4,313,422
5.50%	06/01/27		25,017,000		28,345,285
5.88%	01/15/24		35,523,000		39,556,626
EQM Midstream Partners LP
5.50%	07/15/28		40,070,000		39,225,445
6.50%	07/15/48		4,310,000		4,177,213
EQT Corp.
3.90%	10/01/27		114,154,000		99,041,041
Gulfport Energy Corp.
6.38%	05/15/25		5,618,000		4,016,870
Hess Corp.
4.30%	04/01/27		10,000,000		10,459,742
5.60%	02/15/41		29,446,000		32,914,948
5.80%	04/01/47		23,445,000		27,011,712
HollyFrontier Corp.
5.88%	04/01/26		15,800,000		17,691,931
KazMunayGas National Co. JSC,
Series REGS (Kazakhstan)
5.38%	04/24/30³		12,220,000		13,761,247
Kinder Morgan Energy Partners LP
5.00%	08/15/42		5,775,000		6,341,077
5.80%	03/15/35		6,730,000		7,914,940
Kinder Morgan, Inc.
5.30%	12/01/34		7,635,000		8,780,675
6.95%	06/01/28		5,465,000		6,469,861
Matador Resources Co.
5.88%	09/15/26		11,604,000		11,662,020
NGPL Pipe Co. LLC
4.38%	08/15/22²		2,154,000		2,234,227
Noble Energy, Inc.
5.05%	11/15/44		8,018,000		8,782,228
Occidental Petroleum Corp.
2.70%	08/15/22		23,950,000		24,182,836
3.50%	08/15/29		44,598,000		45,268,092
4.50%	07/15/44		16,496,000		16,850,246
Parsley Energy LLC/Parsley Finance Corp.
5.38%	01/15/25²		3,313,000		3,370,977
5.63%	10/15/27²		8,109,000		8,362,406


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Peru LNG SRL, Series REGS (Peru)
5.38%	03/22/30³	$	9,000,000	$	9,382,500
Petrobras Global Finance BV (Netherlands)
5.09%	01/15/30^2,3		4,271,000		4,458,070
Petroleos del Peru SA, Series REGS (Peru)
4.75%	06/19/32³		6,600,000		7,257,937
Petroleos Mexicanos (Mexico)
5.35%	02/12/28³		40,396,000		38,719,566
6.50%	01/23/29³		180,806,000		183,879,702
6.63%	06/15/35³		47,637,000		46,791,443
6.75%	09/21/47³		151,145,000		144,857,368
6.84%	01/23/30^2,3		45,530,000		47,173,633
7.69%	01/23/50^2,3		78,457,000		81,862,034
Piedmont Natural Gas Co., Inc.
3.50%	06/01/29		6,836,000		7,331,071
Plains All American Pipeline LP/PAA
Finance Corp.
3.60%	11/01/24		7,696,000		7,898,020
3.85%	10/15/23		1,442,000		1,492,351
4.50%	12/15/26		5,070,000		5,380,775
4.65%	10/15/25		68,643,000		73,397,176
Range Resources Corp.
4.88%	05/15/25		35,017,000		29,064,110
5.00%	08/15/22		250,000		235,000
Rockies Express Pipeline LLC
4.95%	07/15/29²		70,835,000		70,574,681
5.63%	04/15/20²		36,054,000		36,639,877
6.88%	04/15/40²		41,122,000		44,958,683
Ruby Pipeline LLC
6.00%	04/01/22²		74,672,000		77,658,880
Sabine Pass Liquefaction LLC
4.20%	03/15/28		59,832,000		63,384,525
5.63%	03/01/25		8,892,000		9,997,943
5.75%	05/15/24		14,816,000		16,498,563
Southern Co. Gas Capital Corp.
2.45%	10/01/23		49,306,000		49,535,889
5.88%	03/15/41		12,990,000		16,885,402
Spectra Energy Partners LP
4.60%	06/15/21		6,115,000		6,340,520
4.75%	03/15/24		8,777,000		9,577,625
Sunoco Logistics Partners Operations LP
3.90%	07/15/26		22,829,000		23,810,439
5.40%	10/01/47		32,678,000		35,708,961
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.88%	01/15/29²		9,753,000		10,680,218
TC PipeLines LP
3.90%	05/25/27		68,834,000		71,663,490
4.38%	03/13/25		42,850,000		45,768,818


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
4.65%	06/15/21	$	6,108,000	$	6,310,401
Tennessee Gas Pipeline Co. LLC
8.38%	06/15/32		4,079,000		5,689,255
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%	02/15/26		8,365,000		8,093,137
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%	10/15/24^2,3		19,210,500		20,171,025
Transocean Pontus Ltd. (Cayman Islands)
6.13%	08/01/25^2,3		21,780,080		22,215,682
Transocean Poseidon Ltd. (Cayman Islands)
6.88%	02/01/27^2,3		19,140,000		20,001,300
Transocean Proteus Ltd. (Cayman Islands)
6.25%	12/01/24^2,3		16,841,250		17,178,075
USA Compression Partners LP/USA Compression Finance Corp.
6.88%	04/01/26		2,230,000		2,324,775
6.88%	09/01/27²		11,920,000		12,367,000
Williams Cos., Inc. (The)
3.35%	08/15/22		7,025,000		7,194,204
3.90%	01/15/25		5,542,000		5,806,897
4.50%	11/15/23		10,305,000		11,075,314
4.55%	06/24/24		19,130,000		20,568,640
5.10%	09/15/45		4,763,000		5,256,188
6.30%	04/15/40		32,635,000		40,026,731
7.88%	09/01/21		3,543,000		3,901,669
WPX Energy, Inc.
5.75%	06/01/26		4,687,000		4,821,751


					2,162,287,225

Finance — 4.19%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.50%	05/26/22³		19,610,000		20,139,841
3.95%	02/01/22³		91,455,000		94,460,106
4.45%	12/16/21³		17,150,000		17,838,038
4.50%	05/15/21³		16,345,000		16,917,075
4.88%	01/16/24³		9,985,000		10,765,078
5.00%	10/01/21³		46,362,000		48,738,053
Air Lease Corp.
2.13%	01/15/20		5,150,000		5,147,747
2.25%	01/15/23		18,850,000		18,773,297
2.50%	03/01/21		28,960,000		29,045,649
3.00%	09/15/23		10,870,000		11,025,237
3.25%	03/01/25		15,100,000		15,362,370
4.75%	03/01/20		2,310,000		2,332,460
Alta Wind Holdings LLC
7.00%	06/30/35^2,5,6		17,621,228		20,536,667


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%	10/01/23^2,3	$	35,897,000	$	38,176,459
5.25%	05/15/24^2,3		11,950,000		12,811,296
5.50%	01/15/23^2,3		14,689,000		15,710,032
Citigroup, Inc.
3.14%	01/24/23⁴		26,870,000		27,372,047
3.67%	07/24/28⁴		71,918,000		76,227,952
3.88%	10/25/23		11,880,000		12,591,368
Daimler Finance North America LLC
1.75%	10/30/19²		18,115,000		18,109,303
2.00%	07/06/21²		89,345,000		88,846,416
2.20%	05/05/20²		5,950,000		5,949,237
2.20%	10/30/21²		33,040,000		32,970,324
2.30%	01/06/20²		11,400,000		11,403,028
3.75%	11/05/21²		21,858,000		22,480,477
(LIBOR USD 3-Month plus 0.90%)
3.06%	02/15/22^1,2		115,915,000		116,554,314
Discover Financial Services
3.85%	11/21/22		8,794,000		9,181,927
Ford Motor Credit Co. LLC
2.34%	11/02/20		41,440,000		41,014,618
2.43%	06/12/20		40,044,000		39,948,937
2.46%	03/27/20		10,555,000		10,544,097
2.60%	11/04/19		13,380,000		13,374,474
2.68%	01/09/20		3,820,000		3,822,865
3.10%	05/04/23		10,000,000		9,816,875
3.16%	08/04/20		36,578,000		36,704,194
3.20%	01/15/21		35,464,000		35,550,443
3.22%	01/09/22		60,140,000		60,099,928
3.34%	03/18/21		33,870,000		34,019,163
3.34%	03/28/22		22,257,000		22,292,467
3.81%	10/12/21		35,244,000		35,730,900
4.25%	09/20/22		19,823,000		20,323,779
5.09%	01/07/21		76,500,000		78,472,321
5.60%	01/07/22		51,828,000		54,469,730
5.75%	02/01/21		22,250,000		23,022,598
5.88%	08/02/21		48,158,000		50,457,585
8.13%	01/15/20		16,149,000		16,389,233
(LIBOR USD 3-Month plus 0.81%)
2.85%	04/05/21¹		5,705,000		5,646,524
(LIBOR USD 3-Month plus 0.88%)
3.22%	10/12/21¹		48,530,000		47,718,602
(LIBOR USD 3-Month plus 0.93%)
3.22%	11/04/19¹		13,800,000		13,811,040
(LIBOR USD 3-Month plus 1.08%)
3.37%	08/03/22¹		11,790,000		11,537,588
(LIBOR USD 3-Month plus 1.27%)
3.37%	03/28/22¹		62,180,000		61,349,860


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
GE Capital International Funding Co. (Ireland)
2.34%	11/15/20³	$	251,430,000	$	250,801,174
3.37%	11/15/25³		7,730,000		7,888,514
4.42%	11/15/35³		459,896,000		482,098,735
General Motors Financial Co., Inc.
2.35%	10/04/19		19,090,000		19,090,022
2.45%	11/06/20		12,861,000		12,857,055
3.20%	07/13/20		25,722,000		25,867,227
3.20%	07/06/21		11,730,000		11,853,680
3.55%	04/09/21		61,449,000		62,361,902
3.70%	11/24/20		4,574,000		4,632,329
4.20%	03/01/21		26,759,000		27,348,501
4.20%	11/06/21		30,525,000		31,468,375
4.38%	09/25/21		26,530,000		27,416,907
Goldman Sachs Group, Inc. (The)
2.91%	06/05/23⁴		4,605,000		4,671,567
2.91%	07/24/23⁴		8,399,000		8,512,124
3.27%	09/29/25⁴		124,025,000		128,036,855
3.69%	06/05/28⁴		37,510,000		39,398,486
3.81%	04/23/29⁴		58,130,000		61,766,823
5.25%	07/27/21		38,045,000		40,116,645
5.75%	01/24/22		9,580,000		10,328,297
Goldman Sachs Group, Inc. (The) (GMTN)
5.38%	03/15/20		60,000		60,871
Goldman Sachs Group, Inc. (The) (MTN)
3.85%	07/08/24		62,406,000		66,099,718
Goldman Sachs Group, Inc. (The), Series D (MTN)
6.00%	06/15/20		9,225,000		9,472,036
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
3.21%	07/22/22¹		139,565,000		140,659,003
Morgan Stanley (GMTN)
4.00%	07/23/25		16,091,000		17,336,628
5.50%	01/26/20		4,000,000		4,042,597
Nationwide Building Society
(United Kingdom)
3.62%	04/26/23^2,3,4		7,320,000		7,465,884
3.77%	03/08/24^2,3,4		39,750,000		40,839,268
4.36%	08/01/24^2,3,4		74,478,000		78,260,771
Park Aerospace Holdings Ltd.
(Cayman Islands)
3.63%	03/15/21^2,3		8,990,000		9,063,044
4.50%	03/15/23^2,3		34,956,000		36,312,773
5.25%	08/15/22^2,3		16,167,000		17,078,819
5.50%	02/15/24^2,3		16,744,000		18,111,148
Pipeline Funding Co. LLC
7.50%	01/15/30²		25,571,823		33,028,779
Raymond James Financial, Inc.
3.63%	09/15/26		3,330,000		3,486,500


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
4.95%	07/15/46	$	55,981,000	$	66,672,643


					3,330,089,319

Food — 1.14%
Campbell Soup Co.
3.30%	03/15/21		12,230,000		12,401,355
(LIBOR USD 3-Month plus 0.50%)
2.62%	03/16/20¹		81,235,000		81,249,682
(LIBOR USD 3-Month plus 0.63%)
2.75%	03/15/21¹		5,663,000		5,669,371
Conagra Brands, Inc.
4.60%	11/01/25		24,443,000		26,900,698
(LIBOR USD 3-Month plus 0.50%)
2.51%	10/09/20¹		8,270,000		8,270,568
(LIBOR USD 3-Month plus 0.75%)
3.03%	10/22/20¹		30,650,000		30,656,660
General Mills, Inc.
4.00%	04/17/25		5,665,000		6,108,935
JBS USA LUX SA/JBS USA Finance, Inc. (Canada)
5.75%	06/15/25^2,3		4,650,000		4,847,625
Kraft Heinz Foods Co.
3.00%	06/01/26		99,648,000		98,675,992
3.75%	04/01/30²		62,248,000		62,882,400
3.95%	07/15/25		26,373,000		27,626,479
4.00%	06/15/23		27,350,000		28,563,178
4.38%	06/01/46		114,646,000		108,485,383
4.63%	01/30/29		25,475,000		27,579,750
4.63%	10/01/39²		38,790,000		39,041,043
4.88%	10/01/49²		30,640,000		30,987,121
5.00%	06/04/42		38,558,000		39,831,107
5.20%	07/15/45		39,432,000		41,633,922
6.50%	02/09/40		5,500,000		6,486,849
6.75%	03/15/32		3,475,000		4,276,236
6.88%	01/26/39		41,874,000		51,587,784
Kroger Co. (The)
5.40%	01/15/49		82,978,000		98,117,012
Mondelez International Holdings
Netherlands BV (Netherlands)
2.00%	10/28/21^2,3		31,852,000		31,797,117
Post Holdings, Inc.
5.50%	12/15/29²		29,409,000		30,769,166


					904,445,433

Gaming — 0.02%
Churchill Downs, Inc.
5.50%	04/01/27²		17,976,000		19,051,864

Health Care — 4.40%
AbbVie, Inc.
3.60%	05/14/25		22,612,000		23,536,753


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
4.40%	11/06/42	$	63,824,000	$	66,103,666
4.45%	05/14/46		25,146,000		26,124,506
4.50%	05/14/35		28,229,000		30,299,553
4.88%	11/14/48		40,837,000		45,051,891
Aetna, Inc.
4.13%	11/15/42		6,375,000		6,402,856
Alcon Finance Corp.
2.75%	09/23/26²		18,000,000		18,175,966
3.00%	09/23/29²		55,790,000		56,451,195
Allergan Finance LLC
3.25%	10/01/22		24,252,000		24,788,133
Allergan Funding SCS (Luxembourg)
3.45%	03/15/22³		14,825,000		15,197,377
3.80%	03/15/25³		88,527,000		92,606,545
3.85%	06/15/24³		47,143,000		49,772,210
Amgen, Inc.
4.40%	05/01/45		31,552,000		35,712,688
4.66%	06/15/51		59,370,000		69,082,107
Anthem, Inc.
2.38%	01/15/25		35,565,000		35,474,644
2.88%	09/15/29		92,800,000		91,892,926
3.30%	01/15/23		20,420,000		21,072,787
3.35%	12/01/24		52,275,000		54,387,724
3.50%	08/15/24		32,515,000		33,999,321
3.65%	12/01/27		49,165,000		51,656,313
3.70%	09/15/49		2,100,000		2,039,888
4.38%	12/01/47		5,479,000		5,923,645
4.65%	01/15/43		10,635,000		11,779,928
Bausch Health Americas, Inc.
9.25%	04/01/26²		2,722,000		3,103,080
Bausch Health Cos., Inc. (Canada)
5.75%	08/15/27^2,3		2,107,000		2,282,576
7.00%	03/15/24^2,3		5,478,000		5,770,854
Baxalta, Inc.
4.00%	06/23/25		4,055,000		4,359,305
Bayer U.S. Finance II LLC
3.88%	12/15/23²		27,329,000		28,559,160
4.25%	12/15/25²		26,732,000		28,581,377
4.38%	12/15/28²		297,090,000		320,488,214
4.40%	07/15/44²		48,766,000		49,006,997
4.63%	06/25/38²		18,380,000		19,918,364
4.88%	06/25/48²		71,801,000		79,256,891
5.50%	08/15/25²		6,699,000		7,409,570
(LIBOR USD 3-Month plus 1.01%)
3.13%	12/15/23^1,2		8,130,000		8,132,314
Becton Dickinson and Co.
2.68%	12/15/19		1,364,000		1,366,660
2.89%	06/06/22		7,905,000		8,014,484
3.25%	11/12/20		42,315,000		42,735,442


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
3.30%	03/01/23	$	10,000,000	$	10,189,100
(LIBOR USD 3-Month plus 0.88%)
2.98%	12/29/20¹		100,723,000		100,758,476
Boston Scientific Corp.
3.45%	03/01/24		6,950,000		7,249,812
Catalent Pharma Solutions, Inc.
4.88%	01/15/26²		9,846,000		10,178,303
Celgene Corp.
3.88%	08/15/25		22,320,000		24,109,908
3.90%	02/20/28		30,516,000		33,453,074
4.63%	05/15/44		12,335,000		14,670,055
5.00%	08/15/45		110,166,000		137,685,246
Centene Corp.
4.75%	05/15/22		3,310,000		3,389,275
4.75%	01/15/25		2,785,000		2,865,765
5.38%	06/01/26²		23,579,000		24,640,055
5.63%	02/15/21		5,517,000		5,598,155
CHS/Community Health Systems, Inc.
8.00%	03/15/26²		2,618,000		2,624,545
8.63%	01/15/24²		5,038,000		5,239,520
Cigna Corp.
3.75%	07/15/23		52,070,000		54,550,485
4.13%	11/15/25		25,420,000		27,329,448
4.38%	10/15/28		41,165,000		45,062,685
4.80%	08/15/38		19,813,000		22,275,137
4.90%	12/15/48		21,315,000		24,485,224
(LIBOR USD 3-Month plus 0.35%)
2.49%	03/17/20¹		25,000,000		25,007,987
(LIBOR USD 3-Month plus 0.89%)
3.19%	07/15/23¹		62,890,000		63,064,978
Cigna Corp., Series WI
(LIBOR USD 3-Month plus 0.65%)
2.79%	09/17/21¹		75,010,000		75,013,034
Cigna Holding Co.
3.05%	10/15/27		66,451,000		67,130,229
CVS Health Corp.
2.13%	06/01/21		2,865,000		2,862,951
3.25%	08/15/29		36,730,000		36,974,378
3.88%	07/20/25		27,753,000		29,384,196
4.00%	12/05/23		42,053,000		44,744,184
4.30%	03/25/28		9,700,000		10,497,721
4.78%	03/25/38		49,706,000		54,524,291
4.88%	07/20/35		32,450,000		36,247,299
5.05%	03/25/48		265,998,000		302,364,230
Elanco Animal Health, Inc.
3.91%	08/27/21		20,850,000		21,359,084
4.27%	08/28/23		6,000,000		6,301,752
4.90%	08/28/28		11,850,000		12,946,725


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Encompass Health Corp.
4.50%	02/01/28	$	3,000,000	$	3,040,500
4.75%	02/01/30		44,743,000		45,320,185
Fresenius Medical Care U.S. Finance II, Inc.
4.13%	10/15/20²		3,850,000		3,909,405
5.88%	01/31/22²		8,964,000		9,568,410
HCA, Inc.
4.13%	06/15/29		19,930,000		21,001,237
5.00%	03/15/24		36,635,000		40,043,682
5.25%	04/15/25		21,815,000		24,292,827
5.25%	06/15/26		2,652,000		2,960,295
5.25%	06/15/49		135,477,000		148,357,432
5.50%	06/15/47		29,560,000		33,436,498
Humana, Inc.
3.13%	08/15/29		62,959,000		63,033,106
3.85%	10/01/24		4,410,000		4,661,343
3.95%	08/15/49		62,345,000		61,962,504
Molina Healthcare, Inc.
4.88%	06/15/25²		7,820,000		7,888,425
5.38%	11/15/22		15,843,000		16,872,795
Providence St. Joseph Health Obligated Group, Series H
2.75%	10/01/26		6,845,000		6,893,069
Teleflex, Inc.
4.63%	11/15/27		4,186,000		4,363,905
Tenet Healthcare Corp.
4.63%	09/01/24²		6,182,000		6,367,027
4.88%	01/01/26²		38,798,000		39,864,945
5.13%	11/01/27²		54,226,000		56,102,220
UnitedHealth Group, Inc.
4.75%	07/15/45		34,236,000		41,891,688
WellCare Health Plans, Inc.
5.25%	04/01/25		11,406,000		11,919,270
Zimmer Biomet Holdings, Inc.
2.70%	04/01/20		250,000		250,499
(LIBOR USD 3-Month plus 0.75%)
2.91%	03/19/21¹		16,850,000		16,850,417


					3,492,146,901

Industrials — 1.21%
Amcor Finance USA, Inc.
3.63%	04/28/26²		11,781,000		12,250,055
4.50%	05/15/28²		4,210,000		4,591,851
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
4.13%	08/15/26^2,3		6,929,000		6,989,629
4.25%	09/15/22^2,3		5,000,000		5,064,900
Ball Corp.
4.00%	11/15/23		9,502,000		9,977,100


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
General Electric Co.
2.70%	10/09/22	$	27,420,000	$	27,463,103
4.13%	10/09/42		8,300,000		8,323,018
General Electric Co. (GMTN)
2.20%	01/09/20		73,419,000		73,336,212
4.63%	01/07/21		90,088,000		92,370,848
5.50%	01/08/20		34,772,000		35,045,922
6.88%	01/10/39		4,273,000		5,661,946
General Electric Co. (MTN)
4.38%	09/16/20		5,815,000		5,918,751
4.65%	10/17/21		86,362,000		89,836,473
5.55%	05/04/20		38,121,000		38,804,776
5.88%	01/14/38		114,759,000		138,588,936
(LIBOR USD 3-Month plus 0.48%)
2.64%	08/15/36¹		11,550,000		8,417,259
General Electric Co., Series A (MTN)
6.75%	03/15/32		72,763,000		91,569,997
General Electric Co., Series NOTZ (MTN)
(LIBOR USD 3-Month plus 0.80%)
3.10%	04/15/20¹		5,250,000		5,239,794
Graphic Packaging International LLC
4.13%	08/15/24		1,325,000		1,374,687
4.75%	07/15/27²		7,623,000		8,042,265
4.88%	11/15/22		5,635,000		5,902,663
L3Harris Technologies, Inc.
3.85%	06/15/23²		69,120,000		72,938,759
3.95%	05/28/24²		27,290,000		29,084,590
4.40%	06/15/28²		44,558,000		50,322,640
Northrop Grumman Corp.
3.25%	01/15/28		10,945,000		11,496,769
OI European Group BV (Netherlands)
4.00%	03/15/23^2,3		3,364,000		3,393,435
Sealed Air Corp.
4.88%	12/01/22²		6,050,000		6,382,750
5.13%	12/01/24²		3,255,000		3,499,125
5.25%	04/01/23²		3,800,000		4,066,000
5.50%	09/15/25²		21,591,000		23,318,280
Silgan Holdings, Inc.
4.75%	03/15/25		3,558,000		3,655,845
Trivium Packaging Finance BV (Netherlands)
5.50%	08/15/26^2,3		10,865,000		11,448,451
United Technologies Corp.
8.75%	03/01/21		7,320,000		8,008,771
(LIBOR USD 3-Month plus 0.65%)
2.82%	08/16/21¹		32,520,000		32,523,099
WRKCo, Inc.
4.90%	03/15/29		24,615,000		27,881,102


					962,789,801


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Information Technology — 0.23%
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%	01/15/20	$	7,584,000	$	7,584,429
3.00%	01/15/22		3,842,000		3,880,488
Broadcom, Inc.
3.13%	04/15/21²		24,920,000		25,166,378
3.13%	10/15/22²		77,850,000		78,855,404
Change Healthcare Holdings LLC/Change
Healthcare Finance, Inc.
5.75%	03/01/25²		1,551,000		1,574,265
IQVIA, Inc.
5.00%	05/15/27²		14,032,000		14,716,060
NXP BV/NXP Funding LLC (Netherlands)
3.88%	09/01/22^2,3		4,600,000		4,750,770
4.13%	06/01/21^2,3		14,665,000		15,052,751
SS&C Technologies, Inc.
5.50%	09/30/27²		27,399,000		28,684,013


					180,264,558

Insurance — 0.37%
Berkshire Hathaway Finance Corp.
4.20%	08/15/48		22,731,000		26,632,901
Farmers Exchange Capital
7.05%	07/15/28²		13,283,000		16,485,816
7.20%	07/15/48²		18,265,000		23,845,443
Farmers Exchange Capital II
6.15%	11/01/53^2,4		61,460,000		76,364,050
Farmers Exchange Capital III
5.45%	10/15/54^2,4		68,575,000		79,461,281
Farmers Insurance Exchange
4.75%	11/01/57^2,4		17,070,000		17,951,351
Nationwide Mutual Insurance Co.
4.41%	12/15/24^2,4		35,189,000		35,057,041
Teachers Insurance & Annuity
Association of America
4.38%	09/15/54^2,4		19,825,000		20,816,627


					296,614,510

Materials — 0.19%
Indonesia Asahan Aluminum Persero PT (Indonesia)
6.53%	11/15/28^2,3		4,000,000		4,902,500
International Flavors & Fragrances, Inc.
5.00%	09/26/48		119,009,000		136,029,251
SASOL Financing USA LLC
5.88%	03/27/24		8,420,000		9,086,022


					150,017,773


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 1.37%
American Campus Communities
Operating Partnership LP
3.35%	10/01/20	$	14,995,000	$	15,150,123
3.63%	11/15/27		7,095,000		7,477,681
3.75%	04/15/23		45,679,000		47,714,433
4.13%	07/01/24		4,095,000		4,376,382
AvalonBay Communities, Inc. (GMTN)
3.95%	01/15/21		6,025,000		6,142,045
AvalonBay Communities, Inc. (MTN)
(LIBOR USD 3-Month plus 0.43%)
2.73%	01/15/21¹		60,530,000		60,513,315
Boston Properties LP
2.75%	10/01/26		38,327,000		38,701,569
3.20%	01/15/25		72,105,000		74,635,164
Digital Realty Trust LP
3.63%	10/01/22		5,490,000		5,685,685
GLP Capital LP/GLP Financing II, Inc.
3.35%	09/01/24		23,640,000		23,761,155
4.00%	01/15/30		29,470,000		29,750,260
4.38%	04/15/21		13,411,000		13,739,301
5.25%	06/01/25		65,037,000		71,848,390
5.30%	01/15/29		34,705,000		38,382,342
5.38%	11/01/23		31,616,000		34,318,852
5.38%	04/15/26		63,032,000		69,483,956
5.75%	06/01/28		34,128,000		38,948,239
HCP, Inc.
3.15%	08/01/22		10,530,000		10,770,790
3.25%	07/15/26		14,500,000		14,931,716
3.88%	08/15/24		24,274,000		25,901,402
4.00%	12/01/22		18,469,000		19,396,153
4.20%	03/01/24		20,709,000		22,281,315
4.25%	11/15/23		36,440,000		39,072,608
Healthcare Realty Trust, Inc.
3.75%	04/15/23		20,945,000		21,642,231
3.88%	05/01/25		20,446,000		21,378,453
Healthcare Trust of America Holdings LP
3.75%	07/01/27		18,945,000		19,850,416
Host Hotels & Resorts LP
5.25%	03/15/22		20,960,000		22,380,644
Hudson Pacific Properties LP
3.95%	11/01/27		2,000,000		2,099,015
4.65%	04/01/29		9,585,000		10,573,560
Kilroy Realty LP
3.45%	12/15/24		28,590,000		29,782,846
Kimco Realty Corp.
3.40%	11/01/22		5,185,000		5,363,357


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Liberty Property LP
3.38%	06/15/23	$	9,128,000	$	9,431,706
Life Storage LP
3.88%	12/15/27		6,960,000		7,374,642
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.50%	01/15/28		1,292,000		1,346,910
Mid-America Apartments LP
4.30%	10/15/23		9,636,000		10,299,373
Reckson Operating Partnership LP
7.75%	03/15/20		29,371,000		30,075,728
SBA Communications Corp.
4.88%	09/01/24		2,494,000		2,596,877
SL Green Operating Partnership LP
3.25%	10/15/22		44,126,000		45,022,552
(LIBOR USD 3-Month plus 0.98%)
3.15%	08/16/21¹		21,635,000		21,638,757
SL Green Realty Corp.
4.50%	12/01/22		15,745,000		16,584,418
Ventas Realty LP
2.65%	01/15/25		2,650,000		2,670,940
3.25%	10/15/26		10,135,000		10,478,009
3.50%	02/01/25		22,540,000		23,616,846
3.75%	05/01/24		14,555,000		15,371,754
Ventas Realty LP/Ventas Capital Corp.
3.25%	08/15/22		7,357,000		7,546,199
WEA Finance LLC
3.15%	04/05/22²		6,330,000		6,460,377
Welltower, Inc.
4.00%	06/01/25		27,119,000		29,004,342


					1,085,572,828

Retail — 0.31%
Alimentation Couche-Tard, Inc. (Canada)
2.70%	07/26/22^2,3		3,803,000		3,829,758
3.55%	07/26/27^2,3		9,320,000		9,707,680
Cumberland Farms, Inc.
6.75%	05/01/25²		3,771,000		4,039,684
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.00%	04/17/20¹		40,895,000		40,902,617
eG Global Finance PLC (United Kingdom)
6.75%	02/07/25^2,3		38,838,000		38,061,240
Family Dollar Stores, Inc.
5.00%	02/01/21		17,730,000		18,271,660
Rite Aid Corp.
6.13%	04/01/23²		78,707,000		62,737,350
Walgreens Boots Alliance, Inc.
3.45%	06/01/26		38,545,000		39,837,001


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Retail (continued)
3.80%	11/18/24	$	10,315,000	$	10,883,258
4.80%	11/18/44		13,049,000		13,787,841


					242,058,089

Services — 0.24%
DP World Crescent Ltd. (Cayman Islands)
4.85%	09/26/28^2,3		6,600,000		7,261,031
IHS Markit Ltd. (Bermuda)
4.00%	03/01/26^2,3		29,548,000		31,187,914
4.13%	08/01/23³		38,500,000		40,561,675
4.75%	02/15/25^2,3		34,276,000		37,275,150
4.75%	08/01/28³		7,632,000		8,521,128
5.00%	11/01/22^2,3		59,254,000		63,196,940
Service Corp. International/U.S.
4.63%	12/15/27		1,922,000		2,013,295


					190,017,133

Transportation — 0.46%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%	04/02/21		4,931,850		5,118,274
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%	01/31/21		1,774,050		1,834,190
American Airlines Pass-Through Trust,
Series 2013-1, Class A
4.00%	07/15/25		13,860,366		14,639,478
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%	01/15/23		51,102,076		53,634,899
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%	10/15/29		18,865,532		19,520,166
Continental Airlines Pass-Through Trust,
Series 1999-2 AMBC, Class C2
6.24%	03/15/20		5,653		5,699
Continental Airlines Pass-Through Trust,
Series 1999-2, Class A
7.26%	03/15/20		473,250		477,367
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%	11/01/20		4,119		4,198
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%	04/02/21		1,014,248		1,050,570
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22		60,514,509		63,915,424
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%	04/19/22		427,471		442,497


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust,
Series 2009-2, Class A
7.25%	11/10/19	$	26,869,496	$	26,997,948
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%	01/02/23		32,770,488		34,685,595
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%	04/01/22		3,027,925		3,190,221
SMBC Aviation Capital Finance DAC (Ireland)
3.00%	07/15/22^2,3		20,315,000		20,541,610
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%	03/20/21		456,976		479,387
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23		16,398,816		17,946,520
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23		3,067,346		3,456,965
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		38,660,376		43,193,673
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%	06/03/25		9,330		10,084
Union Pacific Corp.
3.95%	09/10/28		5,995,000		6,635,917
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%	08/15/25		14,179,885		15,350,007
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%	03/01/30		33,451,488		35,174,240


					368,304,929

Water — 0.11%
American Water Capital Corp.
3.45%	06/01/29		83,253,000		88,864,169

Total Corporates
(Cost $19,150,714,878)					20,012,711,325


FOREIGN GOVERNMENT OBLIGATIONS — 0.13%
Foreign Government Obligations — 0.13%
Bahrain Government International Bond,
Series REGS (Bahrain)
7.00%	10/12/28³		4,700,000		5,282,983
Brazilian Government International Bond
(Brazil)
4.63%	01/13/28³		5,700,000		6,066,282


Issues	Maturity Date	Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations
(continued)
Colombia Government International Bond
(Colombia)
3.88%	04/25/27³	$	4,700,000	$	4,990,930
Dominican Republic International Bond,
Series REGS (Dominican Republic)
6.60%	01/28/24³		8,420,000		9,272,525
Egypt Government International Bond
(Egypt)
5.58%	02/21/23^2,3		4,700,000		4,812,800
Mexico Government International Bond
(Mexico)
3.75%	01/11/28³		7,500,000		7,736,250
Oman Government International Bond
(Oman)
5.63%	01/17/28^2,3		9,400,000		9,280,620
Perusahaan Penerbit SBSN Indonesia III,
Series REGS (Indonesia)
4.15%	03/29/27³		5,100,000		5,471,790
Qatar Government International Bond
(Qatar)
4.50%	04/23/28³		8,430,000		9,627,903
Russian Foreign Bond - Eurobond,
Series REGS (Russia)
4.75%	05/27/26³		9,400,000		10,277,960
Saudi Government International Bond,
Series REGS (EMTN) (Saudi Arabia)
4.50%	10/26/46³		3,800,000		4,251,250
Saudi Government International Bond
(Saudi Arabia)
4.00%	04/17/25^2,3		8,420,000		9,043,080
South Africa Government International Bond
(South Africa)
4.67%	01/17/24³		7,500,000		7,867,969
Uruguay Government International Bond
(Uruguay)
4.38%	01/23/31³		6,570,000		7,264,843


Total Foreign Government Obligations
(Cost $94,374,001)					101,247,185


MORTGAGE-BACKED — 43.52%**
Non-Agency Commercial
Mortgage-Backed — 1.72%
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2018-PARK, Class A
4.23%	08/10/38^2,4		122,855,000		138,908,365
Banc of America Merrill Lynch Trust,
Series 2011-FSHN, Class A
4.42%	07/11/33²		7,740,000		7,978,162
Bayview Commercial Asset Trust,
Series 2004-1, Class A
(LIBOR USD 1-Month plus 0.54%)


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
2.56%	04/25/34^1,2	$	25,704	$	25,532
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.43%)
2.45%	08/25/34^1,2		240,092		236,239
BB-UBS Trust, Series 2012-SHOW, Class A
3.43%	11/05/36²		8,640,000		9,110,146
CALI Mortgage Trust, Series 2019-101C,
Class A
3.96%	03/10/39²		80,200,000		90,265,790
CALI Mortgage Trust, Series 2019-101C,
Class XA (IO)
0.44%	03/10/39^2,4		272,551,000		7,263,838
Capmark Mortgage Securities, Inc.,
Series 1998-C2, Class X (IO)
1.30%	05/15/35⁴		2,710,880		23,385
CGRBS Commercial Mortgage Trust,
Series 2013-VN05, Class A
3.37%	03/13/35²		42,582,744		44,614,460
Citigroup Commercial Mortgage Trust,
Series 2013-375P, Class A
3.25%	05/10/35²		5,000		5,188
Commercial Mortgage Trust,
Series 2013-300P, Class A1
4.35%	08/10/30²		14,635,000		15,691,814
Commercial Mortgage Trust,
Series 2013-CR12, Class A4
4.05%	10/10/46		440,000		469,349
Commercial Mortgage Trust,
Series 2013-SFS, Class A2
3.09%	04/12/35^2,4		7,205,000		7,401,909
Commercial Mortgage Trust,
Series 2014-277P, Class A
3.73%	08/10/49^2,4		15,960,000		17,018,067
Commercial Mortgage Trust,
Series 2014-CR20, Class A3
3.33%	11/10/47		42,445,000		44,614,576
Commercial Mortgage Trust,
Series 2015-3BP, Class A
3.18%	02/10/35²		16,440,000		17,224,231
Commercial Mortgage Trust,
Series 2016-787S, Class A
3.55%	02/10/36²		74,550,000		79,487,487
Core Industrial Trust, Series 2015-CALW,
Class A
3.04%	02/10/34²		45,744,931		46,819,708
Core Industrial Trust, Series 2015-TEXW,
Class A
3.08%	02/10/34²		3,051,927		3,121,147
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class A
3.67%	09/10/35^2,4		1,362,500		1,461,344


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
GE Business Loan Trust, Series 2007-1A,
Class A
(LIBOR USD 1-Month plus 0.17%)
2.20%	04/15/35^1,2	$	6,418,298	$	6,292,207
GRACE Mortgage Trust,
Series 2014-GRCE, Class A
3.37%	06/10/28²		73,520,000		74,704,837
GS Mortgage Securities Trust,
Series 2010-C2, Class A1
3.85%	12/10/43²		1,732,337		1,744,541
GS Mortgage Securities Trust,
Series 2011-GC5, Class A4
3.71%	08/10/44		67,335,000		68,604,979
GS Mortgage Securities Trust,
Series 2012-ALOH, Class A
3.55%	04/10/34²		59,497,000		61,251,067
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/39²		84,860,000		90,778,450
Irvine Core Office Trust, Series 2013-IRV,
Class A1
2.07%	05/15/48²		5,479,297		5,468,980
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C5,
Class A3
4.17%	08/15/46		15,555,217		16,009,964
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-HSBC,
Class A
3.09%	07/05/32²		40,807,192		41,845,188
Lehman Brothers Small Balance Commercial
Mortgage Trust, Series 2007-1A, Class 2A3
5.62%	03/25/37^2,4		1,625,226		1,640,206
Morgan Stanley Capital I Trust,
Series 2014-CPT, Class A
3.35%	07/13/29²		975,000		992,628
Morgan Stanley Capital I Trust,
Series 2014-MP, Class A
3.47%	08/11/33²		94,742,500		97,087,244
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/13/49²		123,210,000		123,331,399
Queens Center Mortgage Trust,
Series 2013-QCA, Class A
3.28%	01/11/37²		15,810,000		16,587,591
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.96%	01/15/32^2,4		103,085,000		109,883,971
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class A1
3.87%	01/05/43^2,4		33,315,000		36,069,194


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
VNDO Mortgage Trust, Series 2012-6AVE,
Class A
3.00%	11/15/30²	$	29,803,200	$	30,518,352
Wells Fargo Commercial Mortgage Trust,
Series 2010-C1, Class A2
4.39%	11/15/43²		900,000		912,276
WF-RBS Commercial Mortgage Trust,
Series 2010-C8, Class A3
3.00%	08/15/45		47,205,000		48,189,026


					1,363,652,837

Non-Agency Mortgage-Backed — 6.78%
Aames Mortgage Trust,
Series 2002-1, Class A3
(STEP-reset date 11/25/19)
5.15%	06/25/32		41,712		41,982
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
2.24%	02/25/37¹		46,525,000		46,029,178
ACE Securities Corp. Home Equity Loan
Trust, Series 2004-IN1, Class A1
(LIBOR USD 1-Month plus 0.64%)
2.66%	05/25/34¹		3,923		3,779
ACE Securities Corp. Home Equity Loan
Trust, Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.15%)
2.17%	06/25/36¹		3,337,357		2,722,475
ACE Securities Corp. Home Equity Loan
Trust, Series 2007-ASAP2, Class A1
(LIBOR USD 1-Month plus 0.19%)
2.21%	06/25/37¹		43,825,880		36,281,977
Adjustable Rate Mortgage Trust,
Series 2005-10, Class 6A1
(LIBOR USD 1-Month plus 0.54%)
2.56%	01/25/36¹		312,582		296,894
Adjustable Rate Mortgage Trust,
Series 2005-5, Class 6A21
(LIBOR USD 1-Month plus 0.23%)
2.25%	09/25/35¹		92,332		92,575
Adjustable Rate Mortgage Trust,
Series 2006-3, Class 4A32
(LIBOR USD 1-Month plus 0.20%)
2.22%	08/25/36¹		8,593,930		8,596,005
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		7,364		7,830
Alternative Loan Trust,
Series 2005-38, Class A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.50%)
3.95%	09/25/35¹		567,579		562,238


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.00%)
3.45%	02/25/36¹	$	49,710,518	$	49,579,266
Alternative Loan Trust,
Series 2005-84, Class 1A1
3.67%	02/25/36⁴		62,466		50,133
Alternative Loan Trust,
Series 2006-HY13, Class 4A1
4.39%	02/25/37⁴		1,653,687		1,631,564
Alternative Loan Trust,
Series 2006-OC5, Class 2A2A
(LIBOR USD 1-Month plus 0.17%)
2.19%	06/25/46¹		332,514		327,064
Alternative Loan Trust,
Series 2007-J1, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
2.22%	03/25/37¹		648,850		222,635
American Home Mortgage Assets Trust,
Series 2006-3, Class 2A12
(Federal Reserve US 12-Month Cumulative
Average plus 1.15%)
3.63%	10/25/46¹		47,699,895		43,654,567
American Home Mortgage Assets Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.13%)
2.14%	03/25/47¹		14,925,065		13,925,236
American Home Mortgage Investment Trust,
Series 2004-3, Class 2A
(LIBOR USD 6-Month plus 1.50%)
3.69%	10/25/34¹		6,319,779		6,350,571
Ameriquest Mortgage Securities Trust,
Series 2006-R1, Class M1
(LIBOR USD 1-Month plus 0.39%)
2.41%	03/25/36¹		17,198,124		17,194,822
Ameriquest Mortgage Securities, Inc.,
Asset-Backed Pass-Through Certificates,
Series 2004-R10, Class A1
(LIBOR USD 1-Month plus 0.66%)
2.68%	11/25/34¹		23,448,565		23,134,058
Ameriquest Mortgage Securities, Inc.,
Asset-Backed Pass-Through Certificates,
Series 2005-R11, Class M1
(LIBOR USD 1-Month plus 0.45%)
2.47%	01/25/36¹		12,731,730		12,811,035
Amresco Residential Securities Corp.
Mortgage Loan Trust, Series 1998-1,
Class A5 (STEP-reset date 11/25/19)
7.15%	10/25/27		45,331		48,135


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Argent Securities, Inc., Asset-Backed
Pass-Through Certificates Series 2005-W3,
Class M1
(LIBOR USD 1-Month plus 0.44%)
2.46%	11/25/35¹	$	19,840,000	$	19,758,602
Argent Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2004-W6,
Class AV2
(LIBOR USD 1-Month plus 0.90%)
2.92%	05/25/34¹		11,965,488		12,050,440
Argent Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2005-W2,
Class A1
(LIBOR USD 1-Month plus 0.26%)
2.28%	10/25/35¹		5,666,900		5,679,917
Argent Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2005-W3,
Class A1
(LIBOR USD 1-Month plus 0.26%)
2.28%	11/25/35¹		26,405,905		26,093,106
Asset-Backed Funding Certificates,
Series 2005-HE1, Class M1
(LIBOR USD 1-Month plus 0.63%)
2.65%	03/25/35¹		7,224,629		7,248,620
Asset-Backed Funding Certificates,
Series 2006-OPT3, Class A3B
(LIBOR USD 1-Month plus 0.16%)
2.18%	11/25/36¹		53,726,286		32,712,404
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
3.02%	06/25/37¹		23,049,429		20,971,869
Asset-Backed Securities Corp. Home Equity
Loan Trust, Series 2006-HE5, Class A1
(LIBOR USD 1-Month plus 0.13%)
2.14%	07/25/36¹		14,480,907		14,344,079
Asset-Backed Securities Corp. Home Equity
Loan Trust, Series 2006-HE6, Class A5
(LIBOR USD 1-Month plus 0.23%)
2.25%	11/25/36¹		18,411,000		16,895,482
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		19,348		20,776
Banc of America Funding Trust,
Series 2006-D, Class 3A1
4.24%	05/20/36⁴		5,414,322		5,327,150
Banc of America Funding Trust,
Series 2006-E, Class 2A1
4.65%	06/20/36⁴		80,104		80,001
Banc of America Funding Trust,
Series 2006-G, Class 2A1
(LIBOR USD 1-Month plus 0.44%)


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
2.48%	07/20/36¹	$	4,523,377	$	4,530,014
Banc of America Funding Trust,
Series 2006-H, Class 3A1
4.25%	09/20/46⁴		1,383,000		1,313,900
Banc of America Funding Trust,
Series 2014-R8, Class A1
(LIBOR USD 1-Month plus 0.24%)
2.26%	06/26/36^1,2		5,007,517		5,005,506
Banc of America Funding Trust,
Series 2015-R2, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
2.16%	08/27/36^1,2		25,432,471		25,206,048
Banc of America Funding Trust,
Series 2015-R2, Class 3A1
(LIBOR USD 1-Month plus 0.26%)
2.28%	04/29/37^1,2		9,400,054		9,364,530
Banc of America Funding Trust,
Series 2015-R2, Class 7A1
(LIBOR USD 1-Month plus 0.28%)
2.30%	09/29/36^1,2		6,081,555		6,094,022
Banc of America Funding Trust,
Series 2015-R2, Class 9A1
(LIBOR USD 1-Month plus 0.22%)
2.23%	03/27/36^1,2		4,724,326		4,720,607
Banc of America Funding Trust,
Series 2015-R5, Class 1A1
(LIBOR USD 1-Month plus 0.13%)
2.15%	10/26/36^1,2		26,136,460		25,979,555
Banc of America Funding Trust,
Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)
2.15%	10/26/36^1,2		42,536,000		41,590,250
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%	03/25/40^2,4		27,004,308		27,014,561
Banc of America Mortgage Trust,
Series 2004-F, Class 1A1
4.70%	07/25/34⁴		44,106		46,174
Banc of America Mortgage Trust,
Series 2005-C, Class 2A2
4.64%	04/25/35⁴		420,911		425,993
Banc of America Mortgage Trust,
Series 2006-2, Class A2
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
6.00%	07/25/46¹		152,225		144,321
Banc of America Mortgage Trust,
Series 2007-1, Class 1A24
6.00%	03/25/37		762,777		725,662
Banc of America Mortgage Trust,
Series 2007-3, Class 1A1
6.00%	09/25/37		424,141		414,859


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2007-AA2,
Class 2A5
6.00%	04/25/37	$	301,130	$	249,059
BCAP LLC Trust, Series 2007-AA5,
Class A1
(LIBOR USD 1-Month plus 0.65%)
2.67%	09/25/47¹		21,515,244		20,561,828
BCAP LLC Trust, Series 2011-RR3,
Class 5A3
3.63%	11/27/37^2,4		789,913		792,649
BCAP LLC Trust, Series 2015-RR2,
Class 26A1
4.99%	03/28/36^2,4		1,851,779		1,866,336
Bear Stearns ALT-A Trust, Series 2005-4,
Class 22A2
4.36%	05/25/35⁴		18,939		18,966
Bear Stearns ALT-A Trust, Series 2005-7,
Class 11A1
(LIBOR USD 1-Month plus 0.54%)
2.56%	08/25/35¹		320,934		324,583
Bear Stearns ALT-A Trust, Series 2006-4,
Class 32A1
4.12%	07/25/36⁴		1,924,395		1,646,550
Bear Stearns ARM Trust, Series 2004-1,
Class 13A2
4.59%	04/25/34⁴		7,629		7,753
Bear Stearns ARM Trust, Series 2004-10,
Class 14A1
4.44%	01/25/35⁴		2,927,427		2,946,408
Bear Stearns ARM Trust, Series 2006-4,
Class 2A1
4.04%	10/25/36⁴		525,458		493,851
Bear Stearns Asset-Backed Securities I
Trust, Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
2.27%	08/25/20¹		1,582,603		1,028,597
Bear Stearns Asset-Backed Securities I
Trust, Series 2006-AC2, Class 21A3
6.00%	03/25/36		614,519		739,628
Bear Stearns Asset-Backed Securities I
Trust, Series 2006-HE9, Class 3A
(LIBOR USD 1-Month plus 0.14%)
2.16%	11/25/36¹		8,559,469		7,853,056
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A1
(STEP-reset date 11/25/19)
5.50%	01/25/34		668,965		682,145
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A2
(STEP-reset date 11/25/19)
5.75%	01/25/34		603,117		616,234


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.18%)
2.20%	10/25/36¹	$	2,239,882	$	2,136,968
Bear Stearns Mortgage Funding Trust,
Series 2007-AR5, Class 1A1A
(LIBOR USD 1-Month plus 0.17%)
2.19%	06/25/47¹		580,274		565,016
Carrington Mortgage Loan Trust,
Series 2005-NC5, Class M1
(LIBOR USD 1-Month plus 0.48%)
2.50%	10/25/35¹		506,445		508,624
Carrington Mortgage Loan Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.31%)
2.33%	01/25/36¹		63,781,567		63,867,915
Centex Home Equity Loan Trust,
Series 2006-A, Class AV4
(LIBOR USD 1-Month plus 0.25%)
2.27%	06/25/36¹		6,979,129		6,948,806
Chase Funding Trust,
Series 2003-5, Class 2A2
(LIBOR USD 1-Month plus 0.60%)
2.62%	07/25/33¹		3,059		2,802
Chase Funding Trust,
Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)
2.52%	02/26/35¹		5,668		5,413
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2
3.97%	09/25/36⁴		777,227		732,478
Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1
5.50%	11/25/21		1,766,871		1,230,044
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
4.40%	07/25/37⁴		2,101,905		2,138,445
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%	05/25/20		626,854		590,035
Chaseflex Trust, Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)
2.22%	09/25/36¹		8,406,664		6,962,013
CIM Trust, Series 2016-4, Class A1
(LIBOR USD 1-Month plus 2.00%)
4.10%	10/25/57^1,2		229,382,262		239,183,239
CIM Trust, Series 2017-5, Class A2A
2.50%	05/25/57^2,4		63,608,916		62,700,553
CIM Trust, Series 2017-6, Class A1
3.02%	06/25/57^2,4		56,257,184		56,555,561


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust, Series 2017-8, Class A1
3.00%	12/25/65^2,4	$	119,363,653	$	119,328,441
CIM Trust, Series 2018-R1, Class A1
3.65%	05/01/55²		106,523,893		103,960,150
CIM Trust, Series 2018-R2, Class A1
3.69%	08/25/57^2,4		80,979,908		81,231,043
CIM Trust, Series 2018-R4, Class A1
4.07%	12/26/57^2,4		57,213,120		58,052,094
CIM Trust, Series 2018-R5, Class A1
3.75%	07/25/58^2,4		140,394,912		142,516,602
CIM Trust, Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
3.18%	09/25/58^1,2		116,596,070		115,925,270
CIM Trust, Series 2019-R1, Class A
3.25%	10/25/58^2,4		273,349,175		275,716,379
CIT Mortgage Loan Trust, Series 2007-1,
Class 1A
(LIBOR USD 1-Month plus 1.35%)
3.37%	10/25/37^1,2		57,216,979		58,004,176
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%	02/25/35		226,708		231,271
Citicorp Residential Mortgage Trust,
Series 2006-2, Class A5
(STEP-reset date 11/25/19)
5.25%	09/25/36		373,549		375,999
Citicorp Residential Mortgage Trust,
Series 2007-1, Class A5
(STEP-reset date 11/25/19)
5.26%	03/25/37		650,000		677,744
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
4.18%	02/25/34⁴		128,067		126,090
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-RR2, Class A2
4.96%	05/25/34^2,4		1,696,374		1,766,252
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A
3.94%	10/25/35⁴		643,349		490,231
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
2.28%	11/25/35¹		161,551		134,707
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH1, Class A4
(LIBOR USD 1-Month plus 0.20%)
2.22%	01/25/37¹		21,142		21,174
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH3, Class A3
(LIBOR USD 1-Month plus 0.25%)
2.27%	06/25/37¹		557,776		555,977


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2006-HE1, Class M2
(LIBOR USD 1-Month plus 0.51%)
2.53%	01/25/36¹	$	595,010	$	596,595
Citigroup Mortgage Loan Trust,
Series 2006-AR2, Class 1A1
4.73%	03/25/36⁴		12,059,704		11,165,891
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
4.55%	06/25/36⁴		4,143,917		4,045,608
Citigroup Mortgage Loan Trust,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.29%)
2.31%	08/25/36¹		305,000		303,095
Citigroup Mortgage Loan Trust,
Series 2006-WF2, Class A1
(STEP-reset date 11/25/19)
6.75%	05/25/36		44,428,916		32,651,992
Citigroup Mortgage Loan Trust,
Series 2007-6, Class 1A4A
3.54%	03/25/37⁴		448,628		384,185
Citigroup Mortgage Loan Trust,
Series 2010-7, Class 2A1
4.57%	02/25/35^2,4		6,675		6,693
Citigroup Mortgage Loan Trust,
Series 2012-3, Class 4A1
4.09%	11/25/36^2,4		19,170		19,184
Citigroup Mortgage Loan Trust,
Series 2014-5, Class 2A2
(LIBOR USD 1-Month plus 1.75%)
3.94%	02/20/36^1,2		15,101,093		15,372,145
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
2.35%	06/25/47^1,2		10,696,723		10,774,630
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
3.16%	03/25/47^1,2		15,865,404		15,778,089
Citigroup Mortgage Loan Trust,
Series 2015-3, Class 1A1
(LIBOR USD 1-Month plus 0.27%)
2.69%	03/25/36^1,2		5,095,388		5,070,595
Conseco Finance Corp., Series 1996-7,
Class M1
7.70%	09/15/26⁴		3,280,850		3,467,854
Conseco Finance Corp., Series 1998-2,
Class A5
6.24%	12/01/28		6,475		6,526
Conseco Finance Corp., Series 1998-6,
Class A8
6.66%	06/01/30⁴		1,739,123		1,801,889


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Finance Home Equity Loan Trust,
Series 2002-C, Class BF2
8.00%	06/15/32^2,4	$	182,670	$	187,389
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%	08/01/32⁴		182,519		183,147
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A2
(LIBOR USD 1-Month plus 0.80%)
2.82%	10/25/47¹		11,660,252		11,385,258
Countrywide Asset-Backed Certificates,
Series 2005-11, Class AF4
5.21%	03/25/34⁴		4,278,346		4,329,943
Countrywide Asset-Backed Certificates,
Series 2005-13, Class AF4
5.81%	04/25/36⁴		238,850		214,116
Countrywide Asset-Backed Certificates,
Series 2005-AB2, Class 1A1
(LIBOR USD 1-Month plus 0.46%)
2.48%	11/25/35¹		13,813,022		13,796,504
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2001-HYB1,
Class 1A1
3.96%	06/19/31⁴		9,831		9,850
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2003-J8,
Class 1A4
5.25%	09/25/23		68,775		69,842
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-14,
Class 4A1
3.79%	08/25/34⁴		963,055		950,414
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-25,
Class 1A1
(LIBOR USD 1-Month plus 0.66%)
2.68%	02/25/35¹		118,427		115,011
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB3,
Class 1A
4.91%	06/20/34⁴		21,016		21,804
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB4,
Class 2A1
4.22%	09/20/34⁴		1,043,682		1,037,413
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-11,
Class 1A2
4.97%	04/25/35⁴		828,457		825,348
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-31,
Class 2A3
3.78%	01/25/36⁴		186,432		180,092


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-9,
Class 1A1
(LIBOR USD 1-Month plus 0.60%)
2.62%	05/25/35¹	$	3,971,978	$	3,495,816
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2007-HY5,
Class 1A1
4.41%	09/25/47⁴		926,675		918,204
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2007-HYB1,
Class 1A1
3.37%	03/25/37⁴		1,229,073		1,061,424
Credit Suisse First Boston Mortgage
Securities Corp., Series 2003-AR20,
Class 2A4
4.45%	08/25/33⁴		15,185		15,670
Credit Suisse First Boston Mortgage
Securities Corp., Series 2005-6,
Class 8A1
4.50%	07/25/20		4,048		4,005
Credit Suisse First Boston Mortgage-Backed
Pass-Through Certificates, Series 2004-1,
Class 2A1
6.50%	02/25/34		27,439		28,873
Credit Suisse First Boston Mortgage-Backed
Pass-Through Certificates, Series 2004-AR5,
Class 6A1
4.60%	06/25/34⁴		146,424		152,118
Credit Suisse Mortgage Capital,
Mortgage-Backed Trust,
Series 2006-2, Class 5A1
(LIBOR USD 1-Month plus 0.70%)
2.72%	03/25/36¹		3,951,772		2,048,062
Credit Suisse Mortgage Capital,
Mortgage-Backed Trust,
Series 2007-2, Class 3A4
5.50%	03/25/37		1,915,317		1,662,654
Credit Suisse Mortgage Capital,
Series 2010-17R, Class 1A1
4.44%	06/26/36^2,4		92,563		93,162
Credit Suisse Mortgage Capital,
Series 2014-11R, Class 10A1
(LIBOR USD 1-Month plus 0.22%)
2.37%	05/27/37^1,2		671,750		674,480
Credit Suisse Mortgage Capital,
Series 2014-12R, Class 1A1
(LIBOR USD 1-Month plus 1.75%)
3.85%	08/27/36^1,2		7,976,018		8,039,369
Credit Suisse Mortgage Capital,
Series 2015-1R, Class 5A1
4.36%	09/27/35^2,4		3,507,837		3,540,946


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Capital,
Series 2015-2R, Class 4A1
2.35%	06/27/47^2,4	$	13,556,145	$	13,493,502
Credit Suisse Mortgage Capital,
Series 2015-6R, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
2.35%	11/27/46^1,2		8,975,314		8,750,601
Credit-Based Asset Servicing and
Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2C
(STEP-reset date 11/25/19)
4.00%	02/25/37		34,986,599		27,952,459
Credit-Based Asset Servicing and
Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2D
(STEP-reset date 11/25/19)
4.00%	02/25/37		25,615,399		20,460,016
Credit-Based Asset Servicing and
Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2E
(STEP-reset date 11/25/19)
4.00%	02/25/37		4,658,121		3,721,369
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB1,
Class AF (STEP-reset date 11/25/19)
3.95%	01/25/33		13,318		13,729
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB4,
Class M1
(LIBOR USD 1-Month plus 1.04%)
3.05%	03/25/33¹		3,007,740		3,017,137
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB5,
Class M1
(LIBOR USD 1-Month plus 1.02%)
3.04%	11/25/33¹		80,961		80,480
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB8,
Class A1
(LIBOR USD 1-Month plus 0.14%)
2.16%	10/25/36¹		16,952,189		15,119,984
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB9,
Class A3
(LIBOR USD 1-Month plus 0.15%)
2.17%	11/25/36¹		30,744,575		19,321,650
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB1,
Class AF4 (STEP-reset date 11/25/19)
3.55%	01/25/37		7,314,220		3,454,422
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB1,
Class AF5 (STEP-reset date 11/25/19)
3.55%	01/25/37		13,745,160		6,490,476


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB5,
Class A2
(LIBOR USD 1-Month plus 0.17%)
2.19%	04/25/37¹	$	29,090,565	$	22,138,560
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB7,
Class A1
(LIBOR USD 1-Month plus 0.14%)
2.16%	10/25/36¹		55,239,643		43,733,109
CSAB Mortgage-Backed Trust,
Series 2006-4, Class A6B
(STEP-reset date 11/25/19)
5.78%	12/25/36		5,268,016		599,893
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2006-AR3, Class A1
(LIBOR USD 1-Month plus 0.19%)
2.21%	08/25/36¹		3,764,022		3,624,596
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2006-AR4, Class A1
(LIBOR USD 1-Month plus 0.13%)
2.15%	12/25/36¹		1,994,347		1,076,521
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2006-AR6, Class AR6
(LIBOR USD 1-Month plus 0.19%)
2.21%	02/25/37¹		748,612		695,178
Deutsche Alt-A Securities Mortgage Loan
Trust, Series 2007-3, Class 1A1
(LIBOR USD 1-Month plus 1.70%)
3.80%	10/25/47¹		35,138,561		34,834,237
Deutsche Alt-A Securities Mortgage Loan
Trust, Series 2007-OA3, Class A1
(LIBOR USD 1-Month plus 0.14%)
2.16%	07/25/47¹		54,169,240		52,129,016
Deutsche ALT-A Securities, Inc. Mortgage
Loan Trust, Series 2005-6, Class 1A7
5.50%	12/25/35		454,241		450,256
Deutsche ALT-A Securities, Inc. Mortgage
Loan Trust, Series 2006-AR1, Class 2A1
4.20%	02/25/36⁴		1,094,101		1,035,897
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.36%)
2.42%	01/19/45¹		2,526,623		2,343,592
DSLA Mortgage Loan Trust,
Series 2005-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.50%)
2.56%	02/19/45¹		356,787		356,309
DSLA Mortgage Loan Trust,
Series 2005-AR3, Class 2A1A
(LIBOR USD 1-Month plus 0.24%)
2.30%	07/19/45¹		191,474		191,117


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%)
2.26%	10/19/36¹	$	18,950,599	$	17,369,274
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
2.20%	04/19/47¹		10,156,323		9,022,301
Equity One Mortgage Pass-Through Trust,
Series 2002-4, Class M1
5.22%	02/25/33⁴		10,678		10,700
Equity One Mortgage Pass-Through Trust,
Series 2002-5, Class M1
(STEP-reset date 11/25/19)
5.80%	11/25/32		36,213		38,376
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.16%)
2.18%	10/25/36¹		15,027,424		11,827,795
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2D
(LIBOR USD 1-Month plus 0.24%)
2.26%	10/25/36¹		947,593		755,754
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
2.13%	12/25/37¹		8,252,358		7,742,731
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2C
(LIBOR USD 1-Month plus 0.16%)
2.18%	12/25/37¹		22,694,725		21,403,613
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
2.23%	12/25/37¹		16,448,398		15,592,663
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 1A
(LIBOR USD 1-Month plus 0.15%)
2.17%	04/25/36¹		25,925,851		24,905,839
First Franklin Mortgage Loan Trust,
Series 2006-FF8, Class IIA4
(LIBOR USD 1-Month plus 0.23%)
2.25%	07/25/36¹		31,440,000		30,159,524
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2C
(LIBOR USD 1-Month plus 0.14%)
2.16%	01/25/38¹		73,673,536		52,357,822
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
2.12%	03/25/37¹		27,859,112		18,105,277


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%)
2.17%	03/25/37¹	$	15,971,183	$	10,483,053
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
2.24%	03/25/37¹		29,737,920		19,789,197
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA2, Class 1A1
4.11%	08/25/34⁴		7,912,049		7,903,118
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA3, Class A1
4.05%	09/25/34⁴		31,023		31,182
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA4, Class A1
4.24%	10/25/34⁴		1,340,585		1,350,067
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA10, Class 1A1
4.14%	12/25/35⁴		15,645,031		14,647,861
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA12, Class 2A1
4.06%	02/25/36⁴		16,370,803		14,568,677
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA4, Class 2A1
3.89%	06/25/35⁴		16,472,676		15,637,170
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA7, Class 2A1
4.09%	09/25/35⁴		14,325,949		13,925,435
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA8, Class 2A1
3.98%	10/25/35⁴		17,404,628		14,063,938
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA9, Class 2A1
4.23%	11/25/35⁴		16,927,687		15,405,705
First Horizon Alternative Mortgage Securities
Trust, Series 2006-AA1, Class 1A1
4.11%	03/25/36⁴		20,620,939		17,570,921
First Horizon Alternative Mortgage Securities
Trust, Series 2006-FA8, Class 1A7
6.00%	02/25/37		12,045		8,818
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR6, Class 2A1
4.61%	12/25/34⁴		182,097		190,923
First Horizon Mortgage Pass-Through Trust,
Series 2006-AR4, Class 1A2
4.71%	01/25/37⁴		103,710		91,911
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR3, Class 1A1
4.28%	11/25/37⁴		227,575		203,662


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%)
2.46%	08/19/34¹	$	5,052	$	5,068
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
2.84%	06/25/30¹		23,993		20,084
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR6, Class 3A1
4.04%	11/19/35⁴		661,540		637,998
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR2, Class 1A1
3.88%	05/19/36⁴		1,566,496		1,018,756
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.24%)
2.26%	08/25/45¹		1,650,131		1,482,148
GreenPoint Mortgage Funding Trust,
Series 2005-AR4, Class G41B
(LIBOR USD 1-Month plus 0.20%)
2.22%	10/25/45¹		15,742,589		13,989,086
GreenPoint Mortgage Funding Trust,
Series 2006-AR8, Class 1A2A⁷
0.00%	01/25/47^8,†		37,800,000		—
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 3A2
(LIBOR USD 1-Month plus 0.16%)
2.18%	02/25/37¹		1,657,604		1,660,510
GS Mortgage-Backed Securities Trust,
Series 2018-RPL1, Class A1A
3.75%	10/25/57²		49,593,557		50,695,178
GSAA Home Equity Trust, Series 2005-11,
Class 1A1
(LIBOR USD 1-Month plus 0.28%)
2.30%	10/25/35¹		4,635,945		4,699,286
GSAA Home Equity Trust, Series 2005-9,
Class 2A3
(LIBOR USD 1-Month plus 0.37%)
2.39%	08/25/35¹		296,760		297,288
GSAMP Trust, Series 2005-AHL2, Class A2D
(LIBOR USD 1-Month plus 0.35%)
2.37%	12/25/35¹		25,693,000		25,203,505
GSR Mortgage Loan Trust,
Series 2004-9, Class 3A1
4.53%	08/25/34⁴		3,013		3,033
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
4.26%	08/25/34⁴		337,307		341,843


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSR Mortgage Loan Trust,
Series 2005-AR5, Class 2A3
4.30%	10/25/35⁴	$	3,174,151	$	2,435,278
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 4A5
4.55%	09/25/35⁴		138,502		141,203
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 2A1
4.57%	05/25/37⁴		2,263,697		2,001,372
HarborView Mortgage Loan Trust,
Series 2004-1, Class 2A
4.30%	04/19/34⁴		6,297		6,186
HarborView Mortgage Loan Trust,
Series 2004-11, Class 3A2A
(LIBOR USD 1-Month plus 0.68%)
2.74%	01/19/35¹		364,947		330,664
HarborView Mortgage Loan Trust,
Series 2004-5, Class 2A6
4.12%	06/19/34⁴		3,308		3,375
HarborView Mortgage Loan Trust,
Series 2005-3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
2.54%	06/19/35¹		421,649		425,503
HarborView Mortgage Loan Trust,
Series 2005-4, Class 2A
4.95%	07/19/35⁴		44,740		40,793
HarborView Mortgage Loan Trust,
Series 2006-10, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
2.26%	11/19/36¹		78,263,986		70,401,594
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.21%)
2.27%	09/19/46¹		89,733,805		86,774,958
HarborView Mortgage Loan Trust,
Series 2007-7, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
3.02%	10/25/37¹		29,533,670		29,044,182
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
3.02%	10/25/37¹		24,962,772		24,979,604
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
2.16%	10/25/36¹		62,707,286		29,478,526
Impac CMB Trust, Series 2005-1,
Class 1A1
(LIBOR USD 1-Month plus 0.52%)
2.54%	04/25/35¹		4,557,730		4,439,786


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Impac CMB Trust, Series 2005-4,
Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
2.27%	05/25/35¹	$	5,499,847	$	5,198,867
Impac Secured Assets Corp.,
Series 2004-3, Class M1
(LIBOR USD 1-Month plus 0.90%)
2.92%	11/25/34¹		541,201		550,237
Impac Secured Assets Corp.,
Series 2004-4, Class M3
(LIBOR USD 1-Month plus 0.90%)
2.92%	02/25/35¹		670,000		669,366
Impac Secured Assets Trust,
Series 2006-3, Class A1
(LIBOR USD 1-Month plus 0.17%)
2.19%	11/25/36¹		9,179,045		8,859,669
Impac Secured Assets Trust,
Series 2007-2, Class 1A1A
(LIBOR USD 1-Month plus 0.11%)
2.13%	05/25/37¹		8,360,974		7,146,369
Impac Secured Assets Trust,
Series 2007-2, Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
2.27%	05/25/37¹		61,493,933		50,306,940
IndyMac Index Mortgage Loan Trust,
Series 2004-AR4, Class 1A
4.09%	08/25/34⁴		1,260,360		1,286,064
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1B
(LIBOR USD 1-Month plus 0.80%)
2.82%	08/25/34¹		18,489		17,688
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
2.88%	09/25/34¹		62,494		56,256
IndyMac Index Mortgage Loan Trust,
Series 2005-AR1, Class 4A1
4.17%	03/25/35⁴		662,328		661,755
IndyMac Index Mortgage Loan Trust,
Series 2005-AR17, Class 3A1
3.99%	09/25/35⁴		4,562,505		3,897,382
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
3.59%	10/25/35⁴		26,092,115		22,790,967
IndyMac Index Mortgage Loan Trust,
Series 2005-AR31, Class 3A1
3.98%	01/25/36⁴		1,141,082		1,092,287
IndyMac Index Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
(LIBOR USD 1-Month plus 0.48%)
2.50%	04/25/35¹		608,017		596,834


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2006-AR19, Class 1A2
3.94%	08/25/36⁴	$	16,154,765	$	13,315,843
IndyMac Index Mortgage Loan Trust,
Series 2006-AR21, Class A1
(LIBOR USD 1-Month plus 0.12%)
2.14%	08/25/36¹		181,352		165,870
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 2A2
(LIBOR USD 1-Month plus 0.20%)
2.22%	10/25/36¹		23,427,211		22,645,012
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1
3.73%	05/25/36⁴		3,919,957		3,657,825
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 2A1
3.98%	05/25/36⁴		27,715,859		22,861,065
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 1A2
4.17%	03/25/37⁴		648,574		625,706
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
3.34%	06/25/37⁴		4,107,962		3,528,159
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
3.80%	11/25/37⁴		2,897,660		2,851,422
IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1997-1,
Class A3
6.61%	02/25/28		83,304		84,172
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 2A1
4.32%	05/25/36⁴		760,757		662,282
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 5A1
4.14%	05/25/36⁴		7,705,093		6,048,019
JPMorgan Mortgage Acquisition Trust,
Series 2005-WMC1, Class M2
(LIBOR USD 1-Month plus 0.66%)
2.68%	09/25/35¹		7,849,987		7,867,122
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A3A
(STEP-reset date 11/25/19)
5.83%	07/25/36		36,164,367		18,719,412
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A6
(STEP-reset date 11/25/19)
6.00%	07/25/36		5,043,034		2,535,173
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class MV1
(LIBOR USD 1-Month plus 0.23%)
2.25%	11/25/36¹		368,449		369,313


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH3, Class A4
(LIBOR USD 1-Month plus 0.21%)
2.23%	03/25/37¹	$	764,109	$	764,958
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class A1
(LIBOR USD 1-Month plus 0.15%)
2.17%	05/25/37¹		54,851,338		52,899,851
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF1
(LIBOR USD 1-Month plus 0.10%)
2.12%	03/25/47¹		141,254		97,194
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF2
(STEP-reset date 11/25/19)
4.21%	03/25/47		9,240,537		7,576,776
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF3
(STEP-reset date 11/25/19)
4.21%	05/25/35		7,777,040		6,376,751
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF4
(STEP-reset date 11/25/19)
4.21%	03/25/47		3,535,018		2,898,494
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
2.30%	03/25/47¹		240,000		212,695
JPMorgan Mortgage Trust, Series 2003-A2,
Class 2A3
4.05%	11/25/33⁴		161,474		159,290
JPMorgan Mortgage Trust, Series 2004-A4,
Class 1A3
4.78%	09/25/34⁴		521,268		548,824
JPMorgan Mortgage Trust, Series 2005-A5,
Class TA1
4.53%	08/25/35⁴		136,471		139,927
JPMorgan Mortgage Trust, Series 2005-S2,
Class 4A3
5.50%	09/25/20		2,113,285		1,937,699
JPMorgan Mortgage Trust, Series 2006-A2,
Class 5A3
4.52%	11/25/33⁴		5,360		5,336
JPMorgan Mortgage Trust, Series 2006-A3,
Class 2A1
4.38%	05/25/36⁴		1,087,822		1,069,703
JPMorgan Mortgage Trust, Series 2006-A3,
Class 3A3
4.19%	05/25/36⁴		757,790		756,104
JPMorgan Mortgage Trust, Series 2006-A4,
Class 1A1
4.51%	06/25/36⁴		614,360		555,968


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2006-A4,
Class 1A4
4.51%	06/25/36⁴	$	1,980,501	$	1,825,004
JPMorgan Mortgage Trust, Series 2006-A5,
Class 2A4
4.45%	08/25/36⁴		554,205		488,800
JPMorgan Mortgage Trust, Series 2007-A1,
Class 5A2
4.63%	07/25/35⁴		1,749,367		1,796,029
JPMorgan Mortgage Trust, Series 2007-A3,
Class 2A3
4.33%	05/25/37⁴		2,729,370		2,637,428
JPMorgan Mortgage Trust, Series 2007-A3,
Class 3A2
4.16%	05/25/37⁴		443,505		439,580
JPMorgan Mortgage Trust, Series 2007-A4,
Class 1A1
4.24%	06/25/37⁴		4,026,775		3,773,234
JPMorgan Mortgage Trust, Series 2007-A4,
Class 2A3
4.53%	06/25/37⁴		609,196		566,005
JPMorgan Resecuritization Trust,
Series 2015-1, Class 3A1
(LIBOR USD 1-Month plus 0.19%)
2.34%	12/27/46^1,2		9,679,333		9,517,574
Lehman XS Trust, Series 2005-5N,
Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
2.32%	11/25/35¹		10,366,532		10,350,549
Lehman XS Trust, Series 2005-7N,
Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
2.56%	12/25/35¹		457,168		441,230
Lehman XS Trust, Series 2006-12N,
Class A31A
(LIBOR USD 1-Month plus 0.20%)
2.22%	08/25/46¹		17,867,347		17,050,927
Lehman XS Trust, Series 2006-13,
Class 1A2
(LIBOR USD 1-Month plus 0.34%)
2.36%	09/25/36¹		2,379,912		2,419,668
Lehman XS Trust, Series 2006-14N,
Class 3A2
(LIBOR USD 1-Month plus 0.24%)
2.26%	08/25/36¹		62,416		61,089
Lehman XS Trust, Series 2006-5,
Class 1A1A
(LIBOR USD 1-Month plus 0.21%)
2.23%	04/25/36¹		33,622,112		31,946,850
Lehman XS Trust, Series 2006-8,
Class 1A1A
(LIBOR USD 1-Month plus 0.16%)


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
2.18%	06/25/36¹	$	39,663,719	$	35,113,437
Lehman XS Trust, Series 2006-9,
Class A1B
(LIBOR USD 1-Month plus 0.16%)
2.18%	05/25/46¹		548,682		640,070
Lehman XS Trust, Series 2007-4N,
Class 1A3
(LIBOR USD 1-Month plus 0.24%)
2.26%	03/25/47¹		26,961,828		24,509,571
Long Beach Mortgage Loan Trust,
Series 2004-4, Class M1
(LIBOR USD 1-Month plus 0.90%)
2.92%	10/25/34¹		42,328		42,428
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
4.26%	01/25/34⁴		37,079		37,533
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
4.27%	11/25/33⁴		1,056,529		1,063,129
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
4.73%	11/21/34⁴		4,066,079		4,194,264
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 9A1
4.39%	10/25/34⁴		406,025		408,416
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
3.63%	06/25/34⁴		250		245
MASTR Adjustable Rate Mortgages Trust,
Series 2004-8, Class 2A1
4.41%	09/25/34⁴		3,367,189		3,347,761
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 5A1
4.58%	05/25/36⁴		7,248,512		5,617,834
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.15%)
2.17%	11/25/36¹		15,339,042		7,494,085
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.21%)
2.23%	11/25/36¹		4,260,845		2,115,947
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
(LIBOR USD 1-Month plus 0.21%)
2.23%	05/25/37¹		35,472,986		34,392,724
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.64%	10/25/32⁴		18,040		18,721


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mellon Residential Funding Corp. Mortgage
Pass-Through Certificates,
Series 2001-TBC1, Class A1
(LIBOR USD 1-Month plus 0.70%)
2.73%	11/15/31¹	$	1,344,730	$	1,361,462
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-1, Class A1
(LIBOR USD 1-Month plus 0.14%)
2.16%	04/25/37¹		184,610,600		119,498,164
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-1, Class A2B
(LIBOR USD 1-Month plus 0.17%)
2.19%	04/25/37¹		35,225,066		19,851,371
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
2.27%	04/25/37¹		73,790,943		42,290,379
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
2.26%	05/25/37¹		36,241,101		23,604,536
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-2, Class A2D
(LIBOR USD 1-Month plus 0.32%)
2.34%	05/25/37¹		17,897,429		11,831,733
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
2.20%	06/25/37¹		14,908,945		12,028,296
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
2.27%	06/25/37¹		19,912,458		16,429,520
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.12%)
2.14%	07/25/37¹		32,066,630		21,731,215
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-4, Class 2A3
(LIBOR USD 1-Month plus 0.16%)
2.18%	07/25/37¹		23,505,636		15,888,887
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
4.41%	10/25/33⁴		413,697		419,504
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
4.38%	08/25/34⁴		1,541,270		1,552,922
Merrill Lynch Mortgage Investors Trust,
Series 2005-A10, Class A
(LIBOR USD 1-Month plus 0.21%)
2.23%	02/25/36¹		10,700		10,593


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2005-A6, Class 2A4
(LIBOR USD 1-Month plus 0.34%)
2.36%	08/25/35¹	$	333,064	$	334,417
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2B
(STEP-reset date 11/25/19)
5.61%	03/25/37		31,222,352		10,380,747
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2D
(STEP-reset date 11/25/19)
5.90%	03/25/37		24,436,661		8,124,457
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%)
4.15%	08/25/36¹		4,837,419		4,818,149
Mid-State Capital Corp., Series 2004-1,
Class A
6.01%	08/15/37		289,916		313,662
Mid-State Capital Corp., Series 2005-1,
Class A
5.75%	01/15/40		14,591,723		15,961,223
Mid-State Capital Corp., Series 2006-1,
Class A
5.79%	10/15/40²		10,992,387		12,233,142
Mid-State Trust XI, Series 2011, Class A1
4.86%	07/15/38		239,674		254,883
Morgan Stanley ABS Capital I Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.30%)
2.32%	12/25/35¹		2,105,353		2,102,615
Morgan Stanley Mortgage Loan Trust,
Series 2004-11AR, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
2.34%	01/25/35¹		138,670		137,558
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
4.01%	09/25/34⁴		856,616		848,807
Morgan Stanley Mortgage Loan Trust,
Series 2005-2AR, Class A
(LIBOR USD 1-Month plus 0.26%)
2.28%	04/25/35¹		2,810,575		2,812,314
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/36⁴		799,856		326,943
Morgan Stanley Mortgage Loan Trust,
Series 2007-6XS, Class 1A2S
(STEP-reset date 11/25/19)
5.50%	02/25/47		139,066		137,999


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust,
Series 2007-7AX, Class 2A1
(LIBOR USD 1-Month plus 0.12%)
2.14%	04/25/37¹	$	5,487,606	$	2,533,497
Morgan Stanley Resecuritization Trust,
Series 2013-R7, Class 2B
(1.00 X LIBOR USD 1-Month plus 0.24%, 11.50% Cap)
2.63%	12/26/46^1,2		17,325,595		17,271,295
Morgan Stanley Resecuritization Trust,
Series 2013-R9, Class 3A
4.05%	06/26/46^2,4		484,762		486,728
Morgan Stanley Resecuritization Trust,
Series 2014-R2, Class 1A
(Federal Reserve US 12-Month Cumulative
Average plus 0.82%)
3.30%	12/26/46^1,2		9,712,495		9,682,608
Morgan Stanley Resecuritization Trust,
Series 2014-R3, Class 4A
(Federal Reserve US 12-Month Cumulative
Average plus 0.98%)
3.46%	07/26/46^1,2		3,262,728		3,264,212
Morgan Stanley Resecuritization Trust,
Series 2014-R4, Class 2A
4.26%	08/26/34^2,4		1,655,127		1,686,447
Morgan Stanley Resecuritization Trust,
Series 2014-R8, Class 3A
(Federal Reserve US 12-Month Cumulative
Average plus 0.75%)
2.86%	06/26/47^1,2		20,895,923		20,668,333
Morgan Stanley Resecuritization Trust,
Series 2014-R8, Class 4A
(Federal Reserve US 12-Month Cumulative
Average plus 0.96%)
3.44%	06/26/47^1,2		6,285,350		6,293,726
Morgan Stanley Resecuritization Trust,
Series 2015-R4, Class 2A
(LIBOR USD 1-Month plus 0.40%)
2.94%	08/26/47^1,2		10,364,265		10,316,192
MortgageIT Trust, Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
2.66%	02/25/35¹		5,942,316		6,010,697
MortgageIT Trust, Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
2.30%	10/25/35¹		7,202,348		7,267,023
MortgageIT Trust, Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.52%)
2.54%	12/25/35¹		1,180,622		1,178,307
Nationstar Home Equity Loan Trust,
Series 2006-B, Class AV4
(LIBOR USD 1-Month plus 0.28%)
2.30%	09/25/36¹		10,179,653		10,133,866


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
2.27%	06/25/37¹	$	8,265,000	$	7,982,321
New Century Home Equity Loan Trust,
Series 2003-6, Class M1
(LIBOR USD 1-Month plus 1.08%)
3.10%	01/25/34¹		140,688		142,292
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
2.69%	03/25/35¹		642,956		646,000
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
2.24%	02/25/36¹		298,635		293,646
Nomura Home Equity Loan, Inc.,
Series 2006-HE2, Class A4
(LIBOR USD 1-Month plus 0.27%)
2.29%	03/25/36¹		23,335,095		23,310,989
Nomura Resecuritization Trust,
Series 2011-4RA, Class 2A1
3.73%	06/26/37^2,4		679,074		684,249
Nomura Resecuritization Trust,
Series 2013-1R, Class 2A1
(LIBOR USD 1-Month plus 0.14%)
2.65%	11/26/36^1,2		4,407,316		4,385,171
Nomura Resecuritization Trust,
Series 2014-4R, Class 1A1
4.03%	01/26/36^2,4		597,810		600,269
Nomura Resecuritization Trust,
Series 2014-6R, Class 2A1
(LIBOR USD 1-Month plus 0.16%)
1.25%	03/26/37^1,2		5,707,583		5,680,058
Nomura Resecuritization Trust,
Series 2014-7R, Class 4A1
(LIBOR USD 1-Month plus 0.13%)
2.28%	01/26/37^1,2		8,864,127		8,814,166
NRPL, Series 2019-3A, Class A1
3.00%	06/25/59^2,4,†		52,500,000		52,419,020
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/29⁴		21,460,028		11,012,411
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.22%)
2.24%	01/25/36¹		17,933,485		17,607,618
Ownit Mortgage Loan Trust,
Series 2006-4, Class A1
(LIBOR USD 1-Month plus 0.14%)
2.16%	05/25/37¹		21,849,860		21,150,125


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Ownit Mortgage Loan Trust,
Series 2006-4, Class A2D
(LIBOR USD 1-Month plus 0.24%)
2.26%	05/25/37¹	$	22,037,902	$	18,838,891
Popular ABS Mortgage Pass-Through Trust,
Series 2005-6, Class A5
(STEP-reset date 11/25/19)
3.72%	01/25/36		22,910,000		20,718,533
Popular ABS Mortgage Pass-Through Trust,
Series 2006-D, Class A3
(LIBOR USD 1-Month plus 0.26%)
2.28%	11/25/36¹		70,580		69,899
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
2.33%	06/25/47¹		23,015,500		20,967,776
Popular ABS, Inc., Series 1998-1,
Class A2 (STEP-reset date 11/25/19)
7.48%	11/25/29		48,147		47,893
Provident Funding Mortgage Loan Trust,
Series 2003-1, Class A
4.88%	08/25/33⁴		484,802		501,963
Residential Accredit Loans Trust,
Series 2005-QA12, Class CB1
4.88%	12/25/35⁴		4,501,287		2,971,158
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
4.47%	04/25/35⁴		1,214,604		1,130,654
Residential Accredit Loans Trust,
Series 2005-QA7, Class A1
4.22%	07/25/35⁴		3,889,152		3,376,660
Residential Accredit Loans Trust,
Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.00%)
3.45%	01/25/46¹		6,049,007		5,531,060
Residential Accredit Loans Trust,
Series 2006-QA1, Class A11
4.59%	01/25/36⁴		153,564		135,381
Residential Accredit Loans Trust,
Series 2006-QA1, Class A21
4.91%	01/25/36⁴		15,493,280		14,004,284
Residential Accredit Loans Trust,
Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.19%)
2.20%	08/25/36¹		27,038,668		25,805,307
Residential Accredit Loans Trust,
Series 2006-QS10, Class AV (IO)
0.56%	08/25/36^4,5,6		26,809,198		621,949
Residential Accredit Loans Trust,
Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
2.40%	09/25/36¹	$	256,344	$	201,374
Residential Accredit Loans Trust,
Series 2006-QS2, Class 1AV (IO)
0.47%	02/25/36^4,5,6		88,670,994		1,447,581
Residential Accredit Loans Trust,
Series 2006-QS7, Class AV (IO)
0.71%	06/25/36^4,5,6		45,454,130		1,162,342
Residential Accredit Loans Trust,
Series 2006-QS8, Class AV (IO)
0.78%	08/25/36^4,5,6		109,522,524		3,496,731
Residential Accredit Loans Trust,
Series 2007-QS10, Class AV (IO)
0.47%	09/25/37^4,5,6		78,184,861		1,774,742
Residential Accredit Loans Trust,
Series 2007-QS4, Class 3AV (IO)
0.38%	03/25/37^4,5,6		48,670,086		719,154
Residential Accredit Loans Trust,
Series 2007-QS5, Class AV (IO)
0.27%	03/25/37^4,5,6		58,697,887		556,162
Residential Accredit Loans Trust,
Series 2007-QS6, Class AV (IO)
0.32%	04/25/37^4,5,6		122,429,533		1,734,012
Residential Accredit Loans Trust,
Series 2007-QS7, Class 2AV (IO)
0.39%	06/25/37^4,5,6		40,238,420		601,017
Residential Accredit Loans Trust,
Series 2007-QS8, Class AV (IO)
0.40%	06/25/37^4,5,6		104,932,834		1,977,022
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A2
6.50%	12/25/31		2,477		2,480
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A8
6.50%	11/25/31		36,582		38,820
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%	12/25/31		26,693		17,670
Residential Asset Mortgage Products Trust,
Series 2005-RS8, Class A3
(LIBOR USD 1-Month plus 0.37%)
2.39%	09/25/35¹		813,611		813,647
Residential Asset Mortgage Products Trust,
Series 2005-RZ3, Class M3
(LIBOR USD 1-Month plus 0.55%)
2.57%	09/25/35¹		750,000		754,956
Residential Asset Securities Trust,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
2.35%	04/25/36¹		815,000		808,510
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
4.51%	12/25/34⁴		256,033		255,438


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
4.42%	12/25/34⁴	$	20,818	$	21,187
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
4.45%	12/25/34⁴		471,464		486,763
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%	07/25/36		2,353,309		2,464,425
Residential Funding Mortgage Securities
Trust, Series 2005-SA5, Class 1A
4.09%	11/25/35⁴		5,058,066		4,113,166
Residential Funding Mortgage Securities
Trust, Series 2006-SA3, Class 3A1
4.96%	09/25/36⁴		752,449		722,026
Residential Funding Mortgage Securities
Trust, Series 2006-SA3, Class 4A1
5.38%	09/25/36⁴		356,720		287,587
Residential Funding Mortgage Securities
Trust, Series 2006-SA4, Class 2A1
5.29%	11/25/36⁴		97,996		94,704
Residential Funding Mortgage Securities
Trust, Series 2007-SA2, Class 2A2
4.90%	04/25/37⁴		1,949,950		1,849,346
Saxon Asset Securities Trust, Series 2001-2,
Class AF6 (STEP-reset date 11/25/19)
6.81%	06/25/16		3,243		3,771
Saxon Asset Securities Trust, Series 2007-1,
Class A2C
(LIBOR USD 1-Month plus 0.15%)
2.17%	01/25/47¹		6,329,369		6,236,207
Saxon Asset Securities Trust, Series 2007-3,
Class 2A3
(LIBOR USD 1-Month plus 0.40%)
2.42%	09/25/47¹		32,174,000		29,495,675
Securitized Asset-Backed Receivables LLC
Trust, Series 2006-CB1, Class AF2
(STEP-reset date 11/25/19)
3.31%	01/25/36		7,833,327		6,795,926
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR1, Class A2A
(LIBOR USD 1-Month plus 0.11%)
2.13%	02/25/37¹		6,649,942		3,681,549
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR1, Class A2B
(LIBOR USD 1-Month plus 0.27%)
2.29%	02/25/37¹		32,919,294		18,891,161
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
2.25%	02/25/37¹		44,515,683		25,659,948


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR5, Class A2A
(LIBOR USD 1-Month plus 0.13%)
2.15%	05/25/37¹	$	19,169,321	$	14,750,079
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR5, Class A2C
(LIBOR USD 1-Month plus 0.35%)
2.37%	05/25/37¹		14,457,336		11,476,349
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
2.17%	12/25/36¹		35,540,878		20,678,806
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-NC2, Class A2B
(LIBOR USD 1-Month plus 0.14%)
2.16%	01/25/37¹		18,903,954		16,029,270
Sequoia Mortgage Trust, Series 2003-2,
Class A1
(LIBOR USD 1-Month plus 0.66%)
2.70%	06/20/33¹		734		714
Sequoia Mortgage Trust, Series 2003-8,
Class A1
(LIBOR USD 1-Month plus 0.64%)
2.68%	01/20/34¹		1,579		1,541
Sequoia Mortgage Trust, Series 2004-3,
Class A
(LIBOR USD 6-Month plus 0.50%)
3.13%	05/20/34¹		372,880		368,948
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
2.26%	12/25/36^1,2		15,668,987		10,397,147
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
2.69%	06/25/35¹		23,491,956		23,526,001
STRU JPM-2272 Coll
2.19%	10/01/29		122,500,000		122,389,750
STRU JPM-2370 Coll
2.36%	11/01/29		140,324,000		141,376,430
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-1, Class 3A3
4.70%	02/25/34⁴		22,733		23,573
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-12, Class 2A
4.16%	09/25/34⁴		7,064,123		7,067,692
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 1A
4.27%	10/25/34⁴		169,843		164,839


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 2A
4.39%	10/25/34⁴	$	8,075,457	$	8,135,956
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-15, Class A
4.29%	10/25/34⁴		2,369,332		2,298,410
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-17, Class A1
2.91%	11/25/34⁴		38,172		36,485
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-20, Class 1A2
4.12%	01/25/35⁴		658,722		661,380
Structured Adjustable Rate Mortgage Loan
Trust, Series 2005-12, Class 3A1
4.47%	06/25/35⁴		2,387,147		2,375,106
Structured Adjustable Rate Mortgage Loan
Trust, Series 2005-18, Class 7A3
3.98%	09/25/35⁴		16,954,003		14,291,090
Structured Adjustable Rate Mortgage Loan
Trust, Series 2006-12, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
2.18%	01/25/37¹		33,490,415		31,880,956
Structured Adjustable Rate Mortgage Loan
Trust, Series 2007-9, Class 2A1
4.10%	10/25/47⁴		788,634		707,034
Structured Asset Mortgage Investments II
Trust, Series 2005-AR8, Class A1A
(LIBOR USD 1-Month plus 0.28%)
2.30%	02/25/36¹		627,734		608,151
Structured Asset Mortgage Investments II
Trust, Series 2006-AR8, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
2.14%	10/25/36¹		23,276,165		21,756,965
Structured Asset Mortgage Investments II
Trust, Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.50%)
3.95%	08/25/47¹		141,873,579		141,075,569
Structured Asset Securities Corp. Mortgage
Loan Trust, Series 2006-WF2, Class A4
(LIBOR USD 1-Month plus 0.31%)
2.33%	07/25/36¹		2,332,851		2,349,724
Structured Asset Securities Corp. Mortgage
Loan Trust, Series 2006-WF3, Class A1
(LIBOR USD 1-Month plus 0.14%)
2.16%	09/25/36¹		1,387,139		1,383,229
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 1997-2, Class 2A4
7.25%	03/28/30		1,073		1,144


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 2003-26A, Class 3A5
4.28%	09/25/33⁴	$	146,486	$	149,715
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 2003-34A, Class 5A4
4.51%	11/25/33⁴		1,280,543		1,326,371
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 2004-23XS, Class 2A1
(LIBOR USD 1-Month plus 0.30%)
2.32%	01/25/35¹		1,761,998		1,755,241
Structured Asset Securities Corp. Trust,
Series 2005-5, Class 2A4
5.50%	04/25/35		2,687,345		2,625,440
Suntrust Adjustable Rate Mortgage Loan
Trust, Series 2007-3, Class 1A1
4.85%	06/25/37⁴		2,805,346		2,549,589
Thornburg Mortgage Securities Trust,
Series 2004-4, Class 2A
4.06%	12/25/44⁴		121,789		122,939
Wachovia Mortgage Loan Trust,
Series 2006-ALT1, Class A3
(LIBOR USD 1-Month plus 0.23%)
2.25%	01/25/37¹		16,688,953		10,872,416
Wachovia Mortgage Loan Trust,
Series 2006-AMN1, Class A3
(LIBOR USD 1-Month plus 0.24%)
2.26%	08/25/36¹		19,263,702		11,481,226
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
2.13%	01/25/37¹		3,983,846		2,612,136
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A3
(LIBOR USD 1-Month plus 0.15%)
2.17%	01/25/37¹		36,775,379		24,281,054
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
(LIBOR USD 1-Month plus 0.23%)
2.25%	01/25/37¹		12,344,874		8,262,993
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
4.71%	06/25/33⁴		3,602,747		3,729,142
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR3, Class A2
4.50%	06/25/34⁴		37,182		38,364
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.42%)
2.44%	05/25/44¹		1,241,072		1,261,971


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-3, Class 2A3
(LIBOR USD 1-Month plus 0.55%)
2.57%	05/25/35¹	$	2,769,517	$	2,294,146
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
2.52%	06/25/35¹		5,541,394		4,907,920
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A
(LIBOR USD 1-Month plus 0.64%)
2.66%	01/25/45¹		763,234		752,838
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR11, Class A1A
(LIBOR USD 1-Month plus 0.32%)
2.34%	08/25/45¹		37,548,342		37,258,368
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
3.88%	10/25/35⁴		1,222,046		1,217,248
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.29%)
2.31%	10/25/45¹		5,670,735		5,638,780
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
3.99%	12/25/35⁴		4,038,899		3,978,982
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A1
(LIBOR USD 1-Month plus 0.26%)
2.28%	11/25/45¹		29,763,040		29,249,610
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR17, Class A1A1
(LIBOR USD 1-Month plus 0.27%)
2.29%	12/25/45¹		14,137,512		14,469,523
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR19, Class A1A2
(LIBOR USD 1-Month plus 0.29%)
2.31%	12/25/45¹		15,717,290		15,559,187
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 1A1A
(LIBOR USD 1-Month plus 0.33%)
2.35%	01/25/45¹		14,796,726		14,705,275
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.31%)
2.33%	01/25/45¹		1,228,660		1,205,378
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A23
(LIBOR USD 1-Month plus 0.38%)
2.40%	01/25/45¹		4,362,963		4,362,419


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.46%)
2.48%	04/25/45¹	$	160,467	$	159,903
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR1, Class 2A1A
(Federal Reserve US 12-Month Cumulative
Average plus 1.07%)
3.52%	01/25/46¹		31,237,858		31,052,987
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR10, Class 1A4
3.72%	09/25/36⁴		13,169,130		12,765,998
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
3.72%	12/25/36⁴		778,959		752,095
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative
Average plus 1.00%)
3.45%	02/25/46¹		17,161,884		17,572,774
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative
Average plus 0.94%)
3.42%	05/25/46¹		5,761,688		5,926,824
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative
Average plus 0.98%)
3.43%	07/25/46¹		12,479,961		12,219,176
WaMu Mortgage Pass-Through Certificates,
Series 2007-1, Class 2A1
6.00%	01/25/22		205,146		196,050
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
3.99%	07/25/37⁴		288,539		273,983
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumulative
Average plus 0.70%)
3.15%	02/25/47¹		14,386,375		13,763,265
WaMu MSC Mortgage Pass-Through
Certificates, Series 2002-AR1, Class 1A1
4.30%	11/25/30⁴		324,810		335,146
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		179,333		177,773
Wells Fargo Mortgage-Backed Securities
Trust, Series 2003-M, Class A1
4.89%	12/25/33⁴		764,979		799,015
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-L, Class A8
4.94%	07/25/34⁴		147,991		148,715


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-S, Class A1
4.92%	09/25/34⁴	$	1,206,434	$	1,257,497
Wells Fargo Mortgage-Backed Securities
Trust, Series 2005-AR10, Class 2A14
4.97%	06/25/35⁴		627,150		628,049
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-10, Class A4
6.00%	08/25/36		1,527,522		1,537,604
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-2, Class 2A3
5.50%	03/25/36		181,978		179,501
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR1, Class 1A1
5.18%	03/25/36⁴		2,935,807		2,947,757


					5,388,926,497

U.S. Agency Commercial
Mortgage-Backed — 1.41%
Fannie Mae-Aces, Series 2011-M5,
Class X (IO)
1.21%	07/25/21⁴		95,144,082		1,421,186
Fannie Mae-Aces, Series 2015-M10,
Class A2
3.09%	04/25/27⁴		122,515,000		130,612,764
Fannie Mae-Aces, Series 2016-M13,
Class FA
(LIBOR USD 1-Month plus 0.67%)
2.97%	11/25/23¹		20,867,788		20,868,858
Fannie Mae-Aces, Series 2017-M13,
Class A2
3.04%	09/25/27⁴		100,000,000		105,553,635
Fannie Mae-Aces, Series 2018-M1,
Class A2
3.08%	12/25/27⁴		810,000		861,637
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K082,
Class A2
3.92%	09/25/28⁴		180,000,000		204,815,700
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K083,
Class A2
4.05%	09/25/28⁴		175,000,000		200,793,766
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K084,
Class A2
3.78%	10/25/28⁴		199,335,000		224,130,699
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K1510,
Class A3
3.79%	01/25/34		9,400,000		10,812,882


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K154,
Class A2
3.42%	04/25/32	$	750,000	$	832,399
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K154,
Class A3
3.46%	11/25/32		72,550,000		80,713,935
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K157,
Class A3
3.99%	08/25/33⁴		250,000		292,763
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF03,
Class A
(LIBOR USD 1-Month plus 0.34%)
2.43%	01/25/21¹		72,264		72,354
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF15,
Class A
(LIBOR USD 1-Month plus 0.67%)
2.76%	02/25/23¹		33,883,534		33,888,596
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF17,
Class A
(LIBOR USD 1-Month plus 0.55%)
2.64%	03/25/23¹		6,908,239		6,921,192
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT1
2.93%	04/25/46⁴		30,529,063		30,869,329
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT2
2.95%	12/25/47⁴		66,129,706		67,048,654
NCUA Guaranteed Notes Trust,
Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
2.59%	03/09/21¹		1,240,795		1,241,403


					1,121,751,752

U.S. Agency Mortgage-Backed — 33.61%
Fannie Mae Grantor Trust, Series 2017-T1,
Class A
2.90%	06/25/27		62,797,202		65,434,817
Fannie Mae Pool (TBA)
2.50%	10/01/32		125,950,000		127,032,383
2.50%	11/01/49		397,200,000		395,112,567
3.00%	11/25/42		3,815,725,000		3,871,172,254
3.50%	10/25/25		42,875,000		44,342,129
4.50%	11/01/47		39,225,000		41,323,541
5.00%	11/01/49		200,175,000		214,546,934


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 190375
5.50%	11/01/36	$	803,641	$	908,975
Fannie Mae Pool 190396
4.50%	06/01/39		12,478		13,511
Fannie Mae Pool 254232
6.50%	03/01/22		7,371		7,657
Fannie Mae Pool 313182
7.50%	10/01/26		1,077		1,166
Fannie Mae Pool 394854
6.50%	05/01/27		907		1,011
Fannie Mae Pool 467243
4.55%	01/01/21		2,404,110		2,452,699
Fannie Mae Pool 468128
4.33%	07/01/21		1,882,004		1,941,937
Fannie Mae Pool 468587
3.84%	08/01/21		613,350		629,193
Fannie Mae Pool 545191
7.00%	09/01/31		2,910		3,246
Fannie Mae Pool 545756
7.00%	06/01/32		675		782
Fannie Mae Pool 606108
7.00%	03/01/31		2,579		2,594
Fannie Mae Pool 613142
7.00%	11/01/31		9,065		10,484
Fannie Mae Pool 625666
7.00%	01/01/32		8,763		9,860
Fannie Mae Pool 633698
7.50%	02/01/31		31,533		37,081
Fannie Mae Pool 655928
7.00%	08/01/32		138,068		163,963
Fannie Mae Pool 725257
5.50%	02/01/34		925,232		1,046,028
Fannie Mae Pool 734830
4.50%	08/01/33		13,139		14,067
Fannie Mae Pool 734922
4.50%	09/01/33		1,851,454		1,989,928
Fannie Mae Pool 735207
7.00%	04/01/34		19,073		22,184
Fannie Mae Pool 735224
5.50%	02/01/35		3,681,325		4,164,455
Fannie Mae Pool 735646
4.50%	07/01/20		44,794		46,159
Fannie Mae Pool 735651
4.50%	06/01/35		4,333,802		4,605,872
Fannie Mae Pool 735686
6.50%	12/01/22		1,019		1,051
Fannie Mae Pool 740297
5.50%	10/01/33		1,917		2,168


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 745147
4.50%	12/01/35	$	26,417	$	28,586
Fannie Mae Pool 745592
5.00%	01/01/21		5		6
Fannie Mae Pool 753168
4.50%	12/01/33		7,270		7,848
Fannie Mae Pool 815422
4.50%	02/01/35		32,994		35,584
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.58%)
4.20%	11/01/35¹		182,436		192,857
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
4.79%	11/01/35¹		3,956		4,115
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
4.55%	12/01/35¹		5,051		5,257
Fannie Mae Pool 888412
7.00%	04/01/37		246,202		275,730
Fannie Mae Pool 889125
5.00%	12/01/21		104,680		105,092
Fannie Mae Pool 889184
5.50%	09/01/36		3,502,596		3,963,173
Fannie Mae Pool 918445
(LIBOR USD 12-Month plus 1.57%)
4.57%	05/01/37¹		6,870		7,160
Fannie Mae Pool 933033
6.50%	10/01/37		117,134		128,862
Fannie Mae Pool AB1613
4.00%	10/01/40		34,439,750		36,975,136
Fannie Mae Pool AB1803
4.00%	11/01/40		39,056,319		42,229,482
Fannie Mae Pool AB2127
3.50%	01/01/26		16,905,048		17,481,861
Fannie Mae Pool AB3679
3.50%	10/01/41		13,620,143		14,471,417
Fannie Mae Pool AB3864
3.50%	11/01/41		11,362,203		12,005,558
Fannie Mae Pool AB4045
3.50%	12/01/41		12,094,298		12,786,335
Fannie Mae Pool AB4262
3.50%	01/01/32		7,655,008		7,963,303
Fannie Mae Pool AB9703
3.50%	06/01/43		30,462,953		31,928,498
Fannie Mae Pool AC8279
4.50%	08/01/39		19,386		20,990
Fannie Mae Pool AD0849
4.25%	02/01/20		13,954,785		13,996,541


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AE0482
5.50%	01/01/38	$	8,820,949	$	9,919,953
Fannie Mae Pool AE0600
3.85%	11/01/20		14,156,916		14,402,549
Fannie Mae Pool AE0605
4.65%	07/01/20		4,067,010		4,108,292
Fannie Mae Pool AE0918
3.67%	10/01/20		2,290,166		2,290,322
Fannie Mae Pool AH3780
4.00%	02/01/41		15,583,183		16,817,083
Fannie Mae Pool AJ1404
4.00%	09/01/41		22,828,682		24,473,614
Fannie Mae Pool AL0209
4.50%	05/01/41		22,861,946		25,208,327
Fannie Mae Pool AL0290
4.45%	04/01/21		16,281,313		16,871,454
Fannie Mae Pool AL0834
4.07%	10/01/21		19,115,198		19,866,127
Fannie Mae Pool AL0851
6.00%	10/01/40		14,478,643		16,675,130
Fannie Mae Pool AL1445
4.36%	11/01/21		55,466,079		56,851,809
Fannie Mae Pool AL2669
4.46%	09/01/21		14,200,812		14,439,238
Fannie Mae Pool AL4597
4.00%	01/01/44		58,597,447		63,552,184
Fannie Mae Pool AL6829
2.83%	05/01/27		2,040,143		2,154,867
Fannie Mae Pool AL8037
4.50%	07/01/34		246,851		265,689
Fannie Mae Pool AL8356
4.50%	07/01/34		654,142		701,514
Fannie Mae Pool AL8960
4.50%	05/01/46		58,126,083		62,609,250
Fannie Mae Pool AL9106
4.50%	02/01/46		75,199,422		80,999,427
Fannie Mae Pool AL9217
3.50%	10/01/46		38,723,333		40,734,421
Fannie Mae Pool AL9472
4.00%	10/01/43		11,175,535		11,934,608
Fannie Mae Pool AL9722
4.50%	08/01/46		251,507,793		270,906,166
Fannie Mae Pool AL9846
4.50%	02/01/47		252,089,020		271,532,223
Fannie Mae Pool AM4869
4.07%	12/01/25		1,805,340		2,006,075
Fannie Mae Pool AM6057
3.44%	08/01/26		6,750,000		7,362,134


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AM6667
3.39%	09/01/26	$	3,461,000	$	3,738,417
Fannie Mae Pool AM7016
3.47%	10/01/29		4,910,708		5,405,977
Fannie Mae Pool AM8036
2.66%	03/01/27		1,965,000		2,040,383
Fannie Mae Pool AM8709
2.82%	04/01/27		6,227,967		6,525,850
Fannie Mae Pool AM8765
2.83%	06/01/27		4,000,000		4,203,705
Fannie Mae Pool AM8958
2.97%	06/01/30		5,500,000		5,857,769
Fannie Mae Pool AM8969
3.27%	07/01/30		12,659,733		13,791,377
Fannie Mae Pool AM9440
3.05%	07/01/27		47,705,000		50,840,822
Fannie Mae Pool AM9602
3.57%	08/01/27		1,719,892		1,883,769
Fannie Mae Pool AM9623
3.34%	07/01/30		1,420,000		1,557,828
Fannie Mae Pool AM9749
3.48%	11/01/30		5,333,758		5,882,994
Fannie Mae Pool AM9954
3.22%	11/01/27		3,152,644		3,387,256
Fannie Mae Pool AN0153
3.36%	11/01/30		10,485,735		11,500,875
Fannie Mae Pool AN0154
3.36%	11/01/30		14,866,762		16,306,034
Fannie Mae Pool AN0648
3.28%	01/01/28		13,762,524		14,846,138
Fannie Mae Pool AN1161
3.05%	04/01/28		435,000		465,575
Fannie Mae Pool AN1427
2.96%	04/01/28		4,059,586		4,304,086
Fannie Mae Pool AN1482
3.03%	05/01/31		5,324,293		5,684,401
Fannie Mae Pool AN2228
2.52%	08/01/26		15,985,000		16,427,866
Fannie Mae Pool AN2248
2.48%	08/01/26		51,160,000		52,446,700
Fannie Mae Pool AN2271
2.33%	08/01/26		2,152,000		2,185,937
Fannie Mae Pool AN2371
2.18%	09/01/26		35,391,355		35,809,347
Fannie Mae Pool AN4429
3.22%	01/01/27		23,130,000		24,919,885
Fannie Mae Pool AN4435
3.22%	01/01/27		29,420,000		31,696,628


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AN5718
3.24%	06/01/29	$	3,805,000	$	4,131,637
Fannie Mae Pool AN5719
3.24%	06/01/29		3,405,000		3,697,300
Fannie Mae Pool AN6459
3.21%	08/01/29		773,823		835,984
Fannie Mae Pool AN9814
3.63%	08/01/28		134,178,050		148,219,293
Fannie Mae Pool AN9827
3.62%	08/01/28		37,930,000		42,434,874
Fannie Mae Pool AS8605
3.00%	01/01/32		284,852		293,242
Fannie Mae Pool AS8663
4.50%	01/01/47		44,048,064		46,779,379
Fannie Mae Pool AS9830
4.00%	06/01/47		191,769,064		201,581,463
Fannie Mae Pool AS9972
4.00%	07/01/47		164,618,472		172,467,563
Fannie Mae Pool AU3739
3.50%	08/01/43		40,397,242		42,814,659
Fannie Mae Pool BD2450
3.50%	01/01/47		168,001		174,258
Fannie Mae Pool BL0242
3.82%	11/01/30		250,000		285,841
Fannie Mae Pool BL0654
3.78%	01/01/29		39,164,000		44,124,242
Fannie Mae Pool BL0690
3.90%	12/01/30		17,950,000		20,810,541
Fannie Mae Pool BL0691
3.90%	12/01/30		34,968,000		40,540,556
Fannie Mae Pool BL0702
3.86%	11/01/28		39,100,000		44,406,003
Fannie Mae Pool BL0718
3.81%	01/01/29		42,300,000		48,173,829
Fannie Mae Pool BL0937
3.83%	12/01/28		93,748,178		104,816,912
Fannie Mae Pool BL4304
2.24%	09/01/29		120,195,000		120,934,728
Fannie Mae Pool BM4299
3.00%	03/01/30		69,132,301		70,725,640
Fannie Mae Pool BM4304
3.00%	02/01/30		98,168,071		100,407,530
Fannie Mae Pool BM5164
4.00%	11/01/48		113,119,818		118,775,017
Fannie Mae Pool CA1187
3.50%	02/01/48		195,400,569		202,255,319
Fannie Mae Pool CA1711
4.50%	05/01/48		39,694,447		42,019,355


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA2208
4.50%	08/01/48	$	98,265,199	$	103,682,815
Fannie Mae Pool CA2327
4.00%	09/01/48		66,190,215		70,868,131
Fannie Mae Pool FN0001
3.77%	12/01/20		31,043,387		31,573,823
Fannie Mae Pool MA1146
4.00%	08/01/42		58,094,566		61,898,990
Fannie Mae Pool MA1177
3.50%	09/01/42		67,558,393		70,803,125
Fannie Mae Pool MA1404
3.50%	04/01/43		5,220		5,471
Fannie Mae Pool MA1527
3.00%	08/01/33		63,524,637		65,512,679
Fannie Mae Pool MA1561
3.00%	09/01/33		39,969,258		41,220,601
Fannie Mae Pool MA1582
3.50%	09/01/43		20,294,580		21,271,356
Fannie Mae Pool MA1584
3.50%	09/01/33		64,410,142		67,191,681
Fannie Mae Pool MA1608
3.50%	10/01/33		44,225,130		46,134,983
Fannie Mae Pool MA2960
4.00%	04/01/47		105,714,191		110,875,968
Fannie Mae Pool MA3027
4.00%	06/01/47		78,376,514		82,201,310
Fannie Mae Pool MA3029
3.00%	06/01/32		61,994,731		63,485,472
Fannie Mae Pool MA3182
3.50%	11/01/47		117,716,311		121,845,578
Fannie Mae Pool MA3210
3.50%	12/01/47		207,176,076		214,767,159
Fannie Mae Pool MA3238
3.50%	01/01/48		170,703,400		176,528,192
Fannie Mae Pool MA3276
3.50%	02/01/48		72,622,669		74,987,249
Fannie Mae Pool MA3305
3.50%	03/01/48		82,950,830		85,844,576
Fannie Mae Pool MA3332
3.50%	04/01/48		271,937,529		281,422,873
Fannie Mae Pool MA3364
3.50%	05/01/33		32,810,065		33,977,243
Fannie Mae Pool MA3537
4.50%	12/01/48		82,431,715		87,071,719
Fannie Mae REMICS, Series 1991-65,
Class Z
6.50%	06/25/21		765		778


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 1992-123,
Class Z
7.50%	07/25/22	$	447	$	469
Fannie Mae REMICS, Series 1993-132,
Class D (PO)
0.00%	10/25/22¹¹		16,492		16,004
Fannie Mae REMICS, Series 1993-29,
Class PK
7.00%	03/25/23		1,617		1,681
Fannie Mae REMICS, Series 1994-55,
Class H
7.00%	03/25/24		7,767		8,428
Fannie Mae REMICS, Series 1997-34,
Class SA
(Cost of Funds 11th District of San Francisco * 5.542, 37.68% Cap)
6.40%	10/25/23¹		2,159		2,571
Fannie Mae REMICS, Series 1998-37,
Class VZ
6.00%	06/17/28		5,671		5,968
Fannie Mae REMICS, Series 1999-11,
Class Z
5.50%	03/25/29		28,386		29,650
Fannie Mae REMICS, Series 2001-52,
Class YZ
6.50%	10/25/31		114,259		131,234
Fannie Mae REMICS, Series 2005-104,
Class NI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
4.68%	03/25/35¹		4,195,710		115,954
Fannie Mae REMICS, Series 2005-117,
Class LC
5.50%	11/25/35		5,365,663		5,566,898
Fannie Mae REMICS, Series 2005-122,
Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.58%	11/25/35¹		66,707		8,753
Fannie Mae REMICS, Series 2005-92,
Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
4.08%	10/25/25¹		4,492,251		403,468
Fannie Mae REMICS, Series 2006-4,
Class WE
4.50%	02/25/36		73,883		81,334
Fannie Mae REMICS, Series 2006-49,
Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
20.93%	04/25/36¹		2,009,937		3,095,623
Fannie Mae REMICS, Series 2007-17,
Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
4.38%	03/25/37¹		1,529,997		203,006


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2007-34,
Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
4.09%	04/25/37¹	$	3,560,616	$	668,500
Fannie Mae REMICS, Series 2007-64,
Class FA
(LIBOR USD 1-Month plus 0.47%)
2.49%	07/25/37¹		4,950		4,968
Fannie Mae REMICS, Series 2008-24,
Class NA
6.75%	06/25/37		480,716		539,396
Fannie Mae REMICS, Series 2010-116,
Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.58%	10/25/40¹		4,585,539		559,691
Fannie Mae REMICS, Series 2010-135,
Class EA
3.00%	01/25/40		10,003		10,068
Fannie Mae REMICS, Series 2010-17,
Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
4.33%	03/25/40¹		8,311,334		1,378,859
Fannie Mae REMICS, Series 2010-43,
Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
4.40%	05/25/40¹		14,720,098		2,955,067
Fannie Mae REMICS, Series 2011-101,
Class HE
4.00%	10/25/41		10,100,000		11,330,911
Fannie Mae REMICS, Series 2011-111,
Class DB
4.00%	11/25/41		24,977,334		26,688,906
Fannie Mae REMICS, Series 2011-2,
Class PD
4.00%	12/25/39		28,162		28,422
Fannie Mae REMICS, Series 2012-84,
Class VZ
3.50%	08/25/42		9,570,294		10,193,865
Fannie Mae REMICS, Series 2013-101,
Class BO (PO)
0.00%	10/25/43¹¹		21,221,608		18,668,060
Fannie Mae REMICS, Series 2013-101,
Class CO (PO)
0.00%	10/25/43¹¹		13,210,863		11,452,743
Fannie Mae REMICS, Series 2018-29,
Class AP
3.50%	11/25/46		239,559,963		246,671,301
Fannie Mae REMICS, Series 2018-38,
Class LA
3.00%	06/25/48		80,832,794		81,525,278


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	$	72,581,187	$	74,745,968
Fannie Mae REMICS, Series 2018-86,
Class JA
4.00%	05/25/47		6,275,546		6,634,979
Fannie Mae REMICS, Series 2018-94,
Class KD
3.50%	12/25/48		31,551,019		32,022,727
Fannie Mae REMICS, Series 2019-1,
Class AB
3.50%	02/25/49		5,321,239		5,518,612
Fannie Mae REMICS, Series 2019-1,
Class KP
3.25%	02/25/49		13,947,361		14,098,910
Fannie Mae REMICS, Series 2019-26,
Class JE
3.00%	06/25/49		23,601,559		24,070,963
Fannie Mae REMICS, Series 2019-45,
Class PA
3.00%	08/25/49		51,473,946		52,876,384
Fannie Mae REMICS, Series 2019-52,
Class PA
3.00%	09/25/49		31,926,161		32,326,642
Fannie Mae REMICS, Series G92-36,
Class Z
7.00%	07/25/22		20		20
Fannie Mae REMICS, Series G93-21,
Class Z
7.20%	05/25/23		1,741		1,845
Fannie Mae Trust, Series 2003-W2,
Class 2A9
5.90%	07/25/42		27,047		30,587
Freddie Mac Gold Pool A24156
6.50%	10/01/31		179,722		200,454
Freddie Mac Gold Pool A25162
5.50%	05/01/34		1,890,802		2,112,178
Freddie Mac Gold Pool A39012
5.50%	06/01/35		39,681		44,261
Freddie Mac Gold Pool A54856
5.00%	01/01/34		3,684,881		4,071,685
Freddie Mac Gold Pool A61164
5.00%	04/01/36		12,249		13,432
Freddie Mac Gold Pool A97038
4.00%	02/01/41		12,589,484		13,470,489
Freddie Mac Gold Pool C01492
5.00%	02/01/33		598,768		654,968
Freddie Mac Gold Pool C04546
3.00%	02/01/43		20,052,752		20,681,034
Freddie Mac Gold Pool C04573
3.00%	03/01/43		24,655,218		25,365,227


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool C46104
6.50%	09/01/29	$	13,864	$	15,464
Freddie Mac Gold Pool C55789
7.50%	10/01/27		6,070		6,579
Freddie Mac Gold Pool C90573
6.50%	08/01/22		29,110		30,674
Freddie Mac Gold Pool E02402
6.00%	10/01/22		7,611		7,844
Freddie Mac Gold Pool G00992
7.00%	11/01/28		675		754
Freddie Mac Gold Pool G01515
5.00%	02/01/33		609,479		666,006
Freddie Mac Gold Pool G02579
5.00%	12/01/34		899,975		995,336
Freddie Mac Gold Pool G02884
6.00%	04/01/37		2,293,476		2,651,800
Freddie Mac Gold Pool G02955
5.50%	03/01/37		3,361,437		3,756,679
Freddie Mac Gold Pool G03357
5.50%	08/01/37		1,327,554		1,488,328
Freddie Mac Gold Pool G03676
5.50%	12/01/37		2,221,038		2,453,878
Freddie Mac Gold Pool G03783
5.50%	01/01/38		1,703,792		1,905,934
Freddie Mac Gold Pool G03985
6.00%	03/01/38		19,274		22,180
Freddie Mac Gold Pool G04438
5.50%	05/01/38		4,769,080		5,369,085
Freddie Mac Gold Pool G04703
5.50%	08/01/38		4,362,872		4,847,087
Freddie Mac Gold Pool G04706
5.50%	09/01/38		176,104		198,714
Freddie Mac Gold Pool G05866
4.50%	02/01/40		17,470,693		19,121,533
Freddie Mac Gold Pool G06361
4.00%	03/01/41		23,617		25,497
Freddie Mac Gold Pool G06498
4.00%	04/01/41		23,770,645		25,564,368
Freddie Mac Gold Pool G06499
4.00%	03/01/41		11,522,410		12,333,653
Freddie Mac Gold Pool G07408
3.50%	06/01/43		22,202,366		23,629,484
Freddie Mac Gold Pool G07786
4.00%	08/01/44		212,874,828		230,337,216
Freddie Mac Gold Pool G07848
3.50%	04/01/44		110,984,202		117,402,429
Freddie Mac Gold Pool G07849
3.50%	05/01/44		15,899,990		16,759,863


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G07924
3.50%	01/01/45	$	22,954,533	$	24,188,743
Freddie Mac Gold Pool G07925
4.00%	02/01/45		13,782,819		14,937,638
Freddie Mac Gold Pool G08676
3.50%	11/01/45		84,171,095		87,565,724
Freddie Mac Gold Pool G08681
3.50%	12/01/45		55,449,845		57,686,142
Freddie Mac Gold Pool G08710
3.00%	06/01/46		298,743,228		306,149,679
Freddie Mac Gold Pool G08711
3.50%	06/01/46		24,103,729		25,045,705
Freddie Mac Gold Pool G08715
3.00%	08/01/46		395,396,126		405,198,799
Freddie Mac Gold Pool G08721
3.00%	09/01/46		40,092,474		41,086,448
Freddie Mac Gold Pool G08722
3.50%	09/01/46		105,025,137		109,129,529
Freddie Mac Gold Pool G08726
3.00%	10/01/46		430,329,317		440,998,054
Freddie Mac Gold Pool G08727
3.50%	10/01/46		85,971,750		89,331,535
Freddie Mac Gold Pool G08732
3.00%	11/01/46		256,285,378		262,639,213
Freddie Mac Gold Pool G08737
3.00%	12/01/46		150,219,370		153,943,613
Freddie Mac Gold Pool G08741
3.00%	01/01/47		148,627,214		152,311,985
Freddie Mac Gold Pool G08742
3.50%	01/01/47		133,480,522		138,530,104
Freddie Mac Gold Pool G08747
3.00%	02/01/47		48,346,084		49,544,682
Freddie Mac Gold Pool G08757
3.50%	04/01/47		67,481,093		70,311,510
Freddie Mac Gold Pool G08762
4.00%	05/01/47		53,805,305		56,385,786
Freddie Mac Gold Pool G08791
3.00%	12/01/47		283,086,825		288,913,086
Freddie Mac Gold Pool G08826
5.00%	06/01/48		43,468,391		46,629,204
Freddie Mac Gold Pool G08833
5.00%	07/01/48		23,301,444		25,010,376
Freddie Mac Gold Pool G08838
5.00%	09/01/48		12,349,734		13,234,158
Freddie Mac Gold Pool G08840
5.00%	08/01/48		4,611,733		4,945,635
Freddie Mac Gold Pool G08843
4.50%	10/01/48		35,002,581		37,058,566


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08844
5.00%	10/01/48	$	38,489,046	$	41,295,243
Freddie Mac Gold Pool G08849
5.00%	11/01/48		15,518,913		16,632,072
Freddie Mac Gold Pool G11707
6.00%	03/01/20		928		929
Freddie Mac Gold Pool G12393
5.50%	10/01/21		673,253		683,948
Freddie Mac Gold Pool G12399
6.00%	09/01/21		452		462
Freddie Mac Gold Pool G12824
6.00%	08/01/22		616,026		638,974
Freddie Mac Gold Pool G12909
6.00%	11/01/22		1,617,925		1,683,956
Freddie Mac Gold Pool G13032
6.00%	09/01/22		219,067		224,832
Freddie Mac Gold Pool G13058
4.50%	10/01/20		2,738		2,748
Freddie Mac Gold Pool G16085
2.50%	02/01/32		5,319,525		5,395,898
Freddie Mac Gold Pool G16524
3.50%	05/01/33		52,215,001		54,524,669
Freddie Mac Gold Pool G16584
3.50%	08/01/33		11,761,071		12,173,606
Freddie Mac Gold Pool G16607
3.50%	09/01/33		104,111,016		108,748,777
Freddie Mac Gold Pool G16623
2.50%	09/01/32		49,328,016		49,886,727
Freddie Mac Gold Pool G16755
3.50%	02/01/34		121,671,464		127,060,293
Freddie Mac Gold Pool G16756
3.50%	01/01/34		9,356,663		9,773,468
Freddie Mac Gold Pool G18596
3.00%	04/01/31		62,063,652		63,666,189
Freddie Mac Gold Pool G18691
3.00%	06/01/33		30,654,610		31,361,822
Freddie Mac Gold Pool G18692
3.50%	06/01/33		50,374,413		52,141,457
Freddie Mac Gold Pool G18713
3.50%	11/01/33		65,386,875		67,650,790
Freddie Mac Gold Pool G60023
3.50%	04/01/45		19,648,711		20,844,148
Freddie Mac Gold Pool G60080
3.50%	06/01/45		233,178,450		245,643,027
Freddie Mac Gold Pool G60138
3.50%	08/01/45		164,197,826		174,187,465
Freddie Mac Gold Pool G60238
3.50%	10/01/45		71,654,559		75,484,860


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G67700
3.50%	08/01/46	$	52,865,012	$	55,657,875
Freddie Mac Gold Pool G67703
3.50%	04/01/47		528,673,397		556,325,494
Freddie Mac Gold Pool G67706
3.50%	12/01/47		283,294,067		298,001,013
Freddie Mac Gold Pool G67707
3.50%	01/01/48		615,096,937		649,322,530
Freddie Mac Gold Pool G67708
3.50%	03/01/48		707,935,145		740,910,835
Freddie Mac Gold Pool G67709
3.50%	03/01/48		460,469,575		484,374,422
Freddie Mac Gold Pool G67710
3.50%	03/01/48		486,180,070		507,003,211
Freddie Mac Gold Pool G67711
4.00%	03/01/48		128,814,499		137,625,210
Freddie Mac Gold Pool G67713
4.00%	06/01/48		190,119,103		201,986,694
Freddie Mac Gold Pool G67717
4.00%	11/01/48		183,461,334		195,641,827
Freddie Mac Gold Pool G67718
4.00%	01/01/49		297,671,001		315,389,004
Freddie Mac Gold Pool H00790
5.50%	05/01/37		15,906		17,243
Freddie Mac Gold Pool H05069
5.50%	05/01/37		411,381		446,085
Freddie Mac Gold Pool Q05804
4.00%	01/01/42		39,571,834		42,768,134
Freddie Mac Gold Pool U99097
3.50%	07/01/43		67,369,345		70,644,260
Freddie Mac Gold Pool V62078
3.50%	08/01/33		11,689,045		12,218,254
Freddie Mac Gold Pool V62129
3.50%	08/01/33		24,270,916		25,221,930
Freddie Mac Gold Pool V80356
3.50%	08/01/43		41,545,184		43,947,747
Freddie Mac Pool ZT1403
3.50%	11/01/33		72,514,648		74,987,397
Freddie Mac REMICS, Series 1073,
Class G
7.00%	05/15/21		92		94
Freddie Mac REMICS, Series 1107,
Class ZC
6.50%	07/15/21		1,004		1,029
Freddie Mac REMICS, Series 165,
Class K
6.50%	09/15/21		3		3


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 1980,
Class Z
7.00%	07/15/27	$	82,389	$	92,793
Freddie Mac REMICS, Series 1983,
Class Z
6.50%	12/15/23		26,720		28,011
Freddie Mac REMICS, Series 2098,
Class TZ
6.00%	01/15/28		311,700		339,887
Freddie Mac REMICS, Series 2174,
Class PN
6.00%	07/15/29		17,010		18,739
Freddie Mac REMICS, Series 2313,
Class LA
6.50%	05/15/31		8,093		9,313
Freddie Mac REMICS, Series 2433,
Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
15.66%	02/15/32¹		9,333		13,887
Freddie Mac REMICS, Series 2481,
Class AW
6.50%	08/15/32		36,273		39,181
Freddie Mac REMICS, Series 2642,
Class BW (IO)
5.00%	06/15/23		1,127		4
Freddie Mac REMICS, Series 2649,
Class PC
5.50%	07/15/33		427		428
Freddie Mac REMICS, Series 3019,
Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
5.17%	08/15/35¹		1,461,625		319,615
Freddie Mac REMICS, Series 3063,
Class YG
5.50%	11/15/35		3,825,724		4,301,995
Freddie Mac REMICS, Series 3300,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
5.17%	08/15/35¹		646,217		106,845
Freddie Mac REMICS, Series 3707,
Class EI (IO)
5.00%	12/15/38		9,760,372		630,173
Freddie Mac REMICS, Series 3730,
Class JG
3.00%	09/15/39		11,498		11,619
Freddie Mac REMICS, Series 3752,
Class XL
4.50%	11/15/40		64,237,502		69,696,797
Freddie Mac REMICS, Series 3891,
Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
3.92%	07/15/41¹		6,899,713		645,755


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3904,
Class JB
4.50%	08/15/41	$	18,155,000	$	20,072,422
Freddie Mac REMICS, Series 3925,
Class LB
4.50%	09/15/41		9,215,000		11,146,739
Freddie Mac REMICS, Series 3928,
Class JD
4.00%	09/15/41		32,095,702		34,664,379
Freddie Mac REMICS, Series 4102,
Class TC
2.50%	09/15/41		16,095,678		16,236,147
Freddie Mac REMICS, Series 4161,
Class BA
2.50%	12/15/41		24,820,520		25,056,922
Freddie Mac REMICS, Series 4818,
Class CA
3.00%	04/15/48		7,242,447		7,385,460
Freddie Mac REMICS, Series 4846,
Class PA
4.00%	06/15/47		2,864,121		3,094,786
Freddie Mac REMICS, Series 4852,
Class CA
4.00%	11/15/47		77,290,626		80,998,872
Freddie Mac REMICS, Series 4860,
Class BH
3.50%	10/15/48		51,641,580		52,696,653
Freddie Mac REMICS, Series 4860,
Class PA
3.50%	02/15/49		15,413,631		15,533,237
Freddie Mac REMICS, Series 4879,
Class BC
3.00%	04/15/49		8,146,958		8,304,957
Freddie Mac REMICS, Series 4896,
Class DA
3.00%	01/15/49		5,224,590		5,314,991
Freddie Mac Strips, Series 309,
Class PO (PO)
0.00%	08/15/43¹¹		30,533,015		26,817,117
Freddie Mac Strips, Series 319,
Class F2
(LIBOR USD 1-Month plus 0.50%)
2.53%	11/15/43¹		5,877,473		5,880,605
Ginnie Mae I Pool 782817
4.50%	11/15/39		18,341,380		19,822,568
Ginnie Mae II Pool (TBA)
3.00%	11/20/49		1,406,325,000		1,442,032,478
4.50%	10/20/44		586,670,000		614,170,156
5.00%	10/20/47		26,025,000		27,442,143
Ginnie Mae II Pool 2631
7.00%	08/20/28		1,962		2,203


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 3388
4.50%	05/20/33	$	5,125	$	5,397
Ginnie Mae II Pool 3427
4.50%	08/20/33		1,844		1,944
Ginnie Mae II Pool 3554
4.50%	05/20/34		1,853		1,955
Ginnie Mae II Pool 4058
5.00%	12/20/37		1,156		1,230
Ginnie Mae II Pool 4342
5.00%	01/20/39		1,580		1,730
Ginnie Mae II Pool 4520
5.00%	08/20/39		30,614		33,207
Ginnie Mae II Pool 5175
4.50%	09/20/41		9,999		10,945
Ginnie Mae II Pool 5281
4.50%	01/20/42		19,371		21,174
Ginnie Mae II Pool 783591
4.50%	07/20/41		25,934		28,356
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.75%	07/20/34¹		15,100		15,596
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
4.00%	03/20/35¹		22,879		23,109
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.75%	08/20/35¹		27,566		28,781
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
4.13%	10/20/35¹		22,473		23,404
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.88%	05/20/25¹		4,254		4,374
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.88%	06/20/25¹		5,390		5,477
Ginnie Mae II Pool MA0627
4.50%	12/20/42		76,602		83,672
Ginnie Mae II Pool MA0701
4.50%	01/20/43		98,901		107,777
Ginnie Mae II Pool MA1997
4.50%	06/20/44		21,682		23,261


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA2374
5.00%	11/20/44	$	533,331	$	579,211
Ginnie Mae II Pool MA2756
4.50%	04/20/45		47,889		51,363
Ginnie Mae II Pool MA2828
4.50%	05/20/45		2,051,878		2,191,658
Ginnie Mae II Pool MA2894
4.50%	06/20/45		784,430		840,244
Ginnie Mae II Pool MA3036
4.50%	08/20/45		85,592		91,328
Ginnie Mae II Pool MA3456
4.50%	02/20/46		565,079		603,543
Ginnie Mae II Pool MA3521
3.50%	03/20/46		77,042,960		80,461,287
Ginnie Mae II Pool MA3524
5.00%	03/20/46		23,029		25,201
Ginnie Mae II Pool MA3597
3.50%	04/20/46		193,943,614		202,548,718
Ginnie Mae II Pool MA3600
5.00%	04/20/46		14,216,134		15,670,799
Ginnie Mae II Pool MA3663
3.50%	05/20/46		56,502,251		58,975,176
Ginnie Mae II Pool MA3665
4.50%	05/20/46		234,641		249,902
Ginnie Mae II Pool MA3666
5.00%	05/20/46		8,262,795		9,094,657
Ginnie Mae II Pool MA3738
4.50%	06/20/46		985,676		1,049,785
Ginnie Mae II Pool MA3739
5.00%	06/20/46		4,705,040		5,178,336
Ginnie Mae II Pool MA3805
4.50%	07/20/46		8,217,708		8,752,191
Ginnie Mae II Pool MA3806
5.00%	07/20/46		358,508		392,900
Ginnie Mae II Pool MA3876
4.50%	08/20/46		8,666,735		9,230,422
Ginnie Mae II Pool MA3877
5.00%	08/20/46		1,742,925		1,892,893
Ginnie Mae II Pool MA3937
3.50%	09/20/46		44,982,765		46,880,210
Ginnie Mae II Pool MA3939
4.50%	09/20/46		4,441,227		4,849,491
Ginnie Mae II Pool MA4003
3.00%	10/20/46		23,749,815		24,477,153
Ginnie Mae II Pool MA4006
4.50%	10/20/46		5,106,000		5,446,073
Ginnie Mae II Pool MA4007
5.00%	10/20/46		10,120,576		11,181,213


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4069
3.50%	11/20/46	$	140,269,942	$	146,460,359
Ginnie Mae II Pool MA4071
4.50%	11/20/46		15,003,142		16,090,527
Ginnie Mae II Pool MA4072
5.00%	11/20/46		2,564,145		2,833,806
Ginnie Mae II Pool MA4126
3.00%	12/20/46		396,117,330		408,248,423
Ginnie Mae II Pool MA4127
3.50%	12/20/46		146,057,848		151,944,943
Ginnie Mae II Pool MA4129
4.50%	12/20/46		44,244,682		47,592,968
Ginnie Mae II Pool MA4198
4.50%	01/20/47		397,142		421,979
Ginnie Mae II Pool MA4199
5.00%	01/20/47		8,387,521		9,265,234
Ginnie Mae II Pool MA4264
4.50%	02/20/47		126,933,809		134,634,286
Ginnie Mae II Pool MA4265
5.00%	02/20/47		2,214,284		2,399,364
Ginnie Mae II Pool MA4324
5.00%	03/20/47		12,245,850		13,241,065
Ginnie Mae II Pool MA4382
3.50%	04/20/47		106,159,771		110,456,755
Ginnie Mae II Pool MA4384
4.50%	04/20/47		6,476,170		6,862,977
Ginnie Mae II Pool MA4385
5.00%	04/20/47		20,767,451		22,316,992
Ginnie Mae II Pool MA4453
4.50%	05/20/47		341,751,325		362,163,380
Ginnie Mae II Pool MA4454
5.00%	05/20/47		48,475,564		52,026,304
Ginnie Mae II Pool MA4511
4.00%	06/20/47		22,460,441		23,578,841
Ginnie Mae II Pool MA4512
4.50%	06/20/47		1,201,526		1,273,290
Ginnie Mae II Pool MA4513
5.00%	06/20/47		926,914		996,017
Ginnie Mae II Pool MA4586
3.50%	07/20/47		180,428,943		187,631,192
Ginnie Mae II Pool MA4589
5.00%	07/20/47		47,027,932		50,523,500
Ginnie Mae II Pool MA4652
3.50%	08/20/47		1,272,800		1,323,606
Ginnie Mae II Pool MA4655
5.00%	08/20/47		56,828,099		61,063,547
Ginnie Mae II Pool MA4719
3.50%	09/20/47		181,362,777		188,602,302


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4720
4.00%	09/20/47	$	455,034	$	477,676
Ginnie Mae II Pool MA4722
5.00%	09/20/47		1,096,588		1,178,096
Ginnie Mae II Pool MA4781
5.00%	10/20/47		14,389,317		15,459,855
Ginnie Mae II Pool MA4836
3.00%	11/20/47		368,366,318		378,501,932
Ginnie Mae II Pool MA4837
3.50%	11/20/47		434,156,626		451,487,016
Ginnie Mae II Pool MA4838
4.00%	11/20/47		151,575,297		159,115,045
Ginnie Mae II Pool MA4840
5.00%	11/20/47		4,004,142		4,301,628
Ginnie Mae II Pool MA4900
3.50%	12/20/47		28,008,271		29,126,287
Ginnie Mae II Pool MA4901
4.00%	12/20/47		104,285,281		109,469,751
Ginnie Mae II Pool MA4961
3.00%	01/20/48		1,028,247		1,056,922
Ginnie Mae II Pool MA4963
4.00%	01/20/48		183,717,213		192,844,529
Ginnie Mae II Pool MA5137
4.00%	04/20/48		76,817,325		80,093,415
Ginnie Mae II Pool MA5399
4.50%	08/20/48		16,551,904		17,407,321
Ginnie Mae II Pool MA5466
4.00%	09/20/48		28,086,721		29,252,697
Ginnie Mae II Pool MA5528
4.00%	10/20/48		133,999,393		139,462,819
Ginnie Mae II Pool MA5530
5.00%	10/20/48		28,625,990		30,350,540
Ginnie Mae II Pool MA6030
3.50%	07/20/49		83,326,665		85,109,880
Ginnie Mae, Series 2000-22, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 10.80%, 10.80% Cap)
8.77%	05/16/30¹		258		9
Ginnie Mae, Series 2003-86, Class ZK
5.00%	10/20/33		7,623,831		8,255,625
Ginnie Mae, Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
4.72%	06/16/37¹		14,503,768		2,672,737
Ginnie Mae, Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
4.21%	03/20/36¹		11,872,892		1,278,136
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
4.76%	05/20/37¹		29,885,112		3,907,771


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
4.44%	12/20/39¹	$	4,938,895	$	1,036,744
Ginnie Mae, Series 2009-17, Class P
4.00%	08/16/38		8,245		8,386
Ginnie Mae, Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
4.77%	07/16/39¹		51,811		7,995
Ginnie Mae, Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
4.27%	08/16/38¹		81,129		7,585
Ginnie Mae, Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
4.37%	01/16/40¹		63,472		12,238
Ginnie Mae, Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
3.77%	01/16/40¹		11,540,453		1,945,600
Ginnie Mae, Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
4.47%	09/16/39¹		2,961,566		215,899
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%	11/16/41		144,585		29,120
Ginnie Mae, Series 2013-113, Class LY
3.00%	05/20/43		51,184,000		53,593,241
Ginnie Mae, Series 2014-108, Class PA
2.63%	12/20/39		17,849,571		18,107,571
Ginnie Mae, Series 2018-124, Class NW
3.50%	09/20/48		2,025,851		2,071,725
Ginnie Mae, Series 2019-1, Class NP
3.50%	01/20/49		42,827,317		43,907,182
Ginnie Mae, Series 2019-119, Class JE
3.00%	09/20/49		56,609,000		57,175,090
Ginnie Mae, Series 2019-15, Class GT
3.50%	02/20/49		37,738,721		38,601,387
Ginnie Mae, Series 2019-44, Class CA
3.50%	12/20/48		32,024,223		33,000,540
Ginnie Mae, Series 2019-71, Class PT
3.00%	06/20/49		26,157,536		26,294,743
Ginnie Mae, Series 2019-86, Class C
2.50%	03/20/49		49,075,507		49,277,083
Ginnie Mae, Series 2019-90, Class HE
3.00%	07/20/49		79,333,869		79,560,569
NCUA Guaranteed Notes Trust,
Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
2.45%	10/07/20¹		7,486,023		7,492,729


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
2.62%	12/08/20¹	$	6,779,633	$	6,814,139
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
2.62%	12/08/20¹		18,088,652		18,116,960


					26,702,875,380

Total Mortgage-Backed (Cost $33,748,651,927)					34,577,206,466


MUNICIPAL BONDS — 0.54%*
California — 0.22%
Los Angeles Department of Water & Power
Power System Revenue, Build America
Taxable Bonds, Water Utility Improvements,
Series SY
6.01%	07/01/39		350,000		467,096
Los Angeles Department of Water & Power
Power System Revenue, Taxable Bonds,
Electric Light & Power Improvements,
Series C
5.52%	07/01/27		12,625,000		15,639,471
Los Angeles Unified School District, Build
America Bonds, School Improvements,
Series RY
6.76%	07/01/34		12,165,000		17,121,386
Los Angeles Unified School District, Build
America Taxable Bonds, School
Improvements, Series KR
5.75%	07/01/34		2,765,000		3,606,998
State of California, Build America Bonds,
School Improvements, General Obligations
7.95%	03/01/36		77,500,000		79,349,925
State of California, Build America Bonds,
Various Purpose, Water Utility Improvements
7.50%	04/01/34		3,885,000		5,993,079
State of California, Taxable, Miscellaneous
Revenue Bonds, General Obligations,
Series B
2.19%	04/01/47		17,800,000		17,799,822
University of California, Taxable, College &
University, Revenue Bonds, University &
College Improvements, Series AP
3.93%	05/15/45		30,040,000		33,715,694


					173,693,471

New Jersey — 0.00%
Jersey City Municipal Utilities Authority,
Taxable Bonds, Water Utility Improvements,
Series B
5.47%	05/15/27		400,000		455,908


Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
New Jersey (continued)
New Jersey Turnpike Authority, Taxable
Bonds, Highway Revenue, Series F
3.73%	01/01/36	$	300,000	$	331,833


					787,741

New York — 0.32%
City of New York, Build America Bonds,
Public Improvements
4.77%	10/01/23		4,420,000		4,902,310
5.21%	10/01/31		6,420,000		7,757,543
5.52%	10/01/37		6,075,000		8,038,926
5.82%	10/01/31		220,000		228,494
5.99%	12/01/36		14,055,000		18,757,522
City of New York, Build America Taxable
Bonds, Public Improvements, Series F1
6.65%	12/01/31		43,210,000		45,525,624
Fiscal Year 2005 Securitization Corp.,
Special Obligation, Miscellaneous Purpose,
Series B
4.93%	04/01/20		5,000		5,003
New York City Municipal Water Finance
Authority, Build America Bonds, Water Utility
Improvements, Series SE
6.49%	06/15/42		3,555,000		3,664,316
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Taxable Bonds, Public Improvements,
Subseries C-5
3.90%	05/01/31		15,000,000		16,704,900
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Taxable Bonds, Public Improvements,
Subseries FI
4.00%	08/01/33		6,450,000		7,088,937
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Taxable Bonds, Public Improvements,
Subseries SU
3.88%	08/01/31		3,135,000		3,489,443
New York City Transitional Finance Authority
Revenue, Future Tax Secured Revenue,
Build America Bonds, Public Improvements
5.51%	08/01/37		25,000,000		33,042,500
New York City Transitional Finance Authority
Revenue, Future Tax Secured Revenue,
Qualified School Construction Bonds, School
Improvements, Series G-3
5.27%	05/01/27		13,135,000		15,671,500
New York City Water and Sewer Authority,
Build America Taxable Bonds, Water Utility
Improvements, Series SE
6.01%	06/15/42		3,945,000		5,939,474


Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York State Dormitory Authority, Build
America Bonds, University & College
Improvements
5.29%	03/15/33	$	44,990,000	$	55,963,511
New York State Dormitory Authority, Build
America Taxable Bonds, University & College
Improvements
5.43%	03/15/39		21,400,000		26,977,482


					253,757,485

Texas — 0.00%
Texas Transportation Commission State
Highway Fund, Build America Taxable
Bonds, Highway Improvements, Series B
5.18%	04/01/30		3,075,000		3,786,832


Total Municipal Bonds (Cost $407,576,056)					432,025,529


U.S. TREASURY SECURITIES — 30.96%
U.S. Treasury Bonds — 6.31%
U.S. Treasury Bonds
2.88%	05/15/49		1,256,746,000		1,465,863,105
U.S. Treasury Bonds - Treasury Inflation
Indexed Bonds
0.88%	02/15/47¹²		116,916,800		126,445,309
1.00%	02/15/49¹²		660,256,612		741,801,718
U.S. Treasury Bonds (WI)
2.25%	08/15/49		2,601,393,000		2,676,183,049


					5,010,293,181

U.S. Treasury Notes — 24.65%
U.S. Treasury Notes
1.25%	08/31/24		5,003,097,000		4,934,107,944
1.50%	08/31/21		1,470,684,000		1,466,576,380
1.50%	09/30/21		1,679,016,000		1,675,203,878
1.50%	09/30/24		3,769,255,000		3,760,282,703
1.63%	06/30/21		989,098,000		988,100,940
1.75%	07/31/21		418,223,000		418,868,276
1.75%	06/30/24		1,228,296,000		1,238,800,424
1.75%	07/31/24		2,262,539,000		2,283,306,959
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.13%	07/15/24¹²		54,025,919		53,993,778
0.25%	07/15/29¹²		885,681,311		893,376,048
0.38%	07/15/25¹²		200,155,200		202,806,808
0.50%	04/15/24¹²		429,696,330		435,057,470


Issues	Maturity Date	Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
U.S. Treasury Notes (WI)
1.63%	08/15/29	$	1,237,436,000	$	1,231,877,202


					19,582,358,810

Total U.S. Treasury Securities (Cost $24,510,178,307)					24,592,651,991


Total Bonds – 105.95% (Cost $82,377,160,073)					84,169,260,117



Issues		Shares		Value
COMMON STOCK — 0.01%
Electric — 0.01%
Homer City Holdings
LLC^2,5,6,7,13			1,180,703		5,313,163

Total Common Stock (Cost $65,187,440)

Purchased Options - 0.04% (Cost $41,823,180)					33,271,875


Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 3.91%
Commercial paper — 0.12%
Ford Motor Credit Co. LLC
2.80%¹⁴	08/13/20		50,000,000		48,685,950
2.83%¹⁴	08/12/20		50,000,000		48,691,150


					97,377,100

Money Market Funds — 0.73%
Dreyfus Government Cash Management
Fund
1.95%¹⁵			394,847,000		394,847,000
Fidelity Investments Money Market Funds -
Government Portfolio
1.92%^15,16			24		24
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
1.97%¹⁵			183,711,000		183,711,000


					578,558,024


Issues	Maturity Date	Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
Repurchase Agreements — 0.63%
JPMorgan Chase & Co. (Dated 09/30/19, total to be received $500,108,333,
(collateralized by U.S. Treasury Securities,
2.25% to 3.00%, due from 11/15/24 to
5/15/45, par and fair value of $895,738,800 and $1,010,819,029, respectively))
1.95%	10/04/19	$	500,000,000	$	500,000,000


U.S. Agency Discount Notes — 1.57%
Federal Home Loan Bank
2.01%¹⁴	10/11/19		200,000,000		199,896,112
2.03%¹⁴	10/16/19		500,000,000		499,610,415
2.03%¹⁴	10/17/19		250,000,000		249,792,223
Freddie Mac, Series RB
2.36%¹⁴	10/17/19		300,000,000		299,741,850


					1,249,040,600


U.S. Treasury Bills — 0.86%
U.S. Treasury Bills
1.89%^14,17	12/26/19		123,875,000		123,348,256
1.98%¹⁴	10/29/19		300,000,000		299,565,417
2.00%¹⁴	10/22/19		9,000,000		8,990,609
2.02%¹⁴	10/01/19		250,000,000		250,000,000


					681,904,282


Total Short-Term Investments (Cost $3,106,927,568)					3,106,880,006


Total Investments Before Written Options – 109.91% (Cost $85,591,098,261)					87,314,725,161


Net unrealized appreciation on unfunded commitments (0.00)%					24,080

Written Options - (0.02)% (Cost $(23,750,910))					(12,403,125	)


Liabilities in Excess of Other
Assets – (9.89)%					(7,860,538,505	)


Net Assets – 100.00%				$	79,441,783,531

¹	Floating rate security. The rate disclosed was in effect at September 30, 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	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 $53,646,520, which is 0.07% of total net assets.

⁷	Non-income producing security.

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

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $7,024,080, at an interest rate of 2.50% and a maturity of April 15, 2027. The investment is not accruing an unused commitment fee.

¹⁰	All or a portion of this security’s market value is pledged as collateral for the reverse repurchase agreement.

¹¹	Zero coupon bond. The rate shown is the effective yield as of September 30, 2019.

¹²	Inflation protected security. Principal amount reflects original security face amount.

¹³	Affiliated investment.

¹⁴	Represents annualized yield at date of purchase.

¹⁵	Represents the current yield as of September 30, 2019.

¹⁶	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged for swaps is $24.

¹⁷	Securities, or a portion thereof, pledged as collateral for futures and options. The total market value of collateral pledged for futures is $97,464,095. The total market value of collateral pledged for options is $25,849,410.

^†

Fair valued security. The aggregate value of fair valued securities is $58,472,290, which is 0.07% of total net assets. Fair valued securities are 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.


Issues	Maturity Date			Principal Amount		Value
BONDS – 91.69%
ASSET-BACKED SECURITIES — 2.03%**
Nelnet Student Loan Trust, Series 2012-5A,
Class A
(LIBOR USD 1-Month plus 0.60%)
2.62%		10/27/36	^1,2	$	399,705	$	397,948
SLM Student Loan Trust, Series 2003-10A,
Class A3
(LIBOR USD 3-Month plus 0.47%)
2.59%		12/15/27	^1,2		296,660		296,492
SLM Student Loan Trust, Series 2003-14,
Class A6
(LIBOR USD 3-Month plus 0.30%)
2.58%		07/25/25	¹		303,375		303,012
SLM Student Loan Trust, Series 2005-8,
Class A4
(LIBOR USD 3-Month plus 0.55%)
2.83%		01/25/28	¹		286,364		286,410
SLM Student Loan Trust, Series 2007-6,
Class A4
(LIBOR USD 3-Month plus 0.38%)
2.66%		10/25/24	¹		261,764		261,995
SLM Student Loan Trust, Series 2007-8,
Class A4
(LIBOR USD 3-Month plus 0.47%)
2.75%		01/26/26	¹		204,556		204,645
SLM Student Loan Trust, Series 2011-1,
Class A1
(LIBOR USD 1-Month plus 0.52%)
2.54%		03/25/26	¹		133,216		133,367
SLM Student Loan Trust, Series 2013-4,
Class A
(LIBOR USD 1-Month plus 0.55%)
2.57%		06/25/43	¹		141,772		140,418


Total Asset-Backed Securities
(Cost $2,027,449)							2,024,287


CORPORATES — 25.87%*
Banking — 7.23%
Bank of America Corp. (GMTN)
2.37%		07/21/21	³		1,750,000		1,753,669
JPMorgan Chase & Co.
(LIBOR USD 3-Month plus 0.68%)
2.82%		06/01/21	¹		400,000		400,980
(LIBOR USD 3-Month plus 1.00%)
3.30%		01/15/23	¹		200,000		201,680
JPMorgan Chase Bank N.A. (BKNT)
2.60%		02/01/21	³		500,000		500,917
3.09%		04/26/21	³		250,000		251,261
(LIBOR USD 3-Month plus 0.29%)
2.54%		02/01/21	¹		500,000		500,169
Lloyds Bank PLC (United Kingdom)
2.40%		03/17/20	⁴		350,000		350,335


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^2,4	$	150,000	$	151,503
Santander UK Group Holdings PLC
(United Kingdom)
3.13%		01/08/21	⁴		500,000		503,457
U.S. Bank N.A. (BKNT)
3.05%		07/24/20			550,000		554,298
Wells Fargo & Co. (GMTN)
2.60%		07/22/20			250,000		251,165
Wells Fargo Bank N.A. (BKNT)
2.40%		01/15/20			1,000,000		1,000,878
3.33%		07/23/21	³		275,000		277,463
(SOFR Rate plus 0.48%)
2.30%		03/25/20	¹		500,000		500,454


							7,198,229

Communications — 0.52%
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		520,000		523,250


Consumer Discretionary — 0.33%
Constellation Brands, Inc.
2.00%		11/07/19			200,000		199,920
(LIBOR USD 3-Month plus 0.70%)
2.86%		11/15/21	¹		125,000		125,002


							324,922

Electric — 1.20%
Dominion Energy, Inc., Series B
2.75%		09/15/22			350,000		353,657
Evergy, Inc.
4.85%		06/01/21			325,000		336,244
NextEra Energy Capital Holdings, Inc.
2.40%		09/01/21			250,000		251,660
(LIBOR USD 3-Month plus 0.55%)
2.69%		08/28/21	¹		250,000		250,077


							1,191,638

Energy — 0.20%
Rockies Express Pipeline LLC
5.63%		04/15/20	²		200,000		203,250


Finance — 5.47%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
4.45%		12/16/21	⁴		100,000		104,012
4.63%		10/30/20	⁴		200,000		204,810
5.00%		10/01/21	⁴		150,000		157,688


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
BMW U.S. Capital LLC
(LIBOR USD 3-Month plus 0.38%)
2.42%		04/06/20	^1,2	$	375,000	$	375,672
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.95%)
3.23%		07/24/23	¹		308,000		309,328
Daimler Finance North America LLC
1.75%		10/30/19	²		200,000		199,937
(LIBOR USD 3-Month plus 0.90%)
3.06%		02/15/22	^1,2		290,000		291,599
Ford Motor Credit Co. LLC
2.60%		11/04/19			500,000		499,794
3.20%		01/15/21			250,000		250,609
(LIBOR USD 3-Month plus 0.79%)
2.92%		06/12/20	¹		250,000		249,592
GE Capital International Funding Co.
(Ireland)
2.34%		11/15/20	⁴		560,000		558,599
General Motors Financial Co., Inc.
4.38%		09/25/21			500,000		516,715
Morgan Stanley (GMTN)
5.50%		01/26/20			500,000		505,325
5.50%		07/24/20			500,000		513,551
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,4		500,000		509,965
Park Aerospace Holdings Ltd.
(Cayman Islands)
3.63%		03/15/21	^2,4		100,000		100,813
4.50%		03/15/23	^2,4		100,000		103,881


							5,451,890

Food — 1.69%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.50%)
2.62%		03/16/20	¹		240,000		240,043
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
2.51%		10/09/20	¹		325,000		325,022
(LIBOR USD 3-Month plus 0.75%)
3.03%		10/22/20	¹		200,000		200,043
Danone SA (France)
1.69%		10/30/19	^2,4		250,000		249,887
Mondelez International Holdings
Netherlands BV (Netherlands)
1.63%		10/28/19	^2,4		375,000		374,829
Smithfield Foods, Inc.
2.70%		01/31/20	²		300,000		298,875


							1,688,699


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care — 2.01%
Allergan Finance LLC
3.25%		10/01/22		$	200,000	$	204,421
Anthem, Inc.
3.70%		08/15/21			500,000		512,210
Bayer U.S. Finance LLC
2.38%		10/08/19	²		300,000		299,999
Becton Dickinson and Co.
(LIBOR USD 3-Month plus 0.88%)
2.98%		12/29/20	¹		243,000		243,086
Cigna Corp.
3.20%		09/17/20			200,000		201,810
Humana, Inc.
2.63%		10/01/19			300,000		300,000
Zimmer Biomet Holdings, Inc.
(LIBOR USD 3-Month plus 0.75%)
2.91%		03/19/21	¹		240,000		240,006


							2,001,532

Industrials — 1.44%
BAE Systems Holdings, Inc.
2.85%		12/15/20	²		350,000		351,399
General Electric Co. (GMTN)
2.20%		01/09/20			250,000		249,718
4.63%		01/07/21			310,000		317,855
General Electric Co. (MTN)
5.55%		05/04/20			125,000		127,242
(LIBOR USD 3-Month plus 0.38%)
2.67%		05/05/26	¹		150,000		135,093
United Technologies Corp.
(LIBOR USD 3-Month plus 0.65%)
2.82%		08/16/21	¹		250,000		250,024


							1,431,331

Information Technology — 1.06%
Analog Devices, Inc.
2.85%		03/12/20			120,000		120,449
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%		01/15/20			275,000		275,016
Broadcom, Inc.
3.13%		04/15/21	²		250,000		252,472
NXP BV/NXP Funding LLC (Netherlands)
4.13%		06/01/21	^2,4		400,000		410,576


							1,058,513

Materials — 0.56%
Georgia-Pacific LLC
2.54%		11/15/19	²		250,000		250,041


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials (continued)
International Flavors & Fragrances, Inc.
3.40%		09/25/20		$	300,000	$	303,569


							553,610

Real Estate Investment Trust (REIT) — 2.57%
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			400,000		404,138
Boston Properties LP
4.13%		05/15/21			500,000		511,471
Essex Portfolio LP
5.20%		03/15/21			350,000		362,207
Healthcare Realty Trust, Inc.
3.75%		04/15/23			200,000		206,658
Kimco Realty Corp.
3.20%		05/01/21			250,000		253,958
Liberty Property LP
4.75%		10/01/20			400,000		410,295
Reckson Operating Partnership LP
7.75%		03/15/20			400,000		409,598


							2,558,325

Retail — 0.85%
Alimentation Couche-Tard, Inc. (Canada)
2.35%		12/13/19	^2,4		300,000		300,051
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
3.00%		04/17/20	¹		300,000		300,056
Walgreens Boots Alliance, Inc.
2.70%		11/18/19			250,000		250,043


							850,150

Transportation — 0.74%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23			372,457		390,917
Aviation Capital Group LLC
(LIBOR USD 3-Month plus 0.95%)
3.08%		06/01/21	^1,2		250,000		250,958
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			93,604		95,411


							737,286

Total Corporates
(Cost $25,673,096)							25,772,625


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 30.57%**
Non-Agency Commercial
Mortgage-Backed — 2.83%
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.52%		02/10/48	³	$	2,812,302	$	158,148
Commercial Mortgage Trust,
Series 2013-CR6, Class XB (IO)
0.68%		03/10/46	³		10,000,000		182,866
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.37%		03/10/46	³		2,841,467		94,201
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
1.19%		08/10/47	³		5,711,868		232,873
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
1.04%		08/10/48	³		4,300,242		178,373
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class XA (IO)
1.02%		09/15/50	³		5,433,466		207,789
Four Times Square Trust Commercial
Mortgage Pass-Through Certificates,
Series 2006-4TS, Class A
5.40%		12/13/28	²		140,097		145,701
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C6,
Class ASB
3.14%		05/15/45			382,366		388,364
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C7, Class XA (IO)
1.49%		02/15/46	³		4,127,697		154,503
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A4
4.12%		07/15/49			152,585		156,314
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class A4
2.79%		12/10/45			400,000		405,726
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
2.06%		11/15/45	^2,3		1,500,868		72,162
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XA (IO)
1.34%		05/15/45	^2,3		2,619,034		95,082
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XB (IO)
0.59%		05/15/45	^2,3		8,000,000		129,625
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class XA (IO)
1.20%		08/15/47	³		5,259,928		215,317


							2,817,044

Non-Agency Mortgage-Backed — 2.10%
Aames Mortgage Trust,
Series 2002-1, Class A3
(STEP-reset date 11/25/19)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
5.15%		06/25/32		$	20,856	$	20,991
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
4.34%		05/25/35	³		117,223		114,454
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%		11/25/31			60,281		64,096
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%		06/25/32			4,615		4,956
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
4.18%		02/25/34	³		53,299		52,477
Credit Suisse First Boston Mortgage
Securities Corp., Series 2002-AR31,
Class 4A2
4.73%		11/25/32	³		22,411		22,480
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.74%)
2.80%		07/19/44	¹		145,099		148,556
First Franklin Mortgage Loan Trust,
Series 2006-FF10, Class A4
(LIBOR USD 1-Month plus 0.15%)
2.17%		07/25/36	¹		79,907		80,061
GE Mortgage Services LLC,
Series 1998-HE1, Class A7
6.47%		06/25/28			2		2
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
2.80%		12/25/34	¹		400,161		355,435
IndyMac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
4.55%		10/25/34	³		124,157		123,823
JPMorgan Mortgage Trust, Series 2005-A2,
Class 9A1
4.86%		04/25/35	³		179,628		187,351
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
4.33%		10/25/34	³		194,934		193,215
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
3.63%		06/25/34	³		5,841		5,707
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A2⁵
0.00%		03/25/47	^6,7,†		4,000,000		—
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.64%		10/25/32	³		39,947		41,454
Merrill Lynch Mortgage Investors Trust,
Series 2003-A1, Class 2A


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
(LIBOR USD 12-Month plus 1.63%)
3.59%		12/25/32	¹	$	162,967	$	167,879
Morgan Stanley ABS Capital I Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.30%)
2.32%		12/25/35	¹		78,951		78,848
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%		11/25/31			34,570		11
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A8
6.50%		11/25/31			46,811		49,675
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
4.42%		12/25/34	³		103,307		105,140
Terwin NIMs Trust, Series 2004-13AL,
Class 2PX (IO)
0.34%		08/25/34	^2,6,8		1,922,424		29,966
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative
Average plus 1.40%)
3.85%		06/25/42	¹		26,890		26,844
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
4.71%		06/25/33	³		64,004		66,249
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
2.52%		06/25/35	¹		167,689		148,520


							2,088,190

U.S. Agency Commercial
Mortgage-Backed — 6.91%
Fannie Mae, Series 2012-M2, Class A2
2.72%		02/25/22			748,927		758,789
Fannie Mae-Aces, Series 2012-M4,
Class X1 (IO)
0.64%		04/25/22	³		7,031,954		64,374
Fannie Mae-Aces, Series 2013-M6,
Class 1A1
1.30%		02/25/43			473,917		470,749
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series J22F,
Class A1
3.45%		05/25/23			357,922		368,781
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K012,
Class X3 (IO)
2.33%		01/25/41	³		2,950,450		81,721
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K025,
Class X3 (IO)

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial

Mortgage-Backed (continued)

1.81%

11/25/40

2,000,000

103,116

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K031,

Class X1 (IO)

0.33%

04/25/23

13,247,930

97,139

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K056,

Class XAM (IO)

1.29%

05/25/26

1,400,000

98,490

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K504,

Class A2

2.57%

09/25/20

1,008,548

1,010,883

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K714,

Class X3 (IO)

1.85%

01/25/42

4,000,000

78,454

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K717,

Class A1

2.34%

02/25/21

27,268

27,230

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF05,

Class A

(LIBOR USD 1-Month plus 0.35%)

2.44%

09/25/21

44,475

44,440

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF17,

Class A

(LIBOR USD 1-Month plus 0.55%)

2.64%

03/25/23

399,584

400,334

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF19,

Class A

(LIBOR USD 1-Month plus 0.45%)

2.54%

06/25/23

770,280

770,168

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF22,

Class A

(LIBOR USD 1-Month plus 0.50%)

2.59%

07/25/23

425,068

425,563

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KP02,

Class A2

2.36%

04/25/21

113,148

112,982

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS05,

Class A

(LIBOR USD 1-Month plus 0.50%)

2.59%

01/25/23

560,361

560,443

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS07,

Class X (IO)

0.78%

09/25/25

3,500,000

123,743


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial
Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q004,
Class AFL
(Federal Reserve US 12-Month Cumulative
Average plus 0.74%)
3.19%		05/25/44	¹	$	368,017	$	368,286
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT1
2.93%		04/25/46	³		451,794		456,830
Ginnie Mae, Series 2011-165, Class IO (IO)
0.41%		10/16/51	³		8,339,432		67,549
Ginnie Mae, Series 2012-135, Class IO (IO)
0.57%		01/16/53	³		3,681,050		105,715
NCUA Guaranteed Notes Trust,
Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
2.59%		03/09/21	¹		284,095		284,234


							6,880,013

U.S. Agency Mortgage-Backed — 18.73%
Fannie Mae Pool 254548
5.50%		12/01/32			112,229		124,218
Fannie Mae Pool 468764
4.16%		07/01/21			630,000		651,614
Fannie Mae Pool 555098
(LIBOR USD 12-Month plus 1.51%)
4.28%		11/01/32	¹		15,001		15,307
Fannie Mae Pool 555424
5.50%		05/01/33			73,936		82,285
Fannie Mae Pool 567002
8.00%		05/01/23			15,652		16,540
Fannie Mae Pool 655133
7.00%		08/01/32			7,178		7,578
Fannie Mae Pool 655151
7.00%		08/01/32			13,594		14,318
Fannie Mae Pool 762525
6.50%		11/01/33			21,082		23,006
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.55%)
4.43%		04/01/34	¹		121,852		123,968
Fannie Mae Pool AD0538
6.00%		05/01/24			42,515		44,609
Fannie Mae Pool AE0443
6.50%		10/01/39			82,626		94,280
Fannie Mae Pool AL0851
6.00%		10/01/40			74,451		85,745
Fannie Mae Pool AM4580
3.43%		10/01/23			305,383		322,370

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed

(continued)

Fannie Mae REMICS, Series 1993-80,

Class S

(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)

8.41%

05/25/23

677

745

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

1,266

1,435

Fannie Mae REMICS, Series 2001-60,

Class OF

(LIBOR USD 1-Month plus 0.95%)

2.97%

10/25/31

103,894

105,670

Fannie Mae REMICS, Series 2002-30,

Class FB

(LIBOR USD 1-Month plus 1.00%)

3.02%

08/25/31

126,444

128,214

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

16,756

19,644

Fannie Mae REMICS, Series 2003-134,

Class FC

(LIBOR USD 1-Month plus 0.60%)

2.62%

12/25/32

425,176

428,059

Fannie Mae REMICS, Series 2004-60,

Class FW

(LIBOR USD 1-Month plus 0.45%)

2.47%

04/25/34

385,257

385,377

Fannie Mae REMICS, Series 2004-96,

Class MT

(-17.15 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap)

7.00%

12/25/34

10,049

11,130

Fannie Mae REMICS, Series 2005-114,

Class PF

(LIBOR USD 1-Month plus 0.38%)

2.39%

08/25/35

416,658

416,636

Fannie Mae REMICS, Series 2006-84,

Class WF

(LIBOR USD 1-Month plus 0.30%)

2.32%

02/25/36

47,569

47,551

Fannie Mae REMICS, Series 2007-68,

Class SC (IO)

(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)

4.68%

07/25/37

106,050

22,120

Fannie Mae REMICS, Series 2009-111,

Class DA

5.00%

12/25/39

7,345

7,412

Fannie Mae REMICS, Series 2009-33,

Class FB

(LIBOR USD 1-Month plus 0.82%)

2.84%

03/25/37

137,165

139,131

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed

(continued)

Fannie Mae REMICS, Series 2010-109,

Class PF

(LIBOR USD 1-Month plus 0.40%)

2.42%

10/25/40

77,926

78,074

Fannie Mae REMICS, Series 2010-26,

Class S (IO)

(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)

4.21%

11/25/36

415,462

78,206

Fannie Mae REMICS, Series 2011-124,

Class DF

(LIBOR USD 1-Month plus 0.45%)

2.47%

08/25/40

320,912

321,273

Fannie Mae REMICS, Series 2011-47,

Class GF

(LIBOR USD 1-Month plus 0.57%)

2.59%

06/25/41

137,586

138,464

Fannie Mae REMICS, Series 2011-71,

Class FB

(LIBOR USD 1-Month plus 0.50%)

2.52%

05/25/37

150,851

151,068

Fannie Mae REMICS, Series 2011-8,

Class PF

(LIBOR USD 1-Month plus 0.50%)

2.52%

01/25/40

82,631

82,659

Fannie Mae REMICS, Series 2012-19,

Class FP

(LIBOR USD 1-Month plus 0.50%)

2.52%

12/25/39

500,137

502,189

Fannie Mae REMICS, Series 2012-33,

Class F

(LIBOR USD 1-Month plus 0.52%)

2.54%

04/25/42

558,758

562,282

Fannie Mae REMICS, Series 2013-75,

Class FC

(LIBOR USD 1-Month plus 0.25%)

2.27%

07/25/42

508,631

509,504

Fannie Mae REMICS, Series 2014-19,

Class FA

(LIBOR USD 1-Month plus 0.40%)

2.42%

11/25/39

195,124

195,144

Fannie Mae REMICS. Series 2004-92,

Class FD

(LIBOR USD 1-Month plus 0.35%)

2.37%

05/25/34

478,230

479,081

Freddie Mac Gold Pool C90474

7.00%

08/01/21

7,345

7,500

Freddie Mac Gold Pool G13107

5.50%

07/01/20

743

750

Freddie Mac REMICS, Series 1526,

Class L

6.50%

06/15/23

1,677

1,771

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed

(continued)

Freddie Mac REMICS, Series 2368,

Class AF

(LIBOR USD 1-Month plus 0.95%)

2.98%

10/15/31

69,651

71,314

Freddie Mac REMICS, Series 2642,

Class BW (IO)

5.00%

06/15/23

153

Freddie Mac REMICS, Series 2733,

Class FB

(LIBOR USD 1-Month plus 0.60%)

2.63%

10/15/33

759,979

765,063

Freddie Mac REMICS, Series 2763,

Class FC

(LIBOR USD 1-Month plus 0.35%)

2.38%

04/15/32

112,759

112,751

Freddie Mac REMICS, Series 2990,

Class DE

(LIBOR USD 1-Month plus 0.38%)

2.41%

11/15/34

153,609

153,733

Freddie Mac REMICS, Series 2990,

Class LE

(LIBOR USD 1-Month plus 0.32%)

2.35%

10/15/34

412,273

411,873

Freddie Mac REMICS, Series 3066,

Class PF

(LIBOR USD 1-Month plus 0.30%)

2.33%

04/15/35

391,601

391,414

Freddie Mac REMICS, Series 3085,

Class FW

(LIBOR USD 1-Month plus 0.70%)

2.73%

08/15/35

481,850

482,551

Freddie Mac REMICS, Series 3139,

Class FL

(LIBOR USD 1-Month plus 0.30%)

2.33%

01/15/36

158,440

158,408

Freddie Mac REMICS, Series 3196,

Class FA

(LIBOR USD 1-Month plus 0.35%)

2.38%

04/15/32

425,296

425,362

Freddie Mac REMICS, Series 3300,

Class FA

(LIBOR USD 1-Month plus 0.30%)

2.33%

08/15/35

448,441

447,238

Freddie Mac REMICS, Series 3325,

Class NF

(LIBOR USD 1-Month plus 0.30%)

2.33%

08/15/35

90,085

89,844

Freddie Mac REMICS, Series 3652,

Class PF

(LIBOR USD 1-Month plus 0.75%)

2.78%

07/15/32

21,591

21,630

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed

(continued)

Freddie Mac REMICS, Series 3767,

Class JF

(LIBOR USD 1-Month plus 0.30%)

2.33%

02/15/39

254,292

254,803

Freddie Mac REMICS, Series 3792,

Class DF

(LIBOR USD 1-Month plus 0.40%)

2.43%

11/15/40

116,014

115,245

Freddie Mac REMICS, Series 3806,

Class DF

(LIBOR USD 1-Month plus 0.40%)

2.43%

08/15/25

107,756

107,457

Freddie Mac REMICS, Series 3845,

Class FQ

(LIBOR USD 1-Month plus 0.25%)

2.28%

02/15/26

217,210

217,447

Freddie Mac REMICS, Series 3879,

Class MF

(LIBOR USD 1-Month plus 0.35%)

2.38%

09/15/38

266,991

267,221

Freddie Mac REMICS, Series 3895,

Class BF

(LIBOR USD 1-Month plus 0.50%)

2.53%

07/15/41

292,822

294,406

Freddie Mac REMICS, Series 3907,

Class FM

(LIBOR USD 1-Month plus 0.35%)

2.38%

05/15/26

115,598

114,875

Freddie Mac REMICS, Series 3940,

Class PF

(LIBOR USD 1-Month plus 0.35%)

2.38%

05/15/40

676,671

677,034

Freddie Mac REMICS, Series 3946,

Class FG

(LIBOR USD 1-Month plus 0.35%)

2.38%

10/15/39

329,612

329,390

Freddie Mac REMICS, Series 4097,

Class TF

(1.00 X LIBOR USD 1-Month plus 0.40%, 6.50% Cap)

2.43%

05/15/39

159,774

159,457

Freddie Mac REMICS, Series 4109,

Class KF

(LIBOR USD 1-Month plus 0.40%)

2.43%

05/15/32

53,466

53,495

Freddie Mac Strips, Series 263,

Class F5

(LIBOR USD 1-Month plus 0.50%)

2.53%

06/15/42

456,178

457,524

Ginnie Mae II Pool (TBA)

4.50%

10/20/44

475,000

497,266

Ginnie Mae II Pool 80546

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed

(continued)

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

4.13%

10/20/31

8,944

9,287

Ginnie Mae II Pool 80610

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.88%

06/20/32

106,526

110,934

Ginnie Mae II Pool 80614

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.75%

07/20/32

13,619

14,198

Ginnie Mae II Pool 80687

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.88%

04/20/33

92,229

96,102

Ginnie Mae II Pool 8339

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

4.13%

12/20/23

11,101

11,336

Ginnie Mae II Pool 8684

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.75%

08/20/25

23,055

23,735

Ginnie Mae II Pool MA0331

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.75%

08/20/42

123,094

127,139

Ginnie Mae, Series 2001-22, Class FK

(LIBOR USD 1-Month plus 0.35%)

2.38%

05/16/31

621,461

622,785

Ginnie Mae, Series 2001-51, Class FA

(LIBOR USD 1-Month plus 0.50%)

2.53%

10/16/31

424,067

424,497

Ginnie Mae, Series 2002-72, Class FB

(LIBOR USD 1-Month plus 0.40%)

2.44%

10/20/32

142,995

143,220

Ginnie Mae, Series 2002-72, Class FC

(LIBOR USD 1-Month plus 0.40%)

2.44%

10/20/32

210,933

211,265

Ginnie Mae, Series 2003-42, Class FA

(LIBOR USD 1-Month plus 0.40%)

2.43%

07/16/31

690,846

691,432

Ginnie Mae, Series 2004-2, Class FW

(LIBOR USD 1-Month plus 1.40%)

3.50%

01/16/34

488,097

503,747

Ginnie Mae, Series 2009-66, Class UF

(LIBOR USD 1-Month plus 1.00%)

3.03%

08/16/39

140,904

143,777

Ginnie Mae, Series 2009-92, Class FC


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed
(continued)
(LIBOR USD 1-Month plus 0.80%)
2.83%		10/16/39	¹	$	150,720	$	152,626
Ginnie Mae, Series 2010-19, Class FD
(LIBOR USD 1-Month plus 0.45%)
2.48%		07/16/39	¹		69,152		68,425
Ginnie Mae, Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap)
0.60%		06/16/37	¹		2,040,883		29,927
Ginnie Mae, Series 2012-10, Class FP
(LIBOR USD 1-Month plus 0.30%)
2.34%		01/20/41	¹		69,008		68,901
Ginnie Mae, Series 2012-13, Class KF
(LIBOR USD 1-Month plus 0.30%)
2.34%		07/20/38	¹		157,751		157,849
NCUA Guaranteed Notes Trust,
Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
2.45%		10/07/20	¹		877,496		878,282
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
2.62%		12/08/20	¹		520,490		523,139
NCUA Guaranteed Notes Trust,
Series 2011-R3, Class 1A
(LIBOR USD 1-Month plus 0.40%)
2.45%		03/11/20	¹		144,585		144,602


							18,660,934

Total Mortgage-Backed
(Cost $30,729,189)							30,446,181


U.S. TREASURY SECURITIES — 33.22%
U.S. Treasury Notes — 33.22%
U.S. Treasury Floating Rate Notes
1.91%		07/31/21	¹		5,100,000		5,099,027
U.S. Treasury Notes
1.50%		08/31/21			10,020,000		9,992,014
1.50%		09/30/21			15,290,000		15,255,285
1.63%		06/30/21			2,750,000		2,747,228


Total U.S. Treasury Securities
(Cost $33,049,485)							33,093,554

Total Bonds – 91.69%
(Cost $91,479,219)							91,336,647


Issues	Maturity Date		Principal Amount/ Share		Value
SHORT-TERM INVESTMENTS — 13.55%
Money Market Funds — 6.02%
Dreyfus Government Cash Management
Fund
1.81%⁹				4,984,000	$	4,984,000
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
1.79%⁹				1,011,000		1,011,000


						5,995,000

U.S. Agency Discount Notes — 3.01%
Federal Home Loan Bank
1.99%¹⁰		10/03/19	$	3,000,000		2,999,688


U.S. Treasury Bills — 4.52%
U.S. Treasury Bills
1.89%^10,11		12/26/19		26,000		25,889
2.04%¹⁰		01/16/20		4,500,000		4,476,135


						4,502,024

Total Short-Term Investments
(Cost $13,493,500)						13,496,712


Total Investments – 105.24%
(Cost $104,972,719)					$	104,833,359


Liabilities in Excess of Other
Assets – (5.24)%						(5,215,290	)


Net Assets – 100.00%					$	99,618,069

¹	Floating rate security. The rate disclosed was in effect at September 30, 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	Security is currently in default with regard to scheduled interest or principal payments.

⁸	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $29,966, which is 0.03% of total net assets.

⁹	Represents the current yield as of September 30, 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 $25,888.

^†

Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities are 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.

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 93.77%

ASSET-BACKED SECURITIES — 14.42%**

321 Henderson Receivables VI LLC

Series 2010-1A, Class B

9.31%

07/15/61

350,441

421,391

Access Group, Inc., Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.70%)

2.72%

07/25/56

^1,2

3,870,638

3,866,967

AIMCO CLO, Series 2015-AA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.15%

01/15/28

^1,2,3

10,000,000

9,990,800

ARES XXIX CLO Ltd., Series 2014-1A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

3.49%

04/17/26

^1,2,3

3,203,818

3,204,219

Babson CLO Ltd., Series 2044-1A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.43%

07/20/25

^1,2,3

3,489,663

3,490,063

Barings BDC Static CLO Ltd.,

Series 2019-1A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.02%)

3.32%

04/15/27

^1,2,3

5,848,990

5,852,436

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.36%

07/20/28

^1,2,3

5,800,000

5,805,172

Barings CLO Ltd., Series 2018-3A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

3.23%

07/20/29

^1,2,3

8,400,000

8,400,034

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

2.57%

01/25/35

^1,2

556,730

554,531

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

2.47%

04/25/35

^1,2

1,045,045

1,027,537

BlueMountain CLO Ltd., Series 2013-1A,

Class A1R2 (Cayman Islands)

(LIBOR USD 3-Month plus 1.23%)

3.51%

01/20/29

^1,2,3

4,000,000

4,003,046

BlueMountain CLO Ltd., Series 2015-1A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.33%)

3.63%

04/13/27

^1,2,3

5,676,747

5,693,988

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

2.93%

02/25/30

48,819

48,775

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

CIT Education Loan Trust, Series 2007-1,

Class A

(LIBOR USD 3-Month plus 0.09%)

2.20%

03/25/42

^1,2

2,715,379

2,610,910

CIT Education Loan Trust, Series 2007-1,

Class B

(LIBOR USD 3-Month plus 0.30%)

2.41%

06/25/42

^1,2

2,427,100

2,228,230

Corevest American Finance Trust,

Series 2019-1, Class XA (IO)

2.35%

03/15/52

^1,4

24,685,543

2,348,517

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.82%)

2.98%

11/15/28

^1,2,3

7,500,000

7,494,510

Eaton Vance CLO Ltd., Series 2013-1A,

Class A1RR (Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

3.38%

01/15/28

^1,2,3

4,200,000

4,202,146

ECMC Group Student Loan Trust,

Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.35%)

3.37%

07/26/66

^1,2

16,229,653

16,359,493

ECMC Group Student Loan Trust,

Series 2017-2A, Class A

(LIBOR USD 1-Month plus 1.05%)

3.07%

05/25/67

^1,2

15,450,650

15,494,716

Edsouth Indenture No. 3 LLC, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.73%)

2.75%

04/25/39

^1,2

135,959

135,443

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

2.82%

04/26/32

^1,2

3,465,000

3,441,940

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

3.07%

03/25/36

78,829

79,228

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

Class A2

(LIBOR USD 1-Month plus 1.35%)

3.37%

03/25/36

^1,2

6,372,274

6,453,434

Flagship CLO VIII Ltd., Series 2014-8A,

Class ARR (Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

3.17%

01/16/26

^1,2,3

6,349,614

6,349,860

Galaxy XXIX CLO Ltd., Series 2018-29A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 0.79%)

2.95%

11/15/26

^1,2,3

3,385,825

3,387,336

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

2.67%

08/27/46

^1,2

2,563,804

2,446,050

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

Class A2 (Barbados)

3.09%

07/17/29

^1,3

1,227,667

1,236,906

Goal Capital Funding Trust,

Series 2006-1, Class B

(LIBOR USD 3-Month plus 0.45%)

2.58%

08/25/42

435,447

401,536

Higher Education Funding I, Series 2014-1,

Class A

(LIBOR USD 3-Month plus 1.05%)

3.18%

05/25/34

^1,2

1,686,424

1,694,563

J.G. Wentworth XXXVIII LLC,

Series 2016-1A, Class A

3.41%

06/15/67

716,494

760,764

J.G. Wentworth XXXVIII LLC,

Series 2017-1A, Class A

3.99%

08/16/60

3,680,116

4,065,431

LCM XIX LP, Series 19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

3.54%

07/15/27

^1,2,3

9,500,000

9,537,839

LCM XXI LP, Series 21A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.88%)

3.16%

04/20/28

^1,2,3

3,575,000

3,563,760

Limerock CLO III LLC, Series 2014-3A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

3.48%

10/20/26

^1,2,3

6,458,410

6,461,482

Navient Student Loan Trust, Series 2014-8,

Class A3

(LIBOR USD 1-Month plus 0.60%)

2.62%

05/27/49

6,120,000

6,066,391

Navient Student Loan Trust, Series 2016-2A,

Class A3

(LIBOR USD 1-Month plus 1.50%)

3.52%

06/25/65

^1,2

11,200,000

11,606,283

Navient Student Loan Trust, Series 2017-1A,

Class A3

(LIBOR USD 1-Month plus 1.15%)

3.17%

07/26/66

^1,2

16,200,000

16,459,584

Navient Student Loan Trust, Series 2017-3A,

Class A3

(LIBOR USD 1-Month plus 1.05%)

3.07%

07/26/66

^1,2

18,400,000

18,482,417

Navient Student Loan Trust, Series 2018-3A,

Class A3

(LIBOR USD 1-Month plus 0.80%)

2.82%

03/25/67

^1,2

3,500,000

3,490,845

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Navient Student Loan Trust, Series 2019-3A,

Class A

(LIBOR USD 1-Month plus 0.83%)

2.89%

07/25/68

^1,2

16,400,000

16,420,592

Nelnet Student Loan Trust, Series 2006-2,

Class B

(LIBOR USD 3-Month plus 0.20%)

2.48%

01/25/38

3,727,566

3,406,175

Nelnet Student Loan Trust, Series 2007-1,

Class A3

(LIBOR USD 3-Month plus 0.07%)

2.20%

05/27/25

1,451,922

1,442,428

Nelnet Student Loan Trust, Series 2012-5A,

Class A

(LIBOR USD 1-Month plus 0.60%)

2.62%

10/27/36

^1,2

119,178

118,654

Nelnet Student Loan Trust, Series 2014-4A,

Class A2

(LIBOR USD 1-Month plus 0.95%)

2.97%

11/25/48

^1,2

1,865,000

1,830,327

Nelnet Student Loan Trust, Series 2015-1A,

Class A

(LIBOR USD 1-Month plus 0.59%)

2.61%

04/25/46

^1,2

2,319,736

2,295,265

Nelnet Student Loan Trust, Series 2015-3A,

Class A3

(LIBOR USD 1-Month plus 0.90%)

2.92%

06/25/54

^1,2

11,000,000

10,808,828

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(LIBOR USD 3-Month plus 0.75%)

3.01%

01/29/46

134,762

134,100

Octagon Investment Partners 25 Ltd.,

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

(LIBOR USD 3-Month plus 0.80%)

3.08%

10/20/26

^1,2,3

4,910,000

Palmer Square Loan Funding Ltd.,

Series 2019-4A, Class A1 (Cayman Islands)

(1.00 X LIBOR USD 3-Month plus 0.90%)

0.00%

10/24/27

^1,2,3

4,600,000

4,600,228

PHEAA Student Loan Trust, Series 2013-3A,

Class A

(LIBOR USD 1-Month plus 0.75%)

2.77%

11/25/42

^1,2

3,669,141

3,633,534

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.92%)

3.20%

10/20/27

^1,2,3

9,100,000

9,099,766

Scholar Funding Trust, Series 2011-A,

Class A

(LIBOR USD 3-Month plus 0.90%)

3.16%

10/28/43

^1,2

104,018

104,210

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLC Student Loan Trust, Series 2004-1,

Class B

(LIBOR USD 3-Month plus 0.29%)

2.45%

08/15/31

556,110

507,486

SLC Student Loan Trust, Series 2005-2,

Class A4

(LIBOR USD 3-Month plus 0.16%)

2.28%

12/15/39

12,000,000

11,491,932

SLC Student Loan Trust, Series 2005-3,

Class A4

(LIBOR USD 3-Month plus 0.15%)

2.27%

12/15/39

13,800,000

13,080,646

SLC Student Loan Trust, Series 2006-1,

Class A6

(LIBOR USD 3-Month plus 0.16%)

2.28%

03/15/55

13,120,000

12,406,994

SLC Student Loan Trust, Series 2008-1,

Class A4A

(LIBOR USD 3-Month plus 1.60%)

3.72%

12/15/32

3,299,690

3,373,677

SLM Student Loan Trust, Series 2003-12,

Class B

(LIBOR USD 3-Month plus 0.59%)

2.71%

03/15/38

4,946,570

4,674,582

SLM Student Loan Trust, Series 2003-4,

Class A5D

(LIBOR USD 3-Month plus 0.75%)

2.87%

03/15/33

^1,2

2,378,761

2,350,242

SLM Student Loan Trust, Series 2003-7,

Class B

(LIBOR USD 3-Month plus 0.57%)

2.69%

09/15/39

3,496,175

3,249,114

SLM Student Loan Trust, Series 2004-10,

Class B

(LIBOR USD 3-Month plus 0.37%)

2.65%

01/25/40

10,063,711

9,245,841

SLM Student Loan Trust, Series 2004-2,

Class B

(LIBOR USD 3-Month plus 0.47%)

2.75%

07/25/39

608,295

578,359

SLM Student Loan Trust, Series 2006-2,

Class A6

(LIBOR USD 3-Month plus 0.17%)

2.45%

01/25/41

12,379,557

11,931,051

SLM Student Loan Trust, Series 2006-8,

Class A6

(LIBOR USD 3-Month plus 0.16%)

2.44%

01/25/41

1,800,000

1,722,527

SLM Student Loan Trust, Series 2007-2,

Class B

(LIBOR USD 3-Month plus 0.17%)

2.45%

07/25/25

12,800,000

11,738,559

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2007-3,

Class A4

(LIBOR USD 3-Month plus 0.06%)

2.34%

01/25/22

197,991

192,628

SLM Student Loan Trust, Series 2007-3,

Class B

(LIBOR USD 3-Month plus 0.15%)

2.43%

01/25/28

12,800,000

11,738,701

SLM Student Loan Trust, Series 2007-7,

Class B

(LIBOR USD 3-Month plus 0.75%)

3.03%

10/27/70

2,195,000

2,061,861

SLM Student Loan Trust, Series 2008-2,

Class A3

(LIBOR USD 3-Month plus 0.75%)

3.03%

04/25/23

14,760,368

14,570,821

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

4.16%

01/25/83

1,000,000

957,207

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.48%

04/26/83

710,000

684,540

SLM Student Loan Trust, Series 2008-4,

Class A4

(LIBOR USD 3-Month plus 1.65%)

3.93%

07/25/22

1,294,770

1,308,843

SLM Student Loan Trust, Series 2008-4,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

04/25/73

710,000

707,148

SLM Student Loan Trust, Series 2008-5,

Class A4

(LIBOR USD 3-Month plus 1.70%)

3.98%

07/25/23

6,662,761

6,730,677

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/25/73

7,315,000

7,384,517

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

3.38%

07/25/23

9,836,869

9,809,156

SLM Student Loan Trust, Series 2008-6,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/26/83

710,000

707,149

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.13%

07/26/83

820,000

817,084

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-8,

Class A4

(LIBOR USD 3-Month plus 1.50%)

3.78%

04/25/23

1,668,849

1,686,510

SLM Student Loan Trust, Series 2008-8,

Class B

(LIBOR USD 3-Month plus 2.25%)

4.53%

10/25/75

735,000

740,410

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)

3.78%

04/25/23

2,352,696

2,367,907

SLM Student Loan Trust, Series 2008-9,

Class B

(LIBOR USD 3-Month plus 2.25%)

4.53%

10/25/83

7,235,000

7,303,957

SLM Student Loan Trust, Series 2009-3,

Class A

(LIBOR USD 1-Month plus 0.75%)

2.77%

01/25/45

^1,2

8,584,680

8,562,007

SLM Student Loan Trust, Series 2011-1,

Class A2

(LIBOR USD 1-Month plus 1.15%)

3.17%

10/25/34

2,680,000

2,712,808

SLM Student Loan Trust, Series 2011-2,

Class A2

(LIBOR USD 1-Month plus 1.20%)

3.22%

10/25/34

4,035,000

4,095,861

SLM Student Loan Trust, Series 2012-1,

Class A3

(LIBOR USD 1-Month plus 0.95%)

2.97%

09/25/28

923,296

913,356

SLM Student Loan Trust, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.70%)

2.72%

01/25/29

1,358,161

1,334,343

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

2.67%

05/26/26

3,490,219

3,408,893

SLM Student Loan Trust, Series 2012-7,

Class B

(LIBOR USD 1-Month plus 1.80%)

3.82%

09/25/43

2,200,000

2,177,288

SLM Student Loan Trust, Series 2013-4,

Class A

(LIBOR USD 1-Month plus 0.55%)

2.57%

06/25/43

1,268,482

1,256,375

SLM Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.60%)

2.62%

02/26/29

1,267,412

1,236,484

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2014-2,

Class A3

(LIBOR USD 1-Month plus 0.59%)

2.61%

03/25/55

11,735,164

11,669,469

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/461,

^†

1,732,083

2,052,381

Structured Receivables Finance LLC,

Series 2010-B, Class B

7.97%

08/15/36

1,172,123

1,397,985

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

139,782

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

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

3.52%

07/17/28

^1,2,3

6,300,000

6,303,007

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.72%)

3.00%

07/25/26

^1,2,3

1,964,135

1,962,529

Total Asset-Backed Securities

(Cost $468,979,661)

473,365,374

BANK LOANS — 1.09%*

Automotive — 0.02%

Panther BF Aggregator 2 LP/Panther

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

(LIBOR plus 3.50%)

5.54%

04/30/26

^1,2

600,000

596,064

Communications — 0.21%

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

(LIBOR plus 3.25%)

5.29%

04/04/26

^1,2

1,000,000

998,215

Connect Finco SARL, Term Loan B

(LIBOR plus 4.50%)

4.50%

09/23/26

^1,2

3,000,000

2,958,045

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.28%

01/15/26

^1,2

1,492,500

1,493,993

Sprint Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.50%)

4.56%

02/02/24

^1,2

492,424

489,654

(LIBOR plus 3.00%)

5.06%

02/02/24

^1,2

992,500

991,259

6,931,166

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Discretionary — 0.03%

Reynolds Group Holdings, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.75%)

4.79%

02/06/23

^1,2

800,307

802,692

Electric — 0.06%

Chief Power Finance LLC, Term Loan B,

1st Lien

(LIBOR plus 4.75%)

6.80%

12/31/20

^1,2,5,6

1,375,562

1,178,396

Homer City Generation LP, Term Loan B,

1st Lien

(LIBOR plus 11.00%)

13.11%

04/05/23

^1,2,5,6

707,786

676,965

Vistra Operations Co., LLC, Term Loan B1,

1st Lien

(LIBOR plus 2.00%)

4.04%

08/04/23

^1,2

78,080

78,422

1,933,783

Finance — 0.22%

Avolon TLB Borrower 1 US LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

3.79%

01/15/25

^1,2

317,025

318,596

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

3.85%

10/06/23

^1,2

6,793,857

6,823,580

7,142,176

Health Care — 0.27%

Kindred at Home, Term Loan, 1st Lien

(LIBOR plus 3.75%)

5.81%

07/02/25

^1,2

1,451,403

1,461,381

MPH Acquisition Holdings LLC, Term Loan B,

1st Lien

(LIBOR plus 2.75%)

4.85%

06/07/23

^1,2

1,350,000

1,289,810

U.S. Renal Care, Inc., Term Loan B, 1st Lien

(LIBOR plus 5.00%)

7.06%

06/12/26

^1,2

1,700,000

1,614,150

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.04%

06/02/25

^1,2

4,430,742

4,453,826

8,819,167

Industrials — 0.08%

Berry Global, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.55%

07/01/26

^1,2

997,500

1,003,470

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Liqui-Box Corp., Term Loan B, 1st Lien

(LIBOR plus 4.50%)

4.50%

06/03/26

^1,2

1,750,000

1,736,875

2,740,345

Information Technology — 0.07%

IQVIA, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

3.85%

06/11/25

^1,2

740,625

742,595

Quintiles IMS, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.10%

03/07/24

^1,2

675,505

679,305

SS&C Technologies Holdings Europe SARL,

Term Loan B4, 1st Lien

(LIBOR plus 2.25%)

4.29%

04/16/25

^1,2

367,525

369,215

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.25%)

4.29%

04/16/25

^1,2

556,415

558,974

2,350,089

Real Estate Investment Trust (REIT) — 0.08%

MGM Growth Properties,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

4.04%

03/21/25

^1,2

496,144

497,970

SBA Senior Finance II LLC, Term Loan B,

1st Lien

(LIBOR plus 2.00%)

4.05%

04/11/25

^1,2

2,256,438

2,260,567

2,758,537

Retail — 0.02%

BC ULC/New Red Finance, Inc.,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 2.25%)

4.29%

02/16/24

^1,2,3

757,154

760,561

Services — 0.03%

GFL Environmental, Inc., Term Loan B,

1st Lien

(LIBOR plus 3.00%)

5.04%

05/30/25

^1,2

994,962

988,122

Total Bank Loans

(Cost $35,909,366)

35,822,702


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 28.28%*
Automotive — 0.02%
Metalsa SA de CV, Series REGS (Mexico)
4.90%		04/24/23	³	$	500,000	$	510,050


Banking — 2.32%
Banco Internacional del Peru SAA Interbank,
Series REGS (Peru)
6.63%		03/19/29	^3,4		250,000		283,125
Banco Nacional de Comercio Exterior
SNC/Cayman Islands (Mexico)
3.80%		08/11/26	^1,3,4		2,000,000		2,028,000
Bank of America Corp.
2.74%		01/23/22	⁴		8,625,000		8,675,556
3.00%		12/20/23	⁴		1,515,000		1,548,025
Bank of America Corp. (MTN)
3.12%		01/20/23	⁴		544,000		555,124
3.56%		04/23/27	⁴		5,940,000		6,270,277
Global Bank Corp. (Panama)
4.50%		10/20/21	^1,3		1,198,000		1,233,940
JPMorgan Chase & Co.
3.22%		03/01/25	⁴		8,229,000		8,523,615
4.02%		12/05/24	⁴		7,635,000		8,145,342
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	^3,4		5,000,000		5,017,431
2.91%		11/07/23	^3,4		7,530,000		7,558,704
3.90%		03/12/24	³		1,500,000		1,570,668
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		08/05/21	³		4,300,000		4,314,519
3.37%		01/05/24	^3,4		3,000,000		3,047,730
4.80%		11/15/24	^3,4		2,000,000		2,143,641
Santander UK PLC (United Kingdom)
2.50%		01/05/21	³		885,000		886,364
5.00%		11/07/23	^1,3		3,100,000		3,288,457
Wells Fargo & Co.
3.00%		04/22/26			9,265,000		9,505,992
Wells Fargo Bank N.A. (BKNT)
2.08%		09/09/22	⁴		1,525,000		1,520,993


							76,117,503

Communications — 3.32%
AT&T, Inc.
3.80%		02/15/27			2,205,000		2,336,952
4.30%		02/15/30			4,115,000		4,534,649
4.30%		12/15/42			2,300,000		2,412,404
4.80%		06/15/44			4,662,000		5,169,291
5.15%		11/15/46			2,415,000		2,794,767
5.25%		03/01/37			3,170,000		3,728,635
C&W Senior Financing DAC (Ireland)
6.88%		09/15/27	^1,3		1,200,000		1,246,508


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
CBS Corp.
3.38%		02/15/28		$	2,625,000	$	2,678,212
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.38%		06/01/29	¹		3,104,000		3,313,520
Charter Communications Operating LLC/
Charter Communications Operating Capital
3.58%		07/23/20			1,250,000		1,261,375
6.48%		10/23/45			1,490,000		1,816,385
CSC Holdings LLC
5.38%		02/01/28	¹		1,345,000		1,420,656
6.63%		10/15/25	¹		867,000		930,118
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		4,374,000		4,102,375
9.75%		07/15/25	^1,3		3,820,000		4,009,090
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	³		3,990,000		5,395,270
Level 3 Financing, Inc.
4.63%		09/15/27	¹		3,897,000		3,942,010
Qwest Corp.
6.75%		12/01/21			2,235,000		2,422,181
7.25%		09/15/25			955,000		1,075,569
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	¹		8,494,000		8,832,528
Sirius XM Radio, Inc.
3.88%		08/01/22	¹		1,379,000		1,400,116
Sprint Communications, Inc.
7.00%		03/01/20	¹		1,400,000		1,426,250
Sprint Corp.
7.63%		03/01/26			525,000		580,781
7.88%		09/15/23			1,469,000		1,615,900
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	¹		5,755,000		5,790,969
4.74%		03/20/25	¹		6,625,000		7,059,004
Time Warner Cable LLC
5.50%		09/01/41			2,972,000		3,206,432
5.88%		11/15/40			965,000		1,079,228
T-Mobile USA, Inc.
4.50%		02/01/26			200,000		205,860
4.75%		02/01/28			2,481,000		2,597,557
6.00%		03/01/23			1,264,000		1,290,784
6.00%		04/15/24			3,217,000		3,345,680
6.50%		01/15/24			740,000		768,675
Verizon Communications, Inc.
4.50%		08/10/33			1,886,000		2,195,835


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	$	864,039
5.50%		08/15/26	^1,3		983,000		1,034,607
5.50%		05/15/29	^1,3		1,250,000		1,307,813
Vodafone Group PLC (United Kingdom)
4.88%		06/19/49	³		4,673,000		5,224,502
5.25%		05/30/48	³		4,072,000		4,727,438


							109,143,965

Consumer Discretionary — 0.91%
Anheuser-Busch Cos LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.90%		02/01/46			5,443,000		6,481,279
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^1,3		2,250,000		2,459,435
5.15%		05/15/38	^1,3		1,500,000		1,648,836
BAT Capital Corp.
4.54%		08/15/47			500,000		480,457
4.76%		09/06/49			4,285,000		4,223,853
High Ridge Brands Co.
8.88%		03/15/25	^1,5,6		2,175,000		195,750
KFC Holding Co./Pizza Hut Holdings LLC/
Taco Bell of America LLC
5.00%		06/01/24	¹		464,000		482,560
Reynolds American, Inc.
5.85%		08/15/45			7,825,000		8,672,071
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC/Reynolds Group Issuer
Luxembourg SA
5.75%		10/15/20			5,383,393		5,396,852


							30,041,093

Electric — 1.88%
AES Panama SRL, Series REGS (Panama)
6.00%		06/25/22	³		250,000		257,344
Alabama Power Capital Trust V
5.20%		10/01/42	⁴		1,300,000		1,286,518
Cleco Power LLC
6.00%		12/01/40			1,380,000		1,803,503
Consolidated Edison Co. of New York, Inc.
4.45%		03/15/44			1,000,000		1,166,806
Consolidated Edison Co. of New York, Inc.,
Series E
4.65%		12/01/48			3,000,000		3,720,711
Dominion Energy, Inc.
5.75%		10/01/54	⁴		2,515,000		2,672,568
Duke Energy Carolinas LLC
3.70%		12/01/47			1,810,000		1,968,103
Duquesne Light Holdings, Inc.
6.40%		09/15/20	¹		4,641,000		4,800,548


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Entergy Corp.
4.00%		07/15/22		$	1,750,000	$	1,825,213
Eskom Holdings SOC Ltd., Series REGS
(South Africa)
7.13%		02/11/25	³		1,000,000		1,032,500
Interstate Power & Light Co.
3.25%		12/01/24			6,130,000		6,400,584
ITC Holdings Corp.
3.65%		06/15/24			1,251,000		1,315,809
Metropolitan Edison Co.
4.00%		04/15/25	¹		2,625,000		2,788,123
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.55%)
2.69%		08/28/21	²		7,005,000		7,007,163
PNM Resources, Inc.
3.25%		03/09/21			1,073,000		1,085,600
Public Service Co. of New Mexico
3.85%		08/01/25			5,565,000		5,807,893
5.35%		10/01/21			45,000		47,147
Public Service Electric & Gas Co., Series CC
9.25%		06/01/21			6,935,000		7,665,207
Southwestern Electric Power Co.
3.55%		02/15/22			2,625,000		2,696,666
Southwestern Electric Power Co., Series M
4.10%		09/15/28			2,190,000		2,423,522
Vistra Operations Co. LLC
3.55%		07/15/24	¹		4,000,000		4,042,500


							61,814,028

Energy — 3.39%
Antero Resources Corp.
5.00%		03/01/25	⁷		4,237,000		3,467,815
5.13%		12/01/22			96,000		84,840
5.63%		06/01/23			2,900,000		2,504,875
Centennial Resource Production LLC
5.38%		01/15/26	¹		400,000		382,000
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	¹		490,000		493,773
Enbridge Energy Partners LP
5.88%		10/15/25			2,190,000		2,546,719
Energy Transfer Operating LP
5.15%		03/15/45			3,826,000		4,088,601
5.50%		06/01/27			1,448,000		1,640,643
5.88%		01/15/24			1,745,000		1,943,144
EQM Midstream Partners LP
5.50%		07/15/28			205,000		200,679
EQT Corp.
3.90%		10/01/27			4,000,000		3,470,436


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Gulfport Energy Corp.
6.38%		05/15/25		$	315,000	$	225,225
Hess Corp.
7.88%		10/01/29			1,855,000		2,350,159
KazMunayGas National Co. JSC,
Series REGS (Kazakhstan)
5.38%		04/24/30	³		3,700,000		4,166,663
Kinder Morgan Energy Partners LP
5.80%		03/15/35			210,000		246,974
Kinder Morgan, Inc.
5.30%		12/01/34			875,000		1,006,299
Matador Resources Co.
5.88%		09/15/26			771,000		774,855
Occidental Petroleum Corp.
3.50%		08/15/29			1,600,000		1,624,040
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	¹		523,000		533,308
5.63%		10/15/27	¹		143,000		147,469
Peru LNG SRL, Series REGS (Peru)
5.38%		03/22/30	³		1,700,000		1,772,250
Perusahaan Gas Negara TBK PT (Indonesia)
5.13%		05/16/24	^1,3		1,650,000		1,800,277
Petrobras Global Finance BV (Netherlands)
5.09%		01/15/30	^1,3		49,000		51,146
Petroleos del Peru SA, Series REGS (Peru)
4.75%		06/19/32	³		500,000		549,844
Petroleos Mexicanos (Mexico)
1.70%		12/20/22	³		52,500		52,272
6.50%		01/23/29	³		4,135,000		4,205,295
6.63%		06/15/35	³		5,275,000		5,181,369
6.75%		09/21/47	³		5,240,000		5,022,016
7.69%		01/23/50	^1,3		7,827,000		8,166,692
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25			6,250,000		6,682,872
Range Resources Corp.
4.88%		05/15/25			4,100,000		3,403,000
Rockies Express Pipeline LLC
5.63%		04/15/20	¹		6,234,000		6,335,303
Ruby Pipeline LLC
6.00%		04/01/22	¹		5,396,970		5,612,848
Sabine Pass Liquefaction LLC
4.20%		03/15/28			2,000,000		2,118,750
Southern Co. Gas Capital Corp.
3.25%		06/15/26			2,935,000		3,019,083
Spectra Energy Partners LP
4.60%		06/15/21			3,335,000		3,457,994
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			1,776,000		1,940,728


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29	¹	$	1,422,000	$	1,557,190
TC PipeLines LP
4.38%		03/13/25			3,000,000		3,204,351
4.65%		06/15/21			2,300,000		2,376,215
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26			1,302,000		1,259,685
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^1,3		1,444,470		1,473,359
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3		2,930,000		3,061,850
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^1,3		833,250		849,915
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26			1,709,000		1,781,633
6.88%		09/01/27	¹		1,315,000		1,364,313
Williams Cos., Inc. (The)
6.30%		04/15/40			1,750,000		2,146,370
WPX Energy, Inc.
5.75%		06/01/26			939,000		965,996


							111,311,133

Finance — 4.39%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
3.95%		02/01/22	³		1,500,000		1,549,288
4.45%		12/16/21	³		1,750,000		1,820,208
5.00%		10/01/21	³		2,550,000		2,680,687
Air Lease Corp.
2.25%		01/15/23			2,000,000		1,991,862
2.50%		03/01/21			3,450,000		3,460,203
3.88%		07/03/23			2,862,000		2,988,521
Alta Wind Holdings LLC
7.00%		06/30/35	^1,5,6		1,609,106		1,875,333
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	^1,3		2,163,000		2,300,351
Citigroup, Inc.
3.14%		01/24/23	⁴		4,200,000		4,278,474
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
3.06%		02/15/22	^1,2		8,095,000		8,139,647


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Ford Motor Credit Co. LLC
2.34%		11/02/20		$	3,295,000	$	3,261,177
2.98%		08/03/22			3,015,000		2,982,935
3.20%		01/15/21			5,970,000		5,984,552
3.22%		01/09/22			630,000		629,580
3.34%		03/18/21			2,000,000		2,008,808
3.34%		03/28/22			7,735,000		7,747,326
3.81%		10/12/21			1,000,000		1,013,815
8.13%		01/15/20			7,780,000		7,895,735
(LIBOR USD 3-Month plus 0.88%)
3.22%		10/12/21	²		3,000,000		2,949,841
GE Capital International Funding Co.
(Ireland)
2.34%		11/15/20	³		13,905,000		13,870,224
4.42%		11/15/35	³		16,012,000		16,785,023
General Motors Financial Co., Inc.
4.20%		03/01/21			1,000,000		1,022,030
4.20%		11/06/21			2,000,000		2,061,810
4.38%		09/25/21			7,000,000		7,234,012
Goldman Sachs Group, Inc. (The)
3.27%		09/29/25	⁴		12,900,000		13,317,278
3.81%		04/23/29	⁴		535,000		568,472
4.22%		05/01/29	⁴		1,505,000		1,643,247
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
3.21%		07/22/22	²		8,400,000		8,465,845
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^1,3,4		5,000,000		5,099,648
3.77%		03/08/24	^1,3,4		3,070,000		3,154,127
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		1,500,000		1,558,221
5.50%		02/15/24	^1,3		1,975,000		2,136,259
Raymond James Financial, Inc.
3.63%		09/15/26			1,540,000		1,612,375


							144,086,914

Food — 1.54%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.50%)
2.62%		03/16/20	²		5,000,000		5,000,904
Kraft Heinz Foods Co.
3.00%		06/01/26			3,025,000		2,995,493
4.38%		06/01/46			7,720,000		7,305,158
4.88%		10/01/49	¹		7,750,000		7,837,800
5.00%		06/04/42			3,015,000		3,114,549
5.20%		07/15/45			7,805,000		8,240,839
6.88%		01/26/39			1,000,000		1,231,977
7.13%		08/01/39	¹		1,655,000		2,090,204


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Kroger Co. (The)
5.40%		01/15/49		$	3,647,000	$	4,312,381
Post Holdings, Inc.
5.50%		12/15/29	¹		1,200,000		1,255,500
Smithfield Foods, Inc.
5.20%		04/01/29	¹		4,690,000		5,165,181
Tyson Foods, Inc.
(LIBOR USD 3-Month plus 0.45%)
2.60%		08/21/20	²		2,185,000		2,184,307


							50,734,293

Gaming — 0.15%
Churchill Downs, Inc.
4.75%		01/15/28	¹		1,875,000		1,931,250
5.50%		04/01/27	¹		1,790,000		1,897,131
Twin River Worldwide Holdings, Inc.
6.75%		06/01/27	¹		1,000,000		1,052,500


							4,880,881

Health Care — 4.29%
AbbVie, Inc.
4.40%		11/06/42			3,655,000		3,785,549
4.45%		05/14/46			600,000		623,348
4.88%		11/14/48			1,375,000		1,516,917
Aetna, Inc.
2.80%		06/15/23			1,382,000		1,400,694
Allergan Finance LLC
3.25%		10/01/22			3,500,000		3,577,374
Allergan Funding SCS (Luxembourg)
3.80%		03/15/25	³		695,000		727,027
Amgen, Inc.
4.40%		05/01/45			3,570,000		4,040,767
Anthem, Inc.
3.50%		08/15/24			7,156,000		7,482,674
3.65%		12/01/27			3,385,000		3,556,526
Bayer U.S. Finance II LLC
4.38%		12/15/28	¹		12,365,000		13,338,843
4.63%		06/25/38	¹		2,000,000		2,167,395
4.88%		06/25/48	¹		3,970,000		4,382,249
5.50%		08/15/25	¹		2,000,000		2,212,142
(LIBOR USD 3-Month plus 1.01%)
3.13%		12/15/23	^1,2		1,000,000		1,000,285
Becton Dickinson and Co.
2.89%		06/06/22			3,750,000		3,801,937
(LIBOR USD 3-Month plus 0.88%)
2.98%		12/29/20	²		1,500,000		1,500,528
Biogen, Inc.
5.20%		09/15/45			2,998,000		3,553,597


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	¹	$	1,150,000	$	1,188,813
Celgene Corp.
5.00%		08/15/45			2,845,000		3,555,675
Centene Corp.
5.38%		06/01/26	¹		1,695,000		1,771,275
5.63%		02/15/21			3,206,000		3,253,160
CHS/Community Health Systems, Inc.
8.00%		03/15/26	¹		658,000		659,645
Cigna Corp.
4.13%		11/15/25			4,380,000		4,709,008
4.38%		10/15/28			1,750,000		1,915,698
Cigna Holding Co.
3.05%		10/15/27			4,875,000		4,924,830
CVS Health Corp.
4.30%		03/25/28			3,082,000		3,335,461
5.05%		03/25/48			13,190,000		14,993,286
5.13%		07/20/45			545,000		618,698
Elanco Animal Health, Inc.
4.27%		08/28/23			6,355,000		6,674,606
Encompass Health Corp.
4.75%		02/01/30			4,870,000		4,932,823
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	¹		1,015,000		1,030,661
Hartford HealthCare Corp.
5.75%		04/01/44			1,525,000		1,974,229
HCA, Inc.
4.13%		06/15/29			3,630,000		3,825,113
5.00%		03/15/24			533,000		582,593
5.25%		04/15/25			2,477,000		2,758,347
5.25%		06/15/49			1,450,000		1,587,858
5.50%		06/15/47			2,000,000		2,262,280
Humana, Inc.
2.90%		12/15/22			4,795,000		4,862,530
Molina Healthcare, Inc.
4.88%		06/15/25	¹		1,000,000		1,008,750
5.38%		11/15/22			523,000		556,995
Tenet Healthcare Corp.
4.88%		01/01/26	¹		2,593,000		2,664,307
5.13%		11/01/27	¹		5,509,000		5,699,611
WellCare Health Plans, Inc.
5.25%		04/01/25			730,000		762,850
5.38%		08/15/26	¹		90,000		96,187


							140,873,141

Industrials — 1.68%
Amcor Finance USA, Inc.
3.63%		04/28/26	¹		2,125,000		2,209,606


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Ardagh Packaging Finance PLC/Ardagh
Holdings USA, Inc. (Ireland)
4.13%		08/15/26	^1,3	$	1,350,000	$	1,361,813
BAE Systems Holdings, Inc.
2.85%		12/15/20	¹		1,895,000		1,902,572
Ball Corp.
4.00%		11/15/23			1,000,000		1,050,000
Berry Global, Inc.
4.88%		07/15/26	¹		380,000		393,737
Clean Harbors, Inc.
4.88%		07/15/27	¹		3,000,000		3,138,750
Covanta Holding Corp.
6.00%		01/01/27			733,000		775,147
General Electric Co.
4.13%		10/09/42			750,000		752,080
General Electric Co. (GMTN)
2.20%		01/09/20			3,250,000		3,246,335
4.63%		01/07/21			3,220,000		3,301,595
General Electric Co. (MTN)
4.65%		10/17/21			1,655,000		1,721,583
5.55%		05/04/20			2,600,000		2,646,636
(LIBOR USD 3-Month plus 0.48%)
2.64%		08/15/36	²		10,370,000		7,557,314
General Electric Co., Series A (MTN)
6.75%		03/15/32			3,690,000		4,643,751
Graphic Packaging International LLC
4.75%		07/15/27	¹		1,600,000		1,688,000
4.88%		11/15/22			500,000		523,750
Heathrow Funding Ltd. (United Kingdom)
4.88%		07/15/21	^1,3		700,000		730,727
L3Harris Technologies, Inc.
4.40%		06/15/28	¹		4,210,000		4,754,664
Sealed Air Corp.
5.25%		04/01/23	¹		1,000,000		1,070,000
5.50%		09/15/25	¹		2,063,000		2,228,040
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^1,3		1,670,000		1,576,063
Trivium Packaging Finance BV (Netherlands)
5.50%		08/15/26	^1,3		900,000		948,330
WRKCo, Inc.
4.65%		03/15/26			6,215,000		6,828,070


							55,048,563

Information Technology — 0.50%
Broadcom Corp./Broadcom Cayman
Finance Ltd.
2.38%		01/15/20			5,297,000		5,297,299


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
Broadcom, Inc.
3.13%		04/15/21	¹	$	6,230,000	$	6,291,594
3.13%		10/15/22	¹		1,500,000		1,519,372
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^1,3		300,000		309,833
4.13%		06/01/21	^1,3		800,000		821,152
SS&C Technologies, Inc.
5.50%		09/30/27	¹		2,144,000		2,244,554


							16,483,804

Insurance — 0.48%
Farmers Exchange Capital
7.20%		07/15/48	¹		150,000		195,829
Farmers Exchange Capital II
6.15%		11/01/53	^1,4		2,500,000		3,106,250
Farmers Insurance Exchange
4.75%		11/01/57	^1,4		3,800,000		3,996,200
8.63%		05/01/24	¹		942,000		1,142,190
Nationwide Mutual Insurance Co.
4.41%		12/15/24	^1,4		3,825,000		3,810,656
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^1,4		3,425,000		3,596,315


							15,847,440

Materials — 0.41%
Corp. Nacional del Cobre de Chile,
Series REGS (Chile)
3.63%		08/01/27	³		1,850,000		1,946,385
Indonesia Asahan Aluminum Persero PT
(Indonesia)
6.53%		11/15/28	^1,3		4,000,000		4,902,500
International Flavors & Fragrances, Inc.
5.00%		09/26/48			4,525,000		5,172,150
SASOL Financing USA LLC
5.88%		03/27/24			1,200,000		1,294,920
Volcan Cia Minera SAA, Series REGS (Peru)
5.38%		02/02/22	³		300,000		309,870


							13,625,825

Real Estate Investment Trust (REIT) — 1.86%
Alexandria Real Estate Equities, Inc.
3.45%		04/30/25			2,660,000		2,784,098
American Campus Communities
Operating Partnership LP
3.35%		10/01/20			1,735,000		1,752,949
3.63%		11/15/27			2,246,000		2,367,142
AvalonBay Communities, Inc. (GMTN)
3.63%		10/01/20			1,500,000		1,515,856


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
CC Holdings GS V LLC/Crown Castle
GS III Corp.
3.85%		04/15/23		$	2,625,000	$	2,760,454
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30			2,435,000		2,458,157
5.30%		01/15/29			2,280,000		2,521,589
5.38%		04/15/26			2,680,000		2,954,325
5.75%		06/01/28			3,600,000		4,108,464
HCP, Inc.
3.88%		08/15/24			2,715,000		2,897,022
4.25%		11/15/23			2,498,000		2,678,468
Healthcare Realty Trust, Inc.
3.75%		04/15/23			4,146,000		4,284,015
3.88%		05/01/25			2,190,000		2,289,876
Hudson Pacific Properties LP
3.95%		11/01/27			2,500,000		2,623,769
MGM Growth Properties Operating
Partnership LP/MGP Finance Co.-Issuer, Inc.
5.63%		05/01/24			625,000		687,500
Piedmont Operating Partnership LP
3.40%		06/01/23			4,520,000		4,570,121
Post Apartment Homes LP
3.38%		12/01/22			90,000		92,407
Reckson Operating Partnership LP
7.75%		03/15/20			7,375,000		7,551,956
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
3.15%		08/16/21	²		1,500,000		1,500,260
SL Green Realty Corp.
4.50%		12/01/22			3,000,000		3,159,940
Ventas Realty LP
3.25%		10/15/26			4,380,000		4,528,237
3.75%		05/01/24			875,000		924,101


							61,010,706

Retail — 0.44%
Alimentation Couche-Tard, Inc. (Canada)
3.55%		07/26/27	^1,3		1,935,000		2,015,489
eG Global Finance PLC (United Kingdom)
6.75%		02/07/25	^1,3		1,597,000		1,565,060
Rite Aid Corp.
6.13%		04/01/23	¹		6,710,000		5,348,541
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			5,099,000		5,379,906


							14,308,996

Services — 0.40%
DP World Crescent Ltd. (Cayman Islands)
4.85%		09/26/28	^1,3		2,200,000		2,420,344


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Services (continued)
GFL Environmental, Inc. (Canada)
5.38%		03/01/23	^1,3	$	833,000	$	847,411
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,3		1,516,000		1,600,138
4.13%		08/01/23	³		3,000,000		3,160,650
4.75%		02/15/25	^1,3		2,000,000		2,175,000
4.75%		08/01/28	³		1,750,000		1,953,875
Waste Pro USA, Inc.
5.50%		02/15/26	¹		948,000		982,090


							13,139,508

Transportation — 0.30%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21			884,332		917,759
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21			27,016		27,932
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23			1,204,277		1,263,966
American Airlines Pass-Through Trust,
Series 2015-2, Class AA
3.60%		09/22/27			2,365,890		2,487,615
Continental Airlines Pass-Through Trust,
Series 1999-2, Class A
7.26%		03/15/20			157,030		158,396
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			140,407		143,116
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%		04/02/21			173,437		179,649
Continental Airlines Pass-Through Trust,
Series 2001-1, Class A1
6.70%		06/15/21			18,766		20,021
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			2,166,112		2,287,848
Continental Airlines Pass-Through Trust,
Series 2012-1, Class B
6.25%		04/11/20			29,391		29,773
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			841,369		890,538
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21			358,400		375,976
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			821,996		899,575


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		$	77,448	$	86,530


							9,768,694

Total Corporates (Cost $893,109,217)							928,746,537


FOREIGN GOVERNMENT OBLIGATIONS — 1.28%
Foreign Government Obligations — 1.28%
Bahrain Government International Bond, Series REGS (Bahrain)
7.00%		10/12/28	³		1,400,000		1,573,655
Brazilian Government International Bond
(Brazil)
4.63%		01/13/28	³		3,450,000		3,671,697
Colombia Government International Bond
(Colombia)
4.50%		01/28/26	³		4,500,000		4,921,200
Corp. Financiera de Desarrollo SA,
Series REGS (Peru)
4.75%		07/15/25	³		2,000,000		2,202,520
Dominican Republic International Bond,
Series REGS (Dominican Republic)
6.60%		01/28/24	³		3,750,000		4,129,687
Egypt Government International Bond
(Egypt)
5.58%		02/21/23	^1,3		1,600,000		1,638,400
Fondo MIVIVIENDA SA, Series REGS (Peru)
3.50%		01/31/23	³		1,000,000		1,029,063
Hazine Mustesarligi Varlik Kiralama AS,
Series REGS (Turkey)
4.49%		11/25/24	³		270,000		259,973
Mexico Government International Bond
(Mexico)
3.75%		01/11/28	³		700,000		722,050
Oman Government International Bond
(Oman)
5.63%		01/17/28	^1,3		3,120,000		3,080,376
Paraguay Government International Bond,
Series REGS (Paraguay)
4.63%		01/25/23	³		950,000		1,001,547
Qatar Government International Bond
(Qatar)
4.50%		04/23/28	³		2,700,000		3,083,670
Republic of Azerbaijan International Bond,
Series REGS (Azerbaijan)
4.75%		03/18/24	³		1,200,000		1,274,520
Russian Foreign Bond - Eurobond,
Series REGS (Russia)
4.38%		03/21/29	³		4,200,000		4,501,560


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Saudi Government International Bond,
Series REGS (EMTN) (Saudi Arabia)
4.50%		10/26/46	³	$	1,300,000	$	1,454,375
Saudi Government International Bond
(Saudi Arabia)
4.00%		04/17/25	^1,3		2,700,000		2,899,800
South Africa Government International Bond
(South Africa)
4.67%		01/17/24	³		900,000		944,156
Turkey Government International Bond
(Turkey)
5.13%		03/25/22	³		2,250,000		2,272,050
Uruguay Government International Bond
(Uruguay)
4.38%		01/23/31	³		1,388,717		1,535,588


Total Foreign Government Obligations (Cost $40,098,870)							42,195,887


MORTGAGE-BACKED — 48.11%**
Non-Agency Commercial
Mortgage-Backed — 10.41%
1345 Avenue of the Americas & Park Avenue
Plaza Trust, Series 2005-1, Class A3
5.28%		08/10/35	¹		5,600,000		6,230,302
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2018-PARK, Class A
4.23%		08/10/38	^1,4		5,910,000		6,682,255
Banc of America Merrill Lynch Trust,
Series 2011-FSHN, Class A
4.42%		07/11/33	¹		4,970,000		5,122,928
BANK, Series 2017-BNK7, Class A3
3.09%		09/15/60			10,374,000		10,748,564
BANK, Series 2019-BN18, Class A2
3.47%		05/15/62			7,669,000		8,110,501
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.43%)
2.45%		08/25/34	^1,2		882,189		868,035
BBCMS Trust, Series 2013-TYSN, Class A2
3.76%		09/05/32	¹		4,675,000		4,738,711
BB-UBS Trust, Series 2012-SHOW, Class A
3.43%		11/05/36	¹		3,490,000		3,679,908
CALI Mortgage Trust, Series 2019-101C,
Class A
3.96%		03/10/39	¹		7,630,000		8,587,631
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.93%		09/10/45	^1,4		39,470,404		1,674,394


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.52%		02/10/48	⁴	$	73,429,201	$	4,129,232
Commercial Mortgage Trust,
Series 2010-C1, Class A3
4.21%		07/10/46	¹		18,045,546		18,172,287
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.91%		10/15/45	⁴		43,585,542		1,917,195
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.67%		12/10/45	⁴		74,292,321		3,124,601
Commercial Mortgage Trust,
Series 2013-300P, Class A1
4.35%		08/10/30	¹		2,840,000		3,045,080
Commercial Mortgage Trust,
Series 2013-CR13, Class XA (IO)
0.93%		11/10/46	⁴		63,977,155		1,802,057
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.49%		01/10/46	⁴		36,281,010		1,323,132
Commercial Mortgage Trust,
Series 2014-277P, Class A
3.73%		08/10/49	^1,4		6,275,000		6,691,001
Commercial Mortgage Trust,
Series 2014-CR16, Class A3
3.78%		04/10/47			18,512,306		19,648,691
Commercial Mortgage Trust,
Series 2014-CR16, Class XA (IO)
1.14%		04/10/47	⁴		110,097,919		4,157,837
Core Industrial Trust, Series 2015-CALW,
Class A
3.04%		02/10/34	¹		4,458,755		4,563,514
Core Industrial Trust, Series 2015-TEXW,
Class A
3.08%		02/10/34	¹		5,602,644		5,729,715
Core Industrial Trust, Series 2015-WEST,
Class A
3.29%		02/10/37	¹		6,668,784		7,198,006
Core Industrial Trust, Series 2015-WEST,
Class B
3.57%		02/10/37	¹		1,130,000		1,240,609
Credit Suisse Mortgage Capital,
Series 2015-GLPB, Class A
3.64%		11/15/34	¹		14,346,176		15,216,605
Deutsche Bank Commercial Mortgage Trust,
Series 2016-SFC, Class A
2.83%		08/10/36	¹		6,000,000		6,160,830
GE Business Loan Trust, Series 2007-1A,
Class A
(LIBOR USD 1-Month plus 0.17%)
2.20%		04/15/35	^1,2		3,244,192		3,180,457


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
1.47%		08/10/43	^1,4	$	40,699,677	$	292,122
GS Mortgage Securities Trust,
Series 2012-GC6, Class XA (IO)
2.12%		01/10/45	^1,4		51,233,128		1,727,171
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.23%		04/10/47	⁴		78,908,159		2,624,324
GS Mortgage Securities Trust,
Series 2014-GC24, Class A4
3.67%		09/10/47			19,360,000		20,640,558
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	¹		6,340,000		6,782,175
Irvine Core Office Trust, Series 2013-IRV,
Class A2
3.28%		05/15/48	^1,4		2,750,000		2,857,335
JPMBB Commercial Mortgage Securities
Trust, Series 2013-C14, Class XA (IO)
0.73%		08/15/46	⁴		73,754,126		1,422,533
JPMBB Commercial Mortgage Securities
Trust, Series 2013-C15, Class XA (IO)
1.24%		11/15/45	⁴		17,948,862		654,338
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C21, Class XA (IO)
1.16%		08/15/47	⁴		22,184,780		851,978
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2010-C1,
Class A2
4.61%		06/15/43	¹		3,370,434		3,377,979
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C3,
Class XA (IO)
1.14%		02/15/46	^1,4		17,164,441		180,917
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-LC11,
Class XA (IO)
1.40%		04/15/46	⁴		12,219,621		464,085
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2015-JP1,
Class A4
3.65%		01/15/49			7,400,000		7,997,139
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2019-OSB,
Class A
3.40%		06/05/39	¹		8,000,000		8,635,656
Key Commercial Mortgage Securities Trust,
Series 2018-S1, Class A1
3.72%		10/15/53	¹		5,988,694		6,230,120


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%)
2.27%		06/25/37	^1,2	$	1,758,681	$	1,728,953
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6, Class A4
2.86%		11/15/45			1,147,828		1,166,975
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C12, Class XA (IO)
0.77%		10/15/46	⁴		34,210,084		700,633
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C22, Class A4
3.31%		04/15/48			2,195,000		2,313,075
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C22, Class XA (IO)
1.23%		04/15/48	⁴		77,710,931		3,512,651
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C23, Class A3
3.45%		07/15/50			5,550,000		5,862,994
Morgan Stanley Capital I Trust,
Series 2019-H6, Class A2
3.23%		06/15/52			5,000,000		5,214,550
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/13/49	¹		6,895,000		6,901,794
One Market Plaza Trust, Series 2017-1MKT,
Class A
3.61%		02/10/32	¹		5,600,000		5,890,544
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.96%		01/15/32	^1,4		3,460,000		3,688,204
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class XA (IO)
0.45%		01/05/43	^1,4		28,685,000		1,687,005
TIAA Seasoned Commercial Mortgage Trust,
Series 2007-C4, Class AJ
5.48%		08/15/39	⁴		270,617		271,216
Wells Fargo Commercial Mortgage Trust,
Series 2010-C1, Class A2
4.39%		11/15/43	¹		21,025,000		21,311,789
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.27%		08/15/50	⁴		52,693,024		2,204,676
Wells Fargo Commercial Mortgage Trust,
Series 2015-C29, Class A4
3.64%		06/15/48			2,195,000		2,353,482
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class A5
3.77%		07/15/58	⁴		8,800,000		9,499,556
Wells Fargo Commercial Mortgage Trust,
Series 2016-C33, Class XA (IO)
1.92%		03/15/59	⁴		108,053,494		8,601,058


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class A4
3.10%		06/15/49		$	10,000,000	$	10,452,808
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class XA (IO)
1.88%		11/15/44	^1,4		21,061,691		558,135
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.70%		12/15/45	^1,4		68,507,970		2,848,020
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.98%		08/15/45	^1,4		44,642,371		1,810,029
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
2.06%		11/15/45	^1,4		37,880,613		1,821,300
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.87%		06/15/46	⁴		76,773,863		1,656,780
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class A4
3.72%		05/15/47			2,195,000		2,316,290
WF-RBS Commercial Mortgage Trust,
Series 2014-C23, Class XA (IO)
0.74%		10/15/57	⁴		87,473,835		2,152,180
Worldwide Plaza Trust, Series 2017-WWP,
Class A
3.53%		11/10/36	¹		6,500,000		7,019,140


							342,026,345

Non-Agency Mortgage-Backed — 24.13%
Aames Mortgage Investment Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.56%)
2.58%		04/25/36	²		1,937,540		1,923,745
Accredited Mortgage Loan Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.28%)
2.30%		04/25/36	²		4,142,642		4,082,188
ACE Securities Corp. Home Equity Loan
Trust, Series 2006-OP2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
2.17%		08/25/36	²		512,782		507,075
ACE Securities Corp. Home Equity Loan
Trust, Series 2007-ASP1, Class A2D
(LIBOR USD 1-Month plus 0.38%)
2.40%		03/25/37	²		2,888,976		1,893,350
Adjustable Rate Mortgage Trust,
Series 2005-4, Class 5A1
3.80%		08/25/35	⁴		2,685,971		2,472,505

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Adjustable Rate Mortgage Trust,

Series 2005-5, Class 6A21

(LIBOR USD 1-Month plus 0.23%)

2.25%

09/25/35

15,887

15,929

Adjustable Rate Mortgage Trust,

Series 2007-1, Class 1A1

4.56%

03/25/37

⁴

3,255,703

2,997,802

Alternative Loan Trust,

Series 2005-76, Class 1A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.48%)

3.93%

01/25/36

4,792,282

4,804,759

Alternative Loan Trust,

Series 2006-HY12, Class A5

3.94%

08/25/36

⁴

4,887,583

5,137,295

American Home Mortgage Investment Trust,

Series 2006-1, Class 12A1

(LIBOR USD 1-Month plus 0.40%)

2.42%

03/25/46

5,281,643

5,092,409

Asset-Backed Funding Certificates,

Series 2007-NC1, Class A2

(LIBOR USD 1-Month plus 0.30%)

2.32%

05/25/37

^1,2

5,339,799

5,261,621

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A2B

(LIBOR USD 1-Month plus 1.00%)

3.02%

06/25/37

4,498,429

4,092,963

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2004-HE9, Class M1

(LIBOR USD 1-Month plus 0.98%)

2.99%

12/25/34

1,757,641

1,753,484

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE1, Class A4

(LIBOR USD 1-Month plus 0.30%)

2.32%

01/25/36

5,000,000

4,956,400

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE5, Class A5

(LIBOR USD 1-Month plus 0.24%)

2.26%

07/25/36

9,754,000

9,278,884

Banc of America Alternative Loan Trust,

Series 2003-8, Class 1CB1

5.50%

10/25/33

1,030,910

1,064,589

Banc of America Funding Trust,

Series 2004-B, Class 5A1

4.42%

11/20/34

⁴

351,572

349,348

Banc of America Funding Trust,

Series 2006-D, Class 3A1

4.24%

05/20/36

⁴

1,300,393

1,279,456

Banc of America Funding Trust,

Series 2006-G, Class 2A1

(LIBOR USD 1-Month plus 0.44%)

2.48%

07/20/36

975,985

977,417

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Banc of America Funding Trust,

Series 2006-G, Class 2A4

(LIBOR USD 1-Month plus 0.58%)

2.62%

07/20/36

3,897,822

3,912,530

Banc of America Funding Trust,

Series 2015-R3, Class 6A2

2.32%

05/27/36

^1,4

17,572,710

16,723,565

Banc of America Funding Trust,

Series 2016-R1, Class A1

2.50%

03/25/40

^1,4

3,865,545

3,867,012

Banc of America Mortgage Trust,

Series 2005-K, Class 2A1

4.37%

12/25/35

⁴

1,448,664

1,436,007

BCAP LLC Trust, Series 2007-AA1,

Class 2A1

(LIBOR USD 1-Month plus 0.18%)

2.20%

03/25/37

4,540,191

4,532,439

BCAP LLC Trust, Series 2014-RR2,

Class 6A1

(LIBOR USD 1-Month plus 0.24%)

2.39%

10/26/36

^1,2

8,449,479

8,425,871

BCAP LLC Trust, Series 2014-RR3,

Class 4A1

2.45%

03/26/36

^1,4

4,913,060

4,772,477

Bear Stearns ALT-A Trust, Series 2005-1,

Class M1

(LIBOR USD 1-Month plus 0.75%)

2.77%

01/25/35

14,935,000

14,852,162

Bear Stearns ALT-A Trust, Series 2005-2,

Class 2A4

4.24%

04/25/35

⁴

1,964,294

1,987,473

Bear Stearns ALT-A Trust, Series 2005-8,

Class 11A1

(LIBOR USD 1-Month plus 0.54%)

2.56%

10/25/35

10,092,781

10,034,607

Bear Stearns ARM Trust, Series 2005-9,

Class A1

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 2.30%)

4.27%

10/25/35

2,668,941

2,753,340

Bear Stearns Asset-Backed Securities I

Trust, Series 2005-AC6, Class 1A3

5.50%

09/25/35

⁴

529,195

544,393

Bear Stearns Asset-Backed Securities I

Trust, Series 2006-AC2, Class 21A3

6.00%

03/25/36

72,096

86,774

Bear Stearns Mortgage Funding Trust,

Series 2007-AR4, Class 1A1

(LIBOR USD 1-Month plus 0.20%)

2.22%

09/25/47

10,379,491

9,884,277


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Carrington Mortgage Loan Trust,
Series 2005-OPT2, Class M4
(LIBOR USD 1-Month plus 0.98%)
2.99%		05/25/35	²	$	2,960,000	$	2,972,911
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.35%)
2.37%		02/25/36	²		3,620,000		3,596,172
Centex Home Equity Loan Trust,
Series 2006-A, Class AV4
(LIBOR USD 1-Month plus 0.25%)
2.27%		06/25/36	²		2,142,470		2,133,162
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
4.54%		02/25/37	⁴		1,059,211		1,113,111
CIM Trust, Series 2016-3, Class A1
5.00%		02/01/56	¹		11,515,718		11,907,105
CIM Trust, Series 2016-4, Class A1
(LIBOR USD 1-Month plus 2.00%)
4.10%		10/25/57	^1,2		6,996,433		7,295,375
CIM Trust, Series 2017-6, Class A1
3.02%		06/25/57	^1,4		13,859,497		13,933,005
CIM Trust, Series 2017-8, Class A1
3.00%		12/25/65	^1,4		12,631,426		12,627,700
CIM Trust, Series 2018-R4, Class A1
4.07%		12/26/57	^1,4		12,312,193		12,492,739
CIM Trust, Series 2018-R5, Class A1
3.75%		07/25/58	^1,4		12,271,175		12,456,621
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
2.28%		11/25/35	²		66,277		55,265
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class M1
(LIBOR USD 1-Month plus 0.27%)
2.29%		08/25/36	²		8,972,899		8,923,489
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH3, Class M1
(LIBOR USD 1-Month plus 0.29%)
2.31%		10/25/36	²		5,797,527		5,832,177
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH1, Class A4
(LIBOR USD 1-Month plus 0.20%)
2.22%		01/25/37	²		941,933		943,345
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
4.55%		06/25/36	⁴		295,530		288,519

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Citigroup Mortgage Loan Trust,

Series 2006-HE2, Class A2D

(LIBOR USD 1-Month plus 0.24%)

2.26%

08/25/36

1,360,735

1,344,382

Citigroup Mortgage Loan Trust,

Series 2007-WFHE2, Class A4

(LIBOR USD 1-Month plus 0.35%)

2.37%

03/25/37

2,499,301

2,504,930

Conseco Finance Corp., Series 1998-6,

Class A8

6.66%

06/01/30

⁴

17,088

17,705

Countrywide Asset-Backed Certificates,

Series 2004-15, Class MV4

(LIBOR USD 1-Month plus 1.28%)

3.29%

04/25/35

2,802,948

2,831,343

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-3,

Class 1A2

(LIBOR USD 1-Month plus 0.58%)

2.60%

04/25/35

4,901,339

4,621,723

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-9,

Class 1A1

(LIBOR USD 1-Month plus 0.60%)

2.62%

05/25/35

108,974

95,910

Credit Suisse First Boston Mortgage

Securities Corp., Series 2003-AR26,

Class 3A1

4.50%

11/25/33

⁴

892,170

898,120

Credit Suisse First Boston Mortgage

Securities Corp., Series 2005-11,

Class 1A1

6.50%

12/25/35

758,512

649,070

Credit Suisse First Boston Mortgage-Backed

Pass-Through Certificates, Series 2004-AR5,

Class 9A1

3.27%

06/25/34

⁴

79,039

78,462

Credit Suisse Mortgage Capital,

Mortgage-Backed Trust,

Series 2006-8, Class 3A1

6.00%

10/25/21

61,583

54,378

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2B

(STEP-reset date 11/25/19)

4.00%

02/25/37

6,099,094

4,873,436

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2C

(STEP-reset date 11/25/19)

4.00%

02/25/37

1,459,767

1,166,278

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB3, Class A3

(STEP-reset date 11/25/19)

3.78%

03/25/37

6,740,511

3,747,589

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB2,

Class AF3 (STEP-reset date 11/25/19)

3.43%

12/25/36

880,613

790,771

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB9,

Class A2

(LIBOR USD 1-Month plus 0.11%)

2.13%

11/25/36

9,530,638

5,943,610

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB1,

Class AF2 (STEP-reset date 11/25/19)

3.55%

01/25/37

2,549,528

1,156,302

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB4,

Class A1A

(LIBOR USD 1-Month plus 0.09%)

2.11%

04/25/37

3,194,889

3,058,407

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A1

(LIBOR USD 1-Month plus 0.06%)

2.08%

04/25/37

1,848,001

1,435,539

CSMC Trust, Series 2019-RPL2, Class A1A

4.34%

07/25/58

14,521,401

14,831,130

DSLA Mortgage Loan Trust,

Series 2004-AR4, Class 2A1A

(LIBOR USD 1-Month plus 0.36%)

2.42%

01/19/45

1,003,375

930,689

DSLA Mortgage Loan Trust,

Series 2005-AR6, Class 2A1A

(LIBOR USD 1-Month plus 0.29%)

2.35%

10/19/45

5,410,186

5,264,077

DSLA Mortgage Loan Trust,

Series 2006-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.20%)

2.26%

10/19/36

7,549,300

6,919,352

DSLA Mortgage Loan Trust,

Series 2007-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.14%)

2.20%

04/19/47

2,212,924

1,965,836

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2C

(LIBOR USD 1-Month plus 0.16%)

2.18%

10/25/36

995,932

783,879

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2D

(LIBOR USD 1-Month plus 0.21%)

2.23%

12/25/37

1,198,697

1,136,335

First Franklin Mortgage Loan Trust,

Series 2006-FF4, Class A3

(LIBOR USD 1-Month plus 0.28%)

2.71%

03/25/36

15,096,000

14,420,130

First Franklin Mortgage Loan Trust,

Series 2006-FF9, Class 2A4

(LIBOR USD 1-Month plus 0.25%)

2.27%

06/25/36

8,650,000

7,783,736

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2D

(LIBOR USD 1-Month plus 0.22%)

2.24%

01/25/38

5,564,466

4,011,331

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

2.12%

03/25/37

720,909

468,509

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA3, Class A1

4.05%

09/25/34

⁴

484,839

487,325

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA3, Class A3

4.05%

09/25/34

⁴

745,532

749,355

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA10, Class 1A1

4.14%

12/25/35

⁴

1,623,158

1,519,703

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA12, Class 2A1

4.06%

02/25/36

⁴

2,193,800

1,952,303

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA2, Class 2A1

3.87%

04/25/35

⁴

2,770,399

2,828,160

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA3, Class 3A1

4.26%

05/25/35

⁴

2,707,694

2,694,536

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA7, Class 2A1

4.09%

09/25/35

⁴

3,265,042

3,173,760

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA8, Class 2A1

3.98%

10/25/35

⁴

3,459,794

2,795,712

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA9, Class 2A1

4.23%

11/25/35

⁴

2,123,564

1,932,633

First Horizon Alternative Mortgage Securities

Trust, Series 2006-AA1, Class 1A1

4.11%

03/25/36

⁴

2,793,862

2,380,626


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities
Trust, Series 2006-AA7, Class A1
4.12%		01/25/37	⁴	$	3,897,603	$	3,571,487
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 1A1
4.25%		09/25/35	⁴		3,388,716		3,068,805
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1
4.07%		10/25/35	⁴		131,946		129,122
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR5, Class 2A1
4.63%		11/25/35	⁴		1,451,948		1,331,516
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR2, Class 1A2
4.82%		08/25/37	⁴		134,820		106,265
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 2A1
4.51%		09/19/35	⁴		1,765,199		1,426,775
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 3A1
4.01%		09/19/35	⁴		2,070,029		1,979,819
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
4.18%		04/19/36	⁴		4,644,812		4,382,406
GreenPoint Mortgage Funding Trust,
Series 2005-HY1, Class 2A
(LIBOR USD 1-Month plus 0.29%)
2.31%		07/25/35	²		983,270		983,349
GreenPoint Mortgage Funding Trust,
Series 2006-AR8, Class 1A2A⁸
0.00%		01/25/47	^9,†		1,060,000		—
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
2.22%		03/25/47	²		16,951,782		15,543,950
GSAMP Trust, Series 2005-HE5, Class M2
(LIBOR USD 1-Month plus 0.43%)
2.45%		11/25/35	²		5,312,878		5,336,302
GSR Mortgage Loan Trust,
Series 2005-7F, Class 3A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap)
3.48%		09/25/35	^2,5,6		24,594		955
GSR Mortgage Loan Trust,
Series 2005-AR4, Class 5A1
4.64%		07/25/35	⁴		1,142,465		1,094,230
GSR Mortgage Loan Trust,
Series 2006-AR2, Class 2A1
4.15%		04/25/36	⁴		270,028		235,770
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 5A1A
4.36%		05/25/37	⁴		1,065,764		971,334

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

HarborView Mortgage Loan Trust,

Series 2005-10, Class 2A1A

(LIBOR USD 1-Month plus 0.31%)

2.37%

11/19/35

3,340,290

3,041,987

HarborView Mortgage Loan Trust,

Series 2006-7, Class 1A

(LIBOR USD 1-Month plus 0.21%)

2.27%

09/19/46

14,532,889

14,053,687

HarborView Mortgage Loan Trust,

Series 2007-6, Class 1A1A

(LIBOR USD 1-Month plus 0.20%)

2.26%

08/19/37

15,811,789

14,854,058

Home Equity Mortgage Loan Asset-Backed

Trust, Series 2005-D, Class AII4

(LIBOR USD 1-Month plus 0.35%)

2.37%

03/25/36

7,183,492

7,062,473

HSI Asset Securitization Corp. Trust,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

2.65%

11/25/35

5,514,270

5,519,057

Impac CMB Trust, Series 2005-2,

Class 1A1

(LIBOR USD 1-Month plus 0.52%)

2.54%

04/25/35

4,695,809

4,715,082

IndyMac Index Mortgage Loan Trust,

Series 2005-AR14, Class 1A1A

(LIBOR USD 1-Month plus 0.28%)

2.30%

07/25/35

14,189,554

11,841,238

IndyMac Index Mortgage Loan Trust,

Series 2005-AR19, Class A1

3.59%

10/25/35

⁴

2,612,690

2,282,135

IndyMac Index Mortgage Loan Trust,

Series 2006-AR27, Class 1A3

(LIBOR USD 1-Month plus 0.27%)

2.29%

10/25/36

7,536,721

4,773,122

IndyMac Index Mortgage Loan Trust,

Series 2006-AR7, Class 3A1

4.03%

05/25/36

⁴

488,949

435,602

IndyMac Index Mortgage Loan Trust,

Series 2006-AR9, Class 3A3

3.75%

06/25/36

⁴

4,297,479

4,222,262

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1998-1,

Class A4

6.49%

09/25/28

52,668

54,157

JPMorgan Mortgage Acquisition Trust,

Series 2006-ACC1, Class M1

(LIBOR USD 1-Month plus 0.27%)

2.29%

05/25/36

7,564,250

7,557,408

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

JPMorgan Mortgage Acquisition Trust,

Series 2006-CH1, Class M2

(LIBOR USD 1-Month plus 0.29%)

2.31%

07/25/36

12,400,000

12,256,428

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH1, Class MV1

(LIBOR USD 1-Month plus 0.23%)

2.25%

11/25/36

3,866,441

3,875,504

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH1, Class MV3

(LIBOR USD 1-Month plus 0.32%)

2.34%

11/25/36

14,417,000

14,386,966

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH5, Class A4

(LIBOR USD 1-Month plus 0.16%)

2.18%

06/25/36

1,561,027

1,555,790

JPMorgan Mortgage Trust, Series 2005-A6,

Class 7A1

4.26%

08/25/35

⁴

44,092

43,582

JPMorgan Mortgage Trust, Series 2006-A3,

Class 2A1

4.38%

05/25/36

⁴

38,733

38,088

JPMorgan Mortgage Trust, Series 2006-S2,

Class 2A2

5.88%

06/25/21

165,399

156,182

JPMorgan Mortgage Trust, Series 2007-S1,

Class 1A2

5.50%

03/25/22

65,893

64,412

Legacy Mortgage Asset Trust,

Series 2017-RPL1, Class A

(LIBOR USD 1-Month plus 1.75%)

3.89%

01/28/70

^1,2

13,941,742

14,160,121

Legacy Mortgage Asset Trust,

Series 2019-GS4, Class A1

(STEP-reset date 10/25/19)

3.44%

05/25/59

14,703,668

14,795,465

Lehman XS Trust, Series 2005-4,

Class 1A3

(LIBOR USD 1-Month plus 0.80%)

2.82%

10/25/35

90,000

89,954

Lehman XS Trust, Series 2005-5N,

Class 3A1A

(LIBOR USD 1-Month plus 0.30%)

2.32%

11/25/35

4,752,120

4,744,793

Lehman XS Trust, Series 2006-GP2,

Class 1A5A

(LIBOR USD 1-Month plus 0.21%)

2.23%

06/25/46

7,602,876

7,020,339

Lehman XS Trust, Series 2007-18N,

Class 1A1

(LIBOR USD 1-Month plus 0.85%)

2.87%

10/25/37

7,807,892

7,464,951

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

MASTR Adjustable Rate Mortgages Trust,

Series 2003-7, Class 3A1

4.27%

11/25/33

⁴

305,091

306,996

MASTR Adjustable Rate Mortgages Trust,

Series 2004-15, Class 8A1

5.06%

10/25/34

⁴

472,272

473,191

MASTR Adjustable Rate Mortgages Trust,

Series 2004-3, Class 3A3

4.26%

04/25/34

⁴

78,445

79,026

MASTR Adjustable Rate Mortgages Trust,

Series 2006-2, Class 4A1

4.71%

02/25/36

⁴

32,439

32,154

MASTR Adjustable Rate Mortgages Trust,

Series 2007-2, Class A1

(LIBOR USD 1-Month plus 0.15%)

2.17%

03/25/47

5,480,504

5,291,665

MASTR Adjustable Rate Mortgages Trust,

Series 2007-2, Class A2⁸

0.00%

03/25/47

^5,9,†

20,725,600

—

MASTR Asset-Backed Securities Trust,

Series 2007-HE1, Class A4

(LIBOR USD 1-Month plus 0.28%)

2.30%

05/25/37

3,150,000

2,771,879

Merrill Lynch Alternative Note Asset Trust,

Series 2007-A3, Class A2D

(LIBOR USD 1-Month plus 0.33%)

2.35%

04/25/37

^2,5,6

883,581

75,712

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-4, Class 2A4

(LIBOR USD 1-Month plus 0.25%)

2.27%

07/25/37

1,232,803

846,073

Merrill Lynch Mortgage Investors Trust,

Series 2003-A6, Class 2A

4.41%

10/25/33

⁴

198,046

200,826

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%)

4.15%

08/25/36

1,815,112

1,807,882

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

Class B

8.90%

08/15/37

57,599

65,628

Morgan Stanley Capital I, Inc., Trust,

Series 2006-NC2, Class A2D

(LIBOR USD 1-Month plus 0.29%)

2.31%

02/25/36

2,895,523

2,761,603

Morgan Stanley Home Equity Loan Trust,

Series 2006-2, Class A4

(LIBOR USD 1-Month plus 0.28%)

2.30%

02/25/36

3,212,530

3,193,858


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
4.01%		09/25/34	⁴	$	444,171	$	440,122
Morgan Stanley Mortgage Loan Trust,
Series 2005-6AR, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
2.30%		11/25/35	²		10,351		10,374
Morgan Stanley Mortgage Loan Trust,
Series 2006-2, Class 1A
5.25%		02/25/21			129,070		128,805
Morgan Stanley Resecuritization Trust,
Series 2013-R3, Class 12A⁸
0.00%		01/26/47	^1,5,9,†		1,200,000		—
Morgan Stanley Resecuritization Trust,
Series 2014-R9, Class 3A
(Federal Reserve US 12-Month Cumulative
Average plus 0.84%)
3.32%		11/26/46	^1,2		2,470,498		2,442,605
MortgageIT Trust, Series 2005-2, Class 2A
(LIBOR USD 1-Month plus 1.65%)
3.75%		05/25/35	²		2,452,712		2,513,373
MortgageIT Trust, Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
2.30%		10/25/35	²		2,711,835		2,736,186
MortgageIT Trust, Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.52%)
2.54%		12/25/35	²		500,658		499,677
New Century Home Equity Loan Trust,
Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.33%)
2.35%		02/25/36	²		2,872,063		2,812,215
New York Mortgage Trust, Series 2005-3,
Class A1
(LIBOR USD 1-Month plus 0.48%)
2.50%		02/25/36	²		660,397		663,718
Nomura Asset Acceptance Corp.,
Series 2005-AR4, Class 4A1
4.67%		08/25/35	⁴		3,616,311		3,642,723
Nomura Resecuritization Trust,
Series 2016-2R, Class 1A1
2.30%		09/26/36	^1,4		4,756,329		4,692,965
Nomura Resecuritization Trust,
Series 2011-2RA, Class 1A2
4.02%		12/26/46	^1,4		3,018,235		3,047,890
NRPL, Series 2019-3A, Class A1
3.00%		06/25/59	^1,4,†		15,000,000		14,976,863
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%		09/15/29	⁴		10,653,046		5,466,708


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Opteum Mortgage Acceptance Corp.
Asset-Backed Pass-Through Certificates,
Series 2005-3, Class M2
(LIBOR USD 1-Month plus 0.48%)
2.50%		07/25/35	²	$	11,301,000	$	11,037,273
Ownit Mortgage Loan Trust,
Series 2006-2, Class A1
(LIBOR USD 1-Month plus 0.21%)
2.23%		01/25/37	²		10,879,508		10,659,857
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
2.33%		06/25/47	²		5,152,000		4,693,619
RAAC Trust,
Series 2005-SP1, Class 4A1
7.00%		09/25/34			112,763		117,205
Residential Accredit Loans Trust,
Series 2005-QA13, Class 2A1
4.78%		12/25/35	⁴		2,444,419		2,262,642
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
4.47%		04/25/35	⁴		99,039		92,194
Residential Accredit Loans Trust,
Series 2005-QA7, Class A21
4.59%		07/25/35	⁴		1,103,301		1,063,949
Residential Accredit Loans Trust,
Series 2005-QA8, Class CB21
4.63%		07/25/35	⁴		955,355		741,389
Residential Accredit Loans Trust,
Series 2006-QS13, Class 2A1
5.75%		09/25/21			68,387		65,833
Residential Accredit Loans Trust,
Series 2006-QS16, Class A6
6.00%		11/25/36			725,457		669,689
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2AV (IO)
0.17%		01/25/37	^4,5,6		2,874,605		22,645
Residential Asset Securities Trust,
Series 2004-KS9, Class AII4
(LIBOR USD 1-Month plus 0.60%)
2.62%		10/25/34	²		13,506		12,717
Residential Asset Securities Trust,
Series 2005-KS9, Class M4
(LIBOR USD 1-Month plus 0.60%)
2.62%		10/25/35	²		5,465,000		5,392,862
Residential Asset Securitization Trust,
Series 2006-A9CB, Class A9
6.00%		09/25/36			5,575,236		3,123,176
Residential Funding Mortgage Securities
Trust, Series 2007-SA2, Class 1A
4.82%		04/25/37	⁴		285,723		191,425

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Saxon Asset Securities Trust, Series 2005-4,

Class M1

(LIBOR USD 1-Month plus 0.44%)

2.46%

11/25/37

7,281,577

7,311,999

Saxon Asset Securities Trust, Series 2007-2,

Class A2C

(LIBOR USD 1-Month plus 0.24%)

2.26%

05/25/47

18,675,248

15,454,620

Securitized Asset-Backed Receivables LLC

Trust, Series 2006-CB1, Class AF4

(STEP-reset date 11/25/19)

3.31%

01/25/36

5,025,530

4,519,464

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR2, Class A2

(LIBOR USD 1-Month plus 0.23%)

2.25%

02/25/37

1,291,375

744,381

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR4, Class A2B

(LIBOR USD 1-Month plus 0.20%)

2.22%

05/25/37

2,617,422

1,767,513

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-NC1, Class A2B

(LIBOR USD 1-Month plus 0.15%)

2.17%

12/25/36

7,588,048

4,414,966

Soundview Home Loan Trust,

Series 2006-WF2, Class M1

(LIBOR USD 1-Month plus 0.22%)

2.24%

12/25/36

12,750,000

12,732,733

Soundview Home Loan Trust,

Series 2007-WMC1, Class 3A3

(LIBOR USD 1-Month plus 0.26%)

2.28%

02/25/37

1,121,569

437,021

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-12, Class 2A

4.16%

09/25/34

⁴

1,139,077

1,139,652

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-2, Class 4A2

4.12%

03/25/34

⁴

1,626,119

1,587,885

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-12, Class 3A1

4.47%

06/25/35

⁴

1,581,850

1,573,872

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-21, Class 2A

4.39%

11/25/35

⁴

1,346,984

1,189,924

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-7, Class 1A3

4.11%

04/25/35

⁴

3,521,274

3,533,290

Structured Adjustable Rate Mortgage Loan

Trust, Series 2006-11, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

2.18%

12/25/36

2,290,555

2,241,384

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Structured Asset Investment Loan Trust,

Series 2004-6, Class A3

(LIBOR USD 1-Month plus 0.80%)

2.82%

07/25/34

14,798,137

14,479,832

Structured Asset Mortgage Investments II

Trust, Series 2006-AR3, Class 22A1

3.81%

05/25/36

⁴

531,058

360,076

Structured Asset Mortgage Investments II

Trust, Series 2006-AR5, Class 1A1

(LIBOR USD 1-Month plus 0.21%)

2.23%

05/25/36

470,743

448,797

Structured Asset Mortgage Investments II

Trust, Series 2007-AR6, Class A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.50%)

3.95%

08/25/47

14,620,044

14,537,809

Structured Asset Securities Corp. Mortgage

Loan Trust, Series 2005-2XS, Class 2A2

(LIBOR USD 1-Month plus 1.50%)

3.60%

02/25/35

143,031

144,801

Structured Asset Securities Corp. Mortgage

Loan Trust, Series 2005-4XS, Class 2A1A

(LIBOR USD 1-Month plus 1.75%)

3.85%

03/25/35

1,682,683

1,664,898

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 2003-34A, Class 3A3

4.23%

11/25/33

⁴

66,196

67,471

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-4, Class 3A1

4.22%

10/25/37

⁴

2,255,653

2,141,772

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-S1, Class 2A1

4.98%

01/25/37

⁴

739,666

752,161

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-S1, Class 5A1

4.80%

01/25/37

⁴

455,283

470,148

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A2

(LIBOR USD 1-Month plus 0.11%)

2.13%

01/25/37

3,704,632

2,429,060

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR13, Class A1A

(LIBOR USD 1-Month plus 0.72%)

2.74%

11/25/34

213,305

217,676

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR14, Class A1

4.40%

01/25/35

⁴

727,205

756,136

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR6, Class A

(LIBOR USD 1-Month plus 0.42%)

2.44%

05/25/44

105,350

107,124

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR1, Class A1A

(LIBOR USD 1-Month plus 0.64%)

2.66%

01/25/45

233,468

230,288

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR11, Class A1A

(LIBOR USD 1-Month plus 0.32%)

2.34%

08/25/45

547,657

543,428

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR12, Class 1A6

3.88%

10/25/35

⁴

1,669,014

1,662,460

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A1

(LIBOR USD 1-Month plus 0.29%)

2.31%

10/25/45

1,294,817

1,287,520

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR14, Class 2A1

3.99%

12/25/35

⁴

33,838

33,336

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR16, Class 1A3

4.22%

12/25/35

⁴

1,910,831

1,916,429

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A21

(LIBOR USD 1-Month plus 0.33%)

2.35%

01/25/45

1,034,309

1,029,344

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR6, Class 2A1A

(LIBOR USD 1-Month plus 0.46%)

2.48%

04/25/45

1,117,947

1,114,016

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR9, Class A1A

(LIBOR USD 1-Month plus 0.64%)

2.66%

07/25/45

995,732

990,472

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR3, Class A1A

(Federal Reserve US 12-Month Cumulative

Average plus 1.00%)

3.45%

02/25/46

6,612,263

6,770,573

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR4, Class 1A1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.94%)

3.42%

05/25/46

2,713,420

2,791,190

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR7, Class 2A

(Federal Reserve US 12-Month Cumulative

Average plus 0.98%)

3.43%

07/25/46

5,502,845

5,387,856

WaMu Mortgage Pass-Through Certificates,

Series 2007-HY3, Class 1A1

3.57%

03/25/37

⁴

2,616,301

2,483,881

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

WaMu Mortgage Pass-Through Certificates,

Series 2007-OA5, Class 1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.75%)

3.20%

06/25/47

2,094,178

1,971,208

Wells Fargo Alternative Loan Trust,

Series 2007-PA5, Class 1A1

6.25%

11/25/37

3,032,472

3,006,088

Wells Fargo Home Equity Asset-Backed

Securities Trust, Series 2006-2, Class A4

(LIBOR USD 1-Month plus 0.25%)

2.27%

07/25/36

595,358

593,398

Wells Fargo Home Equity Asset-Backed

Securities Trust, Series 2007-1, Class A3

(LIBOR USD 1-Month plus 0.32%)

2.34%

03/25/37

4,690,000

4,022,776

Wells Fargo Mortgage-Backed Securities

Trust, Series 2005-AR16, Class 7A1

4.61%

10/25/35

⁴

957,585

969,090

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR14, Class 2A1

4.60%

10/25/36

⁴

752,805

754,831

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR2, Class 2A1

4.99%

03/25/36

⁴

1,279,139

1,320,309

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR4, Class 1A1

5.22%

04/25/36

⁴

161,308

164,557

792,245,549

U.S. Agency Commercial

Mortgage-Backed — 5.96%

Fannie Mae-Aces, Series 2010-M5,

Class X (IO)

1.08%

07/25/20

⁴

7,605,075

32,747

Fannie Mae-Aces, Series 2011-M5,

Class X (IO)

1.21%

07/25/21

⁴

47,590,406

710,867

Fannie Mae-Aces, Series 2012-M2,

Class X (IO)

0.80%

02/25/22

⁴

59,304,351

820,680

Fannie Mae-Aces, Series 2012-M4,

Class X1 (IO)

0.64%

04/25/22

⁴

54,412,642

498,123

Fannie Mae-Aces, Series 2016-M11,

Class X2 (IO)

2.71%

07/25/39

⁴

66,219,553

2,341,384

Fannie Mae-Aces, Series 2016-M13,

Class FA

(LIBOR USD 1-Month plus 0.67%)

2.97%

11/25/23

3,290,644

3,290,813

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial
Mortgage-Backed (continued)

Fannie Mae-Aces, Series 2016-M2,

Class X3 (IO)

2.04%

04/25/36

⁴

83,705,214

3,083,495

Fannie Mae-Aces, Series 2016-M4,

Class X2 (IO)

2.71%

01/25/39

⁴

54,027,291

4,307,923

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K007,

Class X1 (IO)

1.20%

04/25/20

⁴

47,194,049

34,935

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K011,

Class X3 (IO)

2.66%

12/25/43

⁴

50,337,359

1,506,466

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K015,

Class X3 (IO)

2.90%

08/25/39

⁴

32,027,257

1,544,995

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K021,

Class X3 (IO)

2.03%

07/25/40

⁴

26,660,903

1,363,511

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K022,

Class X3 (IO)

1.87%

08/25/40

⁴

37,280,187

1,831,676

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K031,

Class X1 (IO)

0.33%

04/25/23

⁴

384,020,399

2,815,791

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K043,

Class X3 (IO)

1.69%

02/25/43

⁴

58,000,000

4,456,624

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K051,

Class X3 (IO)

1.67%

10/25/43

⁴

44,865,280

3,844,403

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K054,

Class X1 (IO)

1.31%

01/25/26

⁴

54,875,328

3,509,604

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K055,

Class X3 (IO)

1.70%

04/25/44

⁴

32,000,000

3,027,429

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K056,

Class XAM (IO)

1.29%

05/25/26

⁴

38,290,000

2,693,701

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K057,

Class X1 (IO)

1.33%

07/25/26

⁴

77,416,037

5,169,580

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial
Mortgage-Backed (continued)

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K151,

Class X1 (IO)

0.56%

04/25/30

⁴

127,603,159

4,170,020

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K712,

Class X3 (IO)

1.46%

05/25/40

⁴

79,541,384

150,731

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K719,

Class X1 (IO)

0.56%

06/25/22

⁴

88,039,568

343,794

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K736,

Class X1 (IO)

1.31%

07/25/26

⁴

45,000,000

3,379,840

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC01,

Class X1 (IO)

0.83%

12/25/22

⁴

95,663,376

1,006,178

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KIR1,

Class X (IO)

1.21%

03/25/26

⁴

51,828,034

3,049,359

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ05,

Class A1

1.42%

05/25/21

1,550,491

1,544,966

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ18,

Class A1

2.46%

03/25/22

2,937,591

2,954,379

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ20,

Class A1

3.21%

10/25/24

3,607,525

3,773,468

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ25,

Class A1

2.15%

11/25/24

9,880,000

9,911,062

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ25,

Class A2

2.61%

01/25/26

12,150,000

12,407,734

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KL05,

Class X1HG (IO)

1.37%

12/25/27

⁴

49,531,000

4,077,352

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS06,

Class X (IO)

1.20%

08/25/26

⁴

68,919,243

3,774,817


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS07,
Class X (IO)
0.78%		09/25/25	⁴	$	104,500,000	$	3,694,618
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q004,
Class A2H
3.07%		01/25/46	⁴		13,986,067		14,072,271
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q006,
Class APT1
2.62%		07/25/26	⁴		6,638,134		6,827,587
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q006,
Class APT2
2.49%		09/25/26	⁴		14,553,968		14,966,427
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q007,
Class APT1
2.98%		10/25/47	⁴		11,513,202		11,797,060
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q007,
Class APT2
3.33%		10/25/47	⁴		13,530,621		14,109,312
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT1
2.93%		04/25/46	⁴		14,998,631		15,165,801
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT2
2.95%		12/25/47	⁴		7,760,235		7,868,072
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series X3FX,
Class XFX (IO)
0.23%		06/25/27	⁴		273,490,822		2,355,672
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39	⁴		198,134		198,031
Ginnie Mae, Series 2011-152, Class IO (IO)
0.30%		08/16/51	⁴		14,520,369		113,840
Ginnie Mae, Series 2012-112, Class IO (IO)
0.28%		02/16/53	⁴		62,009,340		1,163,165
Ginnie Mae, Series 2012-78, Class IO (IO)
0.49%		06/16/52	⁴		90,176,684		1,588,201
Ginnie Mae, Series 2014-103, Class IO (IO)
0.58%		05/16/55	⁴		39,404,664		1,113,970
Ginnie Mae, Series 2014-125, Class IO (IO)
0.96%		11/16/54	⁴		40,554,698		2,386,934
Ginnie Mae, Series 2016-22, Class IX (IO)
1.29%		06/16/38	⁴		4,874,100		859,803


							195,709,211


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 7.61%
Fannie Mae Pool 109578
3.42%		09/01/25	$	13,575,000	$	14,196,834
Fannie Mae Pool 109609
3.87%		09/01/30		9,236,575		10,409,486
Fannie Mae Pool AN0026
3.48%		11/01/35		3,605,919		3,997,102
Fannie Mae Pool AN0971
3.11%		02/01/28		7,535,000		8,077,200
Fannie Mae Pool AN0976
3.26%		02/01/28		2,943,849		3,184,365
Fannie Mae Pool AN2799
2.21%		09/01/26		12,655,000		12,828,023
Fannie Mae Pool AN7345
3.21%		11/01/37		16,456,100		17,704,397
Fannie Mae Pool AN8546
3.32%		03/01/25		9,611,800		9,920,767
Fannie Mae Pool AN8779
3.50%		05/01/33		3,500,000		3,879,558
Fannie Mae Pool AN9413
3.79%		07/01/28		662,032		734,527
Fannie Mae Pool AN9447
3.78%		07/01/33		6,302,000		7,171,669
Fannie Mae Pool AN9572
3.77%		07/01/30		6,384,000		7,313,989
Fannie Mae Pool AN9612
3.72%		07/01/33		4,059,000		4,581,400
Fannie Mae Pool AN9706
3.76%		07/01/33		6,345,000		7,201,355
Fannie Mae Pool BL0242
3.82%		11/01/30		15,550,000		17,779,333
Fannie Mae Pool BL0530
4.03%		11/01/33		2,300,000		2,693,078
Fannie Mae Pool BL0640
4.10%		11/01/33		1,700,000		1,974,082
Fannie Mae Pool BL0753
4.08%		01/01/34		6,000,000		7,043,456
Fannie Mae Pool BL1132
3.73%		01/01/29		9,468,400		10,635,887
Fannie Mae Pool BL1137
3.73%		01/01/29		21,436,800		24,268,255
Fannie Mae Pool BL1163
4.17%		01/01/34		2,450,000		2,868,551
Fannie Mae Pool BL1452
3.90%		01/01/34		3,300,000		3,750,876
Fannie Mae Pool BL1794
3.71%		04/01/34		4,845,000		5,500,905
Fannie Mae Pool BL2360
3.45%		05/01/34		12,065,000		13,328,584

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed
(continued)

Fannie Mae Pool BL2455

3.36%

05/01/31

7,000,000

7,675,352

Fannie Mae REMICS, Series 2006-11,

Class PS

(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap)

17.17%

03/25/36

21,183

32,300

Fannie Mae REMICS, Series 2006-8,

Class HJ (IO)

(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)

4.58%

03/25/36

1,107,193

208,193

Fannie Mae REMICS, Series 2007-52,

Class LS (IO)

(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)

4.03%

06/25/37

45,659

5,215

Fannie Mae REMICS, Series 2007-77,

Class SK (IO)

(-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap)

3.85%

08/25/37

84,887

14,277

Fannie Mae REMICS, Series 2007-88,

Class JI (IO)

(-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap)

4.43%

04/25/37

1,123,036

218,256

Fannie Mae REMICS, Series 2008-18,

Class SM (IO)

(-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap)

4.98%

03/25/38

51,876

9,008

Fannie Mae REMICS, Series 2008-62,

Class SN (IO)

(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)

4.18%

07/25/38

216,636

42,353

Fannie Mae REMICS, Series 2010-116,

Class SE (IO)

(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)

4.58%

10/25/40

65,127

7,949

Fannie Mae REMICS, Series 2013-5,

Class GF

(LIBOR USD 1-Month plus 1.10%)

3.12%

10/25/42

342,759

339,366

Fannie Mae REMICS, Series 2014-49,

Class CF

(LIBOR USD 1-Month plus 1.00%)

3.03%

07/25/43

14,521,503

14,509,796

Freddie Mac REMICS, Series 2711,

Class FA

(LIBOR USD 1-Month plus 1.00%)

3.03%

11/15/33

78,393

79,752


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 2733,
Class FB
(LIBOR USD 1-Month plus 0.60%)
2.63%		10/15/33	²	$	304,550	$	306,588
Freddie Mac REMICS, Series 3339,
Class JS
(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap)
29.66%		07/15/37	²		15,753		33,058
Freddie Mac REMICS, Series 3404,
Class AS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)
3.87%		01/15/38	²		71,211		13,462
Freddie Mac REMICS, Series 3439,
Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)
3.87%		04/15/38	²		49,207		8,087
Freddie Mac REMICS, Series 3885,
Class PO (PO)
0.00%		11/15/33	¹⁰		23,626		21,250
Freddie Mac REMICS, Series 4030,
Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
4.58%		04/15/42	²		151,620		29,102
Freddie Mac REMICS, Series 4638,
Class UF
(LIBOR USD 1-Month plus 1.00%)
3.03%		09/15/44	²		4,854,417		4,901,360
Freddie Mac REMICS, Series 4824,
Class ZC
4.00%		09/15/48			164,740		165,161
Ginnie Mae II Pool (TBA)
4.50%		10/20/44			15,325,000		16,043,359
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			125,208		25,217
Ginnie Mae, Series 2011-69, Class GI (IO)
5.00%		05/16/40			141,552		6,835
Ginnie Mae, Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap)
0.60%		06/16/37	²		746,817		10,951
Ginnie Mae, Series 2011-81, Class IC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap)
0.62%		07/20/35	²		984,528		14,795
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%		01/20/38			15,496		109
Ginnie Mae, Series 2013-135, Class CS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
4.17%		09/16/43	²		3,019,107		542,307
Ginnie Mae, Series 2017-136, Class IO (IO)
5.00%		09/20/47			905,600		140,648

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed
(continued)

Ginnie Mae, Series 2018-134, Class ZP

4.50%

10/20/48

3,334,540

3,331,129

249,778,914

Total Mortgage-Backed

(Cost $1,593,454,662)

1,579,760,019

MUNICIPAL BONDS — 0.59%*

California — 0.29%

Los Angeles Department of Water & Power

Power System Revenue, Build America

Taxable Bonds, Water Utility Improvements,

Series SY

6.01%

07/01/39

1,950,000

2,602,392

State of California, Build America Bonds,

School Improvements, General Obligations

7.95%

03/01/36

6,650,000

6,808,735

9,411,127

New York — 0.30%

City of New York, Build America Taxable

Bonds, Public Improvements, Series F1

6.65%

12/01/31

3,000,000

3,160,770

New York City Municipal Water Finance

Authority, Build America Bonds, Water Utility

Improvements, Series SE

6.49%

06/15/42

1,650,000

1,700,737

New York City Transitional Finance Authority

Future Tax Secured Revenue Bonds,

Taxable Bonds, Public Improvements,

Subseries FI

3.95%

08/01/32

1,000,000

1,103,950

New York State Dormitory Authority, Build

America Bonds, University & College

Improvements

5.29%

03/15/33

3,100,000

3,856,121

9,821,578

Total Municipal Bonds

(Cost $18,683,578)

19,232,705

Total Bonds – 93.77%

(Cost $3,050,235,354)

3,079,123,224

Issues

Shares

Value

COMMON STOCK — 0.01%

Electric — 0.01%

Homer City Holdings

LLC^1,5,6,8

112,222

504,999

Total Common Stock

(Cost $5,519,754)


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 6.66%
Money Market Funds — 3.00%
Dreyfus Government Cash Management
Fund
1.95%¹¹				98,651,000	$	98,651,000
Fidelity Investments Money Market Funds -
Government Portfolio
1.92%^11,12				1		1


						98,651,001

U.S. Agency Discount Notes — 0.76%
Federal Home Loan Bank
1.99%¹³		10/03/19	$	25,000,000		24,997,403


U.S. Treasury Bills — 2.90%
U.S. Treasury Bills
1.89%^13,14		12/26/19		5,174,000		5,151,999
2.40%¹³		10/24/19		15,000,000		14,982,870
2.41%¹³		10/10/19		75,000,000		74,966,953


						95,101,822

Total Short-Term Investments
(Cost $218,731,638)						218,750,226


Total Investments – 100.44%
(Cost $3,274,486,746)						3,298,378,449


Liabilities in Excess of Other
Assets – (0.44)%						(14,558,682	)


Net Assets – 100.00%					$	3,283,819,767

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 September 30, 2019.

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

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 $4,530,755, which is 0.14% of total net assets.

⁷	All or a portion of this security’s market value is pledged as collateral for the reverse repurchase agreement.

⁸	Non-income producing security.

⁹	Security is currently in default with regard to scheduled interest or principal payments.

¹⁰	Zero coupon bond. The rate shown is the effective yield as of September 30, 2019.

¹¹	Represents the current yield as of September 30, 2019.

¹²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1.

¹³	Represents annualized yield at date of purchase.

¹⁴	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $5,151,752.

^†

Fair valued security. The aggregate value of fair valued securities is $17,029,244, which is 0.52% of total net assets. Fair valued securities are 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

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

² For the period November 30, 2018 (commencement of operations) to March 31, 2019.

Metropolitan West Funds

Statements of Changes in Net Assets



	STRATEGIC INCOME FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019
Operations:
Net investment income		$	1,767,032			$	3,988,237
Net realized gain/(loss)			418,577				(179,924	)
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts			(810,943	)			(105,831	)
Net change in unrealized appreciation/(depreciation) on investments			633,623				(753,967	)
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts			324,223				(112,292	)

Net increase in net assets resulting from operations			2,332,512				2,836,223


Distributions to Shareholders:
Class M			(288,845	)			(901,447	)
Class I			(1,411,621	)			(3,111,962	)
Administrative Class			—				—
Plan Class			—				—
Tax Return of Capital:
Class M			—				—
Class I			—				—

Total Distributions			(1,700,466	)			(4,013,409	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares			1,333,442				3,505,735
Shares issued in reinvestment of distributions			281,784				891,815
Cost of shares redeemed			(6,930,870	)			(12,602,836	)

Total Class M capital share transactions			(5,315,644	)			(8,205,286	)

Class I:
Proceeds from sale of shares			5,008,958				12,178,869
Shares issued in reinvestment of distributions			1,409,686				3,111,134
Cost of shares redeemed			(4,975,346	)			(16,900,636	)

Total Class I capital share transactions			1,443,298				(1,610,633	)

Administrative Class:
Proceeds from sale of shares			—				—
Shares issued in reinvestment of distributions			—				—
Cost of shares redeemed			—				—

Total Administrative Class capital share transactions			—				—

Plan Class:
Proceeds from sale of shares			—				—
Shares issued in reinvestment of distributions			—				—
Cost of shares redeemed			—				—

Total Plan Class capital share transactions			—				—

Net increase/(decrease) in net assets derived from capital share transactions			(3,872,346	)			(9,815,919	)

Net increase/(decrease) in net assets			(3,240,300	)			(10,993,105	)
Net assets at beginning of period			85,217,881				96,210,986

Net assets at end of period		$	81,977,581			$	85,217,881

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 operations on June 29, 2018 with Class M and Class I shares. The Flexible Income Fund commenced investment operations on November 30, 2018 with Class M and Class I shares. The Floating Rate Income Fund commenced investment operations 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 operations 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. 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 six months ended September 30, 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:

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

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Money market funds. Money market funds are open-ended mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.

Short-term investments. Short-term investments (commercial paper and repurchase agreements) are valued using market price quotations, and are reflected as Level 2 of the fair value hierarchy.

Equity securities. Securities such as common stocks and warrants are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.

Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.

Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

U.S. and Foreign government and agency securities. U.S. and Foreign government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Some government securities are actively traded and transparent in the market place. As such, they can be Level 1. Other government and agencies securities are quoted based in similar securities and yields and therefore, would be in Level 2.

Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.

Foreign currency contracts. The fair value of foreign currency contracts is 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 September 30, 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 September 30, 2019 is as follows:



	ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


	Investments in Securities

	Assets
	Short-Term Investments:
	Foreign Government Obligations		$ —		$ 1,009,572		$ —		$ 1,009,572
	Money Market Funds		1,225,000		—		—		1,225,000
	U.S. Treasury Bills		3,400,061		—		—		3,400,061
	Long-Term Investments:
	Asset-Backed Securities		—		3,488,796		—		3,488,796
	Corporates		—		12,867,799		—		12,867,799
	Mortgage-Backed		—		10,859,932		101,939		10,961,871
	Mutual Funds		2,880,946		—		—		2,880,946
	U.S. Treasury Securities		934,448		—		—		934,448

	Other Financial Instruments *

	Assets:
	Equity contracts		401,231		—		—		401,231

	Liabilities:
	Foreign currency exchange contracts		—		(969)		—		(969)


	Total		$ 8,841,686		$28,225,130		$101,939		$37,168,755

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



	CORPORATE BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


	Investments in Securities

	Assets
	Short-Term Investments:
	U.S. Treasury Bills		$	14,936		$	—		$	—		$	14,936
	Long-Term Investments:
	Corporates			—			1,925,710			—			1,925,710
	Mortgage-Backed			—			302,475			42,455			344,930
	Municipal Bonds			—			24,257			—			24,257
	U.S. Treasury Securities			3,362			—			—			3,362

	Other Financial Instruments *

	Liabilities:
	Interest rate contracts			(1,053)			—			—			(1,053)


	Total		$	17,245		$	2,252,442		$	42,455		$	2,312,142


*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		$	346,000		$	—		$	—		$	346,000
	Long-Term Investments:
	Asset-Backed Securities			—			655,784			—			655,784
	Corporates			—			2,070,726			—			2,070,726
	Mortgage-Backed			—			3,624,114			377,155			4,001,269


	Total		$	346,000		$	6,350,624		$	377,155		$	7,073,779



	FLOATING RATE INCOME FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


	Investments in Securities

	Assets
	Short-Term Investments:
	Money Market Funds		$	25,579,000		$	—		$	—		$	25,579,000
	Long-Term Investments:
	Bank Loans			—			206,619,532			1,875,033			208,494,565
	Corporates			—			15,010,876			—			15,010,876
	Municipal Bonds			—			409,548			—			409,548


	Total		$	25,579,000		$	222,039,956		$	1,875,033		$	249,493,989



HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets
Short-Term Investments:
Money Market Funds		$27,653,500		$ —		$ —		$ 27,653,500
U.S. Agency Discount Notes		—		9,998,961		—		9,998,961
U.S. Treasury Bills		866,301		—		—		866,301
Long-Term Investments:
Bank Loans		—		95,947,139		1,134,625		97,081,764
Common Stock		—		—		2,464,855		2,464,855
Corporates		—		304,315,314		187,353		304,502,667
Mortgage-Backed		—		19,923,259		—		19,923,259
Warrant		—		—		146,643		146,643

Other Financial Instruments *

Assets:
Interest rate contracts		575,770		—		—		575,770
Liabilities:
Interest rate contracts		(494,877)		—		—		(494,877)
Reverse Repurchase Agreements		—		(711,250)		—		(711,250)


Total		$28,600,694		$429,473,423		$3,933,476		$462,007,593

*Other financial instruments include futures and reverse repurchase agreements. Interest rate contracts include futures.



INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets
Short-Term Investments:
Money Market Funds		$ 34,155,018		$ —		$ —		$ 34,155,018
U.S. Treasury Bills		1,154,072		—		—		1,154,072
Long-Term Investments:
Asset-Backed Securities		—		44,575,911		—		44,575,911
Bank Loans		—		5,224,760		—		5,224,760
Common Stock		—		—		36,063		36,063
Corporates		—		228,070,051		—		228,070,051
Mortgage-Backed		—		164,134,803		—		164,134,803
Municipal Bonds		—		4,882,730		—		4,882,730
U.S. Agency Securities		—		224,469		—		224,469
U.S. Treasury Securities		316,622,063		14,907,540		—		331,529,603

Other Financial Instruments *

Assets:
Interest rate contracts		106,680		941,201		—		1,047,881
Liabilities:
Interest rate contracts		(357,728)		(1,053,820)		—		(1,411,548)


Total		$351,680,105		$461,907,645		$36,063		$813,623,813

*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:
Money Market Funds		$	111,000		$	—		$	—		$	111,000
U.S. Treasury Bills			26,885			—			—			26,885
Long-Term Investments:
Asset-Backed Securities			—			865,968			—			865,968
Corporates			—			3,037,235			—			3,037,235
Mortgage-Backed			—			1,849,443			24,809			1,874,252
Municipal Bonds			—			5,555			—			5,555
U.S. Treasury Securities			227,418			—			—			227,418

Other Financial Instruments *

Assets:
Interest rate contracts			7,392			7,449			—			14,841
Liabilities:
Interest rate contracts			(7,702)			(8,340)			—			(16,042)


Total		$	364,993		$	5,757,310		$	24,809		$	6,147,112

*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:
Money Market Funds		$ 58,429,000		$ —		$	—		$ 58,429,000
U.S. Treasury Bills		3,677,297		—			—		3,677,297
Long-Term Investments:
Asset-Backed Securities		—		150,544,916			—		150,544,916
Bank Loans		—		14,806,008			822,828		15,628,836
Common Stock		—		—			479,255		479,255
Corporates		—		687,782,791			—		687,782,791
Mortgage-Backed		—		716,207,756			1,910,297		718,118,053
Purchased Swaptions		—		1,776			—		1,776
U.S. Treasury Securities		443,923,969		—			—		443,923,969

Other Financial Instruments *

Assets:
Interest rate contracts		367,940		2,574,355			—		2,942,295
Liabilities:
Interest rate contracts		(1,698,985)		(2,884,342)			—		(4,583,327)


Total		$504,699,221		$1,569,033,260		$	3,212,380		$2,076,944,861

*Other financial instruments include futures, swaps and written swaptions. Interest rate contracts include futures, swaps and written swaptions.


STRATEGIC INCOME FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


Investments in Securities

Assets
Short-Term Investments:
Money Market Funds		$	2,803,000		$	—		$	—		$	2,803,000
U.S. Treasury Bills			2,169,686			—			—			2,169,686
Long-Term Investments:
Asset-Backed Securities			—			11,019,944			112,820			11,132,764
Corporates			—			28,900,578			—			28,900,578
Foreign Government Obligations			—			873,022			—			873,022
Mortgage-Backed			—			34,474,785			219,515			34,694,300
Municipal Bonds			—			661,130			—			661,130

Other Financial Instruments *

Assets:
Interest rate contracts			143,282			106,717			—			249,999
Liabilities:
Interest rate contracts			—			(119,483)			—			(119,483)


Total		$	5,115,968		$	75,916,693		$	332,335		$	81,364,996

*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		$	—		$	97,377,100		$	—		$	97,377,100
Money Market Funds			578,558,024			—			—			578,558,024
Repurchase Agreements			—			500,000,000			—			500,000,000
U.S. Agency Discount Notes			—			1,249,040,600			—			1,249,040,600
U.S. Treasury Bills			681,904,282			—			—			681,904,282
Long-Term Investments:
Asset-Backed Securities			—			3,828,716,081			6,053,270			3,834,769,351
Bank Loans			—			610,995,562			7,652,708			618,648,270
Common Stock			—			—			5,313,163			5,313,163
Corporates			—			19,992,174,658			20,536,667			20,012,711,325
Foreign Government Obligations			—			101,247,185			—			101,247,185
Mortgage-Backed			—			34,563,115,754			14,090,712			34,577,206,466
Municipal Bonds			—			432,025,529			—			432,025,529
Purchased Options - Exchange Traded			33,271,875			—			—			33,271,875
U.S. Treasury Securities			22,139,170,860			2,453,481,131			—			24,592,651,991

Other Financial Instruments *

Assets:
Foreign currency exchange contracts			—			177,327			—			177,327
Interest rate contracts			10,890,428			90,480,897			—			101,371,325
Liabilities:
Foreign currency exchange contracts			—			(11,134)			—			(11,134)
Interest rate contracts			(43,091,711)			(101,343,138)			—			(144,434,849)
Reverse Repurchase Agreements			—			(9,766,750)			—			(9,766,750)


Total		$	23,400,703,758		$	63,807,710,802		$	53,646,520		$	87,262,061,080

*Other financial instruments include foreign currency exchange contracts, futures, swaps, written options and reverse repurchase agreements. Interest rate contracts include futures, swaps and written option.


ULTRA SHORT BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


Investments in Securities

Assets
Short-Term Investments:
Money Market Funds		$	5,995,000		$	—		$	—		$	5,995,000
U.S. Agency Discount Notes			—			2,999,688			—			2,999,688
U.S. Treasury Bills			4,502,024			—			—			4,502,024
Long-Term Investments:
Asset-Backed Securities			—			2,024,287			—			2,024,287
Corporates			—			25,772,625			—			25,772,625
Mortgage-Backed			—			30,416,215			29,966			30,446,181
U.S. Treasury Securities			33,093,554			—			—			33,093,554

Other Financial Instruments *

Liabilities:
Interest rate contracts			(4,213)			—			—			(4,213)


Total		$	43,586,365		$	61,212,815		$	29,966		$	104,829,146

*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			$98,651,001		$	—			$ —		$	98,651,001
U.S. Agency Discount Notes			—			24,997,403			—			24,997,403
U.S. Treasury Bills			95,101,822			—			—			95,101,822
Long-Term Investments:
Asset-Backed Securities			—			473,365,374			—			473,365,374
Bank Loans			—			33,967,341			1,855,361			35,822,702
Common Stock			—			—			504,999			504,999
Corporates			—			926,675,454			2,071,083			928,746,537
Foreign Government Obligations			—			42,195,887			—			42,195,887
Mortgage-Backed			—			1,579,660,707			99,312			1,579,760,019
Municipal Bonds			—			19,232,705			—			19,232,705

Other Financial Instruments *

Assets:
Interest rate contracts			4,056,404			3,916,150			—			7,972,554
Liabilities:
Interest rate contracts			(736,578)			(4,385,267)			—			(5,121,845)
Reverse Repurchase Agreements			—			(1,422,500)			—			(1,422,500)


Total		$	197,072,649		$	3,098,203,254		$	4,530,755		$	3,299,806,658

*Other financial instruments include futures, swaps and reverse repurchase agreements. 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.

For the six months ended September 30, 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 September 30, 2019 was $(7,277) 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 September 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(6,153) 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 September 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $27,204 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 September 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(83,037) 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, 2019, the Fund used observable inputs in determining the value of certain investments. As of September 30, 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 $727,500 transferred from level 2 to level 3 in the disclosure hierarchy. As of March 31, 2019, the Fund used significant unobservable inputs in determining the value of certain other investments. As of September 30, 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 $530,224 transferred from level 3 to level 2 in the disclosure hierarchy.


HIGH YIELD BOND FUND	BANK LOANS				COMMON STOCK				CORPORATES				WARRANT

Balance as of April 1, 2019		$	—			$	4,378,741			$	376,362			$	55,696
Accrued discounts/premiums			634				—				(288	)			—
Realized gain			—				—				988				—
Change in unrealized appreciation/(depreciation)^*			(384,059	)			(1,913,886	)			(130,859	)			90,947
Purchases			—				—				—				—
Sales			—				—				(58,850	)			—
Transfers into Level 3**			1,518,050				—				—				—
Transfers out of Level 3**			—				—				—				—


Balance as of September 30, 2019		$	1,134,625			$	2,464,855			$	187,353			$	146,643

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(1,953,798) 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, 2019, the Fund used observable inputs in determining the value of certain investments. As of September 30, 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 $1,518,050 transferred from level 2 to level 3 in the disclosure hierarchy.
INTERMEDIATE BOND FUND	BANK LOANS				COMMON STOCK

Balance as of April 1, 2019		$	290,291			$	68,119
Accrued discounts/premiums			15				—				—				—
Realized gain			57				—				—				—
Change in unrealized appreciation/(depreciation)^*			837				(32,056	)			—				—
Purchases			—				—				—				—
Sales			(291,200	)			—				—				—
Transfers into Level 3^**			—				—				—				—
Transfers out of Level 3^**			—				—				—				—


Balance as of September 30, 2019		$	—			$	36,063			$	—			$	—

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(32,056) 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 September 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(4,479) 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, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of September 30, 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 $75,894 transferred from level 3 to level 2 in the disclosure hierarchy.


LOW DURATION BOND FUND	BANK LOANS			COMMON STOCK			MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2019		$2,276,685			$905,259			$2,104,368
Accrued discounts/premiums		701			—			(20,439	)
Realized (loss)		(590	)		—			—
Change in unrealized (depreciation)^*		(80,049	)		(426,004	)		(173,632	)
Purchases		—			—			—
Sales		(1,373,919	)		—			—
Transfers into Level 3^**		—			—			—
Transfers out of Level 3^**		—			—			—


Balance as of September 30, 2019		$ 822,828			$479,255			$1,910,297

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(684,719) 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 September 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(71,496) 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 September 30, 2019.


TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES			BANK LOANS			COMMON STOCK			CORPORATES			MORTGAGE- BACKED SECURITIES

Balance as of April 1, 2019		$8,584,058			$11,389,405			$10,035,975			$20,247,152			$15,090,098
Accrued discounts/premiums		—			40,632			—			(28,486	)		(543,781	)
Realized gain/(loss)		(701,752	)		889			—			—			—
Change in unrealized appreciation/ (depreciation)^*		(1,644,227	)		(64,828	)		(4,722,812	)		1,702,819			(455,605	)
Purchases		—			—			—			—			—
Sales		(184,809	)		(3,713,390	)		—			(1,384,818	)		—
Transfers into Level 3^**		—			—			—			—			—
Transfers out of Level 3^**		—			—			—			—			—


Balance as of September 30, 2019		$6,053,270			$7,652,708			$5,313,163			$20,536,667			$14,090,712

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(5,197,538) 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 September 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(436) 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 September 30, 2019.

*** As of March 31, 2019 and September 30, 2019, MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2 had a $0 market value.



UNCONSTRAINED	BANK						MORTGAGE-BACKED
BOND FUND	LOANS		COMMON STOCK		CORPORATES		SECURITIES

Balance as of April 1, 2019		$2,554,930		$953,887		$2,729,771		$106,822
Accrued discounts/premiums		4,880		—		(4,103)		15,841
Realized gain/(loss)		309		—		(16,154)		—
Change in unrealized (depreciation)^*		(127,093)		(448,888)		(511,975)		(23,351)
Purchases		—		—		—		—
Sales		(577,665)		—		(126,456)		—
Transfers into Level 3^**		—		—		—		—
Transfers out of Level 3^**		—		—		—		—


Balance as of September 30, 2019		$1,855,361		$504,999		$2,071,083		$99,312	***


* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2019 was $(1,112,936) 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 September 30, 2019. * As of March 31, 2019 and September 30, 2019, MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2 and Morgan Stanley Resecuritization Trust, Series 13-R3 had a $0 market value.

Significant unobservable valuations inputs for Level 3 investments as of September 30, 2019, are as follows:

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

ALPHATRAK 500 FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Mortgage-Backed Securities -

Commercial Mortgage-Backed

$58,730

Third-party Vendor

Vendor Prices

$0.67 - $4.02

$2.87

Mortgage-Backed Securities-Non

Agency

$43,209

Third-party Vendor

Vendor Prices

1.56

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

CORPORATE BOND FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Mortgage-Backed Securities-

Commercial Mortgage-Backed

$42,455

Third-party Vendor

Vendor Prices

$0.67 - $3.90

$2.49

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

FLEXIBLE INCOME FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Mortgage-Backed Securities-

Commercial Mortgage-Backed

$25,317

Third-party Vendor

Vendor Prices

$3.34

Mortgage-Backed Securities-Non-

Agency

$351,838

Third-party Vendor

Vendor Prices

4.40 - 31.06

18.68

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

FLOATING RATE INCOME FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Bank Loans

$1,875,033

Third-party Vendor

Vendor Prices

$72.50 - $99.50

$85.92

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

HIGH YIELD BOND FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Bank Loans

$1,134,625

Third-party Vendor

Vendor Prices

$72.50

Common Stock

$2,464,855

Broker Quote

Offered Quote

4.50 - 56.25

8.74

Corporate Securities

$187,353

Third-party Vendor

Vendor Prices

9.00 - 104.25

85.95

Warrant

$146,643

Third-party Vendor

Vendor Prices

10.50 - 12.50

10.90

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

INTERMEDIATE BOND FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Common Stock

$36,063

Third-party Vendor

Vendor Prices

$4.50

INVESTMENT GRADE CREDIT

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Mortgage-Backed Securities-

Commercial Mortgage-Backed

$24,809

Third-party Vendor

Vendor Prices

$0.67

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

LOW DURATION BOND FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Bank Loans

$822,828

Third-party Vendor

Vendor Prices

$85.67

Common Stock

$479,255

Broker Quote

Offered Quote

4.50

Mortgage-Backed Securities-Non-Agency

$1,910,297

Third-party Vendor

Vendor Prices

1.82

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

STRATEGIC INCOME FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Asset-Backed Securities

$112,820

Benchmark Pricing

Offered Quote

$9.15 - $22.00

$17.62

Mortgage-Backed Securities-

Commercial Mortgage Backed

$74,180

Third-party Vendor

Vendor Prices

3.34

Mortgage-Backed Securities-Non-Agency

$145,335

Third-party Vendor

Vendor Prices

8.57

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

TOTAL RETURN BOND FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Asset-Backed Securities

$6,053,270

Benchmark Pricing

Offered Quote

$21.20 - $22.00

$21.58

Bank Loans

$7,652,708

Third-party Vendor

Vendor Prices

95.65

Common Stock

$5,313,163

Broker Quote

Offered Quote

4.50

Corporate Securities

$20,536,667

Third-party Vendor

Vendor Prices

116.55

Mortgage-Backed Securities-Non-Agency

$14,090,712

Third-party Vendor

Vendor Prices

0.95 - 3.19

2.17

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

ULTRA SHORT BOND FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Mortgage-Backed Securities-Non-Agency

$29,966

Third-party Vendor

Vendor Prices

$0.00 - $1.56

$1.56

FAIR VALUE

VALUATION

UNOBSERVABLE

WEIGHTED

UNCONSTRAINED BOND FUND

AT 9/30/19

TECHNIQUE*

INPUT

RANGE

AVERAGE

Bank Loans

$1,855,361

Third-party Vendor

Vendor Prices

$85.67 - $95.65

$89.31

Common Stock

$504,999

Broker Quote

Offered Quote

4.50

Corporate Securities

$2,071,083

Third-party Vendor

Vendor Prices

9.00 - 116.55

106.38

Mortgage-Backed Securities-Non-Agency

$99,312

Third-party Vendor

Vendor Prices

0.00 - 8.57

6.75

* 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 September 30, 2019:

The following is a summary of the Fund’s derivative instrument holdings categorized by primary risk exposure as of September 30, 2019:


				ASSET DERIVATIVE INVESTMENTS
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
Interest contracts:
Futures¹		$	7,392		$	367,940		$	143,282		$	10,890,428		$	—		$	4,056,404
Options purchased			—			—			—			33,271,875			—			—
Swaps			7,449			2,574,355			106,717			90,480,897			—			3,916,150
Swaptions purchased			—			1,776			—			—			—			—
Foreign currency exchange contracts:
Forwards			—			—			—			177,327			—			—


Total		$	14,841		$	2,944,071		$	249,999		$	134,820,527		$	—		$	7,972,554

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.


					LIABILITY DERIVATIVE INVESTMENTS

	INVESTMENT GRADE CREDIT FUND				LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
Interest contracts:
Futures¹		$	(7,702	)		$	(1,698,985	)		$	—			$	(30,688,586	)		$	(4,213	)		$	(736,578	)
Options and swaptions written			—				(960	)			—				(12,403,125	)			—				—
Swaps			(8,340	)			(2,883,382	)			(119,483	)			(101,343,138	)			—				(4,385,267	)
Foreign currency exchange contracts:
Forwards			—				—				—				(11,134	)			—				—


Total		$	(16,042	)		$	(4,583,327	)		$	(119,483	)		$	(144,445,983	)		$	(4,213	)		$	(5,121,845	)

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 six months ended September 30, 2019:


	REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
Interest contracts:
Futures		$	14,941		$	10,344,999		$	(811,267	)		$	388,795,338			$	24,851		$	(22,605,711	)
Options and swaptions written			—			—			—				(27,574,158	)			—			—
Swap contracts			15			9,069			324				186,309				—			12,922


Total		$	14,956		$	10,354,068		$	(810,943	)		$	361,407,489			$	24,851		$	(22,592,789	)



	CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	ALPHATRAK 500 FUND				CORPORATE BOND FUND				FLEXIBLE INCOME FUND				FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND
Equity contracts:
Futures		$	(27,484)			$	—			$	—			$	—			$	—			$	—
Interest contracts:
Futures			—				(2,116	)			—				—				(354,437	)			(979,581	)
Swap contracts			—												—				—				(114,905	)
Foreign currency exchange contracts:
Forwards			(969	)			—				—				—				—				—


Total		$	(28,453	)		$	(2,116	)		$	—			$	—			$	(354,437	)		$	(1,094,486	)


	CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	INVESTMENT GRADE CREDIT FUND				LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
Interest contracts:
Futures		$	2,044			$	(4,634,302	)		$	337,231			$	(105,444,110	)		$	(11,611	)		$	7,366,627
Options and swaptions written			—				297				—				11,347,785				—				—
Swap contracts			(924	)			(316,187	)			(13,008	)			(11,053,292	)			—				(479,202	)
Foreign currency exchange contracts:
Forwards			—				—				—				166,193				—				—


Total		$	1,120			$	(4,950,192	)		$	324,223			$	(104,983,424	)		$	(11,611	)		$	6,887,425



	AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS¹

	ALPHATRAK 500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
Financial futures contracts:
Average number of contracts purchased			173			2			—			—			1,353			1,018
Average number of contracts sold			—			—			—			—			236			106
Average value of contracts purchased		$	803,535		$	2,509		$	—		$	—		$	1,365,757		$	1,263,788
Average value of contracts sold		$	—		$	—		$	—		$	—		$	614,912		$	90,137
Credit default swaps:
Average number of contracts - buy protection			—			—			—			—			1			—
Average notional value - buy protection		$	—		$	—		$	—		$	—		$	4,937,500		$	—
Interest Rate Swaps:
Average number of contracts - pays fixed rate			—			—			—			—			—			2
Average notional value - pays fixed rate		$	—		$	—		$	—		$	—					$	20,223
Average number of contracts - receives fixed rate			—			—			—			—			—			2
Average notional value - receives fixed rate		$	—		$	—		$	—		$	—					$	49,230
Foreign currency exchange contracts:
Average number of contracts sold			1			—			—			1			—			1
Average value of contracts sold		$	242		$	—		$	—		$	48,365		$	—		$	64,394

	AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS¹
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
Financial futures contracts:
Average number of contracts purchased			20			4,313			2			93,103			15			2,329
Average number of contracts sold			5			368			159			12,764			—			1,742
Average value of contracts purchased		$	25,577		$	4,964,183		$	10,661		$	149,983,660		$	18,606		$	3,000,130
Average value of contracts sold		$	19,384		$	311,715		$	236,366		$	17,557,220		$	—		$	5,793,630
Written options:
Average number of contracts			—			—			—			2			—			—
Average notional value		$	—		$	—		$	—		$	10,538,157		$	—		$	—
Interest rate swaps:
Average number of contracts - pays fixed rate			2			2			2			2			—			2
Average number of contracts - receives fixed rate			2			2			2			2			—			2
Average notional value - pays fixed rate		$	160		$	58,538		$	2,380		$	1,971,650		$	—		$	85,955
Average notional value - receives fixed rate		$	390		$	142,473		$	5,793		$	4,797,593		$	—		$	209,235
Written swaptions:
Average number of contracts			—			1			—			—			—			—
Average notional value		$	—		$	540,000		$	—		$	—		$	—		$	—
Foreign currency exchange contracts:
Average number of contracts sold			—			—			—			2			1			—
Average value of contracts sold		$	—		$	—		$	—		$	8,426,090		$	14,536		$	—

¹Amounts disclosed represent the volume of derivative contracts for the period ended September 30, 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 AlphaTrak 500 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 September 30, 2019:


					ALPHATRAK 500 FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES				COLLATERAL PLEDGED¹			DERIVATIVE (ASSETS)/LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF DERIVATIVE LIABILITIES²
Goldman Sachs International Foreign Currency Exchange Contracts		$	785			$	—		$	(785	)		$	—


Total Goldman Sachs International			785				—			(785	)			—

Total		$	(785	)		$	—		$	(785	)		$	—

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable from the counterparty in the event of default.

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 September 30, 2019:

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 September 30, 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		$	960		$	—		$	(960	)		$	—


Total Goldman Sachs International			960			—			(960	)			—

Total		$	960		$	—		$	(960	)		$	—

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 following table presents Total Return 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 September 30, 2019:


	TOTAL RETURN 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
Foreign Currency Exchange Contracts		$	177,327		$	(50,000	)		$	(11,134	)		$	116,193

Total Goldman Sachs International			177,327			(50,000	)			(11,134	)			116,193

Total		$	177,327		$	(50,000	)		$	(11,134	)		$	116,193

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 Total Return 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 September 30, 2019:


	TOTAL RETURN BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED³			DERIVATIVE (ASSETS)/LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF LIABILITIES⁴
Goldman Sachs International

Foreign Currency Exchange Contracts		$	11,134		$	—		$	(11,134	)		$	—


Total Goldman Sachs
International			11,134			—			(11,134	)			—

Total		$	11,134		$	—		$	(11,134	)		$	—

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 six months ended September 30, 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 Corporate Bond Fund, Flexible Income Fund, High Yield Bond Fund, Investment Grade Credit Fund and Strategic Income Fund may not make short sales of securities or maintain a short position if more than 331/3% of the Fund’s total assets (taken at current value) are held as collateral for such sales at any one time.TheAlphaTrak 500 Fund, Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained Bond Fund will not make total short sales exceeding 25% of the Fund’s total assets. The Floating Rate Income Fund will not make total short sales exceeding 15% of the Fund’s total 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 September 30, 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 six months ended September 30, 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 September 30, 2019, the Total Return Bond Fund held repurchase agreements which made up 0.63% of net assets.

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. Securities sold under reverse repurchase agreements are recorded as a liability. Interest payments made are recorded as a component of interest expense. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A reverse purchase agreement involves the risk that the market value of the security sold by a Fund may decline below the repurchase price of the security.A Fund will segregate assets determined to be liquid by the manager or otherwise cover its obligations under reverse repurchase agreements. The average dollar amount and average interest rate of reverse repurchase agreements in the High Yield Bond Fund, Total Return Bond Fund and the Unconstrained Bond Fund for the six months ended September 30, 2019, were $763,618 and (3.13)%, $8,893,689 and (3.09)% and $1,527,331 and (3.13)%, respectively.

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. As of September 30, 2019, the High Yield Bond Fund, Total Return Bond Fund and the Unconstrained Bond Fund held reverse repurchase agreements which made up 0.16%, 0.01% and 0.04% of net assets, respectively.

As of September 30, 2019, the following table is a summary of open reverse repurchase agreements by counterparty which are subject to offset under a MRA on a net basis:


HIGH YIELD BOND FUND
COUNTERPARTY	REVERSE REPURCHASE AGREEMENTS		FAIR VALUE OF NON-CASH COLLATERAL PLEDGED INCLUDING ACCRUED INTEREST¹		NET AMOUNT
Barclays Bank PLC		$711,250		$711,250		$—

TOTAL RETURN BOND FUND
COUNTERPARTY	REVERSE REPURCHASE AGREEMENTS		FAIR VALUE OF NON-CASH COLLATERAL PLEDGED INCLUDING ACCRUED INTEREST¹		NET AMOUNT
Barclays Bank PLC		$4,978,750		$4,978,750		$—
JPMorgan Chase		4,788,000		4,788,000		—

Total		$9,766,750		$9,766,750		$—

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.

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 may 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 may engage 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 September 30, 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 September 30, 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 September 30, 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 September 30, 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 a Fund’s 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 six months ended September 30, 2019, excluding U.S. government and short-term investments, were as follows:



PORTFOLIO	PURCHASES		SALES

AlphaTrak 500 Fund	$	18,763,490	$	5,945,270

Corporate Bond Fund		353,375		260,511

Flexible Income Fund		4,150,052		1,987,467

Floating Rate Income Fund		38,259,356		70,074,507

High Yield Bond Fund		360,673,396		375,500,042

Intermediate Bond Fund		74,508,543		82,696,160

Investment Grade Credit Fund		935,832		804,060

Low Duration Bond Fund		304,948,053		330,143,108

Strategic Income Fund		9,271,187		13,388,111

Total Return Bond Fund		9,476,011,950		8,699,573,803

Ultra Short Bond Fund		13,801,160		9,788,524

Unconstrained Bond Fund		799,106,402		637,434,044

Investment transactions in U.S. government securities for the six months ended September 30, 2019 were as follows:

PORTFOLIO	PURCHASES		SALES

AlphaTrak 500 Fund	$	6,420,208	$	2,595,018

Corporate Bond Fund		153,031		151,370

Flexible Income Fund		1,939,935		1,142,532

Floating Rate Income Fund		—		—

High Yield Bond Fund		—		—

Intermediate Bond Fund		1,311,786,246		1,267,463,118

Investment Grade Credit Fund		1,367,082		1,238,797

Low Duration Bond Fund		1,699,854,397		1,771,606,788

Strategic Income Fund		2,765,522		555,178

Total Return Bond Fund		133,094,135,309		123,309,409,010

Ultra Short Bond Fund		90,958,490		82,375,765

Unconstrained Bond Fund		251,047,878		201,844,377

There were no purchases or sales of securities from affiliated investment accounts for the six months ended September 30, 2019. These trades are in accordance with the provisions set forth in Section 17(a)-7 of the 1940 Act.

Investment transactions in the shares of affiliated issuers for the six months ended September 30, 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 increased by 0.51% resulting in $712,058 of total management fees for the six months ended September 30, 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 increased by 0.09% resulting in $65,906 total management fees for the six months ended September 30, 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 six months ended September 30, 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

¹The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2019, unless approved by the Board.

At September 30, 2019, the balance of recoupable expenses with expiration dates for the Funds were as follows:


PORTFOLIO	2020		2021		2022		2023		TOTAL


AlphaTrak 500 Fund		$131,176		$ —		$ 88,122		$41,346		$ 260,644

Corporate Bond Fund		—		—		138,411		84,011		222,422

Flexible Income Fund		—		—		84,349		87,721		172,070

Floating Rate Income Fund		101,217		69,036		47,495		13,072		230,820

High Yield Bond Fund		239,308		252,493		201,390		108,218		801,409

Intermediate Bond Fund		—		—		—		1,720		1,720

Investment Grade Credit Fund		—		—		142,645		88,419		231,064

Strategic Income Fund		—		—		—		39,892		39,892

Ultra Short Bond Fund		227,293		233,733		247,985		124,589		833,600

Unconstrained Bond Fund		—		—		—		4,277		4,277


Total		$698,994		$555,262		$950,397		$593,265		$2,797,918

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.

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 six months ended September 30, 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 and Total Return Bond Fund had the following unfunded commitments and unrealized gain/(loss) by investment as of September 30, 2019:



FLOATING RATE INCOME FUND
UNFUNDED COMMITMENTS	MATURITY			AMOUNT			UNREALIZED (LOSS)

Romulus Merger Sub LLC, Delayed-Draw Term Loan, 1st Lien		February	2025		$	104,734		$	(3,100	)

Premise Health Holding Corp., Term Loan, 1st Lien		July	2025			54,918			(508	)

NMN Holdings III Corp. Term Loan, 1st Lien		November	2025			256,922			(4,954	)

Mister Car Wash Holdings, Inc., Term Loan, 1st Lien		May	2026			59,540			16

Kwor Acquisition, Inc., Term Loan, 1st Lien		June	2026			90,227			190

BCPE Empire Holdings, Inc., Term Loan, 1st Lien		June	2026			203,383			(2,314	)

Allied Universal Holdco LLC, Term Loan, 1st Lien		July	2026			67,747			235

Med Parentco LP Term Loan, 1st Lien		September	2026			198,662			832

Oeconnection LLC, Term Loan B		September	2026			64,813			203


Total Unfunded Commitments					$	1,100,946		$	(9,400	)



TOTAL RETURN BOND FUND
UNFUNDED COMMITMENTS	MATURITY			AMOUNT			UNREALIZED GAIN

CSC Holdings LLC, Term Loan B, 1st Lien		April	2027		$	7,024,080		$	24,080

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:


	ALPHATRAK FUND

	CLASS M			CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		1,976,652			1,819,250


Shares sold		1,628,037			905,645
Shares issued through reinvestment of distributions		37,179			39,091
Shares redeemed		(367,649	)		(787,334	)


Net increase in fund shares		1,297,567			157,402


Shares outstanding at end of period		3,274,219			1,976,652


	CORPORATE BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			PERIOD ENDED MARCH 31, 2019*			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			PERIOD ENDED MARCH 31, 2019*
Change in Fund shares:
Shares outstanding at beginning of period		77,858			—			131,400			—


Shares sold		—			74,500			—			125,500
Shares issued through reinvestment of distributions		2,623			3,358			4,595			5,900
Shares redeemed		—			—			—			—


Net increase in fund shares		2,623			77,858			4,595			131,400


Shares outstanding at end of period		80,481			77,858			135,995			131,400


*The Fund commenced operations on June 29, 2018.
	FLEXIBLE INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			PERIOD ENDED MARCH 31, 2019*			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			PERIOD ENDED MARCH 31, 2019*
Change in Fund shares:
Shares outstanding at beginning of period		102			—			503,964			—


Shares sold		—			100			124,761			497,008
Shares issued through reinvestment of distributions		9			2			45,244			6,956
Shares redeemed		—			—			—			—


Net increase in fund shares		9			102			170,005			503,964


Shares outstanding at end of period		111			102			673,969			503,964

*The Fund commenced operations on November 30, 2018.
	FLOATING RATE INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		1,133,918			1,570,979			26,508,328			23,648,073


Shares sold		265,492			1,172,386			292,174			10,035,268
Shares issued through reinvestment of distributions		23,376			69,340			602,184			1,119,702
Shares redeemed		(456,611	)		(1,678,787	)		(3,931,560	)		(8,294,715	)


Net increase/(decrease) in fund shares		(167,743	)		(437,061	)		(3,037,202	)		2,860,255


Shares outstanding at end of period		966,175			1,133,918			23,471,126			26,508,328


	HIGH YIELD BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		19,395,315			22,090,985			30,373,750			41,195,325


Shares sold		3,152,275			6,210,384			7,290,334			21,328,208

Shares issued through reinvestment of distributions		371,212			832,077			593,844			1,413,478
Shares redeemed		(5,808,151	)		(9,738,131	)		(10,127,695	)		(33,563,261	)


Net (decrease) in fund shares		(2,284,664	)		(2,695,670	)		(2,243,517	)		(10,821,575	)


Shares outstanding at end of period		17,110,651			19,395,315			28,130,233			30,373,750


	INTERMEDIATE BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		3,409,753			5,183,235			68,386,996			75,238,162


Shares sold		679,264			877,124			6,277,986			14,148,475
Shares issued through reinvestment of distributions		47,054			102,117			989,457			1,804,025
Shares redeemed		(438,343	)		(2,752,723	)		(7,265,683	)		(22,803,666	)


Net increase/(decrease) in fund shares		287,975			(1,773,482	)		1,760			(6,851,166	)


Shares outstanding at end of period		3,697,728			3,409,753			68,388,756			68,386,996


	INVESTMENT GRADE CREDIT FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)		PERIOD ENDED MARCH 31, 2019*		SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)		PERIOD ENDED MARCH 31, 2019*
Change in Fund shares:
Shares outstanding at beginning of period		77,458		—		492,691		—


Shares sold		—		73,250		—		470,417
Shares issued through reinvestment of distributions		4,034		4,208		26,199		22,274
Shares redeemed		—		—		—		—


Net increase in fund shares		4,034		77,458		26,199		492,691


Shares outstanding at end of period		81,492		77,458		518,890		492,691

*The Fund commenced operations on June 29, 2018.


	LOW DURATION BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		66,879,265			112,971,343			181,809,771			195,150,136


Shares sold		3,477,836			4,407,081			17,825,303			49,100,128
Shares issued through reinvestment of distributions		785,086			1,918,661			2,165,375			4,506,861
Shares redeemed		(12,336,413	)		(52,417,820	)		(28,777,883	)		(66,947,354	)


Net (decrease) in fund shares		(8,073,491	)		(46,092,078	)		(8,787,205	)		(13,340,365	)


Shares outstanding at end of period		58,805,774			66,879,265			173,022,566			181,809,771


	STRATEGIC INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		2,269,164			3,308,284			8,532,803			8,744,185


Shares sold		168,261			443,336			632,177			1,543,100
Shares issued through reinvestment of distributions		35,487			113,226			177,540			395,079
Shares redeemed		(874,449	)		(1,595,682	)		(628,017	)		(2,149,561	)


Net increase/(decrease) in fund shares		(670,701	)		(1,039,120	)		181,700			(211,382	)


Shares outstanding at end of period		1,598,463			2,269,164			8,714,503			8,532,803


	TOTAL RETURN BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		898,185,006			1,110,357,245			3,846,257,449			4,524,412,707


Shares sold		86,466,278			142,096,374			582,896,413			1,043,356,270
Shares issued through reinvestment of distributions		10,964,266			26,052,285			49,788,111			106,872,162
Shares redeemed		(139,421,318	)		(380,320,898	)		(410,339,016	)		(1,828,383,690	)


Net increase/(decrease) in fund shares		(41,990,774	)		(212,172,239	)		222,345,508			(678,155,258	)


Shares outstanding at end of period		856,194,232			898,185,006			4,068,602,957			3,846,257,449


	TOTAL RETURN BOND FUND
	ADMINISTRATIVE CLASS			ADMINISTRATIVE CLASS			PLAN CLASS			PLAN CLASS
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		94,995,241			93,216,336			2,058,158,463			1,865,273,582


Shares sold		58,466,319			38,817,475			376,175,367			738,797,642
Shares issued through reinvestment of distributions		1,690,521			2,314,392			28,617,196			56,600,596
Shares redeemed		(11,213,546	)		(39,352,962	)		(223,887,582	)		(602,513,357	)


Net increase in fund shares		48,943,294			1,778,905			180,904,981			192,884,881


Shares outstanding at end of period		143,938,535			94,995,241			2,239,063,444			2,058,158,463



	ULTRA SHORT BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		8,068,983			11,940,212			15,940,806			16,126,155


Shares sold		607,001			1,322,640			5,184,786			5,690,787
Shares issued through reinvestment of distributions		94,676			186,878			243,318			371,629
Shares redeemed		(2,109,126	)		(5,380,747	)		(4,683,978	)		(6,247,765	)


Net increase/(decrease) in fund shares		(1,407,449	)		(3,871,229	)		744,126			(185,349	)


Shares outstanding at end of period		6,661,534			8,068,983			16,684,932			15,940,806


	UNCONSTRAINED BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019			SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019
Change in Fund shares:
Shares outstanding at beginning of period		38,551,315			54,336,734			224,878,988			222,210,891


Shares sold		3,186,632			10,228,971			46,350,611			95,778,587
Shares issued through reinvestment of distributions		589,372			1,506,781			3,838,112			6,826,781
Shares redeemed		(14,422,014	)		(27,521,171	)		(27,508,100	)		(99,937,271	)


Net increase/(decrease) in fund shares		(10,646,010	)		(15,785,419	)		22,680,623			2,668,097


Shares outstanding at end of period		27,905,305			38,551,315			247,559,611			224,878,988

Several current or former TCW-managed accounts (the “TCW Defendants”), have been named as defendants in a lawsuit brought by the Motors Liquidation Company Avoidance Action Trust (the “Avoidance Trust”), a trust created pursuant to GM’s 2009 Chapter 11 reorganization. The TCW Defendants were served with the summons and complaint in May 2015. The complaint names over 500 defendants that were lenders to GM under a $1.5 billion secured term loan. The defendants held interests in the term loan that was paid in full shortly after GM’s bankruptcy filing in June of 2009. The Avoidance Trust seeks to recover (i) cash paid to term loan lenders after the date of the bankruptcy filing and (ii) unspecified interest on the amounts recovered. TCW engaged counsel to represent the TCW Defendants. TCW, through its counsel, filed an answer to the complaint and a cross-claim against J.P. Morgan Chase on November 16, 2015. TWC’s motion for judgment on the pleadings was denied on June 30, 2016. Considerable discovery has been completed. A trial with respect to whether or not a group of representative assets at the time of the GM bankruptcy were fixtures, and their value, concluded on June 5, 2017 and the judge issued his opinion on September 29, 2017. 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. In April 2019, the parties alerted the Bankruptcy Court that a final settlement agreement had been signed. The Settlement Agreement contemplates a $231 million settlement amount and a fee recovery for term lender signatories. While the TCW lenders will not contribute any funds to the settlement, the identity of the parties contributing to the settlement, and the amount of their contributions will be kept confidential and not made public pursuant to the terms of the settlement agreement. The parties have settled all claims and cross-claims in the litigation and the case was dismissed by the court on July 2, 2019.

At September 30, 2019, the following Funds had available for federal income tax purposes unused capital losses as follows:

As of September 30, 2019, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:


	ALPHATRAK 500 FUND				CORPORATE BOND FUND				FLEXIBLE INCOME FUND				FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND
Undistributed ordinary income (inclusive of short-term gains)		$	12,244			$	10,284			$	83,432			$	284,140			$	2,249,832			$	419,181
Undistributed long-term gains			—				2,635				—				—				—				—
Other temporary differences			(892	)			—				—				(662,353	)			(181,092	)			(60,314	)
Accumulated capital loss carryforwards and post-October losses			—				—				—				(1,774,429	)			(74,502,190	)			(23,949,354	)
Net unrealized appreciation/
(depreciation)			(25,459	)			52,662				158,477				(2,634,345	)			(28,016,402	)			6,052,726


Total accumulated earnings/(losses)		$	(14,107	)		$	65,581			$	241,909			$	(4,786,987	)		$	(100,449,852	)		$	(17,537,761	)


	INVESTMENT GRADE CREDIT FUND				LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
Undistributed ordinary income (inclusive of short-term capital gains)		$	43,595			$	—			$	547,122			$	33,304,755			$	29,164			$	—
Other temporary differences			—				(1,496,233	)			(472,873	)			(16,245,303	)			(8,290	)			(9,955,411	)
Accumulated capital loss carryforwards and post-October losses			—				(76,211,123	)			(33,606	)			(1,561,921,670	)			(5,424,545	)			(2,807,097	)
Net unrealized appreciation/ (depreciation)			66,623				5,596,569				(1,750,133	)			702,076,220				67,530				(7,562,369	)


Total accumulated earnings/(losses)		$	110,218			$	(72,110,787	)		$	(1,709,490	)		$	(842,785,998	)		$	(5,336,141	)		$	(20,324,877	)

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.


	ULTRA SHORT BOND FUND						UNCONSTRAINED BOND FUND
	MARCH 31, 2019			MARCH 31, 2018			MARCH 31, 2019			MARCH 31, 2018
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	2,419,646		$	1,586,800		$	116,943,189		$	105,370,055
Net long-term capital gains			—			—			—			3,040,227
Return of Capital			—			—			22,476			—

Total taxable distributions		$	2,419,646		$	1,586,800		$	116,965,665		$	108,410,282

As of September 30, 2019, gross unrealized appreciation/(depreciation) based on cost for federal income tax purposes were as follows:


	ALPHATRAK 500 FUND				CORPORATE BOND FUND				FLEXIBLE INCOME FUND				FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND
Tax Cost		$	36,806,355			$	2,176,693			$	7,134,501			$	251,502,101			$	490,516,103			$	803,926,776

Gross unrealized appreciation			259,200				184,959				237,547				1,286,807				8,727,776				14,781,670
Gross unrealized (depreciation)			(297,062	)			(48,457	)			(298,269	)			(3,294,919	)			(36,605,929	)			(4,720,966	)


Net unrealized appreciation/ (depreciation)		$	(37,862	)		$	136,502			$	(60,722	)		$	(2,008,112	)		$	(27,878,153	)		$	10,060,704


	INVESTMENT GRADE CREDIT FUND				LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
Tax Cost		$	6,174,459			$	2,067,866,193			$	82,347,208			$	85,637,383,843			$	104,952,417			$	3,274,502,984

Gross unrealized appreciation			268,026				24,641,940				3,974,706				2,088,071,767				406,389				102,938,982
Gross unrealized (depreciation)			(294,172	)			(13,922,240	)			(5,087,434	)			(410,730,449	)			(525,447	)			(79,063,517	)


Net unrealized appreciation/ (depreciation)		$	(26,146	)		$	10,719,700			$	(1,112,728	)		$	1,677,341,318			$	(119,058	)		$	23,875,465

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 October 9, 2020. 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 six months ended September 30, 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 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.

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, Flexible Income Fund and 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 with respect to each Fund, 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 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 16, 2019, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2020 through February 5, 2021 with respect to each Fund. 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 27, 2019, and in person on September 15, 2019, 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 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, compliance, trading, operations, administration, research, and portfolio accounting. They noted the substantial additional resources made

Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)

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, 2019. 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, in part 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 (Class I)/second (Class M) 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 second (Class I)/third (Class M) 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 first quintile for the five-year period, the third quintile for the three-year period and the first 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.

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 third quintile for the five- and three-year periods 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- and five-year periods, the second quintile for the three-year period and the first 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 fourth quintile for the ten-year period, the third quintile for the five- and three-year periods and the first 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 second quintile for the five-year period, the third quintile for the three-year period and the first 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.

For the Metropolitan West Ultra Short 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 fourth quintile for the five- and three-year periods and the fifth 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.

Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)

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, the second quintile for the five-year period, the third quintile for the three-year period and the first quintile for the one-year period. 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 second quintile for the one-year period.

For the Investment Grade Credit Fund, the Board and the Independent Trustees noted that the Fund was in the first quintile for the period since the Fund’s inception on June 29, 2018.

For the Flexible Income Fund, the Board and the Independent Trustees noted that the Fund was in the first quintile for the period since the Fund’s inception on November 30, 2018.

For the Corporate Bond Fund, the Board and the Independent Trustees noted that the Fund was in the first quintile for the period since the Fund’s inception on June 29, 2018.

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. The Board and the Independent Trustees considered the Adviser’s view that the Broadridge peer group did not provide a suitable comparison for 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 and considered the appropriateness of the use of the AlphaTrak 500 Fund’s and the Strategic Income Fund’s respective benchmark indexes for these purposes, which the Adviser views as reasonable. 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 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 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.

Approval of Investment Management Agreement by Trustees (Unaudited) (Concluded)

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 compensation costs, which constitute the Adviser’s largest operating cost. The Board and the Independent Trustees recognized that the 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 actual management fees 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. They noted that the principal underwriter for the Funds’ shares is affiliated with the Adviser but does not derive a profit from that role. The Board and the Independent Trustees concluded that any potential benefits received or to be derived by the Adviser from its relationships with the Funds are reasonably related to the services provided by the Adviser to the Funds.

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.

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

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, Suite 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 5^th Street, Suite 2700

Los Angeles, CA 90013

Distributor

TCW Fund Distributors LLC

865 South Figueroa Street, Suite 1800

Los Angeles, CA 90017

Legal Counsel

Paul Hastings LLP

101 California Street, 48th Floor

San Francisco, CA 94111

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.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

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 September 30, 2019

	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	6.43%	5.50%	14.67%	12.07%	16.35%	6.96%
Standard & Poor’s 500 Index	6.08%	4.25%	13.39%	10.83%	13.23%	6.63%



	Performance Through September 30, 2019

	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWCSX (Inception: June 29, 2018)	8.28%	14.73%	—	—	—	13.08%
Bloomberg Barclays U.S. Corporate Index	7.66%	13.00%	—	—	—	11.08%
MWCBX (Inception: June 29, 2018)	8.42%	15.01%	—	—	—	13.36%
Bloomberg Barclays U.S. Corporate Index	7.66%	13.00%	—	—	—	11.08%



	Performance Through September 30, 2019

	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	4.35%	8.12%	5.50%	3.81%	6.12%	8.10%
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap	3.87%	6.35%	6.07%	5.38%	7.92%	8.82%
MWHIX (Inception: March 31, 2003)	4.59%	8.39%	5.76%	4.07%	6.38%	7.49%
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap	3.87%	6.35%	6.07%	5.38%	7.92%	8.21%



	Performance Through September 30, 2019

	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWISX (Inception: June 29, 2018)	5.11%	10.60%	—	—	—	11.47%
Bloomberg Barclays U.S. Intermediate Credit Index	4.74%	9.27%	—	—	—	7.94%
MWIGX (Inception: June 29, 2018)	5.22%	10.82%	—	—	—	11.70%
Bloomberg Barclays U.S. Intermediate Credit Index	4.74%	9.27%	—	—	—	7.94%


Metropolitan West Funds		September 30, 2019
Table of Contents


Letter to Shareholders			1

Disclosure of Fund Expenses (Unaudited)			10

Summary of Portfolio Holdings			14

Schedule of Portfolio Investments			17

AlphaTrak 500 Fund			17

Corporate Bond Fund			30

Flexible Income Fund			36

Floating Rate Income Fund			44

High Yield Bond Fund			54

Intermediate Bond Fund			62

Investment Grade Credit Fund			79

Low Duration Bond Fund			87

Strategic Income Fund			103

Total Return Bond Fund			116

Ultra Short Bond Fund			167

Unconstrained Bond Fund			177

Statements of Assets and Liabilities			205

Statements of Operations			209

Statements of Changes in Net Assets			213

Financial Highlights			219

Notes to Financials			245

Approval of Investment Management Agreement by Trustees			294

Privacy Notice			299


	Beginning Account Value 04/01/19	Ending Account Value 09/30/19	Expense Ratio¹	Expenses Paid During Period²

ALPHATRAK 500 FUND

Actual Fund Return	$1,000.00	$1,064.30	0.90%	$4.64

Hypothetical 5% Return	$1,000.00	$1,020.50	0.90%	$4.55

CORPORATE BOND FUND

Actual Fund Return
Class M	$1,000.00	$1,082.80	0.75%	$3.91
Class I	$1,000.00	$1,084.20	0.50%	$2.61
Hypothetical 5% Return
Class M	$1,000.00	$1,021.25	0.75%	$3.79
Class I	$1,000.00	$1,022.50	0.50%	$2.53


Description	Number of Contracts		Expiration Date		Notional Amount			Value				Unrealized Depreciation
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five Year Note		2		12/31/19		$	238,297		$	(1,043	)		$	(1,043	)
U.S. Treasury Two Year Note		1		12/31/19			215,500			(10	)			(10	)


TOTAL FUTURES CONTRACTS						$	453,797		$	(1,053	)		$	(1,053	)


Description	Number of Contracts	Expiration Date	Notional Amount				Value				Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two Year Note	660	12/31/19		$	142,230,000			$	(323,043	)		$	(323,043	)
U.S. Treasury Five Year Note	142	12/31/19			16,919,078				(34,685	)			(34,685	)


					159,149,078				(357,728	)			(357,728	)

FUTURES CONTRACTS: SHORT POSITIONS
Euro-Bobl Five Year German Bond	98	12/06/19			(14,492,837	)			106,680				106,680


TOTAL FUTURES CONTRACTS				$	144,656,241			$	(251,048	)		$	(251,048	)


			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 Swap¹	Call	04/11/22	2.26%	Semi-annually	3-month USD LIBOR		Quarterly	$	38,445	$	594,552			$	—		$	594,552
Interest Rate Swap¹	Call	05/08/22	2.28%	Semi-annually	3-month USD LIBOR		Quarterly		21,570		346,649				—			346,649
Interest Rate Swap¹	Call	04/11/25	3 month USD LIBOR	Quarterly	2.34%		Semi-annually		15,805		(666,641	)			—			(666,641	)
Interest Rate Swap¹	Call	05/08/25	3 month USD LIBOR	Quarterly	2.37%		Semi-annually		8,835		(387,179	)			—			(387,179	)


TOTAL SWAPS CONTRACTS								$	84,655	$	(112,619	)		$	—		$	(112,619	)


Description	Number of contracts	Exercise Price	Expiration Date		Notional Amount		Value
PURCHASED CALL OPTIONS EXCHANGE TRADED — (0.4)%
IMM Eurodollar 1 Year MIDCV Future Options	31,500	$98.12		12/13/19	$	6,808,592,700	$	33,271,875


Counterparty	Interest Rate			Trade Date		Maturity Date		Repurchase Amount			Principal Amount			Value
REVERSE REPURCHASE AGREEMENTS
Barclays Bank PLC		0.000	%		09/26/19		10/03/19	$	(4,978,750	)	$	(4,978,750	)	$	(4,978,750	)
JPMorgan Chase Bank		(2.000	%)		09/26/19		10/03/19		(4,786,670	)		(4,788,000	)		(4,788,000	)

TOTAL REVERSE REPURCHASE AGREEMENTS														$	(9,766,750	)


					Received by the Fund				Paid by the Fund
													Notional										Unrealized
Descriptions	Put/Call		Maturity Date		Rate		Frequency		Rate		Frequency		Amount (000’s)			Value				Premiums Paid			Appreciation/ (Depreciation)
SWAPS: INTEREST RATE
Interest Rate										3-month
Swap¹		Call		04/11/22		2.26%		Semi-annually		USD LIBOR		Quarterly		$	168,440		$	2,604,925			$	—		$	2,604,925
Interest Rate										3-month
Swap¹		Call		05/08/22		2.28%		Semi-annually		USD LIBOR		Quarterly			81,590			1,311,225				—			1,311,225
Interest Rate						3 month
Swap¹		Call		04/11/25		USD LIBOR		Quarterly		2.34%		Semi-annually			69,245			(2,920,692	)			—			(2,920,692	)
Interest Rate						3 month
Swap¹		Call		05/08/25		USD LIBOR		Quarterly		2.37%		Semi-annually			33,420			(1,464,575	)			—			(1,464,575	)



TOTAL SWAPS CONTRACTS														$	352,695		$	(469,117	)		$	—		$	(469,117	)


ASSETS:	ALPHATRAK 500 FUND			CORPORATE BOND FUND
Investments, at value - Unaffiliated (Cost $36,795,254, $2,176,693, $7,134,501, $251,467,742,
$462,933,911, and $803,528,654, respectively) (Note 2)		$	36,768,493		$	2,313,195
Investments, at value - Affiliated (Cost $0, $0, $0, $0,
$27,171,821, and $0, respectively) (Note 5)			—			—
Cash and cash equivalents (Note 2)			26,650			1,277
Cash on deposit with brokers for collateral on swaps (Note 2)			—			—
Unrealized appreciation on swap contracts			—			—
Dividends and interest receivable			235,396			35,140
Due from Adviser (Note 6)			—			13,932
Receivable for securities sold			156,440			—
Receivable for capital stock sold			92,879			—
Receivable for daily variation margin on futures contracts (Note 3)			157,635			—
Other assets			15,564			49

Total assets			37,453,057			2,363,593

Liabilities:
Unrealized depreciation on foreign currency exchange contracts			969			—
Unrealized depreciation on foreign currency transactions			—			—
Unrealized depreciation on swap contracts			—			—
Reverse repurchase agreements (Proceeds $0, $0, $0, $0, $711,250, and $0, respectively) (Note 3)			—			—
Payable for securities purchased			316,151			—
Payable for terminated swaps (Note 3)			—			—
Payable for capital stock redeemed			160,775			—
Payable for daily variation margin on futures contracts (Note 3)			—			104
Line of credit commitment fee payable			—			4
Distributions payable			803			—
Administrative fees payable			17,998			14,784
Advisory fees payable (Note 6)			6,583			762
Audit fees payable			19,707			1,343
Transfer agent fees payable			2,584			3,022
Custodian fees payable			3,297			3,432
Accrued trustees fees and expenses			—			1
Accrued distribution (12b-1) and service fees payable			—			177
Net unrealized depreciation on unfunded commitments (Note 8)			—			—
Accrued other expenses			2,271			1,558

Total liabilities			531,138			25,187

Net assets		$	36,921,919		$	2,338,406

Class M Shares:
Net assets (Applicable to 3,274,219, 80,481, 111, 966,175, 17,110,651, and 3,697,728, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	36,921,919		$	869,368

Net asset value, offering and redemption price per Class M share		$	11.28		$	10.80

Class I Shares:
Net assets (Applicable to 0, 135,995, 673,969, 23,471,126, 28,130,233, and 68,388,756, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A		$	1,469,038

Net asset value, offering and redemption price per Class I share			N/A		$	10.80

Net Assets Consist of:
Paid-in Capital (Note 9)		$	35,627,421		$	2,169,996
Accumulated Earnings (Loss)			1,294,498			168,410

Net assets		$	36,921,919		$	2,338,406


	ALPHATRAK 500 FUND				CORPORATE BOND FUND
Investment Income:
Interest		$	510,757			$	83,443
Dividends			55,117				297

Total investment income			565,874				83,740


Expenses:
Investment advisory fees (Note 6)			65,907				4,489
Administration fees			42,822				38,998
Commitment fee			—				7
Custodian fees			12,479				10,693
Distribution (12b-1) and service fees - class specific (Note 7):
Class M			—				1,044
Miscellaneous expenses			3,885				1,632
Professional fees			22,062				15,258
Registration and filing fees			13,427				469
Transfer agent fees			16,304				18,059
Trustees’ fees and expenses			186				17

Total operating expenses			177,072				90,666
Expenses waived and reimbursed (Note 6)			(41,346	)			(84,011	)

Net expenses			135,726				6,655

Net investment income			430,148				77,085


Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts,
Foreign Currency Exchange Contracts, Foreign Currency Transactions, Options and Swaptions Written and Swap Contracts:
Net realized gain/(loss) on:
Investments - Unaffiliated			120,762				13,512
Futures contracts			1,234,799				7,593
Foreign currency transactions			231				—
Swap contracts			—				—

Net change in unrealized appreciation/(depreciation) on:
Investments - Affiliated			—				—
Investments - Unaffiliated			(30,038	)			83,840
Futures contracts			(27,484	)			(2,116	)
Foreign currency exchange contracts			(969	)			—
Foreign currency transactions			—				—
Swap contracts			—				—


Net realized and change in unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, options and swaptions written and swap contracts			1,297,301				102,829


Net Increase in Net Assets from Operations		$	1,727,449			$	179,914


	ALPHATRAK 500 FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019
Operations:
Net investment income		$	430,148			$	389,842
Net realized gain/(loss) on investments			120,762				69,956
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts			1,235,030				(251,932	)
Net change in unrealized appreciation/(depreciation) on investments			(30,038	)			88,466
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts			(28,453	)			1,439,152

Net increase in net assets resulting from operations			1,727,449				1,735,484


Distributions to Shareholders:
Class M			(418,844	)			(404,881	)
Class I			—				—

Total Distributions			(418,844	)			(404,881	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares			18,078,688				9,433,378
Shares issued in reinvestment of distributions			417,512				403,721
Cost of shares redeemed			(4,085,192	)			(8,114,043	)

Total Class M capital share transactions			14,411,008				1,723,056

Class I:
Proceeds from sale of shares			—				—
Shares issued in reinvestment of distributions			—				—
Cost of shares redeemed			—				—

Total Class I capital share transactions			—				—

Net increase/(decrease) in net assets derived from capital share transactions			14,411,008				1,723,056

Net increase/(decrease) in net assets			15,719,613				3,053,659
Net assets at beginning of period			21,202,306				18,148,647

Net assets at end of period		$	36,921,919			$	21,202,306


CORPORATE BOND FUND								FLEXIBLE INCOME FUND								FLOATING RATE INCOME FUND

SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				PERIOD ENDED MARCH 31, 2019¹				SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				PERIOD ENDED MARCH 31, 2019²				SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019

	$	77,085			$	85,976			$	503,924			$	73,009			$	6,357,859			$	12,033,260
		13,512				15,462				135,099				83,569				57,445				(1,530,340	)

		7,593				3,329				—				—				—				239,986
		83,840				52,662				(219,199	)			158,477				610,714				(2,860,620	)

		(2,116	)			1,063				—				—				—				—

		179,914				158,492				419,824				315,055				7,026,018				7,882,286



		(28,015	)			(33,698	)			(90	)			(23	)			(233,746	)			(700,543	)
		(49,070	)			(59,213	)			(488,841	)			(73,124	)			(6,124,115	)			(11,347,124	)

		(77,085	)			(92,911	)			(488,931	)			(73,147	)			(6,357,861	)			(12,047,667	)




		—				745,000				—				1,000				2,640,111				11,739,229
		28,015				33,698				90				23				232,666				691,320
		—				—				—				—				(4,542,693	)			(16,600,875	)

		28,015				778,698				90				1,023				(1,669,916	)			(4,170,326	)


		—				1,255,000				1,350,000				5,120,000				2,905,731				99,811,617
		49,070				59,213				488,841				73,124				5,990,495				11,145,423
		—				—				—				—				(39,074,244	)			(82,545,663	)

		49,070				1,314,213				1,838,841				5,193,124				(30,178,018	)			28,411,377

		77,085				2,092,911				1,838,931				5,194,147				(31,847,934	)			24,241,051

		179,914				2,158,492				1,769,824				5,436,055				(31,179,777	)			20,075,670
		2,158,492				—				5,436,055				—				273,635,998				253,560,328

	$	2,338,406			$	2,158,492			$	7,205,879			$	5,436,055			$	242,456,221			$	273,635,998


	HIGH YIELD BOND FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)			YEAR ENDED MARCH 31, 2019¹
Operations:
Net investment income	$	10,136,931		$	23,232,202
Net realized gain/(loss) on investments		9,389,351			3,676,845
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts		1,286,763			666,121
Net change in unrealized appreciation/(depreciation) on investments		121,152			1,335,606
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts		(354,437	)		700,195

Net increase in net assets resulting from operations		20,579,760			29,610,969


Distributions to Shareholders:
Class M		(3,766,395	)		(8,137,689	)
Class I		(6,370,836	)		(14,803,513	)
Administrative Class		—			—
Tax Return of Capital:
Class M		—			—
Class I		—			—
Administrative Class		—			—

Total Distributions		(10,137,231	)		(22,941,202	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		30,945,302			59,028,791
Shares issued in reinvestment of distributions		3,645,690			7,904,396
Cost of shares redeemed		(56,910,221	)		(92,773,959	)

Total Class M capital share transactions		(22,319,229	)		(25,840,772	)

Class I:
Proceeds from sale of shares		71,231,995			201,045,150
Shares issued in reinvestment of distributions		5,831,410			13,424,835
Cost of shares redeemed		(99,236,151	)		(319,107,409	)

Total Class I capital share transactions		(22,172,746	)		(104,637,424	)

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 derived from capital share transactions		(44,491,975	)		(130,478,196	)

Net increase/(decrease) in net assets		(34,049,446	)		(123,808,429	)
Net assets at beginning of period		480,580,117			604,388,546

Net assets at end of period	$	446,530,671		$	480,580,117



INTERMEDIATE BOND FUND								INVESTMENT GRADE CREDIT FUND								LOW DURATION BOND FUND
SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019				SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				PERIOD ENDED MARCH 31, 2019²				SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019

	$	11,090,659			$	19,904,240			$	326,209			$	256,220			$	27,025,518			$	57,515,619
		11,491,920				701,666				56,354				60,259				8,342,650				(3,071,666	)

		2,607,556				707,048				14,956				(1,390	)			10,350,056				2,600,814
		4,402,067				7,888,043				(92,769	)			66,623				5,999,919				5,976,618

		(1,095,024	)			738,541				1,120				(2,321	)			(4,952,057	)			2,852,270

		28,497,178				29,939,538				305,870				379,391				46,766,086				65,873,655



		(496,801	)			(1,049,701	)			(41,799	)			(42,783	)			(6,948,185	)			(16,667,480	)
		(10,591,110	)			(18,870,200	)			(271,454	)			(226,389	)			(20,001,071	)			(40,401,619	)
		—				—				—				—				(4,054	)			(26,762	)

		—				—				—				—				—				(23,477	)
		—				—				—				—				—				(51,488	)
		—				—				—				—				—				(32	)

		(11,087,911	)			(19,919,901	)			(313,253	)			(269,172	)			(26,953,310	)			(57,170,858	)




		7,166,082				8,930,041				—				732,500				30,363,553				37,897,702
		495,539				1,038,740				41,799				42,783				6,860,663				16,512,389
		(4,591,156	)			(27,862,526	)			—				—				(107,885,992	)			(450,522,739	)

		3,070,465				(17,893,745	)			41,799				775,283				(70,661,776	)			(396,112,648	)


		65,752,912				143,802,411				—				4,767,500				155,783,480				422,572,200
		10,410,232				18,354,290				271,454				226,389				18,931,069				38,796,615
		(76,191,865	)			(231,490,840	)			—				—				(250,741,224	)			(576,061,745	)

		(28,721	)			(69,334,139	)			271,454				4,993,889				(76,026,675	)			(114,692,930	)


		—				—				—				—				19,538				412,326
		—				—				—				—				1,095				3,028
		—				—				—				—				(333,833	)			(5,361,196	)

		—				—				—				—				(313,200	)			(4,945,842	)

		3,041,744				(87,227,884	)			313,253				5,769,172				(147,001,651	)			(515,751,420	)

		20,451,011				(77,208,247	)			305,870				5,879,391				(127,188,875	)			(507,048,623	)
		743,987,737				821,195,984				5,879,391				—				2,159,127,928				2,666,176,551

	$	764,438,748			$	743,987,737			$	6,185,261			$	5,879,391			$	2,031,939,053			$	2,159,127,928



TOTAL RETURN BOND FUND								ULTRA SHORT BOND FUND								UNCONSTRAINED BOND FUND
SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019				SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019				SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019

	$	1,056,258,316			$	2,112,787,205			$	1,466,349			$	2,409,996			$	63,806,315			$	116,127,690
		1,759,923,054				79,099,664				231,730				(236,494	)			18,104,320				(8,168,008	)

		361,292,260				97,796,555				24,851				320,477				(22,592,789	)			924,558
		958,047,257				845,175,343				(208,912	)			138,562				31,400,276				2,609,894

		(105,038,832	)			86,345,290				(11,611	)			(51,411	)			6,887,425				(3,397,523	)

		4,030,482,055				3,221,204,057				1,502,407				2,581,130				97,605,547				108,096,611



		(120,564,007	)			(273,391,389	)			(421,234	)			(829,374	)			(7,479,189	)			(18,384,003	)
		(601,935,317	)			(1,239,989,637	)			(1,040,720	)			(1,585,733	)			(55,888,817	)			(98,708,243	)
		(18,618,342	)			(24,372,504	)			—				—				—				—
		(314,333,908	)			(574,517,893	)			—				—				—				—

		—				—				—				—				—				(3,771	)
		—				—				—				—				—				(18,705	)

		(1,055,451,574	)			(2,112,271,423	)			(1,461,954	)			(2,415,107	)			(63,368,006	)			(117,114,722	)




		938,544,291				1,476,031,777				2,587,458				5,620,754				37,830,271				120,030,558
		119,450,891				270,744,373				403,647				794,098				7,010,137				17,699,507
		(1,502,687,058	)			(3,936,336,811	)			(8,988,086	)			(22,861,454	)			(171,564,898	)			(323,195,994	)

		(444,691,876	)			(2,189,560,661	)			(5,996,981	)			(16,446,602	)			(126,724,490	)			(185,465,929	)


		6,330,923,915				10,831,780,423				22,137,155				24,210,837				550,689,074				1,122,095,700
		542,539,828				1,110,511,508				1,038,969				1,582,264				45,639,733				80,100,104
		(4,450,008,058	)			(18,950,183,307	)			(19,998,004	)			(26,591,302	)			(326,620,745	)			(1,171,406,272	)

		2,423,455,685				(7,007,891,376	)			3,178,120				(798,201	)			269,708,062				30,789,532


		623,461,353				402,509,711				—				—				—				—
		18,448,749				24,072,798				—				—				—				—
		(122,159,561	)			(408,081,441	)			—				—				—				—

		519,750,541				18,501,068				—				—				—				—


		3,843,368,992				7,224,408,177				—				—				—				—
		293,520,610				553,494,749				—				—				—				—
		(2,279,620,430	)			(5,880,964,750	)			—				—				—				—

		1,857,269,172				1,896,938,176				—				—				—				—

		4,355,783,522				(7,282,012,793	)			(2,818,861	)			(17,244,803	)			142,983,572				(154,676,397	)

		7,330,814,003				(6,173,080,159	)			(2,778,408	)			(17,078,780	)			177,221,113				(163,694,508	)
		72,110,969,528				78,284,049,687				102,396,477				119,475,257				3,106,598,654				3,270,293,162

	$	79,441,783,531			$	72,110,969,528			$	99,618,069			$	102,396,477			$	3,283,819,767			$	3,106,598,654


	ALPHATRAK 500 FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015

Net Asset Value, Beginning of Period		$	10.73			$	9.98			$	8.95			$	7.22			$	7.22			$	6.48


Income from Investment Operations:
Net investment income¹			0.16				0.22				0.09				0.12				0.02				0.04
Net realized and unrealized gain			0.53				0.76				1.03				1.77				0.02				0.76


Total Income from Investment Operations			0.69				0.98				1.12				1.89				0.04				0.80


Less Distributions:
From net investment income			(0.14	)			(0.23	)			(0.09	)			(0.16	)			(0.04	)			(0.06	)


Total Distributions			(0.14	)			(0.23	)			(0.09	)			(0.16	)			(0.04	)			(0.06	)


Net Asset Value, End of Period		$	11.28			$	10.73			$	9.98			$	8.95			$	7.22			$	7.22


Total Return			6.43	%²			9.93	%			12.52	%			26.38	%			0.53	%			12.37	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	36,922			$	21,202			$	18,149			$	20,714			$	2,406			$	9,735
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.17	%³			1.39	%			0.90	%⁴			3.37	%			2.64	%			2.65	%
After expense waivers and reimbursements			0.90	%³			0.90	%			0.90	%			0.90	%			0.90	%			0.90	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.85	%³			2.15	%			0.90	%			1.49	%			0.31	%			0.54	%
Portfolio Turnover Rate			37	%²			140	%			115	%			505	%			59	%			30	%



	CORPORATE BOND FUND CLASS M*
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.35				0.41
Net realized and unrealized gain			0.49				0.34


Total Income from Investment Operations			0.84				0.75


Less Distributions:
From net investment income			(0.35	)			(0.41	)
From net capital gains			—				(0.03	)


Total Distributions			(0.35	)			(0.44	)


Net Asset Value, End of Period		$	10.80			$	10.31


Total Return			8.28	%²			7.75	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	869				$803
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			8.24	%³			9.81	%³
After expense waivers and reimbursements			0.75	%³			0.75	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			6.71	%³			5.47	%³
Portfolio Turnover Rate			19	%²			159	%²



	CORPORATE BOND FUND CLASS I*
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.37				0.43
Net realized and unrealized gain			0.49				0.34


Total Income from Investment Operations			0.86				0.77


Less Distributions:
From net investment income			(0.37	)			(0.43	)
From net capital gains			—				(0.03	)


Total Distributions			(0.37	)			(0.46	)


Net Asset Value, End of Period		$	10.80				$10.31


Total Return			8.42	%²			7.95	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,469				$1,355
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			7.99	%³			9.56	%³
After expense waivers and reimbursements			0.50	%³			0.50	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			6.96	%³			5.72	%³
Portfolio Turnover Rate			19	%²			159	%²



	FLEXIBLE INCOME FUND CLASS M*
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	10.79			$	10.00


Income from Investment Operations:
Net investment income¹			0.89				0.23
Net realized and unrealized gain/(loss)			(0.13	)			0.79


Total Income from Investment Operations			0.76				1.02


Less Distributions:
From net investment income			(0.86	)			(0.23	)


Total Distributions			(0.86	)			(0.23	)


Net Asset Value, End of Period		$	10.69			$	10.79


Total Return			7.20	%²			10.25	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1			$	1
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.78	%³			9.18	%³
After expense waivers and reimbursements			0.80	%³			0.80	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			16.46	%³			6.76	%³
Portfolio Turnover Rate			60	%²			80	%²



	FLEXIBLE INCOME FUND CLASS I*
	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	10.78			$	10.00


Income from Investment Operations:
Net investment income¹			0.92				0.24
Net realized and unrealized gain/(loss)			(0.14	)			0.78


Total Income from Investment Operations			0.78				1.02


Less Distributions:
From net investment income			(0.87	)			(0.24	)


Total Distributions			(0.87	)			(0.24	)


Net Asset Value, End of Period		$	10.69			$	10.78


Total Return			7.41	%²			10.24	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	7,205			$	5,435
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.53	%³			8.82	%³
After expense waivers and reimbursements			0.55	%³			0.55	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			17.10	%³			7.16	%³
Portfolio Turnover Rate			60	%²			80	%²



	FLOATING RATE INCOME FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015

Net Asset Value, Beginning of Period		$	9.90			$	10.06			$	10.06			$	9.80			$	10.13			$	10.28


Income from Investment Operations:
Net investment income¹			0.23				0.42				0.36				0.33				0.34				0.32
Net realized and unrealized gain/(loss)			0.03				(0.15	)			—				0.26				(0.32	)			(0.06	)


Total Income from Investment Operations			0.26				0.27				0.36				0.59				0.02				0.26


Less Distributions:
From net investment income			(0.23	)			(0.43	)			(0.36	)			(0.33	)			(0.34	)			(0.32	)
From net capital gains			—				—				—				—				(0.01	)			(0.09	)


Total Distributions			(0.23	)			(0.43	)			(0.36	)			(0.33	)			(0.35	)			(0.41	)


Net Asset Value, End of Period		$	9.93			$	9.90			$	10.06			$	10.06			$	9.80			$	10.13


Total Return			2.63	%²			2.72	%			3.61	%			6.08	%			0.23	%			2.53	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	232,867			$	11,229			$	15,802			$	25,072			$	8,206			$	6,126
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.02	%³			1.03	%			1.04	%			1.05	%			1.07	%			1.10	%
After expense waivers and reimbursements			0.90	%³			0.90	%			0.90	%			0.90	%			0.90	%			0.88	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.60	%³			4.23	%			3.53	%			3.28	%			3.42	%			3.15	%
Portfolio Turnover Rate			15	%²			52	%			71	%			40	%			66	%			49	%



	HIGH YIELD BOND FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019¹				YEAR ENDED MARCH 31, 2018¹				YEAR ENDED MARCH 31, 2017¹				YEAR ENDED MARCH 31, 2016¹				YEAR ENDED MARCH 31, 2015¹

Net Asset Value, Beginning of Period		$	9.66			$	9.55			$	9.60			$	9.09			$	9.72			$	10.37


Income from Investment Operations:
Net investment income²			0.21				0.41				0.34				0.34				0.39				0.45
Net realized and unrealized gain/(loss)			0.21				0.11				(0.05	)			0.50				(0.63	)			(0.51	)


Total Income/(Loss) from Investment Operations			0.42				0.52				0.29				0.84				(0.24	)			(0.06	)


Less Distributions:
From net investment income			(0.21	)			(0.41	)			(0.34	)			(0.33	)			(0.39	)			(0.45	)
From net capital gains			—				—				—				—				—				(0.14	)


Total Distributions			(0.21	)			(0.41	)			(0.34	)			(0.33	)			(0.39	)			(0.59	)


Net Asset Value, End of Period		$	9.87			$	9.66			$	9.55			$	9.60			$	9.09			$	9.72


Total Return			4.35	%³			5.57	%			3.01	%			9.35	%			(2.52	)%			(0.65	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	168,925			$	187,339			$	211,021			$	344,328			$	498,128			$	764,684
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.93	%⁴			0.92	%			0.91	%			0.89	%			0.87	%			0.89	%
After expense waivers and reimbursements			0.85	%⁴			0.85	%			0.85	%			0.85	%			0.85	%			0.83	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.24	%⁴			4.33	%			3.47	%			3.55	%			4.19	%			4.41	%
Portfolio Turnover Rate			87	%³			120	%			167	%			185	%			139	%			61	%



	HIGH YIELD BOND FUND CLASS I

	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019¹				YEAR ENDED MARCH 31, 2018¹				YEAR ENDED MARCH 31, 2017¹				YEAR ENDED MARCH 31, 2016¹				YEAR ENDED MARCH 31, 2015¹

Net Asset Value, Beginning of Period		$	9.65			$	9.55			$	9.60			$	9.09			$	9.72			$	10.37


Income from Investment Operations:
Net investment income²			0.22				0.44				0.36				0.36				0.42				0.47
Net realized and unrealized gain/(loss)			0.22				0.09				(0.05	)			0.50				(0.64	)			(0.51	)


Total Income/(Loss) from Investment Operations			0.44				0.53				0.31				0.86				(0.22	)			(0.04	)


Less Distributions:
From net investment income			(0.22	)			(0.43	)			(0.36	)			(0.35	)			(0.41	)			(0.47	)
From net capital gains			—				—				—				—				—				(0.14	)


Total Distributions			(0.22	)			(0.43	)			(0.36	)			(0.35	)			(0.41	)			(0.61	)


Net Asset Value, End of Period		$	9.87			$	9.65			$	9.55			$	9.60			$	9.09			$	9.72


Total Return			4.59	%³			5.72	%			3.27	%			9.62	%			(2.28	)%			(0.40	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	277,606			$	293,241			$	393,368			$	532,071			$	572,436			$	755,786
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.63	%⁴			0.63	%			0.63	%			0.62	%			0.61	%			0.60	%
After expense waivers and reimbursements			0.60	%⁴			0.60	%			0.60	%			0.60	%			0.60	%			0.58	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.48	%⁴			4.58	%			3.74	%			3.78	%			4.44	%			4.65	%
Portfolio Turnover Rate			87	%³			120	%			167	%			185	%			139	%			61	%



	INTERMEDIATE BOND FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015

Net Asset Value, Beginning of Period		$	10.37			$	10.21			$	10.37			$	10.58			$	10.65			$	10.52


Income from Investment Operations:
Net investment income¹			0.14				0.25				0.18				0.14				0.13				0.14
Net realized and unrealized gain/(loss)			0.24				0.17				(0.16	)			(0.09	)			(0.03	)			0.16


Total Income from Investment Operations			0.38				0.42				0.02				0.05				0.10				0.30


Less Distributions:
From net investment income			(0.14	)			(0.26	)			(0.18	)			(0.15	)			(0.12	)			(0.14	)
From net capital gains			—				—				—				(0.11	)			(0.05	)			(0.03	)


Total Distributions			(0.14	)			(0.26	)			(0.18	)			(0.26	)			(0.17	)			(0.17	)


Net Asset Value, End of Period		$	10.61			$	10.37			$	10.21			$	10.37			$	10.58			$	10.65


Total Return			3.71	%²			4.15	%			0.19	%			0.43	%			1.03	%			2.87	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	39,224			$	35,343			$	52,942			$	92,642			$	199,031			$	163,048
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.71	%³			0.69	%			0.70	%⁴			0.70	%⁵			0.70	%			0.72	%
After expense waivers and reimbursements			0.70	%³			0.69	%			0.70	%			0.70	%			0.70	%			0.68	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.72	%³			2.49	%			1.71	%			1.35	%			1.20	%			1.30	%
Portfolio Turnover Rate			181	%²			277	%			251	%			252	%			309	%			253	%



	INTERMEDIATE BOND FUND CLASS I

	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015

Net Asset Value, Beginning of Period		$	10.36			$	10.21			$	10.37			$	10.58			$	10.65			$	10.52


Income from Investment Operations:
Net investment income¹			0.15				0.28				0.20				0.17				0.15				0.15
Net realized and unrealized gain/(loss)			0.24				0.15				(0.15	)			(0.10	)			(0.02	)			0.17


Total Income from Investment Operations			0.39				0.43				0.05				0.07				0.13				0.32


Less Distributions:
From net investment income			(0.15	)			(0.28	)			(0.21	)			(0.17	)			(0.15	)			(0.16	)
From net capital gains			—				—				—				(0.11	)			(0.05	)			(0.03	)


Total Distributions			(0.15	)			(0.28	)			(0.21	)			(0.28	)			(0.20	)			(0.19	)


Net Asset Value, End of Period		$	10.60			$	10.36			$	10.21			$	10.37			$	10.58			$	10.65


Total Return			3.83	%²			4.29	%			0.43	%			0.68	%			1.28	%			3.09	%

Ratios/Supplemental Data:
Net Assets, end of the period (in thousands)		$	725,215			$	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			0.48	%³			0.47	%			0.46	%			0.45	%			0.46	%			0.48	%⁴
After expense waivers and reimbursements			0.48	%³			0.47	%			0.46	%			0.45	%			0.46	%			0.48	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.95	%³			2.74	%			1.97	%			1.63	%			1.44	%			1.38	%
Portfolio Turnover Rate			181	%²			277	%			251	%			252	%			309	%			253	%



	INVESTMENT GRADE CREDIT FUND CLASS M*

	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.55				0.55
Net realized and unrealized gain/(loss)			(0.03	)			0.33


Total Income from Investment Operations			0.52				0.88


Less Distributions:
From net investment income			(0.53	)			(0.55	)
From net capital gains			—				(0.02	)


Total Distributions			(0.53	)			(0.57	)


Net Asset Value, End of Period		$	10.30			$	10.31


Total Return			5.11	%²			9.02	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	840			$	799
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.68	%³			4.78	%³
After expense waivers and reimbursements			0.70	%³			0.70	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			10.68	%³			7.20	%³
Portfolio Turnover Rate			35	%²			199	%²



	INVESTMENT GRADE CREDIT FUND CLASS I*

	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.56				0.55
Net realized and unrealized gain/(loss)			(0.03	)			0.34


Total Income from Investment Operations			0.53				0.89


Less Distributions:
From net investment income			(0.54	)			(0.56	)
From net capital gains			—				(0.02	)


Total Distributions			(0.54	)			(0.58	)


Net Asset Value, End of Period		$	10.30			$	10.31


Total Return			5.22	%²			9.20	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	5,346			$	5,081
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.43	%³			4.53	%³
After expense waivers and reimbursements			0.49	%³			0.49	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			10.89	%³			7.29	%³
Portfolio Turnover Rate			35	%²			199	%²


	LOW DURATION BOND FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015

Net Asset Value, Beginning of Period		$	8.68			$	8.63			$	8.72			$	8.73			$	8.81			$	8.81


Income from Investment Operations:
Net investment income¹			0.11				0.20				0.13				0.10				0.10				0.11
Net realized and unrealized gain/(loss)			0.08				0.05				(0.09	)			(0.00	)²			(0.08	)			(0.00	)²


Total Income from Investment Operations			0.19				0.25				0.04				0.10				0.02				0.11


Less Distributions:
From net investment income			(0.11	)			(0.20	)			(0.13	)			(0.10	)			(0.10	)			(0.11	)
From net capital gains			—				—				—				(0.01	)			—				—
Return of Capital			—				(0.00	)²			—				—				—				—


Total Distributions			(0.11	)			(0.20	)			(0.13	)			(0.11	)			(0.10	)			(0.11	)


Net Asset Value, End of Period		$	8.76			$	8.68			$	8.63			$	8.72			$	8.73			$	8.81


Total Return			2.17	%³			2.93	%			0.48	%			1.25	%			0.22	%			1.24	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	515,306			$	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	%⁴			0.62	%			0.62	%			0.61	%			0.62	%			0.62	%
After expense waivers and reimbursements			0.62	%⁴			0.62	%			0.62	%			0.61	%			0.62	%			0.61	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.47	%⁴			2.29	%			1.45	%			1.19	%			1.16	%			1.21	%
Portfolio Turnover Rate			100	%³			174	%			200	%			95	%			119	%			30	%


	LOW DURATION BOND FUND CLASS I

	SIX MONTHS ENDED SEPTEMBER 30, 2019 (UNAUDITED)				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015

Net Asset Value, Beginning of Period		$	8.68			$	8.64			$	8.72			$	8.73			$	8.81			$	8.81


Income from Investment Operations:
Net investment income¹			0.12				0.22				0.15				0.12				0.12				0.13
Net realized and unrealized gain/(loss)			0.08				0.04				(0.08	)			(0.00	)²			(0.08	)			(0.00	)²


Total Income from Investment Operations			0.20				0.26				0.07				0.12				0.04				0.13


Less Distributions:
From net investment income			(0.12	)			(0.22	)			(0.15	)			(0.12	)			(0.12	)			(0.13	)
From net capital gains			—				—				—				(0.01	)			—				—
Return of Capital			—				(0.00	)²			—				—				—				—


Total Distributions			(0.12	)			(0.22	)			(0.15	)			(0.13	)			(0.12	)			(0.13	)


Net Asset Value, End of Period		$	8.76			$	8.68			$	8.64			$	8.72			$	8.73			$	8.81


Total Return			2.28	%³			3.03	%			0.81	%			1.46	%			0.44	%			1.46	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,516,527			$	1,578,279			$	1,685,415			$	1,816,633			$	1,915,270			$	1,915,434
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.42	%⁴			0.41	%			0.40	%			0.40	%			0.39	%			0.39	%
After expense waivers and reimbursements			0.42	%⁴			0.41	%			0.40	%			0.40	%			0.39	%			0.39	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.68	%⁴			2.53	%			1.68	%			1.40	%			1.39	%			1.42	%
Portfolio Turnover Rate			100	%³			174	%			200	%			95	%			119	%			30	%