Metropolitan West Funds

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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.

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Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Semi-Annual Report for the Funds for the period ended September 30, 2020. Given the backdrop of strong investor sponsorship and rallying fixed income markets, the assets of the Funds appreciated to over $96 billion, a measure viewed with great appreciation for the confidence it conveys and the responsibility of meeting client expectations.

The September 30, 2020 Semi-Annual Report covers the following Metropolitan West Funds:

The defining characteristics of the past six months remain centered on the COVID-19 pandemic and the resulting disruption brought to the economy and financial markets. As the virus spread globally and strict economic curbs were put into place to slow its transmission, markets reacted with a swift repricing of risk assets that led to a widespread sell-off in the first quarter of 2020. No sector was immune, particularly as levered investor (forced) sales and more routine redemptions tested liquidity in a fashion unhappily reminiscent of 2008. The sharpness of the drop, both in the financial markets and in the broader economy, resulted in decisive action by the Federal Reserve and Congress, which provided trillions of dollars in the form of monetary and fiscal stimulus. Notably, the Fed stepped in to lop the final 150 basis points off its target rate in a return to a zero interest rate policy (ZIRP) through an intra-meeting announcement, while also resuming its asset purchase programs with unprecedented scale and speed. The effect of these policies was staggering: an abundance of liquidity and investors impervious to downside potential, seemingly secure in a reliance on monetary policy to backstop markets, led to an extreme risk market reversal off March troughs. Equities recouped the entirety of early-year losses and indices were notching new highs by the end of August. Meanwhile, after plummeting to record lows in March, U.S. Treasury yield curve movement was mixed, with the belly of the curve down slightly (the 5-Year yield was just over 10 bps lower during the six-month period) while the long end was modestly higher (the 30-Year yield ended September at 1.46%, up roughly 13 bps).

As investor risk appetite picked up against a backdrop of renewed government support, fixed income markets delivered positive total returns and the Bloomberg Barclays Aggregate Index gained 3.5% during the six-month period, outpacing duration-matched Treasuries by over 290 bps. Corporate credit drove Index performance over the reporting period, as the sector gained 10.7% on a total return basis and outpaced duration-matched Treasuries by over 10%. High yield corporates, meanwhile, delivered an even more impressive 15.2% gain, with over 14% positive excess returns. Securitized products were mixed, led by commercial mortgage-backed securities (CMBS) performance (particularly non-agency CMBS issues which gained nearly 7% during the period), while agency MBS trailed. Within agency MBS, coupon and collateral type selection became increasingly important as the Fed’s footprint again expanded within the sector. Meanwhile, after substantial pricing dislocations in the first quarter, non-agency MBS remediated during the semi-annual period, led by issues backed by subprime and alt-A collateral. Finally, asset-backed securities (ABS) gained 4.4%, outperforming duration-matched Treasuries by nearly 395 bps as auto loans recovered from first quarter losses.

Going forward, the outlook for growth is highly tenuous and dependent on the path of the pandemic and response. Recent data, which may be subject to significant revision, suggests that it will take considerable time before the economy gets back to pre-COVID levels and the labor market returns to full employment. Furthermore, behavioral changes and persistent labor market disparities will likely prove to be a headwind to a consumer-driven rebound in economic activity. While there are sectors that stand to benefit from the massive government response and shifting consumption/investment patterns from the pandemic, overall risk market valuations look stretched as spreads trade back close to early 2020 levels and through long-term averages. Without doubt, the next phase of the recovery will likely be more difficult, particularly given the delay in, and likely reduction of, additional fiscal support against the backdrop of a rancorous election. What is clear is that headline volatility isn’t going to subside any time soon.

Data sources for the discussion above include Barclays, Bloomberg, JPMorgan and Merrill Lynch.

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 34.6% (net of fees) for the six-month period ending September 30, 2020, outperforming the S&P 500 Index by 327 bps. With short and intermediate Treasury rates slightly lower, the duration position of the Fund modestly contributed to returns. However, sector allocation and issue selection drove outperformance over the period. Most consequential was the allocation to investment grade corporates, with the sector sustained by government support and economic re-openings to rebound from the March selloff. Notable contributors include banking, finance companies, healthcare REITs, autos, healthcare, and pharmaceuticals. A small allocation to high yield corporates also contributed with the asset class up nearly 15.2%. Also overcoming first quarter volatility to provide a boost to the Fund were securitized products, particularly legacy non-agency MBS backed by subprime and option ARM collateral types, supported by strong housing fundamentals (i.e., brisk home sales and home price appreciation). Finally, CMBS (both agency-backed and senior, higher quality non-agency bonds) and ABS (especially government-guaranteed student loans and AAA-rated collateralized loan obligations, or CLOs) also recovered from the first quarter to perform well for the overall period, producing a positive impact on Fund returns, owing in part to some support extended by the Fed.

Early year market volatility provided an expanded opportunity set among spread products, with the Fund taking advantage of attractive entry points to add exposures in high quality sectors that have resilience or are likely to benefit from Fed activities or support. Specific positioning shifts included an increase to corporate credit exposure in the first quarter, with a focus on high quality, high conviction names with “fortress balance sheets”. Some of this position was subsequently trimmed at measurable gains during the second quarter. High yield credit exposure is limited, and at present is focused on defensive, larger, more liquid, and relatively high quality credit, though further opportunities are expected to add more substantially as downgrades swell the volume of available debt and distressed sellers appear. Within the securitized space, non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, while CMBS exposure is focused on higher quality agency-backed issues as well as seasoned private label CMBS at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS. Within ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLOs and government-guaranteed student loans. In addition, the Fund maintains a sizable allocation to government and cash bonds, despite low rates, as a buffer given the potential for equity volatility. Lastly, duration positioning stands at a relatively modest 0.7 year as Treasury rates remain near historic lows.

The MetWest Corporate Bond Fund – I Class (“Fund”) gained 9.03% (net of fees) over the six-month period ending September 30, 2020, trailing the Bloomberg Barclays U.S. Corporate Index (“Index”) by 163 bps. While the Fund maintained a slightly higher average yield among corporate holdings versus the Index, underperformance was driven by the underweight to corporate credit which outpaced Treasuries by over 1,000 bps on a duration-adjusted basis over the period. More specifically, the Fund maintained more cautious positioning across the credit sector, with underweights to most industrial sectors, including energy, basic industry, and consumer cyclicals, which were among the best performers over the period. Financials were generally an overweight, which benefitted performance given significant yield spread compression during the period, though the allocation to banking represented a relative underweight, weighing on performance. Some of this drag was offset by overweight positions in communications, non-cyclicals, and taxable municipals though spread compression in these areas was less robust. Additionally, an underweight to emerging market debt slightly held back returns, given the sector’s outperformance versus the Index amid a general bid for risk over the period. Meanwhile, the impact from the off-Index allocation to securitized products was mixed, with CMBS issues contributing as the sector did well over the period, while agency collateralized mortgage obligations (CMOs) modestly detracted. Finally, the duration of the Fund shortened over the period, ending at 7.3 years, approximately 1.4 years short of the Index. This position modestly benefitted returns as intermediate and longer Treasury rates rose modestly.

After a substantial increase to high quality corporate credit exposure in late March, the position has been subsequently trimmed at measurable gains, though the Fund will be managed with an eye towards idiosyncratic opportunities where higher yield premiums offer more compelling value if market volatility picks up. The corporate allocation remains focused on defensive sectors such as consumer non-cyclicals and communications, as well as insurance and finance companies that offer more stability through volatility. At this point, high yield credit exposure is limited given what we view as tight valuations, focused on defensive, larger, more liquid, and relatively high quality credit, though further opportunities are expected to add more substantially as downgrades swell the volume of available debt and distressed sellers appear. Within non-corporate credit, 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. As a last point on strategy, the Fund maintains a small allocation to agency MBS issues as well as higher quality CMBS issues up in the capital structure, with vigilance towards pockets of looser underwriting standards.

The MetWest Flexible Income Fund – I Class (“Fund”) gained 7.8% (net of fees) for the six-month period ending September 30, 2020, outpacing the Merrill Lynch U.S. LIBOR 3-Month Average Index by over 420 bps. Performance was largely driven by the Fund’s credit allocation, particularly strong issue selection among consumer non-cyclicals, REITs and finance company names within the investment grade space. A small position in high yield and emerging markets debt also boosted returns as both benefitted from the supportive global central bank backdrop to rally during the period, with the overall high yield asset class up nearly 15.2%. Further contributions came from exposure to securitized products, with the position in legacy non-agency MBS particularly beneficial as the sector remediated from pricing dislocations in the first quarter. Holdings backed by sub-prime collateral led, rewarding the Fund’s holdings in the space, while issue selection within ABS was also additive given solid returns for the sector. Finally, the duration profile remained substantially short relative to the benchmark as Treasury rates remained near historic lows, and was a slight headwind to performance during the period.

Corporate credit exposure remains somewhat underweight the benchmark, and is focused on defensive sectors (non-cyclicals and communications) that offer more stability through volatility, and idiosyncratic opportunities where higher yield premiums offer more compelling value. Meanwhile, high yield credit exposure is limited, focused on defensive, larger, more liquid, and relatively high quality credit, though further opportunities to add to this sector more substantially are expected as downgrades swell the volume of available debt and distressed sellers appear. Within the securitized space, the allocation to agency MBS was increased with the addition of TBAs given attractive financing rates, with a focus on low coupon issues where the Fed has concentrated its purchases. Non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with

an overall eye towards adding exposure in heavily discounted, senior legacy securities. Among ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLO and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. Finally, the duration position is short, at around two years as Treasury rates remain near historic lows.

The MetWest Floating Rate Income Fund – I Class (“Fund”) gained 10.2% (net of fees) for the six-month period ending September 30, 2020, while the S&P/LSTA Leveraged Loan Index (“Index”) returned 14.2%. As markets subsequently recovered from the first quarter selloff owing to government support and partial economic re-openings, a conservative stance held by the Fund weighed on relative returns, driven by a de-emphasis on industries with more market exposure, including cyclicals like retail, energy (led by oil & gas), and basic industry (especially metals & minerals), all of which rebounded from early year losses to perform better than the Index for the aggregate six months. However, banking, utility servicers, and consumer non-cyclicals such as food & drug and healthcare also outperformed the Index, rewarding the Fund’s bias for these sectors with a positive impact to the semi-annual relative performance. An additional drag derived from the Fund’s overweight to higher rated loans as lower quality outperformed for the overall period, led by Bs and CCCs, notwithstanding these segments posting large negative returns in the first quarter. However, issue selection among higher quality, especially BBBs and As, was modestly additive to the Fund’s six-month relative performance.

With uncertainty still pervasive in the loans universe and often on little volume, we remain defensive going forward. After opportunistically opening the risk budget in late March and early in the second quarter at attractive entry points, positions were subsequently trimmed at measurable gains amid the recovery. Current positioning is constructive on defensive industries like non-cyclicals, banking, transportation, and utility servicers, which we believe offer more stability and idiosyncratic opportunities, providing compelling value propositions. At the same time, the Fund maintains an underweight to those with more market risk, such as cyclicals like retail and commodity-related segments such as metals & minerals and energy as well as asset-light technology. The theme is the same from a quality perspective with the Fund continuing to favor higher rated loans after modestly adding to the lower quality spectrum amid the first quarter cheapening phase while simultaneously reducing higher quality into strength. As we look to the remaining part of the year, uncertainty persists in the loans market with a fractured nation facing a pandemic, a contentious election, and social unrest. As such, the Fund is cautious and maintains ample liquidity to take advantage of potential volatility and rapidly changing market valuations ahead.

While the MetWest High Yield Bond Fund – I Class (“Fund”) gained 12.95% (net of fees) over the six-month reporting period ending September 30, 2020, this was approximately 222 bps behind the return of the Bloomberg Barclays High Yield 2% Issuer Capped Index. An underweight to energy weighed on relative returns as this was the best performing sector in the Index, led higher by an over 56% gain for independent exploration and production (E&P) credits, while midstream posted an impressive gain of nearly 40%. The underweight to consumer cyclical names (particularly within retail and autos) was another drag on returns as credits that experienced considerable weakness earlier in the year rebounded in the third quarter; autos were up 19.3% while retailers gained 16.6% for the semi-annual period. An up-in-quality emphasis also detracted, as the CCC-rated cohort gained over 17.1% while BB- and B-rated credits followed with gains of 16.0% and 13.6%, respectively. These drags were somewhat offset by benefit coming from issue selection among communications and consumer non-cyclicals. Finally, the Fund’s duration positioning relative

to the Index was maintained at roughly six-tenths of a year short relative to the Index, though this had only a slight negative effect on performance as rate movements across the curve were mixed.

After a substantial increase to high quality corporate credit exposure in late March, the position has been subsequently trimmed at measurable gains, with a continued emphasis on more defensive sectors such as consumer non-cyclicals and communications that offer more stability through volatility. The strategy will be managed with an eye towards idiosyncratic opportunities where higher yield premiums offer more compelling value, particularly in a market that we believe will experience further bouts of volatility. As of now, the Fund remains underweight the lowest-rated cohort of high yield markets, as we believe current valuations do not adequately compensate investors for the underlying downside risks, with little buffer to sustain a drawn-out economic recovery. Prospective volatility is likely to impact these lower quality areas of the credit markets more acutely and provide additional opportunities to expand the risk budget as distressed sellers appear. Furthermore, we expect leverage levels to remain persistently elevated, compounded by lower recovery rates, and the team remains focused on security selection and fundamental credit underwriting to minimize principal loss. Consistent with management discipline, as a final point, Fund duration positioning ended the quarter at approximately 0.6 years shorter than the benchmark as Treasury rates remain near historic lows.

The MetWest Intermediate Bond Fund – I Class (“Fund”) gained 5.2% (net of fees) for the six-month period ending September 30, 2020, outpacing the Bloomberg Barclays Intermediate Government/Credit Index (“Index”) by 175 bps. Outperformance was driven by relative sector positioning and opportunistic repositioning over the period. Most consequential was the overweight to corporate credit – long duration additions made during the first quarter benefitted returns significantly as the sector performed well throughout Q2 and Q3, and the position was subsequently trimmed alongside the decline in yield premiums from June through September. A small position in high yield corporate and emerging market debt also contributed, though emerging market debt rewarded the Index as well. Away from credit, residential MBS was significant to outperformance, specifically non-agency MBS, which more than recovered from first quarter pricing dislocations with legacy issues gaining over 9% in Q2 and nearly 4% in Q3. Among agency MBS, the preference for current/lower couponTBAs contributed to performance with incremental carry – financing rates are relatively attractive among lower coupons given the sizable Fed footprint. An overweight to ABS was also additive given solid returns for the sector, though issue selection focused on government-guaranteed FFELP student loans was a drag. Finally, a small position in longer datedTreasury Inflation-Protected Securities (TIPS) added to performance vis-à-vis the Index given expectations for inflation to pick up as the global economy eventually recovers from the challenges associated with COVID-19. Meanwhile, the shorter-than-index duration of the Fund had little impact on performance given relatively mild changes in Treasury rates during the period.

After a substantial increase to high quality corporate credit exposure in late March and into the second quarter, the position has been subsequently trimmed at measurable gains, bringing the exposure to an underweight versus the benchmark. The allocation is made up of defensive sectors (non-cyclicals and communications) that should offer more stability, and idiosyncratic opportunities where higher yield premiums offer more compelling value. Meanwhile, high yield credit exposure is limited, focused on defensive, larger, more liquid, and relatively high quality credit, though further opportunities to add to this sector more substantially are expected as downgrades swell the volume of available debt and distressed sellers appear. Within the securitized space, the allocation to agency MBS swapped some specified pool exposure for TBAs given attractive financing rates, with a focus on low coupon issues where the Fed has concentrated its purchases. Non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. Among ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLO and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. Rounding out the strategic emphasis, the duration position is approximately 0.6 years shorter than the benchmark as Treasury rates remain near historic lows.

The MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 7.41% (net of fees) over the six-month period ending September 30, 2020, trailing the Bloomberg Barclays U.S. Intermediate Credit Index (“Index”) by 58 bps. While the Fund maintained a slightly higher average yield among corporate holdings versus the Index, underperformance was driven by the underweight to intermediate corporate credit which outpaced Treasuries by over 800 bps on a duration-adjusted basis over the period. More specifically, the Fund maintained more cautious positioning across the credit sector, with underweights to consumer cyclicals, technology, capital goods and energy throughout much of the quarter, sectors that were among the top performing industrials. Financials were generally an overweight, which benefitted performance given significant yield spread compression during the period, though the allocation to banking represented a relative underweight, weighing on performance. Some of this drag was offset by overweight positions in communications and non-cyclicals, though spread compression in these areas was less robust. Additionally, an underweight to emerging market debt and non-U.S. sovereigns slightly held back returns, given their outperformance versus the Index amid a general bid for risk over the period. Meanwhile, the off-Index allocation to securitized products boosted relative performance, led by CMBS issues which did well over the period, and the focus on government-guaranteed FFELP student loans within the ABS sector. Further contributions came from the allocation to legacy non-agency MBS as the sector outpaced broader fixed income markets, recovering from first quarter weakness with a return of more than 9% in Q2 and nearly 4% in Q3. Finally, the duration of the Fund at approximately 0.8 years shorter than the Index had a small negative impact on performance as six-month through 7-Year Treasury yields fell modestly.

After a substantial increase to high quality corporate credit exposure in late March, the position has been subsequently trimmed at measurable gains, and the allocation is comprised of defensive sectors (non-cyclicals and communications) that offer more stability through volatility, and idiosyncratic opportunities where higher yield premiums offer more compelling value. Meanwhile, high yield credit exposure is limited, focused on defensive, larger more liquid, and relatively high quality credit, though further opportunities are expected to add more substantially as downgrades swell the volume of available debt and distressed sellers appear. Within the securitized space, residential MBS remains an emphasis, particularly legacy non-agency issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted senior securities. The Fund’s focus within CMBS is on higher quality issues up in the capital structure, with vigilance towards pockets of looser underwriting standards. Among ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLO and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. Lastly, the duration position ended the quarter at approximately 0.8 years shorter than the benchmark as Treasury rates remain near historic lows.

The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 3.58% (net of fees) over the six-month reporting period, outpacing the Merrill Lynch 1-3 Year U.S. Treasury Index by 334 bps. With front-end rates slightly lower, a shorter duration position of the Fund detracted marginally. However, sector allocation and security selection drove outperformance. Most consequential was investment grade corporates as the sector rebounded from March volatility, ending the period tighter, owing to government support and partial economic re-openings. Corporate issue selection benefited further, particularly among financials such as banking, REITs, and

finance companies as well as consumer non-cyclicals like healthcare and pharmaceuticals, while midstream and autos were also notable contributors. A small allocation to high yield corporates was additive with the asset class up nearly 15.2%. Also overcoming first quarter volatility to provide a boost to the Fund were securitized products, especially legacy non-agency MBS backed by subprime, against a backdrop of strong housing fundamentals (i.e., brisk home sales and home price appreciation). Among agency MBS, an upsized allocation during the first quarter benefited returns with the Fed’s limitless sponsorship, though the sector lagged fixed income for the semi-annual period given prepayment and oversupply concerns. However, contributing to returns was the Fund’s preference for current/lower coupon TBAs where financing rates are relatively attractive given the sizable Fed footprint, while floating rate CMOs produced additional gains amid higher long rates. Finally, CMBS (especially senior, higher quality non-agency bonds) and ABS (particularly government-guaranteed student loans) also recovered from first quarter to perform well for the overall period, due in part to some support extended by the Fed.

After a substantial increase in the high quality corporate credit exposure in late March and early in the second quarter, the position was subsequently trimmed at measurable gains. The current allocation is made up of defensive sectors (non-cyclicals and communications) that we believe offer more stability and idiosyncratic opportunities where higher yield premiums offer more compelling value. Meanwhile, high yield credit exposure is limited, focused on defensive, larger, more liquid, and relatively high quality credit, though future opportunities to add to this position are expected as downgrades swell the volume of available debt and distressed sellers appear. Within the securitized space, the allocation to agency MBS remains focused on well-structured CMOs and on TBA pass-throughs given attractive financing rates, with an emphasis on low coupon issues where the Fed has concentrated its purchases. Non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. Among ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLO and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. As a last point on strategy, the duration position is approximately 0.7 years shorter than the benchmark as Treasury rates remain near historic lows.

The MetWest Strategic Income Fund – I Class (“Fund”) gained 9.67% (net of fees) for the six-month period ending September 30, 2020, outpacing the ICE BofAML 3-Month U.S. Treasury Bill Index by over 860 bps. Performance was driven by the corporate credit allocation as spreads tightened by roughly 136 bps during the period, led by contributions from consumer non-cyclicals, communications, and finance company names in the investment grade space. A small position in high yield and emerging markets debt also boosted returns as both benefitted from the supportive global central bank backdrop to rally during the period, with the overall high yield asset class up nearly 15.2%. Further contributions came from exposure to securitized products, with the position in legacy non-agency MBS particularly beneficial as the sector remediated from pricing dislocations in the first quarter. Holdings backed by sub-prime collateral led, rewarding the Fund’s holdings in the space, while issue selection within ABS was also additive given solid returns for the sector. Consistent with management discipline, the duration position ended the period at 1.3 years, benefitting performance as Treasury rates fell in the intermediate part of the curve.

After a substantial increase to high quality corporate credit exposure in late March and early in the 2nd quarter, the position has been subsequently trimmed at measurable gains. The current allocation is made up of defensive sectors (non-cyclicals and communications) that we believe offer more stability, and idiosyncratic opportunities where higher yield premiums offer more compelling value. Meanwhile, the high yield credit exposure is focused on defensive, larger, more liquid, and relatively high quality credit, though future opportunities to add to this position are expected as downgrades swell the volume of available debt and distressed sellers appear. Within the securitized space, non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. Among ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLO and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed

given relatively tight spread levels. Finally, duration positioning ended the quarter at a relatively modest 1.3 years as Treasury rates remain near historic lows.

M-Class (MWTRX), I-Class (MWTIX), I-2-Class (MWTTX), Administrative-Class (MWTNX), Plan-Class (MWTSX)

The MetWest Total Return Bond Fund – I Class (“Fund”) returned 5.4% (net of fees) for the six-month period ending September 30, 2020, a 185 bps premium to the Bloomberg Barclays Aggregate Index (“Index”). Outperformance was driven by relative sector positioning and opportunistic repositioning over the period. Most consequential was the overweight to corporate credit – long duration additions made during the first quarter benefitted returns significantly as the sector performed well throughout Q2 and Q3, and the position was subsequently trimmed alongside the decline in yield premiums from June through September. A small position in high yield corporate and emerging market debt also contributed, though emerging market debt rewarded the Index as well. Away from credit, residential MBS was significant to outperformance, specifically non-agency MBS, which more than recovered from first quarter pricing dislocations with legacy issues gaining over 9% in Q2 and nearly 4% in Q3. Among agency MBS, the preference for current/lower coupon TBAs contributed to performance with incremental carry – financing rates are relatively attractive among lower coupons given the sizable Fed footprint. An overweight to ABS was also additive given solid returns for the sector, though issue selection focused on government-guaranteed FFELP student loans was a slight drag. Finally, a small position in longer dated TIPS added to performance vis-à-vis the Index given expectations for inflation to pick up as the global economy eventually recovers from the challenges associated with COVID-19. Meanwhile, the duration underweight increased modestly over the period to end at 0.5 years short of the Index as Treasury rates remained near historic lows, resulting in little impact on performance given relatively mild changes in Treasury rates during the period.

After a substantial increase to high quality corporate credit exposure in late March, the position has been subsequently trimmed at measurable gains, bringing the exposure to a slight underweight versus the benchmark. The allocation is made up of defensive sectors (non-cyclicals and communications) that we believe offer more stability through volatility, and idiosyncratic opportunities where higher yield premiums offer more compelling value. Meanwhile, high yield credit exposure is limited, focused on defensive, larger more liquid, and relatively high quality credit, though further opportunities are expected to add more substantially as downgrades swell the volume of available debt and distressed sellers appear. Within the securitized space, the allocation to agency MBS swapped some specified pool exposure for TBAs given attractive financing rates, with a focus on low coupon issues where the Fed has concentrated its purchases. Non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. Among ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLO and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. Consistent with portfolio discipline, as a closing point on strategy, the duration position is approximately 0.5 years shorter than the benchmark as Treasury rates remain near historic lows.

The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 1.4% (net of fees) over the six-month period ending September 30, 2020, ahead of the ICE BofAML 1-Year U.S. Treasury Index (“Index”) by 134 bps. With front-end rates slightly lower, a shorter duration position of the Fund detracted from returns on the margin. However, sector allocation and security selection drove outperformance. The allocation to corporate credit was beneficial for the Fund as the sector rebounded from March volatility, ending the period tighter, owing to government support and partial economic re-openings. Issue selection in the sector further contributed, particularly among banking, finance companies, autos, and pharmaceuticals. Also overcoming first quarter volatility to provide a boost to the Fund were securitized products, particularly legacy non-agency MBS backed by subprime and alt-A collateral types, against a backdrop of strong housing fundamentals (i.e., brisk home sales and home price appreciation). In agency residential MBS, the preference for CMOs, with an emphasis on floating rate issues while long rates rose, produced additional gains for the Fund. Finally, CMBS (especially senior, higher quality non-agency bonds) and ABS (particularly government-guaranteed student loans) also recovered from the first quarter to perform well for the overall period, producing a positive impact on Fund returns, due in part to some support extended by the Fed.

After an increase in the high quality corporate credit exposure in late March and early in the second quarter, the position was subsequently trimmed at measurable gains. Current allocation in investment grade corporates is made up chiefly of defensive sectors (i.e., non-cyclicals, electric, and certain financials) that we believe offer more stability and idiosyncratic opportunities where higher yield premiums offer more compelling value. Meanwhile, high yield credit exposure is limited, focused on defensive, larger, more liquid, and relatively higher quality credit, though future opportunities to add to this position are expected as downgrades swell the volume of available debt and distressed sellers appear. In securitized products, the position in agency MBS is focused on well-structured CMOs that are floating rate given stable duration profiles, while non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. The CMBS exposure is split between agency and non-agency bonds, with opportunistic adjustments over the quarter that resulted in a slight bias for non-agency vis-a-vis agency issues. Among ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. Lastly, consistent with management discipline, the duration position is approximately 0.6 years shorter than the benchmark as Treasury rates remain near historic lows.

The MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 8.5% (net of fees) for the six-month period ending September 30, 2020, outpacing the Merrill Lynch U.S. LIBOR 3-Month Average Index by nearly 820 bps. Performance was largely driven by the Fund’s credit allocation, particularly strong issue selection among consumer non-cyclicals, REITs and finance company names within the investment grade space. A small position in high yield and emerging markets debt also boosted returns as both benefitted from the supportive global central bank backdrop to rally during the period, with the overall high yield asset class up nearly 15.2%. Further contributions came from exposure to securitized products, with the position in legacy non-agency MBS particularly beneficial as the sector remediated from pricing dislocations in the first quarter. Holdings backed by sub-prime collateral led, rewarding the Fund’s holdings in the space, while issue selection within ABS was also additive given solid returns for the sector. Lastly, and consistent with management discipline, the duration profile was modestly extended during the period, moving from 1.6 years to 1.8 years, benefitting performance as Treasury rates fell in the intermediate part of the curve.

After a substantial increase to high quality corporate credit exposure in late March and early in the 2nd quarter, the position has been subsequently trimmed at measurable gains. The current allocation is made up of defensive sectors (non-cyclicals and communications) that we believe offer more stability, and idiosyncratic opportunities where higher yield premiums offer more compelling value. Meanwhile, the high yield credit exposure is focused on defensive, larger, more liquid, and relatively high quality credit, though future opportunities to add to this position are expected as downgrades swell the volume of available debt and distressed sellers appear. Within the securitized space, the allocation to agency MBS was increased via TBAs given attractive financing rates, with a focus on low coupon issues where the Fed has concentrated its purchases. The Fund also maintained a small position in well-structured agency CMOs with stable duration profiles. Non-agency MBS continues to be an area offering value, particularly legacy issues that have strong underlying fundamentals, with an overall eye towards adding exposure in heavily discounted, senior legacy securities. Within ABS, the Fund’s exposure avoids more vulnerable collateral types such as credit card loans, preferring AAA-rated CLO and government-guaranteed student loan collateral, though the allocation to FFELP student loans may be opportunistically trimmed given relatively tight spread levels. Finally, duration positioning was maintained at a relatively modest level as Treasury rates remain near historic lows.

Going forward, the path for growth is highly uncertain and dependent on how quickly “normalcy” can be resumed, with expectations for COVID-19-driven behavioral changes and persistent labor market disparities to be a headwind to a consumer-driven rebound in economic activity. While there are sectors that stand to benefit from the massive government response and shifting consumption/investment patterns from the pandemic, overall risk market valuations look stretched as spreads trade back close to early 2020 levels and through long-term averages. Without doubt, the next phase of the recovery will likely be more difficult, particularly given the delay in, and likely reduction of, additional fiscal support against the backdrop of a rancorous election. What is clear is that headline volatility isn’t going to subside any time soon, and the strategies are positioned with an eye towards having flexibility to take advantage of potential opportunities in the fixed income markets.

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 Alpha Trak 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 2020, 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 expenses shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

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


ALPHATRAK 500 FUND
Sector Diversification
Corporate Bonds			32.43%
Asset-Backed Securities			13.46%
Mutual Funds			9.68%
Non-Agency Mortgage-Backed			9.30%
U.S. Treasury Bills			6.91%
Money Market Funds			5.57%
Non-Agency Commercial Mortgage-Backed			5.56%
U.S. Agency Commercial Mortgage-Backed			5.45%
U.S. Agency Mortgage-Backed			2.37%
U.S. Treasury Securities			1.32%
Commercial Paper			0.42%
Other*			7.53%
Total			100.00%

CORPORATE BOND FUND
Sector Diversification
Corporate Bonds			77.16%
U.S. Treasury Bills			12.13%
Money Market Funds			4.36%
U.S. Agency Discount Notes			2.27%
Municipal Bonds			1.50%
Non-Agency Commercial Mortgage-Backed			0.90%
U.S. Agency Mortgage-Backed			0.61%
U.S. Agency Commercial Mortgage-Backed			0.54%
U.S. Treasury Securities			0.30%
Commercial Paper			0.08%
Other*			0.15%
Total			100.00%


FLEXIBLE INCOME FUND
Sector Diversification
Corporate Bonds			26.68%
U.S. Treasury Bills			23.22%
Non-Agency Mortgage-Backed			16.29%
Money Market Funds			15.08%
U.S. Agency Mortgage-Backed			9.36%
Non-Agency Commercial Mortgage-Backed			6.52%
Asset-Backed Securities			4.97%
U.S. Agency Discount Notes			3.31%
U.S. Agency Commercial Mortgage-Backed			2.72%
Foreign Government Obligations			1.04%
Municipal Bonds			0.89%
Bank Loans			0.20%
Commercial Paper			0.03%
Other*			(10.31)%
Total			100.00%

FLOATING RATE INCOME FUND
Sector Diversification
Bank Loans			84.10%
Corporate Bonds			9.07%
Money Market Funds			5.05%
U.S. Treasury Bills			4.26%
Municipal Bonds			0.00%
Other*			(2.48)%
Total			100.00%


HIGH YIELD BOND FUND
Sector Diversification
Corporate Bonds			77.29%
Bank Loans			13.45%
Money Market Funds			4.36%
Non-Agency Mortgage-Backed			3.07%
U.S. Treasury Bills			1.24%
Municipal Bonds			0.45%
Non-Agency Commercial Mortgage-Backed			0.31%
Common Stock			0.00%
Other*			(0.17)%
Total			100.00%

INTERMEDIATE BOND FUND
Sector Diversification
U.S. Treasury Securities			40.30%
Corporate Bonds			28.51%
U.S. Agency Mortgage-Backed			10.70%
U.S. Treasury Bills			6.79%
Non-Agency Mortgage-Backed			6.06%
Asset-Backed Securities			5.40%
Money Market Funds			2.69%
Non-Agency Commercial Mortgage-Backed			2.28%
Bank Loans			1.27%
Municipal Bonds			1.03%
U.S. Agency Commercial Mortgage-Backed			0.76%
Commercial Paper			0.25%
U.S. Agency Securities			0.03%
Common Stock			0.00%
Other*			(6.07)%
Total			100.00%


INVESTMENT GRADE CREDIT FUND
Sector Diversification
Corporate Bonds			55.53%
U.S. Treasury Bills			10.63%
Non-Agency Commercial Mortgage-Backed			7.19%
U.S. Agency Mortgage-Backed			5.00%
Asset-Backed Securities			4.76%
Non-Agency Mortgage-Backed			4.49%
U.S. Treasury Securities			3.49%
U.S. Agency Commercial Mortgage-Backed			3.40%
Money Market Funds			2.60%
Municipal Bonds			1.65%
Commercial Paper			0.16%
Other*			1.10%
Total			100.00%

LOW DURATION BOND FUND
Sector Diversification
Corporate Bonds			26.19%
U.S. Treasury Securities			18.60%
U.S. Treasury Bills			13.65%
U.S. Agency Mortgage-Backed			8.71%
Non-Agency Mortgage-Backed			8.56%
Asset-Backed Securities			6.92%
U.S. Agency Commercial Mortgage-Backed			6.82%
Non-Agency Commercial Mortgage-Backed			6.29%
U.S. Agency Discount Notes			4.17%
Money Market Funds			2.14%
Bank Loans			1.35%
Municipal Bonds			0.20%
Commercial Paper			0.17%
Common Stock			0.00%
Purchased Swaptions			0.00%
Written Swaptions			0.00%
Other*			(3.77)%
Total			100.00%


STRATEGIC INCOME FUND
Sector Diversification
Non-Agency Mortgage-Backed			31.17%
Corporate Bonds			26.13%
U.S. Treasury Bills			13.55%
Asset-Backed Securities			12.03%
U.S. Agency Commercial Mortgage-Backed			5.13%
U.S. Agency Mortgage-Backed			3.82%
Non-Agency Commercial Mortgage-Backed			3.01%
Money Market Funds			2.75%
Municipal Bonds			2.05%
Commercial Paper			1.58%
Other*			(1.22)%
Total			100.00%

TOTAL RETURN BOND FUND
Sector Diversification
U.S. Treasury Securities			35.46%
U.S. Agency Mortgage-Backed			31.93%
Corporate Bonds			23.36%
U.S. Treasury Bills			7.32%
Non-Agency Mortgage-Backed			5.85%
Asset-Backed Securities			3.69%
U.S. Agency Discount Notes			2.44%
Municipal Bonds			1.21%
Bank Loans			1.11%
Non-Agency Commercial Mortgage-Backed			0.98%
Foreign Government Obligations			0.85%
Money Market Funds			0.32%
Commercial Paper			0.26%
U.S. Agency Commercial Mortgage-Backed			0.14%
Common Stock			0.00%
Other*			(14.92)%
Total			100.00%


ULTRA SHORT BOND FUND
Sector Diversification
U.S. Treasury Bills			48.28%
U.S. Treasury Securities			11.52%
Corporate Bonds			8.69%
Money Market Funds			6.58%
Non-Agency Mortgage-Backed			5.93%
U.S. Agency Mortgage-Backed			5.14%
Non-Agency Commercial Mortgage-Backed			3.36%
Asset-Backed Securities			2.56%
U.S. Agency Commercial Mortgage-Backed			2.44%
Commercial Paper			0.13%
Other*			5.37%
Total			100.00%

UNCONSTRAINED BOND FUND
Sector Diversification
Corporate Bonds			27.55%
Non-Agency Mortgage-Backed			26.59%
U.S. Treasury Bills			13.08%
U.S. Agency Mortgage-Backed			12.63%
Asset-Backed Securities			10.96%
Non-Agency Commercial Mortgage-Backed			5.67%
U.S. Agency Commercial Mortgage-Backed			4.19%
Foreign Government Obligations			2.86%
U.S. Agency Discount Notes			2.19%
Municipal Bonds			1.52%
Bank Loans			1.50%
Commercial Paper			0.58%
Money Market Funds			0.26%
Common Stock			0.00%
Other*			(9.58)%
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 NPORT-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 – 69.89%

ASSET-BACKED SECURITIES — 13.46%**

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

(LIBOR USD 1-Month plus 0.70%)

0.85%

07/25/56

^1,2

15,149

14,828

Aimco CLO 11 Ltd., Series 2020-11A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.38%)

1.60%

10/15/31

^1,2,3

100,000

100,050

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

Class A1LR (Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

1.49%

07/25/29

^1,2,3

35,000

34,758

Barings BDC Static CLO Ltd.,

Series 2019-1A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.02%)

1.30%

04/15/27

^1,2,3

27,777

27,710

Barings CLO Ltd., Series 2013-IA,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

1.07%

01/20/28

^1,2,3

70,258

69,643

Barings CLO Ltd., Series 2018-3A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

1.22%

07/20/29

^1,2,3

85,000

84,208

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

0.70%

01/25/35

^1,2

11,137

10,948

BlueMountain CLO Ltd., Series 2013-2A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.18%)

1.44%

10/22/30

^1,2,3

49,618

49,128

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

1.45%

02/25/35

215,000

215,906

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.27%)

0.00%

10/25/32

^1,2,3

80,000

80,100

Citibank Credit Card Issuance Trust,

Series 2018-A6, Class A6

3.21%

12/07/24

235,000

250,263

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

1.18%

04/15/29

^1,2,3

50,000

49,511

Eaton Vance CLO Ltd., Series 2020-1A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

1.90%

10/15/30

^1,2,3

85,000

84,890

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

0.89%

04/25/35

2,830

2,812

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

1.20%

03/25/36

30,424

30,615

Ford Credit Floorplan Master Owner Trust,

Series 2019-3, Class A1

2.23%

09/15/24

250,000

258,682

GoldenTree Loan Management U.S. CLO 8

Ltd., Series 2020-8A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.75%

07/20/31

^1,2,3

140,000

140,087

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

1.30%

05/25/34

^1,2

146,345

146,145

LCM XIII LP, Series 2013A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.41%

07/19/27

^1,2,3

80,000

79,291

Magnetite XXI CLO Ltd., Series 2019-21A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.28%)

1.55%

04/20/30

^1,2,3

85,000

84,655

Magnetite XXVII CLO Ltd., Series 2020-27A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.82%

07/20/33

^1,2,3

130,000

130,061

Navient Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.51%)

0.66%

06/25/31

102,417

99,813

Navient Student Loan Trust, Series 2017-2A,

Class A

(LIBOR USD 1-Month plus 1.05%)

1.20%

12/27/66

^1,2

70,703

69,887

Navient Student Loan Trust, Series 2017-4A,

Class A2

(LIBOR USD 1-Month plus 0.50%)

0.65%

09/27/66

^1,2

80,284

80,044

Nelnet Student Loan Trust, Series 2014-3A,

Class A

(LIBOR USD 1-Month plus 0.58%)

0.73%

06/25/41

^1,2

16,481

16,186

North Carolina State Education Authority,

Series 2011-1, Class A3

(LIBOR USD 3-Month plus 0.90%)

1.17%

10/25/41

10,578

10,299

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

1.00%

01/29/46

7,232

7,161

OHA Credit Funding 7 Ltd., Series 2020-7A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

0.00%

10/19/32

^1,2,3

80,000

80,100

PHEAA Student Loan Trust, Series 2016-1A,

Class A

(LIBOR USD 1-Month plus 1.15%)

1.30%

09/25/65

^1,2

71,719

71,576

Riserva CLO Ltd., Series 2016-3A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.41%

10/18/28

^1,2,3

200,000

198,750

Rockford Tower CLO Ltd., Series 2017-3A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

1.46%

10/20/30

^1,2,3

130,000

129,025

SBA Small Business Investment Cos.,

Series 2011-10B, Class 1

2.88%

09/10/21

249,190

251,493

SLM Student Loan Trust, Series 2003-10A,

Class A3

(LIBOR USD 3-Month plus 0.47%)

0.72%

12/15/27

^1,2

36,535

36,329

SLM Student Loan Trust, Series 2003-11,

Class A6

(LIBOR USD 3-Month plus 0.55%)

0.80%

12/15/25

^1,2

42,040

41,887

SLM Student Loan Trust, Series 2004-1,

Class A4

(LIBOR USD 3-Month plus 0.26%)

0.50%

10/27/25

54,712

54,383

SLM Student Loan Trust, Series 2005-4,

Class A3

(LIBOR USD 3-Month plus 0.12%)

0.36%

01/25/27

75,643

74,979

SLM Student Loan Trust, Series 2005-5,

Class A4

(LIBOR USD 3-Month plus 0.14%)

0.38%

10/25/28

144,429

143,319

SLM Student Loan Trust, Series 2005-8,

Class A4

(LIBOR USD 3-Month plus 0.55%)

0.79%

01/25/28

22,507

22,516

SLM Student Loan Trust, Series 2007-6,

Class A4

(LIBOR USD 3-Month plus 0.38%)

0.62%

10/25/24

18,899

18,884

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-5,

Class A4

(LIBOR USD 3-Month plus 1.70%)

1.94%

07/25/23

119,815

118,390

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

1.34%

07/25/23

164,154

158,482

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)

1.74%

04/25/23

44,903

44,093

SLM Student Loan Trust, Series 2011-2,

Class A1

(LIBOR USD 1-Month plus 0.60%)

0.75%

11/25/27

3,635

3,632

SLM Student Loan Trust, Series 2012-1,

Class A3

(LIBOR USD 1-Month plus 0.95%)

1.10%

09/25/28

159,962

153,421

SLM Student Loan Trust, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.70%)

0.85%

01/25/29

92,600

86,152

SLM Student Loan Trust, Series 2013-4,

Class A

(LIBOR USD 1-Month plus 0.55%)

0.70%

06/25/43

6,576

6,421

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

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

1.49%

07/17/28

^1,2,3

35,000

34,857

Toyota Auto Receivables Owner Trust,

Series 2018-B, Class A4

3.11%

11/15/23

270,000

280,685

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.72%)

0.96%

07/25/26

^1,2,3

12,923

12,877

Voya CLO Ltd., Series 2020-2A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

1.78%

07/19/31

^1,2,3

80,000

79,970

Total Asset-Backed Securities

(Cost $4,354,493)

4,329,902

CORPORATES — 32.43%*

Banking — 4.02%

Bank of America Corp.

2.74%

01/23/22

⁴

325,000

327,318

3.00%

12/20/23

⁴

91,000

95,593



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase & Co.
3.21%		04/01/23	⁴		$	200,000		$	207,894
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,4			200,000			207,539
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		08/05/21	³			75,000			76,504
3.13%		01/08/21	³			125,000			125,912
Wells Fargo Bank N.A. (BKNT)
2.08%		09/09/22	⁴			250,000			253,504


									1,294,264

Communications — 2.46%
AT&T, Inc.
(LIBOR USD 3-Month plus 1.18%)
1.43%		06/12/24	¹			175,000			178,617
CCO Holdings LLC/CCO Holdings
Capital Corp.
4.50%		08/15/30	²			25,000			26,314
4.50%		05/01/32	²			19,000			19,856
5.38%		06/01/29	²			14,000			15,188
Charter Communications Operating LLC/
Charter Communications Operating Capital
(LIBOR USD 3-Month plus 1.65%)
1.90%		02/01/24	¹			125,000			127,954
CSC Holdings LLC
5.38%		02/01/28	²			5,000			5,294
Intelsat Jackson Holdings SA (Luxembourg)⁵
8.50%		10/15/24	^2,3,6			20,000			13,000
9.75%		07/15/25	^2,3,6			61,000			40,105
Level 3 Financing, Inc.
4.63%		09/15/27	²			13,000			13,381
5.38%		05/01/25				12,000			12,402
Sprint Corp.
7.88%		09/15/23				3,000			3,452
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%		09/20/21	²			91,250			92,265
4.74%		03/20/25	²			50,000			54,219
5.15%		03/20/28	²			50,000			59,031
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%		05/15/29	^2,3			5,000			5,375
Vodafone Group PLC (United Kingdom)
(LIBOR USD 3-Month plus 0.99%)
1.26%		01/16/24	^1,3			125,000			126,101


									792,554



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Consumer Discretionary — 0.69%
BAT Capital Corp.
2.76%		08/15/22			$	165,000		$	171,090
Constellation Brands, Inc.
(LIBOR USD 3-Month plus 0.70%)
0.98%		11/15/21	¹			50,000			50,004


									221,094

Electric — 2.53%
Alliant Energy Finance LLC
3.75%		06/15/23	²			140,000			150,435
Dominion Energy, Inc., Series B
2.75%		09/15/22				150,000			155,183
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²			50,000			52,547
El Paso Electric Co.
3.30%		12/15/22				50,000			51,258
Evergy, Inc.
4.85%		06/01/21				100,000			101,785
NextEra Energy Capital Holdings, Inc.
2.40%		09/01/21				30,000			30,579
(LIBOR USD 3-Month plus 0.48%)
0.73%		05/04/21	¹			55,000			55,129
(LIBOR USD 3-Month plus 0.55%)
0.81%		08/28/21	¹			40,000			40,016
PNM Resources, Inc.
3.25%		03/09/21				175,000			177,009


									813,941

Energy — 1.72%
Antero Resources Corp.
5.00%		03/01/25				28,000			17,553
5.13%		12/01/22				11,000			8,986
5.63%		06/01/23				15,000			11,025
Cheniere Energy Partners LP
5.25%		10/01/25				5,000			5,120
Energy Transfer Operating LP
5.50%		06/01/27				12,000			13,231
NGPL PipeCo LLC
4.38%		08/15/22	²			150,000			155,804
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25				125,000			135,043
Sunoco Logistics Partners Operations LP
4.25%		04/01/24				150,000			157,577
Targa Resources Partners LP/Targa Resources Partners
Finance Corp.
6.88%		01/15/29				4,000			4,295



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^2,3		$	13,650		$	12,629
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^2,3			4,680			4,208
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^2,3			18,000			14,517
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^2,3			2,600			2,333
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26				5,000			4,966
6.88%		09/01/27				5,000			4,967

									552,254

Entertainment — 0.03%
Live Nation Entertainment, Inc.
4.75%		10/15/27	²			11,000			10,319


Finance — 6.72%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
4.45%		12/16/21	³			150,000			153,290
Air Lease Corp.
2.25%		01/15/23				75,000			75,534
3.50%		01/15/22				65,000			66,697
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	^2,3			5,000			4,995
5.25%		05/15/24	^2,3			5,000			5,016
Citigroup, Inc.
2.88%		07/24/23	⁴			225,000			233,507
(LIBOR USD 3-Month plus 0.95%)
1.21%		07/24/23	¹			30,000			30,224
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
1.18%		02/15/22	^1,2			150,000			150,568
Ford Motor Credit Co. LLC
3.20%		01/15/21				160,000			159,962
3.81%		10/12/21				35,000			35,153
5.75%		02/01/21				75,000			75,656
(LIBOR USD 3-Month plus 0.81%)
1.04%		04/05/21	¹			45,000			44,369
General Motors Financial Co., Inc.
4.20%		11/06/21				60,000			61,932
4.38%		09/25/21				135,000			139,302
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	⁴			170,000			174,167
Goldman Sachs Group, Inc. (The) (MTN)
(LIBOR USD 3-Month plus 1.60%)
1.86%		11/29/23	¹			75,000			77,134



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
Intercontinental Exchange, Inc.
(LIBOR USD 3-Month plus 0.65%)
0.90%		06/15/23	¹		$	140,000		$	140,876
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
1.19%		07/22/22	¹			200,000			200,943
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,4			75,000			77,962
4.36%		08/01/24	^2,3,4			75,000			81,381
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^2,3			175,000			173,516


									2,162,184

Food — 1.08%
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
0.77%		10/09/20	¹			60,000			60,006
JBS USA LUX SA/JBS USA
Food Co./JBS USA Finance, Inc. (Canada)
5.50%		01/15/30	^2,3			5,000			5,449
Kraft Heinz Foods Co.
4.00%		06/15/23				150,000			160,782
Pilgrim’s Pride Corp.
5.88%		09/30/27	²			5,000			5,200
Smithfield Foods, Inc.
3.35%		02/01/22	²			115,000			116,805


									348,242

Gaming — 0.16%
Caesars Entertainment, Inc.
6.25%		07/01/25	²			10,000			10,466
Churchill Downs, Inc.
4.75%		01/15/28	²			10,000			10,073
5.50%		04/01/27	²			31,000			32,279


									52,818

Health Care — 4.36%
AbbVie, Inc.
3.45%		03/15/22	²			50,000			51,878
3.75%		11/14/23				125,000			136,480
5.00%		12/15/21	²			40,000			41,720
Bausch Health Americas, Inc.
9.25%		04/01/26	²			5,000			5,525
Bausch Health Cos., Inc. (Canada)
7.00%		03/15/24	^2,3			95,000			98,420
Bayer U.S. Finance II LLC
2.20%		07/15/22	²			150,000			151,903
2.75%		07/15/21	²			90,000			91,503



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
Centene Corp.
3.00%		10/15/30			$	114,000		$	116,445
3.38%		02/15/30				3,000			3,113
5.38%		08/15/26	²			10,000			10,623
Cigna Corp., Series WI
(LIBOR USD 3-Month plus 0.65%)
0.90%		09/17/21	¹			100,000			100,020
CVS Health Corp.
(LIBOR USD 3-Month plus 0.72%)
0.96%		03/09/21	¹			32,000			32,083
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	²			100,000			106,414
HCA, Inc.
5.00%		03/15/24				75,000			84,025
Hologic, Inc.
4.63%		02/01/28	²			2,000			2,115
Humana, Inc.
3.85%		10/01/24				130,000			143,837
Royalty Pharma PLC (United Kingdom)
0.75%		09/02/23	^2,3			85,000			84,912
Upjohn, Inc.
1.13%		06/22/22	²			100,000			100,800
Zimmer Biomet Holdings, Inc.
(LIBOR USD 3-Month plus 0.75%)
0.98%		03/19/21	¹			40,000			40,007


									1,401,823

Industrials — 1.39%
BAE Systems Holdings, Inc.
2.85%		12/15/20	²			100,000			100,279
Bemis Co., Inc.
4.50%		10/15/21				160,000			164,579
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.38%)
0.63%		05/05/26	¹			30,000			27,890
(LIBOR USD 3-Month plus 0.48%)
0.76%		08/15/36	¹			75,000			51,158
General Electric Co., Series NOTZ
(LIBOR USD 3-Month plus 1.00%)
1.28%		04/15/23	¹			50,000			49,722
Matthews International Corp.
5.25%		12/01/25	²			6,000			5,700
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	²			5,000			5,025
PowerTeam Services LLC
9.03%		12/04/25	²			31,000			32,833
Sealed Air Corp.
4.00%		12/01/27	²			5,000			5,231



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Industrials (continued)
Trivium Packaging Finance BV (Netherlands)
5.50%		08/15/26	^2,3		$	5,000		$	5,183


									447,600

Information Technology — 0.31%
Broadcom Corp./Broadcom Cayman
Finance Ltd.
3.63%		01/15/24				40,000			42,985
Change Healthcare Holdings LLC/Change
Healthcare Finance, Inc.
5.75%		03/01/25	²			5,000			5,097
Dell International LLC/EMC Corp.
4.42%		06/15/21	²			23,000			23,546
NXP BV/NXP Funding LLC (Netherlands)
4.63%		06/01/23	^2,3			10,000			10,945
SS&C Technologies, Inc.
5.50%		09/30/27	²			16,000			17,023


									99,596

Insurance — 0.28%
Allstate Corp. (The)
(LIBOR USD 3-Month plus 0.43%)
0.65%		03/29/21	¹			30,000			30,059
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^2,4			60,000			60,002


									90,061

Materials — 0.16%
Georgia-Pacific LLC
5.40%		11/01/20	²			50,000			50,201


Real Estate Investment Trust (REIT) — 4.11%
American Campus Communities
Operating Partnership LP
3.75%		04/15/23				115,000			120,989
Boston Properties LP
4.13%		05/15/21				150,000			151,453
Camden Property Trust
2.95%		12/15/22				55,000			57,436
CubeSmart LP
4.80%		07/15/22				75,000			79,618
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24				140,000			148,671
Essex Portfolio LP
5.20%		03/15/21				50,000			50,440
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24				25,000			25,424
5.38%		11/01/23				85,000			90,650
Healthcare Realty Trust, Inc.
3.75%		04/15/23				150,000			161,125



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Healthpeak Properties, Inc.
4.25%		11/15/23			$	3,000		$	3,278
Kimco Realty Corp.
3.40%		11/01/22				100,000			105,201
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.50%		01/15/28				6,000			6,134
SL Green Operating Partnership LP
3.25%		10/15/22				50,000			51,041
(LIBOR USD 3-Month plus 0.98%)
1.26%		08/16/21	¹			115,000			114,204
WEA Finance LLC
3.15%		04/05/22	²			50,000			50,826
Welltower, Inc.
3.75%		03/15/23				100,000			105,857


									1,322,347

Retail — 0.13%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^2,3			30,000			30,962
Rite Aid Corp.
8.00%		11/15/26	²			10,000			10,019


									40,981

Services — 0.75%
Global Payments, Inc.
3.80%		04/01/21				100,000			101,337
IHS Markit Ltd. (Bermuda)
5.00%		11/01/22	^2,3			115,000			123,598
Waste Pro USA, Inc.
5.50%		02/15/26	²			17,000			17,253


									242,188

Transportation — 1.53%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23				156,457			134,497
Aviation Capital Group LLC
(LIBOR USD 3-Month plus 0.95%)
1.20%		06/01/21	^1,2			100,000			97,850
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20				8			8
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A
7.71%		04/02/21				7,569			7,675
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22				121,428			119,209



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Transportation (continued)
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			$	81,312		$	79,309
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21				13,405			13,131
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24				42,452			39,905


									491,584

Total Corporates
(Cost $10,368,867)									10,434,051

MORTGAGE-BACKED — 22.68%**
Non-Agency Commercial
Mortgage-Backed — 5.56%
1345 Avenue of the Americas & Park Avenue
Plaza Trust, Series 2005-1, Class A3
5.28%		08/10/35	²			49,783			53,129
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class AAB
2.61%		09/10/45				52,780			53,498
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class AAB
2.69%		04/10/46				61,437			62,686
Citigroup Commercial Mortgage Trust,
Series 2015-GC29, Class AAB
2.98%		04/10/48				82,001			84,964
Citigroup Commercial Mortgage Trust,
Series 2015-GC33, Class A2
2.95%		09/10/58				137,446			138,061
Citigroup Commercial Mortgage Trust,
Series 2015-P1, Class AAB
3.47%		09/15/48				52,987			56,251
Commercial Mortgage Trust,
Series 2012-CR3, Class ASB
2.37%		10/15/45				23,836			24,198
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.84%		10/15/45	⁴			326,391			9,425
Commercial Mortgage Trust,
Series 2013-CR11, Class ASB
3.66%		08/10/50				13,098			13,660
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.37%		03/10/46	⁴			1,293,946			31,970
Commercial Mortgage Trust,
Series 2013-LC6, Class XB (IO)
0.53%		01/10/46	^2,4			1,750,000			15,337



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class A2
3.05%		09/15/50			$	150,000		$	155,163
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
1.18%		08/10/43	^2,4			4,483,509			54,307
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.66%		03/10/44	^2,4			6,609,654			11,834
GS Mortgage Securities Trust,
Series 2012-GCJ7, Class A4
3.38%		05/10/45				58,990			59,970
JPMBB Commercial Mortgage Securities
Trust, Series 2013-C17, Class XA (IO)
0.92%		01/15/47	⁴			1,690,194			35,064
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C6,
Class ASB
3.14%		05/15/45				71,877			73,443
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-C13,
Class XA (IO)
0.23%		01/15/46	⁴			8,726,738			27,134
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-LC11,
Class XA (IO)
1.39%		04/15/46	⁴			3,312,090			85,543
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2015-JP1,
Class XA (IO)
1.19%		01/15/49	^4,7,8			918,563			28,078
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO)
0.73%		09/15/39	^2,4			516,278			2,298
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C13, Class ASB
3.56%		11/15/46				14,229			14,800
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C14, Class XA (IO)
1.14%		02/15/47	⁴			1,814,589			35,751
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C26, Class ASB
3.32%		10/15/48				80,000			84,724
TMSQ Mortgage Trust, Series 2014-1500,
Class XA (IO)
0.28%		10/10/36	^2,4			14,000,000			95,273
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.31%		08/10/49	^2,4,7,8			3,000,000			12,898
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50				168,100			179,220

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial

Mortgage-Backed (continued)

WF-RBS Commercial Mortgage Trust,

Series 2011-C2, Class A4

4.87%

02/15/44

^2,4

148,891

149,789

WF-RBS Commercial Mortgage Trust,

Series 2011-C5, Class XA (IO)

1.83%

11/15/44

^2,4

5,598,316

56,439

WF-RBS Commercial Mortgage Trust,

Series 2014-C21, Class ASB

3.39%

08/15/47

45,070

46,856

WF-RBS Commercial Mortgage Trust,

Series 2014-LC14, Class ASB

3.52%

03/15/47

34,120

35,373

1,787,136

Non-Agency Mortgage-Backed — 9.30%

Alternative Loan Trust,

Series 2005-J4, Class M2

(LIBOR USD 1-Month plus 0.64%)

0.79%

07/25/35

135,560

134,637

Alternative Loan Trust,

Series 2007-22, Class 2A16

6.50%

09/25/37

224,093

133,878

Asset-Backed Funding Certificates,

Series 2006-OPT1, Class A2

(LIBOR USD 1-Month plus 0.14%)

0.29%

09/25/36

16,542

16,379

Banc of America Funding Trust,

Series 2006-G, Class 2A4

(LIBOR USD 1-Month plus 0.58%)

0.74%

07/20/36

24,451

24,600

Banc of America Funding Trust,

Series 2014-R7, Class 1A1

(LIBOR USD 1-Month plus 0.15%)

0.30%

05/26/36

^1,2

72,936

70,169

Banc of America Funding Trust,

Series 2015-R7, Class 1A1

(Federal Reserve US 12-Month Cumulative

Average plus 0.92%)

2.09%

09/26/46

^1,2

122,246

122,736

Centex Home Equity Loan Trust,

Series 2005-B, Class M2

(LIBOR USD 1-Month plus 0.65%)

0.79%

03/25/35

181,946

177,914

Centex Home Equity Loan Trust,

Series 2005-D, Class M4

(LIBOR USD 1-Month plus 0.61%)

0.76%

10/25/35

182,000

180,501

CIM Trust, Series 2019-R1, Class A

3.25%

10/25/58

^2,4

140,089

130,324

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Countrywide Asset-Backed Certificates Trust,

Series 2007-13, Class 2A1

(LIBOR USD 1-Month plus 0.90%)

1.05%

10/25/47

91,827

89,643

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-9,

Class 1A1

(LIBOR USD 1-Month plus 0.60%)

0.75%

05/25/35

59,110

48,877

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB1,

Class AF (STEP-reset date 11/25/20)

3.95%

01/25/33

10,676

10,988

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB5,

Class M1

(LIBOR USD 1-Month plus 1.02%)

1.17%

11/25/33

13,702

13,409

DSLA Mortgage Loan Trust,

Series 2004-AR3, Class 2A2A

(LIBOR USD 1-Month plus 0.74%)

0.90%

07/19/44

3,422

3,190

Encore Credit Receivables Trust,

Series 2005-4, Class M2

(LIBOR USD 1-Month plus 0.66%)

0.81%

01/25/36

138,947

139,032

First Franklin Mortgage Loan Trust,

Series 2006-FF4, Class A3

(LIBOR USD 1-Month plus 0.28%)

0.74%

03/25/36

96,636

92,860

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

3.69%

04/19/36

⁴

89,227

77,784

HarborView Mortgage Loan Trust,

Series 2005-4, Class 2A

3.57%

07/19/35

⁴

1,197

1,082

HarborView Mortgage Loan Trust,

Series 2005-9, Class 2A1A

(LIBOR USD 1-Month plus 0.34%)

0.50%

06/20/35

152,438

151,565

HSI Asset Securitization Corp. Trust,

Series 2006-OPT1, Class 2A4

(LIBOR USD 1-Month plus 0.30%)

0.45%

12/25/35

18,125

17,962

HSI Asset Securitization Corp. Trust,

Series 2007-WF1, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

0.31%

05/25/37

111,527

108,328

IndyMac Index Mortgage Loan Trust,

Series 2004-AR5, Class 2A1A

(LIBOR USD 1-Month plus 0.86%)

1.01%

08/25/34

7,991

7,261

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

IndyMac Index Mortgage Loan Trust,

Series 2006-AR4, Class A1A

(LIBOR USD 1-Month plus 0.21%)

0.36%

05/25/46

111,555

103,593

IndyMac Index Mortgage Loan Trust,

Series 2007, Class AR1

3.30%

06/25/37

⁴

75,747

60,726

Legacy Mortgage Asset Trust,

Series 2019-GS1, Class A1

(STEP-reset date 10/25/20)

4.00%

01/25/59

128,174

131,678

Long Beach Mortgage Loan Trust,

Series 2004-4, Class 1A1

(LIBOR USD 1-Month plus 0.56%)

0.71%

10/25/34

100,360

95,222

Nationstar Home Equity Loan Trust,

Series 2007-B, Class 2AV3

(LIBOR USD 1-Month plus 0.25%)

0.40%

04/25/37

38,649

38,588

Option One Mortgage Loan Trust,

Series 2006-1, Class 1A1

(LIBOR USD 1-Month plus 0.22%)

0.37%

01/25/36

136,015

128,056

Park Place Securities, Inc., Asset-Backed

Pass-Through Certificates,

Series 2005-WCW3, Class M1

(LIBOR USD 1-Month plus 0.48%)

0.63%

08/25/35

113,812

113,985

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%)

0.70%

09/25/35

92,391

92,182

Residential Asset Securitization Trust,

Series 2005-AHL2, Class M1

(LIBOR USD 1-Month plus 0.42%)

0.57%

10/25/35

211,967

210,692

Structured Asset Mortgage Investments II

Trust, Series 2006-AR1, Class 3A1

(LIBOR USD 1-Month plus 0.23%)

0.38%

02/25/36

80,651

74,281

Terwin NIMs Trust, Series 2004-13AL,

Class 2PX (IO)

0.34%

08/25/34

^2,7,8

2,194,129

31,958

WaMu Mortgage Pass-Through Certificates,

Series 2002-AR6, Class A

(Federal Reserve US 12-Month Cumulative

Average plus 1.40%)

2.42%

06/25/42

2,601

2,484

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR8, Class 2AB2

(LIBOR USD 1-Month plus 0.84%)

0.99%

07/25/45

135,419

128,443

Wells Fargo Alternative Loan Trust,

Series 2005-2, Class M1

(LIBOR USD 1-Month plus 0.68%)

0.82%

10/25/35

15,495

15,560

Wells Fargo Mortgage-Backed Securities

Trust, Series 2003-I, Class A1

2.88%

09/25/33

⁴

11,347

11,341

2,991,909

U.S. Agency Commercial

Mortgage-Backed — 5.45%

Fannie Mae-Aces, Series 2014-M2,

Class ASV2

2.78%

06/25/21

⁴

2,100

2,108

Fannie Mae-Aces, Series 2015-M4,

Class X2 (IO)

0.48%

07/25/22

⁴

10,985,249

41,485

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K031,

Class X1 (IO)

0.32%

04/25/23

⁴

7,894,822

40,060

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K033,

Class X1 (IO)

0.41%

07/25/23

⁴

4,140,472

31,694

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K036,

Class X1 (IO)

0.87%

10/25/23

⁴

5,347,278

103,320

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K044,

Class X1 (IO)

0.86%

01/25/25

⁴

1,436,394

36,950

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K732,

Class X3 (IO)

2.25%

05/25/46

⁴

250,000

23,049

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KAIV,

Class X2 (IO)

3.61%

06/25/41

⁴

250,000

5,809

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC01,

Class X1 (IO)

0.81%

12/25/22

⁴

11,078,393

54,000



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KC05,
Class X1 (IO)
1.20%		06/25/27	⁴		$	998,512		$	58,945
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF28,
Class A
(LIBOR USD 1-Month plus 0.36%)
0.52%		01/25/24	¹			321,315			321,813
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KIR1,
Class A1
2.45%		03/25/26				244,960			255,994
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KIR1,
Class X (IO)
1.20%		03/25/26	⁴			924,529			45,589
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KIR2,
Class A1
2.75%		03/25/27				264,329			279,237
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ30,
Class A1
0.53%		01/25/25				253,811			254,404
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS07,
Class X (IO)
0.78%		09/25/25	⁴			3,000,000			85,416
Ginnie Mae, Series 2010-140, Class IO (IO)
0.04%		10/16/43	⁴			1,106,476			1,002
Ginnie Mae, Series 2011-38, Class D
3.67%		01/16/51	⁴			109,772			113,193


									1,754,068

U.S. Agency Mortgage-Backed — 2.37%
Fannie Mae Pool 802665
(LIBOR USD 6-Month plus 1.74%)
2.86%		12/01/34	¹			665			670
Fannie Mae Pool AL0851
6.00%		10/01/40				3,096			3,669
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			14,998			1,133
Fannie Mae REMICS, Series 2002-21,
Class FB
(LIBOR USD 1-Month plus 0.90%)
1.05%		04/25/32	¹			46,481			47,025

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed

(continued)

Fannie Mae REMICS, Series 2002-53,

Class FY

(LIBOR USD 1-Month plus 0.50%)

0.65%

08/25/32

113,832

114,967

Fannie Mae REMICS, Series 2003-11,

Class FA

(LIBOR USD 1-Month plus 1.00%)

1.15%

09/25/32

5,932

6,060

Fannie Mae REMICS, Series 2003-81,

Class FE

(LIBOR USD 1-Month plus 0.50%)

0.65%

09/25/33

46,068

46,519

Fannie Mae REMICS, Series 2006-48,

Class FL

(LIBOR USD 1-Month plus 0.40%)

0.55%

06/25/36

54,243

54,459

Fannie Mae REMICS, Series 2006-8,

Class NF

(LIBOR USD 1-Month plus 0.37%)

0.52%

03/25/36

52,700

52,977

Fannie Mae REMICS, Series 2008-12,

Class FA

(LIBOR USD 1-Month plus 0.67%)

0.82%

03/25/38

150,285

152,687

Fannie Mae REMICS, Series 2010-109,

Class PF

(LIBOR USD 1-Month plus 0.40%)

0.55%

10/25/40

5,391

5,435

Fannie Mae REMICS, Series 2010-74,

Class AF

(LIBOR USD 1-Month plus 0.54%)

0.69%

07/25/37

48,000

48,559

Fannie Mae REMICS, Series G-36,

Class ZB

7.00%

11/25/21

Freddie Mac REMICS, Series 2684,

Class F

(LIBOR USD 1-Month plus 0.90%)

1.05%

01/15/33

5,616

5,750

Freddie Mac REMICS, Series 3231,

Class FB

(LIBOR USD 1-Month plus 0.35%)

0.50%

10/15/36

95,651

96,107

Freddie Mac Strips, Series 263,

Class F5

(LIBOR USD 1-Month plus 0.50%)

0.65%

06/15/42

18,199

18,353

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed

(continued)

Ginnie Mae, Series 2003-42, Class FA

(LIBOR USD 1-Month plus 0.40%)

0.55%

07/16/31

$108,110

108,174

762,545

Total Mortgage-Backed

(Cost $7,765,907)

7,295,658

U.S. TREASURY SECURITIES — 1.32%

U.S. Treasury Notes — 1.32%

U.S. Treasury Notes

0.13%

08/31/22

425,000

425,008

Total U.S. Treasury Securities

(Cost $425,000)

Total Bonds – 69.89%

(Cost $22,914,267)

22,484,619

Issues

Shares

Value

MUTUAL FUNDS — 9.68%

Mutual Funds — 9.68%

iShares Core S&P 500 ETF

3,845

1,292,151

SPDR S&P 500 ETF Trust⁹

5,439

1,821,467

Total Mutual Funds

(Cost $2,790,415)

3,113,618

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 12.90%

Commercial Paper — 0.42%

Ford Motor Credit Co. LLC

2.88%¹⁰

01/08/21

75,000

74,380

3.20%¹⁰

10/08/20

60,000

59,991

134,371

Money Market Funds — 5.57%

Dreyfus Government Cash Management

Fund

2.33%¹¹

1,617,000

Fidelity Investments Money Market Funds -

Government Portfolio

1.00%¹¹

25,285

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

2.00%¹¹

151,000

1,793,285



Issues	Maturity Date		Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills — 6.91%
U.S. Treasury Bills
0.14%¹⁰		11/12/20		$	510,000		$	509,946
0.16%¹⁰		11/27/20			800,000			799,883
0.18%¹⁰		12/03/20			915,000			914,864


								2,224,693

Total Short-Term Investments
(Cost $4,152,103)								4,152,349


Total Investments – 92.47%
(Cost $29,856,785)								29,750,586


Cash and Other Assets, Less
Liabilities – 7.53%								2,422,297


Net Assets – 100.00%							$	32,172,883

¹	Floating rate security. The rate disclosed was in effect at September 30, 2020.

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	Non-income producing security.

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

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 $72,934, which is 0.23% of total net assets.

⁹

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.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Represents the current yield as of September 30, 2020.

*	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

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(S&P): Standard and Poor’s

(SPDR): Standard and Poor’s Depositary Receipts

(STEP): Step coupon bond

(USD): U.S. dollar



Issues	Maturity Date			Principal Amount			Value
BONDS – 81.01%
CORPORATES — 77.16%*
Banking — 7.73%
Bank of America Corp.
2.59%		04/29/31	¹		$	110,000		$	116,600
3.00%		12/20/23	¹			35,000			36,767
Bank of America Corp. (MTN)
3.97%		03/05/29	¹			20,000			22,932
4.08%		03/20/51	¹			25,000			30,915
4.27%		07/23/29	¹			10,000			11,761
Bank of New York Mellon Corp. (The) (MTN)
1.60%		04/24/25				15,000			15,615
3.25%		09/11/24				5,000			5,509
Discover Bank (BKNT)
4.20%		08/08/23				10,000			10,949
Fifth Third Bancorp
2.55%		05/05/27				40,000			43,163
HSBC Holdings PLC (United Kingdom)
2.01%		09/22/28	^1,2			10,000			9,922
2.36%		08/18/31	^1,2			75,000			74,244
JPMorgan Chase & Co.
2.52%		04/22/31	¹			5,000			5,334
3.11%		04/22/51	¹			80,000			86,358
4.01%		04/23/29	¹			20,000			23,174
4.02%		12/05/24	¹			55,000			60,398
4.20%		07/23/29	¹			15,000			17,784
4.49%		03/24/31	¹			35,000			42,770
Lloyds Banking Group PLC
(United Kingdom)
3.87%		07/09/25	^1,2			60,000			65,383
Santander UK Group Holdings PLC
(United Kingdom)
3.57%		01/10/23	²			15,000			15,503
4.80%		11/15/24	^1,2			55,000			60,637
State Street Corp.
3.78%		12/03/24	¹			5,000			5,474
Wells Fargo & Co. (MTN)
2.57%		02/11/31	¹			145,000			152,091
3.58%		05/22/28	¹			25,000			28,019
5.01%		04/04/51	¹			20,000			27,517
Wells Fargo Bank N.A. (BKNT)
2.08%		09/09/22	¹			50,000			50,701


									1,019,520

Communications — 9.59%
AT&T, Inc.
3.88%		01/15/26				31,000			35,175
4.35%		06/15/45				205,000			231,924
4.50%		03/09/48				5,000			5,692



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Communications (continued)
Charter Communications Operating LLC/
Charter Communications Operating Capital
3.75%		02/15/28			$	45,000		$	49,862
4.91%		07/23/25				30,000			34,681
5.38%		05/01/47				30,000			35,628
Comcast Corp.
1.50%		02/15/31				85,000			83,882
3.97%		11/01/47				10,000			12,073
4.00%		11/01/49				15,000			18,217
4.70%		10/15/48				8,000			10,705
Discovery Communications LLC
3.63%		05/15/30				30,000			33,321
Fox Corp.
3.50%		04/08/30				25,000			28,299
4.71%		01/25/29				3,000			3,602
Level 3 Financing, Inc.
3.88%		11/15/29	³			14,000			15,186
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	³			35,000			37,140
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%		09/20/21	³			2,250			2,275
4.74%		03/20/25	³			45,000			48,797
5.15%		03/20/28	³			25,000			29,516
Time Warner Cable LLC
5.50%		09/01/41				33,000			40,106
5.88%		11/15/40				25,000			31,470
T-Mobile USA, Inc.
2.55%		02/15/31	³			35,000			36,255
4.50%		04/15/50	³			22,000			26,434
Verizon Communications, Inc.
4.02%		12/03/29				45,000			54,012
4.50%		08/10/33				85,000			108,028
ViacomCBS, Inc.
4.60%		01/15/45				39,000			42,791
5.85%		09/01/43				8,000			10,045
Vodafone Group PLC (United Kingdom)
4.13%		05/30/25	²			21,000			23,949
4.25%		09/17/50	²			56,000			65,135
4.88%		06/19/49	²			6,000			7,487
5.25%		05/30/48	²			3,000			3,885
Walt Disney Co. (The)
2.65%		01/13/31				70,000			75,638
3.60%		01/13/51				11,000			12,443
6.20%		12/15/34				8,000			11,847


									1,265,500



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Consumer Discretionary — 2.99%
Altria Group, Inc.
5.38%		01/31/44			$	5,000		$	6,219
5.95%		02/14/49				15,000			20,125
Anheuser-Busch Cos. LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.70%		02/01/36				30,000			36,193
Anheuser-Busch InBev Worldwide, Inc.
4.60%		04/15/48				77,000			92,487
4.75%		01/23/29				30,000			36,663
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3			45,000			52,362
BAT Capital Corp.
4.39%		08/15/37				45,000			48,773
4.54%		08/15/47				10,000			10,742
Constellation Brands, Inc.
3.75%		05/01/50				45,000			50,569
NIKE, Inc.
3.38%		03/27/50				5,000			5,851
Reynolds American, Inc.
4.45%		06/12/25				5,000			5,632
4.85%		09/15/23				20,000			22,308
5.85%		08/15/45				5,000			6,108


									394,032

Electric — 6.82%
AEP Transmission Co. LLC, Series M
3.65%		04/01/50				10,000			11,716
Alabama Power Co.
5.50%		03/15/41				9,000			12,356
Ameren Corp.
3.50%		01/15/31				15,000			17,190
Appalachian Power Co.
4.45%		06/01/45				10,000			12,270
Appalachian Power Co., Series X
3.30%		06/01/27				40,000			44,050
Black Hills Corp.
4.35%		05/01/33				35,000			41,564
Consolidated Edison Co. of New York, Inc.,
Series 2017
3.88%		06/15/47				10,000			11,767
Consolidated Edison Co. of New York, Inc.,
Series 20B
3.95%		04/01/50				60,000			72,950
Duke Energy Carolinas LLC
3.75%		06/01/45				70,000			83,257
Duquesne Light Holdings, Inc.
5.90%		12/01/21	³			22,000			23,121
Evergy, Inc.
2.45%		09/15/24				5,000			5,301



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Electric (continued)
FirstEnergy Transmission LLC
5.45%		07/15/44	³		$	55,000		$	70,515
Florida Power & Light Co.
4.13%		02/01/42				90,000			112,657
Interstate Power and Light Co.
2.30%		06/01/30				20,000			21,167
ITC Holdings Corp.
4.05%		07/01/23				10,000			10,822
Metropolitan Edison Co.
4.00%		04/15/25	³			9,000			10,091
4.30%		01/15/29	³			15,000			17,642
MidAmerican Energy Co.
4.25%		05/01/46				10,000			12,610
Narragansett Electric Co. (The)
3.40%		04/09/30	³			10,000			11,415
Northern States Power Co./MN
4.13%		05/15/44				10,000			12,673
PacifiCorp.
4.13%		01/15/49				45,000			56,031
PNM Resources, Inc.
3.25%		03/09/21				10,000			10,115
Public Service Co. of New Mexico
3.85%		08/01/25				45,000			48,853
Southern Co. (The)
3.25%		07/01/26				6,000			6,695
Tucson Electric Power Co.
3.85%		03/15/23				60,000			63,784
Virginia Electric and Power Co., Series B
3.80%		09/15/47				20,000			24,441
Vistra Operations Co. LLC
3.55%		07/15/24	³			6,000			6,404
Xcel Energy, Inc.
4.80%		09/15/41				55,000			68,747


									900,204

Energy — 6.74%
BP Capital Markets America, Inc.
3.63%		04/06/30				45,000			51,746
Chevron Corp.
2.24%		05/11/30				20,000			21,249
Concho Resources, Inc.
2.40%		02/15/31				35,000			33,498
Enbridge Energy Partners LP
5.50%		09/15/40				10,000			12,061
Energy Transfer Operating LP
4.95%		06/15/28				25,000			26,507
5.00%		05/15/50				15,000			13,895
5.25%		04/15/29				10,000			10,809
5.50%		06/01/27				37,000			40,796



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
6.13%		12/15/45			$	12,000		$	12,192
EQM Midstream Partners LP
6.50%		07/15/48				8,000			7,560
EQT Corp.
3.90%		10/01/27				5,000			4,613
Equinor ASA (Norway)
3.25%		11/18/49	²			6,000			6,374
3.70%		04/06/50	²			5,000			5,750
Exxon Mobil Corp.
2.61%		10/15/30				25,000			27,054
4.33%		03/19/50				35,000			44,047
Hess Corp.
4.30%		04/01/27				33,000			34,627
KeySpan Gas East Corp.
5.82%		04/01/41	³			15,000			20,847
Kinder Morgan Energy Partners LP
5.80%		03/15/35				15,000			18,081
Kinder Morgan Energy Partners LP (MTN)
6.95%		01/15/38				15,000			19,643
Kinder Morgan, Inc. (GMTN)
7.80%		08/01/31				15,000			20,740
NGPL PipeCo LLC
4.38%		08/15/22	³			30,000			31,161
4.88%		08/15/27	³			10,000			10,903
Occidental Petroleum Corp.
3.50%		08/15/29				5,000			3,839
Petroleos Mexicanos (Mexico)
7.69%		01/23/50	^2,3			40,000			33,630
Plains All American Pipeline LP/PAA
Finance Corp.
4.50%		12/15/26				19,000			20,259
4.65%		10/15/25				20,000			21,607
Rockies Express Pipeline LLC
6.88%		04/15/40	³			17,000			17,786
Ruby Pipeline LLC
7.75%		04/01/22	³			6,818			5,737
Sabine Pass Liquefaction LLC
4.20%		03/15/28				3,000			3,257
5.75%		05/15/24				25,000			28,269
Shell International Finance BV (Netherlands)
2.38%		11/07/29	²			25,000			26,309
3.13%		11/07/49	²			20,000			20,591
Southern Co. Gas Capital Corp.
2.45%		10/01/23				13,000			13,648
4.40%		06/01/43				10,000			11,955
5.88%		03/15/41				30,000			41,720
Southern Natural Gas Co. LLC
4.80%		03/15/47	³			15,000			16,705



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			$	6,000		$	5,665
TC PipeLines LP
3.90%		05/25/27				15,000			16,145
4.38%		03/13/25				30,000			32,627
4.65%		06/15/21				10,000			10,269
Texas Eastern Transmission LP
2.80%		10/15/22	³			40,000			41,205
TransCanada PipeLines Ltd. (Canada)
5.00%		10/16/43	²			15,000			18,022
Western Midstream Operating LP
5.05%		02/01/30				10,000			9,746
Williams Cos., Inc. (The)
3.70%		01/15/23				7,000			7,403
3.90%		01/15/25				8,000			8,752


									889,299

Finance — 7.85%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.88%		01/23/28	²			14,000			13,004
Air Lease Corp.
3.63%		12/01/27				29,000			28,664
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%		02/15/25	^2,3			15,000			13,769
Citigroup, Inc.
2.57%		06/03/31	¹			75,000			78,774
2.88%		07/24/23	¹			50,000			51,890
3.67%		07/24/28	¹			20,000			22,500
Ford Motor Credit Co. LLC
3.34%		03/28/22				54,000			53,855
4.25%		09/20/22				19,000			19,196
5.75%		02/01/21				5,000			5,044
GE Capital International Funding Co. (Ireland)
3.37%		11/15/25	²			60,000			64,281
4.42%		11/15/35	²			118,000			123,923
General Motors Financial Co., Inc.
3.20%		07/06/21				5,000			5,077
4.20%		11/06/21				20,000			20,644
4.38%		09/25/21				20,000			20,637
Goldman Sachs Group, Inc. (The)
2.60%		02/07/30				115,000			121,631
2.91%		07/24/23	¹			35,000			36,381
3.27%		09/29/25	¹			30,000			32,485
3.50%		11/16/26				5,000			5,538
Intercontinental Exchange, Inc.
1.85%		09/15/32				15,000			14,988
3.00%		06/15/50				5,000			5,229



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
(LIBOR USD 3-Month plus 0.65%)
0.90%		06/15/23	⁴		$	25,000		$	25,156
Morgan Stanley (GMTN)
3.70%		10/23/24				5,000			5,551
3.77%		01/24/29	¹			20,000			22,751
Morgan Stanley (MTN)
3.62%		04/01/31	¹			65,000			74,867
Morgan Stanley, Series F
3.88%		04/29/24				20,000			22,089
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^1,2,3			10,000			10,395
3.77%		03/08/24	^1,2,3			40,000			42,541
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%		02/15/24	^2,3			5,000			5,042
Pipeline Funding Co. LLC
7.50%		01/15/30	³			9,113			12,397
Raymond James Financial, Inc.
3.63%		09/15/26				40,000			46,053
4.65%		04/01/30				25,000			30,476


									1,034,828

Food — 1.06%
Conagra Brands, Inc.
4.60%		11/01/25				6,000			6,973
General Mills, Inc.
4.20%		04/17/28				5,000			5,907
Kraft Heinz Foods Co.
4.38%		06/01/46				10,000			10,277
4.63%		10/01/39	³			39,000			41,394
5.00%		07/15/35				13,000			15,019
Kroger Co. (The)
4.50%		01/15/29				5,000			6,137
Smithfield Foods, Inc.
3.35%		02/01/22	³			35,000			35,549
5.20%		04/01/29	³			5,000			5,855
Tyson Foods, Inc.
4.35%		03/01/29				10,000			12,136


									139,247

Health Care — 12.38%
AbbVie, Inc.
3.80%		03/15/25	³			20,000			22,312
4.40%		11/06/42				85,000			101,003
4.55%		03/15/35	³			10,000			12,327
Alcon Finance Corp.
3.00%		09/23/29	³			55,000			59,600
Amgen, Inc.
3.15%		02/21/40				35,000			37,363



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
4.40%		05/01/45			$	20,000		$	24,749
Anthem, Inc.
3.70%		09/15/49				10,000			11,238
4.38%		12/01/47				10,000			12,269
Ascension Health, Series B
2.53%		11/15/29				10,000			10,852
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	²			10,000			11,221
Banner Health, Series 2020
3.18%		01/01/50				5,000			5,471
Barnabas Health, Inc., Series 2012
4.00%		07/01/28				5,000			5,617
Baxter International, Inc.
3.95%		04/01/30	³			10,000			12,004
Bayer U.S. Finance II LLC
3.88%		12/15/23	³			5,000			5,467
4.25%		12/15/25	³			10,000			11,459
4.38%		12/15/28	³			25,000			29,395
4.88%		06/25/48	³			35,000			43,572
Becton Dickinson and Co.
3.79%		05/20/50				30,000			33,709
4.67%		06/06/47				5,000			6,204
Boston Scientific Corp.
2.65%		06/01/30				35,000			37,308
Bristol Myers Squibb Co.
3.90%		02/20/28				13,000			15,407
Centene Corp.
3.00%		10/15/30				21,000			21,450
4.63%		12/15/29				25,000			26,999
5.38%		08/15/26	³			4,000			4,249
Children’s Hospital Medical Center/Cincinnati OH
2.82%		11/15/50				20,000			19,993
Cigna Corp.
2.40%		03/15/30				16,000			16,628
3.88%		10/15/47				15,000			16,730
4.38%		10/15/28				25,000			29,779
City of Hope, Series 2018
4.38%		08/15/48				10,000			12,431
CVS Health Corp.
3.25%		08/15/29				60,000			66,176
5.05%		03/25/48				50,000			63,859
DENTSPLY SIRONA, Inc.
3.25%		06/01/30				40,000			43,558
Elanco Animal Health, Inc.
5.90%		08/28/28				5,000			5,794
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	³			50,000			53,207
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	³			35,000			35,408



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.74%		09/29/23	⁴		$	50,000		$	50,067
Hackensack Meridian Health, Inc.,
Series 2020
2.88%		09/01/50				30,000			29,615
HCA, Inc.
5.00%		03/15/24				49,000			54,896
5.25%		06/15/49				17,000			20,860
Humana, Inc.
3.95%		03/15/27				20,000			22,877
Kaiser Foundation Hospitals
3.15%		05/01/27				10,000			11,217
Kaiser Foundation Hospitals, Series 2019
3.27%		11/01/49				25,000			27,890
Mayo Clinic, Series 2013
4.00%		11/15/47				25,000			31,390
MedStar Health, Inc., Series 20A
3.63%		08/15/49				10,000			10,870
Memorial Sloan-Kettering Cancer Center
4.13%		07/01/52				5,000			6,474
Methodist Hospital (The), Series 20A
2.71%		12/01/50				30,000			30,027
NYU Langone Hospitals, Series 2020
3.38%		07/01/55				15,000			15,222
OhioHealth Corp., Series 2020
3.04%		11/15/50				15,000			16,568
Partners Healthcare System, Inc.,
Series 2020
3.34%		07/01/60				10,000			11,123
Pfizer, Inc.
4.10%		09/15/38				10,000			12,483
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26				10,000			11,001
Quest Diagnostics, Inc.
4.20%		06/30/29				25,000			29,813
Regeneron Pharmaceuticals, Inc.
1.75%		09/15/30				70,000			68,581
Royalty Pharma PLC (United Kingdom)
0.75%		09/02/23	^2,3			25,000			24,974
1.75%		09/02/27	^2,3			45,000			45,171
Sharp HealthCare, Series 20B
2.68%		08/01/50				50,000			51,380
Takeda Pharmaceutical Co. Ltd. (Japan)
2.05%		03/31/30	²			20,000			20,264
Thermo Fisher Scientific, Inc.
4.50%		03/25/30				11,000			13,623
UnitedHealth Group, Inc.
3.13%		05/15/60				10,000			10,782



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
3.70%		08/15/49			$	15,000		$	17,999
4.25%		04/15/47				15,000			19,169
Upjohn, Inc.
1.13%		06/22/22	³			15,000			15,120
Zimmer Biomet Holdings, Inc.
3.55%		03/20/30				25,000			28,048


									1,632,312

Industrials — 2.39%
Amcor Finance USA, Inc.
3.63%		04/28/26				10,000			11,146
BAE Systems Holdings, Inc.
3.85%		12/15/25	³			20,000			22,607
BAE Systems PLC (United Kingdom)
3.40%		04/15/30	^2,3			30,000			33,609
Bemis Co., Inc.
2.63%		06/19/30				5,000			5,328
Boeing Co. (The)
5.93%		05/01/60				20,000			24,881
CCL Industries, Inc. (Canada)
3.05%		06/01/30	^2,3			25,000			26,739
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.38%)
0.63%		05/05/26	⁴			10,000			9,297
L3Harris Technologies, Inc.
3.85%		06/15/23				50,000			54,129
Northrop Grumman Corp.
5.25%		05/01/50				30,000			43,093
Sonoco Products Co.
3.13%		05/01/30				10,000			10,870
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.63%		04/28/26	^2,3			5,000			5,384
Trane Technologies Luxembourg Finance SA (Luxembourg)
3.55%		11/01/24	²			5,000			5,514
WRKCo, Inc.
3.00%		09/15/24				30,000			32,236
3.00%		06/15/33				5,000			5,461
4.90%		03/15/29				20,000			24,591


									314,885

Information Technology — 3.30%
Amazon.com, Inc.
2.50%		06/03/50				50,000			51,175
Apple, Inc.
2.65%		05/11/50				60,000			63,260
Broadcom, Inc.
2.25%		11/15/23				30,000			31,204
3.63%		10/15/24				35,000			38,184



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Information Technology (continued)
Fiserv, Inc.
2.65%		06/01/30			$	15,000		$	16,182
Intel Corp.
3.25%		11/15/49				15,000			16,860
Microsoft Corp.
2.53%		06/01/50				85,000			88,750
NVIDIA Corp.
3.50%		04/01/50				25,000			29,453
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^2,3			30,000			31,719
Oracle Corp.
3.60%		04/01/50				60,000			68,010


									434,797

Insurance — 5.48%
Allstate Corp. (The)
3.85%		08/10/49				25,000			29,992
Aon Corp.
2.80%		05/15/30				45,000			48,826
3.75%		05/02/29				5,000			5,780
Berkshire Hathaway Finance Corp.
4.20%		08/15/48				20,000			25,751
Farmers Insurance Exchange
4.75%		11/01/57	^1,3			55,000			57,362
Guardian Life Insurance Co. of America (The)
3.70%		01/22/70	³			45,000			47,214
Marsh & McLennan Cos., Inc.
2.25%		11/15/30				10,000			10,483
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	³			47,000			48,117
Metropolitan Life Global Funding I
2.95%		04/09/30	³			40,000			44,953
3.45%		10/09/21	³			42,000			43,328
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^1,3			30,000			30,001
New York Life Insurance Co.
3.75%		05/15/50	³			95,000			107,599
Pacific LifeCorp.
3.35%		09/15/50	³			25,000			25,329
Pricoa Global Funding I
2.55%		11/24/20	³			100,000			100,306
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^1,3			65,000			69,387
Travelers Cos., Inc. (The)
4.05%		03/07/48				10,000			12,456
Willis North America, Inc.
2.95%		09/15/29				15,000			16,195


									723,079



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Materials — 0.67%
Georgia-Pacific LLC
2.30%		04/30/30	³		$	15,000		$	15,923
International Flavors & Fragrances, Inc.
4.45%		09/26/28				5,000			5,876
5.00%		09/26/48				50,000			62,071
Sherwin-Williams Co. (The)
2.30%		05/15/30				5,000			5,226

									89,096

Real Estate Investment Trust (REIT) — 5.78%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26				50,000			57,343
4.50%		07/30/29				11,000			13,274
American Campus Communities
Operating Partnership LP
3.30%		07/15/26				10,000			10,722
3.63%		11/15/27				35,000			37,090
3.75%		04/15/23				25,000			26,302
3.88%		01/30/31				10,000			10,932
AvalonBay Communities, Inc. (MTN)
2.45%		01/15/31				10,000			10,716
Boston Properties LP
3.25%		01/30/31				10,000			10,793
3.40%		06/21/29				5,000			5,452
Crown Castle International Corp.
3.30%		07/01/30				45,000			49,292
CubeSmart LP
4.38%		02/15/29				5,000			5,875
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24				5,000			5,310
3.45%		11/15/29				45,000			48,868
Essex Portfolio LP
2.65%		03/15/32				5,000			5,287
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24				5,000			5,085
4.00%		01/15/30				20,000			20,800
4.00%		01/15/31				45,000			46,912
Healthcare Realty Trust, Inc.
3.63%		01/15/28				30,000			33,055
3.75%		04/15/23				5,000			5,371
Healthcare Trust of America Holdings LP
3.75%		07/01/27				65,000			72,411
Healthpeak Properties, Inc.
3.88%		08/15/24				10,000			11,053
Hudson Pacific Properties LP
3.95%		11/01/27				50,000			53,867
Kilroy Realty LP
2.50%		11/15/32				15,000			14,720
3.45%		12/15/24				10,000			10,589



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Lexington Realty Trust
2.70%		09/15/30			$	45,000		$	45,975
Life Storage LP
2.20%		10/15/30				40,000			40,071
Mid-America Apartments LP
1.70%		02/15/31				10,000			9,856
SL Green Operating Partnership LP
3.25%		10/15/22				45,000			45,937
(LIBOR USD 3-Month plus 0.98%)
1.26%		08/16/21	⁴			15,000			14,896
UDR, Inc. (MTN)
4.40%		01/26/29				5,000			5,912
Ventas Realty LP
4.13%		01/15/26				10,000			11,244
4.75%		11/15/30				15,000			17,643


									762,653

Retail — 1.29%
Alimentation Couche-Tard, Inc. (Canada)
3.80%		01/25/50	^2,3			60,000			66,596
Family Dollar Stores, Inc.
5.00%		02/01/21				5,000			5,071
Home Depot, Inc. (The)
3.90%		12/06/28				5,000			5,991
Lowe’s Cos., Inc.
3.65%		04/05/29				25,000			28,810
McDonald’s Corp. (MTN)
4.20%		04/01/50				30,000			36,723
Starbucks Corp.
3.35%		03/12/50				5,000			5,184
3.80%		08/15/25				5,000			5,660
Walgreens Boots Alliance, Inc.
4.80%		11/18/44				15,000			16,463


									170,498

Services — 1.61%
Duke University, Series 2020
2.83%		10/01/55				5,000			5,315
Emory University, Series 2020
2.97%		09/01/50				10,000			10,989
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^2,3			50,000			55,866
4.75%		08/01/28	²			5,000			5,957
5.00%		11/01/22	^2,3			5,000			5,374
Massachusetts Institute of Technology
3.96%		07/01/38				10,000			12,476
Northwestern University
3.69%		12/01/38				10,000			11,628



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Services (continued)
President and Fellows of Harvard College
2.52%		10/15/50			$	10,000		$	10,470
RELX Capital, Inc.
4.00%		03/18/29				35,000			41,134
University of Chicago (The), Series 20B
2.76%		04/01/45				5,000			5,185
University of Southern California
2.81%		10/01/50				10,000			10,669
Waste Connections, Inc. (Canada)
2.60%		02/01/30	²			5,000			5,393
3.05%		04/01/50	²			25,000			26,344
William Marsh Rice University
2.60%		05/15/50				5,000			5,127


									211,927

Transportation — 1.04%
Burlington Northern Santa Fe LLC
4.40%		03/15/42				18,000			22,657
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28				25,000			24,295
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32				14,817			14,312
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32				30,000			30,877
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23				25,397			21,390
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24				16,540			15,547
United Airlines Pass-Through Trust,
Series 2016-2, Class AA
2.88%		10/07/28				8,678			8,226


									137,304

Water — 0.44%
American Water Capital Corp.
3.45%		05/01/50				51,000			57,853


Total Corporates
(Cost $9,899,699)									10,177,034


MORTGAGE-BACKED — 2.05%**

Non-Agency Commercial
Mortgage-Backed — 0.90%

Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.37%		03/10/46	¹			338,021			8,351
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
1.03%		09/10/47	^1,5,6		$	630,690		$	16,652
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
1.04%		12/10/47	¹			483,564			14,126
DBUBS Mortgage Trust,
Series 2011-LC1A, Class XA (IO)
0.79%		11/10/46	^1,3			1,575,960			103
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
1.18%		08/10/43	^1,3			3,678,138			44,552
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.66%		03/10/44	^1,3			1,652,414			2,958
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C3,
Class XA (IO)
1.14%		02/15/46	^1,3			590,826			2,921
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C5,
Class XA (IO)
1.57%		08/15/45	^1,3			238,869			4,538
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6,
Class XA (IO)
1.76%		11/15/45	^1,3,5,6			153,615			3,681
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.31%		08/10/49	^1,3,5,6			2,200,000			9,459
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XA (IO)
1.47%		06/15/45	^1,3			782,224			11,368


									118,709

U.S. Agency Commercial
Mortgage-Backed — 0.54%
Fannie Mae-Aces, Series 2014-M6,
Class X2 (IO)
0.45%		05/25/21	¹			8,672,151			8,126
Fannie Mae-Aces, Series 2015-M4,
Class X2 (IO)
0.48%		07/25/22	¹			499,044			1,885
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K723,
Class X1 (IO)
1.07%		08/25/23	¹			926,509			19,940
Ginnie Mae, Series 2009-111, Class IO (IO)
0.22%		09/16/51	¹			585,863			29,924
Ginnie Mae, Series 2011-53, Class IO (IO)
0.00%		05/16/51	¹			2,362,754			4,382
Ginnie Mae, Series 2012-144, Class IO (IO)
0.39%		01/16/53	¹			333,982			6,709


									70,966



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 0.61%
Fannie Mae REMICS, Series 2011-116,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
5.85%		11/25/41	⁴		$	72,414		$	10,971
Fannie Mae REMICS, Series 2012-128,
Class UA
2.50%		06/25/42				30,930			31,639
Freddie Mac REMICS, Series 4638,
Class UF
(LIBOR USD 1-Month plus 1.00%)
1.15%		09/15/44	⁴			37,832			38,020


									80,630


Total Mortgage-Backed
(Cost $349,349)									270,305


MUNICIPAL BONDS — 1.50%*
California — 0.78%
Los Angeles Department of Airports,
Revenue Bonds, Port, Airport and Marina
Improvements, Series A
3.89%		05/15/38				15,000			17,568
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			7,003
Los Angeles Unified School District, Build
America Bonds, School Improvements,
Series RY
6.76%		07/01/34				5,000			7,397
Los Angeles Unified School District, Build
America Taxable Bonds, School
Improvements, Series KR
5.75%		07/01/34				5,000			6,988
5.76%		07/01/29				5,000			6,459
Regents of the University of California
Medical Center Pooled Revenue, Taxable
Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.01%		05/15/50				30,000			32,444
3.26%		05/15/60				5,000			5,509
Santa Clara Valley Transportation Authority,
Build America Bonds, Transit Improvements
5.88%		04/01/32				10,000			13,087
University of California, Taxable, College &
University, Revenue Bonds, University &
College Improvements, Series AJ
4.60%		05/15/31				5,000			6,054


									102,509



Issues	Maturity Date		Principal Amount			Value
MUNICIPAL BONDS (continued)
Florida — 0.21%
County of Miami-Dade Aviation Revenue
Bonds, Airport and Marina Improvements,
Series D
3.50%		10/01/31		$	15,000		$	15,952
Greater Orlando Aviation Authority, Port,
Airport and Marina Improvements, Series A
5.00%		10/01/44			10,000			12,013


								27,965

Missouri — 0.05%
Health & Educational Facilities Authority of the State of Missouri, Taxable Revenue
Bonds, Washington University, University and College Improvements
3.65%		08/15/57			5,000			6,180


New York — 0.34%
Metropolitan Transportation Authority, Green
Taxable Bonds, Transit Improvements,
Series C2
5.18%		11/15/49			5,000			5,217
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Taxable Bonds, Public Improvements
3.96%		08/01/32			30,000			34,270
New York City Transitional Finance Authority
Future Tax Secured Revenue, Taxable
Bonds, Public Improvements
3.73%		08/01/29			5,000			5,715


								45,202


Ohio — 0.12%
Ohio, Taxable Revenue Bonds, Advanced
Refunding, Cleveland Clinic
2.89%		01/01/32			15,000			16,498


Total Municipal Bonds
(Cost $190,043)								198,354


U.S. TREASURY SECURITIES — 0.30%
U.S. Treasury Notes — 0.30%
U.S. Treasury Notes
0.25%		09/30/25			39,000			38,962


Total U.S. Treasury Securities
(Cost $38,957)								38,962


Total Bonds – 81.01%
(Cost $10,478,048)								10,684,655

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 18.84%

Commercial Paper — 0.08%

Ford Motor Credit Co. LLC

2.88%⁷

01/08/21

5,000

4,959

3.20%⁷

10/08/20

5,000

4,999

9,958

Money Market Funds — 4.36%

Dreyfus Government Cash Management

Fund

2.33%⁸

554,000

Fidelity Investments Money Market Funds -

Government Portfolio

1.00%⁸

21,112

575,112

U.S. Agency Discount Notes — 2.27%

Federal Home Loan Bank

0.10%⁷

11/10/20

300,000

299,980

U.S. Treasury Bills — 12.13%

U.S. Cash Management Bills

0.09%⁷

02/16/21

250,000

249,909

U.S. Cash Management Bills, Series WI

0.11%⁷

01/26/21

250,000

249,907

U.S. Treasury Bills

0.11%⁷

02/04/21

800,000

799,706

0.11%⁷

02/11/21

300,000

299,892

1,599,414

Total Short-Term Investments

(Cost $2,484,442)

2,484,464

Total Investments – 99.85%

(Cost $12,962,490)

13,169,119

Cash and Other Assets, Less

Liabilities – 0.15%

20,068

Net Assets – 100.00%

13,189,187

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, 2020.

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 $29,792, which is 0.23% of total net assets.

⁷	Represents annualized yield at date of purchase.

⁸	Represents the current yield as of September 30, 2020.

*	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 – 68.67%

ASSET-BACKED SECURITIES — 4.97%**

Aimco CLO 11 Ltd., Series 2020-11A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.38%)

1.60%

10/15/31

^1,2,3

185,000

185,093

AMMC CLO 19 Ltd., Series 2016-19A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.42%

10/16/28

^1,2,3

15,000

14,884

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

Class A1LR (Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

1.49%

07/25/29

^1,2,3

10,000

9,931

Bombardier Capital Mortgage Securitization

Corp. Trust, Series 1999-B, Class A2

6.98%

12/15/29

⁴

997,492

248,067

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.27%)

0.00%

10/25/32

^1,2,3

250,000

250,313

Conseco Finance Securitizations Corp.,

Series 2000-1, Class A5

8.06%

09/01/29

⁴

152,989

50,626

CoreVest American Finance Trust,

Series 2019-3, Class XA (IO)

2.19%

10/15/52

^3,4

968,286

77,897

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

1.18%

04/15/29

^1,2,3

64,000

63,373

Dryden XXVIII Senior Loan Fund,

Series 2013-28A, Class A1LR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

1.48%

08/15/30

^1,2,3

10,000

9,919

Eaton Vance CLO Ltd., Series 2020-1A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

1.90%

10/15/30

^1,2,3

90,000

89,884

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

0.80%

08/27/46

^2,3

67,480

64,432

GoldenTree Loan Management U.S. CLO 8

Ltd., Series 2020-8A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.75%

07/20/31

^1,2,3

85,000

85,053

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

49,833

57,262

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

51,573

57,696

JPMorgan Mortgage Acquisition Trust,

Series 2006-CW2, Class AF5

(STEP-reset date 11/25/20)

6.34%

08/25/36

115,132

87,651

Magnetite XXVII CLO Ltd., Series 2020-27A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.82%

07/20/33

^1,2,3

85,000

85,040

Nelnet Student Loan Trust, Series 2015-3A,

Class A3

(LIBOR USD 1-Month plus 0.90%)

1.05%

06/25/54

^2,3

100,000

97,499

OHA Credit Funding 7 Ltd., Series 2020-7A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

0.00%

10/19/32

^1,2,3

275,000

275,344

Palmer Square Loan Funding Ltd.,

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

1.16%

10/24/27

^1,2,3

34,013

33,807

Palmer Square Loan Funding Ltd.,

Series 2020-2A, Class A2 (Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.82%

04/20/28

^1,2,3

10,000

9,928

PHEAA Student Loan Trust, Series 2014-3A,

Class A

(LIBOR USD 1-Month plus 0.59%)

0.74%

08/25/40

^2,3

46,767

45,607

Rockford Tower CLO Ltd., Series 2017-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.02%)

1.30%

10/15/29

^1,2,3

55,000

54,297

Rockford Tower CLO Ltd., Series 2017-3A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

1.46%

10/20/30

^1,2,3

175,000

173,687

SLM Student Loan Trust, Series 2004-1,

Class B

(LIBOR USD 3-Month plus 0.50%)

0.74%

07/25/39

68,346

62,553

SLM Student Loan Trust, Series 2007-2,

Class B

(LIBOR USD 3-Month plus 0.17%)

0.41%

07/25/25

115,000

98,894

SLM Student Loan Trust, Series 2008-5,

Class A4

(LIBOR USD 3-Month plus 1.70%)

1.94%

07/25/23

9,319

9,208



Issues	Maturity Date			Principal Amount			Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-7,
Class A4
(LIBOR USD 3-Month plus 0.90%)
1.14%		07/25/23	²		$	19,079		$	18,279
SLM Student Loan Trust, Series 2008-7,
Class B
(LIBOR USD 3-Month plus 1.85%)
2.09%		07/26/83	²			10,000			8,996
TAL Advantage VII LLC, Series 2020-1A,
Class A
2.05%		09/20/45	³			150,000			150,531
TCI-Flatiron CLO Ltd., Series 2016-1A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
1.49%		07/17/28	^1,2,3			10,000			9,959
Textainer Marine Containers VIII Ltd.,
Series 2020-2A, Class A
2.10%		09/20/45	³			180,000			180,285
Tif Funding II LLC, Series 2020-1A, Class A
2.09%		08/20/45	³			178,875			178,894
Voya CLO Ltd., Series 2020-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.78%		07/19/31	^1,2,3			160,000			159,940


Total Asset-Backed Securities
(Cost $3,028,149)									3,004,829

BANK LOANS — 0.20%*
Communications — 0.20%
Frontier Communications Corp.,
Term Loan B, 1st Lien
(PRIME plus 2.75%)
6.00%		06/17/24	²			125,000			123,351

Total Bank Loans
(Cost $123,750)
CORPORATES — 26.68%*
Banking — 2.29%
Bank of America Corp.
2.59%		04/29/31	⁴			180,000			190,800
Bank of America Corp. (MTN)
1.32%		06/19/26	⁴			5,000			5,035
2.88%		10/22/30	⁴			5,000			5,409
4.08%		03/20/51	⁴			30,000			37,098
Comerica, Inc.
5.63%		10/01/69	⁴			15,000			15,787
Fifth Third Bancorp
2.55%		05/05/27				10,000			10,791
HSBC Holdings PLC (United Kingdom)
2.36%		08/18/31	^1,4			225,000			222,732



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase & Co.
2.18%		06/01/28	⁴		$	20,000		$	20,906
2.52%		04/22/31	⁴			205,000			218,693
3.20%		06/15/26				5,000			5,554
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	^1,4			220,000			226,226
3.87%		07/09/25	^1,4			30,000			32,692
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	^1,4			100,000			104,566
4.80%		11/15/24	^1,4			35,000			38,587
Wells Fargo & Co.
3.07%		04/30/41	⁴			15,000			15,761
Wells Fargo & Co. (MTN)
2.39%		06/02/28	⁴			15,000			15,673
2.57%		02/11/31	⁴			190,000			199,292
5.01%		04/04/51	⁴			15,000			20,638


									1,386,240

Communications — 3.91%
AT&T, Inc.
3.50%		09/15/53	³			35,000			34,002
4.35%		06/15/45				55,000			62,224
4.50%		03/09/48				15,000			17,076
4.75%		05/15/46				275,000			324,063
CCO Holdings LLC/CCO Holdings
Capital Corp.
4.50%		08/15/30	³			108,000			113,675
4.50%		05/01/32	³			111,000			115,999
Charter Communications Operating LLC/
Charter Communications Operating Capital
5.38%		05/01/47				26,000			30,878
CSC Holdings LLC
3.38%		02/15/31	³			15,000			14,544
6.50%		02/01/29	³			99,000			109,952
DISH Network Corp.
3.38%		08/15/26				57,000			52,468
Intelsat Jackson Holdings SA (Luxembourg)⁵
8.50%		10/15/24	^1,3,6			110,000			71,500
9.75%		07/15/25	^1,3,6			35,000			23,011
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	¹			5,000			7,286
Level 3 Financing, Inc.
4.25%		07/01/28	³			100,000			101,560
National CineMedia LLC
5.88%		04/15/28	³			59,000			49,493
Scripps Escrow, Inc.
5.88%		07/15/27	³			77,000			74,883



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		$	200,000		$	236,125
Time Warner Cable LLC
5.50%		09/01/41				80,000			97,227
T-Mobile USA, Inc.
2.55%		02/15/31	³			25,000			25,897
3.30%		02/15/51	³			35,000			34,729
3.88%		04/15/30	³			158,000			179,467
4.38%		04/15/40	³			15,000			17,598
Verizon Communications, Inc.
3.15%		03/22/30				5,000			5,664
4.13%		03/16/27				5,000			5,918
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	^1,3			81,000			83,388
5.50%		05/15/29	^1,3			36,000			38,701
Vodafone Group PLC (United Kingdom)
4.25%		09/17/50	¹			35,000			40,709
4.38%		05/30/28	¹			205,000			242,981
Walt Disney Co. (The)
2.65%		01/13/31				85,000			91,846
3.60%		01/13/51				55,000			62,215


									2,365,079

Consumer Discretionary — 1.02%
Anheuser-Busch Cos. LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.90%		02/01/46				155,000			191,710
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^1,3			5,000			5,818
5.30%		05/15/48	^1,3			115,000			144,597
BAT Capital Corp.
2.73%		03/25/31				15,000			14,962
Reynolds American, Inc.
4.45%		06/12/25				95,000			107,016
5.70%		08/15/35				10,000			12,544
5.85%		08/15/45				115,000			140,485


									617,132

Electric — 0.38%
Evergy, Inc.
4.85%		06/01/21				20,000			20,357
Eversource Energy, Series O
4.25%		04/01/29				8,000			9,610
Pennsylvania Electric Co.
4.15%		04/15/25	³			5,000			5,504
Public Service Co. of New Mexico
3.85%		08/01/25				40,000			43,425



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Electric (continued)
Tucson Electric Power Co.
3.85%		03/15/23			$	140,000		$	148,829


									227,725

Energy — 2.66%
Antero Resources Corp.
5.00%		03/01/25				15,000			9,403
5.63%		06/01/23				50,000			36,750
Archrock Partners LP/Archrock Partners
Finance Corp.
6.25%		04/01/28	³			50,000			47,250
BP Capital Markets America, Inc.
3.63%		04/06/30				60,000			68,995
Endeavor Energy Resources LP/EER
Finance, Inc.
5.75%		01/30/28	³			49,000			49,337
Energy Transfer Operating LP
4.75%		01/15/26				10,000			10,752
4.90%		03/15/35				20,000			19,606
4.95%		06/15/28				100,000			106,028
5.00%		05/15/50				55,000			50,947
Energy Transfer Operating LP, Series B
6.63%		02/15/69	⁴			136,000			92,677
EQT Corp.
3.90%		10/01/27				5,000			4,613
Exxon Mobil Corp.
3.48%		03/19/30				60,000			69,352
4.23%		03/19/40				10,000			12,286
4.33%		03/19/50				20,000			25,170
Hess Corp.
4.30%		04/01/27				45,000			47,218
5.60%		02/15/41				20,000			21,787
Kinder Morgan Energy Partners LP
3.50%		09/01/23				8,000			8,540
4.25%		09/01/24				5,000			5,540
NGPL PipeCo LLC
4.38%		08/15/22	³			25,000			25,967
4.88%		08/15/27	³			40,000			43,613
Petroleos Mexicanos (Mexico)
5.95%		01/28/31	^1,3			5,000			4,165
6.63%		06/15/35	¹			5,000			4,117
6.75%		09/21/47	¹			15,000			11,460
6.95%		01/28/60	^1,3			5,000			3,874
7.69%		01/23/50	^1,3			15,000			12,611
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25				98,000			105,873
Rockies Express Pipeline LLC
4.95%		07/15/29	³			50,000			48,710



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
Sabine Pass Liquefaction LLC
5.75%		05/15/24			$	55,000		$	62,191
Shell International Finance BV (Netherlands)
2.75%		04/06/30	¹			50,000			54,810
Southern Natural Gas Co. LLC
4.80%		03/15/47	³			65,000			72,387
Sunoco Logistics Partners Operations LP
5.40%		10/01/47				28,000			26,437
TC PipeLines LP
3.90%		05/25/27				20,000			21,527
4.38%		03/13/25				33,000			35,890
Texas Eastern Transmission LP
2.80%		10/15/22	³			170,000			175,119
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26				50,000			51,875
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^1,3			16,900			15,636
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3			35,000			28,227
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		09/01/27				52,000			51,652
Williams Cos., Inc. (The)
4.30%		03/04/24				60,000			65,599


									1,607,991

Entertainment — 0.08%
Live Nation Entertainment, Inc.
4.75%		10/15/27	³			53,000			49,721

Finance — 2.67%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
3.65%		07/21/27	¹			25,000			22,927
3.88%		01/23/28	¹			5,000			4,644
4.50%		05/15/21	¹			10,000			10,192
5.00%		10/01/21	¹			25,000			25,777
Air Lease Corp.
2.25%		01/15/23				25,000			25,178
Air Lease Corp. (MTN)
3.00%		02/01/30				35,000			32,636
Citigroup, Inc.
2.57%		06/03/31	⁴			145,000			152,296
4.41%		03/31/31	⁴			15,000			18,017



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
Ford Motor Credit Co. LLC
3.20%		01/15/21			$	370,000		$	369,912
3.81%		10/12/21				6,000			6,026
4.25%		09/20/22				85,000			85,875
5.60%		01/07/22				5,000			5,125
5.75%		02/01/21				10,000			10,087
(LIBOR USD 3-Month plus 0.81%)
1.04%		04/05/21	²			5,000			4,930
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	¹			230,000			241,546
General Motors Financial Co., Inc.
3.20%		07/06/21				30,000			30,460
4.38%		09/25/21				10,000			10,319
Goldman Sachs Group, Inc. (The)
2.60%		02/07/30				55,000			58,171
3.69%		06/05/28	⁴			5,000			5,602
3.81%		04/23/29	⁴			5,000			5,707
Intercontinental Exchange, Inc.
(LIBOR USD 3-Month plus 0.65%)
0.90%		06/15/23	²			150,000			150,938
Morgan Stanley (GMTN)
4.43%		01/23/30	⁴			65,000			77,630
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4			60,000			63,812
4.36%		08/01/24	^1,3,4			25,000			27,127
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3			30,000			29,746
5.25%		08/15/22	^1,3			30,000			30,135
5.50%		02/15/24	^1,3			5,000			5,042
Raymond James Financial, Inc.
4.65%		04/01/30				85,000			103,620


									1,613,477

Food — 1.29%
Campbell Soup Co.
4.15%		03/15/28				10,000			11,592
Conagra Brands, Inc.
4.85%		11/01/28				10,000			12,229
(LIBOR USD 3-Month plus 0.50%)
0.77%		10/09/20	²			10,000			10,001
JBS USA LUX SA/JBS USA
Food Co./JBS USA Finance, Inc. (Canada)
5.50%		01/15/30	^1,3			69,000			75,191



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Food (continued)
Kraft Heinz Foods Co.
4.38%		06/01/46			$	15,000		$	15,415
4.63%		10/01/39	³			236,000			250,488
4.88%		10/01/49	³			20,000			21,085
5.00%		07/15/35				10,000			11,553
6.88%		01/26/39				10,000			13,459
7.13%		08/01/39	³			5,000			6,780
Kroger Co. (The)
4.50%		01/15/29				5,000			6,137
Pilgrim’s Pride Corp.
5.88%		09/30/27	³			72,000			74,885
Post Holdings, Inc.
4.63%		04/15/30	³			95,000			97,850
Smithfield Foods, Inc.
3.35%		02/01/22	³			165,000			167,591
5.20%		04/01/29	³			5,000			5,855


									780,111

Gaming — 0.22%
Caesars Entertainment, Inc.
6.25%		07/01/25	³			48,000			50,236
Churchill Downs, Inc.
5.50%		04/01/27	³			77,000			80,177


									130,413

Health Care — 4.96%
AbbVie, Inc.
3.85%		06/15/24	³			10,000			10,968
4.05%		11/21/39	³			5,000			5,747
4.25%		11/21/49	³			185,000			219,218
Aetna, Inc.
3.50%		11/15/24				10,000			10,974
Amgen, Inc.
3.15%		02/21/40				100,000			106,750
Bayer U.S. Finance II LLC
4.38%		12/15/28	³			210,000			246,918
4.88%		06/25/48	³			120,000			149,391
Becton Dickinson and Co.
3.73%		12/15/24				10,000			11,043
Centene Corp.
3.00%		10/15/30				200,000			204,290
4.75%		05/15/22				55,000			55,715
Cigna Corp.
2.40%		03/15/30				16,000			16,628
3.40%		03/01/27				85,000			95,504
4.90%		12/15/48				15,000			19,535



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
CVS Health Corp.
5.05%		03/25/48			$	130,000		$	166,033
(LIBOR USD 3-Month plus 0.72%)
0.96%		03/09/21	²			10,000			10,026
Elanco Animal Health, Inc.
5.27%		08/28/23				29,000			31,157
5.90%		08/28/28				40,000			46,350
Encompass Health Corp.
4.63%		04/01/31				60,000			60,000
4.75%		02/01/30				96,000			97,558
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	³			25,000			25,291
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.74%		09/29/23	²			155,000			155,207
Hackensack Meridian Health, Inc.,
Series 2020
2.88%		09/01/50				120,000			118,458
HCA, Inc.
3.50%		09/01/30				74,000			75,480
4.13%		06/15/29				20,000			22,665
5.00%		03/15/24				10,000			11,203
5.25%		06/15/49				185,000			227,010
Methodist Hospital (The), Series 20A
2.71%		12/01/50				120,000			120,107
Molina Healthcare, Inc.
4.38%		06/15/28	³			74,000			75,539
NYU Langone Hospitals, Series 2020
3.38%		07/01/55				25,000			25,370
Partners Healthcare System, Inc.,
Series 2020
3.34%		07/01/60				10,000			11,123
Royalty Pharma PLC (United Kingdom)
1.75%		09/02/27	^1,3			225,000			225,856
Tenet Healthcare Corp.
4.63%		09/01/24	³			43,000			43,330
4.88%		01/01/26	³			55,000			56,067
UnitedHealth Group, Inc.
2.90%		05/15/50				60,000			63,529
3.70%		08/15/49				5,000			6,000
Upjohn, Inc.
1.13%		06/22/22	³			40,000			40,320
Zimmer Biomet Holdings, Inc.
3.55%		03/20/30				120,000			134,632


									3,000,992

Industrials — 0.81%
BAE Systems Holdings, Inc.
3.85%		12/15/25	³			60,000			67,821



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Industrials (continued)
BAE Systems PLC (United Kingdom)
3.40%		04/15/30	^1,3		$	10,000		$	11,203
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.38%)
0.63%		05/05/26	²			60,000			55,779
(LIBOR USD 3-Month plus 0.48%)
0.76%		08/15/36	²			52,000			35,469
General Electric Co., Series A (MTN)
6.75%		03/15/32				30,000			37,773
Graham Packaging Co., Inc.
7.13%		08/15/28	³			48,000			50,004
PowerTeam Services LLC
9.03%		12/04/25	³			79,000			83,672
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^1,3			98,000			97,564
Trident TPI Holdings, Inc.
9.25%		08/01/24	³			48,000			51,000


									490,285

Information Technology — 0.21%
Broadcom Corp./Broadcom Cayman
Finance Ltd.
3.63%		01/15/24				5,000			5,373
Dell International LLC/EMC Corp.
4.42%		06/15/21	³			2,000			2,048
Fiserv, Inc.
2.65%		06/01/30				10,000			10,788
Intel Corp.
4.75%		03/25/50				25,000			34,612
SS&C Technologies, Inc.
5.50%		09/30/27	³			72,000			76,606


									129,427

Insurance — 1.06%
Aon Corp.
2.80%		05/15/30				15,000			16,275
Berkshire Hathaway Finance Corp.
4.25%		01/15/49				10,000			13,024
Farmers Insurance Exchange
4.75%		11/01/57	^3,4			35,000			36,503
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	³			160,000			163,802
Metropolitan Life Global Funding I
2.95%		04/09/30	³			15,000			16,857
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^3,4			100,000			100,003
New York Life Insurance Co.
3.75%		05/15/50	³			115,000			130,251



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Insurance (continued)
Teachers Insurance & Annuity
Association of America
3.30%		05/15/50	³		$	95,000		$	97,535
4.38%		09/15/54	^3,4			65,000			69,387


									643,637

Materials — 0.87%
Clearwater Paper Corp.
4.75%		08/15/28	³			100,000			100,576
Corp. Nacional del Cobre de Chile,
Series REGS (Chile)
3.15%		01/14/30	¹			200,000			213,281
International Flavors & Fragrances, Inc.
5.00%		09/26/48				65,000			80,692
Nutrition & Biosciences, Inc.
3.47%		12/01/50	³			130,000			131,623


									526,172

Real Estate Investment Trust (REIT) — 2.76%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26				75,000			86,014
American Campus Communities
Operating Partnership LP
3.30%		07/15/26				55,000			58,973
3.63%		11/15/27				80,000			84,778
3.75%		04/15/23				60,000			63,125
3.88%		01/30/31				35,000			38,262
Boston Properties LP
2.75%		10/01/26				10,000			10,678
3.25%		01/30/31				10,000			10,793
Crown Castle International Corp.
3.30%		07/01/30				35,000			38,338
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24				5,000			5,310
3.45%		11/15/29				140,000			152,033
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30				5,000			5,200
4.00%		01/15/31				175,000			182,436
5.25%		06/01/25				80,000			87,372
5.38%		11/01/23				10,000			10,665
5.75%		06/01/28				10,000			11,446
Healthcare Realty Trust, Inc.
3.63%		01/15/28				150,000			165,276
Healthcare Trust of America Holdings LP
2.00%		03/15/31				140,000			137,917
Healthpeak Properties, Inc.
3.40%		02/01/25				25,000			27,392
Hudson Pacific Properties LP
3.95%		11/01/27				55,000			59,254



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Kilroy Realty LP
2.50%		11/15/32			$	50,000		$	49,067
Lexington Realty Trust
2.70%		09/15/30				160,000			163,467
MGM Growth Properties Operating
Partnership LP/MGP Finance Co.-Issuer, Inc.
4.63%		06/15/25	³			48,000			49,015
SL Green Operating Partnership LP
3.25%		10/15/22				25,000			25,521
(LIBOR USD 3-Month plus 0.98%)
1.26%		08/16/21	²			150,000			148,961


									1,671,293

Retail — 0.42%
Alimentation Couche-Tard, Inc. (Canada)
2.95%		01/25/30	^1,3			75,000			80,992
3.80%		01/25/50	^1,3			60,000			66,596
FirstCash, Inc.
4.63%		09/01/28	³			100,000			102,063
Rite Aid Corp.
8.00%		11/15/26	³			2,000			2,004


									251,655

Services — 0.77%
Emory University, Series 2020
2.14%		09/01/30				10,000			10,493
Gartner, Inc.
3.75%		10/01/30	³			75,000			75,960
GFL Environmental, Inc. (Canada)
3.75%		08/01/25	^1,3			55,000			55,407
5.13%		12/15/26	^1,3			18,000			18,616
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,3			200,000			223,463
4.75%		02/15/25	^1,3			20,000			22,709
5.00%		11/01/22	^1,3			10,000			10,748
Waste Pro USA, Inc.
5.50%		02/15/26	³			49,000			49,730


									467,126

Transportation — 0.30%
American Airlines Pass-Through Trust,
Series 2016-2, Class A
3.65%		06/15/28				41,600			33,441
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20				3			3
Continental Airlines Pass-Through Trust,
Series 2001-1, Class A1
6.70%		06/15/21				3,003			2,918



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Transportation (continued)
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			$	25,000		$	24,295
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32				29,634			28,624
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32				75,000			77,193
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24				16,540			15,547


									182,021


Total Corporates
(Cost $16,082,565)									16,140,497


FOREIGN GOVERNMENT OBLIGATIONS — 1.04%
Foreign Government Obligations — 1.04%
Mexico Government International Bond
(Mexico)
3.25%		04/16/30	¹			200,000			205,362
Paraguay Government International Bond
(Paraguay)
4.95%		04/28/31	^1,3			200,000			231,300
Republic of South Africa Government
International Bond (South Africa)
4.85%		09/30/29	¹			200,000			191,325


Total Foreign Government Obligations
(Cost $635,575)									627,987


MORTGAGE-BACKED — 34.89%**
Non-Agency Commercial
Mortgage-Backed — 6.52%
Banc of America Commercial Mortgage
Trust, Series 2015-UBS7, Class XE (IO)
1.25%		09/15/48	^3,4			500,000			20,625
BANK, Series 2017-BNK5, Class XA (IO)
1.21%		06/15/60	⁴			141,249			6,849
BANK, Series 2018-BNK10, Class XA (IO)
0.88%		02/15/61	⁴			393,627			17,799
Barclays Commercial Mortgage Securities
Trust, Series 2015-SRCH, Class D
5.12%		08/10/35	^3,4			70,000			76,761
Barclays Commercial Mortgage Securities
Trust, Series 2017-C1, Class XA (IO)
1.66%		02/15/50	⁴			141,229			10,055
Barclays Commercial Mortgage Securities
Trust, Series 2020-C6, Class F5TB
3.69%		02/15/53	^3,4			75,000			74,093



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
BB-UBS Trust,
Series 2012-SHOW, Class XA (IO)
0.73%		11/05/36	^3,4		$	3,109,000		$	70,872
BB-UBS Trust,
Series 2012-SHOW, Class XB (IO)
0.28%		11/05/36	^3,4			1,395,000			9,801
CCRESG Commercial Mortgage Trust,
Series 2016-HEAT, Class X (IO)
1.54%		04/10/29	^3,4			1,280,000			1,676
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
1.02%		09/10/46	⁴			4,193,302			87,587
Citigroup Commercial Mortgage Trust,
Series 2014-GC19, Class XA (IO)
1.31%		03/10/47	⁴			1,024,920			33,300
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
1.14%		10/10/47	⁴			6,538,961			215,393
Commercial Mortgage Trust,
Series 2012-CR1, Class XA (IO)
2.02%		05/15/45	⁴			751,121			16,419
Commercial Mortgage Trust,
Series 2012-CR2, Class XA (IO)
1.79%		08/15/45	⁴			789,243			17,437
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
2.01%		10/15/45	⁴			765,106			21,003
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.84%		10/15/45	⁴			799,926			23,099
Commercial Mortgage Trust,
Series 2012-LC4, Class XA (IO)
2.18%		12/10/44	^3,4			681,120			12,792
Commercial Mortgage Trust,
Series 2012-LC4, Class XB (IO)
0.58%		12/10/44	^3,4			1,800,000			13,380
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.37%		03/10/46	⁴			5,591,649			138,153
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.14%		07/10/45	⁴			18,950,045			39,994
Commercial Mortgage Trust,
Series 2014-CR14, Class XA (IO)
0.73%		02/10/47	⁴			3,592,805			60,845
Commercial Mortgage Trust,
Series 2014-CR17, Class XA (IO)
1.13%		05/10/47	⁴			1,549,920			42,813
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
1.13%		08/10/47	⁴			1,041,230			31,090



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2014-CR19, Class XC (IO)
0.84%		08/10/47	^3,4		$	1,200,000		$	29,481
Commercial Mortgage Trust,
Series 2014-LC15, Class XA (IO)
1.26%		04/10/47	⁴			1,076,858			32,055
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.23%		06/10/47	⁴			3,254,567			107,021
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.03%		09/10/47	^4,7,8			741,989			19,590
Commercial Mortgage Trust,
Series 2015-CR22, Class XA (IO)
1.03%		03/10/48	⁴			2,199,062			64,571
Credit Suisse Mortgage Capital Trust,
Series 2016-NXSR, Class XA (IO)
0.91%		12/15/49	⁴			553,499			16,878
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.73%		06/15/52	⁴			571,723			61,851
DBUBS Mortgage Trust,
Series 2011-LC1A, Class XB (IO)
0.35%		11/10/46	^3,4			300,000			75
DBUBS Mortgage Trust,
Series 2011-LC3A, Class XA (IO)
0.33%		08/10/44	^3,4			24,733,928			20,063
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
1.18%		08/10/43	^3,4			15,477,232			187,470
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.66%		03/10/44	^3,4			2,809,103			5,029
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
1.49%		08/10/44	^3,4			4,367,704			24,650
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
2.09%		11/10/45	⁴			684,438			21,628
GS Mortgage Securities Trust,
Series 2015-GS1, Class XA (IO)
0.92%		11/10/48	⁴			955,531			32,219
GS Mortgage Securities Trust,
Series 2016-GS2, Class XA (IO)
1.79%		05/10/49	⁴			343,513			20,758
GS Mortgage Securities Trust,
Series 2016-GS3, Class XA (IO)
1.36%		10/10/49	⁴			2,886,451			152,844
GS Mortgage Securities Trust,
Series 2017-GS7, Class XA (IO)
1.27%		08/10/50	⁴			148,406			8,124

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial

Mortgage-Backed (continued)

Hudson Yards Mortgage Trust,

Series 2019-55HY, Class F

3.04%

12/10/41

^3,4

85,000

75,638

JPMBB Commercial Mortgage Securities

Trust, Series 2014-C19, Class XA (IO)

0.90%

04/15/47

⁴

1,789,329

29,791

JPMCC Commercial Mortgage Securities

Trust, Series 2017-JP5, Class XA (IO)

1.16%

03/15/50

⁴

5,626,375

258,926

JPMDB Commercial Mortgage Securities

Trust, Series 2016-C2, Class XA (IO)

1.81%

06/15/49

⁴

336,707

18,304

JPMDB Commercial Mortgage Securities

Trust, Series 2017-C7, Class XA (IO)

1.04%

10/15/50

⁴

368,523

17,279

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2011-C3,

Class XA (IO)

1.14%

02/15/46

^3,4

9,453,217

46,734

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2012-C6,

Class XA (IO)

1.73%

05/15/45

⁴

540,807

10,221

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2012-C8,

Class XA (IO)

1.92%

10/15/45

⁴

645,552

17,870

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2012-CIBX,

Class XA (IO)

1.64%

06/15/45

⁴

514,701

6,000

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2012-LC9,

Class XA (IO)

1.64%

12/15/47

⁴

1,778,466

45,415

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2013-C10,

Class XA (IO)

1.10%

12/15/47

⁴

1,241,305

23,558

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2013-LC11,

Class XA (IO)

1.39%

04/15/46

⁴

2,776,868

71,720

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2020-ACE, Class XA

(IO)

0.47%

01/10/37

^3,4

2,000,000

28,788

JPMorgan Chase Commercial Mortgage

Securities Trust, Series 2020-LOOP,

Class XB (IO)

0.25%

12/05/38

^3,4

2,010,000

26,990



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2020-NNN,
Class XAFX (IO)
1.88%		01/16/37	^3,4		$	450,000		$	31,318
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2020-NNN,
Class XBFX (IO)
0.57%		01/16/37	^3,4			1,450,000			31,256
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C5, Class XC (IO)
0.14%		08/15/45	^3,4			35,000,000			72,089
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C5,
Class XA (IO)
1.57%		08/15/45	^3,4			620,438			11,786
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C13, Class XA (IO)
1.12%		11/15/46	⁴			2,537,853			63,161
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C18, Class XA (IO)
0.87%		10/15/47	⁴			116,025			2,394
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C21, Class XA (IO)
1.02%		03/15/48	⁴			3,579,554			105,920
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C22, Class XA (IO)
1.19%		04/15/48	⁴			1,194,151			40,850
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C24, Class XA (IO)
0.87%		05/15/48	⁴			7,826,975			231,587
Morgan Stanley Capital I Trust,
Series 2011-C2, Class XB (IO)
0.39%		06/15/44	^3,4			21,644,659			160,216
Morgan Stanley Capital I Trust,
Series 2012-C4, Class XA (IO)
2.24%		03/15/45	^3,4			679,008			13,393
MSBAM Commercial Mortgage Securities
Trust, Series 2012-CKSV, Class XA (IO)
1.19%		10/15/30	^3,4			1,126,079			17,837
Natixis Commercial Mortgage Securities
Trust, Series 2018-ALXA, Class E
4.46%		01/15/43	^3,4			70,000			70,528
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.76%		12/10/45	^3,4			776,584			19,684
Wells Fargo Commercial Mortgage Trust,
Series 2012-LC5, Class XA (IO)
1.90%		10/15/45	^3,4			894,673			25,119
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.25%		08/15/50	⁴			3,613,796			115,872



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.19%		12/15/47	⁴		$	1,650,190		$	56,711
Wells Fargo Commercial Mortgage Trust,
Series 2015-LC20, Class XF (IO)
1.89%		04/15/50	^3,4			415,000			21,981
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class XA (IO)
0.99%		02/15/44	^3,4			910,477			448
WF-RBS Commercial Mortgage Trust,
Series 2011-C3, Class XA (IO)
1.48%		03/15/44	^3,4			2,141,942			9,145
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.67%		12/15/45	^3,4			1,168,152			33,479
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XB (IO)
0.56%		12/15/45	^3,4			4,000,000			43,694
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XB (IO)
0.15%		06/15/45	^3,4			29,387,219			58,774
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.96%		08/15/45	^3,4			628,308			14,643
WF-RBS Commercial Mortgage Trust,
Series 2014-C24, Class XA (IO)
0.98%		11/15/47	⁴			2,299,845			60,980
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.36%		03/15/47	⁴			3,454,584			106,725


									3,942,967

Non-Agency Mortgage-Backed — 16.29%
Alternative Loan Trust,
Series 2005-46CB, Class A4
5.25%		10/25/35				302,249			276,958
Alternative Loan Trust,
Series 2005-55CB, Class 1A1
5.50%		11/25/35				291,405			260,089
Alternative Loan Trust,
Series 2005-67CB, Class A1
5.50%		01/25/36				115,591			113,432
Alternative Loan Trust,
Series 2006-19CB, Class A15
6.00%		08/25/36				170,506			143,090
Alternative Loan Trust,
Series 2006-34, Class A5
6.25%		11/25/46				305,409			230,719
Alternative Loan Trust,
Series 2006-J1, Class 1A11
5.50%		02/25/36				321,151			294,027



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Alternative Loan Trust,
Series 2007-16CB, Class 1A7
6.00%		08/25/37			$	11,355		$	11,223
Alternative Loan Trust,
Series 2007-18CB, Class 2A25
6.00%		08/25/37				448,819			386,132
Alternative Loan Trust,
Series 2007-5CB, Class 1A3
6.00%		04/25/37				243,327			196,921
American Home Mortgage Assets Trust,
Series 2006-6, Class XP (IO)
2.90%		12/25/46	^4,7,8			478,776			44,694
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)
0.43%		03/25/46	²			21,042			19,007
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%		03/25/36				10,384			9,925
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
0.30%		05/26/36	^2,3			33,153			31,895
Banc of America Funding Trust,
Series 2015-R4, Class 5A1
(LIBOR USD 1-Month plus 0.15%)
0.33%		10/25/36	^2,3			22,381			21,556
Bear Stearns ALT-A Trust, Series 2004-6,
Class 1A
(LIBOR USD 1-Month plus 0.64%)
0.79%		07/25/34	²			3,374			3,395
Bear Stearns ALT-A Trust, Series 2005-7,
Class 22A1
3.25%		09/25/35	⁴			200,278			157,449
Bear Stearns ARM Trust, Series 2004-3,
Class 2A
3.28%		07/25/34	⁴			12,049			11,941
Bear Stearns ARM Trust, Series 2005-10,
Class A3
3.58%		10/25/35	⁴			270,676			268,863
Bear Stearns Asset-Backed Securities I
Trust, Series 2006-AC1, Class 22X (IO)
0.27%		12/25/35	^4,7,8			1,519,750			13,233
Bombardier Capital Mortgage Securitization
Corp. Trust, Series 2000-A, Class A4
8.29%		06/15/30	⁴			142,144			42,244
ChaseFlex Trust, Series 2007-1, Class 1A1
6.50%		02/25/37				402,688			219,039
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WF1, Class A2C
(STEP-reset date 11/25/20)
4.82%		03/25/36				37,341			24,414

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Citigroup Mortgage Loan Trust, Inc.,

Series 2015-2, Class 1A1

(LIBOR USD 1-Month plus 0.20%)

0.38%

06/25/47

^2,3

8,456

8,466

CitiMortgage Alternative Loan Trust,

Series 2007-A1, Class 1A1

6.00%

01/25/37

176,602

176,181

CitiMortgage Alternative Loan Trust,

Series 2007-A1, Class 1A5

6.00%

01/25/37

337,102

336,299

CitiMortgage Alternative Loan Trust,

Series 2007-A3, Class 1A7

5.75%

03/25/37

342,205

342,751

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2007-14,

Class A3

6.25%

09/25/37

30,130

24,637

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2007-20,

Class A1

6.50%

01/25/38

320,873

259,801

Credit Suisse Mortgage Capital Trust,

Series 2007-5, Class 1A9

7.00%

08/25/37

⁴

195,525

160,692

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB7,

Class A4

(LIBOR USD 1-Month plus 0.16%)

0.31%

10/25/36

53,147

44,587

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-MH1,

Class B1 (STEP-reset date 11/25/20)

6.25%

10/25/36

61,000

60,661

Fremont Home Loan Trust, Series 2005-E,

Class 2A4

(LIBOR USD 1-Month plus 0.33%)

0.48%

01/25/36

30,957

30,052

GreenPoint Mortgage Funding Trust,

Series 2005-AR3, Class 1A1

(LIBOR USD 1-Month plus 0.24%)

0.39%

08/25/45

9,577

9,056

GSAA Trust, Series 2007-3, Class 2A1B

(LIBOR USD 1-Month plus 0.10%)

0.25%

03/25/47

166,316

13,236

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

3.68%

09/25/35

⁴

6,957

7,081

HarborView Mortgage Loan Trust,

Series 2005-9, Class 2A1A

(LIBOR USD 1-Month plus 0.34%)

0.50%

06/20/35

22,487

22,358

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

HarborView Mortgage Loan Trust,

Series 2005-9, Class 2X (IO)

2.38%

06/20/35

^3,4,7,8

1,649,045

105,918

HarborView Mortgage Loan Trust,

Series 2006-5, Class X2 (IO)

2.76%

07/19/46

^4,7,8

3,499,474

426,392

HSI Asset Loan Obligation Trust,

Series 2007-WF1, Class A5

(STEP-reset date 11/25/20)

4.83%

12/25/36

299,517

156,058

IndyMac Index Mortgage Loan Trust,

Series 2006-AR3, Class 2A1A

3.29%

03/25/36

⁴

123,514

107,299

IndyMac Index Mortgage Loan Trust,

Series 2007-F2, Class 1A4

6.00%

07/25/37

11,981

11,913

JPMorgan Alternative Loan Trust,

Series 2006-S1, Class 3A4

6.18%

03/25/36

⁴

318,510

315,723

JPMorgan Mortgage Acquisition Trust,

Series 2006-CW2, Class AF4

(STEP-reset date 11/25/20)

6.08%

08/25/36

663,382

511,111

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH1, Class AF6

(STEP-reset date 11/25/20)

4.85%

11/25/36

33,485

34,680

Lehman ABS Manufactured Housing

Contract Trust, Series 2001-B, Class M1

6.63%

04/15/40

⁴

56,523

60,431

Lehman Mortgage Trust, Series 2006-1,

Class 1A5

5.50%

02/25/36

183,692

154,642

Lehman Mortgage Trust, Series 2006-7,

Class 2A5 (IO)

(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)

6.40%

11/25/36

^2,7,8

212,582

72,689

Lehman Mortgage Trust, Series 2007-5,

Class 10A2 (IO)

(-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap)

6.19%

06/25/37

^2,7,8

279,676

75,682

MASTR Alternative Loan Trust,

Series 2005-2, Class 4A3

(LIBOR USD 1-Month plus 0.40%)

0.55%

03/25/35

29,603

28,496

MASTR Alternative Loan Trust,

Series 2005-2, Class 4A4 (IO)

(-1.00 X LIBOR USD 1-Month plus 5.10%, 5.10% Cap)

4.95%

03/25/35

^2,7,8

595,153

62,457

Merrill Lynch Mortgage Investors Trust,

Series 2004-B, Class A1

(LIBOR USD 1-Month plus 0.50%)



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
0.65%		05/25/29	²		$	18,965		$	17,583
Mid-State Capital Corp., Series 2005-1,
Class A
5.75%		01/15/40				9,177			9,942
Mid-State Capital Corp., Series 2006-1,
Class A
5.79%		10/15/40	³			56,428			61,345
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38				4,124			4,433
Morgan Stanley Mortgage Loan Trust,
Series 2007-13, Class 6A1
6.00%		10/25/37				202,581			172,316
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
0.40%		06/25/37	²			35,000			33,468
Nomura Resecuritization Trust,
Series 2015-5R, Class 4A1
(LIBOR USD 1-Month plus 0.14%)
0.21%		07/26/37	^2,3			14,358			14,381
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A2
5.01%		11/01/20	⁴			17,453			17,851
Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates,
Series 2005-WCH1, Class M4
(LIBOR USD 1-Month plus 1.25%)
1.39%		01/25/36	²			23,642			23,581
Residential Accredit Loans Trust,
Series 2005-QS14, Class 3A3
6.00%		09/25/35				230,921			227,782
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A2
6.00%		06/25/36				80,234			75,331
Residential Accredit Loans Trust,
Series 2007-QS7, Class 1A1
6.00%		05/25/37				79,251			77,765
Residential Asset Mortgage Products Trust,
Series 2006-EFC2, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.37%		12/25/36	²			100,000			98,048
Residential Asset Securitization Trust,
Series 2003-A15, Class 1A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap)
7.40%		02/25/34	^2,7,8			713,043			94,344
Residential Asset Securitization Trust,
Series 2005-A14, Class A5
5.50%		12/25/35				106,133			81,984
Residential Asset Securitization Trust,
Series 2005-A6CB, Class A1
5.50%		06/25/35				85,759			77,425



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Residential Asset Securitization Trust,
Series 2005-A6CB, Class A7
6.00%		06/25/35			$	234,495		$	209,336
Residential Asset Securitization Trust,
Series 2005-A8CB, Class A9
5.38%		07/25/35				329,543			292,747
Residential Asset Securitization Trust,
Series 2006-A12, Class A1
6.25%		11/25/36				186,571			112,338
Residential Asset Securitization Trust,
Series 2006-A15, Class A2
6.25%		01/25/37				563,290			337,146
Residential Asset Securitization Trust,
Series 2006-A16, Class 1A3
6.00%		02/25/37				392,453			276,933
Residential Asset Securitization Trust,
Series 2006-A5CB, Class A4
6.00%		06/25/36				109,938			71,416
Residential Asset Securitization Trust,
Series 2007-A3, Class 1A4
5.75%		04/25/37				63,817			44,473
Residential Asset Securitization Trust,
Series 2007-A6, Class 1A3
6.00%		06/25/37				180,126			149,012
Residential Funding Mortgage Securities
Trust, Series 2006-S6, Class A14
6.00%		07/25/36				153,200			153,382
Residential Funding Mortgage Securities
Trust, Series 2007-S8, Class 1A1
6.00%		09/25/37				245,920			227,993
Securitized Asset-Backed Receivables LLC
Trust, Series 2006-CB1, Class AF4
(STEP-reset date 11/25/20)
3.20%		01/25/36				136,185			126,348
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-1, Class 4A1
3.17%		02/25/34	⁴			2,412			2,415
Structured Asset Mortgage Investments II
Trust, Series 2006-AR2, Class A1
(LIBOR USD 1-Month plus 0.23%)
0.38%		02/25/36	²			26,874			23,726
WaMu Mortgage Pass-Through Certificates,
Series 2006-2, Class 1A6
6.00%		03/25/36				35,641			36,594
Wells Fargo Alternative Loan Trust,
Series 2007-PA2, Class 1A1
6.00%		06/25/37				89,204			89,204
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37				139,305			137,419

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR14, Class 2A3

2.94%

10/25/36

⁴

68,184

64,093

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR4, Class 2A1

4.02%

04/25/36

⁴

14,870

14,126

9,855,875

U.S. Agency Commercial

Mortgage-Backed — 2.72%

Fannie Mae-Aces, Series 2016-M11,

Class X2 (IO)

2.82%

07/25/39

⁴

867,306

35,001

Fannie Mae-Aces, Series 2016-M2,

Class X3 (IO)

2.06%

04/25/36

⁴

756,179

11,610

Fannie Mae-Aces, Series 2016-M4,

Class X2 (IO)

2.70%

01/25/39

⁴

1,202,392

81,710

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K013,

Class X1 (IO)

0.64%

01/25/21

⁴

39,022,784

28,701

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K017,

Class X3 (IO)

2.27%

12/25/39

⁴

2,147,000

54,959

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K022,

Class X3 (IO)

1.87%

08/25/40

⁴

900,000

28,183

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K031,

Class X3 (IO)

1.71%

07/25/41

⁴

1,170,000

46,446

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K037,

Class X3 (IO)

2.28%

01/25/42

⁴

390,000

26,023

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K049,

Class X3 (IO)

1.60%

10/25/43

⁴

2,925,000

192,325

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K056,

Class X3 (IO)

2.18%

06/25/44

⁴

1,743,936

183,160

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K715,

Class X1 (IO)

1.27%

01/25/21

⁴

3,655,078

4,119



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial
Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KC05,
Class X1 (IO)
1.20%		06/25/27	⁴		$	698,959		$	41,261
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KIR1,
Class X (IO)
1.20%		03/25/26	⁴			970,755			47,869
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KLU1,
Class X3 (IO)
4.10%		01/25/31	⁴			345,637			62,492
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS05,
Class X (IO)
0.76%		01/25/23	⁴			4,739,543			71,060
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q013,
Class XPT1 (IO)
1.66%		05/25/25				7,550,000			246,260
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q013,
Class XPT2 (IO)
1.81%		05/25/27				5,400,000			246,164
FREMF Mortgage Trust, Series 2012-K20,
Class X2A (IO)
0.20%		05/25/45	³			3,641,758			8,850
Ginnie Mae, Series 2009-111, Class IO (IO)
0.22%		09/16/51	⁴			1,041,534			53,198
Ginnie Mae, Series 2011-119, Class IO (IO)
0.32%		08/16/51	⁴			2,035,020			13,519
Ginnie Mae, Series 2011-78, Class IX (IO)
0.00%		08/16/46	⁴			540,901			8,413
Ginnie Mae, Series 2012-123, Class IO (IO)
0.76%		12/16/51	⁴			4,657,755			132,802
Ginnie Mae, Series 2012-135, Class IO (IO)
0.56%		01/16/53	⁴			437,442			11,933
Ginnie Mae, Series 2013-33, Class IO (IO)
0.70%		04/16/54	⁴			615,043			11,732


									1,647,790

U.S. Agency Mortgage-Backed — 9.36%
Fannie Mae Pool 462209
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 2.18%)
3.62%		04/01/36	²			58,276			59,299
Fannie Mae Pool AN6241
3.46%		09/01/37				80,000			95,275
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			10,191			10,907



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed
(continued)
Fannie Mae REMICS, Series 2011-116,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
5.85%		11/25/41	²		$	217,243		$	32,912
Fannie Mae REMICS, Series 2012-139,
Class AI (IO)
3.00%		12/25/27				395,028			26,926
Freddie Mac Strips, Series 240,
Class IO (IO)
5.50%		07/15/36				425,709			86,229
Ginnie Mae, Series 2003-11, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
6.40%		02/16/33	²			801,167			65,028
Ginnie Mae, Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.44%		10/20/33	²			474,339			101,047
Ginnie Mae, Series 2018-124, Class NW
3.50%		09/20/48				65,657			70,982
Ginnie Mae, Series 2018-154, Class BP
3.50%		11/20/48				20,227			20,766
UMBS (TBA)
2.00%		10/01/50				2,700,000			2,791,451
2.50%		10/01/50				1,325,000			1,389,978
2.50%		11/01/50				875,000			916,397

									5,667,197


Total Mortgage-Backed
(Cost $21,688,413)									21,113,829

MUNICIPAL BONDS — 0.89%*
California — 0.45%
Los Angeles Department of Airports,
Revenue Bonds, Port, Airport and Marina
Improvements, Series A
3.89%		05/15/38				100,000			117,120
Los Angeles Department of Airports,
Revenue Bonds, Port, Airport and Marina
Improvements, Series C
5.00%		05/15/39				20,000			24,873
Regents of the University of California
Medical Center Pooled Revenue, Taxable
Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.01%		05/15/50				75,000			81,109
3.26%		05/15/60				30,000			33,057
San Francisco City & County Airport
Comm-San Francisco International Airport,
Airport and Marina Improvements, Series A
5.00%		05/01/49				15,000			17,767


									273,926



Issues	Maturity Date		Principal Amount			Value
MUNICIPAL BONDS (continued)
Florida — 0.05%
Greater Orlando Aviation Authority, Port,
Airport and Marina Improvements, Series A

5.00%		10/01/44		$	25,000		$	30,034

Massachusetts — 0.02%
Commonwealth of Massachusetts, General
Obligation Bonds, Public Improvements,
Series C
3.00%		03/01/48			10,000			10,702

New York — 0.19%
Metropolitan Transportation Authority, Green
Taxable Bonds, Transit Improvements,
Series C2
5.18%		11/15/49			15,000			15,652
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds, Public
Improvements, Series B1
4.00%		08/01/38			10,000			11,251
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Taxable Bonds, Public Improvements,
Subseries B3
1.85%		08/01/32			75,000			72,842
New York City Water & Sewer System
Revenue Bonds, Water Utility Improvements
3.00%		06/15/50			10,000			10,369
New York State Dormitory Authority,
Revenue Bonds, Health, Hospital and
Nursing Home Improvements, Series A
4.00%		07/01/50			5,000			5,590


								115,704

Ohio — 0.18%
Ohio, Taxable Revenue Bonds, Advanced
Refunding, Cleveland Clinic
2.89%		01/01/32			100,000			109,988


Total Municipal Bonds
(Cost $524,685)								540,354


Total Bonds – 68.67%
(Cost $42,083,137)								41,550,847



Issues	Maturity Date			Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS — 41.64%
Commercial Paper — 0.03%
Ford Motor Credit Co. LLC
3.20%⁹		10/08/20	³		$	20,000		$	19,997

Money Market Funds — 15.08%
Dreyfus Government Cash Management
Fund
2.33%¹⁰						2,827,000			2,827,000
Fidelity Investments Money Market Funds -
Government Portfolio
1.00%¹⁰						644,537			644,537
JPMorgan U.S. Government
Money Market Fund
1.00%¹⁰						2,827,000			2,827,000
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.00%¹⁰						2,827,000			2,827,000


									9,125,537

U.S. Agency Discount Notes — 3.31%
Federal Home Loan Bank
0.10%⁹		11/10/20				2,000,000			1,999,867

U.S. Treasury Bills — 23.22%
U.S. Cash Management Bills
0.10%⁹		02/16/21				4,900,000			4,898,216
0.11%⁹		01/12/21				2,000,000			1,999,628
U.S. Treasury Bills
0.11%⁹		02/11/21				2,000,000			1,999,280
0.14%⁹		11/12/20				200,000			199,979
0.14%⁹		01/07/21				1,800,000			1,799,577
0.15%⁹		10/27/20				800,000			799,961
0.16%⁹		11/03/20				300,000			299,977
0.16%⁹		11/05/20				250,000			249,981
0.16%⁹		11/27/20				400,000			399,941
0.17%⁹		12/03/20				1,000,000			999,851
0.18%⁹		12/10/20				200,000			199,963
U.S. Treasury Bills (WI)
0.17%⁹		11/10/20				200,000			199,985


									14,046,339


Total Short-Term Investments
(Cost $25,190,593)									25,191,740


	Value
Total Investments – 110.31%
(Cost $67,273,730)		$	66,742,587


Liabilities in Excess of Other
Assets – (10.31)%			(6,235,444	)


Net Assets – 100.00%		$	60,507,143

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

²	Floating rate security. The rate disclosed was in effect at September 30, 2020.

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	Non-income producing security.

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

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 $914,999, which is 1.51% of total net assets.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of September 30, 2020.

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

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

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When Issued

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 93.17%

BANK LOANS — 84.10%*

Automotive — 0.33%

Oeconnection LLC,

Term Loan B

(LIBOR plus 4.00%)

4.15%

09/25/26

^1,2

698,861

690,998

Panther BF Aggregator 2 LP

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.65%

04/30/26

247,500

241,777

932,775

Communications — 13.38%

A-L Parent LLC,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

4.25%

12/01/23

494,859

425,474

Altice Financing SA,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.89%

01/31/26

972,500

921,444

Altice SA,

Term Loan B13, 1st Lien (France)

(LIBOR plus 4.00%)

4.15%

08/14/26

^2,3

491,250

479,010

Beasley Mezzanine Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

5.25%

11/01/23

205,722

173,301

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

03/15/27

1,736,875

1,672,524

Charter Communications Operating LLC,

Term Loan B1, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/30/25

950,115

935,094

Charter Communications Operating LLC,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.90%

02/01/27

396,281

387,965

Clear Channel Outdoor Holdings

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.76%

08/21/26

488,781

446,717

Colorado Buyer, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

8.25%

05/01/25

^2,4,5

138,000

73,237

CommScope, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.40%

04/04/26

1,982,481

1,937,350

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Connect Finco SARL,

Term Loan B

(LIBOR plus 4.50%)

5.50%

12/11/26

1,293,500

1,257,127

Consolidated Communications, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

4.75%

10/02/27

750,000

743,906

Coralus Co-Borrower LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

2.40%

01/31/28

1,250,000

1,211,450

Cox Media Group,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

4.40%

12/17/26

1,042,125

1,019,235

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

01/15/26

985,000

954,628

Dawn Acquisition LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.97%

10/27/25

488,788

440,671

Diamond Sports Group LLC

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.40%

08/24/26

802,890

630,269

Frontier Communications Corp.,

Term Loan B, 1st Lien

(PRIME plus 2.75%)

6.00%

06/17/24

2,194,885

2,165,923

Global Tel*Link Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

4.40%

11/29/25

998,100

873,647

Gray Television, Inc.,

Term Loan C, 1st Lien

(LIBOR plus 2.50%)

2.66%

11/02/25

767,889

756,370

GTT Communications, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.97%

05/31/25

1,467,475

1,271,934

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

8.63%

01/02/24

^2,3

500,000

506,980

Intelsat Jackson Holdings,

Delayed-Draw Term Loan, 1st Lien

(Luxembourg)

(LIBOR plus 5.50%)

6.50%

07/14/21

^2,3,6

53,889

54,989

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/01/27

2,337,328

2,268,669

MacDonald Dettwiler & Associates Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

10/05/24

736,668

710,656

National Cinemedia LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

4.00%

06/20/25

488,750

400,035

NEP/NCP Holdco, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 7.00%)

7.15%

10/19/26

440,000

352,733

New Insight Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.50%)

6.50%

12/20/24

486,250

462,910

Nexstar Broadcasting, Inc.

Term Loan B3, 1st Lien

(LIBOR plus 2.25%)

2.39%

01/17/24

264,012

258,119

Nexstar Broadcasting,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.91%

09/18/26

960,625

941,614

Radiate Holdco LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.25%

09/10/26

2,471,095

2,433,176

Sinclair Television Group, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 2.25%)

2.40%

01/03/24

1,915,405

1,871,906

T-Mobile USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

04/01/27

1,496,250

1,496,916

UPC Financing Partnership,

Term Loan B2, 1st Lien

(LIBOR plus 3.50%)

3.50%

01/31/29

1,125,000

1,095,750

Virgin Media Bristol LLC,

Term Loan N, 1st Lien

(LIBOR plus 2.50%)

2.65%

01/31/28

2,000,000

1,945,700

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

03/09/27

2,238,750

2,177,587

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Ziggo BV

Term Loan I, 1st Lien

(LIBOR plus 2.50%)

2.65%

04/30/28

2,000,000

1,930,000

37,685,016

Consumer Discretionary — 7.39%

AI Aqua Merger Sub, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

4.25%

12/13/23

1,455,000

1,425,900

AI Aqua Merger Sub, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 3.25%)

4.25%

12/13/23

491,094

481,272

Allied Universal Holdco LLC,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

4.40%

07/10/26

744,375

737,795

Arterra Wines Canada, Inc.,

Term Loan B1, 1st Lien (Canada)

(LIBOR plus 2.75%)

3.75%

12/15/23

^2,3

2,414,822

2,393,704

Boing U.S. Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

4.25%

10/03/24

972,563

956,369

CityCenter Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

3.00%

04/18/24

2,182,998

2,100,590

Four Seasons Hotels, Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.15%

11/30/23

962,500

939,212

KUEHG Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

02/21/25

336,171

309,383

Landry’s Finance Acquisition Co.,

Term Loan, 1st Lien

(LIBOR plus 12.00%)

13.00%

10/06/23

656,395

761,418

Landry’s

Term Loan, 1st Lien

(LIBOR plus 12.00%)

13.00%

10/06/23

53,605

61,110

Nielsen Finance LLC,

Term Loan B4, 1st Lien

(LIBOR plus 2.00%)

2.15%

10/04/23

1,203,328

1,182,270

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Discretionary (continued)

Prometric Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

4.00%

01/29/25

977,594

914,050

Refresco,

Term Loan B3, 1st Lien

(LIBOR plus 3.25%)

3.51%

03/28/25

1,960,200

1,924,681

Reynolds Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

02/06/23

1,891,342

1,872,788

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

4.25%

11/14/22

1,941,123

1,906,290

Whatabrands LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.91%

08/03/26

1,487,509

1,459,619

Wyndham Hotels & Resorts, Inc.

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

05/30/25

490,000

473,730

Yum! Brands,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/03/25

939,522

922,785

20,822,966

Consumer Products — 0.23%

Hoffmaster Group, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

5.00%

11/21/23

470,198

400,844

Strategic Partners Acquisition Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

06/30/23

249,361

245,620

646,464

Electric — 1.54%

Hamilton Projects Acquiror, LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

5.75%

06/17/27

748,125

747,657

Linden LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

09/24/27

1,750,000

1,746,937

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Electric (continued)

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.90%

12/31/25

1,510,066

1,490,344

1.90%

12/31/25

363,903

359,150

4,344,088

Energy — 1.77%

Centurion Pipeline Co., LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.40%

09/29/25

982,500

969,605

EG Finco Ltd., Term Loan B,

1st Lien (United Kingdom)

(LIBOR plus 4.00%)

4.22%

02/07/25

^2,3

568,073

558,575

Epic Y-Grade Services,

Term Loan B, 1st Lien

(LIBOR plus 6.00%)

7.00%

06/30/27

252,500

207,050

Glass Mountain Pipeline Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

12/23/24

^2,4,5

138,395

75,425

KAMC Holdings, Inc.

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.26%

08/14/26

^2,4,5

742,500

668,948

Pike Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

07/24/26

1,000,000

994,790

Stonepeak Lonestar Holdings, LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

4.77%

10/19/26

619,013

611,666

Traverse Midstream Partners LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

09/27/24

980,000

907,113

4,993,172

Entertainment — 1.56%

CineWorld Finance US, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.52%

02/28/25

1,762,934

1,186,181

Hornblower Sub LLC,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

5.50%

04/28/25

1,500,000

1,263,750

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Entertainment (continued)

NAI Entertainment Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

05/08/25

647,500

595,700

Nascar Holdings, Inc.

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.89%

10/19/26

938,617

918,869

SMG U.S. Midco 2, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.50%)

2.65%

01/23/25

142,189

124,593

2.76%

01/23/25

345,376

302,636

4,391,729

Finance — 3.95%

Auris Lux III SA,

Term Loan B, 1st Lien (Luxembourg)

(LIBOR plus 3.75%)

3.90%

02/27/26

^2,3

1,231,252

1,143,015

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

2.50%

01/15/25

789,836

769,925

Blackstone CQP Holdco LP,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.73%

09/30/24

997,475

978,024

Camelot Finance SA,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

10/30/26

992,500

975,598

CBAC Borrower LLC, Term Loan B,

1st Lien

(LIBOR plus 4.00%)

4.15%

07/08/24

237,974

209,714

Cushman & Wakefield

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

08/21/25

638,666

618,251

Delos Finance SARL,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.97%

10/06/23

1,300,000

1,273,836

First Eagle Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

2.72%

02/01/27

1,488,750

1,457,248

Pre-Paid Legal Services,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

05/01/25

1,000,000

992,500

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Finance (continued)

RPI Intermediate Finance Trust,

Term Loan B1, 1st Lien

(LIBOR plus 1.75%)

1.90%

02/11/27

165,000

164,622

Telenet Financing USD LLC,

Term Loan AR, 1st Lien

(LIBOR plus 2.00%)

2.15%

04/30/28

1,500,000

1,451,490

UPC Financing Partnership,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

3.50%

01/31/29

1,125,000

1,095,750

11,129,973

Food — 5.40%

8th Avenue Food & Provisions,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.65%

10/01/25

245,625

244,142

Agro Merchants Intermediate Holdings, LLC.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

12/06/24

1,503,693

1,484,897

CH Guenther Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

03/31/25

480,045

463,243

Chobani LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

10/10/23

962,556

954,735

Flora Food Group,

Term Loan B

(LIBOR plus 3.00%)

3.37%

07/02/25

977,500

954,895

Hostess Brands LLC,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

3.00%

08/03/25

2,440,633

2,407,075

Houston Foods, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.90%

07/20/25

1,270,750

1,224,418

JBS USA LUX SA,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 2.00%)

2.15%

05/01/26

^2,3

1,231,250

1,201,854

Matterhorn Merger Sub LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.15%

05/23/25

487,538

477,585

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Food (continued)

Shearer’s Foods LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

09/14/27

2,065,290

2,054,974

Snacking Investments Bidco,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

12/18/26

497,500

495,637

U.S. Foods, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.00%)

2.15%

09/13/26

1,980,000

1,901,424

Utz Quality Foods LLC,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.65%

11/21/24

1,348,941

1,341,360

15,206,239

Gaming — 3.64%

Affinity Gaming LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

4.25%

07/03/23

460,137

416,137

Caesars Resort Collection LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

4.65%

07/21/25

666,667

647,130

4.77%

07/21/25

333,333

323,565

Caesars Resort Collection LLC,

Term Loan, 1st Lien

(LIBOR plus 2.75%)

2.90%

12/23/24

1,458,750

1,370,802

Churchill Downs, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.15%

12/27/24

2,018,136

1,961,376

Gateway Casinos & Entertainment Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

03/13/25

991,177

902,466

Golden Entertainment, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.75%

10/21/24

1,447,500

1,395,933

Golden Nugget

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.25%

10/04/23

501,431

450,443

GVC Holdings PLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

3.25%

03/29/24

1,462,500

1,444,219

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Gaming (continued)

Penn National Gaming, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

3.00%

10/15/25

1,380,413

1,345,902

10,257,973

Health Care — 13.01%

Acadia Healthcare Co., Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.50%)

2.65%

02/11/22

906,535

900,869

Acadia Healthcare Co., Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 2.50%)

2.65%

02/16/23

274,923

273,205

Admi Corp.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

04/30/25

977,638

942,565

Aldevron LLC,

Term Loan B

(LIBOR plus 4.25%)

5.25%

10/12/26

995,000

997,070

Alphabet Holding Co., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.65%

09/26/24

485,000

472,962

BCPE Eagle Buyer LLC,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.25%

03/18/24

1,351,727

1,280,424

Catalent Pharma Solutions, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

3.25%

05/10/26

486,266

485,050

CCS-CMGC Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.50%)

5.72%

10/01/25

306,250

286,393

5.76%

10/01/25

185,000

173,005

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

2,355,561

2,309,745

Civitas Solutions, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

4.40%

03/09/26

471,364

465,668

4.40%

03/09/26

21,516

21,256

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Da Vinci Purchaser Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.24%

01/08/27

1,745,625

1,729,626

Dentalcorp Health Services,

Term Loan, 1st Lien (Australia)

(LIBOR plus 3.75%)

4.75%

06/06/25

^2,3

646,692

612,741

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

08/01/27

2,302,842

2,241,667

Emerald Topco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.76%

07/27/26

992,481

958,370

Endo Luxembourg Finance I Co. SARL,

Term Loan B, 1st Lien (Luxembourg)

(LIBOR plus 4.25%)

5.00%

04/29/24

^2,3

496,154

474,536

Femur Buyer, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

4.72%

03/05/26

634,240

577,688

Gentiva Health Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.44%

07/02/25

1,440,499

1,413,497

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.10%

11/15/27

992,500

974,124

Heartland Dental LLC,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.65%

04/30/25

248,729

229,936

Med Parentco LP,

Delayed-Draw Term Loan, 1st Lien

(LIBOR plus 4.25%)

4.40%

08/31/26

^2,7

208,803

199,332

Med Parentco LP,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

4.40%

08/31/26

1,190,055

1,136,074

Medical Solutions Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

5.50%

06/14/24

970,274

931,463

Medplast Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.90%

07/02/25

980,000

908,950

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

MPH Acquisition Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

3.75%

06/07/23

275,000

271,121

NMN Holdings III Corp.,

Delayed-Draw Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.65%

11/13/25

261,188

250,741

NMN Holdings III Corp.

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.65%

11/13/25

1,217,484

1,168,785

NMSC Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

6.00%

04/19/23

^2,4,5

1,165,170

1,035,055

NSM Top Holdings Corp.,

Term Loan, 1st Lien

(LIBOR plus 5.25%)

5.47%

11/16/26

992,500

956,522

Pathway Vet Alliance LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.15%

03/31/27

^2,8

1,380,318

1,361,856

Premise Health Holding Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.72%

07/10/25

1,143,701

1,105,101

Romulus Merger Sub LLC,

Term Loan, 1st Lien

(LIBOR plus 2.75%)

2.90%

02/14/25

1,952,998

1,893,803

Surgery Center Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

4.25%

09/02/24

1,214,918

1,148,602

(LIBOR plus 8.00%)

9.00%

09/03/24

223,875

227,373

Tecomet, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.68%

05/01/24

197,469

193,582

U.S. Renal Care, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

5.15%

06/26/26

990,000

967,354

UIC Merger Sub, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

4.25%

08/30/24

1,714,299

1,695,373

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

11/27/25

482,353

472,002

(LIBOR plus 3.00%)

3.15%

06/02/25

1,704,441

1,673,906

Wink Holdco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

4.00%

12/02/24

970,626

969,291

Wink Holdco, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 6.75%)

7.75%

12/01/25

250,000

251,250

36,637,933

Industrials — 10.19%

BCPE Empire Holdings, Inc.,

Delayed-Draw Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.15%

06/11/26

^2,9

162,476

158,685

BCPE Empire Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.15%

06/11/26

1,033,861

1,009,741

Berry Plastics Group, Inc.,

Term Loan Y, 1st Lien

(LIBOR plus 2.00%)

2.16%

07/01/26

2,322,927

2,260,800

Clean Harbors, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

06/30/24

1,799,648

1,799,423

Conserve Merger Sub, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.64%

08/08/25

1,960,000

1,906,100

Curie Merger Sub LLC,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

4.40%

11/04/26

995,000

991,891

Energizer Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.44%

12/17/25

563,500

557,161

Engineered Machinery Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.25%

07/19/24

494,953

488,766

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Graham Packaging Co., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

08/04/27

1,000,000

996,115

Jade Germany GMBH,

Term Loan, 1st Lien (Germany)

(LIBOR plus 5.50%)

6.50%

05/31/23

^2,3

967,500

888,489

Liqui-Box Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

02/26/27

997,500

847,875

Mauser Packaging Solutions Holdings,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.52%

04/03/24

1,014,756

956,199

Mirion Technologies, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.27%

03/06/26

992,443

988,598

Patriot Container Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

4.50%

03/20/25

1,488,550

1,462,500

Pelican Products, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

05/01/25

488,750

468,897

Plaze, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.65%

07/30/26

1,240,625

1,212,711

Road Infrastructure Investment Holdings,

Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

4.50%

06/13/23

746,114

680,210

Spectrum Holdings III Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

4.25%

01/31/25

1,419,874

1,292,441

13.25%

01/31/25

3,650

3,322

Technimark LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.90%

08/08/25

982,500

962,850

Titan Acquisition, Ltd.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

3.36%

03/28/25

495,615

469,776

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Transcendia Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

05/30/24

1,455,103

1,189,547

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

2.40%

05/30/25

495,006

468,897

TricorBraun, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

11/30/23

1,422,780

1,410,330

TruGreen Limited Partnership,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.90%

03/19/26

985,000

980,371

U.S. Ecology, Inc.

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

2.65%

11/02/26

496,250

491,287

VM Consolidated, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.40%

02/28/25

1,434,872

1,407,968

WP Deluxe Merger Sub, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

4.00%

07/19/24

972,500

951,431

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

08/12/24

1,475,572

1,393,036

28,695,417

Information Technology — 11.20%

Broadcom, Inc.,

Delayed-Draw Term Loan A3

(LIBOR plus 1.13%)

1.28%

11/04/22

621,774

Buzz Merger Sub, Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

01/29/27

497,500

488,172

Castle U.S. Holding Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.97%

01/29/27

995,833

960,093

Cornerstone Ondemand, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

4.41%

04/22/27

1,000,000

999,585

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

DCert Buyer, Inc.

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.15%

10/16/26

995,000

984,896

Dell International LLC,

Term Loan B1

(LIBOR plus 2.00%)

2.75%

09/19/25

1,278,970

1,275,088

EagleView Technology Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.76%

08/14/25

988,718

958,933

GlobalLogic Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

08/01/25

429,922

419,711

Helios Software Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

4.52%

10/24/25

992,422

980,642

Imperva, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

5.00%

11/20/25

1,481,250

1,463,001

IQVIA, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.90%

01/17/25

962,521

952,597

IQVIA, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.97%

06/11/25

1,481,136

1,464,473

Logmein, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

4.91%

08/31/27

1,000,000

968,440

Microchip Technology, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.00%)

2.15%

05/29/25

284,444

284,088

Navicure, Inc.,

Term Loan B

(LIBOR plus 4.00%)

4.15%

10/22/26

1,492,500

1,462,344

Navicure, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

10/22/26

500,000

496,875

Oberthur Technologies Group SAS,

Term Loan B1, 1st Lien

(LIBOR plus 3.75%)

3.97%

01/10/24

457,756

441,950

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Perspecta, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

05/30/25

488,750

481,497

Project Alpha Intermediate Holdings Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

04/26/24

967,500

953,592

RSA Security LLC

Term Loan, 1st Lien

(LIBOR plus 5.00%)

6.00%

09/01/27

1,000,000

997,500

Scientific Games International, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.75%)

2.90%

08/14/24

384,980

363,217

3.61%

08/14/24

1,573,703

1,484,742

Sophia LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

4.25%

09/30/22

2,095,603

2,089,494

Sophia LP,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.75%

10/06/27

2,000,000

1,990,000

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

875,584

850,411

SS&C Technologies, Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

615,159

597,473

SS&C Technologies, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

1,978,297

1,922,519

Surf Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.75%

03/05/27

1,296,750

1,272,203

TierPoint LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

05/06/24

474,752

463,662

VT Topco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.40%

08/01/25

980,555

936,430

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Web.Com Group, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.90%

10/10/25

1,000,000

970,625

Zotec Partners LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.75%

02/14/24

951,469

945,522

31,541,549

Insurance — 0.46%

Kwor Acquisition, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.15%

06/03/26

^2,10

1,348,641

1,294,695

Materials — 2.65%

Archroma Finance SARL,

Term Loan B2, 1st Lien (Switzerland)

(LIBOR plus 4.25%)

5.48%

08/12/24

^2,3

727,500

692,944

Cyanco Intermediate Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.65%

03/16/25

448,674

443,626

DCG Acquisition Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

4.65%

09/30/26

1,486,679

1,438,362

Israel Chemicals Ltd.,

Term Loan, 1st Lien (Israel)

(LIBOR plus 3.00%)

3.16%

03/28/25

^2,3

994,899

972,200

Nouryon USA LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

10/01/25

959,654

932,237

Polar U.S. Borrower LLC,

Term Loan, 1st Lien

(LIBOR plus 4.75%)

4.90%

10/15/25

589,500

568,867

SCIH Salt Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

03/16/27

498,750

499,219

WR Grace & Co.,

Term Loan B1, 1st Lien

(LIBOR plus 1.75%)

1.97%

04/03/25

722,105

707,753

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Materials (continued)

WR Grace & Co.,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.97%

04/03/25

1,237,895

1,213,292

7,468,500

Real Estate Investment Trust (REIT) — 0.83%

SBA Senior Finance II LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/11/25

997,025

973,570

VICI Properties 1 LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

12/20/24

1,409,091

1,365,458

2,339,028

Retail — 0.80%

BC ULC/New Red Finance, Inc.,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 1.75%)

1.90%

11/19/26

^2,3

1,143,129

1,098,593

BJ’s Wholesale Club, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.15%

02/03/24

808,351

795,765

Go Wireless, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 6.50%)

7.50%

12/22/24

359,375

343,832

2,238,190

Services — 3.54%

Aramark Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/11/25

1,865,325

1,790,712

Ensemble RCM LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.01%

08/01/26

497,487

492,925

GFL Environmental, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

4.00%

05/30/25

557,092

555,491

Guidehouse LLP,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

4.65%

05/01/25

494,937

491,227

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Services (continued)

Lakeland Tours LLC,

Term Loan, 1st Lien

(LIBOR plus 12.00%)

13.25%

01/30/21

^2,4,5

180,810

179,002

Lakeland Tours LLC

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

5.25%

12/16/24

^2,4,5

1,468,706

605,841

PowerTeam Services LLC,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

4.25%

03/06/25

150,000

146,532

PowerTeam Services LLC,

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

8.25%

03/06/26

^2,4,5

750,000

670,001

Prime Security Services Borrower LLC,

Term Loan B

(LIBOR plus 3.25%)

4.25%

09/23/26

620,870

616,213

SRS Distribution, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

4.40%

05/23/25

496,250

490,047

TKC Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

02/01/23

1,387,857

1,306,757

University Support Services LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.40%

07/17/25

1,869,273

1,834,224

3.41%

07/17/25

47,349

46,461

Zelis Payments Buyer, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

4.90%

09/30/26

746,241

741,976

9,967,409

Transportation — 2.23%

American Airlines, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

01/29/27

273,833

202,095

Genesee & Wyoming, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.00%)

2.22%

12/30/26

2,487,500

2,453,297

Kestrel Bidco, Inc.

Term Loan, 1st Lien

(LIBOR plus 3.00%)

4.00%

12/11/26

496,250

432,536



Issues	Maturity Date			Principal Amount			Value
BANK LOANS (continued)
Transportation (continued)
PODS LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
3.75%		12/06/24	²		$	1,443,742		$	1,417,278
Skymiles IP, Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.75%		09/16/27	²			500,000			504,287
United Air,
Term Loan B, 1st Lien
(LIBOR plus 5.25%)
6.25%		06/20/27	²			1,250,000			1,272,487

									6,281,980

Total Bank Loans
(Cost $241,213,697)									236,875,096

CORPORATES — 9.07%*
Banking — 0.48%
Bank of America Corp.
3.00%		12/20/23	¹¹			1,300,000			1,365,617

Communications — 1.25%
T-Mobile USA, Inc.
3.88%		04/15/30	¹²			1,280,000			1,453,914
6.00%		03/01/23				1,000,000			1,003,850
Walt Disney Co. (The)
2.65%		01/13/31				990,000			1,069,740

									3,527,504

Consumer Discretionary — 0.26%
Anheuser-Busch InBev Worldwide, Inc.
3.50%		06/01/30				640,000			729,925

Energy — 0.18%
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		09/01/27				500,000			496,655

Finance — 2.04%
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.55%)
0.80%		08/25/36	²			1,800,000			1,387,159
Ford Motor Credit Co. LLC
(LIBOR USD 3-Month plus 0.81%)
1.04%		04/05/21	²			2,500,000			2,464,970
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³			75,000			78,765
Goldman Sachs Group, Inc. (The)
3.27%		09/29/25	¹¹			980,000			1,061,180



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^3,12		$	750,000		$	743,638

									5,735,712

Gaming — 0.15%
Golden Nugget, Inc.
6.75%		10/15/24	¹²			500,000			420,000

Health Care — 2.01%
Centene Corp.
3.00%		10/15/30				1,400,000			1,430,030
Cigna Corp.
(LIBOR USD 3-Month plus 0.89%)
1.17%		07/15/23	²			2,700,000			2,729,389
CVS Health Corp.
(LIBOR USD 3-Month plus 0.72%)
0.96%		03/09/21	²			1,000,000			1,002,610
Tenet Healthcare Corp.
4.63%		09/01/24	¹²			500,000			503,839

									5,665,868

Industrials — 1.38%
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
0.76%		08/15/36	²			850,000			579,787
PowerTeam Services LLC
9.03%		12/04/25	¹²			1,130,000			1,196,820
Sealed Air Corp.
5.25%		04/01/23	¹²			1,500,000			1,587,967
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^3,12			250,000			248,888
Trident TPI Holdings, Inc.
9.25%		08/01/24	¹²			250,000			265,625

									3,879,087

Information Technology — 0.29%
NCR Corp.
8.13%		04/15/25	¹²			750,000			830,464

Real Estate Investment Trust (REIT) — 0.48%
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
1.26%		08/16/21	²			1,350,000			1,340,653

Issues

Maturity
Date

Principal
Amount

Value

CORPORATES (continued)

Retail — 0.36%

FirstCash, Inc.

4.63%

09/01/28

¹²

1,000,000

1,020,625

Services — 0.19%

Emory University, Series 2020

2.14%

09/01/30

500,000

524,661

Total Corporates

(Cost $24,930,577)

25,536,771

MUNICIPAL BONDS — 0.00%*

California — 0.00%

State of California, General Obligation

Bonds. Build America Bonds, School

Improvements

7.95%

03/01/36

Total Municipal Bonds

(Cost $42)

Total Bonds – 93.17%

(Cost $266,144,316)

262,411,906

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 9.31%

Money Market Funds — 5.05%

Dreyfus Government Cash Management

Fund

2.33%¹³

13,989,000

Fidelity Investments Money Market Funds -

Government Portfolio

1.00%¹³

89,647

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

2.00%¹³

131,000

14,209,647

U.S. Treasury Bills — 4.26%

U.S. Treasury Bills

0.14%¹⁴

10/27/20

5,000,000

4,999,756

0.16%¹⁴

11/03/20

1,000,000

999,924

0.16%¹⁴

11/27/20

5,000,000

4,999,267

0.17%¹⁴

12/03/20

1,000,000

999,851

11,998,798

Total Short-Term Investments

(Cost $26,207,452)

26,208,445



	Value
Total Investments – 102.48%
(Cost $292,351,768)	$	288,620,351


Net unrealized depreciation on unfunded commitments (0.00)%		(4,854	)

Liabilities in Excess of Other
Assets – (2.48)%		(6,984,203	)


Net Assets – 100.00%	$	281,631,294

¹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $43,739, at an interest rate of 3.00% and a maturity of September 25, 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, 2020.

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 $3,307,509, which is 1.17% of total net assets.

⁶	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $54,989, at an interest rate of 3.60% and a maturity of July 14, 2021. The investment is not accruing an unused commitment fee.

⁷	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $85,557, at an interest rate of 4.25% and a maturity of August 31, 2026. The investment is accruing an unused commitment fee of 1.00% per annum.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $111,238, at an interest rate of 4.00% and a maturity of March 31, 2027. The investment is accruing an unused commitment fee of 2.50% per annum.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $40,952, at an interest rate of 4.00% and a maturity of June 11, 2026. The investment is not accruing an unused commitment fee.

¹⁰	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $131,108, at an interest rate of 4.00% and a maturity of June 03, 2026. The investment is accruing an unused commitment fee of 0.75% per annum.

¹¹	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.

¹²	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.

¹³	Represents the current yield as of September 30, 2020.

¹⁴	Represents annualized yield at date of purchase.

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

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(USD): U.S. dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 94.57%

BANK LOANS — 13.45%*

Communications — 4.19%

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

03/15/27

923,025

888,827

Colorado Buyer, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

4.00%

05/01/24

^1,2,3

899,775

780,631

Colorado Buyer, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

8.25%

05/01/25

^1,2,3

800,000

424,560

CommScope, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.40%

04/04/26

990,000

967,463

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

07/17/25

7,569,535

7,343,092

Frontier Communications Corp.,

Term Loan B, 1st Lien

(PRIME plus 2.75%)

6.00%

06/17/24

4,975,614

4,909,961

GTT Communications, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.97%

05/31/25

1,435,316

1,244,061

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

8.63%

01/02/24

^1,4

1,329,300

1,347,857

Intelsat Jackson Holdings,

Delayed-Draw Term Loan, 1st Lien

(Luxembourg)

(LIBOR plus 5.50%)

6.50%

07/14/21

^1,4,5

143,269

146,193

MacDonald Dettwiler & Associates Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

10/05/24

1,890,818

1,824,053

NEP/NCP Holdco, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 7.00%)

7.15%

10/19/26

875,000

701,457

Securus Technologies Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

5.50%

11/01/24

2,027,909

1,688,873

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

T-Mobile USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

04/01/27

2,344,125

2,345,168

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

03/09/27

2,313,375

2,250,174

26,862,370

Consumer Discretionary — 1.28%

CityCenter Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

3.00%

04/18/24

2,134,591

2,054,010

Landry’s Finance Acquisition Co.,

Term Loan, 1st Lien

(LIBOR plus 12.00%)

13.00%

10/06/23

693,375

804,314

Landry’s

Term Loan, 1st Lien

(LIBOR plus 12.00%)

13.00%

10/06/23

56,625

64,553

Reynolds Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

02/06/23

5,359,859

5,307,279

8,230,156

Entertainment — 0.34%

CineWorld Finance US, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.52%

02/28/25

3,227,010

2,171,278

Finance — 0.16%

Auris Lux III SA,

Term Loan B, 1st Lien (Luxembourg)

(LIBOR plus 3.75%)

3.90%

02/27/26

^1,4

1,090,671

1,012,508

Food — 0.55%

Houston Foods, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.90%

07/20/25

1,715,612

1,653,061

JBS USA LUX SA,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 2.00%)

2.15%

05/01/26

^1,4

1,897,482

1,852,180

3,505,241

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Gaming — 0.33%

Churchill Downs, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.15%

12/27/24

2,206,637

2,144,575

Health Care — 2.19%

Acadia Healthcare Co., Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 2.50%)

2.65%

02/16/23

1,655,352

1,645,006

Alphabet Holding Co., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.65%

09/26/24

988,317

963,787

BCPE Eagle Buyer LLC,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.25%

03/18/24

767,126

726,660

BCPE Eagle Buyer LLC,

Term Loan, 2nd Lien

(LIBOR plus 8.00%)

9.00%

03/13/25

^1,2,3

465,000

428,963

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

3,279,492

3,215,705

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

08/01/27

3,764,825

3,664,812

Endo Luxembourg Finance I Co. SARL,

Term Loan B, 1st Lien (Luxembourg)

(LIBOR plus 4.25%)

5.00%

04/29/24

^1,4

930,288

889,756

Gentiva Health Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.44%

07/02/25

1,682,860

1,651,315

Wink Holdco, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 6.75%)

7.75%

12/01/25

850,000

854,250

14,040,254

Industrials — 1.90%

Berry Plastics Group, Inc.,

Term Loan Y, 1st Lien

(LIBOR plus 2.00%)

2.16%

07/01/26

3,339,545

3,250,229

Graham Packaging Co., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

08/04/27

1,820,000

1,812,929

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Liqui-Box Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

02/26/27

1,496,250

1,271,813

Mauser Packaging Solutions Holdings,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.52%

04/03/24

2,479,285

2,336,218

PLZ Aeroscience Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

5.25%

08/03/26

1,785,000

1,762,687

Titan Acquisition, Ltd.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

3.36%

03/28/25

926,800

878,481

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

2.40%

05/30/25

932,950

883,742

12,196,099

Information Technology — 1.56%

IQVIA, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.97%

06/11/25

5,004,699

4,948,396

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

2,052,016

1,993,021

SS&C Technologies, Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

1,441,684

1,400,236

TierPoint LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

05/06/24

1,726,648

1,686,314

10,027,967

Real Estate Investment Trust (REIT) — 0.50%

SBA Senior Finance II LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/11/25

922,919

901,207

VICI Properties 1 LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

12/20/24

2,369,000

2,295,644

3,196,851


Issues	Maturity Date			Principal Amount			Value
BANK LOANS (continued)
Retail — 0.23%
Michaels Stores, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
5.00%		09/16/27	¹		$	1,500,000		$	1,466,250

Services — 0.22%
PowerTeam Services LLC,
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.25%		03/06/26	^1,2,3			1,565,000			1,398,069

Total Bank Loans
(Cost $87,501,255)									86,251,618


CORPORATES — 77.29%*
Banking — 0.15%
Wells Fargo & Co. (MTN)
5.01%		04/04/51	⁶			715,000			983,727

Communications — 18.29%
AT&T, Inc.
3.30%		02/01/52				3,250,000			3,101,067
4.50%		05/15/35				2,900,000			3,422,366
Block Communications, Inc.
4.88%		03/01/28	⁷			2,117,000			2,172,571
CCO Holdings LLC/CCO Holdings
Capital Corp.
4.25%		02/01/31	⁷			3,000,000			3,103,125
4.50%		08/15/30	⁷			720,000			757,836
4.50%		05/01/32	⁷			5,782,000			6,042,411
5.38%		05/01/25	⁷			2,744,000			2,831,808
5.38%		06/01/29	⁷			700,000			759,423
CenturyLink, Inc.
4.00%		02/15/27	⁷			4,956,000			5,040,705
CSC Holdings LLC
3.38%		02/15/31	⁷			3,275,000			3,175,437
6.50%		02/01/29	⁷			891,000			989,567
Diamond Sports Group LLC/Diamond
Sports Finance Co.
5.38%		08/15/26	⁷			990,000			702,028
DISH DBS Corp.
5.88%		11/15/24				371,000			381,898
7.38%		07/01/28				1,814,000			1,868,520
7.75%		07/01/26				373,000			411,233
DISH Network Corp.
3.38%		08/15/26				3,421,000			3,149,019
EW Scripps Co. (The)
5.13%		05/15/25	⁷			1,042,000			1,023,765
Frontier Communications Corp.
8.00%		04/01/27	⁷			718,000			722,042
Intelsat Jackson Holdings SA (Luxembourg)⁸
5.50%		08/01/23	^4,9			4,750,000			2,992,500


Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Communications (continued)
8.50%		10/15/24	^4,7,9		$	1,353,000		$	879,450
9.75%		07/15/25	^4,7,9			1,446,000			950,697
Intelsat Luxembourg SA (Luxembourg)⁸
8.13%		06/01/23	^4,9			2,545,000			127,250
Lamar Media Corp.
3.75%		02/15/28	⁷			1,745,000			1,745,261
Level 3 Financing, Inc.
3.63%		01/15/29	⁷			675,000			667,260
4.25%		07/01/28	⁷			8,225,000			8,353,276
Midcontinent Communications/Midcontinent
Finance Corp.
5.38%		08/15/27	⁷			1,631,000			1,681,659
National CineMedia LLC
5.88%		04/15/28	⁷			2,697,000			2,262,398
Nexstar Broadcasting, Inc.
5.63%		07/15/27	⁷			2,296,000			2,423,152
Outfront Media Capital LLC/Outfront Media
Capital Corp.
4.63%		03/15/30	⁷			445,000			428,869
Qwest Corp.
6.75%		12/01/21				6,582,000			6,955,554
7.25%		09/15/25				1,500,000			1,732,515
Scripps Escrow, Inc.
5.88%		07/15/27	⁷			4,579,000			4,453,077
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	⁷			3,098,000			3,287,443
Sirius XM Radio, Inc.
5.50%		07/01/29	⁷			1,362,000			1,463,397
Sprint Corp.
7.88%		09/15/23				8,491,000			9,769,957
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
5.15%		03/20/28	⁷			4,154,000			4,904,316
T-Mobile USA, Inc.
3.30%		02/15/51	⁷			2,125,000			2,108,517
3.88%		04/15/30	⁷			9,330,000			10,597,667
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	^4,7			5,475,000			5,636,424
5.50%		05/15/29	^4,7			3,915,000			4,208,782


									117,284,242

Consumer Discretionary — 2.18%
Anheuser-Busch InBev Worldwide, Inc.
4.60%		06/01/60				1,040,000			1,262,959
Bacardi Ltd. (Bermuda)
4.45%		05/15/25	^4,7			675,000			754,711
4.50%		01/15/21	^4,7			899,000			900,133
4.70%		05/15/28	^4,7			1,338,000			1,556,897
5.30%		05/15/48	^4,7			1,342,000			1,687,380


Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Consumer Discretionary (continued)
BAT Capital Corp.
5.28%		04/02/50			$	2,010,000		$	2,373,578
Edgewell Personal Care Co.
5.50%		06/01/28	⁷			2,685,000			2,832,522
Live Nation Entertainment, Inc.
6.50%		05/15/27	⁷			900,000			972,468
Wyndham Hotels & Resorts, Inc.
4.38%		08/15/28	⁷			1,660,000			1,613,728


									13,954,376

Consumer Products — 1.10%
Newell Brands, Inc.
4.35%		04/01/23				1,325,000			1,386,652
4.88%		06/01/25				1,800,000			1,950,750
Spectrum Brands, Inc.
5.00%		10/01/29	⁷			3,587,000			3,740,524


									7,077,926

Electric — 0.01%
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20	^2,3			43,170			43,826

Energy — 9.77%
Antero Resources Corp.
5.00%		03/01/25				5,015,000			3,143,778
Apache Corp.
4.88%		11/15/27				979,000			927,151
Archrock Partners LP/Archrock Partners
Finance Corp.
6.25%		04/01/28	⁷			4,207,000			3,975,615
Cheniere Energy Partners LP
4.50%		10/01/29				1,349,000			1,384,978
DCP Midstream Operating LP
5.60%		04/01/44				754,000			693,377
Devon Energy Corp.
5.00%		06/15/45				1,037,000			987,979
Endeavor Energy Resources LP/EER
Finance, Inc.
5.75%		01/30/28	⁷			2,681,000			2,699,432
Energy Transfer Operating LP
6.25%		04/15/49				800,000			829,034
Energy Transfer Operating LP, Series B
6.63%		02/15/69	⁶			3,015,000			2,054,557
EQT Corp.
3.90%		10/01/27				2,058,000			1,898,505
Hess Corp.
5.60%		02/15/41				840,000			915,052


Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
Occidental Petroleum Corp.
3.50%		08/15/29			$	4,215,000		$	3,236,277
4.40%		08/15/49				5,900,000			4,146,700
5.88%		09/01/25				4,975,000			4,568,717
Parsley Energy LLC/Parsley Finance Corp.
5.63%		10/15/27	⁷			700,000			700,000
Petroleos Mexicanos (Mexico)
6.75%		09/21/47	⁴			524,000			400,336
7.69%		01/23/50	^4,7			425,000			357,319
Rattler Midstream LP
5.63%		07/15/25	⁷			666,000			672,660
Rockies Express Pipeline LLC
6.88%		04/15/40	⁷			2,835,000			2,966,119
SM Energy Co.
5.63%		06/01/25				739,000			344,989
6.63%		01/15/27				910,000			400,400
6.75%		09/15/26				1,115,000			500,144
Sunoco Logistics Partners Operations LP
5.35%		05/15/45				820,000			768,777
5.40%		10/01/47				500,000			472,090
Sunoco LP/Sunoco Finance Corp.
5.88%		03/15/28				3,165,000			3,228,300
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
5.50%		03/01/30	⁷			1,300,000			1,297,153
6.88%		01/15/29				2,250,000			2,415,738
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26				3,348,000			3,473,550
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^4,7			3,539,900			3,275,115
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^4,7			1,253,460			1,127,111
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^4,7			2,211,950			1,985,225
Transocean Sentry Ltd. (Cayman Islands)
5.38%		05/15/23	^4,7			1,500,000			1,012,500
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26				2,823,000			2,803,592
6.88%		09/01/27				2,887,000			2,867,686
Valaris PLC (United Kingdom)⁸
7.75%		02/01/26	^4,9			2,958,000			164,627


									62,694,583


Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Entertainment — 1.04%
Banijay Entertainment SASU (France)
5.38%		03/01/25	^4,7		$	3,252,000		$	3,289,525
Cinemark USA, Inc.
8.75%		05/01/25	⁷			1,590,000			1,692,356
Live Nation Entertainment, Inc.
4.75%		10/15/27	⁷			1,766,000			1,656,729


									6,638,610

Finance — 3.31%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
3.50%		01/15/25	⁴			450,000			438,650
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	^4,7			5,445,000			5,439,297
Ford Motor Credit Co. LLC
2.98%		08/03/22				1,805,000			1,782,437
3.10%		05/04/23				2,500,000			2,447,500
3.20%		01/15/21				2,761,000			2,760,344
3.34%		03/18/21				1,257,000			1,257,943
3.34%		03/28/22				950,000			947,448
4.27%		01/09/27				5,789,000			5,690,442
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	⁴			466,000			489,393


									21,253,454

Food — 5.17%
JBS USA LUX SA/JBS USA
Food Co./JBS USA Finance, Inc. (Canada)
5.50%		01/15/30	^4,7			4,585,000			4,996,366
Kraft Heinz Foods Co.
4.63%		01/30/29				4,325,000			4,826,138
4.63%		10/01/39	⁷			2,991,000			3,174,617
5.00%		06/04/42				945,000			1,036,297
6.88%		01/26/39				975,000			1,312,240
Lamb Weston Holdings, Inc.
4.88%		05/15/28	⁷			30,000			32,456
Nathan’s Famous, Inc.
6.63%		11/01/25	⁷			696,000			720,959
Pilgrim’s Pride Corp.
5.88%		09/30/27	⁷			5,938,000			6,175,945
Post Holdings, Inc.
4.63%		04/15/30	⁷			2,779,000			2,862,370
5.00%		08/15/26	⁷			1,500,000			1,540,103
5.50%		12/15/29	⁷			910,000			974,860
5.63%		01/15/28	⁷			2,600,000			2,768,584


Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Food (continued)
Smithfield Foods, Inc.
2.65%		10/03/21	⁷		$	460,000		$	463,262
5.20%		04/01/29	⁷			1,950,000			2,283,286


									33,167,483

Gaming — 1.62%
Caesars Entertainment, Inc.
6.25%		07/01/25	⁷			5,350,000			5,599,189
Golden Nugget, Inc.
6.75%		10/15/24	⁷			2,550,000			2,142,000
Wynn Resorts Finance LLC/
Wynn Resorts Capital Corp.
5.13%		10/01/29	⁷			1,305,000			1,244,644
7.75%		04/15/25	⁷			1,335,000			1,417,169


									10,403,002

Health Care — 11.91%
Bausch Health Cos., Inc. (Canada)
5.75%		08/15/27	^4,7			1,700,000			1,812,625
Catalent Pharma Solutions, Inc.
5.00%		07/15/27	⁷			1,239,000			1,290,654
Centene Corp.
3.00%		10/15/30				4,500,000			4,596,525
3.38%		02/15/30				3,170,000			3,288,875
4.63%		12/15/29				7,170,000			7,743,277
Elanco Animal Health, Inc.
5.27%		08/28/23				4,153,000			4,461,879
Emergent BioSolutions, Inc.
3.88%		08/15/28	⁷			5,100,000			5,132,793
Encompass Health Corp.
4.50%		02/01/28				1,000,000			1,010,000
4.63%		04/01/31				1,235,000			1,235,000
4.75%		02/01/30				7,455,000			7,575,995
Endo DAC/Endo Finance LLC/Endo Finco,
Inc. (Ireland)
6.00%		06/30/28	^4,7			741,000			548,340
9.50%		07/31/27	^4,7			542,000			567,421
HCA, Inc.
3.50%		09/01/30				7,890,000			8,047,807
5.25%		06/15/49				1,450,000			1,779,266
Hill-Rom Holdings, Inc.
4.38%		09/15/27	⁷			1,160,000			1,203,949
Hologic, Inc.
3.25%		02/15/29	⁷			1,000,000			1,008,125
Molina Healthcare, Inc.
4.38%		06/15/28	⁷			7,080,000			7,227,216
Par Pharmaceutical, Inc.
7.50%		04/01/27	⁷			244,000			256,273
Teleflex, Inc.
4.25%		06/01/28	⁷			3,900,000			4,041,375


Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
Tenet Healthcare Corp.
4.63%		07/15/24			$	3,715,000		$	3,737,290
4.63%		09/01/24	⁷			2,307,000			2,324,712
4.63%		06/15/28	⁷			2,025,000			2,048,389
4.88%		01/01/26	⁷			4,669,000			4,759,579
5.13%		11/01/27	⁷			675,000			695,047


									76,392,412

Industrials — 10.02%
Ardagh Packaging Finance PLC/Ardagh
Holdings USA, Inc. (Ireland)
4.13%		08/15/26	^4,7			11,587,000			11,775,289
Ball Corp.
4.00%		11/15/23				3,960,000			4,218,390
4.88%		03/15/26				3,895,000			4,352,663
5.25%		07/01/25				1,254,000			1,421,785
Bombardier, Inc. (Canada)
5.75%		03/15/22	^4,7			1,263,000			1,225,505
6.00%		10/15/22	^4,7			410,000			381,300
7.88%		04/15/27	^4,7			1,040,000			772,154
BWX Technologies, Inc.
4.13%		06/30/28	⁷			2,147,000			2,211,007
Clean Harbors, Inc.
4.88%		07/15/27	⁷			2,152,000			2,236,337
5.13%		07/15/29	⁷			4,538,000			4,929,403
Energizer Holdings, Inc.
4.75%		06/15/28	⁷			2,525,000			2,619,687
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
0.76%		08/15/36	¹			1,300,000			886,732
Graham Packaging Co., Inc.
7.13%		08/15/28	⁷			3,390,000			3,531,524
Graphic Packaging International LLC
3.50%		03/15/28	⁷			5,185,000			5,190,260
4.75%		07/15/27	⁷			2,571,000			2,815,245
4.88%		11/15/22				566,000			589,922
PowerTeam Services LLC
9.03%		12/04/25	⁷			2,259,000			2,392,582
Sealed Air Corp.
4.00%		12/01/27	⁷			815,000			852,694
4.88%		12/01/22	⁷			1,245,000			1,301,818
5.50%		09/15/25	⁷			4,898,000			5,465,273
Silgan Holdings, Inc.
4.13%		02/01/28				745,000			763,625
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^4,7			2,195,000			2,185,232
TransDigm, Inc.
8.00%		12/15/25	⁷			1,120,000			1,219,120


Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Industrials (continued)
Trident TPI Holdings, Inc.
9.25%		08/01/24	⁷		$	875,000		$	929,688


									64,267,235

Information Technology — 1.45%
Booz Allen Hamilton, Inc.
3.88%		09/01/28	⁷			1,685,000			1,732,896
MSCI, Inc.
3.63%		09/01/30	⁷			870,000			893,925
NCR Corp.
5.25%		10/01/30	⁷			1,717,000			1,720,219
8.13%		04/15/25	⁷			2,834,000			3,138,048
Science Applications International Corp.
4.88%		04/01/28	⁷			1,760,000			1,795,470


									9,280,558

Insurance — 0.36%
New York Life Insurance Co.
3.75%		05/15/50	⁷			2,045,000			2,316,203

Materials — 0.75%
Clearwater Paper Corp.
4.75%		08/15/28	⁷			4,772,000			4,799,474

Real Estate Investment Trust (REIT) — 2.95%
CyrusOne LP/CyrusOne Finance Corp.
3.45%		11/15/29				6,128,000			6,654,697
GLP Capital LP/GLP Financing II, Inc.
5.75%		06/01/28				4,417,000			5,055,676
Iron Mountain, Inc.
5.25%		07/15/30	⁷			3,227,000			3,370,198
MGM Growth Properties Operating
Partnership LP/MGP Finance Co.-Issuer, Inc.
4.50%		01/15/28				1,410,000			1,441,457
4.63%		06/15/25	⁷			2,369,000			2,419,092


									18,941,120

Retail — 0.66%
FirstCash, Inc.
4.63%		09/01/28	⁷			4,160,000			4,245,800

Services — 4.46%
Gartner, Inc.
4.50%		07/01/28	⁷			3,831,000			4,032,127
GFL Environmental, Inc. (Canada)
3.75%		08/01/25	^4,7			5,000,000			5,037,000
4.25%		06/01/25	^4,7			1,585,000			1,603,822
IHS Markit Ltd. (Bermuda)
4.75%		02/15/25	^4,7			1,420,000			1,612,353
5.00%		11/01/22	^4,7			3,071,000			3,300,614
Jaguar Holding Co. II/PPD Development LP
5.00%		06/15/28	⁷			1,790,000			1,868,153


Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Services (continued)
Prime Security Services Borrower LLC/Prime
Finance, Inc.
3.38%		08/31/27	⁷		$	1,672,000		$	1,612,032
Service Corp. International/U.S.
3.38%		08/15/30				1,690,000			1,695,140
4.63%		12/15/27				946,000			1,004,742
University of Southern California
2.81%		10/01/50				925,000			986,867
Waste Pro USA, Inc.
5.50%		02/15/26	⁷			5,753,000			5,838,691


									28,591,541

Transportation — 2.09%
American Airlines Pass-Through Trust, Series 2013-1, Class B
5.63%		01/15/21	⁷			1,588,318			1,429,486
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22				488,877			426,244
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23				5,931,683			5,694,416
Delta Air Lines, Inc./SkyMiles IP Ltd.
4.75%		10/20/28	⁷			1,657,000			1,722,888
Mileage Plus Holdings LLC/Mileage Plus
Intellectual Property Assets Ltd.
6.50%		06/20/27	⁷			1,454,000			1,516,001
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23				1,047,419			945,236
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24				1,764,245			1,658,390


									13,392,661

Total Corporates
(Cost $485,204,392)									495,728,233


MORTGAGE-BACKED — 3.38%**
Non-Agency Commercial
Mortgage-Backed — 0.31%
Morgan Stanley ABS Capital I Trust,
Series 2006-HE8, Class A2C
(LIBOR USD 1-Month plus 0.14%)
0.29%		10/25/36	¹			3,299,941			2,001,367

Non-Agency Mortgage-Backed — 3.07%
ACE Securities Corp. Home Equity Loan
Trust, Series 2006-ASP6, Class A2C
(LIBOR USD 1-Month plus 0.16%)
0.31%		12/25/36	¹			4,170,971			2,169,578

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Ajax Mortgage Loan Trust,

Series 2019-D, Class A1

(STEP-reset date 10/25/20)

2.96%

09/25/65

⁷

1,839,920

1,867,085

GSAMP Trust, Series 2005-HE4, Class M3

(LIBOR USD 1-Month plus 0.78%)

0.93%

07/25/45

2,350,000

2,323,301

GSAMP Trust, Series 2005-HE5, Class M3

(LIBOR USD 1-Month plus 0.46%)

0.61%

11/25/35

2,500,889

2,447,056

HSI Asset Securitization Corp. Trust,

Series 2006-HE1, Class 1A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

10/25/36

2,573,018

1,164,866

Lehman XS Trust, Series 2005-7N,

Class 1A1A

(LIBOR USD 1-Month plus 0.54%)

0.69%

12/25/35

973,301

912,362

Long Beach Mortgage Loan Trust,

Series 2006-10, Class 1A

(LIBOR USD 1-Month plus 0.15%)

0.30%

11/25/36

2,778,596

2,086,648

MASTR Asset-Backed Securities Trust,

Series 2006-HE2, Class A3

(LIBOR USD 1-Month plus 0.15%)

0.30%

06/25/36

3,478,797

2,000,791

Morgan Stanley ABS Capital I Trust,

Series 2007-HE1, Class A2D

(LIBOR USD 1-Month plus 0.23%)

0.38%

11/25/36

1,785,652

1,254,091

Morgan Stanley Resecuritization Trust,

Series 2014-R3, Class 2A

3.00%

07/26/48

^6,7

1,210,668

1,222,945

WaMu Asset-Backed Certificates,

Series 2007-HE2, Class 2A2

(LIBOR USD 1-Month plus 0.22%)

0.37%

02/25/37

4,793,226

2,244,057

Total Mortgage-Backed

(Cost $22,241,880)

21,694,147

MUNICIPAL BONDS — 0.45%*

California — 0.16%

Regents of the University of California

Medical Center Pooled Revenue, Taxable

Bonds, Health, Hospital and Nursing Home

Improvements, Series N

3.26%

05/15/60

960,000

1,057,824

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

Missouri — 0.17%

Health & Educational Facilities Authority of the State of Missouri, Taxable Revenue

Bonds, Washington University, University and College Improvements

3.65%

08/15/57

885,000

1,093,887

New York — 0.12%

Metropolitan Transportation Authority, Green Taxable Bonds, Transit Improvements, Series C2

5.18%

11/15/49

710,000

740,842

Total Municipal Bonds

(Cost $2,686,707)

2,892,553

Total Bonds – 94.57%

(Cost $597,634,234)

606,566,551

Issues

Shares

Value

COMMON STOCK — 0.00%

Automotive — 0.00%

Motors Liquidation Co. GUC

Trust⁸

346

484

Electric — 0.00%

Homer City Holdings

LLC^2,3,8,10

502,908

27,660

Total Common Stock

(Cost $27,171,821)

28,144

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 5.60%

Money Market Funds — 4.36%

Dreyfus Government Cash Management

Fund

2.33%¹¹

24,657,000

Fidelity Investments Money Market Funds -

Government Portfolio

1.00%¹¹

156,377

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

2.00%¹¹

3,145,000

27,958,377

U.S. Treasury Bills — 1.24%

U.S. Treasury Bills

0.13%¹²

01/21/21

7,970,000

7,967,521

Total Short-Term Investments

(Cost $35,925,253)

35,925,898


	Value
Total Investments – 100.17%
(Cost $660,731,308)	$642,520,593

Net unrealized appreciation on unfunded commitments 0.00%	3,796
Liabilities in Excess of Other
Assets – (0.17)%	(1,114,438	)

Net Assets – 100.00%	$641,406,155

¹	Floating rate security. The rate disclosed was in effect at September 30, 2020.

²	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

³	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $3,103,709, which is 0.48% of total net assets.

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 $146,194, at an interest rate of 3.60% and a maturity of July 14, 2021. The investment is not accruing an unused commitment fee.

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

⁸	Non-income producing security.

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

¹⁰	Affiliated investment.

¹¹	Represents the current yield as of September 30, 2020.

¹²	Represents annualized yield at date of purchase.

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

**	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 – 96.34%

ASSET-BACKED SECURITIES — 5.40%**

Academic Loan Funding Trust,

Series 2012-1A, Class A2

(LIBOR USD 1-Month plus 1.10%)

1.25%

12/27/44

^1,2

667,993

665,505

AMMC CLO 19 Ltd., Series 2016-19A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.42%

10/16/28

^1,2,3

920,000

912,884

Barings CLO Ltd., Series 2013-IA,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

1.07%

01/20/28

^1,2,3

1,231,855

1,221,077

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.35%

07/20/28

^1,2,3

50,000

49,688

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

0.70%

01/25/35

^1,2

334,116

328,430

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

1.45%

02/25/35

650,000

652,739

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

1.05%

02/25/30

22,492

22,546

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

1.24%

10/27/36

1,030,000

1,026,566

CIT Education Loan Trust, Series 2007-1,

Class A

(LIBOR USD 3-Month plus 0.09%)

0.32%

03/25/42

^1,2

242,021

230,512

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH1, Class M5

(LIBOR USD 1-Month plus 0.78%)

0.93%

01/25/36

2,000,000

1,929,539

CoreVest American Finance Trust,

Series 2019-1, Class XA (IO)

2.35%

03/15/52

^2,4

5,910,503

437,029

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

1.18%

04/15/29

^1,2,3

1,785,000

1,767,525

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

0.89%

04/25/35

241,999

240,438

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%)

0.80%

08/27/46

^1,2

769,270

734,521

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

Class A2 (Barbados)

3.09%

07/17/29

^2,3

642,083

652,279

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

1.30%

05/25/34

^1,2

958,562

957,253

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

417,349

479,569

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

790,793

884,670

LCM XVIII LP, Series 19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

1.52%

07/15/27

^1,2,3

50,000

49,816

LCM XX LP, Series 20A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.04%)

1.31%

10/20/27

^1,2,3

1,700,000

1,684,908

Magnetite XVIII CLO Ltd., Series 2016-18A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.36%

11/15/28

^1,2,3

50,000

49,644

Navient Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.51%)

0.66%

06/25/31

682,778

665,423

Navient Student Loan Trust, Series 2014-3,

Class A

(LIBOR USD 1-Month plus 0.62%)

0.77%

03/25/83

1,720,876

1,665,549

Navient Student Loan Trust, Series 2014-4,

Class A

(LIBOR USD 1-Month plus 0.62%)

0.77%

03/25/83

1,566,555

1,512,429

Navient Student Loan Trust, Series 2016-2A,

Class A3

(LIBOR USD 1-Month plus 1.50%)

1.65%

06/25/65

^1,2

1,640,000

1,680,853

Nelnet Student Loan Trust, Series 2014-4A,

Class A2

(LIBOR USD 1-Month plus 0.95%)

1.10%

11/25/48

^1,2

1,370,000

1,344,349

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(LIBOR USD 3-Month plus 0.75%)

1.00%

01/29/46

54,243

53,706

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

OCP CLO Ltd., Series 2020-19A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

2.07%

07/20/31

^1,2,3

1,850,000

1,855,143

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.92%)

1.19%

10/20/27

^1,2,3

1,195,355

1,189,510

SLC 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

529,898

SLC Student Loan Trust, Series 2004-1,

Class B

(LIBOR USD 3-Month plus 0.29%)

0.57%

08/15/31

136,548

121,839

SLC Student Loan Trust, Series 2008-1,

Class A4A

(LIBOR USD 3-Month plus 1.60%)

1.85%

12/15/32

293,911

297,413

SLM Student Loan Trust, Series 2004-2,

Class B

(LIBOR USD 3-Month plus 0.47%)

0.71%

07/25/39

170,981

155,671

SLM Student Loan Trust, Series 2006-8,

Class A6

(LIBOR USD 3-Month plus 0.16%)

0.40%

01/25/41

1,025,000

974,728

SLM Student Loan Trust, Series 2008-2,

Class A3

(LIBOR USD 3-Month plus 0.75%)

0.99%

04/25/23

3,754,182

3,550,102

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

01/25/83

185,000

168,822

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

04/26/83

185,000

165,036

SLM Student Loan Trust, Series 2008-4,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

04/25/73

185,000

168,463

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/25/73

2,235,000

2,046,237

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

1.34%

07/25/23

2,004,045

1,934,800

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%)

2.09%

07/26/83

185,000

167,142

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/26/83

185,000

166,419

SLM Student Loan Trust, Series 2008-8,

Class B

(LIBOR USD 3-Month plus 2.25%)

2.49%

10/25/75

185,000

178,215

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)

1.74%

04/25/23

718,451

705,484

SLM Student Loan Trust, Series 2008-9,

Class B

(LIBOR USD 3-Month plus 2.25%)

2.49%

10/25/83

1,885,000

1,810,992

SLM Student Loan Trust, Series 2009-3,

Class A

(LIBOR USD 1-Month plus 0.75%)

0.90%

01/25/45

^1,2

3,174,942

3,102,402

SLM Student Loan Trust, Series 2011-2,

Class A2

(LIBOR USD 1-Month plus 1.20%)

1.35%

10/25/34

500,000

503,625

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

0.80%

05/26/26

639,186

625,239

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/46

491,078

562,862

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

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

1.49%

07/17/28

^1,2,3

10,000

9,959

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

Class ARR (Cayman Islands)

(LIBOR USD 3-Month plus 1.07%)

1.34%

10/20/28

^1,2,3

50,000

49,667

Total Asset-Backed Securities

(Cost $43,590,293)

42,939,115

BANK LOANS — 1.27%*

Automotive — 0.02%

Panther BF Aggregator 2 LP

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.65%

04/30/26

198,000

193,421

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications — 0.43%

CenturyLink, Inc.,

Term Loan A, 1st Lien

(LIBOR plus 2.00%)

2.15%

01/31/25

240,625

234,209

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

03/15/27

347,375

334,505

Charter Communications Operating LLC,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.90%

02/01/27

99,248

97,165

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

01/15/26

354,600

343,666

Frontier Communications Corp.,

Term Loan B, 1st Lien

(PRIME plus 2.75%)

6.00%

06/17/24

712,315

702,916

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

8.63%

01/02/24

^1,3

225,000

228,141

Intelsat Jackson Holdings,

Delayed-Draw Term Loan, 1st Lien

(Luxembourg)

(LIBOR plus 5.50%)

6.50%

07/14/21

^1,3,5

24,250

24,745

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/01/27

400,000

388,250

T-Mobile USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

04/01/27

633,413

633,694

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

03/09/27

497,500

483,908

3,471,199

Consumer Discretionary — 0.04%

Reynolds Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

02/06/23

338,003

334,687

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Electric — 0.02%

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.90%

12/31/25

111,887

110,425

1.90%

12/31/25

26,963

26,611

137,036

Finance — 0.20%

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

2.50%

01/15/25

52,744

51,414

Delos Finance SARL,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.97%

10/06/23

1,556,095

1,524,779

1,576,193

Food — 0.04%

Hostess Brands LLC,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

3.00%

08/03/25

297,744

293,650

Gaming — 0.00%

Churchill Downs, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.15%

12/27/24

53,756

52,244

Health Care — 0.19%

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

338,940

332,348

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

08/01/27

927,778

903,131

Gentiva Health Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.44%

07/02/25

29,477

28,924

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.10%

11/15/27

99,250

97,412

MPH Acquisition Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

3.75%

06/07/23

166,103

163,760

1,525,575

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials — 0.10%

Berry Plastics Group, Inc.,

Term Loan Y, 1st Lien

(LIBOR plus 2.00%)

2.16%

07/01/26

544,614

530,048

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

2.40%

05/30/25

295,750

280,151

810,199

Information Technology — 0.06%

Broadcom, Inc.,

Delayed-Draw Term Loan A3

(LIBOR plus 1.13%)

1.28%

11/04/22

310,887

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

91,763

89,125

SS&C Technologies, Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

64,470

62,616

462,628

Real Estate Investment Trust (REIT) — 0.14%

VICI Properties 1 LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

12/20/24

1,125,000

1,090,164

Services — 0.02%

GFL Environmental, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

4.00%

05/30/25

154,731

154,286

Transportation — 0.01%

American Airlines, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

01/29/27

75,000

55,352

Total Bank Loans

(Cost $9,966,132)

10,156,634

CORPORATES — 28.51%*

Automotive — 0.12%

General Motors Co.

4.88%

10/02/23

845,000

920,377

Banking — 4.09%

Bank of America Corp.

2.59%

04/29/31

⁴

720,000

763,200

3.00%

12/20/23

⁴

2,497,000

2,623,034



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp. (MTN)
2.50%		02/13/31	⁴		$	1,235,000		$	1,289,111
3.09%		10/01/25	⁴			152,000			164,057
3.56%		04/23/27	⁴			605,000			676,431
Bank of New York Mellon Corp. (The) (MTN)
2.60%		02/07/22				665,000			684,814
3.25%		09/11/24				365,000			402,178
Fifth Third Bancorp
2.55%		05/05/27				910,000			981,953
HSBC Holdings PLC (United Kingdom)
2.01%		09/22/28	^3,4			1,990,000			1,974,575
JPMorgan Chase & Co.
2.01%		03/13/26	⁴			1,945,000			2,022,258
2.52%		04/22/31	⁴			1,420,000			1,514,848
3.20%		06/15/26				715,000			794,247
3.96%		01/29/27	⁴			50,000			57,014
4.02%		12/05/24	⁴			1,820,000			1,998,639
4.49%		03/24/31	⁴			865,000			1,057,031
Lloyds Banking Group PLC
(United Kingdom)
3.87%		07/09/25	^3,4			3,020,000			3,290,956
3.90%		03/12/24	³			355,000			386,153
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		10/16/20	³			1,065,000			1,066,098
4.80%		11/15/24	^3,4			795,000			876,478
Santander UK PLC (United Kingdom)
5.00%		11/07/23	^2,3			330,000			360,924
Wells Fargo & Co. (MTN)
2.39%		06/02/28	⁴			885,000			924,726
2.57%		02/11/31	⁴			2,435,000			2,554,087
2.88%		10/30/30	⁴			3,815,000			4,093,764
3.58%		05/22/28	⁴			1,810,000			2,028,606


									32,585,182

Communications — 2.94%
AT&T, Inc.
3.88%		01/15/26				1,530,000			1,736,080
4.10%		02/15/28				50,000			57,957
4.35%		03/01/29				365,000			429,808
(LIBOR USD 3-Month plus 1.18%)
1.43%		06/12/24	¹			1,200,000			1,224,803
CCO Holdings LLC/CCO Holdings
Capital Corp.
4.50%		08/15/30	²			824,000			867,301
Charter Communications Operating LLC/
Charter Communications Operating Capital
4.91%		07/23/25				500,000			578,010
Comcast Corp.
1.95%		01/15/31				1,315,000			1,352,575



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Communications (continued)
CSC Holdings LLC
5.38%		02/01/28	²		$	65,000		$	68,819
6.50%		02/01/29	²			43,000			47,757
Fox Corp.
3.50%		04/08/30				1,500,000			1,697,911
Intelsat Jackson Holdings SA (Luxembourg)⁶
8.50%		10/15/24	^2,3,7			1,003,000			651,950
9.75%		07/15/25	^2,3,7			585,000			384,618
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	²			750,000			795,863
SES SA (Luxembourg)
3.60%		04/04/23	^2,3			1,500,000			1,548,975
Sirius XM Radio, Inc.
3.88%		08/01/22	²			219,000			221,874
Sprint Corp.
7.88%		09/15/23				65,000			74,791
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²			958,000			968,653
4.74%		03/20/25	²			780,000			845,813
5.15%		03/20/28	²			785,000			926,791
Time Warner Cable LLC
4.00%		09/01/21				50,000			51,091
T-Mobile USA, Inc.
2.55%		02/15/31	²			740,000			766,536
3.88%		04/15/30	²			1,500,000			1,703,805
4.50%		02/01/26				172,000			178,089
6.00%		03/01/23				280,000			281,078
6.00%		04/15/24				293,000			299,502
ViacomCBS, Inc.
3.70%		08/15/24				180,000			197,554
4.20%		05/19/32				1,000,000			1,142,941
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%		05/15/29	^2,3			65,000			69,878
Vodafone Group PLC (United Kingdom)
4.13%		05/30/25	³			475,000			541,703
4.38%		05/30/28	³			780,000			924,512
Walt Disney Co. (The)
2.00%		09/01/29				1,385,000			1,432,224
2.65%		01/13/31				1,200,000			1,296,654


									23,365,916

Consumer Discretionary — 0.95%
Anheuser-Busch InBev Worldwide, Inc.
3.50%		06/01/30				1,090,000			1,243,154
4.38%		04/15/38				725,000			846,777
4.75%		01/23/29				730,000			892,131



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Consumer Discretionary (continued)
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3		$	605,000		$	703,978
BAT Capital Corp.
2.73%		03/25/31				555,000			553,595
3.46%		09/06/29				770,000			821,424
4.39%		08/15/37				830,000			899,599
Reynolds American, Inc.
4.45%		06/12/25				365,000			411,167
5.70%		08/15/35				940,000			1,179,132


									7,550,957

Electric — 1.18%
AEP Texas, Inc.
3.85%		10/01/25	²			1,150,000			1,268,417
Duke Energy Corp.
2.65%		09/01/26				30,000			32,479
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²			395,000			415,120
Entergy Mississippi LLC
3.10%		07/01/23				1,435,000			1,525,375
Evergy Missouri West, Inc.
8.27%		11/15/21				1,995,000			2,152,888
Metropolitan Edison Co.
4.00%		04/15/25	²			770,000			863,323
Public Service Co. of New Mexico
3.85%		08/01/25				1,405,000			1,525,291
Southwestern Electric Power Co.
3.55%		02/15/22				955,000			986,166
Tucson Electric Power Co.
3.85%		03/15/23				595,000			632,522


									9,401,581

Energy — 2.90%
BP Capital Markets America, Inc.
3.63%		04/06/30				1,000,000			1,149,908
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	²			2,555,000			2,857,935
Canadian Natural Resources Ltd.
(Canada)
3.85%		06/01/27	³			8,000			8,631
Cheniere Energy Partners LP
5.25%		10/01/25				65,000			66,560
Concho Resources, Inc.
3.75%		10/01/27				30,000			32,425
Energy Transfer Operating LP
3.75%		05/15/30				385,000			373,885
4.95%		06/15/28				1,000,000			1,060,281
5.25%		04/15/29				1,270,000			1,372,750
5.50%		06/01/27				531,000			585,473



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
EQT Corp.
3.90%		10/01/27			$	170,000		$	156,825
Exxon Mobil Corp.
2.61%		10/15/30				2,850,000			3,084,125
3.48%		03/19/30				195,000			225,394
Petroleos Mexicanos (Mexico)
2.00%		12/20/22	³			750,000			764,113
5.95%		01/28/31	^2,3			2,360,000			1,965,644
6.63%		06/15/35	³			1,780,000			1,465,474
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25				780,000			842,665
Range Resources Corp.
4.88%		05/15/25				134,000			121,000
Rockies Express Pipeline LLC
4.80%		05/15/30	²			400,000			388,400
4.95%		07/15/29	²			1,000,000			974,201
Ruby Pipeline LLC
7.75%		04/01/22	²			664,773			559,406
Sabine Pass Liquefaction LLC
5.75%		05/15/24				1,081,000			1,222,339
Shell International Finance BV (Netherlands)
2.75%		04/06/30	³			585,000			641,272
Sunoco Logistics Partners Operations LP
3.45%		01/15/23				105,000			107,699
4.25%		04/01/24				130,000			136,567
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29				119,000			127,766
TC PipeLines LP
4.65%		06/15/21				2,030,000			2,084,537
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26				60,000			59,587
6.88%		09/01/27				181,000			179,789
Williams Cos., Inc. (The)
3.35%		08/15/22				480,000			498,453


									23,113,104

Entertainment — 0.03%
Live Nation Entertainment, Inc.
4.75%		10/15/27	²			227,000			212,954

Finance — 4.47%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
3.50%		05/26/22	³			355,000			358,559
3.65%		07/21/27	³			355,000			325,560
3.95%		02/01/22	³			160,000			162,066
4.45%		12/16/21	³			750,000			766,450



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
Air Lease Corp.
2.25%		01/15/23			$	1,000,000		$	1,007,127
3.25%		03/01/25				820,000			835,360
3.25%		10/01/29				525,000			498,831
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%		02/15/25	^2,3			1,160,000			1,064,817
5.13%		10/01/23	^2,3			75,000			74,921
5.25%		05/15/24	^2,3			95,000			95,313
Citigroup, Inc.
2.57%		06/03/31	⁴			1,235,000			1,297,142
4.41%		03/31/31	⁴			985,000			1,183,093
Daimler Finance North America LLC
3.00%		02/22/21	²			30,000			30,291
(LIBOR USD 3-Month plus 0.90%)
1.18%		02/15/22	^1,2			1,900,000			1,907,199
Durrah MSN 35603 (Cayman Islands)
1.68%		01/22/25	³			2,543,594			2,605,995
Ford Motor Credit Co. LLC
2.34%		11/02/20				1,095,000			1,095,000
3.20%		01/15/21				2,500,000			2,499,406
3.22%		01/09/22				500,000			501,225
3.34%		03/28/22				40,000			39,893
3.81%		10/12/21				385,000			386,684
(LIBOR USD 3-Month plus 0.81%)
1.04%		04/05/21	¹			850,000			838,090
GE Capital Funding LLC
4.40%		05/15/30	²			730,000			785,467
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³			1,805,000			1,895,609
General Motors Financial Co., Inc.
3.15%		06/30/22				495,000			508,504
3.20%		07/06/21				1,040,000			1,055,951
3.45%		04/10/22				120,000			123,282
3.55%		04/09/21				1,000,000			1,013,352
4.20%		11/06/21				265,000			273,535
4.38%		09/25/21				220,000			227,011
Goldman Sachs Group, Inc. (The)
3.75%		02/25/26				20,000			22,537
3.81%		04/23/29	⁴			350,000			399,468
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,4			390,000			405,402
3.77%		03/08/24	^2,3,4			730,000			776,379
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^2,3			1,330,000			1,318,718
5.25%		08/15/22	^2,3			675,000			678,029
5.50%		02/15/24	^2,3			140,000			141,172



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
Raymond James Financial, Inc.
3.63%		09/15/26			$	250,000		$	287,832
5.63%		04/01/24				1,990,000			2,298,539
Safina Ltd. (Cayman Islands)
2.00%		12/30/23	³			4,045,598			4,153,620
Sandalwood 2013 LLC
2.90%		07/10/25				1,520,889			1,608,046


									35,545,475

Food — 0.96%
Conagra Brands, Inc.
4.60%		11/01/25				1,400,000			1,627,091
JBS USA LUX SA/JBS USA
Food Co./JBS USA Finance, Inc. (Canada)
5.50%		01/15/30	^2,3			70,000			76,280
Kraft Heinz Foods Co.
5.00%		07/15/35				4,795,000			5,539,822
6.88%		01/26/39				245,000			329,742
Pilgrim’s Pride Corp.
5.88%		09/30/27	²			65,000			67,605


									7,640,540

Gaming — 0.15%
Caesars Entertainment, Inc.
6.25%		07/01/25	²			230,000			240,713
Churchill Downs, Inc.
5.50%		04/01/27	²			908,000			945,461


									1,186,174

Health Care — 4.83%
AbbVie, Inc.
3.20%		11/21/29	²			1,100,000			1,216,619
3.60%		05/14/25				1,152,000			1,278,175
3.85%		06/15/24	²			1,342,000			1,471,917
Advocate Health & Hospitals Corp.,
Series 2020
2.21%		06/15/30				985,000			1,027,542
Aetna, Inc.
2.80%		06/15/23				50,000			52,648
3.50%		11/15/24				1,250,000			1,371,768
Alcon Finance Corp.
2.75%		09/23/26	²			2,300,000			2,502,550
Amgen, Inc.
3.63%		05/15/22				50,000			52,277
Banner Health
2.34%		01/01/30				1,095,000			1,138,073
Bayer U.S. Finance II LLC
4.25%		12/15/25	²			575,000			658,912
4.38%		12/15/28	²			2,900,000			3,409,819
5.50%		08/15/25	²			1,100,000			1,314,143



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
Bayer U.S. Finance LLC
3.38%		10/08/24	²		$	1,020,000		$	1,112,172
Baylor Scott & White Holdings
2.65%		11/15/26				1,530,000			1,628,569
Becton Dickinson and Co.
3.36%		06/06/24				1,300,000			1,406,646
Boston Scientific Corp.
2.65%		06/01/30				245,000			261,156
Centene Corp.
3.00%		10/15/30				3,170,000			3,237,997
Cigna Corp.
2.40%		03/15/30				79,000			82,102
4.13%		11/15/25				2,365,000			2,715,511
CVS Health Corp.
2.88%		06/01/26				50,000			54,249
3.25%		08/15/29				2,890,000			3,187,460
DENTSPLY SIRONA, Inc.
3.25%		06/01/30				1,000,000			1,088,957
Elanco Animal Health, Inc.
4.91%		08/27/21				1,000,000			1,028,750
HCA, Inc.
4.13%		06/15/29				1,145,000			1,297,569
5.00%		03/15/24				815,000			913,068
5.25%		04/15/25				206,000			238,004
5.25%		06/15/26				1,070,000			1,248,731
Hologic, Inc.
4.63%		02/01/28	²			60,000			63,450
Humana, Inc.
3.85%		10/01/24				860,000			951,539
3.95%		03/15/27				885,000			1,012,290
Royalty Pharma PLC (United Kingdom)
2.20%		09/02/30	^2,3			675,000			674,712
UnitedHealth Group, Inc.
2.00%		05/15/30				555,000			582,800
3.70%		12/15/25				155,000			177,711


									38,457,886

Industrials — 1.26%
Amcor Finance USA, Inc.
3.63%		04/28/26				1,950,000			2,173,560
4.50%		05/15/28				30,000			35,199
BAE Systems Holdings, Inc.
3.80%		10/07/24	²			630,000			699,474
BAE Systems PLC (United Kingdom)
1.90%		02/15/31	^2,3			510,000			508,079
Crane Co.
4.45%		12/15/23				1,130,000			1,232,470



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Industrials (continued)
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.38%)
0.63%		05/05/26	¹		$	1,090,000		$	1,013,326
(LIBOR USD 3-Month plus 0.48%)
0.76%		08/15/36	¹			1,115,000			760,544
General Electric Co., Series A (MTN)
6.75%		03/15/32				250,000			314,773
L3Harris Technologies, Inc.
3.85%		06/15/23				410,000			443,855
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	²			65,000			65,325
PowerTeam Services LLC
9.03%		12/04/25	²			685,000			725,506
Sealed Air Corp.
4.00%		12/01/27	²			65,000			68,006
5.50%		09/15/25	²			600,000			669,490
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.38%		04/30/25	^2,3			410,000			434,016
WRKCo, Inc.
4.65%		03/15/26				730,000			858,798


									10,002,421

Information Technology — 0.53%
Apple, Inc.
3.25%		02/23/26				20,000			22,501
Broadcom Corp./Broadcom Cayman
Finance Ltd.
3.63%		01/15/24				1,250,000			1,343,294
Broadcom, Inc.
3.63%		10/15/24				695,000			758,232
Change Healthcare Holdings LLC/Change
Healthcare Finance, Inc.
5.75%		03/01/25	²			65,000			66,255
Dell International LLC/EMC Corp.
4.42%		06/15/21	²			131,000			134,113
Intel Corp.
3.90%		03/25/30				1,560,000			1,890,514
Oracle Corp.
2.40%		09/15/23				40,000			42,105


									4,257,014

Insurance — 0.41%
Berkshire Hathaway, Inc.
3.13%		03/15/26				55,000			61,476
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^2,4			1,212,000			1,212,034
New York Life Global Funding
3.00%		01/10/28	²			50,000			56,036



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Insurance (continued)
Pricoa Global Funding I
2.55%		11/24/20	²		$	1,945,000		$	1,950,944


									3,280,490

Materials — 0.26%
International Flavors & Fragrances, Inc.
4.45%		09/26/28				800,000			940,125
Nutrition & Biosciences, Inc.
2.30%		11/01/30	²			1,090,000			1,100,621


									2,040,746

Real Estate Investment Trust (REIT) — 2.11%
American Campus Communities
Operating Partnership LP
3.75%		04/15/23				50,000			52,604
4.13%		07/01/24				1,250,000			1,348,699
Boston Properties LP
3.25%		01/30/31				725,000			782,497
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24				1,450,000			1,539,806
3.45%		11/15/29				1,000,000			1,085,949
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24				1,140,000			1,159,346
5.25%		06/01/25				685,000			748,123
5.38%		11/01/23				30,000			31,994
5.38%		04/15/26				1,373,000			1,524,270
5.75%		06/01/28				325,000			371,993
Healthcare Realty Trust, Inc.
3.75%		04/15/23				25,000			26,854
3.88%		05/01/25				1,400,000			1,535,312
Healthpeak Properties, Inc.
4.25%		11/15/23				29,000			31,690
Life Storage LP
2.20%		10/15/30				1,000,000			1,001,776
Piedmont Operating Partnership LP
3.40%		06/01/23				1,210,000			1,253,872
SL Green Operating Partnership LP
3.25%		10/15/22				1,350,000			1,378,111
(LIBOR USD 3-Month plus 0.98%)
1.26%		08/16/21	¹			1,000,000			993,077
Ventas Realty LP
3.25%		10/15/26				1,155,000			1,227,739
Ventas Realty LP/Ventas Capital Corp.
3.25%		08/15/22				40,000			41,505
Welltower, Inc.
3.75%		03/15/23				640,000			677,484


									16,812,701



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Retail — 0.12%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^2,3		$	10,000		$	10,321
3.55%		07/26/27	^2,3			640,000			707,831
Rite Aid Corp.
8.00%		11/15/26	²			198,000			198,371
Walgreens Boots Alliance, Inc.
3.80%		11/18/24				65,000			71,589


									988,112

Services — 0.67%
Emory University, Series 2020
2.14%		09/01/30				1,465,000			1,537,257
GFL Environmental, Inc. (Canada)
3.75%		08/01/25	^2,3			600,000			604,440
IHS Markit Ltd. (Bermuda)
4.13%		08/01/23	³			1,245,000			1,355,886
4.75%		02/15/25	^2,3			1,340,000			1,521,516
Waste Pro USA, Inc.
5.50%		02/15/26	²			274,000			278,081


									5,297,180

Transportation — 0.53%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23				348,675			299,736
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22				1,598,596			1,569,380
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23				505,464			485,246
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22				801,293			781,554
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21				67,410			66,030
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23				503,321			423,915
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24				344,579			323,904
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25				298,621			244,494


									4,194,259

Total Corporates
(Cost $216,340,535)									226,853,069



Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 19.80%**
Non-Agency Commercial
Mortgage-Backed — 2.28%
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2018-PARK, Class A
4.23%		08/10/38	^2,4	$	1,095,000	$	1,291,533
BX Trust, Series 2019-OC11, Class A
3.20%		12/09/41	²		375,000		399,718
CALI Mortgage Trust, Series 2019-101C,
Class A
3.96%		03/10/39	²		805,000		948,880
Century Plaza Towers, Series 2019-CPT,
Class A
2.87%		11/13/39	²		715,000		783,678
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class A5
3.62%		02/10/49			3,250,000		3,654,776
Citigroup Commercial Mortgage Trust,
Series 2016-GC37, Class A4
3.31%		04/10/49			1,000,000		1,107,313
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.32%		03/10/47	⁴		24,576,840		775,923
DC Office Trust, Series 2019-MTC, Class A
2.97%		09/15/45	²		765,000		847,770
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	²		760,000		856,402
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
3.04%		12/10/41	^2,4		765,000		850,088
JPMBB Commercial Mortgage Securities
Trust, Series 2015-C29, Class XA (IO)
0.83%		05/15/48	⁴		29,012,553		749,148
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2019-OSB,
Class A
3.40%		06/05/39	²		740,000		842,772
MKT Mortgage Trust, Series 2020-525M,
Class A
2.69%		02/12/40	²		945,000		1,006,886
Natixis Commercial Mortgage Securities
Trust, Series 2020-2PAC, Class A
2.97%		12/15/38	²		775,000		802,628
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/15/54	²		960,000		1,029,340
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.96%		01/15/32	^2,4		560,000		585,599
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class A2B
4.14%		01/05/43	^2,4		105,000		98,972

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial

Mortgage-Backed (continued)

Wells Fargo Commercial Mortgage Trust,

Series 2015-C26, Class XA (IO)

1.35%

02/15/48

⁴

34,587,887

1,515,250

18,146,676

Non-Agency Mortgage-Backed — 6.06%

ACE Securities Corp. Home Equity Loan

Trust, Series 2005-HE2, Class M5

(LIBOR USD 1-Month plus 1.02%)

1.17%

04/25/35

2,600,000

2,571,507

Amresco Residential Securities Corp.

Mortgage Loan Trust, Series 1998-1,

Class A5 (STEP-reset date 11/25/20)

6.47%

10/25/27

17,251

17,597

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2004-HE9, Class M1

(LIBOR USD 1-Month plus 0.98%)

1.12%

12/25/34

464,972

449,796

Banc of America Funding Trust,

Series 2003-2, Class 1A1

6.50%

06/25/32

4,001

4,112

Banc of America Funding Trust,

Series 2015-R2, Class 9A1

(LIBOR USD 1-Month plus 0.22%)

0.36%

03/27/36

^1,2

301,700

303,011

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

Class 1M1

(LIBOR USD 1-Month plus 0.93%)

1.08%

01/25/35

3,677,580

3,620,550

Bear Stearns Asset-Backed Securities I

Trust, Series 2005-HE12, Class M2

(LIBOR USD 1-Month plus 0.50%)

0.65%

12/25/35

1,470,902

1,456,999

Chevy Chase Mortgage Funding LLC,

Mortgage-Backed Certificates,

Series 2005-2A, Class A1

(LIBOR USD 1-Month plus 0.18%)

0.33%

05/25/36

^1,2

61,679

56,375

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-HYB1, Class A41

2.92%

02/25/34

⁴

6,994

6,980

Conseco Finance Corp., Series 1996-7,

Class M1

7.70%

09/15/26

⁴

96,061

99,070

Conseco Finance Corp., Series 1998-4,

Class A5

6.18%

04/01/30

65,585

65,650

Conseco Finance Corp., Series 1998-6,

Class A8

6.66%

06/01/30

⁴

76,831

78,072

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

19,769

19,883

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-14,

Class 4A1

2.66%

08/25/34

⁴

82,741

78,698

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB3,

Class AF1 (STEP-reset date 11/25/20)

3.38%

12/25/32

659,940

673,145

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB2,

Class AF4 (STEP-reset date 11/25/20)

3.20%

12/25/36

418,481

339,060

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A1

(LIBOR USD 1-Month plus 0.06%)

0.21%

04/25/37

126,920

92,936

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A3

(LIBOR USD 1-Month plus 0.25%)

0.40%

04/25/37

1,508,143

1,136,147

First Franklin Mortgage Loan Trust,

Series 2005-FFH4, Class M1

(LIBOR USD 1-Month plus 0.48%)

0.63%

12/25/35

2,022,428

2,018,230

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA3, Class A1

2.47%

09/25/34

⁴

89,036

86,908

GSR Mortgage Loan Trust,

Series 2004-9, Class 5A7

2.95%

08/25/34

⁴

31,124

30,775

HarborView Mortgage Loan Trust,

Series 2007-7, Class 2A1A

(LIBOR USD 1-Month plus 1.00%)

1.15%

10/25/37

2,378,045

2,380,048

HomeBanc Mortgage Trust, Series 2005-4,

Class A1

(LIBOR USD 1-Month plus 0.27%)

0.42%

10/25/35

35,895

35,894

HSI Asset Securitization Corp. Trust,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

0.78%

11/25/35

385,886

383,120

IndyMac Index Mortgage Loan Trust,

Series 2004-AR7, Class A2

(LIBOR USD 1-Month plus 0.86%)

1.01%

09/25/34

10,818

10,109

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%)

0.95%

11/25/34

32,770

30,526

IndyMac Index Mortgage Loan Trust,

Series 2007-AR11, Class 1A1

3.02%

06/25/37

⁴

718,704

700,534

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1997-1,

Class A3

6.61%

02/25/28

65,130

65,980

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1997-1,

Class A4

6.75%

02/25/28

17,338

17,580

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1998-1,

Class A4

6.49%

09/25/28

85,813

87,207

JPMorgan Mortgage Acquisition Trust,

Series 2006-CH1, Class M2

(LIBOR USD 1-Month plus 0.29%)

0.44%

07/25/36

3,745,000

3,676,008

JPMorgan Mortgage Trust, Series 2007-A3,

Class 3A2

3.81%

05/25/37

⁴

172,279

171,784

MASTR Adjustable Rate Mortgages Trust,

Series 2003-6, Class 4A2

3.93%

01/25/34

⁴

76,603

78,525

MASTR Adjustable Rate Mortgages Trust,

Series 2004-5, Class 3A1

4.13%

06/25/34

⁴

1,794

1,874

MASTR Adjustable Rate Mortgages Trust,

Series 2007-HF2, Class A1

(LIBOR USD 1-Month plus 0.31%)

0.46%

09/25/37

2,070,793

2,020,662

MASTR Seasoned Securitization Trust,

Series 2004-1, Class 4A1

2.99%

10/25/32

⁴

7,552

7,551

MASTR Seasoned Securitization Trust,

Series 2005-1, Class 4A1

2.63%

10/25/32

⁴

22,563

22,524

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-3, Class A2C

(LIBOR USD 1-Month plus 0.18%)

0.33%

06/25/37

426,521

314,057

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-3, Class A2D

(LIBOR USD 1-Month plus 0.25%)

0.40%

06/25/37

788,199

618,627



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Capital Corp., Series 2004-1,
Class A
6.01%		08/15/37			$	230,326		$	247,093
Mid-State Capital Corp., Series 2004-1,
Class B
8.90%		08/15/37				316,134			359,125
Mid-State Capital Corp., Series 2004-1,
Class M1
6.50%		08/15/37				225,810			239,639
Mid-State Capital Corp., Series 2005-1,
Class M2
7.08%		01/15/40				416,621			469,572
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38				568,020			610,712
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
1.08%		07/25/34	¹			158,913			155,069
Nationstar Home Equity Loan Trust,
Series 2007-B, Class 1AV1
(LIBOR USD 1-Month plus 0.22%)
0.37%		04/25/37	¹			4,296,190			4,246,647
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
0.82%		03/25/35	¹			4,899,858			4,853,315
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
0.37%		02/25/36	¹			2,838,673			2,790,449
New York Mortgage Trust, Series 2005-3,
Class A1
(LIBOR USD 1-Month plus 0.48%)
0.63%		02/25/36	¹			801,481			785,390
Nomura Resecuritization Trust,
Series 2014-7R, Class 2A3
(LIBOR USD 1-Month plus 0.20%)
0.38%		12/26/35	^1,2			427,246			424,999
Option One Mortgage Loan Trust,
Series 2005-2, Class M1
(LIBOR USD 1-Month plus 0.66%)
0.81%		05/25/35	¹			123,648			123,648
RBSSP Resecuritization Trust,
Series 2009-12, Class 17A2
2.84%		10/25/35	^2,4			3,686,354			3,588,169
Residential Asset Mortgage Products Trust,
Series 2003-SL1, Class A41
8.00%		04/25/31				23,164			23,645
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A7
7.00%		11/25/31				10,543			11,186

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Asset Mortgage Products Trust,

Series 2006-NC1, Class A3

(LIBOR USD 1-Month plus 0.60%)

0.75%

01/25/36

1,539,537

1,531,181

Residential Asset Securitization Trust,

Series 2004-IP2, Class 2A1

3.54%

12/25/34

⁴

16,561

16,303

Residential Asset Securitization Trust,

Series 2005-AHL3, Class A3

(LIBOR USD 1-Month plus 0.34%)

0.49%

11/25/35

52,439

49,867

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-15, Class A

3.40%

10/25/34

⁴

916,861

879,774

Structured Asset Mortgage Investments II

Trust, Series 2005-AR1, Class A1

(LIBOR USD 1-Month plus 0.48%)

0.64%

04/19/35

546,706

538,931

Structured Asset Mortgage Investments II

Trust, Series 2005-AR8, Class A2

(Federal Reserve US 12-Month Cumulative

Average plus 1.48%)

3.63%

02/25/36

497,086

478,215

Structured Asset Mortgage Investments II

Trust, Series 2006-AR3, Class 22A1

3.12%

05/25/36

⁴

1,953,795

1,198,792

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A3

(LIBOR USD 1-Month plus 0.78%)

0.93%

10/25/45

768,633

746,549

48,196,381

U.S. Agency Commercial

Mortgage-Backed — 0.76%

Fannie Mae-Aces, Series 2015-M4,

Class X2 (IO)

0.48%

07/25/22

⁴

82,609,076

311,969

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K021,

Class A2

2.40%

06/25/22

105,000

108,107

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K158,

Class A3

3.90%

10/25/33

⁴

1,250,000

1,564,454

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K159,

Class A3

3.95%

11/25/33

⁴

3,265,000

4,110,314

6,094,844



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 10.70%
Fannie Mae Pool 253974
7.00%		08/01/31			$	1,341		$	1,514
Fannie Mae Pool 254232
6.50%		03/01/22				804			827
Fannie Mae Pool 527247
7.00%		09/01/26				17			18
Fannie Mae Pool 545191
7.00%		09/01/31				676			780
Fannie Mae Pool 545646
7.00%		09/01/26				9			10
Fannie Mae Pool 549740
6.50%		10/01/27				3,641			4,075
Fannie Mae Pool 606108
7.00%		03/01/31				366			369
Fannie Mae Pool 630599
7.00%		05/01/32				3,309			3,881
Fannie Mae Pool 655928
7.00%		08/01/32				2,552			3,081
Fannie Mae Pool 735207
7.00%		04/01/34				986			1,175
Fannie Mae Pool 735686
6.50%		12/01/22				240			246
Fannie Mae Pool 735861
6.50%		09/01/33				61,797			69,364
Fannie Mae Pool 764388
(LIBOR USD 6-Month plus 1.38%)
2.26%		03/01/34	¹			7,765			7,844
Fannie Mae Pool 776708
5.00%		05/01/34				100,362			115,566
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.58%)
2.95%		11/01/35	¹			6,222			6,301
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
3.59%		12/01/35	¹			8,523			8,552
Fannie Mae Pool 889125
5.00%		12/01/21				14			14
Fannie Mae Pool 889184
5.50%		09/01/36				81,918			96,456
Fannie Mae Pool 890221
5.50%		12/01/33				124,033			144,579
Fannie Mae Pool 918445
(LIBOR USD 12-Month plus 1.57%)
3.57%		05/01/37	¹			503			527
Fannie Mae Pool 939419
(LIBOR USD 12-Month plus 1.27%)
3.02%		05/01/37	¹			22,252			22,529
Fannie Mae Pool AL0209
4.50%		05/01/41				322,789			370,490



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AM8645
2.69%		05/01/27			$	98,059		$	107,823
Fannie Mae Pool AN2786
2.76%		09/01/36				49,199			55,072
Fannie Mae Pool BL0661
3.99%		11/01/33				3,474,268			4,159,417
Fannie Mae Pool BL6060
2.46%		04/01/40				1,160,000			1,243,529
Fannie Mae Pool CA1710
4.50%		05/01/48				24,782			26,841
Fannie Mae Pool CA1711
4.50%		05/01/48				1,737,348			1,881,702
Fannie Mae Pool CA2208
4.50%		08/01/48				23,573			25,508
Fannie Mae Pool FM2318
3.50%		09/01/49				2,142,974			2,313,236
Fannie Mae Pool FN0039
3.18%		09/01/27	⁴			36,003			40,769
Fannie Mae Pool MA1527
3.00%		08/01/33				24,536			26,051
Fannie Mae Pool MA1561
3.00%		09/01/33				1,340,482			1,422,895
Fannie Mae Pool MA1608
3.50%		10/01/33				1,209,595			1,307,554
Fannie Mae Pool MA3427
4.00%		07/01/33				21,952			23,326
Fannie Mae Pool MA3537
4.50%		12/01/48				2,000,881			2,163,067
Fannie Mae Pool MA3811
3.00%		10/01/49				2,318,124			2,383,910
Fannie Mae Pool MA4152
2.00%		10/01/40				3,460,000			3,587,728
Fannie Mae REMICS, Series 1993-80,
Class S
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)
10.70%		05/25/23	¹			1,301			1,440
Fannie Mae REMICS, Series 2001-52,
Class YZ
6.50%		10/25/31				122,403			144,927
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			4,104			4,988
Fannie Mae REMICS, Series 2007-64,
Class FA
(LIBOR USD 1-Month plus 0.47%)
0.62%		07/25/37	¹			55,019			55,575



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2008-50,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.90%		11/25/36	¹		$	994,582		$	215,624
Fannie Mae REMICS, Series 2018-38,
Class PA
3.50%		06/25/47				13,372			13,978
Fannie Mae REMICS, Series 2018-43,
Class CT
3.00%		06/25/48				661,755			700,812
Fannie Mae REMICS, Series 2018-55,
Class PA
3.50%		01/25/47				130,786			136,226
Fannie Mae REMICS, Series 2018-86,
Class JA
4.00%		05/25/47				835,766			875,032
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			9,296,023			144,388
Freddie Mac Gold Pool A25162
5.50%		05/01/34				104,584			121,193
Freddie Mac Gold Pool A33262
5.50%		02/01/35				34,034			40,089
Freddie Mac Gold Pool A68781
5.50%		10/01/37				6,355			7,391
Freddie Mac Gold Pool C03813
3.50%		04/01/42				864,510			945,338
Freddie Mac Gold Pool C90504
6.50%		12/01/21				82			84
Freddie Mac Gold Pool G01548
7.50%		07/01/32				231,536			284,940
Freddie Mac Gold Pool G01644
5.50%		02/01/34				62,842			74,023
Freddie Mac Gold Pool G02366
6.50%		10/01/36				50,244			60,039
Freddie Mac Gold Pool G08844
5.00%		10/01/48				518,746			568,487
Freddie Mac Gold Pool G12393
5.50%		10/01/21				3,517			3,541
Freddie Mac Gold Pool G12909
6.00%		11/01/22				28,436			29,508
Freddie Mac Gold Pool G13032
6.00%		09/01/22				7,403			7,532
Freddie Mac Gold Pool G15897
2.50%		09/01/31				32,802			34,951
Freddie Mac Gold Pool G16085
2.50%		02/01/32				1,973,004			2,110,537



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G16524
3.50%		05/01/33			$	85,155		$	91,556
Freddie Mac Gold Pool G16756
3.50%		01/01/34				1,792,018			1,925,664
Freddie Mac Gold Pool G18581
2.50%		01/01/31				37,342			39,065
Freddie Mac Gold Pool G18713
3.50%		11/01/33				51,027			53,965
Freddie Mac Gold Pool J06246
5.50%		10/01/21				1,631			1,645
Freddie Mac Pool SD7503
3.50%		08/01/49				6,068,623			6,548,884
Freddie Mac REMICS, Series 1602,
Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	¹			7,291			7,806
Freddie Mac REMICS, Series 2174,
Class PN
6.00%		07/15/29				23,805			26,922
Freddie Mac REMICS, Series 3460,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
6.05%		06/15/38	¹			965,736			213,524
Freddie Mac REMICS, Series 4030,
Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
6.46%		04/15/42	¹			841,121			177,752
Ginnie Mae I Pool 782810
4.50%		11/15/39				692,338			786,542
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.25%		07/20/34	¹			16,946			17,543
Ginnie Mae II Pool MA4454
5.00%		05/20/47				34,481			38,003
Ginnie Mae II Pool MA4511
4.00%		06/20/47				10,256			11,058
Ginnie Mae II Pool MA4588
4.50%		07/20/47				357,738			389,920
Ginnie Mae II Pool MA4589
5.00%		07/20/47				1,824,702			2,021,648
Ginnie Mae II Pool MA4838
4.00%		11/20/47				966,744			1,036,765
Ginnie Mae II Pool MA4901
4.00%		12/20/47				775,340			831,615
Ginnie Mae II Pool MA5399
4.50%		08/20/48				1,130,255			1,222,747
Ginnie Mae II Pool MA5530
5.00%		10/20/48				15,135			16,461



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA6030
3.50%		07/20/49			$	360,401		$	373,477
Ginnie Mae II Pool MA6080
3.00%		08/20/49				157,674			162,375
Ginnie Mae II Pool MA6209
3.00%		10/20/49				2,712,862			2,799,553
Ginnie Mae Pool (TBA)
2.00%		10/20/50				6,100,000			6,338,758
2.50%		10/20/50				3,900,000			4,095,305
Ginnie Mae, Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
14.01%		11/26/23	¹			12,250			14,053
UMBS (TBA)
1.50%		10/01/35				175,000			179,074
2.00%		10/01/35				5,200,000			5,406,375
2.00%		10/01/50				16,050,000			16,593,623
2.50%		10/01/50				4,225,000			4,432,193
2.50%		11/01/50				1,000,000			1,047,311


									85,108,451

Total Mortgage-Backed
(Cost $152,880,356)									157,546,352


MUNICIPAL BONDS — 1.03%*
California — 0.21%
Los Angeles Department of Airports,
Revenue Bonds, Port, Airport and Marina
Improvements, Series A
5.00%		05/15/36				325,000			400,676
Los Angeles Department of Water & Power
Power System Revenue, Taxable Bonds,
Electric Light & Power Improvements,
Series C
5.52%		07/01/27				50,000			63,476
Los Angeles Unified School District, Build
America Taxable Bonds, School
Improvements, Series KR
5.75%		07/01/34				875,000			1,222,856
State of California, General Obligation
Bonds. Build America Bonds, School
Improvements
7.95%		03/01/36				294			273


									1,687,281

Florida — 0.08%
County of Miami-Dade Aviation Revenue
Bonds, Airport and Marina Improvements,
Series D
3.50%		10/01/31				245,000			260,553



Issues	Maturity Date		Principal Amount			Value
MUNICIPAL BONDS (continued)
Florida (continued)
Greater Orlando Aviation Authority, Port,
Airport and Marina Improvements, Series A
5.00%		10/01/44		$	330,000		$	396,444


								656,997

New York — 0.72%
Metropolitan Transportation Authority, Build
America Bonds, Transit Improvements
6.55%		11/15/31			25,000			29,889
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds, Public
Improvements, Series B1
4.00%		08/01/38			800,000			900,104
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			1,774,789
New York State Dormitory Authority, Build
America Bonds, University & College
Improvements, Series D
5.50%		03/15/30			70,000			87,462
New York State Dormitory Authority,
Revenue Bonds, School Improvements,
Series A
5.00%		03/15/47			640,000			776,986
New York State Dormitory Authority, Taxable
Bonds, School Improvements, Series F
3.03%		02/15/33			1,245,000			1,369,475
New York State Environmental Facilities
Corp., Revenue Bonds, Water Utility
Improvements, Series B
4.00%		06/15/37			675,000			809,311


								5,748,016

Pennsylvania — 0.01%
Pennsylvania Economic Development
Financing Authority, Taxable Bonds,
University of Pittsburgh Medical Center,
Series B
3.20%		11/15/27			40,000			43,111


Washington — 0.01%
State of Washington, General Obligation
Bonds, Build America Bonds, Highway
Improvements
5.04%		08/01/31			40,000			51,114


Total Municipal Bonds
(Cost $7,734,401)								8,186,519



Issues	Maturity Date			Principal Amount			Value
U.S. AGENCY SECURITIES — 0.03%
U.S. Agency Securities — 0.03%
Resolution Funding Corp.
(Strip Principal) (PO)
0.00%		01/15/21	⁸		$	230,000		$	229,851

Total U.S. Agency Securities
(Cost $228,441)

U.S. TREASURY SECURITIES — 40.30%
U.S. Treasury Notes — 40.30%
U.S. Treasury Notes
0.13%		07/31/22				18,195,000			18,195,711
0.13%		08/31/22				44,600,000			44,600,872
0.13%		09/30/22				21,695,000			21,694,576
0.25%		08/31/25				63,106,000			63,061,627
0.25%		09/30/25				128,130,000			128,004,868
0.38%		09/30/27				8,520,000			8,467,416
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.13%		04/15/25	⁹			1,888,837			2,010,431
0.13%		07/15/30	⁹			3,498,593			3,890,898
U.S. Treasury Notes (WI)
0.63%		08/15/30				30,869,000			30,719,478


Total U.S. Treasury Securities
(Cost $320,470,134)									320,645,877


Total Bonds – 96.34%
(Cost $751,210,292)									766,557,417



Issues				Shares			Value

COMMON STOCK — 0.00%
Electric — 0.00%
Homer City Holdings
LLC^6,10,11						8,014			441

Total Common Stock
(Cost $457,400)

Issues	Maturity Date			Principal Amount/Shares			Value

SHORT-TERM INVESTMENTS — 9.73%
Commercial Paper — 0.25%
Ford Motor Credit Co. LLC
3.20%^2,12		10/08/20				2,000,000			1,999,707


Money Market Funds — 2.69%
Dreyfus Government Cash Management
Fund
2.33%¹³						21,348,000			21,348,000
Fidelity Investments Money Market Funds -
Government Portfolio
1.00%^13,14						93,103			93,103


									21,441,103



Issues	Maturity Date		Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills — 6.79%
U.S. Treasury Bills
0.12%¹²		02/04/21		$	5,000,000		$	4,998,163
0.14%¹²		01/07/21			29,000,000			28,993,191
0.16%¹²		12/03/20			15,000,000			14,997,769
0.18%¹²		12/10/20			5,000,000			4,999,077


								53,988,200


Total Short-Term Investments
(Cost $77,421,256)								77,429,010


Total Investments – 106.07%
(Cost $829,088,948)								843,986,868


Net unrealized appreciation on unfunded commitments 0.00%								642

Liabilities in Excess of Other
Assets – (6.07)%								(48,314,836	)


Net Assets – 100.00%							$	795,672,032

¹	Floating rate security. The rate disclosed was in effect at September 30, 2020.

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	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $24,745, at an interest rate of 3.60% and a maturity of July 14, 2021.The investment is not accruing an unused commitment fee.

⁶	Non-income producing security.

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

⁸	Zero coupon bond. The rate shown is the effective yield as of September 30, 2020.

⁹	Inflation protected security. Principal amount reflects original security face amount.

¹⁰	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

¹¹	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $441, which is 0.00% of total net assets.

¹²	Represents annualized yield at date of purchase.

¹³	Represents the current yield as of September 30, 2020.

¹⁴	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $34.

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

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

(CLO): Collateralized Loan Obligation

(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 – 85.51%

ASSET-BACKED SECURITIES — 4.76%**

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

0.80%

08/27/46

^1,2

70,854

67,653

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

37,375

42,946

SLC Student Loan Trust, Series 2006-1,

Class A6

(LIBOR USD 3-Month plus 0.16%)

0.41%

03/15/55

60,000

56,204

SLM Student Loan Trust, Series 2007-2,

Class B

(LIBOR USD 3-Month plus 0.17%)

0.41%

07/25/25

70,000

60,196

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

01/25/83

20,000

18,251

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

04/26/83

20,000

17,842

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/25/73

35,000

32,044

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

1.34%

07/25/23

34,199

33,017

SLM Student Loan Trust, Series 2008-6,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/26/83

20,000

18,069

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/26/83

20,000

17,991

SLM Student Loan Trust, Series 2008-8,

Class A4

(LIBOR USD 3-Month plus 1.50%)

1.74%

04/25/23

22,084

21,941

SLM Student Loan Trust, Series 2008-8,

Class B

(LIBOR USD 3-Month plus 2.25%)

2.49%

10/25/75

30,000

28,900

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)

1.74%

04/25/23

16,839

16,535



Issues	Maturity Date			Principal Amount			Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-9,
Class B
(LIBOR USD 3-Month plus 2.25%)
2.49%		10/25/83	¹		$	15,000		$	14,411
Structured Receivables Finance LLC,
Series 2010-B, Class A
3.73%		08/15/36	²			66,003			68,484
Towd Point Mortgage Trust,
Series 2015-2, Class 1A13
2.50%		11/25/60	^2,3			43,911			44,284
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
0.41%		04/25/40	^1,2			41,719			40,051


Total Asset-Backed Securities
(Cost $598,380)									598,819


CORPORATES — 55.53%*
Banking — 5.86%
Bank of America Corp.
2.59%		04/29/31	³			10,000			10,600
3.00%		12/20/23	³			15,000			15,757
Bank of America Corp. (MTN)
2.50%		02/13/31	³			35,000			36,533
3.97%		03/05/29	³			60,000			68,796
3.97%		02/07/30	³			30,000			34,814
Bank of New York Mellon Corp. (The) (MTN)
1.60%		04/24/25				45,000			46,845
3.25%		09/11/24				5,000			5,509
Fifth Third Bancorp
2.55%		05/05/27				30,000			32,372
HSBC Holdings PLC (United Kingdom)
2.01%		09/22/28	^3,4			5,000			4,961
JPMorgan Chase & Co.
2.52%		04/22/31	³			35,000			37,338
3.21%		04/01/23	³			50,000			51,974
3.56%		04/23/24	³			70,000			75,107
4.01%		04/23/29	³			20,000			23,174
4.20%		07/23/29	³			15,000			17,784
Lloyds Banking Group PLC
(United Kingdom)
3.87%		07/09/25	^3,4			40,000			43,589
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	^3,4			30,000			31,370
3.57%		01/10/23	⁴			10,000			10,336
State Street Corp.
3.78%		12/03/24	³			15,000			16,423
Wells Fargo & Co. (MTN)
2.39%		06/02/28	³			30,000			31,347
2.57%		02/11/31	³			30,000			31,467



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Banking (continued)
2.88%		10/30/30	³		$	5,000		$	5,365
3.58%		05/22/28	³			20,000			22,416
5.01%		04/04/51	³			60,000			82,551


									736,428

Communications — 5.82%
AT&T, Inc.
2.75%		06/01/31				30,000			31,621
3.88%		01/15/26				10,000			11,347
4.30%		02/15/30				70,000			83,043
4.50%		03/09/48				60,000			68,304
Charter Communications Operating LLC/
Charter Communications Operating Capital
3.75%		02/15/28				42,000			46,538
Comcast Corp.
1.95%		01/15/31				70,000			72,000
Fox Corp.
3.50%		04/08/30				30,000			33,958
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	⁴			5,000			7,286
Level 3 Financing, Inc.
3.88%		11/15/29	²			11,000			11,932
SES SA (Luxembourg)
3.60%		04/04/23	^2,4			15,000			15,490
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	²			25,000			27,109
5.15%		03/20/28	²			30,000			35,419
T-Mobile USA, Inc.
2.55%		02/15/31	²			49,000			50,757
4.38%		04/15/40	²			25,000			29,329
Verizon Communications, Inc.
4.33%		09/21/28				40,000			48,644
ViacomCBS, Inc.
4.20%		05/19/32				40,000			45,718
Vodafone Group PLC (United Kingdom)
4.38%		05/30/28	⁴			65,000			77,043
Walt Disney Co. (The)
2.65%		01/13/31				15,000			16,208
6.20%		12/15/34				4,000			5,924
7.75%		01/20/24				12,000			14,612


									732,282

Consumer Discretionary — 2.08%
Anheuser-Busch InBev Worldwide, Inc.
3.50%		06/01/30				60,000			68,430
4.00%		04/13/28				52,000			60,101
4.75%		01/23/29				15,000			18,331
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,4			30,000			34,908



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Consumer Discretionary (continued)
BAT Capital Corp.
2.73%		03/25/31			$	10,000		$	9,975
Constellation Brands, Inc.
2.88%		05/01/30				20,000			21,657
4.25%		05/01/23				15,000			16,393
Reynolds American, Inc.
5.70%		08/15/35				25,000			31,360


									261,155

Electric — 3.37%
Ameren Corp.
3.50%		01/15/31				35,000			40,109
Appalachian Power Co.
4.45%		06/01/45				5,000			6,135
Berkshire Hathaway Energy Co.
3.70%		07/15/30	²			50,000			58,871
Black Hills Corp.
4.35%		05/01/33				36,000			42,751
Consolidated Edison Co. of New York, Inc.,
Series 20A
3.35%		04/01/30				45,000			51,937
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²			23,000			24,172
ITC Holdings Corp.
4.05%		07/01/23				10,000			10,822
Metropolitan Edison Co.
4.00%		04/15/25	²			25,000			28,030
Narragansett Electric Co. (The)
3.40%		04/09/30	²			35,000			39,951
Public Service Co. of New Mexico
3.85%		08/01/25				40,000			43,425
Southwestern Electric Power Co., Series M
4.10%		09/15/28				20,000			23,379
Tucson Electric Power Co.
5.15%		11/15/21				30,000			31,116
Xcel Energy, Inc.
3.40%		06/01/30				20,000			23,035


									423,733

Energy — 5.14%
BP Capital Markets America, Inc.
3.63%		04/06/30				25,000			28,748
Chevron Corp.
2.24%		05/11/30				15,000			15,936
Concho Resources, Inc.
2.40%		02/15/31				65,000			62,211
Energy Transfer Operating LP
4.95%		06/15/28				35,000			37,110
5.50%		06/01/27				10,000			11,026



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
EQT Corp.
3.90%		10/01/27			$	10,000		$	9,225
Equinor ASA (Norway)
3.13%		04/06/30	⁴			20,000			22,583
Exxon Mobil Corp.
3.45%		04/15/51				20,000			22,102
3.48%		03/19/30				30,000			34,676
Hess Corp.
4.30%		04/01/27				17,000			17,838
Kinder Morgan, Inc.
5.63%		11/15/23	²			25,000			28,177
Kinder Morgan, Inc. (GMTN)
7.80%		08/01/31				10,000			13,827
NGPL PipeCo LLC
4.38%		08/15/22	²			25,000			25,967
Petroleos Mexicanos (Mexico)
5.35%		02/12/28	⁴			15,000			12,942
5.95%		01/28/31	^2,4			30,000			24,987
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25				15,000			16,205
Rockies Express Pipeline LLC
4.95%		07/15/29	²			10,000			9,742
Ruby Pipeline LLC
7.75%		04/01/22	²			17,045			14,344
Sabine Pass Liquefaction LLC
4.20%		03/15/28				12,000			13,028
Shell International Finance BV (Netherlands)
2.38%		11/07/29	⁴			25,000			26,309
2.75%		04/06/30	⁴			15,000			16,443
Southern Natural Gas Co. LLC
4.80%		03/15/47	²			30,000			33,409
Sunoco Logistics Partners Operations LP
3.90%		07/15/26				10,000			10,404
4.00%		10/01/27				10,000			10,225
TC PipeLines LP
3.90%		05/25/27				30,000			32,291
Texas Eastern Transmission LP
2.80%		10/15/22	²			10,000			10,301
TransCanada PipeLines Ltd. (Canada)
4.10%		04/15/30	⁴			30,000			34,680
Western Midstream Operating LP
5.05%		02/01/30				25,000			24,365
Williams Cos., Inc. (The)
4.30%		03/04/24				25,000			27,333


									646,434



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance — 6.52%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.88%		01/23/28	⁴		$	11,000		$	10,218
3.95%		02/01/22	⁴			35,000			35,452
Air Lease Corp.
3.00%		09/15/23				30,000			30,555
3.63%		12/01/27				11,000			10,873
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%		02/15/25	^2,4			5,000			4,590
Citigroup, Inc.
2.57%		06/03/31	³			45,000			47,264
3.20%		10/21/26				20,000			22,091
3.67%		07/24/28	³			20,000			22,500
Daimler Finance North America LLC
2.20%		10/30/21	²			20,000			20,328
Ford Motor Credit Co. LLC
4.25%		09/20/22				25,000			25,257
(LIBOR USD 3-Month plus 1.08%)
1.33%		08/03/22	¹			35,000			33,180
GE Capital Funding LLC
4.40%		05/15/30	²			10,000			10,760
GE Capital International Funding Co. (Ireland)
4.42%		11/15/35	⁴			70,000			73,514
General Motors Financial Co., Inc.
3.15%		06/30/22				10,000			10,273
3.20%		07/06/21				20,000			20,307
4.20%		11/06/21				15,000			15,483
4.38%		09/25/21				5,000			5,159
Goldman Sachs Group, Inc. (The)
2.60%		02/07/30				30,000			31,730
2.88%		10/31/22	³			75,000			76,839
Intercontinental Exchange, Inc.
1.85%		09/15/32				5,000			4,996
2.10%		06/15/30				35,000			36,163
(LIBOR USD 3-Month plus 0.65%)
0.90%		06/15/23	¹			20,000			20,125
Morgan Stanley (GMTN)
3.70%		10/23/24				70,000			77,717
3.77%		01/24/29	³			20,000			22,751
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,4			10,000			10,395
3.77%		03/08/24	^2,3,4			25,000			26,588
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^2,4			10,000			9,915
5.50%		02/15/24	^2,4			15,000			15,126
Pipeline Funding Co. LLC
7.50%		01/15/30	²			18,226			24,795



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
Raymond James Financial, Inc.
3.63%		09/15/26			$	30,000		$	34,540
4.65%		04/01/30				25,000			30,476


									819,960

Food — 1.22%
Conagra Brands, Inc.
4.60%		11/01/25				16,000			18,595
General Mills, Inc.
3.70%		10/17/23				15,000			16,352
Kraft Heinz Foods Co.
5.00%		07/15/35				48,000			55,456
Smithfield Foods, Inc.
3.35%		02/01/22	²			50,000			50,785
5.20%		04/01/29	²			10,000			11,709


									152,897

Health Care — 8.11%
AbbVie, Inc.
3.20%		11/21/29	²			55,000			60,831
3.60%		05/14/25				25,000			27,738
3.80%		03/15/25	²			5,000			5,578
5.00%		12/15/21	²			25,000			26,075
Alcon Finance Corp.
2.75%		09/23/26	²			20,000			21,761
Anthem, Inc.
3.65%		12/01/27				40,000			45,634
Ascension Health, Series B
2.53%		11/15/29				20,000			21,704
Banner Health
2.34%		01/01/30				25,000			25,983
Barnabas Health, Inc., Series 2012
4.00%		07/01/28				15,000			16,850
Baxalta, Inc.
3.60%		06/23/22				25,000			26,034
Baxter International, Inc.
3.95%		04/01/30	²			25,000			30,010
Bayer U.S. Finance II LLC
3.88%		12/15/23	²			10,000			10,934
4.38%		12/15/28	²			55,000			64,669
4.40%		07/15/44	²			5,000			5,728
Becton Dickinson and Co.
3.36%		06/06/24				15,000			16,231
Boston Scientific Corp.
2.65%		06/01/30				30,000			31,978
Bristol Myers Squibb Co.
3.90%		02/20/28				40,000			47,408
Centene Corp.
3.00%		10/15/30				50,000			51,073



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
Cigna Corp.
2.40%		03/15/30			$	25,000		$	25,982
4.38%		10/15/28				30,000			35,735
DENTSPLY SIRONA, Inc.
3.25%		06/01/30				30,000			32,669
Elanco Animal Health, Inc.
5.90%		08/28/28				15,000			17,381
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	²			30,000			30,350
HCA, Inc.
4.13%		06/15/29				25,000			28,331
5.00%		03/15/24				15,000			16,805
Humana, Inc.
2.90%		12/15/22				15,000			15,701
3.13%		08/15/29				15,000			16,634
NYU Langone Hospitals, Series 2020
3.38%		07/01/55				20,000			20,296
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26				20,000			22,001
Quest Diagnostics, Inc.
4.20%		06/30/29				20,000			23,850
Regeneron Pharmaceuticals, Inc.
1.75%		09/15/30				30,000			29,392
Royalty Pharma PLC (United Kingdom)
1.75%		09/02/27	^2,4			20,000			20,076
UnitedHealth Group, Inc.
2.00%		05/15/30				25,000			26,252
3.70%		12/15/25				20,000			22,930
3.88%		12/15/28				40,000			47,541
Upjohn, Inc.
1.13%		06/22/22	²			35,000			35,280
Zimmer Biomet Holdings, Inc.
3.55%		03/20/30				15,000			16,829


									1,020,254

Industrials — 1.98%
Amcor Finance USA, Inc.
3.63%		04/28/26				5,000			5,573
4.50%		05/15/28				15,000			17,599
BAE Systems Holdings, Inc.
3.80%		10/07/24	²			25,000			27,757
3.85%		12/15/25	²			20,000			22,607
BAE Systems PLC (United Kingdom)
3.40%		04/15/30	^2,4			10,000			11,203
Bemis Co., Inc.
2.63%		06/19/30				15,000			15,983
General Electric Co. (MTN)
5.88%		01/14/38				30,000			34,978
(LIBOR USD 3-Month plus 0.38%)



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Industrials (continued)
0.63%		05/05/26	¹		$	10,000		$	9,297
Ingersoll-Rand Co.
9.00%		08/15/21				10,000			10,689
L3Harris Technologies, Inc.
3.85%		06/15/23				15,000			16,239
Sonoco Products Co.
3.13%		05/01/30				30,000			32,611
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.63%		04/28/26	^2,4			15,000			16,153
WRKCo, Inc.
3.00%		06/15/33				10,000			10,922
4.65%		03/15/26				15,000			17,647


									249,258

Information Technology — 0.78%
Broadcom Corp./Broadcom Cayman
Finance Ltd.
3.63%		01/15/24				20,000			21,493
Dell International LLC/EMC Corp.
4.42%		06/15/21	²			3,000			3,071
Fiserv, Inc.
2.65%		06/01/30				25,000			26,970
Intel Corp.
3.90%		03/25/30				20,000			24,237
NVIDIA Corp.
2.85%		04/01/30				20,000			22,526


									98,297

Insurance — 2.83%
Aon Corp.
2.80%		05/15/30				25,000			27,125
3.75%		05/02/29				10,000			11,560
Berkshire Hathaway Finance Corp.
1.85%		03/12/30				10,000			10,475
Farmers Insurance Exchange
4.75%		11/01/57	^2,3			45,000			46,932
Marsh & McLennan Cos., Inc.
2.25%		11/15/30				30,000			31,448
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	²			48,000			49,141
Metropolitan Life Global Funding I
2.95%		04/09/30	²			25,000			28,096
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^2,3			40,000			40,001
New York Life Insurance Co.
5.88%		05/15/33	²			30,000			41,342
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^2,3			45,000			48,037



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Insurance (continued)
Willis North America, Inc.
2.95%		09/15/29			$	20,000		$	21,593


									355,750

Materials — 1.09%
FMC Corp.
3.45%		10/01/29				20,000			22,359
Georgia-Pacific LLC
2.30%		04/30/30	²			35,000			37,153
International Flavors & Fragrances, Inc.
4.45%		09/26/28				40,000			47,006
Nutrition & Biosciences, Inc.
2.30%		11/01/30	²			10,000			10,097
Sherwin-Williams Co. (The)
2.30%		05/15/30				20,000			20,905


									137,520

Real Estate Investment Trust (REIT) — 6.28%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26				5,000			5,734
4.50%		07/30/29				18,000			21,722
American Campus Communities
Operating Partnership LP
3.30%		07/15/26				15,000			16,084
3.63%		11/15/27				5,000			5,299
3.75%		04/15/23				20,000			21,042
3.88%		01/30/31				110,000			120,251
American Tower Corp.
2.90%		01/15/30				10,000			10,817
3.55%		07/15/27				15,000			16,815
AvalonBay Communities, Inc. (MTN)
2.45%		01/15/31				25,000			26,790
Boston Properties LP
2.75%		10/01/26				10,000			10,678
3.25%		01/30/31				25,000			26,983
3.40%		06/21/29				10,000			10,904
CC Holdings GS V LLC/Crown Castle
GS III Corp.
3.85%		04/15/23				15,000			16,140
Crown Castle International Corp.
3.30%		07/01/30				20,000			21,907
CubeSmart LP
4.38%		02/15/29				15,000			17,624
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24				15,000			15,929
3.45%		11/15/29				30,000			32,578
Essex Portfolio LP
2.65%		03/15/32				10,000			10,575
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24				15,000			15,255



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
4.00%		01/15/31			$	15,000		$	15,637
5.30%		01/15/29				15,000			16,792
Healthcare Realty Trust, Inc.
3.75%		04/15/23				15,000			16,113
Healthcare Trust of America Holdings LP
2.00%		03/15/31				30,000			29,554
3.10%		02/15/30				15,000			16,273
Healthpeak Properties, Inc.
3.88%		08/15/24				20,000			22,107
4.25%		11/15/23				10,000			10,928
Hudson Pacific Properties LP
3.95%		11/01/27				25,000			26,934
Kilroy Realty LP
2.50%		11/15/32				25,000			24,533
3.05%		02/15/30				5,000			5,239
4.38%		10/01/25				15,000			16,606
Lexington Realty Trust
2.70%		09/15/30				25,000			25,542
Life Storage LP
2.20%		10/15/30				40,000			40,071
Mid-America Apartments LP
1.70%		02/15/31				20,000			19,713
SL Green Operating Partnership LP
3.25%		10/15/22				30,000			30,625
(LIBOR USD 3-Month plus 0.98%)
1.26%		08/16/21	¹			10,000			9,931
UDR, Inc. (MTN)
4.40%		01/26/29				10,000			11,825
Ventas Realty LP
4.13%		01/15/26				10,000			11,244
4.75%		11/15/30				15,000			17,643


									790,437

Retail — 0.67%
Alimentation Couche-Tard, Inc. (Canada)
2.95%		01/25/30	^2,4			15,000			16,198
3.80%		01/25/50	^2,4			20,000			22,199
Dollar General Corp.
3.50%		04/03/30				20,000			22,818
Home Depot, Inc. (The)
3.90%		12/06/28				10,000			11,981
Starbucks Corp.
2.00%		03/12/27				10,000			10,590


									83,786

Services — 1.61%
Emory University, Series 2020
2.14%		09/01/30				35,000			36,726



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Services (continued)
IHS Markit Ltd. (Bermuda)
4.75%		08/01/28	⁴		$	5,000		$	5,957
5.00%		11/01/22	^2,4			25,000			26,869
Massachusetts Institute of Technology
3.96%		07/01/38				25,000			31,189
Northwestern University
3.69%		12/01/38				20,000			23,256
RELX Capital, Inc.
3.00%		05/22/30				10,000			10,957
4.00%		03/18/29				20,000			23,505
Republic Services, Inc.
2.90%		07/01/26				15,000			16,617
Waste Connections, Inc. (Canada)
2.60%		02/01/30	⁴			25,000			26,964


									202,040

Transportation — 1.69%
Burlington Northern Santa Fe LLC
4.40%		03/15/42				4,000			5,035
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22				24,286			23,842
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28				50,000			48,590
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32				32,598			31,487
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23				4,190			3,781
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23				20,779			17,501
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24				49,619			46,642
Union Pacific Corp.
3.95%		09/10/28				30,000			35,530


									212,408

Water — 0.48%
American Water Capital Corp.
2.80%		05/01/30				55,000			60,367


Total Corporates
(Cost $6,577,665)									6,983,006



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED — 20.08%**
Non-Agency Commercial Mortgage-Backed — 7.19%
BANK, Series 2018-BNK10, Class XA (IO)
0.88%		02/15/61	³		$	270,618		$	12,237
BANK, Series 2019-BNK16, Class A4
4.01%		02/15/52				85,000			100,856
BANK, Series 2019-BNK17, Class A4
3.71%		04/15/52				55,000			64,235
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
1.02%		09/10/46	³			1,302,612			27,208
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
1.14%		10/10/47	³			642,875			21,176
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.37%		03/10/46	³			544,578			13,455
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.14%		07/10/45	³			18,503,582			39,052
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
1.13%		08/10/47	³			658,173			19,652
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.32%		03/10/47	³			1,077,232			34,010
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.23%		06/10/47	³			1,841,481			60,554
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.03%		09/10/47	^3,5,6			2,174,026			57,399
Credit Suisse Mortgage Capital Trust,
Series 2016-NXSR, Class XA (IO)
0.91%		12/15/49	³			399,482			12,182
DBUBS Mortgage Trust,
Series 2011-LC2A, Class XA (IO)
1.15%		07/10/44	^2,3			705,280			1,658
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
1.18%		08/10/43	^2,3			7,116,680			86,202
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
1.49%		08/10/44	^2,3			1,586,023			8,951
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.22%		04/10/47	³			1,715,762			41,353
GS Mortgage Securities Trust,
Series 2016-GS3, Class XA (IO)
1.36%		10/10/49	³			242,233			12,827
GS Mortgage Securities Trust,
Series 2017-GS7, Class XA (IO)
1.27%		08/10/50	³			98,938			5,416



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2019-GC42, Class A4
3.00%		09/01/52			$	50,000		$	56,177
GS Mortgage Securities Trust,
Series 2020-UPTN, Class XA (IO)
0.35%		02/10/37	^2,3			375,000			5,336
JPMBB Commercial Mortgage Securities
Trust, Series 2015-C29, Class XA (IO)
0.83%		05/15/48	³			626,892			16,187
JPMDB Commercial Mortgage Securities
Trust, Series 2017-C7, Class XA (IO)
1.04%		10/15/50	³			270,250			12,671
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2010-C2,
Class XB (IO)
0.81%		11/15/43	^2,3			1,397,175			3,515
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9,
Class XA (IO)
1.64%		12/15/47	³			889,233			22,707
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2019-OSB,
Class A
3.40%		06/05/39	²			5,000			5,694
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C22, Class XA (IO)
1.19%		04/15/48	³			729,253			24,946
Natixis Commercial Mortgage Securities
Trust, Series 2020-2PAC, Class XB (IO)
0.95%		12/15/38	^2,3			570,000			19,546
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.31%		08/10/49	^2,3,5,6			3,700,000			15,908
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.25%		08/15/50	³			361,380			11,587
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.19%		12/15/47	³			990,114			34,026
WF-RBS Commercial Mortgage Trust,
Series 2011-C3, Class XA (IO)
1.48%		03/15/44	^2,3			2,507,659			10,706
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XA (IO)
1.47%		06/15/45	^2,3			1,298,491			18,872
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.36%		03/15/47	³			922,137			28,488


									904,789

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed — 4.49%

Ameriquest Mortgage Securities, Inc.,

Asset-Backed Pass-Through Certificates,

Series 2005-R11, Class M3

(LIBOR USD 1-Month plus 0.50%)

0.65%

01/25/36

100,000

94,563

Banc of America Funding Trust,

Series 2014-R7, Class 2A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

09/26/36

^1,2

33,102

31,923

Bear Stearns ARM Trust, Series 2004-1,

Class 12A5

3.78%

04/25/34

11,269

10,930

Bombardier Capital Mortgage Securitization

Corp. Trust, Series 2000-A, Class A2

7.58%

06/15/30

19,426

5,275

Carrington Mortgage Loan Trust,

Series 2007-HE1, Class A2

(LIBOR USD 1-Month plus 0.15%)

0.30%

06/25/37

22,013

21,986

Centex Home Equity Loan Trust,

Series 2005-D, Class M4

(LIBOR USD 1-Month plus 0.61%)

0.76%

10/25/35

30,000

29,753

CIT Mortgage Loan Trust, Series 2007-1,

Class 1A

(LIBOR USD 1-Month plus 1.35%)

1.50%

10/25/37

^1,2

10,132

10,179

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

0.78%

02/25/35

51,865

50,555

Citigroup Mortgage Loan Trust, Inc.,

Series 2015-6, Class 2A1

0.72%

12/25/35

^2,3

45,266

45,579

Conseco Finance Corp., Series 1998-4,

Class A5

6.18%

04/01/30

19,387

19,406

Countrywide Asset-Backed Certificates Trust,

Series 2007-13, Class 2A1

(LIBOR USD 1-Month plus 0.90%)

1.05%

10/25/47

28,453

27,777

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

3.68%

09/25/35

17,392

17,701

HSI Asset Securitization Corp. Trust,

Series 2007-WF1, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

0.31%

05/25/37

26,242

25,489

IndyMac Index Mortgage Loan Trust,

Series 2007-FLX3, Class A1

(LIBOR USD 1-Month plus 0.24%)

0.39%

06/25/37

13,384

12,886

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

JPMorgan Mortgage Trust, Series 2005-A3,

Class 2A1

3.65%

06/25/35

11,071

11,199

Long Beach Mortgage Loan Trust,

Series 2006-1, Class 1A

(LIBOR USD 1-Month plus 0.22%)

0.37%

02/25/36

7,552

7,363

Morgan Stanley Mortgage Loan Trust,

Series 2004-5AR, Class 3A1

3.08%

07/25/34

17,920

18,234

Morgan Stanley Resecuritization Trust,

Series 2015-R2, Class 1A1

(Federal Reserve US 12-Month Cumulative

Average plus 0.71%)

1.88%

12/27/46

^1,2

37,513

37,498

Saxon Asset Securities Trust, Series 2007-2,

Class A2A

(LIBOR USD 1-Month plus 0.10%)

0.25%

05/25/47

85,567

72,146

Structured Asset Mortgage Investments II

Trust, Series 2004-AR1, Class 1A2

(LIBOR USD 1-Month plus 0.70%)

0.86%

03/19/34

2,366

2,253

Wells Fargo Home Equity Trust Mortgage

Pass-Through Certificates, Series 2004-1,

Class 2A1

(LIBOR USD 1-Month plus 0.30%)

0.45%

04/25/34

13,381

12,215

564,910

U.S. Agency Commercial Mortgage-Backed — 3.40%

Fannie Mae-Aces, Series 2016-M11,

Class X2 (IO)

2.82%

07/25/39

922,373

37,223

Fannie Mae-Aces, Series 2016-M2,

Class X3 (IO)

2.06%

04/25/36

504,119

7,740

Fannie Mae-Aces, Series 2016-M4,

Class X2 (IO)

2.70%

01/25/39

681,928

46,341

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K011,

Class X3 (IO)

2.69%

12/25/43

1,067,620

4,434

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K013,

Class X3 (IO)

2.91%

01/25/43

860,000

6,584

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K015,

Class X3 (IO)

2.90%

08/25/39

350,000

7,806

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K020,

Class X1 (IO)

1.49%

05/25/22

1,816,674

31,579

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K025,

Class X1 (IO)

0.93%

10/25/22

750,271

10,113

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K049,

Class X3 (IO)

1.60%

10/25/43

250,000

16,438

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K717,

Class X3 (IO)

1.68%

11/25/42

900,000

13,954

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K722,

Class X1 (IO)

1.44%

03/25/23

2,318,985

56,442

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KAIV,

Class X2 (IO)

3.61%

06/25/41

200,000

4,647

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC01,

Class X1 (IO)

0.81%

12/25/22

6,674,732

32,535

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC05,

Class X1 (IO)

1.20%

06/25/27

399,405

23,578

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

0.00%

08/16/46

1,045,743

16,265

Ginnie Mae, Series 2012-112, Class IO (IO)

0.20%

02/16/53

4,819,066

49,042

Ginnie Mae, Series 2013-1, Class IO (IO)

0.56%

02/16/54

1,395,906

33,113

Ginnie Mae, Series 2013-125, Class IO (IO)

0.53%

10/16/54

1,326,406

29,130

426,964

U.S. Agency Mortgage-Backed — 5.00%

Fannie Mae REMICS, Series 2011-116,

Class SA (IO)

(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)

5.85%

11/25/41

181,036

27,426

Fannie Mae REMICS, Series 2012-128,

Class UA

2.50%

06/25/42

81,395

83,261

Fannie Mae REMICS, Series 2013-5,

Class GF

(LIBOR USD 1-Month plus 1.10%)



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
1.25%		10/25/42	¹		$	64,491		$	64,793
Freddie Mac REMICS, Series 4064,
Class TB
3.50%		06/15/42				103,000			107,978
Freddie Mac REMICS, Series 4638,
Class UF
(LIBOR USD 1-Month plus 1.00%)
1.15%		09/15/44	¹			37,832			38,020
Freddie Mac Strips, Series 240,
Class IO (IO)
5.50%		07/15/36				266,068			53,893
Ginnie Mae, Series 2003-11, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
6.40%		02/16/33	¹			400,362			32,496
Ginnie Mae, Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.44%		10/20/33	¹			304,932			64,959
Ginnie Mae, Series 2018-124, Class NW
3.50%		09/20/48				54,714			59,152
Ginnie Mae, Series 2018-154, Class BP
3.50%		11/20/48				17,530			17,997
Ginnie Mae, Series 2019-15, Class GT
3.50%		02/20/49				73,768			78,577


									628,552

Total Mortgage-Backed
(Cost $3,033,680)									2,525,215


MUNICIPAL BONDS — 1.65%*
California — 1.06%
Los Angeles Department of Airports,
Revenue Bonds, Port, Airport and Marina
Improvements, Series A
5.00%		05/15/36				10,000			12,329
Los Angeles Unified School District, Build
America Bonds, School Improvements,
Series RY
6.76%		07/01/34				10,000			14,795
Los Angeles Unified School District, Build
America Taxable Bonds, School
Improvements, Series KR
5.75%		07/01/34				25,000			34,939
Regents of the University of California
Medical Center Pooled Revenue, Taxable
Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.01%		05/15/50				10,000			10,815
3.26%		05/15/60				20,000			22,038
San Francisco City & County Airport
Comm-San Francisco International Airport,
Airport and Marina Improvements, Series A
5.00%		05/01/49				10,000			11,845



Issues	Maturity Date		Principal Amount			Value
MUNICIPAL BONDS (continued)
California (continued)
Santa Clara Valley Transportation Authority,
Build America Bonds, Transit Improvements
5.88%		04/01/32		$	20,000		$	26,174


								132,935

Florida — 0.22%
County of Miami-Dade Aviation Revenue
Bonds, Airport and Marina Improvements,
Series D
3.50%		10/01/31			15,000			15,952
Greater Orlando Aviation Authority, Port,
Airport and Marina Improvements, Series A
5.00%		10/01/44			10,000			12,013


								27,965

New York — 0.14%
New York City Transitional Finance Authority
Future Tax Secured Revenue, Taxable
Bonds, Public Improvements
3.73%		08/01/29			5,000			5,715
New York State Dormitory Authority,
Revenue Bonds, School Improvements,
Series A
5.00%		03/15/47			5,000			6,070
New York State Environmental Facilities
Corp., Revenue Bonds, Water Utility
Improvements, Series B
4.00%		06/15/37			5,000			5,995


								17,780

North Carolina — 0.23%
University of North Carolina at Chapel Hill,
College and University Taxable Revenue
Bonds, Series C
3.33%		12/01/36			25,000			29,062


Total Municipal Bonds
(Cost $195,819)								207,742


U.S. TREASURY SECURITIES — 3.49%
U.S. Treasury Notes — 3.49%
U.S. Treasury Notes
0.25%		08/31/25			111,000			110,922
0.25%		09/30/25			254,000			253,752
U.S. Treasury Notes (WI)
0.63%		08/15/30			74,000			73,642


								438,316


Total U.S. Treasury Securities
(Cost $438,118)								438,316


Total Bonds – 85.51%
(Cost $10,843,662)								10,753,098



Issues	Maturity Date			Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS — 13.39%
Commercial Paper — 0.16%
Ford Motor Credit Co. LLC
3.20%⁷		10/08/20	²		$	20,000		$	19,997


Money Market Funds — 2.60%
Dreyfus Government Cash Management
Fund
2.33%⁸						302,000			302,000
Fidelity Investments Money Market Funds -
Government Portfolio
1.00%⁸						24,815			24,815


									326,815


U.S. Treasury Bills — 10.63%
U.S. Treasury Bills
0.12%⁷		02/04/21				300,000			299,890
0.13%⁷		01/21/21				250,000			249,922
0.14%⁷		11/12/20				300,000			299,969
0.16%⁷		11/05/20				37,000			36,997
0.16%⁷		11/27/20				300,000			299,956
0.16%⁷		12/03/20				150,000			149,978


									1,336,712


Total Short-Term Investments
(Cost $1,683,411)									1,683,524


Total Investments – 98.90%
(Cost $12,527,073)									12,436,622


Cash and Other Assets, Less
Liabilities – 1.10%									138,646


Net Assets – 100.00%								$	12,575,268

¹	Floating rate security. The rate disclosed was in effect at September 30, 2020.

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 $73,307, which is 0.58% of total net assets.

⁷	Represents annualized yield at date of purchase.

⁸	Represents the current yield as of September 30, 2020.

*	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 – 83.64%

ASSET-BACKED SECURITIES — 6.92%**

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

(LIBOR USD 1-Month plus 0.70%)

0.85%

07/25/56

^1,2

1,579,258

1,545,817

AMMC CLO 19 Ltd., Series 2016-19A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.42%

10/16/28

^1,2,3

2,200,000

2,182,984

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE3, Class A5

(LIBOR USD 1-Month plus 0.27%)

0.42%

03/25/36

3,635,000

3,536,378

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.35%

07/20/28

^1,2,3

5,500,000

5,465,680

Barings CLO Ltd., Series 2018-3A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

1.22%

07/20/29

^1,2,3

3,877,000

3,840,866

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

0.60%

04/25/35

^1,2

178,339

166,904

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

1.05%

02/25/30

85,469

85,673

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

1.24%

10/27/36

5,075,000

5,058,081

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

0.95%

04/26/32

^1,2

8,375,000

8,315,549

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

0.80%

08/27/46

^1,2

6,930,177

6,617,132

Goal Capital Funding Trust,

Series 2006-1, Class B

(LIBOR USD 3-Month plus 0.45%)

0.70%

08/25/42

2,121,030

1,851,679

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

1.30%

05/25/34

^1,2

878,072

876,873

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

3,535,005

4,062,022

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Magnetite VII CLO Ltd., Series 2012-7A,

Class A1R2 (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

1.08%

01/15/28

^1,2,3

5,590,000

5,534,547

Navient Student Loan Trust, Series 2015-2,

Class A3

(LIBOR USD 1-Month plus 0.57%)

0.72%

11/26/40

4,781,803

4,679,580

Navient Student Loan Trust, Series 2017-2A,

Class A

(LIBOR USD 1-Month plus 1.05%)

1.20%

12/27/66

^1,2

2,651,380

2,620,770

Nelnet Student Loan Trust, Series 2013-1A,

Class A

(LIBOR USD 1-Month plus 0.60%)

0.75%

06/25/41

^1,2

2,311,767

2,248,537

Nelnet Student Loan Trust, Series 2014-5A,

Class A

(LIBOR USD 1-Month plus 0.55%)

0.70%

07/25/46

^1,2

7,446,275

7,264,397

Palmer Square CLO Ltd.,

Series 2018-1A, Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 1.03%)

1.30%

04/18/31

^1,2,3

2,375,000

2,338,520

Palmer Square Loan Funding Ltd.,

Series 2020-2A, Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 1.00%)

1.27%

04/20/28

^1,2,3

4,915,139

4,903,337

PFS Financing Corp.,

Series 2017-D, Class A

2.40%

10/17/22

5,780,000

5,783,844

PFS Financing Corp.,

Series 2018-B, Class A

2.89%

02/15/23

7,020,000

7,083,778

PHEAA Student Loan Trust, Series 2016-1A,

Class A

(LIBOR USD 1-Month plus 1.15%)

1.30%

09/25/65

^1,2

7,649,989

7,634,761

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.92%)

1.19%

10/20/27

^1,2,3

3,251,366

3,235,467

Riserva CLO Ltd., Series 2016-3A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.41%

10/18/28

^1,2,3

6,700,000

6,658,125

SLC Student Loan Trust I, Series 2002-2,

Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^1,2

3,500,000

3,091,074

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLC Student Loan Trust, Series 2007-1,

Class A4

(LIBOR USD 3-Month plus 0.06%)

0.34%

05/15/29

3,502,324

3,398,738

SLM Student Loan Trust, Series 2003-10A,

Class A3

(LIBOR USD 3-Month plus 0.47%)

0.72%

12/15/27

^1,2

4,418,253

4,393,442

SLM Student Loan Trust, Series 2003-11,

Class A6

(LIBOR USD 3-Month plus 0.55%)

0.80%

12/15/25

^1,2

2,669,540

2,659,815

SLM Student Loan Trust, Series 2006-9,

Class A5

(LIBOR USD 3-Month plus 0.10%)

0.34%

01/26/26

331,434

331,180

SLM Student Loan Trust, Series 2007-6,

Class A4

(LIBOR USD 3-Month plus 0.38%)

0.62%

10/25/24

1,748,147

1,746,776

SLM Student Loan Trust, Series 2008-1,

Class A4

(LIBOR USD 3-Month plus 0.65%)

0.89%

01/25/22

4,988,985

4,731,279

SLM Student Loan Trust, Series 2008-4,

Class A4

(LIBOR USD 3-Month plus 1.65%)

1.89%

07/25/22

4,177,175

4,120,342

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

1.34%

07/25/23

2,852,174

2,753,623

SLM Student Loan Trust, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.70%)

0.85%

01/25/29

2,382,911

2,216,972

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

0.80%

05/26/26

9,332,119

9,128,483

SLM Student Loan Trust, Series 2013-4,

Class A

(LIBOR USD 1-Month plus 0.55%)

0.70%

06/25/43

2,844,153

2,777,221

SLM Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.60%)

0.75%

02/26/29

4,584,546

4,298,572

Total Asset-Backed Securities

(Cost $149,792,609)

149,238,818

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS — 1.35%*

Automotive — 0.03%

Panther BF Aggregator 2 LP

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.65%

04/30/26

594,000

580,264

Communications — 0.64%

CenturyLink, Inc.,

Term Loan A, 1st Lien

(LIBOR plus 2.00%)

2.15%

01/31/25

577,500

562,101

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

03/15/27

893,250

860,155

Charter Communications Operating LLC,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.90%

02/01/27

248,120

242,913

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

01/15/26

1,182,000

1,145,553

Frontier Communications Corp.,

Term Loan B, 1st Lien

(PRIME plus 2.75%)

6.00%

06/17/24

2,191,304

2,162,390

Intelsat Jackson Holdings SA,

Term Loan B4, 1st Lien (Luxembourg)

(PRIME plus 5.50%)

8.75%

01/02/24

^1,3

488,919

494,495

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

8.63%

01/02/24

^1,3

4,252,054

4,311,412

Intelsat Jackson Holdings,

Delayed-Draw Term Loan, 1st Lien

(Luxembourg)

(LIBOR plus 5.50%)

6.50%

07/14/21

^1,3,4

510,971

521,403

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/01/27

1,250,000

1,213,281

T-Mobile USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

04/01/27

1,461,338

1,461,988

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

03/09/27

796,000

774,253

13,749,944

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Electric — 0.01%

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.90%

12/31/25

199,798

197,188

1.90%

12/31/25

48,148

47,519

244,707

Finance — 0.17%

Delos Finance SARL,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.97%

10/06/23

3,700,655

3,626,179

Food — 0.03%

Hostess Brands LLC,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

3.00%

08/03/25

645,113

636,242

Health Care — 0.20%

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

986,871

967,676

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

08/01/27

2,441,520

2,376,661

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.10%

11/15/27

248,125

243,531

MPH Acquisition Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

3.75%

06/07/23

250,000

246,474

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

06/02/25

612,990

602,008

4,436,350

Industrials — 0.08%

Berry Plastics Group, Inc.,

Term Loan Y, 1st Lien

(LIBOR plus 2.00%)

2.16%

07/01/26

1,336,847

1,301,093

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

2.40%

05/30/25

397,000

376,060

1,677,153

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology — 0.11%

Broadcom, Inc.,

Delayed-Draw Term Loan A3

(LIBOR plus 1.13%)

1.28%

11/04/22

777,218

IQVIA, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/07/24

450,337

444,876

IQVIA, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.97%

06/11/25

736,846

728,557

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

259,915

252,443

SS&C Technologies, Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

182,609

177,359

2,380,453

Real Estate Investment Trust (REIT) — 0.01%

VICI Properties 1 LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

12/20/24

250,000

242,259

Services — 0.06%

GFL Environmental, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

4.00%

05/30/25

1,359,461

1,355,553

Transportation — 0.01%

American Airlines, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

01/29/27

250,000

184,506

Total Bank Loans

(Cost $28,566,509)

29,113,610

CORPORATES — 26.19%*

Banking — 3.09%

Bank of America Corp.

2.74%

01/23/22

⁵

9,705,000

9,774,210

3.00%

12/20/23

⁵

2,801,000

2,942,379

Bank of America N.A.

3.34%

01/25/23

⁵

1,015,000

1,054,732

HSBC Holdings PLC (United Kingdom)

3.95%

05/18/24

^3,5

10,065,000

10,770,520

Lloyds Bank PLC (United Kingdom)

6.38%

01/21/21

2,000,000

2,037,157



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Banking (continued)
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	^3,5		$	3,475,000		$	3,573,339
3.87%		07/09/25	^3,5			3,700,000			4,031,966
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		08/05/21	³			13,000,000			13,260,775
3.37%		01/05/24	^3,5			1,000,000			1,045,662
Santander UK PLC (United Kingdom)
2.50%		01/05/21	³			2,250,000			2,262,823
Wells Fargo & Co. (MTN)
2.39%		06/02/28	⁵			2,000,000			2,089,776
3.75%		01/24/24				7,935,000			8,633,148
Wells Fargo Bank N.A. (BKNT)
2.08%		09/09/22	⁵			5,105,000			5,176,544


									66,653,031

Communications — 1.82%
AT&T, Inc.
2.30%		06/01/27				1,600,000			1,682,981
3.88%		01/15/26				1,400,000			1,588,570
4.30%		02/15/30				4,400,000			5,219,864
(LIBOR USD 3-Month plus 1.18%)
1.43%		06/12/24	¹			475,000			484,818
Charter Communications Operating LLC/
Charter Communications Operating Capital
4.50%		02/01/24				1,720,000			1,908,329
4.91%		07/23/25				2,200,000			2,543,244
Cox Communications, Inc.
7.63%		06/15/25				900,000			1,131,947
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%		09/20/21	²			4,475,000			4,524,762
4.74%		03/20/25	²			4,650,000			5,042,344
5.15%		03/20/28	²			3,675,000			4,338,797
T-Mobile USA, Inc.
3.88%		04/15/30	²			3,810,000			4,327,665
ViacomCBS, Inc.
3.70%		08/15/24				2,095,000			2,299,309
Vodafone Group PLC (United Kingdom)
3.75%		01/16/24	³			668,000			729,937
4.13%		05/30/25	³			3,000,000			3,421,282


									39,243,849

Consumer Discretionary — 0.66%
Anheuser-Busch InBev Worldwide, Inc.
3.50%		06/01/30				4,770,000			5,440,223
BAT Capital Corp.
2.76%		08/15/22				8,530,000			8,844,824


									14,285,047



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Electric — 2.46%
American Electric Power Co., Inc., Series I
3.65%		12/01/21			$	5,000,000		$	5,180,790
Black Hills Corp.
4.25%		11/30/23				4,050,000			4,442,960
Dominion Energy, Inc.
2.45%		01/15/23	²			5,000,000			5,212,621
Dominion Energy, Inc., Series A
3.30%		03/15/25				4,600,000			5,078,936
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²			5,000,000			5,254,679
Evergy Metro, Inc.
3.65%		08/15/25				1,613,000			1,822,736
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.48%)
0.73%		05/04/21	¹			10,650,000			10,674,898
(LIBOR USD 3-Month plus 0.55%)
0.81%		08/28/21	¹			3,412,000			3,413,347
Pennsylvania Electric Co.
4.15%		04/15/25	²			500,000			550,437
PNM Resources, Inc.
3.25%		03/09/21				10,732,000			10,855,213
Tucson Electric Power Co.
3.85%		03/15/23				530,000			563,423


									53,050,040

Energy — 2.00%
BP Capital Markets America, Inc.
3.63%		04/06/30				3,810,000			4,381,151
Energy Transfer Operating LP
4.05%		03/15/25				2,610,000			2,751,071
4.90%		02/01/24				4,292,000			4,633,910
NGPL PipeCo LLC
4.38%		08/15/22	²			5,249,000			5,452,089
Petroleos Mexicanos (Mexico)
5.35%		02/12/28	³			6,470,000			5,582,316
6.50%		01/23/29	³			955,000			859,452
Plains All American Pipeline LP/PAA
Finance Corp.
4.50%		12/15/26				5,422,000			5,781,286
Ruby Pipeline LLC
7.75%		04/01/22	²			2,669,318			2,246,231
Sabine Pass Liquefaction LLC
5.75%		05/15/24				3,715,000			4,200,730
Sunoco Logistics Partners Operations LP
4.25%		04/01/24				2,000,000			2,101,027
TC PipeLines LP
4.65%		06/15/21				4,900,000			5,031,640


									43,020,903



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance — 4.97%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.95%		02/01/22	³		$	1,935,000		$	1,959,991
4.88%		01/16/24	³			718,000			741,719
5.00%		10/01/21	³			1,000,000			1,031,078
Air Lease Corp.
3.50%		01/15/22				4,170,000			4,278,898
Avolon Holdings Funding Ltd.
(Cayman Islands)
3.63%		05/01/22	^2,3			2,860,000			2,811,863
5.25%		05/15/24	^2,3			170,000			170,560
Citigroup, Inc.
3.35%		04/24/25	⁵			8,620,000			9,334,066
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
1.18%		02/15/22	^1,2			8,195,000			8,226,050
Ford Motor Credit Co. LLC
3.20%		01/15/21				5,000,000			4,998,813
3.22%		01/09/22				503,000			504,232
5.60%		01/07/22				1,662,000			1,703,550
5.75%		02/01/21				5,241,000			5,286,859
(LIBOR USD 3-Month plus 0.81%)
1.04%		04/05/21	¹			1,205,000			1,188,116
(LIBOR USD 3-Month plus 0.88%)
1.15%		10/12/21	¹			2,500,000			2,402,259
(LIBOR USD 3-Month plus 1.08%)
1.33%		08/03/22	¹			2,700,000			2,559,600
GE Capital Funding LLC
4.40%		05/15/30	²			5,810,000			6,251,453
General Motors Financial Co., Inc.
4.20%		03/01/21				3,000,000			3,035,849
4.20%		11/06/21				7,405,000			7,643,493
4.38%		09/25/21				4,000,000			4,127,479
Goldman Sachs Group, Inc. (The)
2.63%		04/25/21				1,880,000			1,900,342
2.88%		10/31/22	⁵			726,000			743,798
2.91%		07/24/23	⁵			6,814,000			7,082,775
Intercontinental Exchange, Inc.
(LIBOR USD 3-Month plus 0.65%)
0.90%		06/15/23	¹			9,150,000			9,207,240
Morgan Stanley (GMTN)
5.50%		07/28/21				5,260,000			5,482,022
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,5			7,715,000			8,019,677



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
Park Aerospace Holdings Ltd.
(Cayman Islands)
3.63%		03/15/21	^2,3		$	860,000		$	853,158
4.50%		03/15/23	^2,3			2,070,000			2,052,441
5.25%		08/15/22	^2,3			3,605,000			3,621,179


									107,218,560

Food — 1.39%
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
0.77%		10/09/20	¹			8,203,000			8,203,762
Kraft Heinz Foods Co.
3.50%		06/06/22				1,445,000			1,520,664
3.95%		07/15/25				3,795,000			4,122,056
4.00%		06/15/23				11,326,000			12,140,141
Smithfield Foods, Inc.
3.35%		02/01/22	²			3,946,000			4,007,952


									29,994,575

Health Care — 4.46%
AbbVie, Inc.
3.25%		10/01/22	²			1,500,000			1,568,594
3.45%		03/15/22	²			3,000,000			3,112,674
3.80%		03/15/25	²			4,615,000			5,148,461
3.85%		06/15/24	²			2,500,000			2,742,021
Aetna, Inc.
3.50%		11/15/24				3,136,000			3,441,492
Amgen, Inc.
2.65%		05/11/22				671,000			694,010
Anthem, Inc.
3.70%		08/15/21				1,478,000			1,508,151
Bausch Health Cos., Inc. (Canada)
7.00%		03/15/24	^2,3			5,000,000			5,180,000
Bayer U.S. Finance II LLC
2.20%		07/15/22	²			1,455,000			1,473,457
2.75%		07/15/21	²			635,000			645,604
2.85%		04/15/25	²			2,300,000			2,412,657
3.50%		06/25/21	²			1,825,000			1,861,426
3.88%		12/15/23	²			5,540,000			6,057,375
4.25%		12/15/25	²			1,000,000			1,145,933
Boston Scientific Corp.
1.90%		06/01/25				2,500,000			2,612,193
Bristol Myers Squibb Co.
(LIBOR USD 3-Month plus 0.20%)
0.48%		11/16/20	¹			4,100,000			4,100,742
Cigna Corp.
3.75%		07/15/23				3,988,000			4,316,995



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
Cigna Corp., Series WI
(LIBOR USD 3-Month plus 0.65%)
0.90%		09/17/21	¹		$	3,410,000		$	3,410,696
CVS Health Corp.
2.88%		06/01/26				4,330,000			4,697,957
4.10%		03/25/25				961,000			1,085,526
Elanco Animal Health, Inc.
4.91%		08/27/21				2,500,000			2,571,875
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.74%		09/29/23	¹			6,500,000			6,508,672
HCA, Inc.
5.00%		03/15/24				4,665,000			5,226,336
Humana, Inc.
2.50%		12/15/20				5,675,000			5,698,608
3.15%		12/01/22				2,000,000			2,100,326
3.85%		10/01/24				3,990,000			4,414,698
Royalty Pharma PLC (United Kingdom)
0.75%		09/02/23	^2,3			5,275,000			5,269,519
Shire Acquisitions Investments Ireland DAC (Ireland)
2.40%		09/23/21	³			1,374,000			1,399,071
Tenet Healthcare Corp.
4.63%		09/01/24	²			3,000,000			3,023,032
Zimmer Biomet Holdings, Inc.
(LIBOR USD 3-Month plus 0.75%)
0.98%		03/19/21	¹			2,685,000			2,685,483


									96,113,584

Industrials — 1.46%
BAE Systems Holdings, Inc.
2.85%		12/15/20	²			1,070,000			1,072,984
Bemis Co., Inc.
4.50%		10/15/21				6,947,000			7,145,816
General Electric Co. (MTN)
2.00%		02/15/21				7,000,000			7,001,529
(LIBOR USD 3-Month plus 0.38%)
0.63%		05/05/26	¹			7,674,000			7,134,185
(LIBOR USD 3-Month plus 0.48%)
0.76%		08/15/36	¹			2,182,000			1,488,346
General Electric Co., Series NOTZ
(LIBOR USD 3-Month plus 1.00%)
1.28%		04/15/23	¹			4,936,000			4,908,533
Ingersoll-Rand Co.
9.00%		08/15/21				1,100,000			1,175,832
L3Harris Technologies, Inc.
2.46%		02/15/21				1,525,000			1,532,590


									31,459,815



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Information Technology — 0.18%
Dell International LLC/EMC Corp.
4.42%		06/15/21	²		$	2,004,000		$	2,051,615
NXP BV/NXP Funding LLC (Netherlands)
4.63%		06/01/23	^2,3			1,590,000			1,740,235


									3,791,850

Insurance — 0.33%
Metropolitan Life Global Funding I
3.38%		01/11/22	²			1,550,000			1,609,098
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^2,5			5,550,000			5,550,154


									7,159,252

Materials — 0.07%
Nutrition & Biosciences, Inc.
0.70%		09/15/22	²			1,490,000			1,492,889


Real Estate Investment Trust (REIT) — 2.43%
American Campus Communities
Operating Partnership LP
3.75%		04/15/23				7,374,000			7,758,029
Boston Properties LP
4.13%		05/15/21				1,495,000			1,509,481
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24				6,440,000			6,838,861
Digital Realty Trust LP
2.75%		02/01/23				1,030,000			1,078,178
Essex Portfolio LP
5.20%		03/15/21				1,405,000			1,417,365
GLP Capital LP/GLP Financing II, Inc.
5.38%		11/01/23				7,673,000			8,183,064
Healthcare Realty Trust, Inc.
3.75%		04/15/23				5,000,000			5,370,849
Healthpeak Properties, Inc.
4.25%		11/15/23				166,000			181,399
Highwoods Realty LP
3.20%		06/15/21				943,000			952,095
Kilroy Realty LP
3.45%		12/15/24				1,558,000			1,649,811
Kimco Realty Corp.
3.40%		11/01/22				4,000,000			4,208,022
Realty Income Corp.
3.25%		10/15/22				3,000,000			3,148,727
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
1.26%		08/16/21	¹			7,450,000			7,398,421
WEA Finance LLC/Westfield UK & Europe Finance PLC
3.25%		10/05/20	²			2,800,000			2,800,167


									52,494,469



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Retail — 0.11%
Alimentation Couche-Tard, Inc. (Canada)
3.55%		07/26/27	^2,3		$	2,175,000		$	2,405,519

Services — 0.46%
IHS Markit Ltd. (Bermuda)
3.63%		05/01/24	³			2,090,000			2,262,352
5.00%		11/01/22	^2,3			7,046,000			7,572,818


									9,835,170

Transportation — 0.30%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21				49,495			48,506
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21				584,815			529,258
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23				894,039			768,555
Aviation Capital Group LLC
(LIBOR USD 3-Month plus 0.95%)
1.20%		06/01/21	^1,2			2,135,000			2,089,108
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A
7.71%		04/02/21				199,196			201,971
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28				1,570,000			1,525,722
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22				1,268,763			1,237,508


									6,400,628


Total Corporates
(Cost $551,398,017)									564,619,181


MORTGAGE-BACKED — 30.38%**
Non-Agency Commercial Mortgage-Backed — 6.29%
Benchmark Mortgage Trust,
Series 2018-B4, Class A1
3.13%		07/15/51				9,640			9,636
BX Commercial Mortgage Trust,
Series 2018-IND, Class A
(LIBOR USD 1-Month plus 0.75%)
0.90%		11/15/35	^1,2			1,593,563			1,596,461
BX Commercial Mortgage Trust,
Series 2020-BXLP, Class A
(LIBOR USD 1-Month plus 0.80%)
0.95%		12/15/36	^1,2			5,424,036			5,431,163



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%		05/10/58			$	3,393,000		$	3,609,663
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.37%		03/10/46	⁵			26,383,789			651,864
Commercial Mortgage Trust,
Series 2013-LC6, Class ASB
2.48%		01/10/46				5,453,774			5,550,905
Commercial Mortgage Trust,
Series 2014-CR15, Class ASB
3.60%		02/10/47				4,404,322			4,618,105
Commercial Mortgage Trust,
Series 2016-DC2, Class ASB
3.55%		02/10/49				255,000			273,292
DBRR Trust,
Series 2011-LC2, Class A4A
4.54%		07/12/44	^2,5			7,871,612			7,930,631
DBUBS Mortgage Trust,
Series 2011-LC2A, Class A4
4.54%		07/10/44	²			7,060,743			7,145,227
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class A
3.67%		09/10/35	^2,5			3,600,000			3,911,481
GE Business Loan Trust, Series 2007-1A,
Class A
(LIBOR USD 1-Month plus 0.17%)
0.32%		04/15/35	^1,2			458,057			458,057
GRACE Mortgage Trust,
Series 2014-GRCE, Class A
3.37%		06/10/28	²			4,400,000			4,425,753
GS Mortgage Securities Corp. II,
Series 2018-GS10, Class A1
3.20%		07/10/51				5,130,970			5,286,364
GS Mortgage Securities Trust,
Series 2011-GC5, Class A3
3.82%		08/10/44				4,209,899			4,238,310
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%		05/15/48	²			8,210,558			8,295,525
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C5,
Class A3
4.17%		08/15/46				1,269,556			1,295,313
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C6,
Class ASB
3.14%		05/15/45				6,743,850			6,890,787
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C8, Class ASB
2.38%		10/15/45				3,197,960			3,255,886



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-LC11,
Class XA (IO)
1.39%		04/15/46	⁵		$	30,752,313		$	794,257
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C12, Class XA (IO)
0.75%		10/15/46	⁵			48,434,121			728,148
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C21, Class XA (IO)
1.02%		03/15/48	⁵			35,985,362			1,064,821
Morgan Stanley Capital I Trust,
Series 2011-C1, Class A4
5.03%		09/15/47	^2,5			471,017			473,342
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A4
4.12%		07/15/49				4,130,329			4,160,091
One Lincoln Street Commercial Mortgage,
Series 2004-C3, Class A1
5.72%		10/15/30	^2,5			7,523,837			8,357,955
UBS Commercial Mortgage Trust,
Series 2018-C11, Class A1
3.21%		06/15/51				1,536,481			1,568,863
UBS Commercial Mortgage Trust,
Series 2019-C16, Class A1
2.74%		04/15/52				8,077,166			8,311,180
VNDO Mortgage Trust, Series 2013-PENN,
Class A
3.81%		12/13/29	²			10,104,000			10,097,621
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50				9,543,249			10,174,567
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class A2
2.50%		11/15/59				3,945,000			3,985,842
Wells Fargo Commercial Mortgage Trust,
Series 2016-LC24, Class A2
2.50%		10/15/49				3,995,444			4,018,443
Wells Fargo Re-REMIC Trust,
Series 2011-RR1, Class 1B
4.85%		09/17/47	^2,5			4,499,999			4,518,457
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class A4
4.87%		02/15/44	^2,5			2,497,644			2,512,711


									135,640,721

Non-Agency Mortgage-Backed — 8.56%
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.37%		02/25/37	¹			9,195,746			9,066,321

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Aegis Asset-Backed Securities Trust,

Series 2005-5, Class 2A

(LIBOR USD 1-Month plus 0.25%)

0.40%

12/25/35

2,171,223

2,168,528

Ameriquest Mortgage Securities, Inc.,

Asset-Backed Pass-Through Certificates,

Series 2005-R1, Class M3

(LIBOR USD 1-Month plus 0.80%)

0.94%

03/25/35

7,258,328

7,230,743

Amresco Residential Securities Corp.

Mortgage Loan Trust, Series 1998-1,

Class A5 (STEP-reset date 11/25/20)

6.47%

10/25/27

7,166

7,310

Banc of America Alternative Loan Trust,

Series 2003-8, Class 1CB1

5.50%

10/25/33

6,320,450

6,497,439

Banc of America Funding Trust,

Series 2015-R2, Class 9A1

(LIBOR USD 1-Month plus 0.22%)

0.36%

03/27/36

^1,2

1,306,944

1,312,625

Banc of America Funding Trust,

Series 2015-R4, Class 3A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

07/27/36

^1,2

2,615,911

2,590,516

Banc of America Funding Trust,

Series 2016-R1, Class A1

2.50%

03/25/40

^2,5

4,960,734

5,009,486

BCAP LLC Trust, Series 2008-IND2,

Class A1

(LIBOR USD 1-Month plus 1.65%)

1.80%

04/25/38

1,929,016

1,936,177

BCAP LLC Trust, Series 2013-RR5,

Class 2A1

3.34%

03/26/37

^2,5

1,860,593

1,875,144

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

Class 1M1

(LIBOR USD 1-Month plus 0.75%)

0.90%

03/25/35

6,579,201

6,534,809

Bear Stearns ARM Trust, Series 2004-3,

Class 4A

3.29%

07/25/34

⁵

548,164

560,783

BNC Mortgage Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 1-Month plus 0.16%)

0.31%

03/25/37

6,661,195

6,362,151

Chase Mortgage Finance Trust,

Series 2007-A1, Class 8A1

3.39%

02/25/37

⁵

5,171,925

5,202,513

Chase Mortgage Finance Trust,

Series 2007-A2, Class 2A3

3.53%

06/25/35

⁵

1,047,082

1,042,653

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Chevy Chase Mortgage Funding LLC,

Mortgage-Backed Certificates,

Series 2005-2A, Class A1

(LIBOR USD 1-Month plus 0.18%)

0.33%

05/25/36

^1,2

611,189

558,631

CIM Trust, Series 2018-R6, Class A1

(LIBOR USD 1-Month plus 1.08%)

1.23%

09/25/58

^1,2

8,182,969

8,051,511

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-HYB1, Class A41

2.92%

02/25/34

⁵

28,843

28,782

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-WFH4, Class A2C

(LIBOR USD 1-Month plus 1.30%)

1.45%

07/25/37

82,498

74,317

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-14,

Class 4A1

2.66%

08/25/34

⁵

11,332

10,778

Credit Suisse First Boston Mortgage

Securities Corp., Series 2004-AR1,

Class 5A1

3.17%

02/25/34

⁵

1,147,919

1,175,879

Credit Suisse Mortgage Capital Trust,

Series 2018-RPL8, Class A1

4.13%

07/25/58

^2,5

3,695,479

3,688,500

Credit-Based Asset Servicing and

Securitization LLC, Series 2005-CB4,

Class M2

(LIBOR USD 1-Month plus 0.45%)

0.60%

07/25/35

1,894,386

1,888,505

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A1

(LIBOR USD 1-Month plus 0.06%)

0.21%

04/25/37

2,545,083

1,863,602

DSLA Mortgage Loan Trust,

Series 2005-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.21%)

0.37%

03/19/45

613,604

579,785

Encore Credit Receivables Trust,

Series 2005-2, Class M2

(LIBOR USD 1-Month plus 0.69%)

0.84%

11/25/35

557,275

564,431

First Franklin Mortgage Loan Trust,

Series 2004-FF5, Class A3C

(LIBOR USD 1-Month plus 1.00%)

1.15%

08/25/34

609,968

616,637

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

First Franklin Mortgage Loan Trust,

Series 2006-FF5, Class 2A5 (PO)

0.00%

04/25/36

⁶

8,040,000

7,854,354

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA3, Class A1

2.47%

09/25/34

⁵

3,285

3,207

GMACM Home Equity Loan Trust,

Series 2000-HE2, Class A1

(LIBOR USD 1-Month plus 0.44%)

0.61%

06/25/30

108,517

88,089

GSAMP Trust, Series 2006-NC1, Class A3

(LIBOR USD 1-Month plus 0.29%)

0.44%

02/25/36

5,257,643

5,110,541

GSR Mortgage Loan Trust,

Series 2005-AR7, Class 2A1

3.83%

11/25/35

⁵

266,924

267,631

HSI Asset Securitization Corp. Trust,

Series 2005-NC1, Class M1

(LIBOR USD 1-Month plus 0.77%)

0.91%

07/25/35

138,028

178,378

Impac CMB Trust, Series 2005-5,

Class A1

(LIBOR USD 1-Month plus 0.64%)

0.79%

08/25/35

1,962,519

1,863,113

IndyMac Index Mortgage Loan Trust,

Series 2004-AR12, Class A1

(LIBOR USD 1-Month plus 0.78%)

0.93%

12/25/34

228,326

188,362

IndyMac Index Mortgage Loan Trust,

Series 2004-AR8, Class 2A2A

(LIBOR USD 1-Month plus 0.80%)

0.95%

11/25/34

731,152

681,103

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1998-1,

Class A4

6.49%

09/25/28

390,919

397,272

JPMorgan Mortgage Acquisition Trust,

Series 2005-FRE1, Class A2F3

(STEP-reset date 11/25/20)

3.13%

10/25/35

13,971

13,947

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH2, Class AV5

(LIBOR USD 1-Month plus 0.26%)

0.41%

01/25/37

6,497,971

6,458,075

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AV4

(LIBOR USD 1-Month plus 0.28%)

0.43%

03/25/47

50,000

39,008

JPMorgan Mortgage Trust, Series 2007-A1,

Class 1A1

3.22%

07/25/35

⁵

750,563

759,012



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2007-A1,
Class 5A2
3.60%		07/25/35	⁵		$	172,130		$	169,299
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class AIOC
(IO)
0.55%		04/15/40	^5,7,8			88,822,253			1,531,509
Long Beach Mortgage Loan Trust,
Series 2005-WL3, Class M1
(LIBOR USD 1-Month plus 0.65%)
0.79%		11/25/35	¹			5,375,504			5,311,966
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.93%		01/25/34	⁵			6,728			6,897
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
3.23%		11/21/34	⁵			596,059			602,901
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
3.16%		04/25/34	⁵			75,726			76,435
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
4.13%		06/25/34	⁵			30,451			31,814
MASTR Alternative Loan Trust,
Series 2003-1, Class 1A1
6.25%		12/25/32				1,670,619			1,757,545
MASTR Alternative Loan Trust,
Series 2003-5, Class 4A1
5.50%		07/25/33				3,029,311			3,269,186
MASTR Alternative Loan Trust,
Series 2003-9, Class 4A1
5.25%		11/25/33				3,310,780			3,426,932
MASTR Alternative Loan Trust,
Series 2004-7, Class 1A1
5.50%		07/25/34				3,059,537			3,300,510
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.99%		10/25/32	⁵			149,579			149,576
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.33%		06/25/37	¹			10,013,909			7,373,465
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
3.17%		08/25/34	⁵			899,014			901,746
Merrill Lynch Mortgage Investors Trust,
Series 2006-F1, Class 1A2
6.00%		04/25/36				1,196,445			897,398
Mid-State Capital Corp., Series 2004-1,
Class B
8.90%		08/15/37				715,064			812,308



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Capital Corp., Series 2006-1,
Class A
5.79%		10/15/40	²		$	4,224,508		$	4,592,551
Mid-State Trust, Series 2010-W, Class A2
5.82%		02/15/36				504,893			546,382
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
1.08%		07/25/34	¹			1,032,933			1,007,948
Morgan Stanley Mortgage Loan Trust,
Series 2004-6AR, Class 1A
(LIBOR USD 1-Month plus 0.90%)
1.05%		07/25/34	¹			60,185			60,267
MortgageIT Trust, Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.60%)
0.75%		08/25/35	¹			227,234			223,144
MortgageIT Trust, Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
0.43%		10/25/35	¹			6,317,996			6,107,738
Nationstar Home Equity Loan Trust,
Series 2007-B, Class 1AV1
(LIBOR USD 1-Month plus 0.22%)
0.37%		04/25/37	¹			12,419,425			12,276,208
New Century Home Equity Loan Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.96%)
1.11%		07/25/35	¹			4,158,500			4,146,534
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
0.37%		02/25/36	¹			7,181,370			7,059,370
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.22%)
0.37%		01/25/36	¹			2,856,768			2,689,584
Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates,
Series 2004-WCW2, Class M2
(LIBOR USD 1-Month plus 0.98%)
1.12%		10/25/34	¹			2,857,248			2,888,066
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.13%		03/25/35	⁵			1,821,381			1,104,932
Residential Asset Mortgage Products Trust,
Series 2004-SL4, Class A3
6.50%		07/25/32				150,121			148,466
Residential Asset Mortgage Products Trust,
Series 2005-SL1, Class A5
6.50%		05/25/32				321,546			307,280



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Saxon Asset Securities Trust, Series 2005-3,
Class M2
(LIBOR USD 1-Month plus 0.72%)
0.87%		11/25/35	¹		$	3,718,770		$	3,706,337
Securitized Asset-Backed Receivables LLC
Trust, Series 2006-CB1, Class AF2
(STEP-reset date 11/25/20)
3.20%		01/25/36				1,835,067			1,499,272
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 2003-26A, Class 3A5
2.62%		09/25/33	⁵			362,238			359,895
Terwin Mortgage Trust, Series 2004-7HE,
Class A1
(LIBOR USD 1-Month plus 0.55%)
0.70%		07/25/34	^1,2			110,847			107,816
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
3.82%		01/25/35	⁵			479,108			483,743
WaMu Mortgage Pass-Through Certificates,
Series 2004-CB2, Class 2A
5.50%		07/25/34				2,973,397			3,102,297
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.29%)
0.44%		10/25/45	¹			1,785,559			1,766,185
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.33%)
0.48%		01/25/45	¹			275,860			265,463


									184,469,613

U.S. Agency Commercial Mortgage-Backed — 6.82%
Fannie Mae-Aces, Series 2011-M2,
Class A3
3.76%		04/25/21				8,367,798			8,433,949
Fannie Mae-Aces, Series 2017-M14,
Class A1
2.97%		11/25/27	⁵			11,908,237			12,912,299
Fannie Mae-Aces, Series 2017-M15,
Class A1
3.06%		09/25/27	⁵			5,790,545			6,284,119
Fannie Mae-Aces, Series 2020-M10,
Class X1 (IO)
1.92%		12/25/30	⁵			3,757,913			517,331
Fannie Mae-Aces, Series 2020-M10,
Class X2 (IO)
1.83%		12/25/30	⁵			8,902,598			1,186,381

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Fannie Mae-Aces, Series 2020-M10,

Class X8 (IO)

0.78%

12/25/27

⁵

4,305,000

166,673

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series J22F,

Class A1

3.45%

05/25/23

604,859

608,981

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K010,

Class A2

4.33%

10/25/20

⁵

23,107

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K037,

Class A1

2.59%

04/25/23

2,793,196

2,869,224

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K038,

Class A1

2.60%

10/25/23

1,825,394

1,871,576

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K735,

Class A1

2.74%

05/25/25

1,125,714

1,155,068

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF27,

Class A

(LIBOR USD 1-Month plus 0.42%)

0.58%

12/25/26

2,661,577

2,675,169

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF34,

Class A

(LIBOR USD 1-Month plus 0.36%)

0.52%

08/25/24

3,879,098

3,894,173

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF37,

Class A

(LIBOR USD 1-Month plus 0.36%)

0.52%

09/25/27

2,141,106

2,150,265

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF38,

Class A

(LIBOR USD 1-Month plus 0.33%)

0.49%

09/25/24

5,824,062

5,843,812

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF39,

Class A

(LIBOR USD 1-Month plus 0.32%)

0.48%

11/25/24

4,459,760

4,474,539

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF40,

Class A

(LIBOR USD 1-Month plus 0.34%)

0.50%

11/25/27

2,112,903

2,121,149

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF43,

Class A

(LIBOR USD 1-Month plus 0.24%)

0.40%

01/25/28

3,688,644

3,697,689

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF51,

Class A

(LIBOR USD 1-Month plus 0.40%)

0.56%

08/25/25

5,850,498

5,882,297

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF60,

Class A

(LIBOR USD 1-Month plus 0.49%)

0.65%

02/25/26

9,838,682

9,911,394

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF72,

Class A

(LIBOR USD 1-Month plus 0.50%)

0.66%

11/25/26

9,140,624

9,210,980

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ17,

Class A1

2.40%

10/25/24

223,558

226,529

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ24,

Class A1

2.28%

05/25/26

14,467,068

15,179,056

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ26,

Class A1

2.14%

07/25/25

20,394,813

21,069,687

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ29,

Class A1

0.74%

01/25/26

10,544,669

10,639,755

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ30,

Class A1

0.53%

01/25/25

7,907,965

7,926,423

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series Q004,

Class AFL

(Federal Reserve US 12-Month Cumulative

Average plus 0.74%)

1.76%

05/25/44

2,382,210

2,384,150

Ginnie Mae, Series 2007-12, Class C

5.28%

04/16/41

⁵

959,678

972,254

Ginnie Mae, Series 2008-92, Class E

5.56%

03/16/44

⁵

2,751,305

2,807,682

147,095,711



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 8.71%
Fannie Mae Pool 468764
4.16%		07/01/21			$	13,090,000		$	13,164,037
Fannie Mae Pool 567002
8.00%		05/01/23				10,561			11,144
Fannie Mae Pool 735861
6.50%		09/01/33				10,660			11,965
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
3.31%		04/01/34	¹			123,874			127,396
Fannie Mae Pool AD0538
6.00%		05/01/24				185,072			194,583
Fannie Mae Pool AE0083
6.00%		01/01/40				827,859			973,189
Fannie Mae Pool AL0851
6.00%		10/01/40				989,170			1,172,098
Fannie Mae Pool AL2206
3.73%		07/01/22	⁵			6,123,609			6,212,638
Fannie Mae Pool AM4580
3.43%		10/01/23				6,250,562			6,669,475
Fannie Mae Pool FN0001
3.76%		12/01/20	⁵			3,986,957			3,985,991
Fannie Mae REMICS, Series 1997-76,
Class FS
(LIBOR USD 1-Month plus 0.45%)
0.60%		09/17/27	¹			10,895			10,732
Fannie Mae REMICS, Series 2001-60,
Class OF
(LIBOR USD 1-Month plus 0.95%)
1.10%		10/25/31	¹			598,772			611,046
Fannie Mae REMICS, Series 2003-130,
Class HF
(LIBOR USD 1-Month plus 0.45%)
0.60%		12/25/33	¹			32,015			32,035
Fannie Mae REMICS, Series 2007-61,
Class AF
(LIBOR USD 1-Month plus 0.28%)
0.43%		03/25/37	¹			518,423			518,583
Fannie Mae REMICS, Series 2007-64,
Class FA
(LIBOR USD 1-Month plus 0.47%)
0.62%		07/25/37	¹			289,524			292,453
Fannie Mae REMICS, Series 2009-111,
Class DA
5.00%		12/25/39				39,587			39,782
Fannie Mae REMICS, Series 2009-85,
Class LF
(LIBOR USD 1-Month plus 1.20%)
1.35%		10/25/49	¹			2,512,808			2,582,679



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2009-96,
Class FA
(LIBOR USD 1-Month plus 0.90%)
1.05%		11/25/49	¹		$	1,758,391		$	1,808,558
Fannie Mae REMICS, Series 2010-109,
Class PF
(LIBOR USD 1-Month plus 0.40%)
0.55%		10/25/40	¹			1,038,181			1,046,690
Fannie Mae REMICS, Series 2010-26,
Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
6.08%		11/25/36	¹			6,152,609			1,400,435
Fannie Mae REMICS, Series 2010-43,
Class DP
5.00%		05/25/40				837,870			943,376
Fannie Mae REMICS, Series 2010-6,
Class BF
(LIBOR USD 1-Month plus 0.76%)
0.91%		02/25/40	¹			1,330,122			1,354,337
Fannie Mae REMICS, Series 2010-95,
Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.45%		09/25/40	¹			4,738,738			1,173,588
Fannie Mae REMICS, Series 2019-79,
Class FA
(LIBOR USD 1-Month plus 0.50%)
0.65%		01/25/50	¹			6,622,647			6,675,147
Fannie Mae REMICS, Series 2020-10,
Class FA
(LIBOR USD 1-Month plus 0.50%)
0.65%		03/25/50	¹			18,515,314			18,651,472
Fannie Mae REMICS, Series G92-10,
Class Z
7.75%		01/25/22				90			92
Freddie Mac Gold Pool A45796
7.00%		01/01/33				2,572			2,860
Freddie Mac Gold Pool C46104
6.50%		09/01/29				4,934			5,526
Freddie Mac Gold Pool G13032
6.00%		09/01/22				92,476			94,082
Freddie Mac Gold Pool G13475
6.00%		01/01/24				16,703			17,182
Freddie Mac REMICS, Series 2174,
Class PN
6.00%		07/15/29				330,345			373,598
Freddie Mac REMICS, Series 2454,
Class FQ
(LIBOR USD 1-Month plus 1.00%)
1.15%		06/15/31	¹			5,496			5,606

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%)

0.75%

10/15/33

2,362,497

2,397,225

Freddie Mac REMICS, Series 3071,

Class TF

(LIBOR USD 1-Month plus 0.30%)

0.45%

04/15/35

2,172,255

2,176,379

Freddie Mac REMICS, Series 3084,

Class FN

(LIBOR USD 1-Month plus 0.50%)

0.65%

12/15/34

1,074,431

1,075,549

Freddie Mac REMICS, Series 3294,

Class CB

5.50%

03/15/37

212,663

249,730

Freddie Mac REMICS, Series 3300,

Class FA

(LIBOR USD 1-Month plus 0.30%)

0.45%

08/15/35

637,414

640,835

Freddie Mac REMICS, Series 3325,

Class NF

(LIBOR USD 1-Month plus 0.30%)

0.45%

08/15/35

1,643,793

1,652,616

Freddie Mac REMICS, Series 3524,

Class FC

(LIBOR USD 1-Month plus 0.94%)

1.09%

06/15/38

323,680

332,003

Freddie Mac REMICS, Series 3531,

Class FM

(LIBOR USD 1-Month plus 0.90%)

1.05%

05/15/39

267,671

273,837

Freddie Mac REMICS, Series 3792,

Class DF

(LIBOR USD 1-Month plus 0.40%)

0.55%

11/15/40

223,872

222,624

Freddie Mac REMICS, Series 4060,

Class FJ

(LIBOR USD 1-Month plus 0.35%)

0.50%

02/15/41

3,645,631

3,656,541

Freddie Mac REMICS, Series 4959,

Class JF

(LIBOR USD 1-Month plus 0.45%)

0.60%

03/25/50

9,895,792

9,968,644

Freddie Mac Strips, Series 240,

Class F30

(LIBOR USD 1-Month plus 0.30%)

0.45%

07/15/36

1,862,477

1,870,012

Freddie Mac Strips, Series 263,

Class F5

(LIBOR USD 1-Month plus 0.50%)

0.65%

06/15/42

2,559,751

2,581,471



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Strips, Series 319,
Class F2
(LIBOR USD 1-Month plus 0.50%)
0.65%		11/15/43	¹		$	11,490,175		$	11,632,547
Ginnie Mae II Pool 1849
8.50%		08/20/24				204			205
Ginnie Mae II Pool 2020
8.50%		06/20/25				228			233
Ginnie Mae II Pool 2286
8.50%		09/20/26				247			271
Ginnie Mae II Pool 2487
8.50%		09/20/27				5,311			5,897
Ginnie Mae II Pool 80059
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
2.88%		04/20/27	¹			11,439			11,880
Ginnie Mae II Pool 80589
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.00%		03/20/32	¹			10,784			10,965
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
2.88%		06/20/32	¹			7,614			7,981
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.25%		07/20/34	¹			237,516			245,881
Ginnie Mae II Pool 81201
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 2.00%)
3.50%		01/20/35	¹			8,694			8,817
Ginnie Mae II Pool 8599
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.00%		02/20/25	¹			8,448			8,516
Ginnie Mae, Series 2003-11, Class FK
(LIBOR USD 1-Month plus 0.30%)
0.45%		02/16/33	¹			589,634			591,681
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.64%		05/20/37	¹			3,772,481			582,517
Ginnie Mae, Series 2013-53, Class AD
1.50%		12/20/26				1,545,332			1,567,932
NCUA Guaranteed Notes Trust,
Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
0.60%		10/07/20	¹			4,501,285			4,502,615



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%)
0.71%		12/08/20	¹		$	5,852,937		$	5,854,459
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
0.71%		12/08/20	¹			2,719,013			2,719,093
UMBS (TBA)
2.00%		10/01/50				39,850,000			41,199,744
2.50%		10/01/50				12,350,000			12,955,640
2.50%		11/01/50				8,250,000			8,640,316


									187,807,031

Total Mortgage-Backed
(Cost $649,587,595)									655,013,076


MUNICIPAL BONDS — 0.20%*
New York — 0.20%
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Taxable Bonds, Public Improvements,
Subseries B2
2.31%		11/01/26				4,060,000			4,367,992


Total Municipal Bonds
(Cost $4,045,543)
U.S. TREASURY SECURITIES — 18.60%
U.S. Treasury Notes — 18.60%
U.S. Treasury Notes
0.13%		07/31/22				223,892,000			223,900,745
0.13%		08/31/22				10,080,000			10,080,197
0.13%		09/30/22				162,785,000			162,781,821
0.25%		08/31/25				4,290,000			4,286,983


Total U.S. Treasury Securities
(Cost $400,964,006)									401,049,746


Total Bonds – 83.64%
(Cost $1,784,354,279)									1,803,402,423



Issues				Shares			Value
COMMON STOCK — 0.00%
Electric — 0.00%
Homer City Holdings LLC^7,8,9						106,501			5,858

Total Common Stock
(Cost $6,078,660)
Purchased Swaptions – 0.00%
(Cost $939,000)									2,655



Issues	Maturity Date		Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS — 20.13%
Commercial Paper — 0.17%
Ford Motor Credit Co. LLC
3.20%^2,10		10/08/20		$	3,625,000		$	3,624,470


Money Market Funds — 2.14%
Dreyfus Government Cash Management
Fund
2.33%¹¹					45,963,000			45,963,000
Fidelity Investments Money Market Funds -
Government Portfolio
1.00%^11,12					144,509			144,509


								46,107,509


U.S. Agency Discount Notes — 4.17%
Fannie Mae
0.16%¹⁰		01/15/21			90,000,000			89,978,800


U.S. Treasury Bills — 13.65%
U.S. Cash Management Bills
0.09%¹⁰		02/16/21			20,000,000			19,992,717
U.S. Treasury Bills
0.11%¹⁰		10/29/20			25,000,000			24,998,396
0.12%¹⁰		02/04/21			25,000,000			24,990,813
0.14%¹⁰		11/19/20			25,000,000			24,997,278
0.14%¹⁰		01/07/21			25,000,000			24,994,130
0.16%¹⁰		11/27/20			25,000,000			24,996,338
0.17%¹⁰		12/03/20			84,500,000			84,487,431
0.17%¹⁰		01/21/21			50,000,000			49,984,445
U.S. Treasury Bills (WI)
0.17%¹⁰		11/10/20			15,000,000			14,998,875


								294,440,423

Total Short-Term Investments
(Cost $434,100,538)								434,151,202


Total Investments Before Written
Swaptions – 103.77%

(Cost $2,225,472,477)								2,237,562,138

Net unrealized appreciation on unfunded commitments 0.00%								13,536
Written Swaptions – 0.00%
(Cost $(540,000))								(2,112	)


Liabilities in Excess of Other
Assets – (3.77)%								(81,331,313	)


Net Assets – 100.00%							$	2,156,228,713

¹	Floating rate security. The rate disclosed was in effect at September 30, 2020.

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	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $521,403, at an interest rate of 3.60% and a maturity of July 14, 2021.The investment is not accruing an unused commitment fee.

⁵	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁶	Zero coupon bond. The rate shown is the effective yield as of September 30, 2020.

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 $1,537,367, which is 0.07% of total net assets.

⁹	Non-income producing security.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Represents the current yield as of September 30, 2020.

¹²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged for swaps is $27.

*	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 – 84.16%

ASSET-BACKED SECURITIES — 12.03%**

Aimco CLO 11 Ltd., Series 2020-11A,

Class A2 (Cayman Islands)

(LIBOR USD 3-Month plus 1.30%)

1.52%

10/15/31

^1,2,3

185,000

185,093

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.27%)

0.00%

10/25/32

^1,2,3

180,000

180,225

CoreVest American Finance Trust,

Series 2019-1, Class XA (IO)

2.35%

03/15/52

^3,4

581,199

42,975

CoreVest American Finance Trust,

Series 2020-1, Class A2

2.30%

03/15/50

140,000

141,514

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

46,219

Dryden 85 CLO Ltd.,

Series 2020-85A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.35%)

0.00%

10/15/32

^1,2,3

200,000

200,100

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

Class A2 (Barbados)

3.09%

07/17/29

^1,3

116,917

118,773

OHA Credit Funding 7 Ltd., Series 2020-7A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

0.00%

10/19/32

^1,2,3

180,000

180,225

Palmer Square Loan Funding Ltd.,

Series 2020-2A, Class A2 (Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.82%

04/20/28

^1,2,3

100,000

99,277

Panthera Aviation, Series 2013-1⁷

10.00%

01/25/22

^5,6,8,†

338,214

33,821

SLC Student Loan Trust, Series 2004-1,

Class B

(LIBOR USD 3-Month plus 0.29%)

0.57%

08/15/31

156,272

139,438

SLM Student Loan Trust, Series 2007-7,

Class B

(LIBOR USD 3-Month plus 0.75%)

0.99%

10/27/70

215,000

205,179

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

01/25/83

340,000

310,267

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

04/26/83

340,000

303,310



Issues	Maturity Date			Principal Amount			Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-4,
Class B
(LIBOR USD 3-Month plus 1.85%)
2.09%		04/25/73	²		$	340,000		$	309,607
SLM Student Loan Trust, Series 2008-5,
Class B
(LIBOR USD 3-Month plus 1.85%)
2.09%		07/25/73	²			235,000			215,152
SLM Student Loan Trust, Series 2008-6,
Class B
(LIBOR USD 3-Month plus 1.85%)
2.09%		07/26/83	²			340,000			307,180
SLM Student Loan Trust, Series 2008-7,
Class B
(LIBOR USD 3-Month plus 1.85%)
2.09%		07/26/83	²			340,000			305,851
SLM Student Loan Trust, Series 2008-8,
Class B
(LIBOR USD 3-Month plus 2.25%)
2.49%		10/25/75	²			340,000			327,530
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%		01/16/46	³			294,647			337,717
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%		08/15/36	³			306,950			359,884


Total Asset-Backed Securities
(Cost $5,100,430)									4,349,337


CORPORATES — 26.13%*
Banking — 2.10%
Bank of America Corp. (MTN)
2.88%		10/22/30	⁴			55,000			59,500
4.08%		03/20/51	⁴			40,000			49,464
Comerica, Inc.
5.63%		10/01/69	⁴			45,000			47,363
HSBC Holdings PLC (United Kingdom)
2.01%		09/22/28	^1,4			200,000			198,450
JPMorgan Chase & Co.
2.18%		06/01/28	⁴			85,000			88,851
3.20%		06/15/26				75,000			83,313
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	^1,4			105,000			107,971
Santander UK Group Holdings PLC
(United Kingdom)
4.80%		11/15/24	^1,4			40,000			44,099
Wells Fargo & Co. (MTN)
2.39%		06/02/28	⁴			75,000			78,367


									757,378



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Communications — 4.31%
AT&T, Inc.
3.30%		02/01/52			$	135,000		$	128,814
3.50%		09/15/53	³			65,000			63,146
4.75%		05/15/46				15,000			17,676
4.80%		06/15/44				150,000			179,561
CCO Holdings LLC/CCO Holdings
Capital Corp.
4.50%		05/01/32	³			36,000			37,621
5.38%		06/01/29	³			30,000			32,547
CenturyLink, Inc.
4.00%		02/15/27	³			24,000			24,410
CSC Holdings LLC
5.38%		02/01/28	³			5,000			5,294
6.50%		02/01/29	³			65,000			72,191
Intelsat Jackson Holdings SA (Luxembourg)⁷
8.50%		10/15/24	^1,3,8			38,000			24,700
9.75%		07/15/25	^1,3,8			71,000			46,680
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	¹			20,000			29,146
Level 3 Financing, Inc.
5.38%		05/01/25				16,000			16,536
Qwest Corp.
7.25%		09/15/25				70,000			80,851
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	³			200,000			212,230
Sprint Corp.
7.88%		09/15/23				57,000			65,586
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
4.74%		03/20/25	³			105,000			113,859
Time Warner Cable LLC
5.50%		09/01/41				130,000			157,994
T-Mobile USA, Inc.
6.00%		04/15/24				58,000			59,287
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%		05/15/29	^1,3			66,000			70,953
Vodafone Group PLC (United Kingdom)
4.25%		09/17/50	¹			10,000			11,631
4.88%		06/19/49	¹			48,000			59,898
Walt Disney Co. (The)
2.65%		01/13/31				45,000			48,625


									1,559,236

Consumer Discretionary — 0.72%
Anheuser-Busch Cos. LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.90%		02/01/46				85,000			105,131
Bacardi Ltd. (Bermuda)
5.30%		05/15/48	^1,3			40,000			50,294



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Consumer Discretionary (continued)
BAT Capital Corp.
2.73%		03/25/31			$	25,000		$	24,937
4.54%		08/15/47				75,000			80,568


									260,930

Electric — 1.33%
Entergy Texas, Inc.
3.45%		12/01/27				150,000			163,383
Puget Energy, Inc.
6.00%		09/01/21				150,000			157,240
Southwestern Electric Power Co., Series K
2.75%		10/01/26				150,000			161,674


									482,297

Energy — 4.34%
Antero Resources Corp.
5.00%		03/01/25				83,000			52,031
BP Capital Markets America, Inc.
3.63%		04/06/30				20,000			22,998
Cheniere Energy Partners LP
5.25%		10/01/25				29,000			29,696
Chevron Corp.
2.24%		05/11/30				15,000			15,936
Energy Transfer Operating LP
5.00%		05/15/50				45,000			41,684
5.50%		06/01/27				3,000			3,308
Exxon Mobil Corp.
2.61%		10/15/30				90,000			97,393
Gulfport Energy Corp.
6.38%		05/15/25				13,000			7,977
Hess Corp.
4.30%		04/01/27				50,000			52,465
Kinder Morgan Energy Partners LP
5.00%		08/15/42				45,000			50,142
Petroleos Mexicanos (Mexico)
6.63%		06/15/35	¹			100,000			82,330
6.75%		09/21/47	¹			50,000			38,200
6.95%		01/28/60	^1,3			35,000			27,117
Plains All American Pipeline LP/PAA
Finance Corp.
4.65%		10/15/25				50,000			54,017
Rockies Express Pipeline LLC
4.80%		05/15/30	³			100,000			97,100
Ruby Pipeline LLC
7.75%		04/01/22	³			136,364			114,750
Southern Co. Gas Capital Corp.
3.25%		06/15/26				250,000			275,367
Sunoco Logistics Partners Operations LP
5.40%		10/01/47				174,000			164,287



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29			$	39,000		$	41,873
Texas Eastern Transmission LP
2.80%		10/15/22	³			150,000			154,517
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26				35,000			36,313
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^1,3			31,980			28,756
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3			20,000			16,130
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^1,3			12,350			11,084
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26				32,000			31,780
6.88%		09/01/27				22,000			21,853


									1,569,104

Entertainment — 0.10%
Live Nation Entertainment, Inc.
4.75%		10/15/27	³			40,000			37,525

Finance — 2.51%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
3.95%		02/01/22	¹			125,000			126,614
Air Lease Corp. (MTN)
2.30%		02/01/25				75,000			73,870
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	^1,3			61,000			60,936
5.25%		05/15/24	^1,3			10,000			10,033
Citigroup, Inc.
2.57%		06/03/31	⁴			35,000			36,761
Ford Motor Credit Co. LLC
3.20%		01/15/21				175,000			174,958
(LIBOR USD 3-Month plus 1.27%)
1.50%		03/28/22	²			115,000			109,860
General Motors Financial Co., Inc.
3.15%		06/30/22				75,000			77,046
3.20%		07/06/21				25,000			25,383
3.45%		04/10/22				20,000			20,547
4.38%		09/25/21				25,000			25,797
Goldman Sachs Group, Inc. (The)
3.69%		06/05/28	⁴			50,000			56,016
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4			50,000			53,177



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		$	35,000		$	34,703
5.25%		08/15/22	^1,3			20,000			20,090


									905,791

Food — 0.93%
JBS USA LUX SA/JBS USA
Food Co./JBS USA Finance, Inc. (Canada)
5.50%		01/15/30	^1,3			5,000			5,449
Kraft Heinz Foods Co.
5.00%		06/04/42				189,000			207,259
7.13%		08/01/39	³			35,000			47,461
Smithfield Foods, Inc.
3.35%		02/01/22	³			75,000			76,177


									336,346

Gaming — 0.28%
Caesars Entertainment, Inc.
6.25%		07/01/25	³			62,000			64,888
Churchill Downs, Inc.
4.75%		01/15/28	³			36,000			36,263


									101,151

Health Care — 3.58%
AbbVie, Inc.
3.60%		05/14/25				50,000			55,476
Amgen, Inc.
4.40%		05/01/45				30,000			37,124
Bausch Health Americas, Inc.
9.25%		04/01/26	³			7,000			7,735
Bausch Health Cos., Inc. (Canada)
7.00%		03/15/24	^1,3			110,000			113,960
Bayer U.S. Finance II LLC
4.25%		12/15/25	³			45,000			51,567
4.38%		12/15/28	³			70,000			82,306
4.63%		06/25/38	³			35,000			41,906
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	³			36,000			36,848
Centene Corp.
3.00%		10/15/30				89,000			90,909
4.63%		12/15/29				85,000			91,796
CVS Health Corp.
5.05%		03/25/48				75,000			95,788
Elanco Animal Health, Inc.
5.90%		08/28/28				60,000			69,525
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	³			50,000			50,583



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
HCA, Inc.
5.25%		04/15/25			$	12,000		$	13,864
5.25%		06/15/49				110,000			134,979
Molina Healthcare, Inc.
5.38%		11/15/22				43,000			45,016
NYU Langone Hospitals, Series 2020
3.38%		07/01/55				40,000			40,593
Partners Healthcare System, Inc.,
Series 2020
3.34%		07/01/60				80,000			88,981
Tenet Healthcare Corp.
4.88%		01/01/26	³			67,000			68,300
Zimmer Biomet Holdings, Inc.
3.55%		03/20/30				70,000			78,535


									1,295,791

Industrials — 1.70%
Amcor Finance USA, Inc.
4.50%		05/15/28				45,000			52,798
BAE Systems PLC (United Kingdom)
3.40%		04/15/30	^1,3			15,000			16,805
Ball Corp.
4.00%		11/15/23				30,000			31,957
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
0.76%		08/15/36	²			450,000			306,946
Graphic Packaging International LLC
4.88%		11/15/22				55,000			57,325
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	³			5,000			5,025
OI European Group BV (Netherlands)
4.00%		03/15/23	^1,3			15,000			15,280
PowerTeam Services LLC
9.03%		12/04/25	³			46,000			48,720
Sealed Air Corp.
4.00%		12/01/27	³			5,000			5,231
5.50%		09/15/25	³			35,000			39,054
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^1,3			34,000			33,849


									612,990

Information Technology — 0.21%
Dell International LLC/EMC Corp.
4.42%		06/15/21	³			13,000			13,309
SS&C Technologies, Inc.
5.50%		09/30/27	³			60,000			63,838


									77,147



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Insurance — 0.60%
Farmers Exchange Capital II
6.15%		11/01/53	^3,4		$	50,000		$	63,187
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^3,4			75,000			75,002
Teachers Insurance & Annuity
Association of America
4.27%		05/15/47	³			65,000			77,217


									215,406

Materials — 0.30%
International Flavors & Fragrances, Inc.
5.00%		09/26/48				55,000			68,278
Nutrition & Biosciences, Inc.
3.47%		12/01/50	³			40,000			40,499


									108,777

Real Estate Investment Trust (REIT) — 1.41%
American Campus Communities
Operating Partnership LP
3.63%		11/15/27				50,000			52,986
3.75%		04/15/23				35,000			36,823
Boston Properties LP
3.25%		01/30/31				60,000			64,758
CyrusOne LP/CyrusOne Finance Corp.
2.15%		11/01/30				5,000			4,898
2.90%		11/15/24				80,000			84,955
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26				130,000			144,323
5.75%		06/01/28				25,000			28,615
Lexington Realty Trust
2.70%		09/15/30				35,000			35,758
Ventas Realty LP
4.40%		01/15/29				50,000			56,877


									509,993

Retail — 0.34%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^1,3			45,000			46,443
3.80%		01/25/50	^1,3			70,000			77,695


									124,138

Services — 0.46%
Emory University, Series 2020
2.14%		09/01/30				60,000			62,959
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,3			7,000			7,821
5.00%		11/01/22	^1,3			45,000			48,365



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Services (continued)
Waste Pro USA, Inc.
5.50%		02/15/26	³		$	48,000		$	48,715


									167,860

Transportation — 0.91%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22				260,093			226,771
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32				100,000			102,924


									329,695

Total Corporates
(Cost $9,242,893)									9,451,555


MORTGAGE-BACKED — 43.13%**
Non-Agency Commercial
Mortgage-Backed — 3.01%
Banc of America Commercial Mortgage
Trust, Series 2015-UBS7, Class XE (IO)
1.25%		09/15/48	^3,4			1,500,000			61,876
Barclays Commercial Mortgage Securities
Trust, Series 2020-C6, Class F5TB
3.69%		02/15/53	^3,4			75,000			74,093
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.92%		09/10/45	^3,4			1,436,721			37,529
COBALT CMBS Commercial Mortgage Trust,
Series 2007-C2, Class X (IO)
0.77%		04/15/47	^3,4			322,522			1,332
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
1.29%		10/10/46	⁴			1,818,487			52,967
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.59%		02/10/37	^3,4			2,030,000			40,091
Credit Suisse Mortgage Capital Trust,
Series 2014-USA, Class X1 (IO)
0.69%		09/15/37	^3,4			9,839,102			197,799
GS Mortgage Securities Trust,
Series 2012-GC6, Class XB (IO)
0.26%		01/10/45	^3,4			5,749,132			15,187
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
2.09%		11/10/45	⁴			2,737,753			86,511
GS Mortgage Securities Trust,
Series 2020-UPTN, Class XA (IO)
0.35%		02/10/37	^3,4			940,000			13,375
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
3.04%		12/10/41	^3,4			50,000			44,493



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
JPMBB Commercial Mortgage Securities
Trust, Series 2014-C21, Class XA (IO)
1.16%		08/15/47	⁴		$	555,483		$	16,187
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9,
Class XA (IO)
1.64%		12/15/47	⁴			2,000,774			51,092
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-C13,
Class XA (IO)
0.23%		01/15/46	⁴			6,493,331			20,190
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class A2A
3.66%		01/05/43	^3,4			120,000			123,161
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class A2B
4.14%		01/05/43	^3,4			45,000			42,417
UBS Commercial Mortgage Trust,
Series 2012-C1, Class XA (IO)
2.25%		05/10/45	^3,4			1,641,858			34,922
WF-RBS Commercial Mortgage Trust,
Series 2011-C3, Class XA (IO)
1.48%		03/15/44	^3,4			17,135,533			73,159
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class XA (IO)
1.83%		11/15/44	^3,4			3,199,038			32,251
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
2.04%		11/15/45	^3,4			943,292			28,620
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.85%		06/15/46	⁴			2,974,656			43,027


									1,090,279

Non-Agency Mortgage-Backed — 31.17%
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%		03/25/36				233,637			223,318
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
3.39%		02/25/37	⁴			77,885			78,346
Conseco Finance Corp., Series 1996-7,
Class M1
7.70%		09/15/26	⁴			105,305			108,603
Conseco Finance Corp., Series 1998-3,
Class A6
6.76%		03/01/30	⁴			70,993			71,250
Conseco Finance Corp., Series 1998-4,
Class A6
6.53%		04/01/30	⁴			124,742			127,757
Conseco Finance Corp., Series 1998-4,
Class A7
6.87%		04/01/30	⁴			61,768			63,439

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Conseco Finance Corp., Series 1999-5,

Class A5

7.86%

03/01/30

⁴

84,265

52,095

Conseco Finance Home Equity Loan Trust,

Series 2002-C, Class BF2

8.00%

06/15/32

^3,4

69,888

70,293

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2B

(STEP-reset date 11/25/20)

3.85%

02/25/37

932,902

778,035

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2C

(STEP-reset date 11/25/20)

3.85%

02/25/37

308,051

256,884

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB3, Class A3

(STEP-reset date 11/25/20)

3.56%

03/25/37

967,092

514,865

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2B

(LIBOR USD 1-Month plus 0.11%)

0.26%

12/25/37

419,599

384,654

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2D

(LIBOR USD 1-Month plus 0.22%)

0.37%

01/25/38

2,000,947

1,423,752

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

0.25%

03/25/37

667,205

421,957

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

3.69%

04/19/36

⁴

268,568

234,125

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 5A1A

3.51%

05/25/37

⁴

351,218

314,202

HSI Asset Loan Obligation Trust,

Series 2007-2, Class 2A12

6.00%

09/25/37

306,521

292,386

Impac CMB Trust, Series 2004-4,

Class 1A2

(LIBOR USD 1-Month plus 0.62%)

0.77%

09/25/34

167,713

163,061

IndyMac Index Mortgage Loan Trust,

Series 2005-AR25, Class 2A1

3.27%

12/25/35

⁴

333,405

319,347

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1997-1,

Class A3

6.61%

02/25/28

86,780

87,912



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			$	36,531		$	37,042
IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1998-1,
Class A4
6.49%		09/25/28				66,754			67,838
IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1998-1,
Class A5
6.96%		09/25/28	⁴			160,899			173,633
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF6
(STEP-reset date 11/25/20)
4.25%		03/25/47				766,319			591,123
JPMorgan Mortgage Trust, Series 2006-S2,
Class 2A2
5.88%		06/25/21				79,022			72,473
JPMorgan Mortgage Trust, Series 2007-S1,
Class 1A2
5.50%		03/25/22				18,371			17,258
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.33%)
0.48%		04/25/37	^2,5,6			1,696,107			149,746
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE2, Class A2C
(LIBOR USD 1-Month plus 1.16%)
1.31%		08/25/35	²			709,726			650,120
Mid-State Capital Corp., Series 2004-1,
Class B
8.90%		08/15/37				419,705			476,782
Mid-State Capital Corp., Series 2004-1,
Class M1
6.50%		08/15/37				290,271			308,048
Mid-State Capital Corp., Series 2005-1,
Class A
5.75%		01/15/40				137,650			149,124
Mid-State Trust XI, Series 2011, Class B
8.22%		07/15/38				7,629			8,603
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.52%		09/25/34	⁴			179,119			177,470
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%		06/25/36	⁴			2,216,979			920,784
Oakwood Mortgage Investors, Inc.,
Series 1998-A, Class M
6.83%		05/15/28	⁴			70,403			71,274
Oakwood Mortgage Investors, Inc.,
Series 1999-B, Class A4
6.99%		12/15/26				183,837			187,279

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Oakwood Mortgage Investors, Inc.,

Series 2001-D, Class A3

5.90%

09/15/22

⁴

717,117

543,094

Oakwood Mortgage Investors, Inc.,

Series 2002-A, Class A3

6.03%

05/15/24

⁴

212,399

217,942

Residential Accredit Loans Trust,

Series 2005-QA3, Class NB1

3.13%

03/25/35

⁴

233,590

141,706

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-12, Class 2A

2.88%

09/25/34

⁴

233,890

230,893

Terwin Mortgage Trust, Series 2004-7HE,

Class A1

(LIBOR USD 1-Month plus 0.55%)

0.70%

07/25/34

^2,3

95,012

92,414

11,270,927

U.S. Agency Commercial

Mortgage-Backed — 5.13%

Fannie Mae-Aces, Series 2006-M2,

Class A2A

5.27%

10/25/32

⁴

138,318

158,222

Fannie Mae-Aces, Series 2011-M5,

Class X (IO)

1.17%

07/25/21

⁴

2,158,068

13,121

Fannie Mae-Aces, Series 2016-M11,

Class X2 (IO)

2.82%

07/25/39

⁴

867,306

35,001

Freddie Mac Multifamily PC REMIC Trust,

Series 2019-P002, Class X (IO)

1.14%

07/25/33

⁴

385,000

42,775

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K021,

Class X3 (IO)

2.03%

07/25/40

⁴

1,150,000

37,509

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K022,

Class X3 (IO)

1.87%

08/25/40

⁴

5,250,000

164,401

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K023,

Class X3 (IO)

1.75%

10/25/40

⁴

4,050,000

121,753

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K027,

Class X3 (IO)

1.76%

01/25/41

⁴

5,000,000

177,391

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K031,

Class X3 (IO)

1.71%

07/25/41

⁴

5,999,569

238,168

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial

Mortgage-Backed (continued)

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K034,

Class X1 (IO)

0.22%

07/25/23

⁴

6,349,493

17,413

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K040,

Class X3 (IO)

2.10%

11/25/42

⁴

1,100,000

80,518

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K070,

Class X3 (IO)

2.11%

12/25/44

⁴

700,000

84,225

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K714,

Class X1 (IO)

1.21%

10/25/20

⁴

29,158

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K732,

Class X3 (IO)

2.25%

05/25/46

⁴

700,000

64,536

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KAIV,

Class X2 (IO)

3.61%

06/25/41

⁴

1,220,000

28,346

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC04,

Class X1 (IO)

1.41%

12/25/26

⁴

2,269,796

125,783

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC05,

Class X1 (IO)

1.20%

06/25/27

⁴

1,997,025

117,889

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS11,

Class XFX (IO)

1.76%

06/25/29

⁴

350,000

37,804

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series Q010,

Class XPT2 (IO)

0.36%

08/25/24

4,687,582

40,285

FREMF Mortgage Trust, Series 2012-K23,

Class X2A (IO)

0.13%

10/25/45

61,052,345

115,737

Ginnie Mae, Series 2009-114, Class IO (IO)

0.04%

10/16/49

⁴

4,687,392

706

Ginnie Mae, Series 2010-148, Class IO (IO)

0.52%

09/16/50

⁴

2,021,561

18,334

Ginnie Mae, Series 2014-103, Class IO (IO)

0.36%

05/16/55

⁴

1,847,017

31,204

Ginnie Mae, Series 2014-125, Class IO (IO)

0.92%

11/16/54

⁴

1,261,120

60,206

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial

Mortgage-Backed (continued)

Ginnie Mae, Series 2015-47, Class IO (IO)

0.78%

10/16/56

⁴

1,036,960

44,320

1,855,648

U.S. Agency Mortgage-Backed — 3.82%

Fannie Mae REMICS, Series 1993-80,

Class S

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

10.70%

05/25/23

755

835

Fannie Mae REMICS, Series 2000-45,

Class SA (IO)

(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)

7.80%

12/18/30

109,536

15,630

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

427

487

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

4,561

5,542

Fannie Mae REMICS, Series 2005-92,

Class US (IO)

(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)

5.95%

10/25/25

666,455

52,828

Fannie Mae REMICS, Series 2006-125,

Class SM (IO)

(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)

7.05%

01/25/37

835,542

216,556

Fannie Mae REMICS, Series 2008-50,

Class SA (IO)

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

5.90%

11/25/36

1,022,999

221,785

Fannie Mae REMICS, Series 2010-43,

Class KS (IO)

(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)

6.27%

05/25/40

883,374

190,817

Freddie Mac REMICS, Series 1602,

Class SN

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

10.09%

10/15/23

7,291

7,806

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)

17.90%

02/15/24

40,616

48,407

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

12,071,622

56,945

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed

(continued)

Freddie Mac REMICS, Series 3260,

Class AS (IO)

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

6.23%

01/15/37

2,025,590

386,666

Freddie Mac REMICS, Series 3289,

Class SD (IO)

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

5.97%

03/15/37

682,376

148,743

Ginnie Mae, Series 2004-8, Class SE

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

14.01%

11/26/23

25,861

29,668

1,382,715

Total Mortgage-Backed

(Cost $20,199,420)

15,599,569

MUNICIPAL BONDS — 2.05%*

California — 1.09%

Regents of the University of California

Medical Center Pooled Revenue, Taxable

Bonds, Health, Hospital and Nursing Home

Improvements, Series N

3.26%

05/15/60

205,000

225,889

San Francisco City & County Airport

Comm-San Francisco International Airport,

Airport and Marina Improvements, Series A

5.00%

05/01/49

140,000

165,827

391,716

Florida — 0.05%

Greater Orlando Aviation Authority, Port,

Airport and Marina Improvements, Series A

5.00%

10/01/44

15,000

18,020

Massachusetts — 0.25%

Commonwealth of Massachusetts, General

Obligation Bonds, Public Improvements,

Series C

3.00%

03/01/48

85,000

90,970

New York — 0.66%

Metropolitan Transportation Authority, Green

Taxable Bonds, Transit Improvements,

Series C2

5.18%

11/15/49

40,000

41,738

New York City Transitional Finance Authority

Future Tax Secured Revenue Bonds,

Taxable Bonds, Public Improvements,

Subseries B3

1.85%

08/01/32

75,000

72,842

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

New York (continued)

New York City Water & Sewer System

Revenue Bonds, Water Utility Improvements

3.00%

06/15/50

120,000

124,434

239,014

Total Municipal Bonds

(Cost $694,731)

739,720

Total Bonds – 83.34%

(Cost $35,237,474)

30,140,181

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 17.88%

Commercial Paper — 1.58%

Ford Motor Credit Co. LLC

2.88%⁹

01/08/21

315,000

312,396

3.20%⁹

10/08/20

260,000

259,962

572,358

Money Market Funds — 2.75%

Dreyfus Government Cash Management

Fund

2.33%¹⁰

955,000

Fidelity Investments Money Market Funds -

Government Portfolio

1.00%¹⁰

40,349

995,349

U.S. Treasury Bills — 13.55%

U.S. Cash Management Bills

0.09%⁹

02/16/21

500,000

499,818

U.S. Cash Management Bills, Series WI

0.11%⁹

01/26/21

800,000

799,701

U.S. Treasury Bills

0.12%⁹

02/04/21

800,000

799,706

0.16%⁹

11/03/20

400,000

399,970

0.16%⁹

11/27/20

500,000

499,927

0.16%⁹

12/03/20

1,000,000

999,851

0.18%⁹

12/10/20

900,000

899,834

4,898,807

Total Short-Term Investments

(Cost $6,466,220)

6,466,514



	Value
Total Investments – 101.22%
(Cost $41,703,694)		$	36,606,695


Liabilities in Excess of Other
Assets – (1.22)%			(441,368	)


Net Assets – 100.00%		$	36,165,327

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

²	Floating rate security. The rate disclosed was in effect at September 30, 2020.

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 $229,786, which is 0.64% 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 annualized yield at date of purchase.

¹⁰	Represents the current yield as of September 30, 2020.

^†

Fair valued security. The aggregate value of fair valued securities is $33,821, which is 0.09% 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.

(CDO): Collateralized Debt Obligations

(CLO): Collateralized Loan Obligation

(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 – 104.58%

ASSET-BACKED SECURITIES — 3.69%**

Academic Loan Funding Trust,

Series 2012-1A, Class A2

(LIBOR USD 1-Month plus 1.10%)

1.25%

12/27/44

^1,2

21,920,717

21,839,058

Aimco CLO 11 Ltd., Series 2020-11A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.38%)

1.60%

10/15/31

^1,2,3

7,280,000

7,283,662

Aimco CLO, Series 2015-AA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

1.13%

01/15/28

^1,2,3

3,678,299

3,657,590

AMMC CLO 19 Ltd., Series 2016-19A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.42%

10/16/28

^1,2,3

63,810,000

63,316,452

Apidos CLO XXII, Series 2015-22A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.06%)

1.33%

04/20/31

^1,2,3

21,475,000

21,143,426

Barings BDC Static CLO Ltd.,

Series 2019-1A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.02%)

1.30%

04/15/27

^1,2,3

1,425,178

1,421,729

Barings CLO Ltd., Series 2013-IA,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

1.07%

01/20/28

^1,2,3

25,096,127

24,876,536

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.35%

07/20/28

^1,2,3

49,870,000

49,558,811

Barings CLO Ltd., Series 2018-3A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

1.22%

07/20/29

^1,2,3

35,811,000

35,477,241

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

0.70%

01/25/35

^1,2

1,250,744

1,229,459

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

0.60%

04/25/35

^1,2

2,662,955

2,492,206

Brazos Education Loan Authority, Inc.,

Series 2012-1, Class A1

(LIBOR USD 1-Month plus 0.70%)

0.85%

12/26/35

38,252

37,718

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

1.45%

02/25/35

12,315,000

12,366,901

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A3

(LIBOR USD 3-Month plus 1.05%)

1.30%

11/25/33

16,050,000

15,814,728

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

1.24%

10/27/36

24,361,000

24,279,785

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.27%)

0.00%

10/25/32

^1,2,3

4,970,000

4,976,213

CIT Education Loan Trust, Series 2007-1,

Class A

(LIBOR USD 3-Month plus 0.09%)

0.32%

03/25/42

^1,2

17,808,832

16,961,963

CIT Education Loan Trust, Series 2007-1,

Class B

(LIBOR USD 3-Month plus 0.30%)

0.53%

06/25/42

^1,2

12,841,149

11,120,339

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

(Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

1.47%

10/20/30

^1,2,3

27,190,000

26,885,336

College Loan Corp. Trust, Series 2005-2,

Class B

(LIBOR USD 3-Month plus 0.49%)

0.77%

01/15/37

2,485,641

2,241,962

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.82%)

1.10%

11/15/28

^1,2,3

19,066,000

18,840,259

Dryden 33 Senior Loan Fund,

Series 2014-33A, Class AR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.23%)

1.51%

04/15/29

^1,2,3

999,693

995,405

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

1.18%

04/15/29

^1,2,3

22,948,000

22,723,339

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

Class A1RR (Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

1.44%

01/15/28

^1,2,3

19,660,000

19,528,868

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Eaton Vance CLO Ltd., Series 2020-1A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

1.90%

10/15/30

^1,2,3

34,575,000

34,530,260

ECMC Group Student Loan Trust,

Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.35%)

1.50%

07/26/66

^1,2

36,718,841

37,021,017

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

0.95%

04/26/32

^1,2

12,740,000

12,649,563

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

0.89%

04/25/35

16,982

16,873

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

1.20%

03/25/36

10,911,629

10,980,002

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

Class A2

(LIBOR USD 1-Month plus 1.35%)

1.50%

03/25/36

^1,2

13,646,849

13,794,402

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.89%)

1.17%

04/15/27

^1,2,3

4,400,537

4,382,011

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

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 0.79%)

1.07%

11/15/26

^1,2,3

4,443,139

4,403,595

GCO Education Loan Funding Trust,

Series 2006-1, Class A11L

(LIBOR USD 3-Month plus 0.23%)

0.48%

05/25/36

25,000,000

24,108,691

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

Class A2 (Barbados)

3.09%

07/17/29

^2,3

34,133,917

34,675,943

Goal Capital Funding Trust,

Series 2005-2, Class B

(LIBOR USD 3-Month plus 0.53%)

0.78%

11/25/44

7,970,107

7,468,894

Goal Capital Funding Trust,

Series 2006-1, Class B

(LIBOR USD 3-Month plus 0.45%)

0.70%

08/25/42

2,218,325

1,936,618

Goal Structured Solutions Trust,

Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.65%)

0.80%

09/25/41

^1,2

59,165,098

58,043,420

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

GoldenTree Loan Management U.S. CLO 8

Ltd., Series 2020-8A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.75%

07/20/31

^1,2,3

10,025,000

10,031,211

GoldenTree Loan Opportunities IX Ltd.,

Series 2014-9A, Class AR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.11%)

1.38%

10/29/29

^1,2,3

5,445,000

5,418,701

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

650,939

747,985

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

42,878,156

47,968,359

LCM XIII LP, Series 2013A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.41%

07/19/27

^1,2,3

25,575,000

25,348,212

LCM XVIII LP, Series 19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

1.52%

07/15/27

^1,2,3

20,425,000

20,349,836

LCM XX LP, Series 20A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.04%)

1.31%

10/20/27

^1,2,3

6,945,000

6,883,346

LCM XXI LP, Series 21A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.88%)

1.15%

04/20/28

^1,2,3

32,465,000

32,119,248

Lehman ABS Mortgage Loan Trust,

Series 2007-1, Class 2A2

(LIBOR USD 1-Month plus 0.20%)

0.35%

06/25/37

^1,2

240,887

192,134

Limerock CLO III LLC, Series 2014-3A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

1.47%

10/20/26

^1,2,3

21,913,140

21,904,374

Madison Park Funding XXX Ltd.,

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

(LIBOR USD 3-Month plus 0.75%)

1.03%

04/15/29

^1,2,3

21,077,500

20,781,783

Magnetite XVIII CLO Ltd., Series 2016-18A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.36%

11/15/28

^1,2,3

20,600,000

20,453,328

Magnetite XXI CLO Ltd., Series 2019-21A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.28%)

1.55%

04/20/30

^1,2,3

34,100,000

33,961,554

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Magnetite XXVII CLO Ltd., Series 2020-27A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.82%

07/20/33

^1,2,3

1,660,000

1,660,778

Navient Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.51%)

0.66%

06/25/31

802,264

781,872

Navient Student Loan Trust, Series 2014-2,

Class A

(LIBOR USD 1-Month plus 0.64%)

0.79%

03/25/83

38,432,326

37,994,701

Navient Student Loan Trust, Series 2014-3,

Class A

(LIBOR USD 1-Month plus 0.62%)

0.77%

03/25/83

65,870,525

63,752,767

Navient Student Loan Trust, Series 2014-4,

Class A

(LIBOR USD 1-Month plus 0.62%)

0.77%

03/25/83

98,879,756

95,463,411

Navient Student Loan Trust, Series 2014-5,

Class A

(LIBOR USD 1-Month plus 0.62%)

0.77%

03/25/83

78,961,365

76,744,288

Navient Student Loan Trust, Series 2014-6,

Class A

(LIBOR USD 1-Month plus 0.61%)

0.76%

03/25/83

41,069,537

39,727,530

Navient Student Loan Trust, Series 2014-7,

Class A

(LIBOR USD 1-Month plus 0.61%)

0.76%

03/25/83

84,931,659

82,456,555

Navient Student Loan Trust, Series 2015-1,

Class A2

(LIBOR USD 1-Month plus 0.60%)

0.75%

04/25/40

62,432,605

61,177,734

Navient Student Loan Trust, Series 2015-2,

Class A3

(LIBOR USD 1-Month plus 0.57%)

0.72%

11/26/40

125,242,632

122,565,268

Navient Student Loan Trust, Series 2016-1A,

Class A

(LIBOR USD 1-Month plus 0.70%)

0.85%

02/25/70

^1,2

8,767,333

8,561,787

Navient Student Loan Trust, Series 2016-7A,

Class A

(LIBOR USD 1-Month plus 1.15%)

1.30%

03/25/66

^1,2

59,444,044

59,592,642

Navient Student Loan Trust, Series 2017-3A,

Class A3

(LIBOR USD 1-Month plus 1.05%)

1.20%

07/26/66

^1,2

130,000

130,285

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Navient Student Loan Trust, Series 2018-3A,

Class A3

(LIBOR USD 1-Month plus 0.80%)

0.95%

03/25/67

^1,2

35,000,000

34,290,121

Nelnet Student Loan Trust, Series 2006-1,

Class A6

(LIBOR USD 3-Month plus 0.45%)

0.71%

08/23/36

^1,2

12,500,000

12,173,737

Nelnet Student Loan Trust, Series 2007-2A,

Class A3L

(LIBOR USD 3-Month plus 0.35%)

0.58%

03/25/26

^1,2

22,803,704

22,495,683

Nelnet Student Loan Trust, Series 2012-5A,

Class A

(LIBOR USD 1-Month plus 0.60%)

0.78%

10/27/36

^1,2

11,276,605

11,050,928

Nelnet Student Loan Trust, Series 2014-4A,

Class A2

(LIBOR USD 1-Month plus 0.95%)

1.10%

11/25/48

^1,2

11,630,000

11,412,249

Nelnet Student Loan Trust, Series 2014-5A,

Class A

(LIBOR USD 1-Month plus 0.55%)

0.70%

07/25/46

^1,2

62,094,144

60,577,476

Nelnet Student Loan Trust, Series 2015-1A,

Class A

(LIBOR USD 1-Month plus 0.59%)

0.74%

04/25/46

^1,2

115,063,920

112,047,297

Nelnet Student Loan Trust, Series 2015-2A,

Class A2

(LIBOR USD 1-Month plus 0.60%)

0.75%

09/25/47

^1,2

49,750,531

48,310,343

Nelnet Student Loan Trust, Series 2015-3A,

Class A3

(LIBOR USD 1-Month plus 0.90%)

1.05%

06/25/54

^1,2

8,890,000

8,667,654

Neuberger Berman CLO XVI-S Ltd.,

Series 2017-16SA, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

1.13%

01/15/28

^1,2,3

1,369,281

1,359,778

North Carolina State Education Authority,

Series 2011-1, Class A3

(LIBOR USD 3-Month plus 0.90%)

1.17%

10/25/41

17,308,634

16,853,275

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(LIBOR USD 3-Month plus 0.75%)

1.00%

01/29/46

30,939,932

30,633,651

OCP CLO Ltd., Series 2020-19A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

2.07%

07/20/31

^1,2,3

16,720,000

16,766,482

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Octagon Investment Partners 25 Ltd.,

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

(LIBOR USD 3-Month plus 0.80%)

1.07%

10/20/26

^1,2,3

12,595,918

12,500,189

OHA Credit Funding 7 Ltd., Series 2020-7A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

0.00%

10/19/32

^1,2,3

14,400,000

14,418,000

Palmer Square Loan Funding Ltd.,

Series 2019-1, Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 1.05%)

1.32%

04/20/27

^1,2,3

10,190,555

10,157,741

Palmer Square Loan Funding Ltd.,

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

(LIBOR USD 3-Month plus 0.90%)

1.16%

10/24/27

^1,2,3

61,549,869

61,177,548

Palmer Square Loan Funding Ltd.,

Series 2020-2A, Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 1.00%)

1.27%

04/20/28

^1,2,3

37,477,935

37,387,943

Panthera Aviation, Series 2013-1⁴

10.00%

01/25/22

^5,6,7,†

13,004,312

1,300,431

PHEAA Student Loan Trust, Series 2015-1A,

Class A

(LIBOR USD 1-Month plus 0.60%)

0.75%

10/25/41

^1,2

125,772,417

122,642,074

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.92%)

1.19%

10/20/27

^1,2,3

26,061,930

25,934,487

Residential Asset Mortgage Products Trust,

Series 2005-RZ4, Class M3

(LIBOR USD 1-Month plus 0.52%)

0.67%

11/25/35

250,000

249,053

Riserva CLO Ltd., Series 2016-3A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.41%

10/18/28

^1,2,3

14,945,000

14,851,594

Rockford Tower CLO Ltd., Series 2017-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.02%)

1.30%

10/15/29

^1,2,3

26,680,000

26,339,083

Rockford Tower CLO Ltd., Series 2017-3A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

1.46%

10/20/30

^1,2,3

1,280,000

1,270,400

Scholar Funding Trust, Series 2012-B,

Class A2

(LIBOR USD 1-Month plus 1.10%)

1.24%

03/28/46

^1,2

20,997,248

20,492,215

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Securitized Asset-Backed Receivables LLC

Trust, Series 2006-CB5, Class A3

(LIBOR USD 1-Month plus 0.14%)

0.29%

06/25/36

259,666

200,133

SLC 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

18,458,128

SLC Student Loan Trust, Series 2004-1,

Class B

(LIBOR USD 3-Month plus 0.29%)

0.57%

08/15/31

300,406

268,046

SLC Student Loan Trust, Series 2006-1,

Class A6

(LIBOR USD 3-Month plus 0.16%)

0.41%

03/15/55

9,805,000

9,184,659

SLC Student Loan Trust, Series 2006-2,

Class A6

(LIBOR USD 3-Month plus 0.16%)

0.41%

09/15/39

16,000,000

15,300,996

SLC Student Loan Trust, Series 2008-1,

Class A4A

(LIBOR USD 3-Month plus 1.60%)

1.85%

12/15/32

13,417,392

13,577,242

SLM Student Loan Trust, Series 2003-12,

Class B

(LIBOR USD 3-Month plus 0.59%)

0.84%

03/15/38

56,245

51,703

SLM Student Loan Trust, Series 2003-4,

Class A5E

(LIBOR USD 3-Month plus 0.75%)

1.00%

03/15/33

^1,2

4,979,122

4,660,436

SLM Student Loan Trust, Series 2004-3A,

Class A6A

(LIBOR USD 3-Month plus 0.55%)

0.79%

10/25/64

^1,2

34,825,767

33,728,533

SLM Student Loan Trust, Series 2005-9,

Class A7A

(LIBOR USD 3-Month plus 0.60%)

0.84%

01/25/41

61,872,335

60,461,099

SLM Student Loan Trust, Series 2006-2,

Class A6

(LIBOR USD 3-Month plus 0.17%)

0.41%

01/25/41

34,782,920

33,098,144

SLM Student Loan Trust, Series 2006-8,

Class A6

(LIBOR USD 3-Month plus 0.16%)

0.40%

01/25/41

32,989,000

31,371,029

SLM Student Loan Trust, Series 2007-1,

Class A6

(LIBOR USD 3-Month plus 0.14%)

0.38%

01/27/42

32,050,000

30,285,405

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2007-1,

Class B

(LIBOR USD 3-Month plus 0.22%)

0.46%

01/27/42

4,232,268

3,746,375

SLM Student Loan Trust, Series 2007-3,

Class A4

(LIBOR USD 3-Month plus 0.06%)

0.30%

01/25/22

2,483,580

2,349,687

SLM Student Loan Trust, Series 2007-6,

Class B

(LIBOR USD 3-Month plus 0.85%)

1.09%

04/27/43

4,256,180

3,860,339

SLM Student Loan Trust, Series 2007-7,

Class A4

(LIBOR USD 3-Month plus 0.33%)

0.57%

01/25/22

295,984

282,074

SLM Student Loan Trust, Series 2008-1,

Class A4

(LIBOR USD 3-Month plus 0.65%)

0.89%

01/25/22

38,735,909

36,735,005

SLM Student Loan Trust, Series 2008-2,

Class A3

(LIBOR USD 3-Month plus 0.75%)

0.99%

04/25/23

88,130,471

83,339,637

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

01/25/83

38,874,000

35,474,445

SLM Student Loan Trust, Series 2008-3,

Class A3

(LIBOR USD 3-Month plus 1.00%)

1.24%

10/25/21

18,204

17,528

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

04/26/83

2,260,000

2,016,119

SLM Student Loan Trust, Series 2008-4,

Class A4

(LIBOR USD 3-Month plus 1.65%)

1.89%

07/25/22

2,157,368

2,128,016

SLM Student Loan Trust, Series 2008-4,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

04/25/73

8,849,000

8,057,972

SLM Student Loan Trust, Series 2008-5,

Class A4

(LIBOR USD 3-Month plus 1.70%)

1.94%

07/25/23

32,088,427

31,706,681

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/25/73

37,199,000

34,057,251

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%)

1.34%

07/25/23

13,426,420

12,962,499

SLM Student Loan Trust, Series 2008-6,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/26/83

31,424,000

28,390,682

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/26/83

17,206,000

15,477,871

SLM Student Loan Trust, Series 2008-8,

Class A4

(LIBOR USD 3-Month plus 1.50%)

1.74%

04/25/23

2,851,048

2,832,533

SLM Student Loan Trust, Series 2008-8,

Class B

(LIBOR USD 3-Month plus 2.25%)

2.49%

10/25/75

625,000

602,078

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)

1.74%

04/25/23

65,585,503

64,401,739

SLM Student Loan Trust, Series 2008-9,

Class B

(LIBOR USD 3-Month plus 2.25%)

2.49%

10/25/83

45,100,000

43,329,306

SLM Student Loan Trust, Series 2009-3,

Class A

(LIBOR USD 1-Month plus 0.75%)

0.90%

01/25/45

^1,2

166,508,680

162,704,373

SLM Student Loan Trust, Series 2011-1,

Class A2

(LIBOR USD 1-Month plus 1.15%)

1.30%

10/25/34

2,954,884

2,977,659

SLM Student Loan Trust, Series 2012-1,

Class A3

(LIBOR USD 1-Month plus 0.95%)

1.10%

09/25/28

633,450

607,546

SLM Student Loan Trust, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.70%)

0.85%

01/25/29

13,376,096

12,444,624

SLM Student Loan Trust, Series 2012-3,

Class A

(LIBOR USD 1-Month plus 0.65%)

0.80%

12/27/38

15,707,402

15,382,287

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

0.80%

05/26/26

23,152,747

22,647,531

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

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

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

1.49%

07/17/28

^1,2,3

56,745,000

56,512,346

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

Class ARR (Cayman Islands)

(LIBOR USD 3-Month plus 1.07%)

1.34%

10/20/28

^1,2,3

21,585,000

21,441,244

Vermont Student Assistance Corp.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 0.70%)

0.85%

07/28/34

3,163,732

3,103,855

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.72%)

0.96%

07/25/26

^1,2,3

9,033,298

9,001,118

Voya CLO Ltd., Series 2020-2A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

1.78%

07/19/31

^1,2,3

44,530,000

44,513,390

Wachovia Student Loan Trust,

Series 2006-1, Class A6

(LIBOR USD 3-Month plus 0.17%)

0.41%

04/25/40

^1,2

141,845

136,173

Total Asset-Backed Securities

(Cost $3,354,993,083)

3,299,094,932

BANK LOANS — 1.11%*

Automotive — 0.02%

Panther BF Aggregator 2 LP

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.65%

04/30/26

20,034,474

19,571,176

Communications — 0.37%

CenturyLink, Inc.,

Term Loan A, 1st Lien

(LIBOR plus 2.00%)

2.15%

01/31/25

13,760,933

13,393,998

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

03/15/27

28,832,249

27,764,015

Charter Communications Operating LLC,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.90%

02/01/27

7,989,474

7,821,815

CommScope, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.40%

04/04/26

15,608,628

15,253,297

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

07/17/25

3,854,883

3,739,564

2.40%

01/15/26

24,930,735

24,161,996

CSC Holdings LLC,

Term Loan B5

(LIBOR plus 2.50%)

2.65%

04/15/27

6,965,000

6,772,035

Frontier Communications Corp.,

Term Loan B, 1st Lien

(PRIME plus 2.75%)

6.00%

06/17/24

80,814,512

79,748,164

Intelsat Jackson Holdings SA,

Term Loan B4, 1st Lien (Luxembourg)

(PRIME plus 5.50%)

8.75%

01/02/24

^1,3

2,000,000

2,022,810

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

8.63%

01/02/24

^1,3

25,379,651

25,733,951

Intelsat Jackson Holdings,

Delayed-Draw Term Loan, 1st Lien

(Luxembourg)

(LIBOR plus 5.50%)

6.50%

07/14/21

^1,3,8

2,950,916

3,011,159

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/01/27

22,889,876

22,217,486

T-Mobile USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

04/01/27

68,009,550

68,039,814

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

03/09/27

34,327,500

33,389,673

333,069,777

Consumer Discretionary — 0.03%

Reynolds Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

02/06/23

23,941,849

23,706,979

Electric — 0.04%

Homer City Generation LP,

Term Loan B, 1st Lien⁴

(LIBOR plus 11.00%)

12.95%

04/05/23

^1,5,6,7

7,960,085

5,771,061

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien



Issues	Maturity Date			Principal Amount			Value
BANK LOANS (continued)
Electric (continued)
(LIBOR plus 1.75%)
1.90%		12/31/25	¹		$	22,025,875		$	21,738,217
1.90%		12/31/25	¹			5,307,898			5,238,577


									32,747,855

Entertainment — 0.01%
CineWorld Finance US, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.52%		02/28/25	¹			7,852,257			5,283,352


Finance — 0.08%
Auris Lux III SA,
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
3.90%		02/27/26	^1,3			1,481,206			1,375,055
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%		01/15/25	¹			6,520,459			6,356,078
Delos Finance SARL,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.97%		10/06/23	¹			40,728,731			39,909,066
Telenet Financing USD LLC,
Term Loan AR, 1st Lien
(LIBOR plus 2.00%)
2.15%		04/30/28	¹			28,600,000			27,675,076


									75,315,275

Food — 0.02%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%		08/03/25	¹			16,544,662			16,317,173
JBS USA LUX SA,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.00%)
2.15%		05/01/26	^1,3			1,127,689			1,100,766


									17,417,939

Gaming — 0.02%
Caesars Resort Collection LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
4.65%		07/21/25	¹			3,333,333			3,235,650
4.77%		07/21/25	¹			1,666,667			1,617,825
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.15%		12/27/24	¹			11,662,651			11,334,639


									16,188,114

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care — 0.23%

Catalent Pharma Solutions, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

3.25%

05/10/26

3,341,896

3,333,541

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

16,096,098

15,783,028

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

08/01/27

94,584,503

92,071,866

Gentiva Health Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.44%

07/02/25

6,545,345

6,422,652

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.10%

11/15/27

7,989,625

7,841,697

HCA, Inc.,

Term Loan B12, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/13/25

14,850,000

14,808,866

MPH Acquisition Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

3.75%

06/07/23

10,417,776

10,270,833

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

11/27/25

4,578,947

4,480,683

(LIBOR plus 3.00%)

3.15%

06/02/25

49,607,873

48,719,148

203,732,314

Industrials — 0.06%

Berry Plastics Group, Inc.,

Term Loan Y, 1st Lien

(LIBOR plus 2.00%)

2.16%

07/01/26

27,262,940

26,533,792

Clean Harbors, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

06/30/24

2,931,818

2,931,452

Energizer Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.44%

12/17/25

1,254,000

1,239,893

Mauser Packaging Solutions Holdings,

Term Loan B, 1st Lien

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

(LIBOR plus 3.25%)

3.52%

04/03/24

4,248,046

4,002,913

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

2.40%

05/30/25

15,460,613

14,645,143

TransDigm, Inc.,

Term Loan F, 1st Lien

(LIBOR plus 2.25%)

2.40%

12/09/25

5,431,111

5,144,457

54,497,650

Information Technology — 0.08%

Broadcom, Inc.,

Delayed-Draw Term Loan A3

(LIBOR plus 1.13%)

1.28%

11/04/22

26,223,327

IQVIA, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/07/24

13,182,323

13,022,487

IQVIA, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.90%

01/17/25

8,929,963

8,837,896

IQVIA, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.97%

06/11/25

6,402,129

6,330,105

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

7,554,645

7,337,449

SS&C Technologies, Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

5,307,664

5,155,069

SS&C Technologies, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/16/25

5,394,864

5,242,756

72,149,089

Real Estate Investment Trust (REIT) — 0.07%

SBA Senior Finance II LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

04/11/25

44,065,700

43,029,054

VICI Properties 1 LLC,

Term Loan B, 1st Lien



Issues	Maturity Date			Principal Amount			Value
BANK LOANS (continued)
Real Estate Investment Trust (REIT) (continued)
(LIBOR plus 1.75%)
1.91%		12/20/24	¹		$	19,528,636		$	18,923,932


									61,952,986


Retail — 0.02%
BC ULC/New Red Finance, Inc.,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
1.90%		11/19/26	^1,3			23,850,458			22,921,245


Services — 0.03%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.00%		05/30/25	¹			25,368,761			25,295,826
PowerTeam Services LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.25%		03/06/25	¹			2,534,653			2,476,052


									27,771,878


Transportation — 0.03%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.90%		01/29/27	¹			8,100,000			5,978,003
United Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 1.75%)
1.89%		04/01/24	¹			18,358,977			17,387,420


									23,365,423


Total Bank Loans
(Cost $997,454,543)									989,691,052


CORPORATES — 23.36%*
Automotive — 0.01%
Ford Motor Co.
7.45%		07/16/31				200,000			230,974
General Motors Co.
(LIBOR USD 3-Month plus 0.90%)
1.15%		09/10/21	¹			8,685,000			8,685,751


									8,916,725

Banking — 2.55%
Bank of America Corp.
2.59%		04/29/31	⁹			22,385,000			23,728,105
Bank of America Corp. (MTN)
1.32%		06/19/26	⁹			13,430,000			13,523,493
2.33%		10/01/21	⁹			12,930,000			12,930,000
2.50%		02/13/31	⁹			16,292,000			17,005,824
4.08%		03/20/51	⁹			258,736,000			319,950,273



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Banking (continued)
Discover Bank (BKNT)
2.70%		02/06/30			$	10,000,000		$	10,436,486
3.20%		08/09/21				5,860,000			5,987,991
4.20%		08/08/23				13,795,000			15,104,571
Fifth Third Bancorp
2.55%		05/05/27				75,000			80,930
Global Bank Corp. (Panama)
5.25%		04/16/29	^2,3,9			2,400,000			2,532,375
Grupo Aval Ltd. (Cayman Islands)
4.38%		02/04/30	^2,3			1,175,000			1,135,755
HSBC Holdings PLC (United Kingdom)
2.01%		09/22/28	^3,9			140,605,000			139,515,169
2.36%		08/18/31	^3,9			88,280,000			87,390,088
3.95%		05/18/24	^3,9			4,734,000			5,065,836
JPMorgan Chase & Co.
2.01%		03/13/26	⁹			115,010,000			119,578,327
2.18%		06/01/28	⁹			1,290,000			1,348,450
2.74%		10/15/30	⁹			52,285,000			56,104,654
3.11%		04/22/51	⁹			15,100,000			16,300,068
3.20%		06/15/26				10,055,000			11,169,445
3.21%		04/01/23	⁹			7,510,000			7,806,434
3.70%		05/06/30	⁹			30,000,000			34,422,222
4.02%		12/05/24	⁹			244,100,000			268,059,286
4.20%		07/23/29	⁹			2,000,000			2,371,251
4.25%		10/15/20				9,330,000			9,343,317
4.49%		03/24/31	⁹			12,105,000			14,792,326
Lloyds Bank PLC (United Kingdom)
6.38%		01/21/21	³			4,920,000			5,011,406
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	^3,9			1,000,000			1,028,299
2.91%		11/07/23	^3,9			133,775,000			138,817,515
3.87%		07/09/25	^3,9			7,745,000			8,439,886
3.90%		03/12/24	³			36,376,000			39,568,205
4.05%		08/16/23	³			36,785,000			39,846,108
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	^3,9			69,825,000			73,013,367
4.80%		11/15/24	^3,9			69,325,000			76,429,951
Santander UK PLC (United Kingdom)
5.00%		11/07/23	^2,3			60,000			65,623
Wells Fargo & Co.
3.07%		04/30/41	⁹			150,710,000			158,358,814
Wells Fargo & Co. (MTN)
2.39%		06/02/28	⁹			135,185,000			141,253,165
2.88%		10/30/30	⁹			172,698,000			185,317,146
5.01%		04/04/51	⁹			160,398,000			220,682,336


									2,283,514,497



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Communications — 3.91%
AT&T, Inc.
3.10%		02/01/43			$	39,000,000		$	38,251,250
3.50%		09/15/53	²			11,278,000			10,956,395
3.88%		01/15/26				100,000			113,469
4.30%		12/15/42				35,790,000			40,323,575
4.35%		06/15/45				49,516,000			56,019,263
4.50%		05/15/35				48,155,000			56,828,970
4.50%		03/09/48				15,360,000			17,485,912
4.75%		05/15/46				150,947,000			177,877,394
4.80%		06/15/44				169,494,000			202,896,352
4.85%		03/01/39				4,620,000			5,563,965
5.25%		03/01/37				158,179,000			197,987,817
(LIBOR USD 3-Month plus 1.18%)
1.43%		06/12/24	¹			50,000			51,033
C&W Senior Financing DAC (Ireland)
6.88%		09/15/27	^2,3			3,150,000			3,280,174
CCO Holdings LLC/CCO Holdings
Capital Corp.
4.25%		02/01/31	²			85,541,000			88,481,472
4.50%		08/15/30	²			75,879,000			79,866,441
4.75%		03/01/30	²			6,192,000			6,563,520
5.13%		05/01/27	²			5,545,000			5,841,409
5.38%		06/01/29	²			18,207,000			19,752,592
CenturyLink, Inc.
4.00%		02/15/27	²			19,050,000			19,375,591
Charter Communications Operating LLC/
Charter Communications Operating Capital
3.75%		02/15/28				100,000			110,804
4.80%		03/01/50				15,318,000			17,374,288
4.91%		07/23/25				18,074,000			20,893,905
5.38%		04/01/38				2,030,000			2,459,990
5.38%		05/01/47				46,143,000			54,799,996
5.75%		04/01/48				26,342,000			32,838,991
Comcast Corp.
4.00%		11/01/49				1,865,000			2,264,946
4.60%		10/15/38				2,000,000			2,563,377
CSC Holdings LLC
3.38%		02/15/31	²			7,038,000			6,824,038
5.38%		02/01/28	²			621,000			657,484
5.50%		04/15/27	²			3,945,000			4,159,632
6.50%		02/01/29	²			6,447,000			7,160,199
6.75%		11/15/21				4,216,000			4,432,070
Fox Corp.
5.58%		01/25/49				12,075,000			16,733,904
Intelsat Jackson Holdings SA (Luxembourg)⁴
5.50%		08/01/23	^3,7			28,726,000			18,097,380
8.50%		10/15/24	^2,3,7			114,959,000			74,723,350
9.75%		07/15/25	^2,3,7			29,653,000			19,495,855



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Communications (continued)
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	³		$	36,548,000		$	53,261,323
Level 3 Financing, Inc.
3.63%		01/15/29	²			16,784,000			16,591,556
3.88%		11/15/29	²			65,951,000			71,537,419
4.25%		07/01/28	²			20,465,000			20,784,169
4.63%		09/15/27	²			25,955,000			26,715,352
5.38%		01/15/24				1,147,000			1,155,889
5.38%		05/01/25				4,763,000			4,922,608
NBCUniversal Media LLC
4.45%		01/15/43				5,000,000			6,428,012
Qwest Corp.
7.25%		09/15/25				9,409,000			10,867,489
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	²			50,505,000			53,593,386
SES SA (Luxembourg)
3.60%		04/04/23	^2,3			16,882,000			17,433,195
Sirius XM Radio, Inc.
3.88%		08/01/22	²			1,910,000			1,935,069
Sprint Corp.
7.88%		09/15/23				12,820,000			14,751,013
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%		09/20/21	²			43,071,000			43,549,950
4.74%		03/20/25	²			91,031,000			98,711,741
5.15%		03/20/28	²			278,118,000			328,353,064
TEGNA, Inc.
5.50%		09/15/24	²			354,000			361,075
Time Warner Cable LLC
4.50%		09/15/42				18,977,000			20,643,006
5.50%		09/01/41				30,584,000			37,169,974
5.88%		11/15/40				41,652,000			52,431,538
T-Mobile USA, Inc.
3.88%		04/15/30	²			186,908,000			212,303,190
4.38%		04/15/40	²			6,315,000			7,408,569
4.50%		02/01/26				3,639,000			3,767,821
4.50%		04/15/50	²			5,000,000			6,007,750
4.75%		02/01/28				16,028,000			17,185,863
6.00%		03/01/23				48,736,000			48,923,634
6.00%		04/15/24				50,508,000			51,628,773
Verizon Communications, Inc.
4.40%		11/01/34				9,800,000			12,266,279
4.50%		08/10/33				2,000,000			2,541,840
ViacomCBS, Inc.
3.45%		10/04/26				2,913,000			3,104,405
3.70%		06/01/28				1,175,000			1,287,954
4.20%		05/19/32				47,870,000			54,712,600
4.95%		01/15/31				26,385,000			31,804,352
5.85%		09/01/43				11,842,000			14,869,136



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Communications (continued)
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	^2,3		$	12,389,000		$	12,754,275
5.50%		08/15/26	^2,3			19,102,000			19,949,651
5.50%		05/15/29	^2,3			71,116,000			76,452,545
Vodafone Group PLC (United Kingdom)
3.75%		01/16/24	³			90,000			98,345
4.13%		05/30/25	³			20,399,000			23,263,574
4.25%		09/17/50	³			80,890,000			94,084,772
4.88%		06/19/49	³			159,972,500			199,624,348
5.25%		05/30/48	³			67,026,500			86,793,539
Walt Disney Co. (The)
2.00%		09/01/29				21,943,000			22,691,184
2.65%		01/13/31				123,025,000			132,934,068
2.75%		09/01/49				2,000,000			1,957,932
3.50%		05/13/40				80,500,000			91,338,828
3.60%		01/13/51				4,065,000			4,598,272
4.63%		03/23/40				46,500,000			59,213,674
5.40%		10/01/43				5,000,000			6,992,296


									3,494,863,100

Consumer Discretionary — 0.99%
Anheuser-Busch Cos. LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.70%		02/01/36				2,033,000			2,452,666
4.90%		02/01/46				99,164,000			122,650,127
Anheuser-Busch InBev Worldwide, Inc.
4.35%		06/01/40				75,050,000			88,075,334
4.38%		04/15/38				2,780,000			3,246,952
4.60%		04/15/48				29,578,000			35,526,836
4.60%		06/01/60				63,922,000			77,625,862
5.45%		01/23/39				2,000,000			2,592,450
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3			10,826,000			12,597,135
5.15%		05/15/38	^2,3			12,881,000			15,746,013
5.30%		05/15/48	^2,3			39,836,000			50,088,269
BAT Capital Corp.
2.73%		03/25/31				59,075,000			58,925,408
3.98%		09/25/50				13,755,000			13,621,659
4.39%		08/15/37				66,445,000			72,016,662
4.54%		08/15/47				106,416,000			114,316,578
4.76%		09/06/49				20,502,000			22,337,886
5.28%		04/02/50				5,356,000			6,324,818
BAT International Finance PLC (EMTN) (United Kingdom)
2.25%		09/09/52	³			11,770,000			11,932,865
Constellation Brands, Inc.
2.88%		05/01/30				5,165,000			5,592,880
NIKE, Inc.
3.25%		03/27/40				12,500,000			14,321,137



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Consumer Discretionary (continued)
Reynolds American, Inc.
5.70%		08/15/35			$	34,320,000		$	43,050,871
5.85%		08/15/45				93,287,000			113,960,407
Spectrum Brands, Inc.
6.13%		12/15/24				1,369,000			1,409,671


									888,412,486

Electric — 0.72%
Alliant Energy Finance LLC
3.75%		06/15/23	²			31,081,000			33,397,600
American Electric Power Co., Inc., Series F
2.95%		12/15/22				4,511,000			4,721,698
American Electric Power Co., Inc., Series J
4.30%		12/01/28				18,480,000			21,849,671
Appalachian Power Co.
4.45%		06/01/45				100,000			122,702
Appalachian Power Co., Series Z
3.70%		05/01/50				17,575,000			20,020,922
Arizona Public Service Co.
3.35%		05/15/50				2,700,000			3,003,295
Black Hills Corp.
4.35%		05/01/33				40,000			47,501
Cleco Power LLC
6.00%		12/01/40				150,000			187,805
Consolidated Edison Co. of New York, Inc.
3.70%		11/15/59				5,740,000			6,586,096
Consolidated Edison Co. of New York, Inc.,
Series E
4.65%		12/01/48				14,546,000			18,961,189
Dominion Energy, Inc.
(LIBOR USD 3-Month plus 0.40%)
0.65%		12/01/20	^1,2			45,075,000			45,092,077
Duke Energy Carolinas LLC
4.00%		09/30/42				11,040,000			13,643,028
4.25%		12/15/41				16,458,000			20,515,216
Evergy Missouri West, Inc.
8.27%		11/15/21				75,000			80,936
Evergy, Inc.
4.85%		06/01/21				2,521,000			2,565,998
FirstEnergy Corp., Series C
3.40%		03/01/50				5,000,000			4,881,610
FirstEnergy Transmission LLC
4.35%		01/15/25	²			23,330,000			25,953,943
4.55%		04/01/49	²			13,175,000			15,546,706
5.45%		07/15/44	²			24,625,000			31,571,311
ITC Holdings Corp.
3.65%		06/15/24				5,165,000			5,665,897
Jersey Central Power & Light Co.
4.30%		01/15/26	²			4,980,000			5,701,064



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Electric (continued)
4.70%		04/01/24	²		$	37,747,000		$	41,931,788
6.40%		05/15/36				11,630,000			16,198,696
LG&E and KU Energy LLC
4.38%		10/01/21				14,595,000			15,017,761
Metropolitan Edison Co.
3.50%		03/15/23	²			10,715,000			11,266,606
4.00%		04/15/25	²			35,719,000			40,048,109
4.30%		01/15/29	²			16,746,000			19,695,947
Minejesa Capital BV (Netherlands)
5.63%		08/10/37	^2,3			4,400,000			4,553,109
Mong Duong Finance Holdings BV, Series REGS
(Netherlands)
5.13%		05/07/29	³			13,350,000			13,672,911
Narragansett Electric Co. (The)
3.40%		04/09/30	²			11,655,000			13,303,749
Niagara Mohawk Power Corp.
4.28%		12/15/28	²			17,900,000			21,584,632
Pennsylvania Electric Co.
3.25%		03/15/28	²			125,000			135,911
4.15%		04/15/25	²			28,335,000			31,193,245
Perusahaan Listrik Negara PT, Series REGS (EMTN)
(Indonesia)
6.15%		05/21/48	³			8,400,000			10,844,946
PNM Resources, Inc.
3.25%		03/09/21				34,395,000			34,789,885
Public Service Co. of New Mexico
3.85%		08/01/25				14,390,000			15,622,018
5.35%		10/01/21				5,065,000			5,231,908
Southwestern Electric Power Co.
3.55%		02/15/22				15,882,000			16,400,303
Southwestern Electric Power Co., Series K
2.75%		10/01/26				36,488,000			39,327,626
Tucson Electric Power Co.
4.85%		12/01/48				8,755,000			11,682,642


									642,618,057

Energy — 2.91%
Antero Resources Corp.
5.00%		03/01/25				77,293,000			48,453,049
5.13%		12/01/22				19,312,000			15,775,490
5.63%		06/01/23				16,813,000			12,357,555
BP Capital Markets America, Inc.
3.00%		02/24/50				5,060,000			4,894,199
3.63%		04/06/30				52,825,000			60,743,911
Cheniere Energy Partners LP
5.25%		10/01/25				7,040,000			7,208,960
Ecopetrol SA (Colombia)
5.88%		05/28/45	³			3,600,000			3,948,840



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%		01/30/26	²		$	2,377,000		$	2,363,629
5.75%		01/30/28	²			2,109,000			2,123,499
Energy Transfer Operating LP
3.75%		05/15/30				18,620,000			18,082,460
4.20%		04/15/27				10,000,000			10,366,447
4.90%		03/15/35				5,160,000			5,058,433
4.95%		06/15/28				11,678,000			12,381,962
5.00%		05/15/50				57,264,000			53,044,220
5.15%		03/15/45				65,922,000			59,937,990
5.25%		04/15/29				16,405,000			17,732,254
5.30%		04/15/47				10,163,000			9,471,126
5.50%		06/01/27				52,203,000			57,558,238
6.13%		12/15/45				15,976,000			16,231,268
6.25%		04/15/49				18,051,000			18,706,107
Enterprise Products Operating LLC
3.70%		01/31/51				5,000,000			4,925,433
4.85%		03/15/44				5,000,000			5,697,419
EQT Corp.
3.90%		10/01/27				73,955,000			68,223,487
Equinor ASA (Norway)
3.13%		04/06/30	³			4,980,000			5,623,149
3.70%		04/06/50	³			85,000			97,742
Exxon Mobil Corp.
2.61%		10/15/30				2,060,000			2,229,227
3.48%		03/19/30				36,527,000			42,220,347
3.57%		03/06/45				1,433,000			1,596,124
4.23%		03/19/40				131,363,000			161,387,511
4.33%		03/19/50				118,012,000			148,517,233
Gulfport Energy Corp.
6.38%		05/15/25				5,618,000			3,447,458
Hess Corp.
4.30%		04/01/27				15,205,000			15,954,454
5.60%		02/15/41				34,496,000			37,578,154
5.80%		04/01/47				19,270,000			21,154,116
6.00%		01/15/40				5,095,000			5,735,900
HollyFrontier Corp.
5.88%		04/01/26				15,800,000			17,311,743
KazMunayGas National Co. JSC,
Series REGS (Kazakhstan)
5.75%		04/19/47	³			15,807,000			18,870,397
Kinder Morgan Energy Partners LP
4.25%		09/01/24				100,000			110,804
4.70%		11/01/42				5,000,000			5,422,577
5.00%		08/15/42				5,775,000			6,434,903
5.40%		09/01/44				5,000,000			5,961,453
5.80%		03/15/35				9,835,000			11,854,794
Kinder Morgan, Inc.
5.30%		12/01/34				13,970,000			16,486,347



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
5.55%		06/01/45			$	10,641,000		$	12,660,681
6.95%		06/01/28				5,465,000			6,601,124
Kinder Morgan, Inc. (GMTN)
7.80%		08/01/31				150,000			207,403
NGPL PipeCo LLC
4.38%		08/15/22	²			22,454,000			23,322,768
Noble Energy, Inc.
5.05%		11/15/44				8,018,000			10,532,111
Occidental Petroleum Corp.
4.40%		08/15/49				7,000,000			4,919,814
4.50%		07/15/44				16,521,000			11,895,526
Pertamina Persero PT (Indonesia)
3.10%		08/27/30	^2,3			44,071,000			45,833,840
Petrobras Global Finance BV (Netherlands)
5.09%		01/15/30	³			40,263,000			42,360,702
Petroleos del Peru SA, Series REGS (Peru)
4.75%		06/19/32	³			21,996,000			23,838,165
Petroleos Mexicanos (Mexico)
5.95%		01/28/31	^2,3			11,085,000			9,232,697
6.50%		01/23/29	³			80,000			71,996
6.63%		06/15/35	³			47,662,000			39,240,125
6.75%		09/21/47	³			148,565,000			113,503,660
6.95%		01/28/60	^2,3			34,555,000			26,772,350
7.69%		01/23/50	^2,3			112,817,000			94,850,893
Petronas Capital Ltd. (Malaysia)
3.50%		04/21/30	^2,3			10,487,000			11,764,946
Plains All American Pipeline LP/PAA
Finance Corp.
3.55%		12/15/29				31,332,000			30,254,484
3.80%		09/15/30				5,000,000			4,862,314
4.50%		12/15/26				3,896,000			4,154,167
4.65%		10/15/25				50,090,000			54,114,231
Range Resources Corp.
4.88%		05/15/25				14,184,000			12,807,899
Rockies Express Pipeline LLC
4.80%		05/15/30	²			4,075,000			3,956,825
4.95%		07/15/29	²			79,995,000			77,931,190
6.88%		04/15/40	²			44,867,000			46,942,099
Ruby Pipeline LLC
7.75%		04/01/22	²			64,620,000			54,377,730
Sabine Pass Liquefaction LLC
4.20%		03/15/28				46,890,000			50,908,902
4.50%		05/15/30	²			10,825,000			12,217,046
5.00%		03/15/27				9,915,000			11,190,029
5.63%		03/01/25				8,892,000			10,196,228
5.75%		05/15/24				6,616,000			7,481,030
Saudi Arabian Oil Co.,
Series REGS (EMTN) (Saudi Arabia)
4.25%		04/16/39	³			5,663,000			6,536,801



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
Shell International Finance BV (Netherlands)
2.38%		11/07/29	³		$	56,614,000		$	59,577,364
2.75%		04/06/30	³			12,855,000			14,091,547
3.25%		04/06/50	³			5,000,000			5,327,615
4.00%		05/10/46	³			24,758,000			28,925,725
4.38%		05/11/45	³			24,571,000			29,854,211
Southern Co. Gas Capital Corp.
4.40%		05/30/47				50,000			60,690
5.88%		03/15/41				12,990,000			18,064,746
Southern Gas Corridor CJSC,
Series REGS (Azerbaijan)
6.88%		03/24/26	³			27,592,000			31,430,047
Sunoco Logistics Partners Operations LP
3.90%		07/15/26				26,439,000			27,506,329
4.00%		10/01/27				12,583,000			12,866,065
5.30%		04/01/44				6,630,000			6,189,124
5.35%		05/15/45				4,421,000			4,144,832
5.40%		10/01/47				86,278,000			81,461,883
Targa Resources Partners LP/Targa Resources Partners
Finance Corp.
6.88%		01/15/29				7,086,000			7,607,964
TC PipeLines LP
3.90%		05/25/27				69,054,000			74,327,446
4.38%		03/13/25				44,100,000			47,962,258
4.65%		06/15/21				6,108,000			6,272,094
Texas Eastern Transmission LP
2.80%		10/15/22	²			75,000			77,259
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26				26,170,000			27,151,375
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^2,3			17,039,100			15,764,575
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^2,3			19,088,160			17,164,073
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^2,3			31,359,000			25,290,406
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^2,3			14,595,750			13,099,686
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26				22,772,000			22,615,443
6.88%		09/01/27				18,132,000			18,010,697
Williams Cos., Inc. (The)
3.90%		01/15/25				5,542,000			6,062,825
4.30%		03/04/24				8,994,000			9,833,264
4.50%		11/15/23				10,305,000			11,287,469
4.55%		06/24/24				10,196,000			11,289,331
5.10%		09/15/45				3,057,000			3,453,327
5.40%		03/04/44				5,000,000			5,601,088



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
6.30%		04/15/40			$	38,555,000		$	47,719,944
7.88%		09/01/21				3,563,000			3,799,194


									2,602,710,081

Entertainment — 0.03%
Live Nation Entertainment, Inc.
4.75%		10/15/27	²			12,043,000			11,297,839
5.63%		03/15/26	²			14,000,000			13,537,682


									24,835,521

Finance — 3.49%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.30%		01/23/23	³			16,075,000			16,148,539
3.50%		05/26/22	³			24,610,000			24,856,744
3.65%		07/21/27	³			16,845,000			15,448,070
3.88%		01/23/28	³			5,015,000			4,658,300
3.95%		02/01/22	³			103,630,000			104,968,425
4.13%		07/03/23	³			2,815,000			2,874,491
4.45%		12/16/21	³			20,560,000			21,010,939
4.50%		05/15/21	³			10,100,000			10,293,693
4.63%		07/01/22	³			3,030,000			3,105,628
4.88%		01/16/24	³			34,985,000			36,140,745
5.00%		10/01/21	³			46,362,000			47,802,831
Air Lease Corp.
2.25%		01/15/23				18,850,000			18,984,335
3.00%		09/15/23				28,655,000			29,184,971
3.25%		03/01/25				19,930,000			20,303,318
3.25%		10/01/29				5,000,000			4,750,773
3.50%		01/15/22				48,195,000			49,453,600
3.75%		02/01/22				26,209,000			26,748,308
4.25%		09/15/24				5,554,000			5,798,834
4.63%		10/01/28				2,000,000			2,083,218
Air Lease Corp. (MTN)
2.30%		02/01/25				40,320,000			39,712,607
3.00%		02/01/30				2,000,000			1,864,930
4.25%		02/01/24				5,000,000			5,208,384
Alta Wind Holdings LLC
7.00%		06/30/35	^2,5,6			4,107,717			5,002,681
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%		02/15/25	^2,3			43,160,000			39,618,540
3.63%		05/01/22	^2,3			15,545,000			15,283,361
3.95%		07/01/24	^2,3			35,499,000			34,013,922
5.13%		10/01/23	^2,3			67,451,000			67,380,348
5.25%		05/15/24	^2,3			22,545,000			22,619,216
5.50%		01/15/23	^2,3			14,689,000			14,821,201
Citigroup, Inc.
2.57%		06/03/31	⁹			127,145,000			133,542,589
2.67%		01/29/31	⁹			30,000,000			31,702,935



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
3.20%		10/21/26			$	18,015,000		$	19,898,859
Daimler Finance North America LLC
3.75%		11/05/21	²			5,103,000			5,275,565
(LIBOR USD 3-Month plus 0.90%)
1.18%		02/15/22	^1,2			54,915,000			55,123,067
Discover Financial Services
3.85%		11/21/22				8,794,000			9,386,599
Ford Motor Credit Co. LLC
2.34%		11/02/20				47,443,000			47,443,000
3.20%		01/15/21				15,464,000			15,460,327
3.22%		01/09/22				98,287,000			98,527,803
3.34%		03/18/21				59,245,000			59,289,454
3.34%		03/28/22				46,346,000			46,221,504
3.47%		04/05/21				23,000,000			23,014,375
4.25%		09/20/22				19,823,000			20,027,177
5.09%		01/07/21				76,500,000			76,786,875
5.75%		02/01/21				59,254,000			59,772,473
(LIBOR USD 3-Month plus 0.81%)
1.04%		04/05/21	¹			13,740,000			13,547,475
(LIBOR USD 3-Month plus 0.88%)
1.15%		10/12/21	¹			58,605,000			56,313,753
(LIBOR USD 3-Month plus 1.08%)
1.33%		08/03/22	¹			11,865,000			11,248,020
(LIBOR USD 3-Month plus 1.27%)
1.50%		03/28/22	¹			62,180,000			59,400,899
(LIBOR USD 3-Month plus 3.14%)
3.36%		01/07/22	¹			12,075,000			11,927,708
GE Capital Funding LLC
4.40%		05/15/30	²			69,625,000			74,915,215
GE Capital International Funding Co. (Ireland)
4.42%		11/15/35	³			364,032,000			382,306,097
General Motors Financial Co., Inc.
2.45%		11/06/20				12,986,000			13,007,010
3.15%		06/30/22				11,161,000			11,465,472
3.20%		07/06/21				31,220,000			31,698,828
3.45%		04/10/22				24,235,000			24,897,775
3.55%		04/09/21				65,795,000			66,673,507
3.70%		11/24/20				4,574,000			4,580,813
4.20%		03/01/21				26,759,000			27,078,764
4.20%		11/06/21				132,055,000			136,308,099
4.38%		09/25/21				91,205,000			94,111,677
(LIBOR USD 3-Month plus 0.85%)
1.12%		04/09/21	¹			10,000,000			9,998,397
Goldman Sachs Group, Inc. (The)
2.60%		02/07/30				68,959,000			72,935,173
2.91%		06/05/23	⁹			4,605,000			4,767,806
3.27%		09/29/25	⁹			70,845,000			76,713,538
3.69%		06/05/28	⁹			6,397,000			7,166,629
3.80%		03/15/30				45,389,000			52,733,187



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
3.81%		04/23/29	⁹		$	1,390,000		$	1,586,459
3.85%		01/26/27				140,000			157,805
Intercontinental Exchange, Inc.
1.85%		09/15/32				56,512,000			56,465,208
Morgan Stanley (MTN)
2.72%		07/22/25	⁹			10,000,000			10,632,364
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,9			7,320,000			7,609,078
3.77%		03/08/24	^2,3,9			39,750,000			42,275,425
3.96%		07/18/30	^2,3,9			10,000,000			11,310,216
4.36%		08/01/24	^2,3,9			104,478,000			113,367,422
Park Aerospace Holdings Ltd.
(Cayman Islands)
3.63%		03/15/21	^2,3			9,990,000			9,910,527
4.50%		03/15/23	^2,3			35,061,000			34,763,596
5.50%		02/15/24	^2,3			96,095,000			96,899,722
Pipeline Funding Co. LLC
7.50%		01/15/30	²			25,033,411			34,055,421
Raymond James Financial, Inc.
4.95%		07/15/46				56,046,000			72,737,681


									3,127,180,320

Food — 0.86%
Conagra Brands, Inc.
4.60%		11/01/25				9,443,000			10,974,731
(LIBOR USD 3-Month plus 0.50%)
0.77%		10/09/20	¹			8,270,000			8,270,769
JBS USA LLC/JBS USA Finance, Inc. (Canada)
6.75%		02/15/28	^2,3			5,000,000			5,450,000
JBS USA LUX SA/JBS USA
Food Co./JBS USA Finance, Inc. (Canada)
5.50%		01/15/30	^2,3			13,548,000			14,763,527
6.50%		04/15/29	^2,3			1,505,000			1,672,386
Kraft Heinz Foods Co.
3.75%		04/01/30	²			89,250,000			94,308,419
4.38%		06/01/46				118,727,000			122,012,652
4.63%		10/01/39	²			85,895,000			91,168,067
5.00%		07/15/35				51,292,000			59,259,338
5.00%		06/04/42				76,095,000			83,446,564
5.20%		07/15/45				40,111,000			43,975,460
6.50%		02/09/40				32,500,000			41,403,865
6.75%		03/15/32				3,475,000			4,599,789
6.88%		01/26/39				53,494,000			71,996,863
Kroger Co. (The)
5.40%		01/15/49				17,720,000			24,578,939
Pilgrim’s Pride Corp.
5.88%		09/30/27	²			21,463,000			22,323,056
Post Holdings, Inc.
4.63%		04/15/30	²			31,023,000			31,953,690



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Food (continued)
5.00%		08/15/26	²		$	8,344,000		$	8,567,077
5.50%		12/15/29	²			6,289,000			6,737,248
5.63%		01/15/28	²			18,230,000			19,412,033


									766,874,473

Gaming — 0.05%
Caesars Entertainment, Inc.
6.25%		07/01/25	²			20,423,000			21,374,249
Caesars Resort Collection LLC/CRC Finco, Inc.
5.75%		07/01/25	²			7,000,000			7,227,500
Churchill Downs, Inc.
5.50%		04/01/27	²			12,245,000			12,750,181
MGM Resorts International
6.00%		03/15/23				30,000			31,189


									41,383,119

Health Care — 3.53%
AbbVie, Inc.
3.20%		11/21/29	²			39,084,000			43,227,591
3.80%		03/15/25	²			90,388,000			100,836,202
3.85%		06/15/24	²			20,143,000			22,093,010
4.05%		11/21/39	²			2,025,000			2,327,355
4.25%		11/21/49	²			86,657,000			102,685,442
4.40%		11/06/42				99,381,000			118,091,582
4.45%		05/14/46				26,681,000			31,951,470
4.85%		06/15/44	²			6,130,000			7,640,163
4.88%		11/14/48				18,457,000			23,447,211
Aetna, Inc.
4.13%		11/15/42				6,375,000			7,298,809
Alcon Finance Corp.
2.60%		05/27/30	²			42,600,000			45,209,126
2.75%		09/23/26	²			5,000,000			5,440,327
Amgen, Inc.
4.40%		05/01/45				34,700,000			42,939,871
Banner Health
2.34%		01/01/30				16,165,000			16,800,865
Banner Health, Series 2020
3.18%		01/01/50				85,000			93,008
Bausch Health Americas, Inc.
9.25%		04/01/26	²			2,722,000			3,007,810
Bausch Health Cos., Inc. (Canada)
5.75%		08/15/27	^2,3			2,000,000			2,132,500
7.00%		03/15/24	^2,3			34,744,000			35,994,784
Bayer U.S. Finance II LLC
3.95%		04/15/45	²			10,790,000			11,281,843
4.25%		12/15/25	²			18,962,000			21,729,188
4.38%		12/15/28	²			123,100,000			144,740,918
4.40%		07/15/44	²			53,566,000			61,365,159
4.63%		06/25/38	²			36,299,000			43,460,965



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
4.88%		06/25/48	²		$	110,606,000		$	137,696,177
5.50%		08/15/25	²			13,932,000			16,644,214
5.50%		07/30/35	²			3,820,000			4,757,593
Bayer U.S. Finance LLC
3.38%		10/08/24	²			9,055,000			9,873,257
Becton Dickinson and Co.
2.82%		05/20/30				28,095,000			30,358,322
3.30%		03/01/23				10,000,000			10,566,430
3.36%		06/06/24				2,235,000			2,418,348
Boston Scientific Corp.
2.65%		06/01/30				34,865,000			37,164,114
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	²			7,001,000			7,165,944
5.00%		07/15/27	²			13,935,000			14,515,950
Centene Corp.
3.00%		10/15/30				247,359,000			252,664,851
3.38%		02/15/30				5,175,000			5,369,063
4.25%		12/15/27				75,412,000			79,087,958
4.63%		12/15/29				44,767,000			48,346,345
4.75%		05/15/22				173,000			175,249
4.75%		01/15/25				2,785,000			2,865,904
5.38%		06/01/26	²			1,000,000			1,056,250
Cigna Corp.
2.40%		03/15/30				7,742,000			8,045,984
3.20%		03/15/40				4,157,000			4,394,995
3.40%		03/01/27				6,810,000			7,651,540
3.88%		10/15/47				35,257,000			39,324,192
4.38%		10/15/28				5,060,000			6,027,272
4.50%		02/25/26				6,097,000			7,127,542
4.80%		08/15/38				35,478,000			44,178,136
4.80%		07/15/46				38,613,000			48,499,470
4.90%		12/15/48				3,545,000			4,616,865
CVS Health Corp.
4.78%		03/25/38				23,581,000			28,800,855
4.88%		07/20/35				22,450,000			28,566,043
5.05%		03/25/48				133,900,000			171,014,188
5.13%		07/20/45				106,790,000			135,335,539
Elanco Animal Health, Inc.
4.91%		08/27/21				20,850,000			21,449,438
5.27%		08/28/23				37,890,000			40,708,069
5.90%		08/28/28				12,539,000			14,529,566
Encompass Health Corp.
4.50%		02/01/28				2,950,000			2,979,500
4.75%		02/01/30				43,800,000			44,510,874
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	²			8,964,000			9,538,951
Hackensack Meridian Health, Inc.,
Series 2020
2.68%		09/01/41				35,000,000			34,598,208



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
2.88%		09/01/50			$	13,880,000		$	13,701,673
HCA, Inc.
4.13%		06/15/29				10,936,000			12,393,204
4.50%		02/15/27				2,431,000			2,734,042
4.75%		05/01/23				8,906,000			9,721,414
5.00%		03/15/24				70,701,000			79,208,401
5.13%		06/15/39				65,000			79,128
5.25%		04/15/25				12,749,000			14,729,672
5.25%		06/15/26				37,878,000			44,205,073
5.25%		06/15/49				200,307,000			245,792,714
5.50%		06/15/47				20,011,000			24,923,300
Hologic, Inc.
3.25%		02/15/29	²			10,792,000			10,879,685
Humana, Inc.
3.13%		08/15/29				34,439,000			38,190,869
Memorial Sloan-Kettering Cancer Center, Series 2015
4.20%		07/01/55				7,210,000			9,762,677
Methodist Hospital (The), Series 20A
2.71%		12/01/50				45,805,000			45,845,980
Molina Healthcare, Inc.
4.38%		06/15/28	²			5,815,000			5,935,912
4.88%		06/15/25	²			10,515,000			10,763,627
5.38%		11/15/22				16,345,000			17,111,172
NYU Langone Hospitals, Series 2020
3.38%		07/01/55				4,300,000			4,363,702
OhioHealth Corp., Series 2020
3.04%		11/15/50				19,675,000			21,731,361
Partners Healthcare System, Inc.,
Series 2020
3.34%		07/01/60				1,765,000			1,963,144
Royalty Pharma PLC (United Kingdom)
0.75%		09/02/23	^2,3			11,885,000			11,872,651
1.75%		09/02/27	^2,3			16,295,000			16,357,001
Teleflex, Inc.
4.25%		06/01/28	²			75,000			77,719
Tenet Healthcare Corp.
4.63%		09/01/24	²			37,212,000			37,497,695
4.63%		06/15/28	²			16,997,000			17,193,315
4.88%		01/01/26	²			24,522,000			24,997,727
5.13%		11/01/27	²			29,999,000			30,889,970
UnitedHealth Group, Inc.
3.70%		08/15/49				21,685,000			26,020,387
3.88%		08/15/59				10,320,000			12,648,975
4.25%		04/15/47				13,825,000			17,666,991
4.25%		06/15/48				20,000,000			25,544,496
4.45%		12/15/48				17,116,000			23,030,263
4.75%		07/15/45				31,236,000			42,483,583


									3,156,735,918



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Industrials — 0.53%
Amcor Finance USA, Inc.
3.63%		04/28/26			$	11,781,000		$	13,131,644
4.50%		05/15/28				4,285,000			5,027,551
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Ireland)
4.13%		08/15/26	^2,3			9,159,000			9,307,834
BAE Systems PLC (United Kingdom)
1.90%		02/15/31	^2,3			2,035,000			2,027,334
Ball Corp.
4.00%		11/15/23				9,532,000			10,153,963
Bemis Co., Inc.
2.63%		06/19/30				1,930,000			2,056,418
General Electric Co.
4.13%		10/09/42				6,416,000			6,519,516
4.25%		05/01/40				17,785,000			18,102,878
General Electric Co. (GMTN)
6.88%		01/10/39				4,273,000			5,501,547
General Electric Co. (MTN)
5.88%		01/14/38				102,907,000			119,981,515
(LIBOR USD 3-Month plus 0.38%)
0.63%		05/05/26	¹			9,790,000			9,101,338
(LIBOR USD 3-Month plus 0.48%)
0.76%		08/15/36	¹			11,550,000			7,878,277
General Electric Co., Series A (MTN)
6.75%		03/15/32				48,228,000			60,723,518
General Electric Co., Series NOTZ
(LIBOR USD 3-Month plus 1.00%)
1.28%		04/15/23	¹			10,789,000			10,728,964
Graphic Packaging International LLC
3.50%		03/15/28	²			2,540,000			2,542,577
4.13%		08/15/24				1,325,000			1,392,767
4.75%		07/15/27	²			6,346,000			6,948,870
4.88%		11/15/22				5,665,000			5,904,431
L3 Technologies, Inc.
4.40%		06/15/28				45,000			53,272
L3Harris Technologies, Inc.
3.95%		05/28/24				12,890,000			14,229,073
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	²			2,344,000			2,355,720
OI European Group BV (Netherlands)
4.00%		03/15/23	^2,3			3,364,000			3,426,722
PowerTeam Services LLC
9.03%		12/04/25	²			62,635,000			66,338,802
Sealed Air Corp.
4.00%		12/01/27	²			6,930,000			7,250,513
4.88%		12/01/22	²			6,050,000			6,326,102
5.13%		12/01/24	²			3,255,000			3,535,744
5.25%		04/01/23	²			3,800,000			4,022,851
5.50%		09/15/25	²			21,591,000			24,091,609



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Industrials (continued)
Trivium Packaging Finance BV (Netherlands)
5.50%		08/15/26	^2,3		$	41,072,000		$	42,571,752


									471,233,102

Information Technology — 0.58%
Broadcom Corp./Broadcom Cayman
Finance Ltd.
3.63%		01/15/24				113,658,000			122,140,924
Broadcom, Inc.
3.13%		10/15/22				77,850,000			81,506,172
3.63%		10/15/24				23,025,000			25,119,840
Dell International LLC/EMC Corp.
4.42%		06/15/21	²			17,110,000			17,516,537
Fiserv, Inc.
2.65%		06/01/30				6,005,000			6,478,132
3.20%		07/01/26				25,905,000			28,780,047
4.40%		07/01/49				5,000,000			6,242,262
Intel Corp.
3.73%		12/08/47				8,198,000			9,775,687
4.60%		03/25/40				74,810,000			100,138,594
4.95%		03/25/60				20,230,000			29,577,144
IQVIA, Inc.
5.00%		05/15/27	²			4,072,000			4,285,780
Microsoft Corp.
2.68%		06/01/60				6,388,000			6,749,340
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^2,3			4,600,000			4,863,550
Oracle Corp.
3.60%		04/01/40				25,000,000			28,758,435
3.60%		04/01/50				31,480,000			35,682,391
4.00%		11/15/47				7,000,000			8,327,346
SS&C Technologies, Inc.
5.50%		09/30/27	²			3,053,000			3,248,300


									519,190,481

Insurance — 0.56%
Aon Corp.
2.80%		05/15/30				19,966,000			21,663,340
Berkshire Hathaway, Inc.
4.50%		02/11/43				5,000,000			6,665,365
Farmers Exchange Capital
7.05%		07/15/28	²			13,283,000			16,272,288
7.20%		07/15/48	²			18,415,000			26,026,245
Farmers Exchange Capital II
6.15%		11/01/53	^2,9			61,460,000			77,670,075
Farmers Exchange Capital III
5.45%		10/15/54	^2,9			68,575,000			82,890,031
Farmers Insurance Exchange
4.75%		11/01/57	^2,9			17,080,000			17,813,408



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Insurance (continued)
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	²		$	1,435,000		$	1,469,103
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^2,9			35,439,000			35,439,983
New York Life Insurance Co.
3.75%		05/15/50	²			28,810,000			32,630,708
Teachers Insurance & Annuity
Association of America
3.30%		05/15/50	²			148,750,000			152,719,093
4.27%		05/15/47	²			8,526,000			10,128,482
4.38%		09/15/54	^2,9			19,950,000			21,296,625


									502,684,746

Materials — 0.35%
Corp. Nacional del Cobre de Chile,
Series REGS (Chile)
3.15%		01/14/30	³			30,738,000			32,779,195
Indonesia Asahan Aluminum Persero PT,
Series REGS (Indonesia)
6.53%		11/15/28	³			2,067,000			2,524,841
6.76%		11/15/48	³			13,119,000			16,968,115
Indonesia Asahan Aluminum Persero PT
(Indonesia)
6.53%		11/15/28	^2,3			9,000,000			10,993,500
International Flavors & Fragrances, Inc.
5.00%		09/26/48				139,884,000			173,653,957
Nutrition & Biosciences, Inc.
2.30%		11/01/30	²			19,950,000			20,144,385
3.27%		11/15/40	²			20,000,000			20,283,550
3.47%		12/01/50	²			32,500,000			32,905,755
Sherwin-Williams Co. (The)
2.30%		05/15/30				4,155,000			4,342,922
3.30%		05/15/50				2,000,000			2,129,949


									316,726,169

Real Estate Investment Trust (REIT) — 0.99%
American Campus Communities
Operating Partnership LP
3.30%		07/15/26				21,300,000			22,838,599
3.63%		11/15/27				7,095,000			7,518,707
3.75%		04/15/23				45,679,000			48,057,908
3.88%		01/30/31				9,260,000			10,122,981
4.13%		07/01/24				4,095,000			4,418,339
Boston Properties LP
3.25%		01/30/31				20,060,000			21,650,873
4.13%		05/15/21				350,000			353,390
CyrusOne LP/CyrusOne Finance Corp.
2.15%		11/01/30				7,265,000			7,116,794
2.90%		11/15/24				78,983,000			83,874,812
3.45%		11/15/29				7,045,000			7,650,513



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			$	31,852,000		$	32,392,528
4.00%		01/15/30				30,000			31,200
5.25%		06/01/25				70,067,000			76,523,674
5.30%		01/15/29				34,755,000			38,907,527
5.38%		11/01/23				33,993,000			36,252,690
5.38%		04/15/26				98,421,000			109,264,534
5.75%		06/01/28				34,128,000			39,062,738
Healthcare Realty Trust, Inc.
2.05%		03/15/31				5,590,000			5,523,716
3.75%		04/15/23				20,945,000			22,498,485
3.88%		05/01/25				20,446,000			22,422,130
Healthcare Trust of America Holdings LP
2.00%		03/15/31				17,940,000			17,673,094
3.10%		02/15/30				5,095,000			5,527,275
3.75%		07/01/27				18,945,000			21,105,153
Healthpeak Properties, Inc.
3.00%		01/15/30				5,530,000			5,973,476
3.88%		08/15/24				19,274,000			21,304,298
4.20%		03/01/24				15,709,000			17,313,403
4.25%		11/15/23				1,768,000			1,932,013
Highwoods Realty LP
3.20%		06/15/21				25,000			25,241
Hudson Pacific Properties LP
3.95%		11/01/27				12,607,000			13,582,126
4.65%		04/01/29				9,585,000			10,950,682
Kilroy Realty LP
3.45%		12/15/24				28,590,000			30,274,776
Life Storage LP
3.88%		12/15/27				6,960,000			7,797,176
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.50%		01/15/28				1,322,000			1,351,494
5.63%		05/01/24				10,000			10,628
Mid-America Apartments LP
4.30%		10/15/23				9,636,000			10,538,223
SBA Communications Corp.
4.88%		09/01/24				2,524,000			2,593,410
SL Green Operating Partnership LP
3.25%		10/15/22				44,126,000			45,044,850
(LIBOR USD 3-Month plus 0.98%)
1.26%		08/16/21	¹			21,735,000			21,584,519
SL Green Realty Corp.
4.50%		12/01/22				15,845,000			16,535,883
Ventas Realty LP
3.50%		02/01/25				12,540,000			13,563,211
3.75%		05/01/24				9,705,000			10,391,954
4.00%		03/01/28				2,000,000			2,179,564



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Ventas Realty LP/Ventas Capital Corp.
3.25%		08/15/22			$	7,357,000		$	7,633,873
WEA Finance LLC
3.15%		04/05/22	²			6,330,000			6,434,542
Welltower, Inc.
3.75%		03/15/23				175,000			185,249


									887,988,251

Retail — 0.37%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^2,3			3,828,000			3,950,773
2.95%		01/25/30	^2,3			14,334,000			15,479,100
3.55%		07/26/27	^2,3			9,320,000			10,307,788
3.80%		01/25/50	^2,3			106,747,000			118,481,260
Family Dollar Stores, Inc.
5.00%		02/01/21				17,730,000			17,982,062
Lowe’s Cos., Inc.
3.70%		04/15/46				2,000,000			2,295,994
4.05%		05/03/47				2,000,000			2,392,374
4.55%		04/05/49				7,000,000			9,010,447
McDonald’s Corp. (MTN)
3.63%		05/01/43				5,000,000			5,619,711
4.70%		12/09/35				5,000,000			6,419,044
Rite Aid Corp.
8.00%		11/15/26	²			9,123,000			9,140,106
Starbucks Corp.
2.25%		03/12/30				42,345,000			44,002,049
3.35%		03/12/50				14,130,000			14,649,082
4.45%		08/15/49				4,000,000			4,873,990
Walgreens Boots Alliance, Inc.
3.45%		06/01/26				42,647,000			46,633,370
3.80%		11/18/24				6,358,000			7,002,519
4.80%		11/18/44				13,049,000			14,322,160


									332,561,829

Services — 0.46%
Brown University in Providence in the State of Rhode Island and Providence Plant, Series A
2.92%		09/01/50				14,650,000			16,008,988
DP World Crescent Ltd. (Cayman Islands)
4.85%		09/26/28	^2,3			7,600,000			8,445,120
Duke University, Series 2020
2.83%		10/01/55				71,330,000			75,818,163
Emory University, Series 2020
2.14%		09/01/30				34,275,000			35,965,513
2.97%		09/01/50				4,755,000			5,225,435
Gartner, Inc.
3.75%		10/01/30	²			6,750,000			6,836,400



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Services (continued)
Georgetown University (The), Series 20A
2.94%		04/01/50			$	5,000,000		$	4,991,714
GFL Environmental, Inc. (Canada)
3.75%		08/01/25	^2,3			10,268,000			10,343,983
5.13%		12/15/26	^2,3			3,974,000			4,109,968
Global Payments, Inc.
4.15%		08/15/49				7,000,000			8,213,946
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^2,3			17,806,000			19,894,911
4.13%		08/01/23	³			30,728,000			33,464,789
4.75%		02/15/25	^2,3			34,306,000			38,953,091
4.75%		08/01/28	³			2,767,000			3,296,784
5.00%		11/01/22	^2,3			83,285,000			89,512,090
Service Corp. International/U.S.
4.63%		12/15/27				1,922,000			2,041,347
Waste Pro USA, Inc.
5.50%		02/15/26	²			44,027,000			44,682,782
William Marsh Rice University
3.77%		05/15/55				5,735,000			7,405,681


									415,210,705

Transportation — 0.45%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21				3,075,754			3,014,311
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21				1,440,108			1,303,298
American Airlines Pass-Through Trust,
Series 2013-1, Class A
4.00%		07/15/25				12,964,834			10,823,141
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23				45,999,178			39,542,913
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%		10/15/29				17,786,064			16,718,900
Burlington Northern Santa Fe LLC
4.05%		06/15/48				5,000,000			6,235,258
4.15%		12/15/48				2,000,000			2,545,716
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20				1			1
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A
7.71%		04/02/21				508,587			515,673
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22				55,307,296			54,296,494



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			$	245,371		$	213,935
Continental Airlines Pass-Through Trust,
Series 2010-1, Class A
4.75%		01/12/21				312,714			311,043
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23				29,453,763			28,275,613
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28				90,146,000			87,603,662
Empresa de Transporte de Pasajeros Metro SA (Chile)
3.65%		05/07/30	^2,3			9,660,000			10,728,637
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32				10,650,000			10,961,402
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22				2,766,973			2,698,812
SMBC Aviation Capital Finance DAC (Ireland)
3.00%		07/15/22	^2,3			20,315,000			20,727,384
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21				268,109			262,620
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23				14,272,128			12,879,780
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23				2,701,308			2,275,140
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24				34,401,124			32,337,056
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25				8,373			6,855
Union Pacific Corp.
3.80%		10/01/51				5,000,000			5,959,382
3.84%		03/20/60				2,000,000			2,336,036
3.88%		02/01/55				5,000,000			6,042,250
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%		08/15/25				13,240,849			12,820,418
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%		03/01/30				31,720,423			29,499,993


									400,935,723

Water — 0.02%
American Water Capital Corp.
2.80%		05/01/30				5,000,000			5,487,938



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Water (continued)
3.45%		06/01/29			$	11,839,000		$	13,568,062


									19,056,000

Total Corporates
(Cost $19,758,252,262)									20,903,631,303


FOREIGN GOVERNMENT OBLIGATIONS — 0.85%
Foreign Government Obligations — 0.85%
Abu Dhabi Government International Bond,
Series REGS (United Arab Emirates)
2.50%		09/30/29	³			38,500,000			41,216,868
Colombia Government International Bond
(Colombia)
3.00%		01/30/30	³			20,859,000			21,367,438
3.88%		04/25/27	³			13,311,000			14,377,211
5.20%		05/15/49	³			2,102,000			2,546,704
Croatia Government International Bond,
Series REGS (Croatia)
6.00%		01/26/24	³			18,065,000			20,966,691
Dominican Republic International Bond
(Dominican Republic)
4.50%		01/30/30	^2,3			1,095,000			1,076,864
Dominican Republic International Bond,
Series REGS (Dominican Republic)
5.50%		01/27/25	³			12,019,000			12,815,379
6.00%		07/19/28	³			31,022,000			33,474,677
Egypt Government International Bond
(Egypt)
5.58%		02/21/23	^2,3			4,700,000			4,840,812
7.60%		03/01/29	^2,3			3,550,000			3,650,738
Hungary Government International Bond
(Hungary)
5.38%		03/25/24	³			23,298,000			26,743,681
Indonesia Government International Bond
(Indonesia)
2.85%		02/14/30	³			12,786,000			13,479,241
Mexico Government International Bond
(Mexico)
3.25%		04/16/30	³			81,682,000			83,871,894
3.75%		01/11/28	³			10,635,000			11,454,227
4.50%		04/22/29	³			11,767,000			13,218,871
4.60%		01/23/46	³			18,506,000			19,902,625
Mexico Government International Bond
(MTN) (Mexico)
4.75%		03/08/44	³			8,694,000			9,560,683
Panama Government International Bond
(Panama)
3.16%		01/23/30	³			57,474,000			62,611,313
3.88%		03/17/28	³			13,200,000			14,976,720
Paraguay Government International Bond
(Paraguay)
4.95%		04/28/31	^2,3			3,477,000			4,021,151



Issues	Maturity Date			Principal Amount			Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations
(continued)
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%		06/23/30	^2,3		$	17,340,000		$	17,906,255
Perusahaan Penerbit SBSN Indonesia III,
Series REGS (Indonesia)
4.15%		03/29/27	³			5,100,000			5,752,641
Peruvian Government International Bond
(Peru)
2.84%		06/20/30	³			28,449,000			31,039,566
4.13%		08/25/27	³			31,282,000			36,521,735
Qatar Government International Bond,
Series REGS (Qatar)
4.50%		04/23/28	³			30,438,000			36,463,202
4.63%		06/02/46	³			11,215,000			14,755,576
Republic of South Africa Government
International Bond (South Africa)
4.30%		10/12/28	³			38,733,000			36,220,429
4.85%		09/30/29	³			7,939,000			7,594,662
5.75%		09/30/49	³			8,800,000			7,502,000
Russian Foreign Bond - Eurobond,
Series REGS (Russia)
4.25%		06/23/27	³			7,200,000			8,122,680
4.38%		03/21/29	³			19,200,000			22,108,800
4.75%		05/27/26	³			9,400,000			10,794,960
Saudi Government International Bond,
Series REGS (EMTN) (Saudi Arabia)
3.25%		10/22/30	³			10,350,000			11,266,182
3.63%		03/04/28	³			24,942,000			27,688,862
4.50%		10/26/46	³			8,741,000			10,517,608
Saudi Government International Bond
(Saudi Arabia)
2.75%		02/03/32	^2,3			3,080,000			3,210,130
3.75%		01/21/55	^2,3			4,255,000			4,615,399
4.00%		04/17/25	^2,3			8,420,000			9,371,460
Uruguay Government International Bond
(Uruguay)
4.38%		10/27/27	³			26,063,777			30,168,822
4.38%		01/23/31	³			10,570,000			12,601,422


Total Foreign Government Obligations
(Cost $720,339,812)									760,396,179


MORTGAGE-BACKED — 38.90%**
Non-Agency Commercial
Mortgage-Backed — 0.98%
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2018-PARK, Class A
4.23%		08/10/38	^2,9			122,930,000			144,993,726
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)
0.69%		04/25/34	^1,2		$	20,894		$	20,842
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
0.79%		08/25/34	^1,2			198,033			192,994
BB-UBS Trust,
Series 2012-SHOW, Class A
3.43%		11/05/36	²			8,640,000			8,414,804
Benchmark Mortgage Trust,
Series 2018-B2, Class A5
3.88%		02/15/51	⁹			7,085,000			8,281,710
BX Trust, Series 2019-OC11, Class A
3.20%		12/09/41	²			42,270,000			45,056,244
CALI Mortgage Trust, Series 2019-101C,
Class A
3.96%		03/10/39	²			80,255,000			94,599,229
CALI Mortgage Trust, Series 2019-101C,
Class XA (IO)
0.44%		03/10/39	^2,9			272,551,000			6,301,502
Century Plaza Towers, Series 2019-CPT,
Class A
2.87%		11/13/39	²			32,645,000			35,780,647
Citigroup Commercial Mortgage Trust,
Series 2015-GC31, Class A4
3.76%		06/10/48				10,000,000			11,188,699
Commercial Mortgage Trust,
Series 2013-CR12, Class A4
4.05%		10/10/46				440,000			479,495
DC Office Trust, Series 2019-MTC, Class A
2.97%		09/15/45	²			31,135,000			34,503,689
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class A
3.67%		09/10/35	^2,9			1,362,500			1,480,387
GE Business Loan Trust, Series 2007-1A,
Class A
(LIBOR USD 1-Month plus 0.17%)
0.32%		04/15/35	^1,2			3,553,040			3,553,040
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	²			84,915,000			95,686,052
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
3.04%		12/10/41	^2,9			81,025,000			90,037,135
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2015-JP1,
Class A5
3.91%		01/15/49				8,610,000			9,788,725
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2019-OSB,
Class A
3.40%		06/05/39	²			50,000			56,944

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial

Mortgage-Backed (continued)

Lehman Brothers Small Balance Commercial

Mortgage Trust, Series 2007-1A, Class 2A3

5.62%

03/25/37

^2,9

1,359,507

1,308,823

MKT Mortgage Trust, Series 2020-525M,

Class A

2.69%

02/12/40

70,000

74,584

Natixis Commercial Mortgage Securities

Trust, Series 2020-2PAC, Class A

2.97%

12/15/38

55,000

56,961

One Bryant Park Trust,

Series 2019-OBP, Class A

2.52%

09/15/54

147,667,000

158,332,803

Queens Center Mortgage Trust,

Series 2013-QCA, Class A

3.28%

01/11/37

15,810,000

15,923,674

RBS Commercial Funding, Inc., Trust,

Series 2013-GSP, Class A

3.96%

01/15/32

^2,9

48,830,000

51,062,124

SFAVE Commercial Mortgage Securities

Trust, Series 2015-5AVE, Class A1

3.87%

01/05/43

^2,9

48,465,000

51,245,461

SFAVE Commercial Mortgage Securities

Trust, Series 2015-5AVE, Class A2B

4.14%

01/05/43

^2,9

8,710,000

8,210,002

876,630,296

Non-Agency Mortgage-Backed — 5.85%

Aames Mortgage Trust,

Series 2002-1, Class A3

(STEP-reset date 11/25/20)

7.40%

06/25/32

36,243

36,822

Accredited Mortgage Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 1-Month plus 0.22%)

0.37%

02/25/37

35,652,674

35,150,881

ACE Securities Corp. Home Equity Loan

Trust, Series 2004-IN1, Class A1

(LIBOR USD 1-Month plus 0.64%)

0.79%

05/25/34

179,843

166,580

ACE Securities Corp. Home Equity Loan

Trust, Series 2006-HE3, Class A2C

(LIBOR USD 1-Month plus 0.15%)

0.30%

06/25/36

3,123,402

2,619,242

ACE Securities Corp. Home Equity Loan

Trust, Series 2007-ASAP2, Class A1

(LIBOR USD 1-Month plus 0.19%)

0.34%

06/25/37

39,287,962

32,099,306

Adjustable Rate Mortgage Trust,

Series 2005-10, Class 6A1

(LIBOR USD 1-Month plus 0.54%)

0.69%

01/25/36

286,674

271,790

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Adjustable Rate Mortgage Trust,

Series 2006-3, Class 4A32

(LIBOR USD 1-Month plus 0.20%)

0.35%

08/25/36

4,967,361

4,996,016

Aegis Asset-Backed Securities Trust,

Series 2005-5, Class 1A4

(LIBOR USD 1-Month plus 0.35%)

0.50%

12/25/35

101,226

100,380

Ajax Mortgage Loan Trust,

Series 2019-F, Class A1

(STEP-reset date 10/25/20)

2.86%

07/25/59

239,871

247,898

Alternative Loan Trust,

Series 2004-J6, Class 2A1

6.50%

11/25/31

6,975

7,296

Alternative Loan Trust,

Series 2005-38, Class A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.50%)

2.52%

09/25/35

454,444

395,625

Alternative Loan Trust,

Series 2005-76, Class 2A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.00%)

2.02%

02/25/36

50,970,248

49,237,144

Alternative Loan Trust,

Series 2005-84, Class 1A1

3.15%

02/25/36

⁹

43,509

34,857

Alternative Loan Trust,

Series 2006-HY13, Class 4A1

3.84%

02/25/37

⁹

1,377,227

1,330,708

Alternative Loan Trust,

Series 2006-OC5, Class 2A2A

(LIBOR USD 1-Month plus 0.17%)

0.32%

06/25/46

125,398

145,527

Alternative Loan Trust,

Series 2007-J1, Class 2A1

(LIBOR USD 1-Month plus 0.20%)

0.35%

03/25/37

596,004

128,156

American Home Mortgage Assets Trust,

Series 2006-3, Class 2A12

(Federal Reserve US 12-Month Cumulative

Average plus 1.15%)

2.17%

10/25/46

43,285,914

35,517,287

American Home Mortgage Assets Trust,

Series 2007-2, Class A1

(LIBOR USD 1-Month plus 0.13%)

0.27%

03/25/47

20,797,774

19,132,005

American Home Mortgage Investment Trust,

Series 2004-3, Class 2A

(LIBOR USD 6-Month plus 1.50%)

1.81%

10/25/34

5,657,043

5,628,160

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Ameriquest Mortgage Securities Trust,

Series 2006-R1, Class M1

(LIBOR USD 1-Month plus 0.39%)

0.54%

03/25/36

12,900,839

12,842,079

Ameriquest Mortgage Securities, Inc.,

Asset-Backed Pass-Through Certificates,

Series 2004-R10, Class A1

(LIBOR USD 1-Month plus 0.66%)

0.81%

11/25/34

16,339,344

15,498,604

Ameriquest Mortgage Securities, Inc.,

Asset-Backed Pass-Through Certificates,

Series 2005-R11, Class M1

(LIBOR USD 1-Month plus 0.45%)

0.60%

01/25/36

6,038,652

6,055,368

Amresco Residential Securities Corp.

Mortgage Loan Trust, Series 1998-1,

Class A5 (STEP-reset date 11/25/20)

6.47%

10/25/27

31,848

32,487

Argent Securities, Inc., Asset-Backed

Pass-Through Certificates, Series 2005-W2,

Class M1

(LIBOR USD 1-Month plus 0.49%)

0.64%

10/25/35

250,000

247,325

Argent Securities, Inc., Asset-Backed

Pass-Through Certificates, Series 2005-W3,

Class A1

(LIBOR USD 1-Month plus 0.26%)

0.41%

11/25/35

17,096,809

16,149,262

Argent Securities, Inc., Asset-Backed

Pass-Through Certificates, Series 2005-W3,

Class M1

(LIBOR USD 1-Month plus 0.44%)

0.59%

11/25/35

19,840,000

19,220,563

Asset-Backed Funding Certificates,

Series 2005-HE1, Class M1

(LIBOR USD 1-Month plus 0.63%)

0.78%

03/25/35

3,634,906

3,631,683

Asset-Backed Funding Certificates,

Series 2006-OPT3, Class A3B

(LIBOR USD 1-Month plus 0.16%)

0.31%

11/25/36

49,573,220

30,237,914

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A2A

(LIBOR USD 1-Month plus 0.75%)

0.90%

06/25/37

28,691,158

25,501,851

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A2B

(LIBOR USD 1-Month plus 1.00%)

1.15%

06/25/37

20,959,896

19,051,514

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE5, Class A1

(LIBOR USD 1-Month plus 0.13%)

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

0.27%

07/25/36

8,496,512

8,070,354

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE6, Class A5

(LIBOR USD 1-Month plus 0.23%)

0.38%

11/25/36

18,411,000

16,581,755

Banc of America Funding Trust,

Series 2003-2, Class 1A1

6.50%

06/25/32

12,113

12,451

Banc of America Funding Trust,

Series 2006-D, Class 3A1

3.54%

05/20/36

⁹

4,368,481

4,183,564

Banc of America Funding Trust,

Series 2006-E, Class 2A1

3.44%

06/20/36

⁹

62,412

58,653

Banc of America Funding Trust,

Series 2006-G, Class 2A1

(LIBOR USD 1-Month plus 0.44%)

0.60%

07/20/36

2,481,623

2,493,137

Banc of America Funding Trust,

Series 2006-H, Class 3A1

3.11%

09/20/46

⁹

1,053,717

944,352

Banc of America Funding Trust,

Series 2014-R8, Class A1

(LIBOR USD 1-Month plus 0.24%)

0.39%

06/26/36

^1,2

1,276,929

1,284,853

Banc of America Funding Trust,

Series 2015-R2, Class 1A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

08/27/36

^1,2

19,090,307

18,111,566

Banc of America Funding Trust,

Series 2015-R2, Class 3A1

(LIBOR USD 1-Month plus 0.26%)

0.41%

04/29/37

^1,2

2,540,929

2,555,550

Banc of America Funding Trust,

Series 2015-R2, Class 7A1

(LIBOR USD 1-Month plus 0.28%)

0.43%

09/29/36

^1,2

206,702

208,451

Banc of America Funding Trust,

Series 2015-R2, Class 9A1

(LIBOR USD 1-Month plus 0.22%)

0.36%

03/27/36

^1,2

1,914,823

1,923,147

Banc of America Funding Trust,

Series 2015-R5, Class 1A1

(LIBOR USD 1-Month plus 0.13%)

0.28%

10/26/36

^1,2

4,759,269

4,755,153

Banc of America Funding Trust,

Series 2015-R5, Class 1A2

(LIBOR USD 1-Month plus 0.13%)

0.28%

10/26/36

^1,2

42,536,000

41,077,636



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%		03/25/40	^2,9		$	15,067,475		$	15,215,552
Banc of America Funding Trust,
Series 2016-R1, Class B2
3.50%		03/25/40	^2,9			23,780,000			22,079,984
Banc of America Mortgage Trust,
Series 2004-F, Class 1A1
2.87%		07/25/34	⁹			29,476			29,041
Banc of America Mortgage Trust,
Series 2005-C, Class 2A2
3.95%		04/25/35	⁹			289,940			291,374
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%		07/25/46	¹			106,784			105,135
Banc of America Mortgage Trust,
Series 2007-1, Class 1A24
6.00%		03/25/37				669,593			668,757
Banc of America Mortgage Trust,
Series 2007-3, Class 1A1
6.00%		09/25/37				321,577			321,108
BCAP LLC Trust, Series 2007-AA2,
Class 2A5
6.00%		04/25/37				272,958			210,073
BCAP LLC Trust, Series 2007-AA5,
Class A1
(LIBOR USD 1-Month plus 0.65%)
0.80%		09/25/47	¹			18,669,416			17,639,232
Bear Stearns ALT-A Trust, Series 2005-4,
Class 22A2
3.57%		05/25/35	⁹			14,957			15,211
Bear Stearns ALT-A Trust, Series 2005-7,
Class 11A1
(LIBOR USD 1-Month plus 0.54%)
0.69%		08/25/35	¹			205,913			207,297
Bear Stearns ALT-A Trust, Series 2006-4,
Class 32A1
3.39%		07/25/36	⁹			1,724,786			1,149,967
Bear Stearns ARM Trust, Series 2004-1,
Class 13A2
3.93%		04/25/34	⁹			7,352			7,145
Bear Stearns ARM Trust, Series 2004-10,
Class 14A1
3.72%		01/25/35	⁹			2,489,289			2,450,975
Bear Stearns ARM Trust, Series 2006-4,
Class 2A1
3.28%		10/25/36	⁹			412,778			382,317
Bear Stearns Asset-Backed Securities I
Trust, Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
0.40%		11/01/20	¹			1,485,800			839,171

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Bear Stearns Asset-Backed Securities I

Trust, Series 2006-AC2, Class 21A3

6.00%

03/25/36

431,765

454,847

Bear Stearns Asset-Backed Securities I

Trust, Series 2006-HE9, Class 3A

(LIBOR USD 1-Month plus 0.14%)

0.29%

11/25/36

7,236,342

6,715,821

Bear Stearns Asset-Backed Securities Trust,

Series 2003-AC7, Class A1

(STEP-reset date 11/25/20)

5.50%

01/25/34

598,826

618,235

Bear Stearns Asset-Backed Securities Trust,

Series 2003-AC7, Class A2

(STEP-reset date 11/25/20)

5.75%

01/25/34

539,882

557,932

Bear Stearns Mortgage Funding Trust,

Series 2006-AR3, Class 1A1

(LIBOR USD 1-Month plus 0.18%)

0.33%

10/25/36

1,530,853

1,381,750

Bear Stearns Mortgage Funding Trust,

Series 2006-AR5, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

0.31%

12/25/46

19,884,824

18,295,457

Bear Stearns Mortgage Funding Trust,

Series 2007-AR5, Class 1A1A

(LIBOR USD 1-Month plus 0.17%)

0.32%

06/25/47

445,479

401,666

Carrington Mortgage Loan Trust,

Series 2005-NC5, Class M1

(LIBOR USD 1-Month plus 0.48%)

0.63%

10/25/35

337,752

337,786

Carrington Mortgage Loan Trust,

Series 2006-NC1, Class A4

(LIBOR USD 1-Month plus 0.31%)

0.46%

01/25/36

44,522,459

44,203,322

Carrington Mortgage Loan Trust,

Series 2006-OPT1, Class M1

(LIBOR USD 1-Month plus 0.35%)

0.50%

02/25/36

155,000

152,317

Centex Home Equity Loan Trust,

Series 2006-A, Class AV4

(LIBOR USD 1-Month plus 0.25%)

0.40%

06/25/36

2,144,120

2,118,198

Chase Funding Trust,

Series 2003-5, Class 2A2

(LIBOR USD 1-Month plus 0.60%)

0.75%

07/25/33

3,059

2,599

Chase Funding Trust,

Series 2004-2, Class 2A2

(LIBOR USD 1-Month plus 0.50%)

0.65%

02/26/35

5,668

4,935



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2
3.37%		09/25/36	⁹		$	636,593		$	565,960
Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1
5.50%		11/25/21				1,582,610			992,016
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
3.53%		06/25/35	⁹			1,589,078			1,582,356
ChaseFlex Trust, Series 2005-2, Class 4A2
5.50%		11/01/20				397,430			266,823
ChaseFlex Trust, Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)
0.35%		09/25/36	¹			7,243,779			5,871,985
CIM Trust, Series 2017-5, Class A2A
2.50%		05/25/57	^2,9			35,934,712			36,063,721
CIM Trust, Series 2017-6, Class A1
3.02%		06/25/57	^2,9			46,935,973			47,864,085
CIM Trust, Series 2017-8, Class A1
3.00%		12/25/65	^2,9			93,503,058			93,775,208
CIM Trust, Series 2017-8, Class A2
4.00%		12/25/65	^2,9			214,013,000			217,679,193
CIM Trust, Series 2018-R1, Class A1
3.65%		05/25/55	^2,9			92,353,474			85,679,176
CIM Trust, Series 2018-R2, Class A1
3.69%		08/25/57	^2,9			63,199,684			61,606,060
CIM Trust, Series 2018-R4, Class A1
4.07%		12/26/57	^2,9			47,302,917			49,025,396
CIM Trust, Series 2018-R5, Class A1
3.75%		07/25/58	^2,9			109,894,275			106,646,240
CIM Trust, Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
1.23%		09/25/58	^1,2			92,503,847			91,017,782
CIM Trust, Series 2019-R1, Class A
3.25%		10/25/58	^2,9			243,447,736			226,477,578
CIM Trust, Series 2019-R3, Class A
2.63%		06/25/58	^2,9			184,740,507			182,117,654
CIM Trust, Series 2019-R4, Class A1
3.00%		10/25/59	^2,9			168,234,180			157,325,993
CIM Trust, Series 2020-R1, Class A1
2.85%		10/27/59	^2,9			211,038,987			184,182,102
CIM Trust, Series 2020-R3, Class A1A
4.00%		01/26/60	^2,9			216,832,169			217,623,498
CIM Trust, Series 2020-R4, Class A1A
3.30%		06/25/60	^2,9			113,309,092			115,384,246
CIT Mortgage Loan Trust, Series 2007-1,
Class 1A
(LIBOR USD 1-Month plus 1.35%)
1.50%		10/25/37	^1,2			45,797,012			46,007,395

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Citicorp Mortgage Securities, Inc.,

Series 2005-1, Class 1A12

5.00%

02/25/35

183,237

187,908

Citicorp Residential Mortgage Trust,

Series 2006-2, Class A5

(STEP-reset date 11/25/20)

5.25%

09/25/36

269,721

256,894

Citicorp Residential Mortgage Trust,

Series 2007-1, Class A5

(STEP-reset date 11/25/20)

5.20%

03/25/37

631,395

654,149

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-HYB1, Class A41

2.92%

02/25/34

⁹

32,528

32,460

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-5, Class 3A2A

2.91%

10/25/35

⁹

528,292

375,789

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-9, Class 1A1

(LIBOR USD 1-Month plus 0.26%)

0.41%

11/25/35

138,318

114,618

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-AR2, Class 1A1

3.85%

03/25/36

⁹

10,075,861

8,926,900

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-AR3, Class 1A2A

3.93%

06/25/36

⁹

2,737,051

2,572,891

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-HE2, Class M1

(LIBOR USD 1-Month plus 0.29%)

0.44%

08/25/36

305,000

299,366

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WF2, Class A1

(STEP-reset date 11/25/20)

6.75%

05/25/36

40,084,676

28,973,837

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-6, Class 1A4A

2.82%

03/25/37

⁹

308,867

265,119

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-AR5, Class 1A1A

3.94%

04/25/37

⁹

84,370

82,153

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-WFH3, Class A3

(LIBOR USD 1-Month plus 0.25%)

0.40%

06/25/37

358,317

355,539

Citigroup Mortgage Loan Trust, Inc.,

Series 2014-5, Class 2A2

(LIBOR USD 1-Month plus 1.75%)

2.21%

02/20/36

^1,2

11,639,619

10,962,099

Citigroup Mortgage Loan Trust, Inc.,

Series 2015-2, Class 1A1

(LIBOR USD 1-Month plus 0.20%)

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

0.38%

06/25/47

^1,2

4,458,736

4,463,704

Citigroup Mortgage Loan Trust, Inc.,

Series 2015-2, Class 4A1

(LIBOR USD 1-Month plus 0.70%)

1.87%

03/25/47

^1,2

9,693,386

9,540,085

Citigroup Mortgage Loan Trust, Inc.,

Series 2015-3, Class 1A1

(LIBOR USD 1-Month plus 0.27%)

0.72%

03/25/36

^1,2

2,575,652

2,576,227

Conseco Finance Corp., Series 1996-7,

Class M1

7.70%

09/15/26

⁹

1,722,488

1,776,439

Conseco Finance Corp., Series 1998-3,

Class A6

6.76%

03/01/30

⁹

665,862

668,275

Conseco Finance Corp., Series 1998-6,

Class A8

6.66%

06/01/30

⁹

770,782

783,229

Conseco Finance Home Equity Loan Trust,

Series 2002-C, Class BF2

8.00%

06/15/32

^2,9

33,890

34,086

Countrywide Asset-Backed Certificates Trust,

Series 2005-11, Class AF4

5.21%

03/25/34

⁹

1,854,201

1,866,062

Countrywide Asset-Backed Certificates Trust,

Series 2005-13, Class AF4

5.81%

04/25/36

⁹

210,182

208,427

Countrywide Asset-Backed Certificates Trust,

Series 2005-AB2, Class 1A1

(LIBOR USD 1-Month plus 0.46%)

0.61%

11/25/35

7,619,156

7,596,435

Countrywide Asset-Backed Certificates Trust,

Series 2007-13, Class 2A2

(LIBOR USD 1-Month plus 0.80%)

0.95%

10/25/47

10,521,806

10,354,041

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2001-HYB1,

Class 1A1

2.07%

06/19/31

⁹

8,871

8,879

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2003-J8,

Class 1A4

5.25%

09/25/23

43,543

44,243

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-14,

Class 4A1

2.66%

08/25/34

⁹

916,049

871,288

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-25,

Class 1A1

(LIBOR USD 1-Month plus 0.66%)

0.81%

02/25/35

100,382

96,247

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-7,

Class 2A1

3.56%

06/25/34

⁹

68,936

71,808

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-HYB3,

Class 1A

3.89%

06/20/34

⁹

19,821

19,750

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2004-HYB4,

Class 2A1

2.97%

09/20/34

⁹

805,399

784,329

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-11,

Class 1A2

4.12%

04/25/35

⁹

812,466

816,730

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-31,

Class 2A3

3.31%

01/25/36

⁹

129,359

125,378

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-9,

Class 1A1

(LIBOR USD 1-Month plus 0.60%)

0.75%

05/25/35

3,353,914

2,773,263

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2007-HY5,

Class 1A1

3.34%

09/25/47

⁹

835,691

754,277

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2007-HYB1,

Class 1A1

3.03%

03/25/37

⁹

1,125,000

970,972

Credit Suisse First Boston Mortgage

Securities Corp., Series 2003-AR20,

Class 2A4

3.22%

08/25/33

⁹

11,691

12,025

Credit Suisse First Boston Mortgage

Securities Corp., Series 2005-6,

Class 8A1

4.50%

11/01/20

3,005

3,195

Credit Suisse First Boston Mortgage-Backed

Pass-Through Certificates, Series 2004-1,

Class 2A1

6.50%

02/25/34

24,240

25,239

Credit Suisse First Boston Mortgage-Backed

Pass-Through Certificates, Series 2004-AR5,

Class 6A1

3.52%

06/25/34

⁹

105,868

108,679

Credit Suisse Mortgage Capital Trust,

Series 2006-2, Class 5A1

(LIBOR USD 1-Month plus 0.70%)

0.85%

03/25/36

3,669,598

1,220,396

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Credit Suisse Mortgage Capital Trust,

Series 2007-2, Class 3A4

5.50%

03/25/37

1,643,707

1,350,755

Credit Suisse Mortgage Capital Trust,

Series 2014-12R, Class 1A1

(LIBOR USD 1-Month plus 1.75%)

1.91%

08/27/36

^1,2

4,398,032

4,402,812

Credit Suisse Mortgage Capital Trust,

Series 2015-1R, Class 5A1

2.99%

09/27/35

^2,9

1,470,267

1,474,010

Credit Suisse Mortgage Capital Trust,

Series 2015-2R, Class 4A1

0.38%

06/27/47

^2,9

6,050,923

6,053,317

Credit Suisse Mortgage Capital Trust,

Series 2015-6R, Class 2A1

(LIBOR USD 1-Month plus 0.20%)

0.38%

11/27/46

^1,2

6,280,808

6,133,461

Credit Suisse Mortgage Capital Trust,

Series 2020-RPL2, Class A12

3.51%

02/25/60

23,649,376

23,911,307

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2C

(STEP-reset date 11/25/20)

3.85%

02/25/37

31,932,057

26,628,181

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2D

(STEP-reset date 11/25/20)

3.85%

02/25/37

23,379,020

19,490,968

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2E

(STEP-reset date 11/25/20)

3.85%

02/25/37

4,251,439

3,545,077

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB1,

Class AF (STEP-reset date 11/25/20)

3.95%

01/25/33

12,467

12,831

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB4,

Class M1

(LIBOR USD 1-Month plus 1.04%)

1.18%

03/25/33

2,569,961

2,512,072

Credit-Based Asset Servicing and

Securitization LLC, Series 2003-CB5,

Class M1

(LIBOR USD 1-Month plus 1.02%)

1.17%

11/25/33

71,933

70,396

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB7,

Class A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

10/25/36

50,430,076

41,751,216

Issues

Maturity

Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB8,

Class A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

10/25/36

15,328,563

13,332,421

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB9,

Class A3

(LIBOR USD 1-Month plus 0.15%)

0.30%

11/25/36

28,983,238

17,999,553

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB1,

Class AF4 (STEP-reset date 11/25/20)

3.37%

01/25/37

7,025,756

3,112,116

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB1,

Class AF5 (STEP-reset date 11/25/20)

3.37%

01/25/37

13,203,068

5,852,342

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A2

(LIBOR USD 1-Month plus 0.17%)

0.32%

04/25/37

26,468,944

20,469,572

CSAB Mortgage-Backed Trust,

Series 2006-4, Class A6B

(STEP-reset date 11/25/20)

5.78%

12/25/36

5,268,016

434,353

Deutsche ALT-A Securities Mortgage Loan

Trust, Series 2006-AR3, Class A1

(LIBOR USD 1-Month plus 0.19%)

0.34%

08/25/36

3,190,408

2,987,392

Deutsche ALT-A Securities Mortgage Loan

Trust, Series 2006-AR4, Class A1

(LIBOR USD 1-Month plus 0.13%)

0.28%

12/25/36

1,819,221

950,141

Deutsche ALT-A Securities Mortgage Loan

Trust, Series 2006-AR6, Class AR6

(LIBOR USD 1-Month plus 0.19%)

0.34%

02/25/37

607,287

549,119

Deutsche ALT-A Securities Mortgage Loan

Trust, Series 2007-3, Class 1A1

(LIBOR USD 1-Month plus 1.70%)

1.86%

10/25/47

31,648,413

28,153,359

Deutsche ALT-A Securities Mortgage Loan

Trust, Series 2007-OA3, Class A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

07/25/47

46,005,720

41,538,238

Deutsche ALT-A Securities, Inc. Mortgage

Loan Trust, Series 2005-6, Class 1A7

5.50%

12/25/35

356,530

357,494

Deutsche ALT-A Securities, Inc. Mortgage

Loan Trust, Series 2006-AR1, Class 2A1

3.64%

02/25/36

⁹

822,835

763,061

Issues

Maturity

Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

DSLA Mortgage Loan Trust,

Series 2004-AR4, Class 2A1A

(LIBOR USD 1-Month plus 0.36%)

0.52%

01/19/45

2,178,116

1,890,259

DSLA Mortgage Loan Trust,

Series 2005-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.50%)

0.66%

02/19/45

210,589

206,278

DSLA Mortgage Loan Trust,

Series 2005-AR3, Class 2A1A

(LIBOR USD 1-Month plus 0.24%)

0.40%

07/19/45

153,290

144,107

DSLA Mortgage Loan Trust,

Series 2006-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.20%)

0.36%

10/19/36

17,322,374

15,124,270

DSLA Mortgage Loan Trust,

Series 2007-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.14%)

0.30%

03/19/37

8,360,902

7,527,933

Equity One Mortgage Pass-Through Trust,

Series 2002-4, Class M1

5.22%

02/25/33

⁹

9,284

9,411

Equity One Mortgage Pass-Through Trust,

Series 2002-5, Class M1

(STEP-reset date 11/25/20)

5.80%

11/25/32

36,213

37,905

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2C

(LIBOR USD 1-Month plus 0.16%)

0.31%

10/25/36

13,756,979

11,079,311

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2D

(LIBOR USD 1-Month plus 0.24%)

0.39%

10/25/36

867,482

708,196

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2B

(LIBOR USD 1-Month plus 0.11%)

0.26%

12/25/37

7,322,529

6,712,700

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2C

(LIBOR USD 1-Month plus 0.16%)

0.31%

12/25/37

20,137,612

18,552,160

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2D

(LIBOR USD 1-Month plus 0.21%)

0.36%

12/25/37

14,595,085

13,512,415

First Franklin Mortgage Loan Trust,

Series 2006-FF5, Class 1A

(LIBOR USD 1-Month plus 0.15%)

0.30%

04/25/36

20,981,660

20,568,985

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

First Franklin Mortgage Loan Trust,

Series 2006-FF8, Class IIA4

(LIBOR USD 1-Month plus 0.23%)

0.38%

07/25/36

31,440,000

29,829,671

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2C

(LIBOR USD 1-Month plus 0.14%)

0.29%

01/25/38

67,929,577

47,639,128

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

03/25/37

61,906,416

44,106,099

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

0.25%

03/25/37

25,783,758

16,306,301

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2C

(LIBOR USD 1-Month plus 0.15%)

0.30%

03/25/37

14,781,416

9,448,623

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2D

(LIBOR USD 1-Month plus 0.22%)

0.37%

03/25/37

27,522,605

17,855,015

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA2, Class 1A1

2.62%

08/25/34

⁹

6,175,551

6,137,942

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA3, Class A1

2.47%

09/25/34

⁹

20,918

20,418

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA4, Class A1

3.04%

10/25/34

⁹

1,089,038

1,087,294

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA10, Class 1A1

3.26%

12/25/35

⁹

12,880,713

12,032,521

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA12, Class 2A1

2.75%

02/25/36

⁹

13,954,640

11,585,353

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA4, Class 2A1

3.00%

06/25/35

⁹

13,809,684

13,082,673

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA7, Class 2A1

2.55%

09/25/35

⁹

11,340,488

10,814,352

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA8, Class 2A1

2.45%

10/25/35

⁹

13,146,770

10,125,219

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA9, Class 2A1

3.26%

11/25/35

⁹

13,798,984

12,594,599

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

First Horizon Alternative Mortgage Securities

Trust, Series 2006-AA1, Class 1A1

2.54%

03/25/36

⁹

15,983,982

13,348,452

First Horizon Alternative Mortgage Securities

Trust, Series 2006-FA8, Class 1A7

6.00%

02/25/37

10,458

7,127

First Horizon Mortgage Pass-Through Trust,

Series 2004-AR6, Class 2A1

4.29%

12/25/34

⁹

176,357

175,895

First Horizon Mortgage Pass-Through Trust,

Series 2006-AR4, Class 1A2

3.95%

01/25/37

⁹

71,867

52,267

First Horizon Mortgage Pass-Through Trust,

Series 2007-AR3, Class 1A1

3.11%

11/25/37

⁹

153,214

115,383

FNBA Mortgage Loan Trust,

Series 2004-AR1, Class A2

(LIBOR USD 1-Month plus 0.40%)

0.56%

08/19/34

2,243

2,239

GMACM Home Equity Loan Trust,

Series 2000-HE2, Class A1

(LIBOR USD 1-Month plus 0.44%)

0.61%

06/25/30

16,402

13,314

GMACM Mortgage Corp. Loan Trust,

Series 2005-AR6, Class 3A1

3.60%

11/19/35

⁹

451,016

414,171

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR2, Class 1A1

3.27%

05/19/36

⁹

1,566,534

891,398

GreenPoint Mortgage Funding Trust,

Series 2005-AR3, Class 1A1

(LIBOR USD 1-Month plus 0.24%)

0.39%

08/25/45

1,415,792

1,338,698

GreenPoint Mortgage Funding Trust,

Series 2005-AR4, Class G41B

(LIBOR USD 1-Month plus 0.20%)

0.35%

10/25/45

14,284,447

13,173,027

GreenPoint Mortgage Funding Trust,

Series 2007-AR1, Class 3A2

(LIBOR USD 1-Month plus 0.16%)

0.31%

02/25/37

929,143

1,079,840

GS Mortgage-Backed Securities Trust,

Series 2018-RPL1, Class A1A

3.75%

10/25/57

42,908,488

44,988,635

GSAA Home Equity Trust,

Series 2005-11, Class 1A1

(LIBOR USD 1-Month plus 0.28%)

0.43%

10/25/35

3,427,342

3,480,081

GSAA Home Equity Trust,

Series 2005-11, Class 2A2

(LIBOR USD 1-Month plus 0.32%)

0.47%

10/25/35

134,016

133,293

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

GSAA Home Equity Trust,

Series 2005-11, Class 3A2

(LIBOR USD 1-Month plus 0.32%)

0.47%

10/25/35

105,581

107,695

GSAA Home Equity Trust,

Series 2005-6, Class M1

(LIBOR USD 1-Month plus 0.43%)

0.58%

06/25/35

146,150

142,607

GSAMP Trust, Series 2005-AHL2, Class A2D

(LIBOR USD 1-Month plus 0.35%)

0.50%

12/25/35

25,693,000

24,762,050

GSAMP Trust, Series 2006-NC1, Class A3

(LIBOR USD 1-Month plus 0.29%)

0.44%

02/25/36

119,127

115,794

GSR Mortgage Loan Trust,

Series 2004-9, Class 3A1

3.07%

08/25/34

⁹

2,448

2,460

GSR Mortgage Loan Trust,

Series 2004-9, Class 5A7

2.95%

08/25/34

⁹

166,259

164,393

GSR Mortgage Loan Trust,

Series 2005-AR5, Class 2A3

3.08%

10/25/35

⁹

2,503,591

1,951,805

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 4A5

2.96%

09/25/35

⁹

91,663

93,767

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 2A1

3.76%

05/25/37

⁹

1,837,147

1,484,098

HarborView Mortgage Loan Trust,

Series 2004-1, Class 2A

2.87%

04/19/34

⁹

5,285

5,208

HarborView Mortgage Loan Trust,

Series 2004-11, Class 3A2A

(LIBOR USD 1-Month plus 0.68%)

0.84%

01/19/35

284,618

264,939

HarborView Mortgage Loan Trust,

Series 2004-3, Class 1A

3.99%

05/19/34

⁹

56,176

57,464

HarborView Mortgage Loan Trust,

Series 2004-5, Class 2A6

3.00%

06/19/34

⁹

2,475

2,528

HarborView Mortgage Loan Trust,

Series 2005-3, Class 2A1A

(LIBOR USD 1-Month plus 0.48%)

0.64%

06/19/35

334,725

327,117

HarborView Mortgage Loan Trust,

Series 2005-4, Class 2A

3.57%

07/19/35

⁹

40,451

36,588

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

HarborView Mortgage Loan Trust,

Series 2006-10, Class 1A1A

(LIBOR USD 1-Month plus 0.20%)

0.36%

11/19/36

68,049,712

58,143,838

HarborView Mortgage Loan Trust,

Series 2006-7, Class 1A

(LIBOR USD 1-Month plus 0.21%)

0.37%

09/19/46

76,982,637

71,444,252

HarborView Mortgage Loan Trust,

Series 2007-7, Class 1A1

(LIBOR USD 1-Month plus 1.00%)

1.15%

10/25/37

25,270,611

24,164,625

HarborView Mortgage Loan Trust,

Series 2007-7, Class 2A1A

(LIBOR USD 1-Month plus 1.00%)

1.15%

10/25/37

20,938,943

20,956,577

HSI Asset Securitization Corp. Trust,

Series 2006-HE1, Class 1A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

10/25/36

59,650,349

27,005,127

Impac CMB Trust, Series 2004-8,

Class 2A1

(LIBOR USD 1-Month plus 0.70%)

0.85%

10/25/34

225,572

222,976

Impac CMB Trust, Series 2005-1,

Class 1A1

(LIBOR USD 1-Month plus 0.52%)

0.67%

04/25/35

3,760,468

3,548,537

Impac CMB Trust, Series 2005-4,

Class 1A1B

(LIBOR USD 1-Month plus 0.25%)

0.40%

05/25/35

4,438,930

4,189,510

Impac Secured Assets Corp.,

Series 2004-3, Class M1

(LIBOR USD 1-Month plus 0.90%)

1.05%

11/25/34

290,968

294,644

Impac Secured Assets Corp.,

Series 2004-4, Class M3

(LIBOR USD 1-Month plus 0.90%)

1.05%

02/25/35

670,000

668,007

Impac Secured Assets Trust,

Series 2006-3, Class A1

(LIBOR USD 1-Month plus 0.17%)

0.32%

11/25/36

7,434,948

6,636,628

Impac Secured Assets Trust,

Series 2006-5, Class 1A1C

(LIBOR USD 1-Month plus 0.27%)

0.42%

02/25/37

9,348,172

8,098,649

Impac Secured Assets Trust,

Series 2007-2, Class 1A1A

(LIBOR USD 1-Month plus 0.11%)

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

0.26%

05/25/37

6,491,802

5,576,297

Impac Secured Assets Trust,

Series 2007-2, Class 1A1B

(LIBOR USD 1-Month plus 0.25%)

0.40%

05/25/37

52,774,167

44,111,008

IndyMac Index Mortgage Loan Trust,

Series 2004-AR4, Class 1A

3.16%

08/25/34

⁹

1,115,244

1,113,934

IndyMac Index Mortgage Loan Trust,

Series 2004-AR5, Class 2A1B

(LIBOR USD 1-Month plus 0.80%)

0.95%

08/25/34

17,027

15,385

IndyMac Index Mortgage Loan Trust,

Series 2004-AR7, Class A2

(LIBOR USD 1-Month plus 0.86%)

1.01%

09/25/34

55,712

52,059

IndyMac Index Mortgage Loan Trust,

Series 2005-AR1, Class 4A1

3.42%

03/25/35

⁹

378,125

381,307

IndyMac Index Mortgage Loan Trust,

Series 2005-AR17, Class 3A1

3.12%

09/25/35

⁹

4,096,698

3,386,044

IndyMac Index Mortgage Loan Trust,

Series 2005-AR19, Class A1

3.04%

10/25/35

⁹

23,634,074

20,610,616

IndyMac Index Mortgage Loan Trust,

Series 2005-AR31, Class 3A1

3.37%

01/25/36

⁹

924,563

880,334

IndyMac Index Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

(LIBOR USD 1-Month plus 0.48%)

0.63%

04/25/35

535,149

468,019

IndyMac Index Mortgage Loan Trust,

Series 2006-AR19, Class 1A2

3.33%

08/25/36

⁹

13,851,107

10,431,266

IndyMac Index Mortgage Loan Trust,

Series 2006-AR21, Class A1

(LIBOR USD 1-Month plus 0.12%)

0.27%

08/25/36

146,023

132,933

IndyMac Index Mortgage Loan Trust,

Series 2006-AR27, Class 2A2

(LIBOR USD 1-Month plus 0.20%)

0.35%

10/25/36

21,179,496

19,813,276

IndyMac Index Mortgage Loan Trust,

Series 2006-AR35, Class 2A3A

(LIBOR USD 1-Month plus 0.20%)

0.35%

01/25/37

43,363,581

40,775,157

IndyMac Index Mortgage Loan Trust,

Series 2006-AR7, Class 1A1

3.21%

05/25/36

⁹

3,661,547

3,363,064

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

IndyMac Index Mortgage Loan Trust,

Series 2006-AR7, Class 2A1

3.43%

05/25/36

⁹

24,957,717

19,452,379

IndyMac Index Mortgage Loan Trust,

Series 2007-AR1, Class 1A2

3.68%

03/25/37

⁹

572,711

533,907

IndyMac Index Mortgage Loan Trust,

Series 2007-AR11, Class 1A1

3.02%

06/25/37

⁹

3,538,480

3,449,018

IndyMac Index Mortgage Loan Trust,

Series 2007-AR7, Class 1A1

3.40%

11/25/37

⁹

2,521,684

2,407,963

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1997-1,

Class A3

6.61%

02/25/28

53,741

54,443

JPMorgan Alternative Loan Trust,

Series 2006-A2, Class 2A1

3.65%

05/25/36

⁹

617,486

494,394

JPMorgan Alternative Loan Trust,

Series 2006-A2, Class 5A1

3.56%

05/25/36

⁹

6,336,470

4,799,897

JPMorgan Mortgage Acquisition Trust,

Series 2005-WMC1, Class M2

(LIBOR USD 1-Month plus 0.66%)

0.81%

09/25/35

4,088,504

4,078,669

JPMorgan Mortgage Acquisition Trust,

Series 2006-WF1, Class A3A

(STEP-reset date 11/25/20)

5.83%

07/25/36

33,829,013

15,718,955

JPMorgan Mortgage Acquisition Trust,

Series 2006-WF1, Class A6

(STEP-reset date 11/25/20)

6.00%

07/25/36

4,717,374

2,278,387

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH4, Class A1

(LIBOR USD 1-Month plus 0.15%)

0.30%

05/25/37

40,694,526

37,537,713

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH5, Class A5

(LIBOR USD 1-Month plus 0.26%)

0.41%

06/25/37

231,642

229,186

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF1

(LIBOR USD 1-Month plus 0.10%)

0.25%

03/25/47

129,758

77,334

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF2

(STEP-reset date 11/25/20)

4.25%

03/25/47

8,488,529

6,547,972



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF3
(STEP-reset date 11/25/20)
4.25%		05/25/35			$	7,144,133		$	5,510,890
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF4
(STEP-reset date 11/25/20)
4.25%		03/25/47				3,247,333			2,504,923
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.43%		03/25/47	¹			240,000			187,240
JPMorgan Mortgage Trust, Series 2003-A2,
Class 2A3
3.10%		11/25/33	⁹			110,018			107,903
JPMorgan Mortgage Trust, Series 2004-A4,
Class 1A3
2.88%		09/25/34	⁹			326,998			318,214
JPMorgan Mortgage Trust, Series 2005-A5,
Class TA1
3.22%		08/25/35	⁹			107,178			104,799
JPMorgan Mortgage Trust, Series 2005-S2,
Class 4A3
5.50%		11/01/20				1,898,773			1,709,233
JPMorgan Mortgage Trust, Series 2006-A2,
Class 5A3
3.47%		11/25/33	⁹			3,998			3,991
JPMorgan Mortgage Trust, Series 2006-A3,
Class 2A1
3.67%		05/25/36	⁹			809,753			703,272
JPMorgan Mortgage Trust, Series 2006-A3,
Class 3A3
3.59%		05/25/36	⁹			544,814			488,934
JPMorgan Mortgage Trust, Series 2006-A4,
Class 1A1
3.61%		06/25/36	⁹			447,245			388,091
JPMorgan Mortgage Trust, Series 2006-A4,
Class 1A4
3.61%		06/25/36	⁹			1,441,773			1,289,284
JPMorgan Mortgage Trust, Series 2006-A5,
Class 2A4
3.43%		08/25/36	⁹			426,754			363,655
JPMorgan Mortgage Trust, Series 2007-A1,
Class 5A2
3.60%		07/25/35	⁹			1,325,792			1,303,987
JPMorgan Mortgage Trust, Series 2007-A3,
Class 2A3
3.61%		05/25/37	⁹			2,253,652			1,955,868
JPMorgan Mortgage Trust, Series 2007-A3,
Class 3A2
3.81%		05/25/37	⁹			370,401			369,335

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

JPMorgan Mortgage Trust, Series 2007-A4,

Class 1A1

3.74%

06/25/37

⁹

3,134,804

2,794,211

JPMorgan Mortgage Trust, Series 2007-A4,

Class 2A3

3.79%

06/25/37

⁹

472,956

416,479

JPMorgan Resecuritization Trust,

Series 2015-1, Class 3A1

(LIBOR USD 1-Month plus 0.19%)

0.37%

12/27/46

^1,2

5,295,685

5,236,921

Lehman XS Trust, Series 2005-5N,

Class 3A1A

(LIBOR USD 1-Month plus 0.30%)

0.45%

11/25/35

7,324,313

7,185,630

Lehman XS Trust, Series 2005-7N,

Class 1A1A

(LIBOR USD 1-Month plus 0.54%)

0.69%

12/25/35

389,320

364,945

Lehman XS Trust, Series 2006-12N,

Class A31A

(LIBOR USD 1-Month plus 0.20%)

0.35%

08/25/46

14,046,823

13,267,680

Lehman XS Trust, Series 2006-14N,

Class 3A2

(LIBOR USD 1-Month plus 0.24%)

0.39%

08/25/36

40,023

41,385

Lehman XS Trust, Series 2006-5,

Class 1A1A

(LIBOR USD 1-Month plus 0.21%)

0.36%

04/25/36

28,141,043

25,726,291

Lehman XS Trust, Series 2006-8,

Class 1A1A

(LIBOR USD 1-Month plus 0.16%)

0.31%

06/25/36

36,217,924

31,766,027

Lehman XS Trust, Series 2007-4N,

Class 1A3

(LIBOR USD 1-Month plus 0.24%)

0.39%

03/25/47

27,017,320

24,147,348

Long Beach Mortgage Loan Trust,

Series 2004-4, Class M1

(LIBOR USD 1-Month plus 0.90%)

1.05%

10/25/34

124,467

122,456

MASTR Adjustable Rate Mortgages Trust,

Series 2003-6, Class 4A2

3.93%

01/25/34

⁹

35,667

36,562

MASTR Adjustable Rate Mortgages Trust,

Series 2003-7, Class 3A1

3.46%

11/25/33

⁹

740,575

735,943

MASTR Adjustable Rate Mortgages Trust,

Series 2004-13, Class 3A1

3.23%

11/21/34

⁹

3,112,469

3,148,196

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

MASTR Adjustable Rate Mortgages Trust,

Series 2004-15, Class 9A1

3.16%

10/25/34

⁹

239,329

239,027

MASTR Adjustable Rate Mortgages Trust,

Series 2004-5, Class 3A1

4.13%

06/25/34

⁹

247

258

MASTR Adjustable Rate Mortgages Trust,

Series 2004-8, Class 2A1

3.14%

09/25/34

⁹

2,623,568

2,613,106

MASTR Adjustable Rate Mortgages Trust,

Series 2006-2, Class 5A1

3.74%

05/25/36

⁹

6,809,172

4,695,675

MASTR Asset-Backed Securities Trust,

Series 2006-HE4, Class A3

(LIBOR USD 1-Month plus 0.15%)

0.30%

11/25/36

14,619,319

7,107,923

MASTR Asset-Backed Securities Trust,

Series 2006-HE4, Class A4

(LIBOR USD 1-Month plus 0.21%)

0.36%

11/25/36

4,060,922

1,869,497

MASTR Asset-Backed Securities Trust,

Series 2007-HE1, Class A3

(LIBOR USD 1-Month plus 0.21%)

0.36%

05/25/37

29,634,859

28,455,122

MASTR Seasoned Securitization Trust,

Series 2004-1, Class 4A1

2.99%

10/25/32

⁹

13,117

13,116

Mellon Residential Funding Corp. Mortgage

Pass-Through Certificates,

Series 2001-TBC1, Class A1

(LIBOR USD 1-Month plus 0.70%)

0.85%

11/15/31

1,016,613

1,008,916

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-1, Class A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

04/25/37

169,935,933

97,290,633

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-1, Class A2B

(LIBOR USD 1-Month plus 0.17%)

0.32%

04/25/37

33,134,210

18,984,166

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-1, Class A2C

(LIBOR USD 1-Month plus 0.25%)

0.40%

04/25/37

69,410,931

40,499,127

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-2, Class A2C

(LIBOR USD 1-Month plus 0.24%)

0.39%

05/25/37

33,822,020

21,372,033

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-2, Class A2D

(LIBOR USD 1-Month plus 0.32%)

0.47%

05/25/37

16,702,782

10,739,553

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%)

0.33%

06/25/37

13,664,583

10,061,538

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-3, Class A2D

(LIBOR USD 1-Month plus 0.25%)

0.40%

06/25/37

18,250,482

14,324,108

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-4, Class 2A2

(LIBOR USD 1-Month plus 0.12%)

0.27%

07/25/37

29,272,044

19,613,417

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-4, Class 2A3

(LIBOR USD 1-Month plus 0.16%)

0.31%

07/25/37

21,457,135

13,597,281

Merrill Lynch Mortgage Investors Trust,

Series 2003-A6, Class 2A

3.49%

10/25/33

⁹

318,955

319,728

Merrill Lynch Mortgage Investors Trust,

Series 2004-A4, Class A1

3.17%

08/25/34

⁹

1,306,492

1,310,462

Merrill Lynch Mortgage Investors Trust,

Series 2005-A10, Class A

(LIBOR USD 1-Month plus 0.21%)

0.36%

02/25/36

8,510

8,166

Merrill Lynch Mortgage Investors Trust,

Series 2005-A6, Class 2A4

(LIBOR USD 1-Month plus 0.34%)

0.49%

08/25/35

147,224

147,164

Merrill Lynch Mortgage Investors Trust,

Series 2006-WMC2, Class A2B

(STEP-reset date 11/25/20)

5.61%

03/25/37

30,248,758

11,576,492

Merrill Lynch Mortgage Investors Trust,

Series 2006-WMC2, Class A2D

(STEP-reset date 11/25/20)

5.90%

03/25/37

23,674,662

8,997,980

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%)

2.52%

08/25/36

3,341,175

3,159,425

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

Class A

6.01%

08/15/37

227,315

243,863

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

Class A

5.75%

01/15/40

12,490,170

13,531,318

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

Class A

5.79%

10/15/40

9,882,604

10,743,586

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Mid-State Trust XI, Series 2011, Class A1

4.86%

07/15/38

205,147

220,566

Morgan Stanley Mortgage Loan Trust,

Series 2004-11AR, Class 1A1

(LIBOR USD 1-Month plus 0.32%)

0.47%

01/25/35

109,675

105,481

Morgan Stanley Mortgage Loan Trust,

Series 2004-7AR, Class 2A4

2.52%

09/25/34

⁹

604,527

598,961

Morgan Stanley Mortgage Loan Trust,

Series 2005-2AR, Class A

(LIBOR USD 1-Month plus 0.26%)

0.41%

04/25/35

2,046,788

1,969,917

Morgan Stanley Mortgage Loan Trust,

Series 2005-5AR, Class 1M1

(LIBOR USD 1-Month plus 0.75%)

0.90%

09/25/35

26,287

26,307

Morgan Stanley Mortgage Loan Trust,

Series 2006-7, Class 5A2

5.96%

06/25/36

⁹

749,790

311,412

Morgan Stanley Mortgage Loan Trust,

Series 2007-6XS, Class 1A2S

(STEP-reset date 11/25/20)

5.50%

02/25/47

87,669

87,572

Morgan Stanley Mortgage Loan Trust,

Series 2007-7AX, Class 2A1

(LIBOR USD 1-Month plus 0.12%)

0.27%

04/25/37

5,206,258

2,339,153

Morgan Stanley Resecuritization Trust,

Series 2013-R7, Class 2B

LIBOR USD 1-Month

0.66%

12/26/46

^1,2

7,198,491

7,188,545

Morgan Stanley Resecuritization Trust,

Series 2014-R2, Class 1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.82%)

1.99%

12/26/46

^1,2

4,532,524

4,532,745

Morgan Stanley Resecuritization Trust,

Series 2014-R3, Class 4A

(Federal Reserve US 12-Month Cumulative

Average plus 0.98%)

2.15%

07/26/46

^1,2

311,192

313,933

Morgan Stanley Resecuritization Trust,

Series 2014-R4, Class 2A

3.11%

08/26/34

^2,9

756,575

761,775

Morgan Stanley Resecuritization Trust,

Series 2014-R8, Class 3A

(Federal Reserve US 12-Month Cumulative

Average plus 0.75%)

1.92%

06/26/47

^1,2

12,512,726

12,379,235

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Morgan Stanley Resecuritization Trust,

Series 2014-R8, Class 4A

(Federal Reserve US 12-Month Cumulative

Average plus 0.96%)

2.13%

06/26/47

^1,2

2,993,428

2,992,403

Morgan Stanley Resecuritization Trust,

Series 2015-R4, Class 2A

(LIBOR USD 1-Month plus 0.40%)

0.98%

08/26/47

^1,2

5,142,697

5,054,891

MortgageIT Trust, Series 2005-1, Class 1A1

(LIBOR USD 1-Month plus 0.64%)

0.79%

02/25/35

4,356,795

4,374,531

MortgageIT Trust, Series 2005-4, Class A1

(LIBOR USD 1-Month plus 0.28%)

0.43%

10/25/35

5,127,077

4,956,452

MortgageIT Trust, Series 2005-5, Class A1

(LIBOR USD 1-Month plus 0.52%)

0.67%

12/25/35

916,757

894,959

Nationstar Home Equity Loan Trust,

Series 2006-B, Class AV4

(LIBOR USD 1-Month plus 0.28%)

0.43%

09/25/36

6,664,569

6,547,003

Nationstar Home Equity Loan Trust,

Series 2007-A, Class AV4

(LIBOR USD 1-Month plus 0.23%)

0.38%

03/25/37

148,148

146,542

Nationstar Home Equity Loan Trust,

Series 2007-C, Class 2AV4

(LIBOR USD 1-Month plus 0.25%)

0.40%

06/25/37

8,265,000

7,903,268

New Century Home Equity Loan Trust,

Series 2003-6, Class M1

(LIBOR USD 1-Month plus 1.08%)

1.23%

01/25/34

122,285

120,200

New Century Home Equity Loan Trust,

Series 2005-1, Class M1

(LIBOR USD 1-Month plus 0.68%)

0.82%

03/25/35

503,712

498,927

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month plus 0.22%)

0.37%

02/25/36

244,178

240,030

New Century Home Equity Loan Trust,

Series 2005-D, Class A2D

(LIBOR USD 1-Month plus 0.33%)

0.48%

02/25/36

85,600

80,454

Nomura Home Equity Loan, Inc.,

Series 2006-HE2, Class A4

(LIBOR USD 1-Month plus 0.27%)

0.42%

03/25/36

17,624,229

17,490,839

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Nomura Resecuritization Trust,

Series 2013-1R, Class 2A1

(LIBOR USD 1-Month plus 0.14%)

0.38%

11/26/36

^1,2

1,893,404

1,895,328

Nomura Resecuritization Trust,

Series 2014-6R, Class 2A1

(LIBOR USD 1-Month plus 0.16%)

2.23%

03/26/37

^1,2

1,833,205

1,844,098

Nomura Resecuritization Trust,

Series 2014-7R, Class 4A1

(LIBOR USD 1-Month plus 0.13%)

0.31%

01/26/37

^1,2

2,432,625

2,446,373

NRPL, Series 2019-3A, Class A1

(STEP-reset date 11/25/20)

3.00%

07/25/59

67,471,425

66,797,474

Oakwood Mortgage Investors, Inc.,

Series 2000-A, Class A5

8.16%

09/15/29

⁹

21,242,072

10,029,055

Option One Mortgage Loan Trust,

Series 2006-1, Class 1A1

(LIBOR USD 1-Month plus 0.22%)

0.37%

01/25/36

13,068,396

12,303,603

Ownit Mortgage Loan Trust,

Series 2006-4, Class A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

05/25/37

17,132,231

15,931,440

Ownit Mortgage Loan Trust,

Series 2006-4, Class A2D

(LIBOR USD 1-Month plus 0.24%)

0.39%

05/25/37

20,601,999

18,109,708

Popular ABS Mortgage Pass-Through Trust,

Series 2005-6, Class A5

(STEP-reset date 11/25/20)

3.58%

01/25/36

22,910,000

20,745,225

Popular ABS Mortgage Pass-Through Trust,

Series 2006-D, Class A3

(LIBOR USD 1-Month plus 0.26%)

0.41%

11/25/36

55,109

54,418

Popular ABS Mortgage Pass-Through Trust,

Series 2007-A, Class A3

(LIBOR USD 1-Month plus 0.31%)

0.46%

06/25/47

23,015,500

20,782,216

Popular ABS, Inc., Series 1998-1,

Class A2 (STEP-reset date 11/25/20)

7.48%

11/25/29

47,554

47,374

Residential Accredit Loans Trust,

Series 2005-QA12, Class CB1

4.20%

12/25/35

⁹

4,261,024

2,623,645

Residential Accredit Loans Trust,

Series 2005-QA4, Class A41

3.75%

04/25/35

⁹

360,849

319,061



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2005-QA7, Class A1
2.30%		07/25/35	⁹		$	3,117,731		$	2,694,948
Residential Accredit Loans Trust,
Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.00%)
2.02%		01/25/46	¹			5,140,186			4,491,947
Residential Accredit Loans Trust,
Series 2006-QA1, Class A11
4.22%		01/25/36	⁹			127,670			104,729
Residential Accredit Loans Trust,
Series 2006-QA1, Class A21
4.48%		01/25/36	⁹			12,951,075			11,037,408
Residential Accredit Loans Trust,
Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.19%)
0.33%		08/25/36	¹			22,382,392			20,245,214
Residential Accredit Loans Trust,
Series 2006-QS10, Class AV (IO)
0.57%		08/25/36	^5,6,9			22,641,727			461,835
Residential Accredit Loans Trust,
Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)
0.53%		09/25/36	¹			216,237			158,153
Residential Accredit Loans Trust,
Series 2006-QS2, Class 1AV (IO)
0.47%		02/25/36	^5,6,9			76,123,555			1,064,101
Residential Accredit Loans Trust,
Series 2006-QS7, Class AV (IO)
0.70%		06/25/36	^5,6,9			38,397,623			873,333
Residential Accredit Loans Trust,
Series 2006-QS8, Class AV (IO)
0.79%		08/25/36	^5,6,9			91,174,384			2,173,105
Residential Accredit Loans Trust,
Series 2007-QS10, Class AV (IO)
0.48%		09/25/37	^5,6,9			67,472,843			1,315,309
Residential Accredit Loans Trust,
Series 2007-QS4, Class 3AV (IO)
0.37%		03/25/37	^5,6,9			41,997,762			527,135
Residential Accredit Loans Trust,
Series 2007-QS5, Class AV (IO)
0.27%		03/25/37	^5,6,9			46,751,694			390,718
Residential Accredit Loans Trust,
Series 2007-QS6, Class AV (IO)
0.32%		04/25/37	^5,6,9			100,327,470			1,281,147
Residential Accredit Loans Trust,
Series 2007-QS7, Class 2AV (IO)
0.39%		06/25/37	^5,6,9			35,440,762			459,334
Residential Accredit Loans Trust,
Series 2007-QS8, Class AV (IO)
0.40%		06/25/37	^5,6,9			87,758,734			1,602,891



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%		12/25/31			$	22,824		$	14,670
Residential Asset Mortgage Products Trust,
Series 2005-RZ3, Class M3
(LIBOR USD 1-Month plus 0.55%)
0.70%		09/25/35	¹			692,936			691,368
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
3.70%		12/25/34	⁹			239,870			241,499
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.54%		12/25/34	⁹			15,621			15,378
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
3.16%		12/25/34	⁹			335,396			340,448
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%		07/25/36				2,110,310			2,154,624
Residential Asset Securitization Trust,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.48%		04/25/36	¹			815,000			796,291
Residential Funding Mortgage Securities
Trust, Series 2005-SA5, Class 1A
3.58%		11/25/35	⁹			3,772,687			2,736,552
Residential Funding Mortgage Securities
Trust, Series 2006-SA3, Class 3A1
4.08%		09/25/36	⁹			589,135			533,203
Residential Funding Mortgage Securities
Trust, Series 2006-SA3, Class 4A1
4.25%		09/25/36	⁹			316,858			243,079
Residential Funding Mortgage Securities
Trust, Series 2006-SA4, Class 2A1
5.06%		11/25/36	⁹			80,980			72,453
Residential Funding Mortgage Securities
Trust, Series 2007-SA2, Class 2A2
4.27%		04/25/37	⁹			1,508,954			1,357,714
Saxon Asset Securities Trust, Series 2001-2,
Class AF6 (STEP-reset date 11/25/20)
6.81%		06/25/16				991			1,399
Saxon Asset Securities Trust, Series 2007-1,
Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.30%		01/25/47	¹			4,524,108			4,387,079
Saxon Asset Securities Trust, Series 2007-2,
Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.39%		05/25/47	¹			213,011			170,695
Saxon Asset Securities Trust, Series 2007-3,
Class 2A3
(LIBOR USD 1-Month plus 0.40%)

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

0.55%

09/25/47

32,174,000

28,789,705

Securitized Asset-Backed Receivables LLC

Trust, Series 2006-CB1, Class AF2

(STEP-reset date 11/25/20)

3.20%

01/25/36

7,234,954

5,911,045

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR1, Class A2A

(LIBOR USD 1-Month plus 0.11%)

0.26%

02/25/37

6,336,183

3,794,669

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR1, Class A2B

(LIBOR USD 1-Month plus 0.27%)

0.42%

02/25/37

31,366,086

19,464,406

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR2, Class A2

(LIBOR USD 1-Month plus 0.23%)

0.38%

02/25/37

42,046,257

23,955,327

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR5, Class A2A

(LIBOR USD 1-Month plus 0.13%)

0.28%

05/25/37

17,777,283

14,672,867

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR5, Class A2C

(LIBOR USD 1-Month plus 0.35%)

0.50%

05/25/37

13,407,473

11,327,555

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-NC1, Class A2B

(LIBOR USD 1-Month plus 0.15%)

0.30%

12/25/36

32,819,998

22,706,538

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-NC2, Class A2B

(LIBOR USD 1-Month plus 0.14%)

0.29%

01/25/37

17,669,526

15,026,368

Sequoia Mortgage Trust, Series 2003-2,

Class A1

(LIBOR USD 1-Month plus 0.66%)

0.82%

06/20/33

48,793

47,468

Sequoia Mortgage Trust, Series 2003-8,

Class A1

(LIBOR USD 1-Month plus 0.64%)

0.80%

01/20/34

1,361

1,301

Sequoia Mortgage Trust, Series 2004-3,

Class A

(LIBOR USD 6-Month plus 0.50%)

1.63%

05/20/34

286,804

282,390

Sequoia Mortgage Trust, Series 2004-4,

Class A

(LIBOR USD 6-Month plus 0.52%)

1.65%

05/20/34

108,011

102,864



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Sequoia Mortgage Trust, Series 2013-1,
Class 1A1
1.45%		02/25/43	⁹		$	90,649		$	89,319
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
0.39%		12/25/36	^1,2			14,137,570			10,156,709
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
0.82%		06/25/35	¹			18,731,396			18,608,540
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-1, Class 3A3
3.60%		02/25/34	⁹			19,531			19,057
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-12, Class 2A
2.88%		09/25/34	⁹			5,305,524			5,237,539
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 1A
3.42%		10/25/34	⁹			139,625			139,625
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 2A
3.18%		10/25/34	⁹			5,771,113			5,805,500
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-15, Class A
3.40%		10/25/34	⁹			2,046,636			1,963,850
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-17, Class A1
1.84%		11/25/34	⁹			33,725			30,964
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-20, Class 1A2
3.14%		01/25/35	⁹			526,107			518,801
Structured Adjustable Rate Mortgage Loan
Trust, Series 2005-12, Class 3A1
3.28%		06/25/35	⁹			1,812,708			1,777,596
Structured Adjustable Rate Mortgage Loan
Trust, Series 2005-18, Class 7A3
3.05%		09/25/35	⁹			14,145,050			10,979,439
Structured Adjustable Rate Mortgage Loan
Trust, Series 2006-12, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
0.31%		01/25/37	¹			27,577,934			26,095,612
Structured Adjustable Rate Mortgage Loan
Trust, Series 2007-9, Class 2A1
3.52%		10/25/47	⁹			672,025			537,820
Structured Asset Mortgage Investments II
Trust, Series 2005-AR8, Class A1A
(LIBOR USD 1-Month plus 0.28%)
0.43%		02/25/36	¹			553,310			515,775

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Structured Asset Mortgage Investments II

Trust, Series 2005-AR8, Class A3

(Federal Reserve US 12-Month Cumulative

Average plus 2.00%)

4.15%

02/25/36

17,848,699

17,696,991

Structured Asset Mortgage Investments II

Trust, Series 2006-AR7, Class A1A

(LIBOR USD 1-Month plus 0.21%)

0.36%

08/25/36

20,764,533

19,815,095

Structured Asset Mortgage Investments II

Trust, Series 2006-AR8, Class A1BG

(LIBOR USD 1-Month plus 0.12%)

0.27%

10/25/36

19,392,411

17,904,326

Structured Asset Mortgage Investments II

Trust, Series 2007-AR6, Class A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.50%)

2.52%

08/25/47

124,236,279

117,098,371

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 1997-2, Class 2A4

7.25%

03/28/30

877

910

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 2003-26A, Class 3A5

2.62%

09/25/33

⁹

145,747

144,804

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 2003-34A, Class 5A4

3.42%

11/25/33

⁹

1,154,138

1,149,942

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 2004-23XS, Class 2A1

(LIBOR USD 1-Month plus 0.30%)

0.45%

01/25/35

747,888

742,726

Structured Asset Securities Corp. Trust,

Series 2005-5, Class 2A4

5.50%

04/25/35

1,636,496

1,599,091

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-3, Class 1A1

3.80%

06/25/37

⁹

2,209,297

1,861,944

Thornburg Mortgage Securities Trust,

Series 2004-4, Class 2A

3.33%

12/25/44

⁹

101,331

100,007

Wachovia Mortgage Loan Trust,

Series 2006-ALT1, Class A3

(LIBOR USD 1-Month plus 0.23%)

0.38%

01/25/37

14,358,590

8,261,019

Wachovia Mortgage Loan Trust,

Series 2006-AMN1, Class A3

(LIBOR USD 1-Month plus 0.24%)

0.39%

08/25/36

16,975,665

8,802,108

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A2

(LIBOR USD 1-Month plus 0.11%)

0.26%

01/25/37

3,705,999

2,368,708

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A3

(LIBOR USD 1-Month plus 0.15%)

0.30%

01/25/37

34,210,535

21,332,318

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A4

(LIBOR USD 1-Month plus 0.23%)

0.38%

01/25/37

11,483,899

7,267,887

WaMu Mortgage Pass-Through Certificates,

Series 2003-AR6, Class A1

3.11%

06/25/33

⁹

2,769,444

2,790,732

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR3, Class A2

3.67%

06/25/34

⁹

27,366

27,521

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR6, Class A

(LIBOR USD 1-Month plus 0.42%)

0.57%

05/25/44

763,056

760,826

WaMu Mortgage Pass-Through Certificates,

Series 2005-3, Class 2A3

(LIBOR USD 1-Month plus 0.55%)

0.70%

05/25/35

2,156,539

1,763,692

WaMu Mortgage Pass-Through Certificates,

Series 2005-4, Class CB13

(LIBOR USD 1-Month plus 0.50%)

0.65%

06/25/35

4,617,325

3,745,117

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR1, Class A1A

(LIBOR USD 1-Month plus 0.64%)

0.79%

01/25/45

580,907

560,460

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR11, Class A1A

(LIBOR USD 1-Month plus 0.32%)

0.47%

08/25/45

27,978,953

26,692,540

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR12, Class 1A6

2.95%

10/25/35

⁹

972,048

972,899

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A1

(LIBOR USD 1-Month plus 0.29%)

0.44%

10/25/45

4,586,309

4,536,546

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR14, Class 2A1

3.52%

12/25/35

⁹

3,597,628

3,471,057

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR15, Class A1A1

(LIBOR USD 1-Month plus 0.26%)

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

0.41%

11/25/45

23,614,239

22,083,040

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR17, Class A1A1

(LIBOR USD 1-Month plus 0.27%)

0.42%

12/25/45

11,198,228

11,247,529

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR19, Class A1A2

(LIBOR USD 1-Month plus 0.29%)

0.44%

12/25/45

11,953,255

11,747,484

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 1A1A

(LIBOR USD 1-Month plus 0.33%)

0.48%

01/25/45

12,483,783

12,003,655

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.31%)

0.46%

01/25/45

915,416

887,739

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A21

(LIBOR USD 1-Month plus 0.33%)

0.48%

01/25/45

77,850

74,916

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A23

(LIBOR USD 1-Month plus 0.38%)

0.53%

01/25/45

3,250,637

3,135,892

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR6, Class 2A1A

(LIBOR USD 1-Month plus 0.46%)

0.61%

04/25/45

124,625

124,027

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR8, Class 1A1A

(LIBOR USD 1-Month plus 0.54%)

0.69%

07/25/45

129,869

120,997

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR1, Class 2A1A

(Federal Reserve US 12-Month Cumulative

Average plus 1.07%)

2.09%

01/25/46

24,780,996

23,811,759

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR10, Class 1A4

3.03%

09/25/36

⁹

11,174,924

10,880,571

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR16, Class 3A1

3.55%

12/25/36

⁹

626,935

587,321

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR3, Class A1A

(Federal Reserve US 12-Month Cumulative

Average plus 1.00%)

2.02%

02/25/46

13,882,554

13,385,621

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR4, Class 1A1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.94%)

2.11%

05/25/46

4,800,400

4,648,371

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR7, Class 2A

(Federal Reserve US 12-Month Cumulative

Average plus 0.98%)

2.00%

07/25/46

10,007,917

9,149,562

WaMu Mortgage Pass-Through Certificates,

Series 2007-1, Class 2A1

6.00%

01/25/22

113,965

109,010

WaMu Mortgage Pass-Through Certificates,

Series 2007-HY7, Class 4A2

3.31%

07/25/37

⁹

235,743

228,835

WaMu Mortgage Pass-Through Certificates,

Series 2007-OA1, Class A1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.70%)

1.72%

02/25/47

11,784,938

10,687,932

WaMu MSC Mortgage Pass-Through

Certificates, Series 2002-AR1, Class 1A1

3.79%

11/25/30

⁹

243,938

242,480

Wells Fargo Alternative Loan Trust,

Series 2007-PA5, Class 1A1

6.25%

11/25/37

138,841

136,961

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR1, Class 1A1

4.03%

03/25/36

⁹

2,311,904

2,266,245

5,231,782,858

U.S. Agency Commercial

Mortgage-Backed — 0.14%

Fannie Mae-Aces, Series 2020-M10,

Class X1 (IO)

1.92%

12/25/30

⁹

266,309,477

36,661,353

Fannie Mae-Aces, Series 2020-M10,

Class X2 (IO)

1.83%

12/25/30

⁹

461,827,436

61,544,209

Fannie Mae-Aces, Series 2020-M10,

Class X8 (IO)

0.78%

12/25/27

⁹

181,514,000

7,027,527

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K1510,

Class A3

3.79%

01/25/34

9,400,000

11,844,804

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K154,

Class A2

3.42%

04/25/32

750,000

892,274



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K155,
Class A3
3.75%		04/25/33			$	125,000		$	154,457
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K157,
Class A3
3.99%		08/25/33	⁹			300,000			378,509
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K158,
Class A2
3.90%		12/25/30	⁹			4,640,000			5,727,969
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K158,
Class A3
3.90%		10/25/33	⁹			165,000			206,508


									124,437,610

U.S. Agency Mortgage-Backed — 31.93%
Fannie Mae Grantor Trust, Series 2017-T1,
Class A
2.90%		06/25/27				62,709,711			69,629,978
Fannie Mae Pool 190375
5.50%		11/01/36				631,054			733,886
Fannie Mae Pool 190396
4.50%		06/01/39				9,597			10,779
Fannie Mae Pool 254232
6.50%		03/01/22				3,200			3,288
Fannie Mae Pool 313182
7.50%		10/01/26				899			993
Fannie Mae Pool 394854
6.50%		05/01/27				621			695
Fannie Mae Pool 468128
4.33%		07/01/21				1,851,160			1,872,618
Fannie Mae Pool 468587
3.84%		08/01/21				575,490			582,827
Fannie Mae Pool 545191
7.00%		09/01/31				2,283			2,634
Fannie Mae Pool 545756
7.00%		06/01/32				594			705
Fannie Mae Pool 606108
7.00%		03/01/31				2,360			2,384
Fannie Mae Pool 613142
7.00%		11/01/31				8,252			9,717
Fannie Mae Pool 625666
7.00%		01/01/32				8,081			9,353
Fannie Mae Pool 633698
7.50%		02/01/31				28,297			34,152
Fannie Mae Pool 655928
7.00%		08/01/32				122,798			148,287



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 725257
5.50%		02/01/34			$	841,796		$	989,578
Fannie Mae Pool 734830
4.50%		08/01/33				10,062			11,059
Fannie Mae Pool 734922
4.50%		09/01/33				1,556,779			1,737,858
Fannie Mae Pool 735207
7.00%		04/01/34				16,267			19,384
Fannie Mae Pool 735224
5.50%		02/01/35				3,005,814			3,561,541
Fannie Mae Pool 735651
4.50%		06/01/35				3,552,980			3,971,894
Fannie Mae Pool 735686
6.50%		12/01/22				404			414
Fannie Mae Pool 740297
5.50%		10/01/33				1,611			1,897
Fannie Mae Pool 745147
4.50%		12/01/35				22,152			24,520
Fannie Mae Pool 753168
4.50%		12/01/33				6,616			7,292
Fannie Mae Pool 815422
4.50%		02/01/35				31,545			35,008
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.58%)
2.95%		11/01/35	¹			174,035			176,244
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
4.04%		11/01/35	¹			3,787			3,797
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
3.59%		12/01/35	¹			4,822			4,839
Fannie Mae Pool 888412
7.00%		04/01/37				197,275			228,004
Fannie Mae Pool 889125
5.00%		12/01/21				492			493
Fannie Mae Pool 889184
5.50%		09/01/36				2,911,720			3,428,456
Fannie Mae Pool 918445
(LIBOR USD 12-Month plus 1.57%)
3.57%		05/01/37	¹			6,612			6,932
Fannie Mae Pool AB1613
4.00%		10/01/40				27,610,584			31,169,582
Fannie Mae Pool AB1803
4.00%		11/01/40				32,502,604			37,047,435
Fannie Mae Pool AB2127
3.50%		01/01/26				11,956,154			12,668,734
Fannie Mae Pool AB3679
3.50%		10/01/41				10,850,017			11,989,366



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AB3864
3.50%		11/01/41			$	8,939,750		$	9,953,379
Fannie Mae Pool AB4045
3.50%		12/01/41				10,438,982			11,693,349
Fannie Mae Pool AB4262
3.50%		01/01/32				5,914,683			6,346,068
Fannie Mae Pool AB6385
3.00%		10/01/42				372,044			397,346
Fannie Mae Pool AB9703
3.50%		06/01/43				25,316,854			27,530,417
Fannie Mae Pool AC8279
4.50%		08/01/39				14,022			15,535
Fannie Mae Pool AE0138
4.50%		03/01/40				59,461			66,468
Fannie Mae Pool AE0482
5.50%		01/01/38				7,165,651			8,352,619
Fannie Mae Pool AE0600
3.80%		11/01/20	⁹			748,463			748,269
Fannie Mae Pool AE0918
3.40%		10/01/20	⁹			308,047			307,960
Fannie Mae Pool AH3780
4.00%		02/01/41				13,550,059			15,449,165
Fannie Mae Pool AJ1404
4.00%		09/01/41				18,815,240			20,910,003
Fannie Mae Pool AL0209
4.50%		05/01/41				19,377,775			22,241,345
Fannie Mae Pool AL0290
4.61%		04/01/21	⁹			5,040,509			5,040,162
Fannie Mae Pool AL0834
4.08%		10/01/21	⁹			14,405,510			14,660,129
Fannie Mae Pool AL0851
6.00%		10/01/40				11,950,546			14,160,569
Fannie Mae Pool AL1445
4.26%		11/01/21	⁹			26,522,560			26,627,844
Fannie Mae Pool AL2521
3.50%		09/01/42				151,161			164,494
Fannie Mae Pool AL2669
4.23%		09/01/21	⁹			1,081,957			1,084,915
Fannie Mae Pool AL4597
4.00%		01/01/44				50,159,825			57,402,630
Fannie Mae Pool AL6348
3.50%		02/01/45				50,849			55,127
Fannie Mae Pool AL7092
3.00%		07/01/45				72,404			78,596
Fannie Mae Pool AL8037
4.50%		07/01/34				201,488			222,292
Fannie Mae Pool AL8256
3.00%		08/01/43				570,944			629,044



Issues	Maturity Date		Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL8356
4.50%		07/01/34		$	508,483		$	560,885
Fannie Mae Pool AL8960
4.50%		05/01/46			41,153,426			45,824,955
Fannie Mae Pool AL9106
4.50%		02/01/46			55,824,233			62,161,117
Fannie Mae Pool AL9217
3.50%		10/01/46			31,668,123			34,678,998
Fannie Mae Pool AL9472
4.00%		10/01/43			8,721,250			9,621,912
Fannie Mae Pool AL9722
4.50%		08/01/46			176,632,373			196,682,786
Fannie Mae Pool AL9846
4.50%		02/01/47			181,463,722			202,062,565
Fannie Mae Pool AM4869
4.07%		12/01/25			1,769,408			2,007,325
Fannie Mae Pool AM6770
3.77%		09/01/29			163,096			193,237
Fannie Mae Pool AN4429
3.22%		01/01/27			23,130,000			26,190,224
Fannie Mae Pool AN4435
3.22%		01/01/27			29,420,000			33,312,425
Fannie Mae Pool AN6243
3.46%		09/01/37			6,938,000			8,289,672
Fannie Mae Pool AN7345
3.21%		11/01/37			80,721			93,657
Fannie Mae Pool AN7981
2.95%		01/01/28			100,000			112,891
Fannie Mae Pool AN9293
3.71%		09/01/30			76,105,000			91,465,222
Fannie Mae Pool AN9814
3.63%		08/01/28			131,880,091			153,879,964
Fannie Mae Pool AS8605
3.00%		01/01/32			215,025			231,560
Fannie Mae Pool AS8663
4.50%		01/01/47			32,520,636			35,456,469
Fannie Mae Pool AS9830
4.00%		06/01/47			97,005,642			103,975,770
Fannie Mae Pool AS9972
4.00%		07/01/47			89,229,072			95,585,658
Fannie Mae Pool AT9649
4.00%		07/01/43			202,091			231,270
Fannie Mae Pool AU3739
3.50%		08/01/43			34,673,250			39,029,641
Fannie Mae Pool BD2450
3.50%		01/01/47			118,566			125,908
Fannie Mae Pool BL0004
3.50%		09/01/28			6,290,000			7,353,544



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool BL0661
3.99%		11/01/33			$	237,764		$	284,653
Fannie Mae Pool BL0937
3.83%		12/01/28				92,063,260			108,761,039
Fannie Mae Pool BL6060
2.46%		04/01/40				126,370,000			135,469,653
Fannie Mae Pool BM4299
3.00%		03/01/30				50,237,246			52,798,838
Fannie Mae Pool BM4304
3.00%		02/01/30				69,603,742			73,152,829
Fannie Mae Pool BM5164
4.00%		11/01/48				75,139,205			81,006,102
Fannie Mae Pool BM5507
3.00%		09/01/48				13,218,564			13,930,767
Fannie Mae Pool BN4316
4.00%		01/01/49				43,916			47,386
Fannie Mae Pool CA0862
3.50%		09/01/47				7,086,046			7,511,747
Fannie Mae Pool CA0996
3.50%		01/01/48				67,569			73,043
Fannie Mae Pool CA1187
3.50%		02/01/48				122,058,282			129,214,493
Fannie Mae Pool CA1191
3.50%		11/01/47				8,343,255			8,839,269
Fannie Mae Pool CA1710
4.50%		05/01/48				247,818			268,409
Fannie Mae Pool CA1711
4.50%		05/01/48				25,070,177			27,153,221
Fannie Mae Pool CA2208
4.50%		08/01/48				56,548,696			61,190,388
Fannie Mae Pool CA2327
4.00%		09/01/48				50,327,293			55,599,477
Fannie Mae Pool CA2493
4.50%		10/01/48				16,856,110			18,220,840
Fannie Mae Pool CA3633
3.50%		06/01/49				37,935,123			41,319,904
Fannie Mae Pool CA4011
3.50%		08/01/49				111,177,388			115,077,035
Fannie Mae Pool FM2310
3.00%		01/01/48				20,905,993			21,949,937
Fannie Mae Pool FM2318
3.50%		09/01/49				353,144,324			381,201,959
Fannie Mae Pool FM2388
3.50%		04/01/48				29,372,238			32,247,439
Fannie Mae Pool FN0001
3.76%		12/01/20	⁹			11,027,923			11,025,251
Fannie Mae Pool MA1146
4.00%		08/01/42				43,765,707			48,080,783



Issues	Maturity Date		Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA1177
3.50%		09/01/42		$	53,450,837		$	58,034,565
Fannie Mae Pool MA1404
3.50%		04/01/43			102,256			111,192
Fannie Mae Pool MA1432
3.00%		05/01/33			77,815			82,595
Fannie Mae Pool MA1459
3.00%		06/01/33			36,740			38,997
Fannie Mae Pool MA1527
3.00%		08/01/33			52,252,229			55,478,164
Fannie Mae Pool MA1561
3.00%		09/01/33			32,352,597			34,341,641
Fannie Mae Pool MA1582
3.50%		09/01/43			16,761,618			18,228,712
Fannie Mae Pool MA1584
3.50%		09/01/33			50,389,025			54,470,055
Fannie Mae Pool MA1608
3.50%		10/01/33			35,428,759			38,297,958
Fannie Mae Pool MA1982
3.50%		08/01/34			81,123			86,838
Fannie Mae Pool MA2895
3.00%		02/01/47			90,462			95,336
Fannie Mae Pool MA2960
4.00%		04/01/47			63,981,346			68,640,799
Fannie Mae Pool MA3027
4.00%		06/01/47			46,484,968			49,870,244
Fannie Mae Pool MA3029
3.00%		06/01/32			43,943,582			46,323,125
Fannie Mae Pool MA3060
3.00%		07/01/32			20,086			21,174
Fannie Mae Pool MA3120
3.50%		09/01/47			3,616,817			3,834,101
Fannie Mae Pool MA3182
3.50%		11/01/47			75,782,972			80,335,702
Fannie Mae Pool MA3210
3.50%		12/01/47			132,684,155			140,572,348
Fannie Mae Pool MA3238
3.50%		01/01/48			111,823,358			118,576,192
Fannie Mae Pool MA3276
3.50%		02/01/48			46,537,354			49,265,813
Fannie Mae Pool MA3305
3.50%		03/01/48			61,978,186			65,568,344
Fannie Mae Pool MA3332
3.50%		04/01/48			171,091,310			180,935,432
Fannie Mae Pool MA3364
3.50%		05/01/33			19,819,432			21,032,833
Fannie Mae Pool MA3537
4.50%		12/01/48			41,657,782			45,034,449



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA3811
3.00%		10/01/49			$	31,595,085		$	32,491,725
Fannie Mae Pool MA3846
3.00%		11/01/49				182,323			187,620
Fannie Mae Pool MA3942
3.00%		02/01/50				61,542,997			63,284,306
Fannie Mae Pool MA3997
3.00%		04/01/50				80,397,744			82,785,446
Fannie Mae Pool MA4093
2.00%		08/01/40				245,682,956			254,752,514
Fannie Mae Pool MA4128
2.00%		09/01/40				199,299,340			206,656,615
Fannie Mae Pool MA4152
2.00%		10/01/40				228,625,000			237,064,852
Fannie Mae Pool MA4176
2.00%		10/01/40				55,500,000			57,548,821
Fannie Mae REMICS, Series 1991-65,
Class Z
6.50%		06/25/21				137			138
Fannie Mae REMICS, Series 1992-123,
Class Z
7.50%		07/25/22				268			279
Fannie Mae REMICS, Series 1993-132,
Class D (PO)
0.00%		10/25/22	¹⁰			9,621			9,603
Fannie Mae REMICS, Series 1993-29,
Class PK
7.00%		03/25/23				815			849
Fannie Mae REMICS, Series 1994-55,
Class H
7.00%		03/25/24				5,275			5,708
Fannie Mae REMICS, Series 1997-34,
Class SA
(Cost of Funds 11th District of San Francisco * 5.542, 37.68% Cap)
2.93%		10/25/23	¹			1,385			1,556
Fannie Mae REMICS, Series 1998-37,
Class VZ
6.00%		06/17/28				3,517			3,736
Fannie Mae REMICS, Series 1999-11,
Class Z
5.50%		03/25/29				25,392			27,006
Fannie Mae REMICS, Series 2001-52,
Class YZ
6.50%		10/25/31				98,693			116,854
Fannie Mae REMICS, Series 2005-104,
Class NI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
6.55%		03/25/35	¹			263,266			1,450
Fannie Mae REMICS, Series 2005-117,
Class LC
5.50%		11/25/35				3,700,395			3,972,861



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2005-122,
Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.45%		11/25/35	¹		$	48,697		$	6,487
Fannie Mae REMICS, Series 2005-92,
Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
5.95%		10/25/25	¹			3,172,800			251,501
Fannie Mae REMICS, Series 2006-4,
Class WE
4.50%		02/25/36				49,981			54,664
Fannie Mae REMICS, Series 2006-49,
Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
28.41%		04/25/36	¹			1,601,823			2,601,090
Fannie Mae REMICS, Series 2007-17,
Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
6.25%		03/25/37	¹			1,307,838			196,309
Fannie Mae REMICS, Series 2007-34,
Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
5.96%		04/25/37	¹			2,713,019			611,957
Fannie Mae REMICS, Series 2007-64,
Class FA
(LIBOR USD 1-Month plus 0.47%)
0.62%		07/25/37	¹			3,841			3,880
Fannie Mae REMICS, Series 2008-24,
Class NA
6.75%		06/25/37				332,959			379,216
Fannie Mae REMICS, Series 2010-116,
Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.45%		10/25/40	¹			3,680,251			617,831
Fannie Mae REMICS, Series 2010-135,
Class EA
3.00%		01/25/40				5,432			5,498
Fannie Mae REMICS, Series 2010-17,
Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
6.20%		03/25/40	¹			7,036,648			1,687,302
Fannie Mae REMICS, Series 2010-43,
Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
6.27%		05/25/40	¹			12,451,020			2,689,540
Fannie Mae REMICS, Series 2011-101,
Class HE
4.00%		10/25/41				10,100,000			11,475,332
Fannie Mae REMICS, Series 2011-111,
Class DB
4.00%		11/25/41				18,720,437			20,802,670



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2011-2,
Class PD
4.00%		12/25/39			$	4,854		$	4,862
Fannie Mae REMICS, Series 2012-84,
Class VZ
3.50%		08/25/42				9,910,680			11,054,936
Fannie Mae REMICS, Series 2013-101,
Class BO (PO)
0.00%		10/25/43	¹⁰			18,100,109			17,137,026
Fannie Mae REMICS, Series 2013-101,
Class CO (PO)
0.00%		10/25/43	¹⁰			10,975,033			10,142,123
Fannie Mae REMICS, Series 2016-45,
Class AF
(LIBOR USD 1-Month plus 0.50%)
0.65%		07/25/46	¹			12,160,881			12,266,487
Fannie Mae REMICS, Series 2016-72,
Class FA
(LIBOR USD 1-Month plus 0.50%)
0.65%		10/25/46	¹			28,428,758			28,667,889
Fannie Mae REMICS, Series 2016-74,
Class GF
(LIBOR USD 1-Month plus 0.50%)
0.65%		10/25/46	¹			19,479,209			19,591,414
Fannie Mae REMICS, Series 2016-75,
Class FL
(LIBOR USD 1-Month plus 0.50%)
0.65%		10/25/46	¹			18,908,763			19,017,479
Fannie Mae REMICS, Series 2018-29,
Class AP
3.50%		11/25/46				144,525,171			149,268,437
Fannie Mae REMICS, Series 2018-38,
Class LA
3.00%		06/25/48				47,177,793			49,688,416
Fannie Mae REMICS, Series 2018-38,
Class PA
3.50%		06/25/47				77,557			81,075
Fannie Mae REMICS, Series 2018-45,
Class GA
3.00%		06/25/48				55,425,008			58,696,133
Fannie Mae REMICS, Series 2018-55,
Class PA
3.50%		01/25/47				44,862,173			46,728,130
Fannie Mae REMICS, Series 2018-57,
Class QA
3.50%		05/25/46				168,927			175,499
Fannie Mae REMICS, Series 2018-86,
Class JA
4.00%		05/25/47				3,801,354			3,979,945
Fannie Mae REMICS, Series 2018-94,
Class KD
3.50%		12/25/48				16,392,502			17,337,894



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2019-1,
Class AB
3.50%		02/25/49			$	3,774,204		$	3,981,261
Fannie Mae REMICS, Series 2019-1,
Class KP
3.25%		02/25/49				6,130,207			6,436,947
Fannie Mae REMICS, Series 2019-26,
Class JE
3.00%		06/25/49				15,970,397			16,557,789
Fannie Mae REMICS, Series 2019-45,
Class PA
3.00%		08/25/49				48,189,190			51,092,560
Fannie Mae REMICS, Series 2019-52,
Class PA
3.00%		09/25/49				20,393,206			21,024,049
Fannie Mae REMICS, Series 2019-67,
Class FE
(LIBOR USD 1-Month plus 0.45%)
0.60%		11/25/49	¹			54,090,707			54,468,152
Fannie Mae REMICS, Series 2019-79,
Class FA
(LIBOR USD 1-Month plus 0.50%)
0.65%		01/25/50	¹			168,828			170,166
Fannie Mae REMICS, Series G92-36,
Class Z
7.00%		07/25/22				5			5
Fannie Mae REMICS, Series G93-21,
Class Z
7.20%		05/25/23				1,062			1,121
Fannie Mae Trust, Series 2003-W2,
Class 2A9
5.90%		07/25/42				23,863			27,953
Freddie Mac Gold Pool A24156
6.50%		10/01/31				119,810			134,188
Freddie Mac Gold Pool A25162
5.50%		05/01/34				1,596,168			1,849,652
Freddie Mac Gold Pool A39012
5.50%		06/01/35				33,782			39,426
Freddie Mac Gold Pool A54856
5.00%		01/01/34				3,014,647			3,410,433
Freddie Mac Gold Pool A61164
5.00%		04/01/36				11,142			12,715
Freddie Mac Gold Pool A97038
4.00%		02/01/41				10,617,827			11,780,245
Freddie Mac Gold Pool C01492
5.00%		02/01/33				461,264			523,771
Freddie Mac Gold Pool C04546
3.00%		02/01/43				17,219,022			18,702,920
Freddie Mac Gold Pool C04573
3.00%		03/01/43				21,170,941			23,074,072



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		$	10,680		$	11,962
Freddie Mac Gold Pool C55789
7.50%		10/01/27			4,908			5,423
Freddie Mac Gold Pool C90573
6.50%		08/01/22			17,044			17,845
Freddie Mac Gold Pool E02402
6.00%		10/01/22			4,379			4,522
Freddie Mac Gold Pool G00992
7.00%		11/01/28			565			653
Freddie Mac Gold Pool G01515
5.00%		02/01/33			504,026			571,617
Freddie Mac Gold Pool G02579
5.00%		12/01/34			774,316			891,271
Freddie Mac Gold Pool G02884
6.00%		04/01/37			2,014,159			2,365,392
Freddie Mac Gold Pool G02955
5.50%		03/01/37			2,871,721			3,354,182
Freddie Mac Gold Pool G03357
5.50%		08/01/37			1,198,605			1,401,303
Freddie Mac Gold Pool G03676
5.50%		12/01/37			1,843,257			2,146,095
Freddie Mac Gold Pool G03783
5.50%		01/01/38			1,367,966			1,592,722
Freddie Mac Gold Pool G03985
6.00%		03/01/38			18,489			22,192
Freddie Mac Gold Pool G04438
5.50%		05/01/38			4,240,348			4,939,176
Freddie Mac Gold Pool G04703
5.50%		08/01/38			3,628,298			4,226,257
Freddie Mac Gold Pool G04706
5.50%		09/01/38			147,664			171,999
Freddie Mac Gold Pool G05866
4.50%		02/01/40			14,368,750			16,535,047
Freddie Mac Gold Pool G06361
4.00%		03/01/41			19,998			22,794
Freddie Mac Gold Pool G06498
4.00%		04/01/41			19,905,765			22,483,428
Freddie Mac Gold Pool G06499
4.00%		03/01/41			8,985,787			9,911,102
Freddie Mac Gold Pool G07408
3.50%		06/01/43			18,991,623			21,437,555
Freddie Mac Gold Pool G07786
4.00%		08/01/44			173,004,983			194,438,933
Freddie Mac Gold Pool G07848
3.50%		04/01/44			95,715,723			106,550,986
Freddie Mac Gold Pool G07849
3.50%		05/01/44			13,297,773			14,699,492



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		$	17,985,682		$	19,802,865
Freddie Mac Gold Pool G07925
4.00%		02/01/45			11,319,119			12,802,985
Freddie Mac Gold Pool G08676
3.50%		11/01/45			57,655,676			61,934,064
Freddie Mac Gold Pool G08681
3.50%		12/01/45			37,773,216			40,576,209
Freddie Mac Gold Pool G08698
3.50%		03/01/46			2,014			2,155
Freddie Mac Gold Pool G08710
3.00%		06/01/46			217,753,336			229,547,969
Freddie Mac Gold Pool G08711
3.50%		06/01/46			16,397,037			17,530,415
Freddie Mac Gold Pool G08715
3.00%		08/01/46			288,628,404			304,261,993
Freddie Mac Gold Pool G08721
3.00%		09/01/46			29,392,916			30,984,986
Freddie Mac Gold Pool G08722
3.50%		09/01/46			71,540,694			76,373,869
Freddie Mac Gold Pool G08726
3.00%		10/01/46			315,669,019			332,767,266
Freddie Mac Gold Pool G08727
3.50%		10/01/46			60,131,561			64,174,168
Freddie Mac Gold Pool G08732
3.00%		11/01/46			191,270,061			201,630,225
Freddie Mac Gold Pool G08741
3.00%		01/01/47			114,580,456			120,786,719
Freddie Mac Gold Pool G08742
3.50%		01/01/47			96,556,201			102,656,950
Freddie Mac Gold Pool G08747
3.00%		02/01/47			38,010,783			40,069,641
Freddie Mac Gold Pool G08757
3.50%		04/01/47			41,520,837			44,144,264
Freddie Mac Gold Pool G08758
4.00%		04/01/47			31,059			33,372
Freddie Mac Gold Pool G08762
4.00%		05/01/47			32,228,838			34,583,928
Freddie Mac Gold Pool G08779
3.50%		09/01/47			165,867			175,645
Freddie Mac Gold Pool G08784
3.50%		10/01/47			144,958			153,503
Freddie Mac Gold Pool G08792
3.50%		12/01/47			123,550			130,931
Freddie Mac Gold Pool G08826
5.00%		06/01/48			25,654,133			28,114,025
Freddie Mac Gold Pool G08833
5.00%		07/01/48			16,086,984			17,629,512



Issues	Maturity Date		Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08838
5.00%		09/01/48		$	7,409,572		$	8,143,617
Freddie Mac Gold Pool G08840
5.00%		08/01/48			2,625,342			2,880,001
Freddie Mac Gold Pool G08843
4.50%		10/01/48			19,425,646			21,008,735
Freddie Mac Gold Pool G08844
5.00%		10/01/48			22,009,321			24,119,723
Freddie Mac Gold Pool G08848
4.50%		11/01/48			3,633,235			3,931,329
Freddie Mac Gold Pool G08849
5.00%		11/01/48			8,619,372			9,458,905
Freddie Mac Gold Pool G12393
5.50%		10/01/21			116,509			117,320
Freddie Mac Gold Pool G12399
6.00%		09/01/21			132			134
Freddie Mac Gold Pool G12824
6.00%		08/01/22			319,431			329,896
Freddie Mac Gold Pool G12909
6.00%		11/01/22			863,943			896,527
Freddie Mac Gold Pool G13032
6.00%		09/01/22			72,215			73,469
Freddie Mac Gold Pool G13058
4.50%		10/01/20			4			4
Freddie Mac Gold Pool G15897
2.50%		09/01/31			65,603			69,901
Freddie Mac Gold Pool G16085
2.50%		02/01/32			4,448,174			4,758,244
Freddie Mac Gold Pool G16502
3.50%		05/01/33			116,584			123,759
Freddie Mac Gold Pool G16524
3.50%		05/01/33			38,856,438			41,777,047
Freddie Mac Gold Pool G16584
3.50%		08/01/33			7,408,852			7,835,454
Freddie Mac Gold Pool G16607
3.50%		09/01/33			71,249,324			76,562,953
Freddie Mac Gold Pool G16623
2.50%		09/01/32			39,891,404			41,819,241
Freddie Mac Gold Pool G16755
3.50%		02/01/34			74,600,965			79,737,593
Freddie Mac Gold Pool G16756
3.50%		01/01/34			6,340,668			6,813,543
Freddie Mac Gold Pool G16770
2.50%		02/01/32			181,551			192,141
Freddie Mac Gold Pool G18581
2.50%		01/01/31			41,735			43,661
Freddie Mac Gold Pool G18592
3.00%		03/01/31			39,985			42,263



Issues	Maturity Date		Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G18596
3.00%		04/01/31		$	47,269,562		$	49,962,063
Freddie Mac Gold Pool G18691
3.00%		06/01/33			19,956,315			20,979,845
Freddie Mac Gold Pool G18692
3.50%		06/01/33			30,056,587			31,787,247
Freddie Mac Gold Pool G18713
3.50%		11/01/33			36,936,042			39,062,821
Freddie Mac Gold Pool G18716
3.50%		12/01/33			112,026			118,477
Freddie Mac Gold Pool G60023
3.50%		04/01/45			16,356,527			18,233,180
Freddie Mac Gold Pool G60080
3.50%		06/01/45			186,188,936			204,767,799
Freddie Mac Gold Pool G60138
3.50%		08/01/45			136,551,080			152,253,789
Freddie Mac Gold Pool G60238
3.50%		10/01/45			57,499,036			63,200,640
Freddie Mac Gold Pool G60344
4.00%		12/01/45			142,607			158,959
Freddie Mac Gold Pool G67700
3.50%		08/01/46			42,645,844			46,767,992
Freddie Mac Gold Pool G67703
3.50%		04/01/47			432,818,980			473,843,727
Freddie Mac Gold Pool G67706
3.50%		12/01/47			230,072,698			251,502,481
Freddie Mac Gold Pool G67707
3.50%		01/01/48			520,105,125			578,626,355
Freddie Mac Gold Pool G67708
3.50%		03/01/48			562,902,448			608,869,062
Freddie Mac Gold Pool G67709
3.50%		03/01/48			383,031,828			418,931,249
Freddie Mac Gold Pool G67710
3.50%		03/01/48			376,041,751			404,399,059
Freddie Mac Gold Pool G67711
4.00%		03/01/48			102,523,626			112,882,664
Freddie Mac Gold Pool G67713
4.00%		06/01/48			1,050,398			1,150,047
Freddie Mac Gold Pool G67714
4.00%		07/01/48			162,390			178,747
Freddie Mac Gold Pool G67717
4.00%		11/01/48			136,696,864			150,797,879
Freddie Mac Gold Pool H00790
5.50%		05/01/37			9,178			10,499
Freddie Mac Gold Pool H05069
5.50%		05/01/37			239,660			275,109
Freddie Mac Gold Pool Q05804
4.00%		01/01/42			34,173,457			38,995,059



Issues	Maturity Date		Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool U99097
3.50%		07/01/43		$	54,527,850		$	59,101,288
Freddie Mac Gold Pool V61222
2.50%		06/01/31			116,484			123,279
Freddie Mac Gold Pool V62078
3.50%		08/01/33			7,579,582			8,155,850
Freddie Mac Gold Pool V62129
3.50%		08/01/33			15,787,004			16,871,823
Freddie Mac Gold Pool V80356
3.50%		08/01/43			35,121,550			39,117,949
Freddie Mac Pool RB5077
2.00%		10/01/40			137,643,337			142,724,537
Freddie Mac Pool RE6029
3.00%		02/01/50			19,998,754			20,524,338
Freddie Mac Pool SD7502
3.50%		07/01/49			18,786,172			20,157,147
Freddie Mac Pool SD7503
3.50%		08/01/49			37,109,648			40,046,447
Freddie Mac Pool SD7511
3.50%		01/01/50			35,056,206			37,885,273
Freddie Mac Pool WN1000
3.70%		07/01/33			140,700,000			168,355,023
Freddie Mac Pool ZA5103
3.50%		12/01/47			473,539			501,287
Freddie Mac Pool ZA5128
3.50%		12/01/47			1,142,720			1,210,656
Freddie Mac Pool ZM1779
3.00%		09/01/46			31,166,974			32,907,728
Freddie Mac Pool ZM2285
3.00%		12/01/46			33,812,111			35,630,833
Freddie Mac Pool ZS4693
3.00%		12/01/46			35,764,635			37,688,355
Freddie Mac Pool ZS4768
3.50%		05/01/48			3,414,639			3,609,106
Freddie Mac Pool ZT0277
3.50%		10/01/46			3,483,763			3,758,374
Freddie Mac Pool ZT1403
3.50%		11/01/33			41,254,768			43,632,875
Freddie Mac REMICS, Series 1073,
Class G
7.00%		05/15/21			31			31
Freddie Mac REMICS, Series 1107,
Class ZC
6.50%		07/15/21			309			315
Freddie Mac REMICS, Series 1980,
Class Z
7.00%		07/15/27			60,511			69,291



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 1983,
Class Z
6.50%		12/15/23			$	18,189		$	19,593
Freddie Mac REMICS, Series 2098,
Class TZ
6.00%		01/15/28				247,325			274,729
Freddie Mac REMICS, Series 2174,
Class PN
6.00%		07/15/29				13,582			15,360
Freddie Mac REMICS, Series 2313,
Class LA
6.50%		05/15/31				6,572			7,582
Freddie Mac REMICS, Series 2433,
Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
20.53%		02/15/32	¹			8,053			12,539
Freddie Mac REMICS, Series 2481,
Class AW
6.50%		08/15/32				28,770			31,809
Freddie Mac REMICS, Series 3019,
Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.05%		08/15/35	¹			1,187,110			290,086
Freddie Mac REMICS, Series 3063,
Class YG
5.50%		11/15/35				3,168,048			3,695,889
Freddie Mac REMICS, Series 3300,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.05%		08/15/35	¹			524,848			111,131
Freddie Mac REMICS, Series 3707,
Class EI (IO)
5.00%		12/15/38				5,954,399			232,857
Freddie Mac REMICS, Series 3730,
Class JG
3.00%		09/15/39				5,112			5,185
Freddie Mac REMICS, Series 3752,
Class XL (IO)
4.50%		11/15/40				52,334,647			58,922,946
Freddie Mac REMICS, Series 3891,
Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
5.80%		07/15/41	¹			5,878,717			706,308
Freddie Mac REMICS, Series 3904,
Class JB
4.50%		08/15/41				14,250,054			16,174,536
Freddie Mac REMICS, Series 3925,
Class LB
4.50%		09/15/41				9,215,000			11,188,563
Freddie Mac REMICS, Series 3928,
Class JD
4.00%		09/15/41				32,095,702			35,725,713



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 4102,
Class TC
2.50%		09/15/41			$	12,698,110		$	13,235,469
Freddie Mac REMICS, Series 4161,
Class BA
2.50%		12/15/41				19,865,845			20,855,976
Freddie Mac REMICS, Series 4656,
Class EZ
4.00%		02/15/47				178,845			208,371
Freddie Mac REMICS, Series 4818,
Class CA
3.00%		04/15/48				4,081,601			4,243,910
Freddie Mac REMICS, Series 4846,
Class PA
4.00%		06/15/47				1,492,952			1,580,631
Freddie Mac REMICS, Series 4852,
Class CA
4.00%		11/15/47				46,236,856			50,135,705
Freddie Mac REMICS, Series 4860,
Class BH
3.50%		10/15/48				19,527,406			20,239,158
Freddie Mac REMICS, Series 4860,
Class PA
3.50%		02/15/49				7,503,618			7,879,067
Freddie Mac REMICS, Series 4879,
Class BC
3.00%		04/15/49				3,731,429			3,867,154
Freddie Mac REMICS, Series 4896,
Class DA
3.00%		01/15/49				3,029,479			3,152,497
Freddie Mac REMICS, Series 4937,
Class MF
(LIBOR USD 1-Month plus 0.45%)
0.60%		12/25/49	¹			12,319,002			12,403,099
Freddie Mac Strips, Series 309,
Class PO (PO)
0.00%		08/15/43	¹⁰			25,141,768			23,144,196
Freddie Mac Strips, Series 319,
Class F2
(LIBOR USD 1-Month plus 0.50%)
0.65%		11/15/43	¹			4,539,404			4,595,651
Ginnie Mae I Pool 782817
4.50%		11/15/39				15,144,676			17,156,166
Ginnie Mae I Pool AA5452
3.50%		07/15/42				195,268			207,027
Ginnie Mae II Pool 2631
7.00%		08/20/28				1,571			1,772
Ginnie Mae II Pool 3388
4.50%		05/20/33				4,169			4,603
Ginnie Mae II Pool 3427
4.50%		08/20/33				1,488			1,653



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 3554
4.50%		05/20/34			$	1,461		$	1,623
Ginnie Mae II Pool 4058
5.00%		12/20/37				815			934
Ginnie Mae II Pool 4342
5.00%		01/20/39				1,202			1,349
Ginnie Mae II Pool 4520
5.00%		08/20/39				23,417			26,318
Ginnie Mae II Pool 5140
4.50%		08/20/41				48,858			54,259
Ginnie Mae II Pool 5175
4.50%		09/20/41				52,445			58,250
Ginnie Mae II Pool 5281
4.50%		01/20/42				15,785			17,538
Ginnie Mae II Pool 783591
4.50%		07/20/41				19,650			21,840
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.25%		07/20/34	¹			11,523			11,929
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.00%		03/20/35	¹			19,257			19,492
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.25%		08/20/35	¹			19,886			20,848
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.13%		10/20/35	¹			16,901			17,749
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
2.88%		05/20/25	¹			3,183			3,291
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
2.88%		06/20/25	¹			4,460			4,525
Ginnie Mae II Pool MA0627
4.50%		12/20/42				63,079			70,135
Ginnie Mae II Pool MA0701
4.50%		01/20/43				69,052			75,921
Ginnie Mae II Pool MA1157
3.50%		07/20/43				60,896			66,240
Ginnie Mae II Pool MA1997
4.50%		06/20/44				16,208			18,014



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		$	397,832		$	450,220
Ginnie Mae II Pool MA2756
4.50%		04/20/45			35,949			39,945
Ginnie Mae II Pool MA2828
4.50%		05/20/45			1,564,686			1,738,678
Ginnie Mae II Pool MA2894
4.50%		06/20/45			597,897			664,247
Ginnie Mae II Pool MA3036
4.50%		08/20/45			62,421			69,339
Ginnie Mae II Pool MA3309
3.00%		12/20/45			14,048			14,752
Ginnie Mae II Pool MA3456
4.50%		02/20/46			413,739			459,544
Ginnie Mae II Pool MA3521
3.50%		03/20/46			54,597,092			58,761,873
Ginnie Mae II Pool MA3524
5.00%		03/20/46			18,035			20,607
Ginnie Mae II Pool MA3597
3.50%		04/20/46			138,072,094			148,604,523
Ginnie Mae II Pool MA3600
5.00%		04/20/46			10,748,129			12,266,808
Ginnie Mae II Pool MA3662
3.00%		05/20/46			5,538,576			5,860,474
Ginnie Mae II Pool MA3663
3.50%		05/20/46			39,847,193			42,886,820
Ginnie Mae II Pool MA3665
4.50%		05/20/46			173,914			191,298
Ginnie Mae II Pool MA3666
5.00%		05/20/46			6,021,764			6,875,411
Ginnie Mae II Pool MA3738
4.50%		06/20/46			741,494			815,613
Ginnie Mae II Pool MA3739
5.00%		06/20/46			3,502,267			3,998,441
Ginnie Mae II Pool MA3805
4.50%		07/20/46			6,306,769			6,937,181
Ginnie Mae II Pool MA3806
5.00%		07/20/46			275,674			314,827
Ginnie Mae II Pool MA3873
3.00%		08/20/46			42,778,900			45,287,643
Ginnie Mae II Pool MA3876
4.50%		08/20/46			6,450,431			7,095,204
Ginnie Mae II Pool MA3877
5.00%		08/20/46			1,222,809			1,394,531
Ginnie Mae II Pool MA3937
3.50%		09/20/46			31,925,730			34,281,277
Ginnie Mae II Pool MA3939
4.50%		09/20/46			3,241,478			3,605,685



Issues	Maturity Date		Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4003
3.00%		10/20/46		$	16,960,412		$	17,923,512
Ginnie Mae II Pool MA4006
4.50%		10/20/46			3,701,965			4,087,046
Ginnie Mae II Pool MA4007
5.00%		10/20/46			7,394,526			8,435,025
Ginnie Mae II Pool MA4069
3.50%		11/20/46			99,564,653			106,724,059
Ginnie Mae II Pool MA4071
4.50%		11/20/46			10,595,757			11,763,044
Ginnie Mae II Pool MA4072
5.00%		11/20/46			1,964,413			2,242,389
Ginnie Mae II Pool MA4126
3.00%		12/20/46			283,452,486			299,850,011
Ginnie Mae II Pool MA4127
3.50%		12/20/46			104,677,032			111,877,255
Ginnie Mae II Pool MA4129
4.50%		12/20/46			33,613,116			37,551,712
Ginnie Mae II Pool MA4196
3.50%		01/20/47			26,323			28,166
Ginnie Mae II Pool MA4198
4.50%		01/20/47			290,528			318,933
Ginnie Mae II Pool MA4199
5.00%		01/20/47			6,313,382			7,199,337
Ginnie Mae II Pool MA4264
4.50%		02/20/47			87,328,165			95,593,392
Ginnie Mae II Pool MA4265
5.00%		02/20/47			1,569,568			1,770,214
Ginnie Mae II Pool MA4324
5.00%		03/20/47			8,903,224			9,985,518
Ginnie Mae II Pool MA4382
3.50%		04/20/47			70,041,086			74,946,210
Ginnie Mae II Pool MA4384
4.50%		04/20/47			4,254,176			4,650,168
Ginnie Mae II Pool MA4385
5.00%		04/20/47			14,638,513			16,221,191
Ginnie Mae II Pool MA4453
4.50%		05/20/47			218,971,655			239,354,216
Ginnie Mae II Pool MA4454
5.00%		05/20/47			33,990,369			37,462,778
Ginnie Mae II Pool MA4510
3.50%		06/20/47			99,125			105,788
Ginnie Mae II Pool MA4511
4.00%		06/20/47			14,328,503			15,449,381
Ginnie Mae II Pool MA4512
4.50%		06/20/47			776,192			848,442
Ginnie Mae II Pool MA4513
5.00%		06/20/47			653,184			723,704



Issues	Maturity Date		Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4586
3.50%		07/20/47		$	119,227,869		$	127,242,318
Ginnie Mae II Pool MA4588
4.50%		07/20/47			130,087			141,789
Ginnie Mae II Pool MA4589
5.00%		07/20/47			32,209,941			35,686,462
Ginnie Mae II Pool MA4652
3.50%		08/20/47			9,045,230			9,653,247
Ginnie Mae II Pool MA4655
5.00%		08/20/47			39,279,165			43,501,549
Ginnie Mae II Pool MA4719
3.50%		09/20/47			117,511,712			125,410,802
Ginnie Mae II Pool MA4720
4.00%		09/20/47			289,401			310,655
Ginnie Mae II Pool MA4722
5.00%		09/20/47			779,817			860,085
Ginnie Mae II Pool MA4781
5.00%		10/20/47			9,546,705			10,559,202
Ginnie Mae II Pool MA4836
3.00%		11/20/47			249,785,915			263,962,425
Ginnie Mae II Pool MA4837
3.50%		11/20/47			287,737,504			307,105,552
Ginnie Mae II Pool MA4838
4.00%		11/20/47			98,206,737			105,319,833
Ginnie Mae II Pool MA4840
5.00%		11/20/47			2,937,548			3,254,667
Ginnie Mae II Pool MA4900
3.50%		12/20/47			18,554,733			19,803,680
Ginnie Mae II Pool MA4901
4.00%		12/20/47			65,095,795			69,820,534
Ginnie Mae II Pool MA4961
3.00%		01/20/48			840,352			887,813
Ginnie Mae II Pool MA4963
4.00%		01/20/48			112,882,515			120,971,229
Ginnie Mae II Pool MA5078
4.00%		03/20/48			186,726			199,628
Ginnie Mae II Pool MA5137
4.00%		04/20/48			42,119,378			45,111,526
Ginnie Mae II Pool MA5399
4.50%		08/20/48			9,306,436			10,068,011
Ginnie Mae II Pool MA5466
4.00%		09/20/48			15,798,628			16,907,477
Ginnie Mae II Pool MA5467
4.50%		09/20/48			88,081			95,289
Ginnie Mae II Pool MA5528
4.00%		10/20/48			73,894,859			78,990,219
Ginnie Mae II Pool MA5530
5.00%		10/20/48			15,753,390			17,133,698



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA5651
4.00%		12/20/48			$	25,750		$	27,469
Ginnie Mae II Pool MA6030
3.50%		07/20/49				72,162,765			74,780,981
Ginnie Mae II Pool MA6080
3.00%		08/20/49				12,924			13,309
Ginnie Mae II Pool MA6081
3.50%		08/20/49				24,751,353			25,649,384
Ginnie Mae II Pool MA6209
3.00%		10/20/49				23,526,569			24,278,367
Ginnie Mae II Pool MA6210
3.50%		10/20/49				12,550,525			12,966,664
Ginnie Mae Pool (TBA)
2.00%		10/20/50				1,730,300,000			1,798,025,067
2.50%		10/20/50				1,192,850,000			1,252,585,721
Ginnie Mae, Series 2003-86, Class ZK
5.00%		10/20/33				6,114,821			6,894,960
Ginnie Mae, Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
6.60%		06/16/37	¹			10,967,147			2,553,220
Ginnie Mae, Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
6.09%		03/20/36	¹			9,581,138			1,193,465
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.64%		05/20/37	¹			23,974,287			3,701,922
Ginnie Mae, Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
6.32%		12/20/39	¹			3,950,769			920,560
Ginnie Mae, Series 2009-17, Class P
4.00%		08/16/38				4,070			4,128
Ginnie Mae, Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.65%		07/16/39	¹			37,506			6,108
Ginnie Mae, Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
6.15%		08/16/38	¹			57,814			5,503
Ginnie Mae, Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
6.25%		01/16/40	¹			52,317			11,950
Ginnie Mae, Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
5.65%		01/16/40	¹			9,512,151			1,909,907
Ginnie Mae, Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
6.35%		09/16/39	¹			1,947,084			169,098
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41				114,155			23,634



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2013-113, Class LY
3.00%		05/20/43			$	51,184,000		$	55,921,389
Ginnie Mae, Series 2014-108, Class PA
2.63%		12/20/39				12,885,353			13,439,131
Ginnie Mae, Series 2018-124, Class NW
3.50%		09/20/48				1,681,558			1,817,930
Ginnie Mae, Series 2019-1, Class NP
3.50%		01/20/49				26,590,003			28,236,557
Ginnie Mae, Series 2019-119, Class JE
3.00%		09/20/49				28,051,695			28,775,088
Ginnie Mae, Series 2019-15, Class GT
3.50%		02/20/49				27,952,271			29,774,386
Ginnie Mae, Series 2019-44, Class CA
3.50%		12/20/48				11,954,165			12,491,558
Ginnie Mae, Series 2019-71, Class PT
3.00%		06/20/49				8,951,576			9,383,793
Ginnie Mae, Series 2019-86, Class C
2.50%		03/20/49				30,613,592			32,169,685
Ginnie Mae, Series 2019-90, Class HE
3.00%		07/20/49				34,769,958			36,343,051
NCUA Guaranteed Notes Trust,
Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
0.60%		10/07/20	¹			4,643,574			4,644,945
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
0.71%		12/08/20	¹			5,764,149			5,765,648
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
0.71%		12/08/20	¹			15,682,876			15,683,339
UMBS (TBA)
1.50%		10/01/35				436,700,000			446,866,926
2.00%		10/01/35				1,263,950,000			1,314,112,952
2.00%		10/01/50				4,602,100,000			4,757,975,934
2.50%		10/01/50				1,432,200,000			1,502,434,658
2.50%		11/01/50				1,137,500,000			1,191,316,285


									28,568,181,061


Total Mortgage-Backed
(Cost $33,963,715,859)									34,801,031,825


MUNICIPAL BONDS — 1.21%*
California — 0.51%
Los Angeles Department of Airports,
Revenue Bonds, Port, Airport and Marina
Improvements, Series A
5.00%		05/15/35				4,000,000			4,949,240
5.00%		05/15/36				1,110,000			1,368,464



Issues	Maturity Date		Principal Amount			Value
MUNICIPAL BONDS (continued)
California (continued)
5.00%		05/15/44		$	7,185,000		$	8,642,621
Los Angeles Department of Airports,
Revenue Bonds, Port, Airport and Marina
Improvements, Series C
5.00%		05/15/34			12,280,000			15,661,084
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			490,231
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			16,027,564
Los Angeles Unified School District, Build
America Bonds, School Improvements,
Series RY
6.76%		07/01/34			12,165,000			17,997,509
Los Angeles Unified School District, Build
America Taxable Bonds, School
Improvements, Series KR
5.75%		07/01/34			10,755,000			15,030,650
Regents of the University of California
Medical Center Pooled Revenue, Taxable
Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.01%		05/15/50			197,665,000			213,765,803
3.26%		05/15/60			40,075,000			44,158,643
San Francisco City & County Airport
Comm-San Francisco International Airport,
Airport and Marina Improvements, Series A
5.00%		05/01/49			70,765,000			83,819,726
State of California, General Obligation
Bonds. Build America Bonds, School
Improvements
7.95%		03/01/36			8,138			7,561
University of California, Taxable, College &
University, Revenue Bonds, University &
College Improvements, Series AP
3.93%		05/15/45			30,115,000			35,532,086


								457,451,182

Florida — 0.05%
County of Miami-Dade Aviation Revenue
Bonds, Airport and Marina Improvements,
Series A
5.00%		10/01/49			11,900,000			14,094,717
Greater Orlando Aviation Authority, Port,
Airport and Marina Improvements, Series A
5.00%		10/01/44			10,000,000			12,013,450
5.00%		10/01/49			17,435,000			20,788,797


								46,896,964



Issues	Maturity Date		Principal Amount			Value
MUNICIPAL BONDS (continued)
Massachusetts — 0.10%
Commonwealth of Massachusetts, General
Obligation Bonds, Public Improvements,
Series C
3.00%		03/01/48		$	59,745,000		$	63,940,891
3.00%		03/01/49			26,430,000			28,249,441


								92,190,332

Missouri — 0.01%
Health & Educational Facilities Authority of the State of Missouri, Taxable Revenue
Bonds, Washington University, University and College Improvements
3.65%		08/15/57			8,515,000			10,524,795

New Jersey — 0.00%
Jersey City Municipal Utilities Authority,
Taxable Bonds, Water Utility Improvements,
Series B
5.47%		05/15/27			400,000			455,340
New Jersey State Turnpike Authority, Build
America Taxable Bonds, Highway
Improvements, Series A
7.10%		01/01/41			285,000			468,936
New Jersey Turnpike Authority, Taxable
Bonds, Highway Revenue, Series F
3.73%		01/01/36			300,000			354,330


								1,278,606

New York — 0.53%
City of New York, Build America Bonds,
Public Improvements
4.77%		10/01/23			4,420,000			4,931,748
5.21%		10/01/31			6,420,000			8,014,856
5.52%		10/01/37			6,075,000			8,623,645
5.82%		10/01/31			220,000			220,235
City of New York, Build America Taxable
Bonds, Public Improvements, Series F1
6.65%		12/01/31			43,210,000			43,646,421
City of New York, General Obligation Bonds,
Public Improvements, Series D-1
4.00%		03/01/50			7,000,000			7,898,380
Metropolitan Transportation Authority, Green
Taxable Bonds, Transit Improvements,
Series C2
5.18%		11/15/49			48,140,000			50,231,203
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Taxable Bonds, Public Improvements,
Subseries C5
3.90%		05/01/31			15,000,000			17,152,500
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			7,294,499



Issues	Maturity Date		Principal Amount			Value
MUNICIPAL BONDS (continued)
New York (continued)
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		$	3,595,030
New York City Transitional Finance Authority
Revenue, Future Tax Secured Revenue,
Build America Bonds, Public Improvements
5.51%		08/01/37			25,000,000			34,943,000
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			15,912,527
New York City Water & Sewer System
Revenue Bonds, Water Utility Improvements
3.00%		06/15/50			25,595,000			26,540,735
New York City Water & Sewer System,
Revenue Bonds, Series EE
3.50%		06/15/42			80,000,000			97,767,999
New York State Dormitory Authority, Build
America Bonds, University & College
Improvements
5.29%		03/15/33			44,990,000			57,550,758
New York State Dormitory Authority,
Revenue Bonds, Health, Hospital and
Nursing Home Improvements, Series A
4.00%		07/01/50			40,195,000			44,941,427
4.00%		07/01/53			4,855,000			5,410,644
New York State Dormitory Authority,
Revenue Bonds, School Improvements,
Series A
4.00%		03/15/48			9,870,000			11,086,478
New York State Dormitory Authority,
Unrefunded Build America Bonds, University
& College Improvements
5.43%		03/15/39			21,400,000			29,320,354
New York State Urban Development Corp.,
Build America Taxable Bonds, Public
Improvements
5.77%		03/15/39			150,000			196,358


								475,278,797

Texas — 0.01%
Texas A&M University, Taxable Bond,
University & College Improvements, Series B
2.69%		05/15/25			350,000			382,965
Texas Transportation Commission State
Highway Fund, Build America Taxable
Bonds, Highway Improvements, Series B
5.18%		04/01/30			3,075,000			3,948,485


								4,331,450


Total Municipal Bonds
(Cost $1,011,943,565)								1,087,952,126



Issues	Maturity Date			Principal Amount			Value
U.S. TREASURY SECURITIES — 35.46%
U.S. Treasury Bonds — 5.97%
U.S. Treasury Bonds
1.13%		05/15/40			$	1,000,000		$	986,406
1.13%		08/15/40				100,000,000			98,351,562
1.25%		05/15/50				1,337,126,000			1,270,896,478
U.S. Treasury Bonds - Treasury Inflation
Indexed Bonds
0.25%		02/15/50	¹¹			306,540,510			362,452,166
U.S. Treasury Bonds (WI)
1.38%		08/15/50				3,673,291,000			3,604,703,788


									5,337,390,400

U.S. Treasury Notes — 29.49%
U.S. Treasury Notes
0.13%		07/31/22				2,601,971,000			2,602,072,633
0.13%		08/31/22				3,571,358,000			3,571,427,820
0.13%		09/30/22				7,543,936,000			7,543,788,667
0.25%		08/31/25				5,942,429,000			5,938,250,581
0.25%		09/30/25				3,980,260,000			3,976,372,878
0.38%		09/30/27				1,052,371,000			1,045,875,903
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.13%		04/15/25	¹¹			200,586,898			213,499,679
0.13%		07/15/30	¹¹			376,171,545			418,352,435
U.S. Treasury Notes (WI)
0.63%		08/15/30				1,081,738,000			1,076,498,332


									26,386,138,928

Total U.S. Treasury Securities
(Cost $31,783,582,634)									31,723,529,328


Total Bonds – 104.58%
(Cost $91,590,281,758)									93,565,326,745



Issues				Shares			Value
COMMON STOCK — 0.00%
Electric — 0.00%
Homer City Holdings
LLC^4,5,6,12						1,180,703			64,939

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

Issues	Maturity Date			Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS — 10.34%
Commercial Paper — 0.26%
Ford Motor Credit Co. LLC
2.88%¹³		01/08/21	²			38,155,000			37,839,585
3.20%¹³		10/08/20	²			191,145,000			191,117,035
3.20%¹³		10/14/20	²			7,365,000			7,363,105


									236,319,725



Issues	Maturity Date		Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds — 0.32%
Dreyfus Government Cash Management
Fund
2.33%¹⁴					286,767,464		$	286,767,464
U.S. Agency Discount Notes — 2.44%
Federal Home Loan Bank
0.00%¹³		12/01/20		$	200,000,000			199,979,000
0.08%¹³		10/15/20			34,700,000			34,699,325
0.10%¹³		11/10/20			147,200,000			147,190,186
0.10%¹³		11/27/20			200,000,000			199,981,000
0.11%¹³		10/29/20			250,000,000			249,990,278
0.11%¹³		11/13/20			100,000,000			99,992,833
0.16%¹³		11/23/20			250,000,000			249,977,918
0.16%¹³		11/30/20			500,000,000			499,950,000
0.20%¹³		11/16/20			500,000,000			499,944,625


								2,181,705,165

U.S. Treasury Bills — 7.32%
U.S. Cash Management Bills
0.10%¹³		02/16/21			1,000,000,000			999,635,830
U.S. Treasury Bills
0.11%¹³		02/04/21			1,000,000,000			999,632,500
0.11%¹³		02/11/21			500,000,000			499,819,900
0.12%¹³		10/15/20			842,000			841,975
0.12%¹³		01/21/21			1,000,000,000			999,688,900
0.13%¹³		01/28/21			500,000,000			499,838,850
0.14%¹³		01/14/21			1,000,000,000			999,708,350
0.16%¹³		10/27/20			50,000,000			49,997,563
0.17%¹³		11/24/20			500,000,000			499,941,875
0.18%¹³		12/10/20			500,000,000			499,907,650
U.S. Treasury Bills (WI)
0.17%¹³		11/10/20			500,000,000			499,962,500


								6,548,975,893

Total Short-Term Investments
(Cost $9,252,963,395)								9,253,768,247

Total Investments – 114.92%
(Cost $100,908,432,593)								102,819,159,931


Net unrealized appreciation on unfunded commitments 0.00%								78,171
Liabilities in Excess of Other

Assets – (14.92)%								(13,347,996,012	)


Net Assets – 100.00%							$	89,471,163,919

¹	Floating rate security. The rate disclosed was in effect at September 30, 2020.

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	Non-income producing security.

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 $22,288,020, which is 0.02% of total net assets.

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

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $3,011,158, at an interest rate of 3.60% and a maturity of July 14, 2021. The investment is not accruing an unused commitment fee.

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	Zero coupon bond. The rate shown is the effective yield as of September 30, 2020.

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

¹²	Affiliated investment.

¹³	Represents annualized yield at date of purchase.

¹⁴	Represents the current yield as of September 30, 2020.

^†

Fair valued security. The aggregate value of fair valued securities is $1,300,431, 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.

*	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

(GBP): British Pound

(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 – 39.64%

ASSET-BACKED SECURITIES — 2.56%**

Countrywide Asset-Backed Certificates Trust,

Series 2005-11, Class MV3

(LIBOR USD 1-Month plus 0.53%)

0.68%

02/25/36

181,147

179,598

Countrywide Asset-Backed Certificates Trust,

Series 2005-3, Class MV5

(LIBOR USD 1-Month plus 1.01%)

1.15%

08/25/35

571,438

572,229

Countrywide Asset-Backed Certificates Trust,

Series 2005-4, Class MV5

(LIBOR USD 1-Month plus 1.01%)

1.15%

10/25/35

800,000

781,109

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

1.30%

05/25/34

^1,2

365,863

365,364

MASTR Asset-Backed Securities Trust,

Series 2005-OPT1, Class M3

(LIBOR USD 1-Month plus 0.69%)

0.84%

03/25/35

968,410

967,283

Morgan Stanley ABS Capital I Trust,

Series 2005-WMC3, Class M4

(LIBOR USD 1-Month plus 0.93%)

1.08%

03/25/35

769,717

770,796

Nelnet Student Loan Trust, Series 2012-5A,

Class A

(LIBOR USD 1-Month plus 0.60%)

0.78%

10/27/36

^1,2

341,620

334,784

Park Place Securities, Inc., Asset-Backed

Pass-Through Certificates,

Series 2005-WHQ3, Class M4

(LIBOR USD 1-Month plus 0.95%)

1.09%

06/25/35

548,000

546,490

PFS Financing Corp.,

Series 2017-D, Class A

2.40%

10/17/22

300,000

300,200

PFS Financing Corp.,

Series 2018-B, Class A

2.89%

02/15/23

300,000

302,726

SLM Student Loan Trust, Series 2003-10A,

Class A3

(LIBOR USD 3-Month plus 0.47%)

0.72%

12/15/27

^1,2

180,237

179,225

SLM Student Loan Trust, Series 2003-14,

Class A6

(LIBOR USD 3-Month plus 0.30%)

0.54%

07/25/25

221,893

220,800

SLM Student Loan Trust, Series 2005-8,

Class A4

(LIBOR USD 3-Month plus 0.55%)

0.79%

01/25/28

143,696

143,755



Issues	Maturity Date			Principal Amount			Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2007-6,
Class A4
(LIBOR USD 3-Month plus 0.38%)
0.62%		10/25/24	¹		$	125,993		$	125,894
SLM Student Loan Trust, Series 2007-8,
Class A4
(LIBOR USD 3-Month plus 0.47%)
0.71%		01/26/26	¹			139,071			138,288
SLM Student Loan Trust, Series 2013-4,
Class A
(LIBOR USD 1-Month plus 0.55%)
0.70%		06/25/43	¹			124,945			122,005

Total Asset-Backed Securities
(Cost $5,949,012)									6,050,546


CORPORATES — 8.69%*
Banking — 1.25%
HSBC Holdings PLC (United Kingdom)
3.95%		05/18/24	^3,4			1,000,000			1,070,096
JPMorgan Chase & Co.
(LIBOR USD 3-Month plus 1.00%)
1.28%		01/15/23	¹			200,000			201,802
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,4			145,000			150,466
Santander UK Group Holdings PLC
(United Kingdom)
3.13%		01/08/21	⁴			500,000			503,647
3.57%		01/10/23	⁴			150,000			155,034
Wells Fargo & Co. (MTN)
3.75%		01/24/24				805,000			875,827


									2,956,872

Communications — 0.43%
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²			260,000			262,891
4.74%		03/20/25	²			480,000			520,500
5.15%		03/20/28	²			200,000			236,125


									1,019,516

Consumer Discretionary — 0.23%
BAT Capital Corp.
2.76%		08/15/22				400,000			414,763
Constellation Brands, Inc.
(LIBOR USD 3-Month plus 0.70%)
0.98%		11/15/21	¹			125,000			125,009


									539,772

Electric — 1.21%
Alliant Energy Finance LLC
3.75%		06/15/23	²			725,000			779,037



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Electric (continued)
Dominion Energy, Inc., Series B
2.75%		09/15/22			$	350,000		$	362,094
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²			450,000			472,921
Evergy, Inc.
4.85%		06/01/21				325,000			330,801
NextEra Energy Capital Holdings, Inc.
2.40%		09/01/21				250,000			254,823
(LIBOR USD 3-Month plus 0.55%)
0.81%		08/28/21	¹			250,000			250,099
PNM Resources, Inc.
3.25%		03/09/21				400,000			404,592


									2,854,367

Finance — 1.50%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
4.45%		12/16/21	⁴			100,000			102,193
5.00%		10/01/21	⁴			150,000			154,662
Air Lease Corp.
3.50%		01/15/22				200,000			205,223
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.95%)
1.21%		07/24/23	¹			308,000			310,295
Daimler Finance North America LLC
2.20%		10/30/21	²			65,000			66,065
(LIBOR USD 3-Month plus 0.90%)
1.18%		02/15/22	^1,2			290,000			291,099
Ford Motor Credit Co. LLC
2.34%		11/02/20				50,000			50,000
3.20%		01/15/21				250,000			249,941
3.81%		10/12/21				50,000			50,219
(LIBOR USD 3-Month plus 0.81%)
1.04%		04/05/21	¹			480,000			473,274
General Motors Financial Co., Inc.
4.38%		09/25/21				545,000			562,369
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,4			500,000			519,746
Park Aerospace Holdings Ltd.
(Cayman Islands)
3.63%		03/15/21	^2,4			100,000			99,204
4.50%		03/15/23	^2,4			100,000			99,152
5.25%		08/15/22	^2,4			295,000			296,324


									3,529,766

Food — 0.31%
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
0.77%		10/09/20	¹			325,000			325,030



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Food (continued)
Smithfield Foods, Inc.
3.35%		02/01/22	²		$	400,000		$	406,280


									731,310

Health Care — 1.49%
AbbVie, Inc.
3.25%		10/01/22	²			200,000			209,146
Anthem, Inc.
3.70%		08/15/21				500,000			510,200
Bausch Health Cos., Inc. (Canada)
7.00%		03/15/24	^2,4			280,000			290,080
Bayer U.S. Finance II LLC
2.20%		07/15/22	²			600,000			607,611
3.88%		12/15/23	²			140,000			153,074
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	²			200,000			212,828
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.74%		09/29/23	¹			655,000			655,874
Shire Acquisitions Investments Ireland DAC
(Ireland)
2.40%		09/23/21	⁴			82,000			83,496
Upjohn, Inc.
1.13%		06/22/22	²			550,000			554,401
Zimmer Biomet Holdings, Inc.
(LIBOR USD 3-Month plus 0.75%)
0.98%		03/19/21	¹			240,000			240,043


									3,516,753

Industrials — 0.69%
BAE Systems Holdings, Inc.
2.85%		12/15/20	²			350,000			350,976
Bemis Co., Inc.
4.50%		10/15/21				385,000			396,018
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.38%)
0.63%		05/05/26	¹			150,000			139,448
General Electric Co., Series NOTZ
(LIBOR USD 3-Month plus 1.00%)
1.28%		04/15/23	¹			750,000			745,827


									1,632,269



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Information Technology — 0.03%
Dell International LLC/EMC Corp.
4.42%		06/15/21	²		$	62,000		$	63,473

Insurance — 0.21%
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^2,3			500,000			500,014

Materials — 0.16%
Nutrition & Biosciences, Inc.
0.70%		09/15/22	²			375,000			375,727

Real Estate Investment Trust (REIT) — 0.51%
Boston Properties LP
4.13%		05/15/21				500,000			504,843
Essex Portfolio LP
5.20%		03/15/21				350,000			353,080
Healthcare Realty Trust, Inc.
3.75%		04/15/23				200,000			214,834
Highwoods Realty LP
3.20%		06/15/21				131,000			132,264


									1,205,021

Services — 0.13%
IHS Markit Ltd. (Bermuda)
5.00%		11/01/22	^2,4			280,000			300,935

Transportation — 0.54%
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23				335,264			288,208
Aviation Capital Group LLC
(LIBOR USD 3-Month plus 0.95%)
1.20%		06/01/21	^1,2			250,000			244,626
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20				25			26
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22				303,569			298,021
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23				147,941			142,023
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22				295,680			288,396


									1,261,300

Total Corporates
(Cost $20,427,885)									20,487,095



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED — 16.87%**
Non-Agency Commercial
Mortgage-Backed — 3.36%
Barclays Commercial Mortgage Securities
Trust, Series 2017-C1, Class A2
3.19%		02/15/50			$	145,000		$	148,675
BX Commercial Mortgage Trust,
Series 2018-IND, Class A
(LIBOR USD 1-Month plus 0.75%)
0.90%		11/15/35	^1,2			78,889			79,033
BX Commercial Mortgage Trust,
Series 2020-BXLP, Class A
(LIBOR USD 1-Month plus 0.80%)
0.95%		12/15/36	^1,2			249,771			250,100
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%		05/10/58				450,000			478,735
Citigroup Commercial Mortgage Trust,
Series 2015-GC33, Class A2
2.95%		09/10/58				824,676			828,366
Commercial Mortgage Trust,
Series 2013-CR9, Class ASB
3.83%		07/10/45				376,888			394,516
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.48%		01/10/46	³			2,730,339			63,663
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class A2
3.05%		09/15/50				950,000			982,702
DBRR Trust,
Series 2011-LC2, Class A4A
4.54%		07/12/44	^2,3			436,681			439,955
GS Mortgage Securities Trust,
Series 2011-GC5, Class A3
3.82%		08/10/44				263,716			265,496
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%		05/15/48	²			586,468			592,538
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C4,
Class A4
4.39%		07/15/46	²			272,166			275,296
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C5,
Class A3
4.17%		08/15/46				385,836			393,664
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C6,
Class ASB
3.14%		05/15/45				287,508			293,772
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C12, Class XA (IO)
0.75%		10/15/46	³			2,820,850			42,408
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2014-C15, Class A3
3.77%		04/15/47				105,298			113,762



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A4
4.12%		07/15/49			$	274,693		$	276,673
UBS Commercial Mortgage Trust,
Series 2012-C1, Class XA (IO)
2.25%		05/10/45	^2,3			2,179,829			46,365
UBS Commercial Mortgage Trust,
Series 2018-C11, Class A1
3.21%		06/15/51				81,946			83,673
UBS-Barclays Commercial Mortgage Trust,
Series 2013-C5, Class XA (IO)
1.08%		03/10/46	^2,3			3,890,247			66,915
VNDO Mortgage Trust, Series 2013-PENN,
Class A
3.81%		12/13/29	²			710,000			709,552
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class A2
2.60%		06/15/49				550,000			553,047
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class A2
2.50%		11/15/59				210,000			212,174
Wells Fargo Commercial Mortgage Trust,
Series 2016-LC24, Class A2
2.50%		10/15/49				228,311			229,625
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class XA (IO)
1.83%		11/15/44	^2,3			6,938,713			69,952
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
2.04%		11/15/45	^2,3			1,446,381			43,883


									7,934,540

Non-Agency Mortgage-Backed — 5.93%
Aames Mortgage Investment Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.56%)
0.71%		04/25/36	¹			406,118			401,488
Aames Mortgage Trust,
Series 2002-1, Class A3
(STEP-reset date 11/25/20)
7.40%		06/25/32				18,121			18,411
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
3.55%		05/25/35	³			51,393			51,154
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1
(STEP-reset date 10/25/20)
2.86%		07/25/59	²			310,944			321,350
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%		11/25/31				57,095			59,730

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Banc of America Funding Trust,

Series 2003-2, Class 1A1

6.50%

06/25/32

2,889

2,970

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

Class 1M1

(LIBOR USD 1-Month plus 0.75%)

0.90%

03/25/35

665,605

661,114

Carrington Mortgage Loan Trust,

Series 2005-NC4, Class M2

(LIBOR USD 1-Month plus 0.50%)

0.65%

09/25/35

581,024

582,935

Centex Home Equity Loan Trust,

Series 2006-A, Class AV4

(LIBOR USD 1-Month plus 0.25%)

0.40%

06/25/36

270,561

267,290

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-HYB1, Class A41

2.92%

02/25/34

13,538

13,509

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-AMC4, Class A2D

(LIBOR USD 1-Month plus 0.27%)

0.42%

05/25/37

500,000

468,787

Credit Suisse First Boston Mortgage

Securities Corp., Series 2002-AR31,

Class 4A2

3.91%

11/25/32

20,174

20,240

Credit-Based Asset Servicing and

Securitization LLC, Series 2005-CB4,

Class M4

(LIBOR USD 1-Month plus 0.60%)

0.75%

07/25/35

1,000,000

981,442

DSLA Mortgage Loan Trust,

Series 2004-AR3, Class 2A2A

(LIBOR USD 1-Month plus 0.74%)

0.90%

07/19/44

121,481

113,229

GE Mortgage Services LLC,

Series 1998-HE1, Class A7

6.47%

06/25/28

GSAA Home Equity Trust,

Series 2005-MTR1, Class A4

(LIBOR USD 1-Month plus 0.37%)

0.52%

10/25/35

427,303

421,862

HomeBanc Mortgage Trust,

Series 2005-4, Class A1

(LIBOR USD 1-Month plus 0.27%)

0.42%

10/25/35

807,634

807,615

HSI Asset Securitization Corp. Trust,

Series 2006-OPT1, Class M1

(LIBOR USD 1-Month plus 0.36%)

0.51%

12/25/35

295,000

287,945

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

IndyMac Index Mortgage Loan Trust,

Series 2004-AR12, Class A1

(LIBOR USD 1-Month plus 0.78%)

0.93%

12/25/34

355,063

292,915

IndyMac Index Mortgage Loan Trust,

Series 2004-AR6, Class 6A1

3.45%

10/25/34

109,324

106,473

JPMorgan Mortgage Acquisition Trust,

Series 2006-CH1, Class M1

(LIBOR USD 1-Month plus 0.22%)

0.37%

07/25/36

511,139

510,146

JPMorgan Mortgage Acquisition Trust,

Series 2006-NC2, Class A5

(LIBOR USD 1-Month plus 0.25%)

0.40%

07/25/36

388,409

377,847

JPMorgan Mortgage Trust, Series 2005-A2,

Class 9A1

3.86%

04/25/35

170,735

168,704

Long Beach Mortgage Loan Trust,

Series 2005-WL1, Class M3

(LIBOR USD 1-Month plus 0.90%)

1.05%

06/25/35

891,446

891,066

MASTR Adjustable Rate Mortgages Trust,

Series 2004-12, Class 5A1

3.31%

10/25/34

154,101

MASTR Adjustable Rate Mortgages Trust,

Series 2004-5, Class 3A1

4.13%

06/25/34

5,761

6,019

MASTR Seasoned Securitization Trust,

Series 2004-1, Class 4A1

2.99%

10/25/32

29,045

29,044

Merrill Lynch Mortgage Investors Trust,

Series 2003-A1, Class 2A

(LIBOR USD 12-Month plus 1.63%)

2.07%

12/25/32

153,674

147,863

Nomura Resecuritization Trust,

Series 2014-8R, Class 2A1

3.00%

09/26/35

^2,3

683,840

Nomura Resecuritization Trust,

Series 2015-9R, Class 2A1

(STEP-reset date 11/25/20)

3.00%

05/25/36

906,463

Option One Mortgage Loan Trust,

Series 2005-4, Class M1

(LIBOR USD 1-Month plus 0.66%)

0.81%

11/25/35

736,367

736,520

Residential Asset Mortgage Products Trust,

Series 2004-SL1, Class A2

8.50%

11/25/31

34,570

Residential Asset Securitization Trust,

Series 2004-IP2, Class 2A1

3.54%

12/25/34

77,518

76,314

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Asset Securitization Trust,

Series 2006-KS3, Class M1

(LIBOR USD 1-Month plus 0.33%)

0.48%

04/25/36

780,000

762,095

Soundview Home Loan Trust,

Series 2006-1, Class A4

(LIBOR USD 1-Month plus 0.30%)

0.45%

02/25/36

808,392

801,960

Structured Asset Investment Loan Trust,

Series 2005-HE3, Class M1

(LIBOR USD 1-Month plus 0.72%)

0.87%

09/25/35

511,841

509,332

Structured Asset Securities Corp. Mortgage

Loan Trust, Series 2006-EQ1A, Class A1

(LIBOR USD 1-Month plus 0.14%)

0.28%

07/25/36

^1,2

460,409

431,729

Structured Asset Securities Corp. Mortgage

Loan Trust, Series 2006-OPT1, Class A1

(LIBOR USD 1-Month plus 0.18%)

0.33%

04/25/36

737,897

707,379

Terwin NIMs Trust, Series 2004-13AL,

Class 2PX (IO)

0.34%

08/25/34

^2,5,6

1,521,655

22,163

WaMu Mortgage Pass-Through Certificates,

Series 2002-AR6, Class A

(Federal Reserve US 12-Month Cumulative

Average plus 1.40%)

2.42%

06/25/42

21,460

20,498

WaMu Mortgage Pass-Through Certificates,

Series 2003-AR6, Class A1

3.11%

06/25/33

49,200

49,578

WaMu Mortgage Pass-Through Certificates,

Series 2005-4, Class CB13

(LIBOR USD 1-Month plus 0.50%)

0.65%

06/25/35

139,726

113,332

13,986,465

U.S. Agency Commercial

Mortgage-Backed — 2.44%

Fannie Mae-Aces, Series 2012-M4,

Class X1 (IO)

0.53%

04/25/22

3,643,760

10,950

Fannie Mae-Aces, Series 2016-M11,

Class AL

2.94%

07/25/39

272,582

280,062

Fannie Mae-Aces, Series 2018-M1,

Class A1

3.08%

12/25/27

388,474

413,803

Fannie Mae-Aces, Series 2020-M10,

Class X1 (IO)

1.92%

12/25/30

204,886

28,206



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series J22F,
Class A1
3.45%		05/25/23			$	27,157		$	27,342
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K021,
Class X1 (IO)
1.54%		06/25/22	³			9,075,988			177,560
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ17,
Class A1
2.40%		10/25/24				27,483			27,849
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ24,
Class A1
2.28%		05/25/26				595,296			624,593
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ26,
Class A1
2.14%		07/25/25				1,091,290			1,127,402
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ28,
Class A1
1.77%		02/25/25				247,974			255,674
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ29,
Class A1
0.74%		01/25/26				916,495			924,759
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS07,
Class X (IO)
0.78%		09/25/25	³			3,500,000			99,652
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q004,
Class A2H
2.99%		01/25/46	³			182,099			182,637
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q004,
Class AFL
(Federal Reserve US 12-Month Cumulative
Average plus 0.74%)
1.76%		05/25/44	¹			228,692			228,878
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q010,
Class APT1
2.94%		04/25/46	³			306,977			316,442
Ginnie Mae, Series 2007-12, Class C
5.28%		04/16/41	³			229,119			232,121
Ginnie Mae, Series 2008-92, Class E
5.56%		03/16/44	³			191,040			194,955
Ginnie Mae, Series 2010-159, Class D
4.29%		09/16/44	³			484,247			499,904
Ginnie Mae, Series 2011-165, Class IO (IO)
0.26%		10/16/51	³			6,749,432			17,588



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae, Series 2012-135, Class IO (IO)
0.56%		01/16/53	³		$	2,664,624		$	72,690


									5,743,067

U.S. Agency Mortgage-Backed — 5.14%
Fannie Mae Pool 254548
5.50%		12/01/32				92,014			107,669
Fannie Mae Pool 468764
4.16%		07/01/21				630,000			633,563
Fannie Mae Pool 555098
(LIBOR USD 12-Month plus 1.51%)
3.30%		11/01/32	¹			13,370			13,370
Fannie Mae Pool 555424
5.50%		05/01/33				60,474			69,733
Fannie Mae Pool 567002
8.00%		05/01/23				10,081			10,637
Fannie Mae Pool 655133
7.00%		08/01/32				6,390			6,794
Fannie Mae Pool 655151
7.00%		08/01/32				12,371			13,310
Fannie Mae Pool 762525
6.50%		11/01/33				19,949			22,629
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
3.31%		04/01/34	¹			83,099			85,462
Fannie Mae Pool AD0538
6.00%		05/01/24				25,237			26,534
Fannie Mae Pool AE0443
6.50%		10/01/39				67,362			78,896
Fannie Mae Pool AL0851
6.00%		10/01/40				61,451			72,815
Fannie Mae Pool AM4580
3.43%		10/01/23				479,346			511,472
Fannie Mae REMICS, Series 1993-80,
Class S
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)
10.70%		05/25/23	¹			416			461
Fannie Mae REMICS, Series 2001-42,
Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%		09/25/31	¹			1,158			1,322
Fannie Mae REMICS, Series 2001-60,
Class OF
(LIBOR USD 1-Month plus 0.95%)
1.10%		10/25/31	¹			87,173			88,960
Fannie Mae REMICS, Series 2002-30,
Class FB
(LIBOR USD 1-Month plus 1.00%)
1.15%		08/25/31	¹			99,894			101,832

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

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

13,323

16,191

Fannie Mae REMICS, Series 2004-60,

Class FW

(LIBOR USD 1-Month plus 0.45%)

0.60%

04/25/34

312,265

314,207

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

11,911

Fannie Mae REMICS, Series 2005-114,

Class PF

(LIBOR USD 1-Month plus 0.38%)

0.52%

08/25/35

71,472

71,487

Fannie Mae REMICS, Series 2005-73,

Class DF

(LIBOR USD 1-Month plus 0.25%)

0.40%

08/25/35

166,482

166,623

Fannie Mae REMICS, Series 2007-68,

Class SC (IO)

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

6.55%

07/25/37

86,964

20,772

Fannie Mae REMICS, Series 2009-111,

Class DA

5.00%

12/25/39

2,454

2,466

Fannie Mae REMICS, Series 2010-109,

Class PF

(LIBOR USD 1-Month plus 0.40%)

0.55%

10/25/40

63,103

63,620

Fannie Mae REMICS, Series 2010-26,

Class S (IO)

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

6.08%

11/25/36

340,580

77,522

Fannie Mae REMICS, Series 2011-47,

Class GF

(LIBOR USD 1-Month plus 0.57%)

0.72%

06/25/41

1,178,330

1,192,621

Fannie Mae REMICS, Series 2011-8,

Class PF

(LIBOR USD 1-Month plus 0.50%)

0.65%

01/25/40

3,478

3,479

Fannie Mae REMICS, Series 2012-19,

Class FP

(LIBOR USD 1-Month plus 0.50%)

0.65%

12/25/39

304,198

305,512

Fannie Mae REMICS, Series 2014-19,

Class FA

(LIBOR USD 1-Month plus 0.40%)

0.55%

11/25/39

89,826

89,879

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae REMICS, Series 2018-79,

Class FA

(LIBOR USD 1-Month plus 0.25%)

0.40%

11/25/48

88,771

88,551

Fannie Mae REMICS, Series 2019-79,

Class FA

(LIBOR USD 1-Month plus 0.50%)

0.65%

01/25/50

211,035

212,707

Fannie Mae REMICS, Series 2020-10,

Class FA

(LIBOR USD 1-Month plus 0.50%)

0.65%

03/25/50

936,373

943,259

Freddie Mac Gold Pool C90474

7.00%

08/01/21

2,382

2,422

Freddie Mac REMICS, Series 1526,

Class L

6.50%

06/15/23

915

968

Freddie Mac REMICS, Series 2368,

Class AF

(LIBOR USD 1-Month plus 0.95%)

1.10%

10/15/31

64,262

65,436

Freddie Mac REMICS, Series 2733,

Class FB

(LIBOR USD 1-Month plus 0.60%)

0.75%

10/15/33

602,249

611,101

Freddie Mac REMICS, Series 2990,

Class LE

(LIBOR USD 1-Month plus 0.32%)

0.47%

10/15/34

272,141

272,523

Freddie Mac REMICS, Series 3066,

Class PF

(LIBOR USD 1-Month plus 0.30%)

0.45%

04/15/35

166,389

166,478

Freddie Mac REMICS, Series 3085,

Class FW

(LIBOR USD 1-Month plus 0.70%)

0.85%

08/15/35

391,351

397,321

Freddie Mac REMICS, Series 3196,

Class FA

(LIBOR USD 1-Month plus 0.35%)

0.50%

04/15/32

82,382

82,408

Freddie Mac REMICS, Series 3300,

Class FA

(LIBOR USD 1-Month plus 0.30%)

0.45%

08/15/35

364,217

366,172

Freddie Mac REMICS, Series 3325,

Class NF

(LIBOR USD 1-Month plus 0.30%)

0.45%

08/15/35

73,166

73,559

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac REMICS, Series 3652,

Class PF

(LIBOR USD 1-Month plus 0.75%)

0.90%

07/15/32

17,137

17,174

Freddie Mac REMICS, Series 3767,

Class JF

(LIBOR USD 1-Month plus 0.30%)

0.45%

02/15/39

98,196

98,315

Freddie Mac REMICS, Series 3792,

Class DF

(LIBOR USD 1-Month plus 0.40%)

0.55%

11/15/40

67,687

67,310

Freddie Mac REMICS, Series 3806,

Class DF

(LIBOR USD 1-Month plus 0.40%)

0.55%

08/15/25

48,391

48,432

Freddie Mac REMICS, Series 3845,

Class FQ

(LIBOR USD 1-Month plus 0.25%)

0.40%

02/15/26

127,226

127,298

Freddie Mac REMICS, Series 3879,

Class MF

(LIBOR USD 1-Month plus 0.35%)

0.50%

09/15/38

150,335

150,613

Freddie Mac REMICS, Series 3895,

Class BF

(LIBOR USD 1-Month plus 0.50%)

0.65%

07/15/41

240,872

244,307

Freddie Mac REMICS, Series 3907,

Class FM

(LIBOR USD 1-Month plus 0.35%)

0.50%

05/15/26

76,980

77,208

Freddie Mac REMICS, Series 3940,

Class PF

(LIBOR USD 1-Month plus 0.35%)

0.50%

05/15/40

392,754

393,322

Freddie Mac REMICS, Series 3946,

Class FG

(LIBOR USD 1-Month plus 0.35%)

0.50%

10/15/39

204,618

204,891

Freddie Mac REMICS, Series 4097,

Class TF

LIBOR USD 1-Month

0.55%

05/15/39

87,540

87,825

Freddie Mac Strips, Series 263,

Class F5

(LIBOR USD 1-Month plus 0.50%)

0.65%

06/15/42

344,119

347,039

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Ginnie Mae II Pool 80546

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.13%

10/20/31

7,434

7,779

Ginnie Mae II Pool 80610

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

2.88%

06/20/32

90,452

94,810

Ginnie Mae II Pool 80614

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.25%

07/20/32

9,760

10,210

Ginnie Mae II Pool 80687

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

2.88%

04/20/33

70,740

74,235

Ginnie Mae II Pool 8339

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.13%

12/20/23

7,583

7,766

Ginnie Mae II Pool 8684

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.25%

08/20/25

16,975

17,428

Ginnie Mae II Pool MA0331

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.25%

08/20/42

69,995

72,576

Ginnie Mae, Series 2002-72, Class FB

(LIBOR USD 1-Month plus 0.40%)

0.56%

10/20/32

108,064

108,702

Ginnie Mae, Series 2002-72, Class FC

(LIBOR USD 1-Month plus 0.40%)

0.56%

10/20/32

159,407

160,348

Ginnie Mae, Series 2003-42, Class FA

(LIBOR USD 1-Month plus 0.40%)

0.55%

07/16/31

555,844

556,169

Ginnie Mae, Series 2004-2, Class FW

(LIBOR USD 1-Month plus 1.40%)

1.56%

01/16/34

487,830

499,489

Ginnie Mae, Series 2009-92, Class FC

(LIBOR USD 1-Month plus 0.80%)

0.95%

10/16/39

118,895

121,526

Ginnie Mae, Series 2010-19, Class FD

(LIBOR USD 1-Month plus 0.45%)

0.60%

07/16/39

50,012

50,393

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

1,720,819

23,437



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes Trust,
Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
0.60%		10/07/20	¹		$	544,310		$	544,471
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
0.71%		12/08/20	¹			442,529			442,644


									12,120,371

Total Mortgage-Backed
(Cost $39,665,648)									39,784,443


U.S. TREASURY SECURITIES — 11.52%
U.S. Treasury Notes — 11.52%
U.S. Treasury Floating Rate Notes
0.32%		07/31/21	¹			10,100,000			10,118,415
U.S. Treasury Notes
0.13%		07/31/22				5,245,000			5,245,205
0.13%		08/31/22				560,000			560,011
0.13%		09/30/22				4,175,000			4,174,918
1.13%		09/30/21				7,000,000			7,069,180


Total U.S. Treasury Securities
(Cost $27,113,790)									27,167,729


Total Bonds – 39.64%
(Cost $93,156,335)									93,489,813



Issues	Maturity Date			Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS — 54.99%
Commercial Paper — 0.13%
Ford Motor Credit Co. LLC
2.88%⁷		01/08/21	²			150,000			148,760
3.20%⁷		10/08/20	²			165,000			164,976


									313,736


Money Market Funds — 6.58%
Dreyfus Government Cash Management
Fund
2.33%⁸						10,926,000			10,926,000
Fidelity Investments Money Market Funds -
Government Portfolio
1.00%⁸						29,090			29,090
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.00%⁸						4,570,000			4,570,000


									15,525,090



Issues	Maturity Date		Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills — 48.28%
U.S. Cash Management Bills
0.10%⁷		02/16/21		$	18,000,000		$	17,993,445
U.S. Treasury Bills
0.12%⁷		10/08/20			7,200,000			7,199,925
0.12%⁷		02/04/21			3,000,000			2,998,898
0.13%⁷		01/21/21			8,000,000			7,997,511
0.14%⁷		10/22/20			7,200,000			7,199,696
0.14%⁷		11/05/20			13,000,000			12,999,020
0.14%⁷		11/19/20			2,500,000			2,499,728
0.14%⁷		01/07/21			13,000,000			12,996,948
0.15%⁷		10/27/20			10,000,000			9,999,513
0.16%⁷		11/03/20			5,000,000			4,999,622
0.16%⁷		11/27/20			3,000,000			2,999,561
0.17%⁷		10/15/20			10,000,000			9,999,709
0.18%⁷		12/03/20			11,000,000			10,998,364
U.S. Treasury Bills (WI)
0.17%⁷		11/10/20			3,000,000			2,999,775


								113,881,715


Total Short-Term Investments
(Cost $129,712,318)								129,720,541


Total Investments – 94.63%
(Cost $222,868,653)								223,210,354


Cash and Other Assets, Less
Liabilities – 5.37%								12,676,949


Net Assets – 100.00%							$	235,887,303

¹	Floating rate security. The rate disclosed was in effect at September 30, 2020.

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 $22,163, which is 0.01% of total net assets.

⁷	Represents annualized yield at date of purchase.

⁸	Represents the current yield as of September 30, 2020.

*	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 – 93.47%

ASSET-BACKED SECURITIES — 10.96%**

321 Henderson Receivables VI LLC

Series 2010-1A, Class B

9.31%

07/15/61

296,802

353,508

Apidos CLO XXII, Series 2015-22A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.06%)

1.33%

04/20/31

^1,2,3

5,000,000

4,922,800

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

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

1.46%

04/17/26

^1,2,3

456,738

456,569

Babson CLO Ltd., Series 2044-1A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

1.42%

07/20/25

^1,2,3

363,828

363,783

Barings BDC Static CLO Ltd.,

Series 2019-1A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.02%)

1.30%

04/15/27

^1,2,3

2,564,038

2,557,833

Barings BDC Static CLO Ltd.,

Series 2019-1A, Class A2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

1.93%

04/15/27

^1,2,3

2,400,000

2,384,928

Barings CLO Ltd., Series 2018-3A,

Class A1 (Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

1.22%

07/20/29

^1,2,3

6,850,000

6,786,158

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

0.70%

01/25/35

^1,3

487,647

479,348

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

0.60%

04/25/35

^1,3

859,310

804,211

BlueMountain CLO Ltd., Series 2013-1A,

Class A1R2 (Cayman Islands)

(LIBOR USD 3-Month plus 1.23%)

1.50%

01/20/29

^1,2,3

3,792,403

3,774,427

BlueMountain CLO Ltd., Series 2015-1A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.33%)

1.60%

04/13/27

^1,2,3

1,816,528

1,814,420

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

1.05%

02/25/30

23,392

23,447

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.27%)

0.00%

10/25/32

^1,2,3

8,000,000

8,010,000

CIT Education Loan Trust, Series 2007-1,

Class A

(LIBOR USD 3-Month plus 0.09%)

0.32%

03/25/42

^1,3

2,451,609

2,335,027

CIT Education Loan Trust, Series 2007-1,

Class B

(LIBOR USD 3-Month plus 0.30%)

0.53%

06/25/42

^1,3

2,241,038

1,940,722

CoreVest American Finance Trust,

Series 2019-1, Class XA (IO)

2.35%

03/15/52

^1,4

24,415,302

1,805,296

CoreVest American Finance Trust,

Series 2019-3, Class XA (IO)

2.19%

10/15/52

^1,4

8,082,221

650,203

CoreVest American Finance Trust,

Series 2020-1, Class A2

2.30%

03/15/50

5,197,000

5,253,193

CoreVest American Finance Trust,

Series 2020-3, Class XA (IO)

3.61%

08/15/53

^1,4

24,135,000

3,835,558

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.82%)

1.10%

11/15/28

^1,2,3

7,500,000

7,411,200

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

Class A1RR (Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

1.44%

01/15/28

^1,2,3

4,200,000

4,171,986

ECMC Group Student Loan Trust,

Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.35%)

1.50%

07/26/66

^1,3

14,962,584

15,085,718

ECMC Group Student Loan Trust,

Series 2017-2A, Class A

(LIBOR USD 1-Month plus 1.05%)

1.20%

05/25/67

^1,3

13,928,534

13,831,838

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

Class A

(LIBOR USD 1-Month plus 0.73%)

0.88%

04/25/39

^1,3

109,954

108,610

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

0.95%

04/26/32

^1,3

3,465,000

3,440,403

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

1.20%

03/25/36

66,139

66,554

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

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

Class A2

(LIBOR USD 1-Month plus 1.35%)

1.50%

03/25/36

^1,3

2,617,378

2,645,678

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

Class ARR (Cayman Islands)

(LIBOR USD 3-Month plus 0.85%)

1.12%

01/16/26

^1,2,3

2,865,854

2,853,452

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

0.80%

08/27/46

^1,3

2,530,493

2,416,188

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

Class A2 (Barbados)

3.09%

07/17/29

^1,2

973,667

989,128

Goal Capital Funding Trust,

Series 2006-1, Class B

(LIBOR USD 3-Month plus 0.45%)

0.70%

08/25/42

389,180

339,758

GoldenTree Loan Management U.S. CLO 1

Ltd., Series 2017-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

1.22%

04/20/29

^1,2,3

4,485,000

4,452,170

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

1.30%

05/25/34

^1,3

1,357,354

1,355,500

J.G. Wentworth XXXVII LLC,

Series 2016-1A, Class A

3.41%

06/15/67

6,325,028

7,055,419

J.G. Wentworth XXXVIII LLC,

Series 2017-1A, Class A

3.99%

08/16/60

3,448,074

4,011,448

LCM XXI LP, Series 21A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.88%)

1.15%

04/20/28

^1,2,3

3,575,000

3,536,926

Lehman XS Trust, Series 2006-17,

Class 1A3

(LIBOR USD 1-Month plus 0.25%)

0.40%

08/25/46

11,812,084

11,177,347

Limerock CLO III LLC, Series 2014-3A,

Class A1R (Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

1.47%

10/20/26

^1,2,3

2,256,324

2,255,422

Magnetite XVIII CLO Ltd., Series 2016-18A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.36%

11/15/28

^1,2,3

2,550,000

2,531,844

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Morgan Stanley ABS Capital I Trust,

Series 2006-HE4, Class A4

(LIBOR USD 1-Month plus 0.48%)

0.63%

06/25/36

12,628,139

8,516,705

Nelnet Student Loan Trust, Series 2006-2,

Class B

(LIBOR USD 3-Month plus 0.20%)

0.44%

01/25/38

3,073,152

2,525,457

Nelnet Student Loan Trust, Series 2007-1,

Class A3

(LIBOR USD 3-Month plus 0.07%)

0.32%

05/27/25

810,732

807,561

Nelnet Student Loan Trust, Series 2012-5A,

Class A

(LIBOR USD 1-Month plus 0.60%)

0.78%

10/27/36

^1,3

101,859

99,821

Nelnet Student Loan Trust, Series 2014-4A,

Class A2

(LIBOR USD 1-Month plus 0.95%)

1.10%

11/25/48

^1,3

1,865,000

1,830,081

Nelnet Student Loan Trust, Series 2015-1A,

Class A

(LIBOR USD 1-Month plus 0.59%)

0.74%

04/25/46

^1,3

2,009,611

1,956,925

Nelnet Student Loan Trust, Series 2015-3A,

Class A3

(LIBOR USD 1-Month plus 0.90%)

1.05%

06/25/54

^1,3

11,000,000

10,724,881

Northstar Education Finance, Inc.,

Series 2007-1, Class A2

(LIBOR USD 3-Month plus 0.75%)

1.00%

01/29/46

97,637

96,670

Octagon Investment Partners 25 Ltd.,

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

(LIBOR USD 3-Month plus 0.80%)

1.07%

10/20/26

^1,2,3

3,492,149

3,465,608

OHA Credit Funding 7 Ltd., Series 2020-7A,

Class A (Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

0.00%

10/19/32

^1,2,3

11,000,000

11,013,750

Palmer Square Loan Funding Ltd.,

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

(LIBOR USD 3-Month plus 0.90%)

1.16%

10/24/27

^1,2,3

3,911,437

3,887,777

Palmer Square Loan Funding Ltd.,

Series 2020-2A, Class A2 (Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.82%

04/20/28

^1,2,3

3,785,000

3,757,634

PHEAA Student Loan Trust, Series 2013-3A,

Class A

(LIBOR USD 1-Month plus 0.75%)

0.90%

11/25/42

^1,3

3,236,766

3,153,956

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLC Student Loan Trust I, Series 2002-2,

Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^1,3

150,000

132,475

SLC Student Loan Trust, Series 2004-1,

Class B

(LIBOR USD 3-Month plus 0.29%)

0.57%

08/15/31

485,505

433,206

SLC Student Loan Trust, Series 2008-1,

Class A4A

(LIBOR USD 3-Month plus 1.60%)

1.85%

12/15/32

2,797,093

2,830,416

SLM Student Loan Trust, Series 2003-12,

Class B

(LIBOR USD 3-Month plus 0.59%)

0.84%

03/15/38

4,426,830

4,069,329

SLM Student Loan Trust, Series 2003-4,

Class A5D

(LIBOR USD 3-Month plus 0.75%)

1.00%

03/15/33

^1,3

2,121,724

1,970,328

SLM Student Loan Trust, Series 2003-7,

Class B

(LIBOR USD 3-Month plus 0.57%)

0.82%

09/15/39

3,127,316

2,894,851

SLM Student Loan Trust, Series 2004-10,

Class B

(LIBOR USD 3-Month plus 0.37%)

0.61%

01/25/40

9,083,546

8,035,227

SLM Student Loan Trust, Series 2004-2,

Class B

(LIBOR USD 3-Month plus 0.47%)

0.71%

07/25/39

547,140

498,149

SLM Student Loan Trust, Series 2005-3,

Class B

(LIBOR USD 3-Month plus 0.15%)

0.39%

04/25/40

3,016,702

2,698,092

SLM Student Loan Trust, Series 2006-8,

Class B

(LIBOR USD 3-Month plus 0.23%)

0.47%

01/25/41

3,426,604

3,044,505

SLM Student Loan Trust, Series 2007-2,

Class B

(LIBOR USD 3-Month plus 0.17%)

0.41%

07/25/25

12,800,000

11,007,322

SLM Student Loan Trust, Series 2007-3,

Class A4

(LIBOR USD 3-Month plus 0.06%)

0.30%

01/25/22

171,694

162,438

SLM Student Loan Trust, Series 2007-3,

Class B

(LIBOR USD 3-Month plus 0.15%)

0.39%

01/25/28

12,800,000

9,540,327

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2007-7,

Class B

(LIBOR USD 3-Month plus 0.75%)

0.99%

10/27/70

2,195,000

2,094,737

SLM Student Loan Trust, Series 2007-8,

Class B

(LIBOR USD 3-Month plus 1.00%)

1.24%

04/27/83

4,281,635

3,823,318

SLM Student Loan Trust, Series 2008-2,

Class A3

(LIBOR USD 3-Month plus 0.75%)

0.99%

04/25/23

13,101,672

12,389,456

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

01/25/83

1,000,000

912,549

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

1.44%

04/26/83

710,000

633,382

SLM Student Loan Trust, Series 2008-4,

Class A4

(LIBOR USD 3-Month plus 1.65%)

1.89%

07/25/22

1,129,244

1,113,880

SLM Student Loan Trust, Series 2008-4,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

04/25/73

710,000

646,532

SLM Student Loan Trust, Series 2008-5,

Class A4

(LIBOR USD 3-Month plus 1.70%)

1.94%

07/25/23

5,584,729

5,518,289

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/25/73

7,315,000

6,697,190

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

1.34%

07/25/23

8,706,996

8,406,144

SLM Student Loan Trust, Series 2008-6,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/26/83

710,000

641,465

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

2.09%

07/26/83

820,000

737,641

SLM Student Loan Trust, Series 2008-8,

Class A4

(LIBOR USD 3-Month plus 1.50%)

1.74%

04/25/23

1,417,795

1,408,587

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%)

2.49%

10/25/75

735,000

708,044

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)

1.74%

04/25/23

1,979,109

1,943,387

SLM Student Loan Trust, Series 2008-9,

Class B

(LIBOR USD 3-Month plus 2.25%)

2.49%

10/25/83

7,235,000

6,950,943

SLM Student Loan Trust, Series 2009-3,

Class A

(LIBOR USD 1-Month plus 0.75%)

0.90%

01/25/45

^1,3

7,748,503

7,571,469

SLM Student Loan Trust, Series 2011-2,

Class A2

(LIBOR USD 1-Month plus 1.20%)

1.35%

10/25/34

4,035,000

4,064,257

SLM Student Loan Trust, Series 2012-1,

Class A3

(LIBOR USD 1-Month plus 0.95%)

1.10%

09/25/28

831,803

797,787

SLM Student Loan Trust, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.70%)

0.85%

01/25/29

1,228,496

1,142,947

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

0.80%

05/26/26

3,124,911

3,056,722

SLM Student Loan Trust, Series 2012-7,

Class B

(LIBOR USD 1-Month plus 1.80%)

1.95%

09/25/43

2,200,000

2,086,694

SLM Student Loan Trust, Series 2013-4,

Class A

(LIBOR USD 1-Month plus 0.55%)

0.70%

06/25/43

1,117,933

1,091,624

SLM Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.60%)

0.75%

02/26/29

1,115,250

1,045,683

Store Master Funding, Series 2019-1,

Class A2

3.65%

11/20/49

4,196,759

4,312,958

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/46

1,611,348

1,846,892

Structured Receivables Finance LLC,

Series 2010-B, Class B

7.97%

08/15/36

1,105,022

1,295,584

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

TAL Advantage VII LLC, Series 2020-1A,

Class A

2.05%

09/20/45

10,700,000

10,737,845

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

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

1.49%

07/17/28

^1,2,3

6,300,000

6,274,170

Textainer Marine Containers VIII Ltd.,

Series 2020-2A, Class A

2.10%

09/20/45

9,750,000

9,765,452

Textainer Marine Containers VIII Ltd.,

Series 2020-3A, Class A

2.11%

09/20/45

8,700,000

8,622,994

Total Asset-Backed Securities

(Cost $362,166,796)

355,780,133

BANK LOANS — 1.50%*

Automotive — 0.02%

Panther BF Aggregator 2 LP

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.65%

04/30/26

594,000

580,264

Communications — 0.52%

CenturyLink, Inc.,

Term Loan A, 1st Lien

(LIBOR plus 2.00%)

2.15%

01/31/25

962,500

936,835

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

03/15/27

248,125

238,932

CommScope, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.40%

04/04/26

990,000

967,463

Connect Finco SARL,

Term Loan B

(LIBOR plus 4.50%)

5.50%

12/11/26

2,985,000

2,901,062

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.40%

01/15/26

1,477,500

1,431,941

Frontier Communications Corp.,

Term Loan B, 1st Lien

(PRIME plus 2.75%)

6.00%

06/17/24

6,548,491

6,462,084

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/01/27

500,000

485,313

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

T-Mobile USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

04/01/27

2,074,800

2,075,723

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

03/09/27

1,243,750

1,209,771

16,709,124

Consumer Discretionary — 0.02%

Reynolds Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

02/06/23

619,672

613,593

Electric — 0.02%

Homer City Generation LP,

Term Loan B, 1st Lien⁵

(LIBOR plus 11.00%)

12.95%

04/05/23

^3,6,7,8

704,156

510,513

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.90%

12/31/25

231,765

228,738

1.90%

12/31/25

55,852

55,122

794,373

Finance — 0.19%

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

2.50%

01/15/25

175,812

171,380

Delos Finance SARL,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.97%

10/06/23

5,956,840

5,836,959

6,008,339

Food — 0.03%

Hostess Brands LLC,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

3.00%

08/03/25

1,042,105

1,027,776

Health Care — 0.36%

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

493,435

483,838

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.91%

08/01/27

3,808,772

3,707,592

Gentiva Health Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.44%

07/02/25

1,440,499

1,413,497

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.10%

11/15/27

248,125

243,531

MPH Acquisition Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

3.75%

06/07/23

350,000

345,063

U.S. Renal Care, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

5.15%

06/26/26

1,683,000

1,644,501

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.15%

06/02/25

3,941,677

3,871,062

11,709,084

Industrials — 0.10%

Berry Plastics Group, Inc.,

Term Loan Y, 1st Lien

(LIBOR plus 2.00%)

2.16%

07/01/26

1,483,731

1,444,049

Liqui-Box Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

02/26/27

1,745,625

1,483,781

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

2.40%

05/30/25

496,250

470,075

3,397,905

Information Technology — 0.11%

Broadcom, Inc.,

Delayed-Draw Term Loan A3

(LIBOR plus 1.13%)

1.28%

11/04/22

1,243,548

IQVIA, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 1.75%)

1.90%

03/07/24

675,505

667,315



Issues	Maturity Date			Principal Amount			Value
BANK LOANS (continued)
Information Technology (continued)
IQVIA, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.97%		06/11/25	³		$	981,221		$	970,183
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.90%		04/16/25	³			469,301			455,809
SS&C Technologies, Inc.,
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.90%		04/16/25	³			329,717			320,237


									3,657,092

Real Estate Investment Trust (REIT) — 0.07%
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.90%		04/11/25	³			2,233,588			2,181,042
VICI Properties 1 LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.91%		12/20/24	³			250,000			242,259


									2,423,301

Retail — 0.02%
BC ULC/New Red Finance, Inc.,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
1.90%		11/19/26	^2,3			713,902			686,088

Services — 0.04%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.00%		05/30/25	³			1,240,607			1,237,041


Total Bank Loans
(Cost $49,291,557)									48,843,980


CORPORATES — 27.55%*
Banking — 2.15%
Banco Nacional de Comercio Exterior
SNC/Cayman Islands (Mexico)
3.80%		08/11/26	^1,2,4			2,000,000			2,003,750
Bank of America Corp. (MTN)
1.32%		06/19/26	⁴			980,000			986,822
2.88%		10/22/30	⁴			2,000,000			2,163,646
4.08%		03/20/51	⁴			3,800,000			4,699,041
Comerica, Inc.
5.63%		10/01/69	⁴			2,145,000			2,257,613
Global Bank Corp. (Panama)
5.25%		04/16/29	^1,2,4			600,000			633,094



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Banking (continued)
Global Bank Corp.,
Series REGS (Panama)
5.25%		04/16/29	^2,4		$	1,000,000		$	1,055,156
HSBC Holdings PLC (United Kingdom)
2.01%		09/22/28	^2,4			8,130,000			8,066,984
JPMorgan Chase & Co.
2.18%		06/01/28	⁴			5,000,000			5,226,551
Lloyds Banking Group PLC
(United Kingdom)
3.87%		07/09/25	^2,4			8,725,000			9,507,813
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	^2,4			3,000,000			3,136,987
4.80%		11/15/24	^2,4			1,545,000			1,703,343
Santander UK PLC (United Kingdom)
5.00%		11/07/23	^1,2			3,415,000			3,735,020
Wells Fargo & Co.
3.07%		04/30/41	⁴			4,000,000			4,203,007
Wells Fargo & Co. (MTN)
2.39%		06/02/28	⁴			3,665,000			3,829,514
2.88%		10/30/30	⁴			2,653,000			2,846,856
5.01%		04/04/51	⁴			9,895,000			13,613,958


									69,669,155

Communications — 3.90%
AT&T, Inc.
3.30%		02/01/52				2,370,000			2,261,393
4.30%		12/15/42				2,300,000			2,591,345
4.35%		06/15/45				2,415,000			2,732,178
4.50%		05/15/35				2,150,000			2,537,271
4.75%		05/15/46				1,875,000			2,209,518
4.80%		06/15/44				6,527,000			7,813,282
5.25%		03/01/37				6,985,000			8,742,911
C&W Senior Financing DAC (Ireland)
6.88%		09/15/27	^1,2			1,200,000			1,249,590
CCO Holdings LLC/CCO Holdings
Capital Corp.
4.50%		08/15/30	¹			5,603,000			5,897,438
5.38%		06/01/29	¹			3,104,000			3,367,499
CenturyLink, Inc.
4.00%		02/15/27	¹			1,036,000			1,053,707
Charter Communications Operating LLC/
Charter Communications Operating Capital
5.38%		05/01/47				1,550,000			1,840,799
Intelsat Jackson Holdings SA (Luxembourg)⁵
8.50%		10/15/24	^1,2,8			6,392,000			4,154,800
9.75%		07/15/25	^1,2,8			3,820,000			2,511,522
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	²			45,000			65,578



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Communications (continued)
Level 3 Financing, Inc.
4.63%		09/15/27	¹		$	3,113,000		$	3,204,195
5.25%		03/15/26				120,000			124,358
Qwest Corp.
6.75%		12/01/21				2,235,000			2,361,845
7.25%		09/15/25				955,000			1,103,035
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	¹			8,494,000			9,013,409
Sprint Corp.
7.88%		09/15/23				3,296,000			3,792,460
Sprint Spectrum Co. LLC/Sprint Spectrum
Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	¹			4,267,500			4,314,955
4.74%		03/20/25	¹			9,165,000			9,938,297
5.15%		03/20/28	¹			700,000			826,437
Time Warner Cable LLC
5.50%		09/01/41				2,972,000			3,611,992
5.88%		11/15/40				965,000			1,214,742
T-Mobile USA, Inc.
2.55%		02/15/31	¹			115,000			119,124
3.88%		04/15/30	¹			2,000,000			2,271,740
4.38%		04/15/40	¹			4,000,000			4,692,680
4.50%		02/01/26				200,000			207,080
6.00%		03/01/23				1,264,000			1,268,866
6.00%		04/15/24				7,068,000			7,224,839
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	^1,2			1,200,000			1,235,381
5.50%		08/15/26	^1,2			983,000			1,026,621
5.50%		05/15/29	^1,2			3,379,000			3,632,560
Vodafone Group PLC (United Kingdom)
4.25%		09/17/50	²			1,460,000			1,698,155
4.88%		06/19/49	²			1,328,000			1,657,167
5.25%		05/30/48	²			4,682,000			6,062,786
Walt Disney Co. (The)
2.65%		01/13/31				3,025,000			3,268,649
3.60%		01/13/51				3,175,000			3,591,516


									126,491,720

Consumer Discretionary — 0.91%
Anheuser-Busch Cos. LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.90%		02/01/46				7,420,000			9,177,362
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^1,2			1,180,000			1,373,048
5.15%		05/15/38	^1,2			1,500,000			1,833,632
BAT Capital Corp.
2.73%		03/25/31				1,835,000			1,830,353
4.54%		08/15/47				500,000			537,121



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Consumer Discretionary (continued)
Reynolds American, Inc.
5.85%		08/15/45			$	12,245,000		$	14,958,624


									29,710,140

Electric — 1.20%
Alabama Power Capital Trust V
3.33%		10/01/42	⁴			1,300,000			1,244,750
Cleco Power LLC
6.00%		12/01/40				1,380,000			1,727,802
Consolidated Edison Co. of New York, Inc.
4.45%		03/15/44				1,000,000			1,244,067
Dominion Energy, Inc.
5.75%		10/01/54	⁴			2,515,000			2,673,526
Duke Energy Carolinas LLC
3.70%		12/01/47				1,810,000			2,147,684
Duquesne Light Holdings, Inc.
5.90%		12/01/21	¹			2,700,000			2,837,527
Eskom Holdings SOC Ltd., Series REGS
(South Africa)
7.13%		02/11/25	²			800,000			738,240
ITC Holdings Corp.
3.65%		06/15/24				1,251,000			1,372,321
Metropolitan Edison Co.
4.00%		04/15/25	¹			2,625,000			2,943,148
Mong Duong Finance Holdings BV, Series
REGS (Netherlands)
5.13%		05/07/29	²			900,000			921,769
Perusahaan Listrik Negara PT, Series REGS
(EMTN) (Indonesia)
6.15%		05/21/48	²			1,000,000			1,291,065
PNM Resources, Inc.
3.25%		03/09/21				1,073,000			1,085,319
Public Service Co. of New Mexico
3.85%		08/01/25				5,565,000			6,041,454
5.35%		10/01/21				45,000			46,483
Public Service Electric and Gas Co., Series
CC
9.25%		06/01/21				6,935,000			7,319,813
Southwestern Electric Power Co.
3.55%		02/15/22				2,625,000			2,710,666
Southwestern Electric Power Co., Series M
4.10%		09/15/28				2,190,000			2,559,959


									38,905,593

Energy — 3.65%
Antero Resources Corp.
5.00%		03/01/25				4,357,000			2,731,294
5.13%		12/01/22				96,000			78,420
5.63%		06/01/23				2,900,000			2,131,500



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
Cheniere Energy Partners LP
5.25%		10/01/25			$	285,000		$	291,840
Enbridge Energy Partners LP
5.88%		10/15/25				2,190,000			2,617,679
Energy Transfer Operating LP
3.75%		05/15/30				1,600,000			1,553,810
4.95%		06/15/28				2,000,000			2,120,562
5.00%		05/15/50				2,065,000			1,912,830
5.15%		03/15/45				3,826,000			3,478,698
5.50%		06/01/27				1,448,000			1,596,543
6.13%		12/15/45				500,000			507,989
Energy Transfer Operating LP, Series B
6.63%		02/15/69	⁴			1,985,000			1,352,668
EQT Corp.
3.90%		10/01/27				2,608,000			2,405,880
Exxon Mobil Corp.
4.33%		03/19/50				7,235,000			9,105,194
Gulfport Energy Corp.
6.38%		05/15/25				315,000			193,298
Hess Corp.
4.30%		04/01/27				2,265,000			2,376,642
7.88%		10/01/29				1,855,000			2,314,113
KazMunayGas National Co. JSC,
Series REGS (Kazakhstan)
5.75%		04/19/47	²			3,443,000			4,110,253
Kinder Morgan Energy Partners LP
5.00%		08/15/42				1,090,000			1,214,553
5.80%		03/15/35				210,000			253,127
Kinder Morgan, Inc.
5.30%		12/01/34				875,000			1,032,609
Pertamina Persero PT (Indonesia)
3.10%		08/27/30	^1,2			4,579,000			4,762,160
Petrobras Global Finance BV (Netherlands)
5.09%		01/15/30	²			3,863,000			4,064,262
Petroleos del Peru SA, Series REGS (Peru)
4.75%		06/19/32	²			2,088,000			2,262,870
Petroleos Mexicanos (Mexico)
1.70%		12/20/22	²			37,500			38,056
5.95%		01/28/31	^1,2			920,000			766,268
6.63%		06/15/35	²			6,120,000			5,038,596
6.75%		09/21/47	²			3,815,000			2,914,660
6.95%		01/28/60	^1,2			1,595,000			1,235,766
7.69%		01/23/50	^1,2			743,000			624,677
Plains All American Pipeline LP/PAA
Finance Corp.
3.80%		09/15/30				2,000,000			1,944,925
4.50%		12/15/26				3,755,000			4,003,823
4.65%		10/15/25				695,000			750,836



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Energy (continued)
Range Resources Corp.
4.88%		05/15/25			$	1,984,000		$	1,791,517
Rockies Express Pipeline LLC
4.80%		05/15/30	¹			2,000,000			1,942,000
4.95%		07/15/29	¹			1,000,000			974,201
6.88%		04/15/40	¹			3,175,000			3,321,844
Ruby Pipeline LLC
7.75%		04/01/22	¹			4,670,455			3,930,187
Sabine Pass Liquefaction LLC
4.20%		03/15/28				1,000,000			1,085,709
Saudi Arabian Oil Co.,
Series REGS (EMTN) (Saudi Arabia)
4.25%		04/16/39	²			901,000			1,040,024
Shell International Finance BV (Netherlands)
4.00%		05/10/46	²			850,000			993,088
Southern Co. Gas Capital Corp.
3.25%		06/15/26				2,935,000			3,232,811
Southern Gas Corridor CJSC,
Series REGS (Azerbaijan)
6.88%		03/24/26	²			3,426,000			3,902,557
Sunoco Logistics Partners Operations LP
5.40%		10/01/47				3,776,000			3,565,220
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.
6.88%		01/15/29				1,422,000			1,526,746
TC PipeLines LP
4.38%		03/13/25				3,000,000			3,262,739
4.65%		06/15/21				2,300,000			2,361,790
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26				1,302,000			1,350,825
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^1,2			1,265,940			1,138,333
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,2			4,148,000			3,345,279
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^1,2			722,150			648,130
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26				1,984,000			1,970,360
6.88%		09/01/27				3,198,000			3,176,605
Williams Cos., Inc. (The)
6.30%		04/15/40				1,750,000			2,165,994


									118,512,360



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Entertainment — 0.06%
Live Nation Entertainment, Inc.
4.75%		10/15/27	¹		$	2,000,000		$	1,876,250

Finance — 3.94%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland)
3.65%		07/21/27	²			1,225,000			1,123,413
3.88%		01/23/28	²			1,090,000			1,012,472
3.95%		02/01/22	²			1,500,000			1,519,373
4.45%		12/16/21	²			1,750,000			1,788,382
5.00%		10/01/21	²			2,550,000			2,629,248
Air Lease Corp.
2.25%		01/15/23				2,000,000			2,014,253
3.50%		01/15/22				2,000,000			2,052,229
3.88%		07/03/23				2,862,000			2,983,945
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%		02/15/25	^1,2			4,555,000			4,181,243
3.95%		07/01/24	^1,2			1,035,000			991,701
5.13%		10/01/23	^1,2			2,603,000			2,600,273
5.25%		05/15/24	^1,2			320,000			321,053
Citigroup, Inc.
2.57%		06/03/31	⁴			6,290,000			6,606,496
4.41%		03/31/31	⁴			6,745,000			8,101,484
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
1.18%		02/15/22	^1,3			4,095,000			4,110,516
Ford Motor Credit Co. LLC
2.34%		11/02/20				3,295,000			3,295,000
2.98%		08/03/22				3,015,000			2,977,313
3.20%		01/15/21				5,970,000			5,968,582
3.34%		03/18/21				2,000,000			2,001,501
3.34%		03/28/22				7,735,000			7,714,222
(LIBOR USD 3-Month plus 0.88%)
1.15%		10/12/21	³			3,000,000			2,882,711
(LIBOR USD 3-Month plus 1.08%)
1.33%		08/03/22	³			2,555,000			2,422,140
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	²			19,382,000			20,354,960
General Motors Financial Co., Inc.
3.15%		06/30/22				500,000			513,640
3.20%		07/06/21				1,235,000			1,253,941
3.45%		04/10/22				675,000			693,460
4.20%		03/01/21				1,000,000			1,011,950
4.20%		11/06/21				2,950,000			3,045,011
4.38%		09/25/21				11,995,000			12,377,277
Goldman Sachs Group, Inc. (The)
3.81%		04/23/29	⁴			3,115,000			3,555,265



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Finance (continued)
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^1,2,4		$	5,000,000		$	5,197,458
3.77%		03/08/24	^1,2,4			2,570,000			2,733,279
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,2			2,920,000			2,895,231
5.50%		02/15/24	^1,2			3,080,000			3,105,793
Raymond James Financial, Inc.
3.63%		09/15/26				1,540,000			1,773,045


									127,807,860

Food — 0.97%
Kraft Heinz Foods Co.
4.38%		06/01/46				7,720,000			7,933,643
4.88%		10/01/49	¹			8,265,000			8,713,353
5.00%		06/04/42				3,015,000			3,306,280
6.88%		01/26/39				1,000,000			1,345,887
7.13%		08/01/39	¹			1,655,000			2,244,248
Post Holdings, Inc.
4.63%		04/15/30	¹			1,175,000			1,210,250
5.00%		08/15/26	¹			333,000			341,903
5.63%		01/15/28	¹			964,000			1,026,506
Smithfield Foods, Inc.
5.20%		04/01/29	¹			4,690,000			5,491,596


									31,613,666

Gaming — 0.29%
Caesars Entertainment, Inc.
6.25%		07/01/25	¹			3,101,000			3,245,436
Churchill Downs, Inc.
4.75%		01/15/28	¹			1,074,000			1,081,856
5.50%		04/01/27	¹			4,759,000			4,955,338


									9,282,630

Health Care — 3.77%
AbbVie, Inc.
4.05%		11/21/39	¹			1,550,000			1,781,433
4.25%		11/21/49	¹			3,520,000			4,171,074
4.40%		11/06/42				6,190,000			7,355,399
4.45%		05/14/46				2,350,000			2,814,211
Amgen, Inc.
4.40%		05/01/45				1,310,000			1,621,073
Bausch Health Cos., Inc. (Canada)
7.00%		03/15/24	^1,2			2,859,000			2,961,924



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
Bayer U.S. Finance II LLC
4.25%		12/15/25	¹		$	2,005,000		$	2,297,596
4.38%		12/15/28	¹			8,135,000			9,565,129
4.63%		06/25/38	¹			2,775,000			3,322,521
4.88%		06/25/48	¹			4,415,000			5,496,344
5.50%		08/15/25	¹			2,000,000			2,389,350
Becton Dickinson and Co.
6.70%		08/01/28				2,930,000			3,655,175
Centene Corp.
3.00%		10/15/30				11,457,000			11,702,753
3.38%		02/15/30				4,284,000			4,444,650
5.38%		08/15/26	¹			90,000			95,607
Cigna Corp.
3.88%		10/15/47				4,825,000			5,381,604
4.13%		11/15/25				2,380,000			2,732,734
CVS Health Corp.
5.05%		03/25/48				5,417,000			6,918,475
5.13%		07/20/45				755,000			956,816
Elanco Animal Health, Inc.
5.27%		08/28/23				6,355,000			6,827,653
Hartford HealthCare Corp.
5.75%		04/01/44				1,525,000			1,849,678
HCA, Inc.
4.13%		06/15/29				2,400,000			2,719,796
5.00%		03/15/24				5,533,000			6,198,782
5.25%		04/15/25				2,477,000			2,861,824
5.25%		06/15/49				4,670,000			5,730,464
Molina Healthcare, Inc.
4.38%		06/15/28	¹			2,500,000			2,551,983
4.88%		06/15/25	¹			405,000			414,576
5.38%		11/15/22				2,317,000			2,425,609
Partners Healthcare System, Inc.,
Series 2020
3.34%		07/01/60				3,350,000			3,726,080
Tenet Healthcare Corp.
4.63%		09/01/24	¹			2,593,000			2,612,908
4.88%		01/01/26	¹			4,617,000			4,706,570


									122,289,791

Industrials — 1.35%
Amcor Finance USA, Inc.
3.63%		04/28/26				2,125,000			2,368,623
Ardagh Packaging Finance PLC/Ardagh
Holdings USA, Inc. (Ireland)
4.13%		08/15/26	^1,2			5,100,000			5,182,875
BAE Systems Holdings, Inc.
2.85%		12/15/20	¹			1,895,000			1,900,284
BAE Systems PLC (United Kingdom)
1.90%		02/15/31	^1,2			2,500,000			2,490,582



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Industrials (continued)
Ball Corp.
4.00%		11/15/23			$	1,000,000		$	1,065,250
Clean Harbors, Inc.
4.88%		07/15/27	¹			3,000,000			3,117,570
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.48%)
0.76%		08/15/36	³			10,370,000			7,073,397
General Electric Co., Series A (MTN)
6.75%		03/15/32				3,690,000			4,646,052
Graphic Packaging International LLC
4.75%		07/15/27	¹			1,600,000			1,752,000
4.88%		11/15/22				500,000			521,133
Heathrow Funding Ltd. (United Kingdom)
4.88%		07/15/21	^1,2			700,000			717,455
PowerTeam Services LLC
9.03%		12/04/25	¹			4,728,000			5,007,581
Sealed Air Corp.
4.00%		12/01/27	¹			2,885,000			3,018,431
5.25%		04/01/23	¹			1,000,000			1,058,645
5.50%		09/15/25	¹			2,063,000			2,301,931
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^1,2			1,670,000			1,662,569


									43,884,378

Information Technology — 0.38%
Broadcom, Inc.
3.13%		10/15/22				1,500,000			1,570,446
3.63%		10/15/24				1,175,000			1,281,903
Dell International LLC/EMC Corp.
4.42%		06/15/21	¹			602,000			616,304
Intel Corp.
3.73%		12/08/47				6,560,000			7,822,458
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^1,2			300,000			317,188
4.63%		06/01/23	^1,2			795,000			870,117


									12,478,416

Insurance — 0.67%
Berkshire Hathaway Finance Corp.
4.25%		01/15/49				2,480,000			3,229,893
Farmers Exchange Capital
7.20%		07/15/48	¹			150,000			211,998
Farmers Exchange Capital II
6.15%		11/01/53	^1,4			2,500,000			3,159,375
Farmers Insurance Exchange
4.75%		11/01/57	^1,4			3,800,000			3,963,170
8.63%		05/01/24	¹			942,000			1,122,631



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Insurance (continued)
Nationwide Mutual Insurance Co.
2.54%		12/15/24	^1,4		$	3,825,000		$	3,825,106
Teachers Insurance & Annuity
Association of America
3.30%		05/15/50	¹			2,645,000			2,715,576
4.38%		09/15/54	^1,4			3,425,000			3,656,187


									21,883,936

Materials — 0.79%
Clearwater Paper Corp.
4.75%		08/15/28	¹			3,266,000			3,284,804
Corp. Nacional del Cobre de Chile,
Series REGS (Chile)
3.15%		01/14/30	²			3,998,000			4,263,492
3.63%		08/01/27	²			1,450,000			1,592,508
Indonesia Asahan Aluminum Persero PT
(Indonesia)
6.53%		11/15/28	^1,2			5,508,000			6,728,022
International Flavors & Fragrances, Inc.
5.00%		09/26/48				4,525,000			5,617,398
Nutrition & Biosciences, Inc.
3.47%		12/01/50	¹			3,965,000			4,014,502


									25,500,726

Real Estate Investment Trust (REIT) — 2.03%
American Campus Communities
Operating Partnership LP
3.63%		11/15/27				2,246,000			2,380,129
3.75%		04/15/23				2,925,000			3,077,330
4.13%		07/01/24				1,475,000			1,591,465
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24				4,185,000			4,444,198
3.45%		11/15/29				11,930,000			12,955,375
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30				1,175,000			1,222,000
5.30%		01/15/29				2,280,000			2,552,414
5.38%		04/15/26				2,680,000			2,975,269
5.75%		06/01/28				6,241,000			7,143,417
Healthcare Realty Trust, Inc.
3.75%		04/15/23				4,146,000			4,453,508
3.88%		05/01/25				2,190,000			2,401,666
Healthpeak Properties, Inc.
4.25%		11/15/23				121,000			132,225
Hudson Pacific Properties LP
3.95%		11/01/27				2,500,000			2,693,370
Lexington Realty Trust
2.70%		09/15/30				2,000,000			2,043,340
MGM Growth Properties Operating
Partnership LP/MGP Finance Co.-Issuer, Inc.
5.63%		05/01/24				625,000			664,238



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Piedmont Operating Partnership LP
3.40%		06/01/23			$	4,520,000		$	4,683,887
Post Apartment Homes LP
3.38%		12/01/22				90,000			94,189
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
1.26%		08/16/21	³			1,500,000			1,489,615
SL Green Realty Corp.
4.50%		12/01/22				3,000,000			3,130,808
Ventas Realty LP
3.25%		10/15/26				2,875,000			3,056,060
3.75%		05/01/24				875,000			936,936
4.75%		11/15/30				1,505,000			1,770,202


									65,891,641

Retail — 0.37%
Alimentation Couche-Tard, Inc. (Canada)
3.55%		07/26/27	^1,2			1,935,000			2,140,083
3.80%		01/25/50	^1,2			4,365,000			4,844,827
FirstCash, Inc.
4.63%		09/01/28	¹			2,288,000			2,335,190
Walgreens Boots Alliance, Inc.
3.45%		06/01/26				2,500,000			2,733,684


									12,053,784

Services — 0.90%
DP World Crescent Ltd. (Cayman Islands)
4.85%		09/26/28	^1,2			4,036,000			4,484,803
Emory University, Series 2020
2.14%		09/01/30				2,015,000			2,114,384
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,2			1,516,000			1,693,850
4.75%		02/15/25	^1,2			11,600,000			13,171,336
4.75%		08/01/28	²			1,750,000			2,085,064
Waste Pro USA, Inc.
5.50%		02/15/26	¹			5,578,000			5,661,084


									29,210,521

Transportation — 0.22%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21				551,515			540,497
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21				21,931			19,847
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23				1,084,022			931,873



Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Transportation (continued)
American Airlines Pass-Through Trust,
Series 2015-2, Class AA
3.60%		09/22/27			$	2,231,530		$	2,148,715
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20				38			38
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A
7.71%		04/02/21				86,969			88,181
Continental Airlines Pass-Through Trust,
Series 2001-1, Class A1
6.70%		06/15/21				18,766			18,240
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22				1,973,201			1,937,138
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23				749,566			719,584
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21				210,274			205,969
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23				712,245			642,760
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24				68,916			64,781


									7,317,623

Total Corporates
(Cost $854,442,852)									894,380,190


FOREIGN GOVERNMENT OBLIGATIONS — 2.86%
Foreign Government Obligations — 2.86%
Abu Dhabi Government International Bond,
Series REGS (United Arab Emirates)
2.50%		09/30/29	²			3,798,000			4,066,017
Colombia Government International Bond
(Colombia)
3.00%		01/30/30	²			2,903,000			2,973,761
3.88%		04/25/27	²			1,562,000			1,687,116
4.50%		01/28/26	²			3,900,000			4,319,640
5.20%		05/15/49	²			916,000			1,109,791
Corp. Financiera de Desarrollo SA,
Series REGS (Peru)
4.75%		07/15/25	²			1,066,000			1,200,471
Dominican Republic International Bond
(Dominican Republic)
4.50%		01/30/30	^1,2			400,000			393,375
Dominican Republic International Bond,
Series REGS (Dominican Republic)
5.50%		01/27/25	²			1,302,000			1,388,271
6.00%		07/19/28	²			4,309,000			4,649,680



Issues	Maturity Date			Principal Amount			Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations
(continued)
Egypt Government International Bond
(Egypt)
5.58%		02/21/23	^1,2		$	1,200,000		$	1,235,952
7.60%		03/01/29	^1,2			700,000			719,864
Fondo MIVIVIENDA SA, Series REGS (Peru)
3.50%		01/31/23	²			650,000			677,950
Indonesia Government International Bond
(Indonesia)
2.85%		02/14/30	²			1,000,000			1,054,219
Mexico Government International Bond
(Mexico)
3.25%		04/16/30	²			8,690,000			8,922,979
3.75%		01/11/28	²			2,205,000			2,374,854
Panama Government International Bond
(Panama)
3.16%		01/23/30	²			3,931,000			4,282,372
Paraguay Government International Bond,
Series REGS (Paraguay)
4.63%		01/25/23	²			950,000			1,008,995
Peruvian Government International Bond
(Peru)
2.84%		06/20/30	²			4,360,000			4,757,022
4.13%		08/25/27	²			2,072,000			2,419,060
Qatar Government International Bond,
Series REGS (Qatar)
4.50%		04/23/28	²			6,373,000			7,634,535
4.63%		06/02/46	²			1,953,000			2,569,562
Republic of South Africa Government
International Bond (South Africa)
4.30%		10/12/28	²			4,317,000			4,036,961
4.85%		09/30/29	²			945,000			904,013
Russian Foreign Bond - Eurobond,
Series REGS (Russia)
4.25%		06/23/27	²			1,000,000			1,128,150
4.38%		03/21/29	²			6,000,000			6,909,000
Saudi Government International Bond,
Series REGS (EMTN) (Saudi Arabia)
3.25%		10/22/30	²			1,400,000			1,523,928
3.63%		03/04/28	²			3,300,000			3,663,429
4.50%		10/26/46	²			1,308,000			1,573,851
Saudi Government International Bond
(Saudi Arabia)
2.75%		02/03/32	^1,2			500,000			521,125
3.75%		01/21/55	^1,2			903,000			979,484
4.00%		04/17/25	^1,2			2,300,000			2,559,900
Turkey Government International Bond
(Turkey)
5.13%		03/25/22	²			2,250,000			2,249,297
Uruguay Government International Bond
(Uruguay)
4.38%		10/27/27	²			4,181,296			4,839,850



Issues	Maturity Date			Principal Amount			Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)

4.38%		01/23/31	²		$	1,988,717		$	2,370,924


Total Foreign Government Obligations
(Cost $88,680,335)									92,705,398


MORTGAGE-BACKED — 49.08%**

Non-Agency Commercial
Mortgage-Backed — 5.67%
1345 Avenue of the Americas & Park Avenue
Plaza Trust, Series 2005-1, Class A3
5.28%		08/10/35	¹			16,826,511			17,957,650
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2018-PARK, Class A
4.23%		08/10/38	^1,4			7,985,000			9,418,164
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2020-BOC, Class A
2.63%		01/15/32	¹			5,000,000			5,252,735
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2020-BOC, Class X
(IO)
0.47%		01/15/32	^1,4			98,610,000			2,609,911
Barclays Commercial Mortgage Securities
Trust, Series 2020-C6, Class F5TB
3.69%		02/15/53	^1,4			4,325,000			4,272,671
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
0.79%		08/25/34	^1,3			727,649			709,134
BX Trust, Series 2019-OC11, Class A
3.20%		12/09/41	¹			7,060,000			7,525,363
CALI Mortgage Trust, Series 2019-101C,
Class A
3.96%		03/10/39	¹			10,760,000			12,683,169
CD Mortgage Trust, Series 2016-CD1,
Class XA (IO)
1.53%		08/10/49	⁴			47,592,392			2,941,481
Century Plaza Towers, Series 2019-CPT,
Class A
2.87%		11/13/39	¹			6,125,000			6,713,324
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.92%		09/10/45	^1,4			37,713,183			985,129
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.49%		02/10/48	⁴			69,653,085			3,206,616
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.84%		10/15/45	⁴			42,613,069			1,230,521
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.66%		12/10/45	⁴			71,099,389			1,973,093



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2013-CR13, Class XA (IO)
0.92%		11/10/46	⁴		$	62,547,678		$	1,309,936
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.48%		01/10/46	⁴			25,807,021			601,742
Commercial Mortgage Trust,
Series 2014-CR16, Class XA (IO)
1.14%		04/10/47	⁴			107,622,735			3,104,464
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.59%		02/10/37	^1,4			83,820,000			1,655,395
CSAIL Commercial Mortgage Trust,
Series 2019-C17, Class A4
2.76%		09/15/52				6,050,000			6,593,976
DBJPM Mortgage Trust,
Series 2016-SFC, Class A
2.83%		08/10/36	¹			8,000,000			8,044,640
DC Office Trust, Series 2019-MTC, Class A
2.97%		09/15/45	¹			6,555,000			7,264,226
GE Business Loan Trust, Series 2007-1A,
Class A
(LIBOR USD 1-Month plus 0.17%)
0.32%		04/15/35	^1,3			1,795,919			1,795,919
GS Mortgage Securities Trust,
Series 2012-GC6, Class XA (IO)
2.11%		01/10/45	^1,4			49,724,860			769,418
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.22%		04/10/47	⁴			76,825,143			1,851,636
GS Mortgage Securities Trust,
Series 2020-UPTN, Class XA (IO)
0.35%		02/10/37	^1,4			40,999,000			583,375
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	¹			6,340,000			7,144,198
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
3.04%		12/10/41	^1,4			6,555,000			7,284,090
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
3.04%		12/10/41	^1,4			3,131,000			2,786,129
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2019-OSB,
Class A
3.40%		06/05/39	¹			8,000,000			9,111,054



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%)
0.40%		06/25/37	^1,3		$	929,334		$	901,232
MKT Mortgage Trust, Series 2020-525M,
Class A
2.69%		02/12/40	¹			4,500,000			4,794,695
MKT Mortgage Trust, Series 2020-525M,
Class XA (IO)
0.21%		02/12/40	^1,4			147,585,000			2,681,317
Morgan Stanley ABS Capital I Trust,
Series2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.45%		06/25/36	³			11,837,688			7,841,261
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C22, Class XA (IO)
1.19%		04/15/48	⁴			75,340,914			2,577,277
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2015-C24, Class XA (IO)
0.87%		05/15/48	⁴			116,311,541			3,441,463
Natixis Commercial Mortgage Securities
Trust, Series 2018-ALXA, Class E
4.46%		01/15/43	^1,4			1,095,000			1,103,253
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/15/54	¹			6,895,000			7,393,017
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class A2B
4.14%		01/05/43	^1,4			1,840,000			1,734,375
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.25%		08/15/50	⁴			49,147,626			1,575,857
Wells Fargo Commercial Mortgage Trust,
Series 2016-C33, Class XA (IO)
1.87%		03/15/59	⁴			100,809,246			5,974,919
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.67%		12/15/45	^1,4			65,555,583			1,878,836
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.96%		08/15/45	^1,4			42,724,923			995,692
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
2.04%		11/15/45	^1,4			36,505,401			1,107,576
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.85%		06/15/46	⁴			74,039,581			1,070,946
WF-RBS Commercial Mortgage Trust,
Series 2014-C23, Class XA (IO)
0.71%		10/15/57	⁴			84,441,621			1,603,929


									184,054,804

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed — 26.59%

Accredited Mortgage Loan Trust,

Series 2006-1, Class A4

(LIBOR USD 1-Month plus 0.28%)

0.74%

04/25/36

3,101,111

3,061,602

ACE Securities Corp. Home Equity Loan

Trust, Series 2006-OP2, Class A2C

(LIBOR USD 1-Month plus 0.15%)

0.30%

08/25/36

359,838

352,380

ACE Securities Corp. Home Equity Loan

Trust, Series 2007-ASP1, Class A2D

(LIBOR USD 1-Month plus 0.38%)

0.53%

03/25/37

2,716,957

1,656,258

Adjustable Rate Mortgage Trust,

Series 2005-4, Class 5A1

2.92%

08/25/35

⁴

2,130,135

1,886,801

Adjustable Rate Mortgage Trust,

Series 2007-1, Class 1A1

3.77%

03/25/37

⁴

2,806,444

2,458,645

Alternative Loan Trust,

Series 2005-76, Class 1A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.48%)

2.50%

01/25/36

4,018,724

3,926,678

Alternative Loan Trust,

Series 2006-HY12, Class A5

3.23%

08/25/36

⁴

3,899,309

4,047,289

American Home Mortgage Investment Trust,

Series 2006-1, Class 12A1

(LIBOR USD 1-Month plus 0.40%)

0.55%

03/25/46

4,348,774

3,964,620

Asset-Backed Funding Certificates,

Series 2007-NC1, Class A2

(LIBOR USD 1-Month plus 0.30%)

0.45%

05/25/37

^1,3

4,841,907

4,627,179

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A1A

(LIBOR USD 1-Month plus 1.25%)

1.40%

06/25/37

21,577,357

18,353,948

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A2B

(LIBOR USD 1-Month plus 1.00%)

1.15%

06/25/37

4,090,626

3,718,178

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2004-HE9, Class M1

(LIBOR USD 1-Month plus 0.98%)

1.12%

12/25/34

1,653,641

1,599,668

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE1, Class A4

(LIBOR USD 1-Month plus 0.30%)

0.45%

01/25/36

4,560,364

4,346,207

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed

(continued)

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE5, Class A5

(LIBOR USD 1-Month plus 0.24%)

0.39%

07/25/36

9,754,000

9,293,318

Banc of America Alternative Loan Trust,

Series 2003-8, Class 1CB1

5.50%

10/25/33

818,743

841,670

Banc of America Funding Trust,

Series 2004-B, Class 5A1

3.42%

11/20/34

⁴

269,651

261,488

Banc of America Funding Trust,

Series 2006-D, Class 3A1

3.54%

05/20/36

⁴

1,049,206

1,004,794

Banc of America Funding Trust,

Series 2006-G, Class 2A1

(LIBOR USD 1-Month plus 0.44%)

0.60%

07/20/36

535,447

537,931

Banc of America Funding Trust,

Series 2006-G, Class 2A4

(LIBOR USD 1-Month plus 0.58%)

0.74%

07/20/36

2,138,430

2,151,434

Banc of America Funding Trust,

Series 2015-R3, Class 6A2

0.35%

05/27/36

^1,4

17,794,398

16,501,206

Banc of America Funding Trust,

Series 2016-R1, Class A1

2.50%

03/25/40

^1,4

2,156,841

2,178,037

Banc of America Funding Trust,

Series 2016-R1, Class B1

3.50%

03/25/40

^1,4

16,181,000

15,718,720

Banc of America Mortgage Trust,

Series 2005-K, Class 2A1

3.72%

12/25/35

⁴

1,306,897

1,233,758

BCAP LLC Trust, Series 2007-AA1,

Class 2A1

(LIBOR USD 1-Month plus 0.18%)

0.33%

03/25/37

4,077,486

3,917,616

BCAP LLC Trust, Series 2014-RR2,

Class 6A1

(LIBOR USD 1-Month plus 0.24%)

0.00%

10/26/36

^1,3

5,428,819

5,410,498

BCAP LLC Trust, Series 2014-RR3,

Class 4A1

0.48%

03/26/36

^1,4

3,784,729

3,591,139

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

Class M1

(LIBOR USD 1-Month plus 0.75%)

0.90%

01/25/35

11,590,773

11,467,884

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

Class 2A4

3.54%

04/25/35

⁴

1,651,641

1,636,119



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Bear Stearns ALT-A Trust, Series 2005-8,
Class 11A1
(LIBOR USD 1-Month plus 0.54%)
0.69%		10/25/35	³		$	8,103,126		$	7,344,450
Bear Stearns ARM Trust, Series 2005-9,
Class A1
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 2.30%)
2.41%		10/25/35	³			1,762,132			1,773,059
Bear Stearns Asset-Backed Securities I
Trust, Series 2005-AC6, Class 1A3
5.50%		09/25/35	⁴			471,386			483,043
Bear Stearns Asset-Backed Securities I
Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36				50,655			53,363
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
0.35%		09/25/47	³			7,236,081			6,744,995
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 2A1
(LIBOR USD 1-Month plus 0.21%)
0.36%		06/25/37	³			5,752,768			5,277,404
Carrington Mortgage Loan Trust,
Series 2005-OPT2, Class M4
(LIBOR USD 1-Month plus 0.98%)
1.12%		05/25/35	³			2,583,339			2,527,156
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.35%)
0.50%		02/25/36	³			3,620,000			3,557,339
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
3.39%		02/25/37	⁴			835,492			840,434
CIM Trust, Series 2016-3, Class A1
(LIBOR USD 1-Month plus 2.50%)
2.66%		02/25/56	^1,3			8,295,058			8,306,218
CIM Trust, Series 2017-6, Class A1
3.02%		06/25/57	^1,4			11,563,128			11,791,777
CIM Trust, Series 2017-8, Class A1
3.00%		12/25/65	^1,4			9,894,779			9,923,579
CIM Trust, Series 2018-R4, Class A1
4.07%		12/26/57	^1,4			10,179,530			10,550,205
CIM Trust, Series 2018-R5, Class A1
3.75%		07/25/58	^1,4			9,605,276			9,321,383
CIM Trust, Series 2019-R3, Class A
2.63%		06/25/58	^1,4			12,756,149			12,575,044
CIM Trust, Series 2020-R1, Class A1
2.85%		10/27/59	^1,4			16,233,181			14,167,341

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

CIM Trust, Series 2020-R3, Class A1A

4.00%

01/26/60

^1,4

12,712,735

12,759,130

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-9, Class 1A1

(LIBOR USD 1-Month plus 0.26%)

0.41%

11/25/35

56,746

47,023

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-AR3, Class 1A2A

3.93%

06/25/36

⁴

195,197

183,490

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-HE2, Class A2D

(LIBOR USD 1-Month plus 0.24%)

0.39%

08/25/36

104,557

103,260

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH2, Class M1

(LIBOR USD 1-Month plus 0.27%)

0.42%

08/25/36

8,218,833

8,209,267

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH3, Class M1

(LIBOR USD 1-Month plus 0.29%)

0.44%

10/25/36

1,049,329

1,049,769

Conseco Finance Corp., Series 1998-6,

Class A8

6.66%

06/01/30

⁴

7,573

7,696

Countrywide Asset-Backed Certificates Trust,

Series 2004-15, Class MV4

(LIBOR USD 1-Month plus 1.28%)

1.42%

04/25/35

768,090

770,163

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-3,

Class 1A2

(LIBOR USD 1-Month plus 0.58%)

0.73%

04/25/35

4,030,858

3,758,567

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-9,

Class 1A1

(LIBOR USD 1-Month plus 0.60%)

0.75%

05/25/35

92,017

76,086

Credit Suisse First Boston Mortgage

Securities Corp., Series 2003-AR26,

Class 3A1

4.01%

11/25/33

⁴

637,693

639,045

Credit Suisse First Boston Mortgage

Securities Corp., Series 2005-11,

Class 1A1

6.50%

12/25/35

652,511

488,194

Credit Suisse First Boston Mortgage-Backed

Pass-Through Certificates, Series 2004-AR5,

Class 9A1

2.46%

06/25/34

⁴

69,657

68,507

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Credit Suisse Mortgage Capital Trust,

Series 2006-8, Class 3A1

6.00%

10/25/21

43,790

35,288

Credit Suisse Mortgage Capital Trust,

Series 2019-RPL2, Class A1A

4.34%

11/25/58

12,850,923

12,715,950

Credit Suisse Mortgage Capital Trust,

Series 2020-RPL2, Class A12

3.51%

02/25/60

13,894,008

14,047,893

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2B

(STEP-reset date 11/25/20)

3.85%

02/25/37

5,566,606

4,642,523

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2C

(STEP-reset date 11/25/20)

3.85%

02/25/37

1,332,321

1,111,024

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB3, Class A3

(STEP-reset date 11/25/20)

3.56%

03/25/37

6,350,574

3,380,945

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB2,

Class AF3 (STEP-reset date 11/25/20)

3.20%

12/25/36

796,908

648,396

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB9,

Class A2

(LIBOR USD 1-Month plus 0.11%)

0.26%

11/25/36

8,984,634

5,530,317

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB1,

Class AF2 (STEP-reset date 11/25/20)

3.37%

01/25/37

2,850,449

1,261,144

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB4,

Class A1A

(LIBOR USD 1-Month plus 0.09%)

0.24%

04/25/37

2,619,895

2,554,272

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB5,

Class A1

(LIBOR USD 1-Month plus 0.06%)

0.21%

04/25/37

1,681,460

1,231,226

DSLA Mortgage Loan Trust,

Series 2004-AR4, Class 2A1A

(LIBOR USD 1-Month plus 0.36%)

0.52%

01/19/45

864,975

750,661

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

DSLA Mortgage Loan Trust,

Series 2005-AR6, Class 2A1A

(LIBOR USD 1-Month plus 0.29%)

0.45%

10/19/45

4,572,124

4,353,129

DSLA Mortgage Loan Trust,

Series 2006-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.20%)

0.36%

10/19/36

6,900,668

6,025,015

DSLA Mortgage Loan Trust,

Series 2007-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.14%)

0.30%

03/19/37

1,821,726

1,640,234

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2C

(LIBOR USD 1-Month plus 0.16%)

0.31%

10/25/36

17,534,477

14,121,554

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2D

(LIBOR USD 1-Month plus 0.21%)

0.36%

12/25/37

1,063,635

984,734

First Franklin Mortgage Loan Trust,

Series 2006-FF4, Class A3

(LIBOR USD 1-Month plus 0.28%)

0.74%

03/25/36

12,156,764

11,681,851

First Franklin Mortgage Loan Trust,

Series 2006-FF9, Class 2A4

(LIBOR USD 1-Month plus 0.25%)

0.40%

06/25/36

8,650,000

6,531,708

First Franklin Mortgage Loan Trust,

Series 2007-1, Class A2C

(LIBOR USD 1-Month plus 0.25%)

0.40%

04/25/37

21,343,651

12,453,359

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2D

(LIBOR USD 1-Month plus 0.22%)

0.37%

01/25/38

5,130,633

3,650,646

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

0.25%

03/25/37

667,205

421,957

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA3, Class A1

2.47%

09/25/34

⁴

326,905

319,091

First Horizon Alternative Mortgage Securities

Trust, Series 2004-AA3, Class A3

2.47%

09/25/34

⁴

502,677

490,662

First Horizon Alternative Mortgage Securities

Trust, Series 2005-AA10, Class 1A1

3.26%

12/25/35

⁴

1,336,363

1,248,363



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA12, Class 2A1
2.75%		02/25/36	⁴		$	1,870,018		$	1,552,517
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA2, Class 2A1
2.65%		04/25/35	⁴			2,354,693			2,418,229
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA3, Class 3A1
3.24%		05/25/35	⁴			2,063,651			1,999,744
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA7, Class 2A1
2.55%		09/25/35	⁴			2,584,623			2,464,710
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA8, Class 2A1
2.45%		10/25/35	⁴			2,613,392			2,012,750
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA9, Class 2A1
3.26%		11/25/35	⁴			1,731,071			1,579,982
First Horizon Alternative Mortgage Securities
Trust, Series 2006-AA1, Class 1A1
2.54%		03/25/36	⁴			2,165,617			1,808,537
First Horizon Alternative Mortgage Securities
Trust, Series 2006-AA7, Class A1
3.22%		01/25/37	⁴			3,270,635			2,920,803
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 1A1
2.76%		09/25/35	⁴			2,947,226			2,584,208
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1
3.10%		10/25/35	⁴			92,890			90,777
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR5, Class 2A1
4.34%		11/25/35	⁴			1,018,399			898,591
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR2, Class 1A2
3.80%		08/25/37	⁴			91,982			61,750
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 2A1
3.15%		09/19/35	⁴			1,599,631			1,273,449
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 3A1
3.61%		09/19/35	⁴			1,849,212			1,714,080
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.69%		04/19/36	⁴			3,937,886			3,432,867
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.35%		03/25/47	³			14,312,803			12,930,575
GSAMP Trust, Series 2005-HE5, Class M2
(LIBOR USD 1-Month plus 0.43%)
0.58%		11/25/35	³			2,761,241			2,760,542

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GSAMP Trust, Series 2007-FM2, Class A1

(LIBOR USD 1-Month plus 0.14%)

0.29%

01/25/37

22,489,978

16,459,655

GSR Mortgage Loan Trust,

Series 2005-7F, Class 3A3 (IO)

(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap)

5.35%

09/25/35

^3,6,7

18,212

904

GSR Mortgage Loan Trust,

Series 2005-AR4, Class 5A1

3.46%

07/25/35

⁴

883,061

805,192

GSR Mortgage Loan Trust,

Series 2006-AR2, Class 2A1

3.50%

04/25/36

⁴

229,770

196,764

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 5A1A

3.51%

05/25/37

⁴

908,323

812,590

HarborView Mortgage Loan Trust,

Series 2005-10, Class 2A1A

(LIBOR USD 1-Month plus 0.31%)

0.47%

11/19/35

2,909,043

2,645,284

HarborView Mortgage Loan Trust,

Series 2006-7, Class 1A

(LIBOR USD 1-Month plus 0.21%)

0.37%

09/19/46

12,467,766

11,570,794

HarborView Mortgage Loan Trust,

Series 2007-6, Class 1A1A

(LIBOR USD 1-Month plus 0.20%)

0.36%

08/19/37

14,101,798

12,444,734

Home Equity Mortgage Loan Asset-Backed

Trust, Series 2005-D, Class AII4

(LIBOR USD 1-Month plus 0.35%)

0.50%

03/25/36

5,810,272

5,677,287

HSI Asset Securitization Corp. Trust,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

0.78%

11/25/35

4,338,810

4,307,708

HSI Asset Securitization Corp. Trust,

Series 2006-HE2, Class 1A

(LIBOR USD 1-Month plus 0.13%)

0.28%

12/25/36

31,861,680

16,909,580

Impac CMB Trust, Series 2005-2,

Class 1A1

(LIBOR USD 1-Month plus 0.52%)

0.67%

04/25/35

3,680,055

3,567,089

IndyMac Index Mortgage Loan Trust,

Series 2005-AR14, Class 1A1A

(LIBOR USD 1-Month plus 0.28%)

0.43%

07/25/35

12,245,976

9,546,107

IndyMac Index Mortgage Loan Trust,

Series 2005-AR19, Class A1

3.04%

10/25/35

⁴

2,366,558

2,063,809

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

IndyMac Index Mortgage Loan Trust,

Series 2006-AR27, Class 1A3

(LIBOR USD 1-Month plus 0.27%)

0.42%

10/25/36

6,687,423

3,874,335

IndyMac Index Mortgage Loan Trust,

Series 2006-AR7, Class 3A1

3.35%

05/25/36

⁴

390,038

346,174

IndyMac Index Mortgage Loan Trust,

Series 2006-AR9, Class 3A3

3.32%

06/25/36

⁴

3,507,164

3,588,780

IndyMac Manufactured Housing Contract

Pass-Through Certificates, Series 1998-1,

Class A4

6.49%

09/25/28

42,906

43,604

JPMorgan Mortgage Acquisition Trust,

Series 2006-ACC1, Class M1

(LIBOR USD 1-Month plus 0.27%)

0.42%

05/25/36

5,123,025

5,113,983

JPMorgan Mortgage Acquisition Trust,

Series 2006-CH1, Class M2

(LIBOR USD 1-Month plus 0.29%)

0.44%

07/25/36

12,400,000

12,171,562

JPMorgan Mortgage Acquisition Trust,

Series 2006-WMC4 A4, Class A4

(LIBOR USD 1-Month plus 0.15%)

0.30%

12/25/36

10,982,816

7,195,938

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH1, Class MV3

(LIBOR USD 1-Month plus 0.32%)

0.47%

11/25/36

14,417,000

14,291,786

JPMorgan Mortgage Trust, Series 2005-A6,

Class 7A1

3.09%

08/25/35

⁴

31,222

28,508

JPMorgan Mortgage Trust, Series 2006-A3,

Class 2A1

3.67%

05/25/36

⁴

28,832

25,041

JPMorgan Mortgage Trust, Series 2006-S2,

Class 2A2

5.88%

06/25/21

98,777

90,591

JPMorgan Mortgage Trust, Series 2007-S1,

Class 1A2

5.50%

03/25/22

25,260

23,730

Legacy Mortgage Asset Trust,

Series 2017-RPL1, Class A

(LIBOR USD 1-Month plus 1.75%)

1.89%

01/28/70

^1,3

10,436,765

10,353,856

Legacy Mortgage Asset Trust,

Series 2019-GS4, Class A1

(STEP-reset date 10/26/20)

3.44%

05/25/59

13,197,784

12,840,109

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Legacy Mortgage Asset Trust,

Series 2020-GS2, Class A1

(STEP-reset date 10/26/20)

2.75%

03/25/60

16,762,223

16,836,946

Lehman XS Trust, Series 2005-4,

Class 1A3

(LIBOR USD 1-Month plus 0.80%)

0.95%

10/25/35

57,021

56,984

Lehman XS Trust, Series 2005-5N,

Class 3A1A

(LIBOR USD 1-Month plus 0.30%)

0.45%

11/25/35

3,357,537

3,293,963

Lehman XS Trust, Series 2006-GP2,

Class 1A5A

(LIBOR USD 1-Month plus 0.21%)

0.36%

06/25/46

6,278,940

5,954,694

Lehman XS Trust, Series 2007-18N,

Class 1A1

(LIBOR USD 1-Month plus 0.85%)

1.00%

10/25/37

6,384,707

5,860,186

MASTR Adjustable Rate Mortgages Trust,

Series 2003-7, Class 3A1

3.46%

11/25/33

⁴

213,854

212,516

MASTR Adjustable Rate Mortgages Trust,

Series 2004-15, Class 8A1

4.25%

10/25/34

⁴

383,944

389,387

MASTR Adjustable Rate Mortgages Trust,

Series 2004-3, Class 3A3

3.16%

04/25/34

⁴

47,013

47,453

MASTR Adjustable Rate Mortgages Trust,

Series 2007-2, Class A1

(LIBOR USD 1-Month plus 0.15%)

0.30%

03/25/47

4,158,610

3,888,727

MASTR Asset-Backed Securities Trust,

Series 2007-HE1, Class A4

(LIBOR USD 1-Month plus 0.28%)

0.43%

05/25/37

3,150,000

2,419,049

Merrill Lynch Alternative Note Asset Trust,

Series 2007-A3, Class A2D

(LIBOR USD 1-Month plus 0.33%)

0.48%

04/25/37

^3,6,7

883,581

78,009

Merrill Lynch First Franklin Mortgage Loan

Trust, Series 2007-4, Class 2A4

(LIBOR USD 1-Month plus 0.25%)

0.40%

07/25/37

1,125,365

724,527

Merrill Lynch Mortgage Investors Trust,

Series 2003-A6, Class 2A

3.49%

10/25/33

⁴

152,691

153,061

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

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%)

2.52%

08/25/36

1,253,687

1,185,490

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

Class B

8.90%

08/15/37

45,162

51,304

Morgan Stanley Capital I Trust,

Series 2006-NC2, Class A2D

(LIBOR USD 1-Month plus 0.29%)

0.44%

02/25/36

2,325,838

2,266,279

Morgan Stanley Home Equity Loan Trust,

Series 2006-3, Class A4

(LIBOR USD 1-Month plus 0.26%)

0.41%

04/25/36

16,142,734

13,365,014

Morgan Stanley Mortgage Loan Trust,

Series 2004-7AR, Class 2A4

2.52%

09/25/34

⁴

313,459

310,572

Morgan Stanley Mortgage Loan Trust,

Series 2006-2, Class 1A

5.25%

02/25/21

100,428

96,875

Morgan Stanley Resecuritization Trust,

Series 2014-R9, Class 3A

(Federal Reserve US 12-Month Cumulative

Average plus 0.84%)

2.01%

11/26/46

^1,3

1,375,719

1,349,666

MortgageIT Trust, Series 2005-2, Class 2A

(LIBOR USD 1-Month plus 1.65%)

1.81%

05/25/35

1,651,783

1,723,892

New Century Home Equity Loan Trust,

Series 2005-D, Class A2D

(LIBOR USD 1-Month plus 0.33%)

0.48%

02/25/36

1,985,926

1,866,535

New York Mortgage Trust, Series 2005-3,

Class A1

(LIBOR USD 1-Month plus 0.48%)

0.63%

02/25/36

480,889

471,234

Nomura Asset Acceptance Corp.,

Series 2005-AR4, Class 4A1

3.67%

08/25/35

⁴

2,742,915

2,744,068

Nomura Resecuritization Trust,

Series 2011-2RA, Class 1A2

2.67%

12/26/46

^1,4

1,152,290

1,160,983

Nomura Resecuritization Trust,

Series 2016-2R, Class 1A1

0.33%

09/26/36

^1,4

3,712,304

3,634,709

NRPL, Series 2019-3A, Class A1

(STEP-reset date 11/25/20)

3.00%

07/25/59

13,863,422

13,724,944



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%		09/15/29	⁴		$	10,544,850		$	4,978,557
Opteum Mortgage Acceptance Corp.
Asset-Backed Pass-Through Certificates,
Series 2005-3, Class M2
(LIBOR USD 1-Month plus 0.48%)
0.63%		07/25/35	³			11,301,000			11,083,326
Option One Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.18%)
0.33%		04/25/37	³			16,013,877			11,173,483
Option One Mortgage Loan Trust,
Series 2007-5, Class 2A2
(LIBOR USD 1-Month plus 0.17%)
0.32%		05/25/37	³			10,754,837			7,284,574
Ownit Mortgage Loan Trust,
Series 2006-2, Class A1
(LIBOR USD 1-Month plus 0.21%)
0.36%		01/25/37	³			8,175,987			7,562,091
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
0.46%		06/25/47	³			5,152,000			4,652,081
RAAC Trust,
Series 2005-SP1, Class 4A1
7.00%		09/25/34				93,948			96,956
Residential Accredit Loans Trust,
Series 2005-QA13, Class 2A1
4.37%		12/25/35	⁴			1,918,228			1,728,044
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.75%		04/25/35	⁴			29,424			26,016
Residential Accredit Loans Trust,
Series 2005-QA7, Class A21
3.65%		07/25/35	⁴			861,240			808,253
Residential Accredit Loans Trust,
Series 2005-QA8, Class CB21
3.83%		07/25/35	⁴			763,685			570,288
Residential Accredit Loans Trust,
Series 2006-QS13, Class 2A1
5.75%		09/25/21				27,811			29,828
Residential Accredit Loans Trust,
Series 2006-QS16, Class A6
6.00%		11/25/36				585,103			563,683
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2AV (IO)
0.18%		01/25/37	^4,6,7			2,408,181			15,692
Residential Asset Securitization Trust,
Series 2005-KS9, Class M4
(LIBOR USD 1-Month plus 0.60%)
0.75%		10/25/35	³			5,228,215			5,210,737

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Asset Securitization Trust,

Series 2006-A9CB, Class A9

6.00%

09/25/36

5,389,962

2,922,119

Residential Funding Mortgage Securities

Trust, Series 2007-SA2, Class 1A

4.13%

04/25/37

⁴

272,105

174,520

Saxon Asset Securities Trust, Series 2005-4,

Class M1

(LIBOR USD 1-Month plus 0.44%)

0.59%

11/25/37

4,368,903

4,382,481

Saxon Asset Securities Trust, Series 2007-2,

Class A2C

(LIBOR USD 1-Month plus 0.24%)

0.39%

05/25/47

17,204,747

13,786,869

Securitized Asset-Backed Receivables LLC

Trust, Series 2006-CB1, Class AF4

(STEP-reset date 11/25/20)

3.20%

01/25/36

4,641,639

4,306,346

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR2, Class A2

(LIBOR USD 1-Month plus 0.23%)

0.38%

02/25/37

1,219,738

694,931

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-BR4, Class A2B

(LIBOR USD 1-Month plus 0.20%)

0.35%

05/25/37

2,474,002

1,707,728

Securitized Asset-Backed Receivables LLC

Trust, Series 2007-NC1, Class A2B

(LIBOR USD 1-Month plus 0.15%)

0.30%

12/25/36

7,007,134

4,847,891

Soundview Home Loan Trust,

Series 2006-WF2, Class M1

(LIBOR USD 1-Month plus 0.22%)

0.37%

12/25/36

8,865,595

8,854,210

Soundview Home Loan Trust,

Series 2007-WMC1, Class 3A3

(LIBOR USD 1-Month plus 0.26%)

0.41%

02/25/37

1,090,349

431,417

Stanwich Mortgage Loan Co.,

Series 2019-RPL1, Class A

(STEP-reset date 10/16/20)

3.72%

03/15/49

13,327,463

12,765,187

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-12, Class 2A

2.88%

09/25/34

⁴

855,506

844,543

Structured Adjustable Rate Mortgage Loan

Trust, Series 2004-2, Class 4A2

2.91%

03/25/34

⁴

1,380,334

1,369,117

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-12, Class 3A1

3.28%

06/25/35

⁴

1,201,196

1,177,930

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-21, Class 2A

3.24%

11/25/35

⁴

1,105,544

953,521

Structured Adjustable Rate Mortgage Loan

Trust, Series 2005-7, Class 1A3

3.42%

04/25/35

⁴

3,054,416

2,987,413

Structured Adjustable Rate Mortgage Loan

Trust, Series 2006-11, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

0.31%

12/25/36

1,820,037

1,714,968

Structured Asset Investment Loan Trust,

Series 2004-6, Class A3

(LIBOR USD 1-Month plus 0.80%)

0.95%

07/25/34

12,813,666

11,833,419

Structured Asset Mortgage Investments II

Trust, Series 2006-AR3, Class 22A1

3.12%

05/25/36

⁴

486,007

298,200

Structured Asset Mortgage Investments II

Trust, Series 2006-AR5, Class 1A1

(LIBOR USD 1-Month plus 0.21%)

0.36%

05/25/36

348,569

321,541

Structured Asset Mortgage Investments II

Trust, Series 2006-AR7, Class A1BG

(LIBOR USD 1-Month plus 0.12%)

0.27%

08/25/36

12,726,563

11,634,588

Structured Asset Mortgage Investments II

Trust, Series 2007-AR6, Class A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.50%)

2.52%

08/25/47

12,802,524

12,066,964

Structured Asset Securities Corp. Mortgage

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

(LIBOR USD 1-Month plus 1.50%)

1.66%

02/25/35

121,238

121,161

Structured Asset Securities Corp. Mortgage

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

(LIBOR USD 1-Month plus 1.75%)

1.91%

03/25/35

1,481,833

1,451,131

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 2003-34A, Class 3A3

3.35%

11/25/33

⁴

45,936

45,718

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-4, Class 3A1

3.04%

10/25/37

⁴

1,718,526

1,595,752

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-S1, Class 2A1

3.66%

01/25/37

⁴

553,217

553,267

Suntrust Adjustable Rate Mortgage Loan

Trust, Series 2007-S1, Class 5A1

3.70%

01/25/37

⁴

268,108

268,246

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A2

(LIBOR USD 1-Month plus 0.11%)

0.26%

01/25/37

6,557,223

4,191,082

WaMu Asset-Backed Certificates,

Series 2007-HE2, Class 2A2

(LIBOR USD 1-Month plus 0.22%)

0.37%

02/25/37

28,734,019

13,452,480

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR13, Class A1A

(LIBOR USD 1-Month plus 0.72%)

0.87%

11/25/34

172,347

166,136

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR14, Class A1

3.82%

01/25/35

⁴

555,189

560,560

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR6, Class A

(LIBOR USD 1-Month plus 0.42%)

0.57%

05/25/44

64,773

64,584

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR12, Class 1A6

2.95%

10/25/35

⁴

1,327,578

1,328,740

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR14, Class 2A1

3.52%

12/25/35

⁴

30,141

29,080

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR16, Class 1A3

3.72%

12/25/35

⁴

1,504,819

1,477,148

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A21

(LIBOR USD 1-Month plus 0.33%)

0.48%

01/25/45

770,615

741,570

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR9, Class A1A

(LIBOR USD 1-Month plus 0.64%)

0.79%

07/25/45

763,392

742,895

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR3, Class A1A

(Federal Reserve US 12-Month Cumulative

Average plus 1.00%)

2.02%

02/25/46

5,348,777

5,157,315

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR4, Class 1A1A

(Federal Reserve US 12-Month Cumulative

Average plus 0.94%)

2.11%

05/25/46

2,260,710

2,189,112

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR7, Class 2A

(Federal Reserve US 12-Month Cumulative

Average plus 0.98%)

2.00%

07/25/46

4,412,836

4,034,358



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY3, Class 1A1
3.23%		03/25/37	⁴		$	2,263,354		$	2,070,706
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA5, Class 1A
(Federal Reserve US 12-Month Cumulative
Average plus 0.75%)
1.77%		06/25/47	³			1,802,139			1,665,500
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37				2,347,755			2,315,971
Wells Fargo Home Equity Asset-Backed
Securities Trust, Series 2007-1, Class A3
(LIBOR USD 1-Month plus 0.32%)
0.47%		03/25/37	³			4,690,000			4,170,448
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR14, Class 2A1
2.94%		10/25/36	⁴			578,921			544,186
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR4, Class 1A1
4.01%		04/25/36	⁴			142,435			139,121


									863,276,445

U.S. Agency Commercial Mortgage-Backed — 4.19%
Fannie Mae-Aces, Series 2011-M5,
Class X (IO)
1.17%		07/25/21	⁴			30,417,215			184,935
Fannie Mae-Aces, Series 2012-M4,
Class X1 (IO)
0.53%		04/25/22	⁴			28,195,093			84,729
Fannie Mae-Aces, Series 2016-M11,
Class X2 (IO)
2.82%		07/25/39	⁴			35,242,925			1,422,263
Fannie Mae-Aces, Series 2016-M2,
Class X3 (IO)
2.06%		04/25/36	⁴			62,282,117			956,248
Fannie Mae-Aces, Series 2016-M4,
Class X2 (IO)
2.70%		01/25/39	⁴			47,020,297			3,195,340
Fannie Mae-Aces, Series 2019-M29,
Class X4 (IO)
0.70%		03/25/29	⁴			117,375,779			5,318,854
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
1.14%		07/25/33	⁴			14,520,699			1,613,316
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K011,
Class X3 (IO)
2.69%		12/25/43	⁴			50,337,359			209,041

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K015,

Class X3 (IO)

2.90%

08/25/39

⁴

32,027,257

714,267

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K021,

Class X3 (IO)

2.03%

07/25/40

⁴

26,660,903

869,581

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K022,

Class X3 (IO)

1.87%

08/25/40

⁴

37,280,187

1,167,409

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K031,

Class X1 (IO)

0.32%

04/25/23

⁴

372,515,633

1,890,237

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K043,

Class X3 (IO)

1.69%

02/25/43

⁴

58,000,000

3,593,164

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K051,

Class X3 (IO)

1.67%

10/25/43

⁴

44,865,280

3,238,919

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K054,

Class X1 (IO)

1.31%

01/25/26

⁴

54,349,344

2,933,234

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K055,

Class X3 (IO)

1.70%

04/25/44

⁴

32,000,000

2,542,978

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K056,

Class X1 (IO)

1.40%

05/25/26

⁴

60,503,021

3,613,410

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K057,

Class X1 (IO)

1.32%

07/25/26

⁴

124,891,125

7,302,546

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K719,

Class X1 (IO)

0.82%

06/25/22

⁴

29,202,117

19,779

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K726,

Class X1 (IO)

1.02%

04/25/24

⁴

143,605,696

3,511,719

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC01,

Class X1 (IO)

0.81%

12/25/22

⁴

91,032,080

443,727

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC05,

Class X1 (IO)

1.20%

06/25/27

⁴

89,017,376

5,254,909

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC07,

Class X1 (IO)

0.85%

09/25/26

⁴

85,000,000

2,680,050

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF75,

Class AL

(LIBOR USD 1-Month plus 0.51%)

0.65%

12/25/29

7,000,000

7,103,218

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF80,

Class AL

(LIBOR USD 1-Month plus 0.44%)

0.60%

06/25/30

4,975,000

5,009,507

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF84,

Class AL

(LIBOR USD 1-Month plus 0.30%)

0.46%

07/25/30

16,685,000

16,720,677

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF85,

Class AL

(LIBOR USD 1-Month plus 0.30%)

0.46%

08/25/30

12,000,000

12,026,783

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KHG2,

Class X (IO)

0.41%

02/25/30

⁴

28,904,910

706,614

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KIR1,

Class X (IO)

1.20%

03/25/26

⁴

118,940,624

5,865,063

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KL05,

Class X1HG (IO)

1.37%

12/25/27

⁴

49,531,000

3,209,826

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS05,

Class X (IO)

0.76%

01/25/23

⁴

157,352,829

2,359,191

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS06,

Class X (IO)

1.20%

08/25/26

⁴

68,007,816

3,076,211

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS07,

Class X (IO)

0.78%

09/25/25

⁴

104,500,000

2,975,329



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS11,
Class XFX (IO)
1.76%		06/25/29	⁴		$	25,850,000		$	2,792,084
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q006,
Class APT1
2.67%		07/25/26	⁴			5,929,942			6,073,185
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series Q006,
Class APT2
2.55%		09/25/26	⁴			12,248,999			12,464,966
Ginnie Mae, Series 2011-152, Class IO (IO)
0.19%		08/16/51	⁴			12,332,667			50,677
Ginnie Mae, Series 2012-112, Class IO (IO)
0.20%		02/16/53	⁴			52,407,337			533,334
Ginnie Mae, Series 2012-78, Class IO (IO)
0.46%		06/16/52	⁴			72,110,507			816,911
Ginnie Mae, Series 2014-103, Class IO (IO)
0.36%		05/16/55	⁴			30,400,842			513,595
Ginnie Mae, Series 2014-125, Class IO (IO)
0.92%		11/16/54	⁴			21,298,215			1,016,781
Ginnie Mae, Series 2016-22, Class IX (IO)
0.00%		06/16/38	⁴			1			—


									136,074,607

U.S. Agency Mortgage-Backed — 12.63%
Fannie Mae Pool AN7345
3.21%		11/01/37				16,144,119			18,731,329
Fannie Mae Pool AN8779
3.50%		05/01/33				3,500,000			4,160,022
Fannie Mae Pool BL2360
3.45%		05/01/34				12,065,000			14,211,220
Fannie Mae REMICS, Series 2006-11,
Class PS
(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap)
24.02%		03/25/36	³			17,970			30,256
Fannie Mae REMICS, Series 2006-8,
Class HJ (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.45%		03/25/36	³			933,176			200,705
Fannie Mae REMICS, Series 2007-52,
Class LS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.90%		06/25/37	³			40,113			5,393
Fannie Mae REMICS, Series 2007-77,
Class SK (IO)
(-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap)
5.72%		08/25/37	³			75,337			15,769

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae REMICS, Series 2007-88,

Class JI (IO)

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

6.30%

04/25/37

964,757

212,092

Fannie Mae REMICS, Series 2008-18,

Class SM (IO)

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

6.85%

03/25/38

47,524

8,960

Fannie Mae REMICS, Series 2008-62,

Class SN (IO)

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

6.05%

07/25/38

121,018

23,319

Fannie Mae REMICS, Series 2010-116,

Class SE (IO)

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

6.45%

10/25/40

52,270

8,775

Fannie Mae REMICS, Series 2012-56,

Class FK

(LIBOR USD 1-Month plus 0.45%)

0.60%

06/25/42

4,452,108

4,481,334

Fannie Mae REMICS, Series 2013-5,

Class GF

(LIBOR USD 1-Month plus 1.10%)

1.25%

10/25/42

290,211

291,569

Fannie Mae REMICS, Series 2014-49,

Class CF

(LIBOR USD 1-Month plus 1.00%)

1.15%

07/25/43

14,521,503

14,419,701

Fannie Mae REMICS, Series 2019-33,

Class FN

(LIBOR USD 1-Month plus 0.40%)

0.55%

07/25/49

7,341,088

7,404,510

Freddie Mac REMICS, Series 2711,

Class FA

(LIBOR USD 1-Month plus 1.00%)

1.15%

11/15/33

68,073

69,796

Freddie Mac REMICS, Series 2733,

Class FB

(LIBOR USD 1-Month plus 0.60%)

0.75%

10/15/33

241,342

244,890

Freddie Mac REMICS, Series 3339,

Class JS

(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap)

41.84%

07/15/37

13,710

30,922

Freddie Mac REMICS, Series 3404,

Class AS (IO)

(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)

5.74%

01/15/38

63,813

14,545



Issues	Maturity Date			Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3439,
Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)
5.75%		04/15/38	³		$	43,088		$	8,123
Freddie Mac REMICS, Series 3885,
Class PO (PO)
0.00%		11/15/33	⁹			19,443			18,582
Freddie Mac REMICS, Series 4030,
Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
6.46%		04/15/42	³			129,119			27,286
Freddie Mac REMICS, Series 4638,
Class UF
(LIBOR USD 1-Month plus 1.00%)
1.15%		09/15/44	³			2,759,457			2,773,190
Freddie Mac REMICS, Series 4919,
Class FP
(LIBOR USD 1-Month plus 0.45%)
0.60%		09/25/49	³			7,882,406			7,950,603
Freddie Mac REMICS, Series 4993,
Class OP (PO)
0.00%		10/25/58	⁹			5,986,432			5,733,271
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41				98,855			20,467
Ginnie Mae, Series 2011-69, Class GI (IO)
5.00%		05/16/40				61,124			1,386
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	³			629,697			8,576
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	³			781,910			11,562
Ginnie Mae, Series 2013-135, Class CS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
6.05%		09/16/43	³			2,415,695			515,486
Ginnie Mae, Series 2017-136, Class IO (IO)
5.00%		09/20/47				647,909			92,266
Ginnie Mae, Series 2019-86, Class FE
(LIBOR USD 1-Month plus 0.40%)
0.56%		07/20/49	³			8,005,864			8,068,702
Ginnie Mae, Series 2020-133, Class FA
0.55%		02/20/49	⁴			4,966,222			4,998,813
UMBS (TBA)
2.00%		10/01/50				183,700,000			189,922,031
2.50%		10/01/50				50,125,000			52,583,115
2.50%		11/01/50				69,250,000			72,526,288


									409,824,854


Total Mortgage-Backed
(Cost $1,652,010,581)									1,593,230,710



Issues	Maturity Date		Principal Amount			Value
MUNICIPAL BONDS — 1.52%*
California — 0.60%
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		$	2,731,287
Regents of the University of California
Medical Center Pooled Revenue, Taxable
Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.26%		05/15/60			8,765,000			9,658,154
San Francisco City & County Airport
Comm-San Francisco International Airport,
Airport and Marina Improvements, Series A
5.00%		05/01/49			6,080,000			7,201,638
State of California, General Obligation
Bonds. Build America Bonds, School
Improvements
7.95%		03/01/36			698			649


								19,591,728

Florida — 0.05%
Greater Orlando Aviation Authority, Port,
Airport and Marina Improvements, Series A
5.00%		10/01/44			1,350,000			1,621,816


Massachusetts — 0.12%
Commonwealth of Massachusetts, General
Obligation Bonds, Public Improvements,
Series C
3.00%		03/01/48			3,585,000			3,836,775


New York — 0.75%
City of New York, Build America Taxable
Bonds, Public Improvements, Series F1
6.65%		12/01/31			3,000,000			3,030,300
Metropolitan Transportation Authority, Green
Taxable Bonds, Transit Improvements,
Series C2
5.18%		11/15/49			3,570,000			3,725,081
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds, Public
Improvements, Series B1
4.00%		08/01/38			4,910,000			5,524,388
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			1,142,950
New York City Water & Sewer System
Revenue Bonds, Water Utility Improvements
3.00%		06/15/50			3,315,000			3,437,489
New York State Dormitory Authority, Build
America Bonds, University & College
Improvements
5.29%		03/15/33			3,100,000			3,965,489

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

New York (continued)

New York State Dormitory Authority,

Revenue Bonds, Health, Hospital and

Nursing Home Improvements, Series A

4.00%

07/01/50

3,130,000

3,499,606

24,325,303

Total Municipal Bonds

(Cost $46,221,524)

49,375,622

Total Bonds – 93.47%

(Cost $3,052,813,645)

3,034,316,033

Issues

Shares

Value

COMMON STOCK — 0.00%

Electric — 0.00%

Homer City Holdings LLC^5,6,7

112,222

6,172

Total Common Stock

(Cost $5,519,754)

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 16.11%

Commercial Paper — 0.58%

Ford Motor Credit Co. LLC

2.88%¹⁰

01/08/21

8,000,000

7,933,867

3.20%¹⁰

10/08/20

10,930,000

10,928,401

18,862,268

Money Market Funds — 0.26%

Dreyfus Government Cash Management

Fund

2.33%¹¹

8,339,000

Fidelity Investments Money Market Funds -

Government Portfolio

1.00%^11,12

28,432

8,367,432

U.S. Agency Discount Notes — 2.19%

Federal Home Loan Bank

0.08%¹⁰

10/15/20

15,000,000

14,999,708

0.10%¹⁰

11/10/20

50,000,000

49,996,667

0.11%¹⁰

11/13/20

6,000,000

5,999,570

70,995,945

U.S. Treasury Bills — 13.08%

U.S. Treasury Bills

0.11%¹⁰

02/04/21

75,000,000

74,972,437

0.11%¹⁰

02/11/21

50,000,000

49,981,990

0.13%¹⁰

01/21/21

75,000,000

74,976,667



Issues	Maturity Date		Principal Amount/Shares			Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
0.14%¹⁰		01/07/21		$	80,000,000		$	79,981,217
0.16%¹⁰		11/03/20			15,000,000			14,998,866
0.16%¹⁰		11/27/20			25,750,000			25,746,228
0.17%¹⁰		12/03/20			79,065,000			79,053,239
U.S. Treasury Bills (WI)
0.17%¹⁰		11/10/20			25,000,000			24,998,125


								424,708,769

Total Short-Term Investments
(Cost $522,891,910)								522,934,414

Total Investments – 109.58%
(Cost $3,581,225,309)								3,557,256,619

Liabilities in Excess of Other
Assets – (9.58)%								(310,910,290	)


Net Assets – 100.00%							$	3,246,346,329

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

³	Floating rate security. The rate disclosed was in effect at September 30, 2020.

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	Non-income producing security.

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

⁷	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $611,290, which is 0.02% of total net assets.

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

⁹	Zero coupon bond. The rate shown is the effective yield as of September 30, 2020.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Represents the current yield as of September 30, 2020.

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

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

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

(CLO): Collateralized Loan Obligation

(EMTN): Euro 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

⁴ Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 2.17%.

⁵ Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.67%.

⁴ Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.69%.

⁵ Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.41%.

* The Total Return Bond Fund Class I-2 Shares commenced operations on March 6, 2020.

⁵ Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.99%.

⁶ Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.02%.

* The Unconstrained Bond Fund Plan Class Shares commenced operations on March 6, 2020.

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 Alpha Trak 500 Fund (the “Alpha Trak 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 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 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 Class M shares. Class I was added on March 31, 2000; Class I-2 was added on March 6, 2020; Administrative Class was added on December 18, 2009; and the Plan Class was added on July 31, 2011. The Ultra Short Bond Fund commenced investment operations on June 30, 2003 with 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; the Plan Class was added on March 6, 2020. 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.

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 (e.g., 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 on which those securities are 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 Alpha Trak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The Alpha Trak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.

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

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

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

As of and during the six months ended September 30, 2020, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties.

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

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

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

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Money market funds. Money market funds are open-ended mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.

Short-term investments. Short-term investments (commercial paper and repurchase agreements) are valued using market price quotations, and are reflected as Level 2 of the fair value hierarchy.

Equity securities. Securities such as common stocks and warrants are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments.

Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized as Level 3.

Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable; they would then be categorized as 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-wanted 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 on 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, 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, 2020, 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, 2020 is as follows:



	ALPHATRAK 500 FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


	Investments in Securities

	Assets
	Short-Term Investments:
	Commercial Paper		$	—		$	134,371		$	—		$	134,371
	Money Market Funds			1,793,285			—			—			1,793,285
	U.S. Treasury Bills			2,224,693			—			—			2,224,693
	Long-Term Investments:
	Asset-Backed Securities			—			4,329,902			—			4,329,902
	Corporates			—			10,434,051			—			10,434,051
	Mortgage-Backed			—			7,222,724			72,934			7,295,658
	Mutual Funds			3,113,618			—			—			3,113,618
	U.S. Treasury Securities			425,008			—			—			425,008

	Other Financial Instruments *

	Assets:
	Equity contracts			170,177			—			—			170,177


	Total		$	7,726,781		$	22,121,048		$	72,934		$	29,920,763

*Other financial instruments include futures. Equity contracts include futures.



	CORPORATE BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


	Investments in Securities

	Assets
	Short-Term Investments:
	Commercial Paper		$	—		$	9,958		$	—		$	9,958
	Money Market Funds			575,112			—			—			575,112
	U.S. Agency Discount Notes			—			299,980			—			299,980
	U.S. Treasury Bills			1,599,414			—			—			1,599,414
	Long-Term Investments:
	Corporates			—			10,177,034			—			10,177,034
	Mortgage-Backed			—			240,513			29,792			270,305
	Municipal Bonds			—			198,354			—			198,354
	U.S. Treasury Securities			38,962			—			—			38,962

	Other Financial Instruments *

	Assets:
	Interest rate contracts			3,707			—			—			3,707

	Liabilities:
	Interest rate contracts			(991)			—			—			(991)


	Total		$	2,216,204		$	10,925,839		$	29,792		$	13,171,835


*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:
	Commercial Paper		$	—		$	19,997		$	—		$	19,997
	Money Market Funds			9,125,537			—			—			9,125,537
	U.S. Agency Discount Notes			—			1,999,867			—			1,999,867
	U.S. Treasury Bills			14,046,339			—			—			14,046,339
	Long-Term Investments:
	Asset-Backed Securities			—			3,004,829			—			3,004,829
	Bank Loans			—			123,351			—			123,351
	Corporates			—			16,140,497			—			16,140,497
	Mortgage-Backed			—			20,198,830			914,999			21,113,829
	Municipal Bonds			—			540,354			—			540,354

	Other Financial Instruments *

	Assets:
	Interest rate contracts			31,444			—			—			31,444

	Liabilities:
	Interest rate contracts			(1,230)			—			—			(1,230)


	Total		$	23,202,090		$	42,027,725		$	914,999		$	66,144,814

*Other financial instruments include futures. Interest rate contracts include futures.



FLOATING RATE INCOME FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


Investments in Securities

Assets
Short-Term Investments:
Money Market Funds		$	14,209,647		$	—		$	—		$	14,209,647
U.S. Treasury Bills			11,998,798			—			—			11,998,798
Long-Term Investments:
Bank Loans			—			233,567,587			3,307,509			236,875,096
Corporates			—			25,536,771			—			25,536,771
Municipal Bonds			—			39			—			39


Total		$	26,208,445		$	259,104,397		$	3,307,509		$	288,620,351




HIGH YIELD BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL


Investments in Securities

Assets
Short-Term Investments:
Money Market Funds		$	27,958,377		$	—		$	—		$	27,958,377
U.S. Treasury Bills			7,967,521			—			—			7,967,521
Long-Term Investments:
Bank Loans			—			83,219,395			3,032,223			86,251,618
Common Stock			484			—			27,660			28,144
Corporates			—			495,684,407			43,826			495,728,233
Mortgage-Backed			—			21,694,147			—			21,694,147
Municipal Bonds			—			2,892,553			—			2,892,553

Other Financial Instruments *

Assets:
Interest rate contracts			215,319			—			—			215,319
Liabilities:
Interest rate contracts			(43,348)			—			—			(43,348)


Total		$	36,098,353		$	603,490,502		$	3,103,709		$	642,692,564

*Other financial instruments include futures. Interest rate contracts include futures.



INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets
Short-Term Investments:
Commercial Paper	$	—	$	1,999,707	$	—	$	1,999,707
Money Market Funds		21,441,103		—		—		21,441,103
U.S. Treasury Bills		53,988,200		—		—		53,988,200
Long-Term Investments:
Asset-Backed Securities		—		42,939,115		—		42,939,115
Bank Loans		—		10,156,634		—		10,156,634
Common Stock		—		—		441		441
Corporates		—		226,853,069		—		226,853,069
Mortgage-Backed		—		157,546,352		—		157,546,352
Municipal Bonds		—		8,186,519		—		8,186,519
U.S. Agency Securities		—		229,851		—		229,851
U.S. Treasury Securities		314,744,548		5,901,329		—		320,645,877

Other Financial Instruments *

Assets:
Interest rate contracts		13,876		—		—		13,876
Liabilities:
Interest rate contracts		(46,411)		—		—		(46,411)


Total	$	390,141,316	$	453,812,576	$	441	$	843,954,333

*Other financial instruments include futures. Interest rate contracts include futures.


INVESTMENT GRADE CREDIT FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL

Investments in Securities

Assets
Short-Term Investments:
Commercial Paper		$	—		$	19,997		$	—		$	19,997
Money Market Funds			326,815			—			—			326,815
U.S. Treasury Bills			1,336,712			—			—			1,336,712
Long-Term Investments:
Asset-Backed Securities			—			598,819			—			598,819
Corporates			—			6,983,006			—			6,983,006
Mortgage-Backed			—			2,451,908			73,307			2,525,215
Municipal Bonds			—			207,742			—			207,742
U.S. Treasury Securities			438,316			—			—			438,316

Other Financial Instruments *

Assets:
Interest rate contracts			5,527			—			—			5,527
Liabilities:
Interest rate contracts			(1,838)			—			—			(1,838)


Total		$	2,105,532		$	10,261,472		$	73,307		$	12,440,311

*Other financial instruments include futures. Interest rate contracts include futures.


LOW DURATION BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL

Investments in Securities

Assets
Short-Term Investments:
Commercial Paper		$	—		$	3,624,470		$	—		$	3,624,470
Money Market Funds			46,107,509			—			—			46,107,509
U.S. Agency Discount Notes			—			89,978,800			—			89,978,800
U.S. Treasury Bills			294,440,423			—			—			294,440,423
Long-Term Investments:
Asset-Backed Securities			—			149,238,818			—			149,238,818
Bank Loans			—			29,113,610			—			29,113,610
Common Stock			—			—			5,858			5,858
Corporates			—			564,619,181			—			564,619,181
Mortgage-Backed			—			653,481,567			1,531,509			655,013,076
Municipal Bonds			—			4,367,992			—			4,367,992
Purchased Swaptions			—			2,655			—			2,655
U.S. Treasury Securities			401,049,746			—			—			401,049,746

Other Financial Instruments *
Liabilities:
Interest rate contracts			(62,151)			(2,112)			—			(64,263)


Total		$	741,535,527		$	1,494,424,981		$	1,537,367		$	2,237,497,875

*Other financial instruments include futures and written swaptions. Interest rate contracts include futures and written swaptions.

*Other financial instruments include futures. Interest rate contracts include futures.

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

*Other financial instruments include futures. Interest rate contracts include futures.

Certain securities held by the Funds are categorized as Level 3 investments. Their prices may be derived by utilizing unobservable prior transaction values or information from third party valuation services. The value of Level 3 investments could be significantly affected by changes in these unobservable inputs.

For the six months ended September 30, 2020, 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, 2020 was $(6,742) 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, 2020.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $(5,215) 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, 2020.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $20,751 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, 2020.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $560,708 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, 2020, the Fund used observable inputs in determining the value of certain investments. As of September 30, 2020, 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 $1,087,479 transferred from level 2 to level 3, and $381,409 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, 2020		$	2,812,025			$	27,660		$	89,537			$	4,810
Accrued discounts/premiums			17,888				—			(674	)			—
Realized gain/(loss)			993				—			(142	)			4,810
Change in unrealized appreciation/(depreciation)^*			531,866				—			(1,732	)			(4,810	)
Purchases			176,000				—			—				—
Sales			(8,609	)			—			(43,163	)			(4,810	)
Transfers into Level 3**			793,008				—			—				—
Transfers out of Level 3**			(1,290,948	)			—			—				—


Balance as of September 30, 2020		$	3,032,223			$	27,660		$	43,826			$	—

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $242,888 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, 2020, the Fund used observable inputs in determining the value of certain investments. As of September 30, 2020, 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 $793,008 transferred from level 2 to level 3, and $1,290,948 transferred from level 3 to level 2 in the disclosure hierarchy.

* There were no transfers between level 2 and 3 for the period ended September 30, 2020.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $(3,919) 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, 2020.



LOW DURATION BOND FUND	COMMON STOCK			MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2020		$	5,858		$	1,711,943
Accrued discounts/premiums			—			(24,268	)
Realized gain/(loss)			—			—
Change in unrealized (depreciation)^*			—			(156,166	)
Purchases			—			—
Sales			—			—
Transfers into Level 3^**			—			—
Transfers out of Level 3^**			—			—


Balance as of September 30, 2020		$	5,858		$	1,531,509

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $(156,166) 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, 2020.



STRATEGIC INCOME FUND	ASSET-BACKED SECURITIES				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2020		$	110,334			$	216,306
Accrued discounts/premiums			129				37,519
Realized (loss)			—				(27,694	)
Change in unrealized (depreciation)^*			(30,423	)			(12,474	)
Purchases			—				—
Sales			—				(63,911	)
Corporate action			—				—
Transfers into Level 3^**			—				—
Transfers out of Level 3^**			—				—


Balance as of September 30, 2020		$	80,040			$	149,746

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $(69,804) 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, 2020.



TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES				BANK LOANS				COMMON STOCK			CORPORATES				MORTGAGE- BACKED SECURITIES

Balance as of April 1, 2020		$	3,430,498			$	6,069,565			$	64,939		$	5,264,767			$	11,260,792
Accrued discounts/premiums			—				(38,459	)			—			(11,260	)			(600,011	)
Realized gain/(loss)			(1,693,588	)			98				—			(47,296	)			—
Change in unrealized appreciation/ (depreciation)^*			(1,429,442	)			(260,143	)			—			177,780				(511,873	)
Purchases			—				—				—			—				—
Sales			992,963				—				—			(381,310	)			—
Transfers into Level 3^**			—				—				—			—				—
Transfers out of Level 3^**			—				—				—			—				—


Balance as of September 30, 2020		$	1,300,431			$	5,771,061			$	64,939		$	5,002,681			$	10,148,908

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $(2,154,754) 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, 2020.

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $205 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, 2020.



UNCONSTRAINED BOND FUND	BANK LOANS				COMMON STOCK			MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2020		$	536,919			$	6,172		$	96,156
Accrued discounts/premiums			(3,400	)			—			18,613
Realized gain			9				—			—
Change in unrealized (depreciation)^*			(23,015	)			—			(20,164	)
Purchases			—				—			—
Sales			—				—			—
Transfers into Level 3^**			—				—			—
Transfers out of Level 3^**			—				—			—


Balance as of September 30, 2020		$	510,513			$	6,172		$	94,605

* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2020 was $(43,179) 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, 2020.

Significant unobservable valuations inputs for Level 3 investments as of September 30, 2020, are as follows:

ALPHATRAK 500 FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Mortgage-Backed Securities -

Commercial Mortgage-Backed

$40,976

Third-party Vendor

Vendor Prices

$0.43 -$3.06

$2.23

Mortgage-Backed Securities-Non

Agency

$31,958

Third-party Vendor

Vendor Prices

1.46

CORPORATE BOND FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Mortgage-Backed Securities-

Commercial Mortgage-Backed

$29,792

Third-party Vendor

Vendor Prices

$0.43 -$2.64

$1.91

FLEXIBLE INCOME FUND

FAIR VALUE
AT 9/30/20

VALUATION

TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Mortgage-Backed Securities-

Commercial Mortgage-Backed

$19,590

Third-party Vendor

Vendor Prices

$2.64

Mortgage-Backed Securities-

Non-Agency

$895,409

Third-party Vendor

Vendor Prices

0.87 - 34.19

14.23

FLOATING RATE INCOME

FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Bank Loans

$3,307,509

Third-party Vendor

Vendor Prices

$41.25 - $99.00

$81.16

HIGH YIELD BOND FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Bank Loans

$3,032,223

Third-party Vendor

Vendor Prices

$53.07 - $92.25

$84.01

Common Stock

$27,660

Broker Quote

Offered Quote

0.06

Corporate Securities

$43,826

Third-party Vendor

Vendor Prices

101.52

INTERMEDIATE BOND FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Common Stock

$441

Third-party Vendor

Vendor Prices

$0.06

INVESTMENT GRADE CREDIT

FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Mortgage-Backed Securities-

Commercial Mortgage-Backed

$73,307

Third-party Vendor

Vendor Prices

$0.43 - 2.64

$2.16

LOW DURATION BOND FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Common Stock

$5,858

Broker Quote

Offered Quote

$0.06

Mortgage-Backed Securities-Non-

Agency

$1,531,509

Third-party Vendor

Vendor Prices

1.72

STRATEGIC INCOME FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Asset-Backed Securities

$80,040

Third-party Vendor

Vendor Prices

$10.00 - $11.01

$10.58

Mortgage-Backed Securities-Non- Agency

$149,746

Third-party Vendor

Vendor Prices

8.83

TOTAL RETURN BOND FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Asset-Backed Securities

$1,300,431

Benchmark Pricing

Offered Quote

$10.00 - $36.94

$21.68

Bank Loans

$5,771,061

Third-party Vendor

Vendor Prices

72.50

Common Stock

$64,939

Broker Quote

Offered Quote

0.06

Corporate Securities

$5,002,681

Third-party Vendor

Vendor Prices

121.79

Mortgage-Backed Securities-Non- Agency

$10,148,908

Third-party Vendor

Vendor Prices

0.84 - 2.38

1.80

ULTRA SHORT BOND FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Mortgage-Backed Securities - Non- Agency

$22,163

Third-party Vendor

Vendor Prices

$1.46

UNCONSTRAINED BOND FUND

FAIR VALUE
AT 9/30/20

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Bank Loans

$510,513

Third-party Vendor

Vendor Prices

$72.50

Common Stock

$6,172

Broker Quote

Offered Quote

0.06

Mortgage-Backed Securities-Non- Agency

$94,605

Third-party Vendor

Vendor Prices

0.65 - 8.83

7.44

* 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, 2020:



	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES

DERIVATIVE TYPE	ASSET DERIVATIVES	LIABILITY DERIVATIVES

Interest rate contracts	Unrealized appreciation on swap contracts	Unrealized depreciation on swap contracts
	Premiums paid for swap contracts	Premiums received on swap contracts
	Receivable for daily variation margin	Payable for daily variation margin
	Investments, at value	Options written
Credit contracts	Unrealized appreciation on swap contracts	Unrealized depreciation on swap contracts
	Premiums paid for swap contracts	Premiums received for swap contracts
Equity contracts	Unrealized appreciation on swap contracts	Unrealized depreciation on swap contracts
	Premiums paid for swap contracts	Premiums received for swap contracts
	Receivable for daily variation margin	Payable for daily variation margin
	—	Options written
Foreign currency exchange contracts	Unrealized appreciation on foreign currency exchange contracts	Unrealized depreciation on foreign currency exchange contracts
	—	Options written

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 2020:



			ASSET DERIVATIVE INVESTMENTS

			CORPORATE		FLEXIBLE
	ALPHATRAK 500 FUND		BOND FUND		INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND		INTERMEDIATE BOND FUND
Equity contracts:
Futures¹		$170,177		$ —		$ —		$—		$ —		$ —
Interest contracts:
Futures¹		—		3,707		31,444		—		215,319		13,876


Total		$170,177		$3,707		$31,444		$—		$215,319		$13,876



			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		$5,527		$ —		$24,864		$8,761,000		$ —		$2,379,513
Swaptions purchased		—		2,655		—		—		—		—
Foreign currency exchange contracts:
Forwards		—		—		—		2,952		—		—

Total		$5,527		$2,655		$24,864		$8,763,952		$—		$2,379,513



						LIABILITY DERIVATIVE INVESTMENTS
	ALPHATRAK 500 FUND		CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
Interest contracts:
Futures¹		$—		$(991	)		$(1,230	)		$—		$(43,348	)		$(46,411	)

Total		$—		$(991	)		$(1,230	)		$—		$(43,348	)		$(46,411	)



							LIABILITY DERIVATIVE INVESTMENTS
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			STRATEGIC INCOME FUND			OTAL RETURN BOND FUND			ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
Interest contracts:
Futures¹		$(1,838	)		$(62,151	)		$(3,171	)		$(1,374,789	)		$(20,363	)		$(252,735	)
Options and swaptions written		—			(2,112)			—			—			—			—
Foreign currency exchange contracts:
Forwards		—			—			—			(263,683)			—			—

Total		$(1,838	)		$(64,263	)		$(3,171	)		$(1,638,472	)		$(20,363	)		$(252,735	)

¹Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedules of Portfolio Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

The following is a summary of the Funds’ realized gain/(loss) and change in unrealized appreciation/(depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the six months ended September 30, 2020:



	REALIZED GAIN/(LOSS) 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		$	5,970,894				$ —			$	—			$	—			$ —			$ —
Interest contracts:
Futures			—				(1,706	)			(33,144	)			—			374,167			1,671,360
Swap contracts			—				—				—				—			—			97,134
Foreign currency exchange contracts:
Forwards			—				—				—				—			—			892,806


Total			$5,970,894				$(1,706	)			$(33,144	)		$	—		$	374,167		$	2,661,300



	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			$(3,735	)		$	294,326				$(545,101	)		$	156,295,573			$(110,856)			$ (26,120,093	)
Options and swaptions written			—				—				—				19,825,972			—			—
Swap contracts			1,019				256,105				10,225				11,016,435			—			439,083
Foreign currency exchange contracta:
Forwards			—				2,350,842				—				49,712,320			117,756			2,270,424


Total			$(2,716	)		$	2,901,273				$(534,876	)		$	236,850,300		$	6,900			$ (23,410,586	)



	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		$	1,829,634		$	—		$	—		$	—		$	—			$	—
Interest contracts:
Futures			—			3,525			53,671			—			(593,541	)			(1,736,911	)
Swap contracts			—			—			—			—			—				(99,213	)
Foreign currency exchange contracts:
Forwards			—			—			—			—			—				(520,871	)


Total		$	1,829,634		$	3,525		$	53,671		$	—		$	(593,541	)		$	(2,356,995	)


	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		$	(5,362	)		$ (1,049,982)			$	589,833			$	(104,080,585	)		$	47,510			$	29,020,789
Options and swaptions written			—			807				—				(10,378,322	)			—				—
Swap contracts			(1,018	)		(258,612	)			(10,397	)			(10,540,803	)			—				(446,677	)
Foreign currency exchange contracts:
Forwards			—			(1,371,501	)			—				(24,216,296	)			(68,700	)			(2,270,424	)


Total		$	(6,380	)		$ (2,679,288)			$	579,436			$	(149,216,006	)		$	(21,190	)		$	26,303,688



	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			203			3			10			—			752			485
Average number of contracts sold			—			2			10			—			373			197
Average value of contracts purchased		$	925,189		$	250		$	1,503		$	—		$	1,259,486		$	602,944
Average value of contracts sold		$	—		$	1,141		$	12,442		$	—		$	1,346,801		$	189,161
Interest rate swaps:
Average number of contracts - pays fixed rate			—			—			—			—			—			1
Average number of contracts - receives fixed rate			—			—			—			—			—			1
Average notional value - pays fixed rate		$	—		$	—		$	—		$	—		$	—		$	12,256
Average notional value - receives fixed rate		$	—		$	—		$	—		$	—		$	—		$	29,989
Foreign currency exchange contracts:
Average number of contracts sold			1			—			—			1			—			1
Average value of contracts sold		$	1,895		$	—		$	—		$	12,972		$	—		$	165,212


	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			19			952			3			35,762			2			1,049
Average number of contracts sold			9			591			116			5,179			65			2,156
Average value of contracts purchased		$	12,010		$	597,698		$	2,736		$	47,347,866		$	213		$	180,066
Average value of contracts sold		$	12,840		$	406,157		$	175,543		$	3,437,493		$	29,559		$	9,033,138
Written options:
Average number of contracts			—			—			—			1			—			—
Average notional value		$	—		$	—		$	—		$	7,092,016		$	—		$	—
Interest rate swaps:
Average number of contracts - pays fixed rate			1			1			1			1			—			1
Average number of contracts - receives fixed rate			1			1			1			1			—			1
Average notional value - pays fixed rate		$	99		$	32,839		$	1,346		$	1,239,561		$	—		$	53,109
Average notional value - receives fixed rate		$	244		$	80,333		$	3,293		$	3,033,318		$	—		$	129,970
Written swaptions:
Average number of contracts			—			1			—			—			—			—
Average notional value		$	—		$	540,000		$	—		$	—		$	—		$	—
Foreign currency exchange contracts:
Average number of contracts sold			—			1			1			4			1			1
Average value of contracts sold		$	—		$	458,768		$	4,861		$	9,951,451		$	23,349		$	772,544

¹Amounts disclosed represent the volume of derivative contracts for the period ended September 30, 2020.

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 to perform, and not the counterparty.

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 of $250,000 or $500,000 before a transfer is required, which is determined at the close of business of the Fund, and additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Each Fund attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards update No. 2011-11, Disclosures about Offsetting Assets and Liabilities, that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. Under this guidance the Funds disclose in the Statements of Assets and Liabilities both gross and net information about instruments and transactions eligible for offset such as

instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, the Funds disclose collateral received and posted in connection with master netting agreements or similar arrangements.

The following table presents Low Duration Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2020:



				LOW DURATION BOND FUND

COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED¹			DERIVATIVE (ASSETS)/LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF DERIVATIVE ASSETS²

Goldman Sachs International Swaptions		$	2,655		$	—		$	(2,112	)		$	543

Total		$	2,655		$	—		$	(2,112	)		$	543

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, 2020:

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, 2020:



				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		$	2,952		$	—		$	(2,952	)		$	—

Total		$	2,952		$	—		$	(2,952	)		$	—

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, 2020:

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, there may be 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, 2020, 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 33 1/3% of the Fund’s total assets (taken at current value) are held as collateral for such sales at any one time. The Alpha Trak 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, 2020, 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, 2020, 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 an 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, 2020, the Funds did not hold any repurchase agreements.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings. 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. As of September 30, 2020, the Funds did not hold any average dollar amount and average interest rate of reverse repurchase agreements.

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, 2020, the Funds did not hold any reverse repurchase agreements.

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, 2020, 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 of 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 for swap contracts, net of assets received as collateral, 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. As of September 30, 2020 there were no credit default swaps outstanding in the Funds. 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, 2020, 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, 2020, 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 which 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.

Public Health Emergencies Risk and Impact of the Coronavirus (COVID-19): Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current outbreak of the novel coronavirus (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.

The World Health Organization officially declared in March 2020 that the COVID-19 outbreak formally constitutes a “pandemic.” This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to contain COVID-19, local, regional, and national governments, as well as private businesses and other organizations, have imposed and continue to impose severely restrictive measures, including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including “stay-at-home,” “shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently, COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment.

The ultimate impact of COVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent of COVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. Even if COVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term impacts of an extended period of unprecedented economic dislocation and disruption will be on future economic developments, the health of certain markets, industries and businesses, and commercial and consumer behavior.

The ongoing COVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses. The extent of the impact on business operations and performance of market participants and the companies in which we invest depends and will continue to depend on many factors, virtually all of which are highly uncertain

and unpredictable, and this impact may include or lead to: (i) significant reductions in revenue and growth; (ii) unexpected operational losses and liabilities; (iii) impairments to credit quality; and (iv) reductions in the availability of capital. These same factors may limit the ability to source, research, and execute new investments, as well as to sell investments in the future, and governmental mitigation actions may constrain or alter existing financial, legal, and regulatory frameworks in ways that are adverse to the investment strategies we intend to pursue, all of which could materially diminish our ability to fulfill investment objectives. They may also impair the ability of the companies in which we invest or their counterparties to perform their respective obligations under debt instruments and other commercial agreements (including their ability to pay obligations as they become due), potentially leading to defaults with uncertain consequences, including the potential for defaults by borrowers under debt instruments held in a client’s portfolio. In addition, an extended period of remote working by the employees of the companies in which we invest subjects those companies to additional operational risks, including heightened cybersecurity risk. Remote working environments may be less secure and more susceptible to cyberattacks that seek to exploit the COVID-19 pandemic, and the operational damage of any such events could potentially disrupt our business and reduce the value of our investments. The operations of securities markets may also be significantly impacted, or even temporarily or permanently halted, as a result of government quarantine measures, restrictions on travel and movement, remote-working requirements, and other factors related to a public health emergency, including the potential adverse impact on the health of any such entity’s personnel. These measures may also hinder normal business operations by impairing usual communication channels and methods, hampering the performance of administrative functions such as processing payments and invoices, and diminishing the ability to make accurate and timely projections of financial performance. Because our ability to execute transactions on behalf of the Funds is dependent upon the timely performance of multiple third parties, any interruptions in the business operations of those third parties could impair our ability to effectively implement a Fund’s investment strategies.

LIBOR Risk: The London Interbank Offer Rate (“LIBOR”) historically has been and currently is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR.A Fund’s derivative investments may also reference LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including investment companies such as the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.

Investment transactions for the six months ended September 30, 2020, excluding U.S. government and short-term investments, were as follows:

Investment transactions in U.S. government securities for the six months ended September 30, 2020 were as follows:

There were no purchases or sales of securities from affiliated investment accounts for the six months ended September 30, 2020. 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, 2020 were as follows:

As compensation for advisory services, the Adviser charges the Corporate Bond Fund, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Total Return Bond Fund, the Ultra Short Bond Fund and the Unconstrained Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.40%, 0.45%, 0.55%, 0.50%, 0.35%, 0.35%, 0.30%, 0.35%, 0.25% and 0.65%, respectively, of each Fund’s average daily net assets. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant 12-month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the ICE BofAML 3-Month U.S. Treasury Bill Index over the same period. Under this agreement, the basic fee was decreased by 0.22% resulting in $257,172 of total management fees for the six months ended September 30, 2020. 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 0.12% resulting in $77,263 total management fees for the six months ended September 30, 2020.

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, 2020, were as follows:

INVESTMENT ADVISORY FEE

RATE

CONTRACTUAL EXPENSE LIMITATION¹

PORTFOLIO

CLASS M

CLASS I

CLASS I-2

ADMINI-
STRATIVE
CLASS

PLAN
CLASS

CLASS M

CLASS I

CLASS I-2

ADMINI-
STRATIVE
CLASS

PLAN
CLASS

0.00%-

AlphaTrak 500 Fund

0.70%

N/A

0.90%

N/A

Corporate Bond Fund

0.40%

N/A

0.75%

0.50%

N/A

Flexible Income Fund

0.45%

N/A

0.80%

0.55%

N/A

Floating Rate Income Fund

0.55%

N/A

0.90%

0.70%

N/A

High Yield Bond Fund

0.50%

N/A

0.85%

0.60%

N/A

Intermediate Bond Fund

0.35%

N/A

0.70%

0.49%

N/A

Investment Grade Credit Fund

0.35%

N/A

0.70%

0.49%

N/A

Low Duration Bond Fund

0.30%

N/A

0.30%

N/A

0.63%

0.44%

N/A

0.83%

N/A

0.50%-

Strategic Income Fund

1.90%

N/A

2.35%

2.10%

N/A

Total Return Bond Fund

0.35%

0.35%^*

0.35%

0.70%

0.49%

0.54%^*

0.90%

0.39%

Ultra Short Bond Fund

0.25%

N/A

0.50%

0.34%

N/A

Unconstrained Bond Fund

0.65%

N/A

0.65%^**

1.04%

0.80%

N/A

0.70%^**

1The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2020, unless approved by the Board.

*The Total Return Bond Fund Class I-2 Shares commenced operations on March 6, 2020.

At September 30, 2020, the balance of recoupable expenses with expiration dates for the Funds were as follows:



PORTFOLIO	2021			2022			2023			2024			TOTAL

AlphaTrak 500 Fund		$	—		$	88,122		$	48,578		$	58,451		$	195,151
Corporate Bond Fund			—			138,411			179,693			113,395			431,499
Flexible Income Fund			—			84,349			195,102			117,870			397,321
Floating Rate Income Fund			48,132			47,495			9,650			3,784			109,061
High Yield Bond Fund			241,808			201,390			195,809			38,746			677,753
Intermediate Bond Fund			—			—			5,068			1,991			7,059
Investment Grade Credit Fund			—			142,645			191,069			117,983			451,697
Strategic Income Fund			—			—			285			—			285
Ultra Short Bond Fund			233,733			247,985			244,911			107,179			833,808

Total		$	523,673		$	950,397		$	1,070,165		$	559,399		$	3,103,634

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. For the period from April 1, 2019 to December 31, 2019, each of the independent trustees received 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 received an annual retainer of $51,000. The respective chairman of the Audit Committee and the Nominating and Governance Committee each received an additional annual retainer of $34,000 and $17,000, respectively. Effective January 1, 2020, the annual retainer for each independent trustee is $135,000, and the additional retainer for the chairman of the Board is $55,500. Also effective January 1, 2020, the additional retainer for the chairman of the Audit Committee and the chairman of the Nomination and Governance Committee is $37,000 and $18,500, 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, 2020.TheAlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2020, 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, High Yield Bond Fund, Intermediate Bond Fund, Low Duration Bond Fund and Total Return Bond Fund had the following unfunded commitments and unrealized gain/(loss) by investment as of September 30, 2020:



FLOATING RATE INCOME FUND

UNFUNDED COMMITMENTS	MATURITY			AMOUNT			UNREALIZED GAIN/ (LOSS)
Intelsat Jackson Holdings, Delayed-Draw Term Loan, 1st Lien (Luxembourg)		July	2021		$	54,989		$	1,427
Kwor Acquisition, Inc., Term Loan, 1st Lien		June	2026			131,108			(4,400	)
BCPE Empire Holdings, Inc., Delayed-Draw Term Loan, 1st Lien		June	2026			40,952			(978	)
Med Parentco LP, Delayed-Draw Term Loan, 1st Lien		August	2026			85,557			(1,819	)
Oeconnection LLC, Term Loan B		September	2026			43,739			(308	)
Pathway Vet Alliance LLC, Term Loan, 1st Lien		March	2027			111,238			1,224

Total Unfunded Commitments					$	467,583		$	(4,854	)

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, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		3,268,505			1,976,652

Shares sold		364,766			2,257,963
Shares issued through reinvestment of distributions		27,522			304,572
Shares redeemed		(945,976	)		(1,270,682	)

Net increase/(decrease) in fund shares		(553,688	)		1,291,853

Shares outstanding at end of period		2,714,817			3,268,505



	CORPORATE BOND FUND
	CLASS M			CLASS M		CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020		SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		84,928			77,858		231,865			131,400

Shares sold		896,949			—		155,011			88,066
Shares issued through reinvestment of distributions		4,994			7,070		7,580			12,399
Shares redeemed		(99,133	)		—		(79,546	)		—

Net increase in fund shares		802,810			7,070		83,045			100,465

Shares outstanding at end of period		887,738			84,928		314,910			231,865



	FLEXIBLE INCOME FUND
	CLASS M			CLASS M		CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020		SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		123			102		909,949			503,964

Shares sold		1,122,491			—		4,261,508			281,710
Shares issued through reinvestment of distributions		14,248			21		91,150			124,275
Shares redeemed		(259,945	)		—		(52,285	)		—

Net increase in fund shares		876,794			21		4,300,373			405,985

Shares outstanding at end of period		876,917			123		5,210,322			909,949



	FLOATING RATE INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020			SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		677,246			1,133,918			27,856,410			26,508,328

Shares sold		629,057			384,559			1,015,414			6,894,396
Shares issued through reinvestment of distributions		13,267			41,488			411,273			1,049,921
Shares redeemed		(296,048	)		(882,719	)		(1,365,888	)		(6,596,235	)

Net increase/(decrease) in fund shares		346,276			(456,672	)		60,799			1,348,082

Shares outstanding at end of period		1,023,522			677,246			27,917,209			27,856,410



	HIGH YIELD BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020			SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		13,656,919			19,395,315			31,231,832			30,373,750

Shares sold		8,125,177			4,010,225			27,296,806			18,242,498
Shares issued through reinvestment of distributions		302,052			670,728			777,382			1,099,895
Shares redeemed		(4,445,102	)		(10,419,349	)		(14,359,240	)		(18,484,311	)

Net increase/(decrease) in fund shares		3,982,127			(5,738,396	)		13,714,948			858,082

Shares outstanding at end of period		17,639,046			13,656,919			44,946,780			31,231,832



	INTERMEDIATE BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020			SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		3,177,342			3,409,753			65,097,687			68,386,996

Shares sold		939,289			994,035			10,474,552			11,652,449
Shares issued through reinvestment of distributions		22,723			85,332			548,551			1,823,035
Shares redeemed		(533,202	)		(1,311,778	)		(8,081,985	)		(16,764,793	)

Net increase/(decrease) in fund shares		428,810			(232,411	)		2,941,118			(3,289,309	)

Shares outstanding at end of period		3,606,152			3,177,342			68,038,805			65,097,687


	INVESTMENT GRADE CREDIT FUND
	CLASS M			CLASS M		CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020		SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		86,723			77,458		666,665			492,691

Shares sold		230,506			—		415,264			113,832
Shares issued through reinvestment of distributions		4,859			9,265		35,975			60,142
Shares redeemed		(145,633	)		—		(35,205	)		—

Net increase in fund shares		89,732			9,265		416,034			173,974

Shares outstanding at end of period		176,455			86,723		1,082,699			666,665


	LOW DURATION BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020			SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		51,991,467			66,879,265			168,341,807			181,809,771

Shares sold		3,847,199			5,671,052			47,168,973			42,417,475
Shares issued through reinvestment of distributions		330,602			1,356,321			1,311,204			4,009,045
Shares redeemed		(9,674,703	)		(21,915,171	)		(20,748,375	)		(59,894,484	)

Net increase/(decrease) in fund shares		(5,496,902	)		(14,887,798	)		27,731,802			(13,467,964	)


Shares outstanding at end of period		46,494,565			51,991,467			196,073,609			168,341,807


	LOW DURATION BOND FUND
	ADMINISTRATIVE CLASS			ADMINISTRATIVE CLASS
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		8,384			37,023

Shares sold		611			1,808
Shares issued through reinvestment of distributions		34			148
Shares redeemed		(1,008	)		(30,595	)

Net (decrease) in fund shares		(363	)		(28,639	)


Shares outstanding at end of period		8,021			8,384


	STRATEGIC INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020			SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		1,428,333			2,269,164			6,621,937			8,532,803

Shares sold		642,613			557,743			548,169			1,127,898
Shares issued through reinvestment of distributions		41,481			66,837			154,516			364,480
Shares redeemed		(296,652	)		(1,465,411	)		(4,489,467	)		(3,403,244	)

Net increase/(decrease) in fund shares		387,442			(840,831	)		(3,786,782	)		(1,910,866	)

Shares outstanding at end of period		1,815,775			1,428,333			2,835,155			6,621,937


	TOTAL RETURN BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020			SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		807,293,176			898,185,006			4,144,455,446			3,846,257,449

Shares sold		135,826,800			184,228,131			816,698,756			1,246,311,524
Shares issued through reinvestment of distributions		6,024,914			27,123,878			32,092,701			126,656,996
Shares redeemed		(98,149,169	)		(302,243,839	)		(540,290,320	)		(1,074,770,523	)

Net increase/(decrease) in fund shares		43,702,545			(90,891,830	)		308,501,137			298,197,997

Shares outstanding at end of period		850,995,721			807,293,176			4,452,956,583			4,144,455,446


	TOTAL RETURN BOND FUND
	CLASS I-2			CLASS I-2
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			PERIOD ENDED MARCH 31, 2020*

Change in Fund shares:
Shares outstanding at beginning of period		9			—

Shares sold		7,092,563			9
Shares issued through reinvestment of distributions		25,297			—	**
Shares redeemed		(113,458	)		—

Net increase in fund shares		7,004,402			9

Shares outstanding at end of period		7,004,411			9

*TheClass I-2 commenced operations on March 6, 2020.
**Lessthan one share.


	TOTAL RETURN BOND FUND
	ADMINISTRATIVE CLASS			ADMINISTRATIVE CLASS			PLAN CLASS			PLAN CLASS
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020			SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		156,243,805			94,995,241			2,277,531,666			2,058,158,463

Shares sold		27,035,627			85,952,233			324,539,540			744,681,741
Shares issued through reinvestment of distributions		1,067,853			4,414,873			18,516,240			73,923,882
Shares redeemed		(13,285,281	)		(29,118,542	)		(262,533,068	)		(599,232,420	)

Net increase in fund shares		14,818,199			61,248,564			80,522,712			219,373,203

Shares outstanding at end of period		171,062,004			156,243,805			2,358,054,378			2,277,531,666


	ULTRA SHORT BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020			SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		6,709,806			8,068,983			18,036,590			15,940,806

Shares sold		12,373,273			3,504,697			30,676,062			10,070,643
Shares issued through reinvestment of distributions		29,764			170,292			140,835			441,304
Shares redeemed		(3,807,385	)		(5,034,166	)		(8,839,697	)		(8,416,163	)

Net increase/(decrease) in fund shares		8,595,652			(1,359,177	)		21,977,200			2,095,784

Shares outstanding at end of period		15,305,458			6,709,806			40,013,790			18,036,590


	UNCONSTRAINED BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020			SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			YEAR ENDED MARCH 31, 2020

Change in Fund shares:
Shares outstanding at beginning of period		24,012,697			38,551,315			248,328,242			224,878,988

Shares sold		2,255,865			6,881,972			40,928,676			92,050,551
Shares issued through reinvestment of distributions		295,089			1,004,035			2,804,409			7,502,540
Shares redeemed		(4,829,083	)		(22,424,625	)		(47,777,327	)		(76,103,837	)

Net increase/(decrease) in fund shares		(2,278,129	)		(14,538,618	)		(4,044,242	)		23,449,254

Shares outstanding at end of period		21,734,568			24,012,697			244,284,000			248,328,242


	UNCONSTRAINED BOND FUND
	PLAN CLASS			PLAN CLASS
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)			PERIOD ENDED MARCH 31, 2020*

Change in Fund shares:
Shares outstanding at beginning of period		8			—

Shares sold		9,011,492			8
Shares issued through reinvestment of distributions		95,918			—	**
Shares redeemed		(2,004,917	)		—

Net increase in fund shares		7,102,493			8

Shares outstanding at end of period		7,102,501			8

At September 30, 2020, the following Funds had available for federal income tax purposes unused capital losses as follows:

As of March 31, 2020, 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)		$	—			$	17,841		$	796			$	408,794			$	2,217,997			$	1,418,317

Undistributed long-term gains			—				4,616			—				—				—				2,261,352

Other temporary differences			(4,968,319	)			—			—				(114,429	)			(150,649	)			(35,588	)

Accumulated capital loss carry forwards and post-October losses			—				—			—				(3,583,527	)			(63,686,097	)			—

Net unrealized appreciation/ (depreciation)			(1,370,259	)			45,836			(452,049	)			(24,873,191	)			(53,440,686	)			(1,161,025	)


Total accumulated earnings/(losses)		$	(6,338,578	)		$	68,293		$	(451,253	)		$	(28,162,353	)		$	(115,059,435	)		$	2,483,056



	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)		$	13,954			$	1,175,219			$	568,543			$	1,774,119,063			$	102,689			$	448,049

Undistributed long-term capital gains			45,944				—				—				680,437,598				—				—

Other temporary differences			—				(256,262	)			(8,070	)			(16,232,867	)			(7,513	)			(23,698,836	)

Accumulated capital loss carryforwards and post-October losses			—				(48,697,816	)			(1,644,855	)			—				(5,312,185	)			(4,858,243	)

Net unrealized appreciation/ (depreciation)			(363,486	)			(29,290,914	)			(7,176,014	)			2,376,511				(968,297	)			(187,938,585	)


Total accumulated earnings/(losses)		$	(303,588	)		$	(77,069,773	)		$	(8,260,396	)		$	2,440,700,305			$	(6,185,306	)		$	(216,047,615	)

Permanent differences incurred during the fiscal year ended March 31, 2020, 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.


	ALPHATRAK 500 FUND						CORPORATE BOND FUND

	MARCH 31, 2020			MARCH 31, 2019			MARCH 31, 2020			MARCH 31, 2019
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	2,237,632		$	404,612		$	204,951		$	92,911
Net long-term capital gains			1,118,170			—			2,637			—

Total taxable distributions		$	3,355,802		$	404,612		$	207,588		$	92,911


	FLEXIBLE INCOME FUND						FLOATING RATE INCOME FUND

	MARCH 31, 2020			MARCH 31, 2019			MARCH 31, 2020			MARCH 31, 2019
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	1,296,742		$	73,147		$	11,164,984		$	12,044,339

Total taxable distributions		$	1,296,742		$	73,147		$	11,164,984		$	12,044,339


	INVESTMENT GRADE CREDIT FUND						LOW DURATION BOND FUND

	MARCH 31, 2020			MARCH 31, 2019			MARCH 31, 2020			MARCH 31, 2019
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	685,951		$	269,172		$	49,221,473		$	57,080,447
Net long-term capital gains			20,599			—			—			—
Return of Capital			—			—			—			74,997

Total taxable distributions		$	706,550		$	269,172		$	49,221,473		$	57,155,444


	STRATEGIC INCOME FUND						TOTAL RETURN BOND FUND

	MARCH 31, 2020			MARCH 31, 2019			MARCH 31, 2020			MARCH 31, 2019
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	3,413,896		$	4,012,968		$	2,492,448,522		$	2,110,133,981
Net long-term capital gains			—			—			218,637,193			—

Total taxable distributions		$	3,413,896		$	4,012,968		$	2,711,085,715		$	2,110,133,981


	ULTRA SHORT BOND FUND						UNCONSTRAINED BOND FUND

	MARCH 31, 2020			MARCH 31, 2019			MARCH 31, 2020			MARCH 31, 2019
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	2,644,483		$	2,419,646		$	120,977,138		$	116,943,189
Return of Capital			—			—			—			22,476

Total taxable distributions		$	2,644,483		$	2,419,646		$	120,977,138		$	116,965,665

As of September 30, 2020, 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		$	29,868,869			$	12,962,549			$	67,273,730			$	292,556,817			$	661,096,201			$	829,155,033

Gross unrealized appreciation			665,772				354,108				687,825				3,400,479				19,931,208				19,993,014
Gross unrealized (depreciation)			(784,055	)			(147,538	)			(1,218,968	)			(7,336,945	)			(38,506,816	)			(5,161,179	)

Net unrealized appreciation/ (depreciation)		$	(118,283	)		$	206,570			$	(531,143	)		$	(3,936,466	)		$	(18,575,608	)		$	14,831,835



	INVESTMENT GRADE CREDIT FUND				LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
Tax Cost		$	12,527,073			$	2,225,810,992			$	41,703,694			$	100,930,556,680			$	222,869,313			$	3,581,291,795

Gross unrealized appreciation			569,797				29,336,948				1,092,338				2,638,633,598				1,011,744				101,440,848
Gross unrealized (depreciation)			(660,248	)			(17,585,802	)			(6,189,337	)			(750,030,347	)			(670,703	)			(125,476,024	)

Net unrealized appreciation/ (depreciation)		$	(90,451	)		$	11,751,146			$	(5,096,999	)		$	1,888,603,251			$	341,041			$	(24,035,176	)

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 purposes with an expiration date of October 8, 2021. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the six months ended September 30, 2020. 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 March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned

discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on 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 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 “Investment Company Act”), (the “Independent Trustees”) casting votes in person at a meeting called for that purpose.

On September 14, 2020, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2021 through February 5, 2022 with respect to each Fund. The Board met by telephone to approve that renewal, notwithstanding the in-person approval requirement that normally applies under the Investment Company Act, as permitted by relief provided by the Securities and Exchange Commission in light of the COVID-19 pandemic. 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 also met by telephone in a working session on August 26, 2020 to hear presentations by representatives of the Adviser, to ask related questions, to review and discuss materials provided by the Adviser for their consideration, and to meet separately with their independent legal counsel. On September 14, 2020 they also met separately with their independent legal counsel to review and discuss supplemental information that had been requested on their behalf by their independent legal counsel and presented by the Adviser. 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 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

Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)

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 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, 2020. 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 second (Class I)/third (Class M) quintile for the five-year period and the first quintile for the three- and one-year periods.

For the Metropolitan West Unconstrained Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the five-year period, the first quintile for the three-year period and the second quintile for the one-year period.

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-year period and the second quintile for the one- and three-year periods.

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-, five- three- and one-year periods.

For the Metropolitan West High Yield Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the ten-year period and the first quintile for the five-, three- and one-year periods.

For the Metropolitan West Floating Rate Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the five-, three- and one-year periods. The Board and the Independent Trustees noted the substantially lower volatility for this Fund compared to the funds in the peer group.

For the Metropolitan West Ultra Short Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the ten-year period and the fourth quintile for the five-, three- and one-year periods. 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

Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)

for this Fund, and those longer averages can result in higher performance under the prevailing market conditions over the applicable periods. The Board and the Independent Trustees also noted the substantially lower volatility for this Fund compared to the funds in the peer group.

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- and three-year periods and the third 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- and five-year periods and the third quintile for the three- and one-year periods.

For the Investment Grade Credit Fund, the Board and the Independent Trustees noted that the Fund was in the fourth quintile for the one-year period and 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 one-year period and 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 one-year period and 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 Unconstrained Bond Fund, the Floating Rate Income Fund and the Strategic Income Fund. The Board and the Independent Trustees noted the divergence in the management fees of the Unconstrained Bond Fund and the Floating Rate Income Fund as compared to the medians of their respective peer groups, which the Board did not consider to be unreasonable, with the management fee for the Unconstrained Bond Fund approximately 8 basis points higher and the management fee for the Floating Rate Income Fund approximately 10 basis points higher than those medians. With respect to 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 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

Approval of Investment Management Agreement by Trustees (Unaudited) (Concluded)

Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.

The Board and the Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel 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, compliance and cybersecurity 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 and current subsidies of the operating expenses of newer and smaller Funds 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 considered the risk borne by the Adviser that the Funds’ net assets and thus the Adviser’s fees might decline and that smaller Funds might not grow to become profitable. 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 & Administrator

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

For Additional Information about the MetWest Funds call:

(213) 244-0000 or (800) 241-4671 (toll-free)

www.TCW.com

A description of the Funds’ proxy voting policies, procedures, and how the Funds voted proxies relating to each portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at www.sec.gov.

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form NPORT-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.

To reduce expenses, we may mail only one copy of the Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at (800) 241-4671 (or contact your financial institution). We will begin sending you individual copies thirty days after receiving your request.

This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.

FUNDap 11/2020

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


	Performance Through September 30, 2020

	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	34.58%	14.61%	12.09%	15.51%	15.02%	7.29%
Standard & Poor’s 500 Index	31.31%	15.15%	12.27%	14.13%	13.73%	7.00%


	Performance Through September 30, 2020

	6 Months (Cumulative)			1 Year (Annualized)			3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWCSX (Inception: June 29, 2018)		9.03	%		9.95	%		—		—		—		11.68	%
Bloomberg Barclays U.S. Corporate Index		10.66	%		7.90	%		—		—		—		9.64	%
MWCBX (Inception: June 29, 2018)		9.17	%		10.22	%		—		—		—		11.95	%
Bloomberg Barclays U.S. Corporate Index		10.66	%		7.90	%		—		—		—		9.64	%


	Performance Through September 30, 2020

	6 Months (Cumulative)			1 Year (Annualized)			3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWFSX (Inception: November 30, 2018)		7.93	%		10.58	%		—		—		—		15.73	%
Bloomberg Barclays U.S. Aggregate Bond Index		3.53	%		6.98	%		—		—		—		9.55	%
MWFEX (Inception: November 30, 2018)		7.76	%		10.49	%		—		—		—		15.80	%
Bloomberg Barclays U.S. Aggregate Bond Index		3.53	%		6.98	%		—		—		—		9.55	%


	Performance Through September 30, 2020

	6 Months (Cumulative)			1 Year (Annualized)			3 Year (Annualized)			5 Year (Annualized)			10 Year (Annualized)			Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)		12.68	%		7.92	%		5.81	%		6.14	%		5.31	%		8.09	%
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap		15.18	%		3.20	%		4.19	%		6.77	%		6.46	%		8.50	%
MWHIX (Inception: March 31, 2003)		12.95	%		8.19	%		6.08	%		6.40	%		5.58	%		7.53	%
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap		15.18	%		3.20	%		4.19	%		6.77	%		6.46	%		7.92	%


	Beginning		Ending				Expenses
	Account Value		Account Value		Expense		Paid During
	04/01/20		09/30/20		Ratio¹		Period²
ALPHATRAK 500 FUND

Actual Fund Return		$1,000.00		$1,345.80		0.90%		$5.29
Hypothetical 5% Return		$1,000.00		$1,020.56		0.90%		$4.56
CORPORATE BOND FUND

Actual Fund Return
Class M		$1,000.00		$1,090.30		0.75%		$3.93
Class I		$1,000.00		$1,091.70		0.50%		$2.62
Hypothetical 5% Return
Class M		$1,000.00		$1,021.31		0.75%		$3.80
Class I		$1,000.00		$1,022.56		0.50%		$2.54






METWEST FUNDS
AlphaTrak 500 Fund
Corporate Bond Fund
Flexible Income Fund
Floating Rate Income Fund
High Yield Bond Fund
Intermediate Bond Fund
Investment Grade Credit Fund
Low Duration Bond Fund
Strategic Income Fund
Total Return Bond Fund
Ultra Short Bond Fund
Unconstrained Bond Fund


Metropolitan West Funds		September 30, 2020
Table of Contents



Letter to Shareholders			1

Disclosure of Fund Expenses (Unaudited)			12

Summary of Portfolio Holdings			16

Schedule of Portfolio Investments			19

AlphaTrak 500 Fund			19

Corporate Bond Fund			30

Flexible Income Fund			40

Floating Rate Income Fund			56

High Yield Bond Fund			68

Intermediate Bond Fund			77

Investment Grade Credit Fund			93

Low Duration Bond Fund			104

Strategic Income Fund			120

Total Return Bond Fund			130

Ultra Short Bond Fund			183

Unconstrained Bond Fund			193

Statements of Assets and Liabilities			219

Statements of Operations			223

Statements of Changes in Net Assets			227

Financial Highlights			233

Notes to Financial Statements			261

Approval of Investment Management Agreement by Trustees			311

Privacy Policy			315


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),
		I-2-Class (MWTTX),
		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),
		Plan-Class (MWCPX)


	Performance Through September 30, 2020

	6 Months (Cumulative)			1 Year (Annualized)			3 Year (Annualized)			5 Year (Annualized)			10 Year (Annualized)			Since Inception (Annualized)
MWSTX (Inception: June 30, 2003)		9.75	%		2.72	%		3.07	%		2.98	%		3.71	%		4.08	%
ICE BofAML 3-Month U.S. Treasury Bill Index		1.06	%		3.12	%		3.72	%		3.21	%		2.64	%		3.38	%
MWSIX (Inception: March 31, 2004)		9.67	%		2.77	%		3.26	%		3.20	%		3.97	%		3.57	%
ICE BofAML 3-Month U.S. Treasury Bill Index		1.06	%		3.12	%		3.72	%		3.21	%		2.64	%		3.39	%



Description	Number of Contracts		Expiration Date		Notional Amount			Value			Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
S&P 500 Emini Index		174		12/18/20		$	29,142,825		$	170,177		$	170,177


Description	Number of Contracts	Expiration Date		Notional Amount				Value				Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten Year Ultra Bond	193		12/21/20		$	(30,864,922	)		$	(43,348	)		$	(43,348	)
U.S. Treasury Ultra Bond	82		12/21/20			(18,188,625	)			215,319				215,319


TOTAL FUTURES CONTRACTS					$	(49,053,547	)		$	171,971			$	171,971


ASSETS:	ALPHATRAK 500 FUND			CORPORATE BOND FUND

Investments, at value - Unaffiliated (Cost $29,856,785, $12,962,490, $67,273,730, $292,351,768, $633,559,487, and $829,088,948, respectively) (Note 2)		$	29,750,586		$	13,169,119
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $27,171,821, and $0, respectively) (Note 5)			—			—
Cash and cash equivalents (Note 2)			764			—
Cash on deposit with brokers for collateral on swaps (Note 2)			—			—
Cash on deposit with brokers for collateral on futures (Note 2)			2,708,000			42,000
Dividends and interest receivable			172,369			106,430
Due from Adviser (Note 6)			15,241			20,695
Net unrealized appreciation on unfunded commitments (Note 8)			—			—
Receivable for securities sold			5,052			—
Receivable for capital stock sold			88,808			96,595
Receivable for daily variation margin on futures contracts (Note 3)			139,510			5,406
Other assets			12,221			34,627

Total assets			32,892,551			13,474,872

Liabilities:
Bank overdraft			—			—
Payable for securities purchased			374,000			103,044
Payable for capital stock redeemed			262,442			141,845
Payable for daily variation margin on futures contracts (Note 3)			—			711
Line of credit commitment fee payable			—			7
Distributions payable			446			227
Administrative fees payable			26,091			19,390
Advisory fees payable (Note 6)			18,965			4,084
Audit fees payable			27,234			7,053
Transfer agent fees payable			4,334			2,898
Custodian fees payable			4,295			3,300
Accrued trustees fees and expenses			5			—
Accrued distribution (12b-1) and service fees payable			—			1,819
Net unrealized depreciation on unfunded commitments (Note 8)			—			—
Accrued other expenses			1,856			1,307

Total liabilities			719,668			285,685

Net assets		$	32,172,883		$	13,189,187

Class M Shares:
Net assets (Applicable to 2,714,817, 887,738, 876,917, 1,023,522, 17,639,046, and 3,606,152, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	32,172,883		$	9,735,666

Net asset value, offering and redemption price per Class M share		$	11.85		$	10.97

Class I Shares:
Net assets (Applicable to 0, 314,910, 5,210,322, 27,917,209, 44,946,780, and 68,038,805, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A		$	3,453,521

Net asset value, offering and redemption price per Class I share			N/A		$	10.97

Net Assets Consist of:
Paid-in Capital (Note 9)		$	29,400,131		$	12,940,545
Accumulated Earnings (Loss)			2,772,752			248,642

Net assets		$	32,172,883		$	13,189,187


FLEXIBLE INCOME FUND				FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND

	$	66,742,587			$	288,620,351			$	642,492,933			$	843,986,868
		—				—				27,660				—
		—				286,517				151,440				3,914
		—				—				—				34
		212,000				—				2,780,000				1,159,000
		471,011				547,933				6,487,046				2,707,637
		20,144				—				8,020				14
		—				—				3,796				642
		917,212				5,876,702				4,018,583				23,128,459
		242,405				104,729				1,214,468				767,716
		37,375				—				254,469				123,281
		33,628				28,623				52,578				39,242

		68,676,362				295,464,855				657,490,993				871,916,807


		4,270				—				—				—
		7,893,101				13,501,219				13,655,222				75,179,403
		209,620				36,250				1,876,105				618,608
		3,758				—				—				9,648
		22				754				1,295				2,349
		582				100,698				148,279				7,908
		24,965				32,762				25,677				43,543
		17,871				129,545				271,151				231,689
		4,887				1,604				26,067				31,395
		2,567				14,698				34,591				83,747
		4,373				4,488				4,062				19,748
		—				57				—				88
		1,619				2,014				38,541				6,625
		—				4,854				—				—
		1,584				4,618				3,848				10,024

		8,169,219				13,833,561				16,084,838				76,244,775

	$	60,507,143			$	281,631,294			$	641,406,155			$	795,672,032



		$8,716,440			$	9,962,983			$	180,831,389			$	40,061,453

	$	9.94			$	9.73			$	10.25			$	11.11



		$51,790,703			$	271,668,311			$	460,574,766			$	755,610,579

	$	9.94			$	9.73			$	10.25			$	11.11


	$	60,998,863			$	288,437,343			$	705,688,489			$	761,799,897
		(491,720	)			(6,806,049	)			(64,282,334	)			33,872,135

	$	60,507,143			$	281,631,294			$	641,406,155			$	795,672,032


	ALPHATRAK 500 FUND				CORPORATE BOND FUND
Investment Income:
Interest		$	447,164			$	154,698
Dividends			26,851				198

Total investment income			474,015				154,896


Expenses:
Investment advisory fees (Note 6)			77,263				12,503
Administration fees			51,629				41,741
Commitment fee			—				8
Custodian fees			11,689				13,782
Distribution (12b-1) and service fees - class specific (Note 7):
Class M			—				3,734
Insurance expense			—				—
Miscellaneous expenses			4,896				2,582
Professional fees			24,421				18,152
Registration and filing fees			15,604				21,807
Transfer agent fees			19,279				18,421
Trustees’ fees and expenses			229				28
Repayment of reimbursed expenses - Class I (Note 6)			—				—

Total operating expenses			205,010				132,758
Expenses waived and reimbursed (Note 6)			(58,451	)			(113,395	)

Net expenses			146,559				19,363

Net investment income			327,456				135,533


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			44,150				20,912
Futures contracts			5,970,894				(1,706	)
Foreign currency exchange contracts			—				—
Swap contracts			—				—

Net change in unrealized appreciation/(depreciation) on:
Investments - Unaffiliated			1,251,975				160,793
Futures contracts			1,829,634				3,525
Foreign currency exchange contracts			—				—
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			9,096,653				183,524


Net Increase in Net Assets from Operations		$	9,424,109			$	319,057


STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND

	$	2,058,803			$	903,285,711			$	1,076,728			$	58,989,951
		947				2,054,870				5,694				58,701

		2,059,750				905,340,581				1,082,422				59,048,652



		257,172				149,888,977				229,533				10,124,334
		65,162				2,193,818				53,062				189,944
		235				245,487				301				10,101
		26,251				1,257,343				14,629				87,951

		14,551				10,132,246				31,434				332,273
		—				3,819,248				—				—
		7,399				3,124,258				8,214				133,509
		25,888				283,000				23,964				41,667
		25,123				431,042				24,754				72,096
		48,278				22,537,838				63,792				1,053,626
		430				599,405				1,095				22,124
		78,249				—				—				—

		548,738				194,512,662				450,778				12,067,625
		—				—				(107,179	)			—

		548,738				194,512,662				343,599				12,067,625

		1,511,012				710,827,919				738,823				46,981,027





		1,779,803				1,654,143,155				(10,729	)			36,420,169
		(545,101	)			156,295,573				(110,856	)			(26,120,093	)
		—				49,712,320				117,756				2,270,424
		—				6,745				—				—
		—				19,825,972				—				—

		10,225				11,016,435				—				439,083
		2,089,410				1,895,326,777				1,249,483				164,390,797
		589,833				(104,080,585	)			47,510				29,020,789
		—				(24,216,296	)			(68,700	)			(2,270,424	)
		—				6,024				—				—
		—				(10,378,322	)			—				—
		(10,397	)			(10,540,803	)			—				(446,677	)


		3,913,773				3,637,116,995				1,224,464				203,704,068

	$	5,424,785			$	4,347,944,914			$	1,963,287			$	250,685,095


	ALPHATRAK 500 FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020
Operations:
Net investment income		$	327,456			$	953,096
Net realized gain/(loss) on investments			44,150				142,331
Net realized gain/(loss) on futures contracts,foreign currency exchange contracts, foreign currency transactions and swap contracts			5,970,894				(1,030,095	)
Net change in unrealized appreciation/(depreciation) on investments			1,251,975				(1,361,452	)
Net change in unrealized appreciation/(depreciation) on futures contracts,foreign currency exchange contracts, foreign currency transactions and swap contracts			1,829,634				(2,088,172	)

Net increase/(decrease) in net assets resulting from operations			9,424,109				(3,384,292	)


Distributions to Shareholders:
Class M			(312,779	)			(3,355,949	)
Class I			—				—

Total Distributions			(312,779	)			(3,355,949	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares			3,983,509				25,113,482
Shares issued in reinvestment of distributions			311,957				3,349,095
Cost of shares redeemed			(10,300,054	)			(13,858,501	)

Total Class M capital share transactions			(6,004,588	)			14,604,076

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			(6,004,588	)			14,604,076

Net increase/(decrease) in net assets			3,106,742				7,863,835
Net assets at beginning of period			29,066,141				21,202,306

Net assets at end of period		$	32,172,883			$	29,066,141


CORPORATE BOND FUND								FLEXIBLE INCOME FUND								FLOATING RATE INCOME FUND
SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020

	$	135,533			$	195,984			$	1,063,508			$	1,197,535			$	4,723,978			$	11,254,931
		20,912				8,947				17,579				40,287				238,148				(1,233,355	)

		(1,706	)			14,067				(33,144	)			(258	)			—				101,494
		160,793				(6,826	)			(79,094	)			(610,526	)			21,100,926				(22,243,330	)

		3,525				(1,872	)			53,671				(23,457	)			—				—

		319,057				210,300				1,022,520				603,581				26,063,052				(12,120,260	)



		(55,012	)			(75,400	)			(145,024	)			(221	)			(127,220	)			(411,136	)
		(83,696	)			(132,188	)			(917,963	)			(1,296,521	)			(4,579,528	)			(10,843,970	)

		(138,708	)			(207,588	)			(1,062,987	)			(1,296,742	)			(4,706,748	)			(11,255,106	)




		9,887,550				—				11,199,338				—				6,010,180				3,813,347
		54,653				75,400				142,033				221				127,217				409,671
		(1,095,834	)			—				(2,593,881	)			—				(2,804,479	)			(8,650,083	)

		8,846,369				75,400				8,747,490				221				3,332,918				(4,427,065	)


		1,689,833				900,000				42,477,237				2,895,439				9,624,798				65,504,910
		82,717				132,188				908,348				1,296,521				3,934,891				10,352,626
		(878,873	)			—				(520,540	)			—				(12,888,487	)			(65,420,233	)

		893,677				1,032,188				42,865,045				4,191,960				671,202				10,437,303

		9,740,046				1,107,588				51,612,535				4,192,181				4,004,120				6,010,238

		9,920,395				1,110,300				51,572,068				3,499,020				25,360,424				(17,365,128	)
		3,268,792				2,158,492				8,935,075				5,436,055				256,270,870				273,635,998

	$	13,189,187			$	3,268,792			$	60,507,143			$	8,935,075			$	281,631,294			$	256,270,870


	HIGH YIELD BOND FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020
Operations:
Net investment income		$	11,757,507			$	18,538,464
Net realized gain on investments			16,115,102				9,112,768
Net realized gain/(loss) on futures contracts,foreign currency exchange contracts, foreign currency transactions and swap contracts			374,167				1,384,245
Net change in unrealized appreciation/(depreciation) on investments			34,817,401				(25,435,386	)
Net change in unrealized appreciation/(depreciation) on futures contracts,foreign currency exchange contracts, foreign currency transactions and swap contracts			(593,541	)			330,182

Net increase in net assets resulting from operations			62,470,636				3,930,273


Distributions to Shareholders:
Class M			(3,226,057	)			(6,806,120	)
Class I			(8,467,478	)			(11,733,736	)
Administrative Class			—				—

Total Distributions			(11,693,535	)			(18,539,856	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares			80,739,126				39,365,774
Shares issued in reinvestment of distributions			3,053,119				6,576,867
Cost of shares redeemed			(44,754,163	)			(101,550,221	)

Total Class M capital share transactions			39,038,082				(55,607,580	)

Class I:
Proceeds from sale of shares			272,903,757				176,403,014
Shares issued in reinvestment of distributions			7,855,226				10,769,869
Cost of shares redeemed			(145,107,318	)			(181,596,530	)
Total Class I capital share transactions			135,651,665				5,576,353
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			174,689,747				(50,031,227	)

Net increase/(decrease) in net assets			225,466,848				(64,640,810	)
Net assets at beginning of period			415,939,307				480,580,117

Net assets at end of period		$	641,406,155			$	415,939,307



INTERMEDIATE BOND FUND								INVESTMENT GRADE CREDIT FUND								LOW DURATION BOND FUND
SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020

	$	6,379,044			$	20,491,132			$	410,150			$	642,625			$	15,687,371			$	50,056,122
		15,666,170				21,175,681				45,740				27,738				11,142,054				13,379,717

		2,661,300				3,749,699				(2,716	)			41,117				2,901,273				16,582,593
		15,342,081				(6,500,278	)			274,053				(431,127	)			41,893,546				(35,094,143	)

		(2,356,995	)			1,593,571				(6,380	)			12,390				(2,679,288	)			(694,381	)

		37,691,600				40,509,805				720,847				292,743				68,944,956				44,229,908



		(252,409	)			(907,641	)			(48,544	)			(94,322	)			(2,979,744	)			(12,024,510
		(6,050,112	)			(19,581,347	)			(361,353	)			(612,228	)			(12,329,797	)			(37,166,534	)
		—				—				—				—				(613	)			(5,009	)

		(6,302,521	)			(20,488,988	)			(409,897	)			(706,550	)			(15,310,154	)			(49,196,053	)




		10,377,775				10,513,623				2,308,258				—				33,955,706				49,556,729
		250,021				903,052				48,545				94,322				2,919,291				11,868,809
		(5,853,237	)			(13,854,184	)			(1,463,572	)			—				(85,597,526	)			(191,932,571	)

		4,774,559				(2,437,509	)			893,231				94,322				(48,722,529	)			(130,507,033	)


		115,057,799				122,812,134				4,097,909				1,095,000				416,499,283				370,441,484
		6,035,984				19,285,880				359,029				612,228				11,590,565				35,093,600
		(88,460,069	)			(176,794,379	)			(352,985	)			—				(183,020,340	)			(522,614,405	)

		32,633,714				(34,696,365	)			4,103,953				1,707,228				245,069,508				(117,079,321	)


		—				—				—				—				6,950				20,388
		—				—				—				—				387				1,673
		—				—				—				—				(11,573	)			(346,322	)

		—				—				—				—				(4,236	)			(324,261	)

		37,408,273				(37,133,874	)			4,997,184				1,801,550				196,342,743				(247,910,615	)

		68,797,352				(17,113,057	)			5,308,134				1,387,743				249,977,545				(252,876,760	)
		726,874,680				743,987,737				7,267,134				5,879,391				1,906,251,168				2,159,127,928

	$	795,672,032			$	726,874,680			$	12,575,268			$	7,267,134			$	2,156,228,713			$	1,906,251,168


		STRATEGIC INCOME FUND
	SIX MONTHS ENDED				YEAR
	SEPTEMBER 30,				ENDED
	2020 (UNAUDITED)				MARCH 31, 2020
Operations:
Net investment income		$	1,511,012		$	3,423,527
Net realized gain/(loss) on investments			1,779,803			504,462
Net realized gain/(loss) on futures contracts,foreign currency exchange contracts, foreign currency transactions and swap contracts			(534,876	)		(1,260,979	)
Net change in unrealized appreciation/(depreciation) on investments			2,089,410			(5,440,080	)
Net change in unrealized appreciation/(depreciation) on futures contracts,foreign currency exchange contracts, foreign currency transactions and swap contracts			579,436			(364,036	)

Net increase/(decrease) in net assets resulting from operations			5,424,785			(3,137,106	)


Distributions to Shareholders:
Class M			(325,193	)		(537,821	)
Class I			(1,186,606	)		(2,875,979	)
Class I-2			—			—
Administrative Class			—			—
Plan Class			—			—

Total Distributions			(1,511,799	)		(3,413,800	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares			4,973,493			4,390,876
Shares issued in reinvestment of distributions			319,339			527,237
Cost of shares redeemed			(2,244,603	)		(11,601,313	)

Total Class M capital share transactions			3,048,229			(6,683,200	)

Class I:
Proceeds from sale of shares			4,163,750			8,919,733
Shares issued in reinvestment of distributions			1,184,017			2,871,974
Cost of shares redeemed			(34,808,368	)		(25,110,769	)

Total Class I capital share transactions			(29,460,601	)		(13,319,062	)

Class I-2:
Proceeds from sale of shares			—			—
Shares issued in reinvestment of distributions			—			—
Cost of shares redeemed			—			—

Total Class I-2 capital share transactions			—			—

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			(26,412,372	)		(20,002,262	)

Net increase/(decrease) in net assets			(22,499,386	)		(26,553,168	)
Net assets at beginning of period			58,664,713			85,217,881

Net assets at end of period		$	36,165,327		$	58,664,713


	ALPHATRAK 500 FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016

Net Asset Value, Beginning of Period		$	8.89			$	10.73			$	9.98			$	8.95			$	7.22			$	7.22


Income from Investment Operations:
Net investment income¹			0.11				0.31				0.22				0.09				0.12				0.02
Net realized and unrealized gain/(loss)			2.96				(1.14	)			0.76				1.03				1.77				0.02


Total Income/(Loss) from Investment Operations			3.07				(0.83	)			0.98				1.12				1.89				0.04


Less Distributions:
From net investment income			(0.11	)			(0.30	)			(0.23	)			(0.09	)			(0.16	)			(0.04	)
From net capital gains			0.00				(0.71	)			—				—				—				—


Total Distributions			(0.11	)			(1.01	)			(0.23	)			(0.09	)			(0.16	)			(0.04	)


Net Asset Value, End of Period		$	11.85			$	8.89			$	10.73			$	9.98			$	8.95			$	7.22


Total Return			34.58	%²			(9.36	)%			9.93	%			12.52	%			26.38	%			0.53	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	32,173			$	29,066			$	21,202			$	18,149			$	20,714			$	2,406
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.26	%³			1.04	%			1.39	%			0.90	%⁴			3.37	%			2.64	%
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			2.01	%³			2.80	%			2.15	%			0.90	%			1.49	%			0.31	%
Portfolio Turnover Rate			27	%²			89	%			140	%			115	%			505	%			59	%



	CORPORATE BOND FUND CLASS M*
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	10.32			$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.20				0.88				0.41
Net realized and unrealized gain			0.73				0.06				0.34


Total Income from Investment Operations			0.93				0.94				0.75


Less Distributions:
From net investment income			(0.28	)			(0.86	)			(0.41	)
From net capital gains			—				(0.07	)			(0.03	)


Total Distributions			(0.28	)			(0.93	)			(0.44	)


Net Asset Value, End of Period		$	10.97			$	10.32			$	10.31


Total Return			9.03	%²			9.19	%			7.75	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	9,736			$	876			$	803
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.85	%³			8.55	%			9.81	%³
After expense waivers and reimbursements			0.75	%³			0.75	%			0.75	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.62	%³			8.31	%			5.47	%³
Portfolio Turnover Rate			23	%²			65	%			159	%²



	CORPORATE BOND FUND CLASS I*
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	10.32			$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.27				0.91				0.43
Net realized and unrealized gain			0.67				0.06				0.34


Total Income from Investment Operations			0.94				0.97				0.77


Less Distributions:
From net investment income			(0.29	)			(0.89	)			(0.43	)
From net capital gains			—				(0.07	)			(0.03	)


Total Distributions			(0.29	)			(0.96	)			(0.46	)


Net Asset Value, End of Period		$	10.97			$	10.32			$	10.31


Total Return			9.17	%²			9.46	%			7.95	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	3,454			$	2,392			$	1,355
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			4.61	%³			8.30	%			9.56	%³
After expense waivers and reimbursements			0.50	%³			0.50	%			0.50	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.99	%³			8.62	%			5.72	%³
Portfolio Turnover Rate			23	%²			65	%			159	%²



	FLEXIBLE INCOME FUND CLASS M*
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	9.82			$	10.79			$	10.00


Income from Investment Operations:
Net investment income¹			0.42				1.86				0.23
Net realized and unrealized gain/(loss)			0.34				(0.85	)			0.79


Total Income from Investment Operations			0.76				1.01				1.02


Less Distributions:
From net investment income			(0.64	)			(1.98	)			(0.23	)


Net Asset Value, End of Period		$	9.94			$	9.82			$	10.79


Total Return			7.93	%²			9.82	%			10.25	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	8,716			$	1			$	1
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.83	%³			3.76	%			9.18	%³
After expense waivers and reimbursements			0.80	%³			0.80	%			0.80	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			8.55	%³			17.64	%			6.76	%³
Portfolio Turnover Rate			14	%²			122	%			80	%²



	FLEXIBLE INCOME FUND CLASS I*
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	9.82			$	10.78			$	10.00


Income from Investment Operations:
Net investment income¹			0.50				1.90				0.24
Net realized and unrealized gain/(loss)			0.25				(0.85	)			0.78


Total Income from Investment Operations			0.75				1.05				1.02


Less Distributions:
From net investment income			(0.63	)			(2.01	)			(0.24	)


Net Asset Value, End of Period		$	9.94			$	9.82			$	10.78


Total Return			7.76	%²			10.14	%			10.24	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	51,791			$	8,934			$	5,435
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.67	%³			3.51	%			8.82	%³
After expense waivers and reimbursements			0.55	%³			0.55	%			0.55	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			10.23	%³			18.14	%			7.16	%³
Portfolio Turnover Rate			14	%²			122	%			80	%²



	FLOATING RATE INCOME FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016

Net Asset Value, Beginning of Period		$	8.98			$	9.90			$	10.06			$	10.06			$	9.80			$	10.13


Income from Investment Operations:
Net investment income¹			0.16				0.42				0.42				0.36				0.33				0.34
Net realized and unrealized gain/(loss)			0.75				(0.92	)			(0.15	)			—				0.26				(0.32	)


Total Income/(Loss) from Investment Operations			0.91				(0.50	)			0.27				0.36				0.59				0.02


Less Distributions:
From net investment income			(0.16	)			(0.42	)			(0.43	)			(0.36	)			(0.33	)			(0.34	)
From net capital gains			—				—				—				—				—				(0.01	)


Total Distributions			(0.16	)			(0.42	)			(0.43	)			(0.36	)			(0.33	)			(0.35	)


Net Asset Value, End of Period		$	9.73			$	8.98			$	9.90			$	10.06			$	10.06			$	9.80


Total Return			10.13	%²			(5.36	)%			2.72	%			3.61	%			6.08	%			0.23	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	9,963			$	6,084			$	11,229			$	15,802			$	25,072			$	8,206
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.00	%³			1.00	%			1.03	%			1.04	%			1.05	%			1.07	%
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			3.26	%³			4.27	%			4.23	%			3.53	%			3.28	%			3.42	%
Portfolio Turnover Rate			18	%²			51	%			52	%			71	%			40	%			66	%



	HIGH YIELD BOND FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019¹				YEAR ENDED MARCH 31, 2018¹				YEAR ENDED MARCH 31, 2017¹				YEAR ENDED MARCH 31, 2016¹

Net Asset Value, Beginning of Period		$	9.27			$	9.66			$	9.55			$	9.60			$	9.09			$	9.72


Income from Investment Operations:
Net investment income²			0.19				0.40				0.41				0.34				0.34				0.39
Net realized and unrealized gain/(loss)			0.98				(0.39	)			0.11				(0.05	)			0.50				(0.63	)


Total Income/(Loss) from Investment Operations			1.17				0.01				0.52				0.29				0.84				(0.24	)


Less Distributions:
From net investment income			(0.19	)			(0.40	)			(0.41	)			(0.34	)			(0.33	)			(0.39	)


Net Asset Value, End of Period		$	10.25			$	9.27			$	9.66			$	9.55			$	9.60			$	9.09


Total Return			12.68	%³			(0.06	)%			5.57	%			3.01	%			9.35	%			(2.52	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	180,831			$	126,587			$	187,339			$	211,021			$	344,328			$	498,128
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.90	%⁴			0.93	%			0.92	%			0.91	%			0.89	%			0.87	%
After expense waivers and reimbursements			0.85	%⁴			0.85	%			0.85	%			0.85	%			0.85	%			0.85	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.83	%⁴			4.07	%			4.33	%			3.47	%			3.55	%			4.19	%
Portfolio Turnover Rate			65	%³			181	%			120	%			167	%			185	%			139	%



	HIGH YIELD BOND FUND CLASS I

	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019¹				YEAR ENDED MARCH 31, 2018¹				YEAR ENDED MARCH 31, 2017¹				YEAR ENDED MARCH 31, 2016¹

Net Asset Value, Beginning of Period		$	9.26			$	9.65			$	9.55			$	9.60			$	9.09			$	9.72


Income from Investment Operations:
Net investment income²			0.20				0.42				0.44				0.36				0.36				0.42
Net realized and unrealized gain/(loss)			0.99				(0.39	)			0.09				(0.05	)			0.50				(0.64	)


Total Income/(Loss) from Investment Operations			1.19				0.03				0.53				0.31				0.86				(0.22	)


Less Distributions:
From net investment income			(0.20	)			(0.42	)			(0.43	)			(0.36	)			(0.35	)			(0.41	)


Net Asset Value, End of Period		$	10.25			$	9.26			$	9.65			$	9.55			$	9.60			$	9.09


Total Return			12.95	%³			0.19	%			5.72	%			3.27	%			9.62	%			(2.28	)%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	460,575			$	289,352			$	293,241			$	393,368			$	532,071			$	572,436
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.60	%^4,5			0.62	%			0.63	%			0.63	%			0.62	%			0.61	%
After expense waivers and reimbursements			0.60	%⁴			0.60	%			0.60	%			0.60	%			0.60	%			0.60	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.08	%⁴			4.33	%			4.58	%			3.74	%			3.78	%			4.44	%
Portfolio Turnover Rate			65	%³			181	%			120	%			167	%			185	%			139	%


	INTERMEDIATE BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016

Net Asset Value, Beginning of Period		$	10.65			$	10.37			$	10.21			$	10.37			$	10.58			$	10.65


Income from Investment Operations:
Net investment income¹			0.08				0.26				0.25				0.18				0.14				0.13
Net realized and unrealized gain/(loss)			0.46				0.28				0.17				(0.16	)			(0.09	)			(0.03	)


Total Income from Investment Operations			0.54				0.54				0.42				0.02				0.05				0.10


Less Distributions:
From net investment income			(0.08	)			(0.26	)			(0.26	)			(0.18	)			(0.15	)			(0.12	)
From net capital gains			—				—				—				—				(0.11	)			(0.05	)


Total Distributions			(0.08	)			(0.26	)			(0.26	)			(0.18	)			(0.26	)			(0.17	)


Net Asset Value, End of Period		$	11.11			$	10.65			$	10.37			$	10.21			$	10.37			$	10.58


Total Return			5.07	%²			5.27	%			4.15	%			0.19	%			0.43	%			1.03	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	755,611			$	33,836			$	35,343			$	52,942			$	92,642			$	199,031
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.71	%³			0.71	%			0.69	%			0.70	%⁴			0.70	%⁵			0.70	%
After expense waivers and reimbursements			0.70	%³			0.70	%			0.69	%			0.70	%			0.70	%			0.70	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.46	%³			2.49	%			2.49	%			1.71	%			1.35	%			1.20	%
Portfolio Turnover Rate			180	%²			393	%			277	%			251	%			252	%			309	%


	INTERMEDIATE BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016

Net Asset Value, Beginning of Period		$	10.65			$	10.36			$	10.21			$	10.37			$	10.58			$	10.65


Income from Investment Operations:
Net investment income¹			0.09				0.29				0.28				0.20				0.17				0.15
Net realized and unrealized gain/(loss)			0.46				0.28				0.15				(0.15	)			(0.10	)			(0.02	)


Total Income from Investment Operations			0.55				0.57				0.43				0.05				0.07				0.13


Less Distributions:
From net investment income			(0.09	)			(0.28	)			(0.28	)			(0.21	)			(0.17	)			(0.15	)
From net capital gains			—				—				—				—				(0.11	)			(0.05	)


Total Distributions			(0.09	)			(0.28	)			(0.28	)			(0.21	)			(0.28	)			(0.20	)


Net Asset Value, End of Period		$	11.11			$	10.65			$	10.36			$	10.21			$	10.37			$	10.58


Total Return			5.19	%²			5.60	%			4.29	%			0.43	%			0.68	%			1.28	%

Ratios/Supplemental Data:
Net Assets, end of the period (in thousands)		$	40,061			$	693,038			$	708,645			$	768,254			$	1,064,551			$	1,094,444
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.48	%³			0.48	%			0.47	%			0.46	%			0.45	%			0.46	%
After expense waivers and reimbursements			0.48	%³			0.48	%			0.47	%			0.46	%			0.45	%			0.46	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.67	%³			2.69	%			2.74	%			1.97	%			1.63	%			1.44	%
Portfolio Turnover Rate			180	%²			393	%			277	%			251	%			252	%			309	%



	INVESTMENT GRADE CREDIT FUND CLASS M*
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	9.65			$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.36				1.05				0.55
Net realized and unrealized gain/(loss)			0.35				(0.55	)			0.33


Total Income from Investment Operations			0.71				0.50				0.88


Less Distributions:
From net investment income			(0.37	)			(1.05	)			(0.55	)
From net capital gains			—				(0.11	)			(0.02	)


Total Distributions			(0.37	)			(1.16	)			(0.57	)


Net Asset Value, End of Period		$	9.99			$	9.65			$	10.31


Total Return			7.41	%²			4.80	%			9.02	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,762			$	837				$799
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.91	%³			3.86	%			4.78	%³
After expense waivers and reimbursements			0.70	%³			0.70	%			0.70	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.29	%³			10.33	%			7.20	%³
Portfolio Turnover Rate			34	%²			76	%			199	%²



	INVESTMENT GRADE CREDIT FUND CLASS I*
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019

Net Asset Value, Beginning of Period		$	9.65			$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.38				1.07				0.55
Net realized and unrealized gain			0.34				(0.55	)			0.34


Total Income from Investment Operations			0.72				0.52				0.89


Less Distributions:
From net investment income			(0.38	)			(1.07	)			(0.56	)
From net capital gains			—				(0.11	)			(0.02	)


Total Distributions			(0.38	)			(1.18	)			(0.58	)


Net Asset Value, End of Period		$	9.99			$	9.65			$	10.31


Total Return			7.52	%²			5.02	%			9.20	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	10,813			$	6,431				$5,081
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.67	%³			3.61	%			4.53	%³
After expense waivers and reimbursements			0.49	%³			0.49	%			0.49	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.64	%³			10.54	%			7.29	%³
Portfolio Turnover Rate			34	%²			76	%			199	%²


	LOW DURATION BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016

Net Asset Value, Beginning of Period		$	8.65			$	8.68			$	8.63			$	8.72			$	8.73			$	8.81


Income from Investment Operations:
Net investment income¹			0.06				0.20				0.20				0.13				0.10				0.10
Net realized and unrealized gain/(loss)			0.24				(0.03	)			0.05				(0.09	)			(0.00	)²			(0.08	)


Total Income from Investment Operations			0.30				0.17				0.25				0.04				0.10				0.02


Less Distributions:
From net investment income			(0.06	)			(0.20	)			(0.20	)			(0.13	)			(0.10	)			(0.10	)
From net capital gains			—				—				—				—				(0.01	)			—
Return of Capital			—				—				(0.00	)²			—				—				—


Total Distributions			(0.06	)			(0.20	)			(0.20	)			(0.13	)			(0.11	)			(0.10	)


Net Asset Value, End of Period		$	8.89			$	8.65			$	8.68			$	8.63			$	8.72			$	8.73


Total Return			3.47	%³			1.93	%			2.93	%			0.48	%			1.25	%			0.22	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	413,195			$	449,701			$	580,434			$	975,388			$	1,284,692			$	1,492,411
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.62	%⁴			0.62	%			0.62	%			0.62	%			0.61	%			0.62	%
After expense waivers and reimbursements			0.62	%⁴			0.62	%			0.62	%			0.62	%			0.61	%			0.62	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.38	%⁴			2.32	%			2.29	%			1.45	%			1.19	%			1.16	%
Portfolio Turnover Rate			100	%³			233	%			174	%			200	%			95	%			119	%


	LOW DURATION BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2020 (UNAUDITED)				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016

Net Asset Value, Beginning of Period		$	8.65			$	8.68			$	8.64			$	8.72			$	8.73			$	8.81


Income from Investment Operations:
Net investment income¹			0.07				0.22				0.22				0.15				0.12				0.12
Net realized and unrealized gain/(loss)			0.24				(0.03	)			0.04				(0.08	)			(0.00	)²			(0.08	)


Total Income from Investment Operations			0.31				0.19				0.26				0.07				0.12				0.04


Less Distributions:
From net investment income			(0.07	)			(0.22	)			(0.22	)			(0.15	)			(0.12	)			(0.12	)
From net capital gains			—				—				—				—				(0.01	)			—
Return of Capital			—				—				(0.00	)²			—				—				—


Total Distributions			(0.07	)			(0.22	)			(0.22	)			(0.15	)			(0.13	)			(0.12	)


Net Asset Value, End of Period		$	8.89			$	8.65			$	8.68			$	8.64			$	8.72			$	8.73


Total Return			3.58	%³			2.14	%			3.03	%			0.81	%			1.46	%			0.44	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,742,942			$	1,456,456			$	1,578,279			$	1,685,415			$	1,816,633			$	1,915,270
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.41	%⁴			0.42	%			0.41	%			0.40	%			0.40	%			0.39	%
After expense waivers and reimbursements			0.41	%⁴			0.42	%			0.41	%			0.40	%			0.40	%			0.39	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.58	%⁴			2.51	%			2.53	%			1.68	%			1.40	%			1.39	%
Portfolio Turnover Rate			100	%³			233	%			174	%			200	%			95	%			119	%