Metropolitan West 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, 2022. With now 300 basis points (bps) of tightening of the Federal Funds rate in six months in an attempt to curb a persistence of inflation, fixed income pricing faced weakness during the period, reflected in the asset levels of the Fund complex, which ended the quarter at $71.5 billion. These challenges notwithstanding, higher yields do imply an improved return outlook going forward and the attendant volatility brings opportunity for our teams to apply their hallmark discipline to find value for client assets across the Fund complex.

The September 30, 2022 Semi-Annual Report covers the following Metropolitan West Funds:

The reporting period continued to be dominated by news flow surrounding rising inflation concerns and the prospect of interest rate hikes by the Fed, prompting a broad sell-off through June, followed by a rebound in July from an oversold position that proved short-lived as August saw a renewal of hawkish central bank rhetoric. More specifically, macroeconomic data releases provided mounting evidence of a pronounced slowing of the U.S. economy, which stoked hopes that inflation would soon relent and thereby limit the extent and duration of the Fed’s monetary tightening cycle. Indeed, the higher than expected headline year-over-year CPI (consumer price index) reading of 9.1% in June was followed by the 2Q GDP growth figure of -0.6%, which confirmed a second consecutive quarterly contraction of the economy. Thus, market participants embraced the narrative of peaking inflation in July, given the confirmation of slower growth. The turn from there, however, was as sharp as it was painful through quarter-end as rates ran higher and, sure enough, bond and equity markets tumbled. The hope of July turned out to be merely delusion, as a series of economic readings catalyzed deteriorating sentiment on the Fed’s fraught mission. Layered onto a continuation of weak GDP prints were ongoing indications of hot-running prices and tight labor conditions, a clear sign that the Fed was hardly ready to pause and certainly not to pivot (to easing). Late September confirmed this as the FOMC (Federal Open Market Committee) hiked an additional 75 basis points and the futures market indicated more to come. With markets bracing over the economic data and the appropriately hawkish central bank posture, a rout ensued on an aggressive, persistent Fed would heighten recession risk, delivering one of the most challenging periods for investors on record.

With recessionary fears coming to the forefront, equity returns were broadly negative from March month-end, with the S&P 500 Index dropping just over 20% during the period. Meanwhile, fixed income markets did not offer any investor respite as total returns were challenged in the backdrop of sharply higher Treasury yields, with the Bloomberg U.S. Aggregate Bond Index down 9.2% during the trailing six-month period, approximately 138 bps behind duration-matched Treasuries. Corporate credit endured one of the worst drawdowns on record, with a roughly 12% loss that lagged duration-matched Treasuries by 244 bps. Communications, railroads and certain segments of consumer non-cyclicals were the worst performing credit sectors, while airlines and finance companies outperformed. High yield credit fared slightly better than investment grade on an absolute basis, though still was down 10.4% and the sector trailed Treasuries by 565 bps. The lower-quality cohort of CCC-rated issues underperformed amid the risk-off backdrop, losing 13.4% while BB- and B-rated issues were down 9.1% and 11.4%, respectively. Within securitized, agency mortgage-backed securities (MBS) were particularly affected by rate volatility, and the sector delivered an Index-like 9.1% decline that was over 250 bps behind comparable Treasuries. Among the other securitized sectors, commercial MBS (CMBS) was down

approximately 6.6% and trailed Treasuries by 60 bps, with slight outperformance from agency MBS on duration-adjusted terms. Finally, asset-backed securities (ABS) were one of the top-performing fixed income sectors, down just 2.2% and even delivering positive excess returns of nearly 20 bps.

Any attempt to understand the full economic fallout of a tightening cycle this aggressive against the competing crosswinds of a consumer still fairly flush with cash, and anxious to spend that money on services and experiences post-pandemic, is a near impossible task. Clouding the outlook further will be the often overlooked but impactful repercussions of quantitative tightening, which will take many more months to become apparent. Meanwhile, unlike in recessions past, there is no major economy well positioned to pull the rest of the world along on coattails of strong growth. Moreover, exogenous shocks on the global stage such as the conflict in Russia/Ukraine and more recent U.K. LDI (Liability Driven Investment) issues alongside synchronized global tightening and the lagged effects of policy likely means that volatility will come in a generally declining market with credit of all types weakening as the cumulative impact of these changes takes hold. As long as economic and monetary policy continues to shift, the expectation is that this will persist. On the positive side, however, these market conditions create opportunities that can be exploited by disciplined active managers, setting the stage for strong performance as the volatility ultimately subsides.

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.

Consistent with the turbulent markets, the MetWest AlphaTrak 500 Fund (“Fund”) fell 22.24% (net of fees) for the six-month reporting period ending September 30, 2022, trailing the S&P 500 Index by 204 bps. The Fund’s small positive duration profile contributed to underperformance given the sharp increase in U.S. Treasury yields during the period, with the Fed delivering over 300 bps of rate hikes since March. Policy-sensitive short rates led the climb higher, with the Fund’s focused exposure among the front-end of the curve further detracting from returns. Meanwhile, the allocation to corporate credit was a drag as the sector trailed Treasuries by 244 bps on a duration-adjusted basis, led lower by communications – an emphasis within the Fund’s corporate position. The corporate credit sector drag notwithstanding, favorable issue selection among financials including REITs (real estate investment trusts) and insurance, and select consumer non-cyclicals, positively contributed to absolute performance. The Fund’s allocation to securitized credit, namely residential MBS, was a drag on performance given widening yield spreads among both agency and non-agency MBS. Heightened volatility, macro uncertainty and increased interest rates weighed on the sector, resulting in a downward repricing and yield spread levels in agency MBS that surpassed COVID-era wides. Though the allocation weighed on returns during the period, cheap valuations provided attractive opportunities to add to the Fund’s mortgage basis across both agency and non-agency issues at yield levels that are expected to be accretive to prospective returns. Finally, the modest allocation to ABS and CMBS had a more muted effect as CMBS lagged in sympathy with the broader markets, while ABS modestly outperformed comparable Treasuries, with the Fund’s FFELP student loan ABS providing a small boost to returns.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? Given that rates already reflect an aggressive Fed with 10-year yields appearing above long-term equilibrium, the duration profile remains modest at approximately 1.4 years. Turning towards sector positioning, corporate spreads at these levels look attractive, particularly considering the deep discounts at which much of the market trades. These discounts provide positive credit convexity and additional protection for investors, though careful issue selection is still critical amid uncertain conditions. Similarly, high yield spreads above 500 bps are historically a decent place to enter the market. However, it is important to note that though credit risk premiums are elevated, so too are the risk factors; thus, a cautious expansion is warranted. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market, given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but focused on single asset, single borrower (SASB) deals where exposures can be targeted to newer, more efficient, in-demand developments. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

The MetWest Corporate Bond Fund – I Class (“Fund”) fell 12.29% (net of fees) over the six-month period ending September 30, 2022, trailing the Bloomberg U.S. Corporate Index (“Index”) by approximately 34 bps. The Fund’s duration position, which started the period underweight relative to the Index, was extended in a disciplined fashion alongside the surge in U.S. Treasury yields and evolving value proposition, moving to an overweight position early in the second quarter which was maintained throughout the reporting period, ultimately weighing on returns given the rapid rate increases. The underweight to corporate credit, however, benefitted relative performance as corporates fell nearly 12% throughout the period as sustained volatility and climbing rates pushed yield premiums higher. Specifically, the underweight to industrials, including poor-performing sectors like basic industry, railroads and technology was additive, though the overweight to communications modestly detracted. Further, the Fund’s healthcare and wirelines holdings generally lagged those held in the Index, though holdings among financials outpaced the broader corporate universe. The significant improvement in valuations across a large swatch of the corporate sector, including higher yields and lower prices, informed an expansion of the Fund’s risk budget and a newly established overweight corporate credit position at the end of the period. Though these recent additions occurred during times of yield spread widening, which impacted immediate performance, they set the stage for strong prospective performance over the medium to long term. Finally, the modest allocation to CMBS weighed on returns as the sector struggled amid the volatility and ongoing evolution of work from home arrangements, while ABS holdings added on the margin.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? Given the further move higher in Treasury yields, the duration profile of the strategy was extended to approximately 0.3 years longer than the Index, as 10-Year rates appear above long-term equilibrium. Among corporates, improving valuations across the corporate universe created a more symmetric risk and reward profile, with sub-par pricing offering positive credit convexity and enhanced downside protection. As such, risk budgets have expanded, with additions in high quality issuers and most notably banking credits, especially large U.S. money-center banks, due to attractive relative value, high capital ratios and a well-regulated emphasis on liquidity. Underlying these additions is careful issue selection, which is still paramount in the strategy, especially amid uncertain conditions. Meanwhile, yield spreads among high yield corporates are reaching potential entry point levels, though it is important to note that while credit risk premiums are elevated, so too are the risk factors; thus any expansion will be steeped in discipline and caution. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market, with allocations emphasizing up in the capital structure issues with cash flow priority and credit enhancement to reduce downside risks.

For the period ending September 30, 2022, the MetWest ESG Securitized Fund – I Class (“Fund”) fell -9.40% (net of fees), trailing the Bloomberg U.S. MBS Bond Index (“Index”) by 26 bps. The Fund’s duration position was extended in a disciplined fashion alongside the rise in rates over the subsequent months to end the period approximately 0.35 years short. This overweight duration position along with the Fund’s curve steepening bias weighed on returns as rates rose relative to the index, with the most pronounced increases in the short end of the Treasury curve. However, the largest contribution to the Fund’s underperformance

was driven by the allocation to non-agency CMBS, particularly senior AAA-rated issues, as the sector realized a negative 99 bps of underperformance against duration-adjusted Treasuries. The Fund’s ongoing underweight to agency MBS added to relative performance, as agency MBS lagged duration-adjusted Treasuries by nearly 260 bps.

This environment will broadly continue to inform duration and curve positioning in the Fund, along with relative value considerations across securitized sectors. That said, the ESG emphasis of the Fund requires a priority on securitized assets that have positive ESG attributes. This drove an emphasis on a targeted subset of the agency MBS universe where social characteristics, such as affordability, were prioritized along with relative value considerations. Additionally, there is a large allocation to unlabeled green opportunities in the non-Agency CMBS sector, specifically single asset, single borrower (SASB) senior and A – AAA rated issues, though tactical opportunities down the capital structure are also attractive. Various ABS holdings, particularly solar ABS and data centers present compelling unlabeled green opportunities. In the ESG-labeled securities market, while agency MBS and CMBS (multifamily) offer opportunities for green, social, and sustainable bonds, relative value is constrained, with most opportunities in subordinate and interest-only investments. We expect the ESG-labeled market to increase over time, as issuers structure bonds to meet the rising demand for these assets. Along with expanded ESG-labeled issuance, we anticipate more securitized sectors will evolve into social and/or environmental lending and issuance criteria. In the meantime, the Fund will continue to emphasize unlabeled opportunities in securitized credit and Agency MBS with social characteristics, while looking for labeled opportunities that meet our return and ESG objectives.

More broadly, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market, given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but focused on single asset, single borrower deals where exposures can be targeted to newer, more efficient, in-demand developments. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

The MetWest Flexible Income Fund – I Class (“Fund”) delivered a total return of negative 7.44% (net of fees) for the six-month period ending September 30, 2022, but outpaced the Bloomberg U.S. Aggregate Bond Index (“Index”) by 178 bps. Outperformance was due entirely to the shorter than index position amid significantly higher interest rates. Meanwhile, elevated interest rate volatility weighed on fixed income spread sectors, particularly the agency MBS sector. While underperformance in the agency MBS space presented attractive opportunities to add exposure at yield levels not seen since the global financial crisis, the position remained underweight that of the benchmark, which benefitted relative performance. More than offsetting this contribution, however, was the drag associated with non-agency MBS during the quarter. Non-agency MBS bonds, which have generally been a steady source of incremental return since the housing crisis, detracted during the period as broader market volatility and reduced trading in the space weighed on pricing. Nevertheless, additions were made in the sector, with purchases focused on senior, seasoned legacy and re-securitized legacy collateral given attractive valuations. Finally, ABS focused on CLO (collateralized loan obligation) collateral detracted (though to a much lesser extent) as the sector widened during the period. Away from securitized, issue selection in corporate credit was also a headwind to performance. While the Fund maintained relatively defensive positioning, focusing on less cyclical sectors and businesses with attractive long-term fundamentals, nearly all corporate industries underperformed for the period. Given the widening, the overweight to credit expanded modestly as those buys were executed across a variety of sectors we view as more defensive, particularly banking. While many additions were made incrementally into widening markets – thus resulting in short-term negative performance – these additions were made at levels we believe to be fundamentally compelling, and are expected to be accretive to prospective returns over the medium to longer term.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance

amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? Given the further move higher in Treasury yields, the duration profile of the strategy was extended, but remains shorter than the Index overall. Among the sectors, corporate spreads at these levels look attractive, particularly considering the deep discounts at which much of the market trades. Sub-par pricing provides positive credit convexity and additional protection for investors, though careful issue selection is still critical amid uncertain conditions. Similarly, high yield spreads above 500 bps has historically been a good entry point. However, it is important to note that though credit risk premiums are elevated, so too are the risk factors; thus, a cautious expansion is warranted. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market, given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but focused on single asset, single borrower deals where exposures can be targeted to newer, more efficient, in-demand developments, as well as select IO (interest-only) issuers where there is attractive upside potential. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

The MetWest Floating Rate Income Fund – I Class (“Fund”) fell 3.65% (net of fees) for the six-month period ending September 30, 2022, trailing the S&P/LSTA Leveraged Loan Index (“Index”) by 50 bps. Relative underperformance was driven in large part by the Fund’s sector positioning, including an overweight to poor-performing consumer non-cyclicals like food and beverage and healthcare, while the underweight to energy and financials was a modest headwind as they were among the best-performing sectors during the period. A further drag resulted from the small underweight to electric utilities, though Fund holdings among utilities outpaced those in the Index, helping to offset the sector drag. Meanwhile, issue selection among technology names produced the largest positive contribution to performance, with Fund holdings among financials, including finance companies and brokerage names, also contributing to performance. Finally, with heightened volatility, soaring prices and compressed margins across a large swath of borrowers, higher quality loans outperformed lower quality loans during the period, with the Fund’s emphasis among the lower quality cohort weighing on performance.

Given the numerous headwinds facing the leveraged loan market – rising borrowing costs, sustained volatility, slowing growth, an uptick in downgrades and margin compression, to name a few – careful issue selection and diligent bottoms-up analysis remains critical. Further, these turbulent market conditions have produced a challenging liquidity environment, where even relatively small changes in fundamentals or market conditions can have outsized price impacts, either positive or negative. Meanwhile, though supply chain constraints and red hot commodity price inputs have eased, there is significant variability by which borrowers across sectors and industries are able to pass along increased financing costs, with borrowers closer to the end user (retail, tech) generally unable to do so meaningfully, thereby resulting in falling margins. As such, the Fund will continue to emphasize more defensive sectors including communications and consumer non-cyclicals while less of an emphasis will generally be placed on more cyclical, higher market beta sectors. Though the strategy will remain consistent in adhering to relative value discipline and be selective in its underwriting, the confluence of challenging macroeconomic factors has improved valuations and widened yield spreads to increasingly attractive levels, providing ample opportunity for disciplined active management.

Consistent with turbulent market conditions, the MetWest High Yield Bond Fund – I Class (“Fund”) fell 10.32% (net of fees) over the six-month reporting period ending September 30, 2022, though this was approximately 10 bps ahead of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap. The largest drag on returns came from the overweight to consumer non-cyclicals, given it was the worst-performing sector in the universe, weighed down by pharmaceuticals, though this was somewhat offset by positive issue selection. An overweight to lagging communications and banking was similarly a headwind, though Fund holdings in these sectors outpaced those in the Index. Overall, though sector positioning was a drag, this was more than offset by benefit from security selection. In addition to the aforementioned contributions, finance company, electric utility, energy, and consumer cyclical names boosted relative returns. Finally, the Fund’s duration profile was a slight tailwind to performance, as the relative position was underweight the Index for most of the period, though was extended to approximately 0.1 years by September end as rates rose across the curve.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? Given the further move higher in Treasury yields, the duration profile of the strategy was extended to approximately 0.1 years long the Index at quarter-end, as 10-Year rates appear above long-term equilibrium. Turning towards sector positioning, though credit risk premiums are elevated versus the start of the year, so too are the risk factors. These fundamental variable changes must be considered in calibrating the prevailing attractiveness of high yield bonds. With that in mind, a cautious expansion is warranted and the team will continue to take advantage of rallies as a means to optimize/ reduce risk where appropriate. Yield spreads in the near term are likely to continue widening should the economy slow, and in that environment, additions will be made in a disciplined, incremental fashion to avoid vulnerable capital structures. Discount syndications will likely continue to represent opportunities for investment opportunities going forward, to take advantage of relative value versus existing bonds. The team will continue to be very deliberate in its additions, with an overall emphasis on defensive areas of the market with less economically sensitive demand drivers such as consumer non-cyclicals while energy, retail and technology credits represent relative underweights. Overall, an environment of higher yields, dollar price discounts and wider spreads certainly broaden out the opportunity set and the team will put emphasis on credit-specific idea generation around mispricings.

The MetWest Intermediate Bond Fund – I Class (“Fund”) delivered a negative total return of 6.48% (net of fees) for the six-month period ending September 30, 2022, trailing the Bloomberg Intermediate U.S. Government/Credit Index (“Index”) by 112 bps. Rising rates weighed on relative performance in several ways. First, duration positioning was a drag as the Fund was overweight

duration relative to the benchmark, and the position was extended in a disciplined fashion alongside the rise in rates. Additionally, elevated interest rate volatility weighed on fixed income spread sectors, particularly the agency MBS sector, which detracted from performance given the overweight position in the Fund. However, underperformance in the agency MBS space presented attractive opportunities to add exposure at yield levels not seen since the global financial crisis. Additions were also made in the non-agency MBS space, with purchases focused on senior, seasoned legacy and re-securitized legacy collateral given attractive valuations. Non-agency MBS bonds, which have generally been a steady source of incremental return since the housing crisis, detracted during the period as broader market volatility and reduced trading in the space weighed on pricing. Away from securitized, the overweight to corporate credit was a headwind as intermediate corporates lagged Treasuries on a duration-adjusted basis. While the Fund maintained relatively defensive positioning, focusing on less cyclical sectors and businesses with attractive long-term fundamentals, issue selection resulted in an additional drag as all intermediate corporate industries underperformed for the period.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? Given the further move higher in Treasury yields, the duration profile of the strategy was extended to approximately 0.5 years long versus the benchmark. Among the sectors, corporate spreads at these levels look attractive, particularly considering the deep discounts at which much of the market trades. Sub-par pricing provides positive credit convexity and additional protection for investors, though careful issue selection is still critical amid uncertain conditions. Similarly, high yield spreads above 500 bps has historically been a good entry point. However, it is important to note that though credit risk premiums are elevated, so too are the risk factors; thus, a cautious expansion is warranted. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but is focused on single asset, single borrower deals where exposures can be targeted to newer, more efficient, in-demand developments. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

Consistent with turbulent market conditions, the MetWest Investment Grade Credit Fund – I Class (“Fund”) fell 7.26%% (net of fees) over the six-month period ending September 30, 2022, trailing the Bloomberg U.S. Intermediate Credit Index (“Index”) by approximately 66 bps. The Fund’s duration position, which started the period underweight relative to the Index, was extended in a disciplined fashion alongside the surge in U.S. Treasury yields and evolving value proposition to an overweight position, ultimately weighing on returns given the rapid rate increases. Meanwhile, the overweight to intermediate financials held back returns, specifically banking as the subsector trailed duration-matched Treasuries by 194 bps, though superior issue selection helped to offset some of this drag. Within industrials, the emphasis on more defensive sectors such as consumer non-cyclicals and communications had a mixed effect, given that non-cyclicals outpaced the broader corporate universe while media entertainment and wirelines were among the worst performers in the Index. Among non-corporate credits, a slight overweight to municipals weighed on returns as the sector lagged comparable Treasuries. Lastly, the Fund’s off-Index position in securitized products focused on residential MBS detracted from performance during the period as agency MBS faced a challenging environment of increased rate volatility, while non-agency MBS similarly experienced pricing weakness notwithstanding still-strong underlying fundamentals. In contrast, the smaller allocation to CMBS boosted returns, as the sector outperformed corporate credit.

money center banks – provides positive credit convexity, enhanced yield compensation and additional downside protection for investors, informing the strategy’s increased allocation to the space. Despite the expansion of risk budgets across the strategy, careful issue selection is still critical amid uncertain conditions and remains an integral part of the team’s process. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market, given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but focused on single asset, single borrower deals where exposures can be targeted to newer, more efficient, in-demand developments. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

The MetWest Low Duration Bond Fund – I Class (“Fund”) delivered a negative total return of 3.47% (net of fees) for the six-month period ending September 30, 2022, trailing the ICE BofA 1-3 Year U.S. Treasury Index by 141 bps. A sizable headwind to relative returns came from the longer-than-benchmark duration position as Treasury rates continued to rise during the quarter, though the position was extended in a disciplined fashion alongside the rise in rates. Additionally, elevated interest rate volatility weighed on fixed income spread sectors, particularly agency MBS, which detracted from performance given the overweight position in the Fund, notwithstanding marginal benefits coming from the emphasis on TBAs (To be announced). However, underperformance among agency MBS presented attractive opportunities to add exposure at yield levels not seen since the global financial crisis. Additions were also made in the non-agency MBS space, with purchases focused on senior, seasoned legacy and re-securitized legacy collateral given attractive valuations. Non-agency MBS bonds, which have generally been a steady source of incremental return since the housing crisis, detracted during the period as broader market volatility and reduced trading in the space weighed on pricing. Finally, the off index allocation to corporate credit, which lagged Treasuries during the period, weighed on performance, specifically the focus on communications, banking, and consumer non-cyclicals as these were among the worst-performing sectors over the period.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? Given the further move higher in Treasury yields, the duration profile of the strategy was extended to approximately 0.5 years long versus the benchmark. Among the sectors, corporate spreads at these levels look attractive, particularly considering the deep discounts at which much of the market trades. Sub-par pricing provides positive credit convexity and additional protection for investors, though careful issue selection is still critical amid uncertain conditions. Similarly, high yield spreads above 500 bps has historically been a good entry point. However, it is important to note that though credit risk premiums are elevated, so too are the risk factors; thus, a cautious expansion is warranted. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market, given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but focused on single asset, single borrower deals where exposures can be targeted to newer, more efficient, in-demand developments. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

Consistent with the turbulent conditions, the MetWest Opportunistic High Income Credit Fund – I Class (“Fund”) returned negative 13.32% (net of fees) for the six-month period ended September 30, 2022, trailing the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap by 290 bps. The significant rise in Treasury yields during the period put downward pressure on prices in fixed income spread sectors, while equities fell on concerns about ongoing tightening from the central bank and the growing risk of recession. As such, the allocation to equities in the Fund weighed on relative returns, along with the overweight to investment grade corporate credit, which lagged Treasuries by over 240 bps for the period, though the underweight to high yield credit, which trailed Treasuries by 565 bps, contributed to performance. Among corporates, positioning was largely focused on more defensive, less cyclical industries such as consumer non-cyclicals, communications, banking, and insurance, all of which trailed Treasuries during the period, though favorable issue selection in these areas helped to offset the drag. Away from corporates, non-agency MBS bonds, which have generally been a steady source of incremental return since the housing crisis, detracted during the period as broader market volatility and reduced trading in the space weighed on pricing. Additionally, the small allocation to non-agency CMBS detracted as the sector lagged Treasuries by nearly 100 bps for the period. Meanwhile, duration positioning was largely in line with the benchmark, having little impact on performance.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? Strategically, the Fund will tend to position for good value opportunities with a higher yield profile. Corporate spreads at current levels look attractive, particularly considering the deep discounts at which much of the market trades. Sub-par pricing provides positive credit convexity and additional protection for investors, though careful issue selection is still critical amid uncertain conditions. Similarly, high yield spreads above 500 bps has historically been a good entry point. However, it is important to note that though credit risk premiums are elevated, so too are the risk factors; thus, a cautious expansion is warranted. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, non-agency MBS looks compelling at current wide spreads given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. Finally, the CMBS allocation emphasizes high quality as well, but is focused on select IO issuers where there is attractive upside potential.

Amidst the turbulent market backdrop, the MetWest Strategic Income Fund – I Class (“Fund”) fell 5.04%% (net of fees) for the six-month period ending September 30, 2022, lagging the ICE BofA U.S. 3-Month Treasury Bill Index +200 bps by approximately 660 bps. The largest headwind to returns came from the positive duration profile, which was extended throughout the period to

end September at approximately 2.5 years, as Treasury yields moved higher across the curve (the 2-Year yield was up over 194 bps while the 10-Year was up 149 bps). The next largest drag came from the residential MBS allocation, namely non-agency MBS which faced price weakness on increased volatility and selling activity notwithstanding still strong fundamentals. Meanwhile, as spreads for agency MBS moved to post-2008 wides and entry points looked increasingly attractive, the position was upsized and ultimately resulted in a drag for the period, notwithstanding marginal benefit coming from the emphasis on TBAs. Elsewhere in securitized, ABS similarly weighed on returns for the period, though to a lesser extent, notwithstanding a boost from student loan ABS holdings in the third quarter. Lastly, the CMBS exposure was an outlier in contributing to performance, with the position trimmed in favor of other opportunities throughout the period. Turning toward the credit allocation, investment grade corporates overall delivered negative excess returns and the exposure detracted from performance despite some benefit later in the period from issue selection among industrials. Similarly, while 3Q performance for high yield corporates was resilient, the sector trailed duration-matched Treasuries amid the risk-off sentiment for the full period (-564 bps of excess return), weighing on the Fund’s allocation. Finally, the overall reduced risk appetite for EM debt given a backdrop of rising U.S. rates and weaker-than-expected global growth weighed modestly on exposure.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? As rates already reflect an aggressive Fed with 10-year rates appearing above long-term equilibrium, the duration profile remains at approximately 2.5 years. Turning towards sector positioning, corporate spreads at these levels look attractive, particularly considering the deep discounts at which much of the market trades. These discounts provide positive credit convexity and additional protection for investors, though careful issue selection is still critical as market conditions are likely to get worse before they get better. Similarly, high yield spreads above 500 bps are historically a decent place to enter the market. However, it is important to note that though credit risk premiums are elevated, so too are the risk factors; thus, a cautious expansion is warranted. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market, given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but focused on single asset, single borrower deals where exposures can be targeted to newer, more efficient, in-demand developments. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

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

The MetWest Total Return Bond Fund – I Class (“Fund”) delivered a total return of negative 10.61% (net of fees) for the six-month period ending September 30, 2022, trailing the Bloomberg U.S. Aggregate Bond Index (“Index”) by 139 bps. Rising rates weighed on relative performance in several ways. First, duration positioning was a drag as the Fund was overweight duration relative to the benchmark for most of the period, and the position was extended in a disciplined fashion alongside the rise in rates. Additionally, elevated interest rate volatility weighed on fixed income spread sectors, particularly the agency MBS sector, which detracted from performance given the overweight position in the Fund. However, underperformance in the agency MBS space presented attractive opportunities to add exposure at yield levels not seen since the global financial crisis. Additions were also made in the non-agency MBS space, with purchases focused on senior, seasoned legacy and re-securitized legacy collateral given attractive valuations. Non-agency MBS bonds, which have generally been a steady source of incremental return since the housing crisis, detracted during the period as broader market volatility and reduced trading in the space weighed on pricing. Away from securitized, issue selection in corporate credit was also a headwind to performance. While the Fund maintained relatively defensive positioning, focusing on less cyclical sectors and businesses with attractive long-term fundamentals, nearly all corporate industries underperformed for the period. Given the widening, the overweight to credit expanded modestly as those

buys were executed across a variety of sectors we view as more defensive, particularly banking. While many additions were made incrementally into widening markets – thus resulting in short-term negative performance – these additions were made at levels we believe to be fundamentally compelling, and are expected to be accretive to prospective returns over the medium to longer term.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? Given the further move higher in Treasury yields, the duration profile of the strategy was extended to approximately 0.5 years long the Index by the end of the period, as 10-Year rates appear above long-term equilibrium. Among the sectors, corporate spreads at these levels look attractive, particularly considering the deep discounts at which much of the market trades. Sub-par pricing provides positive credit convexity and additional protection for investors, though careful issue selection is still critical amid uncertain conditions. Similarly, high yield spreads above 500 bps has historically been a good entry point. However, it is important to note that though credit risk premiums are elevated, so too are the risk factors; thus, a cautious expansion is warranted. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market, given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but focused on single asset, single borrower deals where exposures can be targeted to newer, more efficient, in-demand developments. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

Against a backdrop of continued turbulence across spread sectors, the MetWest Ultra Short Bond Fund – I Class (“Fund”) fell 1.72% (net of fees) over the six-month period ending September 30, 2022, trailing the ICE BofA 1-Year U.S. Treasury Index by 75 bps. The Fund’s longer-than-Index duration profile, which was extended throughout the period alongside the continued rise in U.S. Treasury yields (the 2-year rate rose over 194 bps while the 5-year increased 163 bps), produced a sizeable headwind that weighed on returns. Further detracting from performance was the Fund’s allocation to residential MBS, with the agency MBS allocation the largest negative contributor. Continued volatility, surging rates and near fully-extended durations (especially among lower coupons) resulted in a sharp downward repricing across the sector, with yield spreads widening to levels not seen since the GFC (global financial crisis) providing favorable entry points for the Fund to meaningfully add to the mortgage basis. Despite the sector drag, the emphasis on TBA securities helped to blunt the impact, while the smaller allocation to non-agency MBS resulted in a more muted effect as favorable issue selection among loans backed by subprime legacy collateral largely offset the negative impact of yield premiums rising in the sector. Elsewhere in securitized, the Fund’s CMBS holdings – led by single asset, single borrower deals – were a tailwind, while the ABS allocation detracted on the margin. Meanwhile, the Fund’s exposure to corporate credit resulted in a mixed effect; while short corporates trailed duration-matched Treasuries during the period (with financials, an emphasis among the Fund’s corporate exposure among the worst performers), favorable issue selection among insurance, healthcare, transportation and communications names positively contributed to performance.

these levels look attractive, particularly considering the deep discounts at which much of the market trades. Sub-par pricing provides positive credit convexity, enhanced yield compensation and additional downside protection for investors, though careful issue selection is still critical amid uncertain conditions. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market, given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but focused on single asset, single borrower deals where exposures can be targeted to newer, more efficient, in-demand developments. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

Consistent with turbulent markets, the MetWest Unconstrained Bond Fund – I Class (“Fund”) fell 6.02% (net of fees) for the six-month period ending September 30, 2022, trailing the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index by approximately 685 bps. The largest headwind to returns came from the positive duration profile, which was extended throughout the period to end September at approximately 2.3 years, as Treasury yields moved higher across the curve (the 2-Year yield was up over 194 bps while the 10-Year was up 149 bps). The next largest drag came from the residential MBS allocation, notably non-agency MBS which faced price weakness on increased volatility and selling activity notwithstanding still strong fundamentals. Meanwhile, as spreads for agency MBS moved to post-2008 wides and entry points looked increasingly attractive, the position was upsized and ultimately resulted in a drag for the period, notwithstanding marginal benefit coming from the emphasis on TBAs. Elsewhere in securitized, CMBS and ABS similarly weighed on returns for the period, though to a lesser extent, notwithstanding a boost from student loan ABS holdings in the third quarter. Within the credit allocation, investment grade corporates overall delivered negative excess returns and the exposure detracted from performance despite some benefit later in the period from issue selection among industrials. Similarly, while 3Q performance for high yield corporates was resilient, the sector trailed duration-matched Treasuries amid the risk-off sentiment for the full period (-564 bps of excess return), weighing on the Fund’s allocation. Finally, the overall reduced risk appetite for EM debt given a backdrop of rising U.S. rates and weaker-than-expected global growth weighed on exposure.

Looking forward, discipline remains key. And while it won’t necessarily play out to deliver week-by-week outperformance amid bumpy markets, adherence to philosophical consistency and rigorous analysis has shown to pay off in alpha. So, where does that lead from a positioning perspective? As rates already reflect an aggressive Fed with 10-year rates appearing above long-term equilibrium, the duration profile remains at approximately 2.3 years. Turning towards sector positioning, corporate spreads at these levels look attractive, particularly considering the deep discounts at which much of the market trades. These discounts provide positive credit convexity and additional protection for investors, though careful issue selection is still critical as market conditions are likely to get worse before they get better. Similarly, high yield spreads above 500 bps are historically a decent place to enter the market. However, it is important to note that though credit risk premiums are elevated, so too are the risk factors; thus, a cautious expansion is warranted. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, agency MBS looks compelling at current wide spreads, as do areas of the non-agency market, given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in capital structure with cash flow priority and credit enhancement to reduce downside risks. CMBS emphasizes high quality as well, but focused on single asset, single borrower deals where exposures can be targeted to newer, more efficient, in-demand developments. Similarly, senior tranche ABS provide fair compensation given robust structures, even as the possibility of recession looms.

As we manage through this cycle of Fed tightening and the uncertainty over its eventual transition to a pause or easing, expectations remain for a continuation of unsettled conditions. Through this, our team will adhere to the same disciplined approach employed in the 25 years since the launch of the Funds, namely, to ensure appropriate compensation for the risks assumed. This value orientation, steeped in capital preservation, solid credit underwriting and liquidity management, is the essence of an active portfolio construction philosophy that delivers on the desired return-risk profile sought across the Fund offerings. It is our historical experience that these difficult, and especially the subsequent, periods bring into clear relief the benefit of the active, disciplined style practiced by our team.

In closing, I’d like to express my personal appreciation for your present and historical sponsorship of the Metropolitan West Funds. Following more than 20 years at the Adviser and just shy of 15 years as the President of the Funds, I will be retiring at the end of the year, turning that role over to Katie Koch, who will arrive in early 2023 as the CEO of TCW/Metropolitan West. It has been my honor to preside over the growth of the Funds and gratifying to work with the disciplined investment professionals in their management through good and more difficult circumstances alike. We manage our entire business on the basis of team management to help ensure seamless transitions to the next generation, and I am certain that Katie will collaborate closely with our long-tenured colleagues to continue to build on the excellence of the Firm. Most importantly, I take my leave with great confidence in knowing that the stewardship of the Funds and your assets are in good hands.

Thank you again for your investment in the Metropolitan West Funds. Our entire team looks forward to continuing to assist you in the fulfillment of your financial goals.

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

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

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

or other institutions to leverage a transaction, provided that the borrowing is fully-collateralized. The Fund’s assets may change in value while the borrowing is outstanding, which could create interest expenses that can exceed the income from the assets retained.

The views and forecasts expressed here are as of October 2022, 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			37.02%

Asset-Backed Securities			14.81%

Non-Agency Commercial Mortgage-Backed			11.28%

U.S. Agency Mortgage-Backed			11.09%

Non-Agency Mortgage-Backed			8.66%

U.S. Treasury Bills			6.31%

U.S. Agency Discount Notes			3.68%

U.S. Agency Commercial Mortgage-Backed			2.36%

Municipal Bonds			2.33%

Money Market Funds			0.22%

Common Stock			0.08%

Mutual Funds			0.05%

Rights			0.00%

Other*			2.11%

Total			100.00%



CORPORATE BOND FUND

Sector Diversification

Corporate Bonds			88.91%

U.S. Treasury Securities			4.67%

Municipal Bonds			3.28%

Asset-Backed Securities			0.42%

Money Market Funds			0.29%

Non-Agency Commercial Mortgage-Backed			0.21%

U.S. Agency Commercial Mortgage-Backed			0.21%

U.S. Agency Mortgage-Backed			0.09%

Other*			1.92%

Total			100.00%



ESG SECURITIZED FUND

Sector Diversification

U.S. Agency Mortgage-Backed			51.53%

Non-Agency Commercial Mortgage-Backed			35.72%

U.S. Treasury Securities			12.43%

Money Market Funds			8.65%

Asset-Backed Securities			5.91%

U.S. Agency Commercial Mortgage-Backed			1.11%

U.S. Agency Discount Notes			0.92%

Non-Agency Mortgage-Backed			0.84%

Other*			(17.11)%

Total			100.00%



FLEXIBLE INCOME FUND

Sector Diversification

Corporate Bonds			33.30%

Non-Agency Mortgage-Backed			26.20%

U.S. Agency Mortgage-Backed			19.95%

Asset-Backed Securities			12.87%

Non-Agency Commercial Mortgage-Backed			8.72%

Bank Loans			4.84%

U.S. Treasury Bills			4.30%

Money Market Funds			2.67%

Foreign Government Obligations			2.33%

U.S. Agency Commercial Mortgage-Backed			1.81%

Municipal Bonds			0.42%

Common Stock			0.22%

Warrant			0.01%

Rights			0.00%

Other*			(17.64)%

Total			100.00%



FLOATING RATE INCOME FUND

Sector Diversification

Bank Loans			88.39%

Corporate Bonds			4.60%

Money Market Funds			4.39%

Asset-Backed Securities			0.53%

Common Stock			0.06%

Warrant			0.01%

Rights			0.00%

Other*			2.02%

Total			100.00%



HIGH YIELD BOND FUND

Sector Diversification

Corporate Bonds			84.97%

Bank Loans			7.70%

Common Stock			1.20%

Money Market Funds			0.53%

Warrant			0.01%

Rights			0.00%

Other*			5.59%

Total			100.00%



INTERMEDIATE BOND FUND
Sector Diversification

U.S. Treasury Securities			41.56%

Corporate Bonds			32.98%

U.S. Agency Mortgage-Backed			12.14%

Non-Agency Mortgage-Backed			6.63%

Asset-Backed Securities			5.79%

Non-Agency Commercial Mortgage-Backed			3.07%

Bank Loans			1.33%

Municipal Bonds			0.98%

U.S. Agency Commercial Mortgage-Backed			0.35%

Money Market Funds			0.20%

Foreign Government Obligations			0.12%

Common Stock			0.05%

Rights			0.00%

Other*			(5.20)%

Total			100.00%



INVESTMENT GRADE CREDIT FUND

Sector Diversification

Corporate Bonds			65.74%

U.S. Agency Mortgage-Backed			11.87%

Asset-Backed Securities			5.81%

Municipal Bonds			5.42%

Non-Agency Commercial Mortgage-Backed			5.25%

Non-Agency Mortgage-Backed			4.69%

Money Market Funds			3.89%

U.S. Treasury Securities			3.42%

U.S. Agency Commercial Mortgage-Backed			0.53%

Other*			(6.62)%

Total			100.00%



LOW DURATION BOND FUND

Sector Diversification

Corporate Bonds			32.21%

U.S. Agency Mortgage-Backed			20.90%

U.S. Treasury Securities			20.39%

Non-Agency Mortgage-Backed			15.25%

Asset-Backed Securities			12.19%

Non-Agency Commercial Mortgage-Backed			9.72%

Bank Loans			2.39%

U.S. Agency Commercial Mortgage-Backed			2.34%

Money Market Funds			1.47%

Municipal Bonds			1.17%

Common Stock			0.00%

Purchased Swaptions			0.00%

Written Swaptions			0.00%

Other*			(18.03)%

Total			100.00%



OPPORTUNISTIC HIGH INCOME CREDIT FUND

Sector Diversification

Corporate Bonds			68.48%

Common Stock			9.71%

Bank Loans			7.15%

Non-Agency Mortgage-Backed			5.63%

Money Market Funds			2.78%

Master Limited Partnerships			2.27%

Non-Agency Commercial Mortgage-Backed			2.04%

U.S. Agency Commercial Mortgage-Backed			0.19%

Other*			1.75%

Total			100.00%



STRATEGIC INCOME FUND

Sector Diversification

Corporate Bonds			35.53%

Non-Agency Mortgage-Backed			31.46%

Asset-Backed Securities			16.91%

U.S. Agency Mortgage-Backed			13.79%

Non-Agency Commercial Mortgage-Backed			6.24%

U.S. Agency Discount Notes			4.34%

U.S. Agency Commercial Mortgage-Backed			2.38%

Money Market Funds			1.02%

Municipal Bonds			0.34%

Common Stock			0.18%

Foreign Government Obligations			0.06%

Rights			0.00%

Other*			(12.25)%

Total			100.00%



TOTAL RETURN BOND FUND

Sector Diversification

U.S. Agency Mortgage-Backed			35.60%

Corporate Bonds			30.15%

U.S. Treasury Securities			27.01%

Non-Agency Mortgage-Backed			9.26%

Asset-Backed Securities			5.13%

U.S. Agency Discount Notes			3.36%

Non-Agency Commercial Mortgage-Backed			3.35%

Money Market Funds			2.52%

Bank Loans			1.81%

Foreign Government Obligations			1.21%

Municipal Bonds			0.66%

U.S. Treasury Bills			0.58%

U.S. Agency Commercial Mortgage-Backed			0.55%

Common Stock			0.10%

Rights			0.00%

Other*			(21.29)%

Total			100.00%

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 – 87.55%

ASSET-BACKED SECURITIES — 14.81%**

Access Group, Inc.,

Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.70%)

3.78%

07/25/56

^1,2

10,242

10,063

Aimco CLO 11 Ltd.,

Series 2020-11A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.87%

10/17/34

^1,2,3

100,000

95,573

Americredit Automobile Receivables Trust,

Series 2019-1, Class D

3.62%

03/18/25

175,000

172,686

Apidos CLO XXII,

Series 2015-22A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.06%)

3.77%

04/20/31

^1,2,3

200,000

195,262

Barings CLO Ltd.,

Series 2013-IA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.51%

01/20/28

^1,2,3

54,422

53,639

Barings CLO Ltd.,

Series 2018-3A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

3.66%

07/20/29

^1,2,3

54,728

54,028

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

3.64%

01/25/35

^1,2

7,092

7,059

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

4.20%

02/25/35

212,541

211,513

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

3.80%

02/25/30

82,093

81,955

Carvana Auto Receivables Trust,

Series 2022-P3, Class A3

4.61%

11/10/27

165,000

162,176

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.91%

10/25/34

^1,2,3

100,000

96,150

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.82%)

3.73%

11/15/28

^1,2,3

85,518

84,308

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.41%

04/15/29

^1,2,3

45,534

44,836

Eaton Vance CLO Ltd.,

Series 2020-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

3.68%

10/15/34

^1,2,3

150,000

144,315

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

3.43%

04/25/35

1,306

1,302

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

4.13%

03/25/36

16,946

16,928

Exeter Automobile Receivables Trust,

Series 2021-2A, Class B

0.57%

09/15/25

144,039

142,812

GoldenTree Loan Management U.S. CLO 8 Ltd.,

Series 2020-8A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.86%

10/20/34

^1,2,3

140,000

134,820

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

4.05%

05/25/34

^1,2

43,475

43,433

LCM 29 Ltd.,

Series 29A, Class XR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.31%

04/15/31

^1,2,3

79,545

78,816

Madison Park Funding XVII Ltd.,

Series 2015-17A, Class AR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.00%)

3.73%

07/21/30

^1,2,3

170,000

166,826

Navient Student Loan Trust,

Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.51%)

3.59%

06/25/31

77,407

75,214

Navient Student Loan Trust,

Series 2017-2A, Class A

(LIBOR USD 1-Month plus 1.05%)

4.13%

12/27/66

^1,2

63,754

63,139

Navient Student Loan Trust,

Series 2017-4A, Class A2

(LIBOR USD 1-Month plus 0.50%)

3.58%

09/27/66

^1,2

18,146

18,116

Nelnet Student Loan Trust,

Series 2014-3A, Class A

(LIBOR USD 1-Month plus 0.58%)

3.66%

06/25/41

^1,2

11,332

11,066

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

North Carolina State Education Authority,

Series A3, Class A3

(LIBOR USD 3-Month plus 0.90%)

3.68%

10/25/41

7,303

7,270

NYACK Park CLO Ltd.,

Series 2021-1A, Class X

(Cayman Islands)

(LIBOR USD 3-Month plus 0.65%)

3.36%

10/20/34

^1,2,3

90,000

88,396

Oak Street Investment Grade Net Lease Fund,

Series 2020-1A, Class A1

1.85%

11/20/50

96,803

85,292

OCP CLO Ltd.,

Series 2017-14A, Class A1A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

4.13%

11/20/30

^1,2,3

85,000

83,595

OHA Credit Funding 7 Ltd.,

Series 2020-7A, Class AR

(Cayman Islands)

(CME Term SOFR 3-Month plus 1.30%)

3.85%

02/24/37

^1,2,3

115,000

110,532

Palmer Square CLO Ltd.,

Series 2014-1A, Class A1R2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.87%

01/17/31

^1,2,3

85,000

83,640

PHEAA Student Loan Trust,

Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.15%)

4.23%

09/25/65

^1,2

48,244

48,188

Progress Residential Trust,

Series 2019-SFR3, Class A

2.27%

09/17/36

118,808

112,339

Progress Residential Trust,

Series 2019-SFR4, Class A

2.69%

10/17/36

100,000

95,113

ReadyCap Commercial Mortgage Trust,

Series 2019-6, Class A

2.83%

10/25/52

100,299

94,260

Rockford Tower CLO Ltd.,

Series 2017-3A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

3.90%

10/20/30

^1,2,3

130,000

127,494

SLM Student Loan Trust,

Series 2003-11, Class A6

(LIBOR USD 3-Month plus 0.55%)

3.84%

12/15/25

^1,2

2,386

2,382

SLM Student Loan Trust,

Series 2004-1, Class A4

(LIBOR USD 3-Month plus 0.26%)

3.04%

10/27/25

5,435

5,432

SLM Student Loan Trust,

Series 2005-4, Class A3

(LIBOR USD 3-Month plus 0.12%)

2.90%

01/25/27

20,481

20,429

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust,

Series 2005-5, Class A4

(LIBOR USD 3-Month plus 0.14%)

2.92%

10/25/28

55,667

55,238

SLM Student Loan Trust,

Series 2005-7, Class A4

(LIBOR USD 3-Month plus 0.15%)

2.93%

10/25/29

152,481

151,270

SLM Student Loan Trust,

Series 2008-5, Class A4

(LIBOR USD 3-Month plus 1.70%)

4.48%

07/25/23

90,323

89,728

SLM Student Loan Trust,

Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

3.88%

07/25/23

130,819

128,413

SLM Student Loan Trust,

Series 2008-9, Class A

(LIBOR USD 3-Month plus 1.50%)

4.28%

04/25/23

33,930

33,621

SLM Student Loan Trust,

Series 2012-1, Class A3

(LIBOR USD 1-Month plus 0.95%)

4.03%

09/25/28

132,014

128,171

SLM Student Loan Trust,

Series 2012-2, Class A

(LIBOR USD 1-Month plus 0.70%)

3.78%

01/25/29

77,380

74,465

SLM Student Loan Trust,

Series 2013-4, Class A

(LIBOR USD 1-Month plus 0.55%)

3.63%

06/25/43

5,285

5,127

Sofi Professional Loan Program Trust,

Series 2021-B, Class AFX

1.14%

02/15/47

214,902

179,184

Sofi Professional Loan Program, LLC,

Series 2019-A, Class A2FX

3.69%

06/15/48

159,894

157,050

Stack Infrastructure Issuer LLC,

Series 2019-2A, Class A2

3.08%

10/25/44

60,000

56,543

Total Asset-Backed Securities

(Cost $4,287,473)

4,189,207

CORPORATES — 37.02%*

Banking — 12.11%

Bank of America Corp.

3.00%

12/20/23

⁴

91,000

90,528

Bank of America Corp.

(MTN)

3.38%

04/02/26

⁴

550,000

520,463

Credit Suisse Group AG

(Switzerland)

2.59%

09/11/25

^1,3,4

220,000

200,338

Discover Bank

(BKNT)

4.20%

08/08/23

125,000

124,074



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,4	$	200,000	$	182,648
HSBC Holdings PLC
(United Kingdom)
0.98%		05/24/25	^3,4		395,000		363,064
ING Groep NV
(Netherlands)
3.87%		03/28/26	^3,4		200,000		189,717
JPMorgan Chase & Co.
0.77%		08/09/25	⁴		110,000		101,001
4.02%		12/05/24	⁴		290,000		285,505
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,4		200,000		199,522
3.87%		07/09/25	^3,4		60,000		57,884
Macquarie Group Ltd.
(Australia)
1.20%		10/14/25	^1,3,4		90,000		81,990
1.34%		01/12/27	^1,3,4		70,000		59,984
3.19%		11/28/23	^1,3,4		90,000		89,754
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,4		105,000		102,099
4.52%		06/25/24	^3,4		75,000		74,134
Santander UK Group Holdings PLC
(United Kingdom)
1.53%		08/21/26	^3,4		200,000		173,589
3.37%		01/05/24	^3,4		155,000		154,046
4.80%		11/15/24	^3,4		75,000		73,991
Wells Fargo & Co.
2.19%		04/30/26	⁴		330,000		301,669

							3,426,000


Communications — 3.55%
AT&T, Inc.
(LIBOR USD 3-Month plus 1.18%)
4.42%		06/12/24	²		175,000		175,503
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.75%		02/01/32	¹		38,000		29,696
Charter Communications Operating LLC/Charter
Communications Operating Capital
(LIBOR USD 3-Month plus 1.65%)
4.43%		02/01/24	²		125,000		125,687
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	^1,3		131,000		111,505
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
8.50%		10/15/24	^{†,1,3,5,6,7,8}		20,000		—
9.75%		07/15/25	^{†,1,3,5,6,7,8}		61,000		—
Qwest Corp.
7.25%		09/15/25			100,000		102,500



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹	$	200,000	$	197,242
5.15%		03/20/28	¹		50,000		48,969
T-Mobile USA, Inc.
2.25%		02/15/26			113,000		101,281
2.63%		04/15/26			124,000		112,255

							1,004,638


Consumer Discretionary — 1.71%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		100,000		95,975
Hyatt Hotels Corp.
1.30%		10/01/23			140,000		134,666
Imperial Brands Finance PLC
(United Kingdom)
6.13%		07/27/27	^1,3		35,000		34,508
Spectrum Brands, Inc.
3.88%		03/15/31	¹		22,000		15,027
WarnerMedia Holdings, Inc.
3.43%		03/15/24	¹		210,000		203,159

							483,335


Electric — 1.28%
Alliant Energy Finance LLC
3.75%		06/15/23	¹		140,000		138,275
American Electric Power Co., Inc.
2.03%		03/15/24			120,000		114,851
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		128,000		108,943

							362,069


Energy — 1.46%
Energy Transfer LP
4.25%		04/01/24			150,000		146,913
5.50%		06/01/27			12,000		11,704
Occidental Petroleum Corp.
0.00%		10/10/36	⁹		25,000		13,063
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			125,000		120,589
Southern Co. Gas Capital Corp.
3.88%		11/15/25			100,000		95,799
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^1,3		9,450		9,216
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^1,3		15,750		14,442
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^1,3		1,800		1,696

							413,422



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance — 6.23%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.15%		02/15/24	³	$	150,000	$	144,170
Air Lease Corp.
2.25%		01/15/23			75,000		74,380
American Express Co.
2.25%		03/04/25			110,000		103,225
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		5,000		3,918
Capital One Financial Corp.
1.34%		12/06/24	⁴		120,000		114,095
Citigroup, Inc.
3.29%		03/17/26	⁴		290,000		273,882
Goldman Sachs Group, Inc. (The)
1.22%		12/06/23			90,000		86,346
1.95%		10/21/27	⁴		25,000		21,398
Goldman Sachs Group, Inc. (The)
(MTN)
(LIBOR USD 3-Month plus 1.60%)
4.64%		11/29/23	²		75,000		75,415
JPMorgan Chase & Co.
2.60%		02/24/26	⁴		50,000		46,531
Morgan Stanley
(GMTN)
1.51%		07/20/27	⁴		260,000		221,794
Morgan Stanley
(MTN)
0.53%		01/25/24	⁴		150,000		147,611
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4		75,000		74,177
4.36%		08/01/24	^1,3,4		75,000		73,948
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		110,000		109,373
UBS Group AG
(Switzerland)
4.49%		05/12/26	^1,3,4		200,000		192,792

							1,763,055


Food — 0.20%
Post Holdings, Inc.
4.63%		04/15/30	¹		68,000		55,998


Health Care — 4.03%
AbbVie, Inc.
3.75%		11/14/23			125,000		123,672
Bayer U.S. Finance II LLC
4.25%		12/15/25	¹		165,000		158,049
Catalent Pharma Solutions, Inc.
3.50%		04/01/30	¹		57,000		44,904
Dignity Health
3.13%		11/01/22			50,000		49,953
Embecta Corp.
5.00%		02/15/30	¹		45,000		38,702



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3,6,7	$	3,000	$	172
Fresenius U.S. Finance II, Inc.
4.50%		01/15/23	¹		75,000		74,807
HCA, Inc.
5.00%		03/15/24			75,000		74,614
5.25%		06/15/26			185,000		179,177
Humana, Inc.
3.85%		10/01/24			130,000		126,842
Medline Borrower LP
3.88%		04/01/29	¹		18,000		14,473
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	¹		16,000		13,160
Prestige Brands, Inc.
3.75%		04/01/31	¹		40,000		31,118
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/23	³		85,000		81,417
Thermo Fisher Scientific, Inc.
1.22%		10/18/24			140,000		130,358

							1,141,418


Industrials — 1.25%
Artera Services LLC
9.03%		12/04/25	¹		9,000		7,259
Berry Global, Inc.
0.95%		02/15/24			110,000		103,370
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
3.21%		05/05/26	²		29,000		27,562
(LIBOR USD 3-Month plus 0.48%)
3.39%		08/15/36	²		75,000		61,781
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	¹		5,000		4,758
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%		03/22/23	^1,3		150,000		149,211

							353,941


Information Technology — 0.79%
NCR Corp.
5.13%		04/15/29	¹		8,000		6,004
6.13%		09/01/29	¹		10,000		8,627
Skyworks Solutions, Inc.
0.90%		06/01/23			110,000		107,058
VMware, Inc.
1.00%		08/15/24			110,000		101,880

							223,569


Insurance — 1.02%
Athene Global Funding
(SOFR Index plus 0.70%)
3.44%		05/24/24	^1,2		85,000		83,429
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^1,4		90,000		90,011



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
Trinity Acquisition PLC
(United Kingdom)
4.63%		08/15/23	³	$	110,000	$	109,819
Willis North America, Inc.
4.65%		06/15/27			5,000		4,757

							288,016


Materials — 0.39%
Georgia-Pacific LLC
3.60%		03/01/25	¹		115,000		110,442


Real Estate Investment Trust (REIT) — 2.02%
Camden Property Trust
2.95%		12/15/22			55,000		54,921
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32			6,000		4,563
5.38%		11/01/23			190,000		186,960
Healthpeak Properties, Inc.
4.00%		06/01/25			60,000		58,008
Piedmont Operating Partnership LP
3.40%		06/01/23			125,000		123,697
SL Green Operating Partnership LP
3.25%		10/15/22			50,000		49,964
VICI Properties LP/VICI Note Co., Inc.
4.50%		01/15/28	¹		6,000		5,331
4.63%		06/15/25	¹		95,000		89,557

							573,001


Retail — 0.47%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%		10/15/30	^1,3		45,000		35,666
Dollar Tree, Inc.
4.00%		05/15/25			85,000		82,451
Michaels Cos., Inc. (The)
5.25%		05/01/28	¹		20,000		14,082

							132,199


Services — 0.07%
Waste Pro USA, Inc.
5.50%		02/15/26	¹		23,000		20,232


Transportation — 0.44%
Canadian Pacific Railway Co.
(Canada)
1.35%		12/02/24	³		100,000		92,666
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			32,745		31,871

							124,537


Total Corporates
(Cost $11,071,036)							10,475,872

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED — 33.39%**

Non-Agency Commercial Mortgage-Backed — 11.28%

1345 Avenue of the Americas & Park Avenue Plaza Trust,

Series 2005-1, Class A3

5.28%

08/10/35

32,780

31,734

ACAM Ltd.,

Series 2019-FL1, Class A

(Cayman Islands)

(CME Term SOFR 1-Month plus 1.51%)

4.44%

11/17/34

^1,2,3

109,649

108,962

AREIT Trust,

Series 2019-CRE3, Class A

(CME Term SOFR 1-Month plus 1.38%)

4.31%

09/14/36

^1,2

54,179

53,759

BANK,

Series 2018-BN14, Class A2

4.13%

09/15/60

64,625

63,135

Barclays Commercial Mortgage Securities Trust,

Series 2018-BXH, Class A

(LIBOR USD 1-Month plus 1.00%)

3.82%

10/15/37

^1,2

119,346

115,893

Beast Mortgage Trust,

Series 2021-SSCP, Class A

(LIBOR USD 1-Month plus 0.75%)

3.57%

04/15/36

^1,2

250,000

238,212

BFLD Trust,

Series 2020-EYP, Class A

(LIBOR USD 1-Month plus 1.15%)

3.97%

10/15/35

^1,2

125,000

121,878

BSPRT Issuer Ltd.,

Series 2019-FL5, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.15%)

3.97%

05/15/29

^1,2,3

63,424

63,236

BX Commercial Mortgage Trust,

Series 2021-CIP, Class A

(LIBOR USD 1-Month plus 0.92%)

3.74%

12/15/38

^1,2

130,000

124,702

BXMT Ltd.,

Series 2020-FL3, Class A

(Cayman Islands)

(SOFR30A plus 1.51%)

3.80%

11/15/37

^1,2,3

410,000

405,584

Citigroup Commercial Mortgage Trust,

Series 2013-GC11, Class AAB

2.69%

04/10/46

4,898

4,891

Citigroup Commercial Mortgage Trust,

Series 2015-GC29, Class AAB

2.98%

04/10/48

40,945

40,049

Citigroup Commercial Mortgage Trust,

Series 2015-P1, Class AAB

3.47%

09/15/48

32,286

31,569

Cold Storage Trust,

Series 2020-ICE5, Class A

(LIBOR USD 1-Month plus 0.90%)

3.72%

11/15/37

^1,2

108,129

105,946



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.70%		10/15/45	⁴	$	127,057	$	6
Commercial Mortgage Trust,
Series 2013-CR11, Class ASB
3.66%		08/10/50			4,051		4,034
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.29%		03/10/46	⁴		1,126,608		2,214
Commercial Mortgage Trust,
Series 2013-LC6, Class XB (IO)
0.50%		01/10/46	^1,4		1,750,000		123
Commercial Mortgage Trust,
Series 2015-LC23, Class A2
3.22%		10/10/48			38,691		36,936
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%		07/10/50			76,483		74,028
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
3.80%		05/15/36	^1,2		245,000		241,739
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.58%		08/10/43	^1,4		1,547,522		4,969
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.00%		03/10/44	^1,4		330,072		3
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C17, Class XA (IO)
0.87%		01/15/47	⁴		1,466,607		8,862
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class A3
3.67%		04/15/47			41,948		40,098
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.19%		01/15/46	⁴		8,168,233		3,168
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.35%		04/15/46	⁴		3,035,748		9,366
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2015-JP1, Class XA (IO)
1.05%		01/15/49	^4,5,8		641,889		15,646
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2016-JP3, Class A2
2.43%		08/15/49			172,166		171,355
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO)
0.43%		09/15/39	^1,4		303,520		40
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
4.66%		11/15/35	^1,2		159,308		158,808
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class ASB
3.56%		11/15/46			4,626		4,595



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C14, Class XA (IO)
1.08%		02/15/47	⁴	$	891,938	$	6,849
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C26, Class ASB
3.32%		10/15/48			48,600		47,342
One New York Plaza Trust,
Series 2020-1NYP, Class A
(LIBOR USD 1-Month plus 0.95%)
3.77%		01/15/36	^1,2		94,000		90,333
SREIT Trust,
Series 2021-MFP, Class A
(LIBOR USD 1-Month plus 0.73%)
3.55%		11/15/38	^1,2		250,000		241,186
TMSQ Mortgage Trust,
Series 2014-1500, Class XA (IO)
0.28%		10/10/36	^1,4		14,000,000		41,869
TRTX Issuer Ltd.,
Series 2019-FL3, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.26%)
4.19%		10/15/34	^1,2,3		35,382		35,373
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.18%		08/10/49	^1,4,5,8		374,612		69
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50			113,014		110,487
Wells Fargo Commercial Mortgage Trust,
Series 2017-SMP, Class A
(LIBOR USD 1-Month plus 0.88%)
3.69%		12/15/34	^1,2		200,000		193,084
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class A4
3.72%		05/15/47			112,801		109,907
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class ASB
3.39%		08/15/47			17,986		17,761
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class ASB
3.52%		03/15/47			11,976		11,860

							3,191,660


Non-Agency Mortgage-Backed — 8.66%
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%		09/25/37			195,189		85,678
Asset-Backed Funding Certificates,
Series 2004-OPT4, Class M1
(LIBOR USD 1-Month plus 0.90%)
3.98%		02/25/34	²		90,606		87,251
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
3.23%		05/26/36	^1,2		11,386		11,440

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Banc of America Funding Trust,

Series 2015-R7, Class 1A1

(Federal Reserve US 12-Month Cumulative Average plus 0.92%)

1.78%

09/26/46

^1,2

75,478

75,374

Centex Home Equity Loan Trust,

Series 2005-B, Class M2

(LIBOR USD 1-Month plus 0.65%)

3.73%

03/25/35

126,267

123,952

Centex Home Equity Loan Trust,

Series 2005-D, Class M4

(LIBOR USD 1-Month plus 0.92%)

4.00%

10/25/35

79,266

79,133

CIM Trust,

Series 2019-R1, Class A

3.25%

10/25/58

^1,4

93,519

87,433

CIM Trust,

Series 2021-R3, Class A1A

1.95%

06/25/57

^1,4

124,630

111,729

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-HE4, Class M2

(LIBOR USD 1-Month plus 0.68%)

3.76%

10/25/35

172,334

165,464

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-WFH3, Class M1

(LIBOR USD 1-Month plus 0.39%)

3.47%

06/25/37

116,181

114,673

Countrywide Asset-Backed Certificates Trust,

Series 2007-13, Class 2A1

(LIBOR USD 1-Month plus 0.90%)

3.98%

10/25/47

62,793

58,875

Countrywide Home Loan Mortgage Pass-Through Trust,

Series 2005-9, Class 1A1

(LIBOR USD 1-Month plus 0.60%)

3.68%

05/25/35

41,700

35,015

Credit-Based Asset Servicing and Securitization LLC,

Series 2003-CB1, Class AF (STEP-reset date 11/25/22)

3.95%

01/25/33

5,384

4,936

DSLA Mortgage Loan Trust,

Series 2004-AR3, Class 2A2A

(LIBOR USD 1-Month plus 0.74%)

3.73%

07/19/44

2,252

2,030

First Franklin Mortgage Loan Trust,

Series 2006-FF4, Class A3

(LIBOR USD 1-Month plus 0.56%)

3.64%

03/25/36

27,600

27,222

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

2.90%

04/19/36

⁴

61,426

48,739

HarborView Mortgage Loan Trust,

Series 2005-4, Class 2A

3.24%

07/19/35

⁴

836

728

HarborView Mortgage Loan Trust,

Series 2005-9, Class 2A1A

(LIBOR USD 1-Month plus 0.68%)

3.67%

06/20/35

108,989

99,434

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

HSI Asset Securitization Corp. Trust,

Series 2007-WF1, Class 1A1

(LIBOR USD 1-Month plus 0.32%)

3.40%

05/25/37

48,533

48,328

IndyMac Index Mortgage Loan Trust,

Series 2004-AR5, Class 2A1A

(LIBOR USD 1-Month plus 0.86%)

3.94%

08/25/34

6,685

5,782

IndyMac Index Mortgage Loan Trust,

Series 2006-AR4, Class A1A

(LIBOR USD 1-Month plus 0.42%)

3.50%

05/25/46

73,848

67,589

IndyMac Index Mortgage Loan Trust,

Series 2007-AR1, Class 2A1

3.14%

06/25/37

⁴

58,146

39,043

JPMorgan Mortgage Acquisition Trust,

Series 2005-WMC1, Class M3

(LIBOR USD 1-Month plus 0.71%)

3.79%

09/25/35

171,868

164,727

Long Beach Mortgage Loan Trust,

Series 2004-4, Class 1A1

(LIBOR USD 1-Month plus 0.56%)

3.64%

10/25/34

100,360

94,808

Morgan Stanley ABS Capital I, Inc. Trust,

Series 2007-HE7, Class A2B

(LIBOR USD 1-Month plus 1.00%)

4.08%

07/25/37

77,226

75,029

Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates,

Series 2005-4, Class M2

(LIBOR USD 1-Month plus 0.69%)

3.77%

11/25/35

83,402

77,851

Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,

Series 2005-WCW3, Class M1

(LIBOR USD 1-Month plus 0.72%)

3.80%

08/25/35

4,901

PRPM LLC,

Series 2021-6, Class A1 (STEP-reset date 10/25/22)

1.79%

07/25/26

73,937

68,379

Residential Asset Mortgage Products Trust,

Series 2004-SL1, Class A2

8.50%

11/25/31

4,097

1,374

Residential Asset Mortgage Products Trust,

Series 2006-NC3, Class M1

(LIBOR USD 1-Month plus 0.34%)

3.59%

03/25/36

87,794

86,286

Residential Asset Securities Corp.,

Series 2005-AHL2, Class M1

(LIBOR USD 1-Month plus 0.63%)

3.71%

10/25/35

36,847

36,719

Structured Asset Mortgage Investments II Trust,

Series 2006-AR1, Class 3A1

(LIBOR USD 1-Month plus 0.46%)

3.54%

02/25/36

63,377

57,139



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^1,5,8	$	1,541,283	$	18,410
VOLT XCIX, LLC,
Series 2021-NPL8, Class A1 (STEP-reset date 10/25/22)
2.12%		04/25/51	¹		205,905		191,417
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus 1.40%)
2.50%		06/25/42	²		1,133		1,042
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 2AB2
(LIBOR USD 1-Month plus 0.84%)
3.92%		07/25/45	²		95,353		88,447
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2005-4, Class M3
(LIBOR USD 1-Month plus 0.75%)
3.83%		12/25/35	²		100,000		97,641
Wells Fargo Mortgage-Backed Securities Trust,
Series 2003-I, Class A1
4.07%		09/25/33	⁴		5,868		5,645

							2,449,663


U.S. Agency Commercial Mortgage-Backed — 2.36%
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K031, Class X1 (IO)
0.29%		04/25/23	⁴		19,262,925		13,720
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K033, Class X1 (IO)
0.40%		07/25/23	⁴		3,936,182		6,605
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K036, Class X1 (IO)
0.83%		10/25/23	⁴		5,083,281		28,707
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K044, Class X1 (IO)
0.87%		01/25/25	⁴		1,116,123		15,636
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K732, Class X3 (IO)
2.24%		05/25/46	⁴		250,000		13,508
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC01, Class X1 (IO)
0.56%		12/25/22	⁴		3,741,333		2,954
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.34%		06/25/27	⁴		990,071		31,926



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF88, Class AL
(LIBOR USD 1-Month plus 0.33%)
2.88%		09/25/30	²	$	135,314	$	133,876
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ30, Class A1
0.53%		01/25/25			105,682		102,451
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ31, Class A1
0.57%		05/25/26			55,805		53,608
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ32, Class A1
0.52%		06/25/25			99,411		93,425
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS07, Class X (IO)
0.75%		09/25/25	⁴		2,900,269		66,719
Ginnie Mae,
Series 2014-157, Class C
3.15%		10/16/54	⁴		106,584		104,332

							667,467


U.S. Agency Mortgage-Backed — 11.09%
Fannie Mae Pool 802665
(LIBOR USD 6-Month plus 1.74%)
2.86%		12/01/34	²		588		581
Fannie Mae Pool AL0851
6.00%		10/01/40			1,813		1,892
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	²		2,310		39
Fannie Mae REMICS,
Series 2002-21, Class FB
(LIBOR USD 1-Month plus 0.90%)
3.98%		04/25/32	²		22,290		22,452
Fannie Mae REMICS,
Series 2002-53, Class FY
(LIBOR USD 1-Month plus 0.50%)
3.58%		08/25/32	²		74,530		74,695
Fannie Mae REMICS,
Series 2003-11, Class FA
(LIBOR USD 1-Month plus 1.00%)
4.08%		09/25/32	²		3,587		3,558
Fannie Mae REMICS,
Series 2003-81, Class FE
(LIBOR USD 1-Month plus 0.50%)
3.58%		09/25/33	²		25,925		25,949
Fannie Mae REMICS,
Series 2006-48, Class FL
(LIBOR USD 1-Month plus 0.40%)
3.48%		06/25/36	²		33,884		33,610



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2006-8, Class NF
(LIBOR USD 1-Month plus 0.37%)
3.45%		03/25/36	²	$	29,383	$	29,076
Fannie Mae REMICS,
Series 2008-12, Class FA
(LIBOR USD 1-Month plus 0.67%)
3.75%		03/25/38	²		91,554		91,779
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
3.48%		10/25/40	²		3,084		3,068
Fannie Mae REMICS,
Series 2010-74, Class AF
(LIBOR USD 1-Month plus 0.54%)
3.62%		07/25/37	²		30,618		30,519
Freddie Mac REMICS,
Series 2684, Class F
(LIBOR USD 1-Month plus 0.90%)
3.72%		01/15/33	²		3,302		3,355
Freddie Mac REMICS,
Series 3231, Class FB
(LIBOR USD 1-Month plus 0.35%)
3.17%		10/15/36	²		57,412		56,738
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
3.32%		06/15/42	²		8,258		8,242
UMBS (TBA)
2.50%		10/01/52			225,000		188,823
2.50%		11/01/52			450,000		377,575
3.00%		10/01/52			700,000		608,290
3.50%		10/01/52			50,000		44,947
4.00%		10/01/52			225,000		208,574
4.50%		10/01/52			650,000		618,633
5.00%		10/01/52			725,000		706,426

							3,138,821


Total Mortgage-Backed
(Cost $10,402,953)							9,447,611


MUNICIPAL BONDS — 2.33%*

California — 0.71%
State of California General Obligation, Series B
2.50%		10/01/22			200,000		200,000


Colorado — 0.46%
City & County of Denver Airport System Revenue Bonds, Series C
0.88%		11/15/23			135,000		129,656


Florida — 0.32%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
2.32%		10/01/22			90,000		90,000

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

Maryland — 0.35%

City of Baltimore General Obligation, School Improvements, Series C

5.00%

10/15/25

100,000

100,442

New York — 0.49%

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series A2

2.15%

05/01/25

150,000

140,683

Total Municipal Bonds

(Cost $687,702)

660,781

Total Bonds — 87.55%

(Cost $26,449,164)

24,773,471

Issues

Shares

Value

COMMON STOCK — 0.08%

Communications — 0.08%

Intelsat Emergence SA^3,5,6,8

(Luxembourg)

772

21,230

Total Common Stock

(Cost $25,862)

RIGHTS — 0.00%

Communications — 0.00%

Intelsat Jackson Holdings SA, Series A^†,3,5,6,8

(Luxembourg)

—

Intelsat Jackson Holdings SA, Series B^†,3,5,6,8

(Luxembourg)

—

Total Rights

(Cost $–)

—

Issues

Shares

Value

MUTUAL FUNDS — 0.05%

Mutual Funds — 0.05%

SPDR S&P 500 ETF Trust¹⁰

13,573

Total Mutual Funds

(Cost $14,635)

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 10.21%

Money Market Funds — 0.22%

Dreyfus Government Cash Management Fund

2.75%¹¹

12,000

Fidelity Investments Money Market Funds - Government Portfolio

2.74%¹¹

20,011



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
2.80%¹¹				30,000	$	30,000

						62,011


U.S. Agency Discount Notes — 3.68%
Federal Home Loan Bank
1.04%¹²		06/14/24	$	500,000		472,124
1.20%¹²		12/23/24		495,000		461,361
1.61%¹²		09/04/24		115,000		108,816

						1,042,301


U.S. Treasury Bills — 6.31%
U.S. Treasury Bills
2.83%¹²		01/05/23		1,800,000		1,784,793


Total Short-Term Investments
(Cost $2,958,851)						2,889,105


Total Investments - 97.89%
(Cost $29,448,512)						27,697,379


Cash and Other Assets, Less Liabilities - 2.11%						597,816


Net Assets - 100.00%					$	28,295,195

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign denominated security issued by foreign domiciled entity.

⁴	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

⁶	Non-income producing security.

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

⁸	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $55,355, which is 0.20% of total net assets.

⁹	Zero coupon bond. The rate shown is the effective yield as of September 30, 2022.

¹⁰

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.

¹¹	Represents the current yield as of September 30, 2022.

¹²	Represents annualized yield at date of purchase.

^†	Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved by the Board of Trustees. See Notes to Financial Statements.

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

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

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

(BKNT): Bank Note

(CLO): Collateralized Loan Obligation

(ETF): Exchange-Traded Fund

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(SPDR): Standard & Poor’s Depositary Receipts

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar



Issues	Maturity Date			Principal Amount		Value

BONDS – 97.79%

ASSET-BACKED SECURITIES — 0.42%**
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/37	^1,2,3	$	41,046	$	36,143


Total Asset-Backed Securities
(Cost $41,046)

CORPORATES — 88.91%*

Banking — 12.72%
Bank of America Corp.
1.73%		07/22/27	³		138,000		118,448
2.69%		04/22/32	³		95,000		74,092
Bank of America Corp.
(MTN)
2.09%		06/14/29	³		110,000		89,497
3.97%		03/05/29	³		20,000		18,090
4.08%		03/20/51	³		20,000		15,079
4.27%		07/23/29	³		15,000		13,700
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^3,4,5		30,000		24,352
3.09%		05/14/32	^3,4,5		30,000		21,111
6.54%		08/12/33	^3,4,5		30,000		27,019
Discover Bank
(BKNT)
3.45%		07/27/26			25,000		22,789
DNB Bank ASA
(Norway)
1.13%		09/16/26	^3,4,5		50,000		43,715
HSBC Holdings PLC
(United Kingdom)
2.21%		08/17/29	^3,5		120,000		93,385
JPMorgan Chase & Co.
1.58%		04/22/27	³		70,000		60,609
2.07%		06/01/29	³		15,000		12,175
2.58%		04/22/32	³		30,000		23,262
3.11%		04/22/51	³		70,000		44,382
4.01%		04/23/29	³		20,000		18,065
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	^3,5		10,000		8,515
3.87%		07/09/25	^3,5		45,000		43,413
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	^3,4,5		10,000		8,569
1.63%		09/23/27	^3,4,5		30,000		25,222
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,5		50,000		48,619
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	^3,5		55,000		50,836
Wells Fargo & Co.
(MTN)
2.39%		06/02/28	³		195,000		167,469
3.35%		03/02/33	³		15,000		12,198
4.90%		07/25/33	³		10,000		9,199



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
5.01%		04/04/51	³	$	15,000	$	12,988

							1,106,798


Communications — 10.45%
AT&T, Inc.
3.80%		12/01/57			158,000		105,777
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%		02/01/32			50,000		35,722
3.75%		02/15/28			10,000		8,853
3.90%		06/01/52			5,000		3,140
5.38%		05/01/47			52,000		40,147
5.75%		04/01/48			20,000		16,178
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%		04/01/53			5,000		3,842
Comcast Corp.
1.50%		02/15/31			20,000		15,012
2.94%		11/01/56			23,000		13,772
3.97%		11/01/47			25,000		19,485
4.00%		11/01/49			15,000		11,494
Cox Communications, Inc.
2.60%		06/15/31	⁴		40,000		31,113
Discovery Communications LLC
3.63%		05/15/30			45,000		37,208
Fox Corp.
3.50%		04/08/30			25,000		21,474
Level 3 Financing, Inc.
3.40%		03/01/27	⁴		10,000		8,378
3.88%		11/15/29	⁴		24,000		18,957
Paramount Global
4.20%		05/19/32			20,000		16,237
4.60%		01/15/45			14,000		9,474
Qwest Corp.
7.25%		09/15/25			20,000		20,500
SES GLOBAL Americas Holdings, Inc.
5.30%		03/25/44	⁴		35,000		26,906
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%		03/20/25	⁴		62,500		61,638
5.15%		03/20/28	⁴		15,000		14,691
Tencent Holdings Ltd.
(Cayman Islands)
3.98%		04/11/29	^4,5		40,000		36,003
Time Warner Cable LLC
5.50%		09/01/41			33,000		25,978
T-Mobile USA, Inc.
2.55%		02/15/31			103,000		81,697
3.88%		04/15/30			20,000		17,753
4.50%		04/15/50			22,000		17,676
Verizon Communications, Inc.
2.36%		03/15/32			110,000		84,710
2.55%		03/21/31			17,000		13,579
4.50%		08/10/33			45,000		40,625



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Vodafone Group PLC
(United Kingdom)
4.25%		09/17/50	⁵	$	41,000	$	29,511
Walt Disney Co. (The)
3.60%		01/13/51			18,000		13,399
6.20%		12/15/34			8,000		8,422

							909,351


Consumer Discretionary — 4.25%
Altria Group, Inc.
3.70%		02/04/51			5,000		3,006
3.88%		09/16/46			11,000		6,989
5.95%		02/14/49			15,000		12,457
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%		02/01/36			30,000		27,074
4.90%		02/01/46			28,000		24,400
Anheuser-Busch InBev Worldwide, Inc.
4.60%		04/15/48			57,000		47,372
Bacardi Ltd.
(Bermuda)
4.70%		05/15/28	^4,5		20,000		18,721
BAT Capital Corp.
4.39%		08/15/37			45,000		32,170
4.54%		08/15/47			50,000		33,239
Church & Dwight Co., Inc.
5.00%		06/15/52			20,000		18,406
Clorox Co. (The)
1.80%		05/15/30			30,000		23,201
Constellation Brands, Inc.
3.75%		05/01/50			35,000		25,519
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/25	^4,5		35,000		33,639
Reynolds American, Inc.
5.85%		08/15/45			5,000		3,950
WarnerMedia Holdings, Inc.
4.28%		03/15/32	⁴		15,000		12,362
5.14%		03/15/52	⁴		65,000		47,315

							369,820


Electric — 7.81%
AEP Transmission Co. LLC,
Series M
3.65%		04/01/50			10,000		7,381
AEP Transmission Co. LLC,
Series N
2.75%		08/15/51			50,000		31,288
Alabama Power Co.
5.50%		03/15/41			9,000		8,455
Alliant Energy Finance LLC
1.40%		03/15/26	⁴		45,000		38,445
Appalachian Power Co.
4.45%		06/01/45			10,000		8,171
Baltimore Gas and Electric Co.
2.90%		06/15/50			43,000		28,199



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
Black Hills Corp.
4.35%		05/01/33		$	35,000	$	30,949
Consolidated Edison Co. of New York, Inc.,
Series 2017
3.88%		06/15/47			10,000		7,603
Duke Energy Carolinas LLC
3.75%		06/01/45			70,000		53,420
3.88%		03/15/46			15,000		11,709
Duke Energy Corp.
5.00%		08/15/52			10,000		8,550
Evergy, Inc.
2.45%		09/15/24			5,000		4,734
FirstEnergy Transmission LLC
5.45%		07/15/44	⁴		30,000		27,120
Florida Power & Light Co.
4.13%		02/01/42			80,000		67,127
Interstate Power and Light Co.
2.30%		06/01/30			20,000		16,087
ITC Holdings Corp.
4.05%		07/01/23			10,000		9,924
4.95%		09/22/27	⁴		15,000		14,641
Metropolitan Edison Co.
4.00%		04/15/25	⁴		39,000		37,095
MidAmerican Energy Co.
4.25%		05/01/46			10,000		8,395
Narragansett Electric Co. (The)
3.40%		04/09/30	⁴		10,000		8,858
Niagara Mohawk Power Corp.
5.78%		09/16/52	⁴		15,000		14,280
PacifiCorp.
4.13%		01/15/49			60,000		47,923
PECO Energy Co.
4.60%		05/15/52			10,000		8,842
Public Service Co. of New Mexico
3.85%		08/01/25			45,000		41,981
Tucson Electric Power Co.
3.85%		03/15/23			60,000		59,801
Virginia Electric & Power Co.,
Series B
3.80%		09/15/47			20,000		15,427
Virginia Electric and Power Co.
2.45%		12/15/50			17,000		9,953
Vistra Operations Co., LLC
3.55%		07/15/24	⁴		6,000		5,753
Xcel Energy, Inc.
4.80%		09/15/41			55,000		47,328

							679,439


Energy — 5.02%
Aker BP ASA
(Netherlands)
3.10%		07/15/31	^4,5		30,000		23,666
Boston Gas Co.
3.76%		03/16/32	⁴		10,000		8,446
Energy Transfer LP
4.95%		06/15/28			15,000		13,998



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
5.00%		05/15/50		$	55,000	$	43,035
5.40%		10/01/47			6,000		4,891
6.13%		12/15/45			12,000		10,539
EQM Midstream Partners LP
6.50%		07/15/48			8,000		6,169
KeySpan Gas East Corp.
5.82%		04/01/41	⁴		15,000		14,151
Kinder Morgan Energy Partners LP
5.80%		03/15/35			15,000		14,027
Kinder Morgan Energy Partners LP
(MTN)
6.95%		01/15/38			5,000		5,039
Kinder Morgan, Inc.
(GMTN)
7.80%		08/01/31			15,000		16,376
NGPL Pipe Co. LLC
3.25%		07/15/31	⁴		20,000		15,759
4.88%		08/15/27	⁴		10,000		9,361
Petroleos Mexicanos
(Mexico)
7.69%		01/23/50	⁵		40,000		24,560
Plains All American Pipeline LP/PAA Finance Corp.
3.55%		12/15/29			31,000		25,884
3.80%		09/15/30			15,000		12,594
4.50%		12/15/26			13,000		12,316
Rockies Express Pipeline LLC
3.60%		05/15/25	⁴		30,000		27,145
6.88%		04/15/40	⁴		17,000		13,909
Ruby Pipeline LLC
8.00%		04/01/22	^1,2,4,6,7		5,758		4,808
Sabine Pass Liquefaction LLC
4.20%		03/15/28			3,000		2,735
5.00%		03/15/27			15,000		14,437
Southern Co. Gas Capital Corp.
4.40%		06/01/43			10,000		8,000
5.88%		03/15/41			30,000		29,108
Southern Natural Gas Co. LLC
4.80%		03/15/47	⁴		15,000		12,385
Texas Eastern Transmission LP
2.80%		10/15/22	⁴		40,000		39,991
TransCanada PipeLines Ltd.
(Canada)
5.00%		10/16/43	⁵		15,000		12,990
Williams Cos., Inc. (The)
3.50%		10/15/51			15,000		10,005

							436,324


Finance — 11.82%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.00%		10/29/28	⁵		15,000		12,100
3.30%		01/30/32	⁵		28,000		21,137
3.88%		01/23/28	⁵		4,000		3,480
Air Lease Corp.
3.63%		12/01/27			19,000		16,363
4.25%		09/15/24			20,000		19,486



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^4,5	$	3,000	$	2,351
2.75%		02/21/28	^4,5		10,000		7,868
2.88%		02/15/25	^4,5		25,000		22,672
Capital One Financial Corp.
3.27%		03/01/30	³		10,000		8,400
Cboe Global Markets, Inc.
3.00%		03/16/32			15,000		12,423
Charles Schwab Corp. (The)
2.90%		03/03/32			20,000		16,537
Citigroup, Inc.
2.57%		06/03/31	³		100,000		78,796
2.98%		11/05/30	³		5,000		4,119
3.06%		01/25/33	³		50,000		39,444
3.52%		10/27/28	³		30,000		26,818
3.67%		07/24/28	³		25,000		22,517
Citigroup, Inc.,
Series VAR
3.07%		02/24/28	³		13,000		11,596
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	⁵		12,000		10,765
Goldman Sachs Group, Inc. (The)
1.54%		09/10/27	³		20,000		16,923
1.95%		10/21/27	³		45,000		38,516
1.99%		01/27/32	³		40,000		29,619
2.38%		07/21/32	³		10,000		7,560
2.60%		02/07/30			100,000		80,717
2.64%		02/24/28	³		15,000		13,039
2.65%		10/21/32	³		25,000		19,191
Intercontinental Exchange, Inc.
1.85%		09/15/32			30,000		21,912
JPMorgan Chase & Co.
2.95%		02/24/28	³		20,000		17,735
2.96%		01/25/33	³		65,000		51,249
LSEGA Financing PLC
(United Kingdom)
2.00%		04/06/28	^4,5		40,000		33,636
Morgan Stanley
0.99%		12/10/26	³		45,000		38,839
2.48%		09/16/36	³		30,000		21,512
5.30%		04/20/37	³		10,000		9,024
Morgan Stanley
(GMTN)
1.51%		07/20/27	³		85,000		72,510
3.77%		01/24/29	³		25,000		22,503
Morgan Stanley
(MTN)
1.93%		04/28/32	³		55,000		40,512
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^3,4,5		35,000		34,616
4.36%		08/01/24	^3,4,5		15,000		14,789



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
ORIX Corp.
(Japan)
4.00%		04/13/32	⁵	$	40,000	$	35,132
5.20%		09/13/32	⁵		5,000		4,780
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%		02/15/24	^4,5		2,000		1,959
Pipeline Funding Co. LLC
7.50%		01/15/30	⁴		25,986		26,888
Raymond James Financial, Inc.
3.75%		04/01/51			20,000		14,279
4.65%		04/01/30			25,000		23,555

							1,027,867


Food — 1.74%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.75%		04/01/33	^4,5		20,000		18,106
6.50%		12/01/52	^4,5		25,000		22,205
Kraft Heinz Foods Co.
3.75%		04/01/30			5,000		4,413
4.38%		06/01/46			10,000		7,799
4.63%		10/01/39			10,000		8,290
5.00%		07/15/35			10,000		9,100
Mondelez International, Inc.
3.00%		03/17/32			35,000		28,782
Pilgrim’s Pride Corp.
3.50%		03/01/32	⁴		35,000		26,439
Smithfield Foods, Inc.
2.63%		09/13/31	⁴		35,000		25,923

							151,057


Health Care — 11.02%
AbbVie, Inc.
4.05%		11/21/39			10,000		8,109
4.40%		11/06/42			45,000		37,377
4.50%		05/14/35			13,000		11,593
4.55%		03/15/35			20,000		17,972
Alcon Finance Corp.
2.60%		05/27/30	⁴		30,000		24,226
Amgen, Inc.
3.15%		02/21/40			45,000		32,493
4.40%		05/01/45			15,000		12,253
4.88%		03/01/53			20,000		17,644
Barnabas Health, Inc.,
Series 2012
4.00%		07/01/28			5,000		4,607
Baxter International, Inc.
3.95%		04/01/30			10,000		8,976
Bayer U.S. Finance II LLC
4.38%		12/15/28	⁴		25,000		22,900
4.88%		06/25/48	⁴		30,000		24,585
Becton Dickinson and Co.
3.79%		05/20/50			30,000		22,521
4.67%		06/06/47			5,000		4,335



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Centene Corp.
3.00%		10/15/30		$	21,000	$	16,676
Children’s Hospital Medical Center
2.82%		11/15/50			20,000		13,199
Cigna Corp.
3.40%		03/15/51			5,000		3,421
3.88%		10/15/47			33,000		24,279
4.38%		10/15/28			15,000		14,179
CommonSpirit Health
2.78%		10/01/30			35,000		28,011
3.91%		10/01/50			10,000		7,137
CVS Health Corp.
5.05%		03/25/48			68,000		59,929
Danaher Corp.
2.80%		12/10/51			30,000		19,178
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			45,000		34,812
Elanco Animal Health, Inc.
6.40%		08/28/28			5,000		4,439
Elevance Health, Inc.
3.70%		09/15/49			10,000		7,326
Hackensack Meridian Health, Inc.,
Series 2020
2.88%		09/01/50			30,000		19,549
HCA, Inc.
3.63%		03/15/32	⁴		10,000		8,121
5.25%		06/15/49			50,000		40,778
5.38%		09/01/26			29,000		28,240
Humana, Inc.
3.95%		03/15/27			15,000		14,085
Illumina, Inc.
2.55%		03/23/31			35,000		26,904
Johnson & Johnson
4.50%		09/01/40			20,000		18,497
Mass General Brigham, Inc.,
Series 2020
3.34%		07/01/60			10,000		6,755
NYU Langone Hospitals,
Series 2020
3.38%		07/01/55			15,000		10,342
OhioHealth Corp.,
Series 2020
3.04%		11/15/50			15,000		10,721
PerkinElmer, Inc.
2.25%		09/15/31			20,000		15,073
2.55%		03/15/31			35,000		27,250
Regeneron Pharmaceuticals, Inc.
1.75%		09/15/30			40,000		30,348
Royalty Pharma PLC
(United Kingdom)
1.75%		09/02/27	⁵		45,000		37,204
Sharp HealthCare,
Series 20B
2.68%		08/01/50			50,000		30,252



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Smith & Nephew PLC
(United Kingdom)
2.03%		10/14/30	⁵	$	30,000	$	22,509
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%		03/15/31	⁵		30,000		23,686
UnitedHealth Group, Inc.
2.90%		05/15/50			45,000		29,488
3.70%		08/15/49			10,000		7,590
4.25%		04/15/47			15,000		12,427
Universal Health Services, Inc.
1.65%		09/01/26	⁴		40,000		33,575
West Virginia United Health System Obligated Group, Series 2020
3.13%		06/01/50			35,000		22,778

							958,349


Industrials — 2.73%
Amcor Flexibles North America, Inc.
2.63%		06/19/30			5,000		3,986
BAE Systems Holdings, Inc.
3.85%		12/15/25	⁴		20,000		19,061
BAE Systems PLC
(United Kingdom)
3.40%		04/15/30	^4,5		30,000		26,015
Berry Global, Inc.
0.95%		02/15/24			15,000		14,096
1.57%		01/15/26			28,000		24,483
Boeing Co. (The)
5.93%		05/01/60			12,000		10,293
CCL Industries, Inc.
(Canada)
3.05%		06/01/30	^4,5		25,000		20,115
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
3.21%		05/05/26	⁸		10,000		9,504
Northrop Grumman Corp.
5.15%		05/01/40			28,000		26,286
Sealed Air Corp.
1.57%		10/15/26	⁴		20,000		16,823
Sonoco Products Co.
3.13%		05/01/30			10,000		8,331
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%		04/28/26	^4,5		5,000		4,623
3.90%		03/22/23	^4,5		50,000		49,737
WRKCo, Inc.
3.00%		06/15/33			5,000		3,874

							237,227


Information Technology — 4.27%
Amazon.com, Inc.
2.50%		06/03/50			47,000		29,349
Analog Devices, Inc.
2.95%		10/01/51			15,000		10,010



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Information Technology (continued)
Apple, Inc.
2.65%		05/11/50		$	50,000	$	33,081
Broadcom, Inc.
2.60%		02/15/33	⁴		30,000		21,521
3.14%		11/15/35	⁴		25,000		17,598
3.42%		04/15/33	⁴		15,000		11,528
CDW LLC/CDW Finance Corp.
3.28%		12/01/28			25,000		20,858
Fiserv, Inc.
2.65%		06/01/30			15,000		12,176
Intel Corp.
3.05%		08/12/51			15,000		9,625
3.25%		11/15/49			5,000		3,326
Micron Technology, Inc.
2.70%		04/15/32			25,000		18,219
NVIDIA Corp.
3.50%		04/01/50			20,000		14,704
Oracle Corp.
3.60%		04/01/50			60,000		37,657
3.95%		03/25/51			47,000		31,242
salesforce, Inc.
2.90%		07/15/51			20,000		13,224
Skyworks Solutions, Inc.
0.90%		06/01/23			25,000		24,331
Take-Two Interactive Software, Inc.
4.00%		04/14/32			40,000		34,837
VMware, Inc.
1.00%		08/15/24			30,000		27,786

							371,072


Insurance — 6.07%
Allstate Corp. (The)
3.85%		08/10/49			20,000		15,541
Aon Corp.
2.80%		05/15/30			25,000		20,747
Aon Corp./Aon Global Holdings PLC
2.05%		08/23/31			10,000		7,507
3.90%		02/28/52			25,000		18,526
Arthur J Gallagher & Co.
3.05%		03/09/52			20,000		12,385
Athene Global Funding
1.61%		06/29/26	⁴		15,000		12,771
1.99%		08/19/28	⁴		10,000		7,915
(SOFR Index plus 0.70%)
3.44%		05/24/24	^4,8		30,000		29,446
Berkshire Hathaway Finance Corp.
2.85%		10/15/50			25,000		16,161
Brown & Brown, Inc.
2.38%		03/15/31			45,000		33,783
Farmers Insurance Exchange
4.75%		11/01/57	^3,4		55,000		45,449
Guardian Life Insurance Co. of America (The)
3.70%		01/22/70	⁴		45,000		29,915
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	⁴		17,000		11,641



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
MMI Capital Trust I,
Series B
7.63%		12/15/27		$	25,000	$	26,803
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^3,4		45,000		45,006
New York Life Insurance Co.
3.75%		05/15/50	⁴		45,000		33,412
Northwestern Mutual Life Insurance Co. (The)
3.45%		03/30/51	⁴		39,000		27,028
Principal Life Global Funding II
0.75%		04/12/24	⁴		25,000		23,334
Progressive Corp. (The)
3.70%		03/15/52			10,000		7,656
Teachers Insurance & Annuity Association of America
3.30%		05/15/50	⁴		5,000		3,423
4.38%		09/15/54	^3,4		65,000		62,326
Travelers Cos., Inc. (The)
4.05%		03/07/48			10,000		8,248
Willis North America, Inc.
2.95%		09/15/29			35,000		28,837

							527,860


Materials — 0.42%
International Flavors & Fragrances, Inc.
1.23%		10/01/25	⁴		5,000		4,393
2.30%		11/01/30	⁴		15,000		11,532
5.00%		09/26/48			25,000		20,925

							36,850


Real Estate Investment Trust (REIT) — 6.57%
Alexandria Real Estate Equities, Inc.
4.50%		07/30/29			11,000		10,230
American Assets Trust LP
3.38%		02/01/31			30,000		23,932
American Homes 4 Rent LP
2.38%		07/15/31			15,000		11,377
Boston Properties LP
2.55%		04/01/32			10,000		7,396
3.40%		06/21/29			5,000		4,243
Crown Castle, Inc.
3.30%		07/01/30			50,000		41,934
CubeSmart LP
2.25%		12/15/28			20,000		16,271
4.38%		02/15/29			5,000		4,607
Equinix, Inc.
3.90%		04/15/32			37,000		31,505
Essex Portfolio LP
2.65%		03/15/32			5,000		3,907
Extra Space Storage LP
3.90%		04/01/29			25,000		22,235
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32			2,000		1,521
4.00%		01/15/30			65,000		54,501
Healthcare Reality Holdings LP
2.00%		03/15/31			20,000		14,721



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
Healthcare Realty Holdings LP
3.63%		01/15/28		$	30,000	$	26,460
Hudson Pacific Properties LP
3.95%		11/01/27			50,000		44,706
Invitation Homes Operating Partnership LP
2.30%		11/15/28			30,000		24,060
Kilroy Realty LP
2.50%		11/15/32			15,000		10,835
2.65%		11/15/33			15,000		10,545
Life Storage LP
2.20%		10/15/30			40,000		30,515
LXP Industrial Trust
2.38%		10/01/31			5,000		3,654
2.70%		09/15/30			45,000		34,686
Physicians Realty LP
2.63%		11/01/31			5,000		3,801
Piedmont Operating Partnership LP
2.75%		04/01/32			45,000		32,243
SL Green Operating Partnership LP
3.25%		10/15/22			45,000		44,967
VICI Properties LP
5.13%		05/15/32			20,000		17,772
VICI Properties LP/VICI Note Co., Inc.
4.63%		06/15/25	⁴		28,000		26,396
Weyerhaeuser Co.
3.38%		03/09/33			15,000		12,174

							571,194


Retail — 0.69%
Alimentation Couche-Tard, Inc.
(Canada)
3.80%		01/25/50	^4,5		45,000		30,475
Lowe’s Cos., Inc.
5.63%		04/15/53			10,000		9,256
McDonald’s Corp.
(MTN)
4.20%		04/01/50			15,000		12,081
Starbucks Corp.
3.00%		02/14/32			10,000		8,300

							60,112


Services — 1.40%
Global Payments, Inc.
4.95%		08/15/27			35,000		33,432
Moody’s Corp.
2.75%		08/19/41			20,000		13,283
3.75%		02/25/52			15,000		11,110
4.25%		08/08/32			10,000		9,118
RELX Capital, Inc.
4.00%		03/18/29			35,000		32,190
Waste Connections, Inc.
(Canada)
2.60%		02/01/30	⁵		5,000		4,180
3.05%		04/01/50	⁵		10,000		6,754
3.20%		06/01/32	⁵		10,000		8,404



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Services (continued)
William Marsh Rice University
2.60%		05/15/50		$	5,000	$	3,286

							121,757


Transportation — 1.58%
Burlington Northern Santa Fe LLC
3.30%		09/15/51			20,000		14,246
Canadian Pacific Railway Co.
(Canada)
2.45%		12/02/31	⁵		10,000		8,031
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			22,010		18,828
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32			13,354		10,979
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32			27,055		23,983
Norfolk Southern Corp.
3.00%		03/15/32			5,000		4,197
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			19,090		19,129
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			12,758		12,417
Union Pacific Corp.
3.84%		03/20/60			25,000		18,650
United Airlines Pass-Through Trust,
Series 2016-2, Class AA
2.88%		10/07/28			7,621		6,575

							137,035


Water — 0.35%
American Water Capital Corp.
3.45%		05/01/50			11,000		7,947
Essential Utilities, Inc.
5.30%		05/01/52			25,000		22,544

							30,491


Total Corporates
(Cost $9,754,949)							7,732,603


MORTGAGE-BACKED — 0.51%**

Non-Agency Commercial Mortgage-Backed — 0.21%
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.29%		03/10/46	³		294,307		578
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.00%		09/10/47	^1,2,3		591,311		7,237
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
1.00%		12/10/47	³		427,773		5,899



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.58%		08/10/43	^3,4	$	1,269,541	$	4,077
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.00%		03/10/44	^3,4		82,518		1
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C6, Class XA (IO)
1.33%		11/15/45	^1,2,3,4		40		—
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.18%		08/10/49	^1,2,3,4		274,716		50

							17,842


U.S. Agency Commercial Mortgage-Backed — 0.21%
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.19%		09/16/51	³		512,880		16,953
Ginnie Mae,
Series 2012-144, Class IO (IO)
0.32%		01/16/53	³		152,394		1,360

							18,313


U.S. Agency Mortgage-Backed — 0.09%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
2.92%		11/25/41	⁸		30,521		2,142
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42			6,926		6,020

							8,162


Total Mortgage-Backed
(Cost $188,850)							44,317


MUNICIPAL BONDS — 3.28%*

California — 1.25%
California State University Revenue Bonds, University & College Improvements, Series B
2.37%		11/01/35			35,000		25,917
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E
2.83%		11/01/41			25,000		17,770
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
3.89%		05/15/38			15,000		12,859
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%		07/01/34			5,000		5,524
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N
3.26%		05/15/60			5,000		3,313



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

California (continued)
San Francisco City & County Airport Commercial-San Francisco International Airport Revenue Bonds, Series C
3.05%		05/01/34	$	35,000	$	27,801
Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements
5.88%		04/01/32		10,000		10,337
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AJ
4.60%		05/15/31		5,000		4,814

						108,335


Florida — 0.15%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31		15,000		13,158


Massachusetts — 0.18%
Massachusetts School Building Authority Revenue Bonds, Series A
2.50%		02/15/37		10,000		7,284
Massachusetts School Building Authority Revenue Bonds, Series B
2.97%		10/15/32		10,000		8,396

						15,680


Michigan — 0.49%
University of Michigan Revenue Bonds, Series C
3.50%		04/01/34		35,000		31,118
University of Michigan Revenue Bonds, Taxable, Revenue Bonds, University & College Improvements, Series A
3.50%		04/01/52		15,000		11,534

						42,652


New York — 1.07%
City of New York General Obligation Bonds, Series D
1.92%		08/01/31		25,000		19,262
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%		11/15/49		5,000		4,531
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.73%		08/01/29		5,000		4,609
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33		20,000		14,848
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements
3.96%		08/01/32		30,000		27,139
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.54%		03/15/34		10,000		7,763
2.59%		03/15/35		20,000		15,327

						93,479



Issues	Maturity Date			Principal Amount		Value

MUNICIPAL BONDS (continued)

Ohio — 0.14%
Ohio, Taxable Revenue Bonds, Advanced Refunding, Cleveland Clinic
2.89%		01/01/32		$	15,000	$	12,404

Total Municipal Bonds
(Cost $357,523)							285,708


U.S. TREASURY SECURITIES — 4.67%

U.S. Treasury Bonds — 1.03%
U.S. Treasury Bonds
3.00%		08/15/52			79,000		68,212
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.13%		02/15/52	⁹		17,028		10,792
0.63%		07/15/32	⁹		12,236		11,112

							90,116


U.S. Treasury Notes — 3.64%
U.S. Treasury Notes
2.75%		08/15/32			213,000		194,895
3.88%		09/30/27			121,000		121,425

							316,320


Total U.S. Treasury Securities
(Cost $408,772)							406,436


Total Bonds — 97.79%
(Cost $10,751,140)							8,505,207



Issues	Maturity Date			Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 0.29%

Money Market Funds — 0.29%
Fidelity Investments Money Market Funds - Government Portfolio
2.74%¹⁰					20,473		20,473
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
2.80%¹⁰					4,500		4,500


Total Short-Term Investments
(Cost $24,973)							24,973


Total Investments - 98.08%
(Cost $10,776,113)							8,530,180


Cash and Other Assets, Less Liabilities - 1.92%							167,307

Net Assets - 100.00%						$	8,697,487

¹	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

²	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $48,238, which is 0.55% of total net assets.

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.

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 107.54%

ASSET-BACKED SECURITIES — 5.91%**

Aligned Data Centers Issuer LLC,

Series 2021-1A, Class A2

1.94%

08/15/46

150,000

128,887

Flexential Issuer,

Series 2021-1A, Class A2

3.25%

11/27/51

150,000

130,575

GoodLeap Sustainable Home Solutions Trust,

Series 2022-1GS, Class A

2.70%

01/20/49

65,168

55,051

Loanpal Solar Loan Ltd.,

Series 2021-1GS, Class A

2.29%

01/20/48

169,127

138,463

Sunnova Helios VII Issuer LLC,

Series 2021-C, Class A

2.03%

10/20/48

186,618

158,376

Total Asset-Backed Securities

(Cost $715,935)

611,352

MORTGAGE-BACKED — 89.20%**

Non-Agency Commercial Mortgage-Backed — 35.72%

1211 Avenue of the Americas Trust,

Series 2015-1211, Class A1A1

3.90%

08/10/35

150,000

143,187

BX Commercial Mortgage Trust,

Series 2022-AHP, Class AS

(CME Term SOFR 1-Month plus 1.49%)

4.34%

01/17/39

^1,2

155,000

150,577

CALI Mortgage Trust,

Series 2019-101C, Class A

3.96%

03/10/39

125,000

110,624

CAMB Commercial Mortgage Trust,

Series 2021-CX2, Class B

2.86%

11/10/46

^1,3

150,000

115,440

Commercial Mortgage Trust,

Series 2019-521F, Class A

(LIBOR USD 1-Month plus 0.90%)

3.72%

06/15/34

^1,2

150,000

146,525

Commercial Mortgage Trust,

Series 2020-CX, Class A

2.17%

11/10/46

176,000

137,655

Commercial Mortgage Trust,

Series 2022-HC, Class A

2.82%

01/10/39

150,000

130,808

DBUBS Mortgage Trust,

Series 2017-BRBK, Class F

3.65%

10/10/34

^1,3

150,000

133,701

DOLP Trust,

Series 2021-NYC, Class A

2.96%

05/10/41

150,000

120,810

DROP Mortgage Trust,

Series 2021-FILE, Class A

(LIBOR USD 1-Month plus 1.15%)

3.97%

10/15/43

^1,2

150,000

145,092



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Frost CMBS DAC,
Series 2021-1A, Class GBB
(Ireland)
(SONIA plus 1.65%)
3.64%		11/20/33	^1,2,4	$	250,000	$	264,867
Grace Trust,
Series 2020-GRCE, Class B
2.60%		12/10/40	¹		150,000		117,011
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	¹		150,000		130,079
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
3.04%		12/10/41	^1,3		150,000		126,195
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%		06/05/39	¹		150,000		129,708
KNDL Mortgage Trust,
Series 2019-KNSQ, Class A
(LIBOR USD 1-Month plus 0.80%)
3.62%		05/15/36	^1,2		130,000		128,877
KREST Commercial Mortgage Securities Trust,
Series 2021-CHIP, Class C
3.02%		11/05/44	^1,3		125,000		91,662
KREST Commercial Mortgage Securities Trust,
Series 2021-CHIP, Class F
3.02%		11/05/44	^1,3		200,000		116,908
Manhattan West Mortgage Trust,
Series 2020-1MW, Class A
2.13%		09/10/39	¹		160,000		136,207
MFT Mortgage Trust,
Series 2020-B6, Class B
3.39%		08/10/40	^1,3		150,000		114,161
Morgan Stanley Capital I Trust,
Series 2020-CNP, Class A
2.51%		04/05/42	^1,3		150,000		119,090
Natixis Commercial Mortgage Securities Trust,
Series 2019-10K, Class A
3.62%		05/15/39	¹		150,000		130,782
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/15/54	¹		150,000		123,521
One New York Plaza Trust,
Series 2020-1NYP, Class AJ
(LIBOR USD 1-Month plus 1.25%)
4.07%		01/15/36	^1,2		150,000		144,877
SFO Commercial Mortgage Trust,
Series 2021-555, Class C
(LIBOR USD 1-Month plus 1.80%)
4.62%		05/15/38	^1,2		130,000		121,382
Shops at Crystals Trust,
Series 2016-CSTL, Class A
3.13%		07/05/36	¹		150,000		131,305
SLG Office Trust,
Series 2021-OVA, Class A
2.59%		07/15/41	¹		100,000		80,497



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
STWD Mortgage Trust,
Series 2021-LIH, Class A
(LIBOR USD 1-Month plus 0.86%)
3.68%		11/15/36	^1,2	$	160,000	$	153,717

							3,695,265


Non-Agency Mortgage-Backed — 0.84%
Cascade MH Asset Trust,
Series 2022-MH1, Class A (STEP-reset date 11/25/22)
4.25%		08/25/54	¹		99,186		86,774


U.S. Agency Commercial Mortgage-Backed — 1.11%
Freddie Mac Multifamily ML Certificates,
Series 2021-ML12, Class XUS (IO)
1.30%		07/25/41	³		1,092,323		114,498


U.S. Agency Mortgage-Backed — 51.53%
Fannie Mae Pool AL9266
3.00%		10/01/46			139,231		123,294
Fannie Mae Pool BO2256
3.00%		10/01/49			316,493		278,375
Fannie Mae Pool BV9977
3.50%		06/01/52			98,359		88,780
Fannie Mae Pool BW0000
4.00%		07/01/52			99,066		92,114
Fannie Mae Pool CA5496
3.00%		04/01/50			396,560		350,162
Fannie Mae Pool CB4211
4.50%		07/01/52			124,071		118,176
Fannie Mae Pool FM2870
3.00%		03/01/50			245,521		216,641
Fannie Mae Pool FM3687
2.50%		06/01/50			354,784		301,828
Fannie Mae Pool FS1598
2.00%		04/01/52			122,171		99,356
Fannie Mae Pool MA4398
2.00%		08/01/51			173,564		141,389
Fannie Mae Pool MA4414
2.50%		09/01/51			201,453		169,745
Fannie Mae REMICS,
Series 2019-25, Class PA
3.00%		05/25/48			237,543		218,006
Freddie Mac Gold Pool G67707
3.50%		01/01/48			215,830		199,142
Freddie Mac Gold Pool G67708
3.50%		03/01/48			42,237		38,676
Freddie Mac Pool QA7550
3.00%		03/01/50			71,095		62,488
Freddie Mac Pool QA8518
3.00%		04/01/50			85,872		75,476
Freddie Mac Pool RA3282
3.00%		08/01/50			390,550		344,367
Freddie Mac Pool RA5552
3.00%		07/01/51			246,944		215,659
Freddie Mac Pool RA5855
2.50%		09/01/51			207,976		175,236



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool RA6528
2.50%		02/01/52		$	23,463	$	19,751
Freddie Mac Pool RA7091
2.50%		03/01/52			145,346		122,312
Freddie Mac Pool RA7543
4.00%		06/01/52			122,613		113,828
Freddie Mac Pool SD7511
3.50%		01/01/50			38,100		34,746
Freddie Mac Pool SD8222
4.00%		06/01/52			97,709		90,642
Freddie Mac REMICS,
Series 3067, Class FA
(LIBOR USD 1-Month plus 0.35%)
3.17%		11/15/35	²		65,895		65,524
Freddie Mac REMICS,
Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
3.12%		04/15/35	²		18,038		18,004
Freddie Mac REMICS,
Series 3210, Class F
(LIBOR USD 1-Month plus 0.40%)
3.22%		05/15/36	²		4,883		4,885
Freddie Mac REMICS,
Series 4139, Class DA
1.25%		12/15/27			28,408		26,363
Ginnie Mae (TBA)
2.50%		10/20/52			150,000		128,610
UMBS (TBA)
2.00%		10/01/52			150,000		121,288
2.00%		11/01/52			450,000		363,820
2.50%		10/01/52			150,000		125,882
2.50%		11/01/52			225,000		188,788
3.00%		10/01/52			25,000		21,725
4.00%		10/01/52			75,000		69,525
4.50%		10/01/52			275,000		261,729
5.00%		10/01/52			250,000		243,595

							5,329,927


Total Mortgage-Backed
(Cost $10,534,106)							9,226,464


U.S. TREASURY SECURITIES — 12.43%

U.S. Treasury Bonds — 3.79%
U.S. Treasury Bonds
2.00%		11/15/41			5,000		3,584
2.38%		02/15/42			65,000		49,837
3.00%		08/15/52			392,000		338,467

							391,888


U.S. Treasury Notes — 8.64%
U.S. Treasury Notes
2.75%		08/15/32			681,000		623,115
3.50%		09/15/25			51,000		49,964
3.88%		09/30/27			74,000		74,260

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)

4.13%

09/30/24

147,000

147,078

894,417

Total U.S. Treasury Securities

(Cost $1,365,742)

1,286,305

Total Bonds — 107.54%

(Cost $12,615,783)

11,124,121

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 9.57%

Money Market Funds — 8.65%

Fidelity Investments Money Market Funds - Government Portfolio

2.74%⁵

894,956

U.S. Agency Discount Notes — 0.92%

Federal Home Loan Bank

1.04%⁶

06/14/24

100,000

94,424

Total Short-Term Investments

(Cost $994,955)

989,380

Total Investments - 117.11%

(Cost $13,610,738)

12,113,501

Liabilities in Excess of Other Assets - (17.11)%

(1,769,616

)

Net Assets - 100.00%

10,343,885

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

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	Foreign denominated security issued by foreign domiciled entity.

⁵	Represents the current yield as of September 30, 2022.

⁶	Represents annualized yield at date of purchase.

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

(GBP): British Pound

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 110.44%

ASSET-BACKED SECURITIES — 12.87%**

AGL CLO 13 Ltd.,

Series 2021-13A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.36%

10/20/34

^1,2,3

600,000

560,580

Aimco CLO 11 Ltd.,

Series 2020-11A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.87%

10/17/34

^1,2,3

185,000

176,811

Aimco CLO 14 Ltd.,

Series 2021-14A, Class SUB

(Cayman Islands)

0.00%

04/20/34

^1,3,4

700,000

566,514

AMMC CLO 19 Ltd.,

Series 2016-19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

3.65%

10/16/28

^1,2,3

4,737

4,706

AMSR Trust,

Series 2020-SFR1, Class I

8.19%

04/17/37

450,000

436,421

AMSR Trust,

Series 2020-SFR3, Class H

6.50%

09/17/37

635,000

596,243

AMSR Trust,

Series 2021-SFR3, Class G

3.80%

10/17/38

600,000

499,651

BlueMountain CLO Ltd.,

Series 2018-3A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.77%)

4.55%

10/25/30

^1,2,3

250,000

238,565

BMO SBA COOF Trust,

Series 2019-1, Class A (IO)

1.72%

10/25/45

^1,4

3,395,595

186,512

Carvana Auto Receivables Trust,

Series 2020-P1, Class R

0.00%

09/08/27

1,300

229,499

Carvana Auto Receivables Trust,

Series 2021-N3, Class R

0.00%

06/12/28

1,500

472,267

Carvana Auto Receivables Trust,

Series 2022-P2, Class R

1.00%

05/10/29

3,050

532,210

CIFC Funding Ltd.,

Series 2017-4A, Class A2R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

4.33%

10/24/30

^1,2,3

575,000

551,425

CIFC Funding Ltd.,

Series 2018-1A, Class SUB

(Cayman Islands)

0.00%

04/18/31

^1,3,4

575,000

300,973

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

CIFC Funding Ltd.,

Series 2022-2A, Class INCB

(Cayman Islands)

0.00%

04/19/35

^1,3,4

475,000

409,830

CoreVest American Finance Trust,

Series 2019-3, Class XA (IO)

2.21%

10/15/52

^1,4

568,193

25,718

CoreVest American Finance Trust,

Series 2021-1, Class XB (IO)

1.71%

04/15/53

^1,4

4,459,000

378,693

Dryden 72 CLO Ltd.,

Series 2019-72A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.56%

05/15/32

^1,2,3

925,000

877,335

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.41%

04/15/29

^1,2,3

58,284

57,390

Dryden XXVIII Senior Loan Fund,

Series 2013-28A, Class A1LR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

4.11%

08/15/30

^1,2,3

10,000

9,873

Elmwood CLO VI Ltd.,

Series 2020-3A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.36%

10/20/34

^1,2,3

440,000

411,052

FirstKey Homes Trust,

Series 2020-SFR1, Class F2

4.28%

08/17/37

1,288,000

1,153,275

FirstKey Homes Trust,

Series 2021-SFR3, Class E1

2.99%

12/17/38

944,000

805,953

Flatiron CLO 21 Ltd.,

Series 2021-1A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.11%)

3.85%

07/19/34

^1,2,3

1,290,360

1,234,547

FRTKL,

Series 2021-SFR1, Class F

3.17%

09/17/38

1,000,000

821,121

Gilbert Park CLO Ltd.,

Series 2017-1A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

3.70%

10/15/30

^1,2,3

335,000

329,804

GoldenTree Loan Management U.S. CLO 8 Ltd.,

Series 2020-8A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.86%

10/20/34

^1,2,3

250,000

240,750

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Greenwood Park CLO Ltd.,

Series 2018-1A, Class SUB

(Cayman Islands)

0.00%

04/15/31

^1,3,4

675,000

334,051

HOA Funding, LLC,

Series 2021-1A, Class A2

4.72%

08/20/51

881,100

679,224

Invesco CLO Ltd.,

Series 2021-1A, Class SUB

(Cayman Islands)

0.00%

04/15/34

^1,3,4

650,000

465,745

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

42,001

38,100

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

43,316

38,579

JPMorgan Chase Bank Auto Credit Linked Notes,

Series 2021-1, Class R

28.35%

09/25/28

528,193

591,580

Madison Park Funding XLVIII Ltd.,

Series 2021-48A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.89%

04/19/33

^1,2,3

1,000,000

974,685

Navient Student Loan Trust,

Series 2018-4A, Class B

(LIBOR USD 1-Month plus 1.30%)

4.38%

06/27/67

^1,2

850,000

787,872

Nelnet Student Loan Trust,

Series 2015-3A, Class A3

(LIBOR USD 1-Month plus 0.90%)

3.98%

06/25/54

^1,2

630,000

612,114

Neuberger Berman CLO XVI-S Ltd.,

Series 2017-16SA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.04%)

3.55%

04/15/34

^1,2,3

1,200,000

1,148,040

Neuberger Berman Loan Advisers CLO 40 Ltd.,

Series 2021-40A, Class SUB

(Cayman Islands)

0.00%

04/16/33

^1,3,4

275,000

211,627

OCP CLO Ltd.,

Series 2017-14A, Class A1A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

4.13%

11/20/30

^1,2,3

325,000

319,629

Octagon Investment Partners 44 Ltd.,

Series 2019-1A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.21%

10/15/34

^1,2,3

700,000

647,920

Palmer Square CLO Ltd.,

Series 2014-1A, Class A1R2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.87%

01/17/31

^1,2,3

725,000

713,400

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Palmer Square CLO Ltd.,

Series 2021-1A, Class SUB

(Cayman Islands)

0.00%

04/20/34

^1,3,4

625,000

422,438

PHEAA Student Loan Trust,

Series 2014-3A, Class A

(LIBOR USD 1-Month plus 0.59%)

3.67%

08/25/40

^1,2

31,513

30,882

Progress Residential Trust,

Series 2021-SFR2, Class H

5.00%

04/19/38

819,000

705,175

Progress Residential Trust,

Series 2021-SFR8, Class G

4.01%

10/17/38

838,000

696,945

Progress Residential Trust,

Series 2021-SFR9, Class E1

2.81%

11/17/40

1,531,000

1,222,502

Progress Residential,

Series 2021-SFR1, Class H

5.00%

04/17/38

1,050,000

912,239

Progress Residential,

Series 2021-SFR3, Class G

4.25%

05/17/26

1,211,000

1,050,557

Regata XII Funding Ltd.,

Series 2019-1A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.11%

10/15/32

^1,2,3

750,000

693,842

Rockford Tower CLO Ltd.,

Series 2017-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.02%)

3.53%

10/15/29

^1,2,3

53,914

52,796

Rockford Tower CLO Ltd.,

Series 2017-3A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

3.90%

10/20/30

^1,2,3

810,000

794,386

Santander Consumer Auto Receivables Trust,

Series 2021-CA, Class R

0.00%

06/15/28

5,150

656,491

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

05/10/37

^4,5,6

501,670

441,744

SLM Student Loan Trust,

Series 2004-1, Class B

(LIBOR USD 3-Month plus 0.50%)

3.28%

07/25/39

165,294

151,872

SLM Student Loan Trust,

Series 2008-5, Class A4

(LIBOR USD 3-Month plus 1.70%)

4.48%

07/25/23

82,294

81,752

SLM Student Loan Trust,

Series 2008-7, Class A4

(LIBOR USD 3-Month plus 0.90%)

3.68%

07/25/23

15,279

14,804

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust,

Series 2008-7, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

10,000

8,835

Stratus CLO Ltd.,

Series 2021-3A, Class SUB

(Cayman Islands)

0.00%

12/29/29

^1,3,4

975,000

740,070

Textainer Marine Containers VII Ltd.,

Series 2021-1A, Class B

(Bermuda)

2.52%

02/20/46

^1,3

670,119

562,207

Tricon American Homes Trust,

Series 2017-SFR2, Class E

4.22%

01/17/36

800,000

775,006

Voya CLO Ltd.,

Series 2018-4A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.16%

01/15/32

^1,2,3

250,000

237,320

Total Asset-Backed Securities

(Cost $32,357,032)

29,922,147

BANK LOANS — 4.84%*

Communications — 0.18%

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.37%

03/15/27

122,790

112,018

CSC Holdings LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

5.32%

04/15/27

49,118

46,079

Frontier Communications Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.44%

05/01/28

123,125

115,045

National CineMedia LLC,

Term Loan B, 1st Lien

(LIBOR plus 8.00%)

11.13%

12/20/24

^2,5

246,250

150,213

423,355

Consumer Discretionary — 0.30%

ADMI Corp.,

Term Loan B2, 1st Lien

(LIBOR plus 3.38%)

6.49%

12/23/27

147,750

130,759

Naked Juice, LLC,

Term Loan, 1st Lien (Luxembourg)

(SOFR plus 3.35%)

6.15%

01/24/29

249,375

229,702

Sunshine Luxembourg VII SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

10/01/26

246,250

229,766

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Discretionary (continued)

Waystar technologies, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

10/22/26

97,990

94,193

684,420

Electric — 0.56%

Astoria Energy LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

12/10/27

264,193

256,664

Calpine Corp.,

Term Loan B9, 1st Lien

(LIBOR plus 2.00%)

5.12%

04/05/26

245,558

236,759

Endure Digital, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.18%

02/10/28

395,000

335,750

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.74% - 4.87%

12/31/25

490,307

474,678

1,303,851

Entertainment — 0.47%

Cineworld Finance U.S., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.00%

02/28/25

122,619

52,863

Crown Finance U.S., Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 7.00%)

7.00%

05/23/24

816,308

972,937

Term Loan, 1st Lien

(SOFR plus 9.00%)

13.27%

09/07/23

^2,7

55,563

56,759

1,082,559

Finance — 0.22%

DCG Acquisition Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

7.62%

09/30/26

270,189

252,852

Deerfield Dakota Holding LLC,

Term Loan B, 1st Lien

(SOFR plus 3.75%)

6.78%

04/09/27

10,894

10,304

Schweitzer-Mauduit International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.31%

05/06/29

271,563

254,250

517,406

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Gaming — 0.01%

Golden Nugget, LLC,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

01/26/29

10,895

10,138

Scientific Games International, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.00%)

5.91%

04/13/29

10,923

10,639

20,777

Health Care — 0.72%

Avantor Funding, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

5.06%

11/08/27

39,236

38,298

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.76%

01/15/25

275,000

269,127

Buckeye Partners LP,

Term Loan B1, 1st Lien

(LIBOR plus 2.25%)

5.37%

11/01/26

245,625

239,945

Certara Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

08/15/26

271,563

262,737

Genesee & Wyoming, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.00%)

5.67%

12/30/26

270,151

263,397

Horizon Therapeutics USA, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

4.88%

03/15/28

270,875

260,802

Pathway Vet Alliance LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

03/31/27

98,003

86,855

Peraton Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

02/01/28

265,956

252,758

PetVet Care Centers LLC,

Term Loan B3, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/14/25

10,894

10,118

1,684,037

Industrials — 0.46%

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

4.18%

07/01/26

357,442

346,909

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

8.12%

08/02/27

318,500

297,500

Ingram Micro, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

06/30/28

10,895

10,636

Michaels Cos., Inc. (The),

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.92%

04/15/28

167,875

135,979

Proampac PG Borrower LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.04% - 6.73%

03/11/25

197,010

185,534

TransDigm, Inc.,

Term Loan F, 1st Lien

(LIBOR plus 2.25%)

5.92%

12/09/25

4,552

4,372

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

08/12/24

98,930

87,182

1,068,112

Information Technology — 1.18%

AppLovin Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.93%

08/15/25

270,089

262,212

AthenaHealth Group, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.50%)

6.58%

02/15/29

^2,8

852,935

766,362

Central Parent, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.50%)

6.61%

07/06/29

10,950

10,574

CT Technologies Intermediate Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.37%

12/16/25

73,875

68,288

EagleView Technology Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

08/14/25

270,089

250,803

Gainwell Acquisition Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.96%

10/01/27

246,241

235,283

Nouryon USA LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

10/01/25

309,150

290,601

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Precision Medicine Group LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.96%

11/18/27

^2,9

376,447

349,155

Prime Security Services Borrower LLC,

Term Loan B1, 1st Lien

(LIBOR plus 2.75%)

5.30%

09/23/26

15,223

14,779

RealPage, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.82%

04/24/28

272,250

255,764

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.14%

03/04/28

270,188

238,103

2,741,924

Insurance — 0.10%

Acrisure LLC,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/15/27

248,092

227,520

Real Estate Investment Trust (REIT) — 0.18%

Aveanna Healthcare LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.80%

07/17/28

^2,10

248,994

201,218

Rent-A-Center, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.06%

02/17/28

246,250

225,319

426,537

Retail — 0.26%

AmWINS Group, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.07%

02/19/28

171,939

164,895

U.S. Anesthesia Partners, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

6.81%

10/02/28

470,250

443,044

607,939

Services — 0.09%

Pre-Paid Legal Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.82%

12/15/28

10,895

10,374

Trans Union LLC,

Term Loan B6, 1st Lien

(LIBOR plus 2.25%)

5.37%

12/01/28

198,135

192,316



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Services (continued)
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
7.12%		11/02/27	²	$	10,895	$	10,332

							213,022


Transportation — 0.11%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
10.37%		09/01/27	²		275,000		254,375


Total Bank Loans
(Cost $11,895,815)							11,255,834


CORPORATES — 33.30%*

Banking — 5.51%
ABN AMRO Bank NV
(Netherlands)
2.47%		12/13/29	^1,3,4		270,000		214,278
Bank of America Corp.
2.30%		07/21/32	⁴		485,000		363,749
2.57%		10/20/32	⁴		130,000		99,579
2.69%		04/22/32	⁴		55,000		42,895
2.97%		02/04/33	⁴		145,000		113,687
3.00%		12/20/23	⁴		170,000		169,118
3.42%		12/20/28	⁴		310,000		275,086
Bank of America Corp.
(MTN)
1.92%		10/24/31	⁴		245,000		181,454
2.02%		02/13/26	⁴		375,000		344,416
2.09%		06/14/29	⁴		310,000		252,218
3.82%		01/20/28	⁴		125,000		114,955
Bank of America Corp.,
Series N
1.66%		03/11/27	⁴		500,000		434,052
Bank of America Corp.,
Series RR
4.38%^4,11					100,000		81,174
Comerica, Inc.
5.63%^4,11					15,000		14,748
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		600,000		487,040
3.09%		05/14/32	^1,3,4		1,160,000		816,274
6.54%		08/12/33	^1,3,4		75,000		67,548
Credit Suisse Group AG
(EMTN)
(Switzerland)
0.63%		01/18/33	³		410,000		241,361
Discover Bank
2.45%		09/12/24			230,000		217,712
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,4		220,000		200,912



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	^3,4	$	510,000	$	426,802
2.01%		09/22/28	^3,4		350,000		281,711
2.87%		11/22/32	^3,4		500,000		365,538
4.29%		09/12/26	^3,4		130,000		122,612
4.76%		06/09/28	^3,4		255,000		234,235
5.40%		08/11/33	^3,4		200,000		177,196
JPMorgan Chase & Co.
0.97%		06/23/25	⁴		280,000		259,282
1.58%		04/22/27	⁴		700,000		606,088
2.01%		03/13/26	⁴		25,000		22,895
2.58%		04/22/32	⁴		640,000		496,262
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	^3,4		205,000		174,555
2.91%		11/07/23	^3,4		160,000		159,617
3.57%		11/07/28	^3,4		390,000		342,489
3.87%		07/09/25	^3,4		30,000		28,942
4.98%		08/11/33	^3,4		415,000		363,934
Macquarie Group Ltd.
(Australia)
2.87%		01/14/33	^1,3,4		375,000		282,389
3.19%		11/28/23	^1,3,4		135,000		134,631
5.03%		01/15/30	^1,3,4		170,000		159,410
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,4		500,000		486,187
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	^3,4		325,000		300,393
1.67%		06/14/27	^3,4		325,000		269,806
3.37%		01/05/24	^3,4		35,000		34,785
4.80%		11/15/24	^3,4		245,000		241,703
U.S. Bancorp
3.70%^4,11					105,000		79,227
Wells Fargo & Co.
(MTN)
2.39%		06/02/28	⁴		745,000		639,820
3.35%		03/02/33	⁴		770,000		626,172
3.53%		03/24/28	⁴		525,000		476,801
4.90%		07/25/33	⁴		305,000		280,566

							12,806,304


Communications — 3.62%
AT&T, Inc.
2.55%		12/01/33			897,000		666,011
4.75%		05/15/46			125,000		105,146
Cable One, Inc.
4.00%		11/15/30	¹		60,000		46,800
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.75%		02/01/32	¹		450,000		351,661
Charter Communications Operating LLC/Charter Communications Operating Capital
2.80%		04/01/31			140,000		106,416
4.80%		03/01/50			250,000		182,638



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
5.38%		05/01/47		$	141,000	$	108,859
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%		04/01/53			520,000		399,534
Cogent Communications Group, Inc.
7.00%		06/15/27	¹		225,000		213,410
CommScope, Inc.
4.75%		09/01/29	¹		300,000		246,198
CSC Holdings LLC
3.38%		02/15/31	¹		175,000		123,543
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		751,000		150,425
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%		08/15/27	¹		169,000		146,132
DISH Network Corp.
3.38%		08/15/26			837,000		577,949
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%		10/07/30	³		285,000		231,662
Gray Escrow II, Inc.
5.38%		11/15/31	¹		267,000		209,608
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	^1,3		335,000		285,146
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
5.50%		08/01/23	^{†,3,5,6,12,13}		535,000		—
8.50%		10/15/24	^{†,1,3,5,6,12,13}		270,000		—
9.75%		07/15/25	^{†,1,3,5,6,12,13}		360,000		—
Level 3 Financing, Inc.
3.63%		01/15/29	¹		40,000		29,679
3.75%		07/15/29	¹		250,000		183,701
3.88%		11/15/29	¹		530,000		418,621
Lumen Technologies, Inc.
4.50%		01/15/29	¹		500,000		353,750
5.38%		06/15/29	¹		675,000		503,198
Netflix, Inc.
4.63%		05/15/29			100,000		91,831
Scripps Escrow, Inc.
5.88%		07/15/27	¹		400,000		350,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%		03/20/25	¹		328,125		323,600
5.15%		03/20/28	¹		495,000		484,794
Tencent Holdings Ltd.
(Cayman Islands)
2.88%		04/22/31	^1,3		200,000		161,852
Time Warner Cable LLC
5.50%		09/01/41			80,000		62,977
Vmed O2 UK Financing I PLC
(United Kingdom)
4.25%		01/31/31	^1,3		375,000		285,000



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Vodafone Group PLC
(United Kingdom)
4.25%		09/17/50	³	$	60,000	$	43,188
5.25%		05/30/48	³		300,000		249,280
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/32	^1,3		750,000		573,558
Zayo Group Holdings, Inc.
4.00%		03/01/27	¹		185,000		148,899

							8,415,066


Consumer Discretionary — 1.53%
Anheuser-Busch Cos.LLC/Anheuser-Busch InBev Worldwide, Inc.
4.90%		02/01/46			115,000		100,215
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		165,000		158,359
BAT Capital Corp.
3.56%		08/15/27			165,000		144,973
4.39%		08/15/37			150,000		107,233
5.65%		03/16/52			430,000		330,843
BAT International Finance PLC
(United Kingdom)
1.67%		03/25/26	³		83,000		71,839
BAT International Finance PLC
(EMTN)
(United Kingdom)
2.25%		09/09/52	³		100,000		45,254
Constellation Brands, Inc.
4.35%		05/09/27			305,000		293,157
Everi Holdings, Inc.
5.00%		07/15/29	¹		350,000		289,555
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/25	^1,3		160,000		153,779
6.13%		07/27/27	^1,3		195,000		192,256
Reynolds American, Inc.
5.70%		08/15/35			100,000		84,898
5.85%		08/15/45			95,000		75,046
Spectrum Brands, Inc.
5.50%		07/15/30	¹		850,000		673,625
WarnerMedia Holdings, Inc.
4.28%		03/15/32	¹		190,000		156,579
5.05%		03/15/42	¹		480,000		359,811
5.14%		03/15/52	¹		425,000		309,368

							3,546,790


Electric — 1.22%
Alliant Energy Finance LLC
1.40%		03/15/26	¹		245,000		209,310
Alliant Energy Finance, LLC
3.60%		03/01/32	¹		155,000		132,983
American Electric Power Co., Inc.
2.03%		03/15/24			455,000		435,475



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
Comision Federal de Electricidad
(Mexico)
4.69%		05/15/29	^1,3	$	200,000	$	167,540
Duke Energy Carolinas LLC
4.00%		09/30/42			250,000		202,290
Duke Energy Corp.
4.50%		08/15/32			225,000		203,652
Eversource Energy,
Series O
4.25%		04/01/29			8,000		7,449
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		418,000		355,769
Niagara Mohawk Power Corp.
5.78%		09/16/52	¹		365,000		347,481
Pennsylvania Electric Co.
4.15%		04/15/25	¹		280,000		267,271
Pike Corp.
5.50%		09/01/28	¹		400,000		324,512
Public Service Co. of New Mexico
3.85%		08/01/25			40,000		37,316
Tucson Electric Power Co.
3.85%		03/15/23			140,000		139,536

							2,830,584


Energy — 2.87%
Ecopetrol SA
(Colombia)
6.88%		04/29/30	³		200,000		169,000
Energy Transfer LP
4.75%		01/15/26			10,000		9,642
4.90%		03/15/35			20,000		16,895
4.95%		06/15/28			100,000		93,317
5.00%		05/15/50			560,000		438,179
Energy Transfer LP,
Series B
6.63%^4,11					733,000		537,837
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/34	^1,3		369,864		304,865
Global Partners LP/GLP Finance Corp.
6.88%		01/15/29			430,000		387,817
Hess Corp.
5.60%		02/15/41			20,000		17,547
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%		04/14/33	^1,3		200,000		131,900
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	¹		294,000		262,083
NGPL Pipe Co. LLC
4.88%		08/15/27	¹		40,000		37,445
Petroleos Mexicanos
(Mexico)
5.95%		01/28/31	³		184,000		124,571
6.35%		02/12/48	³		5,000		2,688
6.75%		09/21/47	³		15,000		8,391
6.95%		01/28/60	³		5,000		2,768



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Petronas Capital Ltd.
(Malaysia)
2.48%		01/28/32	^1,3	$	200,000	$	163,065
3.50%		04/21/30	^1,3		200,000		182,710
Qatar Energy
Series REGS
(Qatar)
2.25%		07/12/31	³		200,000		161,556
Rockies Express Pipeline LLC
4.80%		05/15/30	¹		234,000		193,904
4.95%		07/15/29	¹		215,000		184,917
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6,12,13		535,455		447,105
Southern Natural Gas Co. LLC
4.80%		03/15/47	¹		65,000		53,669
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			725,000		623,500
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^1,3		69,750		68,019
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^1,3		30,625		28,081
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^1,3		724,500		682,428
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		09/01/27			600,000		546,270
Venture Global Calcasieu Pass LLC
4.13%		08/15/31	¹		875,000		726,423
Williams Cos., Inc. (The)
4.30%		03/04/24			60,000		59,262

							6,665,854


Entertainment — 0.32%
Cinemark USA, Inc.
5.25%		07/15/28	¹		685,000		532,587
Live Nation Entertainment, Inc.
4.75%		10/15/27	¹		250,000		217,983

							750,570


Finance — 4.29%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
2.45%		10/29/26	³		123,000		104,035
3.30%		01/30/32	³		565,000		426,503
3.88%		01/23/28	³		5,000		4,350
4.45%		10/01/25	³		110,000		104,280
Air Lease Corp.
2.25%		01/15/23			25,000		24,793
Air Lease Corp.
(MTN)
2.88%		01/15/26			380,000		340,526
American Express Co.
2.55%		03/04/27			190,000		169,746



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3	$	583,000	$	456,886
Capital One Financial Corp.
1.34%		12/06/24	⁴		360,000		342,286
Cboe Global Markets, Inc.
3.00%		03/16/32			190,000		157,354
Charles Schwab Corp. (The)
1.95%		12/01/31			305,000		233,078
5.00%^4,11					200,000		180,250
Citigroup, Inc.
2.56%		05/01/32	⁴		240,000		184,545
2.57%		06/03/31	⁴		375,000		295,486
2.98%		11/05/30	⁴		145,000		119,457
3.06%		01/25/33	⁴		540,000		425,996
3.52%		10/27/28	⁴		435,000		388,860
Citigroup, Inc.,
Series VAR
3.07%		02/24/28	⁴		95,000		84,741
Discover Financial Services
3.95%		11/06/24			105,000		102,397
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³		235,000		210,805
Goldman Sachs Group, Inc. (The)
0.93%		10/21/24	⁴		130,000		123,439
1.22%		12/06/23			455,000		436,525
1.95%		10/21/27	⁴		325,000		278,174
2.38%		07/21/32	⁴		170,000		128,528
2.64%		02/24/28	⁴		575,000		499,815
2.65%		10/21/32	⁴		520,000		399,179
3.20%		02/23/23			100,000		99,521
Goldman Sachs Group, Inc. (The),
Series VAR
1.09%		12/09/26	⁴		5,000		4,320
Intercontinental Exchange, Inc.
1.85%		09/15/32			195,000		142,431
4.60%		03/15/33			110,000		102,690
JPMorgan Chase & Co.
1.05%		11/19/26	⁴		270,000		234,060
2.55%		11/08/32	⁴		200,000		152,200
2.74%		10/15/30	⁴		160,000		130,298
2.95%		02/24/28	⁴		120,000		106,411
JPMorgan Chase & Co.,
Series KK
3.65%^4,11					115,000		93,416
Morgan Stanley
0.99%		12/10/26	⁴		145,000		125,147
2.48%		09/16/36	⁴		170,000		121,905
2.95%		05/07/32	⁴		155,000		134,619
Morgan Stanley
(GMTN)
1.51%		07/20/27	⁴		120,000		102,366
2.24%		07/21/32	⁴		160,000		120,389



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Morgan Stanley
(MTN)
1.16%		10/21/25	⁴	$	495,000	$	451,212

1.93%		04/28/32	⁴		775,000		570,845
Nationwide Building Society
(United Kingdom)
2.97%		02/16/28	^1,3,4		200,000		172,329
3.77%		03/08/24	^1,3,4		380,000		375,828
4.36%		08/01/24	^1,3,4		130,000		128,177
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		30,000		29,829
5.50%		02/15/24	^1,3		2,000		1,959
Pipeline Funding Co. LLC
7.50%		01/15/30	¹		151,585		156,849
Raymond James Financial, Inc.
4.65%		04/01/30			145,000		136,619
Vonovia SE
(Georgia)
1.50%		06/14/41	³		100,000		53,624

							9,969,078


Food — 1.25%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%		11/15/28	¹		500,000		425,935
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/26	¹		350,000		222,860
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. (Canada)
3.75%		12/01/31	^1,3		385,000		307,945
5.50%		01/15/30	^1,3		376,000		347,984
Kraft Heinz Foods Co.
3.00%		06/01/26			185,000		170,802
4.88%		10/01/49			70,000		57,979
5.20%		07/15/45			150,000		130,782
Pilgrim’s Pride Corp.
4.25%		04/15/31	¹		180,000		144,678
5.88%		09/30/27	¹		184,000		179,097
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/29	¹		350,000		286,409
Smithfield Foods, Inc.
5.20%		04/01/29	¹		5,000		4,678
TreeHouse Foods, Inc.
4.00%		09/01/28			800,000		638,956

							2,918,105


Gaming — 0.33%
Caesars Entertainment, Inc.
4.63%		10/15/29	¹		395,000		303,402
8.13%		07/01/27	¹		475,000		454,770

							758,172



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care — 3.77%
AbbVie, Inc.
3.85%		06/15/24		$	10,000	$	9,825
4.50%		05/14/35			324,000		288,938
Amgen, Inc.
3.15%		02/21/40			100,000		72,206
Baxter International, Inc.
0.87%		12/01/23			260,000		248,332
Bayer U.S. Finance II LLC
4.25%		12/15/25	¹		255,000		244,257
4.38%		12/15/28	¹		210,000		192,356
4.40%		07/15/44	¹		245,000		184,879
4.88%		06/25/48	¹		80,000		65,561
Becton Dickinson and Co.
3.73%		12/15/24			3,000		2,900
Cano Health LLC
6.25%		10/01/28	¹		290,000		274,533
Catalent Pharma Solutions, Inc.
3.13%		02/15/29	¹		750,000		579,244
3.50%		04/01/30	¹		300,000		236,337
Centene Corp.
2.45%		07/15/28			349,000		284,368
3.00%		10/15/30			323,000		256,485
4.25%		12/15/27			455,000		417,155
CommonSpirit Health
2.78%		10/01/30			35,000		28,011
3.35%		10/01/29			200,000		168,518
4.35%		11/01/42			100,000		78,823
CVS Health Corp.
5.05%		03/25/48			270,000		237,954
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			265,000		205,001
Embecta Corp.
6.75%		02/15/30	¹		525,000		490,921
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3,12,13		49,000		2,817
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^1,3		715,000		554,822
HCA, Inc.
3.50%		09/01/30			143,000		118,389
3.63%		03/15/32	¹		425,000		345,149
4.13%		06/15/29			80,000		70,582
5.25%		06/15/49			185,000		150,879
5.38%		09/01/26			10,000		9,738
5.50%		06/15/47			120,000		102,623
5.63%		09/01/28			275,000		264,275
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	¹		275,000		223,614
Molina Healthcare, Inc.
3.88%		11/15/30	¹		763,000		641,427
4.38%		06/15/28	¹		74,000		66,873
NYU Langone Hospitals,
Series 2020
3.38%		07/01/55			295,000		203,389



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	¹	$	715,000	$	588,087
Prestige Brands, Inc.
3.75%		04/01/31	¹		450,000		350,080
Prime Healthcare Services, Inc.
7.25%		11/01/25	¹		450,000		406,148
Royalty Pharma PLC
(United Kingdom)
1.75%		09/02/27	³		125,000		103,345

							8,768,841


Industrials — 1.78%
Advanced Drainage Systems, Inc.
6.38%		06/15/30	¹		335,000		325,362
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Canada)
5.25%		08/15/27	^1,3		825,000		528,718
Artera Services LLC
9.03%		12/04/25	¹		669,000		539,585
BAE Systems Holdings, Inc.
3.85%		12/15/25	¹		250,000		238,261
Berry Global, Inc.
1.50%		01/15/27	¹		200,000		166,050
1.65%		01/15/27			40,000		33,220
Boeing Co. (The)
1.43%		02/04/24			340,000		323,428
Energizer Holdings, Inc.
4.38%		03/31/29	¹		475,000		358,625
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
3.21%		05/05/26	²		57,000		54,174
(LIBOR USD 3-Month plus 0.48%)
3.39%		08/15/36	²		52,000		42,834
General Electric Co.,
Series A (MTN)
6.75%		03/15/32			17,000		18,387
Heathrow Funding Ltd.
(EMTN)
(United Kingdom)
1.88%		03/14/34	³		230,000		159,523
OT Merger Corp.
7.88%		10/15/29	¹		850,000		563,719
TransDigm, Inc.
5.50%		11/15/27			375,000		326,434
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/26	^1,3		275,000		246,315
8.50%		08/15/27	^1,3		250,000		221,687

							4,146,322


Information Technology — 0.96%
Broadcom, Inc.
3.42%		04/15/33	¹		190,000		146,017
Fiserv, Inc.
2.65%		06/01/30			10,000		8,118



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Information Technology (continued)
Lenovo Group Ltd.
(Hong Kong)
6.54%		07/27/32	^1,3	$	200,000	$	185,321
NCR Corp.
5.00%		10/01/28	¹		550,000		435,875
5.13%		04/15/29	¹		340,000		255,190
Netflix, Inc.
5.88%		02/15/25			310,000		311,818
NortonLifeLock, Inc.
6.75%		09/30/27	¹		360,000		346,990
Oracle Corp.
2.88%		03/25/31			65,000		51,244
3.80%		11/15/37			355,000		258,478
3.95%		03/25/51			320,000		212,707
4.00%		11/15/47			40,000		26,906

							2,238,664


Insurance — 1.30%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/29	¹		175,000		138,275
6.00%		08/01/29	¹		400,000		310,000
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%		10/15/27	¹		452,000		392,788
AmWINS Group, Inc.
4.88%		06/30/29	¹		179,000		150,014
Aon Corp./Aon Global Holdings PLC
3.90%		02/28/52			280,000		207,489
Athene Global Funding
1.99%		08/19/28	¹		370,000		292,853
2.72%		01/07/29	¹		95,000		77,150
3.21%		03/08/27	¹		130,000		115,100
Berkshire Hathaway Finance Corp.
2.50%		01/15/51			115,000		69,554
Brown & Brown, Inc.
4.95%		03/17/52			160,000		130,596
Farmers Exchange Capital II
6.15%		11/01/53	^1,4		150,000		143,535
Farmers Exchange Capital III
5.45%		10/15/54	^1,4		85,000		79,520
Farmers Insurance Exchange
4.75%		11/01/57	^1,4		135,000		111,556
HUB International Ltd.
7.00%		05/01/26	¹		350,000		332,938
Metropolitan Life Global Funding I
2.95%		04/09/30	¹		15,000		12,876
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^1,4		375,000		375,047
Teachers Insurance & Annuity Association of America
4.27%		05/15/47	¹		40,000		32,728
4.38%		09/15/54	^1,4		65,000		62,326

							3,034,345


Materials — 0.61%
ASP Unifrax Holdings, Inc.
5.25%		09/30/28	¹		265,000		204,321



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Materials (continued)
EverArc Escrow SARL
(Luxembourg)
5.00%		10/30/29	^1,3	$	450,000	$	364,185
Freeport Indonesia PT
(Indonesia)
4.76%		04/14/27	^1,3		200,000		181,058
Herens Holdco SARL
(Luxembourg)
4.75%		05/15/28	^1,3		450,000		368,499
Indonesia Asahan Aluminium Persero PT,
Series REGS
(Indonesia)
5.45%		05/15/30	³		200,000		178,381
International Flavors & Fragrances, Inc.
2.30%		11/01/30	¹		170,000		130,701

							1,427,145


Real Estate Investment Trust (REIT) — 1.98%
American Assets Trust LP
3.38%		02/01/31			500,000		398,873
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/32	³		100,000		75,001
Boston Properties LP
2.75%		10/01/26			10,000		8,990
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%		06/23/28	³		100,000		75,579
China Aoyuan Group Ltd.
(Cayman Islands)
6.35%		02/08/24	^3,5,6		200,000		13,500
Digital Dutch Finco BV
(Netherlands)
1.00%		01/15/32	³		150,000		100,881
1.25%		02/01/31	³		120,000		84,937
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30			170,000		142,540
4.00%		01/15/31			3,000		2,456
5.38%		11/01/23			10,000		9,840
5.38%		04/15/26			685,000		656,093
5.75%		06/01/28			10,000		9,386
Healthcare Reality Holdings LP
2.00%		03/15/31			160,000		117,765
3.10%		02/15/30			115,000		94,670
Healthcare Realty Holdings LP
2.40%		03/15/30			325,000		249,400
3.63%		01/15/28			150,000		132,298
Healthpeak Properties, Inc.
3.40%		02/01/25			2,000		1,918
Hudson Pacific Properties LP
3.95%		11/01/27			255,000		228,001
5.95%		02/15/28			20,000		19,188
Invitation Homes Operating Partnership LP
2.00%		08/15/31			50,000		35,945



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
2.30%		11/15/28		$	50,000	$	40,101
4.15%		04/15/32			115,000		97,489
Iron Mountain Information Management Services, Inc.
5.00%		07/15/32	¹		275,000		214,500
Iron Mountain, Inc.
4.50%		02/15/31	¹		200,000		155,356
Kilroy Realty LP
2.50%		11/15/32			50,000		36,118
LXP Industrial Trust
2.70%		09/15/30			160,000		123,328
Prologis Euro Finance LLC
1.00%		02/06/35			100,000		65,643
SELP Finance SARL
(Luxembourg)
0.88%		05/27/29	³		160,000		115,724
SL Green Operating Partnership LP
3.25%		10/15/22			420,000		419,697
Sunac China Holdings Ltd.
(Cayman Islands)
6.50%		01/10/25	^3,5,6		210,000		30,106
VICI Properties LP
5.13%		05/15/32			255,000		226,587
5.63%		05/15/52			79,000		65,492
VICI Properties LP/VICI Note Co., Inc.
3.75%		02/15/27	¹		145,000		127,600
3.88%		02/15/29	¹		135,000		113,536
4.50%		09/01/26	¹		65,000		59,806
4.50%		01/15/28	¹		5,000		4,443
4.63%		06/15/25	¹		15,000		14,140
5.75%		02/01/27	¹		80,000		75,473
Weyerhaeuser Co.
3.38%		03/09/33			195,000		158,257

							4,600,657


Retail — 0.90%
Asbury Automotive Group, Inc.
5.00%		02/15/32	¹		275,000		213,347
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/29	¹		743,000		620,405
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%		01/15/30	¹		550,000		419,375
FirstCash, Inc.
5.63%		01/01/30	¹		475,000		406,686
Michaels Cos., Inc. (The)
7.88%		05/01/29	¹		745,000		431,247

							2,091,060


Services — 1.01%
Adtalem Global Education, Inc.
5.50%		03/01/28	¹		227,000		205,102
Global Payments, Inc.
5.40%		08/15/32			95,000		88,195
5.95%		08/15/52			183,000		161,021
Hertz Corp. (The)
4.63%		12/01/26	¹		200,000		163,000



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Services (continued)
5.00%		12/01/29	¹	$	500,000	$	374,375
Rent-A-Center, Inc.
6.38%		02/15/29	¹		300,000		235,500
WASH Multifamily Acquisition, Inc.
5.75%		04/15/26	¹		340,000		314,087
Waste Pro USA, Inc.
5.50%		02/15/26	¹		925,000		813,681

							2,354,961


Transportation — 0.05%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			22,010		18,828
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32			26,708		21,958
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32			67,638		59,957
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			12,758		12,417

							113,160


Total Corporates
(Cost $90,290,150)							77,435,678


FOREIGN GOVERNMENT OBLIGATIONS — 2.33%

Foreign Government Obligations — 2.33%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%		09/30/29	³		200,000		174,800
Airport Authority
(Hong Kong)
3.25%		01/12/52	^1,3		200,000		145,432
Brazilian Government International Bond
(Brazil)
2.88%		06/06/25	³		200,000		188,020
3.88%		06/12/30	³		200,000		165,900
Chile Government International Bond
(Chile)
2.55%		01/27/32	³		400,000		314,158
Colombia Government International Bond
(Colombia)
3.00%		01/30/30	³		200,000		144,100
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%		09/23/32	³		200,000		150,196
Egypt Government International Bond
(Egypt)
7.60%		03/01/29	^1,3		200,000		140,617
Guatemala Government Bond
Series REGS
(Guam)
4.90%		06/01/30	³		200,000		175,166



Issues	Maturity Date			Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)
Guatemala Government Bond,
Series REGS
(Guam)
3.70%		10/07/33	³	$	242,000	$	176,422
Hungary Government International Bond
(Hungary)
2.13%		09/22/31	^1,3		200,000		138,101
Mexico Government International Bond
(Mexico)
2.66%		05/24/31	³		472,000		363,582
3.75%		01/11/28	³		200,000		184,200
Oman Government International Bond,
Series REGS
(Oman)
5.63%		01/17/28	³		250,000		233,400
Panama Government International Bond
(Panama)
2.25%		09/29/32	³		240,000		168,626
3.16%		01/23/30	³		200,000		163,515
Paraguay Government International Bond
(Paraguay)
4.95%		04/28/31	^1,3		400,000		357,193
Peruvian Government International Bond
(Peru)
2.84%		06/20/30	³		450,000		370,170
Philippine Government International Bond
(Philippines)
1.65%		06/10/31	³		200,000		153,500
Qatar Government International Bond,
Series REGS
(Qatar)
4.50%		04/23/28	³		200,000		197,816
Republic of South Africa Government International Bond
(South Africa)
4.30%		10/12/28	³		200,000		167,040
5.88%		04/20/32	³		200,000		165,600
Romanian Government International Bond,
Series REGS
(Romania)
3.00%		02/14/31	³		300,000		215,010
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%		10/26/26	³		400,000		380,320
Turkey Government International Bond
(Turkey)
3.25%		03/23/23	³		200,000		198,560
Uruguay Government International Bond
(Uruguay)
4.38%		01/23/31	³		200,000		192,300


Total Foreign Government Obligations
(Cost $6,410,500)							5,423,744



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED — 56.68%**

Non-Agency Commercial Mortgage-Backed — 8.72%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XA (IO)
0.90%		09/15/48	⁴	$	6,157,164	$	109,271
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%		09/15/48	^1,4		500,000		13,763
BB-UBS Trust,
Series 2012-SHOW, Class XA (IO)
0.73%		11/05/36	^1,4		3,109,000		35,851
BB-UBS Trust,
Series 2012-SHOW, Class XB (IO)
0.28%		11/05/36	^1,4		1,395,000		4,862
Benchmark Mortgage Trust,
Series 2020-B18, Class AGNF
4.14%		07/15/53	¹		529,000		445,985
Blackstone Industrial Portfolio - Proj Foxtrot
2.23%		04/09/24	^4,5,6		240,000		232,464
BX Trust,
Series 2019-OC11, Class E
4.08%		12/09/41	^1,4		670,000		512,922
BX Trust,
Series 2021-LGCY, Class J
(LIBOR USD 1-Month plus 3.19%)
6.01%		10/15/23	^1,2		400,000		356,309
BX Trust,
Series 2021-MFM1, Class G
(LIBOR USD 1-Month plus 3.90%)
6.72%		01/15/34	^1,2		500,000		467,041
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.50%		08/10/49	⁴		9,155,751		350,243
Century Plaza Towers,
Series 2019-CPT, Class F
3.10%		11/13/39	^1,4		450,000		322,019
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
0.96%		09/10/46	⁴		3,843,241		17,526
Citigroup Commercial Mortgage Trust,
Series 2014-GC19, Class XA (IO)
1.27%		03/10/47	⁴		924,722		9,952
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
1.10%		10/10/47	⁴		13,992,374		203,880
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.46%		02/10/48	⁴		1,594,605		37,008
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class XA (IO)
1.37%		02/10/49	⁴		5,565,023		179,144
Citigroup Commercial Mortgage Trust,
Series 2017-B1, Class XF (IO)
0.96%		08/15/50	^1,4		11,628,000		370,204
Commercial Mortgage Lease-Backed Certificates-1,
Series 2001-CMLB, Class X (IO)
1.01%		06/20/31	^1,4		2,807,499		25,320



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.75%		10/15/45	⁴	$	204,298	$	550
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.70%		10/15/45	⁴		311,394		14
Commercial Mortgage Trust,
Series 2012-LC4, Class XB (IO)
0.49%		12/10/44	^1,4		1,578,247		17
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.29%		03/10/46	⁴		4,868,517		9,566
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.04%		07/10/45	⁴		13,091,332		1,177
Commercial Mortgage Trust,
Series 2014-CR14, Class XA (IO)
0.66%		02/10/47	⁴		3,350,255		17,407
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
1.09%		08/10/47	⁴		917,132		12,019
Commercial Mortgage Trust,
Series 2014-CR19, Class XC (IO)
0.84%		08/10/47	^1,4		1,200,000		14,802
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.22%		06/10/47	⁴		3,125,136		38,933
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.00%		09/10/47	^4,5,6		30,455,981		372,765
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
1.00%		12/10/47	⁴		12,121,063		167,143
Commercial Mortgage Trust,
Series 2015-CR22, Class XA (IO)
0.96%		03/10/48	⁴		10,122,475		157,655
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
0.95%		08/10/48	⁴		8,079,042		153,193
Commercial Mortgage Trust,
Series 2015-LC21, Class XE (IO)
1.23%		07/10/48	^1,4		10,015,000		251,899
Commercial Mortgage Trust,
Series 2016-CR28, Class XA (IO)
0.71%		02/10/49	⁴		13,516,003		239,817
CSAIL Commercial Mortgage Trust,
Series 2015-C2, Class XA (IO)
0.86%		06/15/57	⁴		16,688,478		237,535
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.71%		06/15/52	⁴		564,707		43,297
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.86%		12/15/49	⁴		11,880,716		271,082



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
CSMC,
Series 2019-RIO, Class A
(LIBOR USD 1-Month plus 3.02%)
5.84%		12/15/22	^1,2	$	422,173	$	421,598
DBJPM 16-C1 Mortgage Trust,
Series 2016-C1, Class XA (IO)
1.52%		05/10/49	⁴		8,830,879		319,727
DBUBS Mortgage Trust,
Series 2017-BRBK, Class F
3.65%		10/10/34	^1,4		380,000		338,709
European Loan Conduit No. 36 DAC,
Series 36A, Class E
(Ireland)
(3 month Euribor plus 3.35%)
3.68%		02/17/30	^1,2,3		684,536		603,825
Extended Stay America Trust,
Series 2021-ESH, Class F
(LIBOR USD 1-Month plus 3.70%)
6.52%		07/15/38	^1,2		596,330		568,027
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.60%		02/10/46	⁴		13,849,536		14,816
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.58%		08/10/43	^1,4		5,342,102		17,153
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.00%		03/10/44	^1,4		140,281		1
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.09%		08/10/44	^1,4		681,139		7
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
1.94%		11/10/45	⁴		106,419		35
GS Mortgage Securities Trust,
Series 2014-GC18, Class XA (IO)
1.20%		01/10/47	⁴		26,230,154		232,199
GS Mortgage Securities Trust,
Series 2015-GC32, Class XA (IO)
0.86%		07/10/48	⁴		32,851,681		530,788
GS Mortgage Securities Trust,
Series 2015-GC34, Class XA (IO)
1.37%		10/10/48	⁴		5,470,238		156,805
GS Mortgage Securities Trust,
Series 2015-GS1, Class XA (IO)
0.91%		11/10/48	⁴		9,299,622		185,181
GS Mortgage Securities Trust,
Series 2016-GS2, Class XA (IO)
1.89%		05/10/49	⁴		254,775		12,185
GS Mortgage Securities Trust,
Series 2016-GS4, Class XA (IO)
0.69%		11/10/49	⁴		14,953,393		274,825
GSCG Trust,
Series 2019-600C, Class G
4.12%		09/06/34	^1,4		285,000		244,098



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Hilton USA Trust,
Series 2016-SFP, Class E
5.52%		11/05/35	¹	$	400,000	$	383,607
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class XA (IO)
0.79%		04/15/47	⁴		11,878,050		70,253
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XA (IO)
0.58%		07/15/48	⁴		23,638,146		246,488
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XNR (IO)
0.25%		07/15/48	^1,4		44,664,247		218,538
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C31, Class XA (IO)
0.97%		08/15/48	⁴		6,477,852		124,476
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class XA (IO)
0.99%		03/15/50	⁴		4,391,492		111,543
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C2, Class XA (IO)
1.65%		06/15/49	⁴		250,848		9,870
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class XB (IO)
0.53%		06/15/45	^1,4		55,527,418		145,776
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.31%		12/15/47	⁴		620,431		293
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C10, Class XA (IO)
1.16%		12/15/47	⁴		801,876		740
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.35%		04/15/46	⁴		2,545,183		7,853
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-COR4, Class A3
3.76%		03/10/52			500,000		465,662
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-ACE, Class XA (IO)
0.47%		01/10/37	^1,4		2,000,000		14,869
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-LOOP, Class XB (IO)
0.38%		12/05/38	^1,4		2,010,000		19,304
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XAFX (IO)
2.03%		01/16/37	^1,4		450,000		14,259
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XBFX (IO)
0.68%		01/16/37	^1,4		1,450,000		14,580
Last Mile Logistics Pan Euro Finance DAC,
Series 1A, Class F
(Ireland)
(3 month Euribor plus 3.65%)
3.99%		08/17/33	^1,2,3		497,769		425,963



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Med Trust,
Series 2021-MDLN, Class G
(LIBOR USD 1-Month plus 5.25%)
8.07%		11/15/38	^1,2	$	420,000	$	388,834
MFT Trust,
Series 2020-ABC, Class D
3.59%		02/10/42	^1,4		450,000		336,497
ML-CFC Commercial Mortgage Trust,
Series 2007-6, Class X (IO)
0.66%		03/12/51	^1,4		13,810,469		59,086
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XC (IO)
0.13%		08/15/45	^1,4		32,559,469		113,608
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-CKSV, Class XA (IO)
1.15%		10/15/30	^1,4		1,087,091		16,095
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XC (IO)
1.20%		10/15/46	^1,4		19,087,479		225,464
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class XA (IO)
1.10%		11/15/46	⁴		2,410,274		14,815
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C18, Class XA (IO)
0.75%		10/15/47	⁴		93,326		731
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.99%		03/15/48	⁴		3,273,914		50,579
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.14%		04/15/48	⁴		1,086,567		18,973
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.84%		05/15/48	⁴		7,153,163		112,010
Morgan Stanley Capital I Trust,
Series 2011-C2, Class XB (IO)
0.49%		06/15/44	^1,4		11,322,472		44,921
Morgan Stanley Capital I Trust,
Series 2017-CLS, Class F
(LIBOR USD 1-Month plus 2.60%)
5.42%		11/15/34	^1,2		551,000		547,315
MRCD Mortgage Trust,
Series 2019-PRKC, Class A
4.25%		12/15/36	^1,4		500,000		402,615
MSCG Trust,
Series 2018-SELF, Class F
(LIBOR USD 1-Month plus 3.05%)
5.87%		10/15/37	^1,2		800,000		744,377
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.46%		01/15/43	^1,4		100,000		81,399
Natixis Commercial Mortgage Securities Trust,
Series 2019-FAME, Class D
4.54%		08/15/36	^1,4		665,000		585,673



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Natixis Commercial Mortgage Securities Trust,
Series 2019-FAME, Class E
4.54%		08/15/36	^1,4	$	395,000	$	330,982
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2A
3.66%		01/05/43	^1,4		400,000		293,243
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%		01/05/43	^1,4		460,000		337,727
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.53%		01/05/43	^1,4		925,000		592,067
SMRT,
Series 2022-MINI, Class F
(CME Term SOFR 1-Month plus 3.35%)
6.20%		01/15/39	^1,2		570,000		531,431
Taurus UK DAC,
Series 2021-UK1A, Class D
(Ireland)
(SONIA plus 2.60%)
4.56%		05/17/31	^1,2,3		471,537		476,461
UBS Commercial Mortgage Trust,
Series 2017-C4, Class XA (IO)
1.24%		10/15/50	⁴		8,530,348		342,290
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.54%		12/10/45	^1,4		39,567		1
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.24%		08/15/50	⁴		15,467,874		203,151
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.18%		12/15/47	⁴		1,460,546		25,125
Wells Fargo Commercial Mortgage Trust,
Series 2015-C27, Class XA (IO)
0.99%		02/15/48	⁴		17,595,859		278,229
Wells Fargo Commercial Mortgage Trust,
Series 2015-C31, Class XA (IO)
1.11%		11/15/48	⁴		17,421,503		407,231
Wells Fargo Commercial Mortgage Trust,
Series 2015-LC20, Class XF (IO)
1.88%		04/15/50	^1,4		415,000		13,622
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS3, Class XA (IO)
1.03%		09/15/57	⁴		9,440,330		202,703
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class XA (IO)
2.26%		06/15/49	⁴		6,371,451		304,344
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.57%		12/15/45	^1,4		489,338		17
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XB (IO)
0.53%		12/15/45	^1,4		56,000,000		616



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XB (IO)
0.04%		06/15/45	^1,4	$	17,024,211	$	5,064
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class XA (IO)
1.06%		05/15/47	⁴		10,062,357		104,981
WF-RBS Commercial Mortgage Trust,
Series 2014-C22, Class XA (IO)
0.94%		09/15/57	⁴		1,832,635		20,944
WF-RBS Commercial Mortgage Trust,
Series 2014-C24, Class XA (IO)
0.99%		11/15/47	⁴		6,124,363		82,420
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.42%		03/15/47	⁴		9,470,441		109,103

							20,281,432


Non-Agency Mortgage-Backed — 26.20%
Alternative Loan Trust,
Series 2004-30CB, Class 1A6
5.50%		02/25/35			1,130,526		1,043,659
Alternative Loan Trust,
Series 2005-46CB, Class A3
5.50%		10/25/35			278,253		205,114
Alternative Loan Trust,
Series 2005-46CB, Class A4
5.25%		10/25/35			210,258		152,506
Alternative Loan Trust,
Series 2005-46CB, Class A7
5.50%		10/25/35			593,124		437,221
Alternative Loan Trust,
Series 2005-55CB, Class 1A1
5.50%		11/25/35			200,314		142,000
Alternative Loan Trust,
Series 2005-64CB, Class 2A1
6.00%		11/25/35			3,071,957		661,033
Alternative Loan Trust,
Series 2005-65CB, Class 2A4
5.50%		12/25/35			341,457		260,335
Alternative Loan Trust,
Series 2005-67CB, Class A1
5.50%		01/25/36			69,296		55,802
Alternative Loan Trust,
Series 2005-74T1, Class A5
6.00%		01/25/36			502,521		327,934
Alternative Loan Trust,
Series 2005-7CB, Class 2A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.05%, 5.05% Cap)
1.97%		03/01/38	^2,5,6		1,484,804		52,537
Alternative Loan Trust,
Series 2005-86CB, Class A1
5.50%		02/25/36			574,549		374,659
Alternative Loan Trust,
Series 2005-86CB, Class A8
5.50%		02/25/36			262,651		171,273



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2006-19CB, Class A15
6.00%		08/25/36		$	125,803	$	79,520
Alternative Loan Trust,
Series 2006-19CB, Class A17
(LIBOR USD 1-Month plus 0.40%)
3.48%		08/25/36	²		4,169,352		2,182,104
Alternative Loan Trust,
Series 2006-19CB, Class A18 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.60%, 5.60% Cap)
2.52%		08/25/36	^2,5,6		4,025,410		374,614
Alternative Loan Trust,
Series 2006-32CB, Class A18
6.00%		11/25/36			143,016		93,631
Alternative Loan Trust,
Series 2006-34, Class A5
6.25%		11/25/46			1,251,574		707,128
Alternative Loan Trust,
Series 2006-J1, Class 1A11
5.50%		02/25/36			215,247		157,812
Alternative Loan Trust,
Series 2007-13, Class A1
6.00%		06/25/47			290,269		162,291
Alternative Loan Trust,
Series 2007-15CB, Class A6
5.75%		07/25/37			573,807		372,157
Alternative Loan Trust,
Series 2007-15CB, Class A7
6.00%		07/25/37			1,539,490		1,045,188
Alternative Loan Trust,
Series 2007-16CB, Class 1A7
6.00%		08/25/37			7,613		6,156
Alternative Loan Trust,
Series 2007-18CB, Class 2A25
6.00%		08/25/37			334,200		209,890
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%		09/25/37			243,986		107,097
Alternative Loan Trust,
Series 2007-5CB, Class 1A3
6.00%		04/25/37			184,231		111,459
Alternative Loan Trust,
Series 2007-5CB, Class 1A4
6.00%		04/25/37			543,538		328,840
American Home Mortgage Assets Trust,
Series 2006-6, Class XP (IO) (PO)
0.18%		12/25/46	^4,5,6		22,795,532		179,105
American Home Mortgage Assets Trust,
Series 2007-5, Class XP (IO) (PO)
0.47%		06/25/47	^4,5,6		976,478		20,059
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)
3.36%		03/25/46	²		13,363		11,973



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Banc of America Alternative Loan Trust,
Series 2006-5, Class CB8
(LIBOR USD 1-Month plus 0.31%)
3.39%		06/25/46	²	$	1,972,348	$	1,633,959
Banc of America Alternative Loan Trust,
Series 2006-5, Class CB9 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.69%, 6.69% Cap)
3.61%		06/25/46	^2,5,6		1,972,361		171,070
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%		03/25/36			6,104		5,188
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
3.23%		05/26/36	^1,2		5,176		5,200
Banc of America Funding Trust,
Series 2015-R4, Class 5A1
(LIBOR USD 1-Month plus 0.15%)
2.59%		10/25/36	^1,2		8,016		8,001
Bear Stearns ALT-A Trust,
Series 2005-7, Class 22A1
3.53%		09/25/35	⁴		149,161		96,635
Bear Stearns ARM Trust,
Series 2004-3, Class 2A
3.31%		07/25/34	⁴		7,124		6,648
Bear Stearns ARM Trust,
Series 2005-10, Class A3
3.48%		10/25/35	⁴		139,525		129,339
Bombardier Capital Mortgage Securitization Corp.,
Series 1999-B, Class A2
6.98%		12/15/29	⁴		997,492		153,231
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A3
7.83%		06/15/30	⁴		1,658,345		251,094
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A4
8.29%		06/15/30	⁴		142,144		23,676
Cascade MH Asset Trust,
Series 2022-MH1, Class A (STEP-reset date 11/25/22)
4.25%		08/25/54	¹		1,289,414		1,128,066
ChaseFlex Trust,
Series 2007-1, Class 1A1
6.50%		02/25/37			343,676		147,005
CIM Trust,
Series 2021-NR2, Class A1 (STEP-reset date 11/25/22)
2.57%		07/25/59	¹		538,331		509,700
CIM Trust,
Series 2021-NR4, Class A1 (STEP-reset date 11/25/22)
2.82%		10/25/61	¹		1,143,204		1,058,845
CIM Trust,
Series 2021-R5, Class A1B
2.00%		08/25/61	^1,4		681,000		444,553
CIT Mortgage Loan Trust,
Series 2007-1, Class 1M2
(LIBOR USD 1-Month plus 1.75%)
4.83%		10/25/37	^1,2		1,046,000		871,002



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2006-WF1, Class A2C (STEP-reset date 11/25/22)
4.67%		03/25/36		$	31,386	$	15,504
Citigroup Mortgage Loan Trust,
Series 2009-10, Class 2A2
7.00%		12/25/35	^1,4		544,584		413,226
CitiMortgage Alternative Loan Trust,
Series 2006-A1, Class 1A5
5.50%		04/25/36			285,853		252,177
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A1
6.00%		01/25/37			117,108		102,494
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A5
6.00%		01/25/37			223,538		195,643
CitiMortgage Alternative Loan Trust,
Series 2007-A2, Class 1A13
5.75%		02/25/37			251,866		221,978
CitiMortgage Alternative Loan Trust,
Series 2007-A3, Class 1A7
5.75%		03/25/37			213,240		187,637
CitiMortgage Alternative Loan Trust,
Series 2007-A5, Class 1A1
6.00%		05/25/37			951,624		824,293
Conseco Finance Corp.,
Series 1996-6, Class M1
7.95%		09/15/27	⁴		360,536		359,645
Conseco Finance Securitizations Corp.,
Series 2000-1, Class A5
8.06%		09/01/29	⁴		3,422,743		833,390
Conseco Finance Securitizations Corp.,
Series 2000-4, Class A5
7.97%		05/01/32			1,992,158		447,776
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-14, Class A3
6.25%		09/25/37			23,329		13,653
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-20, Class A1
6.50%		01/25/38			206,536		108,697
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-7, Class A9
5.50%		06/25/37			630,660		333,732
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A4
(LIBOR USD 1-Month plus 0.32%)
3.40%		10/25/36	²		38,243		26,602
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-MH1, Class B1 (STEP-reset date 11/25/22)
6.25%		10/25/36	¹		54,059		55,681
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF3 (STEP-reset date 11/25/22)
3.12%		01/25/37			1,016,369		318,737
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF6 (STEP-reset date 11/25/22)
3.12%		01/25/37			1,794,320		563,068



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 11/25/22)
3.54%		02/25/37		$	977,003	$	657,950
CSMC Mortgage-Backed Trust,
Series 2006-6, Class 1A8
6.00%		07/25/36			379,532		210,713
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 10A6
6.50%		08/25/36			1,164,939		724,597
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 8A11
6.50%		08/25/36			419,341		208,159
CSMC Mortgage-Backed Trust,
Series 2007-5, Class 1A9
7.00%		08/25/37	⁴		172,483		98,891
CSMC Trust,
Series 2020-RPL5, Class A1
3.02%		08/25/60	^1,4		216,223		209,242
CSMC,
Series 2014-8R, Class 3A2
4.06%		02/27/36	^1,4		1,008,098		840,258
Deutsche ALT-B Securities, Inc., Mortgage Loan Trust,
Series 2006-AB2, Class A2
4.84%		06/25/36	⁴		176,474		151,365
Deutsche Mortgage & Asset Receiving Corp.,
Series 2014-RS1, Class 1A2
6.56%		07/27/37	^1,4		369,219		302,841
Fannie Mae Connecticut Avenue Securities,
Series 2019-R04, Class 2B1
(LIBOR USD 1-Month plus 5.25%)
8.33%		06/25/39	^1,2		753,066		765,823
Fannie Mae Connecticut Avenue Securities,
Series 2019-R06, Class 2B1
(LIBOR USD 1-Month plus 3.75%)
6.83%		09/25/39	^1,2		1,100,000		1,047,269
Fannie Mae Connecticut Avenue Securities,
Series 2019-R07, Class 1B1
(LIBOR USD 1-Month plus 3.40%)
6.48%		10/25/39	^1,2		1,000,000		961,953
Fannie Mae Connecticut Avenue Securities,
Series 2021-R03, Class 1B2
(SOFR30A plus 5.50%)
7.78%		12/25/41	^1,2		485,000		425,614
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
3.40%		10/25/36	²		393,446		278,829
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
3.30%		03/25/37	²		727,270		379,911
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA6, Class 2A3
6.25%		11/25/36			723,952		272,268



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA1, Class A4
6.25%		03/25/37		$	612,884	$	303,393
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA2, Class 1A4
5.75%		04/25/37			713,005		282,565
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA2, Class M2
(SOFR30A plus 2.05%)
4.33%		12/25/33	^1,2		815,000		724,943
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M2
(SOFR30A plus 2.50%)
4.78%		01/25/42	^1,2		1,000,000		848,966
Fremont Home Loan Trust,
Series 2005-E, Class 2A4
(LIBOR USD 1-Month plus 0.66%)
3.74%		01/25/36	²		22,522		21,772
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.48%)
3.56%		08/25/45	²		4,804		3,753
GSAA Home Equity Trust,
Series 2007-5, Class 1F3B
6.00%		05/25/37	⁴		4,300,000		290,847
GSAA Home Equity Trust,
Series 2007-5, Class 1F5B (STEP-reset date 11/25/22)
6.44%		05/25/37			1,987,261		135,026
GSAA Home Equity Trust,
Series 2007-5, Class 2A2A
(LIBOR USD 1-Month plus 0.46%)
3.54%		04/25/47	²		847,398		449,603
GSAA Trust,
Series 2007-3, Class 2A1B
(LIBOR USD 1-Month plus 0.20%)
3.28%		03/25/47	²		166,316		13,306
GSMSC Resecuritization Trust,
Series 2015-5R, Class 1C
(LIBOR USD 1-Month plus 0.14%)
2.58%		04/26/37	^1,2		200,701		200,540
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
3.23%		09/25/35	⁴		4,194		4,049
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(LIBOR USD 1-Month plus 0.68%)
3.67%		06/20/35	²		16,078		14,668
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2X (IO)
0.16%		06/20/35	^1,4,5,6		1,179,023		185
HarborView Mortgage Loan Trust,
Series 2006-5, Class X2 (IO)
0.46%		07/19/46	^4,5,6		2,709,065		27
HSI Asset Loan Obligation Trust,
Series 2007-WF1, Class A5 (STEP-reset date 11/25/22)
4.53%		12/25/36			257,459		88,730



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2006-AR3, Class 2A1A
3.08%		03/25/36	⁴	$	82,899	$	59,148
IndyMac Index Mortgage Loan Trust,
Series 2007-F2, Class 1A4
6.00%		07/25/37			731,474		570,752
JPMorgan Alternative Loan Trust,
Series 2006-S1, Class 3A4
6.18%		03/25/36	⁴		902,785		746,067
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH2, Class AF3 (STEP-reset date 11/25/22)
5.46%		09/25/29			498,445		328,409
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF4 (STEP-reset date 11/25/22)
6.08%		08/25/36			1,487,477		995,051
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF5 (STEP-reset date 11/25/22)
6.34%		08/25/36			282,667		203,541
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A5 (STEP-reset date 11/25/22)
6.91%		07/25/36			1,749,072		588,182
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class AF6 (STEP-reset date 11/25/22)
4.63%		11/25/36			4,910		4,850
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF2 (STEP-reset date 11/25/22)
4.42%		01/25/37			419,914		224,422
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF3 (STEP-reset date 11/25/22)
4.42%		10/25/30			644,679		353,216
JPMorgan Mortgage Trust,
Series 2007-S1, Class 2A11
6.00%		03/25/37			358,768		167,878
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class M1
6.63%		04/15/40	⁴		836,536		832,650
Lehman Mortgage Trust,
Series 2006-1, Class 1A5
5.50%		02/25/36			139,195		78,415
Lehman Mortgage Trust,
Series 2006-7, Class 2A5 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
3.47%		11/25/36	^2,5,6		184,367		22,340
Lehman Mortgage Trust,
Series 2007-5, Class 10A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap)
3.26%		06/25/37	^2,5,6		8,680,949		563,161
Lehman Mortgage Trust,
Series 2007-5, Class 7A3
7.50%		10/25/36			524,203		253,130
Lehman XS Trust,
Series 2005-1, Class 3A4 (STEP-reset date 11/25/22)
5.37%		07/25/35			51,499		51,499

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Lehman XS Trust,

Series 2006-17, Class 1A3

(LIBOR USD 1-Month plus 0.50%)

3.58%

08/25/46

219,024

195,382

Lehman XS Trust,

Series 2006-17, Class 1AIO (IO)

0.60%

08/25/46

^5,6

8,440,070

155,677

MASTR Alternative Loan Trust,

Series 2005-2, Class 4A3

(LIBOR USD 1-Month plus 0.40%)

3.48%

03/25/35

14,260

14,024

MASTR Alternative Loan Trust,

Series 2005-2, Class 4A4 (IO)

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

2.02%

03/25/35

^2,5,6

286,696

3,484

MASTR Asset-Backed Securities Trust,

Series 2006-NC2, Class A3

(LIBOR USD 1-Month plus 0.22%)

3.30%

08/25/36

741,657

314,866

Merrill Lynch Alternative Note Asset Trust,

Series 2007-A1, Class A3

(LIBOR USD 1-Month plus 0.32%)

3.40%

01/25/37

667,534

225,647

Merrill Lynch Alternative Note Asset Trust,

Series 2007-OAR2, Class A3

(LIBOR USD 1-Month plus 0.52%)

3.60%

04/25/37

1,961,965

259,667

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-3, Class A2B

(LIBOR USD 1-Month plus 0.13%)

3.21%

06/25/37

524,480

324,353

Merrill Lynch Mortgage Investors Trust,

Series 2004-B, Class A1

(LIBOR USD 1-Month plus 0.50%)

3.58%

05/25/29

8,157

7,811

Merrill Lynch Mortgage Investors Trust,

Series 2006-HE6, Class A2B

(LIBOR USD 1-Month plus 0.30%)

3.38%

11/25/37

823,806

291,783

Merrill Lynch Mortgage Investors Trust,

Series 2006-RM2, Class A1A

(LIBOR USD 1-Month plus 0.37%)

3.45%

05/25/37

3,609,146

1,060,414

Mid-State Capital Corp. Trust,

Series 2005-1, Class A

5.75%

01/15/40

5,354

5,273

Mid-State Capital Corp. Trust,

Series 2006-1, Class A

5.79%

10/15/40

38,777

37,491

Mid-State Trust XI,

Series 11, Class A1

4.86%

07/15/38

2,531

2,440

Morgan Stanley Mortgage Loan Trust,

Series 2007-13, Class 6A1

6.00%

10/25/37

174,830

108,896



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
3.33%		06/25/37	²	$	21,433	$	20,708
Oakwood Mortgage Investors, Inc.,
Series 1999-C, Class A2
7.48%		08/15/27			389,192		332,512
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A2
5.01%		03/15/20	⁴		3,934		3,888
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WCH1, Class M4
(LIBOR USD 1-Month plus 1.25%)
4.33%		01/25/36	²		8,411		8,318
PRET LLC,
Series 2021-RN2, Class A1 (STEP-reset date 10/25/22)
1.74%		07/25/51	¹		853,881		786,097
PRET LLC,
Series 2022-RN2, Class A1 (STEP-reset date 10/25/22)
5.00%		06/25/52	¹		715,639		685,439
PRPM LLC,
Series 2021-11, Class A1 (STEP-reset date 10/25/22)
2.49%		11/25/26	¹		417,330		387,361
PRPM LLC,
Series 2021-3, Class A1 (STEP-reset date 10/25/22)
1.87%		04/25/26	¹		1,017,575		931,479
PRPM LLC,
Series 2021-9, Class A1 (STEP-reset date 10/25/22)
2.36%		10/25/26	¹		262,415		243,544
PRPM LLC,
Series 2022-1, Class A1 (STEP-reset date 10/25/22)
3.72%		02/25/27	¹		1,201,241		1,123,750
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 10/25/22)
5.56%		06/25/27	¹		1,112,375		1,074,794
PRPM LLC,
Series 2022-4, Class A1
5.00%		08/25/27	^1,4		279,050		269,221
PRPM, LLC,
Series 2021-1, Class A1
2.12%		01/25/26	^1,4		992,475		920,744
PRPM, LLC,
Series 2021-10, Class A1 (STEP-reset date 10/25/22)
2.49%		10/25/26	¹		454,489		412,467
PRPM, LLC,
Series 2021-8, Class A1
1.74%		09/25/26	^1,4		685,993		629,701
Residential Accredit Loans Trust,
Series 2005-QS14, Class 3A3
6.00%		09/25/35			140,591		120,403
Residential Accredit Loans Trust,
Series 2005-QS16, Class A7
5.50%		11/25/35			454,453		389,754



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2006-QS15, Class A3
6.50%		10/25/36		$	934,199	$	795,825
Residential Accredit Loans Trust,
Series 2006-QS4, Class A2
6.00%		04/25/36			308,383		252,439
Residential Accredit Loans Trust,
Series 2006-QS4, Class A4
6.00%		04/25/36			382,020		303,462
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A15
6.00%		06/25/36			159,629		137,709
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A2
6.00%		06/25/36			627,080		540,968
Residential Accredit Loans Trust,
Series 2007-QH9, Class X (IO) (PO)
0.70%		11/25/37	^4,5,6		11,375,548		342,828
Residential Accredit Loans Trust,
Series 2007-QO2, Class A1
(LIBOR USD 1-Month plus 0.15%)
3.23%		02/25/47	²		522,571		210,210
Residential Accredit Loans Trust,
Series 2007-QS1, Class 1A4
6.00%		01/25/37			505,757		408,086
Residential Accredit Loans Trust,
Series 2007-QS3, Class A1
6.50%		02/25/37			473,931		388,679
Residential Accredit Loans Trust,
Series 2007-QS7, Class 1A1
6.00%		05/25/37			51,554		42,907
Residential Asset Mortgage Products Trust,
Series 2006-EFC2, Class A4
(LIBOR USD 1-Month plus 0.22%)
3.30%		12/25/36	²		44,554		44,018
Residential Asset Securitization Trust,
Series 2003-A15, Class 1A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap)
4.47%		02/25/34	^2,5,6		464,948		28,147
Residential Asset Securitization Trust,
Series 2005-A14, Class A5
5.50%		12/25/35			83,166		47,493
Residential Asset Securitization Trust,
Series 2005-A8CB, Class A9
5.38%		07/25/35			251,909		156,613
Residential Asset Securitization Trust,
Series 2006-A12, Class A1
6.25%		11/25/36			502,024		208,099
Residential Asset Securitization Trust,
Series 2006-A15, Class A2
6.25%		01/25/37			512,576		205,170
Residential Asset Securitization Trust,
Series 2006-A16, Class 1A3
6.00%		02/25/37			329,926		158,120



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust,
Series 2006-A5CB, Class A4
6.00%		06/25/36		$	207,274	$	99,084
Residential Asset Securitization Trust,
Series 2007-A1, Class A1
6.00%		03/25/37			326,175		119,498
Residential Asset Securitization Trust,
Series 2007-A3, Class 1A4
5.75%		04/25/37			478,414		258,967
Residential Asset Securitization Trust,
Series 2007-A6, Class 1A3
6.00%		06/25/37			144,490		91,648
Residential Funding Mortgage Securities Trust,
Series 2006-S10, Class 1A1
6.00%		10/25/36			752,470		612,999
Residential Funding Mortgage Securities Trust,
Series 2006-S3, Class A7
5.50%		03/25/36			522,554		422,077
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A10
6.00%		07/25/36			250,428		206,450
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A14
6.00%		07/25/36			80,299		65,664
Residential Funding Mortgage Securities Trust,
Series 2007-S8, Class 1A1
6.00%		09/25/37			150,978		107,513
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 11/25/22)
2.88%		01/25/36			261,654		213,117
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.30%)
3.38%		12/25/36	²		920,326		587,832
Soundview Home Loan Trust,
Series 2007-OPT2, Class 2A4
(LIBOR USD 1-Month plus 0.25%)
3.33%		07/25/37	²		293,265		238,643
Soundview Home Loan Trust,
Series 2007-OPT4, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
4.08%		09/25/37	²		405,598		306,282
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 4A1
3.62%		02/25/34	⁴		1,323		1,259
Structured Asset Mortgage Investments II Trust,
Series 2006-AR2, Class A1
(LIBOR USD 1-Month plus 0.46%)
3.54%		02/25/36	²		19,147		16,572
VOLT XCII LLC,
Series 2021-NPL1, Class A1 (STEP-reset date 10/25/22)
1.89%		02/27/51	¹		1,346,913		1,229,394
VOLT XCVI LLC,
Series 2021-NPL5, Class A2 (STEP-reset date 10/25/22)
4.83%		03/27/51	¹		930,000		786,247



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2006-2, Class 1A6
6.00%		03/25/36		$	24,879	$	22,858
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class X3 (IO)
1.15%		05/25/46	^5,6		7,268,476		280,896
Wells Fargo Alternative Loan Trust,
Series 2007-PA2, Class 1A1
6.00%		06/25/37			202,789		167,818
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37			365,040		315,164
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A3
4.36%		10/25/36	⁴		39,700		36,615
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 2A1
2.87%		04/25/36	⁴		7,857		7,049
Wells Fargo Mortgage-Backed Securities Trust,
Series 2007-7, Class A1
6.00%		06/25/37			240,704		204,958

							60,927,774


U.S. Agency Commercial Mortgage-Backed — 1.81%
Fannie Mae Pool 462209
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.18%)
2.95%		04/01/36	²		52,243		53,536
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.98%		07/25/39	⁴		301,777		7,405
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.14%		04/25/36	⁴		101,703		925
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.70%		01/25/39	⁴		543,836		9,756
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K028, Class X3 (IO)
1.71%		06/25/41	⁴		12,639,000		105,747
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K031, Class X3 (IO)
1.72%		07/25/41	⁴		1,170,000		9,871
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K037, Class X3 (IO)
2.28%		01/25/42	⁴		390,000		10,426
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K043, Class X1 (IO)
0.64%		12/25/24	⁴		23,271,556		232,243

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K044, Class X3 (IO)

1.55%

01/25/43

⁴

4,900,000

153,940

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K045, Class X1 (IO)

0.54%

01/25/25

⁴

27,485,525

239,003

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K049, Class X1 (IO)

0.70%

07/25/25

⁴

12,549,963

163,758

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K049, Class X3 (IO)

1.61%

10/25/43

⁴

2,925,000

115,189

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K050, Class X1 (IO)

0.43%

08/25/25

⁴

21,793,253

167,015

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K056, Class X3 (IO)

2.18%

06/25/44

⁴

6,243,936

409,835

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K062, Class X3 (IO)

2.15%

01/25/45

⁴

3,000,000

225,124

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K106, Class X1 (IO)

1.48%

01/25/30

⁴

9,762,846

763,929

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K732, Class X3 (IO)

2.24%

05/25/46

⁴

4,850,000

262,052

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K735, Class X3 (IO)

2.23%

05/25/47

⁴

3,160,000

206,208

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K736, Class X3 (IO)

2.08%

09/25/47

⁴

2,495,000

166,645

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC05, Class X1 (IO)

1.34%

06/25/27

⁴

693,050

22,348

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KLU1, Class X3 (IO)

4.19%

01/25/31

⁴

294,089

40,249

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series Q013, Class XPT1 (IO)

1.66%

05/25/25

⁴

4,174,409

106,609



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q013, Class XPT2 (IO)
1.81%		05/25/27	⁴	$	3,704,143	$	102,524
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.19%		09/16/51	⁴		911,787		30,139
Ginnie Mae,
Series 2010-159, Class D
4.56%		09/16/44	⁴		239,853		233,540
Ginnie Mae,
Series 2011-119, Class IO (IO)
0.22%		08/16/51	⁴		1,157,006		2,613
Ginnie Mae,
Series 2011-86, Class C
3.63%		09/16/51	⁴		236,903		224,150
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.63%		12/16/51	⁴		1,562,689		20,360
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.34%		01/16/53	⁴		272,687		2,537
Ginnie Mae,
Series 2013-33, Class IO (IO)
0.23%		04/16/54	⁴		367,776		1,485
Ginnie Mae,
Series 2014-126, Class IO (IO)
0.72%		02/16/55	⁴		5,575,865		131,767

							4,220,928


U.S. Agency Mortgage-Backed — 19.95%
Fannie Mae REMICS,
Series 2005-56, Class SP
(-6.00 X LIBOR USD 1-Month plus 42.30%, 6.00% Cap)
6.00%		08/25/33	²		4,017		3,976
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
2.92%		11/25/41	²		91,563		6,427
Fannie Mae REMICS,
Series 2012-139, Class AI (IO)
3.00%		12/25/27			188,801		9,248
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%		07/15/36			249,866		54,141
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
3.59%		10/20/33	²		306,472		26,437
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48			29,440		27,834
Ginnie Mae,
Series 2018-154, Class BP
3.50%		11/20/48			2,856		2,690



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
UMBS (TBA)
2.00%		10/01/52	$	2,700,000	$	2,183,184
2.00%		11/01/52		7,275,000		5,881,764
2.50%		10/01/52		4,025,000		3,377,825
2.50%		11/01/52		7,425,000		6,229,994
3.00%		10/01/52		9,850,000		8,559,510
4.00%		10/01/52		3,600,000		3,337,190
4.50%		10/01/52		9,475,000		9,017,770
5.00%		10/01/52		7,875,000		7,673,243

						46,391,233

Total Mortgage-Backed
(Cost $160,172,800)						131,821,367


MUNICIPAL BONDS — 0.42%*

California — 0.13%
Los Angeles Department of Airports Revenue Bonds, Port,
Airport and Marina Improvements, Series A
3.89%		05/15/38		100,000		85,727
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series KR
5.75%		07/01/34		205,000		210,218

						295,945


Florida — 0.03%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.61%		10/01/32		100,000		79,517


New York — 0.22%
City of New York General Obligation Bonds, Public
Improvements, Series F
3.62%		04/01/31		155,000		138,352
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries B3
1.85%		08/01/32		75,000		55,801
New York State Dormitory Authority Revenue Bonds, School
Improvements, Series F
3.11%		02/15/39		150,000		120,248
New York State Urban Development Corp. Revenue Bonds,
Economic Improvements, Series F
2.00%		03/15/33		100,000		73,873
New York State Urban Development Corp. Revenue Bonds,
Transit Improvements, Series B
2.54%		03/15/34		175,000		135,856

						524,130

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

Ohio — 0.04%

Ohio, Taxable Revenue Bonds, Advanced Refunding,

Cleveland Clinic

2.89%

01/01/32

100,000

82,696

Total Municipal Bonds

(Cost $1,253,782)

982,288

Total Bonds — 110.44%

(Cost $302,380,079)

256,841,058

Issues

Shares

Value

COMMON STOCK — 0.22%

Communications — 0.13%

Intelsat Emergence SA3,5,6,12

(Luxembourg)

11,030

303,325

Financials — 0.09%

AGNC Investment Corp.

25,500

214,710

Total Common Stock

(Cost $701,674)

518,035

RIGHTS — 0.00%

Communications — 0.00%

Intelsat Jackson Holdings SA, Series A^†,3,5,6,12

(Luxembourg)

1,154

—

Intelsat Jackson Holdings SA, Series B^†,3,5,6,12

(Luxembourg)

1,154

—

Total Rights

(Cost $–)

—

WARRANT — 0.01%

Entertainment — 0.01%

Cineworld Group PLC^3,12

(United Kingdom)

152,713

19,946

Total Warrant

(Cost $–)

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 6.97%

Money Market Funds — 2.67%

Dreyfus Government Cash Management Fund

2.75%¹⁴

1,675,500

Fidelity Investments Money Market Funds - Government

Portfolio

2.74%¹⁴

26,501

Morgan Stanley Institutional Liquidity Funds - Government

Portfolio

2.80%¹⁴

4,508,500

6,210,501



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills — 4.30%
U.S. Treasury Bills
1.25%¹⁵		10/13/22	$	10,000,000	$	9,992,784


Total Short-Term Investments
(Cost $16,207,041)						16,203,285


Total Investments - 117.64%
(Cost $319,288,794)						273,582,324


Net unrealized depreciation on unfunded commitments - (0.01)%						(23,435	)
Liabilities in Excess of Other Assets - (17.63)%						(41,006,753	)

Net Assets - 100.00%					$	232,552,136

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign denominated security issued by foreign domiciled entity.

⁴	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $4,035,139, which is 1.74% of total net assets.

⁷	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $4,770, at an interest rate of 13.27% and a maturity of September 07, 2023. The investment is not accruing an unused commitment fee.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $130,217, at an interest rate of 6.77% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $15,982, at an interest rate of 6.31% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.12% per annum.

¹⁰	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $47,232, at an interest rate of 7.06% and a maturity of July 17, 2028. The investment is not accruing an unused commitment fee.

¹¹	Perpetual security with no stated maturity date.

¹²	Non-income producing security.

¹³	Security is currently in default with regard to scheduled interest or principal payments.

¹⁴	Represents the current yield as of September 30, 2022.

¹⁵	Represents annualized yield at date of purchase.

^†	Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved by the Board of Trustees. See Notes to Financial Statements.

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

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

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PO): Principal Only

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 93.52%

ASSET-BACKED SECURITIES — 0.53%**

AMMC CLO 18 Ltd.,

Series 2016-18A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.61%

05/26/31

^1,2,3

1,165,000

1,108,835

CIFC Funding Ltd.,

Series 2017-4A, Class A2R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

4.33%

10/24/30

^1,2,3

1,100,000

1,054,900

Total Asset-Backed Securities

(Cost $2,180,032)

2,163,735

BANK LOANS — 88.39%*

Automotive — 0.43%

Clarios Global LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

04/30/26

461,302

437,757

First Brands Group LLC,

Term Loan B, 1st Lien

(SOFR plus 5.00%)

8.37%

03/30/27

1,355,549

1,307,767

1,745,524

Communications — 6.68%

Altice Financing SA,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.26%

01/31/26

952,500

894,159

Altice SA,

Term Loan B13, 1st Lien (France)

(LIBOR plus 4.00%)

6.91%

08/14/26

^2,3

481,250

437,937

Banijay Group U.S. Holding, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.30%

03/01/25

978,668

949,925

CCI Buyer, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

6.80%

12/17/27

978,766

925,178

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.37%

03/15/27

938,720

856,366

Charter Communications Operating LLC,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

4.87%

02/01/27

1,318,982

1,272,264

Consolidated Communications, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

6.06%

10/02/27

1,250,000

1,087,500

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Coralus Co-Borrower LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

5.07%

01/31/28

2,250,000

2,170,125

Crown Subsea Communications Holding, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

7.31%

04/27/27

801,370

777,329

CSC Holdings LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

5.32%

04/15/27

979,900

919,273

Dawn Acquisition LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

12/31/25

257,359

190,671

Diamond Sports Group, LLC,

Term Loan, 2nd Lien

(SOFR plus 3.35%)

5.95%

08/24/26

1,477,414

294,951

EW Scripps Co.,

Term Loan B3, 1st Lien

(LIBOR plus 2.75%)

5.87%

01/07/28

397,500

385,398

Frontier Communications Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.44%

05/01/28

981,883

917,447

Global Tel*Link Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.06%

11/29/25

977,685

880,528

Gray Television, Inc.,

Term Loan D, 1st Lien

(LIBOR plus 3.00%)

5.56%

12/01/28

491,263

478,323

Intelsat Jackson Holdings SA,

Term Loan, 1st Lien (Luxembourg)

(SOFR plus 4.50%)

7.44%

02/01/29

^2,3

3,587,972

3,376,281

Metronet Systems Holdings LLC,

Term Loan B, 1st Lien

(SOFR plus 3.86%)

6.61%

06/02/28

1,976,350

1,863,945

MH Sub I LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.87%

09/13/24

2,312,944

2,210,018

National CineMedia LLC,

Term Loan B, 1st Lien

(LIBOR plus 8.00%)

11.13%

12/20/24

^2,4

576,892

351,904

Term Loan B, 1st Lien (Luxembourg)

(LIBOR plus 4.00%)

7.13%

06/20/25

1,236,873

746,144

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

NEP Group, Inc.,

Term Loan B, 1st Lien

(PRIME plus 3.00%)

9.25%

10/20/25

248,125

231,377

NEP/NCP Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

10/20/25

480,275

445,756

Term Loan, 2nd Lien

(LIBOR plus 7.00%)

10.12%

10/19/26

440,000

401,720

New Insight Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.50%)

8.84%

12/20/24

476,250

432,409

Numericable U.S. LLC,

Term Loan B12, 1st Lien

(LIBOR plus 3.69%)

6.20%

01/31/26

984,416

895,818

Terrier Media Buyer, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

12/17/26

1,011,309

949,791

UPC Financing Partnership,

Term Loan AT, 1st Lien

(LIBOR plus 2.25%)

5.07%

04/30/28

250,000

238,750

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.12%

03/09/27

1,504,276

1,264,352

(SOFR plus 4.25%)

7.28%

03/09/27

497,500

434,877

27,280,516

Consumer Discretionary — 4.57%

ADMI Corp.,

Term Loan B2, 1st Lien

(LIBOR plus 3.38%)

6.49%

12/23/27

1,231,250

1,089,662

AI Aqua Merger Sub, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

07/31/28

^2,5

814,815

760,072

Arterra Wines Canada, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

7.14%

11/24/27

1,185,218

1,117,068

Birkenstock U.S. BidCo, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.10%

04/28/28

740,625

696,802

City Brewing Co. LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.18%

04/05/28

991,241

781,430

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Discretionary (continued)

Culligan International, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.75%)

6.35%

07/31/28

1,147,125

1,068,622

Naked Juice, LLC,

Term Loan, 1st Lien (Luxembourg)

(SOFR plus 3.35%)

6.15%

01/24/29

498,750

459,404

Term Loan, 2nd Lien

(SOFR plus 6.10%)

9.65%

01/24/30

2,100,000

1,929,375

New Trojan Parent, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.01% - 6.37%

01/06/28

1,481,250

1,177,594

Pegasus Bidco BV,

Term Loan B, 1st Lien

(SOFR plus 4.25%)

6.96%

07/12/29

2,000,000

1,916,660

Prometric Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.12%

01/29/25

957,744

887,111

Sunshine Luxembourg VII SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

10/01/26

2,216,250

2,067,894

Tecta America Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.37%

04/10/28

987,500

942,445

Triton Water Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

03/31/28

1,481,252

1,336,622

Waystar technologies, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

10/22/26

1,952,456

1,876,798

Weber-Stephen Products LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

10/30/27

711,175

583,942

18,691,501

Consumer Products — 0.46%

Lakeshore Intermediate, LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.13%

09/29/28

1,985,000

1,895,675

Electric — 1.28%

Astoria Energy LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

12/10/27

4,664

4,531

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Electric (continued)

CommScope, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 3.25%)

6.37%

04/06/26

1,944,963

1,801,521

Endure Digital, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.18%

02/10/28

1,975,000

1,678,750

Linden LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62% - 7.18%

10/01/27

1,286,884

1,241,579

Pike Corp.,

Term Loan B, 1st Lien

(SOFR plus 2.50%)

6.77%

01/21/28

500,000

489,375

5,215,756

Energy — 0.89%

Apro LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.89%

11/14/26

1,326,107

1,266,433

Calpine Corp.,

Term Loan B10, 1st Lien

(LIBOR plus 2.00%)

5.12%

08/12/26

187,925

180,784

EG America LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

02/07/25

498,695

466,594

Parkway Generation LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.76%)

7.87%

02/16/29

914,529

896,239

Term Loan C, 1st Lien

(LIBOR plus 4.75%)

7.87%

02/16/29

128,677

126,184

TransMontaigne Operating Co. LP,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.49% - 6.55%

11/17/28

740,634

704,069

3,640,303

Entertainment — 1.59%

AMC Entertainment Holdings, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 3.00%)

5.76%

04/22/26

522,294

410,787

Crown Finance U.S., Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 7.00%)

7.00%

05/23/24

1,227,180

1,462,645

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Entertainment (continued)

NAI Entertainment Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

5.62%

05/08/25

1,391,572

1,346,346

SMG US Midco 2, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.50%)

5.62%

01/23/25

989,828

946,523

WildBrain Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

7.37%

03/24/28

1,477,500

1,362,994

WMG Acquisition Corp.,

Term Loan, 1st Lien

(SOFR plus 3.25%)

6.27%

01/20/28

1,000,000

978,750

6,508,045

Finance — 3.91%

Auris Lux III SA,

Term Loan B2, 1st Lien (Luxembourg)

(LIBOR plus 3.75%)

5.58%

02/27/26

^2,3

1,206,256

1,061,505

Camelot Finance SA,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.12%

10/30/26

972,500

943,510

Cushman & Wakefield,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

08/21/25

1,490,134

1,427,869

DCG Acquisition Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

7.62%

09/30/26

693,923

649,394

Deerfield Dakota Holding LLC,

Term Loan B, 1st Lien

(SOFR plus 3.75%)

6.78%

04/09/27

1,493,635

1,412,733

First Eagle Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

6.17%

02/01/27

1,420,120

1,346,948

Fiserv Investment Solutions, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.96%

02/18/27

992,386

955,171

Hertz Corp. (The),

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

06/30/28

1,251,636

1,187,496

Term Loan C, 1st Lien

(LIBOR plus 3.25%)

6.37%

06/30/28

238,871

226,630

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Finance (continued)

Jane Street Group LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

01/26/28

1,719,375

1,652,569

Mozart Borrower, LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

10/23/28

2,039,127

1,878,861

Schweitzer-Mauduit International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.31%

05/06/29

1,975,000

1,849,094

Telenet Financing USD LLC,

Term Loan AR, 1st Lien

(LIBOR plus 2.00%)

4.82%

04/28/28

500,000

475,625

Trident TPI Holdings, Inc.,

Delayed-Draw Term Loan B3, 1st Lien

(LIBOR plus 4.00%)

7.67%

09/15/28

^2,6

77,305

73,430

Term Loan B3, 1st Lien

(LIBOR plus 4.00%)

7.67%

09/15/28

867,019

823,559

15,964,394

Food — 3.79%

8th Avenue Food & Provisions,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

10/01/25

498,705

441,199

8th Avenue Food & Provisions, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

7.87%

10/01/25

495,000

441,374

CH Gunther PPC Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.13%

12/08/28

995,000

955,200

Chobani LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

10/25/27

971,272

893,269

Dessert Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

6.96%

06/09/28

^2,7

2,163,609

2,001,338

Flora Food Group,

Term Loan B2, 1st Lien

(LIBOR plus 3.00%)

5.90%

07/02/25

1,939,551

1,690,183

H-Food Holdings LLC,

Term Loan, 1st Lien

(LIBOR plus 3.69%)

6.79%

05/23/25

249,349

196,612

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Food (continued)

Hostess Brands LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.06% - 5.37%

08/03/25

399,026

386,868

Matterhorn Merger Sub LLC,

Term Loan B2, 1st Lien

(LIBOR plus 4.00%)

7.12%

05/23/25

1,469,881

1,184,482

Shearer’s Foods LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

09/23/27

2,024,075

1,885,821

Snacking Investments Bidco,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.46%

12/18/26

1,231,775

1,194,821

Sovos Brands Intermediate, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

06/08/28

1,536,207

1,468,038

TKC Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.50%)

9.18%

05/15/28

977,976

845,094

Utz Quality Foods LLC,

Term Loan B, 1st Lien

(SOFR plus 3.11%)

6.15%

01/20/28

1,963,773

1,912,224

15,496,523

Gaming — 2.93%

Bally’s Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.93%

10/02/28

495,000

448,420

Caesars Resort Collection LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

12/23/24

1,396,835

1,367,006

Flutter Financing B.V.,

Term Loan B, 1st Lien

(SOFR plus 2.25%)

6.52%

07/29/28

1,000,000

977,810

Golden Nugget, LLC,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

01/26/29

2,982,506

2,775,282

GVC Holdings Gibraltar Ltd.,

Term Loan B4, 1st Lien

(LIBOR plus 2.50%)

6.17%

03/29/27

1,728,125

1,687,082

J&J Ventures Gaming LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

7.67%

04/26/28

1,984,975

1,890,698

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Gaming (continued)

Penn National Gaming, Inc.,

Term Loan B, 1st Lien

(SOFR plus 2.85%)

5.88%

05/03/29

997,500

961,341

Scientific Games Holdings LP,

Term Loan B, 1st Lien

(SOFR plus 3.50%)

5.62%

04/04/29

2,004,000

1,861,215

11,968,854

Health Care — 13.15%

ADMI Corp.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

04/30/25

957,638

875,042

Bausch & Lomb Corp.,

Term Loan B, 1st Lien

(SOFR plus 3.35%)

6.10%

05/10/27

1,995,000

1,859,719

Bella Holding Co. LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.87%

05/10/28

990,000

927,298

Cano Health, LLC,

Term Loan, 1st Lien

(SOFR plus 4.00%)

6.84%

11/23/27

2,002,762

1,947,686

Carestream Dental, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

7.62%

09/01/24

1,564,013

1,509,273

CCS-CMGC Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.50%)

8.62%

10/01/25

481,250

447,062

Certara Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

08/15/26

1,975,000

1,910,813

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(PRIME plus 1.50%)

6.39%

03/01/24

300

299

Charlotte Buyer, Inc.,

Term Loan B, 1st Lien

(SOFR plus 5.25%)

7.98%

02/11/28

950,000

893,000

Corgi Bidco, Inc.,

Term Loan, 1st Lien

(SOFR plus 5.00%)

8.27%

09/20/29

1,300,000

1,217,671

Curia Global, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.56%

08/30/26

2,169,713

2,022,347

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%)

7.12% - 7.67%

01/08/27

2,200,600

2,077,729

Dermatology Intermediate Holdings, Inc.,

Delayed-Draw Term Loan, 1st Lien

(SOFR plus 4.25%)

6.85% - 7.28%

04/02/29

^2,8

119,992

114,593

eResearchTechnology, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

7.62%

02/04/27

1,751,798

1,638,868

Femur Buyer, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

8.17%

03/05/26

621,394

555,763

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.12%

11/15/27

925,556

880,629

Heartland Dental LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.08%

04/30/25

988,737

919,031

Term Loan, 1st Lien

(LIBOR plus 3.50%)

6.62%

04/30/25

1,473,128

1,361,723

Horizon Therapeutics USA, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 2.00%)

5.13%

05/22/26

500,000

482,813

Jazz Financing Lux SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

05/05/28

1,331,590

1,289,618

LSCS Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

8.17%

12/16/28

2,431,625

2,340,439

National Seating & Mobility,

Term Loan, 1st Lien

(LIBOR plus 5.25%)

8.38%

11/16/26

1,957,309

1,781,151

NMN Holdings III Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.87%

11/13/25

^2,9

1,194,609

1,079,628

Option Care Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.57%

10/27/28

1,985,000

1,945,300

Organon & Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.19%

06/02/28

429,667

421,074

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Pacific Dental Services, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.49%

05/05/28

987,500

954,177

Pathway Vet Alliance LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

03/31/27

2,445,749

2,167,545

Peraton Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

02/01/28

2,417,781

2,297,799

Perrigo Investments LLC,

Term Loan B, 1st Lien

(SOFR plus 2.60%)

5.37%

04/20/29

1,995,000

1,970,062

PetVet Care Centers LLC,

Term Loan B3, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/14/25

2,463,195

2,287,692

Phoenix Guarantor, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

03/05/26

1,968,769

1,875,695

Phoenix Newco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.07%

11/15/28

2,487,500

2,379,455

Pluto Acquisition I, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.08%

06/22/26

1,487,450

1,305,237

Pregis TopCo LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.81%

07/31/26

994,244

949,503

Premise Health Holding Corp.,

Term Loan, 1st Lien (Luxembourg)

(LIBOR plus 3.75%)

6.96%

07/10/25

2,104,976

2,041,826

Resonetics LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

6.81%

04/28/28

1,733,741

1,651,388

Sharp Midco LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

12/29/28

1,741,250

1,645,481

Surgery Center Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.51%

08/31/26

1,190,526

1,132,714

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

U.S. Renal Care, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

8.12%

06/26/26

768,545

558,514

53,715,657

Industrials — 12.68%

Alliance Laundry Systems, LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

5.96%

10/08/27

1,488,512

1,430,207

Anchor Packaging LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

7.12%

07/18/26

1,959,494

1,898,259

Arterrsa Services LLC,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

7.17%

03/06/25

1,481,250

1,213,884

ASP Blade Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.10%

10/13/28

1,241,176

1,093,476

AZZ, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.40%)

6.98% - 7.38%

05/11/29

451,101

440,387

BCPE Empire Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

7.12%

06/11/26

495,009

476,033

Brookfield WEC Holdings, Inc.,

Term Loan B2, 1st Lien

(SOFR plus 3.75%)

6.87%

08/01/25

1,000,000

977,970

Charter Next generation, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.56%

12/01/27

1,246,827

1,186,338

Clydesdale Acquisition Holdings, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.28%)

7.31%

04/13/29

1,496,250

1,415,625

Compass Power Generation LLC,

Term Loan B, 1st Lien

(SOFR plus 4.36%)

7.10%

04/14/29

925,508

891,236

Conserve Merger Sub, Inc.,

Term Loan, 1st Lien (France)

(LIBOR plus 3.50%)

6.18%

08/08/25

^2,3

1,920,000

1,796,794

Convergint Technologies,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.87%

03/31/28

493,766

461,519

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.07%

01/15/26

715,000

671,206

Dermatology Intermediate Holdings, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.25%)

6.85%

04/02/29

1,512,744

1,444,671

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

8.12%

08/02/27

1,820,000

1,699,998

DTI Holdco, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.75%)

7.33%

04/26/29

2,000,000

1,904,110

Eagle 4 Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.92%

07/12/28

496,169

480,106

Energizer Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

5.31%

12/22/27

1,482,475

1,421,323

Engineered Machinery Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

7.42%

05/19/28

487,491

469,819

Golden Entertainment, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.09%

10/21/24

1,125,000

1,116,141

Hyland Software, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

6.32%

07/01/24

746,114

724,432

Ingram Micro, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

06/30/28

987,500

964,047

Iridium Satellite LLC,

Term Loan B2, 1st Lien

(LIBOR plus 2.50%)

5.62%

11/04/26

1,231,506

1,200,466

KAMC Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

7.07%

08/14/26

^2,4,10

727,500

593,458

Liqui-Box Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

7.57%

02/26/27

977,500

880,727

Michaels Cos., Inc. (The),

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.92%

04/15/28

987,500

799,875

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Osmose Utilities Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.07%

06/23/28

989,981

911,095

Patriot Container Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

03/20/25

1,458,015

1,262,094

Peacock Merger Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.21%

12/29/28

1,488,750

1,373,372

Plaze, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.02%

08/03/26

1,755,779

1,615,317

(LIBOR plus 3.75%)

6.87%

08/03/26

491,250

451,950

Proampac PG Borrower LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.04% - 6.73%

03/11/25

1,910,923

1,799,611

Project Castle, Inc.,

Term Loan B, 1st Lien

(SOFR plus 5.50%)

7.98%

06/01/29

750,000

639,375

Protective Industrial Products, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

12/29/27

1,770,687

1,671,086

Refficiency Holdings LLC,

Delayed-Draw Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.87%

12/16/27

^2,11

21,975

21,141

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.87%

12/16/27

1,655,152

1,592,389

Spectrum Holdings III Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.07%

01/31/25

995,368

917,341

SPX FLOW, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.50%)

7.63%

04/05/29

1,000,000

928,750

Titan Acquisition, Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.88%

03/28/25

982,109

883,795

Transcendia Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

05/30/24

^2,4

2,410,248

1,807,686

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

5.92%

05/30/25

485,031

466,692

TricorBraun Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.37%

03/03/28

1,977,930

1,862,844

Vantage Elevator Solutions,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

7.32%

11/17/28

2,487,500

2,269,844

Wrench Group LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

7.67%

04/30/26

2,226,982

2,162,957

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

08/12/24

1,717,420

1,513,477

51,802,923

Information Technology — 16.00%

AppLovin Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.67%

10/25/28

497,500

479,466

(LIBOR plus 3.25%)

5.93%

08/15/25

736,607

715,124

AQA Acquisition Holding, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

6.77%

03/03/28

1,481,250

1,416,445

AthenaHealth Group, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.50%)

6.58%

02/15/29

^2,12

1,705,870

1,532,724

Azalea Topco, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.85%)

6.59%

07/24/26

497,500

454,591

Barracuda Parent LLC,

Term Loan, 1st Lien

(SOFR plus 3.50%)

7.77%

08/15/29

750,000

707,813

Bifm CA Buyer, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

6.62%

06/01/26

985,247

958,153

Caesars Resort Collection LLC,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

6.62%

07/21/25

560,556

553,630

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Castle U.S. Holding Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

01/29/27

979,167

794,349

Central Parent, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.50%)

6.61%

07/06/29

1,650,000

1,593,380

CHG Healthcare Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.37%

09/29/28

742,500

714,886

CT Technologies Intermediate Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.37%

12/16/25

1,617,020

1,494,732

DCert Buyer, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.00%)

6.90%

10/16/26

1,712,396

1,638,429

E2open LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.64%

02/04/28

977,544

938,442

EagleView Technology Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

08/14/25

2,687,342

2,495,452

Electron Bidco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

5.82%

11/01/28

995,000

945,340

Emerald Topco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.02%

07/24/26

1,468,592

1,340,090

Ensemble RCM LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.56%

08/03/26

978,576

957,175

EQT Box Merger Sub, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.50%)

6.08% - 6.53%

04/17/28

1,493,116

1,407,261

Gainwell Acquisition Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.96%

10/01/27

1,477,444

1,411,697

Imperva, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.92%

01/12/26

1,249,027

1,057,926

ION Analytics,

Term Loan, 1st Lien

(SOFR plus 4.15%)

7.70%

02/16/28

677,083

650,677

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Logmein, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

7.80%

08/31/27

2,466,174

1,723,708

Magenta Buyer LLC,

Term Loan, 1st Lien

(LIBOR plus 4.75%)

7.87%

07/27/28

1,985,000

1,798,410

Magenta Buyer, LLC,

Term Loan, 2nd Lien

(LIBOR plus 8.25%)

11.37%

07/27/29

446,493

412,260

MeridianLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.88%

11/10/28

990,000

949,162

Mitnick Corporate Purchaser, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.85%)

7.39%

05/02/29

2,000,000

1,892,500

Monotype Imaging Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

8.67%

10/09/26

1,485,000

1,414,462

NCR Corp.,

Delayed-Draw Term Loan B, 1st Lien

(LIBOR plus 3.75%)

5.62%

08/28/26

1,000,000

962,500

Northwest Fiber LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.74%

04/30/27

1,787,639

1,723,579

Nouryon USA LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

10/01/25

739,138

694,790

Pactiv Evergreen Group Holdings, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 3.50%)

6.62%

09/25/28

1,732,500

1,665,634

Panther Purchaser LP,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

7.31%

01/07/28

1,481,250

1,370,164

Playtika Holding Corp.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.57%

03/13/28

992,443

953,143

Precision Medicine Group LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.96%

11/18/27

²^,¹³

2,823,356

2,618,663

Pretium Packaging Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

6.28% - 7.17%

10/02/28

1,739,369

1,568,041

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Project Alpha Intermediate Holding, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

04/26/24

2,429,343

2,345,458

Project Boost Purchaser, LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.32%

06/01/26

1,488,491

1,418,316

Proofpoint, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.32%

08/31/28

1,491,244

1,404,043

RealPage, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.82%

04/24/28

1,981,241

1,861,267

Renaissance Learning, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.50%)

7.10%

03/30/29

1,496,250

1,438,891

Sitel Worldwide Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

08/28/28

490,025

475,861

Skillsoft Finance II, Inc.,

Term Loan B, 1st Lien

(SOFR plus 5.36%)

7.96%

07/14/28

1,179,352

1,012,474

Sophia LP,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

10/07/27

2,215,137

2,134,839

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.14%

03/04/28

1,965,000

1,731,656

Sunshine Software Merger Sub, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

10/16/28

1,491,253

1,260,109

Surf Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.67%

03/05/27

2,007,581

1,946,109

TIBCO Software, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.50%)

8.09%

03/30/29

150,000

134,973

Veeam Software,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.12%

02/28/27

1,726,643

1,677,002

VT Topco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

6.62%

08/01/25

1,689,900

1,642,895

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Zotec Partners LLC,

Term Loan B, 1st Lien (France)

(LIBOR plus 3.75%)

7.43%

02/14/24

932,344

897,381

65,386,072

Insurance — 1.73%

Acrisure LLC,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/15/27

2,952,077

2,707,291

AssuredPartners, Inc.,

Term Loan, 1st Lien

(SOFR plus 3.50%)

6.24%

02/12/27

1,244,373

1,180,991

Asurion LLC,

Term Loan B10, 1st Lien

(SOFR plus 4.10%)

6.77%

08/21/28

500,000

427,812

Term Loan B9, 1st Lien

(LIBOR plus 3.25%)

6.07%

07/31/27

1,236,832

1,046,979

Asurion, LLC,

Term Loan B4, 2nd Lien

(LIBOR plus 5.25%)

8.37%

01/20/29

1,000,000

770,000

Howden Group Holdings Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.38%

11/12/27

984,949

941,090

7,074,163

Materials — 3.23%

American Rock Salt Co. LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.82%

06/09/28

738,131

685,539

Cyanco Intermediate Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.10%)

6.62%

03/16/25

404,639

384,154

Geon Performance Solutions, LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

8.17%

08/18/28

1,188,000

1,150,875

Herens U.S. Holdco Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

07/03/28

525,248

471,672

ICP Group,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

12/29/27

1,477,500

1,159,217

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Materials (continued)

INEOS U.S. Finance LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

5.62%

11/08/28

497,500

469,100

INEOS U.S. Quattro LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

01/29/26

1,234,375

1,154,659

Iris Holdco, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.75%)

7.41% - 7.89%

06/28/28

1,000,000

922,000

LSF11 A5 HoldCo LLC,

Term Loan B, 1st Lien

(SOFR plus 3.61%)

6.36%

10/15/28

1,492,500

1,390,823

Lummus Technology Holdings V LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

06/30/27

1,375,853

1,251,167

Plaskolite PPC Intermediate II LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

6.81%

12/15/25

978,772

891,906

Polar U.S. Borrower LLC,

Term Loan, 1st Lien

(LIBOR plus 4.75%)

7.21%

10/15/25

544,322

444,532

Potters Borrower LP,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

6.96%

12/14/27

2,471,171

2,359,969

TMS International Corp.,

Term Loan B2, 1st Lien

(LIBOR plus 2.75%)

6.39%

08/14/24

498,385

467,236

13,202,849

Real Estate Investment Trust (REIT) — 0.93%

Aveanna Healthcare LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.80%

07/17/28

^2,14

1,606,415

1,298,184

Avison Young Canada, Inc.,

Term Loan, 1st Lien

(SOFR plus 5.75%)

8.67%

01/31/26

1,484,576

1,388,078

Rent-A-Center, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.06%

02/17/28

1,233,111

1,128,297

3,814,559

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Retail — 3.92%

American Airlines, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.75%)

7.46%

04/20/28

1,500,000

1,457,250

BC ULC,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 1.75%)

4.87%

11/19/26

^2,3

608,814

583,646

BCPE Empire Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

7.12%

06/11/26

1,213,267

1,158,160

BW Gas & Convenience Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

03/31/28

1,234,375

1,178,828

Curium Bidco SARL,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

6.25% - 7.92%

12/02/27

1,480,063

1,407,910

Term Loan B, 1st Lien (Canada)

(LIBOR plus 4.00%)

6.17%

07/09/26

979,798

940,606

Dave & Buster’s, Inc.,

Term Loan B, 1st Lien

(SOFR plus 5.00%)

7.88%

06/29/29

1,500,000

1,465,313

Harbor Freight Tools USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

10/19/27

493,719

448,605

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

03/01/27

811,326

772,597

LSF9 Atlantis Holdings, LLC,

Term Loan B, 1st Lien

(SOFR plus 7.25%)

10.80%

03/31/29

400,000

381,000

SRS Distribution, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.31%

06/02/28

742,500

687,276

(SOFR plus 3.50%)

6.18%

06/02/28

746,250

687,856

Staples, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 4.50%)

7.28%

09/12/24

301,720

284,562

Tacala Investment Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/05/27

1,172,491

1,098,583

Term Loan B, 2nd Lien

(LIBOR plus 7.50%)

10.62%

02/04/28

735,000

676,200

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Retail (continued)

Whatabrands LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

08/03/28

1,486,256

1,379,432

Woof Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.32%

12/21/27

1,489,918

1,411,697

16,019,521

Services — 8.32%

Adtalem Global Education, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.05%

08/12/28

604,415

599,508

Allied Universal Holdco LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.57%

05/12/28

1,183,268

1,043,495

Alterra Mountain Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

08/17/28

1,980,000

1,924,312

Amentum Government Services Holdings, LLC,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.21% - 7.56%

02/15/29

2,743,125

2,626,542

ArchKey Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.25%)

8.06% - 8.37%

06/29/28

495,000

457,875

Arcis Golf LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

7.07%

11/24/28

995,000

970,125

Confluent Medical Technologies, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.75%)

6.55%

02/16/29

1,243,750

1,175,344

CoreLogic, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.63%

06/02/28

2,227,500

1,687,331

Corp. Service Co.,

Term Loan B, 1st Lien

(SOFR plus 2.25%)

6.38%

08/09/29

1,675,000

1,637,312

Covanta Holding Corp.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

5.62%

11/30/28

925,662

899,961

Term Loan C, 1st Lien

(LIBOR plus 2.50%)

5.62%

11/30/28

69,686

67,752

Issues

Maturity

Date

Principal
Amount

Value

BANK LOANS (continued)

Services (continued)

Dodge Data & Analytics, LLC,

Term Loan, 1st Lien

(SOFR plus 4.75%)

7.58%

02/23/29

997,500

882,787

Element Materials Technology Group U.S. Holdings, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.25%)

7.28%

06/22/29

^2,15

1,026,316

968,586

Filtration Group Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

10/21/28

498,741

474,841

Lakeland Holdings LLC,

Term Loan, 1st Lien

(LIBOR plus 13.25%)

0.00%

09/25/27

^2,4,10

595,162

398,759

Lakeland Tours LLC,

Term Loan, 1st Lien

(EURIBOR plus 6.00%)

10.31%

09/25/25

^2,4,10

502,908

420,768

Madison IAQ LLC,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.31%

06/21/28

249,369

231,066

Mavenir Systems, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

7.71%

08/18/28

646,750

559,439

Med Parentco LP,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

7.37%

08/31/26

1,458,416

1,237,218

NAB Holdings, LLC,

Term Loan B, 1st Lien

(SOFR plus 3.15%)

5.95%

11/23/28

1,488,750

1,418,734

Olympus Water US Holding Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.75%

11/09/28

740,634

677,914

PowerTeam Services LLC,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.21%

03/06/25

147,333

121,255

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

10.92%

03/06/26

^2,4,10

880,000

522,720

Pre-Paid Legal Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.82%

12/15/28

2,487,500

2,368,573

Safe Fleet Holdings, LLC,

Term Loan, 1st Lien

(SOFR plus 3.85%)

6.93%

02/23/29

1,741,250

1,645,481

Issues

Maturity

Date

Principal
Amount

Value

BANK LOANS (continued)

Services (continued)

Technimark Holdings LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.74%

07/07/28

1,967,538

1,824,891

Trans Union LLC,

Term Loan B6, 1st Lien

(LIBOR plus 2.25%)

5.37%

12/01/28

497,121

482,521

Trugreen LP,

Term Loan B, 2nd Lien

(LIBOR plus 8.50%)

11.62%

11/02/28

500,000

450,000

TruGreen LP,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

11/02/27

1,987,361

1,884,684

University Support Services, LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

02/10/29

1,833,911

1,742,215

Vaco Holdings, LLC,

Term Loan B, 1st Lien

(SOFR plus 5.00%)

8.70%

01/19/29

987,513

962,825

Verscend Holding Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

08/27/25

987,415

960,261

WW International, Inc.,

Term Loan B, 1st Lien (France)

(LIBOR plus 3.50%)

6.62%

04/13/28

945,000

670,955

33,996,050

Transportation — 1.90%

Air Canada,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.42%

08/11/28

498,750

475,550

American Airlines, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

01/29/27

268,356

247,463

Kenan Advantage Group, Inc. (The),

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

10.37%

09/01/27

2,350,000

2,173,750

Kestrel Bidco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.99%

12/11/26

1,476,072

1,308,353

Ozark Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.57%

12/16/27

976,890

928,046



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Transportation (continued)
United Air,
Term Loan B, 1st Lien
(LIBOR plus 5.25%)
8.78%		06/21/27	²	$	950,000	$	956,617
United Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.53%		04/21/28	²		1,723,750		1,652,525

							7,742,304


Total Bank Loans
(Cost $385,659,747)							361,161,189


CORPORATES — 4.60%*

Automotive — 0.17%
Allison Transmission, Inc.
3.75%		01/30/31	¹		250,000		192,448
Ford Motor Credit Co. LLC
3.37%		11/17/23			500,000		483,750

							676,198


Banking — 0.77%
Bank of America Corp.
(MTN)
(LIBOR USD 3-Month plus 0.65%)
3.73%		12/01/26	²		2,600,000		2,410,736
Credit Suisse Group AG
(Switzerland)
2.59%		09/11/25	^1,3,16		250,000		227,657
HSBC Holdings PLC
(United Kingdom)
(LIBOR USD 3-Month plus 1.00%)
3.96%		05/18/24	^2,3		500,000		496,227

							3,134,620


Communications — 0.21%
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		4,353,000		871,906
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
8.50%					1,000,000		—

							871,906


Consumer Discretionary — 0.37%
WarnerMedia Holdings, Inc.
3.43%		03/15/24	¹		1,570,000		1,518,857


Energy — 0.05%
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	¹		250,000		222,860


Finance — 0.77%
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.55%)
3.55%		08/25/36	²		1,800,000		1,463,318
Goldman Sachs Group, Inc. (The)
3.27%		09/29/25	¹⁶		980,000		933,947



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3	$	750,000	$	745,725

							3,142,990


Food — 0.25%
Pilgrim’s Pride Corp.
3.50%		03/01/32	¹		1,350,000		1,019,789


Gaming — 0.05%
CDI Escrow Issuer, Inc.
5.75%		04/01/30	¹		250,000		218,821


Health Care — 0.38%
Centene Corp.
4.25%		12/15/27			250,000		229,206
Elanco Animal Health, Inc.
6.40%		08/28/28			250,000		221,947
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^1,3		250,000		193,994
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	¹		250,000		205,625
Prime Healthcare Services, Inc.
7.25%		11/01/25	¹		250,000		225,638
Tenet Healthcare Corp.
4.63%		09/01/24	¹		500,000		484,533

							1,560,943


Industrials — 0.55%
Berry Global, Inc.
4.88%		07/15/26	¹		250,000		235,318
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
3.39%		08/15/36	²		850,000		700,180
II-VI, Inc.
5.00%		12/15/29	¹		250,000		207,405
OT Merger Corp.
7.88%		10/15/29	¹		1,000,000		663,199
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^1,3		250,000		199,062
Trivium Packaging Finance BV
(Netherlands)
8.50%		08/15/27	^1,3		250,000		221,687

							2,226,851


Information Technology — 0.22%
Central Parent Inc/CDK Global, Inc.
7.25%		06/15/29	¹		250,000		238,200
NCR Corp.
5.13%		04/15/29	¹		250,000		187,640
NortonLifeLock, Inc.
6.75%		09/30/27	¹		500,000		481,931

							907,771

Issues

Maturity

Date

Principal
Amount

Value

CORPORATES (continued)

Insurance — 0.47%

Teachers Insurance & Annuity Association of America

4.38%

09/15/54

^1,16

2,000,000

1,917,723

Retail — 0.28%

Michaels Cos., Inc. (The)

7.88%

05/01/29

2,000,000

1,157,710

Services — 0.06%

GFL Environmental, Inc.

(Canada)

5.13%

12/15/26

^1,3

250,000

233,438

Total Corporates

(Cost $23,741,789)

18,810,477

Total Bonds — 93.52%

(Cost $411,581,568)

382,135,401

Issues

Shares

Value

COMMON STOCK — 0.06%

Communications — 0.06%

Intelsat Emergence SA^3,4,10,17

(Luxembourg)

9,662

265,705

Total Common Stock

(Cost $323,677)

RIGHTS — 0.00%

Communications — 0.00%

Intelsat Jackson Holdings SA, Series A^{†,3,4,10,17}

(Luxembourg)

1,011

—

Intelsat Jackson Holdings SA, Series B^{†,3,4,10,17}

(Luxembourg)

1,011

—

Total Rights

(Cost $–)

—

WARRANT — 0.01%

Entertainment — 0.01%

Cineworld Group PLC^3,17

(United Kingdom)

229,579

29,985

Total Warrant

(Cost $–)

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 4.39%

Money Market Funds — 4.39%

Dreyfus Government Cash Management Fund

2.75%¹⁹

8,672,000

Fidelity Investments Money Market Funds - Government

Portfolio

2.74%¹⁹

2,018,482



Issues	Maturity Date	Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
2.80%¹⁹			7,245,000	$	7,245,000


Total Short-Term Investments
(Cost $17,935,482)					17,935,482


Total Investments - 97.98%
(Cost $429,840,727)					400,366,573


Net unrealized depreciation on unfunded commitments - (0.05)%					(207,012	)

Cash and Other Assets, Less Liabilities - 2.07%					8,431,780

Net Assets - 100.00%				$	408,591,341

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign 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	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $172,744, at an interest rate of 7.03% and a maturity of July 31, 2028. The investment is not accruing an unused commitment fee.

⁶	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $43,895, at an interest rate of 7.67% and a maturity of September 15, 2028. 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 $292,105, at an interest rate of 7.31% and a maturity of June 09, 2028. The investment is not accruing an unused commitment fee.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $156,116, at an interest rate of 7.12% and a maturity of April 02, 2029. The investment is not accruing an unused commitment fee.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $231,664, at an interest rate of 6.87% and a maturity of November 13, 2025. The investment is accruing an unused commitment fee of 0.26% per annum.

¹⁰	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,201,410, which is 0.54% of total net assets.

¹¹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $290,449, at an interest rate of 6.87% and a maturity of December 16, 2027. The investment is accruing an unused commitment fee of 0.12% per annum.

¹²	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $260,435, at an interest rate of 6.77% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

¹³	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $119,862, at an interest rate of 6.31% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.12% per annum.

¹⁴	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $304,724, at an interest rate of 7.06% and a maturity of July 17, 2028. The investment is not accruing an unused commitment fee.

¹⁵	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $447,039, at an interest rate of 7.28% and a maturity of June 22, 2029. The investment is not accruing an unused commitment fee.

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 92.67%

BANK LOANS — 7.70%*

Communications — 0.34%

Diamond Sports Group, LLC,

Term Loan, 2nd Lien

(SOFR plus 3.35%)

5.95%

08/24/26

5,471,227

1,092,276

NEP/NCP Holdco, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 7.00%)

10.12%

10/19/26

875,000

798,875

1,891,151

Consumer Discretionary — 0.59%

ADMI Corp.,

Term Loan B2, 1st Lien

(LIBOR plus 3.38%)

6.49%

12/23/27

1,896,125

1,678,080

Naked Juice, LLC,

Term Loan, 2nd Lien

(SOFR plus 6.10%)

9.65%

01/24/30

1,741,000

1,599,544

3,277,624

Entertainment — 0.70%

Cineworld Finance U.S., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.00%

02/28/25

2,261,537

974,982

Crown Finance U.S., Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 7.00%)

7.00%

05/23/24

1,541,280

1,837,013

Term Loan, 1st Lien

(SOFR plus 9.00%)

13.27%

09/07/23

^1,2

1,024,775

1,046,839

3,858,834

Finance — 0.17%

Auris Lux III SA,

Term Loan B2, 1st Lien (Luxembourg)

(LIBOR plus 3.75%)

5.58%

02/27/26

^1,3

1,068,528

940,305

Health Care — 0.15%

eResearchTechnology, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

7.62%

02/04/27

854,698

799,600

Industrials — 2.28%

Clydesdale Acquisition Holdings, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.28%)

7.31%

04/13/29

2,194,500

2,076,249

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

8.12%

08/02/27

673,400

628,999

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Liqui-Box Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

7.57%

02/26/27

1,466,250

1,321,091

Plaze, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

08/03/26

2,289,753

2,106,573

Proampac PG Borrower LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.04% - 6.73%

03/11/25

2,580,831

2,430,498

SPX FLOW, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.50%)

7.63%

04/05/29

492,500

457,409

Titan Acquisition, Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.88%

03/28/25

908,830

817,851

Transcendia Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

05/30/24

^1,4

1,602,519

1,201,890

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

08/12/24

1,720,347

1,516,056

12,556,616

Information Technology — 1.11%

Central Parent, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.50%)

6.61%

07/06/29

1,245,000

1,202,278

CT Technologies Intermediate Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.37%

12/16/25

1,034,250

956,035

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.14%

03/04/28

2,701,875

2,381,027

TierPoint LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

05/05/26

1,690,955

1,607,118

6,146,458

Insurance — 0.13%

Asurion, LLC,

Term Loan B4, 2nd Lien

(LIBOR plus 5.25%)

8.37%

01/20/29

895,000

689,150



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Materials — 0.15%
Iris Holdco, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.75%)
7.41% - 7.89%		06/28/28	¹	$	915,000	$	843,630


Real Estate Investment Trust (REIT) — 0.19%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.80%		07/17/28	^1,5		1,265,052		1,022,320


Retail — 0.35%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
7.46%		04/20/28	¹		430,000		417,745
Staples, Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 4.50%)
7.28%		09/12/24	¹		398,969		376,280
Tacala Investment Corp.,
Term Loan B, 2nd Lien
(LIBOR plus 7.50%)
10.62%		02/04/28	¹		1,249,500		1,149,540

							1,943,565


Services — 0.87%
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
4.31%		08/01/27	¹		3,554,237		3,387,276
PowerTeam Services LLC,
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
10.92%		03/06/26	^1,4,6		2,402,000		1,426,788

							4,814,064


Transportation — 0.67%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
10.37%		09/01/27	¹		4,000,000		3,700,000


Total Bank Loans
(Cost $48,830,724)							42,483,317


CORPORATES — 84.97%*

Automotive — 2.58%
Allison Transmission, Inc.
3.75%		01/30/31	⁷		1,665,000		1,281,700
Ford Motor Credit Co. LLC
2.90%		02/16/28			2,000,000		1,581,084
3.09%		01/09/23			986,000		981,810
3.37%		11/17/23			10,000,000		9,675,000
3.63%		06/17/31			1,000,000		744,380

							14,263,974



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking — 1.53%
Bank of America Corp.,
Series RR
4.38%^8,9				$	2,040,000	$	1,655,948
Bank of New York Mellon Corp. (The),
Series I
3.75%^8,9					2,515,000		1,950,697
Credit Suisse Group AG
(Switzerland)
6.54%		08/12/33	^3,7,9		3,095,000		2,787,472
U.S. Bancorp
3.70%^8,9					2,695,000		2,033,489

							8,427,606


Communications — 16.45%
Altice France SA
(France)
5.13%		01/15/29	^3,7		1,628,000		1,216,930
5.50%		10/15/29	^3,7		4,679,000		3,526,704
8.13%		02/01/27	^3,7		2,414,000		2,169,583
Cable One, Inc.
4.00%		11/15/30	⁷		5,951,000		4,641,780
CCO Holdings LLC/CCO Holdings Capital Corp.
4.25%		02/01/31	⁷		2,121,000		1,642,586
4.50%		08/15/30	⁷		3,250,000		2,573,997
5.50%		05/01/26	⁷		4,025,000		3,816,344
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.25%		01/15/34	⁷		1,150,000		836,625
4.50%		06/01/33	⁷		6,409,000		4,761,426
4.75%		02/01/32	⁷		1,750,000		1,367,571
CommScope, Inc.
4.75%		09/01/29	⁷		3,494,000		2,867,386
6.00%		03/01/26	⁷		1,550,000		1,429,565
CSC Holdings LLC
3.38%		02/15/31	⁷		382,000		269,678
4.50%		11/15/31	⁷		2,000,000		1,505,246
5.38%		02/01/28	⁷		1,194,000		1,044,404
6.50%		02/01/29	⁷		1,250,000		1,105,956
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%		08/15/26	⁷		4,581,000		917,574
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%		08/15/27	⁷		1,504,000		1,300,490
DISH DBS Corp.
5.25%		12/01/26	⁷		3,105,000		2,549,583
7.38%		07/01/28			2,552,000		1,719,525
DISH Network Corp.
3.38%		08/15/26			5,120,000		3,535,360
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%		10/07/30	³		975,000		792,527
Gray Escrow II, Inc.
5.38%		11/15/31	⁷		3,546,000		2,783,780
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	^3,7		2,164,000		1,841,960



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
5.50%	08/01/23^{†,3,4,6,10,11}	$	6,350,000	$	—
8.50%	10/15/24^{†,3,4,6,7,10,11}		2,853,000		—
9.75%	07/15/25^{†,3,4,6,7,10,11}		4,051,000		—
Level 3 Financing, Inc.
3.63%	01/15/29⁷		4,985,000		3,698,701
3.88%	11/15/29⁷		2,224,000		1,756,629
4.25%	07/01/28⁷		1,375,000		1,075,635
Lumen Technologies, Inc.
4.00%	02/15/27⁷		1,300,000		1,105,736
4.50%	01/15/29⁷		5,800,000		4,103,500
5.38%	06/15/29⁷		720,000		536,745
National CineMedia LLC
5.75%	08/15/26		2,251,000		493,914
Netflix, Inc.
4.63%	05/15/29		900,000		826,478
Scripps Escrow II, Inc.
5.38%	01/15/31⁷		3,758,000		2,874,870
Scripps Escrow, Inc.
5.88%	07/15/27⁷		650,000		568,750
SES GLOBAL Americas Holdings, Inc.
5.30%	03/25/44⁷		1,680,000		1,291,510
Sinclair Television Group, Inc.
4.13%	12/01/30⁷		1,565,000		1,180,167
Sirius XM Radio, Inc.
3.13%	09/01/26⁷		2,705,000		2,379,048
3.88%	09/01/31⁷		2,042,000		1,588,104
T-Mobile USA, Inc.
2.63%	04/15/26		10,371,000		9,388,685
2.63%	02/15/29		777,000		642,102
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%	07/15/31^3,7		1,050,000		819,945
VZ Secured Financing BV
(Netherlands)
5.00%	01/15/32^3,7		3,458,000		2,644,485
Zayo Group Holdings, Inc.
4.00%	03/01/27⁷		4,483,000		3,608,187

					90,799,771


Consumer Discretionary — 3.32%
BAT Capital Corp.
5.28%	04/02/50		1,763,000		1,303,337
Everi Holdings, Inc.
5.00%	07/15/29⁷		833,000		689,141
Hilton Domestic Operating Co., Inc.
3.63%	02/15/32⁷		3,500,000		2,686,420
Primo Water Holdings, Inc.
4.38%	04/30/29⁷		2,942,000		2,397,409
Spectrum Brands, Inc.
3.88%	03/15/31⁷		2,850,000		1,946,616
Triton Water Holdings, Inc.
6.25%	04/01/29⁷		4,722,000		3,658,936



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
WarnerMedia Holdings, Inc.
5.14%	03/15/52⁷	$	5,935,000	$	4,320,231
Wyndham Hotels & Resorts, Inc.
4.38%	08/15/28⁷		1,477,000		1,300,851

					18,302,941


Consumer Products — 0.95%
Newell Brands, Inc.
4.88%	06/01/25		3,865,000		3,749,282
5.75%	04/01/46		1,560,000		1,222,790
Spectrum Brands, Inc.
5.00%	10/01/29⁷		350,000		283,938

					5,256,010


Electric — 0.52%
Pike Corp.
5.50%	09/01/28⁷		3,517,000		2,853,272


Energy — 7.84%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/28⁷		4,848,000		4,273,464
Energy Transfer LP,
Series B
6.63%^8,9			6,154,000		4,515,487
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		3,971,000		3,581,445
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/26⁷		2,173,000		1,937,097
Petroleos Mexicanos
(Mexico)
5.95%	01/28/31³		524,000		354,756
7.69%	01/23/50³		425,000		260,954
Rockies Express Pipeline LLC
4.80%	05/15/30⁷		650,000		538,622
6.88%	04/15/40⁷		2,984,000		2,441,479
Ruby Pipeline LLC
8.00%	04/01/22^4,6,7,10,11		4,309,545		3,598,470
SM Energy Co.
6.50%	07/15/28		1,907,000		1,817,801
Sunoco LP/Sunoco Finance Corp.
4.50%	04/30/30		1,393,000		1,140,811
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		3,139,000		2,699,540
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%	10/15/24^3,7		607,500		592,425
Transocean Proteus Ltd.
(Cayman Islands)
6.25%	12/01/24^3,7		2,992,500		2,818,726
Transocean Sentry Ltd.
(Cayman Islands)
5.38%	05/15/23^3,7		1,364,653		1,323,713
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%	04/01/26		1,639,000		1,510,462
6.88%	09/01/27		2,885,000		2,626,648



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Valaris Ltd.,
Series 1145, PIK
(Bermuda)
8.25%		04/30/28	^3,12	$	111,000	$	108,835
Venture Global Calcasieu Pass LLC
3.88%		11/01/33	⁷		1,275,000		1,011,234
4.13%		08/15/31	⁷		7,339,000		6,092,821

							43,244,790


Entertainment — 0.86%
Cinemark USA, Inc.
5.25%		07/15/28	⁷		3,655,000		2,841,763
Live Nation Entertainment, Inc.
4.75%		10/15/27	⁷		1,000,000		871,930
WMG Acquisition Corp.
3.75%		12/01/29	⁷		1,223,000		1,022,183

							4,735,876


Finance — 2.09%
American Express Co.,
Series D
3.55%^8,9					2,150,000		1,654,085
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^3,7		2,083,000		1,632,406
Charles Schwab Corp. (The)
5.00%^8,9					2,430,000		2,190,037
Citigroup, Inc.
3.79%		03/17/33	⁹		1,621,000		1,360,989
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/29	⁷		4,708,000		4,043,184
JPMorgan Chase & Co.,
Series KK
3.65%^8,9					805,000		653,911

							11,534,612


Food — 6.78%
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/26	⁷		1,250,000		795,928
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/31	^3,7		1,789,000		1,430,943
4.38%		02/02/52	^3,7		8,350,000		5,539,818
Kraft Heinz Foods Co.
4.25%		03/01/31			850,000		766,322
4.38%		06/01/46			1,643,000		1,281,415
5.00%		06/04/42			700,000		609,602
5.20%		07/15/45			6,650,000		5,798,022
Nathan’s Famous, Inc.
6.63%		11/01/25	⁷		512,000		492,160
Pilgrim’s Pride Corp.
3.50%		03/01/32	⁷		12,431,000		9,390,369
5.88%		09/30/27	⁷		1,896,000		1,845,484
Post Holdings, Inc.
5.75%		03/01/27	⁷		5,205,000		4,983,787



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Food (continued)
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/29	⁷	$	2,274,000	$	1,860,841
TreeHouse Foods, Inc.
4.00%		09/01/28			3,266,000		2,608,538

							37,403,229


Gaming — 1.34%
Boyd Gaming Corp.
4.75%		06/15/31	⁷		1,000,000		814,700
Caesars Entertainment, Inc.
4.63%		10/15/29	⁷		3,525,000		2,707,573
8.13%		07/01/27	⁷		542,000		518,916
Penn Entertainment, Inc.
4.13%		07/01/29	⁷		4,325,000		3,359,236

							7,400,425


Health Care — 15.82%
1375209 BC Ltd.
(Canada)
9.00%		01/30/28	^3,7		977,093		974,651
180 Medical, Inc.
3.88%		10/15/29	⁷		1,613,000		1,344,387
Bausch Health Cos., Inc.
(Canada)
11.00%		09/30/28	^3,7		1,733,241		1,403,925
14.00%		10/15/30	^3,7		342,224		188,223
Cano Health LLC
6.25%		10/01/28	⁷		4,067,000		3,850,087
Catalent Pharma Solutions, Inc.
3.13%		02/15/29	⁷		725,000		559,936
3.50%		04/01/30	⁷		4,060,000		3,198,427
5.00%		07/15/27	⁷		1,921,000		1,715,790
Centene Corp.
2.45%		07/15/28			7,675,000		6,253,643
2.63%		08/01/31			2,500,000		1,906,250
3.00%		10/15/30			865,000		686,871
4.25%		12/15/27			8,170,000		7,490,460
Embecta Corp.
6.75%		02/15/30	⁷		4,174,000		3,903,056
Encompass Health Corp.
4.63%		04/01/31			3,940,000		3,128,176
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^3,7		3,140,000		2,436,562
HCA, Inc.
3.50%		09/01/30			4,000,000		3,311,580
5.38%		02/01/25			1,500,000		1,482,903
5.63%		09/01/28			1,088,000		1,045,568
5.88%		02/01/29			5,249,000		5,140,503
7.69%		06/15/25			1,650,000		1,715,868
HCA, Inc.
(MTN)
7.58%		09/15/25			1,650,000		1,713,136
Medline Borrower LP
3.88%		04/01/29	⁷		3,300,000		2,653,348



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	⁷	$	2,169,000	$	1,763,704
ModivCare, Inc.
5.88%		11/15/25	⁷		625,000		577,587
Molina Healthcare, Inc.
3.88%		11/15/30	⁷		12,477,000		10,488,977
3.88%		05/15/32	⁷		2,566,000		2,110,258
4.38%		06/15/28	⁷		445,000		402,140
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	⁷		3,950,000		3,248,875
Prestige Brands, Inc.
3.75%		04/01/31	⁷		4,246,000		3,303,197
Prime Healthcare Services, Inc.
7.25%		11/01/25	⁷		4,053,000		3,658,035
Teleflex, Inc.
4.25%		06/01/28	⁷		2,609,000		2,274,644
Tenet Healthcare Corp.
4.63%		07/15/24			625,000		605,060
4.63%		09/01/24	⁷		2,850,000		2,761,835

							87,297,662


Industrials — 4.63%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%		08/15/27	^3,7		6,330,000		4,056,707
Artera Services LLC
9.03%		12/04/25	⁷		3,484,000		2,810,034
Ball Corp.
3.13%		09/15/31			6,897,000		5,189,082
Energizer Holdings, Inc.
4.38%		03/31/29	⁷		2,176,000		1,642,880
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
3.39%		08/15/36	¹		1,300,000		1,070,863
Graham Packaging Co., Inc.
7.13%		08/15/28	⁷		3,286,000		2,667,688
Graphic Packaging International LLC
4.13%		08/15/24			3,150,000		3,031,875
II-VI, Inc.
5.00%		12/15/29	⁷		622,000		516,024
OT Merger Corp.
7.88%		10/15/29	⁷		4,618,000		3,062,653
TransDigm, Inc.
5.50%		11/15/27			400,000		348,197
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/26	^3,7		556,000		498,003
8.50%		08/15/27	^3,7		746,000		661,516

							25,555,522


Information Technology — 2.84%
Booz Allen Hamilton, Inc.
4.00%		07/01/29	⁷		2,816,000		2,417,097
MSCI, Inc.
3.63%		09/01/30	⁷		2,020,000		1,664,666



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Information Technology (continued)
3.63%		11/01/31	⁷	$	1,190,000	$	956,295
NCR Corp.
5.13%		04/15/29	⁷		3,717,000		2,789,824
5.25%		10/01/30	⁷		3,279,000		2,480,719
5.75%		09/01/27	⁷		1,940,000		1,762,466
6.13%		09/01/29	⁷		650,000		560,755
NortonLifeLock, Inc.
6.75%		09/30/27	⁷		1,500,000		1,445,793
Science Applications International Corp.
4.88%		04/01/28	⁷		1,795,000		1,614,453

							15,692,068


Insurance — 1.31%
Acrisure LLC/Acrisure Finance, Inc.
6.00%		08/01/29	⁷		3,540,000		2,743,500
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
4.25%		10/15/27	⁷		650,000		560,625
6.75%		10/15/27	⁷		1,590,000		1,381,710
AmWINS Group, Inc.
4.88%		06/30/29	⁷		250,000		209,517
AssuredPartners, Inc.
5.63%		01/15/29	⁷		3,017,000		2,348,704

							7,244,056


Materials — 4.08%
ASP Unifrax Holdings, Inc.
5.25%		09/30/28	⁷		1,971,000		1,519,684
7.50%		09/30/29	⁷		2,579,000		1,705,363
ATI, Inc.
5.13%		10/01/31			295,000		241,900
Axalta Coating Systems, LLC
3.38%		02/15/29	⁷		3,451,000		2,706,509
Cheever Escrow Issuer LLC
7.13%		10/01/27	⁷		1,385,000		1,251,245
Clearwater Paper Corp.
4.75%		08/15/28	⁷		2,671,000		2,346,279
EverArc Escrow SARL
(Luxembourg)
5.00%		10/30/29	^3,7		3,490,000		2,824,457
Herens Holdco SARL
(Luxembourg)
4.75%		05/15/28	^3,7		3,474,000		2,844,811
SCIH Salt Holdings, Inc.
4.88%		05/01/28	⁷		272,000		225,760
SCIL IV LLC/SCIL USA Holdings LLC
5.38%		11/01/26	⁷		1,189,000		925,737
Valvoline, Inc.
3.63%		06/15/31	⁷		5,502,000		4,059,867
WR Grace Holdings, LLC
5.63%		08/15/29	⁷		2,450,000		1,843,625

							22,495,237


Real Estate Investment Trust (REIT) — 2.32%
American Assets Trust LP
3.38%		02/01/31			3,431,000		2,737,064



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
GLP Capital LP/GLP Financing II, Inc.
5.75%		06/01/28		$	1,650,000	$	1,548,671
Iron Mountain Information Management Services, Inc.
5.00%		07/15/32	⁷		2,023,000		1,577,940
Iron Mountain, Inc.
4.50%		02/15/31	⁷		257,000		199,633
5.25%		07/15/30	⁷		1,040,000		864,791
VICI Properties LP/VICI Note Co., Inc.
3.88%		02/15/29	⁷		295,000		248,096
4.63%		06/15/25	⁷		2,990,000		2,818,672
5.75%		02/01/27	⁷		3,000,000		2,830,254

							12,825,121


Retail — 4.23%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%		10/15/30	^3,7		2,350,000		1,862,563
Asbury Automotive Group, Inc.
4.63%		11/15/29	⁷		942,000		757,716
5.00%		02/15/32	⁷		2,124,000		1,647,817
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/29	⁷		3,700,000		3,089,500
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%		01/15/30	⁷		4,869,000		3,712,613
FirstCash, Inc.
5.63%		01/01/30	⁷		2,000,000		1,712,361
Michaels Cos., Inc. (The)
7.88%		05/01/29	⁷		3,171,000		1,835,549
Papa John’s International, Inc.
3.88%		09/15/29	⁷		2,400,000		1,929,178
Sonic Automotive, Inc.
4.88%		11/15/31	⁷		3,441,000		2,610,664
Yum! Brands, Inc.
3.88%		11/01/23			4,215,000		4,162,312

							23,320,273


Services — 4.48%
Adtalem Global Education, Inc.
5.50%		03/01/28	⁷		1,809,000		1,634,490
Carriage Services, Inc.
4.25%		05/15/29	⁷		2,100,000		1,678,595
Gartner, Inc.
3.63%		06/15/29	⁷		2,071,000		1,736,381
Global Payments, Inc.
5.30%		08/15/29			950,000		894,820
HealthEquity, Inc.
4.50%		10/01/29	⁷		1,000,000		846,039
Hertz Corp. (The)
4.63%		12/01/26	⁷		2,126,000		1,732,690
5.00%		12/01/29	⁷		2,050,000		1,534,937
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%		08/31/27	⁷		3,588,000		3,022,983
Rent-A-Center, Inc.
6.38%		02/15/29	⁷		4,111,000		3,227,135



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Services (continued)
WASH Multifamily Acquisition, Inc.
5.75%		04/15/26	⁷	$	2,968,000	$	2,741,797
Waste Pro USA, Inc.
5.50%		02/15/26	⁷		6,420,000		5,647,385

							24,697,252

Transportation — 1.00%
Delta Air Lines, Inc./SkyMiles IP Ltd.
(Canada)
4.75%		10/20/28	^3,7		1,510,000		1,408,412
Mileage Plus Holdings LLC/Mileage Plus Intellectual
Property Assets Ltd.
6.50%		06/20/27	⁷		2,100,450		2,059,662
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			724,622		717,795
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			1,360,838		1,324,507

							5,510,376


Total Corporates
(Cost $539,043,397)							468,860,073


Total Bonds — 92.67%
(Cost $587,874,121)							511,343,390



Issues				Shares		Value
COMMON STOCK — 1.20%

Communications — 0.62%
Intelsat Emergence SA^3,4,6,10
(Luxembourg)					125,435		3,449,463


Electric — 0.00%
Homer City Holdings LLC^†,4,6,13					502,908		—


Energy — 0.14%
Valaris Ltd.¹⁰					15,493		758,227


Transportation — 0.44%
Hertz Global Holdings, Inc.¹⁰					150,000		2,442,000


Total Common Stock
(Cost $33,622,933)							6,649,690


RIGHTS — 0.00%

Communications — 0.00%
Intelsat Jackson Holdings SA, Series
A^†,3,4,6,10
(Luxembourg)					13,135		—
Intelsat Jackson Holdings SA, Series
B^†,3,4,6,10
(Luxembourg)					13,135		—

							—


Total Rights
(Cost $–)							—

Issues

Shares

Value

WARRANT — 0.01%

Communications — 0.00%

Intelsat Jackson Holdings SA,^3,4,6,10

(Luxembourg)

Entertainment — 0.01%

Cineworld Group PLC^3,10

(United Kingdom)

288,340

37,659

Total Warrant

(Cost $60)

37,699

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 0.53%

Money Market Funds — 0.53%

Dreyfus Government Cash Management Fund

2.75%¹⁴

819,000

Fidelity Investments Money Market Funds - Government Portfolio

2.74%¹⁴

290,581

Morgan Stanley Institutional Liquidity Funds - Government Portfolio

2.80%¹⁴

1,801,000

Total Short-Term Investments

(Cost $2,910,581)

2,910,581

Total Investments - 94.41%

(Cost $624,407,695)

520,941,360

Net unrealized depreciation on unfunded commitments - (0.01)%

(51,845

)

Cash and Other Assets, Less Liabilities - 5.60%

30,885,638

Net Assets - 100.00%

551,775,153

¹	Floating rate security. The rate disclosed was in effect at September 30, 2022.

²	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $87,970, at an interest rate of 13.27% and a maturity of September 07, 2023. The investment is not accruing an unused commitment fee.

³	Foreign 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	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $239,970, at an interest rate of 7.06% and a maturity of July 17, 2028. The investment is not accruing an unused commitment fee.

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $8,474,761, which is 1.54% of total net assets.

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	Perpetual security with no stated maturity date.

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	Non-income producing security.

¹¹	Security is currently in default with regard to scheduled interest or principal payments.

¹²	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 8.25% cash or 12.00% payment-in-kind interest.

¹³	Affiliated investment.

¹⁴	Represents the current yield as of September 30, 2022.

^†	Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved by the Board of Trustees. See Notes to Financial Statements.

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

(EMTN): Euro Medium-Term Note

(EUR): Euro

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PIK): Payment In Kind

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

Issues

Maturity

Date

Principal

Amount

Value

BONDS – 104.95%

ASSET-BACKED SECURITIES — 5.79%**

Academic Loan Funding Trust,

Series 2012-1A, Class A2

(LIBOR USD 1-Month plus 1.10%)

4.18%

12/27/44

^1,2

483,818

475,568

AIG CLO Ltd.,

Series 2019-2A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.38%

10/25/33

^1,2,3

2,200,000

2,083,136

AMMC CLO 19 Ltd.,

Series 2016-19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

3.65%

10/16/28

^1,2,3

290,519

288,645

Barings CLO Ltd.,

Series 2013-IA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.51%

01/20/28

^1,2,3

954,207

940,467

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

3.64%

01/25/35

^1,2

212,761

211,775

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

4.20%

02/25/35

642,567

639,457

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

3.80%

02/25/30

6,414

6,403

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

3.78%

10/27/36

1,011,416

1,002,880

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.91%

10/25/34

^1,2,3

2,000,000

1,923,000

CIT Education Loan Trust,

Series 2007-1, Class A

(LIBOR USD 3-Month plus 0.09%)

3.73%

03/25/42

^1,2

175,832

166,178

CoreVest American Finance Trust,

Series 2019-1, Class XA (IO)

2.44%

03/15/52

^1,4

873,652

37,279

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.41%

04/15/29

^1,2,3

1,625,571

1,600,651

Global SC Finance II SRL,

Series 2014-1A, Class A2

(Barbados)

3.09%

07/17/29

^1,3

305,219

295,561

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

4.05%

05/25/34

^1,2

284,761

284,484

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

351,762

319,088

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

664,172

591,545

LCM XVIII LP,

Series 19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

3.75%

07/15/27

^1,2,3

14,478

14,389

LCM XX LP,

Series 20A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.04%)

3.75%

10/20/27

^1,2,3

623,674

618,123

Navient Student Loan Trust,

Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.51%)

3.59%

06/25/31

516,045

501,428

Navient Student Loan Trust,

Series 2014-3, Class A

(LIBOR USD 1-Month plus 0.62%)

3.70%

03/25/83

1,390,549

1,342,630

Navient Student Loan Trust,

Series 2014-4, Class A

(LIBOR USD 1-Month plus 0.62%)

3.70%

03/25/83

1,254,701

1,211,360

Navient Student Loan Trust,

Series 2016-2A, Class A3

(LIBOR USD 1-Month plus 1.50%)

4.58%

06/25/65

^1,2

1,535,036

1,540,098

Nelnet Student Loan Trust,

Series 2014-4A, Class A2

(LIBOR USD 1-Month plus 0.95%)

4.03%

11/25/48

^1,2

1,370,000

1,346,359

Neuberger Berman CLO XX Ltd.,

Series 2015-20A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

3.67%

07/15/34

^1,2,3

2,140,000

2,049,005

OCP CLO Ltd.,

Series 2020-19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.86%

10/20/34

^1,2,3

1,850,000

1,769,098

Octagon Investment Partners 46 Ltd.,

Series 2020-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

3.67%

07/15/36

^1,2,3

2,000,000

1,914,000

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Progress Residential Trust,

Series 2021-SFR8, Class D

2.08%

10/17/38

1,150,000

971,692

Recette CLO Ltd.,

Series 2015-1A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.79%

04/20/34

^1,2,3

1,875,000

1,792,969

Regata XII Funding Ltd.,

Series 2019-1A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.11%

10/15/32

^1,2,3

2,100,000

1,942,756

Rockford Tower CLO Ltd.,

Series 2019-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.10%)

4.08%

08/20/32

^1,2,3

2,000,000

1,935,640

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

05/10/37

^4,5,6

2,097,892

1,847,292

SLC Student Loan Trust,

Series 2004-1, Class B

(LIBOR USD 3-Month plus 0.29%)

3.20%

08/15/31

97,661

89,790

SLC Student Loan Trust,

Series 2008-1, Class A4A

(LIBOR USD 3-Month plus 1.60%)

4.89%

12/15/32

192,728

192,710

SLM Student Loan Trust,

Series 2004-2, Class B

(LIBOR USD 3-Month plus 0.47%)

3.25%

07/25/39

128,301

118,955

SLM Student Loan Trust,

Series 2006-8, Class A6

(LIBOR USD 3-Month plus 0.16%)

2.94%

01/25/41

891,636

852,179

SLM Student Loan Trust,

Series 2008-2, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

01/25/83

185,000

155,517

SLM Student Loan Trust,

Series 2008-3, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

04/26/83

185,000

169,255

SLM Student Loan Trust,

Series 2008-4, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

04/25/73

185,000

178,611

SLM Student Loan Trust,

Series 2008-5, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/25/73

2,235,000

2,183,623

SLM Student Loan Trust,

Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

3.88%

07/25/23

1,597,083

1,567,705

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust,

Series 2008-6, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

185,000

173,619

SLM Student Loan Trust,

Series 2008-7, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

185,000

163,442

SLM Student Loan Trust,

Series 2008-8, Class B

(LIBOR USD 3-Month plus 2.25%)

5.03%

10/25/75

185,000

178,239

SLM Student Loan Trust,

Series 2008-9, Class A

(LIBOR USD 3-Month plus 1.50%)

4.28%

04/25/23

542,879

537,930

SLM Student Loan Trust,

Series 2008-9, Class B

(LIBOR USD 3-Month plus 2.25%)

5.03%

10/25/83

1,885,000

1,879,090

SLM Student Loan Trust,

Series 2009-3, Class A

(LIBOR USD 1-Month plus 0.75%)

3.83%

01/25/45

^1,2

2,363,485

2,297,258

SLM Student Loan Trust,

Series 2011-2, Class A2

(LIBOR USD 1-Month plus 1.20%)

4.28%

10/25/34

411,259

409,123

SLM Student Loan Trust,

Series 2012-7, Class A3

(LIBOR USD 1-Month plus 0.65%)

3.73%

05/26/26

533,666

512,934

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/46

430,032

437,229

Student Loan Consolidation Center Student Loan Trust I,

Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^1,2

500,000

461,496

Vantage Data Centers Issuer LLC,

Series 2018-2A, Class A2

4.20%

11/15/43

2,019,500

1,987,843

Velocity Commercial Capital Loan Trust,

Series 2019-1, Class A

3.76%

03/25/49

^1,4

2,109,530

1,993,015

Total Asset-Backed Securities

(Cost $50,506,945)

48,202,519

BANK LOANS — 1.33%*

Automotive — 0.02%

Clarios Global LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

04/30/26

169,042

160,414

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Communications — 0.13%

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.37%

03/15/27

563,653

514,204

Charter Communications Operating LLC,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

4.87%

02/01/27

97,243

93,798

CSC Holdings LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

5.32%

04/15/27

98,237

92,159

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.12%

03/09/27

400,395

336,534

(SOFR plus 4.25%)

7.28%

03/09/27

63,633

55,623

1,092,318

Consumer Discretionary — 0.03%

AI Aqua Merger Sub, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

07/31/28

^2,7

59,104

55,133

Naked Juice, LLC,

Term Loan, 1st Lien (Luxembourg)

(SOFR plus 3.35%)

6.15%

01/24/29

89,139

82,106

Sunshine Luxembourg VII SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

10/01/26

84,929

79,244

216,483

Electric — 0.02%

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.74% - 4.87%

12/31/25

135,782

131,454

Finance — 0.06%

Deerfield Dakota Holding LLC,

Term Loan B, 1st Lien

(SOFR plus 3.75%)

6.78%

04/09/27

130,526

123,456

Mozart Borrower, LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

10/23/28

99,500

91,680

Setanta Aircraft Leasing DAC,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.67%

11/05/28

275,000

269,156

484,292

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Food — 0.02%

Hostess Brands LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.06% - 5.37%

08/03/25

167,370

162,271

Gaming — 0.07%

Caesars Resort Collection LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

12/23/24

167,421

163,845

Golden Nugget, LLC,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

01/26/29

60,260

56,073

Penn National Gaming, Inc.,

Term Loan B, 1st Lien

(SOFR plus 2.85%)

5.88%

05/03/29

47,361

45,645

Scientific Games International, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.00%)

5.91%

04/13/29

318,452

310,172

575,735

Health Care — 0.16%

Avantor Funding, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

5.06%

11/08/27

283,375

276,601

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.76%

01/15/25

52,744

51,617

Bausch & Lomb Corp.,

Term Loan B, 1st Lien

(SOFR plus 3.35%)

6.10%

05/10/27

33,426

31,159

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(PRIME plus 1.50%)

6.39%

03/01/24

202,532

202,167

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.12%

11/15/27

92,556

88,063

Horizon Therapeutics USA, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

4.88%

03/15/28

279,730

269,328

Jazz Financing Lux SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

05/05/28

368,609

356,991

Peraton Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

02/01/28

62,461

59,361

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Health Care (continued)

PetVet Care Centers LLC,

Term Loan B3, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/14/25

35,318

32,802

1,368,089

Industrials — 0.20%

AZZ, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.40%)

7.00%

05/11/29

24,058

23,486

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

4.18%

07/01/26

909,899

883,089

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

8.12%

08/02/27

373,100

348,500

II-VI, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.31%

07/02/29

35,672

34,632

Ingram Micro, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

06/30/28

67,845

66,234

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

5.92%

05/30/25

289,790

278,833

Term Loan F, 1st Lien

(LIBOR plus 2.25%)

5.92%

12/09/25

39,520

37,960

1,672,734

Information Technology — 0.21%

AthenaHealth Group, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.50%)

6.58%

02/15/29

^2,8

33,031

29,679

Central Parent, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.50%)

6.61%

07/06/29

227,633

219,821

Entegris, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.00%)

5.60% - 6.03%

07/06/29

130,000

129,278

Gainwell Acquisition Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.96%

10/01/27

198,987

190,132

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Mitnick Corporate Purchaser, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.85%)

7.39%

05/02/29

41,500

39,269

NCR Corp.,

Delayed-Draw Term Loan B, 1st Lien

(LIBOR plus 3.75%)

5.62%

08/28/26

199,485

192,005

NortonLifeLock, Inc.,

Term Loan B, 1st Lien

(SOFR plus 2.10%)

4.85%

09/12/29

530,000

510,655

Prime Security Services Borrower LLC,

Term Loan B1, 1st Lien

(LIBOR plus 2.75%)

5.30%

09/23/26

99,964

97,051

Proofpoint, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.32%

08/31/28

22,412

21,102

RealPage, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.82%

04/24/28

41,395

38,889

Sophia LP,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

10/07/27

89,069

85,840

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.14%

03/04/28

228,817

201,645

1,755,366

Insurance — 0.04%

Acrisure LLC,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/15/27

248,092

227,520

Asurion LLC,

Term Loan B8, 1st Lien

(LIBOR plus 3.25%)

6.07%

12/23/26

60,815

51,731

HUB International Ltd.,

Term Loan B3, 1st Lien

(LIBOR plus 3.25%)

5.98%

04/25/25

85,876

82,887

362,138

Retail — 0.17%

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

03/01/27

988,069

940,903

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Retail (continued)

Whatabrands LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

08/03/28

471,438

437,553

1,378,456

Services — 0.19%

Amentum Government Services Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67% - 8.17%

01/29/27

286,202

274,277

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.31%

08/01/27

631,201

601,550

Element Materials Technology Group U.S. Holdings, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.25%)

7.28%

06/22/29

^2,9

42,657

40,257

Pre-Paid Legal Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.82%

12/15/28

96,269

91,667

Safe Fleet Holdings, LLC,

Term Loan, 1st Lien

(SOFR plus 3.85%)

6.93%

02/23/29

27,593

26,075

Trans Union LLC,

Term Loan B6, 1st Lien

(LIBOR plus 2.25%)

5.37%

12/01/28

399,355

387,626

TruGreen LP,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

11/02/27

187,628

177,934

1,599,386

Transportation — 0.01%

American Airlines, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

01/29/27

51,722

47,695

United Airlines, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.53%

04/21/28

39,154

37,536

85,231

Total Bank Loans

(Cost $11,322,738)

11,044,367

CORPORATES — 32.98%*

Automotive — 0.10%

General Motors Co.

4.88%

10/02/23

845,000

841,985



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking — 6.82%
Bank of America Corp.
1.73%		07/22/27	⁴	$	2,605,000	$	2,235,921
2.30%		07/21/32	⁴		1,420,000		1,064,997
2.57%		10/20/32	⁴		215,000		164,688
2.69%		04/22/32	⁴		250,000		194,978
3.00%		12/20/23	⁴		1,000,000		994,813
3.37%		01/23/26	⁴		605,000		573,051
Bank of America Corp.
(GMTN)
3.59%		07/21/28	⁴		860,000		777,034
Bank of America Corp.
(MTN)
1.92%		10/24/31	⁴		900,000		666,567
2.09%		06/14/29	⁴		2,355,000		1,916,039
2.46%		10/22/25	⁴		1,120,000		1,049,122
3.09%		10/01/25	⁴		152,000		144,475
3.38%		04/02/26	⁴		315,000		298,084
3.97%		03/05/29	⁴		1,540,000		1,392,908
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		3,425,000		2,780,188
2.59%		09/11/25	^1,3,4		370,000		336,932
3.09%		05/14/32	^1,3,4		750,000		527,764
3.87%		01/12/29	^1,3,4		145,000		118,641
6.44%		08/11/28	^1,3,4		3,215,000		2,997,270
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,4		2,485,000		2,269,396
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	^3,4		1,730,000		1,447,779
2.01%		09/22/28	^3,4		2,425,000		1,951,857
2.21%		08/17/29	^3,4		1,195,000		929,958
2.80%		05/24/32	^3,4		435,000		320,247
2.87%		11/22/32	^3,4		285,000		208,357
4.76%		06/09/28	^3,4		475,000		436,319
5.21%		08/11/28	^3,4		765,000		716,853
ING Groep NV
(Netherlands)
4.02%		03/28/28	^3,4		1,795,000		1,632,947
JPMorgan Chase & Co.
0.97%		06/23/25	⁴		755,000		699,135
1.58%		04/22/27	⁴		1,035,000		896,144
3.22%		03/01/25	⁴		1,910,000		1,849,470
3.96%		01/29/27	⁴		50,000		47,226
4.02%		12/05/24	⁴		910,000		895,896
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,4		875,000		872,907
3.87%		07/09/25	^3,4		3,020,000		2,913,505
4.72%		08/11/26	^3,4		1,365,000		1,313,135
Macquarie Group Ltd.
(Australia)
1.20%		10/14/25	^1,3,4		1,760,000		1,603,371
1.34%		01/12/27	^1,3,4		1,660,000		1,422,471
4.44%		06/21/33	^1,3,4		265,000		227,569



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,4	$	385,000	$	374,365
4.52%		06/25/24	^3,4		1,165,000		1,151,540
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	^3,4		1,575,000		1,455,750
1.53%		08/21/26	^3,4		155,000		134,531
1.67%		06/14/27	^3,4		435,000		361,126
2.47%		01/11/28	^3,4		1,245,000		1,037,883
4.80%		11/15/24	^3,4		1,730,000		1,706,721
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	^1,3		330,000		327,416
Wells Fargo & Co.
2.19%		04/30/26	⁴		305,000		278,815
Wells Fargo & Co.
(MTN)
2.39%		06/02/28	⁴		9,400,000		8,072,892
3.53%		03/24/28	⁴		1,140,000		1,035,340

							56,824,393


Communications — 2.84%
AT&T, Inc.
2.55%		12/01/33			4,887,000		3,628,535
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%		08/15/30	¹		400,000		316,800
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.50%		06/01/33	¹		1,800,000		1,337,270
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%		02/01/32			825,000		589,408
Charter Communications Operating, LLC/Charter
Communications Operating Capital
4.40%		04/01/33			1,615,000		1,335,928
Cox Communications, Inc.
2.60%		06/15/31	¹		705,000		548,363
CSC Holdings LLC
5.38%		02/01/28	¹		65,000		56,856
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		1,007,000		201,702
Fox Corp.
3.50%		04/08/30			1,500,000		1,288,469
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%		10/07/30	³		925,000		751,885
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	^1,3		2,108,000		1,794,294
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
8.50%		10/15/24	^{†,1,3,5,6,10,11}		1,003,000		—
9.75%		07/15/25	^{†,1,3,5,6,10,11}		585,000		—



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Level 3 Financing, Inc.
3.88%		11/15/29	¹	$	1,210,000	$	955,720
Lumen Technologies, Inc.
5.38%		06/15/29	¹		275,000		205,007
Netflix, Inc.
4.63%		05/15/29			720,000		661,182
Paramount Global
4.20%		05/19/32			500,000		405,920
SES GLOBAL Americas Holdings, Inc.
5.30%		03/25/44	¹		750,000		576,567
SES SA
(Luxembourg)
3.60%		04/04/23	^1,3		1,500,000		1,482,312
Sprint Corp.
7.88%		09/15/23			65,000		65,772
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		734,375		724,247
5.15%		03/20/28	¹		1,785,000		1,748,199
Tencent Holdings Ltd.
(Cayman Islands)
2.88%		04/22/31	^1,3		1,210,000		979,206
T-Mobile USA, Inc.
2.25%		02/15/26			700,000		627,405
2.55%		02/15/31			740,000		586,951
3.75%		04/15/27			2,275,000		2,103,898
3.88%		04/15/30			800,000		710,102

							23,681,998


Consumer Discretionary — 1.85%
Anheuser-Busch InBev Worldwide, Inc.
4.38%		04/15/38			725,000		620,751
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		1,045,000		1,002,943
BAT Capital Corp.
2.73%		03/25/31			555,000		410,876
3.46%		09/06/29			1,570,000		1,280,229
3.56%		08/15/27			550,000		483,242
4.39%		08/15/37			830,000		593,357
BAT International Finance PLC
(United Kingdom)
1.67%		03/25/26	³		330,000		285,625
Constellation Brands, Inc.
4.35%		05/09/27			95,000		91,311
4.65%		11/15/28			1,000,000		947,591
GSK Consumer Healthcare Capital U.S., LLC
3.38%		03/24/27	¹		1,000,000		908,019
Hyatt Hotels Corp.
1.30%		10/01/23			1,240,000		1,192,760
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/24	^1,3		1,000,000		955,919
6.13%		07/27/27	^1,3		385,000		379,582



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
JDE Peet’s NV
(Netherlands)
0.80%		09/24/24	^1,3	$	1,650,000	$	1,511,380
Reynolds American, Inc.
5.70%		08/15/35			940,000		798,043
Spectrum Brands, Inc.
3.88%		03/15/31	¹		600,000		409,814
WarnerMedia Holdings, Inc.
4.28%		03/15/32	¹		4,320,000		3,560,118

							15,431,560


Electric — 1.88%
Alliant Energy Finance, LLC
3.60%		03/01/32	¹		1,625,000		1,394,172
Appalachian Power Co.,
Series H
5.95%		05/15/33			350,000		352,226
Appalachian Power Co.,
Series X
3.30%		06/01/27			410,000		377,240
Duke Energy Corp.
2.65%		09/01/26			30,000		27,244
3.10%		06/15/28			1,030,000		948,624
4.30%		03/15/28			1,105,000		1,040,980
EVERSOURCE ENERGY
4.60%		07/01/27			1,295,000		1,253,231
Exelon Corp.
2.75%		03/15/27	¹		1,325,000		1,191,733
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		853,000		726,006
ITC Holdings Corp.
4.95%		09/22/27	¹		2,190,000		2,137,546
Jersey Central Power & Light Co.
4.70%		04/01/24	¹		995,000		980,005
Metropolitan Edison Co.
4.00%		04/15/25	¹		770,000		732,391
4.30%		01/15/29	¹		550,000		514,419
NextEra Energy Capital Holdings, Inc.
4.63%		07/15/27			2,160,000		2,090,295
Public Service Co. of New Mexico
3.85%		08/01/25			1,405,000		1,310,723
Tucson Electric Power Co.
3.85%		03/15/23			595,000		593,028

							15,669,863


Energy — 1.48%
Boston Gas Co.
3.76%		03/16/32	¹		2,400,000		2,026,974
Energy Transfer LP
3.45%		01/15/23			105,000		104,600
3.75%		05/15/30			315,000		266,775
4.00%		10/01/27			400,000		363,394
4.75%		01/15/26			130,000		125,348
4.95%		05/15/28			750,000		700,636
4.95%		06/15/28			1,000,000		933,170
5.50%		06/01/27			531,000		517,920



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Energy Transfer Operating LP
5.25%		04/15/29		$	1,145,000	$	1,082,903
Occidental Petroleum Corp.
0.00%		10/10/36	¹²		444,000		231,999
Petroleos Mexicanos
(Mexico)
2.00%		12/20/22	³		150,000		149,243
5.95%		01/28/31	³		300,000		203,104
6.35%		02/12/48	³		125,000		67,195
6.63%		06/15/35	³		1,650,000		1,050,555
Plains All American Pipeline LP/PAA Finance Corp.
3.80%		09/15/30			525,000		440,786
Rockies Express Pipeline LLC
4.80%		05/15/30	¹		400,000		331,460
4.95%		07/15/29	¹		1,000,000		860,080
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6,10,11		561,364		468,739
Sabine Pass Liquefaction LLC
5.00%		03/15/27			1,700,000		1,636,165
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		04/01/26			60,000		55,294
Venture Global Calcasieu Pass LLC
3.88%		08/15/29	¹		825,000		709,537

							12,325,877


Finance — 6.40%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/26	³		2,045,000		1,729,680
3.00%		10/29/28	³		1,000,000		806,641
3.30%		01/30/32	³		285,000		215,139
Air Lease Corp.
2.25%		01/15/23			1,000,000		991,737
3.25%		03/01/25			820,000		769,304
3.25%		10/01/29			525,000		427,553
3.63%		12/01/27			355,000		305,719
American Express Co.
2.55%		03/04/27			815,000		728,119
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		1,558,000		1,220,974
2.88%		02/15/25	^1,3		1,160,000		1,051,988
Capital One Financial Corp.
1.34%		12/06/24	⁴		2,090,000		1,987,160
Cboe Global Markets, Inc.
3.00%		03/16/32			820,000		679,109
Citigroup, Inc.
2.52%		11/03/32	⁴		3,285,000		2,503,562
2.56%		05/01/32	⁴		780,000		599,771
2.57%		06/03/31	⁴		285,000		224,569
3.52%		10/27/28	⁴		1,505,000		1,345,368
4.41%		03/31/31	⁴		985,000		885,112
Citigroup, Inc.,
Series VAR
3.07%		02/24/28	⁴		405,000		361,266



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Durrah MSN 35603
(Cayman Islands)
1.68%		01/22/25	³	$	1,434,237	$	1,391,122
Goldman Sachs Group, Inc. (The)
0.93%		10/21/24	⁴		840,000		797,607
1.22%		12/06/23			2,090,000		2,005,137
2.38%		07/21/32	⁴		1,020,000		771,167
2.64%		02/24/28	⁴		2,555,000		2,220,920
2.65%		10/21/32	⁴		3,160,000		2,425,779
3.75%		02/25/26			20,000		18,963
Intercontinental Exchange, Inc.
4.00%		09/15/27			2,050,000		1,945,022
JPMorgan Chase & Co.
1.05%		11/19/26	⁴		1,235,000		1,070,609
1.56%		12/10/25	⁴		370,000		339,375
1.95%		02/04/32	⁴		430,000		318,681
2.55%		11/08/32	⁴		425,000		323,426
2.60%		02/24/26	⁴		185,000		172,165
2.74%		10/15/30	⁴		3,055,000		2,487,874
2.95%		02/24/28	⁴		425,000		376,870
3.54%		05/01/28	⁴		900,000		815,631
Morgan Stanley
2.48%		09/16/36	⁴		620,000		444,593
2.63%		02/18/26	⁴		860,000		801,494
2.95%		05/07/32	⁴		415,000		360,432
Morgan Stanley
(GMTN)
1.51%		07/20/27	⁴		1,710,000		1,458,720
Morgan Stanley
(MTN)
1.16%		10/21/25	⁴		4,790,000		4,366,270
1.93%		04/28/32	⁴		340,000		250,435
Nationwide Building Society
(United Kingdom)
2.97%		02/16/28	^1,3,4		700,000		603,152
3.77%		03/08/24	^1,3,4		1,265,000		1,251,111
4.36%		08/01/24	^1,3,4		1,085,000		1,069,782
ORIX Corp.
(Japan)
5.00%		09/13/27	³		3,040,000		2,957,726
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		860,000		855,099
5.50%		02/15/24	^1,3		40,000		39,185
Safina Ltd.
(Cayman Islands)
2.00%		12/30/23	³		1,587,858		1,562,634
Sandalwood 2013 LLC
2.90%		07/10/25			938,423		918,324
TIAA FSB Holdings, Inc.
5.75%		07/02/25			1,150,000		1,138,223
UBS Group AG
(Switzerland)
4.70%		08/05/27	^1,3,4		1,000,000		949,969

							53,340,268



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Food — 0.62%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.00%		02/02/29	^1,3	$	1,435,000	$	1,177,495
5.75%		04/01/33	^1,3		750,000		678,991
JBS USA LUX SA/JBS USA Food Co/JBS USA Finance, Inc.
(Canada)
3.00%		05/15/32	^1,3		1,185,000		867,926
Kraft Heinz Foods Co.
5.00%		07/15/35			933,000		849,030
5.00%		06/04/42			245,000		213,361
Mondelez International, Inc.
3.00%		03/17/32			860,000		707,205
Pilgrim’s Pride Corp.
5.88%		09/30/27	¹		65,000		63,268
Post Holdings, Inc.
5.75%		03/01/27	¹		600,000		574,500

							5,131,776


Gaming — 0.03%
Caesars Entertainment, Inc.
4.63%		10/15/29	¹		300,000		230,432


Health Care — 3.95%
AbbVie, Inc.
3.60%		05/14/25			1,152,000		1,106,860
3.85%		06/15/24			1,342,000		1,318,532
Aetna, Inc.
2.80%		06/15/23			50,000		49,355
3.50%		11/15/24			1,250,000		1,215,800
Alcon Finance Corp.
2.75%		09/23/26	¹		2,300,000		2,060,028
American Medical Systems Europe BV
(Netherlands)
1.63%		03/08/31	³		400,000		326,412
Amgen, Inc.
3.00%		02/22/29			500,000		438,277
Bayer U.S. Finance II LLC
4.38%		12/15/28	¹		2,914,000		2,669,170
5.50%		08/15/25	¹		1,100,000		1,087,231
Bayer U.S. Finance LLC
3.38%		10/08/24	¹		1,020,000		983,536
Baylor Scott & White Holdings
2.65%		11/15/26			1,530,000		1,399,458
Becton Dickinson and Co.
3.36%		06/06/24			589,000		573,380
Centene Corp.
3.00%		10/15/30			2,000,000		1,588,140
4.25%		12/15/27			445,000		407,987
Cigna Corp.
4.13%		11/15/25			545,000		529,908
CommonSpirit Health
2.78%		10/01/30			1,650,000		1,320,511
CVS Health Corp.
3.25%		08/15/29			2,890,000		2,531,726
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			1,540,000		1,191,326



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3,10,11	$	50,000	$	2,875
Fresenius Finance Ireland PLC
(EMTN)
(Ireland)
0.88%		10/01/31	³		550,000		388,845
HCA, Inc.
4.13%		06/15/29			1,145,000		1,010,204
5.38%		02/01/25			866,000		856,129
5.88%		02/15/26			2,530,000		2,500,247
5.88%		02/01/29			1,000,000		979,330
7.05%		12/01/27			80,000		81,777
Humana, Inc.
3.85%		10/01/24			860,000		839,105
3.95%		03/15/27			885,000		830,987
Medline Borrower LP
3.88%		04/01/29	¹		465,000		373,881
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	¹		700,000		569,199
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	¹		500,000		411,250
PerkinElmer, Inc.
0.85%		09/15/24			2,050,000		1,902,307
Royalty Pharma PLC
(United Kingdom)
2.20%		09/02/30	³		675,000		520,462
Tenet Healthcare Corp.
4.25%		06/01/29	¹		1,000,000		829,445

							32,893,680


Industrials — 1.20%
Amcor Finance USA, Inc.
3.63%		04/28/26			1,950,000		1,821,465
Artera Services LLC
9.03%		12/04/25	¹		227,000		183,088
BAE Systems Holdings, Inc.
3.80%		10/07/24	¹		630,000		613,245
Berry Global, Inc.
1.50%		01/15/27	¹		690,000		572,870
1.65%		01/15/27			95,000		78,898
4.88%		07/15/26	¹		1,055,000		993,040
Boeing Co. (The)
1.43%		02/04/24			1,300,000		1,236,635
Crane Holdings Co.
4.45%		12/15/23			1,130,000		1,122,145
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
3.21%		05/05/26	²		1,028,000		977,031
(LIBOR USD 3-Month plus 0.48%)
3.39%		08/15/36	²		1,115,000		918,471
General Electric Co.,
Series A (MTN)
6.75%		03/15/32			135,000		146,014



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)
Heathrow Funding Ltd.
(EMTN)
(United Kingdom)
1.88%		03/14/34	³	$	725,000	$	502,845
L3Harris Technologies, Inc.
3.85%		06/15/23			410,000		408,042
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	¹		65,000		61,850
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.38%		04/30/25	^1,3		410,000		384,999

							10,020,638


Information Technology — 0.56%
Apple, Inc.
3.25%		02/23/26			20,000		19,211
Broadcom, Inc.
4.30%		11/15/32			950,000		802,501
Change Healthcare Holdings LLC/Change Healthcare
Finance, Inc.
5.75%		03/01/25	¹		59,000		58,816
Lenovo Group Ltd.
(Hong Kong)
6.54%		07/27/32	^1,3		435,000		403,074
NCR Corp.
5.13%		04/15/29	¹		300,000		225,167
Oracle Corp.
2.30%		03/25/28			1,000,000		835,869
2.88%		03/25/31			1,955,000		1,541,246
VMware, Inc.
1.00%		08/15/24			815,000		754,840

							4,640,724


Insurance — 1.48%
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
4.25%		10/15/27	¹		200,000		172,500
6.75%		10/15/27	¹		90,000		78,210
Aon Corp.
4.50%		12/15/28			1,235,000		1,166,734
Athene Global Funding
1.99%		08/19/28	¹		2,555,000		2,022,267
3.21%		03/08/27	¹		530,000		469,257
Berkshire Hathaway Finance Corp.
2.88%		03/15/32			265,000		223,767
Brown & Brown, Inc.
4.20%		03/17/32			1,330,000		1,146,014
Equitable Financial Life Global Funding
1.30%		07/12/26	¹		1,190,000		1,034,958
Metropolitan Life Global Funding I
3.30%		03/21/29	¹		1,200,000		1,064,203
4.30%		08/25/29	¹		1,535,000		1,434,776
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^1,4		1,212,000		1,212,153
New York Life Global Funding
3.00%		01/10/28	¹		50,000		45,744



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
Trinity Acquisition PLC
(United Kingdom)
4.40%		03/15/26	³	$	1,385,000	$	1,330,668
Willis North America, Inc.
4.65%		06/15/27			1,025,000		975,123

							12,376,374


Materials — 0.30%
International Flavors & Fragrances, Inc.
1.23%		10/01/25	¹		950,000		834,646
2.30%		11/01/30	¹		1,135,000		872,620
Valvoline, Inc.
3.63%		06/15/31	¹		1,100,000		811,678

							2,518,944


Real Estate Investment Trust (REIT) — 2.35%
Alexandria Real Estate Equities, Inc.
2.95%		03/15/34			600,000		464,854
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/32	³		560,000		420,004
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%		06/23/28	³		375,000		283,421
Digital Dutch Finco BV
(Netherlands)
1.25%		02/01/31	³		1,085,000		767,969
Extra Space Storage LP
3.90%		04/01/29			1,650,000		1,467,526
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			1,140,000		1,087,264
5.38%		11/01/23			30,000		29,520
5.38%		04/15/26			2,323,000		2,224,969
5.75%		06/01/28			325,000		305,041
Healthcare Reality Holdings LP
3.50%		08/01/26			225,000		209,102
3.75%		07/01/27			930,000		854,883
Healthcare Realty Holdings LP
3.88%		05/01/25			1,400,000		1,330,381
Hudson Pacific Properties LP
4.65%		04/01/29			1,065,000		947,606
Kilroy Realty LP
3.45%		12/15/24			1,670,000		1,599,281
Life Storage LP
2.20%		10/15/30			1,000,000		762,879
Physicians Realty LP
4.30%		03/15/27			300,000		281,215
Piedmont Operating Partnership LP
3.40%		06/01/23			1,210,000		1,197,387
Prologis Euro Finance LLC
0.63%		09/10/31			150,000		106,451
Prologis Euro Finance LLC
(EMTN)
1.00%		02/08/29			380,000		305,944



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
SELP Finance SARL
(Luxembourg)
0.88%		05/27/29	³	$	555,000	$	401,416
SL Green Operating Partnership LP
3.25%		10/15/22			1,350,000		1,349,025
VICI Properties LP/VICI Note Co., Inc.
3.88%		02/15/29	¹		1,425,000		1,198,432
4.25%		12/01/26	¹		540,000		487,966
4.50%		01/15/28	¹		605,000		537,571
4.63%		06/15/25	¹		60,000		56,562
5.63%		05/01/24	¹		270,000		265,687
Weyerhaeuser Co.
3.38%		03/09/33			810,000		657,376

							19,599,732


Retail — 0.54%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%		10/15/30	^1,3		900,000		713,322
7-Eleven, Inc.
0.80%		02/10/24	¹		1,565,000		1,480,543
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/27	^1,3		640,000		572,946
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%		01/15/30	¹		100,000		76,250
FirstCash, Inc.
5.63%		01/01/30	¹		415,000		355,315
Michaels Cos., Inc. (The)
5.25%		05/01/28	¹		405,000		285,167
Starbucks Corp.
3.00%		02/14/32			1,220,000		1,012,553

							4,496,096


Services — 0.42%
Global Payments, Inc.
5.30%		08/15/29			1,240,000		1,167,975
Rent-A-Center, Inc.
6.38%		02/15/29	¹		100,000		78,500
S&P Global, Inc.
2.70%		03/01/29	¹		500,000		432,978
WASH Multifamily Acquisition, Inc.
5.75%		04/15/26	¹		100,000		92,379
Waste Connections, Inc.
(Canada)
3.20%		06/01/32	³		2,045,000		1,718,700

							3,490,532


Transportation — 0.16%
Canadian Pacific Railway Co.
(Canada)
1.35%		12/02/24	³		490,000		454,063
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			378,322		379,100



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Transportation (continued)
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24		$	265,789	$	258,693
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25			241,223		217,838
Union Pacific Corp.
2.80%		02/14/32			5,000		4,168

							1,313,862


Total Corporates
(Cost $305,952,351)							274,828,734


FOREIGN GOVERNMENT OBLIGATIONS — 0.12%

Foreign Government Obligations — 0.12%
Airport Authority
(Hong Kong)
2.50%		01/12/32	^1,3		1,245,000		1,024,305


Total Foreign Government Obligations
(Cost $1,244,080)

MORTGAGE-BACKED — 22.19%**

Non-Agency Commercial Mortgage-Backed — 3.07%
Arbor Realty Commercial Real Estate Notes Ltd.,
Series 2021-FL2, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.10%)
3.92%		05/15/36	^1,2,3		1,688,000		1,659,647
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.23%		08/10/38	^1,4		1,095,000		1,001,169
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(LIBOR USD 1-Month plus 0.92%)
3.74%		10/15/36	^1,2		2,005,656		1,980,716
BX Trust,
Series 2019-OC11, Class A
3.20%		12/09/41	¹		375,000		313,424
BXSC Commercial Mortgage Trust,
Series 2022-WSS, Class D
(CME Term SOFR 1-Month plus 3.19%)
6.03%		03/15/35	^1,2		1,550,000		1,474,179
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%		03/10/39	¹		805,000		712,416
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%		11/13/39	¹		715,000		584,305
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class A5
3.62%		02/10/49			3,250,000		3,063,065
Citigroup Commercial Mortgage Trust,
Series 2016-GC37, Class A4
3.31%		04/10/49			1,000,000		936,355

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Commercial Mortgage Trust,

Series 2014-UBS2, Class XA (IO)

1.23%

03/10/47

⁴

18,600,538

191,987

Credit Suisse Mortgage Capital Trust,

Series 2019-ICE4, Class E

(LIBOR USD 1-Month plus 2.15%)

4.97%

05/15/36

^1,2

1,825,000

1,778,280

DC Office Trust,

Series 2019-MTC, Class A

2.97%

09/15/45

765,000

623,753

GPMT Ltd.,

Series 2021-FL4, Class AS

(Cayman Islands)

(LIBOR USD 1-Month plus 1.70%)

4.75%

12/15/36

^1,2,3

2,380,000

2,301,325

Hudson Yards Mortgage Trust,

Series 2019-30HY, Class A

3.23%

07/10/39

760,000

659,069

Hudson Yards Mortgage Trust,

Series 2019-55HY, Class A

3.04%

12/10/41

^1,4

765,000

643,597

JPMBB Commercial Mortgage Securities Trust,

Series 2015-C29, Class XA (IO)

0.72%

05/15/48

⁴

22,002,434

263,787

JPMorgan Chase Commercial Mortgage Securities Trust,

Series 2019-OSB, Class A

3.40%

06/05/39

740,000

639,891

Last Mile Logistics Pan Euro Finance DAC,

Series 1A, Class A

(Ireland)

(3 month Euribor plus 0.75%)

1.09%

08/17/33

^1,2,3

2,371,365

2,222,466

Last Mile Securities PE 2021 DAC,

Series 2021-1A, Class A1

(Ireland)

(3 month Euribor plus 0.90%)

1.24%

08/17/31

^1,2,3

2,172,553

2,054,723

MKT Mortgage Trust,

Series 2020-525M, Class A

2.69%

02/12/40

520,000

417,545

One Bryant Park Trust,

Series 2019-OBP, Class A

2.52%

09/15/54

960,000

790,537

RBS Commercial Funding, Inc., Trust,

Series 2013-GSP, Class A

3.96%

01/15/32

^1,4

560,000

542,028

SFAVE Commercial Mortgage Securities Trust,

Series 2015-5AVE, Class A2B

4.14%

01/05/43

^1,4

45,000

33,038

Wells Fargo Commercial Mortgage Trust,

Series 2015-C26, Class XA (IO)

1.34%

02/15/48

⁴

32,166,676

715,908

25,603,210



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed — 6.63%
ACE Securities Corp. Home Equity Loan Trust,
Series 2005-HE2, Class M5
(LIBOR USD 1-Month plus 1.02%)
4.10%		04/25/35	²	$	2,648,641	$	2,547,560
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 11/25/22)
7.51%		10/25/27			3,497		3,480
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
4.06%		12/25/34	²		335,297		320,140
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%		06/25/32			3,655		3,531
Bear Stearns ALT-A Trust,
Series 2004-12, Class 1M1
(LIBOR USD 1-Month plus 0.93%)
4.01%		01/25/35	²		1,851,908		1,800,412
Chevy Chase Mortgage Funding LLC, Mortgage-Backed
Certificates,
Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
3.26%		05/25/36	^1,2		42,480		37,160
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/57	^1,4		2,623,798		2,352,197
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.62%		02/25/34	⁴		62		62
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH1, Class M5
(LIBOR USD 1-Month plus 0.78%)
3.86%		01/25/36	²		1,968,121		1,947,146
Countrywide Asset-Backed Certificates Trust,
Series 2005-7, Class MV5
(LIBOR USD 1-Month plus 1.13%)
4.21%		11/25/35	²		4,220,000		4,081,992
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
3.92%		08/25/34	⁴		53,736		50,167
Credit Suisse Mortgage Capital Trust
Series 2022-RPL3, Class A1
3.61%		03/25/61	^1,4		3,755,231		3,657,812
Credit Suisse Mortgage Capital Trust,
Series 2022-ATH2, Class A1
4.55%		05/25/67	^1,4		1,923,951		1,867,326
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB3, Class AF1 (STEP-reset date 11/25/22)
3.38%		12/25/32			493,722		454,046
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF4 (STEP-reset date 11/25/22)
3.02%		12/25/36			356,448		267,774
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
3.14%		04/25/37	²		101,697		70,741

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Credit-Based Asset Servicing and Securitization LLC,

Series 2007-CB5, Class A3

(LIBOR USD 1-Month plus 0.25%)

3.33%

04/25/37

1,208,429

715,913

First Horizon Alternative Mortgage Securities Trust,

Series 2004-AA3, Class A1

3.73%

09/25/34

⁴

46,272

42,668

GCAT Trust,

Series 2021-NQM5, Class A1

1.26%

07/25/66

^1,4

4,479,075

3,530,456

GSR Mortgage Loan Trust,

Series 2004-9, Class 5A7

3.25%

08/25/34

⁴

12,477

12,415

HarborView Mortgage Loan Trust,

Series 2007-7, Class 2A1A

(LIBOR USD 1-Month plus 2.00%)

4.08%

10/25/37

1,571,785

1,433,903

HomeBanc Mortgage Trust,

Series 2005-4, Class A1

(LIBOR USD 1-Month plus 0.54%)

3.62%

10/25/35

292

HSI Asset Securitization Corp. Trust,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

3.71%

11/25/35

157,861

154,225

IndyMac Index Mortgage Loan Trust,

Series 2004-AR7, Class A2

(LIBOR USD 1-Month plus 0.86%)

3.94%

09/25/34

6,976

6,289

IndyMac Index Mortgage Loan Trust,

Series 2004-AR8, Class 2A2A

(LIBOR USD 1-Month plus 0.80%)

3.88%

11/25/34

21,077

18,719

IndyMac Index Mortgage Loan Trust,

Series 2007-AR11, Class 1A1

2.86%

06/25/37

⁴

506,808

415,413

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1997-1, Class A3

6.61%

02/25/28

35,143

34,717

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1997-1, Class A4

6.75%

02/25/28

9,355

9,247

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1998-1, Class A4

6.49%

09/25/28

46,093

47,445

JPMorgan Mortgage Acquisition Trust,

Series 2006-CH1, Class M2

(LIBOR USD 1-Month plus 0.29%)

3.37%

07/25/36

1,140,671

1,135,164

JPMorgan Mortgage Trust,

Series 2007-A3, Class 3A2

3.28%

05/25/37

⁴

104,125

88,569

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Adjustable Rate Mortgages Trust,

Series 2003-6, Class 4A2

3.21%

01/25/34

⁴

23,571

23,074

MASTR Adjustable Rate Mortgages Trust,

Series 2007-HF2, Class A1

(LIBOR USD 1-Month plus 0.62%)

3.70%

09/25/37

766,562

744,332

MASTR Seasoned Securitization Trust,

Series 2004-1, Class 4A1

3.74%

10/25/32

⁴

4,566

4,470

MASTR Seasoned Securitization Trust,

Series 2005-1, Class 4A1

4.32%

10/25/32

⁴

16,740

16,073

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-3, Class A2C

(LIBOR USD 1-Month plus 0.18%)

3.26%

06/25/37

326,206

202,457

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-3, Class A2D

(LIBOR USD 1-Month plus 0.25%)

3.33%

06/25/37

602,820

498,950

Mid-State Capital Corp. Trust,

Series 2005-1, Class M2

7.08%

01/15/40

243,051

242,288

Mid-State Trust XI,

Series 11, Class A1

4.86%

07/15/38

348,580

336,115

Morgan Stanley ABS Capital I Trust,

Series 2004-NC7, Class M2

(LIBOR USD 1-Month plus 0.93%)

4.01%

07/25/34

117,368

111,447

Morgan Stanley ABS Capital I, Inc., Trust,

Series 2005-HE3, Class M5

(LIBOR USD 1-Month plus 1.04%)

4.12%

07/25/35

3,812,736

3,725,512

Nationstar Home Equity Loan Trust,

Series 2007-B, Class 1AV1

(LIBOR USD 1-Month plus 0.22%)

3.30%

04/25/37

1,317,849

1,305,781

New Century Home Equity Loan Trust,

Series 2005-1, Class M1

(LIBOR USD 1-Month plus 0.68%)

3.76%

03/25/35

1,629,499

1,623,798

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month plus 0.44%)

3.52%

02/25/36

363,873

362,986

New York Mortgage Trust,

Series 2005-3, Class A1

(LIBOR USD 1-Month plus 0.48%)

3.56%

02/25/36

393,870

386,859

Option One Mortgage Loan Trust,

Series 2005-2, Class M1

(LIBOR USD 1-Month plus 0.66%)

3.74%

05/25/35

31,299

31,047



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
PRPM LLC,
Series 2020-4, Class A1 (STEP-reset date 10/25/22)
2.95%		10/25/25	¹	$	2,376,389	$	2,291,229
PRPM LLC,
Series 2021-11, Class A1 (STEP-reset date 10/25/22)
2.49%		11/25/26	¹		1,596,854		1,482,184
PRPM LLC,
Series 2021-6, Class A1 (STEP-reset date 10/25/22)
1.79%		07/25/26	¹		2,073,940		1,918,035
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 10/25/22)
5.56%		06/25/27	¹		2,317,448		2,239,155
RBSSP Resecuritization Trust,
Series 2009-12, Class 17A2
3.23%		10/25/35	^1,4		1,292,180		1,277,345
Residential Asset Mortgage Products Trust,
Series 2003-SL1, Class A41
8.00%		04/25/31			15,547		13,638
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A7
7.00%		11/25/31			7,027		6,185
Residential Asset Securities Corp.,
Series 2005-AHL3, Class A3
(LIBOR USD 1-Month plus 0.34%)
3.76%		11/25/35	²		4,508		4,505
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.07%		12/25/34	⁴		11,769		10,318
Saxon Asset Securities Trust,
Series 2007-1, Class A2D
(LIBOR USD 1-Month plus 0.24%)
3.32%		01/25/47	²		4,894,564		4,648,465
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
3.29%		10/25/34	⁴		630,732		576,141
Structured Asset Mortgage Investments II Trust,
Series 2005-AR1, Class A1
(LIBOR USD 1-Month plus 0.48%)
3.47%		04/19/35	²		358,148		330,877
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A2
(Federal Reserve US 12-Month Cumulative Average plus
1.48%)
1.57%		02/25/36	²		354,290		309,362
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
2.89%		05/25/36	⁴		1,794,236		1,009,972
VOLT XCIX, LLC,
Series 2021-NPL8, Class A1 (STEP-reset date 10/25/22)
2.12%		04/25/51	¹		1,341,933		1,247,513
VOLT XCVI LLC,
Series 2021-NPL5, Class A1 (STEP-reset date 10/25/22)
2.12%		03/27/51	¹		777,680		716,923



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A3
(LIBOR USD 1-Month plus 1.56%)
4.64%		10/25/45	²	$	419,194	$	403,451

							55,207,468


U.S. Agency Commercial Mortgage-Backed — 0.35%
Fannie Mae Pool AN2786
2.76%		09/01/36			47,476		39,826
Fannie Mae Pool BL6060
2.46%		04/01/40			1,160,000		855,580
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ42, Class A1
3.90%		07/25/29			2,045,000		1,987,214

							2,882,620


U.S. Agency Mortgage-Backed — 12.14%
Fannie Mae Pool 253974
7.00%		08/01/31			717		733
Fannie Mae Pool 527247
7.00%		09/01/26			5		5
Fannie Mae Pool 545191
7.00%		09/01/31			424		436
Fannie Mae Pool 545646
7.00%		09/01/26			4		4
Fannie Mae Pool 549740
6.50%		10/01/27			1,290		1,330
Fannie Mae Pool 606108
7.00%		03/01/31			291		291
Fannie Mae Pool 630599
7.00%		05/01/32			2,180		2,236
Fannie Mae Pool 655928
7.00%		08/01/32			1,543		1,649
Fannie Mae Pool 735207
7.00%		04/01/34			760		791
Fannie Mae Pool 735861
6.50%		09/01/33			38,891		39,780
Fannie Mae Pool 764388
(LIBOR USD 6-Month plus 1.38%)
2.76%		03/01/34	²		6,761		6,663
Fannie Mae Pool 776708
5.00%		05/01/34			65,854		66,366
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.56%)
1.78%		12/01/35	²		2,837		2,806
Fannie Mae Pool 889184
5.50%		09/01/36			52,124		53,734
Fannie Mae Pool 890221
5.50%		12/01/33			75,135		76,526
Fannie Mae Pool 939419
(LIBOR USD 12-Month plus 1.27%)
2.64%		05/01/37	²		20,143		19,989
Fannie Mae Pool AL0209
4.50%		05/01/41			207,375		204,481



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA1710
4.50%		05/01/48		$	8,628	$	8,343
Fannie Mae Pool CA1711
4.50%		05/01/48			597,985		578,204
Fannie Mae Pool CA2208
4.50%		08/01/48			7,677		7,423
Fannie Mae Pool FM2318
3.50%		09/01/49			979,389		893,471
Fannie Mae Pool FS1598
2.00%		04/01/52			3,176,454		2,583,263
Fannie Mae Pool FS2646
3.00%		06/01/52			3,557,315		3,101,084
Fannie Mae Pool MA1527
3.00%		08/01/33			13,860		12,785
Fannie Mae Pool MA1561
3.00%		09/01/33			779,930		713,476
Fannie Mae Pool MA1608
3.50%		10/01/33			672,427		632,088
Fannie Mae Pool MA3427
4.00%		07/01/33			6,906		6,721
Fannie Mae Pool MA3537
4.50%		12/01/48			544,169		526,168
Fannie Mae Pool MA3811
3.00%		10/01/49			430,838		374,951
Fannie Mae Pool MA4152
2.00%		10/01/40			2,508,586		2,107,161
Fannie Mae Pool MA4333
2.00%		05/01/41			695,842		583,983
Fannie Mae Pool MA4512
2.50%		01/01/52			2,211,199		1,864,029
Fannie Mae Pool MA4548
2.50%		02/01/52			2,697,520		2,270,856
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
7.11%		05/25/23	²		126		127
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%		10/25/31			80,037		80,177
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%		01/25/34	²		2,349		2,362
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
3.55%		07/25/37	²		32,792		32,661
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
2.97%		11/25/36	²		558,308		45,515
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%		06/25/47			3,652		3,500



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2018-43, Class CT
3.00%		06/25/48		$	201,650	$	184,151
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%		01/25/47			27,846		27,088
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%		05/25/47			157,847		154,157
Fannie Mae Trust,
Series 2003-W6, Class 5T (IO)
(-1.00 X LIBOR USD 1-Month plus 8.15%, 0.55% Cap)
0.55%		09/25/42	²		6,798,692		105,161
Freddie Mac Gold Pool A25162
5.50%		05/01/34			59,938		61,326
Freddie Mac Gold Pool A33262
5.50%		02/01/35			26,302		27,182
Freddie Mac Gold Pool A68781
5.50%		10/01/37			3,587		3,702
Freddie Mac Gold Pool C03813
3.50%		04/01/42			512,052		481,581
Freddie Mac Gold Pool G01548
7.50%		07/01/32			167,280		180,408
Freddie Mac Gold Pool G01644
5.50%		02/01/34			38,310		39,517
Freddie Mac Gold Pool G02366
6.50%		10/01/36			34,283		36,505
Freddie Mac Gold Pool G08844
5.00%		10/01/48			157,868		156,099
Freddie Mac Gold Pool G12909
6.00%		11/01/22			235		235
Freddie Mac Gold Pool G15897
2.50%		09/01/31			19,789		18,171
Freddie Mac Gold Pool G16085
2.50%		02/01/32			1,210,947		1,126,207
Freddie Mac Gold Pool G16524
3.50%		05/01/33			41,533		39,626
Freddie Mac Gold Pool G16756
3.50%		01/01/34			724,060		693,363
Freddie Mac Gold Pool G18581
2.50%		01/01/31			18,863		17,544
Freddie Mac Pool SD7503
3.50%		08/01/49			2,721,416		2,482,678
Freddie Mac Pool SD8199
2.00%		03/01/52			1,722,354		1,395,206
Freddie Mac REMICS,
Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	²		1,509		1,515
Freddie Mac REMICS,
Series 2174, Class PN
6.00%		07/15/29			14,038		14,276
Freddie Mac REMICS,
Series 3460, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
3.38%		06/15/38	²		542,502		52,706



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
3.79%		04/15/42	²	$	465,228	$	49,538
Ginnie Mae (TBA)
2.50%		10/20/52			3,900,000		3,343,870
Ginnie Mae I Pool 782810
4.50%		11/15/39			392,974		386,366
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.63%		07/20/34	²		10,320		10,171
Ginnie Mae II Pool MA4454
5.00%		05/20/47			14,278		14,281
Ginnie Mae II Pool MA4511
4.00%		06/20/47			3,584		3,405
Ginnie Mae II Pool MA4588
4.50%		07/20/47			125,950		122,691
Ginnie Mae II Pool MA4589
5.00%		07/20/47			696,541		699,322
Ginnie Mae II Pool MA4838
4.00%		11/20/47			323,831		306,179
Ginnie Mae II Pool MA4901
4.00%		12/20/47			261,692		247,346
Ginnie Mae II Pool MA5399
4.50%		08/20/48			325,232		315,414
Ginnie Mae II Pool MA5530
5.00%		10/20/48			3,907		3,884
Ginnie Mae II Pool MA6030
3.50%		07/20/49			44,542		39,819
Ginnie Mae II Pool MA6080
3.00%		08/20/49			21,568		18,716
Ginnie Mae II Pool MA6209
3.00%		10/20/49			396,299		343,898
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
8.13%		11/26/23	²		2,253		2,269
UMBS (TBA)
2.00%		10/01/52			3,400,000		2,749,195
2.00%		11/01/52			1,750,000		1,414,857
2.50%		10/01/52			2,575,000		2,160,969
2.50%		11/01/52			8,250,000		6,922,215
3.00%		10/01/52			10,000,000		8,689,858
3.50%		10/01/52			375,000		337,102
4.00%		10/01/52			3,825,000		3,545,765
4.50%		10/01/52			31,375,000		29,860,951
5.00%		10/01/52			15,775,000		15,370,846

							101,163,499


Total Mortgage-Backed
(Cost $197,172,681)							184,856,797



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS — 0.98%*

California — 0.21%
City of San Francisco Public Utilities Commission Water
Revenue Bonds, Series G
2.19%		11/01/32	$	795,000	$	611,658
Los Angeles Department of Water & Power Power System
Revenue Bonds, Electric Light & Power Improvements,
Series C
5.52%		07/01/27		50,000		51,479
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series KR
5.75%		07/01/34		1,075,000		1,102,363

						1,765,500


Florida — 0.06%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series C
4.06%		10/01/31		280,000		257,012
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
3.50%		10/01/31		245,000		214,920

						471,932


Massachusetts — 0.23%
Commonwealth of Massachusetts Revenue Bonds, Series B
4.11%		07/15/31		2,000,000		1,919,919


Michigan — 0.08%
University of Michigan Revenue Bonds, Series C
3.48%		04/01/33		750,000		670,194


New York — 0.40%
City of New York General Obligation, Public Improvements,
Series 2
1.70%		03/01/29		250,000		205,040
Metropolitan Transportation Authority Revenue Bonds,
Transit Improvements
6.55%		11/15/31		25,000		25,759
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, School Improvements, Series G-3
5.27%		05/01/27		1,465,000		1,507,267
New York State Dormitory Authority Revenue Bonds,
Series C
1.95%		03/15/29		590,000		493,692
New York State Dormitory Authority Revenue Bonds,
Transit Improvements, Series F
3.03%		02/15/33		1,245,000		1,039,272
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series D
5.50%		03/15/30		70,000		70,986

						3,342,016



Issues	Maturity Date			Principal Amount		Value

MUNICIPAL BONDS (continued)

Pennsylvania — 0.00%
Pennsylvania Economic Development Financing Authority
Revenue Bonds, University of Pittsburgh Medical Center,
Series B
3.20%		11/15/27		$	40,000	$	36,620


Total Municipal Bonds
(Cost $9,330,712)							8,206,181


U.S. TREASURY SECURITIES — 41.56%

U.S. Treasury Bonds — 0.12%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.63%		07/15/32	¹³		1,140,013		1,035,314


U.S. Treasury Notes — 41.44%
U.S. Treasury Notes
2.75%		08/15/32			26,823,000		24,543,045
3.00%		07/31/27			45,480,000		42,813,803
3.13%		07/31/24			38,274,000		37,414,425
3.25%		08/31/24			24,890,000		24,441,300
3.25%		06/30/27			20,635,000		19,892,624
3.50%		09/15/25			32,765,000		32,099,461
3.88%		09/30/27			120,300,000		120,722,930
4.13%		09/30/24			43,325,000		43,347,847

							345,275,435


Total U.S. Treasury Securities
(Cost $352,651,364)							346,310,749


Total Bonds — 104.95%
(Cost $928,180,871)							874,473,652



Issues				Shares		Value

COMMON STOCK — 0.05%

Communications — 0.05%
Intelsat Emergence SA^3,5,6,10
(Luxembourg)					15,249		419,347


Electric — 0.00%
Homer City Holdings LLC^†,5,6					8,014		—


Total Common Stock
(Cost $968,241)							419,347


RIGHTS — 0.00%

Communications — 0.00%
Intelsat Jackson Holdings SA, Series A^†,3,5,6,10
(Luxembourg)					1,596		—
Intelsat Jackson Holdings SA, Series B^†,3,5,6,10
(Luxembourg)					1,596		—

							—


Total Rights
(Cost $–)							—



Issues	Maturity Date	Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 0.20%

Money Market Funds — 0.20%
Dreyfus Government Cash Management Fund
2.75%¹⁴			684,500	$	684,500
Fidelity Investments Money Market Funds - Government Portfolio
2.74%¹⁴			66,143		66,143
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
2.80%¹⁴			899,500		899,500


Total Short-Term Investments
(Cost $1,650,143)					1,650,143


Total Investments - 105.20%
(Cost $930,799,255)					876,543,142


Net unrealized depreciation on unfunded commitments - 0.00%					(664)

Liabilities in Excess of Other Assets - (5.20)%					(43,324,103)


Net Assets - 100.00%				$	833,218,375

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign denominated security issued by foreign domiciled entity.

⁴	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,735,378, which is 0.33% of total net assets.

⁷	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $12,530, at an interest rate of 7.03% and a maturity of July 31, 2028. The investment is not accruing an unused commitment fee.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $5,043, at an interest rate of 6.77% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $18,580, at an interest rate of 7.28% and a maturity of June 22, 2029. The investment is not accruing an unused commitment fee.

¹⁰	Non-income producing security.

¹¹	Security is currently in default with regard to scheduled interest or principal payments.

¹²	Zero coupon bond. The rate shown is the effective yield as of September 30, 2022.

¹³	Inflation protected security. Principal amount reflects original security face amount.

¹⁴	Represents the current yield as of September 30, 2022.

^†	Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved by the Board of Trustees. See Notes to Financial Statements.

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

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

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Issues

Maturity

Date

Principal

Amount

Value

BONDS – 102.73%

ASSET-BACKED SECURITIES — 5.81%**

Aimco CLO,

Series 2015-AA, Class BR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.34%

10/17/34

^1,2,3

70,000

64,967

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

31,501

28,575

Madison Park Funding XXXIX Ltd.,

Series 2021-39A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.41%

10/22/34

^1,2,3

70,000

65,394

Octagon Investment Partners 46 Ltd.,

Series 2020-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

3.67%

07/15/36

^1,2,3

70,000

66,990

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

05/10/37

^4,5,6

36,485

32,127

SLM Student Loan Trust,

Series 2008-2, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

01/25/83

20,000

16,813

SLM Student Loan Trust,

Series 2008-3, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

04/26/83

20,000

18,298

SLM Student Loan Trust,

Series 2008-5, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/25/73

35,000

34,195

SLM Student Loan Trust,

Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

3.88%

07/25/23

27,254

26,753

SLM Student Loan Trust,

Series 2008-6, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

20,000

18,769

SLM Student Loan Trust,

Series 2008-7, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

20,000

17,669

SLM Student Loan Trust,

Series 2008-8, Class A4

(LIBOR USD 3-Month plus 1.50%)

4.28%

04/25/23

17,065

17,046

SLM Student Loan Trust,

Series 2008-8, Class B

(LIBOR USD 3-Month plus 2.25%)

5.03%

10/25/75

30,000

28,904



Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
4.28%		04/25/23	²	$	12,724	$	12,608
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
5.03%		10/25/83	²		15,000		14,953
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
2.95%		04/25/40	^1,2		29,207		28,119


Total Asset-Backed Securities
(Cost $515,961)							492,180


CORPORATES — 65.74%*

Banking — 10.87%
Bank of America Corp.
1.73%		07/22/27	⁶		50,000		42,916
2.30%		07/21/32	⁶		40,000		30,000
2.69%		04/22/32	⁶		35,000		27,297
Bank of America Corp.
(MTN)
2.09%		06/14/29	⁶		175,000		142,381
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,6		45,000		36,528
3.09%		05/14/32	^1,3,6		20,000		14,074
6.54%		08/12/33	^1,3,6		5,000		4,503
DNB Bank ASA
(Norway)
1.13%		09/16/26	^1,3,6		15,000		13,114
Fifth Third Bancorp
2.55%		05/05/27			15,000		13,359
HSBC Holdings PLC
(United Kingdom)
2.21%		08/17/29	^3,6		95,000		73,930
JPMorgan Chase & Co.
1.58%		04/22/27	⁶		240,000		207,802
2.52%		04/22/31	⁶		20,000		15,836
Lloyds Banking Group PLC
(United Kingdom)
4.72%		08/11/26	^3,6		30,000		28,860
Macquarie Group Ltd.
(Australia)
1.63%		09/23/27	^1,3,6		45,000		37,833
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,6		30,000		29,171
Santander UK Group Holdings PLC
(United Kingdom)
2.47%		01/11/28	^3,6		15,000		12,505
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	^1,3		35,000		34,726



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
Wells Fargo & Co.
(MTN)
2.39%		06/02/28	⁶	$	170,000	$	145,999
4.90%		07/25/33	⁶		10,000		9,199

							920,033


Communications — 5.77%
AT&T, Inc.
2.55%		12/01/33			99,000		73,506
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%		02/01/32			100,000		71,444
Comcast Corp.
1.95%		01/15/31			10,000		7,778
Discovery Communications LLC
3.63%		05/15/30			35,000		28,939
Level 3 Financing, Inc.
3.88%		11/15/29	¹		46,000		36,333
Paramount Global
4.20%		05/19/32			30,000		24,355
SES SA
(Luxembourg)
3.60%		04/04/23	^1,3		15,000		14,823
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		46,875		46,229
5.15%		03/20/28	¹		60,000		58,763
Tencent Holdings Ltd.
(Cayman Islands)
3.98%		04/11/29	^1,3		30,000		27,002
T-Mobile USA, Inc.
2.55%		02/15/31			79,000		62,661
Verizon Communications, Inc.
2.36%		03/15/32			31,000		23,873
Walt Disney Co. (The)
7.75%		01/20/24			12,000		12,457

							488,163


Consumer Discretionary — 3.02%
Anheuser-Busch InBev Worldwide, Inc.
3.50%		06/01/30			30,000		26,827
Bacardi Ltd.
(Bermuda)
4.70%		05/15/28	^1,3		10,000		9,360
Clorox Co. (The)
1.80%		05/15/30			25,000		19,335
4.60%		05/01/32			5,000		4,696
Constellation Brands, Inc.
2.88%		05/01/30			30,000		24,923
GSK Consumer Healthcare Capital U.S., LLC
3.63%		03/24/32	¹		15,000		12,720
Hyatt Hotels Corp.
1.80%		10/01/24			35,000		32,871
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/25	^1,3		30,000		28,834



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
Reynolds American, Inc.
5.70%		08/15/35		$	50,000	$	42,449
WarnerMedia Holdings, Inc.
4.28%		03/15/32	¹		65,000		53,567

							255,582


Electric — 4.77%
Alliant Energy Finance LLC
1.40%		03/15/26	¹		50,000		42,716
Ameren Corp.
3.50%		01/15/31			75,000		64,822
Appalachian Power Co.,
Series X
3.30%		06/01/27			20,000		18,402
Berkshire Hathaway Energy Co.
1.65%		05/15/31			25,000		18,935
Black Hills Corp.
4.35%		05/01/33			36,000		31,833
Duke Energy Corp.
2.55%		06/15/31			35,000		27,456
EVERSOURCE ENERGY
4.60%		07/01/27			15,000		14,516
ITC Holdings Corp.
4.95%		09/22/27	¹		20,000		19,521
Jersey Central Power & Light Co.
2.75%		03/01/32	¹		35,000		27,889
Metropolitan Edison Co.
4.00%		04/15/25	¹		25,000		23,779
Narragansett Electric Co. (The)
3.40%		04/09/30	¹		35,000		31,002
NextEra Energy Capital Holdings, Inc.
5.00%		07/15/32			15,000		14,348
Public Service Co. of New Mexico
3.85%		08/01/25			40,000		37,316
Southwestern Electric Power Co.,
Series M
4.10%		09/15/28			15,000		13,859
Xcel Energy, Inc.
3.40%		06/01/30			20,000		17,383

							403,777


Energy — 3.30%
Aker BP ASA
(Netherlands)
3.10%		07/15/31	^1,3		35,000		27,610
Energy Transfer LP
4.95%		06/15/28			55,000		51,324
Kinder Morgan, Inc.
5.30%		12/01/34			30,000		27,155
Petroleos Mexicanos
(Mexico)
5.95%		01/28/31	³		30,000		20,310
6.70%		02/16/32	³		13,000		9,128
Piedmont Natural Gas Co., Inc.
2.50%		03/15/31			10,000		7,898



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)
Energy (continued)
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25		$	30,000	$	28,941
Rockies Express Pipeline LLC
3.60%		05/15/25	¹		20,000		18,096
4.95%		07/15/29	¹		10,000		8,601
Ruby Pipeline LLC
8.00%		04/01/22	^1,4,5,7,8		14,394		12,019
Sabine Pass Liquefaction LLC
5.00%		03/15/27			15,000		14,437
Southern Co. Gas Capital Corp.
5.15%		09/15/32			20,000		19,134
Southern Natural Gas Co. LLC
4.80%		03/15/47	¹		30,000		24,770
Texas Eastern Transmission LP
2.80%		10/15/22	¹		10,000		9,998

							279,421


Finance — 7.52%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.00%		10/29/28	³		30,000		24,199
3.88%		01/23/28	³		16,000		13,922
Air Lease Corp.
3.63%		12/01/27			26,000		22,391
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		21,000		16,457
2.75%		02/21/28	^1,3		10,000		7,867
2.88%		02/15/25	^1,3		5,000		4,535
Cboe Global Markets, Inc.
3.00%		03/16/32			20,000		16,564
Citigroup, Inc.
2.52%		11/03/32	⁶		90,000		68,590
2.56%		05/01/32	⁶		50,000		38,447
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³		10,000		8,970
Goldman Sachs Group, Inc. (The)
1.54%		09/10/27	⁶		90,000		76,152
2.65%		10/21/32	⁶		50,000		38,383
Intercontinental Exchange, Inc.
1.85%		09/15/32			25,000		18,260
JPMorgan Chase & Co.
2.96%		01/25/33	⁶		70,000		55,191
Morgan Stanley
2.48%		09/16/36	⁶		5,000		3,585
Morgan Stanley
(GMTN)
1.51%		07/20/27	⁶		35,000		29,857
Morgan Stanley
(MTN)
1.93%		04/28/32	⁶		135,000		99,438
2.51%		10/20/32	⁶		5,000		3,830
Nationwide Building Society
(United Kingdom)
1.50%		10/13/26	^1,3		25,000		21,289



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
ORIX Corp.
(Japan)
4.00%		04/13/32	³	$	25,000	$	21,958
5.00%		09/13/27	³		10,000		9,729
Pipeline Funding Co. LLC
7.50%		01/15/30	¹		17,324		17,926
Raymond James Financial, Inc.
4.65%		04/01/30			20,000		18,844

							636,384


Food — 1.78%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/31	^1,3		32,000		25,595
Kraft Heinz Foods Co.
5.00%		07/15/35			28,000		25,480
Mondelez International, Inc.
3.00%		03/17/32			30,000		24,670
Pilgrim’s Pride Corp.
3.50%		03/01/32	¹		60,000		45,324
Smithfield Foods, Inc.
2.63%		09/13/31	¹		40,000		29,627

							150,696


Health Care — 8.54%
AbbVie, Inc.
4.50%		05/14/35			40,000		35,671
Alcon Finance Corp.
2.75%		09/23/26	¹		40,000		35,827
Amgen, Inc.
2.30%		02/25/31			30,000		23,913
Ascension Health,
Series B
2.53%		11/15/29			20,000		16,939
Banner Health
2.34%		01/01/30			10,000		8,316
Barnabas Health, Inc.,
Series 2012
4.00%		07/01/28			15,000		13,821
Baxter International, Inc.
3.95%		04/01/30			10,000		8,975
Bayer U.S. Finance II LLC
4.38%		12/15/28	¹		45,000		41,219
Becton Dickinson and Co.
3.70%		06/06/27			20,000		18,634
Centene Corp.
3.00%		10/15/30			50,000		39,704
Cigna Corp.
2.40%		03/15/30			35,000		28,555
CommonSpirit Health
2.78%		10/01/30			20,000		16,006
3.35%		10/01/29			50,000		42,130
CVS Health Corp.
3.25%		08/15/29			50,000		43,801



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
DENTSPLY SIRONA, Inc.
3.25%		06/01/30		$	35,000	$	27,076
Elanco Animal Health, Inc.
6.40%		08/28/28			15,000		13,317
Fresenius Medical Care U.S. Finance III, Inc.
1.88%		12/01/26	¹		20,000		16,538
HCA, Inc.
3.63%		03/15/32	¹		10,000		8,121
4.13%		06/15/29			65,000		57,348
Humana, Inc.
2.15%		02/03/32			5,000		3,814
3.70%		03/23/29			10,000		8,970
Illumina, Inc.
2.55%		03/23/31			25,000		19,217
Molina Healthcare, Inc.
3.88%		11/15/30	¹		30,000		25,220
PerkinElmer, Inc.
2.25%		09/15/31			35,000		26,379
Premier Health Partners,
Series G
2.91%		11/15/26			15,000		13,412
Providence St. Joseph Health Obligated Group,
Series H
2.75%		10/01/26			20,000		18,647
Regeneron Pharmaceuticals, Inc.
1.75%		09/15/30			20,000		15,174
Royalty Pharma PLC
(United Kingdom)
1.75%		09/02/27	³		25,000		20,669
Smith & Nephew PLC
(United Kingdom)
2.03%		10/14/30	³		30,000		22,509
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%		03/15/31	³		30,000		23,686
Universal Health Services, Inc.
1.65%		09/01/26	¹		35,000		29,378

							722,986


Industrials — 2.05%
Amcor Finance USA, Inc.
3.63%		04/28/26			25,000		23,352
BAE Systems Holdings, Inc.
3.80%		10/07/24	¹		15,000		14,601
3.85%		12/15/25	¹		10,000		9,530
Berry Global, Inc.
1.57%		01/15/26			20,000		17,488
1.65%		01/15/27			20,000		16,610
Boeing Co. (The)
4.88%		05/01/25			15,000		14,640
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
3.21%		05/05/26	²		10,000		9,504
Sealed Air Corp.
1.57%		10/15/26	¹		30,000		25,235



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)
Sonoco Products Co.
3.13%		05/01/30		$	25,000	$	20,827
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%		04/28/26	^1,3		15,000		13,868
WRKCo, Inc.
3.00%		06/15/33			10,000		7,749

							173,404


Information Technology — 2.05%
Amazon.com, Inc.
3.60%		04/13/32			10,000		9,086
Broadcom, Inc.
3.42%		04/15/33	¹		35,000		26,898
Fidelity National Information Services, Inc.
5.10%		07/15/32			25,000		23,602
Fiserv, Inc.
2.65%		06/01/30			20,000		16,235
Micron Technology, Inc.
2.70%		04/15/32			15,000		10,931
Netflix, Inc.
3.63%		06/15/25	¹		20,000		18,921
Oracle Corp.
2.88%		03/25/31			70,000		55,185
Take-Two Interactive Software, Inc.
4.00%		04/14/32			15,000		13,064

							173,922


Insurance — 4.78%
Aon Corp.
2.80%		05/15/30			25,000		20,747
Aon Corp./Aon Global Holdings PLC
2.60%		12/02/31			10,000		7,843
Athene Global Funding
1.61%		06/29/26	¹		5,000		4,257
(SOFR Index plus 0.70%)
3.44%		05/24/24	^1,2		30,000		29,446
Berkshire Hathaway Finance Corp.
2.88%		03/15/32			5,000		4,222
Brown & Brown, Inc.
2.38%		03/15/31			35,000		26,276
Equitable Financial Life Global Funding
1.30%		07/12/26	¹		25,000		21,743
Farmers Exchange Capital
7.05%		07/15/28	¹		5,000		5,152
Farmers Insurance Exchange
4.75%		11/01/57	^1,6		45,000		37,185
Marsh & McLennan Cos., Inc.
2.25%		11/15/30			30,000		23,846
Metropolitan Life Global Funding I
2.95%		04/09/30	¹		15,000		12,876
MMI Capital Trust I,
Series B
7.63%		12/15/27			50,000		53,606
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^1,6		50,000		50,006



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
New York Life Insurance Co.
5.88%		05/15/33	¹	$	25,000	$	25,628
Progressive Corp. (The)
3.20%		03/26/30			10,000		8,814
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^1,6		55,000		52,737
Willis North America, Inc.
2.95%		09/15/29			25,000		20,598

							404,982


Materials — 0.47%
Georgia-Pacific LLC
2.30%		04/30/30	¹		20,000		16,412
International Flavors & Fragrances, Inc.
2.30%		11/01/30	¹		30,000		23,065

							39,477


Real Estate Investment Trust (REIT) — 7.50%
American Assets Trust LP
3.38%		02/01/31			25,000		19,944
American Homes 4 Rent LP
2.38%		07/15/31			30,000		22,755
American Tower Corp.
2.90%		01/15/30			15,000		12,351
Crown Castle, Inc.
3.30%		07/01/30			25,000		20,967
CubeSmart LP
4.38%		02/15/29			15,000		13,821
Equinix, Inc.
3.90%		04/15/32			25,000		21,287
Essex Portfolio LP
2.65%		03/15/32			10,000		7,815
Extra Space Storage LP
3.90%		04/01/29			25,000		22,235
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32			4,000		3,042
4.00%		01/15/30			20,000		16,769
5.30%		01/15/29			20,000		18,564
Healthcare Reality Holdings LP
2.00%		03/15/31			50,000		36,802
3.10%		02/15/30			15,000		12,348
Healthcare Realty Holdings LP
3.88%		05/01/25			20,000		19,005
Hudson Pacific Properties LP
3.95%		11/01/27			75,000		67,059
Invitation Homes Operating Partnership LP
2.30%		11/15/28			45,000		36,091
Kilroy Realty LP
2.50%		11/15/32			25,000		18,059
3.05%		02/15/30			5,000		3,997
4.38%		10/01/25			15,000		14,394
Life Storage LP
2.20%		10/15/30			40,000		30,515
LXP Industrial Trust
2.38%		10/01/31			25,000		18,271
2.70%		09/15/30			25,000		19,270



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
Mid-America Apartments LP
1.70%		02/15/31		$	20,000	$	15,138
Physicians Realty LP
2.63%		11/01/31			5,000		3,801
Piedmont Operating Partnership LP
2.75%		04/01/32			35,000		25,078
SL Green Operating Partnership LP
3.25%		10/15/22			35,000		34,975
UDR, Inc.
(MTN)
4.40%		01/26/29			10,000		9,234
Ventas Realty LP
4.13%		01/15/26			10,000		9,580
VICI Properties LP
5.13%		05/15/32			25,000		22,214
VICI Properties LP/VICI Note Co., Inc.
4.63%		06/15/25	¹		50,000		47,135
Weyerhaeuser Co.
3.38%		03/09/33			15,000		12,174

							634,690


Retail — 0.53%
Alimentation Couche-Tard, Inc.
(Canada)
2.95%		01/25/30	^1,3		35,000		28,824
Starbucks Corp.
2.55%		11/15/30			20,000		16,336

							45,160


Services — 1.29%
Global Payments, Inc.
5.30%		08/15/29			15,000		14,129
Moody’s Corp.
4.25%		08/08/32			30,000		27,353
Northwestern University
3.69%		12/01/38			20,000		17,115
RELX Capital, Inc.
3.00%		05/22/30			30,000		25,347
Republic Services, Inc.
2.90%		07/01/26			5,000		4,600
S&P Global, Inc.
2.90%		03/01/32	¹		10,000		8,365
Waste Connections, Inc.
(Canada)
2.60%		02/01/30	³		15,000		12,538

							109,447


Transportation — 1.50%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			22,010		18,828
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32			29,379		24,154
Norfolk Southern Corp.
3.00%		03/15/32			15,000		12,591



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Transportation (continued)
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23		$	2,898	$	2,871
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			15,619		15,651
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			38,274		37,252
Union Pacific Corp.
2.89%		04/06/36			20,000		15,329

							126,676


Total Corporates
(Cost $6,622,329)							5,564,800


MORTGAGE-BACKED — 22.34%**

Non-Agency Commercial Mortgage-Backed — 5.25%
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class XA (IO)
1.49%		04/10/46	⁶		3,122,456		9,640
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
0.96%		09/10/46	⁶		7,055,509		32,174
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
1.10%		10/10/47	⁶		565,153		8,235
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.04%		07/10/45	⁶		12,782,900		1,149
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
1.09%		08/10/47	⁶		579,730		7,597
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.23%		03/10/47	⁶		815,283		8,415
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.22%		06/10/47	⁶		1,768,247		22,029
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.00%		09/10/47	^4,5,6		2,038,283		24,948
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.86%		12/15/49	⁶		316,565		7,223
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.60%		02/10/46	⁶		2,541,113		2,719
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.45%		02/10/37	^1,6		375,000		2,752
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.58%		08/10/43	^1,6		2,456,384		7,888



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.09%		08/10/44	^1,6	$	247,339	$	3
GS Mortgage Securities Trust,
Series 2013-GC14, Class XA (IO)
0.67%		08/10/46	⁶		4,374,682		12,251
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.18%		04/10/47	⁶		2,285,142		23,854
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C22, Class XA (IO)
0.96%		09/15/47	⁶		1,831,864		20,774
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.96%		11/15/47	⁶		1,419,346		20,059
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2010-C2, Class XB (IO)
1.59%		11/15/43	^1,6		597,694		4,323
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.31%		12/15/47	⁶		519,456		245
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C8, Class XA (IO)
1.08%		12/15/48	⁶		1,737,551		1,643
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
1.10%		12/15/47	⁶		1,796,468		26,925
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.14%		04/15/48	⁶		663,552		11,586
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.18%		08/10/49	^1,4,5,6		462,022		84
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.24%		08/15/50	⁶		297,459		3,907
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.18%		12/15/47	⁶		4,697,845		80,814
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.77%		07/15/58	⁶		2,100,023		29,313
WF-RBS Commercial Mortgage Trust,
Series 2014-C19, Class XA (IO)
1.13%		03/15/47	⁶		6,718,517		60,001
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.42%		03/15/47	⁶		1,215,886		14,008

							444,559


Non-Agency Mortgage-Backed — 4.69%
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-
Through Certificates,
Series 2005-R11, Class M3
(LIBOR USD 1-Month plus 0.75%)
3.83%		01/25/36	²		100,000		94,874

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Banc of America Funding Trust,

Series 2014-R7, Class 2A1

(LIBOR USD 1-Month plus 0.14%)

3.22%

09/26/36

^1,2

9,691

9,695

Bear Stearns ARM Trust,

Series 2004-1, Class 12A5

2.99%

04/25/34

⁶

6,833

6,461

Bombardier Capital Mortgage Securitization Corp.,

Series 2000-A, Class A2

7.58%

06/15/30

⁶

19,426

2,963

CIM Trust,

Series 2021-R4, Class A1A

2.00%

05/01/61

^1,6

71,672

63,590

CIT Mortgage Loan Trust,

Series 2007-1, Class 1A

(LIBOR USD 1-Month plus 1.35%)

4.43%

10/25/37

^1,2

2,800

2,782

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

3.71%

02/25/35

38,627

36,124

Countrywide Asset-Backed Certificates Trust,

Series 2007-13, Class 2A1

(LIBOR USD 1-Month plus 0.90%)

3.98%

10/25/47

19,457

18,243

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

3.23%

09/25/35

⁶

10,485

10,123

HSI Asset Securitization Corp. Trust,

Series 2007-WF1, Class 1A1

(LIBOR USD 1-Month plus 0.32%)

3.40%

05/25/37

11,420

11,371

IndyMac Index Mortgage Loan Trust,

Series 2007-FLX3, Class A1

(LIBOR USD 1-Month plus 0.48%)

3.56%

06/25/37

72,558

64,944

JPMorgan Mortgage Trust,

Series 2005-A3, Class 2A1

2.83%

06/25/35

⁶

1,613

1,608

Long Beach Mortgage Loan Trust,

Series 2006-1, Class 1A

(LIBOR USD 1-Month plus 0.44%)

3.52%

02/25/36

4,149

4,025

Morgan Stanley Mortgage Loan Trust,

Series 2004-5AR, Class 3A1

2.99%

07/25/34

⁶

11,375

10,901

Saxon Asset Securities Trust,

Series 2007-2, Class A2A

(LIBOR USD 1-Month plus 0.10%)

3.18%

05/25/47

66,027

47,109

Structured Asset Mortgage Investments II Trust,

Series 2004-AR1, Class 1A2

(LIBOR USD 1-Month plus 0.70%)

3.69%

03/19/34

1,521

1,448



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Wells Fargo Home Equity Trust Mortgage Pass-Through
Certificates,
Series 2004-1, Class 2A1
(LIBOR USD 1-Month plus 0.60%)
3.68%		04/25/34	²	$	11,140	$	10,591

							396,852


U.S. Agency Commercial Mortgage-Backed — 0.53%
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.14%		04/25/36	⁶		67,802		617
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.70%		01/25/39	⁶		308,432		5,533
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K049, Class X3 (IO)
1.61%		10/25/43	⁶		250,000		9,845
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC01, Class X1 (IO)
0.56%		12/25/22	⁶		2,254,153		1,779
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.13%		02/16/53	⁶		2,686,208		8,597
Ginnie Mae,
Series 2013-1, Class IO (IO)
0.58%		02/16/54	⁶		504,053		6,249
Ginnie Mae,
Series 2013-125, Class IO (IO)
0.21%		10/16/54	⁶		896,893		11,929

							44,549


U.S. Agency Mortgage-Backed — 11.87%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
2.92%		11/25/41	²		76,303		5,356
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42			18,228		15,843
Fannie Mae REMICS,
Series 2013-5, Class GF
(LIBOR USD 1-Month plus 1.10%)
4.18%		10/25/42	²		31,304		31,003
Freddie Mac Pool SD8189
2.50%		01/01/52			47,406		39,949
Freddie Mac Pool SD8199
2.00%		03/01/52			48,517		39,302
Freddie Mac REMICS,
Series 4064, Class TB
3.50%		06/15/42			99,625		90,901
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%		07/15/36			156,166		33,838



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
3.59%		10/20/33	²	$	197,017	$	16,995
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48			24,533		23,195
Ginnie Mae,
Series 2018-154, Class BP
3.50%		11/20/48			2,475		2,331
Ginnie Mae,
Series 2019-15, Class GT
3.50%		02/20/49			20,526		19,500
UMBS (TBA)
2.00%		10/01/52			25,000		20,215
2.00%		11/01/52			50,000		40,424
2.50%		10/01/52			50,000		41,961
2.50%		11/01/52			100,000		83,906
3.00%		10/01/52			25,000		21,725
4.00%		10/01/52			50,000		46,350
4.50%		10/01/52			275,000		261,729
5.00%		10/01/52			175,000		170,516

							1,005,039


Total Mortgage-Backed
(Cost $3,270,545)							1,890,999


MUNICIPAL BONDS — 5.42%*

California — 0.82%
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series RY
6.76%		07/01/34			10,000		11,048
Regents of the University of California Medical Center
Pooled Revenue Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.01%		05/15/50			10,000		6,640
San Francisco City & County Airport Commercial-San
Francisco International Airport Revenue Bonds, Series C
3.05%		05/01/34			20,000		15,886
Santa Clara Valley Transportation Authority Revenue Bonds,
Transit Improvements
5.88%		04/01/32			20,000		20,675
Santa Monica Community College District General
Obligation Bonds
2.05%		08/01/33			20,000		15,153

							69,402


Florida — 0.16%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
3.50%		10/01/31			15,000		13,158


Maryland — 0.14%
City of Baltimore Revenue Bonds, Series B
2.13%		07/01/33			15,000		11,642



Issues	Maturity Date			Principal Amount		Value

MUNICIPAL BONDS (continued)

Massachusetts — 0.28%
Massachusetts School Building Authority Revenue Bonds,
Series A
2.50%		02/15/37		$	15,000	$	10,925
Massachusetts School Building Authority Revenue Bonds,
Series B
2.97%		10/15/32			15,000		12,594

							23,519


Michigan — 0.27%
University of Michigan Revenue Bonds, Series C
3.44%		04/01/31			25,000		22,804


New York — 3.75%
City of New York General Obligation Bonds, Series D
1.92%		08/01/31			30,000		23,115
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
3.73%		08/01/29			5,000		4,610
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Series D
2.50%		11/01/33			50,000		39,172
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33			100,000		74,240
New York State Dormitory Authority Revenue Bonds, School
Improvements, Series F
2.96%		02/15/32			25,000		21,059
New York State Dormitory Authority Revenue Bonds, Series C
1.95%		03/15/29			75,000		62,757
New York State Dormitory Authority Revenue Bonds,
University & College Improvements
5.29%		03/15/33			50,000		50,478
New York State Urban Development Corp. Revenue Bonds,
Economic Improvements, Series B
2.97%		03/15/34			15,000		12,198
New York State Urban Development Corp. Revenue Bonds,
Economic Improvements, Series F
2.00%		03/15/33			15,000		11,081
New York State Urban Development Corp. Revenue Bonds,
Transit Improvements, Series B
2.59%		03/15/35			25,000		19,158

							317,868


Total Municipal Bonds
(Cost $576,325)							458,393


U.S. TREASURY SECURITIES — 3.42%

U.S. Treasury Bonds — 0.13%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.63%		07/15/32	⁹		12,236		11,112


U.S. Treasury Notes — 3.29%
U.S. Treasury Notes
2.75%		08/15/32			128,000		117,120
3.88%		09/30/27			101,000		101,355

Issues

Maturity

Date

Principal

Amount

Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)

4.13%

09/30/24

60,000

60,032

278,507

Total U.S. Treasury Securities

(Cost $289,987)

289,619

Total Bonds — 102.73%

(Cost $11,275,147)

8,695,991

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 3.89%

Money Market Funds — 3.89%

Dreyfus Government Cash Management Fund

2.75%¹⁰

105,500

Fidelity Investments Money Market Funds - Government

Portfolio

2.74%¹⁰

20,614

Morgan Stanley Institutional Liquidity Funds - Government

Portfolio

2.80%¹⁰

203,500

Total Short-Term Investments

(Cost $329,614)

329,614

Total Investments - 106.62%

(Cost $11,604,761)

9,025,605

Liabilities in Excess of Other Assets - (6.62)%

(560,127

)

Net Assets - 100.00%

8,465,478

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign 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 $69,178, which is 0.82% of total net assets.

⁶	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁷	Non-income producing security.

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

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

¹⁰	Represents the current yield as of September 30, 2022.

*	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

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(TBA): To-Be-Announced

(USD): U.S. Dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 116.56%

ASSET-BACKED SECURITIES — 12.19%**

Access Group, Inc.,

Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.70%)

3.78%

07/25/56

^1,2

1,067,730

1,049,021

American Credit Acceptance Receivables Trust,

Series 2019-3, Class F

5.42%

05/12/26

7,780,000

7,725,737

American Credit Acceptance Receivables Trust,

Series 2019-4, Class D

2.97%

12/12/25

847,463

841,239

American Credit Acceptance Receivables Trust,

Series 2020-3, Class D

2.40%

06/15/26

1,700,000

1,658,499

Americredit Automobile Receivables Trust,

Series 2019-1, Class D

3.62%

03/18/25

4,610,000

4,549,037

AmeriCredit Automobile Receivables Trust,

Series 2020-1, Class D

1.80%

12/18/25

6,065,000

5,797,405

AMMC CLO 19 Ltd.,

Series 2016-19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

3.65%

10/16/28

^1,2,3

694,720

690,237

AMMC CLO XIII Ltd.,

Series 2013-13A, Class A1R2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.05%)

3.83%

07/24/29

^1,2,3

5,460,066

5,379,213

Barings CLO Ltd.,

Series 2013-IA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.51%

01/20/28

^1,2,3

3,493,922

3,443,610

Barings CLO Ltd.,

Series 2018-3A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

3.66%

07/20/29

^1,2,3

2,496,251

2,464,300

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

3.53%

04/25/35

^1,2

105,267

99,559

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

3.80%

02/25/30

24,372

24,330

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

3.78%

10/27/36

4,983,435

4,941,375

Canyon Capital CLO Ltd.,

Series 2021-1A, Class X

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.31%

04/15/34

^1,2,3

900,000

895,059



Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Carmax Auto Owner Trust,
Series 2019-4, Class C
2.60%		09/15/25		$	3,270,000	$	3,186,137
Carvana Auto Receivables Trust,
Series 2021-N2, Class D
1.27%		03/10/28			6,140,000		5,760,148
Carvana Auto Receivables Trust,
Series 2022-N1, Class N
4.60%		12/11/28	¹		3,152,646		3,144,055
CF Hippolyta Issuer, LLC,
Series 2020-1, Class A1
1.69%		07/15/60	¹		8,468,632		7,630,196
Drive Auto Receivables Trust,
Series 2021-2, Class C
0.87%		10/15/27			5,745,000		5,520,816
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
3.73%		11/15/28	^1,2,3		2,411,597		2,377,473
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
3.88%		04/26/32	^1,2		4,956,130		4,895,164
Exeter Automobile Receivables Trust,
Series 2021-3A, Class C
0.96%		10/15/26			11,395,000		10,898,730
Exeter Automobile Receivables Trust,
Series 2021-4A, Class C
1.46%		10/15/27			3,110,000		2,925,501
Flagship Credit Auto Trust,
Series 2019-4, Class D
3.12%		01/15/26	¹		2,967,000		2,857,450
GLS Auto Receivables Issuer Trust,
Series 2020-3A, Class D
2.27%		05/15/26	¹		4,000,000		3,896,406
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
3.45%		08/25/42	²		1,559,776		1,426,985
GoldenTree Loan Opportunities IX Ltd.,
Series 2014-9A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
3.92%		10/29/29	^1,2,3		3,839,366		3,796,404
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
4.05%		05/25/34	^1,2		260,850		260,596
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%		01/17/73	¹		2,979,475		2,702,723
JPMorgan Chase Bank N.A. - CACLN,
Series 2021-1, Class C
1.02%		09/25/28	¹		985,670		949,906

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

LCM XXIV Ltd.,

Series 24A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.98%)

3.69%

03/20/30

^1,2,3

4,500,000

4,424,936

Madison Park Funding XIX Ltd.,

Series 2015-19A, Class A1R2

(Cayman Islands)

(LIBOR USD 3-Month plus 0.92%)

3.68%

01/22/28

^1,2,3

6,007,120

5,911,606

Madison Park Funding XVII Ltd.,

Series 2015-17A, Class AR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.00%)

3.73%

07/21/30

^1,2,3

10,730,000

10,529,682

Madison Park Funding XXX Ltd.,

Series 2018-30A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 0.75%)

3.26%

04/15/29

^1,2,3

3,705,976

3,636,748

Magnetite VII Ltd.,

Series 2012-7A, Class A1R2

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.31%

01/15/28

^1,2,3

5,531,229

5,443,282

Navient Private Education Refi Loan Trust,

Series 2021-CA, Class A

1.06%

10/15/69

1,063,053

912,997

Navient Private Education Refi Loan Trust,

Series 2021-FA, Class A

1.11%

02/18/70

3,276,740

2,817,424

Navient Student Loan Trust,

Series 2015-2, Class A3

(LIBOR USD 1-Month plus 0.57%)

3.65%

11/26/40

3,885,119

3,758,015

Navient Student Loan Trust,

Series 2017-2A, Class A

(LIBOR USD 1-Month plus 1.05%)

4.13%

12/27/66

^1,2

2,390,783

2,367,710

Nelnet Student Loan Trust,

Series 2013-1A, Class A

(LIBOR USD 1-Month plus 0.60%)

3.68%

06/25/41

^1,2

1,608,035

1,581,337

Nelnet Student Loan Trust,

Series 2014-5A, Class A

(LIBOR USD 1-Month plus 0.55%)

3.63%

07/25/46

^1,2

5,164,297

5,096,679

NYACK Park CLO Ltd.,

Series 2021-1A, Class X

(Cayman Islands)

(LIBOR USD 3-Month plus 0.65%)

3.36%

10/20/34

^1,2,3

2,343,750

2,301,984

OCP CLO Ltd.,

Series 2017-14A, Class A1A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

4.13%

11/20/30

^1,2,3

2,000,000

1,966,950

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Octagon Investment Partners XIV Ltd.,

Series 2012-1A, Class AARR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

3.46%

07/15/29

^1,2,3

6,000,000

5,903,400

OHA Credit Funding 2 Ltd.,

Series 2019-2A, Class XR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.53%

04/21/34

^1,2,3

984,375

981,304

Palmer Square CLO Ltd.,

Series 2018-1A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.03%)

3.77%

04/18/31

^1,2,3

2,250,000

2,205,450

Palmer Square Loan Funding Ltd.,

Series 2021-2A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.78%

05/20/29

^1,2,3

1,255,499

1,237,545

PHEAA Student Loan Trust,

Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.15%)

4.23%

09/25/65

^1,2

5,146,012

5,140,040

Progress Residential Trust,

Series 2020-SFR3, Class F

2.80%

10/17/27

6,980,000

6,185,256

ReadyCap Commercial Mortgage Trust,

Series 2019-6, Class A

2.83%

10/25/52

3,790,417

3,562,206

Recette CLO Ltd.,

Series 2015-1A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.79%

04/20/34

^1,2,3

5,100,000

4,876,875

Reese Park CLO Ltd.,

Series 2020-1A, Class XR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.41%

10/15/34

^1,2,3

1,900,000

1,863,539

Rockford Tower CLO Ltd.,

Series 2017-3A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

3.90%

10/20/30

^1,2,3

1,750,000

1,716,267

Santander Bank Auto Credit-Linked Notes,

Series 2022-B, Class E

8.68%

08/16/32

5,250,000

5,257,395

Santander Drive Auto Receivables Trust,

Series 2019-2, Class D

3.22%

07/15/25

4,781,013

4,750,937

Santander Drive Auto Receivables Trust,

Series 2020-4, Class D

1.48%

01/15/27

3,835,000

3,689,691

Santander Drive Auto Receivables Trust,

Series 2021-3, Class C

0.95%

09/15/27

2,010,000

1,939,821

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Santander Drive Auto Receivables Trust,

Series 2021-3, Class D

1.33%

09/15/27

6,260,000

5,893,213

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

05/10/37

^4,5,6

6,202,462

5,461,558

SLC Student Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 3-Month plus 0.06%)

2.97%

05/15/29

2,207,321

2,182,691

SLM Student Loan Trust,

Series 2003-11, Class A6

(LIBOR USD 3-Month plus 0.55%)

3.84%

12/15/25

^1,2

151,490

151,284

SLM Student Loan Trust,

Series 2008-4, Class A4

(LIBOR USD 3-Month plus 1.65%)

4.43%

07/25/22

3,229,330

3,229,929

SLM Student Loan Trust,

Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

3.88%

07/25/23

2,272,982

2,231,170

SLM Student Loan Trust,

Series 2012-2, Class A

(LIBOR USD 1-Month plus 0.70%)

3.78%

01/25/29

1,991,234

1,916,223

SLM Student Loan Trust,

Series 2013-4, Class A

(LIBOR USD 1-Month plus 0.55%)

3.63%

06/25/43

2,285,635

2,217,577

SLM Student Loan Trust,

Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.60%)

3.68%

02/26/29

3,634,610

3,461,339

Stack Infrastructure Issuer LLC,

Series 2019-2A, Class A2

3.08%

10/25/44

5,000,000

4,711,914

Student Loan Consolidation Center Student Loan Trust I,

Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^1,2

2,900,000

2,676,677

Tricon American Homes Trust,

Series 2017-SFR2, Class A

2.93%

01/17/36

10,685,252

10,431,968

Tricon American Homes Trust,

Series 2017-SFR2, Class B

3.28%

01/17/36

9,017,000

8,731,117

Vantage Data Centers Issuer LLC,

Series 2019-1A, Class A2

3.19%

07/15/44

5,417,641

5,172,924

Voya CLO,

Series 2017-2A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 0.98%)

3.49%

06/07/30

^1,2,3

9,600,000

9,414,662

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

World Omni Auto Receivables Trust,

Series 2021-D, Class B

1.52%

11/15/27

5,325,000

4,732,489

Total Asset-Backed Securities

(Cost $279,751,583)

274,463,122

BANK LOANS — 2.39%*

Automotive — 0.02%

Clarios Global LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

04/30/26

507,125

481,241

Communications — 0.25%

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.37%

03/15/27

2,400,920

2,190,287

Charter Communications Operating LLC,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

4.87%

02/01/27

243,108

234,497

CSC Holdings LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

5.32%

04/15/27

245,592

230,397

Term Loan, 1st Lien

(LIBOR plus 2.25%)

5.07%

07/17/25

241,839

231,411

Intelsat Jackson Holdings SA,

Term Loan, 1st Lien (Luxembourg)

(SOFR plus 4.50%)

7.44%

02/01/29

^2,3

1,919,795

1,806,527

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.12%

03/09/27

1,212,632

1,019,223

5,712,342

Consumer Discretionary — 0.35%

AI Aqua Merger Sub, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

07/31/28

^2,7

1,823,800

1,701,268

Four Seasons Hotels, Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.12%

11/30/23

2,631,919

2,623,234

Naked Juice, LLC,

Term Loan, 1st Lien (Luxembourg)

(SOFR plus 3.35%)

6.15%

01/24/29

2,244,375

2,067,316

Sunshine Luxembourg VII SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

10/01/26

1,559,171

1,454,800

7,846,618

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%)

4.74% - 4.87%

12/31/25

242,468

234,739

Finance — 0.18%

Deerfield Dakota Holding LLC,

Term Loan B, 1st Lien

(SOFR plus 3.75%)

6.78%

04/09/27

442,523

418,553

Jane Street Group LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

01/26/28

742,443

713,596

Mozart Borrower, LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

10/23/28

2,512,375

2,314,915

Setanta Aircraft Leasing DAC,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.67%

11/05/28

515,000

504,056

3,951,120

Food — 0.08%

Chobani LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

10/25/27

1,887,288

1,735,720

Gaming — 0.09%

Caesars Resort Collection LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

12/23/24

549,769

538,028

Golden Nugget, LLC,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

01/26/29

908,132

845,035

J&J Ventures Gaming LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

7.67%

04/26/28

116,036

110,525

Scientific Games International, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.00%)

5.91%

04/13/29

473,853

461,533

1,955,121

Health Care — 0.27%

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(PRIME plus 1.50%)

6.39%

03/01/24

77,272

77,133

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Embecta Corp.,

Term Loan B, 1st Lien

(SOFR plus 3.00%)

6.55%

03/30/29

2,465,870

2,401,140

Genesee & Wyoming, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.00%)

5.67%

12/30/26

161,657

157,616

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.12%

11/15/27

231,389

220,157

Horizon Therapeutics USA, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 2.00%)

5.13%

05/22/26

1,000,000

965,625

Jazz Financing Lux SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

05/05/28

473,981

459,041

Organon & Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.19%

06/02/28

1,000,000

980,000

Peraton Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

02/01/28

312,395

296,893

Perrigo Investments LLC,

Term Loan B, 1st Lien

(SOFR plus 2.60%)

5.37%

04/20/29

498,750

492,516

PetVet Care Centers LLC,

Term Loan B3, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/14/25

116,400

108,107

6,158,228

Industrials — 0.22%

AZZ, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.40%)

7.00%

05/11/29

64,092

62,570

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

4.18%

07/01/26

2,911,775

2,825,979

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

8.12%

08/02/27

1,286,387

1,201,569

II-VI, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.31%

07/02/29

149,546

145,185

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Ingram Micro, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

06/30/28

295,218

288,207

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

5.92%

05/30/25

389,000

374,292

Term Loan F, 1st Lien

(LIBOR plus 2.25%)

5.92%

12/09/25

129,363

124,257

5,022,059

Information Technology — 0.42%

AthenaHealth Group, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.50%)

6.58%

02/15/29

^2,8

2,408,652

2,164,174

Azalea Topco, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.85%)

6.59%

07/24/26

1,492,500

1,363,772

Central Parent, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.50%)

6.61%

07/06/29

347,835

335,899

Entegris, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.00%)

5.60% - 6.03%

07/06/29

410,000

407,722

Gainwell Acquisition Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.96%

10/01/27

646,709

617,930

Mitnick Corporate Purchaser, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.85%)

7.39%

05/02/29

111,000

105,034

NCR Corp.,

Delayed-Draw Term Loan B, 1st Lien

(LIBOR plus 3.75%)

5.62%

08/28/26

448,843

432,011

NortonLifeLock, Inc.,

Term Loan B, 1st Lien

(SOFR plus 2.10%)

4.85%

09/12/29

3,000,000

2,890,500

Prime Security Services Borrower LLC,

Term Loan B1, 1st Lien

(LIBOR plus 2.75%)

5.30%

09/23/26

249,962

242,678

Proofpoint, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.32%

08/31/28

130,443

122,816

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

RealPage, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.82%

04/24/28

109,723

103,079

Sophia LP,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

10/07/27

587,467

566,172

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.14%

03/04/28

168,521

148,509

9,500,296

Insurance — 0.05%

Acrisure LLC,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/15/27

1,213,750

1,113,106

Retail — 0.19%

AmWINS Group, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.07%

02/19/28

435,569

417,726

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

03/01/27

3,061,075

2,914,955

Whatabrands LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

08/03/28

992,500

921,164

4,253,845

Services — 0.25%

Amentum Government Services Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67% - 8.17%

01/29/27

156,655

150,128

Amentum Government Services Holdings, LLC,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.21% - 7.56%

02/15/29

2,992,500

2,865,319

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.31%

08/01/27

1,127,902

1,074,918

Element Materials Technology Group U.S. Holdings, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.25%)

7.28%

06/22/29

^2,9

236,992

223,661

Pre-Paid Legal Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.82%

12/15/28

545,084

519,023



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Services (continued)
Safe Fleet Holdings, LLC,
Term Loan, 1st Lien
(SOFR plus 3.85%)
6.93%		02/23/29	²	$	230,818	$	218,123
Trans Union LLC,
Term Loan B6, 1st Lien
(LIBOR plus 2.25%)
5.37%		12/01/28	²		304,990		296,032
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
7.12%		11/02/27	²		170,408		161,604

							5,508,808


Transportation — 0.01%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
4.87%		01/29/27	²		173,727		160,202
United Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.53%		04/21/28	²		128,630		123,314

							283,516


Total Bank Loans
(Cost $55,836,337)							53,756,759


CORPORATES — 32.21%*

Banking — 8.73%
Bank of America Corp.
1.73%		07/22/27	⁶		1,549,000		1,329,536
3.37%		01/23/26	⁶		3,035,000		2,874,727
Bank of America Corp.
(GMTN)
3.59%		07/21/28	⁶		2,680,000		2,421,455
Bank of America Corp.
(MTN)
1.32%		06/19/26	⁶		20,993,000		18,629,163
3.38%		04/02/26	⁶		22,713,000		21,493,251
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,6		2,000,000		1,623,468
2.59%		09/11/25	^1,3,6		9,715,000		8,846,750
3.80%		06/09/23	³		1,170,000		1,149,716
3.87%		01/12/29	^1,3,6		2,605,000		2,131,457
6.44%		08/11/28	^1,3,6		5,375,000		5,010,987
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,6		8,340,000		7,616,403
HSBC Holdings PLC
(United Kingdom)
0.98%		05/24/25	^3,6		4,510,000		4,145,365
2.01%		09/22/28	^3,6		20,105,000		16,182,303
ING Groep NV
(Netherlands)
3.87%		03/28/26	^3,6		645,000		611,837



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
JPMorgan Chase & Co.
0.70%		03/16/24	⁶	$	6,581,000	$	6,448,397
0.77%		08/09/25	⁶		2,535,000		2,327,604
2.18%		06/01/28	⁶		879,000		748,633
4.02%		12/05/24	⁶		20,520,000		20,201,958
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	^3,6		2,175,000		1,851,985
3.87%		07/09/25	^3,6		381,000		367,565
4.72%		08/11/26	^3,6		10,255,000		9,865,350
Macquarie Group Ltd.
(Australia)
1.20%		10/14/25	^1,3,6		5,880,000		5,356,717
1.34%		01/12/27	^1,3,6		3,425,000		2,934,917
3.19%		11/28/23	^1,3,6		3,960,000		3,949,179
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	^3,6		320,000		318,032
4.80%		11/15/24	^3,6		13,000,000		12,825,070
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	^1,3		1,000,000		992,170
UBS AG
(Switzerland)
(SOFR Rate plus 0.45%)
3.07%		08/09/24	^1,2,3		3,185,000		3,164,145
Wells Fargo & Co.
(MTN)
2.39%		06/02/28	⁶		2,000,000		1,717,636
3.53%		03/24/28	⁶		32,200,000		29,243,816

							196,379,592


Communications — 1.88%
AT&T, Inc.
2.30%		06/01/27			1,600,000		1,402,937
(LIBOR USD 3-Month plus 1.18%)
4.42%		06/12/24	²		475,000		476,366
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.91%		07/23/25			1,720,000		1,679,794
Cox Communications, Inc.
3.15%		08/15/24	¹		1,199,000		1,149,078
7.63%		06/15/25			900,000		943,976
Level 3 Financing, Inc.
3.40%		03/01/27	¹		1,330,000		1,114,290
Qwest Corp.
7.25%		09/15/25			4,665,000		4,781,625
SES SA
(Luxembourg)
3.60%		04/04/23	^1,3		4,820,000		4,763,163
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		9,916,875		9,780,109
5.15%		03/20/28	¹		3,675,000		3,599,232
T-Mobile USA, Inc.
2.25%		02/15/26			3,766,000		3,375,440



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
3.75%		04/15/27		$	6,325,000	$	5,849,300
3.88%		04/15/30			3,810,000		3,381,859

							42,297,169


Consumer Discretionary — 1.98%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		6,030,000		5,787,315
BAT Capital Corp.
3.22%		08/15/24			2,140,000		2,060,100
3.56%		08/15/27			9,265,000		8,140,427
GSK Consumer Healthcare Capital U.S., LLC
3.38%		03/24/27	¹		6,050,000		5,493,514
Hyatt Hotels Corp.
1.30%		10/01/23			4,655,000		4,477,659
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/24	^1,3		1,106,000		1,057,246
3.50%		07/26/26	^1,3		5,205,000		4,719,146
WarnerMedia Holdings, Inc.
3.76%		03/15/27	¹		14,400,000		12,929,419

							44,664,826


Electric — 2.54%
Alliant Energy Finance LLC
1.40%		03/15/26	¹		6,540,000		5,587,293
American Electric Power Co., Inc.
2.03%		03/15/24			6,880,000		6,584,768
Black Hills Corp.
4.25%		11/30/23			4,050,000		4,014,199
Dominion Energy, Inc.
2.45%		01/15/23	¹		5,000,000		4,972,731
Dominion Energy, Inc.,
Series A
3.30%		03/15/25			4,600,000		4,448,345
Duke Energy Corp.
4.30%		03/15/28			3,295,000		3,104,098
Evergy Metro, Inc.
3.65%		08/15/25			1,613,000		1,559,552
Eversource Energy
2.90%		03/01/27			6,425,000		5,812,525
ITC Holdings Corp.
4.95%		09/22/27	¹		5,460,000		5,329,223
Jersey Central Power & Light Co.
4.30%		01/15/26	¹		1,868,000		1,794,918
4.70%		04/01/24	¹		8,348,000		8,222,193
NextEra Energy Capital Holdings, Inc.
2.94%		03/21/24			4,950,000		4,812,778
Pennsylvania Electric Co.
4.15%		04/15/25	¹		500,000		477,270
Tucson Electric Power Co.
3.85%		03/15/23			530,000		528,244

							57,248,137


Energy — 1.16%
Energy Transfer LP
4.05%		03/15/25			2,610,000		2,504,159



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
4.75%		01/15/26		$	2,000,000	$	1,928,437
4.90%		02/01/24			4,292,000		4,264,665
5.95%		12/01/25			2,520,000		2,520,109
Petroleos Mexicanos
(Mexico)
6.70%		02/16/32	³		6,259,000		4,394,757
Plains All American Pipeline LP/PAA Finance Corp.
4.50%		12/15/26			3,017,000		2,858,389
Ruby Pipeline LLC
8.00%		04/01/22	^1,4,5,10,11		2,254,091		1,882,166
Sabine Pass Liquefaction LLC
5.00%		03/15/27			3,960,000		3,811,302
Southern Co. Gas Capital Corp.
3.88%		11/15/25			1,950,000		1,868,089

							26,032,073


Finance — 5.68%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/26	³		500,000		422,905
3.15%		02/15/24	³		6,300,000		6,055,158
4.88%		01/16/24	³		718,000		706,967
Air Lease Corp.
2.20%		01/15/27			4,835,000		4,090,278
3.38%		07/01/25			1,250,000		1,165,836
American Express Co.
2.25%		03/04/25			6,440,000		6,043,365
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		5,905,000		4,627,633
2.75%		02/21/28	^1,3		1,350,000		1,062,080
3.25%		02/15/27	^1,3		2,350,000		1,978,118
Capital One Financial Corp.
2.64%		03/03/26	⁶		5,150,000		4,787,951
Citigroup, Inc.
0.98%		05/01/25	⁶		6,270,000		5,819,912
3.11%		04/08/26	⁶		8,025,000		7,522,250
3.29%		03/17/26	⁶		6,987,000		6,598,677
3.35%		04/24/25	⁶		10,253,000		9,894,234
3.67%		07/24/28	⁶		5,365,000		4,831,997
Intercontinental Exchange, Inc.
4.00%		09/15/27			6,050,000		5,740,187
JPMorgan Chase & Co.
2.60%		02/24/26	⁶		9,244,000		8,602,651
3.54%		05/01/28	⁶		1,621,000		1,469,043
Mercedes-Benz Finance North America LLC
1.75%		03/10/23	¹		2,470,000		2,439,820
Morgan Stanley
2.48%		01/21/28	⁶		5,000,000		4,376,607
2.63%		02/18/26	⁶		2,580,000		2,404,481
Morgan Stanley
(GMTN)
0.79%		01/22/25	⁶		7,760,000		7,273,747
1.51%		07/20/27	⁶		4,685,000		3,996,552



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Morgan Stanley
(MTN)
0.53%		01/25/24	⁶	$	17,835,000	$	17,550,959
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,6		6,730,000		6,656,111
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		365,000		362,920
UBS Group AG
(Switzerland)
4.70%		08/05/27	^1,3,6		1,415,000		1,344,207

							127,824,646


Food — 0.61%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.00%		02/02/29	^1,3		5,590,000		4,586,899
5.13%		02/01/28	^1,3		2,205,000		2,059,872
Kraft Heinz Foods Co.
3.88%		05/15/27			7,500,000		7,013,302

							13,660,073


Health Care — 2.82%
Aetna, Inc.
3.50%		11/15/24			3,136,000		3,050,200
Bayer U.S. Finance II LLC
2.85%		04/15/25	¹		4,665,000		4,311,746
4.25%		12/15/25	¹		1,000,000		957,871
Bayer U.S. Finance LLC
3.38%		10/08/24	¹		5,540,000		5,341,950
Becton Dickinson and Co.
3.73%		12/15/24			3,000,000		2,900,066
CommonSpirit Health
2.76%		10/01/24			5,400,000		5,148,715
CVS Health Corp.
2.88%		06/01/26			4,330,000		4,013,978
Dignity Health
3.13%		11/01/22			1,140,000		1,138,925
Fresenius U.S. Finance II, Inc.
4.50%		01/15/23	¹		5,205,000		5,191,617
HCA, Inc.
3.13%		03/15/27	¹		2,510,000		2,225,573
5.38%		02/01/25			2,345,000		2,318,272
5.38%		09/01/26			2,520,000		2,453,926
5.88%		02/15/26			3,980,000		3,933,195
HCA, Inc.
(MTN)
7.58%		09/15/25			1,100,000		1,142,090
Humana, Inc.
3.85%		10/01/24			1,990,000		1,941,651
PerkinElmer, Inc.
0.85%		09/15/24			6,880,000		6,384,328



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Premier Health Partners,
Series G
2.91%		11/15/26		$	3,500,000	$	3,129,568
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/23	³		5,275,000		5,052,651
Tenet Healthcare Corp.
4.63%		09/01/24	¹		3,000,000		2,907,195

							63,543,517


Industrials — 1.57%
Amcor Flexibles North America, Inc.
4.00%		05/17/25			6,125,000		5,926,128
Artera Services LLC
9.03%		12/04/25	¹		2,500,000		2,016,385
BAE Systems Holdings, Inc.
3.85%		12/15/25	¹		2,910,000		2,773,362
Berry Global, Inc.
0.95%		02/15/24			1,405,000		1,320,315
1.65%		01/15/27			2,000,000		1,661,010
4.88%		07/15/26	¹		1,365,000		1,284,834
Boeing Co. (The)
1.17%		02/04/23			5,750,000		5,683,894
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
3.21%		05/05/26	²		7,235,000		6,876,284
(LIBOR USD 3-Month plus 0.48%)
3.39%		08/15/36	²		2,182,000		1,797,403
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%		03/22/23	^1,3		5,920,000		5,888,873

							35,228,488


Information Technology — 1.80%
Fidelity National Information Services, Inc.
4.50%		07/15/25			6,045,000		5,923,557
Netflix, Inc.
3.63%		06/15/25	¹		3,207,000		3,033,964
5.88%		02/15/25			1,885,000		1,896,057
Oracle Corp.
2.80%		04/01/27			9,385,000		8,294,515
Skyworks Solutions, Inc.
0.90%		06/01/23			6,340,000		6,170,406
Take-Two Interactive Software, Inc.
3.30%		03/28/24			5,960,000		5,811,230
TSMC Arizona Corp.
3.88%		04/22/27			3,325,000		3,170,222
VMware, Inc.
1.00%		08/15/24			6,690,000		6,196,168

							40,496,119


Insurance — 1.57%
Aon Corp.
4.50%		12/15/28			2,442,000		2,307,016
Athene Global Funding
2.51%		03/08/24	¹		2,935,000		2,801,772



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
(SOFR Index plus 0.70%)
3.44%		05/24/24	^1,2	$	5,005,000	$	4,912,534
Equitable Financial Life Global Funding
0.80%		08/12/24	¹		3,655,000		3,373,517
Farmers Insurance Exchange
8.63%		05/01/24	¹		5,000,000		5,209,194
MMI Capital Trust I,
Series B
7.63%		12/15/27			2,000,000		2,144,262
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^1,6		5,550,000		5,550,698
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^1,6		1,600,000		1,534,179
Trinity Acquisition PLC
(United Kingdom)
4.63%		08/15/23	³		3,410,000		3,404,378
Willis North America, Inc.
4.65%		06/15/27			4,345,000		4,133,571

							35,371,121


Real Estate Investment Trust (REIT) — 1.39%
Digital Euro Finco LLC
2.63%		04/15/24			7,715,000		7,345,119
Federal Realty Investment Trust
7.48%		08/15/26			1,850,000		1,950,200
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			1,197,000		1,141,627
5.38%		11/01/23			7,868,000		7,742,112
Hudson Pacific Properties LP
5.95%		02/15/28			1,530,000		1,467,869
Piedmont Operating Partnership LP
3.40%		06/01/23			3,905,000		3,864,296
SL Green Operating Partnership LP
3.25%		10/15/22			645,000		644,534
VICI Properties LP/VICI Note Co., Inc.
4.63%		06/15/25	¹		4,640,000		4,374,126
5.63%		05/01/24	¹		285,000		280,447
5.75%		02/01/27	¹		2,590,000		2,443,452

							31,253,782


Retail — 0.09%
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/27	^1,3		2,175,000		1,947,120


Services — 0.34%
Global Payments, Inc.
4.95%		08/15/27			8,079,000		7,717,108


Transportation — 0.05%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			1,382,247		1,182,373


Total Corporates
(Cost $774,511,867)							724,846,144



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED — 48.21%**

Non-Agency Commercial Mortgage-Backed — 9.72%
Arbor Realty Commercial Real Estate Notes Ltd.,
Series 2021-FL3, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.07%)
3.89%		08/15/34	^1,2,3	$	5,000,000	$	4,843,582
Ashford Hospitality Trust,
Series 2018-KEYS, Class A
(LIBOR USD 1-Month plus 1.00%)
3.82%		06/15/35	^1,2		6,275,000		6,094,107
BANK,
Series 2018-BN14, Class A2
4.13%		09/15/60			4,921,823		4,808,337
Benchmark Mortgage Trust,
Series 2020-B17, Class A2
2.21%		03/15/53			7,590,000		7,018,723
BX Commercial Mortgage Trust,
Series 2020-VKNG, Class A
(LIBOR USD 1-Month plus 0.93%)
3.75%		10/15/37	^1,2		5,896,448		5,740,629
BX Commercial Mortgage Trust,
Series 2021-CIP, Class A
(LIBOR USD 1-Month plus 0.92%)
3.74%		12/15/38	^1,2		7,745,000		7,429,374
BX Commercial Mortgage Trust,
Series 2021-VINO, Class A
(LIBOR USD 1-Month plus 0.65%)
3.47%		05/15/38	^1,2		5,354,000		5,155,065
BX Trust,
Series 2018-EXCL, Class B
(LIBOR USD 1-Month plus 1.33%)
4.14%		09/15/37	^1,2		3,416,000		3,379,428
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%		05/10/58			1,710,624		1,649,996
Cold Storage Trust,
Series 2020-ICE5, Class A
(LIBOR USD 1-Month plus 0.90%)
3.72%		11/15/37	^1,2		8,456,667		8,285,914
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.29%		03/10/46	⁶		22,971,741		45,137
Commercial Mortgage Trust,
Series 2013-CR9, Class AM
4.43%		07/10/45	^1,6		3,100,000		3,053,482
Commercial Mortgage Trust,
Series 2014-CR15, Class ASB
3.60%		02/10/47			1,816,133		1,798,773
Commercial Mortgage Trust,
Series 2014-CR20, Class A3
3.33%		11/10/47			5,833,521		5,628,360
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%		07/10/50			4,327,636		4,188,763
Commercial Mortgage Trust,
Series 2016-DC2, Class ASB
3.55%		02/10/49			169,555		165,086

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Credit Suisse Mortgage Capital Certificates,

Series 2019-ICE4, Class A

(LIBOR USD 1-Month plus 0.98%)

3.80%

05/15/36

^1,2

11,094,800

10,947,105

DBGS Mortgage Trust,

Series 2018-BIOD, Class A

(LIBOR USD 1-Month plus 0.80%)

3.51%

05/15/35

^1,2

9,082,801

8,909,809

Great Wolf Trust,

Series 2019-WOLF, Class A

(LIBOR USD 1-Month plus 1.03%)

3.85%

12/15/36

^1,2

9,584,000

9,338,788

Greystone CRE Notes Ltd.,

Series 2019-FL2, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.18%)

4.00%

09/15/37

^1,2,3

5,374,500

5,353,470

GS Mortgage Securities Corp. II,

Series 2018-GS10, Class A1

3.20%

07/10/51

1,435,681

1,427,746

GS Mortgage Securities Corp. II,

Series 2021-ARDN, Class A

(LIBOR USD 1-Month plus 1.25%)

4.07%

11/15/36

^1,2

3,080,000

2,991,887

GS Mortgage Securities Corp. Trust,

Series 2019-70P, Class A

(LIBOR USD 1-Month plus 1.00%)

3.82%

10/15/36

^1,2

10,000,000

9,648,905

GS Mortgage Securities Corp. Trust,

Series 2022-SHIP, Class A

(CME Term SOFR 1-Month plus 0.73%)

3.58%

08/15/36

^1,2

3,448,000

3,402,458

GS Mortgage Securities Trust,

Series 2011-GC5, Class AS

5.21%

08/10/44

^1,6

3,297,986

3,283,451

GS Mortgage Securities Trust,

Series 2018-GS9, Class A2

3.84%

03/10/51

8,125,860

8,116,945

Houston Galleria Mall Trust,

Series 2015-HGLR, Class A1A1

3.09%

03/05/37

3,750,000

3,460,575

Independence Plaza Trust,

Series 2018-INDP, Class A

3.76%

07/10/35

3,294,364

3,098,255

Independence Plaza Trust,

Series 2018-INDP, Class B

3.91%

07/10/35

10,000,000

9,297,218

Irvine Core Office Trust,

Series 2013-IRV, Class A1

2.07%

05/15/48

1,940,713

1,928,388

JPMorgan Chase Commercial Mortgage Securities Trust,

Series 2013-LC11, Class XA (IO)

1.35%

04/15/46

⁶

28,186,520

86,965

JPMorgan Chase Commercial Mortgage Securities Trust,

Series 2014-C20, Class A4A2

3.54%

07/15/47

3,054,114

2,928,134



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2021-MHC, Class A
(LIBOR USD 1-Month plus 0.80%)
3.62%		04/15/38	^1,2	$	4,932,362	$	4,778,161
KKR Industrial Portfolio Trust,
Series 2021-KDIP, Class A
(LIBOR USD 1-Month plus 0.55%)
3.37%		12/15/37	^1,2		3,772,018		3,634,762
LoanCore Issuer Ltd.,
Series 2018-CRE1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.13%)
3.95%		05/15/28	^1,2,3		182,588		182,253
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
4.66%		11/15/35	^1,2		8,434,614		8,408,178
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XA (IO)
0.71%		10/15/46	⁶		44,567,957		130,938
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.99%		03/15/48	⁶		32,912,761		508,473
One Lincoln Street Commercial Mortgage,
Series 2004-C3, Class A1
5.72%		10/15/30	^1,6		5,469,591		5,479,220
One New York Plaza Trust,
Series 2020-1NYP, Class A
(LIBOR USD 1-Month plus 0.95%)
3.77%		01/15/36	^1,2		3,240,000		3,113,605
TRTX Issuer Ltd.,
Series 2019-FL3, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.26%)
4.19%		10/15/34	^1,2,3		5,059,520		5,058,207
UBS Commercial Mortgage Trust,
Series 2018-C11, Class A2
3.99%		06/15/51			699,346		693,369
UBS Commercial Mortgage Trust,
Series 2018-C12, Class A2
4.15%		08/15/51			11,836,354		11,742,105
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50			10,245,530		10,016,384
Wells Fargo Commercial Mortgage Trust,
Series 2017-SMP, Class A
(LIBOR USD 1-Month plus 0.88%)
3.69%		12/15/34	^1,2		6,300,000		6,082,143
WF-RBS Commercial Mortgage Trust,
Series 2013-C18, Class A4
3.90%		12/15/46			5,497,755		5,381,964

							218,714,617

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed — 15.25%

Accredited Mortgage Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 1-Month plus 0.22%)

3.30%

02/25/37

1,982,122

1,964,225

ACE Securities Corp. Home Equity Loan Trust,

Series 2006-OP1, Class A2D

(LIBOR USD 1-Month plus 0.48%)

3.56%

04/25/36

7,048,470

6,164,074

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-

Through Certificates,

Series 2005-R1, Class M3

(LIBOR USD 1-Month plus 0.80%)

3.88%

03/25/35

1,049,928

1,048,458

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-

Through Certificates,

Series 2005-R9, Class M1

(LIBOR USD 1-Month plus 0.71%)

3.79%

11/25/35

9,270,477

9,113,587

Amresco Residential Securities Corp. Mortgage Loan Trust,

Series 1998-1, Class A5 (STEP-reset date 11/25/22)

7.51%

10/25/27

1,453

1,445

Argent Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2005-W2, Class M1

(LIBOR USD 1-Month plus 0.74%)

3.82%

10/25/35

6,271,594

6,153,349

Asset-Backed Securities Corp. Home Equity Loan Trust,

Series 2006-HE3, Class A5

(LIBOR USD 1-Month plus 0.54%)

2.90%

03/25/36

2,609,178

2,519,241

Banc of America Alternative Loan Trust,

Series 2003-8, Class 1CB1

5.50%

10/25/33

3,568,195

3,387,122

Bear Stearns ALT-A Trust,

Series 2004-10, Class M1

(LIBOR USD 1-Month plus 0.90%)

3.98%

09/25/34

2,012,374

2,012,216

Bear Stearns ALT-A Trust,

Series 2005-2, Class 1M1

(LIBOR USD 1-Month plus 0.75%)

3.83%

03/25/35

1,141,666

1,134,741

Bear Stearns ARM Trust,

Series 2004-3, Class 4A

3.82%

07/25/34

⁶

272,763

254,100

BNC Mortgage Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 1-Month plus 0.16%)

3.24%

03/25/37

4,948,690

4,728,315

Chase Funding Trust,

Series 2002-2, Class 2A1

(LIBOR USD 1-Month plus 0.50%)

3.58%

05/25/32

1,568,571

1,530,173

Chase Mortgage Finance Trust,

Series 2007-A1, Class 8A1

3.60%

02/25/37

⁶

2,876,857

2,815,193

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Chase Mortgage Finance Trust,

Series 2007-A2, Class 2A3

3.26%

06/25/35

⁶

484,980

474,834

Chevy Chase Mortgage Funding LLC, Mortgage-Backed

Certificates,

Series 2005-2A, Class A1

(LIBOR USD 1-Month plus 0.18%)

3.26%

05/25/36

^1,2

420,945

368,228

CIM Trust,

Series 2018-R6, Class A1

(LIBOR USD 1-Month plus 1.08%)

3.64%

09/25/58

^1,2

3,840,025

3,802,590

CIM Trust,

Series 2021-R3, Class A1A

1.95%

06/25/57

^1,6

8,127,216

7,285,929

CIM Trust,

Series 2022-I1, Class A1

4.35%

02/25/67

^1,6

5,872,154

5,588,972

Citigroup Mortgage Loan Trust,

Series 2006-AMC1, Class A1

(LIBOR USD 1-Month plus 0.29%)

3.37%

09/25/36

^1,2

7,315,915

6,997,936

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-HYB1, Class A41

2.62%

02/25/34

⁶

257

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH2, Class M2

(LIBOR USD 1-Month plus 0.42%)

3.50%

08/25/36

10,113,000

9,811,021

Countrywide Asset-Backed Certificates Trust,

Series 2005-AB2, Class M1

(LIBOR USD 1-Month plus 0.71%)

3.79%

09/25/35

8,139,995

7,824,817

Countrywide Asset-Backed Certificates Trust,

Series 2006-14, Class 2A3

(LIBOR USD 1-Month plus 0.48%)

3.56%

02/25/37

2,739,803

2,638,389

Countrywide Asset-Backed Certificates Trust,

Series 2006-4, Class M1

(LIBOR USD 1-Month plus 0.53%)

3.61%

07/25/36

4,654,215

4,570,815

Countrywide Asset-Backed Certificates Trust,

Series 2007-7, Class 1A

(LIBOR USD 1-Month plus 0.20%)

3.28%

10/25/47

8,325,836

7,946,484

Countrywide Asset-Backed Certificates Trust,

Series 2007-8, Class 1A1

(LIBOR USD 1-Month plus 0.19%)

3.27%

11/25/37

8,138,293

7,553,504

Countrywide Home Loan Mortgage Pass-Through Trust,

Series 2004-14, Class 4A1

3.92%

08/25/34

⁶

7,359

6,871

Credit Suisse First Boston Mortgage Securities Corp.,

Series 2004-AR1, Class 5A1

2.93%

02/25/34

⁶

319,467

311,047

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Credit Suisse Mortgage Capital Trust

Series 2022-RPL3, Class A1

3.61%

03/25/61

^1,6

8,665,918

8,441,104

Credit-Based Asset Servicing and Securitization LLC,

Series 2007-CB4, Class A1A

(LIBOR USD 1-Month plus 0.09%)

3.17%

04/25/37

1,263,373

1,224,071

Credit-Based Asset Servicing and Securitization LLC,

Series 2007-CB5, Class A1

(LIBOR USD 1-Month plus 0.06%)

3.14%

04/25/37

2,039,296

1,418,547

DSLA Mortgage Loan Trust,

Series 2005-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.42%)

3.41%

03/19/45

278,444

264,335

Encore Credit Receivables Trust,

Series 2005-3, Class M4

(LIBOR USD 1-Month plus 0.90%)

3.98%

10/25/35

5,849,141

5,729,600

First Franklin Mortgage Loan Trust,

Series 2004-FF5, Class A3C

(LIBOR USD 1-Month plus 1.00%)

4.08%

08/25/34

458,224

442,295

First Franklin Mortgage Loan Trust,

Series 2005-FF8, Class M2

(LIBOR USD 1-Month plus 0.78%)

3.86%

09/25/35

2,320,227

2,301,686

First Franklin Mortgage Loan Trust,

Series 2006-FF11, Class 1A1

(LIBOR USD 1-Month plus 0.26%)

3.34%

08/25/36

4,517,092

4,495,065

First Horizon Alternative Mortgage Securities Trust,

Series 2004-AA3, Class A1

3.73%

09/25/34

⁶

1,707

1,574

Fremont Home Loan Trust,

Series 2005-E, Class 2A4

(LIBOR USD 1-Month plus 0.66%)

3.74%

01/25/36

14,301,266

13,825,244

GMACM Home Equity Loan Trust,

Series 2000-HE2, Class A1

(LIBOR USD 1-Month plus 0.44%)

0.54%

06/25/30

63,372

58,874

GSAMP Trust,

Series 2005-HE4, Class M3

(LIBOR USD 1-Month plus 0.78%)

3.86%

07/25/45

1,938,102

1,910,527

GSAMP Trust,

Series 2006-HE2, Class M1

(LIBOR USD 1-Month plus 0.48%)

3.56%

03/25/46

4,833,506

4,734,806

GSAMP Trust,

Series 2006-NC1, Class A3

(LIBOR USD 1-Month plus 0.58%)

3.66%

02/25/36

230,030

229,953

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GSR Mortgage Loan Trust,

Series 2005-AR7, Class 2A1

3.06%

11/25/35

⁶

93,601

88,730

Impac CMB Trust,

Series 2005-5, Class A1

(LIBOR USD 1-Month plus 0.32%)

3.72%

08/25/35

1,049,708

968,869

IndyMac Index Mortgage Loan Trust,

Series 2004-AR12, Class A1

(LIBOR USD 1-Month plus 0.78%)

3.86%

12/25/34

176,142

138,263

IndyMac Index Mortgage Loan Trust,

Series 2004-AR8, Class 2A2A

(LIBOR USD 1-Month plus 0.80%)

3.88%

11/25/34

470,275

417,655

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1998-1, Class A4

6.49%

09/25/28

209,978

216,134

JPMorgan Mortgage Acquisition Trust,

Series 2005-FRE1, Class M1

(LIBOR USD 1-Month plus 0.62%)

2.78%

10/25/35

5,179,910

5,086,447

JPMorgan Mortgage Acquisition Trust,

Series 2006-NC1, Class M1

(LIBOR USD 1-Month plus 0.48%)

3.56%

04/25/36

5,372,931

5,311,434

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH4, Class M1

(LIBOR USD 1-Month plus 0.23%)

3.31%

05/25/37

14,750,000

14,042,687

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH5, Class A1

(LIBOR USD 1-Month plus 0.16%)

3.24%

06/25/37

12,567,430

12,476,139

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AV4

(LIBOR USD 1-Month plus 0.28%)

3.36%

03/25/47

50,000

46,033

JPMorgan Mortgage Trust,

Series 2007-A1, Class 1A1

4.20%

07/25/35

⁶

292,357

287,755

JPMorgan Mortgage Trust,

Series 2007-A1, Class 5A2

2.61%

07/25/35

⁶

82,775

81,006

Lehman ABS Manufactured Housing Contract Trust,

Series 2001-B, Class AIOC (IO)

0.55%

04/15/40

^4,5,6

58,322,962

767,166

LHOME Mortgage Trust,

Series 2021-RTL1, Class A1

2.09%

09/25/26

^1,6

3,910,000

3,772,301

Long Beach Mortgage Loan Trust,

Series 2005-WL3, Class M1

(LIBOR USD 1-Month plus 0.65%)

3.73%

11/25/35

1,516,107

1,502,270



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.21%		01/25/34	⁶	$	2,070	$	2,027
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
3.82%		11/21/34	⁶		348,182		330,592
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
3.12%		04/25/34	⁶		53,766		51,260
MASTR Alternative Loan Trust,
Series 2003-1, Class 1A1
6.25%		12/25/32			950,027		907,014
MASTR Alternative Loan Trust,
Series 2003-5, Class 4A1
5.50%		07/25/33			1,700,485		1,593,328
MASTR Alternative Loan Trust,
Series 2003-9, Class 4A1
5.25%		11/25/33			1,864,475		1,749,738
MASTR Alternative Loan Trust,
Series 2004-7, Class 1A1
5.50%		07/25/34			1,647,420		1,543,645
MASTR Asset-Backed Securities Trust,
Series 2006-HE1, Class M1
(LIBOR USD 1-Month plus 0.56%)
3.64%		01/25/36	²		5,730,266		5,593,265
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
3.74%		10/25/32	⁶		90,441		88,546
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
3.26%		06/25/37	²		7,658,710		4,753,304
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
3.51%		08/25/34	⁶		508,830		451,872
Merrill Lynch Mortgage Investors Trust,
Series 2006-F1, Class 1A2
6.00%		04/25/36			824,701		451,214
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%		10/15/40	¹		2,903,046		2,806,767
Mid-State Trust,
Series 10W, Class A2
5.82%		02/15/36			321,289		308,169
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
4.01%		07/25/34	²		762,892		724,408
MortgageIT Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.60%)
3.68%		08/25/35	²		108,378		102,882
MortgageIT Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.56%)
3.64%		10/25/35	²		2,868,615		2,758,957

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Nationstar Home Equity Loan Trust,

Series 2007-B, Class 1AV1

(LIBOR USD 1-Month plus 0.22%)

3.30%

04/25/37

3,809,637

3,774,751

New Century Home Equity Loan Trust,

Series 2005-3, Class M4

(LIBOR USD 1-Month plus 0.64%)

4.04%

07/25/35

1,423,997

1,425,006

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month plus 0.44%)

3.52%

02/25/36

920,539

918,295

New Century Home Equity Loan Trust,

Series 2005-D, Class M1

(LIBOR USD 1-Month plus 0.68%)

3.76%

02/25/36

5,000,000

4,841,022

NLT Trust,

Series 2021-INV2, Class A1

1.16%

08/25/56

^1,6

6,868,777

5,796,507

Opteum Mortgage Acceptance Corp. Asset-Backed Pass-

Through Certificates,

Series 2005-5, Class 1APT

(LIBOR USD 1-Month plus 0.56%)

3.64%

12/25/35

3,171,828

2,971,013

Park Place Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2005-WCW3, Class M2

(LIBOR USD 1-Month plus 0.74%)

3.82%

08/25/35

2,500,000

2,392,502

PHH Alternative Mortgage Trust,

Series 2007-3, Class A3

(LIBOR USD 1-Month plus 0.60%)

3.68%

07/25/37

5,661,788

5,404,327

PRPM LLC,

Series 2020-4, Class A1 (STEP-reset date 10/25/22)

2.95%

10/25/25

6,653,185

6,414,761

PRPM LLC,

Series 2021-3, Class A1 (STEP-reset date 10/25/22)

1.87%

04/25/26

10,929,510

10,004,773

PRPM LLC,

Series 2022-3, Class A1 (STEP-reset date 10/25/22)

5.56%

06/25/27

11,123,752

10,747,945

PRPM, LLC,

Series 2021-1, Class A1

2.12%

01/25/26

^1,6

9,922,542

9,205,397

PRPM, LLC,

Series 2021-10, Class A1 (STEP-reset date 10/25/22)

2.49%

10/25/26

11,158,120

10,126,428

PRPM, LLC,

Series 2021-7, Class A1 (STEP-reset date 10/25/22)

1.87%

08/25/26

12,293,836

11,543,773

Residential Accredit Loans Trust,

Series 2005-QA3, Class NB1

3.60%

03/25/35

⁶

918,590

492,788

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Asset Mortgage Products Trust,

Series 2004-SL4, Class A3

6.50%

07/25/32

7,285

7,232

Residential Asset Mortgage Products Trust,

Series 2005-EFC1, Class M5

(LIBOR USD 1-Month plus 0.65%)

4.06%

05/25/35

2,839,258

2,819,126

Residential Asset Mortgage Products Trust,

Series 2006-NC2, Class A3

(LIBOR USD 1-Month plus 0.58%)

3.66%

02/25/36

614,082

610,201

Residential Asset Securities Corp.,

Series 2005-KS11, Class M2

(LIBOR USD 1-Month plus 0.63%)

3.71%

12/25/35

2,665,479

2,658,141

Saxon Asset Securities Trust,

Series 2006-2, Class M1

(LIBOR USD 1-Month plus 0.29%)

3.37%

09/25/36

11,000,000

10,151,798

Securitized Asset-Backed Receivables LLC Trust,

Series 2006-CB1, Class AF2 (STEP-reset date 11/25/22)

2.88%

01/25/36

1,469,057

1,196,782

Soundview Home Loan Trust,

Series 2006-OPT4, Class 2A4

(LIBOR USD 1-Month plus 0.46%)

3.54%

06/25/36

4,088,194

3,931,247

Specialty Underwriting & Residential Finance Trust,

Series 2005-BC2, Class M3

(LIBOR USD 1-Month plus 0.98%)

4.06%

12/25/35

1,739,295

1,725,465

Structured Asset Securities Corp. Mortgage Loan Trust,

Series 2006-BC6, Class A4

(LIBOR USD 1-Month plus 0.17%)

3.25%

01/25/37

1,385,463

1,368,206

Structured Asset Securities Corp. Mortgage Pass-Through

Certificates,

Series 2003-26A, Class 3A5

3.81%

09/25/33

⁶

219,665

215,570

Terwin Mortgage Trust,

Series 2004-7HE, Class A1

(LIBOR USD 1-Month plus 1.10%)

4.18%

07/25/34

^1,2

73,242

70,071

VOLT XCIV LLC,

Series 2021-NPL3, Class A1 (STEP-reset date 10/25/22)

2.24%

02/27/51

8,061,534

7,633,466

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR14, Class A1

2.81%

01/25/35

⁶

324,137

306,038

WaMu Mortgage Pass-Through Certificates,

Series 2004-CB2, Class 2A

5.50%

07/25/34

947,358

885,642

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A1

(LIBOR USD 1-Month plus 0.58%)

3.66%

10/25/45

973,802

918,248

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A21

(LIBOR USD 1-Month plus 0.66%)

3.74%

01/25/45

129,778

125,309

343,187,321

U.S. Agency Commercial Mortgage-Backed — 2.34%

Fannie Mae-Aces,

Series 2021-M1, Class A1

0.87%

11/25/30

2,272,980

2,092,261

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K037, Class A1

2.59%

04/25/23

596,035

593,028

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K038, Class A1

2.60%

10/25/23

254,325

253,330

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF29, Class A

(LIBOR USD 1-Month plus 0.36%)

2.91%

02/25/24

1,657,239

1,655,072

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF34, Class A

(LIBOR USD 1-Month plus 0.36%)

2.91%

08/25/24

835,811

834,200

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF37, Class A

(LIBOR USD 1-Month plus 0.36%)

2.91%

09/25/27

474,739

473,674

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF38, Class A

(LIBOR USD 1-Month plus 0.33%)

2.88%

09/25/24

1,763,618

1,759,397

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF39, Class A

(LIBOR USD 1-Month plus 0.32%)

2.87%

11/25/24

1,180,061

1,177,616

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF40, Class A

(LIBOR USD 1-Month plus 0.34%)

2.89%

11/25/27

244,692

244,242

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF43, Class A

(LIBOR USD 1-Month plus 0.24%)

2.79%

01/25/28

1,994,524

1,985,507

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF51, Class A

(LIBOR USD 1-Month plus 0.40%)

2.95%

08/25/25

2,096,381

2,090,638

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF60, Class A

(LIBOR USD 1-Month plus 0.49%)

3.04%

02/25/26

3,352,665

3,342,303

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF64, Class A

(LIBOR USD 1-Month plus 0.44%)

2.99%

06/25/26

2,149,730

2,135,518

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF72, Class A

(LIBOR USD 1-Month plus 0.50%)

3.05%

10/25/26

5,364,564

5,343,385

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF85, Class AL

(LIBOR USD 1-Month plus 0.30%)

2.85%

08/25/30

2,057,058

2,046,438

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ29, Class A1

0.74%

01/25/26

3,346,545

3,153,222

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ30, Class A1

0.53%

01/25/25

1,473,062

1,428,024

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ31, Class A1

0.57%

05/25/26

3,158,250

3,033,930

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ34, Class A1

0.68%

06/25/26

4,913,738

4,459,614

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ37, Class A1

1.68%

12/25/27

12,704,446

11,444,110

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series Q004, Class AFL

(Federal Reserve US 12-Month Cumulative Average plus

0.74%)

2.11%

05/25/44

1,279,497

1,280,008

Ginnie Mae,

Series 2007-12, Class C

5.28%

04/16/41

⁶

223,626

223,168



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2008-92, Class E
5.56%		03/16/44	⁶	$	1,557,005	$	1,554,383

							52,603,068


U.S. Agency Mortgage-Backed — 20.90%
Fannie Mae Pool 567002
8.00%		05/01/23			157		157
Fannie Mae Pool 735861
6.50%		09/01/33			6,709		6,862
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
2.94%		04/01/34	²		85,308		84,194
Fannie Mae Pool AD0538
6.00%		05/01/24			38,213		38,412
Fannie Mae Pool AE0083
6.00%		01/01/40			491,375		517,416
Fannie Mae Pool AL0851
6.00%		10/01/40			579,080		604,446
Fannie Mae REMICS,
Series 1997-76, Class FS
(LIBOR USD 1-Month plus 0.45%)
3.44%		09/17/27	²		5,163		5,076
Fannie Mae REMICS,
Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
4.03%		10/25/31	²		352,669		356,626
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
3.55%		07/25/37	²		172,558		171,873
Fannie Mae REMICS,
Series 2009-85, Class LF
(LIBOR USD 1-Month plus 1.20%)
4.28%		10/25/49	²		1,670,367		1,708,386
Fannie Mae REMICS,
Series 2009-96, Class FA
(LIBOR USD 1-Month plus 0.90%)
3.98%		11/25/49	²		1,137,684		1,153,951
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
3.48%		10/25/40	²		593,978		590,848
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
3.15%		11/25/36	²		3,829,909		400,624
Fannie Mae REMICS,
Series 2010-43, Class DP
5.00%		05/25/40			457,138		452,695
Fannie Mae REMICS,
Series 2010-6, Class BF
(LIBOR USD 1-Month plus 0.76%)
3.84%		02/25/40	²		913,115		919,283



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2010-95, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
3.52%		09/25/40	²	$	2,998,722	$	377,078
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
3.58%		01/25/50	²		3,185,064		3,176,783
Fannie Mae REMICS,
Series 2020-10, Class FA
(LIBOR USD 1-Month plus 0.50%)
3.58%		03/25/50	²		6,177,640		6,150,818
Freddie Mac Gold Pool A45796
7.00%		01/01/33			1,247		1,262
Freddie Mac Gold Pool C46104
6.50%		09/01/29			3,106		3,207
Freddie Mac Gold Pool G13475
6.00%		01/01/24			694		694
Freddie Mac Pool SD8189
2.50%		01/01/52			13,107,671		11,045,911
Freddie Mac Pool SD8199
2.00%		03/01/52			13,536,245		10,965,136
Freddie Mac REMICS,
Series 2174, Class PN
6.00%		07/15/29			194,816		198,109
Freddie Mac REMICS,
Series 2454, Class FQ
(LIBOR USD 1-Month plus 1.00%)
3.82%		06/15/31	²		3,284		3,325
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
3.42%		10/15/33	²		1,363,506		1,373,610
Freddie Mac REMICS,
Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
3.12%		04/15/35	²		780,181		778,714
Freddie Mac REMICS,
Series 3294, Class CB
5.50%		03/15/37			195,415		199,494
Freddie Mac REMICS,
Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
3.12%		08/15/35	²		363,042		360,511
Freddie Mac REMICS,
Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
3.12%		08/15/35	²		936,230		929,703
Freddie Mac REMICS,
Series 3524, Class FC
(LIBOR USD 1-Month plus 0.94%)
3.76%		06/15/38	²		216,082		219,883
Freddie Mac REMICS,
Series 3531, Class FM
(LIBOR USD 1-Month plus 0.90%)
3.72%		05/15/39	²		148,130		149,865



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
3.22%		11/15/40	²	$	52,136	$	52,131
Freddie Mac REMICS,
Series 4060, Class FJ
(LIBOR USD 1-Month plus 0.35%)
3.17%		02/15/41	²		483,400		484,375
Freddie Mac REMICS,
Series 4959, Class JF
(LIBOR USD 1-Month plus 0.45%)
3.53%		03/25/50	²		5,197,651		5,161,333
Freddie Mac Strips,
Series 240, Class F30
(LIBOR USD 1-Month plus 0.30%)
3.12%		07/15/36	²		1,093,162		1,088,197
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
3.32%		06/15/42	²		1,161,581		1,159,326
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
3.32%		11/15/43	²		5,482,302		5,461,482
Ginnie Mae (TBA)
2.50%		10/20/52			52,000,000		44,584,927
Ginnie Mae II Pool 1849
8.50%		08/20/24			49		50
Ginnie Mae II Pool 2020
8.50%		06/20/25			139		140
Ginnie Mae II Pool 2286
8.50%		09/20/26			44		44
Ginnie Mae II Pool 2487
8.50%		09/20/27			1,631		1,641
Ginnie Mae II Pool 80059
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.88%		04/20/27	²		6,869		6,770
Ginnie Mae II Pool 80589
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.63%		03/20/32	²		8,863		8,676
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.88%		06/20/32	²		5,628		5,586
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.63%		07/20/34	²		144,643		142,563
Ginnie Mae II Pool 81201
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.00%)
3.13%		01/20/35	²		3,773		3,678



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 8599
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.00%		02/20/25	²	$	4,163	$	4,119
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
3.79%		05/20/37	²		2,377,681		128,420
Ginnie Mae,
Series 2013-53, Class AD
1.50%		12/20/26			589,421		567,840
UMBS (TBA)
2.00%		10/01/52			19,325,000		15,625,939
2.00%		11/01/52			54,500,000		44,062,701
2.50%		10/01/52			61,925,000		51,968,153
2.50%		11/01/52			95,000,000		79,710,362
3.00%		10/01/52			51,425,000		44,687,593
3.50%		10/01/52			3,975,000		3,573,281
4.00%		10/01/52			16,075,000		14,901,482
4.50%		10/01/52			66,200,000		63,005,418
5.00%		10/01/52			52,550,000		51,203,673

							470,544,852


Total Mortgage-Backed
(Cost $1,132,767,867)							1,085,049,858


MUNICIPAL BONDS — 1.17%*

California — 0.18%
Campbell Union School District General Obligation, School
Improvements, Series B
5.41%		08/01/27			3,995,000		4,091,013


Colorado — 0.04%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%		11/15/23			895,000		859,574


Florida — 0.05%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.14%		10/01/28			445,000		379,756
2.29%		10/01/29			985,000		824,416

							1,204,172


Maryland — 0.09%
City of Baltimore General Obligation, School Improvements,
Series C
5.00%		10/15/25			2,000,000		2,008,833


Massachusetts — 0.22%
Commonwealth of Massachusetts Revenue Bonds, Series B
4.11%		07/15/31			5,235,000		5,025,388


New York — 0.59%
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
3.19%		08/01/25			1,110,000		1,067,722



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

New York (continued)
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries
B2
2.31%		11/01/26	$	4,060,000	$	3,691,009
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series D
5.00%		03/15/24		4,040,000		4,067,068
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series F
5.19%		03/15/24		4,360,000		4,388,665

						13,214,464


Total Municipal Bonds
(Cost $28,338,340)						26,403,444


U.S. TREASURY SECURITIES — 20.39%

U.S. Treasury Notes — 20.39%
U.S. Treasury Notes
2.75%		08/15/32		3,520,000		3,220,800
3.13%		07/31/24		143,310,000		140,091,479
3.25%		08/31/24		94,420,000		92,717,859
3.50%		09/15/25		29,240,000		28,646,062
3.88%		09/30/27		46,405,000		46,568,143
4.13%		09/30/24		147,565,000		147,642,817


Total U.S. Treasury Securities
(Cost $463,954,415)						458,887,160


Total Bonds — 116.56%
(Cost $2,735,160,409)						2,623,406,487



Issues			Shares		Value

COMMON STOCK — 0.00%

Electric — 0.00%
Homer City Holdings LLC^†,4,5				106,501		—


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

Purchased Swaptions - 0.00%
(Cost $939,000)						26,031



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 1.47%

Money Market Funds — 1.47%
Dreyfus Government Cash Management Fund
2.75%¹²				11,527,000		11,527,000
Fidelity Investments Money Market Funds - Government
Portfolio
2.74%¹²				55,001		55,001



Issues	Maturity Date	Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
2.80%¹²			21,560,000	$	21,560,000


Total Short-Term Investments
(Cost $33,142,001)					33,142,001


Total Investments Before Written Swaptions - 118.03%
(Cost $2,775,320,070)					2,656,574,519


Written Swaptions - 0.00%
(Cost $(540,000))					(5,577	)


Net unrealized depreciation on unfunded
commitments - 0.00%					(64,156	)

Liabilities in Excess of Other Assets - (18.03)%					(405,759,652	)


Net Assets - 100.00%				$	2,250,745,134

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign 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 $8,110,890, which is 0.36% of total net assets.

⁶	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁷	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $386,652, at an interest rate of 7.03% and a maturity of July 31, 2028. The investment is not accruing an unused commitment fee.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $367,728, at an interest rate of 6.77% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $103,228, at an interest rate of 7.28% and a maturity of June 22, 2029. The investment is not accruing an unused commitment fee.

¹⁰	Non-income producing security.

¹¹	Security is currently in default with regard to scheduled interest or principal payments.

¹²	Represents the current yield as of September 30, 2022.

^†	Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved by the Board of Trustees. See Notes to Financial Statements.

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

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

(CLO): Collateralized Loan Obligation

(EUR): Euro

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 83.49%

BANK LOANS — 7.15%*

Communications — 0.13%

Diamond Sports Group, LLC,

Term Loan, 2nd Lien

(SOFR plus 3.35%)

5.95%

08/24/26

17,819

3,558

Consumer Discretionary — 0.30%

Naked Juice, LLC,

Term Loan, 2nd Lien

(SOFR plus 6.10%)

9.65%

01/24/30

9,000

8,269

Entertainment — 1.03%

Cineworld Finance U.S., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.00%

02/28/25

15,802

6,812

Crown Finance U.S., Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 7.00%)

7.00%

05/23/24

11,949

14,242

Term Loan, 1st Lien

(SOFR plus 9.00%)

13.27%

09/07/23

^1,2

7,160

7,315

28,369

Food — 0.38%

Sovos Brands Intermediate, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

06/08/28

10,777

10,298

Health Care — 0.45%

Cano Health, LLC,

Term Loan, 1st Lien

(SOFR plus 4.00%)

6.84%

11/23/27

12,838

12,485

Industrials — 1.55%

Protective Industrial Products, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

12/29/27

12,870

12,146

SPX FLOW, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.50%)

7.63%

04/05/29

7,500

6,966

Transcendia Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

05/30/24

^1,3

16,823

12,617

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

08/12/24

12,309

10,847

42,576

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology — 0.60%

Central Parent, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.50%)

6.61%

07/06/29

5,000

4,828

Magenta Buyer LLC,

Term Loan, 1st Lien

(LIBOR plus 4.75%)

7.87%

07/27/28

12,903

11,690

16,518

Insurance — 0.14%

Asurion, LLC,

Term Loan B4, 2nd Lien

(LIBOR plus 5.25%)

8.37%

01/20/29

5,000

3,850

Materials — 0.59%

Geon Performance Solutions, LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

8.17%

08/18/28

12,870

12,468

Iris Holdco, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.75%)

7.41% - 7.89%

06/28/28

4,000

3,688

16,156

Retail — 0.60%

Staples, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 4.50%)

7.28%

09/12/24

2,494

2,352

Tacala Investment Corp.,

Term Loan B, 2nd Lien

(LIBOR plus 7.50%)

10.62%

02/04/28

15,500

14,260

16,612

Services — 0.71%

PowerTeam Services LLC,

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

10.92%

03/06/26

^1,3,4

33,000

19,602

Transportation — 0.67%

Kenan Advantage Group, Inc. (The),

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

10.37%

09/01/27

20,000

18,500

Total Bank Loans

(Cost $232,509)

196,793

CORPORATES — 68.48%*

Automotive — 0.76%

Allison Transmission, Inc.

3.75%

01/30/31

⁵

9,000

6,928



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Automotive (continued)
Ford Motor Credit Co. LLC
3.63%		06/17/31		$	19,000	$	14,143

							21,071


Banking — 1.64%
Bank of America Corp.,
Series RR
4.38%^6,7					10,000		8,118
Bank of New York Mellon Corp. (The),
Series I
3.75%^6,7					10,000		7,756
Credit Suisse Group AG
(Switzerland)
6.54%		08/12/33	^5,7,8		20,000		18,013
U.S. Bancorp
3.70%^6,7					15,000		11,318

							45,205


Communications — 13.83%
Altice France SA
(France)
5.13%		01/15/29	^5,8		13,000		9,717
5.50%		10/15/29	^5,8		14,000		10,552
8.13%		02/01/27	^5,8		6,000		5,393
Cable One, Inc.
4.00%		11/15/30	⁵		27,000		21,060
CCO Holdings LLC/CCO Holdings Capital Corp.
4.25%		02/01/31	⁵		12,000		9,293
4.50%		08/15/30	⁵		18,000		14,256
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.50%		06/01/33	⁵		38,000		28,231
4.75%		02/01/32	⁵		9,000		7,033
CommScope, Inc.
4.75%		09/01/29	⁵		17,000		13,951
6.00%		03/01/26	⁵		7,000		6,456
CSC Holdings LLC
4.50%		11/15/31	⁵		27,000		20,321
5.38%		02/01/28	⁵		6,000		5,248
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%		08/15/26	⁵		26,000		5,208
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor,
Inc.
5.88%		08/15/27	⁵		11,000		9,512
DISH DBS Corp.
5.13%		06/01/29			13,000		7,767
5.25%		12/01/26	⁵		16,000		13,138
DISH Network Corp.
3.38%		08/15/26			26,000		17,953
Gray Escrow II, Inc.
5.38%		11/15/31	⁵		17,000		13,346
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	^5,8		10,000		8,512
Level 3 Financing, Inc.
4.25%		07/01/28	⁵		28,000		21,904



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Lumen Technologies, Inc.
4.00%		02/15/27	⁵	$	6,000	$	5,103
4.50%		01/15/29	⁵		36,000		25,470
National CineMedia LLC
5.75%		08/15/26			9,000		1,975
Scripps Escrow II, Inc.
5.38%		01/15/31	⁵		17,000		13,005
Scripps Escrow, Inc.
5.88%		07/15/27	⁵		6,000		5,250
Sinclair Television Group, Inc.
4.13%		12/01/30	⁵		7,000		5,279
Sirius XM Radio, Inc.
3.88%		09/01/31	⁵		18,000		13,999
T-Mobile USA, Inc.
2.63%		04/15/26			30,000		27,158
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%		07/15/31	^5,8		5,000		3,905
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/32	^5,8		17,000		13,001
Zayo Group Holdings, Inc.
4.00%		03/01/27	⁵		22,000		17,707

							380,703


Consumer Discretionary — 2.49%
Everi Holdings, Inc.
5.00%		07/15/29	⁵		4,000		3,309
Hilton Domestic Operating Co., Inc.
3.63%		02/15/32	⁵		18,000		13,816
Spectrum Brands, Inc.
3.88%		03/15/31	⁵		8,000		5,464
Triton Water Holdings, Inc.
6.25%		04/01/29	⁵		22,000		17,047
WarnerMedia Holdings, Inc.
5.14%		03/15/52	⁵		30,000		21,838
Wyndham Hotels & Resorts, Inc.
4.38%		08/15/28	⁵		8,000		7,046

							68,520


Consumer Products — 0.29%
Newell Brands, Inc.
5.75%		04/01/46			8,000		6,271
Spectrum Brands, Inc.
5.00%		10/01/29	⁵		2,000		1,622

							7,893


Electric — 0.53%
Pike Corp.
5.50%		09/01/28	⁵		18,000		14,603


Energy — 6.11%
Energy Transfer LP,
Series B
6.63%^6,7					34,000		24,947
Global Partners LP/GLP Finance Corp.
6.88%		01/15/29			22,000		19,842



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	⁵	$	8,000	$	7,132
SM Energy Co.
6.50%		07/15/28			17,000		16,205
Sunoco LP/Sunoco Finance Corp.
4.50%		04/30/30			7,000		5,733
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			24,000		20,640
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^5,8		4,500		4,388
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^5,8		18,900		17,802
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		04/01/26			2,000		1,843
6.88%		09/01/27			15,000		13,657
Venture Global Calcasieu Pass LLC
3.88%		08/15/29	⁵		5,000		4,300
4.13%		08/15/31	⁵		38,000		31,548

							168,037


Entertainment — 0.58%
Cinemark USA, Inc.
5.25%		07/15/28	⁵		15,000		11,662
Live Nation Entertainment, Inc.
4.75%		10/15/27	⁵		5,000		4,360

							16,022


Finance — 1.69%
American Express Co.,
Series D
3.55%^6,7					10,000		7,693
Charles Schwab Corp. (The)
5.00%^6,7					13,000		11,716
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/29	⁵		24,000		20,611
JPMorgan Chase & Co.,
Series KK
3.65%^6,7					8,000		6,499

							46,519


Food — 6.34%
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/26	⁵		6,000		3,820
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.75%		12/01/31	^5,8		20,000		15,997
4.38%		02/02/52	^5,8		32,000		21,231
Kraft Heinz Foods Co.
4.25%		03/01/31			4,000		3,606
5.00%		06/04/42			3,000		2,613
5.20%		07/15/45			23,000		20,053



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Food (continued)
Pilgrim’s Pride Corp.
3.50%		03/01/32	⁵	$	59,000	$	44,569
5.88%		09/30/27	⁵		12,000		11,680
Post Holdings, Inc.
5.75%		03/01/27	⁵		28,000		26,810
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/29	⁵		12,000		9,820
TreeHouse Foods, Inc.
4.00%		09/01/28			18,000		14,376

							174,575


Gaming — 1.03%
Boyd Gaming Corp.
4.75%		06/15/31	⁵		5,000		4,074
Caesars Entertainment, Inc.
4.63%		10/15/29	⁵		17,000		13,058
8.13%		07/01/27	⁵		4,000		3,829
Penn Entertainment, Inc.
4.13%		07/01/29	⁵		6,000		4,660
5.63%		01/15/27	⁵		3,000		2,659

							28,280


Health Care — 11.77%
1375209 BC Ltd.
(Canada)
9.00%		01/30/28	^5,8		4,014		4,004
Bausch Health Cos., Inc.
(Canada)
11.00%		09/30/28	^5,8		7,122		5,769
14.00%		10/15/30	^5,8		1,406		773
Cano Health LLC
6.25%		10/01/28	⁵		19,000		17,987
Catalent Pharma Solutions, Inc.
3.50%		04/01/30	⁵		7,000		5,515
5.00%		07/15/27	⁵		29,000		25,902
Centene Corp.
2.45%		07/15/28			9,000		7,333
2.63%		08/01/31			7,000		5,337
3.00%		10/15/30			22,000		17,470
4.25%		12/15/27			33,000		30,255
Embecta Corp.
6.75%		02/15/30	⁵		19,000		17,767
Encompass Health Corp.
4.63%		04/01/31			18,000		14,291
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^5,8		16,000		12,416
HCA, Inc.
3.50%		09/01/30			3,000		2,484
5.63%		09/01/28			10,000		9,610
5.88%		02/01/29			8,000		7,834
Medline Borrower LP
3.88%		04/01/29	⁵		17,000		13,669
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	⁵		9,000		7,318



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
ModivCare, Inc.
5.88%		11/15/25	⁵	$	4,000	$	3,697
Molina Healthcare, Inc.
3.88%		11/15/30	⁵		71,000		59,687
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	⁵		20,000		16,450
Prestige Brands, Inc.
3.75%		04/01/31	⁵		23,000		17,893
Prime Healthcare Services, Inc.
7.25%		11/01/25	⁵		20,000		18,051
Tenet Healthcare Corp.
4.25%		06/01/29	⁵		3,000		2,488

							324,000


Industrials — 4.36%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%		08/15/27	^5,8		26,000		16,663
Artera Services LLC
9.03%		12/04/25	⁵		14,000		11,292
Ball Corp.
3.13%		09/15/31			19,000		14,295
Energizer Holdings, Inc.
4.38%		03/31/29	⁵		7,000		5,285
Graham Packaging Co., Inc.
7.13%		08/15/28	⁵		14,000		11,366
Graphic Packaging International LLC
4.13%		08/15/24			30,000		28,875
II-VI, Inc.
5.00%		12/15/29	⁵		3,000		2,489
OT Merger Corp.
7.88%		10/15/29	⁵		28,000		18,569
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^5,8		5,000		3,981
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/26	^5,8		3,000		2,687
8.50%		08/15/27	^5,8		5,000		4,434

							119,936


Information Technology — 2.96%
MSCI, Inc.
3.63%		11/01/31	⁵		35,000		28,126
NCR Corp.
5.25%		10/01/30	⁵		16,000		12,105
5.75%		09/01/27	⁵		35,000		31,797
6.13%		09/01/29	⁵		3,000		2,588
NortonLifeLock, Inc.
6.75%		09/30/27	⁵		7,000		6,747

							81,363


Insurance — 1.58%
Acrisure LLC/Acrisure Finance, Inc.
6.00%		08/01/29	⁵		18,000		13,950
7.00%		11/15/25	⁵		3,000		2,749



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
4.25%		10/15/27	⁵	$	3,000	$	2,587
6.75%		10/15/27	⁵		8,000		6,952
AssuredPartners, Inc.
5.63%		01/15/29	⁵		22,000		17,127

							43,365


Materials — 2.45%
ASP Unifrax Holdings, Inc.
7.50%		09/30/29	⁵		16,000		10,580
Axalta Coating Systems, LLC
3.38%		02/15/29	⁵		14,000		10,979
EverArc Escrow SARL
(Luxembourg)
5.00%		10/30/29	^5,8		16,000		12,949
SCIH Salt Holdings, Inc.
4.88%		05/01/28	⁵		4,000		3,320
Valvoline, Inc.
3.63%		06/15/31	⁵		28,000		20,661
WR Grace Holdings, LLC
5.63%		08/15/29	⁵		12,000		9,030

							67,519


Real Estate Investment Trust (REIT) — 1.00%
Iron Mountain Information Management Services, Inc.
5.00%		07/15/32	⁵		10,000		7,800
Iron Mountain, Inc.
4.50%		02/15/31	⁵		4,000		3,107
5.25%		07/15/30	⁵		4,000		3,326
VICI Properties LP/VICI Note Co., Inc.
5.75%		02/01/27	⁵		14,000		13,208

							27,441


Retail — 5.83%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%		10/15/30	^5,8		12,000		9,511
Asbury Automotive Group, Inc.
4.63%		11/15/29	⁵		18,000		14,479
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/29	⁵		19,000		15,865
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%		01/15/30	⁵		27,000		20,587
FirstCash, Inc.
5.63%		01/01/30	⁵		11,000		9,418
Michaels Cos., Inc. (The)
7.88%		05/01/29	⁵		15,000		8,683
Papa John’s International, Inc.
3.88%		09/15/29	⁵		12,000		9,646
Sonic Automotive, Inc.
4.88%		11/15/31	⁵		17,000		12,898
Yum! Brands, Inc.
3.88%		11/01/23			60,000		59,250

							160,337



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Services — 3.24%
Adtalem Global Education, Inc.
5.50%		03/01/28	⁵	$	7,000	$	6,325
GFL Environmental, Inc.
(Canada)
4.00%		08/01/28	^5,8		5,000		4,192
Global Payments, Inc.
5.30%		08/15/29			5,000		4,710
Hertz Corp. (The)
4.63%		12/01/26	⁵		9,000		7,335
5.00%		12/01/29	⁵		5,000		3,744
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%		08/31/27	⁵		8,000		6,740
Rent-A-Center, Inc.
6.38%		02/15/29	⁵		6,000		4,710
S&P Global, Inc.
2.90%		03/01/32	⁵		10,000		8,365
WASH Multifamily Acquisition, Inc.
5.75%		04/15/26	⁵		17,000		15,704
Waste Pro USA, Inc.
5.50%		02/15/26	⁵		31,000		27,269

							89,094


Total Corporates
(Cost $2,143,307)							1,884,483


MORTGAGE-BACKED — 7.86%**

Non-Agency Commercial Mortgage-Backed — 2.04%
BCRR Trust,
Series 2016-FRR3, Class E
(-1.00 X LIBOR USD 1-Month plus 18.35%)
4.29%		05/26/26	^1,5		13,295		11,806
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class XA (IO)
1.49%		04/10/46	⁷		350,223		1,081
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.75%		10/15/45	⁷		219,943		592
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.50%		12/10/45	⁷		208,152		7
Commercial Mortgage Trust,
Series 2013-CR11, Class XA (IO)
1.07%		08/10/50	⁷		609,109		3,992
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.37%		01/10/46	⁷		378,798		9
Commercial Mortgage Trust,
Series 2016-CR28, Class XA (IO)
0.71%		02/10/49	⁷		703,002		12,474
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.60%		02/10/46	⁷		285,300		305
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
1.94%		11/10/45	⁷		148,986		49



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2013-GC14, Class XA (IO)
0.67%		08/10/46	⁷	$	473,762	$	1,327
Impact Funding Affordable Multifamily Housing Mortgage
Loan Trust,
Series 2010-1, Class A1
5.31%		01/25/51	⁵		6,916		6,795
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C17, Class XA (IO)
0.87%		01/15/47	⁷		657,153		3,971
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.96%		11/15/47	⁷		153,821		2,174
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C8, Class XA (IO)
1.08%		12/15/48	⁷		188,085		178
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.54%		12/10/45	^5,7		106,316		3
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.57%		12/15/45	^5,7		528,522		19
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XB (IO)
0.88%		11/15/45	^5,7		1,889,677		1,790
WF-RBS Commercial Mortgage Trust,
Series 2013-C11, Class XA (IO)
1.24%		03/15/45	^5,7		674,999		291
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XA (IO)
1.31%		05/15/45	^5,7		1,112,036		2,724
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.78%		06/15/46	⁷		1,016,243		1,856
WF-RBS Commercial Mortgage Trust,
Series 2013-C17, Class XA (IO)
1.21%		12/15/46	⁷		587,406		4,669

							56,112


Non-Agency Mortgage-Backed — 5.63%
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
0.70%)
1.80%		02/25/47	¹		25,451		10,743
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-HE4, Class M2
(LIBOR USD 1-Month plus 0.68%)
3.76%		10/25/35	¹		23,357		22,426
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
2.96%		11/25/37	⁷		9,189		7,709
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
3.40%		06/25/36	⁷		22,291		16,681



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
3.82%		11/21/34	⁷	$	38,300	$	36,365
MASTR Alternative Loan Trust,
Series 2006-2, Class 2A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap)
4.02%		03/25/36	^1,3,4		218,531		21,091
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(LIBOR USD 1-Month plus 0.19%)
3.27%		04/25/37	¹		47,768		19,356
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR9, Class A1A
(LIBOR USD 1-Month plus 0.64%)
3.72%		07/25/45	¹		22,001		20,526

							154,897


U.S. Agency Commercial Mortgage-Backed — 0.19%
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K024, Class X3 (IO)
1.66%		11/25/40	⁷		200,883		8
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K028, Class X3 (IO)
1.71%		06/25/41	⁷		219,000		1,832
Ginnie Mae,
Series 2012-27, Class IO (IO)
0.29%		04/16/53	⁷		359,754		1,513
Ginnie Mae,
Series 2013-163, Class IO (IO)
1.02%		02/16/46	⁷		125,169		1,924

							5,277


Total Mortgage-Backed
(Cost $410,408)							216,286


Total Bonds — 83.49%
(Cost $2,786,224)							2,297,562



Issues				Shares		Value

COMMON STOCK — 9.71%

Communication Services — 2.48%
Altice USA, Inc.⁹					1,736		10,121
AT&T, Inc.					562		8,621
Nexstar Media Group, Inc.					107		17,853
T-Mobile U.S., Inc.⁹					192		25,760
Warner Bros Discovery, Inc.⁹					520		5,980

							68,335


Consumer Discretionary — 1.22%
Newell Brands, Inc.					602		8,362
Qurate Retail, Inc.					3,324		6,681
Rent-A-Center, Inc.					809		14,166
Spectrum Brands Holdings, Inc.					115		4,488

							33,697



Issues	Shares		Value

COMMON STOCK — 9.71% (continued)

Financials — 1.15%
FirstCash Holdings, Inc.		240	$	17,604
Wells Fargo & Co.		348		13,997

				31,601


Gaming — 0.38%
Penn Entertainment, Inc.⁹		382		10,509


Health Care — 1.25%
Bausch + Lomb Corp.^8,9
(Canada)		499		7,654
Bausch Health Cos., Inc.⁹		1,127		7,765
Centene Corp.⁹		243		18,908

				34,327


Industrials — 0.25%
TransDigm Group, Inc.		13		6,823


Information Technology — 0.69%
CommScope Holding Co., Inc.⁹		1,012		9,321
NCR Corp.⁹		239		4,543
SS&C Technologies Holdings, Inc.		105		5,014

				18,878


Real Estate Investment Trust (REIT) — 1.01%
Gaming and Leisure Properties, Inc.		492		21,766
Hudson Pacific Properties, Inc.		560		6,132

				27,898


Transportation — 1.02%
Hertz Global Holdings, Inc.⁹		1,725		28,083


Utilities — 0.26%
FirstEnergy Corp.		193		7,141


Total Common Stock
(Cost $407,992)				267,292


MASTER LIMITED PARTNERSHIPS — 2.27%

Energy — 2.27%
Enterprise Products Partners LP		1,025		24,374
NGL Energy Partners LP⁹		3,312		4,306
Sunoco LP		416		16,211
USA Compression Partners LP		1,017		17,696

				62,587


Total Master Limited Partnerships
(Cost $52,095)				62,587



Issues	Maturity Date	Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 2.78%

Money Market Funds — 2.78%
Fidelity Investments Money Market Funds - Government
Portfolio
2.74%¹⁰			76,380	$	76,380


Total Short-Term Investments
(Cost $76,380)

Total Investments - 98.25%
(Cost $3,322,691)					2,703,821


Net unrealized appreciation on unfunded

commitments - 0.00%					25

Cash and Other Assets, Less Liabilities - 1.75%					48,071


Net Assets - 100.00%				$	2,751,917

¹	Floating rate security. The rate disclosed was in effect at September 30, 2022.

²	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $615, at an interest rate of 13.27% and a maturity of September 07, 2023. The investment is not accruing an unused commitment fee.

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

⁴	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $40,693, which is 1.48% of total net assets.

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

⁶	Perpetual security with no stated maturity date.

⁷	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.

⁸	Foreign denominated security issued by foreign domiciled entity.

⁹	Non-income producing security.

¹⁰	Represents the current yield as of September 30, 2022.

*	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.

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 106.71%

ASSET-BACKED SECURITIES — 16.91%**

AGL CLO 12 Ltd.,

Series 2021-12A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.31%

07/20/34

^1,2,3

125,000

117,099

Aimco CLO,

Series 2015-AA, Class BR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.34%

10/17/34

^1,2,3

70,000

64,967

Allegro CLO XII Ltd.,

Series 2020-1A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.43%

01/21/32

^1,2,3

45,000

43,021

AMSR Trust,

Series 2020-SFR1, Class I

8.19%

04/17/37

100,000

96,983

Carvana Auto Receivables Trust,

Series 2022-P3, Class R

0.00%

09/10/29

^†,1

1,750

302,137

Cedar Funding II CLO Ltd.,

Series 2013-1A, Class BRR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.35%)

4.06%

04/20/34

^1,2,3

75,000

68,578

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.91%

10/25/34

^1,2,3

180,000

173,070

CoreVest American Finance Trust,

Series 2019-1, Class XA (IO)

2.44%

03/15/52

^1,4

85,909

3,666

CoreVest American Finance Trust,

Series 2020-1, Class A2

2.30%

03/15/50

140,000

120,466

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

45,751

Diamond Infrastructure Funding LLC,

Series 2021-1A, Class C

3.48%

04/15/49

135,000

111,146

Dryden 85 CLO Ltd.,

Series 2020-85A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.66%

10/15/35

^1,2,3

150,000

143,685

Eaton Vance CLO Ltd.,

Series 2020-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

3.68%

10/15/34

^1,2,3

90,000

86,589

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

FirstKey Homes Trust,

Series 2020-SFR1, Class F2

4.28%

08/17/37

162,000

145,055

Global SC Finance II SRL,

Series 2014-1A, Class A2

(Barbados)

3.09%

07/17/29

^1,3

55,577

53,819

Golub Capital Partners CLO 54M L.P,

Series 2021-54A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.53%)

4.36%

08/05/33

^1,2,3

90,000

86,336

Harvest Commercial Capital Loan Trust,

Series 2019-1, Class A

3.29%

09/25/46

^1,4

38,537

36,709

HPS Loan Management Ltd.

Series 10A-16, Class A1RR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

3.85%

04/20/34

^1,2,3

85,000

81,514

KGS-Alpha SBA COOF Trust,

Series 2015-1, Class A (IO)

1.69%

10/25/35

^1,4

1,171,395

33,678

Lehman Brothers Small Balance Commercial Mortgage

Trust,

Series 2007-1A, Class 1A

(LIBOR USD 1-Month plus 0.25%)

3.33%

03/25/37

^1,2

40,648

40,519

Neuberger Berman Loan Advisers CLO 43 Ltd.,

Series 2021-43A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.87%

07/17/35

^1,2,3

85,000

81,770

OCP CLO Ltd.,

Series 2021-21A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.41%

07/20/34

^1,2,3

50,000

47,065

Octagon Investment Partners 46 Ltd.,

Series 2020-2A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.16%

07/15/36

^1,2,3

125,000

116,436

OHA Credit Funding 7 Ltd.,

Series 2020-7A, Class AR

(Cayman Islands)

(CME Term SOFR 3-Month plus 1.30%)

3.85%

02/24/37

^1,2,3

150,000

144,172

Park Avenue Institutional Advisers CLO Ltd.,

Series 2021-1A, Class A2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

4.46%

01/20/34

^1,2,3

40,000

37,026

Progress Residential Trust,

Series 2019-SFR4, Class F

3.68%

10/17/36

161,000

152,559

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Progress Residential,

Series 2021-SFR1, Class F

2.76%

04/17/38

170,000

144,390

Rockford Tower CLO Ltd.,

Series 2017-3A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

3.90%

10/20/30

^1,2,3

120,000

117,687

Rockford Tower CLO Ltd.,

Series 2021-1A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.36%

07/20/34

^1,2,3

75,000

69,796

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

05/10/37

^4,5,6

68,410

60,238

SLC Student Loan Trust,

Series 2004-1, Class B

(LIBOR USD 3-Month plus 0.29%)

3.20%

08/15/31

111,767

102,760

SLM Student Loan Trust,

Series 2007-7, Class B

(LIBOR USD 3-Month plus 0.75%)

3.53%

10/27/70

215,000

186,329

SLM Student Loan Trust,

Series 2008-2, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

01/25/83

340,000

285,815

SLM Student Loan Trust,

Series 2008-3, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

04/26/83

340,000

311,063

SLM Student Loan Trust,

Series 2008-4, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

04/25/73

340,000

328,258

SLM Student Loan Trust,

Series 2008-5, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/25/73

235,000

229,598

SLM Student Loan Trust,

Series 2008-6, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

340,000

319,084

Stratus CLO Ltd.,

Series 2021-3A, Class SUB

(Cayman Islands)

0.00%

12/29/29

^1,3,4

250,000

189,761

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/46

258,019

262,337

Structured Receivables Finance LLC,

Series 2010-B, Class B

7.97%

08/15/36

286,183

293,626



Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Textainer Marine Containers VII Ltd.,
Series 2021-2A, Class A
(Bermuda)
2.23%		04/20/46	^1,3	$	221,667	$	190,683
TIF Funding II LLC,
Series 2021-1A, Class A
1.65%		02/20/46	¹		230,771		193,211
TRESTLES CLO V Ltd.,
Series 2021-5A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
3.88%		10/20/34	^1,2,3		90,000		86,144
Tricon American Homes Trust,
Series 2017-SFR2, Class E
4.22%		01/17/36	¹		150,000		145,314
Tricon American Homes,
Series 2020-SFR1, Class D
2.55%		07/17/38	¹		133,000		114,359


Total Asset-Backed Securities
(Cost $6,776,617)							6,064,269


CORPORATES — 35.53%*

Banking — 5.85%
Bank of America Corp.
2.30%		07/21/32	⁴		135,000		101,250
2.57%		10/20/32	⁴		55,000		42,130
2.69%		04/22/32	⁴		10,000		7,799
2.97%		02/04/33	⁴		15,000		11,761
3.00%		12/20/23	⁴		20,000		19,896
3.37%		01/23/26	⁴		110,000		104,191
3.42%		12/20/28	⁴		35,000		31,058
Bank of America Corp.
(MTN)
1.92%		10/24/31	⁴		30,000		22,219
2.09%		06/14/29	⁴		55,000		44,748
3.19%		07/23/30	⁴		25,000		21,100
Bank of America Corp.,
Series N
1.66%		03/11/27	⁴		60,000		52,086
Bank of America Corp.,
Series RR
4.38%^4,7					15,000		12,176
Comerica, Inc.
5.63%^4,7					45,000		44,244
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		30,000		24,352
3.09%		05/14/32	^1,3,4		10,000		7,037
6.54%		08/12/33	^1,3,4		180,000		162,115
Credit Suisse Group AG
(EMTN)
(Switzerland)
0.63%		01/18/33	³		100,000		58,868
DNB Bank ASA
(Norway)
1.13%		09/16/26	^1,3,4		45,000		39,343



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	^3,4	$	25,000	$	20,922
2.01%		09/22/28	^3,4		115,000		92,562
2.80%		05/24/32	^3,4		30,000		22,086
3.80%		03/11/25	^3,4		5,000		4,836
4.29%		09/12/26	^3,4		10,000		9,432
5.40%		08/11/33	^3,4		70,000		62,018
JPMorgan Chase & Co.
1.58%		04/22/27	⁴		55,000		47,621
2.01%		03/13/26	⁴		85,000		77,842
2.58%		04/22/32	⁴		100,000		77,541
3.96%		01/29/27	⁴		10,000		9,445
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,4		140,000		139,665
4.98%		08/11/33	^3,4		50,000		43,848
Macquarie Group Ltd.
(Australia)
2.69%		06/23/32	^1,3,4		30,000		22,821
2.87%		01/14/33	^1,3,4		95,000		71,539
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,4		55,000		53,481
Santander UK Group Holdings PLC
(United Kingdom)
1.53%		08/21/26	^3,4		35,000		30,378
1.67%		06/14/27	^3,4		50,000		41,509
4.80%		11/15/24	^3,4		65,000		64,125
U.S. Bancorp
3.70%^4,7					15,000		11,318
Wells Fargo & Co.
(MTN)
2.39%		06/02/28	⁴		75,000		64,411
3.35%		03/02/33	⁴		240,000		195,170
3.53%		03/24/28	⁴		50,000		45,410
4.90%		07/25/33	⁴		90,000		82,790

							2,097,143


Communications — 4.33%
AT&T, Inc.
2.55%		12/01/33			93,000		69,051
3.80%		12/01/57			156,000		104,438
4.75%		05/15/46			15,000		12,617
Cable One, Inc.
4.00%		11/15/30	¹		37,000		28,860
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.75%		02/01/32	¹		48,000		37,511
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.80%		03/01/50			50,000		36,527
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%		04/01/53			90,000		69,150
Cogent Communications Group, Inc.
7.00%		06/15/27	¹		14,000		13,279



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
CommScope, Inc.
4.75%		09/01/29	¹	$	24,000	$	19,696
6.00%		03/01/26	¹		36,000		33,203
CSC Holdings LLC
3.38%		02/15/31	¹		44,000		31,062
5.38%		02/01/28	¹		5,000		4,374
6.50%		02/01/29	¹		25,000		22,119
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		85,000		17,025
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor,
Inc.
5.88%		08/15/27	¹		30,000		25,941
Gray Escrow II, Inc.
5.38%		11/15/31	¹		15,000		11,776
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	^1,3		48,000		40,857
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
8.50%		10/15/24	^{†,1,3,5,6,8,9}		38,000		—
9.75%		07/15/25	^{†,1,3,5,6,8,9}		71,000		—
Level 3 Financing, Inc.
3.40%		03/01/27	¹		10,000		8,378
3.88%		11/15/29	¹		69,000		54,500
Lumen Technologies, Inc.
4.00%		02/15/27	¹		24,000		20,414
5.38%		06/15/29	¹		42,000		31,310
Qwest Corp.
7.25%		09/15/25			70,000		71,750
Scripps Escrow, Inc.
5.88%		07/15/27	¹		45,000		39,375
SES GLOBAL Americas Holdings, Inc.
5.30%		03/25/44	¹		200,000		153,751
Sirius XM Radio, Inc.
3.88%		09/01/31	¹		33,000		25,665
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		118,750		117,112
Tencent Holdings Ltd.
(Cayman Islands)
3.98%		04/11/29	^1,3		25,000		22,502
Time Warner Cable LLC
5.50%		09/01/41			100,000		78,721
5.88%		11/15/40			10,000		8,350
T-Mobile USA, Inc.
2.25%		02/15/26			66,000		59,155
2.55%		02/15/31			110,000		87,249
2.63%		04/15/26			38,000		34,401
3.88%		04/15/30			35,000		31,067
Vmed O2 UK Financing I PLC
(United Kingdom)
4.25%		01/31/31	^1,3		30,000		22,800
Vodafone Group PLC
(United Kingdom)
4.88%		06/19/49	³		48,000		37,865



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
5.25%		05/30/48	³	$	40,000	$	33,237
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/32	^1,3		50,000		38,237

							1,553,325


Consumer Discretionary — 1.73%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.70%		02/01/36			15,000		13,537
4.90%		02/01/46			65,000		56,643
BAT Capital Corp.
2.73%		03/25/31			25,000		18,508
4.39%		08/15/37			20,000		14,298
4.54%		08/15/47			175,000		116,336
5.65%		03/16/52			25,000		19,235
Constellation Brands, Inc.
4.35%		05/09/27			40,000		38,447
Edgewell Personal Care Co.
5.50%		06/01/28	¹		32,000		28,720
Everi Holdings, Inc.
5.00%		07/15/29	¹		30,000		24,819
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/24	^1,3		25,000		23,898
6.13%		07/27/27	^1,3		70,000		69,015
Spectrum Brands, Inc.
5.50%		07/15/30	¹		20,000		15,850
WarnerMedia Holdings, Inc.
4.28%		03/15/32	¹		40,000		32,964
5.05%		03/15/42	¹		70,000		52,472
5.14%		03/15/52	¹		130,000		94,630

							619,372


Consumer Products — 0.10%
Spectrum Brands, Inc.
5.00%		10/01/29	¹		45,000		36,506


Electric — 1.47%
Alliant Energy Finance, LLC
3.60%		03/01/32	¹		55,000		47,187
Duke Energy Corp.
4.50%		08/15/32			80,000		72,410
Entergy Texas, Inc.
3.45%		12/01/27			150,000		138,687
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		39,000		33,194
Jersey Central Power & Light Co.
4.70%		04/01/24	¹		55,000		54,171
Metropolitan Edison Co.
4.00%		04/15/25	¹		75,000		71,337
NextEra Energy Capital Holdings, Inc.
5.00%		07/15/32			55,000		52,610
Niagara Mohawk Power Corp.
5.78%		09/16/52	¹		60,000		57,120

							526,716



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy — 2.10%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%		04/01/28	¹	$	40,000	$	35,260
Energy Transfer LP
5.00%		05/15/50			30,000		23,474
5.40%		10/01/47			174,000		141,831
5.50%		06/01/27			3,000		2,926
Global Partners LP/GLP Finance Corp.
6.88%		01/15/29			41,000		36,978
Kinder Morgan Energy Partners LP
5.00%		08/15/42			45,000		36,727
Petroleos Mexicanos
(Mexico)
6.35%		02/12/48	³		5,000		2,688
6.75%		09/21/47	³		50,000		27,970
6.95%		01/28/60	³		35,000		19,378
7.69%		01/23/50	³		10,000		6,140
Rockies Express Pipeline LLC
4.80%		05/15/30	¹		100,000		82,865
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6,8,9		34,545		28,845
Sabine Pass Liquefaction LLC
4.50%		05/15/30			30,000		27,373
Southern Co. Gas Capital Corp.
3.88%		11/15/25			70,000		67,060
Sunoco LP/Sunoco Finance Corp.
4.50%		05/15/29			56,000		46,655
4.50%		04/30/30			9,000		7,371
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			44,000		37,840
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^1,3		24,300		23,697
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^1,3		17,500		16,046
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^1,3		8,550		8,054
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		04/01/26			40,000		36,863
Venture Global Calcasieu Pass LLC
3.88%		08/15/29	¹		45,000		38,702

							754,743


Entertainment — 0.11%
Cinemark USA, Inc.
5.25%		07/15/28	¹		32,000		24,880
Live Nation Entertainment, Inc.
4.75%		10/15/27	¹		17,000		14,823

							39,703


Finance — 5.39%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/26	³		75,000		63,436



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
3.30%		01/30/32	³	$	80,000	$	60,390
Air Lease Corp.
(MTN)
2.30%		02/01/25			75,000		69,083
American Express Co.,
Series D
3.55%^4,7					15,000		11,540
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		110,000		86,205
3.25%		02/15/27	^1,3		15,000		12,626
Capital One Financial Corp.
3.27%		03/01/30	⁴		40,000		33,601
Charles Schwab Corp. (The)
1.95%		12/01/31			45,000		34,388
5.00%^4,7					15,000		13,519
Citigroup, Inc.
1.46%		06/09/27	⁴		20,000		17,046
2.57%		06/03/31	⁴		45,000		35,458
2.67%		01/29/31	⁴		100,000		79,885
2.98%		11/05/30	⁴		20,000		16,477
3.06%		01/25/33	⁴		135,000		106,499
3.11%		04/08/26	⁴		25,000		23,434
3.29%		03/17/26	⁴		5,000		4,722
Citigroup, Inc.,
Series VAR
3.07%		02/24/28	⁴		15,000		13,380
Goldman Sachs Group, Inc. (The)
0.93%		10/21/24	⁴		30,000		28,486
1.22%		12/06/23			75,000		71,955
1.43%		03/09/27	⁴		10,000		8,613
1.54%		09/10/27	⁴		165,000		139,612
1.95%		10/21/27	⁴		10,000		8,559
2.38%		07/21/32	⁴		65,000		49,143
2.65%		10/21/32	⁴		105,000		80,603
Goldman Sachs Group, Inc. (The),
Series VAR
1.09%		12/09/26	⁴		60,000		51,837
Intercontinental Exchange, Inc.
4.60%		03/15/33			75,000		70,016
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/29	¹		45,000		38,646
JPMorgan Chase & Co.
2.55%		11/08/32	⁴		110,000		83,710
2.60%		02/24/26	⁴		90,000		83,756
2.95%		02/24/28	⁴		20,000		17,735
2.96%		01/25/33	⁴		15,000		11,827
Morgan Stanley
2.48%		09/16/36	⁴		35,000		25,098
5.30%		04/20/37	⁴		65,000		58,654
Morgan Stanley
(GMTN)
0.79%		01/22/25	⁴		40,000		37,494
2.24%		07/21/32	⁴		15,000		11,286



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Morgan Stanley
(MTN)
1.16%		10/21/25	⁴	$	120,000	$	109,385
1.93%		04/28/32	⁴		155,000		114,169
2.51%		10/20/32	⁴		5,000		3,830
Nationwide Building Society
(United Kingdom)
2.97%		02/16/28	^1,3,4		50,000		43,082
3.77%		03/08/24	^1,3,4		50,000		49,451
4.36%		08/01/24	^1,3,4		20,000		19,720
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		35,000		34,801

							1,933,157


Food — 1.13%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%		11/15/28	¹		27,000		23,001
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/26	¹		30,000		19,102
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.75%		12/01/31	^1,3		52,000		41,593
5.50%		01/15/30	^1,3		25,000		23,137
5.75%		04/01/33	^1,3		40,000		36,213
6.50%		12/01/52	^1,3		10,000		8,882
Kraft Heinz Foods Co.
5.00%		06/04/42			74,000		64,444
5.20%		07/15/45			25,000		21,797
Pilgrim’s Pride Corp.
3.50%		03/01/32	¹		30,000		22,662
4.25%		04/15/31	¹		25,000		20,094
Post Holdings, Inc.
4.63%		04/15/30	¹		50,000		41,175
5.75%		03/01/27	¹		14,000		13,405
Smithfield Foods, Inc.
2.63%		09/13/31	¹		45,000		33,330
TreeHouse Foods, Inc.
4.00%		09/01/28			45,000		35,941

							404,776


Gaming — 0.43%
Caesars Entertainment, Inc.
4.63%		10/15/29	¹		55,000		42,246
8.13%		07/01/27	¹		15,000		14,361
Churchill Downs, Inc.
4.75%		01/15/28	¹		45,000		39,001
Penn Entertainment, Inc.
4.13%		07/01/29	¹		33,000		25,631
5.63%		01/15/27	¹		36,000		31,901

							153,140


Health Care — 4.48%
AbbVie, Inc.
3.60%		05/14/25			50,000		48,041
4.50%		05/14/35			25,000		22,294



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Amgen, Inc.
4.88%		03/01/53		$	60,000	$	52,933
Bayer U.S. Finance II LLC
2.85%		04/15/25	¹		20,000		18,486
4.38%		12/15/28	¹		70,000		64,119
4.63%		06/25/38	¹		60,000		50,081
4.88%		06/25/48	¹		50,000		40,975
Cano Health LLC
6.25%		10/01/28	¹		42,000		39,760
Catalent Pharma Solutions, Inc.
3.13%		02/15/29	¹		75,000		57,924
Centene Corp.
2.45%		07/15/28			46,000		37,481
3.00%		10/15/30			59,000		46,850
4.25%		12/15/27			49,000		44,925
Cigna Corp.
3.88%		10/15/47			25,000		18,393
CommonSpirit Health
2.78%		10/01/30			40,000		32,012
CVS Health Corp.
5.05%		03/25/48			95,000		83,725
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			45,000		34,811
Embecta Corp.
5.00%		02/15/30	¹		28,000		24,081
6.75%		02/15/30	¹		39,000		36,469
Encompass Health Corp.
4.50%		02/01/28			20,000		17,300
4.63%		04/01/31			82,000		65,104
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3,8,9		3,000		173
Fresenius Medical Care U.S. Finance III, Inc.
1.88%		12/01/26	¹		30,000		24,806
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^1,3		47,000		36,471
HCA, Inc.
3.50%		09/01/30			69,000		57,125
3.63%		03/15/32	¹		95,000		77,151
5.25%		04/15/25			12,000		11,767
5.25%		06/15/49			110,000		89,712
5.50%		06/15/47			15,000		12,828
5.63%		09/01/28			14,000		13,454
Medline Borrower LP
3.88%		04/01/29	¹		45,000		36,182
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	¹		35,000		28,460
ModivCare, Inc.
5.88%		11/15/25	¹		15,000		13,862
Molina Healthcare, Inc.
3.88%		11/15/30	¹		35,000		29,423
3.88%		05/15/32	¹		74,000		60,857
Option Care Health, Inc.
4.38%		10/31/29	¹		30,000		25,382



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	¹	$	90,000	$	74,025
Prestige Brands, Inc.
3.75%		04/01/31	¹		71,000		55,235
Prime Healthcare Services, Inc.
7.25%		11/01/25	¹		64,000		57,763
Tenet Healthcare Corp.
4.25%		06/01/29	¹		30,000		24,884
6.13%		06/15/30	¹		32,000		29,463
Universal Health Services, Inc.
1.65%		09/01/26	¹		15,000		12,591

							1,607,378


Industrials — 1.94%
Advanced Drainage Systems, Inc.
6.38%		06/15/30	¹		14,000		13,597
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%		08/15/27	^1,3		74,000		46,839
Artera Services LLC
9.03%		12/04/25	¹		30,000		24,197
Ball Corp.
4.00%		11/15/23			38,000		37,354
Berry Global, Inc.
1.65%		01/15/27			5,000		4,153
4.88%		07/15/26	¹		50,000		47,063
Boeing Co. (The)
1.43%		02/04/24			60,000		57,075
4.88%		05/01/25			10,000		9,760
Energizer Holdings, Inc.
4.38%		03/31/29	¹		46,000		34,730
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
3.39%		08/15/36	²		325,000		267,716
Graphic Packaging International LLC
4.88%		11/15/22			55,000		55,000
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	¹		5,000		4,758
OT Merger Corp.
7.88%		10/15/29	¹		65,000		43,108
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/26	^1,3		43,000		38,515
8.50%		08/15/27	^1,3		12,000		10,641

							694,506


Information Technology — 0.84%
Broadcom, Inc.
2.60%		02/15/33	¹		50,000		35,869
4.30%		11/15/32			15,000		12,671
Lenovo Group Ltd.
(Hong Kong)
6.54%		07/27/32	^1,3		25,000		23,165
NCR Corp.
5.13%		04/15/29	¹		42,000		31,524



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Information Technology (continued)
5.25%		10/01/30	¹	$	26,000	$	19,670
Netflix, Inc.
5.88%		02/15/25			50,000		50,293
NortonLifeLock, Inc.
6.75%		09/30/27	¹		40,000		38,555
Oracle Corp.
2.88%		03/25/31			15,000		11,825
3.80%		11/15/37			10,000		7,281
3.95%		03/25/51			104,000		69,130

							299,983


Insurance — 1.94%
Acrisure LLC/Acrisure Finance, Inc.
6.00%		08/01/29	¹		46,000		35,650
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%		10/15/27	¹		39,000		33,891
Aon Corp./Aon Global Holdings PLC
3.90%		02/28/52			55,000		40,757
Athene Global Funding
1.61%		06/29/26	¹		30,000		25,542
1.99%		08/19/28	¹		100,000		79,149
3.21%		03/08/27	¹		25,000		22,135
(SOFR Index plus 0.70%)
3.44%		05/24/24	^1,2		30,000		29,445
Berkshire Hathaway Finance Corp.
3.85%		03/15/52			25,000		19,228
Brown & Brown, Inc.
4.95%		03/17/52			45,000		36,730
Farmers Exchange Capital II
6.15%		11/01/53	^1,4		50,000		47,845
Farmers Insurance Exchange
4.75%		11/01/57	^1,4		25,000		20,659
HUB International Ltd.
7.00%		05/01/26	¹		15,000		14,269
Metropolitan Life Global Funding I
4.30%		08/25/29	¹		150,000		140,206
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^1,4		75,000		75,009
Teachers Insurance & Annuity Association of America
4.27%		05/15/47	¹		65,000		53,183
Willis North America, Inc.
2.95%		09/15/29			25,000		20,598

							694,296


Materials — 0.50%
ASP Unifrax Holdings, Inc.
5.25%		09/30/28	¹		30,000		23,131
Axalta Coating Systems, LLC
3.38%		02/15/29	¹		45,000		35,292
Clearwater Paper Corp.
4.75%		08/15/28	¹		43,000		37,772
EverArc Escrow SARL
(Luxembourg)
5.00%		10/30/29	^1,3		45,000		36,418



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Materials (continued)
International Flavors & Fragrances, Inc.
2.30%		11/01/30	¹	$	26,000	$	19,990
Valvoline, Inc.
4.25%		02/15/30	¹		29,000		27,470

							180,073


Real Estate Investment Trust (REIT) — 1.55%
American Assets Trust LP
3.38%		02/01/31			30,000		23,932
Brixmor Operating Partnership LP
4.05%		07/01/30			30,000		25,462
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30			5,000		4,192
5.30%		01/15/29			75,000		69,614
5.38%		04/15/26			80,000		76,624
5.75%		06/01/28			25,000		23,465
Healthcare Reality Holdings LP
2.00%		03/15/31			45,000		33,122
3.10%		02/15/30			30,000		24,696
Hudson Pacific Properties LP
3.25%		01/15/30			45,000		35,830
5.95%		02/15/28			5,000		4,797
Iron Mountain Information Management Services, Inc.
5.00%		07/15/32	¹		30,000		23,400
Life Storage LP
2.40%		10/15/31			35,000		26,313
LXP Industrial Trust
2.70%		09/15/30			35,000		26,978
SL Green Operating Partnership LP
3.25%		10/15/22			40,000		39,971
VICI Properties LP
5.13%		05/15/32			80,000		71,086
5.63%		05/15/52			12,000		9,948
VICI Properties LP/VICI Note Co., Inc.
3.75%		02/15/27	¹		5,000		4,400
3.88%		02/15/29	¹		10,000		8,410
4.50%		09/01/26	¹		5,000		4,600
4.50%		01/15/28	¹		5,000		4,443
4.63%		06/15/25	¹		5,000		4,714
5.75%		02/01/27	¹		10,000		9,434

							555,431


Retail — 0.67%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%		10/15/30	^1,3		32,000		25,363
Asbury Automotive Group, Inc.
5.00%		02/15/32	¹		23,000		17,844
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/29	¹		43,000		35,905
Dollar Tree, Inc.
4.00%		05/15/25			40,000		38,800
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%		01/15/30	¹		45,000		34,312



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Retail (continued)
FirstCash, Inc.
5.63%		01/01/30	¹	$	30,000	$	25,685
Michaels Cos., Inc. (The)
7.88%		05/01/29	¹		65,000		37,626
Papa John’s International, Inc.
3.88%		09/15/29	¹		33,000		26,526

							242,061


Services — 0.75%
Adtalem Global Education, Inc.
5.50%		03/01/28	¹		41,000		37,045
Global Payments, Inc.
5.40%		08/15/32			40,000		37,135
5.95%		08/15/52			8,000		7,039
HealthEquity, Inc.
4.50%		10/01/29	¹		45,000		38,072
Hertz Corp. (The)
4.63%		12/01/26	¹		15,000		12,225
5.00%		12/01/29	¹		30,000		22,462
Rent-A-Center, Inc.
6.38%		02/15/29	¹		44,000		34,540
WASH Multifamily Acquisition, Inc.
5.75%		04/15/26	¹		30,000		27,714
Waste Pro USA, Inc.
5.50%		02/15/26	¹		61,000		53,659

							269,891


Transportation — 0.22%
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32			90,184		79,943


Total Corporates
(Cost $14,571,071)							12,742,143


FOREIGN GOVERNMENT OBLIGATIONS — 0.06%

Foreign Government Obligations — 0.06%
Airport Authority
(Hong Kong)
3.25%		01/12/52	^1,3		30,000		21,815


Total Foreign Government Obligations
(Cost $29,531)

MORTGAGE-BACKED — 53.87%**

Non-Agency Commercial Mortgage-Backed — 6.24%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%		09/15/48	^1,4		1,500,000		41,288
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2019-BPR, Class AMP
3.29%		11/05/32	¹		100,000		91,769
BCRR Trust,
Series 2016-FRR3, Class E
(-1.00 X LIBOR USD 1-Month plus 18.35%)
4.29%		05/26/26	^1,2		88,636		78,709



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
BX Commercial Mortgage Trust,
Series 2021-VOLT, Class F
(LIBOR USD 1-Month plus 2.40%)
5.22%		09/15/36	^1,2	$	100,000	$	93,415
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class XA (IO)
1.49%		04/10/46	⁴		3,904,765		12,055
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
1.10%		10/10/47	⁴		4,005,318		58,361
Citigroup Commercial Mortgage Trust,
Series 2016-P4, Class XA (IO)
2.05%		07/10/49	⁴		1,981,012		103,466
COBALT CMBS Commercial Mortgage Trust,
Series 2007-C2, Class X (IO)
0.65%		04/15/47	^1,4		236,763		955
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.75%		10/15/45	⁴		6,899,694		18,579
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.50%		12/10/45	⁴		1,956,625		68
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
1.24%		10/10/46	⁴		1,672,425		12,421
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.72%		02/10/37	^1,4		1,667,987		20,504
Credit Suisse Mortgage Capital Trust,
Series 2014-USA, Class X1 (IO)
0.69%		09/15/37	^1,4		9,783,817		124,150
CSAIL Commercial Mortgage Trust,
Series 2015-C1, Class XA (IO)
0.96%		04/15/50	⁴		1,676,261		23,392
CSMC,
Series 2018-SITE, Class B
4.53%		04/15/36	¹		100,000		95,148
CSMC,
Series 2019-RIO, Class A
(LIBOR USD 1-Month plus 3.02%)
5.84%		12/15/22	^1,2		99,335		99,200
European Loan Conduit No. 36 DAC,
Series 36A, Class E
(Ireland)
(3 month Euribor plus 3.35%)
3.68%		02/17/30	^1,2,3		97,791		86,261
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.60%		02/10/46	⁴		3,177,084		3,399
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.45%		02/10/37	^1,4		940,000		6,899
GS Mortgage Securities Trust,
Series 2012-GC6, Class XB (IO)
1.04%		01/10/45	^1,4		1,142,250		20



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
1.94%		11/10/45	⁴	$	425,675	$	141
GS Mortgage Securities Trust,
Series 2013-GC16, Class XB (IO)
0.33%		11/10/46	⁴		45,024,000		86,730
GS Mortgage Securities Trust,
Series 2014-GC24, Class XA (IO)
0.84%		09/10/47	⁴		2,757,003		29,099
GS Mortgage Securities Trust,
Series 2015-GC32, Class XA (IO)
0.86%		07/10/48	⁴		4,704,683		76,014
Impact Funding Affordable Multifamily Housing Mortgage
Loan Trust,
Series 2010-1, Class A1
5.31%		01/25/51	¹		68,676		67,473
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C15, Class XA (IO)
1.18%		11/15/45	⁴		7,204,072		46,951
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class A3
3.67%		04/15/47			27,282		26,079
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C22, Class XA (IO)
0.96%		09/15/47	⁴		7,563,198		85,771
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.96%		11/15/47	⁴		4,581,761		64,753
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C26, Class XA (IO)
1.09%		01/15/48	⁴		2,521,485		39,042
JPMDB Commercial Mortgage Securities Trust,
Series 2018-C8, Class XEF (IO)
1.99%		06/15/51	^1,4		1,157,000		91,866
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.31%		12/15/47	⁴		697,985		330
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.19%		01/15/46	⁴		6,077,763		2,357
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C16, Class XA (IO)
1.01%		12/15/46	⁴		5,107,291		30,389
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-ICON, Class C
4.54%		01/05/34	¹		72,000		68,395
Ladder Capital Commercial Mortgage Mortgage Trust,
Series 2013-GCP, Class XA (IO)
1.33%		02/15/36	^1,4		1,434,348		68,802
Med Trust,
Series 2021-MDLN, Class G
(LIBOR USD 1-Month plus 5.25%)
8.07%		11/15/38	^1,2		100,000		92,579
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C9, Class XB (IO)
0.39%		05/15/46	^1,4		12,532,749		27,467



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
1.10%		12/15/47	⁴	$	2,718,355	$	40,742
SMRT,
Series 2022-MINI, Class E
(CME Term SOFR 1-Month plus 2.70%)
5.55%		01/15/39	^1,2		100,000		92,144
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.77%		07/15/58	⁴		3,176,939		44,345
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS6, Class XA (IO)
1.73%		11/15/49	⁴		1,189,405		54,605
WF-RBS Commercial Mortgage Trust,
Series 2013-C12, Class XA (IO)
1.22%		03/15/48	^1,4		4,089,559		12,620
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XB (IO)
0.60%		05/15/45	^1,4		10,000,000		21,138
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.78%		06/15/46	⁴		2,371,234		4,331
WF-RBS Commercial Mortgage Trust,
Series 2013-C17, Class XA (IO)
1.21%		12/15/46	⁴		5,326,597		42,341
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class XA (IO)
1.17%		08/15/47	⁴		3,381,216		50,450

							2,237,013


Non-Agency Mortgage-Backed — 31.46%
Alternative Loan Trust,
Series 2007-15CB, Class A7
6.00%		07/25/37			184,868		125,510
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
0.70%)
1.80%		02/25/47	²		470,839		198,742
APS Resecuritization Trust,
Series 2016-3, Class 3MZ
1.07%		09/27/46	^1,4		384,641		198,868
Carrington Mortgage Loan Trust,
Series 2006-NC4, Class A4
(LIBOR USD 1-Month plus 0.24%)
3.32%		10/25/36	²		175,000		138,345
Carrington Mortgage Loan Trust,
Series 2007-RFC1, Class A3
(LIBOR USD 1-Month plus 0.14%)
3.22%		12/25/36	²		122,792		116,054
CIM Trust,
Series 2021-NR2, Class A1 (STEP-reset date 11/25/22)
2.57%		07/25/59	¹		145,666		137,919
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/57	^1,4		78,714		70,566

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

CIM Trust,

Series 2021-R5, Class A1B

2.00%

08/25/61

^1,4

115,000

75,071

CIT Mortgage Loan Trust,

Series 2007-1, Class 1M2

(LIBOR USD 1-Month plus 1.75%)

4.83%

10/25/37

^1,2

240,000

199,848

Conseco Finance Corp.,

Series 1999-5, Class A5

7.86%

03/01/30

⁴

74,479

33,958

Credit Suisse Mortgage Capital Trust,

Series 2015-12R, Class 2A2

2.94%

11/30/37

^1,4

100,000

90,035

Credit-Based Asset Servicing and Securitization LLC,

Mortgage Loan Trust,

Series 2007-CB2, Class A2C (STEP-reset date 11/25/22)

3.54%

02/25/37

244,265

152,132

Credit-Based Asset Servicing and Securitization LLC,

Mortgage Loan Trust,

Series 2007-CB3, Class A3 (STEP-reset date 11/25/22)

3.27%

03/25/37

851,087

347,807

Fannie Mae Connecticut Avenue Securities,

Series 2019-R06, Class 2B1

(LIBOR USD 1-Month plus 3.75%)

6.83%

09/25/39

^1,2

75,000

71,405

Fannie Mae Connecticut Avenue Securities,

Series 2021-R03, Class 1B1

(SOFR30A plus 2.75%)

5.03%

12/25/41

^1,2

150,000

127,489

Fannie Mae Connecticut Avenue Securities,

Series 2021-R03, Class 1B2

(SOFR30A plus 5.50%)

7.78%

12/25/41

^1,2

115,000

100,919

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2B

(LIBOR USD 1-Month plus 0.11%)

3.19%

12/25/37

300,438

271,597

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2D

(LIBOR USD 1-Month plus 0.22%)

3.30%

01/25/38

767,672

448,055

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

3.18%

03/25/37

557,248

288,793

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2021-HQA2, Class M2

(SOFR30A plus 2.05%)

4.33%

12/25/33

^1,2

120,000

106,740

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2022-DNA1, Class M1B

(SOFR30A plus 1.85%)

4.13%

01/25/42

^1,2

150,000

136,607

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2022-DNA1, Class M2

(SOFR30A plus 2.50%)

4.78%

01/25/42

^1,2

150,000

127,345

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

2.90%

04/19/36

⁴

184,889

146,703

GreenPoint Mortgage Funding Trust,

Series 2005-AR1, Class A2

(LIBOR USD 1-Month plus 0.44%)

3.52%

06/25/45

108,828

100,837

GSAA Home Equity Trust,

Series 2006-1, Class A3

(LIBOR USD 1-Month plus 0.66%)

3.74%

01/25/36

261,807

117,547

GSAA Home Equity Trust,

Series 2006-10, Class AF3

5.98%

06/25/36

⁴

592,988

171,815

GSAA Home Equity Trust,

Series 2006-6, Class AF3

5.73%

03/25/36

⁴

551,670

170,556

GSAMP Trust,

Series 2007-NC1, Class A2C

(LIBOR USD 1-Month plus 0.15%)

3.23%

12/25/46

262,387

132,572

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 5A1A

3.63%

05/25/37

⁴

178,555

159,870

HarborView Mortgage Loan Trust,

Series 2005-3, Class 1A

(LIBOR USD 1-Month plus 0.52%)

3.51%

06/19/35

322,485

188,463

HarborView Mortgage Loan Trust,

Series 2006-4, Class 1A1A

(LIBOR USD 1-Month plus 0.36%)

3.35%

05/19/46

351,642

187,448

HarborView Mortgage Loan Trust,

Series 2006-5, Class 1A1A

(Federal Reserve US 12-Month Cumulative Average plus

0.91%)

2.01%

07/19/47

319,975

128,161

HSI Asset Loan Obligation Trust,

Series 2007-2, Class 2A12

6.00%

09/25/37

243,584

189,256

HSI Asset Securitization Corp. Trust,

Series 2007-OPT1, Class 1A

(LIBOR USD 1-Month plus 0.14%)

3.22%

12/25/36

217,562

192,494

Impac CMB Trust,

Series 2004-4, Class 1A2

(LIBOR USD 1-Month plus 0.62%)

3.70%

09/25/34

58,758

58,562

Impac CMB Trust,

Series 2004-6, Class 1A2

(LIBOR USD 1-Month plus 0.78%)

3.86%

10/25/34

100,254

97,430

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

IndyMac Index Mortgage Loan Trust,

Series 2005-AR25, Class 2A1

3.17%

12/25/35

⁴

230,509

211,843

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1997-1, Class A3

6.61%

02/25/28

46,826

46,257

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1997-1, Class A4

6.75%

02/25/28

19,712

19,483

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1998-1, Class A4

6.49%

09/25/28

35,856

36,907

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1998-1, Class A5

6.96%

09/25/28

⁴

86,425

87,764

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF6 (STEP-reset date 11/25/22)

4.18%

03/25/47

645,047

448,347

JPMorgan Mortgage Trust,

Series 2006-S2, Class 2A2

5.88%

06/25/21

2,902

2,924

Long Beach Mortgage Loan Trust,

Series 2006-9, Class 2A3

(LIBOR USD 1-Month plus 0.32%)

3.40%

10/25/36

403,490

122,017

Luminent Mortgage Trust,

Series 2006-5, Class A1A

(LIBOR USD 1-Month plus 0.38%)

3.46%

07/25/36

266,041

184,334

MASTR Adjustable Rate Mortgages Trust,

Series 2007-1, Class I1A

(LIBOR USD 1-Month plus 0.39%)

3.47%

01/25/47

449,819

191,408

MASTR Adjustable Rate Mortgages Trust,

Series 2007-2, Class A1

(LIBOR USD 1-Month plus 0.30%)

3.38%

03/25/47

252,759

233,401

MASTR Asset-Backed Securities Trust,

Series 2007-HE1, Class A3

(LIBOR USD 1-Month plus 0.21%)

3.29%

05/25/37

166,603

157,860

MASTR Asset-Backed Securities Trust,

Series 2007-HE1, Class A4

(LIBOR USD 1-Month plus 0.28%)

3.36%

05/25/37

300,000

241,815

Merrill Lynch Alternative Note Asset Trust,

Series 2007-A3, Class A2D

(LIBOR USD 1-Month plus 0.66%)

3.74%

04/25/37

^2,5,6

1,696,107

75,802



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE2, Class A2C
(LIBOR USD 1-Month plus 1.16%)
4.24%		08/25/35	²	$	629,458	$	602,892
Merrill Lynch Mortgage Investors Trust,
Series 2006-RM2, Class A1A
(LIBOR USD 1-Month plus 0.37%)
3.45%		05/25/37	²		451,143		132,552
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%		01/15/40			80,303		79,095
Mid-State Trust XI,
Series 11, Class B
8.22%		07/15/38			4,682		4,631
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
3.21%		09/25/34	⁴		120,503		113,719
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%		06/25/36	⁴		929,852		293,822
Morgan Stanley Mortgage Loan Trust,
Series 2007-11AR, Class 2A3
2.63%		06/25/37	⁴		134,803		82,761
Oakwood Mortgage Investors, Inc.,
Series 1999-B, Class A4
6.99%		12/15/26			28,477		28,430
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A3
6.03%		05/15/24	⁴		47,873		48,215
Option One Mortgage Loan Trust,
Series 2006-3, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
3.22%		02/25/37	²		194,781		131,230
PRET LLC,
Series 2022-RN2, Class A2 (STEP-reset date 10/25/22)
6.50%		06/25/52	¹		197,000		184,550
Pretium Mortgage Credit Partners LLC,
Series 2022-RN3, Class A2
6.50%		08/25/52	^1,4		180,000		168,372
PRPM LLC,
Series 2020-4, Class A1 (STEP-reset date 10/25/22)
2.95%		10/25/25	¹		78,273		75,468
PRPM LLC,
Series 2021-5, Class A1 (STEP-reset date 10/25/22)
1.79%		06/25/26	¹		101,131		93,811
PRPM LLC,
Series 2022-1, Class A1 (STEP-reset date 10/25/22)
3.72%		02/25/27	¹		204,656		191,454
PRPM LLC,
Series 2022-4, Class A2
5.00%		08/25/27	^1,4		170,000		154,215
PRPM, LLC,
Series 2021-8, Class A1
1.74%		09/25/26	^1,4		87,700		80,503

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Accredit Loans Trust,

Series 2005-QA3, Class NB1

3.60%

03/25/35

⁴

117,808

63,199

Residential Accredit Loans Trust,

Series 2007-QS1, Class 1A5

(LIBOR USD 1-Month plus 0.55%)

3.63%

01/25/37

346,033

265,742

Residential Asset Securities Corp.,

Series 2005-KS11, Class M3

(LIBOR USD 1-Month plus 0.66%)

3.74%

12/25/35

164,736

157,321

SG Mortgage Securities Trust,

Series 2006-OPT2, Class A3D

(LIBOR USD 1-Month plus 0.21%)

3.29%

10/25/36

250,000

173,707

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-12, Class 2A

3.72%

09/25/34

⁴

100,964

98,735

Terwin Mortgage Trust,

Series 2004-7HE, Class A1

(LIBOR USD 1-Month plus 1.10%)

4.18%

07/25/34

^1,2

62,779

60,061

VOLT XCIV LLC,

Series 2021-NPL3, Class A1 (STEP-reset date 10/25/22)

2.24%

02/27/51

58,317

55,221

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A4

(LIBOR USD 1-Month plus 0.23%)

3.31%

01/25/37

559,839

274,641

11,280,028

U.S. Agency Commercial Mortgage-Backed — 2.38%

Fannie Mae-Aces,

Series 2016-M11, Class X2 (IO)

2.98%

07/25/39

⁴

301,777

7,405

Freddie Mac Multifamily PC REMIC Trust,

Series 2019-P002, Class X (IO)

1.14%

07/25/33

⁴

535,000

45,603

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K024, Class X3 (IO)

1.66%

11/25/40

⁴

1,607,064

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K027, Class X3 (IO)

1.76%

01/25/41

⁴

5,000,000

19,776

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K028, Class X3 (IO)

1.71%

06/25/41

⁴

2,142,000

17,921

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K031, Class X3 (IO)

1.72%

07/25/41

⁴

5,999,569

50,615

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)

0.16%

07/25/23

⁴

6,008,445

3,284

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K040, Class X3 (IO)

2.11%

11/25/42

⁴

1,100,000

41,115

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K047, Class X3 (IO)

1.55%

06/25/43

⁴

1,676,868

59,605

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K724, Class X1 (IO)

0.35%

11/25/23

⁴

13,302,430

30,831

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC04, Class X1 (IO)

1.41%

12/25/26

⁴

2,254,810

69,896

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC05, Class X1 (IO)

1.34%

06/25/27

⁴

1,980,143

63,853

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series Q010, Class XPT2 (IO)

0.36%

08/25/24

1,473,197

5,904

FREMF Mortgage Trust,

Series 2017-K66, Class X2A (IO)

0.10%

06/25/27

26,602,722

95,142

FREMF Mortgage Trust,

Series 2017-K726, Class X2B (IO)

0.10%

07/25/49

25,000,000

36,187

Ginnie Mae,

Series 2009-114, Class IO (IO)

0.02%

10/16/49

⁴

4,445,508

208

Ginnie Mae,

Series 2010-148, Class IO (IO)

0.29%

09/16/50

⁴

1,417,870

14,304

Ginnie Mae,

Series 2012-123, Class IO (IO)

0.63%

12/16/51

⁴

2,133,925

27,803

Ginnie Mae,

Series 2012-125, Class IO (IO)

0.17%

02/16/53

⁴

7,075,405

33,270

Ginnie Mae,

Series 2012-27, Class IO (IO)

0.29%

04/16/53

⁴

3,982,103

16,744

Ginnie Mae,

Series 2013-156, Class IO (IO)

0.29%

06/16/55

⁴

4,330,344

32,247

Ginnie Mae,

Series 2013-163, Class IO (IO)

1.02%

02/16/46

⁴

1,400,092

21,524

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Ginnie Mae,

Series 2013-63, Class IO (IO)

0.72%

09/16/51

⁴

5,552,275

107,722

Ginnie Mae,

Series 2013-74, Class IO (IO)

0.51%

12/16/53

⁴

1,546,189

18,465

Ginnie Mae,

Series 2014-103, Class IO (IO)

0.19%

05/16/55

⁴

876,320

7,505

Ginnie Mae,

Series 2014-125, Class IO (IO)

0.94%

11/16/54

⁴

634,541

18,161

Ginnie Mae,

Series 2015-47, Class IO (IO)

0.37%

10/16/56

⁴

539,647

9,691

854,844

U.S. Agency Mortgage-Backed — 13.79%

Fannie Mae REMICS,

Series 1993-80, Class S

(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)

7.11%

05/25/23

Fannie Mae REMICS,

Series 2000-45, Class SA (IO)

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

4.96%

12/18/30

43,627

2,196

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

244

241

Fannie Mae REMICS,

Series 2003-124, Class TS

(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)

9.80%

01/25/34

2,610

2,624

Fannie Mae REMICS,

Series 2005-92, Class US (IO)

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

3.02%

10/25/25

206,015

3,457

Fannie Mae REMICS,

Series 2006-125, Class SM (IO)

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

4.12%

01/25/37

483,265

60,796

Fannie Mae REMICS,

Series 2008-50, Class SA (IO)

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

2.97%

11/25/36

574,260

46,816

Fannie Mae REMICS,

Series 2010-43, Class KS (IO)

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

3.34%

05/25/40

555,035

58,274

Freddie Mac REMICS,

Series 1602, Class SN

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

10.09%

10/15/23

1,509

1,515



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 1673, Class SD
(-2.15 X US Treasury Yield Curve Rate T Note Constant
Maturity 10-Year plus 19.39%, 18.31% Cap)
13.21%		02/15/24	²	$	8,310	$	8,578
Freddie Mac REMICS,
Series 3247, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.65%, 0.15% Cap)
0.15%		08/15/36	²		7,542,573		23,433
Freddie Mac REMICS,
Series 3289, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)
3.30%		03/15/37	²		501,627		36,453
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
8.13%		11/26/23	²		4,756		4,791
UMBS (TBA)
2.00%		10/01/52			500,000		404,293
2.00%		11/01/52			700,000		565,943
2.50%		10/01/52			300,000		251,763
2.50%		11/01/52			575,000		482,458
3.00%		10/01/52			575,000		499,667
4.00%		10/01/52			125,000		115,875
4.50%		10/01/52			1,575,000		1,498,996
5.00%		10/01/52			900,000		876,942

							4,945,184


Total Mortgage-Backed
(Cost $26,011,400)							19,317,069


MUNICIPAL BONDS — 0.34%*

California — 0.14%
California Health Facilities Financing Authority Revenue
Bonds, Series A
3.00%		08/15/51			20,000		13,868
California State University Revenue Bonds, University &
College Improvements, Series B
2.37%		11/01/35			15,000		11,107
City of San Francisco Public Utilities Commission Water
Revenue Bonds, Series E
2.83%		11/01/41			35,000		24,878

							49,853


Florida — 0.03%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.86%		10/01/35			15,000		11,487


New York — 0.17%
Metropolitan Transportation Authority Revenue Bonds,
Transit Improvements, Series C2
5.18%		11/15/49			5,000		4,531

Issues

Maturity
Date

Principal
Amount

Value

MUNICIPAL BONDS (continued)

New York (continued)

New York City Transitional Finance Authority Future Tax

Secured Revenue Bonds, Public Improvements, Subseries

1.85%

08/01/32

75,000

55,801

60,332

Total Municipal Bonds

(Cost $159,548)

121,672

Total Bonds — 106.71%

(Cost $47,548,167)

38,266,968

Issues

Shares

Value

COMMON STOCK — 0.18%

Communications — 0.08%

Intelsat Emergence SA^3,5,6,8

(Luxembourg)

1,041

28,628

Financials — 0.10%

AGNC Investment Corp.

4,500

37,890

Total Common Stock

(Cost $93,492)

66,518

RIGHTS — 0.00%

Communications — 0.00%

Intelsat Jackson Holdings SA, Series

A^†,3,5,6,8

(Luxembourg)

108

—

Intelsat Jackson Holdings SA, Series

B^†,3,5,6,8

(Luxembourg)

108

—

Total Rights

(Cost $–)

—

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 5.36%

Money Market Funds — 1.02%

Dreyfus Government Cash Management Fund

2.75%¹⁰

56,000

Fidelity Investments Money Market Funds - Government

Portfolio

2.74%¹⁰

18,220

Morgan Stanley Institutional Liquidity Funds - Government

Portfolio

2.80%¹⁰

292,000

366,220



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

U.S. Agency Discount Notes — 4.34%
Federal Home Loan Bank
3.07%¹¹		02/28/23	$	1,580,000	$	1,556,300


Total Short-Term Investments
(Cost $1,926,603)						1,922,520


Total Investments - 112.25%
(Cost $49,568,262)						40,256,006


Liabilities in Excess of Other Assets - (12.25)%						(4,394,604	)

Net Assets - 100.00%					$	35,861,402

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign denominated security issued by foreign domiciled entity.

⁴	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $239,264, which is 0.67% of total net assets.

⁷	Perpetual security with no stated maturity date.

⁸	Non-income producing security.

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

¹⁰	Represents the current yield as of September 30, 2022.

¹¹	Represents annualized yield at date of purchase.

^†	Fair valued security. The aggregate value of fair valued securities is $302,137, which is 0.84% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved by the Board of Trustees. 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 Obligation

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Issues

Maturity
Date

Principal

Amount

Value

BONDS – 114.73%

ASSET-BACKED SECURITIES — 5.13%**

Academic Loan Funding Trust,

Series 2012-1A, Class A2

(LIBOR USD 1-Month plus 1.10%)

4.18%

12/27/44

^1,2

15,876,879

15,606,148

AGL CLO 1 Ltd.,

Series 2019-1A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.36%

10/20/34

^1,2,3

24,800,000

23,014,400

AGL CLO 17 Ltd.,

Series 2022-17A, Class A

(Cayman Islands)

(CME Term SOFR 3-Month plus 1.33%)

3.80%

01/21/35

^1,2,3

30,520,000

29,408,767

AIG CLO LLC,

Series 2020-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

3.67%

04/15/34

^1,2,3

48,800,000

46,844,828

Aimco CLO 11 Ltd.,

Series 2020-11A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

3.87%

10/17/34

^1,2,3

7,050,000

6,737,925

Allegro CLO XIII Ltd.,

Series 2021-1A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.41%

07/20/34

^1,2,3

9,250,000

8,688,340

AMMC CLO 15 Ltd.,

Series 2014-15A, Class AR3

(Cayman Islands)

(LIBOR USD 3-Month plus 1.12%)

3.63%

01/15/32

^1,2,3

27,800,000

26,973,061

AMMC CLO 19 Ltd.,

Series 2016-19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

3.65%

10/16/28

^1,2,3

20,150,052

20,020,024

AMMC CLO 22 Ltd.,

Series 2018-22A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.45%)

4.23%

04/25/31

^1,2,3

19,750,000

18,784,028

AMSR Trust,

Series 2021-SFR1, Class G

4.61%

06/17/38

^1,4

8,000,000

6,522,570

Apidos CLO XVIII,

Series 2018-18A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.41%

10/22/30

^1,2,3

6,700,000

6,398,098

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Apidos CLO XXII,

Series 2015-22A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.06%)

3.77%

04/20/31

^1,2,3

21,345,000

20,839,380

Barings CLO Ltd.,

Series 2013-IA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.51%

01/20/28

^1,2,3

19,207,502

18,930,914

Barings CLO Ltd.,

Series 2018-3A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

3.66%

07/20/29

^1,2,3

22,951,091

22,657,317

Barings CLO Ltd.,

Series 2020-4A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

3.93%

01/20/32

^1,2,3

19,110,000

18,677,350

Bayview Commercial Asset Trust,

Series 2004-2, Class A

(LIBOR USD 1-Month plus 0.65%)

3.73%

08/25/34

^1,2

136,671

136,002

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

3.64%

01/25/35

^1,2

796,460

792,767

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

3.53%

04/25/35

^1,2

1,571,848

1,486,614

BCRED MML CLO, LLC,

Series 2022-1A, Class A1

(CME Term SOFR 3-Month plus 1.65%)

2.24%

04/20/35

^1,2

48,400,000

47,317,776

BlueMountain CLO Ltd.,

Series 2014-2A, Class BR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

4.46%

10/20/30

^1,2,3

1,830,000

1,742,636

BlueMountain CLO XXXII Ltd.,

Series 2021-32A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.21%

10/15/34

^1,2,3

25,000,000

23,386,775

BlueMountain Fuji U.S. CLO I Ltd.,

Series 2017-1A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 0.98%)

3.69%

07/20/29

^1,2,3

27,995,000

27,390,280

Brazos Education Loan Authority, Inc.,

Series 2012-1, Class A1

(LIBOR USD 1-Month plus 0.70%)

3.78%

12/26/35

22,388

22,033

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%)

4.20%

02/25/35

12,174,170

12,115,251

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

3.78%

10/27/36

23,921,470

23,719,575

Carvana Auto Receivables Trust,

Series 2021-N1, Class R

0.00%

01/10/28

40,871

10,656,546

Carvana Auto Receivables Trust,

Series 2021-P4, Class R

0.00%

09/11/28

43,250

19,641,376

Catskill Park CLO Ltd.,

Series 2017-1A, Class A2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.41%

04/20/29

^1,2,3

6,000,000

5,778,600

Cedar Funding II CLO Ltd.,

Series 2013-1A, Class BRR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.35%)

4.06%

04/20/34

^1,2,3

4,950,000

4,526,132

Cedar Funding V CLO Ltd.,

Series 2016-5A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

4.49%

07/17/31

^1,2,3

7,000,000

6,712,090

Cedar Funding VIII CLO Ltd.,

Series 2017-8A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.39%

10/17/34

^1,2,3

9,350,000

8,681,475

CIFC Funding Ltd.,

Series 2017-4A, Class A2R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

4.33%

10/24/30

^1,2,3

3,475,000

3,332,525

CIFC Funding Ltd.,

Series 2020-2A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.31%

10/20/34

^1,2,3

9,000,000

8,378,910

CIFC Funding Ltd.,

Series 2021-6A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.16%

10/15/34

^1,2,3

20,000,000

18,706,400

CIFC Funding Ltd.,

Series 2022-1A, Class A

(Cayman Islands)

(CME Term SOFR 3-Month plus 1.32%)

3.80%

04/17/35

^1,2,3

35,000,000

33,665,450

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

CIT Education Loan Trust,

Series 2007-1, Class B

(LIBOR USD 3-Month plus 0.30%)

3.94%

06/25/42

^1,2

9,118,341

8,375,490

Clear Creek CLO,

Series 2015-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

3.91%

10/20/30

^1,2,3

27,190,000

26,598,917

College Loan Corp. Trust,

Series 2005-2, Class B

(LIBOR USD 3-Month plus 0.49%)

3.00%

01/15/37

1,776,986

1,549,567

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.82%)

3.73%

11/15/28

^1,2,3

16,304,788

16,074,075

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

4.16%

11/15/28

^1,2,3

1,500,000

1,434,660

Dryden 65 CLO Ltd.,

Series 2018-65A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.34%

07/18/30

^1,2,3

3,500,000

3,328,500

Dryden 83 CLO Ltd.,

Series 2020-83A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.22%)

3.96%

01/18/32

^1,2,3

29,220,000

28,463,699

Dryden 92 CLO Ltd.,

Series 2021-92A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.63%

11/20/34

^1,2,3

22,500,000

20,935,575

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

3.41%

04/15/29

^1,2,3

20,793,645

20,474,879

Eaton Vance CLO Ltd.,

Series 2013-1A, Class A13R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

3.76%

01/15/34

^1,2,3

23,850,000

23,048,640

Eaton Vance CLO Ltd.,

Series 2018-1A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

4.26%

10/15/30

^1,2,3

5,000,000

4,770,500

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Eaton Vance CLO Ltd.,

Series 2020-1A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.16%

10/15/34

^1,2,3

25,000,000

23,366,000

ECMC Group Student Loan Trust,

Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.35%)

4.43%

07/26/66

^1,2

32,629,100

32,281,029

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

3.88%

04/26/32

^1,2

7,539,235

7,446,494

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

4.13%

03/25/36

6,077,801

6,071,134

EFS Volunteer No. 2 LLC,

Series 2012-1, Class A2

(LIBOR USD 1-Month plus 1.35%)

4.43%

03/25/36

^1,2

7,809,282

7,764,536

Elmwood CLO XI Ltd.,

Series 2021-4A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.31%

10/20/34

^1,2,3

16,000,000

14,954,880

FirstKey Homes Trust,

Series 2021-SFR1, Class F1

3.24%

08/17/38

9,416,000

7,914,871

FirstKey Homes Trust,

Series 2021-SFR2, Class F1

2.91%

09/17/38

12,677,000

10,471,508

Flatiron CLO 21 Ltd.,

Series 2021-1A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.11%)

3.85%

07/19/34

^1,2,3

52,500,000

50,229,165

Global SC Finance II SRL,

Series 2014-1A, Class A2

(Barbados)

3.09%

07/17/29

^1,3

16,225,780

15,712,391

Goal Capital Funding Trust,

Series 2006-1, Class B

(LIBOR USD 3-Month plus 0.45%)

3.45%

08/25/42

1,631,325

1,492,443

Goal Structured Solutions Trust,

Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.65%)

3.73%

09/25/41

^1,2

13,608,304

13,253,096

GoldenTree Loan Management U.S. CLO 8 Ltd.,

Series 2020-8A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.86%

10/20/34

^1,2,3

36,180,000

34,841,340

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

GoldenTree Loan Opportunities IX Ltd.,

Series 2014-9A, Class AR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.11%)

3.92%

10/29/29

^1,2,3

4,557,327

4,506,331

Golub Capital Partners CLO 64B Ltd.,

Series 2022-64A, Class B

(United Kingdom)

(CME Term SOFR 3-Month plus 3.30%)

0.00%

10/25/35

^1,2,3

8,800,000

8,811,000

Greenwood Park CLO Ltd.,

Series 2018-1A, Class A2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.01%)

3.52%

04/15/31

^1,2,3

6,730,000

6,603,543

HPS Loan Management Ltd.

Series 15A-19, Class A1R

(United Kingdom)

(CME Term SOFR 3-Month plus 1.32%)

3.83%

01/22/35

^1,2,3

35,720,000

34,291,129

HPS Loan Management Ltd.,

Series 2021-16A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.48%

01/23/35

^1,2,3

19,250,000

17,998,365

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

548,643

497,682

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

36,012,538

32,074,621

LCM XVIII LP,

Series 19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

3.75%

07/15/27

^1,2,3

5,865,283

5,829,411

LCM XX LP,

Series 20A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.04%)

3.75%

10/20/27

^1,2,3

2,488,458

2,466,310

LCM XXI LP,

Series 21A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.88%)

3.59%

04/20/28

^1,2,3

10,196,767

10,106,526

Lehman Brothers Small Balance Commercial Mortgage

Trust,

Series 2007-1A, Class 2A3

5.62%

03/25/37

^1,4

408,058

403,409

Lucali CLO Ltd.,

Series 2020-1A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.21%)

3.72%

01/15/33

^1,2,3

11,550,000

11,218,330

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Madison Park Funding XLVIII Ltd.,

Series 2021-48A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

3.89%

04/19/33

^1,2,3

30,725,000

29,947,197

Madison Park Funding XXX Ltd.,

Series 2018-30A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 0.75%)

3.26%

04/15/29

^1,2,3

6,812,739

6,685,477

Madison Park Funding XXXVIII Ltd.,

Series 2021-38A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.12%)

3.86%

07/17/34

^1,2,3

20,500,000

19,623,031

Magnetite XXIII Ltd.,

Series 2019-23A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.43%

01/25/35

^1,2,3

20,000,000

18,638,200

Magnetite XXV Ltd.,

Series 2020-25A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

3.98%

01/25/32

^1,2,3

27,025,000

26,495,310

Navient Student Loan Trust,

Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.51%)

3.59%

06/25/31

606,353

589,177

Navient Student Loan Trust,

Series 2014-2, Class A

(LIBOR USD 1-Month plus 0.64%)

3.72%

03/25/83

29,947,442

28,950,113

Navient Student Loan Trust,

Series 2014-3, Class A

(LIBOR USD 1-Month plus 0.62%)

3.70%

03/25/83

53,226,498

51,392,297

Navient Student Loan Trust,

Series 2014-4, Class A

(LIBOR USD 1-Month plus 0.62%)

3.70%

03/25/83

79,195,801

76,460,149

Navient Student Loan Trust,

Series 2014-6, Class A

(LIBOR USD 1-Month plus 0.61%)

3.69%

03/25/83

32,557,429

31,582,047

Navient Student Loan Trust,

Series 2014-7, Class A

(LIBOR USD 1-Month plus 0.61%)

3.69%

03/25/83

67,557,845

65,530,797

Navient Student Loan Trust,

Series 2015-1, Class A2

(LIBOR USD 1-Month plus 0.60%)

3.68%

04/25/40

51,787,887

50,343,942

Navient Student Loan Trust,

Series 2015-2, Class A3

(LIBOR USD 1-Month plus 0.57%)

3.65%

11/26/40

101,757,141

98,428,087

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Navient Student Loan Trust,

Series 2016-7A, Class A

(LIBOR USD 1-Month plus 1.15%)

4.23%

03/25/66

^1,2

53,591,801

53,096,243

Nelnet Student Loan Trust,

Series 2006-1, Class A6

(LIBOR USD 3-Month plus 0.45%)

3.41%

08/23/36

^1,2

8,995,612

8,799,555

Nelnet Student Loan Trust,

Series 2012-5A, Class A

(LIBOR USD 1-Month plus 0.60%)

3.68%

10/27/36

^1,2

7,556,888

7,463,256

Nelnet Student Loan Trust,

Series 2014-4A, Class A2

(LIBOR USD 1-Month plus 0.95%)

4.03%

11/25/48

^1,2

11,630,000

11,429,310

Nelnet Student Loan Trust,

Series 2014-5A, Class A

(LIBOR USD 1-Month plus 0.55%)

3.63%

07/25/46

^1,2

43,064,841

42,500,976

Nelnet Student Loan Trust,

Series 2015-1A, Class A

(LIBOR USD 1-Month plus 0.59%)

3.67%

04/25/46

^1,2

81,228,228

79,952,388

Nelnet Student Loan Trust,

Series 2015-3A, Class A3

(LIBOR USD 1-Month plus 0.90%)

3.98%

06/25/54

^1,2

8,890,000

8,637,603

Neuberger Berman CLO XVI-S Ltd.,

Series 2017-16SA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.04%)

3.55%

04/15/34

^1,2,3

8,295,000

7,935,827

Neuberger Berman Loan Advisers CLO 33 Ltd.,

Series 2019-33A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.34%

10/16/33

^1,2,3

23,000,000

21,748,800

Neuberger Berman Loan Advisers CLO 36 Ltd.,

Series 2020-36A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

3.96%

04/20/33

^1,2,3

25,455,000

24,680,532

Neuberger Berman Loan Advisers CLO 47 Ltd.,

Series 2022-47A, Class A

(Cayman Islands)

(CME Term SOFR 3-Month plus 1.30%)

3.60%

04/14/35

^1,2,3

31,785,000

30,493,957

North Carolina State Education Authority,

Series A3, Class A3

(LIBOR USD 3-Month plus 0.90%)

3.68%

10/25/41

11,950,262

11,896,405

NYACK Park CLO Ltd.,

Series 2021-1A, Class B1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.31%

10/20/34

^1,2,3

20,000,000

18,616,000

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

OCP CLO Ltd.,

Series 2020-19A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.41%

10/20/34

^1,2,3

15,500,000

14,525,050

Octagon 66 Ltd.,

Series 2022-1A, Class A

(Cayman Islands)

(CME Term SOFR 3-Month plus 1.94%)

4.59%

08/16/33

^1,2,3

45,000,000

44,260,200

Octagon Investment Partners 20-R Ltd.,

Series 2019-4A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.62%

05/12/31

^1,2,3

17,500,000

16,549,750

Octagon Investment Partners 44 Ltd.,

Series 2019-1A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.21%

10/15/34

^1,2,3

18,800,000

17,401,280

Octagon Investment Partners 46 Ltd.,

Series 2020-2A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.16%

07/15/36

^1,2,3

7,250,000

6,753,302

Octagon Investment Partners XXI Ltd.,

Series 2014-1A, Class A2R3

(Cayman Islands)

(LIBOR USD 3-Month plus 1.40%)

4.31%

02/14/31

^1,2,3

1,470,000

1,374,876

OHA Credit Funding 3 Ltd.,

Series 2019-3A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

3.85%

07/02/35

^1,2,3

33,250,000

31,921,330

OHA Credit Funding 7 Ltd.,

Series 2020-7A, Class AR

(Cayman Islands)

(CME Term SOFR 3-Month plus 1.30%)

3.85%

02/24/37

^1,2,3

18,710,000

17,983,117

Palmer Square CLO Ltd.,

Series 2020-3A, Class A1AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.99%

11/15/31

^1,2,3

18,400,000

17,967,600

Palmer Square CLO Ltd.,

Series 2021-4A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.16%

10/15/34

^1,2,3

19,500,000

18,217,485

Park Avenue Institutional Advisers CLO Ltd.,

Series 2021-1A, Class A1A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.39%)

4.10%

01/20/34

^1,2,3

61,000,000

58,708,291

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

PHEAA Student Loan Trust,

Series 2015-1A, Class A

(LIBOR USD 1-Month plus 0.60%)

3.68%

10/25/41

^1,2

84,057,289

82,388,126

Progress Residential Trust,

Series 2021-SFR2, Class H

5.00%

04/19/38

21,439,000

18,459,393

Progress Residential Trust,

Series 2021-SFR6, Class F

3.42%

07/17/38

9,198,000

7,926,165

Progress Residential Trust,

Series 2021-SFR6, Class G

4.00%

07/17/38

8,896,000

7,584,884

Progress Residential Trust,

Series 2021-SFR7, Class F

3.83%

08/17/40

23,777,000

19,460,785

Progress Residential Trust,

Series 2021-SFR8, Class E1

2.38%

10/17/38

10,400,000

8,689,458

Progress Residential Trust,

Series 2021-SFR8, Class E2

2.53%

10/17/38

11,375,000

9,426,187

Progress Residential Trust,

Series 2021-SFR8, Class G

4.01%

10/17/38

18,182,000

15,121,540

Progress Residential,

Series 2021-SFR3, Class E1

2.54%

05/17/26

3,055,000

2,604,938

Recette CLO Ltd.,

Series 2015-1A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.79%

04/20/34

^1,2,3

42,580,000

40,717,125

Regatta XIV Funding Ltd.,

Series 2018-3A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.85%)

4.63%

10/25/31

^1,2,3

1,900,000

1,787,503

Regatta XX Funding Ltd.,

Series 2021-2A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.21%

10/15/34

^1,2,3

17,000,000

15,628,933

Rockford Tower CLO Ltd.,

Series 2017-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.02%)

3.53%

10/15/29

^1,2,3

26,153,330

25,611,067

Rockford Tower CLO Ltd.,

Series 2017-3A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

3.90%

10/20/30

^1,2,3

4,610,000

4,521,138

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Rockford Tower CLO Ltd.,

Series 2019-2A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.63%

08/20/32

^1,2,3

20,000,000

18,841,800

Rockford Tower CLO Ltd.,

Series 2020-1A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.28%)

3.99%

01/20/32

^1,2,3

23,840,000

23,292,848

Scholar Funding Trust,

Series 2012-B, Class A2

(LIBOR USD 1-Month plus 1.10%)

4.21%

03/28/46

^1,2

17,342,587

17,049,440

Sixth Street CLO XVII Ltd.,

Series 2021-17A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

3.95%

01/20/34

^1,2,3

40,930,000

39,616,147

Sixth Street CLO XX Ltd.,

Series 2021-20A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.36%

10/20/34

^1,2,3

25,000,000

23,353,000

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

05/10/37

^4,5,6

29,361,361

25,854,053

SLC Student Loan Trust,

Series 2004-1, Class B

(LIBOR USD 3-Month plus 0.29%)

3.20%

08/15/31

214,853

197,539

SLC Student Loan Trust,

Series 2008-1, Class A4A

(LIBOR USD 3-Month plus 1.60%)

4.89%

12/15/32

8,798,248

8,797,429

SLM Student Loan Trust,

Series 2003-12, Class B

(LIBOR USD 3-Month plus 0.59%)

3.88%

12/15/68

41,802

40,468

SLM Student Loan Trust,

Series 2003-4, Class A5E

(LIBOR USD 3-Month plus 0.75%)

4.04%

03/15/33

^1,2

3,658,783

3,589,500

SLM Student Loan Trust,

Series 2005-9, Class A7A

(LIBOR USD 3-Month plus 0.60%)

3.38%

01/25/41

47,828,648

46,579,076

SLM Student Loan Trust,

Series 2006-2, Class A6

(LIBOR USD 3-Month plus 0.17%)

2.95%

01/25/41

26,678,241

25,753,049

SLM Student Loan Trust,

Series 2006-8, Class A6

(LIBOR USD 3-Month plus 0.16%)

2.94%

01/25/41

28,696,772

27,426,863

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust,

Series 2007-1, Class A6

(LIBOR USD 3-Month plus 0.14%)

2.92%

01/27/42

28,098,507

26,716,029

SLM Student Loan Trust,

Series 2007-1, Class B

(LIBOR USD 3-Month plus 0.22%)

3.00%

01/27/42

3,284,441

3,090,814

SLM Student Loan Trust,

Series 2007-6, Class B

(LIBOR USD 3-Month plus 0.85%)

3.63%

04/27/43

4,105,136

3,965,813

SLM Student Loan Trust,

Series 2007-7, Class A4

(LIBOR USD 3-Month plus 0.33%)

3.11%

01/25/22

227,844

220,402

SLM Student Loan Trust,

Series 2008-2, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

01/25/83

38,874,000

32,678,775

SLM Student Loan Trust,

Series 2008-3, Class A3

(LIBOR USD 3-Month plus 1.00%)

3.78%

10/25/21

14,464

14,112

SLM Student Loan Trust,

Series 2008-3, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

04/26/83

2,260,000

2,067,655

SLM Student Loan Trust,

Series 2008-4, Class A4

(LIBOR USD 3-Month plus 1.65%)

4.43%

07/25/22

1,667,839

1,668,148

SLM Student Loan Trust,

Series 2008-4, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

04/25/73

8,849,000

8,543,388

SLM Student Loan Trust,

Series 2008-5, Class A4

(LIBOR USD 3-Month plus 1.70%)

4.48%

07/25/23

24,189,819

24,030,476

SLM Student Loan Trust,

Series 2008-5, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/25/73

37,199,000

36,343,895

SLM Student Loan Trust,

Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

3.88%

07/25/23

10,699,913

10,503,086

SLM Student Loan Trust,

Series 2008-6, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

31,424,000

29,490,846

SLM Student Loan Trust,

Series 2008-7, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

17,206,000

15,201,012

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust,

Series 2008-8, Class A4

(LIBOR USD 3-Month plus 1.50%)

4.28%

04/25/23

2,203,117

2,200,701

SLM Student Loan Trust,

Series 2008-8, Class B

(LIBOR USD 3-Month plus 2.25%)

5.03%

10/25/75

625,000

602,160

SLM Student Loan Trust,

Series 2008-9, Class A

(LIBOR USD 3-Month plus 1.50%)

4.28%

04/25/23

49,557,997

49,106,186

SLM Student Loan Trust,

Series 2008-9, Class B

(LIBOR USD 3-Month plus 2.25%)

5.03%

10/25/83

45,100,000

44,958,599

SLM Student Loan Trust,

Series 2009-3, Class A

(LIBOR USD 1-Month plus 0.75%)

3.83%

01/25/45

^1,2

123,952,106

120,478,854

SLM Student Loan Trust,

Series 2011-1, Class A2

(LIBOR USD 1-Month plus 1.15%)

4.23%

10/25/34

1,920,956

1,915,478

SLM Student Loan Trust,

Series 2012-1, Class A3

(LIBOR USD 1-Month plus 0.95%)

4.03%

09/25/28

522,777

507,556

SLM Student Loan Trust,

Series 2012-2, Class A

(LIBOR USD 1-Month plus 0.70%)

3.78%

01/25/29

11,177,474

10,756,413

SLM Student Loan Trust,

Series 2012-3, Class A

(LIBOR USD 1-Month plus 0.65%)

3.73%

12/27/38

12,929,600

12,514,723

SLM Student Loan Trust,

Series 2012-7, Class A3

(LIBOR USD 1-Month plus 0.65%)

3.73%

05/26/26

19,330,571

18,579,619

Student Loan Consolidation Center Student Loan Trust I,

Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^1,2

17,450,000

16,106,210

Symphony CLO XXIX Ltd.,

Series 2021-29A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

4.16%

01/15/34

^1,2,3

14,500,000

13,717,290

Trestles CLO IV Ltd.,

Series 2021-4A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

3.90%

07/21/34

^1,2,3

50,000,000

48,005,000

U.S. Small Business Administration,

Series 2022-25F, Class 1

4.01%

06/01/47

70,500,000

67,799,610

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

United Auto Credit Securitization Trust,

Series 2022-2, Class R1

0.00%

04/10/29

^†,1

33,600

6,206,590

Voya CLO Ltd.,

Series 2019-4A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

4.26%

01/15/35

^1,2,3

17,500,000

16,370,025

Voya CLO Ltd.,

Series 2020-2A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.44%

07/19/34

^1,2,3

11,825,000

11,102,019

Total Asset-Backed Securities

(Cost $3,390,242,772)

3,297,311,304

BANK LOANS — 1.81%*

Automotive — 0.03%

Clarios Global LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

04/30/26

18,429,354

17,488,720

Communications — 0.29%

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.37%

03/15/27

61,341,724

55,960,214

CSC Holdings LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

5.32%

04/15/27

7,415,871

6,957,051

Term Loan, 1st Lien

(LIBOR plus 2.25%)

5.07%

07/17/25

9,326,289

8,924,139

Diamond Sports Group, LLC,

Term Loan, 2nd Lien

(SOFR plus 3.35%)

5.95%

08/24/26

66,198,922

13,215,953

EW Scripps Co.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.12%

10/02/24

3,948,287

3,907,323

Frontier Communications Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.44%

05/01/28

16,523,375

15,439,029

Intelsat Jackson Holdings SA,

Term Loan, 1st Lien (Luxembourg)

(SOFR plus 4.50%)

7.44%

02/01/29

^2,3

11,545,890

10,864,683

SBA Senior Finance II LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

04/11/25

32,338,028

31,529,577

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Communications (continued)

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.12%

03/09/27

43,781,678

36,798,719

(SOFR plus 4.25%)

7.28%

03/09/27

4,223,621

3,691,972

187,288,660

Consumer Discretionary — 0.08%

AI Aqua Merger Sub, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

07/31/28

^2,7

1,100,000

1,026,097

Naked Juice, LLC,

Term Loan, 1st Lien (Luxembourg)

(SOFR plus 3.35%)

6.15%

01/24/29

44,741,766

41,212,088

Sunshine Luxembourg VII SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

10/01/26

7,607,856

7,098,586

49,336,771

Electric — 0.09%

CommScope, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 3.25%)

6.37%

04/06/26

43,809,295

40,578,360

Homer City Generation LP,

Term Loan, 1st Lien

(LIBOR plus 11.00%)

15.00%

04/05/23

^2,5,6

6,274,498

3,764,698

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.74% -4.87%

12/31/25

12,323,831

11,931,009

56,274,067

Entertainment — 0.01%

Cineworld Finance U.S., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.00%

02/28/25

6,702,692

2,889,631

Crown Finance U.S., Inc.,

Term Loan, 1st Lien

(SOFR plus 9.00%)

13.27%

09/07/23

^2,8

3,037,205

3,102,596

5,992,227

Finance — 0.15%

Auris Lux III SA,

Term Loan B2, 1st Lien (Luxembourg)

(LIBOR plus 3.75%)

5.58%

02/27/26

^2,3

1,451,135

1,276,999

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Finance (continued)

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

5.26%

12/01/27

8,846,044

8,638,162

Deerfield Dakota Holding LLC,

Term Loan B, 1st Lien

(SOFR plus 3.75%)

6.78%

04/09/27

8,456,866

7,998,800

Mozart Borrower, LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

10/23/28

40,292,525

37,125,734

Setanta Aircraft Leasing DAC,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.67%

11/05/28

16,790,000

16,433,212

Telenet Financing USD LLC,

Term Loan AR, 1st Lien

(LIBOR plus 2.00%)

4.82%

04/28/28

28,600,000

27,205,750

98,678,657

Food — 0.04%

Hostess Brands LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.06% - 5.37%

08/03/25

25,173,811

24,406,765

Gaming — 0.04%

Caesars Resort Collection LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.87%

12/23/24

1,548,605

1,515,535

Churchill Downs, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 2.00%)

5.12%

03/17/28

12,805,000

12,431,542

Golden Nugget, LLC,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

01/26/29

3,646,229

3,392,889

J&J Ventures Gaming LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

7.67%

04/26/28

1,493,146

1,422,229

Penn National Gaming, Inc.,

Term Loan B, 1st Lien

(SOFR plus 2.85%)

5.88%

05/03/29

5,460,002

5,262,077

Scientific Games International, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.00%)

5.91%

04/13/29

5,327,085

5,188,581

29,212,853

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Health Care — 0.27%

Avantor Funding, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

5.06%

11/08/27

27,804,493

27,139,827

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.76%

01/15/25

6,520,459

6,381,214

Bausch & Lomb Corp.,

Term Loan B, 1st Lien

(SOFR plus 3.35%)

6.10%

05/10/27

3,537,213

3,297,355

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(PRIME plus 1.50%)

6.39%

03/01/24

3,029,687

3,024,218

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.12%

11/15/27

51,568,884

49,065,730

Horizon Therapeutics USA, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 2.00%)

5.13%

05/22/26

628,170

606,577

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

4.88%

03/15/28

36,835,717

35,465,981

ICON Luxembourg SARL,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.94%

07/03/28

4,238

4,152

Jazz Financing Lux SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

05/05/28

39,967,018

38,707,258

Organon & Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.19%

06/02/28

3,512,247

3,442,002

Peraton Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

02/01/28

3,876,672

3,684,292

Perrigo Investments LLC,

Term Loan B, 1st Lien

(SOFR plus 2.60%)

5.37%

04/20/29

748,125

738,773

PetVet Care Centers LLC,

Term Loan B3, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/14/25

3,346,550

3,108,108

174,665,487

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Industrials — 0.28%

AZZ, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.40%)

7.00%

05/11/29

2,521,225

2,461,346

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

4.18%

07/01/26

70,992,199

68,900,414

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

8.12%

08/02/27

44,326,100

41,403,458

II-VI, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.31%

07/02/29

3,894,190

3,780,616

Ingram Micro, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

06/30/28

5,507,876

5,377,064

Michaels Cos., Inc. (The),

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.92%

04/15/28

27,887,000

22,588,470

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

5.92%

05/30/25

19,638,330

18,895,804

Term Loan F, 1st Lien

(LIBOR plus 2.25%)

5.92%

12/09/25

8,301,957

7,974,279

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

08/12/24

10,138,389

8,934,455

180,315,906

Information Technology — 0.19%

AthenaHealth Group, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.50%)

6.58%

02/15/29

^2,9

6,853,563

6,157,927

Central Parent, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.50%)

6.61%

07/06/29

10,596,423

10,232,807

Entegris, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.00%)

5.60% - 6.03%

07/06/29

8,930,000

8,880,394

Gainwell Acquisition Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.96%

10/01/27

18,037,311

17,234,650

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Mitnick Corporate Purchaser, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.85%)

7.39%

05/02/29

3,150,000

2,980,687

NortonLifeLock, Inc.,

Term Loan B, 1st Lien

(SOFR plus 2.10%)

4.85%

09/12/29

53,430,000

51,479,805

Prime Security Services Borrower LLC,

Term Loan B1, 1st Lien

(LIBOR plus 2.75%)

5.30%

09/23/26

4,009,036

3,892,213

Proofpoint, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.32%

08/31/28

1,988,504

1,872,227

RealPage, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.82%

04/24/28

3,137,078

2,947,112

Sophia LP,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

10/07/27

1,844,432

1,777,572

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.14%

03/04/28

3,208,507

2,827,497

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.87%

04/16/25

6,797,785

6,596,876

Term Loan B4, 1st Lien

(LIBOR plus 1.75%)

4.87%

04/16/25

5,518,411

5,355,315

122,235,082

Insurance — 0.04%

Acrisure LLC,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/15/27

26,099,237

23,935,088

Asurion LLC,

Term Loan B8, 1st Lien

(LIBOR plus 3.25%)

6.07%

12/23/26

1,266,134

1,077,011

HUB International Ltd.,

Term Loan B3, 1st Lien

(LIBOR plus 3.25%)

5.98%

04/25/25

572,761

552,823

25,564,922

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Retail — 0.13%

AmWINS Group, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.07%

02/19/28

50,410,379

48,345,318

BC ULC,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 1.75%)

4.87%

11/19/26

^2,3

23,369,845

22,403,735

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

03/01/27

13,439,173

12,797,654

83,546,707

Services — 0.15%

Amentum Government Services Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67% - 8.17%

01/29/27

4,374,477

4,192,214

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.31%

08/01/27

72,994,154

69,565,253

Element Materials Technology Group U.S. Holdings, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.25%)

7.28%

06/22/29

^2,10

4,512,129

4,258,322

PowerTeam Services LLC,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.21%

03/06/25

2,489,580

2,048,925

Pre-Paid Legal Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.82%

12/15/28

7,020,771

6,685,108

Safe Fleet Holdings, LLC,

Term Loan, 1st Lien

(SOFR plus 3.85%)

6.93%

02/23/29

2,875,114

2,716,982

Trans Union LLC,

Term Loan B6, 1st Lien

(LIBOR plus 2.25%)

5.37%

12/01/28

3,065,500

2,975,466

TruGreen LP,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

11/02/27

4,118,197

3,905,430

96,347,700

Transportation — 0.02%

American Airlines, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

01/29/27

5,601,839

5,165,707



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Transportation (continued)
United Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.53%		04/21/28	²	$	4,974,747	$	4,769,191

							9,934,898


Total Bank Loans
(Cost $1,252,727,212)							1,161,289,422


CORPORATES — 30.15%*

Banking — 7.46%
ABN AMRO Bank NV
(Netherlands)
2.47%		12/13/29	^1,3,4		7,000,000		5,555,356
Bank of America Corp.
0.98%		04/22/25	⁴		2,330,000		2,166,490
1.73%		07/22/27	⁴		250,485,000		214,996,012
2.30%		07/21/32	⁴		21,888,000		16,415,949
2.57%		10/20/32	⁴		43,676,000		33,455,514
2.59%		04/29/31	⁴		59,217,000		46,991,014
2.69%		04/22/32	⁴		67,050,000		52,293,214
2.97%		02/04/33	⁴		11,780,000		9,236,102
3.00%		12/20/23	⁴		13,385,000		13,315,566
3.37%		01/23/26	⁴		9,720,000		9,206,704
3.55%		03/05/24	⁴		6,000,000		5,955,461
Bank of America Corp.
(MTN)
0.98%		09/25/25	⁴		1,500,000		1,366,547
1.90%		07/23/31	⁴		31,000,000		23,123,567
1.92%		10/24/31	⁴		17,707,000		13,114,333
2.02%		02/13/26	⁴		14,932,000		13,714,200
2.09%		06/14/29	⁴		280,019,000		227,824,772
2.46%		10/22/25	⁴		4,967,000		4,652,667
2.50%		02/13/31	⁴		26,310,000		20,789,781
3.38%		04/02/26	⁴		585,000		553,584
(LIBOR USD 3-Month plus 0.65%)
3.73%		12/01/26	²		50,000,000		46,360,302
Bank of America Corp.,
Series N
1.66%		03/11/27	⁴		335,235,000		291,018,526
2.65%		03/11/32	⁴		15,555,000		12,132,258
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		147,785,000		119,962,083
2.19%		06/05/26	^1,3,4		35,983,000		31,488,766
2.59%		09/11/25	^1,3,4		12,563,000		11,440,219
3.09%		05/14/32	^1,3,4		140,427,000		98,816,347
3.87%		01/12/29	^1,3,4		13,893,000		11,367,497
4.19%		04/01/31	^1,3,4		4,500,000		3,564,225
4.28%		01/09/28	^1,3		6,037,000		5,155,851
6.44%		08/11/28	^1,3,4		20,315,000		18,939,201
6.54%		08/12/33	^1,3,4		147,510,000		132,852,986
Credit Suisse Group AG
(EMTN)
(Switzerland)
0.63%		01/18/33	³		42,735,000		25,157,441



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
Discover Bank
(BKNT)
4.20%		08/08/23		$	15,255,000	$	15,141,958
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,4		122,145,000		111,547,431
1.13%		09/16/26	^1,3,4		7,581,000		6,628,065
1.61%		03/30/28	^1,3,4		5,940,000		4,952,910
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	^3,4		22,349,000		18,703,126
1.75%		07/24/27	^3,4		34,075,000		30,727,480
2.01%		09/22/28	^3,4		199,727,000		160,758,161
2.21%		08/17/29	^3,4		189,875,000		147,762,216
2.63%		11/07/25	^3,4		39,525,000		36,680,179
2.80%		05/24/32	^3,4		11,540,000		8,495,752
3.80%		03/11/25	^3,4		8,775,000		8,486,579
4.76%		06/09/28	^3,4		25,376,000		23,309,550
5.21%		08/11/28	^3,4		980,000		918,321
5.40%		08/11/33	^3,4		36,475,000		32,316,139
HSBC Holdings PLC
(EMTN)
(United Kingdom)
6.00%		03/29/40	³		2,000,000		1,831,796
ING Groep NV
(Netherlands)
4.02%		03/28/28	^3,4		31,185,000		28,369,611
JPMorgan Chase & Co.
0.77%		08/09/25	⁴		58,440,000		53,658,840
0.97%		06/23/25	⁴		141,630,000		131,150,265
1.47%		09/22/27	⁴		33,219,000		28,133,608
1.58%		04/22/27	⁴		120,391,000		104,239,365
2.01%		03/13/26	⁴		52,245,000		47,845,439
2.08%		04/22/26	⁴		25,485,000		23,225,178
2.52%		04/22/31	⁴		5,000,000		3,958,987
2.58%		04/22/32	⁴		48,404,000		37,532,943
3.22%		03/01/25	⁴		34,600,000		33,503,493
3.70%		05/06/30	⁴		15,445,000		13,500,145
4.02%		12/05/24	⁴		166,610,000		164,027,695
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	^3,4		21,375,000		18,200,548
2.91%		11/07/23	^3,4		203,065,000		202,579,228
3.75%		03/18/28	^3,4		21,130,000		19,041,347
3.87%		07/09/25	^3,4		27,225,000		26,264,952
3.90%		03/12/24	³		27,591,000		27,021,382
4.05%		08/16/23	³		10,510,000		10,397,699
4.98%		08/11/33	^3,4		56,800,000		49,810,783
Macquarie Group Ltd.
(Australia)
1.20%		10/14/25	^1,3,4		70,515,000		64,239,602
1.34%		01/12/27	^1,3,4		25,515,000		21,864,062
1.63%		09/23/27	^1,3,4		35,840,000		30,132,087
2.69%		06/23/32	^1,3,4		2,100,000		1,597,478
2.87%		01/14/33	^1,3,4		122,595,000		92,318,484
3.19%		11/28/23	^1,3,4		9,292,000		9,266,610



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
4.15%		03/27/24	^1,3,4	$	9,600,000	$	9,554,070
4.44%		06/21/33	^1,3,4		26,655,000		22,890,077
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,4		114,332,000		111,173,555
4.52%		06/25/24	^3,4		21,305,000		21,058,855
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	^3,4		176,904,000		163,509,834
1.53%		08/21/26	^3,4		43,234,000		37,524,730
1.67%		06/14/27	^3,4		33,865,000		28,113,825
2.47%		01/11/28	^3,4		20,450,000		17,047,957
2.90%		03/15/32	^3,4		5,941,000		4,430,083
3.37%		01/05/24	^3,4		28,945,000		28,766,949
3.82%		11/03/28	^3,4		2,956,000		2,580,265
4.80%		11/15/24	^3,4		114,250,000		112,712,635
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	^1,3		27,746,000		27,528,749
UBS AG
(Switzerland)
(SOFR Rate plus 0.45%)
3.07%		08/09/24	^1,2,3		53,430,000		53,080,150
Wells Fargo & Co.
2.19%		04/30/26	⁴		53,175,000		48,609,790
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	⁴		50,558,000		46,580,513
2.39%		06/02/28	⁴		150,966,000		129,652,364
2.88%		10/30/30	⁴		168,638,000		138,903,933
3.35%		03/02/33	⁴		298,170,000		242,475,017
3.53%		03/24/28	⁴		112,849,000		102,488,676
4.90%		07/25/33	⁴		74,735,000		68,747,837
5.01%		04/04/51	⁴		6,515,000		5,641,023

							4,796,192,916


Communications — 3.91%
AT&T, Inc.
3.80%		12/01/57			178,058,000		119,204,739
4.30%		12/15/42			30,960,000		24,465,519
4.50%		05/15/35			52,155,000		45,442,847
4.75%		05/15/46			146,527,000		123,253,855
4.85%		03/01/39			4,620,000		4,011,276
5.25%		03/01/37			141,704,000		131,285,814
C&W Senior Financing DAC
(Ireland)
6.88%		09/15/27	^1,3		2,200,000		1,804,000
Cable One, Inc.
4.00%		11/15/30	¹		14,158,000		11,043,240
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.50%		05/01/32			8,000,000		6,103,211
4.50%		06/01/33	¹		17,441,000		12,957,407
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%		02/01/32			10,000,000		7,144,337
2.80%		04/01/31			3,100,000		2,356,363



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
4.80%		03/01/50		$	98,214,000	$	71,750,238
5.38%		04/01/38			2,030,000		1,649,885
5.38%		05/01/47			116,802,000		90,176,950
5.75%		04/01/48			22,533,000		18,227,394
Charter Communications Operating, LLC/Charter
Communications Operating Capital
4.40%		04/01/33			11,490,000		9,504,525
5.13%		07/01/49			14,837,000		11,151,193
5.25%		04/01/53			56,719,000		43,579,157
CommScope, Inc.
4.75%		09/01/29	¹		33,115,000		27,176,156
Cox Communications, Inc.
2.60%		06/15/31	¹		9,790,000		7,614,856
CSC Holdings LLC
4.50%		11/15/31	¹		6,428,000		4,837,863
4.63%		12/01/30	¹		3,684,000		2,514,330
5.38%		02/01/28	¹		12,250,000		10,715,198
6.50%		02/01/29	¹		4,028,000		3,563,833
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		117,716,000		23,578,515
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%		10/07/30	³		46,817,000		38,055,136
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	^1,3		143,780,000		122,383,112
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
5.50%		08/01/23	^{†,3,5,6,11,12}		54,920,000		—
8.50%		10/15/24	^{†,1,3,5,6,11,12}		149,759,000		—
9.75%		07/15/25	^{†,1,3,5,6,11,12}		45,708,000		—
Level 3 Financing, Inc.
3.40%		03/01/27	¹		64,415,000		53,967,688
3.63%		01/15/29	¹		7,205,000		5,345,865
3.75%		07/15/29	¹		26,801,000		19,693,509
3.88%		11/15/29	¹		118,191,000		93,353,309
4.25%		07/01/28	¹		20,145,000		15,759,030
Lumen Technologies, Inc.
4.00%		02/15/27	¹		6,914,000		5,880,816
4.50%		01/15/29	¹		25,026,000		17,705,895
5.38%		06/15/29	¹		5,600,000		4,174,681
Netflix, Inc.
3.63%		05/15/27			5,000,000		4,632,523
4.63%		05/15/29			57,815,000		53,092,008
Netflix, Inc.,
Series REGS
3.63%		06/15/30			3,000,000		2,524,819
Paramount Global
3.45%		10/04/26			2,913,000		2,686,416
4.20%		05/19/32			23,481,000		19,062,838
Qwest Corp.
7.25%		09/15/25			4,044,000		4,145,100
SES GLOBAL Americas Holdings, Inc.
5.30%		03/25/44	¹		55,170,000		42,412,250



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
SES SA
(Luxembourg)
3.60%		04/04/23	^1,3	$	16,882,000	$	16,682,928
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		116,916,250		115,303,830
5.15%		03/20/28	¹		310,120,000		303,726,234
Tencent Holdings Ltd.
(Cayman Islands)
2.88%		04/22/31	^1,3		5,535,000		4,479,263
3.68%		04/22/41	^1,3		22,760,000		16,389,140
3.84%		04/22/51	^1,3		68,301,000		46,230,118
3.98%		04/11/29	^1,3		9,225,000		8,303,146
Time Warner Cable LLC
4.50%		09/15/42			18,977,000		13,143,094
5.50%		09/01/41			32,811,000		25,829,073
T-Mobile USA, Inc.
2.25%		02/15/26			53,869,000		48,282,419
2.55%		02/15/31			10,083,000		7,997,603
2.63%		04/15/26			102,831,000		93,091,110
2.63%		02/15/29			5,073,000		4,192,252
3.50%		04/15/31			10,613,000		8,961,229
3.75%		04/15/27			31,847,000		29,451,801
3.88%		04/15/30			296,582,000		263,254,212
4.38%		04/15/40			3,715,000		3,034,407
Verizon Communications, Inc.
2.55%		03/21/31			2,150,000		1,717,381
4.50%		08/10/33			7,316,000		6,604,673
Vodafone Group PLC
(United Kingdom)
4.25%		09/17/50	³		5,000,000		3,598,952
4.88%		06/19/49	³		133,422,500		105,249,408
5.25%		05/30/48	³		78,950,500		65,602,607
Zayo Group Holdings, Inc.
4.00%		03/01/27	¹		317,000		255,141

							2,511,367,717


Consumer Discretionary — 1.52%
Altria Group, Inc.
3.70%		02/04/51			995,000		598,218
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.70%		02/01/36			45,442,000		41,009,669
4.90%		02/01/46			20,994,000		18,294,874
Anheuser-Busch InBev Worldwide, Inc.
4.35%		06/01/40			21,155,000		17,977,640
4.60%		04/15/48			85,410,000		70,983,395
4.60%		06/01/60			14,767,000		11,795,072
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		24,780,000		23,782,697
5.15%		05/15/38	^1,3		12,881,000		11,122,424
5.30%		05/15/48	^1,3		18,831,000		16,067,807
BAT Capital Corp.
2.73%		03/25/31			6,395,000		4,734,331
3.56%		08/15/27			3,000		2,636



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
3.73%		09/25/40		$	3,182,000	$	2,044,730
4.39%		08/15/37			73,160,000		52,301,173
4.54%		08/15/47			133,420,000		88,694,747
4.76%		09/06/49			30,502,000		20,860,307
5.28%		04/02/50			5,356,000		3,959,543
BAT International Finance PLC
(EMTN)
(United Kingdom)
2.25%		09/09/52	³		94,605,000		42,812,223
Constellation Brands, Inc.
4.35%		05/09/27			14,505,000		13,941,783
4.65%		11/15/28			7,350,000		6,964,791
4.75%		05/09/32			38,155,000		35,766,350
GSK Consumer Healthcare Capital U.S., LLC
3.38%		03/24/27	¹		6,710,000		6,092,806
GSK Consumer Healthcare Capital UK PLC
(United Kingdom)
3.13%		03/24/25	^1,3		1,370,000		1,296,769
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/24	^1,3		15,312,000		14,637,033
3.50%		02/11/23	^1,3		4,800,000		4,777,988
3.50%		07/26/26	^1,3		53,505,000		48,510,641
3.88%		07/26/29	^1,3		4,545,000		3,877,914
4.25%		07/21/25	^1,3		15,566,000		14,960,764
6.13%		07/27/27	^1,3		15,580,000		15,360,749
Imperial Brands Finance PLC
(EMTN)
(United Kingdom)
8.13%		03/15/24	³		1,758,000		1,989,111
Reynolds American, Inc.
5.70%		08/15/35			34,320,000		29,137,050
5.85%		08/15/45			68,022,000		53,734,743
Spectrum Brands, Inc.
3.88%		03/15/31	¹		5,854,000		3,998,417
5.50%		07/15/30	¹		1,570,000		1,244,225
WarnerMedia Holdings, Inc.
3.43%		03/15/24	¹		3,000,000		2,902,275
5.05%		03/15/42	¹		16,935,000		12,694,573
5.14%		03/15/52	¹		330,865,000		240,844,717
5.39%		03/15/62	¹		52,245,000		37,943,346

							977,717,531


Consumer Products — 0.02%
Newell Brands, Inc.
6.38%		09/15/27			6,500,000		6,451,271
Spectrum Brands, Inc.
5.00%		10/01/29	¹		5,000,000		4,056,250

							10,507,521


Electric — 1.14%
AEP Transmission Co. LLC,
Series M
3.65%		04/01/50			1,460,000		1,077,651
Alliant Energy Finance LLC
3.75%		06/15/23	¹		31,081,000		30,697,959



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
Alliant Energy Finance, LLC
3.60%		03/01/32	¹	$	4,515,000	$	3,873,654
American Electric Power Co., Inc.
2.03%		03/15/24			4,935,000		4,723,231
American Electric Power Co., Inc.,
Series F
2.95%		12/15/22			4,511,000		4,495,883
American Electric Power Co., Inc.,
Series J
4.30%		12/01/28			8,480,000		7,932,679
American Transmission Systems, Inc.
2.65%		01/15/32	¹		15,040,000		11,925,008
Appalachian Power Co.
4.45%		06/01/45			100,000		81,713
Appalachian Power Co.,
Series Z
3.70%		05/01/50			9,450,000		6,777,689
Black Hills Corp.
4.35%		05/01/33			1,285,000		1,136,271
Consolidated Edison Co. of New York, Inc.
3.70%		11/15/59			4,740,000		3,365,346
Consolidated Edison Co. of New York, Inc.,
Series C
3.00%		12/01/60			1,854,000		1,117,410
Consolidated Edison Co. of New York, Inc.,
Series E
4.65%		12/01/48			14,546,000		12,428,773
Duke Energy Carolinas LLC
4.00%		09/30/42			11,040,000		8,933,118
4.25%		12/15/41			14,683,000		12,315,158
Duke Energy Corp.
2.55%		06/15/31			43,935,000		34,464,750
3.75%		09/01/46			9,965,000		7,151,195
3.85%		06/15/34			41,056,000		35,528,761
4.50%		08/15/32			50,225,000		45,459,676
5.00%		08/15/52			26,190,000		22,393,346
Empresas Publicas de Medellin ESP,
Series REGS
(Colombia)
4.38%		02/15/31	³		1,000,000		702,500
EVERSOURCE ENERGY
4.60%		07/01/27			18,340,000		17,748,460
Exelon Corp.
2.75%		03/15/27	¹		3,145,000		2,828,678
3.35%		03/15/32	¹		32,430,000		27,242,220
FirstEnergy Corp.
2.65%		03/01/30			5,831,000		4,716,142
FirstEnergy Corp.,
Series B
2.25%		09/01/30			3,775,000		2,946,388
FirstEnergy Corp.,
Series C
3.40%		03/01/50			27,555,000		18,084,760
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		60,193,000		51,231,529
4.35%		01/15/25	¹		23,330,000		22,603,056



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
4.55%		04/01/49	¹	$	13,175,000	$	10,372,262
5.45%		07/15/44	¹		24,625,000		22,260,704
Florida Power & Light Co.
3.70%		12/01/47			1,340,000		1,056,371
Jersey Central Power & Light Co.
2.75%		03/01/32	¹		820,000		653,399
4.30%		01/15/26	¹		6,945,000		6,673,290
4.70%		04/01/24	¹		49,765,000		49,015,029
6.40%		05/15/36			11,630,000		11,812,436
Metropolitan Edison Co.
3.50%		03/15/23	¹		10,715,000		10,624,136
4.00%		04/15/25	¹		35,719,000		33,974,396
4.30%		01/15/29	¹		18,381,000		17,191,880
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%		05/07/29	³		1,825,000		1,441,203
NextEra Energy Capital Holdings, Inc.
4.63%		07/15/27			74,110,000		71,718,416
5.00%		07/15/32			5,738,000		5,488,600
Niagara Mohawk Power Corp.
5.78%		09/16/52	¹		3,250,000		3,094,011
Pennsylvania Electric Co.
3.25%		03/15/28	¹		125,000		111,494
4.15%		04/15/25	¹		28,335,000		27,046,860
Public Service Co. of Colorado,
Series 39
4.50%		06/01/52			13,570,000		11,755,808
Public Service Co. of New Mexico
3.85%		08/01/25			14,390,000		13,424,417
Southwestern Electric Power Co.,
Series K
2.75%		10/01/26			26,488,000		24,020,521
Tucson Electric Power Co.
4.85%		12/01/48			8,755,000		7,565,627

							733,283,864

Energy — 1.63%
Boston Gas Co.
3.76%		03/16/32	¹		6,440,000		5,439,048
Ecopetrol SA
(Colombia)
6.88%		04/29/30	³		10,775,000		9,104,875
Energy Transfer LP
4.00%		10/01/27			24,298,000		22,074,376
4.90%		03/15/35			5,160,000		4,358,847
4.95%		06/15/28			26,678,000		24,895,104
5.00%		05/15/50			43,460,000		34,005,797
5.15%		03/15/45			48,691,000		38,762,664
5.35%		05/15/45			4,421,000		3,580,011
5.40%		10/01/47			141,446,000		115,295,839
5.50%		06/01/27			45,983,000		44,850,279
6.13%		12/15/45			16,239,000		14,262,376
Energy Transfer Operating LP
5.25%		04/15/29			1,700,000		1,607,803



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Enterprise Products Operating LLC
4.20%		01/31/50		$	1,433,000	$	1,103,249
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/34	^1,3		18,301,795		15,085,493
Hess Corp.
5.60%		02/15/41			22,039,000		19,336,435
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%		04/14/33	^1,3		1,800,000		1,187,100
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%		04/14/33	³		5,883,000		3,879,838
4.75%		04/19/27	³		7,800,000		6,590,220
5.38%		04/24/30	³		2,251,000		1,789,687
KazTransGas JSC,
Series REGS
(Kazakhstan)
4.38%		09/26/27	³		6,350,000		5,286,772
Kinder Morgan Energy Partners LP
4.70%		11/01/42			2,171,000		1,703,605
5.00%		08/15/42			5,775,000		4,713,357
5.40%		09/01/44			5,000,000		4,261,834
Kinder Morgan, Inc.
5.55%		06/01/45			4,831,000		4,215,259
Kinder Morgan, Inc.
(GMTN)
7.80%		08/01/31			150,000		163,762
Occidental Petroleum Corp.
0.00%		10/10/36	¹³		6,011,000		3,140,868
4.50%		07/15/44			2,139,000		1,796,208
Pertamina Persero PT
(Indonesia)
3.10%		08/27/30	^1,3		44,071,000		36,138,220
Petroleos Mexicanos
(Mexico)
6.35%		02/12/48	³		7,570,000		4,069,304
6.70%		02/16/32	³		18,872,000		13,250,975
6.75%		09/21/47	³		132,414,000		74,072,392
6.95%		01/28/60	³		34,555,000		19,131,721
7.69%		01/23/50	³		59,320,000		36,423,073
Petronas Capital Ltd.
(Malaysia)
2.48%		01/28/32	^1,3		13,050,000		10,639,991
3.50%		04/21/30	^1,3		34,277,000		31,313,732
Petronas Capital Ltd.,
Series REGS (EMTN)
(Malaysia)
2.48%		01/28/32	³		5,000,000		4,076,625
Phillips 66 Co.
4.90%		10/01/46	¹		5,485,000		4,729,370
Piedmont Natural Gas Co., Inc.
2.50%		03/15/31			7,272,000		5,743,153
Plains All American Pipeline LP/PAA Finance Corp.
3.55%		12/15/29			31,332,000		26,161,084



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
3.80%		09/15/30		$	8,920,000	$	7,489,170
Qatar Energy
Series REGS
(Qatar)
2.25%		07/12/31	³		21,710,000		17,536,882
Rockies Express Pipeline LLC
4.80%		05/15/30	¹		5,125,000		4,246,831
4.95%		07/15/29	¹		84,805,000		72,939,087
6.88%		04/15/40	¹		44,867,000		36,709,731
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6,11,12		62,216,939		51,951,144
Sabine Pass Liquefaction LLC
4.50%		05/15/30			18,268,000		16,668,532
Saudi Arabian Oil Co.,
Series REGS
(Saudi Arabia)
1.63%		11/24/25	³		6,500,000		5,858,437
Shell International Finance BV
(Netherlands)
3.75%		09/12/46	³		4,472,000		3,415,926
4.00%		05/10/46	³		12,912,000		10,319,724
Southern Co. Gas Capital Corp.
4.40%		05/30/47			50,000		39,473
5.15%		09/15/32			13,420,000		12,838,599
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%		03/24/26	³		16,442,000		16,254,068
TC PipeLines LP
4.38%		03/13/25			2,198,000		2,142,865
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			33,025,000		28,401,500
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^1,3		17,466,300		17,032,874
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^1,3		14,314,125		13,125,122
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^1,3		39,801,150		37,489,897
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		09/01/27			8,077,000		7,353,705
Venture Global Calcasieu Pass LLC
3.88%		11/01/33	¹		20,000,000		15,862,497
4.13%		08/15/31	¹		9,000,000		7,471,779
Williams Cos., Inc. (The)
5.40%		03/04/44			5,000,000		4,382,974

							1,047,771,163


Finance — 5.57%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/26	³		21,203,000		17,933,700
3.00%		10/29/28	³		56,990,000		45,970,470



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
3.15%		02/15/24	³	$	17,310,000	$	16,637,268
3.30%		01/23/23	³		6,426,000		6,393,177
3.30%		01/30/32	³		131,856,000		99,534,557
3.88%		01/23/28	³		5,015,000		4,363,519
4.88%		01/16/24	³		12,060,000		11,874,693
Air Lease Corp.
2.20%		01/15/27			48,265,000		40,830,870
2.25%		01/15/23			18,850,000		18,694,238
3.00%		09/15/23			28,655,000		27,956,226
3.25%		03/01/25			19,930,000		18,697,826
3.25%		10/01/29			5,000,000		4,071,936
4.25%		09/15/24			5,554,000		5,411,377
4.63%		10/01/28			2,000,000		1,794,574
Air Lease Corp.
(MTN)
2.30%		02/01/25			35,195,000		32,418,467
2.88%		01/15/26			10,055,000		9,010,503
3.00%		02/01/30			2,000,000		1,587,002
Alta Wind Holdings LLC
7.00%		06/30/35	^1,5,6		3,140,829		3,142,464
American Express Co.
2.55%		03/04/27			7,600,000		6,789,819
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		171,755,000		134,601,027
2.88%		02/15/25	^1,3		43,160,000		39,141,195
3.25%		02/15/27	^1,3		17,880,000		15,050,535
3.95%		07/01/24	^1,3		35,499,000		33,632,893
Capital One Financial Corp.
1.34%		12/06/24	⁴		114,655,000		109,013,318
2.64%		03/03/26	⁴		8,265,000		7,683,965
Charles Schwab Corp. (The)
1.65%		03/11/31			5,350,000		4,038,954
Citigroup, Inc.
1.46%		06/09/27	⁴		151,458,000		129,084,915
2.52%		11/03/32	⁴		16,545,000		12,609,267
2.56%		05/01/32	⁴		21,345,000		16,412,952
2.57%		06/03/31	⁴		66,575,000		52,458,595
2.67%		01/29/31	⁴		34,649,000		27,679,479
2.98%		11/05/30	⁴		8,329,000		6,861,780
3.06%		01/25/33	⁴		170,215,000		134,279,430
3.11%		04/08/26	⁴		7,705,000		7,222,297
3.35%		04/24/25	⁴		1,275,000		1,230,386
3.52%		10/27/28	⁴		22,030,000		19,693,327
3.67%		07/24/28	⁴		19,020,000		17,130,399
3.79%		03/17/33	⁴		53,680,000		45,069,629
4.41%		03/31/31	⁴		18,101,000		16,265,389
Citigroup, Inc.,
Series VAR
3.07%		02/24/28	⁴		45,070,000		40,203,058
Discover Financial Services
3.85%		11/21/22			8,794,000		8,783,495
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³		68,507,000		61,453,588



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Goldman Sachs Group, Inc. (The)
0.93%		10/21/24	⁴	$	77,465,000	$	73,555,482
1.22%		12/06/23			192,325,000		184,515,803
1.43%		03/09/27	⁴		190,495,000		164,066,933
1.54%		09/10/27	⁴		106,330,000		89,969,502
1.95%		10/21/27	⁴		47,390,000		40,561,982
1.99%		01/27/32	⁴		1,047,000		775,285
2.38%		07/21/32	⁴		104,409,000		78,938,046
2.62%		04/22/32	⁴		23,920,000		18,569,098
2.65%		10/21/32	⁴		22,067,000		16,939,768
3.20%		02/23/23			51,252,000		51,006,700
3.27%		09/29/25	⁴		116,107,000		110,650,801
3.50%		04/01/25			36,914,000		35,317,181
Intercontinental Exchange, Inc.
1.85%		09/15/32			2,372,000		1,732,541
4.00%		09/15/27			27,935,000		26,504,482
4.60%		03/15/33			30,060,000		28,062,441
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/29	¹		6,295,000		5,406,083
JPMorgan Chase & Co.
1.56%		12/10/25	⁴		147,510,000		135,300,431
1.76%		11/19/31	⁴		11,145,000		8,157,407
1.95%		02/04/32	⁴		449,000		332,763
2.55%		11/08/32	⁴		68,660,000		52,250,349
2.74%		10/15/30	⁴		3,288,000		2,677,620
2.95%		02/24/28	⁴		45,925,000		40,724,176
2.96%		01/25/33	⁴		71,792,000		56,604,361
3.54%		05/01/28	⁴		1,180,000		1,069,383
3.80%		07/23/24	⁴		9,861,000		9,729,868
Morgan Stanley
0.79%		05/30/25	⁴		62,230,000		57,314,194
1.59%		05/04/27	⁴		109,381,000		94,536,683
2.48%		01/21/28	⁴		3,360,000		2,941,080
2.48%		09/16/36	⁴		18,113,000		12,988,584
2.95%		05/07/32	⁴		70,820,000		61,507,910
5.30%		04/20/37	⁴		36,040,000		32,521,379
Morgan Stanley
(GMTN)
0.79%		01/22/25	⁴		21,175,000		19,848,145
1.51%		07/20/27	⁴		17,471,000		14,903,684
2.24%		07/21/32	⁴		91,246,000		68,656,056
Morgan Stanley
(MTN)
0.53%		01/25/24	⁴		23,165,000		22,796,073
1.16%		10/21/25	⁴		178,926,000		163,097,954
1.79%		02/13/32	⁴		1,178,000		862,353
1.93%		04/28/32	⁴		70,076,000		51,616,180
2.51%		10/20/32	⁴		46,911,000		35,936,807
Nationwide Building Society
(United Kingdom)
2.97%		02/16/28	^1,3,4		120,650,000		103,957,500
3.77%		03/08/24	^1,3,4		55,190,000		54,584,064
4.36%		08/01/24	^1,3,4		104,478,000		103,012,593
ORIX Corp.
(Japan)
5.00%		09/13/27	³		14,030,000		13,650,296



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
5.20%		09/13/32	³	$	7,170,000	$	6,854,734
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		10,746,000		10,684,755
5.50%		02/15/24	^1,3		26,855,000		26,308,139
Raymond James Financial, Inc.
4.95%		07/15/46			46,716,000		41,296,832
TIAA FSB Holdings, Inc.
5.75%		07/02/25			4,045,000		4,003,577
UBS Group AG
(Switzerland)
4.49%		05/12/26	^1,3,4		15,655,000		15,090,771
4.70%		08/05/27	^1,3,4		4,285,000		4,070,619
Vonovia SE
(Georgia)
1.50%		06/14/41	³		6,600,000		3,539,194
Vonovia SE
(EMTN)
(Georgia)
1.63%		09/01/51	³		11,100,000		5,130,839

							3,577,842,040


Food — 0.65%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%		11/15/28	¹		1,056,000		899,575
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.75%		12/01/31	^1,3		24,014,000		19,207,746
4.38%		02/02/52	^1,3		58,603,000		38,880,237
5.50%		01/15/30	^1,3		26,622,000		24,638,395
5.75%		04/01/33	^1,3		77,400,000		70,071,825
6.50%		12/01/52	^1,3		34,350,000		30,509,321
Kraft Heinz Foods Co.
4.38%		06/01/46			2,882,000		2,247,741
4.88%		10/01/49			17,370,000		14,387,055
5.00%		07/15/35			24,594,000		22,380,540
5.00%		06/04/42			15,357,000		13,373,790
5.20%		07/15/45			70,637,000		61,587,199
6.50%		02/09/40			6,240,000		6,286,410
Pilgrim’s Pride Corp.
3.50%		03/01/32	¹		59,507,000		44,951,549
4.25%		04/15/31	¹		1,429,000		1,148,582
5.88%		09/30/27	¹		19,097,000		18,588,185
Post Holdings, Inc.
5.75%		03/01/27	¹		6,092,000		5,833,090
Smithfield Foods, Inc.
2.63%		09/13/31	¹		14,435,000		10,691,573
3.00%		10/15/30	¹		8,890,000		6,938,748
4.25%		02/01/27	¹		24,855,000		23,162,217
TreeHouse Foods, Inc.
4.00%		09/01/28			6,097,000		4,869,643

							420,653,421



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Gaming — 0.06%
Caesars Entertainment, Inc.
4.63%		10/15/29	¹	$	29,038,000	$	22,304,256
8.13%		07/01/27	¹		18,813,000		18,011,754
MGM Resorts International
6.00%		03/15/23			30,000		30,011

							40,346,021


Health Care — 3.20%
AbbVie, Inc.
2.90%		11/06/22			7,139,000		7,129,255
4.05%		11/21/39			10,782,000		8,742,828
4.40%		11/06/42			62,889,000		52,236,073
4.45%		05/14/46			11,444,000		9,371,447
4.50%		05/14/35			52,292,000		46,633,097
4.55%		03/15/35			33,431,000		30,040,172
American Medical Systems Europe BV
(Netherlands)
1.63%		03/08/31	³		5,855,000		4,777,853
1.88%		03/08/34	³		5,000,000		3,898,993
Amgen, Inc.
2.30%		02/25/31			4,948,000		3,944,044
3.00%		02/22/29			12,925,000		11,329,456
3.38%		02/21/50			12,009,000		8,252,114
Baxter International, Inc.
0.87%		12/01/23			5,013,000		4,788,035
Bayer U.S. Finance II LLC
2.85%		04/15/25	¹		2,805,000		2,592,593
3.95%		04/15/45	¹		17,489,000		12,351,442
4.25%		12/15/25	¹		17,152,000		16,429,392
4.38%		12/15/28	¹		119,521,000		109,479,013
4.40%		07/15/44	¹		69,196,000		52,215,983
4.63%		06/25/38	¹		36,299,000		30,298,457
4.88%		06/25/48	¹		88,246,000		72,318,327
5.50%		08/15/25	¹		13,932,000		13,770,274
5.50%		07/30/35	¹		3,820,000		3,571,671
Becton Dickinson and Co.
2.82%		05/20/30			20,388,000		17,114,976
3.36%		06/06/24			1,013,000		986,136
Cedars-Sinai Health System,
Series 2021
2.29%		08/15/31			12,870,000		10,312,748
Centene Corp.
2.45%		07/15/28			31,858,000		25,958,119
2.50%		03/01/31			13,855,000		10,551,968
3.00%		10/15/30			138,275,000		109,800,029
4.25%		12/15/27			74,814,000		68,591,346
Cigna Corp.
3.20%		03/15/40			4,157,000		3,006,875
3.88%		10/15/47			22,722,000		16,717,256
4.80%		08/15/38			26,478,000		23,532,790
4.80%		07/15/46			38,613,000		33,144,848
CommonSpirit Health
2.76%		10/01/24			11,198,000		10,676,910
2.78%		10/01/30			19,835,000		15,874,143
3.35%		10/01/29			53,018,000		44,672,384
4.35%		11/01/42			2,860,000		2,254,354



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
CVS Health Corp.
4.78%		03/25/38		$	23,581,000	$	20,719,279
4.88%		07/20/35			22,450,000		20,351,936
5.05%		03/25/48			152,729,000		134,601,961
5.13%		07/20/45			60,105,000		52,766,055
Danaher Corp.
2.80%		12/10/51			2,950,000		1,885,883
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			21,506,000		16,636,787
Embecta Corp.
5.00%		02/15/30	¹		11,820,000		10,165,733
6.75%		02/15/30	¹		20,122,000		18,815,834
Encompass Health Corp.
4.63%		04/01/31			1,122,000		890,816
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3,11,12		7,536,000		433,320
Fresenius Finance Ireland PLC
(EMTN)
(Ireland)
0.88%		10/01/31	³		7,910,000		5,592,299
Fresenius Medical Care U.S. Finance III, Inc.
1.88%		12/01/26	¹		67,592,000		55,890,301
Fresenius SE & Co. KGaA,
Series 10Y (EMTN)
(Georgia)
2.88%		02/15/29	³		9,007,000		8,104,032
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^1,3		2,313,000		1,794,831
HCA, Inc.
2.38%		07/15/31			563,000		418,804
3.13%		03/15/27	¹		4,356,000		3,862,390
3.50%		09/01/30			8,380,000		6,937,760
3.63%		03/15/32	¹		42,265,000		34,324,024
4.13%		06/15/29			10,936,000		9,648,551
4.38%		03/15/42	¹		15,000,000		11,279,977
4.63%		03/15/52	¹		67,754,000		51,053,810
5.25%		06/15/26			59,869,000		57,984,529
5.25%		06/15/49			188,662,000		153,866,316
5.50%		06/15/47			41,777,000		35,727,273
5.63%		09/01/28			24,411,000		23,458,971
5.88%		02/15/26			8,915,000		8,810,160
5.88%		02/01/29			29,822,000		29,205,579
Humana, Inc.
0.65%		08/03/23			53,805,000		51,997,159
Medline Borrower LP
3.88%		04/01/29	¹		4,090,000		3,288,544
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	¹		21,588,000		17,554,104
ModivCare, Inc.
5.88%		11/15/25	¹		2,362,000		2,182,816
Molina Healthcare, Inc.
3.88%		11/15/30	¹		67,275,000		56,555,738
3.88%		05/15/32	¹		47,994,000		39,469,882
4.38%		06/15/28	¹		48,064,000		43,434,750



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
NYU Langone Hospitals,
Series 2020
3.38%		07/01/55		$	4,300,000	$	2,964,655
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	¹		23,903,000		19,660,218
PerkinElmer, Inc.
0.55%		09/15/23			35,000,000		33,505,013
0.85%		09/15/24			22,870,000		21,222,323
Premier Health Partners,
Series G
2.91%		11/15/26			2,229,000		1,993,088
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/23	³		11,885,000		11,384,029
1.75%		09/02/27	³		11,295,000		9,338,235
Teleflex, Inc.
4.25%		06/01/28	¹		75,000		65,388
Thermo Fisher Scientific Finance I BV
(Netherlands)
2.00%		10/18/51	³		36,294,000		22,514,543
UnitedHealth Group, Inc.
4.25%		04/15/47			13,825,000		11,453,501
Universal Health Services, Inc.
1.65%		09/01/26	¹		45,000,000		37,771,844

							2,058,948,442


Industrials — 0.89%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%		08/15/27	^1,3		66,822,000		42,468,658
Artera Services LLC
9.03%		12/04/25	¹		50,815,000		40,985,041
Berry Global, Inc.
1.50%		01/15/27	¹		8,110,000		6,733,298
1.57%		01/15/26			51,115,000		44,693,513
1.65%		01/15/27			9,576,000		7,952,918
4.88%		07/15/26	¹		82,131,000		77,307,446
Boeing Co. (The)
1.17%		02/04/23			12,010,000		11,871,925
1.43%		02/04/24			151,800,000		144,400,866
4.88%		05/01/25			19,940,000		19,461,297
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
3.21%		05/05/26	²		1,785,000		1,696,498
(LIBOR USD 3-Month plus 0.48%)
3.39%		08/15/36	²		11,550,000		9,514,207
General Electric Co.,
Series A (MTN)
6.75%		03/15/32			12,906,000		13,958,930
Heathrow Funding Ltd.
(United Kingdom)
5.23%		02/15/23	^1,3		34,415,000		38,315,966



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)
Heathrow Funding Ltd.
(EMTN)
(United Kingdom)
1.88%		03/14/34	³	$	65,024,000	$	45,099,321
L3Harris Technologies, Inc.
3.95%		05/28/24			12,890,000		12,691,379
OT Merger Corp.
7.88%		10/15/29	¹		14,611,000		9,690,001
TransDigm, Inc.
5.50%		11/15/27			1,965,000		1,710,515
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/26	^1,3		31,388,000		28,113,895
8.50%		08/15/27	^1,3		17,257,000		15,302,643

							571,968,317


Information Technology — 0.61%
Broadcom, Inc.
2.60%		02/15/33	¹		5,188,000		3,721,782
3.14%		11/15/35	¹		14,662,000		10,320,968
3.42%		04/15/33	¹		37,837,000		29,078,110
4.30%		11/15/32			34,640,000		29,261,720
Fiserv, Inc.
3.20%		07/01/26			5,905,000		5,437,294
Intel Corp.
2.80%		08/12/41			7,760,000		5,242,693
3.05%		08/12/51			3,649,000		2,341,440
3.73%		12/08/47			590,000		440,045
Lenovo Group Ltd.
(Hong Kong)
6.54%		07/27/32	^1,3		30,710,000		28,456,085
NCR Corp.
5.00%		10/01/28	¹		19,027,000		15,078,897
5.13%		04/15/29	¹		25,433,000		19,088,941
5.25%		10/01/30	¹		12,365,000		9,354,709
5.75%		09/01/27	¹		6,500,000		5,905,169
6.13%		09/01/29	¹		3,322,000		2,865,892
Oracle Corp.
2.80%		04/01/27			7,928,000		7,006,810
2.88%		03/25/31			43,895,000		34,605,116
3.60%		04/01/40			35,483,000		24,146,664
3.60%		04/01/50			37,887,000		23,778,552
3.65%		03/25/41			76,945,000		52,333,731
3.85%		07/15/36			35,336,000		26,500,795
3.95%		03/25/51			1,102,000		732,511
4.00%		11/15/47			20,255,000		13,624,429
4.13%		05/15/45			7,200,000		4,918,896
TSMC Arizona Corp.
2.50%		10/25/31			7,825,000		6,235,254
4.13%		04/22/29			3,500,000		3,304,928
4.25%		04/22/32			28,930,000		26,767,406

							390,548,837


Insurance — 1.24%
Acrisure LLC/Acrisure Finance, Inc.
7.00%		11/15/25	¹		2,012,000		1,843,334



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%		10/15/27	¹	$	10,790,000	$	9,376,510
Aon Corp./Aon Global Holdings PLC
3.90%		02/28/52			79,250,000		58,726,907
5.00%		09/12/32			19,035,000		18,261,860
Athene Global Funding
1.61%		06/29/26	¹		61,330,000		52,215,673
1.99%		08/19/28	¹		11,040,000		8,738,095
3.21%		03/08/27	¹		26,060,000		23,073,258
(SOFR Index plus 0.70%)
3.44%		05/24/24	^1,2		146,955,000		144,240,042
Berkshire Hathaway Finance Corp.
3.85%		03/15/52			53,180,000		40,900,934
Farmers Exchange Capital
7.05%		07/15/28	¹		13,283,000		13,686,149
7.20%		07/15/48	¹		18,415,000		19,576,847
Farmers Exchange Capital II
6.15%		11/01/53	^1,4		59,331,000		56,773,712
Farmers Exchange Capital III
5.45%		10/15/54	^1,4		80,605,000		75,408,097
Farmers Insurance Exchange
4.75%		11/01/57	^1,4		23,060,000		19,055,487
Metropolitan Life Global Funding I
3.30%		03/21/29	¹		16,005,000		14,193,812
4.30%		08/25/29	¹		6,940,000		6,486,869
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^1,4		42,571,000		42,576,357
New York Life Insurance Co.
3.75%		05/15/50	¹		5,695,000		4,228,442
Protective Life Global Funding
1.90%		07/06/28	¹		56,210,000		46,008,434
Teachers Insurance & Annuity Association of America
3.30%		05/15/50	¹		116,155,000		79,518,778
4.27%		05/15/47	¹		13,496,000		11,042,408
4.38%		09/15/54	^1,4		35,635,000		34,169,033
Willis North America, Inc.
2.95%		09/15/29			11,025,000		9,083,760
4.50%		09/15/28			5,079,000		4,701,569

							793,886,367


Materials — 0.15%
International Flavors & Fragrances, Inc.
2.30%		11/01/30	¹		15,950,000		12,262,810
5.00%		09/26/48			99,234,000		83,057,914
Valvoline, Inc.
4.25%		02/15/30	¹		1,552,000		1,470,093

							96,790,817


Real Estate Investment Trust (REIT) — 1.44%
Alexandria Real Estate Equities, Inc.
2.95%		03/15/34			2,915,000		2,258,415
American Homes 4 Rent LP
4.30%		04/15/52			5,035,000		3,687,027



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/32	³	$	45,583,000	$	34,187,607
3.94%		07/12/47	³		6,700,000		5,113,438
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%		06/23/28	³		15,838,000		11,970,178
Digital Dutch Finco BV
(Netherlands)
0.63%		07/15/25	³		2,375,000		2,088,282
1.00%		01/15/32	³		5,000,000		3,362,720
1.25%		02/01/31	³		18,190,000		12,874,988
1.50%		03/15/30	³		25,000,000		18,829,416
Digital Euro Finco LLC
1.13%		04/09/28			10,000,000		7,910,066
2.63%		04/15/24			2,100,000		1,999,319
Digital Intrepid Holding BV
(Netherlands)
0.63%		07/15/31	³		22,260,000		14,643,659
1.38%		07/18/32	³		11,250,000		7,513,483
Federal Realty Investment Trust
7.48%		08/15/26			18,825,000		19,844,603
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32			4,047,000		3,077,986
3.35%		09/01/24			7,197,000		6,864,067
4.00%		01/15/31			1,105,000		904,844
5.25%		06/01/25			75,515,000		73,461,747
5.30%		01/15/29			34,755,000		32,259,244
5.38%		11/01/23			36,796,000		36,207,267
5.38%		04/15/26			99,048,000		94,868,174
5.75%		06/01/28			29,128,000		27,339,215
Healthcare Reality Holdings LP
2.00%		03/15/31			27,384,000		20,155,518
3.10%		02/15/30			35,467,000		29,196,910
3.75%		07/01/27			14,702,000		13,514,502
Healthcare Realty Holdings LP
2.40%		03/15/30			23,198,000		17,801,774
3.63%		01/15/28			4,077,000		3,595,875
3.88%		05/01/25			20,446,000		19,429,264
Hudson Pacific Properties LP
3.25%		01/15/30			22,102,000		17,597,905
3.95%		11/01/27			13,630,000		12,186,875
4.65%		04/01/29			9,585,000		8,528,453
5.95%		02/15/28			31,625,000		30,340,754
Invitation Homes Operating Partnership LP
2.00%		08/15/31			3,275,000		2,354,387
Kilroy Realty LP
2.50%		11/15/32			3,705,000		2,676,365
2.65%		11/15/33			35,092,000		24,669,102
Life Storage LP
3.88%		12/15/27			6,960,000		6,344,667
Prologis Euro Finance LLC
0.38%		02/06/28			5,000,000		4,067,663
0.63%		09/10/31			4,435,000		3,147,407



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
1.00%		02/06/35		$	3,180,000	$	2,087,440
Prologis Euro Finance LLC
(EMTN)
1.00%		02/08/29			2,720,000		2,189,916
SELP Finance SARL
(Luxembourg)
0.88%		05/27/29	³		46,714,000		33,786,940
SL Green Operating Partnership LP
3.25%		10/15/22			49,011,000		48,975,600
VICI Properties LP
4.95%		02/15/30			4,790,000		4,346,809
5.13%		05/15/32			70,756,000		62,872,236
5.63%		05/15/52			32,867,000		27,247,077
VICI Properties LP/VICI Note Co., Inc.
3.75%		02/15/27	¹		8,070,000		7,101,600
3.88%		02/15/29	¹		41,541,000		34,936,181
4.50%		09/01/26	¹		8,763,000		8,062,801
4.50%		01/15/28	¹		19,616,000		17,429,753
4.63%		06/15/25	¹		16,415,000		15,474,413
5.63%		05/01/24	¹		7,385,000		7,267,025
5.75%		02/01/27	¹		18,018,000		16,998,503

							925,649,460


Retail — 0.13%
Alimentation Couche-Tard, Inc.
(Canada)
3.80%		01/25/50	^1,3		18,032,000		12,211,759
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%		01/15/30	¹		10,560,000		8,052,000
FirstCash, Inc.
5.63%		01/01/30	¹		15,320,000		13,116,689
Michaels Cos., Inc. (The)
7.88%		05/01/29	¹		83,531,000		48,352,337
Starbucks Corp.
3.00%		02/14/32			2,795,000		2,319,742

							84,052,527


Services — 0.25%
DP World Crescent Ltd.
(Cayman Islands)
4.85%		09/26/28	^1,3		7,600,000		7,358,320
Global Payments, Inc.
5.40%		08/15/32			39,855,000		37,000,254
5.95%		08/15/52			40,815,000		35,913,023
Moody’s Corp.
4.25%		08/08/32			200,000		182,356
Rent-A-Center, Inc.
6.38%		02/15/29	¹		5,128,000		4,025,480
S&P Global, Inc.
2.70%		03/01/29	¹		12,000,000		10,391,465
4.75%		08/01/28	¹		2,767,000		2,704,905
WASH Multifamily Acquisition, Inc.
5.75%		04/15/26	¹		10,950,000		10,115,456



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Services (continued)
Waste Connections, Inc.
(Canada)
3.20%		06/01/32	³	$	6,515,000	$	5,475,468
Waste Pro USA, Inc.
5.50%		02/15/26	¹		50,043,000		44,020,575

							157,187,302

Transportation — 0.28%
American Airlines Pass-Through Trust,
Series 2013-1, Class A
4.00%		07/15/25			10,388,340		8,899,398
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%		10/15/29			15,627,127		13,536,527
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			79,365,633		67,889,281
Empresa de Transporte de Pasajeros Metro SA
(Chile)
3.65%		05/07/30	^1,3		9,660,000		8,344,308
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32			9,604,644		8,513,941
Norfolk Southern Corp.
3.70%		03/15/53			2,905,000		2,126,244
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			9,873,694		9,780,669
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			2,030,446		2,034,623
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			26,535,066		25,826,643
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25			6,763		6,108
Union Pacific Corp.
2.80%		02/14/32			380,000		316,742
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%		08/15/25			11,362,547		10,656,860
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%		03/01/30			28,258,292		24,834,701

							182,766,045


Total Corporates
(Cost $22,863,535,678)							19,377,480,308


FOREIGN GOVERNMENT OBLIGATIONS — 1.21%
Foreign Government Obligations — 1.21%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%		09/30/29	³		38,500,000		33,649,000



Issues	Maturity Date			Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)
Airport Authority
(Hong Kong)
2.50%		01/12/32	^1,3	$	8,040,000	$	6,614,789
3.25%		01/12/52	^1,3		69,310,000		50,399,460
3.50%		01/12/62	^1,3		5,435,000		3,951,721
Brazilian Government International Bond
(Brazil)
2.88%		06/06/25	³		24,818,000		23,331,402
3.88%		06/12/30	³		22,393,000		18,574,993
4.63%		01/13/28	³		11,020,000		10,271,742
Chile Government International Bond
(Chile)
2.45%		01/31/31	³		19,629,000		15,789,568
2.55%		01/27/32	³		15,429,000		12,117,859
2.55%		07/27/33	³		3,160,000		2,372,636
3.24%		02/06/28	³		5,134,000		4,633,173
Colombia Government International Bond
(Colombia)
3.00%		01/30/30	³		29,916,000		21,554,478
3.13%		04/15/31	³		10,300,000		7,182,190
4.50%		01/28/26	³		25,355,000		23,311,387
Croatia Government International Bond,
Series REGS
(Croatia)
6.00%		01/26/24	³		18,065,000		18,192,593
Dominican Republic International Bond
(Dominican Republic)
4.50%		01/30/30	^1,3		25,047,000		19,749,810
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%		09/23/32	³		10,915,000		8,196,947
Egypt Government International Bond
(Egypt)
7.60%		03/01/29	^1,3		3,550,000		2,495,945
Egypt Government International Bond,
Series REGS
(Egypt)
5.25%		10/06/25	³		4,765,000		3,722,656
Guatemala Government Bond
Series REGS
(Guam)
4.90%		06/01/30	³		4,960,000		4,344,129
Hungary Government International Bond
(Hungary)
2.13%		09/22/31	^1,3		17,300,000		11,945,737
Indonesia Government International Bond
(Indonesia)
2.85%		02/14/30	³		29,861,000		25,630,684
Mexico Government International Bond
(Mexico)
2.66%		05/24/31	³		46,101,000		35,511,600
3.50%		02/12/34	³		11,767,000		8,970,727
3.75%		01/11/28	³		46,200,000		42,550,200
4.88%		05/19/33	³		8,400,000		7,400,273



Issues	Maturity Date			Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)
Oman Government International Bond,
Series REGS
(Oman)
5.63%		01/17/28	³	$	10,500,000	$	9,802,800
Panama Government International Bond
(Panama)
2.25%		09/29/32	³		20,627,000		14,492,685
3.16%		01/23/30	³		55,874,000		45,681,272
Paraguay Government International Bond
(Paraguay)
2.74%		01/29/33	^1,3		9,800,000		7,085,487
4.95%		04/28/31	^1,3		7,477,000		6,676,830
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%		06/23/30	^1,3		17,340,000		14,674,582
Perusahaan Penerbit SBSN Indonesia III,
Series REGS
(Indonesia)
4.15%		03/29/27	³		5,100,000		4,882,982
Peruvian Government International Bond
(Peru)
1.86%		12/01/32	³		1,000,000		704,400
2.78%		01/23/31	³		5,270,000		4,185,144
2.84%		06/20/30	³		38,741,000		31,868,347
4.13%		08/25/27	³		1,327,000		1,257,996
Philippine Government International Bond
(Philippines)
1.65%		06/10/31	³		8,405,000		6,450,838
1.95%		01/06/32	³		7,040,000		5,456,000
2.46%		05/05/30	³		4,565,000		3,834,600
Qatar Government International Bond,
Series REGS
(Qatar)
3.75%		04/16/30	³		9,770,000		9,197,478
4.50%		04/23/28	³		35,553,000		35,164,832
Republic of South Africa Government International Bond
(South Africa)
4.30%		10/12/28	³		28,007,000		23,391,446
4.85%		09/30/29	³		19,945,000		16,485,939
5.88%		04/20/32	³		10,600,000		8,776,800
Romanian Government International Bond,
Series REGS
(Romania)
3.00%		02/14/31	³		26,000,000		18,634,200
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%		10/26/26	³		29,155,000		27,720,574
3.25%		10/22/30	³		16,040,000		14,452,120
3.63%		03/04/28	³		27,097,000		25,673,703
Uruguay Government International Bond
(Uruguay)
4.38%		01/23/31	³		20,570,000		19,778,055


Total Foreign Government Obligations
(Cost $941,596,723)							778,794,809



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED — 48.76%**

Non-Agency Commercial Mortgage-Backed — 3.35%
1301 Properties Owner LP
2.08%		09/07/25	^5,6	$	47,327,027	$	47,057,263
ACRES Commercial Realty Ltd.,
Series 2021-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.20%)
4.14%		06/15/36	^1,2,3		19,580,000		19,279,096
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.23%		08/10/38	^1,4		122,930,000		112,396,120
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2018-TALL, Class C
(LIBOR USD 1-Month plus 1.12%)
3.94%		03/15/37	^1,2		18,000,000		16,324,254
BFLD Trust,
Series 2020-OBRK, Class A
(LIBOR USD 1-Month plus 2.05%)
4.87%		11/15/28	^1,2		65,000,000		64,292,274
BGME Trust,
Series 2021-VR, Class A
3.09%		01/10/43	^1,4		20,000,000		16,896,976
BGME Trust,
Series 2021-VR, Class B
3.09%		01/10/43	^1,4		32,137,000		26,331,073
Blackstone Industrial Portfolio - Proj Foxtrot
2.23%		04/09/24	^4,5,6		96,510,000		93,479,586
BMO Mortgage Trust,
Series 2022-C2, Class A5
4.97%		07/15/54	⁴		21,624,000		21,071,906
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(LIBOR USD 1-Month plus 0.92%)
3.74%		10/15/36	^1,2		165,217,703		163,163,270
BX Commercial Mortgage Trust,
Series 2020-VIV4, Class A
2.84%		03/09/44	¹		180,165,000		147,910,047
BX Commercial Mortgage Trust,
Series 2022-CSMO, Class A
(CME Term SOFR 1-Month plus 2.11%)
4.96%		06/15/27	^1,2		152,924,000		152,738,136
BX Commercial Mortgage Trust,
Series 2022-CSMO, Class B
(CME Term SOFR 1-Month plus 3.14%)
5.99%		06/15/27	^1,2		90,170,000		89,608,692
BX Trust,
Series 2019-OC11, Class A
3.20%		12/09/41	¹		42,270,000		35,329,165
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%		03/10/39	¹		80,255,000		71,024,772
CALI Mortgage Trust,
Series 2019-101C, Class XA (IO)
0.44%		03/10/39	^1,4		272,551,000		4,808,699

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Capital Funding Mortgage Trust,

Series 2021-M01, Class A

(LIBOR USD 1-Month plus 2.25%)

4.81%

12/19/24

^1,2

90,174,646

84,019,207

Century Plaza Towers,

Series 2019-CPT, Class A

2.87%

11/13/39

27,645,000

22,591,751

Citigroup Commercial Mortgage Trust,

Series 2022-GC48, Class A5

4.74%

05/15/54

⁴

26,458,000

25,406,683

Commercial Mortgage Trust,

Series 2013-CR12, Class A4

4.05%

10/10/46

440,000

434,755

Credit Suisse Mortgage Capital Certificates,

Series 2019-ICE4, Class A

(LIBOR USD 1-Month plus 0.98%)

3.80%

05/15/36

^1,2

31,400,000

30,982,001

CSMC 2022-MDR A

7.12%

08/15/25

⁴

85,000,000

84,887,095

DC Office Trust,

Series 2019-MTC, Class A

2.97%

09/15/45

31,135,000

25,386,318

Fontainebleau Miami Beach Trust,

Series 2019-FBLU, Class A

3.14%

12/10/36

35,000,000

32,937,789

GS Mortgage-Backed Securities Trust,

Series 2022-SROA, Class A

(-1.00 X CME Term SOFR 1-Month plus 2.70%)

3.46%

07/12/24

15,209,557

15,241,534

Hudson Yards Mortgage Trust,

Series 2019-30HY, Class A

3.23%

07/10/39

84,915,000

73,637,948

Hudson Yards Mortgage Trust,

Series 2019-55HY, Class A

3.04%

12/10/41

^1,4

81,025,000

68,166,559

KNDL Mortgage Trust,

Series 2019-KNSQ, Class E

(LIBOR USD 1-Month plus 1.80%)

4.62%

05/15/36

^1,2

26,449,000

25,383,444

LoanCore Issuer Ltd.,

Series 2021-CRE5, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.30%)

4.12%

07/15/36

^1,2,3

44,185,000

42,912,934

MF1 Ltd.,

Series 2022-FL8, Class A

(Cayman Islands)

(SOFR30A plus 1.35%)

3.63%

02/19/37

^1,2,3

25,000,000

24,277,483

NCMF Trust,

Series 2022-MFP, Class A

(CME Term SOFR 1-Month plus 1.74%)

4.59%

03/15/39

^1,2

115,900,000

113,330,265

One Bryant Park Trust,

Series 2019-OBP, Class A

2.52%

09/15/54

147,667,000

121,600,171

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Project Colt (Acquired 03/08/2022, cost $100,000,000)

1.95%

03/10/27

^4,5,6

100,000,000

96,670,000

Queens Center Mortgage Trust,

Series 2013-QCA, Class A

3.28%

01/11/37

9,170,000

8,561,042

RBS Commercial Funding, Inc., Trust,

Series 2013-GSP, Class A

3.96%

01/15/32

^1,4

48,830,000

47,262,933

SFAVE Commercial Mortgage Securities Trust,

Series 2015-5AVE, Class A1

3.87%

01/05/43

^1,4

56,465,000

41,145,012

SFAVE Commercial Mortgage Securities Trust,

Series 2015-5AVE, Class A2B

4.14%

01/05/43

^1,4

8,710,000

6,394,779

SHOW 2022-BIZ A

Series 2022-BIZ, Class A

3.03%

01/15/24

⁴

68,000,000

66,663,589

Taurus UK DAC,

Series 2021-UK4A, Class A

(Ireland)

(SONIA plus 0.95%)

2.91%

08/17/31

^1,2,3

15,481,166

16,278,202

2,155,882,823

Non-Agency Mortgage-Backed — 9.26%

Aames Mortgage Trust,

Series 2002-1, Class A3 (STEP-reset date 11/25/22)

7.40%

06/25/32

23,653

22,970

Accredited Mortgage Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 1-Month plus 0.22%)

3.30%

02/25/37

7,684,852

7,615,465

ACE Securities Corp. Home Equity Loan Trust,

Series 2004-IN1, Class A1

(LIBOR USD 1-Month plus 0.64%)

3.72%

05/25/34

124,934

119,865

ACE Securities Corp. Home Equity Loan Trust,

Series 2006-HE3, Class A2C

(LIBOR USD 1-Month plus 0.30%)

3.38%

06/25/36

2,458,064

1,859,440

ACE Securities Corp. Home Equity Loan Trust,

Series 2006-OP2, Class A2D

(LIBOR USD 1-Month plus 0.22%)

3.30%

08/25/36

27,724,000

25,742,818

ACE Securities Corp. Home Equity Loan Trust,

Series 2007-ASP2, Class A1

(LIBOR USD 1-Month plus 0.38%)

3.46%

06/25/37

27,826,064

21,072,367

Adjustable Rate Mortgage Trust,

Series 2005-10, Class 6A1

(LIBOR USD 1-Month plus 0.54%)

3.62%

01/25/36

143,833

132,534

Adjustable Rate Mortgage Trust,

Series 2007-3, Class 2A1

5.49%

11/25/37

^1,4

26,631,246

20,208,101



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Aegis Asset-Backed Securities Trust,
Series 2005-5, Class 1A4
(LIBOR USD 1-Month plus 0.70%)
3.78%		12/25/35	²	$	9,082	$	9,073
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 10/25/22)
2.86%		07/25/59	¹		124,912		119,045
Alternative Loan Trust,
Series 2004-30CB, Class 1A6
5.50%		02/25/35			28,052,938		25,897,409
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%		11/25/31			2,125		2,017
Alternative Loan Trust,
Series 2005-38, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
1.50%)
2.60%		09/25/35	²		298,303		260,030
Alternative Loan Trust,
Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative Average plus
1.00%)
2.10%		02/25/36	²		33,653,089		29,634,302
Alternative Loan Trust,
Series 2005-84, Class 1A1
2.60%		02/25/36	⁴		26,851		24,128
Alternative Loan Trust,
Series 2006-HY13, Class 4A1
3.20%		02/25/37	⁴		814,052		745,692
Alternative Loan Trust,
Series 2007-J1, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
3.28%		03/25/37	²		559,754		154,829
American Home Mortgage Assets Trust,
Series 2006-3, Class 2A12
(Federal Reserve US 12-Month Cumulative Average plus
1.15%)
2.25%		10/25/46	²		32,895,059		24,335,149
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
0.70%)
1.80%		02/25/47	²		44,975,076		18,984,087
American Home Mortgage Assets Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.13%)
3.21%		03/25/47	²		26,673,266		23,508,720
American Home Mortgage Investment Trust,
Series 2004-3, Class 2A
(LIBOR USD 6-Month plus 1.50%)
3.41%		10/25/34	²		3,569,208		3,489,113
Ameriquest Mortgage Securities Trust,
Series 2006-R1, Class M1
(LIBOR USD 1-Month plus 0.59%)
3.67%		03/25/36	²		2,364,256		2,357,843

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Amresco Residential Securities Corp. Mortgage Loan Trust,

Series 1998-1, Class A5 (STEP-reset date 11/25/22)

7.51%

10/25/27

6,456

6,424

Argent Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2005-W2, Class M1

(LIBOR USD 1-Month plus 0.74%)

3.82%

10/25/35

118,332

116,101

Argent Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2005-W3, Class M1

(LIBOR USD 1-Month plus 0.66%)

3.74%

11/25/35

15,513,587

15,159,591

Asset-Backed Funding Certificates,

Series 2006-OPT3, Class A3B

(LIBOR USD 1-Month plus 0.32%)

3.40%

11/25/36

40,636,061

19,012,089

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A2A

(LIBOR USD 1-Month plus 0.75%)

3.83%

06/25/37

21,795,908

18,096,892

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A2B

(LIBOR USD 1-Month plus 1.00%)

4.08%

06/25/37

15,922,674

12,758,179

Asset-Backed Securities Corp. Home Equity Loan Trust,

Series 2006-HE6, Class A5

(LIBOR USD 1-Month plus 0.46%)

3.54%

11/25/36

16,245,529

15,779,052

Banc of America Funding Trust,

Series 2003-2, Class 1A1

6.50%

06/25/32

11,065

10,690

Banc of America Funding Trust,

Series 2006-D, Class 3A1

3.40%

05/20/36

⁴

2,734,065

2,399,177

Banc of America Funding Trust,

Series 2006-E, Class 2A1

3.46%

06/20/36

⁴

33,810

31,033

Banc of America Funding Trust,

Series 2006-H, Class 3A1

3.88%

09/20/46

⁴

652,039

561,780

Banc of America Funding Trust,

Series 2015-R2, Class 1A1

(LIBOR USD 1-Month plus 0.14%)

3.22%

08/27/36

^1,2

474,599

474,148

Banc of America Funding Trust,

Series 2015-R5, Class 1A2

(LIBOR USD 1-Month plus 0.13%)

3.21%

10/26/36

^1,2

7,982,908

7,959,218

Banc of America Mortgage Trust,

Series 2004-F, Class 1A1

3.68%

07/25/34

⁴

21,735

20,483

Banc of America Mortgage Trust,

Series 2005-C, Class 2A2

2.96%

04/25/35

⁴

118,839

115,661



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Banc of America Mortgage Trust,
Series 2007-1, Class 1A24
6.00%		03/25/37		$	344,354	$	280,046
Banc of America Mortgage Trust,
Series 2007-3, Class 1A1
6.00%		09/25/37			159,602		138,334
BCAP LLC Trust,
Series 2007-AA2, Class 2A5
6.00%		04/25/37			217,966		119,182
BCAP LLC Trust,
Series 2007-AA5, Class A1
(LIBOR USD 1-Month plus 1.30%)
4.38%		09/25/47	²		13,104,642		11,377,376
Bear Stearns ALT-A Trust,
Series 2005-4, Class 22A2
3.12%		05/25/35	⁴		8,638		7,873
Bear Stearns ALT-A Trust,
Series 2006-4, Class 32A1
3.40%		07/25/36	⁴		1,375,545		738,541
Bear Stearns ARM Trust,
Series 2004-1, Class 13A2
3.08%		04/25/34	⁴		4,188		3,972
Bear Stearns ARM Trust,
Series 2004-10, Class 14A1
2.69%		01/25/35	⁴		1,712,690		1,623,101
Bear Stearns ARM Trust,
Series 2006-4, Class 2A1
3.19%		10/25/36	⁴		211,789		173,082
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
3.33%		08/25/20	²		1,179,578		636,903
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%		03/25/36			165,638		163,166
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-HE9, Class 3A
(LIBOR USD 1-Month plus 0.14%)
3.22%		11/25/36	²		3,687,567		3,570,765
Bear Stearns Asset-Backed Securities I Trust,
Series 2007-AC1, Class A3 (STEP-reset date 11/25/22)
6.55%		02/25/37			23,883,426		20,617,167
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A1 (STEP-reset date 11/25/22)
5.50%		01/25/34			447,206		378,748
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A2 (STEP-reset date 11/25/22)
5.75%		01/25/34			403,186		341,426
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.18%)
3.26%		10/25/36	²		1,030,094		848,698
Bear Stearns Mortgage Funding Trust,
Series 2006-AR5, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
3.24%		12/25/46	²		13,865,838		12,052,055

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Bear Stearns Mortgage Funding Trust,

Series 2007-AR5, Class 1A1A

(LIBOR USD 1-Month plus 0.17%)

3.25%

06/25/47

297,978

248,982

Carrington Mortgage Loan Trust,

Series 2006-NC1, Class A4

(LIBOR USD 1-Month plus 0.62%)

3.70%

01/25/36

380,445

380,580

Carrington Mortgage Loan Trust,

Series 2006-NC3, Class A4

(LIBOR USD 1-Month plus 0.24%)

3.32%

08/25/36

46,429,000

37,730,713

Carrington Mortgage Loan Trust,

Series 2006-OPT1, Class M1

(LIBOR USD 1-Month plus 0.53%)

3.61%

02/25/36

63,033

62,103

Carrington Mortgage Loan Trust,

Series 2007-RFC1, Class A4

(LIBOR USD 1-Month plus 0.22%)

3.30%

10/25/36

22,415,000

17,999,113

Chase Funding Trust,

Series 2003-5, Class 2A2

(LIBOR USD 1-Month plus 0.60%)

3.68%

07/25/33

3,059

2,800

Chase Funding Trust,

Series 2004-2, Class 2A2

(LIBOR USD 1-Month plus 0.50%)

3.58%

02/26/35

5,373

5,222

Chase Mortgage Finance Trust,

Series 2006-A1, Class 1A2

3.60%

09/25/36

⁴

397,397

341,427

Chase Mortgage Finance Trust,

Series 2006-S3, Class 2A1

5.50%

11/25/21

1,359,150

421,138

Chase Mortgage Finance Trust,

Series 2007-A2, Class 2A3

3.26%

06/25/35

⁴

736,018

720,619

ChaseFlex Trust,

Series 2005-2, Class 4A2

5.50%

06/25/36

290,121

169,918

ChaseFlex Trust,

Series 2006-2, Class A2B

(LIBOR USD 1-Month plus 0.20%)

3.28%

09/25/36

4,880,843

4,035,276

CIM Trust,

Series 2018-R5, Class A1

3.75%

07/25/58

^1,4

44,746,363

43,664,016

CIM Trust,

Series 2018-R6, Class A1

(LIBOR USD 1-Month plus 1.08%)

3.64%

09/25/58

^1,2

43,409,320

42,986,136

CIM Trust,

Series 2019-R1, Class A

3.25%

10/25/58

^1,4

162,517,895

151,942,221



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2019-R3, Class A
2.63%		06/25/58	^1,4	$	106,453,285	$	95,242,205
CIM Trust,
Series 2019-R4, Class A1
3.00%		10/25/59	^1,4		100,534,802		91,812,875
CIM Trust,
Series 2020-R1, Class A1
2.85%		10/27/59	^1,4		146,083,849		131,996,107
CIM Trust,
Series 2020-R3, Class A1A
4.00%		01/26/60	^1,4		126,079,722		121,096,610
CIM Trust,
Series 2020-R4, Class A1A
3.30%		06/25/60	^1,4		75,312,872		70,880,815
CIM Trust,
Series 2020-R6, Class A1A
2.25%		12/25/60	^1,4		154,833,199		141,863,782
CIM Trust,
Series 2020-R7, Class A1A
2.25%		12/27/61	^1,4		242,000,981		223,403,133
CIM Trust,
Series 2021-R1, Class A2
2.40%		08/25/56	^1,4		90,564,150		79,929,283
CIM Trust,
Series 2021-R2, Class A2
2.50%		01/25/57	^1,4		85,986,509		80,004,436
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/57	^1,4		295,569,585		264,973,788
CIM Trust,
Series 2021-R4, Class A1A
2.00%		05/01/61	^1,4		220,177,139		195,348,534
CIM Trust,
Series 2021-R5, Class A1
2.00%		08/25/61	^1,4		44,292,673		37,427,986
CIM Trust,
Series 2021-R5, Class A1A
2.00%		08/25/61	^1,4		179,648,448		154,369,396
CIM Trust,
Series 2022-I1, Class A1
4.35%		02/25/67	^1,4		44,263,316		42,128,740
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
4.43%		10/25/37	^1,2		12,656,746		12,575,593
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%		02/25/35			90,706		86,200
Citicorp Residential Mortgage Trust,
Series 2006-2, Class A5 (STEP-reset date 11/25/22)
5.02%		09/25/36			44,490		44,276
Citicorp Residential Mortgage Trust,
Series 2007-1, Class A5 (STEP-reset date 11/25/22)
5.01%		03/25/37			246,443		239,893



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2006-AR2, Class 1A1
2.99%		03/25/36	⁴	$	7,088,692	$	5,689,604
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.45%		06/25/36	⁴		1,156,835		1,076,208
Citigroup Mortgage Loan Trust,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.44%)
3.52%		08/25/36	²		64,589		64,231
Citigroup Mortgage Loan Trust,
Series 2006-WF2, Class A1 (STEP-reset date 11/25/22)
7.25%		05/25/36			32,117,504		17,278,311
Citigroup Mortgage Loan Trust,
Series 2007-6, Class 1A4A
2.32%		03/25/37	⁴		181,679		155,390
Citigroup Mortgage Loan Trust,
Series 2007-AR5, Class 1A1A
3.03%		04/25/37	⁴		53,973		47,233
Citigroup Mortgage Loan Trust,
Series 2014-5, Class 2A2
(LIBOR USD 1-Month plus 1.75%)
3.37%		02/20/36	^1,2		6,660,693		5,482,625
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
1.56%		03/25/47	^1,2		502,409		503,355
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.62%		02/25/34	⁴		290		290
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A
3.42%		10/25/35	⁴		359,429		217,347
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
3.34%		11/25/35	²		105,255		88,686
Countrywide Asset-Backed Certificates Trust,
Series 2005-13, Class AF4
5.81%		04/25/36	⁴		149,594		132,286
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A2
(LIBOR USD 1-Month plus 0.80%)
3.88%		10/25/47	²		7,195,070		6,746,162
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2001-HYB1, Class 1A1
3.25%		06/19/31	⁴		6,780		6,321
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2003-J8, Class 1A4
5.25%		09/25/23			32,480		31,594
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
3.92%		08/25/34	⁴		594,924		555,416



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-25, Class 1A1
(LIBOR USD 1-Month plus 0.66%)
3.74%		02/25/35	²	$	71,279	$	66,168
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-7, Class 2A1
3.16%		06/25/34	⁴		46,897		44,699
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB3, Class 1A
2.89%		06/20/34	⁴		9,244		8,980
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB4, Class 2A1
3.87%		09/20/34	⁴		550,827		510,580
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-11, Class 1A2
4.49%		04/25/35	⁴		479,265		405,151
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-31, Class 2A3
2.45%		01/25/36	⁴		94,905		80,625
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
3.68%		05/25/35	²		2,366,050		1,986,742
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HY5, Class 1A1
3.86%		09/25/47	⁴		503,474		413,708
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HYB1, Class 1A1
3.47%		03/25/37	⁴		934,735		744,964
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR20, Class 2A4
3.51%		08/25/33	⁴		6,178		6,035
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-6, Class 8A1
4.50%		07/25/20			2,779		2,430
Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates,
Series 2004-1, Class 2A1
6.50%		02/25/34			14,854		14,518
Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates,
Series 2004-AR5, Class 6A1
2.82%		06/25/34	⁴		56,209		54,508
Credit Suisse Mortgage Capital Certificates,
Series 2021-RP11, Class CERT
3.78%		10/27/61	¹		10,117,590		8,369,220
Credit Suisse Mortgage Capital Certificates,
Series 2022-RPL1, Class CERT
4.23%		04/25/61	¹		10,538,040		9,767,869
Credit Suisse Mortgage Capital Trust,
Series 2006-2, Class 5A1
(LIBOR USD 1-Month plus 0.70%)
3.78%		03/25/36	²		3,092,413		1,118,727
Credit Suisse Mortgage Capital Trust,
Series 2007-2, Class 3A4
5.50%		03/25/37			1,109,486		640,762



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Trust,
Series 2015-6R, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
2.84%		11/27/46	^1,2	$	2,131,469	$	2,093,605
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.45%		02/25/60	^1,4		17,645,789		16,742,926
Credit Suisse Mortgage Capital Trust,
Series 2021-RP11, Class PT
3.77%		10/25/61	^1,4		240,854,657		197,782,835
Credit Suisse Mortgage Capital Trust,
Series 2021-RP11, Class SA (IO)
0.00%		10/25/61	^1,4,5,6		249,162		248,371
Credit Suisse Mortgage Capital Trust,
Series 2022-RPL1, Class PT
4.31%		04/25/61	^1,4		253,085,075		234,667,872
Credit Suisse Mortgage Capital Trust,
Series 2022-RPL1, Class SA (IO)
0.00%		04/25/61	^1,4,5,6		1,121,028		1,093,046
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 11/25/22)
3.95%		01/25/33			6,288		5,764
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A1
(LIBOR USD 1-Month plus 0.28%)
3.36%		10/25/36	²		37,593,105		27,271,858
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB8, Class A1
(LIBOR USD 1-Month plus 0.28%)
3.36%		10/25/36	²		9,708,874		8,932,767
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A3
(LIBOR USD 1-Month plus 0.30%)
3.38%		11/25/36	²		23,866,875		11,670,458
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF4 (STEP-reset date 11/25/22)
3.12%		01/25/37			6,277,576		1,970,906
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF5 (STEP-reset date 11/25/22)
3.12%		01/25/37			11,797,060		3,706,425
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A2
(LIBOR USD 1-Month plus 0.17%)
3.25%		04/25/37	²		21,208,744		13,793,304
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 11/25/22)
3.54%		02/25/37			25,320,065		15,769,749
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2D (STEP-reset date 11/25/22)
3.54%		02/25/37			18,538,058		11,558,323
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2E (STEP-reset date 11/25/22)
3.54%		02/25/37			3,371,117		2,100,111

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

CSAB Mortgage-Backed Trust,

Series 2006-4, Class A6B (STEP-reset date 11/25/22)

6.28%

12/25/36

5,268,016

312,826

Deephaven Residential Mortgage Trust,

Series 2021-4, Class A1

1.93%

11/25/66

^1,4

25,295,728

22,032,101

Deutsche ALT-A Securities Mortgage Loan Trust,

Series 2006-AR3, Class A1

(LIBOR USD 1-Month plus 0.38%)

3.46%

08/25/36

2,096,654

1,902,390

Deutsche ALT-A Securities Mortgage Loan Trust,

Series 2006-AR4, Class A1

(LIBOR USD 1-Month plus 0.26%)

3.34%

12/25/36

1,467,543

550,189

Deutsche ALT-A Securities Mortgage Loan Trust,

Series 2006-AR4, Class A2

(LIBOR USD 1-Month plus 0.38%)

3.46%

12/25/36

26,936,537

9,836,727

Deutsche ALT-A Securities Mortgage Loan Trust,

Series 2006-AR6, Class A6

(LIBOR USD 1-Month plus 0.38%)

3.46%

02/25/37

388,567

342,977

Deutsche ALT-A Securities Mortgage Loan Trust,

Series 2007-3, Class 1A1

(LIBOR USD 1-Month plus 1.70%)

4.26%

10/25/47

19,856,482

15,571,980

Deutsche ALT-A Securities Mortgage Loan Trust,

Series 2007-AR3, Class 2A4

(LIBOR USD 1-Month plus 0.70%)

3.78%

06/25/37

18,932,751

17,234,673

Deutsche ALT-A Securities Mortgage Loan Trust,

Series 2007-OA3, Class A1

(LIBOR USD 1-Month plus 0.14%)

3.22%

07/25/47

28,773,956

26,283,271

Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,

Series 2005-6, Class 1A7

5.50%

12/25/35

247,331

208,990

Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,

Series 2006-AR1, Class 2A1

2.88%

02/25/36

⁴

531,214

373,476

DSLA Mortgage Loan Trust,

Series 2004-AR4, Class 2A1A

(LIBOR USD 1-Month plus 0.72%)

3.71%

01/19/45

1,121,695

910,732

DSLA Mortgage Loan Trust,

Series 2005-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.50%)

3.49%

02/19/45

81,684

79,513

DSLA Mortgage Loan Trust,

Series 2005-AR3, Class 2A1A

(LIBOR USD 1-Month plus 0.48%)

3.47%

07/19/45

75,835

67,506

DSLA Mortgage Loan Trust,

Series 2006-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.20%)

3.19%

10/19/36

13,982,526

9,903,527

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

DSLA Mortgage Loan Trust,

Series 2007-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.14%)

3.13%

03/19/37

5,801,248

4,653,766

Equity One Mortgage Pass-Through Trust,

Series 2002-4, Class M1

5.22%

02/25/33

⁴

7,101

6,577

Equity One Mortgage Pass-Through Trust,

Series 2002-5, Class M1 (STEP-reset date 11/25/22)

5.80%

11/25/32

36,213

34,068

Fannie Mae Connecticut Avenue Securities,

Series 2019-R07, Class 1B1

(LIBOR USD 1-Month plus 3.40%)

6.48%

10/25/39

^1,2

12,100,000

11,639,634

Fannie Mae Connecticut Avenue Securities,

Series 2020-R01, Class 1B1

(LIBOR USD 1-Month plus 3.25%)

6.33%

01/25/40

^1,2

13,389,636

12,092,125

Fannie Mae Connecticut Avenue Securities,

Series 2020-R02, Class 2B1

(LIBOR USD 1-Month plus 3.00%)

6.08%

01/25/40

^1,2

13,976,543

12,502,577

Fannie Mae Connecticut Avenue Securities,

Series 2021-R01, Class 1B2

(SOFR30A plus 6.00%)

8.28%

10/25/41

^1,2

2,060,000

1,788,368

Fannie Mae Connecticut Avenue Securities,

Series 2022-R01, Class 1B1

(SOFR30A plus 3.15%)

5.43%

12/25/41

^1,2

13,844,000

11,969,708

Fannie Mae Connecticut Avenue Securities,

Series 2022-R01, Class 1M2

(SOFR30A plus 1.90%)

4.18%

12/25/41

^1,2

20,563,862

18,777,037

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2C

(LIBOR USD 1-Month plus 0.32%)

3.40%

10/25/36

9,894,382

7,012,003

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2D

(LIBOR USD 1-Month plus 0.48%)

3.56%

10/25/36

623,916

443,773

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2B

(LIBOR USD 1-Month plus 0.11%)

3.19%

12/25/37

5,243,026

4,739,698

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2C

(LIBOR USD 1-Month plus 0.16%)

3.24%

12/25/37

14,418,793

13,063,043

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2D

(LIBOR USD 1-Month plus 0.21%)

3.29%

12/25/37

10,450,272

9,482,368

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

First Franklin Mortgage Loan Trust,

Series 2006-FF5, Class 1A

(LIBOR USD 1-Month plus 0.30%)

3.38%

04/25/36

8,322,698

8,253,179

First Franklin Mortgage Loan Trust,

Series 2006-FF8, Class IIA4

(LIBOR USD 1-Month plus 0.46%)

3.54%

07/25/36

20,958,221

20,217,006

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2C

(LIBOR USD 1-Month plus 0.14%)

3.22%

01/25/38

53,494,646

31,199,747

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A1

(LIBOR USD 1-Month plus 0.14%)

3.22%

03/25/37

48,467,232

27,519,579

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

3.18%

03/25/37

21,534,545

11,160,254

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2C

(LIBOR USD 1-Month plus 0.15%)

3.23%

03/25/37

12,345,410

6,421,392

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2D

(LIBOR USD 1-Month plus 0.22%)

3.30%

03/25/37

22,986,826

12,007,851

First Horizon Alternative Mortgage Securities Trust,

Series 2004-AA2, Class 1A1

3.48%

08/25/34

⁴

3,145,363

3,019,939

First Horizon Alternative Mortgage Securities Trust,

Series 2004-AA3, Class A1

3.73%

09/25/34

⁴

10,871

10,024

First Horizon Alternative Mortgage Securities Trust,

Series 2004-AA4, Class A1

3.12%

10/25/34

⁴

478,280

476,239

First Horizon Alternative Mortgage Securities Trust,

Series 2005-AA10, Class 1A1

2.86%

12/25/35

⁴

7,858,809

6,682,546

First Horizon Alternative Mortgage Securities Trust,

Series 2005-AA12, Class 2A1

0.00%

02/25/36

⁴

7,720,171

5,570,543

First Horizon Alternative Mortgage Securities Trust,

Series 2005-AA4, Class 2A1

2.79%

06/25/35

⁴

8,028,844

7,295,043

First Horizon Alternative Mortgage Securities Trust,

Series 2005-AA7, Class 2A1

3.71%

09/25/35

⁴

6,547,806

5,798,947

First Horizon Alternative Mortgage Securities Trust,

Series 2005-AA8, Class 2A1

3.84%

10/25/35

⁴

8,854,877

6,142,607

First Horizon Alternative Mortgage Securities Trust,

Series 2005-AA9, Class 2A1

2.87%

11/25/35

⁴

8,381,564

7,217,231

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

3.86%

03/25/36

⁴

8,928,134

6,973,791

First Horizon Mortgage Pass-Through Trust,

Series 2004-AR6, Class 2A1

3.37%

12/25/34

⁴

91,618

88,566

First Horizon Mortgage Pass-Through Trust,

Series 2006-AR4, Class 1A2

2.93%

01/25/37

⁴

47,253

30,833

First Horizon Mortgage Pass-Through Trust,

Series 2007-AR3, Class 1A1

3.73%

11/25/37

⁴

86,572

48,747

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2020-DNA2, Class B1

(LIBOR USD 1-Month plus 2.50%)

5.58%

02/25/50

^1,2

26,102,000

23,649,101

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2021-DNA3, Class M2

(SOFR30A plus 2.10%)

4.38%

10/25/33

^1,2

30,022,000

28,738,504

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2021-DNA5, Class B1

(SOFR30A plus 3.05%)

5.33%

01/25/34

^1,2

12,005,000

10,379,277

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2021-HQA1, Class M2

(SOFR30A plus 2.25%)

4.53%

08/25/33

^1,2

8,000,000

7,343,323

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2021-HQA3, Class M2

(SOFR30A plus 2.10%)

4.38%

09/25/41

^1,2

22,095,000

18,374,019

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2021-HQA4, Class M2

(SOFR30A plus 2.35%)

4.63%

12/25/41

^1,2

10,000,000

8,335,915

GMACM Home Equity Loan Trust,

Series 2000-HE2, Class A1

(LIBOR USD 1-Month plus 0.44%)

0.54%

06/25/30

9,578

8,899

GMACM Mortgage Corp. Loan Trust,

Series 2005-AR6, Class 3A1

3.13%

11/19/35

⁴

255,652

238,831

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR2, Class 1A1

3.30%

05/19/36

⁴

1,547,973

1,074,997

GreenPoint Mortgage Funding Trust,

Series 2005-AR3, Class 1A1

(LIBOR USD 1-Month plus 0.48%)

3.56%

08/25/45

710,191

554,813

GreenPoint Mortgage Funding Trust,

Series 2005-AR4, Class G41B

(LIBOR USD 1-Month plus 0.20%)

3.28%

10/25/45

10,891,606

10,093,299

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GreenPoint Mortgage Funding Trust,

Series 2006-OH1, Class A1

(LIBOR USD 1-Month plus 0.36%)

3.44%

01/25/37

10,195,242

8,833,228

GS Mortgage-Backed Securities Corp. Trust,

Series 2022-PJ2, Class A4

2.50%

06/25/52

^1,4

52,328,528

41,756,533

GS Mortgage-Backed Securities Corp. Trust,

Series 2022-PJ4, Class A4

2.50%

09/25/52

^1,4

62,580,634

49,937,393

GS Mortgage-Backed Securities Trust,

Series 2018-RPL1, Class A1A

3.75%

10/25/57

21,372,624

20,638,500

GS Mortgage-Backed Securities Trust,

Series 2021-PJ9, Class A2

2.50%

02/26/52

^1,4

9,013,178

7,197,868

GS Mortgage-Backed Securities Trust,

Series 2022-PJ5, Class A4

2.50%

10/25/52

^1,4

78,124,242

65,381,889

GS Mortgage-Backed Securities Trust,

Series 2022-PJ6, Class A3

2.50%

01/25/53

^1,4

104,000,000

85,119,206

GSAA Home Equity Trust,

Series 2005-11, Class 2A2

(LIBOR USD 1-Month plus 0.64%)

3.72%

10/25/35

88,353

85,083

GSAA Home Equity Trust,

Series 2005-11, Class 3A2

(LIBOR USD 1-Month plus 0.64%)

3.72%

10/25/35

30,944

30,342

GSAA Home Equity Trust,

Series 2005-6, Class M1

(LIBOR USD 1-Month plus 0.65%)

3.73%

06/25/35

58,413

57,457

GSAMP Trust,

Series 2005-AHL2, Class A2D

(LIBOR USD 1-Month plus 0.70%)

3.78%

12/25/35

19,096,060

17,690,823

GSAMP Trust,

Series 2006-NC1, Class A3

(LIBOR USD 1-Month plus 0.58%)

3.66%

02/25/36

5,212

5,210

GSAMP Trust,

Series 2007-HE2, Class A1

(LIBOR USD 1-Month plus 0.24%)

3.32%

03/25/47

65,849,828

57,489,441

GSMSC Resecuritization Trust,

Series 2015-3R, Class 1B

(LIBOR USD 1-Month plus 0.28%)

3.36%

01/26/37

^1,2

16,358,798

14,634,323

GSR Mortgage Loan Trust,

Series 2004-9, Class 3A1

3.50%

08/25/34

⁴

1,885

1,739

GSR Mortgage Loan Trust,

Series 2004-9, Class 5A7

3.25%

08/25/34

⁴

66,649

66,317

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GSR Mortgage Loan Trust,

Series 2005-AR5, Class 2A3

3.49%

10/25/35

⁴

1,801,244

1,054,527

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 4A5

4.14%

09/25/35

⁴

46,457

44,149

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 2A1

3.10%

05/25/37

⁴

1,262,593

820,440

HarborView Mortgage Loan Trust,

Series 2004-1, Class 2A

3.14%

04/19/34

⁴

3,561

3,311

HarborView Mortgage Loan Trust,

Series 2004-11, Class 3A2A

(LIBOR USD 1-Month plus 0.68%)

3.67%

01/19/35

166,745

154,449

HarborView Mortgage Loan Trust,

Series 2004-3, Class 1A

2.77%

05/19/34

⁴

34,658

32,945

HarborView Mortgage Loan Trust,

Series 2004-5, Class 2A6

3.24%

06/19/34

⁴

1,287

1,242

HarborView Mortgage Loan Trust,

Series 2005-3, Class 2A1A

(LIBOR USD 1-Month plus 0.48%)

3.47%

06/19/35

178,838

169,667

HarborView Mortgage Loan Trust,

Series 2005-4, Class 2A

3.24%

07/19/35

⁴

28,248

24,607

HarborView Mortgage Loan Trust,

Series 2006-1, Class 2A1A

(LIBOR USD 1-Month plus 0.48%)

3.47%

03/19/36

10,740,706

9,623,685

HarborView Mortgage Loan Trust,

Series 2006-10, Class 1A1A

(LIBOR USD 1-Month plus 0.20%)

3.19%

11/19/36

51,733,101

41,195,094

HarborView Mortgage Loan Trust,

Series 2006-4, Class 1A1A

(LIBOR USD 1-Month plus 0.36%)

3.35%

05/19/46

31,101,515

16,579,158

HarborView Mortgage Loan Trust,

Series 2006-5, Class 1A1A

(Federal Reserve US 12-Month Cumulative Average plus

0.91%)

2.01%

07/19/47

34,395,667

13,776,631

HarborView Mortgage Loan Trust,

Series 2006-7, Class 1A

(LIBOR USD 1-Month plus 0.42%)

3.41%

09/19/46

53,927,404

47,228,235

HarborView Mortgage Loan Trust,

Series 2007-7, Class 1A1

(LIBOR USD 1-Month plus 2.00%)

4.08%

10/25/37

17,915,072

13,944,494

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

HarborView Mortgage Loan Trust,

Series 2007-7, Class 2A1A

(LIBOR USD 1-Month plus 2.00%)

4.08%

10/25/37

13,839,735

12,625,673

HSI Asset Securitization Corp. Trust,

Series 2006-HE1, Class 1A1

(LIBOR USD 1-Month plus 0.28%)

3.36%

10/25/36

52,817,952

18,015,997

Impac CMB Trust,

Series 2004-8, Class 2A1

(LIBOR USD 1-Month plus 0.70%)

3.78%

10/25/34

96,925

96,006

Impac CMB Trust,

Series 2005-1, Class 1A1

(LIBOR USD 1-Month plus 0.52%)

3.60%

04/25/35

1,937,657

1,806,429

Impac Secured Assets Trust,

Series 2006-3, Class A1

(LIBOR USD 1-Month plus 0.34%)

3.42%

11/25/36

4,494,507

3,964,677

Impac Secured Assets Trust,

Series 2006-5, Class 1A1C

(LIBOR USD 1-Month plus 0.54%)

3.62%

02/25/37

7,310,456

6,542,921

Impac Secured Assets Trust,

Series 2007-2, Class 1A1A

(LIBOR USD 1-Month plus 0.11%)

3.30%

05/25/37

2,748,808

2,201,084

Impac Secured Assets Trust,

Series 2007-2, Class 1A1B

(LIBOR USD 1-Month plus 0.25%)

3.58%

05/25/37

34,260,920

27,637,702

IndyMac Index Mortgage Loan Trust,

Series 2004-AR4, Class 1A

3.43%

08/25/34

⁴

676,136

601,712

IndyMac Index Mortgage Loan Trust,

Series 2004-AR7, Class A2

(LIBOR USD 1-Month plus 0.86%)

3.94%

09/25/34

35,925

32,388

IndyMac Index Mortgage Loan Trust,

Series 2005-AR1, Class 4A1

3.20%

03/25/35

⁴

93,819

91,361

IndyMac Index Mortgage Loan Trust,

Series 2005-AR17, Class 3A1

3.22%

09/25/35

⁴

2,917,557

2,081,852

IndyMac Index Mortgage Loan Trust,

Series 2005-AR19, Class A1

3.05%

10/25/35

⁴

18,292,428

15,126,159

IndyMac Index Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

(LIBOR USD 1-Month plus 0.48%)

3.56%

04/25/35

368,914

308,057

IndyMac Index Mortgage Loan Trust,

Series 2006-AR19, Class 1A2

3.35%

08/25/36

⁴

11,041,224

8,735,092



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 2A2
(LIBOR USD 1-Month plus 0.40%)
3.48%		10/25/36	²	$	12,386,346	$	11,261,309
IndyMac Index Mortgage Loan Trust,
Series 2006-AR35, Class 2A3A
(LIBOR USD 1-Month plus 0.40%)
3.48%		01/25/37	²		29,612,998		25,657,756
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1
2.87%		05/25/36	⁴		2,972,082		2,587,110
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 2A1
3.06%		05/25/36	⁴		18,879,620		13,078,587
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 1A2
3.01%		03/25/37	⁴		323,541		273,267
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
2.86%		06/25/37	⁴		2,495,224		2,045,250
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
2.96%		11/25/37	⁴		1,600,075		1,342,298
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A3
6.61%		02/25/28			28,998		28,646
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 2A1
3.35%		05/25/36	⁴		416,871		285,901
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 5A1
3.41%		05/25/36	⁴		4,276,835		2,583,827
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A3A (STEP-reset date 11/25/22)
6.33%		07/25/36			29,184,868		9,815,773
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A6 (STEP-reset date 11/25/22)
6.50%		07/25/36			4,069,759		1,377,544
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class A1
(LIBOR USD 1-Month plus 0.15%)
3.23%		05/25/37	²		2,811,472		2,809,871
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A5
(LIBOR USD 1-Month plus 0.26%)
3.34%		06/25/37	²		53,609		53,407
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF1
(LIBOR USD 1-Month plus 0.10%)
3.18%		03/25/47	²		109,224		71,687
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF2 (STEP-reset date 11/25/22)
4.18%		03/25/47			7,145,200		4,966,580



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 11/25/22)
4.18%		05/25/35		$	6,013,557	$	4,179,913
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF4 (STEP-reset date 11/25/22)
4.18%		03/25/47			2,733,435		1,899,892
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
3.36%		03/25/47	²		240,000		220,956
JPMorgan Mortgage Trust,
Series 2003-A2, Class 2A3
2.09%		11/25/33	⁴		51,096		48,319
JPMorgan Mortgage Trust,
Series 2004-A4, Class 1A3
3.97%		09/25/34	⁴		133,051		124,284
JPMorgan Mortgage Trust,
Series 2005-A5, Class TA1
3.33%		08/25/35	⁴		62,017		58,634
JPMorgan Mortgage Trust,
Series 2005-S2, Class 4A3
5.50%		09/25/20			1,603,742		1,103,632
JPMorgan Mortgage Trust,
Series 2006-A2, Class 5A3
3.12%		11/25/33	⁴		1,877		1,803
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
2.87%		05/25/36	⁴		508,004		443,393
JPMorgan Mortgage Trust,
Series 2006-A3, Class 3A3
3.26%		05/25/36	⁴		334,994		282,295
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
3.40%		06/25/36	⁴		287,778		215,354
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A4
3.40%		06/25/36	⁴		927,704		694,231
JPMorgan Mortgage Trust,
Series 2006-A5, Class 2A4
3.56%		08/25/36	⁴		259,697		222,475
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
2.61%		07/25/35	⁴		637,556		623,929
JPMorgan Mortgage Trust,
Series 2007-A3, Class 2A3
2.96%		05/25/37	⁴		1,309,759		1,070,555
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
3.28%		05/25/37	⁴		223,868		190,424
JPMorgan Mortgage Trust,
Series 2007-A4, Class 1A1
3.46%		06/25/37	⁴		1,920,678		1,578,677
JPMorgan Mortgage Trust,
Series 2007-A4, Class 2A3
3.45%		06/25/37	⁴		273,722		223,753

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

JPMorgan Mortgage Trust,

Series 2021-13, Class A3A

2.00%

04/25/52

^1,4

50,932,929

40,231,136

JPMorgan Mortgage Trust,

Series 2021-14, Class A3A

2.00%

05/25/52

^1,4

38,808,395

30,443,556

Lehman ABS Mortgage Loan Trust,

Series 2007-1, Class 2A2

(LIBOR USD 1-Month plus 0.20%)

3.28%

06/25/37

^1,2

180,312

128,822

Lehman XS Trust,

Series 2005-5N, Class 3A1A

(LIBOR USD 1-Month plus 0.30%)

3.38%

11/25/35

2,167,669

2,108,871

Lehman XS Trust,

Series 2005-7N, Class 1A1A

(LIBOR USD 1-Month plus 0.54%)

3.62%

12/25/35

270,981

246,161

Lehman XS Trust,

Series 2006-12N, Class A31A

(LIBOR USD 1-Month plus 0.40%)

3.48%

08/25/46

8,218,715

7,982,144

Lehman XS Trust,

Series 2006-14N, Class 3A2

(LIBOR USD 1-Month plus 0.24%)

3.32%

08/25/36

27,472

28,585

Lehman XS Trust,

Series 2006-5, Class 1A1A

(LIBOR USD 1-Month plus 0.42%)

3.50%

04/25/36

19,496,677

17,204,519

Lehman XS Trust,

Series 2006-8, Class 1A1A

(LIBOR USD 1-Month plus 0.16%)

3.40%

06/25/36

26,004,237

25,078,400

Lehman XS Trust,

Series 2007-4N, Class 1A3

(LIBOR USD 1-Month plus 0.48%)

3.56%

03/25/47

17,173,139

15,214,955

Long Beach Mortgage Loan Trust,

Series 2004-4, Class M1

(LIBOR USD 1-Month plus 0.90%)

3.98%

10/25/34

73,106

70,697

Luminent Mortgage Trust,

Series 2006-5, Class A1A

(LIBOR USD 1-Month plus 0.38%)

3.46%

07/25/36

27,581,395

19,110,603

Luminent Mortgage Trust,

Series 2006-6, Class A1

(LIBOR USD 1-Month plus 0.40%)

3.48%

10/25/46

10,072,626

8,965,226

MASTR Adjustable Rate Mortgages Trust,

Series 2003-6, Class 4A2

3.21%

01/25/34

⁴

10,975

10,744

MASTR Adjustable Rate Mortgages Trust,

Series 2003-7, Class 3A1

2.47%

11/25/33

⁴

369,381

342,930

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Adjustable Rate Mortgages Trust,

Series 2004-13, Class 3A1

3.82%

11/21/34

⁴

1,818,117

1,726,271

MASTR Adjustable Rate Mortgages Trust,

Series 2004-8, Class 2A1

3.07%

09/25/34

⁴

1,334,353

1,265,713

MASTR Adjustable Rate Mortgages Trust,

Series 2006-2, Class 5A1

3.52%

05/25/36

⁴

5,358,684

2,959,206

MASTR Adjustable Rate Mortgages Trust,

Series 2007-1, Class I1A

(LIBOR USD 1-Month plus 0.39%)

3.47%

01/25/47

83,250,816

35,424,996

MASTR Asset-Backed Securities Trust,

Series 2006-HE4, Class A3

(LIBOR USD 1-Month plus 0.30%)

3.38%

11/25/36

12,698,343

4,679,706

MASTR Asset-Backed Securities Trust,

Series 2006-HE4, Class A4

(LIBOR USD 1-Month plus 0.42%)

3.50%

11/25/36

3,527,318

1,255,035

MASTR Asset-Backed Securities Trust,

Series 2007-HE1, Class A3

(LIBOR USD 1-Month plus 0.21%)

3.29%

05/25/37

16,725,764

15,847,948

MASTR Seasoned Securitization Trust,

Series 2004-1, Class 4A1

3.74%

10/25/32

⁴

7,931

7,764

Mellon Residential Funding Corp. Mortgage Pass-Through

Certificates,

Series 2001-TBC1, Class A1

(LIBOR USD 1-Month plus 0.70%)

3.52%

11/15/31

587,184

569,774

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-1, Class A1

(LIBOR USD 1-Month plus 0.28%)

3.36%

04/25/37

135,594,733

67,746,030

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-1, Class A2B

(LIBOR USD 1-Month plus 0.34%)

3.42%

04/25/37

27,119,276

11,503,867

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-1, Class A2C

(LIBOR USD 1-Month plus 0.50%)

3.58%

04/25/37

56,810,595

24,280,314

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-2, Class A2C

(LIBOR USD 1-Month plus 0.24%)

3.56%

05/25/37

27,609,537

21,641,548

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-2, Class A2D

(LIBOR USD 1-Month plus 0.32%)

3.72%

05/25/37

13,634,788

10,713,387



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%)
3.26%		06/25/37	²	$	10,450,772	$	6,486,171
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
3.33%		06/25/37	²		13,958,100		11,553,030
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.12%)
3.20%		07/25/37	²		23,599,198		16,331,999
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A3
(LIBOR USD 1-Month plus 0.16%)
3.24%		07/25/37	²		17,298,799		11,993,044
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
3.32%		10/25/33	⁴		152,732		147,124
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
3.51%		08/25/34	⁴		739,457		656,684
Merrill Lynch Mortgage Investors Trust,
Series 2005-A10, Class A
(LIBOR USD 1-Month plus 0.42%)
3.50%		02/25/36	²		5,374		5,077
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2B (STEP-reset date 11/25/22)
3.89%		03/25/37			27,639,565		8,024,289
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2D (STEP-reset date 11/25/22)
3.89%		03/25/37			21,632,537		6,281,334
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.40%)
5.88%		08/25/36	²		1,900,090		1,711,669
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%		01/15/40			7,286,590		7,176,990
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%		10/15/40	¹		6,791,240		6,566,011
Mid-State Trust XI,
Series 11, Class A1
4.86%		07/15/38			125,894		121,392
Morgan Stanley Mortgage Loan Trust,
Series 2004-11AR, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
3.40%		01/25/35	²		72,719		66,970
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
3.21%		09/25/34	⁴		406,696		383,801

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Morgan Stanley Mortgage Loan Trust,

Series 2005-2AR, Class A

(LIBOR USD 1-Month plus 0.26%)

3.34%

04/25/35

893,329

848,116

Morgan Stanley Mortgage Loan Trust,

Series 2006-7, Class 5A2

5.96%

06/25/36

⁴

685,327

216,555

Morgan Stanley Mortgage Loan Trust,

Series 2007-6XS, Class 1A2S (STEP-reset date 11/25/22)

5.50%

02/25/47

3,382

3,365

Morgan Stanley Mortgage Loan Trust,

Series 2007-7AX, Class 2A1

(LIBOR USD 1-Month plus 0.24%)

3.32%

04/25/37

4,233,732

1,384,243

MortgageIT Trust,

Series 2005-1, Class 1A1

(LIBOR USD 1-Month plus 0.64%)

3.72%

02/25/35

2,043,397

1,983,657

MortgageIT Trust,

Series 2005-4, Class A1

(LIBOR USD 1-Month plus 0.56%)

3.64%

10/25/35

2,327,891

2,238,904

MortgageIT Trust,

Series 2005-5, Class A1

(LIBOR USD 1-Month plus 0.52%)

3.60%

12/25/35

407,858

389,171

Nationstar Home Equity Loan Trust,

Series 2007-A, Class AV4

(LIBOR USD 1-Month plus 0.23%)

3.31%

03/25/37

31,730

31,493

Nationstar Home Equity Loan Trust,

Series 2007-C, Class 2AV4

(LIBOR USD 1-Month plus 0.25%)

3.33%

06/25/37

5,061,225

4,889,990

New Century Home Equity Loan Trust,

Series 2003-6, Class M1

(LIBOR USD 1-Month plus 1.08%)

4.16%

01/25/34

77,557

77,911

New Century Home Equity Loan Trust,

Series 2005-1, Class M1

(LIBOR USD 1-Month plus 0.68%)

3.76%

03/25/35

167,515

166,929

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month plus 0.44%)

3.52%

02/25/36

31,300

31,224

New Century Home Equity Loan Trust,

Series 2005-D, Class A2D

(LIBOR USD 1-Month plus 0.66%)

3.74%

02/25/36

5,092

5,088

NLT Trust,

Series 2021-INV3, Class PT

0.00%

11/25/56

^1,4

178,042,787

163,383,617



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Nomura Home Equity Loan, Inc., Home Equity Loan Trust,
Series 2006-HE2, Class A4
(LIBOR USD 1-Month plus 0.54%)
3.62%		03/25/36	²	$	2,724,839	$	2,717,044
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 11/25/22)
3.00%		07/25/59	¹		46,665,939		46,624,136
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%		09/15/29	⁴		20,698,306		6,037,346
Ownit Mortgage Loan Trust,
Series 2006-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
3.36%		05/25/37	²		7,694,570		7,503,748
Ownit Mortgage Loan Trust,
Series 2006-4, Class A2D
(LIBOR USD 1-Month plus 0.48%)
2.92%		05/25/37	²		15,778,917		12,223,447
Popular ABS Mortgage Pass-Through Trust,
Series 2005-6, Class A5 (STEP-reset date 11/25/22)
3.37%		01/25/36			21,006,569		17,843,476
Popular ABS Mortgage Pass-Through Trust,
Series 2006-D, Class A3
(LIBOR USD 1-Month plus 0.26%)
3.34%		11/25/36	²		16,236		15,965
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
3.39%		06/25/47	²		22,370,713		20,038,196
Popular ABS, Inc.,
Series 1998-1, Class A2 (STEP-reset date 11/25/22)
7.48%		11/25/29			46,133		43,508
PRET LLC,
Series 2022-RN2, Class A1 (STEP-reset date 10/25/22)
5.00%		06/25/52	¹		219,104,121		209,857,927
Pretium Mortgage Credit Partners LLC,
Series 2022-RN3, Class A1
5.00%		08/25/52	^1,4		255,000,000		243,091,500
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 10/25/22)
5.56%		06/25/27	¹		34,947,119		33,766,459
PRPM LLC,
Series 2022-4, Class A1
5.00%		08/25/27	^1,4		83,991,053		81,032,746
Residential Accredit Loans Trust,
Series 2005-QA12, Class CB1
3.78%		12/25/35	⁴		3,495,932		1,693,170
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.48%		04/25/35	⁴		100,473		97,984
Residential Accredit Loans Trust,
Series 2005-QA7, Class A1
3.60%		07/25/35	⁴		2,247,713		1,610,888



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
1.00%)
2.10%		01/25/46	²	$	3,707,166	$	3,142,266
Residential Accredit Loans Trust,
Series 2006-QA1, Class A11
4.39%		01/25/36	⁴		99,993		76,697
Residential Accredit Loans Trust,
Series 2006-QA1, Class A21
4.59%		01/25/36	⁴		8,285,870		6,640,516
Residential Accredit Loans Trust,
Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.37%)
3.45%		08/25/36	²		14,845,565		13,558,692
Residential Accredit Loans Trust,
Series 2006-QS10, Class AV (IO)
0.57%		08/25/36	^4,5,6		14,433,549		270,298
Residential Accredit Loans Trust,
Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)
3.46%		09/25/36	²		137,611		105,814
Residential Accredit Loans Trust,
Series 2006-QS2, Class 1AV (IO)
0.47%		02/25/36	^4,5,6		53,548,519		706,075
Residential Accredit Loans Trust,
Series 2006-QS7, Class AV (IO)
0.71%		06/25/36	^4,5,6		23,265,905		260,263
Residential Accredit Loans Trust,
Series 2006-QS8, Class AV (IO)
0.78%		08/25/36	^4,5,6		56,713,962		1,409,909
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2A4
(LIBOR USD 1-Month plus 0.55%)
3.63%		01/25/37	²		10,692,810		8,006,225
Residential Accredit Loans Trust,
Series 2007-QS10, Class AV (IO)
0.48%		09/25/37	^4,5,6		43,648,853		793,597
Residential Accredit Loans Trust,
Series 2007-QS4, Class 3AV (IO)
0.36%		03/25/37	^4,5,6		27,343,251		313,783
Residential Accredit Loans Trust,
Series 2007-QS5, Class AV (IO)
0.29%		03/25/37	^4,5,6		30,008,644		250,527
Residential Accredit Loans Trust,
Series 2007-QS6, Class AV (IO)
0.33%		04/25/37	^4,5,6		64,277,639		557,943
Residential Accredit Loans Trust,
Series 2007-QS7, Class 2AV (IO)
0.38%		06/25/37	^4,5,6		23,262,479		251,263
Residential Accredit Loans Trust,
Series 2007-QS8, Class AV (IO)
0.42%		06/25/37	^4,5,6		57,693,735		844,734
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%		12/25/31			15,372		8,036



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
3.58%		04/25/36	²	$	367,623	$	364,646
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
3.03%		12/25/34	⁴		164,733		158,885
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.07%		12/25/34	⁴		11,101		9,733
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
3.74%		12/25/34	⁴		265,427		256,392
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%		07/25/36			1,667,000		1,315,674
Residential Funding Mortgage Securities Trust,
Series 2005-SA5, Class 1A
3.36%		11/25/35	⁴		2,244,406		1,453,190
Residential Funding Mortgage Securities Trust,
Series 2006-SA3, Class 3A1
5.17%		09/25/36	⁴		247,534		215,092
Residential Funding Mortgage Securities Trust,
Series 2006-SA4, Class 2A1
4.91%		11/25/36	⁴		37,157		31,350
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 2A2
3.50%		04/25/37	⁴		900,309		693,796
Saxon Asset Securities Trust,
Series 2001-2, Class AF6 (STEP-reset date 11/25/22)
6.81%		06/25/16			10		13
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
3.32%		05/25/47	²		164,368		116,115
Saxon Asset Securities Trust,
Series 2007-3, Class 2A3
(LIBOR USD 1-Month plus 0.40%)
3.48%		09/25/47	²		24,571,435		22,598,578
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 11/25/22)
2.88%		01/25/36			5,791,920		4,718,446
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB5, Class A3
(LIBOR USD 1-Month plus 0.28%)
3.36%		06/25/36	²		207,928		140,212
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2A
(LIBOR USD 1-Month plus 0.11%)
3.19%		02/25/37	²		5,384,406		2,442,565
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2B
(LIBOR USD 1-Month plus 0.27%)
3.35%		02/25/37	²		26,654,495		12,116,813

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Securitized Asset-Backed Receivables LLC Trust,

Series 2007-BR2, Class A2

(LIBOR USD 1-Month plus 0.23%)

3.31%

02/25/37

35,290,989

16,598,803

Securitized Asset-Backed Receivables LLC Trust,

Series 2007-BR5, Class A2A

(LIBOR USD 1-Month plus 0.13%)

3.21%

05/25/37

12,501,918

9,848,368

Securitized Asset-Backed Receivables LLC Trust,

Series 2007-BR5, Class A2C

(LIBOR USD 1-Month plus 0.35%)

3.43%

05/25/37

9,428,838

7,427,547

Securitized Asset-Backed Receivables LLC Trust,

Series 2007-NC1, Class A2B

(LIBOR USD 1-Month plus 0.30%)

3.38%

12/25/36

26,630,658

17,009,590

Securitized Asset-Backed Receivables LLC Trust,

Series 2007-NC2, Class A2B

(LIBOR USD 1-Month plus 0.14%)

3.22%

01/25/37

13,971,331

11,566,584

Sequoia Mortgage Trust,

Series 2003-2, Class A1

(LIBOR USD 1-Month plus 0.66%)

3.65%

06/20/33

26,451

25,651

Sequoia Mortgage Trust,

Series 2003-8, Class A1

(LIBOR USD 1-Month plus 0.64%)

3.63%

01/20/34

751

713

Sequoia Mortgage Trust,

Series 2004-3, Class A

(LIBOR USD 6-Month plus 0.50%)

2.06%

05/20/34

86,873

86,412

Sequoia Mortgage Trust,

Series 2004-4, Class A

(LIBOR USD 6-Month plus 0.52%)

2.08%

05/20/34

66,214

61,656

SG Mortgage Securities Trust,

Series 2007-NC1, Class A2

(LIBOR USD 1-Month plus 0.24%)

3.32%

12/25/36

^1,2

12,268,672

7,769,886

Soundview Home Loan Trust,

Series 2005-OPT1, Class M2

(LIBOR USD 1-Month plus 0.68%)

3.76%

06/25/35

7,982,985

7,909,280

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-1, Class 3A3

2.94%

02/25/34

⁴

14,111

13,309

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-12, Class 2A

3.72%

09/25/34

⁴

2,290,238

2,239,684

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-14, Class 1A

2.98%

10/25/34

⁴

40,440

39,497

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-14, Class 2A

3.31%

10/25/34

⁴

3,084,197

3,011,192

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-15, Class A

3.29%

10/25/34

⁴

1,407,932

1,286,073

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-17, Class A1

1.90%

11/25/34

⁴

27,029

24,012

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-20, Class 1A2

3.52%

01/25/35

⁴

325,388

313,298

Structured Adjustable Rate Mortgage Loan Trust,

Series 2005-12, Class 3A1

3.04%

06/25/35

⁴

433,276

392,202

Structured Adjustable Rate Mortgage Loan Trust,

Series 2005-18, Class 7A3

3.67%

09/25/35

⁴

9,908,070

6,519,543

Structured Adjustable Rate Mortgage Loan Trust,

Series 2006-12, Class 1A1

(LIBOR USD 1-Month plus 0.32%)

3.40%

01/25/37

15,786,517

13,710,838

Structured Adjustable Rate Mortgage Loan Trust,

Series 2007-9, Class 2A1

3.50%

10/25/47

⁴

449,641

292,416

Structured Asset Mortgage Investments II Trust,

Series 2005-AR8, Class A1A

(LIBOR USD 1-Month plus 0.56%)

3.64%

02/25/36

394,362

343,926

Structured Asset Mortgage Investments II Trust,

Series 2005-AR8, Class A3

(Federal Reserve US 12-Month Cumulative Average plus

2.00%)

2.09%

02/25/36

12,721,370

11,133,242

Structured Asset Mortgage Investments II Trust,

Series 2006-AR7, Class A1A

(LIBOR USD 1-Month plus 0.42%)

3.50%

08/25/36

14,764,267

13,139,169

Structured Asset Mortgage Investments II Trust,

Series 2006-AR8, Class A1BG

(LIBOR USD 1-Month plus 0.12%)

3.20%

10/25/36

13,512,357

12,263,217

Structured Asset Mortgage Investments II Trust,

Series 2007-AR6, Class A1

(Federal Reserve US 12-Month Cumulative Average plus

1.50%)

2.60%

08/25/47

90,015,866

76,400,813

Structured Asset Securities Corp. Mortgage Pass-Through

Certificates,

Series 1997-2, Class 2A4

7.25%

03/28/30

316

301

Structured Asset Securities Corp. Mortgage Pass-Through

Certificates,

Series 2003-26A, Class 3A5

3.81%

09/25/33

⁴

88,382

86,735

Structured Asset Securities Corp. Mortgage Pass-Through

Certificates,

Series 2003-34A, Class 5A4

2.96%

11/25/33

⁴

689,711

646,595

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Structured Asset Securities Corp. Trust,

Series 2005-5, Class 2A4

5.50%

04/25/35

881,122

789,337

SunTrust Adjustable Rate Mortgage Loan Trust,

Series 2007-3, Class 1A1

3.10%

06/25/37

⁴

1,454,105

1,024,403

Thornburg Mortgage Securities Trust,

Series 2004-4, Class 2A

2.15%

12/25/44

⁴

63,340

59,591

Wachovia Mortgage Loan Trust,

Series 2006-ALT1, Class A3

(LIBOR USD 1-Month plus 0.46%)

1.45%

01/25/37

10,300,070

4,277,097

Wachovia Mortgage Loan Trust,

Series 2006-AMN1, Class A3

(LIBOR USD 1-Month plus 0.48%)

1.47%

08/25/36

13,976,861

5,726,250

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A2

(LIBOR USD 1-Month plus 0.11%)

3.19%

01/25/37

3,057,444

1,546,743

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A3

(LIBOR USD 1-Month plus 0.15%)

3.23%

01/25/37

37,613,016

18,407,868

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A4

(LIBOR USD 1-Month plus 0.23%)

3.31%

01/25/37

9,474,203

4,647,764

WaMu Mortgage Pass-Through Certificates,

Series 2003-AR6, Class A1

3.45%

06/25/33

⁴

1,636,387

1,542,644

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR3, Class A2

3.10%

06/25/34

⁴

15,599

14,688

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR6, Class A

(LIBOR USD 1-Month plus 0.84%)

3.92%

05/25/44

182,797

181,594

WaMu Mortgage Pass-Through Certificates,

Series 2005-3, Class 2A3

(LIBOR USD 1-Month plus 0.55%)

3.63%

05/25/35

1,349,055

1,127,126

WaMu Mortgage Pass-Through Certificates,

Series 2005-4, Class CB13

(LIBOR USD 1-Month plus 0.50%)

3.58%

06/25/35

2,898,165

2,331,180

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR1, Class A1A

(LIBOR USD 1-Month plus 0.64%)

3.72%

01/25/45

355,005

327,465

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR11, Class A1A

(LIBOR USD 1-Month plus 0.64%)

3.72%

08/25/45

15,820,342

14,899,981

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR12, Class 1A6

3.80%

10/25/35

⁴

557,214

523,014

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A1

(LIBOR USD 1-Month plus 0.58%)

3.66%

10/25/45

2,501,264

2,358,571

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR14, Class 2A1

3.07%

12/25/35

⁴

2,049,488

1,926,001

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR15, Class A1A1

(LIBOR USD 1-Month plus 0.52%)

3.60%

11/25/45

15,530,763

13,875,533

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR17, Class A1A1

(LIBOR USD 1-Month plus 0.54%)

3.62%

12/25/45

7,286,052

6,542,227

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR19, Class A1A2

(LIBOR USD 1-Month plus 0.58%)

3.66%

12/25/45

7,562,178

7,055,227

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 1A1A

(LIBOR USD 1-Month plus 0.66%)

3.74%

01/25/45

8,504,289

7,964,822

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.62%)

3.70%

01/25/45

430,657

415,591

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A21

(LIBOR USD 1-Month plus 0.66%)

3.74%

01/25/45

36,625

35,363

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A23

(LIBOR USD 1-Month plus 0.76%)

3.84%

01/25/45

1,529,262

1,480,823

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR6, Class 2A1A

(LIBOR USD 1-Month plus 0.46%)

3.54%

04/25/45

67,306

64,841

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR8, Class 1A1A

(LIBOR USD 1-Month plus 0.54%)

3.62%

07/25/45

66,240

60,260

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR1, Class 2A1A

(Federal Reserve US 12-Month Cumulative Average plus

1.07%)

2.17%

01/25/46

13,207,483

11,979,799

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR10, Class 1A4

3.72%

09/25/36

⁴

7,243,011

6,282,748



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
3.08%		12/25/36	⁴	$	417,817	$	370,620
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus
1.00%)
2.10%		02/25/46	²		8,577,708		7,595,086
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus
0.94%)
1.80%		05/25/46	²		3,017,408		2,685,245
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus
0.98%)
2.08%		07/25/46	²		5,630,805		5,140,675
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
3.85%		07/25/37	⁴		151,040		142,744
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus
0.70%)
1.80%		02/25/47	²		8,211,761		7,068,152
WaMu MSC Mortgage Pass-Through Certificates,
Series 2002-AR1, Class 1A1
2.73%		11/25/30	⁴		83,241		82,223
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37			83,959		72,488
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR1, Class 1A1
3.00%		03/25/36	⁴		1,375,533		1,240,359

							5,951,323,153


U.S. Agency Commercial Mortgage-Backed — 0.55%
Fannie Mae Pool AM4869
4.07%		12/01/25			1,691,084		1,662,966
Fannie Mae Pool AM6770
3.77%		09/01/29			156,175		150,616
Fannie Mae Pool AN7981
2.95%		01/01/28			100,000		93,286
Fannie Mae Pool BL6060
2.46%		04/01/40			126,370,000		93,206,587
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K154, Class A2
3.42%		04/25/32			750,000		701,846
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K157, Class A3
3.99%		08/25/33	⁴		300,000		285,356



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2020-193, Class AC
1.25%		09/16/62	$	34,385,627	$	26,483,512
Ginnie Mae,
Series 2021-14, Class AB
1.34%		06/16/63		44,035,616		33,186,916
Ginnie Mae,
Series 2021-2, Class AH
1.50%		06/16/63		102,286,436		83,647,065
Ginnie Mae,
Series 2021-21, Class AH
1.40%		06/16/63		72,584,607		56,911,634
Ginnie Mae,
Series 2021-31, Class B
1.25%		01/16/61		75,904,250		56,132,411

						352,462,195


U.S. Agency Mortgage-Backed — 35.60%
Fannie Mae Pool 190375
5.50%		11/01/36		372,335		384,953
Fannie Mae Pool 190396
4.50%		06/01/39		5,094		4,999
Fannie Mae Pool 313182
7.50%		10/01/26		549		560
Fannie Mae Pool 394854
6.50%		05/01/27		289		298
Fannie Mae Pool 545191
7.00%		09/01/31		1,432		1,474
Fannie Mae Pool 545756
7.00%		06/01/32		325		347
Fannie Mae Pool 606108
7.00%		03/01/31		1,876		1,876
Fannie Mae Pool 613142
7.00%		11/01/31		6,437		6,786
Fannie Mae Pool 625666
7.00%		01/01/32		4,798		4,961
Fannie Mae Pool 633698
7.50%		02/01/31		21,621		22,751
Fannie Mae Pool 655928
7.00%		08/01/32		74,249		79,358
Fannie Mae Pool 725257
5.50%		02/01/34		518,860		534,723
Fannie Mae Pool 734830
4.50%		08/01/33		7,074		6,909
Fannie Mae Pool 734922
4.50%		09/01/33		889,310		869,981
Fannie Mae Pool 735207
7.00%		04/01/34		12,534		13,048
Fannie Mae Pool 735224
5.50%		02/01/35		1,789,731		1,845,198
Fannie Mae Pool 735651
4.50%		06/01/35		2,027,659		1,985,417
Fannie Mae Pool 740297
5.50%		10/01/33		1,092		1,125
Fannie Mae Pool 745147
4.50%		12/01/35		12,606		12,345



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 753168
4.50%		12/01/33		$	4,816	$	4,710
Fannie Mae Pool 815422
4.50%		02/01/35			25,117		24,482
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
2.16%		11/01/35	²		3,376		3,335
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.56%)
1.78%		12/01/35	²		1,605		1,588
Fannie Mae Pool 888412
7.00%		04/01/37			74,499		76,888
Fannie Mae Pool 889184
5.50%		09/01/36			1,852,715		1,909,933
Fannie Mae Pool AB1613
4.00%		10/01/40			16,927,041		16,150,110
Fannie Mae Pool AB1803
4.00%		11/01/40			20,595,284		19,649,841
Fannie Mae Pool AB2127
3.50%		01/01/26			4,807,073		4,566,207
Fannie Mae Pool AB3679
3.50%		10/01/41			6,835,040		6,285,380
Fannie Mae Pool AB3864
3.50%		11/01/41			5,224,819		4,823,211
Fannie Mae Pool AB4045
3.50%		12/01/41			6,820,138		6,310,076
Fannie Mae Pool AB4262
3.50%		01/01/32			3,518,128		3,315,300
Fannie Mae Pool AB6385
3.00%		10/01/42			225,686		201,657
Fannie Mae Pool AB9703
3.50%		06/01/43			11,984,759		11,051,760
Fannie Mae Pool AC8279
4.50%		08/01/39			7,979		7,818
Fannie Mae Pool AE0138
4.50%		03/01/40			31,248		30,665
Fannie Mae Pool AE0482
5.50%		01/01/38			4,366,830		4,447,625
Fannie Mae Pool AH3780
4.00%		02/01/41			8,008,897		7,641,198
Fannie Mae Pool AJ1404
4.00%		09/01/41			10,562,005		10,026,658
Fannie Mae Pool AL0209
4.50%		05/01/41			12,449,173		12,275,475
Fannie Mae Pool AL0851
6.00%		10/01/40			6,996,094		7,302,548
Fannie Mae Pool AL2521
3.50%		09/01/42			78,023		73,235
Fannie Mae Pool AL4597
4.00%		01/01/44			32,015,320		30,523,665
Fannie Mae Pool AL6348
3.50%		02/01/45			26,484		24,270
Fannie Mae Pool AL7092
3.00%		07/01/45			41,289		36,855
Fannie Mae Pool AL8037
4.50%		07/01/34			106,052		102,581



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL8256
3.00%		08/01/43	$	397,380	$	355,072
Fannie Mae Pool AL8356
4.50%		07/01/34		258,830		252,280
Fannie Mae Pool AL8960
4.50%		05/01/46		18,882,038		18,444,723
Fannie Mae Pool AL9106
4.50%		02/01/46		23,803,621		23,252,321
Fannie Mae Pool AL9217
3.50%		10/01/46		16,505,040		15,272,468
Fannie Mae Pool AL9472
4.00%		10/01/43		4,047,231		3,862,367
Fannie Mae Pool AL9722
4.50%		08/01/46		75,558,750		73,808,784
Fannie Mae Pool AL9846
4.50%		02/01/47		80,497,968		78,633,608
Fannie Mae Pool AS8605
3.00%		01/01/32		123,889		117,116
Fannie Mae Pool AS8663
4.50%		01/01/47		14,969,574		14,536,905
Fannie Mae Pool AS9830
4.00%		06/01/47		24,945,709		23,558,035
Fannie Mae Pool AS9972
4.00%		07/01/47		23,821,221		22,575,302
Fannie Mae Pool AT9649
4.00%		07/01/43		137,747		131,135
Fannie Mae Pool AU3739
3.50%		08/01/43		23,341,258		21,601,241
Fannie Mae Pool BD2450
3.50%		01/01/47		44,300		40,566
Fannie Mae Pool BM4299
3.00%		03/01/30		21,689,770		21,104,746
Fannie Mae Pool BM4304
3.00%		02/01/30		28,071,695		27,364,252
Fannie Mae Pool BM5164
4.00%		11/01/48		29,480,604		27,646,893
Fannie Mae Pool BM5507
3.00%		09/01/48		5,987,605		5,302,253
Fannie Mae Pool BN4316
4.00%		01/01/49		18,501		17,383
Fannie Mae Pool BQ6913
2.00%		12/01/51		464,761,017		377,021,550
Fannie Mae Pool BQ7006
2.00%		01/01/52		109,327,178		88,687,951
Fannie Mae Pool BT6823
2.50%		10/01/51		113,567,661		95,804,283
Fannie Mae Pool BU1450
2.00%		01/01/52		186,239,249		151,022,050
Fannie Mae Pool BU1452
2.00%		01/01/52		278,060,081		226,109,699
Fannie Mae Pool BV2994
2.50%		04/01/52		2,806,807		2,360,665
Fannie Mae Pool BV7773
2.50%		04/01/52		100,891,458		85,046,341
Fannie Mae Pool BV8459
3.00%		04/01/52		146,157,171		127,110,177



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA0862
3.50%		09/01/47	$	2,392,772	$	2,189,408
Fannie Mae Pool CA0996
3.50%		01/01/48		32,814		30,138
Fannie Mae Pool CA1187
3.50%		02/01/48		39,074,947		35,740,949
Fannie Mae Pool CA1191
3.50%		11/01/47		2,729,445		2,496,613
Fannie Mae Pool CA1710
4.50%		05/01/48		86,282		83,428
Fannie Mae Pool CA1711
4.50%		05/01/48		8,629,006		8,343,563
Fannie Mae Pool CA2208
4.50%		08/01/48		18,415,584		17,806,407
Fannie Mae Pool CA2327
4.00%		09/01/48		25,895,765		24,449,330
Fannie Mae Pool CA2493
4.50%		10/01/48		5,113,665		4,894,751
Fannie Mae Pool CA3633
3.50%		06/01/49		18,793,603		17,180,164
Fannie Mae Pool CA4011
3.50%		08/01/49		15,821,944		14,091,560
Fannie Mae Pool CA5689
3.00%		05/01/50		62,013,388		54,699,582
Fannie Mae Pool CB2313
2.50%		12/01/51		160,970,191		135,774,641
Fannie Mae Pool CB2365
2.00%		09/01/51		166,303,882		135,412,123
Fannie Mae Pool CB2767
2.00%		01/01/52		73,574,128		59,629,507
Fannie Mae Pool FM2310
3.00%		01/01/48		9,347,831		8,279,292
Fannie Mae Pool FM2318
3.50%		09/01/49		161,395,071		147,236,616
Fannie Mae Pool FM2388
3.50%		04/01/48		16,778,875		15,441,959
Fannie Mae Pool FM9672
2.50%		12/01/51		126,918,780		106,844,183
Fannie Mae Pool FS1598
2.00%		04/01/52		103,650,926		84,294,495
Fannie Mae Pool FS1622
2.00%		03/01/52		205,469,919		166,808,895
Fannie Mae Pool FS2536
2.50%		02/01/52		3,887,572		3,278,880
Fannie Mae Pool MA1146
4.00%		08/01/42		19,474,636		18,526,324
Fannie Mae Pool MA1177
3.50%		09/01/42		25,690,748		23,761,156
Fannie Mae Pool MA1404
3.50%		04/01/43		53,046		48,918
Fannie Mae Pool MA1432
3.00%		05/01/33		42,803		39,058
Fannie Mae Pool MA1459
3.00%		06/01/33		20,264		18,490
Fannie Mae Pool MA1527
3.00%		08/01/33		29,515,946		27,226,581



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA1561
3.00%		09/01/33	$	18,823,640	$	17,219,776
Fannie Mae Pool MA1582
3.50%		09/01/43		8,847,701		8,158,040
Fannie Mae Pool MA1584
3.50%		09/01/33		28,403,813		26,699,838
Fannie Mae Pool MA1608
3.50%		10/01/33		19,695,249		18,513,711
Fannie Mae Pool MA1982
3.50%		08/01/34		39,280		36,826
Fannie Mae Pool MA2895
3.00%		02/01/47		42,347		37,499
Fannie Mae Pool MA2960
4.00%		04/01/47		21,478,608		20,245,956
Fannie Mae Pool MA3027
4.00%		06/01/47		16,016,670		15,097,477
Fannie Mae Pool MA3029
3.00%		06/01/32		19,170,680		18,091,134
Fannie Mae Pool MA3060
3.00%		07/01/32		8,496		7,980
Fannie Mae Pool MA3120
3.50%		09/01/47		1,223,976		1,120,714
Fannie Mae Pool MA3182
3.50%		11/01/47		26,109,639		23,881,883
Fannie Mae Pool MA3210
3.50%		12/01/47		45,313,896		41,364,641
Fannie Mae Pool MA3238
3.50%		01/01/48		38,873,021		35,589,293
Fannie Mae Pool MA3276
3.50%		02/01/48		15,305,221		13,999,331
Fannie Mae Pool MA3305
3.50%		03/01/48		20,522,440		18,760,106
Fannie Mae Pool MA3332
3.50%		04/01/48		55,977,637		51,170,642
Fannie Mae Pool MA3364
3.50%		05/01/33		7,135,170		6,774,880
Fannie Mae Pool MA3537
4.50%		12/01/48		11,329,438		10,954,666
Fannie Mae Pool MA3811
3.00%		10/01/49		5,872,145		5,110,434
Fannie Mae Pool MA3846
3.00%		11/01/49		33,690		29,320
Fannie Mae Pool MA3942
3.00%		02/01/50		12,031,182		10,423,075
Fannie Mae Pool MA3997
3.00%		04/01/50		14,926,703		12,838,573
Fannie Mae Pool MA4093
2.00%		08/01/40		159,943,471		134,386,508
Fannie Mae Pool MA4128
2.00%		09/01/40		132,933,864		111,667,774
Fannie Mae Pool MA4152
2.00%		10/01/40		165,758,811		139,233,988
Fannie Mae Pool MA4176
2.00%		11/01/40		41,108,878		34,522,591
Fannie Mae Pool MA4333
2.00%		05/01/41		76,390,372		64,110,368



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA4492
2.00%		12/01/51		$	97,938,225	$	79,503,533
Fannie Mae Pool MA4493
2.50%		12/01/51			160,890,117		135,492,127
Fannie Mae Pool MA4547
2.00%		02/01/52			19,328,212		15,664,906
Fannie Mae Pool MA4548
2.50%		02/01/52			187,531,676		157,869,952
Fannie Mae Pool MA4563
2.50%		03/01/52			229,087,908		192,574,938
Fannie Mae Pool MA4578
2.50%		04/01/52			368,305,677		309,546,410
Fannie Mae REMICS,
Series 1993-132, Class D (PO)
0.00%		10/25/22	¹³		18		18
Fannie Mae REMICS,
Series 1993-29, Class PK
7.00%		03/25/23			48		48
Fannie Mae REMICS,
Series 1994-55, Class H
7.00%		03/25/24			1,558		1,574
Fannie Mae REMICS,
Series 1997-34, Class SA
(Cost of Funds for the 11th District of San Francisco *
20.848, 37.68% Cap)
20.85%		10/25/23	²		296		329
Fannie Mae REMICS,
Series 1998-37, Class VZ
6.00%		06/17/28			704		708
Fannie Mae REMICS,
Series 1999-11, Class Z
5.50%		03/25/29			16,150		15,612
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%		10/25/31			64,533		64,646
Fannie Mae REMICS,
Series 2005-117, Class LC
5.50%		11/25/35			427,265		429,010
Fannie Mae REMICS,
Series 2005-122, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
3.52%		11/25/35	²		24,283		952
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
3.02%		10/25/25	²		980,777		16,460
Fannie Mae REMICS,
Series 2006-4, Class WE
4.50%		02/25/36			23,272		23,049
Fannie Mae REMICS,
Series 2006-49, Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
16.66%		04/25/36	²		836,499		986,994

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae REMICS,

Series 2007-17, Class SI (IO)

(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)

3.32%

03/25/37

728,795

69,141

Fannie Mae REMICS,

Series 2007-34, Class SB (IO)

(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)

3.03%

04/25/37

1,615,077

154,729

Fannie Mae REMICS,

Series 2007-64, Class FA

(LIBOR USD 1-Month plus 0.47%)

3.55%

07/25/37

2,289

2,280

Fannie Mae REMICS,

Series 2008-24, Class NA

6.75%

06/25/37

154,389

159,590

Fannie Mae REMICS,

Series 2010-116, Class SE (IO)

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

3.52%

10/25/40

2,165,652

224,420

Fannie Mae REMICS,

Series 2010-17, Class SB (IO)

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

3.27%

03/25/40

4,452,026

469,396

Fannie Mae REMICS,

Series 2010-43, Class KS (IO)

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

3.34%

05/25/40

7,823,131

821,370

Fannie Mae REMICS,

Series 2011-101, Class HE

4.00%

10/25/41

9,191,176

8,846,619

Fannie Mae REMICS,

Series 2011-111, Class DB

4.00%

11/25/41

7,830,173

7,573,790

Fannie Mae REMICS,

Series 2012-84, Class VZ

3.50%

08/25/42

6,602,111

6,247,467

Fannie Mae REMICS,

Series 2013-101, Class BO (PO)

0.00%

10/25/43

¹³

10,173,496

7,575,980

Fannie Mae REMICS,

Series 2013-101, Class CO (PO)

0.00%

10/25/43

¹³

5,945,666

4,412,209

Fannie Mae REMICS,

Series 2016-45, Class AF

(LIBOR USD 1-Month plus 0.50%)

3.58%

07/25/46

7,667,025

7,621,683

Fannie Mae REMICS,

Series 2016-72, Class FA

(LIBOR USD 1-Month plus 0.50%)

3.58%

10/25/46

15,420,231

15,337,438

Fannie Mae REMICS,

Series 2016-74, Class GF

(LIBOR USD 1-Month plus 0.50%)

3.58%

10/25/46

12,436,741

12,314,294



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2016-75, Class FL
(LIBOR USD 1-Month plus 0.50%)
3.58%		10/25/46	²	$	12,363,223	$	12,242,002
Fannie Mae REMICS,
Series 2018-29, Class AP
3.50%		11/25/46			29,455,209		28,648,049
Fannie Mae REMICS,
Series 2018-38, Class LA
3.00%		06/25/48			15,017,602		13,780,644
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%		06/25/47			21,181		20,298
Fannie Mae REMICS,
Series 2018-45, Class GA
3.00%		06/25/48			16,889,119		15,261,328
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%		01/25/47			9,551,731		9,291,663
Fannie Mae REMICS,
Series 2018-57, Class QA
3.50%		05/25/46			23,467		23,044
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%		05/25/47			717,944		701,160
Fannie Mae REMICS,
Series 2018-94, Class KD
3.50%		12/25/48			3,773,124		3,533,368
Fannie Mae REMICS,
Series 2019-1, Class AB
3.50%		02/25/49			1,434,641		1,345,392
Fannie Mae REMICS,
Series 2019-1, Class KP
3.25%		02/25/49			1,455,451		1,318,550
Fannie Mae REMICS,
Series 2019-26, Class JE
3.00%		06/25/49			4,869,193		4,492,175
Fannie Mae REMICS,
Series 2019-45, Class PA
3.00%		08/25/49			16,101,754		14,860,333
Fannie Mae REMICS,
Series 2019-52, Class PA
3.00%		09/25/49			4,645,439		4,101,949
Fannie Mae REMICS,
Series 2019-67, Class FE
(LIBOR USD 1-Month plus 0.45%)
3.53%		11/25/49	²		30,187,809		30,147,914
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
3.58%		01/25/50	²		81,195		80,984
Fannie Mae REMICS,
Series G93-21, Class Z
7.20%		05/25/23			125		125



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Trust,
Series 2003-W2, Class 2A9
5.90%		07/25/42	$	17,727	$	17,960
Freddie Mac Gold Pool A24156
6.50%		10/01/31		69,272		71,531
Freddie Mac Gold Pool A25162
5.50%		05/01/34		914,786		935,957
Freddie Mac Gold Pool A39012
5.50%		06/01/35		21,977		22,538
Freddie Mac Gold Pool A54856
5.00%		01/01/34		2,074,744		2,085,454
Freddie Mac Gold Pool A61164
5.00%		04/01/36		6,333		6,366
Freddie Mac Gold Pool A97038
4.00%		02/01/41		6,266,381		6,058,005
Freddie Mac Gold Pool C01492
5.00%		02/01/33		254,432		255,827
Freddie Mac Gold Pool C04546
3.00%		02/01/43		11,236,344		10,100,853
Freddie Mac Gold Pool C04573
3.00%		03/01/43		13,736,908		12,327,309
Freddie Mac Gold Pool C46104
6.50%		09/01/29		6,724		6,942
Freddie Mac Gold Pool C55789
7.50%		10/01/27		1,449		1,455
Freddie Mac Gold Pool E02402
6.00%		10/01/22		27		27
Freddie Mac Gold Pool G00992
7.00%		11/01/28		359		368
Freddie Mac Gold Pool G01515
5.00%		02/01/33		335,936		337,651
Freddie Mac Gold Pool G02579
5.00%		12/01/34		472,301		476,716
Freddie Mac Gold Pool G02884
6.00%		04/01/37		1,249,854		1,305,848
Freddie Mac Gold Pool G02955
5.50%		03/01/37		1,965,737		2,017,566
Freddie Mac Gold Pool G03357
5.50%		08/01/37		632,918		649,573
Freddie Mac Gold Pool G03676
5.50%		12/01/37		1,210,710		1,242,268
Freddie Mac Gold Pool G03783
5.50%		01/01/38		1,055,227		1,082,732
Freddie Mac Gold Pool G03985
6.00%		03/01/38		8,665		9,057
Freddie Mac Gold Pool G04438
5.50%		05/01/38		2,916,051		2,992,119
Freddie Mac Gold Pool G04703
5.50%		08/01/38		2,158,058		2,214,353
Freddie Mac Gold Pool G04706
5.50%		09/01/38		91,360		93,744
Freddie Mac Gold Pool G05866
4.50%		02/01/40		9,302,646		9,132,874
Freddie Mac Gold Pool G06361
4.00%		03/01/41		12,810		12,235



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G06498
4.00%		04/01/41	$	12,342,926	$	11,790,005
Freddie Mac Gold Pool G06499
4.00%		03/01/41		5,220,062		4,978,827
Freddie Mac Gold Pool G07408
3.50%		06/01/43		13,400,890		12,390,768
Freddie Mac Gold Pool G07786
4.00%		08/01/44		100,542,461		95,738,778
Freddie Mac Gold Pool G07848
3.50%		04/01/44		62,365,020		57,664,119
Freddie Mac Gold Pool G07849
3.50%		05/01/44		8,183,279		7,558,799
Freddie Mac Gold Pool G07924
3.50%		01/01/45		9,201,152		8,507,623
Freddie Mac Gold Pool G07925
4.00%		02/01/45		6,580,326		6,257,476
Freddie Mac Gold Pool G08676
3.50%		11/01/45		21,711,334		20,007,013
Freddie Mac Gold Pool G08681
3.50%		12/01/45		14,611,724		13,393,159
Freddie Mac Gold Pool G08698
3.50%		03/01/46		750		691
Freddie Mac Gold Pool G08710
3.00%		06/01/46		87,304,766		77,390,494
Freddie Mac Gold Pool G08711
3.50%		06/01/46		6,186,526		5,689,290
Freddie Mac Gold Pool G08715
3.00%		08/01/46		118,890,441		105,389,321
Freddie Mac Gold Pool G08721
3.00%		09/01/46		12,072,106		10,710,473
Freddie Mac Gold Pool G08722
3.50%		09/01/46		27,826,451		25,589,923
Freddie Mac Gold Pool G08726
3.00%		10/01/46		128,965,979		114,419,694
Freddie Mac Gold Pool G08727
3.50%		10/01/46		24,408,475		22,446,665
Freddie Mac Gold Pool G08732
3.00%		11/01/46		79,493,194		70,452,500
Freddie Mac Gold Pool G08741
3.00%		01/01/47		50,583,195		44,782,989
Freddie Mac Gold Pool G08742
3.50%		01/01/47		38,872,272		35,699,356
Freddie Mac Gold Pool G08747
3.00%		02/01/47		17,840,540		15,794,825
Freddie Mac Gold Pool G08757
3.50%		04/01/47		14,313,740		13,106,914
Freddie Mac Gold Pool G08758
4.00%		04/01/47		11,000		10,446
Freddie Mac Gold Pool G08762
4.00%		05/01/47		11,159,529		10,586,509
Freddie Mac Gold Pool G08779
3.50%		09/01/47		55,514		50,879
Freddie Mac Gold Pool G08784
3.50%		10/01/47		48,785		44,672
Freddie Mac Gold Pool G08792
3.50%		12/01/47		41,711		38,195



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08826
5.00%		06/01/48	$	7,519,364	$	7,435,121
Freddie Mac Gold Pool G08833
5.00%		07/01/48		4,969,455		4,913,780
Freddie Mac Gold Pool G08838
5.00%		09/01/48		2,621,710		2,595,644
Freddie Mac Gold Pool G08840
5.00%		08/01/48		717,417		707,405
Freddie Mac Gold Pool G08843
4.50%		10/01/48		5,845,845		5,658,530
Freddie Mac Gold Pool G08844
5.00%		10/01/48		6,698,014		6,622,973
Freddie Mac Gold Pool G08848
4.50%		11/01/48		1,067,011		1,032,914
Freddie Mac Gold Pool G08849
5.00%		11/01/48		2,591,643		2,563,560
Freddie Mac Gold Pool G12909
6.00%		11/01/22		7,136		7,139
Freddie Mac Gold Pool G16085
2.50%		02/01/32		2,730,103		2,539,054
Freddie Mac Gold Pool G16502
3.50%		05/01/33		48,654		46,237
Freddie Mac Gold Pool G16524
3.50%		05/01/33		18,951,615		18,081,436
Freddie Mac Gold Pool G16584
3.50%		08/01/33		2,743,886		2,607,608
Freddie Mac Gold Pool G16607
3.50%		09/01/33		27,735,516		26,559,659
Freddie Mac Gold Pool G16623
2.50%		09/01/32		21,401,079		19,904,690
Freddie Mac Gold Pool G16755
3.50%		02/01/34		26,310,539		24,996,809
Freddie Mac Gold Pool G16756
3.50%		01/01/34		2,561,929		2,453,315
Freddie Mac Gold Pool G18592
3.00%		03/01/31		19,061		18,111
Freddie Mac Gold Pool G18596
3.00%		04/01/31		22,215,338		20,903,276
Freddie Mac Gold Pool G18691
3.00%		06/01/33		8,044,071		7,557,421
Freddie Mac Gold Pool G18692
3.50%		06/01/33		11,010,452		10,460,890
Freddie Mac Gold Pool G18713
3.50%		11/01/33		12,809,635		12,169,430
Freddie Mac Gold Pool G18716
3.50%		12/01/33		37,418		35,831
Freddie Mac Gold Pool G60023
3.50%		04/01/45		9,836,777		9,113,782
Freddie Mac Gold Pool G60080
3.50%		06/01/45		101,583,607		93,958,574
Freddie Mac Gold Pool G60138
3.50%		08/01/45		82,237,753		76,193,348
Freddie Mac Gold Pool G60238
3.50%		10/01/45		31,329,261		28,997,216
Freddie Mac Gold Pool G60344
4.00%		12/01/45		75,719		71,888



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G67700
3.50%		08/01/46	$	23,876,126	$	22,113,790
Freddie Mac Gold Pool G67703
3.50%		04/01/47		239,688,952		221,772,407
Freddie Mac Gold Pool G67706
3.50%		12/01/47		121,576,223		112,184,563
Freddie Mac Gold Pool G67707
3.50%		01/01/48		314,588,736		290,264,845
Freddie Mac Gold Pool G67708
3.50%		03/01/48		275,951,070		252,684,965
Freddie Mac Gold Pool G67709
3.50%		03/01/48		205,933,439		188,570,690
Freddie Mac Gold Pool G67710
3.50%		03/01/48		172,129,218		157,616,586
Freddie Mac Gold Pool G67711
4.00%		03/01/48		51,062,510		48,303,723
Freddie Mac Gold Pool G67713
4.00%		06/01/48		454,911		431,274
Freddie Mac Gold Pool G67714
4.00%		07/01/48		75,476		71,351
Freddie Mac Gold Pool G67717
4.00%		11/01/48		63,048,784		59,603,001
Freddie Mac Gold Pool H00790
5.50%		05/01/37		4,148		4,228
Freddie Mac Gold Pool H05069
5.50%		05/01/37		65,488		66,747
Freddie Mac Gold Pool Q05804
4.00%		01/01/42		21,684,129		20,712,267
Freddie Mac Gold Pool U99097
3.50%		07/01/43		30,098,179		27,782,768
Freddie Mac Gold Pool V62078
3.50%		08/01/33		2,960,758		2,812,634
Freddie Mac Gold Pool V62129
3.50%		08/01/33		6,715,866		6,380,592
Freddie Mac Gold Pool V80356
3.50%		08/01/43		21,638,237		19,996,844
Freddie Mac Pool QD3162
2.00%		12/01/51		145,545,056		118,400,927
Freddie Mac Pool QE0312
2.00%		04/01/52		6,840,917		5,536,026
Freddie Mac Pool QE0521
2.50%		04/01/52		3,128,048		2,627,898
Freddie Mac Pool RA6507
2.00%		12/01/51		132,099,190		107,077,306
Freddie Mac Pool RB5077
2.00%		10/01/40		99,916,583		83,925,722
Freddie Mac Pool RE6029
3.00%		02/01/50		4,127,708		3,563,172
Freddie Mac Pool SD1178
2.00%		03/01/52		17,165,142		13,910,246
Freddie Mac Pool SD7502
3.50%		07/01/49		7,540,998		6,857,715
Freddie Mac Pool SD7503
3.50%		08/01/49		16,641,467		15,181,587
Freddie Mac Pool SD7511
3.50%		01/01/50		16,704,590		15,233,952



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool SD8182
2.00%		12/01/51		$	27,979,964	$	22,761,562
Freddie Mac Pool SD8188
2.00%		01/01/52			50,819,651		41,333,948
Freddie Mac Pool SD8189
2.50%		01/01/52			378,131,418		318,653,562
Freddie Mac Pool SD8193
2.00%		02/01/52			21,061,709		17,068,987
Freddie Mac Pool SD8199
2.00%		03/01/52			189,977,123		153,892,387
Freddie Mac Pool SD8205
2.50%		04/01/52			441,692,513		371,224,196
Freddie Mac Pool ZA5103
3.50%		12/01/47			130,990		119,819
Freddie Mac Pool ZA5128
3.50%		12/01/47			402,981		368,606
Freddie Mac Pool ZM1779
3.00%		09/01/46			13,204,327		11,703,757
Freddie Mac Pool ZM2285
3.00%		12/01/46			15,293,016		13,542,152
Freddie Mac Pool ZS4693
3.00%		12/01/46			15,342,589		13,586,050
Freddie Mac Pool ZS4768
3.50%		05/01/48			1,059,929		968,851
Freddie Mac Pool ZT0277
3.50%		10/01/46			1,662,515		1,534,724
Freddie Mac Pool ZT1403
3.50%		11/01/33			15,085,879		14,319,404
Freddie Mac REMICS,
Series 1980, Class Z
7.00%		07/15/27			29,477		30,293
Freddie Mac REMICS,
Series 1983, Class Z
6.50%		12/15/23			4,417		4,486
Freddie Mac REMICS,
Series 2098, Class TZ
6.00%		01/15/28			140,338		142,866
Freddie Mac REMICS,
Series 2174, Class PN
6.00%		07/15/29			8,010		8,145
Freddie Mac REMICS,
Series 2313, Class LA
6.50%		05/15/31			3,111		3,225
Freddie Mac REMICS,
Series 2433, Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
13.60%		02/15/32	²		4,748		5,419
Freddie Mac REMICS,
Series 2481, Class AW
6.50%		08/15/32			12,379		13,002
Freddie Mac REMICS,
Series 3019, Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
4.38%		08/15/35	²		676,124		95,336



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3063, Class YG
5.50%		11/15/35		$	1,749,209	$	1,790,158
Freddie Mac REMICS,
Series 3300, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
4.38%		08/15/35	²		298,930		28,569
Freddie Mac REMICS,
Series 3752, Class XL
4.50%		11/15/40			28,491,696		28,095,571
Freddie Mac REMICS,
Series 3891, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
3.13%		07/15/41	²		3,742,017		126,246
Freddie Mac REMICS,
Series 3904, Class JB
4.50%		08/15/41			6,431,446		6,343,380
Freddie Mac REMICS,
Series 3925, Class LB
4.50%		09/15/41			9,215,000		9,090,499
Freddie Mac REMICS,
Series 3928, Class JD
4.00%		09/15/41			20,815,252		20,156,736
Freddie Mac REMICS,
Series 4102, Class TC
2.50%		09/15/41			7,374,619		7,078,699
Freddie Mac REMICS,
Series 4161, Class BA
2.50%		12/15/41			11,629,671		11,049,119
Freddie Mac REMICS,
Series 4656, Class EZ
4.00%		02/15/47			193,715		180,052
Freddie Mac REMICS,
Series 4818, Class CA
3.00%		04/15/48			1,271,246		1,128,728
Freddie Mac REMICS,
Series 4846, Class PA
4.00%		06/15/47			197,242		198,665
Freddie Mac REMICS,
Series 4852, Class CA
4.00%		11/15/47			9,172,626		8,869,418
Freddie Mac REMICS,
Series 4860, Class BH
3.50%		10/15/48			2,912,127		2,761,605
Freddie Mac REMICS,
Series 4860, Class PA
3.50%		02/15/49			2,131,524		2,014,104
Freddie Mac REMICS,
Series 4879, Class BC
3.00%		04/15/49			737,404		667,602
Freddie Mac REMICS,
Series 4896, Class DA
3.00%		01/15/49			909,388		842,549



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 4937, Class MF
(LIBOR USD 1-Month plus 0.45%)
3.53%		12/25/49	²	$	6,030,048	$	5,970,111
Freddie Mac Strips,
Series 309, Class PO (PO)
0.00%		08/15/43	¹³		12,769,158		9,455,708
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
3.32%		11/15/43	²		2,165,884		2,157,658
Ginnie Mae (TBA)
2.50%		10/20/52			1,119,400,000		959,776,303
Ginnie Mae I Pool 782817
4.50%		11/15/39			9,910,808		9,747,843
Ginnie Mae I Pool AA5452
3.50%		07/15/42			78,248		73,000
Ginnie Mae II Pool 2631
7.00%		08/20/28			921		952
Ginnie Mae II Pool 3388
4.50%		05/20/33			1,900		1,848
Ginnie Mae II Pool 3427
4.50%		08/20/33			919		909
Ginnie Mae II Pool 3554
4.50%		05/20/34			812		804
Ginnie Mae II Pool 4058
5.00%		12/20/37			453		458
Ginnie Mae II Pool 4342
5.00%		01/20/39			690		695
Ginnie Mae II Pool 4520
5.00%		08/20/39			12,614		12,706
Ginnie Mae II Pool 5140
4.50%		08/20/41			27,611		27,309
Ginnie Mae II Pool 5175
4.50%		09/20/41			30,038		29,711
Ginnie Mae II Pool 5281
4.50%		01/20/42			8,787		8,691
Ginnie Mae II Pool 783591
4.50%		07/20/41			10,706		10,589
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.63%		07/20/34	²		7,018		6,917
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.63%		03/20/35	²		7,934		7,791
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.63%		08/20/35	²		10,558		10,403
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.75%		10/20/35	²		10,176		9,990



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.00%		05/20/25	²	$	1,205	$	1,204
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.50%		06/20/25	²		1,520		1,510
Ginnie Mae II Pool MA0627
4.50%		12/20/42			36,000		35,725
Ginnie Mae II Pool MA0701
4.50%		01/20/43			34,924		34,542
Ginnie Mae II Pool MA1157
3.50%		07/20/43			32,721		30,394
Ginnie Mae II Pool MA1997
4.50%		06/20/44			8,696		8,687
Ginnie Mae II Pool MA2374
5.00%		11/20/44			189,935		191,168
Ginnie Mae II Pool MA2756
4.50%		04/20/45			18,150		18,098
Ginnie Mae II Pool MA2828
4.50%		05/20/45			754,086		747,748
Ginnie Mae II Pool MA2894
4.50%		06/20/45			298,780		294,536
Ginnie Mae II Pool MA3036
4.50%		08/20/45			28,701		28,459
Ginnie Mae II Pool MA3309
3.00%		12/20/45			5,913		5,314
Ginnie Mae II Pool MA3456
4.50%		02/20/46			191,330		189,720
Ginnie Mae II Pool MA3521
3.50%		03/20/46			22,167,744		20,433,470
Ginnie Mae II Pool MA3524
5.00%		03/20/46			9,720		9,822
Ginnie Mae II Pool MA3597
3.50%		04/20/46			55,824,850		51,457,440
Ginnie Mae II Pool MA3600
5.00%		04/20/46			5,682,589		5,742,076
Ginnie Mae II Pool MA3662
3.00%		05/20/46			2,158,075		1,940,159
Ginnie Mae II Pool MA3663
3.50%		05/20/46			15,874,470		14,632,544
Ginnie Mae II Pool MA3665
4.50%		05/20/46			80,737		79,229
Ginnie Mae II Pool MA3666
5.00%		05/20/46			2,986,738		3,018,264
Ginnie Mae II Pool MA3738
4.50%		06/20/46			339,588		333,243
Ginnie Mae II Pool MA3739
5.00%		06/20/46			1,843,978		1,863,359
Ginnie Mae II Pool MA3805
4.50%		07/20/46			2,732,189		2,681,140
Ginnie Mae II Pool MA3806
5.00%		07/20/46			141,529		143,018
Ginnie Mae II Pool MA3873
3.00%		08/20/46			16,528,695		14,854,511



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA3876
4.50%		08/20/46	$	2,885,638	$	2,831,722
Ginnie Mae II Pool MA3877
5.00%		08/20/46		644,286		646,915
Ginnie Mae II Pool MA3937
3.50%		09/20/46		12,815,476		11,808,863
Ginnie Mae II Pool MA3939
4.50%		09/20/46		1,658,413		1,637,031
Ginnie Mae II Pool MA4003
3.00%		10/20/46		6,657,917		5,981,459
Ginnie Mae II Pool MA4006
4.50%		10/20/46		1,689,661		1,658,091
Ginnie Mae II Pool MA4007
5.00%		10/20/46		3,299,613		3,334,438
Ginnie Mae II Pool MA4069
3.50%		11/20/46		40,024,324		36,880,547
Ginnie Mae II Pool MA4071
4.50%		11/20/46		4,726,739		4,707,169
Ginnie Mae II Pool MA4072
5.00%		11/20/46		1,021,740		1,033,167
Ginnie Mae II Pool MA4126
3.00%		12/20/46		114,447,927		102,784,018
Ginnie Mae II Pool MA4127
3.50%		12/20/46		44,963,340		41,431,621
Ginnie Mae II Pool MA4129
4.50%		12/20/46		16,336,797		16,047,614
Ginnie Mae II Pool MA4196
3.50%		01/20/47		10,401		9,584
Ginnie Mae II Pool MA4198
4.50%		01/20/47		131,536		129,037
Ginnie Mae II Pool MA4199
5.00%		01/20/47		2,934,290		2,974,223
Ginnie Mae II Pool MA4264
4.50%		02/20/47		37,166,676		36,282,310
Ginnie Mae II Pool MA4265
5.00%		02/20/47		690,086		697,312
Ginnie Mae II Pool MA4324
5.00%		03/20/47		3,736,967		3,763,973
Ginnie Mae II Pool MA4382
3.50%		04/20/47		25,508,493		23,504,886
Ginnie Mae II Pool MA4384
4.50%		04/20/47		1,555,021		1,520,621
Ginnie Mae II Pool MA4385
5.00%		04/20/47		6,504,783		6,542,956
Ginnie Mae II Pool MA4453
4.50%		05/20/47		82,276,967		80,000,411
Ginnie Mae II Pool MA4454
5.00%		05/20/47		14,075,287		14,078,072
Ginnie Mae II Pool MA4510
3.50%		06/20/47		35,035		32,379
Ginnie Mae II Pool MA4511
4.00%		06/20/47		5,007,227		4,757,265
Ginnie Mae II Pool MA4512
4.50%		06/20/47		285,161		277,271
Ginnie Mae II Pool MA4513
5.00%		06/20/47		265,597		264,728



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	$	41,843,736	$	38,530,899
Ginnie Mae II Pool MA4588
4.50%		07/20/47		45,800		44,615
Ginnie Mae II Pool MA4589
5.00%		07/20/47		12,295,448		12,344,548
Ginnie Mae II Pool MA4652
3.50%		08/20/47		3,166,301		2,915,620
Ginnie Mae II Pool MA4655
5.00%		08/20/47		14,521,896		14,524,769
Ginnie Mae II Pool MA4719
3.50%		09/20/47		39,579,037		36,445,500
Ginnie Mae II Pool MA4720
4.00%		09/20/47		98,309		93,646
Ginnie Mae II Pool MA4722
5.00%		09/20/47		281,537		282,573
Ginnie Mae II Pool MA4781
5.00%		10/20/47		3,465,929		3,480,852
Ginnie Mae II Pool MA4836
3.00%		11/20/47		89,597,587		80,410,291
Ginnie Mae II Pool MA4837
3.50%		11/20/47		98,396,774		90,575,790
Ginnie Mae II Pool MA4838
4.00%		11/20/47		32,896,377		31,103,230
Ginnie Mae II Pool MA4840
5.00%		11/20/47		1,094,701		1,090,263
Ginnie Mae II Pool MA4900
3.50%		12/20/47		6,346,503		5,842,057
Ginnie Mae II Pool MA4901
4.00%		12/20/47		21,971,094		20,766,606
Ginnie Mae II Pool MA4961
3.00%		01/20/48		306,349		274,795
Ginnie Mae II Pool MA4963
4.00%		01/20/48		36,415,939		34,419,564
Ginnie Mae II Pool MA5078
4.00%		03/20/48		55,709		52,931
Ginnie Mae II Pool MA5137
4.00%		04/20/48		11,873,760		11,200,560
Ginnie Mae II Pool MA5399
4.50%		08/20/48		2,677,940		2,597,096
Ginnie Mae II Pool MA5466
4.00%		09/20/48		4,849,051		4,562,005
Ginnie Mae II Pool MA5467
4.50%		09/20/48		25,167		24,382
Ginnie Mae II Pool MA5528
4.00%		10/20/48		22,329,447		21,148,992
Ginnie Mae II Pool MA5530
5.00%		10/20/48		4,066,591		4,042,800
Ginnie Mae II Pool MA5651
4.00%		12/20/48		8,014		7,518
Ginnie Mae II Pool MA6030
3.50%		07/20/49		8,918,624		7,972,833
Ginnie Mae II Pool MA6080
3.00%		08/20/49		1,768		1,534
Ginnie Mae II Pool MA6081
3.50%		08/20/49		3,607,188		3,224,658



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA6209
3.00%		10/20/49		$	3,436,797	$	2,982,359
Ginnie Mae II Pool MA6210
3.50%		10/20/49			1,703,234		1,522,612
Ginnie Mae,
Series 2003-86, Class ZK
5.00%		10/20/33			3,649,882		3,674,688
Ginnie Mae,
Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
3.81%		06/16/37	²		6,985,310		847,303
Ginnie Mae,
Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
3.24%		03/20/36	²		6,064,422		243,001
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
3.79%		05/20/37	²		15,110,268		816,113
Ginnie Mae,
Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
3.47%		12/20/39	²		2,352,133		258,465
Ginnie Mae,
Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
3.86%		07/16/39	²		17,265		859
Ginnie Mae,
Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
3.36%		08/16/38	²		18,344		355
Ginnie Mae,
Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
3.46%		01/16/40	²		30,950		3,169
Ginnie Mae,
Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
2.86%		01/16/40	²		5,627,228		510,908
Ginnie Mae,
Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
3.56%		09/16/39	²		492,078		7,952
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%		11/16/41			77,001		14,279
Ginnie Mae,
Series 2014-108, Class PA
2.63%		12/20/39			5,426,530		5,088,273
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48			753,992		712,852
Ginnie Mae,
Series 2019-1, Class NP
3.50%		01/20/49			7,445,517		7,040,073



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2019-119, Class JE
3.00%		09/20/49	$	4,908,128	$	4,418,922
Ginnie Mae,
Series 2019-15, Class GT
3.50%		02/20/49		7,777,797		7,389,114
Ginnie Mae,
Series 2019-44, Class CA
3.50%		12/20/48		947,391		922,445
Ginnie Mae,
Series 2019-71, Class PT
3.00%		06/20/49		833,456		770,694
Ginnie Mae,
Series 2019-86, Class C
2.50%		03/20/49		10,739,019		9,479,143
Ginnie Mae,
Series 2019-90, Class HE
3.00%		07/20/49		8,486,761		7,833,640
UMBS (TBA)
2.00%		10/01/52		1,953,375,000		1,579,473,162
2.00%		11/01/52		1,870,450,000		1,512,239,971
2.50%		10/01/52		1,207,825,000		1,013,620,268
2.50%		11/01/52		2,304,100,000		1,933,269,943
3.00%		10/01/52		1,696,700,000		1,474,408,156
3.50%		10/01/52		546,700,000		491,449,694
4.00%		10/01/52		824,125,000		763,961,650
4.50%		10/01/52		2,120,475,000		2,018,148,235
5.00%		10/01/52		1,269,875,000		1,237,340,904

						22,878,006,294


Total Mortgage-Backed
(Cost $33,875,996,888)						31,337,674,465


MUNICIPAL BONDS — 0.66%*

California — 0.27%
California State University Revenue Bonds, University &
College Improvements, Series B
2.14%		11/01/33		14,500,000		10,841,634
2.27%		11/01/34		23,510,000		17,379,338
City of San Francisco Public Utilities Commission Water
Revenue Bonds, Series E
2.83%		11/01/41		16,645,000		11,831,262
Los Angeles Department of Airports Revenue Bonds, Port,
Airport and Marina Improvements, Series A
5.00%		05/15/44		185,000		185,407
Los Angeles Department of Water & Power Power System
Revenue Bonds, Electric Light & Power Improvements,
Series C
5.52%		07/01/27		12,625,000		12,998,456
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series KR
5.75%		07/01/34		18,205,000		18,668,385
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series RY
6.76%		07/01/34		12,165,000		13,439,684



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

California (continued)
Regents of the University of California Medical Center
Pooled Revenue Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.01%		05/15/50	$	57,945,000	$	38,476,431
3.26%		05/15/60		34,700,000		22,993,203
University of California, Taxable, College & University,
Revenue Bonds, University & College Improvements, Series
AP
3.93%		05/15/45		30,115,000		26,052,258

						172,866,058


Colorado — 0.04%
City & County of Denver Airport System Revenue Bonds,
Series C
2.39%		11/15/31		6,010,000		4,730,512
2.52%		11/15/32		8,450,000		6,565,986
2.62%		11/15/33		9,000,000		6,904,787
2.72%		11/15/34		5,000,000		3,795,986

						21,997,271


Michigan — 0.04%
University of Michigan Revenue Bonds, Taxable, Revenue
Bonds, University & College Improvements, Series A
3.50%		04/01/52		31,080,000		23,897,853


New Jersey — 0.00%
Jersey City Municipal Utilities Authority Revenue Bonds,
Water Utility Improvements, Series B
5.47%		05/15/27		295,000		300,369
New Jersey Turnpike Authority Revenue Bonds, Highway
Revenue, Series F
3.73%		01/01/36		300,000		255,914

						556,283


New York — 0.29%
City of New York General Obligation Bonds, Public
Improvements
4.77%		10/01/23		4,420,000		4,439,306
5.21%		10/01/31		6,420,000		6,422,337
City of New York General Obligation Bonds, Public
Improvements, Series A
3.00%		08/01/34		15,185,000		12,248,654
City of New York General Obligation Bonds, Public
Improvements, Series F
3.62%		04/01/31		3,145,000		2,807,208
Metropolitan Transportation Authority Revenue Bonds,
Transit Improvements, Series C2
5.18%		11/15/49		13,145,000		11,911,135
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
5.51%		08/01/37		23,125,000		23,657,705
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Series A2
2.15%		05/01/25		430,000		403,290
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Series B3
2.00%		08/01/35		4,055,000		2,777,599



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

New York (continued)
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Series D
2.40%		11/01/32	$	12,135,000	$	9,478,592
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33		3,090,000		2,294,024
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries
C5
3.90%		05/01/31		15,000,000		13,746,959
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries
FI
4.00%		08/01/33		6,450,000		5,776,662
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries
SU
3.88%		08/01/31		3,135,000		2,851,474
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, School Improvements, Series G-3
5.27%		05/01/27		13,135,000		13,513,958
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Series G
2.45%		11/01/34		3,000,000		2,233,582
New York State Dormitory Authority Revenue Bonds, Series
C
1.95%		03/15/29		7,895,000		6,606,260
New York State Dormitory Authority Revenue Bonds,
University & College Improvements
5.29%		03/15/33		44,990,000		45,420,307
5.43%		03/15/39		21,300,000		21,428,424
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series A
4.00%		03/15/47		155,000		132,317
New York State Urban Development Corp. Revenue Bonds,
Public Improvements
5.77%		03/15/39		150,000		155,254

						188,305,047


Texas — 0.02%
North Texas Tollway Authority Revenue Bonds
2.33%		01/01/33		765,000		595,275
2.43%		01/01/34		10,000,000		7,686,377
2.53%		01/01/35		8,000,000		6,086,681
Texas A&M University Revenue Bonds, University & College
Improvements, Series B
2.69%		05/15/25		350,000		335,398

						14,703,731


Total Municipal Bonds
(Cost $526,625,265)						422,326,243


U.S. TREASURY SECURITIES — 27.01%

U.S. Treasury Bonds — 6.88%
U.S. Treasury Bonds
2.00%		11/15/41		2,625,808,000		1,881,960,707



Issues	Maturity Date			Principal Amount		Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Bonds (continued)
2.38%		02/15/42		$	2,363,000,000	$	1,811,756,406
3.00%		08/15/52			649,956,000		561,196,384
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.13%		02/15/51	¹⁴		56,898,000		35,799,558
0.13%		02/15/52	¹⁴		55,819,357		35,374,892
0.63%		07/15/32	¹⁴		102,696,039		93,264,358

							4,419,352,305


U.S. Treasury Notes — 20.13%
U.S. Treasury Notes
2.75%		08/15/32			476,482,000		435,981,030
3.00%		07/31/27			1,568,307,000		1,476,367,355
3.13%		07/31/24			1,552,022,000		1,517,165,992
3.13%		08/31/27			500,000,000		479,687,500
3.25%		08/31/24			2,981,624,000		2,927,873,250
3.25%		06/30/27			556,104,000		536,097,291
3.88%		09/30/27			3,565,462,000		3,577,996,845
4.13%		09/30/24			1,989,036,000		1,990,084,898

							12,941,254,161


Total U.S. Treasury Securities
(Cost $18,384,261,202)							17,360,606,466


Total Bonds — 114.73%
(Cost $81,234,985,740)							73,735,483,017



Issues				Shares		Value

COMMON STOCK — 0.10%

Communications — 0.10%
Intelsat Emergence SA^3,5,6,11
(Luxembourg)					2,394,859		65,858,622


Electric — 0.00%
Homer City Holdings LLC^†,5,6,15					1,180,703		—


Total Common Stock
(Cost $145,415,216)							65,858,622


RIGHTS — 0.00%

Communications — 0.00%
Intelsat Jackson Holdings SA, Series
A^†,3,5,6,11
(Luxembourg)					250,803		—
Intelsat Jackson Holdings SA, Series
B^†,3,5,6,11
(Luxembourg)					250,803		—

							—


Total Rights
(Cost $–)							—



Issues	Maturity Date			Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 6.46%

Money Market Funds — 2.52%
Dreyfus Government Cash Management Fund
2.75%¹⁶					420,668,000		420,668,000



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
2.80%¹⁶				1,196,332,262	$	1,196,332,262

						1,617,000,262


U.S. Agency Discount Notes — 3.36%
Federal Home Loan Bank
1.42%¹⁷		10/26/22	$	250,000,000		249,563,475
1.50%¹⁷		11/03/22		250,000,000		249,324,902
1.43%¹⁷		11/15/22		250,000,000		249,064,065
1.30%¹⁷		11/16/22		150,000,000		149,425,404
3.07%¹⁷		02/28/23		25,000,000		24,625,004
3.33%¹⁷		03/06/23		150,000,000		147,636,953
3.94%¹⁷		04/13/23		20,000,000		19,588,827
1.04%¹⁷		06/14/24		746,595,000		704,970,350
1.20%¹⁷		12/23/24		173,195,000		161,424,967
1.61%¹⁷		09/04/24		218,955,000		207,180,669

						2,162,804,616


U.S. Treasury Bills — 0.58%
U.S. Treasury Bills
2.89%¹⁷		12/01/22		150,000,000		149,290,043
2.23%¹⁷		12/15/22		25,000,000		24,857,468
2.28%¹⁷		12/22/22		200,000,000		198,580,888

						372,728,399


Total Short-Term Investments
(Cost $4,219,892,107)						4,152,533,277


Total Investments - 121.29%
(Cost $85,600,293,063)						77,953,874,916


Net unrealized depreciation on unfunded commitments
-0.00%						(92,326	)
Liabilities in Excess of Other Assets - (21.29)%						(13,684,817,431	)

Net Assets - 100.00%					$	64,268,965,159

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign denominated security issued by foreign domiciled entity.

⁴	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $394,777,639, which is 0.61% of total net assets.

⁷	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $233,204, at an interest rate of 7.03% and a maturity of July 31, 2028. The investment is not accruing an unused commitment fee.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $260,722, at an interest rate of 13.27% and a maturity of September 07, 2023. The investment is not accruing an unused commitment fee.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $1,046,332, at an interest rate of 6.77% and a maturity of February 15, 2029. 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 $1,965,379, at an interest rate of 7.28% and a maturity of June 22, 2029. The investment is not accruing an unused commitment fee.

¹¹	Non-income producing security.

¹²	Security is currently in default with regard to scheduled interest or principal payments.

¹³	Zero coupon bond. The rate shown is the effective yield as of September 30, 2022.

¹⁴	Inflation protected security. Principal amount reflects original security face amount.

¹⁵	Affiliated investment.

¹⁶	Represents the current yield as of September 30, 2022.

¹⁷	Represents annualized yield at date of purchase.

^†	Fair valued security. The aggregate value of fair valued securities is $6,206,590, which is 0.01% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved by the Board of Trustees. 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): Bank Note

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PO): Principal Only

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 104.94%

ASSET-BACKED SECURITIES — 7.45%**

Canyon Capital CLO Ltd.,

Series 2021-1A, Class X

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.31%

04/15/34

^1,2,3

350,000

348,079

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

3.43%

04/25/35

371,037

369,739

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

4.05%

05/25/34

^1,2

108,687

108,582

LCM 29 Ltd.,

Series 29A, Class XR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.31%

04/15/31

^1,2,3

477,272

472,896

Navient Private Education Refi Loan Trust,

Series 2021-CA, Class A

1.06%

10/15/69

1,113,674

956,473

Nelnet Student Loan Trust,

Series 2012-5A, Class A

(LIBOR USD 1-Month plus 0.60%)

3.68%

10/27/36

^1,2

228,933

226,096

Octagon Investment Partners XIV Ltd.,

Series 2012-1A, Class AARR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

3.46%

07/15/29

^1,2,3

675,000

664,132

OHA Credit Funding 2 Ltd.,

Series 2019-2A, Class XR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.53%

04/21/34

^1,2,3

93,750

93,458

Palmer Square Loan Funding Ltd.,

Series 2020-1A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.78%

02/20/28

^1,2,3

391,058

386,884

Palmer Square Loan Funding Ltd.,

Series 2021-2A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.78%

05/20/29

^1,2,3

538,071

530,377

Progress Residential Trust,

Series 2019-SFR3, Class E

3.37%

09/17/36

325,000

309,856

Progress Residential Trust,

Series 2019-SFR4, Class G

3.93%

10/17/36

755,000

717,790

Progress Residential Trust,

Series 2020-SFR2, Class A

2.08%

06/17/37

884,000

810,328



Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

Santander Drive Auto Receivables Trust,
Series 2020-4, Class C
1.01%		01/15/26		$	718,876	$	710,624
Santander Drive Auto Receivables Trust,
Series 2021-1, Class D
1.13%		11/16/26			990,000		947,087
SLM Student Loan Trust,
Series 2003-14, Class A6
(LIBOR USD 3-Month plus 0.30%)
3.08%		07/25/25	²		48,303		48,229
SLM Student Loan Trust,
Series 2007-8, Class A4
(LIBOR USD 3-Month plus 0.47%)
3.25%		01/26/26	²		12,640		12,635
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
3.63%		06/25/43	²		100,409		97,420
Tricon American Homes Trust,
Series 2017-SFR2, Class A
2.93%		01/17/36	¹		1,023,598		999,335


Total Asset-Backed Securities
(Cost $9,126,716)							8,810,020


CORPORATES — 30.98%*

Banking — 9.72%
Bank of America Corp.
3.37%		01/23/26	⁴		1,485,000		1,406,580
Bank of America Corp.
(MTN)
1.32%		06/19/26	⁴		1,435,000		1,273,417
Credit Suisse Group AG
(Switzerland)
2.59%		09/11/25	^1,3,4		235,000		213,997
3.80%		06/09/23	³		580,000		569,945
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,4		715,000		652,965
HSBC Holdings PLC
(United Kingdom)
0.98%		05/24/25	^3,4		1,000,000		919,149
(LIBOR USD 3-Month plus 1.00%)
3.96%		05/18/24	^2,3		795,000		789,002
ING Groep NV
(Netherlands)
3.87%		03/28/26	^3,4		510,000		483,778
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	^3,4		125,000		106,436
2.91%		11/07/23	^3,4		1,345,000		1,341,783
Macquarie Group Ltd.
(Australia)
1.20%		10/14/25	^1,3,4		850,000		774,355
3.19%		11/28/23	^1,3,4		380,000		378,962
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	^3,4		1,600,000		1,590,158



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
4.80%		11/15/24	^3,4	$	425,000	$	419,281
Wells Fargo & Co.
2.19%		04/30/26	⁴		630,000		575,913

							11,495,721


Communications — 1.78%
Qwest Corp.
7.25%		09/15/25			400,000		410,000
SES SA
(Luxembourg)
3.60%		04/04/23	^1,3		600,000		592,925
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		925,000		912,243
5.15%		03/20/28	¹		200,000		195,876

							2,111,044


Consumer Discretionary — 0.62%
Imperial Brands Finance PLC
(United Kingdom)
6.13%		07/27/27	^1,3		135,000		133,100
Reynolds American, Inc.
4.85%		09/15/23			600,000		598,100

							731,200


Electric — 1.11%
Alliant Energy Finance LLC
3.75%		06/15/23	¹		725,000		716,065
American Electric Power Co., Inc.
2.03%		03/15/24			620,000		593,395

							1,309,460


Energy — 1.57%
Energy Transfer LP
5.95%		12/01/25			900,000		900,039
Southern Co. Gas Capital Corp.
3.88%		11/15/25			1,000,000		957,994

							1,858,033


Finance — 6.33%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.15%		02/15/24	³		510,000		490,179
Air Lease Corp.
2.25%		01/15/23			600,000		595,042
American Express Co.
2.25%		03/04/25			530,000		497,358
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		383,000		300,150
Capital One Financial Corp.
1.34%		12/06/24	⁴		610,000		579,984
Citigroup, Inc.
3.67%		07/24/28	⁴		1,190,000		1,071,776
Goldman Sachs Group, Inc. (The)
1.22%		12/06/23			1,045,000		1,002,569



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Intercontinental Exchange, Inc.
4.00%		09/15/27		$	390,000	$	370,029
JPMorgan Chase & Co.
2.95%		02/24/28	⁴		1,085,000		962,128
Morgan Stanley
2.48%		01/21/28	⁴		655,000		573,335
Morgan Stanley
(MTN)
0.53%		01/25/24	⁴		90,000		88,567
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4		680,000		672,534
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		100,000		99,430
UBS Group AG
(Switzerland)
4.70%		08/05/27	^1,3,4		200,000		189,994

							7,493,075


Health Care — 1.57%
Bayer U.S. Finance II LLC
3.88%		12/15/23	¹		1,140,000		1,119,194
Dignity Health
3.13%		11/01/22			150,000		149,859
Fresenius U.S. Finance II, Inc.
4.50%		01/15/23	¹		585,000		583,496

							1,852,549


Industrials — 1.88%
Amcor Flexibles North America, Inc.
4.00%		05/17/25			400,000		387,012
Berry Global, Inc.
0.95%		02/15/24			635,000		596,726
Boeing Co. (The)
1.43%		02/04/24			375,000		356,721
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
3.21%		05/05/26	²		142,000		134,960
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%		03/22/23	^1,3		750,000		746,057

							2,221,476


Information Technology — 1.68%
Netflix, Inc.
3.63%		06/15/25	¹		490,000		463,562
Skyworks Solutions, Inc.
0.90%		06/01/23			505,000		491,491
Take-Two Interactive Software, Inc.
3.30%		03/28/24			475,000		463,143
VMware, Inc.
1.00%		08/15/24			610,000		564,972

							1,983,168



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance — 1.57%
Athene Global Funding
2.51%		03/08/24	¹	$	135,000	$	128,872
(SOFR Index plus 0.70%)
3.44%		05/24/24	^1,2		500,000		490,763
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^1,4		670,000		670,084
Trinity Acquisition PLC
(United Kingdom)
4.63%		08/15/23	³		570,000		569,060

							1,858,779


Real Estate Investment Trust (REIT) — 2.84%
Digital Euro Finco LLC
2.63%		04/15/24			385,000		366,542
GLP Capital LP/GLP Financing II, Inc.
5.38%		11/01/23			1,000,000		984,000
Piedmont Operating Partnership LP
3.40%		06/01/23			665,000		658,068
SL Green Operating Partnership LP
3.25%		10/15/22			870,000		869,372
VICI Properties LP/VICI Note Co., Inc.
4.25%		12/01/26	¹		90,000		81,328
4.63%		06/15/25	¹		230,000		216,821
5.75%		02/01/27	¹		195,000		183,966

							3,360,097


Services — 0.31%
Global Payments, Inc.
4.95%		08/15/27			385,000		367,754


Total Corporates
(Cost $38,428,292)							36,642,356


MORTGAGE-BACKED — 41.57%**

Non-Agency Commercial Mortgage-Backed — 5.29%
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2017-C1, Class A2
3.19%		02/15/50			72,163		72,163
BSPRT Issuer Ltd.,
Series 2019-FL5, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.15%)
3.97%		05/15/29	^1,2,3		334,806		333,812
Citigroup Commercial Mortgage Trust,
Series 2016-C2, Class A2
1.85%		08/10/49			407,000		391,873
Commercial Mortgage Trust,
Series 2013-CR9, Class ASB
3.83%		07/10/45			85,534		84,934
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.37%		01/10/46	⁴		1,419,365		35
FS Rialto,
Series 2019-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.20%)
4.14%		12/16/36	^1,2,3		466,282		459,686

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Great Wolf Trust,

Series 2019-WOLF, Class A

(LIBOR USD 1-Month plus 1.03%)

3.85%

12/15/36

^1,2

850,000

828,252

Irvine Core Office Trust,

Series 2013-IRV, Class A1

2.07%

05/15/48

138,622

137,742

LoanCore Issuer Ltd.,

Series 2018-CRE1, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.13%)

3.95%

05/15/28

^1,2,3

29,710

29,656

MF1 Ltd.,

Series 2020-FL4, Class A

(CME Term SOFR 1-Month plus 1.81%)

4.66%

11/15/35

^1,2

351,201

350,100

Morgan Stanley Bank of America Merrill Lynch Trust,

Series 2013-C12, Class XA (IO)

0.71%

10/15/46

⁴

2,595,681

7,626

Morgan Stanley Bank of America Merrill Lynch Trust,

Series 2014-C15, Class A3

3.77%

04/15/47

32,726

32,318

MSCG Trust,

Series 2018-SELF, Class A

(LIBOR USD 1-Month plus 0.90%)

3.72%

10/15/37

^1,2

1,300,000

1,276,127

SREIT Trust,

Series 2021-MFP, Class A

(LIBOR USD 1-Month plus 0.73%)

3.55%

11/15/38

^1,2

1,130,000

1,090,159

VMC Finance LLC,

Series 2019-FL3, Class A

(LIBOR USD 1-Month plus 1.10%)

4.04%

09/15/36

^1,2

101,945

101,043

Wells Fargo Commercial Mortgage Trust,

Series 2017-SMP, Class A

(LIBOR USD 1-Month plus 0.88%)

3.69%

12/15/34

^1,2

1,100,000

1,061,962

6,257,488

Non-Agency Mortgage-Backed — 11.52%

Aames Mortgage Trust,

Series 2002-1, Class A3 (STEP-reset date 11/25/22)

7.40%

06/25/32

11,827

11,485

Adjustable Rate Mortgage Trust,

Series 2005-1, Class 1A1

3.27%

05/25/35

⁴

20,106

19,290

Ajax Mortgage Loan Trust,

Series 2019-F, Class A1 (STEP-reset date 10/25/22)

2.86%

07/25/59

161,923

154,317

Alternative Loan Trust,

Series 2004-J6, Class 2A1

6.50%

11/25/31

17,400

16,510

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-

Through Certificates,

Series 2005-R10, Class M3

(LIBOR USD 1-Month plus 0.68%)

3.76%

01/25/36

590,362

581,439

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-

Through Certificates,

Series 2005-R9, Class M1

(LIBOR USD 1-Month plus 0.71%)

3.79%

11/25/35

765,017

752,070

Banc of America Funding Trust,

Series 2003-2, Class 1A1

6.50%

06/25/32

2,639

2,550

Bear Stearns ALT-A Trust,

Series 2005-2, Class 1M1

(LIBOR USD 1-Month plus 0.75%)

3.83%

03/25/35

115,500

114,800

Bear Stearns Asset-Backed Securities Trust,

Series 2006-2, Class M5

(LIBOR USD 1-Month plus 2.03%)

5.11%

07/25/36

663,502

660,510

Citigroup Mortgage Loan Trust,

Series 2007-AMC4, Class A2D

(LIBOR USD 1-Month plus 0.27%)

3.35%

05/25/37

214,775

211,106

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-HYB1, Class A41

2.62%

02/25/34

⁴

121

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH4, Class M2

(LIBOR USD 1-Month plus 0.44%)

3.52%

11/25/36

616,071

605,296

Countrywide Asset-Backed Certificates Trust,

Series 2005-4, Class MV5

(LIBOR USD 1-Month plus 1.01%)

4.09%

10/25/35

739,554

729,690

Credit Suisse First Boston Mortgage Securities Corp.,

Series 2002-AR31, Class 4A2

2.61%

11/25/32

⁴

16,366

15,647

DSLA Mortgage Loan Trust,

Series 2004-AR3, Class 2A2A

(LIBOR USD 1-Month plus 0.74%)

3.73%

07/19/44

79,938

72,054

Encore Credit Receivables Trust,

Series 2005-3, Class M4

(LIBOR USD 1-Month plus 0.90%)

3.98%

10/25/35

1,041,959

1,020,664

First Franklin Mortgage Loan Trust,

Series 2005-FF8, Class M2

(LIBOR USD 1-Month plus 0.78%)

3.86%

09/25/35

629,129

624,101

First Franklin Mortgage Loan Trust,

Series 2006-FF11, Class 1A1

(LIBOR USD 1-Month plus 0.26%)

3.34%

08/25/36

504,122

501,663

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

First Franklin Mortgage Loan Trust,

Series 2006-FFH1, Class M1

(LIBOR USD 1-Month plus 0.56%)

3.64%

01/25/36

700,460

679,130

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 0.74%)

3.82%

10/25/35

24,000

24,001

GSAMP Trust,

Series 2005-HE5, Class M3

(LIBOR USD 1-Month plus 0.69%)

3.77%

11/25/35

278,562

275,598

GSAMP Trust,

Series 2006-HE3, Class A2C

(LIBOR USD 1-Month plus 0.32%)

3.40%

05/25/46

101,043

100,955

HomeBanc Mortgage Trust,

Series 2005-4, Class A1

(LIBOR USD 1-Month plus 0.54%)

3.62%

10/25/35

6,562

HSI Asset Securitization Corp. Trust,

Series 2006-OPT1, Class M1

(LIBOR USD 1-Month plus 0.54%)

3.62%

12/25/35

81,523

80,864

HSI Asset Securitization Corp. Trust,

Series 2006-OPT2, Class M2

(LIBOR USD 1-Month plus 0.59%)

3.67%

01/25/36

469,714

462,720

IndyMac Index Mortgage Loan Trust,

Series 2004-AR12, Class A1

(LIBOR USD 1-Month plus 0.78%)

3.86%

12/25/34

273,913

215,008

IndyMac Index Mortgage Loan Trust,

Series 2004-AR6, Class 6A1

3.52%

10/25/34

⁴

73,098

67,507

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH4, Class A5

(LIBOR USD 1-Month plus 0.24%)

3.32%

05/25/37

1,485,910

1,470,269

JPMorgan Mortgage Trust,

Series 2005-A2, Class 9A1

2.13%

04/25/35

⁴

68,969

67,432

MASTR Adjustable Rate Mortgages Trust,

Series 2004-12, Class 5A1

3.61%

10/25/34

⁴

24,858

24,288

MASTR Adjustable Rate Mortgages Trust,

Series 2007-1, Class I2A1

(LIBOR USD 1-Month plus 0.32%)

3.40%

01/25/47

412,189

406,396

MASTR Asset-Backed Securities Trust,

Series 2005-OPT1, Class M3

(LIBOR USD 1-Month plus 0.69%)

3.77%

03/25/35

48,872

48,850

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Seasoned Securitization Trust,

Series 2004-1, Class 4A1

3.74%

10/25/32

⁴

17,561

17,193

Merrill Lynch Mortgage Investors Trust,

Series 2003-A1, Class 2A

(LIBOR USD 12-Month plus 1.63%)

5.78%

12/25/32

131,920

125,240

MortgageIT Trust,

Series 2005-1, Class 1A1

(LIBOR USD 1-Month plus 0.64%)

3.72%

02/25/35

447,453

434,371

Nomura Resecuritization Trust,

Series 2014-8R, Class 2A1

3.00%

09/26/35

^1,4

78,263

77,579

Nomura Resecuritization Trust,

Series 2015-9R, Class 2A1 (STEP-reset date 11/28/22)

3.00%

05/25/36

143,586

142,065

Ownit Mortgage Loan Trust,

Series 2006-3, Class A2D

(LIBOR USD 1-Month plus 0.54%)

3.62%

03/25/37

643,612

621,672

Park Place Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2005-WHQ3, Class M4

(LIBOR USD 1-Month plus 0.95%)

4.03%

06/25/35

120,733

120,138

Residential Asset Mortgage Products Trust,

Series 2004-SL1, Class A2

8.50%

11/25/31

34,570

11,593

Residential Asset Securities Corp.,

Series 2006-KS3, Class M1

(LIBOR USD 1-Month plus 0.33%)

3.58%

04/25/36

351,836

348,986

Residential Asset Securities Corp.,

Series 2006-KS7, Class A4

(LIBOR USD 1-Month plus 0.24%)

3.32%

09/25/36

91,567

91,400

Residential Asset Securitization Trust,

Series 2004-IP2, Class 2A1

3.07%

12/25/34

⁴

55,089

48,298

Soundview Home Loan Trust,

Series 2005-OPT1, Class M2

(LIBOR USD 1-Month plus 0.68%)

3.76%

06/25/35

709,464

702,914

Soundview Home Loan Trust,

Series 2006-OPT3, Class 2A3

(LIBOR USD 1-Month plus 0.34%)

3.42%

06/25/36

65,121

65,066

Structured Asset Investment Loan Trust,

Series 2005-HE3, Class M1

(LIBOR USD 1-Month plus 0.72%)

3.80%

09/25/35

192,910

190,732

Structured Asset Securities Corp. Mortgage Loan Trust,

Series 2006-EQ1A, Class A1

(LIBOR USD 1-Month plus 0.14%)

3.22%

07/25/36

^1,2

151,887

150,744



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-OPT1, Class A1
(LIBOR USD 1-Month plus 0.18%)
3.26%		04/25/36	²	$	343,346	$	334,590
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^1,5,6		1,068,898		12,768
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus
1.40%)
2.50%		06/25/42	²		9,353		8,598
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
3.45%		06/25/33	⁴		29,071		27,405
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
3.58%		06/25/35	²		87,702		70,544

							13,624,790


U.S. Agency Commercial Mortgage-Backed — 3.05%
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ28, Class A1
1.77%		02/25/25			77,974		76,717
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ29, Class A1
0.74%		01/25/26			290,866		274,064
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ31, Class A1
0.57%		05/25/26			273,881		263,100
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ32, Class A1
0.52%		06/25/25			486,557		457,261
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ34, Class A1
0.68%		06/25/26			448,518		407,066
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS07, Class X (IO)
0.75%		09/25/25	⁴		3,383,647		77,839
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus
0.74%)
2.11%		05/25/44	²		122,832		122,881
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q010, Class APT1
2.94%		04/25/46	⁴		66,909		66,720



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2007-12, Class C
5.28%		04/16/41	⁴	$	53,390	$	53,280
Ginnie Mae,
Series 2008-92, Class E
5.56%		03/16/44	⁴		108,113		107,930
Ginnie Mae,
Series 2010-159, Class D
4.56%		09/16/44	⁴		238,254		231,983
Ginnie Mae,
Series 2011-165, Class IO (IO)
0.00%		10/16/51	⁴		2,427,442		24
Ginnie Mae,
Series 2011-58, Class C
3.87%		08/16/51	⁴		2,533		2,528
Ginnie Mae,
Series 2011-92, Class C
3.74%		04/16/52	⁴		1,028,254		973,282
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.34%		01/16/53	⁴		1,661,040		15,451
Ginnie Mae,
Series 2014-157, Class C
3.15%		10/16/54	⁴		485,195		474,944

							3,605,070


U.S. Agency Mortgage-Backed — 21.71%
Fannie Mae Pool 254548
5.50%		12/01/32			53,429		54,691
Fannie Mae Pool 555098
(LIBOR USD 12-Month plus 1.61%)
1.90%		11/01/32	²		5,895		5,789
Fannie Mae Pool 555424
5.50%		05/01/33			35,544		36,245
Fannie Mae Pool 567002
8.00%		05/01/23			150		150
Fannie Mae Pool 655133
7.00%		08/01/32			5,546		5,594
Fannie Mae Pool 655151
7.00%		08/01/32			4,583		4,594
Fannie Mae Pool 762525
6.50%		11/01/33			8,955		8,965
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
2.94%		04/01/34	²		57,228		56,480
Fannie Mae Pool AD0538
6.00%		05/01/24			5,211		5,238
Fannie Mae Pool AE0443
6.50%		10/01/39			40,926		43,024
Fannie Mae Pool AL0851
6.00%		10/01/40			35,975		37,550
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
7.11%		05/25/23	²		40		41

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

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

661

654

Fannie Mae REMICS,

Series 2001-60, Class OF

(LIBOR USD 1-Month plus 0.95%)

4.03%

10/25/31

51,344

51,920

Fannie Mae REMICS,

Series 2002-30, Class FB

(LIBOR USD 1-Month plus 1.00%)

4.08%

08/25/31

52,893

53,471

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

7,626

7,666

Fannie Mae REMICS,

Series 2004-60, Class FW

(LIBOR USD 1-Month plus 0.45%)

3.53%

04/25/34

143,507

143,673

Fannie Mae REMICS,

Series 2004-96, Class MT

(-17.50 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap)

7.00%

12/25/34

10,049

9,180

Fannie Mae REMICS,

Series 2005-73, Class DF

(LIBOR USD 1-Month plus 0.25%)

3.33%

08/25/35

84,773

84,082

Fannie Mae REMICS,

Series 2007-68, Class SC (IO)

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

3.62%

07/25/37

58,804

6,514

Fannie Mae REMICS,

Series 2010-109, Class PF

(LIBOR USD 1-Month plus 0.40%)

3.48%

10/25/40

36,103

35,913

Fannie Mae REMICS,

Series 2010-26, Class S (IO)

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

3.15%

11/25/36

212,006

22,177

Fannie Mae REMICS,

Series 2010-95, Class FB

(LIBOR USD 1-Month plus 0.40%)

3.48%

09/25/40

48,976

48,825

Fannie Mae REMICS,

Series 2011-47, Class GF

(LIBOR USD 1-Month plus 0.57%)

3.65%

06/25/41

708,061

707,081

Fannie Mae REMICS,

Series 2018-79, Class FA

(LIBOR USD 1-Month plus 0.25%)

3.33%

11/25/48

46,203

45,682

Fannie Mae REMICS,

Series 2019-79, Class FA

(LIBOR USD 1-Month plus 0.50%)

3.58%

01/25/50

101,494

101,230

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae REMICS,

Series 2020-10, Class FA

(LIBOR USD 1-Month plus 0.50%)

3.58%

03/25/50

312,421

311,065

Freddie Mac Pool SD8189

2.50%

01/01/52

687,382

579,261

Freddie Mac Pool SD8199

2.00%

03/01/52

776,272

628,825

Freddie Mac REMICS,

Series 1526, Class L

6.50%

06/15/23

132

133

Freddie Mac REMICS,

Series 2368, Class AF

(LIBOR USD 1-Month plus 0.95%)

3.77%

10/15/31

39,532

39,949

Freddie Mac REMICS,

Series 2733, Class FB

(LIBOR USD 1-Month plus 0.60%)

3.42%

10/15/33

347,586

350,161

Freddie Mac REMICS,

Series 2990, Class LE

(LIBOR USD 1-Month plus 0.32%)

3.14%

10/15/34

40,298

Freddie Mac REMICS,

Series 3085, Class FW

(LIBOR USD 1-Month plus 0.70%)

3.52%

08/15/35

222,896

223,736

Freddie Mac REMICS,

Series 3300, Class FA

(LIBOR USD 1-Month plus 0.30%)

3.12%

08/15/35

207,441

205,995

Freddie Mac REMICS,

Series 3325, Class NF

(LIBOR USD 1-Month plus 0.30%)

3.12%

08/15/35

41,672

41,381

Freddie Mac REMICS,

Series 3792, Class DF

(LIBOR USD 1-Month plus 0.40%)

3.22%

11/15/40

15,763

15,762

Freddie Mac REMICS,

Series 3895, Class BF

(LIBOR USD 1-Month plus 0.50%)

3.32%

07/15/41

139,072

138,644

Freddie Mac REMICS,

Series 3907, Class FM

(LIBOR USD 1-Month plus 0.35%)

3.17%

05/15/26

19,010

19,043

Freddie Mac REMICS,

Series 3946, Class FD

(LIBOR USD 1-Month plus 0.35%)

3.17%

04/15/41

34,674

34,672

Freddie Mac REMICS,

Series 3946, Class FG

(LIBOR USD 1-Month plus 0.35%)

3.17%

10/15/39

11,743

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac Strips,

Series 263, Class F5

(LIBOR USD 1-Month plus 0.50%)

3.32%

06/15/42

156,157

155,853

Ginnie Mae (TBA)

2.50%

10/20/52

4,225,000

3,622,525

Ginnie Mae II Pool 80546

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 1.50%)

1.75%

10/20/31

4,868

4,761

Ginnie Mae II Pool 80610

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 1.50%)

2.88%

06/20/32

66,855

66,358

Ginnie Mae II Pool 80614

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 1.50%)

1.63%

07/20/32

5,746

5,644

Ginnie Mae II Pool 80687

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 1.50%)

2.88%

04/20/33

50,056

49,440

Ginnie Mae II Pool 8339

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 1.50%)

1.75%

12/20/23

1,910

1,891

Ginnie Mae II Pool 8684

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 1.50%)

1.63%

08/20/25

8,052

7,998

Ginnie Mae II Pool MA0331

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 1.50%)

1.63%

08/20/42

40,120

39,813

Ginnie Mae,

Series 2002-72, Class FB

(LIBOR USD 1-Month plus 0.40%)

3.41%

10/20/32

44,278

44,307

Ginnie Mae,

Series 2002-72, Class FC

(LIBOR USD 1-Month plus 0.40%)

3.41%

10/20/32

65,315

65,358

Ginnie Mae,

Series 2004-2, Class FW

(LIBOR USD 1-Month plus 1.40%)

3.96%

01/16/34

297,829

301,356

Ginnie Mae,

Series 2009-92, Class FC

(LIBOR USD 1-Month plus 0.80%)

3.74%

10/16/39

68,444

69,617

Ginnie Mae,

Series 2010-19, Class FD

(LIBOR USD 1-Month plus 0.45%)

3.39%

07/16/39

22,417

22,513



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%		06/16/37	²	$	1,055,052	$	7,736
UMBS (TBA)
2.00%		10/01/52			825,000		667,084
2.00%		11/01/52			2,550,000		2,061,649
2.50%		10/01/52			2,300,000		1,930,186
2.50%		11/01/52			3,075,000		2,580,099
3.00%		10/01/52			4,675,000		4,062,508
3.50%		10/01/52			200,000		179,788
4.00%		10/01/52			825,000		764,773
4.50%		10/01/52			2,125,000		2,022,455
5.00%		10/01/52			2,800,000		2,728,264

							25,679,073


Total Mortgage-Backed
(Cost $51,017,979)							49,166,421


MUNICIPAL BONDS — 1.42%*

Colorado — 0.78%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%		11/15/23			965,000		926,804


Florida — 0.64%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
2.32%		10/01/22			755,000		755,000


Total Municipal Bonds
(Cost $1,720,000)							1,681,804


U.S. TREASURY SECURITIES — 23.52%

U.S. Agency Discount Notes — 1.94%
U.S. International Development Finance Corp.,
Series 2
1.49%		08/15/31			2,607,568		2,289,543


U.S. Treasury Notes — 21.58%
U.S. Treasury Notes
2.75%		08/15/32			190,000		173,850
3.13%		07/31/24			8,030,000		7,849,659
3.25%		08/31/24			3,165,000		3,107,944
3.50%		09/15/25			5,360,000		5,251,125
3.88%		09/30/27			2,570,000		2,579,035
4.13%		09/30/24			6,560,000		6,563,459

							25,525,072


Total U.S. Treasury Securities
(Cost $28,415,126)							27,814,615


Total Bonds — 104.94%
(Cost $128,708,113)							124,115,216



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 8.34%

Money Market Funds — 3.01%
Dreyfus Government Cash Management Fund
2.75%⁷				263,500	$	263,500
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
2.80%⁷				3,294,500		3,294,500

						3,558,000


U.S. Agency Discount Notes — 5.33%
Federal Home Loan Bank
1.04%⁸		06/14/24		$ 2,430,000		2,294,521
1.20%⁸		12/23/24		3,660,000		3,411,273
1.61%⁸		09/04/24		635,000		600,853

						6,306,647


Total Short-Term Investments
(Cost $10,283,000)						9,864,647


Total Investments - 113.28%
(Cost $138,991,113)						133,979,863


Liabilities in Excess of Other Assets - (13.28)%						(15,702,174	)


Net Assets - 100.00%					$	118,277,689

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign denominated security issued by foreign domiciled entity.

⁴	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $12,768, which is 0.01% of total net assets.

⁷	Represents the current yield as of September 30, 2022.

⁸	Represents annualized yield at date of purchase.

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

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

(CLO): Collateralized Loan Obligation

(EUR): Euro

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 115.66%

ASSET-BACKED SECURITIES — 15.02%**

321 Henderson Receivables VI LLC,

Series 2010-1A, Class B

9.31%

07/15/61

200,883

210,938

AGL CLO 13 Ltd.,

Series 2021-13A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

3.87%

10/20/34

^1,2,3

3,010,000

2,878,728

AIG CLO Ltd.,

Series 2018-1A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.41%

04/20/32

^1,2,3

15,800,000

15,081,890

Allegro CLO XII Ltd.,

Series 2020-1A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.43%

01/21/32

^1,2,3

5,270,000

5,038,278

AMSR Trust,

Series 2020-SFR1, Class G

4.31%

04/17/37

10,503,000

9,752,270

AMSR Trust,

Series 2020-SFR3, Class H

6.50%

09/17/37

6,000,000

5,633,789

AMSR Trust,

Series 2022-SFR3, Class E1

4.00%

10/17/39

10,000,000

8,423,109

Apidos CLO XXII,

Series 2015-22A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.06%)

3.77%

04/20/31

^1,2,3

5,000,000

4,881,560

Bayview Commercial Asset Trust,

Series 2004-2, Class A

(LIBOR USD 1-Month plus 0.65%)

3.73%

08/25/34

^1,2

502,182

499,725

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

3.64%

01/25/35

^1,2

310,528

309,088

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

3.53%

04/25/35

^1,2

507,220

479,716

Blackrock Rainier CLO VI Ltd.,

Series 2021-6A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

4.41%

04/20/33

^1,2,3

10,000,000

9,530,274

BlueMountain CLO XXX Ltd.,

Series 2020-30A, Class AR

(Cayman Islands)

(CME Term SOFR 3-Month plus 1.37%)

3.70%

04/15/35

^1,2,3

10,050,000

9,801,765



Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
4.21%		07/20/29	^1,2,3	$	5,650,000	$	5,367,613
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
3.80%		02/25/30	²		6,670		6,659
Carvana Auto Receivables Trust,
Series 2021-N3, Class R
0.00%		06/12/28	¹		19,250		6,060,758
Carvana Auto Receivables Trust,
Series 2021-N4, Class R
0.00%		09/12/28	¹		19,100		5,849,693
Carvana Auto Receivables Trust,
Series 2021-P4, Class R
0.00%		09/11/28	¹		14,200		6,448,729
Carvana Auto Receivables Trust,
Series 2022-N1, Class R
0.00%		12/11/28	¹		71,000		12,454,938
Carvana Auto Receivables Trust,
Series 2022-P2, Class R
1.00%		05/10/29	¹		54,850		9,571,047
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
3.91%		10/25/34	^1,2,3		1,000,000		961,500
CF Hippolyta Issuer, LLC,
Series 2020-1, Class B1
2.28%		07/15/60	¹		7,364,028		6,452,813
CIT Education Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
3.94%		06/25/42	^1,2		1,591,333		1,461,691
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.44%		03/15/52	^1,4		3,608,910		153,992
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.21%		10/15/52	^1,4		4,742,672		214,665
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%		03/15/50	¹		5,197,000		4,471,862
CoreVest American Finance Trust,
Series 2020-3, Class XA (IO)
3.85%		08/15/53	^1,4		13,860,161		1,308,165
CoreVest American Finance Trust,
Series 2020-4, Class XA (IO)
4.02%		12/15/52	^1,4		23,858,124		2,410,071
CoreVest American Finance Trust,
Series 2020-4, Class XB (IO)
2.97%		12/15/52	^1,4		12,500,000		1,417,442
CoreVest American Finance Trust,
Series 2021-3, Class XA (IO)
2.54%		10/15/54	^1,4		74,113,822		6,042,730

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

DataBank Issuer,

Series 2021-1A, Class A2

2.06%

02/27/51

9,565,000

8,210,227

Dryden 30 Senior Loan Fund,

Series 2013-30A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.82%)

3.73%

11/15/28

^1,2,3

6,413,821

6,323,065

Eaton Vance CLO Ltd.,

Series 2013-1A, Class A13R

(Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

3.76%

01/15/34

^1,2,3

8,000,000

7,731,200

ECMC Group Student Loan Trust,

Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.35%)

4.43%

07/26/66

^1,2

13,296,053

13,154,217

ECMC Group Student Loan Trust,

Series 2017-2A, Class A

(LIBOR USD 1-Month plus 1.05%)

4.13%

05/25/67

^1,2

12,462,599

12,277,872

Edsouth Indenture No. 3 LLC,

Series 2012-2, Class A

(LIBOR USD 1-Month plus 0.73%)

3.81%

04/25/39

^1,2

59,357

58,659

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

4.13%

03/25/36

36,840

36,799

EFS Volunteer No. 2 LLC,

Series 2012-1, Class A2

(LIBOR USD 1-Month plus 1.35%)

4.43%

03/25/36

^1,2

1,497,770

1,489,188

Flexential Issuer,

Series 2021-1A, Class C

6.93%

11/27/51

9,755,000

8,395,458

GBX Leasing,

Series 2022-1, Class A

2.87%

02/20/52

9,812,664

8,489,637

Global SC Finance II SRL,

Series 2014-1A, Class A2

(Barbados)

3.09%

07/17/29

^1,3

462,839

448,194

Goal Capital Funding Trust,

Series 2006-1, Class B

(LIBOR USD 3-Month plus 0.45%)

3.45%

08/25/42

286,197

261,832

GoldenTree Loan Management U.S. CLO 1 Ltd.,

Series 2021-9A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.50%)

4.21%

01/20/33

^1,2,3

3,905,000

3,677,456

Golub Capital Partners CLO 54M L.P,

Series 2021-54A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.53%)

4.36%

08/05/33

^1,2,3

10,150,000

9,736,793

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

J.G. Wentworth XXXVII LLC,

Series 2016-1A, Class A

3.41%

06/15/67

5,357,841

4,698,210

J.G. Wentworth XXXVIII LLC,

Series 2017-1A, Class A

3.99%

08/16/60

3,047,015

2,771,292

LCM XXI LP,

Series 21A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.88%)

3.59%

04/20/28

^1,2,3

1,125,454

1,115,493

Magnetite XXI Ltd.,

Series 2019-21A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.35%)

4.06%

04/20/34

^1,2,3

8,000,000

7,460,000

Nelnet Student Loan Trust,

Series 2006-2, Class B

(LIBOR USD 3-Month plus 0.20%)

2.98%

01/25/38

2,274,256

2,001,048

Nelnet Student Loan Trust,

Series 2012-5A, Class A

(LIBOR USD 1-Month plus 0.60%)

3.68%

10/27/36

^1,2

68,260

67,414

Nelnet Student Loan Trust,

Series 2014-4A, Class A2

(LIBOR USD 1-Month plus 0.95%)

4.03%

11/25/48

^1,2

1,865,000

1,832,817

Nelnet Student Loan Trust,

Series 2015-1A, Class A

(LIBOR USD 1-Month plus 0.59%)

3.67%

04/25/46

^1,2

1,418,665

1,396,382

Nelnet Student Loan Trust,

Series 2015-3A, Class A3

(LIBOR USD 1-Month plus 0.90%)

3.98%

06/25/54

^1,2

11,000,000

10,687,698

Octagon Investment Partners 46 Ltd.,

Series 2020-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

3.67%

07/15/36

^1,2,3

11,700,000

11,196,900

OHA Credit Funding 7 Ltd.,

Series 2020-7A, Class AR

(Cayman Islands)

(CME Term SOFR 3-Month plus 1.30%)

3.85%

02/24/37

^1,2,3

11,000,000

10,572,650

OHA Credit Funding 8 Ltd.,

Series 2021-8A, Class B1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.50%)

4.24%

01/18/34

^1,2,3

6,650,000

6,208,639

Palmer Square CLO Ltd.,

Series 2020-3A, Class A1AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.99%

11/15/31

^1,2,3

7,200,000

7,030,800

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Park Avenue Institutional Advisers CLO Ltd.,

Series 2021-1A, Class A2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

4.46%

01/20/34

^1,2,3

4,850,000

4,489,446

Progress Residential Trust,

Series 2019-SFR3, Class F

3.87%

09/17/36

8,200,000

7,828,232

Progress Residential Trust,

Series 2020-SFR1, Class H

5.27%

04/17/37

7,100,000

6,561,758

Progress Residential Trust,

Series 2021-SFR2, Class G

4.25%

04/19/38

7,956,000

6,856,956

Progress Residential,

Series 2021-SFR3, Class F

3.44%

05/17/26

3,700,000

3,211,085

Progress Residential,

Series 2021-SFR3, Class G

4.25%

05/17/26

15,752,000

13,665,052

Regata XII Funding Ltd.,

Series 2019-1A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

4.11%

10/15/32

^1,2,3

3,890,000

3,598,725

Sabey Data Center Issuer LLC,

Series 2020-1, Class A2

3.81%

04/20/45

7,905,000

7,507,950

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

05/10/37

^4,5,6

9,394,906

8,272,654

SLC Student Loan Trust,

Series 2004-1, Class B

(LIBOR USD 3-Month plus 0.29%)

3.20%

08/15/31

347,238

319,255

SLC Student Loan Trust,

Series 2008-1, Class A4A

(LIBOR USD 3-Month plus 1.60%)

4.89%

12/15/32

1,834,150

1,833,980

SLM Student Loan EDC Repackaging Trust,

Series 2013-M1, Class M1R

0.00%

10/28/29

6,250

3,095,870

SLM Student Loan Trust,

Series 2003-12, Class B

(LIBOR USD 3-Month plus 0.59%)

3.88%

12/15/68

3,290,043

3,185,086

SLM Student Loan Trust,

Series 2003-4, Class A5D

(LIBOR USD 3-Month plus 0.75%)

4.04%

03/15/33

^1,2

1,559,096

1,529,573

SLM Student Loan Trust,

Series 2003-7, Class B

(LIBOR USD 3-Month plus 0.57%)

3.86%

09/15/39

2,321,073

2,174,977

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust,

Series 2004-10, Class B

(LIBOR USD 3-Month plus 0.37%)

3.15%

01/25/40

7,007,775

6,439,427

SLM Student Loan Trust,

Series 2004-2, Class B

(LIBOR USD 3-Month plus 0.47%)

3.25%

07/25/39

410,562

380,657

SLM Student Loan Trust,

Series 2005-3, Class B

(LIBOR USD 3-Month plus 0.15%)

2.93%

04/25/40

2,254,497

2,048,519

SLM Student Loan Trust,

Series 2006-8, Class B

(LIBOR USD 3-Month plus 0.23%)

3.01%

01/25/41

2,751,266

2,535,828

SLM Student Loan Trust,

Series 2007-7, Class B

(LIBOR USD 3-Month plus 0.75%)

3.53%

10/27/70

2,195,000

1,902,291

SLM Student Loan Trust,

Series 2007-8, Class B

(LIBOR USD 3-Month plus 1.00%)

3.78%

04/27/83

4,281,635

4,191,841

SLM Student Loan Trust,

Series 2008-2, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

01/25/83

1,000,000

840,633

SLM Student Loan Trust,

Series 2008-3, Class B

(LIBOR USD 3-Month plus 1.20%)

3.98%

04/26/83

710,000

649,573

SLM Student Loan Trust,

Series 2008-4, Class A4

(LIBOR USD 3-Month plus 1.65%)

4.43%

07/25/22

873,006

873,168

SLM Student Loan Trust,

Series 2008-4, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

04/25/73

710,000

685,479

SLM Student Loan Trust,

Series 2008-5, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/25/73

7,315,000

7,146,848

SLM Student Loan Trust,

Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

3.88%

07/25/23

9,664,262

9,486,486

SLM Student Loan Trust,

Series 2008-6, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

710,000

666,322

SLM Student Loan Trust,

Series 2008-7, Class B

(LIBOR USD 3-Month plus 1.85%)

4.63%

07/26/83

820,000

724,447

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust,

Series 2008-8, Class B

(LIBOR USD 3-Month plus 2.25%)

5.03%

10/25/75

735,000

708,141

SLM Student Loan Trust,

Series 2008-9, Class B

(LIBOR USD 3-Month plus 2.25%)

5.03%

10/25/83

7,235,000

7,212,316

SLM Student Loan Trust,

Series 2009-3, Class A

(LIBOR USD 1-Month plus 0.75%)

3.83%

01/25/45

^1,2

5,768,128

5,606,499

SLM Student Loan Trust,

Series 2012-1, Class A3

(LIBOR USD 1-Month plus 0.95%)

4.03%

09/25/28

686,475

666,488

SLM Student Loan Trust,

Series 2012-2, Class A

(LIBOR USD 1-Month plus 0.70%)

3.78%

01/25/29

1,026,569

987,897

SLM Student Loan Trust,

Series 2012-7, Class B

(LIBOR USD 1-Month plus 1.80%)

4.88%

09/25/43

2,200,000

2,097,909

SLM Student Loan Trust,

Series 2013-4, Class A

(LIBOR USD 1-Month plus 0.55%)

3.63%

06/25/43

898,400

871,649

SLM Student Loan Trust,

Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.60%)

3.68%

02/26/29

884,166

842,015

Stack Infrastructure Issuer LLC,

Series 2019-2A, Class A2

3.08%

10/25/44

5,000,000

4,711,914

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/46

1,411,041

1,434,658

Structured Receivables Finance LLC,

Series 2010-B, Class B

7.97%

08/15/36

1,030,257

1,057,052

Student Loan Consolidation Center Student Loan Trust I,

Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^1,2

150,000

138,449

TAL Advantage VII LLC,

Series 2020-1A, Class A

2.05%

09/20/45

8,453,000

7,416,344

Textainer Marine Containers VII Ltd.,

Series 2020-2A, Class A

(Bermuda)

2.10%

09/20/45

^1,3

10,388,395

8,950,311

Textainer Marine Containers VII Ltd.,

Series 2020-3A, Class A

(Bermuda)

2.11%

09/20/45

^1,3

7,116,600

6,205,466

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

TIF Funding II LLC,

Series 2020-1A, Class A

2.09%

08/20/45

3,043,150

2,637,397

TIF Funding II, LLC,

Series 2021-1A, Class B

2.54%

02/20/46

3,439,792

2,846,941

TRESTLES CLO V Ltd.,

Series 2021-5A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

3.88%

10/20/34

^1,2,3

12,500,000

11,964,462

Triton Container Finance VIII, LLC,

Series 2021-1A, Class B

2.58%

03/20/46

2,674,213

2,302,326

Total Asset-Backed Securities

(Cost $506,706,217)

471,865,790

BANK LOANS — 3.84%*

Automotive — 0.01%

Clarios Global LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

04/30/26

507,125

481,241

Communications — 0.22%

CCI Buyer, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

6.80%

12/17/27

1,488,665

1,407,160

Connect Finco SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

12/11/26

1,678,197

1,567,025

CSC Holdings LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

5.32%

04/15/27

1,031,486

967,668

Term Loan, 1st Lien

(LIBOR plus 2.25%)

5.07%

07/17/25

530,959

508,064

EW Scripps Co.,

Term Loan B3, 1st Lien

(LIBOR plus 2.75%)

5.87%

01/07/28

239,819

232,518

SBA Senior Finance II LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

04/11/25

1,190,492

1,160,729

Zayo Group Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

6.12%

03/09/27

113,487

95,386

(SOFR plus 4.25%)

7.28%

03/09/27

1,052,965

920,423

6,858,973

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Discretionary — 0.40%

ADMI Corp.,

Term Loan B2, 1st Lien

(LIBOR plus 3.38%)

6.49%

12/23/27

1,477,500

1,307,595

Sunshine Luxembourg VII SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

10/01/26

3,447,500

3,216,724

Triton Water Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

03/31/28

5,752,194

5,190,550

Waystar technologies, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.12%

10/22/26

2,920,138

2,806,982

12,521,851

Electric — 0.03%

CommScope, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 3.25%)

6.37%

04/06/26

330,767

306,373

Homer City Generation LP,

Term Loan, 1st Lien

(LIBOR plus 11.00%)

15.00%

04/05/23

^2,5,6

555,047

333,029

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.74% - 4.87%

12/31/25

281,262

272,297

911,699

Entertainment — 0.10%

Cineworld Finance U.S., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.00%

02/28/25

1,924,096

829,507

Crown Finance U.S., Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 7.00%)

7.00%

05/23/24

1,141,689

1,360,751

Term Loan, 1st Lien

(SOFR plus 9.00%)

13.27%

09/07/23

^2,7

871,870

890,641

3,080,899

Finance — 0.20%

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

5.26%

12/01/27

1,974,874

1,928,465

DCG Acquisition Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

7.62%

09/30/26

368,440

344,797

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Finance (continued)

Deerfield Dakota Holding LLC,

Term Loan B, 1st Lien

(SOFR plus 3.75%)

6.78%

04/09/27

201,228

190,329

Mozart Borrower, LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.37%

10/23/28

497,500

458,399

Schweitzer-Mauduit International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.31%

05/06/29

3,579,688

3,351,482

6,273,472

Food — 0.10%

Hostess Brands LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.06% - 5.37%

08/03/25

772,335

748,802

Shearer’s Foods LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

09/23/27

2,456,250

2,288,476

3,037,278

Gaming — 0.09%

Golden Nugget, LLC,

Term Loan B, 1st Lien

(SOFR plus 4.00%)

7.03%

01/26/29

692,942

644,797

J&J Ventures Gaming LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

7.67%

04/26/28

1,021,687

973,162

Penn National Gaming, Inc.,

Term Loan B, 1st Lien

(SOFR plus 2.85%)

5.88%

05/03/29

612,378

590,179

Scientific Games International, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.00%)

5.91%

04/13/29

587,502

572,227

2,780,365

Health Care — 0.30%

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.76%

01/15/25

175,812

172,058

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(PRIME plus 1.50%)

6.39%

03/01/24

638,502

637,349

Genesee & Wyoming, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.00%)

5.67%

12/30/26

775,053

755,676

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

5.12%

11/15/27

2,568,651

2,443,969

Horizon Therapeutics USA, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

4.88%

03/15/28

792,514

763,044

Jazz Financing Lux SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

05/05/28

569,749

551,791

Pathway Vet Alliance LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

7.42%

03/31/27

1,128,270

999,930

Peraton Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.87%

02/01/28

264,840

251,697

PetVet Care Centers LLC,

Term Loan B3, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/14/25

172,561

160,266

Phoenix Newco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

6.07%

11/15/28

2,513,370

2,404,202

U.S. Renal Care, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.50%)

8.62%

06/26/26

248,125

180,316

9,320,298

Industrials — 0.85%

Arterrsa Services LLC,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

7.17%

03/06/25

1,975,000

1,618,512

AZZ, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.40%)

7.00%

05/11/29

298,880

291,782

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

4.18%

07/01/26

4,807,567

4,665,912

Clydesdale Acquisition Holdings, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.28%)

7.31%

04/13/29

1,496,250

1,415,625

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

8.12%

08/02/27

2,866,500

2,677,497

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

DTI Holdco, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.75%)

7.33%

04/26/29

244,981

233,235

II-VI, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

5.31%

07/02/29

457,174

443,841

Ingram Micro, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

06/30/28

663,874

648,107

Liqui-Box Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

7.57%

02/26/27

1,710,625

1,541,273

Michaels Cos., Inc. (The),

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.92%

04/15/28

3,456,250

2,799,562

Plaze, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.02%

08/03/26

1,702,712

1,566,495

(LIBOR plus 3.75%)

6.87%

08/03/26

3,438,750

3,163,650

Proampac PG Borrower LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.04% - 6.73%

03/11/25

3,201,413

3,014,930

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

5.92%

05/30/25

486,250

467,865

Term Loan F, 1st Lien

(LIBOR plus 2.25%)

5.92%

12/09/25

459,745

441,599

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

08/12/24

2,160,548

1,903,983

26,893,868

Information Technology — 0.56%

AppLovin Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

5.93%

08/15/25

3,737,054

3,628,062

AthenaHealth Group, Inc.,

Term Loan B, 1st Lien

(SOFR plus 3.50%)

6.58%

02/15/29

^2,8

427,091

383,741

Central Parent, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.50%)

6.61%

07/06/29

1,303,729

1,258,992

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

CT Technologies Intermediate Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

7.37%

12/16/25

935,750

864,984

EagleView Technology Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

08/14/25

5,131,696

4,765,268

Gainwell Acquisition Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

6.96%

10/01/27

2,226,015

2,126,957

Mitnick Corporate Purchaser, Inc.,

Term Loan, 1st Lien

(SOFR plus 4.85%)

7.39%

05/02/29

160,000

151,400

Prime Security Services Borrower LLC,

Term Loan B1, 1st Lien

(LIBOR plus 2.75%)

5.30%

09/23/26

608,453

590,723

Proofpoint, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.32%

08/31/28

149,623

140,874

RealPage, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.82%

04/24/28

159,597

149,933

Sophia LP,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

7.17%

10/07/27

195,919

188,817

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.14%

03/04/28

3,703,926

3,264,085

17,513,836

Insurance — 0.08%

Acrisure LLC,

Term Loan B1, 1st Lien

(LIBOR plus 3.50%)

6.62%

02/15/27

1,129,723

1,036,046

Asurion LLC,

Term Loan B10, 1st Lien

(SOFR plus 4.10%)

6.77%

08/21/28

1,000,000

855,625

Term Loan B8, 1st Lien

(LIBOR plus 3.25%)

6.07%

12/23/26

783,005

666,048

2,557,719

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Materials — 0.08%

Herens U.S. Holdco Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67%

07/03/28

2,814,535

2,527,452

Real Estate Investment Trust (REIT) — 0.19%

Aveanna Healthcare LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

6.80%

07/17/28

^2,9

3,012,028

2,434,095

Rent-A-Center, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

6.06%

02/17/28

3,910,450

3,578,062

6,012,157

Retail — 0.39%

American Airlines, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.75%)

7.46%

04/20/28

2,397,259

2,328,937

AmWINS Group, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

5.07%

02/19/28

3,881,421

3,722,419

BC ULC,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 1.75%)

4.87%

11/19/26

^2,3

699,516

670,598

BW Gas & Convenience Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

6.62%

03/31/28

3,555,000

3,395,025

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.87%

03/01/27

2,131,128

2,029,399

12,146,378

Services — 0.18%

Amentum Government Services Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

7.67% - 8.17%

01/29/27

3,316,498

3,178,316

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.31%

08/01/27

1,246,791

1,188,224

Element Materials Technology Group U.S. Holdings, Inc.,

Term Loan B, 1st Lien

(SOFR plus 4.25%)

7.28%

06/22/29

^2,10

269,491

254,332

Pre-Paid Legal Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

6.82%

12/15/28

587,066

558,998



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Services (continued)
Safe Fleet Holdings, LLC,
Term Loan, 1st Lien
(SOFR plus 3.85%)
6.93%		02/23/29	²	$	356,769	$	337,146
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
7.12%		11/02/27	²		172,572		163,656

							5,680,672


Transportation — 0.06%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
10.37%		09/01/27	²		2,155,000		1,993,375


Total Bank Loans
(Cost $129,271,422)							120,591,533


CORPORATES — 31.84%*
Automotive — 0.01%
Allison Transmission, Inc.
3.75%		01/30/31	¹		196,000		150,879


Banking — 6.59%
Bank of America Corp.
2.30%		07/21/32	⁴		6,275,000		4,706,235
2.57%		10/20/32	⁴		1,645,000		1,260,059
2.69%		04/22/32	⁴		1,240,000		967,093
2.97%		02/04/33	⁴		1,075,000		842,853
3.42%		12/20/28	⁴		1,955,000		1,734,815
Bank of America Corp.
(MTN)
1.32%		06/19/26	⁴		571,000		506,705
1.92%		10/24/31	⁴		4,565,000		3,380,975
2.09%		06/14/29	⁴		9,525,000		7,749,584
3.97%		03/05/29	⁴		790,000		714,544
(LIBOR USD 3-Month plus 0.65%)
3.73%		12/01/26	²		4,400,000		4,079,707
Bank of America Corp.,
Series N
1.66%		03/11/27	⁴		11,725,000		10,178,508
2.65%		03/11/32	⁴		1,200,000		935,951
Bank of America Corp.,
Series RR
4.38%^4,11					2,340,000		1,899,470
Comerica, Inc.
5.63%^4,11					2,145,000		2,108,986
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		6,855,000		5,564,435
3.09%		05/14/32	^1,3,4		7,920,000		5,573,184
3.75%		03/26/25	³		2,090,000		1,949,148
3.87%		01/12/29	^1,3,4		785,000		642,301
6.54%		08/12/33	^1,3,4		7,729,000		6,961,024



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
Credit Suisse Group AG
(EMTN)
(Switzerland)
0.63%		01/18/33	³	$	1,920,000	$	1,130,275
Discover Bank
(BKNT)
3.45%		07/27/26			2,811,000		2,562,428
DNB Bank ASA
(Norway)
1.13%		09/16/26	^1,3,4		165,000		144,259
1.61%		03/30/28	^1,3,4		6,000,000		5,002,940
Global Bank Corp.,
Series REGS
(Panama)
5.25%		04/16/29	^3,4		638,000		591,030
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	^3,4		2,340,000		1,958,267
1.75%		07/24/27	^3,4		1,425,000		1,285,008
2.01%		09/22/28	^3,4		290,000		233,418
2.10%		06/04/26	^3,4		3,620,000		3,244,814
2.21%		08/17/29	^3,4		14,100,000		10,972,731
2.80%		05/24/32	^3,4		2,150,000		1,582,831
3.97%		05/22/30	^3,4		1,765,000		1,493,201
4.29%		09/12/26	^3,4		390,000		367,836
4.76%		06/09/28	^3,4		2,260,000		2,075,961
JPMorgan Chase & Co.
0.97%		06/23/25	⁴		6,645,000		6,153,311
1.58%		04/22/27	⁴		10,020,000		8,675,719
2.01%		03/13/26	⁴		5,000,000		4,578,949
2.58%		04/22/32	⁴		1,895,000		1,469,402
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	^3,4		2,000,000		1,702,975
2.91%		11/07/23	^3,4		4,490,000		4,479,259
3.57%		11/07/28	^3,4		2,325,000		2,041,758
3.75%		03/18/28	^3,4		1,020,000		919,176
3.87%		07/09/25	^3,4		8,725,000		8,417,326
4.98%		08/11/33	^3,4		685,000		600,711
Macquarie Group Ltd.
(Australia)
1.20%		10/14/25	^1,3,4		2,000,000		1,822,012
2.69%		06/23/32	^1,3,4		2,290,000		1,742,012
2.87%		01/14/33	^1,3,4		7,960,000		5,994,169
3.19%		11/28/23	^1,3,4		3,241,000		3,232,144
4.44%		06/21/33	^1,3,4		170,000		145,988
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,4		7,587,000		7,377,408
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	^3,4		7,075,000		6,539,321
1.53%		08/21/26	^3,4		1,210,000		1,050,213
1.67%		06/14/27	^3,4		2,620,000		2,175,055
3.37%		01/05/24	^3,4		900,000		894,464
4.80%		11/15/24	^3,4		6,211,000		6,127,424



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	^1,3	$	3,415,000	$	3,388,261
U.S. Bancorp
3.70%^4,11					1,980,000		1,493,992
Wells Fargo & Co.
(MTN)
2.39%		06/02/28	⁴		3,665,000		3,147,569
2.57%		02/11/31	⁴		7,525,000		6,032,663
2.88%		10/30/30	⁴		3,848,000		3,169,525
3.35%		03/02/33	⁴		18,320,000		14,898,019
4.90%		07/25/33	⁴		4,740,000		4,360,270

							207,029,671


Communications — 3.87%
AT&T, Inc.
2.55%		12/01/33			2,346,000		1,741,875
3.80%		12/01/57			10,051,000		6,728,857
4.30%		12/15/42			2,300,000		1,817,529
4.50%		05/15/35			2,150,000		1,873,303
4.75%		05/15/46			1,875,000		1,577,190
5.25%		03/01/37			6,985,000		6,471,458
C&W Senior Financing DAC
(Ireland)
6.88%		09/15/27	^1,3		300,000		246,000
Cable One, Inc.
4.00%		11/15/30	¹		815,000		635,700
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.80%		03/01/50			3,685,000		2,692,077
5.38%		05/01/47			3,050,000		2,354,752
5.75%		04/01/48			2,347,000		1,898,535
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%		04/01/53			2,885,000		2,216,645
Cogent Communications Group, Inc.
7.00%		06/15/27	¹		1,025,000		972,199
CommScope, Inc.
6.00%		03/01/26	¹		2,187,000		2,017,070
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		8,511,000		1,704,753
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%		10/07/30	³		4,505,000		3,661,883
Gray Escrow II, Inc.
5.38%		11/15/31	¹		1,329,000		1,043,329
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	^1,3		7,112,000		6,053,615
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
8.50%		10/15/24	^{†,1,3,5,6,12,13}		7,892,000		—
9.75%		07/15/25	^{†,1,3,5,6,12,13}		6,820,000		—



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Level 3 Financing, Inc.
3.40%		03/01/27	¹	$	1,130,000	$	946,728
3.75%		07/15/29	¹		1,750,000		1,285,909
3.88%		11/15/29	¹		6,680,000		5,276,206
4.63%		09/15/27	¹		592,000		491,384
Lumen Technologies, Inc.
4.50%		01/15/29	¹		3,000,000		2,122,500
5.38%		06/15/29	¹		3,796,000		2,829,837
National CineMedia LLC
5.88%		04/15/28	¹		786,000		450,449
Netflix, Inc.
4.63%		05/15/29			3,910,000		3,590,586
Scripps Escrow, Inc.
5.88%		07/15/27	¹		2,082,000		1,821,750
SES GLOBAL Americas Holdings, Inc.
5.30%		03/25/44	¹		8,494,000		6,529,811
Sirius XM Radio, Inc.
3.88%		09/01/31	¹		545,000		423,857
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		9,715,625		9,581,635
5.15%		03/20/28	¹		12,400,000		12,144,348
Tencent Holdings Ltd.
(Cayman Islands)
3.84%		04/22/51	^1,3		3,585,000		2,426,538
Time Warner Cable LLC
5.50%		09/01/41			4,443,000		3,497,564
T-Mobile USA, Inc.
2.25%		02/15/26			2,557,000		2,291,822
2.55%		02/15/31			2,190,000		1,737,057
2.63%		02/15/29			565,000		466,908
3.88%		04/15/30			10,237,000		9,086,638
4.38%		04/15/40			2,000,000		1,633,597
Vodafone Group PLC
(United Kingdom)
4.25%		09/17/50	³		50,000		35,989
4.88%		06/19/49	³		1,328,000		1,047,584
5.25%		05/30/48	³		6,292,000		5,228,233
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/32	^1,3		1,232,000		942,165

							121,595,865


Consumer Discretionary — 1.70%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.70%		02/01/36			3,200,000		2,887,878
4.90%		02/01/46			3,921,000		3,416,890
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		3,585,000		3,440,717
5.15%		05/15/38	^1,3		1,500,000		1,295,213
BAT Capital Corp.
2.73%		03/25/31			915,000		677,391
4.54%		08/15/47			500,000		332,389
4.70%		04/02/27			1,390,000		1,297,029



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
5.65%		03/16/52		$	4,125,000	$	3,173,789
BAT International Finance PLC
(EMTN)
(United Kingdom)
2.25%		09/09/52	³		1,865,000		843,981
Becle, SAB de CV
(Mexico)
2.50%		10/14/31	^1,3		4,450,000		3,450,174
Constellation Brands, Inc.
4.35%		05/09/27			3,220,000		3,094,970
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/24	^1,3		1,500,000		1,433,878
3.50%		07/26/26	^1,3		2,520,000		2,284,774
4.25%		07/21/25	^1,3		1,880,000		1,806,902
Reynolds American, Inc.
5.85%		08/15/45			12,245,000		9,673,075
WarnerMedia Holdings, Inc.
4.28%		03/15/32	¹		5,000		4,120
5.05%		03/15/42	¹		7,970,000		5,974,358
5.14%		03/15/52	¹		11,287,000		8,216,083

							53,303,611


Consumer Products — 0.08%
Newell Brands, Inc.
4.10%		04/01/23			83,000		83,010
Spectrum Brands, Inc.
5.00%		10/01/29	¹		3,000,000		2,433,750

							2,516,760


Electric — 1.12%
Alliant Energy Finance, LLC
3.60%		03/01/32	¹		8,130,000		6,975,151
Cleco Power LLC
6.00%		12/01/40			825,000		816,684
Dominion Energy, Inc.
5.75%		10/01/54	⁴		2,515,000		2,343,253
Duke Energy Carolinas LLC
3.70%		12/01/47			1,810,000		1,356,369
Duke Energy Corp.
2.55%		06/15/31			3,750,000		2,941,682
3.85%		06/15/34			1,840,000		1,592,287
Eskom Holdings SOC Ltd.,
Series REGS
(South Africa)
7.13%		02/11/25	³		800,000		712,280
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		9,558,000		8,135,015
Metropolitan Edison Co.
4.00%		04/15/25	¹		2,625,000		2,496,789
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%		05/07/29	³		350,000		276,395
Pike Corp.
5.50%		09/01/28	¹		262,000		212,555



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
Public Service Co. of New Mexico
3.85%		08/01/25		$	5,565,000	$	5,191,583
Southwestern Electric Power Co.,
Series M
4.10%		09/15/28			2,190,000		2,023,404

							35,073,447


Energy — 2.46%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%		04/01/28	¹		1,750,000		1,542,608
Ecopetrol SA
(Colombia)
6.88%		04/29/30	³		1,575,000		1,330,875
Energy Transfer LP
4.40%		03/15/27			1,448,000		1,350,381
4.95%		06/15/28			375,000		349,939
5.00%		05/15/50			1,902,000		1,488,243
5.15%		03/15/45			1,901,000		1,513,377
5.40%		10/01/47			4,716,000		3,844,118
6.13%		12/15/45			500,000		439,140
Energy Transfer LP,
Series B
6.63%^4,11					3,889,000		2,853,547
Energy Transfer Operating LP
5.30%		04/15/47			1,765,000		1,418,352
6.25%		04/15/49			5,000		4,471
Enterprise Products Operating LLC
5.10%		02/15/45			823,000		705,670
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/34	^1,3		1,849,320		1,524,326
Global Partners LP/GLP Finance Corp.
6.88%		01/15/29			4,137,000		3,731,160
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%		04/14/33	³		336,000		221,592
4.75%		04/19/27	³		500,000		422,450
5.38%		04/24/30	³		2,129,000		1,692,689
KazTransGas JSC,
Series REGS
(Kazakhstan)
4.38%		09/26/27	³		650,000		541,166
Kinder Morgan Energy Partners LP
5.00%		08/15/42			1,090,000		889,621
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	¹		1,929,000		1,719,586
Pertamina Persero PT
(Indonesia)
3.10%		08/27/30	^1,3		4,579,000		3,754,780
Petroleos Mexicanos
(Mexico)
1.70%		12/20/22	³		7,500		7,457
6.35%		02/12/48	³		557,000		299,419
6.75%		09/21/47	³		3,815,000		2,134,111
6.95%		01/28/60	³		1,595,000		883,088



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
7.69%		01/23/50	³	$	4,993,000	$	3,065,752
Petronas Capital Ltd.
(Malaysia)
2.48%		01/28/32	^1,3		2,550,000		2,079,079
3.50%		04/21/30	^1,3		3,405,000		3,110,635
Plains All American Pipeline LP/PAA Finance Corp.
3.80%		09/15/30			2,000,000		1,679,186
4.50%		12/15/26			1,505,000		1,425,878
Qatar Energy
Series REGS
(Qatar)
2.25%		07/12/31	³		1,000,000		807,779
Rockies Express Pipeline LLC
4.80%		05/15/30	¹		2,000,000		1,657,300
4.95%		07/15/29	¹		1,000,000		860,080
6.88%		04/15/40	¹		3,175,000		2,597,753
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6,12,13		3,943,939		3,293,189
Saudi Arabian Oil Co.,
Series REGS
(Saudi Arabia)
1.63%		11/24/25	³		1,100,000		991,428
Southern Co. Gas Capital Corp.
3.25%		06/15/26			2,935,000		2,724,073
3.88%		11/15/25			2,410,000		2,308,766
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%		03/24/26	³		2,776,000		2,744,270
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			3,846,000		3,307,560
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^1,3		3,629,500		3,328,016
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^1,3		1,624,950		1,530,589
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		09/01/27			3,877,000		3,529,815
Venture Global Calcasieu Pass LLC
3.88%		11/01/33	¹		2,000,000		1,586,250

							77,289,564


Entertainment — 0.03%
Cinemark USA, Inc.
5.25%		07/15/28	¹		1,018,000		791,495


Finance — 5.16%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/26	³		3,125,000		2,643,155
3.00%		10/29/28	³		11,100,000		8,953,715
3.30%		01/30/32	³		1,000,000		754,873
3.88%		01/23/28	³		1,090,000		948,402
Air Lease Corp.
2.25%		01/15/23			2,000,000		1,983,473



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
3.88%		07/03/23		$	2,862,000	$	2,838,667
American Express Co.,
Series D
3.55%^4,11					2,350,000		1,807,953
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		5,278,000		4,136,265
2.88%		02/15/25	^1,3		4,555,000		4,130,865
3.95%		07/01/24	^1,3		1,035,000		980,593
Capital One Financial Corp.
1.88%		11/02/27	⁴		2,970,000		2,531,978
3.27%		03/01/30	⁴		2,675,000		2,247,072
Charles Schwab Corp. (The)
1.95%		12/01/31			3,338,000		2,550,869
5.00%^4,11					2,020,000		1,820,525
Citigroup, Inc.
1.46%		06/09/27	⁴		4,575,000		3,899,190
2.57%		06/03/31	⁴		6,390,000		5,035,079
2.67%		01/29/31	⁴		1,500,000		1,198,280
2.98%		11/05/30	⁴		2,380,000		1,960,744
3.06%		01/25/33	⁴		14,905,000		11,758,276
3.35%		04/24/25	⁴		530,000		511,455
Citigroup, Inc.,
Series VAR
3.07%		02/24/28	⁴		2,020,000		1,801,868
Goldman Sachs Group, Inc. (The)
0.93%		10/21/24	⁴		5,565,000		5,284,144
1.95%		10/21/27	⁴		6,295,000		5,388,008
2.38%		07/21/32	⁴		6,585,000		4,978,565
2.62%		04/22/32	⁴		3,225,000		2,503,568
2.65%		10/21/32	⁴		18,803,000		14,434,153
3.27%		09/29/25	⁴		1,000,000		953,007
Intercontinental Exchange, Inc.
4.60%		03/15/33			2,870,000		2,679,282
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/29	¹		2,249,000		1,931,419
JPMorgan Chase & Co.
1.05%		11/19/26	⁴		6,095,000		5,283,692
1.56%		12/10/25	⁴		2,290,000		2,100,454
2.55%		11/08/32	⁴		4,150,000		3,158,156
2.60%		02/24/26	⁴		2,215,000		2,061,323
2.95%		02/24/28	⁴		2,625,000		2,327,729
2.96%		01/25/33	⁴		2,015,000		1,588,726
Morgan Stanley
0.79%		05/30/25	⁴		11,395,000		10,494,862
2.48%		09/16/36	⁴		2,450,000		1,756,861
2.95%		05/07/32	⁴		3,250,000		2,822,659
5.30%		04/20/37	⁴		4,490,000		4,051,637
Morgan Stanley
(GMTN)
0.79%		01/22/25	⁴		5,688,000		5,331,582
2.24%		07/21/32	⁴		4,715,000		3,547,698
Morgan Stanley
(MTN)
1.93%		04/28/32	⁴		3,360,000		2,474,890
2.51%		10/20/32	⁴		850,000		651,154



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Nationwide Building Society
(United Kingdom)
2.97%		02/16/28	^1,3,4	$	3,890,000	$	3,351,800
3.77%		03/08/24	^1,3,4		2,570,000		2,541,784
4.36%		08/01/24	^1,3,4		2,490,000		2,455,075
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		455,000		452,407
5.50%		02/15/24	^1,3		861,000		843,467
UBS Group AG
(Switzerland)
4.70%		08/05/27	^1,3,4		1,935,000		1,838,191
Vonovia SE
(Georgia)
1.50%		06/14/41	³		600,000		321,745

							162,101,335


Food — 0.85%
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/26	¹		2,412,000		1,535,823
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.75%		12/01/31	^1,3		796,000		636,685
5.75%		04/01/33	^1,3		6,200,000		5,612,989
6.50%		12/01/52	^1,3		1,555,000		1,381,135
Kraft Heinz Foods Co.
3.88%		05/15/27			1,795,000		1,678,517
4.88%		10/01/49			424,000		351,187
5.20%		07/15/45			2,000,000		1,743,766
Pilgrim’s Pride Corp.
4.25%		04/15/31	¹		4,000,000		3,215,064
Post Holdings, Inc.
5.75%		03/01/27	¹		3,184,000		3,048,680
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/29	¹		1,914,000		1,566,249
Smithfield Foods, Inc.
2.63%		09/13/31	¹		4,690,000		3,473,743
TreeHouse Foods, Inc.
4.00%		09/01/28			3,041,000		2,428,831

							26,672,669


Gaming — 0.21%
Caesars Entertainment, Inc.
4.63%		10/15/29	¹		4,167,000		3,200,697
8.13%		07/01/27	¹		1,443,000		1,381,542
Penn Entertainment, Inc.
4.13%		07/01/29	¹		2,574,000		1,999,231

							6,581,470


Health Care — 3.03%
AbbVie, Inc.
4.40%		11/06/42			5,190,000		4,310,853
4.45%		05/14/46			1,000,000		818,896



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
American Medical Systems Europe BV
(Netherlands)
1.88%		03/08/34	³	$	2,000,000	$	1,559,597
Bayer U.S. Finance II LLC
4.38%		12/15/28	¹		9,281,000		8,501,223
4.63%		06/25/38	¹		2,775,000		2,316,268
4.88%		06/25/48	¹		4,415,000		3,618,129
5.50%		08/15/25	¹		2,000,000		1,976,784
Cano Health LLC
6.25%		10/01/28	¹		1,757,000		1,663,291
Centene Corp.
2.45%		07/15/28			11,838,000		9,645,684
4.25%		12/15/27			2,830,000		2,594,615
Cigna Corp.
3.88%		10/15/47			3,825,000		2,814,167
CommonSpirit Health
2.78%		10/01/30			3,680,000		2,945,140
3.91%		10/01/50			1,220,000		870,784
CVS Health Corp.
5.05%		03/25/48			5,417,000		4,774,069
5.13%		07/20/45			755,000		662,813
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			3,979,000		3,078,107
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3,12,13		485,000		27,888
Fresenius Finance Ireland PLC
(EMTN)
(Ireland)
0.88%		10/01/31	³		1,000,000		706,991
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^1,3		1,064,000		825,638
HCA, Inc.
3.63%		03/15/32	¹		6,060,000		4,921,415
4.13%		06/15/29			2,400,000		2,117,458
4.63%		03/15/52	¹		855,000		644,257
5.25%		04/15/25			877,000		860,021
5.25%		06/15/26			6,420,000		6,217,921
5.25%		06/15/49			4,670,000		3,808,693
5.38%		09/01/26			1,600,000		1,558,048
5.50%		06/15/47			3,785,000		3,236,894
Medline Borrower LP
3.88%		04/01/29	¹		3,120,000		2,508,620
Molina Healthcare, Inc.
3.88%		11/15/30	¹		3,128,000		2,629,600
4.38%		06/15/28	¹		4,777,000		4,316,907
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	¹		403,000		331,468
Prestige Brands, Inc.
3.75%		04/01/31	¹		4,025,000		3,131,269
Prime Healthcare Services, Inc.
7.25%		11/01/25	¹		4,031,000		3,638,179
Universal Health Services, Inc.
1.65%		09/01/26	¹		1,500,000		1,259,061



Issues	Maturity Date			Principal Amount		Value


CORPORATES (continued)

Health Care (continued)
2.65%		01/15/32	¹	$	590,000	$	418,949

							95,309,697


Industrials — 1.40%
Amcor Finance USA, Inc.
3.63%		04/28/26			2,125,000		1,984,929
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%		08/15/27	^1,3		6,722,000		4,307,928
Artera Services LLC
9.03%		12/04/25	¹		4,010,000		3,234,281
Berry Global, Inc.
1.50%		01/15/27	¹		1,595,000		1,324,243
1.57%		01/15/26			1,740,000		1,521,407
4.88%		07/15/26	¹		1,195,000		1,124,818
Boeing Co. (The)
1.43%		02/04/24			8,790,000		8,361,552
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
3.39%		08/15/36	²		10,370,000		8,542,193
General Electric Co.,
Series A (MTN)
6.75%		03/15/32			1,148,000		1,241,659
Heathrow Funding Ltd.
(EMTN)
(United Kingdom)
1.88%		03/14/34	³		4,170,000		2,892,227
OT Merger Corp.
7.88%		10/15/29	¹		7,500,000		4,973,993
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/26	^1,3		4,107,000		3,678,596
8.50%		08/15/27	^1,3		1,065,000		944,388

							44,132,214


Information Technology — 0.61%
Broadcom, Inc.
4.30%		11/15/32			2,270,000		1,917,555
Lenovo Group Ltd.
(Hong Kong)
6.54%		07/27/32	^1,3		2,485,000		2,302,617
NCR Corp.
5.13%		04/15/29	¹		5,879,000		4,412,530
NortonLifeLock, Inc.
6.75%		09/30/27	¹		3,315,000		3,195,203
Oracle Corp.
2.88%		03/25/31			1,245,000		981,510
3.80%		11/15/37			1,490,000		1,084,879
3.95%		03/25/51			5,901,000		3,922,456
4.00%		11/15/47			2,050,000		1,378,922

							19,195,672


Insurance — 1.28%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/29	¹		660,000		521,493
6.00%		08/01/29	¹		2,272,000		1,760,800



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%		10/15/27	¹	$	3,707,000	$	3,221,383
Aon Corp./Aon Global Holdings PLC
3.90%		02/28/52			4,065,000		3,012,301
Athene Global Funding
1.99%		08/19/28	¹		8,980,000		7,107,617
2.72%		01/07/29	¹		1,535,000		1,246,577
3.21%		03/08/27	¹		2,225,000		1,969,992
Brown & Brown, Inc.
4.95%		03/17/52			2,980,000		2,432,356
Farmers Exchange Capital
7.20%		07/15/48	¹		150,000		159,464
Farmers Exchange Capital II
6.15%		11/01/53	^1,4		2,500,000		2,392,245
Farmers Insurance Exchange
4.75%		11/01/57	^1,4		3,800,000		3,140,106
8.63%		05/01/24	¹		942,000		981,412
HUB International Ltd.
7.00%		05/01/26	¹		818,000		778,123
Nationwide Mutual Insurance Co.
5.58%		12/15/24	^1,4		3,825,000		3,825,481
Teachers Insurance & Annuity Association of America
3.30%		05/15/50	¹		1,645,000		1,126,154
4.27%		05/15/47	¹		480,000		392,735
4.38%		09/15/54	^1,4		6,470,000		6,203,835

							40,272,074


Materials — 0.32%
ASP Unifrax Holdings, Inc.
5.25%		09/30/28	¹		2,460,000		1,896,713
7.50%		09/30/29	¹		1,020,000		674,475
EverArc Escrow SARL
(Luxembourg)
5.00%		10/30/29	^1,3		5,432,000		4,396,118
Valvoline, Inc.
3.63%		06/15/31	¹		4,250,000		3,136,029

							10,103,335


Real Estate Investment Trust (REIT) — 1.68%
American Assets Trust LP
3.38%		02/01/31			4,005,000		3,194,969
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/32	³		1,800,000		1,350,014
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%		06/23/28	³		525,000		396,789
China Aoyuan Group Ltd.
(Cayman Islands)
6.35%		02/08/24	^3,5,6		2,660,000		179,550
China SCE Group Holdings Ltd.
(Cayman Islands)
7.00%		05/02/25	³		1,070,000		181,900



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
Digital Dutch Finco BV
(Netherlands)
1.00%		01/15/32	³	$	2,600,000	$	1,748,614
1.50%		03/15/30	³		2,140,000		1,611,798
GLP Capital LP/GLP Financing II, Inc.
5.30%		01/15/29			2,280,000		2,116,273
5.38%		04/15/26			6,060,000		5,804,268
5.75%		06/01/28			6,241,000		5,857,733
Healthcare Reality Holdings LP
2.00%		03/15/31			1,705,000		1,254,936
3.50%		08/01/26			2,257,000		2,097,530
Healthcare Realty Holdings LP
3.63%		01/15/28			625,000		551,244
3.88%		05/01/25			2,190,000		2,081,096
Hudson Pacific Properties LP
3.25%		01/15/30			675,000		537,444
3.95%		11/01/27			2,500,000		2,235,304
5.95%		02/15/28			650,000		623,604
Iron Mountain Information Management Services, Inc.
5.00%		07/15/32	¹		2,370,000		1,848,600
LXP Industrial Trust
2.70%		09/15/30			2,000,000		1,541,595
Piedmont Operating Partnership LP
3.40%		06/01/23			4,520,000		4,472,885
Prologis Euro Finance LLC
1.00%		02/06/35			930,000		610,478
SELP Finance SARL
(Luxembourg)
0.88%		05/27/29	³		2,095,000		1,515,255
Sunac China Holdings Ltd.
(Cayman Islands)
6.50%		01/10/25	^3,5,6		2,515,000		360,557
6.80%		10/20/24	^3,5,6,12,13		720,000		106,654
Times China Holdings Ltd.
(Cayman Islands)
6.75%		07/08/25	^3,5,6		1,040,000		130,888
VICI Properties LP
4.95%		02/15/30			185,000		167,883
5.13%		05/15/32			4,891,000		4,346,036
5.63%		05/15/52			713,000		591,084
VICI Properties LP/VICI Note Co., Inc.
3.75%		02/15/27	¹		235,000		206,800
3.88%		02/15/29	¹		2,060,000		1,732,470
4.50%		09/01/26	¹		1,150,000		1,058,110
4.50%		01/15/28	¹		765,000		679,739
4.63%		06/15/25	¹		320,000		301,664
5.75%		02/01/27	¹		1,400,000		1,320,785
Zhenro Properties Group Ltd.
(Cayman Islands)
6.63%		01/07/26	^3,5,6		1,810,000		73,925

							52,888,474


Retail — 0.54%
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/27	^1,3		1,935,000		1,732,265



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Retail (continued)
Asbury Automotive Group, Inc.
5.00%		02/15/32	¹	$	822,000	$	637,714
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/29	¹		3,939,000		3,289,065
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%		01/15/30	¹		6,069,000		4,627,612
FirstCash, Inc.
5.63%		01/01/30	¹		3,856,000		3,301,433
Michaels Cos., Inc. (The)
7.88%		05/01/29	¹		5,775,000		3,342,888

							16,930,977


Services — 0.83%
Adtalem Global Education, Inc.
5.50%		03/01/28	¹		2,013,000		1,818,810
DP World Crescent Ltd.
(Cayman Islands)
4.85%		09/26/28	^1,3		4,036,000		3,907,655
Global Payments, Inc.
5.40%		08/15/32			1,420,000		1,318,288
5.95%		08/15/52			2,390,000		2,102,955
Hertz Corp. (The)
4.63%		12/01/26	¹		2,000,000		1,630,000
5.00%		12/01/29	¹		5,980,000		4,477,525
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%		08/31/27	¹		648,000		545,957
S&P Global, Inc.
4.75%		08/01/28	¹		1,750,000		1,710,728
WASH Multifamily Acquisition, Inc.
5.75%		04/15/26	¹		3,520,000		3,251,727
Waste Pro USA, Inc.
5.50%		02/15/26	¹		6,169,000		5,426,592

							26,190,237


Transportation — 0.07%
American Airlines Pass-Through Trust,
Series 2015-2, Class AA
3.60%		09/22/27			1,962,780		1,763,065
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			492,743		488,100
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			53,158		51,739

							2,302,904

Total Corporates
(Cost $1,179,437,471)							1,000,432,350


FOREIGN GOVERNMENT OBLIGATIONS — 3.46%

Foreign Government Obligations — 3.46%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%		09/30/29	³		2,298,000		2,008,452



Issues	Maturity Date			Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)
Airport Authority
(Hong Kong)
3.25%		01/12/52	^1,3	$	4,105,000	$	2,984,992
Bahrain Government International Bond,
Series REGS
(Bahrain)
7.00%		01/26/26	³		500,000		501,804
Brazilian Government International Bond
(Brazil)
2.88%		06/06/25	³		3,600,000		3,384,360
3.88%		06/12/30	³		5,010,000		4,155,795
4.63%		01/13/28	³		830,000		773,643
CBB International Sukuk Co. 7 SPC,
Series REGS
(Bahrain)
6.88%		10/05/25	³		1,400,000		1,450,533
Chile Government International Bond
(Chile)
2.45%		01/31/31	³		3,044,000		2,448,594
2.55%		01/27/32	³		1,257,000		987,241
3.24%		02/06/28	³		913,000		823,936
Colombia Government International Bond
(Colombia)
3.00%		01/30/30	³		6,398,000		4,609,759
3.13%		04/15/31	³		1,000,000		697,300
4.50%		01/28/26	³		3,605,000		3,314,437
Dominican Republic International Bond
(Dominican Republic)
4.50%		01/30/30	^1,3		3,900,000		3,075,189
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%		09/23/32	³		1,530,000		1,148,999
Egypt Government International Bond
(Egypt)
7.60%		03/01/29	^1,3		700,000		492,158
Egypt Government International Bond,
Series REGS
(Egypt)
5.25%		10/06/25	³		1,700,000		1,328,125
Guatemala Government Bond
Series REGS
(Guam)
4.90%		06/01/30	³		550,000		481,708
Guatemala Government Bond,
Series REGS
(Guam)
3.70%		10/07/33	³		4,515,000		3,291,514
Hungary Government International Bond
(Hungary)
2.13%		09/22/31	^1,3		4,200,000		2,900,121
Indonesia Government International Bond
(Indonesia)
2.85%		02/14/30	³		3,600,000		3,089,999



Issues	Maturity Date			Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)
Mexico Government International Bond
(Mexico)
2.66%		05/24/31	³	$	9,531,000	$	7,341,729
3.75%		01/11/28	³		5,025,000		4,628,025
Oman Government International Bond,
Series REGS
(Oman)
5.63%		01/17/28	³		4,640,000		4,331,904
Panama Government International Bond
(Panama)
2.25%		09/29/32	³		3,000,000		2,107,822
3.16%		01/23/30	³		6,131,000		5,012,562
Paraguay Government International Bond
(Paraguay)
2.74%		01/29/33	^1,3		3,926,000		2,838,533
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%		06/23/30	^1,3		2,100,000		1,777,199
Peruvian Government International Bond
(Peru)
1.86%		12/01/32	³		1,000,000		704,400
2.78%		01/23/31	³		1,160,000		921,208
2.84%		06/20/30	³		4,025,000		3,310,965
4.13%		08/25/27	³		525,000		497,700
Philippine Government International Bond
(Philippines)
1.65%		06/10/31	³		1,241,000		952,468
1.95%		01/06/32	³		930,000		720,750
2.46%		05/05/30	³		3,534,000		2,968,560
Qatar Government International Bond,
Series REGS
(Qatar)
3.75%		04/16/30	³		1,640,000		1,543,896
4.50%		04/23/28	³		5,226,000		5,168,943
Republic of South Africa Government International Bond
(South Africa)
4.30%		10/12/28	³		3,607,000		3,012,567
4.85%		09/30/29	³		2,955,000		2,442,514
5.88%		04/20/32	³		1,600,000		1,324,800
Romanian Government International Bond,
Series REGS
(Romania)
3.00%		02/14/31	³		4,400,000		3,153,480
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%		10/26/26	³		1,600,000		1,521,280
3.25%		10/22/30	³		2,220,000		2,000,231
3.63%		03/04/28	³		4,175,000		3,955,704
Uruguay Government International Bond
(Uruguay)
4.38%		01/23/31	³		2,788,717		2,681,351


Total Foreign Government Obligations
(Cost $131,755,384)							108,867,250

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED — 61.13%**

Non-Agency Commercial Mortgage-Backed — 9.21%

1345 Avenue of the Americas & Park Avenue Plaza Trust,

Series 2005-1, Class A3

5.28%

08/10/35

7,801,704

7,552,739

A10 Bridge Asset Financing,

Series 2021-D, Class A1FL

(SOFR30A plus 1.45%)

3.74%

10/01/38

^1,2

5,681,927

5,488,799

ACRES Commercial Realty Ltd.,

Series 2021-FL1, Class AS

(Cayman Islands)

(LIBOR USD 1-Month plus 1.60%)

4.54%

06/15/36

^1,2,3

9,831,000

9,510,309

AREIT Trust,

Series 2020-CRE4, Class B

(Cayman Islands)

(SOFR30A plus 4.26%)

6.55%

04/15/37

^1,2,3

9,450,000

9,220,097

Banc of America Merrill Lynch Commercial Mortgage Trust,

Series 2018-PARK, Class A

4.23%

08/10/38

^1,4

7,985,000

7,300,765

Banc of America Merrill Lynch Commercial Mortgage Trust,

Series 2020-BHP3, Class A

(LIBOR USD 1-Month plus 1.90%)

4.72%

03/15/37

^1,2

8,585,000

8,517,110

Banc of America Merrill Lynch Commercial Mortgage Trust,

Series 2020-BOC, Class A

2.63%

01/15/32

5,000,000

4,321,015

Banc of America Merrill Lynch Commercial Mortgage Trust,

Series 2020-BOC, Class X (IO)

0.57%

01/15/32

^1,4

98,610,000

1,653,635

BDS Ltd.,

Series 2020-FL6, Class D

(Cayman Islands)

(SOFR30A plus 2.86%)

5.15%

09/15/35

^1,2,3

7,801,000

7,576,899

BFLD Trust,

Series 2021-FPM, Class A

(LIBOR USD 1-Month plus 1.60%)

4.42%

06/15/38

^1,2

7,182,000

6,941,028

Blackstone Industrial Portfolio - Proj Foxtrot

2.23%

04/09/24

^4,5,6

3,250,000

3,147,950

BX Commercial Mortgage Trust,

Series 2021-XL2, Class J

(LIBOR USD 1-Month plus 3.89%)

6.71%

10/15/38

^1,2

10,641,467

9,880,538

BX Trust,

Series 2019-OC11, Class A

3.20%

12/09/41

7,060,000

5,900,731

CALI Mortgage Trust,

Series 2019-101C, Class A

3.96%

03/10/39

2,020,000

1,787,677

CAMB Commercial Mortgage Trust,

Series 2019-LIFE, Class F

(LIBOR USD 1-Month plus 2.55%)

5.37%

12/15/37

^1,2

9,700,000

9,073,828



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class G
(LIBOR USD 1-Month plus 3.25%)
6.07%		12/15/37	^1,2	$	8,503,000	$	8,151,340
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.50%		08/10/49	⁴		60,343,123		2,308,360
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.46%		02/10/48	⁴		60,195,366		1,397,014
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.70%		10/15/45	⁴		16,588,367		742
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.50%		12/10/45	⁴		29,621,656		1,025
Commercial Mortgage Trust,
Series 2013-CR13, Class XA (IO)
0.89%		11/10/46	⁴		59,314,373		367,903
Commercial Mortgage Trust,
Series 2014-CR16, Class XA (IO)
1.10%		04/10/47	⁴		99,767,041		1,049,035
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.72%		02/10/37	^1,4		68,872,262		846,633
Credit Suisse Mortgage Capital Trust,
Series 2020-TMIC, Class A
(LIBOR USD 1-Month plus 3.00%)
5.82%		12/15/35	^1,2		11,515,000		11,382,594
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.71%		06/15/52	⁴		90,920,761		6,971,108
CSMC,
Series 2019-RIO, Class A
(LIBOR USD 1-Month plus 3.02%)
5.84%		12/15/22	^1,2		7,203,762		7,193,956
CSMC,
Series 2021-BPNY, Class A
(LIBOR USD 1-Month plus 3.71%)
6.53%		08/15/23	^1,2		12,734,000		12,203,456
DBJPM Mortgage Trust,
Series 2016-SFC, Class A
2.83%		08/10/36	¹		4,000,000		3,522,390
Grace Trust,
Series 2020-GRCE, Class A
2.35%		12/10/40	¹		8,000,000		6,178,326
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.45%		02/10/37	^1,4		40,999,000		300,916
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.18%		04/10/47	⁴		55,848,695		582,982
GSCG Trust,
Series 2019-600C, Class G
4.12%		09/06/34	^1,4		9,212,000		7,889,938

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Hudson Yards Mortgage Trust,

Series 2019-55HY, Class A

3.04%

12/10/41

^1,4

6,555,000

5,514,740

Hudson Yards Mortgage Trust,

Series 2019-55HY, Class F

3.04%

12/10/41

^1,4

3,131,000

2,232,115

ILPT Commercial Mortgage Trust,

Series 2022-LPFX, Class A

3.38%

03/15/32

11,770,000

9,867,189

JPMorgan Chase Commercial Mortgage Securities Trust,

Series 2019-OSB, Class A

3.40%

06/05/39

8,000,000

6,917,735

JPMorgan Chase Commercial Mortgage Securities Trust,

Series 2022-NLP, Class H

(CME Term SOFR 1-Month plus 5.01%)

7.86%

04/15/37

^1,2

5,450,000

5,114,375

KKR Industrial Portfolio Trust,

Series 2021-KDIP, Class E

(LIBOR USD 1-Month plus 1.55%)

4.37%

12/15/37

^1,2

5,187,750

4,882,754

KREF Ltd.,

Series 2021-FL2, Class AS

(Cayman Islands)

(LIBOR USD 1-Month plus 1.30%)

4.24%

02/15/39

^1,2,3

6,900,000

6,604,020

Life Mortgage Trust,

Series 2021-BMR, Class G

(LIBOR USD 1-Month plus 2.95%)

5.77%

03/15/38

^1,2

10,535,474

9,616,803

M360 LLC,

Series 2019-CRE2, Class A

(Cayman Islands)

(CME Term SOFR 1-Month plus 1.51%)

4.36%

09/15/34

^1,2,3

93,280

93,270

Med Trust,

Series 2021-MDLN, Class F

(LIBOR USD 1-Month plus 4.00%)

6.82%

11/15/38

^1,2

4,000,000

3,749,153

MF1 Ltd.,

Series 2020-FL4, Class B

(CME Term SOFR 1-Month plus 2.86%)

5.71%

11/15/35

^1,2

11,579,000

11,500,497

MF1 Ltd.,

Series 2020-FL4, Class D

(CME Term SOFR 1-Month plus 4.21%)

7.06%

11/15/35

^1,2

4,850,000

4,779,453

MF1 Ltd.,

Series 2021-FL6, Class AS

(Cayman Islands)

(LIBOR USD 1-Month plus 1.45%)

4.39%

07/16/36

^1,2,3

6,684,000

6,482,829

MKT Mortgage Trust,

Series 2020-525M, Class XA (IO)

0.29%

02/12/40

^1,4

147,585,000

1,983,934



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.14%		04/15/48	⁴	$	68,553,233	$	1,197,022
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.84%		05/15/48	⁴		106,298,460		1,664,506
Morgan Stanley Capital I Trust,
Series 2018-MP, Class A
4.42%		07/11/40	^1,4		4,000,000		3,552,456
MSCG Trust,
Series 2018-SELF, Class E
(LIBOR USD 1-Month plus 2.15%)
4.97%		10/15/37	^1,2		5,061,000		4,796,759
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.46%		01/15/43	^1,4		1,095,000		891,321
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%		01/05/43	^1,4		1,840,000		1,350,906
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.53%		01/05/43	^1,4		10,000,000		6,400,724
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class D
4.53%		01/05/43	^1,4		13,330,000		7,732,996
VMC Finance LLC,
Series 2021-HT1, Class B
(LIBOR USD 1-Month plus 4.50%)
7.49%		01/18/37	^1,2		10,000,000		9,620,185
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.24%		08/15/50	⁴		40,454,439		531,318
Wells Fargo Commercial Mortgage Trust,
Series 2016-C33, Class XA (IO)
1.75%		03/15/59	⁴		78,425,963		3,360,121
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.57%		12/15/45	^1,4		27,461,191		961
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.78%		06/15/46	⁴		59,020,317		107,804
WF-RBS Commercial Mortgage Trust,
Series 2014-C23, Class XA (IO)
0.70%		10/15/57	⁴		75,660,828		651,493

							289,418,277


Non-Agency Mortgage-Backed — 31.51%
Accredited Mortgage Loan Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.28%)
1.02%		04/25/36	²		380,999		378,851
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.30%)
3.38%		06/25/36	²		4,748,292		3,591,918

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

ACE Securities Corp. Home Equity Loan Trust,

Series 2006-NC3, Class A2C

(LIBOR USD 1-Month plus 0.16%)

3.24%

12/25/36

53,275,076

15,769,454

ACE Securities Corp. Home Equity Loan Trust,

Series 2006-OP2, Class A2C

(LIBOR USD 1-Month plus 0.15%)

3.23%

08/25/36

36,352

36,245

ACE Securities Corp. Home Equity Loan Trust,

Series 2007-ASP1, Class A1

(LIBOR USD 1-Month plus 0.32%)

3.40%

03/25/37

28,703,046

14,183,105

ACE Securities Corp. Home Equity Loan Trust,

Series 2007-ASP1, Class A2D

(LIBOR USD 1-Month plus 0.76%)

3.84%

03/25/37

2,289,110

1,123,813

Adjustable Rate Mortgage Trust,

Series 2005-4, Class 5A1

2.80%

08/25/35

⁴

1,262,352

1,014,317

Adjustable Rate Mortgage Trust,

Series 2007-1, Class 1A1

3.33%

03/25/37

⁴

1,500,021

1,260,742

Alternative Loan Trust,

Series 2005-74T1, Class A1

6.00%

01/25/36

5,377,704

3,509,379

Alternative Loan Trust,

Series 2005-76, Class 1A1

(Federal Reserve US 12-Month Cumulative Average plus

1.48%)

2.58%

01/25/36

2,648,666

2,404,366

Alternative Loan Trust,

Series 2006-HY12, Class A5

3.57%

08/25/36

⁴

2,273,379

2,077,955

American Home Mortgage Investment Trust,

Series 2006-1, Class 11A1

(LIBOR USD 1-Month plus 0.28%)

3.36%

03/25/46

8,908,365

7,981,743

American Home Mortgage Investment Trust,

Series 2006-1, Class 12A1

(LIBOR USD 1-Month plus 0.40%)

3.48%

03/25/46

2,761,593

2,494,133

Argent Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2006-W3, Class A2C

(LIBOR USD 1-Month plus 0.36%)

3.44%

04/25/36

39,158,455

12,126,555

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A1A

(LIBOR USD 1-Month plus 1.25%)

4.33%

06/25/37

17,293,962

12,129,484

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A2B

(LIBOR USD 1-Month plus 1.00%)

4.08%

06/25/37

3,107,540

2,489,943

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Asset-Backed Securities Corp. Home Equity Loan Trust,

Series 2004-HE9, Class M1

(LIBOR USD 1-Month plus 0.98%)

4.06%

12/25/34

1,192,460

1,138,557

Asset-Backed Securities Corp. Home Equity Loan Trust,

Series 2006-HE5, Class A5

(LIBOR USD 1-Month plus 0.48%)

2.77%

07/25/36

9,754,000

9,497,387

Banc of America Alternative Loan Trust,

Series 2003-8, Class 1CB1

5.50%

10/25/33

462,220

438,764

Banc of America Funding Trust,

Series 2004-B, Class 5A1

3.55%

11/20/34

⁴

155,368

150,557

Banc of America Funding Trust,

Series 2006-D, Class 3A1

3.40%

05/20/36

⁴

656,658

576,226

Banc of America Funding Trust,

Series 2015-R3, Class 6A2

2.78%

05/27/36

^1,4

10,385,369

9,740,624

Banc of America Mortgage Trust,

Series 2005-K, Class 2A1

2.65%

12/25/35

⁴

746,309

678,474

BCAP LLC Trust,

Series 2007-AA1, Class 2A1

(LIBOR USD 1-Month plus 0.18%)

3.26%

03/25/37

2,598,087

2,344,913

BCAP LLC Trust,

Series 2014-RR3, Class 4A1

1.19%

03/26/36

^1,4

1,245,586

1,219,195

Bear Stearns ALT-A Trust,

Series 2005-1, Class M1

(LIBOR USD 1-Month plus 0.75%)

3.83%

01/25/35

3,231,867

3,217,489

Bear Stearns ALT-A Trust,

Series 2005-2, Class 2A4

3.18%

04/25/35

⁴

890,161

824,960

Bear Stearns ALT-A Trust,

Series 2005-8, Class 11A1

(LIBOR USD 1-Month plus 0.54%)

3.62%

10/25/35

5,439,859

5,025,155

Bear Stearns ARM Trust,

Series 2005-9, Class A1

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 2.30%)

5.23%

10/25/35

1,045,657

1,007,080

Bear Stearns Asset-Backed Securities I Trust,

Series 2005-AC6, Class 1A3

5.50%

09/25/35

⁴

333,792

291,003

Bear Stearns Asset-Backed Securities I Trust,

Series 2006-AC2, Class 21A3

6.00%

03/25/36

19,433

19,143

Bear Stearns Mortgage Funding Trust,

Series 2007-AR4, Class 1A1

(LIBOR USD 1-Month plus 0.40%)

3.48%

09/25/47

4,932,817

4,560,471



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 2A1
(LIBOR USD 1-Month plus 0.21%)
3.29%		06/25/37	²	$	3,660,093	$	3,173,985
Carrington Mortgage Loan Trust,
Series 2005-OPT2, Class M4
(LIBOR USD 1-Month plus 0.98%)
4.06%		05/25/35	²		287,612		287,329
Carrington Mortgage Loan Trust,
Series 2006-NC4, Class A4
(LIBOR USD 1-Month plus 0.24%)
3.32%		10/25/36	²		14,364,300		11,355,611
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.53%)
3.61%		02/25/36	²		1,472,136		1,450,406
Cascade MH Asset Trust,
Series 2022-MH1, Class A (STEP-reset date 11/25/22)
4.25%		08/25/54	¹		7,027,307		6,147,960
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
3.60%		02/25/37	⁴		464,738		454,777
CIM Trust,
Series 2018-R5, Class A1
3.75%		07/25/58	^1,4		3,911,043		3,816,440
CIM Trust,
Series 2019-R3, Class A
2.63%		06/25/58	^1,4		7,350,494		6,576,380
CIM Trust,
Series 2020-NR1, Class A (STEP-reset date 11/25/22)
3.45%		06/26/62	¹		11,642,964		11,422,117
CIM Trust,
Series 2020-R1, Class A1
2.85%		10/27/59	^1,4		11,236,812		10,153,179
CIM Trust,
Series 2020-R3, Class A1A
4.00%		01/26/60	^1,4		7,391,975		7,099,819
CIM Trust,
Series 2020-R6, Class A1A
2.25%		12/25/60	^1,4		5,618,782		5,148,131
CIM Trust,
Series 2020-R7, Class A1A
2.25%		12/27/61	^1,4		9,271,689		8,559,157
CIM Trust,
Series 2021-NR3, Class A1 (STEP-reset date 11/25/22)
2.57%		06/25/57	¹		4,422,372		4,150,584
CIM Trust,
Series 2021-NR4, Class A1 (STEP-reset date 11/25/22)
2.82%		10/25/61	¹		14,802,855		13,710,533
CIM Trust,
Series 2021-R3, Class A1B
1.95%		06/25/57	^1,4		18,287,000		13,741,298
CIM Trust,
Series 2021-R4, Class A1A
2.00%		05/01/61	^1,4		12,184,182		10,810,215



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2021-R4, Class A1B
2.00%		05/01/61	^1,4	$	10,243,493	$	7,413,483
CIM Trust,
Series 2021-R5, Class A1A
2.00%		08/25/61	^1,4		9,784,228		8,407,450
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.45%		06/25/36	⁴		82,501		76,751
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.32%)
3.40%		12/25/36	²		6,432,739		4,462,332
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2D
(LIBOR USD 1-Month plus 0.46%)
3.54%		12/25/36	²		6,874,683		4,776,475
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
3.34%		11/25/35	²		43,181		36,384
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class M1
(LIBOR USD 1-Month plus 0.41%)
3.49%		08/25/36	²		452,996		452,810
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-3, Class 1A2
(LIBOR USD 1-Month plus 0.58%)
3.66%		04/25/35	²		2,716,820		2,485,668
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
3.68%		05/25/35	²		64,914		54,507
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR26, Class 3A1
2.56%		11/25/33	⁴		347,507		327,370
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-11, Class 1A1
6.50%		12/25/35			543,154		300,541
Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates,
Series 2004-AR5, Class 9A1
2.59%		06/25/34	⁴		29,458		28,803
Credit Suisse Mortgage Capital Certificates,
Series 2022-RPL1, Class CERT
4.23%		04/25/61	¹		525,875		487,441
Credit Suisse Mortgage Capital Trust,
Series 2006-8, Class 3A1
6.00%		10/25/21			24,960		12,687
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.45%		02/25/60	^1,4		10,366,901		9,836,469
Credit Suisse Mortgage Capital Trust,
Series 2022-RPL1, Class PT
4.31%		04/25/61	^1,4		12,442,566		11,537,111



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF3 (STEP-reset date 11/25/22)
3.02%		12/25/36		$	678,779	$	504,465
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A2
(LIBOR USD 1-Month plus 0.22%)
3.30%		11/25/36	²		7,398,592		3,617,840
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF2 (STEP-reset date 11/25/22)
3.12%		01/25/37			2,546,902		798,634
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(LIBOR USD 1-Month plus 0.09%)
3.17%		04/25/37	²		942,363		913,047
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
3.14%		04/25/37	²		1,347,302		937,191
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 11/25/22)
3.54%		02/25/37			4,413,960		2,972,525
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 11/25/22)
3.54%		02/25/37			1,056,445		657,971
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 11/25/22)
3.27%		03/25/37			5,588,801		2,283,932
CSMC Mortgage-Backed Trust,
Series 2006-1, Class 1A4
5.50%		02/25/36			2,921,221		2,619,998
CSMC Trust,
Series 2021-RPL7, Class A1
1.93%		07/27/61	^1,4		8,807,272		8,103,190
CSMCM Trust,
Series 2018-SP3, Class CERT
3.13%		10/25/58	^1,4		14,048,480		12,297,764
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.72%)
3.71%		01/19/45	²		445,448		361,671
DSLA Mortgage Loan Trust,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.58%)
3.57%		10/19/45	²		3,449,887		2,961,701
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
3.19%		10/19/36	²		5,570,182		3,945,242
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
3.13%		03/19/37	²		1,264,012		1,013,992

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Fannie Mae Connecticut Avenue Securities,

Series 2019-R06, Class 2B1

(LIBOR USD 1-Month plus 3.75%)

6.83%

09/25/39

^1,2

6,300,000

5,997,995

Fannie Mae Connecticut Avenue Securities,

Series 2021-R01, Class 1B1

(SOFR30A plus 3.10%)

5.38%

10/25/41

^1,2

2,500,000

2,273,569

Fannie Mae Connecticut Avenue Securities,

Series 2021-R03, Class 1B2

(SOFR30A plus 5.50%)

7.78%

12/25/41

^1,2

1,950,000

1,711,231

First Franklin Mortgage Loan Trust,

Series 2006-FF11, Class 2A3

(LIBOR USD 1-Month plus 0.30%)

3.38%

08/25/36

4,886,474

4,620,128

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2C

(LIBOR USD 1-Month plus 0.32%)

3.40%

10/25/36

12,611,259

8,937,414

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2D

(LIBOR USD 1-Month plus 0.21%)

3.29%

12/25/37

761,577

691,039

First Franklin Mortgage Loan Trust,

Series 2006-FF4, Class A3

(LIBOR USD 1-Month plus 0.56%)

3.64%

03/25/36

3,472,021

3,424,543

First Franklin Mortgage Loan Trust,

Series 2006-FF5, Class M1

(LIBOR USD 1-Month plus 0.41%)

3.49%

04/25/36

3,860,000

2,874,147

First Franklin Mortgage Loan Trust,

Series 2006-FF9, Class 2A4

(LIBOR USD 1-Month plus 0.50%)

3.58%

06/25/36

8,650,000

7,451,643

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2D

(LIBOR USD 1-Month plus 0.22%)

3.30%

01/25/38

4,040,381

2,358,185

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

3.18%

03/25/37

557,248

288,793

First Horizon Alternative Mortgage Securities Trust,

Series 2004-AA3, Class A1

3.73%

09/25/34

⁴

169,891

156,661

First Horizon Alternative Mortgage Securities Trust,

Series 2004-AA3, Class A3

3.73%

09/25/34

⁴

261,239

240,895

First Horizon Alternative Mortgage Securities Trust,

Series 2005-AA10, Class 1A1

2.86%

12/25/35

⁴

815,345

693,308

First Horizon Alternative Mortgage Securities Trust,

Series 2005-AA12, Class 2A1

0.00%

02/25/36

⁴

1,034,556

746,491



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA2, Class 2A1
3.92%		04/25/35	⁴	$	1,556,946	$	1,538,608
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA3, Class 3A1
2.71%		05/25/35	⁴		1,216,721		1,124,433
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
3.71%		09/25/35	⁴		1,492,317		1,321,644
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
3.84%		10/25/35	⁴		1,760,224		1,221,063
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
2.87%		11/25/35	⁴		1,051,460		905,396
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA1, Class 1A1
3.86%		03/25/36	⁴		1,209,643		944,856
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA7, Class A1
3.24%		01/25/37	⁴		2,041,722		1,597,798
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 1A1
3.29%		09/25/35	⁴		1,333,548		919,463
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1
3.77%		10/25/35	⁴		50,542		48,377
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR5, Class 2A1
3.04%		11/25/35	⁴		579,120		465,104
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR2, Class 1A2
3.55%		08/25/37	⁴		53,343		18,715
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA2, Class M2
(SOFR30A plus 2.30%)
4.58%		08/25/33	^1,2		9,435,000		9,259,108
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA3, Class M2
(SOFR30A plus 2.10%)
4.38%		10/25/33	^1,2		5,245,000		5,020,766
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA1, Class M2
(SOFR30A plus 2.25%)
4.53%		08/25/33	^1,2		9,450,000		8,674,301
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA2, Class M2
(SOFR30A plus 2.05%)
4.33%		12/25/33	^1,2		5,000,000		4,447,503
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M1B
(SOFR30A plus 1.85%)
4.13%		01/25/42	^1,2		3,485,000		3,173,829
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 2A1
4.20%		09/19/35	⁴		1,310,367		925,948

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GMACM Mortgage Corp. Loan Trust,

Series 2005-AR5, Class 3A1

3.89%

09/19/35

⁴

1,017,112

894,400

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

2.90%

04/19/36

⁴

2,710,948

2,151,032

Greenpoint Manufactured Housing,

Series 2000-1, Class A4

8.14%

03/20/30

⁴

4,991,432

3,787,032

GreenPoint Mortgage Funding Trust,

Series 2007-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.20%)

3.28%

03/25/47

8,914,844

8,002,253

GSAMP Trust,

Series 2007-FM2, Class A1

(LIBOR USD 1-Month plus 0.14%)

3.22%

01/25/37

18,270,679

11,535,493

GSR Mortgage Loan Trust,

Series 2005-7F, Class 3A3 (IO)

(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap)

2.42%

09/25/35

^2,5,6

12,575

199

GSR Mortgage Loan Trust,

Series 2005-AR4, Class 5A1

3.65%

07/25/35

⁴

369,495

351,183

GSR Mortgage Loan Trust,

Series 2006-AR2, Class 2A1

2.74%

04/25/36

⁴

173,493

119,753

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 5A1A

3.63%

05/25/37

⁴

461,780

413,457

HarborView Mortgage Loan Trust,

Series 2005-10, Class 2A1A

(LIBOR USD 1-Month plus 0.62%)

3.61%

11/19/35

1,852,124

1,525,188

HarborView Mortgage Loan Trust,

Series 2006-7, Class 1A

(LIBOR USD 1-Month plus 0.42%)

3.41%

09/19/46

8,733,843

7,648,875

HarborView Mortgage Loan Trust,

Series 2007-6, Class 1A1A

(LIBOR USD 1-Month plus 0.20%)

3.19%

08/19/37

9,977,553

8,552,573

Home Equity Mortgage Loan Asset-Backed Trust,

Series 2005-D, Class AII4

(LIBOR USD 1-Month plus 0.70%)

3.78%

03/25/36

1,583,162

1,559,066

HSI Asset Securitization Corp. Trust,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

3.71%

11/25/35

1,774,946

1,734,072

HSI Asset Securitization Corp. Trust,

Series 2006-HE1, Class 1A1

(LIBOR USD 1-Month plus 0.28%)

3.36%

10/25/36

11,091,770

3,783,359

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

HSI Asset Securitization Corp. Trust,

Series 2006-HE2, Class 1A

(LIBOR USD 1-Month plus 0.26%)

3.34%

12/25/36

27,395,331

11,868,526

HSI Asset Securitization Corp. Trust,

Series 2006-WMC1, Class A1

(LIBOR USD 1-Month plus 0.10%)

3.18%

07/25/36

10,395,411

4,970,696

HSI Asset Securitization Corp. Trust,

Series 2006-WMC1, Class A2

(LIBOR USD 1-Month plus 0.20%)

3.28%

07/25/36

11,505,717

5,526,698

HSI Asset Securitization Corp. Trust,

Series 2006-WMC1, Class A4

(LIBOR USD 1-Month plus 0.50%)

3.58%

07/25/36

10,061,211

4,894,564

Impac CMB Trust,

Series 2005-2, Class 1A1

(LIBOR USD 1-Month plus 0.52%)

3.60%

04/25/35

2,089,979

1,958,586

IndyMac Index Mortgage Loan Trust,

Series 2005-AR14, Class 1A1A

(LIBOR USD 1-Month plus 0.56%)

3.64%

07/25/35

8,572,905

6,436,088

IndyMac Index Mortgage Loan Trust,

Series 2005-AR19, Class A1

3.05%

10/25/35

⁴

1,831,681

1,514,632

IndyMac Index Mortgage Loan Trust,

Series 2006-AR27, Class 1A3

(LIBOR USD 1-Month plus 0.54%)

3.62%

10/25/36

5,172,022

2,510,602

IndyMac Index Mortgage Loan Trust,

Series 2006-AR4, Class A2A

(LIBOR USD 1-Month plus 0.50%)

3.58%

05/25/46

10,961,880

10,433,570

IndyMac Index Mortgage Loan Trust,

Series 2006-AR7, Class 3A1

2.97%

05/25/36

⁴

215,422

182,358

IndyMac Index Mortgage Loan Trust,

Series 2006-AR9, Class 3A3

3.07%

06/25/36

⁴

2,845,544

2,399,144

IndyMac Index Mortgage Loan Trust,

Series 2007-FLX4, Class 2A1

(LIBOR USD 1-Month plus 0.18%)

3.26%

07/25/37

12,717,590

11,492,862

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1998-1, Class A4

6.49%

09/25/28

23,047

23,722

JPMorgan Mortgage Acquisition Trust,

Series 2006-ACC1, Class M1

(LIBOR USD 1-Month plus 0.41%)

3.49%

05/25/36

409,805

409,613

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

JPMorgan Mortgage Acquisition Trust,

Series 2006-CH1, Class M2

(LIBOR USD 1-Month plus 0.29%)

3.37%

07/25/36

3,776,854

3,758,621

JPMorgan Mortgage Acquisition Trust,

Series 2006-WMC4, Class A1A

(LIBOR USD 1-Month plus 0.13%)

3.21%

12/25/36

7,409,457

4,834,114

JPMorgan Mortgage Acquisition Trust,

Series 2006-WMC4, Class A4

(LIBOR USD 1-Month plus 0.15%)

3.23%

12/25/36

9,219,502

4,905,149

JPMorgan Mortgage Trust,

Series 2005-A6, Class 7A1

3.96%

08/25/35

⁴

16,804

14,455

JPMorgan Mortgage Trust,

Series 2006-A3, Class 2A1

2.87%

05/25/36

⁴

18,088

15,787

JPMorgan Mortgage Trust,

Series 2006-S2, Class 2A2

5.88%

06/25/21

3,627

3,655

Legacy Mortgage Asset Trust,

Series 2017-RPL1, Class A

(LIBOR USD 1-Month plus 1.75%)

4.24%

01/28/70

^1,2

3,254,354

3,257,003

Legacy Mortgage Asset Trust,

Series 2020-GS2, Class A1 (STEP-reset date 10/25/22)

2.75%

03/25/60

17,623,540

16,993,449

Lehman XS Trust,

Series 2005-4, Class 1A3

(LIBOR USD 1-Month plus 0.80%)

3.88%

10/25/35

3,652

3,648

Lehman XS Trust,

Series 2005-5N, Class 3A1A

(LIBOR USD 1-Month plus 0.30%)

3.38%

11/25/35

993,681

966,727

Lehman XS Trust,

Series 2006-17, Class 1A3

(LIBOR USD 1-Month plus 0.50%)

3.58%

08/25/46

13,670,748

12,195,070

Lehman XS Trust,

Series 2006-GP2, Class 1A5A

(LIBOR USD 1-Month plus 0.42%)

3.50%

06/25/46

3,659,275

3,388,084

Lehman XS Trust,

Series 2007-18N, Class 1A1

(LIBOR USD 1-Month plus 1.70%)

4.78%

10/25/37

4,030,352

3,705,672

Long Beach Mortgage Loan Trust,

Series 2006-2, Class 1A

(LIBOR USD 1-Month plus 0.36%)

3.44%

03/25/46

6,521,778

5,439,230

Long Beach Mortgage Loan Trust,

Series 2006-9, Class 2A2

(LIBOR USD 1-Month plus 0.22%)

3.30%

10/25/36

49,675,964

17,309,371

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Adjustable Rate Mortgages Trust,

Series 2003-7, Class 3A1

2.47%

11/25/33

⁴

106,665

99,027

MASTR Adjustable Rate Mortgages Trust,

Series 2004-15, Class 8A1

4.36%

10/25/34

⁴

85,566

81,603

MASTR Adjustable Rate Mortgages Trust,

Series 2004-3, Class 3A3

3.12%

04/25/34

⁴

33,379

31,824

MASTR Adjustable Rate Mortgages Trust,

Series 2006-OA2, Class 1A1

(Federal Reserve US 12-Month Cumulative Average plus

0.80%)

1.90%

12/25/46

16,795,257

13,874,550

MASTR Adjustable Rate Mortgages Trust,

Series 2007-2, Class A1

(LIBOR USD 1-Month plus 0.30%)

3.38%

03/25/47

2,364,052

2,182,998

MASTR Asset-Backed Securities Trust,

Series 2006-WMC1, Class A3

(LIBOR USD 1-Month plus 0.36%)

3.44%

02/25/36

16,794,437

6,734,356

MASTR Asset-Backed Securities Trust,

Series 2007-HE1, Class A4

(LIBOR USD 1-Month plus 0.28%)

3.36%

05/25/37

3,150,000

2,539,057

MASTR Asset-Backed Securities Trust,

Series 2007-WMC1, Class A2

(LIBOR USD 1-Month plus 0.05%)

3.13%

01/25/37

16,680,879

4,752,588

Merrill Lynch Alternative Note Asset Trust,

Series 2007-A3, Class A2D

(LIBOR USD 1-Month plus 0.66%)

3.74%

04/25/37

^2,5,6

883,581

39,489

Merrill Lynch Alternative Note Asset Trust,

Series 2007-OAR2, Class A2

(LIBOR USD 1-Month plus 0.42%)

3.50%

04/25/37

8,064,263

6,829,793

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-1, Class A2C

(LIBOR USD 1-Month plus 0.50%)

3.58%

04/25/37

17,469,086

7,466,123

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-4, Class 2A4

(LIBOR USD 1-Month plus 0.25%)

3.33%

07/25/37

907,272

631,497

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-5, Class 1A

(LIBOR USD 1-Month plus 0.85%)

3.93%

10/25/37

23,637,872

13,555,638

Merrill Lynch Mortgage Investors Trust,

Series 2003-A6, Class 2A

3.32%

10/25/33

⁴

73,116

70,432

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Merrill Lynch Mortgage Investors Trust,

Series 2007-2, Class 1A1

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 2.40%)

5.88%

08/25/36

712,958

642,258

Morgan Stanley ABS Capital I Trust,

Series 2006-NC2, Class A2D

(LIBOR USD 1-Month plus 0.58%)

3.66%

02/25/36

1,307,628

1,297,052

Morgan Stanley ABS Capital I, Inc., Trust,

Series 2006-HE4, Class A3

(LIBOR USD 1-Month plus 0.30%)

3.38%

06/25/36

9,398,568

5,243,378

Morgan Stanley ABS Capital I, Inc., Trust,

Series 2006-HE4, Class A4

(LIBOR USD 1-Month plus 0.48%)

3.56%

06/25/36

10,026,150

5,631,235

Morgan Stanley ABS Capital I, Inc., Trust,

Series 2007-NC3, Class A2C

(LIBOR USD 1-Month plus 0.19%)

3.27%

05/25/37

22,578,471

17,384,872

Morgan Stanley Home Equity Loan Trust,

Series 2006-3, Class A4

(LIBOR USD 1-Month plus 0.52%)

3.60%

04/25/36

12,264,453

8,508,877

Morgan Stanley Mortgage Loan Trust,

Series 2004-7AR, Class 2A4

3.21%

09/25/34

⁴

210,880

199,008

Morgan Stanley Mortgage Loan Trust,

Series 2006-2, Class 1A

5.25%

02/25/21

45,297

42,910

MortgageIT Trust,

Series 2005-2, Class 2A

(LIBOR USD 1-Month plus 1.65%)

4.21%

05/25/35

576,345

548,851

New Century Home Equity Loan Trust,

Series 2005-D, Class A2D

(LIBOR USD 1-Month plus 0.66%)

3.74%

02/25/36

118,128

118,039

New York Mortgage Trust,

Series 2005-3, Class A1

(LIBOR USD 1-Month plus 0.48%)

3.56%

02/25/36

236,322

232,116

Nomura Asset Acceptance Corp.,

Series 2005-AR4, Class 4A1

3.90%

08/25/35

⁴

2,265,140

1,603,514

NRPL,

Series 2019-3A, Class A1 (STEP-reset date 11/25/22)

3.00%

07/25/59

9,588,498

9,579,908

Oakwood Mortgage Investors, Inc.,

Series 2000-A, Class A5

8.16%

09/15/29

⁴

10,274,917

2,997,020

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Opteum Mortgage Acceptance Corp. Asset-Backed Pass-

Through Certificates,

Series 2005-3, Class M2

(LIBOR USD 1-Month plus 0.72%)

3.80%

07/25/35

1,112,911

1,111,787

Option One Mortgage Loan Trust,

Series 2007-4, Class 2A2

(LIBOR USD 1-Month plus 0.18%)

3.26%

04/25/37

13,399,063

8,189,656

Option One Mortgage Loan Trust,

Series 2007-5, Class 2A2

(LIBOR USD 1-Month plus 0.17%)

3.25%

05/25/37

19,318,970

11,339,831

Ownit Mortgage Loan Trust,

Series 2006-2, Class A1

(LIBOR USD 1-Month plus 0.42%)

3.50%

01/25/37

4,778,443

4,353,293

PHH Alternative Mortgage Trust,

Series 2007-2, Class 1A4

(LIBOR USD 1-Month plus 0.60%)

3.68%

05/25/37

7,332,689

6,830,955

Popular ABS Mortgage Pass-Through Trust,

Series 2007-A, Class A3

(LIBOR USD 1-Month plus 0.31%)

3.39%

06/25/47

5,007,665

4,485,533

PRET LLC,

Series 2022-RN2, Class A2 (STEP-reset date 10/25/22)

6.50%

06/25/52

16,833,000

15,769,154

PRET, LLC,

Series 2022-RN1, Class A1 (STEP-reset date 10/25/22)

3.72%

07/25/51

16,128,984

15,051,237

Pretium Mortgage Credit Partners LLC,

Series 2022-RN3, Class A2

6.50%

08/25/52

^1,4

14,985,000

14,016,969

PRPM LLC,

Series 2021-9, Class A1 (STEP-reset date 10/25/22)

2.36%

10/25/26

14,616,916

13,565,739

PRPM, LLC,

Series 2021-8, Class A1

1.74%

09/25/26

^1,4

9,769,642

8,967,954

RAAC Trust,

Series 2005-SP1, Class 4A1

7.00%

09/25/34

43,204

39,571

Residential Accredit Loans Trust,

Series 2005-QA13, Class 2A1

4.21%

12/25/35

⁴

1,441,075

1,192,480

Residential Accredit Loans Trust,

Series 2005-QA4, Class A41

3.48%

04/25/35

⁴

8,193

7,990

Residential Accredit Loans Trust,

Series 2005-QA7, Class A21

3.58%

07/25/35

⁴

528,871

487,204

Residential Accredit Loans Trust,

Series 2005-QA8, Class CB21

4.10%

07/25/35

⁴

583,885

347,510

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Accredit Loans Trust,

Series 2006-QS13, Class 2A1

5.75%

09/25/21

3,519

1,937

Residential Accredit Loans Trust,

Series 2006-QS16, Class A6

6.00%

11/25/36

354,532

287,926

Residential Accredit Loans Trust,

Series 2007-QA3, Class A1

(LIBOR USD 1-Month plus 0.20%)

3.28%

05/25/37

13,209,678

11,784,567

Residential Accredit Loans Trust,

Series 2007-QH6, Class A1

(LIBOR USD 1-Month plus 0.38%)

3.46%

07/25/37

8,015,977

7,369,080

Residential Accredit Loans Trust,

Series 2007-QS1, Class 2AV (IO)

0.17%

01/25/37

^4,5,6

1,585,708

9,129

Residential Asset Securitization Trust,

Series 2006-A9CB, Class A9

6.00%

09/25/36

4,942,281

1,752,072

Residential Funding Mortgage Securities Trust,

Series 2007-SA2, Class 1A

3.15%

04/25/37

⁴

237,124

142,794

Saxon Asset Securities Trust,

Series 2007-2, Class A2C

(LIBOR USD 1-Month plus 0.24%)

3.32%

05/25/47

13,275,889

9,378,496

Securitized Asset-Backed Receivables LLC Trust,

Series 2006-CB1, Class AF4 (STEP-reset date 11/25/22)

2.88%

01/25/36

3,715,850

3,026,555

Securitized Asset-Backed Receivables LLC Trust,

Series 2006-WM4, Class A1

(LIBOR USD 1-Month plus 0.38%)

3.46%

11/25/36

^1,2

9,032,944

4,210,372

Securitized Asset-Backed Receivables LLC Trust,

Series 2007-BR2, Class A2

(LIBOR USD 1-Month plus 0.23%)

3.31%

02/25/37

6,045,986

2,843,676

Securitized Asset-Backed Receivables LLC Trust,

Series 2007-BR4, Class A2B

(LIBOR USD 1-Month plus 0.20%)

3.28%

05/25/37

9,936,231

6,557,616

Securitized Asset-Backed Receivables LLC Trust,

Series 2007-NC1, Class A2B

(LIBOR USD 1-Month plus 0.30%)

3.38%

12/25/36

5,685,698

3,631,581

Soundview Home Loan Trust,

Series 2006-WF2, Class M1

(LIBOR USD 1-Month plus 0.33%)

3.41%

12/25/36

529,929

530,076

Soundview Home Loan Trust,

Series 2007-OPT1, Class 2A3

(LIBOR USD 1-Month plus 0.21%)

3.29%

06/25/37

19,222,245

13,819,601

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Soundview Home Loan Trust,

Series 2007-WMC1, Class 3A3

(LIBOR USD 1-Month plus 0.26%)

3.34%

02/25/37

992,673

287,154

Specialty Underwriting & Residential Finance Trust,

Series 2007-BC2, Class A1

(LIBOR USD 1-Month plus 0.23%)

3.31%

04/25/37

20,489,456

15,119,706

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-12, Class 2A

3.72%

09/25/34

⁴

369,297

361,145

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-2, Class 4A2

3.68%

03/25/34

⁴

732,719

682,128

Structured Adjustable Rate Mortgage Loan Trust,

Series 2005-12, Class 3A1

3.04%

06/25/35

⁴

287,111

259,894

Structured Adjustable Rate Mortgage Loan Trust,

Series 2005-21, Class 2A

3.44%

11/25/35

⁴

740,077

607,020

Structured Adjustable Rate Mortgage Loan Trust,

Series 2005-7, Class 1A3

3.47%

04/25/35

⁴

2,026,056

1,923,436

Structured Adjustable Rate Mortgage Loan Trust,

Series 2006-11, Class 1A1

(LIBOR USD 1-Month plus 0.32%)

3.40%

12/25/36

1,004,121

925,384

Structured Asset Investment Loan Trust,

Series 2004-6, Class A3

(LIBOR USD 1-Month plus 0.80%)

3.88%

07/25/34

8,760,213

8,200,662

Structured Asset Mortgage Investments II Trust,

Series 2006-AR3, Class 22A1

2.89%

05/25/36

⁴

446,316

251,230

Structured Asset Mortgage Investments II Trust,

Series 2006-AR5, Class 1A1

(LIBOR USD 1-Month plus 0.42%)

3.50%

05/25/36

186,678

144,874

Structured Asset Mortgage Investments II Trust,

Series 2006-AR7, Class A1BG

(LIBOR USD 1-Month plus 0.12%)

3.20%

08/25/36

9,060,651

8,273,771

Structured Asset Mortgage Investments II Trust,

Series 2007-AR6, Class A1

(Federal Reserve US 12-Month Cumulative Average plus

1.50%)

2.60%

08/25/47

9,276,117

7,873,088

Structured Asset Securities Corp. Mortgage Loan Trust,

Series 2005-2XS, Class 2A2

(LIBOR USD 1-Month plus 1.50%)

4.06%

02/25/35

59,295

58,766

Structured Asset Securities Corp. Mortgage Loan Trust,

Series 2005-4XS, Class 2A1A

(LIBOR USD 1-Month plus 1.75%)

4.31%

03/25/35

920,416

902,273

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Structured Asset Securities Corp. Mortgage Pass-Through

Certificates,

Series 2003-34A, Class 3A3

3.60%

11/25/33

⁴

18,166

17,929

SunTrust Adjustable Rate Mortgage Loan Trust,

Series 2007-4, Class 3A1

3.65%

10/25/37

⁴

838,320

730,074

SunTrust Adjustable Rate Mortgage Loan Trust,

Series 2007-S1, Class 2A1

3.37%

01/25/37

⁴

322,789

318,793

SunTrust Adjustable Rate Mortgage Loan Trust,

Series 2007-S1, Class 5A1

3.24%

01/25/37

⁴

75,491

71,205

VOLT XCIV LLC,

Series 2021-NPL3, Class A1 (STEP-reset date 10/25/22)

2.24%

02/27/51

12,744,084

12,067,373

WaMu Asset-Backed Certificates,

Series 2007-HE1, Class 2A2

(LIBOR USD 1-Month plus 0.11%)

3.19%

01/25/37

5,409,701

2,736,735

WaMu Asset-Backed Certificates,

Series 2007-HE2, Class 2A2

(LIBOR USD 1-Month plus 0.22%)

3.30%

02/25/37

28,475,627

8,628,678

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR13, Class A1A

(LIBOR USD 1-Month plus 0.72%)

3.80%

11/25/34

112,354

103,594

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR14, Class A1

2.81%

01/25/35

⁴

375,609

354,636

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR6, Class A

(LIBOR USD 1-Month plus 0.84%)

3.92%

05/25/44

15,517

15,415

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR12, Class 1A6

3.80%

10/25/35

⁴

761,017

714,308

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR14, Class 2A1

3.07%

12/25/35

⁴

17,170

16,136

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR16, Class 1A3

2.76%

12/25/35

⁴

941,276

879,028

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A21

(LIBOR USD 1-Month plus 0.66%)

3.74%

01/25/45

362,536

350,052

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR9, Class A1A

(LIBOR USD 1-Month plus 0.64%)

3.72%

07/25/45

443,605

413,863

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR3, Class A1A

(Federal Reserve US 12-Month Cumulative Average plus 1.00%)

2.10%

02/25/46

3,304,885

2,926,293

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR4, Class 1A1A

(Federal Reserve US 12-Month Cumulative Average plus 0.94%)

1.80%

05/25/46

1,421,024

1,264,594

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR7, Class 2A

(Federal Reserve US 12-Month Cumulative Average plus 0.98%)

2.08%

07/25/46

3,138,103

2,864,949

WaMu Mortgage Pass-Through Certificates,

Series 2007-HY3, Class 1A1

2.92%

03/25/37

⁴

1,605,425

1,303,971

WaMu Mortgage Pass-Through Certificates,

Series 2007-OA5, Class 1A

(Federal Reserve US 12-Month Cumulative Average plus 0.75%)

1.85%

06/25/47

1,285,299

1,104,794

WaMu Mortgage Pass-Through Certificates,

Series 2007-OC1, Class A1

(LIBOR USD 1-Month plus 0.24%)

3.32%

01/25/47

4,599,685

4,218,874

Wells Fargo Alternative Loan Trust,

Series 2007-PA5, Class 1A1

6.25%

11/25/37

1,419,724

1,225,745

Wells Fargo Home Equity Asset-Backed Securities Trust,

Series 2007-1, Class A3

(LIBOR USD 1-Month plus 0.64%)

3.72%

03/25/37

4,690,000

4,020,817

Wells Fargo Mortgage-Backed Securities Trust,

Series 2006-AR14, Class 2A1

4.36%

10/25/36

⁴

337,079

312,316

Wells Fargo Mortgage-Backed Securities Trust,

Series 2006-AR4, Class 1A1

2.94%

04/25/36

⁴

75,694

69,127

990,208,136

U.S. Agency Commercial Mortgage-Backed — 1.25%

Fannie Mae-Aces,

Series 2016-M11, Class X2 (IO)

2.98%

07/25/39

⁴

12,262,679

300,918

Fannie Mae-Aces,

Series 2016-M2, Class X3 (IO)

2.14%

04/25/36

⁴

8,376,704

76,191

Fannie Mae-Aces,

Series 2016-M4, Class X2 (IO)

2.70%

01/25/39

⁴

21,267,029

381,503

Fannie Mae-Aces,

Series 2019-M29, Class X4 (IO)

0.70%

03/25/29

⁴

117,375,779

3,816,855

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily PC REMIC Trust,

Series 2019-P002, Class X (IO)

1.14%

07/25/33

⁴

14,520,699

1,237,722

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K031, Class X1 (IO)

0.29%

04/25/23

⁴

335,832,955

239,197

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K043, Class X3 (IO)

1.69%

02/25/43

⁴

58,000,000

1,990,650

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K051, Class X3 (IO)

1.67%

10/25/43

⁴

44,865,280

1,948,905

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K054, Class X1 (IO)

1.30%

01/25/26

⁴

52,552,019

1,654,761

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K055, Class X3 (IO)

1.70%

04/25/44

⁴

32,000,000

1,541,283

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K056, Class X1 (IO)

1.39%

05/25/26

⁴

58,491,130

2,096,237

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K057, Class X1 (IO)

1.30%

07/25/26

⁴

120,655,060

4,186,127

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K726, Class X1 (IO)

1.04%

04/25/24

⁴

102,499,380

1,004,976

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC01, Class X1 (IO)

0.56%

12/25/22

⁴

30,742,848

24,268

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC05, Class X1 (IO)

1.34%

06/25/27

⁴

88,264,863

2,846,233

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC07, Class X1 (IO)

0.84%

09/25/26

⁴

83,451,422

1,580,453

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF31, Class A

(LIBOR USD 1-Month plus 0.37%)

2.92%

04/25/24

837,643

836,978

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KIR1, Class X (IO)

1.18%

03/25/26

⁴

113,784,367

3,446,033

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KL05, Class X1HG (IO)

1.37%

12/25/27

⁴

49,531,000

2,391,121

Freddie Mac Multifamily Structured Pass-

Through

Certificates,

Series KS06, Class X (IO)

1.18%

08/25/26

⁴

65,796,188

1,815,396

Freddie Mac Multifamily Structured Pass-

Through

Certificates,

Series KS07, Class X (IO)

0.75%

09/25/25

⁴

101,026,027

2,324,041

FREMF Mortgage Trust,

Series 2019-KF71, Class B

(LIBOR USD 1-Month plus 2.30%)

4.85%

10/25/29

^1,2

759,835

742,657

FREMF Mortgage Trust,

Series 2020-KF75, Class B

(LIBOR USD 1-Month plus 2.25%)

4.80%

12/25/29

^1,2

2,250,696

2,134,928

Ginnie Mae,

Series 2011-152, Class IO (IO)

0.00%

08/16/51

⁴

5,360,814

Ginnie Mae,

Series 2012-112, Class IO (IO)

0.13%

02/16/53

⁴

29,212,512

93,492

Ginnie Mae,

Series 2012-78, Class IO (IO)

0.11%

06/16/52

⁴

41,595,307

66,082

Ginnie Mae,

Series 2014-103, Class IO (IO)

0.19%

05/16/55

⁴

14,423,720

123,532

Ginnie Mae,

Series 2014-125, Class IO (IO)

0.94%

11/16/54

⁴

10,716,345

306,718

39,207,263

U.S. Agency Mortgage-Backed — 19.16%

Fannie Mae REMICS,

Series 2006-11, Class PS

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

24.57% Cap)

13.26%

03/25/36

11,844

14,038

Fannie Mae REMICS,

Series 2006-8, Class HJ (IO)

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

6.60% Cap)

3.52%

03/25/36

502,515

48,016

Fannie Mae REMICS,

Series 2007-52, Class LS (IO)

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

6.05% Cap)

2.97%

06/25/37

26,005

1,459

Fannie Mae REMICS,

Series 2007-77, Class SK (IO)

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

5.87% Cap)

2.79%

08/25/37

51,724

4,332

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)

3.37%

04/25/37

585,532

51,581

Fannie Mae REMICS,

Series 2008-18, Class SM (IO)

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

7.00% Cap)

3.92%

03/25/38

37,912

2,026

Fannie Mae REMICS,

Series 2008-62, Class SN (IO)

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

6.20% Cap)

3.12%

07/25/38

66,075

4,445

Fannie Mae REMICS,

Series 2010-116, Class SE (IO)

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

6.60% Cap)

3.52%

10/25/40

30,758

3,187

Fannie Mae REMICS,

Series 2012-56, Class FK

(LIBOR USD 1-Month plus 0.45%)

3.53%

06/25/42

2,013,116

1,990,721

Fannie Mae REMICS,

Series 2013-5, Class GF

(LIBOR USD 1-Month plus 1.10%)

4.18%

10/25/42

140,870

139,511

Fannie Mae REMICS,

Series 2014-49, Class CF

(LIBOR USD 1-Month plus 1.00%)

3.56%

07/25/43

4,570,881

4,524,113

Fannie Mae REMICS,

Series 2019-33, Class FN

(LIBOR USD 1-Month plus 0.40%)

3.48%

07/25/49

4,044,659

3,992,797

Freddie Mac REMICS,

Series 2711, Class FA

(LIBOR USD 1-Month plus 1.00%)

3.82%

11/15/33

34,136

34,841

Freddie Mac REMICS,

Series 2733, Class FB

(LIBOR USD 1-Month plus 0.60%)

3.42%

10/15/33

139,290

140,322

Freddie Mac REMICS,

Series 3339, Class JS

(-6.50 X LIBOR USD 1-Month plus 42.84%,

42.84% Cap)

24.52%

07/15/37

8,094

11,494

Freddie Mac REMICS,

Series 3404, Class AS (IO)

(-1.00 X LIBOR USD 1-Month plus 5.90%,

5.90% Cap)

3.08%

01/15/38

36,423

3,663

Freddie Mac REMICS,

Series 3439, Class SC (IO)

(-1.00 X LIBOR USD 1-Month plus 5.90%,

5.90% Cap)

3.08%

04/15/38

29,710

1,813

Freddie Mac REMICS,

Series 3885, Class PO (PO)

0.00%

11/15/33

¹⁴

11,113

9,224



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
3.79%		04/15/42	²	$	71,417	$	7,605
Freddie Mac REMICS,
Series 4919, Class FP
(LIBOR USD 1-Month plus 0.45%)
3.53%		09/25/49	²		3,357,448		3,313,681
Freddie Mac REMICS,
Series 4993, Class OP (PO)
0.00%		10/25/58	¹⁴		2,382,527		2,100,519
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%		11/16/41			66,681		12,366
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%		06/16/37	²		386,074		2,831
Ginnie Mae,
Series 2011-81, Class IC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap)
0.62%		07/20/35	²		467,278		6,398
Ginnie Mae,
Series 2013-135, Class CS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
3.26%		09/16/43	²		1,473,425		149,323
Ginnie Mae,
Series 2017-136, Class IO (IO)
5.00%		09/20/47			290,885		56,675
Ginnie Mae,
Series 2019-86, Class FE
(LIBOR USD 1-Month plus 0.40%)
3.41%		07/20/49	²		4,203,683		4,174,605
Ginnie Mae,
Series 2020-133, Class FA
2.78%		02/20/49	⁴		2,970,462		2,870,584
UMBS (TBA)
2.00%		10/01/52			51,775,000		41,864,579
2.00%		11/01/52			114,975,000		92,956,129
2.50%		10/01/52			65,750,000		55,178,136
2.50%		11/01/52			123,375,000		103,518,588
3.00%		10/01/52			114,400,000		99,411,972
3.50%		10/01/52			2,625,000		2,359,714
4.00%		10/01/52			19,725,000		18,285,022
4.50%		10/01/52			97,125,000		92,438,085
5.00%		10/01/52			74,475,000		72,566,956

							602,251,351


Total Mortgage-Backed
(Cost $2,180,507,720)							1,921,085,027


MUNICIPAL BONDS — 0.37%*
California — 0.09%
California State University Revenue Bonds, University & College Improvements, Series B
2.37%		11/01/35			1,995,000		1,477,242



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

California (continued)
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%		07/01/34	$	115,000	$	127,050
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N
3.26%		05/15/60		1,790,000		1,186,105

						2,790,397


Florida — 0.12%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.81%		10/01/34		1,000,000		777,339
2.86%		10/01/35		1,750,000		1,340,198
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.35%		10/01/29		2,000,000		1,794,455

						3,911,992


New York — 0.16%
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%		11/15/49		975,000		883,481
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI
3.95%		08/01/32		1,000,000		905,430
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%		03/15/33		3,100,000		3,129,650

						4,918,561

Total Municipal Bonds
(Cost $14,254,232)						11,620,950


Total Bonds — 115.66%
(Cost $4,141,932,446)						3,634,462,900



Issues			Shares		Value
COMMON STOCK — 0.28%
Communications — 0.12%
Intelsat Emergence SA^3,5,6,12
(Luxembourg)				141,055		3,879,013


Electric — 0.00%
Homer City Holdings LLC^†,5,6				112,222		—


Financials — 0.16%
AGNC Investment Corp.				582,000		4,900,440


Total Common Stock
(Cost $17,826,354)						8,779,453


RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series
A^†,3,5,6,12
(Luxembourg)				14,771		—



Issues			Shares		Value

RIGHTS — 0.00% (continued)

Communications — 0.00% (continued)
Intelsat Jackson Holdings SA, Series B^†,3,5,6,12
(Luxembourg)				14,771	$	—

						—


Total Rights
(Cost $–)						—



Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 0.82%
Money Market Funds — 0.03%
Dreyfus Government Cash Management Fund
2.75%¹⁵				990,000		990,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
2.80%¹⁵				65,000		65,000

						1,055,000

U.S. Treasury Bills — 0.79%
U.S. Treasury Bills
2.89%¹⁶		12/01/22	$	25,000,000		24,881,674


Total Short-Term Investments
(Cost $25,937,512)						25,936,674


Total Investments - 116.76%
(Cost $4,185,696,312)						3,669,179,027


Net unrealized depreciation on unfunded commitments - 0.00%						(132,512	)
Liabilities in Excess of Other Assets - (16.76)%						(526,736,902	)

Net Assets - 100.00%					$	3,142,309,613

¹	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

²	Floating rate security. The rate disclosed was in effect at September 30, 2022.

³	Foreign denominated security issued by foreign domiciled entity.

⁴	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $19,826,226, which is 0.63% of total net assets.

⁷	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $74,844, at an interest rate of 13.27% and a maturity of September 07, 2023. The investment is not accruing an unused commitment fee.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $65,204, at an interest rate of 6.77% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $571,358, at an interest rate of 7.06% and a maturity of July 17, 2028. 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 $117,384, at an interest rate of 7.28% and a maturity of June 22, 2029. The investment is not accruing an unused commitment fee.

¹¹	Perpetual security with no stated maturity date.

¹²	Non-income producing security.

¹³	Security is currently in default with regard to scheduled interest or principal payments.

¹⁴	Zero coupon bond. The rate shown is the effective yield as of September 30, 2022.

¹⁵	Represents the current yield as of September 30, 2022.

^†	Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved by the Board of Trustees. 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.

¹⁶	Represents annualized yield at date of purchase.

(BKNT): Bank Note

(CLO): Collateralized Loan Obligation

(EDC): Economic Development Corporation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PO): Principal Only

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

¹ For the period October 1, 2021 (Commencement of Operations) to September 30, 2022.

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 fourteen separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West AlphaTrak 500 Fund (the “AlphaTrak 500 Fund”), Metropolitan West Corporate Bond Fund (the “Corporate Bond Fund”), Metropolitan West ESG Securitized Fund (the “ESG Securitized 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 Opportunistic High Income Credit Fund (the “Opportunistic High Income Credit 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 ESG Securitized Fund commenced investment operations on October 1, 2021 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 Plan Class was added on January 29, 2021. The High Yield Bond Fund commenced investment operations on September 30, 2002 with Class M shares. Class I was added on March 31, 2003. The Intermediate Bond Fund commenced investment operations on June 28, 2002 with the Class I shares. Class M was added on June 30, 2004. The Investment Grade Credit Fund commenced investment operations on June 29, 2018 with Class M and Class I shares. The Low Duration Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000, and the Administrative Class was added on September 22, 2009. The Opportunistic High Income Credit Fund commenced investment operations on August 2, 2021 with Class M and Class I shares. The Strategic Income Fund commenced investment operations on June 30, 2003 with Class M shares. Class I was added on March 31, 2004. The Total Return Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000; Class I-2 was added on March 6, 2020; Administrative Class was added on December 18, 2009; and the Plan Class added on July 31, 2011. The Ultra Short Bond Fund commenced investment operations on June 30, 2003 with the Class M shares. Class I was added on July 31, 2004. The Unconstrained Bond Fund commenced investment operations on September 30, 2011 with Class M and Class I shares; and the Plan Class was added on March 6, 2020. Each Fund is an investment company following the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“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 or exchange-traded funds (ETFs) that track the S&P 500 Index 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, plus any 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 ESG Securitized Fund seeks to maximize current income and achieve above average long-term total return by investing, under normal circumstances, at least 80% of its net assets in debt securities issued by securitized vehicles and similar instruments that the Adviser believes satisfy one or more of its positive-screening environmental, social and governance (“ESG”) criteria to support sustainable initiatives. The Fund’s portfolio duration is two to eight years and the Fund’s dollar-weighted average maturity ranges from two to fifteen 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. 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 zero to eight years.

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, plus any 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in high yield bonds (commonly known as “junk bonds”). The remainder of the Fund’s net assets may be invested in investment grade securities rated by one of the nationally recognized statistical rating organizations or, if unrated, determined by the Adviser to be of comparable quality. The Fund’s portfolio duration is 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in securities and instruments it regards as bonds in the U.S and abroad, including emerging markets, and may purchase securities of varying maturities issued by domestic and foreign corporations and governments. 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

The Opportunistic High Income Credit Fund seeks to maximize total returns through a combination of current income and capital appreciation by investing at least 80% of its net assets in investments across a range of global investment opportunities related to income-generating credit securities, with an emphasis on higher volatility, lower-quality debt securities rated below investment grade, or unrated securities determined by the Adviser to be of comparable quality. There is no limit on the weighted average maturity of the Fund’s portfolio, and there is no limit on the Fund’s average portfolio duration.

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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration normally will remain within one year of its benchmark index. The Fund’s dollar-weighted average 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in securities and instruments it regards as bonds in the U.S. and abroad, including emerging markets, and may purchase securities of varying maturities issued by domestic and foreign corporations and governments. 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.

Pursuant to Rule 2a-5 under the 1940 Act, the Board of Trustees (the “Board” or the “Board of Trustees”) has designated the Adviser as the “valuation designee” with respect to the fair valuation of the Fund’s portfolio securities, subject to oversight by and periodic reporting to the Board. Fixed income securities for which market quotations are readily available were valued during the period at prices as provided by independent pricing vendors or broker quotes. The Fund received pricing information from independent pricing vendors selected and overseen by the valuation designee. Securities with a demand feature exercisable within one to seven days are valued at par. The Fund also uses 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 ask 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 ask prices. Securities and other assets that could not be valued as described above were valued for the period at their fair value as determined by the Adviser in accordance with procedures approved by and under the general oversight 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 for the period included, but were 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 influence 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 could not be valued pursuant to one of the valuation methods approved by the Board, the value of the security or asset was determined in good faith by the Adviser, as the valuation designee. When the Fund uses these fair valuation methods that use significant unobservable inputs to determine NAV, securities will be priced by a method that the Adviser believes accurately reflects 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 Fund’s policy is intended to result in a calculation of its NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Adviser would accurately reflect the price that the Fund 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 Fund 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) foreign currency denominated securities and other assets and liabilities stated in foreign currencies are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.

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

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

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

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

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

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

As of and during the six months ended September 30, 2022, 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 as 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.

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 as 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 as Level 2 of the fair value hierarchy, unless key inputs are unobservable; they would then be categorized as Level 3.

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 as 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 as Level 3 of the hierarchy.

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.

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 as 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 categorized as Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable.

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.

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.

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 as Level 1 of the fair value hierarchy.

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.

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.

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 categorized as 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.

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.

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.

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 categorized as Level 1. Other government and agencies securities are quoted based on similar securities and yields, and therefore would be categorized as Level 2.

As of September 30, 2022, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and credit default swaps.

The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of September 30, 2022 is as follows:



ALPHATRAK 500 FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	62,011	$	—	$	—	$	62,011
U.S. Agency Discount Notes		—		1,042,301		—		1,042,301
U.S. Treasury Bills		1,784,793		—		—		1,784,793

Long-Term Investments:
Asset-Backed Securities		—		4,189,207		—		4,189,207
Common Stock		—		—		21,230		21,230
Corporates		—		10,475,872		—		10,475,872
Mortgage-Backed Securities		—		9,413,486		34,125		9,447,611
Municipal Bonds		—		660,781		—		660,781
Mutual Funds		13,573		—		—		13,573
Rights		—		—		—		—

Other Financial Instruments^*

Liabilities:
Equity contracts		(3,821,193)		—		—		(3,821,193)


Total	$	(1,960,816)	$	25,781,647	$	55,355	$	23,876,186


*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:
Money Market Funds	$	24,973	$	—	$	—	$	24,973

Long-Term Investments:
Asset-Backed Securities		—		—		36,143		36,143
Corporates		—		7,727,795		4,808		7,732,603
Mortgage-Backed Securities		—		37,030		7,287		44,317
Municipal Bonds		—		285,708		—		285,708
U.S. Treasury Securities		384,532		21,904		—		406,436

Other Financial Instruments^*

Assets:
Interest rate contracts		66,620		24,185		—		90,805

Liabilities:
Interest rate contracts		(39,153)		(82,880)		—		(122,033)


Total	$	436,972	$	8,013,742	$	48,238	$	8,498,952


*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.



ESG SECURITIZED FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:
Short-Term Investments:
Money Market Funds	$	894,956	$	—	$	—	$	894,956
U.S. Agency Discount Notes		—		94,424		—		94,424

Long-Term Investments:
Asset-Backed Securities		—		611,352		—		611,352
Mortgage-Backed Securities		—		9,226,464		—		9,226,464
U.S. Treasury Securities		1,286,305		—		—		1,286,305

Other Financial Instruments^*

Assets:
Foreign currency exchange contracts		—		26,916		—		26,916
Interest rate contracts		3,924		—		—		3,924

Liabilities:

Foreign currency exchange contracts		—		(198)		—		(198)
Interest rate contracts		(49,416)		—		—		(49,416)


Total	$	2,135,769	$	9,958,958	$	—	$	12,094,727


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

FLEXIBLE INCOME FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:
Short-Term Investments:
Money Market Funds	$	6,210,501	$	—	$	—	$	6,210,501
U.S. Treasury Bills		9,992,784		—		—		9,992,784

Long-Term Investments:
Asset-Backed Securities		—		29,480,403		441,744		29,922,147
Bank Loans		—		11,105,621		150,213		11,255,834
Common Stock		214,710		—		303,325		518,035
Corporates		—		76,944,967		490,711		77,435,678
Foreign Government Obligations		—		5,423,744		—		5,423,744
Mortgage-Backed Securities		—		129,022,008		2,799,359		131,821,367
Municipal Bonds		—		982,288		—		982,288
Rights		—		—		—		—
Warrant		—		19,946		—		19,946

Other Financial Instruments^*

Assets:
Foreign currency exchange contracts		—		253,930		—		253,930
Interest rate contracts		2,913,312		—		—		2,913,312

Liabilities:

Foreign currency exchange contracts		—		(3,350)		—		(3,350)
Interest rate contracts		(2,702,865)		—		—		(2,702,865)


Total	$	16,628,442	$	253,229,557	$	4,185,352	$	274,043,351


*Other financial instruments include foreign currency exchange contracts and 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	$	17,935,482	$	—	$	—	$	17,935,482

Long-Term Investments:
Asset-Backed Securities		—		2,163,735		—		2,163,735
Bank Loans		—		357,065,894		4,095,295		361,161,189
Common Stock		—		—		265,705		265,705
Corporates		—		18,810,477		—		18,810,477
Rights		—		—		—		—
Warrant		—		29,985		—		29,985

Other Financial Instruments^*

Assets:
Foreign currency exchange contracts		—		45,642		—		45,642


Total	$	17,935,482	$	378,115,733	$	4,361,000	$	400,412,215


*Other financial instruments include foreign currency exchange contracts.

HIGH YIELD BOND FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	2,910,581	$	—	$	—	$	2,910,581

Long-Term Investments:
Bank Loans		—		39,854,639		2,628,678		42,483,317
Common Stock		3,200,227		—		3,449,463		6,649,690
Corporates		—		465,261,603		3,598,470		468,860,073
Rights		—		—		—		—
Warrant		—		37,659		40		37,699

Other Financial Instruments^*

Assets:
Credit contracts		—		160,630		57,273		217,903
Foreign currency exchange contracts		—		170,035		—		170,035
Interest rate contracts		1,394,960		—		—		1,394,960

Liabilities:
Interest rate contracts		(3,083,592)		—		—		(3,083,592)


Total	$	4,422,176	$	505,484,566	$	9,733,924	$	519,640,666


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



INTERMEDIATE BOND FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:
Short-Term Investments:
Money Market Funds	$	1,650,143	$	—	$	—	$	1,650,143

Long-Term Investments:
Asset-Backed Securities		—		46,355,227		1,847,292		48,202,519
Bank Loans		—		11,044,367		—		11,044,367
Common Stock		—		—		419,347		419,347
Corporates		—		274,359,995		468,739		274,828,734
Foreign Government Obligations		—		1,024,305		—		1,024,305
Mortgage-Backed Securities		—		184,856,797		—		184,856,797
Municipal Bonds		—		8,206,181		—		8,206,181
Rights		—		—		—		—
U.S. Treasury Securities		345,275,435		1,035,314		—		346,310,749

Other Financial Instruments^*

Assets:
Credit contracts		—		46,439		59,727		106,166
Foreign currency exchange contracts		—		784,768		—		784,768
Interest rate contracts		995,132		—		—		995,132

Liabilities:
Interest rate contracts		(4,232,058)		—		—		(4,232,058)


Total	$	343,688,652	$	527,713,393	$	2,795,105	$	874,197,150


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

INVESTMENT GRADE CREDIT FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:
Short-Term Investments:
Money Market Funds	$	329,614	$	—	$	—	$	329,614

Long-Term Investments:
Asset-Backed Securities		—		460,053		32,127		492,180
Corporates		—		5,552,781		12,019		5,564,800
Mortgage-Backed Securities		—		1,865,967		25,032		1,890,999
Municipal Bonds		—		458,393		—		458,393
U.S. Treasury Securities		278,507		11,112		—		289,619

Other Financial Instruments^*

Assets:
Interest rate contracts		96,288		23,391		—		119,679

Liabilities:
Interest rate contracts		(63,903)		(87,221)		—		(151,124)


Total	$	640,506	$	8,284,476	$	69,178	$	8,994,160


*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.



LOW DURATION BOND FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	33,142,001	$	—	$	—	$	33,142,001

Long-Term Investments:
Asset-Backed Securities		—		269,001,564		5,461,558		274,463,122
Bank Loans		—		53,756,759		—		53,756,759
Common Stock		—		—		—		—
Corporates		—		722,963,978		1,882,166		724,846,144
Mortgage-Backed Securities		—		1,084,282,692		767,166		1,085,049,858
Municipal Bonds		—		26,403,444		—		26,403,444
Purchased Swaptions		—		26,031		—		26,031
U.S. Treasury Securities		458,887,160		—		—		458,887,160

Other Financial Instruments^*

Assets:
Credit contracts		—		137,712		193,170		330,882
Foreign currency exchange contracts		—		623,797		—		623,797
Interest rate contracts		25,037,483		—		—		25,037,483

Liabilities:
Interest rate contracts		(20,415,695)		(5,577)		—		(20,421,272)


Total	$	496,650,949	$	2,157,190,400	$	8,304,060	$	2,662,145,409


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

OPPORTUNISTIC HIGH INCOME CREDIT FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	76,380	$	—	$	—	$	76,380

Long-Term Investments:
Bank Loans		—		164,574		32,219		196,793
Common Stock		267,292		—		—		267,292
Corporates		—		1,884,483		—		1,884,483
Master Limited Partnerships		62,587		—		—		62,587
Mortgage-Backed Securities		—		195,195		21,091		216,286

Other Financial Instruments^*

Liabilities:
Interest rate contracts		(19,751)		—		—		(19,751)


Total	$	386,508	$	2,244,252	$	53,310	$	2,684,070


*Other financial instruments include futures. Interest rate contracts include futures.



STRATEGIC INCOME FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	366,220	$	—	$	—	$	366,220
U.S. Agency Discount Notes		—		1,556,300		—		1,556,300

Long-Term Investments:
Asset-Backed Securities		—		5,958,280		105,989		6,064,269
Common Stock		37,890		—		28,628		66,518
Corporates		—		12,713,298		28,845		12,742,143
Foreign Government Obligations		—		21,815		—		21,815
Mortgage-Backed Securities		—		19,241,267		75,802		19,317,069
Municipal Bonds		—		121,672		—		121,672
Rights		—		—		—		—

Other Financial Instruments^*

Assets:
Foreign currency exchange contracts		—		9,633		—		9,633
Interest rate contracts		361,324		52,220		—		413,544

Liabilities:
Foreign currency exchange contracts		—		(314)		—		(314)
Interest rate contracts		(141,706)		(183,675)		—		(325,381)


Total	$	623,728	$	39,490,496	$	239,264	$	40,353,488


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

TOTAL RETURN BOND FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	1,617,000,262	$	—	$	—	$	1,617,000,262
U.S. Agency Discount Notes		—		2,162,804,616		—		2,162,804,616
U.S. Treasury Bills		372,728,399		—		—		372,728,399

Long-Term Investments:
Asset-Backed Securities		—		3,271,457,251		25,854,053		3,297,311,304
Bank Loans		—		1,157,524,724		3,764,698		1,161,289,422
Common Stock		—		—		65,858,622		65,858,622
Corporates		—		19,322,386,700		55,093,608		19,377,480,308
Foreign Government Obligations		—		778,794,809		—		778,794,809
Mortgage-Backed Securities		—		31,093,467,807		244,206,658		31,337,674,465
Municipal Bonds		—		422,326,243		—		422,326,243
Rights		—		—		—		—
U.S. Treasury Securities		17,196,167,658		164,438,808		—		17,360,606,466

Other Financial Instruments^*

Assets:
Credit contracts		—		2,439,209		577,057		3,016,266
Foreign currency exchange contracts		—		48,679,398		—		48,679,398
Interest rate contracts		13,589,220		168,986,200		—		182,575,420

Liabilities:
Foreign currency exchange contracts		—		(1,289,810)		—		(1,289,810)
Interest rate contracts		(219,966,785)		(540,581,946)		—		(760,548,731)
Reverse Repurchase Agreements		—		(1,970,000,000)		—		(1,970,000,000)


Total	$	18,979,518,754	$	56,081,434,009	$	395,354,696	$	75,456,307,459


*Other financial instruments include foreign currency exchange contracts, futures, reverse repurchase agreements and swaps. Credit contracts include swaps. Interest rate contracts include futures and swaps.



ULTRA SHORT BOND FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	3,558,000	$	—	$	—	$	3,558,000
U.S. Agency Discount Notes		—		6,306,647		—		6,306,647

Long-Term Investments:
Asset-Backed Securities		—		8,810,020		—		8,810,020
Corporates		—		36,642,356		—		36,642,356
Mortgage-Backed Securities		—		49,153,653		12,768		49,166,421
Municipal Bonds		—		1,681,804		—		1,681,804
U.S. Treasury Securities		25,525,072		2,289,543		—		27,814,615

Other Financial Instruments^*

Assets:
Credit contracts		—		15,681		—		15,681
Foreign currency exchange contracts		—		31,094		—		31,094
Interest rate contracts		1,177,667		—		—		1,177,667

Liabilities:
Interest rate contracts		(382,935)		—		—		(382,935)


Total	$	29,877,804	$	104,930,798	$	12,768	$	134,821,370


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

UNCONSTRAINED BOND FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	1,055,000	$	—	$	—	$	1,055,000
U.S. Treasury Bills		24,881,674		—		—		24,881,674

Long-Term Investments:
Asset-Backed Securities		—		463,593,136		8,272,654		471,865,790
Bank Loans		—		120,258,504		333,029		120,591,533
Common Stock		4,900,440		—		3,879,013		8,779,453
Corporates		—		996,287,587		4,144,763		1,000,432,350
Foreign Government Obligations		—		108,867,250		—		108,867,250
Mortgage-Backed Securities		—		1,917,888,260		3,196,767		1,921,085,027
Municipal Bonds		—		11,620,950		—		11,620,950
Rights		—		—		—		—

Other Financial Instruments^*

Assets:
Credit contracts		—		416,955		266,889		683,844
Foreign currency exchange contracts		—		2,288,410		—		2,288,410
Interest rate contracts		45,629,820		7,049,375		—		52,679,195

Liabilities:
Foreign currency exchange contracts		—		(1,216)		—		(1,216)
Interest rate contracts		(8,972,199)		(25,479,707)		—		(34,451,906)


Total	$	67,494,735	$	3,602,789,504	$	20,093,115	$	3,690,377,354


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

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, 2022, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following tables are a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


ALPHATRAK 500 FUND		COMMON STOCK			MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2022	$	23,160		$	42,950
Accrued discounts/premiums		—			(5,837	)
Realized gain (loss)		—			—
Change in unrealized (depreciation)*		(1,930	)		(2,988	)
Purchases		—			—
Sales		—			—
Transfers into Level 3**		—			—
Transfers out of Level 3**		—			—

Balance as of
September 30, 2022	$	21,230		$	34,125

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(4,918) 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, 2022.


CORPORATE BOND FUND		ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2022	$	39,936		$	5,355		$	12,295
Accrued discounts/premiums		—			—			(1,169	)
Realized gain (loss)		—			—			—
Change in unrealized (depreciation)*		(2,523	)		(547	)		(3,839	)
Purchases		—			—			—
Sales		(1,270	)		—			—
Transfers into Level 3**		—			—			—
Transfers out of Level 3**		—			—			—

Balance as of
September 30, 2022	$	36,143		$	4,808		$	7,287

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(7,023) 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, 2022.



FLEXIBLE INCOME FUND	ASSET-BACKED SECURITIES			BANK LOANS			COMMON STOCK			CORPORATES			MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2022	$	488,107		$	—		$	330,900		$	531,973		$	1,948,536
Accrued discounts/premiums		—			470			—			(4,084	)		(129,376	)
Realized gain		—			13			—			—			—
Change in unrealized (depreciation)*		(30,834	)		(82,908	)		(27,575	)		(90,578	)		(1,473,337	)
Purchases		—			233,888			—			53,400			2,453,536
Sales		(15,529	)		(1,250	)		—			—			—
Transfers into Level 3**		—			—			—			—			—
Transfers out of Level 3**		—			—			—			—			—

Balance as of September 30, 2022	$	441,744		$	150,213		$	303,325		$	490,711		$	2,799,359

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(1,705,233) 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, 2022.


FLOATING RATE INCOME FUND		BANK LOANS			COMMON STOCK
Balance as of
April 1, 2022	$	3,781,017		$	289,860
Accrued discounts/premiums		15,695			—
Realized (loss)		(374	)		—
Change in unrealized (depreciation)*		(1,026,496	)		(24,155	)
Purchases		2,766,469			—
Sales		(25,391	)		—
Transfers into Level 3**		—			—
Transfers out of Level 3**		(1,415,625	)		—

Balance as of
September 30, 2022	$	4,095,295		$	265,705

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(990,665) 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of September 30, 2022, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $1,415,625 transferred from level 3 to level 2 in the disclosure hierarchy.


HIGH YIELD BOND FUND		BANK LOANS			COMMON STOCK			CORPORATES			CREDIT DEFAULT SWAPS			WARRANT
Balance as of
April 1, 2022	$	4,460,910		$	3,763,050		$	4,007,877		$	94,040		$	51
Accrued discounts/premiums		33,628			—			—			(33,133	)		—
Realized gain		768			—			—			—			—
Change in unrealized (depreciation)*		(1,216,736	)		(313,587	)		(409,407	)		(4,185	)		(11	)
Purchases		1,440,281			—			—			—			—
Sales		(13,924	)		—			—			551			—
Transfers into Level 3**		—			—			—			—			—
Transfers out of Level 3**		(2,076,249	)		—			—			—			—

Balance as of
September 30, 2022	$	2,628,678		$	3,449,463		$	3,598,470		$	57,273		$	40

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(1,855,959) 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of September 30, 2022, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $2,076,249 transferred from level 3 to level 2 in the disclosure hierarchy.


INTERMEDIATE BOND FUND		ASSET-BACKED SECURITIES			COMMON STOCK			CORPORATES			CREDIT DEFAULT SWAPS
Balance as of
April 1, 2022	$	2,041,174		$	457,470		$	522,068		$	98,067
Accrued discounts/premiums		—			—			—			(34,659	)
Realized gain (loss)		—			—			—			—
Change in unrealized (depreciation)*		(128,940	)		(38,123	)		(53,329	)		(4,258	)
Purchases		—			—			—			577
Sales		(64,942	)		—			—			—
Transfers into Level 3**		—			—			—			—
Transfers out of Level 3**		—			—			—			—

Balance as of
September 30, 2022	$	1,847,292		$	419,347		$	468,739		$	59,727

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(224,650) 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, 2022.


INVESTMENT GRADE CREDIT FUND		ASSET-BACKED SECURITIES		CORPORATES		MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2022	$	35,499	$	13,386	$	37,672
Accrued discounts/premiums		—		—		(1,677)
Realized gain (loss)		—		—		—
Change in unrealized (depreciation)*		(2,242)		(1,367)		(10,963)
Purchases		—		—		—
Sales		(1,130)		—		—
Transfers into Level 3**		—		—		—
Transfers out of Level 3**		—		—		—

Balance as of
September 30, 2022	$	32,127	$	12,019	$	25,032

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(14,573) 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, 2022.


LOW DURATION BOND FUND		ASSET-BACKED SECURITIES		CORPORATES		CREDIT DEFAULT SWAPS		MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2022	$	6,034,776	$	2,096,305	$	317,177	$	891,424
Accrued discounts/premiums		—		—		(111,751)		(37,433)
Realized gain (loss)		—		—		—		—
Change in unrealized (depreciation)*		(381,216)		(214,139)		(14,116)		(86,825)
Purchases		—		—		1,860		—
Sales		(192,002)		—		—		—
Transfers into Level 3**		—		—		—		—
Transfers out of Level 3**		—		—		—		—

Balance as of
September 30, 2022	$	5,461,558	$	1,882,166	$	193,170	$	767,166

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(696,296) 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, 2022.

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(22,189) 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, 2022, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2022, 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 $15,120 transferred from level 2 to level 3 in the disclosure hierarchy.


STRATEGIC INCOME FUND		ASSET-BACKED SECURITIES		COMMON STOCK		CORPORATES		MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2022	$	115,275	$	31,230	$	32,127	$	85,217
Accrued discounts/premiums		127		—		—		38,716
Realized gain (loss)		—		—		—		—
Change in unrealized (depreciation)*		(7,296)		(2,602)		(3,282)		(48,131)
Purchases		—		—		—		—
Sales		(2,117)		—		—		—
Transfers into Level 3**		—		—		—		—
Transfers out of Level 3**		—		—		—		—

Balance as of
September 30, 2022	$	105,989	$	28,628	$	28,845	$	75,802

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(61,311) 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, 2022.



TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES		BANK LOANS		COMMON STOCK		CORPORATES		CREDIT DEFAULT SWAPS		MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2022	$	28,567,563	$	3,351,078	$	71,845,770	$	61,572,896	$	947,503	$	155,761,703
Accrued discounts/premiums		(800,882)		27,928		—		(9,723)		—		28,826
Realized (loss)		—		—		—		(29,041)		—		—
Change in unrealized (depreciation)*		(536,578)		(60,843)		(5,987,148)		(6,183,365)		(41,057)		(5,427,394)
Purchases		1,922,313		446,535		—		—		—		94,752,428
Sales		(3,298,363)		—		—		(257,159)		(329,389)		(908,905)
Transfers into Level 3**		—		—		—		—		—		—
Transfers out of Level 3**		—		—		—		—		—		—

Balance as of September 30, 2022	$	25,854,053	$	3,764,698	$	65,858,622	$	55,093,608	$	577,057	$	244,206,658

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(18,236,386) 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, 2022.

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $1,870 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, 2022.



UNCONSTRAINED BOND FUND	ASSET-BACKED SECURITIES		BANK LOANS		COMMON STOCK		CORPORATES		CREDIT DEFAULT SWAPS		MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2022	$	9,140,910	$	1,773,939	$	4,231,650	$	4,328,214	$	438,220	$	54,965
Accrued discounts/premiums		—		4,231		—		21,366		(154,876)		19,453
Realized gain		—		89		—		—		—		—
Change in unrealized (depreciation)*		(577,429)		(65,358)		(352,637)		(1,442,735)		(19,025)		(25,602)
Purchases		—		39,503		—		1,237,918		2,570		3,147,951
Sales		(290,827)		(3,750)		—		—		—		—
Transfers into Level 3**		—		—		—		—		—		—
Transfers out of Level 3**		—		(1,415,625)		—		—		—		—

Balance as of September 30, 2022	$	8,272,654	$	333,029	$	3,879,013	$	4,144,763	$	266,889	$	3,196,767

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2022 was $(2,422,810) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

Significant unobservable valuations inputs for Level 3 investments as of September 30, 2022, are as follows:

CORPORATE BOND FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Asset-Backed Securities

$36,143

Broker Quote

Offered Quote

$88.05

Increase

Corporate Securities

$4,808

Third-Party Vendor

Vendor Prices

$83.50

Increase

Mortgage-Backed Securities- Non-Agency Commercial

$7,287

Third-Party Vendor

Vendor Prices

$0.00 - $1.22

$1.22

Increase

FLEXIBLE INCOME FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Asset-Backed Securities

$441,744

Broker Quote

Offered Quote

$88.05

Increase

Bank Loans

$150,213

Third-Party Vendor

Vendor Prices

$61.00

Increase

Common Stock

$303,325

Third-Party Vendor

Vendor Prices

$27.50

Increase

Corporate Securities

$—

Broker Quote

Offered Quote

$—

Increase

Corporate Securities

$490,711

Third-Party Vendor

Vendor Prices

$6.75 - $83.50

$77.15

Increase

Mortgage-Backed Securities-Non-Agency

$2,194,130

Third-Party Vendor

Vendor Prices

$0.00 - $12.12

$5.40

Increase

Mortgage-Backed Securities- Non-Agency Commercial

$232,464

Broker Quote

Offered Quote

$96.86

Increase

Mortgage-Backed Securities- Non-Agency Commercial

$372,765

Third-Party Vendor

Vendor Prices

$1.22

Increase

Rights

$—

Broker Quote

Offered Quote

$—

Increase

FLOATING RATE INCOME

FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Bank Loans

$4,095,295

Third-Party Vendor

Vendor Prices

$59.40 - $83.67

$72.87

Increase

Common Stock

$265,705

Third-Party Vendor

Vendor Prices

$27.50

Increase

Corporate Securities

$—

Broker Quote

Offered Quote

$—

Increase

Rights

$—

Broker Quote

Offered Quote

$—

Increase

HIGH YIELD BOND FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Bank Loans

$2,628,678

Third-Party Vendor

Vendor Prices

$59.40 - $75.00

$66.53

Increase

Common Stock

$—

Broker Quote

Offered Quote

$—

Increase

Common Stock

$3,449,463

Third-Party Vendor

Vendor Prices

$27.50

Increase

Corporate Securities

$—

Broker Quote

Offered Quote

$—

Increase

Corporate Securities

$3,598,470

Third-Party Vendor

Vendor Prices

$83.50

Increase

Credit Default Swaps

$57,273

Broker Quote

Offered Quote

$2.70

Increase

Rights

$—

Broker Quote

Offered Quote

$—

Increase

Warrant

$40

Third-Party Vendor

Vendor Prices

$2.50

Increase

INTERMEDIATE BOND
FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Asset-Backed Securities

$1,847,292

Broker Quote

Offered Quote

$88.05

Increase

Common Stock

$—

Broker Quote

Offered Quote

$—

Increase

Common Stock

$419,347

Third-Party Vendor

Vendor Prices

$27.50

Increase

Corporate Securities

$—

Broker Quote

Offered Quote

$—

Increase

Corporate Securities

$468,739

Third-Party Vendor

Vendor Prices

$83.50

Increase

Credit Default Swaps

$59,726

Broker Quote

Offered Quote

$2.70

Increase

Rights

$—

Broker Quote

Offered Quote

$—

Increase

INVESTMENT GRADE
CREDIT FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Asset-Backed Securities

$32,127

Broker Quote

Offered Quote

$88.05

Increase

Corporate Securities

$12,019

Third-Party Vendor

Vendor Prices

$83.50

Increase

Mortgage-Backed Securities- Non-Agency Commercial

$25,032

Third-Party Vendor

Vendor Prices

$0.02 - $1.22

$1.22

Increase

LOW DURATION BOND
FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Asset-Backed Securities

$5,461,558

Broker Quote

Offered Quote

$88.05

Increase

Common Stock

$—

Broker Quote

Offered Quote

$—

Increase

Corporate Securities

$1,882,166

Third-Party Vendor

Vendor Prices

$83.50

Increase

Credit Default Swaps

$193,170

Broker Quote

Offered Quote

$2.70

Increase

Mortgage-Backed Securities-Non-Agency

$767,166

Third-Party Vendor

Vendor Prices

$1.32

Increase

OPPORTUNISTIC HIGH
INCOME CREDIT FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Bank Loans

$32,219

Third-Party Vendor

Vendor Prices

$59.40 - $75.00

$65.51

Increase

Mortgage-Backed Securities-Non-Agency

$21,091

Third-Party Vendor

Vendor Prices

$9.65

Increase

STRATEGIC INCOME
FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Asset-Backed Securities

$60,238

Broker Quote

Offered Quote

$88.05

Increase

Asset-Backed Securities

$45,751

Third-Party Vendor

Vendor Prices

$10.90

Increase

Common Stock

$28,628

Third-Party Vendor

Vendor Prices

$27.50

Increase

Corporate Securities

$—

Broker Quote

Offered Quote

$—

Increase

Corporate Securities

$28,845

Third-Party Vendor

Vendor Prices

$83.50

Increase

Mortgage-Backed Securities-Non-Agency

$75,802

Third-Party Vendor

Vendor Prices

$4.47

Increase

Rights

$—

Broker Quote

Offered Quote

$—

Increase

TOTAL RETURN BOND
FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Asset-Backed Securities

$25,854,053

Broker Quote

Offered Quote

$88.05

Increase

Bank Loans

$3,764,698

Third-Party Vendor

Vendor Prices

$60.00

Increase

Common Stock

$—

Broker Quote

Offered Quote

$—

Increase

Common Stock

$65,858,622

Third-Party Vendor

Vendor Prices

$27.50

Increase

Corporate Securities

$—

Broker Quote

Offered Quote

$—

Increase

Corporate Securities

$55,093,608

Third-Party Vendor

Vendor Prices

$83.50 - $100.05

$84.44

Increase

Credit Default Swaps

$577,057

Broker Quote

Offered Quote

$2.70

Increase

Mortgage-Backed Securities-Non-Agency

$6,999,809

Third-Party Vendor

Vendor Prices

$0.83 - $99.68

$20.08

Increase

Mortgage-Backed Securities- Non-Agency Commercial

$237,206,849

Broker Quote

Offered Quote

$96.67 - $99.43

$97.29

Increase

Rights

$—

Broker Quote

Offered Quote

$—_

$—

Increase

ULTRA SHORT BOND
FUND

FAIR VALUE AT
9/30/22

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

INPUT TO
VALUATION
IF INPUT
INCREASES

Mortgage-Backed Securities-Non-Agency

$12,768

Third-Party Vendor

Vendor Prices

$1.19

Increase

* 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, 2022:

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 2022:



			ASSET DERIVATIVE INVESTMENTS
	ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND
Credit contracts:
Swaps	$	—	$	—	$	—	$	—	$	—	$	217,903
Interest contracts:
Futures¹		—		66,620		3,924		2,913,312		—		1,394,960
Swaps		—		24,185		—		—		—		—
Foreign currency exchange contracts:
Forwards		—		—		26,916		253,930		45,642		170,035

Total	$	—	$	90,805	$	30,840	$	3,167,242	$	45,642	$	1,782,898


			ASSET DERIVATIVE INVESTMENTS
	INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND

Credit contracts:
Swaps	$	106,166	$	—	$	330,882	$	—	$	—	$	3,016,266
Interest contracts:
Futures¹		995,132		96,288		25,037,483		—		361,324		13,589,220
Options and swaptions purchased		—		—		26,031		—		—		—
Swaps		—		23,391		—		—		52,220		168,986,200
Foreign currency exchange contracts:
Forwards		784,768		—		623,796		—		9,633		48,679,398


Total	$	1,886,066	$	119,679	$	26,018,192	$	—	$	423,177	$	234,271,084

¹Includes cumulative appreciation (depreciation) of financial futures contracts as reported in the Schedules of Portfolio Investments. Only the current day’s margin variation is reported within the Statements of Assets and Liabilities.



			LIABILITY DERIVATIVE INVESTMENTS
	ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND

Equity contracts:
Futures¹	$	(3,821,193)	$	—	$	—	$	—	$	—	$	—
Interest contracts:
Futures¹		—		(39,153)		(49,416)		(2,702,865)		—		(3,083,592)
Swaps		—		(82,880)		—		—		—		—
Foreign currency exchange contracts:
Forwards		—		—		(198)		(3,350)		—		—


Total	$	(3,821,193)	$	(122,033)	$	(49,614)	$	(2,706,215)	$	—	$	(3,083,592)



			LIABILITY DERIVATIVE INVESTMENTS
	INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND

Interest contracts:
Futures¹	$	(4,232,058)	$	(63,903)	$	(20,415,695)	$	(19,751)	$	(141,706)	$	(219,966,785)
Options and swaptions written		—		—		(5,577)		—		—		—
Swaps		—		(87,221)		—		—		(183,675)		(540,581,946)
Foreign currency exchange contracts:
Forwards		—		—		—		—		(314)		(1,289,810)


Total	$	(4,232,058)	$	(151,124)	$	(20,421,272)	$	(19,751)	$	(325,695)	$	(761,838,541)

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, 2022:



REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND
Credit contracts:
Swaps	$	—	$	—	$	—	$	—	$	—	$	56,602
Equity contracts:
Futures		(1,472,373)		—		—		—		—		—
Interest contracts:
Futures		—		48,836		45,814		1,247,026		—		7,328,996
Options and swaptions purchased¹		—		—		—		—		—		—
Options and swaptions written		—		1,848		—		(26,282)		—		—
Swaps		—		(317)		—		—		—		—
Foreign currency exchange contracts:
Forwards		(1,530)		(1,189)		29,137		181,680		52,044		185,430


Total	$	(1,473,903)	$	49,178	$	74,951	$	1,402,424	$	52,044	$	7,571,028



REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND
Credit contracts:
Swaps	$	29,311	$	—	$	94,903	$	—	$	—	$	769,914
Interest contracts:
Futures		(1,143,153)		76,944		14,140,169		(11,333)		309,728		(111,659,627)
Options and swaptions purchased¹		(282,459)		—		(928,575)		—		—		(29,532,671)
Options and swaptions written		(1,088,029)		(791)		(3,579,911)		—		(1,359)		(104,340,975)
Swaps		—		(9,603)		—		—		(211)		(408,274)
Foreign currency exchange contracts:
Forwards		(13,397)		—		335,565		—		8,429		51,252,848


Total	$	(2,497,727)	$	66,550	$	10,062,151	$	(11,333)	$	316,587	$	(193,918,785)

¹Options and swaptions purchased are included in net realized gain (loss) from investments — unaffiliated.



CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND

Credit contracts:
Swaps	$	—	$	—	$	—	$	—	$	—	$	(3,441)
Equity contracts:
Futures		(6,046,077)		—		—		—		—		—
Interest contracts:
Futures		—		14,929		(71,871)		418,723		—		(3,400,168)
Options and swaptions purchased¹		—		—		—		—		—		—
Options and swaptions written		—		8,358		—		7,873		—		—
Swaps		—		(30,618)		—		—		—		—
Foreign currency exchange contracts:
Forwards		—		1,189		20,588		259,281		32,904		112,138


Total	$	(6,046,077)	$	(6,142)	$	(51,283)	$	685,877	$	32,904	$	(3,291,471)



CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND

Credit contracts:
Swaps	$	(3,627)	$	—	$	(12,091)	$	—	$	—	$	(32,569)
Interest contracts:
Futures		(2,271,258)		17,646		1,323,503		(13,153)		171,487		(167,599,391)
Options and swaptions purchased¹		238,284		—		796,921		—		—		25,000,745
Options and swaptions written		788,477		9,157		2,593,066		—		19,326		132,705,720
Swaps		—		(14,749)		—		—		(65,466)		(177,039,398)
Foreign currency exchange contracts:
Forwards		853,894		—		623,796		—		11,870		45,155,099


Total	$	(394,230)	$	12,054	$	5,325,195	$	(13,153)	$	137,217	$	(141,809,794)

¹Options purchased are included in net change in unrealized appreciation (depreciation) on investments.



AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS¹

	ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND
Financial futures contracts:
Average number of contracts purchased		157		10		9		573		—		481
Average number of contracts sold		—		7		8		285		—		256
Average value of contracts purchased	$	2,376,192	$	10,615	$	19,002	$	1,194,407	$	—	$	1,021,251
Average value of contracts sold	$	—	$	27,074	$	16,065	$	1,306,085	$	—	$	921,988
Written options:
Average number of contracts		—		—		—		50		—		—
Average notional value	$	—	$	—	$	—	$	41,347	$	—	$	—
Credit default swaps:
Average number of contracts - sell protection		—		—		—		—		—		2
Average notional value - sell protection	$	—	$	—	$	—	$	—	$	—	$	5,980,000
Interest rate swaps:
Average number of contracts - pays fixed rate		—		2		—		—		—		—
Average number of contracts - receives fixed rate		—		2		—		—		—		—
Average notional - pays fixed rate	$	—	$	1,694	$	—	$	—	$	—	$	—
Average notional - receives fixed rate	$	—	$	203	$	—	$	—	$	—	$	—
Written swaptions:
Average number of contracts		—		1		—		—		—		—
Average notional value	$	—	$	462	$	—	$	—	$	—	$	—
Foreign currency exchange contracts:
Average number of contracts sold		1		1		3		9		3		4
Average value of contracts sold	$	1,550	$	1,519	$	14,360	$	141,251	$	33,102	$	90,148



AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS¹

	INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND

Financial futures contracts:
Average number of contracts purchased		776		22		3,722		4		26		24,435
Average number of contracts sold		72		14		3,830		1		26		1,926
Average value of contracts purchased	$	1,506,475	$	32,689	$	7,961,427	$	7,076	$	54,156	$	73,264,262
Average value of contracts sold	$	381,313	$	54,161	$	10,848,549	$	12	$	134,862	$	4,518,246
Purchased options:
Average number of contracts		324		—		1,058		—		—		33,772
Average notional value	$	203,715	$	—	$	666,224	$	—	$	—	$	21,135,540
Written options:
Average number of contracts		1,041		5		3,380		—		10		109,174
Average notional value	$	561,030	$	3,935	$	1,817,441	$	—	$	7,870	$	59,387,742
Credit default swaps:
Average number of contracts -sell protection		2		—		2		—		—		2
Average notional value - sell protection	$	3,225,000	$	—	$	10,120,000	$	—	$	—	$	80,665,000
Interest rate swaps:
Average number of contracts -pays fixed rate		—		5		—		—		6		7
Average number of contracts -receives fixed rate		—		3		—		—		5		6
Average notional - pays fixed rate	$	—	$	2,159	$	—	$	—	$	3,433	$	9,988,899
Average notional - receives fixed rate	$	—	$	123	$	—	$	—	$	418	$	1,225,326
Purchased swaptions:
Average number of contracts		—		—		1		—		—		1
Average notional value	$	—	$	—	$	939,000	$	—	$	—	$	2,724,060
Written swaptions:
Average number of contracts		—		1		1		—		1		1
Average notional value	$	—	$	462	$	540,000	$	—	$	980	$	3,024,870
Foreign currency exchange contracts:
Average number of contracts sold		6		—		1		—		3		15
Average value of contracts sold	$	312,432	$	—	$	288,849	$	—	$	6,750	$	32,924,721



AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS¹

	ULTRA SHORT BOND FUND		UNCONSTRAINED BOND FUND
Financial futures contracts:
Average number of contracts purchased		35		3,591
Average number of contracts sold		237		4,496
Average value of contracts purchased	$	102,657	$	6,251,856
Average value of contracts sold	$	596,721	$	20,962,985
Purchased options:
Average number of contracts		93		1,628
Average notional value	$	57,757	$	1,023,356
Written options:
Average number of contracts		298		5,210
Average notional value	$	158,980	$	2,805,659
Credit default swaps:
Average number of contracts - sell protection		1		2
Average notional value - sell protection	$	390,000	$	19,620,000
Interest rate swaps:
Average number of contracts - pays fixed rate		—		6
Average number of contracts - receives fixed rate		—		5
Average notional - pays fixed rate	$	—	$	478,641
Average notional - receives fixed rate	$	—	$	61,066
Written swaptions:
Average number of contracts		—		1
Average notional value	$	—	$	145,620
Foreign currency exchange contracts:
Average number of contracts sold		2		8
Average value of contracts sold	$	40,940	$	1,682,627

¹Amounts disclosed represent the volume of derivative contracts for the period ended September 30, 2022.

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 ESG Securitized 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, 2022:

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 ESG Securitized 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, 2022:

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents Flexible Income 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, 2022:



	FLEXIBLE INCOME 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
Citibank N.A.
Foreign Currency Exchange Contracts		$	10,767		$	—		$	(3,350)			$	7,417

Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts		$	234,291		$	—		$	—			$	234,291

Goldman Sachs International
Foreign Currency Exchange Contracts		$	8,872		$	—		$	—			$	8,872

Total		$	253,930		$	—		$	(3,350	)		$	250,580

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 Flexible Income 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, 2022:

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents Floating Rate Income 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, 2022:

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 High Yield 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, 2022:



	HIGH YIELD 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
Citibank N.A.
Foreign Currency Exchange Contracts		$	4,357		$	—		$	—		$	4,357

Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts		$	146,865		$	—		$	—		$	146,865

Credit Suisse First Boston International
Credit Default Swaps		$	217,903		$	(217,903)		$	—		$	—

Goldman Sachs International
Foreign Currency Exchange Contracts		$	18,813		$	—		$	—		$	18,813

Total		$	387,938		$	(217,903)		$	—		$	170,035

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 Intermediate 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, 2022:



	INTERMEDIATE 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
Citibank N.A.
Foreign Currency Exchange Contracts	$	42,100	$	(42,100	)	$	—	$	—

Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	633,110	$	(633,110	)	$	—	$	—

Credit Suisse First Boston International
Credit Default Swaps	$	106,166	$	—		$	—	$	106,166

Goldman Sachs International
Foreign Currency Exchange Contracts	$	18,000	$	—		$	—	$	18,000

The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	91,558	$	—		$	—	$	91,558

Total	$	890,934	$	(675,210)		$	—	$	215,724

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 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, 2022:



	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
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	623,796	$	(623,796)	$	—	$	—

Credit Suisse First Boston International
Credit Default Swaps	$	330,882	$	(330,882)	$	—	$	—

Goldman Sachs International
Swaptions	$	26,031	$	(10,000)	$	(5,577)	$	10,454

Total	$	980,709	$	(964,678)	$	(5,577)	$	10,454

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, 2022:

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents Strategic Income 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, 2022:



	STRATEGIC INCOME 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
Citibank N.A.
Foreign Currency Exchange Contracts	$	1,681	$	—	$	(314)	$	1,367

Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	7,952	$	—	$	—	$	7,952

Total	$	9,633	$	—	$	(314)	$	9,319

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 Strategic Income 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, 2022:

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents 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, 2022:



	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	21,749,113	$	(21,749,113	)	$	—		$	—

Barclays Bank PLC
Foreign Currency Exchange Contracts	$	3,670,034	$	(3,099,777	)	$	(570,257	)	$	—

Citibank N.A.
Foreign Currency Exchange Contracts	$	4,558,252	$	(4,183,260	)	$	(374,992	)	$	—

Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	16,618,307	$	(16,618,307	)	$	—		$	—

Credit Suisse First Boston International Credit Default Swaps	$	3,016,266	$	(2,980,000	)	$	—		$	36,266

Goldman Sachs International
Foreign Currency Exchange Contracts	$	1,926,271	$	(1,926,271	)	$	—		$	—

State Street Global Markets LLC
Foreign Currency Exchange Contracts	$	157,421	$	—		$	(157,421	)	$	—

Total	$	51,695,664	$	(50,556,728	)	$	(1,102,670	)	$	36,266

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, 2022:



	TOTAL RETURN BOND FUND

COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED¹			DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE LIABILITIES²
Barclays Bank PLC
Foreign Currency Exchange Contracts	$	570,257	$	—		$	(570,257	)	$	—
Reverse Repurchase Agreements	$	985,000,000	$	(985,000,000	)	$	—		$	—

	$	985,570,257	$	(985,000,000	)	$	(570,257	)	$	—

Citibank N.A.
Foreign Currency Exchange Contracts	$	374,992	$	—		$	(374,992	)	$	—

JPMorgan Chase
Reverse Repurchase Agreements	$	985,000,000	$	(985,000,000	)	$	—		$	—

State Street Global Markets LLC
Foreign Currency Exchange Contracts	$	344,561	$	—		$	(157,421	)	$	187,140

Total	$	1,971,289,810	$	(1,970,000,000)		$	(1,102,670)		$	187,140

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents Ultra Short Bond Fund’s OTC derivative assets 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, 2022:



	ULTRA SHORT 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
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	31,094	$	—	$	—	$	31,094

Credit Suisse First Boston International
Credit Default Swaps	$	15,681	$	—	$	—	$	15,681

Total	$	46,775	$	—	$	—	$	46,775

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 Unconstrained Bond Fund’s OTC derivative assets 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, 2022:



	UNCONSTRAINED 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
Barclays Bank PLC
Foreign Currency Exchange Contracts	$	18,430	$	—		$	—		$	18,430

Citibank N.A.
Foreign Currency Exchange Contracts	$	152,728	$	(151,512	)	$	(1,216	)	$	—

Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	1,988,755	$	(1,988,755	)	$	—		$	—

Credit Suisse First Boston International
Credit Default Swaps	$	683,844	$	(683,844	)	$	—		$	—

Goldman Sachs International
Foreign Currency Exchange Contracts	$	128,497	$	—		$	—		$	128,497

Total	$	2,972,254	$	(2,824,111	)	$	(1,216	)	$	146,927

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 Unconstrained 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, 2022:

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents 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 the Federal National Mortgage Association (“FNMA”) and the 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 the 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, 2022, 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 approved 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, ESG Securitized Fund, Flexible Income Fund, High Yield Bond Fund, Investment Grade Credit Fund, Opportunistic High Income 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 AlphaTrak 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, 2022, 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, 2022, 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, 2022, 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 repurchase agreement involves the risk that the market value of the security sold by a Fund may decline below the repurchase price of the security. A Fund will segregate assets determined to be liquid by the manager or otherwise cover its obligations under reverse repurchase agreements. The average dollar amount and average interest rate of reverse repurchase agreements in the Total Return Bond Fund for the six months ended September 30, 2022, was $417,121,566 and (0.52)%.

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, 2022, the Total Return Bond Fund held reverse repurchase agreements.

As of September 30, 2022, the following table is a summary of open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.

Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment. Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.

The Funds may engage in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing their 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, 2022, the Flexible Income Fund, Intermediate Bond Fund, Investment Grade Credit Fund, Low Duration Bond Fund, Strategic Income Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained Bond Fund held written options.

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. 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. As of September 30, 2022, High Yield Bond Fund, Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained Bond Fund had credit default swaps outstanding in the Funds.

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, 2022, Corporate Bond Fund, Investment Grade Credit Fund, Low Duration Bond Fund, Strategic Income Fund, Total Return Bond Fund and Unconstrained 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, 2022, 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 an 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 declared in March 2020 that the COVID-19 outbreak officially 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, imposed and in some cases 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.

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. 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 that may arise in the future could have a significant adverse impact on our investments and result in significant investment losses.

LIBOR Risk: The London Interbank Offered 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. However, the ICE Benchmark Administration, in its capacity as administrator of USD LIBOR, announced it would extend publication of 1-month, 3-month, and 6-month USD LIBOR by 19 months to June 2023. It is expected that market participants will transition to the use of different alternative reference or benchmark rates. Although regulators have encouraged the development and adoption of alternative rates such as the Secured Overnight Financing Rate (“SOFR”), 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.

Bank Loan Risk: There is a risk of investing in corporate loans made by commercial banks and other financial institutions or institutional investors to companies that need capital to grow or restructure, which includes interest rate risk, liquidity risk and prepayment risk. The Fund may also be subject to the credit risk of other financial institutions and the risks associated with insufficient collateral securing a bank loan, limited available public information about a bank loan, delayed settlement, and less protection for holders of bank loans as compared to holders of registered securities. Bank loans are not registered and otherwise may not be treated as securities under the federal securities laws, meaning investors in loans have less protection against improper practices than investors in securities that are registered under or are otherwise subject to the protections of the securities laws.

Investment transactions for the six months ended September 30, 2022, 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, 2022 were as follows:

Purchases include the Flexible Income Fund, Total Return Bond Fund, and Unconstrained Bond Fund’s purchase of certain securities from affiliated investment accounts for a total of $4,296,263, $19,339,507, and $13,860,487, respectively. These trades are settled for cash in accordance with the valuation and other requirements set forth in Rule 17a-7 under the 1940 Act. There were no sales to affiliates, and no associated realized gains or losses to report during the period.

Investment transactions in the shares of affiliated issuers for the six months ended September 30, 2022 were as follows:

As compensation for advisory services, the Adviser charges the AlphaTrak 500 Fund, the Corporate Bond Fund, the ESG Securitized 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 Opportunistic High Income Credit Fund, the Strategic Income 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%, 0.40%, 0.40%, 0.45%, 0.55%, 0.50%, 0.35%, 0.35%, 0.30%, 0.50%, 0.65%, 0.35%, 0.25% and 0.65%, respectively, of each Fund’s average daily net assets.

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, 2022, were as follows:

PORTFOLIO

INVESTMENT ADVISORY FEE RATE

CONTRACTUAL EXPENSE LIMITATION¹

CLASS M

CLASS I

CLASS I-2

ADMINI-
STRATIVE
CLASS

PLAN
CLASS

CLASS M

CLASS I

CLASS I-2

ADMINI-
STRATIVE
CLASS

PLAN
CLASS

AlphaTrak 500 Fund

0.40%²

N/A

0.45%³

N/A

Corporate Bond Fund

0.40%

N/A

0.75%

0.50%

N/A

ESG Securitized Fund

0.40%

N/A

0.70%

0.49%

N/A

Flexible Income Fund

0.45%

N/A

0.80%

0.55%

N/A

Floating Rate Income Fund

0.55%

N/A

0.55%

0.90%

0.70%

N/A

0.60%

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

Opportunistic High Income Credit Fund

0.50%

N/A

0.85%

0.60%

N/A

Strategic Income Fund

0.65%²

N/A

1.04%

0.80%

N/A

Total Return Bond Fund

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, 2023, unless approved by the Board.

³ Effective February 1, 2022, the contractual expense limitation is 0.45%. Prior to February 1, 2022, the contractual expense limitation was 0.90%.

At September 30, 2022, the balance of recoupable expenses with expiration dates for the Funds were as follows:



PORTFOLIO	2023		2024		2025		2026		TOTAL

AlphaTrak 500 Fund	$	48,578	$	122,267	$	—	$	124,572	$	295,417
Corporate Bond Fund		179,693		257,070		257,575		128,546		822,884
ESG Securitized Fund		—		—		67,666		75,268		142,934
Flexible Income Fund		195,102		309,577		441,229		173,224		1,119,132
Floating Rate Income Fund		9,650		8,677		14,896		7,421		40,644
High Yield Bond Fund		195,809		158,414		145,095		99,305		598,623
Intermediate Bond Fund		5,068		4,895		62		1,411		11,436
Investment Grade Credit Fund		191,069		259,548		264,265		143,814		858,696
Opportunistic High Income Credit Fund		—		—		96,407		76,498		172,905
Strategic Income Fund		40,102		58,687		566,609		150,965		816,363
Ultra Short Bond Fund		244,911		310,177		355,828		179,268		1,090,184

Total	$	1,109,982	$	1,489,312	$	2,209,632	$	1,160,292	$	5,969,218

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 January 1, 2020 to December 31, 2021, each of the independent trustees received an annual retainer of $135,000 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 $55,500. The respective chairman of the Audit Committee and the Nominating and Governance Committee each received an additional annual retainer of $37,000 and $18,500, respectively. Effective January 1, 2022, the annual retainer for each independent trustee is $150,000, and the additional retainer for the chairman of the Board is $60,000. Also effective January 1, 2022, the additional retainer for the chairman of the Audit Committee and the chairman of the Nomination and Governance Committee is $40,000 and $20,000, respectively. The Trust has an unfunded, nonqualified deferred compensation plan (the “Deferred Compensation Plan”) for certain eligible Trustees. The Deferred Compensation Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of 10 annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Deferred Compensation Plan are recorded in Trustees’ fees and expenses in the Statements of Operations.

The Trust has a Share Marketing Plan (or the “12b-1 Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Corporate Bond Fund, the ESG Securitized 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 Opportunistic High Income Credit 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, 2022. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2023, 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 Flexible Income Fund, Floating Rate Income Fund, High Yield Bond Fund, Low Duration Bond Fund, Total Return Bond Fund and Unconstrained Bond Fund had the following unfunded commitments and unrealized gain (loss) by investment as of September 30, 2022:



FLEXIBLE INCOME FUND UNFUNDED COMMITMENTS	MATURITY	AMOUNT		UNREALIZED GAIN (LOSS)
Crown Finance U.S., Inc., Delayed-Draw Term Loan, 1st Lien	September 2023	$	4,770	$	194
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien	November 2027		15,982		(1,402	)
Aveanna Healthcare LLC, Delayed-Draw Term Loan B, 1st Lien	July 2028		47,232		(10,922	)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February 2029		130,217		(11,305	)

Total Unfunded Commitments		$	198,201	$	(23,435	)



FLOATING RATE INCOME FUND UNFUNDED COMMITMENTS	MATURITY	AMOUNT		UNREALIZED (LOSS)
NMN Holdings III Corp., Delayed-Draw Term Loan, 1st Lien	November 2025	$	231,664	$	(24,345)
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien	November 2027		119,862		(10,485)
Refficiency Holdings LLC, Delayed-Draw Term Loan, 1st Lien	December 2027		290,449		(11,796)
Dessert Holdings, Inc., Delayed-Draw Term Loan, 1st Lien	June 2028		292,105		(23,684)
Aveanna Healthcare LLC, Delayed-Draw Term Loan B, 1st Lien	July 2028		304,724		(70,466)
AI Aqua Merger Sub, Inc., Delayed-Draw Term Loan, 1st Lien	July 2028		172,744		(12,442)
Trident TPI Holdings, Inc., Delayed-Draw Term Loan B3, 1st Lien	September 2028		43,895		(2,316)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February 2029		260,435		(27,740)
Dermatology Intermediate Holdings, Inc., Delayed-Draw Term Loan, 1st Lien	April 2029		156,116		(7,356)
Element Materials Technology Group U.S. Holdings, Inc., Delayed-Draw Term Loan B, 1st Lien	June 2029		447,039		(16,382)

Total Unfunded Commitments		$	2,319,033	$	(207,012)



HIGH YIELD BOND FUND UNFUNDED COMMITMENTS	MATURITY	AMOUNT		UNREALIZED GAIN (LOSS)
Crown Finance U.S., Inc., Delayed-Draw Term Loan, 1st Lien	September 2023	$	87,970	$	3,647
Aveanna Healthcare LLC, Delayed-Draw Term Loan B, 1st Lien	July 2028		239,970		(55,492	)

Total Unfunded Commitments		$	327,940	$	(51,845	)



INTERMEDIATE BOND FUND UNFUNDED COMMITMENTS	MATURITY	AMOUNT		UNREALIZED (LOSS)
AI Aqua Merger Sub, Inc., Delayed-Draw Term Loan, 1st Lien	July 2028	$	12,530	$	(298	)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February 2029		5,043		(133	)
Element Materials Technology Group U.S. Holdings, Inc., Delayed-Draw Term Loan B, 1st Lien	June 2029		18,580		(233)

Total Unfunded Commitments		$	36,153	$	(664	)



LOW DURATION BOND FUND UNFUNDED COMMITMENTS	MATURITY	AMOUNT		UNREALIZED (LOSS)
AI Aqua Merger Sub, Inc., Delayed-Draw Term Loan, 1st Lien	July 2028	$	386,652	$	(25,862	)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February 2029		367,728		(36,998	)
Element Materials Technology Group U.S. Holdings, Inc., Delayed-Draw Term Loan B, 1st Lien	June 2029		103,228		(1,296)

Total Unfunded Commitments		$	857,608	$	(64,156	)



OPPORTUNISTIC HIGH INCOME CREDIT FUND UNFUNDED COMMITMENTS	MATURITY	AMOUNT		UNREALIZED GAIN
Crown Finance U.S., Inc., Delayed-Draw Term Loan, 1st Lien	September 2023	$	615	$	25

Total Unfunded Commitments		$	615	$	25



TOTAL RETURN BOND FUND UNFUNDED COMMITMENTS	MATURITY	AMOUNT		UNREALIZED GAIN (LOSS)
Crown Finance U.S., Inc., Delayed-Draw Term Loan, 1st Lien	September 2023	$	260,722	$	10,600
AI Aqua Merger Sub, Inc., Delayed-Draw Term Loan, 1st Lien	July 2028		233,204		(16,796	)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February 2029		1,046,332		(61,460	)
Element Materials Technology Group U.S. Holdings, Inc., Delayed-Draw Term Loan B, 1st Lien	June 2029		1,965,379		(24,670)

Total Unfunded Commitments		$	3,505,637	$	(92,326	)



UNCONSTRAINED BOND FUND UNFUNDED COMMITMENTS	MATURITY	AMOUNT		UNREALIZED GAIN (LOSS)
Crown Finance U.S., Inc., Delayed-Draw Term Loan, 1st Lien	September 2023	$	74,844	$	3,043
Aveanna Healthcare LLC, Delayed-Draw Term Loan B, 1st Lien	July 2028		571,358		(132,124	)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February 2029		65,204		(1,721	)
Element Materials Technology Group U.S. Holdings, Inc., Delayed-Draw Term Loan B, 1st Lien	June 2029		117,384		(1,710)

Total Unfunded Commitments		$	828,790	$	(132,512	)

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 Trusts 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:



	CORPORATE BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		568,258		768,830		701,050		444,057

Shares sold		104,570		192,521		20,191		360,108
Shares issued through reinvestment of distributions		7,672		16,192		9,230		18,162
Shares redeemed		(106,914)		(409,285)		(286,348)		(121,277)

Net increase (decrease) in fund shares		5,328		(200,572)		(256,927)		256,993

Shares outstanding at end of period		573,586		568,258		444,123		701,050



	ESG SECURITIZED FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		PERIOD ENDED MARCH 31, 2022*		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		PERIOD ENDED MARCH 31, 2022*


Change in Fund shares:
Shares outstanding at beginning of period		1,738		—		1,137,535		—

Shares sold		1,957		1,735		228,190		1,132,869
Shares issued through reinvestment of distributions		30		3		12,880		4,988
Shares redeemed		(176)		—		(151,261)		(322)

Net increase in fund shares		1,811		1,738		89,809		1,137,535

Shares outstanding at end of period		3,549		1,738		1,227,344		1,137,535



	FLEXIBLE INCOME FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		3,651,661		2,147,224		20,317,792		16,108,761

Shares sold		2,343,374		3,650,896		12,958,920		13,905,850
Shares issued through reinvestment of distributions		192,821		237,569		1,001,377		1,621,341
Shares redeemed		(1,633,465)		(2,384,028)		(8,716,521)		(11,318,160)

Net increase in fund shares		902,730		1,504,437		5,243,776		4,209,031

Shares outstanding at end of period		4,554,391		3,651,661		25,561,568		20,317,792



	FLOATING RATE INCOME FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		1,737,330		1,387,808		48,557,554		41,999,130

Shares sold		220,415		927,690		5,716,217		12,676,785
Shares issued through reinvestment of distributions		34,706		44,164		988,813		1,348,588
Shares redeemed		(574,507)		(622,332)		(12,208,583)		(7,466,949)

Net increase (decrease) in fund shares		(319,386)		349,522		(5,503,553)		6,558,424

Shares outstanding at end of period		1,417,944		1,737,330		43,054,001		48,557,554



	HIGH YIELD BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		16,894,728		18,755,387		54,977,626		54,120,573

Shares sold		3,082,934		4,289,757		14,027,652		28,529,831
Shares issued through reinvestment of distributions		411,886		658,585		1,183,703		2,104,002
Shares redeemed		(4,698,282)		(6,809,001)		(22,959,019)		(29,776,780)

Net increase (decrease) in fund shares		(1,203,462)		(1,860,659)		(7,747,664)		857,053

Shares outstanding at end of period		15,691,266		16,894,728		47,229,962		54,977,626



	INTERMEDIATE BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		2,450,422		3,395,400		76,102,332		71,377,801

Shares sold		98,299		645,465		22,268,367		14,653,122
Shares issued through reinvestment of distributions		28,317		41,504		1,012,426		1,206,765
Shares redeemed		(543,425)		(1,631,947)		(12,031,713)		(11,135,356)

Net increase (decrease) in fund shares		(416,809)		(944,978)		11,249,080		4,724,531

Shares outstanding at end of period		2,033,613		2,450,422		87,351,412		76,102,332



	INVESTMENT GRADE CREDIT FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		259,570		219,784		992,802		1,044,749

Shares sold		45,583		450,559		144,245		1,818,446
Shares issued through reinvestment of distributions		12,532		15,710		41,683		81,937
Shares redeemed		(35,202)		(426,483)		(360,171)		(1,952,330)

Net increase (decrease) in fund shares		22,913		39,786		(174,243)		(51,947)

Shares outstanding at end of period		282,483		259,570		818,559		992,802



	LOW DURATION BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		55,362,416		50,165,234		235,428,672		229,018,746

Shares sold		9,337,216		12,487,486		51,586,504		101,789,983
Shares issued through reinvestment of distributions		561,993		454,037		2,389,110		2,460,757
Shares redeemed		(11,450,596)		(7,744,341)		(68,462,801)		(97,840,814)

Net increase (decrease) in fund shares		(1,551,387)		5,197,182		(14,487,187)		6,409,926

Shares outstanding at end of period		53,811,029		55,362,416		220,941,485		235,428,672



	OPPORTUNISTIC HIGH INCOME CREDIT FUND

	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)			PERIOD ENDED MARCH 31, 2022*			SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)			PERIOD ENDED MARCH 31, 2022*


Change in Fund shares:
Shares outstanding at beginning of period		7,782			—			330,792			—

Shares sold		18,998			7,752			64,851			303,418
Shares issued through reinvestment of distributions		927			264			21,900			27,374
Shares redeemed		(858	)		(234	)		(68,013	)		—

Net increase in fund shares		19,067			7,782			18,738			330,792

Shares outstanding at end of period		26,849			7,782			349,530			330,792



	STRATEGIC INCOME FUND

	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)			YEAR ENDED MARCH 31, 2022			SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)			YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		2,439,193			1,975,844			1,351,121			1,251,843

Shares sold		2,238,430			1,234,339			1,134,377			937,224
Shares issued through reinvestment of distributions		165,062			222,558			93,955			147,770
Shares redeemed		(820,432	)		(993,548	)		(804,151	)		(985,716	)

Net increase in fund shares		1,583,060			463,349			424,181			99,278

Shares outstanding at end of period		4,022,253			2,439,193			1,775,302			1,351,121



	TOTAL RETURN BOND FUND

	CLASS M			CLASS M			CLASS I			CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)			YEAR ENDED MARCH 31, 2022			SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)			YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		609,964,109			661,139,405			4,611,465,986			4,897,035,762

Shares sold		151,927,774			147,998,834			535,944,726			1,211,638,765
Shares issued through reinvestment of distributions		7,626,624			7,623,648			57,241,100			61,975,142
Shares redeemed		(137,873,432)			(206,797,778)			(896,656,792)			(1,559,183,683)

Net increase (decrease) in fund shares		21,680,966			(51,175,296)			(303,470,966)			(285,569,776)

Shares outstanding at end of period		631,645,075			609,964,109			4,307,995,020			4,611,465,986



	TOTAL RETURN BOND FUND
	ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS		PLAN CLASS		PLAN CLASS
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		192,601,234		192,427,211		2,324,492,622		2,425,345,101

Shares sold		17,285,422		39,078,639		160,221,363		475,768,210
Shares issued through reinvestment of distributions		2,401,201		2,008,237		30,562,924		33,232,551
Shares redeemed		(21,156,045)		(40,912,853)		(363,381,053)		(609,853,240)

Net increase (decrease) in fund shares		(1,469,422)		174,023		(172,596,766)		(100,852,479)

Shares outstanding at end of period		191,131,812		192,601,234		2,151,895,856		2,324,492,622



	ULTRA SHORT BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		9,455,483		14,559,872		37,852,952		42,554,510

Shares sold		596,450		4,029,512		3,947,782		25,590,708
Shares issued through reinvestment of distributions		65,432		63,776		245,153		296,146
Shares redeemed		(3,689,075)		(9,197,677)		(19,379,774)		(30,588,412)

Net (decrease) in fund shares		(3,027,193)		(5,104,389)		(15,186,839)		(4,701,558)

Shares outstanding at end of period		6,428,290		9,455,483		22,666,113		37,852,952


	UNCONSTRAINED BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		19,230,240		21,607,830		326,977,316		273,766,820

Shares sold		1,413,859		3,405,824		45,800,762		128,854,698
Shares issued through reinvestment of distributions		405,495		720,405		5,076,664		9,599,441
Shares redeemed		(3,472,531)		(6,503,819)		(120,239,134)		(85,243,643)

Net increase (decrease) in fund shares		(1,653,177)		(2,377,590)		(69,361,708)		53,210,496

Shares outstanding at end of period		17,577,063		19,230,240		257,615,608		326,977,316


	UNCONSTRAINED BOND FUND
	PLAN CLASS		PLAN CLASS
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022


Change in Fund shares:
Shares outstanding at beginning of period		10,805,285		5,342,862

Shares sold		21,029,089		9,973,405
Shares issued through reinvestment of distributions		629,987		391,609
Shares redeemed		(693,107)		(4,902,591)

Net increase in fund shares		20,965,969		5,462,423

Shares outstanding at end of period		31,771,254		10,805,285

At September 30, 2022, the following Funds had available for federal income tax purposes unused capital losses as follows:

As of March 31, 2022, the components of accumulated earnings (accumulated losses) on a tax basis were as follows:


		ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND
Undistributed ordinary income (inclusive of short-term gains)	$	39,088	$	222	$	7,148	$	124,156	$	450,209	$	2,345,083
Undistributed long-term gains		537,219		—		—		—		—		—
Other temporary differences		(1,195)		(226)		—		(53,808)		(211,274)		(79,350)
Accumulated capital loss carryforwards and post-October losses		—		(38,248)		(88,339)		(3,382,804)		(1,423,408)		(26,334,362)
Net unrealized appreciation (depreciation)		(320,163)		(1,198,254)		(614,068)		(21,051,709)		(7,293,576)		(58,190,090)

Total accumulated earnings (losses)	$	254,949	$	(1,236,506)	$	(695,259)	$	(24,364,165)	$	(8,478,049)	$	(82,258,719)


		INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND
Undistributed ordinary income (inclusive of short-term gains)	$	—	$	874	$	369,011	$	3,517	$	559,423	$	—
Undistributed long-term gains		—		—		—		—		—		—
Other temporary differences		(42,335)		(702)		(276,009)		(5,053)		(13,635)		(13,522,698)
Accumulated capital loss carryforwards and post-October losses		(20,471,198)		(527,815)		(62,861,942)		(30,325)		(1,524,850)		(2,233,321,624)
Net unrealized appreciation (depreciation)		(21,858,155)		(1,828,352)		(56,660,672)		(304,052)		(6,840,028)		(2,844,981,470)

Total accumulated earnings (losses)	$	(42,371,688)	$	(2,355,995)	$	(119,429,612)	$	(335,913)	$	(7,819,090)	$	(5,091,825,792)

Permanent differences incurred during the fiscal year ended March 31, 2022, resulting from differences in book and tax accounting have been reclassified at year-end as follows:

The permanent differences are due to non-deductible expenses and taxable overdistribution paid.


			ESG SECURITIZED FUND		FLEXIBLE INCOME FUND
			MARCH 31, 2022		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)			$	48,438	$	17,192,300	$	5,004,078
Net long-term capital gains				—		540,585		108,995

Total taxable distributions			$	48,438	$	17,732,885	$	5,113,073



	FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND
	MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	15,620,404	$	10,150,408	$	30,481,103	$	24,840,015

Total taxable distributions	$	15,620,404	$	10,150,408	$	30,481,103	$	24,840,015



	INTERMEDIATE BOND FUND				INVESTMENT GRADE CREDIT FUND
	MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	10,530,092	$	24,703,086	$	930,563	$	863,178
Net long-term capital gains		2,724,855		5,051,576		—		45,944

Total taxable distributions	$	13,254,947	$	29,754,662	$	930,563	$	909,122



			LOW DURATION BOND FUND				OPPORTUNISTIC HIGH INCOME CREDIT FUND
			MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022
Distributions from:
Ordinary income (inclusive of short-term capital gains)			$	27,329,398	$	29,545,421	$	265,147

Total taxable distributions			$	27,329,398	$	29,545,421	$	265,147



	STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND
	MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	2,814,589	$	2,358,251	$	1,211,584,483	$	4,488,711,334
Net long-term capital gains		—		—		—		1,033,756,885

Total taxable distributions	$	2,814,589	$	2,358,251	$	1,211,584,483	$	5,522,468,219



	ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
	MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	1,534,325	$	1,364,313	$	135,350,036	$	116,535,196
Net long-term capital gains		—		—		20,305,457		—

Total taxable distributions	$	1,534,325	$	1,364,313	$	155,655,493	$	116,535,196

As of September 30, 2022, gross unrealized appreciation (depreciation) based on cost for federal income tax purposes were as follows:


		ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND

Tax Cost	$	29,486,540	$	10,808,172	$	13,639,458	$	319,562,562	$	430,151,073	$	627,800,085

Gross unrealized appreciation		101,641		3,261		46		741,546		470,694		1,899,600
Gross unrealized (depreciation)		(1,890,802)		(2,281,253)		(1,526,003)		(46,721,784)		(30,255,194)		(108,758,325)


Net unrealized appreciation (depreciation)	$	(1,789,161)	$	(2,277,992)	$	(1,525,957)	$	(45,980,238)	$	(29,784,500)	$	(106,858,725)



		INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND

Tax Cost	$	933,057,358	$	11,703,417	$	2,780,513,381	$	3,338,651	$	49,594,011	$	86,074,036,082

Gross unrealized appreciation		1,010,805		10,653		3,327,091		28,553		153,261		69,094,954
Gross unrealized (depreciation)		(57,525,021)		(2,688,465)		(127,271,530)		(663,383)		(9,491,266)		(8,189,256,120)


Net unrealized appreciation (depreciation)	$	(56,514,216)	$	(2,677,812)	$	(123,944,439)	$	(634,830)	$	(9,338,005)	$	(8,120,161,166)

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 6, 2023. The interest rate on borrowing is the higher of the federal funds rate or SOFR plus 0.10%, plus 1.25%. There were no borrowings from the line of credit as of or during the six months ended September 30, 2022. 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.

The contractual maturity of secured borrowings and type of collateral pledged as of September 30, 2022 are summarized in the following table:

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 January 2021, the Financial Accounting Standards Board issued Accounting Standards Update No. 2021-01 (“ASU 2021-01”), “Reference Rate Reform (Topic 848).” ASU 2021-01 is an update of ASU 2020-04, which is in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR; regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The ASU 2021-01 update clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. The amendments in this update are in effect for the Fund. There have been no impacts to date.

In June 2022, the FASB issued ASU No. 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). ASU 2022-03 (1) clarifies the guidance in ASC 820 on the fair value measurement of an equity security that is subject to a contractual sale restriction and (2) requires specific disclosures related to such an equity security. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and interim periods within that fiscal year, with early adoption permitted. We are currently evaluating the impact of the adoption of ASU 2022-03 on our consolidated 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 effective February 1, 2022 for the purpose of amending the management fee provisions for each of the AlphaTrak 500 Fund and Strategic Income 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.

At an in-person meeting on September 12, 2022, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2023 through February 5, 2024 with respect to each Fund. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees also met by videoconference in a working session on August 24, 2022 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 12, 2022 they also met separately with their independent legal counsel to review and discuss the materials 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; and the overall resources available to the Adviser in managing the Funds’ assets. The Board and the Independent Trustees considered the ability of the Adviser to attract and retain well-qualified investment professionals, noting in particular the Adviser’s hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Trustees also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, and portfolio accounting. They noted the substantial additional resources made 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, 2022. 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 and evolving 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 second (Class I)/second (Class M) quintile for the ten-year period, the third (Class I)/fourth (Class M) quintile for the five-year period, the third (Class I)/fourth (Class M) quintile for the three-year period and the fourth (Class I)/fourth (Class M) quintile for the one-year period. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance of the Class M shares for certain time periods, including that the Fund outperformed its benchmark index over the 3-year period, and noted the lower volatility for this Fund compared to most of the funds in the peer group.

For the Metropolitan West Unconstrained Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the third quintile for the five- and three-year periods and the fourth 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- and three-year periods and the second quintile for the one-year period.

For the Metropolitan West Intermediate Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the second quintile for the five-year period, the third quintile for the three-year period and the fifth quintile for the one-year period.

For the Metropolitan West High Yield Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third quintile for the ten-year period, the first quintile for the five-year period, the second quintile for the three-year period and the fifth quintile for the one-year period.

For the Metropolitan West Floating Rate Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the five-year period and three-year periods and the third quintile for the one-year period. The Board and the Independent Trustees noted the substantially lower volatility for this Fund compared to the funds in the peer group.

For the Metropolitan West Ultra Short Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third quintile for the ten-year period, the fourth quintile for the five- and three-year periods and the first quintile for the one-year period. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance for certain time periods, including that the Fund is generally being managed with lower interest rate risk and credit risk as compared to the peer group funds. The Board also considered that the peer funds can have substantially longer dollar-weighted average maturities than would be permitted for this Fund, and those longer averages can result in higher performance under the prevailing market conditions over the applicable periods. The Board and the Independent further noted the substantially lower volatility for this Fund compared to the funds in the peer group.

For the Flexible Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the three-year period and the second quintile for the one-year period. 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 AlphaTrak 500 Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period and the third quintile for the five-, three- and one-year periods.

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 Investment Grade Credit Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the three- and one-year periods.

For the Corporate Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the three-year period and the third quintile for the one-year period.

For the ESG Securitized Fund, the Board and the Independent Trustees noted that that the Fund’s performance was in the second quintile for the period since the Fund’s inception on September 30, 2021.

For the Opportunistic High Income Credit Fund, the Board and the Independent Trustees noted that that the Fund’s performance was in the second quintile for the period since the Fund’s inception on July 30, 2021.

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 and the AlphaTrak 500 Fund. The Board and the Independent Trustees noted the difference in the management fees of the Unconstrained Bond Fund and the AlphaTrak 500 Fund when compared to the medians of their respective peer groups, which the Board did not consider to be unreasonable, with the management fees for the Unconstrained Bond Fund and the AlphaTrak 500 Fund each approximately 5 basis points higher than those medians. The Board and the Independent Trustees further considered that the Adviser had proposed, and shareholders had approved, changing change the performance-based fee structure to a flat fee structure for each of the AlphaTrak 500 Fund and Strategic Income Fund, effective February 1, 2022.

In considering the Funds’ total operating expenses, the Board and the Independent Trustees observed that each Fund’s total expenses were below or near the median of the peer group funds on a current basis, with the exception of the Strategic Income Fund, for which total expenses were approximately 10 basis points above the median. The Board considered that the change in the management fee structure for the Strategic Income Fund had resulted in a narrower dispersion from the median as compared to the previous year. The Board and the Independent Trustees also considered the contractual expense limitations to which the Adviser has agreed with respect to each Fund and that the Adviser historically has absorbed any expenses in excess of these limits. They noted that although the Adviser may recoup, and has recouped in the past, certain fees and/or expenses previously waived or reimbursed for certain Funds, such recoupment is permitted only if it does not cause the applicable Fund’s annual expense ratio to exceed the lesser of (i) the expense limitation applicable at the time of that fee waiver and/or expense reimbursement or (ii) the expense limitation in effect at the time of recoupment. The Board and the Independent Trustees concluded that the competitive fees charged by the Adviser, and competitive expense ratios, should continue to benefit each Fund and its shareholders.

The Board and the Independent Trustees also reviewed information regarding the advisory fees charged by the Adviser to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Trustees concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Adviser to the Funds and the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.

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 that 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 United States 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, TCW Direct Lending VII LLC, and TCW Direct Lending VIII 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, TCW Direct Lending VII LLC, and TCW Direct Lending VIII LLC

Board of Trustees

Ronald J. Consiglio

Patrick C. Haden

Martin Luther King, III

Laird R. Landmann

Peter McMillan

Patrick Moore

Robert G. Rooney

Andrew Tarica

Officers

David Lippman

President and Principal Executive Officer

Richard Villa

Treasurer, Principal Financial Officer and

Principal Accounting Officer

Gladys Xiques

Chief Compliance Officer and

Anti-Money Laundering Officer

Adviser

Metropolitan West Asset Management, LLC

865 South Figueroa Street, Suite 1800

Los Angeles, CA 90017

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Transfer Agent

BNY Mellon Investment Servicing (U.S.) Inc.

760 Moore Road

King of Prussia, PA 19406

Independent Registered Public

Accounting Firm

Deloitte & Touche LLP

555 West 5th 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 their portfolios’ 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.

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.


Metropolitan West AlphaTrak 500 Fund		M-Class (MWATX)
Metropolitan West Corporate Bond Fund		M-Class (MWCSX), I-Class (MWCBX)
Metropolitan West ESG Securitized Fund		M-Class (MWERX), I-Class (MWESX)
Metropolitan West Flexible Income Fund		M-Class (MWFSX), I-Class (MWFEX)
Metropolitan West Floating Rate Income Fund		M-Class (MWFRX), I-Class (MWFLX),
		Plan-Class (MWFPX)
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 Opportunistic High Income Credit Fund		M-Class (MWORX), I-Class (MWOPX)
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, 2022

	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)		-22.24%		-19.01%		6.48%	8.21%	12.02%	6.90%
S&P 500 Index		-20.20%		-15.47%		8.15%	9.23%	11.70%	6.82%


	Performance Through September 30, 2022

	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWCSX (Inception: June 29, 2018)		-12.40%		-19.16%		-3.25%		—		—	1.30%
Bloomberg U.S. Corporate Index		-11.95%		-18.53%		-3.65%		—		—	0.48%

MWCBX (Inception: June 29, 2018)		-12.29%		-18.96%		-3.01%		—		—	1.56%
Bloomberg U.S. Corporate Index		-11.95%		-18.53%		-3.65%		—		—	0.48%


	Performance Through September 30, 2022

	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)

MWERX (Inception: October 1, 2021)		-9.40%		-14.48%		—		—		—	-14.48%
Bloomberg U.S. Mortgage-Backed Securities (MBS) Index		-9.14%		-13.98%		—		—		—	-13.98%
MWESX (Inception: October 1, 2021)		-9.40%		-14.71%		—		—		—	-14.71%
Bloomberg U.S. Mortgage-Backed Securities (MBS) Index		-9.14%		-13.98%		—		—		—	-13.98%


	Performance Through September 30, 2022

	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWFSX (Inception: November 30, 2018)		-7.56%		-11.84%		0.86%		—		—	5.16%
Bloomberg U.S. Aggregate Bond Index		-9.22%		-14.60%		-3.25%		—		—	0.02%

MWFEX (Inception: November 30, 2018)		-7.44%		-11.60%		1.00%		—		—	5.33%
Bloomberg U.S. Aggregate Bond Index		-9.22%		-14.60%		-3.25%		—		—	0.02%


Metropolitan West Funds
Table of Contents			September 30, 2022


Letter to Shareholders			1

Disclosure of Fund Expenses (Unaudited)			15

Summary of Portfolio Holdings			18

Schedule of Portfolio Investments			21

AlphaTrak 500 Fund			21

Corporate Bond Fund			31

ESG Securitized Fund			40

Flexible Income Fund			43

Floating Rate Income Fund			68

High Yield Bond Fund			83

Intermediate Bond Fund			91

Investment Grade Credit Fund			109

Low Duration Bond Fund			119

Opportunistic High income Credit Fund			138

Strategic Income Fund			145

Total Return Bond Fund			160

Ultra Short Bond Fund			213

Unconstrained Bond Fund			222

Statements of Assets and Liabilities			253

Statements of Operations			259

Statements of Changes in Net Assets			265

Financial Highlights			273

Notes to Financial Statements			306

Approval of Investment Management Agreement by Trustees			363

Privacy Policy			367


	Beginning Account Value 04/01/22	Ending Account Value 09/30/22	Expense Ratio¹	Expenses Paid During Period²
ALPHATRAK 500 FUND
Actual Fund Return	$1,000.00	$ 777.60	0.45%	$2.03
Hypothetical 5% Return	$1,000.00	$1,023.06	0.45%	$2.31

CORPORATE BOND FUND

Actual Fund Return
Class M	$1,000.00	$ 876.00	0.75%	$3.57
Class I	$1,000.00	$ 877.10	0.50%	$2.38
Hypothetical 5% Return
Class M	$1,000.00	$1,021.54	0.75%	$3.84
Class I	$1,000.00	$1,022.81	0.50%	$2.56

ESG SECURITIZED FUND

Actual Fund Return
Class M	$1,000.00	$ 906.00	0.70%	$3.38
Class I	$1,000.00	$ 906.00	0.49%	$2.37

Hypothetical 5% Return
Class M	$1,000.00	$1,021.79	0.70%	$3.59
Class I	$1,000.00	$1,022.86	0.49%	$2.51



Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
S&P 500 E-mini Index		157		12/16/22	$	28,238,413	$	(3,821,193)	$	(3,821,193)



			Received by the Fund			Paid by the Fund

Description	Maturity Date		Rate	Frequency		Rate		Frequency		Notional Amount (000’s)		Value		Premiums Paid		Unrealized Appreciation (Depreciation)
SWAPS: INTEREST RATE
			3-month USD
Interest Rate Swap¹		09/28/53	LIBOR		Quarterly		1.87%		Semi-annually	$	95	$	24,185	$	—	$	24,185
							3-month USD
Interest Rate Swap¹		09/28/25	1.39%		Semi-annually		LIBOR		Quarterly		1,130		(58,164)		—		(58,164)
							3-month USD
Interest Rate Swap¹		06/10/24	1.95%		Annual		LIBOR		Annual		660		(24,716)		—		(24,716)

TOTAL SWAPS CONTRACTS										$	1,885	$	(58,695)	$	—	$	(58,695)



Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date	Unrealized Appreciation
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 618,032	EUR 584,000	Goldman Sachs International	10/07/22	$	45,642



Reference Obligation/Index	Financing Rate Paid by the Fund		Payment Frequency	Implied Credit Spread at 09/30/22¹		Counterparty	Expiration Date	Notional Amount (000’s)²		Value³		Premiums Paid		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC⁴
1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30⁵		5.00%	3 Months		120	Credit Suisse First Boston International	06/20/23	$	1,985	$	57,273	$	46,565	$	10,708
Berry Global, Inc., 5.63%, due 07/15/27		5.00%	3 Months		175	Credit Suisse First Boston International	12/20/23		3,995		160,630		149,079		11,551

TOTAL										$	217,903	$	195,644	$	22,259



Reference Obligation/ Index	Financing Rate Paid by the Fund		Payment Frequency		Implied Credit Spread at 09/30/22¹		Counterparty	Expiration Date		Notional Amount (000’s)²		Value³		Premiums Paid		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES
OTC⁴
1011778 BC ULC/New Red							Credit Suisse
Finance, Inc., 4.00%, due							First Boston
10/15/30⁵		5.00%		3 Months		120	International		06/20/23		$ 2,070	$	59,727	$	48,710	$	11,017
							Credit Suisse
Berry Global, Inc., 5.63%, due							First Boston
07/15/27		5.00%		3 Months		175	International		12/20/23		1,155		46,439		43,100		3,339

TOTAL												$	106,166	$	91,810	$	14,356



Reference Obligation/Index	Financing Rate Paid by the Fund		Payment Frequency		Implied Credit Spread at 09/30/22¹		Counterparty	Expiration Date		Notional Amount (000’s)²		Value³		Premiums Paid		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES
OTC⁴
1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30⁵		5.00%		3 Months		120	Credit Suisse First Boston International		06/20/23	$	20,000	$	577,057	$	470,733	$	106,324
Berry Global, Inc., 5.63%, due 07/15/27		5.00%		3 Months		175	Credit Suisse First Boston International		12/20/23		60,665		2,439,209		2,263,795		175,414

TOTAL												$	3,016,266	$	2,734,528	$	281,738



Counterparty	Interest Rate	Trade Date	Maturity Date		Repurchase Amount		Principal Amount		Value
REVERSE REPURCHASE AGREEMENTS
Barclays Bank PLC	(0.450)%	09/30/22		10/03/22	$	(984,963,063)	$	(985,000,000)	$	(985,000,000)
JPMorgan Chase	(0.450)%	09/30/22		10/03/22		(984,963,063)		(985,000,000)		(985,000,000)

TOTAL REVERSE REPURCHASE AGREEMENTS									$	(1,970,000,000)



Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 5,166,040	EUR 5,115,000	Citibank N.A.	10/07/22	$	152,728
USD 3,316,827	EUR 3,253,000	Goldman Sachs International	10/07/22		128,497
USD 1,189,673	EUR 1,195,000	Barclays Bank PLC	10/07/22		18,430
USD 21,047,581	EUR 19,859,000	Citigroup Global Markets, Inc.	10/07/22		1,583,382
USD 4,558,637	GBP 3,720,000	Citigroup Global Markets, Inc.	10/07/22		405,373

					2,288,410


GBP 623,000	USD 696,776	Citibank N.A.	10/07/22		(1,216)


NET UNREALIZED APPRECIATION				$	2,287,194



Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		1,719		12/30/22	$	353,066,486	$	(5,596,609)	$	(5,596,609)
U.S. Treasury Five-Year Note		971		12/30/22		104,390,086		(3,375,590)		(3,375,590)

						457,456,572		(8,972,199)		(8,972,199)

FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		4,127		12/20/22		(488,985,016)		30,661,492		30,661,492
U.S. Treasury Ultra Bond		1,151		12/20/22		(157,687,000)		14,327,133		14,327,133
Euro-Bund Future		78		12/08/22		(10,582,395)		491,220		491,220
Euro-Bobl Future		53		12/08/22		(6,217,594)		149,975		149,975

						(663,472,005)		45,629,820		45,629,820

TOTAL FUTURES CONTRACTS					$	(206,015,433)	$	36,657,621	$	36,657,621



ASSETS:	ALPHATRAK 500 FUND			CORPORATE BOND FUND

Investments, at value - Unaffiliated (Cost $29,448,512, $10,776,113, $13,610,738, $319,288,794, $429,840,727 and $597,235,874, respectively) (Note 2)		$	27,697,379		$	8,530,180
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $0 and $27,171,821, respectively) (Note 5)			—			—
Cash and cash equivalents (Note 2)			1,123,034			88,023
Foreign Currency, at value (Cost $0, $0, $2,090, $0, $0 and $0, respectively)			—			—
Cash on deposit with brokers for collateral on swaps (Note 2)			—			80,090
Cash on deposit with brokers for collateral on futures (Note 2)			2,708,000			42,000
Receivable for securities sold			850,045			28,528
Dividends and interest receivable			166,694			88,886
Due from Adviser (Note 6)			20,394			20,951
Receivable for capital stock sold			20,247			126,164
Receivable for daily variation margin on futures contracts (Note 3)			3,925			5,162
Unrealized appreciation on foreign currency exchange contracts			—			—
Premiums paid for swap contracts			—			—
Unrealized appreciation on swap contracts			—			24,185
Other assets			6,868			8,797

Total assets			32,596,586			9,042,966

Liabilities:
Bank overdraft			—			—
Payable for securities purchased			3,756,476			21,960
Payable for daily variation margin on futures contracts (Note 3)			451,375			1,781
Payable for capital stock redeemed			26,206			180,715
Distributions payable			62			1,966
Unrealized depreciation on foreign currency exchange contracts			—			—
Unrealized depreciation on foreign currency transactions			—			—
Unrealized depreciation on swap contracts			—			82,880
Net unrealized depreciation on unfunded commitments (Note 8)			—			—
Advisory fees payable (Note 6)			10,907			3,616
Accrued trustees fees and expenses			11			—
Accrued distribution (12b-1) and service fees payable			—			1,131
Administrative fees payable			25,819			23,376
Accrued other expenses			30,535			28,054

Total liabilities			4,301,391			345,479

Net assets		$	28,295,195		$	8,697,487

Class M Shares:
Net assets (Applicable to 3,207,279, 573,586, 3,549, 4,554,391, 1,417,944 and 15,691,266,shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	28,295,195		$	4,901,921

Net asset value, offering and redemption price per Class M share		$	8.82		$	8.55

Class I Shares:
Net assets (Applicable to 0, 444,123, 1,227,344, 25,561,568, 43,054,001 and 47,229,962,shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A		$	3,795,566

Net asset value, offering and redemption price per Class I share			N/A		$	8.55

Plan Class Shares:
Net assets (Applicable to 0, 0, 0, 0, 11 and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A			N/A

Net asset value, offering and redemption price per Plan Class share			N/A			N/A

Net Assets Consist of:
Paid-in Capital (Note 9)		$	37,414,281		$	11,605,628
Accumulated Earnings (Loss)			(9,119,086)			(2,908,141)

Net assets		$	28,295,195		$	8,697,487



ESG SECURITIZED FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND

	$	12,113,501		$	273,582,324		$	400,366,573	$	520,941,360

		—			—			—		—
		—			6,178,028			9,783,522		9,698,666
		1,976			—			—		—
		—			—			—		—
		32,000			785,000			—		2,780,000
		660,557			16,340,142			13,797,578		16,630,365
		31,855			2,483,706			1,416,407		7,601,920
		13,733			25,551			1,327		16,116
		—			169,455			731,998		877,768
		797			265,139			—		208,250
		26,916			253,930			45,642		170,035
		—			—			—		195,644
		—			—			—		22,259
		29,468			25,039			22,317		18,636

		12,910,803			300,108,314			426,165,364		559,161,019


		313			—			—		—
		2,414,462			64,998,084			15,550,323		4,456,089
		2,227			188,114			—		213,567
		118,221			1,823,523			1,040,083		1,675,652
		1,067			327,462			435,495		499,612
		198			3,350			—		—
		30			1,610			6,120		11,717
		—			—			—		—
		—			23,435			207,012		51,845
		3,856			94,868			204,463		247,933
		—			—			—		—
		7			7,982			2,884		31,428
		16,617			49,165			56,294		36,007
		9,920			38,585			71,349		162,016

		2,566,918			67,556,178			17,574,023		7,385,866

	$	10,343,885		$	232,552,136		$	408,591,341	$	551,775,153



	$	29,809		$	35,171,446		$	13,031,122	$	137,648,640

	$	8.40		$	7.72		$	9.19	$	8.77




	$	10,314,076		$	197,380,690		$	395,560,121	$	414,126,513

	$	8.40		$	7.72		$	9.19	$	8.77




		N/A			N/A		$	98		N/A

		N/A			N/A		$	9.18¹		N/A



	$	12,199,737		$	285,489,480		$	444,689,496	$	717,793,432
		(1,855,852)			(52,937,344)			(36,098,155)		(166,018,279)

	$	10,343,885		$	232,552,136		$	408,591,341	$	551,775,153



LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND

	$	2,656,574,519		$	2,703,821		$	40,256,006	$	77,953,874,916

		—			—			—		—
		50,923,954			1,866			72,228		403,085,432
		8,093,000			—			175,243		1,220,828,959
		16,673,000			21,000			351,000		418,205,000
		161,965,717			69,013			1,611,369		6,045,961,895
		9,602,379			42,153			419,244		360,298,992
		4,333,776			—			14,283		401,411,835
		623,796			—			9,633		48,679,398
		2,025,552			500			32,250		1,942,469
		284,863			—			—		2,910,424
		46,018			—			52,220		169,093,523
		—			13,661			23,646		—
		—			25			—		—
		40,444			29,469			13,541		203,072

		2,911,187,018			2,881,508			43,030,663		87,026,495,915



		5,577			—			—		—

		—			—			—		1,970,000,000
		645,415,140			9,638			6,668,099		19,885,756,182
		12,015,139			85,893			177,628		273,464,846
		767,487			1,445			32,961		35,349,941
		935,444			1,359			8,664		17,597,765
		4,729			—			18		430,875
		—			—			314		1,289,810
		—			—			183,675		540,581,946
		—			—			—		1,481
		64,156			—			—		92,326
		607,630			1,281			22,497		20,308,048
		—			—			—		—
		75,964			42			5,576		1,597,489
		75,260			19,459			29,436		1,228,711
		475,358			10,474			40,393		9,831,336

		660,441,884			129,591			7,169,261		22,757,530,756

	$	2,250,745,134		$	2,751,917		$	35,861,402	$	64,268,965,159



	$	440,518,344		$	196,437		$	24,883,127	$	5,665,698,458

	$	8.19		$	7.32		$	6.19	$	8.97



	$	1,808,975,391		$	2,555,480		$	10,978,275	$	38,632,288,211

	$	8.19		$	7.31		$	6.18	$	8.97



		N/A			N/A			N/A	$	159,553,649

		N/A			N/A			N/A	$	8.97



	$	1,251,399			N/A			N/A	$	1,715,651,433

	$	10.58			N/A			N/A	$	8.98



		N/A			N/A			N/A	$	18,095,773,408

		N/A			N/A			N/A	$	8.41


	$	2,480,688,987		$	3,672,395		$	47,223,987	$	78,297,122,227
		(229,943,853)			(920,478)			(11,362,585)		(14,028,157,068)

	$	2,250,745,134		$	2,751,917		$	35,861,402	$	64,268,965,159


	ALPHATRAK 500 FUND			CORPORATE BOND FUND
Investment Income:
Interest	$	432,154		$	192,415
Dividends		25,818			1,141

Total investment income		457,972			193,556


Expenses:
Investment advisory fees (Note 6)		71,795			23,110
Administration fees		39,671			41,297
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		—			6,787
Reports to shareholders		23,838			10,217
Professional fees		21,035			13,988
Transfer agent fees		17,033			19,245
Registration and filing fees		14,944			25,977
Custodian fees		14,123			20,610
Listing fees		800			1,600
Trustees’ fees and expenses		325			99
Commitment fee		50			35
Miscellaneous expenses		1,727			1,256

Total operating expenses		205,341			164,221
Expenses waived and reimbursed (Note 6)		(124,572	)		(128,546	)

Net expenses		80,769			35,675

Net investment income		377,203			157,881


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		(439,680	)		(623,772	)
Futures contracts		(1,472,373	)		48,836
Foreign currency exchange contracts		(1,530	)		(1,189	)
Foreign currency transactions		44			—
Options and swaptions written		—			1,848
Swap contracts		—			(317	)

Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated		(1,432,202	)		(1,090,537	)
Futures contracts		(6,046,077	)		14,929
Foreign currency exchange contracts		—			1,189
Foreign currency transactions		186			—
Options and swaptions written		—			8,358
Swap contracts		—			(30,618	)


Net realized and change in unrealized (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(9,391,632	)		(1,671,273	)

Net (Decrease) in Net Assets from Operations	$	(9,014,429	)	$	(1,513,392	)


ESG SECURITIZED FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND

$	136,395		$	11,025,625		$	12,764,838		$	18,608,448
	6,082			23,123			167,418			15,261

	142,477			11,048,748			12,932,256			18,623,709



	22,073			511,514			1,258,083			1,561,199
	32,936			75,075			99,936			60,639

	35			43,457			18,801			192,141
	573			12,244			14,270			28,447
	9,828			23,229			20,690			21,652
	15,140			98,325			119,385			214,078
	7,201			35,441			43,027			44,768
	12,489			36,004			17,637			25,161
	1,600			1,600			2,400			1,600
	84			1,708			3,836			5,362
	—			482			1,262			2,185
	378			2,787			4,685			7,654

	102,337			841,866			1,604,012			2,164,886
	(75,268)			(173,224	)		(7,421	)		(99,305	)

	27,069			668,642			1,596,591			2,065,581

	115,408			10,380,106			11,335,665			16,558,128





	(276,323)			(5,325,351	)		(5,027,395	)		(38,981,135	)
	45,814			1,247,026			—			7,328,996
	29,137			181,680			52,044			185,430
	(158	)		10,951			(349	)		(1,618	)
	—			(26,282	)		—			—
	—			—			—			56,602


	(906,714	)		(24,905,276	)		(22,685,257	)		(48,904,129	)
	(71,871	)		418,723			—			(3,400,168	)
	20,588			259,281			32,904			112,138
	(129	)		614			(6,120	)		(33,786	)
	—			7,873			—			—
	—			—			—			(3,441	)



	(1,159,656	)		(28,130,761	)		(27,634,173	)		(83,641,111	)

$	(1,044,248	)	$	(17,750,655	)	$	(16,298,508	)	$	(67,082,983	)


LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND

$	31,621,408	$	183,618		$	1,827,791		$	1,095,894,156
	657,577		4,796			15,476			14,895,274

	32,278,985		188,414			1,843,267			1,110,789,430



	3,665,655		7,505			102,588			124,753,902
	133,167		35,511			49,098			2,262,141

	449,034		150			25,039			5,974,325
	2,756		—			—			3,835,719
	1,049,249		14,376			27,909			20,750,930
	62,023		8,118			27,380			1,264,432
	64,372		7,201			24,889			853,574
	27,139		9,821			20,375			210,426
	36,458		1,050			20,856			1,162,603
	19,984		23			215			598,111
	7,406		5			81			246,663
	2,400		1,600			1,600			4,000
	24,001		294			1,235			771,767

	5,543,644		85,654			301,265			162,688,593
	—		(76,498	)		(150,965	)		—

	5,543,644		9,156			150,300			162,688,593

	26,735,341		179,258			1,692,967			948,100,837




	(59,430,030)		(225,786	)		(1,389,910	)		(3,167,046,672	)
	14,140,169		(11,333	)		309,728			(111,659,627	)
	335,565		—			8,429			51,252,848
	63,729		—			771			2,514,087
	(3,579,911)		—			(1,359	)		(104,340,975	)
	94,903		—			(211	)		361,640

	(66,632,888)		(326,544	)		(2,558,343	)		(5,380,460,157	)
	1,323,503		(13,153	)		171,487			(167,599,391	)
	623,796		—			11,870			45,155,099
	(7,597)		—			69			(343,534	)
	2,593,066		—			19,326			132,705,720
	(12,091)		—			(65,466	)		(177,071,967	)



	(110,487,786)		(576,816	)		(3,493,609	)		(8,876,532,929	)

	$ (83,752,445)	$	(397,558	)	$	(1,800,642	)	$	(7,928,432,092	)


	ALPHATRAK 500 FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022
Operations:
Net investment income	$	377,203	$	352,209
Net realized gain (loss) on investments		(439,680)		462,817
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(1,473,859)		3,204,488
Net change in unrealized (depreciation) on investments		(1,432,202)		(735,005)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(6,045,891)		2,071,084

Net increase (decrease) in net assets resulting from operations		(9,014,429)		5,355,593


Distributions to Shareholders:
Class M		(359,606)		(11,805,983)
Class I		—		—

Total Distributions		(359,606)		(11,805,983)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		924,921		17,532,245
Shares issued in reinvestment of distributions		359,501		11,710,130
Cost of shares redeemed		(8,717,660)		(14,459,312)

Total Class M capital share transactions		(7,433,238)		14,783,063

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		(7,433,238)		14,783,063

Net increase (decrease) in net assets		(16,807,273)		8,332,673
Net assets at beginning of period		45,102,468		36,769,795

Net assets at end of period	$	28,295,195	$	45,102,468


CORPORATE BOND FUND				ESG SECURITIZED FUND¹				FLEXIBLE INCOME FUND
SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		PERIOD ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022

$	157,881	$	283,009	$	115,408	$	48,431	$	10,380,106	$	17,239,534
	(623,772)		(8,971)		(276,323)		(178,537)		(5,325,351)		(2,327,445)

	49,178		11,877		74,793		41,302		1,413,375		(638,721)
	(1,090,537)		(958,560)		(906,714)		(590,523)		(24,905,275)		(17,854,385)

	(6,142)		(46,061)		(51,412)		32,506		686,490		(583,759)

	(1,513,392)		(718,706)		(1,044,248)		(646,821)		(17,750,655)		(4,164,776)



	(70,889)		(175,170)		(272)		(27)		(1,616,350)		(2,339,927)
	(87,354)		(196,581)		(116,073)		(48,411)		(9,206,174)		(15,439,721)

	(158,243)		(371,751)		(116,345)		(48,438)		(10,822,524)		(17,779,648)




	1,003,045		2,092,063		17,600		16,900		19,458,743		34,113,901
	70,068		173,672		269		27		1,573,453		2,241,577
	(984,924)		(4,376,008)		(1,568)		—		(13,400,562)		(22,445,482)

	88,189		(2,110,273)		16,301		16,927		7,631,634		13,909,996


	189,335		3,935,189		2,033,505		11,304,164		107,129,353		128,698,215
	84,469		194,382		114,141		48,411		8,166,706		15,356,960
	(2,549,709)		(1,292,494)		(1,330,634)		(3,078)		(71,460,879)		(106,370,251)

	(2,275,905)		2,837,077		817,012		11,349,497		43,835,180		37,684,924

	(2,187,716)		726,804		833,313		11,366,424		51,466,814		51,594,920

	(3,859,351)		(363,653)		(327,280)		10,671,165		22,893,635		29,650,496
	12,556,838		12,920,491		10,671,165		—		209,658,501		180,008,005

$	8,697,487	$	12,556,838	$	10,343,885	$	10,671,165	$	232,552,136	$	209,658,501


	FLOATING RATE INCOME FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022
Operations:
Net investment income	$	11,335,665	$	15,667,466
Net realized gain (loss) on investments		(5,027,395)		481,354
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		51,695		496,884
Net change in unrealized (depreciation) on investments		(22,685,257)		(8,898,950)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		26,784		(431,315)

Net increase (decrease) in net assets resulting from operations		(16,298,508)		7,315,439


Distributions to Shareholders:
Class M		(353,225)		(474,766)
Class I		(10,968,370)		(15,224,684)
Plan Class		(3)		(4)

Total Distributions		(11,321,598)		(15,699,454)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		2,097,578		9,213,283
Shares issued in reinvestment of distributions		326,289		438,152
Cost of shares redeemed		(5,405,365)		(6,177,939)

Total Class M capital share transactions		(2,981,498)		3,473,496

Class I:
Proceeds from sale of shares		53,948,075		125,936,632
Shares issued in reinvestment of distributions		9,291,811		13,378,948
Cost of shares redeemed		(116,155,972)		(74,037,959)

Total Class I capital share transactions		(52,916,086)		65,277,621

Plan Class:
Shares issued in reinvestment of distributions		2		4

Total Plan Class capital share transactions		2		4

Net increase (decrease) in net assets derived from capital share transactions		(55,897,582)		68,751,121

Net increase (decrease) in net assets		(83,517,688)		60,367,106
Net assets at beginning of period		492,109,029		431,741,923

Net assets at end of period	$	408,591,341	$	492,109,029


OPPORTUNISTIC HIGH INCOME CREDIT FUND¹				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND
SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		PERIOD ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022		SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)		YEAR ENDED MARCH 31, 2022

$	179,258	$	248,699	$	1,692,967	$	2,817,560	$	948,100,837	$	1,197,446,581
	(225,786)		(9,348)		(1,389,910)		(1,183,895)		(3,167,046,672)		(1,458,293,186)
	(11,333)		(11,230)		317,358		(23,082)		(161,872,027)		550,389
	(326,544)		(292,301)		(2,558,343)		(2,290,792)		(5,380,460,157)		(3,001,495,494)
	(13,153)		(6,598)		137,286		(144,164)		(167,154,073)		(384,017,226)

	(397,558)		(70,778)		(1,800,642)		(824,373)		(7,928,432,092)		(3,645,808,936)



	(7,331)		(2,442)		(1,094,597)		(1,701,371)		(74,262,035)		(83,270,314)
	(179,676)		(262,705)		(648,256)		(1,116,579)		(613,355,505)		(744,903,628)
	—		—		—		—		(2,397,826)		(2,377,375)
	—		—		—		—		(23,520,197)		(22,035,853)
	—		—		—		—		(294,363,621)		(360,557,055)

	(187,007)		(265,147)		(1,742,853)		(2,817,950)		(1,007,899,184)		(1,213,144,225)




	153,350		75,360		14,592,526		9,366,413		1,413,533,030		1,604,298,220
	7,232		2,442		1,068,564		1,657,387		72,368,709		82,422,477
	(6,691)		(2,160)		(5,331,243)		(7,461,785)		(1,323,183,747)		(2,239,839,907)

	153,891		75,642		10,329,847		3,562,015		162,717,992		(553,119,210)


	500,000		3,038,921		7,437,069		7,073,460		5,161,722,442		13,144,834,948
	173,232		262,706		608,084		1,100,021		542,996,206		670,343,885
	(531,985)		—		(5,093,403)		(7,240,177)		(8,600,255,724)		(16,882,618,501)

	141,247		3,301,627		2,951,750		933,304		(2,895,537,076)		(3,067,439,668)


	—		—		—		—		43,948,547		130,016,682
	—		—		—		—		2,354,773		2,376,867
	—		—		—		—		(36,117,610)		(66,406,517)

	—		—		—		—		10,185,710		65,987,032


	—		—		—		—		166,440,276		423,045,579
	—		—		—		—		22,775,881		21,698,938
	—		—		—		—		(202,903,094)		(442,994,344)

	—		—		—		—		(13,686,937)		1,750,173


	—		—		—		—		1,443,828,335		4,844,083,639
	—		—		—		—		272,010,511		336,972,234
	—		—		—		—		(3,281,051,311)		(6,203,634,631)

	—		—		—		—		(1,565,212,465)		(1,022,578,758)

	295,138		3,377,269		13,281,597		4,495,319		(4,301,532,776)		(4,575,400,431)

	(289,427)		3,041,344		9,738,102		852,996		(13,237,864,052)		(9,434,353,592)
	3,041,344		—		26,123,300		25,270,304		77,506,829,211		86,941,182,803

$	2,751,917	$	3,041,344	$	35,861,402	$	26,123,300	$	64,268,965,159	$	77,506,829,211


	ALPHATRAK 500 FUND CLASS M


	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)				YEAR ENDED MARCH 31, 2022				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Period		$	11.48			$	13.26			$	8.89			$	10.73			$	9.98			$	8.95


Income from Investment Operations:
Net investment income¹			0.11				0.11				0.18				0.31				0.22				0.09
Net realized and unrealized gain (loss)			(2.66	)			1.81				5.14				(1.14	)			0.76				1.03


Total Income (Loss) from Investment Operations			(2.55	)			1.92				5.32				(0.83	)			0.98				1.12


Less Distributions:
From net investment income			(0.11	)			(0.12	)			(0.20	)			(0.30	)			(0.23	)			(0.09	)
From net capital gains			—				(3.58	)			(0.75	)			(0.71	)			—				—


Total Distributions			(0.11	)			(3.70	)			(0.95	)			(1.01	)			(0.23	)			(0.09	)


Net Asset Value, End of Period		$	8.82			$	11.48			$	13.26			$	8.89			$	10.73			$	9.98

Total Return			(22.24	)%²			13.35	%			60.83	%			(9.36	)%			9.93	%			12.52	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	28,295			$	45,102			$	36,770			$	29,066			$	21,202			$	18,149
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.14	%³			0.83	%⁴			1.26	%			1.04	%			1.39	%			0.90	%⁵
After expense waivers and reimbursements			0.45	%³			0.83	%			0.90	%			0.90	%			0.90	%			0.90	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.10	%³			0.78	%			1.57	%			2.80	%			2.15	%			0.90	%
Portfolio Turnover Rate			67	%²			94	%			60	%			89	%			140	%			115	%


	CORPORATE BOND FUND CLASS M^*

	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)				YEAR ENDED MARCH 31, 2022				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	9.89			$	10.65			$	10.32			$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.12				0.22				0.28				0.88				0.41
Net realized and unrealized gain (loss)			(1.34	)			(0.69	)			0.50				0.06				0.34


Total Income (Loss) from Investment Operations			(1.22	)			(0.47	)			0.78				0.94				0.75


Less Distributions:
From net investment income			(0.12	)			(0.22	)			(0.40	)			(0.86	)			(0.41	)
From net capital gains			—				(0.07	)			(0.05	)			(0.07	)			(0.03	)


Total Distributions			(0.12	)			(0.29	)			(0.45	)			(0.93	)			(0.44	)


Net Asset Value, End of Period		$	8.55			$	9.89			$	10.65			$	10.32			$	10.31

Total Return			(12.40	)%²			(4.67	)%			7.55	%			9.19	%			7.75	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	4,902			$	5,622			$	8,190			$	876			$	803
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.00	%³			2.73	%			3.16	%			8.55	%			9.81	%³
After expense waivers and reimbursements			0.75	%³			0.75	%			0.75	%			0.75	%			0.75	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.61	%³			2.01	%			2.54	%			8.31	%			5.47	%³
Portfolio Turnover Rate			64	%²			148	%			84	%			65	%			159	%²


	CORPORATE BOND FUND CLASS I^*

	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)				YEAR ENDED MARCH 31, 2022				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	9.89			$	10.65			$	10.32			$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.13				0.24				0.40				0.91				0.43
Net realized and unrealized gain (loss)			(1.34	)			(0.69	)			0.41				0.06				0.34


Total Income (Loss) from Investment Operations			(1.21	)			(0.45	)			0.81				0.97				0.77


Less Distributions:
From net investment income			(0.13	)			(0.24	)			(0.43	)			(0.89	)			(0.43	)
From net capital gains			—				(0.07	)			(0.05	)			(0.07	)			(0.03	)


Total Distributions			(0.13	)			(0.31	)			(0.48	)			(0.96	)			(0.46	)


Net Asset Value, End of Period		$	8.55			$	9.89			$	10.65			$	10.32			$	10.31

Total Return			(12.29	)%²			(4.44	)%			7.81	%			9.46	%			7.95	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	3,796			$	6,935			$	4,730			$	2,392			$	1,355
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.71	%³			2.40	%			3.54	%			8.30	%			9.56	%³
After expense waivers and reimbursements			0.50	%³			0.50	%			0.50	%			0.50	%			0.50	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.85	%³			2.25	%			3.64	%			8.62	%			5.72	%³
Portfolio Turnover Rate			64	%²			148	%			84	%			65	%			159	%²


	ESG SECURITIZED FUND CLASS M^*

	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)				PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	9.36			$	10.00


Income from Investment Operations:
Net investment income¹			0.09				0.05
Net realized and unrealized loss			(0.97	)			(0.61	)


Total (Loss) from Investment Operations			(0.88	)			(0.56	)


Less Distributions:
From net investment income			(0.08	)			(0.08	)

Net Asset Value, End of Period		$	8.40			$	9.36

Total Return			(9.40	)%²			(5.60	)%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	30			$	16
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.16	%³			2.15	%³
After expense waivers and reimbursements			0.70	%³			0.79	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.93	%³			0.97	%³
Portfolio Turnover Rate			158	%²			276	%²


	ESG SECURITIZED FUND CLASS I^*

	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)				PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	9.37			$	10.00


Income from Investment Operations:
Net investment income¹			0.09				0.05
Net realized and unrealized loss			(0.97	)			(0.63	)


Total (Loss) from Investment Operations			(0.88	)			(0.58	)


Less Distributions:
From net investment income			(0.09	)			(0.05	)


Net Asset Value, End of Period		$	8.40			$	9.37

Total Return			(9.40	)%²			(5.87	)%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	10,314			$	10,655
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.85	%³			1.80	%³
After expense waivers and reimbursements			0.49	%³			0.49	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.09	%³			0.94	%³
Portfolio Turnover Rate			158	%²			276	%²


	FLEXIBLE INCOME FUND CLASS M^*

	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)				YEAR ENDED MARCH 31, 2022				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	8.75			$	9.86			$	9.82			$	10.79			$	10.00


Income from Investment Operations:
Net investment income¹			0.37				0.88				0.69				1.86				0.23
Net realized and unrealized gain (loss)			(1.02	)			(1.07	)			0.34				(0.85	)			0.79


Total Income (Loss) from Investment Operations			(0.65	)			(0.19	)			1.03				1.01				1.02


Less Distributions:
From net investment income			(0.38	)			(0.89	)			(0.97	)			(1.98	)			(0.23	)
From net capital gains			—				(0.03	)			(0.02	)			—				—


Total Distributions			(0.38	)			(0.92	)			(0.99	)			(1.98	)			(0.23	)


Net Asset Value, End of Period		$	7.72			$	8.75			$	9.86			$	9.82			$	10.79

Total Return			(7.56	)%²			(2.30	)%			10.89	%			9.82	%			10.25	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	35,171			$	31,941			$	21,174			$	1			$	1
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.96	%³			1.04	%			1.28	%			3.76	%			9.18	%³
After expense waivers and reimbursements			0.80	%³			0.80	%			0.80	%			0.80	%			0.80	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			9.01	%³			9.33	%			7.01	%			17.64	%			6.76	%³
Portfolio Turnover Rate			102	%²			210	%			177	%			122	%			80	%²


	FLEXIBLE INCOME FUND CLASS I^*

	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)				YEAR ENDED MARCH 31, 2022				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	8.75			$	9.86			$	9.82			$	10.78			$	10.00


Income from Investment Operations:
Net investment income¹			0.38				0.91				0.73				1.90				0.24
Net realized and unrealized gain (loss)			(1.02	)			(1.08	)			0.30				(0.85	)			0.78


Total Income (Loss) from Investment Operations			(0.64	)			(0.17	)			1.03				1.05				1.02


Less Distributions:
From net investment income			(0.39	)			(0.91	)			(0.97	)			(2.01	)			(0.24	)
From net capital gains			—				(0.03	)			(0.02	)			—				—


Total Distributions			(0.39	)			(0.94	)			(0.99	)			(2.01	)			(0.24	)


Net Asset Value, End of Period		$	7.72			$	8.75			$	9.86			$	9.82			$	10.78

Total Return			(7.44	)%²			(2.05	)%			10.83	%			10.14	%			10.24	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	197,381			$	177,717			$	158,834			$	8,934			$	5,435
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.70	%³			0.79	%			1.01	%			3.51	%			8.82	%³
After expense waivers and reimbursements			0.55	%³			0.55	%			0.55	%			0.55	%			0.55	%³
Ratio of Net Investment Income to Average Net Assets After expense waivers and reimbursements			9.27	%³			9.55	%			7.41	%			18.14	%			7.16	%³
Portfolio Turnover Rate			102	%²			210	%			177	%			122	%			80	%²


	FLOATING RATE INCOME FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2022 (UNAUDITED)				YEAR ENDED MARCH 31, 2022				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019				YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Period		$	9.79			$	9.95			$	8.98			$	9.90			$	10.06			$	10.06


Income from Investment Operations:
Net investment income¹			0.23				0.31				0.30				0.42				0.42				0.36
Net realized and unrealized gain (loss)			(0.60	)			(0.16	)			0.97				(0.92	)			(0.15	)			—


Total Income (Loss) from Investment Operations			(0.37	)			0.15				1.27				(0.50	)			0.27				0.36


Less Distributions:
From net investment income			(0.23	)			(0.31	)			(0.30	)			(0.42	)			(0.43	)			(0.36	)


Net Asset Value, End of Period		$	9.19			$	9.79			$	9.95			$	8.98			$	9.90			$	10.06

Total Return			(3.85	)%²			1.50	%			14.30	%			(5.36	)%			2.72	%			3.61	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	13,031			$	17,003			$	13,815			$	6,084			$	11,229			$	15,802
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.00	%³			1.00	%			0.99	%			1.00	%			1.03	%			1.04	%
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			4.70	%³			3.12	%			3.05	%			4.27	%			4.23	%			3.53	%
Portfolio Turnover Rate			15	%²			49	%			38	%			51	%			52	%			71	%