N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number                  811-07989                         

                               Metropolitan West Funds                            

(Exact name of registrant as specified in charter)

865 South Figueroa Street, Suite 1800

                                            Los Angeles, CA 90017                                      

(Address of principal executive offices) (Zip code)

Kathryn Koch

Metropolitan West Funds

865 South Figueroa Street, Suite 1800

                                       Los Angeles, CA 90017                                      

(Name and address of agent for service)

Registrant’s telephone number, including area code:  (213) 244-0000

Date of fiscal year end:  March 31

Date of reporting period:  March 31, 2023

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

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

Item 1. Reports to Stockholders.

(a) The Report to Shareholders is attached herewith.

	MARCH 31
	2023
	ANNUAL REPORT
METWEST FUNDS
AlphaTrak 500 Fund Corporate Bond Fund ESG Securitized Fund Flexible Income Fund Floating Rate Income Fund High Yield Bond Fund Intermediate Bond Fund Investment Grade Credit Fund Low Duration Bond Fund Opportunistic High Income Credit Fund Strategic Income Fund Total Return Bond Fund Ultra Short Bond Fund Unconstrained Bond Fund

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Metropolitan West Funds
Table of Contents	March 31, 2023

Letter to Shareholders	1
Fund Performance	15
Disclosure of Fund Expenses (Unaudited)	23
Summary of Portfolio Holdings	26
Schedule of Portfolio Investments	29
AlphaTrak 500 Fund	30
Corporate Bond Fund	38
ESG Securitized Fund	46
Flexible Income Fund	49
Floating Rate Income Fund	74
High Yield Bond Fund	88
Intermediate Bond Fund	96
Investment Grade Credit Fund	114
Low Duration Bond Fund	124
Opportunistic High income Credit Fund	142
Strategic Income Fund	149
Total Return Bond Fund	165
Ultra Short Bond Fund	217
Unconstrained Bond Fund	226
Statements of Assets and Liabilities	257
Statements of Operations	264
Statements of Changes in Net Assets	270
Financial Highlights	277
Notes to Financial Statements	310
Report of Independent Registered Public Accounting Firm	365
Tax Information Notice (Unaudited)	368
Liquidity Risk Management Program (Unaudited)	369
Privacy Policy	370
Management Information	374

METROPOLITAN WEST FUNDS

Dear Fellow Shareholder,

Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Annual Report for the Funds for the period ended March 31, 2023. While long in the making, it was just twelve months ago which saw the culmination of the Fed’s rate hiking regime, bringing forth now 475 basis points (bps) of tightening of the Federal Funds rate in an attempt to curb the persistence of inflation. With this surge higher in rates, fixed income pricing faced weakness during the period, reflected in the asset levels of the Fund complex, which ended the period at $70.9 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 March 31, 2023 Annual Report covers the following Metropolitan West Funds:

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)

Economic Review and Market Environment

Much as any year brings its share of the unexpected, possibly the biggest surprise of 2022 was the Fed finding a long-lost resolve in the face of a capital markets-wide selloff precipitated by historically high, persistent inflation catalyzed by the pandemic (though seeded decades prior). Although late to take action to combat pricing pressures, the Fed initiated its aggressive tightening measures in March 2022 to eventually get through four consecutive 75 basis point (bps) increases to the Fed Funds rate, followed by an additional 50 bps bump in December, bringing the target range to 4.25% to 4.50% by the end of the year. Pricing weakness was felt across asset classes with broad stock and bond measures dropping more than 15% in 2022, a first for the record books and a nemesis to diversification. After the decidedly grim year for capital markets, 2023 kicked off to considerably more optimism as investors began to foresee an end to, and possible easing from, the Fed’s aggressive tightening since the prior March. Three days into February, however, a blowout jobs number followed a week or so later by stubbornly high inflation prints had Jerome Powell reasserting restrictive monetary policy and the 2-Year U.S. Treasury climbing to its highest level since 2007. Though not all of the year-opening rally was forfeited, it was clear that the path forward was unlikely to be idyllic and volatility-free, with wide speculation that the Fed was on path to “break something.” This was ultimately borne out in March, as the first signs of fallout from 450 basis points of rate hikes came to light: losses from long-dated Treasury holdings and concentrated deposit risk had built up gradually, but ultimately accelerated to result in the second and third largest bank failures in U.S. history (Silicon Valley Bank and Signature Bank). Decisive responses by authorities assuaged worries of a broader crisis and fueled a rebound into the end of March, but not before rate volatility surged, capital market activity stalled and markets shifted focus from systemic banking risks to the longer-term implications on growth, with recast expectations for Fed policy cuts in 2023.

With recessionary fears developing on the Fed tightening, equity returns were broadly negative over the past year, notwithstanding the rally to start 2023, with the S&P 500 Index dropping 7.8% during the period. Meanwhile, fixed income markets followed a similar trajectory (i.e., rallying in 1Q23 on lower Treasury yields), and the Bloomberg U.S. Aggregate Bond Index delivered a year-over-year loss of 4.8%. Credit markets significantly underperformed in 2022 as spiking rates and then worries on growth had investors recalibrating risk premiums. Investment grade corporates fell roughly 5.6% for the twelve-month period, weighed down most notably by financials amid the banking sector effects, first from significant issuance through 2022 and then from the first quarter turmoil. Meanwhile, high yield credit fared slightly better than investment grade on an absolute basis, though still was down 3.4%. Not surprisingly, the lower-quality cohort of CCC-rated issues notably underperformed against the volatile

1 / Annual Report March 2023

backdrop, losing 8.6%, while BB- and B-rated issues held in and were down more modestly, at 1.9% and 3.8%, respectively. Within securitized, agency mortgage-backed securities (MBS) faced headwinds of policy uncertainty, rate volatility and banking sector concerns and weakened to levels similar to where they were in 2008, ultimately delivering an Index-like 4.9% decline and lagging comparable duration Treasuries. Among the other securitized sectors, commercial MBS (CMBS) were off approximately 3.9%, weighed down by non-agency backed collateral. Finally, asset-backed securities (ABS), predominantly floating rate in nature, were one of the top performing fixed income sectors, with a positive performance profile of 0.4%.

The Economy and Market Ahead

It is too early to say if the bank crises experienced in 1Q are contained or harbingers of additional stress to come. However, one thing is clear; the fallout of these institutions revealed the lagged effects of coordinated aggressive rate-hiking regimes. In short, inverted yield curves do not just signal recessions, but also cause them – the option to borrow in the short-term from depositors and lend long has become a losing trade under a steeply inverted yield curve regime. Thus, the result will be an ongoing tightening of financial conditions and a squeezing of credit to the detriment of overleveraged borrowers. Consequently, and as already seen, the unwind of longstanding monetary accommodation is going to be volatile. Notwithstanding this potential for collateral damage in the broader market, central banks globally continue to reiterate their resolve in slowing inflation. Furthermore, while the banking sector turmoil experienced in the first quarter appears contained, at least for now, disruption in the financial system will no doubt leave its mark on the real economy. More specifically, increased conservatism in the sector (i.e., tighter lending standards, especially at smaller banks), alongside increased regulatory oversight, together signal that overall credit conditions will be tighter going forward, thus having a significant impact on credit availability. In short, it is no surprise that the Fed’s aggressive rate hiking regime will have impacts that are “long and variable” in nature and despite the apparent attempt to disentangle macro-prudential tools and financial stability tools, there are likely to be accidents along the way.

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

Fund Performance Commentary

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.

Metropolitan West AlphaTrak 500 Fund

M-Class (MWATX)

For the twelve-month period ending March 31, 2023, the MetWest AlphaTrak 500 Fund (“Fund”) fell 9.77% (net of fees), finishing behind the S&P 500 Index (“Index”) by 204 bps. Underperformance for the period stemmed largely from the Fund’s allocation to residential mortgage-backed securities (MBS) as both agency and non-agency MBS lagged during the year. The sharp rise in U.S. Treasury yields weighed heavily on the agency MBS basis as the accompanying rise in mortgage rates quickly moved a large majority of the MBS Index out of the money, resulting in extended durations that exacerbated downward price movements. Though the sector had strong months during the period (July, November, January), the sustained volatility throughout the year ultimately resulted in negative excess returns and held back Fund performance. Non-agency MBS similarly underperformed as yield spreads widened amid elevated rates and macro volatility, though favorable issue selection among the Fund’s holdings of newer issued, re-securitized “2.0” bonds positively impacted returns and largely offset the sector drag. Rounding out the securitized exposure were positions higher in the capital structure of non-agency CMBS and ABS deals, including senior tranches of single asset, single borrower deals and AAA-rated CLOs (collateralized loan obligations). While both the broader CMBS and ABS sectors trailed duration-matched Treasuries for the year, Fund holdings outperformed and were accretive to performance. The Fund’s single asset, single borrower CMBS positions emphasized high quality properties and sponsors with bonds that offered robust credit enhancement and attractive compensation, while CLO holdings similarly carried attractive yields and stable duration profiles. Away from securitized, the allocation to short corporate credit benefitted performance owing largely to issue selection, driven by high quality, senior positions in large money center banking names, with further contributions from holdings in the Fund’s preferred defensive sectors including communications and non-cyclicals.

Though lower over the first quarter, rates still skew high given the risk of recession. Short-term yields remain above an apparent equilibrium, thus informing a duration position of approximately 1.3 years, with an emphasis on the front end of the yield curve. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and fundamentally sound money center banks among financials. Within securitized products, agency MBS represents a sizable position given the government-guaranteed nature, strong liquidity, and attractive

Annual Report March 2023 / 2

spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted, though there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs and federally-guaranteed student loans. CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)		16.03%		-9.77%	18.04%	10.39%	12.47%	7.40%
S&P 500 Index		15.62%		-7.73%	18.60%	11.18%	12.23%	7.30%

Metropolitan West Corporate Bond Fund

M-Class (MWCSX), I-Class (MWCBX)

For the twelve-month period ending March 31, 2023, the MetWest Corporate Bond Fund – I Class (“Fund”) fell 5.79% (net of fees), trailing the Bloomberg U.S. Corporate Index (“Index”) by approximately 24 bps. An underweight to industrial credit weighed on relative performance as the sector led the corporate market during the period, while financial institutions, which represented an overweight in the Fund, lagged both Treasuries and the broader corporate market on a duration-adjusted basis, weighed down by brokers, REITs (real estate investment trusts), and life insurance sectors. Issue selection among corporates was mixed, with the relative underweight to the commodity-sensitive energy sector further holding back performance as it was one of the best performers during the period, owing to surging gas prices and increased demand for travel amid a further loosening of global COVID restrictions. Meanwhile, the overweight to communications and consumer non-cyclicals contributed as both sectors outpaced Treasuries and the broader corporate market on a duration-adjusted basis. Rising yield premiums and more attractive valuations across a large swath of the corporate market in the second and third quarter of 2022 informed an expansion of the risk budget and increased allocation to corporates, though these additions made during times of spread widening weighed on immediate performance. Consistent with the team’s disciplined relative approach, these positions were subsequently trimmed into the rallying market environments throughout November and early in the first quarter of 2023, crystalizing gains in the Fund. While the Fund’s corporate exposure fluctuated throughout the year, the allocation to banks grew as programmatic issuance pushed yield spreads wider despite what the team believes to be solid fundamentals and capitalization levels across large money center banks. An emphasis on senior paper from these high quality, well capitalized banks significantly contributed to performance in the most recent quarter, where broader banking sector concerns weighed on the banking component of the Index.

Though lower over the quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks with solid capital ratios and strong long-term fundamentals. Within the small allocation to securitized products, positions in CMBS and ABS remain, though caution is warranted, particularly in CMBS. However, there are still good risk-adjusted opportunities on diligent underwriting, with current exposure focused on higher quality issues.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWCSX (Inception: June 29, 2018)		7.28%		-6.02%		-1.23%		—		—		2.67%
Bloomberg U.S. Corporate Index		7.26%		-5.55%		-0.54%		—		—		1.92%
MWCBX (Inception: June 29, 2018)		7.41%		-5.79%		-0.99%		—		—		2.93%
Bloomberg U.S. Corporate Index		7.26%		-5.55%		-0.54%		—		—		1.92%

3 / Annual Report March 2023

Metropolitan West ESG Securitized Fund

M-Class (MWERX), I-Class (MWESX)

For the twelve-month period ending March 31, 2023, the MetWest ESG Securitized Mutual Fund – I Class (“Fund”) fell 7.04% (net of fees), trailing the Bloomberg U.S. MBS Index (“Index”) by 219 bps. Underperformance was driven primarily by the Fund’s overweight exposure to non-agency CMBS. While holdings were focused on highly-rated single asset, single borrower deals, the market was weighted down at various points in the year by investors fulfilling liquidity needs during risk off periods and concerns about tighter credit conditions in the banking sector. Relative performance was also challenged by exposure to solar ABS, as the sector saw a longer duration extension due to rate volatility which, when combined with lower liquidity, led to underperformance. Meanwhile, the Fund’s structural underweight to agency MBS contributed to performance as the sector experienced significant underperformance versus comparable maturity Treasuries during the period due to sustained interest rate volatility. Finally, performance benefited from the Fund’s duration position which was extending as Treasury rates increased, then shortened in March as rates fell. However, this performance was slightly offset by the Fund’s curve steeping bias (overweight to 2- and 5-Year parts of the curve), which detracted as Treasury yields marched higher, led by short interest rates.

This environment will broadly continue to inform duration and curve positioning in the Fund, along with relative value considerations across securitized sectors. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Expectations are that agency MBS could be used as buy liquidity for other opportunities in market volatility, but within the targeted subset of the agency MBS universe where social characteristics, such as affordability, are prioritized along with relative value considerations. Additionally, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. Exposure is focused on higher quality issues, with an emphasis on unlabeled green opportunities in the non-agency CMBS sector, specifically single-asset, single-borrower structures and underlying properties, where green attributes align better designed and more sustainable properties, with attractive credit fundamentals. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, various ABS holdings, particularly solar ABS and data centers present compelling unlabeled green opportunities, though FFELP student loans and Small Business Administration backed bond may present more compelling opportunities in the future if valuations cheapen. Regarding specific ESG-labeled opportunities, there is a small, yet growing opportunity for increased issuance within the securitized market. Issuance remains largely concentrated in sovereign and corporate green bonds, though we anticipate this will expand to other asset classes and labeled types. Overall, we expect the ESG-labeled market to grow over time as issuers’ structure bonds to meet the rising demand for these assets driven by the growth in the sustainable fund universe and ESG-related investments.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWERX (Inception: October 1, 2021)		2.50%		-7.15%		—		—		—		-8.42%
Bloomberg U.S. Mortgage-Backed Securities (MBS) Index		4.72%		-4.85%		—		—		—		-6.73%
MWESX (Inception: October 1, 2021)		2.60%		-7.04%		—		—		—		-8.52%
Bloomberg U.S. Mortgage-Backed Securities (MBS) Index		4.72%		-4.85%		—		—		—		-6.73%

Metropolitan West Flexible Income Fund

M-Class (MWFSX), I-Class (MWFEX)

For the twelve-month period ending March 31, 2023, the MetWest Flexible Income Fund – I Class (“Fund”) fell 1.25% (net of fees), outpacing the Bloomberg U.S. Aggregate Bond Index (“Index”) by over 350 bps. Outperformance was driven by the duration position, which remained considerably shorter than the Aggregate Index, despite being extended throughout the year as yields rose. Meanwhile, smaller contributions came from CMBS, with select IO (interest only) issues contributing. The impact from corporate credit was mixed. Communications and consumer non-cyclicals both represent sizable overweights in the Fund, though the underperformance of the sectors relative to duration-matched Treasuries weighed on returns. Meanwhile, a relative underweight to the commodity-sensitive energy sector further held back performance as it was the best performing corporate sector during the period, owing to surging gas prices and increased demand for travel amid a further loosening of global COVID restrictions. Rising yield premiums and more attractive valuations across a large swath of the corporate market in the second

Annual Report March 2023 / 4

and third quarter of 2022 informed an expansion of the risk budget and increased allocation to corporates. These additions, which were made during times of spread widening, weighed on immediate performance, but were subsequently trimmed into the rallying market environments throughout November and early in the first quarter of 2023, crystalizing gains in the Fund. Finally, additional gains were made in March 2023 with additions to existing senior Credit Suisse positions, and favorable relative value trades in bank names that saw outsized volatility during the month. Finally, issue selection within residential MBS was a sizable drag, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets.

Though lower over the quarter, rates still skew high given the risk of recession, with expectations for the front end of the curve to move meaningfully lower once the Fed ultimately starts to reduce interest rates. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a relative underweight overall, with an overweight to 30 year conventionals given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Also in CMBS, the Fund maintains an allocation to select IO issuers where there is attractive upside potential. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWFSX (Inception: November 30, 2018)		6.56%		-1.50%		2.19%		—		—		6.10%
Bloomberg U.S. Aggregate Bond Index		4.89%		-4.78%		-2.77%		—		—		1.12%
MWFEX (Inception: November 30, 2018)		6.69%		-1.25%		2.35%		—		—		6.28%
Bloomberg U.S. Aggregate Bond Index		4.89%		-4.78%		-2.77%		—		—		1.12%

Metropolitan West Floating Rate Income Fund

M-Class (MWFRX), I-Class (MWFLX), Plan-Class (MWFPX)

The MetWest Floating Rate Income Fund – I Class (“Fund”) gained 1.26% (net of fees) for the twelve-month period ending March 31, 2023, trailing the Morningstar LSTA U.S. Leveraged Loan Index (“Index”) by approximately 128 bps. Relative underperformance was driven largely by sector positioning and issue selection within industrials. Consumer non-cyclicals represent one of the larger overweight positions in the strategy, though the sector lagged the broader loan universe, weighed down heavily by food/beverage and healthcare loans. Meanwhile, energy is a relatively small position in the Fund and is underweight the Index, though energy equipment and services gained over 11% during the year to finish as the top performing sector in the Index. Meanwhile, Fund holdings within capital goods and consumer cyclicals underperformed relative to Index holdings, though technology and gaming loans positively contributed to Fund performance. Away from industrials, utility and financials had a smaller negative effect on performance, largely as a result of being underweight sectors that finished ahead of the broader Index. Finally, given that higher quality loans outperformed during the year (BB-rated loans returned over 5%, while CCC fell 8%), the Fund’s minor underweight to BB deals resulted in a slight drag.

The reduction in the availability of credit as a result of recent stresses in the banking system is likely to challenge borrowers across the leveraged loan market, as even the larger and more experienced lenders and arrangers are likely to reassess lending terms and impose more lender-friendly covenants and/or compensation when syndicating deals. Added to an already challenging environment in which base rates and input costs are both drastically higher than in prior years, borrowers will need to have substantial liquidity and free cash flow to maintain easy access to capital markets in the midst of these tighter lending conditions. For more levered borrowers or those whose profits are declining amid slowing sales and inventory markdowns, they may soon

5 / Annual Report March 2023

lack the ability to service their debt, while access to funding is likely to be far more challenging without paying a premium. As such, the already-observed uptick in both downgrades and defaults through the first quarter of 2023 is likely to accelerate as growth slows and credit conditions tighten. Downgrades have thus far exceeded upgrades, while the nine defaults to start 2023 are just two shy of the total amount observed throughout all of 2022. Given that different CLO managers tend to have a modest degree of overlapping holdings, these defaults rolling through the bank loan sector are starting to affect overcollateralization levels across CLO structures, while the downgrade wave is challenging managers’ CCC concentration limits. Expectations are for an increased bid for loans slightly higher on the credit spectrum in the wake of these developments, where the Fund is currently strategically positioned to be a liquidity provider. Further, with dispersion between the lowest and highest quality segments of the market still at relatively wide levels by historical standards, and the yield on the Leveraged Loan Index near 10%, opportunities are plentiful for disciplined active management, whereby diligent fundamental analysis and judicious underwriting remain paramount to the team’s process.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWFRX (Inception: June 28, 2013)		5.00%		0.96%		5.41%		2.63%		—		3.14%
Morningstar LSTA U.S. Leveraged Loan Index		5.94%		2.54%		8.52%		3.63%		—		3.83%
MWFLX (Inception: June 28, 2013)		5.10%		1.26%		5.62%		2.86%		—		3.35%
Morningstar LSTA U.S. Leveraged Loan Index		5.94%		2.54%		8.52%		3.63%		—		3.83%
MWFPX (Inception: January 29, 2021)		5.05%		1.00%		—		—		—		1.42%
Morningstar LSTA U.S. Leveraged Loan Index		5.94%		2.54%		—		—		—		2.95%

Metropolitan West High Yield Bond Fund

M-Class (MWHYX), I-Class (MWHIX)

Against the backdrop of rising rates, the MetWest High Yield Bond Fund – I Class (“Fund”) fell 3.97% (net of fees) over the twelve-month period ending March 31, 2023, trailing the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (“Index”) by approximately 61 bps. The largest drag on returns came from the Fund’s sector positioning, specifically an overweight to consumer non-cyclicals, which was weighed down by an over 20% decline in pharmaceuticals. Also within industrials, an overweight to lagging communications was a headwind, notably the emphasis on wirelines names as the industry was one of the worst performers in the Index during the period. An underweight to top performing energy sectors such as refining and oil field services further detracted. Favorable issue selection helped offset these sector drags, with contributions coming from consumer non-cyclicals, technology, and consumer cyclical names. Within the financials, the Fund’s banking, insurance, and finance company holdings also outpaced those held in the Index. Finally, the Fund’s high quality emphasis was a slight tailwind to performance, as CCC-rated issues generally trailed BB- and B-rated cohorts.

The team maintains a relatively cautious outlook, particularly when considering that the lagged effect of the Fed’s cumulative policy tightening and its ongoing balance sheet run-off is likely to continue to challenge liquidity conditions and risk appetites across financial markets. This thesis has come to fruition in early March 2023, with financial conditions considerably tightening as the prospect of a banking crisis upended the narrative of a “soft” or “no landing” scenario. Looking forward, the team will continue to opportunistically trim exposure on strength, while adding, on weakness, to quality names with strong balance sheets, skilled management and sustainable objectives to weather this period of heightened uncertainty. Overall, an emphasis remains on what are viewed as more resilient, defensive areas of the market such as non-cyclical, recession-resistant sectors while more cyclical segments such as retail and technology represent relative underweights.

Annual Report March 2023 / 6

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)		7.06%		-4.20%		3.76%		3.34%		3.13%		7.02%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		7.88%		-3.35%		5.88%		3.19%		4.09%		7.58%
MWHIX (Inception: March 31, 2003)		7.19%		-3.87%		4.06%		3.60%		3.39%		6.55%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		7.88%		-3.35%		5.88%		3.19%		4.09%		7.06%

Metropolitan West Intermediate Bond Fund

M-Class (MWIMX), I-Class (MWIIX)

For the twelve-month period ending March 31, 2023, the MetWest Intermediate Bond Fund – I Class (“Fund”) fell 2.22% (net of fees), trailing the Bloomberg Intermediate U.S. Government/Credit Index (“Index”) by 56 bps. Underperformance was driven primarily by issue selection within residential MBS, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. ABS and CMBS also detracted, but to a lesser extent, with spreads widening in both sectors as cracks in consumer strength held back ABS, while slowing retail activity and the popularization of away-from-the-office work arrangements weighed on CMBS collateral. Meanwhile, the overweight to corporate credit had little impact overall on relative returns as intermediate corporates were flat relative to Treasuries on a duration-adjusted basis, though the issue selection impact from the sector was boosted by contributions in March 2023 during what was a very volatile couple of weeks for banks. A preference for more senior areas of the banking sector helped insulate returns from the broader spread widening, while additions to existing senior Credit Suisse positions and favorable relative value trades in bank names that saw outsized volatility in March significantly boosted returns. Prior to 2023, corporate credit had been more mixed, with additions made during the year benefitting returns in periods when the sector rallied (November 2022), but resulting in a drag on performance as spreads widened throughout much of the period. Finally, though long duration versus the index for most of the period, the decline in rates in November 2022 and in 1Q 2023 drove a positive impact from duration positioning.

Though lower over the first quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable overweight given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.

7 / Annual Report March 2023

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)		4.56%		-2.32%		-0.85%		1.34%		1.20%		3.43%
Bloomberg Intermediate U.S. Government/Credit Index		3.91%		-1.66%		-1.28%		1.40%		1.32%		2.79%
MWIIX (Inception: June 28, 2002)		4.55%		-2.22%		-0.67%		1.54%		1.42%		4.21%
Bloomberg Intermediate U.S. Government/Credit Index		3.91%		-1.66%		-1.28%		1.40%		1.32%		3.16%

Metropolitan West Investment Grade Credit Fund

M-Class (MWISX), I-Class (MWIGX)

For the twelve-month period ending March 31, 2023, the MetWest Investment Grade Credit Fund – I Class (“Fund”) fell 2.03% (net of fees), trailing the Bloomberg U.S. Intermediate Credit Index (“Index”) by approximately 15 bps. An underweight to industrial credit weighed on relative performance as the sector led the corporate market during the period, while financial institutions, which represented an overweight in the Fund, lagged both Treasuries and the broader corporate market on a duration-adjusted basis, weighed down by brokers, REITs, and life insurance sectors. Issue selection among corporates was mixed, with the relative underweight to the commodity-sensitive energy sector further holding back performance as it was one of the best performers during the period, owing to surging gas prices and increased demand for travel amid a further loosening of global COVID restrictions. Meanwhile, the emphasis on communications and consumer non-cyclicals contributed as both sectors outpaced Treasuries and the broader corporate market on a duration-adjusted basis. Rising yield premiums and more attractive valuations across a large swath of the corporate market in the second and third quarter of 2022 informed an expansion of the risk budget and increased allocation to corporates, though these additions made during times of spread widening weighed on immediate performance. Consistent with the team’s disciplined relative approach, these positions were subsequently trimmed into the rallying market environments throughout November and early in the first quarter of 2023, crystalizing gains in the Fund. Finally, an emphasis on senior paper from high quality, well capitalized banks significantly contributed to performance in the most recent quarter, particularly additions to existing senior Credit Suisse positions at the height of March’s volatility that subsequently benefitted from the sharp rebound of prices into quarter-end. Away from corporates, the Fund’s off-Index position in securitized products focused on residential MBS detracted from performance during the period, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. Last, the smaller allocation to CMBS, mostly interest only positions, boosted returns.

Though lower over the quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks with solid capital ratios and strong long-term fundamentals. Within securitized products, agency MBS remains a sizable position given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. The strategy also maintains positions in CMBS and ABS, though caution is warranted, particularly in CMBS. However, there are still good risk-adjusted opportunities on diligent underwriting, with current exposure focused on higher quality issues.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWISX (Inception: June 29, 2018)		5.53%		-2.24%		-0.06%		—		—		2.81%
Bloomberg U.S. Intermediate Credit Index		5.05%		-1.88%		0.37%		—		—		1.97%
MWIGX (Inception: June 29, 2018)		5.64%		-2.03%		0.15%		—		—		3.02%
Bloomberg U.S. Intermediate Credit Index		5.05%		-1.88%		0.37%		—		—		1.97%

Annual Report March 2023 / 8

Metropolitan West Low Duration Bond Fund

M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)

For the twelve-month period ending March 31, 2023, the MetWest Low Duration Bond Fund – I Class (“Fund”) fell 0.37% (net of fees), trailing the ICE BofA 1-3 Year U.S. Treasury Index (“Index”) by 56 bps. Underperformance was driven primarily by issue selection within residential MBS, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. ABS modestly contributed to returns, driven by CLOs and bonds backed by student loan FFELP and auto collateral. Meanwhile, the allocation to corporate credit was a slight headwind at the sector level given short corporates modestly trailed Treasuries on a duration-adjusted basis, though issue selection contributed, especially in March 2023 during what was a very volatile couple of weeks for banks. A preference for more senior areas of the banking sector, along with additions to existing senior Credit Suisse positions and favorable relative value trades in bank names that saw outsized volatility in March, significantly boosted returns. Prior to 2023, corporate credit had been more mixed, with additions made during the year benefitting returns in periods when the sector rallied (November 2022), but resulting in a drag on performance as spreads widened throughout much of the period. Finally, the longer-than-Index duration position and overweight to 2-Year part of the curve detracted as Treasury yields marched higher throughout the period, led by short interest rates.

Though lower over the first quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable overweight given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWLDX (Inception: March 31, 1997)		3.10%		-0.46%		0.23%		1.10%		1.01%		3.15%
ICE BofA 1-3 Year U.S. Treasury Index		2.30%		0.20%		-0.81%		1.11%		0.81%		2.80%
MWLIX (Inception: March 31, 2000)		3.21%		-0.37%		0.44%		1.29%		1.23%		2.85%
ICE BofA 1-3 Year U.S. Treasury Index		2.30%		0.20%		-0.81%		1.11%		0.81%		2.42%
MWLNX (Inception: September 22, 2009)		3.22%		-0.48%		0.16%		1.01%		0.91%		2.42%
ICE BofA 1-3 Year U.S. Treasury Index		2.30%		0.20%		-0.81%		1.11%		0.81%		0.94%

Metropolitan West Opportunistic High Income Credit Fund

M-Class (MWORX), I-Class (MWOPX)

For the twelve-month period ending March 31, 2023, the MetWest Opportunistic High Income Credit Fund – I Class (“Fund”) fell 7.53% (net of fees), trailing the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (“Index”) by approximately 417 bps. Rising U.S. Treasury yields weighed on fixed income sectors, while equities fell on concerns about ongoing tightening from the central bank and the growing risk of recession. Underperformance was driven by the allocation to equities in the Fund, and the emphasis on more defensive corporate sectors like non-cyclicals, which was weighed down by an over 20% decline in pharmaceuticals, and communications, one of the worst performers in the Index during the period. An underweight to top

9 / Annual Report March 2023

performing energy sectors such as refining and oil field services further detracted. Favorable issue selection helped offset these sector drags, with contributions coming from consumer non-cyclicals, technology, and consumer cyclical names. Within financials, the Fund’s banking, insurance, and finance company holdings also outpaced those held in the Index. Finally, the Fund’s high quality emphasis was a slight tailwind to performance; lower rated cohorts lagged. Away from corporates, performance was also held back by the allocation to non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. CMBS also detracted, but to a lesser extent, with spreads widening as slowing retail activity and the popularization of away-from-the-office work arrangements weighed on CMBS collateral.

The team maintains a relatively cautious outlook, particularly when considering that the lagged effect of the Fed’s cumulative policy tightening and its ongoing balance sheet run-off is likely to continue to challenge liquidity conditions and risk appetites across financial markets. This thesis has come to fruition in early March 2023, with financial conditions considerably tightening as the prospect of a banking crisis upended the narrative of a “soft” or “no landing” scenario. Strategically, the Fund will tend to position for good value opportunities with a higher yield profile. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. 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.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWORX (Inception: August 2, 2021)		6.44%		-7.74%		—		—		—		-5.91%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		7.88%		-3.35%		—		—		—		-3.98%
MWOPX (Inception: August 2, 2021)		6.72%		-7.41%		—		—		—		-5.68%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		7.88%		-3.35%		—		—		—		-3.98%

Metropolitan West Strategic Income Fund

M-Class (MWSTX), I-Class (MWSIX)

The MetWest Strategic Income Fund – I Class (“Fund”) was down a modest 0.16% (net of fees) for the twelve-month period ending March 31, 2023, lagging the ICE BofA U.S. 3-Month Treasury Bill Index + 200 bps (“Index”) by approximately 470 bps. The largest headwind to returns came from the positive duration profile, which was extended throughout the period to end the period at approximately 2.9 years, as Treasury yields moved higher across the curve (the 2-Year yield was nearly 170 bps higher while the 10-Year was up 113 bps). The next largest drag came from the residential MBS allocation, namely non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. ABS exposure also detracted, though to a lesser extent, as spreads widened on cracks in consumer strength. Meanwhile, the Fund’s CMBS holdings contributed to returns even as the sector faced challenging dynamics including slowing retail activity and the popularization of away-from-the-office work arrangements. Outside of securitized, the exposure to corporate credit detracted for the period, notwithstanding positive contributions in the first quarter of 2023 stemming from favorable relative value trades in bank names.

Though lower over the first quarter, rates still skew high given the risk of recession. The 10-Year yield remains above an apparent equilibrium, thus informing a duration position of approximately 2.9 years, with an emphasis on the front end of the yield curve. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has

Annual Report March 2023 / 10

translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable position given the government-guaranteed nature, strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted, though there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWSTX (Inception: June 30, 2003)		5.02%		-0.23%		3.38%		1.81%		1.99%		3.59%
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps		2.94%		4.55%		2.85%		3.40%		2.86%		3.33%
MWSIX (Inception: March 31, 2004)		5.31%		0.00%		3.55%		2.05%		2.24%		3.16%
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps		2.94%		4.55%		2.85%		3.40%		2.86%		3.34%

Metropolitan West Total Return Bond Fund

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

For the twelve-month period ending March 31, 2023, the MetWest Total Return Bond Fund – I Class (“Fund”) fell 5.39% (net of fees), trailing the Bloomberg U.S. Aggregate Bond Index (“Index”) by 105 bps. Underperformance was driven primarily by issue selection within residential MBS, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. ABS and CMBS also detracted, but to a lesser extent, with spreads widening in both sectors as cracks in consumer strength held back ABS, while slowing retail activity and the popularization of away-from-the-office work arrangements weighed on CMBS collateral. Meanwhile, the overweight to corporate credit contributed to relative returns given the sector outpaced Treasuries by 27 bps for the period, with additional contributions in March 2023 during what was a very volatile couple of weeks for banks. A preference for more senior areas of the banking sector helped insulate returns from the broader spread widening, while additions to existing senior Credit Suisse positions and favorable relative value trades in bank names that saw outsized volatility in March significantly boosted returns. Prior to 2023, corporate credit had been more mixed, with additions made during the year benefitting returns in periods when the sector rallied (November 2022), but resulting in a drag on performance as spreads widened throughout much of the period. Finally, though long duration versus the index for most of the period, the decline in rates in November 2022 and in 1Q 2023 drove a positive impact from duration positioning.

Though lower over the first quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable overweight given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer

11 / Annual Report March 2023

good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWTRX (Inception: March 31, 1997)		5.27%		-6.10%		-2.58%		0.84%		1.32%	5.08%
Bloomberg U.S. Aggregate Bond Index		4.89%		-4.78%		-2.77%		0.90%		1.36%	4.32%
MWTIX (Inception: March 31, 2000)		5.39%		-5.80%		-2.37%		1.06%		1.55%	4.86%
Bloomberg U.S. Aggregate Bond Index		4.89%		-4.78%		-2.77%		0.90%		1.36%	4.02%
MWTTX (Inception: March 6, 2020)		5.34%		-5.87%		-2.38%		—		—	-3.27%
Bloomberg U.S. Aggregate Bond Index		4.89%		-4.78%		-2.77%		—		—	-2.90%
MWTNX (Inception: December 18, 2009)		5.20%		-6.10%		-2.69%		0.73%		1.20%	2.91%
Bloomberg U.S. Aggregate Bond Index		4.89%		-4.78%		-2.77%		0.90%		1.36%	2.32%
MWTSX (Inception: August 1, 2011)		5.41%		-5.79%		-2.30%		1.14%		1.61%	2.51%
Bloomberg U.S. Aggregate Bond Index		4.89%		-4.78%		-2.77%		0.90%		1.36%	1.80%

Metropolitan West Ultra Short Bond Fund

M-Class (MWUSX), I-Class (MWUIX)

For the twelve-month period ending March 31, 2023, the MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 0.90% (net of fees), trailing the ICE BofA 1-Year U.S. Treasury Index (“Index”) by a modest 12 bps. The largest detractor from relative performance was the allocation to agency MBS, which suffered a significant rise in nominal spreads as interest rate volatility increased, prepayment assumptions cratered, and durations extended across the majority of the coupon stack, resulting in 215 bps of negative excess returns versus duration-matched Treasuries. Non-agency MBS bonds were similarly challenged throughout the past year in the higher rate environment, though select holdings in the Fund backed by legacy collateral positively impacted performance. Elsewhere in securitized credit, CMBS exposure focusing on senior positions in single asset, single borrower deals was additive despite the broader challenges surfacing in the commercial real estate and CMBS market. Meanwhile, the exposure to short corporates was also beneficial, including an emphasis on top-performing communications, while issue selection among banks significantly contributed to performance. In particular, additions to existing senior Credit Suisse positions at the height of March’s volatility provided cheap entry points and a subsequent benefit as prices rebounded sharply into quarter-end. Finally, the Fund’s duration position produced a net positive as the benefit from large drops in Treasury yields in the latter half of the period outweighed the headwinds during months when rates rose.

Though lower over the quarter, rates still skew high given the risk of recession, with short-term yields above an apparent equilibrium, thus informing a relative long duration position. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and fundamentally sound money center banks among financials. Within securitized products, agency MBS represents a sizable allocation given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS and ABS, caution and selectivity are warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues with attractive yields and protection in the form of robust credit enhancement.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWUSX (Inception: June 30, 2003)		2.59%		0.49%		0.12%		0.91%		0.77%	1.60%
ICE BofA 1-Year U.S. Treasury Index		2.01%		1.02%		0.08%		1.29%		0.85%	1.50%
MWUIX (Inception: July 31, 2004)		2.67%		0.90%		0.36%		1.08%		0.93%	1.48%
ICE BofA 1-Year U.S. Treasury Index		2.01%		1.02%		0.08%		1.29%		0.85%	1.53%

Annual Report March 2023 / 12

Metropolitan West Unconstrained Bond Fund

M-Class (MWCRX), I-Class (MWCIX), Plan-Class (MWCPX)

For the twelve-month period ending March 31, 2023, the MetWest Unconstrained Bond Fund – I Class (“Fund”) fell 1.65% (net of fees), trailing the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index (“Index”) by 466 bps. The largest headwind to relative returns came from the positive duration profile, which was extended throughout the period to approximately 2.9 years, as Treasury yields moved higher across the curve (the 2-Year yield rose nearly 170 bps to 4.03% while the 10-Year was up 113 bps to 3.5%). Also significant to underperformance was issue selection within residential MBS, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. CMBS also detracted as slowing retail activity and the popularization of away-from-the-office work arrangements weighed on CMBS collateral. Meanwhile, the overweight to corporate credit contributed to relative returns given the sector outpaced Treasuries by 27 bps for the period, with an additional boost in March 2023 during what was a very volatile couple of weeks for banks, with favorable issue selection among the Fund’s higher conviction banking names, including senior positions in Credit Suisse. Prior to 2023, corporate credit had been more mixed, with additions made during the year benefitting returns in periods when the sector rallied (November 2022), but resulting in a drag on performance as spreads widened throughout much of the period.

Though lower over the quarter, rates still skew high given the risk of recession. The 10-Year yield remains above an apparent equilibrium, thus informing a duration position of approximately 3.0 years, with an emphasis on the front end of the yield curve. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable position given the government-guaranteed nature, strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.

	Performance Through March 31, 2023
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWCRX (Inception: October 1, 2011)		4.49%		-1.93%		1.82%		1.24%		1.80%	3.69%
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index		2.15%		3.00%		1.21%		1.67%		1.14%	1.05%
MWCIX (Inception: October 1, 2011)		4.64%		-1.65%		2.08%		1.52%		2.08%	3.97%
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index		2.15%		3.00%		1.21%		1.67%		1.14%	1.05%
MWCPX (Inception: March 6, 2020)		4.77%		-1.50%		2.17%		—		—	-0.22%
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index		2.15%		3.00%		1.21%		—		—	1.23%

13 / Annual Report March 2023

A Disciplined Value Philosophy

Difficult economic and market conditions, no doubt, test the patience of investors and the discipline of asset managers. The upside, if we can cite one, is that cheaper prices create opportunities for better entry points, and a tendency for excessive risk aversion, that is, panic selling, which amplifies mispricing. This remains especially true in fixed income, as the size, structure and segmentation of the market continue to be a place where active strategy and disciplined implementation can generate outperformance and moderate risk under a value-oriented approach. The Funds and its management are unwavering in that commitment and have been for more than 25 years.

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.

Sincerely,

Kathryn Koch

President and Principal Executive Officer of the Trust

Metropolitan West Funds

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 May 2023, 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.

This report must be preceded or accompanied by a prospectus.

Annual Report March 2023 / 14

Metropolitan West Funds

Illustration of an Assumed Investment of $10,000

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

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

Metropolitan West AlphaTrak 500 Fund

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West AlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual 10 year total returns for the Metropolitan West AlphaTrak 500 Fund were -9.77% and 12.47%, respectively. The graph assumes that distributions were reinvested.

Metropolitan West Corporate Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Corporate Bond Fund Class M with the performance of the Bloomberg U.S. Corporate Index. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class M were -6.02% and 2.67%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Corporate Bond Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class I were -5.79% and 2.93%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Corporate Bond Fund Class I shares would have been valued at $11,470.

15 / Annual Report March 2023

Metropolitan West ESG Securitized Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West ESG Securitized Fund Class M with the performance of the Bloomberg U.S. Mortgage-Backed Securities (MBS) Index. The one year and average annual since inception total return for the Metropolitan West ESG Securitized Fund Class M were -7.15% and -8.42%, respectively. The inception date for Class M was October 1, 2021. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West ESG Securitized Fund Class I was October 1, 2021. The one year and average annual since inception total return for the Metropolitan West ESG Securitized Fund Class I were -7.04% and -8.52%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West ESG Securitized Fund Class I shares would have been valued at $8,751.

Metropolitan West Flexible Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Flexible Income Fund Class M with the performance of the Bloomberg U.S. Aggregate Bond Index. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class M were -1.50% and 6.10%, respectively. The inception date for Class M was November 30, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Flexible Income Fund Class I was November 30, 2018. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class I were -1.25% and 6.28%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Flexible Income Fund Class I shares would have been valued at $13,017.

Annual Report March 2023 / 16

Metropolitan West Floating Rate Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class M with the performance of the Morningstar LSTA U.S. Leveraged Loan Index. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class M were 0.96% and 3.14%, respectively. The inception date for Class M was June 28, 2013. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Floating Rate Income Fund Class I was June 28, 2013. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class I were 1.26% and 3.35%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class I shares would have been valued at $13,787.

The inception date for the Metropolitan West Floating Rate Income Fund Plan Class was January 29, 2021. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Plan Class were 1.00% and 1.42%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Plan Class shares would have been valued at $10,310.

Metropolitan West High Yield Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class M were -4.20% and 3.13%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West High Yield Bond Fund Class I, the one year and average annual 10 year total returns were -3.87% and 3.39%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $13,959.

17 / Annual Report March 2023

Metropolitan West Intermediate Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Bloomberg Intermediate U.S. Government/Credit Index. The one year and average annual 10 year total returns for the Metropolitan West Intermediate Bond Fund Class M were -2.32% and 1.20%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Intermediate Bond Fund Class I, the one year and average annual 10 year total returns were -2.22% and 1.42%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $11,509.

Metropolitan West Investment Grade Credit Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class M with the performance of the Bloomberg U.S. Intermediate Credit Index. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class M were -2.24% and 2.81%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Investment Grade Credit Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class I were -2.03% and 3.02%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class I shares would have been valued at $11,520.

Annual Report March 2023 / 18

Metropolitan West Low Duration Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the ICE BofA 1-3 Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class M were -0.46% and 1.01%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Low Duration Bond Fund Class I, the one year and average annual 10 year total returns were -0.37% and 1.23%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $11,296.

For the Metropolitan West Low Duration Bond Fund Administrative Class, the one year and average annual 10 year total returns were -0.48% and 0.91%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Administrative Class shares would have been valued at $10,944.

Metropolitan West Opportunistic High Income Credit Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan Opportunistic High Income Credit Fund Class M with the performance of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap. The one year and average annual since inception total return for the Metropolitan Opportunistic High Income Credit Fund Class M were -7.74% and -5.91%, respectively. The inception date for Class M was August 2, 2021. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan Opportunistic High Income Credit Fund Class I was August 2, 2021. The one year and average annual since inception total return for the Metropolitan Opportunistic High Income Credit Fund Class I were -7.41% and -5.68%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan Opportunistic High Income Credit Fund Class I shares would have been valued at $9,070.

19 / Annual Report March 2023

Metropolitan West Strategic Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps. The one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class M were -0.23% and 1.99%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Strategic Income Fund Class I, the one year and average annual 10 year total returns were 0.00% and 2.24%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $12,473.

Metropolitan West Total Return Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Bloomberg U.S. Aggregate Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class M were -6.10% and 1.32%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Total Return Bond Fund Class I, the one year and average annual 10 year total returns were -5.80% and 1.55%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $11,659.

The inception date for the Metropolitan West Total Return Bond Fund Class I-2 was March 6, 2020. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Class I-2 were -5.87% and -3.27%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I-2 shares would have been valued at $9,031.

Annual Report March 2023 / 20

For the Metropolitan West Total Return Bond Fund Administrative Class, the one year and average annual 10 year total returns were -6.10% and 1.20%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Administrative Class shares would have been valued at $11,262.

For the Metropolitan West Total Return Bond Fund Plan Class, the one year and average annual 10 year total returns were -5.79% and 1.61%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Plan Class shares would have been valued at $11,728.

Metropolitan West Ultra Short Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the ICE BofA 1-Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Ultra Short Bond Fund Class M were 0.49% and 0.77%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Ultra Short Bond Fund Class I, the one year and average annual 10 year total returns were 0.90% and 0.93%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $10,975.

21 / Annual Report March 2023

Metropolitan West Unconstrained Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class M with the performance of the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index. The one year and average annual 10 year total returns for the Metropolitan West Unconstrained Bond Fund Class M were -1.93% and 1.80%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Unconstrained Bond Fund Class I, the one year and average annual 10 year total returns were -1.65% and 2.08%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $12,290.

The inception date for the Metropolitan West Unconstrained Bond Fund Plan Class was March 6, 2020. The one year and average annual since inception total return for the Metropolitan West Unconstrained Bond Fund Plan Class were -1.50% and -0.22%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Plan Class shares would have been valued at $9,932.

Annual Report March 2023 / 22

Metropolitan West Funds

Disclosure of Fund Expenses (Unaudited)

For the Six Months Ended March 31, 2023

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.

This table illustrates your Fund’s costs in two ways:

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.

	Beginning Account Value 10/01/22	Ending Account Value 03/31/23	Expense Ratio1	Expenses   Paid During   Period2
ALPHATRAK 500 FUND
Actual Fund Return	$1,000.00	$1,160.30	0.45%	$2.42
Hypothetical 5% Return	$1,000.00	$1,022.69	0.45%	$2.27
CORPORATE BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,072.80	0.74%	$3.82
Class I	$1,000.00	$1,074.10	0.49%	$2.53
Hypothetical 5% Return
Class M	$1,000.00	$1,021.24	0.74%	$3.73
Class I	$1,000.00	$1,022.49	0.49%	$2.47
ESG SECURITIZED FUND
Actual Fund Return
Class M	$1,000.00	$1,025.00	0.69%	$3.48
Class I	$1,000.00	$1,026.00	0.48%	$2.42
Hypothetical 5% Return
Class M	$1,000.00	$1,021.49	0.69%	$3.48
Class I	$1,000.00	$1,022.54	0.48%	$2.42

¹  Annualized, based on the Fund’s most recent fiscal half-year expenses.

²  Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period shown).

23 / Annual Report March 2023

	Beginning Account Value 10/01/22		Ending Account Value 03/31/23		Expense Ratio1		Expenses   Paid During   Period2
FLEXIBLE INCOME FUND
Actual Fund Return
Class M		$1,000.00		$1,065.60		0.79%		$4.07
Class I		$1,000.00		$1,066.90		0.54%		$2.78
Hypothetical 5% Return
Class M		$1,000.00		$1,020.99		0.79%		$3.98
Class I		$1,000.00		$1,022.24		0.54%		$2.72
FLOATING RATE INCOME FUND
Actual Fund Return
Class M		$1,000.00		$1,050.00		0.89%		$4.55
Class I		$1,000.00		$1,051.00		0.70%		$3.58
Plan Class		$1,000.00		$1,050.50		0.10%		$0.51
Hypothetical 5% Return
Class M		$1,000.00		$1,020.49		0.89%		$4.48
Class I		$1,000.00		$1,021.44		0.70%		$3.53
Plan Class		$1,000.00		$1,024.43		0.10%		$0.50
HIGH YIELD BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,070.60		0.84%		$4.34
Class I		$1,000.00		$1,071.90		0.59%		$3.05
Hypothetical 5% Return
Class M		$1,000.00		$1,020.74		0.84%		$4.23
Class I		$1,000.00		$1,021.99		0.59%		$2.97
INTERMEDIATE BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,045.60		0.69%		$3.52
Class I		$1,000.00		$1,045.50		0.50%		$2.55
Hypothetical 5% Return
Class M		$1,000.00		$1,021.49		0.69%		$3.48
Class I		$1,000.00		$1,022.44		0.50%		$2.52
INVESTMENT GRADE CREDIT FUND
Actual Fund Return
Class M		$1,000.00		$1,055.30		0.69%		$3.54
Class I		$1,000.00		$1,056.40		0.48%		$2.46
Hypothetical 5% Return
Class M		$1,000.00		$1,021.49		0.69%		$3.48
Class I		$1,000.00		$1,022.54		0.48%		$2.42
LOW DURATION BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,031.00		0.63%		$3.19
Class I		$1,000.00		$1,032.10		0.42%		$2.13
Administrative Class		$1,000.00		$1,031.20		0.68%		$3.44
Hypothetical 5% Return
Class M		$1,000.00		$1,021.79		0.63%		$3.18
Class I		$1,000.00		$1,022.84		0.42%		$2.12
Administrative Class		$1,000.00		$1,021.54		0.68%		$3.43

¹  Annualized, based on the Fund’s most recent fiscal half-year expenses.

²  Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period shown).

Annual Report March 2023 / 24

	Beginning Account Value 10/01/22		Ending Account Value 03/31/23		Expense Ratio1		Expenses   Paid During   Period2
OPPORTUNISTIC HIGH INCOME CREDIT FUND
Actual Fund Return
Class M		$1,000.00		$1,064.40		0.84%		$4.32
Class I		$1,000.00		$1,067.20		0.59%		$3.04
Hypothetical 5% Return
Class M		$1,000.00		$1,020.74		0.84%		$4.23
Class I		$1,000.00		$1,021.99		0.59%		$2.97
STRATEGIC INCOME FUND
Actual Fund Return
Class M		$1,000.00		$1,050.20		1.03%		$5.26
Class I		$1,000.00		$1,053.10		0.79%		$4.04
Hypothetical 5% Return
Class M		$1,000.00		$1,019.80		1.03%		$5.19
Class I		$1,000.00		$1,020.99		0.79%		$3.98
TOTAL RETURN BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,052.70		0.65%		$3.33
Class I		$1,000.00		$1,053.90		0.43%		$2.20
Class I-2		$1,000.00		$1,053.40		0.52%		$2.66
Administrative Class		$1,000.00		$1,052.00		0.77%		$3.94
Plan Class		$1,000.00		$1,054.10		0.37%		$1.89
Hypothetical 5% Return
Class M		$1,000.00		$1,021.69		0.65%		$3.28
Class I		$1,000.00		$1,022.79		0.43%		$2.17
Class I-2		$1,000.00		$1,022.34		0.52%		$2.62
Administrative Class		$1,000.00		$1,021.09		0.77%		$3.88
Plan Class		$1,000.00		$1,023.09		0.37%		$1.87
ULTRA SHORT BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,025.90		0.49%		$2.47
Class I		$1,000.00		$1,026.70		0.34%		$1.72
Hypothetical 5% Return
Class M		$1,000.00		$1,022.49		0.49%		$2.47
Class I		$1,000.00		$1,023.24		0.34%		$1.72
UNCONSTRAINED BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,044.90		1.04%		$5.30
Class I		$1,000.00		$1,046.40		0.75%		$3.83
Plan Class		$1,000.00		$1,047.70		0.70%		$3.57
Hypothetical 5% Return
Class M		$1,000.00		$1,019.75		1.04%		$5.24
Class I		$1,000.00		$1,021.19		0.75%		$3.78
Plan Class		$1,000.00		$1,021.44		0.70%		$3.53

¹  Annualized, based on the Fund’s most recent fiscal half-year expenses.

²  Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period shown).

25 / Annual Report March 2023

Metropolitan West Funds

Summary of Portfolio Holdings

March 31, 2023

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	26.16%
U.S. Treasury Bills	17.81%
Asset-Backed Securities	14.09%
U.S. Agency Mortgage-Backed	12.12%
Non-Agency Commercial Mortgage-Backed	9.50%
Money Market Funds	8.95%
Non-Agency Mortgage-Backed	8.11%
U.S. Agency Commercial Mortgage-Backed	1.55%
Municipal Bonds	1.23%
Mutual Funds	0.25%
Common Stock	0.07%
Rights	0.00%
Other*	0.16%
Total	100.00%
CORPORATE BOND FUND
Sector Diversification
Corporate Bonds	86.46%
U.S. Treasury Securities	6.95%
Municipal Bonds	3.42%
Money Market Funds	2.89%
Asset-Backed Securities	0.50%
U.S. Agency Commercial Mortgage-Backed	0.28%
Non-Agency Commercial Mortgage-Backed	0.14%
U.S. Agency Mortgage-Backed	0.12%
Other*	(0.76)%
Total	100.00%
ESG SECURITIZED FUND
Sector Diversification
U.S. Agency Mortgage-Backed	71.76%
Non-Agency Commercial Mortgage-Backed	30.30%
Asset-Backed Securities	7.85%
Money Market Funds	2.07%
U.S. Treasury Securities	1.50%
U.S. Agency Commercial Mortgage-Backed	1.33%
Non-Agency Mortgage-Backed	1.03%
Other*	(15.84)%
Total	100.00%

FLEXIBLE INCOME FUND
Sector Diversification
Corporate Bonds	31.13%
Non-Agency Mortgage-Backed	22.40%
U.S. Agency Mortgage-Backed	21.94%
U.S. Treasury Bills	18.59%
Asset-Backed Securities	9.05%
Non-Agency Commercial Mortgage-Backed	5.62%
Money Market Funds	4.45%
Bank Loans	3.37%
Foreign Government Obligations	1.57%
U.S. Agency Commercial Mortgage-Backed	1.06%
U.S. Treasury Securities	0.93%
Municipal Bonds	0.24%
Common Stock	0.17%
Rights	0.00%
Warrant	0.00%
Other*	(20.52)%
Total	100.00%
FLOATING RATE INCOME FUND
Sector Diversification
Bank Loans	90.74%
Corporate Bonds	3.58%
U.S. Treasury Bills	3.20%
Money Market Funds	0.81%
Asset-Backed Securities	0.33%
Common Stock	0.08%
Rights	0.00%
Warrant	0.00%
Other*	1.26%
Total	100.00%
HIGH YIELD BOND FUND
Sector Diversification
Corporate Bonds	83.65%
Bank Loans	9.25%
Money Market Funds	2.96%
Common Stock	0.90%
Rights	0.00%
Warrant	0.00%
Other*	3.24%
Total	100.00%

Annual Report March 2023 / 26

INTERMEDIATE BOND FUND
Sector Diversification
U.S. Treasury Securities	46.47%
Corporate Bonds	30.06%
U.S. Agency Mortgage-Backed	14.20%
Non-Agency Mortgage-Backed	6.66%
Asset-Backed Securities	4.90%
Non-Agency Commercial Mortgage-Backed	2.86%
Money Market Funds	1.76%
U.S. Agency Discount Notes	1.66%
Bank Loans	1.09%
Municipal Bonds	0.97%
U.S. Treasury Bills	0.85%
U.S. Agency Commercial Mortgage-Backed	0.32%
Common Stock	0.04%
Rights	0.00%
Other*	(11.84)%
Total	100.00%
INVESTMENT GRADE CREDIT FUND
Sector Diversification
Corporate Bonds	60.88%
U.S. Treasury Securities	17.93%
U.S. Agency Mortgage-Backed	12.50%
Asset-Backed Securities	4.70%
Municipal Bonds	4.51%
Non-Agency Mortgage-Backed	3.56%
Money Market Funds	2.76%
Non-Agency Commercial Mortgage-Backed	2.58%
U.S. Agency Commercial Mortgage-Backed	0.34%
Other*	(9.76)%
Total	100.00%
LOW DURATION BOND FUND
Sector Diversification
Corporate Bonds	29.55%
U.S. Agency Mortgage-Backed	25.98%
Non-Agency Mortgage-Backed	16.04%
U.S. Treasury Securities	13.64%
Asset-Backed Securities	13.09%
Non-Agency Commercial Mortgage-Backed	9.70%
Money Market Funds	8.56%
Bank Loans	2.21%
Municipal Bonds	1.47%
U.S. Agency Discount Notes	1.39%
U.S. Treasury Bills	1.39%
U.S. Agency Commercial Mortgage-Backed	1.30%
Common Stock	0.00%
Purchased Swaptions	0.00%
Written Swaptions	0.00%
Other*	(24.32)%
Total	100.00%

OPPORTUNISTIC HIGH INCOME CREDIT FUND
Sector Diversification
Corporate Bonds	63.73%
Money Market Funds	47.59%
Common Stock	10.08%
Bank Loans	9.13%
Non-Agency Mortgage-Backed	7.13%
Master Limited Partnerships	2.22%
Non-Agency Commercial Mortgage-Backed	1.31%
U.S. Treasury Bills	0.72%
U.S. Agency Commercial Mortgage-Backed	0.13%
Other*	(42.04)%
Total	100.00%
STRATEGIC INCOME FUND
Sector Diversification
Non-Agency Mortgage-Backed	32.32%
Corporate Bonds	29.35%
U.S. Treasury Bills	19.62%
U.S. Agency Mortgage-Backed	14.87%
Asset-Backed Securities	10.96%
Non-Agency Commercial Mortgage-Backed	2.84%
Money Market Funds	1.62%
U.S. Treasury Securities	0.96%
U.S. Agency Commercial Mortgage-Backed	0.95%
Municipal Bonds	0.18%
Common Stock	0.11%
Rights	0.00%
Other*	(13.78)%
Total	100.00%
TOTAL RETURN BOND FUND
Sector Diversification
U.S. Agency Mortgage-Backed	37.90%
Corporate Bonds	30.08%
U.S. Treasury Securities	24.22%
Non-Agency Mortgage-Backed	9.31%
U.S. Treasury Bills	5.43%
Asset-Backed Securities	4.98%
Non-Agency Commercial Mortgage-Backed	3.52%
Money Market Funds	2.05%
Bank Loans	1.54%
U.S. Agency Discount Notes	1.15%
Foreign Government Obligations	0.66%
U.S. Agency Commercial Mortgage-Backed	0.59%
Municipal Bonds	0.57%
Common Stock	0.10%
Rights	0.00%
Other*	(22.10)%
Total	100.00%

27 / Annual Report March 2023

ULTRA SHORT BOND FUND
Sector Diversification
U.S. Treasury Securities	36.53%
Corporate Bonds	23.18%
U.S. Agency Mortgage-Backed	22.60%
Non-Agency Mortgage-Backed	11.01%
Money Market Funds	9.02%
Asset-Backed Securities	6.72%
U.S. Treasury Bills	6.31%
Non-Agency Commercial Mortgage-Backed	3.76%
U.S. Agency Commercial Mortgage-Backed	2.15%
Municipal Bonds	0.77%
Other*	(22.05)%
Total	100.00%

UNCONSTRAINED BOND FUND
Sector Diversification
Non-Agency Mortgage-Backed	32.40%
Corporate Bonds	30.75%
U.S. Agency Mortgage-Backed	21.40%
Asset-Backed Securities	12.67%
Non-Agency Commercial Mortgage-Backed	8.53%
Bank Loans	3.82%
U.S. Treasury Bills	2.68%
Foreign Government Obligations	2.45%
Money Market Funds	1.98%
U.S. Agency Commercial Mortgage-Backed	1.15%
U.S. Treasury Securities	0.98%
Municipal Bonds	0.42%
Common Stock	0.33%
Rights	0.00%
Other*	(19.56)%
Total	100.00%

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

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

Annual Report March 2023 / 28

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 72.76%
ASSET-BACKED SECURITIES — 14.09%**
Access Group, Inc.,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
5.55%	07/25/561,2	$	8,785	$	8,515
Aimco CLO 11 Ltd.,
Series 2020-11A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.92%	10/17/341,2,3		100,000		97,573
Americredit Automobile Receivables Trust,
Series 2019-1, Class D
3.62%	03/18/25		175,000		172,928
Apidos CLO XXII,
Series 2015-22A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.06%)
5.87%	04/20/311,2,3		200,000		197,991
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
5.76%	07/20/291,2,3		42,225		41,944
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
6.16%	02/25/352		169,281		168,026
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
5.76%	02/25/302		2,271		2,269
Carmax Auto Owner Trust,
Series 2020-1, Class C
2.34%	11/17/25		135,000		130,814
Carvana Auto Receivables Trust,
Series 2022-P3, Class A3
4.61%	11/10/27		165,000		161,486
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.95%	10/25/341,2,3		100,000		97,173
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
5.68%	11/15/281,2,3		75,201		74,268
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
5.69%	04/15/291,2,3		43,777		43,285
Eaton Vance CLO Ltd.,
Series 2020-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
5.96%	10/15/341,2,3		150,000		146,646

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
5.47%	04/25/352	$	754	$	752
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
5.90%	03/25/362		12,624		12,612
Exeter Automobile Receivables Trust,
Series 2021-1A, Class D
1.08%	11/16/26		145,000		137,782
Exeter Automobile Receivables Trust,
Series 2021-2A, Class B
0.57%	09/15/25		17,999		17,962
Exeter Automobile Receivables Trust,
Series 2022-6A, Class C
6.32%	05/15/28		130,000		132,389
Flagship Credit Auto Trust,
Series 2021-1, Class C
0.91%	03/15/271		150,000		141,585
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
5.96%	10/20/341,2,3		140,000		136,715
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
6.01%	05/25/341,2		5,988		5,984
LCM 29 Ltd.,
Series 29A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.59%	04/15/311,2,3		56,818		56,464
Madison Park Funding XVII Ltd.,
Series 2015-17A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
5.82%	07/21/301,2,3		166,322		164,700
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
5.36%	06/25/312		66,876		64,632
Navient Student Loan Trust,
Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
5.90%	12/27/661,2		59,468		57,771
Nelnet Student Loan Trust,
Series 2014-3A, Class A
(LIBOR USD 1-Month plus 0.58%)
5.43%	06/25/411,2		9,346		9,158
NYACK Park CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(LIBOR USD 3-Month plus 0.65%)
5.46%	10/20/341,2,3		60,000		59,314

See accompanying Notes to Financial Statements.

29 / Annual Report March 2023

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date	Principal    Amount		Value
ASSET-BACKED SECURITIES (continued)
Oak Street Investment Grade Net Lease Fund,
Series 2020-1A, Class A1
1.85%	11/20/501	$	95,931	$	86,262
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
6.07%	11/20/301,2,3		85,000		84,154
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
5.93%	02/24/371,2,3		115,000		112,897
Palmer Square CLO Ltd.,
Series 2014-1A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.92%	01/17/311,2,3		85,000		84,238
PHEAA Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.15%)
6.00%	09/25/651,2		39,962		39,371
Progress Residential Trust,
Series 2019-SFR3, Class A
2.27%	09/17/361		118,808		113,615
Progress Residential Trust,
Series 2019-SFR4, Class A
2.69%	10/17/361		99,874		95,565
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
6.00%	10/20/301,2,3		130,000		128,784
SLM Student Loan Trust,
Series 2005-5, Class A4
(LIBOR USD 3-Month plus 0.14%)
4.96%	10/25/282		15,841		15,814
SLM Student Loan Trust,
Series 2005-7, Class A4
(LIBOR USD 3-Month plus 0.15%)
4.97%	10/25/292		70,223		69,917
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
6.52%	07/25/232		77,715		77,349
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
5.92%	07/25/232		114,790		111,815
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
6.32%	04/25/232		29,223		29,067
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
5.80%	09/25/282		120,479		114,911

Issues	Maturity    Date	Principal    Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
5.55%	01/25/292	$	69,801	$	67,340
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
5.40%	06/25/432		4,722		4,569
Sofi Professional Loan Program Trust,
Series 2021-B, Class AFX
1.14%	02/15/471		198,488		166,075
Sofi Professional Loan Program, LLC,
Series 2019-A, Class A2FX
3.69%	06/15/481		136,952		132,336
Stack Infrastructure Issuer LLC,
Series 2019-2A, Class A2
3.08%	10/25/441		60,000		57,070
Westlake Automobile Receivables Trust,
Series 2023-1A, Class B
5.41%	01/18/281		150,000		149,118
Total Asset-Backed Securities
(Cost $4,153,620)					4,081,005
CORPORATES — 26.16%*
Banking — 7.84%
Bank of America Corp.
(MTN)
2.55%	02/04/284		235,000		214,223
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		145,000		123,250
2.59%	09/11/251,3,4		230,000		213,753
6.37%	07/15/261,3,4		20,000		19,505
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,4		200,000		186,790
HSBC Holdings PLC
(United Kingdom)
0.98%	05/24/253,4		395,000		372,201
ING Groep NV
(Netherlands)
3.87%	03/28/263,4		200,000		193,542
Lloyds Banking Group PLC
(United Kingdom)
4.72%	08/11/263,4		60,000		58,713
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,4		90,000		83,920
1.34%	01/12/271,3,4		70,000		62,516
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		105,000		102,937
4.52%	06/25/243,4		75,000		74,645
Santander UK Group Holdings PLC
(United Kingdom)
1.53%	08/21/263,4		200,000		178,603
4.80%	11/15/243,4		75,000		73,979

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 30

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date			Principal    Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co.
(MTN)
2.16%		02/11/264		$	330,000	$	310,647
							2,269,224
Communications — 2.47%
AT&T, Inc.
(LIBOR USD 3-Month plus 1.18%)
6.33%		06/12/24	2		175,000		175,840
Charter Communications Operating LLC/Charter
Communications Operating Capital
(LIBOR USD 3-Month plus 1.65%)
6.46%		02/01/24	2		125,000		125,496
Frontier Communications Holdings LLC
8.63%		03/15/31	1		32,000		31,360
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	1,3		66,000		60,768
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		93,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
5.15%		03/20/28	1		50,000		49,706
T-Mobile USA, Inc.
2.25%		02/15/26			113,000		105,467
2.63%		04/15/26			79,000		74,015
							715,652
Consumer Discretionary — 1.17%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	1,3		100,000		98,525
Imperial Brands Finance PLC
(United Kingdom)
6.13%		07/27/271,3			35,000		35,930
WarnerMedia Holdings, Inc.
3.43%		03/15/241			210,000		205,325
							339,780
Diversified REITs — 0.35%
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32			6,000		4,898
VICI Properties LP/VICI Note Co., Inc.
4.50%		01/15/281			6,000		5,564
4.63%		06/15/251			95,000		91,901
							102,363
Electric — 1.42%
Alliant Energy Finance LLC
3.75%		06/15/231			140,000		139,539
American Electric Power Co., Inc.
2.03%		03/15/24			120,000		116,403

Issues	Maturity    Date	Principal    Amount		Value
CORPORATES (continued)
Electric (continued)
FirstEnergy Transmission LLC
2.87%	09/15/281	$	63,000	$	56,913
Pennsylvania Electric Co.
4.15%	04/15/251		50,000		48,438
5.15%	03/30/261		50,000		50,251
					411,544
Energy — 1.41%
Energy Transfer LP
4.25%	04/01/24		150,000		148,123
5.50%	06/01/27		12,000		12,139
Occidental Petroleum Corp.
0.00%	10/10/369		25,000		12,938
Plains All American Pipeline LP/PAA Finance Corp.
4.65%	10/15/25		125,000		123,805
Southern Co. Gas Capital Corp.
3.88%	11/15/25		100,000		97,385
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/271,3		14,625		14,350
					408,740
Finance — 5.21%
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		5,000		4,235
Capital One Financial Corp.
1.34%	12/06/244		120,000		115,782
Citigroup, Inc.
3.52%	10/27/284		290,000		271,302
Goldman Sachs Group, Inc. (The)
1.22%	12/06/23		90,000		87,489
1.95%	10/21/274		25,000		22,338
Goldman Sachs Group, Inc. (The)
(MTN)
(LIBOR USD 3-Month plus 1.60%)
6.55%	11/29/232		75,000		75,495
JPMorgan Chase & Co.
0.56%	02/16/254		290,000		278,185
0.82%	06/01/254		110,000		104,328
1.04%	02/04/274		50,000		44,643
Morgan Stanley
(GMTN)
1.51%	07/20/274		260,000		230,917
Nationwide Building Society
(United Kingdom)
4.36%	08/01/241,3,4		75,000		74,385
UBS Group AG
(Switzerland)
5.71%	01/12/271,3,4		200,000		198,301
					1,507,400
Health Care — 3.24%
AbbVie, Inc.
3.75%	11/14/23		125,000		123,808
Amgen, Inc.
5.15%	03/02/28		130,000		132,834

See accompanying Notes to Financial Statements.

31 / Annual Report March 2023

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date		Principal    Amount		Value
CORPORATES (continued)
Health Care (continued)
Bayer U.S. Finance II LLC
4.25%		12/15/251	$	165,000	$	161,542
Catalent Pharma Solutions, Inc.
3.50%		04/01/301		57,000		50,145
Embecta Corp.
5.00%		02/15/301		45,000		38,771
HCA, Inc.
5.00%		03/15/24		75,000		74,549
5.25%		06/15/26		155,000		155,257
Humana, Inc.
5.70%		03/13/26		70,000		70,414
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/311		16,000		14,237
Prestige Brands, Inc.
3.75%		04/01/311		40,000		33,940
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/233		85,000		83,332
						938,829
Industrials — 0.34%
Artera Services LLC
9.03%		12/04/251		9,000		7,792
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
5.19%		05/05/262		29,000		28,646
(LIBOR USD 3-Month plus 0.48%)
5.34%		08/15/362		75,000		63,338
						99,776
Information Technology — 0.88%
NCR Corp.
5.13%		04/15/291		8,000		6,952
Oracle Corp.
5.80%		11/10/25		140,000		143,555
VMware, Inc.
1.00%		08/15/24		110,000		103,708
						254,215
Insurance — 1.00%
Athene Global Funding
(SOFR Index plus 0.70%)
5.46%		05/24/241,2		85,000		84,232
Nationwide Mutual Insurance Co.
7.16%		12/15/241,4		90,000		89,655
Trinity Acquisition PLC
(United Kingdom)
4.63%		08/15/233		110,000		109,636
Willis North America, Inc.
4.65%		06/15/27		5,000		4,928
						288,451
Materials — 0.58%
Georgia-Pacific LLC
3.60%		03/01/251		115,000		112,057

Issues	Maturity    Date	Principal    Amount		Value
CORPORATES (continued)
Materials (continued)
International Flavors & Fragrances, Inc.
2.30%	11/01/301	$	70,000	$	56,226
					168,283
Retail — 0.06%
Michaels Cos., Inc. (The)
5.25%	05/01/281		20,000		16,689
Services — 0.07%
Waste Pro USA, Inc.
5.50%	02/15/261		23,000		21,176
Specialized REITs — 0.01%
Life Storage LP
2.40%	10/15/31		5,000		4,050
Transportation — 0.11%
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		30,486		30,273
Total Corporates
(Cost $7,770,616)					7,576,445
MORTGAGE-BACKED — 31.28%**
Non-Agency Commercial Mortgage-Backed — 9.50%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%	08/10/351		32,780		31,741
ACAM Ltd.,
Series 2019-FL1, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.51%)
6.17%	11/17/341,2,3		22,137		21,788
AREIT Trust,
Series 2019-CRE3, Class A
(CME Term SOFR 1-Month plus 1.38%)
6.04%	09/14/361,2		16,683		16,261
BANK,
Series 2018-BN14, Class A2
4.13%	09/15/60		57,613		56,413
Barclays Commercial Mortgage Securities Trust,
Series 2018-BXH, Class A
(LIBOR USD 1-Month plus 1.00%)
5.68%	10/15/371,2		72,684		70,417
Beast Mortgage Trust,
Series 2021-SSCP, Class A
(LIBOR USD 1-Month plus 0.75%)
5.43%	04/15/361,2		250,000		237,993
BFLD Trust,
Series 2020-EYP, Class A
(LIBOR USD 1-Month plus 1.15%)
5.83%	10/15/351,2		125,000		116,701
BX Commercial Mortgage Trust,
Series 2021-CIP, Class A
(LIBOR USD 1-Month plus 0.92%)
5.61%	12/15/381,2		130,000		125,484

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 32

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date	Principal    Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
BX Trust,
Series 2021-SDMF, Class A
(LIBOR USD 1-Month plus 0.59%)
5.27%	09/15/341,2	$	121,000	$	115,598
BXMT Ltd.,
Series 2020-FL3, Class A
(Cayman Islands)
(SOFR30A plus 1.51%)
6.07%	11/15/371,2,3		410,000		399,687
Citigroup Commercial Mortgage Trust,
Series 2015-GC29, Class AAB
2.98%	04/10/48		30,303		29,692
Citigroup Commercial Mortgage Trust,
Series 2015-P1, Class AAB
3.47%	09/15/48		26,012		25,414
Cold Storage Trust,
Series 2020-ICE5, Class A
(LIBOR USD 1-Month plus 0.90%)
5.58%	11/15/371,2		108,129		105,470
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.19%	10/15/454		75,030		1
Commercial Mortgage Trust,
Series 2013-CR11, Class ASB
3.66%	08/10/50		1,590		1,581
Commercial Mortgage Trust,
Series 2015-LC23, Class A2
3.22%	10/10/48		37,887		35,821
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%	07/10/50		76,416		73,629
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
5.66%	05/15/361,2		244,392		241,837
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.46%	08/10/431,4		1,531,888		1,290
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.00%	03/10/441,4		325,550		3
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C17, Class XA (IO)
0.68%	01/15/474		1,437,653		3,106
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class A3
3.67%	04/15/47		41,948		41,347
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.11%	01/15/464		4,269,741		167
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.26%	04/15/464		1,084,923		5,617
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2015-JP1, Class XA (IO)
0.89%	01/15/494,5,7		634,573		12,667

Issues	Maturity    Date	Principal    Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO)
0.43%	09/15/391,4	$	303,520	$	36
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
6.47%	11/15/351,2		144,703		144,905
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class ASB
3.56%	11/15/46		1,822		1,811
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C14, Class XA (IO)
0.90%	02/15/474		867,888		2,812
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C26, Class ASB
3.32%	10/15/48		39,078		37,946
One New York Plaza Trust,
Series 2020-1NYP, Class A
(LIBOR USD 1-Month plus 0.95%)
5.63%	01/15/361,2		94,000		90,212
SREIT Trust,
Series 2021-MFP, Class A
(LIBOR USD 1-Month plus 0.73%)
5.42%	11/15/381,2		250,000		239,635
TMSQ Mortgage Trust,
Series 2014-1500, Class XA (IO)
0.15%	10/10/361,4		14,000,000		29,341
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.17%	08/10/491,4,5,7		247,265		101
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%	08/15/50		72,222		70,647
Wells Fargo Commercial Mortgage Trust,
Series 2017-SMP, Class A
(LIBOR USD 1-Month plus 0.88%)
5.56%	12/15/341,2		200,000		188,555
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class A4
3.72%	05/15/47		112,801		111,040
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class ASB
3.39%	08/15/47		10,926		10,775
WF-RBS Commercial Mortgage Trust,
Series 2014-C25, Class XA (IO)
0.79%	11/15/474		4,929,032		47,080
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class ASB
3.52%	03/15/47		6,373		6,319
					2,750,940
Non-Agency Mortgage-Backed — 8.11%
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%	09/25/37		195,141		83,211

See accompanying Notes to Financial Statements.

33 / Annual Report March 2023

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date			Principal    Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Asset-Backed Funding Certificates,
Series 2004-OPT4, Class M1
(LIBOR USD 1-Month plus 0.90%)
5.75%		02/25/34	2	$	86,526	$	83,508
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
5.00%		05/26/36	1,2		3,257		3,291
Banc of America Funding Trust,
Series 2015-R7, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus 0.92%)
2.91%		09/26/46	1,2		44,410		44,182
Centex Home Equity Loan Trust,
Series 2005-B, Class M2
(LIBOR USD 1-Month plus 0.65%)
5.49%		03/25/35	2		100,870		99,314
Centex Home Equity Loan Trust,
Series 2005-D, Class M4
(LIBOR USD 1-Month plus 0.92%)
5.76%		10/25/35	2		52,976		52,846
CIM Trust,
Series 2019-R1, Class A
3.25%		10/25/58	1,4		88,467		77,391
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/57	1,4		113,319		99,446
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-HE4, Class M2
(LIBOR USD 1-Month plus 0.68%)
5.52%		10/25/35	2		143,000		136,168
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH3, Class M1
(LIBOR USD 1-Month plus 0.39%)
5.24%		06/25/37	2		94,017		91,356
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A1
(LIBOR USD 1-Month plus 0.90%)
5.75%		10/25/47	2		60,066		54,164
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
5.45%		05/25/35	2		40,436		33,084
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 05/25/23)
3.95%		01/25/33			5,068		4,670
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.74%)
5.50%		07/19/44	2		2,025		1,774
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3
(LIBOR USD 1-Month plus 0.56%)
4.83%		03/25/36	2		19,946		19,686

Issues	Maturity    Date			Principal    Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.28%		04/19/36	4	$	60,679	$	45,896
HarborView Mortgage Loan Trust,
Series 2005-4, Class 2A
4.21%		07/19/35	4		701		614
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(LIBOR USD 1-Month plus 0.68%)
5.44%		06/20/35	2		105,279		94,826
HSI Asset Securitization Corp. Trust,
Series 2007-WF1, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
5.17%		05/25/37	2		36,033		35,819
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1A
(LIBOR USD 1-Month plus 0.86%)
5.71%		08/25/34	2		6,215		5,092
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A1A
(LIBOR USD 1-Month plus 0.42%)
5.27%		05/25/46	2		71,840		62,975
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 2A1
3.52%		06/25/37	4		57,471		37,120
JPMorgan Mortgage Acquisition Trust,
Series 2005-WMC1, Class M3
(LIBOR USD 1-Month plus 0.71%)
5.55%		09/25/35	2		145,794		139,227
Long Beach Mortgage Loan Trust,
Series 2004-4, Class 1A1
(LIBOR USD 1-Month plus 0.56%)
5.41%		10/25/34	2		100,360		94,064
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2007-HE7, Class A2B
(LIBOR USD 1-Month plus 1.00%)
5.85%		07/25/37	2		65,027		63,084
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates,
Series 2005-4, Class M2
(LIBOR USD 1-Month plus 0.69%)
5.54%		11/25/35	2		76,532		70,046
PRPM LLC,
Series 2021-3, Class A1 (STEP-reset date 04/25/23)
1.87%		04/25/26	1		159,291		148,605
PRPM LLC,
Series 2021-6, Class A1 (STEP-reset date 04/25/23)
1.79%		07/25/26	1		67,199		62,243
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%)
5.36%		03/25/36	2		82,007		78,153

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 34

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date	Principal    Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securities Corp.,
Series 2005-AHL2, Class M1
(LIBOR USD 1-Month plus 0.63%)
5.48%	10/25/352	$	21,452	$	21,351
Structured Asset Mortgage Investments II Trust,
Series 2006-AR1, Class 3A1
(LIBOR USD 1-Month plus 0.46%)
5.31%	02/25/362		38,899		30,883
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%	08/25/341,5,7		1,439,659		17,136
VOLT CIII LLC,
Series 2021-CF1, Class A1 (STEP-reset date 04/25/23)
1.99%	08/25/511		94,559		86,222
VOLT XCIX, LLC,
Series 2021-NPL8, Class A1 (STEP-reset date 04/25/23)
2.12%	04/25/511		193,746		177,449
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus 1.40%)
4.54%	06/25/422		1,075		959
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 2AB2
(LIBOR USD 1-Month plus 0.84%)
5.69%	07/25/452		92,185		87,462
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2005-4, Class M3
(LIBOR USD 1-Month plus 0.75%)
5.60%	12/25/352		100,000		97,617
Wells Fargo Mortgage-Backed Securities Trust,
Series 2003-I, Class A1
4.17%	09/25/334		5,635		5,420
					2,347,728
U.S. Agency Commercial Mortgage-Backed — 1.55%
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K031, Class X1 (IO)
0.17%	04/25/234		10,133,905		49
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K033, Class X1 (IO)
0.28%	07/25/234		3,405,863		954
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K036, Class X1 (IO)
0.68%	10/25/234		4,785,753		11,051
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K044, Class X1 (IO)
0.74%	01/25/254		1,103,976		13,375
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K732, Class X3 (IO)
2.17%	05/25/464		250,000		11,115

Issues	Maturity    Date	Principal    Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC05, Class X1 (IO)
1.21%	06/25/274	$	963,217	$	28,871
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF88, Class AL
(LIBOR USD 1-Month plus 0.33%)
5.00%	09/25/302		118,056		117,286
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ30, Class A1
0.53%	01/25/25		51,828		51,349
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ31, Class A1
0.57%	05/25/26		27,531		26,367
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ32, Class A1
0.52%	06/25/25		50,596		48,193
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS07, Class X (IO)
0.62%	09/25/254		2,873,463		40,240
Ginnie Mae,
Series 2014-157, Class C
3.15%	10/16/544		103,263		100,335
					449,185
U.S. Agency Mortgage-Backed — 12.12%
Fannie Mae Pool 802665
(LIBOR USD 6-Month plus 1.74%)
3.86%	12/01/342		570		559
Fannie Mae Pool AL0851
6.00%	10/01/40		1,705		1,806
Fannie Mae REMICS,
Series 1997-91, Class SL (IO)
(-2.00 X LIBOR USD 1-Month plus 16.00%, 7.50% Cap)
6.68%	11/25/232		796		5
Fannie Mae REMICS,
Series 2002-21, Class FB
(LIBOR USD 1-Month plus 0.90%)
5.75%	04/25/322		18,462		18,564
Fannie Mae REMICS,
Series 2002-53, Class FY
(LIBOR USD 1-Month plus 0.50%)
5.35%	08/25/322		68,958		68,923
Fannie Mae REMICS,
Series 2003-11, Class FA
(LIBOR USD 1-Month plus 1.00%)
5.85%	09/25/322		3,274		3,318
Fannie Mae REMICS,
Series 2003-81, Class FE
(LIBOR USD 1-Month plus 0.50%)
5.35%	09/25/332		24,053		23,944

See accompanying Notes to Financial Statements.

35 / Annual Report March 2023

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date			Principal    Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2006-48, Class FL
(LIBOR USD 1-Month plus 0.40%)
5.25%		06/25/36	2	$	31,433	$	31,086
Fannie Mae REMICS,
Series 2006-8, Class NF
(LIBOR USD 1-Month plus 0.37%)
5.22%		03/25/36	2		26,169		25,798
Fannie Mae REMICS,
Series 2008-12, Class FA
(LIBOR USD 1-Month plus 0.67%)
5.52%		03/25/38	2		83,404		83,152
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
5.25%		10/25/40	2		2,820		2,801
Fannie Mae REMICS,
Series 2010-74, Class AF
(LIBOR USD 1-Month plus 0.54%)
5.39%		07/25/37	2		27,520		27,319
Freddie Mac REMICS,
Series 2684, Class F
(LIBOR USD 1-Month plus 0.90%)
5.58%		01/15/33	2		2,935		2,970
Freddie Mac REMICS,
Series 3231, Class FB
(LIBOR USD 1-Month plus 0.35%)
5.03%		10/15/36	2		50,351		49,541
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
5.18%		06/15/42	2		7,964		7,863
Ginnie Mae (TBA)
4.50%		04/20/53			150,000		147,804
5.00%		04/20/53			75,000		75,099
UMBS (TBA)
2.50%		05/01/53			150,000		129,457
3.00%		05/01/53			575,000		516,310
3.50%		05/01/53			50,000		46,477
4.00%		05/01/53			475,000		454,590
4.50%		04/15/53			150,000		146,966
4.50%		05/01/53			350,000		343,038
5.00%		05/01/53			675,000		673,128
5.50%		04/01/53			625,000		631,360
							3,511,878
Total Mortgage-Backed
(Cost $9,911,809)							9,059,731
MUNICIPAL BONDS — 1.23%*
Colorado — 0.46%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%		11/15/23			135,000		131,445

Issues	Maturity    Date		Principal    Amount		Value
MUNICIPAL BONDS (continued)
Maryland — 0.28%
City of Baltimore General Obligation, School Improvements,
Series C
5.00%		10/15/25	$	80,000	$	80,493
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		142,709
Total Municipal Bonds
(Cost $374,151)						354,647
Total Bonds — 72.76%
(Cost $22,210,196)						21,071,828
Issues			Shares		Value
COMMON STOCK — 0.07%
Communications — 0.07%
Intelsat Emergence SA3,5,7
(Luxembourg)				772		20,072
Total Common Stock
(Cost $25,862)
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A†,3,5,7,8
(Luxembourg)				80		—
Intelsat Jackson Holdings SA, Series B†,3,5,7,8
(Luxembourg)				80		—
						—
Total Rights (Cost $–)						—
Issues			Shares		Value
MUTUAL FUNDS — 0.25%
Mutual Funds — 0.25%
SPDR S&P 500 ETF Trust10				175		71,643
Total Mutual Funds
(Cost $68,392)

Issues	Maturity    Date	Principal    Amount/Shares		Value
SHORT-TERM INVESTMENTS — 26.76%
Money Market Funds — 8.95%
Dreyfus Government Cash Management Fund
4.71%11			1,180,000		1,180,000
Fidelity Investments Money Market Funds -Government Portfolio
4.72%11			23,808		23,808

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 36

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date		Principal    Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds -Government Portfolio
4.73%11				1,387,000	$	1,387,000
						2,590,808
U.S. Treasury Bills — 17.81%
U.S. Treasury Bills
4.50%12		05/11/23	$	2,000,000		1,990,490
4.75%12		07/20/23		500,000		493,145
4.76%12		08/03/23		1,500,000		1,476,083
5.07%12		08/31/23		470,000		460,929
U.S. Treasury Bills (WI)
4.76%12		07/18/23		750,000		739,726
						5,160,373
Total Short-Term Investments
(Cost $7,749,520)						7,751,181
Total Investments - 99.84%
(Cost $30,053,970)						28,914,724
Cash and Other Assets, Less Liabilities - 0.16%						46,729
Net Assets - 100.00%					$	28,961,453

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

²  Floating rate security. The rate disclosed was in effect at March 31, 2023.

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

⁷  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $49,976, which is 0.17% of total net assets.

⁸  Non-income producing security.

⁹  Zero coupon bond. The rate shown is the effective yield as of March 31, 2023.

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 March 31, 2023.

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.

(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

(REIT): Real Estate Investment Trust

(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

(WI): When Issued

Description	Number of Contracts	Expiration Date	Notional Amount		Value		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
S&P 500 E-mini Index	139	06/16/23	$	28,757,363	$	1,723,515	$	1,723,515

See accompanying Notes to Financial Statements.

37 / Annual Report March 2023

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 97.87%
ASSET-BACKED SECURITIES — 0.50%**
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/371,2,3	$	39,754	$	35,886
Total Asset-Backed Securities (Cost $39,755)
CORPORATES — 86.46%*
Banking — 13.37%
Bank of America Corp.
1.73%	07/22/273		63,000		56,510
Bank of America Corp.
(MTN)
1.92%	10/24/313		20,000		15,994
2.09%	06/14/293		110,000		94,721
3.97%	03/05/293		20,000		18,977
Bank of America Corp.,
Series N
2.65%	03/11/323		10,000		8,361
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/273,4,5		30,000		25,500
3.09%	05/14/323,4,5		30,000		24,144
6.54%	08/12/333,4,5		40,000		41,000
9.02%	11/15/333,4,5		15,000		17,850
Discover Bank
(BKNT)
3.45%	07/27/26		10,000		9,244
DNB Bank ASA
(Norway)
1.13%	09/16/263,4,5		50,000		44,904
HSBC Holdings PLC
(United Kingdom)
2.21%	08/17/293,4		120,000		101,163
JPMorgan Chase & Co.
1.58%	04/22/273		30,000		26,965
2.07%	06/01/293		15,000		12,954
4.01%	04/23/293		20,000		19,159
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,4		10,000		8,881
4.72%	08/11/263,4		35,000		34,249
Macquarie Group Ltd.
(Australia)
1.34%	01/12/273,4,5		10,000		8,931
1.63%	09/23/273,4,5		30,000		26,377
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		50,000		49,018
PNC Financial Services Group, Inc. (The)
5.07%	01/24/343		100,000		98,814
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,4		55,000		52,010
U.S. Bancorp
4.84%	02/01/343		20,000		19,413
5.85%	10/21/333		15,000		15,704

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co.
(MTN)
3.35%	03/02/333	$	130,000	$	112,848
5.01%	04/04/513		15,000		14,144
					957,835
Communications — 7.05%
AT&T, Inc.
3.80%	12/01/57		78,000		58,202
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%	02/01/32		20,000		15,255
3.90%	06/01/52		5,000		3,316
5.38%	05/01/47		42,000		34,564
5.75%	04/01/48		20,000		17,471
Comcast Corp.
3.45%	02/01/50		15,000		11,606
4.00%	11/01/49		15,000		12,596
Cox Communications, Inc.
2.60%	06/15/315		40,000		33,069
Fox Corp.
3.50%	04/08/30		25,000		22,869
Meta Platforms, Inc.
3.85%	08/15/32		10,000		9,363
Qwest Corp.
7.25%	09/15/25		20,000		18,600
SES GLOBAL Americas Holdings, Inc.
5.30%	03/25/445		35,000		27,567
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
5.15%	03/20/285		15,000		14,912
Tencent Holdings Ltd.
(Cayman Islands)
3.98%	04/11/294,5		30,000		28,416
Time Warner Cable LLC
5.50%	09/01/41		33,000		28,546
T-Mobile USA, Inc.
2.55%	02/15/31		93,000		78,865
3.88%	04/15/30		10,000		9,391
4.50%	04/15/50		12,000		10,461
Verizon Communications, Inc.
2.36%	03/15/32		45,000		36,963
Vodafone Group PLC
(United Kingdom)
4.25%	09/17/504		41,000		33,548
					505,580
Consumer Discretionary — 3.45%
Altria Group, Inc.
3.70%	02/04/51		5,000		3,373
3.88%	09/16/46		11,000		7,931
5.95%	02/14/49		15,000		14,235
Bacardi Ltd.
(Bermuda)
4.70%	05/15/284,5		20,000		19,850

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 38

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
BAT Capital Corp.
4.39%	08/15/37	$	35,000	$	28,588
4.54%	08/15/47		40,000		29,841
Constellation Brands, Inc.
3.75%	05/01/50		35,000		27,727
Imperial Brands Finance PLC
(United Kingdom)
4.25%	07/21/254,5		35,000		33,978
JDE Peet’s NV
(Netherlands)
2.25%	09/24/314,5		25,000		19,755
WarnerMedia Holdings, Inc.
4.28%	03/15/325		10,000		8,929
5.14%	03/15/525		65,000		52,810
					247,017
Diversified REITs — 3.74%
American Assets Trust LP
3.38%	02/01/31		30,000		24,116
American Tower Corp.
5.65%	03/15/33		15,000		15,449
Crown Castle, Inc.
3.30%	07/01/30		50,000		45,117
Equinix, Inc.
3.90%	04/15/32		37,000		33,685
GLP Capital LP/GLP Financing II, Inc.
3.25%	01/15/32		2,000		1,633
4.00%	01/15/30		65,000		57,800
LXP Industrial Trust
2.38%	10/01/31		5,000		3,854
2.70%	09/15/30		45,000		36,608
VICI Properties LP
5.13%	05/15/32		20,000		18,959
VICI Properties LP/VICI Note Co., Inc.
4.63%	06/15/255		18,000		17,413
Weyerhaeuser Co.
3.38%	03/09/33		15,000		13,196
					267,830
Electric — 8.54%
AEP Transmission Co. LLC,
Series M
3.65%	04/01/50		5,000		3,975
AEP Transmission Co. LLC,
Series N
2.75%	08/15/51		40,000		26,584
Alabama Power Co.
5.50%	03/15/41		9,000		9,023
Alliant Energy Finance LLC
1.40%	03/15/265		45,000		39,921
Appalachian Power Co.
4.45%	06/01/45		10,000		8,577
Arizona Public Service Co.
6.35%	12/15/32		15,000		16,359
Baltimore Gas and Electric Co.
2.90%	06/15/50		33,000		22,877

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Electric (continued)
Black Hills Corp.
4.35%	05/01/33	$	35,000	$	32,257
Consolidated Edison Co. of New York, Inc.,
Series 2017
3.88%	06/15/47		10,000		8,193
Duke Energy Carolinas LLC
3.75%	06/01/45		70,000		57,119
3.88%	03/15/46		15,000		12,297
5.35%	01/15/53		9,000		9,406
Evergy, Inc.
2.45%	09/15/24		5,000		4,793
FirstEnergy Transmission LLC
5.45%	07/15/445		30,000		28,721
Florida Power & Light Co.
4.13%	02/01/42		65,000		57,736
Interstate Power and Light Co.
2.30%	06/01/30		20,000		16,769
ITC Holdings Corp.
4.05%	07/01/23		10,000		9,966
4.95%	09/22/275		15,000		15,113
Metropolitan Edison Co.
4.00%	04/15/255		39,000		37,244
MidAmerican Energy Co.
4.25%	05/01/46		10,000		8,754
Narragansett Electric Co. (The)
3.40%	04/09/305		10,000		9,168
Niagara Mohawk Power Corp.
5.78%	09/16/525		15,000		15,615
Oklahoma Gas and Electric Co.
5.60%	04/01/53		10,000		10,283
PacifiCorp.
4.13%	01/15/49		60,000		51,545
Public Service Co. of New Mexico
3.85%	08/01/25		20,000		19,431
Virginia Electric & Power Co.,
Series B
3.80%	09/15/47		20,000		16,044
Virginia Electric and Power Co.
2.45%	12/15/50		12,000		7,411
Vistra Operations Co., LLC
3.55%	07/15/245		6,000		5,791
Xcel Energy, Inc.
4.80%	09/15/41		55,000		50,825
					611,797
Energy — 4.75%
Aker BP ASA
(Norway)
3.10%	07/15/314,5		30,000		25,420
Boston Gas Co.
3.76%	03/16/325		10,000		9,047
Enbridge, Inc.
(Canada)
5.70%	03/08/334		22,000		22,894
Energy Transfer LP
5.00%	05/15/50		45,000		38,334

See accompanying Notes to Financial Statements.

39 / Annual Report March 2023

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
5.40%	10/01/47	$	6,000	$	5,351
6.13%	12/15/45		12,000		11,607
EQM Midstream Partners LP
6.50%	07/15/48		8,000		6,240
KeySpan Gas East Corp.
5.82%	04/01/415		15,000		15,091
Kinder Morgan Energy Partners LP
5.80%	03/15/35		15,000		15,284
Kinder Morgan Energy Partners LP
(MTN)
6.95%	01/15/38		5,000		5,620
Kinder Morgan, Inc.
(GMTN)
7.80%	08/01/31		5,000		5,746
NGPL Pipe Co. LLC
3.25%	07/15/315		20,000		16,942
4.88%	08/15/275		10,000		9,697
Petroleos Mexicanos
(Mexico)
7.69%	01/23/504		25,000		17,661
Plains All American Pipeline LP/PAA Finance Corp.
4.50%	12/15/26		13,000		12,736
Rockies Express Pipeline LLC
3.60%	05/15/255		30,000		28,222
6.88%	04/15/405		17,000		14,195
Sabine Pass Liquefaction LLC
4.20%	03/15/28		3,000		2,886
Southern Co. Gas Capital Corp.
4.40%	06/01/43		10,000		8,459
5.88%	03/15/41		30,000		31,834
Southern Natural Gas Co. LLC
4.80%	03/15/475		15,000		12,916
TransCanada PipeLines Ltd.
(Canada)
5.00%	10/16/434		15,000		13,690
Williams Cos., Inc. (The)
3.50%	10/15/51		15,000		10,682
					340,554
Finance — 12.17%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.00%	10/29/284		15,000		13,092
3.30%	01/30/324		28,000		23,139
3.88%	01/23/284		4,000		3,708
Air Lease Corp.
3.63%	12/01/27		19,000		17,441
4.25%	09/15/24		10,000		9,800
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/274,5		3,000		2,541
2.75%	02/21/284,5		10,000		8,355
2.88%	02/15/254,5		15,000		14,063
4.38%	05/01/264,5		10,000		9,395
Capital One Financial Corp.
3.27%	03/01/303		10,000		8,630

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
Citigroup, Inc.
2.57%	06/03/313	$	100,000	$	84,429
2.98%	11/05/303		5,000		4,385
3.06%	01/25/333		50,000		42,538
3.52%	10/27/283		30,000		28,066
Discover Financial Services
6.70%	11/29/32		25,000		25,864
Goldman Sachs Group, Inc. (The)
1.54%	09/10/273		10,000		8,807
1.95%	10/21/273		20,000		17,870
1.99%	01/27/323		40,000		31,942
2.38%	07/21/323		10,000		8,155
2.60%	02/07/30		80,000		68,830
2.65%	10/21/323		25,000		20,673
3.81%	04/23/293		15,000		14,132
Intercontinental Exchange, Inc.
1.85%	09/15/32		10,000		7,911
JPMorgan Chase & Co.
2.55%	11/08/323		55,000		45,711
2.95%	02/24/283		20,000		18,586
3.90%	01/23/493		65,000		53,469
LSEGA Financing PLC
(United Kingdom)
2.00%	04/06/284,5		30,000		25,774
Morgan Stanley
2.48%	09/16/363		40,000		30,261
Morgan Stanley
(GMTN)
1.51%	07/20/273		85,000		75,492
3.77%	01/24/293		25,000		23,647
Morgan Stanley
(MTN)
1.93%	04/28/323		50,000		39,621
Nationwide Building Society
(United Kingdom)
4.36%	08/01/243,4,5		15,000		14,877
ORIX Corp.
(Japan)
4.00%	04/13/324		30,000		27,640
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%	02/15/244,5		2,000		1,982
Pipeline Funding Co. LLC
7.50%	01/15/305		25,608		26,171
Raymond James Financial, Inc.
3.75%	04/01/51		20,000		14,925
					871,922
Food — 1.47%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.75%	04/01/334,5		10,000		9,617
6.50%	12/01/524,5		25,000		23,995
Kraft Heinz Foods Co.
4.63%	10/01/39		10,000		9,180

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 40

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Food (continued)
Pilgrim’s Pride Corp.
3.50%	03/01/32	$	45,000	$	36,344
Smithfield Foods, Inc.
2.63%	09/13/315		35,000		26,464
					105,600
Health Care — 11.23%
AbbVie, Inc.
4.40%	11/06/42		25,000		22,846
Alcon Finance Corp.
2.60%	05/27/305		30,000		25,903
Amgen, Inc.
4.40%	05/01/45		15,000		13,248
4.88%	03/01/53		10,000		9,387
5.65%	03/02/53		40,000		41,661
Barnabas Health, Inc.,
Series 2012
4.00%	07/01/28		5,000		4,823
Baxter International, Inc.
3.95%	04/01/30		10,000		9,330
Bayer U.S. Finance II LLC
4.38%	12/15/285		25,000		24,183
4.88%	06/25/485		30,000		26,937
Becton Dickinson & Co.
3.79%	05/20/50		25,000		20,314
4.67%	06/06/47		5,000		4,688
Centene Corp.
3.00%	10/15/30		21,000		17,703
Children’s Hospital Medical Center
2.82%	11/15/50		20,000		13,379
Cigna Group (The)
5.40%	03/15/33		20,000		20,779
CommonSpirit Health
2.78%	10/01/30		35,000		29,900
3.91%	10/01/50		10,000		7,769
CVS Health Corp.
5.05%	03/25/48		28,000		26,230
5.25%	02/21/33		28,000		28,543
DENTSPLY SIRONA, Inc.
3.25%	06/01/30		45,000		39,803
Elanco Animal Health, Inc.
6.65%	08/28/28		5,000		4,735
Elevance Health, Inc.
3.70%	09/15/49		10,000		7,968
Hackensack Meridian Health, Inc.,
Series 2020
2.88%	09/01/50		30,000		20,503
HCA, Inc.
3.63%	03/15/325		10,000		8,803
5.25%	06/15/49		50,000		45,166
Illumina, Inc.
2.55%	03/23/31		35,000		28,955
Mass General Brigham, Inc.,
Series 2020
3.34%	07/01/60		10,000		7,287

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
NYU Langone Hospitals,
Series 2020
3.38%	07/01/55	$	15,000	$	10,991
OhioHealth Corp.,
Series 2020
3.04%	11/15/50		15,000		10,970
PerkinElmer, Inc.
2.25%	09/15/31		20,000		16,075
2.55%	03/15/31		25,000		20,658
Regeneron Pharmaceuticals, Inc.
1.75%	09/15/30		20,000		16,172
Royalty Pharma PLC
(United Kingdom)
1.75%	09/02/274		45,000		39,419
Sharp HealthCare,
Series 20B
2.68%	08/01/50		50,000		33,557
Smith & Nephew PLC
(United Kingdom)
2.03%	10/14/304		30,000		24,346
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%	03/15/314		30,000		25,179
UnitedHealth Group, Inc.
3.70%	08/15/49		10,000		8,204
4.25%	04/15/47		15,000		13,441
Universal Health Services, Inc.
1.65%	09/01/26		40,000		35,120
West Virginia United Health System Obligated Group,
Series 2020
3.13%	06/01/50		35,000		23,791
Zoetis, Inc.
5.60%	11/16/32		15,000		16,013
					804,779
Health Care REITs — 0.65%
Healthcare Reality Holdings LP
2.00%	03/15/31		20,000		15,630
Healthcare Realty Holdings LP
3.63%	01/15/28		30,000		27,294
Physicians Realty LP
2.63%	11/01/31		5,000		3,944
					46,868
Hotel & Resort REITs — 0.24%
Host Hotels & Resorts LP,
Series I
3.50%	09/15/30		20,000		16,949
Industrials — 2.17%
Amcor Flexibles North America, Inc.
2.63%	06/19/30		5,000		4,200
BAE Systems Holdings, Inc.
3.85%	12/15/255		20,000		19,409
BAE Systems PLC
(United Kingdom)
3.40%	04/15/304,5		30,000		27,559

See accompanying Notes to Financial Statements.

41 / Annual Report March 2023

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Industrials (continued)
Berry Global, Inc.
1.57%	01/15/26	$	28,000	$	25,455
Boeing Co. (The)
5.93%	05/01/60		12,000		12,019
CCL Industries, Inc.
(Canada)
3.05%	06/01/304,5		25,000		21,270
Northrop Grumman Corp.
5.15%	05/01/40		10,000		10,131
Sealed Air Corp.
1.57%	10/15/265		20,000		17,524
Sonoco Products Co.
3.13%	05/01/30		10,000		8,841
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%	04/28/264,5		5,000		4,805
WRKCo, Inc.
3.00%	06/15/33		5,000		4,104
					155,317
Information Technology — 4.05%
Amazon.com, Inc.
2.50%	06/03/50		17,000		11,545
Broadcom, Inc.
2.60%	02/15/335		30,000		23,551
3.14%	11/15/355		25,000		19,313
3.42%	04/15/335		23,000		19,263
CDW LLC/CDW Finance Corp.
3.28%	12/01/28		25,000		22,149
Fiserv, Inc.
2.65%	06/01/30		15,000		12,958
Intel Corp.
3.25%	11/15/49		5,000		3,563
5.70%	02/10/53		25,000		25,523
Micron Technology, Inc.
2.70%	04/15/32		25,000		20,022
Open Text Corp.
(Canada)
6.90%	12/01/274,5		17,000		17,531
Oracle Corp.
3.60%	04/01/50		80,000		56,825
3.95%	03/25/51		27,000		20,317
Skyworks Solutions, Inc.
0.90%	06/01/23		10,000		9,931
Take-Two Interactive Software, Inc.
4.00%	04/14/32		30,000		27,648
					290,139
Insurance — 6.37%
Allstate Corp. (The)
3.85%	08/10/49		20,000		16,058
Aon Corp.
2.80%	05/15/30		15,000		13,267
Aon Corp./Aon Global Holdings PLC
3.90%	02/28/52		25,000		20,234

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Insurance (continued)
Arthur J Gallagher & Co.
3.05%	03/09/52	$	20,000	$	13,187
Athene Global Funding
1.61%	06/29/265		15,000		13,046
1.99%	08/19/285		10,000		8,119
(SOFR Index plus 0.70%)
5.46%	05/24/245,6		30,000		29,729
Brown & Brown, Inc.
2.38%	03/15/31		45,000		36,163
Farmers Insurance Exchange
4.75%	11/01/573,5		55,000		43,154
Guardian Life Insurance Co. of America (The)
3.70%	01/22/705		45,000		31,622
Massachusetts Mutual Life Insurance Co.
3.38%	04/15/505		17,000		12,486
MMI Capital Trust I,
Series B
7.63%	12/15/27		25,000		26,645
Nationwide Mutual Insurance Co.
7.16%	12/15/243,5		45,000		44,827
New York Life Insurance Co.
3.75%	05/15/505		15,000		12,141
Principal Life Global Funding II
0.75%	04/12/245		25,000		23,906
Teachers Insurance & Annuity Association of America
3.30%	05/15/505		24,000		17,353
4.38%	09/15/543,5		65,000		63,357
Willis North America, Inc.
2.95%	09/15/29		35,000		30,875
					456,169
Materials — 0.67%
International Flavors & Fragrances, Inc.
1.23%	10/01/255		5,000		4,478
2.30%	11/01/305		15,000		12,049
5.00%	09/26/48		25,000		21,369
Nutrien Ltd.
(Canada)
5.80%	03/27/534		10,000		10,320
					48,216
Office REITs — 1.33%
Boston Properties LP
2.55%	04/01/32		10,000		7,124
3.40%	06/21/29		5,000		4,101
Hudson Pacific Properties LP
3.95%	11/01/27		50,000		34,363
Kilroy Realty LP
2.50%	11/15/32		15,000		9,531
2.65%	11/15/33		15,000		9,333
Piedmont Operating Partnership LP
2.75%	04/01/32		45,000		31,193
					95,645
Residential REITs — 0.58%
American Homes 4 Rent LP
2.38%	07/15/31		15,000		11,972

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 42

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Residential REITs (continued)
Essex Portfolio LP
2.65%	03/15/32	$	5,000	$	4,091
Invitation Homes Operating Partnership LP
2.30%	11/15/28		30,000		25,197
					41,260
Retail — 0.74%
Alimentation Couche-Tard, Inc.
(Canada)
3.80%	01/25/504,5		45,000		33,589
Lowe’s Cos., Inc.
5.63%	04/15/53		10,000		10,064
5.75%	07/01/53		5,000		5,100
McDonald’s Corp.
(MTN)
4.20%	04/01/50		5,000		4,414
					53,167
Services — 0.92%
Global Payments, Inc.
4.45%	06/01/28		30,000		28,482
RELX Capital, Inc.
4.00%	03/18/29		35,000		33,769
William Marsh Rice University
2.60%	05/15/50		5,000		3,531
					65,782
Specialized REITs — 1.09%
CubeSmart LP
2.25%	12/15/28		20,000		17,321
4.38%	02/15/29		5,000		4,778
Extra Space Storage LP
3.90%	04/01/29		25,000		23,077
Life Storage LP
2.20%	10/15/30		40,000		32,907
					78,083
Transportation — 1.48%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		21,263		18,741
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%	05/15/32		12,988		10,922
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%	11/15/32		26,074		24,022
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23		17,633		17,907
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		11,878		11,795
Union Pacific Corp.
3.84%	03/20/60		20,000		16,279

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Transportation (continued)
United Airlines Pass-Through Trust,
Series 2016-2, Class AA
2.88%	10/07/28	$	7,357	$	6,516
					106,182
Water — 0.40%
American Water Capital Corp.
3.45%	05/01/50		6,000		4,581
Essential Utilities, Inc.
5.30%	05/01/52		25,000		24,251
					28,832
Total Corporates (Cost $7,255,843)					6,195,523
MORTGAGE-BACKED — 0.54%**
Non-Agency Commercial Mortgage-Backed — 0.14%
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.83%	09/10/471,2,3		575,627		5,094
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
0.83%	12/10/473		403,325		4,100
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.46%	08/10/433,5		1,256,715		1,058
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.00%	03/10/443,5		81,388		1
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.17%	08/10/491,2,3,5		181,328		74
					10,327
U.S. Agency Commercial Mortgage-Backed — 0.28%
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.19%	09/16/513		507,199		18,827
Ginnie Mae,
Series 2012-144, Class IO (IO)
0.32%	01/16/533		149,517		1,296
					20,123
U.S. Agency Mortgage-Backed — 0.12%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
1.15%	11/25/416		25,547		2,071
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%	06/25/42		6,926		6,283
					8,354
Total Mortgage-Backed
(Cost $162,730)					38,804

See accompanying Notes to Financial Statements.

43 / Annual Report March 2023

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MUNICIPAL BONDS — 3.42%*
California — 1.18%
California State University Revenue Bonds, University & College Improvements, Series B
2.37%	11/01/35	$	35,000	$	27,085
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
3.89%	05/15/38		15,000		13,316
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		3,465
San Francisco City & County Airport Commercial-San Francisco International Airport Revenue Bonds, Series C
3.05%	05/01/34		35,000		30,283
Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements
5.88%	04/01/32		10,000		10,495
					84,644
Florida — 0.20%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%	10/01/31		15,000		13,843
Massachusetts — 0.23%
Massachusetts School Building Authority Revenue Bonds, Series A
2.50%	02/15/37		10,000		7,679
Massachusetts School Building Authority Revenue Bonds, Series B
2.97%	10/15/32		10,000		8,740
					16,419
Michigan — 0.45%
University of Michigan Revenue Bonds, Series C
3.50%	04/01/34		35,000		32,063
New York — 1.36%
City of New York General Obligation Bonds, Series D
1.92%	08/01/31		25,000		20,485
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%	11/15/49		5,000		4,496
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.73%	08/01/29		5,000		4,767
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%	02/01/33		20,000		15,527
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements
3.96%	08/01/32		30,000		28,064
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.54%	03/15/34		10,000		8,161

Issues	Maturity     Date		Principal     Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
2.59%		03/15/35	$	20,000	$	16,141
						97,641
Total Municipal Bonds
(Cost $288,975)						244,610
U.S. TREASURY SECURITIES — 6.95%
U.S. Treasury Bonds — 1.50%
U.S. Treasury Bonds
3.63%		02/15/53		33,000		32,763
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%		10/15/277		53,526		54,591
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds (WI)
1.13%		01/15/337		20,087		20,053
						107,407
U.S. Treasury Notes — 5.45%
U.S. Treasury Notes
3.50%		02/15/33		134,000		134,220
3.63%		03/31/28		160,000		160,294
3.88%		03/31/25		22,000		21,935
4.00%		02/29/28		59,000		60,078
4.63%		02/28/25		14,000		14,137
						390,664
Total U.S. Treasury Securities
(Cost $495,865)						498,071
Total Bonds — 97.87%
(Cost $8,243,168)						7,012,894
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 2.89%
Money Market Funds — 2.89%
Fidelity Investments Money Market Funds - Government Portfolio
4.72%8				20,347		20,347
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%8				187,000		187,000
Total Short-Term Investments
(Cost $207,347)						207,347
Total Investments - 100.76%
(Cost $8,450,515)						7,220,241
Liabilities in Excess of Other Assets - (0.76)%						(54,380	)
Net Assets - 100.00%					$	7,165,861

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 $41,054, which is 0.57% of total net assets.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 44

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

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  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  Floating rate security. The rate disclosed was in effect at March 31, 2023.

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

⁸  Represents the current yield as of March 31, 2023.

* 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

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

(WI): When Issued

Description	Number ofContracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		16		06/30/23	$	3,303,250	$	20,593	$	20,593
U.S. Treasury Ultra Bond		1		06/21/23		141,125		5,904		5,904
						3,444,375		26,497		26,497
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		6		06/21/23		(726,844)		(19,211)		(19,211)
U.S. Treasury Five-Year Note		3		06/30/23		(328,523)		(4,004)		(4,004)
						(1,055,367)		(23,215)		(23,215)
TOTAL FUTURES CONTRACTS					$	2,389,008	$	3,282	$	3,282

		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
Interest Rate Swap1	09/20/53	USD-SOFR-     COMPOUND	Annual	3.00%	Annual	$	76	$	(1,714)	$	—	$	(1,714)
TOTAL SWAPS CONTRACTS						$	76	$	(1,714)	$	—	$	(1,714)

¹  Centrally cleared.

See accompanying Notes to Financial Statements.

45 / Annual Report March 2023

ESG Securitized Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 113.77%
ASSET-BACKED SECURITIES — 7.85%**
Aligned Data Centers Issuer LLC,
Series 2021-1A, Class A2
1.94%	08/15/461	$	150,000	$	132,145
Flexential Issuer,
Series 2021-1A, Class A2
3.25%	11/27/511		150,000		133,515
GoodLeap Sustainable Home Solutions Trust,
Series 2022-1GS, Class A
2.70%	01/20/491		93,729		77,099
GoodLeap Sustainable Home Solutions Trust,
Series 2023-1GS, Class A
5.52%	02/22/551		44,447		43,456
Loanpal Solar Loan Ltd.,
Series 2021-1GS, Class A
2.29%	01/20/481		161,525		121,964
Sunnova Helios VII Issuer LLC,
Series 2021-C, Class A
2.03%	10/20/481		180,176		152,581
Total Asset-Backed Securities
(Cost $767,703)					660,760
MORTGAGE-BACKED — 104.42%**
Non-Agency Commercial Mortgage-Backed — 30.30%
1211 Avenue of the Americas Trust,
Series 2015-1211, Class A1A1
3.90%	08/10/351		150,000		140,677
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/391		125,000		109,675
CAMB Commercial Mortgage Trust,
Series 2021-CX2, Class B
2.77%	11/10/461,2		150,000		114,722
Commercial Mortgage Trust,
Series 2019-521F, Class A
(LIBOR USD 1-Month plus 0.90%)
5.58%	06/15/341,3		150,000		144,088
Commercial Mortgage Trust,
Series 2022-HC, Class A
2.82%	01/10/391		150,000		131,624
DBUBS Mortgage Trust,
Series 2017-BRBK, Class F
3.53%	10/10/341,2		150,000		127,970
DOLP Trust,
Series 2021-NYC, Class A
2.96%	05/10/411		150,000		119,935
DROP Mortgage Trust,
Series 2021-FILE, Class A
(LIBOR USD 1-Month plus 1.15%)
5.83%	10/15/431,3		150,000		138,655
Frost CMBS DAC,
Series 2021-1A, Class GBB
(Ireland)
(SONIA plus 1.65%)
5.74%	11/20/331,3,4		249,390		277,162

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Grace Trust,
Series 2020-GRCE, Class B
2.60%	12/10/401	$	150,000	$	113,676
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/391		150,000		129,371
KREST Commercial Mortgage Securities Trust,
Series 2021-CHIP, Class C
2.93%	11/05/441,2		125,000		84,858
KREST Commercial Mortgage Securities Trust,
Series 2021-CHIP, Class F
2.93%	11/05/441,2		200,000		106,733
MFT Mortgage Trust,
Series 2020-B6, Class B
3.28%	08/10/401,2		150,000		98,361
Morgan Stanley Capital I Trust,
Series 2020-CNP, Class A
2.43%	04/05/421,2		150,000		119,046
Natixis Commercial Mortgage Securities Trust,
Series 2019-10K, Class A
3.62%	05/15/391		150,000		130,130
One New York Plaza Trust,
Series 2020-1NYP, Class AJ
(LIBOR USD 1-Month plus 1.25%)
5.93%	01/15/361,3		150,000		141,177
SFO Commercial Mortgage Trust,
Series 2021-555, Class C
(LIBOR USD 1-Month plus 1.80%)
6.48%	05/15/381,3		130,000		108,574
Shops at Crystals Trust,
Series 2016-CSTL, Class A
3.13%	07/05/361		150,000		132,503
SLG Office Trust,
Series 2021-OVA, Class A
2.59%	07/15/411		100,000		79,766
					2,548,703
Non-Agency Mortgage-Backed — 1.03%
Cascade MH Asset Trust,
Series 2022-MH1, Class A (STEP-reset date 05/25/23)
4.25%	08/25/541		97,045		86,382
U.S. Agency Commercial Mortgage-Backed — 1.33%
Freddie Mac Multifamily ML Certificates,
Series 2021-ML12, Class XUS (IO)
1.22%	07/25/411		1,087,204		111,656
U.S. Agency Mortgage-Backed — 71.76%
Fannie Mae Pool AL9266
3.00%	10/01/46		128,609		117,961
Fannie Mae Pool BO2256
3.00%	10/01/49		302,456		274,952
Fannie Mae Pool BQ1226
2.00%	09/01/50		134,236		111,469
Fannie Mae Pool BV9977
3.50%	06/01/52		96,770		90,044

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 46

ESG Securitized Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool BW0000
4.00%	07/01/52	$	97,100	$	92,958
Fannie Mae Pool CA5496
3.00%	04/01/50		381,105		347,282
Fannie Mae Pool CB2074
2.50%	11/01/51		161,826		139,959
Fannie Mae Pool CB4211
4.50%	07/01/52		121,746		119,345
Fannie Mae Pool FM2870
3.00%	03/01/50		234,453		213,426
Fannie Mae Pool FM3687
2.50%	06/01/50		342,738		299,625
Fannie Mae Pool FM5254
2.00%	12/01/50		160,750		133,493
Fannie Mae Pool FM6400
2.00%	03/01/51		107,408		89,203
Fannie Mae Pool FS1334
2.00%	11/01/51		163,381		135,423
Fannie Mae Pool FS1598
2.00%	04/01/52		119,482		98,743
Fannie Mae Pool MA4398
2.00%	08/01/51		169,151		140,361
Fannie Mae Pool MA4414
2.50%	09/01/51		195,107		168,545
Fannie Mae REMICS,
Series 2019-25, Class PA
3.00%	05/25/48		218,640		203,457
Freddie Mac Gold Pool G67707
3.50%	01/01/48		203,134		192,791
Freddie Mac Gold Pool G67708
3.50%	03/01/48		40,143		37,971
Freddie Mac Pool QA7550
3.00%	03/01/50		67,861		61,647
Freddie Mac Pool QA8518
3.00%	04/01/50		81,593		74,122
Freddie Mac Pool QC8921
2.50%	10/01/51		152,428		131,685
Freddie Mac Pool QD1841
2.00%	11/01/51		137,272		113,669
Freddie Mac Pool RA3282
3.00%	08/01/50		369,419		335,595
Freddie Mac Pool RA4201
2.00%	12/01/50		97,367		80,857
Freddie Mac Pool RA5552
3.00%	07/01/51		236,596		213,066
Freddie Mac Pool RA5855
2.50%	09/01/51		203,246		175,577
Freddie Mac Pool RA6071
2.00%	10/01/51		142,187		117,678
Freddie Mac Pool RA6528
2.50%	02/01/52		22,938		19,773
Freddie Mac Pool RA7091
2.50%	03/01/52		143,438		123,803
Freddie Mac Pool RA7543
4.00%	06/01/52		118,831		113,671

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool SD7511
3.50%	01/01/50	$	35,959	$	33,966
Freddie Mac Pool SD7549
2.00%	01/01/52		144,669		120,817
Freddie Mac Pool SD8222
4.00%	06/01/52		95,403		91,219
Freddie Mac REMICS,
Series 3067, Class FA
(LIBOR USD 1-Month plus 0.35%)
5.03%	11/15/353		61,422		60,855
Freddie Mac REMICS,
Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
4.98%	04/15/353		14,185		14,140
Freddie Mac REMICS,
Series 3210, Class F
(LIBOR USD 1-Month plus 0.40%)
5.08%	05/15/363		3,836		3,834
Freddie Mac REMICS,
Series 4139, Class DA
1.25%	12/15/27		24,095		22,658
Ginnie Mae (TBA)
2.50%	05/20/53		150,000		132,209
4.50%	04/20/53		200,000		197,072
5.00%	04/20/53		25,000		25,033
UMBS (TBA)
4.00%	05/01/53		175,000		167,480
4.50%	04/01/53		100,000		97,978
4.50%	05/01/53		75,000		73,508
5.00%	05/01/53		200,000		199,445
5.50%	04/01/53		225,000		227,290
					6,035,655
Total Mortgage-Backed
(Cost $9,810,786)					8,782,396
U.S. TREASURY SECURITIES — 1.50%
U.S. Treasury Bonds — 1.13%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%	10/15/275		78,775		80,342
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds (WI)
1.13%	01/15/335		15,065		15,040
					95,382
U.S. Treasury Notes — 0.37%
U.S. Treasury Notes
3.63%	03/31/28		26,000		26,048
3.88%	03/31/25		5,000		4,985
					31,033
Total U.S. Treasury Securities
(Cost $125,796)					126,415
Total Bonds — 113.77%
(Cost $10,704,285)					9,569,571

See accompanying Notes to Financial Statements.

47 / Annual Report March 2023

ESG Securitized Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount/Shares		Value
SHORT-TERM INVESTMENTS — 2.07%
Money Market Funds — 2.07%
Fidelity Investments Money Market Funds - Government Portfolio
4.72%6			20,688	$	20,688
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%6			153,000		153,000
Total Short-Term Investments
(Cost $173,688)					173,688
Total Investments - 115.84%
(Cost $10,877,973)					9,743,259
Liabilities in Excess of Other Assets - (15.84)%					(1,332,411	)
Net Assets - 100.00%				$	8,410,848

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  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.

³  Floating rate security. The rate disclosed was in effect at March 31, 2023.

⁴  Foreign denominated security issued by foreign domiciled entity.

⁵  Inflation protected security. Principal amount reflects original security face amount.

⁶  Represents the current yield as of March 31, 2023.

^**  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.

(GBP): British Pound

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

(WI): When Issued

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date		Unrealized (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 285,683	GBP 234,000	Citibank N.A.		04/13/23	$	(3,724)

Description	Number of Contracts	Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note	9	06/30/23	$	1,858,078	$	19,741	$	19,741
U.S. Treasury Ten-Year Ultra Bond	2	06/21/23		242,281		7,679		7,679
U.S. Treasury Ultra Bond	1	06/21/23		141,125		560		560
				2,241,484		27,980		27,980
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five-Year Note	7	06/30/23		(766,555)		(5,598)		(5,598)
TOTAL FUTURES CONTRACTS			$	1,474,929	$	22,382	$	22,382

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 48

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 97.31%
ASSET-BACKED SECURITIES — 9.05%**
AGL CLO 13 Ltd.,
Series 2021-13A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.46%	10/20/341,2,3	$	600,000	$	578,580
Aimco CLO 11 Ltd.,
Series 2020-11A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.92%	10/17/341,2,3		185,000		180,510
Aimco CLO 14 Ltd.,
Series 2021-14A, Class SUB
(Cayman Islands)
0.00%	04/20/341,3,4		700,000		491,680
AMSR Trust,
Series 2020-SFR1, Class I
8.19%	04/17/371		605,000		580,872
AMSR Trust,
Series 2020-SFR3, Class H
6.50%	09/17/371		635,000		609,697
AMSR Trust,
Series 2021-SFR3, Class G
3.80%	10/17/381		600,000		521,418
BlueMountain CLO Ltd.,
Series 2018-3A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.77%)
6.59%	10/25/301,2,3		250,000		243,100
BMO SBA COOF Trust,
Series 2019-1, Class A (IO)
1.76%	10/25/451,4		2,953,005		104,126
Carvana Auto Receivables Trust,
Series 2020-P1, Class R
0.00%	09/08/271		1,300		174,922
Carvana Auto Receivables Trust,
Series 2021-N3, Class R
0.00%	06/12/281		1,500		351,814
Carvana Auto Receivables Trust,
Series 2022-P2, Class R
1.00%	05/10/291		3,050		609,742
Carvana Auto Receivables Trust,
Series 2023-P1, Class R
0.00%	03/11/301		1,600		331,043
CIFC Funding Ltd.,
Series 2017-4A, Class A2R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
6.37%	10/24/301,2,3		575,000		561,472
CIFC Funding Ltd.,
Series 2018-1A, Class SUB
(Cayman Islands)
0.00%	04/18/311,3,4		575,000		275,588
CIFC Funding Ltd.,
Series 2022-2A, Class INCB
(Cayman Islands)
0.00%	04/19/351,3,4		475,000		391,220

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.04%	10/15/521,4	$	548,117	$	22,589
CoreVest American Finance Trust,
Series 2021-1, Class XB (IO)
1.55%	04/15/531,4		4,459,000		300,424
Dryden 72 CLO Ltd.,
Series 2019-72A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.51%	05/15/321,2,3		925,000		894,383
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
5.69%	04/15/291,2,3		56,035		55,405
Dryden XXVIII Senior Loan Fund,
Series 2013-28A, Class A1LR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
6.06%	08/15/301,2,3		9,648		9,548
Elmwood CLO VI Ltd.,
Series 2020-3A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.46%	10/20/341,2,3		440,000		424,213
FirstKey Homes Trust,
Series 2020-SFR1, Class F2
4.28%	08/17/371		1,288,000		1,196,879
FirstKey Homes Trust,
Series 2021-SFR3, Class E1
2.99%	12/17/381		944,000		827,566
Flatiron CLO 21 Ltd.,
Series 2021-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
5.91%	07/19/341,2,3		1,290,360		1,260,140
FRTKL,
Series 2021-SFR1, Class F
3.17%	09/17/381		1,000,000		844,487
Gilbert Park CLO Ltd.,
Series 2017-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
5.98%	10/15/301,2,3		335,000		331,516
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
5.96%	10/20/341,2,3		250,000		244,135
Greenwood Park CLO Ltd.,
Series 2018-1A, Class SUB
(Cayman Islands)
0.00%	04/15/311,3,4		675,000		251,755
HOA Funding, LLC,
Series 2021-1A, Class A2
4.72%	08/20/511		876,650		729,143

See accompanying Notes to Financial Statements.

49 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Invesco CLO Ltd.,
Series 2021-1A, Class SUB
(Cayman Islands)
0.00%	04/15/341,3,4	$	650,000	$	448,500
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/731		40,130		37,370
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/731		39,386		35,227
JPMorgan Chase Bank Auto Credit Linked Notes,
Series 2021-1, Class R
28.35%	09/25/281		517,721		545,171
Madison Park Funding XLVIII Ltd.,
Series 2021-48A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
5.95%	04/19/331,2,3		1,000,000		990,677
Navient Student Loan Trust,
Series 2018-4A, Class B
(LIBOR USD 1-Month plus 1.30%)
6.15%	06/27/671,2		850,000		773,660
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
5.75%	06/25/541,2		630,000		607,021
Neuberger Berman CLO XVI-S Ltd.,
Series 2017-16SA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
5.83%	04/15/341,2,3		1,200,000		1,170,782
Neuberger Berman Loan Advisers CLO 40 Ltd.,
Series 2021-40A, Class SUB
(Cayman Islands)
0.00%	04/16/331,3,4		275,000		173,704
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
6.07%	11/20/301,2,3		325,000		321,766
Octagon Investment Partners 44 Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.49%	10/15/341,2,3		700,000		674,127
Palmer Square CLO Ltd.,
Series 2014-1A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.92%	01/17/311,2,3		550,000		545,067
Palmer Square CLO Ltd.,
Series 2021-1A, Class SUB
(Cayman Islands)
0.00%	04/20/341,3,4		625,000		388,125

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
PHEAA Student Loan Trust,
Series 2014-3A, Class A
(LIBOR USD 1-Month plus 0.59%)
5.44%	08/25/401,2	$	26,459	$	25,599
Progress Residential Trust,
Series 2021-SFR2, Class H
5.00%	04/19/381		819,000		715,567
Progress Residential Trust,
Series 2021-SFR8, Class G
4.01%	10/17/381		838,000		689,809
Progress Residential Trust,
Series 2021-SFR9, Class E1
2.81%	11/17/401		1,531,000		1,233,803
Progress Residential,
Series 2021-SFR1, Class H
5.00%	04/17/381		1,050,000		911,431
Progress Residential,
Series 2021-SFR3, Class G
4.25%	05/17/261		1,211,000		1,072,256
Regata XII Funding Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.39%	10/15/321,2,3		750,000		726,975
Rockford Tower CLO Ltd.,
Series 2017-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
5.81%	10/15/291,2,3		51,884		51,408
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
6.00%	10/20/301,2,3		810,000		802,425
Santander Consumer Auto Receivables Trust,
Series 2021-CA, Class R
0.00%	06/15/281		5,150		607,147
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5,6		485,888		438,609
SLM Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.50%)
5.32%	07/25/392		154,688		144,535
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
6.52%	07/25/232		70,807		70,473
SLM Student Loan Trust,
Series 2008-7, Class A4
(LIBOR USD 3-Month plus 0.90%)
5.72%	07/25/232		13,323		12,966
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/26/832		10,000		9,286

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 50

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Stratus CLO Ltd.,
Series 2021-3A, Class SUB
(Cayman Islands)
0.00%	12/29/291,3,4	$	975,000	$	703,817
Textainer Marine Containers VII Ltd.,
Series 2021-1A, Class B
(Bermuda)
2.52%	02/20/461,3		639,427		539,820
Tricon American Homes Trust,
Series 2017-SFR2, Class E
4.22%	01/17/361		800,000		784,949
Voya CLO Ltd.,
Series 2018-4A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.44%	01/15/321,2,3		250,000		241,581
Total Asset-Backed Securities (Cost $32,373,417)					29,891,620
BANK LOANS — 3.37%*
Communications — 0.09%
CenturyLink, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.36%)
7.17%	03/15/272		5,219		3,467
CSC Holdings LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
7.18%	04/15/272		48,867		43,323
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.62%	05/01/282		122,500		116,681
Virgin Media Bristol LLC,
Term Loan Y, 1st Lien
(SOFR plus 3.35%)
8.11%	03/31/312		150,000		148,360
					311,831
Consumer Discretionary — 0.21%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.38%)
8.11%	12/23/272		147,000		136,556
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.09%	01/24/292,3		248,125		219,901
Term Loan, 2nd Lien
(SOFR plus 6.00%)
11.00%	01/24/302		120,000		92,000
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.91%	10/01/262		245,000		243,029
					691,486

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Electric — 0.26%
Astoria Energy LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.14%	12/10/272	$	263,347	$	261,833
Calpine Corp.,
Term Loan B9, 1st Lien
(LIBOR plus 2.00%)
6.85%	04/05/262		244,289		243,161
Endure Digital, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.22%	02/10/282		393,000		368,437
					873,431
Entertainment — 0.15%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.50%)
9.50%	02/28/252		122,619		19,351
Crown Finance U.S., Inc.,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(SOFR plus 10.10%)
14.66% - 14.80%	09/07/232,3		459,325		466,581
					485,932
Finance — 0.08%
DCG Acquisition Corp.,
Term Loan, 1st Lien
(SOFR plus 4.60%)
9.41%	09/30/262		268,818		261,426
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.46%	04/09/272		10,839		10,522
					271,948
Gaming — 0.01%
Golden Nugget, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.81%	01/26/292		10,840		10,698
Scientific Games International, Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.10%)
7.96%	04/13/292,3		10,868		10,802
					21,500
Health Care — 0.65%
Avantor Funding, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
6.98%	11/08/272		30,064		30,080
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
6.51%	01/15/252		275,000		275,459

See accompanying Notes to Financial Statements.

51 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
Buckeye Partners LP,
Term Loan B1, 1st Lien
(LIBOR plus 2.25%)
7.09%	11/01/262	$	244,375	$	244,104
Certara Holdco, Inc.,
Term Loan B, 1st Lien (France)
(LIBOR plus 3.50%)
8.34%	08/15/262,3		270,188		267,823
Curia Global, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
8.53%	08/28/262		392,450		336,405
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.10%)
6.86%	12/30/262		268,766		267,422
Horizon Therapeutics USA, Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
6.56%	03/15/282		269,500		269,310
Pathway Vet Alliance LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%	03/31/272		97,504		85,885
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%	02/01/282		389,257		385,203
					2,161,691
Health Care REITs — 0.07%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.70%	07/17/282		265,153		226,421
Industrials — 0.38%
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.94%	10/16/282		199,525		167,269
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
6.51%	07/01/262		352,247		351,477
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
9.84%	08/02/272		302,750		292,051
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(LIBOR plus 4.25%)
9.41%	04/15/282		167,025		153,777
Proampac PG Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
7.96% - 8.65%	11/03/252		196,015		192,193

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Industrials (continued)
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
9.16%	08/12/242	$	98,930	$	85,680
					1,242,447
Information Technology — 0.86%
AppLovin Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.16%	08/15/252		268,686		268,434
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.25%	02/15/292,3,7		884,800		830,606
Central Parent, Inc.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.25%)
9.14% - 9.18%	07/06/292,3		10,923		10,906
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
9.09%	12/16/252		73,500		70,267
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.66%	08/14/252		268,686		231,526
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.86%	10/01/272		244,987		234,575
Nouryon USA LLC,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
9.75%	10/01/252		307,060		305,277
Precision Medicine Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
8.16%	11/18/272		391,678		378,459
Prime Security Services Borrower LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
7.52%	09/23/262		15,145		15,118
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	04/24/282		270,875		263,381
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.99%	03/03/282		269,500		227,342
					2,835,891

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 52

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Insurance — 0.07%
Acrisure LLC,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
8.24%	02/15/272	$	246,819	$	239,517
Materials — 0.14%
Mativ Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.62%	04/20/282		270,188		261,575
Polar U.S. Borrower LLC,
Term Loan, 1st Lien
(SOFR plus 4.75%)
9.02%	10/15/252		254,500		213,007
					474,582
Office REITs — 0.07%
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.12%	02/17/282		233,082		231,334
Retail — 0.19%
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
6.99%	02/19/282		171,064		169,294
U.S. Anesthesia Partners, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
8.91%	10/02/282		467,875		452,012
					621,306
Services — 0.06%
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%	12/15/282		10,841		10,686
Trans Union LLC,
Term Loan B6, 1st Lien (Luxembourg)
(LIBOR plus 2.25%)
6.99%	12/01/282,3		176,632		175,602
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	11/02/272		10,839		10,036
					196,324
Transportation — 0.08%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
12.09%	09/01/272		275,000		257,011
Total Bank Loans
(Cost $11,553,493)					11,142,652

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES — 31.13%*
Banking — 5.01%
ABN AMRO Bank NV
(Netherlands)
2.47%	12/13/291,3,4	$	270,000	$	227,756
Bank of America Corp.
2.30%	07/21/324		640,000		516,099
3.42%	12/20/284		685,000		637,358
Bank of America Corp.
(MTN)
1.92%	10/24/314		385,000		307,889
2.55%	02/04/284		125,000		113,948
3.19%	07/23/304		275,000		244,549
Bank of America Corp.,
Series N
1.66%	03/11/274		500,000		451,116
Bank of America Corp.,
Series RR
4.38%4,8			100,000		85,386
Comerica, Inc.
5.63%4,8			15,000		12,612
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		600,000		510,000
3.09%	05/14/321,3,4		1,190,000		957,713
4.19%	04/01/311,3,4		2,335,000		2,078,851
6.37%	07/15/261,3,4		130,000		126,783
6.54%	08/12/331,3,4		230,000		235,750
Credit Suisse Group AG
(EMTN)
(Switzerland)
0.63%	01/18/333		410,000		291,498
Discover Bank
2.45%	09/12/24		230,000		218,058
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,4		220,000		205,469
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		510,000		450,024
1.65%	04/18/263,4		130,000		118,817
2.01%	09/22/283,4		350,000		301,210
2.36%	08/18/313,4		255,000		205,902
2.80%	05/24/323,4		500,000		409,188
4.76%	06/09/283,4		255,000		247,051
6.33%	03/09/443,4		455,000		481,375
JPMorgan Chase & Co.
0.97%	06/23/254		280,000		265,289
1.58%	04/22/274		700,000		629,180
2.58%	04/22/324		550,000		463,597
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,4		205,000		182,065
3.57%	11/07/283,4		390,000		357,340
4.72%	08/11/263,4		30,000		29,356
4.98%	08/11/333,4		415,000		401,254

See accompanying Notes to Financial Statements.

53 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
Macquarie Group Ltd.
(Australia)
2.87%	01/14/331,3,4	$	375,000	$	304,067
5.03%	01/15/301,3,4		170,000		167,181
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		500,000		490,177
PNC Financial Services Group, Inc. (The)
5.07%	01/24/344		95,000		93,873
6.04%	10/28/334		225,000		237,570
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,4		325,000		307,330
1.67%	06/14/273,4		325,000		283,214
4.80%	11/15/243,4		245,000		241,664
U.S. Bancorp
3.70%4,8			105,000		81,978
4.84%	02/01/344		650,000		630,906
5.85%	10/21/334		225,000		235,563
Wells Fargo & Co.
(MTN)
2.39%	06/02/284		745,000		671,340
3.35%	03/02/334		640,000		555,558
3.53%	03/24/284		525,000		495,919
					16,558,823
Communications — 3.44%
AT&T, Inc.
2.55%	12/01/33		452,000		364,335
4.75%	05/15/46		125,000		112,972
Cable One, Inc.
4.00%	11/15/301		60,000		49,200
CCO Holdings LLC/CCO Holdings Capital Corp.
4.25%	02/01/311		600,000		492,000
Charter Communications Operating LLC/Charter Communications Operating Capital
2.80%	04/01/31		140,000		112,866
4.80%	03/01/50		250,000		190,318
5.38%	05/01/47		141,000		116,035
Charter Communications Operating, LLC/Charter Communications Operating Capital
5.25%	04/01/53		520,000		421,984
Cogent Communications Group, Inc.
7.00%	06/15/271		625,000		620,390
CommScope, Inc.
4.75%	09/01/291		391,000		328,733
CSC Holdings LLC
4.63%	12/01/301		300,000		149,250
5.38%	02/01/281		150,000		123,031
6.50%	02/01/291		322,000		267,717
7.50%	04/01/281		453,000		289,195
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/261,9,10		751,000		42,244
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%	08/15/271		169,000		153,226

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
Frontier Communications Holdings LLC
6.75%	05/01/291	$	575,000	$	456,245
8.63%	03/15/311		796,000		780,072
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%	10/07/303		285,000		254,556
Gray Escrow II, Inc.
5.38%	11/15/311		267,000		175,808
Gray Television, Inc.
7.00%	05/15/271		400,000		335,268
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/301,3		535,000		492,586
Intelsat Jackson Holdings SA, Class B (Luxembourg)
5.50%	08/01/23†,3,5,6,9,10		535,000		—
8.50%	10/15/24†,1,3,5,6,9,10		270,000		—
9.75%	07/15/25†,1,3,5,6,9,10		360,000		—
Level 3 Financing, Inc.
3.63%	01/15/291		40,000		22,125
3.75%	07/15/291		250,000		133,617
10.50%	05/15/301		275,000		262,969
Meta Platforms, Inc.
4.45%	08/15/52		165,000		145,456
Netflix, Inc.
4.63%	05/15/29		100,000		111,061
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%	04/30/271		700,000		598,500
Scripps Escrow, Inc.
5.88%	07/15/271		400,000		298,624
Sirius XM Radio, Inc.
3.88%	09/01/311		600,000		467,091
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%	03/20/251		262,500		260,606
5.15%	03/20/281		495,000		492,089
Tencent Holdings Ltd.
(Cayman Islands)
2.88%	04/22/311,3		200,000		173,623
Time Warner Cable LLC
5.50%	09/01/41		80,000		69,201
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%	08/15/301,3		350,000		301,128
Vmed O2 UK Financing I PLC
(United Kingdom)
4.25%	01/31/311,3		375,000		319,500
Vodafone Group PLC
(United Kingdom)
4.25%	09/17/503		60,000		49,097
5.63%	02/10/533		300,000		297,061
VZ Secured Financing BV
(Netherlands)
5.00%	01/15/321,3		1,100,000		898,562

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 54

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
Zayo Group Holdings, Inc.
4.00%	03/01/271	$	185,000	$	140,766
					11,369,107
Consumer Discretionary — 1.36%
Bacardi Ltd.
(Bermuda)
4.45%	05/15/251,3		165,000		162,566
BAT Capital Corp.
3.56%	08/15/27		165,000		153,605
4.39%	08/15/37		150,000		122,521
5.65%	03/16/52		430,000		378,440
BAT International Finance PLC
(United Kingdom)
1.67%	03/25/263		83,000		75,582
Everi Holdings, Inc.
5.00%	07/15/291		350,000		315,000
Imperial Brands Finance PLC
(United Kingdom)
4.25%	07/21/251,3		160,000		155,327
6.13%	07/27/271,3		195,000		200,181
JDE Peet’s NV
(Netherlands)
2.25%	09/24/311,3		750,000		592,650
Reynolds American, Inc.
5.70%	08/15/35		100,000		94,857
5.85%	08/15/45		95,000		85,705
Spectrum Brands, Inc.
5.50%	07/15/301		425,000		377,187
Triton Water Holdings, Inc.
6.25%	04/01/291		1,075,000		855,657
WarnerMedia Holdings, Inc.
4.28%	03/15/321		190,000		169,647
5.05%	03/15/421		480,000		401,915
5.14%	03/15/521		425,000		345,296
					4,486,136
Diversified REITs — 1.05%
American Assets Trust LP
3.38%	02/01/31		500,000		401,933
American Tower Corp.
0.88%	05/21/29		180,000		157,544
1.00%	01/15/32		210,000		168,819
2.70%	04/15/31		80,000		67,147
5.65%	03/15/33		145,000		149,336
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%	06/23/283		100,000		86,358
Digital Dutch Finco BV
(Netherlands)
1.00%	01/15/323		150,000		114,874
1.25%	02/01/313		220,000		178,463
GLP Capital LP/GLP Financing II, Inc.
3.25%	01/15/32		17,000		13,878
4.00%	01/15/30		305,000		271,215

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Diversified REITs (continued)
4.00%	01/15/31	$	48,000	$	41,943
5.38%	04/15/26		590,000		573,129
5.75%	06/01/28		10,000		9,767
LXP Industrial Trust
2.70%	09/15/30		160,000		130,162
VICI Properties LP
5.13%	05/15/32		369,000		349,800
5.63%	05/15/52		145,000		130,735
VICI Properties LP/VICI Note Co., Inc.
3.75%	02/15/271		135,000		124,741
3.88%	02/15/291		120,000		106,817
4.13%	08/15/301		54,000		47,452
4.50%	09/01/261		65,000		62,201
4.50%	01/15/281		13,000		12,056
4.63%	06/15/251		15,000		14,511
5.75%	02/01/271		80,000		78,841
Weyerhaeuser Co.
3.38%	03/09/33		195,000		171,554
					3,463,276
Electric — 1.74%
Alliant Energy Finance LLC
1.40%	03/15/261		245,000		217,347
Alliant Energy Finance, LLC
3.60%	03/01/321		155,000		138,142
American Electric Power Co., Inc.
2.03%	03/15/24		455,000		441,360
5.63%	03/01/33		325,000		337,123
Arizona Public Service Co.
6.35%	12/15/32		600,000		654,350
Comision Federal de Electricidad
(Mexico)
4.69%	05/15/291,3		200,000		179,780
Duke Energy Carolinas LLC
4.00%	09/30/42		250,000		214,632
5.35%	01/15/53		195,000		203,798
Duke Energy Corp.
3.85%	06/15/34		200,000		204,021
Duke Energy Progress LLC
5.25%	03/15/33		170,000		176,785
Eversource Energy,
Series O
4.25%	04/01/29		8,000		7,769
FirstEnergy Transmission LLC
2.87%	09/15/281		418,000		377,617
Niagara Mohawk Power Corp.
5.78%	09/16/521		365,000		379,973
Oklahoma Gas and Electric Co.
5.40%	01/15/33		685,000		710,148
Pennsylvania Electric Co.
4.15%	04/15/251		555,000		537,666
Pike Corp.
5.50%	09/01/281		400,000		350,424
Public Service Co. of New Mexico
3.85%	08/01/25		40,000		38,862

See accompanying Notes to Financial Statements.

55 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Electric (continued)
TenneT Holding BV (EMTN) (Netherlands)
4.50%	10/28/343	$	100,000	$	116,811
4.75%	10/28/423		140,000		165,006
Tucson Electric Power Co.
5.50%	04/15/53		305,000		311,742
					5,763,356
Energy — 2.28%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/281		350,000		337,750
CenterPoint Energy Resources Corp.
5.40%	03/01/33		765,000		791,557
Enbridge, Inc. (Canada)
5.70%	03/08/333		90,000		93,657
Energy Transfer LP
4.90%	03/15/35		20,000		18,734
5.00%	05/15/50		490,000		417,416
Energy Transfer LP,
Series B
6.63%4,8			733,000		548,704
Galaxy Pipeline Assets Bidco Ltd. (United Kingdom)
2.16%	03/31/341,3		177,420		153,010
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		430,000		400,180
Hess Corp.
5.60%	02/15/41		20,000		19,300
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%	04/14/331,3		200,000		150,468
KeySpan Gas East Corp.
5.99%	03/06/331		385,000		397,890
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/261		294,000		284,077
NGPL Pipe Co. LLC
4.88%	08/15/271		40,000		38,785
Petroleos Mexicanos
(Mexico)
5.95%	01/28/313		184,000		140,954
6.35%	02/12/483		5,000		3,120
6.75%	09/21/473		15,000		9,762
6.95%	01/28/603		5,000		3,235
QatarEnergy, Series REGS (Qatar)
2.25%	07/12/313		200,000		170,191
Rockies Express Pipeline LLC
4.80%	05/15/301		234,000		205,920
4.95%	07/15/291		215,000		192,864
Sabine Pass Liquefaction LLC
4.50%	05/15/30		77,000		74,311
Southern Natural Gas Co. LLC
4.80%	03/15/471		65,000		55,970

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26	$	725,000	$	627,865
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/271,3		28,438		27,903
Transocean Titan Financing Ltd.
(Cayman Islands)
8.38%	02/01/281,3		426,000		435,585
USA Compression Partners LP/USA Compression Finance Corp.
6.88%	09/01/27		600,000		573,933
Venture Global Calcasieu Pass LLC
3.88%	11/01/331		248,000		208,675
4.13%	08/15/311		1,225,000		1,077,192
Williams Cos., Inc. (The)
4.30%	03/04/24		60,000		59,409
					7,518,417
Entertainment — 0.18%
Cinemark USA, Inc.
5.25%	07/15/281		685,000		599,546
Finance — 3.22%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
2.45%	10/29/263		123,000		110,442
3.30%	01/30/323		565,000		466,922
3.88%	01/23/283		5,000		4,634
4.45%	10/01/253		110,000		106,562
Air Lease Corp.
(MTN)
2.88%	01/15/26		380,000		354,573
American Express Co.
2.55%	03/04/27		190,000		176,073
Avolon Holdings Funding Ltd. (Cayman Islands)
2.53%	11/18/271,3		583,000		493,849
Capital One Financial Corp.
1.34%	12/06/244		360,000		347,345
Cboe Global Markets, Inc.
3.00%	03/16/32		190,000		164,818
Charles Schwab Corp. (The) Series K
5.00%4,8			200,000		170,000
Citigroup, Inc.
2.56%	05/01/324		240,000		199,275
2.57%	06/03/314		375,000		316,609
2.98%	11/05/304		145,000		127,177
3.06%	01/25/334		930,000		791,203
3.52%	10/27/284		435,000		406,954
Citigroup, Inc., Series VAR
3.07%	02/24/284		95,000		88,465
Discover Financial Services
3.95%	11/06/24		105,000		100,205

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 56

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
Gaci First Investment Co. (Cayman Islands)
5.25%	10/13/323	$	300,000	$	312,375
Goldman Sachs Group, Inc. (The)
0.93%	10/21/244		130,000		126,523
1.22%	12/06/23		455,000		442,308
1.54%	09/10/274		5,000		4,404
1.95%	10/21/274		325,000		290,388
1.99%	01/27/324		375,000		299,456
2.38%	07/21/324		170,000		138,628
2.65%	10/21/324		480,000		396,933
3.81%	04/23/294		575,000		541,712
Intercontinental Exchange, Inc.
1.85%	09/15/32		195,000		154,259
JPMorgan Chase & Co.
1.04%	02/04/274		25,000		22,322
1.05%	11/19/264		270,000		241,890
2.55%	11/08/324		200,000		166,223
2.74%	10/15/304		160,000		139,784
2.95%	02/24/284		120,000		111,515
JPMorgan Chase & Co.,
Series KK
3.65%4,8			115,000		100,912
Morgan Stanley
0.99%	12/10/264		145,000		129,340
2.48%	09/16/364		170,000		128,610
2.95%	05/07/324		155,000		153,693
Morgan Stanley
(GMTN)
1.51%	07/20/274		120,000		106,577
2.24%	07/21/324		160,000		129,102
2.70%	01/22/314		290,000		249,832
Morgan Stanley
(MTN)
1.16%	10/21/254		495,000		462,537
1.93%	04/28/324		775,000		614,123
Nationwide Building Society
(United Kingdom)
2.97%	02/16/281,3,4		200,000		182,003
4.36%	08/01/241,3,4		130,000		128,934
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%	02/15/241,3		2,000		1,982
Pipeline Funding Co. LLC
7.50%	01/15/301		149,380		152,662
Raymond James Financial, Inc.
4.65%	04/01/30		145,000		143,663
Vonovia SE
(Georgia)
1.00%	06/16/333		100,000		68,253
1.50%	06/14/413		100,000		57,141
					10,623,190
Food — 1.14%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%	11/15/281		741,000		676,077

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Food (continued)
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%	06/01/261	$	682,000	$	422,738
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. (Canada)
3.75%	12/01/311,3		385,000		319,221
5.50%	01/15/301,3		376,000		359,275
Pilgrim’s Pride Corp.
4.25%	04/15/31		180,000		157,436
5.88%	09/30/271		884,000		879,182
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed
4.63%	03/01/291		750,000		609,771
Smithfield Foods, Inc.
5.20%	04/01/291		5,000		4,674
TreeHouse Foods, Inc.
4.00%	09/01/28		400,000		354,057
					3,782,431
Health Care — 3.77%
1375209 BC Ltd.
(Canada)
9.00%	01/30/281,3		400,000		397,000
AbbVie, Inc.
3.85%	06/15/24		10,000		9,882
Amgen, Inc.
3.15%	02/21/40		100,000		78,529
5.25%	03/02/33		305,000		313,457
5.60%	03/02/43		305,000		314,885
5.65%	03/02/53		305,000		317,666
Baxter International, Inc.
0.87%	12/01/23		260,000		253,060
Bayer U.S. Finance II LLC
4.25%	12/15/251		255,000		249,656
4.38%	12/15/281		210,000		203,137
4.40%	07/15/441		245,000		202,498
4.88%	06/25/481		80,000		71,831
Becton Dickinson & Co.
3.73%	12/15/24		3,000		2,935
Cano Health LLC
6.25%	10/01/281		290,000		160,225
Catalent Pharma Solutions, Inc.
3.13%	02/15/291		475,000		418,004
Centene Corp.
2.45%	07/15/28		349,000		303,796
3.00%	10/15/30		323,000		272,283
4.25%	12/15/27		455,000		438,829
CommonSpirit Health
2.78%	10/01/30		35,000		29,900
3.35%	10/01/29		200,000		180,237
4.35%	11/01/42		100,000		85,723
CVS Health Corp.
5.05%	03/25/48		270,000		252,934
DENTSPLY SIRONA, Inc.
3.25%	06/01/30		265,000		234,397

See accompanying Notes to Financial Statements.

57 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date			Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
Embecta Corp.
6.75%		02/15/30	1	$	525,000	$	478,556
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	1,3		1,202,000		986,906
HCA, Inc.
3.50%		09/01/30			143,000		127,465
3.63%		03/15/32	1		425,000		374,118
4.13%		06/15/29			80,000		75,186
5.25%		06/15/49			185,000		167,116
5.38%		09/01/26			10,000		10,067
5.50%		06/15/47			120,000		113,843
5.63%		09/01/28			275,000		277,585
Medline Borrower LP
3.88%		04/01/29	1		750,000		654,375
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	1		265,000		227,580
ModivCare, Inc.
5.88%		11/15/25	1		375,000		360,013
Molina Healthcare, Inc.
3.88%		11/15/30	1		975,000		852,801
3.88%		05/15/32	1		570,000		484,834
4.38%		06/15/28	1		74,000		68,887
NYU Langone Hospitals,
Series 2020
3.38%		07/01/55			295,000		216,147
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	1		315,000		280,296
Prestige Brands, Inc.
3.75%		04/01/31	1		450,000		381,820
Prime Healthcare Services, Inc.
7.25%		11/01/25	1		450,000		400,500
Royalty Pharma PLC
(United Kingdom)
1.75%		09/02/27	3		125,000		109,498
Tenet Healthcare Corp.
4.25%		06/01/29			550,000		498,085
Teva Pharmaceutical Finance Netherlands II BV
(Netherlands)
7.88%		09/15/31	3		275,000		309,366
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
8.13%		09/15/31	3		200,000		210,752
							12,456,660
Health Care REITs — 0.19%
Healthcare Reality Holdings LP
2.00%		03/15/31			140,000		109,407
3.10%		02/15/30			115,000		99,687
Healthcare Realty Holdings LP
2.05%		03/15/31			22,000		16,733
2.40%		03/15/30			325,000		260,248
3.63%		01/15/28			150,000		136,468
Healthpeak OP LLC,
3.40%		02/01/25			2,000		1,940
							624,483

Issues	Maturity     Date			Principal     Amount		Value
CORPORATES (continued)
Industrial REITs — 0.13%
Prologis Euro Finance LLC
0.50%		02/16/32		$	100,000	$	76,288
1.00%		02/06/35			100,000		71,656
1.00%		02/16/41			100,000		59,161
Prologis Euro Finance LLC,
(EMTN)
4.25%		01/31/43			100,000		97,965
SELP Finance SARL
(Luxembourg)
0.88%		05/27/29	3		160,000		132,647
							437,717
Industrials — 1.81%
Advanced Drainage Systems, Inc.
6.38%		06/15/30	1		335,000		328,638
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Canada)
5.25%		08/15/27	1,3		885,000		698,613
Artera Services LLC
9.03%		12/04/25	1		669,000		579,216
BAE Systems Holdings, Inc.
3.85%		12/15/25	1		250,000		242,615
Berry Global, Inc.
1.50%		01/15/27	1		200,000		194,252
1.65%		01/15/27			40,000		35,057
5.50%		04/15/28	1		255,000		254,357
Boeing Co. (The)
1.43%		02/04/24			340,000		328,693
Cellnex Finance Co. SA (EMTN) (Spain)
2.00%		09/15/32	3		300,000		253,377
Energizer Holdings, Inc.
4.38%		03/31/29	1		925,000		815,156
General Electric Co. (MTN) (LIBOR USD 3-Month plus 0.38%)
5.19%		05/05/26	2		57,000		56,305
(LIBOR USD 3-Month plus 0.48%)
5.34%		08/15/36	2		52,000		43,914
Heathrow Funding Ltd. (EMTN) (United Kingdom)
1.88%		03/14/34	3		230,000		196,982
OT Merger Corp.
7.88%		10/15/29	1		1,350,000		813,143
TransDigm, Inc.
6.75%		08/15/28	1		1,115,000		1,126,855
							5,967,173
Information Technology — 1.39%
Broadcom, Inc.
3.42%		04/15/33	1		190,000		159,130
Fiserv, Inc.
2.65%		06/01/30			10,000		8,638
5.60%		03/02/33			605,000		628,455

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 58

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date			Principal     Amount		Value
CORPORATES (continued)
Information Technology (continued)
Gen Digital, Inc.
6.75%		09/30/27	1	$	360,000	$	362,337
NCR Corp.
5.00%		10/01/28	1		550,000		484,688
5.13%		04/15/29	1		340,000		295,468
5.25%		10/01/30	1		700,000		572,096
Netflix, Inc.
5.88%		02/15/25			310,000		316,667
Open Text Corp.
(Canada)
6.90%		12/01/27	1,3		350,000		360,937
Oracle Corp.
2.88%		03/25/31			65,000		55,646
3.80%		11/15/37			355,000		295,013
3.95%		03/25/51			830,000		624,552
4.00%		11/15/47			40,000		30,567
5.55%		02/06/53			300,000		285,746
6.90%		11/09/52			115,000		129,146
							4,609,086
Insurance — 1.02%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/29	1		175,000		149,517
6.00%		08/01/29	1		400,000		333,000
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%		10/15/27	1		452,000		420,925
Aon Corp./Aon Global Holdings PLC
3.90%		02/28/52			280,000		226,626
AssuredPartners, Inc.
5.63%		01/15/29	1		415,000		359,114
Athene Global Funding
1.99%		08/19/28	1		370,000		300,378
2.72%		01/07/29	1		95,000		79,831
3.21%		03/08/27	1		130,000		119,626
Berkshire Hathaway Finance Corp.
2.50%		01/15/51			115,000		74,040
Brown & Brown, Inc.
4.95%		03/17/52			160,000		135,776
Farmers Exchange Capital II
6.15%		11/01/53	1,4		150,000		149,053
Farmers Exchange Capital III
5.45%		10/15/54	1,4		85,000		77,728
Farmers Insurance Exchange
4.75%		11/01/57	1,4		135,000		105,922
HUB International Ltd.
7.00%		05/01/26	1		350,000		345,625
Metropolitan Life Global Funding I
2.95%		04/09/30	1		15,000		13,236
Nationwide Mutual Insurance Co.
7.16%		12/15/24	1,4		375,000		373,562
Teachers Insurance & Annuity Association of America
4.27%		05/15/47	1		40,000		33,950
4.38%		09/15/54	1,4		65,000		63,356
							3,361,265

Issues	Maturity     Date			Principal     Amount		Value
CORPORATES (continued)
Materials — 0.74%
ASP Unifrax Holdings, Inc.
5.25%		09/30/28	1	$	265,000	$	212,079
Freeport Indonesia PT
(Indonesia)
4.76%		04/14/27	1,3		200,000		195,583
Herens Holdco SARL
(Luxembourg)
4.75%		05/15/28	1,3		450,000		360,351
Indonesia Asahan Aluminium Persero PT, Series REGS (Indonesia)
5.45%		05/15/30	3		200,000		197,640
International Flavors & Fragrances, Inc.
2.30%		11/01/30	1		775,000		622,505
SK Invictus Intermediate II SARL
(Luxembourg)
5.00%		10/30/29	1,3		450,000		374,094
Valvoline, Inc.
3.63%		06/15/31	1		550,000		467,659
							2,429,911
Office REITs — 0.08%
Boston Properties LP
2.75%		10/01/26			10,000		8,605
Hudson Pacific Properties LP
3.95%		11/01/27			255,000		175,253
5.95%		02/15/28			60,000		46,429
Kilroy Realty LP
2.50%		11/15/32			50,000		31,768
							262,055
Residential REITs — 0.26%
American Homes 4 Rent LP
3.38%		07/15/51			675,000		445,460
Invitation Homes Operating Partnership LP
2.00%		08/15/31			305,000		234,491
2.30%		11/15/28			50,000		41,996
2.70%		01/15/34			190,000		146,155
							868,102
Retail — 0.67%
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/29	1		743,000		666,843
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%		01/15/30	1		725,000		596,697
FirstCash, Inc.
5.63%		01/01/30	1		475,000		438,822
Michaels Cos., Inc. (The)
7.88%		05/01/29	1		745,000		522,204
							2,224,566
Services — 0.87%
Adtalem Global Education, Inc.
5.50%		03/01/28	1		227,000		215,514
Global Payments, Inc.
5.40%		08/15/32			95,000		93,109

See accompanying Notes to Financial Statements.

59 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date			Principal     Amount		Value
CORPORATES (continued)
Services (continued)
5.95%		08/15/52		$	183,000	$	175,058
HealthEquity, Inc.
4.50%		10/01/29	1		525,000		470,163
Hertz Corp. (The)
4.63%		12/01/26	1		50,000		45,525
5.00%		12/01/29	1		650,000		541,593
Upbound Group, Inc.
6.38%		02/15/29	1		300,000		252,750
WASH Multifamily Acquisition, Inc.
5.75%		04/15/26	1		225,000		213,105
Waste Pro USA, Inc.
5.50%		02/15/26	1		925,000		851,636
							2,858,453
Specialized REITs — 0.69%
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/32	3		100,000		90,752
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.00%		05/04/28	3		195,000		158,413
1.75%		03/12/29	3		100,000		80,537
China Aoyuan Group Ltd.
(Cayman Islands)
6.35%		02/08/24	3,5,6		200,000		19,051
CubeSmart LP
2.50%		02/15/32			350,000		282,183
Extra Space Storage LP
2.35%		03/15/32			530,000		417,135
Iron Mountain, Inc.
5.63%		07/15/32	1		1,240,000		1,135,530
Life Storage LP
2.40%		10/15/31			45,000		36,450
Sunac China Holdings Ltd.
(Cayman Islands)
6.50%		01/10/25	3,5,6		210,000		50,744
							2,270,795
Transportation — 0.09%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			21,263		18,741
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32			25,976		21,845
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32			65,184		60,053
Transnet SOC Ltd.
(South Africa)
8.25%		02/06/28	1,3		200,000		199,760

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		$	11,878	$	11,795
							312,194
Total Corporates
(Cost $109,140,660)							102,846,742
FOREIGN GOVERNMENT OBLIGATIONS — 1.57%
Foreign Government Obligations — 1.57%
Brazilian Government International Bond (Brazil)
3.88%		06/12/30	3		400,000		358,466
Chile Government International Bond
(Chile)
2.55%		01/27/32	3		400,000		342,457
2.55%		07/27/33	3		200,000		164,927
Colombia Government International Bond
(Colombia)
8.00%		04/20/33	3		400,000		410,394
Dominican Republic International Bond, Series REGS (Dominican Republic)
4.50%		01/30/30	3		200,000		174,880
4.88%		09/23/32	3		200,000		170,820
Egypt Government International Bond
(Egypt)
7.60%		03/01/29	1,3		200,000		140,060
Finance Department Government of Sharjah (United Arab Emirates)
6.50%		11/23/32	1,3		200,000		204,237
Hungary Government International Bond
(Hungary)
2.13%		09/22/31	1,3		400,000		309,240
Mexico Government International Bond
(Mexico)
2.66%		05/24/31	3		272,000		227,678
3.75%		01/11/28	3		200,000		192,480
6.35%		02/09/35	3		200,000		212,920
Oman Government International Bond, Series REGS (Oman)
6.75%		10/28/27	3		200,000		209,500
Panama Government International Bond
(Panama)
2.25%		09/29/32	3		440,000		338,448
3.16%		01/23/30	3		200,000		176,180
Perusahaan Penerbit SBSN Indonesia III, Series REGS (Indonesia)
2.80%		06/23/30	3		200,000		178,673
Peruvian Government International Bond
(Peru)
2.84%		06/20/30	3		250,000		219,077

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 60

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date			Principal   Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Philippine Government International Bond
(Philippines)
2.46%		05/05/303		$	200,000	$	173,914
Republic of Poland Government International Bond (Poland)
5.50%		11/16/273			200,000		208,785
5.75%		11/16/323			125,000		133,625
Republic of South Africa Government International Bond (South Africa)
5.88%		04/20/323			200,000		182,520
Romanian Government International Bond,
Series REGS
(Romania)
3.00%		02/14/313			300,000		247,687
Serbia International Bond
(Serbia)
6.50%		09/26/331,3			200,000		199,250
Total Foreign Government Obligations
(Cost $5,463,896)							5,176,218
MORTGAGE-BACKED — 51.02%**
Non-Agency Commercial Mortgage-Backed — 5.62%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XA (IO)
0.75%		09/15/484			6,069,678		88,196
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%		09/15/481,4			500,000		11,528
BB-UBS Trust,
Series 2012-SHOW, Class XA (IO)
0.60%		11/05/361,4			3,109,000		26,557
BB-UBS Trust,
Series 2012-SHOW, Class XB (IO)
0.14%		11/05/361,4			1,395,000		3,706
Benchmark Mortgage Trust,
Series 2020-B18, Class AGNF
4.14%		07/15/531			529,000		454,832
Blackstone Industrial Portfolio - Proj Foxtrot
2.23%		04/09/244,5,6			234,463		220,536
BX Trust,
Series 2019-OC11, Class E
3.94%		12/09/411,4			670,000		533,598
BX Trust,
Series 2021-LGCY, Class J
(LIBOR USD 1-Month plus 3.19%)
7.88%		10/15/361,2			400,000		349,734
BX Trust,
Series 2021-MFM1, Class G
(CME Term SOFR 1-Month plus 4.01%)
8.84%		01/15/341,2			452,123		409,596
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.37%		08/10/49	4		9,066,454		300,116
Century Plaza Towers,
Series 2019-CPT, Class F
3.00%		11/13/391,4			450,000		256,536

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
0.78%	09/10/464	$	3,776,032	$	4,264
Citigroup Commercial Mortgage Trust,
Series 2014-GC19, Class XA (IO)
1.09%	03/11/474		909,421		4,884
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.94%	10/10/474		13,806,017		140,414
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.31%	02/10/484		1,527,284		26,605
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class XA (IO)
1.21%	02/10/494		5,477,010		149,077
Citigroup Commercial Mortgage Trust,
Series 2017-B1, Class XF (IO)
0.82%	08/15/501,4		11,628,000		341,032
Commercial Mortgage Lease-Backed Certificates-1, Series 2001-CMLB, Class X (IO)
1.32%	06/20/311,4		1,379,377		10,922
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.23%	10/15/454		66,122		141
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.19%	10/15/454		183,886		2
Commercial Mortgage Trust,
Series 2012-LC4, Class XB (IO)
0.36%	12/10/441,4		1,428,146		14
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.02%	07/10/454		6,205,550		62
Commercial Mortgage Trust,
Series 2014-CR14, Class XA (IO)
0.51%	02/10/474		3,313,722		8,289
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
0.93%	08/10/474		901,150		8,088
Commercial Mortgage Trust,
Series 2014-CR19, Class XC (IO)
0.78%	08/10/471,4		1,200,000		11,228
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.05%	06/10/474		3,073,661		22,586
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.83%	09/10/474,5,6		29,648,153		262,349
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
0.83%	12/10/474		11,428,328		116,175
Commercial Mortgage Trust,
Series 2015-CR22, Class XA (IO)
0.82%	03/10/484		9,985,379		119,622

See accompanying Notes to Financial Statements.

61 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
0.80%	08/10/484	$	7,952,767	$	123,207
Commercial Mortgage Trust,
Series 2015-LC21, Class XE (IO)
1.08%	07/10/481,4		10,015,000		210,337
Commercial Mortgage Trust,
Series 2016-CR28, Class XA (IO)
0.64%	02/10/494		13,401,502		205,399
CSAIL Commercial Mortgage Trust,
Series 2015-C2, Class XA (IO)
0.72%	06/15/574		16,497,404		181,960
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.55%	06/15/524		562,845		38,945
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.69%	12/15/494		11,652,998		217,965
DBJPM 16-C1 Mortgage Trust,
Series 2016-C1, Class XA (IO)
1.37%	05/10/494		8,752,668		270,713
DBUBS Mortgage Trust,
Series 2017-BRBK, Class F
3.53%	10/10/341,4		380,000		324,192
European Loan Conduit No. 36 DAC,
Series 36A, Class E
(Ireland)
(3 month Euribor plus 3.35%)
6.03%	02/17/301,2,3		679,831		689,456
Extended Stay America Trust,
Series 2021-ESH, Class F
(LIBOR USD 1-Month plus 3.70%)
8.39%	07/15/381,2		585,715		551,438
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.46%	08/10/431,4		5,288,131		4,453
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.00%	03/10/441,4		138,359		1
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.00%	08/10/441,4		619,630		6
GS Mortgage Securities Trust,
Series 2014-GC18, Class XA (IO)
1.02%	01/10/474		25,419,284		106,518
GS Mortgage Securities Trust,
Series 2015-GC32, Class XA (IO)
0.71%	07/10/484		32,357,611		425,684
GS Mortgage Securities Trust,
Series 2015-GC34, Class XA (IO)
1.20%	10/10/484		5,297,056		129,005
GS Mortgage Securities Trust,
Series 2015-GS1, Class XA (IO)
0.76%	11/10/484		9,219,204		153,324

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2016-GS2, Class XA (IO)
1.73%	05/10/494	$	250,415	$	10,196
GS Mortgage Securities Trust,
Series 2016-GS4, Class XA (IO)
0.57%	11/10/494		14,832,723		241,896
GSCG Trust,
Series 2019-600C, Class G
3.99%	09/06/341,4		285,000		208,848
Hilton USA Trust,
Series 2016-SFP, Class E
5.52%	11/05/351		400,000		359,437
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class XA (IO)
0.60%	04/15/474		11,701,160		53,808
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XA (IO)
0.43%	07/15/484		23,335,181		197,525
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XNR (IO)
0.25%	07/15/481,4		44,664,247		186,650
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C31, Class XA (IO)
0.81%	08/15/484		6,372,815		101,219
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class XA (IO)
0.82%	03/15/504		4,232,710		100,802
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C2, Class XA (IO)
1.49%	06/15/494		244,919		8,197
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class XB (IO)
0.44%	06/15/451,4		54,394,630		1,164,448
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.26%	04/15/464		909,604		4,709
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-COR4, Class A3
3.76%	03/10/52		500,000		475,040
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-ACE, Class XA (IO)
0.34%	01/10/371,4		2,000,000		11,452
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-LOOP, Class XB (IO)
0.25%	12/05/381,4		2,010,000		17,364
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XAFX (IO)
1.88%	01/16/371,4		450,000		10,345
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XBFX (IO)
0.57%	01/16/371,4		1,450,000		10,631
Last Mile Logistics Pan Euro Finance DAC,
Series 1A, Class F
(Ireland)
(3 month Euribor plus 3.65%)
6.33%	08/17/331,2,3		490,928		492,436

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 62

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

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%)
9.94%	11/15/381,2	$	418,756	$	384,005
MFT Trust,
Series 2020-ABC, Class D
3.48%	02/10/421,4		450,000		278,984
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XC (IO)
0.01%	08/15/451,4		29,994,791		103,866
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-CKSV, Class XA (IO)
1.00%	10/15/301,4		1,055,882		19,225
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XC (IO)
1.23%	10/15/461,4		19,087,479		154,695
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class XA (IO)
0.92%	11/15/464		2,282,510		4,615
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C18, Class XA (IO)
0.60%	10/15/474		91,613		494
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.85%	03/15/484		3,234,326		37,726
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.00%	04/15/484		1,073,183		14,497
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.69%	05/15/484		6,870,833		85,960
Morgan Stanley Capital I Trust,
Series 2011-C2, Class XB (IO)
0.45%	06/15/441,4		11,153,594		41,471
MRCD Mortgage Trust,
Series 2019-PRKC, Class A
4.25%	12/15/361,4		500,000		361,978
MSCG Trust,
Series 2018-SELF, Class F
(LIBOR USD 1-Month plus 3.05%)
7.74%	10/15/371,2		731,097		680,290
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.32%	01/15/431,4		100,000		75,825
Natixis Commercial Mortgage Securities Trust,
Series 2019-FAME, Class D
4.40%	08/15/361,4		665,000		546,259
Natixis Commercial Mortgage Securities Trust,
Series 2019-FAME, Class E
4.40%	08/15/361,4		395,000		305,669
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2A
3.66%	01/05/431,4		400,000		289,796
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4		460,000		325,052

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.39%	01/05/431,4	$	925,000	$	554,891
SMRT, Series 2022-MINI, Class F
(CME Term SOFR 1-Month plus 3.35%)
8.18%	01/15/391,2		570,000		511,665
Taurus UK DAC,
Series 2021-UK1A, Class D
(Ireland)
(SONIA plus 2.60%)
6.68%	05/17/311,2,3		471,537		551,003
UBS Commercial Mortgage Trust,
Series 2017-C4, Class XA (IO)
1.09%	10/15/504		8,240,018		304,122
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.07%	08/15/504		13,541,170		105,793
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.01%	12/15/474		1,344,528		18,888
Wells Fargo Commercial Mortgage Trust,
Series 2015-C27, Class XA (IO)
0.84%	02/15/484		17,117,500		206,262
Wells Fargo Commercial Mortgage Trust,
Series 2015-C31, Class XA (IO)
0.95%	11/15/484		17,222,846		335,637
Wells Fargo Commercial Mortgage Trust,
Series 2015-LC20, Class XF (IO)
1.74%	04/15/501,4		415,000		11,428
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS3, Class XA (IO)
0.88%	09/15/574		9,317,981		164,609
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class XA (IO)
2.06%	06/15/494		6,027,115		240,573
Westfield Galleria at Roseville
3.25%	03/29/255,6		495,000		492,426
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.15%	12/15/451,4		55,347		1
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XB (IO)
0.44%	12/15/451,4		56,000,000		560
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class XA (IO)
0.89%	05/15/474		9,874,117		65,765
WF-RBS Commercial Mortgage Trust,
Series 2014-C22, Class XA (IO)
0.78%	09/15/574		1,764,606		13,725
WF-RBS Commercial Mortgage Trust,
Series 2014-C24, Class XA (IO)
0.84%	11/15/474		6,070,702		57,833

See accompanying Notes to Financial Statements.

63 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date		Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.24%		03/15/474	$	9,284,923	$	52,724
						18,566,607
Non-Agency Mortgage-Backed — 22.40%
Alternative Loan Trust,
Series 2004-30CB, Class 1A6
5.50%		02/25/35		1,073,440		984,070
Alternative Loan Trust,
Series 2005-10CB, Class 1A8
5.50%		05/25/35		1,661,427		1,409,961
Alternative Loan Trust,
Series 2005-46CB, Class A3
5.50%		10/25/35		265,579		193,139
Alternative Loan Trust,
Series 2005-46CB, Class A4
5.25%		10/25/35		200,682		143,440
Alternative Loan Trust,
Series 2005-46CB, Class A7
5.50%		10/25/35		566,109		411,695
Alternative Loan Trust,
Series 2005-55CB, Class 1A1
5.50%		11/25/35		197,005		137,756
Alternative Loan Trust,
Series 2005-64CB, Class 2A1
6.00%		11/25/35		3,039,188		538,493
Alternative Loan Trust,
Series 2005-65CB, Class 2A4
5.50%		12/25/35		323,240		241,389
Alternative Loan Trust,
Series 2005-67CB, Class A1
5.50%		01/25/36		66,730		52,173
Alternative Loan Trust,
Series 2005-74T1, Class A5
6.00%		01/25/36		497,419		316,567
Alternative Loan Trust,
Series 2005-7CB, Class 2A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.05%, 5.05% Cap)
0.20%		03/01/382,5,6		1,437,370		60,578
Alternative Loan Trust,
Series 2005-86CB, Class A1
5.50%		02/25/36		563,543		356,944
Alternative Loan Trust,
Series 2005-86CB, Class A8
5.50%		02/25/36		257,620		163,175
Alternative Loan Trust,
Series 2006-19CB, Class A15
6.00%		08/25/36		123,448		76,366
Alternative Loan Trust,
Series 2006-19CB, Class A17
(LIBOR USD 1-Month plus 0.40%)
5.25%		08/25/362		4,092,503		2,033,783

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2006-19CB, Class A18 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.60%, 5.60% Cap)
0.75%	08/25/362,5,6	$	3,950,887	$	406,887
Alternative Loan Trust,
Series 2006-32CB, Class A18
6.00%	11/25/36		138,746		86,563
Alternative Loan Trust,
Series 2006-34, Class A5
6.25%	11/25/46		1,254,116		700,076
Alternative Loan Trust,
Series 2006-J1, Class 1A11
5.50%	02/25/36		207,232		150,447
Alternative Loan Trust,
Series 2007-13, Class A1
6.00%	06/25/47		274,540		150,139
Alternative Loan Trust,
Series 2007-15CB, Class A6
5.75%	07/25/37		552,279		347,682
Alternative Loan Trust,
Series 2007-15CB, Class A7
6.00%	07/25/37		1,481,730		947,665
Alternative Loan Trust,
Series 2007-16CB, Class 1A7
6.00%	08/25/37		7,253		5,812
Alternative Loan Trust,
Series 2007-18CB, Class 2A25
6.00%	08/25/37		326,628		205,259
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%	09/25/37		243,926		104,013
Alternative Loan Trust,
Series 2007-5CB, Class 1A3
6.00%	04/25/37		181,255		106,125
Alternative Loan Trust,
Series 2007-5CB, Class 1A4
6.00%	04/25/37		534,749		313,138
American Home Mortgage Assets Trust,
Series 2006-6, Class XP (IO) (PO)
0.04%	12/25/464,5,6		22,356,043		259,017
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
3.84%	02/25/472		1,687,588		693,337
American Home Mortgage Assets Trust,
Series 2007-5, Class XP (IO) (PO)
0.06%	06/25/474,5,6		918,960		28,611
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)
5.13%	03/25/462		12,717		10,537
Banc of America Alternative Loan Trust,
Series 2006-5, Class CB8
(LIBOR USD 1-Month plus 0.31%)
5.16%	06/25/462		1,868,991		1,495,685

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 64

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
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)
1.84%	06/25/462,5,6	$	1,869,002	$	172,971
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%	03/25/36		5,682		4,912
Banc of America Funding Trust,
Series 2006-7, Class T2A5 (STEP-reset date 05/25/23)
6.54%	10/25/36		737,864		629,114
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
5.00%	05/26/361,2		1,481		1,496
Banc of America Funding Trust,
Series 2015-R4, Class 5A1
(LIBOR USD 1-Month plus 0.15%)
4.77%	10/25/361,2		6,043		5,986
BCAP LLC Trust,
Series 2007-AA2, Class 2A12
5.50%	04/25/37		2,102,581		983,417
Bear Stearns ALT-A Trust,
Series 2005-7, Class 22A1
3.96%	09/25/354		145,323		89,111
Bear Stearns ARM Trust,
Series 2004-3, Class 2A
3.37%	07/25/344		6,534		6,018
Bear Stearns ARM Trust,
Series 2005-10, Class A3
4.11%	10/25/354		130,382		121,923
Bombardier Capital Mortgage Securitization Corp.,
Series 1999-B, Class A2
6.98%	12/15/294		997,492		131,131
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A3
7.83%	06/15/304		1,658,345		227,145
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A4
8.29%	06/15/304		142,144		21,185
BRAVO Residential Funding Trust,
Series 2021-A, Class A1 (STEP-reset date 04/25/23)
1.99%	10/25/591		1,287,777		1,223,881
Cascade MH Asset Trust,
Series 2022-MH1, Class A (STEP-reset date 05/25/23)
4.25%	08/25/541		1,261,581		1,122,966
CHNGE Mortgage Trust,
Series 2023-1, Class M1
8.41%	03/25/581,4		580,000		579,309
CIM Trust,
Series 2021-NR2, Class A1 (STEP-reset date 05/25/23)
2.57%	07/25/591		464,711		444,663
CIM Trust,
Series 2021-NR4, Class A1 (STEP-reset date 05/25/23)
2.82%	10/25/611		1,022,792		956,090

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2021-R5, Class A1B
2.00%	08/25/611,4	$	681,000	$	415,001
CIM Trust,
Series 2022-NR1, Class A1 (STEP-reset date 05/25/23)
5.00%	07/25/621		335,250		309,225
CIM Trust,
Series 2023-NR1, Class A1 (STEP-reset date 05/25/23)
6.00%	06/25/621		1,555,784		1,505,453
CIT Mortgage Loan Trust,
Series 2007-1, Class 1M2
(LIBOR USD 1-Month plus 1.75%)
6.60%	10/25/371,2		1,046,000		925,790
Citigroup Mortgage Loan Trust,
Series 2006-WF1, Class A2C (STEP-reset date 05/25/23)
4.61%	03/25/36		30,414		14,805
Citigroup Mortgage Loan Trust,
Series 2009-10, Class 2A2
7.00%	12/25/351,4		533,065		373,998
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-WF2, Class AF6A (STEP-reset date 05/25/23)
6.13%	08/25/35		1,727,369		1,472,604
CitiMortgage Alternative Loan Trust,
Series 2006-A1, Class 1A5
5.50%	04/25/36		276,238		249,184
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A1
6.00%	01/25/37		111,481		99,971
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A5
6.00%	01/25/37		212,798		190,827
CitiMortgage Alternative Loan Trust,
Series 2007-A2, Class 1A13
5.75%	02/25/37		243,560		215,423
CitiMortgage Alternative Loan Trust,
Series 2007-A3, Class 1A7
5.75%	03/25/37		204,573		180,939
CitiMortgage Alternative Loan Trust,
Series 2007-A5, Class 1A1
6.00%	05/25/37		887,195		821,052
Conseco Finance Corp.,
Series 1996-6, Class M1
7.95%	09/15/274		179,042		179,448
Conseco Finance Securitizations Corp.,
Series 2000-1, Class A5
8.06%	09/01/294		3,422,743		721,305
Conseco Finance Securitizations Corp.,
Series 2000-4, Class A5
7.97%	05/01/32		1,992,158		399,779
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-14, Class A3
6.25%	09/25/37		22,726		13,101
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-20, Class A1
6.50%	01/25/38		202,583		108,882

See accompanying Notes to Financial Statements.

65 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date		Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-7, Class A9
5.50%		06/25/37	$	613,235	$	313,466
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL6, Class A1
2.69%		03/25/591,4		780,390		756,888
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A4
(LIBOR USD 1-Month plus 0.32%)
5.17%		10/25/362		36,840		24,173
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-MH1, Class B1 (STEP-reset date 05/25/23)
6.75%		10/25/361		47,018		48,079
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF3 (STEP-reset date 05/25/23)
3.13%		01/25/37		996,483		300,612
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF6 (STEP-reset date 05/25/23)
3.13%		01/25/37		1,759,213		531,044
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 05/25/23)
3.53%		02/25/37		954,601		585,634
CSMC Mortgage-Backed Trust,
Series 2006-6, Class 1A8
6.00%		07/25/36		367,136		196,524
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 10A6
6.50%		08/25/36		1,162,310		716,486
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 8A11
6.50%		08/25/36		415,154		199,271
CSMC Mortgage-Backed Trust,
Series 2007-5, Class 1A9
7.00%		08/25/374		747,660		493,198
CSMC Trust,
Series 2020-RPL5, Class A1
3.02%		08/25/601,4		199,647		192,736
CSMC,
Series 2014-8R, Class 3A2
4.60%		02/27/361,4		999,523		758,703
Deutsche ALT-B Securities, Inc., Mortgage Loan Trust,
Series 2006-AB2, Class A2
4.81%		06/25/364		225,503		195,748
Deutsche Mortgage & Asset Receiving Corp.,
Series 2014-RS1, Class 1A2
6.50%		07/27/371,4		350,132		284,740
Fannie Mae Connecticut Avenue Securities,
Series 2019-R04, Class 2B1
(LIBOR USD 1-Month plus 5.25%)
10.10%		06/25/391,2		958,493		974,436
Fannie Mae Connecticut Avenue Securities,
Series 2019-R06, Class 2B1
(LIBOR USD 1-Month plus 3.75%)
8.60%		09/25/391,2		1,095,913		1,067,947

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Fannie Mae Connecticut Avenue Securities,
Series 2019-R07, Class 1B1
(LIBOR USD 1-Month plus 3.40%)
8.25%	10/25/391,2	$	1,000,000	$	984,791
Fannie Mae Connecticut Avenue Securities,
Series 2020-R02, Class 2B1
(LIBOR USD 1-Month plus 3.00%)
7.85%	01/25/401,2		1,000,000		938,077
Fannie Mae Connecticut Avenue Securities,
Series 2021-R03, Class 1B2
(SOFR30A plus 5.50%)
10.06%	12/25/411,2		985,000		871,855
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
5.17%	10/25/362		382,069		256,399
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
5.07%	03/25/372		709,883		350,957
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA6, Class 2A3
6.25%	11/25/36		721,736		257,831
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA1, Class A4
6.25%	03/25/37		602,417		285,282
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA2, Class 1A4
5.75%	04/25/37		709,595		257,100
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA1, Class B1
(SOFR30A plus 2.65%)
7.21%	01/25/511,2		700,000		636,002
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA1, Class M2
(SOFR30A plus 2.25%)
6.81%	08/25/331,2		1,000,000		963,092
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA2, Class M2
(SOFR30A plus 2.05%)
6.61%	12/25/331,2		815,000		770,701
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M2
(SOFR30A plus 2.50%)
7.06%	01/25/421,2		1,000,000		923,473
Fremont Home Loan Trust,
Series 2005-E, Class 2A4
(LIBOR USD 1-Month plus 0.66%)
5.51%	01/25/362		20,712		19,185
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.48%)
5.33%	08/25/452		4,735		3,560
GSAA Home Equity Trust,
Series 2007-5, Class 1F3B
6.00%	05/25/374		4,300,000		281,089

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 66

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAA Home Equity Trust,
Series 2007-5, Class 1F5B (STEP-reset date 05/25/23)
6.44%	05/25/37	$	1,987,261	$	142,688
GSAA Home Equity Trust,
Series 2007-5, Class 2A2A
(LIBOR USD 1-Month plus 0.46%)
5.31%	04/25/472		824,076		397,179
GSAA Trust,
Series 2006-7, Class AF3 (STEP-reset date 05/25/23)
6.72%	03/25/46		2,966,368		1,221,741
GSAA Trust,
Series 2007-3, Class 2A1B
(LIBOR USD 1-Month plus 0.20%)
5.05%	03/25/472		166,316		9,381
GSMSC Resecuritization Trust,
Series 2015-5R, Class 1C
(LIBOR USD 1-Month plus 0.14%)
3.90%	04/26/371,2		121,801		122,157
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
4.05%	09/25/354		3,798		3,513
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(LIBOR USD 1-Month plus 0.68%)
5.44%	06/20/352		15,530		13,988
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2X (IO)
0.00%	06/20/351,4,5,6		1,138,889		179
HarborView Mortgage Loan Trust,
Series 2006-5, Class X2 (IO)
0.06%	07/19/464,5,6		2,687,804		27
HSI Asset Loan Obligation Trust,
Series 2007-WF1, Class A5 (STEP-reset date 05/25/23)
4.49%	12/25/36		255,356		86,390
IndyMac Index Mortgage Loan Trust,
Series 2006-AR3, Class 2A1A
3.42%	03/25/364		81,905		55,622
IndyMac Index Mortgage Loan Trust,
Series 2007-F2, Class 1A4
6.00%	07/25/37		695,255		529,529
JPMorgan Alternative Loan Trust,
Series 2006-S1, Class 3A4
6.18%	03/25/364		894,706		768,255
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH2, Class AF3 (STEP-reset date 05/25/23)
5.46%	09/25/29		484,792		301,421
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF4 (STEP-reset date 05/25/23)
6.08%	08/25/36		1,457,368		858,086
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF5 (STEP-reset date 05/25/23)
6.34%	08/25/36		276,945		196,488
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A5 (STEP-reset date 05/25/23)
6.91%	07/25/36		1,718,687		500,718

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class AF6 (STEP-reset date 05/25/23)
4.60%	11/25/36	$	3,783	$	3,724
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF2 (STEP-reset date 05/25/23)
4.44%	01/25/37		408,919		213,922
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF3 (STEP-reset date 05/25/23)
4.44%	10/25/30		627,798		342,291
JPMorgan Mortgage Trust,
Series 2007-S1, Class 2A11
6.00%	03/25/37		358,357		162,483
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class M1
6.63%	04/15/404		702,176		695,234
Lehman Mortgage Trust,
Series 2006-1, Class 1A5
5.50%	02/25/36		135,293		70,559
Lehman Mortgage Trust,
Series 2006-7, Class 2A5 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
1.70%	11/25/362,5,6		184,422		22,858
Lehman Mortgage Trust,
Series 2007-5, Class 10A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap)
1.49%	06/25/372,5,6		8,542,794		658,458
Lehman Mortgage Trust,
Series 2007-5, Class 7A3
7.50%	10/25/36		514,294		225,456
Lehman XS Trust,
Series 2005-1, Class 3A4 (STEP-reset date 05/25/23)
5.37%	07/25/35		40,021		40,021
Lehman XS Trust,
Series 2006-17, Class 1A3
(LIBOR USD 1-Month plus 0.50%)
5.35%	08/25/462		203,785		174,906
Lehman XS Trust,
Series 2006-17, Class 1AIO (IO)
0.60%	08/25/465,6		8,079,477		165,083
MASTR Alternative Loan Trust,
Series 2005-2, Class 4A3
(LIBOR USD 1-Month plus 0.40%)
5.25%	03/25/352		13,003		12,634
MASTR Asset-Backed Securities Trust,
Series 2006-NC2, Class A3
(LIBOR USD 1-Month plus 0.22%)
5.07%	08/25/362		719,255		280,880
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A1, Class A3
(LIBOR USD 1-Month plus 0.32%)
5.17%	01/25/372		659,085		216,966
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A3
(LIBOR USD 1-Month plus 0.52%)
5.37%	04/25/372		1,961,965		207,478

See accompanying Notes to Financial Statements.

67 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

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 A2B
(LIBOR USD 1-Month plus 0.26%)
5.11%	06/25/372	$	508,856	$	457,063
Merrill Lynch Mortgage Investors Trust,
Series 2004-B, Class A1
(LIBOR USD 1-Month plus 0.50%)
5.35%	05/25/292		6,091		5,804
Merrill Lynch Mortgage Investors Trust,
Series 2006-HE6, Class A2B
(LIBOR USD 1-Month plus 0.30%)
5.15%	11/25/372		802,678		257,828
Merrill Lynch Mortgage Investors Trust,
Series 2006-RM2, Class A1A
(LIBOR USD 1-Month plus 0.37%)
5.22%	05/25/372		3,558,965		1,036,895
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%	01/15/40		4,571		4,494
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%	10/15/401		35,826		34,973
Mid-State Trust XI,
Series 11, Class A1
4.86%	07/15/38		2,193		2,129
Morgan Stanley Mortgage Loan Trust,
Series 2007-13, Class 6A1
6.00%	10/25/37		175,079		98,912
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
5.10%	06/25/372		19,744		18,669
Oakwood Mortgage Investors, Inc.,
Series 1999-C, Class A2
7.48%	08/15/27		349,220		293,431
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A2
5.01%	03/15/204		2,010		1,992
Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2005-WCH1, Class M4
(LIBOR USD 1-Month plus 1.25%)
6.09%	01/25/362		7,114		6,956
PRET LLC,
Series 2021-RN2, Class A1 (STEP-reset date 04/25/23)
1.74%	07/25/511		791,687		739,529
PRET LLC,
Series 2022-RN2, Class A1 (STEP-reset date 04/25/23)
5.00%	06/25/521		684,406		644,062
PRPM LLC,
Series 2021-11, Class A1 (STEP-reset date 04/25/23)
2.49%	11/25/261		383,145		363,506
PRPM LLC,
Series 2021-3, Class A1 (STEP-reset date 04/25/23)
1.87%	04/25/261		896,011		835,904

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
PRPM LLC,
Series 2021-4, Class A1 (STEP-reset date 04/25/23)
1.87%	04/25/261	$	1,205,190	$	1,152,341
PRPM LLC,
Series 2021-9, Class A1 (STEP-reset date 04/25/23)
2.36%	10/25/261		418,747		397,276
PRPM LLC,
Series 2022-1, Class A1 (STEP-reset date 04/25/23)
3.72%	02/25/271		1,132,763		1,082,565
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 04/25/23)
5.56%	06/25/271		1,049,991		1,035,866
PRPM LLC,
Series 2022-4, Class A1 (STEP-reset date 04/25/23)
5.00%	08/25/271		263,356		255,871
PRPM, LLC,
Series 2021-1, Class A1
2.12%	01/25/261,4		907,496		857,456
PRPM, LLC,
Series 2021-10, Class A1 (STEP-reset date 04/25/23)
2.49%	10/25/261		425,886		394,749
PRPM, LLC,
Series 2021-8, Class A1
1.74%	09/25/261,4		636,243		597,335
Residential Accredit Loans Trust,
Series 2005-QS14, Class 3A3
6.00%	09/25/35		129,037		105,848
Residential Accredit Loans Trust,
Series 2005-QS16, Class A7
5.50%	11/25/35		431,564		367,794
Residential Accredit Loans Trust,
Series 2006-QS15, Class A3
6.50%	10/25/36		862,925		737,728
Residential Accredit Loans Trust,
Series 2006-QS4, Class A2
6.00%	04/25/36		298,895		235,641
Residential Accredit Loans Trust,
Series 2006-QS4, Class A4
6.00%	04/25/36		370,266		290,775
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A15
6.00%	06/25/36		149,991		123,317
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A2
6.00%	06/25/36		589,218		484,434
Residential Accredit Loans Trust,
Series 2007-QH9, Class X (IO) (PO)
0.70%	11/25/374,5,6		10,996,716		352,588
Residential Accredit Loans Trust,
Series 2007-QO2, Class A1
(LIBOR USD 1-Month plus 0.15%)
5.00%	02/25/472		514,498		189,913
Residential Accredit Loans Trust,
Series 2007-QS1, Class 1A4
6.00%	01/25/37		473,530		368,096

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 68

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2007-QS3, Class A1
6.50%	02/25/37	$	447,380	$	361,664
Residential Accredit Loans Trust,
Series 2007-QS7, Class 1A1
6.00%	05/25/37		49,657		40,188
Residential Asset Mortgage Products Trust,
Series 2006-EFC2, Class A4
(LIBOR USD 1-Month plus 0.22%)
5.07%	12/25/362		41,130		40,394
Residential Asset Securitization Trust,
Series 2003-A15, Class 1A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap)
2.70%	02/25/342,5,6		459,410		35,172
Residential Asset Securitization Trust,
Series 2005-A14, Class A5
5.50%	12/25/35		81,383		44,331
Residential Asset Securitization Trust,
Series 2005-A8CB, Class A9
5.38%	07/25/35		246,068		150,480
Residential Asset Securitization Trust,
Series 2006-A12, Class A1
6.25%	11/25/36		502,024		204,645
Residential Asset Securitization Trust,
Series 2006-A15, Class A2
6.25%	01/25/37		512,793		199,186
Residential Asset Securitization Trust,
Series 2006-A16, Class 1A3
6.00%	02/25/37		329,926		153,329
Residential Asset Securitization Trust,
Series 2006-A5CB, Class A4
6.00%	06/25/36		207,960		91,631
Residential Asset Securitization Trust,
Series 2007-A1, Class A1
6.00%	03/25/37		325,239		102,082
Residential Asset Securitization Trust,
Series 2007-A3, Class 1A4
5.75%	04/25/37		476,559		253,007
Residential Asset Securitization Trust,
Series 2007-A6, Class 1A3
6.00%	06/25/37		144,490		84,559
Residential Funding Mortgage Securities Trust,
Series 2006-S10, Class 1A1
6.00%	10/25/36		704,614		572,412
Residential Funding Mortgage Securities Trust,
Series 2006-S3, Class A7
5.50%	03/25/36		508,057		413,563
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A10
6.00%	07/25/36		241,162		202,837
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A14
6.00%	07/25/36		77,328		64,166
Residential Funding Mortgage Securities Trust,
Series 2007-S8, Class 1A1
6.00%	09/25/37		145,337		103,057

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/23)
2.86%	01/25/36	$	254,215	$	199,931
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.30%)
5.15%	12/25/362		902,502		521,158
Soundview Home Loan Trust,
Series 2007-OPT2, Class 2A4
(LIBOR USD 1-Month plus 0.25%)
5.10%	07/25/372		284,080		223,644
Soundview Home Loan Trust,
Series 2007-OPT4, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
5.85%	09/25/372		397,247		278,711
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 4A1
5.19%	02/25/344		1,268		1,166
Structured Asset Mortgage Investments II Trust,
Series 2006-AR2, Class A1
(LIBOR USD 1-Month plus 0.46%)
5.31%	02/25/362		11,097		9,516
VOLT CIII LLC,
Series 2021-CF1, Class A1 (STEP-reset date 04/25/23)
1.99%	08/25/511		797,760		727,429
VOLT XCII LLC,
Series 2021-NPL1, Class A1 (STEP-reset date 04/25/23)
1.89%	02/27/511		1,229,764		1,130,377
VOLT XCVI LLC,
Series 2021-NPL5, Class A2 (STEP-reset date 04/25/23)
4.83%	03/27/511		930,000		814,925
WaMu Mortgage Pass-Through Certificates,
Series 2006-2, Class 1A6
6.00%	03/25/36		22,960		21,453
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class X3 (IO)
1.15%	05/25/465,6		7,013,359		266,510
Wells Fargo Alternative Loan Trust,
Series 2007-PA2, Class 1A1
6.00%	06/25/37		187,766		155,366
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		329,184		279,863
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A3
4.51%	10/25/364		36,384		33,302
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 2A1
4.64%	04/25/364		7,006		6,391
Wells Fargo Mortgage-Backed Securities Trust,
Series 2007-7, Class A1
6.00%	06/25/37		222,514		203,159
					74,009,365

See accompanying Notes to Financial Statements.

69 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed — 1.06%
Fannie Mae Pool 462209
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.18%)
6.40%	04/01/362	$	50,700	$	50,594
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
3.04%	07/25/394		257,021		5,135
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.05%	04/25/364		67,787		595
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.67%	01/25/394		532,779		7,762
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K028, Class X3 (IO)
2.92%	06/25/414		5,425,332		11,427
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K031, Class X3 (IO)
1.66%	07/25/414		1,170,000		507
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K037, Class X3 (IO)
2.21%	01/25/424		390,000		6,251
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K043, Class X1 (IO)
0.51%	12/25/244		23,047,626		180,576
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K044, Class X3 (IO)
1.50%	01/25/434		4,900,000		121,602
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K045, Class X1 (IO)
0.42%	01/25/254		27,198,638		181,015
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K049, Class X1 (IO)
0.56%	07/25/254		12,410,368		136,226
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K049, Class X3 (IO)
1.55%	10/25/434		2,925,000		96,362
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K050, Class X1 (IO)
0.30%	08/25/254		21,571,797		134,580
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K056, Class X3 (IO)
2.12%	06/25/444		6,243,936		380,281

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K062, Class X3 (IO)
2.08%	01/25/454	$	3,000,000	$	202,385
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K106, Class X1 (IO)
1.35%	01/25/304		9,752,921		713,663
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K732, Class X3 (IO)
2.17%	05/25/464		4,850,000		215,632
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K735, Class X3 (IO)
2.15%	05/25/474		3,160,000		178,839
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K736, Class X3 (IO)
2.01%	09/25/474		2,495,000		147,259
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.21%	06/25/274		674,252		20,209
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KLU1, Class X3 (IO)
4.05%	01/25/314		291,569		36,987
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q013, Class XPT1 (IO)
1.66%	05/25/254		4,145,166		76,836
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q013, Class XPT2 (IO)
1.81%	05/25/274		3,657,415		101,342
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.19%	09/16/514		901,688		33,471
Ginnie Mae,
Series 2010-159, Class D
4.56%	09/16/444		120,492		118,186
Ginnie Mae,
Series 2011-119, Class IO (IO)
0.21%	08/16/514		1,139,176		2,332
Ginnie Mae,
Series 2011-86, Class C
3.63%	09/16/514		228,801		218,390
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.63%	12/16/514		1,529,481		23,882
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.34%	01/16/534		268,037		2,459

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 70

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2013-33, Class IO (IO)
0.22%	04/16/544	$	359,018	$	966
Ginnie Mae,
Series 2014-126, Class IO (IO)
0.72%	02/16/554		5,166,897		114,266
					3,520,017
U.S. Agency Mortgage-Backed — 21.94%
Fannie Mae REMICS,
Series 2005-56, Class SP
(-6.00 X LIBOR USD 1-Month plus 42.30%, 6.00% Cap)
6.00%	08/25/332		2,941		2,910
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
1.15%	11/25/412		76,640		6,213
Fannie Mae REMICS,
Series 2012-139, Class AI (IO)
3.00%	12/25/27		161,190		7,452
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%	07/15/36		236,018		51,453
Ginnie Mae (TBA)
4.50%	04/20/53		1,500,000		1,478,038
5.00%	04/20/53		775,000		776,029
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
2.00%	10/20/332		280,933		22,426
Ginnie Mae,
Series 2018-124, Class NW
3.50%	09/20/48		27,455		26,126
Ginnie Mae,
Series 2018-154, Class BP
3.50%	11/20/48		2,730		2,592
UMBS (TBA)
2.00%	05/01/53		13,275,000		10,985,314
2.50%	05/01/53		15,375,000		13,269,355
3.00%	05/01/53		8,900,000		7,991,578
4.00%	05/01/53		6,525,000		6,244,630
4.50%	04/15/53		2,875,000		2,816,860
4.50%	05/01/53		5,150,000		5,047,558
5.00%	05/01/53		16,850,000		16,803,268
5.50%	04/01/53		6,875,000		6,944,958
					72,476,760
Total Mortgage-Backed
(Cost $195,914,605)					168,572,749
MUNICIPAL BONDS — 0.24%*
California — 0.03%
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
3.89%	05/15/38		100,000		88,775

Issues	Maturity     Date		Principal     Amount		Value
MUNICIPAL BONDS (continued)
Florida — 0.02%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.61%		10/01/32	$	100,000	$	84,491
New York — 0.17%
City of New York General Obligation Bonds, Public Improvements, Series F
3.62%		04/01/31		155,000		145,518
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3
1.85%		08/01/32		75,000		58,356
New York State Dormitory Authority Revenue Bonds, School Improvements, Series F
3.11%		02/15/39		150,000		124,735
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F
2.00%		03/15/33		100,000		78,226
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.54%		03/15/34		175,000		142,814
						549,649
Ohio — 0.02%
Ohio, Taxable Revenue Bonds, Advanced Refunding, Cleveland Clinic
2.89%		01/01/32		100,000		85,812
Total Municipal Bonds
(Cost $989,612)						808,727
U.S. TREASURY SECURITIES — 0.93%
U.S. Treasury Bonds — 0.71%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%		10/15/2711		2,291,531		2,337,129
U.S. Treasury Notes — 0.22%
U.S. Treasury Notes
3.63%		03/31/28		748,000		749,373
Total U.S. Treasury Securities
(Cost $3,079,093)						3,086,502
Total Bonds — 97.31%
(Cost $358,514,776)						321,525,210
Issues			Shares		Value
COMMON STOCK — 0.17%
Communications — 0.09%
Intelsat Emergence SA3,5,6
(Luxembourg)				11,030		286,780
Financials — 0.08%
AGNC Investment Corp.				25,500		257,040
Total Common Stock
(Cost $682,025)						543,820

See accompanying Notes to Financial Statements.

71 / Annual Report March 2023

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Shares		Value
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A†,3,5,6,10
(Luxembourg)		1,154	$	—
Intelsat Jackson Holdings SA, Series B†,3,5,6,10
(Luxembourg)		1,154		—
				—
Total Rights
(Cost $–)				—
WARRANT — 0.00%
Entertainment — 0.00%
Cineworld Group PLC3,10
(United Kingdom)		152,713		5,193
Total Warrant
(Cost $–)

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 23.04%
Money Market Funds — 4.45%
Dreyfus Government Cash Management Fund
4.71%12			19,000		19,000
Fidelity Investments Money Market Funds - Government Portfolio
4.72%12			31,128		31,128
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%12			14,666,500		14,666,500
					14,716,628
U.S. Treasury Bills — 18.59%
U.S. Treasury Bills
4.55%13	05/11/23	$	14,930,000		14,859,009
4.53%13	05/18/23		10,000,000		9,942,535
4.56%13	05/25/23		15,000,000		14,900,230
4.58%13	06/01/23		7,000,000		6,947,855
4.76%13	08/03/23		10,000,000		9,840,553
5.06%13	08/31/23		5,000,000		4,903,498
					61,393,680
Total Short-Term Investments
(Cost $76,096,286)					76,110,308
Total Investments - 120.52%
(Cost $435,293,087)					398,184,531
Net unrealized depreciation on unfunded commitments - 0.00%					(4,280	)
Liabilities in Excess of Other Assets - (20.52)%					(67,781,710	)
Net Assets - 100.00%				$	330,398,541

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

²  Floating rate security. The rate disclosed was in effect at March 31, 2023.

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 $4,199,434, which is 1.27% 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 $102,038, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

⁸  Perpetual security with no stated maturity date.

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

¹⁰  Non-income producing security.

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

¹²  Represents the current yield as of March 31, 2023.

¹³  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.

(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

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 72

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2023

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 4,609,165	EUR 4,266,000	Citibank N.A.		04/13/23	$	(29,007)
USD 355,095	EUR 332,000	Goldman Sachs International		04/13/23		(5,870)
USD 637,801	GBP 522,000	Goldman Sachs International		04/13/23		(7,800)
NET UNREALIZED DEPRECIATION					$	(42,677)

Description	Number of Contracts	Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note	1,178	06/30/23	$	129,000,204	$	2,555,132	$	2,555,132
U.S. Treasury Two-Year Note	109	06/30/23		22,503,391		255,592		255,592
				151,503,595		2,810,724		2,810,724
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond	313	06/21/23		(37,917,016)		(1,090,460)		(1,090,460)
U.S. Treasury Ultra Bond	87	06/21/23		(12,277,875)		(561,589)		(561,589)
Euro-Bund Future	10	06/08/23		(1,475,834)		(53,513)		(53,513)
Euro-Bobl Future	9	06/08/23		(1,152,637)		(13,901)		(13,901)
Euro-Buxl 30 Year	2	06/08/23		(306,075)		6,043		6,043
				(53,129,437)		(1,713,420)		(1,713,420)
TOTAL FUTURES CONTRACTS			$	98,374,158	$	1,097,304	$	1,097,304

See accompanying Notes to Financial Statements.

73 / Annual Report March 2023

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 94.65%
ASSET-BACKED SECURITIES — 0.33%**
AMMC CLO 18 Ltd.,
Series 2016-18A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.56%	05/26/311,2,3	$	1,165,000	$	1,127,837
Total Asset-Backed Securities
(Cost $1,122,464)
BANK LOANS — 90.74%*
Automotive — 0.52%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%	04/30/262		461,302		459,763
First Brands Group LLC,
Term Loan B, 1st Lien
(SOFR plus 5.00%)
10.25%	03/30/272		1,351,099		1,304,655
					1,764,418
Communications — 6.48%
Altice Financing SA,
Term Loan, 1st Lien
(SOFR plus 5.00%)
9.56%	10/29/272		750,000		745,313
Banijay Group U.S. Holding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.42%	03/01/252		476,226		473,052
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.74%	12/17/272		973,797		962,842
CenturyLink, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.36%)
7.17%	03/15/272		533,647		354,542
Ciena Corp.,
Term Loan, 1st Lien
(SOFR plus 2.50%)
7.19%	01/18/302		1,250,000		1,251,569
Consolidated Communications, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
8.38%	10/02/272		1,250,000		999,531
Coralus Co-Borrower LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
6.93%	01/31/282		1,250,000		1,214,288
CSC Holdings LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
7.18%	04/15/272		974,874		864,289
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.32%	01/17/282		713,148		662,336

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Communications (continued)
Cyxtera DC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
5.07%	05/01/242	$	497,361	$	406,802
Dawn Acquisition LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.48%	12/31/252		256,022		150,029
Diamond Sports Group, LLC,
Term Loan, 2nd Lien
(SOFR plus 3.40%)
8.03%	08/24/262		166,993		9,567
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.62%	05/01/282		230,706		219,747
Global Tel*Link Corp.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
9.08%	11/29/252		972,606		854,741
Gray Television, Inc.,
Term Loan D, 1st Lien
(LIBOR plus 3.00%)
7.66%	12/01/282		488,788		476,570
Intelsat Jackson Holdings SA,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 4.50%)
9.08%	02/01/292,3		1,947,658		1,931,425
MH Sub I LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%	09/13/242		1,303,677		1,284,734
NEP Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	10/17/252		246,875		231,033
NEP/NCP Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%	10/17/252		477,780		446,326
Term Loan, 2nd Lien
(LIBOR plus 7.00%)
11.84%	10/19/262		440,000		357,867
New Insight Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.50%)
10.31%	12/20/242		473,750		363,345
Numericable U.S. LLC,
Term Loan B14, 1st Lien
(SOFR plus 5.50%)
10.17%	08/16/282		1,500,000		1,429,016
Radiate Holdco LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
8.11%	09/25/262		249,369		205,072

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 74

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Communications (continued)
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.60%	04/11/252	$	1,496,073	$	1,497,091
Terrier Media Buyer, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.66%	12/17/262		507,438		451,112
United Talent Agency LLC,
Term Loan B, 1st Lien
(SOFR plus 2.25%)
8.90%	07/07/282		997,468		992,481
UPC Financing Partnership,
Term Loan AT, 1st Lien
(LIBOR plus 2.25%)
6.93%	04/28/282		250,000		244,688
Virgin Media Bristol LLC,
Term Loan Y, 1st Lien
(SOFR plus 3.35%)
8.11%	03/31/312		1,200,000		1,186,878
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	03/09/272		1,635,276		1,337,581
(SOFR plus 4.25%)
9.06%	03/09/272		495,000		394,020
					21,997,887
Consumer Discretionary — 4.40%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.38%)
8.11%	12/23/272		1,225,000		1,137,970
Arterra Wines Canada, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
8.44%	11/24/272		1,179,187		1,158,256
City Brewing Co. LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.32%	04/05/282		986,234		417,039
Hanesbrands, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.55%	03/08/302		605,000		603,488
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.09%	01/24/292,3		496,250		439,802
Term Loan, 2nd Lien
(SOFR plus 6.00%)
11.00%	01/24/302		2,100,000		1,609,996
New Trojan Parent, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
7.96% - 8.09%	01/06/282		1,473,750		1,009,526

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Osmosis Buyer Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.48%	07/31/282	$	2,136,553	$	2,068,461
Pegasus Bidco BV,
Term Loan B, 1st Lien
(SOFR plus 4.25%)
9.01%	07/12/292		997,500		985,445
Playa Hotels &Amp; Resorts B.V.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
8.99%	01/05/292		623,438		620,757
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.91%	10/01/262		2,205,000		2,187,261
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.23%	03/31/282		1,723,118		1,553,503
Waystar technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	10/22/262		947,572		945,946
Weber-Stephen Products LLC,
Term Loan B, 1st Lien
(SOFR plus 4.35%)
8.62%	10/30/272		208,861		181,230
					14,918,680
Electric — 1.81%
Calpine Corp.,
Term Loan, 1st Lien
(LIBOR plus 2.50%)
7.35%	12/16/272		997,449		994,492
CommScope, Inc.,
Term Loan B2, 1st Lien (France)
(LIBOR plus 3.25%)
8.09%	04/06/262,3		1,934,937		1,866,305
Edgewater Generation LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.65%	12/13/252		1,000,000		935,095
Endure Digital, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.22%	02/10/282		1,965,000		1,842,187
Pike Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.21%	01/21/282		497,500		496,878
					6,134,957

See accompanying Notes to Financial Statements.

75 / Annual Report March 2023

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Energy — 1.30%
Apro LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.76%	11/14/262	$	1,319,376	$	1,297,388
Calpine Corp.,
Term Loan B10, 1st Lien
(LIBOR plus 2.00%)
6.84%	08/12/262		186,957		186,073
EG America LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	02/07/252		745,430		715,322
Parkway Generation LLC,
Term Loan B, 1st Lien
(SOFR plus 5.15%)
9.90%	02/16/292		468,987		454,331
Term Loan C, 1st Lien
(SOFR plus 5.01%)
9.90%	02/16/292		70,697		68,459
TransMontaigne Operating Co. LP,
Term Loan B, 1st Lien
(LIBOR plus 4.43%)
8.13% - 8.34%	11/17/282		737,836		728,942
Traverse Midstream Partners LLC,
Term Loan B, 1st Lien
(SOFR plus 2.25%)
8.72%	02/16/282		486,328		479,641
Whitewater Whistler Holdings, LLC,
Term Loan, 1st Lien
(SOFR plus 3.85%)
8.66%	02/15/302		500,000		498,750
					4,428,906
Entertainment — 3.35%
Alpha Topco Ltd. - Delta 2 (Lux) Sarl,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.05%	01/15/302		2,750,000		2,754,593
AMC Entertainment Holdings, Inc.,
Term Loan B1, 1st Lien (France)
(LIBOR plus 3.00%)
7.68%	04/22/262,3		519,588		380,273
Crown Finance U.S., Inc.,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(SOFR plus 10.10%)
14.66% - 14.80%	09/07/232,3		2,745,527		2,788,892
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.41%	08/01/272		747,935		732,912
NAI Entertainment Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
7.35%	05/08/252		1,391,572		1,324,387

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Entertainment (continued)
SMG US Midco 2, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.50%)
7.33%	01/23/252	$	984,739	$	977,107
WildBrain Ltd.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.08%	03/24/282		1,470,000		1,406,305
WMG Acquisition Corp.,
Term Loan, 1st Lien
(SOFR plus 3.00%)
7.81%	01/20/282		1,000,000		995,250
					11,359,719
Finance — 3.58%
Auris Lux III SA,
Term Loan B2, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
8.68%	02/27/262,3		1,200,007		1,090,206
Camelot Finance SA,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	10/30/262		824,762		823,987
Cushman & Wakefield U.S. Borrower LLC,
Term Loan, 1st Lien
(SOFR plus 3.35%)
8.15%	01/31/302		425,422		411,596
DCG Acquisition Corp.,
Term Loan, 1st Lien
(SOFR plus 4.60%)
9.41%	09/30/262		690,400		671,414
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.46%	04/09/272		1,485,995		1,442,656
Term Loan, 2nd Lien
(LIBOR plus 6.75%)
8.65%	04/07/282		250,000		231,354
First Eagle Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
7.66%	02/01/272		635,683		618,602
Fiserv Investment Solutions, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.95%	02/18/272		987,310		950,286
Focus Financial Partners LLC,
Term Loan B5, 1st Lien
(SOFR plus 3.25%)
8.06%	06/30/282		497,500		493,699
Guggenheim Partners Investment Management Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
7.99%	12/12/292		748,125		745,694

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 76

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Finance (continued)
Hertz Corp. (The),
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
7.89%	06/30/282	$	1,245,299	$	1,239,465
Term Loan C, 1st Lien
(LIBOR plus 3.25%)
7.89%	06/30/282		238,871		237,752
Jane Street Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
7.59%	01/26/282		1,710,625		1,686,676
Mozart Borrower, LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%	10/23/282		1,532,645		1,496,368
					12,139,755
Food — 3.84%
8th Avenue Food & Provisions,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.59%	10/01/252		496,114		440,378
8th Avenue Food & Provisions, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
9.59%	10/01/252		492,500		440,583
Aramark Services, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
7.24%	04/06/282		1,000,000		998,595
Chobani LLC,
Term Loan B, 1st Lien
(SOFR plus 3.61%)
8.42%	10/25/272		723,820		719,296
Dessert Holdings, Inc.,
Term Loan, 1st Lien
(PRIME plus 3.25%)
9.16% - 11.25%	06/09/282		1,220,046		1,123,205
Flora Food Group,
Term Loan B2, 1st Lien
(SOFR plus 3.16%)
7.46%	07/02/252		1,929,423		1,852,786
Froneri U.S., Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 2.25%)
7.41%	01/29/272		896,417		885,812
H-Food Holdings LLC,
Term Loan, 1st Lien
(LIBOR plus 3.69%)
8.53%	05/23/252		248,047		214,037
Hostess Brands LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
7.08%	08/03/252		362,189		362,847

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Food (continued)
Matterhorn Merger Sub LLC,
Term Loan B2, 1st Lien
(LIBOR plus 4.00%)
8.84%	05/23/252	$	1,462,246	$	1,266,305
Shearer’s Foods LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	09/23/272		1,165,943		1,141,895
Snacking Investments Bidco,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.69%	12/18/262		1,225,458		1,218,816
Sovos Brands Intermediate, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.33%	06/08/282		1,536,207		1,526,606
Utz Quality Foods LLC,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
7.92%	01/20/282		859,378		857,165
					13,048,326
Gaming — 2.85%
Bally’s Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
7.96%	10/02/282		243,138		232,675
Caesars Entertainment, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.15%	02/06/302		450,000		448,499
Entain PLC,
Term Loan B2, 1st Lien
(SOFR plus 3.60%)
8.44%	10/31/292		399,000		399,936
Flutter Entertainment PLC,
Term Loan B, 1st Lien
(SOFR plus 3.51%)
8.41%	07/22/282		995,000		996,343
Golden Nugget, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.81%	01/26/292		1,473,803		1,454,379
GVC Holdings Gibraltar Ltd.,
Term Loan B4, 1st Lien
(SOFR plus 2.60%)
7.44%	03/29/272		1,719,375		1,718,300
J&J Ventures Gaming LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
9.16%	04/26/282		1,492,399		1,449,806
PCI Gaming Authority,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
7.33%	05/29/262		1,250,000		1,250,263

See accompanying Notes to Financial Statements.

77 / Annual Report March 2023

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Gaming (continued)
Penn National Gaming, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
7.66%	05/03/292	$	992,500	$	991,696
Scientific Games Holdings LP,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.10%	04/04/292		497,739		491,635
Stars Group Holdings BV,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
7.07%	07/21/262		235,649		235,810
					9,669,342
Health Care — 12.65%
ADMI Corp.,
Term Loan B, 1st Lien (France)
(LIBOR plus 3.00%)
7.74%	04/30/252,3		952,638		918,500
Bausch & Lomb Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.36%	05/10/272		3,031,112		2,951,121
Bella Holding Co. LLC,
Term Loan, 1st Lien
(SOFR plus 3.75%)
8.56%	05/10/282		985,000		951,835
Cano Health, LLC,
Term Loan, 1st Lien
(SOFR plus 4.00%)
8.81%	11/23/272		1,992,673		1,504,468
Carestream Dental, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.34%	09/01/242		1,564,013		1,452,968
CCS-CMGC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.50%)
10.32%	10/01/252		478,750		325,292
Certara Holdco, Inc.,
Term Loan B, 1st Lien (France)
(LIBOR plus 3.50%)
8.34%	08/15/262,3		1,965,000		1,947,806
Charlotte Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.25%)
10.10%	02/11/282		947,625		907,948
Curia Global, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
8.53%	08/28/262		2,164,220		1,855,148
CVET Midco 2 LP,
Term Loan, 1st Lien
(SOFR plus 5.00%)
9.90%	10/13/292		1,300,000		1,231,750

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
Dermatology Intermediate Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 4.25%)
8.93%	04/02/292,4	$	273,277	$	268,324
eResearchTechnology, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.34%	02/04/272		1,742,837		1,649,169
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
6.74%	11/15/272		925,556		908,396
Heartland Dental LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%	04/30/252		717,403		672,691
Horizon Therapeutics USA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 2.00%)
7.06%	05/22/262		1,500,000		1,500,285
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	05/05/282		1,821,309		1,816,564
LSCS Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.34%	12/16/282		923,163		890,081
National Seating & Mobility,
Term Loan, 1st Lien
(SOFR plus 5.25%)
10.16%	11/16/262		1,947,245		1,821,648
NMN Holdings III Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%	11/13/252		1,188,891		1,017,988
Option Care Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
7.49%	10/27/282		1,975,000		1,970,063
Organon & Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.75%	06/02/282		1,301,675		1,302,756
Pacific Dental Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.28%	05/05/282		982,500		978,511
Pathway Vet Alliance LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%	03/31/272		937,129		825,452
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%	02/01/282		2,155,929		2,133,475

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 78

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
Perrigo Investments LLC,
Term Loan B, 1st Lien
(SOFR plus 2.35%)
7.15%	04/20/292	$	1,985,000	$	1,975,075
PetVet Care Centers LLC,
Term Loan B3, 1st Lien (Luxembourg)
(LIBOR plus 3.50%)
8.24%	02/14/252,3		706,948		684,325
Phoenix Newco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
7.88%	11/15/282		1,976,259		1,956,872
Pluto Acquisition I, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.95%	06/22/262		484,982		346,357
Premise Health Holding Corp.,
Term Loan, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
8.91%	07/10/252,3		2,094,012		2,010,252
Prestige Brands, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.00%)
6.86%	07/03/282		1,551,136		1,548,879
Resonetics LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
9.10%	04/28/282		1,724,984		1,659,435
Sharp Midco LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
9.16%	12/31/282		984,389		969,623
					42,953,057
Industrial REITs — 0.33%
Avison Young Canada, Inc.,
Term Loan, 1st Lien
(SOFR plus 5.75%)
10.61%	01/31/262		1,476,864		1,104,576
Industrials — 13.11%
Alliance Laundry Systems, LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.31%	10/08/272		1,480,853		1,470,672
Anchor Packaging LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
8.74%	07/18/262		207,767		202,918
Arterrsa Services LLC,
Term Loan, 1st Lien (Luxembourg)
(LIBOR plus 3.50%)
8.44%	03/06/252,3		1,473,750		1,255,849
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.94%	10/16/282		1,734,106		1,453,762

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Industrials (continued)
AZZ, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.35%)
8.91% - 9.33%	05/14/292	$	1,609,511	$	1,611,185
BCPE Empire Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
8.84%	06/11/262		492,516		484,305
Charter Next generation, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.75%)
8.67%	12/01/272		1,243,655		1,230,348
Compass Power Generation LLC,
Term Loan B, 1st Lien
(SOFR plus 4.36%)
9.08%	04/14/292		898,096		896,133
Conserve Merger Sub, Inc.,
Term Loan, 1st Lien (France)
(LIBOR plus 3.50%)
8.31%	08/08/252,3		1,910,000		1,867,025
Convergint Technologies,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.38% - 8.56%	03/31/282		491,266		478,201
Dermatology Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
8.93%	04/02/292		1,505,161		1,477,880
DG Investment Intermediate Holdings 2, Inc.,
Term Loan, 2nd Lien
(LIBOR plus 6.75%)
11.59%	03/30/292		250,000		221,199
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
9.84%	08/02/272		1,017,088		981,144
DTI Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.75%)
9.43%	04/26/292		1,990,000		1,853,436
Eagle 4 Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.41%	07/12/282		493,616		489,482
Energizer Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.36%)
7.12%	12/22/272		426,740		424,340
Engineered Machinery Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
8.66%	05/19/282		485,035		479,275
Gates Global LLC,
Term Loan B4, 1st Lien
(SOFR plus 3.50%)
8.31%	11/16/292		497,500		497,075

See accompanying Notes to Financial Statements.

79 / Annual Report March 2023

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Industrials (continued)
Golden Entertainment, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.86%	10/21/242	$	1,078,125	$	1,078,125
Hyland Software, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
8.34%	07/01/242		1,141,184		1,130,719
II-VI, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
7.38% - 7.67%	07/02/292		477,857		474,273
KAMC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
8.95%	08/14/262,5,6		723,750		620,616
Mauser Packaging Solutions Holding Co.,
Term Loan, 1st Lien
(SOFR plus 4.00%)
8.78%	08/15/262		500,000		496,875
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(LIBOR plus 4.25%)
9.41%	04/15/282		1,231,865		1,134,160
Momentive Performance Materials USA LLC,
Term Loan, 1st Lien
(SOFR plus 3.25%)
9.31%	03/29/282		525,000		515,812
NMN Holdings III Corp.,
Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%	11/13/252		255,123		218,449
Osmose Utilities Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
7.88%	06/23/282		984,981		947,552
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.47%	03/20/252		1,998,938		1,849,018
Peacock Merger Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
9.06%	12/29/282		483,775		432,171
Plaze, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%	08/03/262		488,750		450,466
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.50%)
8.24%	08/03/262,3		1,746,752		1,609,929
Proampac PG Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
7.96% - 10.75%	11/03/252		1,401,272		1,373,947

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Industrials (continued)
Project Castle, Inc.,
Term Loan B, 1st Lien
(PRIME plus 4.50%)
10.40% - 12.50%	06/01/292	$	746,250	$	638,977
Protective Industrial Products, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	12/29/272		1,761,720		1,638,400
Refficiency Holdings LLC,
Term Loan, 1st Lien
(SOFR plus 3.75%)
8.56%	12/16/272		1,819,348		1,794,331
Spirit Aerosystems, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.18%	01/15/272		995,000		995,497
SPX FLOW, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.60%)
9.41% - 9.58%	04/05/292		871,413		833,838
Standard Industries, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
7.12%	09/22/282		493,082		491,265
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	05/30/242		2,397,578		1,822,160
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 3.25%)
8.15%	08/24/282		1,250,000		1,248,125
TricorBraun Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
7.99%	03/03/282		471,722		461,698
Vantage Elevator Solutions,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.53%	11/19/282		1,976,259		1,700,818
Wrench Group LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
9.16%	04/30/262		1,715,474		1,674,731
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
9.16%	08/12/242		1,717,420		1,487,406
					44,493,587
Information Technology — 15.80%
AppLovin Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.16%	08/15/252		1,343,894		1,342,630

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 80

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Arches Buyer, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.25%)
8.06%	12/06/272	$	997,449	$	942,275
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.25%	02/15/292,3,7		1,769,601		1,661,213
Azalea Topco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
8.47%	07/24/262		495,000		465,300
Barracuda Parent LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.18%	08/15/292		132,218		127,632
Bifm CA Buyer, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
8.31%	06/01/262		980,155		963,620
Castle U.S. Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.59%	01/29/272		975,000		644,026
Central Parent, Inc.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.25%)
9.14% - 9.18%	07/06/292,3		1,645,875		1,643,349
CHG Healthcare Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.09%	09/29/282		738,750		732,748
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
9.09%	12/16/252		1,608,811		1,538,048
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.66%	08/14/252		2,673,382		2,303,639
Electron Bidco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
7.84%	11/01/282		990,000		977,259
Emerald Topco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	07/24/262		1,461,042		1,368,360
Ensemble RCM LLC,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
8.53%	08/03/262		973,532		973,776
Entegris, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
7.37% - 7.64%	07/06/292		1,000,000		990,000

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
EQT Box Merger Sub, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.29% - 8.31%	04/17/282	$	1,485,594	$	1,428,955
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.86%	10/01/272		1,469,925		1,407,453
Imperva, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.86%	01/12/262		733,893		646,193
ION Analytics,
Term Loan, 1st Lien
(SOFR plus 4.15%)
8.89%	02/16/282		677,083		655,643
IQVIA, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
6.59%	06/11/252		500,000		500,352
Logmein, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
9.38%	08/31/272		1,458,713		840,780
Magenta Buyer LLC,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
9.58%	07/27/282		975,000		807,510
Magenta Buyer, LLC,
Term Loan, 2nd Lien
(LIBOR plus 8.25%)
13.08%	07/27/292		446,493		336,359
Magnite, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
9.86%	04/28/282		124,683		120,007
Match Group, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
6.71%	02/13/272		1,000,000		996,250
MeridianLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
8.15%	11/10/282		490,031		477,577
Mitnick Corporate Purchaser, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.85%)
9.53%	05/02/292		992,506		937,918
Monotype Imaging Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 5.00%)
9.84%	10/09/262		1,477,500		1,462,725
NCR Corp.,
Term Loan, 1st Lien
(LIBOR plus 2.50%)
7.33%	08/28/262		1,975,165		1,952,115

See accompanying Notes to Financial Statements.

81 / Annual Report March 2023

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Northwest Fiber LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
8.62%	04/30/272	$	432,395	$	419,966
Nouryon USA LLC,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
9.75%	10/01/252		734,142		729,881
Open Text Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.30%	08/24/292		997,500		996,148
Pactiv Evergreen Group Holdings, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 3.25%)
8.00%	09/22/282		1,723,750		1,702,919
Panther Purchaser LP,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
9.08%	01/07/282		975,019		909,205
Playtika Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
7.49%	03/13/282		987,406		982,291
Precision Medicine Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
8.16%	11/18/272		1,435,176		1,386,739
Pretium Packaging Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
8.79% - 9.01%	10/02/282		1,730,606		1,390,975
Project Alpha Intermediate Holding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.74%	04/26/242		924,614		920,375
Project Boost Purchaser, LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.24%	06/01/262		1,480,818		1,462,775
Proofpoint, Inc.,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 3.25%)
7.99%	08/31/282,3		935,120		916,156
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	04/24/282		1,971,234		1,916,700
Renaissance Holding Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.22%	03/14/302		1,122,055		1,093,213
Renaissance Learning, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.23%	04/01/272		991,256		988,986

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Skillsoft Finance II, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.36%)
10.10%	07/14/282	$	673,102	$	571,632
Sophia LP,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.66%	10/07/272		909,130		900,043
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.99%	03/03/282		1,960,000		1,653,397
Sunshine Software Merger Sub, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.59%	10/16/282		735,649		681,394
TIBCO Software, Inc.,
Term Loan A, 1st Lien
(SOFR plus 4.60%)
9.50%	09/29/282		315,000		285,581
TierPoint LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.59%	05/05/262		249,339		238,742
Uber Technologies, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
7.87%	03/03/302		995,326		994,470
Veeam Software,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
10.00%	02/28/272		221,644		219,889
VT Topco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
8.34%	08/01/252		1,681,076		1,662,164
Zoominfo LLC,
Term Loan, 1st Lien
(SOFR plus 2.85%)
7.66%	02/28/302		498,750		499,166
Zotec Partners LLC,
Term Loan B, 1st Lien (France)
(LIBOR plus 3.75%)
8.91%	02/14/242,3		929,953		863,694
					53,630,213
Insurance — 1.99%
Acrisure LLC,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
8.24%	02/15/272		1,440,794		1,398,169
AssuredPartners, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.50%)
8.21%	02/12/272		1,238,120		1,227,287

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 82

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Insurance (continued)
Asurion LLC,
Term Loan B10, 1st Lien
(SOFR plus 4.10%)
8.91%	08/19/282	$	951,378	$	880,624
Term Loan B9, 1st Lien
(LIBOR plus 3.25%)
7.99%	07/31/272		1,728,016		1,589,775
Asurion, LLC,
Term Loan B4, 2nd Lien
(LIBOR plus 5.25%)
10.00%	01/20/292		250,000		207,625
Howden Group Holdings Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.13%	11/12/272		219,887		217,885
HUB International Ltd.,
Term Loan, 1st Lien
(SOFR plus 4.00%)
8.73%	11/10/292		1,246,875		1,244,774
					6,766,139
Materials — 2.98%
American Rock Salt Co. LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.73%	06/09/282		734,394		709,608
Archroma Finance Sarl,
Term Loan B, 1st Lien
(SOFR plus 5.25%)
10.33%	01/01/402		500,000		472,500
Avient Corp.,
Term Loan B6, 1st Lien
(SOFR plus 3.25%)
7.93%	08/29/292		509,556		511,148
Geon Performance Solutions, LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
9.44%	08/18/282		683,266		674,441
Herens U.S. Holdco Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
9.16%	07/03/282		772,000		718,998
LSF11 A5 HoldCo LLC,
Term Loan B, 1st Lien
(SOFR plus 3.61%)
8.42%	10/15/282		1,485,000		1,442,314
Lummus Technology Holdings V LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	06/30/272		296,389		291,805
Nouryon Finance BV,
Term Loan, 1st Lien
(SOFR plus 4.00%)
8.79%	03/03/282		350,000		349,563

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Materials (continued)
Plaskolite PPC Intermediate II LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
8.83%	12/15/252	$	1,453,998	$	1,299,205
Polar U.S. Borrower LLC,
Term Loan, 1st Lien
(SOFR plus 4.75%)
9.02%	10/15/252		1,524,790		1,276,188
Potters Borrower LP,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
8.94%	12/14/272		1,463,704		1,456,385
TMS International Corp.,
Term Loan B4, 1st Lien
(SOFR plus 4.75%)
9.55%	03/07/302		400,000		390,750
U.S. Renal Care, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
9.69%	06/26/262		764,584		522,784
					10,115,689
Office REITs — 0.34%
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.12%	02/17/282		1,167,172		1,158,418
Retail — 4.73%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
9.56%	04/20/282		2,750,000		2,796,599
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
6.59%	11/19/262,3		498,711		494,764
BCPE Empire Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
8.84%	06/11/262		458,954		452,393
BW Gas & Convenience Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	03/31/282		1,228,125		1,203,562
Curium Bidco SARL,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
9.41%	12/02/272		1,472,625		1,432,128
Term Loan B, 1st Lien (Canada)
(LIBOR plus 3.99%)
9.15% -9.16%	07/09/262,3		974,748		950,379
Dave & Buster’s, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.00%)
9.94%	06/29/292		1,741,873		1,744,530

See accompanying Notes to Financial Statements.

83 / Annual Report March 2023

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Retail (continued)
IRB Holding Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.10%)
7.69%	12/15/272	$	497,481	$	489,984
KFC Holding Co.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.51%	03/15/282		1,494,917		1,490,560
MIC Glen LLC,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
8.34%	07/21/282		718,278		697,717
SRS Distribution, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.15%	06/02/282		88,750		85,932
Tacala Investment Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	02/05/272		1,166,352		1,147,883
Term Loan B, 2nd Lien
(LIBOR plus 7.50%)
12.34%	02/04/282		735,000		673,907
Whatabrands LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%	08/03/282		1,478,769		1,465,423
Woof Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.53%	12/21/272		984,893		945,497
					16,071,258
Services — 8.69%
Allied Universal Holdco LLC,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
8.56%	05/12/282		583,799		555,289
Amentum Government Services Holdings, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.82% - 9.03%	02/15/292		1,731,888		1,697,250
ArchKey Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.25%)
10.08% - 10.09%	06/29/282		243,133		236,447
Arcis Golf LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
8.99%	11/24/282		990,000		987,525
CCRR Parent, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.60%	03/06/282		498,728		483,142

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Services (continued)
CH Gunther PPC Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.88%	12/08/282	$	990,000	$	981,338
Confluent Medical Technologies, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.75%)
8.49%	02/16/292		738,759		719,060
CoreLogic, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.38%	06/02/282		720,047		616,415
Corp. Service Co.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.16%	11/02/292		1,603,813		1,603,067
Covanta Holding Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.50%)
7.12%	11/30/282		921,010		918,321
Term Loan C, 1st Lien
(SOFR plus 2.50%)
7.31%	11/30/282		69,686		69,483
Creative Artists Agency, LLC,
Term Loan, 1st Lien
(SOFR plus 3.50%)
8.31%	11/27/282		1,000,000		998,230
Dodge Data & Analytics, LLC,
Term Loan, 1st Lien
(SOFR plus 4.75%)
9.79%	02/23/292		992,500		840,315
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%	06/22/292		582,750		577,287
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%	06/22/292		1,262,625		1,250,788
Filtration Group Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.52%	10/21/282		496,222		490,225
Hornblower Sub LLC (American Queen Sub LLC),
Term Loan, 1st Lien
(LIBOR plus 8.13%)
13.26%	11/10/252		554,681		554,681
Indy U.S. Holdco LLC,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
11.08%	03/05/282		336,770		293,621
Iridium Satellite LLC,
Term Loan B2, 1st Lien
(SOFR plus 2.50%)
7.41%	11/04/262		650,011		650,417

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 84

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Services (continued)
Lakeland Holdings LLC,
Term Loan, 1st Lien
(LIBOR plus 8.00%)
13.25%	09/25/272,5,6,8	$	634,811	$	422,149
Lakeland Tours LLC,
Term Loan, 1st Lien
(EURIBOR plus 6.00%)
10.83%	09/25/252,5,6,9		743,744		661,932
Madison IAQ LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.30%	06/21/282		248,106		236,724
Mavenir Systems, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
9.65%	08/18/282		643,500		452,863
NAB Holdings, LLC,
Term Loan B, 1st Lien
(SOFR plus 3.15%)
7.89%	11/23/282		733,144		723,672
Neptune Bidco U.S., Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.10%)
9.74%	04/11/292		500,000		451,250
Nielsen Consumer, Inc.,
Term Loan, 1st Lien
(SOFR plus 6.25%)
11.06%	03/06/282		163,230		142,316
PowerTeam Services LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.19%	03/06/252		146,561		124,913
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%	12/15/282		1,726,889		1,702,246
Safe Fleet Holdings, LLC,
Term Loan, 1st Lien
(SOFR plus 3.85%)
8.61%	02/23/292		1,732,500		1,701,454
Technimark Holdings LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.53%	07/07/282		215,805		207,712
Trans Union LLC,
Term Loan B6, 1st Lien (Luxembourg)
(LIBOR plus 2.25%)
6.99%	12/01/282,3		1,675,438		1,665,662
Trugreen LP,
Term Loan B, 2nd Lien
(LIBOR plus 8.50%)
13.18%	11/02/282,5		500,000		337,500
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	11/02/272		1,977,247		1,830,812

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Services (continued)
University Support Services, LLC,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.16%	02/10/292	$	1,824,672	$	1,800,495
Vaco Holdings, LLC,
Term Loan B, 1st Lien
(SOFR plus 5.00%)
9.89%	01/19/292		982,538		969,028
Verscend Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	08/27/252		982,416		982,725
WW International, Inc.,
Term Loan B, 1st Lien (France)
(LIBOR plus 3.50%)
8.35%	04/13/282,3		945,000		551,644
					29,487,998
Transportation — 1.99%
Air Canada,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.37%	08/11/282		496,250		496,096
Delta Air Lines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.56%	10/20/272		902,500		936,800
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
12.09%	09/01/272		2,350,000		2,196,275
Kestrel Bidco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.10%)
7.86%	12/11/262		1,472,273		1,414,825
United Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.56%	04/21/282		1,715,000		1,706,639
					6,750,635
Total Bank Loans
(Cost $321,280,755)					307,993,560
CORPORATES — 3.58%*
Automobile Components — 0.28%
Allison Transmission, Inc.
3.75%	01/30/311		550,000		470,442
Ford Motor Credit Co. LLC
3.37%	11/17/23		500,000		491,250
					961,692
Banking — 0.50%
Bank of America Corp.
3.42%	12/20/2810		500,000		465,225

See accompanying Notes to Financial Statements.

85 / Annual Report March 2023

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of New York Mellon Corp. (The)
(MTN)
3.44%	02/07/2810	$	500,000	$	479,134
Credit Suisse Group AG
(Switzerland)
2.59%	09/11/251,3,10		800,000		743,488
					1,687,847
Communications — 0.60%
Consolidated Communications, Inc.
6.50%	10/01/281		300,000		218,190
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/261,11,12		1,000,000		56,250
Frontier Communications Holdings LLC
5.00%	05/01/281		500,000		434,537
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
8.50%	10/15/24†,1,3,5,6,11,12		1,000,000		—
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%	04/30/271		500,000		427,500
T-Mobile USA, Inc.
3.75%	04/15/27		500,000		480,941
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%	07/15/311,3		500,000		431,110
					2,048,528
Consumer Discretionary — 0.23%
BAT Capital Corp.
2.73%	03/25/31		400,000		324,725
WarnerMedia Holdings, Inc.
4.28%	03/15/321		500,000		446,440
					771,165
Diversified REITs — 0.13%
GLP Capital LP/GLP Financing II, Inc.
4.00%	01/15/30		500,000		444,615
Electric — 0.13%
Pike Corp.
5.50%	09/01/281		500,000		438,030
Entertainment — 0.13%
WMG Acquisition Corp.
3.88%	07/15/301		500,000		437,500
Finance — 0.28%
Intercontinental Exchange, Inc.
4.00%	09/15/27		500,000		495,229
JPMorgan Chase & Co.
2.95%	02/24/2810		500,000		464,646
					959,875
Food — 0.06%
Pilgrim’s Pride Corp.
3.50%	03/01/32		250,000		201,911

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care — 0.44%
Grifols Escrow Issuer SA
(Spain)
4.75%	10/15/281,3	$	50,000	$	41,053
HCA, Inc.
5.25%	06/15/26		500,000		500,827
Medline Borrower LP
3.88%	04/01/291		500,000		436,250
Molina Healthcare, Inc.
3.88%	05/15/321		500,000		425,293
Prime Healthcare Services, Inc.
7.25%	11/01/251		100,000		89,000
					1,492,423
Industrials — 0.22%
Ball Corp.
3.13%	09/15/31		500,000		414,352
OT Merger Corp.
7.88%	10/15/291		500,000		301,164
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%	04/15/261,3		50,000		42,000
					757,516
Information Technology — 0.19%
Central Parent, Inc./CDK Global, Inc.
7.25%	06/15/291		250,000		245,945
NCR Corp.
5.13%	04/15/291		50,000		43,451
Oracle Corp.
2.95%	04/01/30		380,000		335,662
					625,058
Retail — 0.18%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
3.50%	02/15/291,3		500,000		448,770
Michaels Cos., Inc. (The)
7.88%	05/01/291		250,000		175,236
					624,006
Services — 0.21%
GFL Environmental, Inc.
(Canada)
3.50%	09/01/281,3		250,000		226,643
4.75%	06/15/291,3		500,000		465,310
					691,953
Total Corporates
(Cost $12,976,461)					12,142,119
Total Bonds — 94.65%
(Cost $335,379,680)					321,263,516

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 86

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues			Shares		Value
COMMON STOCK — 0.08%
Communications — 0.08%
Intelsat Emergence SA3,5,6
(Luxembourg)				9,662	$	251,212
Total Common Stock
(Cost $323,677)
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A†,3,5,6,11
(Luxembourg)				1,011		—
Intelsat Jackson Holdings SA, Series B†,3,5,6,11
(Luxembourg)				1,011		—
						—
Total Rights
(Cost $–)						—
WARRANT — 0.00%
Entertainment — 0.00%
Cineworld Group PLC3,11
(United Kingdom)				229,579		7,806
Total Warrant
(Cost $–)
Issues	Maturity     Date		Principal     Amount/Shares		Value
SHORT-TERM INVESTMENTS — 4.01%
Money Market Funds — 0.81%
Fidelity Investments Money Market Funds -Government Portfolio
4.72%13				2,565,430		2,565,430
Morgan Stanley Institutional Liquidity Funds -Government Portfolio
4.73%13				194,000		194,000
						2,759,430
U.S. Treasury Bills — 3.20%
U.S. Treasury Bills
4.50%14		05/11/23	$	5,915,000		5,886,875
4.56%14		05/25/23		5,000,000		4,966,743
						10,853,618
Total Short-Term Investments
(Cost $13,611,826)						13,613,048
Total Investments - 98.74%
(Cost $349,315,183)						335,135,582
Net unrealized depreciation on unfunded commitments - 0.00%						(12,328	)
Cash and Other Assets, Less Liabilities - 1.26%						4,295,122
Net Assets - 100.00%					$	339,418,376

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

²  Floating rate security. The rate disclosed was in effect at March 31, 2023.

³  Foreign denominated security issued by foreign domiciled entity.

⁴ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $10,003, at an interest rate of 8.93% and a maturity of April 02, 2029. The investment is not accruing an unused commitment fee.

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 $1,955,909, which is 0.58% 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 $204,076, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

⁸  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 8.00% cash or 13.25% payment-in-kind interest.

⁹ Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 10.83% cash or 12.83% payment-in-kind interest.

¹⁰ 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.

¹¹  Non-income producing security.

¹²  Security is currently in default with regard to scheduled interest or principal payments.

¹³  Represents the current yield as of March 31, 2023.

¹⁴  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.

(CLO): Collateralized Loan Obligation

(EURIBOR): Euro InterBank Offer Rate

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

See accompanying Notes to Financial Statements.

87 / Annual Report March 2023

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
BONDS – 92.90%
BANK LOANS — 9.25%*
Communications — 0.44%
NEP/NCP Holdco, Inc.,
Term Loan, 2nd Lien
(LIBOR plus 7.00%)
11.84%	10/19/261	$	875,000	$	711,668
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	03/09/271		1,800,000		1,472,319
					2,183,987
Consumer Discretionary — 1.11%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.38%)
8.11%	12/23/271		1,886,500		1,752,473
City Brewing Co. LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.32%	04/05/281		1,189,481		502,984
Hanesbrands, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.55%	03/08/301		800,000		798,000
Naked Juice, LLC,
Term Loan, 2nd Lien
(SOFR plus 6.00%)
11.00%	01/24/301		2,241,000		1,720,614
New Trojan Parent, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
7.96% -8.09%	01/06/281		1,090,725		747,152
					5,521,223
Entertainment — 1.32%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.50%)
9.50%	02/28/251		2,261,537		356,904
Crown Finance U.S., Inc.,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(SOFR plus 10.10%)
14.66% - 14.80%	09/07/231,2		2,704,622		2,747,342
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.41%	08/01/271		3,489,874		3,419,780
					6,524,026
Finance — 0.20%
Auris Lux III SA,
Term Loan B2, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
8.68%	02/27/261,2		1,062,993		965,729

Issues	Maturity   Date	Principal   Amount		Value
BANK LOANS (continued)
Health Care — 0.16%
eResearchTechnology, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.34%	02/04/271	$	850,327	$	804,626
Health Care REITs — 0.23%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.70%	07/17/281		1,347,145		1,150,361
Industrials — 2.43%
Clydesdale Acquisition Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.18%)
9.08%	04/13/291		2,183,500		2,137,374
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
9.84%	08/02/271		640,100		617,479
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.47%	03/20/251		738,058		682,703
Plaze, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%	08/03/261		2,278,100		2,099,657
Proampac PG Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
7.96% - 8.65%	11/03/251		2,567,797		2,517,724
SPX FLOW, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.60%)
9.41% - 9.58%	04/05/291		429,171		410,665
Titan Acquisition, Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
8.15%	03/28/251		904,071		859,812
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	05/30/241		1,594,096		1,211,513
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
9.16%	08/12/241		1,720,347		1,489,941
					12,026,868
Information Technology — 1.60%
Central Parent, Inc.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.25%)
9.14% - 9.18%	07/06/291,2		1,241,888		1,239,981

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 88

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2023

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%)
9.09%	12/16/251	$	1,029,000	$	983,739
Logmein, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
9.38%	08/31/271		1,189,957		685,873
Open Text Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.30%	08/24/291		1,836,398		1,833,909
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.99%	03/03/281		2,695,000		2,273,421
TierPoint LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.59%	05/05/261		934,016		894,321
					7,911,244
Materials — 0.33%
Iris Holding, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.75%)
9.53%	06/28/281		910,425		786,097
Polar U.S. Borrower LLC,
Term Loan, 1st Lien
(SOFR plus 4.75%)
9.02%	10/15/251		1,000,000		836,960
					1,623,057
Retail — 0.32%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
9.56%	04/20/281		430,000		437,286
Tacala Investment Corp.,
Term Loan B, 2nd Lien
(LIBOR plus 7.50%)
12.34%	02/04/281		1,249,500		1,145,642
					1,582,928
Services — 0.36%
Hornblower Sub LLC (American Queen Sub LLC),
Term Loan, 1st Lien
(LIBOR plus 8.13%)
13.26%	11/10/251		554,681		554,681
Neptune Bidco U.S., Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.10%)
9.74%	04/11/291		1,335,000		1,204,838
					1,759,519

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Transportation — 0.75%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
12.09%	09/01/271	$	4,000,000	$	3,738,340
Total Bank Loans
(Cost $49,822,012)					45,791,908
CORPORATES — 83.65%*
Automobile Components — 0.70%
Allison Transmission, Inc.
3.75%	01/30/313		1,665,000		1,424,158
Ford Motor Credit Co. LLC
2.90%	02/16/28		300,000		257,583
3.37%	11/17/23		1,836,000		1,803,870
					3,485,611
Banking — 2.70%
Bank of America Corp.,
Series RR
4.38%4,5			2,040,000		1,741,880
Bank of New York Mellon Corp. (The),
Series I
3.75%4,5			2,515,000		2,095,613
Credit Suisse Group AG
(Switzerland)
6.37%	07/15/262,3,5		710,000		692,431
6.54%	08/12/332,3,5		3,520,000		3,608,000
7.50%2,3,4			1,095,000		46,538
9.02%	11/15/332,3,5		2,070,000		2,463,300
U.S. Bancorp
3.70%4,5			3,515,000		2,744,309
					13,392,071
Communications — 14.88%
Altice France SA
(France)
5.13%	01/15/292,3		1,628,000		1,248,513
5.50%	10/15/292,3		4,679,000		3,597,042
8.13%	02/01/272,3		2,414,000		2,238,985
Cable One, Inc.
4.00%	11/15/303		7,101,000		5,822,820
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%	08/15/303		850,000		717,441
4.75%	03/01/303		1,050,000		910,875
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.50%	05/01/32		1,205,000		988,100
4.50%	06/01/333		5,650,000		4,512,824
Cogent Communications Group, Inc.
7.00%	06/15/273		1,750,000		1,737,091
CommScope, Inc.
4.75%	09/01/293		3,850,000		3,236,887
Consolidated Communications, Inc.
6.50%	10/01/283		1,553,000		1,129,495
CSC Holdings LLC
4.63%	12/01/303		900,000		447,750

See accompanying Notes to Financial Statements.

89 / Annual Report March 2023

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
6.50%	02/01/293	$	6,629,000	$	5,511,467
7.50%	04/01/283		4,075,000		2,601,480
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/263,6,7		4,581,000		257,681
DISH DBS Corp.
5.25%	12/01/263		3,105,000		2,483,286
7.38%	07/01/28		2,552,000		1,457,337
DISH Network Corp.
11.75%	11/15/273		1,045,000		1,005,812
Frontier Communications Holdings LLC
5.00%	05/01/283		1,763,000		1,532,177
6.75%	05/01/293		1,650,000		1,309,225
8.63%	03/15/313		1,450,000		1,420,984
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%	10/07/302		975,000		870,850
Gray Escrow II, Inc.
5.38%	11/15/313		3,546,000		2,334,894
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/302,3		3,664,000		3,373,523
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
5.50%	08/01/23†,2,6,7,8,9		6,350,000		—
8.50%	10/15/24†,2,3,6,7,8,9		2,853,000		—
9.75%	07/15/25†,2,3,6,7,8,9		4,051,000		—
Level 3 Financing, Inc.
3.63%	01/15/293		1,213,000		670,934
4.25%	07/01/283		1,375,000		777,356
10.50%	05/15/303		3,190,000		3,050,438
National CineMedia LLC
5.75%	08/15/26		2,251,000		54,272
Netflix, Inc.
4.63%	05/15/29		900,000		999,553
Nexstar Media, Inc.
4.75%	11/01/283		1,534,000		1,365,148
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%	04/30/273		1,725,000		1,474,875
Scripps Escrow II, Inc.
5.38%	01/15/313		1,758,000		1,213,020
Scripps Escrow, Inc.
5.88%	07/15/273		650,000		485,264
SES GLOBAL Americas Holdings, Inc.
5.30%	03/25/443		1,680,000		1,323,198
Sinclair Television Group, Inc.
4.13%	12/01/303		1,565,000		1,263,659
Sirius XM Radio, Inc.
3.88%	09/01/313		4,164,000		3,241,612
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%	07/15/312,3		2,050,000		1,767,551
VZ Secured Financing BV
(Netherlands)
5.00%	01/15/322,3		2,576,000		2,104,270

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
VZ Secured Financing BV,
Series REGS
(Netherlands)
3.50%	01/15/322	$	1,260,000	$	1,095,851
Zayo Group Holdings, Inc.
4.00%	03/01/273		2,683,000		2,041,495
					73,675,035
Consumer Discretionary — 3.87%
BAT Capital Corp.
5.28%	04/02/50		1,763,000		1,451,033
Everi Holdings, Inc.
5.00%	07/15/293		1,723,000		1,550,700
Hilton Domestic Operating Co., Inc.
3.63%	02/15/323		2,595,000		2,191,867
Primo Water Holdings, Inc.
4.38%	04/30/293		2,942,000		2,570,678
Triton Water Holdings, Inc.
6.25%	04/01/293		4,722,000		3,758,523
WarnerMedia Holdings, Inc.
5.14%	03/15/523		5,935,000		4,821,950
Wyndham Hotels & Resorts, Inc.
4.38%	08/15/283		3,054,000		2,817,510
					19,162,261
Consumer Products — 1.12%
Newell Brands, Inc.
4.88%	06/01/25		3,865,000		3,800,068
6.00%	04/01/46		1,560,000		1,276,907
Spectrum Brands, Inc.
5.00%	10/01/293		550,000		482,625
					5,559,600
Diversified REITs — 2.58%
American Assets Trust LP
3.38%	02/01/31		3,431,000		2,758,064
GLP Capital LP/GLP Financing II, Inc.
5.75%	06/01/28		1,650,000		1,611,581
VICI Properties LP/VICI Note Co., Inc.
3.88%	02/15/293		295,000		262,593
4.63%	06/15/253		2,990,000		2,892,452
5.75%	02/01/273		5,307,000		5,230,119
					12,754,809
Electric — 0.15%
Pike Corp.
5.50%	09/01/283		850,000		744,651
Energy — 6.31%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/283		531,000		512,415
Energy Transfer LP,
Series B
6.63%4,5			6,154,000		4,606,720
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		3,971,000		3,695,611

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 90

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/263	$	2,173,000	$	2,099,655
Petroleos Mexicanos
(Mexico)
5.95%	01/28/312		524,000		401,411
7.69%	01/23/502		425,000		300,237
Rockies Express Pipeline LLC
4.80%	05/15/303		650,000		572,000
6.88%	04/15/403		2,984,000		2,491,640
SM Energy Co.
6.50%	07/15/28		1,907,000		1,828,891
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		3,139,000		2,718,437
Transocean Titan Financing Ltd.
(Cayman Islands)
8.38%	02/01/282,3		2,975,000		3,041,937
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%	09/01/27		885,000		846,551
Valaris Ltd.,
Series 1145, PIK
(Bermuda)
8.25%	04/30/282,10		111,000		112,765
Venture Global Calcasieu Pass LLC
3.88%	11/01/333		550,000		462,787
4.13%	08/15/313		4,007,000		3,523,517
6.25%	01/15/303		4,000,000		4,045,000
					31,259,574
Entertainment — 0.87%
Cinemark USA, Inc.
5.25%	07/15/283		3,655,000		3,199,039
WMG Acquisition Corp.
3.75%	12/01/293		1,223,000		1,086,293
					4,285,332
Finance — 2.43%
American Express Co.,
Series D
3.55%4,5			2,150,000		1,797,938
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/272,3		2,083,000		1,764,472
Charles Schwab Corp. (The)
Series K
5.00%4,5			2,430,000		2,065,500
Citigroup, Inc.
2.52%	11/03/325		120,000		97,969
2.56%	05/01/325		1,670,000		1,386,622
Jane Street Group/JSG Finance, Inc.
4.50%	11/15/293		4,708,000		4,226,737
JPMorgan Chase & Co.,
Series KK
3.65%4,5			805,000		706,387
					12,045,625

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Food — 6.38%
B&G Foods, Inc.
5.25%	04/01/25	$	1,150,000	$	1,076,688
5.25%	09/15/27		290,000		250,043
Chobani LLC/Chobani Finance Corp, Inc.
4.63%	11/15/283		700,000		638,670
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%	06/01/263		1,287,000		797,747
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%	12/01/312,3		1,789,000		1,483,339
5.75%	04/01/332,3		7,835,000		7,534,575
Nathan’s Famous, Inc.
6.63%	11/01/253		372,000		367,815
Pilgrim’s Pride Corp.
3.50%	03/01/32		13,071,000		10,556,713
5.88%	09/30/273		1,896,000		1,885,666
Post Holdings, Inc.
5.75%	03/01/273		3,000,000		2,940,000
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%	03/01/293		4,974,000		4,044,004
					31,575,260
Gaming — 1.58%
Caesars Resort Collection LLC/CRC Finco, Inc.
5.75%	07/01/253		4,375,000		4,411,954
CDI Escrow Issuer, Inc.
5.75%	04/01/303		1,075,000		1,029,961
Penn Entertainment, Inc.
4.13%	07/01/293		2,825,000		2,361,248
					7,803,163
Health Care — 16.32%
1375209 BC Ltd.
(Canada)
9.00%	01/30/282,3		2,579,000		2,559,657
180 Medical, Inc.
3.88%	10/15/293		3,986,000		3,537,575
Amgen, Inc.
5.25%	03/02/33		1,300,000		1,336,045
Bausch Health Cos., Inc.
(Canada)
11.00%	09/30/282,3		1,733,000		1,283,876
14.00%	10/15/302,3		342,000		194,239
Cano Health LLC
6.25%	10/01/283		4,067,000		2,247,018
Catalent Pharma Solutions, Inc.
3.50%	04/01/303		3,667,000		3,225,970
5.00%	07/15/273		1,921,000		1,877,777
Centene Corp.
2.45%	07/15/28		7,675,000		6,680,888
2.63%	08/01/31		2,500,000		2,026,475
3.00%	10/15/30		865,000		729,179
4.25%	12/15/27		8,170,000		7,879,638

See accompanying Notes to Financial Statements.

91 / Annual Report March 2023

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
Embecta Corp.
6.75%	02/15/303	$	4,174,000	$	3,804,751
Grifols Escrow Issuer SA
(Spain)
4.75%	10/15/282,3		2,689,000		2,207,812
Grifols Escrow Issuer SA,
Series REGS
(Spain)
3.88%	10/15/282		375,000		318,595
Medline Borrower LP
3.88%	04/01/293		1,596,000		1,392,510
ModivCare Escrow Issuer, Inc.
5.00%	10/01/293		2,300,000		1,975,219
ModivCare, Inc.
5.88%	11/15/253		2,450,000		2,352,086
Molina Healthcare, Inc.
3.88%	11/15/303		7,217,000		6,312,475
3.88%	05/15/323		5,150,000		4,380,521
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%	04/30/313		2,313,000		2,058,171
Prestige Brands, Inc.
3.75%	04/01/313		1,646,000		1,396,614
Prime Healthcare Services, Inc.
7.25%	11/01/253		4,053,000		3,607,170
Teleflex, Inc.
4.25%	06/01/283		2,609,000		2,484,159
Tenet Healthcare Corp.
4.25%	06/01/29		2,568,000		2,325,607
4.63%	07/15/24		7,030,000		6,941,914
4.63%	09/01/24		963,000		952,851
4.88%	01/01/26		3,284,000		3,222,807
Teva Pharmaceutical Finance Netherlands III BV
(Netherlands)
8.13%	09/15/312		1,450,000		1,527,953
					80,839,552
Industrials — 6.13%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%	08/15/272,3		4,430,000		3,497,017
Artera Services LLC
9.03%	12/04/253		2,214,000		1,916,868
Ball Corp.
3.13%	09/15/31		3,154,000		2,613,731
6.88%	03/15/28		1,250,000		1,296,875
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
5.34%	08/15/361		1,300,000		1,097,850
General Electric Co.,
Series D
8.20%4,5			1,430,000		1,429,923
Graham Packaging Co., Inc.
7.13%	08/15/283		1,816,000		1,581,955
Graphic Packaging International LLC
4.13%	08/15/24		3,150,000		3,094,875

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Industrials (continued)
II-VI, Inc.
5.00%	12/15/293	$	622,000	$	564,913
OT Merger Corp.
7.88%	10/15/293		4,618,000		2,781,550
Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group
Issuer, Inc.
4.38%	10/15/283		1,698,000		1,488,276
Rolls-Royce PLC
(EMTN)
(United Kingdom)
1.63%	05/09/282		400,000		362,175
TransDigm, Inc.
4.63%	01/15/29		1,150,000		1,023,546
6.25%	03/15/263		4,400,000		4,411,000
6.75%	08/15/283		2,650,000		2,678,174
Trivium Packaging Finance BV
(Netherlands)
5.50%	08/15/262,3		556,000		533,321
					30,372,049
Information Technology — 3.63%
Alteryx, Inc.
8.75%	03/15/283		800,000		809,176
Booz Allen Hamilton, Inc.
4.00%	07/01/293		2,816,000		2,547,651
Gen Digital, Inc.
6.75%	09/30/273		500,000		503,246
MSCI, Inc.
3.63%	09/01/303		2,020,000		1,757,824
3.63%	11/01/313		1,190,000		1,020,258
NCR Corp.
5.13%	04/15/293		3,717,000		3,230,164
5.25%	10/01/303		4,479,000		3,660,596
Open Text Corp.
(Canada)
6.90%	12/01/272,3		1,300,000		1,340,625
Oracle Corp.
6.25%	11/09/32		1,300,000		1,397,468
Science Applications International Corp.
4.88%	04/01/283		1,795,000		1,685,080
					17,952,088
Insurance — 1.79%
Acrisure LLC/Acrisure Finance, Inc.
6.00%	08/01/293		3,540,000		2,947,050
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%	10/15/273		3,440,000		3,203,500
AssuredPartners, Inc.
5.63%	01/15/293		3,117,000		2,697,249
					8,847,799
Materials — 4.65%
ASP Unifrax Holdings, Inc.
5.25%	09/30/283		1,971,000		1,577,391
7.50%	09/30/293		2,579,000		1,755,989

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 92

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Materials (continued)
ATI, Inc.
5.13%	10/01/31	$	613,000	$	560,895
Axalta Coating Systems, LLC
3.38%	02/15/293		3,451,000		2,993,215
Clearwater Paper Corp.
4.75%	08/15/283		2,671,000		2,401,756
Herens Holdco SARL
(Luxembourg)
4.75%	05/15/282,3		3,224,000		2,581,712
International Flavors & Fragrances, Inc.
2.30%	11/01/303		1,650,000		1,325,333
Olympus Water U.S. Holding Corp.
7.13%	10/01/273		1,385,000		1,301,165
SCIH Salt Holdings, Inc.
4.88%	05/01/283		272,000		243,130
SCIL IV LLC/SCIL USA Holdings LLC
5.38%	11/01/263		1,189,000		1,095,143
SK Invictus Intermediate II SARL
(Luxembourg)
5.00%	10/30/292,3		4,120,000		3,425,038
Valvoline, Inc.
3.63%	06/15/313		1,975,000		1,679,323
WR Grace Holdings, LLC
5.63%	08/15/293		2,450,000		2,082,500
					23,022,590
Retail — 2.76%
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%	04/15/293		324,000		290,790
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%	01/15/303		4,369,000		3,595,822
FirstCash, Inc.
5.63%	01/01/303		1,424,000		1,315,543
Michaels Cos., Inc. (The)
7.88%	05/01/293		3,171,000		2,222,697
Papa John’s International, Inc.
3.88%	09/15/293		2,400,000		2,065,604
Yum! Brands, Inc.
3.88%	11/01/23		4,215,000		4,164,947
					13,655,403
Services — 3.82%
ADT Security Corp. (The)
4.13%	06/15/23		169,000		168,595
Adtalem Global Education, Inc.
5.50%	03/01/283		1,259,000		1,195,297
Block, Inc.
3.50%	06/01/31		1,030,000		847,175
Carriage Services, Inc.
4.25%	05/15/293		2,100,000		1,731,087
HealthEquity, Inc.
4.50%	10/01/293		1,380,000		1,235,858
Hertz Corp. (The)
5.00%	12/01/293		4,176,000		3,479,527

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Services (continued)
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%		08/31/273	$	300,000	$	269,156
Upbound Group, Inc.
6.38%		02/15/293		4,111,000		3,463,517
WASH Multifamily Acquisition, Inc.
5.75%		04/15/263		668,000		632,686
Waste Pro USA, Inc.
5.50%		02/15/263		6,420,000		5,910,814
						18,933,712
Specialized REITs — 0.60%
Blackstone Property Partners Europe Holdings SARL (EMTN)
(Luxembourg)
1.75%		03/12/292		635,000		511,409
Iron Mountain, Inc.
5.25%		07/15/303		677,000		614,432
5.63%		07/15/323		2,035,000		1,863,551
						2,989,392
Transportation — 0.38%
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23		643,922		644,068
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24		1,266,957		1,258,114
						1,902,182
Total Corporates
(Cost $446,617,273)						414,257,759
Total Bonds — 92.90%
(Cost $496,439,285)						460,049,667
Issues			Shares		Value
COMMON STOCK — 0.90%
Communications — 0.66%
Intelsat Emergence SA2,8,9
(Luxembourg)				125,435		3,261,310
Electric — 0.00%
Homer City Holdings LLC†,8,9,11				502,908		—
Transportation — 0.24%
Hertz Global Holdings, Inc.7				75,000		1,221,750
Total Common Stock
(Cost $32,356,394)						4,483,060
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series
A†,2,7,8,9
(Luxembourg)				13,135		—

See accompanying Notes to Financial Statements.

93 / Annual Report March 2023

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues		Shares		Value
RIGHTS — 0.00% (continued)
Communications — 0.00% (continued)
Intelsat Jackson Holdings SA, Series B†,2,7,8,9
(Luxembourg)			13,135	$	—
					—
Total Rights
(Cost $–)					—
WARRANT — 0.00%
Intelsat Jackson Holdings SA,2,7,8,9
(Luxembourg)			16		23
Entertainment — 0.00%
Cineworld Group PLC2,7
(United Kingdom)			288,340		9,804
Total Warrant
(Cost $60)					9,827
Issues	Maturity     Date	Principal     Amount/Shares		Value
SHORT-TERM INVESTMENTS — 2.96%
Money Market Funds — 2.96%
Fidelity Investments Money Market Funds - Government Portfolio
4.72%12			1,563,556		1,563,556
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%12			13,071,000		13,071,000
Total Short-Term Investments
(Cost $14,634,556)					14,634,556
Total Investments - 96.76%
(Cost $543,430,295)					479,177,110
Cash and Other Assets, Less Liabilities - 3.24%					16,021,306
Net Assets - 100.00%				$	495,198,416

¹ Floating rate security. The rate disclosed was in effect at March 31, 2023.

² Foreign denominated security issued by foreign domiciled entity.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴ Perpetual security with no stated maturity date.

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

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

⁷ Non-income producing security.

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

⁹ Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $3,261,333, which is 0.66% of total net assets.

¹⁰ 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.

¹¹  Affiliated investment.

¹²  Represents the current yield as of March 31, 2023.

^†  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.

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.

(EMTN): Euro Medium-Term Note

(EUR): Euro

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PIK): Payment In Kind

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement   Date	Unrealized     (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 512,477	EUR 485,000	Goldman Sachs International	04/13/23	$	(14,835)
USD 3,685,042	EUR 3,407,000	Citibank N.A.	04/13/23		(19,191)
NET UNREALIZED DEPRECIATION				$	(34,026)

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 94

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Description	Number of   Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation      (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		61		06/30/23	$	12,593,641	$	136,213	$	136,213
U.S. Treasury Five-Year Note		49		06/30/23		5,365,883		147,284		147,284
						17,959,524		283,497		283,497
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		111		06/21/23		(13,446,609)		(322,789)		(322,789)
Euro-Bobl Future		28		06/08/23		(3,585,980)		(87,208)		(87,208)
Euro-Bund Future		4		06/08/23		(590,333)		(21,406)		(21,406)
						(17,622,922)		(431,403)		(431,403)
TOTAL FUTURES CONTRACTS					$	336,602	$	(147,906)	$	(147,906)

Reference Obligation/Index	Financing Rate Paid by the Fund	Payment Frequency		Implied Credit Spread at  03/31/231	Counterparty	Expiration Date	Notional Amount (000’s)2		Value3		Premiums Paid		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4
Berry Global, Inc., 5.63%, due 07/15/27	5.00%		3Months	175	Credit Suisse First Boston International	12/20/23	$	3,995	$	98,716	$	88,505	$	10,211
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		1,985		20,044		14,328		5,716
TOTAL									$	118,760	$	102,833	$	15,927

¹  An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

² The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³  The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴ If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

See accompanying Notes to Financial Statements.

95 / Annual Report March 2023

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 107.53%
ASSET-BACKED SECURITIES — 4.90%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
5.95%	12/27/441,2	$	425,692	$	419,135
AIG CLO Ltd.,
Series 2019-2A, Class BR
(LIBOR USD 3-Month plus 1.60%)
6.42%	10/25/331,2		2,100,000		2,039,520
Allegro CLO VI Ltd.,
Series 2017-2A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
6.29%	01/17/311,2,3		1,750,000		1,699,057
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
6.16%	02/25/351		511,778		507,985
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
5.76%	02/25/301		177		177
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
5.82%	10/27/361		841,968		831,097
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.95%	10/25/341,2,3		2,000,000		1,943,456
CIT Education Loan Trust,
Series 2007-1, Class A
(LIBOR USD 3-Month plus 0.09%)
5.22%	03/25/421,2		164,792		159,131
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.28%	03/15/522,4		601,642		19,394
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
5.69%	04/15/291,2,3		1,562,856		1,545,289
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/292,3		223,110		215,676
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
6.01%	05/25/341,2		39,220		39,196
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/732		336,089		312,977
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/732		603,915		540,146

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
LCM XVIII LP,
Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
6.03%	07/15/271,2,3	$	6,895	$	6,892
LCM XX LP,
Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
5.85%	10/20/271,2,3		393,017		391,969
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
5.36%	06/25/311		445,837		430,881
Navient Student Loan Trust,
Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
5.47%	03/25/831		1,257,998		1,222,415
Navient Student Loan Trust,
Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
5.47%	03/25/831		1,128,669		1,097,322
Navient Student Loan Trust,
Series 2016-2A, Class A3
(LIBOR USD 1-Month plus 1.50%)
6.35%	06/25/651,2		1,403,501		1,406,033
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
5.80%	11/25/481,2		1,370,000		1,341,105
Neuberger Berman CLO XX Ltd.,
Series 2015-20A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
5.95%	07/15/341,2,3		2,140,000		2,088,317
OCP CLO Ltd.,
Series 2020-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
5.96%	10/20/341,2,3		1,750,000		1,704,097
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
5.95%	07/15/361,2,3		2,000,000		1,948,978
Progress Residential Trust,
Series 2021-SFR8, Class D
2.08%	10/17/382		1,150,000		988,895
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
5.89%	04/20/341,2,3		1,875,000		1,823,100

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 96

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Regata XII Funding Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.39%	10/15/321,2,3	$	2,100,000	$	2,035,530
Rockford Tower CLO Ltd.,
Series 2019-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.10%)
6.02%	08/20/321,2,3		2,000,000		1,958,734
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5,6		2,031,894		1,834,181
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
5.15%	08/15/311		89,168		77,993
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
6.47%	12/15/321		160,239		160,356
SLM Student Loan Trust,
Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
5.29%	07/25/391		110,871		103,491
SLM Student Loan Trust,
Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
4.98%	01/25/411		779,994		742,022
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%	01/25/831		185,000		163,389
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%	04/26/831		185,000		172,091
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	04/25/731		185,000		177,617
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/25/731		2,235,000		2,089,491
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
5.92%	07/25/231		1,401,393		1,365,072
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/26/831		185,000		171,685
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/26/831		185,000		171,793

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%)
7.07%		10/25/751	$	185,000	$	180,271
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
6.32%		04/25/231		467,563		465,077
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
7.07%		10/25/831		1,885,000		1,861,295
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
5.60%		01/25/451,2		2,127,744		2,044,225
SLM Student Loan Trust,
Series 2011-2, Class A2
(LIBOR USD 1-Month plus 1.20%)
6.05%		10/25/341		344,108		344,120
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
5.50%		05/26/261		484,194		465,259
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%		01/16/462		412,482		416,385
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%		07/01/421,2		500,000		461,927
Velocity Commercial Capital Loan Trust,
Series 2019-1, Class A
3.76%		03/25/492,4		1,899,431		1,785,569
Total Asset-Backed Securities
(Cost $45,813,582)						43,969,813
BANK LOANS — 1.09%*
Automotive — 0.02%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%		04/30/261		169,042		168,478
Communications — 0.10%
CenturyLink, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.36%)
7.17%		03/15/271		23,955		15,915
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(SOFR plus 1.75%)
6.46%		02/01/271		96,742		96,001
CSC Holdings LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
7.18%		04/15/271		97,733		86,647

See accompanying Notes to Financial Statements.

97 / Annual Report March 2023

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Communications (continued)
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.62%	05/01/281	$	46,643	$	44,427
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.60%	04/11/251		134,072		134,163
Virgin Media Bristol LLC,
Term Loan Y, 1st Lien
(SOFR plus 3.35%)
8.11%	03/31/311		150,000		148,360
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	03/09/271		400,395		327,505
(SOFR plus 4.25%)
9.06%	03/09/271		63,313		50,397
					903,415
Consumer Discretionary — 0.03%
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.09%	01/24/291,3		88,692		78,603
Term Loan, 2nd Lien
(SOFR plus 6.00%)
11.00%	01/24/301		11,129		8,533
Osmosis Buyer Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.48%	07/31/281		72,187		69,886
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.91%	10/01/261		84,498		83,818
					240,840
Entertainment — 0.10%
Alpha Topco Ltd. - Delta 2 (Lux) Sarl,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.05%	01/15/301		11,946		11,966
Crown Finance U.S., Inc.,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(SOFR plus 10.10%)
14.66% - 14.80%	09/07/231,3		255,382		259,416
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.41%	08/01/271		619,771		607,323
William Morris Endeavor Entertainment LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
7.60%	05/16/251		19,930		19,797
					898,502

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Finance — 0.06%
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.46%	04/09/271	$	129,858	$	126,071
Mozart Borrower, LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%	10/23/281		99,000		96,657
Setanta Aircraft Leasing DAC,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
7.16%	11/06/281		275,000		275,309
					498,037
Food — 0.02%
Froneri U.S., Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 2.25%)
7.41%	01/29/271		41,708		41,215
Hostess Brands LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
7.08%	08/03/251		151,919		152,195
					193,410
Gaming — 0.05%
Golden Nugget, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.81%	01/26/291		59,957		59,167
Penn National Gaming, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
7.66%	05/03/291		47,124		47,086
Scientific Games International, Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.10%)
7.96%	04/13/291,3		316,856		314,940
					421,193
Health Care — 0.10%
Avantor Funding, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
6.98%	11/08/271		217,132		217,251
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
6.51%	01/15/251		52,744		52,832
Bausch & Lomb Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.36%	05/10/271		90,544		88,155
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	05/05/281		366,540		365,585

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 98

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%	02/01/281	$	184,722	$	182,798
					906,621
Industrials — 0.16%
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.94%	10/16/281		49,881		41,817
AZZ, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.06%	05/14/291		19,114		19,133
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
6.51%	07/01/261		896,675		894,716
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
9.84%	08/02/271		310,791		299,807
II-VI, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
7.38% - 7.67%	07/02/291		34,092		33,837
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 3.25%)
8.15%	08/24/281		185,511		185,233
					1,474,543
Information Technology — 0.25%
Arches Buyer, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.25%)
8.06%	12/06/271		52,209		49,321
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.25%	02/15/291,3,7		34,265		32,167
Central Parent, Inc.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.25%)
9.14% - 9.18%	07/06/291,3		227,064		226,715
Entegris, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
7.37% - 7.64%	07/06/291		46,695		46,229
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.86%	10/01/271		197,975		189,561

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
NCR Corp.,
Term Loan, 1st Lien
(LIBOR plus 2.50%)
7.33%	08/28/261	$	197,262	$	194,960
NortonLifeLock, Inc.,
Term Loan A, 1st Lien
(SOFR plus 2.00%)
6.58%	09/10/271		194,403		190,515
Term Loan B, 1st Lien
(SOFR plus 2.10%)
6.91%	09/12/291		158,488		157,120
Open Text Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.30%	08/24/291		41,165		41,109
Oracle Corp.,
Term Loan 1, 1st Lien
(SOFR plus 1.60%)
6.46%	08/16/271		556,429		553,647
Prime Security Services Borrower LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
7.52%	09/23/261		99,456		99,275
Proofpoint, Inc.,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 3.25%)
7.99%	08/31/281,3		22,300		21,847
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	04/24/281		41,186		40,047
Renaissance Holding Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.22%	03/14/301		77,266		75,279
Sophia LP,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.66%	10/07/271		88,619		87,733
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.99%	03/03/281		228,235		192,532
					2,198,057
Insurance — 0.04%
Acrisure LLC,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
8.24%	02/15/271		246,819		239,517
Asurion LLC,
Term Loan B8, 1st Lien
(LIBOR plus 3.25%)
7.99%	12/23/261		60,506		56,292

See accompanying Notes to Financial Statements.

99 / Annual Report March 2023

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Insurance (continued)
HUB International Ltd.,
Term Loan B3, 1st Lien
(LIBOR plus 3.25%)
8.06%	04/25/251	$	85,439	$	85,348
					381,157
Retail — 0.07%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
9.56%	04/20/281		42,088		42,802
KFC Holding Co.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.51%	03/15/281		81,748		81,510
Whatabrands LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%	08/03/281		469,063		464,829
					589,141
Services — 0.09%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.63%	01/29/271		284,738		280,111
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%	06/22/291		19,638		19,454
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%	06/22/291		42,550		42,151
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%	12/15/281		95,786		94,418
Safe Fleet Holdings, LLC,
Term Loan, 1st Lien
(SOFR plus 3.85%)
8.61%	02/23/291		27,454		26,962
Trans Union LLC,
Term Loan B6, 1st Lien (Luxembourg)
(LIBOR plus 2.25%)
6.99%	12/01/281,3		194,109		192,977
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	11/02/271		186,673		172,848
					828,921

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Transportation — 0.00%
United Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.56%	04/21/281	$	38,955	$	38,765
Total Bank Loans
(Cost $9,763,476)					9,741,080
CORPORATES — 30.06%*
Banking — 6.48%
Bank of America Corp.
1.73%	07/22/274		2,605,000		2,336,664
2.30%	07/21/324		1,420,000		1,145,095
Bank of America Corp.
(GMTN)
3.59%	07/21/284		860,000		809,160
Bank of America Corp.
(MTN)
1.92%	10/24/314		1,135,000		907,674
2.09%	06/14/294		2,355,000		2,027,881
2.55%	02/04/284		160,000		145,854
3.09%	10/01/254		93,000		89,547
3.82%	01/20/284		605,000		578,610
3.97%	03/05/294		1,540,000		1,461,244
Bank of America Corp.,
Series N
1.66%	03/11/274		1,120,000		1,010,500
Bank of New York Mellon Corp. (The)
(MTN)
3.44%	02/07/284		2,110,000		2,021,947
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/272,3,4		3,425,000		2,911,250
2.88%	04/02/323,4		400,000		363,003
3.09%	05/14/322,3,4		880,000		708,225
3.87%	01/12/292,3,4		145,000		129,213
4.19%	04/01/312,3,4		5,345,000		4,758,653
4.28%	01/09/282,3		1,715,000		1,556,362
6.37%	07/15/262,3,4		315,000		307,205
7.75%	03/01/293,4		525,000		625,806
DNB Bank ASA
(Norway)
0.86%	09/30/252,3,4		2,485,000		2,320,870
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		1,730,000		1,526,550
2.01%	09/22/283,4		2,425,000		2,086,954
2.21%	08/17/293,4		1,195,000		1,007,421
2.80%	05/24/323,4		720,000		589,231
4.76%	06/09/283,4		1,240,000		1,201,347
6.33%	03/09/443,4		150,000		158,695
ING Groep NV
(Netherlands)
4.02%	03/28/283,4		1,795,000		1,714,385
JPMorgan Chase & Co.
0.97%	06/23/254		755,000		715,334
1.58%	04/22/274		1,035,000		930,288

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 100

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
2.07%	06/01/294	$	30,000	$	25,907
Lloyds Banking Group PLC
(United Kingdom)
4.72%	08/11/263,4		3,020,000		2,955,208
Macquarie Group Ltd.
(Australia)
1.20%	10/14/252,3,4		1,760,000		1,641,102
1.34%	01/12/272,3,4		1,660,000		1,482,517
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		385,000		377,436
4.52%	06/25/243,4		1,165,000		1,159,486
PNC Financial Services Group, Inc. (The)
5.07%	01/24/344		590,000		583,004
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,4		1,575,000		1,489,368
1.53%	08/21/263,4		155,000		138,417
1.67%	06/14/273,4		435,000		379,071
2.47%	01/11/283,4		1,245,000		1,096,838
4.80%	11/15/243,4		1,730,000		1,706,445
Santander UK PLC
(United Kingdom)
5.00%	11/07/232,3		330,000		326,310
U.S. Bancorp
4.84%	02/01/344		500,000		485,312
Wells Fargo & Co.
(MTN)
2.16%	02/11/264		305,000		287,113
2.39%	06/02/284		5,445,000		4,906,640
3.35%	03/02/334		2,195,000		1,905,389
3.53%	03/24/284		1,140,000		1,076,853
					58,167,384
Communications — 2.56%
AT&T, Inc.
2.55%	12/01/33		2,142,000		1,726,558
Cable One, Inc.
4.00%	11/15/302		1,000,000		820,000
Charter Communications Operating LLC/Charter Communications Operating Capital
2.30%	02/01/32		825,000		629,273
2.80%	04/01/31		1,825,000		1,471,293
Cox Communications, Inc.
2.60%	06/15/312		705,000		582,836
CSC Holdings LLC
4.50%	11/15/312		500,000		360,065
5.38%	02/01/282		275,000		225,557
6.50%	02/01/292		674,000		560,375
7.50%	04/01/282		90,000		57,456
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/262,8,9		1,007,000		56,644
Fox Corp.
3.50%	04/08/30		1,500,000		1,372,152
Frontier Communications Holdings LLC
8.63%	03/15/312		900,000		881,990

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%	10/07/303	$	925,000	$	826,191
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/302,3		2,108,000		1,940,881
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
8.50%	10/15/24†,2,3,5,6,8,9		1,003,000		—
9.75%	07/15/25†,2,3,5,6,8,9		585,000		—
Meta Platforms, Inc.
3.85%	08/15/32		920,000		861,408
Netflix, Inc.
4.63%	05/15/29		720,000		799,643
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%	04/30/272		95,000		81,225
SES GLOBAL Americas Holdings, Inc.
5.30%	03/25/442		750,000		590,713
SES SA
(Luxembourg)
3.60%	04/04/232,3		1,500,000		1,500,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%	03/20/252		587,500		583,262
5.15%	03/20/282		1,785,000		1,774,501
Tencent Holdings Ltd.
(Cayman Islands)
2.88%	04/22/312,3		1,210,000		1,050,422
T-Mobile USA, Inc.
2.25%	02/15/26		700,000		653,334
2.55%	02/15/31		740,000		627,533
3.75%	04/15/27		2,275,000		2,188,284
3.88%	04/15/30		800,000		751,281
					22,972,877
Consumer Discretionary — 1.55%
Anheuser-Busch InBev Worldwide, Inc.
4.38%	04/15/38		725,000		689,121
Bacardi Ltd.
(Bermuda)
4.45%	05/15/252,3		1,045,000		1,029,585
BAT Capital Corp.
2.73%	03/25/31		555,000		450,556
3.46%	09/06/29		1,570,000		1,389,275
3.56%	08/15/27		550,000		512,017
4.39%	08/15/37		830,000		677,952
BAT International Finance PLC
(United Kingdom)
1.67%	03/25/263		330,000		300,506
Constellation Brands, Inc.
4.65%	11/15/28		1,000,000		999,777
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/242,3		1,000,000		968,678

See accompanying Notes to Financial Statements.

101 / Annual Report March 2023

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
6.13%	07/27/272,3	$	385,000	$	395,230
JDE Peet’s NV
(Netherlands)
0.80%	09/24/242,3		1,650,000		1,538,452
Reynolds American, Inc.
5.70%	08/15/35		940,000		891,656
Triton Water Holdings, Inc.
6.25%	04/01/292		300,000		238,788
WarnerMedia Holdings, Inc.
4.28%	03/15/322		4,320,000		3,857,241
					13,938,834
Diversified REITs — 0.96%
American Tower Corp.
0.88%	05/21/29		515,000		450,752
1.00%	01/15/32		360,000		289,404
2.70%	04/15/31		230,000		193,046
5.65%	03/15/33		570,000		587,047
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%	06/23/283		375,000		323,841
Digital Dutch Finco BV
(Netherlands)
1.25%	02/01/313		1,185,000		961,264
GLP Capital LP/GLP Financing II, Inc.
4.00%	01/15/30		30,000		26,677
4.00%	01/15/31		200,000		174,761
5.38%	04/15/26		848,000		823,751
5.75%	06/01/28		1,465,000		1,430,888
VICI Properties LP/VICI Note Co., Inc.
3.88%	02/15/292		1,695,000		1,508,796
4.50%	01/15/282		605,000		561,045
4.63%	06/15/252		60,000		58,043
5.75%	02/01/272		540,000		532,177
Weyerhaeuser Co.
3.38%	03/09/33		810,000		712,608
					8,634,100
Electric — 1.92%
Alliant Energy Finance, LLC
3.60%	03/01/322		1,625,000		1,448,268
Appalachian Power Co.,
Series H
5.95%	05/15/33		350,000		362,156
Appalachian Power Co.,
Series X
3.30%	06/01/27		410,000		387,811
Black Hills Corp.
5.95%	03/15/28		1,765,000		1,831,312
Duke Energy Corp.
2.65%	09/01/26		30,000		28,083
3.10%	06/15/28		1,030,000		1,068,379
4.30%	03/15/28		1,105,000		1,085,019
EVERSOURCE ENERGY
4.60%	07/01/27		1,295,000		1,297,294

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Electric (continued)
Exelon Corp.
2.75%		03/15/27	$	1,325,000	$	1,241,409
FirstEnergy Transmission LLC
2.87%		09/15/282		853,000		770,591
ITC Holdings Corp.
4.95%		09/22/272		2,190,000		2,206,527
Jersey Central Power & Light Co.
4.70%		04/01/242		995,000		988,796
Metropolitan Edison Co.
4.00%		04/15/252		770,000		735,328
4.30%		01/15/292		550,000		528,629
Pennsylvania Electric Co.
5.15%		03/30/262		500,000		502,508
Public Service Co. of New Mexico
3.85%		08/01/25		1,405,000		1,365,026
TenneT Holding BV
(EMTN)
(Netherlands)
4.50%		10/28/343		1,200,000		1,401,733
						17,248,869
Energy — 1.08%
Boston Gas Co.
3.76%		03/16/322		2,400,000		2,171,363
Enbridge, Inc.
(Canada)
5.70%		03/08/333		260,000		270,565
Energy Transfer LP
3.75%		05/15/30		315,000		291,510
4.95%		05/15/28		750,000		743,649
Energy Transfer Operating LP
5.25%		04/15/29		1,145,000		1,143,168
Occidental Petroleum Corp.
0.00%		10/10/3610		444,000		229,770
Petroleos Mexicanos
(Mexico)
5.95%		01/28/313		2,452,000		1,878,360
6.35%		02/12/483		125,000		78,003
Plains All American Pipeline LP/PAA Finance Corp.
3.80%		09/15/30		525,000		468,353
Rockies Express Pipeline LLC
4.80%		05/15/302		400,000		352,000
4.95%		07/15/292		1,000,000		897,044
Sabine Pass Liquefaction LLC
4.50%		05/15/30		462,000		445,869
Venture Global Calcasieu Pass LLC
3.88%		08/15/292		825,000		744,554
						9,714,208
Finance — 5.63%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/263		2,045,000		1,836,205
3.00%		10/29/283		1,000,000		872,815
3.30%		01/30/323		285,000		235,527

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 102

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
Air Lease Corp.
3.25%	03/01/25	$	820,000	$	786,966
3.25%	10/01/29		525,000		460,683
3.63%	12/01/27		355,000		325,880
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/272,3		1,558,000		1,319,754
2.88%	02/15/252,3		1,160,000		1,087,531
Capital One Financial Corp.
1.34%	12/06/244		2,090,000		2,016,531
Cboe Global Markets, Inc.
3.00%	03/16/32		820,000		711,321
Citigroup, Inc.
2.52%	11/03/324		3,285,000		2,681,884
2.56%	05/01/324		785,000		651,795
2.57%	06/03/314		1,305,000		1,101,801
3.52%	10/27/284		1,505,000		1,407,967
Citigroup, Inc.,
Series VAR
3.07%	02/24/284		405,000		377,140
Durrah MSN 35603
(Cayman Islands)
1.68%	01/22/253		1,151,668		1,118,975
Goldman Sachs Group, Inc. (The)
0.93%	10/21/244		840,000		817,532
1.22%	12/06/23		2,090,000		2,031,701
2.38%	07/21/324		1,020,000		831,770
2.65%	10/21/324		3,160,000		2,613,142
3.75%	02/25/26		20,000		19,456
3.81%	04/23/294		2,555,000		2,407,085
JPMorgan Chase & Co.
0.56%	02/16/254		910,000		872,925
1.04%	02/04/274		185,000		165,179
1.56%	12/10/254		2,280,000		2,140,569
1.76%	11/19/314		460,000		365,392
1.95%	02/04/324		430,000		346,209
2.74%	10/15/304		3,055,000		2,669,006
2.95%	02/24/284		425,000		394,949
3.54%	05/01/284		900,000		851,821
Morgan Stanley
2.48%	09/16/364		620,000		469,049
2.63%	02/18/264		860,000		816,916
2.95%	05/07/324		415,000		411,502
Morgan Stanley
(GMTN)
1.51%	07/20/274		1,710,000		1,518,725
2.70%	01/22/314		1,570,000		1,352,535
Morgan Stanley
(MTN)
1.16%	10/21/254		4,790,000		4,475,867
Nationwide Building Society
(United Kingdom)
2.97%	02/16/282,3,4		700,000		637,011
4.36%	08/01/242,3,4		1,085,000		1,076,100

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
ORIX Corp.
(Japan)
5.00%	09/13/273	$	2,185,000	$	2,186,093
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%	02/15/242,3		40,000		39,644
Safina Ltd.
(Cayman Islands)
2.00%	12/30/233		1,121,160		1,106,492
Sandalwood 2013 LLC
2.90%	07/10/25		787,541		770,663
TIAA FSB Holdings, Inc.
5.75%	07/02/25		1,150,000		1,098,718
UBS Group AG
(Switzerland)
1.36%	01/30/272,3,4		1,000,000		879,053
Vonovia SE
(Georgia)
1.00%	06/16/333		300,000		204,760
					50,562,639
Food — 0.44%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.00%	02/02/292,3		1,435,000		1,231,762
JBS USA LUX SA/JBS USA Food Co/JBS USA Finance, Inc.
(Canada)
3.00%	05/15/322,3		1,185,000		938,353
Kraft Heinz Foods Co.
5.00%	07/15/35		103,000		102,666
5.00%	06/04/42		245,000		235,189
Pilgrim’s Pride Corp.
3.50%	03/01/32		925,000		747,070
5.88%	09/30/272		65,000		64,646
Post Holdings, Inc.
5.75%	03/01/272		600,000		588,000
					3,907,686
Health Care — 3.56%
AbbVie, Inc.
3.60%	05/14/25		1,152,000		1,130,487
3.85%	06/15/24		1,342,000		1,326,118
Aetna, Inc.
2.80%	06/15/23		50,000		49,774
3.50%	11/15/24		1,250,000		1,220,643
Alcon Finance Corp.
2.75%	09/23/262		2,300,000		2,157,619
Amgen, Inc.
3.00%	02/22/29		500,000		460,164
5.25%	03/02/33		4,240,000		4,357,562
Bayer U.S. Finance II LLC
4.38%	12/15/282		2,914,000		2,818,764
5.50%	08/15/252		1,100,000		1,092,768
Bayer U.S. Finance LLC
3.38%	10/08/242		1,020,000		993,222

See accompanying Notes to Financial Statements.

103 / Annual Report March 2023

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date			Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
Baylor Scott & White Holdings
2.65%		11/15/26		$	1,530,000	$	1,411,918
Becton Dickinson & Co.
3.36%		06/06/24			589,000		578,326
Centene Corp.
3.00%		10/15/30			2,000,000		1,685,962
4.25%		12/15/27			445,000		429,185
CommonSpirit Health
2.78%		10/01/30			1,650,000		1,409,568
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			1,540,000		1,362,156
Fresenius Finance Ireland PLC
(EMTN)
(Ireland)
0.88%		10/01/31	3		550,000		442,684
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	2,3		1,068,000		876,885
HCA, Inc.
4.13%		06/15/29			1,145,000		1,076,094
5.25%		04/15/25			865,000		865,002
5.88%		02/15/26			2,530,000		2,569,974
5.88%		02/01/29			1,000,000		1,021,930
7.05%		12/01/27			80,000		84,860
Humana, Inc.
1.35%		02/03/27			955,000		840,438
3.85%		10/01/24			860,000		845,815
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	2		355,000		315,889
Royalty Pharma PLC
(United Kingdom)
2.20%		09/02/30	3		675,000		547,669
							31,971,476
Health Care REITs — 0.44%
Healthcare Reality Holdings LP
3.50%		08/01/26			225,000		210,413
Healthcare Realty Holdings LP
3.63%		01/15/28			911,000		828,818
3.88%		05/01/25			1,255,000		1,212,230
Physicians Realty LP
3.95%		01/15/28			1,223,000		1,149,007
4.30%		03/15/27			590,000		570,341
							3,970,809
Hotel & Resort REITs — 0.07%
Host Hotels & Resorts LP,
Series H
3.38%		12/15/29			758,000		645,231
Industrial REITs — 0.16%
Prologis Euro Finance LLC
0.50%		02/16/32			625,000		476,803
0.63%		09/10/31			150,000		117,645
Prologis Euro Finance LLC
(EMTN)
1.00%		02/08/29			380,000		336,939

Issues	Maturity     Date			Principal     Amount		Value
CORPORATES (continued)
Industrial REITs (continued)
SELP Finance SARL
(Luxembourg)
0.88%		05/27/29	3	$	555,000	$	460,118
							1,391,505
Industrials — 1.28%
Amcor Finance USA, Inc.
3.63%		04/28/26			1,950,000		1,885,684
Artera Services LLC
9.03%		12/04/25	2		227,000		196,535
BAE Systems Holdings, Inc.
3.80%		10/07/24	2		630,000		621,090
Berry Global, Inc.
1.50%		01/15/27	2		690,000		670,169
1.65%		01/15/27			95,000		83,261
4.88%		07/15/26	2		1,055,000		1,029,374
Boeing Co. (The)
1.43%		02/04/24			1,300,000		1,256,767
Cellnex Finance Co. SA
(EMTN)
(Spain)
2.00%		09/15/32	3		700,000		591,213
Crane Holdings Co.
4.45%		12/15/23			1,130,000		1,130,428
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
5.19%		05/05/26	1		1,028,000		1,015,467
(LIBOR USD 3-Month plus 0.48%)
5.34%		08/15/36	1		1,115,000		941,617
Heathrow Funding Ltd.
(EMTN)
(United Kingdom)
1.88%		03/14/34	3		725,000		620,923
L3Harris Technologies, Inc.
3.85%		06/15/23			410,000		408,523
Rolls-Royce PLC
(EMTN)
(United Kingdom)
1.63%		05/09/28	3		230,000		208,251
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.38%		04/30/25	2,3		410,000		396,264
TransDigm, Inc.
6.75%		08/15/28	2		425,000		429,519
							11,485,085
Information Technology — 0.70%
Apple, Inc.
3.25%		02/23/26			20,000		19,575
Broadcom, Inc.
2.60%		02/15/33	2		1,017,000		798,365
NCR Corp.
5.13%		04/15/29	2		300,000		260,707

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 104

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Information Technology (continued)
Open Text Corp.
(Canada)
6.90%	12/01/272,3	$	250,000	$	257,813
Oracle Corp.
2.30%	03/25/28		1,000,000		895,264
2.88%	03/25/31		1,955,000		1,673,662
2.95%	04/01/30		1,855,000		1,638,562
VMware, Inc.
1.00%	08/15/24		815,000		768,381
					6,312,329
Insurance — 1.40%
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%	10/15/272		90,000		83,813
Aon Corp.
4.50%	12/15/28		1,235,000		1,217,185
Athene Global Funding
1.99%	08/19/282		2,555,000		2,074,228
3.21%	03/08/272		530,000		487,707
Berkshire Hathaway Finance Corp.
2.88%	03/15/32		265,000		238,848
Brown & Brown, Inc.
4.20%	03/17/32		1,330,000		1,201,852
Equitable Financial Life Global Funding
1.30%	07/12/262		1,190,000		1,053,623
Metropolitan Life Global Funding I
3.30%	03/21/292		1,200,000		1,115,184
4.30%	08/25/292		1,535,000		1,493,731
Nationwide Mutual Insurance Co.
7.16%	12/15/242,4		1,212,000		1,207,352
New York Life Global Funding
3.00%	01/10/282		50,000		46,811
Trinity Acquisition PLC
(United Kingdom)
4.40%	03/15/263		1,385,000		1,366,270
Willis North America, Inc.
4.65%	06/15/27		1,025,000		1,010,124
					12,596,728
Materials — 0.24%
International Flavors & Fragrances, Inc.
1.23%	10/01/252		950,000		850,903
2.30%	11/01/302		1,135,000		911,668
Valvoline, Inc.
3.63%	06/15/312		500,000		425,145
					2,187,716
Office REITs — 0.15%
Hudson Pacific Properties LP
3.25%	01/15/30		25,000		16,058
4.65%	04/01/29		1,065,000		748,459
Kilroy Realty LP
4.25%	08/15/29		721,000		607,993
					1,372,510

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Residential REITs — 0.14%
American Homes 4 Rent LP
3.63%		04/15/32	$	1,030,000	$	893,642
Invitation Homes Operating Partnership LP
2.00%		08/15/31		415,000		319,061
2.30%		11/15/28		69,000		57,954
						1,270,657
Retail — 0.33%
7-Eleven, Inc.
0.80%		02/10/242		1,565,000		1,498,952
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/272,3		640,000		603,637
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%		01/15/302		100,000		82,303
FirstCash, Inc.
5.63%		01/01/302		415,000		383,392
Michaels Cos., Inc. (The)
5.25%		05/01/282		405,000		337,960
						2,906,244
Services — 0.16%
Global Payments, Inc.
5.30%		08/15/29		1,240,000		1,226,655
Upbound Group, Inc.
6.38%		02/15/292		100,000		84,250
WASH Multifamily Acquisition, Inc.
5.75%		04/15/262		100,000		94,713
						1,405,618
Specialized REITs — 0.67%
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/323		560,000		508,207
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.00%		05/04/283		325,000		264,022
1.63%		04/20/303		235,000		178,184
1.75%		03/12/293		215,000		173,154
CubeSmart LP
2.25%		12/15/28		185,000		160,224
3.00%		02/15/30		220,000		191,032
4.38%		02/15/29		673,000		643,104
Extra Space Storage LP
3.90%		04/01/29		1,650,000		1,523,064
5.70%		04/01/28		220,000		221,623
Life Storage LP
2.20%		10/15/30		1,000,000		822,666
3.88%		12/15/27		915,000		866,532
Public Storage
0.50%		09/09/30		575,000		460,527
						6,012,339

See accompanying Notes to Financial Statements.

105 / Annual Report March 2023

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Transportation — 0.14%
Canadian Pacific Railway Co.
(Canada)
1.35%	12/02/243	$	490,000	$	461,965
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23		349,449		354,881
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		247,453		245,725
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%	06/03/25		229,709		216,528
Union Pacific Corp.
2.80%	02/14/32		5,000		4,403
					1,283,502
Total Corporates
(Cost $283,273,714)					269,958,346
MORTGAGE-BACKED — 24.04%**
Non-Agency Commercial Mortgage-Backed — 2.86%
Arbor Realty Commercial Real Estate Notes Ltd.,
Series 2021-FL2, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.10%)
5.78%	05/15/361,2,3		1,688,000		1,660,166
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%	08/10/382,4		1,095,000		983,832
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(CME Term SOFR 1-Month plus 1.03%)
5.86%	10/15/361,2		1,998,310		1,976,231
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/412		375,000		321,221
BXSC Commercial Mortgage Trust,
Series 2022-WSS, Class D
(CME Term SOFR 1-Month plus 3.19%)
8.02%	03/15/351,2		1,550,000		1,503,320
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/392		805,000		706,308
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%	11/13/392		715,000		578,156
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class A5
3.62%	02/10/49		3,250,000		3,087,357
Citigroup Commercial Mortgage Trust,
Series 2016-GC37, Class A4
3.31%	04/10/49		1,000,000		941,896
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.06%	03/10/474		17,786,972		90,301

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Trust,
Series 2019-ICE4, Class E
(LIBOR USD 1-Month plus 2.15%)
6.83%	05/15/361,2	$	1,820,471	$	1,755,259
DC Office Trust,
Series 2019-MTC, Class A
2.97%	09/15/452		765,000		628,443
GPMT Ltd.,
Series 2021-FL4, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.70%)
6.45%	12/15/361,2,3		2,380,000		2,264,252
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/392		760,000		655,478
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/412,4		765,000		648,104
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C29, Class XA (IO)
0.56%	05/15/484		20,359,188		193,009
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%	06/05/392		740,000		653,089
Last Mile Logistics Pan Euro Finance DAC,
Series 1A, Class A
(Ireland)
(3 month Euribor plus 0.75%)
3.43%	08/17/331,2,3		2,340,318		2,440,608
Last Mile Securities PE 2021 DAC,
Series 2021-1A, Class A1
(Ireland)
(3 month Euribor plus 0.90%)
3.58%	08/17/311,2,3		2,172,553		2,275,931
MKT Mortgage Trust,
Series 2020-525M, Class A
2.69%	02/12/402		520,000		414,993
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/542		960,000		791,087
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.83%	01/15/322,4		560,000		542,094
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/432,4		45,000		31,798
Wells Fargo Commercial Mortgage Trust,
Series 2015-C26, Class XA (IO)
1.19%	02/15/484		30,775,946		523,153
					25,666,086
Non-Agency Mortgage-Backed — 6.66%
ACE Securities Corp. Home Equity Loan Trust,
Series 2005-HE2, Class M5
(LIBOR USD 1-Month plus 1.02%)
5.87%	04/25/351		2,242,435		2,179,574

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 106

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 05/25/23)
7.40%	10/25/27	$	1,429	$	1,421
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
5.82%	12/25/341		330,881		300,581
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		3,534		3,507
Banc of America Funding Trust,
Series 2014-R6, Class 2A11
4.88%	07/26/362,4		1,700,000		1,413,989
Bear Stearns ALT-A Trust,
Series 2004-12, Class 1M1
(LIBOR USD 1-Month plus 0.93%)
5.78%	01/25/351		1,568,128		1,506,288
Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates,
Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
5.03%	05/25/361,2		40,380		34,035
CIM Trust,
Series 2021-R3, Class A1A
1.95%	06/25/572,4		2,385,657		2,093,598
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH1, Class M5
(LIBOR USD 1-Month plus 0.78%)
5.63%	01/25/361		1,509,678		1,492,442
Countrywide Asset-Backed Certificates Trust,
Series 2005-7, Class MV5
(LIBOR USD 1-Month plus 1.13%)
5.97%	11/25/351		4,220,000		4,076,584
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
3.91%	08/25/344		52,151		45,573
Credit Suisse Mortgage Capital Trust
Series 2022-RPL3, Class A1
3.68%	03/25/612,4		3,526,828		3,553,279
Credit Suisse Mortgage Capital Trust,
Series 2022-ATH2, Class A1
4.55%	05/25/672,4		1,859,984		1,802,172
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB3, Class AF1 (STEP-reset date 05/25/23)
3.38%	12/25/32		464,330		432,218
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF4 (STEP-reset date 05/25/23)
3.04%	12/25/36		346,107		263,008
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
3.40%	04/25/371		98,786		68,449
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A3
(LIBOR USD 1-Month plus 0.25%)
3.40%	04/25/371		1,173,834		689,033

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Fannie Mae Connecticut Avenue Securities,
Series 2022-R01, Class 1M1
(SOFR30A plus 1.00%)
5.56%	12/25/411,2	$	1,094,320	$	1,081,338
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
5.10%	09/25/344		36,288		32,091
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA2, Class M1B
(SOFR30A plus 2.40%)
6.96%	02/25/421,2		2,000,000		1,933,438
GCAT Trust,
Series 2021-NQM5, Class A1
1.26%	07/25/662,4		4,244,112		3,360,143
GSAA Home Equity Trust,
Series 2005-9, Class M2
(LIBOR USD 1-Month plus 0.75%)
5.60%	08/25/351		2,158,000		2,066,120
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
3.35%	08/25/344		8,098		8,011
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 2.00%)
5.85%	10/25/371		1,508,262		1,396,324
HSI Asset Securitization Corp. Trust,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
5.48%	11/25/351		127,497		124,270
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
5.71%	09/25/341		6,860		5,768
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
5.65%	11/25/341		20,063		17,115
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
2.92%	06/25/374		470,668		368,908
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A3
6.61%	02/25/28		23,921		23,656
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A4
6.75%	02/25/28		6,368		6,299
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		40,837		41,265
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(LIBOR USD 1-Month plus 0.29%)
5.14%	07/25/361		810,693		805,081

See accompanying Notes to Financial Statements.

107 / Annual Report March 2023

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
3.63%	05/25/374	$	102,093	$	88,360
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.81%	01/25/344		22,869		21,397
MASTR Adjustable Rate Mortgages Trust,
Series 2007-HF2, Class A1
(LIBOR USD 1-Month plus 0.62%)
5.47%	09/25/371		586,824		566,736
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.22%	10/25/324		4,358		4,126
MASTR Seasoned Securitization Trust,
Series 2005-1, Class 4A1
4.32%	10/25/324		16,063		14,866
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.36%)
5.21%	06/25/371		316,489		287,685
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.50%)
5.35%	06/25/371		584,863		528,797
Mid-State Trust XI,
Series 11, Class A1
4.86%	07/15/38		302,074		293,211
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
5.78%	07/25/341		112,555		106,071
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2005-HE3, Class M5
(LIBOR USD 1-Month plus 1.04%)
5.88%	07/25/351		3,561,390		3,420,570
Nationstar Home Equity Loan Trust,
Series 2007-B, Class 1AV1
(LIBOR USD 1-Month plus 0.22%)
5.07%	04/25/371		1,009,355		1,001,798
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
5.52%	03/25/351		1,348,482		1,323,567
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.44%)
5.29%	02/25/361		92,661		92,555
New York Mortgage Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.48%)
5.33%	02/25/361		309,548		301,373
Option One Mortgage Loan Trust,
Series 2005-2, Class M1
(LIBOR USD 1-Month plus 0.66%)
5.51%	05/25/351		12,887		12,797

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
PRPM LLC,
Series 2020-4, Class A1 (STEP-reset date 04/25/23)
2.95%	10/25/252	$	2,254,956	$	2,203,969
PRPM LLC,
Series 2021-11, Class A1 (STEP-reset date 04/25/23)
2.49%	11/25/262		1,466,051		1,390,904
PRPM LLC,
Series 2021-6, Class A1 (STEP-reset date 04/25/23)
1.79%	07/25/262		1,884,922		1,745,916
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 04/25/23)
5.56%	06/25/272		2,187,481		2,158,054
RBSSP Resecuritization Trust,
Series 2009-12, Class 17A2
3.99%	10/25/352,4		1,044,798		989,427
Residential Asset Mortgage Products Trust,
Series 2003-SL1, Class A41
8.00%	04/25/31		15,201		13,562
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A7
7.00%	11/25/31		6,109		5,241
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.53%	12/25/344		11,485		9,433
Saxon Asset Securities Trust,
Series 2007-1, Class A2D
(LIBOR USD 1-Month plus 0.24%)
5.09%	01/25/471		4,598,217		4,129,255
Soundview Home Loan Trust,
Series 2005-OPT4, Class M1
(LIBOR USD 1-Month plus 0.69%)
5.54%	12/25/351		4,500,000		3,663,619
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
4.14%	10/25/344		615,603		569,917
Structured Asset Mortgage Investments II Trust,
Series 2005-AR1, Class A1
(LIBOR USD 1-Month plus 0.48%)
5.24%	04/19/351		331,819		294,171
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A2
(Federal Reserve US 12-Month Cumulative Average plus 1.48%)
3.91%	02/25/361		228,723		192,442
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
3.45%	05/25/364		1,777,856		957,608
VOLT XCIX, LLC,
Series 2021-NPL8, Class A1 (STEP-reset date 04/25/23)
2.12%	04/25/512		1,262,691		1,156,478
VOLT XCVI LLC,
Series 2021-NPL5, Class A1 (STEP-reset date 04/25/23)
2.12%	03/27/512		708,579		668,750

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 108

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

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%)
6.41%	10/25/451	$	384,851	$	361,320
					59,799,553
U.S. Agency Commercial Mortgage-Backed — 0.32%
Fannie Mae Pool AN2786
2.76%	09/01/36		47,014		41,325
Fannie Mae Pool BL6060
2.46%	04/01/40		1,160,000		848,701
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ42, Class A1
3.90%	07/25/29		2,033,998		2,005,250
					2,895,276
U.S. Agency Mortgage-Backed — 14.20%
Fannie Mae Pool 253974
7.00%	08/01/31		659		675
Fannie Mae Pool 527247
7.00%	09/01/26		4		4
Fannie Mae Pool 545191
7.00%	09/01/31		402		413
Fannie Mae Pool 545646
7.00%	09/01/26		3		3
Fannie Mae Pool 549740
6.50%	10/01/27		1,140		1,177
Fannie Mae Pool 630599
7.00%	05/01/32		2,039		2,085
Fannie Mae Pool 655928
7.00%	08/01/32		1,440		1,534
Fannie Mae Pool 735207
7.00%	04/01/34		625		646
Fannie Mae Pool 735861
6.50%	09/01/33		28,650		29,223
Fannie Mae Pool 764388
(LIBOR USD 6-Month plus 1.38%)
3.76%	03/01/341		6,519		6,356
Fannie Mae Pool 776708
5.00%	05/01/34		62,662		64,054
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.56%)
3.81%	12/01/351		2,736		2,680
Fannie Mae Pool 889184
5.50%	09/01/36		48,331		49,921
Fannie Mae Pool 890221
5.50%	12/01/33		68,598		71,272
Fannie Mae Pool 939419
(LIBOR USD 12-Month plus 1.27%)
2.64%	05/01/371		19,614		19,130
Fannie Mae Pool AL0209
4.50%	05/01/41		190,777		192,568
Fannie Mae Pool CA1710
4.50%	05/01/48		7,987		7,945

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA1711
4.50%	05/01/48	$	558,634	$	555,660
Fannie Mae Pool CA2208
4.50%	08/01/48		7,348		7,309
Fannie Mae Pool FM2318
3.50%	09/01/49		932,470		877,175
Fannie Mae Pool FS1598
2.00%	04/01/52		3,106,535		2,567,320
Fannie Mae Pool FS2646
3.00%	06/01/52		3,478,507		3,126,315
Fannie Mae Pool MA1527
3.00%	08/01/33		12,802		12,224
Fannie Mae Pool MA1561
3.00%	09/01/33		719,449		686,956
Fannie Mae Pool MA1608
3.50%	10/01/33		623,038		606,621
Fannie Mae Pool MA3427
4.00%	07/01/33		6,243		6,179
Fannie Mae Pool MA3537
4.50%	12/01/48		501,424		498,754
Fannie Mae Pool MA3811
3.00%	10/01/49		423,169		375,314
Fannie Mae Pool MA4152
2.00%	10/01/40		2,415,727		2,066,083
Fannie Mae Pool MA4333
2.00%	05/01/41		669,845		572,679
Fannie Mae Pool MA4512
2.50%	01/01/52		2,150,332		1,857,202
Fannie Mae Pool MA4548
2.50%	02/01/52		2,613,932		2,253,251
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
4.96%	05/25/231		5		5
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%	10/25/31		72,833		75,789
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%	01/25/341		2,157		2,187
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
5.32%	07/25/371		28,241		28,008
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
1.20%	11/25/361		517,238		43,988
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%	06/25/47		3,293		3,193
Fannie Mae REMICS,
Series 2018-43, Class CT
3.00%	06/25/48		190,632		176,726

See accompanying Notes to Financial Statements.

109 / Annual Report March 2023

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%	01/25/47	$	24,047	$	23,447
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%	05/25/47		143,133		140,250
Fannie Mae Trust,
Series 2003-W6, Class 5T (IO)
(-1.00 X LIBOR USD 1-Month plus 8.15%, 0.55% Cap)
0.55%	09/25/421		6,264,062		103,549
Freddie Mac Gold Pool A25162
5.50%	05/01/34		57,522		59,713
Freddie Mac Gold Pool A33262
5.50%	02/01/35		23,371		24,228
Freddie Mac Gold Pool A68781
5.50%	10/01/37		3,079		3,195
Freddie Mac Gold Pool C03813
3.50%	04/01/42		496,950		476,595
Freddie Mac Gold Pool G01548
7.50%	07/01/32		159,774		171,296
Freddie Mac Gold Pool G01644
5.50%	02/01/34		34,854		36,039
Freddie Mac Gold Pool G02366
6.50%	10/01/36		30,025		32,253
Freddie Mac Gold Pool G08844
5.00%	10/01/48		144,369		146,242
Freddie Mac Gold Pool G15897
2.50%	09/01/31		17,646		16,743
Freddie Mac Gold Pool G16085
2.50%	02/01/32		1,106,865		1,046,183
Freddie Mac Gold Pool G16524
3.50%	05/01/33		38,099		37,175
Freddie Mac Gold Pool G16756
3.50%	01/01/34		651,561		635,910
Freddie Mac Gold Pool G18581
2.50%	01/01/31		17,101		16,206
Freddie Mac Pool SD7503
3.50%	08/01/49		2,578,667		2,437,097
Freddie Mac Pool SD8199
2.00%	03/01/52		1,684,100		1,391,652
Freddie Mac REMICS,
Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%	10/15/231		616		616
Freddie Mac REMICS,
Series 2174, Class PN
6.00%	07/15/29		12,731		12,949
Freddie Mac REMICS,
Series 3460, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
1.52%	06/15/381		478,285		41,820
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
1.93%	04/15/421		429,235		47,183

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae (TBA)
2.50%	04/20/53	$	425,000	$	374,050
2.50%	05/20/53		3,475,000		3,062,854
4.50%	04/20/53		4,425,000		4,360,210
5.00%	04/20/53		2,200,000		2,202,922
Ginnie Mae I Pool 782810
4.50%	11/15/39		345,088		345,662
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.63%	07/20/341		9,619		9,484
Ginnie Mae II Pool MA4454
5.00%	05/20/47		13,429		13,696
Ginnie Mae II Pool MA4511
4.00%	06/20/47		3,367		3,290
Ginnie Mae II Pool MA4588
4.50%	07/20/47		116,774		117,362
Ginnie Mae II Pool MA4589
5.00%	07/20/47		644,075		660,354
Ginnie Mae II Pool MA4838
4.00%	11/20/47		304,709		297,732
Ginnie Mae II Pool MA4901
4.00%	12/20/47		245,710		240,084
Ginnie Mae II Pool MA5399
4.50%	08/20/48		305,676		305,371
Ginnie Mae II Pool MA5530
5.00%	10/20/48		3,634		3,690
Ginnie Mae II Pool MA6030
3.50%	07/20/49		42,713		39,477
Ginnie Mae II Pool MA6080
3.00%	08/20/49		21,127		18,766
Ginnie Mae II Pool MA6209
3.00%	10/20/49		382,651		339,901
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
5.07%	11/26/231		829		826
UMBS (TBA)
2.50%	05/01/53		5,975,000		5,156,709
3.00%	05/01/53		6,575,000		5,903,891
3.50%	05/01/53		375,000		348,578
4.00%	05/01/53		11,825,000		11,316,896
4.50%	04/15/53		13,850,000		13,569,915
4.50%	05/01/53		13,275,000		13,010,938
5.00%	05/01/53		22,600,000		22,537,320
5.50%	04/01/53		19,350,000		19,546,901
					127,535,844
Total Mortgage-Backed
(Cost $224,165,375)					215,896,759
MUNICIPAL BONDS — 0.97%*
California — 0.08%
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series G
2.19%	11/01/32		795,000		650,342

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 110

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements, Series C
5.52%	07/01/27	$	50,000	$	52,174
					702,516
Florida — 0.05%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series C
4.06%	10/01/31		280,000		268,753
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%	10/01/31		245,000		226,097
					494,850
Massachusetts — 0.22%
Commonwealth of Massachusetts Revenue Bonds, Series B
4.11%	07/15/31		2,000,000		1,954,664
Michigan — 0.08%
University of Michigan Revenue Bonds, Series C
3.48%	04/01/33		750,000		686,747
New York — 0.54%
City of New York General Obligation, Public Improvements, Series 2
1.70%	03/01/29		250,000		214,865
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements
6.55%	11/15/31		25,000		26,714
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3
5.27%	05/01/27		1,465,000		1,505,257
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series F, Subseries F-3
5.13%	02/01/35		718,000		728,856
5.15%	02/01/36		718,000		727,434
New York State Dormitory Authority Revenue Bonds, Series C
1.95%	03/15/29		590,000		510,731
New York State Dormitory Authority Revenue Bonds, Transit Improvements, Series F
3.03%	02/15/33		1,245,000		1,079,233
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series D
5.50%	03/15/30		70,000		72,048
					4,865,138
Pennsylvania — 0.00%
Pennsylvania Economic Development Financing Authority Revenue Bonds, University of Pittsburgh Medical Center, Series B
3.20%	11/15/27		40,000		37,203
Total Municipal Bonds
(Cost $9,407,453)					8,741,118

Issues	Maturity     Date	Principal     Amount		Value
U.S. TREASURY SECURITIES — 46.47%
U.S. Treasury Bonds — 1.48%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%	10/15/2711	$	6,431,234	$	6,559,205
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds (WI)
1.13%	01/15/3311		6,729,078		6,717,674
					13,276,879
U.S. Treasury Notes — 44.99%
U.S. Treasury Notes
3.50%	02/15/33		35,309,000		35,366,929
3.63%	03/31/28		101,592,000		101,778,517
3.88%	03/31/25		78,920,000		78,687,247
4.00%	02/29/28		91,780,000		93,457,853
4.63%	02/28/25		52,559,000		53,073,298
4.63%	03/15/26		40,745,000		41,676,087
					404,039,931
Total U.S. Treasury Securities
(Cost $413,282,014)					417,316,810
Total Bonds — 107.53%
(Cost $985,705,614)					965,623,926

Issues		Shares		Value
COMMON STOCK — 0.04%
Communications — 0.04%
Intelsat Emergence SA3,5,6
(Luxembourg)			15,249		396,474
Electric — 0.00%
Homer City Holdings LLC†,5,6			8,014		—
Total Common Stock
(Cost $968,242)					396,474
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series
A†,3,5,6,8
(Luxembourg)			1,596		—
Intelsat Jackson Holdings SA, Series
B†,3,5,6,8
(Luxembourg)			1,596		—
					—
Total Rights
(Cost $–)					—
Issues	Maturity     Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 4.27%
Money Market Funds — 1.76%
Fidelity Investments Money Market Funds - Government Portfolio
4.72%12,13			891,448		891,448

See accompanying Notes to Financial Statements.

111 / Annual Report March 2023

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%12				14,906,000	$	14,906,000
						15,797,448
U.S. Agency Discount Notes — 1.66%
Federal Home Loan Bank
4.98%14		06/21/23	$	15,000,000		14,846,653
U.S. Treasury Bills — 0.85%
U.S. Treasury Bills
4.62%14		07/20/23		7,765,000		7,658,539
Total Short-Term Investments
(Cost $38,289,492)						38,302,640
Total Investments - 111.84%
(Cost $1,024,963,348)						1,004,323,040
Net unrealized appreciation on unfunded commitments - 0.00%						48
Liabilities in Excess of Other Assets - (11.84)%						(106,352,259	)
Net Assets - 100.00%					$	897,970,829

¹  Floating rate security. The rate disclosed was in effect at March 31, 2023.

²  Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

³  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 $2,230,655, which is 0.25% 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 $3,952, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

⁸  Non-income producing security.

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

¹⁰  Zero coupon bond. The rate shown is the effective yield as of March 31, 2023.

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

¹²  Represents the current yield as of March 31, 2023.

¹³  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,528.

¹⁴  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.

(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

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

(WI): When Issued

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 15,456,835		EUR 14,294,000		Citibank N.A.		04/13/23	$	(84,199)
USD 1,865,016		EUR 1,737,000		Goldman Sachs International		04/13/23		(23,523)
USD 516,427		GBP 423,000		Citibank N.A.		04/13/23		(6,732)
NET UNREALIZED DEPRECIATION							$	(114,454)

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 112

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		1,280		06/30/23	$	264,260,001	$	3,024,183	$	3,024,183
U.S. Treasury Five-Year Note		105		06/30/23		11,498,320		172,687		172,687
U.S. Treasury Ten-Year Ultra Bond		86		06/21/23		10,418,094		330,193		330,193
						286,176,415		3,527,063		3,527,063
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ultra Bond		74		06/21/23		(10,443,250)		(443,254)		(443,254)
Euro-Bobl Future		52		06/08/23		(6,659,678)		(87,881)		(87,881)
Euro-Bund Future		36		06/08/23		(5,313,001)		(114,166)		(114,166)
						(22,415,929)		(645,301)		(645,301)
TOTAL FUTURES CONTRACTS					$	263,760,486	$	2,881,762	$	2,881,762

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Implied Credit Spread at 03/31/231		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	$	20,902	$	14,987	$	5,915
									Credit Suisse
Berry Global, Inc., 5.63%, due									First Boston
07/15/27		5.00	%		3 Months		175		International		12/20/23		1,155		28,540		25,588		2,952
TOTAL														$	49,442	$	40,575	$	8,867

¹  An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

²  The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³  The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴  If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

See accompanying Notes to Financial Statements.

113 / Annual Report March 2023

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
BONDS – 107.00%
ASSET-BACKED SECURITIES — 4.70%**
Aimco CLO,
Series 2015-AA, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.39%		10/17/341,2,3	$	70,000	$	68,056
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%		01/17/733		30,098		28,028
Madison Park Funding XXXIX Ltd.,
Series 2021-39A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.47%		10/22/341,2,3		70,000		67,298
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
5.95%		07/15/361,2,3		70,000		68,214
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/374,5,6		35,337		31,899
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%		01/25/831		20,000		17,664
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%		04/26/831		20,000		18,605
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%		07/25/731		35,000		32,721
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
5.92%		07/25/231		23,915		23,295
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%		07/26/831		20,000		18,561
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%		07/26/831		20,000		18,572
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
6.32%		04/25/231		14,847		14,712
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
7.07%		10/25/751		30,000		29,233

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%)
6.32%		04/25/231	$	10,959	$	10,900
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
7.07%		10/25/831		15,000		14,811
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
4.99%		04/25/401,3		23,862		22,823
Total Asset-Backed Securities
(Cost $501,063)						485,392
CORPORATES — 60.88%*
Banking — 9.49%
Bank of America Corp.
1.73%		07/22/275		50,000		44,850
2.30%		07/21/325		40,000		32,256
Bank of America Corp.
(MTN)
3.19%		07/23/305		155,000		137,837
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/272,3,5		45,000		38,250
2.59%		09/11/252,3,5		15,000		13,941
3.09%		05/14/322,3,5		25,000		20,120
4.19%		04/01/312,3,5		30,000		26,709
6.37%		07/15/262,3,5		5,000		4,876
6.54%		08/12/332,3,5		40,000		41,000
DNB Bank ASA
(Norway)
1.13%		09/16/262,3,5		15,000		13,471
Fifth Third Bancorp
2.55%		05/05/27		15,000		12,939
HSBC Holdings PLC
(United Kingdom)
2.21%		08/17/292,5		95,000		80,088
JPMorgan Chase & Co.
1.58%		04/22/275		240,000		215,719
Macquarie Group Ltd.
(Australia)
1.63%		09/23/272,3,5		45,000		39,565
NatWest Group PLC
(United Kingdom)
4.27%		03/22/252,5		30,000		29,411
PNC Financial Services Group, Inc. (The)
5.07%		01/24/345		40,000		39,526
6.04%		10/28/335		10,000		10,558
Santander UK Group Holdings PLC
(United Kingdom)
2.47%		01/11/282,5		15,000		13,215
Santander UK PLC
(United Kingdom)
5.00%		11/07/232,3		35,000		34,609

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 114

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
U.S. Bancorp
4.84%	02/01/345	$	55,000	$	53,384
Wells Fargo & Co.
(MTN)
3.35%	03/02/335		90,000		78,125
					980,449
Communications — 4.28%
AT&T, Inc.
2.55%	12/01/33		89,000		71,739
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%	02/01/32		100,000		76,276
Comcast Corp.
1.95%	01/15/31		10,000		8,326
Discovery Communications LLC
3.63%	05/15/30		35,000		31,129
Meta Platforms, Inc.
3.85%	08/15/32		10,000		9,363
SES SA
(Luxembourg)
3.60%	04/04/232,3		15,000		15,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%	03/20/253		37,500		37,230
5.15%	03/20/283		60,000		59,647
Tencent Holdings Ltd.
(Cayman Islands)
3.98%	04/11/292,3		30,000		28,416
T-Mobile USA, Inc.
2.55%	02/15/31		79,000		66,993
Verizon Communications, Inc.
2.36%	03/15/32		31,000		25,463
Walt Disney Co. (The)
7.75%	01/20/24		12,000		12,244
					441,826
Consumer Discretionary — 3.45%
Anheuser-Busch InBev Worldwide, Inc.
3.50%	06/01/30		30,000		28,303
Bacardi Ltd.
(Bermuda)
4.70%	05/15/282,3		10,000		9,925
Church & Dwight Co., Inc.
5.60%	11/15/32		35,000		37,590
Constellation Brands, Inc.
2.88%	05/01/30		30,000		26,331
Hyatt Hotels Corp.
1.80%	10/01/24		35,000		33,138
Imperial Brands Finance PLC
(United Kingdom)
4.25%	07/21/252,3		30,000		29,124
JDE Peet’s NV
(Netherlands)
2.25%	09/24/312,3		30,000		23,706

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Kenvue, Inc.
4.90%	03/22/333	$	30,000	$	31,014
Philip Morris International, Inc.
5.75%	11/17/32		30,000		31,507
Reynolds American, Inc.
5.70%	08/15/35		50,000		47,429
WarnerMedia Holdings, Inc.
4.28%	03/15/323		65,000		58,037
					356,104
Diversified REITs — 2.41%
American Assets Trust LP
3.38%	02/01/31		25,000		20,097
American Tower Corp.
2.90%	01/15/30		15,000		13,073
5.65%	03/15/33		5,000		5,150
Crown Castle, Inc.
3.30%	07/01/30		25,000		22,558
Equinix, Inc.
3.90%	04/15/32		25,000		22,760
GLP Capital LP/GLP Financing II, Inc.
3.25%	01/15/32		4,000		3,265
4.00%	01/15/30		20,000		17,785
5.30%	01/15/29		20,000		19,056
LXP Industrial Trust
2.38%	10/01/31		25,000		19,269
2.70%	09/15/30		25,000		20,338
VICI Properties LP
5.13%	05/15/32		25,000		23,699
VICI Properties LP/VICI Note Co., Inc.
4.63%	06/15/253		50,000		48,369
Weyerhaeuser Co.
3.38%	03/09/33		15,000		13,196
					248,615
Electric — 4.75%
Alliant Energy Finance LLC
1.40%	03/15/263		50,000		44,357
Ameren Corp.
3.50%	01/15/31		75,000		68,295
American Electric Power Co., Inc.
5.63%	03/01/33		10,000		10,373
Appalachian Power Co.,
Series X
3.30%	06/01/27		20,000		18,918
Arizona Public Service Co.
6.35%	12/15/32		20,000		21,812
Berkshire Hathaway Energy Co.
1.65%	05/15/31		25,000		20,061
Black Hills Corp.
4.35%	05/01/33		36,000		33,178
CenterPoint Energy Houston Electric LLC
4.95%	04/01/33		5,000		5,109
Duke Energy Corp.
2.55%	06/15/31		35,000		29,298

See accompanying Notes to Financial Statements.

115 / Annual Report March 2023

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric (continued)
EVERSOURCE ENERGY
4.60%	07/01/27	$	15,000	$	15,027
Exelon Corp.
5.30%	03/15/33		20,000		20,367
ITC Holdings Corp.
4.95%	09/22/273		20,000		20,151
Jersey Central Power & Light Co.
2.75%	03/01/323		35,000		29,598
Metropolitan Edison Co.
4.00%	04/15/253		25,000		23,874
Narragansett Electric Co. (The)
3.40%	04/09/303		35,000		32,088
Oklahoma Gas and Electric Co.
5.40%	01/15/33		25,000		25,918
Public Service Co. of New Mexico
3.85%	08/01/25		40,000		38,862
Southwestern Electric Power Co.,
Series M
4.10%	09/15/28		15,000		14,530
Xcel Energy, Inc.
3.40%	06/01/30		20,000		18,278
					490,094
Energy — 2.86%
Aker BP ASA
(Norway)
3.10%	07/15/312,3		35,000		29,657
CenterPoint Energy Resources Corp.
5.40%	03/01/33		25,000		25,868
Enbridge, Inc.
(Canada)
5.70%	03/08/332		5,000		5,203
KeySpan Gas East Corp.
5.99%	03/06/333		25,000		25,837
Kinder Morgan, Inc.
5.30%	12/01/34		30,000		29,476
Petroleos Mexicanos
(Mexico)
5.95%	01/28/312		30,000		22,981
6.70%	02/16/322		13,000		10,358
Piedmont Natural Gas Co., Inc.
2.50%	03/15/31		10,000		8,355
Plains All American Pipeline LP/PAA Finance Corp.
4.65%	10/15/25		30,000		29,713
Rockies Express Pipeline LLC
3.60%	05/15/253		20,000		18,814
4.95%	07/15/293		10,000		8,971
Sabine Pass Liquefaction LLC
4.50%	05/15/30		35,000		33,778
Southern Co. Gas Capital Corp.
5.15%	09/15/32		20,000		20,217
Southern Natural Gas Co. LLC
4.80%	03/15/473		30,000		25,832
					295,060

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance — 6.97%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.00%	10/29/282	$	15,000	$	13,092
3.88%	01/23/282		16,000		14,831
Air Lease Corp.
3.63%	12/01/27		26,000		23,867
4.63%	10/01/28		15,000		14,282
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/272,3		21,000		17,789
2.75%	02/21/282,3		10,000		8,355
4.38%	05/01/262,3		5,000		4,697
Cboe Global Markets, Inc.
3.00%	03/16/32		20,000		17,349
Citigroup, Inc.
2.52%	11/03/325		90,000		73,476
2.56%	05/01/325		50,000		41,516
3.06%	01/25/335		25,000		21,269
Discover Financial Services
6.70%	11/29/32		25,000		25,864
Goldman Sachs Group, Inc. (The)
1.54%	09/10/275		90,000		79,261
2.65%	10/21/325		50,000		41,347
Intercontinental Exchange, Inc.
1.85%	09/15/32		25,000		19,777
JPMorgan Chase & Co.
1.76%	11/19/315		100,000		79,433
Morgan Stanley
2.48%	09/16/365		5,000		3,783
Morgan Stanley
(GMTN)
1.51%	07/20/275		35,000		31,085
Morgan Stanley
(MTN)
1.79%	02/13/325		5,000		3,928
1.93%	04/28/325		130,000		103,014
Nationwide Building Society
(United Kingdom)
1.50%	10/13/262,3		25,000		21,856
ORIX Corp.
(Japan)
4.00%	04/13/322		25,000		23,033
Pipeline Funding Co. LLC
7.50%	01/15/303		17,072		17,447
Raymond James Financial, Inc.
4.65%	04/01/30		20,000		19,816
					720,167
Food — 2.19%
General Mills, Inc.
4.95%	03/29/33		35,000		35,536
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.75%	12/01/312,3		32,000		26,533

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 116

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Food (continued)
Kellogg Co.
5.25%	03/01/33	$	30,000	$	30,804
Kraft Heinz Foods Co.
5.00%	07/15/35		28,000		27,909
Mondelez International, Inc.
3.00%	03/17/32		30,000		26,432
Pilgrim’s Pride Corp.
3.50%	03/01/32		60,000		48,459
Smithfield Foods, Inc.
2.63%	09/13/313		40,000		30,245
					225,918
Health Care — 9.21%
AbbVie, Inc.
4.50%	05/14/35		30,000		29,097
Alcon Finance Corp.
2.75%	09/23/263		40,000		37,524
Amgen, Inc.
5.25%	03/02/33		50,000		51,386
Ascension Health,
Series B
2.53%	11/15/29		20,000		17,609
Banner Health
2.34%	01/01/30		10,000		8,663
Barnabas Health, Inc.,
Series 2012
4.00%	07/01/28		15,000		14,469
Baxter International, Inc.
3.95%	04/01/30		10,000		9,330
Bayer U.S. Finance II LLC
4.38%	12/15/283		45,000		43,529
Becton Dickinson & Co.
3.70%	06/06/27		20,000		19,338
Centene Corp.
3.00%	10/15/30		50,000		42,149
Cigna Group (The)
2.40%	03/15/30		35,000		30,377
5.40%	03/15/33		30,000		31,168
CommonSpirit Health
2.78%	10/01/30		20,000		17,086
3.35%	10/01/29		50,000		45,059
CVS Health Corp.
3.25%	08/15/29		50,000		45,748
5.25%	02/21/33		25,000		25,485
DENTSPLY SIRONA, Inc.
3.25%	06/01/30		35,000		30,958
Elanco Animal Health, Inc.
6.65%	08/28/28		15,000		14,205
Elevance Health, Inc.
5.50%	10/15/32		20,000		21,023
Fresenius Medical Care U.S. Finance III, Inc.
1.88%	12/01/263		20,000		17,385
HCA, Inc.
3.63%	03/15/323		10,000		8,803
4.13%	06/15/29		65,000		61,088

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Humana, Inc.
3.70%	03/23/29	$	10,000	$	9,388
5.88%	03/01/33		25,000		26,918
Illumina, Inc.
2.55%	03/23/31		25,000		20,682
5.75%	12/13/27		15,000		15,378
Medtronic Global Holdings SCA
(Luxembourg)
4.50%	03/30/332		30,000		30,042
Molina Healthcare, Inc.
3.88%	11/15/303		30,000		26,240
PerkinElmer, Inc.
2.55%	03/15/31		35,000		28,922
Premier Health Partners,
Series G
2.91%	11/15/26		15,000		13,715
Providence St. Joseph Health Obligated Group,
Series H
2.75%	10/01/26		20,000		18,676
Regeneron Pharmaceuticals, Inc.
1.75%	09/15/30		20,000		16,172
Royalty Pharma PLC
(United Kingdom)
1.75%	09/02/272		25,000		21,900
Smith & Nephew PLC
(United Kingdom)
2.03%	10/14/302		30,000		24,346
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%	03/15/312		30,000		25,179
Universal Health Services, Inc.
1.65%	09/01/26		35,000		30,730
Zoetis, Inc.
5.60%	11/16/32		20,000		21,351
					951,118
Health Care REITs — 0.92%
Healthcare Reality Holdings LP
2.00%	03/15/31		50,000		39,074
3.10%	02/15/30		15,000		13,003
Healthcare Realty Holdings LP
3.88%	05/01/25		4,000		3,863
Physicians Realty LP
2.63%	11/01/31		5,000		3,944
4.30%	03/15/27		26,000		25,134
Ventas Realty LP
4.13%	01/15/26		10,000		9,709
					94,727
Hotel & Resort REITs — 0.25%
Host Hotels & Resorts LP,
Series I
3.50%	09/15/30		30,000		25,424

See accompanying Notes to Financial Statements.

117 / Annual Report March 2023

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Industrial REITs — 0.04%
Rexford Industrial Realty LP
2.13%	12/01/30	$	5,000	$	4,028
Industrials — 1.74%
Amcor Finance USA, Inc.
3.63%	04/28/26		25,000		24,176
BAE Systems Holdings, Inc.
3.80%	10/07/243		15,000		14,788
3.85%	12/15/253		10,000		9,704
Berry Global, Inc.
1.57%	01/15/26		20,000		18,182
1.65%	01/15/27		20,000		17,529
Boeing Co. (The)
4.88%	05/01/25		15,000		14,977
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
5.19%	05/05/261		10,000		9,878
Sealed Air Corp.
1.57%	10/15/263		30,000		26,287
Sonoco Products Co.
3.13%	05/01/30		25,000		22,102
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%	04/28/262,3		15,000		14,415
WRKCo, Inc.
3.00%	06/15/33		10,000		8,209
					180,247
Information Technology — 2.10%
Amazon.com, Inc.
3.60%	04/13/32		10,000		9,490
Broadcom, Inc.
2.60%	02/15/333		10,000		7,850
3.42%	04/15/333		35,000		29,314
Fidelity National Information Services, Inc.
5.10%	07/15/32		25,000		24,418
Fiserv, Inc.
2.65%	06/01/30		20,000		17,277
Micron Technology, Inc.
2.70%	04/15/32		15,000		12,013
Netflix, Inc.
3.63%	06/15/253		20,000		19,437
Open Text Corp.
(Canada)
6.90%	12/01/272,3		17,000		17,531
Oracle Corp.
2.88%	03/25/31		70,000		59,926
6.25%	11/09/32		5,000		5,375
Take-Two Interactive Software, Inc.
4.00%	04/14/32		15,000		13,824
					216,455
Insurance — 4.39%
Aon Corp.
2.80%	05/15/30		25,000		22,112

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Aon Corp./Aon Global Holdings PLC
2.60%	12/02/31	$	10,000	$	8,408
Arthur J Gallagher & Co.
5.75%	03/02/53		40,000		40,169
Athene Global Funding
1.61%	06/29/263		5,000		4,349
(SOFR Index plus 0.70%)
5.46%	05/24/241,3		30,000		29,729
Berkshire Hathaway Finance Corp.
2.88%	03/15/32		5,000		4,507
Brown & Brown, Inc.
2.38%	03/15/31		35,000		28,127
Equitable Financial Life Global Funding
1.30%	07/12/263		25,000		22,135
Farmers Exchange Capital
7.05%	07/15/283		5,000		5,220
Farmers Insurance Exchange
4.75%	11/01/573,5		45,000		35,307
Marsh & McLennan Cos., Inc.
2.25%	11/15/30		30,000		25,344
Metropolitan Life Global Funding I
2.95%	04/09/303		15,000		13,236
MMI Capital Trust I,
Series B
7.63%	12/15/27		50,000		53,289
Nationwide Mutual Insurance Co.
7.16%	12/15/243,5		50,000		49,808
New York Life Insurance Co.
5.88%	05/15/333		25,000		26,412
Progressive Corp. (The)
3.20%	03/26/30		10,000		9,207
Teachers Insurance & Annuity Association of America
4.38%	09/15/543,5		55,000		53,609
Willis North America, Inc.
2.95%	09/15/29		25,000		22,054
					453,022
Materials — 0.47%
Georgia-Pacific LLC
2.30%	04/30/303		20,000		17,254
International Flavors & Fragrances, Inc.
2.30%	11/01/303		30,000		24,097
3.27%	11/15/403		10,000		7,130
					48,481
Office REITs — 1.01%
Hudson Pacific Properties LP
3.95%	11/01/27		75,000		51,545
Kilroy Realty LP
2.50%	11/15/32		40,000		25,415
3.05%	02/15/30		5,000		3,676
Piedmont Operating Partnership LP
2.75%	04/01/32		35,000		24,261
					104,897

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 118

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Residential REITs — 0.92%
American Homes 4 Rent LP
2.38%	07/15/31	$	30,000	$	23,943
Essex Portfolio LP
2.65%	03/15/32		10,000		8,182
Invitation Homes Operating Partnership LP
2.30%	11/15/28		45,000		37,796
Mid-America Apartments LP
1.70%	02/15/31		20,000		15,950
UDR, Inc.
(MTN)
4.40%	01/26/29		10,000		9,602
					95,473
Retail — 0.47%
Alimentation Couche-Tard, Inc.
(Canada)
2.95%	01/25/302,3		35,000		30,740
Starbucks Corp.
2.55%	11/15/30		20,000		17,406
					48,146
Services — 0.99%
Global Payments, Inc.
5.30%	08/15/29		15,000		14,838
Moody’s Corp.
4.25%	08/08/32		30,000		28,912
Northwestern University
3.69%	12/01/38		20,000		17,990
RELX Capital, Inc.
3.00%	05/22/30		30,000		26,781
Republic Services, Inc.
2.90%	07/01/26		5,000		4,776
S&P Global, Inc.
2.90%	03/01/32		10,000		8,942
					102,239
Specialized REITs — 0.76%
CubeSmart LP
4.38%	02/15/29		15,000		14,334
Extra Space Storage LP
2.35%	03/15/32		10,000		7,870
3.90%	04/01/29		25,000		23,077
Life Storage LP
2.20%	10/15/30		40,000		32,906
					78,187
Transportation — 1.21%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		21,263		18,741
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%	05/15/32		28,574		24,029
Norfolk Southern Corp.
3.00%	03/15/32		15,000		13,222

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	$	2,576	$	2,576
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23		14,427		14,651
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		35,633		35,385
Union Pacific Corp.
2.89%	04/06/36		20,000		16,523
					125,127
Total Corporates
(Cost $6,935,610)					6,285,804
MORTGAGE-BACKED — 18.98%**
Non-Agency Commercial Mortgage-Backed — 2.58%
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
0.78%	09/10/465		6,932,126		7,828
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.94%	10/10/475		557,626		5,671
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.02%	07/10/455		6,059,347		61
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
0.93%	08/10/475		569,627		5,112
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.06%	03/10/475		779,624		3,958
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.05%	06/10/475		1,739,122		12,779
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.83%	09/10/474,5,6		1,984,219		17,558
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.69%	12/15/495		310,497		5,808
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%	02/10/373,5		375,000		2,113
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.46%	08/10/433,5		2,431,568		2,048
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.00%	08/10/443,5		225,003		2
GS Mortgage Securities Trust,
Series 2013-GC14, Class XA (IO)
0.45%	08/10/465		4,000,512		9,066

See accompanying Notes to Financial Statements.

119 / Annual Report March 2023

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.01%		04/10/475	$	2,244,395	$	13,062
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C22, Class XA (IO)
0.80%		09/15/475		1,787,841		13,148
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.81%		11/15/475		1,401,296		13,877
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2010-C2, Class XB (IO)
1.45%		11/15/433,5		597,694		7,054
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
0.95%		12/15/475		1,760,735		19,296
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.00%		04/15/485		655,379		8,853
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.17%		08/10/493,4,5,6		304,960		124
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.07%		08/15/505		260,407		2,035
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.01%		12/15/475		4,324,674		60,753
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.60%		07/15/585		2,058,713		21,691
WF-RBS Commercial Mortgage Trust,
Series 2014-C19, Class XA (IO)
0.96%		03/15/475		5,405,180		27,657
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.24%		03/15/475		1,192,067		6,599
						266,153
Non-Agency Mortgage-Backed — 3.56%
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R11, Class M3
(LIBOR USD 1-Month plus 0.75%)
5.60%		01/25/361		100,000		94,220
Banc of America Funding Trust,
Series 2014-R7, Class 2A1
(LIBOR USD 1-Month plus 0.14%)
4.99%		09/26/361,3		5,867		5,895
Bear Stearns ARM Trust,
Series 2004-1, Class 12A5
3.92%		04/25/345		5,896		5,299
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A2
7.58%		06/15/305		19,426		2,645

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2021-R4, Class A1A
2.00%		05/01/613,5	$	66,070	$	57,277
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
6.20%		10/25/371,3		1,642		1,636
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
5.48%		02/25/351		37,630		34,743
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A1
(LIBOR USD 1-Month plus 0.90%)
5.75%		10/25/471		18,612		16,783
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
4.05%		09/25/355		9,494		8,783
HSI Asset Securitization Corp. Trust,
Series 2007-WF1, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
5.17%		05/25/371		8,478		8,428
IndyMac Index Mortgage Loan Trust,
Series 2007-FLX3, Class A1
(LIBOR USD 1-Month plus 0.48%)
5.33%		06/25/371		70,478		60,524
JPMorgan Mortgage Trust,
Series 2005-A3, Class 2A1
3.58%		06/25/355		482		478
Long Beach Mortgage Loan Trust,
Series 2006-1, Class 1A
(LIBOR USD 1-Month plus 0.44%)
5.29%		02/25/361		3,774		3,642
Morgan Stanley Mortgage Loan Trust,
Series 2004-5AR, Class 3A1
3.93%		07/25/345		10,381		9,529
Saxon Asset Securities Trust,
Series 2007-2, Class A2A
(LIBOR USD 1-Month plus 0.10%)
4.95%		05/25/471		64,401		46,290
Structured Asset Mortgage Investments II Trust,
Series 2004-AR1, Class 1A2
(LIBOR USD 1-Month plus 0.70%)
5.46%		03/19/341		1,383		1,294
Wells Fargo Home Equity Trust Mortgage Pass-Through
Certificates,
Series 2004-1, Class 2A1
(LIBOR USD 1-Month plus 0.60%)
5.45%		04/25/341		10,542		10,015
						367,481
U.S. Agency Commercial Mortgage-Backed — 0.34%
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.05%		04/25/365		45,191		396

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 120

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.67%		01/25/395	$	302,162	$	4,402
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K049, Class X3 (IO)
1.55%		10/25/435		250,000		8,236
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.13%		02/16/535		2,123,302		6,319
Ginnie Mae,
Series 2013-1, Class IO (IO)
0.58%		02/16/545		488,603		5,513
Ginnie Mae,
Series 2013-125, Class IO (IO)
0.21%		10/16/545		788,350		10,474
						35,340
U.S. Agency Mortgage-Backed — 12.50%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
1.15%		11/25/411		63,867		5,178
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42		18,228		16,533
Fannie Mae REMICS,
Series 2013-5, Class GF
(LIBOR USD 1-Month plus 1.10%)
5.00%		10/25/421		31,304		30,313
Freddie Mac Pool SD8189
2.50%		01/01/52		46,100		39,789
Freddie Mac Pool SD8199
2.00%		03/01/52		47,439		39,201
Freddie Mac REMICS,
Series 4064, Class TB
3.50%		06/15/42		98,618		93,965
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%		07/15/36		147,511		32,158
Ginnie Mae (TBA)
4.50%		04/20/53		50,000		49,268
5.00%		04/20/53		25,000		25,033
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
2.00%		10/20/331		180,600		14,417
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48		22,880		21,772
Ginnie Mae,
Series 2018-154, Class BP
3.50%		11/20/48		2,366		2,247
Ginnie Mae,
Series 2019-15, Class GT
3.50%		02/20/49		19,796		18,590

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
UMBS (TBA)
2.50%		05/01/53	$	100,000	$	86,305
4.00%		05/01/53		150,000		143,555
4.50%		04/15/53		75,000		73,483
4.50%		05/01/53		150,000		147,016
5.00%		05/01/53		225,000		224,376
5.50%		04/01/53		225,000		227,290
						1,290,489
Total Mortgage-Backed
(Cost $3,265,732)						1,959,463
MUNICIPAL BONDS — 4.51%*
California — 0.60%
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		7,039
San Francisco City & County Airport Commercial-San Francisco International Airport Revenue Bonds, Series C
3.05%		05/01/34		20,000		17,304
Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements
5.88%		04/01/32		20,000		20,989
Santa Monica Community College District General Obligation Bonds
2.05%		08/01/33		20,000		16,076
						61,408
Florida — 0.13%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31		15,000		13,843
Maryland — 0.12%
City of Baltimore Revenue Bonds, Series B
2.13%		07/01/33		15,000		11,962
Massachusetts — 0.24%
Massachusetts School Building Authority Revenue Bonds, Series A
2.50%		02/15/37		15,000		11,518
Massachusetts School Building Authority Revenue Bonds, Series B
2.97%		10/15/32		15,000		13,110
						24,628
Michigan — 0.22%
University of Michigan Revenue Bonds, Series C
3.44%		04/01/31		25,000		23,125
New York — 3.20%
City of New York General Obligation Bonds, Series D
1.92%		08/01/31		30,000		24,582
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.73%		08/01/29		5,000		4,767

See accompanying Notes to Financial Statements.

121 / Annual Report March 2023

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

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
2.50%		11/01/33	$	50,000	$	40,602
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33		100,000		77,637
New York State Dormitory Authority Revenue Bonds, School Improvements, Series F
2.96%		02/15/32		25,000		21,914
New York State Dormitory Authority Revenue Bonds, Series C
1.95%		03/15/29		75,000		64,923
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%		03/15/33		50,000		51,248
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series B
2.97%		03/15/34		15,000		12,788
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F
2.00%		03/15/33		15,000		11,734
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.59%		03/15/35		25,000		20,177
						330,372
Total Municipal Bonds
(Cost $562,038)						465,338
U.S. TREASURY SECURITIES — 17.93%
U.S. Treasury Bonds — 0.95%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%		10/15/277		73,725		75,192
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
(WI)
1.13%		01/15/337		23,100		23,060
						98,252
U.S. Treasury Notes — 16.98%
U.S. Treasury Notes
3.50%		02/15/33		98,000		98,161
3.63%		03/31/28		269,000		269,494
3.88%		03/31/25		592,000		590,254
4.00%		02/29/28		214,000		217,912
4.63%		02/28/25		398,000		401,895
4.63%		03/15/26		172,000		175,930
						1,753,646
Total U.S. Treasury Securities
(Cost $1,847,691)						1,851,898
Total Bonds — 107.00%
(Cost $13,112,134)						11,047,895

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 2.76%
Money Market Funds — 2.76%
Fidelity Investments Money Market Funds - Government Portfolio
4.72%8			20,923	$	20,923
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%8			264,000		264,000
Total Short-Term Investments
(Cost $284,923)					284,923
Total Investments - 109.76%
(Cost $13,397,057)					11,332,818
Liabilities in Excess of Other Assets - (9.76)%					(1,007,272	)
Net Assets - 100.00%				$	10,325,546

¹  Floating rate security. The rate disclosed was in effect at March 31, 2023.

²  Foreign denominated security issued by foreign domiciled entity.

³  Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

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

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

⁶  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $49,581, which is 0.48% of total net assets.

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

⁸  Represents the current yield as of March 31, 2023.

^*  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.

(CLO): Collateralized Loan Obligation

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(TBA): To-Be-Announced

(USD): U.S. Dollar

(WI): When Issued

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 122

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		16		06/30/23	$	3,303,250	$	29,109		$         29,109
U.S. Treasury Five-Year Note		7		06/30/23		766,555		14,995		14,995
						4,069,805		44,104		44,104
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		11		06/21/23		(1,332,547)		(41,047)		(41,047)
U.S. Treasury Ultra Bond		1		06/21/23		(141,125)		(6,752)		(6,752)
						(1,473,672)		(47,799)		(47,799)
TOTAL FUTURES CONTRACTS					$	2,596,133	$	(3,695)	$	(3,695)

		Received by the Fund		Paid by the Fund
Description	Maturity Date	Rate	Frequency	Rate		Frequency		Notional     Amount (000’s)		Value		Premiums Paid		Unrealized (Depreciation)
SWAPS: INTEREST RATE
Interest Rate Swap1	09/20/53	USD-SOFR- COMPOUND	Annual		3.00%		Annual	$	16	$	(361)	$	—	$	(361)
Interest Rate Swap1	09/20/53	USD-SOFR- COMPOUND	Annual		3.00%		Annual		52		(1,173)		—		(1,173)
TOTAL SWAPS CONTRACTS								$	68	$	(1,534)	$	—	$	(1,534)

¹ Centrally cleared.

See accompanying Notes to Financial Statements.

123 / Annual Report March 2023

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
BONDS – 112.98%
ASSET-BACKED SECURITIES — 13.09%**
Access Group, Inc.,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
5.55%	07/25/561,2	$	915,886	$	887,702
American Credit Acceptance Receivables Trust,
Series 2019-3, Class F
5.42%	05/12/261		7,780,000		7,725,002
American Credit Acceptance Receivables Trust,
Series 2019-4, Class D
2.97%	12/12/251		431,830		428,357
American Credit Acceptance Receivables Trust,
Series 2020-3, Class D
2.40%	06/15/261		1,700,000		1,660,439
Americredit Automobile Receivables Trust,
Series 2019-1, Class D
3.62%	03/18/25		4,610,000		4,555,429
AmeriCredit Automobile Receivables Trust,
Series 2020-1, Class D
1.80%	12/18/25		6,065,000		5,828,465
AmeriCredit Automobile Receivables Trust,
Series 2020-3, Class D
1.49%	09/18/26		2,587,000		2,378,279
AMMC CLO XIII Ltd.,
Series 2013-13A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.05%)
5.87%	07/24/291,2,3		3,824,254		3,797,675
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
5.76%	07/20/291,2,3		1,925,938		1,913,131
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
5.30%	04/25/351,2		93,479		88,868
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
5.76%	02/25/302		674		674
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
5.82%	10/27/362		4,148,533		4,094,967
Canyon Capital CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.59%	04/15/341,2,3		450,000		449,132
Carmax Auto Owner Trust,
Series 2019-4, Class C
2.60%	09/15/25		3,270,000		3,192,627
Carvana Auto Receivables Trust,
Series 2021-N2, Class D
1.27%	03/10/28		5,211,027		4,949,069

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Carvana Auto Receivables Trust,
Series 2022-N1, Class N
4.60%	12/11/281	$	506,644	$	506,179
CF Hippolyta Issuer, LLC,
Series 2020-1, Class A1
1.69%	07/15/601		8,303,060		7,610,480
Drive Auto Receivables Trust,
Series 2021-2, Class C
0.87%	10/15/27		5,745,000		5,545,871
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
5.68%	11/15/281,2,3		2,120,663		2,094,366
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
5.65%	04/26/321,2		3,698,357		3,656,088
Exeter Automobile Receivables Trust,
Series 2021-3A, Class C
0.96%	10/15/26		11,395,000		10,907,297
Exeter Automobile Receivables Trust,
Series 2021-4A, Class C
1.46%	10/15/27		3,110,000		2,964,270
Flagship Credit Auto Trust,
Series 2019-4, Class D
3.12%	01/15/261		2,967,000		2,870,960
GLS Auto Receivables Issuer Trust,
Series 2020-3A, Class D
2.27%	05/15/261		4,000,000		3,896,384
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
5.41%	08/25/422		1,332,489		1,220,815
GoldenTree Loan Opportunities IX Ltd.,
Series 2014-9A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
5.91%	10/29/291,2,3		3,231,022		3,207,856
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
6.01%	05/25/341,2		35,927		35,904
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/731		2,846,726		2,650,962
JPMorgan Chase Bank N.A. - CACLN,
Series 2021-1, Class C
1.02%	09/25/281		662,162		641,172
LCM XXIV Ltd.,
Series 24A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
5.79%	03/20/301,2,3		4,272,353		4,222,858

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 124

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Madison Park Funding XIX Ltd.,
Series 2015-19A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 0.92%)
5.74%	01/22/281,2,3	$	5,191,687	$	5,141,224
Madison Park Funding XVII Ltd.,
Series 2015-17A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
5.82%	07/21/301,2,3		10,497,840		10,395,486
Magnetite VII Ltd.,
Series 2012-7A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.59%	01/15/281,2,3		4,620,193		4,582,076
Navient Private Education Refi Loan Trust,
Series 2021-CA, Class A
1.06%	10/15/691		974,692		851,714
Navient Private Education Refi Loan Trust,
Series 2021-FA, Class A
1.11%	02/18/701		3,045,572		2,570,597
Navient Student Loan Trust,
Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
5.42%	11/26/402		3,512,181		3,401,683
Navient Student Loan Trust,
Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
5.90%	12/27/661,2		2,230,062		2,166,403
Nelnet Student Loan Trust,
Series 2013-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
5.45%	06/25/411,2		1,343,397		1,309,896
Nelnet Student Loan Trust,
Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
5.40%	07/25/461,2		4,441,460		4,284,193
NYACK Park CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(LIBOR USD 3-Month plus 0.65%)
5.46%	10/20/341,2,3		1,562,500		1,544,636
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
6.07%	11/20/301,2,3		2,000,000		1,980,100
OHA Credit Funding 2 Ltd.,
Series 2019-2A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.62%	04/21/341,2,3		328,125		327,948
Palmer Square CLO Ltd.,
Series 2018-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.03%)
5.82%	04/18/311,2,3		2,075,000		2,045,161

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Palmer Square Loan Funding Ltd.,
Series 2021-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.72%	05/20/291,2,3	$	1,111,215	$	1,096,247
PHEAA Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.15%)
6.00%	09/25/651,2		4,262,612		4,199,617
Progress Residential Trust,
Series 2020-SFR3, Class F
2.80%	10/17/271		6,980,000		6,277,286
ReadyCap Commercial Mortgage Trust,
Series 2019-6, Class A
2.83%	10/25/521		3,451,603		3,226,629
Reese Park CLO Ltd.,
Series 2020-1A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
5.69%	10/15/341,2,3		1,741,667		1,718,938
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
6.00%	10/20/301,2,3		1,750,000		1,733,634
Santander Bank Auto Credit-Linked Notes,
Series 2022-B, Class E
8.68%	08/16/321		3,795,763		3,732,883
Santander Drive Auto Receivables Trust,
Series 2019-2, Class D
3.22%	07/15/25		2,269,561		2,257,562
Santander Drive Auto Receivables Trust,
Series 2020-4, Class D
1.48%	01/15/27		3,835,000		3,693,318
Santander Drive Auto Receivables Trust,
Series 2021-3, Class C
0.95%	09/15/27		2,010,000		1,952,337
Santander Drive Auto Receivables Trust,
Series 2021-3, Class D
1.33%	09/15/27		6,260,000		5,908,005
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5,6		6,007,339		5,422,797
SLC Student Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 3-Month plus 0.06%)
4.92%	05/15/292		1,519,314		1,501,315
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
6.47%	07/25/222		2,754,206		2,735,661
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
5.92%	07/25/232		1,994,474		1,942,782

See accompanying Notes to Financial Statements.

125 / Annual Report March 2023

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
5.55%	01/25/292	$	1,796,224	$	1,732,870
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
5.40%	06/25/432		2,042,399		1,975,881
SLM Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.60%)
5.45%	02/26/292		3,262,205		3,137,595
Stack Infrastructure Issuer LLC,
Series 2019-2A, Class A2
3.08%	10/25/441		5,000,000		4,755,825
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/421,2		2,900,000		2,679,179
Tricon American Homes Trust,
Series 2017-SFR2, Class A
2.93%	01/17/361		9,959,247		9,732,903
Tricon American Homes Trust,
Series 2017-SFR2, Class B
3.28%	01/17/361		9,017,000		8,825,021
Vantage Data Centers Issuer LLC,
Series 2019-1A, Class A2
3.19%	07/15/441		5,389,691		5,200,515
Voya CLO,
Series 2017-2A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
5.77%	06/07/301,2,3		8,001,584		7,932,642
World Omni Auto Receivables Trust,
Series 2021-D, Class B
1.52%	11/15/27		5,325,000		4,804,386
Total Asset-Backed Securities
(Cost $237,081,352)					232,758,223
BANK LOANS — 2.21%*
Automotive — 0.03%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%	04/30/262		507,125		505,433
Communications — 0.15%
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(SOFR plus 1.75%)
6.46%	02/01/272		241,855		240,003
CSC Holdings LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
7.18%	04/15/272		244,333		216,617

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.32%	01/17/282	$	241,201	$	224,016
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.62%	05/01/282		110,444		105,198
Intelsat Jackson Holdings SA,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 4.50%)
9.08%	02/01/292,3		719,579		713,581
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	03/09/272		1,462,632		1,196,367
					2,695,782
Consumer Discretionary — 0.27%
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.09%	01/24/292,3		1,238,138		1,097,299
Term Loan, 2nd Lien
(SOFR plus 6.00%)
11.00%	01/24/302		38,558		29,561
Osmosis Buyer Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.48%	07/31/282		2,227,508		2,156,518
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.91%	10/01/262		1,551,256		1,538,776
					4,822,154
Entertainment — 0.04%
Alpha Topco Ltd. - Delta 2 (Lux) Sarl,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.05%	01/15/302		29,788		29,838
Crown Finance U.S., Inc.,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(SOFR plus 10.10%)
14.66% -14.80%	09/07/232,3		43,577		44,266
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.41%	08/01/272		610,223		597,967
William Morris Endeavor Entertainment LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
7.60%	05/16/252		46,479		46,169
					718,240

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 126

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Finance — 0.13%
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.46%		04/09/272	$	440,259	$	427,419
Jane Street Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
7.59%		01/26/282		738,665		728,324
Mozart Borrower, LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%		10/23/282		732,980		715,631
Setanta Aircraft Leasing DAC,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
7.16%		11/06/282		515,000		515,579
						2,386,953
Food — 0.05%
Chobani LLC,
Term Loan B, 1st Lien
(SOFR plus 3.61%)
8.42%		10/25/272		830,344		825,155
Gaming — 0.06%
Golden Nugget, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.81%		01/26/292		454,702		448,709
J&J Ventures Gaming LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
9.16%		04/26/282		55,602		54,015
Scientific Games International, Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.10%)
7.96%		04/13/292,3		471,478		468,627
						971,351
Health Care — 0.23%
Bausch & Lomb Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.36%		05/10/272		41,921		40,815
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.10%)
6.86%		12/30/262		160,828		160,024
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
6.74%		11/15/272		231,389		227,099
Horizon Therapeutics USA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 2.00%)
7.06%		05/22/262		1,000,000		1,000,190

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%		05/05/282	$	471,321	$	470,093
Organon & Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.75%		06/02/282		910,474		911,230
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%		02/01/282		818,305		809,783
Perrigo Investments LLC,
Term Loan B, 1st Lien
(SOFR plus 2.35%)
7.15%		04/20/292		496,250		493,769
						4,113,003
Industrials — 0.29%
AZZ, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.06%		05/14/292		524,925		525,471
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
6.51%		07/01/262		2,869,457		2,863,187
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
9.84%		08/02/272		985,138		950,323
II-VI, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
7.38% - 7.67%		07/02/292		142,923		141,851
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 3.25%)
8.15%		08/24/282		642,700		641,736
						5,122,568
Information Technology — 0.56%
Arches Buyer, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.25%)
8.06%		12/06/272		125,662		118,711
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.25%		02/15/292,3,7		2,498,639		2,345,597
Azalea Topco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
8.47%		07/24/262		487,519		458,268

See accompanying Notes to Financial Statements.

127 / Annual Report March 2023

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Central Parent, Inc.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.25%)
9.14% - 9.18%		07/06/292,3	$	346,965	$	346,433
Entegris, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
7.37% - 7.64%		07/06/292		151,271		149,758
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.72% - 8.99%		10/01/272		643,418		616,072
NCR Corp.,
Term Loan, 1st Lien
(LIBOR plus 2.50%)
7.33%		08/28/262		443,840		438,661
NortonLifeLock, Inc.,
Term Loan A, 1st Lien
(SOFR plus 2.00%)
6.58%		09/10/272		593,619		581,747
Term Loan B, 1st Lien
(SOFR plus 2.10%)
6.91%		09/12/292		611,378		606,105
Open Text Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.30%		08/24/292		102,646		102,507
Oracle Corp.,
Term Loan 1, 1st Lien
(SOFR plus 1.60%)
6.46%		08/16/272		2,595,268		2,582,292
Prime Security Services Borrower LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
7.52%		09/23/262		248,693		248,240
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%		04/24/282		606,644		589,861
Renaissance Holding Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.22%		03/14/302		79,972		77,916
Sophia LP,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.66%		10/07/272		584,500		578,658
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.99%		03/03/282		168,092		141,798
						9,982,624

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Insurance — 0.08%
Acrisure LLC,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
8.24%		02/15/272	$	459,454	$	445,861
Asurion LLC,
Term Loan B10, 1st Lien
(SOFR plus 4.10%)
8.91%		08/19/282		497,500		460,501
HUB International Ltd.,
Term Loan B3, 1st Lien
(LIBOR plus 3.25%)
8.06%		04/25/252		497,455		496,923
						1,403,285
Retail — 0.09%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
9.56%		04/20/282		113,328		115,248
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
6.99%		02/19/282		294,066		291,024
KFC Holding Co.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.51%		03/15/282		196,760		196,186
Whatabrands LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%		08/03/282		987,500		978,588
						1,581,046
Services — 0.22%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.63%		01/29/272		155,854		153,321
Amentum Government Services Holdings, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.82% - 9.03%		02/15/292		1,481,269		1,451,644
Corp. Service Co.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.16%		11/02/292		478,750		478,527
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%		06/22/292		266,607		264,108
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%		06/22/292		577,649		572,234

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 128

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Services (continued)
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%		12/15/282	$	542,345	$	534,605
Safe Fleet Holdings, LLC,
Term Loan, 1st Lien
(SOFR plus 3.85%)
8.61%		02/23/292		229,659		225,543
Trans Union LLC,
Term Loan B6, 1st Lien (Luxembourg)
(LIBOR plus 2.25%)
6.99%		12/01/282,3		140,512		139,693
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%		11/02/272		169,540		156,984
						3,976,659
Transportation — 0.01%
United Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.56%		04/21/282		127,977		127,353
Total Bank Loans
(Cost $39,440,102)						39,231,606
CORPORATES — 29.55%*
Banking — 9.27%
Bank of America Corp.
1.73%		07/22/275		1,549,000		1,389,441
3.42%		12/20/285		5,370,000		4,996,511
Bank of America Corp.
(GMTN)
3.59%		07/21/285		2,680,000		2,521,568
Bank of America Corp.
(MTN)
0.98%		09/25/255		15,840,000		14,800,865
1.32%		06/19/265		7,263,000		6,654,345
2.55%		02/04/285		4,275,000		3,897,026
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/271,3,5		5,545,000		4,713,250
2.13%		10/13/263,5		2,000,000		1,990,367
2.59%		09/11/251,3,5		9,715,000		9,028,733
3.80%		06/09/233		1,170,000		1,150,004
3.87%		01/12/291,3,5		2,605,000		2,321,384
4.28%		01/09/281,3		5,375,000		4,877,812
7.75%		03/01/293,5		1,160,000		1,382,733
DNB Bank ASA
(Norway)
0.86%		09/30/251,3,5		8,340,000		7,789,156
HSBC Holdings PLC
(United Kingdom)
2.01%		09/22/283,5		20,105,000		17,302,358
2.63%		11/07/253,5		2,530,000		2,393,642

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
ING Groep NV
(Netherlands)
3.87%	03/28/263,5	$	645,000	$	624,174
JPMorgan Chase & Co.
2.18%	06/01/285		879,000		788,066
4.02%	12/05/245		19,520,000		19,335,188
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,5		2,175,000		1,931,664
4.72%	08/11/263,5		381,000		372,826
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,5		5,880,000		5,482,772
1.34%	01/12/271,3,5		3,425,000		3,058,807
Santander UK Group Holdings PLC
(United Kingdom)
4.80%	11/15/243,5		13,000,000		12,822,996
Santander UK PLC
(United Kingdom)
5.00%	11/07/231,3		1,000,000		988,818
Wells Fargo & Co.
(MTN)
2.39%	06/02/285		2,000,000		1,802,255
3.53%	03/24/285		32,200,000		30,423,058
					164,839,819
Communications — 1.61%
AT&T, Inc.
2.30%	06/01/27		1,600,000		1,466,421
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.91%	07/23/25		1,720,000		1,702,549
Cox Communications, Inc.
3.15%	08/15/241		1,199,000		1,168,667
7.63%	06/15/25		900,000		939,204
Frontier Communications Holdings LLC
8.63%	03/15/311		12,000		11,760
Qwest Corp.
7.25%	09/15/25		4,665,000		4,338,450
SES SA
(Luxembourg)
3.60%	04/04/231,3		4,820,000		4,820,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
5.15%	03/20/281		1,035,000		1,028,912
T-Mobile USA, Inc.
2.25%	02/15/26		3,766,000		3,514,935
3.75%	04/15/27		6,325,000		6,083,911
3.88%	04/15/30		3,810,000		3,577,978
					28,652,787
Consumer Discretionary — 1.70%
BAT Capital Corp.
3.22%	08/15/24		2,140,000		2,079,747
3.56%	08/15/27		9,265,000		8,625,160

See accompanying Notes to Financial Statements.

129 / Annual Report March 2023

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/241,3	$	1,106,000	$	1,071,357
3.50%		07/26/261,3		5,205,000		4,887,744
WarnerMedia Holdings, Inc.
3.76%		03/15/271		14,400,000		13,571,794
						30,235,802
Diversified REITs — 1.14%
Digital Euro Finco LLC
2.63%		04/15/24		7,715,000		8,192,592
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24		1,197,000		1,141,639
4.00%		01/15/30		1,750,000		1,556,152
5.30%		01/15/29		2,179,000		2,076,151
VICI Properties LP/VICI Note Co., Inc.
3.88%		02/15/291		285,000		253,691
4.63%		06/15/251		4,640,000		4,488,622
5.75%		02/01/271		2,590,000		2,552,480
						20,261,327
Electric — 2.52%
Alliant Energy Finance LLC
1.40%		03/15/261		6,540,000		5,801,840
American Electric Power Co., Inc.
2.03%		03/15/24		6,880,000		6,673,754
5.75%		11/01/27		865,000		900,206
Black Hills Corp.
5.95%		03/15/28		4,540,000		4,710,571
Duke Energy Corp.
4.30%		03/15/28		3,295,000		3,235,419
Eversource Energy
2.90%		03/01/27		6,425,000		6,007,666
ITC Holdings Corp.
4.95%		09/22/271		5,460,000		5,501,204
Jersey Central Power & Light Co.
4.30%		01/15/261		1,868,000		1,834,875
4.70%		04/01/241		8,348,000		8,295,947
Metropolitan Edison Co.
4.00%		04/15/251		1,467,000		1,400,944
Pennsylvania Electric Co.
4.15%		04/15/251		500,000		484,384
						44,846,810
Energy — 0.76%
Energy Transfer LP
4.95%		05/15/28		1,150,000		1,140,262
5.95%		12/01/25		2,520,000		2,562,057
Petroleos Mexicanos
(Mexico)
6.70%		02/16/323		6,259,000		4,986,936
Plains All American Pipeline LP/PAA Finance Corp.
4.50%		12/15/26		3,017,000		2,955,793
Southern Co. Gas Capital Corp.
3.88%		11/15/25		1,950,000		1,899,003
						13,544,051

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance — 3.99%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/263	$	500,000	$	448,950
Air Lease Corp.
3.38%	07/01/25		1,250,000		1,191,899
3.63%	04/01/27		4,835,000		4,481,217
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		5,905,000		5,002,019
2.75%	02/21/281,3		1,350,000		1,127,930
3.25%	02/15/271,3		2,350,000		2,096,990
Capital One Financial Corp.
2.64%	03/03/265		2,685,000		2,489,948
Citigroup, Inc.
0.78%	10/30/245		16,523,000		16,063,542
3.52%	10/27/285		6,987,000		6,536,522
3.67%	07/24/285		5,365,000		5,090,907
JPMorgan Chase & Co.
0.56%	02/16/255		1,000,000		959,259
0.82%	06/01/255		2,535,000		2,404,280
1.04%	02/04/275		4,244,000		3,789,294
3.54%	05/01/285		1,621,000		1,534,223
Morgan Stanley
0.73%	04/05/245		7,760,000		7,756,141
0.99%	12/10/265		5,000,000		4,459,986
Morgan Stanley
(GMTN)
1.51%	07/20/275		4,685,000		4,160,950
UBS Group AG
(Switzerland)
1.36%	01/30/271,3,5		730,000		641,708
4.70%	08/05/271,3,5		685,000		657,820
					70,893,585
Food — 0.39%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.00%	02/02/291,3		5,590,000		4,798,293
5.13%	02/01/281,3		2,205,000		2,136,557
					6,934,850
Health Care — 2.21%
Amgen, Inc.
5.15%	03/02/28		8,405,000		8,588,199
Bayer U.S. Finance II LLC
2.85%	04/15/251		4,665,000		4,419,237
HCA, Inc.
3.13%	03/15/271		2,510,000		2,335,068
5.38%	02/01/25		2,345,000		2,346,195
5.38%	09/01/26		2,520,000		2,536,960
5.88%	02/15/26		3,980,000		4,042,884
HCA, Inc.
(MTN)
7.58%	09/15/25		1,100,000		1,144,216

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 130

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Humana, Inc.
5.70%		03/13/26	$	6,020,000	$	6,055,647
Illumina, Inc.
5.75%		12/13/27		2,275,000		2,332,366
Premier Health Partners,
Series G
2.91%		11/15/26		3,500,000		3,200,187
Tenet Healthcare Corp.
4.63%		09/01/24		2,321,000		2,296,540
						39,297,499
Health Care REITs — 0.22%
Physicians Realty LP
4.30%		03/15/27		3,995,000		3,861,885
Industrials — 1.30%
Amcor Flexibles North America, Inc.
4.00%		05/17/25		6,125,000		6,010,998
Artera Services LLC
9.03%		12/04/251		2,500,000		2,164,485
BAE Systems Holdings, Inc.
3.85%		12/15/251		2,910,000		2,824,036
Berry Global, Inc.
1.65%		01/15/27		2,000,000		1,752,857
4.88%		07/15/261		1,365,000		1,331,844
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
5.19%		05/05/262		7,235,000		7,146,796
(LIBOR USD 3-Month plus 0.48%)
5.34%		08/15/362		2,182,000		1,842,699
						23,073,715
Information Technology — 1.02%
Netflix, Inc.
3.63%		06/15/251		3,207,000		3,116,803
Oracle Corp.
2.80%		04/01/27		9,385,000		8,727,021
VMware, Inc.
1.00%		08/15/24		6,690,000		6,307,322
						18,151,146
Insurance — 1.88%
Aon Corp.
4.50%		12/15/28		2,442,000		2,406,775
Athene Global Funding
2.51%		03/08/241		2,935,000		2,850,234
(SOFR Index plus 0.70%)
5.46%		05/24/241,2		5,005,000		4,959,803
Farmers Insurance Exchange
8.63%		05/01/241		5,000,000		5,121,608
MMI Capital Trust I,
Series B
7.63%		12/15/27		2,000,000		2,131,565
Nationwide Mutual Insurance Co.
7.16%		12/15/241,5		5,550,000		5,528,715

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Teachers Insurance & Annuity Association of America
4.38%		09/15/541,5	$	2,800,000	$	2,729,212
Trinity Acquisition PLC
(United Kingdom)
4.63%		08/15/233		3,410,000		3,398,720
Willis North America, Inc.
4.65%		06/15/27		4,345,000		4,281,940
						33,408,572
Materials — 0.20%
International Flavors & Fragrances, Inc.
1.83%		10/15/271		4,215,000		3,575,583
Office REITs — 0.07%
Hudson Pacific Properties LP
5.95%		02/15/28		1,530,000		1,183,931
Retail — 0.07%
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/271,3		1,425,000		1,344,035
Retail REITs — 0.11%
Federal Realty Investment Trust
7.48%		08/15/26		1,850,000		1,954,209
Services — 0.46%
Global Payments, Inc.
2.15%		01/15/27		9,201,000		8,152,490
Specialized REITs — 0.57%
Extra Space Storage LP
5.70%		04/01/28		3,745,000		3,772,622
Life Storage LP
3.88%		12/15/27		6,745,000		6,387,715
						10,160,337
Transportation — 0.06%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28		1,335,309		1,176,932
Total Corporates
(Cost $542,347,674)						525,549,365
MORTGAGE-BACKED — 53.02%**
Non-Agency Commercial Mortgage-Backed — 9.70%
Arbor Realty Commercial Real Estate Notes Ltd.,
Series 2021-FL3, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.07%)
5.75%		08/15/341,2,3		5,000,000		4,904,034
Ashford Hospitality Trust,
Series 2018-KEYS, Class A
(LIBOR USD 1-Month plus 1.00%)
5.69%		06/15/351,2		2,575,000		2,496,964
BANK,
Series 2018-BN14, Class A2
4.13%		09/15/60		4,387,787		4,296,381

See accompanying Notes to Financial Statements.

131 / Annual Report March 2023

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Benchmark Mortgage Trust,
Series 2020-B17, Class A2
2.21%		03/15/53		$	7,590,000	$	6,893,972
BX Commercial Mortgage Trust,
Series 2020-VKNG, Class A
(CME Term SOFR 1-Month plus 1.04%)
5.87%		10/15/37	1,2		4,719,596		4,607,655
BX Commercial Mortgage Trust,
Series 2021-CIP, Class A
(LIBOR USD 1-Month plus 0.92%)
5.61%		12/15/381,2			4,245,000		4,097,523
BX Commercial Mortgage Trust,
Series 2021-VINO, Class A
(LIBOR USD 1-Month plus 0.65%)
5.34%		05/15/381,2			5,354,000		5,143,266
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%		05/10/58			1,452,851		1,399,664
Cold Storage Trust,
Series 2020-ICE5, Class A
(LIBOR USD 1-Month plus 0.90%)
5.58%		11/15/371,2			8,456,667		8,248,743
Commercial Mortgage Trust,
Series 2014-CR15, Class ASB
3.60%		02/10/47			1,258,674		1,250,032
Commercial Mortgage Trust,
Series 2014-CR20, Class A3
3.33%		11/10/47			5,765,052		5,566,835
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%		07/10/50			4,323,875		4,166,193
Commercial Mortgage Trust,
Series 2016-DC2, Class ASB
3.55%		02/10/49			139,757		135,384
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
5.66%		05/15/361,2			11,067,266		10,951,549
DBGS Mortgage Trust,
Series 2018-BIOD, Class A
(LIBOR USD 1-Month plus 0.80%)
5.49%		05/15/351,2			9,082,801		8,931,092
Great Wolf Trust,
Series 2019-WOLF, Class A
(CME Term SOFR 1-Month plus 1.15%)
5.98%		12/15/361,2			9,584,000		9,370,732
GS Mortgage Securities Corp. Trust,
Series 2019-70P, Class A
(LIBOR USD 1-Month plus 1.00%)
5.68%		10/15/361,2			10,000,000		9,486,239
GS Mortgage Securities Corp. Trust,
Series 2022-SHIP, Class A
(CME Term SOFR 1-Month plus 0.73%)
5.56%		08/15/361,2			3,448,000		3,407,133

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2011-GC5, Class AS
5.16%	08/10/441,5	$	2,950,215	$	2,912,214
GS Mortgage Securities Trust,
Series 2018-GS10, Class A1
3.20%	07/10/51		361,077		359,964
GS Mortgage Securities Trust,
Series 2018-GS9, Class A2
3.84%	03/10/51		825,232		807,458
Houston Galleria Mall Trust,
Series 2015-HGLR, Class A1A1
3.09%	03/05/371		3,750,000		3,479,404
Independence Plaza Trust,
Series 2018-INDP, Class A
3.76%	07/10/351		3,294,364		3,109,640
Independence Plaza Trust,
Series 2018-INDP, Class B
3.91%	07/10/351		10,000,000		9,403,902
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%	05/15/481		296,534		296,050
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.26%	04/15/465		10,073,366		52,153
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2014-C20, Class A4A2
3.54%	07/15/471		3,036,825		2,928,818
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2021-MHC, Class A
(LIBOR USD 1-Month plus 0.80%)
5.48%	04/15/381,2		4,932,362		4,790,244
KKR Industrial Portfolio Trust,
Series 2021-KDIP, Class A
(CME Term SOFR 1-Month plus 0.66%)
5.49%	12/15/371,2		2,556,338		2,480,306
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
6.47%	11/15/351,2		7,661,373		7,672,074
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XA (IO)
0.66%	10/15/465		30,762,479		20,364
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.85%	03/15/485		32,514,781		379,264
One Lincoln Street Commercial Mortgage,
Series 2004-C3, Class A1
5.72%	10/15/301,5		4,915,887		4,903,897
One New York Plaza Trust,
Series 2020-1NYP, Class A
(LIBOR USD 1-Month plus 0.95%)
5.63%	01/15/361,2		3,240,000		3,109,426
SMRT,
Series 2022-MINI, Class A
(CME Term SOFR 1-Month plus 1.00%)
5.83%	01/15/391,2		2,885,000		2,792,951

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 132

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
SREIT Trust,
Series 2021-MFP2, Class A
(LIBOR USD 1-Month plus 0.82%)
5.51%		11/15/361,2	$	3,640,000	$	3,499,803
UBS Commercial Mortgage Trust,
Series 2018-C11, Class A2
3.99%		06/15/51		159,496		158,786
UBS Commercial Mortgage Trust,
Series 2018-C12, Class A2
4.15%		08/15/51		9,002,661		8,958,750
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50		6,547,457		6,404,658
Wells Fargo Commercial Mortgage Trust,
Series 2017-SMP, Class A
(LIBOR USD 1-Month plus 0.88%)
5.56%		12/15/341,2		6,300,000		5,939,486
Westfield Galleria at Roseville
3.25%		03/29/254,6		2,700,000		2,685,960
						172,498,963
Non-Agency Mortgage-Backed — 16.04%
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
5.07%		02/25/372		1,292,460		1,280,029
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-OP1, Class A2D
(LIBOR USD 1-Month plus 0.48%)
5.33%		04/25/362		6,535,075		5,785,271
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R1, Class M3
(LIBOR USD 1-Month plus 0.80%)
5.64%		03/25/352		307,745		307,493
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R9, Class M1
(LIBOR USD 1-Month plus 0.71%)
5.55%		11/25/352		7,911,547		7,749,726
Amresco Residential Securities Corp. Mortgage Loan Trust, Series 1998-1, Class A5 (STEP-reset date 05/25/23)
7.40%		10/25/27		594		590
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W2, Class M1
(LIBOR USD 1-Month plus 0.74%)
5.58%		10/25/352		5,295,715		5,146,385
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A5
(LIBOR USD 1-Month plus 0.54%)
2.93%		03/25/362		2,392,071		2,280,171
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%		10/25/33		3,242,888		3,114,104

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns ALT-A Trust,
Series 2004-10, Class M1
(LIBOR USD 1-Month plus 0.90%)
5.75%		09/25/342		$	1,543,080	$	1,529,874
Bear Stearns ALT-A Trust,
Series 2005-2, Class 1M1
(LIBOR USD 1-Month plus 0.75%)
5.60%		03/25/352			841,661		834,340
Bear Stearns ARM Trust,
Series 2004-3, Class 4A
3.88%		07/25/345			201,551		187,146
BNC Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.16%)
5.01%		03/25/372			4,455,061		4,103,765
Chase Funding Trust,
Series 2002-2, Class 2A1
(LIBOR USD 1-Month plus 0.50%)
5.35%		05/25/322			1,359,252		1,328,220
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
4.12%		02/25/375			2,695,207		2,535,539
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
4.14%		06/25/355			450,995		427,907
Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates,
Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
5.03%		05/25/361,2			400,137		337,266
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/571,5			7,389,571		6,484,919
CIM Trust,
Series 2022-I1, Class A1
4.35%		02/25/671,5			5,590,862		5,467,436
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
6.20%		10/25/371,2			3,127,054		3,115,605
Citigroup Mortgage Loan Trust,
Series 2006-AMC1, Class A1
(LIBOR USD 1-Month plus 0.29%)
5.14%		09/25/361,2			6,698,865		6,408,450
Countrywide Asset-Backed Certificates Trust,
Series 2006-14, Class 2A3
(LIBOR USD 1-Month plus 0.48%)
5.33%		02/25/372			2,598,608		2,431,496
Countrywide Asset-Backed Certificates Trust,
Series 2006-4, Class M1
(LIBOR USD 1-Month plus 0.53%)
5.37%		07/25/362			3,948,710		3,866,180
Countrywide Asset-Backed Certificates Trust,
Series 2007-7, Class 1A
(LIBOR USD 1-Month plus 0.20%)
5.05%		10/25/47	2		7,873,212		7,505,106

See accompanying Notes to Financial Statements.

133 / Annual Report March 2023

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
3.91%	08/25/345	$	7,142	$	6,242
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2004-AR1, Class 5A1
4.08%	02/25/345		266,555		249,829
Credit Suisse Mortgage Capital Trust
Series 2022-RPL3, Class A1
3.68%	03/25/611,5		8,138,834		8,199,876
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(LIBOR USD 1-Month plus 0.09%)
3.03%	04/25/372		938,059		907,739
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
3.40%	04/25/372		1,980,916		1,372,576
DSLA Mortgage Loan Trust,
Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.42%)
5.18%	03/19/452		249,927		233,150
Fannie Mae Connecticut Avenue Securities,
Series 2022-R03, Class 1M1
(SOFR30A plus 2.10%)
6.66%	03/25/421,2		5,018,827		5,009,290
First Franklin Mortgage Loan Trust,
Series 2004-FF5, Class A3C
(LIBOR USD 1-Month plus 1.00%)
5.85%	08/25/342		409,610		381,593
First Franklin Mortgage Loan Trust,
Series 2005-FF8, Class M2
(LIBOR USD 1-Month plus 0.78%)
5.63%	09/25/352		1,975,217		1,953,383
First Franklin Mortgage Loan Trust,
Series 2006-FF11, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
5.11%	08/25/362		2,549,785		2,541,228
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
5.10%	09/25/345		1,339		1,184
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA6, Class M1A
(SOFR30A plus 2.15%)
6.71%	09/25/421,2		1,982,549		1,992,445
Fremont Home Loan Trust,
Series 2005-E, Class 2A4
(LIBOR USD 1-Month plus 0.66%)
5.51%	01/25/362		13,152,103		12,182,568
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
5.06%	06/25/302		58,461		54,041
GSAMP Trust,
Series 2005-HE4, Class M3
(LIBOR USD 1-Month plus 0.78%)
5.63%	07/25/452		1,656,587		1,608,505

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAMP Trust,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.48%)
5.33%	03/25/462		$      4,084,798		$      3,938,286
GSR Mortgage Loan Trust,
Series 2005-AR7, Class 2A1
3.91%	11/25/355		90,715		82,266
Impac CMB Trust,
Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.32%)
5.49%	08/25/352		963,998		859,470
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
5.63%	12/25/342		154,752		119,488
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
5.65%	11/25/342		447,650		381,874
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		186,035		187,983
JPMorgan Mortgage Acquisition Trust,
Series 2005-FRE1, Class M1
(LIBOR USD 1-Month plus 0.62%)
3.20%	10/25/352		4,216,179		4,084,980
JPMorgan Mortgage Acquisition Trust,
Series 2006-NC1, Class M1
(LIBOR USD 1-Month plus 0.48%)
5.33%	04/25/362		4,928,163		4,701,946
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class M1
(LIBOR USD 1-Month plus 0.23%)
5.08%	05/25/372		14,750,000		14,086,839
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A1
(LIBOR USD 1-Month plus 0.16%)
5.01%	06/25/372		10,974,137		10,857,836
JPMorgan Mortgage Trust,
Series 2007-A1, Class 1A1
4.18%	07/25/355		194,917		187,976
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
4.00%	07/25/355		75,751		72,443
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class AIOC (IO)
0.55%	04/15/404,5,6		52,249,972		673,716
LHOME Mortgage Trust,
Series 2021-RTL1, Class A1
2.09%	02/25/261,5		3,910,000		3,822,840
Long Beach Mortgage Loan Trust,
Series 2005-WL3, Class M1
(LIBOR USD 1-Month plus 0.65%)
5.49%	11/25/352		1,113,649		1,109,763

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 134

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.81%	01/25/345	$	2,009	$	1,879
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
3.87%	11/21/345		319,106		295,668
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
4.02%	04/25/345		48,865		44,660
MASTR Alternative Loan Trust,
Series 2003-1, Class 1A1
6.25%	12/25/32		872,792		852,520
MASTR Alternative Loan Trust,
Series 2003-5, Class 4A1
5.50%	07/25/33		1,555,647		1,466,394
MASTR Alternative Loan Trust,
Series 2003-9, Class 4A1
5.25%	11/25/33		1,743,291		1,682,182
MASTR Alternative Loan Trust,
Series 2004-7, Class 1A1
5.50%	07/25/34		1,562,293		1,473,406
MASTR Asset-Backed Securities Trust,
Series 2006-HE1, Class M1
(LIBOR USD 1-Month plus 0.56%)
5.40%	01/25/362		5,485,955		5,250,862
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.22%	10/25/325		86,315		81,733
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.36%)
5.21%	06/25/372		7,430,566		6,754,311
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
3.53%	08/25/345		486,293		439,344
Merrill Lynch Mortgage Investors Trust,
Series 2006-F1, Class 1A2
6.00%	04/25/36		785,256		406,698
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%	10/15/401		2,682,143		2,618,272
Mid-State Trust,
Series 10W, Class A2
5.82%	02/15/36		280,102		270,266
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
5.78%	07/25/342		731,609		689,459
MortgageIT Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.60%)
5.45%	08/25/352		98,260		90,453
MortgageIT Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.56%)
5.41%	10/25/352		2,394,499		2,345,023

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%)
5.07%	04/25/372	$	2,917,842	$	2,895,997
New Century Home Equity Loan Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.64%)
5.81%	07/25/352		689,987		687,045
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.44%)
5.29%	02/25/362		234,417		234,149
New Century Home Equity Loan Trust,
Series 2005-D, Class M1
(LIBOR USD 1-Month plus 0.68%)
5.52%	02/25/362		5,000,000		4,792,769
NLT Trust,
Series 2021-INV2, Class A1
1.16%	08/25/561,5		6,375,998		5,310,179
Opteum Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates,
Series 2005-5, Class 1APT
(LIBOR USD 1-Month plus 0.56%)
5.41%	12/25/352		3,008,235		2,784,128
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WCW3, Class M2
(LIBOR USD 1-Month plus 0.74%)
5.58%	08/25/352		2,262,864		2,141,731
PHH Alternative Mortgage Trust,
Series 2007-3, Class A3
(LIBOR USD 1-Month plus 0.60%)
5.45%	07/25/372		4,885,842		4,554,833
PRPM LLC,
Series 2020-4, Class A1 (STEP-reset date 04/25/23)
2.95%	10/25/251		6,313,208		6,170,461
PRPM LLC,
Series 2021-3, Class A1 (STEP-reset date 04/25/23)
1.87%	04/25/261		10,589,525		9,879,149
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 04/25/23)
5.56%	06/25/271		10,499,907		10,358,661
PRPM, LLC,
Series 2021-1, Class A1
2.12%	01/25/261,5		4,705,534		4,446,068
PRPM, LLC,
Series 2021-10, Class A1 (STEP-reset date 04/25/23)
2.49%	10/25/261		10,455,878		9,691,435
PRPM, LLC,
Series 2021-7, Class A1 (STEP-reset date 04/25/23)
1.87%	08/25/261		11,172,923		10,460,793
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.61%	03/25/355		901,772		457,651

See accompanying Notes to Financial Statements.

135 / Annual Report March 2023

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products Trust,
Series 2005-EFC1, Class M5
(LIBOR USD 1-Month plus 0.65%)
4.69%	05/25/352	$	2,464,958	$	2,428,033
Residential Asset Mortgage Products Trust,
Series 2006-NC2, Class A3
(LIBOR USD 1-Month plus 0.58%)
5.43%	02/25/362		409,637		406,990
Residential Asset Securities Corp.,
Series 2005-KS11, Class M2
(LIBOR USD 1-Month plus 0.63%)
5.48%	12/25/352		2,005,272		1,982,310
Saxon Asset Securities Trust,
Series 2006-2, Class M1
(LIBOR USD 1-Month plus 0.29%)
5.28%	09/25/362		11,000,000		10,065,751
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/23)
2.86%	01/25/36		1,427,290		1,122,753
Soundview Home Loan Trust,
Series 2006-OPT4, Class 2A4
(LIBOR USD 1-Month plus 0.46%)
5.31%	06/25/362		3,852,889		3,677,440
Specialty Underwriting & Residential Finance Trust,
Series 2005-BC2, Class M3
(LIBOR USD 1-Month plus 0.98%)
5.82%	12/25/352		1,375,181		1,337,131
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-BC6, Class A4
(LIBOR USD 1-Month plus 0.17%)
5.02%	01/25/372		1,179,544		1,154,284
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-26A, Class 3A5
5.34%	09/25/335		210,609		200,624
Terwin Mortgage Trust,
Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 1.10%)
5.95%	07/25/341,2		71,333		61,800
VOLT XCIV LLC,
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/23)
2.24%	02/27/511		7,631,074		7,176,493
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
4.09%	01/25/355		287,934		257,066
WaMu Mortgage Pass-Through Certificates,
Series 2004-CB2, Class 2A
5.50%	07/25/34		813,375		768,059
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.58%)
5.43%	10/25/452		894,021		820,398

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%)
5.51%		01/25/452	$	118,588	$	112,934
						285,288,618
U.S. Agency Commercial Mortgage-Backed — 1.30%
Fannie Mae-Aces,
Series 2021-M1, Class A1
0.87%		11/25/30		2,060,458		1,848,682
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K037, Class A1
2.59%		04/25/23		7,050		7,026
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ29, Class A1
0.74%		01/25/26		2,466,403		2,368,420
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ30, Class A1
0.53%		01/25/25		722,410		715,733
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ31, Class A1
0.57%		05/25/26		1,558,077		1,492,232
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ34, Class A1
0.68%		06/25/26		3,283,741		3,039,286
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ37, Class A1
1.68%		12/25/27		12,069,126		11,095,175
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
4.20%		05/25/442		1,129,056		1,122,170
Ginnie Mae,
Series 2008-92, Class E
5.56%		03/16/445		1,379,849		1,363,567
						23,052,291
U.S. Agency Mortgage-Backed — 25.98%
Fannie Mae Pool 735861
6.50%		09/01/33		4,942		5,041
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
2.94%		04/01/342		81,590		81,467
Fannie Mae Pool AD0538
6.00%		05/01/24		18,105		18,096
Fannie Mae Pool AE0083
6.00%		01/01/40		459,200		479,417

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 136

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL0851
6.00%	10/01/40	$	544,676	$	576,944
Fannie Mae REMICS,
Series 1997-76, Class FS
(LIBOR USD 1-Month plus 0.45%)
5.16%	09/17/272		4,233		4,162
Fannie Mae REMICS,
Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
5.80%	10/25/312		315,389		318,814
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
5.32%	07/25/372		148,613		147,385
Fannie Mae REMICS,
Series 2009-85, Class LF
(LIBOR USD 1-Month plus 1.20%)
6.05%	10/25/492		1,513,252		1,548,282
Fannie Mae REMICS,
Series 2009-96, Class FA
(LIBOR USD 1-Month plus 0.90%)
5.75%	11/25/492		1,079,568		1,079,969
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
5.25%	10/25/402		543,064		539,481
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
1.38%	11/25/362		3,617,595		397,558
Fannie Mae REMICS,
Series 2010-43, Class DP
5.00%	05/25/40		428,958		436,914
Fannie Mae REMICS,
Series 2010-6, Class BF
(LIBOR USD 1-Month plus 0.76%)
5.61%	02/25/402		863,509		862,895
Fannie Mae REMICS,
Series 2010-95, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
1.75%	09/25/402		2,744,915		327,916
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
5.35%	01/25/502		3,036,468		2,975,634
Fannie Mae REMICS,
Series 2020-10, Class FA
(LIBOR USD 1-Month plus 0.50%)
5.35%	03/25/502		5,663,295		5,587,667
Freddie Mac Gold Pool A45796
7.00%	01/01/33		1,112		1,124
Freddie Mac Gold Pool C46104
6.50%	09/01/29		2,802		2,901
Freddie Mac Gold Pool G13475
6.00%	01/01/24		295		294

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool SD8189
2.50%	01/01/52	$	12,746,565	$	11,001,755
Freddie Mac Pool SD8199
2.00%	03/01/52		13,235,607		10,937,212
Freddie Mac REMICS,
Series 2174, Class PN
6.00%	07/15/29		176,677		179,691
Freddie Mac REMICS,
Series 2454, Class FQ
(LIBOR USD 1-Month plus 1.00%)
5.68%	06/15/312		2,816		2,844
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
5.28%	10/15/332		1,245,530		1,254,636
Freddie Mac REMICS,
Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
4.98%	04/15/352		613,517		611,569
Freddie Mac REMICS,
Series 3294, Class CB
5.50%	03/15/37		190,580		198,632
Freddie Mac REMICS,
Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
4.98%	08/15/352		334,502		331,535
Freddie Mac REMICS,
Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
4.98%	08/15/352		862,629		854,978
Freddie Mac REMICS,
Series 3524, Class FC
(LIBOR USD 1-Month plus 0.94%)
5.62%	06/15/382		211,697		214,418
Freddie Mac REMICS,
Series 3531, Class FM
(LIBOR USD 1-Month plus 0.90%)
5.58%	05/15/392		136,138		137,666
Freddie Mac REMICS,
Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
5.08%	11/15/402		27,824		27,800
Freddie Mac REMICS,
Series 4060, Class FJ
(LIBOR USD 1-Month plus 0.35%)
5.03%	02/15/412		295,884		295,884
Freddie Mac REMICS,
Series 4959, Class JF
(LIBOR USD 1-Month plus 0.45%)
5.30%	03/25/502		4,965,116		4,849,849
Freddie Mac Strips,
Series 240, Class F30
(LIBOR USD 1-Month plus 0.30%)
4.98%	07/15/362		1,032,580		1,021,365

See accompanying Notes to Financial Statements.

137 / Annual Report March 2023

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

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%)
5.18%		06/15/422	$	1,120,159	$	1,105,960
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
5.18%		11/15/432		5,182,931		5,097,585
Ginnie Mae (TBA)
2.50%		05/20/53		52,000,000		45,832,631
4.50%		04/20/53		10,400,000		10,247,726
5.00%		04/20/53		4,600,000		4,606,109
Ginnie Mae II Pool 2020
8.50%		06/20/25		114		114
Ginnie Mae II Pool 2286
8.50%		09/20/26		37		37
Ginnie Mae II Pool 2487
8.50%		09/20/27		1,460		1,462
Ginnie Mae II Pool 80059
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.88%		04/20/272		5,750		5,642
Ginnie Mae II Pool 80589
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.63%		03/20/322		8,469		8,232
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.88%		06/20/322		4,943		4,885
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.63%		07/20/342		134,819		132,922
Ginnie Mae II Pool 81201
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.00%)
3.13%		01/20/352		3,645		3,516
Ginnie Mae II Pool 8599
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.00%		02/20/252		3,033		2,988
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
2.04%		05/20/372		2,207,995		103,778
Ginnie Mae,
Series 2013-53, Class AD
1.50%		12/20/26		445,836		427,912
UMBS (TBA)
2.00%		05/01/53		55,600,000		46,010,052
2.50%		05/01/53		49,225,000		42,483,514
3.00%		05/01/53		43,025,000		38,633,445
3.50%		05/01/53		3,975,000		3,694,924
4.00%		05/01/53		33,300,000		31,869,146
4.50%		04/15/53		17,600,000		17,244,080

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.50%	05/01/53	$	38,650,000	$	37,881,187
5.00%	05/01/53		89,125,000		88,877,817
5.50%	04/01/53		39,875,000		40,280,759
					461,868,218
Total Mortgage-Backed (Cost $965,540,966)					942,708,090
MUNICIPAL BONDS — 1.47%*
California — 0.23%
Campbell Union School District General Obligation, School
Improvements, Series B
5.41%	08/01/27		3,995,000		4,092,185
Colorado — 0.05%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%	11/15/23		895,000		871,435
Florida — 0.07%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.14%	10/01/28		445,000		394,803
2.29%	10/01/29		985,000		862,611
					1,257,414
Maryland — 0.09%
City of Baltimore General Obligation, School Improvements,
Series C
5.00%	10/15/25		1,525,000		1,534,391
Massachusetts — 0.29%
Commonwealth of Massachusetts Revenue Bonds, Series B
4.11%	07/15/31		5,235,000		5,116,333
New York — 0.74%
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
3.19%	08/01/25		1,110,000		1,078,625
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries
B2
2.31%	11/01/26		4,060,000		3,777,183
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series D
5.00%	03/15/24		4,040,000		4,037,869
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series F
5.19%	03/15/24		4,360,000		4,367,739
					13,261,416
Total Municipal Bonds (Cost $27,568,287)					26,133,174
U.S. TREASURY SECURITIES — 13.64%
U.S. Treasury Bonds — 0.77%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%	10/15/278		13,360,364		13,626,212

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 138

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes — 12.87%
U.S. Treasury Notes
3.63%		03/31/28	$	22,506,000	$	22,547,320
3.88%		03/31/25		101,405,000		101,105,934
4.00%		02/29/28		4,389,000		4,469,237
4.63%		02/28/25		47,251,000		47,713,359
4.63%		03/15/26		51,850,000		53,034,853
						228,870,703
Total U.S. Treasury Securities
(Cost $241,099,888)						242,496,915
Total Bonds — 112.98%
(Cost $2,053,078,269)						2,008,877,373
Issues			Shares		Value
COMMON STOCK — 0.00%
Electric — 0.00%
Homer City Holdings LLC†,4,6				106,501		—
Total Common Stock
(Cost $6,078,660)
Purchased Swaptions - 0.00%
(Cost $939,000)						1,476

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 11.34%
Money Market Funds — 8.56%
Dreyfus Government Cash Management Fund
4.71%9				63,684,000		63,684,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%9				88,482,000		88,482,000
						152,166,000
U.S. Agency Discount Notes — 1.39%
Federal Home Loan Bank
4.98%10		06/21/23		25,000,000		24,744,421
U.S. Treasury Bills — 1.39%
U.S. Treasury Bills (WI)
4.76%10		07/18/23		25,000,000		24,657,524
Total Short-Term Investments
(Cost $201,538,512)						201,567,945
Total Investments Before Written Swaptions - 124.32%
(Cost $2,261,634,441)						2,210,446,794
Written Swaptions - 0.00%
(Cost $(540,000))						(3	)
Net unrealized depreciation on unfunded commitments - 0.00%						(14,800	)
Liabilities in Excess of Other Assets - (24.32)%						(432,287,441	)
Net Assets - 100.00%					$	1,778,144,550

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

²  Floating rate security. The rate disclosed was in effect at March 31, 2023.

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

⁶  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $8,782,473, which is 0.49% 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 $288,151, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

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

⁹  Represents the current yield as of March 31, 2023.

¹⁰  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.

(CLO): Collateralized Loan Obligation

(EUR): Euro

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

(WI): When Issued

See accompanying Notes to Financial Statements.

139 / Annual Report March 2023

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date		Unrealized (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 9,282,276	EUR 8,587,000	Citibank N.A.		04/13/23	$	(53,869)
USD 1,327,929	EUR 1,258,000	Goldman Sachs International		04/13/23		(39,821)
USD 841,497	EUR 793,000	Barclays Bank PLC		04/13/23		(20,686)
NET UNREALIZED DEPRECIATION					$	(114,376)

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		6,159		06/30/23	$	1,271,544,803	$	13,397,161	$	13,397,161
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five-Year Note		3,693		06/30/23		(404,412,353)		(6,412,488)		(6,412,488)
U.S. Treasury Ten-Year Ultra Bond		881		06/21/23		(106,724,891)		(3,061,276)		(3,061,276)
U.S. Treasury Ultra Bond		244		06/21/23		(34,434,500)		(1,519,394)		(1,519,394)
						(545,571,744)		(10,993,158)		(10,993,158)
TOTAL FUTURES CONTRACTS					$	725,973,059	$	2,404,003	$	2,404,003

Reference Obligation/Index	Financing Rate Paid by the Fund		Payment Frequency		Implied Credit Spread at 03/31/231		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	$	6,695	$	67,603	$	48,325	$	19,278
								Credit Suisse
Berry Global, Inc., 5.63%, due								First Boston
07/15/27		5.00%		3 Months		175		International		12/20/23		3,425		84,632		75,877		8,755
TOTAL													$	152,235	$	124,202	$	28,033

¹  An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

²  The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³  The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴  If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 140

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Received by the

Fund

Fund

Paid by the Fund

Description

Counterparty

Maturity Date

Rate

Frequency

Rate

Frequency

Notional Amount

Value

Premiums Paid

Unrealized (Depreciation)

PURCHASED SWAPTIONS

Option to enter into a 30-year Interest Rate Swap

Goldman Sachs International

12/24/23

3-month USD LIBOR

Quarterly

6.00

%

Quarterly

$

300,000

$

1,476

$

939,000

$

(937,524)

Received by

the Fund

Paid by the Fund

Notional

Purchase

Maturity

Amount

Premiums

Unrealized

Description

Counterparty

Date

Date

Rate

Frequency

Rate

Frequency

(000’s)

Value

(Received)

Appreciation

WRITTEN CALL SWAPTIONS

Option to enter into a 30-year Interest Rate Swap

Goldman Sachs International

04/29/15

12/24/23

7.50%

Quarterly

3-month USD LIBOR

Quarterly

$

300

$

(3

)

$

(540,000

)

$

539,997

See accompanying Notes to Financial Statements.

141 / Annual Report March 2023

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 81.43%
BANK LOANS — 9.13%*
Consumer Discretionary — 1.05%
City Brewing Co. LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.32%	04/05/281	$	7,481	$	3,163
Hanesbrands, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.55%	03/08/301		5,000		4,988
Naked Juice, LLC,
Term Loan, 2nd Lien
(SOFR plus 6.00%)
11.00%	01/24/301		12,000		9,200
New Trojan Parent, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
7.96% - 8.09%	01/06/281		6,484		4,441
					21,792
Entertainment — 0.50%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.50%)
9.50%	02/28/251		15,802		2,532
Crown Finance U.S., Inc.,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(SOFR plus 10.10%)
14.66% - 14.80%	09/07/231,2		7,747		7,869
					10,401
Food — 0.52%
Sovos Brands Intermediate, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.33%	06/08/281		10,777		10,709
Health Care — 0.47%
Cano Health, LLC,
Term Loan, 1st Lien
(SOFR plus 4.00%)
8.81%	11/23/271		12,773		9,644
Industrials — 2.20%
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.47%	03/20/251		4,488		4,152
Protective Industrial Products, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	12/29/271		12,804		11,908
SPX FLOW, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.60%)
9.41% - 9.58%	04/05/291		6,536		6,254

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Industrials (continued)
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	05/30/241	$	16,735	$	12,718
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
9.16%	08/12/241		12,309		10,661
					45,693
Information Technology — 1.45%
Central Parent, Inc.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.25%)
9.14% - 9.18%	07/06/291,2		4,988		4,980
Logmein, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
9.38%	08/31/271		6,982		4,024
Magenta Buyer LLC,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
9.58%	07/27/281		12,838		10,632
Open Text Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.30%	08/24/291		10,474		10,460
					30,096
Materials — 1.00%
Geon Performance Solutions, LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
9.44%	08/18/281		12,805		12,640
Iris Holding, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.75%)
9.53%	06/28/281		3,980		3,436
Polar U.S. Borrower LLC,
Term Loan, 1st Lien
(SOFR plus 4.75%)
9.02%	10/15/251		5,500		4,603
					20,679
Retail — 0.69%
Tacala Investment Corp.,
Term Loan B, 2nd Lien
(LIBOR plus 7.50%)
12.34%	02/04/281		15,500		14,212
Services — 0.35%
Neptune Bidco U.S., Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.10%)
9.74%	04/11/291		8,000		7,220

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 142

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Transportation — 0.90%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
12.09%	09/01/271	$	20,000	$	18,692
Total Bank Loans
(Cost $215,525)					189,138
CORPORATES — 63.73%*
Automobile Components — 0.25%
Allison Transmission, Inc.
3.75%	01/30/313		6,000		5,132
Banking — 2.25%
Bank of America Corp.,
Series RR
4.38%4,5			6,000		5,123
Bank of New York Mellon Corp. (The),
Series I
3.75%4,5			6,000		5,000
Credit Suisse Group AG
(Switzerland)
6.37%	07/15/262,3,4		5,000		4,876
6.54%	08/12/332,3,4		20,000		20,500
7.50%2,3,5			5,000		213
U.S. Bancorp
3.70%4,5			14,000		10,930
					46,642
Communications — 14.52%
Altice France SA
(France)
5.13%	01/15/292,3		13,000		9,970
5.50%	10/15/292,3		11,000		8,456
8.13%	02/01/272,3		6,000		5,565
Cable One, Inc.
4.00%	11/15/303		25,000		20,500
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%	08/15/303		29,000		24,477
4.75%	03/01/303		6,000		5,205
Cogent Communications Group, Inc.
7.00%	06/15/273		7,000		6,948
CommScope, Inc.
4.75%	09/01/293		16,000		13,452
Consolidated Communications, Inc.
6.50%	10/01/283		7,000		5,091
CSC Holdings LLC
6.50%	02/01/293		30,000		24,942
7.50%	04/01/283		17,000		10,853
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/263,6,7		26,000		1,463
DISH DBS Corp.
5.13%	06/01/29		9,000		4,804
5.25%	12/01/263		10,000		7,998
DISH Network Corp.
11.75%	11/15/273		3,000		2,888

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
Frontier Communications Holdings LLC
5.00%	05/01/283	$	8,000	$	6,952
6.75%	05/01/293		6,000		4,761
8.63%	03/15/313		6,000		5,880
Gray Escrow II, Inc.
5.38%	11/15/313		14,000		9,218
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/302,3		22,000		20,256
Level 3 Financing, Inc.
4.25%	07/01/283		13,000		7,349
10.50%	05/15/303		19,800		18,934
National CineMedia LLC
5.75%	08/15/26		9,000		217
Nexstar Media, Inc.
4.75%	11/01/283		4,000		3,560
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%	04/30/273		8,000		6,840
Scripps Escrow II, Inc.
5.38%	01/15/313		10,000		6,900
Scripps Escrow, Inc.
5.88%	07/15/273		6,000		4,479
Sinclair Television Group, Inc.
4.13%	12/01/303		4,000		3,230
Sirius XM Radio, Inc.
3.88%	09/01/313		17,000		13,234
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%	07/15/312,3		14,000		12,071
VZ Secured Financing BV
(Netherlands)
5.00%	01/15/322,3		16,000		13,070
Zayo Group Holdings, Inc.
4.00%	03/01/273		15,000		11,414
					300,977
Consumer Discretionary — 2.92%
Everi Holdings, Inc.
5.00%	07/15/293		5,000		4,500
Hilton Domestic Operating Co., Inc.
3.63%	02/15/323		15,000		12,670
Triton Water Holdings, Inc.
6.25%	04/01/293		19,000		15,123
WarnerMedia Holdings, Inc.
5.14%	03/15/523		20,000		16,249
Wyndham Hotels & Resorts, Inc.
4.38%	08/15/283		13,000		11,994
					60,536
Consumer Products — 0.24%
Newell Brands, Inc.
6.00%	04/01/46		6,000		4,911
Diversified REITs — 0.48%
VICI Properties LP/VICI Note Co., Inc.
5.75%	02/01/273		10,000		9,855

See accompanying Notes to Financial Statements.

143 / Annual Report March 2023

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Electric — 0.21%
Pike Corp.
5.50%		09/01/283	$	5,000	$	4,380
Energy — 5.61%
Energy Transfer LP,
Series B
6.63%4,5				22,000		16,469
Global Partners LP/GLP Finance Corp.
6.88%		01/15/29		16,000		14,890
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/263		7,000		6,764
SM Energy Co.
6.50%		07/15/28		13,000		12,467
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26		15,000		12,990
Transocean Titan Financing Ltd.
(Cayman Islands)
8.38%		02/01/282,3		13,000		13,292
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		09/01/27		10,000		9,566
Venture Global Calcasieu Pass LLC
4.13%		08/15/313		34,000		29,898
						116,336
Entertainment — 0.51%
Cinemark USA, Inc.
5.25%		07/15/283		12,000		10,503
Finance — 1.68%
American Express Co.,
Series D
3.55%4,5				7,000		5,854
Charles Schwab Corp. (The)
Series K
5.00%4,5				9,000		7,650
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/293		16,000		14,364
JPMorgan Chase & Co.,
Series KK
3.65%4,5				8,000		7,020
						34,888
Food — 5.03%
B&G Foods, Inc.
5.25%		04/01/25		4,000		3,745
5.25%		09/15/27		2,000		1,724
Chobani LLC/Chobani Finance Corp, Inc.
4.63%		11/15/283		5,000		4,562
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/263		6,000		3,719
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.75%		12/01/312,3		20,000		16,583
5.75%		04/01/332,3		15,000		14,425

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Food (continued)
Pilgrim’s Pride Corp.
3.50%	03/01/32	$	30,000	$	24,229
5.88%	09/30/273		20,000		19,891
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%	03/01/293		19,000		15,448
					104,326
Gaming — 0.14%
Penn Entertainment, Inc.
5.63%	01/15/273		3,000		2,821
Health Care — 12.17%
1375209 BC Ltd.
(Canada)
9.00%	01/30/282,3		13,000		12,902
180 Medical, Inc.
3.88%	10/15/293		11,000		9,763
Bausch Health Cos., Inc.
(Canada)
11.00%	09/30/282,3		3,000		2,222
14.00%	10/15/302,3		1,000		568
Cano Health LLC
6.25%	10/01/283		11,000		6,077
Catalent Pharma Solutions, Inc.
5.00%	07/15/273		20,000		19,550
Centene Corp.
2.63%	08/01/31		7,000		5,674
3.00%	10/15/30		5,000		4,215
4.25%	12/15/27		33,000		31,827
Embecta Corp.
6.75%	02/15/303		14,000		12,762
Grifols Escrow Issuer SA
(Spain)
4.75%	10/15/282,3		16,000		13,137
HCA, Inc.
3.50%	09/01/30		3,000		2,674
5.63%	09/01/28		10,000		10,094
5.88%	02/01/29		2,000		2,044
Medline Borrower LP
3.88%	04/01/293		8,000		6,980
ModivCare Escrow Issuer, Inc.
5.00%	10/01/293		9,000		7,729
ModivCare, Inc.
5.88%	11/15/253		8,000		7,680
Molina Healthcare, Inc.
3.88%	11/15/303		37,000		32,363
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%	04/30/313		8,000		7,119
Prestige Brands, Inc.
3.75%	04/01/313		6,000		5,091
Prime Healthcare Services, Inc.
7.25%	11/01/253		14,000		12,460
Tenet Healthcare Corp.
4.25%	06/01/29		13,000		11,773
4.63%	07/15/24		15,000		14,812

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 144

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
4.88%	01/01/26	$	13,000	$	12,758
					252,274
Industrials — 4.56%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%	08/15/272,3		18,000		14,209
Artera Services LLC
9.03%	12/04/253		5,000		4,329
Ball Corp.
3.13%	09/15/31		6,000		4,972
Energizer Holdings, Inc.
4.38%	03/31/293		8,000		7,050
General Electric Co.,
Series D
8.20%4,5			7,000		6,999
Graham Packaging Co., Inc.
7.13%	08/15/283		8,000		6,969
II-VI, Inc.
5.00%	12/15/293		3,000		2,725
OT Merger Corp.
7.88%	10/15/293		18,000		10,842
Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group
Issuer, Inc.
4.38%	10/15/283		11,000		9,641
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%	04/15/262,3		3,000		2,520
TransDigm, Inc.
4.63%	01/15/29		6,000		5,340
6.25%	03/15/263		5,000		5,013
6.75%	08/15/283		11,000		11,117
Trivium Packaging Finance BV
(Netherlands)
5.50%	08/15/262,3		3,000		2,878
					94,604
Information Technology — 2.88%
Alteryx, Inc.
8.75%	03/15/283		5,000		5,057
MSCI, Inc.
3.63%	11/01/313		29,000		24,864
NCR Corp.
5.25%	10/01/303		30,000		24,519
Open Text Corp.
(Canada)
6.90%	12/01/272,3		5,000		5,156
					59,596
Insurance — 1.79%
Acrisure LLC/Acrisure Finance, Inc.
6.00%	08/01/293		11,000		9,157
7.00%	11/15/253		3,000		2,818
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%	10/15/273		13,000		12,106

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Insurance (continued)
AssuredPartners, Inc.
5.63%	01/15/293	$	15,000	$	12,980
					37,061
Materials — 3.77%
ASP Unifrax Holdings, Inc.
7.50%	09/30/293		11,000		7,490
ATI, Inc.
5.13%	10/01/31		5,000		4,575
Axalta Coating Systems, LLC
3.38%	02/15/293		8,000		6,939
Herens Holdco SARL
(Luxembourg)
4.75%	05/15/282,3		13,000		10,410
International Flavors & Fragrances, Inc.
2.30%	11/01/303		9,000		7,229
SCIH Salt Holdings, Inc.
4.88%	05/01/283		4,000		3,575
SK Invictus Intermediate II SARL
(Luxembourg)
5.00%	10/30/292,3		16,000		13,301
Valvoline, Inc.
3.63%	06/15/313		20,000		17,006
WR Grace Holdings, LLC
5.63%	08/15/293		9,000		7,650
					78,175
Retail — 1.68%
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%	01/15/303		18,000		14,815
FirstCash, Inc.
5.63%	01/01/303		3,000		2,772
Michaels Cos., Inc. (The)
7.88%	05/01/293		10,000		7,009
Papa John’s International, Inc.
3.88%	09/15/293		12,000		10,328
					34,924
Services — 2.29%
Global Payments, Inc.
5.30%	08/15/29		3,000		2,968
HealthEquity, Inc.
4.50%	10/01/293		5,000		4,478
Hertz Corp. (The)
5.00%	12/01/293		10,000		8,332
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%	08/31/273		4,000		3,589
Upbound Group, Inc.
6.38%	02/15/293		6,000		5,055
WASH Multifamily Acquisition, Inc.
5.75%	04/15/263		3,000		2,841
Waste Pro USA, Inc.
5.50%	02/15/263		22,000		20,255
					47,518

See accompanying Notes to Financial Statements.

145 / Annual Report March 2023

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Specialized REITs — 0.75%
Iron Mountain, Inc.
5.25%	07/15/303	$	5,000	$	4,538
5.63%	07/15/323		12,000		10,989
					15,527
Total Corporates (Cost $1,401,656)					1,320,986
MORTGAGE-BACKED — 8.57%**
Non-Agency Commercial Mortgage-Backed — 1.31%
BCRR Trust,
Series 2016-FRR3, Class E
(-1.00 X LIBOR USD 1-Month plus 18.35%)
6.36%	05/26/261,3		13,295		12,185
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.23%	10/15/454		71,186		151
Commercial Mortgage Trust,
Series 2013-CR11, Class XA (IO)
0.89%	08/10/504		576,075		550
GS Mortgage Securities Trust,
Series 2013-GC14, Class XA (IO)
0.45%	08/10/464		433,241		982
Impact Funding Affordable Multifamily Housing Mortgage
Loan Trust,
Series 2010-1, Class A1
5.31%	01/25/513		5,409		5,295
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C17, Class XA (IO)
0.68%	01/15/474		644,179		1,392
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.81%	11/15/474		151,865		1,504
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.15%	12/15/453,4		59,778		1
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XA (IO)
1.05%	05/15/453,4		324,498		1,036
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.65%	06/15/464		830,002		2,387
WF-RBS Commercial Mortgage Trust,
Series 2013-C17, Class XA (IO)
1.03%	12/15/464		578,852		1,740
					27,223
Non-Agency Mortgage-Backed — 7.13%
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
0.70%)
3.84%	02/25/471		25,269		10,382
CIM Trust,
Series 2022-NR1, Class A1 (STEP-reset date 05/25/23)
5.00%	07/25/623		30,731		28,346

Issues	Maturity     Date		Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
3.06%		11/25/374	$	8,541	$	6,709
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
3.70%		06/25/364		21,763		16,306
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
3.87%		11/21/344		35,102		32,523
MASTR Alternative Loan Trust,
Series 2006-2, Class 2A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap)
2.25%		03/25/361,8,9		218,486		16,821
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(LIBOR USD 1-Month plus 0.19%)
5.04%		04/25/371		47,021		17,985
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR9, Class A1A
(LIBOR USD 1-Month plus 0.64%)
5.49%		07/25/451		20,608		18,672
						147,744
U.S. Agency Commercial Mortgage-Backed — 0.13%
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K028, Class X3 (IO)
2.92%		06/25/414		94,006		198
Ginnie Mae,
Series 2012-27, Class IO (IO)
0.27%		04/16/534		279,315		887
Ginnie Mae,
Series 2013-163, Class IO (IO)
1.02%		02/16/464		119,912		1,551
						2,636
Total Mortgage-Backed (Cost $296,783)						177,603
Total Bonds — 81.43% (Cost $1,913,964)						1,687,727
Issues			Shares		Value
COMMON STOCK — 10.08%
Communication Services — 2.34%
Altice USA, Inc.6				1,736		5,937
AT&T, Inc.				372		7,161
Nexstar Media Group, Inc.				59		10,187
T-Mobile U.S., Inc.6				138		19,988
Warner Bros Discovery, Inc.6				340		5,134
						48,407
Consumer Discretionary — 1.33%
Newell Brands, Inc.				416		5,175
Qurate Retail, Inc.6				3,324		3,283
Spectrum Brands Holdings, Inc.				84		5,563

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 146

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Shares		Value
COMMON STOCK — 10.08% (continued)
Consumer Discretionary — 1.33% (continued)
Upbound Group, Inc.		553	$	13,554
				27,575
Diversified REITs — 0.85%
Gaming and Leisure Properties, Inc.		340		17,700
Financials — 1.53%
FirstCash Holdings, Inc.		240		22,889
Wells Fargo & Co.		237		8,859
				31,748
Gaming — 0.51%
Penn Entertainment, Inc.6		354		10,500
Health Care — 1.14%
Bausch + Lomb Corp.2,6
(Canada)		365		6,355
Bausch Health Cos., Inc.2,6
(Canada)		940		7,614
Centene Corp.6		154		9,734
				23,703
Industrials — 0.36%
TransDigm Group, Inc.		10		7,370
Information Technology — 0.72%
CommScope Holding Co., Inc.6		818		5,210
NCR Corp.6		239		5,638
SS&C Technologies Holdings, Inc.		72		4,066
				14,914
Office REITs — 0.16%
Hudson Pacific Properties, Inc.		492		3,272
Transportation — 0.90%
Hertz Global Holdings, Inc.6		1,149		18,717
Utilities — 0.24%
FirstEnergy Corp.		127		5,088
Total Common Stock (Cost $318,794)				208,994
MASTER LIMITED PARTNERSHIPS — 2.22%
Energy — 2.22%
Enterprise Products Partners LP		664		17,198
NGL Energy Partners LP6		2,525		7,322
Sunoco LP		164		7,198
USA Compression Partners LP		676		14,284
				46,002
Total Master Limited Partnerships (Cost $29,549)				46,002

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 48.31%
Money Market Funds — 47.59%
Dreyfus Government Cash Management Fund
4.71%10			100,000	$	100,000
Fidelity Investments Money Market Funds - Government Portfolio
4.72%10			818,491		818,491
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%10			68,000		68,000
					986,491
U.S. Treasury Bills — 0.72%
U.S. Treasury Bills
4.62%11	07/20/23	$	15,000		14,795
Total Short-Term Investments (Cost $1,001,284)					1,001,286
Total Investments - 142.04% (Cost $3,263,591)					2,944,009
Liabilities in Excess of Other Assets - (42.04)%					(871,319	)
Net Assets - 100.00%				$	2,072,690

¹  Floating rate security. The rate disclosed was in effect at March 31, 2023.

²  Foreign denominated security issued by foreign domiciled entity.

³  Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴  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  Perpetual security with no stated maturity date.

⁶  Non-income producing security.

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

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

⁹  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $16,821, which is 0.81% of total net assets.

¹⁰  Represents the current yield as of March 31, 2023.

¹¹  Represents annualized yield at date of purchase.

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

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

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.

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(USD): U.S. Dollar

See accompanying Notes to Financial Statements.

147 / Annual Report March 2023

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2023

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		6		06/30/23	$	657,047	$	5,961	$	5,961
U.S. Treasury Two-Year Note		4		06/30/23		825,813		5,038		5,038
TOTAL FUTURES CONTRACTS					$	1,482,860	$	10,999	$	10,999

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 148

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 92.43%
ASSET-BACKED SECURITIES — 10.96%**
AGL CLO 12 Ltd.,
Series 2021-12A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.41%	07/20/341,2,3	$	125,000	$	120,337
Aimco CLO,
Series 2015-AA, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.39%	10/17/341,2,3		70,000		68,056
Allegro CLO XII Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.52%	01/21/321,2,3		45,000		43,848
AMSR Trust,
Series 2020-SFR1, Class I
8.19%	04/17/372		100,000		96,012
Carvana Auto Receivables Trust,
Series 2022-P3, Class R
0.00%	09/10/292		1,750		332,347
Cedar Funding II CLO Ltd.,
Series 2013-1A, Class BRR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.35%)
6.16%	04/20/341,2,3		75,000		71,291
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.95%	10/25/341,2,3		180,000		174,911
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.28%	03/15/522,4		59,161		1,907
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%	03/15/502		140,000		125,491
Crystal River CDO,
Series 2005-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.36%)
5.33%	03/02/461,2,3,5,6		419,900		44,953
Diamond Infrastructure Funding LLC,
Series 2021-1A, Class C
3.48%	04/15/492		215,000		172,335
Dryden 85 CLO Ltd.,
Series 2020-85A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
5.94%	10/15/351,2,3		150,000		145,785
Eaton Vance CLO Ltd.,
Series 2020-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
5.96%	10/15/341,2,3		90,000		87,988

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
FirstKey Homes Trust,
Series 2020-SFR1, Class F2
4.28%	08/17/372	$	162,000	$	150,539
FirstKey Homes Trust,
Series 2020-SFR1, Class G
4.78%	08/17/372		265,000		243,742
Flatiron RR CLO 22 LLC,
Series 2021-2A, Class B
(LIBOR USD 3-Month plus 1.60%)
6.39%	10/15/341,2		350,000		336,707
FRTKL,
Series 2021-SFR1, Class G
4.11%	09/17/382		300,000		253,885
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/292,3		40,626		39,272
GoldenTree Loan Management U.S. CLO 1 Ltd.,
Series 2021-9A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
6.31%	01/20/331,2,3		325,000		313,755
Golub Capital Partners CLO 54M L.P,
Series 2021-54A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.53%)
6.34%	08/05/331,2,3		90,000		87,445
Harvest Commercial Capital Loan Trust,
Series 2019-1, Class A
3.29%	09/25/462,4		29,016		27,573
HPS Loan Management Ltd.
Series 10A-16, Class A1RR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
5.95%	04/20/341,2,3		85,000		83,021
KGS-Alpha SBA COOF Trust,
Series 2015-1, Class A (IO)
1.48%	10/25/352,4		980,768		30,194
Lehman Brothers Small Balance Commercial Mortgage Trust,
Series 2007-1A, Class 1A
(LIBOR USD 1-Month plus 0.25%)
5.10%	03/25/371,2		23,824		23,796
Neuberger Berman Loan Advisers CLO 43 Ltd.,
Series 2021-43A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.92%	07/17/351,2,3		85,000		83,242
OCP CLO Ltd.,
Series 2021-21A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.51%	07/20/341,2,3		50,000		48,040

See accompanying Notes to Financial Statements.

149 / Annual Report March 2023

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.44%	07/15/361,2,3	$	125,000	$	120,352
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
5.93%	02/24/371,2,3		150,000		147,257
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
6.56%	01/20/341,2,3		40,000		38,364
Progress Residential Trust,
Series 2019-SFR4, Class F
3.68%	10/17/362		161,000		154,073
Progress Residential,
Series 2021-SFR1, Class F
2.76%	04/17/382		170,000		145,993
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
6.00%	10/20/301,2,3		120,000		118,878
Rockford Tower CLO Ltd.,
Series 2021-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.46%	07/20/341,2,3		75,000		71,662
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5,6		66,257		59,810
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
5.15%	08/15/311		102,048		89,259
SLM Student Loan Trust,
Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
5.57%	10/27/701		215,000		183,359
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%	01/25/831		340,000		300,283
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%	04/26/831		340,000		316,275
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	04/25/731		340,000		326,431

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/25/731	$	235,000	$	219,700
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/26/831		340,000		315,530
Stratus CLO Ltd.,
Series 2021-3A, Class SUB
(Cayman Islands)
0.00%	12/29/292,3,4		250,000		180,466
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/462		247,489		249,831
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/362		279,338		289,166
Textainer Marine Containers VII Ltd.,
Series 2021-2A, Class A
(Bermuda)
2.23%	04/20/462,3		211,667		183,716
TIF Funding II LLC,
Series 2021-1A, Class A
1.65%	02/20/462		220,281		185,984
TRESTLES CLO V Ltd.,
Series 2021-5A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
5.98%	10/20/341,2,3		90,000		87,653
Tricon American Homes Trust,
Series 2017-SFR2, Class E
4.22%	01/17/362		150,000		147,178
Tricon American Homes,
Series 2020-SFR1, Class D
2.55%	07/17/382		133,000		119,968
Total Asset-Backed Securities (Cost $7,768,445)					7,257,660
CORPORATES — 29.35%*
Banking — 5.49%
Bank of America Corp.
2.30%	07/21/324		150,000		120,960
3.42%	12/20/284		35,000		32,566
Bank of America Corp.
(MTN)
1.90%	07/23/314		25,000		20,038
1.92%	10/24/314		415,000		331,881
3.19%	07/23/304		50,000		44,463
3.82%	01/20/284		110,000		105,202
Bank of America Corp.,
Series N
1.66%	03/11/274		60,000		54,134
Bank of America Corp.,
Series RR
4.38%4,7			15,000		12,808

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 150

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
Comerica, Inc.
5.63%4,7		$	45,000	$	37,836
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/272,3,4		30,000		25,500
3.09%	05/14/322,3,4		15,000		12,072
4.19%	04/01/312,3,4		540,000		480,762
6.37%	07/15/262,3,4		25,000		24,381
6.54%	08/12/332,3,4		200,000		205,000
Credit Suisse Group AG
(EMTN)
(Switzerland)
0.63%	01/18/333		100,000		71,097
DNB Bank ASA
(Norway)
1.13%	09/16/262,3,4		45,000		40,414
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		25,000		22,060
1.65%	04/18/263,4		10,000		9,140
2.01%	09/22/283,4		115,000		98,969
2.36%	08/18/313,4		90,000		72,671
2.80%	05/24/323,4		50,000		40,919
6.33%	03/09/443,4		145,000		153,405
JPMorgan Chase & Co.
1.58%	04/22/274		55,000		49,436
2.07%	06/01/294		5,000		4,318
2.58%	04/22/324		330,000		278,158
Lloyds Banking Group PLC
(United Kingdom)
4.98%	08/11/333,4		250,000		241,719
Macquarie Group Ltd.
(Australia)
2.69%	06/23/322,3,4		30,000		24,030
2.87%	01/14/332,3,4		95,000		77,030
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		55,000		53,919
PNC Financial Services Group, Inc. (The)
5.07%	01/24/344		40,000		39,526
6.04%	10/28/334		35,000		36,955
Santander UK Group Holdings PLC
(United Kingdom)
1.53%	08/21/263,4		35,000		31,256
1.67%	06/14/273,4		50,000		43,571
4.80%	11/15/243,4		65,000		64,115
U.S. Bancorp
3.70%4,7			15,000		11,711
4.84%	02/01/344		150,000		145,594
5.85%	10/21/334		35,000		36,643
Wells Fargo & Co.
(MTN)
2.39%	06/02/284		75,000		67,585
3.35%	03/02/334		420,000		364,585

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
3.53%	03/24/284	$	50,000	$	47,230
					3,633,659
Communications — 3.04%
AT&T, Inc.
3.80%	12/01/57		121,000		90,288
4.75%	05/15/46		15,000		13,557
Cable One, Inc.
4.00%	11/15/302		115,000		94,300
CCO Holdings LLC/CCO Holdings Capital Corp.
4.25%	02/01/312		80,000		65,600
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.50%	06/01/332		75,000		59,905
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.80%	03/01/50		50,000		38,063
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%	04/01/53		165,000		133,899
Cogent Communications Group, Inc.
7.00%	06/15/272		65,000		64,520
CommScope, Inc.
4.75%	09/01/292		95,000		79,871
CSC Holdings LLC
6.50%	02/01/292		117,000		97,276
7.50%	04/01/282		48,000		30,643
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/262,8,9		85,000		4,781
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%	08/15/272		30,000		27,200
Frontier Communications Holdings LLC
6.75%	05/01/292		40,000		31,739
8.63%	03/15/312		111,000		108,779
Gray Escrow II, Inc.
5.38%	11/15/312		41,000		26,997
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/302,3		48,000		44,195
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
8.50%	10/15/24†,2,3,5,6,8,9		38,000		—
9.75%	07/15/25†,2,3,5,6,8,9		71,000		—
Meta Platforms, Inc.
4.45%	08/15/52		75,000		66,116
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%	04/30/272		40,000		34,200
Qwest Corp.
7.25%	09/15/25		70,000		65,100
Scripps Escrow, Inc.
5.88%	07/15/272		66,000		49,273
SES GLOBAL Americas Holdings, Inc.
5.30%	03/25/442		200,000		157,523
Sirius XM Radio, Inc.
3.88%	09/01/312		85,000		66,171

See accompanying Notes to Financial Statements.

151 / Annual Report March 2023

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

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%	03/20/252	$	95,000	$	94,315
Tencent Holdings Ltd.
(Cayman Islands)
3.98%	04/11/292,3		25,000		23,680
Time Warner Cable LLC
5.50%	09/01/41		100,000		86,502
5.88%	11/15/40		10,000		9,020
T-Mobile USA, Inc.
2.25%	02/15/26		66,000		61,600
2.55%	02/15/31		110,000		93,282
2.63%	04/15/26		38,000		35,602
3.88%	04/15/30		35,000		32,869
Vodafone Group PLC
(United Kingdom)
4.88%	06/19/493		48,000		43,405
VZ Secured Financing BV
(Netherlands)
5.00%	01/15/322,3		105,000		85,772
					2,016,043
Consumer Discretionary — 1.59%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%	02/01/36		15,000		14,929
BAT Capital Corp.
2.73%	03/25/31		25,000		20,295
4.39%	08/15/37		20,000		16,336
4.54%	08/15/47		175,000		130,555
5.65%	03/16/52		125,000		110,011
Edgewell Personal Care Co.
5.50%	06/01/282		32,000		30,816
Everi Holdings, Inc.
5.00%	07/15/292		73,000		65,700
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/242,3		25,000		24,217
6.13%	07/27/272,3		70,000		71,860
JDE Peet’s NV
(Netherlands)
2.25%	09/24/312,3		200,000		158,040
Spectrum Brands, Inc.
5.50%	07/15/302		10,000		8,875
Triton Water Holdings, Inc.
6.25%	04/01/292		79,000		62,881
WarnerMedia Holdings, Inc.
4.28%	03/15/322		40,000		35,715
5.05%	03/15/422		70,000		58,613
5.14%	03/15/522		300,000		243,738
					1,052,581
Consumer Products — 0.14%
Newell Brands, Inc.
6.00%	04/01/46		112,000		91,675

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Diversified REITs — 0.82%
American Assets Trust LP
3.38%	02/01/31	$	30,000	$	24,116
American Tower Corp.
1.00%	01/15/32		100,000		80,390
5.65%	03/15/33		35,000		36,047
GLP Capital LP/GLP Financing II, Inc.
3.25%	01/15/32		4,000		3,265
4.00%	01/15/31		20,000		17,476
5.30%	01/15/29		75,000		71,460
5.38%	04/15/26		65,000		63,141
5.75%	06/01/28		25,000		24,418
LXP Industrial Trust
2.70%	09/15/30		35,000		28,473
VICI Properties LP
5.13%	05/15/32		171,000		162,103
VICI Properties LP/VICI Note Co., Inc.
3.88%	02/15/292		5,000		4,451
4.13%	08/15/302		12,000		10,545
4.50%	09/01/262		5,000		4,784
4.50%	01/15/282		9,000		8,346
4.63%	06/15/252		5,000		4,837
					543,852
Electric — 1.91%
Alliant Energy Finance, LLC
3.60%	03/01/322		55,000		49,018
American Electric Power Co., Inc.
5.63%	03/01/33		160,000		165,968
Arizona Public Service Co.
6.35%	12/15/32		145,000		158,135
Commonwealth Edison Co.
5.30%	02/01/53		130,000		134,330
Duke Energy Carolinas LLC
5.35%	01/15/53		30,000		31,354
Duke Energy Corp.
3.85%	06/15/34		100,000		102,011
Entergy Texas, Inc.
3.45%	12/01/27		150,000		139,317
FirstEnergy Transmission LLC
2.87%	09/15/282		39,000		35,232
Jersey Central Power & Light Co.
4.70%	04/01/242		55,000		54,657
Metropolitan Edison Co.
4.00%	04/15/252		75,000		71,623
Niagara Mohawk Power Corp.
5.78%	09/16/522		60,000		62,461
Oklahoma Gas and Electric Co.
5.40%	01/15/33		190,000		196,975
Tucson Electric Power Co.
5.50%	04/15/53		65,000		66,437
					1,267,518
Energy — 1.48%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/282		35,000		33,775

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 152

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
Enbridge, Inc.
(Canada)
5.70%	03/08/333	$	20,000	$	20,813
Energy Transfer LP
5.00%	05/15/50		90,000		76,668
5.40%	10/01/47		159,000		141,813
5.50%	06/01/27		3,000		3,035
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		41,000		38,157
KeySpan Gas East Corp.
5.99%	03/06/332		65,000		67,176
Kinder Morgan Energy Partners LP
5.00%	08/15/42		45,000		40,147
Petroleos Mexicanos
(Mexico)
5.95%	01/28/313		13,000		9,959
6.35%	02/12/483		5,000		3,120
6.75%	09/21/473		50,000		32,540
6.95%	01/28/603		35,000		22,645
Rockies Express Pipeline LLC
4.80%	05/15/302		100,000		88,000
Sabine Pass Liquefaction LLC
4.50%	05/15/30		35,000		33,778
Southern Co. Gas Capital Corp.
3.88%	11/15/25		70,000		68,169
Sunoco LP/Sunoco Finance Corp.
4.50%	05/15/29		56,000		51,549
4.50%	04/30/30		9,000		8,149
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		73,000		63,219
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/272,3		16,250		15,945
Transocean Titan Financing Ltd.
(Cayman Islands)
8.38%	02/01/282,3		32,000		32,720
Venture Global Calcasieu Pass LLC
3.88%	08/15/292		145,000		130,861
					982,238
Entertainment — 0.11%
Cinemark USA, Inc.
5.25%	07/15/282		82,000		71,771
Finance — 3.67%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/263		75,000		67,342
3.30%	01/30/323		155,000		128,094
Air Lease Corp.
(MTN)
2.30%	02/01/25		75,000		71,046
American Express Co.,
Series D
3.55%4,7			15,000		12,544

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/272,3	$	185,000	$	156,710
3.25%		02/15/272,3		15,000		13,385
Capital One Financial Corp.
3.27%		03/01/304		40,000		34,521
Charles Schwab Corp. (The)
Series K
5.00%4,7				15,000		12,750
Citigroup, Inc.
1.46%		06/09/274		20,000		17,781
2.57%		06/03/314		45,000		37,993
2.67%		01/29/314		200,000		171,201
2.98%		11/05/304		20,000		17,542
3.06%		01/25/334		180,000		153,136
3.52%		10/27/284		5,000		4,678
Citigroup, Inc.,
Series VAR
3.07%		02/24/284		40,000		37,248
Goldman Sachs Group, Inc. (The)
0.93%		10/21/244		30,000		29,198
1.22%		12/06/23		75,000		72,908
1.43%		03/09/274		10,000		8,945
1.54%		09/10/274		225,000		198,153
1.95%		10/21/274		10,000		8,935
2.38%		07/21/324		265,000		216,097
2.65%		10/21/324		65,000		53,751
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/292		74,000		66,436
JPMorgan Chase & Co.
1.04%		02/04/274		175,000		156,251
2.55%		11/08/324		125,000		103,889
2.95%		02/24/284		20,000		18,586
Morgan Stanley
0.73%		04/05/244		40,000		39,980
2.48%		09/16/364		110,000		83,218
Morgan Stanley
(GMTN)
2.24%		07/21/324		20,000		16,138
Morgan Stanley
(MTN)
1.16%		10/21/254		120,000		112,130
1.93%		04/28/324		305,000		241,687
Nationwide Building Society
(United Kingdom)
2.97%		02/16/282,3,4		50,000		45,501
4.36%		08/01/242,3,4		20,000		19,836
						2,427,610
Food — 0.77%
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/262		51,000		31,612
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/312,3		52,000		43,116

See accompanying Notes to Financial Statements.

153 / Annual Report March 2023

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Food (continued)
5.50%	01/15/302,3	$	25,000	$	23,888
5.75%	04/01/332,3		40,000		38,466
6.50%	12/01/522,3		10,000		9,598
Kraft Heinz Foods Co.
5.00%	06/04/42		74,000		71,036
5.20%	07/15/45		25,000		24,263
Pilgrim’s Pride Corp.
3.50%	03/01/32		30,000		24,230
4.25%	04/15/31		25,000		21,866
Post Holdings, Inc.
5.75%	03/01/272		98,000		96,040
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed
4.63%	03/01/292		115,000		93,498
Smithfield Foods, Inc.
2.63%	09/13/312		45,000		34,026
					511,639
Gaming — 0.15%
Penn Entertainment, Inc.
4.13%	07/01/292		79,000		66,031
5.63%	01/15/272		36,000		33,845
					99,876
Health Care — 3.69%
1375209 BC Ltd.
(Canada)
9.00%	01/30/282,3		62,000		61,535
AbbVie, Inc.
3.60%	05/14/25		50,000		49,066
Amgen, Inc.
4.88%	03/01/53		20,000		18,775
5.25%	03/02/33		65,000		66,802
5.60%	03/02/43		65,000		67,107
5.65%	03/02/53		65,000		67,699
Bayer U.S. Finance II LLC
2.85%	04/15/252		20,000		18,946
4.38%	12/15/282		70,000		67,712
4.63%	06/25/382		156,000		142,951
4.88%	06/25/482		50,000		44,894
Cano Health LLC
6.25%	10/01/282		42,000		23,205
Catalent Pharma Solutions, Inc.
3.13%	02/15/292		115,000		101,201
Centene Corp.
2.45%	07/15/28		46,000		40,042
3.00%	10/15/30		134,000		112,959
4.25%	12/15/27		49,000		47,259
CommonSpirit Health
2.78%	10/01/30		40,000		34,171
CVS Health Corp.
5.05%	03/25/48		95,000		88,995
DENTSPLY SIRONA, Inc.
3.25%	06/01/30		45,000		39,803
Embecta Corp.
5.00%	02/15/302		28,000		24,124

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
6.75%	02/15/302	$	53,000	$	48,312
Encompass Health Corp.
4.50%	02/01/28		20,000		18,700
Fresenius Medical Care U.S. Finance III, Inc.
1.88%	12/01/262		30,000		26,077
Grifols Escrow Issuer SA
(Spain)
4.75%	10/15/282,3		109,000		89,495
HCA, Inc.
3.50%	09/01/30		69,000		61,504
3.63%	03/15/322		195,000		171,654
5.25%	04/15/25		12,000		12,000
5.25%	06/15/49		110,000		99,366
5.50%	06/15/47		15,000		14,230
5.63%	09/01/28		14,000		14,132
Medline Borrower LP
3.88%	04/01/292		115,000		100,337
ModivCare Escrow Issuer, Inc.
5.00%	10/01/292		35,000		30,058
ModivCare, Inc.
5.88%	11/15/252		48,000		46,082
Molina Healthcare, Inc.
3.88%	11/15/302		35,000		30,613
3.88%	05/15/322		161,000		136,945
Option Care Health, Inc.
4.38%	10/31/292		72,000		64,103
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%	04/30/312		104,000		92,542
Prestige Brands, Inc.
3.75%	04/01/312		116,000		98,425
Prime Healthcare Services, Inc.
7.25%	11/01/252		108,000		96,120
Tenet Healthcare Corp.
4.88%	01/01/26		65,000		63,789
Universal Health Services, Inc.
1.65%	09/01/26		15,000		13,170
					2,444,900
Health Care REITs — 0.19%
Healthcare Reality Holdings LP
2.00%	03/15/31		40,000		31,259
3.10%	02/15/30		30,000		26,006
Healthcare Realty Holdings LP
2.05%	03/15/31		5,000		3,803
3.63%	01/15/28		70,000		63,685
					124,753
Industrials — 1.51%
Advanced Drainage Systems, Inc.
6.38%	06/15/302		14,000		13,734
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%	08/15/272,3		90,000		71,047
Artera Services LLC
9.03%	12/04/252		38,000		32,900

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 154

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Industrials (continued)
Ball Corp.
4.00%	11/15/23	$	38,000	$	37,620
6.88%	03/15/28		91,000		94,413
Berry Global, Inc.
1.65%	01/15/27		5,000		4,382
4.88%	07/15/262		50,000		48,786
5.50%	04/15/282		115,000		114,710
Boeing Co. (The)
1.43%	02/04/24		60,000		58,004
4.88%	05/01/25		10,000		9,985
Energizer Holdings, Inc.
4.38%	03/31/292		46,000		40,538
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
5.34%	08/15/361		325,000		274,462
OT Merger Corp.
7.88%	10/15/292		123,000		74,086
TransDigm, Inc.
6.75%	08/15/282		97,000		98,031
Trivium Packaging Finance BV
(Netherlands)
5.50%	08/15/262,3		30,000		28,776
					1,001,474
Information Technology — 1.14%
Broadcom, Inc.
2.60%	02/15/332		101,000		79,287
Fiserv, Inc.
5.60%	03/02/33		130,000		135,040
Gen Digital, Inc.
6.75%	09/30/272		65,000		65,422
NCR Corp.
5.13%	04/15/292		42,000		36,499
5.25%	10/01/302		72,000		58,844
Netflix, Inc.
5.88%	02/15/25		50,000		51,075
Open Text Corp.
(Canada)
6.90%	12/01/272,3		18,000		18,563
Oracle Corp.
2.88%	03/25/31		15,000		12,841
3.80%	11/15/37		10,000		8,310
3.95%	03/25/51		124,000		93,307
5.55%	02/06/53		90,000		85,724
6.90%	11/09/52		95,000		106,686
					751,598
Insurance — 1.13%
Acrisure LLC/Acrisure Finance, Inc.
6.00%	08/01/292		77,000		64,102
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer
6.75%	10/15/272		66,000		61,463
Aon Corp./Aon Global Holdings PLC
3.90%	02/28/52		55,000		44,516

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Insurance (continued)
Athene Global Funding
1.61%	06/29/262	$	30,000	$	26,093
1.99%	08/19/282		100,000		81,183
3.21%	03/08/272		25,000		23,005
(SOFR Index plus 0.70%)
5.46%	05/24/241,2		30,000		29,729
Brown & Brown, Inc.
4.95%	03/17/52		45,000		38,187
Farmers Exchange Capital II
6.15%	11/01/532,4		50,000		49,684
Farmers Insurance Exchange
4.75%	11/01/572,4		25,000		19,615
HUB International Ltd.
7.00%	05/01/262		15,000		14,813
Metropolitan Life Global Funding I
4.30%	08/25/292		150,000		145,967
Nationwide Mutual Insurance Co.
7.16%	12/15/242,4		75,000		74,712
Teachers Insurance & Annuity Association of America
4.27%	05/15/472		65,000		55,168
Willis North America, Inc.
2.95%	09/15/29		25,000		22,054
					750,291
Materials — 0.59%
ASP Unifrax Holdings, Inc.
5.25%	09/30/282		30,000		24,009
Axalta Coating Systems, LLC
3.38%	02/15/292		76,000		65,918
Clearwater Paper Corp.
4.75%	08/15/282		72,000		64,742
International Flavors & Fragrances, Inc.
2.30%	11/01/302		161,000		129,320
SK Invictus Intermediate II SARL
(Luxembourg)
5.00%	10/30/292,3		45,000		37,410
Valvoline, Inc.
3.63%	06/15/312		80,000		68,023
					389,422
Office REITs — 0.05%
Hudson Pacific Properties LP
3.25%	01/15/30		45,000		28,904
5.95%	02/15/28		5,000		3,869
					32,773
Residential REITs — 0.30%
American Homes 4 Rent LP
3.63%	04/15/32		75,000		65,071
Invitation Homes Operating Partnership LP
2.00%	08/15/31		65,000		49,973
2.70%	01/15/34		105,000		80,770
					195,814

See accompanying Notes to Financial Statements.

155 / Annual Report March 2023

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Retail — 0.37%
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%	01/15/302	$	92,000	$	75,719
FirstCash, Inc.
5.63%	01/01/302		51,000		47,115
Michaels Cos., Inc. (The)
7.88%	05/01/292		93,000		65,188
Papa John’s International, Inc.
3.88%	09/15/292		70,000		60,247
					248,269
Retail REITs — 0.04%
Brixmor Operating Partnership LP
4.05%	07/01/30		30,000		26,710
Services — 0.64%
Adtalem Global Education, Inc.
5.50%	03/01/282		41,000		38,926
Global Payments, Inc.
5.40%	08/15/32		40,000		39,204
5.95%	08/15/52		8,000		7,653
HealthEquity, Inc.
4.50%	10/01/292		75,000		67,166
Hertz Corp. (The)
4.63%	12/01/262		3,000		2,731
5.00%	12/01/292		99,000		82,489
Upbound Group, Inc.
6.38%	02/15/292		74,000		62,345
WASH Multifamily Acquisition, Inc.
5.75%	04/15/262		30,000		28,414
Waste Pro USA, Inc.
5.50%	02/15/262		102,000		93,910
					422,838
Specialized REITs — 0.41%
Blackstone Property Partners Europe Holdings SARL (EMTN)
(Luxembourg)
1.63%	04/20/303		100,000		75,823
CubeSmart LP
2.50%	02/15/32		80,000		64,499
Extra Space Storage LP
2.35%	03/15/32		105,000		82,640
2.55%	06/01/31		15,000		12,193
Life Storage LP
2.40%	10/15/31		45,000		36,450
					271,605
Transportation — 0.12%
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%	11/15/32		86,913		80,072
Total Corporates (Cost $20,166,241)					19,438,981

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED — 50.98%**
Non-Agency Commercial Mortgage-Backed — 2.84%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%	09/15/482,4	$	1,500,000	$	34,582
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2019-BPR, Class AMP
3.29%	11/05/322		100,000		91,336
BCRR Trust,
Series 2016-FRR3, Class E
(-1.00 X LIBOR USD 1-Month plus 18.35%)
6.36%	05/26/261,2		88,636		81,234
BX Commercial Mortgage Trust,
Series 2021-VOLT, Class F
(LIBOR USD 1-Month plus 2.40%)
7.08%	09/15/361,2		100,000		92,350
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.94%	10/10/474		3,951,973		40,193
Citigroup Commercial Mortgage Trust,
Series 2016-P4, Class XA (IO)
1.89%	07/10/494		1,961,103		89,180
COBALT CMBS Commercial Mortgage Trust,
Series 2007-C2, Class X (IO)
0.45%	04/15/472,4		213,551		861
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.23%	10/15/454		2,233,129		4,751
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
1.13%	10/10/464		1,584,370		3,982
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.60%	02/10/372,4		1,667,987		15,671
Credit Suisse Mortgage Capital Trust,
Series 2014-USA, Class X1 (IO)
0.54%	09/15/372,4		9,783,817		99,131
CSAIL Commercial Mortgage Trust,
Series 2015-C1, Class XA (IO)
0.81%	04/15/504		1,638,557		16,901
CSMC,
Series 2018-SITE, Class B
4.53%	04/15/362		100,000		96,133
European Loan Conduit No. 36 DAC,
Series 36A, Class E
(Ireland)
(3 month Euribor plus 3.35%)
6.03%	02/17/301,2,3		97,119		98,494
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%	02/10/372,4		940,000		5,296
GS Mortgage Securities Trust,
Series 2013-GC16, Class XB (IO)
0.15%	11/10/464		45,024,000		49,324
GS Mortgage Securities Trust,
Series 2014-GC24, Class XA (IO)
0.70%	09/10/474		2,654,825		21,018

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 156

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2015-GC32, Class XA (IO)
0.71%	07/10/484	$	4,633,928	$	60,962
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust,
Series 2010-1, Class A1
5.31%	01/25/512		53,709		52,584
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C15, Class XA (IO)
0.98%	11/15/454		6,741,453		12,368
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class A3
3.67%	04/15/47		27,282		26,891
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C22, Class XA (IO)
0.80%	09/15/474		7,381,439		54,285
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.81%	11/15/474		4,523,493		44,797
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C26, Class XA (IO)
0.93%	01/15/484		2,453,086		27,483
JPMDB Commercial Mortgage Securities Trust,
Series 2018-C8, Class XEF (IO)
1.81%	06/15/512,4		1,157,000		85,282
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.11%	01/15/464		3,177,000		124
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C16, Class XA (IO)
0.83%	12/15/464		4,808,076		8,083
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-ICON, Class C
4.54%	01/05/342		72,000		69,510
Ladder Capital Commercial Mortgage Mortgage Trust,
Series 2013-GCP, Class XA (IO)
1.16%	02/15/362,4		1,417,012		63,122
Med Trust,
Series 2021-MDLN, Class G
(LIBOR USD 1-Month plus 5.25%)
9.94%	11/15/381,2		99,704		91,430
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C9, Class XB (IO)
0.28%	05/15/462,4		12,532,749		12,198
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
0.95%	12/15/474		2,664,285		29,198
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A1
3.87%	01/05/432,4		220,000		158,029
SMRT,
Series 2022-MINI, Class E
(CME Term SOFR 1-Month plus 2.70%)
7.53%	01/15/391,2		100,000		90,379

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.60%	07/15/584	$	3,114,445	$	32,814
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS6, Class XA (IO)
1.58%	11/15/494		1,177,169		46,724
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XB (IO)
0.54%	05/15/452,4		10,000,000		23,750
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.65%	06/15/464		1,936,670		5,571
WF-RBS Commercial Mortgage Trust,
Series 2013-C17, Class XA (IO)
1.03%	12/15/464		5,249,030		15,848
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class XA (IO)
1.00%	08/15/474		3,177,123		30,003
					1,881,872
Non-Agency Mortgage-Backed — 32.32%
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP1, Class A2D
(LIBOR USD 1-Month plus 0.76%)
5.61%	03/25/371		372,133		179,086
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-HE1, Class A1
(LIBOR USD 1-Month plus 0.30%)
5.15%	01/25/371		593,208		324,017
Ajax Mortgage Loan Trust,
Series 2021-C, Class A (STEP-reset date 04/25/23)
2.12%	01/25/612		329,096		309,205
Alternative Loan Trust,
Series 2005-10CB, Class 1A8
5.50%	05/25/35		338,439		287,214
Alternative Loan Trust,
Series 2005-59, Class 1A1
(LIBOR USD 1-Month plus 0.66%)
5.44%	11/20/351		341,311		305,208
Alternative Loan Trust,
Series 2007-15CB, Class A7
6.00%	07/25/37		326,209		208,632
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
3.84%	02/25/471		720,158		295,873
APS Resecuritization Trust,
Series 2016-3, Class 3MZ
2.33%	09/27/462,4		386,852		205,703
Banc of America Funding Trust,
Series 2006-7, Class T2A3
5.69%	10/25/364		234,010		199,276
Banc of America Funding Trust,
Series 2015-R3, Class 1A2
3.95%	03/27/362,4		413,201		329,317

See accompanying Notes to Financial Statements.

157 / Annual Report March 2023

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BRAVO Residential Funding Trust,
Series 2021-A, Class A1 (STEP-reset date 04/25/23)
1.99%	10/25/592	$	303,900	$	288,821
Carrington Mortgage Loan Trust,
Series 2006-NC4, Class A4
(LIBOR USD 1-Month plus 0.24%)
5.09%	10/25/361		175,000		150,163
Carrington Mortgage Loan Trust,
Series 2007-RFC1, Class A3
(LIBOR USD 1-Month plus 0.14%)
4.99%	12/25/361		114,091		108,662
CIM Trust,
Series 2020-R6, Class A1
2.25%	12/25/602,4		338,914		285,550
CIM Trust,
Series 2021-NR1, Class A1 (STEP-reset date 05/25/23)
2.57%	07/25/552		249,435		239,575
CIM Trust,
Series 2021-NR2, Class A1 (STEP-reset date 05/25/23)
2.57%	07/25/592		125,745		120,321
CIM Trust,
Series 2021-R1, Class A2
2.40%	08/25/562,4		405,809		352,827
CIM Trust,
Series 2021-R3, Class A1A
1.95%	06/25/572,4		71,570		62,808
CIM Trust,
Series 2021-R5, Class A1B
2.00%	08/25/612,4		115,000		70,081
CIM Trust,
Series 2022-NR1, Class A1 (STEP-reset date 05/25/23)
5.00%	07/25/622		93,125		85,896
CIM Trust,
Series 2023-NR1, Class A1 (STEP-reset date 05/25/23)
6.00%	06/25/622		340,928		329,899
CIT Mortgage Loan Trust,
Series 2007-1, Class 1M2
(LIBOR USD 1-Month plus 1.75%)
6.60%	10/25/371,2		240,000		212,418
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-WF2, Class AF6A (STEP-reset date 05/25/23)
6.13%	08/25/35		345,474		294,521
COLT Mortgage Loan Trust,
Series 2021-2, Class A1
0.92%	08/25/662,4		108,185		86,659
COLT Mortgage Loan Trust,
Series 2021-HX1, Class A1
1.11%	10/25/662,4		347,586		278,257
Conseco Finance Corp.,
Series 1999-5, Class A5
7.86%	03/01/304		72,995		30,581
Credit Suisse Mortgage Capital Trust,
Series 2015-12R, Class 2A2
3.19%	11/30/372,4		99,879		91,027

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Trust,
Series 2021-RPL4, Class A1
1.80%	12/27/602,4	$	223,808	$	205,585
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/23)
3.53%	02/25/37		238,664		145,031
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 05/25/23)
3.29%	03/25/37		837,488		320,776
CSMC Mortgage-Backed Trust,
Series 2007-5, Class 1A9
7.00%	08/25/374		440,928		290,860
CSMC Trust,
Series 2021-RPL7, Class A1
1.93%	07/27/612,4		302,213		278,635
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-AR3, Class 2A5
(LIBOR USD 1-Month plus 0.40%)
5.25%	06/25/371		327,340		279,923
Ellington Financial Mortgage Trust,
Series 2021-3, Class A1
1.24%	09/25/662,4		89,131		69,759
Fannie Mae Connecticut Avenue Securities,
Series 2019-R04, Class 2B1
(LIBOR USD 1-Month plus 5.25%)
10.10%	06/25/391,2		187,531		190,650
Fannie Mae Connecticut Avenue Securities,
Series 2019-R06, Class 2B1
(LIBOR USD 1-Month plus 3.75%)
8.60%	09/25/391,2		74,721		72,814
Fannie Mae Connecticut Avenue Securities,
Series 2021-R03, Class 1B1
(SOFR30A plus 2.75%)
7.31%	12/25/411,2		150,000		137,164
Fannie Mae Connecticut Avenue Securities,
Series 2021-R03, Class 1B2
(SOFR30A plus 5.50%)
10.06%	12/25/411,2		215,000		190,303
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
4.96%	12/25/371		288,961		251,878
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)
5.29%	01/25/381		749,483		402,119
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
4.95%	03/25/371		543,926		266,005
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA2, Class M2
(SOFR30A plus 2.05%)
6.61%	12/25/331,2		120,000		113,477

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 158

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

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 M1B
(SOFR30A plus 1.85%)
6.41%	01/25/421,2	$	150,000	$	142,150
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M2
(SOFR30A plus 2.50%)
7.06%	01/25/421,2		200,000		184,695
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.28%	04/19/364		182,640		138,144
GreenPoint Mortgage Funding Trust,
Series 2005-AR1, Class A2
(LIBOR USD 1-Month plus 0.44%)
5.29%	06/25/451		105,220		95,694
GSAA HOME EQUITY TRUST
Series 2007-4, Class A2
5.25%	03/25/371		1,039,752		310,837
GSAA Home Equity Trust,
Series 2006-1, Class A3
(LIBOR USD 1-Month plus 0.66%)
5.51%	01/25/361		251,701		111,056
GSAA Home Equity Trust,
Series 2006-10, Class AF3
5.98%	06/25/364		588,777		159,899
GSAA Home Equity Trust,
Series 2006-6, Class AF3
5.73%	03/25/364		543,339		163,747
GSAA Home Equity Trust,
Series 2007-5, Class 2A1B
(LIBOR USD 1-Month plus 0.28%)
5.13%	04/25/471		1,739,354		311,541
GSAA Trust,
Series 2006-7, Class AF3 (STEP-reset date 05/25/23)
6.72%	03/25/46		706,278		290,891
GSAMP Trust,
Series 2007-NC1, Class A2C
(LIBOR USD 1-Month plus 0.15%)
5.00%	12/25/461		256,373		125,013
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 5A1A
4.31%	05/25/374		174,415		148,436
HarborView Mortgage Loan Trust,
Series 2005-3, Class 1A
(LIBOR USD 1-Month plus 0.52%)
5.28%	06/19/351		314,702		179,192
HarborView Mortgage Loan Trust,
Series 2006-4, Class 1A1A
(LIBOR USD 1-Month plus 0.36%)
5.12%	05/19/461		333,764		173,857
HarborView Mortgage Loan Trust,
Series 2006-5, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.91%)
4.05%	07/19/471		317,428		125,257

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HSI Asset Loan Obligation Trust,
Series 2007-2, Class 2A12
6.00%	09/25/37	$	235,276	$	182,077
HSI Asset Securitization Corp. Trust,
Series 2007-OPT1, Class 1A
(LIBOR USD 1-Month plus 0.14%)
4.99%	12/25/361		207,841		174,351
Impac CMB Trust,
Series 2004-4, Class 1A2
(LIBOR USD 1-Month plus 0.62%)
5.47%	09/25/341		45,844		45,312
Impac CMB Trust,
Series 2004-6, Class 1A2
(LIBOR USD 1-Month plus 0.78%)
5.63%	10/25/341		86,358		83,497
IndyMac Index Mortgage Loan Trust,
Series 2005-AR25, Class 2A1
3.35%	12/25/354		222,368		193,359
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A3
6.61%	02/25/28		31,873		31,519
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A4
6.75%	02/25/28		13,418		13,273
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		31,767		32,100
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A5
6.96%	09/25/284		76,570		75,131
JPMorgan Alternative Loan Trust,
Series 2006-S1, Class 1A19
6.50%	03/25/36		210,384		119,935
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF6 (STEP-reset date 05/25/23)
4.22%	03/25/47		621,652		435,792
Long Beach Mortgage Loan Trust,
Series 2006-9, Class 2A3
(LIBOR USD 1-Month plus 0.32%)
5.17%	10/25/361		399,047		119,492
Luminent Mortgage Trust,
Series 2006-5, Class A1A
(LIBOR USD 1-Month plus 0.38%)
5.23%	07/25/361		263,192		172,960
MASTR Adjustable Rate Mortgages Trust,
Series 2007-1, Class I1A
(LIBOR USD 1-Month plus 0.39%)
5.24%	01/25/471		446,423		190,645
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.30%)
5.15%	03/25/471		233,738		201,255

See accompanying Notes to Financial Statements.

159 / Annual Report March 2023

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Alternative Loan Trust,
Series 2006-2, Class 2A1
(LIBOR USD 1-Month plus 0.40%)
5.25%	03/25/361,5,6	$	2,403,348	$	251,595
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
(LIBOR USD 1-Month plus 0.21%)
5.06%	05/25/371		153,478		144,551
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
(LIBOR USD 1-Month plus 0.28%)
5.13%	05/25/371		300,000		231,380
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.66%)
5.51%	04/25/371,5,6		1,696,107		74,870
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE2, Class A2C
(LIBOR USD 1-Month plus 1.16%)
6.01%	08/25/351		629,458		612,588
Merrill Lynch Mortgage Investors Trust,
Series 2006-RM2, Class A1A
(LIBOR USD 1-Month plus 0.37%)
5.22%	05/25/371		444,871		129,612
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%	01/15/40		68,563		67,417
Mid-State Trust XI,
Series 11, Class B
8.22%	07/15/38		4,057		4,038
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
5.15%	06/25/361		626,139		322,417
Morgan Stanley Home Equity Loan Trust,
Series 2007-1, Class A3
(LIBOR USD 1-Month plus 0.14%)
4.99%	12/25/361		622,628		308,866
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
4.19%	09/25/344		110,024		104,546
Morgan Stanley Mortgage Loan Trust,
Series 2006-15XS, Class A4A (STEP-reset date 05/25/23)
6.70%	11/25/36		427,783		100,427
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/364		919,302		283,599
Morgan Stanley Mortgage Loan Trust,
Series 2007-11AR, Class 2A3
2.72%	06/25/374		132,948		75,465
New Residential Mortgage Loan Trust,
Series 2022-NQM2, Class A2
3.70%	03/27/622,4		250,000		199,871

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nomura Resecuritization Trust,
Series 2015-4R, Class 2A2
(LIBOR USD 1-Month plus 0.31%)
2.13%	10/26/361,2	$	369,373	$	310,228
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A3
6.03%	05/15/244		24,460		24,444
OBX Trust,
Series 2022-NQM1, Class A1
2.31%	11/25/612,4		253,164		217,814
Option One Mortgage Loan Trust,
Series 2006-3, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
4.99%	02/25/371		188,274		126,185
PRET LLC,
Series 2022-RN2, Class A2 (STEP-reset date 04/25/23)
6.50%	06/25/522		197,000		181,401
Pretium Mortgage Credit Partners LLC,
Series 2022-RN3, Class A2
6.50%	08/25/522,4		180,000		166,242
PRPM LLC,
Series 2020-4, Class A1 (STEP-reset date 04/25/23)
2.95%	10/25/252		74,273		72,594
PRPM LLC,
Series 2021-4, Class A1 (STEP-reset date 04/25/23)
1.87%	04/25/262		195,060		186,506
PRPM LLC,
Series 2021-5, Class A1 (STEP-reset date 04/25/23)
1.79%	06/25/262		96,407		90,881
PRPM LLC,
Series 2021-9, Class A1 (STEP-reset date 04/25/23)
2.36%	10/25/262		134,851		127,936
PRPM LLC,
Series 2022-1, Class A1 (STEP-reset date 04/25/23)
3.72%	02/25/272		192,989		184,437
PRPM LLC,
Series 2022-4, Class A2 (STEP-reset date 04/25/23)
5.00%	08/25/272		170,000		155,270
PRPM, LLC,
Series 2021-8, Class A1
1.74%	09/25/262,4		81,340		76,366
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.61%	03/25/354		115,651		58,693
Residential Accredit Loans Trust,
Series 2006-QS5, Class A6
6.00%	05/25/36		285,746		230,502
Residential Accredit Loans Trust,
Series 2007-QS1, Class 1A5
(LIBOR USD 1-Month plus 0.55%)
5.40%	01/25/371		323,983		225,698
Residential Asset Securities Corp.,
Series 2005-KS11, Class M3
(LIBOR USD 1-Month plus 0.66%)
5.51%	12/25/351		164,736		154,901

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 160

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust,
Series 2005-A5, Class A8
5.50%	05/25/35	$	379,313	$	275,259
SG Mortgage Securities Trust,
Series 2006-OPT2, Class A3D
(LIBOR USD 1-Month plus 0.21%)
5.06%	10/25/361		250,000		179,346
Starwood Mortgage Residential Trust,
Series 2021-6, Class A1
1.92%	11/25/662,4		214,351		177,605
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
4.82%	09/25/344		88,123		84,451
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A1B
(LIBOR USD 1-Month plus 0.17%)
5.02%	02/25/361		330,515		273,110
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1A
(LIBOR USD 1-Month plus 0.42%)
5.27%	08/25/361		389,593		304,400
Terwin Mortgage Trust,
Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 1.10%)
5.95%	07/25/341,2		61,142		52,971
Towd Point Mortgage Trust,
Series 2017-4, Class A2
3.00%	06/25/572,4		350,000		310,638
TRK Trust,
Series 2021-INV2, Class A1
1.97%	11/25/562,4		275,119		227,486
VOLT XCIV LLC,
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/23)
2.24%	02/27/512		100,665		94,669
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
(LIBOR USD 1-Month plus 0.23%)
5.08%	01/25/371		540,127		245,680
					21,404,638
U.S. Agency Commercial Mortgage-Backed — 0.95%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
3.04%	07/25/394		257,021		5,136
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
0.77%	07/25/334		535,000		44,600
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K028, Class X3 (IO)
2.92%	06/25/414		919,460		1,937
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K031, Class X3 (IO)
1.66%	07/25/414		5,999,569		2,602

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)
0.04%	07/25/234	$	5,399,448	$	879
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K040, Class X3 (IO)
2.04%	11/25/424		1,100,000		30,994
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K047, Class X3 (IO)
1.49%	06/25/434		1,676,868		49,041
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K724, Class X1 (IO)
0.24%	11/25/234		12,275,770		14,148
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC04, Class X1 (IO)
1.25%	12/25/264		2,244,724		56,665
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC05, Class X1 (IO)
1.21%	06/25/274		1,926,433		57,741
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q010, Class XPT2 (IO)
0.36%	08/25/24		961,349		2,996
FREMF Mortgage Trust,
Series 2017-K66, Class X2A (IO)
0.10%	06/25/272		26,399,463		83,265
FREMF Mortgage Trust,
Series 2017-K726, Class X2B (IO)
0.10%	07/25/492		25,000,000		24,560
Ginnie Mae,
Series 2009-114, Class IO (IO)
0.02%	10/16/494		4,380,818		126
Ginnie Mae,
Series 2010-148, Class IO (IO)
0.29%	09/16/504		1,394,985		13,704
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.63%	12/16/514		2,088,578		32,612
Ginnie Mae,
Series 2012-125, Class IO (IO)
0.17%	02/16/534		6,895,554		40,655
Ginnie Mae,
Series 2012-27, Class IO (IO)
0.27%	04/16/534		3,091,730		9,825
Ginnie Mae,
Series 2013-156, Class IO (IO)
0.25%	06/16/554		3,594,590		19,639
Ginnie Mae,
Series 2013-163, Class IO (IO)
1.02%	02/16/464		1,341,284		17,351

See accompanying Notes to Financial Statements.

161 / Annual Report March 2023

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2013-63, Class IO (IO)
0.74%	09/16/514	$	4,364,723	$	81,791
Ginnie Mae,
Series 2013-74, Class IO (IO)
0.45%	12/16/534		937,354		9,686
Ginnie Mae,
Series 2014-103, Class IO (IO)
0.19%	05/16/554		865,998		6,237
Ginnie Mae,
Series 2014-125, Class IO (IO)
0.91%	11/16/544		517,470		12,814
Ginnie Mae,
Series 2015-47, Class IO (IO)
0.37%	10/16/564		533,227		7,642
					626,646
U.S. Agency Mortgage-Backed — 14.87%
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
4.96%	05/25/231		3		3
Fannie Mae REMICS,
Series 2000-45, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)
3.19%	12/18/301		29,350		1,095
Fannie Mae REMICS,
Series 2001-42, Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%	09/25/311		226		224
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%	01/25/341		2,396		2,430
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
1.25%	10/25/251		131,311		1,174
Fannie Mae REMICS,
Series 2006-125, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
2.35%	01/25/371		438,023		54,195
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
1.20%	11/25/361		532,016		45,244
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
1.57%	05/25/401		510,718		56,585
Freddie Mac REMICS,
Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%	10/15/231		616		616

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 1673, Class SD
(-2.16 X US Treasury Yield Curve Rate T Note Constant Maturity 10-Year plus 19.39%, 18.31% Cap)
11.20%	02/15/241	$	4,058	$	4,130
Freddie Mac REMICS,
Series 3247, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.65%, 0.15% Cap)
0.15%	08/15/361		6,995,886		22,469
Freddie Mac REMICS,
Series 3289, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)
1.44%	03/15/371		486,738		40,674
Ginnie Mae (TBA)
4.50%	04/20/53		300,000		295,608
5.00%	04/20/53		175,000		175,232
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
5.07%	11/26/231		1,749		1,745
UMBS (TBA)
2.00%	05/01/53		1,650,000		1,365,406
2.50%	05/01/53		1,400,000		1,208,267
3.00%	05/01/53		425,000		381,620
4.00%	05/01/53		1,375,000		1,315,918
4.50%	04/15/53		1,525,000		1,494,160
4.50%	05/01/53		400,000		392,043
5.00%	04/01/53		625,000		623,389
5.00%	05/01/53		925,000		922,435
5.50%	04/01/53		1,425,000		1,439,501
					9,844,163
Total Mortgage-Backed
(Cost $40,082,933)					33,757,319
MUNICIPAL BONDS — 0.18%*
California — 0.06%
California Health Facilities Financing Authority Revenue Bonds, Series A
3.00%	08/15/51		20,000		15,477
California State University Revenue Bonds, University & College Improvements, Series B
2.37%	11/01/35		15,000		11,608
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E
2.83%	11/01/41		20,000		15,490
					42,575
Florida — 0.02%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.86%	10/01/35		15,000		12,360
New York — 0.10%
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%	11/15/49		5,000		4,496

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 162

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

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 B3
1.85%		08/01/32	$	75,000	$	58,356
						62,852
Total Municipal Bonds
(Cost $144,608)						117,787
U.S. TREASURY SECURITIES — 0.96%
U.S. Treasury Bonds — 0.73%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%		10/15/2710		473,657		483,082
U.S. Treasury Notes — 0.23%
U.S. Treasury Notes
3.63%		03/31/28		155,000		155,285
Total U.S. Treasury Securities
(Cost $636,835)						638,367
Total Bonds — 92.43%
(Cost $68,799,062)						61,210,114
Issues			Shares		Value
COMMON STOCK — 0.11%
Communications — 0.04%
Intelsat Emergence SA3,5,6
(Luxembourg)				1,041		27,066
Financials — 0.07%
AGNC Investment Corp.				4,500		45,360
Total Common Stock
(Cost $90,024)						72,426
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 — 21.24%
Money Market Funds — 1.62%
Fidelity Investments Money Market Funds - Government Portfolio
4.72%11			20,064		20,064

Issues	Maturity     Date	Principal     Amount		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%11			1,054,000	$	1,054,000
					1,074,064
U.S. Treasury Bills — 19.62%
U.S. Treasury Bills
4.58%12	06/01/23	$	10,000,000		9,925,508
4.76%12	08/03/23		1,000,000		984,055
4.59%12	05/11/23		2,090,000		2,080,062
					12,989,625
Total Short-Term Investments
(Cost $14,061,455)					14,063,689
Total Investments - 113.78%
(Cost $82,950,541)					75,346,229
Liabilities in Excess of Other Assets - (13.78)%					(9,125,568	)
Net Assets - 100.00%				$	66,220,661

¹  Floating rate security. The rate disclosed was in effect at March 31, 2023.

²  Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

³  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 $458,294, which is 0.69% 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  Inflation protected security. Principal amount reflects original security face amount.

¹¹  Represents the current yield as of March 31, 2023.

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.

See accompanying Notes to Financial Statements.

163 / Annual Report March 2023

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2023

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.

(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

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold		Counterparty				Settlement         Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 78,601		EUR 72,000		Goldman Sachs International				04/13/23	$	319
USD 341,930		EUR 317,000		Citibank N.A.				04/13/23		(2,725)
NET UNREALIZED DEPRECIATION									$	(2,406)
Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		74		06/30/23	$	8,103,578	$	164,005	$	164,005
U.S. Treasury Two-Year Note		34		06/30/23		7,019,406		63,090		63,090
						15,122,984		227,095		227,095
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		44		06/21/23		(5,330,188)		(148,812)		(148,812)
U.S. Treasury Ultra Bond		13		06/21/23		(1,834,625)		(79,105)		(79,105)
Euro-Bobl Future 1				06/08/23		(128,071)		650		650
Euro-Bund Future 1				06/08/23		(147,583)		(5,351)		(5,351)
						(7,440,467)		(232,618)		(232,618)
TOTAL FUTURES CONTRACTS					$	7,682,517	$	(5,523)	$	(5,523)

		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
Interest Rate Swap1	09/20/53		USD-SOFR- COMPOUND		Annual		3.00%		Annual	$	80	$	(1,805)	$	—	$	(1,805)
Interest Rate Swap1	09/20/53		USD-SOFR- COMPOUND		Annual		3.00%		Annual		76		(1,714)		—		(1,714)
TOTAL SWAPS CONTRACTS										$	156	$	(3,519)	$	—	$	(3,519)

¹  Centrally cleared.

See accompanying Notes to Financial Statements

Annual Report March 2023 / 164

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 113.37%
ASSET-BACKED SECURITIES — 4.98%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
5.95%	12/27/441,2	$	13,969,419	$	13,754,237
AGL CLO 1 Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.46%	10/20/341,2,3		24,800,000		24,007,466
AGL CLO 17 Ltd.,
Series 2022-17A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.33%)
5.98%	01/21/351,2,3		30,520,000		29,904,473
AIG CLO LLC,
Series 2020-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
5.95%	04/15/341,2,3		38,800,000		37,961,338
Aimco CLO 11 Ltd.,
Series 2020-11A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.92%	10/17/341,2,3		7,050,000		6,878,882
Allegro CLO XIII Ltd.,
Series 2021-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.51%	07/20/341,2,3		9,250,000		8,946,600
AMMC CLO 15 Ltd.,
Series 2014-15A, Class AR3
(Cayman Islands)
(LIBOR USD 3-Month plus 1.12%)
5.91%	01/15/321,2,3		27,800,000		27,366,125
AMMC CLO 22 Ltd.,
Series 2018-22A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.45%)
6.27%	04/25/311,2,3		19,750,000		19,163,721
AMMC CLO 26 Ltd.,
Series 2023-26A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.95%)
7.09%	04/15/361,2,3		8,250,000		8,191,177
AMSR Trust,
Series 2020-SFR1, Class A
1.82%	04/17/371		13,986,580		13,124,130
AMSR Trust,
Series 2021-SFR1, Class G
4.61%	06/17/381,4		15,250,000		12,777,185
Apidos CLO XVIII,
Series 2018-18A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.47%	10/22/301,2,3		6,700,000		6,530,892

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%)
5.87%	04/20/311,2,3	$	21,345,000	$	21,130,568
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
5.76%	07/20/291,2,3		17,662,794		17,545,337
Barings CLO Ltd.,
Series 2020-4A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
6.03%	01/20/321,2,3		19,110,000		18,894,076
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
5.30%	04/25/351,2		1,395,826		1,326,980
BCRED MML CLO, LLC,
Series 2022-1A, Class A1
(CME Term SOFR 3-Month plus 1.65%)
6.29%	04/20/351,2		48,400,000		46,631,464
BlueMountain CLO Ltd.,
Series 2014-2A, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
6.56%	10/20/301,2,3		1,830,000		1,782,347
BlueMountain CLO XXXII Ltd.,
Series 2021-32A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.49%	10/15/341,2,3		25,000,000		24,067,500
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
5.79%	07/20/291,2,3		12,711,842		12,549,766
Brazos Education Loan Authority, Inc.,
Series 2012-1, Class A1
(LIBOR USD 1-Month plus 0.70%)
5.55%	12/26/352		17,599		17,376
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
6.16%	02/25/352		9,696,234		9,624,361
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
5.82%	10/27/362		19,913,776		19,656,648
Carvana Auto Receivables Trust,
Series 2021-N1, Class R
0.00%	01/10/281		40,871		5,390,161
Carvana Auto Receivables Trust,
Series 2021-P4, Class R
0.00%	09/11/281		43,250		18,082,202

See accompanying Notes to Financial Statements.

165 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Catskill Park CLO Ltd.,
Series 2017-1A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.51%	04/20/291,2,3	$	6,000,000	$	5,884,260
Cedar Funding II CLO Ltd.,
Series 2013-1A, Class BRR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.35%)
6.16%	04/20/341,2,3		4,950,000		4,705,198
Cedar Funding V CLO Ltd.,
Series 2016-5A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
6.54%	07/17/311,2,3		7,000,000		6,821,500
Cedar Funding VIII CLO Ltd.,
Series 2017-8A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.44%	10/17/341,2,3		9,350,000		9,040,739
CIFC Funding Ltd.,
Series 2017-4A, Class A2R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
6.37%	10/24/301,2,3		3,475,000		3,393,244
CIFC Funding Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.41%	10/20/341,2,3		9,000,000		8,631,900
CIFC Funding Ltd.,
Series 2021-6A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.44%	10/15/341,2,3		20,000,000		19,226,000
CIFC Funding Ltd.,
Series 2022-1A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.32%)
5.98%	04/17/351,2,3		25,000,000		24,427,750
CIT Education Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
5.43%	06/25/421,2		8,495,085		7,369,749
Clear Creek CLO,
Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
6.01%	10/20/301,2,3		25,516,769		25,289,925
College Loan Corp. Trust,
Series 2005-2, Class B
(LIBOR USD 3-Month plus 0.49%)
5.32%	01/15/372		1,478,023		1,349,308

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
5.68%	11/15/281,2,3	$	6,817,705	$	6,733,165
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
6.11%	11/15/281,2,3		1,500,000		1,455,510
Dryden 65 CLO Ltd.,
Series 2018-65A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.39%	07/18/301,2,3		3,500,000		3,387,650
Dryden 83 CLO Ltd.,
Series 2020-83A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
6.01%	01/18/321,2,3		29,220,000		28,890,282
Dryden 92 CLO Ltd.,
Series 2021-92A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.57%	11/20/341,2,3		22,500,000		21,402,000
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
5.69%	04/15/291,2,3		19,973,912		19,749,405
Eaton Vance CLO Ltd.,
Series 2013-1A, Class A13R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
6.04%	01/15/341,2,3		23,850,000		23,372,284
Eaton Vance CLO Ltd.,
Series 2018-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
6.54%	10/15/301,2,3		5,000,000		4,870,500
Eaton Vance CLO Ltd.,
Series 2020-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.44%	10/15/341,2,3		25,000,000		24,098,750
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
6.20%	07/26/661,2		30,878,320		30,553,117
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
5.65%	04/26/321,2		5,625,919		5,561,619
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
5.90%	03/25/362		4,527,744		4,523,327

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 166

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
EFS Volunteer No. 2 LLC,
Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
6.20%	03/25/361,2	$	6,086,873	$	6,075,933
Elmwood CLO XI Ltd.,
Series 2021-4A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.41%	10/20/341,2,3		16,000,000		15,377,120
FirstKey Homes Trust,
Series 2021-SFR1, Class F1
3.24%	08/17/381		12,416,000		10,732,624
FirstKey Homes Trust,
Series 2021-SFR2, Class F1
2.91%	09/17/381		12,677,000		10,910,161
Flatiron CLO 21 Ltd.,
Series 2021-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
5.91%	07/19/341,2,3		52,500,000		51,270,450
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/291,3		11,860,794		11,465,575
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
5.41%	08/25/422		1,393,613		1,276,815
Goal Structured Solutions Trust,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.65%)
5.50%	09/25/411,2		11,779,432		11,402,582
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
5.96%	10/20/341,2,3		36,180,000		35,331,181
GoldenTree Loan Opportunities IX Ltd.,
Series 2014-9A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
5.91%	10/29/291,2,3		3,835,224		3,807,725
Golub Capital Partners CLO 64B Ltd.,
Series 2022-64A, Class B
(United Kingdom)
(CME Term SOFR 3-Month plus 3.30%)
7.29%	10/25/351,2,3		8,800,000		8,820,222
Golub Capital Partners CLO 66B Ltd.,
Series 2023-66A, Class A
(United Kingdom)
(CME Term SOFR 3-Month plus 1.95%)
0.00%	04/25/361,2,3		20,000,000		19,915,000
HPS Loan Management Ltd.
Series 15A-19, Class A1R
(United Kingdom)
(CME Term SOFR 3-Month plus 1.32%)
5.97%	01/22/351,2,3		35,720,000		34,798,174

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
HPS Loan Management Ltd.,
Series 2021-16A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.52%	01/23/351,2,3	$	19,250,000	$	18,510,800
HPS Loan Management Ltd.,
Series 2023-17A, Class A
(United Kingdom)
(CME Term SOFR 3-Month plus 1.90%)
6.52%	04/23/361,2,3		17,400,000		17,358,188
Invesco U.S. CLO Ltd.,
Series 2023-2A, Class A
(United Kingdom)
(CME Term SOFR 3-Month plus 1.80%)
6.66%	04/21/361,2,3		12,600,000		12,566,194
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/731		524,199		488,151
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/731		32,745,309		29,287,672
LCM XVIII LP,
Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
6.03%	07/15/271,2,3		2,793,353		2,792,124
LCM XX LP,
Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
5.85%	10/20/271,2,3		1,568,137		1,563,957
LCM XXI LP,
Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
5.69%	04/20/281,2,3		5,538,292		5,527,044
Lehman Brothers Small Balance Commercial Mortgage Trust,
Series 2007-1A, Class 2A3
5.62%	03/25/371,4		223,575		222,056
Lucali CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.21%)
6.00%	01/15/331,2,3		11,550,000		11,410,072
Madison Park Funding XLVIII Ltd.,
Series 2021-48A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
5.95%	04/19/331,2,3		30,635,000		30,349,390
Madison Park Funding XVII Ltd.,
Series 2015-17A, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
6.32%	07/21/301,2,3		10,000,000		9,734,000

See accompanying Notes to Financial Statements.

167 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Madison Park Funding XXXVIII Ltd.,
Series 2021-38A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.12%)
5.91%	07/17/341,2,3	$	10,500,000	$	10,254,856
Magnetite XXIII Ltd.,
Series 2019-23A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.47%	01/25/351,2,3		20,000,000		19,236,000
Magnetite XXV Ltd.,
Series 2020-25A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
6.02%	01/25/321,2,3		27,025,000		26,750,642
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
5.36%	06/25/312		523,859		506,285
Navient Student Loan Trust,
Series 2014-2, Class A
(LIBOR USD 1-Month plus 0.64%)
5.49%	03/25/832		26,733,190		25,810,705
Navient Student Loan Trust,
Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
5.47%	03/25/832		48,152,797		46,790,771
Navient Student Loan Trust,
Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
5.47%	03/25/832		71,240,736		69,262,123
Navient Student Loan Trust,
Series 2014-6, Class A
(LIBOR USD 1-Month plus 0.61%)
5.46%	03/25/832		30,190,968		29,142,961
Navient Student Loan Trust,
Series 2014-7, Class A
(LIBOR USD 1-Month plus 0.61%)
5.46%	03/25/832		63,341,341		61,214,925
Navient Student Loan Trust,
Series 2015-1, Class A2
(LIBOR USD 1-Month plus 0.60%)
5.45%	04/25/402		47,426,929		45,736,851
Navient Student Loan Trust,
Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
5.42%	11/26/402		91,989,319		89,095,212
Navient Student Loan Trust,
Series 2016-7A, Class A
(LIBOR USD 1-Month plus 1.15%)
6.00%	03/25/661,2		49,812,956		49,417,128
Nelnet Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.45%)
5.37%	08/23/361,2		7,348,908		7,172,287

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
5.45%	10/27/361,2	$	6,298,310	$	6,114,634
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
5.80%	11/25/481,2		11,630,000		11,384,708
Nelnet Student Loan Trust,
Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
5.40%	07/25/461,2		37,037,131		35,725,689
Nelnet Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
5.44%	04/25/461,2		70,307,157		67,791,928
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
5.75%	06/25/541,2		8,890,000		8,565,742
Neuberger Berman Loan Advisers CLO 33 Ltd.,
Series 2019-33A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.39%	10/16/331,2,3		23,000,000		22,362,900
Neuberger Berman Loan Advisers CLO 36 Ltd.,
Series 2020-36A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
6.06%	04/20/331,2,3		25,455,000		25,081,804
Neuberger Berman Loan Advisers CLO 47 Ltd.,
Series 2022-47A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
5.93%	04/14/351,2,3		32,185,000		31,595,950
NYACK Park CLO Ltd.,
Series 2021-1A, Class B1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.41%	10/20/341,2,3		20,000,000		19,315,340
OCP CLO Ltd.,
Series 2020-19A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.51%	10/20/341,2,3		15,500,000		14,980,750
Octagon 66 Ltd.,
Series 2022-1A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.94%)
6.71%	08/16/331,2,3		45,000,000		44,946,900
Octagon 67 Ltd.,
Series 2023-1A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.80%)
6.57%	04/25/361,2,3		21,210,000		21,153,836

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 168

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Octagon Investment Partners 20-R Ltd.,
Series 2019-4A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.57%	05/12/311,2,3	$	17,500,000	$	17,093,947
Octagon Investment Partners 44 Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.49%	10/15/341,2,3		18,800,000		18,105,114
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.44%	07/15/361,2,3		7,250,000		6,980,445
Octagon Investment Partners XXI Ltd.,
Series 2014-1A, Class A2R3
(Cayman Islands)
(LIBOR USD 3-Month plus 1.40%)
6.27%	02/14/311,2,3		1,470,000		1,423,913
OHA Credit Funding 3 Ltd.,
Series 2019-3A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
5.95%	07/02/351,2,3		33,250,000		32,585,332
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
5.93%	02/24/371,2,3		6,960,000		6,832,702
Palmer Square CLO Ltd.,
Series 2020-3A, Class A1AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
5.94%	11/15/311,2,3		8,400,000		8,300,250
Palmer Square CLO Ltd.,
Series 2021-4A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.44%	10/15/341,2,3		19,500,000		18,769,920
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.39%)
6.20%	01/20/341,2,3		61,000,000		59,862,350
PHEAA Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
5.45%	10/25/411,2		70,029,627		67,834,254
Progress Residential Trust,
Series 2019-SFR3, Class F
3.87%	09/17/361		4,000,000		3,818,144
Progress Residential Trust,
Series 2021-SFR2, Class H
5.00%	04/19/381		21,439,000		18,731,426

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Progress Residential Trust,
Series 2021-SFR6, Class E2
2.53%	07/17/381	$	3,973,000	$	3,431,338
Progress Residential Trust,
Series 2021-SFR6, Class F
3.42%	07/17/381		10,437,000		9,159,209
Progress Residential Trust,
Series 2021-SFR6, Class G
4.00%	07/17/381		8,896,000		7,800,621
Progress Residential Trust,
Series 2021-SFR7, Class F
3.83%	08/17/401		23,777,000		20,025,014
Progress Residential Trust,
Series 2021-SFR8, Class E1
2.38%	10/17/381		10,400,000		8,835,376
Progress Residential Trust,
Series 2021-SFR8, Class E2
2.53%	10/17/381		11,375,000		9,643,744
Progress Residential Trust,
Series 2021-SFR8, Class F
3.18%	10/17/381		61,665,000		52,449,002
Progress Residential Trust,
Series 2021-SFR8, Class G
4.01%	10/17/381		19,482,000		16,036,834
Progress Residential,
Series 2021-SFR1, Class E
2.11%	04/17/381		3,000,000		2,576,133
Progress Residential,
Series 2021-SFR3, Class E1
2.54%	05/17/261		3,055,000		2,665,355
Progress Residential,
Series 2021-SFR3, Class G
4.25%	05/17/261		3,190,000		2,824,522
Rad CLO 18 Ltd.,
Series 2023-18A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.95%)
6.67%	04/15/361,2,3		29,590,000		29,461,224
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
5.89%	04/20/341,2,3		32,680,000		31,775,418
Regatta XIV Funding Ltd.,
Series 2018-3A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.85%)
6.67%	10/25/311,2,3		1,900,000		1,865,021
Regatta XX Funding Ltd.,
Series 2021-2A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.49%	10/15/341,2,3		17,000,000		16,424,550

See accompanying Notes to Financial Statements.

169 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date	Principal    Amount		Value
ASSET-BACKED SECURITIES (continued)
Rockford Tower CLO Ltd.,
Series 2017-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
5.81%	10/15/291,2,3	$	25,168,228	$	24,937,788
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
6.00%	10/20/301,2,3		4,610,000		4,566,887
Rockford Tower CLO Ltd.,
Series 2019-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.57%	08/20/321,2,3		20,000,000		19,401,640
Rockford Tower CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.28%)
6.09%	01/20/321,2,3		23,840,000		23,597,905
Rockford Tower CLO Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.80%)
6.61%	01/20/321,2,3		4,200,000		4,083,887
Scholar Funding Trust,
Series 2012-B, Class A2
(LIBOR USD 1-Month plus 1.10%)
5.93%	03/28/461,2		15,898,823		15,564,080
Sixth Street CLO XVII Ltd.,
Series 2021-17A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
6.05%	01/20/341,2,3		40,840,000		39,984,810
Sixth Street CLO XX Ltd.,
Series 2021-20A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.46%	10/20/341,2,3		25,000,000		24,091,250
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5,6		28,437,682		25,670,562
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
5.15%	08/15/312		196,170		171,585
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
6.47%	12/15/322		7,315,109		7,320,437
SLM Student Loan Trust,
Series 2003-12, Class B
(LIBOR USD 3-Month plus 0.59%)
5.46%	12/15/682		36,743		34,941

Issues	Maturity    Date	Principal    Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2003-4, Class A5E
(LIBOR USD 3-Month plus 0.75%)
5.62%	03/15/331,2	$	3,252,130	$	3,107,825
SLM Student Loan Trust,
Series 2005-9, Class A7A
(LIBOR USD 3-Month plus 0.60%)
5.42%	01/25/412		41,128,714		39,734,020
SLM Student Loan Trust,
Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
4.99%	01/25/412		22,583,476		21,601,280
SLM Student Loan Trust,
Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
4.98%	01/25/412		25,103,645		23,881,540
SLM Student Loan Trust,
Series 2007-1, Class A6
(LIBOR USD 3-Month plus 0.14%)
4.96%	01/27/422		24,425,141		23,145,921
SLM Student Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.22%)
5.04%	01/27/422		2,855,061		2,553,852
SLM Student Loan Trust,
Series 2007-6, Class B
(LIBOR USD 3-Month plus 0.85%)
5.67%	04/27/432		3,582,461		3,323,510
SLM Student Loan Trust,
Series 2007-7, Class A4
(LIBOR USD 3-Month plus 0.33%)
5.15%	01/25/222		195,251		188,020
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%	01/25/832		38,874,000		34,332,992
SLM Student Loan Trust,
Series 2008-3, Class A3
(LIBOR USD 3-Month plus 1.00%)
5.82%	10/25/212		12,448		12,092
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%	04/26/832		2,260,000		2,102,296
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
6.47%	07/25/222		1,422,454		1,412,876
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	04/25/732		8,849,000		8,495,839
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
6.52%	07/25/232		20,813,296		20,715,207

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 170

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/25/732	$	37,199,000	$	34,777,170
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
5.92%	07/25/232		9,388,854		9,145,520
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/26/832		31,424,000		29,162,383
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/26/832		17,206,000		15,977,683
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
6.32%	04/25/232		1,916,774		1,899,278
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
7.07%	10/25/752		625,000		609,023
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
6.32%	04/25/232		42,682,545		42,455,608
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
7.07%	10/25/832		45,100,000		44,532,834
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
5.60%	01/25/451,2		111,588,743		107,208,629
SLM Student Loan Trust,
Series 2011-1, Class A2
(LIBOR USD 1-Month plus 1.15%)
6.00%	10/25/342		1,538,922		1,532,724
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
5.80%	09/25/282		477,095		455,046
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
5.55%	01/25/292		10,082,818		9,727,191
SLM Student Loan Trust,
Series 2012-3, Class A
(LIBOR USD 1-Month plus 0.65%)
5.50%	12/27/382		11,661,121		11,347,327
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
5.50%	05/26/262		17,538,572		16,852,698

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/421,2	$	17,450,000	$	16,121,270
Symphony CLO XXIX Ltd.,
Series 2021-29A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
6.44%	01/15/341,2,3		14,500,000		14,202,358
Trestles CLO IV Ltd.,
Series 2021-4A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
5.99%	07/21/341,2,3		40,000,000		39,103,600
U.S. Small Business Administration,
Series 2022-25F, Class 1
4.01%	06/01/47		69,173,721		67,467,344
United Auto Credit Securitization Trust,
Series 2022-2, Class R1
0.00%	04/10/291		33,600		3,800,517
Voya CLO Ltd.,
Series 2019-4A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
6.54%	01/15/351,2,3		17,500,000		16,789,150
Voya CLO Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.50%	07/19/341,2,3		11,825,000		11,411,125
Total Asset-Backed Securities
(Cost $3,249,325,217)					3,190,369,009
BANK LOANS — 1.54%*
Automotive — 0.01%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%	04/30/262		7,529,354		7,504,244
Communications — 0.18%
CenturyLink, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.36%)
7.17%	03/15/272		11,695,472		7,770,179
CSC Holdings LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
7.18%	04/15/272		5,877,841		5,211,088
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.32%	01/17/282		9,301,681		8,638,936
Diamond Sports Group, LLC,
Term Loan, 2nd Lien
(SOFR plus 3.40%)
8.03%	08/24/262		66,032,174		3,782,983

See accompanying Notes to Financial Statements.

171 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity    Date	Principal    Amount		Value
BANK LOANS (continued)
Communications (continued)
EW Scripps Co.,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
6.78%	10/02/242	$	3,927,506	$	3,912,287
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.62%	05/01/282		18,434,411		17,558,777
Intelsat Jackson Holdings SA,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 4.50%)
9.08%	02/01/292,3		5,038,997		4,996,997
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.60%	04/11/252		26,200,492		26,218,309
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	03/09/272		42,781,678		34,993,487
(SOFR plus 4.25%)
9.06%	03/09/272		4,202,397		3,345,108
					116,428,151
Consumer Discretionary — 0.08%
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.09%	01/24/292,3		44,517,497		39,453,631
Term Loan, 2nd Lien
(SOFR plus 6.00%)
11.00%	01/24/302		1,212,526		929,602
Osmosis Buyer Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.48%	07/31/282		1,343,491		1,300,674
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.91%	10/01/262		7,569,238		7,508,343
					49,192,250
Electric — 0.07%
CommScope, Inc.,
Term Loan B2, 1st Lien (France)
(LIBOR plus 3.25%)
8.09%	04/06/262,3		41,089,934		39,632,474
Homer City Generation LP,
Term Loan, 1st Lien (France)
(LIBOR plus 11.00%)
15.00%	04/05/232,5,6		6,509,147		4,371,966
					44,004,440

Issues	Maturity    Date	Principal    Amount		Value
BANK LOANS (continued)
Entertainment — 0.08%
Alpha Topco Ltd. - Delta 2 (Lux) Sarl,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.05%	01/15/302	$	1,243,525	$	1,245,602
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.50%)
9.50%	02/28/252		6,702,692		1,057,785
Crown Finance U.S., Inc.,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(SOFR plus 10.10%)
14.66% - 14.80%	09/07/232,3		8,564,918		8,700,201
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.41%	08/01/272		37,765,956		37,007,427
William Morris Endeavor Entertainment LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
7.60%	05/16/252		2,104,128		2,090,104
					50,101,119
Finance — 0.10%
Auris Lux III SA,
Term Loan B2, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
8.68%	02/27/262,3		1,443,618		1,311,526
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
7.01%	12/01/272		8,801,026		8,821,181
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.46%	04/09/272		8,413,608		8,168,225
Mozart Borrower, LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%	10/23/282		20,863,602		20,369,760
Setanta Aircraft Leasing DAC,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
7.16%	11/06/282		16,790,000		16,808,889
Telenet Financing USD LLC,
Term Loan AR, 1st Lien
(LIBOR plus 2.00%)
6.68%	04/28/282		10,080,899		9,910,784
					65,390,365
Food — 0.04%
Hostess Brands LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
7.08%	08/03/252		22,849,834		22,891,306

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 172

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Gaming — 0.04%
Churchill Downs, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 2.00%)
6.85%	03/17/282	$	12,740,000	$	12,686,938
Golden Nugget, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.81%	01/26/292		3,278,788		3,235,573
J&J Ventures Gaming LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
9.16%	04/26/282		964,955		937,415
Penn National Gaming, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
7.66%	05/03/292		3,442,659		3,439,870
Scientific Games International, Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.10%)
7.96%	04/13/292,3		5,300,383		5,268,342
					25,568,138
Health Care — 0.23%
Avantor Funding, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
6.98%	11/08/272		21,304,784		21,316,502
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
6.51%	01/15/252		6,520,459		6,531,348
Bausch & Lomb Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.36%	05/10/272		7,342,837		7,149,060
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
6.74%	11/15/272		25,921,440		25,440,856
Horizon Therapeutics USA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 2.00%)
7.06%	05/22/262		628,170		628,289
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
6.56%	03/15/282		29,098,117		29,077,603
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	05/05/282		39,742,668		39,639,138
Organon & Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.75%	06/02/282		9,492,323		9,500,202

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%	02/01/282	$	9,666,913	$	9,566,232
Perrigo Investments LLC,
Term Loan B, 1st Lien
(SOFR plus 2.35%)
7.15%	04/20/292		744,375		740,653
Prestige Brands, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.00%)
6.86%	07/03/282		354,545		354,030
					149,943,913
Industrials — 0.25%
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.94%	10/16/282		1,097,387		919,978
AZZ, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.06%	05/14/292		2,003,078		2,005,162
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
6.51%	07/01/262		69,960,448		69,807,584
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
9.84%	08/02/272		30,886,989		29,795,442
II-VI, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
7.38% - 7.67%	07/02/292		2,377,449		2,359,618
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(LIBOR plus 4.25%)
9.41%	04/15/282		27,745,800		25,545,142
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 3.25%)
8.15%	08/24/282		19,429,295		19,400,151
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
9.16%	08/12/242		10,138,389		8,780,554
					158,613,631
Information Technology — 0.25%
Arches Buyer, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.25%)
8.06%	12/06/272		5,539,264		5,232,860

See accompanying Notes to Financial Statements.

173 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.25%	02/15/292,3,7	$	7,109,611	$	6,674,148
Central Parent, Inc.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.25%)
9.14% - 9.18%	07/06/292,3		10,569,932		10,553,707
Entegris, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
7.37% - 7.64%	07/06/292		4,689,326		4,642,433
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.72% - 8.99%	10/01/272		17,945,518		17,182,833
NortonLifeLock, Inc.,
Term Loan A, 1st Lien
(SOFR plus 2.00%)
6.58%	09/10/272		20,023,349		19,622,882
Term Loan B, 1st Lien
(SOFR plus 2.10%)
6.91%	09/12/292		21,195,618		21,012,806
Open Text Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.30%	08/24/292		4,284,999		4,279,193
Oracle Corp.,
Term Loan 1, 1st Lien
(SOFR plus 1.60%)
6.46%	08/16/272		59,289,814		58,993,365
Prime Security Services Borrower LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
7.52%	09/23/262		3,988,685		3,981,426
Proofpoint, Inc.,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 3.25%)
7.99%	08/31/282,3		935,488		916,516
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	04/24/282		3,121,234		3,034,885
Renaissance Holding Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.22%	03/14/302		2,426,084		2,363,722
Sophia LP,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.66%	10/07/272		1,386,256		1,372,401

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.99%	03/03/282	$	3,200,343	$	2,699,713
					162,562,890
Insurance — 0.03%
Acrisure LLC,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
8.24%	02/15/272		19,822,602		19,236,150
Asurion LLC,
Term Loan B8, 1st Lien
(LIBOR plus 3.25%)
7.99%	12/23/262		1,259,690		1,171,966
HUB International Ltd.,
Term Loan B3, 1st Lien
(LIBOR plus 3.25%)
8.06%	04/25/252		569,846		569,236
					20,977,352
Retail — 0.13%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
9.56%	04/20/282		4,340,781		4,414,335
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
6.99%	02/19/282		47,936,324		47,440,423
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
6.59%	11/19/262,3		20,265,115		20,104,717
KFC Holding Co.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.51%	03/15/282		8,673,309		8,648,027
					80,607,502
Services — 0.04%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.63%	01/29/272		3,354,665		3,300,152
Aramark Services, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
6.49%	03/11/252		2,287,785		2,285,646
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%	06/22/292		2,077,315		2,057,840
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%	06/22/292		4,500,849		4,458,653

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 174

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Services (continued)
PowerTeam Services LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.19%	03/06/252	$	2,476,546	$	2,110,735
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%	12/15/282		4,990,528		4,919,313
Safe Fleet Holdings, LLC,
Term Loan, 1st Lien
(SOFR plus 3.85%)
8.61%	02/23/292		2,860,666		2,809,403
Trans Union LLC,
Term Loan B6, 1st Lien (Luxembourg)
(LIBOR plus 2.25%)
6.99%	12/01/282,3		3,158,177		3,139,749
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	11/02/272		4,097,239		3,793,797
					28,875,288
Transportation — 0.01%
United Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.56%	04/21/282		4,949,495		4,925,366
Total Bank Loans
(Cost $1,060,038,246)					987,585,955
CORPORATES — 30.08%*
Automobile Components — 0.00%
Ford Motor Credit Co. LLC
3.37%	11/17/23		1,144,000		1,123,980
Banking — 7.92%
ABN AMRO Bank NV
(Netherlands)
2.47%	12/13/291,3,4		7,000,000		5,904,797
Bank of America Corp.
0.98%	04/22/254		2,330,000		2,220,332
1.73%	07/22/274		250,485,000		224,683,061
2.30%	07/21/324		16,018,000		12,916,992
2.57%	10/20/324		8,676,000		7,096,943
2.59%	04/29/314		39,817,000		33,748,662
2.69%	04/22/324		30,574,000		25,557,005
2.97%	02/04/334		10,007,000		8,439,991
3.42%	12/20/284		12,681,000		11,799,024
Bank of America Corp.
(MTN)
0.81%	10/24/244		6,000,000		5,833,948
1.90%	07/23/314		29,920,000		23,981,428
1.92%	10/24/314		21,386,000		17,102,658
2.02%	02/13/264		1,898,000		1,779,679
2.09%	06/14/294		275,019,000		236,817,731
2.50%	02/13/314		19,900,000		16,868,902

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
2.55%	02/04/284	$	33,035,000	$	30,114,211
3.97%	03/05/294		353,000		334,947
(LIBOR USD 3-Month plus 0.65%)
5.61%	12/01/262		50,000,000		47,027,670
Bank of America Corp.,
Series N
1.66%	03/11/274		317,702,000		286,640,879
2.65%	03/11/324		5,640,000		4,715,497
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		150,785,000		128,167,250
2.13%	10/13/263,4		10,150,000		10,101,114
2.19%	06/05/261,3,4		32,674,000		29,079,860
2.59%	09/11/251,3,4		21,389,000		19,878,082
2.88%	04/02/323,4		223,214,000		202,568,108
3.09%	05/14/321,3,4		164,312,000		132,238,436
3.87%	01/12/291,3,4		17,646,000		15,724,814
4.19%	04/01/311,3,4		32,176,000		28,646,293
4.28%	01/09/281,3		16,207,000		14,707,852
6.37%	07/15/261,3,4		40,805,000		39,795,272
6.44%	08/11/281,3,4		3,392,000		3,358,080
6.54%	08/12/331,3,4		162,059,000		166,110,475
7.75%	03/01/293,4		13,350,000		15,913,344
9.02%	11/15/331,3,4		102,474,000		121,944,060
Credit Suisse Group AG
(EMTN)
(Switzerland)
0.63%	01/18/333		22,735,000		16,163,903
Discover Bank
(BKNT)
4.20%	08/08/23		15,255,000		15,167,744
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,4		122,145,000		114,077,516
1.13%	09/16/261,3,4		7,581,000		6,808,364
1.61%	03/30/281,3,4		5,940,000		5,173,468
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		22,349,000		19,720,737
1.75%	07/24/273,4		15,500,000		16,837,272
2.01%	09/22/283,4		185,957,000		160,034,551
2.21%	08/17/293,4		203,805,000		171,813,701
2.63%	11/07/253,4		17,045,000		16,126,335
2.80%	05/24/323,4		56,564,000		46,290,640
3.97%	05/22/303,4		2,650,000		2,401,307
4.29%	09/12/263,4		5,000,000		4,796,624
4.76%	06/09/283,4		3,116,000		3,018,869
6.25%	03/09/343,4		7,000,000		7,324,178
6.33%	03/09/443,4		38,998,000		41,258,598
ING Groep NV
(Netherlands)
4.02%	03/28/283,4		31,185,000		29,784,451
JPMorgan Chase & Co.
0.77%	08/09/254		41,694,000		39,193,412
0.97%	06/23/254		136,630,000		129,451,837
1.47%	09/22/274		33,219,000		29,391,559

See accompanying Notes to Financial Statements.

175 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
1.58%	04/22/274	$	120,391,000	$	108,210,871
2.01%	03/13/264		41,645,000		39,270,948
2.58%	04/22/324		35,604,000		30,010,725
3.70%	05/06/304		8,100,000		7,538,173
4.02%	12/05/244		162,035,000		160,500,880
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,4		21,375,000		18,983,594
3.57%	11/07/283,4		2,073,000		1,899,398
3.75%	03/18/283,4		19,130,000		17,829,362
3.87%	07/09/253,4		27,225,000		26,477,287
3.90%	03/12/243		27,591,000		27,059,395
4.05%	08/16/233		10,510,000		10,435,619
4.98%	08/11/333,4		59,300,000		57,335,735
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,4		70,515,000		65,751,305
1.34%	01/12/271,3,4		25,515,000		22,786,998
1.63%	09/23/271,3,4		35,840,000		31,511,619
2.69%	06/23/321,3,4		2,100,000		1,682,068
2.87%	01/14/331,3,4		112,140,000		90,928,119
4.44%	06/21/331,3,4		19,355,000		17,610,411
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		114,332,000		112,085,748
4.52%	06/25/243,4		21,305,000		21,204,158
PNC Financial Services Group, Inc. (The)
5.07%	01/24/344		136,758,000		135,136,471
6.04%	10/28/334		6,665,000		7,037,346
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,4		176,904,000		167,285,834
1.53%	08/21/263,4		39,934,000		35,661,599
1.67%	06/14/273,4		33,865,000		29,510,864
2.47%	01/11/283,4		23,406,000		20,620,555
2.90%	03/15/323,4		5,941,000		4,802,155
3.82%	11/03/283,4		2,200,000		2,013,234
4.80%	11/15/243,4		114,250,000		112,694,409
Santander UK PLC
(United Kingdom)
5.00%	11/07/231,3		27,746,000		27,435,744
U.S. Bancorp
4.84%	02/01/344		141,678,000		137,516,121
5.85%	10/21/334		34,035,000		35,632,870
Wells Fargo & Co.
2.19%	04/30/264		9,129,000		8,561,726
Wells Fargo & Co.
(MTN)
2.16%	02/11/264		49,673,000		46,759,931
2.39%	06/02/284		133,700,000		120,480,759
2.88%	10/30/304		168,638,000		146,526,727
3.35%	03/02/334		277,057,000		240,501,775
3.53%	03/24/284		117,849,000		111,321,123
3.58%	05/22/284		10,285,000		9,697,555

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
5.01%	04/04/514	$	6,515,000	$	6,143,390
					5,081,105,064
Communications — 3.45%
AT&T, Inc.
4.30%	12/15/42		30,960,000		26,970,115
4.75%	05/15/46		49,060,000		44,339,338
4.85%	03/01/39		4,620,000		4,341,260
5.25%	03/01/37		109,923,000		110,069,694
C&W Senior Financing DAC
(Ireland)
6.88%	09/15/271,3		2,200,000		1,970,043
Cable One, Inc.
4.00%	11/15/301		49,155,000		40,307,100
CCO Holdings LLC/CCO Holdings Capital Corp.
4.25%	02/01/311		3,725,000		3,054,500
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.50%	06/01/331		21,796,000		17,409,119
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%	02/01/32		10,000,000		7,627,557
2.80%	04/01/31		15,987,000		12,888,525
4.80%	03/01/50		127,389,000		96,977,424
5.38%	04/01/38		2,030,000		1,775,271
5.38%	05/01/47		116,802,000		96,121,460
5.75%	04/01/48		33,533,000		29,292,752
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.13%	07/01/49		14,837,000		11,737,847
5.25%	04/01/53		33,378,000		27,086,497
CommScope, Inc.
4.75%	09/01/291		56,180,000		47,233,335
Cox Communications, Inc.
2.60%	06/15/311		9,790,000		8,093,560
CSC Holdings LLC
4.50%	11/15/311		10,835,000		7,802,611
4.63%	12/01/301		4,879,000		2,427,302
5.38%	02/01/281		22,749,000		18,658,873
5.75%	01/15/301		8,315,000		4,386,163
6.50%	02/01/291		77,712,000		64,611,117
7.50%	04/01/281		5,318,000		3,395,011
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/261,8,9		117,716,000		6,621,525
Frontier Communications Holdings LLC
5.00%	05/01/281		12,696,000		11,033,757
6.75%	05/01/291		2,406,000		1,909,089
8.63%	03/15/311		46,794,000		45,857,618
8.75%	05/15/301		5,000,000		4,985,425
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%	10/07/303		63,777,000		56,964,299
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/301,3		123,530,000		113,736,721

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 176

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
CORPORATES (continued)
Communications (continued)
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
5.50%	08/01/23†,3,5,6,8,9	$	54,920,000	$	—
8.50%	10/15/24†,1,3,5,6,8,9		149,759,000		—
9.75%	07/15/25†,1,3,5,6,8,9		45,708,000		—
Level 3 Financing, Inc.
3.63%	01/15/291		7,205,000		3,985,227
3.75%	07/15/291		26,801,000		14,324,330
4.25%	07/01/281		20,145,000		11,388,972
10.50%	05/15/301		12,664,300		12,110,237
Meta Platforms, Inc.
4.45%	08/15/52		51,470,000		45,373,423
Netflix, Inc.
4.63%	05/15/29		61,440,000		68,236,158
Netflix, Inc.,
Series REGS
3.63%	06/15/30		3,000,000		3,147,865
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%	04/30/271		1,820,000		1,556,100
Qwest Corp.
7.25%	09/15/25		4,044,000		3,760,920
SES GLOBAL Americas Holdings, Inc.
5.30%	03/25/441		55,170,000		43,452,876
SES SA
(Luxembourg)
3.60%	04/04/231,3		16,882,000		16,882,000
Sirius XM Radio, Inc.
3.88%	09/01/311		2,215,000		1,724,344
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%	03/20/251		93,533,000		92,858,186
5.15%	03/20/281		310,120,000		308,295,976
Tencent Holdings Ltd.
(Cayman Islands)
2.88%	04/22/311,3		5,535,000		4,805,029
3.68%	04/22/411,3		22,760,000		17,422,082
3.84%	04/22/511,3		64,516,000		47,621,803
3.98%	04/11/291,3		9,225,000		8,737,920
Time Warner Cable LLC
4.50%	09/15/42		18,977,000		14,591,546
5.50%	09/01/41		32,811,000		28,382,134
T-Mobile USA, Inc.
2.25%	02/15/26		11,701,000		10,920,938
2.55%	02/15/31		11,038,000		9,360,414
2.63%	04/15/26		61,941,000		58,032,839
2.63%	02/15/29		5,073,000		4,483,403
3.50%	04/15/31		10,613,000		9,547,253
3.75%	04/15/27		10,637,000		10,231,551
3.88%	04/15/30		294,115,000		276,203,958
Vodafone Group PLC
(United Kingdom)
4.25%	09/17/503		5,000,000		4,091,426
4.88%	06/19/493		116,422,500		105,276,625

Issues	Maturity   Date	Principal   Amount		Value
CORPORATES (continued)
Communications (continued)
VZ Secured Financing BV
(Netherlands)
5.00%	01/15/321,3	$	18,626,000	$	15,215,114
VZ Secured Financing BV,
Series REGS
(Netherlands)
3.50%	01/15/323		24,625,000		21,416,926
Zayo Group Holdings, Inc.
4.00%	03/01/271		3,817,000		2,904,355
Ziggo BV
(Netherlands)
4.88%	01/15/301,3		8,693,000		7,432,515
					2,213,459,353
Consumer Discretionary — 1.40%
Altria Group, Inc.
3.70%	02/04/51		995,000		671,231
Bacardi Ltd.
(Bermuda)
4.45%	05/15/251,3		24,780,000		24,414,455
5.15%	05/15/381,3		12,881,000		12,527,390
5.30%	05/15/481,3		18,831,000		17,614,029
BAT Capital Corp.
2.73%	03/25/31		6,395,000		5,191,549
3.56%	08/15/27		3,000		2,793
3.73%	09/25/40		3,182,000		2,277,797
4.39%	08/15/37		73,160,000		59,757,765
4.54%	08/15/47		138,420,000		103,264,924
4.76%	09/06/49		30,502,000		23,441,093
5.28%	04/02/50		5,356,000		4,408,243
BAT International Finance PLC
(EMTN)
(United Kingdom)
2.25%	09/09/523		100,765,000		50,491,932
4.00%	11/23/553		8,700,000		6,218,121
Imperial Brands Finance Netherlands BV
(EMTN)
(Netherlands)
1.75%	03/18/333		25,150,000		19,791,334
5.25%	02/15/313		15,000,000		16,090,330
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/241,3		15,312,000		14,832,389
3.50%	07/26/261,3		53,505,000		50,243,751
3.88%	07/26/291,3		4,545,000		4,082,612
4.25%	07/21/251,3		15,566,000		15,111,328
6.13%	07/27/271,3		1,580,000		1,621,983
Imperial Brands Finance PLC
(EMTN)
(United Kingdom)
8.13%	03/15/243		1,758,000		2,219,966
Reynolds American, Inc.
5.70%	08/15/35		34,320,000		32,554,941
5.85%	08/15/45		68,022,000		61,366,218
Spectrum Brands, Inc.
5.50%	07/15/301		770,000		683,375

See accompanying Notes to Financial Statements.

177 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Triton Water Holdings, Inc.
6.25%		04/01/291	$	41,088,000	$	32,704,404
WarnerMedia Holdings, Inc.
3.43%		03/15/241		3,000,000		2,933,218
5.05%		03/15/421		16,935,000		14,180,077
5.14%		03/15/521		339,615,000		275,923,630
5.39%		03/15/621		52,245,000		42,291,559
						896,912,437
Consumer Products — 0.02%
Newell Brands, Inc.
6.00%		04/01/46		3,935,000		3,220,916
6.38%		09/15/27		6,500,000		6,567,659
Spectrum Brands, Inc.
5.00%		10/01/291		4,639,000		4,070,722
						13,859,297
Diversified REITs — 0.96%
American Tower Corp.
0.88%		05/21/29		8,755,000		7,662,781
0.95%		10/05/30		5,571,000		4,654,774
1.00%		01/15/32		15,023,000		12,076,993
1.88%		10/15/30		13,336,000		10,606,197
2.30%		09/15/31		11,598,000		9,306,295
2.70%		04/15/31		39,498,000		33,151,981
5.65%		03/15/33		50,302,000		51,806,370
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%		06/23/283		15,838,000		13,677,320
Crown Castle, Inc.
2.50%		07/15/31		3,287,000		2,760,832
Digital Dutch Finco BV
(Netherlands)
1.00%		01/15/323		5,000,000		3,829,148
1.25%		02/01/313		26,308,000		21,340,881
1.50%		03/15/303		25,000,000		21,241,852
Digital Intrepid Holding BV
(Netherlands)
0.63%		07/15/313		22,260,000		16,677,589
1.38%		07/18/323		36,145,000		27,669,628
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32		3,244,000		2,648,272
4.00%		01/15/30		29,995,000		26,672,454
4.00%		01/15/31		7,310,000		6,387,490
5.25%		06/01/25		6,644,000		6,509,791
5.30%		01/15/29		34,755,000		33,114,564
5.38%		04/15/26		78,873,000		76,617,585
5.75%		06/01/28		24,498,000		23,927,577
VICI Properties LP
5.13%		05/15/32		68,493,000		64,929,220
5.63%		05/15/52		39,592,000		35,696,959
VICI Properties LP/VICI Note Co., Inc.
3.75%		02/15/271		5,422,000		5,009,982
3.88%		02/15/291		45,791,000		40,760,630
4.13%		08/15/301		10,930,000		9,604,737

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Diversified REITs (continued)
4.50%		09/01/261	$	8,763,000	$	8,385,639
4.50%		01/15/281		21,816,000		20,231,020
4.63%		06/15/251		16,415,000		15,879,468
5.75%		02/01/271		3,328,000		3,279,788
						616,117,817
Electric — 1.22%
AEP Transmission Co. LLC,
Series M
3.65%		04/01/50		1,460,000		1,160,655
Alliant Energy Finance LLC
3.75%		06/15/231		31,081,000		30,978,652
Alliant Energy Finance, LLC
3.60%		03/01/321		4,515,000		4,023,956
American Electric Power Co., Inc.
2.03%		03/15/24		4,935,000		4,787,060
5.63%		03/01/33		4,610,000		4,781,965
5.75%		11/01/27		17,065,000		17,759,563
American Electric Power Co., Inc.,
Series J
4.30%		12/01/28		3,480,000		3,396,342
American Transmission Systems, Inc.
2.65%		01/15/321		3,115,000		2,623,454
Appalachian Power Co.
4.45%		06/01/45		100,000		85,773
Appalachian Power Co.,
Series Z
3.70%		05/01/50		9,450,000		7,282,922
Arizona Public Service Co.
6.35%		12/15/32		14,689,000		16,019,585
Black Hills Corp.
4.35%		05/01/33		1,285,000		1,184,287
Consolidated Edison Co. of New York, Inc.
3.70%		11/15/59		1,740,000		1,307,408
Consolidated Edison Co. of New York, Inc.,
Series C
3.00%		12/01/60		1,854,000		1,223,582
Duke Energy Carolinas LLC
4.00%		09/30/42		11,040,000		9,478,124
4.25%		12/15/41		14,683,000		13,053,269
5.35%		01/15/53		18,611,000		19,450,723
Duke Energy Corp.
3.75%		09/01/46		9,965,000		7,743,047
3.85%		06/15/34		96,657,000		98,600,232
Duke Energy Progress LLC
5.35%		03/15/53		5,000,000		5,172,665
Empresas Publicas de Medellin ESP,
Series REGS
(Colombia)
4.38%		02/15/313		1,000,000		723,895
Exelon Corp.
5.30%		03/15/33		5,000,000		5,091,687
FirstEnergy Corp.
2.65%		03/01/30		5,831,000		4,965,825

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 178

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Electric (continued)
FirstEnergy Corp.,
Series B
2.25%	09/01/30	$	3,775,000	$	3,126,983
FirstEnergy Corp.,
Series C
3.40%	03/01/50		27,555,000		18,933,925
FirstEnergy Transmission LLC
2.87%	09/15/281		50,514,000		45,633,819
4.35%	01/15/251		23,330,000		22,982,433
4.55%	04/01/491		13,175,000		11,156,021
5.45%	07/15/441		24,625,000		23,575,003
Indiana Michigan Power Co.
5.63%	04/01/53		4,595,000		4,793,654
Jersey Central Power & Light Co.
2.75%	03/01/321		820,000		693,435
4.30%	01/15/261		8,645,000		8,491,698
4.70%	04/01/241		49,765,000		49,454,697
6.40%	05/15/36		11,630,000		11,705,048
Metropolitan Edison Co.
4.00%	04/15/251		35,719,000		34,110,645
4.30%	01/15/291		18,381,000		17,666,763
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%	05/07/293		1,825,000		1,553,308
New England Power Co.
5.94%	11/25/521		20,670,000		22,945,591
NextEra Energy Capital Holdings, Inc.
4.63%	07/15/27		29,195,000		29,133,027
Niagara Mohawk Power Corp.
3.03%	06/27/501		3,543,000		2,443,370
5.78%	09/16/521		3,250,000		3,383,322
Oklahoma Gas and Electric Co.
5.40%	01/15/33		3,200,000		3,317,478
Pennsylvania Electric Co.
3.25%	03/15/281		125,000		116,180
4.15%	04/15/251		28,335,000		27,450,007
5.15%	03/30/261		3,000,000		3,015,050
Public Service Co. of New Mexico
3.85%	08/01/25		14,390,000		13,980,585
Southwestern Electric Power Co.
3.25%	11/01/51		6,519,000		4,542,619
5.30%	04/01/33		25,000,000		25,208,181
Southwestern Electric Power Co.,
Series K
2.75%	10/01/26		26,488,000		24,614,443
Southwestern Electric Power Co.,
Series L
3.85%	02/01/48		19,395,000		15,129,259
TenneT Holding BV
(EMTN)
(Netherlands)
2.75%	05/17/423		24,850,000		23,824,317
4.50%	10/28/343		5,000,000		5,840,556
4.75%	10/28/423		44,446,000		52,384,549

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Electric (continued)
Tucson Electric Power Co.
4.85%		12/01/48	$	8,755,000	$	8,033,583
						780,134,220
Energy — 1.36%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%		04/01/281		6,901,000		6,659,465
Boston Gas Co.
3.76%		03/16/321		6,440,000		5,826,491
Ecopetrol SA
(Colombia)
8.88%		01/13/333		5,000,000		5,050,000
Enbridge, Inc.
(Canada)
5.70%		03/08/333		19,790,000		20,594,152
Energy Transfer LP
4.90%		03/15/35		5,160,000		4,833,407
5.00%		05/15/50		38,970,000		33,197,374
5.15%		03/15/45		48,691,000		42,251,773
5.35%		05/15/45		4,421,000		3,924,988
5.40%		10/01/47		127,860,000		114,038,508
6.13%		12/15/45		16,239,000		15,706,470
Energy Transfer Operating LP
5.25%		04/15/29		1,700,000		1,697,281
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/341,3		17,558,370		15,142,668
Hess Corp.
5.60%		02/15/41		20,424,000		19,709,602
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%		04/14/331,3		1,800,000		1,354,214
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%		04/14/333		15,883,000		11,949,432
4.75%		04/19/273		3,195,000		2,949,305
KazMunayGas National Co. JSC,
Series REGS (EMTN)
(Kazakhstan)
5.38%		04/24/303		6,856,000		6,131,644
KazTransGas JSC,
Series REGS
(Kazakhstan)
4.38%		09/26/273		6,350,000		5,708,745
KeySpan Gas East Corp.
5.99%		03/06/331		5,530,000		5,715,149
Kinder Morgan Energy Partners LP
4.70%		11/01/42		2,171,000		1,863,665
5.00%		08/15/42		5,775,000		5,152,209
5.40%		09/01/44		5,000,000		4,636,995
Kinder Morgan, Inc.
5.55%		06/01/45		2,306,000		2,186,308
Kinder Morgan, Inc.
(GMTN)
7.80%		08/01/31		150,000		172,390

See accompanying Notes to Financial Statements.

179 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
Occidental Petroleum Corp.
0.00%		10/10/3610	$	6,011,000	$	3,110,692
4.50%		07/15/44		2,139,000		1,722,748
Pertamina Persero PT
(Indonesia)
3.10%		08/27/301,3		44,071,000		38,903,618
Petroleos Mexicanos
(Mexico)
6.35%		02/12/483		7,570,000		4,723,882
6.75%		09/21/473		132,414,000		86,176,474
6.95%		01/28/603		50,590,000		32,731,730
7.69%		01/23/503		32,409,000		22,894,961
Piedmont Natural Gas Co., Inc.
2.50%		03/15/31		7,272,000		6,075,623
Plains All American Pipeline LP/PAA Finance Corp.
3.55%		12/15/29		31,332,000		28,077,617
3.80%		09/15/30		8,920,000		7,957,543
QatarEnergy,
Series REGS
(Qatar)
2.25%		07/12/313		21,710,000		18,474,233
Rockies Express Pipeline LLC
4.80%		05/15/301		5,125,000		4,510,000
4.95%		07/15/291		84,805,000		76,073,811
6.88%		04/15/401		44,867,000		37,463,945
Sabine Pass Liquefaction LLC
4.50%		05/15/30		21,162,000		20,423,092
5.90%		09/15/371		11,363,000		11,598,376
Southern Co. Gas Capital Corp.
4.40%		05/30/47		50,000		42,807
5.15%		09/15/32		18,420,000		18,619,587
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%		03/24/263		16,442,000		16,787,282
TC PipeLines LP
4.38%		03/13/25		2,198,000		2,165,467
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26		35,025,000		30,332,350
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/271,3		13,291,688		13,041,804
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		09/01/27		4,612,000		4,411,632
Venture Global Calcasieu Pass LLC
3.88%		11/01/331		15,032,000		12,648,389
4.13%		08/15/311		9,000,000		7,914,063
6.25%		01/15/301		25,837,000		26,127,666
Williams Cos., Inc. (The)
5.40%		03/04/44		5,000,000		4,691,097
						874,152,724

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance — 5.43%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/263	$	21,203,000	$	19,038,162
3.00%	10/29/283		56,990,000		49,741,748
3.30%	01/30/323		141,856,000		117,231,250
3.88%	01/23/283		5,015,000		4,648,504
Air Lease Corp.
2.20%	01/15/27		43,695,000		38,856,139
3.00%	09/15/23		28,655,000		28,244,808
3.25%	03/01/25		19,930,000		19,127,118
3.25%	10/01/29		5,000,000		4,387,454
3.63%	04/01/27		4,570,000		4,235,607
4.25%	09/15/24		5,554,000		5,442,657
4.63%	10/01/28		2,000,000		1,904,180
Air Lease Corp.
(MTN)
2.30%	02/01/25		35,195,000		33,339,622
2.88%	01/15/26		10,055,000		9,382,204
3.00%	02/01/30		2,000,000		1,712,849
Alta Wind Holdings LLC
7.00%	06/30/351,5,6		3,062,778		2,954,705
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		171,755,000		145,490,566
2.88%	02/15/251,3		35,755,000		33,521,259
3.25%	02/15/271,3		17,880,000		15,954,972
3.95%	07/01/241,3		35,499,000		34,531,154
4.38%	05/01/261,3		7,405,000		6,956,669
Capital One Financial Corp.
1.34%	12/06/244		114,655,000		110,624,588
2.64%	03/03/264		2,265,000		2,100,459
Citigroup, Inc.
0.78%	10/30/244		672,000		653,314
0.98%	05/01/254		603,000		573,698
1.46%	06/09/274		151,458,000		134,655,534
2.52%	11/03/324		59,557,000		48,622,510
2.56%	05/01/324		33,384,000		27,719,162
2.57%	06/03/314		80,705,000		68,138,565
2.67%	01/29/314		31,479,000		26,946,230
2.98%	11/05/304		8,329,000		7,305,200
3.06%	01/25/334		195,620,000		166,424,834
3.52%	10/27/284		22,030,000		20,609,642
3.67%	07/24/284		19,020,000		18,048,285
3.79%	03/17/334		32,544,000		29,175,185
4.41%	03/31/314		34,787,000		33,050,364
Citigroup, Inc.,
Series VAR
3.07%	02/24/284		46,480,000		43,282,655
Gaci First Investment Co.
(Cayman Islands)
5.25%	10/13/323		6,400,000		6,664,000
Goldman Sachs Group, Inc. (The)
0.93%	10/21/244		77,465,000		75,392,991
1.22%	12/06/23		192,325,000		186,960,242
1.43%	03/09/274		190,495,000		170,402,073
1.54%	09/10/274		109,860,000		96,751,314

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 180

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
1.76%	01/24/254	$	7,000,000	$	6,786,669
1.95%	10/21/274		43,982,000		39,298,022
1.99%	01/27/324		1,047,000		836,081
2.38%	07/21/324		106,909,000		87,180,091
2.62%	04/22/324		23,920,000		19,940,063
2.65%	10/21/324		22,022,000		18,210,953
3.27%	09/29/254		84,987,000		82,319,789
3.50%	04/01/25		36,914,000		35,820,085
Jane Street Group/JSG Finance, Inc.
4.50%	11/15/291		6,295,000		5,651,510
JPMorgan Chase & Co.
0.56%	02/16/254		7,895,000		7,573,347
0.65%	09/16/244		9,861,000		9,642,091
0.82%	06/01/254		30,872,000		29,280,050
1.04%	02/04/274		14,461,000		12,911,637
1.56%	12/10/254		163,875,000		153,853,401
1.76%	11/19/314		16,624,000		13,204,958
1.95%	02/04/324		38,991,000		31,393,060
2.55%	11/08/324		42,989,000		35,728,781
2.74%	10/15/304		10,809,000		9,443,302
2.95%	02/24/284		45,925,000		42,677,685
2.96%	01/25/334		47,277,000		40,498,088
3.54%	05/01/284		3,944,000		3,732,866
Morgan Stanley
0.73%	04/05/244		21,175,000		21,164,469
0.79%	05/30/254		62,230,000		58,934,331
0.99%	12/10/264		24,551,000		21,899,425
1.59%	05/04/274		81,011,000		72,991,972
2.48%	01/21/284		955,000		873,373
2.48%	09/16/364		51,475,000		38,942,397
2.94%	01/21/334		10,096,000		8,560,924
2.95%	05/07/324		25,820,000		25,602,357
4.66%	03/02/294		29,000,000		32,138,783
5.30%	04/20/374		10,183,000		9,628,729
Morgan Stanley
(GMTN)
2.24%	07/21/324		115,232,000		92,979,366
2.70%	01/22/314		6,815,000		5,871,037
Morgan Stanley
(MTN)
1.16%	10/21/254		178,926,000		167,191,854
1.79%	02/13/324		29,771,000		23,390,537
1.93%	04/28/324		85,817,000		68,002,786
2.51%	10/20/324		11,880,000		9,740,568
Nationwide Building Society
(United Kingdom)
2.97%	02/16/281,3,4		107,650,000		97,963,226
4.30%	03/08/291,3,4		13,000,000		12,033,793
4.36%	08/01/241,3,4		104,478,000		103,620,957
ORIX Corp.
(Japan)
5.00%	09/13/273		9,800,000		9,804,903
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%	02/15/241,3		26,855,000		26,616,153

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
TIAA FSB Holdings, Inc.
5.75%	07/02/25	$	4,045,000	$	3,864,622
UBS Group AG
(Switzerland)
1.49%	08/10/271,3,4		4,000,000		3,451,453
4.70%	08/05/271,3,4		4,285,000		4,114,975
5.71%	01/12/271,3,4		11,574,000		11,475,656
Vonovia SE
(Georgia)
1.00%	06/16/333		1,900,000		1,296,810
1.50%	06/14/413		6,600,000		3,771,278
Vonovia SE
(EMTN)
(Georgia)
1.63%	09/01/513		12,900,000		6,419,876
					3,479,131,611
Food — 0.66%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%	12/01/311,3		22,699,000		18,820,748
4.38%	02/02/521,3		63,603,000		46,113,748
5.50%	01/15/301,3		26,622,000		25,437,853
5.75%	04/01/331,3		62,800,000		60,391,996
6.50%	12/01/521,3		34,350,000		32,968,807
Kraft Heinz Foods Co.
5.00%	07/15/35		14,791,000		14,743,077
5.00%	06/04/42		5,357,000		5,142,470
5.20%	07/15/45		44,342,000		43,034,301
6.50%	02/09/40		6,240,000		6,865,740
Pilgrim’s Pride Corp.
3.50%	03/01/32		76,497,000		61,782,335
4.25%	04/15/31		1,429,000		1,249,865
5.88%	09/30/271		34,697,000		34,507,887
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed
4.63%	03/01/291		38,167,000		31,030,864
Smithfield Foods, Inc.
2.63%	09/13/311		14,435,000		10,914,638
3.00%	10/15/301		8,890,000		7,081,408
4.25%	02/01/271		24,855,000		23,440,348
					423,526,085
Health Care — 3.07%
1375209 BC Ltd.
(Canada)
9.00%	01/30/281,3		4,545,000		4,510,912
Amgen, Inc.
4.88%	03/01/53		25,720,000		24,144,012
5.25%	03/02/33		5,341,000		5,489,089
5.60%	03/02/43		35,575,000		36,728,032
5.65%	03/02/53		59,960,000		62,450,054
5.75%	03/02/63		76,770,000		79,733,085
Bayer U.S. Finance II LLC
2.85%	04/15/251		2,805,000		2,657,226

See accompanying Notes to Financial Statements.

181 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
3.95%	04/15/451	$	17,489,000	$	13,317,607
4.25%	12/15/251		17,152,000		16,792,581
4.38%	12/15/281		119,521,000		115,614,766
4.40%	07/15/441		69,196,000		57,192,231
4.63%	06/25/381		46,534,000		42,641,407
4.88%	06/25/481		76,416,000		68,612,694
5.50%	08/15/251		13,932,000		13,840,406
5.50%	07/30/351		3,820,000		3,875,438
Becton Dickinson & Co.
3.36%	06/06/24		1,013,000		994,643
Cedars-Sinai Health System,
Series 2021
2.29%	08/15/31		12,870,000		10,876,094
Centene Corp.
2.45%	07/15/28		31,858,000		27,731,560
2.50%	03/01/31		13,855,000		11,210,081
3.00%	10/15/30		138,275,000		116,563,202
4.25%	12/15/27		74,814,000		72,155,110
Cigna Group (The)
5.40%	03/15/33		31,257,000		32,474,072
CommonSpirit Health
2.76%	10/01/24		6,598,000		6,395,108
2.78%	10/01/30		19,835,000		16,944,710
3.35%	10/01/29		52,523,000		47,332,994
4.35%	11/01/42		2,860,000		2,451,667
CVS Health Corp.
4.78%	03/25/38		23,581,000		22,496,145
4.88%	07/20/35		22,450,000		21,997,063
5.05%	03/25/48		111,799,000		104,732,430
5.13%	07/20/45		60,105,000		57,071,252
DENTSPLY SIRONA, Inc.
3.25%	06/01/30		16,506,000		14,599,834
Embecta Corp.
6.75%	02/15/301		21,244,000		19,364,670
Fresenius Finance Ireland PLC
(EMTN)
(Ireland)
0.88%	10/01/313		7,910,000		6,366,598
Fresenius Medical Care U.S. Finance III, Inc.
1.88%	12/01/261		67,592,000		58,752,933
Fresenius SE & Co. KGaA
(EMTN)
(Georgia)
2.88%	05/24/303		8,000,000		7,871,732
Grifols Escrow Issuer SA
(Spain)
4.75%	10/15/281,3		29,197,000		23,972,290
Grifols Escrow Issuer SA,
Series REGS
(Spain)
3.88%	10/15/283		20,825,000		17,692,648
HCA, Inc.
2.38%	07/15/31		563,000		454,956
3.13%	03/15/271		4,356,000		4,052,413
3.50%	09/01/30		52,030,000		46,377,550
3.63%	03/15/321		89,143,000		78,470,574

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
4.13%	06/15/29	$	10,936,000	$	10,277,869
4.38%	03/15/421		15,000,000		12,596,356
4.63%	03/15/521		13,589,000		11,302,543
5.25%	06/15/26		30,209,000		30,258,988
5.25%	06/15/49		183,662,000		165,907,595
5.50%	06/15/47		41,777,000		39,633,422
5.63%	09/01/28		24,411,000		24,640,463
5.88%	02/15/26		8,915,000		9,055,857
5.88%	02/01/29		29,822,000		30,475,996
Illumina, Inc.
5.75%	12/13/27		4,480,000		4,592,968
Medline Borrower LP
3.88%	04/01/291		2,627,000		2,292,058
Medtronic Global Holdings SCA
(Luxembourg)
1.50%	07/02/393		7,850,000		6,089,085
ModivCare Escrow Issuer, Inc.
5.00%	10/01/291		1,700,000		1,459,944
ModivCare, Inc.
5.88%	11/15/251		13,721,000		13,172,640
Molina Healthcare, Inc.
3.88%	11/15/301		58,448,000		51,122,566
3.88%	05/15/321		27,560,000		23,442,168
4.38%	06/15/281		28,558,000		26,584,785
NYU Langone Hospitals,
Series 2020
3.38%	07/01/55		4,300,000		3,150,617
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%	04/30/311		13,245,000		11,785,765
PerkinElmer, Inc.
0.55%	09/15/23		35,000,000		34,296,688
0.85%	09/15/24		12,935,000		12,130,607
Premier Health Partners,
Series G
2.91%	11/15/26		2,229,000		2,038,062
Royalty Pharma PLC
(United Kingdom)
0.75%	09/02/233		11,885,000		11,651,762
1.75%	09/02/273		11,295,000		9,894,281
Teleflex, Inc.
4.25%	06/01/281		75,000		71,411
Tenet Healthcare Corp.
4.63%	06/15/28		1,465,000		1,369,775
4.88%	01/01/26		972,000		953,888
Teva Pharmaceutical Finance Netherlands II BV
(Netherlands)
7.88%	09/15/313		3,840,000		4,319,871
Universal Health Services, Inc.
1.65%	09/01/26		45,000,000		39,510,308
					1,971,080,207
Health Care REITs — 0.17%
Healthcare Reality Holdings LP
2.00%	03/15/31		22,883,000		17,882,603
3.10%	02/15/30		35,467,000		30,744,471

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 182

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Health Care REITs (continued)
Healthcare Realty Holdings LP
2.05%		03/15/31	$	6,640,000	$	5,050,191
2.40%		03/15/30		23,244,000		18,612,935
3.63%		01/15/28		18,119,000		16,484,482
3.88%		05/01/25		9,381,000		9,061,297
Physicians Realty LP
2.63%		11/01/31		4,632,000		3,653,974
3.95%		01/15/28		1,245,000		1,169,676
4.30%		03/15/27		8,717,000		8,426,545
						111,086,174
Hotel & Resort REITs — 0.00%
Host Hotels & Resorts LP,
Series H
3.38%		12/15/29		1,342,000		1,142,348
Industrial REITs — 0.17%
Prologis Euro Finance LLC
0.50%		02/16/32		14,021,000		10,696,413
0.63%		09/10/31		11,898,000		9,331,545
1.00%		02/06/35		8,648,000		6,196,826
1.00%		02/16/41		8,348,000		4,938,720
1.50%		02/08/34		5,000,000		3,914,255
Prologis Euro Finance LLC
(EMTN)
1.00%		02/08/29		2,720,000		2,411,772
Prologis Euro Finance LLC,
(EMTN)
4.25%		01/31/43		30,458,000		29,838,124
SELP Finance SARL
(Luxembourg)
0.88%		05/27/293		46,714,000		38,727,884
						106,055,539
Industrials — 0.89%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%		08/15/271,3		61,214,000		48,322,118
Artera Services LLC
9.03%		12/04/251		50,815,000		43,995,316
Berry Global, Inc.
1.50%		01/15/271		8,110,000		7,876,916
1.57%		01/15/26		46,115,000		41,922,990
1.65%		01/15/27		14,576,000		12,774,822
4.88%		07/15/261		82,131,000		80,136,038
Boeing Co. (The)
1.43%		02/04/24		151,800,000		146,751,680
4.88%		05/01/25		19,940,000		19,909,541
Cellnex Finance Co. SA
(EMTN)
(Spain)
2.00%		09/15/323		41,000,000		34,628,214
2.00%		02/15/333		7,100,000		5,938,885
Energizer Holdings, Inc.
4.38%		03/31/291		3,353,000		2,954,831

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Industrials (continued)
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
5.19%	05/05/262	$	1,785,000	$	1,763,239
(LIBOR USD 3-Month plus 0.48%)
5.34%	08/15/362		11,550,000		9,753,971
Heathrow Funding Ltd.
(EMTN)
(United Kingdom)
1.88%	03/14/343		65,024,000		55,689,473
L3Harris Technologies, Inc.
3.95%	05/28/24		12,890,000		12,697,697
OT Merger Corp.
7.88%	10/15/291		33,842,000		20,383,983
TransDigm, Inc.
6.75%	08/15/281		11,680,000		11,804,181
Trivium Packaging Finance BV
(Netherlands)
8.50%	08/15/271,3		11,980,000		10,897,224
					568,201,119
Information Technology — 0.81%
Broadcom, Inc.
2.60%	02/15/331		46,272,000		36,324,405
3.14%	11/15/351		19,662,000		15,189,319
3.42%	04/15/331		51,741,000		43,334,542
3.50%	02/15/411		3,445,000		2,600,423
Fidelity National Information Services, Inc.
4.50%	08/15/46		4,055,000		3,355,012
5.63%	07/15/52		1,700,000		1,635,342
Fiserv, Inc.
3.20%	07/01/26		5,905,000		5,608,358
5.60%	03/02/33		5,000,000		5,193,844
NCR Corp.
5.00%	10/01/281		19,027,000		16,767,544
5.13%	04/15/291		22,258,000		19,342,746
5.25%	10/01/301		19,987,000		16,334,969
Open Text Corp.
(Canada)
6.90%	12/01/271,3		4,194,000		4,325,063
Oracle Corp.
2.88%	03/25/31		86,459,000		74,016,973
3.60%	04/01/40		35,483,000		27,571,829
3.60%	04/01/50		37,887,000		26,911,810
3.65%	03/25/41		88,945,000		68,990,705
3.85%	07/15/36		35,336,000		30,240,392
3.95%	03/25/51		23,892,000		17,978,059
4.00%	11/15/47		20,255,000		15,478,073
4.13%	05/15/45		26,924,000		21,237,560
5.55%	02/06/53		2,492,000		2,373,598
6.25%	11/09/32		29,846,000		32,083,722
6.90%	11/09/52		26,240,000		29,467,809
					516,362,097

See accompanying Notes to Financial Statements.

183 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Insurance — 1.18%
Acrisure LLC/Acrisure Finance, Inc.
4.25%	02/15/291	$	1,953,000	$	1,668,610
6.00%	08/01/291		2,000,000		1,665,000
7.00%	11/15/251		2,012,000		1,889,610
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer
6.75%	10/15/271		10,790,000		10,048,187
Aon Corp.
2.80%	05/15/30		5,650,000		4,997,321
Aon Corp./Aon Global Holdings PLC
2.60%	12/02/31		1,745,000		1,467,256
3.90%	02/28/52		56,250,000		45,527,458
AssuredPartners, Inc.
5.63%	01/15/291		3,724,000		3,222,508
Athene Global Funding
1.61%	06/29/261		61,330,000		53,341,513
1.99%	08/19/281		11,040,000		8,962,615
3.21%	03/08/271		26,060,000		23,980,441
(SOFR Index plus 0.70%)
5.46%	05/24/241,2		146,955,000		145,627,937
Farmers Exchange Capital
7.05%	07/15/281		13,283,000		13,866,870
7.20%	07/15/481		18,415,000		19,766,282
Farmers Exchange Capital II
6.15%	11/01/531,4		59,331,000		58,956,464
Farmers Exchange Capital III
5.45%	10/15/541,4		80,605,000		73,708,945
Farmers Insurance Exchange
4.75%	11/01/571,4		23,060,000		18,093,082
Metropolitan Life Global Funding I
3.30%	03/21/291		16,005,000		14,873,762
4.30%	08/25/291		6,940,000		6,753,418
5.15%	03/28/331		20,875,000		21,105,477
Nationwide Mutual Insurance Co.
7.16%	12/15/241,4		42,571,000		42,407,733
New York Life Insurance Co.
3.75%	05/15/501		572,000		462,984
Protective Life Global Funding
1.90%	07/06/281		56,210,000		48,411,841
Teachers Insurance & Annuity Association of America
3.30%	05/15/501		102,665,000		74,231,576
4.27%	05/15/471		13,496,000		11,454,651
4.38%	09/15/541,4		35,635,000		34,734,094
Willis North America, Inc.
2.95%	09/15/29		11,025,000		9,725,636
4.50%	09/15/28		5,079,000		4,929,292
					755,880,563
Materials — 0.23%
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
5.13%	02/02/333		5,000,000		5,054,667

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Materials (continued)
Indonesia Asahan Aluminium Persero PT,
Series REGS
(Indonesia)
5.45%	05/15/303	$	3,000,000	$	2,964,600
International Flavors & Fragrances, Inc.
2.30%	11/01/301		48,955,000		39,322,214
3.27%	11/15/401		1,746,000		1,245,022
3.47%	12/01/501		2,722,000		1,854,000
5.00%	09/26/48		100,134,000		85,591,672
SK Invictus Intermediate II SARL
(Luxembourg)
5.00%	10/30/291,3		9,122,000		7,583,301
Valvoline, Inc.
3.63%	06/15/311		4,000,000		3,401,160
					147,016,636
Office REITs — 0.13%
Hudson Pacific Properties LP
3.25%	01/15/30		26,562,000		17,061,043
3.95%	11/01/27		13,630,000		9,367,448
4.65%	04/01/29		9,585,000		6,736,135
5.95%	02/15/28		32,935,000		25,485,474
Kilroy Realty LP
2.50%	11/15/32		3,705,000		2,354,013
2.65%	11/15/33		35,363,000		22,003,798
					83,007,911
Residential REITs — 0.06%
American Homes 4 Rent LP
2.38%	07/15/31		1,394,000		1,112,571
3.63%	04/15/32		1,293,000		1,121,825
4.30%	04/15/52		6,960,000		5,478,769
Invitation Homes Operating Partnership LP
2.00%	08/15/31		30,593,000		23,520,567
2.30%	11/15/28		3,438,000		2,887,621
2.70%	01/15/34		1,923,000		1,479,245
					35,600,598
Retail — 0.15%
Alimentation Couche-Tard, Inc.
(Canada)
3.80%	01/25/501,3		18,032,000		13,459,569
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%	01/15/301		14,385,000		11,839,301
FirstCash, Inc.
5.63%	01/01/301		13,320,000		12,305,501
Michaels Cos., Inc. (The)
7.88%	05/01/291		83,531,000		58,550,637
					96,155,008
Retail REITs — 0.03%
Federal Realty Investment Trust
7.48%	08/15/26		18,825,000		19,885,398

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 184

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Services — 0.21%
Global Payments, Inc.
5.40%	08/15/32	$	39,855,000	$	39,061,732
5.95%	08/15/52		43,315,000		41,435,018
Upbound Group, Inc.
6.38%	02/15/291		5,128,000		4,320,340
WASH Multifamily Acquisition, Inc.
5.75%	04/15/261		1,057,000		1,001,121
Waste Pro USA, Inc.
5.50%	02/15/261		49,598,000		45,664,259
					131,482,470
Specialized REITs — 0.30%
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%	10/06/323		45,583,000		41,367,200
2.92%	10/06/513		3,500,000		2,404,996
3.94%	07/12/473		6,700,000		5,831,358
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.00%	05/04/283		17,291,000		14,046,786
1.63%	04/20/303		13,650,000		10,349,838
1.75%	03/12/293		23,355,000		18,809,384
CubeSmart LP
2.50%	02/15/32		23,755,000		19,152,175
Extra Space Storage LP
2.35%	03/15/32		50,579,000		39,808,030
2.55%	06/01/31		9,740,000		7,917,420
3.90%	04/01/29		1,430,000		1,319,989
Life Storage LP
2.20%	10/15/30		1,090,000		896,706
2.40%	10/15/31		9,825,000		7,958,210
3.88%	12/15/27		10,980,000		10,398,386
Public Storage
0.50%	09/09/30		18,680,000		14,961,117
					195,221,595
Transportation — 0.26%
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%	10/15/29		15,087,393		13,522,076
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		76,670,541		67,576,879
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%	11/15/32		9,256,192		8,527,632
Transnet SOC Ltd.
(South Africa)
8.25%	02/06/281,3		5,700,000		5,693,160
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23		8,774,086		8,776,064

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23	$	1,875,483	$	1,904,639
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		24,704,478		24,532,051
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%	06/03/25		6,440		6,071
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%	08/15/25		10,892,916		10,465,296
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%	03/01/30		27,392,760		24,468,498
					165,472,366
Total Corporates
(Cost $20,959,460,589)					19,283,172,617
FOREIGN GOVERNMENT OBLIGATIONS — 0.66%
Foreign Government Obligations — 0.66%
Brazilian Government International Bond
(Brazil)
3.88%	06/12/303		22,393,000		20,067,823
4.63%	01/13/283		11,020,000		10,798,365
Chile Government International Bond
(Chile)
2.45%	01/31/313		25,469,000		22,013,785
2.55%	01/27/323		15,429,000		13,209,426
2.55%	07/27/333		6,810,000		5,615,774
Colombia Government International Bond
(Colombia)
3.00%	01/30/303		13,071,000		10,283,609
3.13%	04/15/313		8,270,000		6,329,065
4.50%	01/28/263		7,459,000		7,178,542
8.00%	04/20/333		1,670,000		1,713,395
Dominican Republic International Bond
(Dominican Republic)
4.50%	01/30/301,3		25,047,000		21,901,097
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%	09/23/323		10,915,000		9,322,501
Egypt Government International Bond
(Egypt)
7.60%	03/01/291,3		3,550,000		2,486,069
Egypt Government International Bond,
Series REGS
(Egypt)
5.25%	10/06/253		4,765,000		3,792,463
Finance Department Government of Sharjah
(United Arab Emirates)
6.50%	11/23/321,3		6,705,000		6,847,039

See accompanying Notes to Financial Statements.

185 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal     Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Hungary Government International Bond
(Hungary)
2.13%	09/22/311,3	$	17,300,000	$	13,374,630
Hungary Government International Bond,
Series REGS
(Hungary)
5.25%	06/16/293		5,900,000		5,781,410
Indonesia Government International Bond
(Indonesia)
2.85%	02/14/303		11,861,000		10,740,076
Mexico Government International Bond
(Mexico)
2.66%	05/24/313		36,789,000		30,794,268
3.50%	02/12/343		14,767,000		12,588,867
3.75%	01/11/283		6,200,000		5,966,880
4.75%	04/27/323		2,350,000		2,259,842
4.88%	05/19/333		8,400,000		8,052,525
Oman Government International Bond,
Series REGS
(Oman)
5.63%	01/17/283		10,500,000		10,515,960
6.75%	10/28/273		7,800,000		8,170,500
Panama Government International Bond
(Panama)
2.25%	09/29/323		20,627,000		15,866,288
3.16%	01/23/303		28,854,000		25,417,489
6.40%	02/14/353		2,690,000		2,810,870
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%	06/23/301,3		17,340,000		15,490,906
Peruvian Government International Bond
(Peru)
1.86%	12/01/323		1,000,000		757,635
2.78%	01/23/313		5,270,000		4,511,568
2.84%	06/20/303		27,321,000		23,941,657
Republic of Poland Government International Bond
(Poland)
5.75%	11/16/323		3,793,000		4,054,717
Republic of South Africa Government International Bond
(South Africa)
4.30%	10/12/283		15,307,000		13,796,199
4.85%	09/30/293		19,945,000		17,947,508
5.88%	04/20/323		10,600,000		9,673,560
Romanian Government International Bond,
Series REGS
(Romania)
3.00%	02/14/313		26,000,000		21,466,250
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%	10/22/303		16,040,000		14,807,198

Issues	Maturity     Date	Principal     Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Serbia International Bond
(Serbia)
6.50%	09/26/331,3	$	2,840,000	$	2,829,350
Total Foreign Government Obligations
(Cost $472,124,441)					423,175,106
MORTGAGE-BACKED — 51.32%**
Non-Agency Commercial Mortgage-Backed — 3.52%
1301 Properties Owner LP
2.08%	09/07/255,6		47,327,027		47,208,709
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%	08/10/381,4		122,930,000		110,449,709
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2018-TALL, Class C
(LIBOR USD 1-Month plus 1.12%)
5.96%	03/15/371,2		18,000,000		14,225,603
BFLD Trust,
Series 2020-OBRK, Class A
(CME Term SOFR 1-Month plus 2.16%)
6.99%	11/15/281,2		65,000,000		64,557,230
BGME Trust,
Series 2021-VR, Class A
2.99%	01/10/431,4		20,000,000		16,224,762
BGME Trust,
Series 2021-VR, Class B
2.99%	01/10/431,4		32,137,000		24,910,083
Blackstone Industrial Portfolio - Proj Foxtrot
2.23%	04/09/244,5,6		94,283,317		88,682,888
BMO Mortgage Trust,
Series 2022-C2, Class A5
4.81%	07/15/544		21,624,000		21,342,352
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(CME Term SOFR 1-Month plus 1.03%)
5.86%	10/15/361,2		164,612,610		162,793,763
BX Commercial Mortgage Trust,
Series 2020-VIV4, Class A
2.84%	03/09/441		180,165,000		147,049,779
BX Commercial Mortgage Trust,
Series 2022-CSMO, Class A
(CME Term SOFR 1-Month plus 2.11%)
6.94%	06/15/271,2		152,924,000		150,959,554
BX Commercial Mortgage Trust,
Series 2022-CSMO, Class B
(CME Term SOFR 1-Month plus 3.14%)
7.97%	06/15/271,2		90,170,000		88,477,284
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/411		42,270,000		36,208,017
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/391		80,255,000		70,415,853
CALI Mortgage Trust,
Series 2019-101C, Class XA (IO)
0.30%	03/10/391,4		272,551,000		4,534,404

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 186

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

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%)
6.91%	12/19/241,2	$	90,174,649	$	77,053,602
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%	11/13/391		27,645,000		22,354,034
Citigroup Commercial Mortgage Trust,
Series 2022-GC48, Class A5
4.58%	05/15/544		26,458,000		25,719,867
Commercial Mortgage Trust,
Series 2013-CR12, Class A4
4.05%	10/10/46		440,000		434,175
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
5.66%	05/15/361,2		31,322,075		30,994,577
CSMC 2022-MDR A
7.12%	08/15/254		85,000,000		83,994,012
DC Office Trust,
Series 2019-MTC, Class A
2.97%	09/15/451		31,135,000		25,577,219
Fontainebleau Miami Beach Trust,
Series 2019-FBLU, Class A
3.14%	12/10/361		35,000,000		33,272,817
GS Mortgage-Backed Securities Trust,
Series 2022-SROA, Class A
(-1.00 X CME Term SOFR 1-Month plus 2.70%)
7.22%	07/12/241,2		12,792,297		12,727,111
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/391		84,915,000		73,236,725
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/411,4		81,025,000		68,643,983
KNDL Mortgage Trust,
Series 2019-KNSQ, Class E
(LIBOR USD 1-Month plus 1.80%)
6.48%	05/15/361,2		26,449,000		25,783,117
LoanCore Issuer Ltd.,
Series 2021-CRE5, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.30%)
5.98%	07/15/361,2,3		44,185,000		43,710,058
MF1 Ltd.,
Series 2022-FL8, Class A
(Cayman Islands)
(SOFR30A plus 1.35%)
5.91%	02/19/371,2,3		25,000,000		24,415,190
NCMF Trust,
Series 2022-MFP, Class A
(CME Term SOFR 1-Month plus 1.74%)
6.57%	03/15/391,2		115,900,000		114,951,857
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/541		147,667,000		121,684,858

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%	03/10/274,5,6	$	100,000,000	$	96,040,000
Queens Center Mortgage Trust,
Series 2013-QCA, Class A
3.28%	01/11/371		9,170,000		8,543,925
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.83%	01/15/321,4		48,830,000		47,268,642
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A1
3.87%	01/05/431,4		56,465,000		40,559,560
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4		8,710,000		6,154,779
SHOW 2022-BIZ A
Series 2022-BIZ, Class A
7.38%	01/15/244		68,000,000		66,886,626
Taurus UK DAC,
Series 2021-UK4A, Class A
(Ireland)
(SONIA plus 0.95%)
5.03%	08/17/311,2,3		15,246,438		18,232,819
Westfield Galleria at Roseville
3.25%	03/29/255,6		141,900,000		141,168,435
					2,257,447,978
Non-Agency Mortgage-Backed — 9.31%
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 05/25/23)
7.40%	06/25/32		21,960		21,319
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
5.07%	02/25/372		5,010,975		4,962,777
ACE Securities Corp. Home Equity Loan Trust,
Series 2004-IN1, Class A1
(LIBOR USD 1-Month plus 0.64%)
5.49%	05/25/342		124,934		116,503
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.30%)
5.15%	06/25/362		2,400,542		1,691,847
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-OP2, Class A2D
(LIBOR USD 1-Month plus 0.44%)
5.29%	08/25/362		27,724,000		25,003,635
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP2, Class A1
(LIBOR USD 1-Month plus 0.38%)
5.23%	06/25/372		26,645,544		19,545,620
Adjustable Rate Mortgage Trust,
Series 2005-10, Class 6A1
(LIBOR USD 1-Month plus 0.54%)
5.39%	01/25/362		139,530		123,820

See accompanying Notes to Financial Statements.

187 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Adjustable Rate Mortgage Trust,
Series 2007-3, Class 2A1
5.83%	11/25/371,4	$	26,366,053	$	18,833,071
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 04/25/23)
2.86%	07/25/591		116,927		111,015
Alternative Loan Trust,
Series 2004-30CB, Class 1A6
5.50%	02/25/35		26,636,395		24,418,758
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		2,040		2,004
Alternative Loan Trust,
Series 2005-38, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.50%)
4.64%	09/25/352		283,147		242,899
Alternative Loan Trust,
Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
4.14%	02/25/362		31,420,587		26,679,833
Alternative Loan Trust,
Series 2005-84, Class 1A1
3.38%	02/25/364		26,198		23,577
Alternative Loan Trust,
Series 2006-HY13, Class 4A1
3.97%	02/25/374		752,386		624,917
Alternative Loan Trust,
Series 2007-J1, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
5.05%	03/25/372		550,523		154,968
American Home Mortgage Assets Trust,
Series 2006-3, Class 2A12
(Federal Reserve US 12-Month Cumulative Average plus 1.15%)
4.29%	10/25/462		32,294,391		22,827,074
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
3.84%	02/25/472		44,653,359		18,345,600
American Home Mortgage Assets Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.13%)
4.97%	03/25/472		25,557,216		22,352,162
American Home Mortgage Investment Trust,
Series 2004-3, Class 2A
(LIBOR USD 6-Month plus 1.50%)
3.95%	10/25/342		3,326,701		3,202,767
Ameriquest Mortgage Securities Trust,
Series 2006-R1, Class M1
(LIBOR USD 1-Month plus 0.59%)
5.43%	03/25/362		845,077		842,986

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 05/25/23)
7.40%	10/25/27	$	2,638	$	2,623
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W2, Class M1
(LIBOR USD 1-Month plus 0.74%)
5.58%	10/25/352		99,919		97,102
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W3, Class M1
(LIBOR USD 1-Month plus 0.66%)
5.51%	11/25/352		14,144,498		13,575,151
Asset-Backed Funding Certificates,
Series 2006-OPT3, Class A3B
(LIBOR USD 1-Month plus 0.32%)
5.17%	11/25/362		40,288,542		17,475,425
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2A
(LIBOR USD 1-Month plus 0.75%)
5.60%	06/25/372		21,181,689		16,310,695
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
5.85%	06/25/372		15,473,966		12,262,917
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE6, Class A5
(LIBOR USD 1-Month plus 0.46%)
5.31%	11/25/362		14,748,510		14,091,333
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		10,700		10,619
Banc of America Funding Trust,
Series 2006-D, Class 3A1
3.56%	05/20/364		2,521,740		2,200,192
Banc of America Funding Trust,
Series 2006-E, Class 2A1
3.56%	06/20/364		30,679		27,261
Banc of America Funding Trust,
Series 2006-H, Class 3A1
3.88%	09/20/464		636,383		517,396
Banc of America Funding Trust,
Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)
4.98%	10/26/361,2		3,163,466		3,161,145
Banc of America Mortgage Trust,
Series 2004-F, Class 1A1
3.68%	07/25/344		18,466		16,515
Banc of America Mortgage Trust,
Series 2005-C, Class 2A2
3.26%	04/25/354		110,737		101,680
Banc of America Mortgage Trust,
Series 2007-1, Class 1A24
6.00%	03/25/37		340,497		277,450

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 188

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Mortgage Trust,
Series 2007-3, Class 1A1
6.00%	09/25/37	$	148,373	$	129,639
BCAP LLC Trust,
Series 2007-AA2, Class 2A5
6.00%	04/25/37		215,083		111,323
BCAP LLC Trust,
Series 2007-AA5, Class A1
(LIBOR USD 1-Month plus 1.30%)
6.15%	09/25/472		12,638,995		10,816,601
Bear Stearns ALT-A Trust,
Series 2005-4, Class 22A2
3.77%	05/25/354		7,454		6,807
Bear Stearns ALT-A Trust,
Series 2006-4, Class 32A1
3.60%	07/25/364		1,341,890		688,807
Bear Stearns ARM Trust,
Series 2004-1, Class 13A2
4.03%	04/25/344		4,101		3,786
Bear Stearns ARM Trust,
Series 2004-10, Class 14A1
3.74%	01/25/354		1,678,234		1,512,118
Bear Stearns ARM Trust,
Series 2006-4, Class 2A1
3.86%	10/25/364		198,027		171,248
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
5.10%	08/25/202		1,177,900		627,153
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%	03/25/36		124,867		122,640
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-HE9, Class 3A
(LIBOR USD 1-Month plus 0.28%)
5.13%	11/25/362		3,436,018		3,327,045
Bear Stearns Asset-Backed Securities I Trust,
Series 2007-AC1, Class A3 (STEP-reset date 05/25/23)
6.55%	02/25/37		23,903,379		20,776,626
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A1 (STEP-reset date 05/25/23)
5.50%	01/25/34		430,990		366,728
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A2 (STEP-reset date 05/25/23)
5.75%	01/25/34		388,567		330,549
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.18%)
5.03%	10/25/362		992,508		838,297
Bear Stearns Mortgage Funding Trust,
Series 2006-AR5, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
5.01%	12/25/462		13,332,889		11,047,298

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%)
5.02%	06/25/472	$	2,130,076	$	1,695,816
Carrington Mortgage Loan Trust,
Series 2006-NC3, Class A4
(LIBOR USD 1-Month plus 0.24%)
5.09%	08/25/362		46,429,000		37,278,759
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.53%)
5.37%	02/25/362		54,876		53,006
Carrington Mortgage Loan Trust,
Series 2007-RFC1, Class A4
(LIBOR USD 1-Month plus 0.22%)
5.07%	10/25/362		22,415,000		18,387,336
Chase Funding Trust,
Series 2003-5, Class 2A2
(LIBOR USD 1-Month plus 0.60%)
5.45%	07/25/332		3,059		2,835
Chase Funding Trust,
Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)
5.35%	02/26/352		5,199		5,043
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2
3.80%	09/25/364		386,630		319,734
Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1
5.50%	11/25/21		1,314,437		415,612
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
4.14%	06/25/354		684,442		649,402
ChaseFlex Trust,
Series 2005-2, Class 4A2
5.50%	06/25/36		290,121		168,424
ChaseFlex Trust,
Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)
4.74%	09/25/362		4,637,804		3,751,039
CIM Trust,
Series 2019-R1, Class A
3.25%	10/25/581,4		153,737,769		134,490,846
CIM Trust,
Series 2019-R3, Class A
2.63%	06/25/581,4		97,423,407		89,268,069
CIM Trust,
Series 2019-R4, Class A1
3.00%	10/25/591,4		92,631,697		85,196,206
CIM Trust,
Series 2020-R1, Class A1
2.85%	10/27/591,4		138,451,225		116,706,173
CIM Trust,
Series 2020-R3, Class A1A
4.00%	01/26/601,4		113,468,487		106,915,296

See accompanying Notes to Financial Statements.

189 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2020-R6, Class A1A
2.25%	12/25/601,4	$	125,504,969	$	108,614,109
CIM Trust,
Series 2020-R7, Class A1A
2.25%	12/27/611,4		220,290,747		192,905,963
CIM Trust,
Series 2021-R1, Class A2
2.40%	08/25/561,4		82,830,813		72,016,464
CIM Trust,
Series 2021-R2, Class A2
2.50%	01/25/571,4		77,500,360		68,780,074
CIM Trust,
Series 2021-R3, Class A1A
1.95%	06/25/571,4		268,743,020		235,842,747
CIM Trust,
Series 2021-R4, Class A1A
2.00%	05/01/611,4		202,969,445		175,956,079
CIM Trust,
Series 2021-R5, Class A1
2.00%	08/25/611,4		42,147,580		34,063,674
CIM Trust,
Series 2021-R5, Class A1A
2.00%	08/25/611,4		170,289,101		140,301,190
CIM Trust,
Series 2022-I1, Class A1
4.35%	02/25/671,4		42,142,989		41,212,619
CIM Trust,
Series 2022-NR1, Class A1 (STEP-reset date 05/25/23)
5.00%	07/25/621		92,096,938		84,947,536
CIM Trust,
Series 2023-R1, Class A1A
5.40%	04/25/621,4		314,039,552		305,183,636
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
6.20%	10/25/371,2		7,420,235		7,393,067
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%	02/25/35		84,390		79,814
Citicorp Residential Mortgage Trust,
Series 2006-2, Class A5 (STEP-reset date 05/25/23)
4.91%	09/25/36		12,341		12,283
Citicorp Residential Mortgage Trust,
Series 2007-1, Class A5 (STEP-reset date 05/25/23)
4.93%	03/25/37		205,188		203,276
Citigroup Mortgage Loan Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
5.11%	11/25/352		101,880		82,008
Citigroup Mortgage Loan Trust,
Series 2006-AR2, Class 1A1
4.29%	03/25/364		6,841,224		4,770,465
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.53%	06/25/364		993,970		905,699

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.44%)
5.28%	08/25/362	$	40,379	$	40,163
Citigroup Mortgage Loan Trust,
Series 2006-WF2, Class A1 (STEP-reset date 05/25/23)
7.25%	05/25/36		30,660,101		16,209,177
Citigroup Mortgage Loan Trust,
Series 2007-6, Class 1A4A
3.15%	03/25/374		157,223		132,471
Citigroup Mortgage Loan Trust,
Series 2007-AR5, Class 1A1A
4.15%	04/25/374		52,199		44,036
Citigroup Mortgage Loan Trust,
Series 2014-5, Class 2A2
(LIBOR USD 1-Month plus 1.75%)
4.13%	02/20/361,2		6,087,254		4,964,301
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
3.15%	03/25/471,2		130,061		129,705
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A
4.22%	10/25/354		335,290		272,442
Countrywide Asset-Backed Certificates Trust,
Series 2005-13, Class AF4
5.81%	04/25/364		134,027		124,557
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A2
(LIBOR USD 1-Month plus 0.80%)
5.65%	10/25/472		6,882,586		6,204,139
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2001-HYB1, Class 1A1
3.25%	06/19/314		6,275		5,920
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2003-J8, Class 1A4
5.25%	09/25/23		31,049		30,120
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
3.91%	08/25/344		577,381		504,558
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-25, Class 1A1
(LIBOR USD 1-Month plus 0.66%)
5.51%	02/25/352		67,008		62,635
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-7, Class 2A1
6.34%	06/25/344		42,255		38,455
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB3, Class 1A
3.32%	06/20/344		8,913		8,345
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB4, Class 2A1
4.15%	09/20/344		534,362		495,723
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-11, Class 1A2
4.49%	04/25/354		469,690		406,592

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 190

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date			Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
5.45%		05/25/352		$	2,294,343	$	1,877,173
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HY5, Class 1A1
4.02%		09/25/474			481,783		347,895
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HYB1, Class 1A1
3.59%		03/25/374			926,097		694,929
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR20, Class 2A4
3.68%		08/25/334			5,591		5,248
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-6, Class 8A1
4.50%		07/25/20			2,724		2,410
Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates,
Series 2004-1, Class 2A1
6.50%		02/25/34			14,510		14,412
Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates,
Series 2004-AR5, Class 6A1
3.55%		06/25/344			51,286		48,850
Credit Suisse Mortgage Capital Certificates,
Series 2021-RP11, Class CERT
3.78%		10/27/611			9,821,652		7,491,001
Credit Suisse Mortgage Capital Certificates,
Series 2022-RPL1, Class CERT
4.23%		04/25/611			10,181,587		8,800,269
Credit Suisse Mortgage Capital Trust,
Series 2006-2, Class 5A1
(LIBOR USD 1-Month plus 0.70%)
5.55%		03/25/362			3,071,435		1,028,416
Credit Suisse Mortgage Capital Trust,
Series 2007-2, Class 3A4
5.50%		03/25/37			1,099,713		618,267
Credit Suisse Mortgage Capital Trust,
Series 2015-6R, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
4.01%		11/27/461,2			1,858,207		1,812,153
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.46%		02/25/601,4			16,779,863		16,898,726
Credit Suisse Mortgage Capital Trust,
Series 2021-NQM6, Class A1
1.17%		07/25/661,4			7,451,321		5,955,809
Credit Suisse Mortgage Capital Trust,
Series 2021-RP11, Class PT
3.78%		10/25/611,4			232,661,444		172,777,878
Credit Suisse Mortgage Capital Trust,
Series 2021-RP11, Class SA (IO)
0.00%		10/25/61	1,4,5,6		219,754		217,299
Credit Suisse Mortgage Capital Trust,
Series 2022-RPL1, Class PT
4.45%		04/25/611,4			243,158,698		212,058,239

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Trust,
Series 2022-RPL1, Class SA (IO)
0.00%	04/25/611,4,5,6	$	883,337	$	863,670
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 05/25/23)
3.95%	01/25/33		5,918		5,454
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A1
(LIBOR USD 1-Month plus 0.28%)
5.13%	10/25/362		35,808,057		25,311,888
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB8, Class A1
(LIBOR USD 1-Month plus 0.28%)
5.13%	10/25/362		9,412,377		8,551,518
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A3
(LIBOR USD 1-Month plus 0.30%)
5.15%	11/25/362		23,032,942		10,725,050
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF4 (STEP-reset date 05/25/23)
3.13%	01/25/37		6,160,186		1,860,438
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF5 (STEP-reset date 05/25/23)
3.13%	01/25/37		11,566,242		3,495,555
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A2
(LIBOR USD 1-Month plus 0.17%)
3.40%	04/25/372		20,601,587		12,793,458
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/23)
3.53%	02/25/37		24,739,486		15,033,678
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2D (STEP-reset date 05/25/23)
3.53%	02/25/37		18,112,987		11,018,789
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2E (STEP-reset date 05/25/23)
3.53%	02/25/37		3,293,819		2,002,085
CSAB Mortgage-Backed Trust,
Series 2006-4, Class A6B (STEP-reset date 05/25/23)
6.28%	12/25/36		5,268,016		290,674
Deephaven Residential Mortgage Trust,
Series 2021-4, Class A1
1.93%	11/25/661,4		24,518,974		21,291,954
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR3, Class A1
(LIBOR USD 1-Month plus 0.38%)
5.23%	08/25/362		1,947,483		1,801,330
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR4, Class A1
(LIBOR USD 1-Month plus 0.26%)
5.11%	12/25/362		1,438,522		504,988

See accompanying Notes to Financial Statements.

191 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR4, Class A2
(LIBOR USD 1-Month plus 0.38%)
5.23%	12/25/362	$	26,403,857	$	9,024,627
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR6, Class A6
(LIBOR USD 1-Month plus 0.38%)
5.23%	02/25/372		366,784		307,934
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-3, Class 1A1
(LIBOR USD 1-Month plus 1.70%)
6.36%	10/25/472		19,368,878		15,117,621
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-AR3, Class 2A4
(LIBOR USD 1-Month plus 0.70%)
5.55%	06/25/372		18,141,061		15,703,702
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-OA3, Class A1
(LIBOR USD 1-Month plus 0.14%)
4.99%	07/25/472		27,800,963		24,079,312
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2005-6, Class 1A7
5.50%	12/25/35		241,017		208,319
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2006-AR1, Class 2A1
3.29%	02/25/364		504,001		350,293
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.72%)
5.48%	01/19/452		1,101,298		892,701
DSLA Mortgage Loan Trust,
Series 2005-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.50%)
5.26%	02/19/452		62,804		59,942
DSLA Mortgage Loan Trust,
Series 2005-AR3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
5.24%	07/19/452		69,254		61,796
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
4.96%	10/19/362		13,519,161		9,071,871
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
4.90%	03/19/372		5,525,006		4,433,165
Equity One Mortgage Pass-Through Trust,
Series 2002-4, Class M1
5.22%	02/25/334		6,672		6,275
Equity One Mortgage Pass-Through Trust,
Series 2002-5, Class M1 (STEP-reset date 05/25/23)
5.80%	11/25/32		32,506		30,990
Fannie Mae Connecticut Avenue Securities,
Series 2019-R07, Class 1B1
(LIBOR USD 1-Month plus 3.40%)
8.25%	10/25/391,2		12,100,000		11,915,974

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Fannie Mae Connecticut Avenue Securities,
Series 2020-R01, Class 1B1
(LIBOR USD 1-Month plus 3.25%)
8.10%	01/25/401,2	$	13,389,636	$	12,696,864
Fannie Mae Connecticut Avenue Securities,
Series 2020-R02, Class 2B1
(LIBOR USD 1-Month plus 3.00%)
7.85%	01/25/401,2		22,901,543		21,483,408
Fannie Mae Connecticut Avenue Securities,
Series 2021-R01, Class 1B1
(SOFR30A plus 3.10%)
7.66%	10/25/411,2		29,460,000		27,843,212
Fannie Mae Connecticut Avenue Securities,
Series 2021-R01, Class 1B2
(SOFR30A plus 6.00%)
10.56%	10/25/411,2		2,060,000		1,883,842
Fannie Mae Connecticut Avenue Securities,
Series 2022-R01, Class 1B1
(SOFR30A plus 3.15%)
7.71%	12/25/411,2		27,469,000		25,481,870
Fannie Mae Connecticut Avenue Securities,
Series 2022-R01, Class 1M2
(SOFR30A plus 1.90%)
6.46%	12/25/411,2		20,563,862		19,711,508
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
5.17%	10/25/362		9,608,275		6,447,914
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2D
(LIBOR USD 1-Month plus 0.48%)
5.33%	10/25/362		605,874		408,856
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
4.96%	12/25/372		5,042,733		4,395,594
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2C
(LIBOR USD 1-Month plus 0.16%)
5.01%	12/25/372		13,867,969		12,144,495
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
5.06%	12/25/372		10,051,052		8,837,175
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 1A
(LIBOR USD 1-Month plus 0.30%)
5.15%	04/25/362		6,533,493		6,446,322
First Franklin Mortgage Loan Trust,
Series 2006-FF8, Class IIA4
(LIBOR USD 1-Month plus 0.46%)
5.31%	07/25/362		19,573,639		18,745,274
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2C
(LIBOR USD 1-Month plus 0.14%)
5.13%	01/25/382		52,227,143		27,882,160

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 192

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A1
(LIBOR USD 1-Month plus 0.14%)
4.99%	03/25/372	$	47,518,655	$	25,484,406
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
4.95%	03/25/372		21,019,713		10,279,602
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
5.00%	03/25/372		12,050,265		5,920,595
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
5.07%	03/25/372		22,437,275		11,092,701
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA2, Class 1A1
5.01%	08/25/344		2,815,065		2,698,174
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
5.10%	09/25/344		8,525		7,539
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA4, Class A1
4.47%	10/25/344		445,567		435,713
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
4.23%	12/25/354		7,452,082		6,085,262
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
4.71%	02/25/364		7,622,914		5,047,965
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA4, Class 2A1
4.01%	06/25/354		7,578,029		6,631,434
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
5.08%	09/25/354		5,906,805		5,020,777
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
5.23%	10/25/354		8,524,346		5,659,926
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
4.30%	11/25/354		7,881,346		6,741,914
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA1, Class 1A1
5.26%	03/25/364		8,576,815		6,617,514
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR6, Class 2A1
4.24%	12/25/344		90,227		82,909
First Horizon Mortgage Pass-Through Trust,
Series 2006-AR4, Class 1A2
4.19%	01/25/374		46,863		29,124
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR3, Class 1A1
3.84%	11/25/374		78,696		40,616

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2020-DNA1, Class B1
(LIBOR USD 1-Month plus 2.30%)
7.15%	01/25/501,2	$	8,000,000	$	7,739,846
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2020-DNA2, Class B1
(LIBOR USD 1-Month plus 2.50%)
7.35%	02/25/501,2		31,102,000		29,635,519
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA3, Class M2
(SOFR30A plus 2.10%)
6.66%	10/25/331,2		30,022,000		29,014,960
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA5, Class B1
(SOFR30A plus 3.05%)
7.61%	01/25/341,2		12,005,000		10,867,525
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA6, Class B1
(SOFR30A plus 3.40%)
7.96%	10/25/411,2		30,000,000		28,056,782
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA1, Class M2
(SOFR30A plus 2.25%)
6.81%	08/25/331,2		12,742,000		12,271,721
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA3, Class M2
(SOFR30A plus 2.10%)
6.66%	09/25/411,2		22,095,000		19,916,775
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA4, Class M2
(SOFR30A plus 2.35%)
6.91%	12/25/411,2		10,000,000		9,040,591
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA2, Class M1B
(SOFR30A plus 2.40%)
6.96%	02/25/421,2		22,000,000		21,267,822
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA3, Class M1B
(SOFR30A plus 2.90%)
7.46%	04/25/421,2		7,000,000		6,972,276
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
5.06%	06/25/302		8,836		8,168
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR6, Class 3A1
3.60%	11/19/354		185,686		157,658
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR2, Class 1A1
0.00%	05/19/364		1,544,373		1,159,798
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.48%)
5.33%	08/25/452		700,004		526,325

See accompanying Notes to Financial Statements.

193 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GreenPoint Mortgage Funding Trust,
Series 2005-AR4, Class G41B
(LIBOR USD 1-Month plus 0.20%)
5.05%	10/25/452	$	10,551,700	$	9,816,947
GreenPoint Mortgage Funding Trust,
Series 2006-OH1, Class A1
(LIBOR USD 1-Month plus 0.36%)
5.21%	01/25/372		9,904,746		8,241,734
GS Mortgage-Backed Securities Corp. Trust,
Series 2022-PJ2, Class A4
2.50%	06/25/521,4		59,875,403		48,768,049
GS Mortgage-Backed Securities Corp. Trust,
Series 2022-PJ4, Class A4
2.50%	09/25/521,4		68,715,272		55,968,053
GS Mortgage-Backed Securities Trust,
Series 2018-RPL1, Class A1A
3.75%	10/25/571		19,452,957		18,496,200
GS Mortgage-Backed Securities Trust,
Series 2021-PJ9, Class A2
2.50%	02/26/521,4		8,844,489		7,203,767
GS Mortgage-Backed Securities Trust,
Series 2022-PJ5, Class A4
2.50%	10/25/521,4		76,181,581		62,239,757
GS Mortgage-Backed Securities Trust,
Series 2022-PJ6, Class A3
2.50%	01/25/531,4		102,359,184		83,370,757
GS Mortgage-Backed Securities Trust,
Series 2023-PJ1, Class A3
3.00%	02/25/531,4		99,443,558		85,061,832
GSAA Home Equity Trust,
Series 2005-11, Class 2A2
(LIBOR USD 1-Month plus 0.64%)
5.49%	10/25/352		75,427		72,196
GSAA Home Equity Trust,
Series 2005-11, Class 3A2
(LIBOR USD 1-Month plus 0.64%)
5.49%	10/25/352		24,949		24,449
GSAA Home Equity Trust,
Series 2005-6, Class M1
(LIBOR USD 1-Month plus 0.65%)
5.49%	06/25/352		47,597		46,127
GSAMP Trust,
Series 2005-AHL2, Class A2D
(LIBOR USD 1-Month plus 0.70%)
5.55%	12/25/352		18,671,646		17,072,933
GSAMP Trust,
Series 2007-HE2, Class A1
(LIBOR USD 1-Month plus 0.24%)
5.08%	03/25/472		64,857,371		54,311,063
GSMSC Resecuritization Trust,
Series 2015-3R, Class 1B
(LIBOR USD 1-Month plus 0.28%)
5.13%	01/26/371,2		15,423,948		14,098,961
GSR Mortgage Loan Trust,
Series 2004-9, Class 3A1
3.50%	08/25/344		1,820		1,657

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
3.35%	08/25/344	$	43,260	$	42,795
GSR Mortgage Loan Trust,
Series 2005-AR5, Class 2A3
3.77%	10/25/354		1,765,401		984,674
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 4A5
4.16%	09/25/354		43,110		40,879
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 2A1
3.93%	05/25/374		1,216,048		725,081
HarborView Mortgage Loan Trust,
Series 2004-1, Class 2A
4.50%	04/19/344		3,419		3,216
HarborView Mortgage Loan Trust,
Series 2004-11, Class 3A2A
(LIBOR USD 1-Month plus 0.68%)
5.44%	01/19/352		163,020		148,517
HarborView Mortgage Loan Trust,
Series 2004-3, Class 1A
4.19%	05/19/344		32,066		30,176
HarborView Mortgage Loan Trust,
Series 2004-5, Class 2A6
3.47%	06/19/344		1,248		1,158
HarborView Mortgage Loan Trust,
Series 2005-3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
5.24%	06/19/352		160,756		150,067
HarborView Mortgage Loan Trust,
Series 2005-4, Class 2A
4.21%	07/19/354		23,689		20,739
HarborView Mortgage Loan Trust,
Series 2006-1, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
5.24%	03/19/362		10,418,984		9,032,965
HarborView Mortgage Loan Trust,
Series 2006-10, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
4.80%	11/19/362		50,356,059		36,669,307
HarborView Mortgage Loan Trust,
Series 2006-4, Class 1A1A
(LIBOR USD 1-Month plus 0.36%)
5.12%	05/19/462		29,520,252		15,377,070
HarborView Mortgage Loan Trust,
Series 2006-5, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.91%)
4.05%	07/19/472		34,121,913		13,464,468
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.42%)
5.18%	09/19/462		52,213,430		44,246,125

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 194

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust,
Series 2007-7, Class 1A1
(LIBOR USD 1-Month plus 2.00%)
5.85%	10/25/372	$	17,256,335	$	13,763,505
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 2.00%)
5.85%	10/25/372		13,280,414		12,294,780
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
5.13%	10/25/362		52,270,547		17,387,520
Impac CMB Trust,
Series 2004-8, Class 2A1
(LIBOR USD 1-Month plus 0.70%)
5.55%	10/25/342		74,557		73,517
Impac CMB Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
5.37%	04/25/352		1,822,704		1,687,460
Impac Secured Assets Trust,
Series 2006-3, Class A1
(LIBOR USD 1-Month plus 0.34%)
5.19%	11/25/362		4,232,404		3,707,867
Impac Secured Assets Trust,
Series 2006-5, Class 1A1C
(LIBOR USD 1-Month plus 0.54%)
5.39%	02/25/372		6,884,021		6,113,728
Impac Secured Assets Trust,
Series 2007-2, Class 1A1A
(LIBOR USD 1-Month plus 0.22%)
5.07%	05/25/372		2,600,663		2,158,749
Impac Secured Assets Trust,
Series 2007-2, Class 1A1B
(LIBOR USD 1-Month plus 0.50%)
5.35%	05/25/372		32,414,455		27,178,493
IndyMac Index Mortgage Loan Trust,
Series 2004-AR4, Class 1A
3.74%	08/25/344		632,099		539,400
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
5.71%	09/25/342		35,327		29,707
IndyMac Index Mortgage Loan Trust,
Series 2005-AR1, Class 4A1
3.63%	03/25/354		40,112		39,390
IndyMac Index Mortgage Loan Trust,
Series 2005-AR17, Class 3A1
3.54%	09/25/354		2,852,571		1,925,926
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
3.29%	10/25/354		17,939,079		13,918,733
IndyMac Index Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
(LIBOR USD 1-Month plus 0.48%)
5.33%	04/25/352		357,919		292,492

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2006-AR19, Class 1A2
3.47%	08/25/364	$	10,586,029	$	7,716,655
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 2A2
(LIBOR USD 1-Month plus 0.40%)
5.25%	10/25/362		12,039,529		10,244,916
IndyMac Index Mortgage Loan Trust,
Series 2006-AR35, Class 2A3A
(LIBOR USD 1-Month plus 0.40%)
5.25%	01/25/372		27,401,632		22,458,057
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1
3.32%	05/25/364		2,726,281		2,238,058
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 2A1
3.33%	05/25/364		18,196,066		11,897,296
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 1A2
3.55%	03/25/374		308,301		248,250
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
2.92%	06/25/374		2,317,296		1,816,285
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
3.06%	11/25/374		1,487,146		1,168,277
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A3
6.61%	02/25/28		19,739		19,519
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 5A1
3.59%	05/25/364		4,075,891		2,402,438
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A3A (STEP-reset date 05/25/23)
6.33%	07/25/36		28,677,872		8,355,867
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A6 (STEP-reset date 05/25/23)
6.50%	07/25/36		3,999,060		1,164,670
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A5
(LIBOR USD 1-Month plus 0.26%)
5.11%	06/25/372		35,414		35,170
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF1
(LIBOR USD 1-Month plus 0.10%)
4.52%	03/25/472		105,262		68,054
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF2 (STEP-reset date 05/25/23)
4.22%	03/25/47		6,886,054		4,827,498
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF3 (STEP-reset date 05/25/23)
4.22%	05/25/35		5,795,454		4,062,862
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF4 (STEP-reset date 05/25/23)
4.22%	03/25/47		2,634,297		1,833,633

See accompanying Notes to Financial Statements.

195 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
5.13%	03/25/472	$	240,000	$	219,108
JPMorgan Mortgage Trust,
Series 2003-A2, Class 2A3
3.03%	11/25/334		43,132		40,355
JPMorgan Mortgage Trust,
Series 2004-A4, Class 1A3
3.93%	09/25/344		118,354		106,864
JPMorgan Mortgage Trust,
Series 2005-A5, Class TA1
4.16%	08/25/354		56,737		51,809
JPMorgan Mortgage Trust,
Series 2005-S2, Class 4A3
5.50%	09/25/20		1,603,738		1,101,043
JPMorgan Mortgage Trust,
Series 2006-A2, Class 5A3
4.18%	11/25/334		1,502		1,445
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
3.78%	05/25/364		479,628		394,785
JPMorgan Mortgage Trust,
Series 2006-A3, Class 3A3
3.68%	05/25/364		317,317		253,362
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
3.70%	06/25/364		280,965		210,513
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A4
3.70%	06/25/364		905,742		678,625
JPMorgan Mortgage Trust,
Series 2006-A5, Class 2A4
3.84%	08/25/364		252,070		198,323
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
4.00%	07/25/354		583,453		557,979
JPMorgan Mortgage Trust,
Series 2007-A3, Class 2A3
3.73%	05/25/374		1,284,205		1,009,238
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
3.63%	05/25/374		219,500		189,974
JPMorgan Mortgage Trust,
Series 2007-A4, Class 1A1
3.79%	06/25/374		1,822,180		1,418,037
JPMorgan Mortgage Trust,
Series 2007-A4, Class 2A3
3.78%	06/25/374		257,493		201,748
JPMorgan Mortgage Trust,
Series 2021-13, Class A3A
2.00%	04/25/521,4		49,180,148		38,544,159
JPMorgan Mortgage Trust,
Series 2021-14, Class A3A
2.00%	05/25/521,4		37,725,473		29,538,506

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust,
Series 2021-INV8, Class A2
3.00%	05/25/521,4	$	44,227,156	$	37,752,026
Lehman ABS Mortgage Loan Trust,
Series 2007-1, Class 2A2
(LIBOR USD 1-Month plus 0.20%)
5.05%	06/25/371,2		175,472		123,793
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
5.15%	11/25/352		1,714,938		1,663,475
Lehman XS Trust,
Series 2005-7N, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
5.39%	12/25/352		263,489		225,924
Lehman XS Trust,
Series 2006-12N, Class A31A
(LIBOR USD 1-Month plus 0.40%)
5.25%	08/25/462		7,728,869		7,349,255
Lehman XS Trust,
Series 2006-14N, Class 3A2
(LIBOR USD 1-Month plus 0.24%)
5.09%	08/25/362		24,033		24,065
Lehman XS Trust,
Series 2006-5, Class 1A1A
(LIBOR USD 1-Month plus 0.42%)
5.27%	04/25/362		18,774,384		15,859,351
Lehman XS Trust,
Series 2006-8, Class 1A1A
(LIBOR USD 1-Month plus 0.16%)
5.17%	06/25/362		24,543,809		22,017,061
Lehman XS Trust,
Series 2007-4N, Class 1A3
(LIBOR USD 1-Month plus 0.48%)
5.33%	03/25/472		15,649,391		13,676,447
Long Beach Mortgage Loan Trust,
Series 2004-4, Class M1
(LIBOR USD 1-Month plus 0.90%)
5.75%	10/25/342		66,745		61,648
Luminent Mortgage Trust,
Series 2006-5, Class A1A
(LIBOR USD 1-Month plus 0.38%)
5.23%	07/25/362		27,286,014		17,931,348
Luminent Mortgage Trust,
Series 2006-6, Class A1
(LIBOR USD 1-Month plus 0.40%)
5.25%	10/25/462		9,744,125		8,322,823
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.81%	01/25/344		10,648		9,962
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
3.88%	11/25/334		355,271		331,885
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
3.87%	11/21/344		1,666,290		1,543,904

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 196

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust,
Series 2004-8, Class 2A1
3.78%	09/25/344	$	1,237,155	$	1,139,723
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 5A1
3.52%	05/25/364		5,342,939		2,295,093
MASTR Adjustable Rate Mortgages Trust,
Series 2007-1, Class I1A
(LIBOR USD 1-Month plus 0.39%)
5.24%	01/25/472		82,622,168		35,283,797
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
5.15%	11/25/362		12,550,750		4,121,534
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.42%)
5.27%	11/25/362		3,486,319		1,141,087
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
(LIBOR USD 1-Month plus 0.21%)
5.06%	05/25/372		15,408,075		14,511,891
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.22%	10/25/324		7,569		7,167
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates,
Series 2001-TBC1, Class A1
(LIBOR USD 1-Month plus 0.70%)
5.38%	11/15/312		538,016		505,285
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A1
(LIBOR USD 1-Month plus 0.28%)
5.13%	04/25/372		131,598,297		57,843,176
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2B
(LIBOR USD 1-Month plus 0.34%)
5.19%	04/25/372		26,549,485		10,350,160
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.50%)
5.35%	04/25/372		55,616,974		21,920,190
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.48%)
5.33%	05/25/372		27,055,328		21,304,713
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2D
(LIBOR USD 1-Month plus 0.64%)
5.49%	05/25/372		13,361,096		10,655,818
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.36%)
5.21%	06/25/372		10,139,456		9,216,666

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 A2D
(LIBOR USD 1-Month plus 0.50%)
5.35%	06/25/372	$	13,542,305	$	12,244,108
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.12%)
4.97%	07/25/372		22,855,590		19,399,503
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A3
(LIBOR USD 1-Month plus 0.16%)
5.01%	07/25/372		16,753,715		14,387,320
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
4.30%	10/25/334		141,091		136,170
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
3.53%	08/25/344		706,705		638,477
Merrill Lynch Mortgage Investors Trust,
Series 2005-A10, Class A
(LIBOR USD 1-Month plus 0.42%)
5.27%	02/25/362		4,853		4,427
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2B (STEP-reset date 05/25/23)
3.95%	03/25/37		27,399,710		6,471,635
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2D (STEP-reset date 05/25/23)
3.95%	03/25/37		21,444,811		5,064,612
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.40%)
7.43%	08/25/362		1,778,861		1,541,069
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%	01/15/40		6,221,318		6,117,321
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%	10/15/401		6,274,471		6,125,055
Mid-State Trust XI,
Series 11, Class A1
4.86%	07/15/38		109,098		105,896
Morgan Stanley Mortgage Loan Trust,
Series 2004-11AR, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
5.17%	01/25/352		66,115		59,826
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
4.19%	09/25/344		371,332		352,843
Morgan Stanley Mortgage Loan Trust,
Series 2005-2AR, Class A
(LIBOR USD 1-Month plus 0.26%)
5.11%	04/25/352		699,543		671,128
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/364		677,552		209,020

See accompanying Notes to Financial Statements.

197 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust,
Series 2007-7AX, Class 2A1
(LIBOR USD 1-Month plus 0.24%)
5.09%	04/25/372	$	4,187,145	$	1,208,699
MortgageIT Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
5.49%	02/25/352		1,854,714		1,747,526
MortgageIT Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.56%)
5.41%	10/25/352		1,943,145		1,902,994
MortgageIT Trust,
Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.52%)
5.37%	12/25/352		375,745		350,058
Nationstar Home Equity Loan Trust,
Series 2007-A, Class AV4
(LIBOR USD 1-Month plus 0.23%)
5.08%	03/25/372		21,813		21,440
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
5.10%	06/25/372		4,662,454		4,408,541
New Century Home Equity Loan Trust,
Series 2003-6, Class M1
(LIBOR USD 1-Month plus 1.08%)
5.93%	01/25/342		67,747		67,784
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
5.52%	03/25/352		138,626		136,064
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.44%)
5.29%	02/25/362		7,971		7,961
NLT Trust,
Series 2021-INV3, Class PT
0.00%	11/25/561,4		171,678,676		157,973,516
Nomura Home Equity Loan, Inc., Home Equity Loan Trust,
Series 2006-HE2, Class A4
(LIBOR USD 1-Month plus 0.54%)
5.39%	03/25/362		1,317,609		1,312,122
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 05/25/23)
6.00%	07/25/591		43,575,561		43,282,342
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/294		20,577,665		5,249,751
Onslow Bay Mortgage Loan Trust,
Series 2021-NQM4, Class A1
1.96%	10/25/611,4		5,255,391		4,289,754
Ownit Mortgage Loan Trust,
Series 2006-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
4.90%	05/25/372		6,378,795		6,209,119

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Ownit Mortgage Loan Trust,
Series 2006-4, Class A2D
(LIBOR USD 1-Month plus 0.48%)
5.10%	05/25/372	$	15,422,692	$	11,507,925
Popular ABS Mortgage Pass-Through Trust,
Series 2005-6, Class A5 (STEP-reset date 05/25/23)
3.36%	01/25/36		19,739,221		18,378,170
Popular ABS Mortgage Pass-Through Trust,
Series 2006-D, Class A3
(LIBOR USD 1-Month plus 0.26%)
5.11%	11/25/362		10,160		10,014
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
5.16%	06/25/472		21,148,763		19,190,690
Popular ABS, Inc.,
Series 1998-1, Class A2 (STEP-reset date 05/25/23)
7.48%	11/25/29		45,684		42,782
PRET LLC,
Series 2022-RN2, Class A1 (STEP-reset date 04/25/23)
5.00%	06/25/521		209,541,539		197,189,422
Pretium Mortgage Credit Partners LLC,
Series 2022-RN3, Class A1
5.00%	08/25/521,4		243,421,702		227,702,599
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 04/25/23)
5.56%	06/25/271		32,987,207		32,543,460
PRPM LLC,
Series 2022-4, Class A1 (STEP-reset date 04/25/23)
5.00%	08/25/271		79,267,316		77,014,531
Residential Accredit Loans Trust,
Series 2005-QA12, Class CB1
4.76%	12/25/354		3,475,497		1,623,921
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.91%	04/25/354		89,446		86,574
Residential Accredit Loans Trust,
Series 2005-QA7, Class A1
3.88%	07/25/354		2,220,578		1,678,032
Residential Accredit Loans Trust,
Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
4.14%	01/25/462		3,544,140		2,744,854
Residential Accredit Loans Trust,
Series 2006-QA1, Class A11
4.84%	01/25/364		99,299		72,084
Residential Accredit Loans Trust,
Series 2006-QA1, Class A21
4.93%	01/25/364		8,154,421		6,191,408
Residential Accredit Loans Trust,
Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.37%)
5.22%	08/25/362		13,773,668		11,962,813

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 198

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2006-QS10, Class AV (IO)
0.57%	08/25/364,5,6	$	13,544,423	$	249,931
Residential Accredit Loans Trust,
Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)
5.23%	09/25/362		132,300		93,038
Residential Accredit Loans Trust,
Series 2006-QS2, Class 1AV (IO)
0.47%	02/25/364,5,6		49,528,955		653,376
Residential Accredit Loans Trust,
Series 2006-QS7, Class AV (IO)
0.72%	06/25/364,5,6		22,421,719		383,000
Residential Accredit Loans Trust,
Series 2006-QS8, Class AV (IO)
0.79%	08/25/364,5,6		54,422,580		1,210,459
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2A4
(LIBOR USD 1-Month plus 0.55%)
5.40%	01/25/372		10,153,475		6,822,264
Residential Accredit Loans Trust,
Series 2007-QS10, Class AV (IO)
0.48%	09/25/374,5,6		41,936,101		755,491
Residential Accredit Loans Trust,
Series 2007-QS4, Class 3AV (IO)
0.36%	03/25/374,5,6		26,182,597		294,219
Residential Accredit Loans Trust,
Series 2007-QS5, Class AV (IO)
0.29%	03/25/374,5,6		28,314,150		245,155
Residential Accredit Loans Trust,
Series 2007-QS6, Class AV (IO)
0.33%	04/25/374,5,6		61,644,944		527,188
Residential Accredit Loans Trust,
Series 2007-QS7, Class 2AV (IO)
0.38%	06/25/374,5,6		22,673,303		244,110
Residential Accredit Loans Trust,
Series 2007-QS8, Class AV (IO)
0.43%	06/25/374,5,6		54,493,815		828,799
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%	12/25/31		13,570		6,728
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
5.34%	04/25/362		323,172		315,123
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
4.40%	12/25/344		158,051		151,496
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.53%	12/25/344		10,833		8,898
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
4.47%	12/25/344		257,033		237,308

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%	07/25/36	$	1,605,165	$	1,258,560
Residential Funding Mortgage Securities Trust,
Series 2005-SA5, Class 1A
3.58%	11/25/354		2,095,272		1,236,784
Residential Funding Mortgage Securities Trust,
Series 2006-SA3, Class 3A1
4.90%	09/25/364		138,357		116,955
Residential Funding Mortgage Securities Trust,
Series 2006-SA4, Class 2A1
5.16%	11/25/364		36,306		29,556
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 2A2
4.53%	04/25/374		797,060		589,817
Saxon Asset Securities Trust,
Series 2001-2, Class AF6 (STEP-reset date 05/25/23)
6.81%	06/25/16		8		11
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
5.09%	05/25/472		160,320		111,156
Saxon Asset Securities Trust,
Series 2007-3, Class 2A3
(LIBOR USD 1-Month plus 0.40%)
5.25%	09/25/472		23,735,443		21,867,787
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/23)
2.86%	01/25/36		5,627,247		4,426,576
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB5, Class A3
(LIBOR USD 1-Month plus 0.28%)
5.13%	06/25/362		202,283		126,838
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2A
(LIBOR USD 1-Month plus 0.11%)
5.07%	02/25/372		5,272,156		2,217,398
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2B
(LIBOR USD 1-Month plus 0.27%)
5.39%	02/25/372		26,098,822		11,010,781
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
5.08%	02/25/372		34,577,829		15,141,462
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2A
(LIBOR USD 1-Month plus 0.13%)
4.98%	05/25/372		12,002,526		8,949,994
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2C
(LIBOR USD 1-Month plus 0.35%)
5.20%	05/25/372		9,052,201		6,750,893

See accompanying Notes to Financial Statements.

199 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.30%)
5.15%	12/25/362	$	26,114,908	$	15,080,305
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC2, Class A2B
(LIBOR USD 1-Month plus 0.14%)
4.99%	01/25/372		13,448,876		11,397,188
Sequoia Mortgage Trust,
Series 2003-2, Class A1
(LIBOR USD 1-Month plus 0.66%)
5.42%	06/20/332		20,055		19,128
Sequoia Mortgage Trust,
Series 2003-8, Class A1
(LIBOR USD 1-Month plus 0.64%)
5.40%	01/20/342		679		641
Sequoia Mortgage Trust,
Series 2004-3, Class A
(LIBOR USD 6-Month plus 0.50%)
5.22%	05/20/342		62,071		61,647
Sequoia Mortgage Trust,
Series 2004-4, Class A
(LIBOR USD 6-Month plus 0.52%)
5.24%	05/20/342		58,433		54,431
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
5.09%	12/25/361,2		12,083,971		7,393,383
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
5.52%	06/25/352		6,969,168		6,705,264
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 3A3
4.72%	02/25/344		13,634		12,554
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
4.82%	09/25/344		1,998,964		1,915,673
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 1A
4.09%	10/25/344		30,853		29,805
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 2A
4.73%	10/25/344		2,818,604		2,684,532
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
4.14%	10/25/344		1,374,161		1,272,181
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-17, Class A1
3.13%	11/25/344		25,104		21,166
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-20, Class 1A2
4.43%	01/25/354		282,669		266,222
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
4.12%	06/25/354		398,358		349,680

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-18, Class 7A3
3.70%	09/25/354	$	9,457,895	$	5,887,156
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-12, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
5.17%	01/25/372		14,721,244		12,220,482
Structured Adjustable Rate Mortgage Loan Trust,
Series 2007-9, Class 2A1
3.82%	10/25/474		445,991		273,065
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A1A
(LIBOR USD 1-Month plus 0.56%)
5.41%	02/25/362		254,592		209,271
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A3
(Federal Reserve US 12-Month Cumulative Average plus 2.00%)
4.43%	02/25/362		8,212,660		6,904,055
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1A
(LIBOR USD 1-Month plus 0.42%)
5.27%	08/25/362		9,996,138		7,810,267
Structured Asset Mortgage Investments II Trust,
Series 2006-AR8, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
4.97%	10/25/362		8,585,041		7,319,271
Structured Asset Mortgage Investments II Trust,
Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.50%)
4.64%	08/25/472		87,409,895		71,734,713
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 1997-2, Class 2A4
7.25%	03/28/30		287		278
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-26A, Class 3A5
5.34%	09/25/334		84,739		80,721
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-34A, Class 5A4
4.44%	11/25/334		656,181		587,560
Structured Asset Securities Corp. Trust,
Series 2005-5, Class 2A4
5.50%	04/25/35		831,131		775,988
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-3, Class 1A1
3.10%	06/25/374		1,440,407		970,143
Thornburg Mortgage Securities Trust,
Series 2004-4, Class 2A
3.52%	12/25/444		61,050		54,667

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 200

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wachovia Mortgage Loan Trust,
Series 2006-ALT1, Class A3
(LIBOR USD 1-Month plus 0.46%)
1.76%	01/25/372	$	9,908,025	$	3,885,003
Wachovia Mortgage Loan Trust,
Series 2006-AMN1, Class A3
(LIBOR USD 1-Month plus 0.48%)
1.70%	08/25/362		13,755,433		5,266,965
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
4.96%	01/25/372		2,949,788		1,331,330
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A3
(LIBOR USD 1-Month plus 0.15%)
5.00%	01/25/372		36,288,614		16,396,849
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
(LIBOR USD 1-Month plus 0.23%)
5.08%	01/25/372		9,140,604		4,157,664
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
3.43%	06/25/334		1,424,656		1,303,128
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR3, Class A2
3.25%	06/25/344		14,404		13,020
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.84%)
5.69%	05/25/442		70,137		69,803
WaMu Mortgage Pass-Through Certificates,
Series 2005-3, Class 2A3
(LIBOR USD 1-Month plus 0.55%)
5.40%	05/25/352		1,337,087		997,593
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
5.35%	06/25/352		2,782,811		2,332,600
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A
(LIBOR USD 1-Month plus 0.64%)
5.49%	01/25/452		331,827		300,249
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR11, Class A1A
(LIBOR USD 1-Month plus 0.64%)
5.49%	08/25/452		14,766,121		14,232,686
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
3.81%	10/25/354		530,459		475,023
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.58%)
5.43%	10/25/452		2,296,344		2,107,239
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
3.77%	12/25/354		2,003,193		1,783,742

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A1
(LIBOR USD 1-Month plus 0.52%)
5.37%	11/25/452	$	15,024,112	$	12,941,569
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR17, Class A1A1
(LIBOR USD 1-Month plus 0.54%)
5.39%	12/25/452		7,086,157		6,121,717
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR19, Class A1A2
(LIBOR USD 1-Month plus 0.58%)
5.43%	12/25/452		7,060,092		6,518,404
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 1A1A
(LIBOR USD 1-Month plus 0.66%)
5.51%	01/25/452		8,053,129		7,234,244
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.62%)
5.47%	01/25/452		393,522		374,445
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
5.51%	01/25/452		33,466		31,871
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A23
(LIBOR USD 1-Month plus 0.76%)
5.61%	01/25/452		1,397,393		1,335,000
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.46%)
5.31%	04/25/452		60,942		58,169
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
5.39%	07/25/452		64,700		58,538
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR1, Class 2A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.07%)
4.21%	01/25/462		12,572,534		11,360,439
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR10, Class 1A4
3.75%	09/25/364		6,879,877		5,879,368
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
3.60%	12/25/364		394,767		331,967
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
4.14%	02/25/462		8,067,060		6,971,186

See accompanying Notes to Financial Statements.

201 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.94%)
3.65%	05/25/462	$	2,868,733	$	2,441,248
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus 0.98%)
4.12%	07/25/462		5,462,396		4,599,196
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
3.88%	07/25/374		147,565		133,071
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
3.84%	02/25/472		7,860,532		6,441,203
WaMu MSC Mortgage Pass-Through Certificates,
Series 2002-AR1, Class 1A1
4.39%	11/25/304		73,705		72,072
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		75,712		64,369
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR1, Class 1A1
4.65%	03/25/364		1,277,033		1,166,940
					5,972,444,904
U.S. Agency Commercial Mortgage-Backed — 0.59%
Fannie Mae Pool AM4869
4.07%	12/01/25		1,669,828		1,642,348
Fannie Mae Pool AM6770
3.77%	09/01/29		154,298		151,636
Fannie Mae Pool AN7981
2.95%	01/01/28		99,690		94,493
Fannie Mae Pool BL6060
2.46%	04/01/40		126,370,000		92,457,202
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K154, Class A2
3.42%	04/25/32		750,000		713,654
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K157, Class A3
3.99%	08/25/334		300,000		297,493
Ginnie Mae,
Series 2020-193, Class AC
1.25%	09/16/62		34,039,491		26,248,030
Ginnie Mae,
Series 2021-10, Class IO (IO)
0.99%	05/16/634		61,697,180		4,477,765
Ginnie Mae,
Series 2021-14, Class AB
1.34%	06/16/63		43,056,349		34,153,928

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2021-150, Class IO (IO)
1.03%	11/16/634	$	34,029,235	$	2,588,880
Ginnie Mae,
Series 2021-17, Class IO (IO)
1.05%	01/16/614		138,092,321		10,239,670
Ginnie Mae,
Series 2021-2, Class AH
1.50%	06/16/63		100,038,059		81,462,209
Ginnie Mae,
Series 2021-21, Class AH
1.40%	06/16/63		69,155,200		54,553,100
Ginnie Mae,
Series 2021-31, Class B
1.25%	01/16/61		75,123,861		58,381,975
Ginnie Mae,
Series 2021-31, Class IO (IO)
0.94%	01/16/614		114,882,928		7,961,352
					375,423,735
U.S. Agency Mortgage-Backed — 37.90%
Fannie Mae Pool 190375
5.50%	11/01/36		339,346		352,444
Fannie Mae Pool 190396
4.50%	06/01/39		4,803		4,835
Fannie Mae Pool 313182
7.50%	10/01/26		470		477
Fannie Mae Pool 394854
6.50%	05/01/27		231		239
Fannie Mae Pool 545191
7.00%	09/01/31		1,358		1,393
Fannie Mae Pool 545756
7.00%	06/01/32		304		325
Fannie Mae Pool 613142
7.00%	11/01/31		5,937		6,250
Fannie Mae Pool 625666
7.00%	01/01/32		4,489		4,622
Fannie Mae Pool 633698
7.50%	02/01/31		20,126		21,248
Fannie Mae Pool 655928
7.00%	08/01/32		69,293		73,836
Fannie Mae Pool 725257
5.50%	02/01/34		485,765		501,749
Fannie Mae Pool 734830
4.50%	08/01/33		6,530		6,549
Fannie Mae Pool 734922
4.50%	09/01/33		809,000		812,336
Fannie Mae Pool 735207
7.00%	04/01/34		10,316		10,656
Fannie Mae Pool 735224
5.50%	02/01/35		1,638,225		1,692,141
Fannie Mae Pool 735651
4.50%	06/01/35		1,884,646		1,893,219
Fannie Mae Pool 740297
5.50%	10/01/33		929		960

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 202

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 745147
4.50%	12/01/35	$	11,419	$	11,474
Fannie Mae Pool 753168
4.50%	12/01/33		4,256		4,274
Fannie Mae Pool 815422
4.50%	02/01/35		18,950		18,893
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
4.16%	11/01/352		3,277		3,211
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.56%)
3.81%	12/01/352		1,548		1,516
Fannie Mae Pool 888412
7.00%	04/01/37		73,094		75,979
Fannie Mae Pool 889184
5.50%	09/01/36		1,717,874		1,774,413
Fannie Mae Pool AB1613
4.00%	10/01/40		15,785,293		15,553,902
Fannie Mae Pool AB1803
4.00%	11/01/40		19,023,475		18,815,441
Fannie Mae Pool AB2127
3.50%	01/01/26		3,708,650		3,645,381
Fannie Mae Pool AB3679
3.50%	10/01/41		6,449,674		6,159,302
Fannie Mae Pool AB3864
3.50%	11/01/41		4,914,004		4,692,775
Fannie Mae Pool AB4045
3.50%	12/01/41		6,359,886		6,109,020
Fannie Mae Pool AB4262
3.50%	01/01/32		3,192,331		3,114,475
Fannie Mae Pool AB6385
3.00%	10/01/42		214,636		197,970
Fannie Mae Pool AB9703
3.50%	06/01/43		11,422,813		10,843,063
Fannie Mae Pool AC8279
4.50%	08/01/39		6,551		6,594
Fannie Mae Pool AE0138
4.50%	03/01/40		28,150		28,336
Fannie Mae Pool AE0482
5.50%	01/01/38		4,002,242		4,158,264
Fannie Mae Pool AH3780
4.00%	02/01/41		7,549,624		7,502,309
Fannie Mae Pool AJ1404
4.00%	09/01/41		9,860,235		9,685,085
Fannie Mae Pool AL0209
4.50%	05/01/41		11,452,773		11,560,260
Fannie Mae Pool AL0851
6.00%	10/01/40		6,580,438		6,970,278
Fannie Mae Pool AL2521
3.50%	09/01/42		71,969		68,891
Fannie Mae Pool AL4597
4.00%	01/01/44		30,096,424		29,767,154
Fannie Mae Pool AL6348
3.50%	02/01/45		25,006		23,702
Fannie Mae Pool AL7092
3.00%	07/01/45		40,192		37,075

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL8037
4.50%	07/01/34	$	97,795	$	97,837
Fannie Mae Pool AL8256
3.00%	08/01/43		370,988		343,304
Fannie Mae Pool AL8356
4.50%	07/01/34		229,291		229,388
Fannie Mae Pool AL8960
4.50%	05/01/46		17,446,921		17,493,478
Fannie Mae Pool AL9106
4.50%	02/01/46		22,349,461		22,409,101
Fannie Mae Pool AL9217
3.50%	10/01/46		15,499,621		14,729,815
Fannie Mae Pool AL9472
4.00%	10/01/43		3,791,289		3,714,056
Fannie Mae Pool AL9722
4.50%	08/01/46		71,413,350		71,603,917
Fannie Mae Pool AL9846
4.50%	02/01/47		75,552,194		75,753,805
Fannie Mae Pool AS8605
3.00%	01/01/32		112,799		107,982
Fannie Mae Pool AS8663
4.50%	01/01/47		14,229,761		14,203,579
Fannie Mae Pool AS9830
4.00%	06/01/47		23,376,650		22,772,110
Fannie Mae Pool AS9972
4.00%	07/01/47		22,123,432		21,503,893
Fannie Mae Pool AT9649
4.00%	07/01/43		129,788		129,366
Fannie Mae Pool AU3739
3.50%	08/01/43		22,049,872		21,049,997
Fannie Mae Pool BD2450
3.50%	01/01/47		42,551		40,279
Fannie Mae Pool BM4299
3.00%	03/01/30		17,829,064		17,363,969
Fannie Mae Pool BM4304
3.00%	02/01/30		22,590,096		22,019,051
Fannie Mae Pool BM5164
4.00%	11/01/48		27,366,608		26,825,386
Fannie Mae Pool BM5507
3.00%	09/01/48		5,736,780		5,253,355
Fannie Mae Pool BN4316
4.00%	01/01/49		17,835		17,550
Fannie Mae Pool BQ6913
2.00%	12/01/51		452,714,869		374,678,913
Fannie Mae Pool BQ7006
2.00%	01/01/52		107,174,432		88,666,930
Fannie Mae Pool BT6823
2.50%	10/01/51		110,194,180		95,164,946
Fannie Mae Pool BU1450
2.00%	01/01/52		182,344,403		150,856,114
Fannie Mae Pool BU1452
2.00%	01/01/52		271,717,452		224,827,785
Fannie Mae Pool BV2994
2.50%	04/01/52		2,738,938		2,364,020
Fannie Mae Pool BV7773
2.50%	04/01/52		98,889,875		85,384,267

See accompanying Notes to Financial Statements.

203 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool BV8459
3.00%	04/01/52	$	143,235,939	$	128,472,727
Fannie Mae Pool CA0862
3.50%	09/01/47		2,252,743		2,121,146
Fannie Mae Pool CA0996
3.50%	01/01/48		31,559		29,873
Fannie Mae Pool CA1187
3.50%	02/01/48		36,263,803		34,164,549
Fannie Mae Pool CA1191
3.50%	11/01/47		2,622,401		2,468,391
Fannie Mae Pool CA1710
4.50%	05/01/48		79,873		79,448
Fannie Mae Pool CA1711
4.50%	05/01/48		8,061,167		8,018,246
Fannie Mae Pool CA2208
4.50%	08/01/48		17,625,957		17,532,109
Fannie Mae Pool CA2327
4.00%	09/01/48		24,521,579		24,035,048
Fannie Mae Pool CA2493
4.50%	10/01/48		4,673,135		4,638,250
Fannie Mae Pool CA3633
3.50%	06/01/49		17,723,580		16,808,143
Fannie Mae Pool CA4011
3.50%	08/01/49		15,643,394		14,441,143
Fannie Mae Pool CA5689
3.00%	05/01/50		59,630,459		54,207,933
Fannie Mae Pool CB2313
2.50%	12/01/51		156,357,342		135,212,898
Fannie Mae Pool CB2365
2.00%	09/01/51		162,696,359		134,979,934
Fannie Mae Pool CB2767
2.00%	01/01/52		72,150,335		59,767,972
Fannie Mae Pool FM2310
3.00%	01/01/48		8,983,098		8,223,300
Fannie Mae Pool FM2318
3.50%	09/01/49		153,663,311		144,551,108
Fannie Mae Pool FM2388
3.50%	04/01/48		15,888,785		15,099,651
Fannie Mae Pool FM9672
2.50%	12/01/51		123,743,625		106,782,215
Fannie Mae Pool FS1598
2.00%	04/01/52		101,369,390		83,774,247
Fannie Mae Pool FS1622
2.00%	03/01/52		201,159,723		166,485,158
Fannie Mae Pool FS2536
2.50%	02/01/52		3,800,226		3,282,837
Fannie Mae Pool FS2943
2.00%	02/01/51		42,246,120		35,082,834
Fannie Mae Pool MA1146
4.00%	08/01/42		18,275,332		17,876,870
Fannie Mae Pool MA1177
3.50%	09/01/42		24,220,716		23,030,755
Fannie Mae Pool MA1404
3.50%	04/01/43		50,100		47,565
Fannie Mae Pool MA1432
3.00%	05/01/33		39,442		37,660

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA1459
3.00%	06/01/33	$	18,757	$	17,910
Fannie Mae Pool MA1527
3.00%	08/01/33		27,264,606		26,033,239
Fannie Mae Pool MA1561
3.00%	09/01/33		17,363,930		16,579,713
Fannie Mae Pool MA1582
3.50%	09/01/43		8,377,348		7,952,187
Fannie Mae Pool MA1584
3.50%	09/01/33		26,348,027		25,653,763
Fannie Mae Pool MA1608
3.50%	10/01/33		18,248,656		17,767,808
Fannie Mae Pool MA1982
3.50%	08/01/34		36,444		35,528
Fannie Mae Pool MA2895
3.00%	02/01/47		40,675		37,248
Fannie Mae Pool MA2960
4.00%	04/01/47		20,445,095		19,872,556
Fannie Mae Pool MA3027
4.00%	06/01/47		15,147,830		14,723,634
Fannie Mae Pool MA3029
3.00%	06/01/32		17,360,965		16,628,886
Fannie Mae Pool MA3060
3.00%	07/01/32		7,715		7,392
Fannie Mae Pool MA3120
3.50%	09/01/47		1,168,440		1,100,184
Fannie Mae Pool MA3182
3.50%	11/01/47		24,719,512		23,288,539
Fannie Mae Pool MA3210
3.50%	12/01/47		43,071,866		40,731,502
Fannie Mae Pool MA3238
3.50%	01/01/48		37,048,733		34,904,041
Fannie Mae Pool MA3276
3.50%	02/01/48		14,545,933		13,703,893
Fannie Mae Pool MA3305
3.50%	03/01/48		19,505,987		18,371,657
Fannie Mae Pool MA3332
3.50%	04/01/48		53,353,112		50,250,474
Fannie Mae Pool MA3364
3.50%	05/01/33		6,460,275		6,288,725
Fannie Mae Pool MA3537
4.50%	12/01/48		10,439,511		10,383,927
Fannie Mae Pool MA3811
3.00%	10/01/49		5,767,623		5,115,378
Fannie Mae Pool MA3846
3.00%	11/01/49		32,227		28,582
Fannie Mae Pool MA3942
3.00%	02/01/50		11,560,768		10,160,784
Fannie Mae Pool MA3997
3.00%	04/01/50		14,150,244		12,588,219
Fannie Mae Pool MA4093
2.00%	08/01/40		154,071,221		131,812,526
Fannie Mae Pool MA4128
2.00%	09/01/40		127,452,260		109,017,218
Fannie Mae Pool MA4152
2.00%	10/01/40		159,623,012		136,519,728

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 204

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA4176
2.00%	11/01/40	$	39,568,431	$	33,831,907
Fannie Mae Pool MA4333
2.00%	05/01/41		73,536,464		62,869,433
Fannie Mae Pool MA4492
2.00%	12/01/51		95,491,523		79,189,998
Fannie Mae Pool MA4493
2.50%	12/01/51		156,117,601		134,768,227
Fannie Mae Pool MA4547
2.00%	02/01/52		18,879,564		15,603,645
Fannie Mae Pool MA4548
2.50%	02/01/52		182,753,567		157,536,435
Fannie Mae Pool MA4563
2.50%	03/01/52		223,303,111		192,479,118
Fannie Mae Pool MA4578
2.50%	04/01/52		359,960,659		310,272,928
Fannie Mae REMICS,
Series 1994-55, Class H
7.00%	03/25/24		863		863
Fannie Mae REMICS,
Series 1997-34, Class SA
(Cost of Funds for the 11th District of San Francisco plus 0.00%)
29.51%	10/25/232		125		131
Fannie Mae REMICS,
Series 1998-37, Class VZ
6.00%	06/17/28		274		274
Fannie Mae REMICS,
Series 1999-11, Class Z
5.50%	03/25/29		14,923		14,501
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%	10/25/31		58,725		61,109
Fannie Mae REMICS,
Series 2005-122, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
1.75%	11/25/352		19,730		666
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
1.25%	10/25/252		625,134		5,591
Fannie Mae REMICS,
Series 2006-4, Class WE
4.50%	02/25/36		22,546		22,465
Fannie Mae REMICS,
Series 2006-49, Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
9.62%	04/25/362		773,425		877,564
Fannie Mae REMICS,
Series 2007-17, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
1.55%	03/25/372		673,265		63,369
Fannie Mae REMICS,
Series 2007-34, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
1.26%	04/25/372		1,532,358		129,817

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
5.32%	07/25/372	$	1,972	$	1,955
Fannie Mae REMICS,
Series 2008-24, Class NA
6.75%	06/25/37		144,024		151,412
Fannie Mae REMICS,
Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
1.75%	10/25/402		2,005,463		203,644
Fannie Mae REMICS,
Series 2010-17, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
1.50%	03/25/402		4,081,131		459,581
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
1.57%	05/25/402		7,198,496		797,555
Fannie Mae REMICS,
Series 2011-101, Class HE
4.00%	10/25/41		8,638,747		8,536,360
Fannie Mae REMICS,
Series 2011-111, Class DB
4.00%	11/25/41		7,259,670		7,077,798
Fannie Mae REMICS,
Series 2012-84, Class VZ
3.50%	08/25/42		6,269,047		5,961,732
Fannie Mae REMICS,
Series 2013-101, Class BO (PO)
0.00%	10/25/4310		9,623,509		7,330,575
Fannie Mae REMICS,
Series 2013-101, Class CO (PO)
0.00%	10/25/4310		5,552,272		4,325,349
Fannie Mae REMICS,
Series 2016-45, Class AF
(LIBOR USD 1-Month plus 0.50%)
5.35%	07/25/462		7,237,929		7,094,031
Fannie Mae REMICS,
Series 2016-72, Class FA
(LIBOR USD 1-Month plus 0.50%)
5.35%	10/25/462		14,671,474		14,405,879
Fannie Mae REMICS,
Series 2016-74, Class GF
(LIBOR USD 1-Month plus 0.50%)
5.35%	10/25/462		11,809,330		11,505,915
Fannie Mae REMICS,
Series 2016-75, Class FL
(LIBOR USD 1-Month plus 0.50%)
5.35%	10/25/462		11,743,807		11,443,801
Fannie Mae REMICS,
Series 2018-29, Class AP
3.50%	11/25/46		25,208,742		24,616,528
Fannie Mae REMICS,
Series 2018-38, Class LA
3.00%	06/25/48		14,169,451		13,134,949

See accompanying Notes to Financial Statements.

205 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%	06/25/47	$	19,100	$	18,518
Fannie Mae REMICS,
Series 2018-45, Class GA
3.00%	06/25/48		15,966,278		14,801,638
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%	01/25/47		8,248,657		8,042,948
Fannie Mae REMICS,
Series 2018-57, Class QA
3.50%	05/25/46		18,099		17,660
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%	05/25/47		651,017		637,907
Fannie Mae REMICS,
Series 2018-94, Class KD
3.50%	12/25/48		3,615,780		3,427,720
Fannie Mae REMICS,
Series 2019-1, Class AB
3.50%	02/25/49		1,356,816		1,282,938
Fannie Mae REMICS,
Series 2019-1, Class KP
3.25%	02/25/49		1,393,567		1,301,147
Fannie Mae REMICS,
Series 2019-26, Class JE
3.00%	06/25/49		4,370,629		4,134,743
Fannie Mae REMICS,
Series 2019-45, Class PA
3.00%	08/25/49		15,307,757		14,051,382
Fannie Mae REMICS,
Series 2019-52, Class PA
3.00%	09/25/49		4,446,818		4,024,771
Fannie Mae REMICS,
Series 2019-67, Class FE
(LIBOR USD 1-Month plus 0.45%)
5.30%	11/25/492		28,473,138		27,809,290
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
5.35%	01/25/502		77,407		75,856
Fannie Mae REMICS,
Series G93-21, Class Z
7.20%	05/25/23		8		8
Fannie Mae Trust,
Series 2003-W2, Class 2A9
5.90%	07/25/42		16,795		17,066
Freddie Mac Gold Pool A24156
6.50%	10/01/31		63,259		65,394
Freddie Mac Gold Pool A25162
5.50%	05/01/34		877,907		911,346
Freddie Mac Gold Pool A39012
5.50%	06/01/35		20,022		20,856
Freddie Mac Gold Pool A54856
5.00%	01/01/34		1,834,764		1,877,424

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool A61164
5.00%	04/01/36	$	5,659	$	5,761
Freddie Mac Gold Pool A97038
4.00%	02/01/41		5,974,991		5,869,258
Freddie Mac Gold Pool C01492
5.00%	02/01/33		216,450		219,854
Freddie Mac Gold Pool C04546
3.00%	02/01/43		10,564,350		9,764,842
Freddie Mac Gold Pool C04573
3.00%	03/01/43		13,013,459		12,028,553
Freddie Mac Gold Pool C46104
6.50%	09/01/29		6,065		6,279
Freddie Mac Gold Pool C55789
7.50%	10/01/27		1,280		1,280
Freddie Mac Gold Pool G00992
7.00%	11/01/28		315		324
Freddie Mac Gold Pool G01515
5.00%	02/01/33		311,153		315,802
Freddie Mac Gold Pool G02579
5.00%	12/01/34		403,103		412,487
Freddie Mac Gold Pool G02884
6.00%	04/01/37		1,166,575		1,235,776
Freddie Mac Gold Pool G02955
5.50%	03/01/37		1,801,972		1,891,585
Freddie Mac Gold Pool G03357
5.50%	08/01/37		606,588		634,215
Freddie Mac Gold Pool G03676
5.50%	12/01/37		1,064,678		1,117,737
Freddie Mac Gold Pool G03783
5.50%	01/01/38		970,452		1,018,814
Freddie Mac Gold Pool G03985
6.00%	03/01/38		7,243		7,652
Freddie Mac Gold Pool G04438
5.50%	05/01/38		2,729,450		2,862,640
Freddie Mac Gold Pool G04703
5.50%	08/01/38		2,020,108		2,118,684
Freddie Mac Gold Pool G04706
5.50%	09/01/38		84,607		88,735
Freddie Mac Gold Pool G05866
4.50%	02/01/40		8,702,546		8,769,655
Freddie Mac Gold Pool G06361
4.00%	03/01/41		11,985		11,914
Freddie Mac Gold Pool G06498
4.00%	04/01/41		11,389,575		11,234,570
Freddie Mac Gold Pool G06499
4.00%	03/01/41		5,015,107		4,940,387
Freddie Mac Gold Pool G07408
3.50%	06/01/43		12,490,682		12,000,095
Freddie Mac Gold Pool G07786
4.00%	08/01/44		94,695,364		93,106,442
Freddie Mac Gold Pool G07848
3.50%	04/01/44		59,018,335		56,275,965
Freddie Mac Gold Pool G07849
3.50%	05/01/44		7,733,393		7,354,717
Freddie Mac Gold Pool G07924
3.50%	01/01/45		8,618,305		8,204,377

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 206

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G07925
4.00%	02/01/45	$	6,202,362	$	6,121,849
Freddie Mac Gold Pool G08676
3.50%	11/01/45		20,683,068		19,583,170
Freddie Mac Gold Pool G08681
3.50%	12/01/45		13,886,424		13,147,962
Freddie Mac Gold Pool G08698
3.50%	03/01/46		713		674
Freddie Mac Gold Pool G08710
3.00%	06/01/46		83,361,148		76,412,916
Freddie Mac Gold Pool G08711
3.50%	06/01/46		5,874,083		5,544,059
Freddie Mac Gold Pool G08715
3.00%	08/01/46		113,691,751		104,215,434
Freddie Mac Gold Pool G08721
3.00%	09/01/46		11,545,470		10,578,379
Freddie Mac Gold Pool G08722
3.50%	09/01/46		26,426,405		24,941,689
Freddie Mac Gold Pool G08726
3.00%	10/01/46		123,091,064		112,780,514
Freddie Mac Gold Pool G08727
3.50%	10/01/46		23,147,440		21,846,947
Freddie Mac Gold Pool G08732
3.00%	11/01/46		76,035,650		69,666,630
Freddie Mac Gold Pool G08741
3.00%	01/01/47		48,333,888		44,239,954
Freddie Mac Gold Pool G08742
3.50%	01/01/47		36,982,968		34,905,153
Freddie Mac Gold Pool G08747
3.00%	02/01/47		17,046,989		15,603,090
Freddie Mac Gold Pool G08757
3.50%	04/01/47		13,600,134		12,825,735
Freddie Mac Gold Pool G08758
4.00%	04/01/47		10,512		10,257
Freddie Mac Gold Pool G08762
4.00%	05/01/47		10,502,311		10,240,898
Freddie Mac Gold Pool G08779
3.50%	09/01/47		52,553		49,536
Freddie Mac Gold Pool G08784
3.50%	10/01/47		46,334		43,695
Freddie Mac Gold Pool G08792
3.50%	12/01/47		39,804		37,538
Freddie Mac Gold Pool G08826
5.00%	06/01/48		7,165,960		7,258,898
Freddie Mac Gold Pool G08833
5.00%	07/01/48		4,582,569		4,642,003
Freddie Mac Gold Pool G08838
5.00%	09/01/48		2,401,310		2,437,355
Freddie Mac Gold Pool G08840
5.00%	08/01/48		699,350		709,369
Freddie Mac Gold Pool G08843
4.50%	10/01/48		5,465,069		5,430,091
Freddie Mac Gold Pool G08844
5.00%	10/01/48		6,125,293		6,204,734
Freddie Mac Gold Pool G08848
4.50%	11/01/48		980,106		978,313

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08849
5.00%	11/01/48	$	2,439,953	$	2,474,524
Freddie Mac Gold Pool G16085
2.50%	02/01/32		2,495,448		2,358,638
Freddie Mac Gold Pool G16502
3.50%	05/01/33		44,130		43,004
Freddie Mac Gold Pool G16524
3.50%	05/01/33		17,384,732		16,963,014
Freddie Mac Gold Pool G16584
3.50%	08/01/33		2,527,435		2,462,866
Freddie Mac Gold Pool G16607
3.50%	09/01/33		25,175,025		24,570,312
Freddie Mac Gold Pool G16623
2.50%	09/01/32		19,377,629		18,315,380
Freddie Mac Gold Pool G16755
3.50%	02/01/34		24,483,970		23,892,281
Freddie Mac Gold Pool G16756
3.50%	01/01/34		2,305,408		2,250,031
Freddie Mac Gold Pool G18592
3.00%	03/01/31		17,299		16,641
Freddie Mac Gold Pool G18596
3.00%	04/01/31		20,111,906		19,285,340
Freddie Mac Gold Pool G18691
3.00%	06/01/33		7,347,904		7,034,558
Freddie Mac Gold Pool G18692
3.50%	06/01/33		10,029,230		9,787,084
Freddie Mac Gold Pool G18713
3.50%	11/01/33		11,681,588		11,379,506
Freddie Mac Gold Pool G18716
3.50%	12/01/33		34,190		33,369
Freddie Mac Gold Pool G60023
3.50%	04/01/45		9,401,745		8,970,756
Freddie Mac Gold Pool G60080
3.50%	06/01/45		96,276,693		91,652,629
Freddie Mac Gold Pool G60138
3.50%	08/01/45		77,570,065		74,014,145
Freddie Mac Gold Pool G60238
3.50%	10/01/45		29,673,857		28,119,713
Freddie Mac Gold Pool G60344
4.00%	12/01/45		71,501		69,899
Freddie Mac Gold Pool G67700
3.50%	08/01/46		22,598,126		21,386,477
Freddie Mac Gold Pool G67703
3.50%	04/01/47		162,634,600		153,913,614
Freddie Mac Gold Pool G67706
3.50%	12/01/47		94,906,618		89,817,121
Freddie Mac Gold Pool G67707
3.50%	01/01/48		296,083,092		281,006,627
Freddie Mac Gold Pool G67708
3.50%	03/01/48		262,267,576		248,080,044
Freddie Mac Gold Pool G67709
3.50%	03/01/48		194,741,283		184,840,363
Freddie Mac Gold Pool G67711
4.00%	03/01/48		48,272,916		47,161,225
Freddie Mac Gold Pool G67713
4.00%	06/01/48		430,222		420,045

See accompanying Notes to Financial Statements.

207 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G67714
4.00%	07/01/48	$	71,245	$	69,582
Freddie Mac Gold Pool G67717
4.00%	11/01/48		59,525,916		58,117,872
Freddie Mac Gold Pool H00790
5.50%	05/01/37		4,060		4,204
Freddie Mac Gold Pool H05069
5.50%	05/01/37		64,046		66,305
Freddie Mac Gold Pool Q05804
4.00%	01/01/42		20,067,597		19,867,033
Freddie Mac Gold Pool U99097
3.50%	07/01/43		28,078,397		26,663,199
Freddie Mac Gold Pool V62078
3.50%	08/01/33		2,737,104		2,671,199
Freddie Mac Gold Pool V62129
3.50%	08/01/33		5,863,834		5,722,647
Freddie Mac Gold Pool V80356
3.50%	08/01/43		20,045,355		19,152,831
Freddie Mac Pool QD3162
2.00%	12/01/51		142,244,405		117,973,431
Freddie Mac Pool QE0312
2.00%	04/01/52		6,688,457		5,526,990
Freddie Mac Pool QE0521
2.50%	04/01/52		3,072,544		2,651,128
Freddie Mac Pool RA4201
2.00%	12/01/50		8,919,628		7,407,209
Freddie Mac Pool RA6507
2.00%	12/01/51		128,982,945		106,997,312
Freddie Mac Pool RB5077
2.00%	10/01/40		95,931,475		82,051,603
Freddie Mac Pool RE6029
3.00%	02/01/50		3,901,962		3,471,230
Freddie Mac Pool SD1178
2.00%	03/01/52		16,781,753		13,885,870
Freddie Mac Pool SD7502
3.50%	07/01/49		7,129,911		6,744,313
Freddie Mac Pool SD7503
3.50%	08/01/49		15,768,557		14,902,855
Freddie Mac Pool SD7511
3.50%	01/01/50		15,766,233		14,892,037
Freddie Mac Pool SD8182
2.00%	12/01/51		27,300,715		22,580,658
Freddie Mac Pool SD8188
2.00%	01/01/52		49,617,337		41,094,404
Freddie Mac Pool SD8189
2.50%	01/01/52		367,714,193		317,379,746
Freddie Mac Pool SD8193
2.00%	02/01/52		20,586,776		17,034,293
Freddie Mac Pool SD8199
2.00%	03/01/52		185,757,753		153,500,473
Freddie Mac Pool SD8205
2.50%	04/01/52		431,614,633		372,004,910
Freddie Mac Pool ZA5103
3.50%	12/01/47		121,774		114,727
Freddie Mac Pool ZA5128
3.50%	12/01/47		388,018		365,230

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool ZM1779
3.00%	09/01/46	$	12,681,371	$	11,606,452
Freddie Mac Pool ZM2285
3.00%	12/01/46		14,788,357		13,542,229
Freddie Mac Pool ZS4693
3.00%	12/01/46		14,694,290		13,456,088
Freddie Mac Pool ZS4768
3.50%	05/01/48		1,019,581		959,384
Freddie Mac Pool ZT0277
3.50%	10/01/46		1,559,098		1,473,868
Freddie Mac Pool ZT1403
3.50%	11/01/33		13,451,387		13,094,191
Freddie Mac REMICS,
Series 1980, Class Z
7.00%	07/15/27		25,980		26,472
Freddie Mac REMICS,
Series 1983, Class Z
6.50%	12/15/23		1,902		1,905
Freddie Mac REMICS,
Series 2098, Class TZ
6.00%	01/15/28		119,146		120,471
Freddie Mac REMICS,
Series 2174, Class PN
6.00%	07/15/29		7,264		7,388
Freddie Mac REMICS,
Series 2313, Class LA
6.50%	05/15/31		2,733		2,828
Freddie Mac REMICS,
Series 2433, Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
8.75%	02/15/322		4,337		5,248
Freddie Mac REMICS,
Series 2481, Class AW
6.50%	08/15/32		10,116		10,301
Freddie Mac REMICS,
Series 3019, Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
2.52%	08/15/352		622,971		92,774
Freddie Mac REMICS,
Series 3063, Class YG
5.50%	11/15/35		1,627,327		1,679,256
Freddie Mac REMICS,
Series 3300, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
2.52%	08/15/352		275,429		26,959
Freddie Mac REMICS,
Series 3752, Class XL
4.50%	11/15/40		26,658,333		26,716,702
Freddie Mac REMICS,
Series 3891, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
1.27%	07/15/412		3,424,819		113,730
Freddie Mac REMICS,
Series 3904, Class JB
4.50%	08/15/41		6,286,535		6,258,158

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 208

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3925, Class LB
4.50%	09/15/41	$	9,215,000	$	9,330,364
Freddie Mac REMICS,
Series 3928, Class JD
4.00%	09/15/41		18,687,924		18,167,661
Freddie Mac REMICS,
Series 4102, Class TC
2.50%	09/15/41		6,359,649		6,142,436
Freddie Mac REMICS,
Series 4161, Class BA
2.50%	12/15/41		10,070,561		9,664,552
Freddie Mac REMICS,
Series 4656, Class EZ
4.00%	02/15/47		197,622		190,312
Freddie Mac REMICS,
Series 4818, Class CA
3.00%	04/15/48		1,191,292		1,077,974
Freddie Mac REMICS,
Series 4846, Class PA
4.00%	06/15/47		156,391		154,416
Freddie Mac REMICS,
Series 4852, Class CA
4.00%	11/15/47		8,108,762		7,864,081
Freddie Mac REMICS,
Series 4860, Class BH
3.50%	10/15/48		2,722,366		2,630,701
Freddie Mac REMICS,
Series 4860, Class PA
3.50%	02/15/49		2,023,526		1,912,766
Freddie Mac REMICS,
Series 4879, Class BC
3.00%	04/15/49		708,680		662,032
Freddie Mac REMICS,
Series 4896, Class DA
3.00%	01/15/49		877,669		816,612
Freddie Mac REMICS,
Series 4937, Class MF
(LIBOR USD 1-Month plus 0.45%)
5.30%	12/25/492		5,663,201		5,603,975
Freddie Mac Strips,
Series 309, Class PO (PO)
0.00%	08/15/4310		12,139,760		9,289,070
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
5.18%	11/15/432		2,047,612		2,013,894
Ginnie Mae (TBA)
2.50%	04/20/53		686,350,000		604,068,433
2.50%	05/20/53		433,050,000		381,688,863
4.50%	04/20/53		343,875,000		338,840,061
5.00%	04/20/53		159,750,000		159,962,169
Ginnie Mae I Pool 782817
4.50%	11/15/39		9,252,194		9,332,462
Ginnie Mae I Pool AA5452
3.50%	07/15/42		76,585		74,497

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 2631
7.00%	08/20/28	$	829	$	857
Ginnie Mae II Pool 3388
4.50%	05/20/33		1,650		1,648
Ginnie Mae II Pool 3427
4.50%	08/20/33		854		865
Ginnie Mae II Pool 3554
4.50%	05/20/34		736		746
Ginnie Mae II Pool 4058
5.00%	12/20/37		423		437
Ginnie Mae II Pool 4342
5.00%	01/20/39		638		659
Ginnie Mae II Pool 4520
5.00%	08/20/39		11,927		12,298
Ginnie Mae II Pool 5140
4.50%	08/20/41		26,096		26,451
Ginnie Mae II Pool 5175
4.50%	09/20/41		28,390		28,776
Ginnie Mae II Pool 5281
4.50%	01/20/42		8,171		8,282
Ginnie Mae II Pool 783591
4.50%	07/20/41		10,100		10,237
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.63%	07/20/342		6,541		6,449
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.63%	03/20/352		7,601		7,385
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.63%	08/20/352		9,754		9,602
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.75%	10/20/352		9,287		9,133
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.00%	05/20/252		947		939
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.50%	06/20/252		1,042		1,028
Ginnie Mae II Pool MA0627
4.50%	12/20/42		33,276		33,712
Ginnie Mae II Pool MA0701
4.50%	01/20/43		32,372		32,811
Ginnie Mae II Pool MA1157
3.50%	07/20/43		30,984		29,787
Ginnie Mae II Pool MA1997
4.50%	06/20/44		8,222		8,319
Ginnie Mae II Pool MA2374
5.00%	11/20/44		173,855		179,082

See accompanying Notes to Financial Statements.

209 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA2756
4.50%	04/20/45	$	17,235	$	17,437
Ginnie Mae II Pool MA2828
4.50%	05/20/45		718,228		726,672
Ginnie Mae II Pool MA2894
4.50%	06/20/45		281,065		284,367
Ginnie Mae II Pool MA3036
4.50%	08/20/45		27,302		27,623
Ginnie Mae II Pool MA3309
3.00%	12/20/45		5,602		5,187
Ginnie Mae II Pool MA3456
4.50%	02/20/46		180,041		182,147
Ginnie Mae II Pool MA3521
3.50%	03/20/46		20,875,039		19,926,051
Ginnie Mae II Pool MA3524
5.00%	03/20/46		9,127		9,383
Ginnie Mae II Pool MA3597
3.50%	04/20/46		52,548,152		50,142,870
Ginnie Mae II Pool MA3600
5.00%	04/20/46		5,087,506		5,229,322
Ginnie Mae II Pool MA3662
3.00%	05/20/46		2,036,532		1,883,468
Ginnie Mae II Pool MA3663
3.50%	05/20/46		14,979,811		14,294,141
Ginnie Mae II Pool MA3665
4.50%	05/20/46		76,689		77,267
Ginnie Mae II Pool MA3666
5.00%	05/20/46		2,834,312		2,913,939
Ginnie Mae II Pool MA3738
4.50%	06/20/46		320,306		322,720
Ginnie Mae II Pool MA3739
5.00%	06/20/46		1,721,256		1,769,529
Ginnie Mae II Pool MA3805
4.50%	07/20/46		2,490,956		2,509,727
Ginnie Mae II Pool MA3806
5.00%	07/20/46		132,525		136,246
Ginnie Mae II Pool MA3873
3.00%	08/20/46		15,622,730		14,429,008
Ginnie Mae II Pool MA3876
4.50%	08/20/46		2,767,354		2,788,209
Ginnie Mae II Pool MA3877
5.00%	08/20/46		571,324		588,011
Ginnie Mae II Pool MA3937
3.50%	09/20/46		12,057,837		11,494,610
Ginnie Mae II Pool MA3939
4.50%	09/20/46		1,551,158		1,573,857
Ginnie Mae II Pool MA4003
3.00%	10/20/46		6,277,354		5,797,706
Ginnie Mae II Pool MA4006
4.50%	10/20/46		1,629,484		1,641,764
Ginnie Mae II Pool MA4007
5.00%	10/20/46		3,108,083		3,195,171
Ginnie Mae II Pool MA4069
3.50%	11/20/46		37,565,204		35,810,519
Ginnie Mae II Pool MA4071
4.50%	11/20/46		4,429,546		4,475,599

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4072
5.00%	11/20/46	$	983,182	$	1,010,785
Ginnie Mae II Pool MA4126
3.00%	12/20/46		107,919,049		99,639,305
Ginnie Mae II Pool MA4127
3.50%	12/20/46		42,414,667		40,433,461
Ginnie Mae II Pool MA4129
4.50%	12/20/46		15,308,415		15,477,010
Ginnie Mae II Pool MA4196
3.50%	01/20/47		9,799		9,335
Ginnie Mae II Pool MA4198
4.50%	01/20/47		121,557		122,473
Ginnie Mae II Pool MA4199
5.00%	01/20/47		2,779,500		2,857,592
Ginnie Mae II Pool MA4264
4.50%	02/20/47		34,668,101		34,982,358
Ginnie Mae II Pool MA4265
5.00%	02/20/47		639,315		657,270
Ginnie Mae II Pool MA4324
5.00%	03/20/47		3,559,911		3,669,100
Ginnie Mae II Pool MA4382
3.50%	04/20/47		24,002,090		22,865,941
Ginnie Mae II Pool MA4384
4.50%	04/20/47		1,465,317		1,474,528
Ginnie Mae II Pool MA4385
5.00%	04/20/47		6,005,043		6,160,568
Ginnie Mae II Pool MA4453
4.50%	05/20/47		76,965,458		76,958,463
Ginnie Mae II Pool MA4454
5.00%	05/20/47		13,237,708		13,501,025
Ginnie Mae II Pool MA4510
3.50%	06/20/47		32,987		31,395
Ginnie Mae II Pool MA4511
4.00%	06/20/47		4,703,985		4,596,721
Ginnie Mae II Pool MA4512
4.50%	06/20/47		267,704		267,679
Ginnie Mae II Pool MA4513
5.00%	06/20/47		250,619		255,108
Ginnie Mae II Pool MA4586
3.50%	07/20/47		39,342,685		37,455,794
Ginnie Mae II Pool MA4588
4.50%	07/20/47		42,463		42,677
Ginnie Mae II Pool MA4589
5.00%	07/20/47		11,369,325		11,656,673
Ginnie Mae II Pool MA4652
3.50%	08/20/47		2,977,418		2,834,620
Ginnie Mae II Pool MA4655
5.00%	08/20/47		13,639,814		13,911,129
Ginnie Mae II Pool MA4719
3.50%	09/20/47		37,196,130		35,412,189
Ginnie Mae II Pool MA4720
4.00%	09/20/47		92,268		90,392
Ginnie Mae II Pool MA4722
5.00%	09/20/47		264,900		271,347
Ginnie Mae II Pool MA4781
5.00%	10/20/47		3,157,647		3,237,453

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 210

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4836
3.00%	11/20/47	$	84,094,726	$	77,590,268
Ginnie Mae II Pool MA4837
3.50%	11/20/47		92,530,819		88,035,172
Ginnie Mae II Pool MA4838
4.00%	11/20/47		30,953,895		30,245,159
Ginnie Mae II Pool MA4840
5.00%	11/20/47		1,008,282		1,026,301
Ginnie Mae II Pool MA4900
3.50%	12/20/47		5,954,647		5,665,338
Ginnie Mae II Pool MA4901
4.00%	12/20/47		20,629,287		20,156,949
Ginnie Mae II Pool MA4961
3.00%	01/20/48		287,985		266,582
Ginnie Mae II Pool MA4963
4.00%	01/20/48		34,378,926		33,591,770
Ginnie Mae II Pool MA5078
4.00%	03/20/48		52,154		50,964
Ginnie Mae II Pool MA5137
4.00%	04/20/48		11,095,406		10,827,435
Ginnie Mae II Pool MA5399
4.50%	08/20/48		2,516,914		2,514,403
Ginnie Mae II Pool MA5466
4.00%	09/20/48		4,547,436		4,434,767
Ginnie Mae II Pool MA5467
4.50%	09/20/48		23,345		23,280
Ginnie Mae II Pool MA5528
4.00%	10/20/48		20,857,777		20,337,157
Ginnie Mae II Pool MA5530
5.00%	10/20/48		3,782,874		3,840,654
Ginnie Mae II Pool MA5651
4.00%	12/20/48		7,498		7,272
Ginnie Mae II Pool MA6030
3.50%	07/20/49		8,552,399		7,904,359
Ginnie Mae II Pool MA6080
3.00%	08/20/49		1,732		1,538
Ginnie Mae II Pool MA6081
3.50%	08/20/49		3,476,112		3,212,717
Ginnie Mae II Pool MA6209
3.00%	10/20/49		3,318,439		2,947,697
Ginnie Mae II Pool MA6210
3.50%	10/20/49		1,613,151		1,490,917
Ginnie Mae,
Series 2003-86, Class ZK
5.00%	10/20/33		3,336,240		3,402,489
Ginnie Mae,
Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
2.02%	06/16/372		6,467,193		825,294
Ginnie Mae,
Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
1.49%	03/20/362		5,642,205		201,722

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
2.04%	05/20/372	$	14,031,908	$	659,514
Ginnie Mae,
Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
1.72%	12/20/392		2,222,313		259,123
Ginnie Mae,
Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
2.07%	07/16/392		15,493		692
Ginnie Mae,
Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
1.57%	08/16/382		14,482		167
Ginnie Mae,
Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
1.67%	01/16/402		29,120		3,212
Ginnie Mae,
Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
1.07%	01/16/402		5,294,524		519,649
Ginnie Mae,
Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
1.77%	09/16/392		312,490		2,555
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%	11/16/41		72,036		13,000
Ginnie Mae,
Series 2014-108, Class PA
2.63%	12/20/39		4,983,756		4,746,997
Ginnie Mae,
Series 2018-124, Class NW
3.50%	09/20/48		703,164		669,112
Ginnie Mae,
Series 2019-1, Class NP
3.50%	01/20/49		6,366,298		6,142,622
Ginnie Mae,
Series 2019-119, Class JE
3.00%	09/20/49		4,672,450		4,291,016
Ginnie Mae,
Series 2019-15, Class GT
3.50%	02/20/49		7,501,056		7,044,212
Ginnie Mae,
Series 2019-44, Class CA
3.50%	12/20/48		587,294		571,095
Ginnie Mae,
Series 2019-71, Class PT
3.00%	06/20/49		774,939		720,070
Ginnie Mae,
Series 2019-86, Class C
2.50%	03/20/49		10,162,681		8,842,725

See accompanying Notes to Financial Statements.

211 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2019-90, Class HE
3.00%		07/20/49	$	6,819,595	$	6,188,219
UMBS (TBA)
2.00%		05/01/53		3,182,750,000		2,633,785,874
2.50%		05/01/53		2,390,750,000		2,063,330,835
3.00%		05/01/53		1,435,900,000		1,289,337,902
3.50%		05/01/53		770,625,000		716,327,356
4.00%		05/01/53		1,404,500,000		1,344,150,601
4.50%		04/15/53		1,184,650,000		1,160,693,143
4.50%		05/01/53		606,325,000		594,264,177
5.00%		04/01/53		2,010,550,000		2,005,366,561
5.00%		05/01/53		83,275,000		83,044,042
5.50%		04/01/53		1,404,350,000		1,418,640,343
						24,298,566,413
Total Mortgage-Backed (Cost $34,576,119,513)						32,903,883,030
MUNICIPAL BONDS — 0.57%*
California — 0.21%
California State University Revenue Bonds, University & College Improvements, Series B
2.14%		11/01/33		14,500,000		11,414,700
2.27%		11/01/34		23,510,000		18,892,233
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E
2.83%		11/01/41		4,285,000		3,318,596
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
5.00%		05/15/44		185,000		192,957
Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements, Series C
5.52%		07/01/27		12,625,000		13,174,061
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N
3.01%		05/15/50		47,945,000		33,748,397
3.26%		05/15/60		34,700,000		24,047,694
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP
3.93%		05/15/45		28,565,000		26,346,057
						131,134,695
Colorado — 0.04%
City & County of Denver Airport System Revenue Bonds, Series C
2.39%		11/15/31		6,010,000		5,059,828
2.52%		11/15/32		8,450,000		7,067,127
2.62%		11/15/33		9,000,000		7,473,335
2.72%		11/15/34		5,000,000		4,130,306
						23,730,596

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
New Jersey — 0.00%
Jersey City Municipal Utilities Authority Revenue Bonds, Water Utility Improvements, Series B
5.47%		05/15/27	$	295,000	$	301,453
New Jersey Turnpike Authority Revenue Bonds, Highway Revenue, Series F
3.73%		01/01/36		300,000		272,923
						574,376
New York — 0.30%
City of New York General Obligation Bonds, Public Improvements
4.77%		10/01/23		4,420,000		4,414,105
5.21%		10/01/31		6,420,000		6,645,240
City of New York General Obligation Bonds, Public Improvements, Series A
3.00%		08/01/34		15,185,000		12,964,824
City of New York General Obligation Bonds, Public Improvements, Series F
3.62%		04/01/31		3,145,000		2,952,613
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%		11/15/49		13,145,000		11,819,788
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
5.51%		08/01/37		23,125,000		24,075,463
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series A2
2.15%		05/01/25		430,000		409,098
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series B3
2.00%		08/01/35		4,055,000		2,967,983
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D
2.40%		11/01/32		12,135,000		9,882,793
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33		3,090,000		2,398,987
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries C5
3.90%		05/01/31		15,000,000		14,196,752
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI
4.00%		08/01/33		6,450,000		5,997,768
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries SU
3.88%		08/01/31		3,135,000		2,956,618
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3
5.27%		05/01/27		13,135,000		13,495,934
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series F, Subseries F-3
5.13%		02/01/35		1,250,000		1,268,901
5.15%		02/01/36		1,250,000		1,266,423

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 212

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series G
2.45%	11/01/34	$	3,000,000	$	2,276,979
New York State Dormitory Authority Revenue Bonds, Series C
1.95%	03/15/29		7,895,000		6,834,273
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%	03/15/33		44,990,000		46,113,252
5.43%	03/15/39		21,300,000		21,894,543
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series A
4.00%	03/15/47		155,000		150,263
New York State Urban Development Corp. Revenue Bonds, Public Improvements
5.77%	03/15/39		150,000		158,224
					195,140,824
Texas — 0.02%
North Texas Tollway Authority Revenue Bonds
2.33%	01/01/33		765,000		630,571
2.43%	01/01/34		10,000,000		8,157,108
2.53%	01/01/35		8,000,000		6,473,409
Texas A&M University Revenue Bonds, University & College Improvements, Series B
2.69%	05/15/25		350,000		338,420
					15,599,508
Total Municipal Bonds (Cost $435,502,105)					366,179,999
U.S. TREASURY SECURITIES — 24.22%
U.S. Treasury Bonds — 9.82%
U.S. Treasury Bonds
2.00%	11/15/41		2,595,308,000		1,960,196,943
2.38%	02/15/42		1,858,804,000		1,495,320,696
3.63%	02/15/53		1,476,231,000		1,465,620,590
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%	10/15/2711		451,483,955		460,467,709
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds (WI)
1.13%	01/15/3311		488,487,876		487,659,992
U.S. Treasury Bonds (WI)
3.88%	02/15/43		423,487,000		427,233,166
					6,296,499,096
U.S. Treasury Notes — 14.40%
U.S. Treasury Notes
3.50%	02/15/33		250,069,000		250,479,268
3.63%	03/31/28		2,881,148,000		2,886,437,615
3.88%	03/31/25		1,420,416,000		1,416,226,881
4.00%	02/29/28		2,133,984,000		2,172,995,895
4.63%	02/28/25		1,023,421,000		1,033,435,338

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
4.63%		03/15/26	$	1,442,527,000	$	1,475,490,992
						9,235,065,989
Total U.S. Treasury Securities (Cost $15,974,135,921)						15,531,565,085
Total Bonds — 113.37% (Cost $76,726,706,032)						72,685,930,801
Issues			Shares		Value
COMMON STOCK — 0.10%
Communications — 0.10%
Intelsat Emergence SA3,5,6 (Luxembourg)				2,394,859		62,266,334
Electric — 0.00%
Homer City Holdings LLC†,5,6,12				1,180,703		—
Total Common Stock (Cost $145,415,216)						62,266,334
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A†,3,5,6,9
(Luxembourg)				250,803		—
Intelsat Jackson Holdings SA, Series B†,3,5,6,9
(Luxembourg)				250,803		—
						—
Total Rights (Cost $–)						—
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 8.63%
Money Market Funds — 2.05%
Dreyfus Government Cash Management Fund
4.71%13				210,000		210,000
Fidelity Investments Money Market Funds - Government Portfolio
4.72%13,14				14,490,974		14,490,974
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%13				1,300,338,000		1,300,338,000
						1,315,038,974
U.S. Agency Discount Notes — 1.15%
Federal Home Loan Bank
4.66%15		04/26/23		250,000,000		249,255,138
5.05%15		07/25/23		500,000,000		492,681,005
						741,936,143
U.S. Treasury Bills — 5.43%
U.S. Treasury Bills
4.53%15		05/18/23		260,000,000		258,505,910

See accompanying Notes to Financial Statements.

213 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
4.58%15	06/01/23	$	250,000,000	$	248,137,700
4.71%15	07/20/23		750,000,000		739,717,237
4.75%15	08/03/23		796,717,000		784,013,571
5.17%15	08/24/23		16,275,000		15,971,963
5.07%15	08/31/23		707,590,000		693,933,195
U.S. Treasury Bills (WI)
4.73%15	07/18/23		750,000,000		739,725,727
					3,480,005,303
Total Short-Term Investments
(Cost $5,534,633,966)					5,536,980,420
Total Investments - 122.10%
(Cost $82,406,755,214)					78,285,177,555
Net unrealized depreciation on unfunded commitments - 0.00%					(4,746	)
Liabilities in Excess of Other Assets - (22.10)%					(14,168,626,346	)
Net Assets - 100.00%				$	64,116,546,463

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

²  Floating rate security. The rate disclosed was in effect at March 31, 2023.

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 $474,836,296, which is 0.74% 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 $819,903, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is not accruing an unused commitment fee.

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

⁹  Non-income producing security.

¹⁰  Zero coupon bond. The rate shown is the effective yield as of March 31, 2023.

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

¹²  Affiliated investment.

¹³  Represents the current yield as of March 31, 2023.

¹⁴  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $11,647,846.

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.

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

(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

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

(WI): When Issued

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 214

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
EUR 5,519,000		USD 5,995,929		Citibank N.A.		04/13/23	$	4,559
EUR 1,860,000		USD 2,010,119		State Street Global Markets LLC		04/13/23		12,150
EUR 920,000		USD 986,445		Barclays Bank PLC		04/13/23		13,818
EUR 1,360,000		USD 1,466,529		The Bank of New York Mellon		04/13/23		12,120
GBP 35,728,000		USD 42,946,510		Goldman Sachs International		04/13/23		1,241,262
USD 2,226,657		EUR 2,038,000		Bank of America N.A.		04/13/23		10,858
								1,294,767
USD 843,058,604		EUR 780,062,000		Citibank N.A.		04/13/23		(5,057,418)
USD 50,582,295		EUR 47,572,000		Goldman Sachs International		04/13/23		(1,139,973)
USD 58,497,926		EUR 55,194,000		The Bank of New York Mellon		04/13/23		(1,511,298)
USD 71,540,910		EUR 66,850,000		Barclays Bank PLC		04/13/23		(1,141,205)
USD 65,869,002		EUR 61,238,000		State Street Global Markets LLC		04/13/23		(711,512)
USD 177,289,470		GBP 145,220,000		Goldman Sachs International		04/13/23		(2,316,111)
USD 7,792,624		GBP 6,345,000		Barclays Bank PLC		04/13/23		(54,762)
USD 2,956,444		GBP 2,464,000		Citibank N.A.		04/13/23		(90,988)
USD 2,375,391		GBP 1,987,000		State Street Global Markets LLC		04/13/23		(82,096)
								(12,105,363)
NET UNREALIZED DEPRECIATION							$	(10,810,596)

Description	Number ofContracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		85,334		06/30/23	$	17,617,471,054	$	137,980,585	$	137,980,585
U.S. Treasury Ultra Bond		4,928		06/21/23		695,464,000		28,019,879		28,019,879
U.S. Treasury Five-Year Note		3,158		06/30/23		345,825,673		3,643,111		3,643,111
						18,658,760,727		169,643,575		169,643,575
FUTURES CONTRACTS: SHORT POSITIONS
Euro-Bobl Future		3,568		06/08/23		(456,956,350)		(5,985,731)		(5,985,731)
Euro-Bund Future		2,716		06/08/23		(400,836,427)		(13,917,018)		(13,917,018)
U.S. Treasury Ten-Year Ultra Bond		2,233		06/21/23		(270,507,016)		3,940,844		3,940,844
Euro-Buxl 30 Year		621		06/08/23		(95,036,192)		(1,728,099)		(1,728,099)
						(1,223,335,985)		(17,690,004)		(17,690,004)
TOTAL FUTURES CONTRACTS					$	17,435,424,742	$	151,953,571	$	151,953,571

See accompanying Notes to Financial Statements.

215 / Annual Report March 2023

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Reference Obligation/Index	FinancingRate Paid by the Fund			PaymentFrequency		ImpliedCreditSpread at03/31/231		Counterparty		ExpirationDate		NotionalAmount(000’s)2		Value3		PremiumsPaid		UnrealizedAppreciation
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	$	20,000	$	201,952	$	144,841	$	57,111
									Credit Suisse
Berry Global, Inc., 5.63%, due									First Boston
07/15/27		5.00	%		3 Months		175		International		12/20/23		60,665		1,499,030		1,343,969		155,061
TOTAL														$	1,700,982		$1,488,810	$	212,172

¹  An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

²  The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³  The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴  If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

			Received by theFund			Paid by the Fund
Description	Maturity Date		Rate		Frequency	Rate	Frequency		Notional Amount (000’s)		Value		Premiums (Received)		Unrealized (Depreciation)
SWAPS: INTEREST RATE
Interest Rate Swap1		09/20/53		USD-SOFR- COMPOUND	Annual	3.00%		Annual	$	220,666	$	(4,977,387)	$	—	$	(4,977,387)
Interest Rate Swap1		09/20/53		USD-SOFR- COMPOUND	Annual	3.00%		Annual		236,956		(5,344,827)		—		(5,344,827)
Interest Rate Swap1		06/16/53		GBP-SONIA-OIS	Annual	3.25%		Annual		38,960		(694,839)		(614,998)		(79,841)
TOTAL SWAPS CONTRACTS									$	496,582	$	(11,017,053)	$	(614,998)	$	(10,402,055)
1 Centrally cleared.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 216

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Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
BONDS – 106.72%
ASSET-BACKED SECURITIES — 6.72%**
AmeriCredit Automobile Receivables Trust,
Series 2022-2, Class C
5.32%	04/18/28	$	630,000	$	628,841
AMMC CLO XI Ltd.,
Series 2012-11A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.01%)
5.81%	04/30/311,2,3		250,000		246,532
Canyon Capital CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.59%	04/15/341,2,3		175,000		174,662
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
5.47%	04/25/352		214,269		213,457
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
6.01%	05/25/341,2		14,969		14,960
JPMorgan Chase Bank N.A. - CACLN,
Series 2021-3, Class D
1.01%	02/26/291		301,734		284,490
LCM 29 Ltd.,
Series 29A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.59%	04/15/311,2,3		340,909		338,782
Navient Private Education Refi Loan Trust,
Series 2021-CA, Class A
1.06%	10/15/691		1,021,106		892,272
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
5.45%	10/27/361,2		190,805		185,240
Octagon Investment Partners XIV Ltd.,
Series 2012-1A, Class AARR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
5.74%	07/15/291,2,3		646,535		641,834
OHA Credit Funding 2 Ltd.,
Series 2019-2A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.62%	04/21/341,2,3		31,250		31,233
Palmer Square Loan Funding Ltd.,
Series 2020-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.48%	02/20/281,2,3		248,351		246,824
Palmer Square Loan Funding Ltd.,
Series 2021-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
5.72%	05/20/291,2,3		476,235		469,820

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Progress Residential Trust,
Series 2019-SFR3, Class E
3.37%	09/17/361	$	325,000	$	309,622
Progress Residential Trust,
Series 2019-SFR4, Class G
3.93%	10/17/361		755,000		723,278
Progress Residential Trust,
Series 2020-SFR2, Class A
2.08%	06/17/371		882,909		822,974
Santander Drive Auto Receivables Trust,
Series 2021-1, Class D
1.13%	11/16/26		990,000		941,623
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
5.40%	06/25/432		89,724		86,802
Tricon American Homes Trust,
Series 2017-SFR2, Class A
2.93%	01/17/361		954,050		932,367
Total Asset-Backed Securities (Cost $8,449,645)					8,185,613
CORPORATES — 23.18%*
Banking — 6.09%
Bank of America Corp.
1.73%	07/22/274		150,000		134,549
Bank of America Corp.
(MTN)
1.32%	06/19/264		770,000		705,472
3.82%	01/20/284		985,000		942,035
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		485,000		412,250
2.13%	10/13/263,4		100,000		99,518
2.59%	09/11/251,3,4		365,000		339,217
3.80%	06/09/233		580,000		570,087
6.37%	07/15/261,3,4		140,000		136,536
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,4		390,000		364,241
HSBC Holdings PLC
(United Kingdom)
(LIBOR USD 3-Month plus 1.00%)
5.92%	05/18/242,3		795,000		792,087
ING Groep NV
(Netherlands)
3.87%	03/28/263,4		510,000		493,533
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,4		125,000		111,015
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,4		850,000		792,578
Santander UK Group Holdings PLC
(United Kingdom)
4.80%	11/15/243,4		425,000		419,213

See accompanying Notes to Financial Statements.

217 / Annual Report March 2023

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co.
(MTN)
2.16%		02/11/264	$	1,180,000	$	1,110,799
						7,423,130
Communications — 1.50%
Qwest Corp.
7.25%		09/15/25		400,000		372,000
SES SA
(Luxembourg)
3.60%		04/04/231,3		600,000		600,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
5.15%		03/20/281		200,000		198,824
T-Mobile USA, Inc.
2.25%		02/15/26		700,000		653,333
						1,824,157
Consumer Discretionary — 0.91%
Imperial Brands Finance PLC
(United Kingdom)
6.13%		07/27/271,3		135,000		138,587
Reynolds American, Inc.
4.85%		09/15/23		600,000		599,471
WarnerMedia Holdings, Inc.
3.76%		03/15/271		400,000		376,995
						1,115,053
Diversified REITs — 0.75%
Digital Euro Finco LLC
2.63%		04/15/24		385,000		408,833
VICI Properties LP/VICI Note Co., Inc.
4.63%		06/15/251		230,000		222,497
5.75%		02/01/271		285,000		280,871
						912,201
Electric — 1.87%
Alliant Energy Finance LLC
3.75%		06/15/231		725,000		722,612
American Electric Power Co., Inc.
2.03%		03/15/24		620,000		601,414
Eversource Energy
2.90%		03/01/27		350,000		327,266
Metropolitan Edison Co.
4.00%		04/15/251		500,000		477,486
Pennsylvania Electric Co.
4.15%		04/15/251		150,000		145,315
						2,274,093
Energy — 1.83%
Energy Transfer LP
5.95%		12/01/25		900,000		915,021
Plains All American Pipeline LP/PAA Finance Corp.
4.50%		12/15/26		350,000		342,899

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Southern Co. Gas Capital Corp.
3.88%		11/15/25	$	1,000,000	$	973,848
						2,231,768
Finance — 4.97%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
2.45%		10/29/263		400,000		359,160
Air Lease Corp.
3.63%		04/01/27		400,000		370,731
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/271,3		383,000		324,432
Capital One Financial Corp.
1.34%		12/06/244		610,000		588,557
Citigroup, Inc.
3.67%		07/24/284		1,490,000		1,413,877
Goldman Sachs Group, Inc. (The)
1.22%		12/06/23		545,000		529,798
JPMorgan Chase & Co.
0.82%		06/01/254		125,000		118,554
1.04%		02/04/274		150,000		133,929
2.95%		02/24/284		1,085,000		1,008,281
Morgan Stanley
0.99%		12/10/264		855,000		762,658
Morgan Stanley
(GMTN)
1.51%		07/20/274		300,000		266,443
UBS Group AG
(Switzerland)
1.36%		01/30/271,3,4		200,000		175,810
						6,052,230
Health Care — 0.95%
Amgen, Inc.
5.15%		03/02/28		390,000		398,500
HCA, Inc.
5.38%		02/01/25		500,000		500,255
5.88%		02/15/26		250,000		253,950
						1,152,705
Industrials — 0.78%
Amcor Flexibles North America, Inc.
4.00%		05/17/25		400,000		392,555
Berry Global, Inc.
5.50%		04/15/281		300,000		299,243
Boeing Co. (The)
1.43%		02/04/24		125,000		120,843
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
5.19%		05/05/262		142,000		140,269
						952,910
Information Technology — 1.11%
Netflix, Inc.
3.63%		06/15/251		490,000		476,219

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 218

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
Oracle Corp.
5.80%		11/10/25	$	300,000	$	307,617
VMware, Inc.
1.00%		08/15/24		610,000		575,107
						1,358,943
Insurance — 1.53%
Athene Global Funding
2.51%		03/08/241		135,000		131,101
(SOFR Index plus 0.70%)
5.46%		05/24/241,2		500,000		495,485
Nationwide Mutual Insurance Co.
7.16%		12/15/241,4		670,000		667,430
Trinity Acquisition PLC
(United Kingdom)
4.63%		08/15/233		570,000		568,115
						1,862,131
Materials — 0.20%
International Flavors & Fragrances, Inc.
1.83%		10/15/271		290,000		246,007
Services — 0.33%
Global Payments, Inc.
2.15%		01/15/27		455,000		403,150
Specialized REITs — 0.36%
Extra Space Storage LP
5.70%		04/01/28		245,000		246,807
Life Storage LP
3.88%		12/15/27		205,000		194,141
						440,948
Total Corporates
(Cost $28,721,007)						28,249,426
MORTGAGE-BACKED — 39.52%**
Non-Agency Commercial Mortgage-Backed — 3.76%
Commercial Mortgage Trust,
Series 2013-CR9, Class ASB
3.83%		07/10/45		11,249		11,212
FS Rialto,
Series 2019-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.20%)
5.93%		12/16/361,2,3		378,813		375,931
Great Wolf Trust,
Series 2019-WOLF, Class A
(CME Term SOFR 1-Month plus 1.15%)
5.98%		12/15/361,2		850,000		831,085
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%		05/15/481		21,181		21,147
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C26, Class A3
3.23%		01/15/48		244,921		234,988

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
KKR Industrial Portfolio Trust,
Series 2021-KDIP, Class A
(CME Term SOFR 1-Month plus 0.66%)
5.49%		12/15/371,2	$	568,075	$	551,179
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
6.47%		11/15/351,2		319,005		319,450
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XA (IO)
0.66%		10/15/464		1,791,636		1,186
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C15, Class A3
3.77%		04/15/47		32,726		32,613
MSCG Trust,
Series 2018-SELF, Class A
(LIBOR USD 1-Month plus 0.90%)
5.59%		10/15/371,2		1,188,033		1,163,269
Wells Fargo Commercial Mortgage Trust,
Series 2017-SMP, Class A
(LIBOR USD 1-Month plus 0.88%)
5.56%		12/15/341,2		1,100,000		1,037,321
						4,579,381
Non-Agency Mortgage-Backed — 11.01%
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 05/25/23)
7.40%		06/25/32		10,980		10,659
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
4.11%		05/25/354		19,288		18,609
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 04/25/23)
2.86%		07/25/591		151,572		143,909
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%		11/25/31		16,696		16,404
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R10, Class M3
(LIBOR USD 1-Month plus 0.68%)
5.52%		01/25/362		504,713		491,797
Ameriquest Mortgage Securities, Inc., Asset-Backed
Pass - Through Certificates,
Series 2005-R9, Class M1
(LIBOR USD 1-Month plus 0.71%)
5.55%		11/25/352		652,876		639,522
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%		06/25/32		2,552		2,533
Bear Stearns ALT-A Trust,
Series 2005-2, Class 1M1
(LIBOR USD 1-Month plus 0.75%)
5.60%		03/25/352		85,149		84,409

See accompanying Notes to Financial Statements.

219 / Annual Report March 2023

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Asset-Backed Securities Trust,
Series 2006-2, Class M5
(LIBOR USD 1-Month plus 2.03%)
6.87%	07/25/362	$	452,666	$	450,470
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
6.20%	10/25/371,2		410,411		408,909
Citigroup Mortgage Loan Trust,
Series 2007-AMC4, Class A2D
(LIBOR USD 1-Month plus 0.27%)
5.12%	05/25/372		172,920		168,268
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH4, Class M2
(LIBOR USD 1-Month plus 0.44%)
5.28%	11/25/362		552,247		539,032
Countrywide Asset-Backed Certificates Trust,
Series 2005-4, Class MV5
(LIBOR USD 1-Month plus 1.01%)
5.85%	10/25/352		611,081		601,029
Credit Suisse First Boston Mortgage Securities
Corp., Series 2002-AR31, Class 4A2
4.25%	11/25/324		15,709		15,102
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.74%)
5.50%	07/19/442		71,885		62,983
Encore Credit Receivables Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.90%)
5.75%	10/25/352		886,163		855,412
First Franklin Mortgage Loan Trust,
Series 2005-FF8, Class M2
(LIBOR USD 1-Month plus 0.78%)
5.63%	09/25/352		535,580		529,659
First Franklin Mortgage Loan Trust,
Series 2006-FF11, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
5.11%	08/25/362		284,564		283,609
First Franklin Mortgage Loan Trust,
Series 2006-FFH1, Class M1
(LIBOR USD 1-Month plus 0.56%)
5.40%	01/25/362		643,420		608,045
GE Mortgage Services LLC,
Series 1998-HE1, Class A7
6.47%	06/25/28		1		1
GSAMP Trust,
Series 2005-HE5, Class M3
(LIBOR USD 1-Month plus 0.69%)
5.54%	11/25/352		214,382		210,259
HSI Asset Securitization Corp. Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.54%)
5.39%	12/25/352		55,959		55,300

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HSI Asset Securitization Corp. Trust,
Series 2006-OPT2, Class M2
(LIBOR USD 1-Month plus 0.59%)
5.43%	01/25/362	$	393,753	$	382,131
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
5.63%	12/25/342		240,650		185,812
IndyMac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
4.14%	10/25/344		71,466		63,436
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class A5
(LIBOR USD 1-Month plus 0.24%)
5.09%	05/25/372		1,242,741		1,230,819
JPMorgan Mortgage Trust,
Series 2005-A2, Class 9A1
4.13%	04/25/354		66,691		62,462
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
4.06%	10/25/344		24,068		22,607
MASTR Adjustable Rate Mortgages Trust,
Series 2007-1, Class I2A1
(LIBOR USD 1-Month plus 0.32%)
5.17%	01/25/472		286,345		278,033
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.22%	10/25/324		16,760		15,871
Merrill Lynch Mortgage Investors Trust,
Series 2003-A1, Class 2A
(LIBOR USD 12-Month plus 1.63%)
7.32%	12/25/322		127,793		119,115
MortgageIT Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
5.49%	02/25/352		406,136		382,665
Nomura Resecuritization Trust,
Series 2014-8R, Class 2A1
3.00%	09/26/351,4		26,190		26,146
Nomura Resecuritization Trust,
Series 2015-9R, Class 2A1 (STEP-reset date 05/26/23)
3.00%	05/25/361		57,301		56,835
Ownit Mortgage Loan Trust,
Series 2006-3, Class A2D
(LIBOR USD 1-Month plus 0.54%)
5.39%	03/25/372		560,790		521,399
Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates,
Series 2004-WHQ2, Class M4
(LIBOR USD 1-Month plus 1.58%)
6.42%	02/25/352		346,981		332,408
Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates,
Series 2005-WHQ3, Class M4
(LIBOR USD 1-Month plus 0.95%)
5.79%	06/25/352		78,049		77,316

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 220

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
PRPM LLC,
Series 2021-3, Class A1 (STEP-reset date 04/25/23)
1.87%		04/25/261	$	265,485	$	247,675
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%)
5.34%		04/25/362		309,294		301,590
Residential Asset Securities Corp.,
Series 2006-KS5, Class A4
(LIBOR USD 1-Month plus 0.26%)
5.11%		07/25/362		627,453		620,285
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.53%		12/25/344		53,760		44,155
Soundview Home Loan Trust,
Series 2005-4, Class M2
(LIBOR USD 1-Month plus 0.71%)
5.55%		03/25/362		24,519		24,524
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
5.52%		06/25/352		619,364		595,911
Structured Asset Investment Loan Trust,
Series 2005-HE3, Class M1
(LIBOR USD 1-Month plus 0.72%)
5.57%		09/25/352		162,807		158,987
Structured Asset Securities Corp. Mortgage Loan
Trust, Series 2006-EQ1A, Class A1
(LIBOR USD 1-Month plus 0.14%)
4.98%		07/25/361,2		108,348		107,556
Structured Asset Securities Corp. Mortgage Loan
Trust, Series 2006-OPT1, Class A1
(LIBOR USD 1-Month plus 0.18%)
5.03%		04/25/362		293,656		287,967
Terwin Mortgage Trust,
Series 2006-5, Class 1A2B
(LIBOR USD 1-Month plus 0.42%)
5.27%		07/25/371,2		511,348		496,044
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/341,5,6		998,421		11,884
Towd Point Mortgage Trust,
Series 2019-MH1, Class A1
3.00%		11/25/581,4		464,862		457,520
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative
Average plus 1.40%)
4.54%		06/25/422		8,870		7,911
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
3.43%		06/25/334		25,309		23,150

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
5.35%		06/25/352	$	84,211	$	70,587
						13,420,314
U.S. Agency Commercial Mortgage-Backed — 2.15%
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ28, Class A1
1.77%		02/25/25		2,890		2,890
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KJ29, Class A1
0.74%		01/25/26		214,369		205,852
Freddie Mac Multifamily Structured
Pass-Through Certificates,
Series KJ31, Class A1
0.57%		05/25/26		135,115		129,406
Freddie Mac Multifamily Structured
Pass-Through Certificates,
Series KJ32, Class A1
0.52%		06/25/25		247,636		235,877
Freddie Mac Multifamily Structured
Pass-Through Certificates,
Series KJ34, Class A1
0.68%		06/25/26		299,735		277,421
Freddie Mac Multifamily Structured
Pass-Through Certificates,
Series KS07, Class X (IO)
0.62%		09/25/254		3,352,373		46,946
Freddie Mac Multifamily Structured
Pass-Through Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
4.20%		05/25/442		108,389		107,728
Freddie Mac Multifamily Structured
Pass-Through Certificates,
Series Q010, Class APT1
4.34%		04/25/464		55,563		55,317
Ginnie Mae,
Series 2008-92, Class E
5.56%		03/16/444		95,812		94,681
Ginnie Mae,
Series 2010-159, Class D
4.56%		09/16/444		119,689		117,398
Ginnie Mae,
Series 2011-165, Class IO (IO)
0.00%		10/16/514		2,121,567		21
Ginnie Mae,
Series 2011-92, Class C
3.73%		04/16/524		912,533		873,360
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.34%		01/16/534		1,632,715		14,977

See accompanying Notes to Financial Statements.

221 / Annual Report March 2023

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2014-157, Class C
3.15%		10/16/544	$	470,080	$	456,750
						2,618,624
U.S. Agency Mortgage-Backed — 22.60%
Fannie Mae Pool 254548
5.50%		12/01/32		48,645		50,244
Fannie Mae Pool 555098
(LIBOR USD 12-Month plus 1.61%)
3.86%		11/01/322		5,525		5,407
Fannie Mae Pool 555424
5.50%		05/01/33		32,530		33,634
Fannie Mae Pool 655133
7.00%		08/01/32		5,325		5,365
Fannie Mae Pool 655151
7.00%		08/01/32		4,245		4,236
Fannie Mae Pool 762525
6.50%		11/01/33		8,579		8,530
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
2.94%		04/01/342		54,733		54,651
Fannie Mae Pool AD0538
6.00%		05/01/24		2,469		2,468
Fannie Mae Pool AE0443
6.50%		10/01/39		38,273		40,329
Fannie Mae Pool AL0851
6.00%		10/01/40		33,837		35,842
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
4.96%		05/25/232		2		2
Fannie Mae REMICS,
Series 2001-42, Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%		09/25/312		612		608
Fannie Mae REMICS,
Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
5.80%		10/25/312		45,917		46,415
Fannie Mae REMICS,
Series 2002-30, Class FB
(LIBOR USD 1-Month plus 1.00%)
5.85%		08/25/312		46,494		46,875
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%		01/25/342		7,000		7,100
Fannie Mae REMICS,
Series 2004-60, Class FW
(LIBOR USD 1-Month plus 0.45%)
5.30%		04/25/342		117,942		117,921
Fannie Mae REMICS,
Series 2004-96, Class MT
(-17.50 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap)
7.00%		12/25/342		10,049		9,433

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2005-73, Class DF
(LIBOR USD 1-Month plus 0.25%)
5.10%	08/25/352	$	71,350	$	70,576
Fannie Mae REMICS,
Series 2007-68, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
1.85%	07/25/372		52,744		5,830
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
5.25%	10/25/402		33,008		32,791
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
1.38%	11/25/362		200,254		22,007
Fannie Mae REMICS,
Series 2010-95, Class FB
(LIBOR USD 1-Month plus 0.40%)
5.25%	09/25/402		41,893		41,861
Fannie Mae REMICS,
Series 2011-47, Class GF
(LIBOR USD 1-Month plus 0.57%)
5.42%	06/25/412		651,439		646,404
Fannie Mae REMICS,
Series 2018-79, Class FA
(LIBOR USD 1-Month plus 0.25%)
5.10%	11/25/482		43,153		42,323
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
5.35%	01/25/502		96,759		94,820
Fannie Mae REMICS,
Series 2020-10, Class FA
(LIBOR USD 1-Month plus 0.50%)
5.35%	03/25/502		286,409		282,584
Freddie Mac Pool SD8189
2.50%	01/01/52		668,446		576,946
Freddie Mac Pool SD8199
2.00%	03/01/52		759,031		627,224
Freddie Mac REMICS,
Series 1526, Class L
6.50%	06/15/23		20		20
Freddie Mac REMICS,
Series 2368, Class AF
(LIBOR USD 1-Month plus 0.95%)
5.63%	10/15/312		36,803		37,109
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
5.28%	10/15/332		317,511		319,832
Freddie Mac REMICS,
Series 2990, Class LE
(LIBOR USD 1-Month plus 0.32%)
5.00%	10/15/342		1,401		1,401

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 222

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3085, Class FW
(LIBOR USD 1-Month plus 0.70%)
5.38%	08/15/352	$	205,373	$	206,054
Freddie Mac REMICS,
Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
4.98%	08/15/352		191,133		189,438
Freddie Mac REMICS,
Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
4.98%	08/15/352		38,396		38,055
Freddie Mac REMICS,
Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
5.08%	11/15/402		8,413		8,405
Freddie Mac REMICS,
Series 3895, Class BF
(LIBOR USD 1-Month plus 0.50%)
5.18%	07/15/412		130,248		129,675
Freddie Mac REMICS,
Series 3907, Class FM
(LIBOR USD 1-Month plus 0.35%)
5.03%	05/15/262		10,106		10,106
Freddie Mac REMICS,
Series 3946, Class FD
(LIBOR USD 1-Month plus 0.35%)
5.03%	04/15/412		17,638		17,625
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
5.18%	06/15/422		150,588		148,679
Ginnie Mae (TBA)
2.50%	05/20/53		4,225,000		3,723,901
4.50%	04/20/53		525,000		517,313
5.00%	04/20/53		225,000		225,299
Ginnie Mae II Pool 80546
(US Treasury Yield Curve Rate T Note Constant
Maturity 1-Year plus 1.50%)
2.75%	10/20/312		4,444		4,339
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant
Maturity 1-Year plus 1.50%)
2.88%	06/20/322		58,726		58,034
Ginnie Mae II Pool 80614
(US Treasury Yield Curve Rate T Note Constant
Maturity 1-Year plus 1.50%)
2.63%	07/20/322		5,300		5,189
Ginnie Mae II Pool 80687
(US Treasury Yield Curve Rate T Note Constant
Maturity 1-Year plus 1.50%)
2.88%	04/20/332		44,384		43,599
Ginnie Mae II Pool 8339
(US Treasury Yield Curve Rate T Note Constant
Maturity 1-Year plus 1.50%)
2.75%	12/20/232		893		888

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 8684
(US Treasury Yield Curve Rate T Note
Constant Maturity 1-Year plus 1.50%)
2.63%		08/20/252	$	6,477	$	6,380
Ginnie Mae II Pool MA0331
(US Treasury Yield Curve Rate T Note
Constant Maturity 1-Year plus 1.50%)
2.63%		08/20/422		39,218		38,645
Ginnie Mae,
Series 2002-72, Class FB
(LIBOR USD 1-Month plus 0.40%)
5.16%		10/20/322		35,379		35,348
Ginnie Mae,
Series 2002-72, Class FC
(LIBOR USD 1-Month plus 0.40%)
5.16%		10/20/322		52,188		52,142
Ginnie Mae,
Series 2004-2, Class FW
(LIBOR USD 1-Month plus 1.40%)
6.06%		01/16/342		272,897		275,382
Ginnie Mae,
Series 2009-92, Class FC
(LIBOR USD 1-Month plus 0.80%)
5.53%		10/16/392		64,494		65,040
Ginnie Mae,
Series 2010-19, Class FD
(LIBOR USD 1-Month plus 0.45%)
5.18%		07/16/392		17,571		17,630
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%		06/16/372		989,619		5,984
UMBS (TBA)
2.00%		05/01/53		1,725,000		1,427,470
2.50%		05/01/53		3,575,000		3,085,395
3.00%		05/01/53		2,550,000		2,289,722
3.50%		05/01/53		200,000		185,908
4.00%		05/01/53		1,675,000		1,603,027
4.50%		04/15/53		400,000		391,911
4.50%		05/01/53		2,475,000		2,425,768
5.00%		04/01/53		1,225,000		1,221,842
5.00%		05/01/53		3,525,000		3,515,224
5.50%		04/01/53		2,275,000		2,298,150
						27,538,355
Total Mortgage-Backed (Cost $48,903,837)						48,156,674
MUNICIPAL BONDS — 0.77%*
Colorado — 0.77%
City & County of Denver Airport System Revenue Bonds, Series C
0.88%		11/15/23		965,000		939,591
Total Municipal Bonds
(Cost $965,000)

See accompanying Notes to Financial Statements.

223 / Annual Report March 2023

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES — 36.53%
U.S. Agency Discount Notes — 1.81%
U.S. International Development Finance Corp., Series 2
1.49%		08/15/31	$	2,462,703	$	2,202,023
U.S. Treasury Bonds — 0.75%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%		10/15/277		901,867		919,813
U.S. Treasury Notes — 33.97%
U.S. Treasury Notes
3.63%		03/31/28		600,000		601,102
3.88%		03/31/25		21,945,000		21,880,279
4.00%		02/29/28		75,000		76,371
4.63%		02/28/25		12,894,000		13,020,170
4.63%		03/15/26		5,680,000		5,809,797
						41,387,719
Total U.S. Treasury Securities
(Cost $44,703,518)						44,509,555
Total Bonds — 106.72%
(Cost $131,743,007)						130,040,859
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 15.33%
Money Market Funds — 9.02%
Dreyfus Government Cash Management Fund
4.71%8				5,050,000		5,050,000
Fidelity Investments Money Market Funds - Government Portfolio
4.72%8				20,636		20,636
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%8				5,919,000		5,919,000
						10,989,636
U.S. Treasury Bills — 6.31%
U.S. Treasury Bills
4.75%9		08/03/23		2,803,000		2,758,307

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
U.S. Treasury Bills (WI)
4.76%9		07/18/23	$	5,000,000	$	4,931,505
						7,689,812
Total Short-Term Investments
(Cost $18,677,523)						18,679,448
Total Investments - 122.05%
(Cost $150,420,530)						148,720,307
Liabilities in Excess of Other Assets - (22.05)%						(26,873,119	)
Net Assets - 100.00%					$	121,847,188

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

²  Floating rate security. The rate disclosed was in effect at March 31, 2023.

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 $11,884, which is 0.01% of total net assets.

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

⁸  Represents the current yield as of March 31, 2023.

⁹  Represents annualized yield at date of purchase.

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

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

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.

(CLO): Collateralized Loan Obligation

(EUR): Euro

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

(WI): When Issued

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 224

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Currency to be Purchased	Currency to be Sold		Counterparty				Settlement Date		Unrealized (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 64,391		EUR 61,000		Goldman Sachs International				04/13/23	$	(1,931)
USD 448,668		EUR 415,000		Citibank N.A.				04/13/23		(2,537)
NET UNREALIZED DEPRECIATION									$	(4,468)
Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		131		06/30/23	$	27,045,360	$	291,511	$	291,511
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five-Year Note		165		06/30/23		(18,068,789)		(286,504)		(286,504)
U.S. Treasury Ten-Year Ultra Bond		47		06/21/23		(5,693,609)		(101,223)		(101,223)
U.S. Treasury Ultra Bond		13		06/21/23		(1,834,625)		(44,021)		(44,021)
						(25,597,023)		(431,748)		(431,748)
TOTAL FUTURES CONTRACTS					$	1,448,337	$	(140,237)	$	(140,237)

Reference Obligation/Index

Financing Rate Paid by the Fund

Payment Frequency

Implied Credit Spread at  03/31/231

Counterparty

Expiration Date

Notional Amount (000’s)2

Value3

Premiums Paid

Unrealized Appreciation

SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4

Credit Suisse

Berry Global, Inc., 5.63%, due

First Boston

07/15/27

5.00%

3 Months

175

International

12/20/23

$

390

$

9,637

$

8,640

$

997

¹  An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

²  The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³  The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴  If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

See accompanying Notes to Financial Statements.

225 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
BONDS – 114.57%
ASSET-BACKED SECURITIES — 12.67%**
321 Henderson Receivables VI LLC,
Series 2010-1A, Class B
9.31%	07/15/611	$	176,990	$	185,513
AIG CLO Ltd.,
Series 2018-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.51%	04/20/321,2,3		15,800,000		15,420,800
Allegro CLO XII Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.52%	01/21/321,2,3		5,270,000		5,135,088
AMSR Trust,
Series 2020-SFR1, Class G
4.31%	04/17/371		10,503,000		9,817,467
AMSR Trust,
Series 2020-SFR3, Class H
6.50%	09/17/371		6,000,000		5,760,919
AMSR Trust,
Series 2022-SFR3, Class E1
4.00%	10/17/391		10,000,000		8,685,542
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
5.30%	04/25/351,2		450,419		428,204
Blackrock Rainier CLO VI Ltd.,
Series 2021-6A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
6.51%	04/20/331,2,3		10,000,000		9,788,700
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
6.31%	07/20/291,2,3		5,500,000		5,340,082
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
5.76%	02/25/302		185		184
Carvana Auto Receivables Trust,
Series 2021-N3, Class R
0.00%	06/12/281		19,250		4,514,941
Carvana Auto Receivables Trust,
Series 2021-N4, Class R
0.00%	09/12/281		19,100		4,326,054
Carvana Auto Receivables Trust,
Series 2021-P4, Class R
0.00%	09/11/281		14,200		5,936,816
Carvana Auto Receivables Trust,
Series 2022-N1, Class R
0.00%	12/11/281		71,000		13,427,406
Carvana Auto Receivables Trust,
Series 2022-P2, Class R
1.00%	05/10/291		54,850		10,965,352

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
5.95%	10/25/341,2,3	$	1,000,000	$	971,728
CF Hippolyta Issuer, LLC,
Series 2020-1, Class B1
2.28%	07/15/601		7,220,052		6,529,417
CIT Education Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
5.43%	06/25/421,2		1,482,563		1,286,169
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.28%	03/15/521,4		2,485,282		80,112
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.04%	10/15/521,4		4,575,095		188,547
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%	03/15/501		5,197,000		4,658,406
CoreVest American Finance Trust,
Series 2020-4, Class XA (IO)
3.84%	12/15/521,4		22,301,538		1,898,389
CoreVest American Finance Trust,
Series 2020-4, Class XB (IO)
2.79%	12/15/521,4		12,500,000		1,096,883
CoreVest American Finance Trust,
Series 2021-3, Class XA (IO)
2.39%	10/15/541,4		69,941,591		4,821,291
DataBank Issuer,
Series 2021-1A, Class A2
2.06%	02/27/511		6,047,860		5,437,556
Edsouth Indenture No. 3 LLC,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.73%)
5.58%	04/25/391,2		42,794		42,313
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
5.90%	03/25/362		27,444		27,417
EFS Volunteer No. 2 LLC,
Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
6.20%	03/25/361,2		1,167,423		1,165,325
Flexential Issuer,
Series 2021-1A, Class C
6.93%	11/27/511		9,755,000		8,315,010
FRTKL,
Series 2021-SFR1, Class G
4.11%	09/17/381		9,435,000		7,984,696
GBX Leasing,
Series 2022-1, Class A
2.87%	02/20/521		9,625,611		8,384,185

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 226

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Global SC Finance II SRL,
Series 2014-1A, Class A2 (Barbados)
3.09%	07/17/291,3	$	338,328	$	327,054
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
5.41%	08/25/422		244,493		224,003
GoldenTree Loan Management U.S. CLO 1 Ltd.,
Series 2021-9A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
6.31%	01/20/331,2,3		3,905,000		3,769,887
Golub Capital Partners CLO 54M L.P,
Series 2021-54A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.53%)
6.34%	08/05/331,2,3		9,600,000		9,327,437
J.G. Wentworth XXXVII LLC,
Series 2016-1A, Class A
3.41%	06/15/671		5,122,932		4,588,190
J.G. Wentworth XXXVIII LLC,
Series 2017-1A, Class A
3.99%	08/16/601		2,977,683		2,713,047
LCM XXI LP,
Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
5.69%	04/20/281,2,3		611,281		610,040
Magnetite XXI Ltd.,
Series 2019-21A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.35%)
6.16%	04/20/341,2,3		8,000,000		7,593,760
Nelnet Student Loan Trust,
Series 2006-2, Class B
(LIBOR USD 3-Month plus 0.20%)
5.02%	01/25/382		2,083,625		1,757,889
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
5.45%	10/27/361,2		56,891		55,232
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
5.80%	11/25/481,2		1,865,000		1,825,665
Nelnet Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
5.44%	04/25/461,2		1,227,926		1,183,997
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
5.75%	06/25/541,2		11,000,000		10,598,781

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
5.95%	07/15/361,2,3	$	6,610,000	$	6,441,372
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
5.93%	02/24/371,2,3		5,000,000		4,908,550
OHA Credit Funding 8 Ltd.,
Series 2021-8A, Class B1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
6.29%	01/18/341,2,3		6,650,000		6,390,650
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
6.56%	01/20/341,2,3		4,850,000		4,651,591
Progress Residential Trust,
Series 2019-SFR3, Class F
3.87%	09/17/361		8,200,000		7,827,195
Progress Residential Trust,
Series 2020-SFR1, Class H
5.27%	04/17/371		7,100,000		6,585,464
Progress Residential Trust,
Series 2021-SFR2, Class G
4.25%	04/19/381		7,956,000		6,938,367
Progress Residential,
Series 2021-SFR3, Class F
3.44%	05/17/261		3,700,000		3,288,224
Progress Residential,
Series 2021-SFR3, Class G
4.25%	05/17/261		15,752,000		13,947,297
Regata XII Funding Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
6.39%	10/15/321,2,3		3,890,000		3,770,577
Sabey Data Center Issuer LLC,
Series 2020-1, Class A2
3.81%	04/20/451		7,905,000		7,564,037
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5,6		9,099,352		8,213,942
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
5.15%	08/15/312		317,042		277,309
SLM Student Loan EDC Repackaging Trust,
Series 2013-M1, Class M1R
0.00%	10/28/291		6,250		3,397,328
SLM Student Loan Trust,
Series 2003-12, Class B
(LIBOR USD 3-Month plus 0.59%)
5.46%	12/15/682		2,891,851		2,750,040

See accompanying Notes to Financial Statements.

227 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2003-4, Class A5D
(LIBOR USD 3-Month plus 0.75%)
5.62%	03/15/331,2	$	1,385,811	$	1,324,344
SLM Student Loan Trust,
Series 2003-7, Class B
(LIBOR USD 3-Month plus 0.57%)
5.44%	09/15/392		2,063,782		1,900,486
SLM Student Loan Trust,
Series 2004-10, Class B
(LIBOR USD 3-Month plus 0.37%)
5.19%	01/25/402		6,642,853		5,865,317
SLM Student Loan Trust,
Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
5.29%	07/25/392		354,786		331,171
SLM Student Loan Trust,
Series 2005-3, Class B
(LIBOR USD 3-Month plus 0.15%)
4.97%	04/25/402		2,254,497		2,074,404
SLM Student Loan Trust,
Series 2006-8, Class B
(LIBOR USD 3-Month plus 0.23%)
5.05%	01/25/412		2,406,780		2,208,648
SLM Student Loan Trust,
Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
5.57%	10/27/702		2,195,000		1,871,971
SLM Student Loan Trust,
Series 2007-8, Class B
(LIBOR USD 3-Month plus 1.00%)
5.82%	04/27/832		3,816,297		3,518,903
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%	01/25/832		1,000,000		883,187
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
6.02%	04/26/832		710,000		660,456
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
6.47%	07/25/222		744,563		739,550
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	04/25/732		710,000		681,664
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/25/732		7,315,000		6,838,759
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
5.92%	07/25/232		8,480,101		8,260,319

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%)
6.67%	07/26/832	$	710,000	$	658,901
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
6.67%	07/26/832		820,000		761,461
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
7.07%	10/25/752		735,000		716,211
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
7.07%	10/25/832		7,235,000		7,144,014
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
5.80%	09/25/282		626,488		597,536
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
5.55%	01/25/292		926,032		893,371
SLM Student Loan Trust,
Series 2012-7, Class B
(LIBOR USD 1-Month plus 1.80%)
6.65%	09/25/432		2,200,000		2,048,772
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
5.40%	06/25/432		802,793		776,647
SLM Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.60%)
5.45%	02/26/292		793,574		763,261
Stack Infrastructure Issuer LLC,
Series 2019-2A, Class A2
3.08%	10/25/441		5,000,000		4,755,825
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/461		1,353,458		1,366,263
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/361		1,005,616		1,040,998
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/421,2		150,000		138,578
Textainer Marine Containers VII Ltd.,
Series 2020-3A, Class A
(Bermuda)
2.11%	09/20/451,3		6,720,750		5,954,996
TIF Funding II LLC,
Series 2020-1A, Class A
2.09%	08/20/451		2,897,950		2,555,917

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 228

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
TIF Funding II, LLC,
Series 2021-1A, Class B
2.54%		02/20/461	$	3,283,438	$	2,717,109
TRESTLES CLO V Ltd.,
Series 2021-5A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
5.98%		10/20/341,2,3		7,025,000		6,841,788
Triton Container Finance VIII, LLC,
Series 2021-1A, Class B
2.58%		03/20/461		2,543,950		2,127,986
Total Asset-Backed Securities
(Cost $391,153,305)						363,166,250
BANK LOANS — 3.82%*
Automotive — 0.02%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%		04/30/262		507,125		505,434
Communications — 0.19%
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.74%		12/17/272		1,481,108		1,464,446
CSC Holdings LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
7.18%		04/15/272		526,196		466,507
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.32%		01/17/282		529,558		491,827
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.62%		05/01/282		516,130		491,614
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.60%		04/11/252		1,184,275		1,185,080
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%		03/09/272		563,487		460,907
(SOFR plus 4.25%)
9.06%		03/09/272		1,047,674		833,948
						5,394,329
Consumer Discretionary — 0.26%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.38%)
8.11%		12/23/272		1,470,000		1,365,564

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Naked Juice, LLC,
Term Loan, 2nd Lien
(SOFR plus 6.00%)
11.00%		01/24/302	$	374,515	$	287,128
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.91%		10/01/262		587,252		582,528
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.23%		03/31/282		5,723,072		5,159,721
Waystar technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%		10/22/262		3,882		3,875
						7,398,816
Electric — 0.02%
CommScope, Inc.,
Term Loan B2, 1st Lien (France)
(LIBOR plus 3.25%)
8.09%		04/06/262,3		329,062		317,390
Homer City Generation LP,
Term Loan, 1st Lien (France)
(LIBOR plus 11.00%)
15.00%		04/05/232,5,6		575,805		386,748
						704,138
Entertainment — 0.11%
Alpha Topco Ltd. - Delta 2 (Lux) Sarl,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.05%		01/15/302		141,635		141,872
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.50%)
9.50%		02/28/252		1,924,096		303,651
Crown Finance U.S., Inc.,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(SOFR plus 10.10%)
14.66% - 14.80%		09/07/232,3		1,455,631		1,478,623
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.41%		08/01/272		1,224,214		1,199,625
						3,123,771
Finance — 0.10%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
7.01%		12/01/272		1,964,824		1,969,324
DCG Acquisition Corp.,
Term Loan, 1st Lien
(SOFR plus 4.60%)
9.41%		09/30/262		366,570		356,489

See accompanying Notes to Financial Statements.

229 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
8.46%		04/09/272	$	200,199	$	194,360
Mozart Borrower, LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.09%		10/23/282		495,000		483,283
						3,003,456
Food — 0.02%
Hostess Brands LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
7.08%		08/03/252		701,035		702,307
Gaming — 0.08%
Golden Nugget, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.81%		01/26/292		689,460		680,373
J&J Ventures Gaming LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
9.16%		04/26/282		517,792		503,015
Penn National Gaming, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
7.66%		05/03/292		609,308		608,814
Scientific Games International, Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.10%)
7.96%		04/13/292,3		584,557		581,024
						2,373,226
Health Care — 0.25%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
6.51%		01/15/252		175,812		176,106
Bausch & Lomb Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.36%		05/10/272		312,312		304,070
Curia Global, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
8.53%		08/28/262		1,097,215		940,522
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.10%)
6.86%		12/30/262		771,078		767,223
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%		05/05/282		566,551		565,075

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Organon & Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.75%		06/02/282	$	393,480	$	393,806
Pathway Vet Alliance LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%		03/31/272		1,122,529		988,757
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%		02/01/282		423,497		419,087
Phoenix Newco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
7.88%		11/15/282		2,500,740		2,476,208
U.S. Renal Care, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.50%)
10.38%		06/26/262		246,250		168,373
						7,199,227
Health Care REITs — 0.10%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.70%		07/17/282		3,207,494		2,738,959
Industrials — 0.83%
Arterrsa Services LLC,
Term Loan, 1st Lien (Luxembourg)
(LIBOR plus 3.50%)
8.44%		03/06/252,3		1,965,000		1,674,465
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.94%		10/16/282		518,765		434,899
AZZ, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.35%)
8.91% - 9.33%		05/14/292		237,456		237,703
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
6.51%		07/01/262		4,737,697		4,727,345
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
9.84%		08/02/272		1,945,032		1,876,294
DTI Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.75%)
9.43%		04/26/292		243,756		227,028
II-VI, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
7.38% - 7.67%		07/02/292		436,928		433,651

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 230

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(LIBOR plus 4.25%)
9.41%		04/15/282	$	3,438,750	$	3,166,006
Plaze, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.49%		08/03/262		3,421,250		3,153,263
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.50%)
8.24%		08/03/262,3		1,693,957		1,561,270
Proampac PG Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
7.96% - 8.65%		11/03/252		3,185,244		3,123,131
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 3.25%)
8.15%		08/24/282		1,248,527		1,246,654
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
9.16%		08/12/242		2,160,548		1,871,186
						23,732,895
Information Technology — 0.88%
AppLovin Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.16%		08/15/252		3,717,640		3,714,146
Arches Buyer, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.25%)
8.06%		12/06/272		591,282		558,575
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.25%		02/15/292,3,7		443,047		415,910
Central Parent, Inc.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.25%)
9.14% - 9.18%		07/06/292,3		751,845		750,691
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
9.09%		12/16/252		931,000		890,050
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.66%		08/14/252		5,105,038		4,398,986
Entegris, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
7.37% - 7.64%		07/06/292		303,803		300,765

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.72% - 8.99%	10/01/272	$	2,214,687	$	2,120,563
NortonLifeLock, Inc.,
Term Loan A, 1st Lien
(SOFR plus 2.00%)
6.58%	09/10/272		1,294,443		1,268,554
Open Text Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.30%	08/24/292		488,054		487,392
Oracle Corp.,
Term Loan 1, 1st Lien
(SOFR plus 1.60%)
6.46%	08/16/272		6,220,827		6,189,723
Prime Security Services Borrower LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
7.52%	09/23/262		605,364		604,262
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
7.84%	04/24/282		158,791		154,398
Sophia LP,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.66%	10/07/272		194,930		192,982
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.99%	03/03/282		3,694,501		3,116,570
					25,163,567
Insurance — 0.09%
Acrisure LLC,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
8.24%	02/15/272		1,123,929		1,090,678
Asurion LLC,
Term Loan B10, 1st Lien
(SOFR plus 4.10%)
8.91%	08/19/282		995,000		921,002
Term Loan B8, 1st Lien
(LIBOR plus 3.25%)
7.99%	12/23/262		779,020		724,769
					2,736,449
Materials — 0.21%
Herens U.S. Holdco Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
9.16%	07/03/282		2,800,480		2,608,213

See accompanying Notes to Financial Statements.

231 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Materials (continued)
Mativ Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
8.62%	04/20/282	$	3,561,563	$	3,448,038
					6,056,251
Office REITs — 0.13%
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
8.12%	02/17/282		3,701,344		3,673,584
Retail — 0.36%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
9.56%	04/20/282		2,899,029		2,948,153
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
6.99%	02/19/282		2,742,402		2,714,032
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
6.59%	11/19/262,3		695,919		690,411
BW Gas & Convenience Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
8.34%	03/31/282		3,537,000		3,466,260
KFC Holding Co.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
6.51%	03/15/282		462,911		461,562
					10,280,418
Services — 0.10%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.63%	01/29/272		1,304,662		1,283,461
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%	06/22/292		124,069		122,906
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.25%	06/22/292		268,817		266,297
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
8.59%	12/15/282		584,116		575,781
Safe Fleet Holdings, LLC,
Term Loan, 1st Lien
(SOFR plus 3.85%)
8.61%	02/23/292		354,976		348,615

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Services (continued)
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
8.84%	11/02/272	$	171,694	$	158,978
					2,756,038
Transportation — 0.07%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
12.09%	09/01/272		2,155,000		2,014,031
Total Bank Loans
(Cost $115,524,570)					109,556,896
CORPORATES — 30.75%*
Banking — 7.30%
Bank of America Corp.
2.30%	07/21/324		2,875,000		2,318,413
3.42%	12/20/284		1,389,000		1,292,394
Bank of America Corp.
(GMTN)
3.59%	07/21/284		395,000		371,649
Bank of America Corp.
(MTN)
1.92%	10/24/314		7,570,000		6,053,826
2.09%	06/14/294		9,525,000		8,201,938
3.97%	03/05/294		790,000		749,599
(LIBOR USD 3-Month plus 0.65%)
5.61%	12/01/262		4,400,000		4,138,435
Bank of America Corp.,
Series N
1.66%	03/11/274		11,725,000		10,578,669
Bank of America Corp.,
Series RR
4.38%4,8			2,340,000		1,998,039
Comerica, Inc.
5.63%4,8			2,145,000		1,803,516
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		6,855,000		5,826,750
2.88%	04/02/323,4		1,500,000		1,361,260
3.09%	05/14/321,3,4		8,025,000		6,458,527
3.75%	03/26/253		2,090,000		1,927,962
3.87%	01/12/291,3,4		785,000		699,534
6.37%	07/15/261,3,4		1,065,000		1,038,646
6.54%	08/12/331,3,4		9,904,000		10,151,600
7.75%	03/01/293,4		635,000		756,927
9.02%	11/15/331,3,4		10,515,000		12,512,850
Credit Suisse Group AG
(EMTN)
(Switzerland)
0.63%	01/18/333		1,920,000		1,365,062
Discover Bank
(BKNT)
3.45%	07/27/26		2,811,000		2,598,430

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 232

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
DNB Bank ASA
(Norway)
1.13%	09/16/261,3,4	$	165,000	$	148,184
1.61%	03/30/281,3,4		6,000,000		5,225,725
Global Bank Corp.,
Series REGS
(Panama)
5.25%	04/16/293,4		200,000		180,460
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		2,340,000		2,064,814
1.65%	04/18/263,4		390,000		356,452
2.01%	09/22/283,4		290,000		249,574
2.21%	08/17/293,4		16,115,000		13,585,426
2.80%	05/24/323,4		2,955,000		2,418,302
4.76%	06/09/283,4		2,260,000		2,189,552
6.33%	03/09/443,4		1,115,000		1,179,633
JPMorgan Chase & Co.
1.58%	04/22/274		10,020,000		9,006,262
2.58%	04/22/324		1,020,000		859,761
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,4		2,000,000		1,776,243
3.57%	11/07/283,4		3,240,000		2,968,669
3.87%	07/09/253,4		8,725,000		8,485,375
4.98%	08/11/333,4		685,000		662,310
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,4		1,000,000		932,444
2.69%	06/23/321,3,4		2,290,000		1,834,255
2.87%	01/14/331,3,4		7,960,000		6,454,324
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		7,587,000		7,437,940
PNC Financial Services Group, Inc. (The)
5.07%	01/24/344		5,840,000		5,770,756
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,4		7,075,000		6,690,337
1.53%	08/21/263,4		1,210,000		1,080,546
1.67%	06/14/273,4		2,620,000		2,283,138
4.80%	11/15/243,4		6,211,000		6,126,433
Santander UK PLC
(United Kingdom)
5.00%	11/07/231,3		3,415,000		3,376,813
U.S. Bancorp
3.70%4,8			1,980,000		1,545,870
4.84%	02/01/344		6,710,000		6,512,889
5.85%	10/21/334		1,320,000		1,381,971
Wells Fargo & Co.
(MTN)
2.88%	10/30/304		3,848,000		3,343,463
3.35%	03/02/334		23,935,000		20,776,988
					209,108,935

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications — 2.99%
AT&T, Inc.
3.80%		12/01/57		$	1,681,000	$	1,254,337
4.30%		12/15/42			2,300,000		2,003,594
4.75%		05/15/46			1,875,000		1,694,583
C&W Senior Financing DAC
(Ireland)
6.88%		09/15/27	1,3		300,000		268,642
Cable One, Inc.
4.00%		11/15/30	1		4,456,000		3,653,920
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.80%		03/01/50			4,765,000		3,627,452
5.38%		05/01/47			3,050,000		2,509,978
5.75%		04/01/48			2,347,000		2,050,222
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%		04/01/53			1,885,000		1,529,692
Cogent Communications Group, Inc.
7.00%		06/15/27	1		1,625,000		1,613,013
CommScope, Inc.
4.75%		09/01/29	1		3,350,000		2,816,513
CSC Holdings LLC
4.63%		12/01/30	1		500,000		248,750
5.38%		02/01/28	1		650,000		533,134
6.50%		02/01/29	1		2,650,000		2,203,256
7.50%		04/01/28	1		2,522,000		1,610,045
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%		08/15/26	1,9,10		8,511,000		478,744
Frontier Communications Holdings LLC
5.00%		05/01/28	1		3,000,000		2,607,221
6.75%		05/01/29	1		1,640,000		1,301,291
8.63%		03/15/31	1		1,924,000		1,885,499
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%		10/07/30	3		4,505,000		4,023,773
Gray Escrow II, Inc.
5.38%		11/15/31	1		1,329,000		875,091
Gray Television, Inc.
7.00%		05/15/27	1		1,100,000		921,988
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/30	1,3		4,214,000		3,879,920
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
8.50%		10/15/24	†,1,3,5,6,9,10		7,892,000		—
9.75%		07/15/25	†,1,3,5,6,9,10		6,820,000		—
Level 3 Financing, Inc.
3.75%		07/15/29	1		1,750,000		935,323
Meta Platforms, Inc.
4.45%		08/15/52			1,640,000		1,445,743
National CineMedia LLC
5.88%		04/15/28	1		786,000		230,750
Netflix, Inc.
4.63%		05/15/29			3,910,000		4,342,503

See accompanying Notes to Financial Statements.

233 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%	04/30/271	$	1,815,000	$	1,551,825
Scripps Escrow, Inc.
5.88%	07/15/271		2,082,000		1,554,338
SES GLOBAL Americas Holdings, Inc.
5.30%	03/25/441		8,494,000		6,690,026
Sirius XM Radio, Inc.
3.88%	09/01/311		3,190,000		2,483,367
Tencent Holdings Ltd.
(Cayman Islands)
3.84%	04/22/511,3		1,585,000		1,169,951
Time Warner Cable LLC
5.50%	09/01/41		4,443,000		3,843,279
T-Mobile USA, Inc.
2.55%	02/15/31		2,190,000		1,857,158
2.63%	02/15/29		565,000		499,334
3.88%	04/15/30		8,237,000		7,735,382
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%	08/15/301,3		2,200,000		1,892,803
Vodafone Group PLC
(United Kingdom)
4.25%	09/17/503		50,000		40,914
4.88%	06/19/493		1,328,000		1,200,862
VZ Secured Financing BV
(Netherlands)
5.00%	01/15/321,3		2,495,000		2,038,103
VZ Secured Financing BV,
Series REGS
(Netherlands)
3.50%	01/15/323		2,800,000		2,435,224
					85,537,543
Consumer Discretionary — 1.67%
Bacardi Ltd.
(Bermuda)
4.45%	05/15/251,3		3,585,000		3,532,115
5.15%	05/15/381,3		1,500,000		1,458,822
BAT Capital Corp.
2.73%	03/25/31		915,000		742,810
4.54%	08/15/47		500,000		373,013
4.76%	09/06/49		8,059,000		6,193,422
5.65%	03/16/52		1,625,000		1,430,149
Becle, SAB de CV
(Mexico)
2.50%	10/14/311,3		4,450,000		3,619,401
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/241,3		1,500,000		1,453,016
3.50%	07/26/261,3		2,520,000		2,366,400
4.25%	07/21/251,3		1,880,000		1,825,087
Reynolds American, Inc.
5.85%	08/15/45		7,245,000		6,536,095
Triton Water Holdings, Inc.
6.25%	04/01/291		3,238,000		2,577,319

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
WarnerMedia Holdings, Inc.
4.28%	03/15/321	$	5,000	$	4,464
5.05%	03/15/421		7,970,000		6,673,470
5.14%	03/15/521		11,287,000		9,170,237
					47,955,820
Diversified REITs — 1.25%
American Assets Trust LP
3.38%	02/01/31		4,005,000		3,219,483
American Tower Corp.
0.88%	05/21/29		1,765,000		1,544,810
1.00%	01/15/32		1,000,000		803,900
2.70%	04/15/31		3,045,000		2,555,769
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%	06/23/283		525,000		453,377
Digital Dutch Finco BV
(Netherlands)
1.00%	01/15/323		2,600,000		1,991,157
1.50%	03/15/303		2,140,000		1,818,303
Digital Intrepid Holding BV
(Netherlands)
1.38%	07/18/323		1,000,000		765,517
GLP Capital LP/GLP Financing II, Inc.
5.30%	01/15/29		2,280,000		2,172,384
5.38%	04/15/26		3,068,000		2,980,269
5.75%	06/01/28		6,241,000		6,095,682
LXP Industrial Trust
2.70%	09/15/30		2,000,000		1,627,022
VICI Properties LP
5.13%	05/15/32		4,753,000		4,505,695
5.63%	05/15/52		713,000		642,856
VICI Properties LP/VICI Note Co., Inc.
3.75%	02/15/271		120,000		110,881
3.88%	02/15/291		1,925,000		1,713,529
4.13%	08/15/301		493,000		433,224
4.50%	09/01/261		1,150,000		1,100,478
4.50%	01/15/281		861,000		798,446
4.63%	06/15/251		320,000		309,560
					35,642,342
Electric — 0.94%
Alliant Energy Finance, LLC
3.60%	03/01/321		8,130,000		7,245,795
Cleco Power LLC
6.00%	12/01/40		825,000		845,129
Dominion Energy, Inc.
5.75%	10/01/544		2,515,000		2,377,829
Duke Energy Carolinas LLC
3.70%	12/01/47		1,810,000		1,451,572
Duke Energy Corp.
3.85%	06/15/34		3,840,000		3,917,201

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 234

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Eskom Holdings SOC Ltd.,
Series REGS
(South Africa)
7.13%	02/11/253	$	800,000	$	788,400
FirstEnergy Transmission LLC
2.87%	09/15/281		3,153,000		2,848,387
Metropolitan Edison Co.
4.00%	04/15/251		2,625,000		2,506,801
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%	05/07/293		350,000		297,895
Southwestern Electric Power Co.,
Series M
4.10%	09/15/28		2,190,000		2,121,461
TenneT Holding BV
(EMTN)
(Netherlands)
4.75%	10/28/423		2,230,000		2,628,303
					27,028,773
Energy — 2.31%
Ecopetrol SA
(Colombia)
8.88%	01/13/333		780,000		787,800
Energy Transfer LP
4.40%	03/15/27		1,448,000		1,408,028
5.00%	05/15/50		202,000		172,078
5.15%	03/15/45		1,901,000		1,649,599
5.40%	10/01/47		4,131,000		3,684,444
6.13%	12/15/45		500,000		483,603
Energy Transfer LP,
Series B
6.63%4,8			3,889,000		2,911,202
Energy Transfer Operating LP
5.30%	04/15/47		1,765,000		1,553,894
6.25%	04/15/49		5,000		4,968
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%	03/31/341,3		1,774,200		1,530,103
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		4,137,000		3,850,099
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%	04/14/333		1,586,000		1,193,213
4.75%	04/19/273		205,000		189,235
KazMunayGas National Co. JSC,
Series REGS (EMTN)
(Kazakhstan)
5.38%	04/24/303		2,424,000		2,167,898
KazTransGas JSC,
Series REGS
(Kazakhstan)
4.38%	09/26/273		650,000		584,360

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Kinder Morgan Energy Partners LP
5.00%	08/15/42	$	1,090,000	$	972,452
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/261		1,929,000		1,863,890
Pertamina Persero PT
(Indonesia)
3.10%	08/27/301,3		4,579,000		4,042,106
Petroleos Mexicanos
(Mexico)
6.35%	02/12/483		557,000		347,583
6.75%	09/21/473		3,815,000		2,482,843
6.95%	01/28/603		1,595,000		1,031,965
7.69%	01/23/503		3,948,000		2,789,019
Plains All American Pipeline LP/PAA Finance Corp.
3.80%	09/15/30		2,000,000		1,784,203
4.50%	12/15/26		1,505,000		1,474,467
QatarEnergy,
Series REGS
(Qatar)
2.25%	07/12/313		1,000,000		850,955
Rockies Express Pipeline LLC
4.80%	05/15/301		2,000,000		1,760,000
4.95%	07/15/291		1,000,000		897,044
6.88%	04/15/401		3,175,000		2,651,125
Sabine Pass Liquefaction LLC
4.50%	05/15/30		1,488,000		1,436,044
Southern Co. Gas Capital Corp.
3.25%	06/15/26		2,935,000		2,814,644
3.88%	11/15/25		2,410,000		2,346,973
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%	03/24/263		2,776,000		2,834,296
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		3,846,000		3,330,713
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/271,3		3,370,250		3,306,889
Venture Global Calcasieu Pass LLC
3.88%	11/01/331		2,000,000		1,682,862
4.13%	08/15/311		3,891,000		3,421,513
					66,292,110
Entertainment — 0.03%
Cinemark USA, Inc.
5.25%	07/15/281		1,018,000		891,005
Finance — 4.40%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.00%	10/29/283		11,100,000		9,688,250
3.30%	01/30/323		2,649,000		2,189,161
3.88%	01/23/283		1,090,000		1,010,343
American Express Co.,
Series D
3.55%4,8			2,350,000		1,965,188

See accompanying Notes to Financial Statements.

235 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3	$	5,278,000	$	4,470,899
2.88%	02/15/251,3		4,555,000		4,270,433
3.95%	07/01/241,3		1,035,000		1,006,782
Capital One Financial Corp.
3.27%	03/01/304		2,675,000		2,308,620
Charles Schwab Corp. (The)
Series K
5.00%4,8			2,020,000		1,717,000
Citigroup, Inc.
1.46%	06/09/274		2,575,000		2,289,334
2.57%	06/03/314		6,390,000		5,395,024
2.67%	01/29/314		1,500,000		1,284,010
2.98%	11/05/304		2,380,000		2,087,451
3.06%	01/25/334		17,748,000		15,099,212
Citigroup, Inc.,
Series VAR
3.07%	02/24/284		2,020,000		1,881,045
Gaci First Investment Co.
(Cayman Islands)
5.25%	10/13/323		650,000		676,812
Goldman Sachs Group, Inc. (The)
0.93%	10/21/244		5,565,000		5,416,149
1.95%	10/21/274		6,295,000		5,624,598
2.38%	07/21/324		6,585,000		5,369,809
2.62%	04/22/324		3,225,000		2,688,407
2.65%	10/21/324		13,548,000		11,203,432
Jane Street Group/JSG Finance, Inc.
4.50%	11/15/291		2,249,000		2,019,102
JPMorgan Chase & Co.
1.56%	12/10/254		2,290,000		2,149,957
2.55%	11/08/324		6,250,000		5,194,466
2.95%	02/24/284		2,625,000		2,439,389
Morgan Stanley
0.79%	05/30/254		1,395,000		1,321,122
2.48%	09/16/364		7,080,000		5,356,234
2.95%	05/07/324		3,250,000		3,222,605
Morgan Stanley
(GMTN)
2.24%	07/21/324		5,580,000		4,502,437
Morgan Stanley
(MTN)
1.93%	04/28/324		3,360,000		2,662,519
Nationwide Building Society
(United Kingdom)
2.97%	02/16/281,3,4		3,890,000		3,539,963
4.36%	08/01/241,3,4		2,490,000		2,469,574
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%	02/15/241,3		861,000		853,342
UBS Group AG
(Switzerland)
1.36%	01/30/271,3,4		1,935,000		1,700,967

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Vonovia SE
(Georgia)
1.00%		06/16/333	$	300,000	$	204,760
1.50%		06/14/413		1,100,000		628,546
						125,906,942
Food — 0.70%
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/261		2,412,000		1,495,078
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.75%		12/01/311,3		796,000		659,999
5.75%		04/01/331,3		6,200,000		5,962,267
6.50%		12/01/521,3		1,555,000		1,492,474
Pilgrim's Pride Corp.
4.25%		04/15/31		4,000,000		3,498,572
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/291		4,209,000		3,422,038
Smithfield Foods, Inc.
2.63%		09/13/311		4,690,000		3,546,218
						20,076,646
Health Care — 3.13%
1375209 BC Ltd.
(Canada)
9.00%		01/30/281,3		2,770,000		2,749,225
Amgen, Inc.
4.88%		03/01/53		1,595,000		1,497,267
5.60%		03/02/43		2,890,000		2,983,669
5.65%		03/02/53		2,890,000		3,010,017
Bayer U.S. Finance II LLC
4.38%		12/15/281		9,281,000		8,977,675
4.63%		06/25/381		2,775,000		2,542,870
4.88%		06/25/481		4,415,000		3,964,157
5.50%		08/15/251		2,000,000		1,986,851
Cano Health LLC
6.25%		10/01/281		1,757,000		970,742
Centene Corp.
2.45%		07/15/28		10,338,000		8,998,960
4.25%		12/15/27		2,830,000		2,729,422
CommonSpirit Health
2.78%		10/01/30		3,680,000		3,143,763
3.91%		10/01/50		1,220,000		947,856
CVS Health Corp.
5.05%		03/25/48		3,417,000		3,201,019
DENTSPLY SIRONA, Inc.
3.25%		06/01/30		3,979,000		3,519,492
Fresenius Finance Ireland PLC
(EMTN)
(Ireland)
0.88%		10/01/313		1,000,000		804,880
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/281,3		2,788,000		2,289,096

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 236

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Grifols Escrow Issuer SA,
Series REGS
(Spain)
3.88%	10/15/283	$	1,800,000	$	1,529,257
HCA, Inc.
3.50%	07/15/51		1,743,000		1,202,862
3.63%	03/15/321		7,627,000		6,713,876
4.13%	06/15/29		2,400,000		2,255,568
5.25%	06/15/49		4,670,000		4,218,556
5.38%	09/01/26		1,600,000		1,610,768
5.50%	06/15/47		2,255,000		2,139,296
ModivCare, Inc.
5.88%	11/15/251		1,311,000		1,258,606
Molina Healthcare, Inc.
3.88%	11/15/301		1,378,000		1,205,292
3.88%	05/15/321		2,000,000		1,701,173
Prestige Brands, Inc.
3.75%	04/01/311		3,359,000		2,850,076
Prime Healthcare Services, Inc.
7.25%	11/01/251		4,031,000		3,587,590
Tenet Healthcare Corp.
4.25%	06/01/29		1,183,000		1,071,337
Teva Pharmaceutical Finance Netherlands II BV
(Netherlands)
7.88%	09/15/313		2,000,000		2,249,933
Universal Health Services, Inc.
1.65%	09/01/26		1,500,000		1,317,010
2.65%	01/15/32		590,000		460,813
					89,688,974
Health Care REITs — 0.20%
Healthcare Reality Holdings LP
2.00%	03/15/31		1,465,000		1,144,868
3.50%	08/01/26		2,257,000		2,110,675
Healthcare Realty Holdings LP
2.05%	03/15/31		261,000		198,509
3.63%	01/15/28		625,000		568,618
3.88%	05/01/25		1,695,000		1,637,235
					5,659,905
Industrial REITs — 0.16%
Prologis Euro Finance LLC
0.50%	02/16/32		1,415,000		1,079,483
1.00%	02/06/35		930,000		666,402
1.00%	02/16/41		850,000		502,864
Prologis Euro Finance LLC,
(EMTN)
4.25%	01/31/43		610,000		597,585
SELP Finance SARL
(Luxembourg)
0.88%	05/27/293		2,095,000		1,736,844
					4,583,178
Industrials — 1.52%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%	08/15/271,3		3,441,000		2,716,263

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Artera Services LLC
9.03%		12/04/251	$	4,010,000	$	3,471,833
Berry Global, Inc.
1.50%		01/15/271		1,595,000		1,549,159
1.57%		01/15/26		1,740,000		1,581,828
4.88%		07/15/261		1,195,000		1,165,974
Boeing Co. (The)
1.43%		02/04/24		8,790,000		8,497,676
Cellnex Finance Co. SA
(EMTN)
(Spain)
2.00%		09/15/323		2,100,000		1,773,640
2.00%		02/15/333		300,000		250,939
Energizer Holdings, Inc.
4.38%		03/31/291		3,146,000		2,772,412
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
5.34%		08/15/362		10,370,000		8,757,462
Heathrow Funding Ltd.
(EMTN)
(United Kingdom)
1.88%		03/14/343		4,170,000		3,571,375
OT Merger Corp.
7.88%		10/15/291		7,500,000		4,517,460
Rolls-Royce PLC
(EMTN)
(United Kingdom)
1.63%		05/09/283		1,055,000		955,238
TransDigm, Inc.
6.75%		08/15/281		1,881,000		1,900,999
						43,482,258
Information Technology — 0.63%
Broadcom, Inc.
3.42%		04/15/331		2,350,000		1,968,191
NCR Corp.
5.13%		04/15/291		4,863,000		4,226,066
Open Text Corp.
(Canada)
6.90%		12/01/271,3		1,510,000		1,557,188
Oracle Corp.
2.88%		03/25/31		1,245,000		1,065,836
3.60%		04/01/40		2,400,000		1,864,904
3.60%		04/01/50		2,000,000		1,420,636
3.80%		11/15/37		1,490,000		1,238,223
3.95%		03/25/51		1,901,000		1,430,449
4.00%		11/15/47		2,050,000		1,566,529
6.90%		11/09/52		1,520,000		1,706,977
						18,044,999
Insurance — 1.27%
Acrisure LLC/Acrisure Finance, Inc.
6.00%		08/01/291		2,272,000		1,891,440

See accompanying Notes to Financial Statements.

237/ Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%	10/15/271	$	3,412,000	$	3,177,425
AssuredPartners, Inc.
5.63%	01/15/291		1,795,000		1,553,276
Athene Global Funding
1.99%	08/19/281		8,980,000		7,290,243
2.72%	01/07/291		1,535,000		1,289,904
3.21%	03/08/271		2,225,000		2,047,448
Brown & Brown, Inc.
4.95%	03/17/52		2,980,000		2,528,833
Farmers Exchange Capital
7.20%	07/15/481		150,000		161,007
Farmers Exchange Capital II
6.15%	11/01/531,4		2,500,000		2,484,218
Farmers Insurance Exchange
4.75%	11/01/571,4		3,800,000		2,981,514
8.63%	05/01/241		942,000		964,911
Nationwide Mutual Insurance Co.
7.16%	12/15/241,4		3,825,000		3,810,330
Teachers Insurance & Annuity Association of America
4.38%	09/15/541,4		6,470,000		6,306,429
					36,486,978
Materials — 0.48%
ASP Unifrax Holdings, Inc.
5.25%	09/30/281		2,460,000		1,968,738
7.50%	09/30/291		1,020,000		694,497
International Flavors & Fragrances, Inc.
2.30%	11/01/301		7,065,000		5,674,833
SK Invictus Intermediate II SARL
(Luxembourg)
5.00%	10/30/291,3		5,432,000		4,515,730
Valvoline, Inc.
3.63%	06/15/311		1,000,000		850,290
					13,704,088
Office REITs — 0.10%
Hudson Pacific Properties LP
3.25%	01/15/30		675,000		433,559
3.95%	11/01/27		2,500,000		1,718,167
5.95%	02/15/28		955,000		738,990
					2,890,716
Residential REITs — 0.04%
Invitation Homes Operating Partnership LP
2.70%	01/15/34		1,585,000		1,219,243
Retail — 0.31%
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%	01/15/301		5,028,000		4,138,200
FirstCash, Inc.
5.63%	01/01/301		840,000		776,023

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
Michaels Cos., Inc. (The)
7.88%		05/01/29	1	$	5,775,000	$	4,047,957
							8,962,180
Services — 0.69%
Adtalem Global Education, Inc.
5.50%		03/01/28	1		1,000,000		949,402
DP World Crescent Ltd.
(Cayman Islands)
4.85%		09/26/28	1,3		2,236,000		2,227,304
Global Payments, Inc.
5.40%		08/15/32			1,420,000		1,391,736
5.95%		08/15/52			2,390,000		2,286,268
HealthEquity, Inc.
4.50%		10/01/29	1		1,675,000		1,500,045
Hertz Corp. (The)
5.00%		12/01/29	1		6,852,000		5,709,224
Waste Pro USA, Inc.
5.50%		02/15/26	1		6,169,000		5,679,721
							19,743,700
Specialized REITs — 0.52%
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/32	3		1,800,000		1,633,525
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.00%		05/04/28	3		1,030,000		836,747
1.63%		04/20/30	3		800,000		606,584
1.75%		03/12/29	3		675,000		543,624
China Aoyuan Group Ltd.
(Cayman Islands)
6.35%		02/08/24	3,5,6		2,660,000		253,378
China SCE Group Holdings Ltd.
(Cayman Islands)
7.00%		05/02/25	3		1,070,000		482,442
CubeSmart LP
2.50%		02/15/32			4,075,000		3,285,418
Extra Space Storage LP
2.35%		03/15/32			2,990,000		2,353,269
3.90%		04/01/29			593,000		547,380
Iron Mountain, Inc.
5.63%		07/15/32	1		3,200,000		2,930,400
Life Storage LP
2.40%		10/15/31			450,000		364,498
Sunac China Holdings Ltd.
(Cayman Islands)
6.50%		01/10/25	3,5,6		2,515,000		607,724
6.80%		10/20/24	3,5,6,9,10		720,000		175,318
Times China Holdings Ltd.
(Cayman Islands)
6.75%		07/08/25	3,5,6		1,040,000		162,667

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 238

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Specialized REITs (continued)
Zhenro Properties Group Ltd.
(Cayman Islands)
6.63%	01/07/263,5,6	$	1,810,000	$	155,906
					14,938,880
Transportation — 0.11%
American Airlines Pass-Through Trust,
Series 2015-2, Class AA
3.60%	09/22/27		1,895,585		1,739,976
Transnet SOC Ltd.
(South Africa)
8.25%	02/06/281,3		900,000		898,920
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23		437,867		437,966
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		49,491		49,145
					3,126,007
Total Corporates
(Cost $962,841,055)					880,971,222
FOREIGN GOVERNMENT OBLIGATIONS — 2.45%
Foreign Government Obligations — 2.45%
Bahrain Government International Bond,
Series REGS
(Bahrain)
7.00%	01/26/263		500,000		516,084
Brazilian Government International Bond
(Brazil)
3.88%	06/12/303		3,010,000		2,697,457
4.63%	01/13/283		830,000		813,307
Chile Government International Bond
(Chile)
2.45%	01/31/313		3,764,000		3,253,362
2.55%	01/27/323		1,257,000		1,076,172
Colombia Government International Bond
(Colombia)
3.00%	01/30/303		2,798,000		2,201,326
3.13%	04/15/313		1,020,000		780,610
4.50%	01/28/263		1,007,000		969,137
8.00%	04/20/333		200,000		205,197
Dominican Republic International Bond
(Dominican Republic)
4.50%	01/30/301,3		3,900,000		3,410,160
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%	09/23/323		1,530,000		1,306,773
Egypt Government International Bond
(Egypt)
7.60%	03/01/291,3		700,000		490,211
Egypt Government International Bond,
Series REGS
(Egypt)
5.25%	10/06/253		1,700,000		1,353,030

Issues	Maturity Date	Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Finance Department Government of Sharjah
(United Arab Emirates)
6.50%	11/23/321,3	$	1,629,000	$	1,663,509
Hungary Government International Bond
(Hungary)
2.13%	09/22/311,3		4,200,000		3,247,020
Indonesia Government International Bond
(Indonesia)
2.85%	02/14/303		3,600,000		3,259,782
Mexico Government International Bond
(Mexico)
2.66%	05/24/313		6,531,000		5,466,780
3.75%	01/11/283		5,025,000		4,836,060
Oman Government International Bond,
Series REGS
(Oman)
5.63%	01/17/283		4,640,000		4,647,053
Panama Government International Bond
(Panama)
2.25%	09/29/323		3,000,000		2,307,600
3.16%	01/23/303		5,251,000		4,625,606
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%	06/23/301,3		2,100,000		1,876,061
Peruvian Government International Bond
(Peru)
1.86%	12/01/323		1,000,000		757,635
2.78%	01/23/313		1,160,000		993,059
2.84%	06/20/303		2,625,000		2,300,313
4.13%	08/25/273		525,000		515,287
Republic of Poland Government International Bond
(Poland)
5.75%	11/16/323		560,000		598,640
Republic of South Africa Government International Bond
(South Africa)
4.30%	10/12/283		1,627,000		1,466,415
4.85%	09/30/293		2,955,000		2,659,057
5.88%	04/20/323		1,064,000		971,006
Romanian Government International Bond,
Series REGS
(Romania)
3.00%	02/14/313		4,400,000		3,632,750
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%	10/22/303		2,220,000		2,049,375
Serbia International Bond
(Serbia)
6.50%	09/26/331,3		450,000		448,312
Uruguay Government International Bond
(Uruguay)
4.38%	01/23/313		2,788,717		2,784,813
Total Foreign Government Obligations
(Cost $79,021,928)					70,178,959

See accompanying Notes to Financial Statements.

239 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED — 63.48%**
Non-Agency Commercial Mortgage-Backed — 8.53%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%	08/10/351	$	7,801,704	$	7,554,293
A10 Bridge Asset Financing,
Series 2021-D, Class A1FL
(SOFR30A plus 1.45%)
6.01%	10/01/381,2		4,230,232		4,025,719
ACRES Commercial Realty Ltd.,
Series 2021-FL1, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.60%)
6.31%	06/15/361,2,3		9,831,000		9,504,831
AREIT Trust,
Series 2020-CRE4, Class B
(Cayman Islands)
(SOFR30A plus 4.26%)
8.82%	04/15/371,2,3		6,063,440		6,021,609
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%	08/10/381,4		7,985,000		7,174,334
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BHP3, Class A
(LIBOR USD 1-Month plus 1.90%)
6.58%	03/15/371,2		8,585,000		8,455,581
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BOC, Class A
2.63%	01/15/321		5,000,000		4,374,256
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BOC, Class X (IO)
0.47%	01/15/321,4		98,610,000		1,475,413
Blackstone Industrial Portfolio - Proj Foxtrot
2.23%	04/09/244,5,6		3,175,016		2,986,420
BX Commercial Mortgage Trust,
Series 2021-XL2, Class J
(LIBOR USD 1-Month plus 3.89%)
8.57%	10/15/381,2		10,564,552		9,558,726
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/411		7,060,000		6,047,518
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/391		2,020,000		1,772,351
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class F
(LIBOR USD 1-Month plus 2.55%)
7.23%	12/15/371,2		9,700,000		9,309,933
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class G
(LIBOR USD 1-Month plus 3.25%)
7.93%	12/15/371,2		8,503,000		8,156,016
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.37%	08/10/494		59,754,592		1,977,985
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.31%	02/10/484		57,654,058		1,004,337

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.19%	10/15/454	$	9,795,832	$	98
Commercial Mortgage Trust,
Series 2013-CR13, Class XA (IO)
0.72%	11/10/464		58,467,016		149,050
Commercial Mortgage Trust,
Series 2014-CR16, Class XA (IO)
0.92%	04/10/474		98,401,840		587,523
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.60%	02/10/371,4		68,872,262		647,082
Credit Suisse Mortgage Capital Trust,
Series 2020-TMIC, Class A
(LIBOR USD 1-Month plus 3.50%)
8.18%	12/15/351,2		11,515,000		11,415,076
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.55%	06/15/524		90,620,962		6,270,295
CSMC,
Series 2021-BPNY, Class A
(LIBOR USD 1-Month plus 3.71%)
8.40%	08/15/231,2		12,734,000		12,158,629
DBJPM Mortgage Trust,
Series 2016-SFC, Class A
2.83%	08/10/361		2,812,500		2,348,084
Grace Trust,
Series 2020-GRCE, Class A
2.35%	12/10/401		8,000,000		6,261,577
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%	02/10/371,4		40,999,000		230,992
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.01%	04/10/474		54,852,826		319,238
GSCG Trust,
Series 2019-600C, Class G
3.99%	09/06/341,4		9,212,000		6,750,562
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/411,4		6,555,000		5,553,364
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
2.94%	12/10/411,4		3,131,000		1,985,617
ILPT Commercial Mortgage Trust,
Series 2022-LPFX, Class A
3.38%	03/15/321		11,770,000		9,970,964
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2022-NLP, Class H
(CME Term SOFR 1-Month plus 5.01%)
9.84%	04/15/371,2		5,424,749		4,482,012
KKR Industrial Portfolio Trust,
Series 2021-KDIP, Class E
(CME Term SOFR 1-Month plus 1.66%)
6.49%	12/15/371,2		5,187,750		4,839,702

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 240

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
KREF Ltd.,
Series 2021-FL2, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.30%)
6.01%	02/15/391,2,3	$	6,900,000	$	6,545,833
Life Mortgage Trust,
Series 2021-BMR, Class G
(CME Term SOFR 1-Month plus 3.06%)
7.89%	03/15/381,2		10,535,474		9,657,872
Med Trust,
Series 2021-MDLN, Class F
(LIBOR USD 1-Month plus 4.00%)
8.69%	11/15/381,2		3,988,152		3,696,937
MF1 Ltd.,
Series 2020-FL4, Class B
(CME Term SOFR 1-Month plus 2.86%)
7.52%	11/15/351,2		11,579,000		11,586,089
MF1 Ltd.,
Series 2020-FL4, Class D
(CME Term SOFR 1-Month plus 4.21%)
8.87%	11/15/351,2		4,850,000		4,739,554
MKT Mortgage Trust,
Series 2020-525M, Class XA (IO)
0.21%	02/12/401,4		147,585,000		1,892,556
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.00%	04/15/484		67,708,840		914,658
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.69%	05/15/484		102,102,948		1,277,393
Morgan Stanley Capital I Trust,
Series 2018-MP, Class A
4.28%	07/11/401,4		4,000,000		3,610,818
MSCG Trust,
Series 2018-SELF, Class E
(LIBOR USD 1-Month plus 2.15%)
6.84%	10/15/371,2		4,625,104		4,317,104
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.32%	01/15/431,4		1,095,000		830,287
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4		1,840,000		1,300,206
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.39%	01/05/431,4		10,000,000		5,998,824
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class D
4.39%	01/05/431,4		13,330,000		7,253,160
VMC Finance LLC,
Series 2021-HT1, Class B
(LIBOR USD 1-Month plus 4.50%)
9.26%	01/18/371,2		10,000,000		9,443,716
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.07%	08/15/504		35,415,369		276,690

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2016-C33, Class XA (IO)
1.57%	03/15/594	$	75,931,994	$	2,721,372
Westfield Galleria at Roseville
3.25%	03/29/255,6		4,300,000		4,277,640
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.15%	12/15/451,4		3,105,998		31
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.65%	06/15/464		48,203,979		138,654
WF-RBS Commercial Mortgage Trust,
Series 2014-C23, Class XA (IO)
0.55%	10/15/574		73,801,106		432,010
					244,280,591
Non-Agency Mortgage-Backed — 32.40%
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.30%)
5.15%	06/25/362		4,637,175		3,268,176
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-NC3, Class A2C
(LIBOR USD 1-Month plus 0.32%)
5.17%	12/25/362		52,866,775		15,152,976
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-OP2, Class A2C
(LIBOR USD 1-Month plus 0.30%)
5.15%	08/25/362		20,352		20,279
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP1, Class A1
(LIBOR USD 1-Month plus 0.32%)
5.17%	03/25/372		28,161,892		13,728,846
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP1, Class A2D
(LIBOR USD 1-Month plus 0.76%)
5.61%	03/25/372		2,232,801		1,074,516
Adjustable Rate Mortgage Trust,
Series 2005-4, Class 5A1
3.33%	08/25/354		1,232,320		954,720
Adjustable Rate Mortgage Trust,
Series 2007-1, Class 1A1
4.40%	03/25/374		1,472,227		1,288,705
Alternative Loan Trust,
Series 2005-74T1, Class A1
6.00%	01/25/36		5,323,090		3,387,732
Alternative Loan Trust,
Series 2005-76, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus
1.48%)
4.62%	01/25/362		2,549,822		2,308,643
Alternative Loan Trust,
Series 2006-HY12, Class A5
3.56%	08/25/364		2,128,739		1,935,963

See accompanying Notes to Financial Statements.

241 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)
5.13%	03/25/462	$	8,478,005	$	7,024,865
American Home Mortgage Investment Trust,
Series 2006-1, Class 12A1
(LIBOR USD 1-Month plus 0.40%)
5.25%	03/25/462		2,628,181		2,146,655
Argent Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2006-W3, Class A2C
(LIBOR USD 1-Month plus 0.36%)
5.21%	04/25/362		38,748,926		11,856,620
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A1A
(LIBOR USD 1-Month plus 1.25%)
6.10%	06/25/372		16,750,340		11,722,940
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
5.85%	06/25/372		3,019,968		2,393,285
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
5.82%	12/25/342		1,176,756		1,068,994
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE5, Class A5
(LIBOR USD 1-Month plus 0.48%)
3.25%	07/25/362		9,754,000		9,248,758
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%	10/25/33		420,080		403,397
Banc of America Funding Trust,
Series 2004-B, Class 5A1
4.11%	11/20/344		150,320		141,357
Banc of America Funding Trust,
Series 2006-D, Class 3A1
3.56%	05/20/364		605,663		528,434
Banc of America Funding Trust,
Series 2015-R3, Class 6A2
4.96%	05/27/361,4		9,615,729		8,966,946
Banc of America Mortgage Trust,
Series 2005-K, Class 2A1
3.92%	12/25/354		656,151		569,984
BCAP LLC Trust,
Series 2007-AA1, Class 2A1
(LIBOR USD 1-Month plus 0.36%)
5.21%	03/25/372		2,492,970		2,256,998
BCAP LLC Trust,
Series 2014-RR3, Class 4A1
3.88%	03/26/361,4		805,892		794,675
Bear Stearns ALT-A Trust,
Series 2005-2, Class 2A4
3.57%	04/25/354		841,278		750,145

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns ALT-A Trust,
Series 2005-8, Class 11A1
(LIBOR USD 1-Month plus 0.54%)
5.39%	10/25/352	$	5,249,950	$	4,669,844
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%	10/25/352		921,447		857,135
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC6, Class 1A3
5.50%	09/25/354		328,869		295,759
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%	03/25/36		14,649		14,388
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 1A1
(LIBOR USD 1-Month plus 0.40%)
5.25%	09/25/472		4,635,397		4,150,886
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 2A1
(LIBOR USD 1-Month plus 0.21%)
5.06%	06/25/372		3,510,777		2,930,727
Carrington Mortgage Loan Trust,
Series 2006-NC4, Class A4
(LIBOR USD 1-Month plus 0.24%)
5.09%	10/25/362		14,364,300		12,325,615
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.53%)
5.37%	02/25/362		1,281,624		1,237,948
Cascade MH Asset Trust,
Series 2022-MH1, Class A (STEP-reset date 05/25/23)
4.25%	08/25/541		6,875,619		6,120,167
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
4.12%	02/25/374		435,394		409,601
CIM Trust,
Series 2019-R3, Class A
2.63%	06/25/581,4		6,726,990		6,163,872
CIM Trust,
Series 2020-R1, Class A1
2.85%	10/27/591,4		10,649,709		8,977,073
CIM Trust,
Series 2020-R3, Class A1A
4.00%	01/26/601,4		6,652,587		6,268,377
CIM Trust,
Series 2020-R6, Class A1A
2.25%	12/25/601,4		5,197,459		4,497,968
CIM Trust,
Series 2020-R7, Class A1A
2.25%	12/27/611,4		8,439,914		7,390,731
CIM Trust,
Series 2021-NR3, Class A1 (STEP-reset date 05/25/23)
2.57%	06/25/571		3,814,074		3,622,920

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 242

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2021-NR4, Class A1 (STEP-reset date 05/25/23)
2.82%	10/25/611	$	13,243,692	$	12,380,005
CIM Trust,
Series 2021-R3, Class A1B
1.95%	06/25/571,4		18,287,000		13,242,811
CIM Trust,
Series 2021-R4, Class A1A
2.00%	05/01/611,4		11,231,941		9,737,073
CIM Trust,
Series 2021-R4, Class A1B
2.00%	05/01/611,4		10,243,493		7,137,478
CIM Trust,
Series 2021-R5, Class A1A
2.00%	08/25/611,4		9,274,488		7,641,251
CIM Trust,
Series 2023-NR1, Class A1 (STEP-reset date 05/25/23)
6.00%	06/25/621		15,423,385		14,924,425
CIM Trust,
Series 2023-R1, Class A1A
5.40%	04/25/621,4		13,739,230		13,351,784
Citigroup Mortgage Loan Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
5.11%	11/25/352		41,797		33,644
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.53%	06/25/364		70,886		64,591
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.32%)
5.17%	12/25/362		6,267,445		4,005,026
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2D
(LIBOR USD 1-Month plus 0.46%)
5.31%	12/25/362		6,698,033		4,288,026
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-3, Class 1A2
(LIBOR USD 1-Month plus 0.58%)
5.43%	04/25/352		2,580,564		2,310,038
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
5.45%	05/25/352		62,947		51,501
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR26, Class 3A1
4.47%	11/25/334		333,964		311,495
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-11, Class 1A1
6.50%	12/25/35		521,291		275,658
Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates,
Series 2004-AR5, Class 9A1
3.02%	06/25/344		28,735		27,402

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Certificates,
Series 2022-RPL1, Class CERT
4.23%	04/25/611	$	508,087	$	439,155
Credit Suisse Mortgage Capital Trust,
Series 2006-8, Class 3A1
6.00%	10/25/21		24,960		12,372
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.46%	02/25/601,4		9,858,169		9,928,002
Credit Suisse Mortgage Capital Trust,
Series 2022-RPL1, Class PT
4.45%	04/25/611,4		11,954,550		10,425,540
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF3 (STEP-reset date 05/25/23)
3.04%	12/25/36		659,086		506,705
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A2
(LIBOR USD 1-Month plus 0.22%)
5.07%	11/25/362		7,140,077		3,323,164
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF2 (STEP-reset date 05/25/23)
3.13%	01/25/37		2,497,070		753,222
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(LIBOR USD 1-Month plus 0.09%)
3.03%	04/25/372		699,708		677,091
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
3.40%	04/25/372		1,308,732		906,820
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 05/25/23)
3.53%	02/25/37		4,312,750		2,645,812
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/23)
3.53%	02/25/37		1,032,221		627,259
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 05/25/23)
3.29%	03/25/37		5,499,502		2,106,427
CSMC Mortgage-Backed Trust,
Series 2006-1, Class 1A4
5.50%	02/25/36		2,839,964		2,520,653
CSMC Trust,
Series 2021-RPL7, Class A1
1.93%	07/27/611,4		8,314,500		7,665,825
CSMCM Trust,
Series 2018-SP3, Class CERT
5.23%	10/25/581,4		13,463,295		11,300,253
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.72%)
5.48%	01/19/452		437,348		354,510

See accompanying Notes to Financial Statements.

243 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
DSLA Mortgage Loan Trust,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.58%)
5.34%	10/19/452	$	3,403,568	$	2,909,874
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
4.96%	10/19/362		5,385,592		3,613,937
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
4.90%	03/19/372		1,203,823		965,926
Fannie Mae Connecticut Avenue Securities,
Series 2019-R06, Class 2B1
(LIBOR USD 1-Month plus 3.75%)
8.60%	09/25/391,2		6,276,594		6,116,423
Fannie Mae Connecticut Avenue Securities,
Series 2021-R01, Class 1B1
(SOFR30A plus 3.10%)
7.66%	10/25/411,2		2,500,000		2,362,798
Fannie Mae Connecticut Avenue Securities,
Series 2021-R02, Class 2B1
(SOFR30A plus 3.30%)
7.86%	11/25/411,2		10,000,000		9,390,406
Fannie Mae Connecticut Avenue Securities,
Series 2021-R03, Class 1B2
(SOFR30A plus 5.50%)
10.06%	12/25/411,2		3,950,000		3,496,273
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
5.17%	10/25/362		12,246,590		8,218,433
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
5.06%	12/25/372		732,483		644,020
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3
(LIBOR USD 1-Month plus 0.56%)
4.83%	03/25/362		2,509,146		2,476,529
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class M1
(LIBOR USD 1-Month plus 0.41%)
5.25%	04/25/362		3,860,000		2,918,983
First Franklin Mortgage Loan Trust,
Series 2006-FF9, Class 2A4
(LIBOR USD 1-Month plus 0.50%)
5.35%	06/25/362		8,650,000		7,551,268
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)
5.29%	01/25/382		3,944,648		2,116,417
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
4.95%	03/25/372		543,926		266,005

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
5.10%	09/25/344	$	133,234	$	117,825
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A3
5.10%	09/25/344		204,873		181,178
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
4.23%	12/25/354		773,147		631,341
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
4.71%	02/25/364		1,021,523		676,462
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA2, Class 2A1
5.02%	04/25/354		1,344,170		1,291,917
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA3, Class 3A1
4.46%	05/25/354		982,297		873,523
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
5.08%	09/25/354		1,346,226		1,144,291
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
5.23%	10/25/354		1,694,519		1,125,113
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
4.30%	11/25/354		988,708		845,767
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA1, Class 1A1
5.26%	03/25/364		1,162,044		896,585
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA7, Class A1
4.21%	01/25/374		1,928,499		1,417,547
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 1A1
3.28%	09/25/354		1,224,177		779,519
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1
3.98%	10/25/354		42,491		39,460
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR5, Class 2A1
4.31%	11/25/354		567,794		457,633
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR2, Class 1A2
3.80%	08/25/374		53,343		18,007
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA2, Class M2
(SOFR30A plus 2.30%)
6.86%	08/25/331,2		9,435,000		9,286,903
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA3, Class M2
(SOFR30A plus 2.10%)
6.66%	10/25/331,2		5,245,000		5,069,065

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 244

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA1, Class M2
(SOFR30A plus 2.25%)
6.81%	08/25/331,2	$	9,450,000	$	9,101,221
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA2, Class M2
(SOFR30A plus 2.05%)
6.61%	12/25/331,2		5,000,000		4,728,228
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M1B
(SOFR30A plus 1.85%)
6.41%	01/25/421,2		3,485,000		3,302,611
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 2A1
4.15%	09/19/354		1,256,653		881,263
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 3A1
3.88%	09/19/354		1,005,965		841,124
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.28%	04/19/364		2,677,960		2,025,547
Greenpoint Manufactured Housing,
Series 2000-1, Class A4
8.14%	03/20/304		4,679,384		3,487,417
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.40%)
5.25%	03/25/472		8,600,253		7,583,273
GSAMP Trust,
Series 2007-FM2, Class A1
(LIBOR USD 1-Month plus 0.14%)
4.99%	01/25/372		17,857,153		10,610,454
GSR Mortgage Loan Trust,
Series 2005-7F, Class 3A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap)
0.65%	09/25/352,5,6		10,858		199
GSR Mortgage Loan Trust,
Series 2005-AR4, Class 5A1
3.75%	07/25/354		356,208		325,958
GSR Mortgage Loan Trust,
Series 2006-AR2, Class 2A1
3.55%	04/25/364		170,358		113,019
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 5A1A
4.31%	05/25/374		451,074		383,885
HarborView Mortgage Loan Trust,
Series 2005-10, Class 2A1A
(LIBOR USD 1-Month plus 0.62%)
5.38%	11/19/352		928,637		668,437
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.42%)
5.18%	09/19/462		8,456,255		7,165,906

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust,
Series 2007-6, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
4.96%	08/19/372	$	9,634,073	$	7,852,509
Home Equity Mortgage Loan Asset-Backed Trust,
Series 2005-D, Class AII4
(LIBOR USD 1-Month plus 0.70%)
5.55%	03/25/362		1,352,218		1,333,762
HSI Asset Securitization Corp. Trust,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
5.48%	11/25/352		1,433,550		1,397,258
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
5.13%	10/25/362		10,976,815		3,651,379
HSI Asset Securitization Corp. Trust,
Series 2006-HE2, Class 1A
(LIBOR USD 1-Month plus 0.26%)
5.11%	12/25/362		26,802,476		11,236,788
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A1
(LIBOR USD 1-Month plus 0.10%)
4.95%	07/25/362		10,197,950		4,592,706
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A2
(LIBOR USD 1-Month plus 0.20%)
5.05%	07/25/362		11,287,166		5,107,034
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A4
(LIBOR USD 1-Month plus 0.50%)
5.35%	07/25/362		9,870,098		4,526,652
Impac CMB Trust,
Series 2005-2, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
5.37%	04/25/352		1,891,455		1,748,511
IndyMac Index Mortgage Loan Trust,
Series 2005-AR14, Class 1A1A
(LIBOR USD 1-Month plus 0.56%)
5.41%	07/25/352		8,225,609		5,772,469
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
3.29%	10/25/354		1,796,299		1,393,729
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 1A3
(LIBOR USD 1-Month plus 0.54%)
5.39%	10/25/362		5,070,200		2,118,360
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A2A
(LIBOR USD 1-Month plus 0.50%)
5.35%	05/25/462		10,663,809		10,033,949
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 3A1
3.34%	05/25/364		211,218		169,763

See accompanying Notes to Financial Statements.

245 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2006-AR9, Class 3A3
3.16%	06/25/364	$	2,755,166	$	2,247,042
IndyMac Index Mortgage Loan Trust,
Series 2007-FLX4, Class 2A1
(LIBOR USD 1-Month plus 0.18%)
5.03%	07/25/372		12,012,297		10,854,538
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		20,419		20,632
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(LIBOR USD 1-Month plus 0.29%)
5.14%	07/25/362		2,684,272		2,665,688
JPMorgan Mortgage Acquisition Trust,
Series 2006-WMC4, Class A1A
(LIBOR USD 1-Month plus 0.13%)
4.98%	12/25/362		7,206,930		4,237,738
JPMorgan Mortgage Acquisition Trust,
Series 2006-WMC4, Class A4
(LIBOR USD 1-Month plus 0.15%)
5.00%	12/25/362		9,067,635		4,766,271
JPMorgan Mortgage Trust,
Series 2005-A6, Class 7A1
4.01%	08/25/354		16,457		13,405
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
3.78%	05/25/364		17,078		14,057
Legacy Mortgage Asset Trust,
Series 2017-RPL1, Class A
(LIBOR USD 1-Month plus 1.75%)
6.58%	01/28/701,2		2,321,576		2,316,267
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
5.15%	11/25/352		786,144		762,553
Lehman XS Trust,
Series 2006-17, Class 1A3
(LIBOR USD 1-Month plus 0.50%)
5.35%	08/25/462		12,719,586		10,917,062
Lehman XS Trust,
Series 2006-GP2, Class 1A5A
(LIBOR USD 1-Month plus 0.42%)
5.27%	06/25/462		3,529,961		3,134,509
Lehman XS Trust,
Series 2007-18N, Class 1A1
(LIBOR USD 1-Month plus 1.70%)
6.55%	10/25/372		3,036,493		2,717,522
Long Beach Mortgage Loan Trust,
Series 2006-2, Class 1A
(LIBOR USD 1-Month plus 0.36%)
5.21%	03/25/462		6,307,668		5,169,175

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Long Beach Mortgage Loan Trust,
Series 2006-9, Class 2A2
(LIBOR USD 1-Month plus 0.22%)
5.07%	10/25/362	$	49,129,004	$	15,185,974
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
3.88%	11/25/334		102,590		95,838
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 8A1
4.95%	10/25/344		82,084		78,564
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
4.02%	04/25/344		30,337		27,726
MASTR Adjustable Rate Mortgages Trust,
Series 2006-OA2, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus
0.80%)
3.94%	12/25/462		16,267,842		11,998,866
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.30%)
5.15%	03/25/472		2,186,149		1,882,340
MASTR Asset-Backed Securities Trust,
Series 2006-WMC1, Class A3
(LIBOR USD 1-Month plus 0.36%)
5.21%	02/25/362		16,254,893		6,303,642
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
(LIBOR USD 1-Month plus 0.28%)
5.13%	05/25/372		3,150,000		2,429,495
MASTR Asset-Backed Securities Trust,
Series 2007-WMC1, Class A2
(LIBOR USD 1-Month plus 0.05%)
4.90%	01/25/372		16,402,243		4,608,804
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.66%)
5.51%	04/25/372,5,6		883,581		39,003
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A2
(LIBOR USD 1-Month plus 0.42%)
5.27%	04/25/372		7,567,206		6,191,208
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.50%)
5.35%	04/25/372		17,102,051		6,740,392
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A4
(LIBOR USD 1-Month plus 0.25%)
5.10%	07/25/372		878,684		759,041
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-5, Class 1A
(LIBOR USD 1-Month plus 0.85%)
5.70%	10/25/372		22,996,507		13,337,622

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 246

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
4.30%	10/25/334	$	67,544	$	65,188
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.40%)
7.43%	08/25/362		667,470		578,245
Morgan Stanley ABS Capital I Trust,
Series 2006-NC2, Class A2D
(LIBOR USD 1-Month plus 0.58%)
5.43%	02/25/362		1,077,405		1,053,738
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
5.15%	06/25/362		9,195,672		4,735,112
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.48%)
5.33%	06/25/362		9,809,706		5,106,007
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2007-NC3, Class A2C
(LIBOR USD 1-Month plus 0.19%)
5.04%	05/25/372		22,061,496		15,326,925
Morgan Stanley Home Equity Loan Trust,
Series 2006-3, Class A4
(LIBOR USD 1-Month plus 0.52%)
5.37%	04/25/362		11,798,844		8,116,926
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
4.19%	09/25/344		192,543		182,955
Morgan Stanley Mortgage Loan Trust,
Series 2006-2, Class 1A
5.25%	02/25/21		44,300		40,927
MortgageIT Trust,
Series 2005-2, Class 2A
(LIBOR USD 1-Month plus 1.65%)
6.31%	05/25/352		526,386		483,581
New York Mortgage Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.48%)
5.33%	02/25/362		185,729		180,824
Nomura Asset Acceptance Corp.,
Series 2005-AR4, Class 4A1
4.40%	08/25/354		2,222,684		1,560,396
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 05/25/23)
6.00%	07/25/591		8,953,515		8,893,266
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/294		10,215,029		2,606,047
Option One Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.18%)
5.03%	04/25/372		12,898,411		7,297,228

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Option One Mortgage Loan Trust,
Series 2007-5, Class 2A2
(LIBOR USD 1-Month plus 0.17%)
5.02%	05/25/372	$	18,889,097	$	10,099,341
Ownit Mortgage Loan Trust,
Series 2006-2, Class A1
(LIBOR USD 1-Month plus 0.42%)
5.27%	01/25/372		4,242,809		4,042,440
PHH Alternative Mortgage Trust,
Series 2007-2, Class 1A4
(LIBOR USD 1-Month plus 0.60%)
5.45%	05/25/372		6,838,687		6,157,929
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
5.16%	06/25/472		4,734,133		4,295,820
PRET LLC,
Series 2022-RN2, Class A2 (STEP-reset date 04/25/23)
6.50%	06/25/521		16,833,000		15,500,145
PRET, LLC,
Series 2022-RN1, Class A1 (STEP-reset date 04/25/23)
3.72%	07/25/511		15,221,012		14,347,555
Pretium Mortgage Credit Partners LLC,
Series 2022-RN3, Class A2
6.50%	08/25/521,4		14,985,000		13,839,613
PRPM LLC,
Series 2021-9, Class A1 (STEP-reset date 04/25/23)
2.36%	10/25/261		16,116,085		15,289,728
PRPM, LLC,
Series 2021-8, Class A1
1.74%	09/25/261,4		9,061,118		8,507,011
RAAC Trust,
Series 2005-SP1, Class 4A1
7.00%	09/25/34		39,276		31,276
Residential Accredit Loans Trust,
Series 2005-QA13, Class 2A1
4.65%	12/25/354		1,365,512		1,079,652
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.91%	04/25/354		7,293		7,059
Residential Accredit Loans Trust,
Series 2005-QA7, Class A21
3.94%	07/25/354		488,651		439,782
Residential Accredit Loans Trust,
Series 2005-QA8, Class CB21
4.38%	07/25/354		548,988		304,901
Residential Accredit Loans Trust,
Series 2006-QS13, Class 2A1
5.75%	09/25/21		3,380		1,993
Residential Accredit Loans Trust,
Series 2006-QS16, Class A6
6.00%	11/25/36		335,688		274,831
Residential Accredit Loans Trust,
Series 2007-QA3, Class A1
(LIBOR USD 1-Month plus 0.20%)
5.05%	05/25/372		12,550,677		11,042,482

See accompanying Notes to Financial Statements.

247 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2007-QH6, Class A1
(LIBOR USD 1-Month plus 0.38%)
5.23%	07/25/372	$	7,798,105	$	7,009,819
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2AV (IO)
0.17%	01/25/374,5,6		1,500,899		8,510
Residential Asset Securitization Trust,
Series 2006-A9CB, Class A9
6.00%	09/25/36		4,927,161		1,629,379
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 1A
4.11%	04/25/374		233,625		136,159
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
5.09%	05/25/472		12,948,957		8,978,009
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/23)
2.86%	01/25/36		3,610,203		2,839,302
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-WM4, Class A1
(LIBOR USD 1-Month plus 0.38%)
5.23%	11/25/361,2		8,804,929		4,066,162
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
5.08%	02/25/372		5,923,809		2,594,007
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR4, Class A2B
(LIBOR USD 1-Month plus 0.20%)
5.05%	05/25/372		9,707,534		5,999,611
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.30%)
5.15%	12/25/362		5,575,585		3,219,675
Soundview Home Loan Trust,
Series 2007-OPT1, Class 2A3
(LIBOR USD 1-Month plus 0.21%)
5.06%	06/25/372		18,649,406		12,662,421
Soundview Home Loan Trust,
Series 2007-WMC1, Class 3A3
(LIBOR USD 1-Month plus 0.26%)
5.11%	02/25/372		983,414		286,246
Specialty Underwriting & Residential Finance Trust,
Series 2007-BC2, Class A1
(LIBOR USD 1-Month plus 0.23%)
5.08%	04/25/372		19,872,050		13,998,428
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
4.82%	09/25/344		322,329		308,899
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-2, Class 4A2
4.97%	03/25/344		696,908		658,608

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
4.12%	06/25/354	$	263,973	$	231,717
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-21, Class 2A
4.95%	11/25/354		686,762		541,809
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-7, Class 1A3
4.28%	04/25/354		1,955,852		1,776,074
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-11, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
5.17%	12/25/362		958,834		854,350
Structured Asset Investment Loan Trust,
Series 2004-6, Class A3
(LIBOR USD 1-Month plus 0.80%)
5.65%	07/25/342		8,163,629		7,904,638
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
3.45%	05/25/364		442,242		238,205
Structured Asset Mortgage Investments II Trust,
Series 2006-AR5, Class 1A1
(LIBOR USD 1-Month plus 0.42%)
5.27%	05/25/362		186,323		121,599
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
4.97%	08/25/362		6,124,782		5,124,864
Structured Asset Mortgage Investments II Trust,
Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
1.50%)
4.64%	08/25/472		9,007,572		7,392,248
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-2XS, Class 2A2
(LIBOR USD 1-Month plus 1.50%)
6.16%	02/25/352		54,915		54,285
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-4XS, Class 2A1A
(LIBOR USD 1-Month plus 1.75%)
6.41%	03/25/352		905,749		856,959
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates,
Series 2003-34A, Class 3A3
4.62%	11/25/334		16,022		15,460
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-4, Class 3A1
3.67%	10/25/374		823,625		713,585
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-S1, Class 2A1
4.40%	01/25/374		305,465		290,086
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-S1, Class 5A1
4.16%	01/25/374		71,837		65,939

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 248

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Towd Point Mortgage Trust,
Series 2017-4, Class B1
3.50%	06/25/571,4	$	8,650,000	$	7,205,717
VOLT XCIV LLC,
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/23)
2.24%	02/27/511		12,063,592		11,344,966
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
4.96%	01/25/372		5,219,218		2,355,594
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(LIBOR USD 1-Month plus 0.22%)
5.07%	02/25/372		28,356,460		8,361,139
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR13, Class A1A
(LIBOR USD 1-Month plus 0.72%)
5.57%	11/25/342		105,656		95,164
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
4.09%	01/25/354		333,658		297,887
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.84%)
5.69%	05/25/442		5,954		5,925
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
3.81%	10/25/354		724,476		648,765
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
3.77%	12/25/354		16,783		14,944
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR16, Class 1A3
3.86%	12/25/354		911,280		808,059
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
5.51%	01/25/452		331,274		315,482
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR9, Class A1A
(LIBOR USD 1-Month plus 0.64%)
5.49%	07/25/452		415,517		376,467
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus
1.00%)
4.14%	02/25/462		3,108,139		2,685,912
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus
0.94%)
3.65%	05/25/462		1,351,006		1,149,686

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus
0.98%)
4.12%	07/25/462	$	3,044,248	$	2,563,178
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY3, Class 1A1
3.46%	03/25/374		1,547,882		1,196,508
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA5, Class 1A
(Federal Reserve US 12-Month Cumulative Average plus
0.75%)
3.89%	06/25/472		1,251,054		971,466
WaMu Mortgage Pass-Through Certificates,
Series 2007-OC1, Class A1
(LIBOR USD 1-Month plus 0.48%)
5.33%	01/25/472		4,459,463		4,133,027
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		1,280,272		1,088,452
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2007-1, Class A3
(LIBOR USD 1-Month plus 0.64%)
5.49%	03/25/372		4,690,000		4,053,560
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A1
4.51%	10/25/364		308,918		284,534
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 1A1
4.39%	04/25/364		70,259		63,647
					928,556,506
U.S. Agency Commercial Mortgage-Backed — 1.15%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
3.04%	07/25/394		10,444,015		208,679
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.05%	04/25/364		5,583,214		48,965
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.67%	01/25/394		20,834,639		303,523
Fannie Mae-Aces,
Series 2019-M29, Class X4 (IO)
0.70%	03/25/294		117,375,779		3,618,766
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
0.77%	07/25/334		14,520,699		1,210,519
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K031, Class X1 (IO)
0.17%	04/25/234		176,676,135		857
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K043, Class X3 (IO)
1.63%	02/25/434		58,000,000		1,570,472

See accompanying Notes to Financial Statements.

249 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K051, Class X3 (IO)
1.61%	10/25/434	$	44,865,280	$	1,655,457
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K054, Class X1 (IO)
1.16%	01/25/264		52,039,593		1,386,405
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K055, Class X3 (IO)
1.65%	04/25/444		32,000,000		1,394,262
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K056, Class X1 (IO)
1.24%	05/25/264		54,440,659		1,702,101
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K057, Class X1 (IO)
1.17%	07/25/264		119,523,669		3,592,081
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K726, Class X1 (IO)
0.90%	04/25/244		101,708,936		638,132
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC05, Class X1 (IO)
1.21%	06/25/274		85,870,771		2,573,800
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC07, Class X1 (IO)
0.72%	09/25/264		82,853,534		1,433,702
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF31, Class A
(LIBOR USD 1-Month plus 0.37%)
5.04%	04/25/242		820,981		820,215
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KIR1, Class X (IO)
1.04%	03/25/264		112,403,507		2,915,994
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KL05, Class X1HG (IO)
1.22%	12/25/274		49,531,000		2,130,451
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS06, Class X (IO)
1.05%	08/25/264		65,140,327		1,532,270
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS07, Class X (IO)
0.62%	09/25/254		100,092,281		1,401,672

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
FREMF Mortgage Trust,
Series 2019-KF71, Class B
(LIBOR USD 1-Month plus 2.30%)
6.97%	10/25/291,2	$	745,185	$	703,805
FREMF Mortgage Trust,
Series 2020-KF75, Class B
(LIBOR USD 1-Month plus 2.25%)
6.92%	12/25/291,2		1,736,776		1,632,507
Ginnie Mae,
Series 2011-152, Class IO (IO)
0.00%	08/16/514		4,701,816		5
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.13%	02/16/534		23,090,913		68,716
Ginnie Mae,
Series 2012-78, Class IO (IO)
0.09%	06/16/524		31,268,558		22,699
Ginnie Mae,
Series 2014-103, Class IO (IO)
0.19%	05/16/554		14,253,826		102,655
Ginnie Mae,
Series 2014-125, Class IO (IO)
0.91%	11/16/544		8,739,210		216,414
					32,885,124
U.S. Agency Mortgage-Backed — 21.40%
Fannie Mae REMICS,
Series 2006-11, Class PS
(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap)
6.80%	03/25/362		11,063		13,377
Fannie Mae REMICS,
Series 2006-8, Class HJ (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
1.75%	03/25/362		466,037		44,867
Fannie Mae REMICS,
Series 2007-52, Class LS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
1.20%	06/25/372		25,360		1,372
Fannie Mae REMICS,
Series 2007-77, Class SK (IO)
(-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap)
1.02%	08/25/372		50,351		4,302
Fannie Mae REMICS,
Series 2007-88, Class JI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap)
1.60%	04/25/372		529,564		49,794
Fannie Mae REMICS,
Series 2008-18, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap)
2.15%	03/25/382		34,633		1,855
Fannie Mae REMICS,
Series 2008-62, Class SN (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
1.35%	07/25/382		64,332		4,405

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 250

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
1.75%	10/25/402	$	28,483	$	2,892
Fannie Mae REMICS,
Series 2013-5, Class GF
(LIBOR USD 1-Month plus 1.10%)
5.00%	10/25/422		140,870		136,410
Fannie Mae REMICS,
Series 2014-49, Class CF
(LIBOR USD 1-Month plus 1.00%)
5.66%	07/25/432		4,570,881		4,540,480
Freddie Mac REMICS,
Series 3339, Class JS
(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap)
12.39%	07/15/372		7,407		10,671
Freddie Mac REMICS,
Series 3404, Class AS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)
1.21%	01/15/382		34,696		3,021
Freddie Mac REMICS,
Series 3439, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)
1.22%	04/15/382		27,331		1,724
Freddie Mac REMICS,
Series 3885, Class PO (PO)
0.00%	11/15/3311		10,278		8,683
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
1.93%	04/15/422		65,891		7,243
Freddie Mac REMICS,
Series 4993, Class OP (PO)
0.00%	10/25/5811		2,087,367		1,866,654
Ginnie Mae (TBA)
4.50%	04/20/53		15,050,000		14,829,641
5.00%	04/20/53		7,150,000		7,159,496
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%	11/16/41		62,382		11,258
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%	06/16/372		362,130		2,190
Ginnie Mae,
Series 2011-81, Class IC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap)
0.62%	07/20/352		430,956		5,067
Ginnie Mae,
Series 2013-135, Class CS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
1.47%	09/16/432		1,405,899		152,725
Ginnie Mae,
Series 2017-136, Class IO (IO)
5.00%	09/20/47		272,510		60,466

Issues	Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
UMBS (TBA)
2.00%	05/01/53	$	103,550,000	$	85,689,585
2.50%	05/01/53		123,200,000		106,327,453
3.00%	05/01/53		102,150,000		91,723,565
3.50%	05/01/53		2,625,000		2,440,044
4.00%	05/01/53		46,500,000		44,501,960
4.50%	04/15/53		26,000,000		25,474,209
4.50%	05/01/53		56,700,000		55,572,142
5.00%	05/01/53		110,000,000		109,694,922
5.50%	04/01/53		62,375,000		63,009,714
					613,352,187
Total Mortgage-Backed
(Cost $2,080,364,065)					1,819,074,408
MUNICIPAL BONDS — 0.42%*
California — 0.10%
California State University Revenue Bonds, University & College Improvements, Series B
2.37%	11/01/35		1,995,000		1,543,866
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		1,240,501
					2,784,367
Florida — 0.15%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.81%	10/01/34		1,000,000		832,070
2.86%	10/01/35		1,750,000		1,441,977
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.35%	10/01/29		2,000,000		1,865,333
					4,139,380
New York — 0.17%
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%	11/15/49		975,000		876,705
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI
3.95%	08/01/32		1,000,000		935,609
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%	03/15/33		3,100,000		3,177,397
					4,989,711
Total Municipal Bonds
(Cost $14,091,396)					11,913,458
U.S. TREASURY SECURITIES — 0.98%
U.S. Treasury Bonds — 0.74%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.63%	10/15/2712		20,827,786		21,242,224

See accompanying Notes to Financial Statements.

251 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Issues	Maturity     Date		Principal   Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes — 0.24%
U.S. Treasury Notes
3.63%		03/31/28	$	6,806,000	$	6,818,495
Total U.S. Treasury Securities
(Cost $27,993,372)						28,060,719
Total Bonds — 114.57%
(Cost $3,670,989,691)						3,282,921,912
Issues			Shares		Value
COMMON STOCK — 0.33%
Communications — 0.13%
Intelsat Emergence SA3,5,6
(Luxembourg)				141,055		3,667,430
Electric — 0.00%
Homer City Holdings LLC†,5,6				112,222		—
Financials — 0.20%
AGNC Investment Corp.				582,000		5,866,560
Total Common Stock
(Cost $17,377,911)						9,533,990
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A†,3,5,6,9
(Luxembourg)				14,771		—
Intelsat Jackson Holdings SA, Series B†,3,5,6,9
(Luxembourg)				14,771		—
						—
Total Rights
(Cost $–)						—
Issues	Maturity   Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 4.66%
Money Market Funds — 1.98%
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
4.73%13				56,651,000		56,651,000
U.S. Treasury Bills — 2.68%
U.S. Treasury Bills
4.58%14		06/01/23		20,000,000		19,851,016
4.76%14		08/03/23		30,000,000		29,521,658
5.06%14		08/31/23		3,000,000		2,942,099

Issues	Maturity   Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
U.S. Treasury Bills (WI)
4.76%14		07/18/23	$	25,000,000	$	24,657,524
						76,972,297
Total Short-Term Investments
(Cost $133,604,526)						133,623,297
Total Investments - 119.56%
(Cost $3,821,972,128)						3,426,079,199
Net unrealized appreciation on unfunded commitments
- 0.00%						616
Liabilities in Excess of Other Assets - (19.56)%						(560,548,775	)
Net Assets - 100.00%					$	2,865,531,040

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

²  Floating rate security. The rate disclosed was in effect at March 31, 2023.

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 $20,934,885, which is 0.73% 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 $51,094, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum.

⁸  Perpetual security with no stated maturity date.

⁹  Non-income producing security.

¹⁰  Security is currently in default with regard to scheduled interest or principal payments.

¹¹  Zero coupon bond. The rate shown is the effective yield as of March 31, 2023.

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

¹³  Represents the current yield as of March 31, 2023.

¹⁴  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.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 252

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

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

(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

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

(WI): When Issued

See accompanying Notes to Financial Statements.

253 / Annual Report March 2023

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
EUR 1,724,000		USD 1,869,912		Citibank N.A.		04/13/23	$	4,493
USD 295,780		EUR 274,000		Bank of America N.A.		04/13/23		(2,124)
USD 52,226,925		EUR 48,344,000		Citibank N.A.		04/13/23		(334,693)
USD 1,332,081		EUR 1,252,000		Goldman Sachs International		04/13/23		(29,146)
USD 1,668,880		GBP 1,367,000		Goldman Sachs International		04/13/23		(21,802)
								(387,765)
NET UNREALIZED DEPRECIATION							$	(383,272)

Description	Number of     Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		4,214		06/30/23	$	869,993,473	$	8,326,546	$	8,326,546
U.S. Treasury Five-Year Note		3,514		06/30/23		384,810,455		7,608,713		7,608,713
						1,254,803,928		15,935,259		15,935,259
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		3,263		06/21/23		(395,281,859)		(11,583,791)		(11,583,791)
U.S. Treasury Ultra Bond		859		06/21/23		(121,226,375)		(5,443,799)		(5,443,799)
Euro-Bobl Future		156		06/08/23		(19,979,033)		(277,978)		(277,978)
Euro-Bund Future		143		06/08/23		(21,104,422)		(765,255)		(765,255)
Euro-Buxl 30 Year		16		06/08/23		(2,448,598)		(34,184)		(34,184)
						(560,040,287)		(18,105,007)		(18,105,007)
TOTAL FUTURES CONTRACTS					$	694,763,641	$	(2,169,748)	$	(2,169,748	)

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 254

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2023

Reference Obligation/Index	Financing Rate Paid by the Fund	Payment Frequency	Implied Credit Spread at 03/31/231		Counterparty	Expiration Date		Notional Amount (000's)2		Value3		Premiums Paid		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES
OTC4
					Credit Suisse
Berry Global, Inc., 5.63%, due					First Boston
07/15/27	5.00%	3 Months		175	International		12/20/23		$    10,370	$	256,242	$	229,737	$	26,505
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		9,250		93,403		66,973		26,430
TOTAL										$	349,645	$	296,710	$	52,935

¹  An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

²  The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³  The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴  If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

			Received by the Fund		Paid by the Fund
Description	Maturity Date		Rate	Frequency	Rate	Frequency	Notional Amount (000's)		Value		Premiums Paid		Unrealized (Depreciation)
SWAPS: INTEREST RATE
			USD-SOFR-
Interest Rate Swap1		09/20/53	COMPOUND	Annual	3.00%	Annual	$	10,984	$	(247,757)	$	—	$	(247,757)
			USD-SOFR-
Interest Rate Swap1		09/20/53	COMPOUND	Annual	3.00%	Annual		10,038		(226,419)		—		(226,419)
TOTAL SWAPS CONTRACTS							$	21,022	$	(474,176)	$	—	$	(474,176)

¹    Centrally cleared.

See accompanying Notes to Financial Statements.

255 / Annual Report March 2023

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Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2023

ASSETS:	ALPHATRAK 500 FUND		CORPORATE  BOND FUND		ESG SECURITIZED FUND
Investments, at value - Unaffiliated (Cost $30,053,970, $8,450,515 and $10,877,973, respectively) (Note 2)	$	28,914,724	$	7,220,241	$	9,743,259
Investments, at value - Affiliated (Cost $0, $0 and $0, respectively) (Note 5)		—		—		—
Cash and cash equivalents (Note 2)		117		—		—
Cash on deposit with brokers for collateral on swaps (Note 2)		—		8,901		—
Cash on deposit with brokers for collateral on futures (Note 2)		2,708,000		42,000		32,000
Receivable for securities sold		2,228,766		69,106		824,058
Receivable for daily variation margin on futures contracts (Note 3)		401,363		3,594		5,134
Dividends and interest receivable		122,597		67,964		29,381
Due from Adviser (Note 6)		49,544		51,793		81,047
Receivable for capital stock sold		18,919		29		17,500
Unrealized appreciation on foreign currency transactions		—		—		106
Other assets		12,592		2,540		41,863
Total assets		34,456,622		7,466,168		10,774,348
Liabilities:
Bank overdraft		—		63		—
Foreign bank overdraft (Cost $0, $0 and $3,816, respectively)		—		—		3,887
Payable for securities purchased		5,336,346		195,060		2,288,707
Payable for capital stock redeemed		42,449		3,465		7,567
Distributions payable		78		614		—
Unrealized depreciation on foreign currency exchange contracts		—		—		3,724
Unrealized depreciation on swap contracts		—		1,714		—
Payable for daily variation margin on futures contracts (Note 3)		—		3,961		1,588
Advisory fees payable (Note 6)		9,582		2,453		3,628
Accrued trustees fees and expenses		1		4		—
Accrued distribution (12b-1) and service fees payable		—		911		6
Administrative fees payable		33,258		30,677		18,169
Custodian fees payable		18,106		26,485		17,031
Audit fees payable		35,015		23,692		16,070
Accrued other expenses		20,334		11,208		3,123
Total liabilities		5,495,169		300,307		2,363,500
Net assets	$	28,961,453	$	7,165,861	$	8,410,848
Class M Shares:
Net assets (Applicable to 2,934,340, 475,695 and 5,958, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	28,961,453	$	4,296,133	$	50,334
Net asset value, offering and redemption price per Class M share	$	9.87	$	9.03	$	8.45
Class I Shares:
Net assets (Applicable to 0, 317,762 and 989,282, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A	$	2,869,728	$	8,360,514
Net asset value, offering and redemption price per Class I share		N/A	$	9.03	$	8.45
Net Assets Consist of:
Paid-in Capital (Note 9)	$	34,780,560	$	9,621,971	$	10,185,966
Accumulated Earnings (Loss)		(5,819,107)		(2,456,110)		(1,775,118)
Net assets	$	28,961,453	$	7,165,861	$	8,410,848

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 257

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2023

ASSETS:	FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND
Investments, at value - Unaffiliated (Cost $435,293,087,
$349,315,183 and $516,258,474, respectively) (Note 2)	$	398,184,531	$	335,135,582		$	479,177,110
Investments, at value - Affiliated (Cost $0, $0 and $27,171,821,respectively) (Note 5)		—		—			—
Cash and cash equivalents (Note 2)		46,541		495,450			214,812
Foreign Currency, at value (Cost $3, $0 and $20, respectively)		3		—			20
Cash on deposit with brokers for collateral on futures (Note 2)		1,435,000		—			2,780,000
Receivable for securities sold		62,394,851		18,271,958			8,969,261
Dividends and interest receivable		2,713,236		1,634,817			7,227,087
Receivable for capital stock sold		749,652		372,649			185,782
Receivable for daily variation margin on futures contracts (Note 3)		282,216		—			19,680
Due from Adviser (Note 6)		105,856		5,204			4,028
Unrealized appreciation on foreign currency transactions		1,243		1,012			3,141
Premiums paid for swap contracts		—		—			102,833
Unrealized appreciation on swap contracts		—		—			15,927
Other assets		195		19,289			1,539
Total assets		465,913,324		355,935,961			498,701,220
Liabilities:
Payable for securities purchased		133,107,248		15,550,195			1,235,081
Payable for capital stock redeemed		1,614,519		116,927			1,348,436
Payable for daily variation margin on futures contracts (Note 3)		300,139		—			72,524
Distributions payable		107,786		513,767			418,725
Unrealized depreciation on foreign currency exchange contracts		42,677		—			34,026
Net unrealized depreciation on unfunded commitments (Note 8)		4,280		12,328			—
Advisory fees payable (Note 6)		119,912		162,879			208,923
Accrued trustees fees and expenses		—		114			78
Accrued distribution (12b-1) and service fees payable		10,301		2,265			28,432
Administrative fees payable		72,517		67,871			34,300
Accrued other expenses		135,404		91,239			122,279
Total liabilities		135,514,783		16,517,585			3,502,804
Net assets	$	330,398,541	$	339,418,376		$	495,198,416
Class M Shares:
Net assets (Applicable to 6,211,930, 1,184,024 and 14,711,106,shares of beneficial interest issued and outstanding,respectively, unlimited number of shares authorized with a $0.01par value)	$	49,026,844	$	11,002,159		$	134,177,857
Net asset value, offering and redemption price per Class M share	$	7.89	$	9.29		$	9.12
Class I Shares:
Net assets (Applicable to 35,657,009, 35,353,243 and 39,596,938,shares of beneficial interest issued and outstanding,respectively, unlimited number of shares authorized with a $0.01par value)	$	281,371,697	$	328,416,114		$	361,020,559
Net asset value, offering and redemption price per Class I share	$	7.89	$	9.29		$	9.12
Plan Class Shares:
Net assets (Applicable to 0, 11 and 0, shares of beneficial interestissued and outstanding, respectively, unlimited number of sharesauthorized with a $0.01 par value)		N/A	$	103			N/A
Net asset value, offering and redemption price per Plan Classshare		N/A	$	9.27	1		N/A
Net Assets Consist of:
Paid-in Capital (Note 9)	$	377,892,942	$	371,370,690		$	640,701,850
Accumulated Earnings (Loss)		(47,494,401)		(31,952,314)			(145,503,434)
Net assets	$	330,398,541	$	339,418,376		$	495,198,416

¹  The net asset values of the Plan Class Shares of the Floating Rate Income Fund were calculated using unrounded net assets of $103.06 divided by the unrounded shares outstanding of 11.12.

See accompanying Notes to Financial Statements.

258 / Annual Report March 2023

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2023

ASSETS:	INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND
Investments, at value - Unaffiliated (Cost $1,024,963,348,
$13,397,057 and $2,261,634,441, respectively) (Note 2)	$	1,004,323,040	$	11,332,818	$	2,210,446,794
Investments, at value - Affiliated (Cost $0, $0 and $0, respectively)
(Note 5)		—		—		—
Cash and cash equivalents (Note 2)		—		2,093		—
Foreign Currency, at value (Cost $32, $0 and $0, respectively)		32		—		—
Cash on deposit with brokers for collateral on swaps (Note 2)		—		7,965		1,441,249
Cash on deposit with brokers for collateral on futures (Note 2)		4,044,000		92,000		16,673,000
Receivable for securities sold		65,856,278		650,076		342,572,791
Dividends and interest receivable		4,236,991		105,410		7,233,627
Receivable for capital stock sold		1,571,386		3,369		2,177,889
Receivable for daily variation margin on futures contracts (Note 3)		250,822		1,586		866,116
Premiums paid for swap contracts		40,575		—		124,202
Due from Adviser (Note 6)		20,661		47,144		—
Unrealized appreciation on swap contracts		8,867		—		28,033
Unrealized appreciation on foreign currency transactions		4,940		—		10,066
Net unrealized appreciation on unfunded commitments (Note 8)		48		—		—
Other assets		7,507		2,526		11,677
Total assets		1,080,365,147		12,244,987		2,581,585,444
Liabilities:
Options written, at value (Premiums received $0, $0 and $540,000,respectively) (Note 3)		—		—		3
Bank overdraft		604,762		—		944,354
Payable for securities purchased		178,769,576		1,793,559		792,844,376
Payable for capital stock redeemed		1,827,839		20,383		6,190,773
Distributions payable		402,307		532		678,392
Payable for daily variation margin on futures contracts (Note 3)		140,636		7,359		1,646,363
Unrealized depreciation on foreign currency exchange contracts		114,454		—		114,376
Unrealized depreciation on swap contracts		—		1,534		—
Net unrealized depreciation on unfunded commitments (Note 8)		—		—		14,800
Advisory fees payable (Note 6)		261,447		2,965		465,107
Accrued trustees fees and expenses		—		—		818
Accrued distribution (12b-1) and service fees payable		3,699		632		56,163
Administrative fees payable		47,003		30,199		87,229
Accrued other expenses		222,595		62,278		398,140
Total liabilities		182,394,318		1,919,441		803,440,894
Net assets	$	897,970,829	$	10,325,546	$	1,778,144,550
Class M Shares:
Net assets (Applicable to 2,200,742, 386,999 and 35,993,593,shares of beneficial interest issued and outstanding, respectively,unlimited number of shares authorized with a $0.01 par value)	$	21,053,214	$	3,026,456	$	298,832,709
Net asset value, offering and redemption price per Class M share	$	9.57	$	7.82	$	8.30
Class I Shares:
Net assets (Applicable to 91,699,168, 933,323 and 178,166,430,shares of beneficial interest issued and outstanding, respectively,unlimited number of shares authorized with a $0.01 par value)	$	876,917,615	$	7,299,090	$	1,479,311,065
Net asset value, offering and redemption price per Class I share	$	9.56	$	7.82	$	8.30
Administrative Class Shares:
Net assets (Applicable to 0, 0 and 72, shares of beneficial interestissued and outstanding, respectively, unlimited number of sharesauthorized with a $0.01 par value)		N/A		N/A	$	776
Net asset value, offering and redemption price per Administrative Class share		N/A		N/A	$	10.73	1
Net Assets Consist of:
Paid-in Capital (Note 9)	$	982,299,884	$	13,673,941	$	1,983,290,626
Accumulated Earnings (Loss)		(84,329,055)		(3,348,395)		(205,146,076)
Net assets	$	897,970,829	$	10,325,546	$	1,778,144,550

¹  The net asset values of the Administrative Class Shares of the Low Duration Bond Fund were calculated using unrounded net assets of $776.10 divided by the unrounded shares outstanding of 72.36.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 259

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2023

ASSETS:	OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND
Investments, at value - Unaffiliated (Cost $3,263,591, $82,950,541and $82,341,567,774, respectively) (Note 2)	$	2,944,009	$	75,346,229	$	78,285,177,555
Investments, at value - Affiliated (Cost $0, $0 and $65,187,440, respectively) (Note 5)		—		—		—
Cash and cash equivalents (Note 2)		1,286		22,522		—
Cash on deposit with brokers for collateral on swaps (Note 2)		—		18,272		213,378,929
Cash on deposit with brokers for collateral on futures (Note 2)		21,000		351,000		447,955,000
Due from Adviser (Note 6)		64,210		57,503		—
Dividends and interest receivable		26,478		481,143		336,779,731
Receivable for securities sold		13,559		5,885,635		9,567,724,965
Receivable for daily variation margin on futures contracts (Note 3)		1,922		16,765		19,337,656
Unrealized appreciation on foreign currency exchange contracts		—		319		1,294,767
Unrealized appreciation on foreign currency transactions		—		39		775,192
Receivable for capital stock sold		—		819,145		126,911,445
Premiums paid for swap contracts		—		—		1,488,810
Unrealized appreciation on swap contracts		—		—		212,172
Other assets		41,705		3,387		26,656
Total assets		3,114,169		83,001,959		89,001,062,878
Liabilities:
Bank overdraft		—		—		48,526,535
Foreign bank overdraft (Cost $0, $0 and $272, respectively)		—		—		272
Payable for capital stock redeemed		970,164		911,736		131,673,942
Distributions payable		5,428		8,820		16,168,689
Payable for securities purchased		4,129		15,633,680		24,630,146,967
Unrealized depreciation on foreign currency exchange contracts		—		2,725		12,105,363
Unrealized depreciation on swap contracts		—		3,519		10,402,055
Premiums received for swap contracts		—		—		614,998
Payable for daily variation margin on futures contracts (Note 3)		—		42,531		4,955,768
Net unrealized depreciation on unfunded commitments (Note 8)		—		—		4,746
Advisory fees payable (Note 6)		1,277		35,833		18,884,003
Accrued distribution (12b-1) and service fees payable		68		10,546		1,699,605
Administrative fees payable		21,589		38,955		1,165,212
Accrued other expenses		38,824		92,953		8,168,260
Total liabilities		1,041,479		16,781,298		24,884,516,415
Net assets	$	2,072,690	$	66,220,661	$	64,116,546,463
Class M Shares:
Net assets (Applicable to 41,554, 8,125,761 and 694,341,407, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	313,915	$	50,681,121	$	6,442,439,850
Net asset value, offering and redemption price per Class M share	$	7.55	$	6.24	$	9.28
Class I Shares:
Net assets (Applicable to 232,805, 2,492,168 and 4,139,805,317, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	1,758,775	$	15,539,540	$	38,399,347,195
Net asset value, offering and redemption price per Class I share	$	7.55	$	6.24	$	9.28
Class I-2 Shares:
Net assets (Applicable to 0, 0 and 11,005,199, shares of beneficialinterest issued and outstanding, respectively, unlimited numberof shares authorized with a $0.01 par value)		N/A		N/A	$	102,076,497
Net asset value, offering and redemption price per Class I-2 share		N/A		N/A	$	9.28
Administrative Class Shares:
Net assets (Applicable to 0, 0 and 166,912,987, shares ofbeneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		N/A	$	1,549,861,894
Net asset value, offering and redemption price per Administrative Class share		N/A		N/A	$	9.29
Plan Class Shares:
Net assets (Applicable to 0, 0 and 2,026,068,357, shares ofbeneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		N/A	$	17,622,821,027
Net asset value, offering and redemption price per Plan Class share		N/A		N/A	$	8.70

See accompanying Notes to Financial Statements.

260 / Annual Report March 2023

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2023

ASSETS:	OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND
Net Assets Consist of:
Paid-in Capital (Note 9)	$	2,896,701	$	77,068,662	$	75,955,733,621
Accumulated Earnings (Loss)		(824,011)		(10,848,001)		(11,839,187,158)
Net assets	$	2,072,690	$	66,220,661	$	64,116,546,463

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 261

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2023

ASSETS:	ULTRA SHORT     BOND FUND			UNCONSTRAINED     BOND FUND
Investments, at value - Unaffiliated (Cost $150,420,530 and $3,821,972,128, respectively) (Note 2)	$	148,720,307			$	3,426,079,199
Investments, at value - Affiliated (Cost $0 and $0, respectively) (Note 5)		—				—
Cash and cash equivalents (Note 2)		1,919				—
Foreign Currency, at value (Cost $0 and $73, respectively)		—				73
Cash on deposit with brokers for collateral on swaps (Note 2)		—				6,873,717
Cash on deposit with brokers for collateral on futures (Note 2)		1,436,000				20,359,000
Receivable for securities sold		18,666,379				511,230,816
Dividends and interest receivable		413,635				19,478,937
Due from Adviser (Note 6)		28,410				9,491
Receivable for daily variation margin on futures contracts (Note 3)		18,422				796,132
Premiums paid for swap contracts		8,640				296,710
Receivable for capital stock sold		2,166				3,785,692
Unrealized appreciation on swap contracts		997				52,935
Unrealized appreciation on foreign currency transactions		496				24,148
Unrealized appreciation on foreign currency exchange contracts		—				4,493
Net unrealized appreciation on unfunded commitments (Note 8)		—				616
Other assets		2,972				28,111
Total assets		169,300,343				3,989,020,070
Liabilities:
Bank overdraft		—				108,394
Payable for securities purchased		46,705,156				1,104,609,278
Payable for capital stock redeemed		507,625				9,383,291
Payable for daily variation margin on futures contracts (Note 3)		80,554				3,105,043
Unrealized depreciation on foreign currency exchange contracts		4,468				387,765
Distributions payable		2,134				3,129,344
Unrealized depreciation on swap contracts		—				474,176
Advisory fees payable (Note 6)		22,571				1,569,268
Accrued trustees fees and expenses		112				756
Accrued distribution (12b-1) and service fees payable		2,820				34,008
Administrative fees payable		37,881				159,612
Accrued other expenses		89,834				528,095
Total liabilities		47,453,155				1,123,489,030
Net assets	$	121,847,188			$	2,865,531,040
Class M Shares:
Net assets (Applicable to 4,875,363 and 15,381,585, shares of beneficial interest issued and outstanding,respectively, unlimited number of shares authorized with a $0.01 par value)	$	19,995,044			$	160,181,163
Net asset value, offering and redemption price per Class M share	$	4.10			$	10.41
Class I Shares:
Net assets (Applicable to 24,795,459 and 226,158,098, shares of beneficial interest issued andoutstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	101,852,144			$	2,353,053,002
Net asset value, offering and redemption price per Class I share	$	4.11			$	10.40
Plan Class Shares:
Net assets (Applicable to 0 and 33,873,600, shares of beneficial interest issued and outstanding,respectively, unlimited number of shares authorized with a $0.01 par value)		N/A			$	352,296,875
Net asset value, offering and redemption price per Plan Class share		N/A			$	10.40
Net Assets Consist of:
Paid-in Capital (Note 9)	$	134,242,987			$	3,400,953,437
Accumulated Earnings (Loss)		(12,395,799	)			(535,422,397	)
Net assets	$	121,847,188			$	2,865,531,040

See accompanying Notes to Financial Statements.

262 / Annual Report March 2023

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Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2023

	ALPHATRAK     500 FUND			CORPORATE BOND FUND			ESG SECURITIZED FUND
Investment Income:
Interest	$	939,196		$	342,022		$	319,592
Dividends		82,528			4,726			14,253
Total investment income		1,021,724			346,748			333,845
Expenses:
Investment advisory fees (Note 6)		129,784			38,657			43,020
Administration fees		93,071			95,922			72,501
Distribution (12b-1) and service fees - classspecific (Note 7):
Class M		—			12,528			70
Professional fees		45,078			46,979			80,297
Reports to shareholders		41,164			3,493			1,166
Transfer agent fees		33,091			36,400			32,957
Registration and filing fees		28,115			63,296			46,773
Custodian fees		27,376			39,672			29,283
Commitment fee		1,013			188			87
Trustees' fees and expenses		579			174			190
Miscellaneous expenses		16,982			17,252			8,981
Total operating expenses		416,253			354,561			315,325
Expenses waived and reimbursed (Note 6)		(270,246	)		(293,711	)		(262,567	)
Net expenses		146,007			60,850			52,758
Net investment income		875,717			285,898			281,087
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		(797,424	)		(1,186,234	)		(491,703	)
Futures contracts		(3,404,554	)		65,332			(19,349	)
Foreign currency exchange contracts		(1,530	)		(1,189	)		36,857
Foreign currency transactions		45			—			(4,409	)
Options and swaptions written		—			1,848			—
Swap contracts		—			(53,523	)		—
Net change in unrealized appreciation
(depreciation) on:
Investments - Unaffiliated		(820,315	)		(74,878	)		(544,191	)
Futures contracts		(501,369	)		(9,256	)		(3,997	)
Foreign currency exchange contracts		—			1,189			(9,854	)
Foreign currency transactions		—			—			38
Options and swaptions written		—			8,358			—
Swap contracts		—			26,363			—
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		(5,525,147	)		(1,221,990	)		(1,036,608	)
Net (Decrease) in Net Assets from Operations	$	(4,649,430	)	$	(936,092	)	$	(755,521	)

See accompanying Notes to Financial Statements.

264 / Annual Report March 2023

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2023

	FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND
Investment Income:
Interest	$	22,527,469		$	27,941,507		$	35,085,661
Dividends		465,653			498,110			619,726
Total investment income		22,993,122			28,439,617			35,705,387
Expenses:
Investment advisory fees (Note 6)		1,108,750			2,261,257			2,843,021
Administration fees		191,623			207,804			116,499
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		93,727			33,777			364,872
Transfer agent fees		228,770			171,785			322,269
Registration and filing fees		102,593			93,012			82,462
Professional fees		80,290			70,748			47,115
Custodian fees		75,009			35,510			43,194
Trustees' fees and expenses		4,312			7,355			10,142
Commitment fee		1,993			3,094			12,766
Miscellaneous expenses		34,136			39,839			64,610
Total operating expenses		1,921,203			2,924,181			3,906,950
Expenses waived and reimbursed (Note 6)		(471,234	)		(19,197	)		(130,452	)
Net expenses		1,449,969			2,904,984			3,776,498
Net investment income		21,543,153			25,534,633			31,928,889
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		(9,155,600	)		(16,313,982	)		(57,819,428	)
Futures contracts		1,433,725			—			6,098,752
Foreign currency exchange contracts		135,386			52,503			71,759
Foreign currency transactions		15,597			40,848			69,425
Options and swaptions written		(26,282	)		—			—
Swap contracts		—			—			114,122
Net change in unrealized appreciation
(depreciation) on:
Investments - Unaffiliated		(16,288,207	)		(7,196,020	)		(9,639,134	)
Futures contracts		1,305,580			—			(1,859,442	)
Foreign currency exchange contracts		(33,976	)		(12,738	)		(91,923	)
Foreign currency transactions		1,202			1,013			3,167
Options and swaptions written		7,873			—			—
Swap contracts		—			—			(9,773	)
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		(22,604,702	)		(23,428,376	)		(63,062,475	)
Net Increase (Decrease) in Net Assets from Operations	$	(1,061,549	)	$	2,106,257		$	(31,133,586	)

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 265

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2023

	INTERMEDIATE BOND FUND			INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND
Investment Income:
Interest	$	29,792,505		$	812,585		$	69,839,679
Dividends		1,438,433			9,345			2,282,794
Total investment income		31,230,938			821,930			72,122,473
Expenses:
Investment advisory fees (Note 6)		2,916,678			32,664			6,620,112
Administration fees		157,920			95,371			283,527
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		45,458			6,109			827,813
Administrative Class		—			—			3,261
Transfer agent fees		681,634			36,142			1,828,001
Registration and filing fees		112,337			63,902			166,482
Custodian fees		91,851			43,634			126,227
Professional fees		55,188			46,973			61,345
Commitment fee		16,038			220			43,795
Trustees' fees and expenses		14,664			165			39,854
Interest expense		171			—			1,412
Miscellaneous expenses		59,492			19,500			132,153
Total operating expenses		4,151,431			344,680			10,133,982
Expenses waived and reimbursed (Note 6)		(22,452	)		(293,818	)		—
Net expenses		4,128,979			50,862			10,133,982
Net investment income		27,101,959			771,068			61,988,491
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		(37,576,129	)		(742,145	)		(90,474,634	)
Futures contracts		(6,826,020	)		83,000			5,716,791
Foreign currency exchange contracts		(279,080	)		—			314,324
Foreign currency transactions		50,747			—			65,285
Options and swaptions written		(1,088,029	)		(792	)		(3,579,911	)
Swap contracts		59,149			(71,621	)		185,837
Net change in unrealized appreciation
(depreciation) on:
Investments - Unaffiliated		(838,619	)		(300,238	)		974,373
Futures contracts		3,847,430			(18,434	)		(894,282	)
Foreign currency exchange contracts		(45,328	)		—			(114,376	)
Foreign currency transactions		4,936			—			10,065
Options and swaptions written		788,477			9,157			2,598,640
Swap contracts		(9,116	)		47,547			(30,076	)
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		(41,911,582	)		(993,526	)		(85,227,964	)
Net (Decrease) in Net Assets from Operations	$	(14,809,623	)	$	(222,458	)	$	(23,239,473	)

See accompanying Notes to Financial Statements.

266 / Annual Report March 2023

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2023

	OPPORTUNISTIC HIGH INCOME CREDIT  FUND			STRATEGIC     INCOME  FUND			TOTAL RETURN      BOND FUND
Investment Income:
Interest	$	276,128		$	3,796,364		$	2,391,531,595
Dividends		8,845			77,092			55,534,146
Total investment income		284,973			3,873,456			2,447,065,741
Expenses:
Investment advisory fees (Note 6)		14,923			266,106			235,073,073
Administration fees		78,263			118,510			4,252,795
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		568			71,823			12,582,907
Administrative Class		—			—			6,872,547
Professional fees		59,746			43,767			531,320
Registration and filing fees		46,773			55,600			1,877,855
Transfer agent fees		31,017			66,005			35,788,489
Custodian fees		20,853			62,157			2,231,256
Trustees' fees and expenses		53			715			1,183,247
Commitment fee		22			691			590,112
Interest expense		—			—			464,726
Miscellaneous expenses		16,992			50,252			3,968,472
Total operating expenses		269,210			735,626			305,416,799
Expenses waived and reimbursed (Note 6)		(250,735	)		(339,161	)		—
Net expenses		18,475			396,465			305,416,799
Net investment income		266,498			3,476,991			2,141,648,942
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		(431,304	)		(2,469,993	)		(4,531,899,804	)
Futures contracts		(37,305	)		622,102			(414,029,946	)
Foreign currency exchange contracts		—			5,029			30,628,931
Foreign currency transactions		—			1,030			10,635,512
Options and swaptions written		—			(1,359	)		(104,340,975	)
Swap contracts		—			(124,914	)		(353,638,298	)
Net change in unrealized appreciation
(depreciation) on:
Investments - Unaffiliated		(27,281	)		(850,399	)		(1,855,532,089	)
Futures contracts		17,597			(53,654	)		190,731,745
Foreign currency exchange contracts		—			145			(13,045,085	)
Foreign currency transactions		—			33			803,653
Options and swaptions written		—			19,326			132,705,720
Swap contracts		—			62,470			184,226,573
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		(478,293	)		(2,790,184	)		(6,722,754,063	)
Net Increase (Decrease) in Net Assets from Operations	$	(211,795	)	$	686,807		$	(4,581,105,121	)

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 267

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2023

	ULTRA  SHORT       BOND FUND		UNCONSTRAINED      BOND FUND
Investment Income:
Interest	$	3,320,364	$	186,818,544
Dividends		196,349		2,273,663
Total investment income		3,516,713		189,092,207
Expenses:
Investment advisory fees (Note 6)		320,380		21,085,623
Administration fees		110,705		440,391
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		45,438		453,804
Transfer agent fees		142,881		2,036,894
Registration and filing fees		60,890		246,832
Professional fees		44,013		155,838
Custodian fees		43,672		226,305
Commitment fee		11,566		24,537
Trustees' fees and expenses		2,339		58,093
Interest expense		—		2,301
Miscellaneous expenses		25,347		193,440
Total operating expenses		807,231		24,924,058
Expenses waived and reimbursed (Note 6)		(326,076)		(13,017)
Net expenses		481,155		24,911,041
Net investment income		3,035,558		164,181,166
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		(5,388,169)		(170,331,474)
Futures contracts		2,370,855		95,229,378
Foreign currency exchange contracts		54,290		1,189,122
Foreign currency transactions		9,800		239,896
Options and swaptions written		(338,522)		(4,885,119)
Swap contracts		7,726		(17,135,635)
Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated		1,062,414		(160,704,924)
Futures contracts		(885,277)		(12,601,070)
Foreign currency exchange contracts		(4,468)		(33,281)
Foreign currency transactions		497		23,550
Options and swaptions written		244,207		6,507,343
Swap contracts		(112)		8,540,052
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		(2,866,759)		(253,962,162)
Net Increase (Decrease) in Net Assets from Operations	$	168,799	$	(89,780,996)

See accompanying Notes to Financial Statements.

268 / Annual Report March 2023

[THIS PAGE INTENTIONALLY LEFT BLANK]

Metropolitan West Funds

Statements of Changes in Net Assets

	ALPHATRAK 500 FUND				CORPORATE BOND FUND
	YEAR ENDED     MARCH 31, 2023		YEAR ENDED     MARCH 31, 2022		YEAR ENDED     MARCH 31, 2023		YEAR ENDED     MARCH 31, 2022
Operations:
Net investment income	$	875,717	$	352,209	$	285,898	$283,009
Net realized gain (loss) on investments		(797,424)		462,817		(1,186,234)	(8,971)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(3,406,039)		3,204,488		12,468	11,877
Net change in unrealized (depreciation) on investments		(820,315)		(735,005)		(74,878)	(958,560)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(501,369)		2,071,084		26,654	(46,061)
Net increase (decrease) in net assets resulting from operations		(4,649,430)		5,355,593		(936,092)	(718,706)
Distributions to Shareholders:
Class M		(1,425,275)		(11,805,983)		(142,778)	(175,170)
Class I		—		—		(141,214)	(196,581)
Total Distributions		(1,425,275)		(11,805,983)		(283,992)	(371,751)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		1,688,163		17,532,245		1,105,501	2,092,063
Shares issued in reinvestment of distributions		1,425,012		11,710,130		142,767	173,672
Cost of shares redeemed		(13,179,485)		(14,459,312)		(2,035,825)	(4,376,008)
Total Class M capital share transactions		(10,066,310)		14,783,063		(787,557)	(2,110,273)
Class I:
Proceeds from sale of shares		—		—		230,073	3,935,189
Shares issued in reinvestment of distributions		—		—		135,703	194,382
Cost of shares redeemed		—		—		(3,749,112)	(1,292,494)
Total Class I capital share transactions		—		—		(3,383,336)	2,837,077
Net increase (decrease) in net assets derived from capital share transactions		(10,066,310)		14,783,063		(4,170,893)	726,804
Net increase (decrease) in net assets		(16,141,015)		8,332,673		(5,390,977)	(363,653)
Net assets at beginning of year		45,102,468		36,769,795		12,556,838	12,920,491
Net assets at end of year	$	28,961,453	$	45,102,468	$	7,165,861	$12,556,838

See accompanying Notes to Financial Statements.

270 / Annual Report March 2023

Metropolitan West Funds

Statements of Changes in Net Assets

	ESG SECURITIZED FUND1							FLEXIBLE INCOME FUND
		YEAR ENDED MARCH 31, 2023			PERIOD ENDED MARCH 31, 2022				YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022
Operations:
Net investment income		$	281,087		$	48,431			$	21,543,153		$	17,239,534
Net realized (loss) on investments			(491,703	)		(178,537	)			(9,155,600	)		(2,327,445	)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			13,099			41,302				1,558,426			(638,721	)
Net change in unrealized (depreciation) on investments			(544,191	)		(590,523	)			(16,288,207	)		(17,854,385	)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(13,813	)		32,506				1,280,679			(583,759	)
Net (decrease) in net assets resulting from operations			(755,521	)		(646,821	)			(1,061,549	)		(4,164,776	)
Distributions to Shareholders:
Class M			(789	)		(27	)			(3,284,784	)		(2,339,927	)
Class I			(323,549	)		(48,411	)			(18,815,999	)		(15,439,721	)
Total Distributions			(324,338	)		(48,438	)			(22,100,783	)		(17,779,648	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares			41,210			16,900				41,165,753			34,113,901
Shares issued in reinvestment of distributions			789			27				3,259,132			2,241,577
Cost of shares redeemed			(5,381	)		—				(23,746,600	)		(22,445,482	)
Total Class M capital share transactions			36,618			16,927				20,678,285			13,909,996
Class I:
Proceeds from sale of shares			2,980,028			11,304,164				229,652,950			128,698,215
Shares issued in reinvestment of distributions			318,619			48,411				17,189,579			15,356,960
Cost of shares redeemed			(4,515,723	)		(3,078	)			(123,618,442	)		(106,370,251	)
Total Class I capital share transactions			(1,217,076	)		11,349,497				123,224,087			37,684,924
Net increase (decrease) in net assets derived from capital share transactions			(1,180,458	)		11,366,424				143,902,372			51,594,920
Net increase (decrease) in net assets			(2,260,317	)		10,671,165				120,740,040			29,650,496
Net assets at beginning of period			10,671,165			—				209,658,501			180,008,005
Net assets at end of period		$	8,410,848		$	10,671,165			$	330,398,541		$	209,658,501

¹   For the period October 1, 2021 (Commencement of Operations) to March 31, 2023.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 271

Metropolitan West Funds

Statements of Changes in Net Assets

	FLOATING RATE INCOME FUND							HIGH YIELD BOND FUND
		YEAR ENDED MARCH 31, 2023			YEAR ENDED     MARCH 31, 2022				YEAR ENDED MARCH 31, 2023			YEAR ENDED     MARCH 31, 2022
Operations:
Net investment income		$	25,534,633		$	15,667,466			$	31,928,889		$	30,268,465
Net realized gain (loss) on investments			(16,313,982	)		481,354				(57,819,428	)		(1,676,256	)
Net realized gain on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			93,351			496,884				6,354,058			231,559
Net change in unrealized (depreciation) on investments			(7,196,020	)		(8,898,950	)			(9,639,134	)		(40,521,550	)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(11,725	)		(431,315	)			(1,957,971	)		1,689,902
Net increase (decrease) in net assets resulting from operations			2,106,257			7,315,439				(31,133,586	)		(10,007,880	)
Distributions to Shareholders:
Class M			(809,656	)		(474,766	)			(8,006,047	)		(7,194,383	)
Class I			(24,770,860	)		(15,224,684	)			(24,105,082	)		(23,164,913	)
Plan Class			(6	)		(4	)			—			—
Total Distributions			(25,580,522	)		(15,699,454	)			(32,111,129	)		(30,359,296	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares			4,031,325			9,213,283				48,460,943			45,528,862
Shares issued in reinvestment of distributions			752,139			438,152				7,763,239			6,938,480
Cost of shares redeemed			(9,931,101	)		(6,177,939	)			(75,823,675	)		(71,472,671	)
Total Class M capital share transactions			(5,147,637	)		3,473,496				(19,599,493	)		(19,005,329	)
Class I:
Proceeds from sale of shares			73,729,818			125,936,632				194,509,306			299,304,142
Shares issued in reinvestment of distributions			20,289,450			13,378,948				20,309,691			22,131,407
Cost of shares redeemed			(218,088,025	)		(74,037,959	)			(359,485,585	)		(309,772,975	)
Total Class I capital share transactions			(124,068,757	)		65,277,621				(144,666,588	)		11,662,574
Plan Class:
Shares issued in reinvestment of distributions			6			4				—			—
Total Plan Class capital share transactions			6			4				—			—
Net increase (decrease) in net assets derived from capital share transactions			(129,216,388	)		68,751,121				(164,266,081	)		(7,342,755	)
Net increase (decrease) in net assets			(152,690,653	)		60,367,106				(227,510,796	)		(47,709,931	)
Net assets at beginning of year			492,109,029			431,741,923				722,709,212			770,419,143
Net assets at end of year		$	339,418,376		$	492,109,029			$	495,198,416		$	722,709,212

See accompanying Notes to Financial Statements.

272 / Annual Report March 2023

Metropolitan West Funds

Statements of Changes in Net Assets

	INTERMEDIATE BOND FUND						INVESTMENT GRADE CREDIT FUND
	YEAR ENDED MARCH 31, 2023			YEAR ENDED     MARCH 31, 2022			YEAR ENDED MARCH 31, 2023			YEAR ENDED     MARCH 31, 2022
Operations:
Net investment income	$	27,101,959		$	10,473,927		$	771,068		$	907,924
Net realized (loss) on investments		(37,576,129	)		(15,994,312	)		(742,145	)		(444,321	)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(8,083,233	)		(2,721,431	)		10,587			(62,217	)
Net change in unrealized (depreciation) on investments		(838,619	)		(26,631,047	)		(300,238	)		(1,341,034	)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		4,586,399			(1,890,795	)		38,270			(80,875	)
Net (decrease) in net assets resulting from operations		(14,809,623	)		(36,763,658	)		(222,458	)		(1,020,523	)
Distributions to Shareholders:
From net earnings
Class M		(651,240	)		(443,189	)		(193,447	)		(149,533	)
Class I		(26,538,105	)		(12,811,756	)		(576,495	)		(781,732	)
From tax return of capital
Class M		—			—			(6,494	)		—
Class I		—			—			(18,167	)		—
Total Distributions		(27,189,345	)		(13,254,945	)		(794,603	)		(931,265	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		6,760,189			6,888,933			1,337,353			4,340,421
Shares issued in reinvestment of distributions		650,341			441,176			199,463			147,501
Cost of shares redeemed		(9,887,413	)		(17,389,296	)		(542,274	)		(4,007,782	)
Total Class M capital share transactions		(2,476,883	)		(10,059,187	)		994,542			480,140
Class I:
Proceeds from sale of shares		459,988,616			156,352,081			2,645,893			17,529,268
Shares issued in reinvestment of distributions		23,375,376			12,800,407			584,846			772,045
Cost of shares redeemed		(333,934,491	)		(118,572,331	)		(3,781,800	)		(18,161,123	)
Total Class I capital share transactions		149,429,501			50,580,157			(551,061	)		140,190
Net increase in net assets derived from capital share transactions		146,952,618			40,520,970			443,481			620,330
Net increase (decrease) in net assets		104,953,650			(9,497,633	)		(573,580	)		(1,331,458	)
Net assets at beginning of year		793,017,179			802,514,812			10,899,126			12,230,584
Net assets at end of year	$	897,970,829		$	793,017,179		$	10,325,546		$	10,899,126

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 273

Metropolitan West Funds

Statements of Changes in Net Assets

	LOW DURATION BOND FUND						OPPORTUNISTIC HIGH INCOME CREDIT FUND1
	YEAR ENDED MARCH 31, 2023			YEAR ENDED     MARCH 31, 2022			YEAR ENDED MARCH 31, 2023			PERIOD ENDED MARCH 31, 2022
Operations:
Net investment income	$	61,988,491		$	27,294,076		$	266,498		$	248,699
Net realized (loss) on investments		(90,474,634	)		(36,485,215	)		(431,304	)		(9,348	)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		2,702,326			3,587,099			(37,305	)		(11,230	)
Net change in unrealized appreciation (depreciation) on investments		974,373			(57,844,618	)		(27,281	)		(292,301	)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		1,569,971			(2,832,113	)		17,597			(6,598	)
Net (decrease) in net assets resulting from operations		(23,239,473	)		(66,280,771	)		(211,795	)		(70,778	)
Distributions to Shareholders:
From net earnings
Class M		(11,675,128	)		(4,077,753	)		(17,339	)		(2,442	)
Class I		(50,784,593	)		(23,238,389	)		(259,044	)		(262,705	)
Administrative Class		(17,270	)		(13,227	)		—			—
From tax return of capital
Class M		—			—			(603	)		—
Class I		—			—			(7,178	)		—
Total Distributions		(62,476,991	)		(27,329,369	)		(284,164	)		(265,147	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		94,963,791			110,632,030			543,779			75,360
Shares issued in reinvestment of distributions		11,599,618			4,002,713			17,942			2,442
Cost of shares redeemed		(266,373,973	)		(68,254,259	)		(295,730	)		(2,160	)
Total Class M capital share transactions		(159,810,564	)		46,380,484			265,991			75,642
Class I:
Proceeds from sale of shares		676,046,610			901,301,727			506,250			3,038,921
Shares issued in reinvestment of distributions		45,199,055			21,716,728			255,696			262,706
Cost of shares redeemed		(1,191,261,709	)		(862,338,899	)		(1,500,632	)		—
Total Class I capital share transactions		(470,016,044	)		60,679,556			(738,686	)		3,301,627
Administrative Class:
Proceeds from sale of shares		341,423			2,796,443			—			—
Shares issued in reinvestment of distributions		16,180			13,091			—			—
Cost of shares redeemed		(1,987,464	)		(1,108,347	)		—			—
Total Administrative Class capital share transactions		(1,629,861	)		1,701,187			—			—
Net increase (decrease) in net assets derived from capital share transactions		(631,456,469	)		108,761,227			(472,695	)		3,377,269
Net increase (decrease) in net assets		(717,172,933	)		15,151,087			(968,654	)		3,041,344
Net assets at beginning of period		2,495,317,483			2,480,166,396			3,041,344			—
Net assets at end of period	$	1,778,144,550		$	2,495,317,483		$	2,072,690		$	3,041,344

¹    For the period August 2, 2021 (Commencement of Operations) to March 31, 2023.

See accompanying Notes to Financial Statements.

274 / Annual Report March 2023

Metropolitan West Funds

Statements of Changes in Net Assets

	STRATEGIC INCOME FUND						TOTAL RETURN BOND FUND
	YEAR ENDED MARCH 31, 2023			YEAR ENDED     MARCH 31, 2022			YEAR ENDED MARCH 31, 2023			YEAR ENDED     MARCH 31, 2022
Operations:
Net investment income	$	3,476,991		$	2,817,560		$	2,141,648,942		$	1,197,446,581
Net realized (loss) on investments		(2,469,993	)		(1,183,895	)		(4,531,899,804	)		(1,458,293,186	)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		501,888			(23,082	)		(830,744,776	)		550,389
Net change in unrealized (depreciation) on investments		(850,399	)		(2,290,792	)		(1,855,532,089	)		(3,001,495,494	)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		28,320			(144,164	)		495,422,606			(384,017,226	)
Net increase (decrease) in net assets resulting from operations		686,807			(824,373	)		(4,581,105,121	)		(3,645,808,936	)
Distributions to Shareholders:
Class M		(2,536,732	)		(1,701,371	)		(183,930,026	)		(83,270,314	)
Class I		(1,178,986	)		(1,116,579	)		(1,310,563,915	)		(744,903,628	)
Class I-2		—			—			(4,553,863	)		(2,377,375	)
Administrative Class		—			—			(48,358,996	)		(22,035,853	)
Plan Class		—			—			(622,261,058	)		(360,557,055	)
Total Distributions		(3,715,718	)		(2,817,950	)		(2,169,667,858	)		(1,213,144,225	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		43,540,763			9,366,413			3,495,653,899			1,604,298,220
Shares issued in reinvestment of distributions		2,526,946			1,657,387			182,610,816			82,422,477
Cost of shares redeemed		(10,331,770	)		(7,461,785	)		(2,967,490,699	)		(2,239,839,907	)
Total Class M capital share transactions		35,735,939			3,562,015			710,774,016			(553,119,210	)
Class I:
Proceeds from sale of shares		12,916,300			7,073,460			10,638,504,466			13,144,834,948
Shares issued in reinvestment of distributions		1,109,471			1,100,021			1,180,906,284			670,343,885
Cost of shares redeemed		(6,635,438	)		(7,240,177	)		(16,232,632,010	)		(16,882,618,501	)
Total Class I capital share transactions		7,390,333			933,304			(4,413,221,260	)		(3,067,439,668	)
Class I-2:
Proceeds from sale of shares		—			—			76,304,739			130,016,682
Shares issued in reinvestment of distributions		—			—			4,553,247			2,376,867
Cost of shares redeemed		—			—			(132,967,258	)		(66,406,517	)
Total Class I-2 capital share transactions		—			—			(52,109,272	)		65,987,032
Administrative Class:
Proceeds from sale of shares		—			—			293,651,286			423,045,579
Shares issued in reinvestment of distributions		—			—			47,629,092			21,698,938
Cost of shares redeemed		—			—			(573,634,236	)		(442,994,344	)
Total Administrative Class capital share transactions		—			—			(232,353,858	)		1,750,173
Plan Class:
Proceeds from sale of shares		—			—			2,968,909,350			4,844,083,639
Shares issued in reinvestment of distributions		—			—			584,159,563			336,972,234
Cost of shares redeemed		—			—			(6,205,668,308	)		(6,203,634,631	)
Total Plan Class capital share transactions		—			—			(2,652,599,395	)		(1,022,578,758	)
Net increase (decrease) in net assets derived from capital share transactions		43,126,272			4,495,319			(6,639,509,769	)		(4,575,400,431	)
Net increase (decrease) in net assets		40,097,361			852,996			(13,390,282,748	)		(9,434,353,592	)
Net assets at beginning of year		26,123,300			25,270,304			77,506,829,211			86,941,182,803
Net assets at end of year	$	66,220,661		$	26,123,300		$	64,116,546,463		$	77,506,829,211

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 275

Metropolitan West Funds

Statements of Changes in Net Assets

	ULTRA SHORT BOND FUND						UNCONSTRAINED BOND FUND
	YEAR ENDED MARCH 31, 2023			YEAR ENDED     MARCH 31, 2022			YEAR ENDED MARCH 31, 2023			YEAR ENDED     MARCH 31, 2022
Operations:
Net investment income	$	3,035,558		$	1,492,628		$	164,181,166		$	109,737,964
Net realized (loss) on investments		(5,388,169	)		(2,386,196	)		(170,331,474	)		(19,332,656	)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		2,104,149			966,263			74,637,642			(5,132,321	)
Net change in unrealized appreciation
(depreciation) on investments		1,062,414			(2,774,008	)		(160,704,924	)		(191,824,922	)
Net change in unrealized appreciation
(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(645,153	)		104,464			2,436,594			(17,642,272	)
Net increase (decrease) in net assets resulting from operations		168,799			(2,596,849	)		(89,780,996	)		(124,194,207	)
Distributions to Shareholders:
Class M		(638,279	)		(276,449	)		(9,125,883	)		(8,753,492	)
Class I		(2,405,102	)		(1,258,061	)		(145,485,600	)		(143,244,876	)
Plan Class		—			—			(16,733,784	)		(4,640,426	)
Total Distributions		(3,043,381	)		(1,534,510	)		(171,345,267	)		(156,638,794	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		3,375,187			17,118,785			28,256,559			40,303,523
Shares issued in reinvestment of distributions		622,331			270,415			9,026,236			8,478,824
Cost of shares redeemed		(22,824,795	)		(38,965,686	)		(77,734,166	)		(76,856,029	)
Total Class M capital share transactions		(18,827,277	)		(21,576,486	)		(40,451,371	)		(28,073,682	)
Class I:
Proceeds from sale of shares		64,753,429			108,718,474			1,024,325,769			1,521,241,767
Shares issued in reinvestment of distributions		2,403,227			1,257,404			106,577,781			112,760,716
Cost of shares redeemed		(121,342,857	)		(129,705,501	)		(2,197,064,956	)		(999,465,470	)
Total Class I capital share transactions		(54,186,201	)		(19,729,623	)		(1,066,161,406	)		634,537,013
Plan Class:
Proceeds from sale of shares		—			—			243,626,742			118,775,444
Shares issued in reinvestment of distributions		—			—			16,733,248			4,598,189
Cost of shares redeemed		—			—			(11,237,412	)		(58,384,079	)
Total Plan Class capital share transactions		—			—			249,122,578			64,989,554
Net increase (decrease) in net assets derived from capital share transactions		(73,013,478	)		(41,306,109	)		(857,490,199	)		671,452,885
Net increase (decrease) in net assets		(75,888,060	)		(45,437,468	)		(1,118,616,462	)		390,619,884
Net assets at beginning of year		197,735,248			243,172,716			3,984,147,502			3,593,527,618
Net assets at end of year	$	121,847,188		$	197,735,248		$	2,865,531,040		$	3,984,147,502

See accompanying Notes to Financial Statements.

276 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	ALPHATRAK 500 FUND CLASS M
		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year		$	11.48	$	13.26	$	8.89	$	10.73	$	9.98
Income from Investment Operations:
Net investment income1			0.27		0.11		0.18		0.31		0.22
Net realized and unrealized gain (loss)			(1.42)		1.81		5.14		(1.14)		0.76
Total Income (Loss) from Investment Operations			(1.15)		1.92		5.32		(0.83)		0.98
Less Distributions:
From net investment income			(0.27)		(0.12)		(0.20)		(0.30)		(0.23)
From net capital gains			(0.19)		(3.58)		(0.75)		(0.71)		—
Total Distributions			(0.46)		(3.70)		(0.95)		(1.01)		(0.23)
Net Asset Value, End of Year		$	9.87	$	11.48	$	13.26	$	8.89	$	10.73
Total Return			(9.77)%		13.35%		60.83%		(9.36)%		9.93%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	28,961	$	45,102	$	36,770	$	29,066	$	21,202
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.28%		0.83%2		1.26%		1.04%		1.39%
After expense waivers and reimbursements			0.45%		0.83%		0.90%		0.90%		0.90%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.70%		0.78%		1.57%		2.80%		2.15%
Portfolio Turnover Rate			166%		94%		60%		89%		140%

¹  Per share numbers have been calculated using the average share method.

²  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.66%.

See accompanying Notes to Financial Statements.

277 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	CORPORATE BOND FUND CLASS M*
	YEAR ENDED MARCH 31, 2023		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		0.26		0.22		0.28		0.88		0.41
Net realized and unrealized gain (loss)		(0.86)		(0.69)		0.50		0.06		0.34
Total Income (Loss) from Investment Operations		(0.60)		(0.47)		0.78		0.94		0.75
Less Distributions:
From net investment income		(0.26)		(0.22)		(0.40)		(0.86)		(0.41)
From net capital gains		—		(0.07)		(0.05)		(0.07)		(0.03)
Total Distributions		(0.26)		(0.29)		(0.45)		(0.93)		(0.44)
Net Asset Value, End of Period	$	9.03	$	9.89	$	10.65	$	10.32	$	10.31
Total Return		(6.02)%		(4.67)%		7.55%		9.19%		7.75%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	4,296	$	5,622	$	8,190	$	876	$	803
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		3.93%		2.73%		3.16%		8.55%		9.81%3
After expense waivers and reimbursements		0.75%		0.75%		0.75%		0.75%		0.75%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.87%		2.01%		2.54%		8.31%		5.47%3
Portfolio Turnover Rate		124%		148%		84%		65%		159%2

* The Corporate Bond Fund Class M Shares commenced operations on June 29, 2018.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 278

Metropolitan West Funds

Financial Highlights

	CORPORATE BOND FUND CLASS I*
	YEAR ENDED MARCH 31, 2023		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		0.28		0.24		0.40		0.91		0.43
Net realized and unrealized gain (loss)		(0.86)		(0.69)		0.41		0.06		0.34
Total Income (Loss) from Investment Operations		(0.58)		(0.45)		0.81		0.97		0.77
Less Distributions:
From net investment income		(0.28)		(0.24)		(0.43)		(0.89)		(0.43)
From net capital gains		—		(0.07)		(0.05)		(0.07)		(0.03)
Total Distributions		(0.28)		(0.31)		(0.48)		(0.96)		(0.46)
Net Asset Value, End of Period	$	9.03	$	9.89	$	10.65	$	10.32	$	10.31
Total Return		(5.79)%		(4.44)%		7.81%		9.46%		7.95%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	2,870	$	6,935	$	4,730	$	2,392	$	1,355
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		3.39%		2.40%		3.54%		8.30%		9.56%3
After expense waivers and reimbursements		0.50%		0.50%		0.50%		0.50%		0.50%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.05%		2.25%		3.64%		8.62%		5.72%3
Portfolio Turnover Rate		124%		148%		84%		65%		159%2

* The Corporate Bond Fund Class I Shares commenced operations on June 29, 2018.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

279 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	ESG SECURITIZED FUND CLASS M*
		YEAR ENDED MARCH 31, 2023		PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	9.36	$	10.00
Income from Investment Operations:
Net investment income1			0.21		0.05
Net realized and unrealized loss			(0.88)		(0.61)
Total (Loss) from Investment Operations			(0.67)		(0.56)
Less Distributions:
From net investment income			(0.24)		(0.08)
Net Asset Value, End of Period		$	8.45	$	9.36
Total Return			(7.15)%		(5.60)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	50	$	16
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.35%		2.15%3
After expense waivers and reimbursements			0.70%		0.79%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.43%		0.97%3
Portfolio Turnover Rate			312%		276%2

* The ESG Securitized Fund Class M Shares commenced operations on October 1, 2021.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 280

Metropolitan West Funds

Financial Highlights

	ESG SECURITIZED FUND CLASS I*
		YEAR ENDED MARCH 31, 2023		PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	9.37	$	10.00
Income from Investment Operations:
Net investment income1			0.23		0.05
Net realized and unrealized loss			(0.89)		(0.63)
Total (Loss) from Investment Operations			(0.66)		(0.58)
Less Distributions:
From net investment income			(0.26)		(0.05)
Net Asset Value, End of Period		$	8.45	$	9.37
Total Return			(7.04)%		(5.87)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	8,361	$	10,655
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.93%		1.80%3
After expense waivers and reimbursements			0.49%		0.49%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.61%		0.94%3
Portfolio Turnover Rate			312%		276%2

* The ESG Securitized Fund Class I Shares commenced operations on October 1, 2021.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

281 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	FLEXIBLE INCOME FUND CLASS M*
	YEAR ENDED MARCH 31, 2023		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		0.68		0.88		0.69		1.86		0.23
Net realized and unrealized gain (loss)		(0.83)		(1.07)		0.34		(0.85)		0.79
Total Income (Loss) from Investment Operations		(0.15)		(0.19)		1.03		1.0 1		1.02
Less Distributions:
From net investment income		(0.71)		(0.89)		(0.97)		(1.98)		(0.23)
From net capital gains		—		(0.03)		(0.02)		—		—
Total Distributions		(0.71)		(0.92)		(0.99)		(1.98)		(0.23)
Net Asset Value, End of Period	$	7.89	$	8.75	$	9.86	$	9.82	$	10.79
Total Return		(1.50)%		(2.30)%		10.89%		9.82%		10.25%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	49,027	$	31,941	$	21,174	$	1	$	1
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.00%		1.04%		1.28%		3.76%		9.18%3
After expense waivers and reimbursements		0.80%		0.80%		0.80%		0.80%		0.80%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		8.53%		9.33%		7.01%		17.64%		6.76%3
Portfolio Turnover Rate		248%		210%		177%		122%		80%2

* The Flexible Income Fund Class M Shares commenced operations on November 30, 2018.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 282

Metropolitan West Funds

Financial Highlights

	FLEXIBLE INCOME FUND CLASS I*
	YEAR ENDED MARCH 31, 2023		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		0.70		0.91		0.73		1.90		0.24
Net realized and unrealized gain (loss)		(0.83)		(1.08)		0.30		(0.85)		0.78
Total Income (Loss) from Investment Operations		(0.13)		(0.17)		1.03		1.05		1.02
Less Distributions:
From net investment income		(0.73)		(0.91)		(0.97)		(2.01)		(0.24)
From net capital gains		—		(0.03)		(0.02)		—		—
Total Distributions		(0.73)		(0.94)		(0.99)		(2.01)		(0.24)
Net Asset Value, End of Period	$	7.89	$	8.75	$	9.86	$	9.82	$	10.78
Total Return		(1.25)%		(2.05)%		10.83%		10.14%		10.24%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	281,372	$	177,717	$	158,834	$	8,934	$	5,435
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.74%		0.79%		1.01%		3.51%		8.82%3
After expense waivers and reimbursements		0.55%		0.55%		0.55%		0.55%		0.55%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		8.78%		9.55%		7.41%		18.14%		7.16%3
Portfolio Turnover Rate		248%		210%		177%		122%		80%2

* The Flexible Income Fund Class I Shares commenced operations on November 30, 2018.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

283 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND CLASS M
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year	$	9.79	$	9.95	$	8.98	$	9.90	$	10.06
Income from Investment Operations:
Net investment income1		0.56		0.31		0.30		0.42		0.42
Net realized and unrealized gain (loss)		(0.48)		(0.16)		0.97		(0.92)		(0.15)
Total Income (Loss) from Investment Operations		0.08		0.15		1.27		(0.50)		0.27
Less Distributions:
From net investment income		(0.58)		(0.31)		(0.30)		(0.42)		(0.43)
Net Asset Value, End of Year	$	9.29	$	9.79	$	9.95	$	8.98	$	9.90
Total Return		0.96%		1.50%		14.30%		(5.36)%		2.72%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	11,002	$	17,003	$	13,815	$	6,084	$	11,229
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.02%		1.00%		0.99%		1.00%		1.03%
After expense waivers and reimbursements		0.90%		0.90%		0.90%		0.90%		0.90%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.98%		3.12%		3.05%		4.27%		4.23%
Portfolio Turnover Rate		43%		49%		38%		51%		52%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 284

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND CLASS I
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year	$	9.78	$	9.95	$	8.98	$	9.90	$	10.05
Income from Investment Operations:
Net investment income1		0.58		0.33		0.32		0.44		0.45
Net realized and unrealized gain (loss)		(0.47)		(0.17)		0.97		(0.92)		(0.15)
Total Income (Loss) from Investment Operations		0.11		0.16		1.29		(0.48)		0.30
Less Distributions:
From net investment income		(0.60)		(0.33)		(0.32)		(0.44)		(0.45)
Net Asset Value, End of Year	$	9.29	$	9.78	$	9.95	$	8.98	$	9.90
Total Return		1.26%		1.61%		14.52%		(5.17)%		3.03%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	328,416	$	475,105	$	417,927	$	250,187	$	262,407
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.70%		0.69%2		0.70%3		0.70%		0.71%
After expense waivers and reimbursements		0.70%		0.69%		0.70%		0.70%		0.70%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		6.22%		3.32%		3.25%		4.47%		4.50%
Portfolio Turnover Rate		43%		49%		38%		51%		52%

¹ Per share numbers have been calculated using the average share method.

²  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.69%.

³  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%.

See accompanying Notes to Financial Statements.

285 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND PLAN CLASS*
		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		PERIOD ENDED MARCH 31, 2021
Net Asset Value, Beginning of Period		$	9.78	$	9.95	$      9.97
Income from Investment Operations:
Net investment income1			0.59		0.35	0.05
Net realized and unrealized loss			(0.51)		(0.18)	(0.02)
Total Income from Investment Operations			0.08		0.17	0.03
Less Distributions:
From net investment income			(0.59)		(0.34)	(0.05)
Net Asset Value, End of Period		$	9.27	$	9.78	$9.95
Total Return			1.00%		1.76%	1.31%2
Ratios/Supplemental Data:
Net Assets, end of period		$	1033	$	1023	$      1003
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.15%4		0.65%	0.62%5
After expense waivers and reimbursements			0.15%		0.60%	0.56%5
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			6.32%		3.53%	3.15%5
Portfolio Turnover Rate			43%		49%	38%2

* The Floating Rate Income Fund Plan Class Shares commenced operations on January 29, 2021.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³  Represents the whole number without rounding to the 000s.

⁴  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.10%.

⁵ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 286

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH  31, 20191
Net Asset Value, Beginning of Year	$	10.06	$	10.57	$	9.27	$	9.66	$	9.55
Income from Investment Operations:
Net investment income2		0.50		0.38		0.36		0.40		0.41
Net realized and unrealized gain (loss)		(0.93)		(0.51)		1.31		(0.39)		0.11
Total Income (Loss) from Investment Operations		(0.43)		(0.13)		1.67		0.01		0.52
Less Distributions:
From net investment income		(0.51)		(0.38)		(0.37)		(0.40)		(0.41)
Net Asset Value, End of Year	$	9.12	$	10.06	$	10.57	$	9.27	$	9.66
Total Return		(4.20)%		(1.30)%		18.14%		(0.06)%		5.57%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	134,178	$	169,941	$	198,337	$	126,587	$	187,339
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.91%		0.90%		0.91%		0.93%		0.92%
After expense waivers and reimbursements		0.85%		0.85%		0.85%		0.85%		0.85%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.45%		3.61%		3.53%		4.07%		4.33%
Portfolio Turnover Rate		116%		117%		108%		181%		120%

¹  Consolidated Financial Highlights.

²  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

287 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 20191
Net Asset Value, Beginning of Year	$	10.05	$	10.57	$	9.26	$	9.65	$	9.55
Income from Investment Operations:
Net investment income2		0.52		0.41		0.39		0.42		0.44
Net realized and unrealized gain (loss)		(0.92)		(0.52)		1.31		(0.39)		0.09
Total Income (Loss) from Investment Operations		(0.40)		(0.11)		1.70		0.03		0.53
Less Distributions:
From net investment income		(0.53)		(0.41)		(0.39)		(0.42)		(0.43)
Net Asset Value, End of Year	$	9.12	$	10.05	$	10.57	$	9.26	$	9.65
Total Return		(3.87)%		(1.15)%		18.56%		0.19%		5.72%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	361,021	$	552,768	$	572,082	$	289,352	$	293,241
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.61%		0.61%		0.61%		0.62%		0.63%
After expense waivers and reimbursements		0.60%		0.60%		0.60%		0.60%		0.60%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.67%		3.88%		3.77%		4.33%		4.58%
Portfolio Turnover Rate		116%		117%		108%		181%		120%

¹  Consolidated Financial Highlights.

²  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 288

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS M
		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year		$	10.10	$	10.74	$	10.65	$	10.37	$	10.21
Income from Investment Operations:
Net investment income1			0.29		0.11		0.13		0.26		0.25
Net realized and unrealized gain (loss)			(0.53)		(0.61)		0.36		0.28		0.17
Total Income (Loss) from Investment Operations			(0.24)		(0.50)		0.49		0.54		0.42
Less Distributions:
From net investment income			(0.29)		(0.11)		(0.13)		(0.26)		(0.26)
From net capital gains			—		(0.03)		(0.27)		—		—
Total Distributions			(0.29)		(0.14)		(0.40)		(0.26)		(0.26)
Net Asset Value, End of Year		$	9.57	$	10.10	$	10.74	$	10.65	$	10.37
Total Return			(2.32)%		(4.63)%		4.63%		5.27%		4.15%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	21,053	$	24,746	$	36,452	$	33,836	$	35,343
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.72%		0.70%		0.71%		0.71%		0.69%
After expense waivers and reimbursements			0.70%		0.70%		0.70%		0.70%		0.69%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.00%		1.04%		1.22%		2.49%		2.49%
Portfolio Turnover Rate			516%		399%		372%		393%		277%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

289 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS I
		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year		$	10.10	$	10.73	$	10.65	$	10.36	$	10.21
Income from Investment Operations:
Net investment income1			0.31		0.14		0.16		0.29		0.28
Net realized and unrealized gain (loss)			(0.54)		(0.60)		0.35		0.28		0.15
Total Income (Loss) from Investment Operations			(0.23)		(0.46)		0.51		0.57		0.43
Less Distributions:
From net investment income			(0.31)		(0.14)		(0.16)		(0.28)		(0.28)
From net capital gains			—		(0.03)		(0.27)		—		—
Total Distributions			(0.31)		(0.17)		(0.43)		(0.28)		(0.28)
Net Asset Value, End of Year		$	9.56	$	10.10	$	10.73	$	10.65	$	10.36
Total Return			(2.22)%		(4.33)%		4.76%		5.60%		4.29%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	876,918	$	768,271	$	766,063	$	693,038	$	708,645
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.49%		0.47%		0.48%		0.48%		0.47%
After expense waivers and reimbursements			0.49%		0.47%		0.48%		0.48%		0.47%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.26%		1.29%		1.44%		2.69%		2.74%
Portfolio Turnover Rate			516%		399%		372%		393%		277%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 290

Metropolitan West Funds

Financial Highlights

	INVESTMENT GRADE CREDIT FUND CLASS M*
	YEAR ENDED MARCH 31, 2023		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	$	8.70	$	9.67	$	9.65	$	10.31	$	10.00
Income from Investment Operations:
Net investment income1		0.63		0.45		0.59		1.05		0.55
Net realized and unrealized gain (loss)		(0.84)		(0.95)		0.17		(0.55)		0.33
Total Income (Loss) from Investment Operations		(0.21)		(0.50)		0.76		0.50		0.88
Less Distributions:
From net investment income		(0.65)		(0.46)		(0.63)		(1.05)		(0.55)
From net capital gains		—		(0.01)		(0.11)		(0.11)		(0.02)
From tax return of capital		(0.02)		—		—		—		—
Total Distributions		(0.67)		(0.47)		(0.74)		(1.16)		(0.57)
Net Asset Value, End of Period	$	7.82	$	8.70	$	9.67	$	9.65	$	10.31
Total Return		(2.24)%		(5.42)%		7.97%		4.80%		9.02%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	3,026	$	2,259	$	2,126	$	837	$	799
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		3.90%		2.16%		2.93%		3.86%		4.78%3
After expense waivers and reimbursements		0.70%		0.70%		0.70%		0.70%		0.70%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		7.93%		4.75%		6.02%		10.33%		7.20%3
Portfolio Turnover Rate		231%		345%		92%		76%		199%2

* The Investment Grade Credit Fund Class M Shares commenced operations on June 29, 2018.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

291 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	INVESTMENT GRADE CREDIT FUND CLASS I*
	YEAR ENDED MARCH 31, 2023		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	$	8.70	$	9.67	$	9.65	$	10.31	$	10.00
Income from Investment Operations:
Net investment income1		0.67		0.45		0.65		1.07		0.55
Net realized and unrealized gain (loss)		(0.86)		(0.93)		0.13		(0.55)		0.34
Total Income (Loss) from Investment Operations		(0.19)		(0.48)		0.78		0.52		0.89
Less Distributions:
From net investment income		(0.67)		(0.48)		(0.65)		(1.07)		(0.56)
From net capital gains		—		(0.01)		(0.11)		(0.11)		(0.02)
From tax return of capital		(0.02)		—		—		—		—
Total Distributions		(0.69)		(0.49)		(0.76)		(1.18)		(0.58)
Net Asset Value, End of Period	$	7.82	$	8.70	$	9.67	$	9.65	$	10.31
Total Return		(2.03)%		(5.22)%		8.20%		5.02%		9.20%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	7,299	$	8,640	$	10,105	$	6,431	$	5,081
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		3.62%		1.87%		2.68%		3.61%		4.53%3
After expense waivers and reimbursements		0.49%		0.49%		0.49%		0.49%		0.49%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		8.38%		4.79%		6.56%		10.54%		7.29%3
Portfolio Turnover Rate		231%		345%		92%		76%		199%2

* The Investment Grade Credit Fund Class I Shares commenced operations on June 29, 2018.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 292

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year	$	8.57	$	8.88	$	8.65	$	8.68	$	8.63
Income from Investment Operations:
Net investment income1		0.22		0.08		0.11		0.20		0.20
Net realized and unrealized gain (loss)		(0.26)		(0.31)		0.23		(0.03)		0.05
Total Income (Loss) from Investment Operations		(0.04)		(0.23)		0.34		0.17		0.25
Less Distributions:
From net investment income		(0.23)		(0.08)		(0.11)		(0.20)		(0.20)
Return of capital		—		—		—		—		(0.00)2
Total Distributions		(0.23)		(0.08)		(0.11)		(0.20)		(0.20)
Net Asset Value, End of Year	$	8.30	$	8.57	$	8.88	$	8.65	$	8.68
Total Return		(0.46)%		(2.65)%		3.91%		1.93%		2.93%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	298,833	$	474,682	$	445,538	$	449,701	$	580,434
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.63%		0.62%		0.62%		0.62%		0.62%
After expense waivers and reimbursements		0.63%		0.62%		0.62%		0.62%		0.62%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.66%		0.87%		1.22%		2.32%		2.29%
Portfolio Turnover Rate		450%		347%		256%		233%		174%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

293 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year	$	8.58	$	8.88	$	8.65	$	8.68	$	8.64
Income from Investment Operations:
Net investment income1		0.24		0.09		0.12		0.22		0.22
Net realized and unrealized gain (loss)		(0.28)		(0.30)		0.24		(0.03)		0.04
Total Income (Loss) from Investment Operations		(0.04)		(0.21)		0.36		0.19		0.26
Less Distributions:
From net investment income		(0.24)		(0.09)		(0.13)		(0.22)		(0.22)
Return of capital		—		—		—		—		(0.00)2
Total Distributions		(0.24)		(0.09)		(0.13)		(0.22)		(0.22)
Net Asset Value, End of Year	$	8.30	$	8.58	$	8.88	$	8.65	$	8.68
Total Return		(0.37)%		(2.34)%		4.12%		2.14%		3.03%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	1,479,311	$	2,018,926	$	2,034,540	$	1,456,456	$	1,578,279
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.42%		0.41%		0.42%		0.42%		0.41%
After expense waivers and reimbursements		0.42%		0.41%		0.42%		0.42%		0.41%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.85%		1.07%		1.39%		2.51%		2.53%
Portfolio Turnover Rate		450%		347%		256%		233%		174%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 294

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year	$	11.08	$	11.48	$	11.18	$	11.21	$	11.16
Income from Investment Operations:
Net investment income1		0.22		0.09		0.13		0.26		0.23
Net realized and unrealized gain (loss)		(0.28)		(0.40)		0.30		(0.05)		0.06
Total Income (Loss) from Investment Operations		(0.06)		(0.31)		0.43		0.21		0.29
Less Distributions:
From net investment income		(0.29)		(0.09)		(0.13)		(0.24)		(0.24)
Return of capital		—		—		—		—		(0.00)2
Total Distributions		(0.29)		(0.09)		(0.13)		(0.24)		(0.24)
Net Asset Value, End of Year	$	10.73	$	11.08	$	11.48	$	11.18	$	11.21
Total Return		(0.48)%		(2.74)%		3.83%		1.90%		2.68%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	7763	$	1,709	$	88	$	94	$	415
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.72%		0.72%		0.73%		0.72%		0.72%
After expense waivers and reimbursements		0.72%		0.72%		0.73%		0.72%		0.72%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.05%		0.80%		1.11%		2.27%		2.02%
Portfolio Turnover Rate		450%		347%		256%		233%		174%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

³  Represents the whole number without rounding to the 000s.

See accompanying Notes to Financial Statements.

295 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	OPPORTUNISTIC HIGH INCOME CREDIT FUND CLASS M*
		YEAR ENDED MARCH 31, 2023		PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	8.99	$	10.00
Income from Investment Operations:
Net investment income1			0.55		0.88
Net realized and unrealized loss			(1.25)		(1.07)
Total (Loss) from Investment Operations			(0.70)		(0.19)
Less Distributions:
From net investment income			(0.72)		(0.76)
From net capital gains			—		(0.06)
From tax return of capital			(0.02)		—
Total Distributions			(0.74)		(0.82)
Net Asset Value, End of Period		$	7.55	$	8.99
Total Return			(7.74)%		(2.09)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	314	$	70
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			10.77%		5.78%3
After expense waivers and reimbursements			0.85%		0.85%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.26%		14.30%3
Portfolio Turnover Rate			131%		104%2

* The Opportunistic High Income Credit Fund Class M Shares commenced operations on August 2, 2021.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 296

Metropolitan West Funds

Financial Highlights

	OPPORTUNISTIC HIGH INCOME CREDIT FUND CLASS I*
		YEAR ENDED MARCH 31, 2023		PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	8.98	$	10.00
Income from Investment Operations:
Net investment income1			0.71		0.80
Net realized and unrealized loss			(1.38)		(0.98)
Total (Loss) from Investment Operations			(0.67)		(0.18)
Less Distributions:
From net investment income			(0.74)		(0.78)
From net capital gains			—		(0.06)
From tax return of capital			(0.02)		—
Total Distributions			(0.76)		(0.84)
Net Asset Value, End of Period		$	7.55	$	8.98
Total Return			(7.41)%		(2.04)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,759	$	2,971
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			8.88%		5.42%3
After expense waivers and reimbursements			0.60%		0.60%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			9.07%		12.43%3
Portfolio Turnover Rate			131%		104%2

* The Opportunistic High Income Credit Fund Class I Shares commenced operations on August 2, 2021.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

297 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS M
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year	$	6.89	$	7.83	$	7.29	$	7.89	$	7.99
Income from Investment Operations:
Net investment income1		0.51		0.73		0.47		0.31		0.32
Net realized and unrealized gain (loss)		(0.54)		(0.94)		0.54		(0.60)		(0.09)
Total Income (Loss) from Investment Operations		(0.03)		(0.21)		1.01		(0.29)		0.23
Less Distributions:
From net investment income		(0.62)		(0.73)		(0.47)		(0.31)		(0.33)
Net Asset Value, End of Year	$	6.24	$	6.89	$	7.83	$	7.29	$	7.89
Total Return		(0.23)%		(2.99)%		14.14%		(3.86)%		3.01%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	50,681	$	16,813	$	15,471	$	10,413	$	17,908
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.86%		3.02%		2.73%		2.43%		1.84%2
After expense waivers and reimbursements		1.04%		1.04%		2.28%		2.35%		1.84%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		8.24%		9.71%		6.12%		3.95%		4.10%
Portfolio Turnover Rate		177%		77%		24%		50%		36%

¹  Per share numbers have been calculated using the average share method.

²  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.67%.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 298

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS I
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year	$	6.89	$	7.83	$	7.29	$	7.89	$	7.98
Income from Investment Operations:
Net investment income1		0.57		0.76		0.46		0.33		0.35
Net realized and unrealized gain (loss)		(0.59)		(0.95)		0.56		(0.60)		(0.09)
Total Income (Loss) from Investment Operations		(0.02)		(0.19)		1.02		(0.27)		0.26
Less Distributions:
From net investment income		(0.63)		(0.75)		(0.48)		(0.33)		(0.35)
Net Asset Value, End of Year	$	6.24	$	6.89	$	7.83	$	7.29	$	7.89
Total Return		—%		(2.76)%		14.19%		(3.61)%		3.41%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	15,540	$	9,310	$	9,799	$	48,252	$	67,310
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.65%		2.77%		2.08%2		2.20%		1.53%3
After expense waivers and reimbursements		0.80%		0.80%		2.08%		2.10%		1.53%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		9.08%		10.06%		5.92%		4.23%		4.45%
Portfolio Turnover Rate		177%		77%		24%		50%		36%

¹  Per share numbers have been calculated using the average share method.

²  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.93%.

³  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.41%.

See accompanying Notes to Financial Statements.

299 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year	$	10.19	$	10.82	$	11.12	$	10.64	$	10.46
Income from Investment Operations:
Net investment income1		0.28		0.13		0.15		0.26		0.28
Net realized and unrealized gain (loss)		(0.91)		(0.63)		0.24		0.57		0.18
Total Income (Loss) from Investment Operations		(0.63)		(0.50)		0.39		0.83		0.46
Less Distributions:
From net investment income		(0.28)		(0.13)		(0.15)		(0.26)		(0.28)
From net capital gains		—		(0.00)2		(0.54)		(0.09)		—
Total Distributions		(0.28)		(0.13)		(0.69)		(0.35)		(0.28)
Net Asset Value, End of Year	$	9.28	$	10.19	$	10.82	$	11.12	$	10.64
Total Return		(6.10)%		(4.69)%		3.31%		7.93%		4.49%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	6,442,440	$	6,213,223	$	7,154,434	$	8,979,527	$	9,560,056
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.67%		0.65%		0.67%		0.67%		0.67%
After expense waivers and reimbursements		0.67%		0.65%		0.67%		0.67%		0.67%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.04%		1.17%		1.28%		2.38%		2.68%
Portfolio Turnover Rate		426%		467%		470%		405%		255%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 300

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year	$	10.18		$	10.82		$	11.12		$	10.64		$	10.46
Income from Investment Operations:
Net investment income1		0.30			0.15			0.17			0.28			0.30
Net realized and unrealized gain (loss)		(0.90)			(0.64)			0.24			0.57			0.18
Total Income (Loss) from Investment Operations		(0.60)			(0.49)			0.41			0.85			0.48
Less Distributions:
From net investment income		(0.30)			(0.15)			(0.17)			(0.28)			(0.30)
From net capital gains		—			(0.00)	2		(0.54)			(0.09)			—
Total Distributions		(0.30)			(0.15)			(0.71)			(0.37)			(0.30)
Net Asset Value, End of Year	$	9.28		$	10.18		$	10.82		$	11.12		$	10.64
Total Return		(5.80)	%		(4.58)	%		3.54	%		8.16	%		4.72	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	38,399,347		$	46,961,971		$	52,980,073		$	46,086,494		$	40,927,700
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.45	%		0.44	%		0.45	%		0.45	%		0.44	%
After expense waivers and reimbursements		0.45	%		0.44	%		0.45	%		0.45	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.19	%		1.38	%		1.49	%		2.60	%		2.91	%
Portfolio Turnover Rate		426	%		467	%		470	%		405	%		255	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

301 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I-2*
		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		PERIOD ENDED MARCH 31, 2020
Net Asset Value, Beginning of Period		$	10.18	$	10.82	$	11.12	$	11.48
Income from Investment Operations:
Net investment income1			0.29		0.14		0.15		0.02
Net realized and unrealized gain (loss)			(0.89)		(0.64)		(0.27)		(0.36)
Total Income (Loss) from Investment Operations			(0.60)		(0.50)		(0.42)		(0.34)
Less Distributions:
From net investment income			(0.30)		(0.14)		(0.18)		(0.02)
From net capital gains			—		(0.00)2		(0.54)		—
Total Distributions			(0.30)		(0.14)		(0.72)		(0.02)
Net Asset Value, End of Period		$	9.28	$	10.18	$	10.82	$	11.12
Total Return			(5.87)%		(4.65)%		(3.65)%		(2.93)%3
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	102,076	$	170,455	$	116,857	$	974
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.52%		0.52%		0.52%		0.33%3
After expense waivers and reimbursements			0.52%		0.52%		0.52%		0.33%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.06%		1.33%		1.32%		3.49%3
Portfolio Turnover Rate			426%		467%		470%		405%3

* The Total Return Bond Fund Class I-2 Shares commenced operations on March 6, 2020.

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

³ Non-Annualized.

⁴  Represents the whole number without rounding to the 000s.

⁵ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 302

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS
		YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year		$	10.19		$	10.83		$	11.13		$	10.65		$	10.47
Income from Investment Operations:
Net investment income1			0.27			0.12			0.13			0.25			0.27
Net realized and unrealized gain (loss)			(0.90)			(0.65)			0.24			0.57			0.18
Total Income (Loss) from Investment Operations			(0.63)			(0.53)			0.37			0.82			0.45
Less Distributions:
From net investment income			(0.27)			(0.11)			(0.13)			(0.25)			(0.27)
From net capital gains			—			(0.00)2			(0.54)			(0.09)			—
Total Distributions			(0.27)			(0.11)			(0.67)			(0.34)			(0.27)
Net Asset Value, End of Year		$	9.29		$	10.19		$	10.83		$	11.13		$	10.65
Total Return			(6.10)%			(4.89)%			3.19%			7.80%			4.36%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	1,549,862		$	1,963,315		$	2,083,842		$	1,739,034		$	1,011,637
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.78	%		0.77	%		0.78	%		0.78	%		0.78	%
After expense waivers and reimbursements			0.78	%		0.77	%		0.78	%		0.78	%		0.78	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.83	%		1.06	%		1.15	%		2.26	%		2.58	%
Portfolio Turnover Rate			426	%		467	%		470	%		405	%		255	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

303 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND PLAN CLASS
		YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year		$	9.55		$	10.15		$	10.46		$	10.01		$	9.84
Income from Investment Operations:
Net investment income1			0.29			0.15			0.17			0.28			0.29
Net realized and unrealized gain (loss)			(0.85)			(0.60)			0.23			0.54			0.17
Total Income (Loss) from Investment Operations			(0.56)			(0.45)			0.40			0.82			0.46
Less Distributions:
From net investment income			(0.29)			(0.15)			(0.17)			(0.28)			(0.29)
From net capital gains			—			(0.00)2			(0.54)			(0.09)			—
Total Distributions			(0.29)			(0.15)			(0.71)			(0.37)			(0.29)
Net Asset Value, End of Year		$	8.70		$	9.55		$	10.15		$	10.46		$	10.01
Total Return			(5.79)	%		(4.50)%			3.65	%		8.29	%		4.80	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	17,622,821		$	22,197,865		$	24,605,977		$	23,822,841		$	20,611,577
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.37	%		0.36	%		0.37	%		0.37	%		0.37	%
After expense waivers and reimbursements			0.37	%		0.36	%		0.37	%		0.37	%		0.37	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.26	%		1.47	%		1.57	%		2.67	%		3.00	%
Portfolio Turnover Rate			426	%		467	%		470	%		405	%		255	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 304

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS M
		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year		$	4.18	$	4.25	$	4.23	$	4.26	$	4.25
Income from Investment Operations:
Net investment income1			0.09		0.02		0.02		0.11		0.09
Net realized and unrealized gain (loss)			(0.07)		(0.07)		0.02		(0.03)		0.01
Total Income (Loss) from Investment Operations			0.02		(0.05)		0.04		0.08		0.10
Less Distributions:
From net investment income			(0.10)		(0.02)		(0.02)		(0.11)		(0.09)
Net Asset Value, End of Year		$	4.10	$	4.18	$	4.25	$	4.23	$	4.26
Total Return			0.49%		(1.14)%		1.03%		1.85%		2.37%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	19,995	$	39,477	$	61,925	$	28,355	$	34,376
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.75%		0.64%		0.65%		0.77%		0.74%
After expense waivers and reimbursements			0.50%		0.50%		0.50%		0.50%		0.50%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.24%		0.49%		0.49%		2.53%		2.08%
Portfolio Turnover Rate			479%		336%		210%		303%		172%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

305 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS I
		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year		$	4.18	$	4.26	$	4.23	$	4.27	$	4.26
Income from Investment Operations:
Net investment income1			0.10		0.03		0.03		0.12		0.10
Net realized and unrealized gain (loss)			(0.06)		(0.08)		0.03		(0.04)		0.01
Total Income (Loss) from Investment Operations			0.04		(0.05)		0.06		0.08		0.11
Less Distributions:
From net investment income			(0.11)		(0.03)		(0.03)		(0.12)		(0.10)
Net Asset Value, End of Year		$	4.11	$	4.18	$	4.26	$	4.23	$	4.27
Total Return			0.90%		(1.21)%		1.43%		1.78%		2.53%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	101,852	$	158,258	$	181,248	$	76,340	$	68,020
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.60%		0.49%		0.48%		0.58%		0.56%
After expense waivers and reimbursements			0.34%		0.34%		0.34%		0.34%		0.34%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.40%		0.66%		0.67%		2.70%		2.27%
Portfolio Turnover Rate			479%		336%		210%		303%		172%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 306

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND CLASS M
		YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year		$	11.17		$	11.96		$	11.12		$	11.80		$	11.83
Income from Investment Operations:
Net investment income1			0.51			0.30			0.30			0.42			0.41
Net realized and unrealized gain (loss)			(0.74)			(0.66)			0.93			(0.69)			(0.03)
Total Income (Loss) from Investment Operations			(0.23)			(0.36)			1.23			(0.27)			0.38
Less Distributions:
From net investment income			(0.53)			(0.30)			(0.30)			(0.41)			(0.41)
From net capital gains			—			(0.13)			(0.09)			—			—
Return of capital			—			—			—			—			(0.00)2
Total Distributions			(0.53)			(0.43)			(0.39)			(0.41)			(0.41)
Net Asset Value, End of Year		$	10.41		$	11.17		$	11.96		$	11.12		$	11.80
Total Return			(1.93)	%		(3.15)	%		11.14	%		(2.47)	%		3.31	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	160,181		$	214,792		$	258,424		$	267,139		$	454,968
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.04	%		1.02	%		1.03	%		1.03	%		1.03	%3
After expense waivers and reimbursements			1.04	%		1.02	%		1.03	%		1.03	%		1.03	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.81	%		2.50	%		2.56	%		3.49	%		3.46	%
Portfolio Turnover Rate			223	%		182	%		165	%		85	%		43	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

³  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.99%.

See accompanying Notes to Financial Statements.

307 / Annual Report March 2023

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND CLASS I
		YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019
Net Asset Value, Beginning of Year		$	11.16		$	11.95		$	11.12		$	11.79		$	11.82
Income from Investment Operations:
Net investment income1			0.53			0.33			0.33			0.44			0.44
Net realized and unrealized gain (loss)			(0.73)			(0.66)			0.92			(0.67)			(0.02)
Total Income (Loss) from Investment Operations			(0.20)			(0.33)			1.25			(0.23)			0.42
Less Distributions:
From net investment income			(0.56)			(0.33)			(0.33)			(0.44)			(0.45)
From net capital gains			—			(0.13)			(0.09)			—			—
Return of capital			—			—			—			—			(0.00)2
Total Distributions			(0.56)			(0.46)			(0.42)			(0.44)			(0.45)
Net Asset Value, End of Year		$	10.40		$	11.16		$	11.95		$	11.12		$	11.79
Total Return			(1.65)	%		(2.88)	%		11.35	%		(2.11	)%		3.60	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	2,353,053		$	3,648,832		$	3,271,289		$	2,760,187		$	2,651,631
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.76	%		0.74	%		0.75	%		0.75	%		0.75	%
After expense waivers and reimbursements			0.76	%		0.74	%		0.75	%		0.75	%		0.75	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.04	%		2.79	%		2.82	%		3.72	%		3.76	%
Portfolio Turnover Rate			223	%		182	%		165	%		85	%		43	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

Annual Report March 2023 / 308

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND PLAN CLASS*
		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		PERIOD ENDED MARCH 31, 2020
Net Asset Value, Beginning of Period		$	11.15	$	11.94	$	11.11	$	11.96
Income from Investment Operations:
Net investment income1			0.56		0.34		0.34		0.03
Net realized and unrealized gain (loss)			(0.74)		(0.66)		0.92		(0.85)
Total Income (Loss) from Investment Operations			(0.18)		(0.32)		1.26		(0.82)
Less Distributions:
From net investment income			(0.57)		(0.34)		(0.34)		(0.03)
From net capital gains			—		(0.13)		(0.09)		—
Total Distributions			(0.57)		(0.47)		(0.43)		(0.03)
Net Asset Value, End of Period		$	10.40	$	11.15	$	11.94	$	11.11
Total Return			(1.50)%		(2.83)%		11.44%		(6.88)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	352,297	$	120,524	$	63,815	$	933
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.70%		0.69%		0.69%		0.68%4
After expense waivers and reimbursements			0.70%		0.69%		0.69%		0.68%4
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.41%		2.87%		2.88%		4.06%4
Portfolio Turnover Rate			223%		182%		165%		85%2

* The Unconstrained Bond Fund Plan Class Shares commenced operations on March 6, 2020.

¹  Per share numbers have been calculated using the average share method.

² Non-Annualized.

³  Represents the whole number without rounding to the 000s.

⁴ Annualized.

See accompanying Notes to Financial Statements.

309/ Annual Report March 2023

Notes to Financial Statements

March 31, 2023

1. SUMMARY OF ORGANIZATION

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.

Annual Report March 2023 / 310

Notes to Financial Statements (Continued)

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.

311 / Annual Report March 2023

Notes to Financial Statements (Continued)

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Trust:

Net Asset Value:

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.

Security Valuation:

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 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 Adviser, as the valuation designee, 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 Adviser, 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.

Foreign Currency Translation:

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.

Foreign Taxes:

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.

Annual Report March 2023 / 312

Notes to Financial Statements (Continued)

Securities and Derivatives Transactions and Investment Income:

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:

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.

Federal Income Taxation:

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.

Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.

As of and during the year ended March 31, 2023, 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.

Cash and Cash Equivalents:

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.

Use of Estimates:

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.

Fair Value Measurements:

Various inputs are used in determining the fair value of investments, which are as follows:

* Level 1 -	unadjusted quoted prices in active markets for identical securities
* Level 2 -	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
* Level 3 -	significant unobservable inputs that are not corroborated by observable market data

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

313 / Annual Report March 2023

Notes to Financial Statements (Continued)

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.

Annual Report March 2023 / 314

Notes to Financial Statements (Continued)

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 March 31, 2023, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and credit default swaps.

315 / Annual Report March 2023

Notes to Financial Statements (Continued)

The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of March 31, 2023 is as follows:

ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	2,590,808	$	—	$	—	$	2,590,808
U.S. Treasury Bills		5,160,373		—		—		5,160,373
Long-Term Investments:
Asset-Backed Securities		—		4,081,005		—		4,081,005
Common Stock		—		—		20,072		20,072
Corporates		—		7,576,445		—		7,576,445
Mortgage-Backed Securities		—		9,029,827		29,904		9,059,731
Municipal Bonds		—		354,647		—		354,647
Mutual Funds		71,643		—		—		71,643
Rights		—		—		—		—
Other Financial Instruments*
Assets:
Equity contracts		1,723,515		—		—		1,723,515
Total	$	9,546,339	$	21,041,924	$	49,976	$	30,638,239
*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	$	207,347	$	—	$	—	$	207,347
Long-Term Investments:
Asset-Backed Securities		—		—		35,886		35,886
Corporates		—		6,195,523		—		6,195,523
Mortgage-Backed Securities		—		33,636		5,168		38,804
Municipal Bonds		—		244,610		—		244,610
U.S. Treasury Securities		423,427		74,644		—		498,071
Other Financial Instruments*
Assets:
Interest rate contracts		26,497		—		—		26,497
Liabilities:
Interest rate contracts		(23,215)		(1,714)		—		(24,929)
Total	$	634,056	$	6,546,699	$	41,054	$	7,221,809

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.

Annual Report March 2023 / 316

Notes to Financial Statements (Continued)

ESG SECURITIZED FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	173,688	$	—	$	—	$	173,688
Long-Term Investments:
Asset-Backed Securities		—		660,760		—		660,760
Mortgage-Backed Securities		—		8,782,396		—		8,782,396
U.S. Treasury Securities		31,033		95,382		—		126,415
Other Financial Instruments*
Assets:
Interest rate contracts		27,980		—		—		27,980
Liabilities:
Foreign currency exchange contracts		—		(3,724)		—		(3,724)
Interest rate contracts		(5,598)		—		—		(5,598)
Total	$	227,103	$	9,534,814	$	—	$	9,761,917
*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	$	14,716,628	$	—	$	—	$	14,716,628
U.S. Treasury Bills		61,393,680		—		—		61,393,680
Long-Term Investments:
Asset-Backed Securities		—		29,453,011		438,609		29,891,620
Bank Loans		—		11,142,652		—		11,142,652
Common Stock		257,040		—		286,780		543,820
Corporates		—		102,776,947		69,795		102,846,742
Foreign Government Obligations		—		5,176,218		—		5,176,218
Mortgage-Backed Securities		—		165,168,499		3,404,250		168,572,749
Municipal Bonds		—		808,727		—		808,727
Rights		—		—		—		—
U.S. Treasury Securities		749,373		2,337,129		—		3,086,502
Warrant		—		5,193		—		5,193
Liabilities:
Long-Term Investments:
Unfunded Commitments Depreciation		—		(4,280)		—		(4,280)
Other Financial Instruments*
Assets:
Interest rate contracts		2,816,767		—		—		2,816,767
Liabilities:
Foreign currency exchange contracts		—		(42,677)		—		(42,677)
Interest rate contracts		(1,719,463)		—		—		(1,719,463)
Total	$	78,214,025	$	316,821,419	$	4,199,434	$	399,234,878

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

317 / Annual Report March 2023

Notes to Financial Statements (Continued)

FLOATING RATE INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	2,759,430	$	—	$	—	$	2,759,430
U.S. Treasury Bills		10,853,618		—		—		10,853,618
Long-Term Investments:
Asset-Backed Securities		—		1,127,837		—		1,127,837
Bank Loans		—		305,951,363		2,042,197		307,993,560
Common Stock		—		—		251,212		251,212
Corporates		—		12,142,119		—		12,142,119
Rights		—		—		—		—
Warrant		—		7,806		—		7,806
Liabilities:
Long-Term Investments:
Unfunded Commitments Depreciation		—		(12,328)		—		(12,328)
Liabilities:
Long-Term Investments:
Bank Loans		—		—		—		—
Total	$	13,613,048	$	319,216,797	$	2,293,409	$	335,123,254
HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	14,634,556	$	—	$	—	$	14,634,556
Long-Term Investments:
Bank Loans		—		45,791,908		—		45,791,908
Common Stock		1,221,750		—		3,261,310		4,483,060
Corporates		—		414,257,759		—		414,257,759
Rights		—		—		—		—
Warrant		—		9,804		23		9,827
Other Financial Instruments*
Assets:
Credit contracts		—		98,716		20,044		118,760
Interest rate contracts		283,497		—		—		283,497
Liabilities:
Foreign currency exchange contracts		—		(34,026)		—		(34,026)
Interest rate contracts		(431,403)		—		—		(431,403)
Total	$	15,708,400	$	460,124,161	$	3,281,377	$	479,113,938

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

Annual Report March 2023 / 318

Notes to Financial Statements (Continued)

INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	15,797,448	$	—	$	—	$	15,797,448
U.S. Agency Discount Notes		—		14,846,652		—		14,846,652
U.S. Treasury Bills		7,658,539		—		—		7,658,539
Long-Term Investments:
Asset-Backed Securities		—		42,135,632		1,834,181		43,969,813
Bank Loans		—		9,741,080		—		9,741,080
Common Stock		—		—		396,474		396,474
Corporates		—		269,958,347		—		269,958,347
Mortgage-Backed Securities		—		215,896,759		—		215,896,759
Municipal Bonds		—		8,741,118		—		8,741,118
Rights		—		—		—		—
U.S. Treasury Securities		404,039,931		13,276,879		—		417,316,810
Unfunded Commitments Appreciation		—		48		—		48
Other Financial Instruments*
Assets:
Credit contracts		—		28,540		20,902		49,442
Interest rate contracts		3,527,063		—		—		3,527,063
Liabilities:
Foreign currency exchange contracts		—		(114,454)		—		(114,454)
Interest rate contracts		(645,301)		—		—		(645,301)
Total	$	430,377,680	$	574,510,601	$	2,251,557	$	1,007,139,838
*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	$	284,923	$	—	$	—	$	284,923
Long-Term Investments:
Asset-Backed Securities		—		453,493		31,899		485,392
Corporates		—		6,285,804		—		6,285,804
Mortgage-Backed Securities		—		1,941,781		17,682		1,959,463
Municipal Bonds		—		465,338		—		465,338
U.S. Treasury Securities		1,753,646		98,252		—		1,851,898
Other Financial Instruments*
Assets:
Interest rate contracts		44,104		—		—		44,104
Liabilities:
Interest rate contracts		(47,799)		(1,534)		—		(49,333)
Total	$	2,034,874	$	9,243,134	$	49,581	$	11,327,589

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.

319 / Annual Report March 2023

Notes to Financial Statements (Continued)

LOW DURATION BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	152,166,000	$	—	$	—	$	152,166,000
U.S. Agency Discount Notes		—		24,744,421		—		24,744,421
U.S. Treasury Bills		24,657,524		—		—		24,657,524
Long-Term Investments:
Asset-Backed Securities		—		227,335,426		5,422,797		232,758,223
Bank Loans		—		39,231,606		—		39,231,606
Common Stock		—		—		—		—
Corporates		—		525,549,365		—		525,549,365
Mortgage-Backed Securities		—		939,348,414		3,359,676		942,708,090
Municipal Bonds		—		26,133,174		—		26,133,174
Purchased Swaptions		—		1,476		—		1,476
U.S. Treasury Securities		228,870,703		13,626,212		—		242,496,915
Liabilities:
Long-Term Investments:
Unfunded Commitments Depreciation		—		(14,800)		—		(14,800)
Liabilities:
Long-Term Investments:
Bank Loans		—		—		—		—
Other Financial Instruments*
Assets:
Credit contracts		—		84,632		67,603		152,235
Interest rate contracts		13,397,161		—		—		13,397,161
Liabilities:
Foreign currency exchange contracts		—		(114,376)		—		(114,376)
Interest rate contracts		(10,993,158)		(3)		—		(10,993,161)
Total	$	408,098,230	$	1,795,925,547	$	8,850,076	$	2,212,873,853
*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	$	986,491	$	—	$	—	$	986,491
U.S. Treasury Bills		14,795		—		—		14,795
Long-Term Investments:
Bank Loans		—		189,138		—		189,138
Common Stock		208,994		—		—		208,994
Corporates		—		1,320,986		—		1,320,986
Master Limited Partnerships		46,002		—		—		46,002
Mortgage-Backed Securities		—		160,782		16,821		177,603
Other Financial Instruments*
Assets:
Interest rate contracts		10,999		—		—		10,999
Total	$	1,267,281	$	1,670,906	$	16,821	$	2,955,008
*Other financial instruments include futures. Interest rate contracts include futures.

Annual Report March 2023 /320

Notes to Financial Statements (Continued)

STRATEGIC INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	1,074,064	$	—	$	—	$	1,074,064
U.S. Treasury Bills		12,989,625		—		—		12,989,625
Long-Term Investments:
Asset-Backed Securities		—		7,152,897		104,763		7,257,660
Common Stock		45,360		—		27,066		72,426
Corporates		—		19,438,981		—		19,438,981
Mortgage-Backed Securities		—		33,430,854		326,465		33,757,319
Municipal Bonds		—		117,787		—		117,787
Rights		—		—		—		—
U.S. Treasury Securities		155,285		483,082		—		638,367
Other Financial Instruments*
Assets:
Foreign currency exchange contracts		—		319		—		319
Interest rate contracts		227,745		—		—		227,745
Liabilities:
Foreign currency exchange contracts		—		(2,725)		—		(2,725)
Interest rate contracts		(233,268)		(3,519)		—		(236,787)
Total	$	14,258,811	$	60,617,676	$	458,294	$	75,334,781

                  *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	$	1,315,038,974	$	—	$	—	$	1,315,038,974
U.S. Agency Discount Notes		—		741,936,143		—		741,936,143
U.S. Treasury Bills		3,480,005,303		—		—		3,480,005,303
Long-Term Investments:
Asset-Backed Securities		—		3,164,698,447		25,670,562		3,190,369,009
Bank Loans		—		983,213,989		4,371,966		987,585,955
Common Stock		—		—		62,266,334		62,266,334
Corporates		—		19,280,217,912		2,954,705		19,283,172,617
Foreign Government Obligations		—		423,175,106		—		423,175,106
Mortgage-Backed Securities		—		32,524,310,301		379,572,729		32,903,883,030
Municipal Bonds		—		366,179,999		—		366,179,999
Rights		—		—		—		—
U.S. Treasury Securities		14,583,437,384		948,127,701		—		15,531,565,085
Liabilities:
Long-Term Investments:
Unfunded Commitments Depreciation		—		(4,746)		—		(4,746)
Other Financial Instruments*
Assets:
Credit contracts		—		1,499,030		201,952		1,700,982
Foreign currency exchange contracts		—		1,294,767		—		1,294,767
Interest rate contracts		173,584,419		—		—		173,584,419
Liabilities:
Foreign currency exchange contracts		—		(12,105,363)		—		(12,105,363)
Interest rate contracts		(21,630,848)		(11,017,053)		—		(32,647,901)
Total	$	19,530,435,232	$	58,411,526,233	$	475,038,248	$	78,416,999,713

321 / Annual Report March 2023

Notes to Financial Statements (Continued)

*Other financial instruments include foreign currency exchange contracts, futures 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	$	10,989,636	$	—	$	—	$	10,989,636
U.S. Treasury Bills		7,689,812		—		—		7,689,812
Long-Term Investments:
Asset-Backed Securities		—		8,185,613		—		8,185,613
Corporates		—		28,249,426		—		28,249,426
Mortgage-Backed Securities		—		48,144,790		11,884		48,156,674
Municipal Bonds		—		939,591		—		939,591
U.S. Treasury Securities		41,387,719		3,121,836		—		44,509,555
Other Financial Instruments*
Assets:
Credit contracts		—		9,637		—		9,637
Interest rate contracts		291,511		—		—		291,511
Liabilities:
Foreign currency exchange contracts		—		(4,468)		—		(4,468)
Interest rate contracts		(431,748)		—		—		(431,748)
Total	$	59,926,930	$	88,646,425	$	11,884	$	148,585,239

*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	$	56,651,000	$	—	$	—	$	56,651,000
U.S. Treasury Bills		76,972,297		—		—		76,972,297
Long-Term Investments:
Asset-Backed Securities		—		354,952,308		8,213,942		363,166,250
Bank Loans		—		109,170,148		386,748		109,556,896
Common Stock		5,866,560		—		3,667,430		9,533,990
Corporates		—		879,616,229		1,354,993		880,971,222
Foreign Government Obligations		—		70,178,960		—		70,178,960
Mortgage-Backed Securities		—		1,811,762,636		7,311,772		1,819,074,408
Municipal Bonds		—		11,913,458		—		11,913,458
Rights		—		—		—		—
U.S. Treasury Securities		6,818,495		21,242,224		—		28,060,719
Unfunded Commitments Appreciation		—		616		—		616
Other Financial Instruments*
Assets:
Credit contracts		—		256,242		93,403		349,645
Foreign currency exchange contracts		—		4,493		—		4,493
Interest rate contracts		15,935,259		—		—		15,935,259
Liabilities:
Foreign currency exchange contracts		—		(387,765)		—		(387,765)
Interest rate contracts		(18,105,007)		(474,176)		—		(18,579,183)
Total	$	144,138,604	$	3,258,235,373	$	21,028,288	$	3,423,402,265

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

Annual Report March 2023 / 322

Notes to Financial Statements (Continued)

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 year ended March 31, 2023, 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			TOTAL
Balance as of     April 1, 2022	$	23,160		$	42,950		$	66,110
Accrued discounts/premiums		—			(12,327	)		(12,327	)
Realized gain (loss)		—			—			—
Change in unrealized (depreciation)*		(3,088	)		(719	)		(3,807	)
Purchases		—			—			—
Sales		—			—			—
Transfers into Level 3**		—			—			—
Transfers out of Level 3**		—			—			—
Balance as of     March 31, 2023	$	20,072		$	29,904		$	49,976

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(3,807) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

CORPORATE BOND        FUND	ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE- BACKED     SECURITIES			TOTAL
Balance as of     April 1, 2022	$	39,936		$	5,355		$	12,295		$	57,586
Accrued discounts/premiums		—			—			(11,753	)		(11,753	)
Realized gain		—			612			—			612
Change in unrealized appreciation (depreciation)*		(1,488	)		403			4,626			3,541
Purchases		—			3,667			—			3,667
Sales		(2,562	)		(10,037	)		—			(12,599	)
Transfers into Level 3**		—			—			—			—
Transfers out of Level 3**		—			—			—			—
Balance as of     March 31, 2023	$	35,886		$	—		$	5,168		$	41,054

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(5,975) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

323 / Annual Report March 2023

Notes to Financial Statements (Continued)

FLEXIBLE INCOME        FUND	ASSET-BACKED  SECURITIES			COMMON      STOCK			CORPORATES			MORTGAGE- BACKED     SECURITIES			TOTAL
Balance as of     April 1, 2022	$	488,107		$	330,900		$	531,973		$	1,948,536		$	3,299,516
Accrued discounts/premiums		—			—			—			(390,164	)		(390,164	)
Realized gain (loss)		—			—			56,949			(53,897	)		3,052
Change in unrealized appreciation (depreciation)*		(18,187	)		(44,120	)		22,533			(889,420	)		(929,194	)
Purchases		—			—			341,081			2,797,777			3,138,858
Sales		(31,311	)		—			(933,485	)		(8,582	)		(973,378	)
Transfers into Level 3**		—			—			50,744			—			50,744
Transfers out of Level 3**		—			—			—			—			—
Balance as of     March 31, 2023	$	438,609		$	286,780		$	69,795		$	3,404,250		$	4,199,434

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(1,014,969) 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 March 31, 2023, 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 $50,744 transferred from level 2 to level 3 in the disclosure hierarchy.

FLOATING RATE        INCOME FUND	BANK       LOANS			COMMON       STOCK			TOTAL
Balance as of     April 1, 2022	$	3,781,017		$	289,860		$	4,070,877
Accrued discounts/premiums		(6,895	)		—			(6,895	)
Realized (loss)		(383,192	)		—			(383,192	)
Change in unrealized (depreciation)*		(131,582	)		(38,648	)		(170,230	)
Purchases		756,313			—			756,313
Sales		(1,973,464	)		—			(1,973,464	)
Transfers into Level 3**		—			—			—
Transfers out of Level 3**		—			—			—
Balance as of     March 31, 2023	$	2,042,197		$	251,212		$	2,293,409

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(192,173) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

Annual Report March 2023 / 324

Notes to Financial Statements (Continued)

HIGH YIELD        BOND FUND	BANK LOANS			COMMON     STOCK			CORPORATES			CREDIT     DEFAULT     SWAPS			WARRANT			TOTAL
Balance as of     April 1, 2022	$	4,460,910		$	3,763,050		$	4,007,877		$	94,040		$	51		$	12,325,928
Accrued discounts/premiums		6,029			—			—			(65,370	)		—			(59,341	)
Realized gain (loss)		(956,899	)		—			458,349			—			—			(498,550	)
Change in unrealized appreciation (depreciation)*		85,034			(501,740	)		301,668			(8,626	)		(28	)		(123,692	)
Purchases		—			—			2,745,151			—			—			2,745,151
Sales		(1,457,700	)		—			(7,513,045	)		—			—			(8,970,745	)
Transfers into Level 3**		—			—			—			—			—			—
Transfers out of Level 3**		(2,137,374	)		—			—			—			—			(2,137,374	)
Balance as of     March 31, 2023	$	—		$	3,261,310		$	—		$	20,044		$	23		$	3,281,377

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(510,393) 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 March 31, 2023, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $2,137,374 transferred from level 3 to level 2 in the disclosure hierarchy.

INTERMEDIATE        BOND FUND	ASSET-BACKED SECURITIES			COMMON       STOCK			CORPORATES			CREDIT      DEFAULT      SWAPS			TOTAL
Balance as of     April 1, 2022	$	2,041,174		$	457,470		$	522,068		$	98,067		$	3,118,779
Accrued discounts/premiums		—			—			—			(68,381	)		(68,381	)
Realized gain		—			—			59,705			—			59,705
Change in unrealized appreciation (depreciation)*		(76,053	)		(60,996	)		39,295			(8,784	)		(106,538	)
Purchases		—			—			357,585			—			357,585
Sales		(130,940	)		—			(978,653	)		—			(1,109,593	)
Transfers into Level 3**		—			—			—			—			—
Transfers out of Level 3**		—			—			—			—			—
Balance as of     March 31, 2023	$	1,834,181		$	396,474		$	—		$	20,902		$	2,251,557

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(145,834) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

INVESTMENT GRADE        CREDIT FUND	ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE- BACKED     SECURITIES			TOTAL
Balance as of     April 1, 2022	$	35,499		$	13,386		$	37,672		$	86,557
Accrued discounts/premiums		—			—			(4,442	)		(4,442	)
Realized gain		—			1,531			—			1,531
Change in unrealized appreciation (depreciation)*		(1,323	)		1,008			(15,548	)		(15,863	)
Purchases		—			9,169			—			9,169
Sales		(2,277	)		(25,094	)		—			(27,371	)
Transfers into Level 3**		—			—			—			—
Transfers out of Level 3**		—			—			—			—
Balance as of     March 31, 2023	$	31,899		$	—		$	17,682		$	49,581

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(16,871) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

325 / Annual Report March 2023

Notes to Financial Statements (Continued)

LOW DURATION        BOND FUND	ASSET-BACKED SECURITIES			CORPORATES			CREDIT     DEFAULT     SWAPS			MORTGAGE- BACKED     SECURITIES			TOTAL
Balance as of     April 1, 2022	$	6,034,776		$	2,096,305		$	317,177		$	891,424		$	9,339,682
Accrued discounts/premiums		—			—			—			(69,656	)		(69,656	)
Realized gain		—			239,737			—			—			239,737
Change in unrealized appreciation (depreciation)*		(224,854	)		157,786			(249,574	)		(155,342	)		(471,984	)
Purchases		—			1,435,841			—			2,693,250			4,129,091
Sales		(387,125	)		(3,929,669	)		—			—			(4,316,794	)
Transfers into Level 3**		—			—			—			—			—
Transfers out of Level 3**		—			—			—			—			—
Balance as of     March 31, 2023	$	5,422,797		$	—		$	67,603		$	3,359,676		$	8,850,076

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(629,770) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

OPPORTUNISTIC HIGH INCOME        CREDIT FUND	BANK       LOANS			CORPORATES			MORTGAGE- BACKED     SECURITIES			TOTAL
Balance as of     April 1, 2022	$	31,515		$	25,166		$	30,081		$	86,762
Accrued discounts/premiums		—			—			(3,370	)		(3,370	)
Realized (loss)		(13,335	)		(3,044	)		—			(16,379	)
Change in unrealized appreciation (depreciation)*		1,620			1,894			(9,890	)		(6,376	)
Purchases		—			—			—			—
Sales		(19,800	)		(24,016	)		—			(43,816	)
Transfers into Level 3**		—			—			—			—
Transfers out of Level 3**		—			—			—			—
Balance as of     March 31, 2023	$	—		$	—		$	16,821		$	16,821

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(9,890) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

STRATEGIC        INCOME FUND	ASSET-BACKED SECURITIES			COMMON     STOCK			CORPORATES			MORTGAGE- BACKED     SECURITIES			TOTAL
Balance as of     April 1, 2022	$	115,275		$	31,230		$	32,127		$	85,217		$	263,849
Accrued discounts/premiums		236			—			—			91,180			91,416
Realized gain		—			—			3,674			8			3,682
Change in unrealized appreciation (depreciation)*		(6,478	)		(4,164	)		2,418			(96,275	)		(104,499	)
Purchases		—			—			22,005			246,343			268,348
Sales		(4,270	)		—			(60,224	)		(8	)		(64,502	)
Transfers into Level 3**		—			—			—			—			—
Transfers out of Level 3**		—			—			—			—			—
Balance as of     March 31, 2023	$	104,763		$	27,066		$	—		$	326,465		$	458,294

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(106,917) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

Annual Report March 2023 / 326

Notes to Financial Statements (Continued)

TOTAL RETURN        BOND FUND	ASSET-BACKED SECURITIES			BANK      LOANS		COMMON     STOCK			CORPORATES			CREDIT     DEFAULT     SWAPS			MORTGAGE- BACKED     SECURITIES			TOTAL
Balance as of     April 1, 2022	$	28,567,563		$	3,351,078	$	71,845,770		$	61,572,896		$	947,503		$	155,761,703		$	322,046,513
Accrued discounts/premiums		—			57,398		—			(19,048	)		(660,836	)		29,476			(593,010	)
Realized gain		—			—		—			6,579,642			—			46,738			6,626,380
Change in unrealized appreciation
(depreciation)*		(1,064,417	)		282,306		(9,579,436	)		3,990,547			(84,715	)		(9,309,893	)		(15,765,608	)
Purchases		—			681,184		—			39,631,768			—			235,271,388			275,584,340
Sales		(1,832,584	)		—		—			(108,801,100	)		—			(2,226,683	)		(112,860,367	)
Transfers into Level 3**		—			—		—			—			—			—			—
Transfers out of Level 3**		—			—		—			—			—			—			—
Balance as of     March 31, 2023	$	25,670,562		$	4,371,966	$	62,266,334		$	2,954,705		$	201,952		$	379,572,729		$	475,038,248

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(20,120,952) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

ULTRA SHORT        BOND FUND	MORTGAGE- BACKED     SECURITIES			TOTAL
Balance as of     April 1, 2022	$	13,941		$	13,941
Accrued discounts/premiums		(5,904	)		(5,904	)
Realized gain (loss)		—			—
Change in unrealized appreciation*		3,847			3,847
Purchases		—			—
Sales		—			—
Transfers into Level 3**		—			—
Transfers out of Level 3**		—			—
Balance as of     March 31, 2023	$	11,884		$	11,884

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $3,847 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2023.

327 / Annual Report March 2023

Notes to Financial Statements (Continued)

UNCONSTRAINED        BOND FUND	ASSET-BACKED SECURITIES			BANK       LOANS			COMMON      STOCK			CORPORATES			CREDIT     DEFAULT     SWAPS			MORTGAGE- BACKED     SECURITIES			TOTAL
Balance as of       April 1, 2022	$	9,140,910		$	1,773,939		$	4,231,650		$	4,328,214		$	438,220		$	54,965		$	19,967,898
Accrued discounts/premiums		—			8,214			—			91,155			(305,565	)		87,389			(118,807	)
Realized gain		—			4,510			—			419,464			—			1,574			425,548
Change in unrealized appreciation (depreciation)*		(340,587	)		9,977			(564,220	)		(358,354	)		(39,252	)		(194,372	)		(1,486,808	)
Purchases		—			60,258			—			2,512,262			—			7,437,200			10,009,720
Sales		(586,381	)		(1,470,150	)		—			(6,875,666	)		—			(74,984	)		(9,007,181	)
Transfers into Level 3**		—			—			—			1,237,918			—			—			1,237,918
Transfers out of Level 3**		—			—			—			—			—			—			—
Balance as of       March 31, 2023	$	8,213,942		$	386,748		$	3,667,430		$	1,354,993		$	93,403		$	7,311,772		$	21,028,288

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(1,747,885) 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 March 31, 2023, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $1,237,918 transferred from level 2 to level 3 in the disclosure hierarchy.

Significant unobservable valuations inputs for Level 3 investments as of March 31, 2023, are as follows:

ALPHATRAK 500 FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT     INCREASES
Common Stock	$20,072	Third-Party Vendor	Vendor Prices	$26.00	$26.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Mortgage-Backed
Securities-Non-Agency	$17,136	Third-Party Vendor	Vendor Prices	$1.19	$1.19	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$12,768	Third-Party Vendor	Vendor Prices	$0.04 - $2.00	$1.98	Increase
Mortgage-Backed Securities-
U.S. Agency Commercial	$—	Broker Quote	Offered Quote	$—	$—	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
CORPORATE BOND FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$35,886	Broker Quote	Offered Quote	$90.27	$90.27	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$5,168	Third-Party Vendor	Vendor Prices	$0.04 - $0.88	$0.87	Increase

Annual Report March 2023 / 328

Notes to Financial Statements (Continued)

FLEXIBLE INCOME FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$438,609	Broker Quote	Offered Quote	$90.27	$90.27	Increase
Common Stock	$286,780	Third-Party Vendor	Vendor Prices	$26.00	$26.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$69,795	Third-Party Vendor	Vendor Prices	$9.53 - $24.16	$20.17	Increase
Mortgage-Backed
Securities-Non-Agency	$2,428,939	Third-Party Vendor	Vendor Prices	$0.00 - $12.39	$5.99	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$712,962	Broker Quote	Offered Quote	$94.06 - $99.48	$97.80	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$262,349	Third-Party Vendor	Vendor Prices	$0.88	$0.88	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
FLOATING RATE INCOME        FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Bank Loans	$2,042,197	Third-Party Vendor	Vendor Prices	$66.50 - $89.00	$79.81	Increase
Common Stock	$251,212	Third-Party Vendor	Vendor Prices	$26.00	$26.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
HIGH YIELD BOND FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$3,261,310	Third-Party Vendor	Vendor Prices	$26.00	$26.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Credit Default Swaps	$20,044	Broker Quote	Offered Quote	$0.84	$0.84	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
Warrant	$23	Third-Party Vendor	Vendor Prices	$1.42	$1.42	Increase
INTERMEDIATE BOND FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$1,834,181	Broker Quote	Offered Quote	$90.27	$90.27	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$396,474	Third-Party Vendor	Vendor Prices	$26.00	$26.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Credit Default Swaps	$20,902	Broker Quote	Offered Quote	$0.84	$0.84	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase

329 / Annual Report March 2023

Notes to Financial Statements (Continued)

INVESTMENT GRADE CREDIT        FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$31,899	Broker Quote	Offered Quote	$90.27	$90.27	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$17,682	Third-Party Vendor	Vendor Prices	$0.04 - $0.88	$0.88	Increase
LOW DURATION BOND FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$5,422,797	Broker Quote	Offered Quote	$90.27	$90.27	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Credit Default Swaps	$67,603	Broker Quote	Offered Quote	$0.84	$0.84	Increase
Mortgage-Backed
Securities-Non-Agency	$673,716	Third-Party Vendor	Vendor Prices	$1.29	$1.29	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$2,685,960	Broker Quote	Offered Quote	$99.48	$99.48	Increase
OPPORTUNISTIC HIGH        INCOME CREDIT FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Mortgage-Backed
Securities-Non-Agency	$16,821	Third-Party Vendor	Vendor Prices	$7.70	$7.70	Increase
STRATEGIC INCOME FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$59,810	Broker Quote	Offered Quote	$90.27	$90.27	Increase
Asset-Backed Securities	$44,953	Third-Party Vendor	Vendor Prices	$10.71	$10.71	Increase
Common Stock	$27,066	Third-Party Vendor	Vendor Prices	$26.00	$26.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Mortgage-Backed
Securities-Non-Agency	$326,465	Third-Party Vendor	Vendor Prices	$4.41 -$10.47	$9.08	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase

Annual Report March 2023 / 330

Notes to Financial Statements (Continued)

TOTAL RETURN BOND FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$25,670,562	Broker Quote	Offered Quote	$90.27	$90.27	Increase
Bank Loans	$4,371,966	Third-Party Vendor	Vendor Prices	$67.17	$67.17	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$62,266,334	Third-Party Vendor	Vendor Prices	$26.00	$26.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$2,954,705	Third-Party Vendor	Vendor Prices	$96.47	$96.47	Increase
Credit Default Swaps	$201,952	Broker Quote	Offered Quote	$0.84	$0.84	Increase
Mortgage-Backed
Securities-Non-Agency	$6,472,697	Third-Party Vendor	Vendor Prices	$0.86 - $98.88	$17.69	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$373,100,032	Broker Quote	Offered Quote	$94.06  - $99.75	$97.34	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
ULTRA SHORT BOND FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Mortgage-Backed
Securities-Non-Agency	$11,884	Third-Party Vendor	Vendor Prices	$1.19	$1.19	Increase
UNCONSTRAINED BOND FUND	FAIR VALUE AT 3/31/23	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$8,213,942	Broker Quote	Offered Quote	$90.27	$90.27	Increase
Bank Loans	$386,748	Third-Party Vendor	Vendor Prices	$67.17	$67.17	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$3,667,430	Third-Party Vendor	Vendor Prices	$26.00	$26.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$1,354,993	Third-Party Vendor	Vendor Prices	$8.04 - $24.35	$18.57	Increase
Credit Default Swaps	$93,403	Broker Quote	Offered Quote	$0.84	$0.84	Increase
Mortgage-Backed
Securities-Non-Agency	$47,712	Third-Party Vendor	Vendor Prices	$0.57 - $4.41	$3.72	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$7,264,060	Broker Quote	Offered Quote	$94.06 - $99.48	$97.25	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	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.

331 / Annual Report March 2023

Notes to Financial Statements (Continued)

Derivative Instruments Categorized by Risk Exposure:

The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of March 31, 2023:

	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
DERIVATIVE TYPE	ASSET DERIVATIVES	LIABILITY DERIVATIVES
Interest rate contracts	Unrealized appreciation on swap contracts Premiums paid for swap contracts Receivable for daily variation margin Investments, at value	Unrealized depreciation on swap contracts Premiums received on swap contracts Payable for daily variation margin Options written
Credit contracts	Unrealized appreciation on swap contracts Premiums paid for swap contracts	Unrealized depreciation on swap contracts Premiums received for swap contracts
Equity contracts	Unrealized appreciation on swap contracts Premiums paid for swap contracts Receivable for daily variation margin —	Unrealized depreciation on swap contracts Premiums received for swap contracts Payable for daily variation margin Options written
Foreign currency exchange contracts	Unrealized appreciation on foreign currency exchange contracts	Unrealized depreciation on foreign currency exchange contracts

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2023:

	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	$	—	$	—	$	—	$	—	$	—	$	118,760
Equity contracts:
Futures1		1,723,515		—		—		—		—		—
Interest contracts:
Futures1		—		26,497		27,980		2,816,767		—		283,497
Total	$	1,723,515	$	26,497	$	27,980	$	2,816,767	$	—	$	402,257
	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	$	49,442	$	—	$	152,235	$	—	$	—	$	1,700,982
Interest contracts:
Futures1		3,527,063		44,104		13,397,161		10,999		227,745		173,584,419
Options and swaptions purchased		—		—		1,476		—		—		—
Foreign currency exchange contracts:
Forwards		—		—		—		—		319		1,294,767
Total	$	3,576,505	$	44,104	$	13,550,872	$	10,999	$	228,064	$	176,580,168

Annual Report March 2023 / 332

Notes to Financial Statements (Continued)

	ASSET DERIVATIVE INVESTMENTS
		ULTRA SHORT BOND FUND		UNCONSTRAINED BOND FUND
Credit contracts:
Swaps		$	9,637	$	349,645
Interest contracts:
Futures1			291,511		15,935,259
Foreign currency exchange contracts:
Forwards			—		4,493
Total		$	301,148	$	16,289,397

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
Interest contracts:
Futures1	$	—	$	(23,215	)	$	(5,598	)	$	(1,719,463	)	$	—	$	(431,403	)
Swaps		—		(1,714	)		—			—			—		—
Foreign currency exchange contracts:
Forwards		—		—			(3,724	)		(42,677	)		—		(34,026	)
Total	$	—	$	(24,929	)	$	(9,322	)	$	(1,762,140	)	$	—	$	(465,429	)

	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	$	(645,301	)	$	(47,799	)	$	(10,993,158	)	$	—	$	(233,268	)	$	(21,630,848	)
Options and swaptions written		—			—			(3	)		—		—			—
Swaps		—			(1,534	)		—			—		(3,519	)		(11,017,053	)
Foreign currency exchange contracts:
Forwards		(114,454	)		—			(114,376	)		—		(2,725	)		(12,105,363	)
Total	$	(759,755	)	$	(49,333	)	$	(11,107,537	)	$	—	$	(239,512	)	$	(44,753,264	)

	LIABILITY DERIVATIVE INVESTMENTS
		ULTRA SHORT			UNCONSTRAINED
		BOND FUND			BOND FUND
Interest contracts:
Futures1		$	(431,748	)	$	(18,105,007	)
Swaps			—			(474,176	)
Foreign currency exchange contracts:
Forwards			(4,468	)		(387,765	)
Total		$	(436,216	)	$	(18,966,948	)

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.

333 / Annual Report March 2023

Notes to Financial Statements (Continued)

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2023:

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	$	—		$	—		$	—		$	—		$	—		$	114,122
Equity contracts:
Futures		(3,404,554	)		—			—			—			—			—
Interest contracts:
Futures		—			65,332			(19,349	)		1,433,725			—			6,098,752
Options and swaptions purchased1		—			—			—			—			—			—
Options and swaptions written		—			1,848			—			(26,282	)		—			—
Swaps		—			(53,523	)		—			—			—			—
Foreign currency exchangecontracts:
Forwards		(1,530	)		(1,189	)		36,857			135,386			52,503			71,759
Total	$	(3,406,084	)	$	12,468		$	17,508		$	1,542,829		$	52,503		$	6,284,633
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	$	59,149		$	—		$	185,837		$	—		$	—		$	1,552,023
Interest contracts:
Futures		(6,826,020	)		83,000			5,716,791			(37,305	)		622,102			(414,029,946	)
Options and swaptions purchased1		(282,459	)		—			(928,575	)		—			—			(29,532,668	)
Options and swaptions written		(1,088,029	)		(792	)		(3,579,911	)		—			(1,359	)		(104,340,975	)
Swaps		—			(71,621	)		—			—			(124,914	)		(355,190,321	)
Foreign currency exchange contracts:
Forwards		(279,080	)		—			314,324			—			5,029			30,628,931
Total	$	(8,416,439	)	$	10,587		$	1,708,466		$	(37,305	)	$	500,858		$	(870,912,956	)

Annual Report March 2023 / 334

Notes to Financial Statements (Continued)

REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
					ULTRA SHORT  BOND FUND			UNCONSTRAINED BOND FUND
Credit contracts:
Swaps					$	7,726		$	367,499
Interest contracts:
Futures						2,370,855			95,229,378
Options and swaptions purchased1						(77,248	)		(1,418,618	)
Options and swaptions written						(338,522	)		(4,885,119	)
Swaps						—			(17,503,134	)
Foreign currency exchange contracts:
Forwards						54,290			1,189,122
Total					$	2,017,101		$	72,979,128
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	$—	$—	$—	$—	$	—		$	(9,773	)
Equity contracts:
Futures	(501,369)	—	—	—		—			—
Interest contracts:
Futures	—	(9,256)	(3,997)	1,305,580		—			(1,859,442	)
Options and swaptions purchased1	—	—	—	—		—			—
Options and swaptions written	—	8,358	—	7,873		—			—
Swaps	—	26,363	—	—		—			—
Foreign currency exchange contracts:
Forwards	—	1,189	(9,854)	(33,976)		(12,738	)		(91,923	)
Total	$(501,369)	$ 26,654	$(13,851)	$1,279,477	$	(12,738	)	$	(1,961,138	)
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	$(9,116)	$—	$(30,076)	$—	$	—		$	(102,135	)
Interest contracts:
Futures	3,847,430	(18,434)	(894,282)	17,597		(53,654	)		190,731,745
Options and swaptions purchased1	238,284	—	772,366	—		—			25,000,745
Options and swaptions written	788,477	9,157	2,598,640	—		19,326			132,705,720
Swaps	—	47,547	—	—		62,470			184,328,708
Foreign currency exchange contracts:
Forwards	(45,328)	—	(114,376)	—		145			(13,045,085	)
Total	$4,819,747	$38,270	$2,332,272	$17,597	$	28,287		$	519,619,698

335 / Annual Report March 2023

Notes to Financial Statements (Continued)

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ULTRA SHORT  BOND FUND		UNCONSTRAINED BOND FUND
Credit contracts:
Swaps	$	(112)	$	(42,231)
Interest contracts:
Futures		(885,277)		(12,601,070)
Options and swaptions purchased1		65,568		1,197,190
Options and swaptions written		244,207		6,507,343
Swaps		—		8,582,283
Foreign currency exchange contracts:
Forwards		(4,468)		(33,281)
Total	$	(580,082)	$	3,610,234

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		152		12		12		961		—		523
Average number of contracts sold		—		8		4		357		—		171
Average value of contracts purchased	$	2,355,686	$	17,738	$	22,280	$	1,501,947	$	—	$	1,034,352
Average value of contracts sold	$	—	$	27,628	$	3,249	$	1,382,730	$	—	$	542,053
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		—		1		—		—		—		—
Average notional - pays fixed rate	$	—	$	1,467	$	—	$	—	$	—	$	—
Average notional - receives fixed rate	$	—	$	80	$	—	$	—	$	—	$	—
Foreign currency exchange contracts:
Average number of contracts sold		1		—		2		7		2		4
Average value of contracts sold	$	383	$	—	$	17,167	$	192,487	$	31,026	$	136,766

Annual Report March 2023 / 336

Notes to Financial Statements (Continued)

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 INCOMEFUND		TOTAL RETURN BOND FUND
Financial futures contracts:
Average number of contracts purchased		1,230		19		5,727		7		74		57,164
Average number of contracts sold		113		12		4,841		1		41		5,239
Average value of contracts purchased	$	2,107,785	$	30,447	$	9,597,561	$	8,096	$	97,662	$	112,048,900
Average value of contracts sold	$	529,484	$	43,605	$	10,468,982	$	213	$	165,582	$	17,530,578
Purchased options:
Average number of contracts		80		—		259		—		—		8,338
Average notional value	$	43,124	$	—	$	140,506	$	—	$	—	$	4,448,714
Written options:
Average number of contracts		124		—		403		—		—		12,948
Average notional value	$	40,901	$	—	$	132,990	$	—	$	—	$	4,300,881
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		—		4		—		—		5		7
Average number of contracts - receives fixed rate		—		3		—		—		3		5
Average notional - pays fixed rate	$	—	$	1,548	$	—	$	—	$	3,020	$	8,769,474
Average notional - receives fixed rate	$	—	$	85	$	—	$	—	$	163	$	510,249
Purchased swaptions:
Average number of contracts		—		—		1		—		—		—
Average notional value	$	—	$	—	$	939,000	$	—	$	—	$	—
Written swaptions:
Average number of contracts		—		—		1		—		—		—
Average notional value	$	—	$	—	$	540,000	$	—	$	—	$	—
Foreign currency exchange contracts:
Average number of contracts sold		6		—		3		—		3		18
Average value of contracts sold	$	484,875	$	—	$	461,964	$	—	$	8,898	$	42,038,190

337 / Annual Report March 2023

Notes to Financial Statements (Continued)

AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
	ULTRA SHORT BOND FUND		UNCONSTRAINED BOND FUND
Financial futures contracts:
Average number of contracts purchased		99		5,112
Average number of contracts sold		242		4,890
Average value of contracts purchased	$	174,107	$	7,149,609
Average value of contracts sold	$	491,018	$	19,679,947
Purchased options:
Average number of contracts		23		400
Average notional value	$	12,647	$	217,197
Written options:
Average number of contracts		36		621
Average notional value	$	12,023	$	205,373
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		—		5
Average number of contracts - receives fixed rate		—		3
Average notional - pays fixed rate	$	—	$	422,259
Average notional - receives fixed rate	$	—	$	22,330
Foreign currency exchange contracts:
Average number of contracts sold		2		7
Average value of contracts sold	$	37,996	$	1,919,258

¹Amounts disclosed represent the volume of derivative contracts for the year ended March 31, 2023.

Counterparty Credit Risk:

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

Annual Report March 2023 / 338

Notes to Financial Statements (Continued)

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.

Collateral requirements:

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 liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:

			ESG SECURITIZED 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
Citibank N.A.
Foreign Currency Exchange Contracts	$	3,724	$	—	$	—	$	3,724
Total	$	3,724	$	—	$	—	$	3,724

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.

339 / Annual Report March 2023

Notes to Financial Statements (Continued)

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 March 31, 2023:

			FLEXIBLE INCOME 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
Citibank N.A.
Foreign Currency Exchange Contracts	$	29,007	$	—	$	—	$	29,007
Goldman Sachs International
Foreign Currency Exchange Contracts	$	13,670	$	—	$	—	$	13,670
Total	$	42,677	$	—	$	—	$	42,677

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 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 March 31, 2023:

			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
Credit Suisse First Boston International
Credit Default Swaps	$	118,760	$	(118,760	)	$	—	$	—
Total	$	118,760	$	(118,760	)	$	—	$	—

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 liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:

			HIGH YIELD 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
Citibank N.A.
Foreign Currency Exchange Contracts	$	19,191	$	—	$	—	$	19,191
Goldman Sachs International
Foreign Currency Exchange Contracts	$	14,835	$	—	$	—	$	14,835
Total	$	34,026	$	—	$	—	$	34,026

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.

Annual Report March 2023 / 340

Notes to Financial Statements (Continued)

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 March 31, 2023:

			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
Credit Suisse First Boston International
Credit Default Swaps	$	49,442	$	(49,442	)	$	—	$	—
Total	$	49,442	$	(49,442	)	$	—	$	—

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 liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:

			INTERMEDIATE 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
Citibank N.A.
Foreign Currency Exchange Contracts	$	90,931	$	—	$	—	$	90,931
Goldman Sachs International
Foreign Currency Exchange Contracts	$	23,523	$	—	$	—	$	23,523
Total	$	114,454	$	—	$	—	$	114,454

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 Low Duration Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:

			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
Credit Suisse First Boston International
Credit Default Swaps	$	152,235	$	(152,235)	$	—	$	—
Goldman Sachs International
Swaptions	$	1,476	$	—	$	(3)	$	1,473
Total	$	153,711	$	(152,235)	$	(3)	$	1,473

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.

341 / Annual Report March 2023

Notes to Financial Statements (Continued)

The following table presents Low Duration Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:

			LOW DURATION 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	$	20,686	$	—	$	—	$	20,686
Citibank N.A.
Foreign Currency Exchange Contracts	$	53,869	$	—	$	—	$	53,869
Goldman Sachs International
Foreign Currency Exchange Contracts	$	39,821	$	—	$	—	$	39,821
Swaptions	$	3	$	—	$	(3)	$	—
	$	39,824	$	—	$	(3)	$	39,821
Total	$	114,379	$	—	$	(3)	$	114,376

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 March 31, 2023:

			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
Goldman Sachs International
Foreign Currency Exchange Contracts	$	319	$	—	$	—	$	319
Total	$	319	$	—	$	—	$	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 March 31, 2023:

			STRATEGIC INCOME 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
Citibank N.A.
Foreign Currency Exchange Contracts	$	2,725	$	—	$	—	$	2,725
Total	$	2,725	$	—	$	—	$	2,725

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.

Annual Report March 2023 / 342

Notes to Financial Statements (Continued)

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 March 31, 2023:

			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	$	10,858	$	—	$	—	$	10,858
Barclays Bank PLC
Foreign Currency Exchange Contracts	$	13,818	$	—	$	(13,818)	$	—
Citibank N.A.
Foreign Currency Exchange Contracts	$	4,559	$	—	$	(4,559)	$	—
Credit Suisse First Boston International
Credit Default Swaps	$	1,700,982	$	(1,700,982)	$	—	$	—
Goldman Sachs International
Foreign Currency Exchange Contracts	$	1,241,262	$	—	$	(1,241,262)	$	—
State Street Global Markets LLC
Foreign Currency Exchange Contracts	$	12,150	$	—	$	(12,150)	$	—
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	12,120	$	—	$	(12,120)	$	—
Total	$	2,995,749	$	(1,700,982)	$	(1,283,909)	$	10,858

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 March 31, 2023:

			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	$	1,195,967	$	(1,182,149)	$	(13,818)	$	—
Citibank N.A.
Foreign Currency Exchange Contracts	$	5,148,406	$	(5,143,847)	$	(4,559)	$	—
Goldman Sachs International
Foreign Currency Exchange Contracts	$	3,456,084	$	(1,690,000)	$	(1,241,262)	$	524,822
State Street Global Markets LLC
Foreign Currency Exchange Contracts	$	793,608	$	—	$	(12,150)	$	781,458
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	1,511,298	$	(1,499,178)	$	(12,120)	$	—
Total	$	12,105,363	$	(9,515,174)	$	(1,283,909)	$	1,306,280

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.

343 / Annual Report March 2023

Notes to Financial Statements (Continued)

The following table presents Ultra Short Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:

			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
Credit Suisse First Boston International
Credit Default Swaps	$	9,637	$	—	$	—	$	9,637
Total	$	9,637	$	—	$	—	$	9,637

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 Ultra Short Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:

			ULTRA SHORT 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
Citibank N.A.
Foreign Currency Exchange Contracts	$	2,537	$	—	$	—	$	2,537
Goldman Sachs International
Foreign Currency Exchange Contracts	$	1,931	$	—	$	—	$	1,931
Total	$	4,468	$	—	$	—	$	4,468

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 Unconstrained Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:

			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
Citibank N.A.
Foreign Currency Exchange Contracts	$	4,493	$	—	$	(4,493)	$	—
Credit Suisse First Boston International
Credit Default Swaps	$	349,645	$	(349,645)	$	—	$	—
Total	$	354,138	$	(349,645)	$	(4,493)	$	—

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.

Annual Report March 2023 / 344

Notes to Financial Statements (Continued)

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 March 31, 2023:

			UNCONSTRAINED 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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	2,124	$	—	$	—	$	2,124
Citibank N.A.
Foreign Currency Exchange Contracts	$	334,693	$	(330,200)	$	(4,493)	$	—
Goldman Sachs International
Foreign Currency Exchange Contracts	$	50,948	$	(50,948)	$	—	$	—
Total	$	387,765	$	(381,148)	$	(4,493)	$	2,124

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.

3. PORTFOLIO INVESTMENTS

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”.

345 / Annual Report March 2023

Notes to Financial Statements (Continued)

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 year ended March 31, 2023, 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 March 31, 2023, 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.

Annual Report March 2023 / 346

Notes to Financial Statements (Continued)

The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.

For the year ended March 31, 2023, 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 March 31, 2023, 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.

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 March 31, 2023, the Funds did not hold any reverse repurchase agreements.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.

Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment. Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.

347 / Annual Report March 2023

Notes to Financial Statements (Continued)

Derivatives:

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 March 31, 2023, 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.

Annual Report March 2023 / 348

Notes to Financial Statements (Continued)

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 March 31, 2023, 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.

349 / Annual Report March 2023

Notes to Financial Statements (Continued)

However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At March 31, 2023, 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 March 31, 2023, 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.

4. RISK CONSIDERATIONS

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.

Annual Report March 2023 / 350

Notes to Financial Statements (Continued)

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.

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

351 / Annual Report March 2023

Notes to Financial Statements (Continued)

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.

5. SECURITIES TRANSACTIONS

Investment transactions for the year ended March 31, 2023, excluding U.S. government and short-term investments, were as follows:

PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	11,932,595	$	26,267,144
Corporate Bond Fund		2,710,586		6,596,679
ESG Securitized Fund		555,459		1,489,248
Flexible Income Fund		151,423,006		63,179,707
Floating Rate Income Fund		165,274,123		291,261,854
High Yield Bond Fund		609,886,249		766,497,881
Intermediate Bond Fund		254,986,173		212,806,522
Investment Grade Credit Fund		2,689,837		3,460,394
Low Duration Bond Fund		822,498,591		1,109,887,043
Opportunistic High Income Credit Fund		3,522,954		4,047,835
Strategic Income Fund		37,698,303		7,584,408
Total Return Bond Fund		12,840,695,517		13,905,905,907
Ultra Short Bond Fund		38,624,290		80,102,260
Unconstrained Bond Fund		918,771,137		1,489,672,605
Investment transactions in U.S. government securities for the year ended March 31, 2023 were as follows:
PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	32,927,983	$	32,962,380
Corporate Bond Fund		8,872,151		8,671,308
ESG Securitized Fund		34,972,384		35,276,159
Flexible Income Fund		606,802,795		557,967,357
Intermediate Bond Fund		4,408,967,923		4,270,305,888
Investment Grade Credit Fund		20,955,709		19,152,092
Low Duration Bond Fund		10,327,084,302		10,672,736,899
Strategic Income Fund		69,930,641		60,587,193
Total Return Bond Fund		311,961,929,115		319,091,298,486
Ultra Short Bond Fund		630,251,406		652,484,500
Unconstrained Bond Fund		7,072,767,813		6,904,411,075

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.

Annual Report March 2023 / 352

Notes to Financial Statements (Continued)

Investment transactions in the shares of affiliated issuers for the year ended March 31, 2023 were as follows:

VALUE AT BEGINNING OF YEAR

PURCHASES

SALES

DIVIDEND/ INTEREST

VALUE AT END OF YEAR

REALIZED GAIN (LOSS)

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)

High Yield Bond Fund

Homer City Holdings LLC

$—

$—

$—

$—

$—

$—

$—

Total Return Bond Fund

Homer City Holdings LLC

$—

$—

$—

$—

$—

$—

$—

6. INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS

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 year ended March 31, 2023, 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%	N/A	N/A	N/A	N/A	0.45%	N/A	N/A	N/A	N/A
Corporate Bond Fund	0.40%	0.40%	N/A	N/A	N/A	0.75%	0.50%	N/A	N/A	N/A
ESG Securitized Fund	0.40%	0.40%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Flexible Income Fund	0.45%	0.45%	N/A	N/A	N/A	0.80%	0.55%	N/A	N/A	N/A
Floating Rate Income Fund	0.55%	0.55%	N/A	N/A	0.55%	0.90%	0.70%	N/A	N/A	0.60%
High Yield Bond Fund	0.50%	0.50%	N/A	N/A	N/A	0.85%	0.60%	N/A	N/A	N/A
Intermediate Bond Fund	0.35%	0.35%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Investment Grade Credit Fund	0.35%	0.35%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Low Duration Bond Fund	0.30%	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%	0.50%	N/A	N/A	N/A	0.85%	0.60%	N/A	N/A	N/A
Strategic Income Fund	0.65%	0.65%	N/A	N/A	N/A	1.04%	0.80%	N/A	N/A	N/A
Total Return Bond Fund	0.35%	0.35%	0.35%	0.35%	0.35%	0.70%	0.49%	0.54%	0.90%	0.39%
Ultra Short Bond Fund	0.25%	0.25%	N/A	N/A	N/A	0.50%	0.34%	N/A	N/A	N/A
Unconstrained Bond Fund	0.65%	0.65%	N/A	N/A	0.65%	1.04%	0.80%	N/A	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.

353 / Annual Report March 2023

Notes to Financial Statements (Continued)

At March 31, 2023, the balance of recoupable expenses with expiration dates for the Funds were as follows:

PORTFOLIO	2024		2025		2026		TOTAL
AlphaTrak 500 Fund	$	122,267	$	—	$	270,246	$	392,513
Corporate Bond Fund		257,070		257,575		293,711		808,356
ESG Securitized Fund		—		67,666		262,567		330,233
Flexible Income Fund		309,577		441,229		471,234		1,222,040
Floating Rate Income Fund		8,677		14,896		19,197		42,770
High Yield Bond Fund		158,414		145,095		130,452		433,961
Intermediate Bond Fund		4,895		62		22,452		27,409
Investment Grade Credit Fund		259,548		264,265		293,818		817,631
Opportunistic High Income Credit Fund		—		96,407		250,735		347,142
Strategic Income Fund		58,687		566,609		339,161		964,457
Ultra Short Bond Fund		310,177		355,828		326,076		992,081
Unconstrained Bond Fund		—		—		13,017		13,017
Total	$	1,489,312	$	2,209,632	$	2,692,666	$	6,391,610

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, 2021 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.

7. SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING PLAN

The Trust has a Share Marketing Plan (or the “12b-1 Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Corporate Bond Fund, the 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 year ended March 31, 2023. 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.

Annual Report March 2023 / 354

Notes to Financial Statements (Continued)

8. COMMITMENTS AND CONTINGENCIES

The Flexible Income Fund, Floating Rate Income Fund, Intermediate 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 March 31, 2023:

FLEXIBLE INCOME FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED (LOSS)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien		February 2029	$	102,038	$	(4,280)
Total Unfunded Commitments			$	102,038	$	(4,280)
FLOATING RATE INCOME FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED (LOSS)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien		February 2029	$	204,076	$	(12,143)
Dermatology Intermediate Holdings, Inc., Delayed-Draw Term Loan, 1st Lien		April 2029		10,003		(185)
Total Unfunded Commitments			$	214,079	$	(12,328)
INTERMEDIATE BOND FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien		February 2029	$	3,952	$	48
Total Unfunded Commitments			$	3,952	$	48
LOW DURATION BOND FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED (LOSS)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien		February 2029	$	288,151	$	(14,800)
Total Unfunded Commitments			$	288,151	$	(14,800)
TOTAL RETURN BOND FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED (LOSS)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien		February 2029	$	819,903	$	(4,746)
Total Unfunded Commitments			$	819,903	$	(4,746)
UNCONSTRAINED BOND FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien		February 2029	$	51,094	$	616
Total Unfunded Commitments			$	51,094	$	616

In the normal course of business, the Trust enters into contracts which provide a variety of representations and warranties, and that provide general indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to the Trust under these arrangements is unknown as it would involve future claims that may be made against the Trust; however, based on the Trust’s experience, the risk of loss is remote and no such claims are expected to occur. As such, the Trust has not accrued any liability in connection with such indemnifications.

355 / Annual Report March 2023

Notes to Financial Statements (Continued)

9. CAPITAL SHARE TRANSACTIONS

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:

	ALPHATRAK 500 FUND
	CLASS M		CLASS M
	YEAR ENDED MARCH 31,  2023		YEAR ENDED MARCH 31,  2022
Change in Fund shares:
Shares outstanding at beginning of year		3,928,208		2,773,846
Shares sold		169,686		1,298,545
Shares issued through reinvestment of distributions		149,894		971,033
Shares redeemed		(1,313,448)		(1,115,216)
Net increase (decrease) in fund shares		(993,868)		1,154,362
Shares outstanding at end of year		2,934,340		3,928,208

	CORPORATE BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		568,258		768,830		701,050		444,057
Shares sold		116,264		192,521		24,849		360,108
Shares issued through reinvestment of distributions		15,926		16,192		15,050		18,162
Shares redeemed		(224,753)		(409,285)		(423,187)		(121,277)
Net increase (decrease) in fund shares		(92,563)		(200,572)		(383,288)		256,993
Shares outstanding at end of year		475,695		568,258		317,762		701,050

	ESG SECURITIZED FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2023		PERIOD ENDED   MARCH 31,  2022*		YEAR ENDED   MARCH 31, 2023		PERIOD ENDED   MARCH 31, 2022*
Change in Fund shares:
Shares outstanding at beginning of period		1,738		—		1,137,535		—
Shares sold		4,755		1,735		340,886		1,132,869
Shares issued through reinvestment of distributions		923				37,255		4,988
Shares redeemed		(627)		—		(526,394)		(322)
Net increase (decrease) in fund shares		4,220		1,738		(148,253)		1,137,535
Shares outstanding at end of period		5,958		1,738		989,282		1,137,535

* The Fund commenced operations on October 1, 2021.

	FLEXIBLE INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		3,651,661		2,147,224		20,317,792		16,108,761
Shares sold		5,112,956		3,650,896		28,619,685		13,905,850
Shares issued through reinvestment of distributions		409,001		237,569		2,158,115		1,621,341
Shares redeemed		(2,961,688)		(2,384,028)		(15,438,583)		(11,318,160)
Net increase in fund shares		2,560,269		1,504,437		15,339,217		4,209,031
Shares outstanding at end of year		6,211,930		3,651,661		35,657,009		20,317,792

Annual Report March 2023 / 356

Notes to Financial Statements (Continued)

	FLOATING RATE INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		1,737,330		1,387,808		48,557,554		41,999,130
Shares sold		429,534		927,690		7,854,538		12,676,785
Shares issued through reinvestment of distributions		80,718		44,164		2,176,860		1,348,588
Shares redeemed		(1,063,558)		(622,332)		(23,235,709)		(7,466,949)
Net increase (decrease) in fund shares		(553,306)		349,522		(13,204,311)		6,558,424
Shares outstanding at end of year		1,184,024		1,737,330		35,353,243		48,557,554

	FLOATING RATE INCOME FUND
	PLAN CLASS		PLAN CLASS
	YEAR ENDED MARCH 31,  2023		YEAR ENDED MARCH 31,  2022
Change in Fund shares:
Shares outstanding at beginning of year		10		10
Shares sold		—		—
Shares issued through reinvestment of distributions		1		—
Net increase in fund shares		1		—
Shares outstanding at end of year		11		10

	HIGH YIELD BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		16,894,728		18,755,387		54,977,626		54,120,573
Shares sold		5,223,122		4,289,757		21,306,338		28,529,831
Shares issued through reinvestment of distributions		848,748		658,585		2,218,309		2,104,002
Shares redeemed		(8,255,492)		(6,809,001)		(38,905,335)		(29,776,780)
Net increase (decrease) in fund shares		(2,183,622)		(1,860,659)		(15,380,688)		857,053
Shares outstanding at end of year		14,711,106		16,894,728		39,596,938		54,977,626

	INTERMEDIATE BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		2,450,422		3,395,400		76,102,332		71,377,801
Shares sold		715,696		645,465		48,199,978		14,653,122
Shares issued through reinvestment of distributions		68,103		41,504		2,450,385		1,206,765
Shares redeemed		(1,033,479)		(1,631,947)		(35,053,527)		(11,135,356)
Net increase (decrease) in fund shares		(249,680)		(944,978)		15,596,836		4,724,531
Shares outstanding at end of year		2,200,742		2,450,422		91,699,168		76,102,332

	INVESTMENT GRADE CREDIT FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		259,570		219,784		992,802		1,044,749
Shares sold		170,204		450,559		333,416		1,818,446
Shares issued through reinvestment of distributions		25,100		15,710		73,219		81,937
Shares redeemed		(67,875)		(426,483)		(466,114)		(1,952,330)
Net increase (decrease) in fund shares		127,429		39,786		(59,479)		(51,947)
Shares outstanding at end of year		386,999		259,570		933,323		992,802

357 / Annual Report March 2023

Notes to Financial Statements (Continued)

	LOW DURATION BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		55,362,416		50,165,234		235,428,672		229,018,746
Shares sold		11,354,337		12,487,486		80,958,050		101,789,983
Shares issued through reinvestment of distributions		1,400,421		454,037		5,451,820		2,460,757
Shares redeemed		(32,123,581)		(7,744,341)		(143,672,112)		(97,840,814)
Net increase (decrease) in fund shares		(19,368,823)		5,197,182		(57,262,242)		6,409,926
Shares outstanding at end of year		35,993,593		55,362,416		178,166,430		235,428,672

	LOW DURATION BOND FUND
	ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		154,242		7,678
Shares sold		31,293		243,605
Shares issued through reinvestment of distributions		1,504		1,151
Shares redeemed		(186,967)		(98,192)
Net increase (decrease) in fund shares		(154,170)		146,564
Shares outstanding at end of year		72		154,242

	OPPORTUNISTIC HIGH INCOME CREDIT FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2023		PERIOD ENDED   MARCH  31, 2022*		YEAR ENDED   MARCH  31, 2023		PERIOD ENDED   MARCH  31, 2022*
Change in Fund shares:
Shares outstanding at beginning of period		7,782		—		330,792		—
Shares sold		70,852		7,752		65,689		303,418
Shares issued through reinvestment of distributions		2,344		264		32,804		27,374
Shares redeemed		(39,424)		(234)		(196,480)		—
Net increase (decrease) in fund shares		33,772		7,782		(97,987)		330,792
Shares outstanding at end of period		41,554		7,782		232,805		330,792

* The Fund commenced operations on August 2, 2021.

	STRATEGIC INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH  31, 2023		YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2023		YEAR ENDED   MARCH  31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		2,439,193		1,975,844		1,351,121		1,251,843
Shares sold		6,912,813		1,234,339		2,020,509		937,224
Shares issued through reinvestment of distributions		400,592		222,558		175,122		147,770
Shares redeemed		(1,626,837)		(993,548)		(1,054,584)		(985,716)
Net increase in fund shares		5,686,568		463,349		1,141,047		99,278
Shares outstanding at end of year		8,125,761		2,439,193		2,492,168		1,351,121

Annual Report March 2023 / 358

Notes to Financial Statements (Continued)

	TOTAL RETURN BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH  31, 2023		YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2023		YEAR ENDED   MARCH  31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		609,964,109		661,139,405		4,611,465,986		4,897,035,762
Shares sold		383,552,935		147,998,834		1,136,670,438		1,211,638,765
Shares issued through reinvestment of distributions		19,723,265		7,623,648		127,328,940		61,975,142
Shares redeemed		(318,898,902)		(206,797,778)		(1,735,660,047)		(1,559,183,683)
Net increase (decrease) in fund shares		84,377,298		(51,175,296)		(471,660,669)		(285,569,776)
Shares outstanding at end of year		694,341,407		609,964,109		4,139,805,317		4,611,465,986

	TOTAL RETURN BOND FUND
	CLASS I-2		CLASS I-2
	YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		16,736,662		10,801,035
Shares sold		8,077,028		11,931,840
Shares issued through reinvestment of distributions		490,417		219,971
Shares redeemed		(14,298,908)		(6,216,184)
Net increase (decrease) in fund shares		(5,731,463)		5,935,627
Shares outstanding at end of year		11,005,199		16,736,662

	TOTAL RETURN BOND FUND
	ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS		PLAN CLASS		PLAN CLASS
	YEAR ENDED   MARCH  31, 2023		YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2023		YEAR ENDED   MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		192,601,234		192,427,211		2,324,492,622		2,425,345,101
Shares sold		31,195,068		39,078,639		338,504,144		475,768,210
Shares issued through reinvestment of distributions		5,128,907		2,008,237		67,148,068		33,232,551
Shares redeemed		(62,012,222)		(40,912,853)		(704,076,477)		(609,853,240)
Net increase (decrease) in fund shares		(25,688,247)		174,023		(298,424,265)		(100,852,479)
Shares outstanding at end of year		166,912,987		192,601,234		2,026,068,357		2,324,492,622

	ULTRA SHORT BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH  31, 2023		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2023		YEAR ENDED   MARCH 31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		9,455,483		14,559,872		37,852,952		42,554,510
Shares sold		822,824		4,029,512		15,775,043		25,590,708
Shares issued through reinvestment of distributions		151,914		63,776		585,925		296,146
Shares redeemed		(5,554,858)		(9,197,677)		(29,418,461)		(30,588,412)
Net (decrease) in fund shares		(4,580,120)		(5,104,389)		(13,057,493)		(4,701,558)
Shares outstanding at end of year		4,875,363		9,455,483		24,795,459		37,852,952

359 / Annual Report March 2023

Notes to Financial Statements (Continued)

	UNCONSTRAINED BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH  31, 2023		YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2023		YEAR ENDED   MARCH  31, 2022
Change in Fund shares:
Shares outstanding at beginning of year		19,230,240		21,607,830		326,977,316		273,766,820
Shares sold		2,686,340		3,405,824		97,731,807		128,854,698
Shares issued through reinvestment of distributions		864,124		720,405		10,194,594		9,599,441
Shares redeemed		(7,399,119)		(6,503,819)		(208,745,619)		(85,243,643)
Net increase (decrease) in fund shares		(3,848,655)		(2,377,590)		(100,819,218)		53,210,496
Shares outstanding at end of year		15,381,585		19,230,240		226,158,098		326,977,316

	UNCONSTRAINED BOND FUND
	PLAN CLASS		PLAN CLASS
	YEAR ENDED MARCH 31,  2023		YEAR ENDED MARCH 31,  2022
Change in Fund shares:
Shares outstanding at beginning of year		10,805,285		5,342,862
Shares sold		22,518,298		9,973,405
Shares issued through reinvestment of distributions		1,610,878		391,609
Shares redeemed		(1,060,861)		(4,902,591)
Net increase in fund shares		23,068,315		5,462,423
Shares outstanding at end of year		33,873,600		10,805,285

10. FEDERAL TAX INFORMATION

Capital Loss Carryforwards:

At March 31, 2023, the following Funds had available for federal income tax purposes unused capital losses as follows:

FUND	SHORT-TERM NON-EXPIRING     AMOUNTS*		LONG-TERM NON-EXPIRING     AMOUNTS*
AlphaTrak 500 Fund	$	2,371,261	$	2,322,290
Corporate Bond Fund		316,893		385,151
ESG Securitized Fund		434,530		22,895
Flexible Income Fund		5,952,817		2,364,301
Floating Rate Income Fund		2,675,049		15,170,932
High Yield Bond Fund		34,960,290		43,644,133
Intermediate Bond Fund		56,011,759		6,434,752
Investment Grade Credit Fund		801,682		463,152
Low Duration Bond Fund		108,883,996		43,790,099
Opportunistic High Income Credit Fund		214,638		114,669
Strategic Income Fund		444,685		3,072,928
Total Return Bond Fund		5,958,665,330		605,251,281
Ultra Short Bond Fund		5,651,930		3,700,139
Unconstrained Bond Fund		52,981,504		—

* Under the Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment.

Annual Report March 2023 / 360

Notes to Financial Statements (Continued)

Tax Basis of Distributable Income:

As of March 31, 2023, 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)	$	26,023		$	—		$	—		$	—		$	664,431		$	2,394,133
Undistributed long-term gains		—			—			—			—			—			—
Other temporary differences		(78	)		(614	)		—			(107,786	)		(513,807	)		(418,752)
Accumulated capital loss carry forwards and post- October losses		(4,693,551	)		(1,215,767	)		(639,561	)		(10,123,806	)		(17,845,981	)		(78,604,423)
Net unrealized appreciation (depreciation)		(1,151,501	)		(1,239,729	)		(1,135,557	)		(37,262,809	)		(14,256,957	)		(68,874,392)
Total accumulated earnings (losses)	$	(5,819,107	)	$	(2,456,110	)	$	(1,775,118	)	$	(47,494,401	)	$	(31,952,314	)	$	(145,503,434)
	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)	$	49,397		$	—		$	417,792		$	—		$	312,893		$	—
Undistributed long-term gains		—			—			—			—			—			—
Other temporary differences		(402,307	)		(532	)		(678,678	)		(22,383	)		(8,820	)		(16,168,689	)
Accumulated capital loss carryforwards and post- October losses		(62,446,511	)		(1,264,834	)		(152,674,095	)		(471,794	)		(3,517,613	)		(7,421,602,418	)
Net unrealized appreciation (depreciation)		(21,529,634	)		(2,083,029	)		(52,211,095	)		(329,834	)		(7,634,461	)		(4,401,416,051	)
Total accumulated earnings (losses)	$	(84,329,055	)	$	(3,348,395	)	$	(205,146,076	)	$	(824,011	)	$	(10,848,001	)	$	(11,839,187,158	)

361 / Annual Report March 2023

Notes to Financial Statements (Continued)

	ULTRA SHORT BOND FUND		UNCONSTRAINED   BOND FUND
Undistributed ordinary income (inclusive of short-term gains)	$	107,101	$	—
Undistributed long-term gains		—		—
Other temporary differences		(2,173)		(3,129,608)
Accumulated capital loss carryforwards and post-October losses		(10,649,399)		(134,124,094)
Net unrealized appreciation (depreciation)		(1,851,328)		(398,168,695)
Total accumulated earnings (losses)	$	(12,395,799)	$	(535,422,397)

Permanent differences incurred during the fiscal year ended March 31, 2023, resulting from differences in book and tax accounting have been reclassified at year-end as follows:

FUND	INCREASE (DECREASE)     ACCUMULATED EARNINGS (LOSS)		INCREASE (DECREASE)     PAID-IN-CAPITAL
AlphaTrak 500 Fund	$	649	$	(649)
Corporate Bond Fund		480		(480)
Flexible Income Fund		32,096		(32,096)
Intermediate Bond Fund		41,601		(41,601)
Opportunistic High Income Credit Fund		80		(80)
Total Return Bond Fund		3,411,613		(3,411,613)
Unconstrained Bond Fund		1,274,915		(1,274,915)

The permanent differences are due to non-deductible expenses and taxable overdistribution paid.

Tax Basis of Distributions to Shareholders:

	ALPHATRAK 500  FUND				CORPORATE  BOND FUND
	MARCH 31, 2023		MARCH 31, 2022		MARCH 31, 2023		MARCH 31, 2022
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	888,057	$	4,904,144	$	283,604	$	315,930
Net long-term capital gains		537,219		6,902,086		—		55,831
Total taxable distributions	$	1,425,276	$	11,806,230	$	283,604	$	371,761
	ESG  SECURITIZED FUND				FLEXIBLE  INCOME FUND
	MARCH 31, 2023		MARCH 31, 2022		MARCH 31, 2023		MARCH 31, 2022
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	324,338	$	48,438	$	22,045,745	$	17,192,300
Net long-term capital gains		—		—		—		540,585
Total taxable distributions	$	324,338	$	48,438	$	22,045,745	$	17,732,885
	FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND
	MARCH 31, 2023		MARCH 31, 2022		MARCH 31, 2023		MARCH 31, 2022
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	25,266,781	$	15,620,404	$	31,729,934	$	30,481,103
Total taxable distributions	$	25,266,781	$	15,620,404	$	31,729,934	$	30,481,103

Annual Report March 2023 / 362

Notes to Financial Statements (Continued)

	INTERMEDIATE BOND  FUND				INVESTMENT GRADE CREDIT FUND
	MARCH 31, 2023		MARCH 31, 2022		MARCH 31, 2023		MARCH 31, 2022
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	26,787,772	$	10,530,092	$	770,112	$	930,563
Net long-term capital gains		—		2,724,855		—		—
Return of Capital		—		—		24,661		—
Total taxable distributions	$	26,787,772	$	13,254,947	$	794,773	$	930,563
	LOW DURATION BOND FUND				OPPORTUNISTIC HIGH INCOME CREDIT FUND
	MARCH 31, 2023		MARCH 31, 2022		MARCH 31, 2023		MARCH 31, 2022
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	61,930,890	$	27,329,398	$	270,955	$	265,147
Return of Capital		—		—		7,781		—
Total taxable distributions	$	61,930,890	$	27,329,398	$	278,736	$	265,147
	STRATEGIC INCOME  FUND				TOTAL RETURN BOND FUND
	MARCH 31, 2023		MARCH 31, 2022		MARCH 31, 2023		MARCH 31, 2022
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	3,713,024	$	2,814,589	$	2,163,571,272	$	1,211,584,483
Total taxable distributions	$	3,713,024	$	2,814,589	$	2,163,571,272	$	1,211,584,483
	ULTRA SHORT BOND FUND				UNCONSTRAINED BOND  FUND
	MARCH 31, 2023		MARCH 31, 2022		MARCH 31, 2023		MARCH 31, 2022
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	3,041,991	$	1,534,325	$	170,616,814	$	135,350,036
Net long-term capital gains		—		—		—		20,305,457
Total taxable distributions	$	3,041,991	$	1,534,325	$	170,616,814	$	155,655,493

Tax Cost

As of March 31, 2023, 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	$	30,066,225		$	8,458,256		$	10,878,851	$	435,444,303	$	349,381,225	$	548,054,643
Gross unrealized appreciation		138,478			37,025			10,962		3,538,225		1,850,042		6,717,612
Gross unrealized (depreciation)		(1,289,979)			(1,275,040)			(1,146,554)		(40,797,997)		(16,095,685)		(75,595,145)
Net unrealized appreciation (depreciation)	$	(1,151,501)		$	(1,238,015)		$	(1,135,592)	$	(37,259,772)	$	(14,245,643)	$	(68,877,533)
	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	$	1,025,857,663		$	13,414,313		$	2,263,193,153	$	3,273,843	$	82,977,209	$	82,676,903,118
Gross unrealized appreciation		8,609,518			67,238			10,588,377		78,862		854,967		546,386,372
Gross unrealized (depreciation)		(30,144,141)			(2,148,733)			(63,334,736)		(408,696)		(8,485,947)		(4,938,111,935)
Net unrealized appreciation (depreciation)	$	(21,534,623	)	$	(2,081,495	)	$	(52,746,359)	$	(329,834)	$	(7,630,980)	$	(4,391,725,563)

363 / Annual Report March 2023

Notes to Financial Statements (Continued)

	ULTRA SHORT BOND FUND			UNCONSTRAINED   BOND FUND
Tax Cost	$	150,572,132		$	3,823,797,272
Gross unrealized appreciation		622,075			32,374,495
Gross unrealized (depreciation)		(2,473,900	)		(430,092,568	)
Net unrealized appreciation (depreciation)	$	(1,851,825	)	$	(397,718,073	)

11. COMMITTED LINE OF CREDIT

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 year ended March 31, 2023. 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.

12. INDEMNIFICATIONS

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.

13. NEW ACCOUNTING PRONOUNCEMENT

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.

Annual Report March 2023 / 364

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of

the Metropolitan West Funds

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of Metropolitan West Funds (the “Trust”) comprising the Metropolitan West AlphaTrak 500 Fund, Metropolitan West Corporate Bond Fund, Metropolitan West ESG Securitized Fund, Metropolitan West Flexible Income Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Opportunistic High Income Credit Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Unconstrained Bond Fund (the “Funds”), including the schedules of portfolio investments, as of March 31, 2023, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights (as to Metropolitan West High Yield Bond Fund, consolidated financial highlights for one year in the period ended March 31, 2019) for each of the five years in the period then ended for the Funds, except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Flexible Income Fund, Metropolitan West Opportunistic High Income Credit Fund, and Metropolitan West ESG Securitized Fund; the related statements of operations, changes in net assets, and financial highlights for the periods indicated in the table below for Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Flexible Income Fund, Metropolitan West Opportunistic High Income Credit Fund, and Metropolitan West ESG Securitized Fund, and the related notes.

In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds listed above constituting Metropolitan West Funds as of March 31, 2023, and the results of their operations for the year then ended (or for the period listed in the table below), the changes in their net assets for each of the two years in the period then ended (or for the period listed in the table below), and the financial highlights for each of the five years in the period then ended (or for the period listed in the table below) in conformity with accounting principles generally accepted in the United States of America.

Individual Fund Comprising the Metropolitan West Funds	Statement of Operations	Statement of Changes in Net Assets	Financial Highlights
Metropolitan West Corporate Bond Fund	For the year ended March 31, 2023	For the years ended March 31, 2023 and 2022	For the years ended March 31, 2023, March 31, 2022, March 31, 2021, March 31, 2020, and the period from June 29, 2018 (commencement of operations) through March 31, 2019
Metropolitan West Investment Grade Credit Fund	For the year ended March 31, 2023	For the years ended March 31, 2023 and 2022	For the years ended March 31, 2023, March 31, 2022, March 31, 2021, March 31, 2020, and the period from June 29, 2018 (commencement of operations) through March 31, 2019
Metropolitan West Flexible Income Fund	For the year ended March 31, 2023	For the years ended March 31, 2023 and 2022	For the years ended March 31, 2023, March 31, 2022, March 31, 2021, March 31, 2020, and the period from June 29, 2018 (commencement of operations) through March 31, 2019

365 / Annual Report March 2023

Metropolitan West Opportunistic High Income Credit Fund	For the year ended March 31, 2023	For the year ended March 31, 2023 and the period from August 2, 2021 (commencement of operations) through March 31, 2022	For the year ended March 31, 2023 and the period from August 2, 2021 (commencement of operations) through March 31, 2022
Metropolitan West ESG Securitized Fund	For the year ended March 31, 2023	For the year ended March 31, 2023 and the period from October 1, 2021 (commencement of operations) through March 31, 2022	For the year ended March 31, 2023 and the period from October 1, 2021 (commencement of operations) through March 31, 2022

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2023, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

Los Angeles, California

May 25, 2023

We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.

Annual Report March 2023 / 366

Metropolitan West Funds

Tax Information Notice

(Unaudited)

For shareholders that do not have a March 31, 2023 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2023 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2023, each portfolio is reporting the following items with regard to distributions paid during the year. All information is based on financial information available as of the date of this annual report and, accordingly is subject to change. For each item, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

	ALPHATRAK 500 FUND			CORPORATE BOND FUND			ESG SECURITIZED FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND
Net Investment Income Distributions		59.60	%		100.00	%		100.00	%		100.00	%		100.00	%		100.00	%
Short-Term Capital Gain Distributions		2.71	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Long-Term Capital Gain Distributions		37.69	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Return of Capital		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Tax-Exempt Interest		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Qualifying For Corporate Dividends Rec Deduction (1)		0.00	%		0.00	%		0.00	%		0.00	%		0.10	%		0.00	%
Qualifying Dividend Income (2)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
U.S. Government Interest (3)		9.71	%		3.32	%		14.73	%		3.50	%		0.86	%		0.67	%
Foreign Tax Credit (4)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Qualified Interest Income (5)		79.33	%		85.47	%		89.23	%		90.20	%		99.72	%		93.54	%
Qualified Short-Term Capital Gain (6)		100.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
	INTERMEDIATE BOND FUND			INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			TOTAL RETURN  BOND FUND
Net Investment Income Distributions		100.00	%		96.90	%		100.00	%		96.93	%		100.00	%		100.00	%
Short-Term Capital Gain Distributions		0.00	%		0.00	%		0.00	%		0.28	%		0.00	%		0.00	%
Long-Term Capital Gain Distributions		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Return of Capital		0.00	%		3.10	%		0.00	%		2.79	%		0.00	%		0.00	%
Tax-Exempt Interest		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Qualifying For Corporate Dividends Rec Deduction (1)		0.00	%		0.00	%		0.00	%		1.20	%		0.00	%		0.00	%
Qualifying Dividend Income (2)		0.00	%		0.00	%		0.00	%		1.08	%		0.00	%		0.00	%
U.S. Government Interest (3)		38.46	%		2.43	%		20.84	%		0.73	%		4.04	%		27.37	%
Foreign Tax Credit (4)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Qualified Interest Income (5)		86.52	%		93.83	%		87.27	%		93.37	%		89.93	%		83.79	%
Qualified Short-Term Capital Gain (6)		0.00	%		0.00	%		0.00	%		100.00	%		0.00	%		0.00	%
	ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
Net Investment Income Distributions		100.00	%		100.00	%
Short-Term Capital Gain Distributions		0.00	%		0.00	%
Long-Term Capital Gain Distributions		0.00	%		0.00	%
Return of Capital		0.00	%		0.00	%
Tax-Exempt Interest		0.00	%		0.00	%
Qualifying For Corporate Dividends Rec Deduction (1)		0.00	%		0.00	%
Qualifying Dividend Income (2)		0.00	%		0.00	%
U.S. Government Interest (3)		29.43	%		2.17	%
Foreign Tax Credit (4)		0.00	%		0.00	%
Qualified Interest Income (5)		86.20	%		79.24	%
Qualified Short-Term Capital Gain (6)		0.00	%		0.00	%

367 / Annual Report March 2023

(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions).

(2) The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions).

(3) “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short- term capital gain and net investment income distributions). Generally, interest from direct U.S. government obligations is exempt from state income tax. However, for residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income for this fund.

(4) Foreign Tax Credit represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income).

(5) The percentage in this column represents the amount of “Qualifying Interest Income” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of net investment income distributions.

(6) The percentage in this column represents the amount of “Qualifying Short Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of short-term capital gain distributions.

Annual Report March 2023 / 368

Liquidity Risk Management Program (Unaudited)

Rule 22e-4 under the 1940 Act (the “Liquidity Rule”) requires that all registered open-end management investment companies, including the Funds, establish a written liquidity risk management program (a “Liquidity Program”). Under a fund’s Liquidity Program, a fund must assess, manage and periodically review the fund’s liquidity risk, classify the liquidity of each of the fund’s portfolio investments, determine whether to specify highly liquid investment minimum (and, if so, at what level), limit illiquid investments to 15% of fund investments, and establish policies and procedures regarding how and when a fund will engage in redemptions in-kind. Consistent with the Liquidity Rule, the Board has approved the written Liquidity Program for the Funds and has designated a committee of professionals associated with the Adviser to administer the Funds’ Liquidity Program (the “Program Administrator”).

On March 6, 2023, the Board reviewed the Program Administrator’s written annual report (the “Report”) concerning the operation of the Funds’ Liquidity Program for the calendar year ended December 31, 2022 (the “Reporting Period”). The Report addressed the operation of the Liquidity Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s Highly Liquidity Investment Minimum (“HLIM”). The Report discussed, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and the operation and monitoring of the HLIM assigned to a Fund, as applicable; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions. The Report concluded that the Liquidity Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented with respect to each Fund during the Reporting Period.

There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

369 / Annual Report March 2023

Metropolitan West Funds

Privacy Policy

The TCW Group, Inc. and Subsidiaries   TCW Investment Management Company LLC   TCW Asset Management Company LLC   Metropolitan West Asset Management, LLC
TCW Funds Inc.	TCW Direct Lending LLC
TCW Strategic Income Fund, Inc.	TCW Direct Lending VII LLC
Metropolitan West Funds	TCW Direct Lending VIII LLC
Sepulveda Management LLC	TCW Star Direct Lending LLC

Effective February 2023

WHAT YOU SHOULD KNOW

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.

OUR PRIVACY POLICY

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, TCW Direct Lending VIII LLC, and TCW Star Direct Lending 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.

CATEGORIES OF INFORMATION WE COLLECT

We may collect the following types of nonpublic personal and financial information about you from the following sources:

• Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications.

• Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties.

• Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others.

CATEGORIES OF INFORMATION WE DISCLOSE TO NONAFFILIATED THIRD PARTIES

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.

Annual Report March 2023 / 370

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.

CATEGORIES OF INFORMATION WE DISCLOSE TO OUR AFFILIATED ENTITIES

• We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose.

• We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and confirm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you.

INFORMATION ABOUT FORMER CUSTOMERS

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.

QUESTIONS

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.

REMINDER ABOUT TCW’S FINANCIAL PRODUCTS

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, TCW Direct Lending VIII LLC, and TCW Star Direct Lending LLC.

• Are not guaranteed by a bank;

• Are not obligations of The TCW Group, Inc. or of its subsidiaries;

• Are not insured by the Federal Deposit Insurance Corporation; and

• Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon.

THE TCW GROUP, INC.	TCW DIRECT LENDING LLC
TCW FUNDS, INC.	TCW DIRECT LENDING VII LLC
TCW STRATEGIC INCOME FUND, INC.	TCW DIRECT LENDING VIII LLC
METROPOLITAN WEST FUNDS	TCW STAR DIRECT LENDING LLC
SEPULVEDA MANAGEMENT LLC
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com

371 / Annual Report March 2023

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MANAGEMENT INFORMATION

TRUSTEES AND OFFICERS (Unaudited)

The business and affairs of the Trust and each Fund is under the direction of the Board of Trustees. Information pertaining to the Trustees and officers of the Trust is provided in the table below. The term “officer” means president, vice president, secretary, treasurer, controller, or any other officer who performs policy making functions. All officers serve without direct compensation from the Funds. You can find more information about the Trustees in the Statement of Additional Information which is available without charge by calling (800) 241-4671.

NAME AND   YEAR OF BIRTH***	POSITION(S) HELD WITH TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER   DIRECTORSHIPS   HELD   BY TRUSTEE
Independent Trustees of the Trust*
Ronald J. Consiglio (1943)	Trustee	Indefinite term, since 2003	Managing Director (since 1999), Synergy Trading (securities-trading partnership).	14	Mannkind Corp. (pharmaceutical preparations)
Patrick C. Haden (1953)	Trustee	Indefinite term, since 2010	President (since 2003), Wilson Ave. Consulting (business consulting firm).	33	Auto Club (affiliate of AAA); TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed- end fund)
Martin Luther King III (1957)	Trustee and Chairman of the Nominating and Governance Committee	Indefinite term, since 1997	President and Chief Executive Officer (since 1998), The King Center (non-profit organization). Since January 2006, he has served as Chief Executive Officer of Realizing the Dream, a non-profit organization that continues the humanitarian and liberating work of Dr. Martin Luther King, Jr. and Mrs. Coretta Scott King. He has been engaged as an independent motivational lecturer since 1980.	14	None
Peter McMillan (1957)	Trustee	Indefinite term, since 2008	Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005 - 2019), KBS Capital Advisors (a manager of real estate investment trusts).	33	Pacific Oak Strategic Opportunity REIT (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed- end fund); TCW DL VII Financing LLC (private fund)

Annual Report March 2023 / 374

NAME AND   YEAR OF BIRTH***	POSITION(S) HELD WITH TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER   DIRECTORSHIPS   HELD   BY TRUSTEE
Robert G. Rooney (1957)	Trustee and Chairman of the Audit Committee	Indefinite term, since 2009	Founder (since August 2022), RGR Advisors CT, LLC (financial advisory firm); Senior Financial Advisor (August 2020 – March 2021) and Chief Financial and Administrative Officer (November 2018 – August 2020), REEF Technology (real estate services and technology company); Chief Financial Officer (January 2018 – November 2018), Citizens Parking Inc. (parking services company).	14	None
Andrew Tarica (1959)	Trustee and Chairman of the Board	Indefinite term, since 2002 and 2008, respectively	Director of Fixed Income (since February 2022), Forest Road Securities (broker-dealer); Chief Executive Officer (since February 2001), Meadowbrook Capital Management (asset management company); Employee (2003 – January 2022), Cowen Prime Services (broker-dealer).	33	TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company) ; TCW Direct Lending VIII, LLC (business development company); TCW Star Direct Lending, LLC (business development company)
Interested Trustees**
Laird Landmann (1964)	Trustee and Executive Vice President	Indefinite term, since 2008 and 2007, respectively	President and Generalist Portfolio Manager (since 1996), the Adviser; Group Managing Director (since 2010), The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC.	14	TCW Direct Lending, LLC (business development company); TCW Direct Lending VII, LLC (business development company); TCW Direct Lending VIII, LLC (business development company); TCW Star Direct Lending, LLC (business development company)
Patrick Moore (1964)	Trustee	Indefinite term, since 2014	Group Managing Director (since 2000), the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. Mr. Moore is a member of the CFA Institute.	14	None
	Officers of the Trust who are not Trustees
Kathryn Koch (1980)	President and Principal Executive Officer	Indefinite term, since February 2023	President and Chief Executive Officer (since February 2023), The TCW Group, Inc., TCW LLC, the Advisor, TCW Investment Management Company LLC, TCW Asset Management Company LLC, TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Chief Investment Officer of Public Equity (2004 – January 2023), Goldman Sachs.	1	TCW Strategic Income Fund, Inc. (closed-end fund)

375 / Annual Report March 2023

NAME AND   YEAR OF BIRTH***	POSITION(S) HELD WITH TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS ****	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER   DIRECTORSHIPS   HELD   BY TRUSTEE
Richard Villa (1964)	Treasurer, Principal Financial Officer and Principal Accounting Officer	Indefinite term, since February 2021	Executive Vice President, Chief Financial Officer and Assistant Secretary (since 2008), the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and The TCW Group, Inc. and (since 2016), TCW LLC; Treasurer and Principal Financial Officer and Accounting Officer (since 2014), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.	N/A	N/A
Eric Chan (1978)	Assistant Treasurer	Indefinite term, since 2010	Managing Director of Fund Operations (since November 2006), the Adviser and (since 2009), TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC; Assistant Treasurer (since 2009), TCW Funds, Inc. and TCW Strategic Income Fund, Inc. Mr. Chan is a Certified Public Accountant.	N/A	N/A
Stephen M. Kane (1962)	Executive Vice President	Indefinite term, since 2007	Group Managing Director (since August 1996), the Adviser and (since 2010), TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC.	N/A	N/A
Gladys Xiques (1973)	Chief Compliance Officer and Anti- Money Laundering Officer	Indefinite term, since January 2021	Group Managing Director and Global Chief Compliance Officer (since January 2021), the Adviser, TCW LLC, TCW Investment Management Company LLC and TCW Asset Management Company LLC; Global Chief Compliance Officer of The TCW Group, Inc. (since January 2021); Chief Compliance Officer and AML Officer (since January 2021), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Senior Vice President (February 2015 – December 2020), the Adviser, TCW LLC, TCW Investment Management Company LLC and TCW Asset Management Company LLC.	N/A	N/A
Meredith Jackson (1959)	Vice President and Secretary	Indefinite term, since 2013	Executive Vice President, General Counsel and Secretary (since February 2013), the Adviser, TCW Investment Management Company LLC, The TCW Group, Inc., TCW Asset Management Company LLC and (since January 2016), TCW LLC; Senior Vice President, General Counsel and Secretary (since February 2013), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.	N/A	N/A
Peter Davidson (1972)	Vice President and Assistant Secretary	Indefinite term, since September 2022	Senior Vice President, Associate General Counsel and Assistant Secretary (since July 2022), the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC, TCW LLC; Vice President and Assistant Secretary (since September 2022), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Assistant General Counsel – Investment Products and Advisory Services (2020 – July 2022), The Northwestern Mutual Life Insurance Company; Associate General Counsel (2019 – August 2020), Resolute Investment Managers; Assistant General Counsel (2003 – October 2019), Invesco Ltd.	N/A	N/A

* Denotes a Trustee who is not an “interested” person of the Trust as defined in the 1940 Act.

** Denotes a Trustee who is an “interested” person of the Trust as defined in the 1940 Act, due to the relationship indicated with the Adviser.

*** For purposes of Trust business, the address for all Trustees and officers is c/o Metropolitan West Asset Management, LLC, 865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017.

**** Positions with The TCW Group, Inc. and its affiliates may have changed over time.

Annual Report March 2023 / 376

MetWest Funds

865 South Figueroa Street, Suite 1800

Los Angeles, California 90017

800 241 4671

www.TCW.com

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

Kathryn Koch

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.

P.O. Box 534453

Pittsburgh, PA 15253-4453

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.

FUNDap 5/2023

(b) Not applicable.

Item 2.  Code of Ethics.

(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

(d) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

(f)(1) Pursuant to Item 13(a)(1), the registrant is filing as an exhibit a copy of its code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

Item 3.  Audit Committee Financial Expert.

As of the end of the period covered by the report, the registrant’s board of directors has determined that Ronald Consiglio and Robert Rooney are qualified to serve as audit committee financial experts serving on its audit committee and they are “independent,” as defined by Item 3 of Form N-CSR.

Item 4.  Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $610,054 for 2023 and $592,285 in 2022.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2023 and $0 in 2022.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $130,998 for 2023 and $115,878 in 2022.

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0for 2023 and $0 in 2022.

(e) Audit Committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

(e)(1) Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent auditors to the registrant and (ii) all permissible non-audit services to be provided by the independent auditors to Metropolitan West Funds and any affiliate of Metropolitan West Funds that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Metropolitan West Funds or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Metropolitan West Funds and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent auditors during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee or the Chairperson prior to the completion of the audit.

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b) N/A

(c) 100%

(d) N/A

(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $1,167,405 for 2023 and $868,519 in 2022.

(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

(i) Not applicable.

(j) Not applicable.

Item 5.  Audit Committee of Listed Registrants.

Not applicable.

Item 6.  Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form.

(b) Not applicable.

Item 7.  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.  Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9.  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)	Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached herewith.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(2)(1)	There were no written solicitations to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons.
(a)(2)(2)	There was no change in the Registrant’s independent public accountant during the period covered by the report.
(b)	Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

SIGNATURES

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.

(Registrant)                               Metropolitan West Funds                                                                             

By (Signature and Title)*	/s/  Kathryn Koch
	Kathryn Koch, President and Principal Executive Officer         (principal executive officer)

Date                     June 2, 2023                                                                                                                          

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.

By (Signature and Title)*	/s/  Kathryn Koch
	Kathryn Koch, President and Principal Executive Officer         (principal executive officer)

Date                     June 2, 2023                                                                                                                          

By (Signature and Title)*	/s/  Richard Villa
	Richard Villa, Treasurer, Principal Financial Officer         and Principal Accounting Officer         (principal financial officer)

Date                     June 2, 2023                                                                                                                          

^* Print the name and title of each signing officer under his or her signature.

EX-99.CODE ETH

Sarbanes-Oxley Act Code of Ethics

This SOX Code for the Funds has been adopted regarding the Covered Officers for the purpose of deterring wrongdoing and promoting:

● honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships,

● full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the SEC and in other public communications made by the Funds,

● compliance with applicable laws and governmental rules and regulations,

● prompt internal reporting of violations of this SOX Code to an appropriate person or persons identified in this SOX Code, and

● accountability for adherence to this SOX Code.

This SOX Code shall be the sole code of ethics adopted by the Funds for the purposes of section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, TIMCO, MetWest or TFD govern or purport to govern the behavior or activities of the Covered Officers who are subject to this SOX Code, they are superseded by this SOX Code to the extent that they overlap or conflict with the provisions of this SOX Code. The Funds’, TIMCO’s, MetWest’s and TFD’s codes of ethics under Rule 17j-1 under the 40 Act and TIMCO’s and MetWest’s more detailed policies and procedures set forth in the Code of Ethics are separate requirements that apply to the Covered Officers and others and are not part of this SOX Code.

Each Covered Officer of a Fund must, as applicable:

● upon being named a Covered Officer affirm in writing to the board that he or she has received, read and understands this SOX Code,

● avoid situations when a Covered Officer’s private interest interferes with the interests of, or service to, a Fund,

● not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by a Fund, including where the Covered Officer would benefit personally to the detriment of the Fund,

● not cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fund,

● not use material non-public knowledge of portfolio transactions made or contemplated for a Fund to trade personally or cause others to trade personally in contemplation of the market effect of such transactions,

● report at least annually any directorships or other affiliations with other public companies,

● obtain approval from (i) their supervisor and (ii) any of the Fund Chief Compliance Officer, or General Counsel upon the receipt of any entertainment from any company with which

a Fund has current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate with regard to time and place, and not so frequent that questions of impropriety arise. Where the CEO of TCW Group is considered a Covered Person under these policies, and therefore has no direct supervisor, the foregoing approval shall require two of the persons named under (ii) above,

● annually affirm to the relevant board that he or she has complied with the requirements of this SOX Code,

● not retaliate against any Covered Officer or employee of the Funds or their Affiliated Persons for reports of potential violations that are made in good faith, and

● notify the General Counsel promptly if he knows of any violation of this Code. Failure to do so is itself a violation of this SOX Code. The General Counsel will promptly notify the Chief Compliance Officer of the Fund of any reported violations of this SOX Code.

Further, each Covered Officer:

● should refrain from accepting gifts of more than a de minimis value from providers of goods and services to a Fund.

● should be familiar with the disclosure requirements generally applicable to each Fund.

● should not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to others, whether within or outside the Fund, including to a Fund’s board and auditors, or to governmental regulators and self-regulatory organizations.

● should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Funds and TIMCO or MetWest, applicable, with the goal of promoting full, fair, accurate, timely, and understandable disclosure in the reports and documents that the Funds file with, or submit to, the SEC and in other public communications made by the Funds.

● is responsible for promoting compliance with the standards and restrictions imposed by applicable laws, rules, and regulations.

The foregoing requirements shall not prevent the participation of the Covered Officers in activities inherent in the contractual relationship between each fund and TIMCO or MetWest, as applicable, such as contract negotiation, and, if addressed in conformity with the provisions of the 40 Act and the Advisers Act, will be deemed to have been handled ethically.

The following conflicts of interest situations involving a Covered Officer must be approved by (i) the Chief Operating Officer of the Firm and (ii) one of the General Counsel or Chief Compliance Officer of the Fund:

● service as a director on the board of any public company,

● service as an executor, trustee, guardian, conservator, general partner or other fiduciary, or any appointment as a consultant in connection with fiduciary or active money management matters exclusive of appointments involving personal estates or service on the board of a charitable, civic, or nonprofit company where the Covered Officer does not act as an investment advisor for the entity’s assets,

● any ownership interest in, or any consulting or employment relationship with, any service providers of a Fund, as applicable, other than its investment adviser, principal underwriter, or any Affiliated Person thereof, with the exception that nothing herein shall prevent a Covered Officer from acquiring publicly traded securities of a service provider in a market transaction, and

● a direct or indirect financial interest in commissions, transaction charges, or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

Any approvals or waivers sought by a Covered Officer that is not covered above will be submitted for consideration by the Audit Committee of the relevant Fund. In addition, the Funds will follow these procedures in investigating and enforcing this SOX Code.

● The General Counsel will take all appropriate action to investigate any reported violations.

● If, after such investigation, the General Counsel believes that no violation has occurred, the General Counsel is not required to take any further action.

● Any matter that the General Counsel believes is a violation will be reported to the Audit Committee and to the Chief Compliance Officer.

● If the Audit Committee concurs that a violation has occurred, it will inform the board, which will consider appropriate action, which may include (i) review of, and appropriate modifications to, applicable policies and procedures, (ii) notification to appropriate personnel of TIMCO, MetWest or their board, as applicable, or (iii) a recommendation to dismiss the Covered Officer.

● The Audit Committee will be responsible for granting waivers, as appropriate.

● Any changes to, or waivers of, this SOX Code will, to the extent required, be disclosed as provided by SEC rules.

Material amendments to this SOX Code must be in written form and specifically approved or ratified by a majority vote of a Fund’s board, including a majority of independent directors.

All reports and records prepared or maintained pursuant to this SOX Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this SOX Code, such matters shall not be disclosed to anyone other than the appropriate board, their counsel, counsel to the relevant Funds, and such persons at TCW who should know in the reasonable course of their duties.

This SOX Code is intended solely for the internal use by the funds and does not constitute an admission, by or on behalf of any Fund, with regard to any fact, circumstance, or legal conclusion.

EX-99.CERT

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, Kathryn Koch, certify that:

1. I have reviewed this report on Form N-CSR of Metropolitan West Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:     June 2, 2023	/s/ Kathryn Koch
	Kathryn Koch, President and Principal
	Executive Officer
	(principal executive officer)

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, Richard Villa, certify that:

1. I have reviewed this report on Form N-CSR of Metropolitan West Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:     June 2, 2023	/s/  Richard Villa
	Richard Villa, Treasurer, Principal Financial
	Officer and Principal Accounting Officer
	(principal financial officer)

EX-99.906CERT

Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the

Sarbanes-Oxley Act

I, Kathryn Koch, President and Principal Executive Officer of Metropolitan West Funds (the “Registrant”), certify that, to my knowledge:

1. The periodic report on Form N-CSR of the Registrant for the period ended March 31, 2023 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:     June 2, 2023	/s/  Kathryn Koch
	Kathryn Koch, President and Principal
	Executive Officer
	(principal executive officer)

I, Richard Villa, Treasurer, Principal Financial Officer and Principal Accounting Officer of Metropolitan West Funds (the “Registrant”), certify that, to my knowledge:

1. The periodic report on Form N-CSR of the Registrant for the period ended March 31, 2023 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:     June 2, 2023	/s/  Richard Villa
	Richard Villa, Treasurer, Principal Financial
	Officer and Principal Accounting Officer
	(principal financial officer)