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Issues	Maturity Date			Principal Amount		Value

BONDS – 70.92%

ASSET-BACKED SECURITIES — 7.38%**

Access Group, Inc., Series 2015-1, Class A (LIBOR USD 1-Month plus 0.70%)

3.10%		07/25/56	^1,2		$ 18,257	$	18,098

AMMC CLO XIV Ltd., Series 2014-14A, Class A1LR (Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)

3.83%		07/25/29	^1,2,3		35,000		35,019

BA Credit Card Trust, Series 2018-A2, Class A2

3.00%		09/15/23			140,000		142,437

Barings BDC Static CLO Ltd., Series 2019-1A, Class A1 (Cayman Islands) (LIBOR USD 3-Month plus 1.02%)

3.54%		04/15/27	^1,2,3		65,000		65,050

Bayview Commercial Asset Trust, Series 2004-3, Class A1 (LIBOR USD 1-Month plus 0.56%)

2.96%		01/25/35	^1,2		13,549		13,494

BlueMountain CLO Ltd., Series 2013-2A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.18%)

3.77%		10/22/30	^1,2,3		50,000		49,974

Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 (LIBOR USD 3-Month plus 1.20%)

3.72%		02/25/35	¹		15,000		15,311

Chase Issuance Trust, Series 2012-A7, Class A7

2.16%		09/15/24			45,000		45,171

Chase Issuance Trust, Series 2015-A4, Class A4

1.84%		04/15/22			140,000		139,645

Citibank Credit Card Issuance Trust, Series 2014-A5, Class A5

2.68%		06/07/23			15,000		15,178

Citibank Credit Card Issuance Trust, Series 2014-A6, Class A6

2.15%		07/15/21			140,000		139,984

Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.90%)

3.50%		04/15/29	^1,2,3		50,000		49,718

Educational Funding of the South, Inc., Series 2011-1, Class A2 (LIBOR USD 3-Month plus 0.65%)

3.23%		04/25/35	¹		3,723		3,699

Educational Funding of the South, Inc., Series 2012-1, Class A (LIBOR USD 1-Month plus 1.05%)

3.48%		03/25/36	¹		38,027		38,077


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

Magnetite IX Ltd., Series 2014-9A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.00%)

3.58%		07/25/26	^1,2,3		$ 28,320	$	28,343

Navient Student Loan Trust, Series 2014-1, Class A3 (LIBOR USD 1-Month plus 0.51%)

2.94%		06/25/31	¹		122,168		120,608

Navient Student Loan Trust, Series 2016-7A, Class A (LIBOR USD 1-Month plus 1.15%)

3.55%		03/25/66	^1,2		84,237		84,643

Navient Student Loan Trust, Series 2017-2A, Class A (LIBOR USD 1-Month plus 1.05%)

3.45%		12/27/66	^1,2		80,650		80,994

Navient Student Loan Trust, Series 2017-4A, Class A2 (LIBOR USD 1-Month plus 0.50%)

2.90%		09/27/66	^1,2		100,000		99,831

Nelnet Student Loan Trust, Series 2014-3A, Class A (LIBOR USD 1-Month plus 0.58%)

2.98%		06/25/41	^1,2		19,547		19,284

North Carolina State Education Authority, Series 2011-1, Class A3 (LIBOR USD 3-Month plus 0.90%)

3.67%		10/25/41	¹		12,628		12,629

Northstar Education Finance, Inc., Series 2007-1, Class A2 (LIBOR USD 3-Month plus 0.75%)

3.33%		01/29/46	¹		9,982		9,872

PHEAA Student Loan Trust, Series 2016-1A, Class A (LIBOR USD 1-Month plus 1.15%)

3.55%		09/25/65	^1,2		91,199		92,063

Scholar Funding Trust, Series 2011-A, Class A (LIBOR USD 3-Month plus 0.90%)

3.48%		10/28/43	^1,2		4,064		4,054

SLM Student Loan Trust, Series 2003-10A, Class A3 (LIBOR USD 3-Month plus 0.47%)

2.88%		12/15/27	^1,2		66,432		66,437

SLM Student Loan Trust, Series 2003-11, Class A6 (LIBOR USD 3-Month plus 0.55%)

2.96%		12/15/25	^1,2		65,256		65,270

SLM Student Loan Trust, Series 2004-1, Class A4 (LIBOR USD 3-Month plus 0.26%)

2.84%		10/27/25	¹		82,515		82,145


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2005-4, Class A3 (LIBOR USD 3-Month plus 0.12%)

2.70%		01/25/27	¹		$107,551	$	106,919

SLM Student Loan Trust, Series 2005-5, Class A4 (LIBOR USD 3-Month plus 0.14%)

2.72%		10/25/28	¹		200,472		199,077

SLM Student Loan Trust, Series 2005-8, Class A4 (LIBOR USD 3-Month plus 0.55%)

3.13%		01/25/28	¹		50,904		50,996

SLM Student Loan Trust, Series 2007-6, Class A4 (LIBOR USD 3-Month plus 0.38%)

2.96%		10/25/24	¹		44,800		44,791

SLM Student Loan Trust, Series 2008-5, Class A4 (LIBOR USD 3-Month plus 1.70%)

4.28%		07/25/23	¹		149,946		151,847

SLM Student Loan Trust, Series 2008-9, Class A (LIBOR USD 3-Month plus 1.50%)

4.08%		04/25/23	¹		56,058		56,720

SLM Student Loan Trust, Series 2011-1, Class A1 (LIBOR USD 1-Month plus 0.52%)

2.92%		03/25/26	¹		32,335		32,334

SLM Student Loan Trust, Series 2011-2, Class A1 (LIBOR USD 1-Month plus 0.60%)

3.00%		11/25/27	¹		7,843		7,852

SLM Student Loan Trust, Series 2013-4, Class A (LIBOR USD 1-Month plus 0.55%)

2.95%		06/25/43	¹		7,749		7,674

TCI-Flatiron CLO Ltd., Series 2016-1, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.22%)

3.81%		07/17/28	^1,2,3		35,000		35,024

Voya CLO Ltd., Series 2014-3A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 0.72%)

3.30%		07/25/26	^1,2,3		33,065		33,038


Total Asset-Backed Securities
(Cost $2,259,645)							2,263,300


CORPORATES — 37.39%*

Banking — 7.43%

Bank of America Corp.

2.74%		01/23/22	⁴		325,000		326,535

3.00%		12/20/23	⁴		91,000		92,721


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)

Bank of America Corp. (GMTN)

2.37%		07/21/21	⁴		$200,000	$	199,821

JPMorgan Chase & Co.

3.21%		04/01/23	⁴		200,000		204,222

(LIBOR USD 3-Month plus 0.68%)

3.20%		06/01/21	¹		75,000		75,256

JPMorgan Chase Bank N.A. (BKNT) (LIBOR USD 3-Month plus 0.29%)

2.87%		02/01/21	¹		250,000		250,141

Lloyds Bank PLC (United Kingdom) (MTN)

5.80%		01/13/20	^2,3		75,000		76,344

Lloyds Banking Group PLC (United Kingdom)

2.91%		11/07/23	^3,4		75,000		74,869

Santander UK Group Holdings PLC (United Kingdom)

3.13%		01/08/21	³		125,000		125,654

US Bank N.A. (BKNT)

3.05%		07/24/20			250,000		252,134

Wells Fargo & Co. (MTN)

2.63%		07/22/22			250,000		251,628

Wells Fargo & Co., Series N (MTN)

2.15%		01/30/20			100,000		99,915

Wells Fargo Bank N.A. (BKNT)

2.40%		01/15/20			250,000		250,169


							2,279,409


Communications — 1.84%

AT&T, Inc. (LIBOR USD 3-Month plus 1.18%)

3.62%		06/12/24	¹		175,000		177,250

CCO Holdings LLC/CCO Holdings Capital Corp.

5.38%		06/01/29	²		18,000		18,630

Clear Channel International BV (Netherlands)

8.75%		12/15/20	^2,3		3,000		3,079

Comcast Corp.

3.45%		10/01/21			60,000		61,756

Intelsat Jackson Holdings SA (Luxembourg)

5.50%		08/01/23	³		20,000		18,350

9.75%		07/15/25	^2,3		7,000		7,175

Level 3 Financing, Inc.

5.38%		05/01/25			12,000		12,420

Sprint Capital Corp.

8.75%		03/15/32			9,000		10,417

Sprint Communications, Inc.

7.00%		03/01/20	²		16,000		16,440

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC

3.36%		09/20/21	²		112,500		112,389


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)

Vodafone Group PLC (United Kingdom) (LIBOR USD 3-Month plus 0.99%)

3.59%		01/16/24	^1,3		$125,000	$	125,402


							563,308


Consumer Discretionary — 1.18%

Anheuser-Busch InBev Worldwide, Inc.

6.88%		11/15/19			75,000		76,176

BAT Capital Corp.

2.76%		08/15/22			125,000		125,237

Central Garden & Pet Co.

5.13%		02/01/28			6,000		5,895

Constellation Brands, Inc.

2.00%		11/07/19			50,000		49,894

(LIBOR USD 3-Month plus 0.70%)

3.22%		11/15/21	¹		50,000		50,028

Molson Coors Brewing Co.

1.45%		07/15/19			55,000		54,978


							362,208


Electric — 1.48%

DTE Energy Co.

2.40%		12/01/19			50,000		50,000

Duquesne Light Holdings, Inc.

6.40%		09/15/20	²		100,000		104,302

NextEra Energy Capital Holdings, Inc. (LIBOR USD 3-Month plus 0.48%)

3.05%		05/04/21	¹		55,000		54,999

(LIBOR USD 3-Month plus 0.55%)

3.07%		08/28/21	¹		40,000		40,005

PNM Resources, Inc.

3.25%		03/09/21			100,000		100,834

Puget Energy, Inc.

6.50%		12/15/20			100,000		105,519


							455,659


Energy — 0.72%

Antero Resources Corp.

5.00%		03/01/25			25,000		23,187

5.13%		12/01/22			11,000		10,615

5.63%		06/01/23			15,000		14,515

Centennial Resource Production LLC

6.88%		04/01/27	²		6,000		6,090

Energy Transfer Operating LP

5.50%		06/01/27			12,000		13,435

Rockies Express Pipeline LLC

5.63%		04/15/20	²		120,000		122,550


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

6.88%		01/15/29	²		$ 4,000	$	4,445

Transocean Guardian Ltd. (Cayman Islands)

5.88%		01/15/24	^2,3		6,615		6,756

Transocean Pontus Ltd. (Cayman Islands)

6.13%		08/01/25	^2,3		5,670		5,868

Transocean Poseidon Ltd. (Cayman Islands)

6.88%		02/01/27	^2,3		6,000		6,356

Transocean Proteus Ltd. (Cayman Islands)

6.25%		12/01/24	^2,3		3,000		3,109

USA Compression Partners LP/USA Compression Finance Corp.

6.88%		09/01/27	²		5,000		5,276


							222,202


Finance — 7.45%

Air Lease Corp.

3.50%		01/15/22			65,000		66,588

BMW U.S. Capital LLC (LIBOR USD 3-Month plus 0.38%)

2.68%		04/06/20	^1,2		60,000		60,130

Citibank N.A. (BKNT)

3.40%		07/23/21			100,000		102,160

Citigroup, Inc.

2.40%		02/18/20			40,000		40,007

2.88%		07/24/23	⁴		225,000		227,969

(LIBOR USD 3-Month plus 0.95%)

3.53%		07/24/23	¹		30,000		30,104

Daimler Finance North America LLC

1.75%		10/30/19	²		50,000		49,857

Ford Motor Credit Co. LLC

2.46%		03/27/20			50,000		49,864

3.20%		01/15/21			60,000		60,378

5.75%		02/01/21			75,000		78,187

5.88%		08/02/21			50,000		52,740

(LIBOR USD 3-Month plus 0.79%)

3.23%		06/12/20	¹		15,000		14,962

GE Capital International Funding Co. (Ireland)

2.34%		11/15/20	³		420,000		417,830

General Motors Financial Co., Inc.

2.35%		10/04/19			50,000		49,976

Goldman Sachs Group, Inc. (The)

2.55%		10/23/19			175,000		175,089

2.88%		10/31/22	⁴		170,000		171,094

Goldman Sachs Group, Inc. (The) (MTN) (LIBOR USD 3-Month plus 1.60%)

4.12%		11/29/23	¹		75,000		77,080


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)

Morgan Stanley (LIBOR USD 3-Month plus 0.93%)

3.52%		07/22/22	¹		$200,000	$	201,317

Morgan Stanley (GMTN)

5.50%		07/24/20			100,000		103,245

(LIBOR USD 3-Month plus 0.55%)

3.10%		02/10/21	¹		50,000		50,068

Nationwide Building Society (United Kingdom)

3.62%		04/26/23	^2,3,4		75,000		76,422

4.36%		08/01/24	^2,3,4		75,000		78,338

Park Aerospace Holdings Ltd. (Cayman Islands)

4.50%		03/15/23	^2,3		50,000		51,660


							2,285,065


Food — 1.47%

Campbell Soup Co. (LIBOR USD 3-Month plus 0.50%)

2.91%		03/16/20	¹		50,000		50,043

Conagra Brands, Inc. (LIBOR USD 3-Month plus 0.50%)

2.81%		10/09/20	¹		60,000		59,875

Danone SA (France)

1.69%		10/30/19	^2,3		50,000		49,872

Kraft Heinz Foods Co. (LIBOR USD 3-Month plus 0.42%)

2.98%		08/09/19	¹		75,000		75,025

Mondelez International Holdings Netherlands BV (Netherlands)

1.63%		10/28/19	^2,3		50,000		49,859

Post Holdings, Inc.

5.50%		12/15/29	²		18,000		18,113

Smithfield Foods, Inc.

2.70%		01/31/20	²		100,000		99,820

Tyson Foods, Inc. (LIBOR USD 3-Month plus 0.45%)

2.97%		08/21/20	¹		50,000		49,988


							452,595


Gaming — 0.07%

Churchill Downs, Inc.

4.75%		01/15/28	²		10,000		10,097

5.50%		04/01/27	²		10,000		10,475


							20,572


Health Care — 5.06%

AbbVie, Inc.

3.75%		11/14/23			125,000		130,229


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

Allergan Funding SCS (Luxembourg)

3.45%		03/15/22	³		$50,000	$	51,069

Allergan Sales LLC

5.00%		12/15/21	²		40,000		41,995

Anthem, Inc.

2.25%		08/15/19			75,000		74,975

Bausch Health Americas, Inc.

9.25%		04/01/26	²		5,000		5,613

Bausch Health Cos., Inc. (Canada)

5.75%		08/15/27	^2,3		10,000		10,535

Bayer U.S. Finance II LLC

2.13%		07/15/19	²		35,000		34,992

2.75%		07/15/21	²		90,000		90,093

Bayer U.S. Finance LLC

2.38%		10/08/19	²		35,000		34,943

Becton Dickinson and Co.

2.68%		12/15/19			50,000		50,203

Bristol-Myers Squibb Co. (LIBOR USD 3-Month plus 0.20%)

2.72%		11/16/20	^1,2		150,000		150,047

Centene Corp.

5.38%		06/01/26	²		5,000		5,256

5.63%		02/15/21			10,000		10,200

CHS/Community Health Systems, Inc.

8.00%		03/15/26	²		4,000		3,870

8.63%		01/15/24	²		3,000		3,026

Cigna Corp. (LIBOR USD 3-Month plus 0.65%)

3.06%		09/17/21	^1,2		100,000		100,046

CVS Health Corp.

4.00%		12/05/23			125,000		131,404

(LIBOR USD 3-Month plus 0.72%)

3.17%		03/09/21	¹		32,000		32,152

Fresenius Medical Care U.S. Finance II, Inc.

5.63%		07/31/19	²		75,000		75,142

HCA, Inc.

5.00%		03/15/24			5,000		5,453

5.88%		02/01/29			7,000		7,683

6.50%		02/15/20			175,000		179,530

Hologic, Inc.

4.63%		02/01/28	²		2,000		2,033

Humana, Inc.

2.63%		10/01/19			50,000		50,019

Roche Holdings, Inc.

2.25%		09/30/19	²		75,000		74,956

Shire Acquisitions Investments Ireland DAC (Ireland)

1.90%		09/23/19	³		100,000		99,851


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

Tenet Healthcare Corp.

4.38%		10/01/21		$	10,000	$	10,175

4.63%		07/15/24			10,000		10,163

4.75%		06/01/20			17,000		17,149

6.00%		10/01/20			8,000		8,260

WellCare Health Plans, Inc.

5.38%		08/15/26	²		10,000		10,650

Zimmer Biomet Holdings, Inc. (LIBOR USD 3-Month plus 0.75%)
3.17%		03/19/21	¹		40,000		39,971


							1,551,683


Industrials — 1.36%

BAE Systems Holdings, Inc.

2.85%		12/15/20	²		100,000		100,421

Bemis Co., Inc.

6.80%		08/01/19	²		50,000		50,035

Berry Global Escrow Corp.

4.88%		07/15/26	²		6,000		6,143

Clean Harbors, Inc.

5.13%		06/01/21			6,000		6,018

General Electric Co. (GMTN)

5.50%		01/08/20			50,000		50,697

General Electric Co. (MTN)

5.55%		05/04/20			45,000		46,150

(LIBOR USD 3-Month plus 0.38%)

2.95%		05/05/26	¹		30,000		27,339

(LIBOR USD 3-Month plus 0.48%)

3.00%		08/15/36	¹		75,000		56,090

United Technologies Corp. (LIBOR USD 3-Month plus 0.65%)

3.17%		08/16/21	¹		75,000		75,048


							417,941


Information Technology — 0.33%

Analog Devices, Inc.

2.85%		03/12/20			40,000		40,124

Broadcom Corp./Broadcom Cayman Finance Ltd.

2.38%		01/15/20			55,000		54,871

SS&C Technologies, Inc.

5.50%		09/30/27	²		6,000		6,236


							101,231


Insurance — 0.10%

Allstate Corp. (The) (LIBOR USD 3-Month plus 0.43%)

2.76%		03/29/21	¹		30,000		30,063


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Materials — 0.66%

Georgia-Pacific LLC

2.54%		11/15/19	²		$ 50,000	$	50,009

5.40%		11/01/20	²		50,000		52,047

International Flavors & Fragrances, Inc.

3.40%		09/25/20			100,000		101,090


							203,146


Real Estate Investment Trust (REIT) — 5.76%

Alexandria Real Estate Equities, Inc.

2.75%		01/15/20			65,000		65,034

American Campus Communities Operating Partnership LP

3.35%		10/01/20			90,000		90,832

Boston Properties LP

4.13%		05/15/21			150,000		154,442

5.63%		11/15/20			15,000		15,553

Camden Property Trust

2.95%		12/15/22			55,000		56,050

Essex Portfolio LP

3.63%		08/15/22			100,000		103,047

5.20%		03/15/21			50,000		51,941

GLP Capital LP/GLP Financing II, Inc.

4.38%		04/15/21			85,000		86,689

4.88%		11/01/20			30,000		30,546

HCP, Inc.

2.63%		02/01/20			100,000		100,025

Healthcare Trust of America Holdings LP

3.38%		07/15/21			125,000		127,021

Kimco Realty Corp.

3.40%		11/01/22			100,000		102,909

Liberty Property LP

4.75%		10/01/20			125,000		127,854

MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.

4.50%		01/15/28			6,000		5,985

National Retail Properties, Inc.

3.80%		10/15/22			75,000		77,742

SL Green Operating Partnership LP (LIBOR USD 3-Month plus 0.98%)

3.50%		08/16/21	¹		100,000		100,038

UDR, Inc.

3.70%		10/01/20			100,000		101,399

Ventas Realty LP/Ventas Capital Corp.

2.70%		04/01/20			50,000		50,187

WEA Finance LLC

3.15%		04/05/22	²		50,000		50,847

WEA Finance LLC/Westfield UK & Europe Finance PLC

2.70%		09/17/19	²		115,000		114,974


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)

Welltower, Inc.

3.75%		03/15/23			$100,000	$	104,214

4.95%		01/15/21			50,000		51,590


							1,768,919


Retail — 0.68%

Alimentation Couche-Tard, Inc. (Canada)

2.35%		12/13/19	^2,3		50,000		49,949

2.70%		07/26/22	^2,3		30,000		30,070

Dollar Tree, Inc. (LIBOR USD 3-Month plus 0.70%)

3.29%		04/17/20	¹		55,000		55,007

eG Global Finance PLC (United Kingdom)

6.75%		02/07/25	^2,3		13,000		12,931

Rite Aid Corp.

6.13%		04/01/23	²		20,000		16,950

Walgreens Boots Alliance, Inc.

2.70%		11/18/19			45,000		44,988


							209,895


Services — 0.47%

IHS Markit Ltd. (Bermuda)

5.00%		11/01/22	^2,3		35,000		37,257

Matthews International Corp.

5.25%		12/01/25	²		6,000		5,917

Total System Services, Inc.

3.80%		04/01/21			100,000		101,882


							145,056


Transportation — 1.33%

American Airlines Pass-Through Trust, Series 2013-2, Class A

4.95%		01/15/23			178,714		187,087

Continental Airlines Pass-Through Trust, Series 2000-1, Class A1

8.05%		11/01/20			28,081		28,564

Continental Airlines Pass-Through Trust, Series 2000-2, Class A1

7.71%		04/02/21			15,095		15,737

Delta Air Lines Pass-Through Trust, Series 2009-1, Class A

7.75%		12/17/19			96,919		99,070

U.S. Airways Pass-Through Trust, Series 2001-1, Class G

7.08%		03/20/21			22,855		23,995


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		$	47,708	$	52,721


							407,174


Total Corporates
(Cost $11,385,127)							11,476,126


MORTGAGE-BACKED — 25.26%**

Non-Agency Commercial
Mortgage-Backed — 8.92%

Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class D

5.07%		09/11/42	⁴		100,000		102,111

Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class AAB

2.61%		09/10/45			90,262		90,805

Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class AAB

2.69%		04/10/46			96,166		96,789

Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class AAB

2.98%		04/10/48			90,000		92,201

Commercial Mortgage Trust, Series 2006-GG7, Class AM

5.83%		07/10/38	⁴		12,227		12,311

Commercial Mortgage Trust, Series 2012-CR4, Class XA (IO)

1.91%		10/15/45	⁴		365,170		17,410

Commercial Mortgage Trust, Series 2013-CR11, Class ASB

3.66%		08/10/50			18,260		18,782

Commercial Mortgage Trust, Series 2013-CR13, Class XA (IO)

0.96%		11/10/46	⁴		565,350		17,365

Commercial Mortgage Trust, Series 2013-CR7, Class XA (IO)

1.37%		03/10/46	⁴		1,799,932		64,283

Commercial Mortgage Trust, Series 2013-LC6, Class XB (IO)

0.47%		01/10/46	^2,4		1,750,000		22,584

Commercial Mortgage Trust, Series 2015-CR25, Class XA (IO)

1.05%		08/10/48	⁴		2,897,545		121,623

Core Industrial Trust, Series 2015-CALW, Class A

3.04%		02/10/34	²		47,434		48,895

Core Industrial Trust, Series 2015-TEXW, Class A

3.08%		02/10/34	²		49,625		50,856


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

DBRR Trust, Series 2011-LC2, Class A4A

4.54%		07/12/44	^2,4		$ 359,556	$	371,933

DBUBS Mortgage Trust, Series 2011-LC1A, Class A2

4.53%		11/10/46	²		662		661

DBUBS Mortgage Trust, Series 2011-LC1A, Class A3

5.00%		11/10/46	²		80,000		82,239

Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A

5.40%		12/13/28	²		42,305		44,299

GRACE Mortgage Trust, Series 2014-GRCE, Class A

3.37%		06/10/28	²		40,000		40,955

GS Mortgage Securities Trust, Series 2010-C1, Class X (IO)

1.48%		08/10/43	^2,4		537,634		5,093

GS Mortgage Securities Trust, Series 2010-C2, Class A1

3.85%		12/10/43	²		8,847		8,921

GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4

3.38%		05/10/45			72,764		74,099

GS Mortgage Securities Trust, Series 2013-GC12, Class XA (IO)

1.56%		06/10/46	⁴		957,092		40,994

JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A5

3.66%		07/15/45			80,000		83,989

JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class XA (IO)

0.93%		01/15/47	⁴		1,754,771		52,010

JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class XA (IO)

1.17%		08/15/47	⁴		199,335		8,045

JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class ASB

3.29%		01/15/48			85,000		87,281

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-CIBC11, Class C

5.74%		08/12/37	⁴		84,763		84,977

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class A3

4.17%		08/15/46			71,059		73,414

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class ASB

3.14%		05/15/45			101,459		103,010


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)

1.40%		04/15/46	⁴		$1,515,889	$	61,953

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class XA (IO)

1.25%		01/15/49	^4,5,6		964,129		40,757

LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class XCL (IO)

0.77%		09/15/39	^2,4		550,670		5,901

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB

3.82%		10/15/46			48,860		50,363

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class ASB

3.56%		11/15/46			22,773		23,373

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class ASB

3.48%		08/15/47			110,000		113,519

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class ASB

3.33%		12/15/47			80,000		82,417

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class XA (IO)

1.06%		03/15/48	⁴		1,437,421		57,942

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class ASB

3.32%		10/15/48			80,000		82,461

Morgan Stanley Capital Barclays Bank Trust, Series 2016-MART, Class A

2.20%		09/13/31	²		60,000		59,961

Morgan Stanley Capital I Trust, Series 2011-C3, Class A3

4.05%		07/15/49			43,092		43,051

UBS Commercial Mortgage Trust, Series 2018-C12, Class A1

3.29%		08/15/51			78,977		80,841

UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class XB (IO)

0.31%		08/10/49	^2,4,5,6		3,000,000		21,915

WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class XA (IO)

0.97%		02/15/44	^2,4		1,734,335		17,690

WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A3

4.00%		03/15/44	²		18,790		18,902

WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)

1.89%		11/15/44	^2,4		1,929,517		59,082


							2,738,063


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed — 5.80%
Aames Mortgage Investment Trust,
Series 2005-4, Class M2 (LIBOR USD 1-Month plus 0.74%)
3.14%		10/25/35	¹		$142,337	$	142,540
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-R3, Class M2 (LIBOR USD 1-Month plus 0.71%)
3.11%		05/25/35	¹		14,574		14,589
Asset-Backed Funding Certificates,
Series 2006-OPT1, Class A2 (LIBOR USD 1-Month plus 0.14%)
2.54%		09/25/36	¹		26,782		26,251
Banc of America Funding Trust,
Series 2006-G, Class 2A4 (LIBOR USD 1-Month plus 0.58%)
2.96%		07/20/36	¹		51,481		51,784
Banc of America Funding Trust,
Series 2014-R7, Class 1A1 (LIBOR USD 1-Month plus 0.15%)
2.55%		05/26/36	^1,2		103,337		100,301
BCAP LLC Trust, Series 2012-RR11, Class 2A3
2.55%		08/26/36	^2,4		1,661		1,668
Bear Stearns ALT-A Trust, Series 2004-11, Class 1A1 (LIBOR USD 1-Month plus 0.68%)
3.08%		11/25/34	¹		638		640
Bear Stearns Asset-Backed Securities Trust,
Series 2007-1, Class A2 (LIBOR USD 1-Month plus 0.28%)
2.68%		01/25/37	¹		61,229		61,024
Citigroup Mortgage Loan Trust,
Series 2006-HE1, Class M2 (LIBOR USD 1-Month plus 0.51%)
2.91%		01/25/36	¹		4,328		4,341
Countrywide Asset-Backed Certificates,
Series 2007-13, Class 2A1 (LIBOR USD 1-Month plus 0.90%)
3.30%		10/25/47	¹		106,344		104,357
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
3.00%		05/25/35	¹		72,579		67,968
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB1, Class AF (STEP-reset date 08/25/19)
3.95%		01/25/33			11,593		11,934


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5,
Class M1 (LIBOR USD 1-Month plus 1.02%)
3.42%		11/25/33	¹		$ 15,739	$	15,646
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A (LIBOR USD 1-Month plus 0.74%)
3.13%		07/19/44	¹		4,370		4,468
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3 (LIBOR USD 1-Month plus 0.28%)
2.99%		03/25/36	¹		120,000		114,397
GMACM Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
4.21%		04/19/36	⁴		108,361		99,485
GSAA Home Equity Trust, Series 2005-8, Class A4
(LIBOR USD 1-Month plus 0.27%)
2.67%		06/25/35	¹		30,623		30,703
HarborView Mortgage Loan Trust, Series 2005-4, Class 2A
5.08%		07/19/35	⁴		1,340		1,223
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A (LIBOR USD 1-Month plus 0.34%)
2.72%		06/20/35	¹		115,190		115,095
HSI Asset Securitization Corp. Trust,
Series 2006-OPT1, Class 2A4 (LIBOR USD 1-Month plus 0.30%)
2.70%		12/25/35	¹		66,208		65,675
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1A (LIBOR USD 1-Month plus 0.86%)
3.26%		08/25/34	¹		8,676		8,196
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A1A (LIBOR USD 1-Month plus 0.21%)
2.61%		05/25/46	¹		84,451		80,634
IndyMac Index Mortgage Loan Trust, Series 2007, Class AR1
3.83%		06/25/37	⁴		88,824		75,486
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A4 (LIBOR USD 1-Month plus 0.16%)
2.56%		06/25/36	¹		20,046		19,948
Long Beach Mortgage Loan Trust,
Series 2004-4, Class 1A1 (LIBOR USD 1-Month plus 0.56%)
2.96%		10/25/34	¹		100,360		96,012


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Option One Mortgage Loan Trust, Series 2005-4, Class M1 (LIBOR USD 1-Month plus 0.44%)

2.84%		11/25/35	¹	$	111,851	$	112,308

Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2

8.50%		11/25/31			4,097		635

Residential Asset Mortgage Products Trust, Series 2005-RZ3, Class M3 (LIBOR USD 1-Month plus 0.55%)

2.95%		09/25/35	¹		100,000		100,706

Soundview Home Loan Trust, Series 2006-2, Class M1 (LIBOR USD 1-Month plus 0.33%)

2.73%		03/25/36	¹		45,387		45,201

Structured Asset Mortgage Investments II Trust, Series 2006-AR1, Class 3A1 (LIBOR USD 1-Month plus 0.23%)

2.63%		02/25/36	¹		94,287		85,881

Terwin NIMs Trust, Series 2004-13AL, Class 2PX (IO)

0.34%		08/25/34	^2,5,6		2,872,446		46,315

WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A (Federal Reserve US 12-Month Cumulative Average plus 1.40%)

3.90%		06/25/42	¹		3,483		3,447

Wells Fargo Alternative Loan Trust, Series 2005-2, Class M1 (LIBOR USD 1-Month plus 0.45%)

2.85%		10/25/35	¹		46,651		47,012

Wells Fargo Mortgage-Backed Securities Trust, Series 2003-I, Class A1

4.69%		09/25/33	⁴		18,593		18,772

Wells Fargo Mortgage-Backed Securities Trust, Series 2004-I, Class 1A1

4.87%		07/25/34	⁴		5,678		5,551


							1,780,193


U.S. Agency Commercial
Mortgage-Backed — 7.56%

Fannie Mae-Aces, Series 2014-M2, Class ASV2

2.78%		06/25/21	⁴		12,426		12,512

Fannie Mae-Aces, Series 2015-M4, Class X2 (IO)

0.48%		07/25/22	⁴		12,526,706		109,165

Fannie Mae-Aces, Series 2016-M9, Class FA (LIBOR USD 1-Month plus 0.59%)

3.03%		09/25/23	¹		14,248		14,223


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A (LIBOR USD 1-Month plus 0.36%)

2.79%		08/25/24	¹	$	31,215	$	31,193

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K031, Class X1 (IO)

0.34%		04/25/23	⁴		8,197,689		64,861

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K033, Class X1 (IO)

0.42%		07/25/23	⁴		6,050,507		68,087

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K044, Class X1 (IO)

0.87%		01/25/25	⁴		1,462,642		49,613

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K093, Class XAM (IO)

1.19%		05/25/29	⁴		330,000		34,543

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K732, Class X3 (IO)

2.25%		05/25/46	⁴		250,000		28,840

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KAIV, Class X2 (IO)

3.61%		06/25/41	⁴		250,000		15,795

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF04, Class A (LIBOR USD 1-Month plus 0.31%)

2.74%		06/25/21	¹		20,382		20,377

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A (LIBOR USD 1-Month plus 0.35%)

2.78%		09/25/21	¹		1,341		1,341

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF17, Class A (LIBOR USD 1-Month plus 0.55%)

2.98%		03/25/23	¹		178,868		178,960

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF19, Class A (LIBOR USD 1-Month plus 0.45%)

2.88%		06/25/23	¹		244,438		244,564

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF22, Class A (LIBOR USD 1-Month plus 0.50%)

2.93%		07/25/23	¹		165,705		165,830


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ14, Class A1

2.20%		11/25/23		$	119,693	$	120,319

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ16, Class A1

1.97%		04/25/22			54,490		54,455

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ20, Class A1

3.21%		10/25/24			147,459		153,741

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ24, Class A1

2.28%		05/25/26			150,000		150,330

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP03, Class A2

1.78%		07/25/19			7,401		7,403

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1 (LIBOR USD 1-Month plus 0.22%)

2.65%		07/25/20	¹		125,000		124,953

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS05, Class A (LIBOR USD 1-Month plus 0.50%)

2.93%		01/25/23	¹		106,656		106,778

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X (IO)

0.78%		09/25/25	⁴		3,000,000		110,052

FRESB Mortgage Trust, Series 2015-SB3, Class A3 (LIBOR USD 1-Month plus 0.55%)

2.98%		01/25/43	¹		56,786		56,705

FRESB Mortgage Trust, Series 2016-SB15, Class A5H (LIBOR USD 1-Month plus 2.06%)

2.06%		03/25/36	¹		80,113		80,281

FRESB Mortgage Trust, Series 2016-SB17, Class A5F

1.86%		06/25/21	⁴		218,971		217,798

FRESB Mortgage Trust, Series 2016-SB20, Class A5F

1.74%		07/25/21	⁴		78,965		78,212


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

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

0.00%		10/16/43	⁴	$	3,668,583	$	18,720


							2,319,651


U.S. Agency Mortgage-Backed — 2.98%

Fannie Mae Pool 464321

4.36%		01/01/20			99,069		99,047

Fannie Mae Pool 468764

4.16%		07/01/21			100,000		103,758

Fannie Mae Pool 469911

3.50%		12/01/21			128,206		132,457

Fannie Mae Pool 802665 (LIBOR USD 6-Month plus 1.74%)

4.36%		12/01/34	¹		721		733

Fannie Mae Pool AD0166

4.79%		08/01/19			59,877		60,019

Fannie Mae Pool AE0800

3.79%		12/01/20			59,636		60,826

Fannie Mae Pool AL0851

6.00%		10/01/40			3,949		4,480

Fannie Mae Pool AN2059

1.64%		07/01/21			84,519		83,893

Fannie Mae REMICS, Series 1997-91, Class SL (IO) (-2.00 X LIBOR USD 1-Month plus 16.00%, 7.50% Cap)

7.50%		11/25/23	¹		26,295		2,815

Fannie Mae REMICS, Series 2003-11, Class FA (LIBOR USD 1-Month plus 1.00%)

3.40%		09/25/32	¹		7,682		7,891

Fannie Mae REMICS, Series 2010-109, Class PF (LIBOR USD 1-Month plus 0.40%)

2.80%		10/25/40	¹		6,967		6,978

Fannie Mae REMICS, Series G-36, Class ZB

7.00%		11/25/21			124		126

Freddie Mac REMICS, Series 2684, Class F (LIBOR USD 1-Month plus 0.90%)

3.29%		01/15/33	¹		7,587		7,703

Freddie Mac REMICS, Series 4891, Class ZB

4.00%		06/15/49			160,804		160,614

Freddie Mac Strips, Series 263, Class F5 (LIBOR USD 1-Month plus 0.50%)

2.89%		06/15/42	¹		25,192		25,305

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed
(continued)

Ginnie Mae II Pool (TBA)

4.50%

09/20/48

$150,000

156,316

912,961

Total Mortgage-Backed

(Cost $7,765,323)

7,750,868

U.S. TREASURY SECURITIES — 0.89%

U.S. Treasury Notes — 0.89%

2.25%

04/15/22

270,000

273,834

Total U.S. Treasury Securities

(Cost $269,686)

Total Bonds – 70.92%

(Cost $21,679,781)

21,764,128

Shares

Value

MUTUAL FUNDS — 4.90%

Mutual Funds — 4.90%

SPDR S&P 500 ETF Trust⁷

5,128

1,502,504

Total Mutual Funds

(Cost $1,473,946)

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 24.18%

Money Market Funds — 6.84%

Dreyfus Government Cash Management

Fund

2.26%⁸

581,000

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

2.29%⁸

1,518,000

2,099,000

U.S. Agency Discount Notes — 1.30%

Fannie Mae

2.14%⁹

08/12/19

200,000

199,487

Federal Home Loan Bank

2.19%⁹

08/09/19

200,000

199,523

399,010

U.S. Treasury Bills — 16.04%

U.S. Treasury Bills

2.12%^9,10

09/26/19

1,265,000

1,258,718

2.27%⁹

10/10/19

950,000

944,430


		Principal Amount/ Shares		Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills (continued)

2.40%⁹	07/18/19	$	1,218,000	$	1,216,823

2.42%⁹	07/11/19		531,000		530,716

2.43%⁹	07/25/19		975,000		973,736


					4,924,423

Total Short-Term Investments
(Cost $7,421,305)					7,422,433


Total Investments – 100.00%
(Cost $30,575,032)					30,689,065


Cash and Other Assets, Less Liabilities – 0.00%					723


Net Assets – 100.00%				$	30,689,788

¹	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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

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

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

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $108,987, which is 0.36% of total net assets.

⁷

SPDR S &P 500 ETF Trust (the “S &P 500 ETF”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The S &P 500 ETF was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 Index (the “S &P 500 Index”). Each unit of fractional undivided interest in the S &P 500 ETF is referred to as a “Unit”. The S &P 500 ETF seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S &P 500 Index. You can access the financial statements of this ETF by going to its homepage at (https://us.spdrs.com/en/etf/spdr-sp-500-etf-SPY).

⁸	Represents the current yield as of June 30, 2019.

⁹	Represents annualized yield at date of purchase.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,258,713.

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

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

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

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized loan obligation


Issues	Maturity Date			Principal Amount		Value

BONDS – 98.54%

CORPORATES — 82.27%*

Banking — 7.20%
Bank of America Corp.
3.00%		12/20/23	¹		$ 5,000	$	5,095
Bank of America Corp. (MTN)
3.97%		03/05/29	¹		20,000		21,395
4.27%		07/23/29	¹		15,000		16,355
Bank of New York Mellon Corp. (The) (MTN)
3.25%		09/11/24			5,000		5,199
Discover Bank (BKNT)
4.20%		08/08/23			10,000		10,619
JPMorgan Chase & Co.
3.21%		04/01/23	¹		15,000		15,317
4.01%		04/23/29	¹		20,000		21,504
4.20%		07/23/29	¹		15,000		16,414
Lloyds Banking Group PLC (United Kingdom)
2.91%		11/07/23	^1,2		10,000		9,983
State Street Corp.
3.78%		12/03/24	¹		5,000		5,264
Wells Fargo & Co.
3.07%		01/24/23			5,000		5,080
Wells Fargo & Co. (MTN)
3.55%		09/29/25			10,000		10,438
3.58%		05/22/28	¹		20,000		20,932


							163,595

Commercial Services — 0.47%
RELX Capital, Inc.
4.00%		03/18/29			10,000		10,593

Communications — 9.12%
AT&T, Inc.
3.88%		01/15/26			11,000		11,518
4.35%		06/15/45			40,000		40,120
Charter Communications Operating LLC/Charter Communi- cations Operating Capital
5.38%		05/01/47			15,000		15,835
Comcast Corp.
3.97%		11/01/47			10,000		10,516
4.00%		11/01/49			15,000		15,843
4.70%		10/15/48			8,000		9,383
Fox Corp.
4.71%		01/25/29	³		3,000		3,359
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	²		5,000		6,598
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	³		10,000		9,655
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
5.15%		03/20/28	³		10,000		10,325


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Time Warner Cable LLC
5.50%		09/01/41			$ 3,000	$	3,151
Verizon Communications, Inc.
4.02%		12/03/29	³		45,000		48,764
Viacom, Inc.
3.88%		04/01/24			6,000		6,254
Vodafone Group PLC (United Kingdom)
4.88%		06/19/49	²		5,000		5,275
Walt Disney Co. (The)
6.20%		12/15/34	³		8,000		10,860


							207,456


Consumer Discretionary — 3.37%
Altria Group, Inc.
5.38%		01/31/44			5,000		5,379
Anheuser-Busch InBev Worldwide, Inc.
4.60%		04/15/48			20,000		21,455
4.75%		01/23/29			5,000		5,681
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3		8,000		8,566
BAT Capital Corp.
3.56%		08/15/27			5,000		4,990
4.54%		08/15/47			5,000		4,643
Constellation Brands, Inc. (LIBOR USD 3-Month plus 0.70%)
3.22%		11/15/21	⁴		10,000		10,006
Pernod Ricard SA (France)
4.45%		01/15/22	^2,3		5,000		5,235
Reynolds American, Inc.
4.45%		06/12/25			5,000		5,306
5.85%		08/15/45			5,000		5,393


							76,654

Electric — 10.11%
Appalachian Power Co.
4.45%		06/01/45			10,000		11,028
Consolidated Edison Co. of New York, Inc.
3.88%		06/15/47			10,000		10,390
Duke Energy Carolinas LLC
3.75%		06/01/45			40,000		41,235
Duquesne Light Holdings, Inc.
5.90%		12/01/21	³		2,000		2,135
6.40%		09/15/20	³		8,000		8,344
Florida Power & Light Co.
4.13%		02/01/42			15,000		16,613
ITC Holdings Corp.
4.05%		07/01/23			10,000		10,447
Kansas City Power & Light Co.
3.15%		03/15/23			5,000		5,151


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
Metropolitan Edison Co.
4.30%		01/15/29	³		$ 4,000	$	4,367
MidAmerican Energy Co.
4.25%		05/01/46			10,000		11,157
Northern States Power Co./MN
4.13%		05/15/44			10,000		10,911
PacifiCorp.
4.13%		01/15/49			30,000		33,142
PNM Resources, Inc.
3.25%		03/09/21			10,000		10,083
Public Service Co. of New Mexico
3.85%		08/01/25			5,000		5,183
Southern Co. Gas Capital Corp.
2.45%		10/01/23			13,000		12,907
Tucson Electric Power Co.
3.85%		03/15/23			10,000		10,284
Virginia Electric & Power Co., Series B
3.80%		09/15/47			20,000		20,512
Vistra Operations Co. LLC
3.55%		07/15/24	³		6,000		6,041


							229,930

Energy — 9.53%
Enbridge Energy Partners LP
5.50%		09/15/40			10,000		11,723
Energy Transfer Operating LP
4.95%		06/15/28			15,000		16,414
6.25%		04/15/49			5,000		5,911
EQM Midstream Partners LP
6.50%		07/15/48			8,000		8,431
EQT Corp.
3.90%		10/01/27			5,000		4,752
Hess Corp.
4.30%		04/01/27			18,000		18,687
KeySpan Gas East Corp.
5.82%		04/01/41	³		15,000		19,190
Kinder Morgan Energy Partners LP (MTN)
6.95%		01/15/38			15,000		19,156
Petroleos Mexicanos (Mexico)
6.50%		01/23/29	²		5,000		4,850
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			10,000		10,636
Rockies Express Pipeline LLC
5.63%		04/15/20	³		6,000		6,128
Ruby Pipeline LLC
6.00%		04/01/22	³		7,879		8,068
Sabine Pass Liquefaction LLC
4.20%		03/15/28			3,000		3,152


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
5.75%		05/15/24			$10,000	$	11,129
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.88%		01/15/29	³		5,000		5,556
TC PipeLines LP
3.90%		05/25/27			15,000		15,250
Texas Eastern Transmission LP
2.80%		10/15/22	³		10,000		9,987
TransCanada PipeLines Ltd. (Canada)
5.00%		10/16/43	²		15,000		16,714
Williams Cos., Inc. (The)
3.70%		01/15/23			12,000		12,410
4.55%		06/24/24			8,000		8,617


							216,761

Finance — 9.88%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.88%		01/23/28	²		14,000		14,061
Air Lease Corp.
3.63%		12/01/27			14,000		14,092
Avolon Holdings Funding Ltd. (Cayman Islands)
3.95%		07/01/24	^2,3		5,000		5,129
Citigroup, Inc.
2.88%		07/24/23	¹		5,000		5,066
3.14%		01/24/23	¹		10,000		10,176
3.67%		07/24/28	¹		20,000		20,836
Ford Motor Credit Co. LLC
5.88%		08/02/21			20,000		21,096
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	²		5,000		4,974
4.42%		11/15/35	²		19,000		18,837
General Motors Financial Co., Inc.
3.55%		04/09/21			10,000		10,149
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	¹		10,000		10,064
3.50%		11/16/26			5,000		5,127
4.22%		05/01/29	¹		20,000		21,449
Morgan Stanley (GMTN)
3.70%		10/23/24			5,000		5,277
3.77%		01/24/29	¹		20,000		21,000
Morgan Stanley, Series F
3.88%		04/29/24			10,000		10,606
Nationwide Building Society (United Kingdom)
3.77%		03/08/24	^1,2,3		5,000		5,107
Pipeline Funding Co. LLC
7.50%		01/15/30	³		9,401		11,271


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)

Raymond James Financial, Inc.
3.63%		09/15/26			$10,000	$	10,293


							224,610

Food — 1.86%
Campbell Soup Co. (LIBOR USD 3-Month plus 0.50%)
2.91%		03/16/20	⁴		10,000		10,009
Conagra Brands, Inc.
4.60%		11/01/25			6,000		6,537
Kraft Heinz Foods Co.
4.38%		06/01/46			10,000		9,496
Kroger Co. (The)
4.50%		01/15/29			5,000		5,452
Smithfield Foods, Inc.
5.20%		04/01/29	³		5,000		5,455
Tyson Foods, Inc.
4.00%		03/01/26			5,000		5,329


							42,278

Health Care — 12.17%
AbbVie, Inc.
4.40%		11/06/42			20,000		19,717
Allergan Funding SCS (Luxembourg)
3.80%		03/15/25	²		5,000		5,189
4.55%		03/15/35	²		10,000		10,113
Amgen, Inc.
4.40%		05/01/45			15,000		15,960
Anthem, Inc.
4.38%		12/01/47			10,000		10,695
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	²		10,000		10,463
Barnabas Health, Inc.
4.00%		07/01/28			5,000		5,355
Bayer U.S. Finance II LLC
4.38%		12/15/28	³		10,000		10,571
Becton Dickinson and Co.
2.89%		06/06/22			10,000		10,174
Celgene Corp.
3.90%		02/20/28			13,000		13,942
Cigna Corp.
4.38%		10/15/28	³		5,000		5,399
4.90%		12/15/48	³		15,000		16,335
CVS Health Corp.
4.00%		12/05/23			22,000		23,127
4.30%		03/25/28			5,000		5,277
5.05%		03/25/48			5,000		5,334
Elanco Animal Health, Inc.
4.90%		08/28/28	³		10,000		11,178


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

Fresenius Medical Care U.S. Finance II, Inc.
5.63%		07/31/19	³		$ 5,000	$	5,009
Fresenius U.S. Finance II, Inc.
4.25%		02/01/21	³		5,000		5,118
Gilead Sciences, Inc.
3.70%		04/01/24			10,000		10,617
HCA, Inc.
4.13%		06/15/29			5,000		5,169
5.00%		03/15/24			4,000		4,362
Kaiser Foundation Hospitals
3.15%		05/01/27			10,000		10,319
Pfizer, Inc.
4.10%		09/15/38			10,000		11,048
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26			10,000		9,974
Quest Diagnostics, Inc.
4.20%		06/30/29			5,000		5,347
Shire Acquisitions Investments Ireland DAC (Ireland)
3.20%		09/23/26	²		10,000		10,090
UnitedHealth Group, Inc.
4.25%		04/15/47			15,000		16,519
WellCare Health Plans, Inc.
5.38%		08/15/26	³		4,000		4,260


							276,661

Industrials — 2.41%
Amcor Finance USA, Inc.
3.63%		04/28/26	³		10,000		10,195
General Electric Co. (MTN)
5.55%		05/04/20			5,000		5,128
Ingersoll-Rand Luxembourg Finance SA (Luxembourg)
3.55%		11/01/24	²		5,000		5,207
L3 Technologies, Inc.
3.85%		06/15/23			10,000		10,459
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.63%		04/28/26	^2,3		5,000		5,115
United Technologies Corp.
4.13%		11/16/28			12,000		13,194
WRKCo, Inc.
4.90%		03/15/29			5,000		5,486


							54,784

Insurance — 3.90%
Aon Corp.
3.75%		05/02/29			5,000		5,216
Berkshire Hathaway Finance Corp.
4.20%		08/15/48			20,000		22,284
Farmers Insurance Exchange
4.75%		11/01/57	^1,3		20,000		19,277


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)

Nationwide Mutual Insurance Co.

4.70%		12/15/24	^1,3		$10,000		$ 9,963

Teachers Insurance & Annuity Association of America

4.38%		09/15/54	^1,3		20,000		20,864

Travelers Cos., Inc. (The)

4.05%		03/07/48			10,000		11,097


							88,701


Materials — 0.24%

International Flavors & Fragrances, Inc.

4.45%		09/26/28			5,000		5,468


Real Estate Investment Trust (REIT) — 7.24%

Alexandria Real Estate Equities, Inc.

4.50%		07/30/29			6,000		6,648

American Campus Communities Operating Partnership LP

3.35%		10/01/20			5,000		5,046

3.63%		11/15/27			5,000		5,106

Boston Properties LP

2.75%		10/01/26			10,000		9,853

CC Holdings GS V LLC/Crown Castle GS III Corp.

3.85%		04/15/23			10,000		10,475

CubeSmart LP

4.38%		02/15/29			5,000		5,327

Digital Realty Trust LP

3.63%		10/01/22			5,000		5,147

GLP Capital LP/GLP Financing II, Inc.

4.38%		04/15/21			10,000		10,199

HCP, Inc.

3.88%		08/15/24			10,000		10,489

Healthcare Realty Trust, Inc.

3.75%		04/15/23			5,000		5,117

Healthcare Trust of America Holdings LP

3.70%		04/15/23			5,000		5,115

Highwoods Realty LP

3.20%		06/15/21			5,000		5,035

Host Hotels & Resorts LP

5.25%		03/15/22			5,000		5,280

6.00%		10/01/21			5,000		5,305

Hudson Pacific Properties LP

3.95%		11/01/27			5,000		5,112

Kilroy Realty LP

3.45%		12/15/24			10,000		10,300

Liberty Property LP

3.38%		06/15/23			10,000		10,265

National Retail Properties, Inc.

3.80%		10/15/22			5,000		5,183


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)

Realty Income Corp.

3.25%		10/15/22			$10,000		$ 10,263

SL Green Realty Corp.

4.50%		12/01/22			8,000		8,402

UDR, Inc. (MTN)

4.63%		01/10/22			5,000		5,238

Ventas Realty LP

4.13%		01/15/26			10,000		10,590

VEREIT Operating Partnership LP

4.13%		06/01/21			5,000		5,133


							164,628


Retail — 1.38%

Family Dollar Stores, Inc.

5.00%		02/01/21			5,000		5,174

Home Depot, Inc. (The)

3.90%		12/06/28			5,000		5,541

Lowe’s Cos., Inc.

3.65%		04/05/29			5,000		5,224

Starbucks Corp.

3.80%		08/15/25			5,000		5,340

Walgreens Boots Alliance, Inc.

4.80%		11/18/44			10,000		10,086


							31,365


Services — 0.70%

IHS Markit Ltd. (Bermuda)

4.75%		08/01/28	²		5,000		5,468

5.00%		11/01/22	^2,3		5,000		5,323

Waste Management, Inc.

3.20%		06/15/26			5,000		5,206


							15,997


Transportation — 2.23%

Burlington Northern Santa Fe LLC

4.40%		03/15/42			8,000		9,085

U.S. Airways Pass-Through Trust, Series 2011-1, Class A

7.13%		10/22/23			28,838		32,539

United Airlines Pass-Through Trust, Series 2016-2, Class AA

2.88%		10/07/28			9,207		9,132


							50,756


Water — 0.46%

American Water Capital Corp.

3.45%		06/01/29			10,000		10,407


Total Corporates (Cost $1,747,513)							1,870,644


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED — 14.85%**

Non-Agency Commercial Mortgage-Backed — 8.35%

Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class XA (IO)

1.09%		09/10/46	¹		$ 159,346		$ 5,301

Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class XA (IO)

0.77%		02/10/47	¹		1,540,156		37,109

Commercial Mortgage Trust, Series 2012-CR5, Class XA (IO)

1.69%		12/10/45	¹		420,694		18,729

Commercial Mortgage Trust, Series 2014-CR18, Class XA (IO)

1.17%		07/15/47	¹		128,177		5,141

Commercial Mortgage Trust, Series 2014-UBS5, Class XA (IO)

1.15%		09/10/47	^1,5,6		702,402		25,064
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)

1.09%		12/10/47	¹		520,179		19,392

Credit Suisse Mortgage Capital, Series 2015-GLPA, Class XA (IO)

39.53%		11/15/37	^1,3		827,205		12,541

JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class XA (IO)

1.20%		01/15/48	¹		830,704		31,496

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class XA (IO)

1.14%		02/15/46	^1,3		225,730		2,942

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA (IO)

1.62%		08/15/45	^1,3		257,768		9,129

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class XA (IO)

1.77%		11/15/45	^1,3,5,6		159,840		6,840

UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class XB (IO)

31.09%		08/10/49	^1,3,5,6		2,200,000		16,071


							189,755


U.S. Agency Commercial
Mortgage-Backed — 1.67%

Fannie Mae-Aces, Series 2015-M4, Class X2 (IO)

48.36%		07/25/22	¹		569,070		4,959

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K712, Class X1 (IO)

1.42%		11/25/19	¹		2,073,690		5,948


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

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

22.21%		09/16/51	¹		$598,459		$ 27,089


							37,996


U.S. Agency Mortgage-Backed — 4.83%

Fannie Mae REMICS, Series 2012-128, Class UA

2.50%		06/25/42			40,836		40,638

Freddie Mac REMICS, Series 4638, Class UF (LIBOR USD 1-Month plus 1.00%)

3.40%		09/15/44	⁴		68,220		69,245


							109,883


Total Mortgage-Backed

(Cost $341,787)							337,634


MUNICIPAL BONDS — 0.78%*

California — 0.54%

Los Angeles Department of Water & Power, Build America Bonds, Series SY

6.01%		07/01/39			5,000		6,512

University of California, Taxable Revenue Bonds, Series AJ

4.60%		05/15/31			5,000		5,711


							12,223


New York — 0.24%

New York City Transitional Finance Authority Future Tax Secured Revenue

3.73%		08/01/29			5,000		5,444

Total Municipal Bonds
(Cost $16,364)							17,667


U.S. TREASURY SECURITIES — 0.64%

U.S. Treasury Bonds — 0.23%

U.S. Treasury Bonds (WI)

2.88%		05/15/49			5,000		5,365


U.S. Treasury Notes — 0.41%

U.S. Treasury Notes (WI)

2.38%		05/15/29			9,000		9,303


Total U.S. Treasury Securities
(Cost $14,642)							14,668


Total Bonds – 98.54%
(Cost $2,120,306)							2,240,613

Issues

Maturity
Date

Principal
Amount

Value

SHORT-TERM INVESTMENTS — 0.65%

U.S. Treasury Bills — 0.65%

U.S. Treasury Bills

2.11%^7,8

09/26/19

$15,000

$14,926

Total Short-Term Investments

(Cost $14,924)

14,926

Total Investments – 99.19%

(Cost $2,135,230)

2,255,539

Cash and Other Assets, Less

Liabilities – 0.81%

18,318

Net Assets – 100.00%

$2,273,857

¹	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

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

⁴	Floating rate security. The rate disclosed was in effect at June 30, 2019.


Issues	Maturity Date			Principal Amount		Value

BONDS – 83.74%

ASSET-BACKED SECURITIES — 10.94%**
AMMC CLO XIV Ltd., Series 2014-14A, Class A1LR (Cayman Islands) (LIBOR USD 3-Month plus 1.25%)

3.83%		07/25/29	^1,2,3		$10,000		$10,005
BlueMountain CLO Ltd., Series 2013-2A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.18%)
3.77%		10/22/30	^1,2,3		40,000		39,980
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.90%)
3.50%		04/15/29	^1,2,3		40,000		39,774
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR (Cayman Islands) (LIBOR USD 3-Month plus 1.20%)
3.72%		08/15/30	^1,2,3		10,000		9,989
Galaxy XXIX CLO Ltd. (Cayman Islands) (LIBOR USD 3-Month plus 0.79%)
3.31%		11/15/26	^1,2,3		39,000		38,953
GCO Education Loan Funding Trust II, Series 2006-2AR, Class A1RN (LIBOR USD 1-Month plus 0.65%)
3.05%		08/27/46	^2,3		69,043		65,873
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	³		55,245		58,452
J.G. Wentworth XXXII LLC, Series 2014-2A, Class A
3.61%		01/17/73	³		56,007		58,322
Madison Park Funding XXX Ltd., Series 2018-30A, Class A (Cayman Islands) (LIBOR USD 3-Month plus 0.75%)
3.35%		04/15/29	^1,2,3		40,000		39,645
Nelnet Student Loan Trust, Series 2015-3A, Class A3 (LIBOR USD 1-Month plus 0.90%)
3.30%		06/25/54	^2,3		100,000		99,037
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A (Cayman Islands) (LIBOR USD 3-Month plus 0.85%)
3.45%		01/15/28	^1,2,3		10,000		9,975
PHEAA Student Loan Trust, Series 2014-3A, Class A (LIBOR USD 1-Month plus 0.59%)
2.99%		08/25/40	^2,3		56,737		56,364
SLM Student Loan Trust, Series 2004-1, Class B (LIBOR USD 3-Month plus 0.50%)
3.08%		07/25/39	²		78,268		74,382


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-7, Class B (LIBOR USD 3-Month plus 1.85%)
4.43%		07/26/83	²		$10,000	$	10,155
TCI-Flatiron CLO Ltd., Series 2016-1, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.22%)
3.81%		07/17/28	^1,2,3		10,000		10,007

Total Asset-Backed Securities
(Cost $607,287)							620,913


CORPORATES — 18.50%*

Banking — 1.45%
Bank of America Corp.
3.00%		12/20/23	⁴		15,000		15,284
Bank of New York Mellon Corp. (The) (MTN)
3.25%		09/11/24			5,000		5,199
JPMorgan Chase & Co. (LIBOR USD 3-Month plus 1.00%)
3.60%		01/15/23	²		10,000		10,121
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^1,3		5,000		5,090
Santander UK Group Holdings PLC (United Kingdom)
4.80%		11/15/24	^1,4		15,000		15,947
Wells Fargo & Co. (LIBOR USD 3-Month plus 1.23%)
3.81%		10/31/23	²		30,000		30,610


							82,251


Communications — 1.18%
Charter Communications Operating LLC/Charter Communications Operating Capital
4.91%		07/23/25			8,000		8,703
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	¹		18,000		16,515
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	¹		5,000		6,598
Sprint Corp.
7.63%		03/01/26			20,000		21,370
Viacom, Inc.
3.88%		04/01/24			8,000		8,339
Vodafone Group PLC (United Kingdom)
4.38%		05/30/28	¹		5,000		5,410


							66,935


Consumer Discretionary — 0.43%
Anheuser-Busch InBev Worldwide, Inc.
4.15%		01/23/25			8,000		8,673


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^1,3		$ 5,000		$ 5,354
Reynolds American, Inc.
4.45%		06/12/25			10,000		10,612


							24,639

Electric — 0.53%
Energizer Holdings, Inc.
7.75%		01/15/27	³		15,000		16,272
Eversource Energy, Series O
4.25%		04/01/29			8,000		8,776
Pennsylvania Electric Co.
4.15%		04/15/25	³		5,000		5,260


							30,308

Energy — 2.80%
Antero Resources Corp.
5.00%		03/01/25			15,000		13,913
5.63%		06/01/23			7,000		6,774
Centennial Resource Production LLC
6.88%		04/01/27	³		16,000		16,240
Energy Transfer Operating LP
4.75%		01/15/26			10,000		10,703
Kinder Morgan Energy Partners LP
3.50%		09/01/23			8,000		8,224
4.25%		09/01/24			5,000		5,325
Petroleos Mexicanos (Mexico)
6.50%		01/23/29	¹		15,000		14,550
6.63%		06/15/35	¹		5,000		4,644
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			8,000		8,509
Range Resources Corp.
4.88%		05/15/25			9,000		7,943
Sabine Pass Liquefaction LLC
5.75%		05/15/24			5,000		5,565
Spectra Energy Partners LP
4.75%		03/15/24			10,000		10,838
TC PipeLines LP
4.38%		03/13/25			8,000		8,398
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^1,3		17,000		18,009
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		09/01/27	³		8,000		8,441
Williams Cos., Inc. (The)
4.55%		06/24/24			10,000		10,772


							158,848


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance — 2.28%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
4.50%		05/15/21	¹		$10,000		$ 10,337
Avolon Holdings Funding Ltd. (Cayman Islands)
3.95%		07/01/24	^1,3		5,000		5,129
Citigroup, Inc. (LIBOR USD 3-Month plus 0.95%)
3.53%		07/24/23	²		30,000		30,104
Ford Motor Credit Co. LLC
4.25%		09/20/22			30,000		30,814
Goldman Sachs Group, Inc. (The)
2.91%		07/24/23	⁴		5,000		5,053
4.22%		05/01/29	⁴		10,000		10,724
Morgan Stanley (GMTN)
4.43%		01/23/30	⁴		15,000		16,595
Nationwide Building Society (United Kingdom)
3.77%		03/08/24	^1,3,4		10,000		10,213
Park Aerospace Holdings Ltd. (Cayman Islands)
4.50%		03/15/23	^1,3		10,000		10,332


							129,301

Food — 0.75%
Campbell Soup Co. (LIBOR USD 3-Month plus 0.63%)
3.04%		03/15/21	²		10,000		9,981
Conagra Brands, Inc. (LIBOR USD 3-Month plus 0.50%)
2.81%		10/09/20	²		10,000		9,979
Kraft Heinz Foods Co.
3.95%		07/15/25			6,000		6,250
Kroger Co. (The)
4.50%		01/15/29			5,000		5,452
Smithfield Foods, Inc.
5.20%		04/01/29	³		5,000		5,455
Tyson Foods, Inc.
4.00%		03/01/26			5,000		5,329


							42,446

Gaming — 0.52%
Twin River Worldwide Holdings, Inc.
6.75%		06/01/27	³		28,000		29,260

Health Care — 2.31%
Aetna, Inc.
3.50%		11/15/24			10,000		10,315
Allergan Funding SCS (Luxembourg)
3.85%		06/15/24	¹		10,000		10,387


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Bayer U.S. Finance II LLC (LIBOR USD 3-Month plus 1.01%)
3.42%		12/15/23	^2,3		$10,000	$	9,850
Becton Dickinson and Co.
3.73%		12/15/24			10,000		10,496
Centene Corp.
4.75%		05/15/22			55,000		56,375
CHS/Community Health Systems, Inc.
8.00%		03/15/26	³		14,000		13,545
CVS Health Corp. (LIBOR USD 3-Month plus 0.72%)
3.17%		03/09/21	²		10,000		10,047
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	³		10,000		10,174


							131,189

Industrials — 1.09%
General Electric Co. (MTN) (LIBOR USD 3-Month plus 0.48%)
3.00%		08/15/36	²		22,000		16,453
General Electric Co., Series A (MTN)
6.75%		03/15/32			30,000		36,990
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)
7.75%		04/15/26	^1,3		9,000		8,145


							61,588

Insurance — 0.46%
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^3,4		25,000		26,080

Materials — 0.10%
International Flavors & Fragrances, Inc.
5.00%		09/26/48			5,000		5,546

Real Estate Investment Trust (REIT) — 2.27%
American Campus Communities Operating Partnership LP
4.13%		07/01/24			10,000		10,522
Boston Properties LP
2.75%		10/01/26			10,000		9,853
Digital Realty Trust LP
3.63%		10/01/22			10,000		10,295
GLP Capital LP/GLP Financing II, Inc.
4.38%		04/15/21			5,000		5,099
5.38%		11/01/23			10,000		10,808
HCP, Inc.
3.15%		08/01/22			10,000		10,179
Healthcare Realty Trust, Inc.
3.88%		05/01/25			10,000		10,220


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
Healthcare Trust of America Holdings LP
3.70%		04/15/23		$	5,000	$	5,115
Hudson Pacific Properties LP
3.95%		11/01/27			5,000		5,112
Kilroy Realty LP
4.38%		10/01/25			5,000		5,353
National Retail Properties, Inc.
3.80%		10/15/22			5,000		5,183
SL Green Operating Partnership LP
3.25%		10/15/22			10,000		10,143
WEA Finance LLC
3.15%		04/05/22	³		15,000		15,254
Welltower, Inc.
5.25%		01/15/22			15,000		15,958


							129,094

Retail — 0.98%
eG Global Finance PLC (United Kingdom)
6.75%		02/07/25	^1,3		28,000		27,852
Rite Aid Corp.
6.13%		04/01/23	³		33,000		27,968


							55,820

Services — 0.76%
GFL Environmental, Inc. (Canada)
8.50%		05/01/27	^1,3		30,000		32,363
IHS Markit Ltd. (Bermuda)
4.75%		02/15/25	^1,3		10,000		10,751


							43,114

Transportation — 0.59%
Continental Airlines Pass-Through Trust, Series 2000-1, Class A1
8.05%		11/01/20			9,360		9,521
Continental Airlines Pass-Through Trust, Series 2001-1, Class A1
6.70%		06/15/21			3,003		3,150
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			18,588		20,541


							33,212

Total Corporates
(Cost $1,005,076)							1,049,631


MORTGAGE-BACKED — 54.30%**

Non-Agency Commercial
Mortgage-Backed — 19.63%
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class X (IO)
1.54%		04/10/29	^3,4		1,280,000		24,418


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class XA (IO)
0.77%		02/10/47	⁴		$2,666,485	$	64,247
Commercial Mortgage Trust, Series 2012-CR1, Class XA (IO)
2.04%		05/15/45	⁴		779,287		34,904
Commercial Mortgage Trust, Series 2013-CR6, Class XB (IO)
0.68%		03/10/46	⁴		2,000,000		39,396
Commercial Mortgage Trust, Series 2012-CR4, Class XA (IO)
1.91%		10/15/45	⁴		353,182		16,838
Commercial Mortgage Trust, Series 2012-LC4, Class XB (IO)
0.64%		12/10/44	^3,⁴		1,800,000		26,586
Commercial Mortgage Trust, Series 2013-CR10, Class XA (IO)
0.84%		08/10/46	⁴		430,512		10,636
Commercial Mortgage Trust, Series 2013-CR12, Class XA (IO)
1.33%		10/10/46	⁴		729,703		29,563
Commercial Mortgage Trust, Series 2013-CR7, Class XA (IO)
1.37%		03/10/46	⁴		1,302,646		46,523
Commercial Mortgage Trust, Series 2014-UBS5, Class XA (IO)
1.15%		09/10/47	^4,5,6		826,356		29,487
Core Industrial Trust, Series 2015-CALW, Class A
3.04%		02/10/34	³		66,407		68,453
Core Industrial Trust, Series 2015-TEXW, Class A
3.08%		02/10/34	³		69,475		71,199
DBUBS Mortgage Trust, Series 2011-LC1A, Class XB (IO)
0.39%		11/10/46	^3,⁴		300,000		1,525
GS Mortgage Securities Trust, Series 2012-GCJ7, Class X4 (IO)
2.36%		05/10/45	⁴		2,434,494		92,827
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA (IO)
1.25%		11/15/45	⁴		736,680		28,732
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class XA (IO)
0.95%		04/15/47	⁴		1,889,199		45,756
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class XA (IO)
1.84%		06/15/49	⁴		340,829		24,796
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class XA (IO)
1.66%		12/15/47	⁴		2,211,769		89,776


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class XA (IO)
0.19%		01/15/46	⁴	$	9,591,624	$	47,127
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class XB (IO)
0.40%		05/15/46	^3,4		2,532,749		31,862
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class XA (IO)
1.14%		04/15/47	⁴		355,401		13,491
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class XA (IO)
1.02%		10/15/47	⁴		165,126		3,398
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA (IO)
2.26%		03/15/45	^3,4		2,383,126		105,264
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class XA (IO)
1.78%		12/10/45	^3,4		813,637		35,958
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class XA (IO)
1.93%		10/15/45	^3,4		1,018,431		47,377
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class XA (IO)
0.97%		02/15/44	^3,4		1,157,668		11,808
WF-RBS Commercial Mortgage Trust, Series 2013-C13, Class XB (IO)
0.59%		05/15/45	^3,4		2,000,000		34,036
WF-RBS Commercial Mortgage Trust, Series 2014-LC14, Class XA (IO)
1.40%		03/15/47	⁴		865,767		38,018


							1,114,001

Non-Agency Mortgage-Backed — 24.35%
Alternative Loan Trust, 2007-16CB, Class 1A7
6.00%		08/25/37			13,744		13,330
American Home Mortgage Investment Trust, Series 2006-1, Class 11A1 (LIBOR USD 1-Month plus 0.28%)
2.68%		03/25/46	²		26,302		24,527
Banc of America Funding Trust, Series 2006-3, Class 5A3
5.50%		03/25/36			14,380		13,770
Banc of America Funding Trust, Series 2014-R7, Class 1A1 (LIBOR USD 1-Month plus 0.15%)
2.55%		05/26/36	^2,3		46,971		45,591
Banc of America Funding Trust, Series 2015-R4, Class 5A1 (LIBOR USD 1-Month plus 0.15%)
2.58%		10/25/36	^2,3		28,759		28,171


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Bear Stearns ALT-A Trust, Series 2004-6, Class 1A (LIBOR USD 1-Month plus 0.64%)
3.04%		07/25/34	²	$	12,902	$	12,937
Bear Stearns ARM Trust, Series 2004-3, Class 2A
4.20%		07/25/34	⁴		15,115		15,078
Bear Stearns Asset-Backed Securities Trust, Series 2007-1, Class A2 (LIBOR USD 1-Month plus 0.28%)
2.68%		01/25/37	²		32,415		32,307
Bombardier Capital Mortgage Securitization Corp., Series 2000-A, Class A4
8.29%		06/15/30	⁴		142,144		54,623
Citigroup Mortgage Loan Trust, Series 2015-2, Class 1A1 (LIBOR USD 1-Month plus 0.20%)
2.63%		06/25/47	^2,3		23,241		23,403
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-14, Class A3
6.25%		09/25/37			34,459		29,660
Credit-Based Asset Servicing and Securitization LLC, Series 2006-MH1, Class B1 (STEP-reset date 08/25/19)
6.25%		10/25/36	³		61,000		61,235
Fremont Home Loan Trust, Series 2005-A, Class M3 (LIBOR USD 1-Month plus 0.74%)
3.14%		01/25/35	²		57,000		56,840
Fremont Home Loan Trust, Series 2005-E, Class 2A4 (LIBOR USD 1-Month plus 0.33%)
2.73%		01/25/36	²		34,318		33,568
GreenPoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1 (LIBOR USD 1-Month plus 0.24%)
2.64%		08/25/45	²		11,499		10,430
GSAA Trust, Series 2007-3, Class 2A1B (LIBOR USD 1-Month plus 0.10%)
2.50%		03/25/47	²		166,316		18,525
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1
4.50%		09/25/35	⁴		10,327		10,645
HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A (LIBOR USD 1-Month plus 0.34%)
2.72%		06/20/35	²		28,011		27,988
HarborView Mortgage Loan Trust, Series 2005-9, Class 2X (IO)
0.68%		06/20/35	^3,4,5,6		2,054,160		95,334


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2007, Class F2
6.00%		07/25/37			$ 14,352	$	14,298
Lehman Mortgage Trust, Series 2006-7, Class 2A5 (IO) (-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
4.15%		11/25/36	^2,5,6		221,312		65,865
Lehman Mortgage Trust, Series 2007-5, Class 10A2 (IO) (-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap)
3.94%		06/25/37	^2,5,6		312,646		87,115
Merrill Lynch Mortgage Investors Trust, Series 2004-B, Class A1 (LIBOR USD 1-Month plus 0.50%)
2.90%		05/25/29	²		26,705		25,553
Mid-State Capital Corp., Series 2005-1, Class A
5.75%		01/15/40			11,177		12,253
Mid-State Capital Corp., Series 2006-1, Class A
5.79%		10/15/40	³		64,615		71,860
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			5,010		5,391
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4 (LIBOR USD 1-Month plus 0.25%)
2.65%		06/25/37	²		35,000		33,714
Nomura Resecuritization Trust, Series 2015-5R, Class 4A1 (LIBOR USD 1-Month plus 0.14%)
2.35%		07/26/37	^2,3		23,803		23,991
Oakwood Mortgage Investors, Inc., Series 2002-A, Class A2
5.01%		03/15/20	⁴		24,716		25,386
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCH, Class M4 (LIBOR USD 1-Month plus 1.25%)
3.65%		01/25/36	²		25,000		25,070
People’s Choice Home Loan Securities Trust, Series 2004-2, Class M1 (LIBOR USD 1-Month plus 0.90%)
3.30%		10/25/34	²		5,269		5,278
Residential Asset Mortgage Products Trust, Series 2006-EFC2, Class A4 (LIBOR USD 1-Month plus 0.22%)
2.62%		12/25/36	²		100,000		94,952


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust, Series 2003-A15, Class 1A3 (IO) (-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap)
5.15%		02/25/34	^2,5,6	$	950,479	$	107,260
Residential Funding Mortgage Securities Trust, Series 2006-S2, Class A1
5.75%		02/25/36			29,805		28,150
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A1
4.57%		02/25/34	⁴		3,521		3,526
Structured Asset Mortgage Investments II Trust, Series 2006-AR2, Class A1 (LIBOR USD 1-Month plus 0.23%)
2.63%		02/25/36	²		32,729		30,041
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-BB, Class A2
4.95%		01/25/35	⁴		87,660		88,045
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR4, Class 2A1
5.22%		04/25/36	⁴		26,531		26,386


							1,382,096

U.S. Agency Commercial
Mortgage-Backed — 8.52%
Fannie Mae-Aces, Series 2016-M2, Class X3 (IO)
2.04%		04/25/36	⁴		1,066,396		44,060
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class AX1 (IO)
1.09%		01/25/20	⁴		3,799,830		10,172
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K022, Class X1 (IO)
1.35%		07/25/22	⁴		2,059,521		64,456
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K022, Class X3 (IO)
1.87%		08/25/40	⁴		900,000		48,036
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K024, Class X1 (IO)
0.95%		09/25/22	⁴		478,043		11,118
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K031, Class X3 (IO)
1.71%		07/25/41	⁴		475,000		28,377
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K037, Class X3 (IO)
2.28%		01/25/42	⁴		390,000		34,738


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K718, Class X1 (IO)
0.74%		01/25/22	⁴		$ 361,604	$	4,708
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KW02, Class X1 (IO)
0.44%		12/25/26	⁴		1,279,585		19,944
Ginnie Mae, Series 2009-111, Class IO (IO)
0.22%		09/16/51	⁴		1,063,927		48,159
Ginnie Mae, Series 2011-119, Class IO (IO)
0.29%		08/16/51	⁴		2,860,446		30,331
Ginnie Mae, Series 2011-78, Class IX (IO)
0.13%		08/16/46	⁴		2,694,326		40,526
Ginnie Mae, Series 2012-135, Class IO (IO)
0.58%		01/16/53	⁴		641,501		19,135
Ginnie Mae, Series 2013-33, Class IO (IO)
0.81%		04/16/54	⁴		783,597		25,174
Ginnie Mae, Series 2013-74, Class IO (IO)
0.80%		12/16/53	⁴		719,766		32,167
Ginnie Mae, Series 2014-86, Class IO (IO)
0.74%		04/16/56	⁴		608,068		22,547


							483,648

U.S. Agency Mortgage-Backed — 1.80%
Fannie Mae Pool AN9354
3.64%		06/01/28			65,000		70,073
Fannie Mae REMICS, Series 2005-56, Class SP (-6.50 X LIBOR USD 1-Month plus 42.30%, 6.00% Cap)
6.00%		08/25/33	²		14,815		15,604
Ginnie Mae, Series 2012-73, Class NK
3.00%		08/20/40			16,327		16,420


							102,097

Total Mortgage-Backed
(Cost $3,019,663)							3,081,842


Total Bonds – 83.74%
(Cost $4,632,026)							4,752,386

Issues

Maturity
Date

Shares

Value

SHORT-TERM INVESTMENTS —15.35%

Money Market Funds — 15.35%

Dreyfus Government Cash Management

Fund

2.26%⁷

283,000

$283,000

JPMorgan U.S. Government

Money Market Fund

2.25%⁷

283,000

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

2.29%⁷

305,000

871,000

Total Short-Term Investments

(Cost $871,000)

871,000

Total Investments – 99.09%

(Cost $5,503,026)

5,623,386

Cash and Other Assets, Less

Liabilities – 0.91%

51,875

Net Assets – 100.00%

5,675,261

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

²	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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


Issues	Maturity Date			Principal Amount		Value

BONDS – 94.10%

BANK LOANS — 87.40%*

Automotive — 0.09%

Panther BF Aggregator 2 LP/Panther Finance Co., Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)

5.90%		04/30/26	¹	$	250,000	$	248,516


Communications — 13.57%

Altice Financing SA, Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.14%		01/31/26	¹		985,000		937,907

Altice SA, Term Loan B13, 1st Lien (France) (LIBOR plus 4.00%)

6.39%		08/14/26	^1,2		497,500		488,067

Beasley Mezzanine Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 4.00%)

6.39%		11/01/23	¹		470,083		469,202

CenturyLink, Inc., Term Loan B, 1st Lien (LIBOR plus 2.75%)

0.50%		01/31/25	¹		1,481,222		1,449,546

Charter Communications Operating LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.33%		04/30/25	¹		1,970,000		1,970,000

CommScope, Inc., Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.65%		04/04/26	¹		1,000,000		998,500

CSC Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.64%		01/15/26	¹		997,500		983,166

Dawn Acquisition LLC, Term Loan B, 1st Lien (LIBOR plus 3.75%)

6.08%		10/27/25	¹		495,006		487,581

Go Wireless, Inc., Term Loan B, 2nd Lien (LIBOR plus 6.50%)

8.90%		12/22/24	¹		693,750		676,118

Gray Television, Inc., Term Loan C, 1st Lien (LIBOR plus 2.50%)

4.93%		11/02/25	¹		398,000		398,099

GTT Communications, Inc., Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.15%		05/30/25	¹		1,486,241		1,335,945

Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg)

6.63%		01/02/24	²		500,000		503,333

Lamar Media Corp., Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.13%		03/14/25	¹		1,431,875		1,435,455

Level 3 Financing, Inc., Term Loan B, 1st Lien


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Communications (continued)

(LIBOR plus 2.25%)

4.25%		02/22/24	¹	$	500,000	$	496,687

LSF9 Atlantis Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 6.00%)

8.42%		05/01/23	¹		712,500		669,896

MacDonald Dettwiler & Associates Ltd., Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.16%		10/04/24	¹		1,330,757		1,205,447

Mediarema Acquisition BV, Term Loan B, 1st Lien (Netherlands) (LIBOR plus 5.75%)

8.35%		08/13/21	^1,2		310,925		309,663

Mission Broadcasting, Inc., Term Loan B3, 1st Lien (LIBOR plus 2.25%)

4.69%		01/17/24	¹		68,609		68,162

NEP/NCP Holdco, Inc., Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.65%		10/20/25	¹		1,741,250		1,740,440

NEP/NCP Holdco, Inc., Term Loan, 2nd Lien (LIBOR plus 7.00%)

9.40%		10/19/26	¹		440,000		437,800

Nexstar Broadcasting, Inc. Term Loan B3, 1st Lien (LIBOR plus 2.25%)

4.65%		01/17/24	¹		343,544		341,305

Nexstar Broadcasting, Term Loan B, 1st Lien (LIBOR plus 2.75%)

2.75%		07/15/26	¹		1,000,000		997,500

Radiate Holdco LLC, Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.40%		02/01/24	¹		1,481,080		1,449,518

Radiate Holdco, LLC, Term Loan, 1st Lien (LIBOR plus 3.50%)

5.90%		02/01/24	¹		500,000		495,547

Research Now Group, Inc., Term Loan, 1st Lien (LIBOR plus 5.50%)

8.08%		12/20/24	¹		492,500		491,884

Sable International Finance Ltd., Term Loan B4, 1st Lien (LIBOR plus 3.25%)

5.65%		02/02/26	¹		437,333		438,700


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Communications (continued)

SBA Senior Finance II LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.41%		04/11/25	¹	$	1,009,775	$	998,526

Sinclair Television Group, Inc., Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.66%		01/03/24	¹		1,940,281		1,918,452

Sprint Communications, Inc., Term Loan B, 1st Lien (LIBOR plus 2.50%)

4.94%		02/02/24	¹		1,972,222		1,945,923

Tribune Media Co., Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.40%		12/27/20	¹		41,215		41,273

Tribune Media Co., Term Loan C, 1st Lien (LIBOR plus 3.00%)

5.40%		01/27/24	¹		513,695		513,911

Unitymedia Finance LLC, Term Loan D, 1st Lien (LIBOR plus 2.25%)

4.64%		01/15/26	¹		2,000,000		1,996,820

Unitymedia Hessen GMBH & Co., Term Loan B,1st Lien (Germany) (LIBOR plus 2.25%)

4.64%		09/30/25	^1,2		500,000		499,143

Univision Communications, Inc., Term Loan C5, 1st Lien (LIBOR plus 2.75%)

5.15%		03/15/24	¹		1,030,274		982,706

UPC Financing Partnership, Term Loan AR, 1st Lien (LIBOR plus 2.50%)

4.89%		01/15/26	¹		1,999,367		1,998,867

Virgin Media Bristol LLC, Term Loan K, 1st Lien (LIBOR plus 2.50%)

4.89%		01/15/26	¹		2,000,000		1,995,000

Windstream Services LLC, Term Loan B6, 1st Lien (PRIME plus 5.00%)

10.50%		03/29/21	¹		1,003,049		1,034,394

Ziggo Secured Finance Partnership, Term Loan E, 1st Lien (LIBOR plus 2.50%)

7.08%		04/15/25	¹		945,114		927,393


							36,127,876


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Consumer Discretionary — 10.09%

AI Aqua Merger Sub, Inc., Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.65%		12/13/23	¹	$	1,477,500	$	1,433,175

AI Aqua Merger Sub, Inc., Term Loan B1, 1st Lien (LIBOR plus 3.25%)

5.65%		12/13/23	¹		497,455		482,532

Allied Universal Holdco LLC, Term Loan, 1st Lien (LIBOR plus 4.25%)

4.25%		06/26/26	^1,3		682,432		680,726

Alphabet Holding Co., Inc., Term Loan, 1st Lien (LIBOR plus 3.50%)

5.90%		09/26/24	¹		491,250		464,845

Arterra Wines Canada, Inc., Term Loan B1, 1st Lien (Canada) (LIBOR plus 2.75%)

5.17%		12/15/23	^1,2		2,446,183		2,430,895

Boing US Holdco, Inc., Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.67%		10/03/24	¹		985,031		982,977

CineWorld Finance US, Inc., Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.65%		02/28/25	¹		822,086		809,796

CityCenter Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.65%		04/18/24	¹		2,211,203		2,204,691

Four Seasons Hotels, Ltd., Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.40%		11/30/23	¹		975,000		974,118

KUEHG Corp., Term Loan B3, 1st Lien (LIBOR plus 3.75%)

6.08%		02/21/25	¹		742,500		740,907

Mister Car Wash Holdings, Inc., Term Loan, 1st Lien (LIBOR plus 3.50%)

5.90%		05/14/26	^1,4		1,190,476		1,187,875

NAI Entertainment Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.50%)

4.91%		05/08/25	¹		744,375		742,358

National Cinemedia LLC, Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.44%		06/20/25	¹		495,000		493,763


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Consumer Discretionary (continued)

Nielsen Finance LLC, Term Loan B4, 1st Lien (LIBOR plus 2.00%)
4.41%		10/04/23	¹		$1,218,875	$	1,208,783

Prometric Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.41%		01/29/25	¹		990,000		972,675

Refresco, Term Loan B3, 1st Lien (LIBOR plus 3.25%)

5.77%		03/28/25	¹		1,980,000		1,975,050

Reynolds Group Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 2.75%)

2.75%		02/06/23	¹		934,686		929,097

SMG U.S. Midco 2, Inc., Term Loan, 1st Lien (LIBOR plus 3.00%)

5.40%		01/23/25	¹		493,750		491,901
Spin Holdco, Inc., Term Loan B1, 1st Lien (LIBOR plus 3.25%)

5.85%		11/14/22	¹		1,966,203		1,930,565
Stars Group Holdings BV, Term Loan B, 1st Lien (LIBOR plus 3.50%)

5.83%		07/10/25	¹		1,786,432		1,789,040

USAGM Holdco LLC, Term Loan, 1st Lien (LIBOR plus 3.75%)

6.15%		07/28/22	¹		992,308		991,896

Wyndham Hotels & Resorts, Inc. Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.15%		05/30/25	¹		496,250		495,320

Yum! Brands, Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.13%		04/03/25	¹		2,451,568		2,449,839


							26,862,824

Consumer Products — 1.38%

Consolidated Container Co., Term Loan (LIBOR plus 3.50%)

5.90%		06/26/26	¹		1,000,000		995,000

Hoffmaster Group, Inc., Term Loan B1, 1st Lien (LIBOR plus 4.00%)

6.33%		11/21/23	¹		476,304		475,709

JBS USA, Term Loan B, 1st Lien (LIBOR plus 2.50%)

4.90%		05/01/26	¹		1,246,875		1,246,520

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


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Consumer Products (continued)

(PRIME plus 2.94%)

8.44%		06/30/21	¹	$	6,124	$	6,111

(LIBOR plus 4.25%)

6.65%		06/30/21	¹		961,773		959,773


							3,683,113

Electric — 0.88%

Calpine Corp., Term Loan B9 (LIBOR plus 2.75%)

5.08%		04/05/26	¹		1,000,000		999,690

Chief Power Finance LLC, Term Loan B, 1st Lien (LIBOR plus 4.75%)

7.16%		12/31/20	^1,5,6		912,265		884,897

EIF Channelview Cogeneration LLC, Term Loan B, 1st Lien (LIBOR plus 4.25%)

6.66%		05/03/25	¹		454,259		457,552


							2,342,139

Energy — 2.80%

Centurion Pipeline Co. LLC, Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.65%		09/29/25	¹		995,000		997,075

EG America LLC, Term Loan B, 1st Lien (LIBOR plus 4.00%)

6.33%		02/07/25	¹		1,234,380		1,215,606

EG Finco Ltd., Term Loan B, 1st Lien (United Kingdom) (LIBOR plus 4.00%)

6.33%		02/07/25	^1,2		496,231		488,683

EMG Utica LLC, Term Loan B, 1st Lien (LIBOR plus 3.75%)

6.08%		03/27/20	^1,5,6		556,141		555,446

Energizer Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.75%		12/17/25	¹		997,500		995,635

Glass Mountain Pipeline Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 4.50%)

7.12%		12/23/24	¹		493,750		485,109

Seadrill Operating LP, Term Loan B, 1st Lien (United Kingdom) (LIBOR plus 6.00%)

8.33%		02/21/21	^1,2		493,306		355,366

Traverse Midstream Partners LLC, Term Loan B, 1st Lien (LIBOR plus 4.00%)

6.59%		09/27/24	¹		992,500		983,989


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Energy (continued)

Vistra Operations Co., LLC, Term Loan B3, 1st Lien (LIBOR plus 2.00%)

4.33%		12/31/25	¹	$	44,761	$	44,766

4.39%		12/31/25	¹		560,329		560,402

4.40%		12/31/25	¹		784,406		784,508


							7,466,585


Entertainment — 0.38%

Hornblower Sub LLC, Term Loan, 1st Lien (LIBOR plus 4.50%)

6.83%		04/27/25	¹		1,000,000		1,001,875


Finance — 5.75%

Angus Chemical, Inc., Term Loan B1, 1st Lien (LIBOR plus 3.25%)

5.58%		02/02/22	¹		400,002		399,502

Auris Lux Co., Term Loan B, 1st Lien (Luxembourg) (LIBOR plus 3.75%)

6.15%		02/27/26	^1,2		1,246,875		1,250,927

Avolon TLB Borrower 1 US, LLC, Term Loan B3, 1st Lien (LIBOR plus 1.75%)

4.13%		01/15/25	¹		1,424,235		1,424,385

CBAC Borrower LLC, Term Loan B, 1st Lien (LIBOR plus 4.00%)

6.40%		07/08/24	¹		779,782		778,074

Clarivate Analytics, Term Loan, 1st Lien (LIBOR plus 3.25%)

5.65%		10/03/23	^1,5,6		528,726		530,757

Cushman & Wakefield, Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.65%		08/21/25	¹		645,125		643,648

Delos Finance SARL, Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.08%		10/06/23	¹		1,250,000		1,249,931

Forest City Enterprises, Term Loan B, 1st Lien (LIBOR plus 4.00%)

6.40%		12/08/25	¹		995,000		1,000,388

Helix Gen Funding LLC, Term Loan B, 1st Lien (LIBOR plus 3.75%)

2.50%		06/03/24	¹		528,060		498,071

Kwor Acquisition, Inc., Term Loan, 1st Lien (LIBOR plus 4.00%)

6.40%		06/03/26	^1,7		909,091		906,818


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Finance (continued)

NMN Holdings III Corp. Term Loan, 1st Lien (LIBOR plus 3.75%)

6.15%		11/13/25	^1,8	$	1,231,781	$	1,222,543

Plaskolite PPC Intermediate II LLC, Term Loan, 1st Lien (LIBOR plus 4.25%)

6.64%		12/15/25	¹		1,990,000		1,977,563

RPI Finance Trust, Term Loan B6, 1st Lien (LIBOR plus 2.00%)

4.40%		03/27/23	¹		966,813		968,930

Telenet Financing USD LLC, Term Loan, 1st Lien (LIBOR plus 2.25%)

4.64%		08/17/26	¹		1,500,000		1,486,073

WP Deluxe Merger Sub, Inc., Term Loan, 1st Lien (LIBOR plus 3.25%)

5.58%		07/19/24	¹		985,000		960,375


							15,297,985


Food — 3.63%

8th Avenue Food & Provisions, Term Loan, 1st Lien (LIBOR plus 3.75%)

6.17%		10/01/25	¹		248,750		249,333

Albertson’s LLC, Term Loan B7, 1st Lien (LIBOR plus 3.00%)

5.40%		11/17/25	¹		298,500		297,381

American Seafoods Group LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.18%		08/21/23	¹		1,281,593		1,279,997

Chobani LLC, Term Loan B, 1st Lien (LIBOR plus 3.50%)

5.90%		10/10/23	¹		975,047		961,030

Flora Food Group, Term Loan B2 (LIBOR plus 3.00%)

5.60%		07/02/25	¹		992,500		982,575

Hearthside Group Holdings LLC, Term Loan, 1st Lien (LIBOR plus 3.69%)

6.09%		05/23/25	¹		990,000		970,200

Hostess Brands LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.60%		08/03/22	¹		149,818		149,100

4.65%		08/03/22	¹		449,454		447,301

4.83%		08/03/22	¹		867,230		863,076


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Food (continued)

Houston Foods, Inc., Term Loan B, 1st Lien (LIBOR plus 3.75%)

6.15%		07/20/25	¹	$	1,287,000	$	1,249,999

Matterhorn Merger Sub LLC, Term Loan, 1st Lien (LIBOR plus 4.00%)

6.40%		05/23/25	¹		995,000		987,184

Utz Quality Foods LLC, Term Loan, 1st Lien (LIBOR plus 3.50%)

5.90%		11/21/24	¹		1,231,250		1,220,477


							9,657,653


Gaming — 5.23%

Affinity Gaming LLC, Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.65%		07/03/23	¹		466,387		450,840

Caesars Entertainment LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.40%		10/07/24	¹		986,234		979,301

Caesars Resort Collection LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.15%		12/23/24	¹		1,477,500		1,454,259

Churchill Downs, Inc., Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.41%		12/27/24	¹		1,541,525		1,541,533

Gateway Casinos & Entertainment Ltd., Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.33%		12/01/23	¹		990,000		977,625

Golden Entertainment, Inc., Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.41%		10/21/24	¹		1,447,500		1,443,881

Golden Nugget, Inc., Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.14%		10/04/23	¹		622,380		618,138

5.15%		10/04/23	¹		776,338		771,048

GVC Holdings PLC, Term Loan B2, 1st Lien (LIBOR plus 2.25%)

4.69%		03/29/24	¹		1,481,250		1,478,658

Las Vegas Sands LLC, Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.15%		03/27/25	¹		927,228		921,516

Penn National Gaming, Inc., Term Loan B1, 1st Lien


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Gaming (continued)

(LIBOR plus 2.25%)

4.65%		10/15/25	¹	$	1,397,975	$	1,394,697

Station Casinos LLC, Term Loan B, 1st Lien (LIBOR plus 2.50%)

4.50%		06/08/23	¹		1,416,587		1,412,564

Wynn Resorts, Ltd., Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.69%		10/30/24	¹		493,750		490,321


							13,934,381


Health Care — 10.29%

Acadia Healthcare Co., Inc., Term Loan B3, 1st Lien (LIBOR plus 2.50%)

4.90%		02/11/22	¹		932,468		929,558

Acadia Healthcare Co., Inc., Term Loan B4, 1st Lien (LIBOR plus 2.50%)

4.90%		02/16/23	¹		282,624		281,742

Admi Corp., Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.15%		04/30/25	¹		990,000		977,377

Aveanna Healthcare LLC, Term Loan, 1st Lien (LIBOR plus 4.25%)

6.65%		03/13/24	¹		1,369,237		1,329,871

Carestream Dental Equipment, Inc., Term Loan, 1st Lien (LIBOR plus 3.25%)

5.65%		09/02/24	¹		982,500		968,583

Catalent Pharma Solutions, Inc., Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.65%		05/18/26	¹		997,500		998,747

CCS-CMGC Holdings, Inc., Term Loan, 1st Lien (LIBOR plus 5.50%)

7.90%		10/01/25	¹		497,500		491,281

Change Healthcare Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.15%		03/01/24	¹		496,114		493,140

Civitas Solutions, Inc., Term Loan, 1st Lien (LIBOR plus 4.25%)

6.66%		03/09/26	¹		469,583		472,178


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Health Care (continued)
Civitas Solutions, Inc., Term Loan, C, 1st Lien (LIBOR plus 4.25%)
6.66%		03/09/26	¹	$	29,240	$	29,401
Endo Luxembourg Finance I Co. SARL, Term Loan B, 1st Lien (Luxembourg) (LIBOR plus 4.25%)
6.69%		04/29/24	^1,2		484,446		456,188
Gentiva Health Services, Inc., Term Loan, 2nd Lien (PRIME plus 6.00%)
11.50%		07/02/26	¹		250,000		253,125
Inovalon Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)
5.94%		04/02/25	¹		992,500		993,433
Kindred at Home, Term Loan, 1st Lien (LIBOR plus 3.75%)
6.19%		07/02/25	¹		1,455,068		1,458,254
Medical Solutions Holdings, Inc., Term Loan, 1st Lien (LIBOR plus 3.75%)
6.15%		06/14/24	¹		982,563		981,948
Medplast Holdings, Inc., Term Loan, 1st Lien (LIBOR plus 3.75%)
6.08%		07/02/25	¹		992,500		990,843
MPH Acquisition Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)
5.08%		06/07/23	¹		1,653,676		1,585,462
Navicure, Inc., Term Loan, 1st Lien (LIBOR plus 3.75%)
6.15%		11/01/24	¹		1,083,500		1,077,405
NMSC Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 5.00%)
7.58%		04/19/23	¹		1,177,338		1,180,282
Premise Health Holding Corp., Term Loan, 1st Lien (LIBOR plus 3.75%)
6.35%		07/10/25	^1,9		693,136		689,237
Prospect Medical Holdings, Inc., Term Loan B1, 1st Lien (LIBOR plus 5.50%)
7.94%		02/22/24	¹		975,131		923,123
Romulus Merger Sub LLC, Delayed-Draw Term Loan, 1st Lien
1.00%		02/14/25	^1,10		343,788		332,830
Romulus Merger Sub LLC, Term Loan, 1st Lien


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Health Care (continued)
(LIBOR plus 2.75%)
5.15%		02/14/25	¹	$	1,526,136	$	1,477,491
Surgery Center Holdings, Inc., Term Loan, 1st Lien (LIBOR plus 3.25%)
5.66%		09/02/24	¹		1,230,575		1,191,602
Tecomet, Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)
5.91%		05/01/24	¹		701,305		698,675
UIC Merger Sub, Inc., Term Loan, 1st Lien (LIBOR plus 3.25%)
5.65%		08/30/24	¹		731,275		720,610
US Renal Care, Inc., Term Loan B, 1st Lien (LIBOR plus 5.00%)
7.44%		06/12/26	¹		1,000,000		983,520
Valeant Pharmaceuticals International Term Loan B, 1st Lien (LIBOR plus 2.75%)
5.16%		11/27/25	¹		234,375		233,277
(LIBOR plus 3.00%)
5.41%		06/02/25	¹		1,992,486		1,993,940
Wink Holdco, Inc., Term Loan, 1st Lien (LIBOR plus 3.00%)
5.40%		12/02/24	¹		983,102		963,931
Wink Holdco, Inc., Term Loan, 2nd Lien (LIBOR plus 6.75%)
9.16%		12/01/25	¹		250,000		252,187
WW Medical & Healthcare Holdings Corp., Term Loan, 1st Lien (LIBOR plus 3.75%)
6.15%		01/23/25	¹		987,500		987,707


							27,396,948

Industrials — 10.75%
Agro Merchants North America Holdings, Inc., Term Loan, 1st Lien (LIBOR plus 3.75%)
6.08%		12/06/24	¹		1,522,469		1,516,759
American Traffic Solutions Inc., Term Loan B, 1st Lien (LIBOR plus 3.75%)
6.15%		02/28/25	¹		1,486,212		1,493,019
BCPE Empire Holdings, Inc., Term Loan, 1st Lien (LIBOR plus 4.00%)
6.40%		06/11/26	^1,11		1,044,304		1,042,346


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Industrials (continued)
Berry Global, Inc., Term Loan Q, 1st Lien (LIBOR plus 2.00%)
4.41%		10/03/22	¹	$	469,600	$	466,982
Berry Global, Inc., Term Loan R, 1st Lien (LIBOR plus 2.25%)
4.41%		01/19/24	¹		488,750		484,508
CH Guenther Parent LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)
5.15%		03/31/25	¹		990,000		984,436
Clean Harbors, Inc., Term Loan B, 1st Lien (LIBOR plus 1.75%)
4.15%		06/30/24	¹		1,822,899		1,825,178
Conserve Merger Sub, Inc., Term Loan, 1st Lien (LIBOR plus 3.50%)
5.91%		08/08/25	¹		1,985,000		1,970,113
CPI Holdco LLC, Term Loan, 1st Lien (LIBOR plus 3.50%)
6.08%		03/21/24	¹		1,955,007		1,956,229
IBC Capital Limited, Term Loan B1, 1st Lien (LIBOR plus 3.75%)
6.15%		09/11/23	¹		1,975,000		1,973,361
Infiltrator Water Technologies LLC, Term Loan B2, 1st Lien (LIBOR plus 3.00%)
2.33%		05/27/22	¹		1,449,723		1,444,286
Jade Germany GMBH, Term Loan, 1st Lien (Germany) (LIBOR plus 5.50%)
8.15%		05/31/23	^1,2		980,000		938,350
Pelican Products, Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)
5.91%		05/01/25	¹		495,000		487,575
Penn Engineering & Manufacturing Corp., Term Loan B, 1st Lien (LIBOR plus 2.75%)
5.15%		06/27/24	¹		714,678		714,235
PGT Innovations, Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)
5.85%		02/16/22	¹		59,236		59,347
5.90%		02/16/22	¹		59,236		59,347
PLZ Aeroscience Corp., Term Loan, 1st Lien (LIBOR plus 3.50%)
5.90%		07/31/22	¹		1,181,398		1,178,261
ProAmpac PG Borrower LLC, Term Loan, 1st Lien (LIBOR plus 3.50%)
5.88%		11/20/23	¹		534,496		513,285


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Industrials (continued)
6.02%		11/20/23	¹	$	320,003	$	307,304
6.07%		11/20/23	¹		367,477		352,894
6.08%		11/20/23	¹		240,523		230,978
Spectrum Holdings III Corp., Term Loan, 1st Lien (LIBOR plus 3.25%)
5.69%		01/31/25	¹		1,441,775		1,366,082
Technimark LLC, Term Loan, 1st Lien (LIBOR plus 3.75%)
6.23%		08/08/25	¹		995,000		980,075
Titan Acquisition, Ltd. Term Loan, 1st Lien (LIBOR plus 3.00%)
5.40%		03/28/25	¹		494,987		473,881
Transcendia Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)
5.90%		05/30/24	¹		1,473,806		1,315,372
Transdigm, Inc., Term Loan F, 1st Lien (LIBOR plus 2.50%)
4.83%		06/09/23	¹		1,472,727		1,448,110
TricorBraun, Inc., Term Loan, 1st Lien (LIBOR plus 3.75%)
6.14%		11/30/23	¹		119,846		118,303
6.15%		11/30/23	¹		1,343,676		1,326,377
TruGreen Limited Partnership, Term Loan B, 1st Lien (LIBOR plus 3.75%)
6.16%		03/19/26	¹		997,500		1,001,246
Zep, Inc., Term Loan B, 1st Lien (LIBOR plus 4.00%)
6.33%		08/12/24	¹		736,875		602,395


							28,630,634

Information Technology — 8.09%
Ascend Learning LLC, Term Loan B, 1st Lien (LIBOR plus 3.00%)
5.40%		07/12/24	¹		982,500		970,523
Ciena Corp., Term Loan B, 1st Lien (LIBOR plus 2.00%)
4.38%		09/26/25	¹		497,500		497,968
Dell International LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)
4.41%		09/07/23	¹		1,342,876		1,337,565
DigiCert Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 4.00%)
6.40%		10/31/24	¹		1,486,269		1,483,021


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Information Technology (continued)
EagleView Technology Corp., Term Loan B, 1st Lien (LIBOR plus 3.50%)
5.90%		08/14/25	¹	$	497,500	$	478,428
First Data Corp., Term Loan, 1st Lien (LIBOR plus 2.00%)
4.40%		07/08/22	¹		779,603		779,583
4.40%		04/26/24	¹		528,184		528,184
GlobalLogic Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 3.25%)
5.65%		08/01/25	¹		434,219		433,856
Imperva, Inc., Term Loan, 1st Lien (LIBOR plus 4.00%)
2.75%		11/20/25	¹		1,500,000		1,494,847
Microchip Technology, Inc., Term Loan, 1st Lien (LIBOR plus 2.00%)
4.41%		05/29/25	¹		287,446		286,458
Oberthur Technologies Of America Corp., Term Loan B, 1st Lien (LIBOR plus 3.75%)
6.08%		01/10/24	¹		1,466,250		1,409,433
OpenLink International Holdings, Inc., Term Loan B,1st Lien (LIBOR plus 4.75%)
7.08%		03/21/25	¹		709,779		707,118
Perspecta, Inc., Term Loan B, 1st Lien (LIBOR plus 2.25%)
4.65%		05/30/25	¹		495,000		493,874
Project Alpha Intermediate Holdings Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)
6.37%		04/26/24	¹		980,000		953,050
Quintiles IMS, Inc., Term Loan B2, 1st Lien (LIBOR plus 2.00%)
4.33%		01/17/25	¹		1,974,924		1,975,546
Quintiles IMS, Inc., Term Loan B3, 1st Lien (LIBOR plus 1.75%)
4.15%		06/11/25	¹		495,000		492,988
Scientific Games International, Inc., Term Loan B5, 1st Lien (LIBOR plus 2.75%)
5.15%		08/14/24	¹		287,455		283,482
5.23%		08/14/24	¹		1,193,795		1,177,297
Sophia LP, Term Loan B, 1st Lien (LIBOR plus 3.25%)
5.58%		09/30/22	¹		1,152,708		1,150,835


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Information Technology (continued)
SS&C Technologies, Inc., Term Loan B3, 1st Lien (LIBOR plus 2.25%)
4.65%		04/16/25	¹	$	1,040,761	$	1,038,097
SS&C Technologies, Inc., Term Loan B4, 1st Lien (LIBOR plus 2.25%)
4.65%		04/16/25	¹		713,744		711,917
SS&C Technologies, Inc., Term Loan B5, 1st Lien (LIBOR plus 2.25%)
4.65%		04/16/25	¹		496,202		495,098
TierPoint LLC, Term Loan, 1st Lien (LIBOR plus 3.75%)
6.15%		05/06/24	¹		464,762		432,810
VT Topco, Inc., Term Loan, 1st Lien (LIBOR plus 3.75%)
6.08%		08/01/25	¹		794,000		793,750
VT Topco, Inc., Delayed-Draw Term Loan, 1st Lien (LIBOR plus 3.75%)
6.08%		08/01/25	^1,12		164,584		164,532
Zotec Partners LLC, Term Loan, 1st Lien (LIBOR plus 5.00%)
7.41%		02/14/24	¹		968,750		968,750


							21,539,010

Materials — 4.46%
AkzoNobel Specialty Chemicals NV, Term Loan B, 1st Lien (Netherlands) (LIBOR plus 3.25%)
5.67%		10/01/25	^1,2		997,500		984,408
Archroma Finance SARL, Term Loan B2, 1st Lien (Switzerland) (LIBOR plus 4.00%)
6.33%		08/12/24	^1,2		1,875		1,866
6.58%		08/12/24	^1,2		735,000		731,630
Berry Global, Inc., Term Loan S, 1st Lien (LIBOR plus 1.75%)
4.16%		02/08/20	¹		160,714		160,700
Berry Plastics Group, Inc. Term Loan T, 1st Lien (LIBOR plus 1.75%)
4.16%		01/06/21	¹		1,400,000		1,397,305
Cyanco Intermediate 2 Corp., Term Loan, 1st Lien (LIBOR plus 3.50%)
5.90%		03/16/25	¹		1,454,553		1,453,033


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Materials (continued)

DuBois Chemicals, Inc., Term Loan, 1st Lien (LIBOR plus 3.25%)

5.65%		03/15/24	¹	$	1,712,541	$	1,689,704
Flex Acquisition Co., Inc., Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.69%		06/30/25	¹		1,475,813		1,404,391
Liqui-Box Corp., Term Loan B, 1st Lien (LIBOR plus 4.50%)

4.50%		06/03/26	¹		1,000,000		991,875
Multi-Color Corp., Term Loan B, 1st Lien (PRIME0

6.50%		10/31/24	¹		492,500		492,143
Polar US Borrower LLC, Term Loan, 1st Lien (LIBOR plus 4.75%)

7.08%		10/15/25	¹		7,383		7,300
Schenectady International Group, Inc., Term Loan, 1st Lien (LIBOR plus 4.75%)

7.08%		10/15/25	¹		7,388		7,305

7.35%		10/15/25	¹		582,229		575,679
WR Grace & Co., Term Loan B1, 1st Lien
(LIBOR plus 1.75%)

4.08%		04/03/25	¹		731,316		730,555
WR Grace & Co., Term Loan B2, 1st Lien (LIBOR plus 1.75%)

4.08%		04/03/25	¹		1,253,684		1,252,380


							11,880,274

Real Estate Investment Trust (REIT) — 1.56%
MGM Growth Properties Operating Partnership LP, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.40%		03/21/25	¹		2,037,877		2,027,851
VICI Properties 1 LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.40%		12/20/24	¹		2,159,091		2,137,500


							4,165,351

Retail — 1.38%
BC ULC/New Red Finance, Inc., Term Loan B-3, 1st Lien (Canada) (LIBOR plus 2.25%)

7.44%		02/16/24	^1,2		2,212,630		2,199,731
IRB Holding Corp., Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.64%		02/05/25	¹		1,486,212		1,469,842


							3,669,573


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Services — 5.57%
Aramark Services, Inc., Term Loan B3, 1st Lien (LIBOR plus 1.75%)

4.08%		03/11/25	¹	$	1,865,325	$	1,861,828
Carlisle Foodservice Products, Inc.
Term Loan, 1st Lien (LIBOR plus 3.00%)

5.40%		03/20/25	¹		494,450		483,945
CIBT Global, Inc. Term Loan, 1st Lien (LIBOR plus 3.75%)

6.08%		06/03/24	¹		1,090,044		1,076,419

6.43%		06/03/24	¹		143,032		141,244
Epic Y-Grade Services LP, Term Loan B, 1st Lien (LIBOR plus 5.50%)

7.90%		06/07/25	¹		250,000		243,125
GFL Environmental, Inc., Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.40%		05/30/251			1,484,171		1,462,576
PODS LLC, Term Loan B4, 1st Lien (LIBOR plus 2.75%)

5.16%		12/06/24	¹		1,481,162		1,462,033
PowerTeam Services LLC, Term Loan, 1st Lien (LIBOR plus 3.25%)

5.58%		03/06/25	¹		1,459,653		1,383,941
PowerTeam Services LLC, Term Loan, 2nd Lien (LIBOR plus 7.25%)

9.58%		03/06/26	¹		750,000		727,500
Prime Security Services Borrower LLC,

Term Loan B1, 1st Lien (LIBOR plus 2.75%)
5.15%		05/02/22	¹		976,365		970,917
TKC Holdings, Inc., Term Loan, 1st Lien (LIBOR plus 3.75%)

6.16%		02/01/23	¹		1,406,046		1,379,240
University Support Services LLC, Term Loan B, 1st Lien (LIBOR plus 3.50%)

5.91%		06/20/25	¹		2,147,056		2,149,075
Worldstrides, Term Loan B, 1st Lien (LIBOR plus 4.00%)

6.40%		12/16/24	¹		1,483,731		1,484,658


							14,826,501


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Transportation — 1.50%
American Airlines, Inc., Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.06%		06/27/25	¹		$1,280,174		$ 1,246,793
Arctic LNG Carriers Ltd., Term Loan B, 1st Lien (LIBOR plus 4.50%)

6.83%		05/18/23	¹		490,000		482,650
Commercial Barge Line Co., Term Loan B, 1st Lien (LIBOR plus 8.75%)

11.15%		11/12/20	¹		176,316		119,895
International Seaways, Inc., Term Loan, 1st Lien (LIBOR plus 6.00%)

8.44%		06/22/22	¹		1,406,096		1,409,611
Navios Maritime Partners LP, Term Loan B, 1st Lien (Greece) (LIBOR plus 5.00%)

5.90%		09/14/20	^1,2		742,145		739,670


							3,998,619

Total Bank Loans
(Cost $234,436,210)							232,729,857

CORPORATES — 6.54%* Communications — 0.99% CSC Holdings LLC

6.50%		02/01/29	¹³		500,000		546,563

6.75%		11/15/2	¹		1,000,000		1,072,500
T-Mobile USA, Inc.

6.00%		03/01/2	³		1,000,000		1,025,000


							2,644,063

Consumer Discretionary — 0.36%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A.

5.75%		10/15/20			969,108		972,742

Energy — 0.20%
USA Compression Partners LP/USA Compression Finance Corp.

6.88%		09/01/27	¹³		500,000		527,555

Finance — 1.22%
Citigroup, Inc. (LIBOR USD 3-Month plus 0.55%)

3.07%		08/25/36	¹		1,800,000		1,389,708
GE Capital International Funding Co. (Ireland)

4.42%		11/15/35	²		75,000		74,356


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Goldman Sachs Group, Inc. (The)

3.27%		09/29/25	¹⁴		$980,000		$ 998,442
Park Aerospace Holdings Ltd. (Cayman Islands)

4.50%		03/15/23	^2,13		750,000		774,906


							3,237,412

Health Care — 1.88%
Cigna Corp. (LIBOR USD 3-Month plus 0.89%)

3.49%		07/15/23	^1,¹³		2,700,000		2,699,546
CVS Health Corp. (LIBOR USD 3-Month plus 0.72%)

3.17%		03/09/21	¹		1,000,000		1,004,740
Hill-Rom Holdings, Inc.

5.75%		09/01/23	¹³		250,000		259,687
Tenet Healthcare Corp.

6.00%		10/01/20			1,000,000		1,032,500


							4,996,473

Industrials — 0.92% General Electric Co. (MTN) (LIBOR USD 3-Month plus 0.48%)

3.00%		08/15/36	¹		850,000		635,692
Sealed Air Corp.

5.25%		04/01/23	¹³		1,500,000		1,582,500
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)

7.75%		04/15/26	^2,13		250,000		226,250


							2,444,442

Information Technology — 0.19%
SS&C Technologies, Inc.

5.50%		09/30/27	¹³		500,000		519,687

Real Estate Investment Trust (REIT) — 0.51% SL Green Operating Partnership LP (LIBOR USD 3-Month plus 0.98%)

3.50%		08/16/21	¹		1,350,000		1,350,512

Services — 0.10%
GFL Environmental, Inc. (Canada)

7.00%		06/01/26	^2,13		250,000		257,187

Transportation — 0.17%
American Airlines Pass-Through Trust, Series 2013-2, Class B

5.60%		07/15/20	¹³		454,363		465,040

Total Corporates
(Cost $17,275,657)							17,415,113


Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS — 0.16%*

California — 0.16%
State of California, Build America Bonds

7.95%		03/01/36	$	400,000	$	415,084

Total Municipal Bonds
(Cost $414,660)
Total Bonds – 94.10%

(Cost $252,126,527)						250,560,054

			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 7.86%
Money Market Funds — 4.46%
Dreyfus Government Cash Management Fund

2.26%¹⁵				70,000		70,000
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.29%¹⁵				11,795,000		11,795,000

						11,865,000

U.S. Treasury Bills — 3.40%
U.S. Treasury Bills

2.34%¹⁶		07/16/19	$	5,000,000		4,995,677

2.40%¹⁶		07/18/19		4,067,000		4,063,070

						9,058,747

Total Short-Term Investments
(Cost $20,922,565)						20,923,747

Total Investments – 101.96%
(Cost $273,049,092)						271,483,801

Net unrealized depreciation on unfunded
commitments (0.00)%						(5,035	)
Liabilities in Excess of Other
Assets – (1.96)%						(5,214,012	)


Net Assets – 100.00%					$	266,264,754

¹	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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

³	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $67,399, at an interest rate of 0.50% and a maturity of June 26, 2026.The investment is not accruing an unused commitment fee.

⁴	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $59,394, at an interest rate of 1.75% and a maturity of May 14, 2026.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 $1,971,100, 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 $90,682, at an interest rate of 1.00% and a maturity of June 03, 2026.The investment is not accruing an unused commitment fee.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $260,531, at an interest rate of 3.75% and a maturity of November 13, 2025. The investment is accruing an unused commitment fee of 0.25% per annum.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $55,114, at an interest rate of 1.00% and a maturity of July 10, 2025. The investment is accruing an unused commitment fee of 0.25% per annum.

¹⁰	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $104,397, at an interest rate of 1.00% and a maturity of February 14, 2025. The investment is not accruing an unused commitment fee.

¹¹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $205,311, at an interest rate of 1.00% and a maturity of June 12, 2026.The investment is not accruing an unused commitment fee.

¹²	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $34,460, at an interest rate of 3.75% and a maturity of August 01, 2025. The investment is not accruing an unused commitment fee.

¹³	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.

¹⁴	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.

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

¹⁶	Represents annualized yield at date of purchase.

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

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value

BONDS – 88.02%

BANK LOANS — 19.79%*

Communications — 6.49%
CenturyLink, Inc., Term Loan B, 1st Lien (LIBOR plus 2.75%)
0.50%		01/31/25	¹	$	2,750,425	$	2,691,607
Colorado Buyer, Inc., Term Loan, 1st Lien (LIBOR plus 3.00%)
5.42%		05/01/24	¹		911,400		851,594
Colorado Buyer, Inc., Term Loan, 2nd Lien (LIBOR plus 7.25%)
9.67%		05/01/25	¹		480,000		420,516
CommScope, Inc., Term Loan B, 1st Lien (LIBOR plus 3.25%)
5.65%		04/04/26	¹		2,500,000		2,496,250
CSC Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%)
4.64%		07/17/25	¹		5,623,650		5,543,231
Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg)
6.63%		01/02/24	²		1,329,300		1,338,160
Level 3 Financing, Inc., Term Loan B, 1st Lien (LIBOR plus 2.25%)
4.25%		02/22/24	¹		3,410,000		3,387,409
NEP/NCP Holdco, Inc., Term Loan, 2nd Lien (LIBOR plus 7.00%)
9.40%		10/19/26	¹		875,000		870,625
SBA Senior Finance II LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)
4.41%		04/11/25	¹		3,826,784		3,784,154
Sprint Communications, Inc., Term Loan B, 1st Lien (LIBOR plus 2.50%)
4.94%		02/02/24	¹		4,124,504		4,069,504
(LIBOR plus 3.00%)
5.44%		02/02/24	¹		1,044,750		1,036,914
Unitymedia Finance LLC, Term Loan E, 1st Lien (LIBOR plus 2.00%)
4.39%		06/01/23	¹		3,089,552		3,085,165
WMG Acquisition Corp., Term Loan F, 1st Lien (LIBOR plus 2.13%)
4.53%		11/01/23	¹		1,100,000		1,086,734


							30,661,863

Consumer Discretionary — 0.64%
Alphabet Holding Co., Inc., Term Loan, 1st Lien


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Consumer Discretionary (continued)
(LIBOR plus 3.50%)
5.90%		09/26/24	¹	$	1,490,298	$	1,410,195
CityCenter Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%)
4.65%		04/18/24	¹		1,588,314		1,583,636


							2,993,831

Energy — 1.24%
Vistra Operations Co., LLC, Term Loan B1, 1st Lien (LIBOR plus 2.00%)
4.40%		08/04/23	¹		1,186,193		1,186,121
Vistra Operations Co., LLC, Term Loan B3, 1st Lien (LIBOR plus 2.00%)
4.33%		12/31/25	¹		150,676		150,695
4.39%		12/31/25	¹		1,886,219		1,886,464
4.40%		12/31/25	¹		2,640,521		2,640,865


							5,864,145

Finance — 0.11%
Auris Lux Co., Term Loan B, 1st Lien (Luxembourg) (LIBOR plus 3.75%)
6.15%		02/27/26	^1,2		523,688		525,389


Food — 0.11%
Houston Foods, Inc., Term Loan B, 1st Lien (LIBOR plus 3.75%)
6.15%		07/20/25	¹		544,500		528,846


Gaming — 0.62%
Caesars Entertainment LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)
4.40%		10/07/24	¹		1,994,937		1,980,912
Golden Nugget, Inc., Term Loan B, 1st Lien (LIBOR plus 2.75%)
5.14%		10/04/23	¹		425,403		422,504
5.15%		10/04/23	¹		530,635		527,019


							2,930,435

Health Care — 2.83%
Acadia Healthcare Co., Inc., Term Loan B4, 1st Lien (LIBOR plus 2.50%)
4.90%		02/16/23	¹		1,221,873		1,218,060


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Health Care (continued)
Aveanna Healthcare LLC, Term Loan, 1st Lien (LIBOR plus 4.25%)
6.65%		03/13/24	¹	$	777,063	$	754,722
Aveanna Healthcare LLC, Term Loan, 2nd Lien (LIBOR plus 8.00%)
2.50%		03/13/25	¹		465,000		452,213
Change Healthcare Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)
5.15%		03/01/24	¹		887,376		882,056
Gentiva Health Services, Inc., Term Loan, 2nd Lien (PRIME plus 6.00%)
11.50%		07/02/26	¹		550,000		556,875
Kindred at Home, Term Loan, 1st Lien (LIBOR plus 3.75%)
6.19%		07/02/25	¹		1,091,301		1,093,691
MPH Acquisition Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)
5.08%		06/07/23	¹		2,000,000		1,917,500
Valeant Pharmaceuticals International Term Loan B, 1st Lien (LIBOR plus 2.75%)
5.16%		11/27/25	¹		2,911,185		2,897,546
(LIBOR plus 3.00%)
5.41%		06/02/25	¹		2,750,588		2,752,596
Wink Holdco, Inc., Term Loan, 2nd Lien (LIBOR plus 6.75%)
9.16%		12/01/25	¹		850,000		857,437


							13,382,696


Information Technology — 3.72%
Dell International LLC, Term Loan A2, 1st Lien (LIBOR plus 1.75%)
4.16%		09/07/21	¹		1,108,869		1,108,453
First Data Corp., Term Loan, 1st Lien (LIBOR plus 2.00%)
4.40%		07/08/22	¹		1,610,963		1,610,923
4.40%		04/26/24	¹		6,689,948		6,689,948
Quintiles IMS, Inc., Term Loan B3, 1st Lien (LIBOR plus 1.75%)
4.15%		06/11/25	¹		2,347,218		2,337,677
Scientific Games International, Inc., Term Loan B5, 1st Lien (LIBOR plus 2.75%)
5.15%		08/14/24	¹		350,246		345,405


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Information Technology (continued)
5.23%		08/14/24	¹	$	1,454,565	$	1,434,463
SS&C Technologies, Inc., Term Loan B3, 1st Lien (LIBOR plus 2.25%)
4.65%		04/16/25	¹		1,697,634		1,693,288
SS&C Technologies, Inc., Term Loan B4, 1st Lien (LIBOR plus 2.25%)
4.65%		04/16/25	¹		1,164,221		1,161,240
TierPoint LLC, Term Loan, 1st Lien (LIBOR plus 3.75%)
6.15%		05/06/24	¹		1,265,018		1,178,048


							17,559,445


Materials — 1.23%
Axalta Coating Systems US Holdings, Inc., Term Loan B3, 1st Lien (LIBOR plus 1.75%)
4.08%		06/01/24	¹		992,462		982,230
Berry Global, Inc., Term Loan B, 1st Lien (LIBOR plus 2.50%)
2.50%		05/15/26	¹		2,560,000		2,545,600
Berry Global, Inc., Term Loan S, 1st Lien (LIBOR plus 1.75%)
4.16%		02/08/20	¹		803,571		803,499
Liqui-Box Corp., Term Loan B, 1st Lien (LIBOR plus 4.50%)
4.50%		06/03/26	¹		1,500,000		1,487,813

							5,819,142


Real Estate Investment Trust (REIT) — 1.73%
MGM Growth Properties Operating Partnership LP, Term Loan B, 1st Lien (LIBOR plus 2.00%)
4.40%		03/21/25	¹		5,031,140		5,006,387
VICI Properties 1 LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)
4.40%		12/20/24	¹		3,203,636		3,171,600


							8,177,987


Retail — 0.54%
BC ULC/New Red Finance, Inc., Term Loan B-3, 1st Lien (Canada) (LIBOR plus 2.25%)
7.44%		02/16/24	^1,2		2,566,677		2,551,713


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Services — 0.53%
GFL Environmental, Inc., Term Loan B, 1st Lien (LIBOR plus 3.00%)
5.40%		05/30/25	¹	$	997,481	$	982,968
PowerTeam Services LLC, Term Loan, 2nd Lien (LIBOR plus 7.25%)
9.58%		03/06/26	¹		1,565,000		1,518,050


							2,501,018

Total Bank Loans
(Cost $93,727,303)							93,496,510


CORPORATES — 68.23%*

Automotive — 0.25%
Allison Transmission, Inc.
5.88%		06/01/29	³		1,120,000		1,181,600


Communications — 18.94%
Altice Financing SA (Luxembourg)
7.50%		05/15/26	^2,3		1,593,000		1,605,107
Altice France SA (France)
7.38%		05/01/26	^2,3		3,134,000		3,220,185
CCO Holdings LLC/CCO Holdings Capital Corp.
5.38%		06/01/29	³		6,761,000		6,997,635
Charter Communications Operating LLC/Charter Communications Operating Capital
4.91%		07/23/25			2,500,000		2,719,675
Clear Channel International BV (Netherlands)
8.75%		12/15/20	^2,3		4,108,000		4,215,835
DISH DBS Corp.
5.88%		11/15/24			489,000		460,883
7.75%		07/01/26			449,000		439,739
DISH Network Corp.
3.38%		08/15/26			1,398,000		1,362,608
EW Scripps Co. (The)
5.13%		05/15/25	³		1,967,000		1,905,531
Frontier Communications Corp.
7.13%		01/15/23			3,761,000		2,274,314
8.00%		04/01/27	³		718,000		748,515
8.50%		04/01/26	³		718,000		698,255
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	²		5,358,000		4,915,965
9.75%		07/15/25	^2,3		1,781,000		1,825,525
Intelsat Luxembourg SA (Luxembourg)
8.13%		06/01/23	²		2,545,000		1,978,737
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	²		1,100,000		1,451,616


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Level 3 Financing, Inc.
6.13%		01/15/21		$	1,850,000	$	1,862,950
Midcontinent Communications/Midcontinent Finance Corp.
6.88%		08/15/23	³		2,119,000		2,206,409
Qwest Corp.
6.75%		12/01/21			4,830,000		5,208,334
Sinclair Television Group, Inc.
5.38%		04/01/21			3,350,000		3,361,725
Sirius XM Radio, Inc.
3.88%		08/01/22	³		3,601,000		3,623,506
Sprint Communications, Inc.
7.00%		03/01/20	³		2,768,000		2,844,120
Sprint Corp.
7.63%		03/01/26			5,288,000		5,650,228
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	³		2,259,000		2,256,764
5.15%		03/20/28	³		4,154,000		4,289,005
TEGNA, Inc.
5.13%		10/15/19			2,980,000		2,987,450
T-Mobile USA, Inc.
4.75%		02/01/28			500,000		514,425
6.00%		03/01/23			7,100,000		7,277,500
6.50%		01/15/24			5,025,000		5,204,016
Univision Communications, Inc.
5.13%		02/15/25	³		1,123,000		1,071,061
Virgin Media Secured Finance PLC (United Kingdom)
5.50%		05/15/29	^2,3		3,739,000		3,803,311
Windstream Services LLC/Windstream Finance Corp.⁴
9.00%		06/30/25	^3,5		726,000		506,385


							89,487,314


Consumer Discretionary — 3.54%
Bacardi Ltd. (Bermuda)
5.30%		05/15/48	^2,3		1,475,000		1,554,855
Central Garden & Pet Co.
5.13%		02/01/28			1,505,000		1,478,663
High Ridge Brands Co.
8.88%		03/15/25	^3,6,7		400,000		40,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A.
5.75%		10/15/20			5,427,003		5,447,354
(LIBOR USD 3-Month plus 3.50%)
6.10%		07/15/21	^1,3		7,373,000		7,391,433


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)

Spectrum Brands, Inc.

6.63%		11/15/22		$	794,000	$	815,041


							16,727,346


Electric — 0.78%

Energizer Holdings, Inc.

7.75%		01/15/27	³		3,274,000		3,551,733

Indiantown Cogeneration LP, Series A-10

9.77%		12/15/20	^6,7		145,183		153,168


							3,704,901


Energy — 9.78%

Antero Resources Corp.

5.00%		03/01/25			1,916,000		1,777,090

5.63%		06/01/23			2,675,000		2,588,597

Centennial Resource Production LLC

6.88%		04/01/27	³		3,500,000		3,552,500

CrownRock LP/CrownRock Finance, Inc.

5.63%		10/15/25	³		570,000		572,850

Endeavor Energy Resources LP/EER Finance, Inc.

5.75%		01/30/28	³		1,267,000		1,339,853

Ensco Rowan PLC (United Kingdom)

7.75%		02/01/26	²		1,398,000		1,048,500

EQT Corp.

3.90%		10/01/27			2,280,000		2,166,733

Hess Corp.

5.60%		02/15/41			1,940,000		2,089,891

Matador Resources Co.

5.88%		09/15/26			766,000		777,490

NGPL Pipe Co. LLC

4.38%		08/15/22	³		3,295,000		3,410,325

Parsley Energy LLC/Parsley Finance Corp.

5.25%		08/15/25	³		1,212,000		1,236,240

Range Resources Corp.

4.88%		05/15/25			2,185,000		1,928,263

Rockies Express Pipeline LLC

5.63%		04/15/20	³		4,553,000		4,649,751

6.88%		04/15/40	³		2,578,000		2,888,417

Seven Generations Energy Ltd. (Canada)

5.38%		09/30/25	^2,3		986,000		950,257

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.

7.50%		06/15/25	³		740,000		725,200

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

6.88%		01/15/29	³		3,100,000		3,444,689

TransMontaigne Partners LP/ TLP Finance Corp.

6.13%		02/15/26			1,171,000		1,132,943


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

Transocean Phoenix 2 Ltd. (Cayman Islands)

7.75%		10/15/24	^2,3	$	2,472,750	$	2,652,024

Transocean Pontus Ltd. (Cayman Islands)

6.13%		08/01/25	^2,3		1,518,615		1,571,767

Transocean Poseidon Ltd. (Cayman Islands)

6.88%		02/01/27	^2,3		1,140,000		1,207,687

Transocean Proteus Ltd. (Cayman Islands)

6.25%		12/01/24	^2,3		1,427,250		1,478,988

USA Compression Partners LP/USA Compression Finance Corp.

6.88%		04/01/26			496,000		526,950

6.88%		09/01/27	³		1,587,000		1,674,460

WPX Energy, Inc.

5.25%		09/15/24			814,000		837,403


							46,228,868


Finance — 2.57%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)

3.50%		01/15/25	²		450,000		452,949

Avolon Holdings Funding Ltd. (Cayman Islands)

5.13%		10/01/23	^2,3		6,952,000		7,376,072

GE Capital International Funding Co. (Ireland)

4.42%		11/15/35	²		2,400,000		2,379,394

Trident Merger Sub, Inc.

6.63%		11/01/25	³		2,073,000		1,943,437


							12,151,852


Food — 2.50%

B&G Foods, Inc.

4.63%		06/01/21			2,499,000		2,511,495

Chobani LLC/Chobani Finance Corp., Inc.

7.50%		04/15/25	³		555,000		521,700

Pilgrim’s Pride Corp.

5.88%		09/30/27	³		1,568,000		1,630,720

Post Holdings, Inc.

5.50%		12/15/29	³		3,200,000		3,220,000

Sigma Holdco BV (Netherlands)

7.88%		05/15/26	^2,3		1,912,000		1,778,160

Smithfield Foods, Inc.

5.20%		04/01/29	³		1,950,000		2,127,429


							11,789,504


Gaming — 2.24%

Churchill Downs, Inc.

4.75%		01/15/28	³		1,245,000		1,257,139

5.50%		04/01/27	³		2,362,000		2,474,195


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Gaming (continued)

Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.

6.13%		08/15/21	³	$	2,206,000	$	2,244,605

Twin River Worldwide Holdings, Inc.

6.75%		06/01/27	³		2,417,000		2,525,765

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

5.25%		05/15/27	³		1,119,000		1,127,393

5.50%		03/01/25	³		910,000		942,123


							10,571,220

Health Care — 11.79%

Bausch Health Cos., Inc. (Canada)

5.75%		08/15/27	^2,3		2,352,000		2,477,785

6.50%		03/15/22	^2,3		865,000		897,437

Bayer U.S. Finance II LLC

4.38%		12/15/28	³		1,125,000		1,189,239

Catalent Pharma Solutions, Inc.

5.00%		07/15/27	³		3,100,000		3,169,750

Centene Corp.

5.38%		06/01/26	³		1,000,000		1,051,250

5.63%		02/15/21			2,958,000		3,017,160

CHS/Community Health Systems, Inc.

6.25%		03/31/23			882,000		852,233

6.88%		02/01/22			1,021,000		687,899

8.00%		03/15/26	³		2,562,000		2,478,735

CVS Health Corp.

5.05%		03/25/48			2,250,000		2,400,210

Elanco Animal Health, Inc.

3.91%		08/27/21	³		2,147,000		2,194,305

4.90%		08/28/28	³		1,740,000		1,944,889

Endo DAC/Endo Finance LLC/Endo Finco, Inc. (Ireland)

6.00%		02/01/25	^2,3		1,315,000		892,556

HCA, Inc.

5.25%		06/15/49			2,400,000		2,504,807

5.88%		02/01/29			4,790,000		5,257,025

6.50%		02/15/20			5,234,000		5,369,477

Hill-Rom Holdings, Inc.

5.75%		09/01/23	³		2,376,000		2,468,070

Molina Healthcare, Inc.

4.88%		06/15/25	³		2,500,000		2,546,875

Tenet Healthcare Corp.

4.38%		10/01/21			500,000		508,750

4.75%		06/01/20			7,892,000		7,961,055

6.00%		10/01/20			4,618,000		4,768,085

WellCare Health Plans, Inc.

5.38%		08/15/26	³		1,000,000		1,065,000


							55,702,592


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials — 6.68%

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)

6.00%		02/15/25	^2,3	$	739,000	$	767,636

Ball Corp.

4.38%		12/15/20			1,883,000		1,923,014

4.88%		03/15/26			1,428,000		1,519,035

Bombardier, Inc. (Canada)

7.88%		04/15/27	^2,3		1,546,000		1,551,797

Clean Harbors, Inc.

4.88%		07/15/27	³		3,200,000		3,260,320

5.13%		06/01/21			3,948,000		3,959,804

Covanta Holding Corp.

5.88%		07/01/25			530,000		553,187

General Electric Co. (GMTN)

6.00%		08/07/19			2,075,000		2,081,312

General Electric Co. (MTN) (LIBOR USD 3-Month plus 0.48%)

3.00%		08/15/36	¹		1,300,000		972,235

Graphic Packaging International LLC

4.75%		07/15/27	³		4,000,000		4,120,000

4.88%		11/15/22			3,531,000		3,676,654

Sealed Air Corp.

5.25%		04/01/23	³		1,712,000		1,806,160

5.50%		09/15/25	³		1,698,000		1,812,615

Silgan Holdings, Inc.

4.75%		03/15/25			1,539,000		1,558,237

Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)

7.75%		04/15/26	^2,3		2,195,000		1,986,475


							31,548,481

Information Technology — 1.82%

CDK Global, Inc.

3.80%		10/15/19			3,361,000		3,369,403

IQVIA, Inc.

5.00%		05/15/27	³		2,000,000		2,062,500

SS&C Technologies, Inc.

5.50%		09/30/27	³		3,047,000		3,166,976


							8,598,879

Real Estate Investment Trust (REIT) — 0.72%

GLP Capital LP/GLP Financing II, Inc.

5.30%		01/15/29			1,890,000		2,047,593

5.75%		06/01/28			1,215,000		1,343,450


							3,391,043

Retail — 1.89%

Cumberland Farms, Inc.

6.75%		05/01/25	³		540,000		578,062


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Retail (continued)

eG Global Finance PLC (United Kingdom)

6.75%		02/07/25	^2,3	$	2,746,000	$	2,731,446

IRB Holding Corp.

6.75%		02/15/26	³		1,303,000		1,299,743

Nathan’s Famous, Inc.

6.63%		11/01/25	³		696,000		686,430

Rite Aid Corp.

6.13%		04/01/23	³		4,263,000		3,612,893


							8,908,574


Services — 1.62%

GFL Environmental, Inc. (Canada)

8.50%		05/01/27	^2,3		1,663,000		1,793,961

Matthews International Corp.

5.25%		12/01/25	³		512,000		504,960

Service Corp. International/U.S.

4.50%		11/15/20			2,480,000		2,490,850

4.63%		12/15/27			1,174,000		1,203,350

Waste Pro USA, Inc.

5.50%		02/15/26	³		1,610,000		1,654,275


							7,647,396


Transportation — 3.11%

American Airlines Pass-Through Trust, Series 2013-1, Class B

5.63%		01/15/21	³		3,061,272		3,138,634

Continental Airlines Pass-Through Trust, Series 2007-1, Class B

6.90%		04/19/22			851,693		887,933

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1

6.72%		01/02/23			6,658,162		7,148,655

U.S. Airways Pass-Through Trust, Series 2010-1, Class A

6.25%		04/22/23			1,208,817		1,320,343

U.S. Airways Pass-Through Trust, Series 2012-1, Class A

5.90%		10/01/24			1,982,679		2,190,999


							14,686,564


Total Corporates
(Cost $316,676,393)							322,326,134


Total Bonds – 88.02%
(Cost $410,403,696)							415,822,644


Issues			Shares		Value

COMMON STOCK — 0.93%

Electric — 0.91%

Homer City Holdings LLC^3,4,6,7				502,908		$4,274,718


Energy — 0.02%

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


Total Common Stock
(Cost $30,886,764)						4,378,741


WARRANT — 0.01%

Energy — 0.01%

Sabine Oil & Gas Holdings, Inc. Warrant Tranche 1^3,4,6,7				11,172		39,102

Sabine Oil & Gas Holdings, Inc. Warrant Tranche 2^4,6,7				2,347		7,041


						46,143


Total Warrant
(Cost $2,595,507)


Issues	Maturity Date		Principal Amount/ Shares		Value

SHORT-TERM INVESTMENTS — 13.82%

Money Market Funds — 4.92%

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

2.29%⁸				23,259,000		23,259,000


U.S. Treasury Bills — 8.90%
U.S. Treasury Bills

2.11%^9,10		09/26/19		$870,000		865,679

2.30%¹⁰		07/30/19		14,128,000		14,103,673

2.32%¹⁰		07/16/19		11,900,000		11,889,711

2.32%¹⁰		07/23/19		12,000,000		11,984,892

2.42%¹⁰		07/18/19		3,200,000		3,196,908


						42,040,863


Total Short-Term Investments
(Cost $65,294,430)						65,299,863


Total Investments – 102.78%

(Cost $509,180,397)						485,547,391


Liabilities in Excess of Other Assets – (2.78)%						(13,127,592	)


Net Assets – 100.00%						$472,419,799

¹	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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

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

⁴	Non-income producing security.

⁵	Security is currently in default with regard to scheduled interest or principal payments.

⁶	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁷	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $4,618,052, which is 0.98% of total net assets.

⁸	Represents the current yield as of June 30, 2019.

⁹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $865,676.

¹⁰	Represents annualized yield at date of purchase.

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

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

(GMTN): Global medium-term note

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value

BONDS – 98.72%

ASSET-BACKED SECURITIES — 5.76%**

Academic Loan Funding Trust, Series 2012-1A, Class A2 (LIBOR USD 1-Month plus 1.10%)

3.50%		12/27/44	^1,2	$	782,930	$	785,550

Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.80%)

3.39%		01/20/28	^1,2,3		1,315,000		1,310,724

Barings CLO Ltd., Series 2016-2A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.08%)

3.67%		07/20/28	^1,2,3		50,000		50,010

Bayview Commercial Asset Trust, Series 2004-3, Class A1 (LIBOR USD 1-Month plus 0.56%)

2.96%		01/25/35	^1,2		406,469		404,820

Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 (LIBOR USD 3-Month plus 1.20%)

3.72%		02/25/35	¹		650,000		663,495

Brazos Higher Education Authority, Inc., Series 2011-1, Class A2 (LIBOR USD 3-Month plus 0.80%)

3.32%		02/25/30	¹		32,710		32,726

Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 (LIBOR USD 3-Month plus 1.00%)

3.58%		10/27/36	¹		1,030,000		1,041,368

CIT Education Loan Trust, Series 2007-1, Class A (LIBOR USD 3-Month plus 0.09%)

2.44%		03/25/42	^1,2		275,701		263,543

Corevest American Finance Trust, Series 2019-1, Class XA (IO)

2.35%		03/15/52	^2,4		5,990,292		587,585

Dryden 71 CLO Ltd., Series 2018-71A, Class A (Cayman Islands) (LIBOR USD 3-Month plus 1.15%)
3.84%		01/15/29	^1,2,3		1,715,000		1,715,057

Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.90%)

3.50%		04/15/29	^1,2,3		1,785,000		1,774,933

Educational Funding of the South, Inc., Series 2011-1, Class A2 (LIBOR USD 3-Month plus 0.65%)

3.23%		04/25/35	¹		318,319		316,302

GCO Education Loan Funding Trust II, Series 2006-2AR, Class A1RN (LIBOR USD 1-Month plus 0.65%)


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
3.05%		08/27/46	^1,2	$	787,087	$	750,952

Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)

3.09%		07/17/29	^2,3		851,458		854,900

Higher Education Funding I, Series 2014-1, Class A (LIBOR USD 3-Month plus 1.05%)

3.57%		05/25/34	^1,2		1,190,952		1,199,519

J.G. Wentworth XXX LLC, Series 2013-3A, Class A

4.08%		01/17/73	²		462,679		489,536

J.G. Wentworth XXXII LLC, Series 2014-2A, Class A

3.61%		01/17/73	²		858,781		894,265

LCM XIX LP, Series 19A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.24%)

3.84%		07/15/27	^1,2,3		50,000		50,046

LCM XX LP, Series 20A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.04%)

3.63%		10/20/27	^1,2,3		1,700,000		1,699,832

Magnetite IX Ltd., Series 2014-9A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.00%)

3.58%		07/25/26	^1,2,3		35,400		35,429

Magnetite XVIII Ltd., Series 2016-18A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.08%)

3.60%		11/15/28	^1,2,3		50,000		49,977

Navient Student Loan Trust, Series 2014-1, Class A3 (LIBOR USD 1-Month plus 0.51%)

2.94%		06/25/31	¹		2,251,966		2,223,212

Navient Student Loan Trust, Series 2014-2, Class A (LIBOR USD 1-Month plus 0.64%)

3.07%		03/25/83	¹		73,326		72,292

Navient Student Loan Trust, Series 2014-3, Class A (LIBOR USD 1-Month plus 0.62%)

3.02%		03/25/83	¹		1,939,580		1,914,032

Navient Student Loan Trust, Series 2014-4, Class A (LIBOR USD 1-Month plus 0.62%)

3.02%		03/25/83	¹		1,803,689		1,768,494

Navient Student Loan Trust, Series 2016-2A, Class A3 (LIBOR USD 1-Month plus 1.50%)

3.90%		06/25/65	^1,2		1,640,000		1,687,823

Nelnet Student Loan Trust, Series 2011-1A, Class A (LIBOR USD 1-Month plus 0.85%)


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

3.25%		02/25/48	^1,2	$	1,066,985	$	1,074,058

Nelnet Student Loan Trust, Series 2014-4A, Class A2 (LIBOR USD 1-Month plus 0.95%)

3.35%		11/25/48	^1,2		1,370,000		1,356,738

Northstar Education Finance, Inc., Series 2007-1, Class A2 (LIBOR USD 3-Month plus 0.75%)

3.33%		01/29/46	¹		74,868		74,037

Recette CLO Ltd., Series 2015-1A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.92%)

3.51%		10/20/27	^1,2,3		1,875,000		1,874,064

SLC Student Loan Trust, Series 2004-1, Class B (LIBOR USD 3-Month plus 0.29%)

2.81%		08/15/31	¹		161,866		148,185

SLC Student Loan Trust, Series 2008-1, Class A4A (LIBOR USD 3-Month plus 1.60%)

4.01%		12/15/32	¹		361,686		370,729

SLM Student Loan Trust, Series 2004-2, Class B (LIBOR USD 3-Month plus 0.47%)

3.05%		07/25/39	¹		195,155		183,712

SLM Student Loan Trust, Series 2006-2, Class A6 (LIBOR USD 3-Month plus 0.17%)

2.75%		01/25/41	¹		92,036		88,958

SLM Student Loan Trust, Series 2006-8, Class A6 (LIBOR USD 3-Month plus 0.16%)

2.74%		01/25/41	¹		1,025,000		974,968

SLM Student Loan Trust, Series 2008-2, Class B (LIBOR USD 3-Month plus 1.20%)

3.78%		01/25/83	¹		185,000		177,153

SLM Student Loan Trust, Series 2008-3, Class B (LIBOR USD 3-Month plus 1.20%)

3.78%		04/26/83	¹		185,000		175,765

SLM Student Loan Trust, Series 2008-4, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		04/25/73	¹		185,000		187,621

SLM Student Loan Trust, Series 2008-5, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		07/25/73	¹		2,235,000		2,256,204

SLM Student Loan Trust, Series 2008-6, Class A4 (LIBOR USD 3-Month plus 1.10%)

3.68%		07/25/23	¹		2,345,213		2,347,170


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-6, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		07/26/83	¹	$	185,000	$	187,833

SLM Student Loan Trust, Series 2008-7, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		07/26/83	¹		185,000		187,859

SLM Student Loan Trust, Series 2008-8, Class B (LIBOR USD 3-Month plus 2.25%)

4.83%		10/25/75	¹		185,000		188,783

SLM Student Loan Trust, Series 2008-9, Class A (LIBOR USD 3-Month plus 1.50%)

4.08%		04/25/23	¹		896,930		907,513

SLM Student Loan Trust, Series 2008-9, Class B (LIBOR USD 3-Month plus 2.25%)

4.83%		10/25/83	¹		1,885,000		1,929,045

SLM Student Loan Trust, Series 2009-3, Class A (LIBOR USD 1-Month plus 0.75%)

3.15%		01/25/45	^1,2		3,616,227		3,566,531

SLM Student Loan Trust, Series 2011-2, Class A2 (LIBOR USD 1-Month plus 1.20%)

3.60%		10/25/34	¹		500,000		508,024

SLM Student Loan Trust, Series 2012-7, Class A3 (LIBOR USD 1-Month plus 0.65%)

3.05%		05/26/26	¹		737,877		724,913

Structured Receivables Finance LLC, Series 2010-A, Class B

7.61%		01/16/46	^2,†		541,009		632,108

Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2 (28 Day Auction Rate plus 0.00%)

1.61%		07/01/42	^1,2		600,000		566,000

TCI-Flatiron CLO Ltd., Series 2016-1, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.22%)

3.81%		07/17/28	^1,2,3		10,000		10,007

Treman Park CLO Ltd., Series 2015-1A, Class ARR (Cayman Islands) (LIBOR USD 3-Month plus 1.07%)

3.66%		10/20/28	^1,2,3		50,000		50,008


Total Asset-Backed Securities

(Cost $43,176,698)							43,384,408


Issues	Maturity Date			Principal Amount		Value

BANK LOANS — 0.75%*

Automotive — 0.03%

Panther BF Aggregator 2 LP/Panther Finance Co., Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)

5.90%		04/30/26	¹		$ 200,000	$	198,813


Communications — 0.11%

CSC Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.64%		01/15/26	¹		359,100		353,940

Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg)

6.63%		01/02/24	³		225,000		226,500

Lamar Media Corp., Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.13%		03/14/25	¹		197,500		197,994

Sprint Communications, Inc., Term Loan B, 1st Lien (LIBOR plus 2.50%)

4.94%		02/02/24	¹		54,443		53,717


							832,151


Consumer Discretionary — 0.06%

Reynolds Group Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 2.75%)

2.75%		02/06/23	¹		437,653		435,036


Energy — 0.01%

Vistra Operations Co., LLC, Term Loan B1, 1st Lien (LIBOR plus 2.00%)
4.40%		08/04/23	¹		81,775		81,770


Finance — 0.24%

Avolon TLB Borrower 1 US, LLC, Term Loan B3, 1st Lien (LIBOR plus 1.75%)

4.13%		01/15/25	¹		95,108		95,118

Delos Finance SARL, Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.08%		10/06/23	¹		1,733,447		1,733,351


							1,828,469


Gaming — 0.01%

Churchill Downs, Inc., Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.41%		12/27/24	¹		54,447		54,448


Health Care — 0.12%

Change Healthcare Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.15%		03/01/24	¹		248,057		246,570


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Health Care (continued)

Kindred at Home, Term Loan, 1st Lien (LIBOR plus 3.75%)

6.19%		07/02/25	¹	$	29,775	$	29,840

MPH Acquisition Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.08%		06/07/23	¹		641,103		614,658


							891,068


Industrials — 0.02%

TransDigm, Inc., Term Loan E, 1st Lien (LIBOR plus 2.50%)

4.83%		05/30/25	¹		198,992		194,743


Information Technology — 0.06%

Dell International LLC, Term Loan A2, 1st Lien (LIBOR plus 1.75%)

4.16%		09/07/21	¹		263,356		263,258

SS&C Technologies, Inc., Term Loan B3, 1st Lien (LIBOR plus 2.25%)

4.65%		04/16/25	¹		109,074		108,794

SS&C Technologies, Inc., Term Loan B4, 1st Lien (LIBOR plus 2.25%)

4.65%		04/16/25	¹		74,802		74,610


							446,662


Materials — 0.05%

Berry Global, Inc., Term Loan B, 1st Lien (LIBOR plus 2.50%)

2.50%		05/15/26	¹		250,000		248,594

Berry Global, Inc., Term Loan S, 1st Lien (LIBOR plus 1.75%)

4.16%		02/08/20	¹		160,714		160,700


							409,294


Real Estate Investment Trust (REIT) — 0.04%

MGM Growth Properties Operating Partnership LP, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.40%		03/21/25	¹		298,458		296,989


Total Bank Loans

(Cost $5,668,305)							5,669,443


Issues	Maturity Date			Principal Amount		Value

CORPORATES — 29.60%*

Automotive — 0.12%
General Motors Co.
4.88%		10/02/23		$	845,000	$	896,728


Banking — 3.02%
Bank of America Corp.
3.00%		12/20/23	⁴		1,871,000		1,906,387
Bank of America Corp. (GMTN)
3.59%		07/21/28	⁴		440,000		458,462
Bank of America Corp. (MTN)
3.09%		10/01/25	⁴		1,650,000		1,691,936
3.56%		04/23/27	⁴		605,000		632,065
3.97%		03/05/29	⁴		40,000		42,790
4.27%		07/23/29	⁴		920,000		1,003,080
Bank of New York Mellon Corp. (The) (MTN)
2.50%		04/15/21			1,076,000		1,081,233
2.60%		02/07/22			665,000		671,219
3.25%		09/11/24			365,000		379,513
JPMorgan Chase & Co.
3.22%		03/01/25	⁴		1,960,000		2,016,960
3.51%		06/18/22	⁴		40,000		40,889
3.51%		01/23/29	⁴		50,000		52,024
3.96%		01/29/27	⁴		50,000		53,525
4.02%		12/05/24	⁴		1,820,000		1,935,380
Lloyds Banking Group PLC (United Kingdom)
2.91%		11/07/23	^3,4		1,465,000		1,462,438
3.90%		03/12/24	³		355,000		369,907
Santander UK Group Holdings PLC (United Kingdom)
2.88%		10/16/20	³		1,065,000		1,068,428
4.80%		11/15/24	³^,⁴		50,000		53,155
Santander UK PLC (United Kingdom)
3.40%		06/01/21	³		1,650,000		1,677,957
U.S. Bancorp, Series V (MTN)
2.63%		01/24/22			95,000		96,051
Wells Fargo & Co.
3.00%		04/22/26			640,000		648,139
3.00%		10/23/26			1,810,000		1,830,391
3.07%		01/24/23			50,000		50,804
Wells Fargo & Co. (MTN)
2.63%		07/22/22			355,000		357,311
3.30%		09/09/24			3,040,000		3,144,205


							22,724,249


Commercial Services — 0.10%
RELX Capital, Inc.
4.00%		03/18/29			740,000		783,893


Communications — 2.79%
AT&T, Inc.
3.40%		05/15/25			1,980,000		2,036,104


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
3.55%		06/01/24		$	800,000	$	831,400
3.88%		01/15/26			1,530,000		1,602,037
4.10%		02/15/28			50,000		52,948
(LIBOR USD 3-Month plus 1.18%)
3.62%		06/12/24	¹		1,200,000		1,215,431
CBS Corp.
2.50%		02/15/23			40,000		39,792
CCO Holdings LLC/CCO Holdings Capital Corp.
5.38%		06/01/29	²		442,000		457,470
Charter Communications Operating LLC/Charter Communications Operating Capital
4.91%		07/23/25			1,500,000		1,631,805
Clear Channel International BV (Netherlands)
8.75%		12/15/20	^2,3		142,000		145,727
Comcast Corp.
2.75%		03/01/23			45,000		45,693
3.95%		10/15/25			1,700,000		1,835,547
CSC Holdings LLC
5.50%		05/15/26	²		350,000		367,920
6.50%		02/01/29	²		43,000		47,004
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		344,000		315,620
9.75%		07/15/25	^2,3		585,000		599,625
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	²		750,000		724,116
SES SA (Luxembourg)
3.60%		04/04/23	^2,3		1,500,000		1,516,890
Sirius XM Radio, Inc.
3.88%		08/01/22	²		219,000		220,369
Sprint Capital Corp.
8.75%		03/15/32			292,000		337,990
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		1,511,438		1,509,941
4.74%		03/20/25	²		780,000		811,200
5.15%		03/20/28	²		785,000		810,513
Time Warner Cable LLC
4.00%		09/01/21			50,000		51,336
T-Mobile USA, Inc.
4.50%		02/01/26			172,000		176,300
6.00%		03/01/23			280,000		287,000
6.50%		01/15/24			367,000		380,074
Verizon Communications, Inc.
4.33%		09/21/28			468,000		518,379
Viacom, Inc.
4.25%		09/01/23			1,000,000		1,058,180


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Vodafone Group PLC (United Kingdom)
3.75%		01/16/24	³	$	500,000	$	523,337
4.38%		05/30/28	³		780,000		843,890


							20,993,638

Consumer Discretionary — 0.79%
Anheuser-Busch InBev Worldwide, Inc.
4.75%		01/23/29			730,000		829,365
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3		740,000		792,353
BAT Capital Corp.
2.76%		08/15/22			755,000		756,430
3.56%		08/15/27			820,000		818,285
Central Garden & Pet Co.
5.13%		02/01/28			278,000		273,135
First Quality Finance Co., Inc.
5.00%		07/01/25	²		111,000		112,110
Reckitt Benckiser Treasury Services PLC
(United Kingdom)
2.75%		06/26/24	^2,3		1,595,000		1,608,233
Reynolds American, Inc.
4.45%		06/12/25			365,000		387,348
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A.
5.75%		10/15/20			339,188		340,460


							5,917,719

Electric — 1.93%
AEP Texas, Inc.
3.85%		10/01/25	²		1,150,000		1,206,667
Duke Energy Corp.
2.65%		09/01/26			30,000		29,686
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²		395,000		421,723
6.40%		09/15/20	²		1,843,000		1,922,290
Entergy Corp.
4.00%		07/15/22			955,000		992,029
Entergy Mississippi LLC
3.10%		07/01/23			1,435,000		1,466,968
Kansas City Power & Light Co.
3.65%		08/15/25			640,000		677,745
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			1,995,000		2,247,806
Metropolitan Edison Co.
4.00%		04/15/25	²		770,000		810,643
MidAmerican Energy Co.
3.10%		05/01/27			45,000		46,266
NextEra Energy Capital Holdings, Inc. (LIBOR USD 3-Month plus 0.55%)


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
3.07%		08/28/21	¹	$	1,635,000	$	1,635,194
Public Service Co. of New Mexico
3.85%		08/01/25			1,405,000		1,456,525
Southwestern Electric Power Co.
3.55%		02/15/22			955,000		978,102
Tucson Electric Power Co.
3.85%		03/15/23			595,000		611,915
Virginia Electric & Power Co., Series C
2.75%		03/15/23			50,000		50,740


							14,554,299

Energy — 2.70%
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	²		2,555,000		2,632,399
Canadian Natural Resources Ltd. (Canada)
3.85%		06/01/27	³		8,000		8,313
Centennial Resource Production LLC
6.88%		04/01/27	²		194,000		196,910
Concho Resources, Inc.
3.75%		10/01/27			30,000		31,070
Energy Transfer Operating LP
4.05%		03/15/25			2,000,000		2,086,661
5.50%		06/01/27			71,000		79,491
5.88%		01/15/24			1,000,000		1,114,690
Energy Transfer Partners LP/Regency Energy Finance Corp.
5.00%		10/01/22			235,000		249,453
Matador Resources Co.
5.88%		09/15/26			225,000		228,375
NiSource, Inc.
2.65%		11/17/22			970,000		977,036
Petroleos Mexicanos (Mexico)
2.00%		12/20/22	³		1,050,000		1,048,568
5.35%		02/12/28	³		365,000		332,113
6.50%		01/23/29	³		1,260,000		1,222,200
6.63%		06/15/35	³		1,570,000		1,458,137
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			780,000		829,631
Range Resources Corp.
4.88%		05/15/25			225,000		198,563
Rockies Express Pipeline LLC
4.95%		07/15/29	²		1,000,000		1,037,252
Ruby Pipeline LLC
6.00%		04/01/22	²		768,182		786,634
Sabine Pass Liquefaction LLC
5.75%		05/15/24			1,081,000		1,203,086
Shell International Finance BV (Netherlands)
3.25%		05/11/25	³		40,000		42,002


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

Spectra Energy Partners LP
4.75%		03/15/24		$	1,500,000	$	1,625,740

Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.88%		01/15/29	²		119,000		132,232

TC PipeLines LP
4.65%		06/15/21			2,030,000		2,097,730

USA Compression Partners LP/USA Compression Finance Corp.
6.88%		09/01/27	²		181,000		190,975

Williams Cos., Inc. (The)
3.35%		08/15/22			480,000		489,442


							20,298,703


Finance — 4.59%

AerCap Ireland Capital DAC/AerCap Global

Aviation Trust (Ireland)
4.45%		12/16/21	³		750,000		779,022

Air Lease Corp.
2.13%		01/15/20			1,170,000		1,167,347
4.75%		03/01/20			35,000		35,508

Citibank N.A. (BKNT)
2.10%		06/12/20			290,000		289,502

Daimler Finance North America LLC
3.00%		02/22/21	²		30,000		30,245

Durrah MSN 35603 (Cayman Islands)
1.68%		01/22/25	³		3,220,263		3,189,722

Ford Motor Credit Co. LLC
2.34%		11/02/20			1,095,000		1,086,804
2.43%		06/12/20			850,000		846,919
3.22%		01/09/22			500,000		500,380
3.34%		03/28/22			40,000		40,173
5.60%		01/07/22			1,330,000		1,408,437
5.88%		08/02/21			1,000,000		1,054,801

GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	³		4,185,000		4,163,376
4.42%		11/15/35	³		1,000,000		991,414

General Motors Financial Co., Inc.
2.65%		04/13/20			50,000		49,994

Goldman Sachs Group, Inc. (The)
2.63%		04/25/21			50,000		50,186
2.75%		09/15/20			1,275,000		1,280,570
3.27%		09/29/25	⁴		2,990,000		3,046,266
3.69%		06/05/28	⁴		775,000		801,700
3.75%		02/25/26			20,000		20,893
4.22%		05/01/29	⁴		355,000		380,713

Morgan Stanley (LIBOR USD 3-Month plus 0.93%)
3.52%		07/22/22	¹		1,180,000		1,187,773


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)

Nationwide Building Society (United Kingdom)
3.62%		04/26/23	^2,3,4	$	390,000	$	397,396
3.77%		03/08/24	^2,3,4		730,000		745,553

Park Aerospace Holdings Ltd. (Cayman Islands)
4.50%		03/15/23	^2,3		1,010,000		1,043,540

Raymond James Financial, Inc.
3.63%		09/15/26			250,000		257,316
5.63%		04/01/24			1,990,000		2,252,920

Safina Ltd. (Cayman Islands)
2.00%		12/30/23	³		5,530,956		5,517,405

Sandalwood 2013 LLC
2.90%		07/10/25			1,868,416		1,912,604


							34,528,479


Food — 0.96%

Campbell Soup Co.
3.30%		03/15/21			30,000		30,379

(LIBOR USD 3-Month plus 0.50%)
2.91%		03/16/20	¹		1,000,000		1,000,864

Conagra Brands, Inc.
4.60%		11/01/25			1,400,000		1,525,239

Kraft Heinz Foods Co.
3.00%		06/01/26			660,000		642,813
3.95%		07/15/25			1,265,000		1,317,691
4.63%		01/30/29			30,000		32,307

Kroger Co. (The)
4.50%		01/15/29			730,000		796,006

Post Holdings, Inc.
5.75%		03/01/27	²		335,000		347,563

Tyson Foods, Inc.
4.00%		03/01/26			1,460,000		1,556,136


							7,248,998


Gaming — 0.06%

Churchill Downs, Inc.
5.50%		04/01/27	²		446,000		467,185

Health Care — 4.42%

AbbVie, Inc.
3.60%		05/14/25			1,777,000		1,837,446

Aetna, Inc.
2.80%		06/15/23			50,000		50,217
3.50%		11/15/24			1,250,000		1,289,333

Allergan Funding SCS (Luxembourg)
3.85%		06/15/24	³		1,342,000		1,393,996

Allergan Sales LLC
5.00%		12/15/21	²		500,000		524,941


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

Amgen, Inc.

3.63%		05/15/22		$	50,000	$	51,599

Anthem, Inc.

3.13%		05/15/22			1,995,000		2,032,229

Bausch Health Cos., Inc. (Canada)

5.75%		08/15/27	^2,3		294,000		309,723

Baxalta, Inc.

2.88%		06/23/20			325,000		326,034

Bayer U.S. Finance II LLC

4.25%		12/15/25	²		50,000		52,946

4.38%		12/15/28	²		1,500,000		1,585,651

Bayer U.S. Finance LLC

3.38%		10/08/24	²		1,020,000		1,030,906

Baylor Scott & White Holdings

2.65%		11/15/26			1,530,000		1,499,267

Becton Dickinson and Co.

2.89%		06/06/22			820,000		834,243

3.25%		11/12/20			30,000		30,240

3.73%		12/15/24			1,300,000		1,364,526

Celgene Corp.

3.45%		11/15/27			500,000		521,673

3.88%		08/15/25			1,625,000		1,742,474

CHS/Community Health Systems, Inc.

8.00%		03/15/26	²		152,000		147,060

8.63%		01/15/24	²		90,000		90,787

Cigna Corp.

4.13%		11/15/25	²		1,330,000		1,417,498

Cigna Holding Co.

3.05%		10/15/27			1,315,000		1,301,267

CVS Health Corp.

2.88%		06/01/26			50,000		49,070

3.70%		03/09/23			20,000		20,697

4.00%		12/05/23			2,030,000		2,134,001

4.30%		03/25/28			1,750,000		1,846,912

5.05%		03/25/48			30,000		32,003

Elanco Animal Health, Inc.

3.91%		08/27/21	²		1,000,000		1,022,033
Eli Lilly & Co.

2.75%		06/01/25			350,000		357,341

Fresenius Medical Care U.S. Finance II, Inc.

5.63%		07/31/19	²		1,141,000		1,143,155

Gilead Sciences, Inc.

3.50%		02/01/25			1,430,000		1,501,484

HCA, Inc.

4.13%		06/15/29			1,145,000		1,183,644

5.25%		04/15/25			206,000		228,526

6.50%		02/15/20			695,000		712,989

Hologic, Inc.

4.63%		02/01/28	²		60,000		60,975


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

Humana, Inc.

3.95%		03/15/27		$	885,000	$	923,507

Shire Acquisitions Investments Ireland DAC (Ireland)

1.90%		09/23/19	³		450,000		449,328

Tenet Healthcare Corp.

4.38%		10/01/21			75,000		76,313

4.50%		04/01/21			789,000		804,780

UnitedHealth Group, Inc.

3.75%		07/15/25			855,000		913,924

WellCare Health Plans, Inc.

5.38%		08/15/26	²		350,000		372,750


							33,267,488


Industrials — 2.77%

Amcor Finance USA, Inc.

3.63%		04/28/26	²		1,950,000		1,988,002

4.50%		05/15/28	²		30,000		32,044

BAE Systems Holdings, Inc.

3.80%		10/07/24	²		630,000		658,452

Clean Harbors, Inc.

5.13%		06/01/21			380,000		381,136
Crane Co.

4.45%		12/15/23			1,130,000		1,200,639

General Electric Co. (GMTN)

2.20%		01/09/20			850,000		847,823

4.63%		01/07/21			1,080,000		1,111,231

General Electric Co. (MTN)

4.38%		09/16/20			125,000		127,837

5.55%		05/04/20			1,000,000		1,025,549

5.55%		01/05/26			1,090,000		1,209,267

(LIBOR USD 3-Month plus 0.48%)

3.00%		08/15/36	¹		1,115,000		833,878

General Electric Co., Series A (MTN)

6.75%		03/15/32			1,020,000		1,257,676

L3 Technologies, Inc.

3.85%		06/15/23			1,290,000		1,349,208

Northrop Grumman Corp.

2.93%		01/15/25			2,510,000		2,558,198

3.20%		02/01/27			985,000		1,011,580

Packaging Corp. of America

2.45%		12/15/20			1,450,000		1,450,976
Sealed Air Corp.

5.50%		09/15/25	²		600,000		640,500

Siemens Financieringsmaatschappij NV (Netherlands)

2.00%		09/15/23	^2,3		1,275,000		1,261,826

Sydney Airport Finance Co. Pty Ltd. (Australia)

3.38%		04/30/25	^2,3		410,000		420,104


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)

United Technologies Corp.

3.35%		08/16/21			$635,000	$	649,207

WRKCo, Inc.

4.65%		03/15/26			730,000		794,672


							20,809,805

Information Technology — 0.34%

Analog Devices, Inc.

2.85%		03/12/20			30,000		30,093

Apple, Inc.

3.25%		02/23/26			20,000		20,913

Broadcom Corp./Broadcom Cayman Finance Ltd.

2.38%		01/15/20			1,785,000		1,780,800

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.

5.75%		03/01/25	²		257,000		261,497

IQVIA, Inc.

5.00%		05/15/27	²		224,000		231,000

Oracle Corp.

2.40%		09/15/23			40,000		40,083

SS&C Technologies, Inc.

5.50%		09/30/27	²		216,000		224,505


							2,588,891

Insurance — 0.43%

Berkshire Hathaway, Inc.

3.13%		03/15/26			55,000		56,984

Nationwide Mutual Insurance Co.

4.70%		12/15/24	^2,4		1,212,000		1,207,455

New York Life Global Funding

3.00%		01/10/28	²		50,000		51,180

Pricoa Global Funding I

2.55%		11/24/20	²		1,945,000		1,950,498


							3,266,117

Materials — 0.12%

International Flavors & Fragrances, Inc.

4.45%		09/26/28			800,000		874,957


Real Estate Investment Trust (REIT) — 2.83%

Alexandria Real Estate Equities, Inc.

4.60%		04/01/22			1,275,000		1,350,591

American Campus Communities Operating Partnership LP

3.35%		10/01/20			2,340,000		2,361,629

3.75%		04/15/23			50,000		51,782

Boston Properties LP

2.75%		10/01/26			1,300,000		1,280,871


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)

CC Holdings GS V LLC/Crown Castle GS III Corp.

3.85%		04/15/23			$230,000	$	240,928

GLP Capital LP/GLP Financing II, Inc.

5.25%		06/01/25			525,000		563,063

5.38%		11/01/23			30,000		32,425

5.38%		04/15/26			1,373,000		1,488,263

5.75%		06/01/28			325,000		359,359
HCP, Inc.

4.00%		12/01/22			2,145,000		2,250,156

4.25%		11/15/23			1,275,000		1,352,577

Healthcare Realty Trust, Inc.

3.75%		04/15/23			25,000		25,583

Healthcare Trust of America Holdings LP

3.70%		04/15/23			920,000		941,151

Liberty Property LP

4.75%		10/01/20			50,000		51,142

Piedmont Operating Partnership LP

3.40%		06/01/23			1,210,000		1,214,564

Public Storage

2.37%		09/15/22			50,000		50,316

Reckson Operating Partnership LP

7.75%		03/15/20			505,000		522,821

SL Green Operating Partnership LP

3.25%		10/15/22			1,350,000		1,369,312

(LIBOR USD 3-Month plus 0.98%)

3.50%		08/16/21	¹		1,000,000		1,000,379

UDR, Inc.

3.70%		10/01/20			2,000,000		2,027,978

Ventas Realty LP

3.25%		10/15/26			1,155,000		1,161,313

Ventas Realty LP/Ventas Capital Corp.

3.25%		08/15/22			40,000		40,969

Welltower, Inc.

3.75%		03/15/23			640,000		666,971

5.25%		01/15/22			820,000		872,350


							21,276,493

Retail — 0.22%

Alimentation Couche-Tard, Inc. (Canada)

2.70%		07/26/22	^2,3		10,000		10,023

3.55%		07/26/27	^2,3		640,000		652,409

eG Global Finance PLC (United Kingdom)

6.75%		02/07/25	^2,3		382,000		379,975

Rite Aid Corp.

6.13%		04/01/23	²		681,000		577,147

Walgreens Boots Alliance, Inc.

3.80%		11/18/24			65,000		67,630


							1,687,184


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Services — 0.22%

IHS Markit Ltd. (Bermuda)

4.13%		08/01/23	³	$	1,245,000	$	1,295,858

4.75%		02/15/25	^2,3		300,000		322,530


							1,618,388

Transportation — 1.03%

American Airlines Pass-Through Trust, Series 2013-2, Class A

4.95%		01/15/23			398,277		416,937

Continental Airlines Pass-Through Trust, Series 1999-2, Class A

7.26%		03/15/20			14,087		14,236

Continental Airlines Pass-Through Trust, Series 2007-1, Class A

5.98%		04/19/22			1,754,884		1,863,248

Continental Airlines Pass-Through Trust, Series 2009-2, Class A

7.25%		11/10/19			1,682,289		1,703,317

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1

6.72%		01/02/23			567,370		609,167

Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1

7.04%		04/01/22			876,862		929,649

U.S. Airways Pass-Through Trust, Series 2001-1, Class G

7.08%		03/20/21			114,926		120,660

U.S. Airways Pass-Through Trust, Series 2011-1, Class A

7.13%		10/22/23			571,523		644,856

U.S. Airways Pass-Through Trust, Series 2012-1, Class A

5.90%		10/01/24			387,242		427,929

U.S. Airways Pass-Through Trust, Series 2012-2, Class A

4.63%		06/03/25			332,785		358,357

Union Pacific Corp.

3.95%		09/10/28			640,000		698,746


							7,787,102


Water — 0.16%

American Water Capital Corp.

3.45%		06/01/29			1,128,000		1,173,960


Total Corporates (Cost $215,696,196)							222,764,276


MORTGAGE-BACKED — 16.03%**

Non-Agency Commercial Mortgage-Backed — 2.23%

Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A

4.23%		08/10/38	^2,4		1,095,000		1,212,649


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

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

3.96%		03/10/39	²	$	805,000	$	886,372

Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)

1.94%		09/10/45	^2,4		5,875,788		266,412

Commercial Mortgage Trust, Series 2013-300P, Class A1

4.35%		08/10/30	²		1,160,000		1,242,864

Commercial Mortgage Trust, Series 2013-CR8, Class XA (IO)

0.55%		06/10/46	⁴		43,800,676		607,767

Commercial Mortgage Trust, Series 2014-277P, Class A

3.73%		08/10/49	^2,4		1,265,000		1,343,677

Commercial Mortgage Trust, Series 2014-CR16, Class XA (IO)

1.15%		04/10/47	⁴		22,988,902		917,076

Commercial Mortgage Trust, Series 2014-CR18, Class XA (IO)

1.17%		07/15/47	⁴		18,311,034		734,467

Commercial Mortgage Trust, Series 2015-CR25, Class XA (IO)

1.05%		08/10/48	⁴		17,100,217		717,773

Commercial Mortgage Trust, Series 2016-787S, Class A

3.55%		02/10/36	²		1,225,000		1,292,659

Hudson Yards Mortgage Trust, Series 2019-30HY, Class A

3.23%		07/10/39	²		760,000		782,444
JPMBB Commercial Mortgage Securities Trust, Series 2015-C29, Class XA (IO)

0.91%		05/15/48	⁴		39,902,513		1,076,881

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class XA (IO)

1.11%		12/15/46	⁴		14,734,805		512,633

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-OSB, Class A

3.40%		06/05/39	²		740,000		779,639

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class XA (IO)

1.06%		03/15/48	⁴		37,372,946		1,506,496

RBS Commercial Funding, Inc., Trust, Series 2013-GSP, Class A

3.96%		01/15/32	^2,4		1,170,000		1,239,188

UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class XA (IO)

1.47%		05/10/63	^2,4		38,431,740		1,295,757


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1

3.35%		11/15/43	²		$350,645	$	351,503


							16,766,257


Non-Agency Mortgage-Backed — 5.11%

ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1 (LIBOR USD 1-Month)

2.84%		12/25/35	¹		303,634		303,423

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 (LIBOR USD 1-Month)

3.36%		09/25/34	¹		358,035		359,135

Amresco Residential Securities Corp. Mortgage Loan Trust, Series 1998-1, Class A5 (STEP-reset date 08/25/19)

7.12%		10/25/27			25,547		26,003

Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1 (LIBOR USD 1-Month)

3.38%		12/25/34	¹		508,658		507,535

Banc of America Funding Trust, Series 2003-2, Class 1A1

6.50%		06/25/32			6,455		6,857

Banc of America Funding Trust, Series 2015-R2, Class 9A1 (LIBOR USD 1-Month)

2.62%		03/27/36	^1,2		836,995		835,737

Bear Stearns ALT-A Trust, Series 2004-12, Class 1M1 (LIBOR USD 1-Month)

3.33%		01/25/35	¹		2,487,996		2,538,406

Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, Series 2005-2A, Class A1 (LIBOR USD 1-Month)

2.58%		05/25/36	^1,2		77,986		78,391

Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41

4.18%		02/25/34	⁴		27,714		27,268

Conseco Finance Corp., Series 1996-7, Class M1

7.70%		09/15/26	⁴		205,843		218,833

Conseco Finance Corp., Series 1998-4, Class A5

6.18%		04/01/30			119,689		122,444

Conseco Finance Corp., Series 1998-6, Class A8

6.66%		06/01/30	⁴		195,342		203,268


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF2

8.00%		06/15/32	^2,4		$ 113,906	$	117,441

Conseco Finance Securitizations Corp., Series 2001-4, Class A4

7.36%		08/01/32	⁴		28,111		28,269

CountryPlace Manufactured Housing Contract Trust, Series 2007-1, Class A4

5.85%		07/15/37	^2,4		496,672		504,197

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1

3.80%		08/25/34	⁴		88,037		86,574

Credit Suisse Mortgage Capital, Series 2014-4R, Class 16A1 (LIBOR USD 1-Month)

2.63%		02/27/36	^1,2		55,838		56,068

Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP-reset date 08/25/19)

3.38%		12/25/32			753,662		767,823

Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP-reset date 08/25/19)

3.43%		12/25/36			469,548		423,674

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 (LIBOR USD 1-Month)

2.46%		04/25/37	¹		143,870		110,493

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A3 (LIBOR USD 1-Month)

2.65%		04/25/37	¹		1,709,554		1,347,224

First Franklin Mortgage Loan Trust, Series 2005-FFH4, Class M1 (LIBOR USD 1-Month)

2.88%		12/25/35	¹		3,792,756		3,789,317

First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1

4.38%		09/25/34	⁴		158,901		159,082

GSR Mortgage Loan Trust, Series 2004-9, Class 5A7

4.18%		08/25/34	⁴		64,459		65,237

HarborView Mortgage Loan Trust, Series 2007-7, Class 2A1A (LIBOR USD 1-Month)

3.40%		10/25/37	¹		2,980,574		2,983,873

HomeBanc Mortgage Trust, Series 2005-4, Class A1 (LIBOR USD 1-Month)

2.67%		10/25/35	¹		65,347		66,017


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

HSI Asset Securitization Corp. Trust, Series 2005-OPT1, Class M1 (LIBOR USD 1-Month)

3.03%		11/25/35	¹		$507,233	$	507,773

HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 1A (LIBOR USD 1-Month)

2.62%		12/25/35	¹		543,828		540,378

IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A2 (LIBOR USD 1-Month)

3.26%		09/25/34	¹		12,645		11,664

IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A (LIBOR USD 1-Month)

3.20%		11/25/34	¹		38,348		36,963

IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1

3.34%		06/25/37	⁴		839,714		716,768

IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A3

6.61%		02/25/28			116,295		117,763

IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A4

6.75%		02/25/28			30,959		31,406

IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4

6.49%		09/25/28			108,639		111,724

JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M2 (LIBOR USD 1-Month)

2.69%		07/25/36	¹		450,000		444,659

JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2

4.15%		05/25/37	⁴		215,558		213,138

MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2

4.26%		01/25/34	⁴		80,366		81,257

MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1

5.12%		01/25/34	⁴		580		580

MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1

3.63%		06/25/34	⁴		1,826		1,791

MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1

4.62%		10/25/32	⁴		10,554		10,929


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1

4.58%		10/25/32	⁴	$	24,458	$	25,303

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C (LIBOR USD 1-Month)

2.58%		06/25/37	¹		472,970		373,823

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D (LIBOR USD 1-Month)

2.65%		06/25/37	¹		874,037		727,347

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

6.01%		08/15/37			310,335		337,140

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

8.90%		08/15/37			425,950		485,492

Mid-State Capital Corp., Series 2004-1, Class M1

6.50%		08/15/37			304,250		321,498

Mid-State Capital Corp., Series 2005-1, Class M2

7.08%		01/15/40			507,451		577,594

Mid-State Trust XI, Series 2011, Class A1

4.86%		07/15/38			690,123		742,670

Morgan Stanley ABS Capital I Trust, Series 2004-NC7, Class M2 (LIBOR USD 1-Month)

3.33%		07/25/34	¹		336,294		338,364

Morgan Stanley ABS Capital I Trust, Series 2006-NC1, Class A4 (LIBOR USD 1-Month)

2.70%		12/25/35	¹		859,149		857,713

New Century Home Equity Loan Trust, Series 2005-D, Class A1 (LIBOR USD 1-Month)

2.62%		02/25/36	¹		3,609,316		3,571,138

New York Mortgage Trust, Series 2005-3, Class A1 (LIBOR USD 1-Month)

2.88%		02/25/36	¹		1,126,696		1,129,693

Nomura Resecuritization Trust, Series 2014-7R, Class 2A3 (LIBOR USD 1-Month)

2.63%		12/26/35	^1,2		2,452,233		2,441,219

Option One Mortgage Loan Trust, Series 2005-2, Class M1 (LIBOR USD 1-Month)

3.06%		05/25/35	¹		176,291		177,073


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Asset Mortgage Product Trust, Series 2003-SL1, Class A41

8.00%		04/25/31		$	30,920	$	34,310

Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A7

7.00%		11/25/31			13,795		15,026

Residential Asset Mortgage Products Trust, Series 2006-NC1, Class A3 (LIBOR USD 1-Month)

2.70%		01/25/36	¹		2,872,300		2,818,053

Residential Asset Securities Corp., Series 2005-AHL3, Class A3 (LIBOR USD 1-Month)

2.74%		11/25/35	¹		72,886		71,713

Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1

4.55%		12/25/34	⁴		22,325		22,570

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A

4.49%		10/25/34	⁴		1,073,367		1,032,152

Structured Asset Mortgage Investments II Trust, Series 2005-AR1, Class A1 (LIBOR USD 1-Month)

2.87%		04/19/35	¹		758,536		752,937

Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 (Federal Reserve US 12-Month Cumulative Average)

3.73%		02/25/36	¹		588,604		585,926

Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1

3.99%		05/25/36	⁴		2,137,946		1,442,726

UCFC Home Equity Loan, Series 1998-D, Class MF1

6.91%		04/15/30			7,927		8,048

WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A

4.74%		01/25/33	⁴		5,668		5,924

WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A3 (LIBOR USD 1-Month)

3.18%		10/25/45	¹		1,059,123		1,046,778


							38,501,612


U.S. Agency Commercial Mortgage-Backed — 1.92%

Fannie Mae-Aces, Series 2015-M4, Class X2 (IO)

0.48%		07/25/22	⁴		94,200,832		820,923


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K012, Class X3 (IO)

2.33%		01/25/41	⁴	$	18,028,222	$	599,934

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class A2

2.40%		06/25/22			105,000		105,940

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K025, Class X3 (IO)

1.81%		11/25/40	⁴		15,975,000		891,471

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K031, Class X1 (IO)

0.34%		04/25/23	⁴		99,310,796		785,762

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K035, Class X3 (IO)

1.85%		12/25/41	⁴		18,000,000		1,251,000

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K037, Class X3 (IO)

2.28%		01/25/42	⁴		13,274,876		1,182,406

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K045, Class X1 (IO)

0.57%		01/25/25	⁴		35,329,776		772,528

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K047, Class X1 (IO)

0.26%		05/25/25	⁴		145,945,990		1,221,772

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K056, Class XAM (IO)

1.29%		05/25/26	⁴		9,400,000		682,628

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K072, Class A2

3.44%		12/25/27			50,000		53,829

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K084, Class A2

3.78%		10/25/28	⁴		1,920,000		2,120,375

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K158, Class A3

3.90%		10/25/33	⁴		1,250,000		1,403,223

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X3 (IO)

1.85%		01/25/42	⁴		30,000,000		712,893


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K728, Class X3 (IO)

2.02%		11/25/45	⁴	$	10,000,000	$	930,900

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X (IO)

0.78%		09/25/25	⁴		25,000,000		917,100


							14,452,684

U.S. Agency Mortgage-Backed — 6.77%

Fannie Mae Pool (TBA)

3.00%		07/01/34			165,000		168,256
5.00%		07/01/49			1,700,000		1,796,820

Fannie Mae Pool 253974

7.00%		08/01/31			1,575		1,711

Fannie Mae Pool 254232

6.50%		03/01/22			2,090		2,177

Fannie Mae Pool 527247

7.00%		09/01/26			21		23

Fannie Mae Pool 545191

7.00%		09/01/31			959		1,065

Fannie Mae Pool 545646

7.00%		09/01/26			14		15

Fannie Mae Pool 549740

6.50%		10/01/27			4,746		5,267

Fannie Mae Pool 606108

7.00%		03/01/31			408		410

Fannie Mae Pool 630599

7.00%		05/01/32			4,453		5,073

Fannie Mae Pool 655928

7.00%		08/01/32			2,917		3,469

Fannie Mae Pool 735207

7.00%		04/01/34			1,180		1,366

Fannie Mae Pool 735646

4.50%		07/01/20			152		155

Fannie Mae Pool 735686

6.50%		12/01/22			701		727

Fannie Mae Pool 735861

6.50%		09/01/33			76,865		84,985

Fannie Mae Pool 764388

(LIBOR USD 6-Month)

4.19%		03/01/34	¹		27,119		28,526

Fannie Mae Pool 776708

5.00%		05/01/34			120,792		132,129

Fannie Mae Pool 817611

(LIBOR USD 6-Month)

4.20%		11/01/35	¹		6,590		6,968


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)

Fannie Mae Pool 844773

(LIBOR USD 12-Month)

4.55%		12/01/35	¹	$	9,031	$	9,412

Fannie Mae Pool 889125

5.00%		12/01/21			6,224		6,260

Fannie Mae Pool 889184

5.50%		09/01/36			103,224		114,720

Fannie Mae Pool 890221

5.50%		12/01/33			156,726		170,520

Fannie Mae Pool 918445

(LIBOR USD 12-Month)

4.57%		05/01/37	¹		527		552

Fannie Mae Pool 939419

(LIBOR USD 12-Month)

4.14%		05/01/37	¹		23,325		24,520

Fannie Mae Pool AL0209

4.50%		05/01/41			400,635		437,807

Fannie Mae Pool AL6829

2.96%		05/01/27			55,897		58,174

Fannie Mae Pool AM6501

3.32%		08/01/26			2,000,000		2,129,167

Fannie Mae Pool AM7357

3.38%		12/01/29			2,318,784		2,466,611

Fannie Mae Pool AM7901

3.36%		02/01/30			32,545		34,685

Fannie Mae Pool AM8188

2.64%		03/01/27			32,145		32,771

Fannie Mae Pool AM8645

2.69%		05/01/27			101,052		103,105

Fannie Mae Pool AN0556

3.46%		12/01/30			2,373,777		2,537,052

Fannie Mae Pool AN1492

3.07%		05/01/31			42,849		44,420

Fannie Mae Pool AN2786

2.76%		09/01/36			50,000		49,593

Fannie Mae Pool AN2812

2.56%		10/01/28			65,000		65,352

Fannie Mae Pool AN5529

3.02%		06/01/28			38,817		40,309

Fannie Mae Pool AN9572

3.77%		07/01/30			60,000		66,417

Fannie Mae Pool AN9612

3.72%		07/01/33			60,000		66,506

Fannie Mae Pool BL0242

3.82%		11/01/30			1,950,000		2,170,097

Fannie Mae Pool BL0661

3.99%		11/01/33			3,546,778		3,937,920


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae Pool BL0844

3.87%		02/01/29		$	105,000	$	117,366

Fannie Mae Pool CA1710

4.50%		05/01/48			43,357		45,605

Fannie Mae Pool CA1711

4.50%		05/01/48			3,051,956		3,210,191

Fannie Mae Pool CA2208

4.50%		08/01/48			44,558		46,733

Fannie Mae Pool FN0039

3.20%		09/01/27			43,311		45,750

Fannie Mae Pool MA1527

3.00%		08/01/33			31,286		31,948

Fannie Mae Pool MA1561

3.00%		09/01/33			1,729,470		1,766,053

Fannie Mae Pool MA1608

3.50%		10/01/33			1,582,149		1,642,997

Fannie Mae Pool MA3427

4.00%		07/01/33			42,249		44,088

Fannie Mae Pool MA3537

4.50%		12/01/48			4,511,045		4,716,487

Fannie Mae REMICS, Series 1992-116, Class B

6.50%		06/25/22			2		2

Fannie Mae REMICS, Series 1993-80, Class S

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

7.94%		05/25/23	¹		2,395		2,642

Fannie Mae REMICS, Series 2001-52, Class YZ

6.50%		10/25/31			146,019		167,064

Fannie Mae REMICS, Series 2003-124, Class TS

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

9.80%		01/25/34	¹		5,335		6,261

Fannie Mae REMICS, Series 2007-64, Class FA

(LIBOR USD 1-Month)

2.87%		07/25/37	¹		74,405		74,674

Fannie Mae REMICS, Series 2008-50, Class SA (IO)

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

3.65%		11/25/36	¹		1,201,800		188,479

Fannie Mae REMICS, Series 2018-38, Class PA

3.50%		06/25/47			22,233		22,792

Fannie Mae REMICS, Series 2018-55, Class PA

3.50%		01/25/47			219,923		226,444


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae REMICS, Series 2018-86, Class JA

4.00%		05/25/47			$ 1,441,332		$1,518,345

Fannie Mae Trust, Series 2003-W6, Class 5T (IO)

(-1.00 X LIBOR USD 1-Month plus 8.15%, 0.55% Cap)

0.55%		09/25/42	¹		10,859,913		173,480

Freddie Mac Gold Pool A25162

5.50%		05/01/34			125,583		139,601

Freddie Mac Gold Pool A33262

5.50%		02/01/35			39,512		44,196
Freddie Mac Gold Pool A68781

5.50%		10/01/37			8,554		9,324

Freddie Mac Gold Pool C03813

3.50%		04/01/42			1,089,400		1,126,547

Freddie Mac Gold Pool C90504

6.50%		12/01/21			232		239

Freddie Mac Gold Pool G01548

7.50%		07/01/32			258,629		312,848

Freddie Mac Gold Pool G01644

5.50%		02/01/34			82,100		91,294

Freddie Mac Gold Pool G02366

6.50%		10/01/36			58,143		67,080

Freddie Mac Gold Pool G08844

5.00%		10/01/48			996,097		1,053,951

Freddie Mac Gold Pool G11707

6.00%		03/01/20			14		14

Freddie Mac Gold Pool G12393

5.50%		10/01/21			25,830		26,320

Freddie Mac Gold Pool G12909

6.00%		11/01/22			60,044		62,632

Freddie Mac Gold Pool G13032

6.00%		09/01/22			26,954		27,722

Freddie Mac Gold Pool G15897

2.50%		09/01/31			41,754		42,175

Freddie Mac Gold Pool G16085

2.50%		02/01/32			2,459,512		2,483,123

Freddie Mac Gold Pool G16524

3.50%		05/01/33			119,246		124,099

Freddie Mac Gold Pool G16756

3.50%		01/01/34			2,842,468		2,960,262

Freddie Mac Gold Pool G18581

2.50%		01/01/31			50,050		50,495

Freddie Mac Gold Pool G18713

3.50%		11/01/33			98,902		102,275

Freddie Mac Gold Pool J06246

5.50%		10/01/21			9,366		9,514


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac REMICS, Series 1602, Class SN

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

10.09%		10/15/23	¹	$	12,392	$	13,360

Freddie Mac REMICS, Series 2174, Class PN

6.00%		07/15/29			31,527		34,628

Freddie Mac REMICS, Series 2642, Class BW (IO)

5.00%		06/15/23			1,103		8

Freddie Mac REMICS, Series 3460, Class SA (IO)

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

3.81%		06/15/38	¹		1,180,899		205,788

Freddie Mac REMICS, Series 4030, Class HS (IO)

(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)

4.22%		04/15/42	¹		1,065,248		199,428

Ginnie Mae I Pool 782810

4.50%		11/15/39			845,880		911,326

Ginnie Mae II Pool (TBA)

4.50%		07/20/49			410,000		427,421

Ginnie Mae II Pool 80968

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year)

3.75%		07/20/34	¹		23,096		23,893

Ginnie Mae II Pool MA4454

5.00%		05/20/47			53,087		56,515

Ginnie Mae II Pool MA4511

4.00%		06/20/47			17,485		18,247

Ginnie Mae II Pool MA4588

4.50%		07/20/47			593,123		623,729

Ginnie Mae II Pool MA4589

5.00%		07/20/47			2,959,041		3,153,826

Ginnie Mae II Pool MA4838

4.00%		11/20/47			1,633,396		1,703,172

Ginnie Mae II Pool MA4901

4.00%		12/20/47			1,365,155		1,422,861

Ginnie Mae II Pool MA5399

4.50%		08/20/48			2,373,898		2,480,815

Ginnie Mae II Pool MA5530

5.00%		10/20/48			35,101		36,736


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Ginnie Mae, Series 2004-8, Class SE

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

9.50%		11/26/23	¹	$	20,995	$	23,517


							50,921,494


Total Mortgage-Backed

(Cost $117,870,399)							120,642,047


MUNICIPAL BONDS — 0.67%*

California — 0.40%

Los Angeles Department of Water & Power, Taxable Bonds, Series C

5.52%		07/01/27			50,000		60,708

Metropolitan Water District of Southern
California

6.54%		07/01/39			35,000		35,000

State of California, Build America Bonds

7.95%		03/01/36			2,800,000		2,905,588


							3,001,296


Florida — 0.00%

Florida’s Turnpike Enterprise

6.80%		07/01/39			30,000		30,000


NewYork — 0.25%

Metropolitan Transportation Authority

6.55%		11/15/31			25,000		32,547

New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds,
Subseries SU

3.88%		08/01/31			35,000		37,817

New York City Transitional Finance Authority
Revenue, Future Tax Secured Revenue,
Qualified School Construction Bonds,
Series G-3

5.27%		05/01/27			1,465,000		1,734,194

New York State Dormitory Authority,
Build America Bonds

5.50%		03/15/30			70,000		83,277


							1,887,835


Pennsylvania — 0.01%
Pennsylvania Economic Development
Financing Authority, Taxable Bonds, Series B

3.20%		11/15/27			40,000		41,410


Washington — 0.01%

State of Washington, Build America Bonds

5.04%		08/01/31			40,000		47,134


Total Municipal Bonds

(Cost $4,917,410)							5,007,675


Issues	Maturity Date			Principal Amount		Value

U.S. AGENCY SECURITIES — 0.03%

U.S. Agency Securities — 0.03%

Resolution Funding Corp. Strip Principal. (PO)

0.00%		01/15/21	⁵	$	230,000	$	223,116


Total U.S. Agency Securities (Cost $221,773)							223,116


U.S. TREASURY SECURITIES — 45.88%

U.S. Treasury Notes — 45.88%

U.S. Treasury Notes

1.63%		06/30/21			12,055,000		12,027,628

1.75%		06/30/24			98,200,000		98,181,008

2.00%		05/31/24			76,710,000		77,619,433

2.13%		05/31/21			67,485,000		67,955,317

2.13%		05/31/26			830,000		843,958

2.25%		04/30/21			43,890,000		44,262,893

2.25%		04/15/22			5,840,000		5,922,923

U.S. Treasury Notes - Treasury Inflation Indexed Notes

0.13%		07/15/24	⁶		247,535		247,202

0.38%		07/15/25	⁶		1,681,072		1,700,193

0.50%		04/15/24	⁶		1,808,633		1,831,673

U.S. Treasury Notes (WI)

2.38%		05/15/29			33,545,000		34,674,282


Total U.S. Treasury Securities (Cost $343,270,004)							345,266,510


Total Bonds – 98.72% (Cost $730,820,785)							742,957,475



Issues				Shares		Value

COMMON STOCK — 0.01%

Electric — 0.01%

Homer City Holdings
LLC^2,7,8,9					8,014		68,119


Total Common Stock (Cost $457,400)


Issues	Maturity Date		Principal Amount/ Shares		Value

SHORT-TERM INVESTMENTS — 17.14%

Money Market Funds — 15.13%

Dreyfus Government Cash Management Fund

2.26%¹⁰				37,951,000	$	37,951,000

Fidelity Investments Money Market Funds - Government Portfolio

2.27%^10,11				18		18

JPMorgan U.S. Government Money Market Fund

2.25%¹⁰				38,151,000		38,151,000

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

2.29%¹⁰				37,730,000		37,730,000


						113,832,018


U.S. Treasury Bills — 2.01%

U.S. Treasury Bills

2.11%^12,13		09/26/19	$	1,159,000		1,153,244

2.32%¹²		07/23/19		6,000,000		5,992,446

2.33%¹²		07/16/19		8,000,000		7,993,083


						15,138,773


Total Short-Term Investments

(Cost $128,968,904)						128,970,791


Total Investments – 115.87%

(Cost $860,247,089)						871,996,385


Liabilities in Excess of Other

Assets – (15.87)%						(119,450,524	)


Net Assets – 100.00%					$	752,545,861

¹	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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

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

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

⁵	Zero coupon bond. The rate shown is the effective yield as of June 30, 2019.

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

⁷	Non-income producing security.

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

⁹	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $68,119, which is 0.01% of total net assets.

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

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

¹²	Represents annualized yield at date of purchase.

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 97.76%

ASSET-BACKED SECURITIES — 11.00%^**

CarMax Auto Owner Trust, Series 2016-2,

Class B

2.16%

12/15/21

$30,000

29,963

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

3.05%

08/27/46

^1,2

72,495

69,167

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

41,434

43,839

Navient Student Loan Trust, Series 2014-2,

Class A

(LIBOR USD 1-Month plus 0.64%)

3.07%

03/25/83

85,547

84,340

SLC Student Loan Trust, Series 2006-1,

Class A6

(LIBOR USD 3-Month plus 0.16%)

2.57%

03/15/55

60,000

56,745

SLM Student Loan Trust, Series 2008-2,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.78%

01/25/83

20,000

19,152

SLM Student Loan Trust, Series 2008-3,

Class B

(LIBOR USD 3-Month plus 1.20%)

3.78%

04/26/83

20,000

19,002

SLM Student Loan Trust, Series 2008-5,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.43%

07/25/73

35,000

35,332

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

3.68%

07/25/23

40,021

40,054

SLM Student Loan Trust, Series 2008-6,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.43%

07/26/83

20,000

20,306

SLM Student Loan Trust, Series 2008-7,

Class B

(LIBOR USD 3-Month plus 1.85%)

4.43%

07/26/83

20,000

20,309

SLM Student Loan Trust, Series 2008-8,

Class A4

(LIBOR USD 3-Month plus 1.50%)

4.08%

04/25/23

27,156

27,433

SLM Student Loan Trust, Series 2008-8,

Class B

(LIBOR USD 3-Month plus 2.25%)

4.83%

10/25/75

30,000

30,614


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-9,

Class A

(LIBOR USD 3-Month plus 1.50%)
4.08%		04/25/23	¹		$21,022	$	21,270

SLM Student Loan Trust, Series 2008-9,

Class B

(LIBOR USD 3-Month plus 2.25%)
4.83%		10/25/83	¹		15,000		15,350

Structured Receivables Finance LLC,

Series 2010-B, Class A
3.73%		08/15/36	²		86,755		87,436

Wachovia Student Loan Trust,

Series 2006-1, Class A6

(LIBOR USD 3-Month plus 0.17%)
2.75%		04/25/40	^1,2		50,000		48,330


Total Asset-Backed Securities

(Cost $649,718)							668,642


CORPORATES — 50.55%^*

Banking — 7.16%

Bank of America Corp. (MTN)
3.50%		05/17/22	³		40,000		40,797
3.97%		03/05/29	³		60,000		64,185
3.97%		02/07/30	³		15,000		16,091

Bank of New York Mellon Corp. (The) (MTN)
2.66%		05/16/23	³		30,000		30,234
3.25%		09/11/24			5,000		5,199

Citigroup, Inc.
3.20%		10/21/26			20,000		20,415

JPMorgan Chase & Co.
3.21%		04/01/23	³		50,000		51,055
3.56%		04/23/24	³		70,000		72,614
4.01%		04/23/29	³		20,000		21,504
4.20%		07/23/29	³		15,000		16,413

Lloyds Banking Group PLC

(United Kingdom)
2.91%		11/07/23	^3,4		30,000		29,948

Santander UK Group Holdings PLC

(United Kingdom)
3.37%		01/05/24	^3,4		15,000		15,150

Santander UK PLC (United Kingdom)
2.50%		01/05/21	⁴		15,000		15,015

State Street Corp.
3.78%		12/03/24	³		15,000		15,791

Wells Fargo & Co. (MTN)
3.58%		05/22/28	³		20,000		20,932


							435,343


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Commercial Services — 0.35%

RELX Capital, Inc.

4.00%		03/18/29			$20,000	$	21,186

Communications — 4.74%

AT&T, Inc.

3.88%		01/15/26			10,000		10,471

4.30%		02/15/30			45,000		48,222

Charter Communications Operating LLC/Charter Communi- cations Operating Capital

3.75%		02/15/28			27,000		27,216

Comcast Corp.

2.35%		01/15/27			30,000		29,261

4.15%		10/15/28			30,000		33,035

Koninklijke KPN NV (Netherlands)

8.38%		10/01/30	⁴		10,000		13,196

SES SA (Luxembourg)

3.60%		04/04/23	^2,4		15,000		15,169

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC

5.15%		03/20/28	²		30,000		30,975

Verizon Communications, Inc.

4.33%		09/21/28			40,000		44,306

Vodafone Group PLC (United Kingdom)

4.38%		05/30/28	⁴		15,000		16,229

Walt Disney Co. (The)

6.20%		12/15/34	²		4,000		5,430

7.75%		01/20/24	²		12,000		14,629


							288,139

Consumer Discretionary — 2.49%

Anheuser-Busch InBev Worldwide, Inc.

4.00%		04/13/28			52,000		56,210

4.75%		01/23/29			15,000		17,042

Bacardi Ltd. (Bermuda)

4.70%		05/15/28	^2,4		15,000		16,061

BAT Capital Corp.

2.76%		08/15/22			30,000		30,057

Constellation Brands, Inc.

4.25%		05/01/23			15,000		15,945

Pernod Ricard SA (France)

4.45%		01/15/22	^2,4		15,000		15,706


							151,021

Electric — 2.43%

Appalachian Power Co.

4.45%		06/01/45			5,000		5,514

Duquesne Light Holdings, Inc.

5.90%		12/01/21	²		23,000		24,556

6.40%		09/15/20	²		7,000		7,301


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)

ITC Holdings Corp.

4.05%		07/01/23			$10,000	$	10,447

Metropolitan Edison Co.

4.00%		04/15/25	²		25,000		26,320

PNM Resources, Inc.

3.25%		03/09/21			10,000		10,083

Public Service Co. of New Mexico

3.85%		08/01/25			10,000		10,367

Southwestern Electric Power Co., Series M

4.10%		09/15/28			20,000		21,598

Tucson Electric Power Co.

5.15%		11/15/21			30,000		31,511


							147,697

Energy — 4.61%

Enbridge Energy Partners LP

5.50%		09/15/40			5,000		5,861

Energy Transfer Operating LP

4.05%		03/15/25			10,000		10,433

4.95%		06/15/28			5,000		5,471

EQM Midstream Partners LP

5.50%		07/15/28			8,000		8,434

EQT Corp.

3.90%		10/01/27			15,000		14,255

Hess Corp.

4.30%		04/01/27			12,000		12,458

Kinder Morgan, Inc.

5.63%		11/15/23	²		25,000		27,698

Petroleos Mexicanos (Mexico)

5.35%		02/12/28	⁴		15,000		13,649

6.50%		01/23/29	⁴		25,000		24,250

Plains All American Pipeline LP/PAA

Finance Corp.

4.65%		10/15/25			15,000		15,954

Rockies Express Pipeline LLC

4.95%		07/15/29	²		10,000		10,372

Ruby Pipeline LLC

6.00%		04/01/22	²		19,697		20,170

Sabine Pass Liquefaction LLC

4.20%		03/15/28			12,000		12,607

Sunoco Logistics Partners Operations LP

3.90%		07/15/26			10,000		10,237

4.00%		10/01/27			10,000		10,312

TC PipeLines LP

3.90%		05/25/27			30,000		30,499

Texas Eastern Transmission LP

2.80%		10/15/22	²		10,000		9,987


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

Williams Cos., Inc. (The)

3.70%		01/15/23			$10,000	$	10,342

4.55%		06/24/24			25,000		26,929


							279,918

Finance — 7.66%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust

(Ireland)

3.88%		01/23/28	⁴		11,000		11,048

3.95%		02/01/22	⁴		20,000		20,584

Air Lease Corp.

3.00%		09/15/23			15,000		15,099

3.63%		12/01/27			11,000		11,072

Avolon Holdings Funding Ltd.

(Cayman Islands)

3.95%		07/01/24	^2,4		5,000		5,129

Citigroup, Inc.

3.67%		07/24/28	³		20,000		20,836

Ford Motor Credit Co. LLC

4.25%		09/20/22			25,000		25,678

(LIBOR USD 3-Month plus 1.08%)

3.66%		08/03/22	¹		35,000		34,161

GE Capital International Funding Co. (Ireland)

2.34%		11/15/20	⁴		20,000		19,897

4.42%		11/15/35	⁴		21,000		20,820

Goldman Sachs Group, Inc. (The)

2.88%		10/31/22	³		75,000		75,483

4.22%		05/01/29	³		20,000		21,449

Morgan Stanley (GMTN)

3.70%		10/23/24			70,000		73,876

3.77%		01/24/29	³		20,000		21,000

Nationwide Building Society

(United Kingdom)

3.62%		04/26/23	^2,3,4		10,000		10,190

3.77%		03/08/24	^2,3,4		15,000		15,320

Park Aerospace Holdings Ltd.

(Cayman Islands)

4.50%		03/15/23	^2,4		10,000		10,332

Pipeline Funding Co. LLC

7.50%		01/15/30	²		18,802		22,542

Raymond James Financial, Inc.

3.63%		09/15/26			30,000		30,878


							465,394

Food — 1.53%

Conagra Brands, Inc.

4.60%		11/01/25			16,000		17,431

General Mills, Inc.

3.70%		10/17/23			15,000		15,736


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Food (continued)

Kraft Heinz Foods Co.

3.00%		06/01/26			$23,000	$	22,401

Smithfield Foods, Inc.

5.20%		04/01/29	²		10,000		10,910

Tyson Foods, Inc.

4.00%		03/01/26			25,000		26,646


							93,124

Health Care — 7.27%

AbbVie, Inc.

3.60%		05/14/25			25,000		25,850

4.25%		11/14/28			10,000		10,689

Allergan Funding SCS (Luxembourg)

3.80%		03/15/25	⁴		5,000		5,189

Allergan Sales LLC

5.00%		12/15/21	²		25,000		26,247

Anthem, Inc.

3.65%		12/01/27			25,000		25,983

AstraZeneca PLC (United Kingdom)

3.50%		08/17/23	⁴		12,000		12,503

Barnabas Health, Inc.

4.00%		07/01/28			15,000		16,066

Baxalta, Inc.

3.60%		06/23/22			25,000		25,663

Bayer U.S. Finance II LLC

4.38%		12/15/28	²		25,000		26,428

Becton Dickinson and Co.

2.89%		06/06/22			15,000		15,261

Bristol-Myers Squibb Co.

3.40%		07/26/29	²		4,000		4,191

Celgene Corp.

3.90%		02/20/28			25,000		26,812

Cigna Corp.

4.38%		10/15/28	²		30,000		32,394

CVS Health Corp.

4.00%		12/05/23			60,000		63,074

Elanco Animal Health, Inc.

4.90%		08/28/28	²		15,000		16,766

Fresenius U.S. Finance II, Inc.

4.25%		02/01/21	²		15,000		15,353
HCA, Inc.

4.13%		06/15/29			15,000		15,506

5.00%		03/15/24			15,000		16,359

Humana, Inc.

2.90%		12/15/22			15,000		15,228

Providence St. Joseph Health Obligated Group, Series H

2.75%		10/01/26			20,000		19,948

Quest Diagnostics, Inc.

4.20%		06/30/29			10,000		10,694


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

Shire Acquisitions Investments Ireland DAC (Ireland)

3.20%		09/23/26	⁴		$ 5,000	$	5,045

UnitedHealth Group, Inc.

3.85%		06/15/28			10,000		10,821


							442,070

Industrials — 2.98%

Amcor Finance USA, Inc.

3.63%		04/28/26	²		5,000		5,097

4.50%		05/15/28	²		15,000		16,022

BAE Systems Holdings, Inc.

3.80%		10/07/24	²		25,000		26,129

General Electric Co.

2.70%		10/09/22			15,000		14,998

General Electric Co. (MTN)

5.55%		01/05/26			10,000		11,094

5.88%		01/14/38			20,000		22,759

Ingersoll-Rand Co.

9.00%		08/15/21			10,000		11,103

L3 Technologies, Inc.

3.85%		06/15/23			15,000		15,688

Northrop Grumman Corp.

2.93%		01/15/25			15,000		15,288

Sydney Airport Finance Co. Pty Ltd. (Australia)

3.63%		04/28/26	^2,4		15,000		15,346

United Technologies Corp.

4.13%		11/16/28			10,000		10,995

WRKCo, Inc.

4.65%		03/15/26			15,000		16,329


							180,848

Insurance — 1.58%

Aon Corp.

3.75%		05/02/29			10,000		10,432

Farmers Insurance Exchange

4.75%		11/01/57	^2,3		25,000		24,097

Metropolitan Life Global Funding I

3.88%		04/11/22	²		15,000		15,660

Nationwide Mutual Insurance Co.

4.70%		12/15/24	^2,3		20,000		19,925

Teachers Insurance & Annuity

Association of America

4.38%		09/15/54	^2,3		25,000		26,080


							96,194


Issues	Maturity Date		Principal Amount		Value

CORPORATES (continued)

Materials — 0.27%

International Flavors & Fragrances, Inc.

4.45%		09/26/28		$15,000	$	16,405

Real Estate Investment Trust (REIT) — 5.11%

Alexandria Real Estate Equities, Inc.

3.80%		04/15/26		5,000		5,255

4.50%		07/30/29		8,000		8,864

American Campus Communities

Operating Partnership LP

3.35%		10/01/20		15,000		15,139

3.63%		11/15/27		5,000		5,106

American Tower Corp.

3.55%		07/15/27		15,000		15,303

Boston Properties LP

2.75%		10/01/26		10,000		9,853

4.50%		12/01/28		10,000		11,150

CC Holdings GS V LLC/Crown Castle

GS III Corp.

3.85%		04/15/23		15,000		15,713

CubeSmart LP

4.38%		02/15/29		15,000		15,982

Digital Realty Trust LP

3.63%		10/01/22		15,000		15,442

GLP Capital LP/GLP Financing II, Inc.

5.30%		01/15/29		15,000		16,251

HCP, Inc.

3.88%		08/15/24		10,000		10,489

4.25%		11/15/23		20,000		21,217

Healthcare Realty Trust, Inc.

3.75%		04/15/23		15,000		15,350

Healthcare Trust of America Holdings LP

2.95%		07/01/22		15,000		15,095

Highwoods Realty LP

3.20%		06/15/21		5,000		5,035

Host Hotels & Resorts LP

6.00%		10/01/21		5,000		5,305

Hudson Pacific Properties LP

3.95%		11/01/27		10,000		10,224

Kilroy Realty LP

4.38%		10/01/25		15,000		16,059

National Retail Properties, Inc.

3.80%		10/15/22		15,000		15,548

SL Green Operating Partnership LP

3.25%		10/15/22		15,000		15,215

UDR, Inc. (MTN)

4.63%		01/10/22		15,000		15,714

Ventas Realty LP

4.13%		01/15/26		10,000		10,590


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)

WEA Finance LLC

3.15%		04/05/22	²	$	20,000	$	20,339


							310,238


Retail — 0.44%

Family Dollar Stores, Inc.

5.00%		02/01/21			15,000		15,521

Home Depot, Inc. (The)

3.90%		12/06/28			10,000		11,081


							26,602


Services — 0.60%

IHS Markit Ltd. (Bermuda)

4.75%		08/01/28	⁴		5,000		5,468

5.00%		11/01/22	^2,4		15,000		15,967

Republic Services, Inc.

2.90%		07/01/26			15,000		15,092


							36,527


Transportation — 1.33%

Burlington Northern Santa Fe LLC

4.40%		03/15/42			4,000		4,542

Continental Airlines Pass-Through Trust, Series 2007-1, Class A

5.98%		04/19/22			26,660		28,306

U.S. Airways Pass-Through Trust, Series 2010-1, Class A

6.25%		04/22/23			4,835		5,281

U.S. Airways Pass-Through Trust, Series 2011-1, Class A

7.13%		10/22/23			23,595		26,622

Union Pacific Corp.

3.95%		09/10/28			15,000		16,377


							81,128


Total Corporates (Cost $2,908,926)							3,071,834


MORTGAGE-BACKED — 32.21%**

Non-Agency Commercial Mortgage-Backed — 6.07%

Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class XA (IO)

0.77%		02/10/47	³		2,518,947		60,692

Commercial Mortgage Trust, Series 2014-CR18, Class XA (IO)

1.17%		07/15/47	³		1,098,662		44,068

DBUBS Mortgage Trust, Series 2011-LC2A, Class XA (IO)

1.23%		07/10/44	^2,3		807,320		12,449


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

GS Mortgage Securities Trust, Series 2011-GC5, Class XA (IO)

1.50%		08/10/44	^2,3		$1,636,653	$	34,494

Hudson Yards Mortgage Trust, Series 2019-30HY, Class A

3.23%		07/10/39	²		5,000		5,148

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class XB (IO)

0.79%		11/15/43	^2,3		1,397,175		10,780

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class XA (IO)

1.66%		12/15/47	³		1,105,884		44,888

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)

1.40%		04/15/46	³		475,413		19,430

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-OSB, Class A

3.40%		06/05/39	²		5,000		5,268

SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1

3.87%		01/05/43	^2,3		100,000		104,243

UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class XB (IO)

0.31%		08/10/49	^2,3,5,6		3,700,000		27,029


							368,489


Non-Agency Mortgage-Backed — 11.34%

Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A22 (LIBOR USD 1-Month plus 0.28%)

2.68%		09/25/35	¹		9,387		9,402

Banc of America Funding Trust, Series 2014-R7, Class 2A1 (LIBOR USD 1-Month plus 0.14%)

2.54%		09/26/36	^1,2		44,231		42,812

Bear Stearns ALT-A Trust, Series 2004-12, Class 1A1 (LIBOR USD 1-Month plus 0.70%)

3.10%		01/25/35	¹		25,870		25,965

Bear Stearns ALT-A Trust, Series 2004-3, Class A1 (LIBOR USD 1-Month plus 0.64%)

3.04%		04/25/34	¹		41,441		40,218

Bear Stearns ARM Trust, Series 2004-1, Class 12A5

4.68%		04/25/34	³		13,409		13,715


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Bear Stearns Asset-Backed Securities Trust, Series 2006-SD2, Class A1 (LIBOR USD 1-Month plus 0.38%)

2.78%		06/25/36	¹	$	4,730	$	4,742

Bombardier Capital Mortgage Securitization Corp., Series 2000-A, Class A2

7.58%		06/15/30	³		19,426		6,559

Centex Home Equity Loan Trust, Series 2005-D, Class M4 (LIBOR USD 1-Month plus 0.61%)

3.01%		10/25/35	¹		30,000		29,647

CIT Mortgage Loan Trust, Series 2007-1, Class 1A (LIBOR USD 1-Month plus 1.35%)

3.78%		10/25/37	^1,2		13,132		13,316

Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT1, Class M1 (LIBOR USD 1-Month plus 0.63%)

3.03%		02/25/35	¹		20,433		20,401

Conseco Finance Corp., Series 1998-4, Class A5

6.18%		04/01/30			35,380		36,195

Fremont Home Loan Trust, Series 2005-A, Class M3 (LIBOR USD 1-Month plus 0.74%)

3.14%		01/25/35	¹		49,000		48,863

Fremont Home Loan Trust, Series 2005-B, Class M4 (LIBOR USD 1-Month plus 0.71%)

3.11%		04/25/35	¹		22,602		22,704

GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1

4.50%		09/25/35	³		25,818		26,612

IndyMac Index Mortgage Loan Trust, Series 2007-FLX3, Class A1 (LIBOR USD 1-Month plus 0.24%)

2.64%		06/25/37	¹		17,277		17,129

JPMorgan Mortgage Acquisition Trust, Series 2007-CH2, Class AV1 (LIBOR USD 1-Month plus 0.16%)

2.56%		01/25/37	¹		3,148		3,156

JPMorgan Mortgage Trust, Series 2005-A3, Class 2A1

4.49%		06/25/35	³		17,064		17,212

Long Beach Mortgage Loan Trust, Series 2006-1, Class 1A (LIBOR USD 1-Month plus 0.22%)

2.62%		02/25/36	¹		9,201		9,026

Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 3A1

4.33%		07/25/34	³		22,721		23,122


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Saxon Asset Securities Trust, Series 2007-2, Class A2A (LIBOR USD 1-Month plus 0.10%)

2.50%		05/25/47	^1,5,6	$	94,723	$	80,458

Structured Asset Mortgage Investments II Trust, Series 2004-AR1, Class 1A2 (LIBOR USD 1-Month plus 0.70%)

3.09%		03/19/34	¹		3,210		3,198

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-EQ1A, Class A5 (LIBOR USD 1-Month plus 0.31%)

2.71%		07/25/36	^1,2		101,853		100,945

WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR12, Class A2A (LIBOR USD 1-Month plus 0.78%)

3.18%		10/25/44	¹		52,827		52,005

Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2006-3, Class A2 (LIBOR USD 1-Month plus 0.15%)

2.55%		01/25/37	¹		26,477		26,394

Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates, Series 2004-1, Class 2A1 (LIBOR USD 1-Month plus 0.30%)

2.70%		04/25/34	¹		16,428		15,530


							689,326


U.S. Agency Commercial Mortgage-Backed — 7.40%

Fannie Mae-Aces, Series 2016-M11, Class X2 (IO)

2.72%		07/25/39	³		1,888,675		69,301

Fannie Mae-Aces, Series 2016-M4, Class X2 (IO)

2.67%		01/25/39	³		571,506		48,184

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K011, Class X3 (IO)

2.66%		12/25/43	³		1,067,620		38,729

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K013, Class X3 (IO)

2.91%		01/25/43	³		860,000		36,411

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K015, Class X3 (IO)

2.90%		08/25/39	³		350,000		19,281

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K717, Class X3 (IO)

1.68%		11/25/42	³		900,000		31,203


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KAIV, Class X2 (IO)

3.61%		06/25/41	³	$	200,000	$	12,636

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

0.13%		08/16/46	³		5,209,031		78,351

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

0.62%		02/16/54	³		1,815,888		63,296

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

0.70%		10/16/54	³		1,570,264		52,124


							449,516


U.S. Agency Mortgage-Backed — 7.40%

Fannie Mae Pool AM1691

3.46%		01/01/43			35,557		37,454

Fannie Mae Pool AN9420

3.77%		07/01/43			48,977		54,390

Fannie Mae REMICS, Series 2012-128, Class UA

2.50%		06/25/42			107,464		106,943

Fannie Mae REMICS, Series 2013-5, Class GF (LIBOR USD 1-Month plus 1.10%)

3.50%		10/25/42	¹		76,169		75,782

Freddie Mac REMICS, Series 4064, Class TB

3.50%		06/15/42			103,000		105,968

Freddie Mac REMICS, Series 4638, Class UF (LIBOR USD 1-Month plus 1.00%)

3.40%		09/15/44	¹		68,220		69,245


							449,782

Total Mortgage-Backed
(Cost $2,049,476)							1,957,113


MUNICIPAL BONDS — 0.09%*

NewYork — 0.09%

New York City Transitional Finance Authority Future Tax Secured Revenue

3.73%		08/01/29			5,000		5,444


Total Municipal Bonds
(Cost $4,985)							5,444

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES — 3.91%

U.S. Treasury Notes — 3.91%

U.S. Treasury Notes (WI)

2.38%

05/15/29

$230,000

$237,743

Total U.S. Treasury Securities

(Cost $235,697)

237,743

Total Bonds – 97.76%

(Cost $5,848,802)

5,940,776

Principal
Amount/Shares

SHORT-TERM INVESTMENTS — 2.02%

Money Market Funds — 1.58%

Morgan Stanley Institutional Liquidity

Funds-Government Portfolio

2.29%⁷

96,000

U.S. Treasury Bills — 0.44%

U.S. Treasury Bills

2.11%^8,9

09/26/19

$27,000

26,866

Total Short-Term Investments

(Cost $122,863)

122,866

Total Investments – 99.78%

(Cost $5,971,665)

6,063,642

Cash and Other Assets, Less

Liabilities – 0.22%

13,320

Net Assets – 100.00%

6,076,962

¹	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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

³	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $107,487, which is 1.77% of total net assets.

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

⁸	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $26,866.

⁹	Represents annualized yield at date of purchase.

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

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

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 95.40%

ASSET-BACKED SECURITIES — 7.57%**

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

(LIBOR USD 1-Month plus 0.70%)

3.10%

07/25/56

^1,2

1,903,298

1,886,710

Barings CLO Ltd., Series 2013-IA,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.39%

01/20/28

^1,2,3

6,700,000

6,678,212

Barings CLO Ltd., Series 2016-2A,

Class AR (Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

3.67%

07/20/28

^1,2,3

5,500,000

5,501,111

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

2.85%

04/25/35

^1,2

227,251

223,389

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

3.32%

02/25/30

98,131

98,179

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

3.58%

10/27/36

5,075,000

5,131,012

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

3.20%

04/26/32

^1,2

8,375,000

8,350,318

GCO Education Loan Funding Trust II,

Series 2006-2AR, Class A1RN

(LIBOR USD 1-Month plus 0.65%)

3.05%

08/27/46

^1,2

7,090,690

6,765,160

Goal Capital Funding Trust, Series 2006-1,

Class B

(LIBOR USD 3-Month plus 0.45%)

2.97%

08/25/42

2,443,935

2,255,792

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

3,918,959

4,146,447

Magnetite VII Ltd., Series 2012-7A,

Class A1R2 (Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

3.40%

01/15/28

^1,2,3

5,880,000

5,849,253

Navient Student Loan Trust, Series 2015-2,

Class A3

(LIBOR USD 1-Month plus 0.57%)

2.97%

11/26/40

5,300,000

5,240,753

Navient Student Loan Trust, Series 2016-7A,

Class A

(LIBOR USD 1-Month plus 1.15%)

3.55%

03/25/66

^1,2

10,178,578

10,227,675

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Navient Student Loan Trust, Series 2017-2A,

Class A

(LIBOR USD 1-Month plus 1.05%)

3.45%

12/27/66

^1,2

$3,024,391

3,037,258

Nelnet Student Loan Trust, Series 2013-1A,

Class A

(LIBOR USD 1-Month plus 0.60%)

3.00%

06/25/41

^1,2

2,750,699

2,718,095

Nelnet Student Loan Trust, Series 2014-5A,

Class A

(LIBOR USD 1-Month plus 0.55%)

2.95%

07/25/46

^1,2

9,059,476

9,012,023

Northstar Education Finance, Inc.,

Series 2007-1, Class A1

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

2.68%

04/28/30

2,352,357

2,344,473

PHEAA Student Loan Trust, Series 2016-1A,

Class A

(LIBOR USD 1-Month plus 1.15%)

3.55%

09/25/65

^1,2

9,727,933

9,820,078

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

(Cayman Islands)

(LIBOR USD 3-Month plus 0.92%)

3.51%

10/20/27

^1,2,3

5,100,000

5,097,455

SLC Student Loan Trust, Series 2007-1,

Class A4

(LIBOR USD 3-Month plus 0.06%)

2.58%

05/15/29

4,429,509

4,345,399

SLM Student Loan Trust, Series 2003-10A,

Class A3

(LIBOR USD 3-Month plus 0.47%)

2.88%

12/15/27

^1,2

8,033,857

8,034,414

SLM Student Loan Trust, Series 2003-11,

Class A6

(LIBOR USD 3-Month plus 0.55%)

2.96%

12/15/25

^1,2

4,143,737

4,144,664

SLM Student Loan Trust, Series 2006-9,

Class A5

(LIBOR USD 3-Month plus 0.10%)

2.68%

01/26/26

1,494,563

1,491,509

SLM Student Loan Trust, Series 2007-6,

Class A4

(LIBOR USD 3-Month plus 0.38%)

2.96%

10/25/24

4,144,035

4,143,127

SLM Student Loan Trust, Series 2008-1,

Class A4

(LIBOR USD 3-Month plus 0.65%)

3.23%

01/25/22

5,748,147

5,694,538

SLM Student Loan Trust, Series 2008-4,

Class A4

(LIBOR USD 3-Month plus 1.65%)

4.23%

07/25/22

5,005,032

5,064,506

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-6,

Class A4

(LIBOR USD 3-Month plus 1.10%)

3.68%

07/25/23

3,337,727

3,340,511

SLM Student Loan Trust, Series 2011-1,

Class A1

(LIBOR USD 1-Month plus 0.52%)

2.92%

03/25/26

75,988

75,986

SLM Student Loan Trust, Series 2012-2,

Class A

(LIBOR USD 1-Month plus 0.70%)

3.10%

01/25/29

2,708,818

2,661,398

SLM Student Loan Trust, Series 2012-7,

Class A3

(LIBOR USD 1-Month plus 0.65%)

3.05%

05/26/26

10,773,010

10,583,728

SLM Student Loan Trust, Series 2013-4,

Class A

(LIBOR USD 1-Month plus 0.55%)

2.95%

06/25/43

3,351,383

3,319,016

SLM Student Loan Trust, Series 2014-1,

Class A3

(LIBOR USD 1-Month plus 0.60%)

3.00%

02/26/29

5,393,087

5,263,387

Student Loan Consolidation Center Student

Loan Trust I, Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

07/01/42

^1,2

3,500,000

3,301,669

Total Asset-Backed Securities

(Cost $155,168,041)

155,847,245

BANK LOANS — 0.65%*

Automotive — 0.03%

Panther BF Aggregator 2 LP/Panther

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

(LIBOR plus 3.50%)

5.90%

04/30/26

600,000

596,439

Communications — 0.20%

CSC Holdings LLC, Term Loan B, 1st Lien

(LIBOR plus 2.25%)

4.64%

01/15/26

1,197,000

1,179,799

Intelsat Jackson Holdings SA,

Term Loan B5, 1st Lien (Luxembourg)

6.63%

01/02/24

500,000

503,333

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

(LIBOR plus 1.75%)

4.13%

03/14/25

493,750

494,984

Sprint Communications, Inc., Term Loan B,

1st Lien

(LIBOR plus 2.50%)

4.94%

02/02/24

789,899

779,366

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Unitymedia Finance LLC,

Term Loan E, 1st Lien

(LIBOR plus 2.00%)

4.39%

06/01/23

$1,250,000

1,248,225

4,205,707

Electric — 0.05%

Chief Power Finance LLC, Term Loan B,

1st Lien

(LIBOR plus 4.75%)

7.16%

12/31/20

^1,4,5

963,141

934,247

Finance — 0.20%

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 1.75%)

4.08%

10/06/23

4,107,922

4,107,697

Health Care — 0.03%

Valeant Pharmaceuticals International

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

5.41%

06/02/25

725,761

726,291

Information Technology — 0.11%

Dell International LLC,

Term Loan A2, 1st Lien

(LIBOR plus 1.75%)

4.16%

09/07/21

831,652

831,340

Quintiles IMS, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 2.00%)

4.33%

03/07/24

450,337

450,384

Quintiles IMS, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

4.15%

06/11/25

495,000

492,988

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.25%)

4.65%

04/16/25

308,948

308,157

SS&C Technologies, Inc.,

Term Loan B4, 1st Lien

(LIBOR plus 2.25%)

4.65%

04/16/25

211,874

211,331

2,294,200

Materials — 0.03%

Berry Global, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

2.50%

05/15/26

600,000

596,625

Total Bank Loans

(Cost $13,506,332)

13,461,206


Issues	Maturity Date			Principal Amount		Value

CORPORATES — 34.28%*

Banking — 6.26%

Bank of America Corp.

2.74%		01/23/22	⁶	$	9,705,000	$	9,750,841

3.00%		12/20/23	⁶		2,159,000		2,199,834

Bank of America Corp. (GMTN)

2.37%		07/21/21	⁶		18,025,000		18,008,868

Bank of America N.A.

3.34%		01/25/23	⁶		1,015,000		1,038,958

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

2.30%		09/11/19			4,753,000		4,753,204

JPMorgan Chase & Co.

2.25%		01/23/20			10,000,000		9,998,689

JPMorgan Chase Bank N.A. (BKNT)

2.60%		02/01/21	⁶		13,950,000		13,974,844

3.09%		04/26/21	⁶		261,000		262,330

Lloyds Bank PLC (United Kingdom)

3.30%		05/07/21	³		6,475,000		6,568,408

6.38%		01/21/21	³		2,000,000		2,118,909

Lloyds Bank PLC (United Kingdom) (MTN)

5.80%		01/13/20	^2,3		3,000,000		3,053,781

PNC Bank N.A. (BKNT)

2.25%		07/02/19			1,795,000		1,795,000

Santander UK Group Holdings PLC

(United Kingdom)

2.88%		08/05/21	³		13,000,000		13,030,011

Santander UK PLC (United Kingdom)

2.50%		01/05/21	³		2,250,000		2,252,278

Wells Fargo & Co.

(LIBOR USD 3-Month plus 1.23%)

3.81%		10/31/23	¹		2,000,000		2,040,635

Wells Fargo & Co. (MTN)

2.63%		07/22/22			1,105,000		1,112,195

Wells Fargo & Co., Series N (MTN)

2.15%		01/30/20			9,535,000		9,526,865

Wells Fargo Bank N.A. (BKNT)

2.15%		12/06/19			2,715,000		2,712,918

2.40%		01/15/20			20,000,000		20,013,560

3.33%		07/23/21	⁶		4,620,000		4,664,974


							128,877,102


Communications — 1.70%

AT&T, Inc.

3.40%		05/15/25			2,655,000		2,730,231

3.88%		01/15/26			1,400,000		1,465,916

3.90%		03/11/24			1,700,000		1,795,310

(LIBOR USD 3-Month plus 1.18%)

3.62%		06/12/24	¹		475,000		481,108

CBS Corp.

2.50%		02/15/23			2,095,000		2,084,081


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)

Charter Communications Operating LLC/Charter Communications Operating Capital

4.50%		02/01/24			$1,720,000	$	1,832,193

4.91%		07/23/25			2,200,000		2,393,314

Comcast Corp.

3.45%		10/01/21			3,265,000		3,360,543

Cox Communications, Inc.

7.63%		06/15/25			900,000		1,099,404

Discovery Communications LLC

2.80%		06/15/20			715,000		716,544

Sprint Communications, Inc.

7.00%		03/01/20	²		1,264,000		1,298,760

Sprint Corp.

7.63%		03/01/26			21,000		22,439

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint

Spectrum Co. III LLC

3.36%		09/20/21	²		8,578,125		8,569,633

4.74%		03/20/25	²		1,000,000		1,040,000

Viacom, Inc.

3.88%		04/01/24			2,000,000		2,084,660

Vodafone Group PLC (United Kingdom)

3.75%		01/16/24	³		3,910,000		4,092,499


							35,066,635


Consumer Discretionary — 1.02%

Anheuser-Busch InBev Worldwide, Inc.

4.15%		01/23/25			5,500,000		5,962,902

BAT Capital Corp.

2.76%		08/15/22			2,575,000		2,579,877

Constellation Brands, Inc.

2.00%		11/07/19			7,000,000		6,985,096

Molson Coors Brewing Co.

2.25%		03/15/20			5,000,000		4,988,736

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A. (LIBOR USD 3-Month plus 3.50%)



6.10%		07/15/21	^1,2		550,000		551,375


							21,067,986


Electric — 2.03%

American Electric Power Co., Inc., Series I

3.65%		12/01/21			5,000,000		5,158,327

Black Hills Corp.

4.25%		11/30/23			4,050,000		4,303,871

Duke Energy Florida LLC

2.10%		12/15/19			1,120,000		1,118,196

Kansas City Power & Light Co.

3.65%		08/15/25			2,555,000		2,705,684

LG&E & KU Energy LLC

3.75%		11/15/20			3,400,000		3,451,279


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)

Mississippi Power Co. (LIBOR USD 3-Month plus 0.65%)

2.96%		03/27/20	¹	$	5,000,000	$	5,001,334

NextEra Energy Capital Holdings, Inc. (LIBOR USD 3-Month plus 0.48%)

3.05%		05/04/21	¹		7,700,000		7,699,821

(LIBOR USD 3-Month plus 0.55%)

3.07%		08/28/21	¹		3,952,000		3,952,468

Pennsylvania Electric Co.

5.20%		04/01/20			1,262,000		1,284,281

PNM Resources, Inc.

3.25%		03/09/21			7,115,000		7,174,314


							41,849,575

Energy — 1.70%

Energy Transfer Operating LP

4.90%		02/01/24			4,292,000		4,604,385

Petroleos Mexicanos (Mexico)

5.35%		02/12/28	³		6,470,000		5,887,053

Plains All American Pipeline LP/PAA

Finance Corp.

3.85%		10/15/23			5,422,000		5,603,333

Rockies Express Pipeline LLC

5.63%		04/15/20	²		2,036,000		2,079,265

Ruby Pipeline LLC

6.00%		04/01/22	²		3,084,545		3,158,640

Sabine Pass Liquefaction LLC

5.75%		05/15/24			1,715,000		1,908,689

Spectra Energy Partners LP

4.60%		06/15/21			1,725,000		1,788,761

4.75%		03/15/24			4,519,000		4,897,812

TC PipeLines LP

4.65%		06/15/21			4,900,000		5,063,486


							34,991,424

Finance — 6.06%

Air Lease Corp.

2.13%		01/15/20			5,000,000		4,988,662

3.50%		01/15/22			3,420,000		3,503,530

American Express Credit Corp. (GMTN)

2.25%		08/15/19			2,840,000		2,838,952

BMW U.S. Capital LLC (LIBOR USD 3-Month plus 0.38%)

2.68%		04/06/20	^1,2		8,000,000		8,017,301

Citibank N.A. (BKNT)

3.05%		05/01/20			11,605,000		11,669,583

Citigroup, Inc.

2.50%		07/29/19			2,500,000		2,500,301


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)

Daimler Finance North America LLC

1.50%		07/05/19	²	$	4,407,000	$	4,406,521

1.75%		10/30/19	²		2,000,000		1,994,272

Ford Motor Credit Co. LLC

2.46%		03/27/20			1,000,000		997,273

2.60%		11/04/19			3,550,000		3,547,932

3.20%		01/15/21			3,000,000		3,018,916

5.60%		01/07/22			1,662,000		1,760,016

5.75%		02/01/21			5,241,000		5,463,680

(LIBOR USD 3-Month plus 0.79%)

3.23%		06/12/20	¹		2,080,000		2,074,691

(LIBOR USD 3-Month plus 0.88%)

3.48%		10/12/21	¹		2,500,000		2,461,540

GE Capital International Funding Co. (Ireland)

2.34%		11/15/20	³		17,475,000		17,384,707

Goldman Sachs Group, Inc. (The)

2.55%		10/23/19			6,049,000		6,052,082

2.63%		04/25/21			1,880,000		1,886,995

2.88%		10/31/22	⁶		726,000		730,673

2.91%		07/24/23	⁶		6,814,000		6,886,789

(LIBOR USD 3-Month plus 1.02%)

3.61%		10/23/19	¹		5,000,000		5,013,993

Morgan Stanley (GMTN)

5.50%		01/26/20			2,805,000		2,853,769

5.50%		07/24/20			3,450,000		3,561,939

(LIBOR USD 3-Month plus 0.55%)

3.10%		02/10/21	¹		10,000,000		10,013,521

Morgan Stanley (MTN)

5.63%		09/23/19			2,000,000		2,013,425

Nationwide Building Society (United Kingdom)

3.62%		04/26/23	^2,3,6		4,910,000		5,003,113

Park Aerospace Holdings Ltd. (Cayman Islands)

3.63%		03/15/21	^2,3		860,000		866,987

4.50%		03/15/23	^2,3		2,070,000		2,138,741

5.25%		08/15/22	^2,3		1,165,000		1,232,919


							124,882,823

Food — 2.17%

Campbell Soup Co.

3.30%		03/15/21			4,025,000		4,075,886

(LIBOR USD 3-Month plus 0.50%)

2.91%		03/16/20	¹		1,000,000		1,000,864

Conagra Brands, Inc. (LIBOR USD 3-Month plus 0.50%)

2.81%		10/09/20	¹		8,203,000		8,185,955

(LIBOR USD 3-Month plus 0.75%)

3.34%		10/22/20	¹		3,000,000		3,000,626


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Food (continued)

Danone SA (France)

1.69%		10/30/19	^2,3		$3,325,000	$	3,316,459

General Mills, Inc.

3.20%		04/16/21			7,000,000		7,108,549

Kraft Heinz Foods Co.

3.95%		07/15/25			1,500,000		1,562,479

(LIBOR USD 3-Month plus 0.42%)

2.98%		08/09/19	¹		4,000,000		4,001,350

Mondelez International Holdings Netherlands BV (Netherlands)

1.63%		10/28/19	^2,3		9,670,000		9,642,774

Smithfield Foods, Inc.

2.70%		01/31/20	²		2,880,000		2,874,816


							44,769,758


Health Care — 4.32%

AbbVie, Inc.

3.75%		11/14/23			2,465,000		2,568,114

Aetna, Inc.

3.50%		11/15/24			3,136,000		3,234,679

Allergan Finance LLC

3.25%		10/01/22			1,500,000		1,520,101

Allergan Funding SCS (Luxembourg)

3.45%		03/15/22	³		3,000,000		3,064,156

3.85%		06/15/24	³		2,500,000		2,596,863

Bayer U.S. Finance II LLC

2.13%		07/15/19	²		4,275,000		4,274,045

2.75%		07/15/21	²		635,000		635,659

3.50%		06/25/21	²		1,825,000		1,856,719

Bayer U.S. Finance LLC

2.38%		10/08/19	²		6,425,000		6,414,559

Becton Dickinson and Co.

2.40%		06/05/20			2,260,000		2,258,681

2.68%		12/15/19			3,661,000		3,675,900

Bristol-Myers Squibb Co. (LIBOR USD 3-Month plus 0.20%)

2.72%		11/16/20	^1,2		4,100,000		4,101,274

Celgene Corp.

2.75%		02/15/23			585,000		590,597

3.25%		08/15/22			2,278,000		2,339,571

3.63%		05/15/24			1,500,000		1,573,713

Cigna Corp.

3.20%		09/17/20	²		6,000,000		6,057,987

Cigna Holding Co.

4.50%		03/15/21			5,335,000		5,485,363

5.13%		06/15/20			1,725,000		1,768,300

Elanco Animal Health, Inc.

3.91%		08/27/21	²		2,500,000		2,555,082


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

Fresenius Medical Care U.S. Finance II, Inc.

4.13%		10/15/20	²		$3,353,000	$	3,411,513

HCA, Inc.

5.00%		03/15/24			1,000,000		1,090,586

6.50%		02/15/20			1,960,000		2,010,733

Humana, Inc.

2.50%		12/15/20			5,675,000		5,683,406

3.15%		12/01/22			2,000,000		2,043,502

Roche Holdings, Inc.

2.25%		09/30/19	²		3,710,000		3,707,813

Shire Acquisitions Investments Ireland DAC (Ireland)

1.90%		09/23/19	³		5,865,000		5,856,238

2.40%		09/23/21	³		1,500,000		1,498,674

Sutter Health, Series 13-C

2.29%		08/15/53			1,525,000		1,517,146

Tenet Healthcare Corp.

4.50%		04/01/21			1,000,000		1,020,000

4.75%		06/01/20			340,000		342,975

6.00%		10/01/20			1,485,000		1,533,263

Zimmer Biomet Holdings, Inc. (LIBOR USD 3-Month plus 0.75%)
3.17%		03/19/21	¹		2,685,000		2,683,031


							88,970,243


Industrials — 1.64%

BAE Systems Holdings, Inc.

2.85%		12/15/20	²		1,070,000		1,074,510

Bemis Co., Inc.

6.80%		08/01/19	²		4,180,000		4,182,922

Clean Harbors, Inc.

5.13%		06/01/21			243,000		243,727

General Electric Co. (GMTN)

2.20%		01/09/20			2,000,000		1,994,877

4.63%		01/07/21			1,030,000		1,059,785

6.00%		08/07/19			2,281,000		2,287,939

General Electric Co. (MTN) (LIBOR USD 3-Month plus 0.38%)

2.95%		05/05/26	¹		5,180,000		4,720,541

(LIBOR USD 3-Month plus 0.48%)

3.00%		08/15/36	¹		2,182,000		1,631,859

Ingersoll-Rand Co.

9.00%		08/15/21			1,100,000		1,221,331

L3 Technologies, Inc.

4.95%		02/15/21			1,525,000		1,575,961

Siemens Financieringsmaatschappij NV (Netherlands)

1.30%		09/13/19	^2,3		6,500,000		6,484,179


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)

United Technologies Corp. (LIBOR USD 3-Month plus 0.65%)

3.17%		08/16/21	¹	$	7,250,000	$	7,254,675


							33,732,306


Information Technology — 0.43%

Analog Devices, Inc.

2.85%		03/12/20			4,030,000		4,042,467

Broadcom Corp./Broadcom Cayman

Finance Ltd.

2.38%		01/15/20			4,750,000		4,738,823


							8,781,290


Insurance — 0.44%

Allstate Corp. (The) (LIBOR USD 3-Month plus 0.43%)

2.76%		03/29/21	¹		4,000,000		4,008,432

Metropolitan Life Global Funding I

3.38%		01/11/22	²		1,550,000		1,593,850

Nationwide Mutual Insurance Co.

4.70%		12/15/24	^2,6		3,550,000		3,536,687


							9,138,969


Materials — 0.39%

Georgia-Pacific LLC

2.54%		11/15/19	²		8,000,000		8,001,420


Real Estate Investment Trust (REIT) — 4.74%

Alexandria Real Estate Equities, Inc.

2.75%		01/15/20			8,800,000		8,804,649

American Campus Communities Operating Partnership LP

3.35%		10/01/20			7,700,000		7,771,171

Boston Properties LP

4.13%		05/15/21			1,495,000		1,539,268

5.63%		11/15/20			2,260,000		2,343,254

Digital Realty Trust LP

3.63%		10/01/22			2,430,000		2,501,581

Duke Realty LP

3.88%		02/15/21			6,385,000		6,523,700

Essex Portfolio LP

5.20%		03/15/21			1,405,000		1,459,556

GLP Capital LP/GLP Financing II, Inc.

4.38%		04/15/21			3,240,000		3,304,379

4.88%		11/01/20			4,830,000		4,917,850
HCP, Inc.

2.63%		02/01/20			10,765,000		10,767,691

Healthcare Trust of America Holdings LP

3.38%		07/15/21			425,000		431,873


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)

Host Hotels & Resorts LP

6.00%		10/01/21			$3,500,000	$	3,713,463

Kimco Realty Corp.

3.40%		11/01/22			4,000,000		4,116,367

National Retail Properties, Inc.

3.80%		10/15/22			4,750,000		4,923,648

Realty Income Corp.

3.25%		10/15/22			3,000,000		3,078,983

Reckson Operating Partnership LP

7.75%		03/15/20			1,650,000		1,708,229

SL Green Operating Partnership LP (LIBOR USD 3-Month plus 0.98%)

3.50%		08/16/21	¹		5,000,000		5,001,895

UDR, Inc.

3.70%		10/01/20			3,000,000		3,041,968
UDR, Inc. (MTN)

4.63%		01/10/22			5,523,000		5,785,958

Ventas Realty LP/Ventas Capital Corp.

2.70%		04/01/20			3,949,000		3,963,730

VEREIT Operating Partnership LP

4.13%		06/01/21			2,325,000		2,386,797

WEA Finance LLC/Westfield UK & Europe Finance PLC

2.70%		09/17/19	²		5,500,000		5,498,739

3.25%		10/05/20	²		4,000,000		4,039,214


							97,623,963

Retail — 0.92%

Alimentation Couche-Tard, Inc. (Canada)

2.35%		12/13/19	^2,3		7,000,000		6,992,934

Dollar Tree, Inc.

(LIBOR USD 3-Month plus 0.70%)

3.29%		04/17/20	¹		7,000,000		7,000,846

Walgreens Boots Alliance, Inc.

2.70%		11/18/19			5,000,000		4,998,618


							18,992,398


Services — 0.34%

IHS Markit Ltd. (Bermuda)

5.00%		11/01/22	^2,3		5,761,000		6,132,585

Republic Services, Inc.

5.50%		09/15/19			850,000		854,975


							6,987,560


Transportation — 0.12%

America West Airlines Pass-Through Trust, Series 2001-1, Class G

7.10%		04/02/21			79,363		82,157

American Airlines Pass-Through Trust, Series 2011-1, Class A

5.25%		01/31/21			792,658		820,163


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Transportation (continued)

American Airlines Pass-Through Trust, Series 2013-2, Class A

4.95%		01/15/23		$	1,021,222	$	1,069,070

Continental Airlines Pass-Through Trust, Series 2000-2, Class A1

7.71%		04/02/21			397,246		414,122


							2,385,512


Total Corporates (Cost $697,574,236)							706,118,964


MORTGAGE-BACKED — 37.52%**

Non-Agency Commercial Mortgage-Backed — 6.15%

BENCHMARK Mortgage Trust, Series 2018-B4, Class A1

3.13%		07/15/51			3,064,450		3,123,440

Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)

1.94%		09/10/45	^2,6		16,252,180		736,885

Commercial Mortgage Trust, Series 2014-UBS6, Class ASB

3.39%		12/10/47			9,000,000		9,303,435

Commercial Mortgage Trust, Series 2013-LC6, Class ASB

2.48%		01/10/46			8,729,817		8,761,975

Core Industrial Trust, Series 2015-CALW, Class A

3.04%		02/10/34	²		3,529,057		3,637,770

Core Industrial Trust, Series 2015-TEXW, Class A

3.08%		02/10/34	²		4,267,736		4,373,652

DBRR Trust, Series 2011-LC2, Class A4A

4.54%		07/12/44	^2,6		5,897,711		6,100,740

Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A

5.40%		12/13/28	²		5,762,917		6,034,558

GE Business Loan Trust, Series 2006-2A, Class A (LIBOR USD 1-Month plus 0.18%)

2.57%		11/15/34	^1,2		1,584,576		1,560,154

GE Business Loan Trust, Series 2007-1A, Class A (LIBOR USD 1-Month plus 0.17%)

2.56%		04/15/35	^1,2		859,184		843,508

GS Mortgage Securities Corp. II, Series 2018-GS10, Class A1
3.20%		07/10/51			6,679,194		6,831,580

GS Mortgage Securities Corp. II, Series 2013-KING, Class A

2.71%		12/10/27	²		3,995,867		3,993,949

JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A5


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

3.66%		07/15/45		$	5,900,000	$	6,194,170

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A3

4.07%		11/15/43	²		7,930,869		8,042,944

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class A3

4.17%		08/15/46			4,676,238		4,831,230

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class ASB

3.14%		05/15/45			9,519,360		9,664,959

Morgan Stanley Capital Barclays Bank Trust, Series 2016-MART, Class A

2.20%		09/13/31	²		4,565,000		4,562,024

Morgan Stanley Capital I Trust, Series 2011-C1, Class A4

5.03%		09/15/47	^2,6		2,666,087		2,723,689

Morgan Stanley Capital I Trust, Series 2011-C3, Class A4

4.12%		07/15/49			4,860,000		5,011,001

One Lincoln Street Commercial Mortgage, Series 2004-C3, Class A1

5.72%		10/15/30	^2,6		8,688,175		9,621,431

UBS Commercial Mortgage Trust, Series 2019-C16, Class A1

2.74%		04/15/52			9,549,703		9,655,954

Vornado DP LLC Trust, Series 2010-VNO, Class A1

2.97%		09/13/28	²		2,873,462		2,881,880

WF-RBS Commercial Mortgage Trust, Series 2013-C11, Class A4

3.04%		03/15/45			8,050,000		8,247,565


							126,738,493


Non-Agency Mortgage-Backed — 9.70%

Accredited Mortgage Loan Trust, Series 2007-1, Class A4 (LIBOR USD 1-Month plus 0.22%)

2.62%		02/25/37	¹		12,000,000		11,857,775

ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1 (LIBOR USD 1-Month plus 0.44%)

2.84%		12/25/35	¹		399,321		399,044

Aegis Asset-Backed Securities Trust, Series 2005-5, Class 2A (LIBOR USD 1-Month plus 0.25%)

2.65%		12/25/35	¹		3,944,768		3,953,165

Ameriquest Mortgage Securities Trust, Series 2006-R2, Class A1 (LIBOR USD 1-Month plus 0.18%)

2.58%		04/25/36	¹		371,963		371,679


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 08/25/19)

7.12%		10/25/27		$	10,612	$	10,801

Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-W2, Class A1 (LIBOR USD 1-Month plus 0.26%)

2.66%		10/25/35	¹		2,516,394		2,519,606

Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1

5.50%		10/25/33			8,410,709		8,649,908

Banc of America Funding Trust, Series 2015-R2, Class 9A1 (LIBOR USD 1-Month plus 0.22%)

2.62%		03/27/36	^1,2		3,625,808		3,620,357

Banc of America Funding Trust, Series 2015-R4, Class 3A1 (LIBOR USD 1-Month plus 0.14%)

2.57%		07/27/36	^1,2		4,390,295		4,325,819

Banc of America Funding Trust, Series 2016-R1, Class A1

2.50%		03/25/40	^2,6		9,855,514		9,823,671

BCAP LLC Trust, Series 2008-IND2, Class A1 (LIBOR USD 1-Month plus 1.65%)

4.05%		04/25/38	¹		4,195,070		4,232,356

BCAP LLC Trust, Series 2013-RR5, Class 2A1

3.71%		03/26/37	^2,6		3,387,255		3,433,572

Bear Stearns ARM Trust, Series 2004-3, Class 4A

4.53%		07/25/34	⁶		1,355,311		1,360,932

Chase Funding Trust, Series 2002-2, Class 2M1 (LIBOR USD 1-Month plus 0.90%)

3.30%		02/25/32	¹		44,458		44,372

Chase Mortgage Finance Trust, Series 2007-A1, Class 8A1

4.68%		02/25/37	⁶		7,353,688		7,703,340

Chase Mortgage Finance Trust, Series 2007-A2, Class 2A3

4.50%		07/25/37	⁶		1,485,608		1,549,501

Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, Series 2005-2A, Class A1 (LIBOR USD 1-Month plus 0.18%)

2.58%		05/25/36	^1,2		772,780		776,799

CIM Trust, Series 2018-R6, Class A1 (LIBOR USD 1-Month plus 1.08%)

3.52%		09/25/58	^1,2		7,890,833		7,835,642


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41

4.18%		02/25/34	⁶	$	114,282	$	112,442

Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C (LIBOR USD 1-Month plus 1.30%)

3.70%		07/25/37	¹		90,000		86,507

Conseco Finance Corp., Series 1998-2, Class A5

6.24%		12/01/28			1,615		1,634

Conseco Finance Securitizations Corp., Series 2001-4, Class A4

7.36%		08/01/32	⁶		312,223		313,986

Countrywide Asset-Backed Certificates, Series 2005-11, Class MV2 (LIBOR USD 1-Month plus 0.49%)

2.89%		02/25/36	¹		1,713,534		1,721,327

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1

3.80%		08/25/34	⁶		12,057		11,857

Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 5A1

4.39%		02/25/34	⁶		1,829,407		1,883,134

Credit Suisse Mortgage Capital, Series 2014-9R, Class 8A1 (LIBOR USD 1-Month plus 0.16%)

2.59%		10/27/36	^1,2		534,726		538,019

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 (LIBOR USD 1-Month plus 0.06%)

2.46%		04/25/37	¹		2,884,975		2,215,675

DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1A (LIBOR USD 1-Month plus 0.21%)

2.60%		03/19/45	¹		859,928		834,440

Encore Credit Receivables Trust, Series 2005-2, Class M2 (LIBOR USD 1-Month plus 0.69%)

3.09%		11/25/35	¹		2,707,029		2,751,325

First Franklin Mortgage Loan Trust, Series 2004-FF5, Class A3C (LIBOR USD 1-Month plus 1.00%)

3.40%		08/25/34	¹		802,778		787,272

First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1

4.38%		09/25/34	⁶		5,864		5,870


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1 (LIBOR USD 1-Month plus 0.44%)

2.84%		06/25/30	¹	$	166,580	$	139,794

GSAMP Trust, Series 2006-NC1, Class A3 (LIBOR USD 1-Month plus 0.29%)

2.69%		02/25/36	¹		7,716,107		7,674,430

GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1

4.72%		11/25/35	⁶		465,004		463,914

HSI Asset Securitization Corp. Trust, Series 2005-NC1, Class M1 (LIBOR USD 1-Month plus 0.77%)

3.17%		07/25/35	¹		2,494,454		2,523,595

Impac CMB Trust, Series 2005-5, Class A1 (LIBOR USD 1-Month plus 0.64%)

3.04%		08/25/35	¹		2,497,852		2,436,555

IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 (LIBOR USD 1-Month plus 0.78%)

3.18%		12/25/34	¹		261,209		231,609

IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A (LIBOR USD 1-Month plus 0.80%)

3.20%		11/25/34	¹		855,614		824,722

IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4

6.49%		09/25/28			494,904		508,959

JPMorgan Mortgage Acquisition Trust, Series 2005-FRE1, Class A2F3 (STEP-reset date 08/25/19)

3.37%		10/25/35			1,171,687		1,174,542

JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4 (LIBOR USD 1-Month plus 0.28%)

2.68%		03/25/47	¹		50,000		44,504

JPMorgan Mortgage Trust, Series 2007-A1, Class 1A1

4.49%		07/25/35	⁶		1,063,408		1,063,768

JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2

4.70%		07/25/35	⁶		247,702		258,623

Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC (IO)

0.55%		04/15/40	^4,5,6		110,125,970		2,025,134


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2

4.26%		01/25/34	⁶	$	7,059	$	7,137

MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1

5.12%		01/25/34	⁶		45,714		45,694

MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1

4.66%		11/21/34	⁶		883,028		921,990

MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3

4.46%		04/25/34	⁶		128,194		131,192

MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1

3.63%		06/25/34	⁶		30,985		30,394

MASTR Alternative Loan Trust, Series 2003-1, Class 1A1

6.25%		12/25/32			2,519,268		2,723,174

MASTR Alternative Loan Trust, Series 2003-5, Class 4A1

5.50%		07/25/33			3,986,169		4,357,734

MASTR Alternative Loan Trust, Series 2003-9, Class 4A1

5.25%		11/25/33			4,098,175		4,345,937

MASTR Alternative Loan Trust, Series 2004-7, Class 1A1

5.50%		07/25/34			3,999,061		4,147,658

MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1

4.62%		10/25/32	⁶		209,060		216,481

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C (LIBOR USD 1-Month plus 0.18%)

2.58%		06/25/37	¹		11,104,462		8,776,656

Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1

4.35%		08/25/34	⁶		1,241,596		1,253,540

Merrill Lynch Mortgage Investors Trust, Series 2006-F1, Class 1A2

6.00%		04/25/36			1,571,610		1,318,313

Merrill Lynch Mortgage Investors Trust, Series 2006-FF1, Class M3 (LIBOR USD 1-Month plus 0.31%)

2.71%		08/25/36	¹		6,298,243		6,313,871

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

8.90%		08/15/37			963,459		1,098,138

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

5.79%		10/15/40	²		4,837,416		5,379,791

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

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

5.82%

02/15/36

$ 605,225

661,300

Morgan Stanley ABS Capital I Trust,

Series 2004-NC7, Class M2

(LIBOR USD 1-Month plus 0.93%)

3.33%

07/25/34

2,185,913

2,199,369

Morgan Stanley Mortgage Loan Trust,

Series 2004-6AR, Class 1A

(LIBOR USD 1-Month plus 0.90%)

3.30%

07/25/34

180,674

182,220

MortgageIT Trust, Series 2005-3, Class A1

(LIBOR USD 1-Month plus 0.60%)

3.00%

08/25/35

300,623

299,094

MortgageIT Trust, Series 2005-4, Class A1

(LIBOR USD 1-Month plus 0.28%)

2.68%

10/25/35

4,542,499

4,576,999

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month plus 0.22%)

2.62%

02/25/36

9,130,968

9,034,383

Park Place Securities, Inc., Asset-Backed

Pass-Through Certificates,

Series 2004-WCW2, Class M2

(LIBOR USD 1-Month plus 0.98%)

3.38%

10/25/34

5,445,474

5,512,921

Park Place Securities, Inc., Asset-Backed

Pass-Through Certificates,

Series 2005-WCW2, Class M1

(LIBOR USD 1-Month plus 0.75%)

3.15%

07/25/35

2,954,544

2,966,924

Residential Accredit Loans Trust,

Series 2005-QA3, Class NB1

3.80%

03/25/35

⁶

2,529,442

1,692,166

Residential Asset Mortgage Products Trust,

Series 2004-SL4, Class A3

6.50%

07/25/32

200,904

198,689

Residential Asset Mortgage Products Trust,

Series 2005-SL1, Class A5

6.50%

05/25/32

637,841

619,726

Saxon Asset Securities Trust, Series 2005-3,

Class M2

(LIBOR USD 1-Month plus 0.72%)

2.36%

11/25/35

8,171,519

8,160,136

Securitized Asset-Backed Receivables LLC

Trust, Series 2006-CB1, Class AF2

(STEP-reset date 08/25/19)

3.36%

01/25/36

2,051,227

1,788,195

Structured Asset Investment Loan Trust,

Series 2005-8, Class A4

(LIBOR USD 1-Month plus 0.72%)

3.12%

10/25/35

1,200,312

1,203,706

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Structured Asset Securities Corp. Mortgage

Loan Trust, Series 2006-WF3, Class A5

(LIBOR USD 1-Month plus 0.14%)

2.54%

09/25/36

$ 2,716,343

2,708,399

Structured Asset Securities Corp. Mortgage

Pass-Through Certificates,

Series 2003-26A, Class 3A5

4.61%

09/25/33

⁶

619,627

632,300

Terwin Mortgage Trust, Series 2004-7HE,

Class A1

(LIBOR USD 1-Month plus 0.55%)

2.95%

07/25/34

^1,2

115,413

114,303

WaMu Mortgage Pass-Through Certificates,

Series 2002-AR18, Class A

4.74%

01/25/33

⁶

102,803

107,459

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR14, Class A1

4.39%

01/25/35

⁶

663,772

689,192

WaMu Mortgage Pass-Through Certificates,

Series 2004-CB2, Class 2A

5.50%

07/25/34

3,948,536

4,198,789

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A1

(LIBOR USD 1-Month plus 0.29%)

2.69%

10/25/45

2,460,378

2,462,130

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A21

(LIBOR USD 1-Month plus 0.33%)

2.73%

01/25/45

398,259

390,144

Wells Fargo Mortgage-Backed Securities

Trust, Series 2004-Q, Class 1A1

4.72%

09/25/34

⁶

1,023,726

1,059,401

Wells Fargo Mortgage-Backed Securities

Trust, Series 2005-AR10, Class 2A14

4.95%

06/25/35

⁶

3,252,206

3,259,665

Wells Fargo Mortgage-Backed Securities

Trust, Series 2005-AR9, Class 1A1

4.95%

05/25/35

⁶

92,771

95,633

Wells Fargo Mortgage-Backed Securities

Trust, Series 2006-AR2, Class 2A5

4.99%

03/25/36

⁶

762,840

764,736

199,747,655

U.S. Agency Commercial

Mortgage-Backed — 11.55%

Fannie Mae-Aces, Series 2017-M14,

Class A1

2.97%

11/25/27

⁶

12,474,854

12,894,864

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF34,

Class A

(LIBOR USD 1-Month plus 0.36%)

2.79%

08/25/24

3,708,313

3,705,693

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series J19F,

Class A1

2.91%

02/25/22

212,204

212,592

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series J22F,

Class A1

3.45%

05/25/23

9,712,427

9,997,945

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K009,

Class A2

3.81%

08/25/20

5,921,202

5,987,923

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K010,

Class A2

4.33%

10/25/20

⁶

8,353,271

8,532,182

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series K049,

Class A1

2.48%

03/25/25

10,279,416

10,391,390

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KC01,

Class A1

1.98%

10/25/22

12,088,890

12,075,773

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF08,

Class A

(LIBOR USD 1-Month plus 0.30%)

2.73%

01/25/22

3,858,484

3,855,722

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF17,

Class A

(LIBOR USD 1-Month plus 0.55%)

2.98%

03/25/23

12,335,685

12,342,038

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF19,

Class A

(LIBOR USD 1-Month plus 0.45%)

2.88%

06/25/23

8,509,513

8,513,899

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KF22,

Class A

(LIBOR USD 1-Month plus 0.50%)

2.93%

07/25/23

11,682,225

11,691,045

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ03,

Class A1

1.67%

01/25/21

3,075,091

3,063,821

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ11,

Class A2

2.93%

01/25/23

13,125,807

13,452,574

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ14,

Class A1

2.20%

11/25/23

4,967,246

4,993,241

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ17,

Class A1

2.40%

10/25/24

4,908,103

4,961,407

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ18,

Class A1

2.46%

03/25/22

4,843,502

4,892,155

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KJ24,

Class A1

2.28%

05/25/26

14,115,000

14,146,078

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KLU1,

Class A1

2.38%

01/25/25

9,000,000

9,047,208

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KP04,

Class AG1

(LIBOR USD 1-Month plus 0.22%)

2.65%

07/25/20

17,375,000

17,368,406

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series KS05,

Class A

(LIBOR USD 1-Month plus 0.50%)

2.93%

01/25/23

11,872,806

11,886,332

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series Q004,

Class A2H

3.05%

01/25/46

⁶

10,477,941

10,542,391

Freddie Mac Multifamily Structured

Pass-Through Certificates, Series Q004,

Class AFL

(Federal Reserve US 12-Month Cumulative

Average plus 0.74%)

3.24%

05/25/44

4,310,765

4,313,969

Freddie Mac Multifamily Structured

Pass-Through Certificates,

Series KF32, Class A

(LIBOR USD 1-Month plus 0.37%)

2.80%

05/25/24

6,023,521

6,024,334


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

FREMF Multifamily Aggregation Risk

Transfer Trust, Series 2017-KT01,

Class A

(LIBOR USD 1-Month plus 0.32%)

2.72%		02/25/20	¹		$ 8,245,000	$	8,244,517
FRESB Mortgage Trust, Series 2016-SB15,
Class A5H
(LIBOR USD 1-Month plus 2.06%)

2.06%		03/25/36	¹		10,414,732		10,436,551
Ginnie Mae, Series 2006-3, Class C

5.24%		04/16/39	⁶		622,849		622,626
Ginnie Mae, Series 2007-12, Class C

5.28%		04/16/41	⁶		1,163,839		1,166,955
Ginnie Mae, Series 2009-115, Class D

4.67%		01/16/50	⁶		5,343,044		5,559,812
NCUA Guaranteed Notes Trust,
Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)

2.89%		03/09/21	¹		6,987,999		6,991,431


							237,914,874


U.S. Agency Mortgage-Backed — 10.12%
Fannie Mae Pool 464321

4.36%		01/01/20			10,742,548		10,740,116
Fannie Mae Pool 466973

3.85%		01/01/21			13,361,378		13,703,834
Fannie Mae Pool 468764

4.16%		07/01/21			13,090,000		13,581,920
Fannie Mae Pool 469058

3.02%		02/01/22			5,003,658		5,109,980
Fannie Mae Pool 470606

2.99%		03/01/22			6,436,206		6,553,077
Fannie Mae Pool 567002

8.00%		05/01/23			19,087		20,240
Fannie Mae Pool 735861

6.50%		09/01/33			13,259		14,660
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.55%)

4.43%		04/01/34	¹		185,610		188,985
Fannie Mae Pool 995182

5.50%		06/01/20			3,488		3,486
Fannie Mae Pool AD0538

6.00%		05/01/24			338,937		356,791
Fannie Mae Pool AE0083

6.00%		01/01/40			1,055,426		1,197,691
Fannie Mae Pool AL0851

6.00%		10/01/40			1,261,491		1,431,086
Fannie Mae Pool AL2206

3.73%		07/01/22			6,305,972		6,532,324

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed
(continued)

Fannie Mae Pool AN2059

1.64%

07/01/21

$ 8,573,992

8,510,435

Fannie Mae Pool FN0001

3.77%

12/01/20

11,385,824

11,610,060

Fannie Mae REMICS, Series 1997-76,

Class FS

(LIBOR USD 1-Month plus 0.45%)

2.84%

09/17/27

14,846

14,596

Fannie Mae REMICS, Series 2001-60,

Class OF

(LIBOR USD 1-Month plus 0.95%)

3.35%

10/25/31

752,270

765,136

Fannie Mae REMICS, Series 2003-130,

Class HF

(LIBOR USD 1-Month plus 0.45%)

2.85%

12/25/33

185,654

185,728

Fannie Mae REMICS, Series 2003-134,

Class FC

(LIBOR USD 1-Month plus 0.60%)

3.00%

12/25/32

4,655,800

4,689,332

Fannie Mae REMICS, Series 2005-59,

Class NF

(LIBOR USD 1-Month plus 0.25%)

2.65%

05/25/35

2,332,278

2,322,298

Fannie Mae REMICS, Series 2007-61,

Class AF

(LIBOR USD 1-Month plus 0.28%)

2.68%

03/25/37

1,019,564

1,018,366

Fannie Mae REMICS, Series 2007-64,

Class FA

(LIBOR USD 1-Month plus 0.47%)

2.87%

07/25/37

391,536

392,953

Fannie Mae REMICS, Series 2009-111,

Class DA

5.00%

12/25/39

192,573

195,698

Fannie Mae REMICS, Series 2009-33,

Class FB

(LIBOR USD 1-Month plus 0.82%)

3.22%

03/25/37

2,304,054

2,339,978

Fannie Mae REMICS, Series 2009-85,

Class LF

(LIBOR USD 1-Month plus 1.20%)

3.60%

10/25/49

2,801,385

2,859,956

Fannie Mae REMICS, Series 2009-96,

Class FA

(LIBOR USD 1-Month plus 0.90%)

3.30%

11/25/49

2,128,907

2,171,604

Fannie Mae REMICS, Series 2010-109,

Class PF

(LIBOR USD 1-Month plus 0.40%)

2.80%

10/25/40

1,341,784

1,343,878


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae REMICS, Series 2010-26,

Class S (IO)

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

3.83%		11/25/36	¹		$7,952,954	$	1,403,171

Fannie Mae REMICS, Series 2010-39,

Class FE

(LIBOR USD 1-Month plus 0.77%)

3.17%		06/25/37	¹		4,350,151		4,405,899

Fannie Mae REMICS, Series 2010-43,

Class DP

5.00%		05/25/40			1,034,498		1,120,617

Fannie Mae REMICS, Series 2010-6,

Class BF

(LIBOR USD 1-Month plus 0.76%)

3.16%		02/25/40	¹		1,632,571		1,659,796

Fannie Mae REMICS, Series 2010-95,

Class S (IO)

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

4.20%		09/25/40	¹		5,725,098		1,225,886

Fannie Mae REMICS, Series 2011-118,

Class FB

(LIBOR USD 1-Month plus 0.45%)

2.85%		11/25/41	¹		6,719,841		6,742,290

Fannie Mae REMICS, Series 2011-71,

Class FB

(LIBOR USD 1-Month plus 0.50%)

2.90%		05/25/37	¹		2,718,922		2,724,596

Fannie Mae REMICS, Series 2012-33,

Class F

(LIBOR USD 1-Month plus 0.52%)

2.92%		04/25/42	¹		5,759,981		5,795,069

Fannie Mae REMICS, Series 2013-75,

Class FC

(LIBOR USD 1-Month plus 0.25%)

2.65%		07/25/42	¹		5,021,194		5,029,245

Fannie Mae REMICS, Series G92-10,

Class Z

7.75%		01/25/22			280		290

Freddie Mac Gold Pool A45796

7.00%		01/01/33			4,907		5,403

Freddie Mac Gold Pool C46104

6.50%		09/01/29			7,243		8,044

Freddie Mac Gold Pool G13032

6.00%		09/01/22			336,703		346,301

Freddie Mac Gold Pool G13475

6.00%		01/01/24			46,136		47,551

Freddie Mac REMICS, Series 2174,

Class PN

6.00%		07/15/29			437,506		480,540

Freddie Mac REMICS, Series 2454,

Class FQ

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed
(continued)

(LIBOR USD 1-Month plus 1.00%)

3.39%

06/15/31

7,034

7,217

Freddie Mac REMICS, Series 2733,

Class FB

(LIBOR USD 1-Month plus 0.60%)

2.99%

10/15/33

3,167,737

3,189,369

Freddie Mac REMICS, Series 3071,

Class TF

(LIBOR USD 1-Month plus 0.30%)

2.69%

04/15/35

3,071,657

3,062,811

Freddie Mac REMICS, Series 3084,

Class FN

(LIBOR USD 1-Month plus 0.50%)

2.89%

12/15/34

1,921,051

1,921,874

Freddie Mac REMICS, Series 3294,

Class CB

5.50%

03/15/37

222,266

249,466

Freddie Mac REMICS, Series 3300,

Class FA

(LIBOR USD 1-Month plus 0.30%)

2.69%

08/15/35

823,251

820,567

Freddie Mac REMICS, Series 3325,

Class NF

(LIBOR USD 1-Month plus 0.30%)

2.69%

08/15/35

2,123,039

2,116,118

Freddie Mac REMICS, Series 3524,

Class FC

(LIBOR USD 1-Month plus 0.94%)

3.33%

06/15/38

438,230

444,718

Freddie Mac REMICS, Series 3531,

Class FM

(LIBOR USD 1-Month plus 0.90%)

3.29%

05/15/39

437,989

444,913

Freddie Mac REMICS, Series 3672,

Class A

6.00%

05/15/40

145,730

160,024

Freddie Mac REMICS, Series 3792,

Class DF

(LIBOR USD 1-Month plus 0.40%)

2.79%

11/15/40

435,548

432,757

Freddie Mac REMICS, Series 3828,

Class TF

(LIBOR USD 1-Month plus 0.40%)

2.79%

04/15/29

22,733

22,736

Freddie Mac REMICS, Series 4060,

Class FJ

(LIBOR USD 1-Month plus 0.35%)

2.74%

02/15/41

5,909,481

5,890,718

Freddie Mac REMICS, Series 4109,

Class KF

(LIBOR USD 1-Month plus 0.40%)


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

2.79%		05/15/32	¹	$	1,199,356	$	1,200,510

Freddie Mac REMICS, Series 4235,

Class FA

(LIBOR USD 1-Month plus 0.35%)

2.74%		01/15/34	¹		711,079		711,385

Freddie Mac Strips, Series 240, Class F30

(LIBOR USD 1-Month plus 0.30%)

2.69%		07/15/36	¹		2,341,758		2,331,716

Freddie Mac Strips, Series 263, Class F5

(LIBOR USD 1-Month plus 0.50%)

2.89%		06/15/42	¹		3,543,417		3,559,312

Freddie Mac Strips, Series 319, Class F2

(LIBOR USD 1-Month plus 0.50%)

2.89%		11/15/43	¹		15,465,594		15,501,699

Ginnie Mae II Pool (TBA)

4.50%		09/20/48			9,925,000		10,342,936

Ginnie Mae II Pool 1849

8.50%		08/20/24			274		277

Ginnie Mae II Pool 2020

8.50%		06/20/25			453		491

Ginnie Mae II Pool 2286

8.50%		09/20/26			739		802

Ginnie Mae II Pool 2487

8.50%		09/20/27			7,096		7,766

Ginnie Mae II Pool 80059

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.63%		04/20/27	¹		16,094		16,588

Ginnie Mae II Pool 80589

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

4.00%		03/20/32	¹		24,005		24,002

Ginnie Mae II Pool 80610

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.63%		06/20/32	¹		9,326		9,682

Ginnie Mae II Pool 80968

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

3.75%		07/20/34	¹		323,714		334,885

Ginnie Mae II Pool 81201

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 2.00%)

4.50%		01/20/35	¹		10,148		10,267

Ginnie Mae II Pool 8599

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 1.50%)

4.00%		02/20/25	¹		12,992		13,101

Ginnie Mae, Series 2003-11, Class FK

(LIBOR USD 1-Month plus 0.30%)


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

2.69%		02/16/33	¹	$	916,987	$	916,057

Ginnie Mae, Series 2009-106, Class XI (IO)

(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)

4.42%		05/20/37	¹		4,920,173		678,584

Ginnie Mae, Series 2012-13, Class KF

(LIBOR USD 1-Month plus 0.30%)

2.68%		07/20/38	¹		648,841		649,250

Ginnie Mae, Series 2013-53, Class AD

1.50%		12/20/26			2,399,707		2,362,983

NCUA Guaranteed Notes Trust,

Series 2010-R1, Class 1A

(LIBOR USD 1-Month plus 0.45%)

2.81%		10/07/20	¹		8,118,390		8,125,933

NCUA Guaranteed Notes Trust,

Series 2010-R3, Class 1A

(LIBOR USD 1-Month plus 0.56%)

2.92%		12/08/20	¹		7,176,471		7,215,866

NCUA Guaranteed Notes Trust,

Series 2010-R3, Class 2A

(LIBOR USD 1-Month plus 0.56%)

2.92%		12/08/20	¹		3,246,552		3,257,672

NCUA Guaranteed Notes Trust,

Series 2011-R1, Class 1A

(LIBOR USD 1-Month plus 0.45%)

2.81%		01/08/20	¹		2,248,818		2,254,012

NCUA Guaranteed Notes Trust,

Series 2011-R3, Class 1A

(LIBOR USD 1-Month plus 0.40%)

2.81%		03/11/20	¹		1,257,840		1,260,200


							208,398,170


Total Mortgage-Backed
(Cost $764,443,752)							772,799,192


U.S. TREASURY SECURITIES — 15.38%
U.S. Treasury Notes — 15.38%
U.S. Treasury Notes

1.63%		06/30/21			69,320,000		69,162,602

2.13%		05/31/21			226,338,000		227,915,397

2.25%		04/15/22			19,365,000		19,639,968


Total U.S. Treasury Securities
(Cost $315,597,826)							316,717,967


Total Bonds – 95.40%
(Cost $1,946,290,187)							1,964,944,574


Issues		Shares		Value

COMMON STOCK — 0.05%

Electric — 0.05%

Homer City Holdings LLC^2,4,5,7			106,501		$905,259


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

Purchased Swaptions — 0.00%
(Cost $939,000)					2,817



		Principal Amount/ Shares

SHORT-TERM INVESTMENTS — 7.11%

Money Market Funds — 1.70%

Fidelity Investments Money Market Funds - Government Portfolio

2.27%^8,9			—		—

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

2.29%⁸			35,064,000		35,064,000


					35,064,000


U.S. Treasury Bills — 5.41%
U.S. Treasury Bills

2.08%¹⁰	08/20/19	$	50,000,000		49,855,209

2.11%^10,11	09/26/19		3,693,000		3,674,660

2.29%¹⁰	07/16/19		25,000,000		24,978,384

2.32%¹⁰	07/23/19		18,000,000		17,977,338

2.40%¹⁰	10/24/19		15,000,000		14,904,945


					111,390,536


Total Short-Term Investments

(Cost $146,431,293)					146,454,536


Total Investments Before Written
Swaptions — 102.56%

(Cost $2,099,739,140)					2,112,307,186


Written Swaptions — 0.00%

(Cost $(540,000))					(1,344	)


Liabilities in Excess of Other
Assets — (2.56)%					(52,630,127	)


Net Assets — 100.00%				$	2,059,675,715

¹	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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

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

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

⁵	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $3,864,640, which is 0.19% of total net assets.

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

⁷	Non-income producing security.

⁸	Represents the current yield as of June 30, 2019.

⁹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged for swaps is $-.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $3,674,646.

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

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

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value

BONDS – 90.89%

ASSET-BACKED SECURITIES — 13.36%**

Atrium XII, Series 12A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.83%)
3.42%		04/22/27	^1,2,3		$165,000	$	164,630

Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.80%)

3.39%		01/20/28	^1,2,3		250,000		249,187

Barings CLO Ltd., Series 2018-3A, Class A1 (Cayman Islands) (LIBOR USD 3-Month plus 0.95%)

3.54%		07/20/29	^1,2,3		250,000		248,907

Bayview Commercial Asset Trust, Series 2004-3, Class A1 (LIBOR USD 1-Month plus 0.56%)

2.96%		01/25/35	^2,3		155,813		155,181

BlueMountain CLO Ltd., Series 2013-1A, Class A1R2 (Cayman Islands) (LIBOR USD 3-Month plus 1.23%)

3.82%		01/20/29	^1,2,3		175,000		175,258

Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.23%)

3.68%		06/09/30	^1,2,3		250,000		250,957

Corevest American Finance Trust, Series 2019-1, Class XA (IO)

2.35%		03/15/52	^3,4		589,045		57,779

Crystal River CDO, Series 2005-1A, Class A (Cayman Islands) (LIBOR USD 3-Month plus 0.36%)

2.68%		03/02/46	^1,2,3,5,6		419,900		37,472

Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.82%)

3.34%		11/15/28	^1,2,3		250,000		248,646

Education Loan Asset-Backed Trust I, Series 2013-1, Class A2 (LIBOR USD 1-Month plus 0.80%)

3.20%		04/26/32	^2,3		645,000		643,099

Flagship CLO VIII Ltd., Series 2014-8A, Class ARR (Cayman Islands) (LIBOR USD 3-Month plus 0.85%)

3.45%		01/16/26	^1,2,3		102,210		102,108

Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)

3.09%		07/17/29	^1,3		155,042		155,668

Higher Education Funding I, Series 2014-1, Class A (LIBOR USD 3-Month plus 1.05%)

3.57%		05/25/34	^2,3		454,562		457,832


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

LCM XX LP, Series 20A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.04%)

3.63%		10/20/27	^1,2,3		$200,000	$	199,980

Magnetite VII Ltd., Series 2012-7A, Class A1R2 (Cayman Islands) (LIBOR USD 3-Month plus 0.80%)

3.40%		01/15/28	^1,2,3		250,000		248,693

Nelnet Student Loan Trust, Series 2014-4A, Class A2 (LIBOR USD 1-Month plus 0.95%)

3.35%		11/25/48	^2,3		500,000		495,160

Nelnet Student Loan Trust, Series 2015-3A, Class A3 (LIBOR USD 1-Month plus 0.90%)

3.30%		06/25/54	^2,3		290,000		287,207

Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A (Cayman Islands) (LIBOR USD 3-Month plus 0.85%)

3.45%		01/15/28	^1,2,3		250,000		249,368

Octagon Investment Partners 25 Ltd., Series 2015-1A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.80%)

3.39%		10/20/26	^1,2,3		240,000		239,933

Panthera Aviation, Series 2013-1⁷

10.00%		01/25/22	^3,5,6,8,†		338,214		94,704

Scholar Funding Trust, Series 2012-B, Class A2 (LIBOR USD 1-Month plus 1.10%)

3.50%		03/28/46	^2,3		751,826		757,088

SLC Student Loan Trust, Series 2004-1, Class B (LIBOR USD 3-Month plus 0.29%)

2.81%		08/15/31	²		185,247		169,589

SLM Student Loan Trust, Series 2004-2, Class B (LIBOR USD 3-Month plus 0.47%)

3.05%		07/25/39	²		353,230		332,518

SLM Student Loan Trust, Series 2004-3A, Class A6A (LIBOR USD 3-Month plus 0.55%)

3.13%		10/25/64	^2,3		270,000		266,105

SLM Student Loan Trust, Series 2005-9, Class B (LIBOR USD 3-Month plus 0.30%)

2.88%		01/25/41	²		270,067		255,324

SLM Student Loan Trust, Series 2007-7, Class B (LIBOR USD 3-Month plus 0.75%)

3.33%		10/27/70	²		215,000		200,934


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-1, Class A4 (LIBOR USD 3-Month plus 0.65%)
3.23%		01/25/22	²		$205,291		$203,376

SLM Student Loan Trust, Series 2008-2, Class B (LIBOR USD 3-Month plus 1.20%)
3.78%		01/25/83	²		340,000		325,578

SLM Student Loan Trust, Series 2008-3, Class B (LIBOR USD 3-Month plus 1.20%)
3.78%		04/26/83	²		340,000		323,028

SLM Student Loan Trust, Series 2008-4, Class B (LIBOR USD 3-Month plus 1.85%)
4.43%		04/25/73	²		340,000		344,816

SLM Student Loan Trust, Series 2008-5, Class B (LIBOR USD 3-Month plus 1.85%)
4.43%		07/25/73	²		235,000		237,230

SLM Student Loan Trust, Series 2008-6, Class B (LIBOR USD 3-Month plus 1.85%)
4.43%		07/26/83	²		340,000		345,207

SLM Student Loan Trust, Series 2008-7, Class B (LIBOR USD 3-Month plus 1.85%)
4.43%		07/26/83	²		340,000		345,255

SLM Student Loan Trust, Series 2008-8, Class B (LIBOR USD 3-Month plus 2.25%)
4.83%		10/25/75	²		340,000		346,953

SLM Student Loan Trust, Series 2011-1, Class A2 (LIBOR USD 1-Month plus 1.15%)
3.55%		10/25/34	²		310,000		312,337

Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^3,†		324,606		379,265

Structured Receivables Finance LLC, Series 2010-B, Class B
7.97%		08/15/36	³		331,368		392,622

Treman Park CLO Ltd., Series 2015-1A, Class ARR (Cayman Islands) (LIBOR USD 3-Month plus 1.07%)
3.66%		10/20/28	^1,2,3		450,000		450,071

Wachovia Student Loan Trust, Series 2006-1, Class A6 (LIBOR USD 3-Month plus 0.17%)
2.75%		04/25/40	^2,3		300,000		289,982


Total Asset-Backed Securities (Cost $11,455,967)							11,039,047


Issues	Maturity Date			Principal Amount		Value

CORPORATES —34.35%*

Banking — 4.23%

Bank of America Corp.
2.74%		01/23/22	⁴		$270,000		$271,275
3.00%		12/20/23	⁴		476,000		485,003

Bank of America Corp. (MTN)
3.56%		04/23/27	⁴		440,000		459,684
4.27%		07/23/29	⁴		80,000		87,224

Bank of New York Mellon Corp. (The) (MTN)
2.66%		05/16/23	⁴		250,000		251,954
JPMorgan Chase & Co.
3.22%		03/01/25	⁴		420,000		432,206
3.56%		04/23/24	⁴		250,000		259,336

Lloyds Banking Group PLC (United Kingdom)
2.91%		11/07/23	^1,4		200,000		199,650

Santander UK Group Holdings PLC (United Kingdom)
2.88%		08/05/21	¹		165,000		165,381
3.37%		01/05/24	^1,4		200,000		202,002
4.80%		11/15/24	^1,4		75,000		79,733

Wells Fargo & Co.
3.00%		04/22/26			145,000		146,844
3.00%		10/23/26			250,000		252,816

(LIBOR USD 3-Month plus 1.23%)
3.81%		10/31/23	²		150,000		153,048

Wells Fargo & Co. (MTN)
2.63%		07/22/22			45,000		45,293


							3,491,449


Communications — 3.72%
AT&T, Inc.
3.88%		01/15/26			200,000		209,417
4.80%		06/15/44			350,000		369,244
5.25%		03/01/37			265,000		298,176
CBS Corp.
3.38%		02/15/28			150,000		149,519

CCO Holdings LLC/CCO Holdings Capital Corp.
5.38%		06/01/29	³		80,000		82,800

Charter Communications Operating LLC/Charter Communications Operating Capital
6.48%		10/23/45			200,000		237,370

Clear Channel International BV (Netherlands)
8.75%		12/15/20	^1,3		38,000		38,997

Comcast Corp.
2.35%		01/15/27			100,000		97,537

CSC Holdings LLC
6.50%		02/01/29	³		117,000		127,896


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)

Discovery Communications LLC

2.80%		06/15/20		$	150,000	$	150,324

Intelsat Jackson Holdings SA (Luxembourg)

5.50%		08/01/23	¹		145,000		133,037

9.75%		07/15/25	^1,3		71,000		72,775

Koninklijke KPN NV (Netherlands)

8.38%		10/01/30	¹		70,000		92,376

Level 3 Financing, Inc.

5.38%		01/15/24			40,000		41,000

5.38%		05/01/25			16,000		16,560

Qwest Corp.

7.25%		09/15/25			70,000		77,796

Sirius XM Radio, Inc.

3.88%		08/01/22	³		75,000		75,469

Sprint Capital Corp.

8.75%		03/15/32			40,000		46,300

Sprint Communications, Inc.

7.00%		03/01/20	³		30,000		30,825

Sprint Corp.

7.63%		03/01/26			4,000		4,274

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC

3.36%		09/20/21	³		112,500		112,389

4.74%		03/20/25	³		200,000		208,000

T-Mobile USA, Inc.

4.50%		02/01/26			45,000		46,125

4.75%		02/01/28			45,000		46,298

6.00%		04/15/24			40,000		41,800

Verizon Communications, Inc.

4.02%		12/03/293			200,000		216,730

Vodafone Group PLC (United Kingdom)

4.88%		06/19/491			48,000		50,639


							3,073,673


Consumer Discretionary — 0.74%

Anheuser-Busch InBev Worldwide, Inc.

4.00%		04/13/28			145,000		156,738

Bacardi Ltd. (Bermuda)

5.30%		05/15/48	^1,3		100,000		105,414

BAT Capital Corp.

4.54%		08/15/47			75,000		69,647

Central Garden & Pet Co.

5.13%		02/01/28			9,000		8,843

6.13%		11/15/23			40,000		41,600

Reynolds American, Inc.

5.85%		08/15/45			60,000		64,718

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A. (LIBOR USD 3-Month plus 3.50%)


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)

6.10%		07/15/21	^2,3	$	165,000	$	165,413


							612,373


Electric — 3.00%

Duke Energy Carolinas LLC

3.75%		06/01/45			355,000		365,964

Entergy Texas, Inc.

3.45%		12/01/27			150,000		152,467

NextEra Energy Capital Holdings, Inc. (LIBOR USD 3-Month plus 0.48%)

3.05%		05/04/21	²		485,000		484,989

Pennsylvania Electric Co.

5.20%		04/01/20			400,000		407,062

Puget Energy, Inc.

6.00%		09/01/21			250,000		267,303

Southern Co. Gas Capital Corp.

3.25%		06/15/26			500,000		504,456

Southwestern Electric Power Co., Series K

2.75%		10/01/26			300,000		293,294


							2,475,535


Energy — 3.50%

Antero Resources Corp.

5.00%		03/01/25			96,000		89,040

5.13%		12/01/22			35,000		33,775

Centennial Resource Production LLC

6.88%		04/01/27	³		40,000		40,600
Cheniere Energy Partners LP

5.25%		10/01/25			45,000		46,687

CrownRock LP/CrownRock Finance, Inc.

5.63%		10/15/25	³		10,000		10,050

Energy Transfer Operating LP

5.50%		06/01/27			3,000		3,359

5.88%		01/15/24			70,000		78,028

6.25%		04/15/49			157,000		185,600

EQM Midstream Partners LP

4.13%		12/01/26			350,000		338,258

Gulfport Energy Corp.

6.38%		05/15/25			13,000		10,124

KazMunayGas National Co. JSC, Series REGS (Kazakhstan)

5.38%		04/24/30	¹		200,000		222,156

Matador Resources Co.

5.88%		09/15/26			15,000		15,225

NiSource, Inc.

2.65%		11/17/22			150,000		151,088

Parsley Energy LLC/Parsley Finance Corp.

5.25%		08/15/25	³		10,000		10,200

5.38%		01/15/25	³		35,000		36,050


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

Peru LNG SRL, Series REGS (Peru)

5.38%		03/22/30	¹	$	200,000	$	215,720

Petroleos Mexicanos (Mexico)

6.50%		03/13/27	¹		45,000		44,483

6.50%		01/23/29	¹		230,000		223,100

6.63%		06/15/35	¹		55,000		51,081

Plains All American Pipeline LP/PAA Finance Corp.

4.65%		10/15/25			125,000		132,954

Range Resources Corp.

4.88%		05/15/25			53,000		46,773

Rockies Express Pipeline LLC

5.63%		04/15/20	³		142,000		145,017
Ruby Pipeline LLC

6.00%		04/01/22	³		157,576		161,361

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

6.88%		01/15/29	³		39,000		43,336

Texas Eastern Transmission LP

2.80%		10/15/22	³		150,000		149,802

TransMontaigne Partners LP/

TLP Finance Corp.

6.13%		02/15/26			35,000		33,863

Transocean Guardian Ltd. (Cayman Islands)

5.88%		01/15/24	^1,3		29,295		29,918

Transocean Pontus Ltd. (Cayman Islands)

6.13%		08/01/25	^1,3		38,745		40,101

Transocean Poseidon Ltd. (Cayman Islands)

6.88%		02/01/27	^1,3		87,000		92,166

Transocean Proteus Ltd. (Cayman Islands)

6.25%		12/01/24	^1,3		14,250		14,767

USA Compression Partners LP/USA Compression Finance Corp.

6.88%		04/01/26			27,000		28,685

6.88%		09/01/27	³		22,000		23,212

Williams Cos., Inc. (The)

3.70%		01/15/23			110,000		113,761

WPX Energy, Inc.

5.75%		06/01/26			30,000		31,275


							2,891,615


Finance — 3.31%

Avolon Holdings Funding Ltd. (Cayman Islands)

3.95%		07/01/24	^1,3		85,000		87,196

5.13%		10/01/23	^1,3		56,000		59,416

Citigroup, Inc.

3.67%		07/24/28	⁴		405,000		421,931


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)

Ford Motor Credit Co. LLC

3.16%		08/04/20		$	275,000	$	275,932

3.20%		01/15/21			175,000		176,103

8.13%		01/15/20			300,000		308,379

(LIBOR USD 3-Month plus 1.27%)

3.60%		03/28/22	²		115,000		113,189

GE Capital International Funding Co. (Ireland)

2.34%		11/15/20	¹		275,000		273,579

4.42%		11/15/35	¹		130,000		128,884

General Motors Financial Co., Inc.

3.55%		04/09/21			95,000		96,415

Goldman Sachs Group, Inc. (The)

3.81%		04/23/29	⁴		145,000		151,674

4.22%		05/01/29	⁴		45,000		48,259

Morgan Stanley (LIBOR USD 3-Month plus 0.93%)

3.52%		07/22/22	²		500,000		503,294

Nationwide Building Society (United Kingdom)

3.77%		03/08/24	^1,3,4		85,000		86,811


							2,731,062


Food — 0.73%
Campbell Soup Co.

(LIBOR USD 3-Month plus 0.50%)

2.91%		03/16/20	²		140,000		140,121

Chobani LLC/Chobani Finance Corp., Inc.

7.50%		04/15/25	³		22,000		20,680

Kraft Heinz Foods Co.

4.63%		01/30/29			190,000		204,612

5.00%		06/04/42			94,000		97,258

Kroger Co. (The)

5.40%		01/15/49			46,000		51,076

Post Holdings, Inc.

5.75%		03/01/27	³		49,000		50,837

Tyson Foods, Inc.

4.00%		03/01/26			40,000		42,634


							607,218


Gaming — 0.17%

Churchill Downs, Inc.

4.75%		01/15/28	³		60,000		60,585

Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.

6.13%		08/15/21	³		50,000		50,875

Twin River Worldwide Holdings, Inc.

6.75%		06/01/27	³		25,000		26,125


							137,585


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care — 5.95%

AbbVie, Inc.

3.60%		05/14/25		$	100,000	$	103,402

4.50%		05/14/35			50,000		51,663

Allergan Finance LLC

3.25%		10/01/22			150,000		152,010

Amgen, Inc.

4.40%		05/01/45			200,000		212,795

Anthem, Inc.

3.65%		12/01/27			145,000		150,701

Bausch Health Americas, Inc.

9.25%		04/01/26	³		7,000		7,857

Bayer U.S. Finance II LLC

4.38%		12/15/28	³		200,000		211,420

Bayer U.S. Finance LLC

2.38%		10/08/19	³		200,000		199,675

Becton Dickinson and Co. (LIBOR USD 3-Month plus 0.88%)

3.19%		12/29/20	²		187,000		187,031

Bristol-Myers Squibb Co.

4.13%		06/15/39	³		35,000		37,814

Catalent Pharma Solutions, Inc.

4.88%		01/15/26	³		75,000		76,406

Celgene Corp.

5.00%		08/15/45			320,000		379,658

Centene Corp.

4.75%		01/15/25			25,000		25,868

5.38%		06/01/26	³		52,000		54,665

5.63%		02/15/21			43,000		43,860

CHS/Community Health Systems, Inc.

8.00%		03/15/26	³		18,000		17,415

8.63%		01/15/24	³		14,000		14,123

Cigna Corp.

4.13%		11/15/25	³		375,000		399,670

CVS Health Corp.

5.05%		03/25/48			240,000		256,022

Elanco Animal Health, Inc.

4.90%		08/28/28	³		160,000		178,840

Fresenius Medical Care U.S. Finance II, Inc.

4.13%		10/15/20	³		400,000		406,980

5.63%		07/31/19	³		300,000		300,567

Fresenius U.S. Finance II, Inc.

4.25%		02/01/21	³		150,000		153,529


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

HCA, Inc.

4.13%		06/15/29		$	85,000	$	87,869

4.75%		05/01/23			30,000		32,137

5.25%		04/15/25			12,000		13,312

5.25%		06/15/49			35,000		36,528

5.63%		09/01/28			40,000		43,275

5.88%		02/01/29			50,000		54,875

6.50%		02/15/20			54,000		55,398

Hologic, Inc.

4.63%		02/01/28	³		55,000		55,894

Humana, Inc.

2.90%		12/15/22			195,000		197,969

Molina Healthcare, Inc.

5.38%		11/15/22			83,000		86,943

Shire Acquisitions Investments Ireland DAC

(Ireland)

1.90%		09/23/19	¹		300,000		299,552

Teleflex, Inc.

4.63%		11/15/27			10,000		10,287

Tenet Healthcare Corp.

4.63%		07/15/24			46,000		46,747

4.75%		06/01/20			60,000		60,525

6.00%		10/01/20			61,000		62,983

Teva Pharmaceutical Finance Netherlands III BV (Netherlands)

1.70%		07/19/19	¹		63,000		62,959

WellCare Health Plans, Inc.

5.25%		04/01/25			82,000		85,793


							4,915,017


Industrials — 2.35%

Amcor Finance USA, Inc.

4.50%		05/15/28	³		145,000		154,880

BAE Systems Holdings, Inc.

2.85%		12/15/20	³		200,000		200,843
Ball Corp.

4.00%		11/15/23			30,000		31,163

Berry Global Escrow Corp.

4.88%		07/15/26	³		19,000		19,451

Crown Americas LLC/Crown Americas Capital Corp. V

4.25%		09/30/26			21,000		21,499

General Electric Co. (GMTN)

4.63%		01/07/21			100,000		102,892

5.50%		01/08/20			160,000		162,232

General Electric Co. (MTN) (LIBOR USD 3-Month plus 0.48%)

3.00%		08/15/36	²		600,000		448,724


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)

Graphic Packaging International LLC

4.75%		07/15/27	³	$	40,000	$	41,200

4.88%		11/15/22			55,000		57,269

L3 Technologies, Inc.

4.40%		06/15/28			145,000		158,773

Northrop Grumman Corp.

3.20%		02/01/27			150,000		154,048

OI European Group BV (Netherlands)

4.00%		03/15/23	^1,3		15,000		15,113
Sealed Air Corp.

5.50%		09/15/25	³		70,000		74,725
Silgan Holdings, Inc.

4.75%		03/15/25			60,000		60,750

Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)

7.75%		04/15/26	^1,3		55,000		49,775

WRKCo, Inc.

4.65%		03/15/26			175,000		190,503


							1,943,840


Information Technology — 0.14%

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.

5.75%		03/01/25	³		68,000		69,190

SS&C Technologies, Inc.

5.50%		09/30/27	³		43,000		44,693


							113,883


Insurance — 1.04%

Farmers Exchange Capital II

6.15%		11/01/53	^3,4		400,000		462,500

Nationwide Mutual Insurance Co.

4.70%		12/15/24	^3,4		400,000		398,500


							861,000


Materials — 0.34%

Indonesia Asahan Aluminum Persero PT (Indonesia)

6.53%		11/15/28	^1,3		200,000		236,360

International Flavors & Fragrances, Inc.

5.00%		09/26/48			40,000		44,365


							280,725


Real Estate Investment Trust (REIT) — 2.50%

Alexandria Real Estate Equities, Inc.

3.45%		04/30/25			200,000		205,945

American Campus Communities Operating Partnership LP

3.35%		10/01/20			125,000		126,155


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)

Boston Properties LP

2.75%		10/01/26		$	200,000	$	197,057

GLP Capital LP/GLP Financing II, Inc.

5.30%		01/15/29			65,000		70,420

5.38%		04/15/26			205,000		222,210

HCP, Inc.

3.88%		08/15/24			325,000		340,890

SL Green Realty Corp.

4.50%		12/01/22			200,000		210,044

Ventas Realty LP

4.40%		01/15/29			250,000		271,750

Welltower, Inc.

3.75%		03/15/23			400,000		416,857


							2,061,328


Retail — 1.13%

Alimentation Couche-Tard, Inc. (Canada)

2.70%		07/26/22	^1,3		45,000		45,105

Dollar Tree, Inc. (LIBOR USD 3-Month plus 0.70%)

3.29%		04/17/20	²		250,000		250,030

eG Global Finance PLC (United Kingdom)

6.75%		02/07/25	^1,3		85,000		84,549

Rite Aid Corp.

6.13%		04/01/23	³		162,000		137,295

Walgreens Boots Alliance, Inc.

3.80%		11/18/24			400,000		416,185


							933,164


Services — 0.42%

GFL Environmental, Inc. (Canada)

8.50%		05/01/27	^1,3		85,000		91,694

IHS Markit Ltd. (Bermuda)

4.00%		03/01/26	^1,3		7,000		7,241

4.75%		08/01/28	¹		35,000		38,278

5.00%		11/01/22	^1,3		170,000		180,965

Matthews International Corp.

5.25%		12/01/25	³		30,000		29,587


							347,765


Transportation — 1.08%

Continental Airlines Pass-Through Trust, Series 2007-1, Class B

6.90%		04/19/22			453,119		472,400

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1

6.72%		01/02/23			290,604		312,013


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Transportation (continued)

Union Pacific Corp.

3.95%		09/10/28		$	100,000	$	109,179


							893,592


Total Corporates

(Cost $27,369,282)							28,370,824


FOREIGN GOVERNMENT OBLIGATIONS — 1.04%

Foreign Government Obligations — 1.04%

Bahrain Government International Bond, Series REGS (Bahrain)

7.00%		10/12/28	¹		200,000		216,125

Brazilian Government International Bond (Brazil)

4.63%		01/13/28	¹		200,000		210,060

Qatar Government International Bond (Qatar)

4.50%		04/23/28	¹		200,000		224,084

Republic of South Africa Government International Bond (South Africa)

4.88%		04/14/26	¹		200,000		207,875


Total Foreign Government Obligations

(Cost $794,550)							858,144


MORTGAGE-BACKED — 41.34%**

Non-Agency Commercial

Mortgage-Backed — 4.30%

Banc of America Commercial Mortgage Trust, Series 2007-5, Class AJ

6.03%		02/10/51	⁴		178,782		171,306

Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A

4.23%		08/10/38	^3,⁴		140,000		155,042

Banc of America Merrill Lynch Trust, Series 2011-FSHN, Class A

4.42%		07/11/33	³		100,000		103,350

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

3.96%		03/10/39	³		210,000		231,227

CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A

3.37%		03/13/35	³		80,000		83,575

Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)

1.94%		09/10/45	^3,4		1,515,828		68,729

COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class X (IO)

0.50%		04/15/47	^3,4		3,128,506		6,654

Commercial Mortgage Trust, Series 2006-GG7, Class AM

5.83%		07/10/38	⁴		235,989		237,597


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial

Mortgage-Backed (continued)

Commercial Mortgage Trust, Series 2013-CR12, Class XA (IO)

1.33%		10/10/46	⁴	$	1,924,807	$	77,981

Commercial Mortgage Trust, Series 2013-CR13, Class XA (IO)

0.96%		11/10/46	⁴		1,616,320		49,647

Commercial Mortgage Trust, Series 2014-UBS5, Class XA (IO)

1.15%		09/10/47	^4,5,6		2,421,222		86,396

Commercial Mortgage Trust, Series 2015-CR26, Class XA (IO)

1.11%		10/10/48	^4,5,6		3,335,513		159,564

Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AJ

5.75%		01/15/49	⁴		21,964		22,089

GS Mortgage Securities Trust, Series 2012-GC6, Class XB (IO)

0.26%		01/10/45	^3,4		5,749,132		32,993

GS Mortgage Securities Trust, Series 2013-GC12, Class XA (IO)

1.56%		06/10/46	⁴		7,491,084		320,860

Hudson Yards Mortgage Trust, Series 2019-30HY, Class A

3.23%		07/10/39	³		165,000		169,873

JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA (IO)

1.25%		11/15/45	⁴		2,946,719		114,929

JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class XA (IO)

1.17%		08/15/47	⁴		572,005		23,086

JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class XA (IO)

1.11%		11/15/47	⁴		2,879,628		93,837

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class XA (IO)

0.19%		01/15/46	⁴		7,136,870		35,066

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)

1.40%		04/15/46	⁴		1,528,114		62,453

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON, Class A

3.73%		01/05/31	³		95,000		99,530

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-OSB, Class A

3.40%		06/05/39	³		80,000		84,285

Morgan Stanley Capital I Trust, Series 2011-C3, Class A3

4.05%		07/15/49			175,041		174,876


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial
Mortgage-Backed (continued)

SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2A

3.66%		01/05/43	^3,4	$	120,000	$	125,681

UBS Commercial Mortgage Trust, Series 2012-C1, Class XA (IO)

2.25%		05/10/45	^3,4		1,806,253		84,280

UBS Commercial Mortgage Trust, Series 2018-C12, Class A1

3.29%		08/15/51			429,988		440,133

WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)

1.89%		11/15/44	^3,4		3,508,213		107,422

WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA (IO)

2.07%		11/15/45	^3,4		987,348		51,609

WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class XA (IO)

0.87%		06/15/46	⁴		3,100,010		72,292


							3,546,362


Non-Agency Mortgage-Backed — 26.94%

ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.15%)

2.55%		06/25/36	²		1,431,995		1,170,587

Banc of America Funding Trust, Series 2006-3, Class 5A3

5.50%		03/25/36			323,541		309,837

BCAP LLC Trust, Series 2011-RR3, Class 5A3

3.70%		11/27/37	^3,4		202,317		202,973

Bear Stearns ALT-A Trust, Series 2005-1, Class A1
(LIBOR USD 1-Month plus 0.56%)

2.96%		01/25/35	²		60,436		60,453

Chase Mortgage Finance Trust, Series 2007-A1, Class 8A1

4.68%		02/25/37	⁴		110,740		116,006

Conseco Finance Corp., Series 1996-7, Class M1

7.70%		09/15/26	⁴		225,651		239,890

Conseco Finance Corp., Series 1998-3, Class A6

6.76%		03/01/30	⁴		165,448		171,242

Conseco Finance Corp., Series 1998-4, Class A6

6.53%		04/01/30	⁴		227,648		237,854

Conseco Finance Corp., Series 1998-4, Class A7

6.87%		04/01/30	⁴		112,724		118,341


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Conseco Finance Corp., Series 1999-5, Class A5

7.86%		03/01/30	⁴	$	78,814	$	56,706

Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF1

8.00%		06/15/32	⁴		188,556		189,799

Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF2

8.00%		06/15/32	^3,4		402,685		415,182

Conseco Finance Securitizations Corp., Series 2001-4, Class A4

7.36%		08/01/32	⁴		38,652		38,871

Credit Suisse Mortgage Capital, Series 2014-4R, Class 16A1
(LIBOR USD 1-Month plus 0.20%)

2.63%		02/27/36	^2,3		21,936		22,027

Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2B
(STEP-reset date 08/25/19)

4.03%		02/25/37			1,052,510		846,183

Credit-Based Asset Servicing and
Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2C
(STEP-reset date 08/25/19)

4.03%		02/25/37			347,547		279,385

Credit-Based Asset Servicing and
Securitization LLC, Mortgage Loan Trust,
Series 2007-CB3, Class A3
(STEP-reset date 08/25/19)

3.82%		03/25/37			1,039,430		528,431

First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)

2.51%		12/25/37	²		658,783		573,320

First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)

2.62%		01/25/38	²		2,202,101		1,618,423

First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)

2.50%		03/25/37	²		732,906		485,552

GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1

4.21%		04/19/36	⁴		326,159		299,443

GreenPoint Mortgage Funding Trust,
Series 2006-AR8, Class 1A2A⁷

0.00%		01/25/47	^5,8,†		2,140,000		—

GSR Mortgage Loan Trust,
Series 2007-AR2, Class 5A1A

4.34%		05/25/37	⁴		439,309		398,465


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		$	357,149	$	327,791

Impac CMB Trust, Series 2004-4,
Class 1A2
(LIBOR USD 1-Month plus 0.62%)

3.02%		09/25/34	²		264,911		259,645

IndyMac Index Mortgage Loan Trust,
Series 2005-AR25, Class 2A1

3.75%		12/25/35	⁴		392,128		369,875

IndyMac Index Mortgage Loan Trust,
Series 2007-FLX2, Class A1C
(LIBOR USD 1-Month plus 0.19%)

2.59%		04/25/37	²		1,636,563		1,538,269

IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1997-1,
Class A3

6.61%		02/25/28			154,953		156,910

IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1997-1,
Class A4

6.75%		02/25/28			65,230		66,172

IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1998-1,
Class A4

6.49%		09/25/28			84,510		86,910

IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1998-1,
Class A5

6.96%		09/25/28	⁴		203,698		212,367

JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF6
(STEP-reset date 08/25/19)

4.20%		03/25/47			849,488		677,787

JPMorgan Mortgage Trust, Series 2006-S2,
Class 2A2

5.88%		06/25/21			151,150		143,573

JPMorgan Mortgage Trust, Series 2007-S1,
Class 1A2

5.50%		03/25/22			73,207		71,414

Lehman XS Trust, Series 2006-13,
Class 1A2
(LIBOR USD 1-Month plus 0.34%)

2.74%		09/25/36	²		115,121		113,016

Lehman XS Trust, Series 2006-9,
Class A1B
(LIBOR USD 1-Month plus 0.16%)

2.56%		05/25/46	²		45,479		116,548

MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
(LIBOR USD 1-Month plus 0.28%)

2.68%		05/25/37	²		1,810,500		1,594,098


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)

Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.33%)

2.73%		04/25/37	^2,5,6	$	1,696,107	$	151,854

Merrill Lynch Mortgage Investors Trust,
Series 2004-HE2, Class A2C
(LIBOR USD 1-Month plus 1.16%)

3.56%		08/25/35	²		709,726		695,478

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

8.90%		08/15/37			565,499		644,549

Mid-State Capital Corp., Series 2004-1,
Class M1

6.50%		08/15/37			391,103		413,276

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

5.75%		01/15/40			167,660		183,790

Mid-State Trust XI, Series 2011, Class B

8.22%		07/15/38			9,269		10,601

Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4

4.13%		09/25/34	⁴		262,633		260,677

Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2

5.96%		06/25/36	⁴		2,410,716		1,022,883

Oakwood Mortgage Investors, Inc.,
Series 1998-A, Class M

6.83%		05/15/28	⁴		168,899		173,956

Oakwood Mortgage Investors, Inc.,
Series 1999-B, Class A4

6.99%		12/15/26			280,553		288,050

Oakwood Mortgage Investors, Inc.,
Series 2001-D, Class A3

5.90%		09/15/22	⁴		817,517		636,276

Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A3

6.03%		05/15/24	⁴		300,795		311,136

Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1

3.80%		03/25/35	⁴		324,398		217,018

SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)

2.64%		12/25/36	^2,3		1,482,139		992,398

Specialty Underwriting & Residential Finance
Trust, Series 2006-AB3, Class A2B
(LIBOR USD 1-Month plus 0.15%)

2.55%		09/25/37	²		574,434		353,761

Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-12, Class 2A

4.45%		09/25/34	⁴		328,687		328,207


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Terwin Mortgage Trust, Series 2004-7HE, Class A1 (LIBOR USD 1-Month plus 0.55%)
2.95%		07/25/34	^2,3	$	98,925	$	97,974
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A (LIBOR USD 1-Month plus 0.58%)
2.98%		07/25/45	²		78,827		78,451
Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2007-1, Class A3 (LIBOR USD 1-Month plus 0.32%)
2.72%		03/25/37	²		1,500,000		1,278,341


							22,252,021


U.S. Agency Commercial
Mortgage-Backed — 4.18%
Fannie Mae-Aces, Series 2006-M2, Class A2A
5.27%		10/25/32	⁴		327,272		335,372
Fannie Mae-Aces, Series 2011-M5, Class X (IO)
1.21%		07/25/21	⁴		3,761,183		68,971
Fannie Mae-Aces, Series 2012-M13, Class X2 (IO)
0.74%		05/25/22	⁴		19,070,072		285,974
Fannie Mae-Aces, Series 2012-M14, Class X2 (IO)
0.48%		09/25/22	⁴		4,936,791		50,948
Fannie Mae-Aces, Series 2016-M11, Class AL
2.94%		07/25/39			310,081		319,384
Fannie Mae-Aces, Series 2016-M11, Class X2 (IO)
2.72%		07/25/39	⁴		1,775,918		65,164
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X3 (IO)
2.03%		07/25/40	⁴		1,150,000		63,483
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K022, Class X3 (IO)
1.87%		08/25/40	⁴		850,000		45,367
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K093, Class XAM (IO)
1.19%		05/25/29	⁴		945,000		98,917
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K712, Class X1 (IO)
1.42%		11/25/19	⁴		3,635,588		10,427


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X1 (IO)
0.79%		10/25/20	⁴	$	10,631,507	$	66,181
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K732, Class X3 (IO)
2.25%		05/25/46	⁴		700,000		80,753
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K734, Class X1 (IO)
0.79%		02/25/26	⁴		2,249,681		84,878
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KAIV, Class X2 (IO)
3.61%		06/25/41	⁴		1,220,000		77,080
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KIR1, Class X (IO)
1.21%		03/25/26	⁴		1,374,117		83,457
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class A2H
3.05%		01/25/46	⁴		459,271		462,096
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q006, Class APT1
2.62%		07/25/26	⁴		456,662		467,983
FREMF Mortgage Trust, Series 2012-K23, Class X2A (IO)
0.13%		10/25/45	³		63,281,124		213,093
Ginnie Mae, Series 2008-92, Class E
5.56%		03/16/44	⁴		186,473		191,049
Ginnie Mae, Series 2009-114, Class IO (IO)
0.00%		10/16/49	⁴		7,508,014		3,153
Ginnie Mae, Series 2014-103, Class IO (IO)
0.61%		05/16/55	⁴		2,571,442		77,812
Ginnie Mae, Series 2014-125, Class IO (IO)
0.96%		11/16/54	⁴		2,414,975		145,922
Ginnie Mae, Series 2014-88, Class IE (IO)
0.32%		03/16/55	⁴		3,447,399		80,672
Ginnie Mae, Series 2015-47, Class IO (IO)
0.85%		10/16/56	⁴		1,319,082		74,090


							3,452,226

U.S. Agency Mortgage-Backed — 5.92%
Fannie Mae Pool 463408
5.25%		08/01/24			258,593		287,225
Fannie Mae Pool 874941
6.32%		11/01/37			493,398		550,091
Fannie Mae Pool AN6168
3.13%		07/01/32			200,000		208,011


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AN7345
3.21%		11/01/37		$	457,040	$	471,234
Fannie Mae Pool AN9420
3.77%		07/01/43			244,884		271,948
Fannie Mae Pool AN9619
3.77%		06/01/33			285,000		316,854
Fannie Mae Pool BL0242
3.82%		11/01/30			250,000		278,218
Fannie Mae REMICS, Series 1993-80, Class S (-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)
7.94%		05/25/23	²		1,389		1,532
Fannie Mae REMICS, Series 2000-45, Class SA (IO) (-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)
5.57%		12/18/30	²		204,769		22,447
Fannie Mae REMICS, Series 2001-42, Class SB (-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%		09/25/31	²		528		591
Fannie Mae REMICS, Series 2003-124, Class TS (-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%		01/25/34	²		5,928		6,957
Fannie Mae REMICS, Series 2005-92, Class US (IO) (-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
3.70%		10/25/25	²		1,024,568		86,297
Fannie Mae REMICS, Series 2006-125, Class SM (IO) (-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
4.80%		01/25/37	²		1,053,651		223,037
Fannie Mae REMICS, Series 2008-50, Class SA (IO) (-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
3.65%		11/25/36	²		1,236,138		193,864
Fannie Mae REMICS, Series 2010-43, Class KS (IO) (-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
4.02%		05/25/40	²		1,084,645		208,323
Freddie Mac Gold Pool WA3303
3.83%		05/01/35			446,888		496,351
Freddie Mac REMICS, Series 1602, Class SN (-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	²		12,392		13,360
Freddie Mac REMICS, Series 1673, Class SD (-2.15 X US Treasury Yield Curve Rate T Note Constant Maturity 10 Year plus 19.39%, 18.31% Cap)
14.97%		02/15/24	²		69,556		82,005


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%		06/15/23		$	818	$	6
Freddie Mac REMICS, Series 2990, Class ND (-2.54 X LIBOR USD 1-Month plus 16.89%, 16.89% Cap)
10.81%		12/15/34	²		8,901		9,087
Freddie Mac REMICS, Series 3242, Class SA (IO) (-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
3.96%		11/15/36	²		3,461,858		615,811
Freddie Mac REMICS, Series 3247, Class SI (IO) (-1.00 X LIBOR USD 1-Month plus 6.65%, 6.50% Cap)
0.15%		08/15/36	²		14,297,000		81,692
Freddie Mac REMICS, Series 3260, Class AS (IO) (-1.00 X LIBOR USD 1-Month plus 6.38%, 6.38% Cap)
3.99%		01/15/37	²		2,340,995		361,152
Freddie Mac REMICS, Series 3289, Class SD (IO) (-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)
3.73%		03/15/37	²		781,327		55,055
Ginnie Mae, Series 2004-8, Class SE (-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
9.50%		11/26/23	²		44,323		49,646


							4,890,794


Total Mortgage-Backed (Cost $35,714,453)							34,141,403


MUNICIPAL BONDS — 0.80%*

California — 0.36%
State of California, Taxable, Miscellaneous Revenue Bonds, Series B
2.19%		04/01/47			300,000		299,859


New York — 0.44%
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds
5.81%		08/01/30			350,000		363,437


Total Municipal Bonds (Cost $662,275)							663,296


Total Bonds – 90.89% (Cost $75,996,527)							75,072,714


Issues	Maturity Date		Principal Amount/ Shares		Value

SHORT-TERM INVESTMENTS — 8.25%

Money Market Funds — 3.67%

Morgan Stanley Institutional Liquidity Funds-Government Portfolio
2.29%⁹				3,032,000	$	3,032,000


U.S. Treasury Bills — 4.58%
U.S. Treasury Bills
2.11%^10,11		09/26/19	$	153,000		152,240
2.32%¹¹		07/23/19		800,000		798,993
2.34%¹¹		07/16/19		400,000		399,654
2.40%¹¹		10/24/19		1,000,000		993,663
2.41%¹¹		10/10/19		1,000,000		994,136
2.43%¹¹		07/18/19		240,000		239,768
2.43%¹¹		07/25/19		200,000		199,741


						3,778,195

Total Short-Term Investments (Cost $6,807,856)						6,810,195


Total Investments – 99.14% (Cost $82,804,383)						81,882,909


Cash and Other Assets, Less
Liabilities – 0.86%						712,735


Net Assets – 100.00%					$	82,595,644

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

²	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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

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

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $529,990, which is 0.64% of total net assets.

⁷	Non-income producing security.

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

⁹	Represents the current yield as of June 30, 2019.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $152,240.

¹¹	Represents annualized yield at date of purchase.

^†

Fair valued security. The aggregate value of fair valued securities is $473,969, which is 0.57% of total net assets. These securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements.

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

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

(CDO): Collateralized Debt Obligations

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value

BONDS – 97.49%

ASSET-BACKED SECURITIES — 4.79%**

Academic Loan Funding Trust, Series 2012-1A, Class A2 (LIBOR USD 1-Month plus 1.10%)

3.50%		12/27/44	^1,2	$	25,766,654	$	25,852,874

AIMCO CLO, Series 2015-AA, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.85%)

3.45%		01/15/28	^1,2,3		13,120,000		13,102,288

Atrium XII, Series 12A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.83%)

3.42%		04/22/27	^1,2,3		22,000,000		21,950,654

Barings BDC Static CLO Ltd., Series 2019-1A, Class A1 (Cayman Islands) (LIBOR USD 3-Month plus 1.02%)

3.54%		04/15/27	^1,2,3		3,435,000		3,437,670

Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.80%)

3.39%		01/20/28	^1,2,3		54,595,000		54,417,457

Barings CLO Ltd., Series 2016-2A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.08%)

3.67%		07/20/28	^1,2,3		50,005,000		50,015,098

Barings CLO Ltd., Series 2018-3A, Class A1 (Cayman Islands) (LIBOR USD 3-Month plus 0.95%)

3.54%		07/20/29	^1,2,3		35,831,000		35,674,311

Bayview Commercial Asset Trust, Series 2004-3, Class A1 (LIBOR USD 1-Month plus 0.56%)

2.96%		01/25/35	^1,2		1,521,592		1,515,419

Bayview Commercial Asset Trust, Series 2005-1A, Class A1 (LIBOR USD 1-Month plus 0.45%)

2.85%		04/25/35	^1,2		3,393,299		3,335,637

BlueMountain CLO Ltd., Series 2015-2A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 0.93%)

3.53%		07/18/27	^1,2,3		8,330,000		8,318,018

Brazos Education Loan Authority, Inc., Series 2012-1, Class A1 (LIBOR USD 1-Month plus 0.70%)

3.10%		12/26/35	¹		47,202		47,082

Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 (LIBOR USD 3-Month plus 1.20%)

3.72%		02/25/35	¹		14,100,000		14,392,732

Brazos Higher Education Authority, Inc., Series 2011-1, Class A3 (LIBOR USD 3-Month plus 1.05%)


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

3.57%		11/25/33	¹	$	16,050,000	$	16,192,969

Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 (LIBOR USD 3-Month plus 1.00%)

3.58%		10/27/36	¹		24,361,000		24,629,867

CIT Education Loan Trust, Series 2007-1, Class A (LIBOR USD 3-Month plus 0.09%)

2.44%		03/25/42	^1,2		20,287,095		19,392,520

CIT Education Loan Trust, Series 2007-1, Class B (LIBOR USD 3-Month plus 0.30%)

2.65%		06/25/42	^1,2		14,303,671		13,137,693

Clear Creek CLO, Series 2015-1A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.20%)

3.79%		10/20/30	^1,2,3		27,190,000		27,192,284

College Loan Corp. Trust I, Series 2005-2, Class B (LIBOR USD 3-Month plus 0.49%)

3.09%		01/15/37	¹		2,928,146		2,754,964

Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.82%)

3.34%		11/15/28	^1,2,3		19,066,000		18,962,739

Dryden 33 Senior Loan Fund, Series 2014-33A, Class AR2 (Cayman Islands) (LIBOR USD 3-Month plus 1.23%)

3.83%		04/15/29	^1,2,3		1,000,000		1,000,696

Dryden 71 CLO Ltd., Series 2018-71A, Class A (Cayman Islands) (LIBOR USD 3-Month plus 1.15%)

3.84%		01/15/29	^1,2,3		73,850,000		73,852,448

Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.90%)

3.50%		04/15/29	^1,2,3		23,113,000		22,982,643

Education Loan Asset-Backed Trust I, Series 2013-1, Class A2 (LIBOR USD 1-Month plus 0.80%)

3.20%		04/26/32	^1,2		12,740,000		12,702,454

Educational Funding of the South, Inc., Series 2011-1, Class A2 (LIBOR USD 3-Month plus 0.65%)

3.23%		04/25/35	¹		22,338		22,197

Educational Funding of the South, Inc., Series 2012-1, Class A (LIBOR USD 1-Month plus 1.05%)

3.48%		03/25/36	¹		13,638,449		13,656,520


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%)

3.75%		03/25/36	^1,2	$	16,085,000	$	16,194,761

Flatiron CLO Ltd., Series 2015-1A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.89%)

3.49%		04/15/27	^1,2,3		7,145,000		7,145,180

GCO Education Loan Funding Trust, Series 2006-1, Class A11L (LIBOR USD 3-Month plus 0.23%)

2.75%		05/25/36	¹		25,000,000		24,237,927

Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)

3.09%		07/17/29	^2,3		45,264,542		45,447,505

Goal Capital Funding Trust, Series 2005-2, Class B (LIBOR USD 3-Month plus 0.53%)

3.05%		11/25/44	¹		9,176,669		8,713,694

Goal Capital Funding Trust, Series 2006-1, Class B (LIBOR USD 3-Month plus 0.45%)

2.97%		08/25/42	¹		2,556,042		2,359,269

Goal Structured Solutions Trust, Series 2015-1, Class A (LIBOR USD 1-Month plus 0.65%)

3.05%		09/25/41	^1,2		72,245,191		71,195,981

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR2 (Cayman Islands) (LIBOR USD 3-Month plus 1.11%)

3.69%		10/29/29	^1,2,3		5,345,000		5,340,900

J.G. Wentworth XXX LLC, Series 2013-3A, Class A

4.08%		01/17/73	²		787,245		832,943

J.G. Wentworth XXXII LLC, Series 2014-2A, Class A

3.61%		01/17/73	²		46,564,586		48,488,621

LCM XIX LP, Series 19A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.24%)

3.84%		07/15/27	^1,2,3		20,425,000		20,443,867

LCM XX LP, Series 20A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.04%)

3.63%		10/20/27	^1,2,3		8,615,000		8,614,148

LCM XXI LP, Series 21A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.88%)

3.47%		04/20/28	^1,2,3		32,465,000		32,335,140

Limerock CLO III LLC, Series 2014-3A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.20%)


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

3.79%		10/20/26	^1,2,3	$	72,165,420	$	72,197,533

Madison Park Funding XXX Ltd., Series 2018-30A, Class A (Cayman Islands) (LIBOR USD 3-Month plus 0.75%)

3.35%		04/15/29	^1,2,3		22,882,500		22,679,281

Magnetite IX Ltd., Series 2014-9A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.00%)

3.58%		07/25/26	^1,2,3		2,245,803		2,247,627

Magnetite XVIII Ltd., Series 2016-18A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.08%)

3.60%		11/15/28	^1,2,3		20,750,000		20,740,497

Magnetite XVIII Ltd., Series 2019-21A, Class A (Cayman Islands) (LIBOR USD 3-Month plus 1.28%)

3.91%		04/20/30	^1,2,3		34,100,000		34,259,486

Navient Student Loan Trust, Series 2014-1, Class A3 (LIBOR USD 1-Month plus 0.51%)

2.94%		06/25/31	¹		956,984		944,765

Navient Student Loan Trust, Series 2014-2, Class A (LIBOR USD 1-Month plus 0.64%)

3.07%		03/25/83	¹		69,601,789		68,619,777

Navient Student Loan Trust, Series 2014-3, Class A (LIBOR USD 1-Month plus 0.62%)

3.02%		03/25/83	¹		74,096,402		73,120,382

Navient Student Loan Trust, Series 2014-4, Class A (LIBOR USD 1-Month plus 0.62%)

3.02%		03/25/83	¹		113,617,029		111,400,070

Navient Student Loan Trust, Series 2014-5, Class A (LIBOR USD 1-Month plus 0.62%)

3.02%		03/25/83	¹		91,891,579		90,393,939

Navient Student Loan Trust, Series 2014-6, Class A (LIBOR USD 1-Month plus 0.61%)

3.01%		03/25/83	¹		92,730,194		90,956,821

Navient Student Loan Trust, Series 2014-7, Class A (LIBOR USD 1-Month plus 0.61%)

3.01%		03/25/83	¹		94,374,205		92,896,201

Navient Student Loan Trust, Series 2015-1, Class A2 (LIBOR USD 1-Month plus 0.60%)

3.00%		04/25/40	¹		79,631,606		78,871,945

Navient Student Loan Trust, Series 2015-2, Class A3 (LIBOR USD 1-Month plus 0.57%)

2.97%		11/26/40	¹		99,055,000		97,947,704


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

Navient Student Loan Trust, Series 2016-1A, Class A (LIBOR USD 1-Month plus 0.70%)

3.10%		02/25/70	^1,2	$	33,428,701	$	33,427,411

Navient Student Loan Trust, Series 2016-7A, Class A (LIBOR USD 1-Month plus 1.15%)

3.55%		03/25/66	^1,2		65,439,830		65,755,486

Navient Student Loan Trust, Series 2018-3A, Class A3 (LIBOR USD 1-Month plus 0.80%)

3.20%		03/25/67	^1,2		60,000,000		59,522,667

Nelnet Student Loan Trust, Series 2006-1, Class A6 (LIBOR USD 3-Month plus 0.45%)

2.97%		08/23/36	^1,2		12,500,000		12,177,580

Nelnet Student Loan Trust, Series 2007-2A, Class A3L (LIBOR USD 3-Month plus 0.35%)

2.70%		03/25/26	^1,2		31,098,297		30,712,546

Nelnet Student Loan Trust, Series 2008-3, Class A4 (LIBOR USD 3-Month plus 1.65%)

4.17%		11/25/24	¹		1,572,526		1,577,363

Nelnet Student Loan Trust, Series 2012-5A, Class A (LIBOR USD 1-Month plus 0.60%)

3.00%		10/27/36	^1,2		13,703,907		13,669,600

Nelnet Student Loan Trust, Series 2014-4A, Class A2 (LIBOR USD 1-Month plus 0.95%)

3.35%		11/25/48	^1,2		21,495,000		21,286,915

Nelnet Student Loan Trust, Series 2014-5A, Class A (LIBOR USD 1-Month plus 0.55%)

2.95%		07/25/46	^1,2		75,546,558		75,150,853

Nelnet Student Loan Trust, Series 2015-1A, Class A (LIBOR USD 1-Month plus 0.59%)

2.99%		04/25/46	^1,2		137,193,684		135,739,705

Nelnet Student Loan Trust, Series 2015-2A, Class A2 (LIBOR USD 1-Month plus 0.60%)

3.00%		09/25/47	^1,2		60,212,757		59,718,504

Nelnet Student Loan Trust, Series 2015-3A, Class A3 (LIBOR USD 1-Month plus 0.90%)

3.30%		06/25/54	^1,2		13,095,000		12,968,883

Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A (Cayman Islands) (LIBOR USD 3-Month plus 0.85%)

3.45%		01/15/28	^1,2,3		1,690,000		1,685,726


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

North Carolina State Education Authority, Series 2011-1, Class A3 (LIBOR USD 3-Month plus 0.90%)
3.67%		10/25/41	¹	$	20,664,348	$	20,665,102

Northstar Education Finance, Inc., Series 2007-1, Class A2 (LIBOR USD 3-Month plus 0.75%)
3.33%		01/29/46	¹		42,704,432		42,230,652

Octagon Investment Partners 25 Ltd., Series 2015-1A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.80%)
3.39%		10/20/26	^1,2,3		17,910,000		17,904,989

Palmer Square Loan Funding Ltd., Series 2019-1, Class A1 (Cayman Islands) (LIBOR USD 3-Month plus 1.05%)
3.75%		04/20/27	^1,2,3		14,640,000		14,648,901

Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3 (LIBOR USD 3-Month plus 0.95%)
3.27%		10/01/37	¹		16,955,000		17,015,358

Panthera Aviation,Series 2013-1⁴
10.00%		01/25/22	^2,5,6,7,†		13,004,312		3,641,380

Panthera Aviation,Series2013-2⁴
10.00%		03/20/24	^2,5,6,7,†		15,944,679		4,943,062

PHEAA Student Loan Trust, Series 2015-1A, Class A (LIBOR USD 1-Month plus 0.60%)
3.00%		10/25/41	^1,2		152,332,267		150,027,190

Recette CLO Ltd., Series 2015-1A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.92%)
3.51%		10/20/27	^1,2,3		40,880,000		40,859,601

Riserva CLO Ltd., Series 2016-3A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.14%)
3.54%		10/18/28	^1,2,3		13,270,000		13,270,657

Scholar Funding Trust, Series 2012-B, Class A2 (LIBOR USD 1-Month plus 1.10%)
3.50%		03/28/46	^1,2		29,189,644		29,393,955

SLC Student Loan Trust, Series 2004-1, Class B (LIBOR USD 3-Month plus 0.29%)
2.81%		08/15/31	¹		287,762		263,440

SLC Student Loan Trust, Series 2006-1, Class A6 (LIBOR USD 3-Month plus 0.16%)
2.57%		03/15/55	¹		9,495,000		8,979,884

SLC Student Loan Trust, Series 2006-2, Class A6 (LIBOR USD 3-Month plus 0.16%)
2.57%		09/15/39	¹		16,000,000		15,247,631


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLC Student Loan Trust, Series 2008-1, Class A4A (LIBOR USD 3-Month plus 1.60%)

4.01%		12/15/32	¹	$	16,395,645	$	16,805,612

SLM Student Loan Trust, Series 2003-4, Class A5E (LIBOR USD 3-Month plus 0.75%)

3.16%		03/15/33	^1,2		5,752,791		5,658,338

SLM Student Loan Trust, Series 2004-3A, Class A6A (LIBOR USD 3-Month plus 0.55%)

3.13%		10/25/64	^1,2		82,990,000		81,792,906

SLM Student Loan Trust, Series 2005-5, Class A5 (LIBOR USD 3-Month plus 0.75%)

3.33%		10/25/40	¹		7,134,000		7,091,154

SLM Student Loan Trust, Series 2005-8, Class A5 (LIBOR USD 3-Month plus 0.17%)

2.75%		01/25/40	¹		430,000		413,125

SLM Student Loan Trust, Series 2005-9, Class A7A (LIBOR USD 3-Month plus 0.60%)

3.18%		01/25/41	¹		70,465,668		69,455,056

SLM Student Loan Trust, Series 2006-2, Class A6 (LIBOR USD 3-Month plus 0.17%)

2.75%		01/25/41	¹		39,258,093		37,945,226

SLM Student Loan Trust, Series 2006-8, Class A6 (LIBOR USD 3-Month plus 0.16%)

2.74%		01/25/41	¹		33,055,000		31,441,533

SLM Student Loan Trust, Series 2007-1, Class B (LIBOR USD 3-Month plus 0.22%)

2.80%		01/27/42	¹		4,822,911		4,502,814

SLM Student Loan Trust, Series 2007-3, Class A4 (LIBOR USD 3-Month plus 0.06%)

2.64%		01/25/22	¹		2,982,370		2,896,532

SLM Student Loan Trust, Series 2007-6, Class B (LIBOR USD 3-Month plus 0.85%)

3.43%		04/27/43	¹		4,853,225		4,620,261

SLM Student Loan Trust, Series 2008-1, Class A4 (LIBOR USD 3-Month plus 0.65%)

3.23%		01/25/22	¹		44,630,259		44,214,020

SLM Student Loan Trust, Series 2008-2, Class A3 (LIBOR USD 3-Month plus 0.75%)

3.33%		04/25/23	¹		102,686,736		102,081,115


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-2, Class B (LIBOR USD 3-Month plus 1.20%)

3.78%		01/25/83	¹	$	38,874,000	$	37,225,070

SLM Student Loan Trust, Series 2008-3, Class A3 (LIBOR USD 3-Month plus 1.00%)

3.58%		10/25/21	¹		21,299		21,187

SLM Student Loan Trust, Series 2008-3, Class B (LIBOR USD 3-Month plus 1.20%)

3.78%		04/26/83	¹		2,170,000		2,061,677

SLM Student Loan Trust, Series 2008-4, Class A4 (LIBOR USD 3-Month plus 1.65%)

4.23%		07/25/22	¹		2,584,928		2,615,645

SLM Student Loan Trust, Series 2008-4, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		04/25/73	¹		8,759,000		8,883,076

SLM Student Loan Trust, Series 2008-5, Class A4 (LIBOR USD 3-Month plus 1.70%)

4.28%		07/25/23	¹		40,241,161		40,751,238

SLM Student Loan Trust, Series 2008-5, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		07/25/73	¹		37,199,000		37,551,922

SLM Student Loan Trust, Series 2008-6, Class A4 (LIBOR USD 3-Month plus 1.10%)

3.68%		07/25/23	¹		15,383,959		15,396,792

SLM Student Loan Trust, Series 2008-6, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		07/26/83	¹		31,644,000		32,128,631

SLM Student Loan Trust, Series 2008-7, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		07/26/83	¹		17,346,000		17,614,081

SLM Student Loan Trust, Series 2008-8, Class A4 (LIBOR USD 3-Month plus 1.50%)

4.08%		04/25/23	¹		3,581,892		3,618,463

SLM Student Loan Trust, Series 2008-8, Class B (LIBOR USD 3-Month plus 2.25%)

4.83%		10/25/75	¹		545,000		556,146

SLM Student Loan Trust, Series 2008-9, Class A (LIBOR USD 3-Month plus 1.50%)

4.08%		04/25/23	¹		81,747,339		82,711,901


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-9, Class B (LIBOR USD 3-Month plus 2.25%)

4.83%		10/25/83	¹	$	45,100,000	$	46,153,807

SLM Student Loan Trust, Series 2009-3, Class A (LIBOR USD 1-Month plus 0.75%)

3.15%		01/25/45	^1,2		189,651,701		187,045,431

SLM Student Loan Trust, Series 2011-1, Class A2 (LIBOR USD 1-Month plus 1.15%)

3.55%		10/25/34	¹		3,070,000		3,093,147

SLM Student Loan Trust, Series 2012-1, Class A3 (LIBOR USD 1-Month plus 0.95%)

3.38%		09/25/28	¹		329,842		325,882

SLM Student Loan Trust, Series 2012-2, Class A (LIBOR USD 1-Month plus 0.70%)

3.10%		01/25/29	¹		14,984,463		14,722,151

SLM Student Loan Trust, Series 2012-7, Class A3 (LIBOR USD 1-Month plus 0.65%)

3.05%		05/26/26	¹		26,579,983		26,112,972

Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2 (28 Day Auction Rate plus 0.00%)

1.61%		07/01/42	^1,2		20,900,000		19,715,681

TCI-Flatiron CLO Ltd., Series 2016-1, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.22%)

3.81%		07/17/28	^1,2,3		57,520,000		57,560,278

Treman Park CLO Ltd., Series 2015-1A, Class ARR (Cayman Islands) (LIBOR USD 3-Month plus 1.07%)

3.66%		10/20/28	^1,2,3		21,540,000		21,543,402

Vermont Student Assistance Corp., Series 2012-1, Class A (LIBOR USD 1-Month plus 0.70%)

3.10%		07/28/34	¹		3,915,558		3,886,061

Voya CLO Ltd., Series 2014-3A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 0.72%)

3.30%		07/25/26	^1,2,3		23,506,196		23,486,785

Wachovia Student Loan Trust, Series 2006-1, Class A6 (LIBOR USD 3-Month plus 0.17%)

2.75%		04/25/40	^1,2		20,000		19,332


Total Asset-Backed Securities

(Cost $3,639,071,440)							3,623,368,689


Issues	Maturity Date			Principal Amount		Value

BANK LOANS — 1.06%*

Automotive — 0.01%

Panther BF Aggregator 2 LP/Panther Finance Co., Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)

5.90%		04/30/26	¹	$	5,500,000	$	5,467,357


Communications — 0.24%

CommScope, Inc., Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.65%		04/04/26	¹		9,250,000		9,236,125

CSC Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.64%		07/17/25	¹		3,904,687		3,848,850

4.64%		01/15/26	¹		25,247,115		24,884,314

Intelsat Jackson Holdings SA, Term Loan B4, 1st Lien (Luxembourg) (LIBOR plus 4.50%)

6.18%		01/02/24	^1,3		2,000,000		2,011,070

Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg)

6.63%		01/02/24	³		22,379,651		22,528,812

Lamar Media Corp., Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.13%		03/14/25	¹		2,468,750		2,474,922

Level 3 Financing, Inc., Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.25%		02/22/24	¹		11,250,000		11,175,469

SBA Senior Finance II LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.41%		04/11/25	¹		44,629,200		44,132,031

Sprint Communications, Inc., Term Loan B, 1st Lien (LIBOR plus 2.50%)

4.94%		02/02/24	¹		17,476,515		17,243,466
(LIBOR plus 3.00%)

5.44%		02/02/24	¹		12,785,750		12,689,857

Unitymedia Finance LLC, Term Loan E, 1st Lien (LIBOR plus 2.00%)

4.39%		06/01/23	¹		33,320,000		33,272,686


							183,497,602


Consumer Discretionary — 0.04%

Reynolds Group Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 2.75%)

2.75%		02/06/23	¹		26,453,700		26,295,507


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Electric — 0.01%

Homer City Generation LP, Term Loan B, 1st Lien (LIBOR plus 11.00%)

13.41%		04/05/23	^1,5,6	$	8,021,632	$	7,714,123


Energy — 0.04%

Energizer Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.75%		12/17/25	¹		3,990,000		3,982,539

Vistra Operations Co., LLC, Term Loan B1, 1st Lien (LIBOR plus 2.00%)

4.40%		08/04/23	¹		12,726,639		12,725,875

Vistra Operations Co., LLC, Term Loan B3, 1st Lien (LIBOR plus 2.00%)

4.33%		12/31/25	¹		420,088		420,142

4.39%		12/31/25	¹		5,258,808		5,259,492

4.40%		12/31/25	¹		7,361,817		7,362,774


							29,750,822


Finance — 0.12%

Avolon TLB Borrower 1 US, LLC, Term Loan B3, 1st Lien (LIBOR plus 1.75%)

4.13%		01/15/25	¹		11,757,709		11,758,943

Delos Finance SARL, Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.08%		10/06/23	¹		56,470,976		56,467,870

Telenet Financing USD LLC, Term Loan, 1st Lien (LIBOR plus 2.25%)

4.64%		08/17/26	¹		24,510,000		24,282,425


							92,509,238


Gaming — 0.08%

Caesars Entertainment LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.40%		10/07/24	¹		12,326,203		12,239,549

Churchill Downs, Inc., Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.41%		12/27/24	¹		11,812,557		11,812,616

Las Vegas Sands LLC, Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.15%		03/27/25	¹		35,725,057		35,504,990


							59,557,155


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Health Care — 0.15%

Catalent Pharma Solutions, Inc., Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.65%		05/18/26	¹	$	15,960,000	$	15,979,950

Change Healthcare Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.15%		03/01/24	¹		5,804,534		5,769,735

Kindred at Home, Term Loan, 1st Lien (LIBOR plus 3.75%)

6.19%		07/02/25	¹		6,611,543		6,626,023

MPH Acquisition Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.08%		06/07/23	¹		48,947,776		46,928,680

Valeant Pharmaceuticals International Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.16%		11/27/25	¹		5,365,954		5,340,814

(LIBOR plus 3.00%)

5.41%		06/02/25	¹		35,669,053		35,695,092


							116,340,294


Industrials — 0.00%

Clean Harbors, Inc., Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.15%		06/30/24	¹		2,969,697		2,973,409


Information Technology — 0.21%

Dell International LLC, Term Loan A2, 1st Lien (LIBOR plus 1.75%)

4.16%		09/07/21	¹		34,412,548		34,399,644

First Data Corp., Term Loan, 1st Lien (LIBOR plus 2.00%)

4.40%		07/08/22	¹		5,289,329		5,289,197

4.40%		04/26/24	¹		72,048,232		72,048,232

Quintiles IMS, Inc., Term Loan B1, 1st Lien (LIBOR plus 2.00%)

4.33%		03/07/24	¹		13,182,323		13,183,707

Quintiles IMS, Inc., Term Loan B2, 1st Lien (LIBOR plus 2.00%)

4.33%		01/17/25	¹		9,045,040		9,047,889

Quintiles IMS, Inc., Term Loan B3, 1st Lien (LIBOR plus 1.75%)

4.15%		06/11/25	¹		3,217,500		3,204,421

SS&C Technologies, Inc., Term Loan B3, 1st Lien


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Information Technology (continued)

(LIBOR plus 2.25%)

4.65%		04/16/25	¹	$	8,979,815	$	8,956,827

SS&C Technologies, Inc., Term Loan B4, 1st Lien (LIBOR plus 2.25%)

4.65%		04/16/25	¹		6,158,271		6,142,506

SS&C Technologies, Inc., Term Loan B5, 1st Lien (LIBOR plus 2.25%)

4.65%		04/16/25	¹		4,962,019		4,950,978


							157,223,401


Materials — 0.05%

Berry Global, Inc., Term Loan B, 1st Lien (LIBOR plus 2.50%)

2.50%		05/15/26	¹		26,000,000		25,853,750

Berry Global, Inc., Term Loan S, 1st Lien (LIBOR plus 1.75%)

4.16%		02/08/20	¹		9,771,429		9,770,549


							35,624,299


Real Estate Investment Trust (REIT) — 0.05%

MGM Growth Properties Operating Partnership LP, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.40%		03/21/25	¹		28,695,678		28,554,496

VICI Properties 1 LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.40%		12/20/24	¹		9,218,636		9,126,450


							37,680,946


Retail — 0.03%

BC ULC/New Red Finance, Inc., Term Loan B-3, 1st Lien (Canada) (LIBOR plus 2.25%)

7.44%		02/16/24	^1,3		26,274,713		26,121,532


Services — 0.00%

GFL Environmental, Inc., Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.40%		05/30/25	¹		1,496,222		1,474,452


Transportation — 0.03%

United Airlines, Inc., Term Loan, 1st Lien (LIBOR plus 1.75%)

4.15%		04/01/24	¹		18,596,788		18,550,296


Total Bank Loans
(Cost $802,136,833)							800,780,433


Issues	Maturity Date			Principal Amount		Value

CORPORATES — 24.97%*

Automotive — 0.02%

General Motors Co.

6.60%		04/01/36		$	12,120,000	$	13,473,508

(LIBOR USD 3-Month plus 0.80%)

3.37%		08/07/20	¹		4,850,000		4,857,044


							18,330,552


Banking — 2.76%

Bank of America Corp.

2.74%		01/23/22	⁸		135,474,000		136,113,907

3.00%		12/20/23	⁸		158,817,000		161,820,768

3.37%		01/23/26	⁸		32,240,000		33,292,557

3.42%		12/20/28	⁸		68,331,000		70,371,623

3.71%		04/24/28	⁸		90,008,000		94,414,432

Bank of America Corp. (GMTN)

3.59%		07/21/28	⁸		23,925,000		24,928,881

Bank of America Corp. (MTN)

3.09%		10/01/25	⁸		84,205,000		86,345,158

3.12%		01/20/23	⁸		11,362,000		11,536,291

3.56%		04/23/27	⁸		14,885,000		15,550,888

3.82%		01/20/28	⁸		13,757,000		14,573,924

3.97%		03/05/29	⁸		7,185,000		7,686,152

3.97%		02/07/30	⁸		3,635,000		3,899,486

4.27%		07/23/29	⁸		7,390,000		8,057,347

Discover Bank

7.00%		04/15/20			9,000,000		9,310,775

Discover Bank (BKNT)

3.10%		06/04/20			5,843,000		5,875,256

3.20%		08/09/21			5,860,000		5,949,637

4.20%		08/08/23			8,795,000		9,339,446

8.70%		11/18/19			3,676,000		3,757,912

JPMorgan Chase & Co.

3.21%		04/01/23	⁸		7,510,000		7,668,538

3.22%		03/01/25	⁸		128,161,000		131,885,487

3.51%		01/23/29	⁸		10,325,000		10,742,958

3.90%		07/15/25			6,184,000		6,612,783

4.01%		04/23/29	⁸		4,575,000		4,918,955

4.02%		12/05/24	⁸		265,620,000		282,459,118

4.20%		07/23/29	⁸		7,175,000		7,851,126

4.25%		10/15/20			9,330,000		9,562,690

4.95%		03/25/20			20,000,000		20,386,871

(LIBOR USD 3-Month plus 0.96%)

3.55%		01/23/20	¹		15,000,000		15,077,454

Lloyds Bank PLC (United Kingdom)

2.40%		03/17/20	³		2,450,000		2,449,493

3.30%		05/07/21	³		28,625,000		29,037,944

6.38%		01/21/21	³		4,920,000		5,212,516

Lloyds Bank PLC (United Kingdom) (MTN)

5.80%		01/13/20	^2,3		9,850,000		10,026,582


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)

Lloyds Banking Group PLC (United Kingdom)

2.91%		11/07/23	^3,8		$ 80,585,000	$	80,444,097

3.90%		03/12/24	³		31,265,000		32,577,902

4.05%		08/16/23	³		4,605,000		4,810,203

Santander UK Group Holdings PLC (United Kingdom)

2.88%		10/16/20	³		46,925,000		47,076,052

2.88%		08/05/21	³		59,091,000		59,227,412

3.13%		01/08/21	³		26,058,000		26,194,414

3.37%		01/05/24	^3,8		67,950,000		68,630,078

4.80%		11/15/24	^3,8		42,100,000		44,756,837

Santander UK PLC (United Kingdom)

3.40%		06/01/21	³		34,105,000		34,682,864

Wells Fargo & Co.

3.00%		04/22/26			70,095,000		70,986,398

3.00%		10/23/26			42,281,000		42,757,333

(LIBOR USD 3-Month plus 1.23%)

3.81%		10/31/23	¹		12,724,000		12,982,523

Wells Fargo & Co. (GMTN)

2.60%		07/22/20			10,326,000		10,360,802

Wells Fargo & Co. (MTN)

2.63%		07/22/22			192,533,000		193,786,582

3.20%		06/17/27	⁸		37,250,000		37,761,703

3.55%		09/29/25			51,363,000		53,613,118

Wells Fargo & Co., Series N (MTN)

2.15%		01/30/20			6,040,000		6,034,847

Wells Fargo Bank N.A. (BKNT) (SOFR Rate plus 0.48%)

2.96%		03/25/20	¹		16,800,000		16,822,625


							2,090,222,745


Communications — 3.19%

AT&T, Inc.

3.40%		05/15/25			68,981,000		70,935,611

3.80%		02/15/27			23,340,000		24,287,767

3.95%		01/15/25			11,460,000		12,111,353

4.30%		02/15/30			27,050,000		28,986,856

4.35%		06/15/45			30,793,000		30,885,642

4.50%		05/15/35			25,170,000		26,421,402

4.55%		03/09/49			8,845,000		9,061,406

4.75%		05/15/46			16,394,000		17,340,107

4.80%		06/15/44			89,044,000		93,939,960

4.85%		03/01/39			8,472,000		9,095,912

5.15%		11/15/46			14,600,000		16,168,304

5.25%		03/01/37			129,995,000		146,269,425

C&W Senior Financing DAC (Ireland)

6.88%		09/15/27	^2,3		3,150,000		3,256,627


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)

CBS Corp.

2.90%		06/01/23			$ 9,260,000	$	9,348,444

3.70%		06/01/28			46,780,000		47,670,247

CCO Holdings LLC/CCO Holdings Capital Corp.

5.00%		02/01/28	²		1,023,000		1,047,296

5.13%		05/01/27	²		5,310,000		5,504,359

5.38%		06/01/29	²		45,509,000		47,101,815

Charter Communications Operating LLC/Charter Communications Operating Capital

4.50%		02/01/24			672,000		715,834

4.91%		07/23/25			36,522,000		39,731,188

5.75%		04/01/48			14,240,000		15,812,808

6.48%		10/23/45			39,593,000		46,990,952

Clear Channel International BV (Netherlands)

8.75%		12/15/20	^2,3		36,332,000		37,285,715

Comcast Corp.

2.35%		01/15/27			12,240,000		11,938,492

3.38%		02/15/25			1,800,000		1,885,660

3.60%		03/01/24			570,000		602,102

3.90%		03/01/38			4,760,000		5,003,511

3.95%		10/15/25			30,965,000		33,433,955

4.05%		11/01/52			1,875,000		1,983,489

4.15%		10/15/28			39,548,000		43,548,775

4.25%		10/15/30			92,150,000		102,590,687

4.40%		08/15/35			13,145,000		14,663,042

4.60%		10/15/38			62,225,000		71,370,973

4.65%		07/15/42			4,520,000		5,137,486

Cox Communications, Inc.

3.15%		08/15/24	²		14,235,000		14,452,988

CSC Holdings LLC

5.38%		07/15/23	²		200,000		206,000

5.38%		02/01/28	²		13,486,000		14,042,297

5.50%		05/15/26	²		598,000		628,618

6.50%		02/01/29	²		9,999,000		10,930,157

6.75%		11/15/21			4,216,000		4,521,660

Deutsche Telekom International Finance BV (Netherlands)

4.38%		06/21/28	^2,3		4,080,000		4,449,564

Fox Corp.

5.58%		01/25/49	²		14,075,000		17,244,605

Intelsat Jackson Holdings SA (Luxembourg)

5.50%		08/01/23	³		60,428,000		55,442,690

8.50%		10/15/24	^2,3		12,588,000		12,469,987

9.75%		07/15/25	^2,3		21,983,000		22,532,575

Koninklijke KPN NV (Netherlands)

8.38%		10/01/30	³		41,548,000		54,828,860

Level 3 Financing, Inc.

5.38%		01/15/24			7,697,000		7,889,425

5.38%		05/01/25			18,262,000		18,901,170


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)

5.63%		02/01/23		$	2,171,000	$	2,203,478

Qwest Corp.

7.25%		09/15/25			5,059,000		5,622,456

SES GLOBAL Americas Holdings GP

5.30%		03/25/44	²		12,110,000		11,692,060

SES SA (Luxembourg)

3.60%		04/04/23	^2,3		16,882,000		17,072,086

Sprint Capital Corp.

8.75%		03/15/32			3,205,000		3,709,787

Sprint Communications, Inc.

7.00%		03/01/20	²		8,385,000		8,615,587

Sprint Corp.

7.63%		03/01/26			21,619,000		23,099,901

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC

3.36%		09/20/21	²		75,963,375		75,888,171

4.74%		03/20/25	²		53,975,000		56,134,000

5.15%		03/20/28	²		218,278,000		225,372,035

TEGNA, Inc.

5.50%		09/15/24	²		354,000		364,620

Time Warner Cable LLC

4.50%		09/15/42			23,307,000		21,753,379

5.50%		09/01/41			20,046,000		21,057,152

5.88%		11/15/40			41,652,000		45,475,341

T-Mobile USA, Inc.

4.50%		02/01/26			3,629,000		3,719,725

4.75%		02/01/28			18,200,000		18,725,070

6.00%		03/01/23			48,736,000		49,954,400

6.50%		01/15/24			18,635,000		19,298,872

Verizon Communications, Inc.

4.02%		12/03/29	²		32,672,000		35,405,050

4.27%		01/15/36			9,505,000		10,303,868

4.40%		11/01/34			18,355,000		20,379,199

4.81%		03/15/39			12,198,000		14,047,299

5.25%		03/16/37			82,802,000		99,465,654

Viacom, Inc.

3.45%		10/04/26			2,913,000		2,871,040

3.88%		04/01/24			39,132,000		40,788,458

4.25%		09/01/23			23,112,000		24,456,656

Virgin Media Secured Finance PLC (United Kingdom)

5.25%		01/15/26	^2,3		5,575,000		5,733,665

5.50%		08/15/26	^2,3		19,102,000		19,818,325

5.50%		05/15/29	^2,3		36,825,000		37,458,390

Vodafone Group PLC (United Kingdom)

3.75%		01/16/24	³		19,950,000		20,881,166

4.13%		05/30/25	³		10,000,000		10,670,959

4.88%		06/19/49	³		134,940,000		142,359,482

5.25%		05/30/48	³		37,810,000		41,802,789


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)

Walt Disney Co. (The)

4.95%		10/15/45	²	$	1,010,000	$	1,265,369

6.15%		03/01/37	²		3,431,000		4,663,187

7.75%		01/20/24	²		4,872,000		5,939,310


							2,418,735,784


Consumer Discretionary — 0.89%

Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc.

4.70%		02/01/36			13,260,000		14,526,827

4.90%		02/01/46			105,130,000		116,655,297

Anheuser-Busch InBev Worldwide, Inc.

4.00%		04/13/28			10,431,000		11,275,422

4.15%		01/23/25			49,682,000		53,863,436

4.60%		04/15/48			36,668,000		39,336,391

5.55%		01/23/49			28,556,000		35,045,334

Bacardi Ltd. (Bermuda)

4.70%		05/15/28	^2,3		15,236,000		16,313,908

5.15%		05/15/38	^2,3		12,881,000		13,369,532

5.30%		05/15/48	^2,3		39,956,000		42,119,188

BAT Capital Corp.

4.39%		08/15/37			7,800,000		7,404,453

4.54%		08/15/47			53,987,000		50,133,624

BAT International Finance PLC (EMTN) (United Kingdom)

1.63%		09/09/19	³		22,385,000		22,343,130

Central Garden & Pet Co.

5.13%		02/01/28			12,817,000		12,592,703

6.13%		11/15/23			14,925,000		15,522,000

Constellation Brands, Inc. (LIBOR USD 3-Month plus 0.70%)

3.22%		11/15/21	¹		72,090,000		72,130,039

First Quality Finance Co., Inc.

4.63%		05/15/21	²		3,938,000		3,947,845

KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC

4.75%		06/01/27	²		4,999,000		5,136,473

5.00%		06/01/24	²		982,000		1,017,597

5.25%		06/01/26	²		1,245,000		1,307,238

Reynolds American, Inc.

5.85%		08/15/45			58,435,000		63,029,732

6.88%		05/01/20			5,845,000		6,050,095

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A.

5.75%		10/15/20			59,307,454		59,529,857

(LIBOR USD 3-Month plus 3.50%)

6.10%		07/15/21	^1,2		8,770,000		8,791,925

Spectrum Brands, Inc.

6.13%		12/15/24			1,340,000		1,393,600


							672,835,646


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Products — 0.08%

Newell Brands, Inc.

3.85%		04/01/23		$	56,752,000	$	57,648,568


Electric — 2.23%

Alliant Energy Finance LLC

3.75%		06/15/23	²		34,081,000		35,417,833

American Electric Power Co., Inc., Series I

3.65%		12/01/21			14,300,000		14,752,817

American Electric Power Co., Inc., Series J

4.30%		12/01/28			43,405,000		47,611,944

Appalachian Power Co.

4.45%		06/01/45			23,066,000		25,437,623

Appalachian Power Co., Series X

3.30%		06/01/27			13,250,000		13,509,480

Consolidated Edison Co. of New York, Inc.

4.45%		03/15/44			24,565,000		27,270,479

Consolidated Edison Co. of New York, Inc., Series E

4.65%		12/01/48			49,736,000		58,110,194

Dominion Energy, Inc. (LIBOR USD 3-Month plus 0.40%)

2.92%		12/01/20	^1,2		45,075,000		45,100,918

DTE Energy Co.

2.40%		12/01/19			350,000		349,998

Duke Energy Carolinas LLC

3.75%		06/01/45			32,875,000		33,890,295

4.00%		09/30/42			16,040,000		17,106,050

4.25%		12/15/41			26,358,000		29,018,956

Duke Energy Corp.

3.40%		06/15/29			8,072,000		8,260,497

Duke Energy Indiana LLC, Series WWW

4.90%		07/15/43			6,395,000		7,565,138

Duke Energy Progress LLC

3.70%		10/15/46			12,165,000		12,404,054

4.10%		05/15/42			8,150,000		8,752,989

4.15%		12/01/44			9,960,000		10,821,132

4.20%		08/15/45			22,820,000		24,935,186

Duquesne Light Holdings, Inc.

6.40%		09/15/20	²		19,829,000		20,682,083

Entergy Corp.

4.00%		07/15/22			12,632,000		13,121,787

5.13%		09/15/20			9,800,000		10,032,028

Eversource Energy, Series N

3.80%		12/01/23			12,025,000		12,675,276

FirstEnergy Transmission LLC

4.35%		01/15/25	²		23,330,000		25,043,414

4.55%		04/01/49	²		16,175,000		17,769,645

5.45%		07/15/44	²		24,625,000		29,525,368

Florida Power & Light Co.

3.95%		03/01/48			3,710,000		4,066,367


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)

Indiana Michigan Power Co., Series J

3.20%		03/15/23		$	30,672,000	$	31,496,433

Indiana Michigan Power Co., Series K

4.55%		03/15/46			11,515,000		12,973,680

ITC Holdings Corp.

3.35%		11/15/27			6,225,000		6,422,380

3.65%		06/15/24			5,165,000		5,371,966

Jersey Central Power & Light Co.

4.30%		01/15/26	²		4,980,000		5,351,751

4.70%		04/01/24	²		37,747,000		41,068,202

6.40%		05/15/36			12,630,000		15,686,970

Kansas City Power & Light Co.

3.15%		03/15/23			8,034,000		8,275,888

3.65%		08/15/25			13,885,000		14,703,882

KCP&L Greater Missouri Operations Co.

8.27%		11/15/21			75,000		84,504

LG&E & KU Energy LLC

4.38%		10/01/21			14,595,000		15,114,983

Metropolitan Edison Co.

3.50%		03/15/23	²		10,715,000		11,095,818

4.00%		04/15/25	²		35,719,000		37,604,383

4.30%		01/15/29	²		21,746,000		23,740,195

MidAmerican Energy Co.

4.25%		05/01/46			30,700,000		34,253,438

4.40%		10/15/44			8,110,000		9,229,975

4.80%		09/15/43			13,715,000		16,219,544

Minejesa Capital BV (Netherlands)

5.63%		08/10/37	^2,3		4,400,000		4,637,187

Mississippi Power Co. (LIBOR USD 3-Month plus 0.65%)

2.96%		03/27/20	¹		6,300,000		6,301,681

NextEra Energy Capital Holdings, Inc. (LIBOR USD 3-Month plus 0.48%)

3.05%		05/04/21	¹		268,945,000		268,938,734

(LIBOR USD 3-Month plus 0.55%)

3.07%		08/28/21	¹		158,500,000		158,518,779

Niagara Mohawk Power Corp.

4.28%		12/15/28	²		46,775,000		51,300,949

Oncor Electric Delivery Co. LLC

5.75%		03/15/29			23,645,000		29,268,810
PacifiCorp

3.35%		07/01/25			6,580,000		6,815,030

Pennsylvania Electric Co.

4.15%		04/15/25	²		28,335,000		29,805,628

5.20%		04/01/20			25,200,000		25,644,919

Perusahaan Listrik Negara PT, Series REGS (EMTN) (Indonesia)

6.15%		05/21/48	³		4,200,000		4,973,719


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)

PNM Resources, Inc.

3.25%		03/09/21		$	34,295,000	$	34,580,900

Potomac Electric Power Co.

3.60%		03/15/24			6,783,000		7,128,360

Progress Energy, Inc.

4.88%		12/01/19			4,761,000		4,806,178

Public Service Co. of New Mexico

3.85%		08/01/25			14,390,000		14,917,717

5.35%		10/01/21			5,065,000		5,327,544

Southern Co. Gas Capital Corp.

2.45%		10/01/23			49,306,000		48,952,254

5.88%		03/15/41			12,990,000		15,833,758

Southwestern Electric Power Co.

3.55%		02/15/22			15,882,000		16,266,201

Southwestern Electric Power Co., Series K

2.75%		10/01/26			36,488,000		35,672,402

Tucson Electric Power Co.

4.85%		12/01/48			26,195,000		30,736,327

Virginia Electric & Power Co.

4.60%		12/01/48			27,495,000		31,711,505

WEC Energy Group, Inc.

3.38%		06/15/21			11,130,000		11,352,163


							1,685,416,288


Energy — 2.43%

Anadarko Petroleum Corp.

4.50%		07/15/44			16,496,000		16,921,975

Antero Resources Corp.

5.00%		03/01/25			70,467,000		65,358,143

5.13%		12/01/22			14,299,000		13,798,535

5.63%		06/01/23			23,711,000		22,945,135

Brooklyn Union Gas Co. (The)

3.41%		03/10/26	²		12,245,000		12,615,938

Centennial Resource Production LLC

5.38%		01/15/26	²		5,352,000		5,111,160

6.88%		04/01/27	²		16,556,000		16,804,340

CrownRock LP/CrownRock Finance, Inc.

5.63%		10/15/25	²		3,017,000		3,032,085

Ecopetrol SA (Colombia)

5.88%		05/28/45	³		3,600,000		3,994,740

Enbridge Energy Partners LP

7.38%		10/15/45			11,200,000		16,479,279

Endeavor Energy Resources LP/EER Finance, Inc.

5.50%		01/30/26	²		2,377,000		2,475,051

5.75%		01/30/28	²		2,109,000		2,230,267

Energy Transfer Operating LP

4.05%		03/15/25			9,899,000		10,327,926

4.90%		03/15/35			5,160,000		5,232,653

5.15%		03/15/45			63,992,000		65,070,777


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

5.25%		04/15/29		$	11,660,000	$	13,021,124

5.50%		06/01/27			15,467,000		17,316,788

5.88%		01/15/24			35,523,000		39,597,133

EQM Midstream Partners LP

5.50%		07/15/28			41,270,000		43,506,545

6.50%		07/15/48			4,310,000		4,542,376

EQT Corp.

3.90%		10/01/27			112,954,000		107,342,636

Gulfport Energy Corp.

6.38%		05/15/25			5,618,000		4,375,017

Hess Corp.

4.30%		04/01/27			10,000,000		10,381,749

5.60%		02/15/41			27,446,000		29,566,566

5.80%		04/01/47			25,175,000		27,992,349

HollyFrontier Corp.

5.88%		04/01/26			15,800,000		17,305,859

KazMunayGas National Co. JSC, Series REGS (Kazakhstan)

5.38%		04/24/30	³		12,220,000		13,573,747

Kinder Morgan Energy Partners LP

5.00%		08/15/42			5,775,000		6,111,266

5.80%		03/15/35			6,730,000		7,771,977

Kinder Morgan, Inc.

5.30%		12/01/34			7,635,000		8,643,122

6.95%		06/01/28			5,465,000		6,615,000

Matador Resources Co.

5.88%		09/15/26			12,556,000		12,744,340

NGPL Pipe Co. LLC

4.38%		08/15/22	²		2,154,000		2,229,390

Noble Energy, Inc.

5.05%		11/15/44			8,018,000		8,537,085

Parsley Energy LLC/Parsley Finance Corp.

5.38%		01/15/25	²		3,313,000		3,412,390

5.63%		10/15/27	²		8,109,000		8,484,041

Peru LNG SRL, Series REGS (Peru)

5.38%		03/22/30	³		9,000,000		9,707,400

Petrobras Global Finance BV (Netherlands)

5.75%		02/01/29	³		5,650,000		5,907,019

Petroleos del Peru SA, Series REGS (Peru)

4.75%		06/19/32	³		6,600,000		7,231,620

Petroleos Mexicanos (Mexico)

5.35%		02/12/28	³		40,396,000		36,756,320

6.50%		03/13/27	³		41,545,000		41,067,233

6.50%		01/23/29	³		169,916,000		164,818,520

6.63%		06/15/35	³		5,842,000		5,425,757

6.75%		09/21/47	³		56,815,000		50,559,669

Piedmont Natural Gas Co., Inc.

3.50%		06/01/29			6,836,000		7,091,912


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

Plains All American Pipeline LP/PAA Finance Corp.

3.85%		10/15/23		$	9,138,000	$	9,443,611

4.50%		12/15/26			1,220,000		1,299,789

4.65%		10/15/25			68,643,000		73,010,723

Range Resources Corp.

4.88%		05/15/25			25,770,000		22,742,025

5.00%		08/15/22			250,000		239,375

5.00%		03/15/23			1,748,000		1,654,045

Rockies Express Pipeline LLC

4.95%		07/15/29	²		70,835,000		73,473,740

5.63%		04/15/20	²		36,054,000		36,820,147

6.88%		04/15/40	²		41,122,000		46,073,500

Ruby Pipeline LLC

6.00%		04/01/22	²		74,672,000		76,465,711

Sabine Pass Liquefaction LLC

4.20%		03/15/28			16,635,000		17,477,147

5.63%		03/01/25			8,892,000		9,975,713

5.75%		05/15/24			14,816,000		16,489,296

Spectra Energy Partners LP

4.60%		06/15/21			6,115,000		6,341,028

4.75%		03/15/24			8,777,000		9,512,745

Sunoco Logistics Partners Operations LP

3.90%		07/15/26			22,829,000		23,369,971

5.40%		10/01/47			32,678,000		34,670,041

Targa Resources Partners LP/Targa Resources Partners

Finance Corp.

6.88%		01/15/29	²		9,753,000		10,837,436

TC PipeLines LP

3.90%		05/25/27			68,834,000		69,979,122

4.38%		03/13/25			42,850,000		44,983,859

4.65%		06/15/21			6,108,000		6,311,790

Tennessee Gas Pipeline Co. LLC

8.38%		06/15/32			4,079,000		5,418,462

Transcontinental Gas Pipe Line Co. LLC

4.60%		03/15/48			858,000		911,836

TransMontaigne Partners LP/

TLP Finance Corp.

6.13%		02/15/26			8,365,000		8,093,137

Transocean Guardian Ltd. (Cayman Islands)

5.88%		01/15/24	^2,3		18,083,520		18,467,795

Transocean Phoenix 2 Ltd.

(Cayman Islands)

7.75%		10/15/24	^2,3		5,810,250		6,231,493

Transocean Pontus Ltd. (Cayman Islands)

6.13%		08/01/25	^2,3		23,126,040		23,935,451

Transocean Poseidon Ltd. (Cayman Islands)

6.88%		02/01/27	^2,3		24,039,000		25,466,316

Transocean Proteus Ltd. (Cayman Islands)

6.25%		12/01/24	^2,3		15,915,000		16,491,919


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

USA Compression Partners LP/USA Compression Finance

Corp.

6.88%		04/01/26		$	2,230,000	$	2,369,152

6.88%		09/01/27	²		11,920,000		12,576,911

Williams Cos., Inc. (The)

3.35%		08/15/22			7,025,000		7,163,185

3.70%		01/15/23			15,223,000		15,743,474

3.90%		01/15/25			5,542,000		5,760,632

4.50%		11/15/23			19,810,000		21,181,032

4.55%		06/24/24			39,423,000		42,464,999

5.10%		09/15/45			6,555,000		7,099,562

6.30%		04/15/40			32,635,000		39,692,402

7.88%		09/01/21			3,543,000		3,931,635

WPX Energy, Inc.

5.75%		06/01/26			4,687,000		4,886,197


							1,843,090,358


Finance — 3.47%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust

(Ireland)

3.50%		05/26/22	³		19,610,000		19,966,367

3.95%		02/01/22	³		91,455,000		94,127,933

4.45%		12/16/21	³		17,150,000		17,813,641

4.50%		05/15/21	³		16,345,000		16,896,644

4.88%		01/16/24	³		9,985,000		10,727,634

5.00%		10/01/21	³		42,862,000		44,951,523

Air Lease Corp.

2.13%		01/15/20			5,150,000		5,138,322

2.50%		03/01/21			28,960,000		28,936,094

3.00%		09/15/23			10,870,000		10,942,124

3.25%		03/01/25			15,100,000		15,183,722

4.75%		03/01/20			2,310,000		2,343,513

Alta Wind Holdings LLC

7.00%		06/30/35	^2,5,6		17,621,228		19,780,279

Avolon Holdings Funding Ltd.

(Cayman Islands)

5.13%		10/01/23	^2,3		35,897,000		38,086,717

5.25%		05/15/24	^2,3		11,950,000		12,764,094

5.50%		01/15/23	^2,3		14,689,000		15,696,665

Citigroup, Inc.

3.14%		01/24/23	⁸		26,870,000		27,343,054

3.67%		07/24/28	⁸		102,458,000		106,741,277

3.88%		10/25/23			11,880,000		12,577,695

Daimler Finance North America LLC

1.50%		07/05/19	²		11,600,000		11,598,739

1.75%		10/30/19	²		18,115,000		18,063,120

2.20%		05/05/20	²		5,950,000		5,938,863

2.30%		01/06/20	²		11,400,000		11,388,094

Discover Financial Services

3.85%		11/21/22			8,794,000		9,176,684


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)

Ford Motor Credit Co. LLC

1.90%		08/12/19		$	14,465,000	$	14,451,222

2.34%		11/02/20			38,147,000		37,861,485

2.43%		06/12/20			40,044,000		39,898,846

2.46%		03/27/20			8,855,000		8,830,852

2.60%		11/04/19			13,380,000		13,372,206

2.68%		01/09/20			3,820,000		3,815,349

3.10%		05/04/23			10,000,000		9,829,375

3.16%		08/04/20			2,000,000		2,006,777

3.20%		01/15/21			20,460,000		20,589,006

3.22%		01/09/22			60,140,000		60,185,658

3.34%		03/18/21			24,035,000		24,151,750

3.34%		03/28/22			11,257,000		11,305,675

3.81%		10/12/21			22,199,000		22,540,491

4.25%		09/20/22			19,823,000		20,360,685

5.09%		01/07/21			74,500,000		76,792,980

5.60%		01/07/22			51,828,000		54,884,556

5.75%		02/01/21			15,750,000		16,419,187

5.88%		08/02/21			22,933,000		24,189,742

8.13%		01/15/20			4,470,000		4,594,847

(LIBOR USD 3-Month plus 0.88%)
3.48%		10/12/21	¹		48,530,000		47,783,407

(LIBOR USD 3-Month plus 1.08%)
3.66%		08/03/22	¹		11,790,000		11,507,290

(LIBOR USD 3-Month plus 1.27%)
3.60%		03/28/22	¹		34,288,000		33,748,046

GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	³		251,430,000		250,130,861
3.37%		11/15/25	³		7,730,000		7,831,329
4.42%		11/15/35	³		349,227,000		346,228,540

General Motors Financial Co., Inc.
2.35%		10/04/19			19,090,000		19,080,814
3.20%		07/13/20			7,905,000		7,934,476
3.55%		04/09/21			49,689,000		50,429,333

Goldman Sachs Group, Inc. (The)
2.91%		06/05/23	⁸		4,605,000		4,659,849
2.91%		07/24/23	⁸		8,399,000		8,488,720
3.27%		09/29/25	⁸		107,952,000		109,983,446
3.69%		06/05/28	⁸		62,510,000		64,663,554
3.81%		04/23/29	⁸		64,940,000		67,928,858
4.22%		05/01/29	⁸		5,635,000		6,043,153
5.25%		07/27/21			38,045,000		40,210,978
5.75%		01/24/22			9,580,000		10,358,158

Goldman Sachs Group, Inc. (The) (GMTN)
5.38%		03/15/20			60,000		61,248

Goldman Sachs Group, Inc. (The) (MTN)
3.85%		07/08/24			78,406,000		82,265,810

Goldman Sachs Group, Inc., Series D (The) (MTN)
6.00%		06/15/20			9,225,000		9,535,251


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)

Morgan Stanley

(LIBOR USD 3-Month plus 0.93%)
3.52%		07/22/22	¹	$	139,565,000	$	140,484,372

Morgan Stanley (GMTN)
4.00%		07/23/25			16,091,000		17,241,032
5.50%		01/26/20			4,000,000		4,069,546

Nationwide Building Society

(United Kingdom)
3.62%		04/26/23	^2,3,8		1,135,000		1,156,524
3.77%		03/08/24	^2,3,8		29,850,000		30,485,956
4.36%		08/01/24	^2,3,8		62,993,000		65,796,451

Park Aerospace Holdings Ltd.

(Cayman Islands)
3.63%		03/15/21	^2,3		8,990,000		9,063,044
4.50%		03/15/23	^2,3		32,829,000		33,919,194
5.25%		08/15/22	^2,3		16,167,000		17,109,536
5.50%		02/15/24	^2,3		8,435,000		9,103,305

Pipeline Funding Co. LLC
7.50%		01/15/30	²		25,824,547		30,961,762

Raymond James Financial, Inc.
3.63%		09/15/26			3,330,000		3,427,449
4.95%		07/15/46			55,981,000		62,683,185


							2,626,637,964

Food — 0.71%

Campbell Soup Co.
3.30%		03/15/21			12,230,000		12,384,618

(LIBOR USD 3-Month plus 0.50%)
2.91%		03/16/20	¹		81,235,000		81,305,185

(LIBOR USD 3-Month plus 0.63%)
3.04%		03/15/21	¹		5,663,000		5,652,382

Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	²		11,294,000		10,616,360

Conagra Brands, Inc.
3.80%		10/22/21			10,911,000		11,218,688
4.60%		11/01/25			24,443,000		26,629,586

(LIBOR USD 3-Month plus 0.50%)
2.81%		10/09/20	¹		8,270,000		8,252,816

(LIBOR USD 3-Month plus 0.75%)
3.34%		10/22/20	¹		30,650,000		30,656,398

General Mills, Inc.
4.00%		04/17/25			5,665,000		6,036,355
4.70%		04/17/48			6,898,000		7,444,037

Kraft Heinz Foods Co.
3.95%		07/15/25			26,373,000		27,471,506
4.38%		06/01/46			91,846,000		87,213,380
4.63%		01/30/29			19,955,000		21,489,656
5.20%		07/15/45			27,147,000		28,504,554
5.38%		02/10/20			3,505,000		3,563,579


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Food (continued)

6.75%		03/15/32		$	3,475,000	$	4,239,369

(LIBOR USD 3-Month plus 0.42%)

2.98%		08/09/19	¹		11,505,000		11,508,883

Kroger Co. (The)

5.40%		01/15/49			73,668,000		81,796,575

Mondelez International Holdings Netherlands BV (Netherlands)

2.00%		10/28/21	^2,3		31,852,000		31,585,359

Pilgrim’s Pride Corp.

5.88%		09/30/27	²		10,006,000		10,406,240

Post Holdings, Inc.

5.00%		08/15/26	²		3,904,000		3,982,080

5.50%		12/15/29	²		11,504,000		11,575,900

Tyson Foods, Inc.

4.00%		03/01/26			10,690,000		11,393,899

5.10%		09/28/48			2,810,000		3,178,717


							538,106,122


Gaming — 0.06%

Churchill Downs, Inc.

5.50%		04/01/27	²		44,918,000		47,051,605


Health Care — 4.16%

AbbVie, Inc.

3.60%		05/14/25			44,612,000		46,129,521

4.40%		11/06/42			63,824,000		62,919,359

4.45%		05/14/46			4,620,000		4,530,293

4.50%		05/14/35			5,845,000		6,039,374

4.88%		11/14/48			49,787,000		52,334,270

Aetna, Inc.

4.13%		11/15/42			6,375,000		6,030,176

Allergan Finance LLC

3.25%		10/01/22			24,252,000		24,577,000

Allergan Funding SCS (Luxembourg)

3.45%		03/15/22	³		14,825,000		15,142,040

3.80%		03/15/25	³		71,777,000		74,489,654

3.85%		06/15/24	³		57,143,000		59,357,012

Allergan Sales LLC

5.00%		12/15/21	²		30,490,000		32,010,902
Amgen, Inc.

4.40%		05/01/45			31,552,000		33,570,502

4.56%		06/15/48			6,288,000		6,830,205

4.66%		06/15/51			54,600,000		59,802,012

Anthem, Inc.

3.30%		01/15/23			20,420,000		21,040,094

3.35%		12/01/24			52,275,000		54,115,530

3.50%		08/15/24			32,515,000		33,846,427

3.65%		12/01/27			49,165,000		51,098,094

4.38%		12/01/47			5,479,000		5,859,559

4.65%		01/15/43			10,635,000		11,622,810


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

AstraZeneca PLC (United Kingdom)

3.13%		06/12/27	³	$	50,214,000	$	51,459,081

Bausch Health Americas, Inc.

9.25%		04/01/26	²		2,722,000		3,055,445

Bausch Health Cos., Inc. (Canada)

5.75%		08/15/27	^2,3		2,107,000		2,219,682

Baxalta, Inc.

2.88%		06/23/20			11,638,000		11,675,009

4.00%		06/23/25			4,055,000		4,321,486

Bayer U.S. Finance II LLC

2.13%		07/15/19	²		10,504,000		10,501,654

4.25%		12/15/25	²		12,551,000		13,290,565

4.38%		12/15/28	²		194,915,000		206,044,841

4.40%		07/15/44	²		13,814,000		12,876,951

4.63%		06/25/38	²		11,620,000		11,884,355

4.88%		06/25/48	²		8,625,000		8,972,001

(LIBOR USD 3-Month plus 1.01%)

3.42%		12/15/23	^1,2		8,130,000		8,008,089

Becton Dickinson and Co.

2.68%		12/15/19			5,114,000		5,134,814

2.89%		06/06/22			7,905,000		8,042,310

3.25%		11/12/20			42,315,000		42,654,239

3.30%		03/01/23			10,000,000		10,153,680

(LIBOR USD 3-Month plus 0.88%)

3.19%		12/29/20	¹		100,723,000		100,739,561

Boston Scientific Corp.

3.45%		03/01/24			11,950,000		12,481,121

Bristol-Myers Squibb Co.

4.13%		06/15/39	²		2,430,000		2,625,352

Catalent Pharma Solutions, Inc.

4.88%		01/15/26	²		9,846,000		10,030,613

Celgene Corp.

2.75%		02/15/23			47,200,000		47,651,567

3.45%		11/15/27			28,532,000		29,768,729

3.88%		08/15/25			22,320,000		23,933,552

3.90%		02/20/28			55,516,000		59,540,594

4.63%		05/15/44			12,335,000		14,082,817

5.00%		08/15/45			110,166,000		130,704,468

Centene Corp.

4.75%		05/15/22			5,876,000		6,022,900

5.38%		06/01/26	²		2,008,000		2,110,910

5.63%		02/15/21			4,517,000		4,607,340

CHS/Community Health Systems, Inc.

8.00%		03/15/26	²		6,710,000		6,491,925

8.63%		01/15/24	²		5,038,000		5,082,083

Cigna Corp.

3.75%		07/15/23	²		62,070,000		64,645,129

4.38%		10/15/28	²		41,165,000		44,449,817

4.80%		08/15/38	²		29,813,000		32,189,191


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

4.90%		12/15/48	²	$	6,540,000	$	7,122,023

(LIBOR USD 3-Month plus 0.35%)

2.76%		03/17/20	^1,2		25,000,000		25,009,087

(LIBOR USD 3-Month plus 0.65%)

3.06%		09/17/21	^1,2		75,010,000		75,044,201

(LIBOR USD 3-Month plus 0.89%)

3.49%		07/15/23	^1,2		62,890,000		62,879,418

Cigna Holding Co.

3.05%		10/15/27			66,451,000		65,757,052

CVS Health Corp.

2.13%		06/01/21			2,865,000		2,846,941

3.70%		03/09/23			28,695,000		29,694,810

3.88%		07/20/25			27,753,000		29,006,778

4.00%		12/05/23			42,053,000		44,207,459

4.13%		05/15/21			14,780,000		15,194,169

4.78%		03/25/38			39,706,000		41,486,215

4.88%		07/20/35			32,450,000		34,089,942

5.05%		03/25/48			180,314,000		192,351,727

Elanco Animal Health, Inc.

3.91%		08/27/21	²		19,750,000		20,185,149

4.27%		08/28/23	²		6,000,000		6,301,478

4.90%		08/28/28	²		11,850,000		13,245,367

Fresenius Medical Care U.S. Finance II, Inc.

4.13%		10/15/20	²		3,850,000		3,917,186

5.63%		07/31/19	²		143,484,000		143,755,008

Gilead Sciences, Inc.

4.15%		03/01/47			5,183,000		5,427,931

4.50%		02/01/45			10,005,000		11,013,574

HCA, Inc.

4.13%		06/15/29			29,930,000		30,940,137

4.25%		10/15/19			9,790,000		9,830,003

5.00%		03/15/24			36,635,000		39,953,611

5.25%		04/15/25			16,141,000		17,906,044

5.25%		06/15/26			2,652,000		2,933,775

5.25%		06/15/49			81,890,000		85,466,086

5.63%		09/01/28			28,609,000		30,951,362

5.88%		02/01/29			8,742,000		9,594,345

6.50%		02/15/20			42,247,000		43,340,521

Molina Healthcare, Inc.

4.88%		06/15/25	²		10,223,000		10,414,681

5.38%		11/15/22			17,908,000		18,758,630

Providence St. Joseph Health Obligated Group, Series H

2.75%		10/01/26			6,845,000		6,827,191

Shire Acquisitions Investments Ireland DAC (Ireland)

2.40%		09/23/21	³		98,932,000		98,844,566

3.20%		09/23/26	³		6,915,000		6,977,099

Teleflex, Inc.

4.63%		11/15/27			4,186,000		4,306,347


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

Tenet Healthcare Corp.

4.38%		10/01/21		$	5,894,000	$	5,997,145

4.50%		04/01/21			45,133,000		46,035,660

4.75%		06/01/20			5,798,000		5,848,733

6.00%		10/01/20			66,130,000		68,279,225

Teva Pharmaceutical Finance IV LLC

2.25%		03/18/20			13,705,000		13,533,687

Teva Pharmaceutical Finance Netherlands III BV (Netherlands)

1.70%		07/19/19	³		16,750,000		16,739,008

UnitedHealth Group, Inc.

3.95%		10/15/42			4,762,000		4,903,956

4.25%		03/15/43			9,820,000		10,767,794

4.75%		07/15/45			35,948,000		42,746,213

WellCare Health Plans, Inc.

5.25%		04/01/25			5,825,000		6,094,406

5.38%		08/15/26	²		282,000		300,330

Zimmer Biomet Holdings, Inc.

2.70%		04/01/20			250,000		250,376

(LIBOR USD 3-Month plus 0.75%)

3.17%		03/19/21	¹		16,850,000		16,837,646


							3,152,710,797


Industrials — 1.32%

Amcor Finance USA, Inc.

3.63%		04/28/26	²		11,781,000		12,010,588

4.50%		05/15/28	²		4,210,000		4,496,855

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)

4.25%		09/15/22	^2,3		5,000,000		5,043,750

6.00%		02/15/25	^2,3		3,090,000		3,209,737

Ball Corp.

4.00%		11/15/23			9,502,000		9,870,203

Bemis Co., Inc.

6.80%		08/01/19	²		7,415,000		7,420,183

Berry Global Escrow Corp.

4.88%		07/15/26	²		4,900,000		5,016,375

Clean Harbors, Inc.

5.13%		06/01/21			24,390,000		24,462,926

Crown Americas LLC/Crown Americas Capital Corp. V

4.25%		09/30/26			1,847,000		1,890,866

General Electric Co.

2.70%		10/09/22			27,420,000		27,415,594

4.13%		10/09/42			8,300,000		7,660,678

General Electric Co. (GMTN)

2.20%		01/09/20			73,419,000		73,230,921

4.63%		01/07/21			90,088,000		92,693,142

5.50%		01/08/20			34,772,000		35,257,082


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)

General Electric Co. (MTN)

4.38%		09/16/20		$	5,815,000	$	5,946,998

4.65%		10/17/21			86,362,000		90,030,615

5.55%		05/04/20			38,121,000		39,094,953

5.55%		01/05/26			12,235,000		13,573,748

5.88%		01/14/38			94,253,000		107,253,156

(LIBOR USD 3-Month plus 0.48%)

3.00%		08/15/36	¹		11,550,000		8,637,933

General Electric Co., Series A (MTN)

6.75%		03/15/32			55,963,000		69,003,242

General Electric Co., Series NOTZ (MTN) (LIBOR USD 3-Month plus 0.80%)

3.40%		04/15/20	¹		5,250,000		5,247,375

Graphic Packaging International LLC

4.13%		08/15/24			1,325,000		1,351,500

4.75%		07/15/27	²		7,623,000		7,851,690

4.88%		11/15/22			5,635,000		5,867,444

L3 Technologies, Inc.

3.85%		06/15/23			69,120,000		72,292,421

3.95%		05/28/24			27,290,000		28,565,794

4.40%		06/15/28			51,220,000		56,085,296

Northrop Grumman Corp.

3.20%		02/01/27			11,080,000		11,378,992

3.25%		01/15/28			35,945,000		36,931,476

OI European Group BV (Netherlands)

4.00%		03/15/23	^2,3		3,364,000		3,389,230

Sealed Air Corp.

4.88%		12/01/22	²		6,050,000		6,367,625

5.13%		12/01/24	²		3,255,000		3,434,025

5.25%		04/01/23	²		4,088,000		4,312,840

5.50%		09/15/25	²		14,156,000		15,111,530

Silgan Holdings, Inc.

4.75%		03/15/25			3,558,000		3,602,475

United Technologies Corp.

4.13%		11/16/28			3,935,000		4,326,643

4.50%		06/01/42			3,407,000		3,861,357

8.75%		03/01/21			7,320,000		8,048,922

(LIBOR USD 3-Month plus 0.65%)

3.17%		08/16/21	¹		32,520,000		32,540,971

WRKCo, Inc.

4.65%		03/15/26			19,185,000		20,884,624

4.90%		03/15/29			24,615,000		27,009,542


							1,001,681,317


Information Technology — 0.18%

Broadcom Corp./Broadcom Cayman Finance Ltd.

2.38%		01/15/20			7,584,000		7,566,155


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Information Technology (continued)

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.

5.75%		03/01/25	²	$	40,177,000	$	40,880,097

IQVIA, Inc.

5.00%		10/15/26	²		5,326,000		5,532,383

5.00%		05/15/27	²		16,032,000		16,533,000

NXP BV/NXP Funding LLC (Netherlands)

3.88%		09/01/22	^2,3		4,600,000		4,738,513

4.13%		06/01/21	^2,3		14,665,000		15,040,424

SS&C Technologies, Inc.

5.50%		09/30/27	²		41,098,000		42,716,234


							133,006,806


Insurance — 0.43%

Allstate Corp. (The) (LIBOR USD 3-Month plus 0.43%)

2.76%		03/29/21	¹		8,740,000		8,758,425

Berkshire Hathaway Finance Corp.

4.20%		08/15/48			47,731,000		53,181,212

4.25%		01/15/49			11,385,000		12,833,848

4.30%		05/15/43			5,855,000		6,524,050

4.40%		05/15/42			4,637,000		5,277,098

Farmers Exchange Capital

7.05%		07/15/28	²		13,283,000		15,957,157

7.20%		07/15/48	²		18,265,000		22,962,422

Farmers Exchange Capital II

6.15%		11/01/53	^2,8		61,460,000		71,063,125

Farmers Exchange Capital III

5.45%		10/15/54	^2,8		68,575,000		74,575,313

Farmers Insurance Exchange

4.75%		11/01/57	^2,8		17,070,000		16,453,143

Nationwide Mutual Insurance Co.

4.70%		12/15/24	^2,8		18,189,000		18,120,791

Teachers Insurance & Annuity Association of America

4.38%		09/15/54	^2,8		19,825,000		20,681,827


							326,388,411


Materials — 0.19%

Axalta Coating Systems LLC

4.88%		08/15/24	²		8,245,000		8,523,269

Indonesia Asahan Aluminum Persero PT (Indonesia)

6.53%		11/15/28	^2,3		4,000,000		4,727,200

International Flavors & Fragrances, Inc.

5.00%		09/26/48			107,124,000		118,813,746

SASOL Financing USA LLC

5.88%		03/27/24			8,420,000		9,130,267


							141,194,482


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) — 1.55%

Alexandria Real Estate Equities, Inc.

3.80%		04/15/26		$	15,104,900	$	15,876,677

American Campus Communities Operating Partnership LP

3.35%		10/01/20			14,995,000		15,133,599

3.63%		11/15/27			7,095,000		7,245,836

3.75%		04/15/23			45,679,000		47,306,862

4.13%		07/01/24			4,095,000		4,308,960

AvalonBay Communities, Inc. (GMTN)

3.95%		01/15/21			6,025,000		6,156,731

AvalonBay Communities, Inc. (MTN) (LIBOR USD 3-Month plus 0.43%)

3.03%		01/15/21	¹		60,530,000		60,556,025

Boston Properties LP

2.75%		10/01/26			58,327,000		57,468,745

3.20%		01/15/25			72,105,000		73,717,232

4.50%		12/01/28			5,260,000		5,864,679

Digital Realty Trust LP

3.63%		10/01/22			5,490,000		5,651,721

GLP Capital LP/GLP Financing II, Inc.

4.38%		04/15/21			13,411,000		13,677,477

4.88%		11/01/20			19,699,000		20,057,294

5.25%		06/01/25			58,420,000		62,655,450

5.30%		01/15/29			25,900,000		28,059,609

5.38%		11/01/23			16,575,000		17,914,789

5.38%		04/15/26			63,032,000		68,323,536

5.75%		06/01/28			34,128,000		37,736,012

HCP, Inc.

3.15%		08/01/22			10,530,000		10,718,892

3.25%		07/15/26			14,500,000		14,615,478

3.50%		07/15/29			12,838,000		12,897,421

3.88%		08/15/24			24,274,000		25,460,817

4.00%		12/01/22			55,563,000		58,286,896

4.20%		03/01/24			20,709,000		21,961,439

4.25%		11/15/23			77,695,000		82,422,313

Healthcare Realty Trust, Inc.

3.75%		04/15/23			20,945,000		21,433,115

3.88%		05/01/25			12,249,000		12,518,554

Healthcare Trust of America Holdings LP

3.75%		07/01/27			18,945,000		19,543,468

Host Hotels & Resorts LP

5.25%		03/15/22			20,960,000		22,135,177

Hudson Pacific Properties LP

3.95%		11/01/27			2,000,000		2,044,863

4.65%		04/01/29			9,585,000		10,302,050

Kilroy Realty LP

3.45%		12/15/24			28,590,000		29,448,129

Kimco Realty Corp.

3.40%		11/01/22			5,185,000		5,335,841


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)

Liberty Property LP

3.38%		06/15/23		$	9,128,000	$	9,369,609

Life Storage LP

3.88%		12/15/27			6,960,000		7,106,003

MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.

4.50%		01/15/28			1,292,000		1,288,770

Mid-America Apartments LP

4.30%		10/15/23			9,636,000		10,251,454

Reckson Operating Partnership LP

7.75%		03/15/20			26,913,000		27,862,760

SBA Communications Corp.

4.88%		09/01/24			2,494,000		2,571,937

SL Green Operating Partnership LP

3.25%		10/15/22			44,126,000		44,757,244

(LIBOR USD 3-Month plus 0.98%)

3.50%		08/16/21	¹		21,635,000		21,643,200

SL Green Realty Corp.

4.50%		12/01/22			14,495,000		15,222,909

UDR, Inc.

3.70%		10/01/20			7,263,000		7,364,604

Ventas Realty LP

2.65%		01/15/25			2,650,000		2,643,007

3.25%		10/15/26			10,135,000		10,190,393

3.50%		02/01/25			22,540,000		23,351,768

3.75%		05/01/24			14,555,000		15,134,122

4.13%		01/15/26			20,800,000		22,026,299

Ventas Realty LP/Ventas Capital Corp.

3.25%		08/15/22			7,357,000		7,535,230

WEA Finance LLC

3.15%		04/05/22	²		6,330,000		6,437,212

Welltower, Inc.

4.00%		06/01/25			27,119,000		28,595,321

4.95%		09/01/48			12,285,000		13,688,173


							1,173,875,702


Retail — 0.30%

Alimentation Couche-Tard, Inc. (Canada)

2.70%		07/26/22	^2,3		3,803,000		3,811,906

3.55%		07/26/27	^2,3		9,320,000		9,500,704

Cumberland Farms, Inc.

6.75%		05/01/25	²		3,771,000		4,036,800

Dollar Tree, Inc. (LIBOR USD 3-Month plus 0.70%)

3.29%		04/17/20	¹		40,895,000		40,899,942

eG Global Finance PLC (United Kingdom)

6.75%		02/07/25	^2,3		37,764,000		37,563,851

Family Dollar Stores, Inc.

5.00%		02/01/21			17,730,000		18,346,066


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Retail (continued)

Rite Aid Corp.

6.13%		04/01/232		$	64,122,000	$	54,343,395

Walgreens Boots Alliance, Inc.

3.45%		06/01/26			38,545,000		38,944,651

3.80%		11/18/24			10,315,000		10,732,381

4.80%		11/18/44			13,049,000		13,161,613


							231,341,309


Services — 0.31%

DP World Crescent Ltd. (Cayman Islands)

4.85%		09/26/28	^2,3		6,600,000		7,057,875

Gartner, Inc.

5.13%		04/01/25	²		1,488,000		1,533,384

GFL Environmental, Inc. (Canada)

8.50%		05/01/27	^2,3		8,010,000		8,640,787

IHS Markit Ltd. (Bermuda)

4.00%		03/01/26	^2,3		29,548,000		30,567,406

4.13%		08/01/23	³		38,500,000		40,072,725

4.75%		02/15/25	^2,3		34,276,000		36,850,128

4.75%		08/01/28	³		7,632,000		8,346,889

5.00%		11/01/22	^2,3		59,254,000		63,075,883

Matthews International Corp.

5.25%		12/01/25	²		15,554,000		15,340,133

Northwestern University

3.69%		12/01/38			18,720,000		19,554,561

Service Corp. International/U.S.

4.63%		12/15/27			1,922,000		1,970,050


							233,009,821


Transportation — 0.53%

America West Airlines Pass-Through Trust, Series 2001-1, Class G

7.10%		04/02/21			4,931,850		5,105,451

American Airlines Pass-Through Trust, Series 2011-1, Class A

5.25%		01/31/21			1,951,920		2,019,651

American Airlines Pass-Through Trust, Series 2013-1, Class A

4.00%		07/15/25			14,318,685		14,965,589

American Airlines Pass-Through Trust, Series 2013-2, Class A

4.95%		01/15/23			52,542,882		55,004,700

American Airlines Pass-Through Trust, Series 2017-2, Class AA

3.35%		10/15/29			18,865,532		19,125,876

Continental Airlines Pass-Through Trust, Series 1999-2 AMBC, Class C2

6.24%		03/15/20			5,711		5,767

Continental Airlines Pass-Through Trust, Series 1999-2, Class A

7.26%		03/15/20			478,085		483,153


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Transportation (continued)

Continental Airlines Pass-Through Trust, Series 2000-1, Class A1

8.05%		11/01/20		$	4,119	$	4,189

Continental Airlines Pass-Through Trust, Series 2000-2, Class A1

7.71%		04/02/21			1,014,248		1,057,336

Continental Airlines Pass-Through Trust, Series 2007-1, Class A

5.98%		04/19/22			60,514,509		64,251,280

Continental Airlines Pass-Through Trust, Series 2007-1, Class B

6.90%		04/19/22			427,471		445,660

Continental Airlines Pass-Through Trust, Series 2009-2, Class A

7.25%		11/10/19			26,869,496		27,205,365

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1

6.72%		01/02/23			32,770,488		35,184,625

Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1

7.04%		04/01/22			3,027,925		3,210,206

SMBC Aviation Capital Finance DAC (Ireland)

3.00%		07/15/22	^2,3		20,315,000		20,578,201

U.S. Airways Pass-Through Trust, Series 2001-1, Class G

7.08%		03/20/21			457,092		479,897

U.S. Airways Pass-Through Trust, Series 2010-1, Class A

6.25%		04/22/23			16,398,816		17,911,771

U.S. Airways Pass-Through Trust, Series 2011-1, Class A

7.13%		10/22/23			3,067,346		3,460,923

U.S. Airways Pass-Through Trust, Series 2012-1, Class A

5.90%		10/01/24			38,660,376		42,722,422

U.S. Airways Pass-Through Trust, Series 2012-2, Class A

4.63%		06/03/25			9,330		10,047

Union Pacific Corp.

3.95%		09/10/28			30,995,000		33,840,029

United Airlines Pass-Through Trust, Series 2013-1, Class A

4.30%		08/15/25			14,649,378		15,610,489

United Airlines Pass-Through Trust, Series 2018-1, Class AA

3.50%		03/01/30			34,317,021		35,253,875


							397,936,502


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Water — 0.16%

American Water Capital Corp.
3.45%		06/01/29		$	108,253,000	$	112,663,714
4.15%		06/01/49			8,765,000		9,465,836


							122,129,550


Total Corporates (Cost $18,156,928,772)							18,911,350,329


FOREIGN GOVERNMENT OBLIGATIONS — 0.13%

Foreign Government Obligations — 0.13%

Bahrain Government International Bond, Series REGS (Bahrain)

7.00%		10/12/28	³		4,700,000		5,078,937

Brazilian Government International Bond (Brazil)

4.63%		01/13/28	³		5,700,000		5,986,710

Colombia Government International Bond (Colombia)

3.88%		04/25/27	³		4,700,000		4,910,325

Dominican Republic International Bond, Series REGS (Dominican Republic)

6.60%		01/28/24	³		8,420,000		9,370,618

Egypt Government International Bond (Egypt)

5.58%		02/21/23	^2,3		4,700,000		4,788,125

Mexico Government International Bond (Mexico)

3.75%		01/11/28	³		7,500,000		7,653,750

Oman Government International Bond (Oman)

5.63%		01/17/28	^2,3		9,400,000		8,941,750

Perusahaan Penerbit SBSN Indonesia III, Series REGS (Indonesia)

4.15%		03/29/27	³		5,100,000		5,349,747

Qatar Government International Bond (Qatar)

4.50%		04/23/28	³		8,430,000		9,445,132

Russian Foreign Bond - Eurobond, Series REGS (Russia)

4.75%		05/27/26	³		9,400,000		10,027,156

Saudi Government International Bond, Series REGS (EMTN) (Saudi Arabia)

4.50%		10/26/46	³		3,800,000		3,871,934

Saudi Government International Bond (Saudi Arabia)

4.00%		04/17/25	^2,3		8,420,000		8,975,720

South Africa Government International Bond (South Africa)

4.67%		01/17/24	³		7,500,000		7,867,500


Issues	Maturity Date			Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)

Uruguay Government International Bond (Uruguay)

4.38%		10/27/27	³	$	6,570,000	$	7,116,197


Total Foreign Government Obligations (Cost $93,778,793)							99,383,601


MORTGAGE-BACKED — 37.46%**

Non-Agency Commercial
Mortgage-Backed — 1.58%

Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A

4.23%		08/10/38	^2,8		122,855,000		136,054,793

Banc of America Merrill Lynch Trust, Series 2011-FSHN, Class A

4.42%		07/11/33	²		7,740,000		7,999,277

Bayview Commercial Asset Trust, Series 2004-1, Class A

(LIBOR USD 1-Month plus 0.54%)

2.94%		04/25/34	^1,2		27,126		26,912

Bayview Commercial Asset Trust, Series 2004-2, Class A

(LIBOR USD 1-Month plus 0.43%)

2.83%		08/25/34	^1,2		244,469		240,428

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

3.43%		11/05/36	²		8,640,000		9,019,858

CALI Mortgage Trust, Series 2019-101C,

Class A

3.96%		03/10/39	²		80,200,000		88,306,849

CALI Mortgage Trust, Series 2019-101C, Class XA (IO)

0.44%		03/10/39	^2,8		272,551,000		7,354,298

Capmark Mortgage Securities, Inc., Series 1998-C2, Class X (IO)

1.31%		05/15/35	⁸		2,804,909		24,196

CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A

3.37%		03/13/35	²		42,582,744		44,485,875

Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A

3.25%		05/10/35	²		5,000		5,159

Commercial Mortgage Trust, Series 2013-300P, Class A1

4.35%		08/10/30	²		14,635,000		15,680,445

Commercial Mortgage Trust, Series 2013-CR12, Class A4

4.05%		10/10/46			440,000		468,403

Commercial Mortgage Trust, Series 2013-SFS, Class A2

3.09%		04/12/35	^2,8		7,205,000		7,387,238

Commercial Mortgage Trust, Series 2014-277P, Class A


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

3.73%		08/10/49	^2,8	$	15,960,000	$	16,952,639

Commercial Mortgage Trust, Series 2015-3BP, Class A

3.18%		02/10/35	²		16,440,000		17,105,626

Commercial Mortgage Trust, Series 2016-787S, Class A

3.55%		02/10/36	²		74,550,000		78,667,516

Core Industrial Trust, Series 2015-CALW, Class A

3.04%		02/10/34	²		45,744,931		47,154,104

Core Industrial Trust, Series 2015-TEXW, Class A

3.08%		02/10/34	²		3,051,927		3,127,669

DBUBS Mortgage Trust, Series 2011-LC1A, Class A2

4.53%		11/10/46	²		192,158		192,049

Eleven Madison Mortgage Trust, Series 2015-11MD, Class A

3.67%		09/10/35	^2,8		1,362,500		1,445,646

GE Business Loan Trust, Series 2007-1A, Class A

(LIBOR USD 1-Month plus 0.17%)

2.56%		04/15/35	^1,2		6,664,486		6,542,895

GRACE Mortgage Trust, Series 2014-GRCE, Class A

3.37%		06/10/28	²		73,520,000		75,275,011

GS Mortgage Securities Corp. II, Series 2013-KING, Class A

2.71%		12/10/27	²		7,127,299		7,123,878

GS Mortgage Securities Trust, Series 2010-C2, Class A1

3.85%		12/10/43	²		2,114,430		2,132,132

GS Mortgage Securities Trust, Series 2011-GC5, Class A4

3.71%		08/10/44			67,335,000		68,820,265

GS Mortgage Securities Trust, Series 2012-ALOH, Class A

3.55%		04/10/34	²		59,497,000		61,386,339

Hudson Yards Mortgage Trust, Series 2019-30HY, Class A

3.23%		07/10/39	²		84,860,000		87,366,022

Irvine Core Office Trust, Series 2013-IRV, Class A1

2.07%		05/15/48	²		5,834,230		5,827,876

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class A3

4.17%		08/15/46			29,367,185		30,340,547

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class A

3.09%		07/05/32	²		41,066,770		42,042,409


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 2A3

5.62%		03/25/37	^2,8	$	1,787,914		$ 1,788,748

Morgan Stanley Capital I Trust, Series 2014-CPT, Class A

3.35%		07/13/29	²		975,000		999,053

Morgan Stanley Capital I Trust, Series 2014-MP, Class A

3.47%		08/11/33	²		94,742,500		97,140,272

Queens Center Mortgage Trust, Series 2013-QCA, Class A

3.28%		01/11/37	²		15,810,000		16,283,260

RBS Commercial Funding, Inc., Trust, Series 2013-GSP, Class A

3.96%		01/15/32	^2,8		103,085,000		109,180,931

SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1

3.87%		01/05/43	^2,8		20,040,000		20,890,231

VNDO Mortgage Trust, Series 2012-6AVE, Class A

3.00%		11/15/30	²		29,803,200		30,537,873

Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2

4.39%		11/15/43	²		900,000		915,040

WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3

3.00%		08/15/45			47,205,000		48,164,574


							1,194,456,336


Non-Agency Mortgage-Backed — 6.46%

Aames Mortgage Trust, Series 2002-1, Class A3 (STEP-reset date 08/25/19)

7.40%		06/25/32			44,545		44,879

Accredited Mortgage Loan Trust, Series 2007-1, Class A4

(LIBOR USD 1-Month plus 0.22%)

2.62%		02/25/37	¹		46,525,000		45,973,581

ACE Securities Corp. Home Equity Loan Trust, Series 2004-IN1, Class A1

(LIBOR USD 1-Month plus 0.64%)

3.04%		05/25/34	¹		4,073		3,934

ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE3, Class A2C

(LIBOR USD 1-Month plus 0.15%)

2.55%		06/25/36	¹		3,439,462		2,811,595

ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP2, Class A1

(LIBOR USD 1-Month plus 0.19%)

2.59%		06/25/37	¹		45,539,136		37,673,530

Adjustable Rate Mortgage Trust, Series 2005-10, Class 6A1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 0.54%)

2.94%		01/25/36	¹	$	316,363	$	300,163

Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21

(LIBOR USD 1-Month plus 0.23%)

2.63%		09/25/35	¹		298,648		299,411

Adjustable Rate Mortgage Trust, Series 2006-3, Class 4A32

(LIBOR USD 1-Month plus 0.20%)

2.60%		08/25/36	¹		9,395,205		9,338,201

American Home Mortgage Assets Trust, Series 2006-3, Class 2A12

(Federal Reserve US 12-Month Cumulative Average plus 1.15%)

3.65%		10/25/46	¹		48,878,550		44,475,204

American Home Mortgage Assets Trust, Series 2007-2, Class A1

(LIBOR USD 1-Month plus 0.13%)

2.53%		03/25/47	¹		15,505,769		14,341,575

American Home Mortgage Investment Trust, Series 2004-3, Class 2A

(LIBOR USD 6-Month plus 1.50%)

4.11%		10/25/34	¹		6,438,492		6,431,970

Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M1

(LIBOR USD 1-Month plus 0.39%)

2.79%		03/25/36	¹		18,090,527		18,070,282

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-R10, Class A1

(LIBOR USD 1-Month plus 0.66%)

3.06%		11/25/34	¹		26,024,651		25,710,625

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-R11, Class M1

(LIBOR USD 1-Month plus 0.45%)

2.85%		01/25/36	¹		14,530,803		14,613,017

Amresco Residential Securities Corp. Mortgage Loan Trust, Series 1998-1, Class A5 (STEP-reset date 08/25/19)

7.12%		10/25/27			47,163		48,006

Argent Securities, Inc., Asset-Backed Pass-Through Certificates Series 2005-W3, Class M1

(LIBOR USD 1-Month plus 0.44%)

2.84%		11/25/35	¹		19,840,000		19,729,364

Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-W6, Class AV2

(LIBOR USD 1-Month plus 0.90%)

3.30%		05/25/34	¹		12,432,875		12,531,098


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-W2, Class A1

(LIBOR USD 1-Month plus 0.26%)

2.66%		10/25/35	¹	$	9,862,433	$	9,875,021

Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-W3, Class A1

(LIBOR USD 1-Month plus 0.26%)

2.66%		11/25/35	¹		30,311,138		29,908,597

Asset-Backed Funding Certificates, Series 2005-HE1, Class M1

(LIBOR USD 1-Month plus 0.63%)

3.03%		03/25/35	¹		7,871,433		7,899,640

Asset-Backed Funding Certificates, Series 2006-OPT3, Class A3B

(LIBOR USD 1-Month plus 0.16%)

2.56%		11/25/36	¹		22,669,890		13,108,526

Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B

(LIBOR USD 1-Month plus 1.00%)

3.40%		06/25/37	¹		23,337,947		20,365,056

Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A1

(LIBOR USD 1-Month plus 0.13%)

2.53%		07/25/36	¹		15,651,464		15,496,358

Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE6, Class A5

(LIBOR USD 1-Month plus 0.23%)

2.63%		11/25/36	¹		18,411,000		16,887,368

Banc of America Funding Trust, Series 2003-2, Class 1A1

6.50%		06/25/32			19,543		20,763

Banc of America Funding Trust, Series 2006-D, Class 3A1

4.28%		05/20/36	⁸		5,808,178		5,716,617

Banc of America Funding Trust, Series 2006-E, Class 2A1

4.67%		06/20/36	⁸		83,834		83,211

Banc of America Funding Trust, Series 2006-G, Class 2A1

(LIBOR USD 1-Month plus 0.44%)

2.82%		07/20/36	¹		5,224,882		5,243,907

Banc of America Funding Trust, Series 2006-H, Class 3A1

4.27%		09/20/46	⁸		1,487,544		1,398,762

Banc of America Funding Trust, Series 2014-R8, Class A1

(LIBOR USD 1-Month plus 0.24%)

2.64%		06/26/36	^1,2		5,633,337		5,627,126

Banc of America Funding Trust, Series 2015-R2, Class 1A1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 0.14%)

2.54%		08/27/36	^1,2	$	27,702,519	$	27,427,790

Banc of America Funding Trust,
Series 2015-R2, Class 3A1
(LIBOR USD 1-Month plus 0.26%)

2.66%		04/29/37	^1,2		10,723,966		10,671,414

Banc of America Funding Trust,
Series 2015-R2, Class 7A1
(LIBOR USD 1-Month plus 0.28%)

2.68%		09/29/36	^1,2		7,982,986		7,992,983

Banc of America Funding Trust,
Series 2015-R2, Class 9A1
(LIBOR USD 1-Month plus 0.22%)

2.62%		03/27/36	^1,2		5,312,225		5,304,238

Banc of America Funding Trust,
Series 2015-R5, Class 1A1
(LIBOR USD 1-Month plus 0.13%)

2.53%		10/26/36	^1,2		31,665,602		31,422,131

Banc of America Funding Trust,
Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)

2.53%		10/26/36	^1,2		42,536,000		41,431,272

Banc of America Funding Trust,
Series 2016-R1, Class A1

2.50%		03/25/40	^2,8		29,934,624		29,837,905

Banc of America Mortgage Trust,
Series 2004-F, Class 1A1

4.69%		07/25/34	⁸		46,915		49,015

Banc of America Mortgage Trust,
Series 2005-C, Class 2A2

4.64%		04/25/35	⁸		430,966		440,811

Banc of America Mortgage Trust,
Series 2006-2, Class A2
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)

6.00%		07/25/46	¹		169,133		160,704

Banc of America Mortgage Trust,
Series 2007-1, Class 1A24

6.00%		03/25/37			768,197		728,619

Banc of America Mortgage Trust,
Series 2007-3, Class 1A1

6.00%		09/25/37			466,547		457,160

BCAP LLC Trust, Series 2007-AA2,
Class 2A5

6.00%		04/25/37			308,425		245,106

BCAP LLC Trust, Series 2007-AA5,
Class A1
(LIBOR USD 1-Month plus 0.65%)

3.05%		09/25/47	¹		24,621,765		23,327,334

BCAP LLC Trust, Series 2011-RR3,
Class 5A3

3.70%		11/27/37	^2,8		1,280,733		1,284,891

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

BCAP LLC Trust, Series 2015-RR2,

Class 26A1

4.99%

03/28/36

^2,8

$2,486,211

2,508,441

Bear Stearns ALT-A Trust, Series 2005-4,

Class 22A2

4.36%

05/25/35

⁸

20,995

20,960

Bear Stearns ALT-A Trust, Series 2005-7,

Class 11A1

(LIBOR USD 1-Month plus 0.54%)

2.94%

08/25/35

356,022

359,054

Bear Stearns ALT-A Trust, Series 2006-4,

Class 32A1

4.14%

07/25/36

⁸

2,016,648

1,731,632

Bear Stearns ARM Trust, Series 2004-1,

Class 13A2

4.59%

04/25/34

⁸

7,693

7,807

Bear Stearns ARM Trust, Series 2004-10,

Class 14A1

4.43%

01/25/35

⁸

2,956,423

2,973,794

Bear Stearns ARM Trust, Series 2006-4,

Class 2A1

4.12%

10/25/36

⁸

562,407

529,874

Bear Stearns Asset-Backed Securities I

Trust, Series 2005-AC5, Class 2A3

(LIBOR USD 1-Month plus 0.25%)

2.65%

08/25/20

1,598,626

1,049,941

Bear Stearns Asset-Backed Securities I

Trust, Series 2006-AC2, Class 21A3

6.00%

03/25/36

683,457

761,986

Bear Stearns Asset-Backed Securities I

Trust, Series 2006-HE9, Class 3A

(LIBOR USD 1-Month plus 0.14%)

2.54%

11/25/36

8,982,746

8,217,573

Bear Stearns Asset-Backed Securities Trust,

Series 2003-AC7, Class A1

(STEP-reset date 08/25/19)

5.50%

01/25/34

679,083

702,826

Bear Stearns Asset-Backed Securities Trust,

Series 2003-AC7, Class A2

(STEP-reset date 08/25/19)

5.75%

01/25/34

612,239

634,505

Bear Stearns Mortgage Funding Trust,

Series 2006-AR3, Class 1A1

(LIBOR USD 1-Month plus 0.18%)

2.58%

10/25/36

2,294,702

2,173,937

Bear Stearns Mortgage Funding Trust,

Series 2007-AR5, Class 1A1A

(LIBOR USD 1-Month plus 0.17%)

2.57%

06/25/47

588,243

567,486

Carrington Mortgage Loan Trust,

Series 2005-NC5, Class M1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 0.48%)

2.88%		10/25/35	¹	$	545,893	$	548,269

Carrington Mortgage Loan Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.31%)

2.71%		01/25/36	¹		70,053,361		70,134,791

Centex Home Equity Loan Trust,
Series 2006-A, Class AV4
(LIBOR USD 1-Month plus 0.25%)

2.65%		06/25/36	¹		8,008,256		7,969,708

Chase Funding Trust,
Series 2003-5, Class 2A2
(LIBOR USD 1-Month plus 0.60%)

3.00%		07/25/33	¹		3,059		2,843

Chase Funding Trust,
Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)

2.90%		02/26/35	¹		5,668		5,419

Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2

3.99%		09/25/36	⁸		819,666		769,636

Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1

5.50%		11/25/21			1,831,083		1,307,452

Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3

4.50%		07/25/37	⁸		2,254,594		2,351,561

Chaseflex Trust, Series 2005-2, Class 4A2

5.50%		05/25/20			723,277		678,827

Chaseflex Trust, Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)

2.60%		09/25/36	¹		8,598,689		7,143,706

CIM Trust, Series 2016-4, Class A1
(LIBOR USD 1-Month plus 2.00%)

4.44%		10/25/57	^1,2		242,975,730		252,968,217

CIM Trust, Series 2017-5, Class A1

2.30%		05/25/57	^2,8		3,232,376		3,218,347

CIM Trust, Series 2017-5, Class A2A

2.50%		05/25/57	^2,8		64,807,000		63,779,550

CIM Trust, Series 2017-8, Class A1

3.00%		12/25/65	^2,8		127,260,961		128,018,685

CIM Trust, Series 2018-R1, Class A1

3.65%		05/01/55	²		110,732,558		108,257,309

CIM Trust, Series 2018-R2, Class A1

3.69%		08/25/57	^2,8		85,419,539		84,641,490

CIM Trust, Series 2018-R4, Class A1

4.07%		12/26/57	^2,8		59,380,909		60,081,402

CIM Trust, Series 2018-R5, Class A1

3.75%		07/25/58	^2,8		147,632,073		149,639,751

CIM Trust, Series 2018-R6, Class A1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 1.08%)

3.52%		09/25/58	^1,2	$	122,899,725	$	122,040,127
CIT Mortgage Loan Trust, Series 2007-1,
Class 1A
(LIBOR USD 1-Month plus 1.35%)

3.78%		10/25/37	^1,2		59,355,006		60,186,238

Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12

5.00%		02/25/35			234,044		238,755

Citicorp Residential Mortgage Trust,
Series 2006-2, Class A5
(STEP-reset date 08/25/19)

5.36%		09/25/36			406,687		410,027

Citicorp Residential Mortgage Trust,
Series 2007-1, Class A5
(STEP-reset date 08/25/19)

5.25%		03/25/37			650,000		700,031

Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41

4.18%		02/25/34	⁸		128,884		126,809

Citigroup Mortgage Loan Trust, Inc.,
Series 2004-RR2, Class A2

4.96%		05/25/34	^2,8		1,857,147		1,929,474

Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A

4.28%		10/25/35	⁸		647,192		492,427

Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)

2.66%		11/25/35	¹		168,187		138,863

Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH1, Class A4
(LIBOR USD 1-Month plus 0.20%)

2.60%		01/25/37	¹		34,917		34,949

Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH3, Class A3
(LIBOR USD 1-Month plus 0.25%)

2.65%		06/25/37	¹		601,426		599,421

Citigroup Mortgage Loan Trust,
Series 2006-HE1, Class M2
(LIBOR USD 1-Month plus 0.51%)

2.91%		01/25/36	¹		1,202,719		1,206,130

Citigroup Mortgage Loan Trust,
Series 2006-AR2, Class 1A1

4.78%		03/25/36	⁸		13,132,467		12,292,411

Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A

4.54%		06/25/36	⁸		4,284,409		4,172,661

Citigroup Mortgage Loan Trust,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.29%)

2.69%		08/25/36	¹		305,000		301,771

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Citigroup Mortgage Loan Trust,

Series 2006-WF2, Class A1

(STEP-reset date 08/25/19)

6.75%

05/25/36

45,252,233

33,768,655

Citigroup Mortgage Loan Trust,

Series 2007-6, Class 1A4A

3.59%

03/25/37

⁸

458,988

390,681

Citigroup Mortgage Loan Trust,

Series 2010-7, Class 2A1

4.64%

02/25/35

^2,8

27,211

27,454

Citigroup Mortgage Loan Trust,

Series 2012-3, Class 4A1

4.30%

11/25/36

^2,8

215,658

216,485

Citigroup Mortgage Loan Trust,

Series 2014-5, Class 2A2

(LIBOR USD 1-Month plus 1.75%)

4.06%

02/20/36

^1,2

16,177,585

16,178,633

Citigroup Mortgage Loan Trust,

Series 2014-6, Class 3A2

4.35%

11/25/35

^2,8

306,704

307,620

Citigroup Mortgage Loan Trust,

Series 2015-2, Class 1A1

(LIBOR USD 1-Month plus 0.20%)

2.63%

06/25/47

^1,2

12,254,653

12,339,862

Citigroup Mortgage Loan Trust,

Series 2015-2, Class 4A1

(LIBOR USD 1-Month plus 0.70%)

3.16%

03/25/47

^1,2

16,888,765

16,753,707

Citigroup Mortgage Loan Trust,

Series 2015-3, Class 1A1

(LIBOR USD 1-Month plus 0.27%)

2.97%

03/25/36

^1,2

5,825,850

5,791,316

COLT Mortgage Loan Trust, Series 2017-2,

Class A1A

2.42%

10/25/47

^2,8

11,457,987

11,455,572

Conseco Finance Corp., Series 1996-7,

Class M1

7.70%

09/15/26

⁸

3,691,003

3,923,917

Conseco Finance Corp., Series 1998-2,

Class A5

6.24%

12/01/28

10,681

10,810

Conseco Finance Corp., Series 1998-3,

Class A6

6.76%

03/01/30

⁸

1,551,784

1,606,119

Conseco Finance Corp., Series 1998-6,

Class A8

6.66%

06/01/30

⁸

1,959,701

2,039,213

Conseco Finance Home Equity Loan Trust,

Series 2002-C, Class BF2

8.00%

06/15/32

^2,8

195,267

201,328

Conseco Finance Securitizations Corp.,

Series 2001-4, Class A4

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

7.36%

08/01/32

⁸

421,732

424,113

CountryPlace Manufactured Housing

Contract Trust, Series 2007-1, Class A4

5.85%

07/15/37

^2,8

6,492,217

6,590,573

Countrywide Alternative Loan Trust,

Series 2004-J6, Class 2A1

6.50%

11/25/31

7,455

7,934

Countrywide Alternative Loan Trust,

Series 2005-38, Class A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.50%)

4.00%

09/25/35

593,377

590,887

Countrywide Alternative Loan Trust,

Series 2005-76, Class 2A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.00%)

3.50%

02/25/36

51,844,815

50,899,408

Countrywide Alternative Loan Trust,

Series 2005-84, Class 1A1

4.01%

02/25/36

⁸

71,942

57,571

Countrywide Alternative Loan Trust,

Series 2006-HY13, Class 4A1

4.42%

02/25/37

⁸

1,725,249

1,692,022

Countrywide Alternative Loan Trust,

Series 2006-OC5, Class 2A2A

(LIBOR USD 1-Month plus 0.17%)

2.57%

06/25/46

363,062

355,290

Countrywide Alternative Loan Trust,

Series 2007-J1, Class 2A1

(LIBOR USD 1-Month plus 0.20%)

2.60%

03/25/37

653,360

238,336

Countrywide Asset-Backed Certificates Trust,

Series 2007-13, Class 2A2

(LIBOR USD 1-Month plus 0.80%)

3.20%

10/25/47

12,107,370

11,818,478

Countrywide Asset-Backed Certificates,

Series 2005-11, Class AF4

5.21%

03/25/34

⁸

4,909,687

4,980,613

Countrywide Asset-Backed Certificates,

Series 2005-13, Class AF4

5.81%

04/25/36

⁸

249,685

224,751

Countrywide Asset-Backed Certificates,

Series 2005-AB2, Class 1A1

(LIBOR USD 1-Month plus 0.46%)

2.86%

11/25/35

14,736,982

14,719,367

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2001-HYB1,

Class 1A1

4.07%

06/19/31

⁸

10,061

10,110

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2003-J8,

Class 1A4


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

5.25%		09/25/23		$	70,825	$	71,996

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1

3.80%		08/25/34	⁸		974,683		958,487

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A1 (LIBOR USD 1-Month plus 0.66%)

3.06%		02/25/35	¹		121,863		119,678

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB3, Class 1A

4.92%		06/20/34	⁸		21,300		22,069

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1

4.23%		09/20/34	⁸		1,084,391		1,072,081

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 1A2

5.00%		04/25/35	⁸		967,361		971,358

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-31, Class 2A3

3.85%		01/25/36	⁸		194,749		187,645

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 (LIBOR USD 1-Month plus 0.60%)

3.00%		05/25/35	¹		4,118,132		3,856,525

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1

4.51%		09/25/47	⁸		954,098		935,905

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 1A1

3.42%		03/25/37	⁸		1,382,856		1,188,608

Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4

4.46%		08/25/33	⁸		16,721		17,192

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1

4.50%		07/25/20			4,532		4,482

Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2004-1, Class 2A1

6.50%		02/25/34			28,299		29,809

Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2004-AR5, Class 6A1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

4.63%		06/25/34	⁸	$	152,860	$	158,489

Credit Suisse Mortgage Capital, Mortgage-Backed Trust, Series 2006-2, Class 5A1 (LIBOR USD 1-Month plus 0.70%)

3.10%		03/25/36	¹		3,985,755		2,125,394

Credit Suisse Mortgage Capital, Mortgage-Backed Trust, Series 2007-2, Class 3A4

5.50%		03/25/37			1,982,070		1,677,405

Credit Suisse Mortgage Capital, Series 2010-17R, Class 1A1

4.54%		06/26/36	^2,8		162,370		163,766

Credit Suisse Mortgage Capital, Series 2014-11R, Class 10A1 (LIBOR USD 1-Month plus 0.22%)

2.65%		05/27/37	^1,2		1,313,682		1,317,872

Credit Suisse Mortgage Capital, Series 2014-12R, Class 1A1 (LIBOR USD 1-Month plus 1.75%)

4.19%		08/27/36	^1,2		8,606,288		8,673,253

Credit Suisse Mortgage Capital, Series 2015-1R, Class 5A1

4.52%		09/27/35	^2,8		3,966,686		4,003,882

Credit Suisse Mortgage Capital, Series 2015-2R, Class 4A1

3.70%		06/27/47	^2,8		15,430,566		15,344,526

Credit Suisse Mortgage Capital, Series 2015-6R, Class 2A1 (LIBOR USD 1-Month plus 0.20%)

2.63%		11/27/46	^1,2		9,620,115		9,372,987

Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2C (STEP-reset date 08/25/19)

4.03%		02/25/37			36,026,118		28,960,615

Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2D (STEP-reset date 08/25/19)

4.03%		02/25/37			26,376,482		21,198,360

Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2E (STEP-reset date 08/25/19)

4.03%		02/25/37			4,796,522		3,855,604

Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP-reset date 08/25/19)

3.95%		01/25/33			13,538		13,937

Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 1.04%)

3.44%		03/25/33	¹	$	3,138,908	$	3,150,364

Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1 (LIBOR USD 1-Month plus 1.02%)

3.42%		11/25/33	¹		82,632		82,144

Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A1 (LIBOR USD 1-Month plus 0.14%)

2.54%		10/25/36	¹		17,318,367		15,440,240

Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3 (LIBOR USD 1-Month plus 0.15%)

2.55%		11/25/36	¹		31,198,191		19,657,007

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP-reset date 08/25/19)

3.57%		01/25/37			7,422,930		3,318,962

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP-reset date 08/25/19)

3.57%		01/25/37			13,949,452		6,235,981

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2 (LIBOR USD 1-Month plus 0.17%)

2.57%		04/25/37	¹		30,003,830		23,105,019

Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB7, Class A1 (LIBOR USD 1-Month plus 0.14%)

2.54%		10/25/36	¹		56,518,503		44,886,702

CSAB Mortgage-Backed Trust, Series 2006-4, Class A6B (STEP-reset date 08/25/19)

5.78%		12/25/36			5,268,016		627,095

Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR3, Class A1 (LIBOR USD 1-Month plus 0.19%)

2.59%		08/25/36	¹		3,926,818		3,752,671

Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR4, Class A1 (LIBOR USD 1-Month plus 0.13%)

2.53%		12/25/36	¹		2,059,121		1,134,307

Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR6, Class AR6 (LIBOR USD 1-Month plus 0.19%)

2.59%		02/25/37	¹		780,501		718,342

Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-3, Class 1A1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 1.70%)

4.14%		10/25/47	¹	$	36,238,036	$	35,572,909

Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3, Class A1 (LIBOR USD 1-Month plus 0.14%)

2.54%		07/25/47	¹		55,898,264		53,167,478

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 1A7

5.50%		12/25/35			465,385		461,871

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1

4.26%		02/25/36	⁸		1,156,793		1,096,540

DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A (LIBOR USD 1-Month plus 0.36%)

2.75%		01/19/45	¹		2,538,212		2,374,194

DSLA Mortgage Loan Trust, Series 2005-AR1, Class 2A1A (LIBOR USD 1-Month plus 0.25%)

2.64%		02/19/45	¹		365,583		364,566

DSLA Mortgage Loan Trust, Series 2005-AR3, Class 2A1A (LIBOR USD 1-Month plus 0.24%)

2.63%		07/19/45	¹		200,455		198,073

DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A (LIBOR USD 1-Month plus 0.20%)

2.59%		10/19/36	¹		19,274,948		17,806,604

DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A (LIBOR USD 1-Month plus 0.14%)

2.53%		04/19/47	¹		10,472,256		9,547,768

Equity One Mortgage Pass-Through Trust, Series 2002-4, Class M1

5.22%		02/25/338			10,828		10,890

Equity One Mortgage Pass-Through Trust, Series 2002-5, Class M1 (STEP-reset date 08/25/19)

5.80%		11/25/32			36,213		38,477

First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C (LIBOR USD 1-Month plus 0.16%)

2.56%		10/25/36	¹		15,342,327		12,202,788

First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2D (LIBOR USD 1-Month plus 0.24%)

2.64%		10/25/36	¹		967,450		779,094

First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B (LIBOR USD 1-Month plus 0.11%)

2.51%		12/25/37	¹		11,496,583		10,005,154


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2C (LIBOR USD 1-Month plus 0.16%)

2.56%		12/25/37	¹	$	31,616,636	$	27,637,998

First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D (LIBOR USD 1-Month plus 0.21%)

2.61%		12/25/37	¹		22,914,708		20,120,213

First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 1A (LIBOR USD 1-Month plus 0.15%)

2.55%		04/25/36	¹		26,837,778		25,985,873

First Franklin Mortgage Loan Trust, Series 2006-FF8, Class IIA4 (LIBOR USD 1-Month plus 0.23%)

2.63%		07/25/36	¹		31,440,000		30,083,603

First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2C (LIBOR USD 1-Month plus 0.14%)

2.54%		01/25/38	¹		74,758,508		54,249,364

First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B (LIBOR USD 1-Month plus 0.10%)

2.50%		03/25/37	¹		28,322,746		18,763,879

First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2C (LIBOR USD 1-Month plus 0.15%)

2.55%		03/25/37	¹		16,236,977		10,859,799

First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2D (LIBOR USD 1-Month plus 0.22%)

2.62%		03/25/37	¹		30,232,822		20,488,544

First Horizon Alternative Mortgage Securities Trust, Series 2004-AA2, Class 1A1

4.21%		08/25/34	⁸		8,429,936		8,482,627

First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1

4.38%		09/25/34	⁸		37,331		37,374

First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1

4.46%		10/25/34	⁸		1,449,832		1,456,020

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1

4.16%		12/25/35	⁸		16,856,932		15,720,095

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1

4.17%		02/25/36	⁸		17,766,095		15,846,251

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4, Class 2A1

3.95%		06/25/35	⁸		17,356,892		16,391,678

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

4.37%		09/25/35	⁸	$	15,410,667	$	14,959,884

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1

4.40%		10/25/35	⁸		19,251,733		15,751,466

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1

4.32%		11/25/35	⁸		17,920,515		16,429,682

First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1

4.44%		03/25/36	⁸		21,619,403		18,575,352

First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7

6.00%		02/25/37			12,251		9,126

First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1

4.63%		12/25/34	⁸		210,930		220,946

First Horizon Mortgage Pass-Through Trust, Series 2006-AR4, Class 1A2

4.72%		01/25/37	⁸		114,038		102,193

First Horizon Mortgage Pass-Through Trust, Series 2007-AR3, Class 1A1

4.37%		11/25/37	⁸		243,101		219,861

FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 (LIBOR USD 1-Month plus 0.40%)

2.79%		08/19/34	¹		5,357		5,364

Fremont Home Loan Trust, Series 2005-C, Class M1 (LIBOR USD 1-Month plus 0.72%)

3.12%		07/25/35	¹		10,362		10,391

GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1 (LIBOR USD 1-Month plus 0.44%)

2.84%		06/25/30	¹		25,178		21,129

GMACM Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1

4.18%		11/19/35	⁸		713,444		686,910

GMACM Mortgage Corp. Loan Trust, Series 2006-AR2, Class 1A1

3.95%		05/19/36	⁸		1,567,800		1,017,348

GreenPoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1 (LIBOR USD 1-Month plus 0.24%)

2.64%		08/25/45	¹		1,699,810		1,541,796

GreenPoint Mortgage Funding Trust, Series 2005-AR4, Class G41B (LIBOR USD 1-Month plus 0.20%)

2.60%		10/25/45	¹		16,400,469		14,745,501

GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 1A1A (LIBOR USD 1-Month plus 0.27%)

2.67%		07/25/35	¹		1,473,253		1,475,661

Issues

Maturity

Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

GreenPoint Mortgage Funding Trust,

Series 2006-AR8, Class 1A2A⁴

0.00%

01/25/47

^5,7,†

37,800,000

—

GreenPoint Mortgage Funding Trust,

Series 2007-AR1, Class 3A2

(LIBOR USD 1-Month plus 0.16%)

2.56%

02/25/37

1,865,055

1,857,609

GS Mortgage-Backed Securities Trust,

Series 2018-RPL1, Class A1A

3.75%

10/25/57

51,488,152

50,717,127

GSAA Home Equity Trust, Series 2005-11,

Class 1A1

(LIBOR USD 1-Month plus 0.28%)

2.68%

10/25/35

5,255,249

5,302,962

GSAA Home Equity Trust, Series 2005-9,

Class 2A3

(LIBOR USD 1-Month plus 0.37%)

2.77%

08/25/35

527,466

527,867

GSAMP Trust, Series 2005-AHL2, Class A2D

(LIBOR USD 1-Month plus 0.35%)

2.75%

12/25/35

25,693,000

25,133,486

GSR Mortgage Loan Trust,

Series 2004-9, Class 3A1

4.58%

08/25/34

⁸

4,261

4,316

GSR Mortgage Loan Trust,

Series 2004-9, Class 5A7

4.18%

08/25/34

⁸

344,328

348,485

GSR Mortgage Loan Trust,

Series 2005-AR5, Class 2A3

4.33%

10/25/35

⁸

3,259,533

2,544,558

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 4A5

4.53%

09/25/35

⁸

151,583

154,691

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 2A1

4.55%

05/25/37

⁸

2,309,049

2,053,867

HarborView Mortgage Loan Trust,

Series 2004-1, Class 2A

4.66%

04/19/34

⁸

6,502

6,419

HarborView Mortgage Loan Trust,

Series 2004-11, Class 3A2A

(LIBOR USD 1-Month plus 0.68%)

3.07%

01/19/35

393,969

358,528

HarborView Mortgage Loan Trust,

Series 2004-5, Class 2A6

4.08%

06/19/34

⁸

3,579

3,623

HarborView Mortgage Loan Trust,

Series 2005-3, Class 2A1A

(LIBOR USD 1-Month plus 0.48%)

2.87%

06/19/35

458,182

461,690

HarborView Mortgage Loan Trust,

Series 2005-4, Class 2A

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

5.08%

07/19/35

⁸

45,311

41,329

HarborView Mortgage Loan Trust,

Series 2006-10, Class 1A1A

(LIBOR USD 1-Month plus 0.20%)

2.59%

11/19/36

80,619,169

72,523,634

HarborView Mortgage Loan Trust,

Series 2006-7, Class 1A

(LIBOR USD 1-Month plus 0.21%)

2.60%

09/19/46

93,333,081

89,424,927

HarborView Mortgage Loan Trust,

Series 2007-7, Class 1A1

(LIBOR USD 1-Month plus 1.00%)

3.40%

10/25/37

30,780,515

30,207,317

HarborView Mortgage Loan Trust,

Series 2007-7, Class 2A1A

(LIBOR USD 1-Month plus 1.00%)

3.40%

10/25/37

26,244,273

26,273,320

Impac CMB Trust, Series 2005-1,

Class 1A1

(LIBOR USD 1-Month plus 0.52%)

2.92%

04/25/35

4,771,884

4,634,988

Impac CMB Trust, Series 2005-4,

Class 1A1B

(LIBOR USD 1-Month plus 0.25%)

2.65%

05/25/35

6,032,747

5,749,126

Impac Secured Assets Corp.,

Series 2004-3, Class M1

(LIBOR USD 1-Month plus 0.90%)

3.30%

11/25/34

626,913

635,000

Impac Secured Assets Corp.,

Series 2004-4, Class M3

(LIBOR USD 1-Month plus 0.90%)

3.30%

02/25/35

670,000

683,039

Impac Secured Assets Trust,

Series 2006-3, Class A1

(LIBOR USD 1-Month plus 0.17%)

2.57%

11/25/36

9,564,782

9,172,946

Impac Secured Assets Trust,

Series 2007-2, Class 1A1A

(LIBOR USD 1-Month plus 0.11%)

2.51%

05/25/37

8,944,602

7,633,172

Impac Secured Assets Trust,

Series 2007-2, Class 1A1B

(LIBOR USD 1-Month plus 0.25%)

2.65%

05/25/37

65,786,450

54,808,180

IndyMac Index Mortgage Loan Trust,

Series 2004-AR4, Class 1A

4.07%

08/25/34

⁸

1,271,400

1,286,797

IndyMac Index Mortgage Loan Trust,

Series 2004-AR5, Class 2A1B


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 0.80%)

3.20%		08/25/34	¹	$	18,489	$	17,378

IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2

(LIBOR USD 1-Month plus 0.86%)

3.26%		09/25/34	¹		65,124		60,069

IndyMac Index Mortgage Loan Trust,
Series 2005-AR1, Class 4A1

4.25%		03/25/35	⁸		676,358		674,942

IndyMac Index Mortgage Loan Trust,
Series 2005-AR17, Class 3A1

4.01%		09/25/35	⁸		4,714,389		4,058,257

IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1

3.76%		10/25/35	⁸		26,612,427		23,227,508

IndyMac Index Mortgage Loan Trust,
Series 2005-AR31, Class 3A1

4.03%		01/25/36	⁸		1,238,580		1,182,470

IndyMac Index Mortgage Loan Trust,
Series 2005-AR6, Class 2A1

(LIBOR USD 1-Month plus 0.48%)

2.88%		04/25/35	¹		621,866		607,236

IndyMac Index Mortgage Loan Trust,
Series 2006-AR19, Class 1A2

3.96%		08/25/36	⁸		16,399,144		13,489,578

IndyMac Index Mortgage Loan Trust,
Series 2006-AR21, Class A1

(LIBOR USD 1-Month plus 0.12%)

2.52%		08/25/36	¹		184,276		169,650

IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 2A2

(LIBOR USD 1-Month plus 0.20%)

2.60%		10/25/36	¹		24,862,187		23,947,552

IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1

3.78%		05/25/36	⁸		3,943,915		3,666,417

IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 2A1

4.05%		05/25/36	⁸		28,450,840		23,863,025
IndyMac Index Mortgage Loan Trust,

Series 2007-AR1, Class 1A2

4.26%		03/25/37	⁸		705,679		682,581

IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1

3.34%		06/25/37	⁸		4,134,259		3,528,947

IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1

3.86%		11/25/37	⁸		3,023,252		2,969,203

IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1997-1,
Class A3

6.61%		02/25/28			95,960		97,172

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

JPMorgan Alternative Loan Trust,

Series 2006-A2, Class 2A1

4.36%

05/25/36

⁸

799,582

674,887

JPMorgan Alternative Loan Trust,

Series 2006-A2, Class 5A1

4.11%

05/25/36

⁸

8,063,325

6,307,172

JPMorgan Mortgage Acquisition Trust,

Series 2005-WMC1, Class M2

(LIBOR USD 1-Month plus 0.66%)

3.06%

09/25/35

8,660,321

8,678,569

JPMorgan Mortgage Acquisition Trust,

Series 2006-NC2, Class A4

(LIBOR USD 1-Month plus 0.15%)

2.55%

07/25/36

247,992

247,809

JPMorgan Mortgage Acquisition Trust,

Series 2006-WF1, Class A3A

(STEP-reset date 08/25/19)

5.83%

07/25/36

36,741,716

19,381,641

JPMorgan Mortgage Acquisition Trust,

Series 2006-WF1, Class A6

(STEP-reset date 08/25/19)

6.00%

07/25/36

5,123,544

2,512,239

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH1, Class MV1

(LIBOR USD 1-Month plus 0.23%)

2.63%

11/25/36

507,003

508,125

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH3, Class A4

(LIBOR USD 1-Month plus 0.21%)

2.61%

03/25/37

1,062,947

1,063,568

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH4, Class A1

(LIBOR USD 1-Month plus 0.15%)

2.55%

05/25/37

58,210,392

56,040,957

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF1

(LIBOR USD 1-Month plus 0.10%)

2.50%

03/25/47

143,841

102,462

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF2

(STEP-reset date 08/25/19)

4.20%

03/25/47

9,409,792

7,507,959

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF3

(STEP-reset date 08/25/19)

4.20%

05/25/35

7,919,489

6,318,834

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF4

(STEP-reset date 08/25/19)

4.20%

03/25/47

3,599,768

2,872,167

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AV4


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 0.28%)

2.68%		03/25/47	¹	$	240,000	$	213,621

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

4.11%		11/25/33	⁸		163,637		161,598

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

4.80%		09/25/34	⁸		647,857		680,476

JPMorgan Mortgage Trust, Series 2005-A5, Class TA1

4.57%		08/25/35	⁸		137,948		140,924

JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3

5.50%		09/25/20			2,283,802		2,124,232

JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3

4.63%		11/25/33	⁸		5,787		5,769

JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1

4.46%		05/25/36	⁸		1,220,858		1,192,093

JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3

4.20%		05/25/36	⁸		826,865		821,156

JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1

4.48%		06/25/36	⁸		640,510		580,036

JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4

4.48%		06/25/36	⁸		2,064,798		1,850,097

JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4

4.51%		08/25/36	⁸		598,363		534,520

JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2

4.70%		07/25/35	⁸		1,907,871		1,991,986

JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3

4.33%		05/25/37	⁸		2,851,909		2,615,657

JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2

4.15%		05/25/37	⁸		463,449		458,246

JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1

4.31%		06/25/37	⁸		4,144,307		3,879,886

JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3

4.59%		06/25/37	⁸		626,984		582,782

JPMorgan Resecuritization Trust, Series 2015-1, Class 3A1 (LIBOR USD 1-Month plus 0.19%)

2.62%		12/27/46	^1,2		10,836,213		10,650,316


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Lehman XS Trust, Series 2005-5N, Class 3A1A (LIBOR USD 1-Month plus 0.30%)

2.70%		11/25/35	¹	$	11,002,386	$	10,972,083

Lehman XS Trust, Series 2005-7N, Class 1A1A (LIBOR USD 1-Month plus 0.54%)

2.94%		12/25/35	¹		475,993		470,186

Lehman XS Trust, Series 2006-12N, Class A31A (LIBOR USD 1-Month plus 0.20%)

2.60%		08/25/46	¹		18,813,036		17,769,490

Lehman XS Trust, Series 2006-13, Class 1A2 (LIBOR USD 1-Month plus 0.34%)

2.74%		09/25/36	¹		4,167,023		4,090,820

Lehman XS Trust, Series 2006-14N, Class 3A2 (LIBOR USD 1-Month plus 0.24%)

2.64%		08/25/36	¹		69,090		66,980

Lehman XS Trust, Series 2006-8, Class 1A1A (LIBOR USD 1-Month plus 0.16%)

2.56%		06/25/36	¹		41,058,264		36,527,222

Lehman XS Trust, Series 2006-9, Class A1B (LIBOR USD 1-Month plus 0.16%)

2.56%		05/25/46	¹		2,055,742		5,268,172

Lehman XS Trust, Series 2007-4N, Class 1A3 (LIBOR USD 1-Month plus 0.24%)

2.64%		03/25/47	¹		26,951,845		23,900,880

Long Beach Mortgage Loan Trust, Series 2004-4, Class M1 (LIBOR USD 1-Month plus 0.90%)

3.30%		10/25/34	¹		45,002		45,313

MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2

4.26%		01/25/34	⁸		37,419		37,834

MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1

4.33%		11/25/33	⁸		1,070,567		1,087,461

MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1

4.66%		11/21/34	⁸		4,610,954		4,814,402

MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 9A1

4.42%		10/25/34	⁸		411,767		413,614

MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1

3.63%		06/25/34	⁸		251		246


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Adjustable Rate Mortgages Trust, Series 2004-8, Class 2A1

4.55%		09/25/34	⁸	$	3,387,165	$	3,369,843

MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 5A1

4.60%		05/25/36	⁸		7,332,256		5,735,874

MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3 (LIBOR USD 1-Month plus 0.15%)

2.55%		11/25/36	¹		15,515,168		7,519,131

MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A4 (LIBOR USD 1-Month plus 0.21%)

2.61%		11/25/36	¹		4,309,769		2,118,207

MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A3 (LIBOR USD 1-Month plus 0.21%)

2.61%		05/25/37	¹		36,772,644		35,318,882

MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1

4.62%		10/25/32	⁸		18,332		18,983

Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class A1 (LIBOR USD 1-Month plus 0.70%)

3.09%		11/15/31	¹		1,415,790		1,430,666

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A1 (LIBOR USD 1-Month plus 0.14%)

2.54%		04/25/37	¹		186,954,998		120,311,496

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2B (LIBOR USD 1-Month plus 0.17%)

2.57%		04/25/37	¹		35,884,031		19,834,956

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C (LIBOR USD 1-Month plus 0.25%)

2.65%		04/25/37	¹		75,171,372		42,170,080

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C (LIBOR USD 1-Month plus 0.24%)

2.64%		05/25/37	¹		36,720,711		23,655,884

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2D (LIBOR USD 1-Month plus 0.32%)

2.72%		05/25/37	¹		18,134,281		11,839,852

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C (LIBOR USD 1-Month plus 0.18%)

2.58%		06/25/37	¹		15,152,709		11,976,277

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 0.25%)

2.65%		06/25/37	¹		$20,238,029	$	16,841,477

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A2 (LIBOR USD 1-Month plus 0.12%)

2.52%		07/25/37	¹		32,701,330		22,538,659

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A3 (LIBOR USD 1-Month plus 0.16%)

2.56%		07/25/37	¹		23,970,887		16,139,440

Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A

4.58%		10/25/33	⁸		434,842		444,011

Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1

4.35%		08/25/34	⁸		1,804,349		1,821,708

Merrill Lynch Mortgage Investors Trust, Series 2005-A10, Class A (LIBOR USD 1-Month plus 0.21%)

2.61%		02/25/36	¹		11,486		11,349

Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A4 (LIBOR USD 1-Month plus 0.34%)

2.74%		08/25/35	¹		396,535		397,673

Merrill Lynch Mortgage Investors Trust, Series 2006-WMC2, Class A2B (STEP-reset date 08/25/19)

5.61%		03/25/37			31,501,100		10,713,620

Merrill Lynch Mortgage Investors Trust, Series 2006-WMC2, Class A2D (STEP-reset date 08/25/19)

5.90%		03/25/37			24,654,827		8,384,985

Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-2, Class 1A1 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.40%)

4.69%		08/25/36	¹		5,118,008		5,086,822

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

6.01%		08/15/37			306,278		332,732

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

5.75%		01/15/40			15,213,239		16,676,874

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

5.79%		10/15/40	²		11,316,410		12,585,214

Mid-State Trust XI, Series 2011, Class A1

4.86%		07/15/38			249,246		268,224

Morgan Stanley ABS Capital I Trust, Series 2006-NC1, Class A4 (LIBOR USD 1-Month plus 0.30%)

2.70%		12/25/35	¹		2,863,832		2,859,042


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A1 (LIBOR USD 1-Month plus 0.32%)

2.72%		01/25/35	¹	$	150,718	$	149,292

Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4

4.13%		09/25/34	⁸		886,388		879,785

Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A (LIBOR USD 1-Month plus 0.26%)

2.66%		04/25/35	¹		3,161,402		3,157,564

Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2

5.96%		06/25/36	⁸		815,313		345,943

Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 1A2S (STEP-reset date 08/25/19)

5.50%		02/25/47			163,125		162,366

Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1 (LIBOR USD 1-Month plus 0.12%)

2.52%		04/25/37	¹		5,551,627		2,575,853

Morgan Stanley Resecuritization Trust, Series 2013-R7, Class 2B (1.00 X LIBOR USD 1-Month plus 0.24%, 11.50% Cap)

2.91%		12/26/46	^1,2		20,495,360		20,379,041

Morgan Stanley Resecuritization Trust, Series 2013-R9, Class 3A

4.08%		06/26/46	^2,8		1,265,107		1,275,454

Morgan Stanley Resecuritization Trust, Series 2014-R2, Class 1A (Federal Reserve US 12-Month Cumulative Average plus 0.82%)

3.30%		12/26/46	^1,2		10,545,733		10,507,840

Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 4A (Federal Reserve US 12-Month Cumulative Average plus 0.98%)

3.46%		07/26/46	^1,2		4,320,579		4,318,905

Morgan Stanley Resecuritization Trust, Series 2014-R4, Class 2A

4.26%		08/26/34	^2,8		1,895,591		1,934,102

Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A (Federal Reserve US 12-Month Cumulative Average plus 0.75%)

2.91%		06/26/47	^1,2		23,275,118		22,978,144

Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 4A (Federal Reserve US 12-Month Cumulative Average plus 0.96%)

3.44%		06/26/47	^1,2		7,940,286		7,945,932


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Morgan Stanley Resecuritization Trust, Series 2015-R4, Class 2A (LIBOR USD 1-Month plus 0.40%)

3.23%		08/26/47	^1,2	$	11,253,143	$	11,197,995

MortgageIT Trust, Series 2005-1, Class 1A1 (LIBOR USD 1-Month plus 0.64%)

3.04%		02/25/35	¹		6,391,569		6,446,782

MortgageIT Trust, Series 2005-4, Class A1 (LIBOR USD 1-Month plus 0.28%)

2.68%		10/25/35	¹		7,832,241		7,891,727

MortgageIT Trust, Series 2005-5, Class A1 (LIBOR USD 1-Month plus 0.52%)

2.92%		12/25/35	¹		1,282,824		1,273,465

Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4 (LIBOR USD 1-Month plus 0.28%)

2.68%		09/25/36	¹		11,063,183		11,012,813

Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4 (LIBOR USD 1-Month plus 0.25%)

2.65%		06/25/37	¹		8,265,000		7,961,399

New Century Home Equity Loan Trust, Series 2003-6, Class M1 (LIBOR USD 1-Month plus 1.08%)

3.48%		01/25/34	¹		143,292		144,935

New Century Home Equity Loan Trust, Series 2005-1, Class M1 (LIBOR USD 1-Month plus 0.68%)

3.08%		03/25/35	¹		679,963		683,116

New Century Home Equity Loan Trust, Series 2005-B, Class A1 (LIBOR USD 1-Month plus 0.25%)

2.65%		10/25/35	¹		1,098,416		1,098,315

New Century Home Equity Loan Trust, Series 2005-D, Class A1 (LIBOR USD 1-Month plus 0.22%)

2.62%		02/25/36	¹		310,468		307,184

Nomura Home Equity Loan, Inc., Series 2006-HE2, Class A4 (LIBOR USD 1-Month plus 0.27%)

2.67%		03/25/36	¹		24,732,000		24,664,135

Nomura Resecuritization Trust, Series 2011-4RA, Class 2A1

3.74%		06/26/37	^2,8		1,240,453		1,255,106

Nomura Resecuritization Trust, Series 2013-1R, Class 2A1 (LIBOR USD 1-Month plus 0.14%)

1.94%		11/26/36	^1,2		4,802,346		4,763,758

Nomura Resecuritization Trust, Series 2014-4R, Class 1A1

4.05%		01/26/36	^2,8		1,609,143		1,617,412


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Nomura Resecuritization Trust, Series 2014-6R, Class 2A1 (LIBOR USD 1-Month plus 0.16%)
2.41%		03/26/37	^1,2	$	6,619,365	$	6,572,193

Nomura Resecuritization Trust, Series 2014-7R, Class 4A1 (LIBOR USD 1-Month plus 0.13%)
2.56%		01/26/37	^1,2		10,712,850		10,626,903

Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5
8.16%		09/15/29	⁸		21,643,051		11,415,272

Option One Mortgage Loan Trust, Series 2006-1, Class 1A1 (LIBOR USD 1-Month plus 0.22%)
2.62%		01/25/36	¹		19,363,677		19,043,684

Ownit Mortgage Loan Trust, Series 2006-4, Class A1 (LIBOR USD 1-Month plus 0.14%)
2.54%		05/25/37	¹		23,075,134		22,230,906

Ownit Mortgage Loan Trust, Series 2006-4, Class A2D (LIBOR USD 1-Month plus 0.24%)
2.64%		05/25/37	¹		22,885,996		19,521,801

Popular ABS Mortgage Pass-Through Trust, Series 2005-6, Class A5 (STEP-reset date 08/25/19)
3.77%		01/25/36			22,910,000		20,793,719

Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A3 (LIBOR USD 1-Month plus 0.26%)
2.66%		11/25/36	¹		73,525		72,811

Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3 (LIBOR USD 1-Month plus 0.31%)
2.71%		06/25/47	¹		23,015,500		20,935,440

Popular ABS, Inc., Series 1998-1, Class A2 (STEP-reset date 08/25/19)
7.48%		11/25/29			73,604		72,500

Provident Funding Mortgage Loan Trust, Series 2003-1, Class A
4.82%		08/25/33	⁸		516,134		533,618

Residential Accredit Loans Trust, Series 2005-QA12, Class CB1
4.91%		12/25/35	⁸		4,515,819		2,988,475

Residential Accredit Loans Trust, Series 2005-QA4, Class A41
4.53%		04/25/35	⁸		1,251,273		1,178,192

Residential Accredit Loans Trust, Series 2005-QA7, Class A1
4.22%		07/25/35	⁸		3,912,399		3,336,015

Residential Accredit Loans Trust, Series 2005-QO5, Class A1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
3.50%		01/25/46	¹	$	6,382,342	$	5,804,019

Residential Accredit Loans Trust, Series 2006-QA1, Class A11
4.61%		01/25/36	⁸		154,534		135,523

Residential Accredit Loans Trust, Series 2006-QA1, Class A21
4.93%		01/25/36	⁸		15,954,315		14,366,688

Residential Accredit Loans Trust, Series 2006-QA7, Class 2A1 (LIBOR USD 1-Month plus 0.19%)
2.59%		08/25/36	¹		28,232,732		26,558,977

Residential Accredit Loans Trust, Series 2006-QS10, Class AV (IO)
0.56%		08/25/36	^5,6,8		27,950,295		657,707

Residential Accredit Loans Trust, Series 2006-QS12, Class 2A9 (LIBOR USD 1-Month plus 0.38%)
2.78%		09/25/36	¹		265,133		209,098

Residential Accredit Loans Trust, Series 2006-QS2, Class 1AV (IO)
0.46%		02/25/36	^5,6,8		92,867,147		1,505,674

Residential Accredit Loans Trust, Series 2006-QS7, Class AV (IO)
0.72%		06/25/36	^5,6,8		49,218,397		1,278,335

Residential Accredit Loans Trust, Series 2006-QS8, Class AV (IO)
0.78%		08/25/36	^5,6,8		113,689,944		3,636,299

Residential Accredit Loans Trust, Series 2007-QS10, Class AV (IO)
0.48%		09/25/37	^5,6,8		80,313,900		1,846,336

Residential Accredit Loans Trust, Series 2007-QS4, Class 3AV (IO)
0.38%		03/25/37	^5,6,8		50,948,356		758,616

Residential Accredit Loans Trust, Series 2007-QS5, Class AV (IO)
0.26%		03/25/37	^5,6,8		61,418,437		574,686

Residential Accredit Loans Trust, Series 2007-QS6, Class AV (IO)
0.31%		04/25/37	^5,6,8		126,164,225		1,677,486

Residential Accredit Loans Trust, Series 2007-QS7, Class 2AV (IO)
0.38%		06/25/37	^5,6,8		40,950,415		601,001

Residential Accredit Loans Trust, Series 2007-QS8, Class AV (IO)
0.40%		06/25/37	^5,6,8		108,138,806		2,049,348

Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A2
6.50%		12/25/31			3,132		3,136

Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

6.50%		11/25/31		$	37,301	$	39,718

Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A4

8.50%		12/25/31			31,535		21,990

Residential Asset Mortgage Products Trust, Series 2005-RS8, Class A3 (LIBOR USD 1-Month plus 0.37%)

2.77%		09/25/35	¹		3,297,611		3,298,591

Residential Asset Mortgage Products Trust, Series 2005-RZ3, Class M3 (LIBOR USD 1-Month plus 0.55%)

2.95%		09/25/35	¹		750,000		755,292

Residential Asset Securities Trust, Series 2006-KS3, Class M1 (LIBOR USD 1-Month plus 0.33%)

2.73%		04/25/36	¹		815,000		804,638

Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1

4.59%		12/25/34	⁸		258,561		258,824

Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1

4.55%		12/25/34	⁸		21,058		21,290

Residential Asset Securitization Trust, Series 2004-IP2, Class 3A1

4.63%		12/25/34	⁸		497,439		510,668

Residential Asset Securitization Trust, Series 2006-A7CB, Class 1A3

6.25%		07/25/36			2,504,301		2,557,371

Residential Funding Mortgage Securities Trust, Series 2005-SA5, Class 1A

4.13%		11/25/35	⁸		5,195,470		4,235,948

Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 3A1

5.11%		09/25/36	⁸		867,634		836,052

Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 4A1

5.45%		09/25/36	⁸		360,811		287,787

Residential Funding Mortgage Securities Trust, Series 2006-SA4, Class 2A1

5.36%		11/25/36	⁸		107,176		103,481

Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 2A2

4.90%		04/25/37	⁸		2,037,296		1,973,439

Saxon Asset Securities Trust, Series 2001-2, Class AF6 (STEP-reset date 08/25/19)

6.81%		08/25/31			4,379		4,872

Saxon Asset Securities Trust, Series 2007-1, Class A2C (LIBOR USD 1-Month plus 0.15%)

2.55%		01/25/47	¹		6,638,668		6,538,050

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


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 0.40%)

2.80%		09/25/47	¹	$	32,174,000	$	29,457,826

Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2 (STEP-reset date 08/25/19)

3.36%		01/25/36			8,087,189		7,050,155

Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2A (LIBOR USD 1-Month plus 0.11%)

2.51%		02/25/37	¹		6,742,195		3,796,868

Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2B (LIBOR USD 1-Month plus 0.27%)

2.67%		02/25/37	¹		33,375,975		19,444,486

Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR2, Class A2 (LIBOR USD 1-Month plus 0.23%)

2.63%		02/25/37	¹		45,074,489		24,566,392

Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2A (LIBOR USD 1-Month plus 0.13%)

2.53%		05/25/37	¹		19,533,197		15,226,379

Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2C (LIBOR USD 1-Month plus 0.35%)

2.75%		05/25/37	¹		14,731,768		11,798,125

Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC1, Class A2B (LIBOR USD 1-Month plus 0.15%)

2.55%		12/25/36	¹		35,834,142		20,896,518

Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC2, Class A2B (LIBOR USD 1-Month plus 0.14%)

2.54%		01/25/37	¹		19,070,282		14,991,725

Sequoia Mortgage Trust, Series 2003-2, Class A1 (LIBOR USD 1-Month plus 0.66%)

3.04%		06/20/33	¹		779		762

Sequoia Mortgage Trust, Series 2003-8, Class A1 (LIBOR USD 1-Month plus 0.64%)

3.02%		01/20/34	¹		1,753		1,724

Sequoia Mortgage Trust, Series 2004-3, Class A (LIBOR USD 6-Month plus 0.50%)

3.13%		05/20/34	¹		415,313		409,957

SG Mortgage Securities Trust, Series 2007-NC1, Class A2 (LIBOR USD 1-Month plus 0.24%)

2.64%		12/25/36	^1,2		15,966,564		10,690,764


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Soundview Home Loan Trust, Series 2005-OPT1, Class M2 (LIBOR USD 1-Month plus 0.68%)

3.08%		06/25/35	¹	$	24,446,041	$	24,487,682

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A3

4.79%		02/25/34	⁸		23,016		23,787

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A

4.45%		09/25/34	⁸		7,455,880		7,444,979

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A

4.43%		10/25/34	⁸		214,540		209,524

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 2A

4.59%		10/25/34	⁸		8,443,843		8,695,472

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A

4.49%		10/25/34	⁸		2,395,992		2,303,990

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-17, Class A1

3.13%		11/25/34	⁸		43,982		42,082

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A2

4.18%		01/25/35	⁸		704,566		704,842

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1

4.49%		06/25/35	⁸		2,479,120		2,455,433

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 7A3

4.17%		09/25/35	⁸		17,250,815		14,585,371

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12, Class 1A1 (LIBOR USD 1-Month plus 0.16%)

2.56%		01/25/37	¹		33,934,637		32,175,384

Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1

4.23%		10/25/47	⁸		800,819		717,315

Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A (LIBOR USD 1-Month plus 0.28%)

2.68%		02/25/36	¹		655,179		629,172

Structured Asset Mortgage Investments II Trust, Series 2007-AR6, Class A1 (Federal Reserve US 12-Month Cumulative Average plus 1.50%)

4.00%		08/25/47	¹		137,881,313		135,447,059

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF2, Class A4 (LIBOR USD 1-Month plus 0.31%)

2.71%		07/25/36	¹		5,067,466		5,094,519


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A1 (LIBOR USD 1-Month plus 0.14%)

2.54%		09/25/36	¹	$	2,409,558	$	2,402,511

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 1997-2, Class 2A4

7.25%		03/28/30			1,123		1,198

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-26A, Class 3A5

4.61%		09/25/33	⁸		146,783		149,785

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 5A4

4.59%		11/25/33	⁸		1,355,736		1,401,600

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1 (LIBOR USD 1-Month plus 0.30%)

2.70%		01/25/35	¹		1,807,459		1,794,554

Structured Asset Securities Corp. Trust, Series 2005-5, Class 2A4

5.50%		04/25/35			2,876,191		2,813,196

Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1

4.73%		06/25/37	⁸		3,176,784		2,943,322

Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A

4.09%		12/25/44	⁸		130,963		131,964

Wachovia Mortgage Loan Trust, Series 2006-ALT1, Class A3 (LIBOR USD 1-Month plus 0.23%)

2.63%		01/25/37	¹		17,139,261		11,301,925

Wachovia Mortgage Loan Trust, Series 2006-AMN1, Class A3 (LIBOR USD 1-Month plus 0.24%)

2.64%		08/25/36	¹		19,614,931		11,152,803

WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2 (LIBOR USD 1-Month plus 0.11%)

2.51%		01/25/37	¹		4,023,601		2,559,058

WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A3 (LIBOR USD 1-Month plus 0.15%)

2.55%		01/25/37	¹		37,142,365		23,781,502

WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A4 (LIBOR USD 1-Month plus 0.23%)

2.63%		01/25/37	¹		12,468,065		8,079,187

WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

4.72%		06/25/33	⁸	$	3,771,712	$	3,900,854

WaMu Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2

4.51%		06/25/34	⁸		39,287		40,542

WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A (LIBOR USD 1-Month plus 0.42%)

2.82%		05/25/44	¹		1,336,485		1,357,140

WaMu Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3 (LIBOR USD 1-Month plus 0.55%)

2.95%		05/25/35	¹		2,907,910		2,326,881

WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13 (LIBOR USD 1-Month plus 0.50%)

2.90%		06/25/35	¹		5,802,381		4,966,748

WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A (LIBOR USD 1-Month plus 0.64%)

3.04%		01/25/45	¹		799,287		780,405

WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A (LIBOR USD 1-Month plus 0.32%)

2.72%		08/25/45	¹		39,177,359		38,987,345

WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6

3.99%		10/25/35	⁸		1,289,062		1,286,434

WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1 (LIBOR USD 1-Month plus 0.29%)

2.69%		10/25/45	¹		6,114,553		6,118,908

WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1

4.06%		12/25/35	⁸		4,198,969		4,126,747

WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1 (LIBOR USD 1-Month plus 0.26%)

2.66%		11/25/45	¹		31,303,821		31,329,408

WaMu Mortgage Pass-Through Certificates, Series 2005-AR17, Class A1A1 (LIBOR USD 1-Month plus 0.27%)

2.67%		12/25/45	¹		14,625,571		14,874,907

WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2 (LIBOR USD 1-Month plus 0.29%)

2.69%		12/25/45	¹		16,859,772		16,842,504

WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 1A1A (LIBOR USD 1-Month plus 0.33%)

2.73%		01/25/45	¹		15,085,787		14,993,263


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A (LIBOR USD 1-Month plus 0.31%)

2.71%		01/25/45	¹	$	1,321,584	$	1,302,531

WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A23 (LIBOR USD 1-Month plus 0.38%)

2.78%		01/25/45	¹		4,692,939		4,651,097

WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A (LIBOR USD 1-Month plus 0.46%)

2.86%		04/25/45	¹		168,169		163,800

WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1A (Federal Reserve US 12-Month Cumulative Average plus 1.07%)

3.57%		01/25/46	¹		33,047,914		33,174,940

WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A4

3.85%		09/25/36	⁸		13,728,490		13,241,234

WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 3A1

3.70%		12/25/36	⁸		783,961		755,116

WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A (Federal Reserve US 12-Month Cumulative Average plus 1.00%)

3.50%		02/25/46	¹		17,641,773		18,040,234

WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A (Federal Reserve US 12-Month Cumulative Average plus 0.94%)

3.42%		05/25/46	¹		5,911,837		6,067,640

WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A (Federal Reserve US 12-Month Cumulative Average plus 0.98%)

3.48%		07/25/46	¹		13,278,318		12,642,693

WaMu Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1

6.00%		01/25/22			223,591		213,679

WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2

4.00%		07/25/37	⁸		298,237		282,333

WaMu Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A (Federal Reserve US 12-Month Cumulative Average plus 0.70%)

3.20%		02/25/47	¹		14,998,694		13,737,016

WaMu MSC Mortgage Pass-Through Certificates, Series 2002-AR1, Class 1A1

4.34%		11/25/30	⁸		332,017		341,680


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1

6.25%		11/25/37		$	188,435	$	186,736

Wells Fargo Mortgage-Backed Securities Trust, Series 2003-M, Class A1

4.90%		12/25/33	⁸		810,359		845,222

Wells Fargo Mortgage-Backed Securities Trust, Series 2004-L, Class A8

4.79%		07/25/34	⁸		157,930		158,893

Wells Fargo Mortgage-Backed Securities Trust, Series 2004-S, Class A1

4.86%		09/25/34	⁸		1,421,626		1,480,939

Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14

4.95%		06/25/35	⁸		692,313		693,901

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4

6.00%		08/25/36			1,612,600		1,621,700

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 2A3

5.50%		03/25/36			197,213		194,941

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR1, Class 1A1

5.18%		03/25/36	⁸		3,088,189		3,095,384

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A1

4.99%		07/25/36	⁸		146,718		149,378

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2

4.99%		07/25/36	⁸		49,758		50,660

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A3

4.99%		07/25/36	⁸		106,416		108,345

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A6

4.99%		07/25/36	⁸		622,051		633,328

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 1A3

4.93%		04/25/36	⁸		2,498		2,513


							4,894,136,735


U.S. Agency Commercial
Mortgage-Backed — 1.37%

Fannie Mae-Aces, Series 2011-M5, Class X (IO)

1.21%		07/25/21	⁸		105,984,188		1,943,501

Fannie Mae-Aces, Series 2014-M12, Class FA (LIBOR USD 1-Month plus 0.30%)

2.74%		10/25/21	¹		9,023,614		8,974,300

Fannie Mae-Aces, Series 2015-M10, Class A2


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

3.09%		04/25/27	⁸	$	122,515,000	$	127,885,414

Fannie Mae-Aces, Series 2016-M13, Class FA (LIBOR USD 1-Month plus 0.67%)

3.11%		11/25/23	¹		27,799,978		27,825,554

Fannie Mae-Aces, Series 2017-M13, Class A2

3.04%		09/25/27	⁸		100,000,000		103,392,285

Fannie Mae-Aces, Series 2018-M1, Class A2

3.09%		12/25/27	⁸		810,000		842,474

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K082, Class A2

3.92%		09/25/28	⁸		180,000,000		200,985,822

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K083, Class A2

4.05%		09/25/28	⁸		175,000,000		197,066,800

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K084, Class A2

3.78%		10/25/28	⁸		199,335,000		220,137,979

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K154, Class A2

3.42%		04/25/32			750,000		793,129

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K154, Class A3

3.46%		11/25/32			72,550,000		78,284,279

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K157, Class A3

3.99%		08/25/33	⁸		250,000		283,214

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF03, Class A (LIBOR USD 1-Month plus 0.34%)

2.77%		01/25/21	¹		73,015		73,208

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF15, Class A (LIBOR USD 1-Month plus 0.67%)

3.10%		02/25/23	¹		48,781,468		48,867,397

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF17, Class A (LIBOR USD 1-Month plus 0.55%)

2.98%		03/25/23	¹		10,268,416		10,273,704

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSW1, Class A


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

(LIBOR USD 1-Month plus 0.58%)

3.01%		02/25/26	¹	$	6,816,993	$	6,808,949

NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A (LIBOR USD 1-Month plus 0.53%)

2.89%		03/09/21	¹		1,350,374		1,351,037


							1,035,789,046


U.S. Agency Mortgage-Backed — 28.05%

Fannie Mae Pool (TBA)

2.50%		07/01/34			125,950,000		126,815,906

3.50%		07/01/34			42,875,000		44,258,612

4.50%		07/01/49			39,225,000		40,986,268

5.00%		07/01/49			200,175,000		211,575,597

Fannie Mae Pool 190375

5.50%		11/01/36			852,608		947,083

Fannie Mae Pool 190396

4.50%		06/01/39			12,976		13,933

Fannie Mae Pool 254232

6.50%		03/01/22			8,315		8,661

Fannie Mae Pool 313182

7.50%		10/01/26			1,158		1,250

Fannie Mae Pool 394854

6.50%		05/01/27			959		1,065

Fannie Mae Pool 467243

4.55%		01/01/21			2,416,874		2,478,320

Fannie Mae Pool 468128

4.33%		07/01/21			1,889,325		1,973,981

Fannie Mae Pool 468587

3.84%		08/01/21			622,485		640,243

Fannie Mae Pool 545191

7.00%		09/01/31			3,237		3,595

Fannie Mae Pool 545756

7.00%		06/01/32			772		895

Fannie Mae Pool 606108

7.00%		03/01/31			2,631		2,645

Fannie Mae Pool 613142

7.00%		11/01/31			9,260		10,719

Fannie Mae Pool 625666

7.00%		01/01/32			8,921		10,017

Fannie Mae Pool 633698

7.50%		02/01/31			32,251		37,798

Fannie Mae Pool 655928

7.00%		08/01/32			140,363		166,931

Fannie Mae Pool 725257

5.50%		02/01/34			937,554		1,041,159

Fannie Mae Pool 734830

4.50%		08/01/33			13,603		14,463


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae Pool 734922

4.50%		09/01/33		$	2,053,831	$	2,197,038

Fannie Mae Pool 735207

7.00%		04/01/34			19,462		22,540

Fannie Mae Pool 735224

5.50%		02/01/35			3,878,533		4,310,489

Fannie Mae Pool 735646

4.50%		07/01/20			83,053		84,810

Fannie Mae Pool 735651

4.50%		06/01/35			4,608,543		4,873,249

Fannie Mae Pool 735686

6.50%		12/01/22			1,182		1,226

Fannie Mae Pool 740297

5.50%		10/01/33			1,968		2,186

Fannie Mae Pool 745147

4.50%		12/01/35			28,457		30,539

Fannie Mae Pool 745592

5.00%		01/01/21			16		16

Fannie Mae Pool 753168

4.50%		12/01/33			7,376		7,900

Fannie Mae Pool 815422

4.50%		02/01/35			33,342		35,655

Fannie Mae Pool 817611 (LIBOR USD 6-Month plus 1.58%)

4.20%		11/01/35	¹		184,337		194,925

Fannie Mae Pool 839109 (LIBOR USD 12-Month plus 1.91%)

4.79%		11/01/35	¹		3,995		4,159

Fannie Mae Pool 844773 (LIBOR USD 12-Month plus 1.59%)

4.55%		12/01/35	¹		5,110		5,325

Fannie Mae Pool 888412

7.00%		04/01/37			247,958		276,871

Fannie Mae Pool 889125

5.00%		12/01/21			219,302		220,546

Fannie Mae Pool 889184

5.50%		09/01/36			3,668,992		4,077,608

Fannie Mae Pool 918445 (LIBOR USD 12-Month plus 1.57%)

4.57%		05/01/37	¹		6,930		7,261

Fannie Mae Pool 933033

6.50%		10/01/37			117,950		130,534

Fannie Mae Pool AB1613

4.00%		10/01/40			35,870,441		38,264,011

Fannie Mae Pool AB1803

4.00%		11/01/40			40,467,382		43,344,742

Fannie Mae Pool AB2127

3.50%		01/01/26			18,163,793		18,916,433


Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae Pool AB3679

3.50%		10/01/41	$	14,298,611	$	14,725,999

Fannie Mae Pool AB3864

3.50%		11/01/41		11,802,357		12,304,209

Fannie Mae Pool AB4045

3.50%		12/01/41		12,540,400		13,065,482

Fannie Mae Pool AB4262

3.50%		01/01/32		8,138,570		8,446,508

Fannie Mae Pool AB9703

3.50%		06/01/43		31,867,151		33,022,644

Fannie Mae Pool AC8279

4.50%		08/01/39		19,679		21,127

Fannie Mae Pool AD0849

4.25%		02/01/20		15,011,637		15,140,896

Fannie Mae Pool AE0482

5.50%		01/01/38		9,151,417		9,956,868

Fannie Mae Pool AE0600

3.85%		11/01/20		15,138,203		15,455,536

Fannie Mae Pool AE0605

4.65%		07/01/20		4,964,537		5,041,124

Fannie Mae Pool AE0918

3.67%		10/01/20		2,304,707		2,304,896

Fannie Mae Pool AH3780

4.00%		02/01/41		16,044,754		17,062,543

Fannie Mae Pool AJ1404

4.00%		09/01/41		23,805,042		25,289,362

Fannie Mae Pool AL0209

4.50%		05/01/41		24,051,003		26,282,568

Fannie Mae Pool AL0290

4.45%		04/01/21		17,344,828		18,053,828

Fannie Mae Pool AL0834

4.07%		10/01/21		19,221,755		20,028,195

Fannie Mae Pool AL0851

6.00%		10/01/40		15,240,563		17,289,505

Fannie Mae Pool AL1445

4.36%		11/01/21		59,965,029		61,726,793

Fannie Mae Pool AL2669

4.46%		09/01/21		14,287,374		14,587,949

Fannie Mae Pool AL4597

4.00%		01/01/44		60,983,538		65,338,720

Fannie Mae Pool AL6829

2.96%		05/01/27		2,285,252		2,378,345

Fannie Mae Pool AL8037

4.50%		07/01/34		261,681		278,641

Fannie Mae Pool AL8356

4.50%		07/01/34		692,263		737,057

Fannie Mae Pool AL8960

4.50%		05/01/46		61,712,112		65,641,787


Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae Pool AL9106

4.50%		02/01/46	$	79,735,275	$	84,812,620

Fannie Mae Pool AL9217

3.50%		10/01/46		40,457,400		42,063,915

Fannie Mae Pool AL9472

4.00%		10/01/43		11,564,340		12,206,480

Fannie Mae Pool AL9722

4.50%		08/01/46		270,041,832		287,237,429

Fannie Mae Pool AL9846

4.50%		02/01/47		270,187,076		287,391,922

Fannie Mae Pool AM1445

1.56%		11/01/19		640,801		639,636

Fannie Mae Pool AM4869

4.07%		12/01/25		1,813,901		1,998,731

Fannie Mae Pool AM6057

3.44%		08/01/26		6,750,000		7,290,071

Fannie Mae Pool AM6667

3.39%		09/01/26		3,461,000		3,700,313

Fannie Mae Pool AM7016

3.47%		10/01/29		4,931,179		5,280,271

Fannie Mae Pool AM8036

2.66%		03/01/27		1,965,000		2,003,319

Fannie Mae Pool AM8709

2.82%		04/01/27		6,256,923		6,453,815

Fannie Mae Pool AM8765

2.83%		06/01/27		4,000,000		4,126,775

Fannie Mae Pool AM8958

2.97%		06/01/30		5,500,000		5,651,505

Fannie Mae Pool AM8969

3.27%		07/01/30		12,691,000		13,387,083

Fannie Mae Pool AM9440

3.05%		07/01/27		47,705,000		49,959,119

Fannie Mae Pool AM9602

3.57%		08/01/27		1,727,171		1,868,232

Fannie Mae Pool AM9623

3.34%		07/01/30		1,420,000		1,507,497

Fannie Mae Pool AM9749

3.48%		11/01/30		5,359,155		5,736,243

Fannie Mae Pool AM9954

3.22%		11/01/27		3,165,688		3,352,776

Fannie Mae Pool AN0153

3.36%		11/01/30		10,528,289		11,187,192

Fannie Mae Pool AN0154

3.36%		11/01/30		14,927,094		15,861,292

Fannie Mae Pool AN0648

3.28%		01/01/28		13,822,524		14,699,224

Fannie Mae Pool AN1161

3.05%		04/01/28		435,000		454,946


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae Pool AN1210

2.85%		05/01/31		$	5,970,101	$	6,071,285

Fannie Mae Pool AN1427

2.96%		04/01/28			4,078,500		4,245,556

Fannie Mae Pool AN1482

3.03%		05/01/31			5,348,065		5,524,868

Fannie Mae Pool AN2228

2.52%		08/01/26			15,985,000		16,173,487

Fannie Mae Pool AN2248

2.48%		08/01/26			51,160,000		51,629,931

Fannie Mae Pool AN2270

2.51%		08/01/26			2,595,200		2,631,522

Fannie Mae Pool AN2271

2.33%		08/01/26			2,152,000		2,155,744

Fannie Mae Pool AN2371

2.18%		09/01/26			35,567,619		35,428,419

Fannie Mae Pool AN3097

2.54%		11/01/28			25,120,000		25,244,032

Fannie Mae Pool AN3574

2.34%		11/01/26			28,210,000		28,163,281

Fannie Mae Pool AN3597 (LIBOR USD 1-Month plus 0.64%)

3.04%		11/01/26	¹		23,520,000		23,498,634

Fannie Mae Pool AN4429

3.22%		01/01/27			23,130,000		24,527,230

Fannie Mae Pool AN4435

3.22%		01/01/27			29,420,000		31,197,195

Fannie Mae Pool AN5718

3.24%		06/01/29			3,805,000		4,023,496

Fannie Mae Pool AN5719

3.24%		06/01/29			3,405,000		3,600,527

Fannie Mae Pool AN6168

3.13%		07/01/32			200,000		208,011

Fannie Mae Pool AN6459

3.21%		08/01/29			777,033		820,826

Fannie Mae Pool AN9814

3.63%		08/01/28			134,729,153		145,893,841

Fannie Mae Pool AN9827

3.62%		08/01/28			37,930,000		41,414,599

Fannie Mae Pool AS8605

3.00%		01/01/32			297,906		304,803

Fannie Mae Pool AS8663

4.50%		01/01/47			47,840,034		50,440,006

Fannie Mae Pool AS9830

4.00%		06/01/47			205,462,583		214,292,995

Fannie Mae Pool AS9972

4.00%		07/01/47			177,483,813		185,111,748

Fannie Mae Pool AU3739


Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

3.50%		08/01/43	$	42,202,578	$	44,206,299

Fannie Mae Pool BD2450

3.50%		01/01/47		176,376		181,909

Fannie Mae Pool BL0242

3.82%		11/01/30		250,000		278,218

Fannie Mae Pool BL0654

3.78%		01/01/29		39,164,000		42,995,424

Fannie Mae Pool BL0690

3.90%		12/01/30		17,950,000		20,114,662

Fannie Mae Pool BL0691

3.90%		12/01/30		34,968,000		39,184,931

Fannie Mae Pool BL0702

3.86%		11/01/28		39,100,000		43,545,447

Fannie Mae Pool BL0718

3.81%		01/01/29		42,300,000		47,058,885

Fannie Mae Pool BL0937

3.83%		12/01/28		94,158,652		103,113,164

Fannie Mae Pool BM4299

3.00%		03/01/30		74,175,436		75,817,280

Fannie Mae Pool BM4304

3.00%		02/01/30		105,886,141		108,229,888

Fannie Mae Pool BM5164

4.00%		11/01/48		120,439,568		125,535,186

Fannie Mae Pool CA1187

3.50%		02/01/48		204,502,026		210,904,076

Fannie Mae Pool CA1711

4.50%		05/01/48		43,952,577		46,231,395
Fannie Mae Pool CA2208

4.50%		08/01/48		106,549,296		111,748,934

Fannie Mae Pool CA2327

4.00%		09/01/48		68,444,741		72,556,079

Fannie Mae Pool FN0001

3.77%		12/01/20		31,493,190		32,113,426

Fannie Mae Pool MA1146

4.00%		08/01/42		61,671,218		64,938,818

Fannie Mae Pool MA1177

3.50%		09/01/42		71,094,960		73,662,558

Fannie Mae Pool MA1404

3.50%		04/01/43		5,463		5,662

Fannie Mae Pool MA1527

3.00%		08/01/33		66,628,340		68,037,705

Fannie Mae Pool MA1561

3.00%		09/01/33		41,740,852		42,623,781

Fannie Mae Pool MA1582

3.50%		09/01/43		21,230,054		22,001,085

Fannie Mae Pool MA1584

3.50%		09/01/33		67,383,717		69,975,214

Fannie Mae Pool MA1608


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

3.50%		10/01/33		$	46,340,809	$	48,123,021

Fannie Mae Pool MA2960

4.00%		04/01/47			113,391,133		118,108,993

Fannie Mae Pool MA3027

4.00%		06/01/47			84,399,077		87,910,666

Fannie Mae Pool MA3029

3.00%		06/01/32			65,353,777		66,686,146

Fannie Mae Pool MA3182

3.50%		11/01/47			123,119,159		126,867,498

Fannie Mae Pool MA3210

3.50%		12/01/47			216,656,667		223,252,852

Fannie Mae Pool MA3238

3.50%		01/01/48			177,791,471		183,140,811

Fannie Mae Pool MA3276

3.50%		02/01/48			75,778,526		78,059,174

Fannie Mae Pool MA3305

3.50%		03/01/48			86,105,313		88,613,399

Fannie Mae Pool MA3332

3.50%		04/01/48			282,456,680		290,850,425

Fannie Mae Pool MA3364

3.50%		05/01/33			35,297,121		36,500,792

Fannie Mae Pool MA3537

4.50%		12/01/48			93,734,489		98,003,328

Fannie Mae REMICS, Series 1991-65, Class Z

6.50%		06/25/21			932		950

Fannie Mae REMICS, Series 1992-123, Class Z

7.50%		07/25/22			490		515

Fannie Mae REMICS, Series 1993-132, Class D (PO)

0.00%		10/25/22	⁹		18,585		17,997

Fannie Mae REMICS, Series 1993-29, Class PK

7.00%		03/25/23			1,885		1,962

Fannie Mae REMICS, Series 1994-55, Class H

7.00%		03/25/24			8,584		9,350

Fannie Mae REMICS, Series 1997-34, Class SA (Cost of Funds 11th District of San Francisco * 5.542, 37.68% Cap)

6.34%		10/25/23	¹		2,365		2,835

Fannie Mae REMICS, Series 1998-37, Class VZ

6.00%		06/17/28			6,257		6,596

Fannie Mae REMICS, Series 1999-11, Class Z

5.50%		03/25/29			34,160		35,170

Fannie Mae REMICS, Series 2001-52, Class YZ


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

6.50%		10/25/31		$	117,735	$	134,703

Fannie Mae REMICS, Series 2005-104, Class NI (IO) (-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)

4.30%		03/25/35	¹		5,322,560		170,086

Fannie Mae REMICS, Series 2005-117, Class LC

5.50%		11/25/35			5,797,002		6,056,233

Fannie Mae REMICS, Series 2005-122, Class SG (IO) (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)

4.20%		11/25/35	¹		70,750		9,167

Fannie Mae REMICS, Series 2005-92, Class US (IO) (-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)

3.70%		10/25/25	¹		4,877,676		410,836

Fannie Mae REMICS, Series 2006-4, Class WE

4.50%		02/25/36			74,702		81,426

Fannie Mae REMICS, Series 2006-49, Class SE (-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)

19.38%		04/25/36	¹		2,136,709		3,251,762

Fannie Mae REMICS, Series 2007-17, Class SI (IO) (-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)

4.00%		03/25/37	¹		1,692,645		216,646

Fannie Mae REMICS, Series 2007-34, Class SB (IO) (-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)

3.71%		04/25/37	¹		3,695,033		645,478

Fannie Mae REMICS, Series 2007-64, Class FA (LIBOR USD 1-Month plus 0.47%)

2.87%		07/25/37	¹		5,194		5,213

Fannie Mae REMICS, Series 2008-24, Class NA

6.75%		06/25/37			492,895		553,247

Fannie Mae REMICS, Series 2010-116, Class SE (IO) (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)

4.20%		10/25/40	¹		4,804,122		653,090

Fannie Mae REMICS, Series 2010-135, Class EA

3.00%		01/25/40			11,249		11,376

Fannie Mae REMICS, Series 2010-17, Class SB (IO) (-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)

3.95%		03/25/40	¹		8,609,521		1,405,898

Fannie Mae REMICS, Series 2010-43, Class KS (IO)


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

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

4.02%		05/25/40	¹	$	15,287,914	$	2,936,284

Fannie Mae REMICS, Series 2011-101, Class HE

4.00%		10/25/41			10,100,000		11,072,117

Fannie Mae REMICS, Series 2011-111, Class DB

4.00%		11/25/41			24,977,334		26,413,961

Fannie Mae REMICS, Series 2011-2, Class PD

4.00%		12/25/39			29,427		29,696

Fannie Mae REMICS, Series 2012-84, Class VZ

3.50%		08/25/42			9,487,040		9,881,393

Fannie Mae REMICS, Series 2013-101, Class BO (PO)

0.00%		10/25/43	⁹		22,086,081		19,001,514

Fannie Mae REMICS, Series 2013-101, Class CO (PO)

0.00%		10/25/43	⁹		13,603,812		11,532,388

Fannie Mae REMICS, Series 2018-29, Class AP

3.50%		11/25/46			261,349,371		268,728,388

Fannie Mae REMICS, Series 2018-55, Class PA

3.50%		01/25/47			75,393,225		77,628,668

Fannie Mae REMICS, Series 2018-86, Class JA

4.00%		05/25/47			6,431,587		6,775,238

Fannie Mae REMICS, Series 2018-94, Class KD

3.50%		12/25/48			32,184,632		33,132,864

Fannie Mae REMICS, Series 2019-1, Class AB

3.50%		02/25/49			5,408,896		5,580,307

Fannie Mae REMICS, Series 2019-1,
Class KP

3.25%		02/25/49			14,272,485		14,454,688

Fannie Mae REMICS, Series 2019-26, Class JE

3.00%		06/25/49			24,010,983		24,203,873

Fannie Mae REMICS, Series G92-36, Class Z

7.00%		07/25/22			24		25

Fannie Mae REMICS, Series G93-21, Class Z

7.20%		05/25/23			1,982		2,105

Fannie Mae Trust, Series 2003-W2, Class 2A9

5.90%		07/25/42			27,907		31,375

Freddie Mac Gold Pool A24156

6.50%		10/01/31			188,463		209,315


Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac Gold Pool A25162

5.50%		05/01/34	$	1,916,661	$	2,130,605

Freddie Mac Gold Pool A39012

5.50%		06/01/35		41,647		46,461

Freddie Mac Gold Pool A54856

5.00%		01/01/34		3,946,429		4,289,330

Freddie Mac Gold Pool A61164

5.00%		04/01/36		12,627		13,731

Freddie Mac Gold Pool A97038

4.00%		02/01/41		13,071,468		13,968,449

Freddie Mac Gold Pool C01492

5.00%		02/01/33		631,227		685,208

Freddie Mac Gold Pool C04546

3.00%		02/01/43		20,535,175		20,969,759

Freddie Mac Gold Pool C04573

3.00%		03/01/43		25,539,828		26,031,193

Freddie Mac Gold Pool C46104

6.50%		09/01/29		15,677		17,411

Freddie Mac Gold Pool C55789

7.50%		10/01/27		6,289		6,813

Freddie Mac Gold Pool C90573

6.50%		08/01/22		32,895		34,807

Freddie Mac Gold Pool E02402

6.00%		10/01/22		8,689		8,973

Freddie Mac Gold Pool G00992

7.00%		11/01/28		697		777

Freddie Mac Gold Pool G01515

5.00%		02/01/33		626,948		679,813

Freddie Mac Gold Pool G02579

5.00%		12/01/34		919,184		1,005,533

Freddie Mac Gold Pool G02884

6.00%		04/01/37		2,395,346		2,737,206

Freddie Mac Gold Pool G02955

5.50%		03/01/37		3,552,852		3,919,734

Freddie Mac Gold Pool G03357

5.50%		08/01/37		1,409,988		1,578,246

Freddie Mac Gold Pool G03676

5.50%		12/01/37		2,446,844		2,666,168

Freddie Mac Gold Pool G03783

5.50%		01/01/38		1,770,589		1,952,874

Freddie Mac Gold Pool G03985

6.00%		03/01/38		21,015		24,183

Freddie Mac Gold Pool G04438

5.50%		05/01/38		4,953,689		5,436,567

Freddie Mac Gold Pool G04703

5.50%		08/01/38		4,402,856		4,809,093

Freddie Mac Gold Pool G04706

5.50%		09/01/38		184,585		205,524


Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac Gold Pool G05866

4.50%		02/01/40	$	18,247,201	$	19,919,369

Freddie Mac Gold Pool G06361

4.00%		03/01/41		24,700		26,255

Freddie Mac Gold Pool G06498

4.00%		04/01/41		24,815,658		26,488,925

Freddie Mac Gold Pool G06499

4.00%		03/01/41		11,865,491		12,541,981

Freddie Mac Gold Pool G07408

3.50%		06/01/43		23,108,474		24,181,962

Freddie Mac Gold Pool G07786

4.00%		08/01/44		221,807,748		236,763,778

Freddie Mac Gold Pool G07848

3.50%		04/01/44		114,811,137		119,806,856

Freddie Mac Gold Pool G07849

3.50%		05/01/44		16,473,814		17,148,804

Freddie Mac Gold Pool G07924

3.50%		01/01/45		23,945,122		24,933,720

Freddie Mac Gold Pool G07925

4.00%		02/01/45		14,354,703		15,320,713

Freddie Mac Gold Pool G08676

3.50%		11/01/45		88,177,656		91,084,045

Freddie Mac Gold Pool G08681

3.50%		12/01/45		58,172,058		60,089,490

Freddie Mac Gold Pool G08710

3.00%		06/01/46		287,400,787		291,932,322

Freddie Mac Gold Pool G08711

3.50%		06/01/46		25,569,889		26,373,227

Freddie Mac Gold Pool G08715

3.00%		08/01/46		410,963,072		417,442,850

Freddie Mac Gold Pool G08721

3.00%		09/01/46		41,834,465		42,494,082

Freddie Mac Gold Pool G08722

3.50%		09/01/46		111,793,574		115,441,794

Freddie Mac Gold Pool G08726

3.00%		10/01/46		448,014,960		454,638,476

Freddie Mac Gold Pool G08727

3.50%		10/01/46		90,976,566		93,936,485

Freddie Mac Gold Pool G08732

3.00%		11/01/46		266,230,330		270,166,316

Freddie Mac Gold Pool G08737

3.00%		12/01/46		156,042,158		158,349,107

Freddie Mac Gold Pool G08741

3.00%		01/01/47		154,040,050		156,317,399

Freddie Mac Gold Pool G08742

3.50%		01/01/47		140,043,987		144,614,177

Freddie Mac Gold Pool G08747

3.00%		02/01/47		50,032,308		50,771,993


Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac Gold Pool G08757

3.50%		04/01/47	$	71,126,142	$	73,381,346

Freddie Mac Gold Pool G08762

4.00%		05/01/47		57,704,557		60,143,323

Freddie Mac Gold Pool G08791

3.00%		12/01/47		291,826,913		295,408,797

Freddie Mac Gold Pool G08826

5.00%		06/01/48		47,438,008		50,211,854

Freddie Mac Gold Pool G08833

5.00%		07/01/48		25,463,322		26,944,152

Freddie Mac Gold Pool G08838

5.00%		09/01/48		14,131,720		14,941,079

Freddie Mac Gold Pool G08840

5.00%		08/01/48		5,079,342		5,374,355

Freddie Mac Gold Pool G08843

4.50%		10/01/48		38,760,437		40,560,546

Freddie Mac Gold Pool G08844

5.00%		10/01/48		42,203,697		44,654,930

Freddie Mac Gold Pool G08849

5.00%		11/01/48		16,945,213		17,917,760

Freddie Mac Gold Pool G11707

6.00%		03/01/20		4,752		4,755

Freddie Mac Gold Pool G12393

5.50%		10/01/21		855,817		872,022

Freddie Mac Gold Pool G12399

6.00%		09/01/21		553		566

Freddie Mac Gold Pool G12824

6.00%		08/01/22		714,595		742,859

Freddie Mac Gold Pool G12909

6.00%		11/01/22		1,824,263		1,902,903

Freddie Mac Gold Pool G13032

6.00%		09/01/22		262,933		270,428

Freddie Mac Gold Pool G13058

4.50%		10/01/20		5,217		5,242

Freddie Mac Gold Pool G16085

2.50%		02/01/32		5,545,015		5,598,246

Freddie Mac Gold Pool G16524

3.50%		05/01/33		54,301,964		56,511,638

Freddie Mac Gold Pool G16584

3.50%		08/01/33		12,411,306		12,840,247

Freddie Mac Gold Pool G16607

3.50%		09/01/33		110,884,534		115,422,813

Freddie Mac Gold Pool G16623

2.50%		09/01/32		51,626,262		52,128,107

Freddie Mac Gold Pool G16755

3.50%		02/01/34		129,147,846		133,707,133

Freddie Mac Gold Pool G16756

3.50%		01/01/34		9,882,172		10,291,696


Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac Gold Pool G18596

3.00%		04/01/31		$ 66,107,946		$ 67,536,861

Freddie Mac Gold Pool G18691

3.00%		06/01/33		32,891,281		33,556,971

Freddie Mac Gold Pool G18692

3.50%		06/01/33		54,217,657		56,091,799

Freddie Mac Gold Pool G18713

3.50%		11/01/33		71,590,059		74,032,096

Freddie Mac Gold Pool G60023

3.50%		04/01/45		20,472,456		21,389,558

Freddie Mac Gold Pool G60080

3.50%		06/01/45		243,263,078		253,382,457

Freddie Mac Gold Pool G60138

3.50%		08/01/45		170,519,299		178,154,667

Freddie Mac Gold Pool G60238

3.50%		10/01/45		74,904,314		78,020,221

Freddie Mac Gold Pool G67700

3.50%		08/01/46		55,147,957		57,390,328

Freddie Mac Gold Pool G67703

3.50%		04/01/47		550,102,404		572,298,211

Freddie Mac Gold Pool G67706

3.50%		12/01/47		294,150,657		305,927,272

Freddie Mac Gold Pool G67707

3.50%		01/01/48		637,049,782		664,371,255

Freddie Mac Gold Pool G67708

3.50%		03/01/48		731,633,579		760,010,719

Freddie Mac Gold Pool G67709

3.50%		03/01/48		476,072,746		494,984,022

Freddie Mac Gold Pool G67710

3.50%		03/01/48		503,273,152		520,905,830

Freddie Mac Gold Pool G67711

4.00%		03/01/48		133,574,668		141,621,259

Freddie Mac Gold Pool G67713

4.00%		06/01/48		198,104,098		208,803,845

Freddie Mac Gold Pool G67717

4.00%		11/01/48		189,954,587		201,397,527

Freddie Mac Gold Pool G67718

4.00%		01/01/49		309,259,779		325,923,816

Freddie Mac Gold Pool H00790

5.50%		05/01/37		16,595		18,100

Freddie Mac Gold Pool H05069

5.50%		05/01/37		505,663		551,684

Freddie Mac Gold Pool Q05804

4.00%		01/01/42		40,837,357		43,795,121

Freddie Mac Gold Pool U99097

3.50%		07/01/43		70,675,198		73,275,603

Freddie Mac Gold Pool V62078

3.50%		08/01/33		12,452,977		12,961,935


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac Gold Pool V62129

3.50%		08/01/33		$	26,475,380	$	27,494,552

Freddie Mac Gold Pool V80356

3.50%		08/01/43			42,940,665		44,809,121

Freddie Mac Pool ZT1403

3.50%		11/01/33			78,731,310		81,273,753

Freddie Mac REMICS, Series 1073,

Class G

7.00%		05/15/21			107		110
Freddie Mac REMICS, Series 1107,
Class ZC

6.50%		07/15/21			1,174		1,208
Freddie Mac REMICS, Series 165,
Class K

6.50%		09/15/21			6		6
Freddie Mac REMICS, Series 1980,
Class Z

7.00%		07/15/27			84,905		95,502
Freddie Mac REMICS, Series 1983,
Class Z

6.50%		12/15/23			29,284		30,850
Freddie Mac REMICS, Series 2098,
Class TZ

6.00%		01/15/28			337,053		367,166
Freddie Mac REMICS, Series 2174,
Class PN

6.00%		07/15/29			17,988		19,757
Freddie Mac REMICS, Series 2313,
Class LA

6.50%		05/15/31			8,994		10,373
Freddie Mac REMICS, Series 2433,
Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)

14.70%		02/15/32	¹		9,853		14,286
Freddie Mac REMICS, Series 2481,
Class AW

6.50%		08/15/32			38,396		41,678
Freddie Mac REMICS, Series 2642,
Class BW (IO)

5.00%		06/15/23			2,512		19
Freddie Mac REMICS, Series 2649,
Class PC

5.50%		07/15/33			925		928
Freddie Mac REMICS, Series 3019,
Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)

4.81%		08/15/35	¹		1,533,211		323,651
Freddie Mac REMICS, Series 3063,
Class YG

5.50%		11/15/35			3,964,931		4,427,177
Freddie Mac REMICS, Series 3300,
Class SA (IO)


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

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

4.81%		08/15/35	¹	$	677,867	$	119,924

Freddie Mac REMICS, Series 3707,

Class EI (IO)

5.00%		12/15/38			10,857,600		797,390
Freddie Mac REMICS, Series 3730,
Class JG

3.00%		09/15/39			13,001		13,115
Freddie Mac REMICS, Series 3752,
Class XL

4.50%		11/15/40			66,277,000		70,975,612
Freddie Mac REMICS, Series 3891,
Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)

3.56%		07/15/41	¹		7,084,325		633,417
Freddie Mac REMICS, Series 3904,
Class JB

4.50%		08/15/41			18,155,000		19,868,396
Freddie Mac REMICS, Series 3925,
Class LB

4.50%		09/15/41			9,215,000		10,760,078
Freddie Mac REMICS, Series 3928,
Class JD

4.00%		09/15/41			32,095,702		34,447,858
Freddie Mac REMICS, Series 4102,
Class TC

2.50%		09/15/41			17,026,965		17,104,514
Freddie Mac REMICS, Series 4161,
Class BA

2.50%		12/15/41			26,051,627		26,348,059
Freddie Mac REMICS, Series 4818,
Class CA

3.00%		04/15/48			7,741,696		7,846,208
Freddie Mac REMICS, Series 4846,
Class PA

4.00%		06/15/47			2,927,594		3,061,057
Freddie Mac REMICS, Series 4852,
Class CA

4.00%		11/15/47			78,827,346		82,700,273
Freddie Mac REMICS, Series 4860,
Class BH

3.50%		10/15/48			54,251,482		55,374,091
Freddie Mac REMICS, Series 4860,
Class PA

3.50%		02/15/49			15,878,942		16,293,071
Freddie Mac REMICS, Series 4879,
Class BC

3.00%		04/15/49			8,312,815		8,452,623
Freddie Mac REMICS, Series 4896,
Class DA

3.00%		01/15/49			5,890,000		5,904,725


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Strips, Series 309,
Class PO (PO)

0.00%		08/15/43	⁹	$	32,235,121	$	27,761,723
Freddie Mac Strips, Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)

2.89%		11/15/43	¹		6,109,966		6,124,230
Ginnie Mae I Pool 782817

4.50%		11/15/39			19,147,106		20,441,880
Ginnie Mae II Pool (TBA)

4.50%		09/20/48			291,450,000		303,722,777

4.50%		07/20/49			295,220,000		307,763,975

5.00%		07/20/49			26,025,000		27,208,833
Ginnie Mae II Pool 2631

7.00%		08/20/28			2,048		2,304
Ginnie Mae II Pool 3388

4.50%		05/20/33			5,501		5,777
Ginnie Mae II Pool 3427

4.50%		08/20/33			1,929		2,029
Ginnie Mae II Pool 3554

4.50%		05/20/34			1,912		2,011
Ginnie Mae II Pool 4058

5.00%		12/20/37			1,168		1,232
Ginnie Mae II Pool 4342

5.00%		01/20/39			1,650		1,792
Ginnie Mae II Pool 4520

5.00%		08/20/39			32,241		34,543
Ginnie Mae II Pool 5175

4.50%		09/20/41			10,520		11,229
Ginnie Mae II Pool 5281

4.50%		01/20/42			20,479		21,857
Ginnie Mae II Pool 783591

4.50%		07/20/41			27,147		28,973
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)

3.75%		07/20/34	¹		15,705		16,247
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)

4.00%		03/20/35	¹		23,130		23,369
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)

3.75%		08/20/35	¹		27,960		29,197
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)

4.13%		10/20/35	¹		23,655		24,647
Ginnie Mae II Pool 8631


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

3.63%		05/20/25	¹	$	4,532	$	4,647

Ginnie Mae II Pool 8644

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

3.63%		06/20/25	¹		6,345		6,450

Ginnie Mae II Pool MA0627

4.50%		12/20/42			82,682		88,283

Ginnie Mae II Pool MA0701

4.50%		01/20/43			101,630		107,970

Ginnie Mae II Pool MA1997

4.50%		06/20/44			23,017		24,563

Ginnie Mae II Pool MA2374

5.00%		11/20/44			569,941		610,791

Ginnie Mae II Pool MA2756

4.50%		04/20/45			50,619		53,851

Ginnie Mae II Pool MA2828

4.50%		05/20/45			2,167,650		2,270,946

Ginnie Mae II Pool MA2894

4.50%		06/20/45			831,893		878,156

Ginnie Mae II Pool MA3036

4.50%		08/20/45			91,107		96,458

Ginnie Mae II Pool MA3456

4.50%		02/20/46			601,471		632,758

Ginnie Mae II Pool MA3521

3.50%		03/20/46			81,980,045		85,068,594

Ginnie Mae II Pool MA3524

5.00%		03/20/46			24,631		26,707

Ginnie Mae II Pool MA3597

3.50%		04/20/46			206,701,717		214,489,081

Ginnie Mae II Pool MA3600

5.00%		04/20/46			15,083,005		16,495,029

Ginnie Mae II Pool MA3663

3.50%		05/20/46			60,253,993		62,524,027

Ginnie Mae II Pool MA3665

4.50%		05/20/46			249,724		264,796

Ginnie Mae II Pool MA3666

5.00%		05/20/46			8,696,678		9,512,326

Ginnie Mae II Pool MA3738

4.50%		06/20/46			1,056,695		1,120,468

Ginnie Mae II Pool MA3739

5.00%		06/20/46			5,013,220		5,466,224

Ginnie Mae II Pool MA3805

4.50%		07/20/46			8,704,952		9,230,306

Ginnie Mae II Pool MA3806

5.00%		07/20/46			383,503		416,976

Ginnie Mae II Pool MA3876


Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

4.50%		08/20/46	$	9,196,562	$	9,751,585

Ginnie Mae II Pool MA3877

5.00%		08/20/46		1,857,036		1,994,243

Ginnie Mae II Pool MA3937

3.50%		09/20/46		47,926,129		49,626,879

Ginnie Mae II Pool MA3939

4.50%		09/20/46		4,812,817		5,243,495

Ginnie Mae II Pool MA4003

3.00%		10/20/46		25,081,483		25,662,210

Ginnie Mae II Pool MA4006

4.50%		10/20/46		5,413,030		5,739,713

Ginnie Mae II Pool MA4007

5.00%		10/20/46		10,747,781		11,797,636

Ginnie Mae II Pool MA4069

3.50%		11/20/46		149,441,477		154,706,106

Ginnie Mae II Pool MA4071

4.50%		11/20/46		16,129,439		17,233,571

Ginnie Mae II Pool MA4072

5.00%		11/20/46		2,686,737		2,942,870

Ginnie Mae II Pool MA4126

3.00%		12/20/46		416,802,997		426,323,236

Ginnie Mae II Pool MA4127

3.50%		12/20/46		155,203,728		160,711,427

Ginnie Mae II Pool MA4129

4.50%		12/20/46		47,029,624		50,260,444

Ginnie Mae II Pool MA4198

4.50%		01/20/47		425,144		443,890

Ginnie Mae II Pool MA4199

5.00%		01/20/47		8,817,817		9,685,014

Ginnie Mae II Pool MA4264

4.50%		02/20/47		135,659,247		143,222,221

Ginnie Mae II Pool MA4265

5.00%		02/20/47		2,412,488		2,592,964

Ginnie Mae II Pool MA4324

5.00%		03/20/47		13,200,484		14,167,649

Ginnie Mae II Pool MA4382

3.50%		04/20/47		113,063,642		117,007,563

Ginnie Mae II Pool MA4384

4.50%		04/20/47		7,025,780		7,419,056

Ginnie Mae II Pool MA4385

5.00%		04/20/47		22,299,143		23,639,587

Ginnie Mae II Pool MA4453

4.50%		05/20/47		374,745,244		395,637,209

Ginnie Mae II Pool MA4454

5.00%		05/20/47		52,245,160		55,618,705

Ginnie Mae II Pool MA4511

4.00%		06/20/47		24,427,741		25,492,264

Ginnie Mae II Pool MA4512


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

4.50%		06/20/47		$	1,320,071	$	1,393,964

Ginnie Mae II Pool MA4513

5.00%		06/20/47			1,042,734		1,111,374

Ginnie Mae II Pool MA4586

3.50%		07/20/47			191,644,000		198,328,985

Ginnie Mae II Pool MA4589

5.00%		07/20/47			52,233,471		55,671,852

Ginnie Mae II Pool MA4652

3.50%		08/20/47			1,354,103		1,401,337

Ginnie Mae II Pool MA4655

5.00%		08/20/47			61,460,268		65,513,927

Ginnie Mae II Pool MA4719

3.50%		09/20/47			192,997,555		199,729,755

Ginnie Mae II Pool MA4720

4.00%		09/20/47			496,554		517,932

Ginnie Mae II Pool MA4722

5.00%		09/20/47			1,180,894		1,258,663

Ginnie Mae II Pool MA4781

5.00%		10/20/47			15,874,508		16,920,681

Ginnie Mae II Pool MA4836

3.00%		11/20/47			385,834,118		394,561,007

Ginnie Mae II Pool MA4837

3.50%		11/20/47			460,989,391		477,069,766

Ginnie Mae II Pool MA4838

4.00%		11/20/47			165,723,552		172,802,931

Ginnie Mae II Pool MA4840

5.00%		11/20/47			4,377,337		4,665,187

Ginnie Mae II Pool MA4900

3.50%		12/20/47			29,819,441		30,859,612

Ginnie Mae II Pool MA4901

4.00%		12/20/47			114,541,606		119,383,340

Ginnie Mae II Pool MA4961

3.00%		01/20/48			1,075,246		1,100,507

Ginnie Mae II Pool MA4963

4.00%		01/20/48			202,464,936		210,915,863

Ginnie Mae II Pool MA5137

4.00%		04/20/48			86,978,705		90,452,699

Ginnie Mae II Pool MA5399

4.50%		08/20/48			19,207,377		20,072,452

Ginnie Mae II Pool MA5466

4.00%		09/20/48			31,909,898		33,108,770

Ginnie Mae II Pool MA5528

4.00%		10/20/48			156,540,946		162,422,277

Ginnie Mae II Pool MA5530

5.00%		10/20/48			36,312,194		38,003,717

Ginnie Mae, Series 2000-22, Class SG (IO) (-1.00 X LIBOR USD 1-Month plus 10.80%, 10.80% Cap)

8.41%		05/16/30	¹		514		13


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Ginnie Mae, Series 2003-86, Class ZK

5.00%		10/20/33		$	7,981,947	$	8,569,789

Ginnie Mae, Series 2007-35, Class PY (IO) (-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)

4.36%		06/16/37	¹		15,086,797		2,759,496

Ginnie Mae, Series 2009-106, Class SD (IO) (-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)

3.87%		03/20/36	¹		12,423,943		1,376,266

Ginnie Mae, Series 2009-106, Class XI (IO) (-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)

4.42%		05/20/37	¹		31,267,918		4,312,431

Ginnie Mae, Series 2009-124, Class SC (IO) (-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)

4.10%		12/20/39	¹		5,152,140		1,029,133

Ginnie Mae, Series 2009-17, Class P

4.00%		08/16/38			9,285		9,395

Ginnie Mae, Series 2009-66, Class XS (IO) (-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)

4.41%		07/16/39	¹		54,798		6,940

Ginnie Mae, Series 2009-8, Class PS (IO) (-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)

3.91%		08/16/38	¹		86,938		8,046

Ginnie Mae, Series 2010-4, Class SL (IO) (-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)

4.01%		01/16/40	¹		65,893		11,885

Ginnie Mae, Series 2010-4, Class SM (IO) (-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)

3.41%		01/16/40	¹		11,980,594		1,876,083

Ginnie Mae, Series 2010-6, Class BS (IO) (-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)

4.11%		09/16/39	¹		3,215,291		252,562

Ginnie Mae, Series 2011-146, Class EI (IO)

5.00%		11/16/41			151,485		30,781

Ginnie Mae, Series 2013-113, Class LY

3.00%		05/20/43			51,184,000		51,894,680

Ginnie Mae, Series 2018-124, Class NW

3.50%		09/20/48			2,133,828		2,198,468

Ginnie Mae, Series 2019-1, Class NP

3.50%		01/20/49			44,636,020		45,564,422

Ginnie Mae, Series 2019-15, Class GT

3.50%		02/20/49			38,773,528		39,894,273

Ginnie Mae, Series 2019-44, Class CA

3.50%		12/20/48			32,740,690		33,582,351

Ginnie Mae, Series 2019-71, Class PT

3.00%		06/20/49			26,335,000		26,573,674

NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

(LIBOR USD 1-Month plus 0.45%)

2.81%		10/07/20	¹	$	8,375,017	$	8,382,799

NCUA Guaranteed Notes Trust, Series 2010-R3, Class 1A

(LIBOR USD 1-Month plus 0.56%)

2.92%		12/08/20	¹		7,067,605		7,106,403

NCUA Guaranteed Notes Trust, Series 2010-R3, Class 2A

(LIBOR USD 1-Month plus 0.56%)

2.92%		12/08/20	¹		18,725,651		18,789,786


							21,241,007,023


Total Mortgage-Backed (Cost $27,730,425,179)							28,365,389,140


MUNICIPAL BONDS — 0.61%*

California — 0.23%

Los Angeles Department of Water & Power, Build America Bonds, Series SY

6.01%		07/01/39			350,000		455,871

Los Angeles Department of Water & Power, Taxable Bonds, Series C

5.52%		07/01/27			12,625,000		15,328,770

Los Angeles Unified School District, Build America Bonds, Series KR

5.75%		07/01/34			2,765,000		3,533,228

Los Angeles Unified School District, Build America Bonds, Series RY

6.76%		07/01/34			12,165,000		16,696,706

San Jose Redevelopment Agency Successor Agency, Series A-T

3.18%		08/01/26			450,000		472,451

State of California, Build America Bonds

6.65%		03/01/22			4,245,000		4,668,693

7.95%		03/01/36			77,500,000		80,422,525

State of California, Build America Bonds, Various Purpose

7.50%		04/01/34			3,885,000		5,869,963

State of California, Taxable, Miscellaneous Revenue Bonds, Series B

2.19%		04/01/47			17,800,000		17,791,634

University of California, Taxable Revenue Bonds, Series AP

3.93%		05/15/45			30,040,000		31,826,178


							177,066,019


New Jersey — 0.00%

Jersey City Municipal Utilities Authority, Taxable Bonds, Series B

5.47%		05/15/27			400,000		452,788


Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

New Jersey (continued)

New Jersey Turnpike Authority, Taxable Bonds, Series F

3.73%		01/01/36	$	300,000	$	316,074


						768,862


New York — 0.37%

City of New York, Build America Bonds

4.77%		10/01/23		4,420,000		4,876,895

5.21%		10/01/31		6,420,000		7,658,225

5.52%		10/01/37		6,075,000		7,892,519

5.82%		10/01/31		220,000		229,387

5.99%		12/01/36		14,055,000		18,287,382

City of New York, Build America Bonds, Series F1

6.65%		12/01/31		46,470,000		49,283,759

Fiscal Year 2005 Securitization Corp., Special Obligation, Series B

4.93%		04/01/20		5,000		5,037

New York City Municipal Water Finance Authority, Build America Bonds, Series SE

6.49%		06/15/42		3,555,000		3,694,925

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Subseries C-5

3.90%		05/01/31		15,000,000		16,297,200

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Subseries FI

4.00%		08/01/33		6,450,000		6,941,877

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Subseries SU

3.88%		08/01/31		3,135,000		3,387,336

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

5.51%		08/01/37		25,000,000		31,998,750

New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, Series G-3

5.27%		05/01/27		13,135,000		15,548,556

New York City Water and Sewer Authority, Build America, Taxable Bonds

5.88%		06/15/44		5,505,000		7,787,428

New York City Water and Sewer Authority, Build America, Taxable Bonds, Series SE

6.01%		06/15/42		3,945,000		5,608,607

New York State Dormitory Authority, Taxable, Build America Bonds

5.43%		03/15/39		21,400,000		26,304,452

New York State Dormitory Authority, Build America Bonds

5.29%		03/15/33		44,990,000		54,329,924


Issues	Maturity Date			Principal Amount		Value

MUNICIPAL BONDS (continued)

NewYork (continued)
5.50%		03/15/30		$	19,235,000	$	22,883,302


							283,015,561

Texas — 0.01%
Texas Transportation Commission State Highway Fund, Build America Bonds, Series B
5.18%		04/01/30			3,075,000		3,717,644


Total Municipal Bonds
(Cost $447,449,047)							464,568,086


U.S. TREASURY SECURITIES — 28.47%

U.S. Treasury Bonds — 6.99%
U.S. Treasury Bonds
3.00%		02/15/49			206,275,000		226,596,312
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.00%		02/15/49	¹⁰		236,594,715		250,489,858
U.S. Treasury Bonds (WI)
2.88%		05/15/49			4,487,910,000		4,815,911,819


							5,292,997,989


U.S. Treasury Notes — 21.48%
U.S. Treasury Notes
1.63%		06/30/21			590,120,000		588,780,074
1.75%		06/30/24			3,659,240,000		3,658,532,303
2.00%		05/31/24			5,406,742,000		5,470,841,468
2.13%		05/31/21			2,686,025,000		2,704,744,472
2.25%		04/30/21			1,161,885,000		1,171,756,480
2.63%		02/15/29			236,043,000		249,004,622
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.13%		07/15/24	¹⁰		12,618,914		12,601,947
0.38%		07/15/25	¹⁰		168,872,263		170,793,146
0.50%		04/15/24	¹⁰		210,196,638		212,874,259
0.88%		01/15/29	¹⁰		540,718,357		569,389,904
U.S. Treasury Notes (WI)
2.38%		05/15/29			1,408,053,000		1,455,454,668


							16,264,773,343


Total U.S. Treasury Securities (Cost $21,166,585,971)							21,557,771,332


Total Bonds – 97.49% (Cost $72,036,376,035)							73,822,611,610


Issues			Shares		Value

COMMON STOCK — 0.01%

Electric — 0.01%
Homer City Holdings LLC^2,4,5,6				1,180,703	$	10,035,975


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

Purchased Options - 0.05% (Cost $13,653,918)						40,000,000



Issues	Maturity Date		Principal Amount/ Shares		Value

SHORT-TERM INVESTMENTS — 9.41%

Money Market Funds — 5.54%

Dreyfus Government Cash Management Fund
2.26%¹¹				2,663,739,000		2,663,739,000

Fidelity Investments Money Market Funds - Government Portfolio
2.27%^11,12				24		24

JPMorgan U.S. Government Money Market Fund
2.25%¹¹				219,226,000		219,226,000

Morgan Stanley Institutional Liquidity Funds-Government Portfolio
2.29%¹¹				1,310,221,000		1,310,221,000


						4,193,186,024

U.S. Agency Discount Notes — 1.85%

Federal Home Loan Bank
2.21%¹³		08/12/19	$	300,000,000		299,229,999
2.35%¹³		08/22/19		300,000,000		299,046,666
2.39%¹³		07/10/19		200,000,000		199,890,500
2.43%¹³		07/31/19		300,000,000		299,452,500
Freddie Mac
2.36%¹³		10/17/19		300,000,000		298,129,350


						1,395,749,015

U.S. Treasury Bills — 2.02%
U.S. Treasury Bills
2.11%¹³		07/23/19		500,000,000		499,370,505
2.11%^13,14		09/26/19		105,050,000		104,528,301
2.33%¹³		07/16/19		115,081,000		114,981,498
2.37%¹³		07/09/19		500,000,000		499,779,435
2.40%¹³		10/24/19		300,000,000		298,098,906
U.S. Treasury Bills (WI)
2.17%¹³		08/13/19		15,000,000		14,963,538


						1,531,722,183

Total Short-Term Investments
(Cost $7,119,845,549)						7,120,657,222


Issues	Value

Total Investments Before Written Options – 106.96%
(Cost $79,235,062,942)	$	80,993,304,807


Written Options - (0.04)% (Cost $(16,984,598))		(28,340,625	)


Liabilities in Excess of Other
Assets – (6.92)%		(5,243,389,921	)


Net Assets – 100.00%	$	75,721,574,261

¹	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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

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

⁴	Non-income producing security.

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $60,700,307, which is 0.08% of total net assets.

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

⁸	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁹	Zero coupon bond. The rate shown is the effective yield as of June 30, 2019.

¹⁰	Inflation protected security. Principal amount reflects original security face amount.

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

¹²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged for swaps is $24.

¹³	Represents annualized yield at date of purchase.

¹⁴	Securities, or a portion thereof, pledged as collateral for futures and options. The total market value of collateral pledged for futures is $97,413,437. The total market value of collateral pledged for options is $7,114,179.

^†

Fair valued security. The aggregate value of fair valued securities is $8,584,442, which is 0.01% of total net assets. These securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements.

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

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

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized Loan Obligation

(EMTN): Euro medium-term note

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term Note

(PO): Principal only

(SOFR): Secured Overnight Financing Rate

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value

BONDS – 75.08%

ASSET-BACKED SECURITIES — 2.32%**

Nelnet Student Loan Trust, Series 2012-5A, Class A (LIBOR USD 1-Month plus 0.60%)

3.00%		10/27/36	^1,2	$	415,155	$	414,115
SLM Student Loan Trust, Series 2003-10A,
Class A3
(LIBOR USD 3-Month plus 0.47%)

2.88%		12/15/27	^1,2		327,732		327,755
SLM Student Loan Trust, Series 2003-14,
Class A6
(LIBOR USD 3-Month plus 0.30%)

2.88%		07/25/25	¹		324,830		323,187
SLM Student Loan Trust, Series 2005-8, Class A4 (LIBOR USD 3-Month plus 0.55%)

3.13%		01/25/28	¹		325,004		325,588
SLM Student Loan Trust, Series 2007-6, Class A4 (LIBOR USD 3-Month plus 0.38%)

2.96%		10/25/24	¹		298,669		298,604
SLM Student Loan Trust, Series 2007-8, Class A4 (LIBOR USD 3-Month plus 0.47%)

3.05%		01/26/26	¹		223,443		223,550

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

(LIBOR USD 1-Month plus 0.52%)

2.92%		03/25/26	¹		174,612		174,606

SLM Student Loan Trust, Series 2013-4,

Class A

(LIBOR USD 1-Month plus 0.55%)
2.95%		06/25/43¹			147,228		145,806

Total Asset-Backed Securities
(Cost $2,236,885)							2,233,211

CORPORATES — 24.17%*

Banking — 5.14%

Bank of America Corp. (GMTN)

2.37%		07/21/21	³		250,000		249,776

JPMorgan Chase & Co.

(LIBOR USD 3-Month plus 0.68%)

3.20%		06/01/21	¹		400,000		401,363

(LIBOR USD 3-Month plus 1.00%)

3.60%		01/15/23	¹		200,000		202,422

JPMorgan Chase Bank N.A. (BKNT)

3.09%		04/26/21	³		250,000		251,274

(LIBOR USD 3-Month plus 0.29%)

2.87%		02/01/21	¹		500,000		500,281

Lloyds Bank PLC (United Kingdom)

2.40%		03/17/20	⁴		350,000		349,928


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)

Lloyds Bank PLC (United Kingdom) (MTN)

5.80%		01/13/20	^2,4	$	150,000	$	152,689

Santander UK Group Holdings PLC

(United Kingdom)

3.13%		01/08/21	⁴		500,000		502,618

US Bank N.A. (BKNT)

3.05%		07/24/20			550,000		554,695

Wells Fargo Bank N.A. (BKNT)

2.40%		01/15/20			1,000,000		1,000,678

3.33%		07/23/21	³		275,000		277,677

(SOFR Rate plus 0.48%)

2.96%		03/25/20	¹		500,000		500,673


							4,944,074


Communications — 0.34%

Sprint Spectrum Co. LLC/Sprint Spectrum

Co. II LLC/Sprint Spectrum Co. III LLC

3.36%		09/20/21	²		331,875		331,546


Consumer Discretionary — 0.65%

Constellation Brands, Inc.

2.00%		11/07/19			200,000		199,574

(LIBOR USD 3-Month plus 0.70%)

3.22%		11/15/21	¹		125,000		125,069

Molson Coors Brewing Co.

1.45%		07/15/19			300,000		299,880


							624,523

Electric — 0.26%

NextEra Energy Capital Holdings, Inc.

(LIBOR USD 3-Month plus 0.55%)

3.07%		08/28/21	¹		250,000		250,030


Energy — 0.21%

Rockies Express Pipeline LLC

5.63%		04/15/20	²		200,000		204,250


Finance — 4.07%

AerCap Ireland Capital DAC/AerCap Global

Aviation Trust (Ireland)

4.63%		10/30/20	⁴		200,000		205,370

American Express Credit Corp. (GMTN)

2.25%		08/15/19			300,000		299,889

BMW U.S. Capital LLC

(LIBOR USD 3-Month plus 0.38%)

2.68%		04/06/20	^1,2		375,000		375,811

Citigroup, Inc.

(LIBOR USD 3-Month plus 0.95%)

3.53%		07/24/23	¹		308,000		309,064

Daimler Finance North America LLC

1.75%		10/30/19	²		200,000		199,427


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)

Ford Motor Credit Co. LLC

2.60%		11/04/19			$500,000	$	499,709

(LIBOR USD 3-Month plus 0.79%)

3.23%		06/12/20	¹		250,000		249,362

GE Capital International Funding Co. (Ireland)

2.34%		11/15/20	⁴		560,000		557,106

Morgan Stanley (GMTN)

5.50%		07/24/20			500,000		516,223

Morgan Stanley (MTN)

5.63%		09/23/19			500,000		503,356

Park Aerospace Holdings Ltd. (Cayman Islands)

3.63%		03/15/21	^2,4		100,000		100,813

4.50%		03/15/23	^2,4		100,000		103,321


							3,919,451

Food — 2.12%

Campbell Soup Co. (LIBOR USD 3-Month plus 0.50%)

2.91%		03/16/20	¹		240,000		240,207

Conagra Brands, Inc. (LIBOR USD 3-Month plus 0.50%)

2.81%		10/09/20	¹		325,000		324,325

(LIBOR USD 3-Month plus 0.75%)

3.34%		10/22/20	¹		200,000		200,042

Danone SA (France)

1.69%		10/30/19	^2,4		250,000		249,358

Kraft Heinz Foods Co. (LIBOR USD 3-Month plus 0.42%)

2.98%		08/09/19	¹		350,000		350,118

Mondelez International Holdings Netherlands BV (Netherlands)

1.63%		10/28/19	^2,4		375,000		373,944

Smithfield Foods, Inc.

2.70%		01/31/20	²		300,000		299,460


							2,037,454

Health Care — 2.40%

Allergan Finance LLC

3.25%		10/01/22			200,000		202,680

Bayer U.S. Finance LLC

2.38%		10/08/19	²		300,000		299,513

Becton Dickinson and Co. (LIBOR USD 3-Month plus 0.88%)

3.19%		12/29/20	¹		243,000		243,040

Cigna Corp.

3.20%		09/17/20	²		200,000		201,933

CVS Health Corp.

2.25%		08/12/19			325,000		324,887


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

Fresenius Medical Care U.S. Finance II, Inc.

5.63%		07/31/19	²		$250,000	$	250,472

Humana, Inc.

2.63%		10/01/19			300,000		300,114

Shire Acquisitions Investments Ireland DAC (Ireland)

1.90%		09/23/19	⁴		250,000		249,627

Zimmer Biomet Holdings, Inc. (LIBOR USD 3-Month plus 0.75%)

3.17%		03/19/21	¹		240,000		239,824


							2,312,090

Industrials — 1.82%

BAE Systems Holdings, Inc.

2.85%		12/15/20	²		350,000		351,475

Bemis Co., Inc.

6.80%		08/01/19	²		300,000		300,210

General Electric Co. (GMTN)

2.20%		01/09/20			250,000		249,360

4.63%		01/07/21			310,000		318,965

6.00%		08/07/19			150,000		150,456

General Electric Co. (MTN)

5.55%		05/04/20			125,000		128,194

United Technologies Corp. (LIBOR USD 3-Month plus 0.65%)

3.17%		08/16/21	¹		250,000		250,161


							1,748,821

Information Technology — 0.41%

Analog Devices, Inc.

2.85%		03/12/20			120,000		120,371

Broadcom Corp./Broadcom Cayman Finance Ltd.

2.38%		01/15/20			275,000		274,353


							394,724

Materials — 0.57%

Georgia-Pacific LLC

2.54%		11/15/19	²		250,000		250,044

International Flavors & Fragrances, Inc.

3.40%		09/25/20			300,000		303,270


							553,314

Real Estate Investment Trust (REIT) — 4.78%

Alexandria Real Estate Equities, Inc.

2.75%		01/15/20			300,000		300,160

American Campus Communities Operating Partnership LP

3.35%		10/01/20			400,000		403,697


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)

Boston Properties LP

4.13%		05/15/21		$	500,000	$	514,805

Essex Portfolio LP

5.20%		03/15/21			350,000		363,590

GLP Capital LP/GLP Financing II, Inc.

4.88%		11/01/20			375,000		381,821

HCP, Inc.

2.63%		02/01/20			650,000		650,163

Liberty Property LP

4.75%		10/01/20			400,000		409,133

Reckson Operating Partnership LP

7.75%		03/15/20			250,000		258,823

UDR, Inc.

3.70%		10/01/20			500,000		506,995

WEA Finance LLC/Westfield UK & Europe Finance PLC

2.70%		09/17/19	²		300,000		299,931
Welltower, Inc.

4.95%		01/15/21			500,000		515,896


							4,605,014


Retail — 0.88%

Alimentation Couche-Tard, Inc. (Canada)

2.35%		12/13/19	^2,4		300,000		299,697

Dollar Tree, Inc. (LIBOR USD 3-Month plus 0.70%)

3.29%		04/17/20	¹		300,000		300,036

Walgreens Boots Alliance, Inc.

2.70%		11/18/19			250,000		249,931


							849,664


Transportation — 0.52%

American Airlines Pass-Through Trust, Series 2013-2, Class A

4.95%		01/15/23			382,958		400,901

Continental Airlines Pass-Through Trust, Series 2000-1, Class A1

8.05%		11/01/20			93,604		95,214


							496,115

Total Corporates
(Cost $23,174,384)							23,271,070

MORTGAGE-BACKED — 34.06%**

Non-Agency Commercial
Mortgage-Backed — 2.16%

Commercial Mortgage Trust, Series 2013-CR6, Class XB (IO)

0.68%		03/10/46	³		10,000,000		196,979


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Commercial Mortgage Trust, Series 2013-CR7, Class XA (IO)

1.37%		03/10/46	³		$3,246,560	$	115,949

Commercial Mortgage Trust, Series 2015-CR25, Class XA (IO)

1.05%		08/10/48	³		4,318,964		181,286

Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A

5.40%		12/13/28	²		141,018		147,665

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class ASB

3.14%		05/15/45			405,835		412,042

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class XA (IO)

1.49%		02/15/46	³		4,155,237		168,062

Morgan Stanley Capital I Trust, Series 2011-C3, Class A4

4.12%		07/15/49			215,000		221,680

WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA (IO)

2.07%		11/15/45	^2,3		1,513,934		79,133

WF-RBS Commercial Mortgage Trust, Series 2013-C12, Class XA (IO)

1.41%		03/15/48	^2,3		2,047,460		74,304

WF-RBS Commercial Mortgage Trust, Series 2013-C13, Class XA (IO)

1.33%		05/15/45	^2,3		2,689,603		104,577

WF-RBS Commercial Mortgage Trust, Series 2013-C13, Class XB (IO)

0.59%		05/15/45	^2,3		8,000,000		136,142

WF-RBS Commercial Mortgage Trust, Series 2014-C21, Class XA (IO)

1.21%		08/15/47	³		5,862,754		241,231


							2,079,050


Non-Agency Mortgage-Backed — 2.37%

Aames Mortgage Trust, Series 2002-1, Class A3 (STEP-reset date 08/25/19)

7.40%		06/25/32			22,272		22,439

Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1

4.37%		05/25/35	³		117,960		114,927

Banc of America Funding Trust, Series 2003-2, Class 1A1

6.50%		06/25/32			4,662		4,953

Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41

4.18%		02/25/34	³		53,640		52,776


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1

6.50%		11/25/31		$	61,029	$	64,953

Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR31, Class 4A2

4.84%		11/25/32	³		22,888		23,120

DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A (LIBOR USD 1-Month plus 0.74%)

3.13%		07/19/44	¹		155,131		158,627

First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4 (LIBOR USD 1-Month plus 0.15%)

2.55%		07/25/36	¹		113,433		113,619

Fremont Home Loan Trust, Series 2005-C, Class M1 (LIBOR USD 1-Month plus 0.72%)

3.12%		07/25/35	¹		402		403

GE Mortgage Services LLC, Series 1998-HE1, Class A7

6.47%		06/25/28			2		2

IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 (LIBOR USD 1-Month plus 0.78%)

3.18%		12/25/34	¹		406,197		360,168

IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1

4.64%		10/25/34	³		125,399		124,764

JPMorgan Mortgage Trust, Series 2005-A2, Class 9A1

4.86%		04/25/35	³		181,568		189,018

MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1

5.12%		01/25/34	³		11,607		11,602

MASTR Adjustable Rate Mortgages Trust, Series 2004-12, Class 5A1

4.48%		10/25/34	³		275,877		274,123

MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1

3.63%		06/25/34	³		5,862		5,750

MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2⁵

0.00%		03/25/47	^6,7,8,†		4,000,000		—

MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1

4.62%		10/25/32	³		40,594		42,035

Merrill Lynch Mortgage Investors Trust, Series 2003-A1, Class 2A (LIBOR USD 12-Month plus 1.63%)

4.20%		12/25/32	¹		165,110		169,306


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Morgan Stanley ABS Capital I Trust, Series 2006-NC1, Class A4 (LIBOR USD 1-Month plus 0.30%)

2.70%		12/25/35	¹	$	107,394	$	107,214

Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2

8.50%		11/25/31			34,570		5,359

Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8

6.50%		11/25/31			47,731		50,824

Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1

4.55%		12/25/34	³		104,498		105,648

Terwin NIMs Trust, Series 2004-13AL, Class 2PX (IO)

0.34%		08/25/34	^2,6,7		1,992,077		32,120

WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A (Federal Reserve US 12-Month Cumulative Average plus 1.40%)

3.90%		06/25/42	¹		28,737		28,443

WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1

4.72%		06/25/33	³		67,005		69,299

WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13 (LIBOR USD 1-Month plus 0.50%)

2.90%		06/25/35	¹		175,587		150,300


							2,281,792


U.S. Agency Commercial
Mortgage-Backed — 8.12%

Fannie Mae-Aces, Series 2012-M4, Class X1 (IO)

0.68%		04/25/22	³		7,637,434		80,051

Fannie Mae-Aces, Series 2014-M12, Class FA (LIBOR USD 1-Month plus 0.30%)

2.74%		10/25/21	¹		46,842		46,586

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A (LIBOR USD 1-Month plus 0.36%)

2.79%		08/25/24	¹		165,438		165,321

Freddie Mac Multifamily Structured Pass-Through Certificates, Series J22F, Class A1

3.45%		05/25/23			436,068		448,887

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K012, Class X3 (IO)

2.33%		01/25/41	³		2,950,450		98,184


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K025, Class X3 (IO)

1.81%		11/25/40	³	$	2,000,000	$	111,608

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K031, Class X1 (IO)

0.34%		04/25/23	³		13,344,040		105,580

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K056, Class XAM (IO)

1.29%		05/25/26	³		1,400,000		101,668

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K504, Class A2

2.57%		09/25/20	³		1,150,452		1,152,183

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X3 (IO)

1.85%		01/25/42	³		4,000,000		95,052

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K717, Class A1

2.34%		02/25/21			74,918		74,768

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A (LIBOR USD 1-Month plus 0.35%)

2.78%		09/25/21	¹		44,643		44,639

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF17, Class A (LIBOR USD 1-Month plus 0.55%)

2.98%		03/25/23	¹		593,943		594,249

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF19, Class A (LIBOR USD 1-Month plus 0.45%)

2.88%		06/25/23	¹		954,838		955,330

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF22, Class A (LIBOR USD 1-Month plus 0.50%)

2.93%		07/25/23	¹		558,165		558,587

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP02, Class A2

2.36%		04/25/21	³		171,975		171,617

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1 (LIBOR USD 1-Month plus 0.22%)

2.65%		07/25/20	¹		770,000		769,708


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS05, Class A (LIBOR USD 1-Month plus 0.50%)

2.93%		01/25/23	¹	$	562,371	$	563,011

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X (IO)

0.78%		09/25/25	³		3,500,000		128,394

Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class AFL (Federal Reserve US 12-Month Cumulative Average plus 0.74%)

3.24%		05/25/44	¹		413,833		414,141

FRESB Mortgage Trust, Series 2016-SB15, Class A5H (LIBOR USD 1-Month plus 2.06%)

2.06%		03/25/36	¹		480,680		481,687

Ginnie Mae, Series 2011-165, Class IO (IO)

0.50%		10/16/51	³		9,195,258		98,757

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

0.58%		01/16/53	³		3,907,623		116,558

Ginnie Mae, Series 2013-74, Class IO (IO)

0.80%		12/16/53	³		2,879,062		128,668

NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A (LIBOR USD 1-Month plus 0.53%)

2.89%		03/09/21	¹		309,184		309,336


							7,814,570


U.S. Agency Mortgage-Backed — 21.41%

Fannie Mae Pool 254548

5.50%		12/01/32			118,551		129,274

Fannie Mae Pool 464321

4.36%		01/01/20			624,567		624,425

Fannie Mae Pool 468764

4.16%		07/01/21			630,000		653,675

Fannie Mae Pool 523829

8.00%		11/01/19			679		679

Fannie Mae Pool 555098 (LIBOR USD 12-Month plus 1.51%)

4.39%		11/01/32	¹		15,308		15,606

Fannie Mae Pool 555424

5.50%		05/01/33			77,660		86,035

Fannie Mae Pool 567002

8.00%		05/01/23			18,219		19,320

Fannie Mae Pool 655133

7.00%		08/01/32			7,307		7,704


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae Pool 655151

7.00%		08/01/32			$ 13,856	$	14,575

Fannie Mae Pool 762525

6.50%		11/01/33			26,264		28,977

Fannie Mae Pool 770900

(LIBOR USD 12-Month plus 1.55%)

4.43%		04/01/34	¹		124,514		126,778

Fannie Mae Pool 893489

(LIBOR USD 12-Month plus 1.62%)

4.37%		09/01/36	¹		29,449		30,777

Fannie Mae Pool AD0538

6.00%		05/01/24			46,219		48,653

Fannie Mae Pool AE0443

6.50%		10/01/39			87,076		95,118

Fannie Mae Pool AL0851

6.00%		10/01/40			78,369		88,904

Fannie Mae REMICS, Series 1993-80,
Class S

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

7.94%		05/25/23	¹		767		845

Fannie Mae REMICS, Series 2001-42,
Class SB

(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)

8.50%		09/25/31	¹		1,432		1,604

Fannie Mae REMICS, Series 2001-60,
Class OF

(LIBOR USD 1-Month plus 0.95%)

3.35%		10/25/31	¹		109,521		111,394

Fannie Mae REMICS, Series 2002-30,
Class FB

(LIBOR USD 1-Month plus 1.00%)

3.40%		08/25/31	¹		133,543		135,510

Fannie Mae REMICS, Series 2003-124,
Class TS

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

9.80%		01/25/34	¹		17,317		20,324

Fannie Mae REMICS, Series 2003-134,
Class FC

(LIBOR USD 1-Month plus 0.60%)

3.00%		12/25/32	¹		447,530		450,753

Fannie Mae REMICS, Series 2004-60,
Class FW

(LIBOR USD 1-Month plus 0.45%)

2.85%		04/25/34	¹		411,311		411,636

Fannie Mae REMICS, Series 2004-96,
Class MT

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

7.00%		12/25/34	¹		10,049		11,129

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed
(continued)

Fannie Mae REMICS, Series 2005-114,

Class PF

(LIBOR USD 1-Month plus 0.38%)

2.78%

08/25/35

$546,200

546,161

Fannie Mae REMICS, Series 2006-84,

Class WF

(LIBOR USD 1-Month plus 0.30%)

2.70%

02/25/36

56,085

56,060

Fannie Mae REMICS, Series 2007-68,

Class SC (IO)

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

4.30%

07/25/37

108,670

21,498

Fannie Mae REMICS, Series 2009-111,

Class DA

5.00%

12/25/39

11,936

12,130

Fannie Mae REMICS, Series 2009-33,

Class FB

(LIBOR USD 1-Month plus 0.82%)

3.22%

03/25/37

143,365

145,600

Fannie Mae REMICS, Series 2010-109,

Class PF

(LIBOR USD 1-Month plus 0.40%)

2.80%

10/25/40

81,556

81,684

Fannie Mae REMICS, Series 2010-26,

Class S (IO)

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

3.83%

11/25/36

440,239

77,673

Fannie Mae REMICS, Series 2011-124,

Class DF

(LIBOR USD 1-Month plus 0.45%)

2.85%

08/25/40

369,674

370,113

Fannie Mae REMICS, Series 2011-71,

Class FB

(LIBOR USD 1-Month plus 0.50%)

2.90%

05/25/37

160,406

160,741

Fannie Mae REMICS, Series 2011-8,

Class PF

(LIBOR USD 1-Month plus 0.50%)

2.90%

01/25/40

89,651

89,723

Fannie Mae REMICS, Series 2012-19,

Class FP

(LIBOR USD 1-Month plus 0.50%)

2.90%

12/25/39

543,314

546,170

Fannie Mae REMICS, Series 2012-33,

Class F

(LIBOR USD 1-Month plus 0.52%)

2.92%

04/25/42

593,181

596,794

Fannie Mae REMICS, Series 2013-75,

Class FC

(LIBOR USD 1-Month plus 0.25%)

2.65%

07/25/42

555,114

556,005


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae REMICS, Series 2014-19, Class FA (LIBOR USD 1-Month plus 0.40%)

2.80%		11/25/39	¹		$224,744	$	224,853

Fannie Mae REMICS. Series 2004-92, Class FD (LIBOR USD 1-Month plus 0.35%)

2.75%		05/25/34	¹		509,279		510,111

Freddie Mac Gold Pool C90474

7.00%		08/01/21			8,494		8,683

Freddie Mac Gold Pool G13107

5.50%		07/01/20			2,348		2,375

Freddie Mac REMICS, Series 1526, Class L

6.50%		06/15/23			1,819		1,924

Freddie Mac REMICS, Series 2368, Class AF

(LIBOR USD 1-Month plus 0.95%)

3.34%		10/15/31	¹		70,949		72,647

Freddie Mac REMICS, Series 2642, Class BW (IO)

5.00%		06/15/23			341		3

Freddie Mac REMICS, Series 2733, Class FB (LIBOR USD 1-Month plus 0.60%)

2.99%		10/15/33	¹		807,520		813,035

Freddie Mac REMICS, Series 2763, Class FC (LIBOR USD 1-Month plus 0.35%)

2.74%		04/15/32	¹		148,702		148,686

Freddie Mac REMICS, Series 2990, Class DE (LIBOR USD 1-Month plus 0.38%)

2.77%		11/15/34	¹		224,473		224,730

Freddie Mac REMICS, Series 2990, Class LE (LIBOR USD 1-Month plus 0.32%)

2.71%		10/15/34	¹		452,070		451,513

Freddie Mac REMICS, Series 3066, Class PF (LIBOR USD 1-Month plus 0.30%)

2.69%		04/15/35	¹		455,072		454,828

Freddie Mac REMICS, Series 3085, Class FW (LIBOR USD 1-Month plus 0.70%)

3.09%		08/15/35	¹		505,449		513,396

Freddie Mac REMICS, Series 3139, Class FL (LIBOR USD 1-Month plus 0.30%)

2.69%		01/15/36	¹		245,189		245,105


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac REMICS, Series 3172, Class FK (LIBOR USD 1-Month plus 0.45%)

2.84%		08/15/33	¹		$38,672	$	38,686

Freddie Mac REMICS, Series 3196, Class FA (LIBOR USD 1-Month plus 0.35%)

2.74%		04/15/32	¹		501,392		501,432

Freddie Mac REMICS, Series 3300, Class FA (LIBOR USD 1-Month plus 0.30%)

2.69%		08/15/35	¹		470,404		468,870

Freddie Mac REMICS, Series 3325, Class NF (LIBOR USD 1-Month plus 0.30%)

2.69%		08/15/35	¹		94,497		94,189

Freddie Mac REMICS, Series 3652, Class PF (LIBOR USD 1-Month plus 0.75%)

3.14%		07/15/32	¹		24,640		24,702

Freddie Mac REMICS, Series 3767, Class JF (LIBOR USD 1-Month plus 0.30%)

2.69%		02/15/39	¹		303,737		304,396

Freddie Mac REMICS, Series 3792, Class DF (LIBOR USD 1-Month plus 0.40%)

2.79%		11/15/40	¹		131,686		130,843

Freddie Mac REMICS, Series 3806, Class DF (LIBOR USD 1-Month plus 0.40%)

2.79%		08/15/25	¹		128,059		128,296

Freddie Mac REMICS, Series 3828, Class TF (LIBOR USD 1-Month plus 0.40%)

2.79%		04/15/29	¹		6,608		6,609

Freddie Mac REMICS, Series 3845, Class FQ (LIBOR USD 1-Month plus 0.25%)

2.64%		02/15/26	¹		246,163		246,455

Freddie Mac REMICS, Series 3895, Class BF (LIBOR USD 1-Month plus 0.50%)

2.89%		07/15/41	¹		303,832		305,164

Freddie Mac REMICS, Series 3940, Class PF (LIBOR USD 1-Month plus 0.35%)

2.74%		05/15/40	¹		733,400		733,994


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac REMICS, Series 3946, Class FG (LIBOR USD 1-Month plus 0.35%)

2.74%		10/15/39	¹		$357,471	$	357,123

Freddie Mac REMICS, Series 4097, Class TF (1.00 X LIBOR USD 1-Month plus 0.40%, 6.50% Cap)

2.79%		05/15/39	¹		172,621		172,328

Freddie Mac REMICS, Series 4109, Class KF (LIBOR USD 1-Month plus 0.40%)

2.79%		05/15/32	¹		72,079		72,148

Freddie Mac Strips, Series 263, Class F5 (LIBOR USD 1-Month plus 0.50%)

2.89%		06/15/42	¹		476,358		478,494

Ginnie Mae II Pool (TBA)

4.50%		09/20/48			475,000		495,002

Ginnie Mae II Pool 80546 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

4.13%		10/20/31	¹		9,911		10,298

Ginnie Mae II Pool 80610 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

3.63%		06/20/32	¹		110,793		115,019

Ginnie Mae II Pool 80614 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

3.75%		07/20/32	¹		14,706		15,336

Ginnie Mae II Pool 80687 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

3.63%		04/20/33	¹		100,804		104,746

Ginnie Mae II Pool 8339 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

4.13%		12/20/23	¹		12,634		12,920

Ginnie Mae II Pool 8684 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

3.75%		08/20/25	¹		24,603		25,354

Ginnie Mae II Pool MA0331 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)

3.75%		08/20/42	¹		142,587		146,980

Ginnie Mae, Series 2001-22, Class FK (LIBOR USD 1-Month plus 0.35%)

2.74%		05/16/31	¹		657,240		658,861


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Ginnie Mae, Series 2001-51, Class FA (LIBOR USD 1-Month plus 0.50%)

2.89%		10/16/31	¹	$	470,649	$	471,403

Ginnie Mae, Series 2002-16, Class FV (LIBOR USD 1-Month plus 0.40%)

2.79%		02/16/32	¹		742,190		743,825

Ginnie Mae, Series 2002-72, Class FB (LIBOR USD 1-Month plus 0.40%)

2.78%		10/20/32	¹		151,273		151,361

Ginnie Mae, Series 2002-72, Class FC (LIBOR USD 1-Month plus 0.40%)

2.78%		10/20/32	¹		223,144		223,275

Ginnie Mae, Series 2003-42, Class FA (LIBOR USD 1-Month plus 0.40%)

2.79%		07/16/31	¹		725,115		725,796

Ginnie Mae, Series 2004-2, Class FW (LIBOR USD 1-Month plus 1.40%)

3.84%		01/16/34	¹		488,161		504,343

Ginnie Mae, Series 2009-66, Class UF (LIBOR USD 1-Month plus 1.00%)

3.39%		08/16/39	¹		148,386		151,488

Ginnie Mae, Series 2009-92, Class FC (LIBOR USD 1-Month plus 0.80%)

3.19%		10/16/39	¹		158,336		160,342

Ginnie Mae, Series 2011-70, Class IL (IO) (-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)

0.60%		06/16/37	¹		2,107,172		36,464

Ginnie Mae, Series 2012-10, Class FP (LIBOR USD 1-Month plus 0.30%)

2.68%		01/20/41	¹		94,245		94,007

Ginnie Mae, Series 2012-13, Class KF (LIBOR USD 1-Month plus 0.30%)

2.68%		07/20/38	¹		198,321		198,446

NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A (LIBOR USD 1-Month plus 0.45%)

2.81%		10/07/20	¹		746,800		747,493

NCUA Guaranteed Notes Trust, Series 2010-R3, Class 1A (LIBOR USD 1-Month plus 0.56%)

2.92%		12/08/20	¹		542,599		545,577


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

NCUA Guaranteed Notes Trust,
Series 2011-R3, Class 1A
(LIBOR USD 1-Month plus 0.40%)

2.81%		03/11/20	¹	$	160,927	$	161,229


							20,609,230


Total Mortgage-Backed
(Cost $32,884,701)							32,784,642


U.S. TREASURY SECURITIES — 14.53%

U.S. Treasury Notes — 14.53%

U.S. Treasury Notes

1.63%		06/30/21			3,060,000		3,053,052

2.13%		05/31/21			6,965,000		7,013,541

2.25%		04/30/21			3,890,000		3,923,050


Total U.S. Treasury Securities (Cost $13,916,321)							13,989,643


Total Bonds – 75.08% (Cost $72,212,291)							72,278,566


Issues	Maturity Date		Principal Amount/ Share		Value

SHORT-TERM INVESTMENTS — 27.63%

Money Market Funds — 0.48%
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
2.26%⁹				464,000		464,000


U.S. Treasury Bills — 27.15%
U.S. Treasury Bills

2.11%^10,11		09/26/19	$	26,000		25,871

2.32%¹¹		07/16/19		15,000,000		14,987,031

2.32%¹¹		07/23/19		2,000,000		1,997,482

2.38%¹¹		07/09/19		1,200,000		1,199,471

2.40%¹¹		10/24/19		1,400,000		1,391,128

2.41%¹¹		07/11/19		1,500,000		1,499,199

2.41%¹¹		07/18/19		4,736,000		4,731,424

2.41%¹¹		10/10/19		300,000		298,241


						26,129,847

Total Short-Term Investments
(Cost $26,589,000)						26,593,847


	Value

Total Investments – 102.71%
(Cost $98,801,291)	$	98,872,413


Liabilities in Excess of Other
Assets – (2.71)%		(2,608,498	)


Net Assets – 100.00%	$	96,263,915

¹	Floating rate security. The rate disclosed was in effect at June 30, 2019.

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

³	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

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

⁵	Non-income producing security.

⁶	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁷	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $32,120, which is 0.03% of total net assets.

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

⁹	Represents the current yield as of June 30, 2019.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $25,871.

¹¹	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. These securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements.

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

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

(BKNT): Banker’s Note, Inc.

(GMTN): Global medium-term note

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(SOFR): Secured Overnight Financing Rate

(TBA): To be announced

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value

BONDS – 89.08%

ASSET-BACKED SECURITIES — 13.62%**

321 Henderson Receivables VI LLC Series 2010-1A, Class B

9.31%		07/15/61	¹	$	367,155	$	439,590

Access Group, Inc., Series 2015-1, Class A (LIBOR USD 1-Month plus 0.70%)

3.10%		07/25/56	^1,2		4,041,655		4,006,430

AIMCO CLO, Series 2015-AA, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.85%)

3.45%		01/15/28	^1,2,3		10,000,000		9,986,500

ARES XXIX CLO Ltd., Series 2014-1A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.19%)

3.78%		04/17/26	^1,2,3		3,947,438		3,948,986

Babson CLO Ltd., Series 2044-1A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.15%)

3.74%		07/20/25	^1,2,3		4,208,042		4,208,272

Barings BDC Static CLO Ltd., Series 2019-1A, Class A1 (Cayman Islands) (LIBOR USD 3-Month plus 1.02%)

3.54%		04/15/27	^1,2,3		6,000,000		6,004,664

Barings CLO Ltd., Series 2016-2A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.08%)

3.67%		07/20/28	^1,2,3		5,800,000		5,801,171

Barings CLO Ltd., Series 2018-3A, Class A1 (Cayman Islands) (LIBOR USD 3-Month plus 0.95%)

3.54%		07/20/29	^1,2,3		8,400,000		8,363,267

Bayview Commercial Asset Trust, Series 2004-3, Class A1 (LIBOR USD 1-Month plus 0.56%)

2.96%		01/25/35	^1,2		593,246		590,840

Bayview Commercial Asset Trust, Series 2005-1A, Class A1 (LIBOR USD 1-Month plus 0.45%)

2.85%		04/25/35	^1,2		1,094,985		1,076,378

BlueMountain CLO Ltd., Series 2013-1A, Class A1R2 (Cayman Islands) (LIBOR USD 3-Month plus 1.23%)

3.82%		01/20/29	^1,2,3		4,000,000		4,005,887

BlueMountain CLO Ltd., Series 2015-1A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.33%)

3.93%		04/13/27	^1,2,3		6,285,000		6,295,843

Brazos Higher Education Authority, Inc., Series 2011-1, Class A2 (LIBOR USD 3-Month plus 0.80%)

3.32%		02/25/30	²		52,336		52,362


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

CIT Education Loan Trust, Series 2007-1, Class A (LIBOR USD 3-Month plus 0.09%)

2.44%		03/25/42	^1,2	$	2,792,773	$	2,669,623

CIT Education Loan Trust, Series 2007-1, Class B (LIBOR USD 3-Month plus 0.30%)

2.65%		06/25/42	^1,2		2,496,278		2,292,791

Corevest American Finance Trust, Series 2019-1, Class XA (IO)

2.35%		03/15/52	^1,4		24,744,898		2,427,217

Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.82%)

3.34%		11/15/28	^1,2,3		7,500,000		7,459,380

Edsouth Indenture No. 3 LLC, Series 2012-2, Class A (LIBOR USD 1-Month plus 0.73%)

3.13%		04/25/39	^1,2		145,620		145,235

Education Loan Asset-Backed Trust I, Series 2013-1, Class A2 (LIBOR USD 1-Month plus 0.80%)

3.20%		04/26/32	^1,2		3,465,000		3,454,788

Educational Funding of the South, Inc., Series 2012-1, Class A (LIBOR USD 1-Month plus 1.05%)

3.48%		03/25/36	²		82,667		82,777

EFS Volunteer No. 2 LLC, Series 2012-1, Class A2 (LIBOR USD 1-Month plus 1.35%)

3.75%		03/25/36	^1,2		6,400,000		6,443,672

Flagship CLO VIII Ltd., Series 2014-8A, Class ARR (Cayman Islands) (LIBOR USD 3-Month plus 0.85%)

3.45%		01/16/26	^1,2,3		7,373,082		7,365,725

Galaxy XXIX CLO Ltd. (Cayman Islands) (LIBOR USD 3-Month plus 0.79%)

3.31%		11/15/26	^1,2,3		3,412,511		3,408,355

GCO Education Loan Funding Trust II, Series 2006-2AR, Class A1RN (LIBOR USD 1-Month plus 0.65%)

3.05%		08/27/46	^1,2		2,589,103		2,470,238

Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)

3.09%		07/17/29	^1,3		1,291,167		1,296,386

Goal Capital Funding Trust, Series 2006-1, Class B (LIBOR USD 3-Month plus 0.45%)

2.97%		08/25/42	²		448,428		413,907


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

Higher Education Funding I, Series 2014-1, Class A (LIBOR USD 3-Month plus 1.05%)

3.57%		05/25/34	^1,2	$	1,686,424	$	1,698,556

J.G. Wentworth XXXVIII LLC, Series 2016-1A, Class A

3.41%		06/15/67	¹		736,890		764,303

J.G. Wentworth XXXVIII LLC, Series 2017-1A, Class A

3.99%		08/16/60	¹		3,765,295		4,018,837

LCM XIX LP, Series 19A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.24%)

3.84%		07/15/27	^1,2,3		9,500,000		9,508,775

LCM XXI LP, Series 21A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.88%)

3.47%		04/20/28	^1,2,3		3,575,000		3,560,700

Limerock CLO III LLC, Series 2014-3A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 1.20%)

3.79%		10/20/26	^1,2,3		7,430,637		7,433,944

Navient Student Loan Trust, Series 2014-8, Class A3 (LIBOR USD 1-Month plus 0.60%)

3.00%		05/27/49	²		6,120,000		6,066,110

Navient Student Loan Trust, Series 2015-1, Class A2 (LIBOR USD 1-Month plus 0.60%)

3.00%		04/25/40	²		8,208,451		8,130,144

Navient Student Loan Trust, Series 2016-2A, Class A3 (LIBOR USD 1-Month plus 1.50%)

3.90%		06/25/65	^1,2		11,200,000		11,526,594

Navient Student Loan Trust, Series 2017-1A, Class A3 (LIBOR USD 1-Month plus 1.15%)

3.55%		07/26/66	^1,2		16,200,000		16,387,567

Navient Student Loan Trust, Series 2017-3A, Class A3 (LIBOR USD 1-Month plus 1.05%)

3.45%		07/26/66	^1,2		18,400,000		18,445,658

Navient Student Loan Trust, Series 2018-3A, Class A3 (LIBOR USD 1-Month plus 0.80%)

3.20%		03/25/67	^1,2		3,500,000		3,472,156

Nelnet Student Loan Trust, Series 2006-2, Class B (LIBOR USD 3-Month plus 0.20%)

2.78%		01/25/38	²		3,914,240		3,621,602


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

Nelnet Student Loan Trust, Series 2007-1, Class A3 (LIBOR USD 3-Month plus 0.07%)

2.59%		05/27/25	²	$	1,632,529	$	1,622,943

Nelnet Student Loan Trust, Series 2012-5A, Class A (LIBOR USD 1-Month plus 0.60%)

3.00%		10/27/36	^1,2		123,785		123,475

Nelnet Student Loan Trust, Series 2014-4A, Class A2 (LIBOR USD 1-Month plus 0.95%)

3.35%		11/25/48	^1,2		1,865,000		1,846,946

Nelnet Student Loan Trust, Series 2015-1A, Class A (LIBOR USD 1-Month plus 0.59%)

2.99%		04/25/46	^1,2		2,396,111		2,370,717

Nelnet Student Loan Trust, Series 2015-3A, Class A3 (LIBOR USD 1-Month plus 0.90%)

3.30%		06/25/54	^1,2		11,000,000		10,894,060

Northstar Education Finance, Inc., Series 2007-1, Class A2 (LIBOR USD 3-Month plus 0.75%)

3.33%		01/29/46	²		134,762		133,266

Octagon Investment Partners 25 Ltd., Series 2015-1A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.80%)

3.39%		10/20/26	^1,2,3		4,910,000		4,908,626

PHEAA Student Loan Trust, Series 2013-3A, Class A (LIBOR USD 1-Month plus 0.75%)

3.15%		11/25/42	^1,2		3,800,647		3,767,123

Recette CLO Ltd., Series 2015-1A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.92%)

3.51%		10/20/27	^1,2,3		9,100,000		9,095,459

Scholar Funding Trust, Series 2011-A, Class A (LIBOR USD 3-Month plus 0.90%)

3.48%		10/28/43	^1,2		107,690		107,424

SLC Student Loan Trust, Series 2004-1, Class B (LIBOR USD 3-Month plus 0.29%)

2.81%		08/15/31	²		575,524		526,880

SLC Student Loan Trust, Series 2005-2, Class A4 (LIBOR USD 3-Month plus 0.16%)

2.57%		12/15/39	²		12,000,000		11,596,638

SLC Student Loan Trust, Series 2005-3, Class A4 (LIBOR USD 3-Month plus 0.15%)

2.56%		12/15/39	²		13,800,000		13,069,986


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLC Student Loan Trust, Series 2006-1, Class A6 (LIBOR USD 3-Month plus 0.16%)

2.57%		03/15/55	²	$	13,120,000	$	12,408,223

SLC Student Loan Trust, Series 2008-1, Class A4A (LIBOR USD 3-Month plus 1.60%)

4.01%		12/15/32	²		3,442,090		3,528,158

SLM Student Loan Trust, Series 2003-12, Class B (LIBOR USD 3-Month plus 0.59%)

3.00%		03/15/38	²		5,089,076		4,825,118

SLM Student Loan Trust, Series 2003-4, Class A5D (LIBOR USD 3-Month plus 0.75%)

3.16%		03/15/33	^1,2		2,451,403		2,403,395

SLM Student Loan Trust, Series 2003-7, Class B (LIBOR USD 3-Month plus 0.57%)

2.98%		09/15/39	²		3,590,644		3,372,814

SLM Student Loan Trust, Series 2004-10, Class B (LIBOR USD 3-Month plus 0.37%)

2.95%		01/25/40	²		10,318,033		9,477,865

SLM Student Loan Trust, Series 2004-2, Class B (LIBOR USD 3-Month plus 0.47%)

3.05%		07/25/39	²		624,495		587,877

SLM Student Loan Trust, Series 2006-2, Class A6 (LIBOR USD 3-Month plus 0.17%)

2.75%		01/25/41	²		12,701,012		12,276,266

SLM Student Loan Trust, Series 2006-8, Class A6 (LIBOR USD 3-Month plus 0.16%)

2.74%		01/25/41	²		1,800,000		1,712,139

SLM Student Loan Trust, Series 2007-2, Class B (LIBOR USD 3-Month plus 0.17%)

2.75%		07/25/25	²		12,800,000		11,768,119

SLM Student Loan Trust, Series 2007-3, Class A4 (LIBOR USD 3-Month plus 0.06%)

2.64%		01/25/22	²		206,177		200,243

SLM Student Loan Trust, Series 2007-3, Class B (LIBOR USD 3-Month plus 0.15%)

2.73%		01/25/28	²		12,800,000		11,761,772

SLM Student Loan Trust, Series 2007-7, Class B (LIBOR USD 3-Month plus 0.75%)

3.33%		10/27/70	²		2,195,000		2,051,398


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-2, Class A3 (LIBOR USD 3-Month plus 0.75%)

3.33%		04/25/23	²	$	15,265,639	$	15,175,606

SLM Student Loan Trust, Series 2008-2, Class B (LIBOR USD 3-Month plus 1.20%)

3.78%		01/25/83	²		1,000,000		957,583

SLM Student Loan Trust, Series 2008-3, Class B (LIBOR USD 3-Month plus 1.20%)

3.78%		04/26/83	²		710,000		674,558

SLM Student Loan Trust, Series 2008-4, Class A4 (LIBOR USD 3-Month plus 1.65%)

4.23%		07/25/22	²		1,353,044		1,369,122

SLM Student Loan Trust, Series 2008-4, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		04/25/73	²		710,000		720,058

SLM Student Loan Trust, Series 2008-5, Class A4 (LIBOR USD 3-Month plus 1.70%)

4.28%		07/25/23	²		6,989,147		7,077,738

SLM Student Loan Trust, Series 2008-5, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		07/25/73	²		7,315,000		7,384,400

SLM Student Loan Trust, Series 2008-6, Class A4 (LIBOR USD 3-Month plus 1.10%)

3.68%		07/25/23	²		10,189,271		10,197,771

SLM Student Loan Trust, Series 2008-6, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		07/26/83	²		710,000		720,874

SLM Student Loan Trust, Series 2008-7, Class B (LIBOR USD 3-Month plus 1.85%)

4.43%		07/26/83	²		820,000		832,673

SLM Student Loan Trust, Series 2008-8, Class A4 (LIBOR USD 3-Month plus 1.50%)

4.08%		04/25/23	²		1,743,423		1,761,223

SLM Student Loan Trust, Series 2008-8, Class B (LIBOR USD 3-Month plus 2.25%)

4.83%		10/25/75	²		735,000		750,031

SLM Student Loan Trust, Series 2008-9, Class A (LIBOR USD 3-Month plus 1.50%)

4.08%		04/25/23	²		2,470,762		2,499,916


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2008-9, Class B (LIBOR USD 3-Month plus 2.25%)

4.83%		10/25/83	²	$	7,235,000	$	7,404,053

SLM Student Loan Trust, Series 2009-3, Class A (LIBOR USD 1-Month plus 0.75%)

3.15%		01/25/45	^1,2		8,825,467		8,704,184

SLM Student Loan Trust, Series 2011-1, Class A2 (LIBOR USD 1-Month plus 1.15%)

3.55%		10/25/34	²		2,680,000		2,700,207

SLM Student Loan Trust, Series 2011-2, Class A2 (LIBOR USD 1-Month plus 1.20%)

3.60%		10/25/34	²		4,035,000		4,099,751

SLM Student Loan Trust, Series 2012-1, Class A3 (LIBOR USD 1-Month plus 0.95%)

3.38%		09/25/28	²		952,877		941,437

SLM Student Loan Trust, Series 2012-2, Class A (LIBOR USD 1-Month plus 0.70%)

3.10%		01/25/29	²		1,396,515		1,372,068

SLM Student Loan Trust, Series 2012-7, Class A3 (LIBOR USD 1-Month plus 0.65%)

3.05%		05/26/26	²		3,607,401		3,544,018

SLM Student Loan Trust, Series 2012-7, Class B (LIBOR USD 1-Month plus 1.80%)

4.20%		09/25/43	²		2,200,000		2,231,540

SLM Student Loan Trust, Series 2013-4, Class A (LIBOR USD 1-Month plus 0.55%)

2.95%		06/25/43	²		1,317,307		1,304,584

SLM Student Loan Trust, Series 2014-1, Class A3 (LIBOR USD 1-Month plus 0.60%)

3.00%		02/26/29	²		1,311,938		1,280,387

SLM Student Loan Trust, Series 2014-2, Class A3 (LIBOR USD 1-Month plus 0.59%)

2.99%		03/25/55	²		12,155,040		12,087,233

Structured Receivables Finance LLC, Series 2010-A, Class B

7.61%		01/16/46	^1,†		1,775,187		2,074,103

Structured Receivables Finance LLC, Series 2010-B, Class B

7.97%		08/15/36	¹		1,192,925		1,413,438


Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)

Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2 (28 Day Auction Rate plus 0.00%)

1.61%		07/01/42	^1,2	$	150,000	$	141,500

TCI-Flatiron CLO Ltd., Series 2016-1, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.22%)

3.81%		07/17/28	^1,2,3		6,300,000		6,304,412

Voya CLO Ltd., Series 2014-3A, Class A1R (Cayman Islands) (LIBOR USD 3-Month plus 0.72%)

3.30%		07/25/26	^1,2,3		2,354,257		2,352,313


Total Asset-Backed Securities (Cost $429,242,604)							433,858,941


BANK LOANS — 1.28%*

Automotive — 0.02%

Panther BF Aggregator 2 LP/Panther Finance Co., Inc., Term Loan B, 1st Lien (LIBOR plus 3.50%)

5.90%		04/30/26	²		600,000		596,439


Communications — 0.24%

CommScope, Inc., Term Loan B, 1st Lien (LIBOR plus 3.25%)

5.65%		04/04/26	²		1,000,000		998,500

CSC Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%)

4.64%		01/15/26	²		1,496,250		1,474,749

SBA Senior Finance II LLC, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.41%		04/11/25	²		2,262,150		2,236,950

Sprint Communications, Inc., Term Loan B, 1st Lien (LIBOR plus 2.50%)

4.94%		02/02/24	²		493,687		487,104

(LIBOR plus 3.00%)

5.44%		02/02/24	²		995,000		987,537

Unitymedia Finance LLC, Term Loan E, 1st Lien (LIBOR plus 2.00%)

4.39%		06/01/23	²		1,600,000		1,597,728


							7,782,568


Consumer Discretionary — 0.02%

Reynolds Group Holdings, Inc., Term Loan B, 1st Lien (LIBOR plus 2.75%)

2.75%		02/06/23	²		802,364		797,566


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Electric — 0.06%

Chief Power Finance LLC, Term Loan B, 1st Lien (LIBOR plus 4.75%)

7.16%		12/31/20	^2,5,6	$	1,379,342	$	1,337,962

Homer City Generation LP, Term Loan B, 1st Lien (LIBOR plus 11.00%)

13.41%		04/05/23	^2,5,6		709,600		682,398


							2,020,360


Energy — 0.00%

Vistra Operations Co., LLC, Term Loan B1, 1st Lien (LIBOR plus 2.00%)

4.40%		08/04/23	²		78,080		78,076


Finance — 0.22%

Avolon TLB Borrower 1 US, LLC, Term Loan B3, 1st Lien (LIBOR plus 1.75%)

4.13%		01/15/25	²		317,025		317,058

Delos Finance SARL, Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.08%		10/06/23	²		6,793,857		6,793,484


							7,110,542


Gaming — 0.05%

Las Vegas Sands LLC, Term Loan B, 1st Lien (LIBOR plus 1.75%)

4.15%		03/27/25	²		1,580,000		1,570,267


Health Care — 0.29%

Kindred at Home, Term Loan, 1st Lien (LIBOR plus 3.75%)

6.19%		07/02/25	²		1,455,068		1,458,254

MPH Acquisition Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.75%)

5.08%		06/07/23	²		1,350,000		1,294,313

US Renal Care, Inc., Term Loan B, 1st Lien (LIBOR plus 5.00%)

7.44%		06/12/26	²		1,700,000		1,671,984

Valeant Pharmaceuticals International Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.41%		06/02/25	²		4,666,823		4,670,230


							9,094,781


Information Technology — 0.21%

Dell International LLC, Term Loan A2, 1st Lien


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Information Technology (continued)

(LIBOR plus 1.75%)

4.16%		09/07/21	²	$	1,108,869	$	1,108,453

First Data Corp., Term Loan, 1st Lien (LIBOR plus 2.00%)

4.40%		04/26/24	²		3,075,353		3,075,353

Quintiles IMS, Inc., Term Loan B1, 1st Lien (LIBOR plus 2.00%)

4.33%		03/07/24	²		675,505		675,576

Quintiles IMS, Inc., Term Loan B3, 1st Lien (LIBOR plus 1.75%)

4.15%		06/11/25	²		742,500		739,482

SS&C Technologies, Inc., Term Loan B3, 1st Lien (LIBOR plus 2.25%)

4.65%		04/16/25	²		557,834		556,406

SS&C Technologies, Inc., Term Loan B4, 1st Lien (LIBOR plus 2.25%)

4.65%		04/16/25	²		382,557		381,578


							6,536,848


Materials — 0.10%

Berry Global, Inc., Term Loan B, 1st Lien (LIBOR plus 2.50%)

2.50%		05/15/26	²		1,000,000		994,375

Berry Global, Inc., Term Loan S, 1st Lien (LIBOR plus 1.75%)

4.16%		02/08/20	²		321,429		321,400

Liqui-Box Corp., Term Loan B, 1st Lien (LIBOR plus 4.50%)

4.50%		06/03/26	²		1,750,000		1,735,781


							3,051,556


Real Estate Investment Trust (REIT) — 0.02%

MGM Growth Properties Operating Partnership LP, Term Loan B, 1st Lien (LIBOR plus 2.00%)

4.40%		03/21/25	²		497,429		494,982


Retail — 0.02%

BC ULC/New Red Finance, Inc., Term Loan B-3, 1st Lien (Canada) (LIBOR plus 2.25%)

7.44%		02/16/24	^2,3		786,466		781,881


Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Services — 0.03%

GFL Environmental, Inc., Term Loan B, 1st Lien (LIBOR plus 3.00%)

5.40%		05/30/25	²	$	997,481	$	982,968


Total Bank Loans

(Cost $40,940,347)							40,898,834


CORPORATES — 28.33%*

Automotive — 0.02%

Metalsa SA de CV, Series REGS (Mexico)

4.90%		04/24/23	³		500,000		502,500


Banking — 2.82%

Banco Internacional del Peru SAA Interbank, Series REGS (Peru)

6.63%		03/19/29	^3,4		250,000		283,400

Banco Nacional de Comercio Exterior SNC/Cayman Islands (Mexico)

3.80%		08/11/26	^1,3,4		2,000,000		2,025,600

Bank of America Corp.

2.74%		01/23/22	⁴		8,625,000		8,665,740

3.00%		12/20/23	⁴		1,515,000		1,543,654

Bank of America Corp. (GMTN)

3.59%		07/21/28	⁴		5,810,000		6,053,785

Bank of America Corp. (MTN)

3.12%		01/20/23	⁴		544,000		552,345

3.56%		04/23/27	⁴		5,940,000		6,205,729

4.27%		07/23/29	⁴		2,635,000		2,872,951

Global Bank Corp. (Panama)

4.50%		10/20/21	^1,3		1,198,000		1,232,817

JPMorgan Chase & Co.

3.22%		03/01/25	⁴		10,980,000		11,299,090

4.02%		12/05/24	⁴		7,635,000		8,119,025

Lloyds Banking Group PLC (United Kingdom)

2.91%		11/07/23	^3,4		5,780,000		5,769,894

3.90%		03/12/24	³		1,500,000		1,562,989

PNC Bank N.A. (BKNT)

1.45%		07/29/19			4,000,000		3,998,446

Santander UK Group Holdings PLC (United Kingdom)

2.88%		08/05/21	³		4,300,000		4,309,927

3.37%		01/05/24	^3,4		3,000,000		3,030,025
4.80%		11/15/24	^3,4		2,000,000		2,126,216

Santander UK PLC (United Kingdom)

2.50%		01/05/21	³		885,000		885,896

5.00%		11/07/23	^1,3		3,100,000		3,284,394

Wells Fargo & Co.

3.00%		04/22/26			14,265,000		14,446,408


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)

Wells Fargo & Co. (MTN)
2.63%		07/22/22		$	1,525,000	$	1,534,929


							89,803,260


Communications — 3.58%

AT&T, Inc.

3.40%		05/15/25			1,500,000		1,542,503

3.80%		02/15/27			2,205,000		2,294,538

4.30%		02/15/30			4,115,000		4,409,646

4.35%		06/15/45			2,847,000		2,855,565

4.80%		06/15/44			4,662,000		4,918,334

5.15%		11/15/46			2,415,000		2,674,415

5.25%		03/01/37			3,170,000		3,566,861

C&W Senior Financing DAC (Ireland)

6.88%		09/15/27	^1,3		1,200,000		1,240,620

CBS Corp.

2.50%		02/15/23			3,000,000		2,984,364

3.38%		02/15/28			2,625,000		2,616,589

CCO Holdings LLC/CCO Holdings

Capital Corp.

5.38%		06/01/29	¹		3,104,000		3,212,640

Charter Communications Operating

LLC/Charter Communications Operating

Capital

3.58%		07/23/20			1,250,000		1,261,447

6.48%		10/23/45			1,490,000		1,768,407

Clear Channel International BV

(Netherlands)

8.75%		12/15/20	^1,3		2,569,000		2,636,436

Comcast Corp.

4.60%		10/15/38			8,360,000		9,588,772

CSC Holdings LLC

5.38%		02/01/28	¹		1,345,000		1,400,481

Intelsat Jackson Holdings SA (Luxembourg)

5.50%		08/01/23	³		4,374,000		4,013,145

9.75%		07/15/25	^1,3		2,820,000		2,890,500

Koninklijke KPN NV (Netherlands)

8.38%		10/01/30	³		3,990,000		5,265,407

Level 3 Financing, Inc.

5.38%		05/01/25			1,158,000		1,198,530

Qwest Corp.

6.75%		12/01/21			2,235,000		2,410,068

7.25%		09/15/25			955,000		1,061,365

SES GLOBAL Americas Holdings GP

5.30%		03/25/44	¹		5,494,000		5,304,391

Sirius XM Radio, Inc.

3.88%		08/01/22	¹		1,379,000		1,387,619

Sprint Capital Corp.

8.75%		03/15/32			856,000		990,820


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)

Sprint Communications, Inc.

7.00%		03/01/20	¹	$	1,400,000	$	1,438,500

Sprint Corp.

7.63%		03/01/26			798,000		852,663

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC

3.36%		09/20/21	¹		6,474,375		6,467,965

4.74%		03/20/25	¹		6,625,000		6,890,000

Time Warner Cable LLC

5.50%		09/01/41			2,972,000		3,121,912

5.88%		11/15/40			965,000		1,053,580

T-Mobile USA, Inc.

4.50%		02/01/26			200,000		205,000

4.75%		02/01/28			2,481,000		2,552,577

6.00%		03/01/23			1,264,000		1,295,600

6.50%		01/15/24			740,000		766,363

Verizon Communications, Inc.

4.02%		12/03/29	¹		4,000,000		4,334,605

4.50%		08/10/33			1,586,000		1,784,907

4.86%		08/21/46			1,230,000		1,438,110

Virgin Media Secured Finance PLC (United Kingdom)

5.25%		01/15/26	^1,3		840,000		863,906

5.50%		08/15/26	^1,3		983,000		1,019,863

5.50%		05/15/29	^1,3		1,250,000		1,271,500

Vodafone Group PLC (United Kingdom)

4.88%		06/19/49	³		3,393,000		3,579,559

5.25%		05/30/48	³		1,500,000		1,658,402


							114,088,475


Consumer Discretionary — 0.80%

Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc.

4.90%		02/01/46			5,443,000		6,039,711

Bacardi Ltd. (Bermuda)

4.70%		05/15/28	^1,3		2,250,000		2,409,182
5.15%		05/15/38	^1,3		1,500,000		1,556,890

BAT Capital Corp.

4.54%		08/15/47			500,000		464,312

Central Garden & Pet Co.

5.13%		02/01/28			1,957,000		1,922,753

High Ridge Brands Co.

8.88%		03/15/25	^1,5,6		2,175,000		217,500

KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC

5.00%		06/01/24	¹		464,000		480,820

Reynolds American, Inc.

5.85%		08/15/45			3,810,000		4,109,579


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A.

5.75%		10/15/20		$	5,383,393	$	5,403,581

Suntory Holdings Ltd. (Japan)

2.55%		09/29/19	^1,3		3,015,000		3,014,059


							25,618,387


Electric — 2.26%

AES Panama SRL, Series REGS (Panama)

6.00%		06/25/22	³		250,000		257,969

Alabama Power Capital Trust V

5.42%		10/01/42	⁴		1,300,000		1,286,140

Cleco Power LLC

6.00%		12/01/40			1,380,000		1,724,021

Consolidated Edison Co. of New York, Inc.

4.45%		03/15/44			1,000,000		1,110,135

Consolidated Edison Co. of New York, Inc., Series E

4.65%		12/01/48			3,000,000		3,505,119

Dominion Energy, Inc.

5.75%		10/01/54	⁴		2,515,000		2,616,908

Duke Energy Carolinas LLC

3.70%		12/01/47			1,810,000		1,852,081

Duke Energy Progress LLC

3.25%		08/15/25			2,625,000		2,729,800

Duquesne Light Holdings, Inc.

6.40%		09/15/20	¹		4,641,000		4,840,665

Entergy Corp.

4.00%		07/15/22			1,750,000		1,817,854

Eskom Holdings SOC Ltd., Series REGS (South Africa)

7.13%		02/11/25	³		1,000,000		1,052,500

Interstate Power & Light Co.

3.25%		12/01/24			6,130,000		6,320,294

ITC Holdings Corp.

3.65%		06/15/24			1,251,000		1,301,129

Metropolitan Edison Co.

4.00%		04/15/25	¹		2,625,000		2,763,557

MidAmerican Energy Co.

4.25%		05/01/46			2,900,000		3,235,667

NextEra Energy Capital Holdings, Inc. (LIBOR USD 3-Month plus 0.55%)

3.07%		08/28/21	²		7,005,000		7,005,830

Perusahaan Gas Negara TBK PT (Indonesia)

5.13%		05/16/24	^1,3		1,650,000		1,780,453

PNM Resources, Inc.
3.25%		03/09/21			1,073,000		1,081,945


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)

Public Service Co. of New Mexico

3.85%		08/01/25		$	5,565,000	$	5,769,082

5.35%		10/01/21			45,000		47,333

Public Service Electric & Gas Co., Series CC

9.25%		06/01/21			6,935,000		7,839,865

Southern Co. Gas Capital Corp.

3.25%		06/15/26			2,935,000		2,961,158

Southwestern Electric Power Co.

3.55%		02/15/22			2,625,000		2,688,501

Southwestern Electric Power Co., Series M

4.10%		09/15/28			2,190,000		2,365,019

Vistra Operations Co. LLC

3.55%		07/15/24	¹		4,000,000		4,027,500

							71,980,525

Energy — 3.21%

Antero Resources Corp.

5.00%		03/01/25			3,929,000		3,644,147

5.13%		12/01/22			96,000		92,640

5.63%		06/01/23			2,900,000		2,806,330

Centennial Resource Production LLC

5.38%		01/15/26	¹		400,000		382,000

6.88%		04/01/27	¹		1,500,000		1,522,500

CrownRock LP/CrownRock Finance, Inc.

5.63%		10/15/25	¹		490,000		492,450

Enbridge Energy Partners LP

5.88%		10/15/25			2,190,000		2,530,304

Energy Transfer Operating LP

5.15%		03/15/45			3,826,000		3,890,499

5.50%		06/01/27			1,448,000		1,621,175

5.88%		01/15/24			1,745,000		1,945,134

EQM Midstream Partners LP

5.50%		07/15/28			1,205,000		1,270,303

EQT Corp.

3.90%		10/01/27			3,000,000		2,850,965

Gulfport Energy Corp.

6.38%		05/15/25			315,000		245,306

Hess Corp.

7.88%		10/01/29			1,855,000		2,349,693

KazMunayGas National Co. JSC, Series REGS (Kazakhstan)

5.38%		04/24/30	³		3,700,000		4,109,891

Kinder Morgan Energy Partners LP

5.80%		03/15/35			210,000		242,513

Kinder Morgan, Inc.

5.30%		12/01/34			875,000		990,535

Matador Resources Co.

5.88%		09/15/26			1,543,000		1,566,145


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

Parsley Energy LLC/Parsley Finance Corp.

5.25%		08/15/25	¹	$	523,000	$	533,460

5.63%		10/15/27	¹		143,000		149,614

Peru LNG SRL, Series REGS (Peru)

5.38%		03/22/30	³		1,700,000		1,833,620

Petrobras Global Finance BV (Netherlands)

5.75%		02/01/29	³		65,000		67,957

Petroleos del Peru SA, Series REGS (Peru)

4.75%		06/19/32	³		500,000		547,850

Petroleos Mexicanos (Mexico)

1.70%		12/20/22	³		52,500		52,104

5.38%		03/13/22	³		3,650,000		3,679,930

6.50%		03/13/27	³		1,560,000		1,542,060

6.50%		01/23/29	³		4,135,000		4,010,950

6.63%		06/15/35	³		3,715,000		3,450,306

Plains All American Pipeline LP/PAA Finance Corp.

4.65%		10/15/25			6,250,000		6,647,685

Range Resources Corp.

4.88%		05/15/25			2,500,000		2,206,250

Rockies Express Pipeline LLC

5.63%		04/15/20	¹		6,234,000		6,366,473

Ruby Pipeline LLC

6.00%		04/01/22	¹		5,396,970		5,526,611

Sabine Pass Liquefaction LLC

5.63%		03/01/25			2,280,000		2,557,875

Spectra Energy Partners LP

4.60%		06/15/21			3,335,000		3,458,271

Sunoco Logistics Partners Operations LP

5.40%		10/01/47			2,650,000		2,811,543

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

6.88%		01/15/29	¹		1,422,000		1,580,112

TC PipeLines LP

4.38%		03/13/25			3,000,000		3,149,395

4.65%		06/15/21			2,300,000		2,376,738

TransMontaigne Partners LP/ TLP Finance Corp.

6.13%		02/15/26			1,302,000		1,259,685

Transocean Guardian Ltd. (Cayman Islands)

5.88%		01/15/24	^1,3		1,001,700		1,022,986

Transocean Pontus Ltd. (Cayman Islands)

6.13%		08/01/25	^1,3		1,533,735		1,587,416

Transocean Poseidon Ltd. (Cayman Islands)

6.88%		02/01/27	^1,3		2,930,000		3,103,969

Transocean Proteus Ltd. (Cayman Islands)

6.25%		12/01/24	^1,3		833,250		863,455


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)

USA Compression Partners LP/USA Compression Finance Corp.

6.88%		04/01/26		$	1,709,000	$	1,815,642

6.88%		09/01/27	¹		1,315,000		1,387,470

Williams Cos., Inc. (The)

3.60%		03/15/22			241,000		247,393

4.55%		06/24/24			2,625,000		2,827,553

6.30%		04/15/40			1,750,000		2,128,442

WPX Energy, Inc.

5.75%		06/01/26			939,000		978,907


							102,324,252


Finance — 3.69%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)

3.95%		02/01/22	³		1,500,000		1,543,840

Air Lease Corp.

2.50%		03/01/21			3,450,000		3,447,152

3.88%		07/03/23			2,862,000		2,984,926

Alta Wind Holdings LLC

7.00%		06/30/35	^1,5,6		1,609,106		1,806,263

Avolon Holdings Funding Ltd. (Cayman Islands)

5.13%		10/01/23	^1,3		2,163,000		2,294,943

Citigroup, Inc.

3.14%		01/24/23	⁴		4,200,000		4,273,942

3.67%		07/24/28	⁴		2,940,000		3,062,907

Fondo MIVIVIENDA SA, Series REGS (Peru)

3.50%		01/31/23	³		1,000,000		1,018,750

Ford Motor Credit Co. LLC

2.34%		11/02/20			3,295,000		3,270,338

2.98%		08/03/22			3,015,000		2,985,744

3.20%		01/15/21			5,970,000		6,007,643

3.22%		01/09/22			630,000		630,478

3.34%		03/28/22			7,735,000		7,768,446

8.13%		01/15/20			7,780,000		7,997,295

(LIBOR USD 3-Month plus 0.88%)

3.48%		10/12/21	²		3,000,000		2,953,848

GE Capital International Funding Co. (Ireland)

2.34%		11/15/20	³		13,905,000		13,833,153

4.42%		11/15/35	³		16,012,000		15,874,521

Goldman Sachs Group, Inc. (The)

3.27%		09/29/25	⁴		12,900,000		13,142,753

3.81%		04/23/29	⁴		1,675,000		1,752,092

4.22%		05/01/29	⁴		1,505,000		1,614,010

Morgan Stanley

3.63%		01/20/27			2,290,000		2,405,582

(LIBOR USD 3-Month plus 0.93%)

3.52%		07/22/22	²		8,400,000		8,455,334


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)

Nationwide Building Society (United Kingdom)

3.77%		03/08/24	^1,3,4	$	3,070,000	$	3,135,407

Park Aerospace Holdings Ltd. (Cayman Islands)

4.50%		03/15/23	^1,3		1,500,000		1,549,812

5.50%		02/15/24	^1,3		1,975,000		2,131,479

Raymond James Financial, Inc.

3.63%		09/15/26			1,540,000		1,585,067


							117,525,725


Food — 1.06%

Campbell Soup Co. (LIBOR USD 3-Month plus 0.50%)

2.91%		03/16/20	²		5,000,000		5,004,320

Chobani LLC/Chobani Finance Corp., Inc.

7.50%		04/15/25	¹		669,000		628,860

Conagra Brands, Inc.

3.80%		10/22/21			7,766,000		7,985,000

Kraft Heinz Foods Co.

5.00%		06/04/42			1,430,000		1,479,569

5.20%		07/15/45			4,815,000		5,055,786

Kroger Co. (The)

5.40%		01/15/49			1,647,000		1,828,731

Pilgrim’s Pride Corp.

5.88%		09/30/27	¹		1,500,000		1,560,000

Post Holdings, Inc.

5.50%		12/15/29	¹		1,500,000		1,509,375

Smithfield Foods, Inc.

5.20%		04/01/29	¹		4,690,000		5,116,740

Tyson Foods, Inc.

4.00%		03/01/26			1,425,000		1,518,831

(LIBOR USD 3-Month plus 0.45%)

2.97%		08/21/20	²		2,185,000		2,184,467


							33,871,679


Gaming — 0.24%

Churchill Downs, Inc.

4.75%		01/15/28	¹		1,700,000		1,716,575

5.50%		04/01/27	¹		1,790,000		1,875,025

Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.

6.13%		08/15/21	¹		1,735,000		1,765,363

Twin River Worldwide Holdings, Inc.

6.75%		06/01/27	¹		1,000,000		1,045,000

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

5.25%		05/15/27	¹		1,260,000		1,269,450


							7,671,413


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care — 4.35%

AbbVie, Inc.

4.40%		11/06/42		$	3,655,000	$	3,603,194

4.88%		11/14/48			1,375,000		1,445,350

Aetna, Inc.

2.80%		06/15/23			1,382,000		1,388,002

4.13%		06/01/21			4,380,000		4,516,990

Allergan Finance LLC

3.25%		10/01/22			3,500,000		3,546,903

Allergan Funding SCS (Luxembourg)

3.80%		03/15/25	³		695,000		721,266

Amgen, Inc.

4.40%		05/01/45			3,570,000		3,798,387

Anthem, Inc.

3.50%		08/15/24			7,156,000		7,449,025

3.65%		12/01/27			3,385,000		3,518,093

AstraZeneca PLC (United Kingdom)

3.13%		06/12/27	³		646,000		662,018

Bayer U.S. Finance II LLC

4.38%		12/15/28	¹		6,400,000		6,765,446

4.63%		06/25/38	¹		2,000,000		2,045,500

4.88%		06/25/48	¹		1,900,000		1,976,441

(LIBOR USD 3-Month plus 1.01%)

3.42%		12/15/23	^1,2		1,000,000		985,005

Becton Dickinson and Co.

2.89%		06/06/22			3,750,000		3,815,137

3.36%		06/06/24			1,350,000		1,395,793

(LIBOR USD 3-Month plus 0.88%)

3.19%		12/29/20	²		1,500,000		1,500,247

Biogen, Inc.

5.20%		09/15/45			2,998,000		3,363,841

Bristol-Myers Squibb Co.

4.13%		06/15/39	¹		3,700,000		3,997,449

Catalent Pharma Solutions, Inc.

4.88%		01/15/26	¹		1,150,000		1,171,563

Celgene Corp.

2.75%		02/15/23			3,060,000		3,089,275

3.88%		08/15/25			1,400,000		1,501,208

5.00%		08/15/45			2,845,000		3,375,399

Centene Corp.

5.63%		02/15/21			1,206,000		1,230,120

CHS/Community Health Systems, Inc.

6.25%		03/31/23			136,000		131,410

8.00%		03/15/26	¹		658,000		636,615

Cigna Corp.

4.13%		11/15/25	¹		4,380,000		4,668,151

4.38%		10/15/28	¹		1,750,000		1,889,644

Cigna Holding Co.

3.05%		10/15/27			4,875,000		4,824,090


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)

CVS Health Corp.

4.30%		03/25/28		$	3,082,000	$	3,252,675

5.05%		03/25/48			6,190,000		6,603,243

Elanco Animal Health, Inc.

4.27%		08/28/23	¹		6,355,000		6,674,315

Fresenius Medical Care U.S. Finance II, Inc.

4.13%		10/15/20	¹		1,015,000		1,032,713

5.63%		07/31/19	¹		6,446,000		6,458,175

Hartford HealthCare Corp.

5.75%		04/01/44			1,525,000		1,807,163

HCA, Inc.

4.13%		06/15/29			3,630,000		3,752,513

5.00%		03/15/24			533,000		581,282

5.25%		04/15/25			977,000		1,083,836

5.25%		06/15/49			1,450,000		1,513,321

5.63%		09/01/28			1,700,000		1,839,187

6.50%		02/15/20			1,698,000		1,741,951

Humana, Inc.

2.90%		12/15/22			4,795,000		4,868,006

Molina Healthcare, Inc.

4.88%		06/15/25	¹		1,905,000		1,940,719

5.38%		11/15/22			413,000		432,617

Shire Acquisitions Investments Ireland DAC (Ireland)

2.40%		09/23/21	³		5,450,000		5,445,183

Tenet Healthcare Corp.

4.50%		04/01/21			3,750,000		3,825,000

6.00%		10/01/20			2,321,000		2,396,433

Teva Pharmaceutical Finance Netherlands III BV (Netherlands)

1.70%		07/19/19	³		1,015,000		1,014,334

WellCare Health Plans, Inc.

5.25%		04/01/25			568,000		594,270

5.38%		08/15/26	¹		2,390,000		2,545,350


							138,413,848


Industrials — 1.53%

Amcor Finance USA, Inc.

3.63%		04/28/26	¹		2,125,000		2,166,412

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)

6.00%		02/15/25	^1,3		900,000		934,875

BAE Systems Holdings, Inc.

2.85%		12/15/20	¹		1,895,000		1,902,988

Ball Corp.

4.00%		11/15/23			1,000,000		1,038,750

Berry Global Escrow Corp.

4.88%		07/15/26	¹		480,000		491,400


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)

Clean Harbors, Inc.

4.88%		07/15/27	¹	$	3,000,000	$	3,056,550

5.13%		06/01/21			3,000,000		3,008,970

Covanta Holding Corp.

6.00%		01/01/27			733,000		766,901

General Electric Co.

4.13%		10/09/42			750,000		692,230

General Electric Co. (GMTN)

2.20%		01/09/20			3,250,000		3,241,674

4.63%		01/07/21			3,220,000		3,313,115

General Electric Co. (MTN)

4.65%		10/17/21			1,655,000		1,725,304

5.55%		05/04/20			2,600,000		2,666,427

(LIBOR USD 3-Month plus 0.48%)

3.00%		08/15/36	²		8,555,000		6,398,054

Graphic Packaging International LLC

4.75%		07/15/27	¹		1,600,000		1,648,000

4.88%		11/15/22			500,000		520,625

Heathrow Funding Ltd. (United Kingdom)

4.88%		07/15/21	^1,3		700,000		745,668

L3 Technologies, Inc.

4.40%		06/15/28			4,210,000		4,609,900

Sealed Air Corp.

5.25%		04/01/23	¹		1,000,000		1,055,000

5.50%		09/15/25	¹		563,000		601,003

Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)

7.75%		04/15/26	^1,3		1,670,000		1,511,350

WRKCo, Inc.

4.65%		03/15/26			6,215,000		6,765,595


							48,860,791


Information Technology — 0.38%

Broadcom Corp./Broadcom Cayman Finance Ltd.

2.38%		01/15/20			5,297,000		5,284,536

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.

5.75%		03/01/25	¹		2,241,000		2,280,217

IQVIA, Inc.

5.00%		10/15/26	¹		1,800,000		1,869,750

NXP BV/NXP Funding LLC (Netherlands)

3.88%		09/01/22	^1,3		300,000		309,033

4.13%		06/01/21	^1,3		800,000		820,480

SS&C Technologies, Inc.

5.50%		09/30/27	¹		1,553,000		1,614,149


							12,178,165


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance — 0.48%

Farmers Exchange Capital

7.20%		07/15/48	¹	$	150,000	$	188,577

Farmers Exchange Capital II

6.15%		11/01/53	^1,4		2,500,000		2,890,625

Farmers Insurance Exchange

4.75%		11/01/57	^1,4		3,800,000		3,662,680

8.63%		05/01/24	¹		942,000		1,132,270

Nationwide Mutual Insurance Co.

4.70%		12/15/24	^1,4		3,825,000		3,810,656

Teachers Insurance & Annuity Association of America

4.38%		09/15/54	^1,4		3,425,000		3,573,027


							15,257,835


Materials — 0.42%

Corp. Nacional del Cobre de Chile, Series REGS (Chile)

3.63%		08/01/27	³		1,850,000		1,919,005

Indonesia Asahan Aluminum Persero PT (Indonesia)

6.53%		11/15/28	^1,3		4,000,000		4,727,200

International Flavors & Fragrances, Inc.

5.00%		09/26/48			4,525,000		5,018,784

SASOL Financing USA LLC

5.88%		03/27/24			1,200,000		1,301,226

Volcan Cia Minera SAA, Series REGS (Peru)

5.38%		02/02/22	³		300,000		311,430


							13,277,645


Real Estate Investment Trust (REIT) — 2.06%

Alexandria Real Estate Equities, Inc.

3.45%		04/30/25			2,660,000		2,739,074

American Campus Communities Operating Partnership LP

3.35%		10/01/20			1,735,000		1,751,037

3.63%		11/15/27			2,246,000		2,293,749

AvalonBay Communities, Inc. (GMTN)

3.63%		10/01/20			1,500,000		1,517,599

Boston Properties LP

2.75%		10/01/26			4,000,000		3,941,142

CC Holdings GS V LLC/Crown Castle GS III Corp.

3.85%		04/15/23			2,625,000		2,749,720

GLP Capital LP/GLP Financing II, Inc.

4.88%		11/01/20			1,650,000		1,680,011

5.30%		01/15/29			2,280,000		2,470,112

5.38%		04/15/26			2,680,000		2,904,986

5.75%		06/01/28			3,600,000		3,980,592


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)

HCP, Inc.

3.88%		08/15/24		$	2,715,000	$	2,847,743

4.25%		11/15/23			5,325,000		5,648,997

Healthcare Realty Trust, Inc.

3.88%		05/01/25			2,190,000		2,238,194

Hudson Pacific Properties LP

3.95%		11/01/27			2,500,000		2,556,079

MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.

5.63%		05/01/24			625,000		675,781

Piedmont Operating Partnership LP

3.40%		06/01/23			4,520,000		4,537,050

Post Apartment Homes LP

3.38%		12/01/22			90,000		91,848

Reckson Operating Partnership LP

7.75%		03/15/20			2,375,000		2,458,814

SL Green Operating Partnership LP (LIBOR USD 3-Month plus 0.98%)

3.50%		08/16/21	²		1,500,000		1,500,569

SL Green Realty Corp.

4.50%		12/01/22			3,000,000		3,150,654

UDR, Inc.

3.70%		10/01/20			4,628,000		4,692,742

Ventas Realty LP

3.25%		10/15/26			4,380,000		4,403,939

3.75%		05/01/24			875,000		909,815

Welltower, Inc.

4.95%		01/15/21			1,020,000		1,052,427

5.25%		01/15/22			2,500,000		2,659,604


							65,452,278


Retail — 0.49%

Alimentation Couche-Tard, Inc. (Canada)

3.55%		07/26/27	^1,3		1,935,000		1,972,517

eG Global Finance PLC (United Kingdom)

6.75%		02/07/25	^1,3		3,209,000		3,191,992

Rite Aid Corp.

6.13%		04/01/23	¹		6,085,000		5,157,037

Walgreens Boots Alliance, Inc.

3.80%		11/18/24			5,099,000		5,305,323


							15,626,869


Services — 0.63%

DP World Crescent Ltd. (Cayman Islands)

4.85%		09/26/28	^1,3		2,200,000		2,352,625

Gartner, Inc.

5.13%		04/01/25	¹		500,000		515,250


Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Services (continued)

GFL Environmental, Inc. (Canada)

5.38%		03/01/23	^1,3	$	1,779,000	$	1,770,105

7.00%		06/01/26	^1,3		815,000		838,431

8.50%		05/01/27	^1,3		3,135,000		3,381,881

IHS Markit Ltd. (Bermuda)

4.00%		03/01/26	^1,3		1,516,000		1,568,302

4.13%		08/01/23	³		3,000,000		3,122,550

4.75%		02/15/25	^1,3		2,000,000		2,150,200

4.75%		08/01/28	³		1,750,000		1,913,923

Matthews International Corp.

5.25%		12/01/25	¹		1,554,000		1,532,633

Waste Pro USA, Inc.

5.50%		02/15/26	¹		948,000		974,070


							20,119,970


Transportation — 0.31%

America West Airlines Pass-Through Trust, Series 2001-1, Class G

7.10%		04/02/21			884,332		915,460

American Airlines Pass-Through Trust, Series 2011-1, Class A

5.25%		01/31/21			29,725		30,756

American Airlines Pass-Through Trust, Series 2013-2, Class A

4.95%		01/15/23			1,238,231		1,296,247

American Airlines Pass-Through Trust, Series 2015-2, Class AA

3.60%		09/22/27			2,433,066		2,519,440

Continental Airlines Pass-Through Trust, Series 1999-2, Class A

7.26%		03/15/20			158,634		160,316

Continental Airlines Pass-Through Trust, Series 2000-1, Class A1

8.05%		11/01/20			140,407		142,821

Continental Airlines Pass-Through Trust, Series 2000-2, Class A1

7.71%		04/02/21			173,437		180,806

Continental Airlines Pass-Through Trust, Series 2001-1, Class A1

6.70%		06/15/21			18,766		19,689

Continental Airlines Pass-Through Trust, Series 2007-1, Class A

5.98%		04/19/22			2,166,112		2,299,870

Continental Airlines Pass-Through Trust, Series 2012-1, Class B

6.25%		04/11/20			29,391		29,937

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1

6.72%		01/02/23			841,369		903,351

U.S. Airways Pass-Through Trust, Series 2001-1, Class G

7.08%		03/20/21			358,491		376,376


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		$	821,996	$	897,833

U.S. Airways Pass-Through Trust, Series 2012-1, Class A

5.90%		10/01/24			77,448		85,586


							9,858,488


Total Corporates (Cost $870,721,493)							902,432,105


FOREIGN GOVERNMENT OBLIGATIONS — 1.27%

Foreign Government Obligations — 1.27%

Bahrain Government International Bond, Series REGS (Bahrain)

7.00%		10/12/28	³		1,400,000		1,512,875

Brazilian Government International Bond (Brazil)

4.63%		01/13/28	³		3,450,000		3,623,535

Colombia Government International Bond (Colombia)

4.50%		01/28/26	³		4,500,000		4,866,750

Corp. Financiera de Desarrollo SA, Series REGS (Peru)

4.75%		07/15/25	³		2,000,000		2,147,400

Dominican Republic International Bond, Series REGS (Dominican Republic)

6.60%		01/28/24	³		3,750,000		4,173,375

Egypt Government International Bond (Egypt)

5.58%		02/21/23	^1,3		1,600,000		1,630,000

Hazine Mustesarligi Varlik Kiralama AS, Series REGS (Turkey)

4.49%		11/25/24	³		270,000		248,562

Mexico Government International Bond (Mexico)

3.75%		01/11/28	³		700,000		714,350

Oman Government International Bond (Oman)

5.63%		01/17/28	^1,3		3,120,000		2,967,900

Paraguay Government International Bond, Series REGS (Paraguay)

4.63%		01/25/23	³		950,000		1,000,635

Qatar Government International Bond (Qatar)

4.50%		04/23/28	³		2,700,000		3,025,131

Republic of Azerbaijan International Bond, Series REGS (Azerbaijan)

4.75%		03/18/24	³		1,200,000		1,265,400

Russian Foreign Bond - Eurobond, Series REGS (Russia)

4.88%		09/16/23	³		4,200,000		4,499,540


Issues	Maturity Date			Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)

Saudi Government International Bond, Series REGS (EMTN) (Saudi Arabia)

4.50%		10/26/46	³	$	1,300,000	$	1,324,609

Saudi Government International Bond (Saudi Arabia)

4.00%		04/17/25	^1,3		2,700,000		2,878,200

South Africa Government International Bond (South Africa)

4.67%		01/17/24	³		900,000		944,100

Turkey Government International Bond (Turkey)

5.13%		03/25/22	³		2,250,000		2,221,999

Uruguay Government International Bond (Uruguay)

4.38%		10/27/27	³		1,357,835		1,470,719


Total Foreign Government Obligations (Cost $38,975,466)							40,515,080


MORTGAGE-BACKED — 43.98%**

Non-Agency Commercial Mortgage-Backed — 7.76%

Banc of America Commercial Mortgage Trust, Series 2007-5, Class AJ

6.03%		02/10/51	⁴		6,167,966		5,910,074

Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A

4.23%		08/10/38	^1,4		5,910,000		6,544,982

Banc of America Merrill Lynch Trust, Series 2011-FSHN, Class A

4.42%		07/11/33	¹		4,970,000		5,136,487

BANK, Series 2019-BN18, Class A2

3.47%		05/15/62			7,669,000		8,052,193

Bayview Commercial Asset Trust, Series 2004-2, Class A (LIBOR USD 1-Month plus 0.43%)

2.83%		08/25/34	^1,2		898,272		883,426

BBCMS Trust, Series 2013-TYSN, Class A2

3.76%		09/05/32	¹		4,675,000		4,735,691

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

3.43%		11/05/36	¹		3,490,000		3,643,438

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

3.96%		03/10/39	¹		7,630,000		8,401,263

Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)

1.94%		09/10/45	^1,4		39,789,713		1,804,093

Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class XA (IO)

1.52%		02/10/48	⁴		74,402,106		4,386,573


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Commercial Mortgage Trust, Series 2014-UBS6, Class ASB

3.39%		12/10/47		$	8,000,000	$	8,269,720

Commercial Mortgage Trust, Series 2012-CR4, Class XA (IO)

1.91%		10/15/45	⁴		47,676,063		2,272,968

Commercial Mortgage Trust, Series 2012-CR5, Class XA (IO)

1.69%		12/10/45	⁴		74,835,170		3,331,550

Commercial Mortgage Trust, Series 2013-300P, Class A1

4.35%		08/10/30	¹		2,840,000		3,042,874

Commercial Mortgage Trust, Series 2013-CR13, Class XA (IO)

0.96%		11/10/46	⁴		66,699,123		2,048,737

Commercial Mortgage Trust, Series 2013-LC6, Class XA (IO)

1.49%		01/10/46	⁴		36,581,817		1,446,847

Commercial Mortgage Trust, Series 2014-277P, Class A

3.73%		08/10/49	^1,4		6,275,000		6,665,276

Commercial Mortgage Trust, Series 2014-CR16, Class A3

3.78%		04/10/47			5,243,664		5,533,340

Commercial Mortgage Trust, Series 2014-CR16, Class XA (IO)

1.15%		04/10/47	⁴		110,710,428		4,416,471

Core Industrial Trust, Series 2015-CALW, Class A

3.04%		02/10/34	¹		4,458,755		4,596,107

Core Industrial Trust, Series 2015-TEXW, Class A

3.08%		02/10/34	¹		5,602,644		5,741,689

Core Industrial Trust, Series 2015-WEST, Class A

3.29%		02/10/37	¹		6,668,784		7,017,108

Core Industrial Trust, Series 2015-WEST, Class B

3.57%		02/10/37	¹		1,130,000		1,203,525

Deutsche Bank Commercial Mortgage Trust, Series 2016-SFC, Class A

2.83%		08/10/36	¹		6,000,000		6,022,442

GE Business Loan Trust, Series 2006-2A, Class A (LIBOR USD 1-Month plus 0.18%)

2.57%		11/15/34	^1,2		7,200,678		7,089,699

GE Business Loan Trust, Series 2007-1A, Class A (LIBOR USD 1-Month plus 0.17%)

2.56%		04/15/35	^1,2		3,368,630		3,307,170


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

GRACE Mortgage Trust, Series 2014-GRCE, Class A

3.37%		06/10/28	¹	$	1,875,000	$	1,919,759

GS Mortgage Securities Trust, Series 2010-C1, Class X (IO)

1.48%		08/10/43	^1,4		40,975,032		388,189

GS Mortgage Securities Trust, Series 2012-GC6, Class XA (IO)

2.13%		01/10/45	^1,4		51,591,450		1,978,548

GS Mortgage Securities Trust, Series 2013-GC16, Class A3

4.24%		11/10/46			5,604,159		5,999,495

GS Mortgage Securities Trust, Series 2014-GC20, Class XA (IO)

1.23%		04/10/47	⁴		79,404,798		2,811,946

Hudson Yards Mortgage Trust, Series 2019-30HY, Class A

3.23%		07/10/39	¹		6,340,000		6,527,228

JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class XA (IO)

0.69%		08/15/46	⁴		74,326,347		1,539,336

JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA (IO)

1.25%		11/15/45	⁴		18,407,171		717,924

JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class XA (IO)

1.17%		08/15/47	⁴		22,433,873		905,415

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2009-IWST, Class XA (IO)

1.83%		12/05/27	^1,4		48,941,356		394,935

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C1, Class A2

4.61%		06/15/43	¹		3,525,955		3,538,855

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class XA (IO)

1.14%		02/15/46	^1,4		17,332,684		225,871

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)

1.40%		04/15/46	⁴		12,307,026		502,981

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-OSB, Class A

3.40%		06/05/39	¹		8,000,000		8,428,526

Key Commercial Mortgage Securities Trust, Series 2018-S1, Class A1

3.72%		10/15/53	¹		6,059,979		6,261,787


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class 1A4 (LIBOR USD 1-Month plus 0.25%)

2.65%		06/25/37	^1,2	$	1,947,509	$	1,896,890

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4

2.86%		11/15/45			1,159,014		1,177,448

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class XA (IO)

0.77%		10/15/46	⁴		34,459,049		757,851

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class XA (IO)

1.23%		04/15/48	⁴		78,043,630		3,708,001

Morgan Stanley Capital I Trust, Series 2011-C3, Class A3

4.05%		07/15/49			2,080,282		2,078,317

Morgan Stanley Capital I Trust, Series 2019-H6, Class A2

3.23%		06/15/52			5,000,000		5,186,800

One Market Plaza Trust, Series 2017-1MKT, Class A

3.61%		02/10/32	¹		5,600,000		5,851,516

RBS Commercial Funding, Inc., Trust, Series 2013-GSP, Class A

3.96%		01/15/32	^1,4		3,460,000		3,664,607

SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class XA (IO)

0.45%		01/05/43	^1,4		28,685,000		1,671,561

TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ

5.48%		08/15/39	⁴		315,632		316,812

VNDO Mortgage Trust, Series 2012-6AVE, Class A

3.00%		11/15/30	¹		4,370,000		4,477,724

Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2

4.39%		11/15/43	¹		21,025,000		21,376,340

Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class XA (IO)

1.31%		08/15/50	⁴		53,808,771		2,340,143

Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class A4

3.10%		06/15/49			10,000,000		10,299,169

WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)

1.89%		11/15/44	^1,4		21,452,725		656,882

WF-RBS Commercial Mortgage Trust, Series 2012-C10, Class XA (IO)

1.70%		12/15/45	^1,4		69,410,834		3,105,704

WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA (IO)

1.99%		08/15/45	^1,4		45,333,422		2,015,542


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA (IO)

2.07%		11/15/45	^1,4	$	38,210,375	$	1,997,256

WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class XA (IO)

0.87%		06/15/46	⁴		77,159,644		1,799,363

WF-RBS Commercial Mortgage Trust, Series 2014-C23, Class XA (IO)

0.74%		10/15/57	⁴		91,483,354		2,285,135

Worldwide Plaza Trust, Series 2017-WWP, Class A

3.53%		11/10/36	¹		6,500,000		6,875,432


							247,183,031


Non-Agency Mortgage-Backed — 24.83%

Aames Mortgage Investment Trust, Series 2006-1, Class A4 (LIBOR USD 1-Month plus 0.56%)

2.96%		04/25/36	²		2,082,000		2,066,554

Accredited Mortgage Loan Trust, Series 2006-1, Class A4 (LIBOR USD 1-Month plus 0.28%)

2.68%		04/25/36	²		4,396,962		4,331,487

ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2, Class A2C (LIBOR USD 1-Month plus 0.15%)

2.55%		08/25/36	²		521,753		515,585

ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASP1, Class A2D (LIBOR USD 1-Month plus 0.38%)

2.78%		03/25/37	²		2,954,711		1,880,471

Adjustable Rate Mortgage Trust, Series 2005-4, Class 5A1

4.09%		08/25/35	⁴		2,839,947		2,609,172

Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21 (LIBOR USD 1-Month plus 0.23%)

2.63%		09/25/35	²		51,387		51,518

Adjustable Rate Mortgage Trust, Series 2007-1, Class 1A1

4.61%		03/25/37	⁴		3,277,521		3,028,552

American Home Mortgage Investment Trust, Series 2006-1, Class 12A1 (LIBOR USD 1-Month plus 0.40%)

2.80%		03/25/46	²		5,435,833		5,313,114

Asset-Backed Funding Certificates, Series 2007-NC1, Class A2 (LIBOR USD 1-Month plus 0.30%)

2.70%		05/25/37	^1,2		5,458,248		5,382,057

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Asset-Backed Funding Certificates,

Series 2007-WMC1, Class A2B

(LIBOR USD 1-Month plus 1.00%)

3.40%

06/25/37

$4,554,737

3,974,535

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2004-HE9, Class M1

(LIBOR USD 1-Month plus 0.98%)

3.38%

12/25/34

1,809,008

1,805,013

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE1, Class A4

(LIBOR USD 1-Month plus 0.30%)

2.70%

01/25/36

5,000,000

4,863,837

Asset-Backed Securities Corp. Home Equity

Loan Trust, Series 2006-HE5, Class A5

(LIBOR USD 1-Month plus 0.24%)

2.64%

07/25/36

9,754,000

9,266,989

Banc of America Alternative Loan Trust,

Series 2003-8, Class 1CB1

5.50%

10/25/33

1,089,513

1,120,498

Banc of America Funding Trust,

Series 2004-B, Class 5A1

4.66%

11/20/34

⁴

362,084

358,641

Banc of America Funding Trust,

Series 2006-D, Class 3A1

4.28%

05/20/36

⁴

1,394,988

1,372,997

Banc of America Funding Trust,

Series 2006-G, Class 2A1

(LIBOR USD 1-Month plus 0.44%)

2.82%

07/20/36

1,127,345

1,131,450

Banc of America Funding Trust,

Series 2006-G, Class 2A4

(LIBOR USD 1-Month plus 0.58%)

2.96%

07/20/36

4,502,313

4,528,850

Banc of America Funding Trust,

Series 2015-R3, Class 6A2

2.60%

05/27/36

^1,4

17,463,511

16,606,582

Banc of America Funding Trust,

Series 2016-R1, Class A1

2.50%

03/25/40

^1,4

4,285,006

4,271,161

Banc of America Mortgage Trust,

Series 2005-K, Class 2A1

4.47%

12/25/35

⁴

1,670,352

1,660,288

BCAP LLC Trust, Series 2007-AA1,

Class 2A1

(LIBOR USD 1-Month plus 0.18%)

2.58%

03/25/37

4,829,438

4,776,518

BCAP LLC Trust, Series 2014-RR2,

Class 6A1

(LIBOR USD 1-Month plus 0.24%)

2.67%

10/26/36

^1,2

9,211,835

9,180,222

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

BCAP LLC Trust, Series 2014-RR3,

Class 4A1

2.73%

03/26/36

^1,4

$5,105,853

4,961,714

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

Class M1

(LIBOR USD 1-Month plus 0.75%)

3.15%

01/25/35

14,935,000

14,650,396

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

Class 2A4

4.26%

04/25/35

⁴

2,131,462

2,154,748

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

Class 11A1

(LIBOR USD 1-Month plus 0.54%)

2.94%

10/25/35

10,500,679

10,427,998

Bear Stearns ARM Trust, Series 2005-9,

Class A1

(US Treasury Yield Curve Rate T Note

Constant Maturity 1 Year plus 2.30%)

4.73%

10/25/35

2,980,183

3,064,987

Bear Stearns Asset-Backed Securities I

Trust, Series 2005-AC6, Class 1A3

5.50%

09/25/35

⁴

537,517

551,869

Bear Stearns Asset-Backed Securities I

Trust, Series 2006-AC2, Class 21A3

6.00%

03/25/36

80,184

89,397

Bear Stearns Mortgage Funding Trust,

Series 2007-AR4, Class 1A1

(LIBOR USD 1-Month plus 0.20%)

2.60%

09/25/47

10,938,114

10,437,602

Carrington Mortgage Loan Trust,

Series 2005-OPT2, Class M4

(LIBOR USD 1-Month plus 0.98%)

3.38%

05/25/35

2,960,000

2,973,801

Carrington Mortgage Loan Trust,

Series 2006-OPT1, Class M1

(LIBOR USD 1-Month plus 0.35%)

2.75%

02/25/36

3,620,000

3,589,875

Centex Home Equity Loan Trust,

Series 2006-A, Class AV4

(LIBOR USD 1-Month plus 0.25%)

2.65%

06/25/36

2,458,394

2,446,561

Chase Mortgage Finance Trust,

Series 2007-A1, Class 8A1

4.68%

02/25/37

⁴

1,187,943

1,244,427

CIM Trust, Series 2016-3, Class A1

5.00%

02/01/56

12,303,866

12,716,161

CIM Trust, Series 2016-4, Class A1

(LIBOR USD 1-Month plus 2.00%)

4.44%

10/25/57

^1,2

7,411,050

7,715,833

CIM Trust, Series 2017-5, Class A1

2.30%

05/25/57

^1,4

1,331,155

1,325,377

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

CIM Trust, Series 2017-8, Class A1

3.00%

12/25/65

^1,4

$13,467,143

13,547,328

CIM Trust, Series 2018-R4, Class A1

4.07%

12/26/57

^1,4

12,778,699

12,929,444

CIM Trust, Series 2018-R5, Class A1

3.75%

07/25/58

^1,4

12,903,737

13,079,218

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-9, Class 1A1

(LIBOR USD 1-Month plus 0.26%)

2.66%

11/25/35

69,000

56,969

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH2, Class M1

(LIBOR USD 1-Month plus 0.27%)

2.67%

08/25/36

8,972,899

8,883,999

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH3, Class M1

(LIBOR USD 1-Month plus 0.29%)

2.69%

10/25/36

7,095,357

7,131,637

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-WFH1, Class A4

(LIBOR USD 1-Month plus 0.20%)

2.60%

01/25/37

1,555,593

1,557,050

Citigroup Mortgage Loan Trust,

Series 2006-AR3, Class 1A2A

4.54%

06/25/36

⁴

305,549

297,580

Citigroup Mortgage Loan Trust,

Series 2006-HE2, Class A2D

(LIBOR USD 1-Month plus 0.24%)

2.64%

08/25/36

1,443,530

1,421,337

Citigroup Mortgage Loan Trust,

Series 2007-WFHE2, Class A4

(LIBOR USD 1-Month plus 0.35%)

2.75%

03/25/37

3,358,732

3,366,054

Conseco Finance Corp., Series 1998-6,

Class A8

6.66%

06/01/30

⁴

19,255

20,036

Countrywide Alternative Loan Trust,

Series 2005-76, Class 1A1

(Federal Reserve US 12-Month Cumulative

Average plus 1.48%)

3.98%

01/25/36

4,905,744

4,992,870

Countrywide Alternative Loan Trust,

Series 2006-HY12, Class A5

3.94%

08/25/36

⁴

5,270,664

5,510,136

Countrywide Asset-Backed Certificates,

Series 2004-15, Class MV4

(LIBOR USD 1-Month plus 1.28%)

3.68%

04/25/35

3,019,322

3,052,464

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed
(continued)

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-3,

Class 1A2

(LIBOR USD 1-Month plus 0.58%)

2.98%

04/25/35

$5,086,940

4,833,552

Countrywide Home Loan Mortgage

Pass-Through Trust, Series 2005-9,

Class 1A1

(LIBOR USD 1-Month plus 0.60%)

3.00%

05/25/35

112,983

105,806

Credit Suisse First Boston Mortgage

Securities Corp., Series 2003-AR26,

Class 3A1

4.51%

11/25/33

⁴

906,064

910,213

Credit Suisse First Boston Mortgage

Securities Corp., Series 2005-11,

Class 1A1

6.50%

12/25/35

791,373

650,810

Credit Suisse First Boston Mortgage-Backed

Pass-Through Certificates, Series 2004-AR5,

Class 9A1

3.26%

06/25/34

⁴

83,739

82,807

Credit Suisse Mortgage Capital,

Mortgage-Backed Trust,

Series 2006-8, Class 3A1

6.00%

10/25/21

65,930

59,227

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2B

(STEP-reset date 08/25/19)

4.03%

02/25/37

6,280,309

5,049,160

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB2, Class A2C

(STEP-reset date 08/25/19)

4.03%

02/25/37

1,503,140

1,208,341

Credit-Based Asset Servicing and

Securitization LLC, Mortgage Loan Trust,

Series 2007-CB3, Class A3

(STEP-reset date 08/25/19)

3.82%

03/25/37

6,825,591

3,470,032

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB2,

Class AF3 (STEP-reset date 08/25/19)

3.43%

12/25/36

894,153

810,077

Credit-Based Asset Servicing and

Securitization LLC, Series 2006-CB9,

Class A2

(LIBOR USD 1-Month plus 0.11%)

2.51%

11/25/36

9,671,257

6,054,995

Credit-Based Asset Servicing and

Securitization LLC, Series 2007-CB1,

Class AF2 (STEP-reset date 08/25/19)

3.57%

01/25/37

2,587,421

1,196,805


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A1A (LIBOR USD 1-Month plus 0.09%)

2.49%		04/25/37	²	$	3,292,699	$	3,132,734

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 (LIBOR USD 1-Month plus 0.06%)

2.46%		04/25/37	²		1,906,016		1,463,830

DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A (LIBOR USD 1-Month plus 0.36%)

2.75%		01/19/45	²		1,007,977		942,842

DSLA Mortgage Loan Trust, Series 2005-AR6, Class 2A1A (LIBOR USD 1-Month plus 0.29%)

2.68%		10/19/45	²		5,534,373		5,389,975

DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A (LIBOR USD 1-Month plus 0.20%)

2.59%		10/19/36	²		7,678,510		7,093,570

DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A (LIBOR USD 1-Month plus 0.14%)

2.53%		04/19/47	²		2,281,761		2,080,328

First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C (LIBOR USD 1-Month plus 0.16%)

2.56%		10/25/36	²		1,016,802		808,731

First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D (LIBOR USD 1-Month plus 0.21%)

2.61%		12/25/37	²		1,669,938		1,466,285

First Franklin Mortgage Loan Trust, Series 2006-FF4, Class A3 (LIBOR USD 1-Month plus 0.28%)

2.99%		03/25/36	²		15,096,000		14,391,137

First Franklin Mortgage Loan Trust, Series 2006-FF9, Class 2A4 (LIBOR USD 1-Month plus 0.25%)

2.65%		06/25/36	²		8,650,000		7,786,426

First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D (LIBOR USD 1-Month plus 0.22%)

2.62%		01/25/38	²		5,646,413		4,149,801

First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B (LIBOR USD 1-Month plus 0.10%)

2.50%		03/25/37	²		732,906		485,552


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1

4.38%		09/25/34	⁴	$	583,419	$	584,084

First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A3

4.38%		09/25/34	⁴		897,117		898,139

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1

4.16%		12/25/35	⁴		1,748,892		1,630,946

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1

4.17%		02/25/36	⁴		2,380,779		2,123,506

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA2, Class 2A1

4.28%		04/25/35	⁴		2,960,876		3,012,317

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA3, Class 3A1

4.34%		05/25/35	⁴		2,778,057		2,772,401

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1

4.37%		09/25/35	⁴		3,512,261		3,409,523

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1

4.40%		10/25/35	⁴		3,826,972		3,131,168

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1

4.32%		11/25/35	⁴		2,248,114		2,061,090

First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1

4.44%		03/25/36	⁴		2,929,141		2,516,713

First Horizon Alternative Mortgage Securities Trust, Series 2006-AA7, Class A1

4.12%		01/25/37	⁴		4,175,627		3,811,796

First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 1A1

4.37%		09/25/35	⁴		3,415,323		3,079,696

First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1

4.05%		10/25/35	⁴		154,250		150,485

First Horizon Mortgage Pass-Through Trust, Series 2005-AR5, Class 2A1

4.65%		11/25/35	⁴		1,529,892		1,410,612

First Horizon Mortgage Pass-Through Trust, Series 2007-AR2, Class 1A2

4.77%		08/25/37	⁴		137,895		109,709

Ginnie Mae, Series 2018-134, Class ZP

4.50%		10/20/48			8,325,231		8,319,207

GMACM Mortgage Corp. Loan Trust, Series 2005-AR5, Class 2A1

4.61%		09/19/35	⁴		1,823,281		1,503,232


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

GMACM Mortgage Corp. Loan Trust, Series 2005-AR5, Class 3A1

4.08%		09/19/35	⁴	$	2,132,375	$	2,031,739

GMACM Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1

4.21%		04/19/36	⁴		4,782,325		4,390,596

GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 2A (LIBOR USD 1-Month plus 0.29%)

2.69%		07/25/35	²		1,204,881		1,202,049

GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A7

0.00%		01/25/47	^5,8,†		1,060,000		—

GreenPoint Mortgage Funding Trust, Series 2007-AR1, Class 2A1A (LIBOR USD 1-Month plus 0.20%)

2.60%		03/25/47	²		17,372,075		16,112,212

GSAMP Trust, Series 2005-HE5, Class M2 (LIBOR USD 1-Month plus 0.43%)

2.83%		11/25/35	²		6,171,076		6,199,917

GSR Mortgage Loan Trust, Series 2005-7F, Class 3A3 (IO) (-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap)

3.10%		09/25/35	^2,5,6		27,222		1,006

GSR Mortgage Loan Trust, Series 2005-AR4, Class 5A1

4.64%		07/25/35	⁴		1,154,094		1,102,777

GSR Mortgage Loan Trust, Series 2006-AR2, Class 2A1

4.18%		04/25/36	⁴		276,764		242,696

GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A

4.34%		05/25/37	⁴		1,136,144		1,030,512

HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A (LIBOR USD 1-Month plus 0.31%)

2.70%		11/19/35	²		3,453,642		3,190,061

HarborView Mortgage Loan Trust, Series 2006-7, Class 1A (LIBOR USD 1-Month plus 0.21%)

2.60%		09/19/46	²		15,115,811		14,482,864

HarborView Mortgage Loan Trust, Series 2007-6, Class 1A1A (LIBOR USD 1-Month plus 0.20%)

2.59%		08/19/37	²		16,245,062		15,100,872

Home Equity Mortgage Loan Asset-Backed Trust, Series 2005-D, Class AII4 (LIBOR USD 1-Month plus 0.35%)

2.75%		03/25/36	²		7,603,493		7,469,054


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

HSI Asset Securitization Corp. Trust, Series 2005-OPT1, Class M1 (LIBOR USD 1-Month plus 0.63%)

3.03%		11/25/35	²	$	5,703,202	$	5,709,268

Impac CMB Trust, Series 2005-2, Class 1A1 (LIBOR USD 1-Month plus 0.52%)

2.92%		04/25/35	²		4,958,925		4,944,623

IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 1A1A (LIBOR USD 1-Month plus 0.28%)

2.68%		07/25/35	²		14,679,495		12,574,802

IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1

3.76%		10/25/35	⁴		2,664,790		2,325,847

IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 1A3 (LIBOR USD 1-Month plus 0.27%)

2.67%		10/25/36	²		7,720,025		4,921,183

IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 3A1

4.14%		05/25/36	⁴		547,096		486,110

IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A3

3.74%		06/25/36	⁴		4,758,750		4,634,781

IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4

6.49%		09/25/28			54,319		55,862

JPMorgan Mortgage Acquisition Trust, Series 2006-ACC1, Class M1 (LIBOR USD 1-Month plus 0.27%)

2.67% 05/25/362					8,167,884		8,153,657

JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M2 (LIBOR USD 1-Month plus 0.29%)

2.69%		07/25/36	²		12,400,000		12,252,813

JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class MV1 (LIBOR USD 1-Month plus 0.23%)

2.63%		11/25/36	²		5,320,400		5,332,173

JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class MV3 (LIBOR USD 1-Month plus 0.32%)

2.72%		11/25/36	²		14,417,000		14,367,217

JPMorgan Mortgage Acquisition Trust, Series 2007-CH5, Class A4 (LIBOR USD 1-Month plus 0.16%)

2.56%		06/25/36	²		2,381,604		2,370,029

JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1

4.32%		08/25/35	⁴		50,793		49,721


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1

4.46%		05/25/36	⁴	$	43,470	$	42,446

JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2

5.88%		06/25/21			188,937		179,467

JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2

5.50%		03/25/22			100,660		98,194

Legacy Mortgage Asset Trust, Series 2017-RPL1, Class A (LIBOR USD 1-Month plus 1.75%)

4.18%		01/28/70	^1,2		14,893,310		15,145,263

Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1 (STEP-reset date 08/25/19)

3.44%		05/25/59	¹		15,117,713		15,149,830

Lehman XS Trust, Series 2005-4, Class 1A3 (LIBOR USD 1-Month plus 0.80%)

3.20%		10/25/35	²		93,992		93,735

Lehman XS Trust, Series 2005-5N, Class 3A1A (LIBOR USD 1-Month plus 0.30%)

2.70%		11/25/35	²		5,043,601		5,029,710

Lehman XS Trust, Series 2006-GP2, Class 1A5A (LIBOR USD 1-Month plus 0.21%)

2.61%		06/25/46	²		8,043,181		7,538,532

Lehman XS Trust, Series 2007-18N, Class 1A1 (LIBOR USD 1-Month plus 0.85%)

3.25%		10/25/37	²		7,945,799		7,643,879

MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1

4.33%		11/25/33	⁴		309,144		314,023

MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 8A1

5.39%		10/25/34	⁴		556,752		558,406

MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3

4.46%		04/25/34	⁴		79,586		81,447

MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 4A1

4.83%		02/25/36	⁴		53,060		52,363

MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A1 (LIBOR USD 1-Month plus 0.15%)

2.55%		03/25/47	²		5,841,752		5,626,346

MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A27

0.00%		03/25/47	^5,6,8,†		20,725,600		—


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4 (LIBOR USD 1-Month plus 0.28%)

2.68%		05/25/37	²	$	3,150,000	$	2,773,492

Merrill Lynch Alternative Note Asset Trust, Series 2007-A3, Class A2D (LIBOR USD 1-Month plus 0.33%)

2.73%		04/25/37	^2,5,6		883,581		79,108

Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4 (LIBOR USD 1-Month plus 0.25%)

2.65%		07/25/37	²		1,257,204		858,217

Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A

4.58%		10/25/33	⁴		208,169		212,558

Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-2, Class 1A1 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.40%)

4.69%		08/25/36	²		1,920,396		1,908,694

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

8.90%		08/15/37			60,850		69,356

Morgan Stanley Capital I, Inc., Trust, Series 2006-NC2, Class A2D (LIBOR USD 1-Month plus 0.29%)

2.69%		02/25/36	²		2,988,200		2,872,426

Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4 (LIBOR USD 1-Month plus 0.28%)

2.68%		02/25/36	²		3,324,023		3,304,723

Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4

4.13%		09/25/34	⁴		459,608		456,185

Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1 (LIBOR USD 1-Month plus 0.28%)

2.68%		11/25/35	²		25,467		25,554

Morgan Stanley Mortgage Loan Trust, Series 2006-2, Class 1A

5.25%		02/25/21			147,171		146,612

Morgan Stanley Resecuritization Trust, Series 13-R3, Class 12A⁷

0.00%		01/26/47	^5,8		1,200,000		—

Morgan Stanley Resecuritization Trust, Series 2014-R9, Class 3A (Federal Reserve US 12-Month Cumulative Average plus 0.84%)

3.32%		11/26/46	^1,2		2,587,959		2,560,179

MortgageIT Trust, Series 2005-2, Class 2A (LIBOR USD 1-Month plus 1.65%)

4.09%		05/25/35	²		2,644,859		2,684,523


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MortgageIT Trust, Series 2005-4, Class A1 (LIBOR USD 1-Month plus 0.28%)

2.68%		10/25/35	²	$	2,949,003	$	2,971,400

MortgageIT Trust, Series 2005-5, Class A1 (LIBOR USD 1-Month plus 0.52%)

2.92%		12/25/35	²		543,998		540,029

New Century Home Equity Loan Trust, Series 2005-D, Class A2D (LIBOR USD 1-Month plus 0.33%)

2.73%		02/25/36	²		3,076,980		3,009,427

New York Mortgage Trust, Series 2005-3, Class A1 (LIBOR USD 1-Month plus 0.48%)

2.88%		02/25/36	²		676,017		677,816

Nomura Asset Acceptance Corp., Series 2005-AR4, Class 4A1

4.71%		08/25/35	⁴		3,903,764		3,941,827

Nomura Resecuritization Trust, Series 2016-2R, Class 1A1

2.58%		09/26/36	^1,4		5,016,480		4,950,512

Nomura Resecuritization Trust, Series 2011-2RA, Class 1A2

4.12%		12/26/46	^1,4		3,760,927		3,800,949

Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5

8.16%		09/15/29	⁴		10,743,901		5,666,694

Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-3, Class M2 (LIBOR USD 1-Month plus 0.48%)

2.88%		07/25/35	²		11,301,000		10,949,154

Ownit Mortgage Loan Trust, Series 2006-2, Class A1 (LIBOR USD 1-Month plus 0.21%)

2.61%		01/25/37	²		11,257,414		11,112,123

Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3 (LIBOR USD 1-Month plus 0.31%)

2.71%		06/25/47	²		5,152,000		4,686,380

RAAC Trust, Series 2005-SP1, Class 4A1

7.00%		09/25/34			114,315		118,111

Residential Accredit Loans Trust, Series 2005-QA13, Class 2A1

4.83%		12/25/35	⁴		2,565,494		2,361,931

Residential Accredit Loans Trust, Series 2005-QA4, Class A41

4.53%		04/25/35	⁴		102,029		96,070

Residential Accredit Loans Trust, Series 2005-QA7, Class A21

4.61%		07/25/35	⁴		1,180,581		1,136,908


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Residential Accredit Loans Trust, Series 2005-QA8, Class CB21

4.63%		07/25/35	⁴	$	1,009,999	$	788,702

Residential Accredit Loans Trust, Series 2006-QS13, Class 2A1

5.75%		09/25/21			77,193		74,519

Residential Accredit Loans Trust, Series 2006-QS16, Class A6

6.00%		11/25/36			747,925		689,438

Residential Accredit Loans Trust, Series 2007-QS1, Class 2AV (IO)

0.18%		01/25/37	^4,5,6		2,987,637		24,322

Residential Asset Securities Trust, Series 2004-KS9, Class AII4 (LIBOR USD 1-Month plus 0.60%)

3.00%		10/25/34	²		13,987		13,096

Residential Asset Securities Trust, Series 2005-KS9, Class M4 (LIBOR USD 1-Month plus 0.60%)

3.00%		10/25/35	²		5,465,000		5,395,259

Residential Asset Securitization Trust, Series 2006-A9CB, Class A9

6.00%		09/25/36			5,578,876		3,257,356

Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 1A

4.82%		04/25/37	⁴		286,308		191,736

Saxon Asset Securities Trust, Series 2005-4, Class M1 (LIBOR USD 1-Month plus 0.44%)

2.84%		11/25/37	²		7,887,174		7,871,922

Saxon Asset Securities Trust, Series 2007-2, Class A2C (LIBOR USD 1-Month plus 0.24%)

2.64%		05/25/47	²		19,045,553		16,416,943

Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF4 (STEP-reset date 08/25/19)

3.36%		01/25/36			5,188,397		4,689,442

Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR2, Class A2 (LIBOR USD 1-Month plus 0.23%)

2.63%		02/25/37	²		1,307,585		712,657

Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR4, Class A2B (LIBOR USD 1-Month plus 0.20%)

2.60%		05/25/37	²		2,649,575		1,721,337

Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC1, Class A2B (LIBOR USD 1-Month plus 0.15%)

2.55%		12/25/36	²		7,650,660		4,461,448


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Soundview Home Loan Trust, Series 2006-WF2, Class M1 (LIBOR USD 1-Month plus 0.22%)

2.62%		12/25/36	²	$	12,750,000	$	12,704,664

Soundview Home Loan Trust, Series 2007-WMC1, Class 3A3 (LIBOR USD 1-Month plus 0.26%)

2.66%		02/25/37	²		1,126,051		444,035

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A

4.45%		09/25/34	⁴		1,202,247		1,200,489

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 4A2

4.40%		03/25/34	⁴		1,740,367		1,711,381

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1

4.49%		06/25/35	⁴		1,642,797		1,627,100

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-21, Class 2A

4.62%		11/25/35	⁴		1,431,498		1,277,283

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-7, Class 1A3

4.23%		04/25/35	⁴		3,636,360		3,628,961

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-11, Class 1A1 (LIBOR USD 1-Month plus 0.16%)

2.56%		12/25/36	²		2,428,175		2,368,234

Structured Asset Investment Loan Trust, Series 2004-6, Class A3 (LIBOR USD 1-Month plus 0.80%)

3.20%		07/25/34	²		15,510,082		15,184,268

Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1

3.99%		05/25/36	⁴		531,814		358,878

Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 1A1 (LIBOR USD 1-Month plus 0.21%)

2.61%		05/25/36	²		474,030		447,272

Structured Asset Mortgage Investments II Trust, Series 2007-AR6, Class A1 (Federal Reserve US 12-Month Cumulative Average plus 1.50%)

4.00%		08/25/47	²		11,475,410		11,272,815

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-2XS, Class 2A2 (LIBOR USD 1-Month plus 1.50%)

3.94%		02/25/35	²		150,027		151,040

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-4XS, Class 2A1A (LIBOR USD 1-Month plus 1.75%)

4.19%		03/25/35	²		1,965,167		1,930,668


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 3A3

4.47%		11/25/33	⁴	$	72,472	$	73,738

Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-4, Class 3A1

4.32%		10/25/37	⁴		2,341,989		2,224,753

Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 2A1

4.92%		01/25/37	⁴		780,431		793,103

Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 5A1

4.76%		01/25/37	⁴		543,194		559,794

WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2 (LIBOR USD 1-Month plus 0.11%)

2.51%		01/25/37	²		3,741,601		2,379,702

WaMu Mortgage Pass-Through Certificates, Series 2004-AR13, Class A1A (LIBOR USD 1-Month plus 0.72%)

3.12%		11/25/34	²		224,214		228,447

WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1

4.39%		01/25/35	⁴		769,178		798,635

WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A (LIBOR USD 1-Month plus 0.42%)

2.82%		05/25/44	²		113,449		115,203

WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A (LIBOR USD 1-Month plus 0.64%)

3.04%		01/25/45	²		244,496		238,720

WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A (LIBOR USD 1-Month plus 0.32%)

2.72%		08/25/45	²		571,417		568,646

WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6

3.99%		10/25/35	⁴		1,760,540		1,756,951

WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1 (LIBOR USD 1-Month plus 0.29%)

2.69%		10/25/45	²		1,396,155		1,397,149

WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1

4.06%		12/25/35	⁴		35,179		34,574

WaMu Mortgage Pass-Through Certificates, Series 2005-AR16, Class 1A3

4.24%		12/25/35	⁴		2,025,662		2,028,542


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)

WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21 (LIBOR USD 1-Month plus 0.33%)

2.73%		01/25/45	²	$	1,112,535	$	1,089,866

WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A (LIBOR USD 1-Month plus 0.46%)

2.86%		04/25/45	²		1,171,605		1,141,168

WaMu Mortgage Pass-Through Certificates, Series 2005-AR9, Class A1A (LIBOR USD 1-Month plus 0.64%)

3.04%		07/25/45	²		1,039,259		1,065,770

WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A (Federal Reserve US 12-Month Cumulative Average plus 1.00%)

3.50%		02/25/46	²		6,797,158		6,950,680

WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A (Federal Reserve US 12-Month Cumulative Average plus 0.94%)

3.42%		05/25/46	²		2,784,132		2,857,506

WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A (Federal Reserve US 12-Month Cumulative Average plus 0.98%)

3.48%		07/25/46	²		5,854,869		5,574,600

WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1

3.56%		03/25/37	⁴		2,681,646		2,536,035

WaMu Mortgage Pass-Through Certificates, Series 2007-OA5, Class 1A (Federal Reserve US 12-Month Cumulative Average plus 0.75%)

3.25%		06/25/47	²		2,177,060		2,046,623

Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1

6.25%		11/25/37			3,186,375		3,157,652

Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2006-2, Class A4 (LIBOR USD 1-Month plus 0.25%)

2.65%		07/25/36	²		906,286		901,396

Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2007-1, Class A3 (LIBOR USD 1-Month plus 0.32%)

2.72%		03/25/37	²		4,690,000		3,996,946

Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 7A1

4.77%		10/25/35	⁴		1,059,620		1,071,097

Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2

4.99%		07/25/36	⁴		171,043		174,144


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1

4.75%		10/25/36	⁴	$	829,519	$	830,824
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A1

4.99%		03/25/36	⁴		1,373,706		1,417,318
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR4, Class 1A1

5.22%		04/25/36	⁴		173,764		177,243
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 3A2

5.00%		04/25/36	⁴		1,593,628		1,624,934

							791,126,683


U.S. Agency Commercial

Mortgage-Backed – 4.78%
Fannie Mae-Aces, Series 2010-M5, Class X (IO)

1.08%		07/25/20	⁴		8,813,318		66,317
Fannie Mae-Aces, Series 2011-M5, Class X (IO)

1.21%		07/25/21	⁴		53,012,552		972,126
Fannie Mae-Aces, Series 2012-M17, Class X2 (IO)

0.43%		11/25/22	⁴		103,444,131		1,005,311
Fannie Mae-Aces, Series 2012-M2, Class X (IO)

0.80%		02/25/22	⁴		61,626,048		941,711
Fannie Mae-Aces, Series 2012-M4, Class X1 (IO)

0.68%		04/25/22	⁴		59,097,792		619,425
Fannie Mae-Aces, Series 2016-M11, Class X2 (IO)

2.72%		07/25/39	⁴		72,164,300		2,647,925
Fannie Mae-Aces, Series 2016-M13, Class FA (LIBOR USD 1-Month plus 0.67%)

3.11%		11/25/23	²		4,383,782		4,387,815
Fannie Mae-Aces, Series 2016-M2, Class X3 (IO)

2.04%		04/25/36	⁴		87,832,880		3,628,960
Fannie Mae-Aces, Series 2016-M4, Class X2 (IO)

2.67%		01/25/39	⁴		59,940,151		5,053,605
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class AX1 (IO)

1.69%		08/25/19	⁴		40,639,963		63,000
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class X1 (IO)

1.20%		04/25/20	⁴		48,367,820		244,964


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K011, Class X3 (IO)



2.66%		12/25/43	⁴	$	50,337,359	$	1,826,023

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K015, Class X3 (IO)



2.90%		08/25/39	⁴		32,027,257		1,764,382

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X3 (IO)



2.03%		07/25/40	⁴		26,660,903		1,471,753

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K022, Class X3 (IO)



1.87%		08/25/40	⁴		37,280,187		1,989,748

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K031, Class X1 (IO)



0.34%		04/25/23	⁴		386,806,364		3,060,470

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K056, Class XAM (IO)



1.29%		05/25/26	⁴		38,290,000		2,780,620

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K057, Class X1 (IO)



1.32%		07/25/26	⁴		77,540,975		5,342,092

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K712, Class X3 (IO)



1.48%		05/25/40	⁴		79,541,384		461,738

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K719, Class X1 (IO)



0.56%		06/25/22	⁴		88,362,360		404,258

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class X1 (IO)



0.83%		12/25/22	⁴		96,872,869		1,192,641

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KIR1, Class X (IO)



1.21%		03/25/26	⁴		52,074,301		3,162,717

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ05, Class A1



1.42%		05/25/21			3,386,728		3,368,113

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ18, Class A1



2.46%		03/25/22			6,348,626		6,412,398


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ20, Class A1

3.21%		10/25/24		$	4,061,812	$	4,234,854

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KLU1, Class A1



2.38%		01/25/25			15,000,000		15,078,679

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS05, Class A (LIBOR USD 1-Month plus 0.50%)




2.93%		01/25/23	²		6,670,878		6,678,478

Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X (IO)



0.78%		09/25/25	⁴		104,500,000		3,833,478

Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class A2H



3.05%		01/25/46	⁴		15,447,910		15,542,931

Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q006, Class APT2



2.49%		09/25/26	⁴		14,641,385		14,984,140

Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q007, Class APT1



2.99%		10/25/47	⁴		11,860,162		12,083,887

Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q007, Class APT2



3.33%		10/25/47	⁴		14,109,480		14,607,037

Freddie Mac Multifamily Structured Pass-Through Certificates, Series X3FX, Class XFX (IO)



0.23%		06/25/27	⁴		274,224,109		2,499,032

Ginnie Mae, Series 2006-3, Class C

5.24%		04/16/39	⁴		241,883		241,797

Ginnie Mae, Series 2011-152, Class IO (IO)

0.32%		08/16/51	⁴		14,809,627		136,397

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

0.28%		02/16/53	⁴		62,521,834		1,199,531

Ginnie Mae, Series 2012-78, Class IO (IO)

0.49%		06/16/52	⁴		90,876,009		1,692,729

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

0.61%		05/16/55	⁴		42,324,471		1,280,738

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

0.96%		11/16/54	⁴		40,784,908		2,464,383


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

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

Ginnie Mae, Series 2016-22, Class IX (IO)

1.29%		06/16/38	⁴	$	5,034,936	$	954,707

Ginnie Mae, Series 2017-105, Class IO (IO)

0.74%		05/16/59	⁴		24,492,853		1,757,415


							152,138,325


U.S. Agency Mortgage-Backed — 6.61%

Fannie Mae Pool AN0026

3.48%		11/01/35			3,619,265		3,885,322

Fannie Mae Pool AN0971

3.11%		02/01/28			7,535,000		7,930,365

Fannie Mae Pool AN0976

3.26%		02/01/28			2,954,705		3,139,523

Fannie Mae Pool AN1151

3.20%		03/01/31			3,607,981		3,781,326

Fannie Mae Pool AN2799

2.21%		09/01/26			12,655,000		12,433,595

Fannie Mae Pool AN3516 (LIBOR USD 1-Month plus 0.65%)
Fannie Mae Pool AN3516 (LIBOR USD 1-Month plus 0.65%)

3.05%		11/01/26	²		17,245,000		17,251,031

Fannie Mae Pool AN3597 (LIBOR USD 1-Month plus 0.64%)
Fannie Mae Pool AN3597 (LIBOR USD 1-Month plus 0.64%)

3.04%		11/01/26	²		15,000,000		14,986,374

Fannie Mae Pool AN6168

3.13%		07/01/32			5,800,000		6,032,311

Fannie Mae Pool AN7345

3.21%		11/01/37			16,531,244		17,044,629

Fannie Mae Pool AN9413

3.79%		07/01/28			3,095,000		3,375,510

Fannie Mae Pool AN9572

3.77%		07/01/30			6,384,000		7,066,787

Fannie Mae Pool AN9612

3.72%		07/01/33			4,059,000		4,499,151

Fannie Mae Pool BL0242

3.82%		11/01/30			15,550,000		17,305,135

Fannie Mae Pool BL0753

4.08%		01/01/34			6,000,000		6,912,052

Fannie Mae Pool BL1132

3.73%		01/01/29			9,468,400		10,361,225

Fannie Mae Pool BL1137

3.73%		01/01/29			21,436,800		23,701,844

Fannie Mae Pool BL2360

3.45%		05/01/34			12,065,000		12,769,631

Fannie Mae REMICS, Series 2006-11, Class PS (-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap)



15.75%		03/25/36	²		22,026		33,633


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae REMICS, Series 2006-8, Class HJ (IO) (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)



4.20%		03/25/36	²	$	1,143,166	$	207,491

Fannie Mae REMICS, Series 2007-52, Class LS (IO) (-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)



3.65%		06/25/37	²		46,075		5,358

Fannie Mae REMICS, Series 2007-77, Class SK (IO) (-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap)



3.47%		08/25/37	²		85,985		13,523

Fannie Mae REMICS, Series 2007-88, Class JI (IO) (-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap)



4.05%		04/25/37	²		1,177,325		224,557

Fannie Mae REMICS, Series 2008-18, Class SM (IO) (-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap)



4.60%		03/25/38	²		54,913		7,230

Fannie Mae REMICS, Series 2008-62, Class SN (IO) (-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)



3.80%		07/25/38	²		222,981		40,956

Fannie Mae REMICS, Series 2010-116, Class SE (IO) (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)



4.20%		10/25/40	²		68,232		9,276

Fannie Mae REMICS, Series 2013-5, Class GF (LIBOR USD 1-Month plus 1.10%)



3.50%		10/25/42	²		342,759		341,017

Fannie Mae REMICS, Series 2014-49, Class CF (LIBOR USD 1-Month plus 1.00%)



3.40%		07/25/43	²		14,521,503		14,554,285

Freddie Mac REMICS, Series 2711, Class FA (LIBOR USD 1-Month plus 1.00%)



3.39%		11/15/33	²		81,471		83,016

Freddie Mac REMICS, Series 2733, Class FB (LIBOR USD 1-Month plus 0.60%)



2.99%		10/15/33	²		323,602		325,812

Freddie Mac REMICS, Series 3339, Class JS (-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap)



27.27%		07/15/37	²		16,238		30,394


Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Freddie Mac REMICS, Series 3404, Class AS (IO) (-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)

3.50%		01/15/38	²	$	73,269	$	12,882

Freddie Mac REMICS, Series 3439, Class SC (IO) (-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)

3.51%		04/15/38	²		52,600		7,825

Freddie Mac REMICS, Series 3828, Class TF (LIBOR USD 1-Month plus 0.40%)

2.79%		04/15/29	²		3,383		3,383

Freddie Mac REMICS, Series 3885, Class PO (PO)

0.00%		11/15/33	⁹		24,606		21,892

Freddie Mac REMICS, Series 4030, Class HS (IO) (-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)

4.22%		04/15/42	²		163,525		30,614

Freddie Mac REMICS, Series 4638, Class UF (LIBOR USD 1-Month plus 1.00%)

3.40%		09/15/44	²		4,976,000		5,050,737

Freddie Mac REMICS, Series 4824, Class ZC

4.00%		09/15/48			222,195		222,940

Ginnie Mae II Pool (TBA)

4.50%		09/20/48			15,325,000		15,970,326

Ginnie Mae, Series 2011-146, Class EI (IO)

5.00%		11/16/41			131,183		26,656

Ginnie Mae, Series 2011-69, Class GI (IO)

5.00%		05/16/40			158,298		8,576

Ginnie Mae, Series 2011-70, Class IL (IO) (-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)

0.60%		06/16/37	²		771,074		13,343

Ginnie Mae, Series 2011-81, Class IC (IO) (-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap)

0.62%		07/20/35	²		1,032,812		18,302

Ginnie Mae, Series 2012-7, Class PI (IO)

3.50%		01/20/38			24,887		306

Ginnie Mae, Series 2013-135, Class CS (IO) (-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)

3.81%		09/16/43	²		3,113,268		505,796

Ginnie Mae, Series 2017-136, Class IO (IO)

5.00%		09/20/47			994,553		166,355

							210,412,292

Total Mortgage-Backed
(Cost $1,414,167,327)							1,400,860,331


Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS — 0.60%*

California — 0.30%

Los Angeles Department of Water & Power, Build America Bonds, Series SY

6.01%		07/01/39	$	1,950,000	$	2,539,855

State of California, Build America Bonds

7.95%		03/01/36		6,650,000		6,900,771

						9,440,626


New York — 0.30%

City of New York, Build America Bonds, Series F1

6.65%		12/01/31		3,000,000		3,181,650

New York City Municipal Water Finance Authority, Build America Bonds, Series SE

6.49%		06/15/42		1,650,000		1,714,944

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Subseries FI

3.95%		08/01/32		1,000,000		1,076,620

New York State Dormitory Authority, Build America Bonds

5.29%		03/15/33		3,100,000		3,743,560

						9,716,774

Total Municipal Bonds
(Cost $18,809,148)						19,157,400

Total Bonds – 89.08%
(Cost $2,812,856,385)						2,837,722,691



			Shares		Value

COMMON STOCK — 0.03%

Electric — 0.03%

Homer City Holdings LLC^1,5,6,7				112,222		953,887

Total Common Stock
(Cost $5,519,754)


Issues	Maturity Date		Principal Amount/ Shares		Value

SHORT-TERM INVESTMENTS — 10.27%

Money Market Funds — 3.69%

Fidelity Investments Money Market Funds - Government Portfolio

2.27%^10,11				1	$	1

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

2.29%¹⁰				117,626,000		117,626,000


						117,626,001


U.S. Treasury Bills — 6.58%

U.S. Treasury Bills

2.11%^12,13		09/26/19	$	2,915,000		2,900,524

2.34%¹³		07/16/19		60,000,000		59,948,122

2.40%¹³		07/18/19		42,337,000		42,296,091

2.40%¹³		10/24/19		15,000,000		14,904,945

2.41%¹³		10/10/19		75,000,000		74,560,229

2.42%¹³		07/11/19		15,000,000		14,991,990

						209,601,901

Total Short-Term Investments
(Cost $327,132,692)						327,227,902


Total Investments – 99.38%
(Cost $3,145,508,831)						3,165,904,480


Cash and Other Assets, Less Liabilities – 0.62%						19,605,386


Net Assets – 100.00%					$	3,185,509,866

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 June 30, 2019.

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

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

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

⁶	Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $5,102,446, which is 0.16% of total net assets.

⁷	Non-income producing security.

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

⁹	Zero coupon bond. The rate shown is the effective yield as of June 30, 2019.

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

¹¹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1.

¹²	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,900,512.

¹³	Represents annualized yield at date of purchase.

^†	Fair valued security. The aggregate value of fair valued securities is $2,074,103, which is 0.07% of total net assets. These securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This

The following is a summary of significant accounting policies consistently followed by the Trust:

The Net Asset Value (“NAV”) of each class of a Fund is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the class of the Fund on each business day as of 4 p.m. ET.

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board” or the “Board of Trustees”). Securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (i.e., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Equity options are valued at the average of the bid and asked prices. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported NAV of such investments.

Fair value methods approved by the Board of Trustees include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by the Adviser. When the Funds use these fair valuation methods applied by the Adviser that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Funds could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Funds may differ from the value that would be realized if the securities were sold.

The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.

The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.

Securities transactions are accounted for no later than the first NAV calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on the trade date. Cost is determined and gains and losses are based on the first-in, first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the effective interest method.

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The AlphaTrak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.

Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.

As of and during the period ended June 30, 2019, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties.

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts.

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Various inputs are used in determining the fair value of investments, which are as follows:

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Money market funds. Money market funds are open-ended mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.

Short-term investments. Short-term investments (commercial paper and repurchase agreements) are valued using market price quotations, and are reflected as Level 2 of the fair value hierarchy.

Equity securities. Securities such as common stocks and warrants are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.

Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.

Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

U.S. and Foreign government and agency securities. U.S. and Foreign government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Some government securities are actively traded and transparent in the market place. As such, they can be Level 1. Other government and agencies securities are quoted based in similar securities and yields and therefore, would be in Level 2.

Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.

Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by pricing service

providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as indices and exchange rates. Foreign currency contracts are categorized as Level 2 of the fair value hierarchy.

Futures contracts. Futures contracts and options on futures contracts are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Options and Swaptions contracts. Exchange listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied or mean variation to exchange listed options contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options and swaptions contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC options and swaptions contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Interest rate swaps. Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Credit default swaps. Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Total return swaps. Total return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

As of June 30, 2019, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and warrants.

The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of June 30, 2019 is as follows:


ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 2,099,000		$ —		$ —		$ 2,099,000
U.S. Agency Discount Notes		—		399,010		—		399,010
U.S. Treasury Bills		4,924,423		—		—		4,924,423
Long-Term Investments:
Asset-Backed Securities		—		2,263,300		—		2,263,300
Corporates		—		11,476,126		—		11,476,126
Mortgage-Backed		—		7,641,881		108,987		7,750,868
Mutual Funds		1,502,504		—		—		1,502,504
U.S. Treasury Securities		273,834		—		—		273,834

Other Financial Instruments *
Assets:
Equity contracts		1,271,669		—		—		1,271,669

Total		$ 10,071,430		$ 21,780,317		$ 108,987		$ 31,960,734

*Other financial instruments include futures. Interest rate contracts include futures.


HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 23,259,000		$ —		$ —		$ 23,259,000
U.S. Treasury Bills		42,040,863		—		—		42,040,863
Long-Term Investments:
Bank Loans		—		93,496,510		—		93,496,510
Common Stock		—		—		4,378,741		4,378,741
Corporates		—		322,132,966		193,168		322,326,134
Warrant		—		—		46,143		46,143

Other Financial Instruments *
Assets:
Interest rate contracts		2,308,390		—		—		2,308,390
Liabilities:
Interest rate contracts		(769,774)		—		—		(769,774)


Total		$ 66,838,479		$ 415,629,476		$ 4,618,052		$ 487,086,007

*Other financial instruments include futures. Interest rate contracts include futures.


INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 113,832,018		$ —		$ —		$ 113,832,018
U.S. Treasury Bills		15,138,773		—		—		15,138,773
Long-Term Investments:
Asset-Backed Securities		—		43,384,408		—		43,384,408
Bank Loans		—		5,669,443		—		5,669,443
Common Stock		—		—		68,119		68,119
Corporates		—		222,764,276		—		222,764,276
Mortgage-Backed		—		120,642,047		—		120,642,047
Municipal Bonds		—		5,007,675		—		5,007,675
U.S. Agency Securities		—		223,116		—		223,116
U.S. Treasury Securities		341,487,442		3,779,068		—		345,266,510

Other Financial Instruments *
Assets:
Interest rate contracts		1,677,010		774,583		—		2,451,593
Liabilities:
Interest rate contracts		(73,196)		(715,517)		—		(788,713)


Total		$ 472,062,047		$ 401,529,099		$ 68,119		$ 873,659,265

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.


INVESTMENT GRADE CREDIT FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 96,000		$ —		$ —		$ 96,000
U.S. Treasury Bills		26,866		—		—		26,866
Long-Term Investments:
Asset-Backed Securities		—		668,642		—		668,642
Corporates		—		3,071,834		—		3,071,834
Mortgage-Backed		—		1,849,626		107,487		1,957,113
Municipal Bonds		—		5,444		—		5,444
U.S. Treasury Securities		237,743		—		—		237,743

Other Financial Instruments *
Assets:
Interest rate contracts		42,727		6,131		—		48,858
Liabilities:
Interest rate contracts		(16,518)		(5,662)		—		(22,180)


Total		$386,818		$5,596,015		$ 107,487		$6,090,320

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.


LOW DURATION BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 35,064,000		$ —		$ —		$ 35,064,000
U.S. Treasury Bills		111,390,536		—		—		111,390,536
Long-Term Investments:
Asset-Backed Securities		—		155,847,245		—		155,847,245
Bank Loans		—		12,526,959		934,247		13,461,206
Common Stock		—		—		905,259		905,259
Corporates		—		706,118,964		—		706,118,964
Mortgage-Backed		—		770,774,058		2,025,134		772,799,192
Purchased Swaptions		—		2,817		—		2,817
U.S. Treasury Securities		316,717,967		—		—		316,717,967

Other Financial Instruments *
Assets:
Interest rate contracts		5,825,166		2,119,553		—		7,944,719
Liabilities:
Interest rate contracts		(251,509)		(1,957,947)		—		(2,209,456)


Total		$ 468,746,160		$ 1,645,431,649		$ 3,864,640		$ 2,118,042,449

*Other financial instruments include futures, swaps and written swaptions. Interest rate contracts include futures, swaps and written swaptions.


STRATEGIC INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$3,032,000		$ —		$ —		$ 3,032,000
U.S. Treasury Bills		3,778,195		—		—		3,778,195
Long-Term Investments:
Asset-Backed Securities		—		10,906,871		132,176		11,039,047
Corporates		—		28,370,824		—		28,370,824
Foreign Government Obligations		—		858,144		—		858,144
Mortgage-Backed		—		33,743,589		397,814		34,141,403
Municipal Bonds		—		663,296		—		663,296

Other Financial Instruments *
Assets:
Interest rate contracts		27,874		87,850		—		115,724
Liabilities:
Interest rate contracts		(340,072)		(81,095)		—		(421,167)


Total		$6,497,997		$74,549,479		$529,990		$81,577,466

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.


TOTAL RETURN BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$4,193,186,024		$ —		$ —		$ 4,193,186,024
U.S. Agency Discount Notes		—		1,395,749,015		—		1,395,749,015
U.S. Treasury Bills		1,531,722,183		—		—		1,531,722,183
Long-Term Investments:
Asset-Backed Securities		—		3,614,784,247		8,584,442		3,623,368,689
Bank Loans		—		793,066,310		7,714,123		800,780,433
Common Stock		—		—		10,035,975		10,035,975
Corporates		—		18,891,570,050		19,780,279		18,911,350,329
Foreign Government Obligations		—		99,383,601		—		99,383,601
Mortgage-Backed		—		28,350,803,652		14,585,488		28,365,389,140
Municipal Bonds		—		464,568,086		—		464,568,086
Purchased Options - Exchange Traded		40,000,000		—		—		40,000,000
U.S. Treasury Securities		20,341,622,218		1,216,149,114		—		21,557,771,332

Other Financial Instruments *
Assets:
Interest rate contracts		182,307,701		74,470,776		—		256,778,477
Liabilities:
Interest rate contracts		(35,868,002)		(68,800,224)		—		(104,668,226)


Total		$26,252,970,124		$54,831,744,627		$ 60,700,307		$81,145,415,058

*Other financial instruments include futures, swaps and written options. Interest rate contracts include futures, swaps and written options.


ULTRA SHORT BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 464,000		$ —		$ —		$ 464,000
U.S. Treasury Bills		26,129,847		—		—		26,129,847
Long-Term Investments:
Asset-Backed Securities		—		2,233,211		—		2,233,211
Corporates		—		23,271,070		—		23,271,070
Mortgage-Backed		—		32,752,522		32,120		32,784,642
U.S. Treasury Securities		13,989,643		—		—		13,989,643

Other Financial Instruments *
Assets:
Interest rate contracts		14,321		—		—		14,321


Total		$40,597,811		$ 58,256,803		$ 32,120		$98,886,734

*Other financial instruments include futures. Interest contracts include futures.


UNCONSTRAINED BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 117,626,001		$ —		$ —		$ 117,626,001
U.S. Treasury Bills		209,601,901		—		—		209,601,901
Long-Term Investments:
Asset-Backed Securities		—		433,858,941		—		433,858,941
Bank Loans		—		38,878,474		2,020,360		40,898,834
Common Stock		—		—		953,887		953,887
Corporates		—		900,408,342		2,023,763		902,432,105
Foreign Government Obligations		—		40,515,080		—		40,515,080
Mortgage-Backed		—		1,400,755,895		104,436		1,400,860,331
Municipal Bonds		—		19,157,400		—		19,157,400

Other Financial Instruments *
Assets:
Interest rate contracts		3,883,572		3,223,407		—		7,106,979
Liabilities:
Interest rate contracts		(5,596,708)		(2,976,844)		—		(8,573,552)


Total		$ 325,514,766		$ 2,833,820,695		$ 5,102,446		$ 3,164,437,907

*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.

Certain of the Funds’ investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable.A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

There were no financial assets and/or liabilities transferred from Level 1 to Level 2 or from Level 2 to Level 1 for the period ended June 30, 2019.

For the period ended June 30, 2019, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of level 3 investments at the beginning and/or end of the period in relation to net assets. The following tables are a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $(2,726) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $(1,068) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $31,689 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $27,901 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $(134,803) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30,2019.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $0 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $(731) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $(45,103) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $(22,796) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

*** As of March 31, 2019 and June 30, 2019, GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $680,524 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

*** As of March 31, 2019 and June 30, 2019 GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $338 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

*** As of March 31, 2019 and June 30, 2019, MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2 had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2019 was $(538,256) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2019.

*** As of March 31, 2019 and June 30, 2019, MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2 and GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A had a $0 market value. As of June 30, 2019, Morgan Stanley Resecuritization Trust, Series 13-R3, Class 12A had a $0 market value.

Significant unobservable valuations inputs for Level 3 investments as of June 30, 2019, are as follows:

* The valuation technique employed on the Level 3 securities involves the use of vendor prices, broker quotes and benchmark pricing. The Adviser monitors the third-party brokers and vendors using the valuation process.

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value

of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.

On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National Mortgage Association (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.

The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities, CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.

The Funds may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the period ended June 30, 2019, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary.The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If a Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.

The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund will not make total short sales exceeding 25% of the value of each respective Fund’s assets. The High Yield Bond Fund, Unconstrained Bond Fund, Floating Rate Income Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of each respective Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At June 30, 2019, the Funds did not hold any short debt or equity.

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Funds might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Funds. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own.The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.

For the period ended June 30, 2019, the Funds did not receive any in-kind payments with respect to PIK securities.

The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.

Master Repurchase Agreements (“MRAs”) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of June 30, 2019, the Funds did not hold any repurchase agreements.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings.

Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under MRAs. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are not permitted to sell, re-pledge, or use the collateral associated with the transaction. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. There were no reverse repurchase agreements held on June 30, 2019.

Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it

immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment. Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.

The Funds engaged in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:

Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the Adviser’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, and the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.

Options - The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. The Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. When the Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of June 30, 2019, the Low Duration Bond Fund held written swaptions.

Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Funds to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to

deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).

Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.

The Funds entered into credit default swap agreements to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If a Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.

The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation. The collateral posted, net of assets received as collateral, for swap contracts is also disclosed in the Notes to Schedules of Portfolio Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of June 30, 2019, for which a portfolio is the seller of protection are also disclosed. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.

The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).

The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an

existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At June 30, 2019, the Low Duration Bond Fund held swaptions.

In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At June 30, 2019, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.

The Floating Rate Income Fund had the following unfunded commitments and unrealized gain/(loss) by investment as of June 30, 2019:

In the normal course of business, the Trust enters into contracts which provide a variety of representations and warranties, and that provide general indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to the Trust under these arrangements is unknown as it would involve future claims that may be made against the Trust; however, based on the Trust’s experience, the risk of loss is remote and no such claims are expected to occur. As such, the Trust has not accrued any liability in connection with such indemnifications.


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(ETF): Exchange-traded fund		(S&P): Standard and Poor’s
(GMTN): Global medium-term note		(SPDR): Standard and Poor’s
(IO): Interest only		Depositary Receipts
(LIBOR): London InterBank Offer		(STEP): Step coupon bond
Rate		(TBA): To be announced
(MTN): Medium-term note		(USD): U.S. dollar


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