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Issues	Maturity Date			Principal Amount		Value
BONDS – 100.31%
ASSET-BACKED SECURITIES — 4.63%**
Academic Loan Funding Trust, Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
2.89%		12/27/44	^1,2	$	24,072,303	$	24,243,733
AIMCO CLO, Series 2015-AA, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
2.85%		01/15/28	^1,2,3		13,120,000		13,125,977
AMMC CLO 19 Ltd., Series 2016-19A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
3.14%		10/16/28	^1,2,3		60,310,000		60,310,799
Atrium XII, Series 12A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.83%)
2.78%		04/22/27	^1,2,3		26,540,000		26,502,893
Barings BDC Static CLO Ltd., Series 2019-1A, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
3.02%		04/15/27	^1,2,3		3,087,277		3,088,944
Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
2.77%		01/20/28	^1,2,3		54,480,000		54,452,981
Barings CLO Ltd., Series 2016-2A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
3.05%		07/20/28	^1,2,3		50,005,000		50,029,472
Barings CLO Ltd., Series 2018-3A, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
2.92%		07/20/29	^1,2,3		35,811,000		35,762,250
Bayview Commercial Asset Trust, Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
2.35%		01/25/35	^1,2		1,390,896		1,384,793
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
2.24%		04/25/35	^1,2		3,138,161		3,083,072
BlueMountain CLO Ltd., Series 2015-2A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 0.93%)
2.93%		07/18/27	^1,2,3		8,330,000		8,331,803
Brazos Education Loan Authority, Inc., Series 2012-1, Class A1
(LIBOR USD 1-Month plus 0.70%)
2.49%		12/26/35	¹		43,082		42,454
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
3.11%		02/25/35	¹	$	14,100,000	$	14,078,942
Brazos Higher Education Authority, Inc., Series 2011-1, Class A3
(LIBOR USD 3-Month plus 1.05%)
2.96%		11/25/33	¹		16,050,000		15,804,727
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
2.94%		10/27/36	¹		24,361,000		24,339,892
CIT Education Loan Trust, Series 2007-1, Class A
(LIBOR USD 3-Month plus 0.09%)
2.04%		03/25/42	^1,2		19,216,713		18,432,704
CIT Education Loan Trust, Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
2.25%		06/25/42	^1,2		13,548,985		12,337,355
Clear Creek CLO, Series 2015-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
3.17%		10/20/30	^1,2,3		27,190,000		27,150,743
College Loan Corp. Trust, Series 2005-2, Class B
(LIBOR USD 3-Month plus 0.49%)
2.48%		01/15/37	¹		2,734,175		2,506,817
Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
2.73%		11/15/28	^1,2,3		19,066,000		19,028,821
Dryden 33 Senior Loan Fund, Series 2014-33A, Class AR2 (Cayman Islands)
(LIBOR USD 3-Month plus 1.23%)
3.23%		04/15/29	^1,2,3		1,000,000		1,000,250
Dryden 71 CLO Ltd., Series 2018-71A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
3.15%		01/15/29	^1,2,3		73,850,000		73,851,348
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
2.90%		04/15/29	^1,2,3		22,903,000		22,890,403
Eaton Vance CLO Ltd., Series 2013-1A, Class A1RR (Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
3.16%		01/15/28	^1,2,3		20,025,000		20,027,633
ECMC Group Student Loan Trust, Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
3.14%		07/26/66	^1,2		39,150,512		39,380,105


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Education Loan Asset-Backed Trust I, Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
2.59%		04/26/32	^1,2	$	12,740,000		$12,652,421
Educational Funding of the South, Inc., Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
2.59%		04/25/35	¹		19,886		19,704
Educational Funding of the South, Inc., Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
2.84%		03/25/36	¹		12,472,103		12,509,509
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
3.14%		03/25/36	^1,2		15,368,874		15,505,153
Flatiron CLO Ltd., Series 2015-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.89%)
2.89%		04/15/27	^1,2,3		6,176,755		6,176,923
Galaxy XXIX CLO Ltd., Series 2018-29A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 0.79%)
2.70%		11/15/26	^1,2,3		5,577,093		5,578,268
GCO Education Loan Funding Trust, Series 2006-1, Class A11L
(LIBOR USD 3-Month plus 0.23%)
2.14%		05/25/36	¹		25,000,000		24,127,503
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^2,3		40,812,292		40,790,706
Goal Capital Funding Trust, Series 2005-2, Class B
(LIBOR USD 3-Month plus 0.53%)
2.44%		11/25/44	¹		8,674,870		8,240,376
Goal Capital Funding Trust, Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
2.36%		08/25/42	¹		2,412,925		2,224,478
Goal Structured Solutions Trust, Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.65%)
2.44%		09/25/41	^1,2		65,596,920		64,148,422
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR2 (Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
3.04%		10/29/29	^1,2,3		5,345,000		5,346,871
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	²		759,036		808,446


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
J.G. Wentworth XXXII LLC, Series 2014-2A, Class A
3.61%		01/17/73	²	$	45,070,169	$	47,002,020
LCM XIII LP, Series 2013A, Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
3.11%		07/19/27	^1,2,3		25,725,000		25,696,885
LCM XIX LP, Series 19A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
3.24%		07/15/27	^1,2,3		20,425,000		20,429,949
LCM XX LP, Series 20A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
3.01%		10/20/27	^1,2,3		8,535,000		8,526,038
LCM XXI LP, Series 21A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
2.85%		04/20/28	^1,2,3		32,465,000		32,437,405
Limerock CLO III LLC, Series 2014-3A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
3.17%		10/20/26	^1,2,3		43,530,091		43,540,973
Madison Park Funding XXX Ltd., Series 2018-30A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 0.75%)
2.75%		04/15/29	^1,2,3		22,882,500		22,744,061
Magnetite XVIII Ltd., Series 2016-18A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
2.99%		11/15/28	^1,2,3		20,750,000		20,746,193
Magnetite XXI Ltd., Series 2019-21A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 1.28%)
3.25%		04/20/30	^1,2,3		34,100,000		34,128,985
Navient Student Loan Trust, Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
2.30%		06/25/31	¹		889,217		872,919
Navient Student Loan Trust, Series 2014-2, Class A
(LIBOR USD 1-Month plus 0.64%)
2.43%		03/25/83	¹		64,482,001		62,880,559
Navient Student Loan Trust, Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
2.41%		03/25/83	¹		69,887,909		68,330,156
Navient Student Loan Trust, Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
2.41%		03/25/83	¹		106,461,755		103,714,094


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2014-5, Class A
(LIBOR USD 1-Month plus 0.62%)
2.41%		03/25/83	¹		$85,749,154	$	83,631,558
Navient Student Loan Trust, Series 2014-6, Class A
(LIBOR USD 1-Month plus 0.61%)
2.40%		03/25/83	¹		87,230,516		84,889,772
Navient Student Loan Trust, Series 2014-7, Class A
(LIBOR USD 1-Month plus 0.61%)
2.40%		03/25/83	¹		89,116,822		86,914,817
Navient Student Loan Trust, Series 2015-1, Class A2
(LIBOR USD 1-Month plus 0.60%)
2.39%		04/25/40	¹		67,209,637		65,927,385
Navient Student Loan Trust, Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
2.36%		11/26/40	¹		97,415,567		95,666,286
Navient Student Loan Trust, Series 2016-1A, Class A
(LIBOR USD 1-Month plus 0.70%)
2.50%		02/25/70	^1,2		31,170,783		30,415,441
Navient Student Loan Trust, Series 2016-7A, Class A
(LIBOR USD 1-Month plus 1.15%)
2.95%		03/25/66	^1,2		62,982,636		62,859,455
Navient Student Loan Trust, Series 2018-3A, Class A3
(LIBOR USD 1-Month plus 0.80%)
2.59%		03/25/67	^1,2		60,000,000		58,791,033
Navient Student Loan Trust, Series 2019-3A, Class A
(LIBOR USD 1-Month plus 0.83%)
2.62%		07/25/68	^1,2		129,529,142		129,689,855
Nelnet Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.45%)
2.36%		08/23/36	^1,2		12,500,000		12,085,326
Nelnet Student Loan Trust, Series 2007-2A, Class A3L
(LIBOR USD 3-Month plus 0.35%)
2.30%		03/25/26	^1,2		27,351,622		27,040,649
Nelnet Student Loan Trust, Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
2.39%		10/27/36	^1,2		12,677,224		12,484,095
Nelnet Student Loan Trust, Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
2.74%		11/25/48	^1,2		21,495,000		21,103,685


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust, Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
2.34%		07/25/46	^1,2	$	69,474,513	$	68,385,451
Nelnet Student Loan Trust, Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
2.38%		04/25/46	^1,2		128,163,134		125,144,291
Nelnet Student Loan Trust, Series 2015-2A, Class A2
(LIBOR USD 1-Month plus 0.60%)
2.39%		09/25/47	^1,2		55,168,467		54,435,761
Nelnet Student Loan Trust, Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
2.69%		06/25/54	^1,2		13,095,000		12,588,810
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
2.85%		01/15/28	^1,2,3		1,690,000		1,689,231
North Carolina State Education Authority, Series 2011-1, Class A3
(LIBOR USD 3-Month plus 0.90%)
2.84%		10/25/41	¹		19,192,174		19,035,123
Northstar Education Finance, Inc., Series 2007-1, Class A2
(LIBOR USD 3-Month plus 0.75%)
2.69%		01/29/46	¹		35,217,932		34,790,615
Octagon Investment Partners 25 Ltd., Series 2015-1A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.80%)
2.77%		10/20/26	^1,2,3		17,760,000		17,762,174
Palmer Square Loan Funding Ltd., Series 2019-1, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 1.05%)
3.02%		04/20/27	^1,2,3		12,504,220		12,507,448
Palmer Square Loan Funding Ltd., Series 2019-4A, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
2.84%		10/24/27	^1,2,3		72,595,000		72,627,642
Panthera Aviation, Series 2013-1
10.00%		01/25/22	^2,4,5,†		13,004,312		2,860,949
Panthera Aviation, Series 2013-2⁶
10.00%		03/20/24	^2,4,5,7,†		11,149,186		2,363,627
PHEAA Student Loan Trust, Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
2.39%		10/25/41	^1,2		141,402,160		137,702,712
Recette CLO Ltd., Series 2015-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.92%)
2.89%		10/20/27	^1,2,3		35,599,962		35,600,937


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Riserva CLO Ltd., Series 2016-3A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
3.14%		10/18/28	^1,2,3	$	13,270,000		$13,274,645
Scholar Funding Trust, Series 2012-B, Class A2
(LIBOR USD 1-Month plus 1.10%)
2.90%		03/28/46	^1,2		27,734,782		27,581,902
SLC Student Loan Trust, Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
2.20%		08/15/31	¹		268,450		240,724
SLC Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.16%)
2.05%		03/15/55	¹		9,495,000		8,978,105
SLC Student Loan Trust, Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.16%)
2.05%		09/15/39	¹		16,000,000		15,245,603
SLC Student Loan Trust, Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
3.49%		12/15/32	¹		15,081,321		15,291,458
SLM Student Loan Trust, Series 2003-4, Class A5E
(LIBOR USD 3-Month plus 0.75%)
2.64%		03/15/33	^1,2		5,408,343		5,249,178
SLM Student Loan Trust, Series 2004-3A, Class A6A
(LIBOR USD 3-Month plus 0.55%)
2.49%		10/25/64	^1,2		82,990,000		81,648,824
SLM Student Loan Trust, Series 2005-5, Class A5
(LIBOR USD 3-Month plus 0.75%)
2.69%		10/25/40	¹		7,134,000		6,937,119
SLM Student Loan Trust, Series 2005-8, Class A5
(LIBOR USD 3-Month plus 0.17%)
2.11%		01/25/40	¹		430,000		407,011
SLM Student Loan Trust, Series 2005-9, Class A7A
(LIBOR USD 3-Month plus 0.60%)
2.54%		01/25/41	¹		66,931,630		65,068,662
SLM Student Loan Trust, Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
2.11%		01/25/41	¹		37,302,966		35,612,459
SLM Student Loan Trust, Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
2.10%		01/25/41	¹		33,055,000		31,369,714


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.22%)
2.16%		01/27/42	¹	$	4,580,513	$	4,211,395
SLM Student Loan Trust, Series 2007-3, Class A4
(LIBOR USD 3-Month plus 0.06%)
2.00%		01/25/22	¹		2,758,697		2,680,760
SLM Student Loan Trust, Series 2007-6, Class B
(LIBOR USD 3-Month plus 0.85%)
2.79%		04/27/43	¹		4,597,633		4,316,095
SLM Student Loan Trust, Series 2008-1, Class A4
(LIBOR USD 3-Month plus 0.65%)
2.59%		01/25/22	¹		42,004,934		41,146,986
SLM Student Loan Trust, Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
2.69%		04/25/23	¹		96,137,283		94,657,220
SLM Student Loan Trust, Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
3.14%		01/25/83	¹		38,874,000		37,297,718
SLM Student Loan Trust, Series 2008-3, Class A3
(LIBOR USD 3-Month plus 1.00%)
2.94%		10/25/21	¹		19,889		19,720
SLM Student Loan Trust, Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
3.14%		04/26/83	¹		2,170,000		2,067,781
SLM Student Loan Trust, Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
3.59%		07/25/22	¹		2,379,193		2,395,446
SLM Student Loan Trust, Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
3.79%		04/25/73	¹		8,759,000		8,559,085
SLM Student Loan Trust, Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
3.64%		07/25/23	¹		36,517,699		36,783,299
SLM Student Loan Trust, Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
3.79%		07/25/73	¹		37,199,000		36,618,361
SLM Student Loan Trust, Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
3.04%		07/25/23	¹		14,346,995		14,261,370


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%)
3.79%		07/26/83	¹	$	31,424,000	$	30,459,525
SLM Student Loan Trust, Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
3.79%		07/26/83	¹		17,126,000		16,616,205
SLM Student Loan Trust, Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
3.44%		04/25/23	¹		3,208,800		3,221,639
SLM Student Loan Trust, Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
4.19%		10/25/75	¹		545,000		548,411
SLM Student Loan Trust, Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
3.44%		04/25/23	¹		74,446,718		74,693,092
SLM Student Loan Trust, Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
4.19%		10/25/83	¹		45,100,000		45,491,102
SLM Student Loan Trust, Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
2.54%		01/25/45	^1,2		180,023,467		176,892,607
SLM Student Loan Trust, Series 2011-1, Class A2
(LIBOR USD 1-Month plus 1.15%)
2.94%		10/25/34	¹		3,070,000		3,074,036
SLM Student Loan Trust, Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
2.74%		09/25/28	¹		311,151		305,856
SLM Student Loan Trust, Series 2012- 2, Class A
(LIBOR USD 1-Month plus 0.70%)
2.49%		01/25/29	¹		14,197,347		13,950,536
SLM Student Loan Trust, Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
2.44%		05/26/26	¹		24,912,287		24,330,712
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		19,579,036
TCI-Flatiron CLO Ltd., Series 2016-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
3.22%		07/17/28	^1,2,3		57,380,000		57,400,083


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Treman Park CLO Ltd., Series 2015-1A, Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
3.04%		10/20/28	^1,2,3	$	21,540,000	$	21,536,769
Vermont Student Assistance Corp., Series 2012-1, Class A
(LIBOR USD 1-Month plus 0.70%)
2.50%		07/28/34	¹		3,596,968		3,552,555
Voya CLO Ltd., Series 2014-3A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 0.72%)
2.66%		07/25/26	^1,2,3		17,513,282		17,517,775
Wachovia Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
2.11%		04/25/40	^1,2		18,596		17,848

Total Asset-Backed Securities (Cost $3,768,913,082)							3,730,470,483

BANK LOANS — 0.87%*
Automotive — 0.01%
Panther BF Aggregator 2 LP Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.30%		04/30/26	^1,2		5,486,250		5,515,409

Communications — 0.22%
CommScope, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
5.05%		04/04/26	^1,2		9,226,875		9,296,077
CSC Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.99%		07/17/25	^1,2		3,884,766		3,897,177
3.99%		01/15/26	^1,2		25,120,563		25,189,644
CSC Holdings LLC, Term Loan B5
(LIBOR plus 2.50%)
4.24%		04/15/27	^1,2		7,000,000		7,042,280
Frontier Communications Corp., Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.55%		06/17/24	^1,2		61,058,440		61,486,765
Intelsat Jackson Holdings SA, Term Loan B4, 1st Lien (Luxembourg)
(LIBOR plus 4.50%)
6.43%		01/02/24	^1,2,3		2,000,000		2,022,140
Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg)
6.63%		01/02/24	^1,2,3		25,379,651		25,774,051
Lamar Media Corp., Term Loan B, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
(LIBOR plus 1.75%)
3.56%		03/14/25	^1,2	$	2,456,250	$	2,474,672
Level 3 Parent LLC, Term Loan B, 1st Lien
(LIBOR plus 1.75%)
3.55%		03/01/27	^1,2		7,589,876		7,625,473
Sprint Communications, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.31%		02/02/24	^1,2		17,387,121		17,265,411
(LIBOR plus 3.00%)
4.81%		02/02/24	^1,2		12,721,500		12,687,025


							174,760,715

Consumer Discretionary — 0.03%
Reynolds Group Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.55%		02/06/23	^1,2		26,318,040		26,433,313

Electric — 0.03%
Homer City Generation LP, Term Loan B, 1st Lien
(LIBOR plus 11.00%)
12.95%		04/05/23	^1,2,4,5		7,980,601		7,628,975
Vistra Operations Co., LLC, Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
3.49%		12/31/25	^1,2		3,425,306		3,450,602
3.55%		12/31/25	^1,2		14,359,935		14,465,983


							25,545,560

Finance — 0.11%
Auris Lux III SA, Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
5.55%		02/27/26	^1,2,3		1,492,482		1,502,437
Avolon TLB Borrower 1 US LLC, Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
3.51%		01/15/25	^1,2		11,757,709		11,845,892
Delos Finance SARL, Term Loan B, 1st Lien
(LIBOR plus 1.75%)
3.69%		10/06/23	^1,2		47,435,620		47,677,779
Telenet Financing USD LLC, Term Loan AN, 1st Lien
(LIBOR plus 2.25%)
3.99%		08/15/26	^1,2		26,510,000		26,686,689


							87,712,797


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Food — 0.00%
JBS USA LUX SA, Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.00%)
3.70%		05/01/26	^1,2,3	$	1,136,276	$	1,148,110

Gaming — 0.03%
Caesars Entertainment LLC, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.80%		10/07/24	^1,2		10,177,981		10,261,593
Churchill Downs, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.80%		12/27/24	^1,2		11,752,594		11,840,739


							22,102,332

Health Care — 0.11%
Catalent Pharma Solutions, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.05%		05/18/26	^1,2		15,880,000		15,969,325
Change Healthcare Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.30%		03/01/24	^1,2		4,568,325		4,591,167
HCA, Inc., Term Loan B12, 1st Lien
(LIBOR plus 1.75%)
3.55%		03/13/25	^1,2		14,962,500		15,066,340
Kindred at Home, Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.56%		07/02/25	^1,2		6,578,236		6,621,422
MPH Acquisition Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.69%		06/07/23	^1,2		9,452,776		9,343,029
Valeant Pharmaceuticals International, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.49%		11/27/25	^1,2		4,865,132		4,897,071
(LIBOR plus 3.00%)
4.74%		06/02/25	^1,2		33,326,360		33,558,978


							90,047,332

Industrials — 0.04%
Berry Global, Inc., Term Loan U, 1st Lien
(LIBOR plus 2.50%)
4.22%		07/01/26	^1,2		25,870,000		25,976,067
Clean Harbors, Inc., Term Loan B, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
(LIBOR plus 1.75%)
3.55%		06/30/24	^1,2	$	2,954,545	$	2,979,290
Energizer Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.25%)
4.00%		12/17/25	^1,2		2,640,000		2,657,582
TransDigm, Inc., Term Loan F, 1st Lien
(LIBOR plus 2.50%)
4.30%		06/09/23	^1,2		5,472,152		5,498,938


							37,111,877

Information Technology — 0.11%
Broadcom, Inc., Delayed-Draw Term Loan A3
(LIBOR plus 1.25%)
1.25%		11/04/22	^1,2		42,175,000		42,007,987
IQVIA, Inc., Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
3.69%		03/07/24	^1,2		13,182,323		13,270,249
IQVIA, Inc., Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
3.69%		01/01/25	^1,2		8,999,010		9,055,253
IQVIA, Inc., Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
3.69%		06/11/25	^1,2		3,201,250		3,222,266
SS&C Technologies Holdings Europe SARL, Term Loan B4, 1st Lien
(LIBOR plus 2.25%)
4.05%		04/16/25	^1,2		5,609,654		5,655,485
SS&C Technologies, Inc., Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
4.05%		04/16/25	^1,2		8,090,661		8,156,762
SS&C Technologies, Inc., Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
4.05%		04/16/25	^1,2		4,936,818		4,976,214


							86,344,216

Real Estate Investment Trust (REIT) — 0.09%
MGM Growth Properties, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.80%		03/21/25	^1,2		20,916,041		21,039,446
SBA Senior Finance II LLC, Term Loan B, 1st Lien
(LIBOR plus 1.75%)
3.55%		04/11/25	^1,2		44,403,800		44,623,599


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Real Estate Investment Trust (REIT) (continued)
VICI Properties 1 LLC, Term Loan, 1st Lien
(LIBOR plus 2.00%)
3.79%		12/20/24	^1,2	$	9,218,636	$	9,274,916


							74,937,961

Retail — 0.03%
BC ULC/New Red Finance, Inc., Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
3.55%		11/19/26	^1,2,3		24,030,689		24,087,641

Services — 0.04%
GFL Environmental, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.80%		05/30/25	^1,2		21,936,766		22,009,158
PowerTeam Services LLC, Term Loan, 1st Lien
(LIBOR plus 3.25%)
5.19%		03/06/25	^1,2		10,000,000		9,010,000


							31,019,158

Transportation — 0.02%
United Airlines, Inc., Term Loan, 1st Lien
(LIBOR plus 1.75%)
3.55%		04/01/24	^1,2		18,501,664		18,634,691

Total Bank Loans (Cost $700,214,232)							705,401,112

CORPORATES — 21.50%*
Automotive — 0.02%
General Motors Co.
(LIBOR USD 3-Month plus 0.80%)
2.69%		08/07/20	¹		4,850,000		4,857,609
(LIBOR USD 3-Month plus 0.90%)
2.79%		09/10/21	¹		8,685,000		8,689,818


							13,547,427

Banking — 2.03%
Bank of America Corp.
2.74%		01/23/22	⁸		108,426,000		109,233,201
3.00%		12/20/23	⁸		125,817,000		128,816,109
3.37%		01/23/26	⁸		22,240,000		23,278,687
Bank of America Corp. (MTN)
2.33%		10/01/21	⁸		32,930,000		33,027,595
3.09%		10/01/25	⁸		82,206,000		84,900,381
3.12%		01/20/23	⁸		11,362,000		11,588,823
Discover Bank
7.00%		04/15/20			9,000,000		9,120,886


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Discover Bank (BKNT)
3.10%		06/04/20		$	5,843,000	$	5,865,122
3.20%		08/09/21			5,860,000		5,961,516
4.20%		08/08/23			8,795,000		9,355,569
JPMorgan Chase & Co.
3.21%		04/01/23	⁸		7,510,000		7,692,336
3.22%		03/01/25	⁸		80,456,000		83,413,277
4.02%		12/05/24	⁸		243,975,000		260,325,085
4.25%		10/15/20			9,330,000		9,497,029
Lloyds Bank PLC (United Kingdom)
2.40%		03/17/20	³		2,450,000		2,453,895
6.38%		01/21/21	³		4,920,000		5,141,321
Lloyds Bank PLC (United Kingdom) (MTN)
5.80%		01/13/20	^2,3		9,850,000		9,860,196
Lloyds Banking Group PLC (United Kingdom)
2.86%		03/17/23	^3,8		136,460,000		138,390,017
2.91%		11/07/23	^3,8		148,100,000		150,387,286
3.90%		03/12/24	³		11,265,000		11,903,477
4.05%		08/16/23	³		4,605,000		4,885,977
Santander UK Group Holdings PLC (United Kingdom)
2.88%		08/05/21	³		85,476,000		86,397,106
3.13%		01/08/21	³		26,058,000		26,318,422
3.37%		01/05/24	^3,8		67,950,000		69,547,131
4.80%		11/15/24	^3,8		49,290,000		53,257,664
Wells Fargo & Co.
(LIBOR USD 3-Month plus 1.23%)
3.16%		10/31/23	¹		12,724,000		12,965,681
Wells Fargo & Co. (GMTN)
2.60%		07/22/20			10,326,000		10,367,408
Wells Fargo & Co. (MTN)
2.41%		10/30/25	⁸		52,578,000		52,663,331
2.63%		07/22/22			32,784,000		33,284,579
Wells Fargo & Co., Series N (MTN)
2.15%		01/30/20			6,040,000		6,040,974
Wells Fargo Bank N.A. (BKNT)
2.08%		09/09/22	⁸		134,749,000		134,954,159
2.90%		05/27/22	⁸		25,000,000		25,311,103
(SOFR Rate plus 0.48%)
2.04%		03/25/20	¹		16,800,000		16,808,287


							1,633,013,630

Communications — 2.75%
AT&T, Inc.
4.30%		02/15/30			27,050,000		30,012,369
4.30%		12/15/42			7,177,000		7,708,830
4.35%		06/15/45			39,711,000		43,042,485
4.50%		05/15/35			25,170,000		28,137,590


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
4.55%		03/09/49		$	18,550,000	$	20,633,530
4.75%		05/15/46			27,927,000		31,657,755
4.80%		06/15/44			106,112,000		120,804,018
4.85%		03/01/39			4,572,000		5,283,175
5.15%		11/15/46			14,600,000		17,508,225
5.25%		03/01/37			170,645,000		204,475,764
C&W Senior Financing DAC (Ireland)
6.88%		09/15/27	^2,3		3,150,000		3,375,705
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.38%		06/01/29	²		9,407,000		10,082,893
5.88%		04/01/24	²		3,638,000		3,768,368
Charter Communications Operating LLC/
Charter Communications Operating Capital
4.50%		02/01/24			672,000		723,664
4.91%		07/23/25			28,607,000		31,458,832
5.75%		04/01/48			5,190,000		6,058,859
6.48%		10/23/45			39,593,000		49,390,288
Cox Communications, Inc.
3.15%		08/15/24	²		14,235,000		14,664,076
CSC Holdings LLC
5.38%		07/15/23	²		200,000		205,417
5.38%		02/01/28	²		13,486,000		14,410,769
5.50%		05/15/26	²		598,000		634,515
6.50%		02/01/29	²		5,512,000		6,156,215
6.75%		11/15/21			4,216,000		4,546,956
Fox Corp.
5.58%		01/25/49	²		7,075,000		9,025,653
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		19,276,000		16,599,045
8.50%		10/15/24	^2,3		114,959,000		104,684,534
9.75%		07/15/25	^2,3		39,693,000		36,798,785
Koninklijke KPN NV (Netherlands)
8.38%		10/01/30	³		36,548,000		50,931,849
Level 3 Financing, Inc.
3.40%		03/01/27	²		23,480,000		23,688,502
3.88%		11/15/29	²		48,075,000		48,373,053
4.63%		09/15/27	²		25,890,000		26,554,079
5.38%		01/15/24			6,147,000		6,262,256
5.38%		05/01/25			4,763,000		4,959,474
5.63%		02/01/23			2,171,000		2,182,919
Qwest Corp.
7.25%		09/15/25			5,329,000		6,152,304
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	²		45,300,000		44,477,525
SES SA (Luxembourg)
3.60%		04/04/23	^2,3		16,882,000		17,276,239
Sprint Communications, Inc.
7.00%		03/01/20	²		32,849,000		33,062,847


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²	$	75,348,000	$	76,112,782
4.74%		03/20/25	²		53,975,000		57,315,783
5.15%		03/20/28	²		218,278,000		238,544,567
TEGNA, Inc.
5.50%		09/15/24	²		354,000		366,833
Time Warner Cable LLC
4.50%		09/15/42			20,757,000		21,267,808
5.50%		09/01/41			25,694,000		28,758,730
5.88%		11/15/40			41,652,000		48,306,324
T-Mobile USA, Inc.
4.50%		02/01/26			3,629,000		3,721,948
4.75%		02/01/28			15,999,000		16,763,926
6.00%		03/01/23			48,736,000		49,714,863
6.00%		04/15/24			50,500,000		52,266,995
6.50%		01/15/24			18,635,000		19,202,816
ViacomCBS, Inc.
2.90%		06/01/23			9,260,000		9,458,990
3.45%		10/04/26			2,913,000		2,992,366
3.70%		06/01/28			21,780,000		22,818,243
3.88%		04/01/24			39,132,000		41,465,053
4.25%		09/01/23			23,112,000		24,595,927
Virgin Media Secured Finance PLC (United Kingdom)
5.50%		08/15/26	^2,3		19,102,000		20,101,464
5.50%		05/15/29	^2,3		44,137,000		46,811,702
Vodafone Group PLC (United Kingdom)
4.13%		05/30/25	³		20,399,000		22,166,852
4.25%		09/17/50	³		59,630,000		62,513,075
4.88%		06/19/49	³		141,354,000		164,609,529
5.25%		05/30/48	³		86,277,000		103,802,990


							2,219,448,928

Consumer Discretionary — 0.70%
Anheuser-Busch Cos LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.90%		02/01/46			16,203,000		19,248,516
Anheuser-Busch InBev Worldwide, Inc.
4.60%		04/15/48			11,130,000		12,745,596
Bacardi Ltd. (Bermuda)
4.70%		05/15/28	^2,3		15,236,000		16,622,056
5.15%		05/15/38	^2,3		12,881,000		14,580,729
5.30%		05/15/48	^2,3		39,956,000		46,499,519
BAT Capital Corp.
4.39%		08/15/37			16,990,000		17,235,051
4.54%		08/15/47			63,657,000		64,030,444
4.76%		09/06/49			112,671,000		116,961,618
BAT International Finance PLC (EMTN) (United Kingdom)
2.25%		09/09/52	³		11,770,000		11,431,394


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Constellation Brands, Inc.
(LIBOR USD 3-Month plus 0.70%)
2.61%		11/15/21	¹	$	72,090,000	$	72,102,824
KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC
5.00%		06/01/24	²		982,000		1,019,645
5.25%		06/01/26	²		1,245,000		1,319,700
Reynolds American, Inc.
5.85%		08/15/45			83,976,000		96,526,238
6.88%		05/01/20			5,845,000		5,938,802
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA
5.75%		10/15/20			59,307,454		59,455,722
(LIBOR USD 3-Month plus 3.50%)
5.50%		07/15/21	^1,2		8,770,000		8,800,695
Spectrum Brands, Inc.
6.13%		12/15/24			1,340,000		1,387,759


							565,906,308

Electric — 1.52%
Alliant Energy Finance LLC
3.75%		06/15/23	²		34,081,000		35,598,920
American Electric Power Co., Inc., Series F
2.95%		12/15/22			4,511,000		4,599,685
American Electric Power Co., Inc., Series I
3.65%		12/01/21			14,300,000		14,754,504
American Electric Power Co., Inc., Series J
4.30%		12/01/28			18,405,000		20,499,950
Consolidated Edison Co. of New York, Inc.
3.70%		11/15/59			5,740,000		5,963,528
Consolidated Edison Co. of New York, Inc., Series E
4.65%		12/01/48			14,546,000		17,731,704
Dominion Energy, Inc.
2.45%		01/15/23	²		160,175,000		160,851,715
(LIBOR USD 3-Month plus 0.40%)
2.31%		12/01/20	^1,2		45,075,000		45,135,009
Duke Energy Carolinas LLC
4.00%		09/30/42			11,040,000		12,383,137
4.25%		12/15/41			16,358,000		18,737,253
Duquesne Light Holdings, Inc.
6.40%		09/15/20	²		19,829,000		20,353,160
Entergy Corp.
4.00%		07/15/22			12,632,000		13,171,198
5.13%		09/15/20			9,800,000		9,934,719
Evergy Metro, Inc.
3.65%		08/15/25			13,885,000		14,823,183
Evergy, Inc.
2.45%		09/15/24			38,140,000		38,408,153
4.85%		06/01/21			2,521,000		2,600,968


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Eversource Energy, Series N
3.80%		12/01/23		$	12,025,000	$	12,695,588
FirstEnergy Transmission LLC
4.35%		01/15/25	²		23,330,000		25,203,295
4.55%		04/01/49	²		13,175,000		15,111,193
5.45%		07/15/44	²		24,625,000		30,791,856
ITC Holdings Corp.
3.65%		06/15/24			5,165,000		5,420,862
Jersey Central Power & Light Co.
4.30%		01/15/26	²		4,980,000		5,426,941
4.70%		04/01/24	²		37,747,000		41,188,873
6.40%		05/15/36			11,630,000		14,980,516
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			75,000		83,206
LG&E & KU Energy LLC
4.38%		10/01/21			14,595,000		15,080,717
Metropolitan Edison Co.
3.50%		03/15/23	²		10,715,000		11,151,829
4.00%		04/15/25	²		35,719,000		37,628,597
4.30%		01/15/29	²		16,746,000		18,686,987
Minejesa Capital BV (Netherlands)
5.63%		08/10/37	^2,3		4,400,000		4,815,937
Mississippi Power Co.
(LIBOR USD 3-Month plus 0.65%)
2.60%		03/27/20	¹		5,776,000		5,778,286
Mong Duong Finance Holdings BV, Series REGS(Netherlands)
5.13%		05/07/29	³		1,500,000		1,541,250
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.48%)
2.38%		05/04/21	¹		190,430,000		190,739,001
(LIBOR USD 3-Month plus 0.55%)
2.46%		08/28/21	¹		158,500,000		158,528,039
Niagara Mohawk Power Corp.
4.28%		12/15/28	²		21,775,000		24,248,071
Pennsylvania Electric Co.
4.15%		04/15/25	²		28,335,000		30,298,752
5.20%		04/01/20			25,200,000		25,390,387
Perusahaan Listrik Negara PT, Series REGS (EMTN) (Indonesia)
6.15%		05/21/48	³		4,200,000		5,318,460
PNM Resources, Inc.
3.25%		03/09/21			34,295,000		34,704,790
Public Service Co. of New Mexico
3.85%		08/01/25			14,390,000		14,959,996
5.35%		10/01/21			5,065,000		5,329,847
Southwestern Electric Power Co.
3.55%		02/15/22			15,882,000		16,261,515
Southwestern Electric Power Co., Series K
2.75%		10/01/26			36,488,000		36,564,675


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Tucson Electric Power Co.
4.85%		12/01/48		$	3,755,000	$	4,589,725


							1,228,065,977

Energy — 2.43%
Antero Resources Corp.
5.00%		03/01/25			78,839,000		59,326,347
5.13%		12/01/22			19,299,000		17,324,529
5.63%		06/01/23			16,211,000		13,065,093
Centennial Resource Production LLC
5.38%		01/15/26	²		3,352,000		3,302,885
Ecopetrol SA (Colombia)
5.88%		05/28/45	³		3,600,000		4,243,680
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%		01/30/26	²		2,377,000		2,459,773
5.75%		01/30/28	²		2,109,000		2,220,988
Energy Transfer Operating LP
4.05%		03/15/25			9,899,000		10,431,501
4.90%		03/15/35			5,160,000		5,387,355
5.15%		03/15/45			63,992,000		66,848,427
5.25%		04/15/29			3,825,000		4,301,655
5.30%		04/15/47			8,913,000		9,530,284
5.50%		06/01/27			53,939,000		60,732,038
5.88%		01/15/24			6,601,000		7,318,859
6.13%		12/15/45			15,405,000		17,932,369
EQM Midstream Partners LP
5.50%		07/15/28			40,070,000		39,442,870
6.50%		07/15/48			4,310,000		4,061,423
EQT Corp.
3.90%		10/01/27			114,154,000		106,303,111
Gulfport Energy Corp.
6.38%		05/15/25			5,618,000		3,583,806
Hess Corp.
4.30%		04/01/27			10,000,000		10,672,952
5.60%		02/15/41			29,446,000		34,550,171
5.80%		04/01/47			23,445,000		28,756,546
HollyFrontier Corp.
5.88%		04/01/26			15,800,000		17,783,552
KazMunayGas National Co. JSC,
Series REGS (Kazakhstan)
5.38%		04/24/30	³		12,220,000		14,197,819
Kinder Morgan Energy Partners LP
5.00%		08/15/42			5,775,000		6,311,375
5.80%		03/15/35			6,730,000		8,159,828
Kinder Morgan, Inc.
5.30%		12/01/34			7,635,000		9,007,639
6.95%		06/01/28			5,465,000		6,650,501
Matador Resources Co.
5.88%		09/15/26			7,584,000		7,645,913


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
NGPL Pipe Co. LLC
4.38%		08/15/22	²	$	2,154,000	$	2,238,684
Noble Energy, Inc.
5.05%		11/15/44			8,018,000		8,972,179
Occidental Petroleum Corp.
3.50%		08/15/29			6,601,000		6,744,134
4.50%		07/15/44			16,496,000		16,691,534
Parsley Energy LLC/Parsley Finance Corp.
5.38%		01/15/25	²		1,163,000		1,200,786
5.63%		10/15/27	²		2,063,000		2,184,201
Peru LNG SRL, Series REGS (Peru)
5.38%		03/22/30	³		9,000,000		8,893,890
Petrobras Global Finance BV (Netherlands)
5.09%		01/15/30	^2,3		4,271,000		4,581,758
Petroleos del Peru SA, Series REGS (Peru)
4.75%		06/19/32	³		6,600,000		7,243,500
Petroleos Mexicanos (Mexico)
6.50%		01/23/29	³		67,741,000		71,318,572
6.63%		06/15/35	³		47,637,000		48,967,740
6.75%		09/21/47	³		151,145,000		152,475,076
7.69%		01/23/50	^2,3		103,432,000		113,235,285
Plains All American Pipeline LP/PAA Finance Corp.
3.55%		12/15/29			13,555,000		13,399,731
3.85%		10/15/23			1,442,000		1,494,262
4.65%		10/15/25			68,643,000		73,400,588
Range Resources Corp.
4.88%		05/15/25			33,082,000		28,367,815
5.00%		08/15/22			250,000		245,625
Rockies Express Pipeline LLC
4.95%		07/15/29	²		70,835,000		70,708,053
5.63%		04/15/20	²		36,054,000		36,497,904
6.88%		04/15/40	²		44,792,000		46,737,541
Ruby Pipeline LLC
6.50%		04/01/22	²		69,646,000		72,083,610
Sabine Pass Liquefaction LLC
4.20%		03/15/28			59,832,000		63,252,601
5.63%		03/01/25			8,892,000		10,008,351
5.75%		05/15/24			14,816,000		16,505,984
Southern Co. Gas Capital Corp.
2.45%		10/01/23			49,306,000		49,708,904
5.88%		03/15/41			12,990,000		16,434,825
Spectra Energy Partners LP
4.60%		06/15/21			6,115,000		6,299,846
4.75%		03/15/24			8,777,000		9,573,094
Sunoco Logistics Partners Operations LP
3.90%		07/15/26			22,829,000		23,736,699
5.30%		04/01/44			6,630,000		7,067,654
5.40%		10/01/47			37,613,000		40,800,563


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	$	9,753,000	$	10,843,873
TC PipeLines LP
3.90%		05/25/27			68,834,000		72,035,897
4.38%		03/13/25			44,100,000		47,069,584
4.65%		06/15/21			6,108,000		6,286,222
TransMontaigne Partners LP/ TLP Finance Corp.
6.13%		02/15/26			8,365,000		8,221,519
Transocean Phoenix 2 Ltd. (Cayman Islands)
7.75%		10/15/24	^2,3		17,929,800		19,057,853
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^2,3		21,780,080		22,378,814
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^2,3		31,359,000		33,313,371
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^2,3		15,718,500		16,235,874
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26			2,230,000		2,345,679
6.88%		09/01/27			11,920,000		12,437,924
Williams Cos., Inc. (The)
3.35%		08/15/22			7,025,000		7,208,808
3.90%		01/15/25			5,542,000		5,840,006
4.50%		11/15/23			10,305,000		10,982,898
4.55%		06/24/24			19,130,000		20,644,139
5.10%		09/15/45			4,763,000		5,287,741
6.30%		04/15/40			32,635,000		40,485,886
7.88%		09/01/21			3,543,000		3,864,933


							1,957,165,299

Finance — 3.78%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.50%		05/26/22	³		19,610,000		20,106,510
3.95%		02/01/22	³		103,535,000		107,008,680
4.45%		12/16/21	³		17,150,000		17,880,809
4.88%		01/16/24	³		9,985,000		10,817,571
5.00%		10/01/21	³		46,362,000		48,625,537
Air Lease Corp.
2.13%		01/15/20			5,150,000		5,149,748
2.25%		01/15/23			18,850,000		18,881,476
3.00%		09/15/23			10,870,000		11,107,994
3.25%		03/01/25			15,100,000		15,484,078
4.75%		03/01/20			2,310,000		2,319,354
Alta Wind Holdings LLC
7.00%		06/30/35	^2,4,5		17,035,037		19,021,141


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Avolon Holdings Funding Ltd. (Cayman Islands)
5.13%		10/01/23	^2,3	$	35,897,000	$	38,797,298
5.25%		05/15/24	^2,3		11,950,000		13,059,078
5.50%		01/15/23	^2,3		14,689,000		15,878,736
Citigroup, Inc.
3.14%		01/24/23	⁸		26,870,000		27,407,670
3.88%		10/25/23			11,880,000		12,623,003
Daimler Finance North America LLC
2.00%		07/06/21	²		89,345,000		89,196,900
2.20%		05/05/20	²		5,950,000		5,947,874
2.20%		10/30/21	²		13,040,000		13,065,302
2.30%		01/06/20	²		11,400,000		11,400,025
3.75%		11/05/21	²		6,858,000		7,051,495
(LIBOR USD 3-Month plus 0.90%)
2.81%		02/15/22	^1,2		54,915,000		55,355,648
Discover Financial Services
3.85%		11/21/22			8,794,000		9,199,267
Ford Motor Credit Co. LLC
2.34%		11/02/20			47,243,000		47,185,567
2.43%		06/12/20			40,044,000		40,022,731
2.46%		03/27/20			10,555,000		10,559,011
2.68%		01/09/20			3,820,000		3,822,384
3.16%		08/04/20			36,578,000		36,720,651
3.20%		01/15/21			15,464,000		15,548,085
3.22%		01/09/22			92,258,000		92,966,846
3.34%		03/18/21			40,035,000		40,315,263
3.34%		03/28/22			22,257,000		22,459,886
3.47%		04/05/21			20,000,000		20,190,353
3.81%		10/12/21			49,689,000		50,623,505
4.25%		09/20/22			19,823,000		20,496,982
5.09%		01/07/21			76,500,000		78,346,686
5.60%		01/07/22			51,828,000		54,636,805
5.75%		02/01/21			22,250,000		22,953,656
5.88%		08/02/21			83,222,000		87,149,031
8.13%		01/15/20			52,902,000		53,011,289
(LIBOR USD 3-Month plus 0.81%)
2.71%		04/05/21	¹		13,705,000		13,652,237
(LIBOR USD 3-Month plus 0.88%)
2.88%		10/12/21	¹		58,530,000		58,043,847
(LIBOR USD 3-Month plus 1.00%)
3.01%		01/09/20	¹		15,800,000		15,802,252
(LIBOR USD 3-Month plus 1.08%)
2.98%		08/03/22	¹		11,790,000		11,630,243
(LIBOR USD 3-Month plus 1.27%)
3.23%		03/28/22	¹		62,180,000		61,743,956
(LIBOR USD 3-Month plus 3.14%)
5.01%		01/07/22	¹		12,075,000		12,481,591


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
GE Capital International Funding Co. (Ireland)
2.34%		11/15/20	³	$	313,850,000	$	313,646,045
3.37%		11/15/25	³		7,730,000		8,029,495
4.42%		11/15/35	³		344,626,000		369,274,310
General Motors Financial Co., Inc.
2.45%		11/06/20			12,861,000		12,893,784
3.20%		07/13/20			25,722,000		25,842,149
3.20%		07/06/21			11,730,000		11,894,853
3.55%		04/09/21			65,795,000		67,057,787
3.70%		11/24/20			4,574,000		4,629,086
4.20%		03/01/21			26,759,000		27,331,052
4.20%		11/06/21			93,670,000		97,051,637
4.38%		09/25/21			62,530,000		64,808,902
Goldman Sachs Group, Inc. (The)
2.91%		06/05/23	⁸		4,605,000		4,679,034
2.91%		07/24/23	⁸		8,399,000		8,549,218
3.27%		09/29/25	⁸		138,024,000		142,814,261
5.25%		07/27/21			38,045,000		39,935,152
5.75%		01/24/22			9,580,000		10,272,496
Goldman Sachs Group, Inc. (The) (GMTN)
5.38%		03/15/20			60,000		60,410
Goldman Sachs Group, Inc. (The) (MTN)
3.85%		07/08/24			28,407,000		30,178,189
Goldman Sachs Group, Inc. (The), Series D (MTN)
6.00%		06/15/20			9,225,000		9,388,579
Morgan Stanley (GMTN)
5.50%		01/26/20			4,000,000		4,008,563
Nationwide Building Society (United Kingdom)
3.62%		04/26/23	^2,3,8		7,320,000		7,533,110
3.77%		03/08/24	^2,3,8		39,750,000		41,174,940
4.36%		08/01/24	^2,3,8		94,478,000		100,285,613
Park Aerospace Holdings Ltd. (Cayman Islands)
3.63%		03/15/21	^2,3		8,990,000		9,090,144
4.50%		03/15/23	^2,3		34,956,000		36,798,856
5.25%		08/15/22	^2,3		16,167,000		17,269,783
5.50%		02/15/24	^2,3		31,504,000		34,627,937
Pipeline Funding Co. LLC
7.50%		01/15/30	²		25,571,823		32,657,213
Raymond James Financial, Inc.
4.95%		07/15/46			55,981,000		65,547,434


							3,043,078,083

Food — 1.02%
Campbell Soup Co.
3.30%		03/15/21			12,230,000		12,415,290
(LIBOR USD 3-Month plus 0.50%)
2.39%		03/16/20	¹		81,235,000		81,264,159


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
(LIBOR USD 3-Month plus 0.63%)
2.52%		03/15/21	¹	$	5,663,000	$	5,677,157
Conagra Brands, Inc.
4.60%		11/01/25			24,443,000		27,024,829
(LIBOR USD 3-Month plus 0.50%)
2.38%		10/09/20	¹		8,270,000		8,283,405
(LIBOR USD 3-Month plus 0.75%)
2.70%		10/22/20	¹		30,650,000		30,653,155
JBS USA LUX SA/JBS USA Finance, Inc. (Canada)
5.75%		06/15/25	^2,3		4,650,000		4,832,367
Kraft Heinz Foods Co.
3.95%		07/15/25			25,025,000		26,518,677
4.00%		06/15/23			27,350,000		28,808,351
4.38%		06/01/46			114,646,000		113,292,779
4.63%		10/01/39	²		79,995,000		83,509,901
4.88%		10/01/49	²		74,640,000		78,907,477
5.00%		06/04/42			65,913,000		70,569,643
5.20%		07/15/45			63,676,000		69,258,498
6.50%		02/09/40			5,500,000		6,687,713
6.75%		03/15/32			3,475,000		4,380,010
6.88%		01/26/39			47,744,000		59,531,254
Kroger Co. (The)
5.40%		01/15/49			82,978,000		101,327,913
Post Holdings, Inc.
5.50%		12/15/29	²		7,253,000		7,747,292


							820,689,870

Gaming — 0.00%
Churchill Downs, Inc.
5.50%		04/01/27	²		176,000		186,780


Health Care — 3.61%
AbbVie, Inc.
4.05%		11/21/39	²		90,000,000		94,915,684
4.25%		11/21/49	²		73,865,000		78,767,424
4.40%		11/06/42			89,816,000		97,713,083
4.45%		05/14/46			25,146,000		27,208,752
4.50%		05/14/35			28,229,000		31,889,245
4.88%		11/14/48			27,974,000		32,453,461
Aetna, Inc.
4.13%		11/15/42			6,375,000		6,570,983
Allergan Finance LLC
3.25%		10/01/22			24,252,000		24,836,725
Allergan Funding SCS (Luxembourg)
3.80%		03/15/25	³		88,527,000		93,216,426
3.85%		06/15/24	³		47,143,000		49,550,564
4.85%		06/15/44	³		6,130,000		6,691,666
Anthem, Inc.
2.38%		01/15/25			15,565,000		15,565,055
2.88%		09/15/29			61,283,000		61,307,669


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
3.30%		01/15/23		$	20,420,000	$	21,142,390
3.35%		12/01/24			47,275,000		49,377,493
3.50%		08/15/24			22,515,000		23,661,749
3.65%		12/01/27			39,165,000		41,510,072
Bausch Health Americas, Inc.
9.25%		04/01/26	²		2,722,000		3,129,754
Bausch Health Cos., Inc. (Canada)
5.75%		08/15/27	^2,3		639,000		694,497
6.50%		03/15/22	^2,3		20,860,000		21,355,425
7.00%		03/15/24	^2,3		29,108,000		30,333,010
Bayer U.S. Finance II LLC
3.88%		12/15/23	²		18,329,000		19,253,169
3.95%		04/15/45	²		10,790,000		10,438,654
4.25%		12/15/25	²		26,732,000		28,872,039
4.38%		12/15/28	²		301,010,000		328,854,120
4.40%		07/15/44	²		48,766,000		49,453,393
4.63%		06/25/38	²		22,158,000		24,125,050
4.88%		06/25/48	²		58,801,000		67,818,621
5.50%		08/15/25	²		13,932,000		15,466,506
Bayer U.S. Finance LLC
3.38%		10/08/24	²		9,000,000		9,271,924
Becton Dickinson and Co.
3.25%		11/12/20			42,315,000		42,725,527
3.30%		03/01/23			10,000,000		10,255,990
(LIBOR USD 3-Month plus 0.88%)
2.84%		12/29/20	¹		100,723,000		100,774,210
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	²		7,001,000		7,265,970
Centene Corp.
4.75%		05/15/22			575,000		587,523
4.75%		01/15/25			2,785,000		2,898,670
5.38%		06/01/26	²		1,000,000		1,059,201
6.13%		02/15/24			28,000,000		29,085,000
CHS/Community Health Systems, Inc.
8.00%		03/15/26	²		2,618,000		2,718,664
8.63%		01/15/24	²		5,038,000		5,352,825
Cigna Corp.
3.05%		10/15/27	²		91,451,000		92,737,812
3.75%		07/15/23			32,070,000		33,680,292
3.88%		10/15/47	²		14,672,000		14,978,696
4.50%		02/25/26	²		11,097,000		12,193,514
4.80%		08/15/38			40,478,000		47,362,898
4.80%		07/15/46	²		41,113,000		47,908,810
(LIBOR USD 3-Month plus 0.35%)
2.25%		03/17/20	¹		25,000,000		24,999,675
(LIBOR USD 3-Month plus 0.89%)
2.89%		07/15/23	¹		62,890,000		63,267,417
CVS Health Corp.
2.13%		06/01/21			2,865,000		2,870,625


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
3.25%		08/15/29		$	16,710,000	$	17,017,239
4.78%		03/25/38			74,706,000		85,067,004
4.88%		07/20/35			22,450,000		25,819,947
5.05%		03/25/48			226,373,000		268,685,926
5.13%		07/20/45			8,600,000		10,218,390
Elanco Animal Health, Inc.
3.91%		08/27/21			20,850,000		21,395,708
4.27%		08/28/23			6,000,000		6,356,605
4.90%		08/28/28			11,850,000		12,905,714
Encompass Health Corp.
4.75%		02/01/30			44,743,000		46,503,637
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	²		3,850,000		3,896,085
5.88%		01/31/22	²		8,964,000		9,595,212
HCA, Inc.
4.13%		06/15/29			19,930,000		21,183,936
5.00%		03/15/24			14,635,000		16,013,745
5.25%		04/15/25			21,815,000		24,437,457
5.25%		06/15/26			14,502,000		16,270,052
5.25%		06/15/49			165,477,000		185,559,921
5.50%		06/15/47			7,550,000		8,729,723
Humana, Inc.
3.13%		08/15/29			39,779,000		40,661,069
3.95%		08/15/49			42,345,000		44,307,502
Molina Healthcare, Inc.
4.88%		06/15/25	²		7,820,000		8,057,845
5.38%		11/15/22			3,843,000		4,095,673
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26			6,845,000		6,917,556
Teleflex, Inc.
4.63%		11/15/27			4,186,000		4,442,392
Tenet Healthcare Corp.
4.63%		07/15/24			12,180,000		12,494,670
4.63%		09/01/24	²		19,912,000		20,785,141
4.88%		01/01/26	²		3,566,000		3,739,486
5.13%		11/01/27	²		18,639,000		19,710,743
UnitedHealth Group, Inc.
4.75%		07/15/45			34,236,000		42,306,091
Zimmer Biomet Holdings, Inc.
2.70%		04/01/20			250,000		250,170
(LIBOR USD 3-Month plus 0.75%)
2.65%		03/19/21	¹		16,850,000		16,851,764


							2,912,444,325

Industrials — 0.84%
Amcor Finance USA, Inc.
3.63%		04/28/26	²		11,781,000		12,138,899
4.50%		05/15/28	²		4,210,000		4,506,687


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
4.13%		08/15/26	^2,3	$	6,929,000	$	7,119,549
4.25%		09/15/22	^2,3		5,000,000		5,054,301
Ball Corp.
4.00%		11/15/23			9,502,000		10,012,733
General Electric Co.
4.13%		10/09/42			8,300,000		8,581,063
General Electric Co. (GMTN)
4.63%		01/07/21			80,088,000		81,924,045
5.50%		01/08/20			34,772,000		34,786,340
6.88%		01/10/39			4,273,000		5,720,132
General Electric Co. (MTN)
4.38%		09/16/20			5,815,000		5,908,031
4.65%		10/17/21			61,362,000		63,993,154
5.55%		05/04/20			38,121,000		38,504,863
5.88%		01/14/38			114,759,000		138,845,187
(LIBOR USD 3-Month plus 0.38%)
2.27%		05/05/26	¹		2,890,000		2,794,691
(LIBOR USD 3-Month plus 0.48%)
2.39%		08/15/36	¹		11,550,000		9,119,301
General Electric Co., Series A (MTN)
6.75%		03/15/32			72,763,000		93,549,709
General Electric Co., Series NOTZ (MTN)
(LIBOR USD 3-Month plus 0.80%)
2.80%		04/15/20	¹		5,250,000		5,255,812
Graphic Packaging International LLC
4.13%		08/15/24			1,325,000		1,378,550
4.75%		07/15/27	²		7,623,000		8,189,961
4.88%		11/15/22			5,635,000		5,918,508
L3Harris Technologies, Inc.
3.95%		05/28/24	²		17,890,000		19,004,718
OI European Group BV (Netherlands)
4.00%		03/15/23	^2,3		3,364,000		3,399,036
Sealed Air Corp.
4.88%		12/01/22	²		6,050,000		6,419,775
5.13%		12/01/24	²		3,255,000		3,515,400
5.25%		04/01/23	²		3,800,000		4,058,077
5.50%		09/15/25	²		21,591,000		23,813,038
Silgan Holdings, Inc.
4.75%		03/15/25			3,558,000		3,648,427
Trivium Packaging Finance BV (Netherlands)
5.50%		08/15/26	^2,3		15,897,000		16,781,255
United Technologies Corp.
8.75%		03/01/21			7,320,000		7,888,881
(LIBOR USD 3-Month plus 0.65%)
2.55%		08/16/21	¹		32,520,000		32,524,359


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
WRKCo, Inc.
4.90%		03/15/29		$	7,223,000	$	8,204,176


							672,558,658

Information Technology — 0.27%
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20			7,584,000		7,584,456
3.00%		01/15/22			71,599,000		72,680,198
Broadcom, Inc.
3.13%		04/15/21	²		24,920,000		25,228,714
3.13%		10/15/22	²		77,850,000		79,339,721
IQVIA, Inc.
5.00%		05/15/27	²		14,032,000		14,873,926
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^2,3		4,600,000		4,775,653
4.13%		06/01/21	^2,3		14,665,000		15,040,998
SS&C Technologies, Inc.
5.50%		09/30/27	²		635,000		679,053


							220,202,719

Insurance — 0.33%
Farmers Exchange Capital
7.05%		07/15/28	²		13,283,000		16,281,602
7.20%		07/15/48	²		18,265,000		23,734,874
Farmers Exchange Capital II
6.15%		11/01/53	^2,8		61,460,000		75,058,025
Farmers Exchange Capital III
5.45%		10/15/54	^2,8		68,575,000		77,918,344
Farmers Insurance Exchange
4.75%		11/01/57	^2,8		17,070,000		17,814,814
Nationwide Mutual Insurance Co.
4.18%		12/15/24	^2,8		35,189,000		35,057,041
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^2,8		19,825,000		20,741,906


							266,606,606

Materials — 0.18%
Indonesia Asahan Aluminum Persero PT (Indonesia)
6.53%		11/15/28	^2,3		4,000,000		4,925,000
International Flavors & Fragrances, Inc.
5.00%		09/26/48			119,009,000		133,559,255
Sasol Financing USA LLC
5.88%		03/27/24			8,420,000		9,148,856


							147,633,111


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 1.05%
American Campus Communities Operating Partnership LP
3.35%		10/01/20		$	14,995,000	$	15,120,007
3.63%		11/15/27			7,095,000		7,475,013
3.75%		04/15/23			45,679,000		47,590,604
4.13%		07/01/24			4,095,000		4,370,248
AvalonBay Communities, Inc. (GMTN)
3.95%		01/15/21			6,025,000		6,123,132
AvalonBay Communities, Inc. (MTN)
(LIBOR USD 3-Month plus 0.43%)
2.43%		01/15/21	¹		60,530,000		60,523,621
Boston Properties LP
3.20%		01/15/25			39,740,000		41,279,307
Digital Realty Trust LP
3.63%		10/01/22			5,490,000		5,678,144
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			23,640,000		24,144,359
4.38%		04/15/21			13,411,000		13,710,334
5.25%		06/01/25			65,037,000		71,390,474
5.30%		01/15/29			34,705,000		38,786,655
5.38%		11/01/23			31,616,000		34,519,291
5.38%		04/15/26			63,032,000		69,792,182
5.75%		06/01/28			34,128,000		38,828,193
Healthcare Realty Trust, Inc.
3.75%		04/15/23			20,945,000		21,639,566
3.88%		05/01/25			20,446,000		21,469,272
Healthcare Trust of America Holdings LP
3.75%		07/01/27			18,945,000		20,027,209
Healthpeak Properties, Inc.
3.15%		08/01/22			10,530,000		10,784,428
3.88%		08/15/24			14,274,000		15,153,129
4.20%		03/01/24			15,709,000		16,779,924
4.25%		11/15/23			36,440,000		38,910,679
Hudson Pacific Properties LP
3.95%		11/01/27			2,000,000		2,096,572
4.65%		04/01/29			9,585,000		10,560,667
Kilroy Realty LP
3.45%		12/15/24			28,590,000		29,605,131
Kimco Realty Corp.
3.40%		11/01/22			5,185,000		5,359,439
Life Storage LP
3.88%		12/15/27			6,960,000		7,348,068
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.50%		01/15/28			1,292,000		1,350,589
Mid-America Apartments LP
4.30%		10/15/23			9,636,000		10,318,566
Reckson Operating Partnership LP
7.75%		03/15/20			29,371,000		29,696,296


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
SBA Communications Corp.
4.88%		09/01/24		$	2,494,000	$	2,596,877
SL Green Operating Partnership LP
3.25%		10/15/22			44,126,000		45,265,183
(LIBOR USD 3-Month plus 0.98%)
2.88%		08/16/21	¹		21,635,000		21,639,590
SL Green Realty Corp.
4.50%		12/01/22			15,745,000		16,605,196
Ventas Realty LP
3.50%		02/01/25			12,540,000		13,104,741
3.75%		05/01/24			9,555,000		10,052,377
Ventas Realty LP/Ventas Capital Corp.
3.25%		08/15/22			7,357,000		7,557,608
WEA Finance LLC
3.15%		04/05/22	²		6,330,000		6,473,140


							843,725,811

Retail — 0.26%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^2,3		3,803,000		3,846,003
3.55%		07/26/27	^2,3		9,320,000		9,591,610
Dollar Tree, Inc.
(LIBOR USD 3-Month plus 0.70%)
2.70%		04/17/20	¹		40,895,000		40,902,840
Family Dollar Stores, Inc.
5.00%		02/01/21			17,730,000		18,275,055
Rite Aid Corp.
6.13%		04/01/23	²		78,524,000		72,438,390
Walgreens Boots Alliance, Inc.
3.45%		06/01/26			38,545,000		39,247,661
3.80%		11/18/24			10,315,000		10,747,896
4.80%		11/18/44			13,049,000		13,244,555


							208,294,010

Services — 0.22%
DP World Crescent Ltd. (Cayman Islands)
4.85%		09/26/28	^2,3		6,600,000		7,251,750
GFL Environmental, Inc. (Canada)
5.13%		12/15/26	^2,3		4,080,000		4,299,830
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^2,3		17,806,000		18,808,656
4.13%		08/01/23	³		38,500,000		40,957,070
4.75%		02/15/25	^2,3		34,276,000		37,529,135
4.75%		08/01/28	³		2,632,000		2,937,542
5.00%		11/01/22	^2,3		59,254,000		63,239,194
Service Corp. International/U.S.
4.63%		12/15/27			1,922,000		2,008,149


							177,031,326


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 0.40%
America West Airlines Pass-Through Trust, Series 2001-1, Class G
7.10%		04/02/21		$	3,408,540	$	3,501,513
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			1,774,050		1,819,279
American Airlines Pass-Through Trust, Series 2013-1, Class A
4.00%		07/15/25			13,860,366		14,541,822
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23			51,102,076		53,298,326
American Airlines Pass-Through Trust, Series 2017-2, Class AA
3.35%		10/15/29			18,325,798		18,821,617
Continental Airlines Pass-Through Trust, Series 1999-2 AMBC, Class C2
6.24%		03/15/20			5,653		5,667
Continental Airlines Pass-Through Trust, Series 1999-2, Class A1
7.26%		03/15/20			473,250		476,238
Continental Airlines Pass-Through Trust, Series 2000-1, Class A1
8.05%		11/01/20			4,119		4,180
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		04/02/21			898,257		921,377
Continental Airlines Pass-Through Trust, Series 2007-1, Class A
5.98%		04/19/22			58,763,382		61,867,828
Continental Airlines Pass-Through Trust, Series 2007-1, Class B
6.90%		04/19/22			329,923		347,505
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			32,770,488		35,015,961
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1
7.04%		04/01/22			3,002,354		3,268,542
SMBC Aviation Capital Finance DAC (Ireland)
3.00%		07/15/22	^2,3		20,315,000		20,684,202
U.S. Airways Pass-Through Trust, Series 2001-1, Class G
7.08%		03/20/21			456,976		475,259
U.S. Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			15,304,050		16,626,080
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
7.13%		10/22/23			2,881,776		3,252,702
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			36,503,565		40,602,151


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust, Series 2012-2, Class A
4.63%		06/03/25		$	8,851	$	9,561
United Airlines Pass-Through Trust, Series 2013-1, Class A
4.30%		08/15/25			14,179,885		15,230,635
United Airlines Pass-Through Trust, Series 2018-1, Class AA
3.50%		03/01/30			33,451,488		34,838,400


							325,608,845


Water — 0.09%
American Water Capital Corp.
3.45%		06/01/29			71,513,000		75,552,473

Total Corporates (Cost $16,531,944,817)							17,330,760,186


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		5,566,563
Brazilian Government International Bond (Brazil)
4.63%		01/13/28	³		5,700,000		6,141,750
Colombia Government International Bond (Colombia)
3.88%		04/25/27	³		4,700,000		4,974,480
Dominican Republic International Bond, Series REGS (Dominican Republic)
6.00%		07/19/28	³		8,500,000		9,469,914
Egypt Government International Bond (Egypt)
5.58%		02/21/23	^2,3		4,700,000		4,922,075
Mexico Government International Bond (Mexico)
3.75%		01/11/28	³		7,500,000		7,805,625
Oman Government International Bond (Oman)
5.63%		01/17/28	^2,3		9,400,000		9,750,620
Perusahaan Penerbit SBSN Indonesia III, Series REGS (Indonesia)
4.15%		03/29/27	³		5,100,000		5,490,150
Qatar Government International Bond (Qatar)
4.50%		04/23/28	³		8,430,000		9,674,268
Russian Foreign Bond - Eurobond, Series REGS (Russia)
4.75%		05/27/26	³		9,400,000		10,497,920
Saudi Government International Bond, Series REGS (EMTN) (Saudi Arabia)
4.50%		10/26/46	³		3,800,000		4,219,900


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Saudi Government International Bond (Saudi Arabia)
4.00%		04/17/25	^2,3	$	8,420,000	$	9,092,707
South Africa Government International Bond (South Africa)
4.67%		01/17/24	³		7,500,000		7,842,000
Uruguay Government International Bond (Uruguay)
4.38%		01/23/31	³		6,570,000		7,360,043


Total Foreign Government Obligations (Cost $94,894,378)							102,808,015


MORTGAGE-BACKED — 41.77%**
Non-Agency Commercial
Mortgage-Backed — 1.79%
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A
4.09%		08/10/38	^2,8		122,855,000		135,296,280
Banc of America Merrill Lynch Trust, Series 2011-FSHN, Class A
4.42%		07/11/33	²		7,740,000		7,995,513
Bayview Commercial Asset Trust, Series 2004-1, Class A
(LIBOR USD 1-Month plus 0.54%)
2.33%		04/25/34	^1,2		25,023		24,912
Bayview Commercial Asset Trust, Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.43%)
2.22%		08/25/34	^1,2		235,944		232,617
BB-UBS Trust, Series 2012-SHOW, Class A
3.43%		11/05/36	²		8,640,000		8,985,720
CALI Mortgage Trust, Series 2019-101C, Class A
3.96%		03/10/39	²		80,200,000		87,647,308
CALI Mortgage Trust, Series 2019-101C, Class XA (IO)
0.30%		03/10/39	^2,8		272,551,000		7,049,150
Capmark Mortgage Securities, Inc., Series 1998-C2, Class X (IO)
1.11%		05/15/35	⁸		2,614,779		16,844
Century Plaza Towers, Series 2019-CPT, Class A
2.87%		11/13/39	²		32,595,000		32,820,784
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A
3.37%		03/13/35	²		42,582,744		44,326,443
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A
3.25%		05/10/35	²		5,000		5,142


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	²	$	14,635,000	$	15,504,375
Commercial Mortgage Trust, Series 2013-CR12, Class A4
4.05%		10/10/46			440,000		464,758
Commercial Mortgage Trust, Series 2013-SFS, Class A2
2.99%		04/12/35	^2,8		7,205,000		7,351,904
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^2,8		15,960,000		16,830,909
Commercial Mortgage Trust, Series 2015-3BP, Class A
3.18%		02/10/35	²		16,440,000		17,043,606
Commercial Mortgage Trust, Series 2016-787S, Class A
3.55%		02/10/36	²		74,550,000		78,255,333
DC Office Trust, Series 2019-MTC, Class A
2.97%		09/15/45	²		31,080,000		31,545,190
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A
3.55%		09/10/35	^2,8		1,362,500		1,428,574
GE Business Loan Trust, Series 2007-1A, Class A
(LIBOR USD 1-Month plus 0.17%)
1.91%		04/15/35	^1,2		5,995,343		5,883,168
GRACE Mortgage Trust, Series 2014-GRCE, Class A
3.37%		06/10/28	²		73,520,000		74,311,983
GS Mortgage Securities Trust, Series 2010-C2, Class A1
3.85%		12/10/43	²		1,335,802		1,343,199
GS Mortgage Securities Trust, Series 2011-GC5, Class A4
3.71%		08/10/44			67,335,000		68,448,421
GS Mortgage Securities Trust, Series 2012-ALOH, Class A
3.55%		04/10/34	²		59,497,000		60,860,909
Hudson Yards Mortgage Trust, Series 2019-30HY, Class A
3.23%		07/10/39	²		84,860,000		88,571,310
Hudson Yards Mortgage Trust, Series 2019-55HY, Class A
3.04%		12/10/41	²		80,970,000		82,431,347
Irvine Core Office Trust, Series 2013-IRV, Class A1
2.07%		05/15/48	²		5,116,888		5,099,695
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class A3
4.17%		08/15/46			10,701,064		10,994,921


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class A
3.09%		07/05/32	²	$	40,536,723	$	41,381,070
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 2A3
5.62%		03/25/37	^2,8		1,524,129		1,538,142
Morgan Stanley Capital I Trust, Series 2014-MP, Class A
3.47%		08/11/33	²		94,742,500		96,540,163
One Bryant Park Trust, Series 2019-OBP, Class A
2.52%		09/15/54	²		147,597,000		144,026,097
Queens Center Mortgage Trust, Series 2013-QCA, Class A
3.28%		01/11/37	²		15,810,000		16,333,684
RBS Commercial Funding, Inc., Trust, Series 2013-GSP, Class A
3.83%		01/15/32	^2,8		103,085,000		108,338,938
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1
3.87%		01/05/43	^2,8		48,415,000		49,352,726
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2B
4.14%		01/05/43	^2,8		10,145,000		10,548,955
VNDO Mortgage Trust, Series 2012-6AVE, Class A
3.00%		11/15/30	²		29,803,200		30,353,176
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2
4.39%		11/15/43	²		818,760		823,775
WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3
3.00%		08/15/45			47,205,000		48,102,244


							1,438,109,285

Non-Agency Mortgage-Backed — 6.45%
Aames Mortgage Trust, Series 2002-1, Class A3
(STEP-reset date 02/25/20)
7.40%		06/25/32			39,830		39,888
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
2.01%		02/25/37	¹		45,569,068		45,122,077
ACE Securities Corp. Home Equity Loan Trust, Series 2004-IN1, Class A1
(LIBOR USD 1-Month plus 0.64%)
2.43%		05/25/34	¹		3,699		3,576
ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.15%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
1.94%		06/25/36	¹	$	3,286,974	$	2,677,516
ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP2, Class A1
(LIBOR USD 1-Month plus 0.19%)
1.98%		06/25/37	¹		42,419,210		34,252,434
Adjustable Rate Mortgage Trust, Series 2005-10, Class 6A1
(LIBOR USD 1-Month plus 0.54%)
2.33%		01/25/36	¹		297,869		281,949
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
(LIBOR USD 1-Month plus 0.23%)
2.02%		09/25/35	¹		50,971		51,105
Adjustable Rate Mortgage Trust, Series 2006-3, Class 4A32
(LIBOR USD 1-Month plus 0.20%)
1.99%		08/25/36	¹		7,216,753		7,265,008
Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			7,293		7,571
Alternative Loan Trust, Series 2005-38, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.50%)
3.74%		09/25/35	¹		541,854		536,977
Alternative Loan Trust, Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
3.24%		02/25/36	¹		55,457,223		54,641,567
Alternative Loan Trust, Series 2005-84, Class 1A1
3.48%		02/25/36	⁸		60,543		48,151
Alternative Loan Trust, Series 2006-HY13, Class 4A1
4.24%		02/25/37	⁸		1,528,396		1,502,889
Alternative Loan Trust, Series 2006-OC5, Class 2A2A
(LIBOR USD 1-Month plus 0.17%)
1.96%		06/25/46	¹		298,320		295,139
Alternative Loan Trust, Series 2007-J1, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
1.99%		03/25/37	¹		629,274		209,823
American Home Mortgage Assets Trust, Series 2006-3, Class 2A12
(Federal Reserve US 12-Month Cumulative Average plus 1.15%)
3.39%		10/25/46	¹		46,485,347		42,087,550
American Home Mortgage Assets Trust, Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.13%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
1.92%		03/25/47	¹	$	14,000,266	$	13,042,521
American Home Mortgage Investment Trust, Series 2004-3, Class 2A
(LIBOR USD 6-Month plus 1.50%)
3.42%		10/25/34	¹		6,210,275		6,254,959
Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M1
(LIBOR USD 1-Month plus 0.39%)
2.18%		03/25/36	¹		16,139,895		16,133,792
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-R10, Class A1
(LIBOR USD 1-Month plus 0.66%)
2.45%		11/25/34	¹		22,148,405		22,031,686
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-R11, Class M1
(LIBOR USD 1-Month plus 0.45%)
2.24%		01/25/36	¹		11,116,370		11,187,401
Amresco Residential Securities Corp. Mortgage Loan Trust, Series 1998-1, Class A5 (STEP-reset date 02/25/20)
7.12%		10/25/27			43,100		45,599
Argent Securities, Inc., Asset-Backed Pass-Through Certificates Series 2005-W3, Class M1
(LIBOR USD 1-Month plus 0.44%)
2.23%		11/25/35	¹		19,840,000		19,690,168
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-W2, Class A1
(LIBOR USD 1-Month plus 0.26%)
2.05%		10/25/35	¹		3,052,106		3,060,499
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-W3, Class A1
(LIBOR USD 1-Month plus 0.26%)
2.05%		11/25/35	¹		24,495,113		24,206,325
Asset-Backed Funding Certificates, Series 2005-HE1, Class M1
(LIBOR USD 1-Month plus 0.63%)
2.42%		03/25/35	¹		5,882,067		5,898,970
Asset-Backed Funding Certificates, Series 2006-OPT3, Class A3B
(LIBOR USD 1-Month plus 0.16%)
1.95%		11/25/36	¹		51,614,743		30,942,161
Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2A
(LIBOR USD 1-Month plus 0.75%)
2.54%		06/25/37	¹		30,898,229		27,385,020


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%)
2.79%		06/25/37	¹	$	22,572,238	$	20,322,551
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A1
(LIBOR USD 1-Month plus 0.13%)
1.92%		07/25/36	¹		12,759,161		12,645,285
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE6, Class A5
(LIBOR USD 1-Month plus 0.23%)
2.02%		11/25/36	¹		18,411,000		16,923,117
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			19,150		20,351
Banc of America Funding Trust, Series 2006-D, Class 3A1
4.21%		05/20/36	⁸		5,001,839		4,874,407
Banc of America Funding Trust, Series 2006-E, Class 2A1
4.57%		06/20/36	⁸		74,586		73,665
Banc of America Funding Trust, Series 2006-G, Class 2A1
(LIBOR USD 1-Month plus 0.44%)
2.20%		07/20/36	¹		3,944,048		3,952,432
Banc of America Funding Trust, Series 2006-H, Class 3A1
4.17%		09/20/46	⁸		1,210,089		1,147,072
Banc of America Funding Trust, Series 2014-R8, Class A1
(LIBOR USD 1-Month plus 0.24%)
2.03%		06/26/36	^1,2		4,068,962		4,070,967
Banc of America Funding Trust,
Series 2015-R2, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
1.93%		08/27/36	^1,2		23,162,563		22,974,786
Banc of America Funding Trust, Series 2015-R2, Class 3A1
(LIBOR USD 1-Month plus 0.26%)
2.05%		04/29/37	^1,2		8,089,288		8,067,396
Banc of America Funding Trust, Series 2015-R2, Class 7A1
(LIBOR USD 1-Month plus 0.28%)
2.07%		09/29/36	^1,2		3,684,452		3,695,863
Banc of America Funding Trust, Series 2015-R2, Class 9A1
(LIBOR USD 1-Month plus 0.22%)
2.01%		03/27/36	^1,2		3,851,824		3,852,398
Banc of America Funding Trust, Series 2015-R5, Class 1A1
(LIBOR USD 1-Month plus 0.13%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
1.92%		10/26/36	^1,2	$	21,033,039	$	20,939,087
Banc of America Funding Trust, Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)
1.92%		10/26/36	^1,2		42,536,000		41,710,287
Banc of America Funding Trust, Series 2016-R1, Class A1
2.50%		03/25/40	^2,8		24,277,572		24,256,110
Banc of America Funding Trust, Series 2016-R1, Class B2
3.50%		03/25/40	^2,8		23,780,000		23,182,815
Banc of America Mortgage Trust, Series 2004-F, Class 1A1
4.70%		07/25/34	⁸		43,606		45,527
Banc of America Mortgage Trust, Series 2005-C, Class 2A2
4.65%		04/25/35	⁸		408,048		417,006
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		137,410		134,379
Banc of America Mortgage Trust, Series 2007-1, Class 1A24
6.00%		03/25/37			741,310		733,888
Banc of America Mortgage Trust, Series 2007-3, Class 1A1
6.00%		09/25/37			373,591		362,644
BCAP LLC Trust, Series 2007-AA2, Class 2A5
6.00%		04/25/37			296,952		240,928
BCAP LLC Trust, Series 2007-AA5, Class A1
(LIBOR USD 1-Month plus 0.65%)
2.44%		09/25/47	¹		21,336,374		20,382,975
BCAP LLC Trust, Series 2011-RR3, Class 5A3
3.58%		11/27/37	^2,8		194,180		194,735
Bear Stearns ALT-A Trust, Series 2005-4, Class 22A2
4.29%		05/25/35	⁸		17,106		16,972
Bear Stearns ALT-A Trust, Series 2005-7, Class 11A1
(LIBOR USD 1-Month plus 0.54%)
2.33%		08/25/35	¹		291,241		294,522
Bear Stearns ALT-A Trust, Series 2006-4, Class 32A1
4.06%		07/25/36	⁸		1,880,726		1,607,024
Bear Stearns ARM Trust, Series 2004-1, Class 13A2
4.59%		04/25/34	⁸		7,559		7,657


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns ARM Trust, Series 2004-10, Class 14A1
3.92%		01/25/35	⁸	$	2,820,100	$	2,838,967
Bear Stearns ARM Trust, Series 2006-4, Class 2A1
3.88%		10/25/36	⁸		509,289		475,722
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
2.04%		08/25/20	¹		1,567,917		1,019,710
Bear Stearns Asset-Backed Securities I Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36			590,970		720,116
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 3A
(LIBOR USD 1-Month plus 0.14%)
1.93%		11/25/36	¹		8,432,314		7,726,833
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A1
(STEP-reset date 02/25/20)
5.50%		01/25/34			655,728		663,401
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A2
(STEP-reset date 02/25/20)
5.75%		01/25/34			591,183		599,121
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.18%)
1.97%		10/25/36	¹		2,153,682		2,052,379
Bear Stearns Mortgage Funding Trust, Series 2007-AR5, Class 1A1A
(LIBOR USD 1-Month plus 0.17%)
1.96%		06/25/47	¹		571,296		526,734
BX Trust, Series 2019-OC11, Class A
3.20%		12/09/41	²		42,245,000		43,451,864
Carrington Mortgage Loan Trust, Series 2005-NC5, Class M1
(LIBOR USD 1-Month plus 0.48%)
2.27%		10/25/35	¹		451,701		453,418
Carrington Mortgage Loan Trust, Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.31%)
2.10%		01/25/36	¹		58,469,336		58,531,220
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
(LIBOR USD 1-Month plus 0.25%)
2.04%		06/25/36	¹		5,497,848		5,477,466
Chase Funding Trust, Series 2003-5, Class 2A2
(LIBOR USD 1-Month plus 0.60%)
2.39%		07/25/33	¹		3,059		2,941


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chase Funding Trust, Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)
2.29%		02/26/35	¹	$	5,668	$	5,218
Chase Mortgage Finance Trust, Series 2006-A1, Class 1A2
3.97%		09/25/36	⁸		753,377		708,242
Chase Mortgage Finance Trust, Series 2006-S3, Class 2A1
5.50%		11/25/21			1,702,779		1,147,397
Chase Mortgage Finance Trust, Series 2007-A2, Class 2A3
4.15%		07/25/37	⁸		1,954,525		1,980,936
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%		05/25/20			572,449		541,654
Chaseflex Trust, Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)
1.99%		09/25/36	¹		8,161,271		6,806,680
CIM Trust, Series 2017-5, Class A2A
2.50%		05/25/57	^2,8		57,213,933		57,010,137
CIM Trust, Series 2017-6, Class A1
3.02%		06/25/57	^2,8		53,802,507		53,785,775
CIM Trust, Series 2017-8, Class A1
3.00%		12/25/65	^2,8		112,381,448		112,528,420
CIM Trust, Series 2018-R1, Class A1
3.65%		05/01/55	²		103,189,207		100,752,136
CIM Trust, Series 2018-R2, Class A1
3.69%		08/25/57	^2,8		76,741,853		76,910,949
CIM Trust, Series 2018-R4, Class A1
4.07%		12/26/57	^2,8		54,709,070		55,359,758
CIM Trust, Series 2018-R5, Class A1
3.75%		07/25/58	^2,8		133,075,467		134,674,475
CIM Trust, Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
2.77%		09/25/58	^1,2		110,461,168		109,913,944
CIM Trust, Series 2019-R1, Class A
3.25%		10/25/58	^2,8		265,866,220		268,143,444
CIM Trust, Series 2019-R3, Class A
2.63%		06/25/58	^2,8		211,223,361		210,297,379
CIM Trust, Series 2019-R4, Class A1
3.00%		10/25/59	^2,8		186,210,967		187,430,164
CIT Mortgage Loan Trust, Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
3.14%		10/25/37	^1,2		54,209,611		54,801,124
Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A12
5.00%		02/25/35			210,185		214,691


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citicorp Residential Mortgage Trust, Series 2006-2, Class A5
(STEP-reset date 02/25/20)
5.35%		09/25/36		$	346,795	$	348,863
Citicorp Residential Mortgage Trust, Series 2007-1, Class A5
(STEP-reset date 02/25/20)
5.30%		03/25/37			650,000		672,324
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.98%		02/25/34	⁸		112,030		109,905
Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 3A2A
3.83%		10/25/35	⁸		555,140		410,033
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
2.05%		11/25/35	¹		156,007		129,310
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A1
4.51%		03/25/36	⁸		11,096,984		10,318,259
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A
4.54%		06/25/36	⁸		3,639,792		3,553,053
Citigroup Mortgage Loan Trust, Inc., Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.29%)
2.08%		08/25/36	¹		305,000		303,294
Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2, Class A1
(STEP-reset date 02/25/20)
6.75%		05/25/36			43,498,093		31,497,800
Citigroup Mortgage Loan Trust, Inc., Series 2007-6, Class 1A4A
3.46%		03/25/37	⁸		431,864		369,887
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
(LIBOR USD 1-Month plus 0.20%)
1.99%		01/25/37	¹		6,315		6,328
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH3, Class A3
(LIBOR USD 1-Month plus 0.25%)
2.04%		06/25/37	¹		499,209		497,622
Citigroup Mortgage Loan Trust, Inc., Series 2014-5, Class 2A2
(LIBOR USD 1-Month plus 1.75%)
3.77%		02/20/36	^1,2		14,075,375		14,156,883
Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
1.91%		06/25/47	^1,2		8,725,946		8,786,756


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
3.03%		03/25/47	^1,2	$	14,634,583	$	14,549,641
Citigroup Mortgage Loan Trust, Inc., Series 2015-3, Class 1A1
(LIBOR USD 1-Month plus 0.27%)
2.25%		03/25/36	^1,2		4,399,740		4,393,038
Conseco Finance Corp., Series 1996-7, Class M1
7.70%		09/15/26	⁸		2,910,079		3,058,072
Conseco Finance Corp., Series 1998-2, Class A5
6.24%		12/01/28			2,417		2,426
Conseco Finance Corp., Series 1998-3, Class A6
6.76%		03/01/30	⁸		1,169,788		1,191,677
Conseco Finance Corp., Series 1998-6, Class A8
6.66%		06/01/30	⁸		1,513,563		1,561,495
Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF2
8.00%		06/15/32	^2,8		167,566		171,025
Countrywide Asset-Backed Certificates Trust, Series 2005-11, Class AF4
5.21%		03/25/34	⁸		3,647,388		3,661,934
Countrywide Asset-Backed Certificates Trust, Series 2005-13, Class AF4
5.81%		04/25/36	⁸		230,325		222,534
Countrywide Asset-Backed Certificates Trust, Series 2005-AB2, Class 1A1
(LIBOR USD 1-Month plus 0.46%)
2.25%		11/25/35	¹		11,848,818		11,834,943
Countrywide Asset-Backed Certificates Trust, Series 2007-13, Class 2A2
(LIBOR USD 1-Month plus 0.80%)
2.59%		10/25/47	¹		11,365,145		11,080,512
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2001-HYB1, Class 1A1
3.96%		06/19/31	⁸		9,598		9,527
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, Class 1A4
5.25%		09/25/23			55,067		55,857
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
3.79%		08/25/34	⁸		951,400		937,541
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A1
(LIBOR USD 1-Month plus 0.66%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
2.45%		02/25/35	¹	$	112,750	$	108,681
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB3, Class 1A
4.91%		06/20/34	⁸		20,736		21,424
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1
4.22%		09/20/34	⁸		1,030,366		1,022,334
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 1A2
4.97%		04/25/35	⁸		828,457		818,211
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-31, Class 2A3
3.64%		01/25/36	⁸		176,637		169,085
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
2.39%		05/25/35	¹		3,767,016		3,307,164
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1
4.30%		09/25/47	⁸		924,533		877,275
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 1A1
3.26%		03/25/37	⁸		1,208,006		1,047,008
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4
4.35%		08/25/33	⁸		14,354		14,773
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1
4.50%		07/25/20			3,636		3,560
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2004-1, Class 2A1
6.50%		02/25/34			27,134		28,172
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2004-AR5, Class 6A1
4.33%		06/25/34	⁸		132,951		137,783
Credit Suisse Mortgage Capital Trust, Series 2006-2, Class 5A1
(LIBOR USD 1-Month plus 0.70%)
2.49%		03/25/36	¹		3,931,833		1,957,986
Credit Suisse Mortgage Capital Trust, Series 2007-2, Class 3A4
5.50%		03/25/37			1,873,725		1,602,783


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Trust, Series 2010-17R, Class 1A1
4.25%		06/26/36	^2,8	$	54,842	$	55,089
Credit Suisse Mortgage Capital Trust, Series 2014-12R, Class 1A1
(LIBOR USD 1-Month plus 1.75%)
3.46%		08/27/36	^1,2		7,204,310		7,266,491
Credit Suisse Mortgage Capital Trust, Series 2015-1R, Class 5A1
4.31%		09/27/35	^2,8		2,748,375		2,771,125
Credit Suisse Mortgage Capital Trust, Series 2015-2R, Class 4A1
1.91%		06/27/47	^2,8		11,185,008		11,173,636
Credit Suisse Mortgage Capital Trust, Series 2015-6R, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
1.91%		11/27/46	^1,2		8,162,309		7,992,862
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2C
(STEP-reset date 02/25/20)
3.96%		02/25/37			34,170,651		26,989,792
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2D
(STEP-reset date 02/25/20)
3.96%		02/25/37			25,018,004		19,755,147
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2E
(STEP-reset date 02/25/20)
3.96%		02/25/37			4,549,485		3,593,198
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP-reset date 02/25/20)
3.95%		01/25/33			13,112		13,400
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1
(LIBOR USD 1-Month plus 1.04%)
2.83%		03/25/33	¹		2,848,156		2,851,365
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1
(LIBOR USD 1-Month plus 1.02%)
2.81%		11/25/33	¹		79,163		78,596
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.93%		10/25/36	¹		16,635,214		14,793,243


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3
(LIBOR USD 1-Month plus 0.15%)
1.94%		11/25/36	¹	$	30,347,292	$	18,837,186
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP-reset date 02/25/20)
3.48%		01/25/37			7,208,358		3,464,517
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP-reset date 02/25/20)
3.48%		01/25/37			13,546,221		6,514,885
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2
(LIBOR USD 1-Month plus 0.17%)
1.96%		04/25/37	¹		28,423,130		21,589,306
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB7, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.93%		10/25/36	¹		54,020,243		44,520,038
CSAB Mortgage-Backed Trust, Series 2006-4, Class A6B
(STEP-reset date 02/25/20)
5.78%		12/25/36			5,268,016		565,602
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR3, Class A1
(LIBOR USD 1-Month plus 0.19%)
1.98%		08/25/36	¹		3,626,361		3,489,367
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR4, Class A1
(LIBOR USD 1-Month plus 0.13%)
1.92%		12/25/36	¹		1,926,625		1,008,240
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR6, Class AR6
(LIBOR USD 1-Month plus 0.19%)
1.98%		02/25/37	¹		703,005		651,860
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2007-3, Class 1A1
(LIBOR USD 1-Month plus 1.70%)
3.39%		10/25/47	¹		34,991,408		34,141,285
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2007-OA3, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.93%		07/25/47	¹		52,140,904		50,165,583
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 1A7
5.50%		12/25/35			416,553		402,628
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1
3.94%		02/25/36	⁸		1,048,051		984,822


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.36%)
2.12%		01/19/45	¹	$	2,372,473	$	2,184,205
DSLA Mortgage Loan Trust, Series 2005-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.50%)
2.26%		02/19/45	¹		342,875		337,401
DSLA Mortgage Loan Trust, Series 2005-AR3, Class 2A1A
(LIBOR USD 1-Month plus 0.24%)
2.00%		07/19/45	¹		187,795		187,212
DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
1.96%		10/19/36	¹		18,434,936		16,557,200
DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
1.90%		04/19/47	¹		9,632,861		8,970,242
Equity One Mortgage Pass-Through Trust, Series 2002-4, Class M1
5.22%		02/25/33	⁸		10,347		10,346
Equity One Mortgage Pass-Through Trust, Series 2002-5, Class M1
(STEP-reset date 02/25/20)
5.80%		11/25/32			36,213		37,803
First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.16%)
1.95%		10/25/36	¹		14,726,253		11,522,124
First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2D
(LIBOR USD 1-Month plus 0.24%)
2.03%		10/25/36	¹		928,602		735,977
First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
1.90%		12/25/37	¹		8,083,191		7,472,472
First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2C
(LIBOR USD 1-Month plus 0.16%)
1.95%		12/25/37	¹		22,229,503		20,658,642
First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
2.00%		12/25/37	¹		16,111,220		15,051,472
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 1A
(LIBOR USD 1-Month plus 0.15%)
1.94%		04/25/36	¹		24,982,502		24,578,129


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust, Series 2006-FF8, Class IIA4
(LIBOR USD 1-Month plus 0.23%)
2.02%		07/25/36	¹	$	31,440,000	$	30,185,528
First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2C
(LIBOR USD 1-Month plus 0.14%)
1.93%		01/25/38	¹		72,156,252		50,818,804
First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.93%		03/25/37	¹		46,409,890		33,183,062
First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
1.89%		03/25/37	¹		27,213,262		17,602,243
First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
1.94%		03/25/37	¹		15,600,928		10,179,593
First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
2.01%		03/25/37	¹		29,048,514		19,184,850
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA2, Class 1A1
3.93%		08/25/34	⁸		6,829,750		6,803,185
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
4.06%		09/25/34	⁸		26,907		27,013
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1
3.97%		10/25/34	⁸		1,260,834		1,268,745
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1
3.71%		12/25/35	⁸		14,387,675		13,413,307
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1
3.88%		02/25/36	⁸		15,789,912		13,600,123
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4, Class 2A1
3.46%		06/25/35	⁸		15,236,556		14,435,863
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1
4.06%		09/25/35	⁸		13,430,503		13,021,940
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1
3.96%		10/25/35	⁸		16,100,305		12,817,064
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1
3.89%		11/25/35	⁸		16,024,864		14,678,878


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1
4.13%		03/25/36	⁸	$	19,484,274	$	16,584,540
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7
6.00%		02/25/37			11,381		8,085
First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1
4.29%		12/25/34	⁸		180,544		188,536
First Horizon Mortgage Pass-Through Trust, Series 2006-AR4, Class 1A2
4.36%		01/25/37	⁸		90,198		77,874
First Horizon Mortgage Pass-Through Trust, Series 2007-AR3, Class 1A1
4.20%		11/25/37	⁸		211,208		175,160
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2
(LIBOR USD 1-Month plus 0.40%)
2.16%		08/19/34	¹		4,871		4,884
GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
2.84%		06/25/30	¹		22,493		18,659
GMACM Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1
3.92%		11/19/35	⁸		595,041		573,242
GMACM Mortgage Corp. Loan Trust, Series 2006-AR2, Class 1A1
3.88%		05/19/36	⁸		1,565,171		1,029,908
GreenPoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.24%)
2.03%		08/25/45	¹		1,574,457		1,420,326
GreenPoint Mortgage Funding Trust, Series 2005-AR4, Class G41B
(LIBOR USD 1-Month plus 0.20%)
1.99%		10/25/45	¹		15,436,088		13,829,162
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A⁶
0.00%		01/25/47	⁷		37,800,000		—
GreenPoint Mortgage Funding Trust, Series 2007-AR1, Class 3A2
(LIBOR USD 1-Month plus 0.16%)
1.95%		02/25/37	¹		1,442,248		1,461,248
GS Mortgage-Backed Securities Trust, Series 2018-RPL1, Class A1A
3.75%		10/25/57	²		47,978,288		49,025,793
GSAA Home Equity Trust, Series 2005-11, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
2.07%		10/25/35	¹		4,257,002		4,318,685


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAA Home Equity Trust, Series 2005-9, Class 2A3
(LIBOR USD 1-Month plus 0.37%)
2.16%		08/25/35	¹	$	90,040	$	90,303
GSAMP Trust, Series 2005-AHL2, Class A2D
(LIBOR USD 1-Month plus 0.35%)
2.14%		12/25/35	¹		25,693,000		25,194,713
GSR Mortgage Loan Trust, Series 2004-9, Class 3A1
4.50%		08/25/34	⁸		2,978		2,976
GSR Mortgage Loan Trust, Series 2004-9, Class 5A7
4.22%		08/25/34	⁸		290,175		293,473
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3
4.26%		10/25/35	⁸		2,947,870		2,329,809
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5
4.52%		09/25/35	⁸		121,553		122,709
GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1
4.31%		05/25/37	⁸		2,171,489		1,896,011
HarborView Mortgage Loan Trust, Series 2004-1, Class 2A
4.18%		04/19/34	⁸		6,212		6,078
HarborView Mortgage Loan Trust, Series 2004-11, Class 3A2A
(LIBOR USD 1-Month plus 0.68%)
2.44%		01/19/35	¹		342,172		309,397
HarborView Mortgage Loan Trust, Series 2004-5, Class 2A6
4.08%		06/19/34	⁸		3,021		3,077
HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
2.21%		06/19/35	¹		396,839		400,609
HarborView Mortgage Loan Trust, Series 2005-4, Class 2A
4.55%		07/19/35	⁸		44,090		40,403
HarborView Mortgage Loan Trust, Series 2006-10, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
1.96%		11/19/36	¹		74,920,990		67,411,561
HarborView Mortgage Loan Trust, Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.21%)
1.97%		09/19/46	¹		85,767,523		82,923,575
HarborView Mortgage Loan Trust, Series 2007-7, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
2.79%		10/25/37	¹		28,164,654		27,141,508


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust, Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
2.79%		10/25/37	¹	$	23,992,721	$	23,885,406
HSI Asset Securitization Corp. Trust, Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
1.93%		10/25/36	¹		61,929,615		28,230,758
Impac CMB Trust, Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
2.31%		04/25/35	¹		4,375,157		4,265,239
Impac CMB Trust, Series 2005-4, Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
2.04%		05/25/35	¹		5,204,095		4,950,877
Impac Secured Assets Corp., Series 2004-3, Class M1
(LIBOR USD 1-Month plus 0.90%)
2.69%		11/25/34	¹		481,671		489,529
Impac Secured Assets Corp., Series 2004-4, Class M3
(LIBOR USD 1-Month plus 0.90%)
2.69%		02/25/35	¹		670,000		670,096
Impac Secured Assets Trust, Series 2006-3, Class A1
(LIBOR USD 1-Month plus 0.17%)
1.96%		11/25/36	¹		8,615,550		8,322,474
Impac Secured Assets Trust, Series 2007-2, Class 1A1A
(LIBOR USD 1-Month plus 0.11%)
1.90%		05/25/37	¹		8,034,219		6,941,613
Impac Secured Assets Trust, Series 2007-2, Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
2.04%		05/25/37	¹		59,090,690		50,767,619
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A
3.95%		08/25/34	⁸		1,180,499		1,200,656
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B
(LIBOR USD 1-Month plus 0.80%)
2.59%		08/25/34	¹		18,175		17,121
IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
2.65%		09/25/34	¹		60,125		57,538
IndyMac Index Mortgage Loan Trust, Series 2005-AR1, Class 4A1
4.03%		03/25/35	⁸		635,555		630,702


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2005-AR17, Class 3A1
3.84%		09/25/35	⁸	$	4,382,906	$	3,700,129
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1
3.57%		10/25/35	⁸		25,780,720		23,428,505
IndyMac Index Mortgage Loan Trust, Series 2005-AR31, Class 3A1
3.81%		01/25/36	⁸		1,074,982		1,029,257
IndyMac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1
(LIBOR USD 1-Month plus 0.48%)
2.27%		04/25/35	¹		586,627		575,126
IndyMac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2
3.86%		08/25/36	⁸		15,504,363		12,706,235
IndyMac Index Mortgage Loan Trust, Series 2006-AR21, Class A1
(LIBOR USD 1-Month plus 0.12%)
1.91%		08/25/36	¹		163,281		149,541
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 2A2
(LIBOR USD 1-Month plus 0.20%)
1.99%		10/25/36	¹		23,177,150		22,362,891
IndyMac Index Mortgage Loan Trust, Series 2006-AR35, Class 2A3A
(LIBOR USD 1-Month plus 0.20%)
1.99%		01/25/37	¹		48,922,670		47,048,389
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1
3.73%		05/25/36	⁸		3,891,384		3,615,570
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 2A1
3.90%		05/25/36	⁸		26,930,414		21,963,145
IndyMac Index Mortgage Loan Trust, Series 2007-AR1, Class 1A2
4.07%		03/25/37	⁸		612,082		586,858
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
3.27%		06/25/37	⁸		3,764,881		3,186,662
IndyMac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1
3.66%		11/25/37	⁸		2,839,456		2,796,352
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A3
6.61%		02/25/28			74,618		75,259
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1
4.16%		05/25/36	⁸		726,653		627,144


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1
4.05%		05/25/36	⁸	$	7,398,922	$	5,736,367
JPMorgan Mortgage Acquisition Trust, Series 2005-WMC1, Class M2
(LIBOR USD 1-Month plus 0.66%)
2.45%		09/25/35	¹		6,925,231		6,940,914
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A3A
(STEP-reset date 02/25/20)
5.83%		07/25/36			35,508,921		18,163,021
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A6
(STEP-reset date 02/25/20)
6.00%		07/25/36			4,951,633		2,441,566
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class MV1
(LIBOR USD 1-Month plus 0.23%)
2.02%		11/25/36	¹		232,445		232,996
JPMorgan Mortgage Acquisition Trust, Series 2007-CH3, Class A4
(LIBOR USD 1-Month plus 0.21%)
2.00%		03/25/37	¹		588,391		589,185
JPMorgan Mortgage Acquisition Trust, Series 2007-CH4, Class A1
(LIBOR USD 1-Month plus 0.15%)
1.94%		05/25/37	¹		51,560,706		49,776,863
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF1
(LIBOR USD 1-Month plus 0.10%)
1.89%		03/25/47	¹		138,502		98,949
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF2
(STEP-reset date 02/25/20)
4.22%		03/25/47			9,060,515		7,602,419
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF3
(STEP-reset date 02/25/20)
4.22%		05/25/35			7,625,529		6,398,305
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF4
(STEP-reset date 02/25/20)
4.22%		03/25/47			3,466,150		2,908,263
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
2.07%		03/25/47	¹		240,000		212,560
JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3
3.63%		11/25/33	⁸		144,514		142,240
JPMorgan Mortgage Trust, Series 2004-A4, Class 1A3
4.78%		09/25/34	⁸		423,335		443,719


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2005-A5, Class TA1
4.50%		08/25/35	⁸	$	124,137	$	126,620
JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3
5.50%		09/25/20			1,996,888		1,812,288
JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3
4.09%		11/25/33	⁸		5,149		5,118
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
4.33%		05/25/36	⁸		1,017,166		1,003,431
JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3
4.28%		05/25/36	⁸		706,797		706,289
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1
4.45%		06/25/36	⁸		573,781		516,599
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4
4.45%		06/25/36	⁸		1,849,687		1,686,366
JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4
4.40%		08/25/36	⁸		519,041		458,036
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
4.31%		07/25/35	⁸		1,679,286		1,721,557
JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3
4.20%		05/25/37	⁸		2,602,429		2,502,718
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
4.17%		05/25/37	⁸		423,950		416,722
JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1
4.11%		06/25/37	⁸		3,804,589		3,548,967
JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3
4.51%		06/25/37	⁸		580,017		535,583
JPMorgan Resecuritization Trust, Series 2015-1, Class 3A1
(LIBOR USD 1-Month plus 0.19%)
1.90%		12/27/46	^1,2		8,366,730		8,266,522
Lehman XS Trust, Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
2.09%		11/25/35	¹		9,359,006		9,348,368
Lehman XS Trust, Series 2005-7N, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
2.33%		12/25/35	¹		437,123		426,348


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman XS Trust, Series 2006-12N, Class A31A
(LIBOR USD 1-Month plus 0.20%)
1.99%		08/25/46	¹	$	16,467,545	$	15,803,618
Lehman XS Trust, Series 2006-13, Class 1A2
(LIBOR USD 1-Month plus 0.34%)
2.13%		09/25/36	¹		1,411,726		1,512,128
Lehman XS Trust, Series 2006-14N, Class 3A2
(LIBOR USD 1-Month plus 0.24%)
2.03%		08/25/36	¹		53,468		52,478
Lehman XS Trust, Series 2006-5, Class 1A1A
(LIBOR USD 1-Month plus 0.21%)
2.00%		04/25/36	¹		32,204,720		30,552,261
Lehman XS Trust, Series 2006-8, Class 1A1A
(LIBOR USD 1-Month plus 0.16%)
1.95%		06/25/36	¹		39,001,919		34,721,833
Lehman XS Trust, Series 2007-4N, Class 1A3
(LIBOR USD 1-Month plus 0.24%)
2.03%		03/25/47	¹		26,962,367		24,655,605
Long Beach Mortgage Loan Trust, Series 2004-4, Class M1
(LIBOR USD 1-Month plus 0.90%)
2.69%		10/25/34	¹		40,328		40,354
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.93%		01/25/34	⁸		36,714		37,151
MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1
3.89%		11/25/33	⁸		1,042,061		1,042,045
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
4.70%		11/21/34	⁸		3,760,400		3,866,126
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 9A1
4.35%		10/25/34	⁸		319,020		320,203
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
4.13%		06/25/34	⁸		249		246
MASTR Adjustable Rate Mortgages Trust, Series 2004-8, Class 2A1
4.25%		09/25/34	⁸		2,867,107		2,825,996
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 5A1
4.58%		05/25/36	⁸		7,185,717		5,504,509
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.15%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
1.94%		11/25/36	¹	$	15,188,982	$	7,214,645
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.21%)
2.00%		11/25/36	¹		4,219,162		2,032,027
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A3
(LIBOR USD 1-Month plus 0.21%)
2.00%		05/25/37	¹		33,850,913		32,792,582
MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1
4.47%		10/25/32	⁸		17,741		18,363
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class A1
(LIBOR USD 1-Month plus 0.70%)
2.44%		11/15/31	¹		1,261,360		1,276,088
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.93%		04/25/37	¹		180,842,187		113,581,091
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2B
(LIBOR USD 1-Month plus 0.17%)
1.96%		04/25/37	¹		34,729,903		20,487,552
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
2.04%		04/25/37	¹		72,753,656		43,568,243
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
2.03%		05/25/37	¹		35,437,768		23,155,898
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2D
(LIBOR USD 1-Month plus 0.32%)
2.11%		05/25/37	¹		17,500,708		11,590,541
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
1.97%		06/25/37	¹		14,659,863		11,819,507
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
2.04%		06/25/37	¹		19,579,782		16,064,464
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.12%)
1.91%		07/25/37	¹		31,455,747		21,248,382


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A3
(LIBOR USD 1-Month plus 0.16%)
1.95%		07/25/37	¹	$	23,057,844	$	15,192,185
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A
4.16%		10/25/33	⁸		391,642		395,183
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
4.35%		08/25/34	⁸		1,429,835		1,432,070
Merrill Lynch Mortgage Investors Trust, Series 2005-A10, Class A
(LIBOR USD 1-Month plus 0.21%)
2.00%		02/25/36	¹		10,071		9,968
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A4
(LIBOR USD 1-Month plus 0.34%)
2.13%		08/25/35	¹		304,033		305,267
Merrill Lynch Mortgage Investors Trust, Series 2006-WMC2, Class A2B
(STEP-reset date 02/25/20)
5.61%		03/25/37			31,064,247		11,623,715
Merrill Lynch Mortgage Investors Trust, Series 2006-WMC2, Class A2D
(STEP-reset date 02/25/20)
5.90%		03/25/37			24,312,917		9,097,530
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%)
4.00%		08/25/36	¹		4,503,394		4,464,926
Mid-State Capital Corp., Series 2004-1, Class A
6.01%		08/15/37			274,102		294,538
Mid-State Capital Corp., Series 2005-1, Class A
5.75%		01/15/40			14,048,187		15,231,977
Mid-State Capital Corp., Series 2006-1, Class A
5.79%		10/15/40	²		10,762,248		11,903,478
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			231,564		244,211
Morgan Stanley ABS Capital I Trust, Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.30%)
2.09%		12/25/35	¹		1,255,118		1,253,971
Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
2.11%		01/25/35	¹		135,573		132,191


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
3.95%		09/25/34	⁸	$	804,219	$	793,274
Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A
(LIBOR USD 1-Month plus 0.26%)
2.05%		04/25/35	¹		2,681,561		2,684,804
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	⁸		782,135		313,557
Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 1A2S
(STEP-reset date 02/25/20)
5.50%		02/25/47			115,689		115,284
Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1
(LIBOR USD 1-Month plus 0.12%)
1.91%		04/25/37	¹		5,416,476		2,449,556
Morgan Stanley Resecuritization Trust, Series 2013-R7, Class 2B
(LIBOR USD 1-Month plus 0.24%)
2.19%		12/26/46	^1,2		14,773,752		14,744,798
Morgan Stanley Resecuritization Trust, Series 2014-R2, Class 1A
(Federal Reserve US 12-Month Cumulative Average plus 0.82%)
3.15%		12/26/46	^1,2		8,064,650		8,049,120
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 4A
(Federal Reserve US 12-Month Cumulative Average plus 0.98%)
3.31%		07/26/46	^1,2		2,540,980		2,546,429
Morgan Stanley Resecuritization Trust, Series 2014-R4, Class 2A
4.29%		08/26/34	^2,8		1,306,474		1,328,867
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A
(Federal Reserve US 12-Month Cumulative Average plus 0.75%)
2.74%		06/26/47	^1,2		16,850,870		16,695,463
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 4A
(Federal Reserve US 12-Month Cumulative Average plus 0.96%)
3.29%		06/26/47	^1,2		5,120,972		5,132,715
Morgan Stanley Resecuritization Trust, Series 2015-R4, Class 2A
(LIBOR USD 1-Month plus 0.40%)
2.51%		08/26/47	^1,2		8,926,369		8,899,033
MortgageIT Trust, Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
2.43%		02/25/35	¹		5,360,658		5,321,570


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%)
2.07%		10/25/35	¹	$	6,689,906	$	6,624,284
MortgageIT Trust, Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.52%)
2.31%		12/25/35	¹		1,095,838		1,093,620
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4
(LIBOR USD 1-Month plus 0.28%)
2.07%		09/25/36	¹		9,263,928		9,222,799
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
2.04%		06/25/37	¹		8,265,000		7,979,904
New Century Home Equity Loan Trust, Series 2003-6, Class M1
(LIBOR USD 1-Month plus 1.08%)
2.87%		01/25/34	¹		135,819		137,077
New Century Home Equity Loan Trust, Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
2.47%		03/25/35	¹		597,669		599,901
New Century Home Equity Loan Trust, Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
2.01%		02/25/36	¹		280,363		276,617
Nomura Home Equity Loan, Inc., Series 2006-HE2, Class A4
(LIBOR USD 1-Month plus 0.27%)
2.06%		03/25/36	¹		20,916,765		20,897,206
Nomura Resecuritization Trust, Series 2011-4RA, Class 2A1
2.93%		06/26/37	^2,8		183,399		183,660
Nomura Resecuritization Trust, Series 2013-1R, Class 2A1
(LIBOR USD 1-Month plus 0.14%)
4.45%		11/26/36	^1,2		4,048,722		4,038,933
Nomura Resecuritization Trust, Series 2014-6R, Class 2A1
(LIBOR USD 1-Month plus 0.16%)
2.13%		03/26/37	^1,2		4,656,009		4,637,369
Nomura Resecuritization Trust, Series 2014-7R, Class 4A1
(LIBOR USD 1-Month plus 0.13%)
1.84%		01/26/37	^1,2		6,716,627		6,701,730
NRPL, Series 2019-3A, Class A1
(STEP-reset date 02/25/20)
3.00%		07/25/59	²		51,622,650		51,578,688
Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5
8.16%		09/15/29	⁸		21,378,712		10,529,389


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Option One Mortgage Loan Trust, Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.22%)
2.01%		01/25/36	¹	$	16,549,053	$	16,409,549
Ownit Mortgage Loan Trust, Series 2006-4, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.93%		05/25/37	¹		20,687,447		20,026,924
Ownit Mortgage Loan Trust, Series 2006-4, Class A2D
(LIBOR USD 1-Month plus 0.24%)
2.03%		05/25/37	¹		21,745,070		18,600,281
Popular ABS Mortgage Pass-Through Trust, Series 2005-6, Class A5
(STEP-reset date 02/25/20)
3.71%		01/25/36			22,910,000		20,806,995
Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A3
(LIBOR USD 1-Month plus 0.26%)
2.05%		11/25/36	¹		67,782		67,087
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
2.10%		06/25/47	¹		23,015,500		21,056,768
Popular ABS, Inc., Series 1998-1, Class A2 (STEP-reset date 02/25/20)
7.48%		11/25/29			47,971		47,674
Provident Funding Mortgage Loan Trust, Series 2003-1, Class A
4.88%		08/25/33	⁸		477,841		485,280
Residential Accredit Loans Trust, Series 2005-QA12, Class CB1
4.51%		12/25/35	⁸		4,441,217		2,876,652
Residential Accredit Loans Trust, Series 2005-QA4, Class A41
4.36%		04/25/35	⁸		1,139,185		1,040,562
Residential Accredit Loans Trust, Series 2005-QA7, Class A1
4.06%		07/25/35	⁸		3,555,473		3,049,435
Residential Accredit Loans Trust, Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
3.24%		01/25/46	¹		5,810,472		5,393,972
Residential Accredit Loans Trust, Series 2006-QA1, Class A11
4.54%		01/25/36	⁸		150,236		128,614
Residential Accredit Loans Trust, Series 2006-QA1, Class A21
4.88%		01/25/36	⁸		14,963,719		13,158,389


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust, Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.19%)
1.98%		08/25/36	¹	$	25,933,310	$	24,208,394
Residential Accredit Loans Trust, Series 2006-QS10, Class AV (IO)
0.56%		08/25/36	^4,5,8		26,032,389		599,893
Residential Accredit Loans Trust, Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)
2.17%		09/25/36	¹		249,920		196,960
Residential Accredit Loans Trust, Series 2006-QS2, Class 1AV (IO)
0.47%		02/25/36	^4,5,8		86,056,935		1,388,761
Residential Accredit Loans Trust, Series 2006-QS7, Class AV (IO)
0.71%		06/25/36	^4,5,8		43,531,682		1,074,819
Residential Accredit Loans Trust, Series 2006-QS8, Class AV (IO)
0.78%		08/25/36	^4,5,8		105,348,735		2,820,839
Residential Accredit Loans Trust, Series 2007-QS10, Class AV (IO)
0.47%		09/25/37	^4,5,8		75,964,659		1,742,409
Residential Accredit Loans Trust, Series 2007-QS4, Class 3AV (IO)
0.37%		03/25/37	^4,5,8		47,561,484		689,798
Residential Accredit Loans Trust, Series 2007-QS5, Class AV (IO)
0.27%		03/25/37	^4,5,8		56,044,376		525,181
Residential Accredit Loans Trust, Series 2007-QS6, Class AV (IO)
0.31%		04/25/37	^4,5,8		116,879,788		1,648,034
Residential Accredit Loans Trust, Series 2007-QS7, Class 2AV (IO)
0.38%		06/25/37	^4,5,8		39,021,267		555,284
Residential Accredit Loans Trust, Series 2007-QS8, Class AV (IO)
0.40%		06/25/37	^4,5,8		98,982,708		1,917,122
Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A2
6.50%		12/25/31			1,391		1,391
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8
6.50%		11/25/31			33,932		35,716
Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A4
8.50%		12/25/31			25,097		17,608
Residential Asset Mortgage Products Trust, Series 2005-RZ3, Class M3
(LIBOR USD 1-Month plus 0.55%)
2.34%		09/25/35	¹		750,000		751,996


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securities Corp., Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
2.12%		04/25/36	¹	$	815,000	$	808,104
Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1
4.17%		12/25/34	⁸		248,254		246,433
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1
4.25%		12/25/34	⁸		19,826		20,122
Residential Asset Securitization Trust, Series 2004-IP2, Class 3A1
4.28%		12/25/34	⁸		448,532		462,257
Residential Asset Securitization Trust, Series 2006-A7CB, Class 1A3
6.25%		07/25/36			2,285,099		2,358,243
Residential Funding Mortgage Securities Trust, Series 2005-SA5, Class 1A
3.87%		11/25/35	⁸		4,629,410		3,721,666
Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 3A1
4.96%		09/25/36	⁸		744,521		713,645
Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 4A1
5.38%		09/25/36	⁸		353,040		279,168
Residential Funding Mortgage Securities Trust, Series 2006-SA4, Class 2A1
5.17%		11/25/36	⁸		93,502		89,889
Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 2A2
4.77%		04/25/37	⁸		1,758,349		1,655,794
Saxon Asset Securities Trust, Series 2001-2, Class AF6 (STEP-reset date 02/25/20)
6.81%		06/25/16			2,453		2,878
Saxon Asset Securities Trust, Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.15%)
1.94%		01/25/47	¹		5,780,932		5,698,128
Saxon Asset Securities Trust, Series 2007-3, Class 2A3
(LIBOR USD 1-Month plus 0.40%)
2.19%		09/25/47	¹		32,174,000		29,416,341
Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2
(STEP-reset date 02/25/20)
3.29%		01/25/36			7,724,531		6,714,053
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2A
(LIBOR USD 1-Month plus 0.11%)
1.90%		02/25/37	¹		6,591,798		3,957,495


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2B
(LIBOR USD 1-Month plus 0.27%)
2.06%		02/25/37	¹	$	32,631,463	$	20,060,962
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
2.02%		02/25/37	¹		43,795,379		24,383,200
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2A
(LIBOR USD 1-Month plus 0.13%)
1.92%		05/25/37	¹		18,828,421		14,475,501
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2C
(LIBOR USD 1-Month plus 0.35%)
2.14%		05/25/37	¹		14,200,232		11,259,430
Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
1.94%		12/25/36	¹		34,777,868		20,392,622
Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC2, Class A2B
(LIBOR USD 1-Month plus 0.14%)
1.93%		01/25/37	¹		18,642,714		15,480,374
Sequoia Mortgage Trust, Series 2003-2, Class A1
(LIBOR USD 1-Month plus 0.66%)
2.42%		06/20/33	¹		685		677
Sequoia Mortgage Trust, Series 2003-8, Class A1
(LIBOR USD 1-Month plus 0.64%)
2.40%		01/20/34	¹		1,488		1,461
Sequoia Mortgage Trust, Series 2004-3, Class A
(LIBOR USD 6-Month plus 0.50%)
2.47%		05/20/34	¹		349,852		346,199
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
2.03%		12/25/36	^1,2		15,182,452		9,858,251
Soundview Home Loan Trust, Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
2.47%		06/25/35	¹		21,982,314		21,962,376
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A3
4.52%		02/25/34	⁸		22,443		23,200
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
4.10%		09/25/34	⁸		6,385,305		6,379,647


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A
3.97%		10/25/34	⁸	$	165,263	$	165,263
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 2A
4.16%		10/25/34	⁸		7,650,010		7,671,435
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A
4.05%		10/25/34	⁸		2,289,369		2,216,254
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-17, Class A1
2.64%		11/25/34	⁸		36,539		34,955
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A2
3.98%		01/25/35	⁸		611,566		611,705
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1
4.08%		06/25/35	⁸		2,289,771		2,305,750
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 7A3
3.94%		09/25/35	⁸		16,312,474		13,610,146
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
1.95%		01/25/37	¹		31,392,614		29,874,571
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1
4.01%		10/25/47	⁸		751,440		665,388
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A
(LIBOR USD 1-Month plus 0.28%)
2.07%		02/25/36	¹		605,614		586,065
Structured Asset Mortgage Investments II Trust, Series 2006-AR8, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
1.91%		10/25/36	¹		22,300,361		20,842,405
Structured Asset Mortgage Investments II Trust, Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.50%)
3.74%		08/25/47	¹		137,302,806		136,169,056
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF2, Class A4
(LIBOR USD 1-Month plus 0.31%)
2.10%		07/25/36	¹		159,546		159,936
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.93%		09/25/36	¹		455,270		454,707


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 1997-2, Class 2A4
7.25%		03/28/30		$	1,026	$	1,068
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-26A, Class 3A5
4.30%		09/25/33	⁸		132,064		134,823
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 5A4
4.13%		11/25/33	⁸		1,265,486		1,307,906
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1
(LIBOR USD 1-Month plus 0.30%)
2.09%		01/25/35	¹		1,409,228		1,399,253
Structured Asset Securities Corp. Trust, Series 2005-5, Class 2A4
5.50%		04/25/35			2,341,030		2,300,476
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1
4.71%		06/25/37	⁸		2,511,372		2,243,703
Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A
3.45%		12/25/44	⁸		118,218		119,190
Wachovia Mortgage Loan Trust, Series 2006-ALT1, Class A3
(LIBOR USD 1-Month plus 0.23%)
2.02%		01/25/37	¹		16,066,008		10,052,575
Wachovia Mortgage Loan Trust, Series 2006-AMN1, Class A3
(LIBOR USD 1-Month plus 0.24%)
2.03%		08/25/36	¹		18,614,993		10,777,955
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
1.90%		01/25/37	¹		3,929,133		2,475,975
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A3
(LIBOR USD 1-Month plus 0.15%)
1.94%		01/25/37	¹		36,270,320		23,011,632
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A4
(LIBOR USD 1-Month plus 0.23%)
2.02%		01/25/37	¹		12,175,334		7,829,072
WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1
4.70%		06/25/33	⁸		3,284,394		3,352,648
WaMu Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2
4.50%		06/25/34	⁸		35,007		35,620


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.42%)
2.21%		05/25/44	¹	$	1,066,427	$	1,068,884
WaMu Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3
(LIBOR USD 1-Month plus 0.55%)
2.34%		05/25/35	¹		2,577,723		2,148,062
WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
2.29%		06/25/35	¹		5,229,335		4,626,747
WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A
(LIBOR USD 1-Month plus 0.64%)
2.43%		01/25/45	¹		705,617		693,547
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A
(LIBOR USD 1-Month plus 0.32%)
2.11%		08/25/45	¹		34,913,160		34,543,335
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
3.88%		10/25/35	⁸		1,161,423		1,161,094
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.29%)
2.08%		10/25/45	¹		5,355,857		5,286,701
WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1
3.75%		12/25/35	⁸		3,854,966		3,792,745
WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1
(LIBOR USD 1-Month plus 0.26%)
2.05%		11/25/45	¹		27,687,667		27,198,960
WaMu Mortgage Pass-Through Certificates, Series 2005-AR17, Class A1A1
(LIBOR USD 1-Month plus 0.27%)
2.06%		12/25/45	¹		13,154,506		12,878,812
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2
(LIBOR USD 1-Month plus 0.29%)
2.08%		12/25/45	¹		14,540,290		14,292,260
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 1A1A
(LIBOR USD 1-Month plus 0.33%)
2.12%		01/25/45	¹		13,940,549		13,855,839
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.31%)
2.10%		01/25/45	¹		1,117,026		1,090,964


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A23
(LIBOR USD 1-Month plus 0.38%)
2.17%		01/25/45	¹	$	3,966,552	$	3,924,426
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.46%)
2.25%		04/25/45	¹		150,045		149,587
WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.07%)
3.31%		01/25/46	¹		29,156,004		28,833,197
WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A4
3.71%		09/25/36	⁸		12,424,690		11,959,840
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 3A1
3.52%		12/25/36	⁸		740,209		714,527
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
3.24%		02/25/46	¹		16,433,664		16,790,725
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.94%)
3.27%		05/25/46	¹		5,411,981		5,453,326
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus 0.98%)
3.22%		07/25/46	¹		11,825,302		11,322,348
WaMu Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1
6.00%		01/25/22			187,580		178,949
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2
4.00%		07/25/37	⁸		279,229		264,461
WaMu Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
2.94%		02/25/47	¹		13,852,261		13,011,353
WaMu MSC Mortgage Pass-Through Certificates, Series 2002-AR1, Class 1A1
4.27%		11/25/30	⁸		318,405		325,053
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1
6.25%		11/25/37			173,918		173,419


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR1, Class 1A1
5.17%		03/25/36	⁸	$	2,784,065	$	2,734,533


							5,199,647,462

U.S. Agency Commercial Mortgage-Backed — 1.97%
Fannie Mae-Aces, Series 2015-M10, Class A2
3.09%		04/25/27	⁸		122,515,000		128,453,578
Fannie Mae-Aces, Series 2016-M13, Class FA
(LIBOR USD 1-Month plus 0.67%)
2.52%		11/25/23	¹		18,208,343		18,202,229
Fannie Mae-Aces, Series 2017-M13, Class A2
2.94%		09/25/27	⁸		100,000,000		104,076,655
Fannie Mae-Aces, Series 2018-M1, Class A2
2.99%		12/25/27	⁸		810,000		845,705
Fannie Mae-Aces, Series 2018-M14, Class A2
3.58%		08/25/28	⁸		237,600,000		257,610,261
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K081, Class A2
3.90%		08/25/28	⁸		135,000,000		149,614,985
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K082, Class A2
3.92%		09/25/28	⁸		180,000,000		200,082,816
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K083, Class A2
4.05%		09/25/28	⁸		175,000,000		196,282,074
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K084,
Class A2
3.78%		10/25/28	⁸		285,835,000		313,513,218
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K1510, Class A3
3.79%		01/25/34			9,400,000		10,476,164
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K154, Class A2
3.42%		04/25/32			750,000		807,772
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K154, Class A3
3.46%		11/25/32			72,550,000		78,048,057


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K157, Class A3
3.99%		08/25/33	⁸	$	250,000	$	283,982
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF03, Class A
(LIBOR USD 1-Month plus 0.34%)
2.04%		01/25/21	¹		71,437		71,416
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF15, Class A
(LIBOR USD 1-Month plus 0.67%)
2.37%		02/25/23	¹		31,864,719		31,850,462
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF17, Class A
(LIBOR USD 1-Month plus 0.55%)
2.25%		03/25/23	¹		6,876,663		6,877,636
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q010, Class APT1
2.80%		04/25/46	⁸		28,961,876		29,195,748
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q010, Class APT2
2.84%		12/25/47	⁸		62,932,560		63,595,133


							1,589,887,891

U.S. Agency Mortgage-Backed — 31.56%
Fannie Mae Grantor Trust, Series 2017-T1, Class A
2.90%		06/25/27			62,781,931		64,540,346
Fannie Mae Pool 190375
5.50%		11/01/36			752,285		845,982
Fannie Mae Pool 190396
4.50%		06/01/39			11,864		12,873
Fannie Mae Pool 254232
6.50%		03/01/22			6,434		6,656
Fannie Mae Pool 313182
7.50%		10/01/26			1,039		1,125
Fannie Mae Pool 394854
6.50%		05/01/27			873		969
Fannie Mae Pool 467243
4.55%		01/01/21			2,390,764		2,424,393
Fannie Mae Pool 468128
4.33%		07/01/21			1,874,311		1,918,667
Fannie Mae Pool 468587
3.84%		08/01/21			604,019		616,757
Fannie Mae Pool 545191
7.00%		09/01/31			2,856		3,181


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 545756
7.00%		06/01/32		$	655	$	758
Fannie Mae Pool 606108
7.00%		03/01/31			2,528		2,544
Fannie Mae Pool 613142
7.00%		11/01/31			8,871		10,240
Fannie Mae Pool 625666
7.00%		01/01/32			8,592		9,631
Fannie Mae Pool 633698
7.50%		02/01/31			30,811		36,015
Fannie Mae Pool 655928
7.00%		08/01/32			134,934		159,948
Fannie Mae Pool 725257
5.50%		02/01/34			912,820		1,027,110
Fannie Mae Pool 734830
4.50%		08/01/33			12,485		13,398
Fannie Mae Pool 734922
4.50%		09/01/33			1,756,473		1,901,394
Fannie Mae Pool 735207
7.00%		04/01/34			18,604		21,537
Fannie Mae Pool 735224
5.50%		02/01/35			3,484,928		3,923,212
Fannie Mae Pool 735646
4.50%		07/01/20			16,461		17,001
Fannie Mae Pool 735651
4.50%		06/01/35			4,181,879		4,482,467
Fannie Mae Pool 735686
6.50%		12/01/22			851		877
Fannie Mae Pool 740297
5.50%		10/01/33			1,792		2,016
Fannie Mae Pool 745147
4.50%		12/01/35			25,343		27,484
Fannie Mae Pool 745592
5.00%		01/01/21			3		3
Fannie Mae Pool 753168
4.50%		12/01/33			7,161		7,737
Fannie Mae Pool 815422
4.50%		02/01/35			32,640		35,372
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.58%)
3.58%		11/01/35	¹		180,440		190,788
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
4.04%		11/01/35	¹		3,916		4,073
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
3.59%		12/01/35	¹		4,993		5,186


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 888412
7.00%		04/01/37		$	244,439	$	273,388
Fannie Mae Pool 889125
5.00%		12/01/21			39,713		39,910
Fannie Mae Pool 889184
5.50%		09/01/36			3,372,844		3,798,432
Fannie Mae Pool 918445
(LIBOR USD 12-Month plus 1.57%)
4.57%		05/01/37	¹		6,810		7,057
Fannie Mae Pool AB1613
4.00%		10/01/40			32,625,690		35,177,235
Fannie Mae Pool AB1803
4.00%		11/01/40			37,594,300		40,886,416
Fannie Mae Pool AB2127
3.50%		01/01/26			15,678,505		16,249,366
Fannie Mae Pool AB3679
3.50%		10/01/41			13,051,414		13,759,833
Fannie Mae Pool AB3864
3.50%		11/01/41			10,850,002		11,522,418
Fannie Mae Pool AB4045
3.50%		12/01/41			11,721,234		12,420,726
Fannie Mae Pool AB4262
3.50%		01/01/32			7,310,619		7,666,276
Fannie Mae Pool AB9703
3.50%		06/01/43			29,347,500		30,861,719
Fannie Mae Pool AC8279
4.50%		08/01/39			17,513		19,003
Fannie Mae Pool AD0849
4.25%		02/01/20			3,622,775		3,617,330
Fannie Mae Pool AE0482
5.50%		01/01/38			8,328,837		9,334,519
Fannie Mae Pool AE0600
3.85%		11/01/20			12,900,197		13,061,886
Fannie Mae Pool AE0605
4.65%		07/01/20			3,310,183		3,322,141
Fannie Mae Pool AE0918
3.67%		10/01/20			1,307,585		1,307,840
Fannie Mae Pool AH3780
4.00%		02/01/41			15,121,115		16,414,552
Fannie Mae Pool AJ1404
4.00%		09/01/41			21,654,068		23,260,674
Fannie Mae Pool AL0209
4.50%		05/01/41			22,099,351		24,314,725
Fannie Mae Pool AL0290
4.45%		04/01/21			16,188,150		16,666,174
Fannie Mae Pool AL0834
4.07%		10/01/21			19,004,404		19,632,457


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL0851
6.00%		10/01/40	$	13,939,208	$	15,994,606
Fannie Mae Pool AL1445
4.36%		11/01/21		41,650,150		42,622,694
Fannie Mae Pool AL2669
4.46%		09/01/21		13,114,402		13,266,577
Fannie Mae Pool AL4597
4.00%		01/01/44		56,826,662		61,967,044
Fannie Mae Pool AL8037
4.50%		07/01/34		237,904		256,071
Fannie Mae Pool AL8356
4.50%		07/01/34		618,924		663,015
Fannie Mae Pool AL8960
4.50%		05/01/46		53,864,232		58,202,452
Fannie Mae Pool AL9106
4.50%		02/01/46		71,183,710		76,916,839
Fannie Mae Pool AL9217
3.50%		10/01/46		37,579,001		39,629,699
Fannie Mae Pool AL9472
4.00%		10/01/43		10,556,855		11,301,331
Fannie Mae Pool AL9722
4.50%		08/01/46		232,493,480		251,218,484
Fannie Mae Pool AL9846
4.50%		02/01/47		234,591,009		253,484,947
Fannie Mae Pool AM4869
4.07%		12/01/25		1,796,405		1,965,759
Fannie Mae Pool AM6057
3.44%		08/01/26		6,750,000		7,262,546
Fannie Mae Pool AM6667
3.39%		09/01/26		3,461,000		3,689,359
Fannie Mae Pool AM8036
2.66%		03/01/27		1,965,000		2,006,396
Fannie Mae Pool AM8709
2.82%		04/01/27		6,198,009		6,389,365
Fannie Mae Pool AM8765
2.83%		06/01/27		4,000,000		4,132,372
Fannie Mae Pool AM8958
2.97%		06/01/30		5,500,000		5,721,793
Fannie Mae Pool AM8969
3.27%		07/01/30		12,609,316		13,370,504
Fannie Mae Pool AM9440
3.05%		07/01/27		47,705,000		49,982,196
Fannie Mae Pool AM9602
3.57%		08/01/27		1,712,272		1,840,041
Fannie Mae Pool AM9623
3.34%		07/01/30		1,420,000		1,515,317
Fannie Mae Pool AM9749
3.48%		11/01/30		5,307,421		5,718,167


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AM9954
3.22%		11/01/27	$	3,139,017	$	3,307,244
Fannie Mae Pool AN0153
3.36%		11/01/30		10,441,216		11,149,670
Fannie Mae Pool AN0154
3.36%		11/01/30		14,803,641		15,808,094
Fannie Mae Pool AN0648
3.28%		01/01/28		13,699,934		14,490,049
Fannie Mae Pool AN1161
3.05%		04/01/28		435,000		456,842
Fannie Mae Pool AN1427
2.96%		04/01/28		4,039,966		4,209,869
Fannie Mae Pool AN1482
3.03%		05/01/31		5,299,565		5,507,736
Fannie Mae Pool AN2271
2.33%		08/01/26		2,152,000		2,152,805
Fannie Mae Pool AN4429
3.22%		01/01/27		23,130,000		24,457,497
Fannie Mae Pool AN4435
3.22%		01/01/27		29,420,000		31,108,498
Fannie Mae Pool AN9814
3.63%		08/01/28		133,604,990		144,423,033
Fannie Mae Pool AN9827
3.62%		08/01/28		37,930,000		41,444,304
Fannie Mae Pool AS8605
3.00%		01/01/32		263,783		272,170
Fannie Mae Pool AS8663
4.50%		01/01/47		41,239,563		43,956,058
Fannie Mae Pool AS9830
4.00%		06/01/47		170,773,269		179,625,461
Fannie Mae Pool AS9972
4.00%		07/01/47		145,927,277		153,491,554
Fannie Mae Pool AU3739
3.50%		08/01/43		39,081,355		41,905,142
Fannie Mae Pool BD2450
3.50%		01/01/47		161,897		168,403
Fannie Mae Pool BL0242
3.82%		11/01/30		250,000		277,170
Fannie Mae Pool BL0481
3.58%		01/01/26		74,360,000		78,943,298
Fannie Mae Pool BL0690
3.90%		12/01/30		17,950,000		20,082,514
Fannie Mae Pool BL0691
3.90%		12/01/30		34,968,000		39,122,303
Fannie Mae Pool BL0702
3.86%		11/01/28		39,100,000		43,206,702
Fannie Mae Pool BL0937
3.83%		12/01/28		93,333,446		102,029,501


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool BL4304
2.24%		09/01/29	$	120,195,000	$	118,374,881
Fannie Mae Pool BL4465
2.19%		10/01/29		122,500,000		120,099,049
Fannie Mae Pool BM4299
3.00%		03/01/30		64,472,589		66,082,356
Fannie Mae Pool BM4304
3.00%		02/01/30		90,908,029		93,333,788
Fannie Mae Pool BM5164
4.00%		11/01/48		103,191,713		108,271,366
Fannie Mae Pool CA1187
3.50%		02/01/48		181,064,348		188,147,705
Fannie Mae Pool CA1711
4.50%		05/01/48		36,207,039		38,411,001
Fannie Mae Pool CA2208
4.50%		08/01/48		87,820,196		92,781,695
Fannie Mae Pool CA2327
4.00%		09/01/48		63,025,480		67,471,731
Fannie Mae Pool CA4011
3.50%		08/01/49		244,685,221		249,483,430
Fannie Mae Pool FN0001
3.77%		12/01/20		28,482,401		28,853,725
Fannie Mae Pool MA1146
4.00%		08/01/42		54,531,980		58,397,839
Fannie Mae Pool MA1177
3.50%		09/01/42		64,170,650		67,515,869
Fannie Mae Pool MA1404
3.50%		04/01/43		4,979		5,236
Fannie Mae Pool MA1527
3.00%		08/01/33		60,844,472		62,751,140
Fannie Mae Pool MA1561
3.00%		09/01/33		38,189,864		39,386,610
Fannie Mae Pool MA1582
3.50%		09/01/43		19,562,557		20,572,105
Fannie Mae Pool MA1584
3.50%		09/01/33		61,115,945		64,109,647
Fannie Mae Pool MA1608
3.50%		10/01/33		42,517,418		44,600,090
Fannie Mae Pool MA2960
4.00%		04/01/47		96,108,706		101,090,314
Fannie Mae Pool MA3027
4.00%		06/01/47		71,149,019		74,836,890
Fannie Mae Pool MA3029
3.00%		06/01/32		58,151,177		59,859,942
Fannie Mae Pool MA3182
3.50%		11/01/47		109,927,471		114,227,907
Fannie Mae Pool MA3210
3.50%		12/01/47		193,109,905		200,818,867


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA3238
3.50%		01/01/48		$	160,023,263	$	166,283,479
Fannie Mae Pool MA3276
3.50%		02/01/48			68,210,030		70,878,452
Fannie Mae Pool MA3305
3.50%		03/01/48			78,180,576		81,218,292
Fannie Mae Pool MA3332
3.50%		04/01/48			254,990,811		264,698,237
Fannie Mae Pool MA3364
3.50%		05/01/33			29,785,854		30,881,694
Fannie Mae Pool MA3537
4.50%		12/01/48			69,498,486		73,447,396
Fannie Mae Pool MA3774
3.00%		09/01/49			268,470,949		272,418,760
Fannie Mae Pool MA3802
3.00%		10/01/49			295,652,982		299,956,811
Fannie Mae Pool MA3811
3.00%		10/01/49			52,243,914		52,661,137
Fannie Mae Pool MA3864
2.50%		12/01/34			254,101,933		256,510,690
Fannie Mae Pool MA3896
2.50%		01/01/35			169,056,946		170,637,189
Fannie Mae REMICS, Series 1991-65, Class Z
6.50%		06/25/21			484		492
Fannie Mae REMICS, Series 1992-123, Class Z
7.50%		07/25/22			403		421
Fannie Mae REMICS, Series 1993-132, Class D (PO)
0.00%		10/25/22	⁹		14,782		14,395
Fannie Mae REMICS, Series 1993-29, Class PK
7.00%		03/25/23			1,378		1,431
Fannie Mae REMICS, Series 1994-55, Class H
7.00%		03/25/24			7,225		7,810
Fannie Mae REMICS, Series 1997-34, Class SA
(Cost of Funds 11th District of San Francisco * 5.542, 37.68% Cap)
5.74%		10/25/23	¹		1,964		2,342
Fannie Mae REMICS, Series 1998-37, Class VZ
6.00%		06/17/28			5,129		5,387
Fannie Mae REMICS, Series 1999-11, Class Z
5.50%		03/25/29			27,658		28,738
Fannie Mae REMICS, Series 2001-52, Class YZ
6.50%		10/25/31			111,296		126,753


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2005-104, Class NI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
4.91%		03/25/35	¹	$	3,129,413	$	69,305
Fannie Mae REMICS, Series 2005-117, Class LC
5.50%		11/25/35			4,977,479		5,176,189
Fannie Mae REMICS, Series 2005-122, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.81%		11/25/35	¹		61,159		7,697
Fannie Mae REMICS, Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
4.31%		10/25/25	¹		4,160,480		343,835
Fannie Mae REMICS, Series 2006-4, Class WE
4.50%		02/25/36			73,054		79,433
Fannie Mae REMICS, Series 2006-49, Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
21.83%		04/25/36	¹		1,892,878		2,730,588
Fannie Mae REMICS, Series 2007-17, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
4.61%		03/25/37	¹		1,406,310		184,691
Fannie Mae REMICS, Series 2007-34, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
4.32%		04/25/37	¹		3,428,679		617,276
Fannie Mae REMICS, Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
2.26%		07/25/37	¹		4,554		4,571
Fannie Mae REMICS, Series 2008-24, Class NA
6.75%		06/25/37			410,178		462,180
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
4.81%		10/25/40	¹		4,347,280		525,581
Fannie Mae REMICS, Series 2010-135, Class EA
3.00%		01/25/40			9,610		9,714
Fannie Mae REMICS, Series 2010-17, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
4.56%		03/25/40	¹		7,983,239		1,397,183
Fannie Mae REMICS, Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.63%		05/25/40	¹	$	14,141,996	$	2,721,440
Fannie Mae REMICS, Series 2011-101, Class HE
4.00%		10/25/41			10,100,000		10,897,538
Fannie Mae REMICS, Series 2011-111, Class DB
4.00%		11/25/41			24,847,150		26,335,304
Fannie Mae REMICS, Series 2011-2, Class PD
4.00%		12/25/39			22,316		22,476
Fannie Mae REMICS, Series 2012-84, Class VZ
3.50%		08/25/42			9,654,278		10,090,810
Fannie Mae REMICS, Series 2013-101, Class BO (PO)
0.00%		10/25/43	⁹		20,527,356		17,942,984
Fannie Mae REMICS, Series 2013-101, Class CO (PO)
0.00%		10/25/43	⁹		12,743,598		10,836,643
Fannie Mae REMICS, Series 2016-45, Class AF
(LIBOR USD 1-Month plus 0.50%)
2.29%		07/25/46	¹		13,803,650		13,784,039
Fannie Mae REMICS, Series 2016-72, Class FA
(LIBOR USD 1-Month plus 0.50%)
2.29%		10/25/46	¹		33,776,053		33,719,953
Fannie Mae REMICS, Series 2016-74, Class GF
(LIBOR USD 1-Month plus 0.50%)
2.29%		10/25/46	¹		22,436,888		22,405,003
Fannie Mae REMICS, Series 2016-75, Class FL
(LIBOR USD 1-Month plus 0.50%)
2.29%		10/25/46	¹		21,377,648		21,347,240
Fannie Mae REMICS, Series 2018-29, Class AP
3.50%		11/25/46			216,227,631		223,112,286
Fannie Mae REMICS, Series 2018-38, Class LA
3.00%		06/25/48			72,864,203		73,671,884
Fannie Mae REMICS, Series 2018-45, Class GA
3.00%		06/25/48			87,407,027		88,767,631
Fannie Mae REMICS, Series 2018-55, Class PA
3.50%		01/25/47			66,825,054		68,977,356
Fannie Mae REMICS, Series 2018-86, Class JA
4.00%		05/25/47			5,673,257		5,848,588


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2018-94, Class KD
3.50%		12/25/48		$	26,471,717	$	26,852,035
Fannie Mae REMICS, Series 2019-1, Class AB
3.50%		02/25/49			5,025,475		5,175,840
Fannie Mae REMICS, Series 2019-1, Class KP
3.25%		02/25/49			9,878,938		9,986,546
Fannie Mae REMICS, Series 2019-26, Class JE
3.00%		06/25/49			23,105,618		23,393,475
Fannie Mae REMICS, Series 2019-45, Class PA
3.00%		08/25/49			50,908,091		52,227,237
Fannie Mae REMICS, Series 2019-52, Class PA
3.00%		09/25/49			31,327,027		31,566,223
Fannie Mae REMICS, Series 2019-67, Class FE
(LIBOR USD 1-Month plus 0.45%)
2.24%		11/25/49	¹		63,459,264		63,255,655
Fannie Mae REMICS, Series G92-36, Class Z
7.00%		07/25/22			15		16
Fannie Mae REMICS, Series G93-21, Class Z
7.20%		05/25/23			1,590		1,681
Fannie Mae Trust, Series 2003-W2, Class 2A9
5.90%		07/25/42			26,120		29,369
Freddie Mac Gold Pool A24156
6.50%		10/01/31			172,360		191,531
Freddie Mac Gold Pool A25162
5.50%		05/01/34			1,767,486		1,975,617
Freddie Mac Gold Pool A39012
5.50%		06/01/35			38,381		43,070
Freddie Mac Gold Pool A54856
5.00%		01/01/34			3,529,089		3,893,978
Freddie Mac Gold Pool A61164
5.00%		04/01/36			11,797		12,943
Freddie Mac Gold Pool A97038
4.00%		02/01/41			12,024,623		12,910,336
Freddie Mac Gold Pool C01492
5.00%		02/01/33			577,441		631,723
Freddie Mac Gold Pool C04546
3.00%		02/01/43			19,177,498		19,783,744
Freddie Mac Gold Pool C04573
3.00%		03/01/43			23,926,971		24,713,547


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool C46104
6.50%		09/01/29	$	13,232	$	14,705
Freddie Mac Gold Pool C55789
7.50%		10/01/27		5,846		6,326
Freddie Mac Gold Pool C90573
6.50%		08/01/22		26,384		27,730
Freddie Mac Gold Pool E02402
6.00%		10/01/22		6,678		6,874
Freddie Mac Gold Pool G00992
7.00%		11/01/28		657		731
Freddie Mac Gold Pool G01515
5.00%		02/01/33		575,146		629,813
Freddie Mac Gold Pool G02579
5.00%		12/01/34		885,276		977,530
Freddie Mac Gold Pool G02884
6.00%		04/01/37		2,262,888		2,591,366
Freddie Mac Gold Pool G02955
5.50%		03/01/37		3,208,334		3,595,581
Freddie Mac Gold Pool G03357
5.50%		08/01/37		1,312,611		1,481,453
Freddie Mac Gold Pool G03676
5.50%		12/01/37		2,196,154		2,458,876
Freddie Mac Gold Pool G03783
5.50%		01/01/38		1,681,690		1,882,868
Freddie Mac Gold Pool G03985
6.00%		03/01/38		19,085		22,007
Freddie Mac Gold Pool G04438
5.50%		05/01/38		4,684,698		5,245,017
Freddie Mac Gold Pool G04703
5.50%		08/01/38		4,163,382		4,661,185
Freddie Mac Gold Pool G04706
5.50%		09/01/38		169,113		189,333
Freddie Mac Gold Pool G05866
4.50%		02/01/40		16,860,460		18,684,580
Freddie Mac Gold Pool G06361
4.00%		03/01/41		22,819		24,783
Freddie Mac Gold Pool G06498
4.00%		04/01/41		22,678,387		24,467,690
Freddie Mac Gold Pool G06499
4.00%		03/01/41		11,085,551		11,894,691
Freddie Mac Gold Pool G07408
3.50%		06/01/43		21,457,453		22,890,881
Freddie Mac Gold Pool G07786
4.00%		08/01/44		203,847,153		219,813,563
Freddie Mac Gold Pool G07848
3.50%		04/01/44		107,019,585		113,853,588
Freddie Mac Gold Pool G07849
3.50%		05/01/44		15,328,626		16,182,929


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G07924
3.50%		01/01/45	$	21,941,401	$	23,164,250
Freddie Mac Gold Pool G07925
4.00%		02/01/45		13,184,605		14,287,752
Freddie Mac Gold Pool G08676
3.50%		11/01/45		78,766,628		82,270,365
Freddie Mac Gold Pool G08681
3.50%		12/01/45		51,988,284		54,300,853
Freddie Mac Gold Pool G08710
3.00%		06/01/46		286,022,948		293,013,715
Freddie Mac Gold Pool G08711
3.50%		06/01/46		22,370,510		23,316,671
Freddie Mac Gold Pool G08715
3.00%		08/01/46		377,786,125		387,019,701
Freddie Mac Gold Pool G08721
3.00%		09/01/46		38,321,541		39,258,169
Freddie Mac Gold Pool G08722
3.50%		09/01/46		97,725,302		101,858,594
Freddie Mac Gold Pool G08726
3.00%		10/01/46		410,759,254		420,798,736
Freddie Mac Gold Pool G08727
3.50%		10/01/46		80,482,209		83,898,127
Freddie Mac Gold Pool G08732
3.00%		11/01/46		245,455,936		251,455,194
Freddie Mac Gold Pool G08737
3.00%		12/01/46		144,116,529		147,638,921
Freddie Mac Gold Pool G08741
3.00%		01/01/47		142,907,086		146,399,918
Freddie Mac Gold Pool G08742
3.50%		01/01/47		125,501,506		130,732,817
Freddie Mac Gold Pool G08747
3.00%		02/01/47		46,654,852		47,795,156
Freddie Mac Gold Pool G08757
3.50%		04/01/47		62,539,895		65,027,103
Freddie Mac Gold Pool G08762
4.00%		05/01/47		48,608,045		51,156,594
Freddie Mac Gold Pool G08791
3.00%		12/01/47		271,409,589		277,074,963
Freddie Mac Gold Pool G08826
5.00%		06/01/48		38,077,909		40,814,526
Freddie Mac Gold Pool G08833
5.00%		07/01/48		21,159,897		22,680,635
Freddie Mac Gold Pool G08838
5.00%		09/01/48		10,611,787		11,351,423
Freddie Mac Gold Pool G08840
5.00%		08/01/48		4,105,102		4,392,626
Freddie Mac Gold Pool G08843
4.50%		10/01/48		29,908,576		31,618,716


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08844
5.00%		10/01/48	$	33,528,826	$	35,871,515
Freddie Mac Gold Pool G08849
5.00%		11/01/48		13,423,050		14,370,534
Freddie Mac Gold Pool G11707
6.00%		03/01/20		419		419
Freddie Mac Gold Pool G12393
5.50%		10/01/21		512,902		520,843
Freddie Mac Gold Pool G12399
6.00%		09/01/21		369		377
Freddie Mac Gold Pool G12824
6.00%		08/01/22		529,843		549,549
Freddie Mac Gold Pool G12909
6.00%		11/01/22		1,404,100		1,461,767
Freddie Mac Gold Pool G13032
6.00%		09/01/22		179,836		184,350
Freddie Mac Gold Pool G13058
4.50%		10/01/20		1,096		1,100
Freddie Mac Gold Pool G16085
2.50%		02/01/32		5,096,005		5,175,032
Freddie Mac Gold Pool G16524
3.50%		05/01/33		48,740,970		50,866,944
Freddie Mac Gold Pool G16584
3.50%		08/01/33		10,694,204		11,115,834
Freddie Mac Gold Pool G16607
3.50%		09/01/33		96,413,638		100,649,118
Freddie Mac Gold Pool G16623
2.50%		09/01/32		47,297,169		48,011,262
Freddie Mac Gold Pool G16755
3.50%		02/01/34		111,326,794		115,755,388
Freddie Mac Gold Pool G16756
3.50%		01/01/34		8,480,321		8,858,164
Freddie Mac Gold Pool G18596
3.00%		04/01/31		58,461,347		60,160,364
Freddie Mac Gold Pool G18691
3.00%		06/01/33		28,624,785		29,447,208
Freddie Mac Gold Pool G18692
3.50%		06/01/33		45,626,255		47,364,842
Freddie Mac Gold Pool G18713
3.50%		11/01/33		57,113,085		59,247,375
Freddie Mac Gold Pool G60023
3.50%		04/01/45		19,005,415		20,214,091
Freddie Mac Gold Pool G60080
3.50%		06/01/45		223,266,231		235,639,645
Freddie Mac Gold Pool G60138
3.50%		08/01/45		157,365,967		167,378,978
Freddie Mac Gold Pool G60238
3.50%		10/01/45		68,684,423		72,469,450


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G67700
3.50%		08/01/46	$	50,544,327	$	53,298,108
Freddie Mac Gold Pool G67703
3.50%		04/01/47		507,040,897		535,015,038
Freddie Mac Gold Pool G67706
3.50%		12/01/47		272,763,950		287,691,282
Freddie Mac Gold Pool G67707
3.50%		01/01/48		592,723,178		628,769,170
Freddie Mac Gold Pool G67708
3.50%		03/01/48		682,879,226		717,096,597
Freddie Mac Gold Pool G67709
3.50%		03/01/48		446,302,827		470,727,280
Freddie Mac Gold Pool G67710
3.50%		03/01/48		468,191,648		490,723,236
Freddie Mac Gold Pool G67711
4.00%		03/01/48		123,305,304		132,055,065
Freddie Mac Gold Pool G67713
4.00%		06/01/48		180,796,111		192,485,348
Freddie Mac Gold Pool G67717
4.00%		11/01/48		174,747,995		186,790,124
Freddie Mac Gold Pool G67718
4.00%		01/01/49		278,637,605		296,097,428
Freddie Mac Gold Pool H00790
5.50%		05/01/37		15,617		16,943
Freddie Mac Gold Pool H05069
5.50%		05/01/37		408,089		442,978
Freddie Mac Gold Pool Q05804
4.00%		01/01/42		38,371,236		41,778,390
Freddie Mac Gold Pool U99097
3.50%		07/01/43		64,495,207		67,898,216
Freddie Mac Gold Pool V62078
3.50%		08/01/33		10,471,672		10,882,383
Freddie Mac Gold Pool V62129
3.50%		08/01/33		21,669,013		22,518,454
Freddie Mac Gold Pool V80356
3.50%		08/01/43		40,259,189		42,830,040
Freddie Mac Gold Pool WN1000
3.70%		07/01/33		140,700,000		154,866,681
Freddie Mac Pool SB8020
2.50%		12/01/34		677,524,779		683,857,874
Freddie Mac Pool SB8026
2.50%		01/01/35		412,651,612		416,508,832
Freddie Mac Pool SD8016
3.00%		10/01/49		242,706,014		246,239,093
Freddie Mac Pool ZT0277
3.50%		10/01/46		4,230,356		4,427,750
Freddie Mac Pool ZT1403
3.50%		11/01/33		64,911,163		67,298,809


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 1073, Class G
7.00%		05/15/21		$	77	$	78
Freddie Mac REMICS, Series 1107, Class ZC
6.50%		07/15/21			809		827
Freddie Mac REMICS, Series 165, Class K
6.50%		09/15/21			1		1
Freddie Mac REMICS, Series 1980, Class Z
7.00%		07/15/27			78,974		88,600
Freddie Mac REMICS, Series 1983, Class Z
6.50%		12/15/23			24,418		25,668
Freddie Mac REMICS, Series 2098, Class TZ
6.00%		01/15/28			294,059		319,710
Freddie Mac REMICS, Series 2174, Class PN
6.00%		07/15/29			15,616		17,136
Freddie Mac REMICS, Series 2313, Class LA
6.50%		05/15/31			7,732		8,795
Freddie Mac REMICS, Series 2433, Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
16.41%		02/15/32	¹		8,861		12,951
Freddie Mac REMICS, Series 2481, Class AW
6.50%		08/15/32			34,586		37,486
Freddie Mac REMICS, Series 3019, Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
5.46%		08/15/35	¹		1,392,591		296,971
Freddie Mac REMICS, Series 3063, Class YG
5.50%		11/15/35			3,690,169		4,121,741
Freddie Mac REMICS, Series 3300, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
5.46%		08/15/35	¹		615,696		101,344
Freddie Mac REMICS, Series 3707, Class EI (IO)
5.00%		12/15/38			8,459,621		536,623
Freddie Mac REMICS, Series 3730, Class JG
3.00%		09/15/39			10,226		10,344
Freddie Mac REMICS, Series 3752, Class XL
4.50%		11/15/40			60,170,724		64,745,390


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3891, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
4.21%		07/15/41	¹	$	6,699,570	$	615,276
Freddie Mac REMICS, Series 3904, Class JB
4.50%		08/15/41			18,155,000		19,619,166
Freddie Mac REMICS, Series 3925, Class LB
4.50%		09/15/41			9,215,000		10,567,359
Freddie Mac REMICS, Series 3928, Class JD
4.00%		09/15/41			32,095,702		34,298,122
Freddie Mac REMICS, Series 4102, Class TC
2.50%		09/15/41			15,274,808		15,392,615
Freddie Mac REMICS, Series 4161, Class BA
2.50%		12/15/41			23,504,039		23,803,881
Freddie Mac REMICS, Series 4818, Class CA
3.00%		04/15/48			6,525,772		6,625,339
Freddie Mac REMICS, Series 4846, Class PA
4.00%		06/15/47			2,487,428		2,620,926
Freddie Mac REMICS, Series 4852, Class CA
4.00%		11/15/47			71,819,704		75,286,887
Freddie Mac REMICS, Series 4860, Class BH
3.50%		10/15/48			39,160,348		39,870,549
Freddie Mac REMICS, Series 4860, Class PA
3.50%		02/15/49			12,647,169		12,838,730
Freddie Mac REMICS, Series 4879, Class BC
3.00%		04/15/49			6,775,951		6,882,359
Freddie Mac REMICS, Series 4896, Class DA
3.00%		01/15/49			4,674,237		4,739,305
Freddie Mac REMICS, Series 4937, Class MF
(LIBOR USD 1-Month plus 0.45%)
2.24%		12/25/49	¹		313,819,768		312,666,982
Freddie Mac Strips, Series 309, Class PO (PO)
0.00%		08/15/43	⁹		29,132,442		24,988,273
Freddie Mac Strips, Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
2.24%		11/15/43	¹		5,642,357		5,640,564


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae I Pool 782817
4.50%		11/15/39		$	17,535,087	$	19,003,716
Ginnie Mae II Pool 2631
7.00%		08/20/28			1,857		2,083
Ginnie Mae II Pool 3388
4.50%		05/20/33			4,603		4,848
Ginnie Mae II Pool 3427
4.50%		08/20/33			1,746		1,842
Ginnie Mae II Pool 3554
4.50%		05/20/34			1,770		1,867
Ginnie Mae II Pool 4058
5.00%		12/20/37			1,144		1,236
Ginnie Mae II Pool 4342
5.00%		01/20/39			1,517		1,660
Ginnie Mae II Pool 4520
5.00%		08/20/39			29,011		31,730
Ginnie Mae II Pool 5175
4.50%		09/20/41			9,517		10,285
Ginnie Mae II Pool 5281
4.50%		01/20/42			18,580		20,084
Ginnie Mae II Pool 783591
4.50%		07/20/41			24,665		26,657
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.25%		07/20/34	¹		14,529		15,103
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		22,624		22,826
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.25%		08/20/35	¹		24,203		25,294
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		20,992		21,793
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.88%		05/20/25	¹		4,008		4,114
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.88%		06/20/25	¹		5,164		5,249
Ginnie Mae II Pool MA0627
4.50%		12/20/42			72,906		78,782


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA0701
4.50%		01/20/43	$	92,380	$	99,357
Ginnie Mae II Pool MA1997
4.50%		06/20/44		20,412		21,914
Ginnie Mae II Pool MA2374
5.00%		11/20/44		501,089		543,533
Ginnie Mae II Pool MA2756
4.50%		04/20/45		45,253		48,558
Ginnie Mae II Pool MA2828
4.50%		05/20/45		1,941,314		2,078,199
Ginnie Mae II Pool MA2894
4.50%		06/20/45		746,754		800,296
Ginnie Mae II Pool MA3036
4.50%		08/20/45		80,403		85,832
Ginnie Mae II Pool MA3456
4.50%		02/20/46		524,801		560,370
Ginnie Mae II Pool MA3521
3.50%		03/20/46		71,906,195		75,208,006
Ginnie Mae II Pool MA3524
5.00%		03/20/46		22,091		24,117
Ginnie Mae II Pool MA3597
3.50%		04/20/46		181,164,301		189,256,602
Ginnie Mae II Pool MA3600
5.00%		04/20/46		13,228,150		14,584,607
Ginnie Mae II Pool MA3663
3.50%		05/20/46		52,719,546		54,993,750
Ginnie Mae II Pool MA3665
4.50%		05/20/46		222,033		237,720
Ginnie Mae II Pool MA3666
5.00%		05/20/46		7,822,403		8,611,131
Ginnie Mae II Pool MA3738
4.50%		06/20/46		936,280		1,002,429
Ginnie Mae II Pool MA3739
5.00%		06/20/46		4,453,650		4,902,445
Ginnie Mae II Pool MA3805
4.50%		07/20/46		7,699,128		8,243,078
Ginnie Mae II Pool MA3806
5.00%		07/20/46		344,609		377,232
Ginnie Mae II Pool MA3876
4.50%		08/20/46		8,048,144		8,616,752
Ginnie Mae II Pool MA3877
5.00%		08/20/46		1,610,508		1,753,969
Ginnie Mae II Pool MA3937
3.50%		09/20/46		41,958,999		43,793,900
Ginnie Mae II Pool MA3939
4.50%		09/20/46		4,182,769		4,517,362
Ginnie Mae II Pool MA4003
3.00%		10/20/46		22,471,890		23,191,106


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4006
4.50%		10/20/46	$	4,723,767	$	5,070,790
Ginnie Mae II Pool MA4007
5.00%		10/20/46		9,239,961		10,197,188
Ginnie Mae II Pool MA4069
3.50%		11/20/46		130,758,671		136,476,852
Ginnie Mae II Pool MA4071
4.50%		11/20/46		13,951,869		14,949,157
Ginnie Mae II Pool MA4072
5.00%		11/20/46		2,443,049		2,699,297
Ginnie Mae II Pool MA4126
3.00%		12/20/46		375,051,227		387,054,786
Ginnie Mae II Pool MA4127
3.50%		12/20/46		136,539,337		142,429,342
Ginnie Mae II Pool MA4129
4.50%		12/20/46		42,009,007		45,376,646
Ginnie Mae II Pool MA4198
4.50%		01/20/47		370,778		395,003
Ginnie Mae II Pool MA4199
5.00%		01/20/47		7,863,694		8,675,113
Ginnie Mae II Pool MA4264
4.50%		02/20/47		116,909,269		124,255,649
Ginnie Mae II Pool MA4265
5.00%		02/20/47		2,063,784		2,232,962
Ginnie Mae II Pool MA4324
5.00%		03/20/47		11,404,825		12,322,281
Ginnie Mae II Pool MA4382
3.50%		04/20/47		98,089,737		102,287,320
Ginnie Mae II Pool MA4384
4.50%		04/20/47		5,917,661		6,285,819
Ginnie Mae II Pool MA4385
5.00%		04/20/47		19,074,957		20,467,760
Ginnie Mae II Pool MA4453
4.50%		05/20/47		310,091,492		329,383,307
Ginnie Mae II Pool MA4454
5.00%		05/20/47		44,579,023		47,777,724
Ginnie Mae II Pool MA4511
4.00%		06/20/47		20,363,391		21,309,256
Ginnie Mae II Pool MA4512
4.50%		06/20/47		1,098,053		1,166,367
Ginnie Mae II Pool MA4513
5.00%		06/20/47		858,095		920,722
Ginnie Mae II Pool MA4586
3.50%		07/20/47		166,704,155		173,525,406
Ginnie Mae II Pool MA4589
5.00%		07/20/47		42,919,985		46,099,415
Ginnie Mae II Pool MA4652
3.50%		08/20/47		1,175,832		1,223,945


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4655
5.00%		08/20/47	$	52,997,181	$	56,864,166
Ginnie Mae II Pool MA4719
3.50%		09/20/47		165,925,939		172,715,346
Ginnie Mae II Pool MA4720
4.00%		09/20/47		407,477		426,658
Ginnie Mae II Pool MA4722
5.00%		09/20/47		985,151		1,056,783
Ginnie Mae II Pool MA4781
5.00%		10/20/47		12,831,278		13,677,632
Ginnie Mae II Pool MA4836
3.00%		11/20/47		347,645,041		358,507,381
Ginnie Mae II Pool MA4837
3.50%		11/20/47		398,613,136		414,923,708
Ginnie Mae II Pool MA4838
4.00%		11/20/47		135,764,408		142,155,295
Ginnie Mae II Pool MA4840
5.00%		11/20/47		3,617,935		3,881,403
Ginnie Mae II Pool MA4900
3.50%		12/20/47		25,693,565		26,712,785
Ginnie Mae II Pool MA4901
4.00%		12/20/47		92,275,354		96,618,784
Ginnie Mae II Pool MA4961
3.00%		01/20/48		972,520		1,002,911
Ginnie Mae II Pool MA4963
4.00%		01/20/48		162,140,863		169,773,378
Ginnie Mae II Pool MA5137
4.00%		04/20/48		65,881,477		68,466,484
Ginnie Mae II Pool MA5399
4.50%		08/20/48		13,854,627		14,585,193
Ginnie Mae II Pool MA5466
4.00%		09/20/48		23,975,096		24,990,262
Ginnie Mae II Pool MA5528
4.00%		10/20/48		113,514,720		118,288,820
Ginnie Mae II Pool MA5530
5.00%		10/20/48		23,851,425		25,112,942
Ginnie Mae II Pool MA6030
3.50%		07/20/49		182,294,395		185,224,695
Ginnie Mae II Pool MA6081
3.50%		08/20/49		50,534,897		51,347,225
Ginnie Mae II Pool MA6209
3.00%		10/20/49		32,802,199		33,233,911
Ginnie Mae II Pool MA6210
3.50%		10/20/49		20,218,334		20,543,335
Ginnie Mae Pool (TBA)
3.00%		01/20/43		636,700,000		654,035,153
5.00%		01/20/49		26,025,000		27,403,512


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2000-22, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 10.80%, 10.80% Cap)
9.06%		05/16/30	¹	$	187	$	5
Ginnie Mae, Series 2003-86, Class ZK
5.00%		10/20/33			7,300,470		7,936,348
Ginnie Mae, Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
5.01%		06/16/37	¹		13,854,495		2,471,022
Ginnie Mae, Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
4.49%		03/20/36	¹		11,333,114		1,236,883
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
5.04%		05/20/37	¹		28,561,169		3,606,362
Ginnie Mae, Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
4.72%		12/20/39	¹		4,712,913		963,136
Ginnie Mae, Series 2009-17, Class P
4.00%		08/16/38			7,360		7,478
Ginnie Mae, Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
5.06%		07/16/39	¹		48,853		7,375
Ginnie Mae, Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
4.56%		08/16/38	¹		76,184		6,862
Ginnie Mae, Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
4.66%		01/16/40	¹		61,500		11,447
Ginnie Mae, Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
4.06%		01/16/40	¹		11,181,830		1,806,552
Ginnie Mae, Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
4.76%		09/16/39	¹		2,687,619		195,629
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			137,176		27,600
Ginnie Mae, Series 2013-113, Class LY
3.00%		05/20/43			51,184,000		52,804,004
Ginnie Mae, Series 2014-108, Class PA
2.63%		12/20/39			16,667,311		16,826,490
Ginnie Mae, Series 2018-124, Class NW
3.50%		09/20/48			1,937,806		1,989,516
Ginnie Mae, Series 2019-1, Class NP
3.50%		01/20/49			37,902,315		38,877,432
Ginnie Mae, Series 2019-119, Class JE
3.00%		09/20/49			55,949,586		56,793,214
Ginnie Mae, Series 2019-15, Class GT
3.50%		02/20/49			35,802,520		36,785,496


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2019-44, Class CA
3.50%		12/20/48		$	24,243,354	$	24,951,323
Ginnie Mae, Series 2019-71, Class PT
3.00%		06/20/49			25,808,135		26,158,168
Ginnie Mae, Series 2019-86, Class C
2.50%		03/20/49			43,433,885		43,712,087
Ginnie Mae, Series 2019-90, Class HE
3.00%		07/20/49			72,408,528		72,978,781
NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
2.16%		10/07/20	¹		6,714,397		6,717,200
NCUA Guaranteed Notes Trust, Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
2.27%		12/08/20	¹		6,467,834		6,474,062
NCUA Guaranteed Notes Trust, Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
2.27%		12/08/20	¹		17,376,122		17,386,523
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
2.24%		03/09/21	¹		1,161,863		1,162,384
UMBS (TBA)
2.50%		01/25/28			786,550,000		793,739,559
2.50%		01/01/50			397,200,000		392,778,044
3.00%		01/25/43			964,825,000		978,618,987
3.50%		01/25/26			42,875,000		44,444,292
4.50%		01/01/49			39,225,000		41,300,640
5.00%		01/25/39			200,175,000		214,016,465


							25,433,665,941

Total Mortgage-Backed (Cost $32,976,255,155)							33,661,310,579

MUNICIPAL BONDS — 0.47%*
California — 0.19%
Los Angeles Department of Water & Power Power System Revenue, Build America Taxable Bonds, Water Utility Improvements, Series SY
6.01%		07/01/39			350,000		453,695
Los Angeles Department of Water & Power Power System Revenue, Taxable Bonds, Electric Light & Power Improvements, Series C
5.52%		07/01/27			12,625,000		15,243,551
Los Angeles Unified School District, Build America Bonds, School Improvements, Series RY
6.76%		07/01/34			12,165,000		16,786,240


Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
Los Angeles Unified School District, Build America Taxable Bonds, School Improvements, Series KR
5.75%		07/01/34	$	2,765,000	$	3,544,315
State of California, Build America Bonds, School Improvements, General Obligations
7.95%		03/01/36		77,500,000		78,234,700
State of California, Build America Taxable Bonds, Various Purpose, Water Utility Improvements
7.50%		04/01/34		3,885,000		5,855,977
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP
3.93%		05/15/45		30,040,000		32,253,347


						152,371,825

New Jersey — 0.00%
Jersey City Municipal Utilities Authority, Taxable Bonds, Water Utility Improvements, Series B
5.47%		05/15/27		400,000		449,388
New Jersey Turnpike Authority, Taxable Bonds, Highway Revenue, Series F
3.73%		01/01/36		300,000		317,715


						767,103

New York — 0.28%
City of New York, Build America Bonds, Public Improvements
4.77%		10/01/23		4,420,000		4,859,083
5.21%		10/01/31		6,420,000		7,610,782
5.52%		10/01/37		6,075,000		7,812,936
5.82%		10/01/31		220,000		225,944
City of New York, Build America Taxable Bonds, Public Improvements, Series F1
6.65%		12/01/31		43,210,000		45,029,573
New York City Municipal Water Finance Authority, Build America Bonds, Water Utility Improvements, Series SE
6.49%		06/15/42		3,555,000		3,622,225
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements, Subseries C5
3.90%		05/01/31		15,000,000		16,373,850
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements, Subseries FI
4.00%		08/01/33		6,450,000		6,985,027


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements, Subseries SU
3.88%		08/01/31		$	3,135,000	$	3,398,842
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds, Public Improvements
5.51%		08/01/37			25,000,000		31,749,500
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, School Improvements, Series G-3
5.27%		05/01/27			13,135,000		15,515,850
New York State Dormitory Authority, Build America Bonds, University & College Improvements
5.29%		03/15/33			44,990,000		54,655,202
New York State Dormitory Authority, Unrefunded Build America Bonds, University & College Improvements
5.43%		03/15/39			21,400,000		26,114,848


							223,953,662

Texas — 0.00%
Texas Transportation Commission State Highway Fund, Build America Taxable Bonds, Highway Improvements, Series B
5.18%		04/01/30			3,075,000		3,704,483

Total Municipal Bonds (Cost $365,377,584)							380,797,073

U.S. TREASURY SECURITIES — 30.94%
U.S. Treasury Bonds — 5.34%
U.S. Treasury Bonds
3.00%		11/15/44			311,435,000		348,071,192
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
1.00%		02/15/49	¹⁰		844,792,995		939,587,395
U.S. Treasury Bonds (WI)
2.38%		11/15/49			3,019,026,000		3,018,318,401


							4,305,976,988

U.S. Treasury Notes — 25.60%
U.S. Treasury Notes
1.25%		08/31/24			863,454,000		847,095,596
1.50%		10/31/21			1,625,299,000		1,623,299,070
1.50%		11/30/21			3,006,830,000		3,003,247,633
1.50%		09/30/24			689,332,000		683,650,353
1.50%		10/31/24			5,646,637,000		5,600,537,517
1.50%		11/30/24			5,584,995,000		5,540,271,477
1.75%		12/31/24			744,610,000		747,038,709


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.13%		07/15/24	¹⁰	$	54,188,416	$	54,520,292
0.13%		10/15/24	¹⁰		525,513,496		528,818,476
0.13%		07/15/26	¹⁰		80,374,315		80,695,507
0.25%		07/15/29	¹⁰		888,339,132		897,480,683
U.S. Treasury Notes (WI)
1.75%		11/15/29			1,034,341,000		1,019,633,964


							20,626,289,277


Total U.S. Treasury Securities (Cost $25,036,598,855)							24,932,266,265


Total Bonds – 100.31% (Cost $79,474,198,103)							80,843,813,713

Issues

Shares

Value

COMMON STOCK — 0.01%

Electric — 0.01%

Homer City Holdings LLC^2,4,5,6,11

1,180,703

4,132,461

Total Common Stock

(Cost $65,187,440)

Purchased Options - 0.01%

(Cost $11,018,644)

9,937,500

Issues

Maturity

Date

Principal

Amount/Shares

Value

SHORT-TERM INVESTMENTS — 3.48%

Commercial paper — 0.52%

Ford Motor Credit Co. LLC

2.80%¹²

08/13/20

50,000,000

49,112,009

2.83%¹²

08/12/20

50,000,000

49,117,500

3.20%¹²

10/08/20

191,145,000

187,028,616

3.20%¹²

10/14/20

7,200,000

7,040,357

Pfizer, Inc.

1.89%¹²

02/25/20

100,000,000

99,742,244

1.92%¹²

02/19/20

28,658,000

28,590,267

420,630,993

Foreign Government Obligations — 1.48%

Japan Treasury Discount Bill, Series 808 (Japan)

0.00%¹²

01/20/20

27,595,000,000

253,963,101

Japan Treasury Discount Bill, Series 861 (Japan)

0.00%¹²

01/14/20

59,495,000,000

547,482,795


Issues	Maturity Date			Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Foreign Government Obligations (continued)
Japan Treasury Discount Bill, Series 862 (Japan)
0.00%¹²		04/10/20	³	$	25,000,000,000	$	230,130,545
Japan Treasury Discount Bill, Series 865 (Japan)
0.00%¹²		01/27/20	³		17,080,000,000		157,196,014


							1,188,772,455

Money Market Funds — 0.56%
Fidelity Investments Money Market Funds - Government Portfolio
1.50%^13,14					109,934		109,934
Morgan Stanley Institutional Liquidity Funds-Government Portfolio
1.52%¹³					449,408,000		449,408,000


							449,517,934

Repurchase Agreements — 0.62%
JPMorgan Chase & Co. (Dated 12/31/19, total to be received $500,148,750, (collateralized by U.S. Treasury Securities, 1.63% to 2.50%, due from 12/31/21 to 2/15/46, par and fair value of $1,009,032,400 and $1,017,213,806, respectively))
1.53%		01/07/20			500,000,000		500,000,000

U.S. Agency Discount Notes — 0.12%
Federal Home Loan Bank
1.60%¹²		02/26/20			100,000,000		99,764,195

U.S. Treasury Bills — 0.18%
U.S. Treasury Bills
1.54%¹²		02/04/20			4,630,000		4,623,379
1.54%^12,15		03/19/20			139,255,000		138,815,173
U.S. Treasury Bills (WI)
1.54%¹²		02/11/20			4,630,000		4,622,373


							148,060,925

Total Short-Term Investments (Cost $2,815,555,305)							2,806,746,502

Total Investments Before Written Options – 103.81% (Cost $82,365,959,492)							83,664,630,176

Written Options - (0.01)% (Cost $(8,525,212))							(7,500,000	)

Liabilities in Excess of Other
Assets – (3.80)%							(3,064,419,405	)

Net Assets – 100.00%						$	80,592,710,771

¹	Floating rate security. The rate disclosed was in effect at December 31, 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 $48,969,293, which is 0.06% of total net assets.

⁶	Non-income producing security.

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 December 31, 2019.

¹⁰	Inflation protected security. Principal amount reflects original security face amount.

¹¹	Affiliated investment.

¹²	Represents annualized yield at date of purchase.

¹³	Represents the current yield as of December 31, 2019.

¹⁴	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged for swaps is $182.

¹⁵	Securities, or a portion thereof, pledged as collateral for futures and options. The total market value of collateral pledged for futures is $112,935,855. The total market value of collateral pledged for options is $25,877,707.

^†

Fair valued security. The aggregate value of fair valued securities is $5,224,576, which is 0.01% of total net assets. Fair valued securities are not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements.

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

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

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

(EMTN): Euro medium-term note

(GBP): British Pound

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(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

The following is a summary of significant accounting policies consistently followed by the Fund:

The Net Asset Value (“NAV”) of each class of the 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 Fund receives 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 Fund also uses a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (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 Fund uses 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 Fund’s policy is intended to result in a calculation of its NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time

of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

Various inputs are used in determining the fair value of investments, which are as follows:

* Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

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

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

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.

The summary of inputs used to value the Fund’s investments and other financial instruments carried at fair value as of December 31, 2019 is as follows:

*Other financial instruments include foreign currency exchange contracts, futures, swaps and written options. Interest rate contracts include futures, swaps and written options.

Certain of the Fund’s investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

For the period ended December 31, 2019, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of 1evel 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES				BANK LOANS				COMMON STOCK				CORPORATES				MORTGAGE- BACKED SECURITIES

Balance as of April 1, 2019		$	8,584,058			$	11,389,405			$	10,035,975			$	20,247,152			$	15,090,098
Accrued discounts/premiums			—				62,276				—				(43,141	)			(827,742	)
Realized gain/(loss)			(3,164,561	)			1,816				—				—				—
Change in unrealized appreciation/ (depreciation)^*			1,436,012				(90,617	)			(5,903,514	)			788,139				(1,300,216	)
Purchases			—				—				—				—				—
Sales			(1,630,933	)			(3,733,905	)			—				(1,971,009	)			—
Transfers into Level 3^**			—				—				—				—				—
Transfers out of Level 3^**			—				—				—				—				—


Balance as of December 31, 2019		$	5,224,576			$	7,628,975			$	4,132,461			$	19,021,141			$	12,962,140

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2019 was $(5,083,082) 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 December 31, 2019.

Significant unobservable valuations inputs for Level 3 investments as of December 31, 2019, are as follows:


TOTAL RETURN BOND FUND	FAIR VALUE AT 12/31/19	VALUATION TECHNIQUE*	UNOBSERV- ABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$5,224,576	Benchmark Pricing	Offered Quote	$21.20 - $22.00	$21.64
Bank Loans	$7,628,975	Third-party Vendor	Vendor Prices	95.59	95.59
Common Stock	$4,132,461	Broker Quote	Offered Quote	3.50	3.50
Corporate Securities	$19,021,141	Third-party Vendor	Vendor Prices	111.66	111.66
Mortgage-Backed Securities-Non-Agency	$12,962,140	Third-party Vendor	Vendor Prices	0.94 - 2.68	2.02

* 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.

Investment transactions in the shares of affiliated issuers for the period ended December 31, 2019, were as follows:


Description	Number of Contracts	Expiration Date	Notional Amount				Value				Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five Year Note	34,581	03/31/20		$	4,101,630,797			$	(5,582,224	)		$	(5,582,224	)
U.S. Treasury Two Year Note	23,392	03/31/20			5,040,976,000				(2,508,398	)			(2,508,398	)
U.S. Treasury Ten Year Ultra Bond	13,563	03/20/20			1,908,356,484				(19,406,308	)			(19,406,308	)
U.S. Treasury Ultra Bond	9,341	03/20/20			1,696,851,031				(42,433,752	)			(42,433,752	)


					12,747,814,312				(69,930,682	)			(69,930,682	)


FUTURES CONTRACTS: SHORT POSITIONS
Euro-Bobl Five Year German Bond	9,554	03/06/20			(1,433,094,638	)			5,815,724				5,815,724


TOTAL FUTURES CONTRACTS				$	11,314,719,674			$	(64,114,958	)		$	(64,114,958	)


Description	Number of contracts	Exercise Price	Expiration Date	Notional Amount			Value
PURCHASED CALL OPTIONS EXCHANGE TRADED —
IMM Eurodollar 1 Year MIDCV Future Options	30,000	$98.50	06/12/20	$	3,097,168,500		$	9,937,500


Description	Number of contracts	Exercise Price	Expiration Date	Notional Amount			Value
WRITTEN CALL OPTIONS EXCHANGE TRADED —
IMM Eurodollar 1 Year MIDCV Future Options	30,000	$98.75	06/12/20	$	(1,740,911,400	)	$	(4,875,000	)


WRITTEN PUT OPTIONS EXCHANGE TRADED —
IMM Eurodollar 1 Year MIDCV Future Options	30,000	$98.13	06/12/20	$	1,405,723,200		$	(2,625,000	)


			Received by the Fund				Paid by the Fund
Descriptions	Put/Call	Maturity Date	Rate		Frequency		Rate		Frequency		Notional Amount (000’s)		Value			Premiums Paid		Unrealized Appreciation/ (Depreciation)
SWAPS: INTEREST RATE

Interest								3-month
Rate Swap¹	Call	04/11/22		2.26%		Semi-annually		USD LIBOR		Quarterly	$	3,817,000	$	46,289,141			$—	$	46,289,141
Interest								3-month
Rate Swap¹	Call	05/08/22		2.28%		Semi-annually		USD LIBOR		Quarterly		1,957,015		24,659,759			—		24,659,759
Interest				3 month
Rate Swap¹	Call	04/11/25		USD LIBOR		Quarterly		2.34%		Semi-annually		1,569,875		(46,337,058	)		—		(46,337,058	)
Interest				3 month
Rate Swap¹	Call	05/08/25		USD LIBOR		Quarterly		2.37%		Semi-annually		801,565		(24,802,024	)		—		(24,802,024	)



TOTAL SWAPS CONTRACTS											$	8,145,455	$	(190,182	)		$—	$	(190,182	)


TOTAL RETURN BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial paper		$	—		$	420,630,993		$	—		$	420,630,993
Foreign Government Obligations			—			1,188,772,455			—			1,188,772,455
Money Market Funds			449,517,934			—			—			449,517,934
Repurchase Agreements			—			500,000,000			—			500,000,000
U.S. Agency Discount Notes			—			99,764,195			—			99,764,195
U.S. Treasury Bills			148,060,925			—			—			148,060,925
Long-Term Investments:
Asset-Backed Securities			—			3,725,245,907			5,224,576			3,730,470,483
Bank Loans			—			697,772,137			7,628,975			705,401,112
Common Stock			—			—			4,132,461			4,132,461
Corporates			—			17,311,739,045			19,021,141			17,330,760,186
Foreign Government Obligations			—			102,808,015			—			102,808,015
Mortgage-Backed			—			33,648,348,439			12,962,140			33,661,310,579
Municipal Bonds			—			380,797,073			—			380,797,073
Purchased Options - Exchange Traded			9,937,500			—			—			9,937,500
U.S. Treasury Securities			22,431,163,912			2,501,102,353			—			24,932,266,265

Other Financial Instruments *
Assets:
Foreign currency exchange contracts			—			15,910,516			—			15,910,516
Interest rate contracts			5,815,724			70,948,900			—			76,764,624
Liabilities:
Foreign currency exchange contracts			—			(483,759)			—			(483,759)
Interest rate contracts			(77,430,682)			(71,139,082)			—			(148,569,764)


Total		$	22,967,065,313		$	60,592,217,187		$	48,969,293		$	83,608,251,793