DOS



Issues	Maturity Date	Principal Amount		Value
BONDS – 91.96%
ASSET-BACKED SECURITIES — 3.86%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
1.28%	12/27/44^1,2	$	22,720,225	$	21,751,557
AIMCO CLO, Series 2015-AA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
2.07%	01/15/28^1,2,3		13,266,027		13,088,960
AMMC CLO 19 Ltd., Series 2016-19A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
2.36%	10/16/28^1,2,3		63,830,000		62,811,458
Apidos CLO XXII, Series 2015-22A,
Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.06%)
2.20%	04/20/31^1,2,3		21,475,000		20,966,001
Atrium XII, Series 12A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.83%)
1.93%	04/22/27^1,2,3		26,243,012		25,845,693
Barings BDC Static CLO Ltd.,
Series 2019-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
2.24%	04/15/27^1,2,3		2,024,770		2,017,395
Barings CLO Ltd., Series 2013-IA,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.94%	01/20/28^1,2,3		51,351,355		50,887,506
Barings CLO Ltd., Series 2016-2A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
2.22%	07/20/28^1,2,3		49,870,000		49,472,651
Barings CLO Ltd., Series 2018-3A,
Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
2.09%	07/20/29^1,2,3		35,811,000		35,325,974
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.74%	01/25/35^1,2		1,299,310		1,205,181
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
0.63%	04/25/35^1,2		2,770,406		2,520,723
BlueMountain CLO Ltd., Series 2015-2A,
Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 0.93%)
2.07%	07/18/27^1,2,3		8,276,175		8,160,793
Brazos Education Loan Authority, Inc.,
Series 2012-1, Class A1
(LIBOR USD 1-Month plus 0.70%)



Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
0.88%	12/26/35¹	$	39,693	$	38,978
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
1.56%	02/25/35¹		12,315,000		11,804,431
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 1.05%)
1.41%	11/25/33¹		16,050,000		15,450,309
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.99%	10/27/36¹		24,361,000		22,981,722
CIT Education Loan Trust, Series 2007-1,
Class A
(LIBOR USD 3-Month plus 0.09%)
0.39%	03/25/42^1,2		18,307,589		16,231,094
CIT Education Loan Trust, Series 2007-1,
Class B
(LIBOR USD 3-Month plus 0.30%)
0.60%	06/25/42^1,2		12,907,995		10,617,154
Clear Creek CLO, Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
2.34%	10/20/30^1,2,3		27,190,000		26,704,387
College Loan Corp. Trust, Series 2005-2,
Class B
(LIBOR USD 3-Month plus 0.49%)
1.71%	01/15/37¹		2,561,776		2,188,725
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
1.21%	11/15/28^1,2,3		19,066,000		18,764,567
Dryden 33 Senior Loan Fund,
Series 2014-33A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.23%)
2.45%	04/15/29^1,2,3		1,000,000		987,500
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
2.12%	04/15/29^1,2,3		22,948,000		22,527,363
Eaton Vance CLO Ltd., Series 2013-1A,
Class A1RR (Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
2.38%	01/15/28^1,2,3		20,025,000		19,715,013
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
1.53%	07/26/66^1,2		37,418,125		35,934,168



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%)
0.98%	04/26/32^1,2	$	12,740,000	$	12,248,372
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
1.64%	04/25/35¹		17,823		17,386
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
1.23%	03/25/36¹		11,437,748		11,114,500
EFS Volunteer No. 2 LLC, Series 2012-1,
Class A2
(LIBOR USD 1-Month plus 1.35%)
1.53%	03/25/36^1,2		14,257,292		13,908,961
Flatiron CLO Ltd., Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.89%)
2.11%	04/15/27^1,2,3		4,667,629		4,622,820
Galaxy XXIX CLO Ltd., Series 2018-29A,
Class A (Cayman Islands)
(LIBOR USD 3-Month plus 0.79%)
1.18%	11/15/26^1,2,3		4,646,725		4,577,443
GCO Education Loan Funding Trust,
Series 2006-1, Class A11L
(LIBOR USD 3-Month plus 0.23%)
0.59%	05/25/36¹		25,000,000		23,215,400
Global SC Finance II SRL, Series 2014-1A,
Class A2 (Barbados)
3.09%	07/17/29^2,3		36,360,042		35,727,874
Goal Capital Funding Trust, Series 2005-2,
Class B
(LIBOR USD 3-Month plus 0.53%)
0.89%	11/25/44¹		8,227,082		7,617,726
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
0.81%	08/25/42¹		2,284,577		1,991,558
Goal Structured Solutions Trust,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.65%)
0.83%	09/25/41^1,2		61,005,798		56,908,307
GoldenTree Loan Opportunities IX Ltd.,
Series 2014-9A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
1.95%	10/29/29^1,2,3		5,445,000		5,379,438
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/73²		666,373		742,547



Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/73²	$	43,608,890	$	47,230,905
LCM XIII LP, Series 2013A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
2.28%	07/19/27^1,2,3		25,575,000		25,160,694
LCM XVIII LP, Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
2.46%	07/15/27^1,2,3		20,425,000		20,195,229
LCM XX LP, Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
2.18%	10/20/27^1,2,3		7,120,000		7,017,692
LCM XXI LP, Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
2.02%	04/20/28^1,2,3		32,465,000		31,810,830
Lehman ABS Mortgage Loan Trust,
Series 2007-1, Class 2A2
(LIBOR USD 1-Month plus 0.20%)
0.38%	06/25/37^1,2		246,270		186,260
Limerock CLO III LLC, Series 2014-3A,
Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
2.34%	10/20/26^1,2,3		24,174,329		24,117,694
Madison Park Funding XXX Ltd.,
Series 2018-30A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 0.75%)
1.97%	04/15/29^1,2,3		22,782,500		22,253,969
Magnetite XVIII Ltd., Series 2016-18A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.47%	11/15/28^1,2,3		20,750,000		20,419,868
Magnetite XXI Ltd., Series 2019-21A,
Class A (Cayman Islands)
(LIBOR USD 3-Month plus 1.28%)
2.42%	04/20/30^1,2,3		34,100,000		33,641,696
Navient Student Loan Trust, Series 2014-1,
Class A3
(LIBOR USD 1-Month plus 0.51%)
0.69%	06/25/31¹		830,903		798,492
Navient Student Loan Trust, Series 2014-2,
Class A
(LIBOR USD 1-Month plus 0.64%)
0.82%	03/25/83¹		61,949,610		57,124,888
Navient Student Loan Trust, Series 2014-3,
Class A
(LIBOR USD 1-Month plus 0.62%)
0.80%	03/25/83¹		67,680,375		63,896,347



Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2014-4,
Class A
(LIBOR USD 1-Month plus 0.62%)
0.80%	03/25/83¹	$	101,724,911	$	93,293,919
Navient Student Loan Trust, Series 2014-5,
Class A
(LIBOR USD 1-Month plus 0.62%)
0.80%	03/25/83¹		81,426,506		77,484,189
Navient Student Loan Trust, Series 2014-6,
Class A
(LIBOR USD 1-Month plus 0.61%)
0.79%	03/25/83¹		42,202,280		40,911,376
Navient Student Loan Trust, Series 2014-7,
Class A
(LIBOR USD 1-Month plus 0.61%)
0.79%	03/25/83¹		86,464,103		80,156,123
Navient Student Loan Trust, Series 2015-1,
Class A2
(LIBOR USD 1-Month plus 0.60%)
0.78%	04/25/40¹		63,911,066		59,772,728
Navient Student Loan Trust, Series 2015-2,
Class A3
(LIBOR USD 1-Month plus 0.57%)
0.75%	11/26/40¹		129,071,455		123,804,974
Navient Student Loan Trust, Series 2016-1A,
Class A
(LIBOR USD 1-Month plus 0.70%)
0.88%	02/25/70^1,2		29,578,492		28,047,476
Navient Student Loan Trust, Series 2016-7A,
Class A
(LIBOR USD 1-Month plus 1.15%)
1.33%	03/25/66^1,2		60,445,527		59,153,618
Navient Student Loan Trust, Series 2017-1A,
Class A3
(LIBOR USD 1-Month plus 1.15%)
1.33%	07/26/66^1,2		130,000		126,752
Navient Student Loan Trust, Series 2017-3A,
Class A3
(LIBOR USD 1-Month plus 1.05%)
1.23%	07/26/66^1,2		130,000		125,437
Navient Student Loan Trust, Series 2018-3A,
Class A3
(LIBOR USD 1-Month plus 0.80%)
0.98%	03/25/67^1,2		35,000,000		34,122,313
Nelnet Student Loan Trust, Series 2006-1,
Class A6
(LIBOR USD 3-Month plus 0.45%)
0.81%	08/23/36^1,2		12,500,000		11,961,139
Nelnet Student Loan Trust, Series 2007-2A,
Class A3L
(LIBOR USD 3-Month plus 0.35%)
0.65%	03/25/26^1,2		24,016,050		23,548,972



Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust, Series 2012-5A,
Class A
(LIBOR USD 1-Month plus 0.60%)
0.78%	10/27/36^1,2	$	11,666,340	$	11,321,320
Nelnet Student Loan Trust, Series 2014-4A,
Class A2
(LIBOR USD 1-Month plus 0.95%)
1.13%	11/25/48^1,2		11,630,000		10,300,861
Nelnet Student Loan Trust, Series 2014-5A,
Class A
(LIBOR USD 1-Month plus 0.55%)
0.73%	07/25/46^1,2		64,230,115		62,081,367
Nelnet Student Loan Trust, Series 2015-1A,
Class A
(LIBOR USD 1-Month plus 0.59%)
0.77%	04/25/46^1,2		118,338,728		114,445,709
Nelnet Student Loan Trust, Series 2015-2A,
Class A2
(LIBOR USD 1-Month plus 0.60%)
0.78%	09/25/47^1,2		51,405,117		49,468,003
Nelnet Student Loan Trust, Series 2015-3A,
Class A3
(LIBOR USD 1-Month plus 0.90%)
1.08%	06/25/54^1,2		8,890,000		8,405,603
Neuberger Berman CLO XVI-S Ltd.,
Series 2017-16SA, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
2.07%	01/15/28^1,2,3		1,657,620		1,635,275
North Carolina State Education Authority,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 0.90%)
1.89%	10/25/41¹		17,780,246		17,055,039
Northstar Education Finance, Inc.,
Series 2007-1, Class A2
(LIBOR USD 3-Month plus 0.75%)
1.64%	01/29/46¹		35,217,932		34,592,028
OCP CLO Ltd., Series 2020-19A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
2.07%	07/20/31^1,2,3		16,720,000		16,753,570
Octagon Investment Partners 25 Ltd.,
Series 2015-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.94%	10/20/26^1,2,3		17,710,000		17,544,766
Palmer Square Loan Funding Ltd.,
Series 2019-1, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 1.05%)
2.19%	04/20/27^1,2,3		10,434,862		10,307,557
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.92%	10/24/27^1,2,3		63,021,500		62,019,458



Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
2.11%	04/20/28^1,2,3	$	38,125,000	$	37,550,456
Panthera Aviation, Series 2013-1
10.00%	01/25/22^4,5,†		13,004,312		1,300,431
Panthera Aviation, Series 2013-2⁶
10.00%	03/20/24^4,5,7,†		2,686,551		569,549
PHEAA Student Loan Trust, Series 2015-1A,
Class A
(LIBOR USD 1-Month plus 0.60%)
0.78%	10/25/41^1,2		131,034,837		125,897,768
Recette CLO Ltd., Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.92%)
2.06%	10/20/27^1,2,3		27,423,294		27,089,278
Residential Asset Mortgage Products Trust,
Series 2005-RZ4, Class M3
(LIBOR USD 1-Month plus 0.52%)
0.70%	11/25/35¹		250,000		246,415
Riserva CLO Ltd., Series 2016-3A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
2.28%	10/18/28^1,2,3		13,270,000		13,070,154
Rockford Tower CLO Ltd., Series 2017-2A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
2.24%	10/15/29^1,2,3		26,680,000		26,150,137
Scholar Funding Trust, Series 2012-B,
Class A2
(LIBOR USD 1-Month plus 1.10%)
1.28%	03/28/46^1,2		21,271,758		20,665,137
Securitized Asset-Backed Receivables LLC
Trust, Series 2006-CB5, Class A3
(LIBOR USD 1-Month plus 0.14%)
0.32%	06/25/36¹		264,525		194,848
SLC Student Loan Trust I, Series 2002-2,
Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/42^1,2		20,900,000		18,544,570
SLC Student Loan Trust, Series 2004-1,
Class B
(LIBOR USD 3-Month plus 0.29%)
0.68%	08/15/31¹		310,806		263,960
SLC Student Loan Trust, Series 2006-1,
Class A6
(LIBOR USD 3-Month plus 0.16%)
0.47%	03/15/55¹		9,805,000		8,952,636
SLC Student Loan Trust, Series 2006-2,
Class A6
(LIBOR USD 3-Month plus 0.16%)
0.47%	09/15/39¹		16,000,000		14,979,214



Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLC Student Loan Trust, Series 2008-1,
Class A4A
(LIBOR USD 3-Month plus 1.60%)
1.91%	12/15/32¹	$	14,017,632	$	14,039,203
SLM Student Loan Trust, Series 2003-12,
Class B
(LIBOR USD 3-Month plus 0.59%)
0.90%	03/15/38¹		58,109		51,354
SLM Student Loan Trust, Series 2003-4,
Class A5E
(LIBOR USD 3-Month plus 0.75%)
1.06%	03/15/33^1,2		5,142,913		4,756,166
SLM Student Loan Trust, Series 2004-3A,
Class A6A
(LIBOR USD 3-Month plus 0.55%)
1.54%	10/25/64^1,2		35,595,437		33,882,185
SLM Student Loan Trust, Series 2005-5,
Class A5
(LIBOR USD 3-Month plus 0.75%)
1.74%	10/25/40¹		7,134,000		6,621,007
SLM Student Loan Trust, Series 2005-9,
Class A7A
(LIBOR USD 3-Month plus 0.60%)
1.59%	01/25/41¹		63,361,843		60,473,314
SLM Student Loan Trust, Series 2006-2,
Class A6
(LIBOR USD 3-Month plus 0.17%)
1.16%	01/25/41¹		35,540,910		32,768,893
SLM Student Loan Trust, Series 2006-8,
Class A6
(LIBOR USD 3-Month plus 0.16%)
1.15%	01/25/41¹		32,989,000		30,568,577
SLM Student Loan Trust, Series 2007-1,
Class A6
(LIBOR USD 3-Month plus 0.14%)
1.13%	01/27/42¹		34,350,000		31,486,099
SLM Student Loan Trust, Series 2007-1,
Class B
(LIBOR USD 3-Month plus 0.22%)
1.21%	01/27/42¹		4,321,048		3,650,088
SLM Student Loan Trust, Series 2007-3,
Class A4
(LIBOR USD 3-Month plus 0.06%)
1.05%	01/25/22¹		2,561,519		2,401,782
SLM Student Loan Trust, Series 2007-6,
Class B
(LIBOR USD 3-Month plus 0.85%)
1.84%	04/27/43¹		4,356,009		3,909,509
SLM Student Loan Trust, Series 2007-7,
Class A4
(LIBOR USD 3-Month plus 0.33%)
1.32%	01/25/22¹		302,933		286,576



Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-1,
Class A4
(LIBOR USD 3-Month plus 0.65%)
1.64%	01/25/22¹	$	39,459,914	$	36,523,469
SLM Student Loan Trust, Series 2008-2,
Class A3
(LIBOR USD 3-Month plus 0.75%)
1.74%	04/25/23¹		90,254,165		84,226,553
SLM Student Loan Trust, Series 2008-2,
Class B
(LIBOR USD 3-Month plus 1.20%)
2.19%	01/25/83¹		38,874,000		32,949,700
SLM Student Loan Trust, Series 2008-3,
Class A3
(LIBOR USD 3-Month plus 1.00%)
1.99%	10/25/21¹		18,618		17,570
SLM Student Loan Trust, Series 2008-3,
Class B
(LIBOR USD 3-Month plus 1.20%)
2.19%	04/26/83¹		2,260,000		2,053,434
SLM Student Loan Trust, Series 2008-4,
Class A4
(LIBOR USD 3-Month plus 1.65%)
2.64%	07/25/22¹		2,211,065		2,158,853
SLM Student Loan Trust, Series 2008-4,
Class B
(LIBOR USD 3-Month plus 1.85%)
2.84%	04/25/73¹		8,849,000		7,705,401
SLM Student Loan Trust, Series 2008-5,
Class A4
(LIBOR USD 3-Month plus 1.70%)
2.69%	07/25/23¹		33,228,224		32,715,306
SLM Student Loan Trust, Series 2008-5,
Class B
(LIBOR USD 3-Month plus 1.85%)
2.84%	07/25/73¹		37,199,000		30,559,615
SLM Student Loan Trust, Series 2008-6,
Class A4
(LIBOR USD 3-Month plus 1.10%)
2.09%	07/25/23¹		13,699,307		13,050,583
SLM Student Loan Trust, Series 2008-6,
Class B
(LIBOR USD 3-Month plus 1.85%)
2.84%	07/26/83¹		31,424,000		26,245,601
SLM Student Loan Trust, Series 2008-7,
Class B
(LIBOR USD 3-Month plus 1.85%)
2.84%	07/26/83¹		17,206,000		15,127,794
SLM Student Loan Trust, Series 2008-8,
Class A4
(LIBOR USD 3-Month plus 1.50%)
2.49%	04/25/23¹		2,955,648		2,936,775



Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-8,
Class B
(LIBOR USD 3-Month plus 2.25%)
3.24%	10/25/75¹	$	625,000	$	604,918
SLM Student Loan Trust, Series 2008-9,
Class A
(LIBOR USD 3-Month plus 1.50%)
2.49%	04/25/23¹		67,966,405		66,513,691
SLM Student Loan Trust, Series 2008-9,
Class B
(LIBOR USD 3-Month plus 2.25%)
3.24%	10/25/83¹		45,100,000		43,008,298
SLM Student Loan Trust, Series 2009-3,
Class A
(LIBOR USD 1-Month plus 0.75%)
0.93%	01/25/45^1,2		171,302,856		155,962,411
SLM Student Loan Trust, Series 2011-1,
Class A2
(LIBOR USD 1-Month plus 1.15%)
1.33%	10/25/34¹		3,070,000		3,056,451
SLM Student Loan Trust, Series 2012-1,
Class A3
(LIBOR USD 1-Month plus 0.95%)
1.13%	09/25/28¹		648,908		615,925
SLM Student Loan Trust, Series 2012-2,
Class A
(LIBOR USD 1-Month plus 0.70%)
0.88%	01/25/29¹		13,668,798		12,702,952
SLM Student Loan Trust, Series 2012-3,
Class A
(LIBOR USD 1-Month plus 0.65%)
0.83%	12/27/38¹		16,111,975		15,473,108
SLM Student Loan Trust, Series 2012-7,
Class A3
(LIBOR USD 1-Month plus 0.65%)
0.83%	05/26/26¹		23,787,923		21,835,010
TCI-Flatiron CLO Ltd., Series 2016-1A,
Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
2.35%	07/17/28^1,2,3		56,940,000		56,250,716
Treman Park CLO Ltd., Series 2015-1A,
Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
2.21%	10/20/28^1,2,3		21,585,000		21,226,473
Vermont Student Assistance Corp.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 0.70%)
0.88%	07/28/34¹		3,294,075		3,188,059
Voya CLO Ltd., Series 2014-3A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.72%)
1.71%	07/25/26^1,2,3		11,247,063		11,188,165



Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
1.16%	04/25/40^1,2	$	147,056	$	138,972


Total Asset-Backed Securities
(Cost $3,438,210,490)					3,296,770,880


BANK LOANS — 1.14%*

Automotive — 0.02%
Panther BF Aggregator 2 LP
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.68%	04/30/26¹		20,085,066		19,206,344


Communications — 0.35%
CenturyLink, Inc.,
Term Loan A, 1st Lien
(LIBOR plus 2.00%)
2.18%	01/31/25¹		13,939,646		13,382,060
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.43%	03/15/27¹		28,904,875		27,353,261
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.93%	02/01/27¹		8,009,649		7,729,832
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.43%	04/04/26¹		15,648,044		14,878,707
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.43%	07/17/25¹		3,864,844		3,669,785
2.43%	01/15/26¹		24,994,011		23,755,558
CSC Holdings LLC,
Term Loan B5
(LIBOR plus 2.50%)
2.68%	04/15/27¹		6,982,500		6,650,203
Frontier Communications Corp.,
Term Loan B, 1st Lien
(PRIME plus 2.75%)
6.00%	06/17/24¹		156,337		152,903
(LIBOR plus 3.75%)
5.35%	06/17/24¹		46,781,440		45,753,886
Intelsat Jackson Holdings SA,
Term Loan B4, 1st Lien (Luxembourg)
(PRIME plus 3.50%)
6.75%	01/02/24^1,3		2,000,000		2,007,730
Intelsat Jackson Holdings SA,
Term Loan B5, 1st Lien (Luxembourg)
8.63%	01/02/24^1,3		25,379,651		25,451,095



Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Intelsat Jackson Holdings,
Delayed-Draw Term Loan, 1st Lien
(Luxembourg)
(LIBOR plus 5.50%)
6.50%	07/13/21^1,3,8	$	2,950,915	$	3,003,486
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.93%	03/01/27¹		22,889,876		21,720,890
T-Mobile USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.18%	04/01/27¹		68,180,000		68,148,978
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.18%	03/09/27¹		34,413,750		32,777,376


					296,435,750


Consumer Discretionary — 0.03%
Reynolds Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.92%	02/06/23¹		26,181,866		25,080,395


Electric — 0.04%
Homer City Generation LP,
Term Loan B, 1st Lien⁶
(LIBOR plus 11.00%)
12.95%	04/05/23^1,4,5,7		7,960,085		6,009,864
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.93%	12/31/25¹		22,101,364		21,385,059
1.94%	12/31/25¹		5,307,898		5,135,869


					32,530,792


Entertainment — 0.01%
CineWorld Finance US, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.32%	02/28/25¹		7,876,505		5,984,056


Finance — 0.08%
Auris Lux III SA,
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
3.93%	02/27/26^1,3		1,484,965		1,306,769
Avolon TLB Borrower 1 US LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%	01/15/25¹		6,520,459		6,092,163



Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
Delos Finance SARL,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.06%	10/06/23¹	$	40,728,731	$	39,112,208
Telenet Financing USD LLC,
Term Loan AR, 1st Lien
(LIBOR plus 2.00%)
2.18%	04/30/28¹		28,600,000		27,053,884


					73,565,024


Food — 0.02%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%	08/03/25¹		4,489,507		4,345,843
3.01%	08/03/25¹		12,096,934		11,709,832
JBS USA LUX SA,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.00%)
3.07%	05/01/26^1,3		1,130,551		1,085,646


					17,141,321


Gaming — 0.03%
Caesars Entertainment LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.18%	10/07/24¹		10,146,696		10,113,415
Caesars Resort Collection LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
4.50%	06/19/25¹		5,000,000		4,714,850
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.18%	12/27/24¹		11,692,632		11,361,965


					26,190,230


Health Care — 0.24%
Catalent Pharma Solutions, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.25%	05/10/26¹		5,850,378		5,808,957
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	03/01/24¹		16,310,241		15,722,338
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.75%	02/04/27¹		96,850,000		92,612,813
Gentiva Health Services, Inc.,
Term Loan, 1st Lien



Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
(LIBOR plus 3.25%)
3.44%	07/02/25¹	$	6,561,790	$	6,381,341
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.11%	11/15/27¹		8,009,750		7,733,934
HCA, Inc.,
Term Loan B12, 1st Lien
(LIBOR plus 1.75%)
1.93%	03/13/25¹		14,887,500		14,626,969
MPH Acquisition Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.20%	06/07/23¹		10,417,776		9,934,495
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.94%	11/27/25¹		4,578,947		4,439,679
(LIBOR plus 3.00%)
3.19%	06/02/25¹		49,607,873		48,355,523


					205,616,049

Industrials — 0.06%
Berry Plastics Group, Inc.,
Term Loan Y, 1st Lien
(LIBOR plus 2.00%)
2.18%	07/01/26¹		27,331,960		26,206,293
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.93%	06/30/24¹		2,939,394		2,885,515
Energizer Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.44%	12/17/25¹		1,254,000		1,197,570
Mauser Packaging Solutions Holdings,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.56%	04/03/24¹		4,264,165		3,859,069
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.43%	05/30/25¹		15,499,556		14,001,679
TransDigm, Inc.,
Term Loan F, 1st Lien
(LIBOR plus 2.25%)
2.43%	12/09/25¹		5,444,791		4,928,979


					53,079,105


Information Technology — 0.08%
Broadcom, Inc.,
Delayed-Draw Term Loan A3



Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
(LIBOR plus 1.13%)
1.30%	11/04/22¹	$	26,359,375	$	26,277,002
IQVIA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
2.50%	03/07/24¹		13,182,323		12,819,809
IQVIA, Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.93%	01/17/25¹		8,952,979		8,690,030
IQVIA, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.06%	06/11/25¹		6,418,503		6,248,701
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.93%	04/16/25¹		7,574,511		7,279,825
SS&C Technologies, Inc.,
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.93%	04/16/25¹		5,321,621		5,114,584
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 1.75%)
1.93%	04/16/25¹		5,409,019		5,181,002


					71,610,953


Real Estate Investment Trust (REIT) — 0.07%
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.93%	04/11/25¹		44,178,400		42,664,406
VICI Properties 1 LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.94%	12/20/24¹		19,528,636		18,253,221


					60,917,627


Retail — 0.03%
BC ULC/New Red Finance, Inc.,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
1.93%	11/19/26^1,3		23,910,535		22,717,997


Services — 0.05%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.00%	05/30/25¹		35,368,761		34,484,542
PowerTeam Services LLC,
Term Loan, 1st Lien



Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Services (continued)
(LIBOR plus 3.25%)
4.25%	03/06/25¹	$	7,959,653	$	7,633,785


					42,118,327

Transportation — 0.03%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.93%	01/29/27¹		8,100,000		6,220,800
United Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 1.75%)
1.93%	04/01/24¹		18,406,540		16,853,580


					23,074,380


Total Bank Loans
(Cost $996,755,272)					975,268,350


CORPORATES — 27.70%*

Automotive — 0.02%
Ford Motor Co.
7.45%	07/16/31		200,000		210,502
General Motors Co.
(LIBOR USD 3-Month plus 0.80%)
1.27%	08/07/20¹		4,850,000		4,848,943
(LIBOR USD 3-Month plus 0.90%)
1.21%	09/10/21¹		8,685,000		8,590,480


					13,649,925


Banking — 3.38%
Bank of America Corp.
2.59%	04/29/31⁹		22,385,000		23,753,453
3.00%	12/20/23⁹		119,018,000		125,077,397
Bank of America Corp. (MTN)
1.32%	06/19/26⁹		18,430,000		18,496,937
2.33%	10/01/21⁹		12,930,000		12,983,740
2.50%	02/13/31⁹		23,707,000		24,855,615
3.12%	01/20/23⁹		9,871,000		10,226,358
4.08%	03/20/51⁹		347,016,000		430,843,527
Bank of New York Mellon Corp. (The) (MTN)
2.50%	04/15/21		71,000		72,114
Discover Bank (BKNT)
2.70%	02/06/30		10,000,000		10,015,940
3.20%	08/09/21		5,860,000		5,966,273
4.20%	08/08/23		18,795,000		20,549,284
Fifth Third Bancorp
2.55%	05/05/27		75,000		80,471
Global Bank Corp. (Panama)
5.25%	04/16/29^2,3,9		2,400,000		2,466,000



Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Grupo Aval Ltd. (Cayman Islands)
4.38%	02/04/30^2,3	$	1,175,000	$	1,131,760
JPMorgan Chase & Co.
2.01%	03/13/26⁹		120,010,000		124,576,124
2.18%	06/01/28⁹		15,500,000		16,064,868
2.52%	04/22/31⁹		59,135,000		62,588,820
2.74%	10/15/30⁹		66,195,000		71,074,979
3.11%	04/22/41⁹		75,115,000		81,434,969
3.20%	06/15/26		15,055,000		16,723,543
3.21%	04/01/23⁹		7,510,000		7,821,088
3.22%	03/01/25⁹		75,456,000		81,250,130
3.70%	05/06/30⁹		30,000,000		34,349,553
4.02%	12/05/24⁹		244,100,000		269,102,462
4.20%	07/23/29⁹		2,000,000		2,347,379
4.25%	10/15/20		9,330,000		9,435,898
4.49%	03/24/31⁹		17,105,000		20,959,136
Lloyds Bank PLC (United Kingdom)
6.38%	01/21/21³		4,920,000		5,082,411
Lloyds Banking Group PLC
(United Kingdom)
2.86%	03/17/23^3,9		136,460,000		140,620,646
2.91%	11/07/23^3,9		161,645,000		167,885,645
3.87%	07/09/25^3,9		7,745,000		8,422,968
3.90%	03/12/24³		36,376,000		39,862,641
4.05%	08/16/23³		4,605,000		5,009,250
Santander UK Group Holdings PLC
(United Kingdom)
3.37%	01/05/24^3,9		69,825,000		73,340,546
4.80%	11/15/24^3,9		69,325,000		76,770,584
Santander UK PLC (United Kingdom)
5.00%	11/07/23^2,3		60,000		65,561
Wells Fargo & Co.
3.07%	04/30/41⁹		138,940,000		145,467,840
Wells Fargo & Co. (GMTN)
2.60%	07/22/20		10,326,000		10,338,968
Wells Fargo & Co. (MTN)
2.16%	02/11/26⁹		37,755,000		38,966,388
2.39%	06/02/28⁹		135,185,000		139,808,527
2.57%	02/11/31⁹		63,989,000		67,007,103
2.88%	10/30/30⁹		142,778,000		152,763,990
5.01%	04/04/51⁹		165,453,000		230,661,242
Wells Fargo Bank N.A. (BKNT)
2.08%	09/09/22⁹		96,425,000		97,977,870


					2,884,299,998


Communications — 4.00%
AT&T, Inc.
3.88%	01/15/26		100,000		112,747
4.30%	02/15/30		41,347,000		48,519,639



Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
4.30%	12/15/42	$	35,790,000	$	39,710,546
4.35%	03/01/29		24,945,000		29,086,917
4.35%	06/15/45		34,916,000		39,214,308
4.50%	05/15/35		48,155,000		56,909,191
4.50%	03/09/48		10,360,000		12,089,020
4.75%	05/15/46		133,446,000		160,231,431
4.80%	06/15/44		156,564,000		184,453,786
4.85%	03/01/39		4,620,000		5,592,701
4.90%	08/15/37		12,466,000		15,017,346
5.15%	11/15/46		14,600,000		18,112,272
5.25%	03/01/37		158,179,000		198,339,845
(LIBOR USD 3-Month plus 1.18%)
1.50%	06/12/24¹		50,000		50,191
C&W Senior Financing DAC (Ireland)
6.88%	09/15/27^2,3		3,150,000		3,135,526
CCO Holdings LLC/CCO Holdings
Capital Corp.
4.50%	08/15/30²		68,836,000		70,901,080
4.75%	03/01/30²		6,192,000		6,345,066
5.13%	05/01/27²		5,545,000		5,744,997
5.38%	06/01/29²		18,207,000		19,229,141
5.88%	04/01/24²		3,638,000		3,755,325
CenturyLink, Inc.
4.00%	02/15/27²		19,050,000		18,529,067
Charter Communications Operating LLC/
Charter Communications Operating Capital
3.75%	02/15/28		100,000		109,188
4.50%	02/01/24		672,000		743,995
4.80%	03/01/50		20,318,000		22,885,789
4.91%	07/23/25		18,074,000		20,828,116
5.38%	04/01/38		2,030,000		2,455,546
5.38%	05/01/47		46,143,000		54,906,545
5.75%	04/01/48		26,342,000		32,809,488
Comcast Corp.
3.97%	11/01/47		7,195,000		8,699,534
4.00%	11/01/49		1,865,000		2,294,291
4.60%	10/15/38		2,000,000		2,531,814
Cox Communications, Inc.
3.15%	08/15/24²		14,235,000		15,325,403
CSC Holdings LLC
5.38%	07/15/23²		200,000		203,040
5.38%	02/01/28²		17,826,000		18,679,955
5.50%	05/15/26²		598,000		615,506
5.50%	04/15/27²		3,945,000		4,105,960
6.50%	02/01/29²		6,447,000		7,063,494
6.63%	10/15/25²		1,217,000		1,266,041
6.75%	11/15/21		4,216,000		4,437,445
Fox Corp.
3.50%	04/08/30		3,105,000		3,474,422



Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
5.58%	01/25/49	$	12,075,000	$	16,843,070
Intelsat Jackson Holdings SA (Luxembourg)⁶
5.50%	08/01/23^3,7		28,726,000		16,446,353
8.50%	10/15/24^2,3,7		114,959,000		70,268,689
9.75%	07/15/25^2,3,7		29,653,000		18,264,665
Koninklijke KPN NV (Netherlands)
8.38%	10/01/30³		36,548,000		53,531,162
Level 3 Financing, Inc.
3.88%	11/15/29²		65,951,000		69,686,135
4.63%	09/15/27²		29,576,000		29,881,964
5.38%	01/15/24		6,147,000		6,246,889
5.38%	05/01/25		4,763,000		4,911,844
5.63%	02/01/23		2,171,000		2,179,282
NBCUniversal Media LLC
4.45%	01/15/43		5,000,000		6,304,406
Qwest Corp.
7.25%	09/15/25		9,409,000		10,702,738
SES GLOBAL Americas Holdings GP
5.30%	03/25/44²		50,505,000		50,371,308
SES SA (Luxembourg)
3.60%	04/04/23^2,3		16,882,000		17,479,500
Sirius XM Radio, Inc.
3.88%	08/01/22²		1,910,000		1,929,310
Sprint Corp.
7.88%	09/15/23		12,820,000		14,454,486
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%	09/20/21²		53,838,750		54,696,401
4.74%	03/20/25²		91,031,000		99,120,470
5.15%	03/20/28²		236,548,000		272,872,311
TEGNA, Inc.
5.50%	09/15/24²		354,000		358,094
Time Warner Cable LLC
4.50%	09/15/42		18,977,000		20,233,264
5.50%	09/01/41		30,584,000		37,010,238
5.88%	11/15/40		41,652,000		51,780,933
T-Mobile USA, Inc.
2.55%	02/15/31²		39,925,000		40,165,349
3.88%	04/15/30²		196,908,000		219,519,930
4.38%	04/15/40²		6,315,000		7,332,315
4.50%	02/01/26		3,639,000		3,715,783
4.75%	02/01/28		16,028,000		17,012,119
6.00%	03/01/23		48,736,000		49,022,080
6.00%	04/15/24		50,508,000		51,761,356
6.50%	01/15/24		18,635,000		19,000,246
Verizon Communications, Inc.
4.40%	11/01/34		9,800,000		12,189,999
4.50%	08/10/33		2,000,000		2,493,868



Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
ViacomCBS, Inc.
3.45%	10/04/26	$	2,913,000	$	3,091,126
3.70%	06/01/28		1,175,000		1,271,339
4.20%	05/19/32		32,770,000		36,633,980
4.95%	01/15/31		4,385,000		5,188,817
4.95%	05/19/50		18,935,000		21,130,135
5.85%	09/01/43		11,842,000		14,055,918
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%	08/15/26^2,3		19,102,000		19,595,691
5.50%	05/15/29^2,3		71,116,000		74,444,584
Vodafone Group PLC (United Kingdom)
3.75%	01/16/24³		90,000		98,522
4.13%	05/30/25³		20,399,000		23,088,029
4.25%	09/17/50³		80,890,000		94,788,676
4.88%	06/19/49³		159,972,500		202,516,530
5.25%	05/30/48³		67,026,500		87,675,458
Walt Disney Co. (The)
2.00%	09/01/29		52,832,000		53,880,525
2.65%	01/13/31		123,025,000		130,925,472
2.75%	09/01/49		2,000,000		1,947,224
3.50%	05/13/40		80,500,000		88,234,774
3.60%	01/13/51		4,065,000		4,549,702
4.63%	03/23/40		46,500,000		58,317,128
5.40%	10/01/43		5,000,000		6,804,280


					3,414,540,181


Consumer Discretionary — 1.03%
Anheuser-Busch Cos. LLC/Anheuser-Busch
InBev Worldwide, Inc.
4.70%	02/01/36		2,033,000		2,394,307
4.90%	02/01/46		99,164,000		121,721,843
Anheuser-Busch InBev Worldwide, Inc.
3.50%	06/01/30		2,015,000		2,270,434
4.00%	04/13/28		100,000		115,730
4.35%	06/01/40		75,050,000		85,782,139
4.38%	04/15/38		2,780,000		3,160,777
4.60%	04/15/48		29,578,000		34,685,061
4.60%	06/01/60		63,922,000		76,617,853
5.45%	01/23/39		2,000,000		2,530,075
Bacardi Ltd. (Bermuda)
4.70%	05/15/28^2,3		10,826,000		12,260,801
5.15%	05/15/38^2,3		12,881,000		15,148,020
5.30%	05/15/48^2,3		39,836,000		49,355,722
BAT Capital Corp.
4.39%	08/15/37		66,445,000		72,585,559
4.54%	08/15/47		106,416,000		115,727,960
4.76%	09/06/49		20,502,000		22,839,679
5.28%	04/02/50		5,356,000		6,509,339



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
BAT International Finance PLC (EMTN) (United Kingdom)
2.25%		09/09/52	³	$	11,770,000	$	12,057,856
Colt Merger Sub, Inc.
5.75%		07/01/25	²		7,000,000		7,057,400
6.25%		07/01/25	²		20,423,000		20,379,122
Constellation Brands, Inc.
2.88%		05/01/30			10,165,000		10,797,343
NIKE, Inc.
3.25%		03/27/40			27,500,000		30,830,845
3.38%		03/27/50			7,235,000		8,366,883
Reckitt Benckiser Treasury Services PLC
(United Kingdom)
2.75%		06/26/24	^2,3		200,000		212,790
Reynolds American, Inc.
5.70%		08/15/35			34,320,000		42,379,856
5.85%		08/15/45			93,287,000		115,133,868
Reynolds Group Issuer, Inc./Reynolds Group Issuer
LLC/Reynolds Group Issuer Luxembourg SA
(LIBOR USD 3-Month plus 3.50%)
4.72%		07/15/21	^1,2		8,770,000		8,728,913
Spectrum Brands, Inc.
5.75%		07/15/25			10,000		10,363
6.13%		12/15/24			1,369,000		1,410,106


							881,070,644

Consumer Products — 0.01%
Procter & Gamble Co. (The)
3.00%		03/25/30			3,707,000		4,250,667
3.55%		03/25/40			4,000,000		4,814,946


							9,065,613

Electric — 1.16%
Alliant Energy Finance LLC
3.75%		06/15/23	²		34,081,000		36,588,305
American Electric Power Co., Inc., Series F
2.95%		12/15/22			4,511,000		4,743,771
American Electric Power Co., Inc., Series I
3.65%		12/01/21			14,300,000		14,917,996
American Electric Power Co., Inc., Series J
4.30%		12/01/28			18,480,000		21,746,986
Appalachian Power Co.
4.45%		06/01/45			100,000		120,762
Appalachian Power Co., Series Z
3.70%		05/01/50			17,575,000		19,763,593
Arizona Public Service Co.
3.35%		05/15/50			14,700,000		15,755,027
Black Hills Corp.
4.35%		05/01/33			40,000		44,908
Cleco Power LLC
6.00%		12/01/40			150,000		189,135



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Consolidated Edison Co. of New York, Inc.
3.70%		11/15/59		$	5,740,000	$	6,506,660
Consolidated Edison Co. of New York, Inc.,
Series E
4.65%		12/01/48			14,546,000		18,720,835
Dominion Energy, Inc.
2.45%		01/15/23	²		160,175,000		165,431,988
(LIBOR USD 3-Month plus 0.40%)
0.75%		12/01/20	^1,2		45,075,000		44,953,837
Dominion Energy, Inc., Series A
3.30%		03/15/25			16,945,000		18,500,808
Duke Energy Carolinas LLC
4.00%		09/30/42			11,040,000		13,440,045
4.25%		12/15/41			16,458,000		20,333,405
Entergy Corp.
4.00%		07/15/22			12,632,000		13,460,585
Evergy Metro, Inc.
3.65%		08/15/25			13,885,000		15,664,832
Evergy Missouri West, Inc.
8.27%		11/15/21			75,000		81,851
Evergy, Inc.
2.45%		09/15/24			38,140,000		40,331,080
4.85%		06/01/21			2,521,000		2,590,628
Eversource Energy, Series N
3.80%		12/01/23			12,025,000		13,196,861
FirstEnergy Corp., Series C
3.40%		03/01/50			5,000,000		5,314,366
FirstEnergy Transmission LLC
4.35%		01/15/25	²		23,330,000		26,488,113
4.55%		04/01/49	²		13,175,000		16,174,289
5.45%		07/15/44	²		24,625,000		31,885,599
ITC Holdings Corp.
3.65%		06/15/24			5,165,000		5,623,933
Jersey Central Power & Light Co.
4.30%		01/15/26	²		4,980,000		5,766,631
4.70%		04/01/24	²		37,747,000		42,378,943
6.40%		05/15/36			11,630,000		15,301,847
LG&E and KU Energy LLC
4.38%		10/01/21			14,595,000		15,131,012
Metropolitan Edison Co.
3.50%		03/15/23	²		10,715,000		11,386,422
4.00%		04/15/25	²		35,719,000		40,045,908
4.30%		01/15/29	²		16,746,000		19,877,596
Minejesa Capital BV (Netherlands)
5.63%		08/10/37	^2,3		4,400,000		4,534,750
Mong Duong Finance Holdings BV, Series REGS
(Netherlands)
5.13%		05/07/29	³		13,350,000		13,494,331



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Narragansett Electric Co. (The)
3.40%		04/09/30	²	$	11,655,000	$	13,037,505
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.55%)
0.92%		08/28/21	¹		44,555,000		44,571,255
Niagara Mohawk Power Corp.
4.28%		12/15/28	²		21,775,000		25,728,028
Pennsylvania Electric Co.
3.25%		03/15/28	²		125,000		136,061
4.15%		04/15/25	²		28,335,000		31,651,663
Perusahaan Listrik Negara PT, Series REGS (EMTN)
(Indonesia)
6.15%		05/21/48	³		8,400,000		10,493,885
PNM Resources, Inc.
3.25%		03/09/21			34,395,000		34,912,314
Public Service Co. of New Mexico
3.85%		08/01/25			14,390,000		15,845,663
5.35%		10/01/21			5,065,000		5,231,936
Southwestern Electric Power Co.
3.55%		02/15/22			15,882,000		16,409,536
Southwestern Electric Power Co., Series K
2.75%		10/01/26			36,488,000		38,896,509
Tucson Electric Power Co.
4.85%		12/01/48			8,755,000		11,445,967


							988,847,960

Energy — 3.19%
Antero Resources Corp.
5.00%		03/01/25			77,293,000		45,844,411
5.13%		12/01/22			19,312,000		13,995,889
5.63%		06/01/23			17,786,000		11,383,040
BP Capital Markets America, Inc.
3.00%		02/24/50			5,060,000		4,986,805
3.63%		04/06/30			52,825,000		60,063,589
Canadian Natural Resources Ltd.
(Canada)
3.85%		06/01/27	³		20,000		21,464
Cheniere Energy Partners LP
5.25%		10/01/25			7,040,000		7,023,808
Chevron Corp.
2.24%		05/11/30			14,610,000		15,370,819
Concho Resources, Inc.
3.75%		10/01/27			75,000		79,948
Ecopetrol SA (Colombia)
5.88%		05/28/45	³		3,600,000		3,799,062
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%		01/30/26	²		2,377,000		2,282,883
5.75%		01/30/28	²		2,109,000		2,029,522



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Energy Transfer Operating LP
3.75%		05/15/30		$	18,620,000	$	18,556,716
4.05%		03/15/25			6,439,000		6,849,996
4.20%		04/15/27			10,000,000		10,469,460
4.90%		03/15/35			5,160,000		5,250,465
4.95%		06/15/28			3,678,000		3,952,322
5.00%		05/15/50			81,999,000		77,921,814
5.15%		03/15/45			64,112,000		60,427,939
5.25%		04/15/29			11,860,000		12,992,013
5.30%		04/15/47			8,913,000		8,639,903
5.50%		06/01/27			53,939,000		60,205,190
5.88%		01/15/24			6,673,000		7,443,598
6.13%		12/15/45			15,405,000		16,134,238
6.25%		04/15/49			13,155,000		13,964,778
Enterprise Products Operating LLC
3.70%		01/31/51			5,000,000		5,280,662
4.85%		03/15/44			5,000,000		5,813,613
EQT Corp.
3.90%		10/01/27			117,429,000		95,881,366
Equinor ASA (Norway)
3.13%		04/06/30	³		4,980,000		5,504,381
3.70%		04/06/50	³		85,000		97,126
Exxon Mobil Corp.
2.61%		10/15/30			2,060,000		2,210,679
3.45%		04/15/51			5,000,000		5,564,019
3.48%		03/19/30			56,527,000		64,462,703
3.57%		03/06/45			5,000,000		5,631,240
4.23%		03/19/40			151,230,000		182,260,956
4.33%		03/19/50			152,290,000		190,797,827
Gulfport Energy Corp.
6.38%		05/15/25			5,618,000		2,822,764
Hess Corp.
4.30%		04/01/27			10,000,000		10,450,000
5.60%		02/15/41			34,496,000		36,245,703
5.80%		04/01/47			19,270,000		20,973,118
6.00%		01/15/40			5,095,000		5,515,338
HollyFrontier Corp.
5.88%		04/01/26			15,800,000		17,486,870
KazMunayGas National Co. JSC,
Series REGS (Kazakhstan)
5.75%		04/19/47	³		15,807,000		18,496,659
Kinder Morgan Energy Partners LP
4.25%		09/01/24			100,000		110,169
4.70%		11/01/42			5,000,000		5,419,699
5.00%		08/15/42			5,775,000		6,508,072
5.40%		09/01/44			5,000,000		5,930,538
5.80%		03/15/35			9,125,000		10,565,132
Kinder Morgan, Inc.
5.30%		12/01/34			13,970,000		16,268,346



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
5.55%		06/01/45		$	1,130,000	$	1,376,666
6.95%		06/01/28			5,465,000		6,179,958
Kinder Morgan, Inc. (GMTN)
7.80%		08/01/31			150,000		203,668
NGPL PipeCo LLC
4.38%		08/15/22	²		22,454,000		23,175,300
NiSource, Inc.
2.65%		11/17/22			75,000		78,407
Noble Energy, Inc.
5.05%		11/15/44			8,018,000		7,309,614
Occidental Petroleum Corp.
4.40%		08/15/49			7,000,000		4,850,426
4.50%		07/15/44			16,521,000		11,552,262
Pertamina Persero PT (Indonesia)
3.10%		08/25/30	^2,3		44,071,000		44,469,798
Petrobras Global Finance BV (Netherlands)
5.09%		01/15/30	^2,3		40,263,000		39,980,555
Petroleos del Peru SA, Series REGS (Peru)
4.75%		06/19/32	³		21,996,000		24,493,866
Petroleos Mexicanos (Mexico)
5.95%		01/28/31	^2,3		11,085,000		9,149,005
6.50%		01/23/29	³		80,000		69,962
6.63%		06/15/35	³		47,662,000		38,901,729
6.75%		09/21/47	³		148,565,000		114,488,646
6.95%		01/28/60	^2,3		34,555,000		26,659,183
7.69%		01/23/50	^2,3		112,817,000		94,540,646
Petronas Capital Ltd. (Malaysia)
3.50%		04/21/30	^2,3		10,487,000		11,676,762
Plains All American Pipeline LP/PAA
Finance Corp.
3.55%		12/15/29			31,332,000		30,456,992
3.85%		10/15/23			1,442,000		1,497,087
4.50%		12/15/26			2,454,000		2,607,814
4.65%		10/15/25			55,755,000		60,125,077
Range Resources Corp.
4.88%		05/15/25			14,184,000		10,726,289
Rockies Express Pipeline LLC
4.80%		05/15/30	²		4,075,000		3,805,235
4.95%		07/15/29	²		79,995,000		74,622,668
6.88%		04/15/40	²		44,867,000		43,745,325
Ruby Pipeline LLC
7.00%		04/01/22	²		64,620,000		60,567,034
Sabine Pass Liquefaction LLC
4.20%		03/15/28			46,890,000		50,583,542
4.50%		05/15/30	²		10,825,000		12,023,599
5.00%		03/15/27			9,915,000		11,088,028
5.63%		03/01/25			8,892,000		10,209,456
5.75%		05/15/24			6,616,000		7,485,922



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Saudi Arabian Oil Co.,
Series REGS (EMTN) (Saudi Arabia)
4.25%		04/16/39	³	$	5,663,000	$	6,331,942
Shell International Finance BV (Netherlands)
2.38%		11/07/29	³		74,469,000		78,292,160
3.13%		11/07/49	³		5,000,000		5,221,414
4.38%		05/11/45	³		5,000,000		6,157,335
Southern Co. Gas Capital Corp.
2.45%		10/01/23			49,306,000		51,800,299
4.40%		05/30/47			50,000		59,575
5.88%		03/15/41			12,990,000		17,278,455
Southern Gas Corridor CJSC,
Series REGS (Azerbaijan)
6.88%		03/24/26	³		27,592,000		31,803,312
Spectra Energy Partners LP
4.60%		06/15/21			6,115,000		6,296,622
4.75%		03/15/24			8,777,000		9,812,550
Sunoco Logistics Partners Operations LP
3.90%		07/15/26			26,439,000		27,829,024
4.00%		10/01/27			9,339,000		9,572,957
5.30%		04/01/44			6,630,000		6,362,467
5.35%		05/15/45			1,748,000		1,710,697
5.40%		10/01/47			47,603,000		46,873,533
Targa Resources Partners LP/Targa Resources Partners
Finance Corp.
6.88%		01/15/29			7,086,000		7,436,227
TC PipeLines LP
3.90%		05/25/27			69,054,000		73,092,110
4.38%		03/13/25			44,100,000		47,499,561
4.65%		06/15/21			6,108,000		6,253,185
Texas Eastern Transmission LP
2.80%		10/15/22	²		75,000		76,734
TransMontaigne Partners LP/
TLP Finance Corp.
6.13%		02/15/26			26,170,000		25,352,187
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^2,3		17,039,100		16,144,547
Transocean Pontus Ltd. (Cayman Islands)
6.13%		08/01/25	^2,3		20,434,120		17,982,026
Transocean Poseidon Ltd. (Cayman Islands)
6.88%		02/01/27	^2,3		31,359,000		27,125,535
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^2,3		14,595,750		13,501,069
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%		04/01/26			22,772,000		22,056,731
6.88%		09/01/27			18,132,000		17,333,285
Williams Cos., Inc. (The)
3.35%		08/15/22			7,025,000		7,287,740



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
3.90%		01/15/25		$	5,542,000	$	6,074,812
4.30%		03/04/24			8,994,000		9,847,645
4.50%		11/15/23			10,305,000		11,348,832
4.55%		06/24/24			10,196,000		11,309,006
5.10%		09/15/45			12,568,000		14,309,456
5.40%		03/04/44			5,000,000		5,574,347
6.30%		04/15/40			38,555,000		48,404,453
7.88%		09/01/21			3,563,000		3,831,638


							2,725,930,641

Entertainment — 0.03%
Live Nation Entertainment, Inc.
4.75%		10/15/27	²		12,043,000		10,388,352
5.63%		03/15/26	²		14,000,000		13,302,647


							23,690,999

Finance — 4.14%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.30%		01/23/23	³		16,075,000		15,730,879
3.50%		05/26/22	³		24,610,000		24,321,148
3.65%		07/21/27	³		16,845,000		14,924,253
3.88%		01/23/28	³		5,015,000		4,526,307
3.95%		02/01/22	³		103,630,000		103,708,874
4.13%		07/03/23	³		2,815,000		2,755,916
4.45%		12/16/21	³		20,560,000		20,768,350
4.50%		05/15/21	³		10,100,000		10,164,105
4.63%		07/01/22	³		3,030,000		3,063,720
4.88%		01/16/24	³		34,985,000		34,711,494
5.00%		10/01/21	³		46,362,000		46,904,906
Air Lease Corp.
2.25%		01/15/23			18,850,000		18,647,493
3.00%		09/15/23			28,655,000		28,464,841
3.25%		03/01/25			19,930,000		19,953,468
3.25%		10/01/29			5,000,000		4,781,531
3.50%		01/15/22			48,195,000		48,707,127
3.75%		02/01/22			26,209,000		26,519,389
4.25%		09/15/24			5,554,000		5,668,500
4.63%		10/01/28			2,000,000		2,062,191
Air Lease Corp. (MTN)
2.30%		02/01/25			40,320,000		38,643,387
3.00%		02/01/30			2,000,000		1,857,476
4.25%		02/01/24			5,000,000		5,122,052
Alta Wind Holdings LLC
7.00%		06/30/35	^2,4,5		4,107,717		4,981,325
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%		02/15/25	^2,3		43,160,000		36,416,944
3.63%		05/01/22	^2,3		15,545,000		14,659,730
3.95%		07/01/24	^2,3		35,499,000		31,395,335



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
5.13%		10/01/23	^2,3	$	67,451,000	$	62,473,428
5.25%		05/15/24	^2,3		22,545,000		20,641,760
5.50%		01/15/23	^2,3		14,689,000		13,837,992
Citigroup, Inc.
2.57%		06/03/31	⁹		127,145,000		131,673,674
2.67%		01/29/31	⁹		30,000,000		31,116,883
3.14%		01/24/23	⁹		26,870,000		27,798,318
3.20%		10/21/26			18,015,000		19,763,131
3.88%		10/25/23			11,880,000		13,062,872
Daimler Finance North America LLC
2.00%		07/06/21	²		89,400,000		90,120,529
2.20%		10/30/21	²		21,440,000		21,735,129
3.75%		11/05/21	²		5,103,000		5,277,824
(LIBOR USD 3-Month plus 0.90%)
1.29%		02/15/22	^1,2		54,915,000		54,275,966
Discover Financial Services
3.85%		11/21/22			8,794,000		9,321,879
Ford Motor Credit Co. LLC
2.34%		11/02/20			47,443,000		47,265,089
3.16%		08/04/20			36,578,000		36,623,723
3.20%		01/15/21			15,464,000		15,309,360
3.22%		01/09/22			98,287,000		96,096,183
3.34%		03/18/21			59,245,000		58,773,534
3.34%		03/28/22			46,346,000		45,148,970
3.47%		04/05/21			23,000,000		22,827,500
4.25%		09/20/22			19,823,000		19,505,039
5.09%		01/07/21			76,500,000		76,618,575
5.75%		02/01/21			59,254,000		59,827,579
(LIBOR USD 3-Month plus 0.81%)
1.11%		04/05/21	¹		13,740,000		13,233,118
(LIBOR USD 3-Month plus 0.88%)
2.19%		10/12/21	¹		58,605,000		55,623,121
(LIBOR USD 3-Month plus 1.08%)
1.64%		08/03/22	¹		11,865,000		10,875,222
(LIBOR USD 3-Month plus 1.27%)
1.58%		03/28/22	¹		62,180,000		58,151,542
(LIBOR USD 3-Month plus 3.14%)
3.42%		01/07/22	¹		12,075,000		11,596,381
GE Capital Funding LLC
4.40%		05/15/30	²		69,625,000		72,537,308
GE Capital International Funding Co. (Ireland)
4.42%		11/15/35	³		364,032,000		366,412,915
General Motors Financial Co., Inc.
2.45%		11/06/20			12,986,000		13,007,086
3.15%		06/30/22			11,161,000		11,362,896
3.20%		07/13/20			25,722,000		25,734,227
3.20%		07/06/21			31,220,000		31,571,373
3.45%		04/10/22			24,235,000		24,717,689
3.55%		04/09/21			65,795,000		66,594,417



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
3.70%		11/24/20		$	4,574,000	$	4,598,450
4.20%		03/01/21			26,759,000		27,102,134
4.20%		11/06/21			132,055,000		135,740,753
4.38%		09/25/21			91,205,000		93,692,760
(LIBOR USD 3-Month plus 0.85%)
1.12%		04/09/21	¹		10,000,000		9,919,695
Goldman Sachs Group, Inc. (The)
2.60%		02/07/30			68,959,000		72,565,844
2.88%		10/31/22	⁹		50,000		51,306
2.91%		06/05/23	⁹		4,605,000		4,774,557
2.91%		07/24/23	⁹		60,000		62,411
3.27%		09/29/25	⁹		70,845,000		76,418,596
3.69%		06/05/28	⁹		6,397,000		7,166,918
3.80%		03/15/30			62,062,000		70,591,599
3.81%		04/23/29	⁹		1,390,000		1,577,445
3.85%		01/26/27			140,000		158,042
Goldman Sachs Group, Inc. (The) (MTN)
3.85%		07/08/24			18,407,000		20,228,699
Morgan Stanley
4.30%		01/27/45			2,745,000		3,462,302
Morgan Stanley (GMTN)
2.70%		01/22/31	⁹		25,000,000		26,442,988
(SOFR Rate plus 0.70%)
0.77%		01/20/23	¹		155,515,000		155,006,912
Morgan Stanley (MTN)
2.72%		07/22/25	⁹		15,000,000		15,923,769
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^2,3,9		7,320,000		7,609,784
3.77%		03/08/24	^2,3,9		39,750,000		41,921,399
3.96%		07/18/30	^2,3,9		10,000,000		11,165,163
4.36%		08/01/24	^2,3,9		104,478,000		113,126,318
Park Aerospace Holdings Ltd.
(Cayman Islands)
3.63%		03/15/21	^2,3		9,990,000		9,669,153
4.50%		03/15/23	^2,3		35,061,000		32,005,682
5.25%		08/15/22	^2,3		91,843,000		86,252,568
5.50%		02/15/24	^2,3		96,095,000		87,981,504
Pipeline Funding Co. LLC
7.50%		01/15/30	²		25,308,111		34,244,132
Raymond James Financial, Inc.
4.65%		04/01/30			8,730,000		10,425,747
4.95%		07/15/46			56,046,000		68,529,610


							3,538,389,213

Food — 1.17%
Campbell Soup Co.
(LIBOR USD 3-Month plus 0.63%)
0.94%		03/15/21	¹		5,663,000		5,674,439



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Conagra Brands, Inc.
4.60%		11/01/25		$	14,443,000	$	16,667,021
(LIBOR USD 3-Month plus 0.50%)
0.77%		10/09/20	¹		8,270,000		8,274,970
JBS USA LLC/JBS USA Finance, Inc. (Canada)
6.75%		02/15/28	^2,3		5,000,000		5,309,375
JBS USA LUX SA/JBS USA
Food Co./JBS USA Finance, Inc. (Canada)
5.50%		01/15/30	^2,3		25,943,000		26,635,419
6.50%		04/15/29	^2,3		1,725,000		1,834,641
Kraft Heinz Foods Co.
3.75%		04/01/30	²		89,250,000		92,341,662
4.00%		06/15/23			27,350,000		28,987,566
4.38%		06/01/46			131,876,000		129,578,628
4.63%		01/30/29			8,825,000		9,575,578
4.63%		10/01/39	²		85,895,000		86,211,486
4.88%		10/01/49	²		61,735,000		64,042,659
5.00%		07/15/35			102,514,000		113,003,740
5.00%		06/04/42			94,220,000		99,404,684
5.20%		07/15/45			67,171,000		72,948,693
6.50%		02/09/40			32,500,000		39,234,712
6.75%		03/15/32			3,475,000		4,341,775
6.88%		01/26/39			53,494,000		66,654,926
Kroger Co. (The)
3.95%		01/15/50			10,000,000		11,380,439
5.40%		01/15/49			22,720,000		31,091,298
Pilgrim’s Pride Corp.
5.75%		03/15/25	²		9,540,000		9,522,100
5.88%		09/30/27	²		16,040,000		16,074,980
Post Holdings, Inc.
4.63%		04/15/30	²		6,555,000		6,428,161
5.00%		08/15/26	²		8,344,000		8,391,352
5.50%		12/15/29	²		9,584,000		9,927,203
5.63%		01/15/28	²		7,685,000		7,992,400
5.75%		03/01/27	²		19,617,000		20,499,765
Tyson Foods, Inc.
5.10%		09/28/48			7,000,000		9,089,412


							1,001,119,084

Gaming — 0.04%
Churchill Downs, Inc.
5.50%		04/01/27	²		32,629,000		31,954,189
MGM Resorts International
6.00%		03/15/23			30,000		30,317


							31,984,506

Health Care — 4.62%
AbbVie, Inc.
3.20%		11/21/29	²		206,026,000		227,615,753



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
3.25%		10/01/22	²	$	14,252,000	$	15,010,541
3.80%		03/15/25	²		78,627,000		87,479,410
3.85%		06/15/24	²		37,143,000		40,727,551
4.05%		11/21/39	²		2,025,000		2,372,186
4.25%		11/21/49	²		88,157,000		106,968,811
4.40%		11/06/42			99,381,000		120,305,688
4.45%		05/14/46			49,606,000		60,812,992
4.85%		06/15/44	²		6,130,000		7,672,969
4.88%		11/14/48			18,457,000		24,107,193
Aetna, Inc.
4.13%		11/15/42			6,375,000		7,283,742
Alcon Finance Corp.
2.60%		05/27/30	²		42,600,000		43,815,303
2.75%		09/23/26	²		5,000,000		5,386,410
Amgen, Inc.
4.40%		05/01/45			34,700,000		43,110,891
4.66%		06/15/51			14,483,000		19,339,032
Anthem, Inc.
2.88%		09/15/29			42,502,000		46,232,835
3.50%		08/15/24			17,515,000		19,280,437
3.65%		12/01/27			29,240,000		33,336,137
4.10%		03/01/28			14,986,000		17,623,822
5.10%		01/15/44			2,500,000		3,301,691
Banner Health
2.34%		01/01/30			16,165,000		16,663,356
Banner Health, Series 2020
3.18%		01/01/50			85,000		91,839
Bausch Health Americas, Inc.
9.25%		04/01/26	²		2,722,000		2,960,175
Bausch Health Cos., Inc. (Canada)
5.75%		08/15/27	^2,3		81,000		86,047
7.00%		03/15/24	^2,3		34,744,000		36,118,820
Bayer U.S. Finance II LLC
3.88%		12/15/23	²		61,160,000		67,138,510
3.95%		04/15/45	²		10,790,000		11,885,808
4.25%		12/15/25	²		31,772,000		36,530,270
4.38%		12/15/28	²		355,935,000		416,259,458
4.40%		07/15/44	²		53,566,000		62,786,945
4.63%		06/25/38	²		36,299,000		44,349,002
4.88%		06/25/48	²		97,951,000		125,443,609
5.50%		08/15/25	²		13,932,000		16,684,201
5.50%		07/30/35	²		3,820,000		4,994,229
Bayer U.S. Finance LLC
3.38%		10/08/24	²		9,055,000		9,874,775
Becton Dickinson and Co.
2.82%		05/20/30			28,095,000		29,765,568
3.25%		11/12/20			12,096,000		12,201,840
3.30%		03/01/23			10,000,000		10,578,650
3.36%		06/06/24			2,235,000		2,409,294



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
(LIBOR USD 3-Month plus 0.88%)
1.18%		12/29/20	¹	$	100,779,000	$	100,787,305
Boston Scientific Corp.
2.65%		06/01/30			63,560,000		66,265,131
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	²		7,001,000		7,132,339
5.00%		07/15/27	²		13,935,000		14,489,892
Centene Corp.
3.38%		02/15/30			23,822,000		24,082,801
4.25%		12/15/27			49,240,000		50,925,239
4.63%		12/15/29			45,307,000		47,912,153
4.75%		05/15/22			173,000		175,331
4.75%		01/15/25			2,785,000		2,854,792
5.38%		06/01/26	²		1,000,000		1,044,790
Cigna Corp.
2.40%		03/15/30			43,496,000		45,189,333
3.05%		10/15/27	²		10,414,000		11,317,725
3.20%		03/15/40			9,157,000		9,753,041
3.40%		03/01/27	²		11,810,000		13,020,618
3.88%		10/15/47	²		35,257,000		40,520,138
4.38%		10/15/28			10,060,000		11,914,128
4.50%		02/25/26	²		11,097,000		12,918,630
4.80%		08/15/38			35,478,000		45,039,449
4.80%		07/15/46	²		38,613,000		48,596,826
4.90%		12/15/48			3,545,000		4,680,614
(LIBOR USD 3-Month plus 0.89%)
2.11%		07/15/23	¹		62,890,000		63,235,851
CVS Health Corp.
2.13%		06/01/21			2,865,000		2,902,981
3.25%		08/15/29			10,310,000		11,413,438
4.78%		03/25/38			23,581,000		29,338,039
4.88%		07/20/35			22,450,000		28,297,074
5.05%		03/25/48			138,900,000		181,999,869
5.13%		07/20/45			106,790,000		137,809,048
Elanco Animal Health, Inc.
4.66%		08/27/21			20,850,000		21,358,219
5.02%		08/28/23			37,890,000		39,950,269
5.65%		08/28/28			12,539,000		13,958,101
Encompass Health Corp.
4.50%		02/01/28			2,950,000		2,854,125
4.75%		02/01/30			44,743,000		42,805,181
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	²		3,850,000		3,875,249
5.88%		01/31/22	²		8,964,000		9,518,526
HCA, Inc.
4.13%		06/15/29			10,936,000		12,085,111
4.75%		05/01/23			10,472,000		11,366,749
5.00%		03/15/24			69,135,000		76,855,125
5.13%		06/15/39			65,000		75,907



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.25%		04/15/25		$	12,749,000	$	14,630,765
5.25%		06/15/26			37,878,000		43,789,221
5.25%		06/15/49			219,473,000		263,571,475
Humana, Inc.
3.13%		08/15/29			39,439,000		42,816,550
3.85%		10/01/24			7,000,000		7,676,337
3.95%		08/15/49			20,010,000		23,642,240
Memorial Sloan-Kettering Cancer Center, Series 2015
4.20%		07/01/55			7,210,000		9,451,803
Molina Healthcare, Inc.
4.38%		06/15/28	²		5,000,000		5,012,780
4.88%		06/15/25	²		10,515,000		10,605,902
5.38%		11/15/22			16,345,000		16,708,268
NYU Langone Hospitals, Series 2020
3.38%		07/01/55			155,000		155,266
OhioHealth Corp., Series 2020
3.04%		11/15/50			19,675,000		21,051,898
Partners Healthcare System, Inc.,
Series 2020
3.34%		07/01/60			1,765,000		1,896,788
Teleflex, Inc.
4.25%		06/01/28	²		75,000		77,016
4.63%		11/15/27			4,216,000		4,437,340
Tenet Healthcare Corp.
4.63%		07/15/24			12,180,000		11,950,346
4.63%		09/01/24	²		39,812,000		39,377,198
4.88%		01/01/26	²		26,557,000		25,900,245
5.13%		11/01/27	²		28,489,000		28,192,714
UnitedHealth Group, Inc.
3.13%		05/15/60			35,060,000		37,618,546
3.70%		08/15/49			31,435,000		37,428,007
3.88%		08/15/59			15,320,000		18,811,859
4.25%		04/15/47			13,825,000		17,813,713
4.25%		06/15/48			20,000,000		25,698,067
4.45%		12/15/48			20,116,000		26,453,141
4.75%		07/15/45			34,236,000		45,938,992
Zimmer Biomet Holdings, Inc.
3.05%		01/15/26			5,600,000		6,018,915
3.55%		03/20/30			53,724,000		58,139,187
(LIBOR USD 3-Month plus 0.75%)
1.07%		03/19/21	¹		16,850,000		16,848,452


							3,948,637,958

Industrials — 0.61%
Amcor Finance USA, Inc.
3.63%		04/28/26			11,781,000		12,832,915
4.50%		05/15/28			4,285,000		4,931,906



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	$	3,344,000	$	3,306,714
BAE Systems PLC (United Kingdom)
3.40%		04/15/30	^2,3		5,345,000		5,833,541
Ball Corp.
4.00%		11/15/23			9,532,000		9,972,855
Bemis Co., Inc.
2.63%		06/19/30			1,930,000		1,981,649
Berry Global, Inc.
4.88%		07/15/26	²		25,728,000		26,140,806
General Electric Co.
4.13%		10/09/42			6,416,000		6,143,165
4.25%		05/01/40			17,785,000		17,732,796
General Electric Co. (GMTN)
6.88%		01/10/39			4,273,000		5,255,196
General Electric Co. (MTN)
5.88%		01/14/38			102,907,000		115,459,941
(LIBOR USD 3-Month plus 0.38%)
0.92%		05/05/26	¹		9,790,000		8,587,556
(LIBOR USD 3-Month plus 0.48%)
0.87%		08/15/36	¹		11,550,000		7,475,647
General Electric Co., Series A (MTN)
6.75%		03/15/32			48,228,000		58,721,578
General Electric Co., Series NOTZ
(LIBOR USD 3-Month plus 1.00%)
2.22%		04/15/23	¹		10,789,000		10,474,501
Graphic Packaging International LLC
3.50%		03/15/28	²		2,540,000		2,524,794
4.13%		08/15/24			1,325,000		1,372,892
4.75%		07/15/27	²		6,346,000		6,758,490
4.88%		11/15/22			5,665,000		5,869,025
L3 Technologies, Inc.
4.40%		06/15/28			45,000		53,539
L3Harris Technologies, Inc.
1.94%		02/15/21			75,000		76,047
3.95%		05/28/24			17,890,000		19,776,984
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	²		8,385,000		8,253,880
OI European Group BV (Netherlands)
4.00%		03/15/23	^2,3		3,364,000		3,325,566
Packaging Corp. of America
3.00%		12/15/29			5,000,000		5,436,197
PowerTeam Services LLC
9.03%		12/04/25	²		64,810,000		66,138,383
Sealed Air Corp.
4.00%		12/01/27	²		6,930,000		6,964,650
4.88%		12/01/22	²		6,050,000		6,270,964
5.13%		12/01/24	²		3,255,000		3,484,884



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
5.25%		04/01/23	²	$	3,800,000	$	3,986,599
5.50%		09/15/25	²		21,591,000		23,452,127
Trivium Packaging Finance BV (Netherlands)
5.50%		08/15/26	^2,3		46,382,000		47,234,015
WRKCo, Inc.
4.90%		03/15/29			12,253,000		14,675,035


							520,504,837

Information Technology — 0.84%
Apple, Inc.
3.85%		05/04/43			3,448,000		4,261,444
3.85%		08/04/46			2,000,000		2,492,711
4.38%		05/13/45			2,000,000		2,652,172
4.65%		02/23/46			2,000,000		2,757,002
Broadcom Corp./Broadcom Cayman
Finance Ltd.
3.63%		01/15/24			128,283,000		138,087,699
Broadcom, Inc.
3.13%		10/15/22	²		77,850,000		81,155,539
3.63%		10/15/24	²		23,025,000		25,023,737
Change Healthcare Holdings LLC/Change
Healthcare Finance, Inc.
5.75%		03/01/25	²		11,998,000		11,908,015
Dell International LLC/EMC Corp.
4.42%		06/15/21	²		68,490,000		70,410,290
Fiserv, Inc.
2.65%		06/01/30			27,130,000		28,807,603
3.20%		07/01/26			39,995,000		44,220,272
4.40%		07/01/49			5,000,000		6,071,703
Intel Corp.
3.73%		12/08/47			8,198,000		9,841,665
4.10%		05/19/46			40,000		50,243
4.60%		03/25/40			74,810,000		99,085,601
4.95%		03/25/60			20,230,000		29,923,709
IQVIA, Inc.
5.00%		05/15/27	²		14,032,000		14,417,880
Microsoft Corp.
2.68%		06/01/60			11,388,000		11,910,357
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^2,3		4,600,000		4,864,779
4.13%		06/01/21	^2,3		20,965,000		21,595,361
Oracle Corp.
3.60%		04/01/40			25,000,000		28,478,402
3.60%		04/01/50			26,285,000		29,388,899
3.85%		04/01/60			4,405,000		5,183,922
4.00%		11/15/47			7,000,000		8,180,779
SS&C Technologies, Inc.
5.50%		09/30/27	²		33,803,000		34,451,849


							715,221,633



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 0.58%
Aon Corp.
2.80%		05/15/30		$	58,010,000	$	62,154,989
Berkshire Hathaway Finance Corp.
4.20%		08/15/48			5,020,000		6,428,057
4.25%		01/15/49			4,600,000		5,920,279
Berkshire Hathaway, Inc.
4.50%		02/11/43			5,000,000		6,654,017
Farmers Exchange Capital
7.05%		07/15/28	²		13,283,000		16,331,998
7.20%		07/15/48	²		18,415,000		24,533,310
Farmers Exchange Capital II
6.15%		11/01/53	^2,9		61,460,000		74,827,550
Farmers Exchange Capital III
5.45%		10/15/54	^2,9		68,575,000		79,889,875
Farmers Insurance Exchange
4.75%		11/01/57	^2,9		17,070,000		17,352,167
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	²		1,435,000		1,479,461
Metropolitan Life Global Funding I
2.95%		04/09/30	²		31,350,000		34,399,973
Nationwide Mutual Insurance Co.
2.60%		12/15/24	^2,9		35,439,000		35,306,803
New York Life Insurance Co.
3.75%		05/15/50	²		8,110,000		9,184,317
Teachers Insurance & Annuity
Association of America
3.30%		05/15/50	²		91,990,000		95,077,242
4.38%		09/15/54	^2,9		19,950,000		21,196,875


							490,736,913

Materials — 0.29%
Corp. Nacional del Cobre de Chile,
Series REGS (Chile)
3.15%		01/14/30	³		30,738,000		32,105,534
Indonesia Asahan Aluminum Persero PT,
Series REGS (Indonesia)
6.53%		11/15/28	³		2,067,000		2,454,626
6.76%		11/15/48	³		13,119,000		16,087,869
Indonesia Asahan Aluminum Persero PT
(Indonesia)
6.53%		11/15/28	^2,3		9,000,000		10,687,777
International Flavors & Fragrances, Inc.
5.00%		09/26/48			138,429,000		161,762,174
Sasol Financing USA LLC
5.88%		03/27/24			8,420,000		7,535,900
Sherwin-Williams Co. (The)
2.30%		05/15/30			11,910,000		12,160,740
3.30%		05/15/50			2,000,000		2,045,882


							244,840,502



Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 1.02%
American Campus Communities
Operating Partnership LP
2.85%		02/01/30	$	26,295,000	$	25,421,198
3.63%		11/15/27		7,095,000		7,309,182
3.75%		04/15/23		45,679,000		47,063,889
3.88%		01/30/31		9,260,000		9,726,995
4.13%		07/01/24		4,095,000		4,307,834
Boston Properties LP
3.20%		01/15/25		30,520,000		32,801,575
3.25%		01/30/31		20,060,000		21,679,841
4.13%		05/15/21		350,000		356,141
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24		78,983,000		83,077,297
3.45%		11/15/29		7,045,000		7,336,781
Digital Realty Trust LP
3.63%		10/01/22		5,530,000		5,840,551
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24		28,739,000		29,218,367
4.00%		01/15/30		30,000		29,888
5.25%		06/01/25		70,067,000		76,541,191
5.30%		01/15/29		34,755,000		37,988,258
5.38%		11/01/23		33,993,000		36,346,326
5.38%		04/15/26		79,406,000		86,942,026
5.75%		06/01/28		34,128,000		37,697,959
Healthcare Realty Trust, Inc.
3.75%		04/15/23		20,945,000		21,821,400
3.88%		05/01/25		20,446,000		21,957,436
Healthcare Trust of America Holdings LP
3.10%		02/15/30		5,095,000		5,160,655
3.75%		07/01/27		18,945,000		20,020,368
Healthpeak Properties, Inc.
3.00%		01/15/30		5,530,000		5,800,628
3.15%		08/01/22		10,530,000		10,543,266
3.88%		08/15/24		19,274,000		21,127,268
4.20%		03/01/24		15,709,000		17,280,916
4.25%		11/15/23		1,768,000		1,926,432
Highwoods Realty LP
3.20%		06/15/21		75,000		76,217
Hudson Pacific Properties LP
3.95%		11/01/27		2,000,000		2,075,983
4.65%		04/01/29		9,585,000		10,363,012
Kilroy Realty LP
3.45%		12/15/24		28,590,000		29,461,595
Kimco Realty Corp.
3.40%		11/01/22		5,185,000		5,399,482
Life Storage LP
3.88%		12/15/27		6,960,000		7,599,975



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.50%		01/15/28		$	1,322,000	$	1,260,606
5.63%		05/01/24			10,000		10,376
Mid-America Apartments LP
4.30%		10/15/23			9,636,000		10,556,361
SBA Communications Corp.
4.88%		09/01/24			2,524,000		2,609,185
SL Green Operating Partnership LP
3.25%		10/15/22			44,126,000		44,214,164
(LIBOR USD 3-Month plus 0.98%)
1.37%		08/16/21	¹		21,735,000		21,421,109
SL Green Realty Corp.
4.50%		12/01/22			15,845,000		16,184,572
Ventas Realty LP
3.50%		02/01/25			12,540,000		12,958,490
3.75%		05/01/24			9,705,000		10,151,690
4.00%		03/01/28			2,000,000		2,125,767
Ventas Realty LP/Ventas Capital Corp.
3.25%		08/15/22			7,357,000		7,538,745
WEA Finance LLC
3.15%		04/05/22	²		6,330,000		6,425,543
Welltower, Inc.
3.75%		03/15/23			175,000		185,367
Weyerhaeuser Co.
7.38%		03/15/32			5,000,000		6,892,068


							872,833,975

Retail — 0.43%
Alimentation Couche-Tard, Inc. (Canada)
2.70%		07/26/22	^2,3		3,828,000		3,921,609
2.95%		01/25/30	^2,3		19,334,000		19,987,176
3.55%		07/26/27	^2,3		9,320,000		10,022,928
3.80%		01/25/50	^2,3		106,747,000		111,062,684
Family Dollar Stores, Inc.
5.00%		02/01/21			17,730,000		18,070,943
Lowe’s Cos., Inc.
3.70%		04/15/46			2,000,000		2,252,288
4.05%		05/03/47			2,000,000		2,358,232
4.55%		04/05/49			7,000,000		8,878,860
McDonald’s Corp. (MTN)
3.63%		05/01/43			5,000,000		5,503,836
3.63%		09/01/49			2,025,000		2,251,229
4.70%		12/09/35			5,000,000		6,351,755
Rite Aid Corp.
6.13%		04/01/23	²		11,404,000		11,108,922
Starbucks Corp.
2.00%		03/12/27			21,750,000		22,852,538
2.25%		03/12/30			42,345,000		44,097,382



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
3.35%		03/12/50		$	14,130,000	$	14,476,056
3.55%		08/15/29			5,000,000		5,708,176
4.45%		08/15/49			4,000,000		4,863,520
Walgreens Boots Alliance, Inc.
3.45%		06/01/26			42,647,000		46,230,821
3.80%		11/18/24			6,358,000		7,007,937
4.80%		11/18/44			13,049,000		14,199,021
Walmart, Inc.
4.05%		06/29/48			2,000,000		2,631,912


							363,837,825

Services — 0.64%
Brown University in Providence in the State of Rhode Island and Providence Plant, Series A
2.92%		09/01/50			41,650,000		43,930,604
DP World Crescent Ltd. (Cayman Islands)
4.85%		09/26/28	^2,3		7,600,000		8,029,932
Duke University, Series 2020
2.68%		10/01/44			29,660,000		31,193,012
2.83%		10/01/55			71,330,000		75,272,571
Emory University, Series 2020
2.14%		09/01/30			44,275,000		46,150,073
2.97%		09/01/50			37,150,000		40,004,508
Georgetown University (The), Series 20A
2.94%		04/01/50			5,000,000		4,907,595
GFL Environmental, Inc. (Canada)
5.13%		12/15/26	^2,3		23,726,000		24,582,834
Global Payments, Inc.
3.20%		08/15/29			2,000,000		2,144,952
4.15%		08/15/49			7,000,000		8,069,247
4.45%		06/01/28			5,000,000		5,873,290
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^2,3		17,806,000		19,592,209
4.13%		08/01/23	³		38,500,000		42,156,538
4.75%		02/15/25	^2,3		34,306,000		38,529,412
4.75%		08/01/28	³		2,767,000		3,254,919
5.00%		11/01/22	^2,3		83,285,000		89,433,090
Service Corp. International/U.S.
4.63%		12/15/27			1,922,000		2,009,268
University of Chicago (The), Series 20B
2.76%		04/01/45			60,000		61,793
Waste Pro USA, Inc.
5.50%		02/15/26	²		44,027,000		42,151,230
William Marsh Rice University
3.57%		05/15/45			12,964,000		15,358,799
3.77%		05/15/55			5,735,000		7,099,939


							549,805,815



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 0.47%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21		$	3,075,754	$	2,527,662
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%		01/31/21			1,602,882		1,370,906
American Airlines Pass-Through Trust,
Series 2013-1, Class A
4.00%		07/15/25			13,409,082		10,288,356
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%		01/15/23			48,550,772		39,442,555
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%		10/15/29			17,786,064		16,768,046
Burlington Northern Santa Fe LLC
4.05%		06/15/48			5,000,000		6,200,723
4.15%		04/01/45			5,000,000		6,212,637
4.15%		12/15/48			2,000,000		2,505,467
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A1
8.05%		11/01/20			1		1
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A
7.71%		04/02/21			508,587		508,708
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			55,307,296		52,426,610
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			245,371		211,930
Continental Airlines Pass-Through Trust,
Series 2010-1, Class A
4.75%		01/12/21			326,107		321,336
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			29,453,763		28,427,179
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			90,146,000		86,412,386
Empresa de Transporte de Pasajeros Metro SA (Chile)
3.65%		05/07/30	^2,3		9,660,000		10,450,913
Norfolk Southern Corp.
4.10%		05/15/49			5,000,000		6,076,386
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			2,766,973		2,652,543
SMBC Aviation Capital Finance DAC (Ireland)
3.00%		07/15/22	^2,3		20,315,000		20,426,056
U.S. Airways Pass-Through Trust,
Series 2001-1, Class G
7.08%		03/20/21			456,976		446,981



Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23	$	14,272,128	$	12,008,250
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23		2,701,308		2,254,916
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		34,401,124		31,545,528
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%	06/03/25		8,373		6,966
Union Pacific Corp.
3.25%	02/05/50		7,000,000		7,699,107
3.80%	10/01/51		5,000,000		5,993,701
3.84%	03/20/60		2,000,000		2,342,756
3.88%	02/01/55		5,000,000		5,842,124
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%	08/15/25		13,710,376		12,891,898
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%	03/01/30		32,585,955		30,712,263


					404,974,890

Water — 0.03%
American Water Capital Corp.
2.80%	05/01/30		5,000,000		5,469,121
3.45%	06/01/29		19,192,000		21,953,608


					27,422,729


Total Corporates
(Cost $22,507,348,686)					23,651,405,841


FOREIGN GOVERNMENT OBLIGATIONS — 0.87%
Foreign Government Obligations — 0.87%
Abu Dhabi Government International Bond,
Series REGS (United Arab Emirates)
2.50%	09/30/29³		38,500,000		40,454,645
Colombia Government International Bond
(Colombia)
3.00%	01/30/30³		20,859,000		20,652,704
3.88%	04/25/27³		13,311,000		14,040,709
5.20%	05/15/49³		2,102,000		2,477,596
Croatia Government International Bond,
Series REGS (Croatia)
6.00%	01/26/24³		18,065,000		20,706,139
Dominican Republic International Bond
(Dominican Republic)
4.50%	01/30/30^2,3		1,095,000		995,903



Issues	Maturity Date	Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Dominican Republic International Bond,
Series REGS (Dominican Republic)
5.50%	01/27/25³	$	12,019,000	$	11,485,657
6.00%	07/19/28³		31,022,000		31,346,763
Egypt Government International Bond
(Egypt)
5.58%	02/21/23^2,3		4,700,000		4,816,031
7.60%	03/01/29^2,3		3,550,000		3,630,430
Hungary Government International Bond
(Hungary)
5.38%	03/25/24³		23,298,000		26,504,923
Indonesia Government International Bond
(Indonesia)
2.85%	02/14/30³		12,786,000		13,084,829
Mexico Government International Bond
(Mexico)
3.25%	04/16/30³		81,682,000		81,023,643
3.75%	01/11/28³		10,635,000		11,071,354
4.50%	04/22/29³		11,767,000		12,806,909
4.60%	01/23/46³		18,506,000		19,153,247
Mexico Government International Bond
(MTN) (Mexico)
4.75%	03/08/44³		8,694,000		9,150,183
Panama Government International Bond
(Panama)
3.16%	01/23/30³		57,474,000		62,018,986
3.88%	03/17/28³		13,200,000		14,864,586
Paraguay Government International Bond
(Paraguay)
4.95%	04/28/31^2,3		3,477,000		3,872,404
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%	06/23/30^2,3		17,340,000		17,383,350
Perusahaan Penerbit SBSN Indonesia III,
Series REGS (Indonesia)
4.15%	03/29/27³		5,100,000		5,570,156
Peruvian Government International Bond
(Peru)
2.84%	06/20/30³		28,449,000		30,556,004
4.13%	08/25/27³		31,282,000		35,924,718
Qatar Government International Bond,
Series REGS (Qatar)
4.50%	04/23/28³		30,438,000		35,973,911
4.63%	06/02/46³		11,215,000		14,485,642
Republic of South Africa Government
International Bond (South Africa)
4.30%	10/12/28³		38,733,000		36,020,915
4.67%	01/17/24³		7,500,000		7,670,955
Russian Foreign Bond - Eurobond,
Series REGS (Russia)
4.25%	06/23/27³		7,200,000		8,064,000



Issues	Maturity Date	Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
4.38%	03/21/29³	$	19,200,000	$	21,845,011
4.75%	05/27/26³		9,400,000		10,725,964
Saudi Government International Bond,
Series REGS (EMTN) (Saudi Arabia)
3.63%	03/04/28³		24,942,000		27,498,555
4.50%	10/26/46³		19,091,000		22,011,732
Saudi Government International Bond
(Saudi Arabia)
2.75%	02/03/32^2,3		3,080,000		3,166,240
3.75%	01/21/55^2,3		4,255,000		4,349,495
4.00%	04/17/25^2,3		8,420,000		9,349,526
Uruguay Government International Bond
(Uruguay)
4.38%	10/27/27³		26,063,777		29,916,329
4.38%	01/23/31³		10,570,000		12,372,079


Total Foreign Government Obligations
(Cost $712,291,025)					737,042,223


MORTGAGE-BACKED — 42.35%**
Non-Agency Commercial
Mortgage-Backed — 1.17%
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2018-PARK, Class A
4.23%	08/10/38^2,9		122,930,000		143,411,973
Bayview Commercial Asset Trust,
Series 2004-1, Class A
(LIBOR USD 1-Month plus 0.54%)
0.72%	04/25/34^1,2		23,014		22,833
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
0.83%	08/25/34^1,2		203,558		192,053
BB-UBS Trust,
Series 2012-SHOW, Class A
3.43%	11/05/36²		8,640,000		8,315,523
Benchmark Mortgage Trust,
Series 2018-B2, Class A5
3.88%	02/15/51⁹		7,085,000		8,195,740
BX Trust, Series 2019-OC11, Class A
3.20%	12/09/41²		42,270,000		44,374,864
CALI Mortgage Trust, Series 2019-101C,
Class A
3.96%	03/10/39²		80,255,000		92,260,249
CALI Mortgage Trust, Series 2019-101C,
Class XA (IO)
0.44%	03/10/39^2,9		272,551,000		6,471,914
Century Plaza Towers, Series 2019-CPT,
Class A
2.87%	11/13/39²		32,645,000		35,763,218



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2015-GC31, Class A4
3.76%	06/10/48	$	10,000,000	$	11,023,868
Commercial Mortgage Trust,
Series 2013-CR12, Class A4
4.05%	10/10/46		440,000		474,617
Commercial Mortgage Trust,
Series 2016-787S, Class A
3.55%	02/10/36²		74,595,000		81,116,695
DBUBS Mortgage Trust,
Series 2017-BRBK, Class E
3.65%	10/10/34^2,9		5,697,000		5,528,281
DC Office Trust, Series 2019-MTC, Class A
2.97%	09/15/45²		31,135,000		33,756,885
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class A
3.67%	09/10/35^2,9		1,362,500		1,475,269
GE Business Loan Trust, Series 2007-1A,
Class A
(LIBOR USD 1-Month plus 0.17%)
0.35%	04/15/35^1,2		3,964,256		3,671,026
GS Mortgage Securities Trust,
Series 2010-C2, Class A1
3.85%	12/10/43²		535,793		535,827
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/39²		84,915,000		95,456,229
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
3.04%	12/10/41^2,9		81,025,000		89,665,441
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2015-JP1,
Class A5
3.91%	01/15/49		8,610,000		9,636,162
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2019-OSB,
Class A
3.40%	06/05/39²		50,000		55,905
Lehman Brothers Small Balance Commercial
Mortgage Trust, Series 2007-1A, Class 2A3
5.62%	03/25/37^2,9		1,475,969		1,417,946
MKT Mortgage Trust, Series 2020-525M,
Class A
2.69%	02/12/40²		70,000		74,200
Natixis Commercial Mortgage Securities
Trust, Series 2020-2PAC, Class A
2.97%	12/15/38²		55,000		57,078
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/54²		147,667,000		157,385,379



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial
Mortgage-Backed (continued)
Queens Center Mortgage Trust,
Series 2013-QCA, Class A
3.28%	01/11/37²	$	15,810,000	$	15,646,705
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.96%	01/15/32^2,9		103,130,000		97,959,433
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class A1
3.87%	01/05/43^2,9		48,465,000		44,137,706
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class A2B
4.14%	01/05/43^2,9		8,710,000		8,006,582


					996,089,601

Non-Agency Mortgage-Backed — 5.98%
Aames Mortgage Trust,
Series 2002-1, Class A3
(STEP-reset date 08/25/20)
7.40%	06/25/32		37,304		37,712
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.40%	02/25/37¹		39,158,356		38,420,448
ACE Securities Corp. Home Equity Loan
Trust, Series 2004-IN1, Class A1
(LIBOR USD 1-Month plus 0.64%)
0.82%	05/25/34¹		183,280		169,353
ACE Securities Corp. Home Equity Loan
Trust, Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.33%	06/25/36¹		3,147,066		2,479,014
ACE Securities Corp. Home Equity Loan
Trust, Series 2007-ASAP2, Class A1
(LIBOR USD 1-Month plus 0.19%)
0.37%	06/25/37¹		40,444,081		31,546,104
Adjustable Rate Mortgage Trust,
Series 2005-10, Class 6A1
(LIBOR USD 1-Month plus 0.54%)
0.72%	01/25/36¹		290,782		265,386
Adjustable Rate Mortgage Trust,
Series 2006-3, Class 4A32
(LIBOR USD 1-Month plus 0.20%)
0.38%	08/25/36¹		5,910,864		5,938,332
Aegis Asset-Backed Securities Trust,
Series 2005-5, Class 1A4
(LIBOR USD 1-Month plus 0.35%)
0.53%	12/25/35¹		107,104		105,356
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1
(STEP-reset date 07/25/20)
2.86%	07/25/59²		251,238		257,813



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31	$	7,072	$	7,409
Alternative Loan Trust,
Series 2005-38, Class A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.50%)
3.00%	09/25/35¹		483,898		427,352
Alternative Loan Trust,
Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.00%)
2.50%	02/25/36¹		52,041,822		48,284,729
Alternative Loan Trust,
Series 2005-84, Class 1A1
3.24%	02/25/36⁹		49,842		38,760
Alternative Loan Trust,
Series 2006-HY13, Class 4A1
3.84%	02/25/37⁹		1,426,238		1,344,179
Alternative Loan Trust,
Series 2006-OC5, Class 2A2A
(LIBOR USD 1-Month plus 0.17%)
0.35%	06/25/46¹		211,304		219,396
Alternative Loan Trust,
Series 2007-J1, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
0.38%	03/25/37¹		598,598		133,844
American Home Mortgage Assets Trust,
Series 2006-3, Class 2A12
(Federal Reserve US 12-Month Cumulative
Average plus 1.15%)
2.65%	10/25/46¹		44,433,125		36,056,170
American Home Mortgage Assets Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.13%)
0.31%	03/25/47¹		12,860,321		9,897,036
American Home Mortgage Investment Trust,
Series 2004-3, Class 2A
(LIBOR USD 6-Month plus 1.50%)
2.30%	10/25/34¹		5,883,406		5,761,615
Ameriquest Mortgage Securities Trust,
Series 2006-R1, Class M1
(LIBOR USD 1-Month plus 0.39%)
0.57%	03/25/36¹		13,912,452		13,638,271
Ameriquest Mortgage Securities, Inc.,
Asset-Backed Pass-Through Certificates,
Series 2004-R10, Class A1
(LIBOR USD 1-Month plus 0.66%)
0.84%	11/25/34¹		18,194,655		17,171,868



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Ameriquest Mortgage Securities, Inc.,
Asset-Backed Pass-Through Certificates,
Series 2005-R11, Class M1
(LIBOR USD 1-Month plus 0.45%)
0.63%	01/25/36¹	$	7,925,831	$	7,926,355
Amresco Residential Securities Corp.
Mortgage Loan Trust, Series 1998-1,
Class A5 (STEP-reset date 08/25/20)
6.50%	10/25/27		37,400		37,086
Argent Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2005-W2,
Class M1
(LIBOR USD 1-Month plus 0.49%)
0.67%	10/25/35¹		250,000		244,077
Argent Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2005-W3,
Class A1
(LIBOR USD 1-Month plus 0.26%)
0.44%	11/25/35¹		20,539,780		19,212,351
Argent Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2005-W3,
Class M1
(LIBOR USD 1-Month plus 0.44%)
0.62%	11/25/35¹		19,840,000		18,739,259
Asset-Backed Funding Certificates,
Series 2005-HE1, Class M1
(LIBOR USD 1-Month plus 0.63%)
0.81%	03/25/35¹		4,390,664		4,380,610
Asset-Backed Funding Certificates,
Series 2006-OPT3, Class A3B
(LIBOR USD 1-Month plus 0.16%)
0.34%	11/25/36¹		50,690,917		28,939,662
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2A
(LIBOR USD 1-Month plus 0.75%)
0.93%	06/25/37¹		29,751,130		26,149,824
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
1.18%	06/25/37¹		21,734,243		19,598,353
Asset-Backed Securities Corp. Home Equity
Loan Trust, Series 2006-HE5, Class A1
(LIBOR USD 1-Month plus 0.13%)
0.31%	07/25/36¹		9,941,840		9,372,665
Asset-Backed Securities Corp. Home Equity
Loan Trust, Series 2006-HE6, Class A5
(LIBOR USD 1-Month plus 0.23%)
0.41%	11/25/36¹		18,411,000		16,462,221
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		18,744		19,467



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust,
Series 2006-D, Class 3A1
3.59%	05/20/36⁹	$	4,642,964	$	4,350,725
Banc of America Funding Trust,
Series 2006-E, Class 2A1
3.51%	06/20/36⁹		70,852		65,091
Banc of America Funding Trust,
Series 2006-G, Class 2A1
(LIBOR USD 1-Month plus 0.44%)
0.63%	07/20/36¹		3,048,585		3,033,516
Banc of America Funding Trust,
Series 2006-H, Class 3A1
4.15%	09/20/46⁹		1,187,762		1,028,536
Banc of America Funding Trust,
Series 2014-R8, Class A1
(LIBOR USD 1-Month plus 0.24%)
0.42%	06/26/36^1,2		2,003,827		2,012,453
Banc of America Funding Trust,
Series 2015-R2, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
0.32%	08/27/36^1,2		21,377,920		20,162,419
Banc of America Funding Trust,
Series 2015-R2, Class 3A1
(LIBOR USD 1-Month plus 0.26%)
0.44%	04/29/37^1,2		5,056,301		5,060,691
Banc of America Funding Trust,
Series 2015-R2, Class 7A1
(LIBOR USD 1-Month plus 0.28%)
0.46%	09/29/36^1,2		1,498,012		1,507,850
Banc of America Funding Trust,
Series 2015-R2, Class 9A1
(LIBOR USD 1-Month plus 0.22%)
0.40%	03/27/36^1,2		2,628,688		2,632,547
Banc of America Funding Trust,
Series 2015-R5, Class 1A1
(LIBOR USD 1-Month plus 0.13%)
0.31%	10/26/36^1,2		12,349,907		12,289,765
Banc of America Funding Trust,
Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)
0.31%	10/26/36^1,2		42,536,000		40,522,116
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%	03/25/40^2,9		18,799,313		18,978,955
Banc of America Funding Trust,
Series 2016-R1, Class B2
3.50%	03/25/40^2,9		23,780,000		21,983,157
Banc of America Mortgage Trust,
Series 2004-F, Class 1A1
3.09%	07/25/34⁹		39,977		38,567



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Mortgage Trust,
Series 2005-C, Class 2A2
3.86%	04/25/35⁹	$	331,258	$	325,874
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%	07/25/46¹		122,805		120,868
Banc of America Mortgage Trust,
Series 2007-1, Class 1A24
6.00%	03/25/37		673,700		663,531
Banc of America Mortgage Trust,
Series 2007-3, Class 1A1
6.00%	09/25/37		327,465		322,170
BCAP LLC Trust, Series 2007-AA2,
Class 2A5
6.00%	04/25/37		284,961		221,110
BCAP LLC Trust, Series 2007-AA5,
Class A1
(LIBOR USD 1-Month plus 0.65%)
0.83%	09/25/47¹		19,588,374		17,779,911
Bear Stearns ALT-A Trust, Series 2005-4,
Class 22A2
3.89%	05/25/35⁹		15,978		16,044
Bear Stearns ALT-A Trust, Series 2005-7,
Class 11A1
(LIBOR USD 1-Month plus 0.54%)
0.72%	08/25/35¹		242,016		241,381
Bear Stearns ALT-A Trust, Series 2006-4,
Class 32A1
3.49%	07/25/36⁹		1,764,163		1,212,511
Bear Stearns ARM Trust, Series 2004-1,
Class 13A2
3.93%	04/25/34⁹		7,425		7,034
Bear Stearns ARM Trust, Series 2004-10,
Class 14A1
3.86%	01/25/35⁹		2,687,817		2,459,232
Bear Stearns ARM Trust, Series 2006-4,
Class 2A1
3.67%	10/25/36⁹		441,317		407,574
Bear Stearns Asset-Backed Securities I
Trust, Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
0.43%	08/25/20¹		1,556,189		886,783
Bear Stearns Asset-Backed Securities I
Trust, Series 2006-AC2, Class 21A3
6.00%	03/25/36		468,400		491,821
Bear Stearns Asset-Backed Securities I
Trust, Series 2006-HE9, Class 3A
(LIBOR USD 1-Month plus 0.14%)
0.32%	11/25/36¹		7,657,915		6,777,073



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A1
(STEP-reset date 08/25/20)
5.50%	01/25/34	$	612,918	$	630,607
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A2
(STEP-reset date 08/25/20)
5.75%	01/25/34		552,587		569,327
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.18%)
0.36%	10/25/36¹		2,043,484		1,878,713
Bear Stearns Mortgage Funding Trust,
Series 2007-AR5, Class 1A1A
(LIBOR USD 1-Month plus 0.17%)
0.35%	06/25/47¹		465,057		403,893
Carrington Mortgage Loan Trust,
Series 2005-NC5, Class M1
(LIBOR USD 1-Month plus 0.48%)
0.66%	10/25/35¹		381,177		379,848
Carrington Mortgage Loan Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.31%)
0.49%	01/25/36¹		49,032,004		48,609,539
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.35%)
0.53%	02/25/36¹		155,000		148,188
Centex Home Equity Loan Trust,
Series 2006-A, Class AV4
(LIBOR USD 1-Month plus 0.25%)
0.43%	06/25/36¹		3,315,091		3,255,328
Chase Funding Trust,
Series 2003-5, Class 2A2
(LIBOR USD 1-Month plus 0.60%)
0.78%	07/25/33¹		3,059		2,245
Chase Funding Trust,
Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)
0.68%	02/26/35¹		5,668		4,905
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2
3.92%	09/25/36⁹		671,296		585,661
Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1
5.50%	11/25/21		1,594,263		986,408
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
4.14%	06/25/35⁹		1,741,593		1,701,636
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%	08/01/20		417,344		322,442



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chaseflex Trust, Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)
0.38%	09/25/36¹	$	7,503,149	$	6,058,026
CIM Trust, Series 2017-5, Class A2A
2.50%	05/25/57^2,9		43,147,683		42,699,076
CIM Trust, Series 2017-6, Class A1
3.02%	06/25/57^2,9		49,451,406		50,195,541
CIM Trust, Series 2017-8, Class A1
3.00%	12/25/65^2,9		99,273,294		99,399,391
CIM Trust, Series 2018-R1, Class A1
3.65%	05/01/55²		96,425,114		89,340,814
CIM Trust, Series 2018-R2, Class A1
3.69%	08/25/57^2,9		67,409,151		65,653,833
CIM Trust, Series 2018-R4, Class A1
4.07%	12/26/57^2,9		50,273,846		51,889,195
CIM Trust, Series 2018-R5, Class A1
3.75%	07/25/58^2,9		117,993,009		114,324,099
CIM Trust, Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
1.25%	09/25/58^1,2		98,946,295		97,000,358
CIM Trust, Series 2019-R1, Class A
3.25%	10/25/58^2,9		251,611,282		233,890,979
CIM Trust, Series 2019-R3, Class A
2.63%	06/25/58^2,9		192,679,798		191,191,693
CIM Trust, Series 2019-R4, Class A1
3.00%	10/25/59^2,9		174,068,262		162,644,736
CIM Trust, Series 2020-R1, Class A1
2.85%	10/27/59^2,9		214,602,765		187,505,560
CIM Trust, Series 2020-R3, Class A1A
4.00%	01/26/60^2,9		227,661,332		230,006,881
CIM Trust, Series 2020-R4, Class A1A
3.30%	06/25/60^2,9,†		116,921,000		118,236,772
CIT Mortgage Loan Trust, Series 2007-1,
Class 1A
(LIBOR USD 1-Month plus 1.35%)
1.53%	10/25/37^1,2		48,609,798		48,579,558
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%	02/25/35		187,194		190,264
Citicorp Residential Mortgage Trust,
Series 2006-2, Class A5
(STEP-reset date 08/25/20)
5.27%	09/25/36		297,916		282,791
Citicorp Residential Mortgage Trust,
Series 2007-1, Class A5
(STEP-reset date 08/25/20)
5.22%	03/25/37		650,000		671,120
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.93%	02/25/34⁹		32,722		32,646



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A
3.51%	10/25/35⁹	$	548,748	$	384,121
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
0.44%	11/25/35¹		142,942		114,365
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-AR2, Class 1A1
3.87%	03/25/36⁹		10,388,291		9,087,628
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-AR3, Class 1A2A
3.96%	06/25/36⁹		3,035,890		2,770,418
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.29%)
0.47%	08/25/36¹		305,000		297,181
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WF2, Class A1
(STEP-reset date 08/25/20)
6.75%	05/25/36		41,180,229		28,139,611
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-6, Class 1A4A
2.90%	03/25/37⁹		342,985		288,687
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-AR5, Class 1A1A
3.97%	04/25/37⁹		89,593		84,398
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH3, Class A3
(LIBOR USD 1-Month plus 0.25%)
0.43%	06/25/37¹		406,987		403,499
Citigroup Mortgage Loan Trust, Inc.,
Series 2014-5, Class 2A2
(LIBOR USD 1-Month plus 1.75%)
3.62%	02/20/36^1,2		12,826,774		12,052,848
Citigroup Mortgage Loan Trust, Inc.,
Series 2015-2, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
0.37%	06/25/47^1,2		6,504,389		6,478,090
Citigroup Mortgage Loan Trust, Inc.,
Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
2.39%	03/25/47^1,2		11,227,937		10,815,396
Citigroup Mortgage Loan Trust, Inc.,
Series 2015-3, Class 1A1
(LIBOR USD 1-Month plus 0.27%)
0.71%	03/25/36^1,2		3,318,675		3,310,499
Conseco Finance Corp., Series 1996-7,
Class M1
7.70%	09/15/26⁹		2,093,758		2,168,485



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Finance Corp., Series 1998-3,
Class A6
6.76%	03/01/30⁹	$	827,507	$	831,178
Conseco Finance Corp., Series 1998-6,
Class A8
6.66%	06/01/30⁹		1,028,161		1,049,570
Conseco Finance Home Equity Loan Trust,
Series 2002-C, Class BF2
8.00%	06/15/32^2,9		92,070		93,196
Countrywide Asset-Backed Certificates Trust,
Series 2005-11, Class AF4
5.21%	03/25/34⁹		2,610,097		2,630,802
Countrywide Asset-Backed Certificates Trust,
Series 2005-13, Class AF4
5.81%	04/25/36⁹		216,599		202,764
Countrywide Asset-Backed Certificates Trust,
Series 2005-AB2, Class 1A1
(LIBOR USD 1-Month plus 0.46%)
0.64%	11/25/35¹		8,947,559		8,897,146
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A2
(LIBOR USD 1-Month plus 0.80%)
0.98%	10/25/47¹		10,896,274		10,220,801
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2001-HYB1,
Class 1A1
2.90%	06/19/31⁹		9,120		9,077
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2003-J8,
Class 1A4
5.25%	09/25/23		45,710		46,226
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-14,
Class 4A1
3.97%	08/25/34⁹		928,525		857,817
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-25,
Class 1A1
(LIBOR USD 1-Month plus 0.66%)
0.84%	02/25/35¹		103,839		99,055
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-7,
Class 2A1
3.57%	06/25/34⁹		71,386		72,127
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB3,
Class 1A
3.89%	06/20/34⁹		20,141		19,649
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB4,
Class 2A1
3.87%	09/20/34⁹		899,825		853,082



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-11,
Class 1A2
4.12%	04/25/35⁹	$	821,832	$	825,279
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-31,
Class 2A3
3.31%	01/25/36⁹		153,073		147,245
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-9,
Class 1A1
(LIBOR USD 1-Month plus 0.60%)
0.78%	05/25/35¹		3,492,082		2,874,186
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2007-HY5,
Class 1A1
4.29%	09/25/47⁹		842,006		744,573
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2007-HYB1,
Class 1A1
3.16%	03/25/37⁹		1,148,870		970,796
Credit Suisse First Boston Mortgage
Securities Corp., Series 2003-AR20,
Class 2A4
3.49%	08/25/33⁹		13,582		13,475
Credit Suisse First Boston Mortgage
Securities Corp., Series 2005-6,
Class 8A1
4.50%	07/25/20		3,072		3,217
Credit Suisse First Boston Mortgage-Backed
Pass-Through Certificates, Series 2004-1,
Class 2A1
6.50%	02/25/34		26,635		27,860
Credit Suisse First Boston Mortgage-Backed
Pass-Through Certificates, Series 2004-AR5,
Class 6A1
3.55%	06/25/34⁹		110,260		110,173
Credit Suisse Mortgage Capital Trust,
Series 2006-2, Class 5A1
(LIBOR USD 1-Month plus 0.70%)
0.88%	03/25/36¹		3,749,284		1,289,220
Credit Suisse Mortgage Capital Trust,
Series 2007-2, Class 3A4
5.50%	03/25/37		1,656,315		1,364,887
Credit Suisse Mortgage Capital Trust,
Series 2010-17R, Class 1A1
3.80%	06/26/36^2,9		20,108		20,151
Credit Suisse Mortgage Capital Trust,
Series 2014-12R, Class 1A1
(LIBOR USD 1-Month plus 1.75%)
1.92%	08/27/36^1,2		5,384,537		5,385,219
Credit Suisse Mortgage Capital Trust,
Series 2015-1R, Class 5A1
3.79%	09/27/35^2,9		1,831,627		1,830,433



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Trust,
Series 2015-2R, Class 4A1
0.37%	06/27/47^2,9	$	8,512,148	$	8,470,114
Credit Suisse Mortgage Capital Trust,
Series 2015-6R, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
0.37%	11/27/46^1,2		6,822,772		6,648,091
Credit-Based Asset Servicing and
Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2C
(STEP-reset date 08/25/20)
3.92%	02/25/37		32,671,627		25,997,879
Credit-Based Asset Servicing and
Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2D
(STEP-reset date 08/25/20)
3.92%	02/25/37		23,920,496		19,029,362
Credit-Based Asset Servicing and
Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2E
(STEP-reset date 08/25/20)
3.92%	02/25/37		4,349,905		3,461,152
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB1,
Class AF (STEP-reset date 08/25/20)
3.95%	01/25/33		12,723		13,057
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB4,
Class M1
(LIBOR USD 1-Month plus 1.04%)
1.22%	03/25/33¹		2,689,744		2,618,747
Credit-Based Asset Servicing and
Securitization LLC, Series 2003-CB5,
Class M1
(LIBOR USD 1-Month plus 1.02%)
1.20%	11/25/33¹		75,064		72,502
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB7,
Class A1
(LIBOR USD 1-Month plus 0.14%)
0.32%	10/25/36¹		51,037,128		40,185,155
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB8,
Class A1
(LIBOR USD 1-Month plus 0.14%)
0.32%	10/25/36¹		15,669,253		13,629,472
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB9,
Class A3
(LIBOR USD 1-Month plus 0.15%)
0.33%	11/25/36¹		29,440,528		18,106,081



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB1,
Class AF4 (STEP-reset date 08/25/20)
3.40%	01/25/37	$	7,059,339	$	2,977,524
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB1,
Class AF5 (STEP-reset date 08/25/20)
3.40%	01/25/37		13,266,179		5,599,175
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB5,
Class A2
(LIBOR USD 1-Month plus 0.17%)
0.35%	04/25/37¹		27,118,655		20,423,420
CSAB Mortgage-Backed Trust,
Series 2006-4, Class A6B
(STEP-reset date 08/25/20)
5.78%	12/25/36		5,268,016		444,771
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2006-AR3, Class A1
(LIBOR USD 1-Month plus 0.19%)
0.37%	08/25/36¹		3,290,131		2,970,035
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2006-AR4, Class A1
(LIBOR USD 1-Month plus 0.13%)
0.31%	12/25/36¹		1,861,793		879,592
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2006-AR6, Class AR6
(LIBOR USD 1-Month plus 0.19%)
0.37%	02/25/37¹		638,083		556,717
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2007-3, Class 1A1
(LIBOR USD 1-Month plus 1.70%)
1.87%	10/25/47¹		33,281,253		28,983,265
Deutsche ALT-A Securities Mortgage Loan
Trust, Series 2007-OA3, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.32%	07/25/47¹		48,158,321		42,227,215
Deutsche ALT-A Securities, Inc. Mortgage
Loan Trust, Series 2005-6, Class 1A7
5.50%	12/25/35		389,189		389,050
Deutsche ALT-A Securities, Inc. Mortgage
Loan Trust, Series 2006-AR1, Class 2A1
3.63%	02/25/36⁹		962,139		884,005
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.36%)
0.55%	01/19/45¹		2,191,884		1,849,954
DSLA Mortgage Loan Trust,
Series 2005-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.50%)
0.69%	02/19/45¹		254,563		242,294



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
DSLA Mortgage Loan Trust,
Series 2005-AR3, Class 2A1A
(LIBOR USD 1-Month plus 0.24%)
0.43%	07/19/45¹	$	172,436	$	157,943
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.39%	10/19/36¹		17,524,278		14,074,708
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
0.33%	04/19/47¹		8,730,506		7,497,744
Equity One Mortgage Pass-Through Trust,
Series 2002-4, Class M1
5.22%	02/25/33⁹		9,433		9,520
Equity One Mortgage Pass-Through Trust,
Series 2002-5, Class M1
(STEP-reset date 08/25/20)
5.80%	11/25/32		36,213		37,851
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.16%)
0.34%	10/25/36¹		14,137,215		10,361,360
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2D
(LIBOR USD 1-Month plus 0.24%)
0.42%	10/25/36¹		891,458		662,001
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
0.29%	12/25/37¹		7,619,407		6,773,904
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2C
(LIBOR USD 1-Month plus 0.16%)
0.34%	12/25/37¹		20,954,055		18,720,564
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
0.39%	12/25/37¹		15,186,817		13,634,530
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 1A
(LIBOR USD 1-Month plus 0.15%)
0.33%	04/25/36¹		22,432,547		21,783,278
First Franklin Mortgage Loan Trust,
Series 2006-FF8, Class IIA4
(LIBOR USD 1-Month plus 0.23%)
0.41%	07/25/36¹		31,440,000		29,072,917
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2C
(LIBOR USD 1-Month plus 0.14%)
0.32%	01/25/38¹		69,453,581		44,236,986



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.32%	03/25/37¹	$	63,727,374	$	43,497,743
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
0.28%	03/25/37¹		26,054,609		15,870,055
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.33%	03/25/37¹		14,936,691		9,193,947
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.40%	03/25/37¹		27,811,722		17,368,874
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA2, Class 1A1
3.29%	08/25/34⁹		6,418,781		6,365,078
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA3, Class A1
3.45%	09/25/34⁹		21,880		21,204
First Horizon Alternative Mortgage Securities
Trust, Series 2004-AA4, Class A1
3.56%	10/25/34⁹		1,120,321		1,096,288
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA10, Class 1A1
3.29%	12/25/35⁹		13,780,479		12,488,706
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA12, Class 2A1
3.31%	02/25/36⁹		14,715,620		11,875,646
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA4, Class 2A1
3.03%	06/25/35⁹		14,229,839		13,112,573
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA7, Class 2A1
3.55%	09/25/35⁹		11,988,683		11,214,838
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA8, Class 2A1
3.58%	10/25/35⁹		14,501,884		11,260,279
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA9, Class 2A1
3.51%	11/25/35⁹		14,670,231		13,367,723
First Horizon Alternative Mortgage Securities
Trust, Series 2006-AA1, Class 1A1
3.64%	03/25/36⁹		16,561,350		13,799,944
First Horizon Alternative Mortgage Securities
Trust, Series 2006-FA8, Class 1A7
6.00%	02/25/37		10,942		7,365
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR6, Class 2A1
4.29%	12/25/34⁹		177,228		172,911



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Mortgage Pass-Through Trust,
Series 2006-AR4, Class 1A2
3.98%	01/25/37⁹	$	79,425	$	58,362
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR3, Class 1A1
4.07%	11/25/37⁹		165,289		125,302
FNBA Mortgage Loan Trust,
Series 2004-AR1, Class A2
(LIBOR USD 1-Month plus 0.40%)
0.59%	08/19/34¹		2,666		2,652
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
2.84%	06/25/30¹		17,279		13,744
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR6, Class 3A1
3.81%	11/19/35⁹		491,529		445,424
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR2, Class 1A1
3.89%	05/19/36⁹		1,568,349		939,243
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.24%)
0.42%	08/25/45¹		1,444,990		1,345,686
GreenPoint Mortgage Funding Trust,
Series 2005-AR4, Class G41B
(LIBOR USD 1-Month plus 0.20%)
0.38%	10/25/45¹		14,757,878		13,199,604
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 3A2
(LIBOR USD 1-Month plus 0.16%)
0.34%	02/25/37¹		1,166,549		1,196,698
GS Mortgage-Backed Securities Trust,
Series 2018-RPL1, Class A1A
3.75%	10/25/57²		45,195,377		47,493,291
GSAA Home Equity Trust,
Series 2005-11, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
0.46%	10/25/35¹		3,764,398		3,765,349
GSAA Home Equity Trust,
Series 2005-11, Class 2A2
(LIBOR USD 1-Month plus 0.32%)
0.50%	10/25/35¹		134,016		130,361
GSAA Home Equity Trust,
Series 2005-11, Class 3A2
(LIBOR USD 1-Month plus 0.32%)
0.50%	10/25/35¹		119,040		119,587
GSAA Home Equity Trust,
Series 2005-6, Class M1
(LIBOR USD 1-Month plus 0.43%)
0.61%	06/25/35¹		150,000		145,828



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAMP Trust, Series 2005-AHL2, Class A2D
(LIBOR USD 1-Month plus 0.35%)
0.53%	12/25/35¹	$	25,693,000	$	24,181,450
GSAMP Trust, Series 2006-NC1, Class A3
(LIBOR USD 1-Month plus 0.29%)
0.47%	02/25/36¹		131,373		127,385
GSR Mortgage Loan Trust,
Series 2004-9, Class 3A1
3.25%	08/25/34⁹		2,695		2,697
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
3.05%	08/25/34⁹		213,318		209,550
GSR Mortgage Loan Trust,
Series 2005-AR5, Class 2A3
3.87%	10/25/35⁹		2,634,097		1,985,273
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 4A5
4.15%	09/25/35⁹		107,163		108,805
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 2A1
4.09%	05/25/37⁹		1,845,644		1,475,205
HarborView Mortgage Loan Trust,
Series 2004-1, Class 2A
3.67%	04/19/34⁹		5,367		5,240
HarborView Mortgage Loan Trust,
Series 2004-11, Class 3A2A
(LIBOR USD 1-Month plus 0.68%)
0.87%	01/19/35¹		310,627		276,498
HarborView Mortgage Loan Trust,
Series 2004-3, Class 1A
4.09%	05/19/34⁹		61,346		61,449
HarborView Mortgage Loan Trust,
Series 2004-5, Class 2A6
3.12%	06/19/34⁹		2,502		2,473
HarborView Mortgage Loan Trust,
Series 2005-3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
0.67%	06/19/35¹		356,063		348,315
HarborView Mortgage Loan Trust,
Series 2005-4, Class 2A
3.91%	07/19/35⁹		42,619		39,030
HarborView Mortgage Loan Trust,
Series 2006-10, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
0.39%	11/19/36¹		70,148,094		59,506,705
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.21%)
0.40%	09/19/46¹		79,393,089		71,451,827



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust,
Series 2007-7, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
1.18%	10/25/37¹	$	26,209,087	$	24,718,270
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
1.18%	10/25/37¹		22,097,682		21,211,437
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
0.32%	10/25/36¹		60,642,681		27,167,054
Impac CMB Trust, Series 2004-8,
Class 2A1
(LIBOR USD 1-Month plus 0.70%)
0.88%	10/25/34¹		233,637		228,163
Impac CMB Trust, Series 2005-1,
Class 1A1
(LIBOR USD 1-Month plus 0.52%)
0.70%	04/25/35¹		3,988,784		3,756,158
Impac CMB Trust, Series 2005-4,
Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
0.43%	05/25/35¹		4,713,664		4,289,228
Impac Secured Assets Corp.,
Series 2004-3, Class M1
(LIBOR USD 1-Month plus 0.90%)
1.08%	11/25/34¹		363,701		366,037
Impac Secured Assets Corp.,
Series 2004-4, Class M3
(LIBOR USD 1-Month plus 0.90%)
1.08%	02/25/35¹		670,000		662,324
Impac Secured Assets Trust,
Series 2006-3, Class A1
(LIBOR USD 1-Month plus 0.17%)
0.35%	11/25/36¹		7,805,702		6,440,989
Impac Secured Assets Trust,
Series 2006-5, Class 1A1C
(LIBOR USD 1-Month plus 0.27%)
0.45%	02/25/37¹		9,352,736		8,034,634
Impac Secured Assets Trust,
Series 2007-2, Class 1A1A
(LIBOR USD 1-Month plus 0.11%)
0.29%	05/25/37¹		6,801,154		5,244,651
Impac Secured Assets Trust,
Series 2007-2, Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
0.43%	05/25/37¹		55,288,999		43,085,186
IndyMac Index Mortgage Loan Trust,
Series 2004-AR4, Class 1A
3.69%	08/25/34⁹		1,125,368		1,098,347



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1B
(LIBOR USD 1-Month plus 0.80%)
0.98%	08/25/34¹	$	17,227	$	15,100
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
1.04%	09/25/34¹		56,042		50,493
IndyMac Index Mortgage Loan Trust,
Series 2005-AR1, Class 4A1
3.63%	03/25/35⁹		493,638		494,125
IndyMac Index Mortgage Loan Trust,
Series 2005-AR17, Class 3A1
3.43%	09/25/35⁹		4,212,227		3,395,862
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
3.37%	10/25/35⁹		24,330,663		20,684,976
IndyMac Index Mortgage Loan Trust,
Series 2005-AR31, Class 3A1
3.56%	01/25/36⁹		1,027,978		953,218
IndyMac Index Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
(LIBOR USD 1-Month plus 0.48%)
0.66%	04/25/35¹		555,404		474,825
IndyMac Index Mortgage Loan Trust,
Series 2006-AR19, Class 1A2
3.57%	08/25/36⁹		14,419,584		10,655,943
IndyMac Index Mortgage Loan Trust,
Series 2006-AR21, Class A1
(LIBOR USD 1-Month plus 0.12%)
0.30%	08/25/36¹		154,816		135,392
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 2A2
(LIBOR USD 1-Month plus 0.20%)
0.38%	10/25/36¹		21,905,829		19,579,130
IndyMac Index Mortgage Loan Trust,
Series 2006-AR35, Class 2A3A
(LIBOR USD 1-Month plus 0.20%)
0.38%	01/25/37¹		45,646,163		42,212,535
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1
3.32%	05/25/36⁹		3,845,535		3,340,892
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 2A1
3.57%	05/25/36⁹		25,508,393		19,459,654
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 1A2
3.68%	03/25/37⁹		583,770		531,193
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
3.04%	06/25/37⁹		3,658,454		3,515,382



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
3.63%	11/25/37⁹	$	2,741,646	$	2,550,636
IndyMac Manufactured Housing Contract
Pass-Through Certificates, Series 1997-1,
Class A3
6.61%	02/25/28		63,326		64,123
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 2A1
3.81%	05/25/36⁹		652,026		520,525
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 5A1
3.63%	05/25/36⁹		6,660,127		4,836,809
JPMorgan Mortgage Acquisition Trust,
Series 2005-WMC1, Class M2
(LIBOR USD 1-Month plus 0.66%)
0.84%	09/25/35¹		5,153,445		5,135,444
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A3A
(STEP-reset date 08/25/20)
5.83%	07/25/36		34,577,935		16,318,724
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A6
(STEP-reset date 08/25/20)
6.00%	07/25/36		4,821,809		2,247,118
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH3, Class A4
(LIBOR USD 1-Month plus 0.21%)
0.39%	03/25/37¹		228,935		229,166
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class A1
(LIBOR USD 1-Month plus 0.15%)
0.33%	05/25/37¹		44,274,479		40,535,872
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A5
(LIBOR USD 1-Month plus 0.26%)
0.44%	06/25/37¹		248,124		243,009
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF1
(LIBOR USD 1-Month plus 0.10%)
0.28%	03/25/47¹		132,720		79,523
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF2
(STEP-reset date 08/25/20)
4.23%	03/25/47		8,682,285		6,743,004
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF3
(STEP-reset date 08/25/20)
4.23%	05/25/35		7,307,202		5,675,033
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF4
(STEP-reset date 08/25/20)
4.23%	03/25/47		3,321,455		2,579,533



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.46%	03/25/47¹	$	240,000	$	186,072
JPMorgan Mortgage Trust, Series 2003-A2,
Class 2A3
3.19%	11/25/33⁹		125,930		121,935
JPMorgan Mortgage Trust, Series 2004-A4,
Class 1A3
3.37%	09/25/34⁹		370,184		357,066
JPMorgan Mortgage Trust, Series 2005-A5,
Class TA1
3.92%	08/25/35⁹		108,402		103,338
JPMorgan Mortgage Trust, Series 2005-S2,
Class 4A3
5.50%	09/25/20		1,898,923		1,706,915
JPMorgan Mortgage Trust, Series 2006-A2,
Class 5A3
4.10%	11/25/33⁹		4,332		4,319
JPMorgan Mortgage Trust, Series 2006-A3,
Class 2A1
3.77%	05/25/36⁹		870,254		744,276
JPMorgan Mortgage Trust, Series 2006-A3,
Class 3A3
3.62%	05/25/36⁹		591,202		521,472
JPMorgan Mortgage Trust, Series 2006-A4,
Class 1A1
3.61%	06/25/36⁹		484,568		415,886
JPMorgan Mortgage Trust, Series 2006-A4,
Class 1A4
3.61%	06/25/36⁹		1,562,093		1,401,117
JPMorgan Mortgage Trust, Series 2006-A5,
Class 2A4
3.92%	08/25/36⁹		455,951		381,817
JPMorgan Mortgage Trust, Series 2007-A1,
Class 5A2
3.97%	07/25/35⁹		1,402,728		1,362,519
JPMorgan Mortgage Trust, Series 2007-A3,
Class 2A3
3.73%	05/25/37⁹		2,333,110		1,968,286
JPMorgan Mortgage Trust, Series 2007-A3,
Class 3A2
3.79%	05/25/37⁹		383,569		380,993
JPMorgan Mortgage Trust, Series 2007-A4,
Class 1A1
3.77%	06/25/37⁹		3,317,766		2,906,502
JPMorgan Mortgage Trust, Series 2007-A4,
Class 2A3
3.81%	06/25/37⁹		498,385		429,829
JPMorgan Resecuritization Trust,
Series 2015-1, Class 3A1
(LIBOR USD 1-Month plus 0.19%)



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
0.36%	12/27/46^1,2	$	5,842,700	$	5,758,012
Lehman XS Trust, Series 2005-5N,
Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
0.48%	11/25/35¹		7,964,744		7,720,729
Lehman XS Trust, Series 2005-7N,
Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
0.72%	12/25/35¹		401,408		374,479
Lehman XS Trust, Series 2006-12N,
Class A31A
(LIBOR USD 1-Month plus 0.20%)
0.38%	08/25/46¹		15,090,231		13,845,660
Lehman XS Trust, Series 2006-14N,
Class 3A2
(LIBOR USD 1-Month plus 0.24%)
0.42%	08/25/36¹		47,186		46,468
Lehman XS Trust, Series 2006-5,
Class 1A1A
(LIBOR USD 1-Month plus 0.21%)
0.39%	04/25/36¹		29,067,087		26,147,275
Lehman XS Trust, Series 2006-8,
Class 1A1A
(LIBOR USD 1-Month plus 0.16%)
0.34%	06/25/36¹		37,215,860		32,430,738
Lehman XS Trust, Series 2007-4N,
Class 1A3
(LIBOR USD 1-Month plus 0.24%)
0.42%	03/25/47¹		26,968,092		22,984,616
Long Beach Mortgage Loan Trust,
Series 2004-4, Class M1
(LIBOR USD 1-Month plus 0.90%)
1.08%	10/25/34¹		131,435		128,045
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.93%	01/25/34⁹		35,914		36,330
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
3.76%	11/25/33⁹		848,586		837,939
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
4.09%	11/21/34⁹		3,255,607		3,263,835
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 9A1
4.23%	10/25/34⁹		244,999		243,299
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
4.12%	06/25/34⁹		248		256
MASTR Adjustable Rate Mortgages Trust,
Series 2004-8, Class 2A1
3.65%	09/25/34⁹		2,684,613		2,661,530



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 5A1
3.79%	05/25/36⁹	$	7,158,943	$	5,077,909
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.15%)
0.33%	11/25/36¹		14,864,557		6,717,210
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.21%)
0.39%	11/25/36¹		4,129,044		1,938,122
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
(LIBOR USD 1-Month plus 0.21%)
0.39%	05/25/37¹		31,102,791		29,342,155
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
4.46%	10/25/32⁹		17,156		16,741
Mellon Residential Funding Corp. Mortgage
Pass-Through Certificates,
Series 2001-TBC1, Class A1
(LIBOR USD 1-Month plus 0.70%)
0.88%	11/15/31¹		1,120,432		1,098,061
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-1, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.32%	04/25/37¹		173,697,627		101,074,398
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-1, Class A2B
(LIBOR USD 1-Month plus 0.17%)
0.35%	04/25/37¹		33,647,948		17,690,839
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
0.43%	04/25/37¹		70,487,131		37,746,303
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.42%	05/25/37¹		34,237,116		22,029,756
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-2, Class A2D
(LIBOR USD 1-Month plus 0.32%)
0.50%	05/25/37¹		16,907,774		11,070,967
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.36%	06/25/37¹		14,018,741		10,433,793
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
0.43%	06/25/37¹		18,723,496		15,091,952



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 2A2
(LIBOR USD 1-Month plus 0.12%)
0.30%	07/25/37¹	$	30,077,375	$	18,864,340
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2007-4, Class 2A3
(LIBOR USD 1-Month plus 0.16%)
0.34%	07/25/37¹		22,047,463		14,408,842
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
4.15%	10/25/33⁹		349,998		347,957
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
3.83%	08/25/34⁹		1,321,364		1,310,681
Merrill Lynch Mortgage Investors Trust,
Series 2005-A10, Class A
(LIBOR USD 1-Month plus 0.21%)
0.39%	02/25/36¹		8,907		8,513
Merrill Lynch Mortgage Investors Trust,
Series 2005-A6, Class 2A4
(LIBOR USD 1-Month plus 0.34%)
0.52%	08/25/35¹		191,098		190,292
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2B
(STEP-reset date 08/25/20)
5.61%	03/25/37		30,641,163		10,380,838
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2D
(STEP-reset date 08/25/20)
5.90%	03/25/37		23,981,784		8,124,531
Merrill Lynch Mortgage-Backed Securities
Trust, Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 2.40%)
2.57%	08/25/36¹		3,654,234		3,408,996
Mid-State Capital Corp., Series 2004-1,
Class A
6.01%	08/15/37		241,859		259,382
Mid-State Capital Corp., Series 2005-1,
Class A
5.75%	01/15/40		12,967,261		14,056,347
Mid-State Capital Corp., Series 2006-1,
Class A
5.79%	10/15/40²		10,188,719		11,001,587
Mid-State Trust XI, Series 2011, Class A1
4.86%	07/15/38		213,764		230,000
Morgan Stanley ABS Capital I Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.30%)
0.48%	12/25/35¹		77,517		76,487



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust,
Series 2004-11AR, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.50%	01/25/35¹	$	115,449	$	110,980
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
3.30%	09/25/34⁹		692,780		684,213
Morgan Stanley Mortgage Loan Trust,
Series 2005-2AR, Class A
(LIBOR USD 1-Month plus 0.26%)
0.44%	04/25/35¹		2,185,722		2,086,331
Morgan Stanley Mortgage Loan Trust,
Series 2005-5AR, Class 1M1
(LIBOR USD 1-Month plus 0.75%)
0.93%	09/25/35¹		45,894		45,882
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/36⁹		760,366		320,232
Morgan Stanley Mortgage Loan Trust,
Series 2007-6XS, Class 1A2S
(STEP-reset date 08/25/20)
5.50%	02/25/47		90,788		90,388
Morgan Stanley Mortgage Loan Trust,
Series 2007-7AX, Class 2A1
(LIBOR USD 1-Month plus 0.12%)
0.30%	04/25/37¹		5,266,371		2,321,221
Morgan Stanley Resecuritization Trust,
Series 2013-R7, Class 2B
LIBOR USD 1-Month
0.65%	12/26/46^1,2		10,656,418		10,552,523
Morgan Stanley Resecuritization Trust,
Series 2014-R2, Class 1A
(Federal Reserve US 12-Month Cumulative
Average plus 0.82%)
2.51%	12/26/46^1,2		5,906,309		5,883,394
Morgan Stanley Resecuritization Trust,
Series 2014-R3, Class 4A
(Federal Reserve US 12-Month Cumulative
Average plus 0.98%)
2.67%	07/26/46^1,2		1,102,197		1,106,094
Morgan Stanley Resecuritization Trust,
Series 2014-R4, Class 2A
3.56%	08/26/34^2,9		862,532		865,873
Morgan Stanley Resecuritization Trust,
Series 2014-R8, Class 3A
(Federal Reserve US 12-Month Cumulative
Average plus 0.75%)
2.43%	06/26/47^1,2		13,579,851		13,405,741
Morgan Stanley Resecuritization Trust,
Series 2014-R8, Class 4A
(Federal Reserve US 12-Month Cumulative
Average plus 0.96%)



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
2.65%	06/26/47^1,2	$	3,581,554	$	3,567,944
Morgan Stanley Resecuritization Trust,
Series 2015-R4, Class 2A
(LIBOR USD 1-Month plus 0.40%)
0.97%	08/26/47^1,2		6,420,887		6,262,680
MortgageIT Trust, Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
0.82%	02/25/35¹		4,652,631		4,546,728
MortgageIT Trust, Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
0.46%	10/25/35¹		5,907,010		5,659,324
MortgageIT Trust, Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.52%)
0.70%	12/25/35¹		1,000,091		951,061
Nationstar Home Equity Loan Trust,
Series 2006-B, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.46%	09/25/36¹		7,337,333		7,191,251
Nationstar Home Equity Loan Trust,
Series 2007-A, Class AV4
(LIBOR USD 1-Month plus 0.23%)
0.41%	03/25/37¹		159,131		157,125
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
0.43%	06/25/37¹		8,265,000		7,601,551
New Century Home Equity Loan Trust,
Series 2003-6, Class M1
(LIBOR USD 1-Month plus 1.08%)
1.26%	01/25/34¹		127,739		120,164
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
0.86%	03/25/35¹		532,157		521,076
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
0.40%	02/25/36¹		249,922		243,230
New Century Home Equity Loan Trust,
Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.33%)
0.51%	02/25/36¹		95,305		89,021
Nomura Home Equity Loan, Inc.,
Series 2006-HE2, Class A4
(LIBOR USD 1-Month plus 0.27%)
0.45%	03/25/36¹		18,611,391		18,417,051
Nomura Resecuritization Trust,
Series 2013-1R, Class 2A1
(LIBOR USD 1-Month plus 0.14%)
0.37%	11/26/36^1,2		2,620,172		2,614,015



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nomura Resecuritization Trust,
Series 2014-6R, Class 2A1
(LIBOR USD 1-Month plus 0.16%)
2.24%	03/26/37^1,2	$	3,169,217	$	3,167,803
Nomura Resecuritization Trust,
Series 2014-7R, Class 4A1
(LIBOR USD 1-Month plus 0.13%)
0.30%	01/26/37^1,2		3,889,011		3,902,905
NRPL, Series 2019-3A, Class A1
(STEP-reset date 08/25/20)
3.00%	07/25/59²		59,968,686		59,297,324
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/29⁹		21,317,134		10,445,374
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.22%)
0.40%	01/25/36¹		14,568,621		13,635,342
Ownit Mortgage Loan Trust,
Series 2006-4, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.32%	05/25/37¹		18,248,754		16,913,937
Ownit Mortgage Loan Trust,
Series 2006-4, Class A2D
(LIBOR USD 1-Month plus 0.24%)
0.42%	05/25/37¹		21,069,051		17,813,567
Popular ABS Mortgage Pass-Through Trust,
Series 2005-6, Class A5
(STEP-reset date 08/25/20)
3.61%	01/25/36		22,910,000		18,918,817
Popular ABS Mortgage Pass-Through Trust,
Series 2006-D, Class A3
(LIBOR USD 1-Month plus 0.26%)
0.44%	11/25/36¹		58,274		57,150
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
0.49%	06/25/47¹		23,015,500		19,892,262
Popular ABS, Inc., Series 1998-1,
Class A2 (STEP-reset date 08/25/20)
7.48%	11/25/29		47,734		47,343
Residential Accredit Loans Trust,
Series 2005-QA12, Class CB1
4.32%	12/25/35⁹		4,340,525		2,630,564
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
4.04%	04/25/35⁹		788,094		666,153
Residential Accredit Loans Trust,
Series 2005-QA7, Class A1
3.71%	07/25/35⁹		3,139,524		2,690,750



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.00%)
2.50%	01/25/46¹	$	5,467,760	$	4,736,729
Residential Accredit Loans Trust,
Series 2006-QA1, Class A11
4.30%	01/25/36⁹		131,171		104,568
Residential Accredit Loans Trust,
Series 2006-QA1, Class A21
4.62%	01/25/36⁹		13,587,875		11,505,369
Residential Accredit Loans Trust,
Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.19%)
0.37%	08/25/36¹		23,711,744		20,832,050
Residential Accredit Loans Trust,
Series 2006-QS10, Class AV (IO)
0.56%	08/25/36^4,5,9		23,858,389		480,563
Residential Accredit Loans Trust,
Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)
0.56%	09/25/36¹		225,793		164,961
Residential Accredit Loans Trust,
Series 2006-QS2, Class 1AV (IO)
0.47%	02/25/36^4,5,9		79,930,339		1,138,608
Residential Accredit Loans Trust,
Series 2006-QS7, Class AV (IO)
0.70%	06/25/36^4,5,9		39,591,620		816,425
Residential Accredit Loans Trust,
Series 2006-QS8, Class AV (IO)
0.79%	08/25/36^4,5,9		96,396,961		2,303,752
Residential Accredit Loans Trust,
Series 2007-QS10, Class AV (IO)
0.47%	09/25/37^4,5,9		70,703,911		1,376,450
Residential Accredit Loans Trust,
Series 2007-QS4, Class 3AV (IO)
0.36%	03/25/37^4,5,9		43,679,531		548,008
Residential Accredit Loans Trust,
Series 2007-QS5, Class AV (IO)
0.27%	03/25/37^4,5,9		50,373,723		422,167
Residential Accredit Loans Trust,
Series 2007-QS6, Class AV (IO)
0.31%	04/25/37^4,5,9		107,658,591		1,428,403
Residential Accredit Loans Trust,
Series 2007-QS7, Class 2AV (IO)
0.38%	06/25/37^4,5,9		36,166,327		457,117
Residential Accredit Loans Trust,
Series 2007-QS8, Class AV (IO)
0.40%	06/25/37^4,5,9		91,835,136		1,659,929
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%	12/25/31		23,441		15,366



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products Trust,
Series 2005-RZ3, Class M3
(LIBOR USD 1-Month plus 0.55%)
0.73%	09/25/35¹	$	750,000	$	745,068
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.51%	04/25/36¹		815,000		783,484
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
4.01%	12/25/34⁹		241,664		240,763
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.89%	12/25/34⁹		16,835		16,077
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
3.90%	12/25/34⁹		353,458		351,614
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%	07/25/36		2,190,511		2,226,594
Residential Funding Mortgage Securities
Trust, Series 2005-SA5, Class 1A
3.74%	11/25/35⁹		4,167,648		3,074,620
Residential Funding Mortgage Securities
Trust, Series 2006-SA3, Class 3A1
4.64%	09/25/36⁹		709,276		635,653
Residential Funding Mortgage Securities
Trust, Series 2006-SA3, Class 4A1
5.40%	09/25/36⁹		320,186		250,352
Residential Funding Mortgage Securities
Trust, Series 2006-SA4, Class 2A1
5.19%	11/25/36⁹		86,703		75,964
Residential Funding Mortgage Securities
Trust, Series 2007-SA2, Class 2A2
4.32%	04/25/37⁹		1,556,712		1,369,963
Saxon Asset Securities Trust, Series 2001-2,
Class AF6 (STEP-reset date 08/25/20)
6.81%	08/01/31		1,392		1,812
Saxon Asset Securities Trust, Series 2007-1,
Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.33%	01/25/47¹		5,099,150		4,758,865
Saxon Asset Securities Trust, Series 2007-2,
Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.42%	05/25/47¹		217,360		175,091
Saxon Asset Securities Trust, Series 2007-3,
Class 2A3
(LIBOR USD 1-Month plus 0.40%)
0.58%	09/25/47¹		32,174,000		28,640,946



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Securitized Asset-Backed Receivables LLC
Trust, Series 2006-CB1, Class AF2
(STEP-reset date 08/25/20)
3.20%	01/25/36	$	7,358,804	$	6,030,280
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR1, Class A2A
(LIBOR USD 1-Month plus 0.11%)
0.29%	02/25/37¹		6,415,837		3,765,298
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR1, Class A2B
(LIBOR USD 1-Month plus 0.27%)
0.45%	02/25/37¹		31,760,400		19,318,880
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
0.41%	02/25/37¹		42,726,107		25,002,231
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR5, Class A2A
(LIBOR USD 1-Month plus 0.13%)
0.31%	05/25/37¹		18,122,262		14,505,705
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-BR5, Class A2C
(LIBOR USD 1-Month plus 0.35%)
0.53%	05/25/37¹		13,667,653		11,245,164
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
0.33%	12/25/36¹		33,102,361		21,426,453
Securitized Asset-Backed Receivables LLC
Trust, Series 2007-NC2, Class A2B
(LIBOR USD 1-Month plus 0.14%)
0.32%	01/25/37¹		18,137,426		15,400,182
Sequoia Mortgage Trust, Series 2003-2,
Class A1
(LIBOR USD 1-Month plus 0.66%)
0.85%	06/20/33¹		50,482		48,444
Sequoia Mortgage Trust, Series 2003-8,
Class A1
(LIBOR USD 1-Month plus 0.64%)
0.83%	01/20/34¹		1,402		1,337
Sequoia Mortgage Trust, Series 2004-3,
Class A
(LIBOR USD 6-Month plus 0.50%)
1.63%	05/20/34¹		315,583		307,041
Sequoia Mortgage Trust, Series 2004-4,
Class A
(LIBOR USD 6-Month plus 0.52%)
1.65%	05/20/34¹		111,510		106,278
Sequoia Mortgage Trust, Series 2013-1,
Class 1A1
1.45%	02/25/43⁹		98,843		97,235



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
0.42%	12/25/36^1,2	$	14,556,113	$	10,152,962
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
0.86%	06/25/35¹		19,332,333		19,091,512
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-1, Class 3A3
4.17%	02/25/34⁹		19,594		18,897
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-12, Class 2A
3.71%	09/25/34⁹		5,845,943		5,659,073
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 1A
3.68%	10/25/34⁹		149,549		148,135
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 2A
3.72%	10/25/34⁹		6,723,147		6,724,350
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-15, Class A
3.81%	10/25/34⁹		2,070,048		1,979,132
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-17, Class A1
2.24%	11/25/34⁹		34,390		30,830
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-20, Class 1A2
3.56%	01/25/35⁹		536,121		517,204
Structured Adjustable Rate Mortgage Loan
Trust, Series 2005-12, Class 3A1
3.39%	06/25/35⁹		1,819,442		1,748,080
Structured Adjustable Rate Mortgage Loan
Trust, Series 2005-18, Class 7A3
3.94%	09/25/35⁹		15,128,601		11,652,519
Structured Adjustable Rate Mortgage Loan
Trust, Series 2006-12, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
0.34%	01/25/37¹		29,133,059		26,410,583
Structured Adjustable Rate Mortgage Loan
Trust, Series 2007-9, Class 2A1
3.92%	10/25/47⁹		715,274		577,003
Structured Asset Mortgage Investments II
Trust, Series 2005-AR8, Class A1A
(LIBOR USD 1-Month plus 0.28%)
0.46%	02/25/36¹		568,661		518,721
Structured Asset Mortgage Investments II
Trust, Series 2005-AR8, Class A3
(Federal Reserve US 12-Month Cumulative
Average plus 2.00%)
4.15%	02/25/36¹		18,343,904		17,143,914



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments II
Trust, Series 2006-AR8, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
0.30%	10/25/36¹	$	20,490,647	$	18,511,519
Structured Asset Mortgage Investments II
Trust, Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative
Average plus 1.50%)
3.00%	08/25/47¹		128,762,618		117,931,686
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 1997-2, Class 2A4
7.25%	03/28/30		931		960
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 2003-26A, Class 3A5
3.78%	09/25/33⁹		163,048		160,408
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 2003-34A, Class 5A4
3.67%	11/25/33⁹		1,167,581		1,141,079
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates,
Series 2004-23XS, Class 2A1
(LIBOR USD 1-Month plus 0.30%)
0.48%	01/25/35¹		893,084		884,606
Structured Asset Securities Corp. Trust,
Series 2005-5, Class 2A4
5.50%	04/25/35		1,823,268		1,753,432
Suntrust Adjustable Rate Mortgage Loan
Trust, Series 2007-3, Class 1A1
3.80%	06/25/37⁹		2,222,170		1,846,423
Thornburg Mortgage Securities Trust,
Series 2004-4, Class 2A
3.46%	12/25/44⁹		109,884		106,045
Wachovia Mortgage Loan Trust,
Series 2006-ALT1, Class A3
(LIBOR USD 1-Month plus 0.23%)
0.41%	01/25/37¹		15,004,847		8,676,581
Wachovia Mortgage Loan Trust,
Series 2006-AMN1, Class A3
(LIBOR USD 1-Month plus 0.24%)
0.42%	08/25/36¹		17,484,449		9,016,971
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
0.29%	01/25/37¹		3,783,551		2,186,911
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A3
(LIBOR USD 1-Month plus 0.15%)
0.33%	01/25/37¹		34,926,433		20,325,964



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
(LIBOR USD 1-Month plus 0.23%)
0.41%	01/25/37¹	$	11,724,214	$	6,917,445
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
3.10%	06/25/33⁹		2,957,894		2,918,988
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR3, Class A2
3.66%	06/25/34⁹		30,154		29,242
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.42%)
0.60%	05/25/44¹		836,777		828,873
WaMu Mortgage Pass-Through Certificates,
Series 2005-3, Class 2A3
(LIBOR USD 1-Month plus 0.55%)
0.73%	05/25/35¹		2,454,030		1,991,285
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
0.68%	06/25/35¹		4,830,311		3,892,821
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A
(LIBOR USD 1-Month plus 0.64%)
0.82%	01/25/45¹		639,837		599,050
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR11, Class A1A
(LIBOR USD 1-Month plus 0.32%)
0.50%	08/25/45¹		30,321,447		29,162,992
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
3.86%	10/25/35⁹		1,018,245		996,734
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.29%)
0.47%	10/25/45¹		4,908,036		4,765,709
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
3.77%	12/25/35⁹		3,793,043		3,550,886
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A1
(LIBOR USD 1-Month plus 0.26%)
0.44%	11/25/45¹		25,100,346		23,528,871
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR17, Class A1A1
(LIBOR USD 1-Month plus 0.27%)
0.45%	12/25/45¹		11,806,988		11,610,123
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR19, Class A1A2
(LIBOR USD 1-Month plus 0.29%)



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
0.47%	12/25/45¹	$	12,807,213	$	12,590,219
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 1A1A
(LIBOR USD 1-Month plus 0.33%)
0.51%	01/25/45¹		13,042,943		12,190,683
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.31%)
0.49%	01/25/45¹		974,545		943,914
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.33%)
0.51%	01/25/45¹		82,879		78,758
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A23
(LIBOR USD 1-Month plus 0.38%)
0.56%	01/25/45¹		3,460,602		3,297,983
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.46%)
0.64%	04/25/45¹		136,241		132,960
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
0.72%	07/25/45¹		137,522		128,136
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR1, Class 2A1A
(Federal Reserve US 12-Month Cumulative
Average plus 1.07%)
2.57%	01/25/46¹		25,775,807		24,618,105
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR10, Class 1A4
3.71%	09/25/36⁹		11,711,745		11,081,194
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
3.53%	12/25/36⁹		700,490		634,862
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative
Average plus 1.00%)
2.50%	02/25/46¹		15,167,615		14,050,731
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative
Average plus 0.94%)
2.63%	05/25/46¹		5,028,753		4,755,266
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative
Average plus 0.98%)
2.48%	07/25/46¹		10,659,964		9,545,026



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2007-1, Class 2A1
6.00%	01/25/22	$	151,272	$	142,707
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
3.71%	07/25/37⁹		250,219		218,747
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumulative
Average plus 0.70%)
2.20%	02/25/47¹		12,902,032		11,668,484
WaMu MSC Mortgage Pass-Through
Certificates, Series 2002-AR1, Class 1A1
4.04%	11/25/30⁹		249,569		244,973
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		150,049		146,163
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR1, Class 1A1
4.13%	03/25/36⁹		2,497,270		2,438,549


					5,108,926,518


U.S. Agency Commercial Mortgage-Backed — 0.29%
Fannie Mae-Aces, Series 2020-M10,
Class X1 (IO)
1.92%	12/25/30⁹		266,383,926		39,551,580
Fannie Mae-Aces, Series 2020-M10,
Class X2 (IO)
1.83%	12/25/30⁹		462,158,133		65,184,354
Fannie Mae-Aces, Series 2020-M10,
Class X3 (IO)
1.44%	11/25/28⁹		181,726,154		16,731,691
Fannie Mae-Aces, Series 2020-M10,
Class X4 (IO)
1.00%	07/25/32⁹		136,631,528		11,447,181
Fannie Mae-Aces, Series 2020-M10,
Class X5 (IO)
1.55%	11/25/28⁹		190,525,878		19,939,829
Fannie Mae-Aces, Series 2020-M10,
Class X6 (IO)
1.50%	08/25/28⁹		219,046,000		21,633,268
Fannie Mae-Aces, Series 2020-M10,
Class X8 (IO)
0.78%	12/25/27⁹		181,514,000		7,386,636
Fannie Mae-Aces, Series 2020-M10,
Class X9 (IO)
0.99%	12/25/27⁹		122,475,644		5,525,025
Freddie Mac Multiclass Certificates,
Series 2020-RR06, Class AX (IO)
1.88%	10/27/28⁹		134,780,000		17,520,221



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial
Mortgage-Backed (continued)
Freddie Mac Multiclass Certificates,
Series 2020-RR06, Class BX (IO)
1.84%	05/27/33⁹	$	139,359,000	$	23,856,595
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K1510,
Class A3
3.79%	01/25/34		9,400,000		11,636,166
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K154,
Class A2
3.42%	04/25/32		750,000		887,500
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K155,
Class A3
3.75%	04/25/33		125,000		156,277
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K157,
Class A3
3.99%	08/25/33⁹		300,000		372,664
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K158,
Class A2
3.90%	12/25/30⁹		4,640,000		5,684,647
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K158,
Class A3
3.90%	10/25/33⁹		165,000		202,860


					247,716,494


U.S. Agency Mortgage-Backed — 34.91%
Fannie Mae Grantor Trust, Series 2017-T1,
Class A
2.90%	06/25/27		62,729,408		69,350,597
Fannie Mae Pool 190375
5.50%	11/01/36		677,234		777,785
Fannie Mae Pool 190396
4.50%	06/01/39		10,453		11,619
Fannie Mae Pool 254232
6.50%	03/01/22		4,184		4,323
Fannie Mae Pool 313182
7.50%	10/01/26		961		1,064
Fannie Mae Pool 394854
6.50%	05/01/27		749		835
Fannie Mae Pool 468128
4.33%	07/01/21		1,858,891		1,896,430
Fannie Mae Pool 468587
3.84%	08/01/21		585,092		596,914
Fannie Mae Pool 545191
7.00%	09/01/31		2,337		2,693
Fannie Mae Pool 545756
7.00%	06/01/32		616		724



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 606108
7.00%	03/01/31	$	2,417	$	2,441
Fannie Mae Pool 613142
7.00%	11/01/31		8,462		9,901
Fannie Mae Pool 625666
7.00%	01/01/32		8,251		9,551
Fannie Mae Pool 633698
7.50%	02/01/31		29,149		35,198
Fannie Mae Pool 655928
7.00%	08/01/32		127,124		153,744
Fannie Mae Pool 725257
5.50%	02/01/34		876,149		1,003,873
Fannie Mae Pool 734830
4.50%	08/01/33		10,571		11,548
Fannie Mae Pool 734922
4.50%	09/01/33		1,629,397		1,811,300
Fannie Mae Pool 735207
7.00%	04/01/34		17,470		20,832
Fannie Mae Pool 735224
5.50%	02/01/35		3,179,580		3,648,375
Fannie Mae Pool 735651
4.50%	06/01/35		3,879,649		4,221,919
Fannie Mae Pool 735686
6.50%	12/01/22		526		541
Fannie Mae Pool 740297
5.50%	10/01/33		1,637		1,877
Fannie Mae Pool 745147
4.50%	12/01/35		23,058		25,299
Fannie Mae Pool 745592
5.00%	01/01/21		1		1
Fannie Mae Pool 753168
4.50%	12/01/33		6,782		7,416
Fannie Mae Pool 815422
4.50%	02/01/35		31,915		35,140
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.58%)
2.95%	11/01/35¹		176,239		178,694
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
4.04%	11/01/35¹		3,831		3,855
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
3.59%	12/01/35¹		4,879		4,911
Fannie Mae Pool 888412
7.00%	04/01/37		229,729		265,330
Fannie Mae Pool 889125
5.00%	12/01/21		3,698		3,708



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 889184
5.50%	09/01/36	$	3,087,903	$	3,544,307
Fannie Mae Pool 918445
(LIBOR USD 12-Month plus 1.57%)
3.57%	05/01/37¹		6,681		6,991
Fannie Mae Pool AB1613
4.00%	10/01/40		29,642,641		33,163,456
Fannie Mae Pool AB1803
4.00%	11/01/40		34,731,087		39,199,583
Fannie Mae Pool AB2127
3.50%	01/01/26		13,148,649		13,839,256
Fannie Mae Pool AB3679
3.50%	10/01/41		11,815,081		12,959,475
Fannie Mae Pool AB3864
3.50%	11/01/41		9,731,250		10,745,949
Fannie Mae Pool AB4045
3.50%	12/01/41		11,121,181		12,282,077
Fannie Mae Pool AB4262
3.50%	01/01/32		6,496,310		6,979,758
Fannie Mae Pool AB6385
3.00%	10/01/42		393,467		420,973
Fannie Mae Pool AB9703
3.50%	06/01/43		27,096,364		29,306,916
Fannie Mae Pool AC8279
4.50%	08/01/39		14,724		16,091
Fannie Mae Pool AE0138
4.50%	03/01/40		67,830		75,464
Fannie Mae Pool AE0482
5.50%	01/01/38		7,585,305		8,857,878
Fannie Mae Pool AE0600
3.89%	11/01/20⁹		9,219,847		9,267,908
Fannie Mae Pool AE0918
3.56%	10/01/20⁹		1,004,969		1,006,265
Fannie Mae Pool AH3780
4.00%	02/01/41		14,309,810		16,151,406
Fannie Mae Pool AJ1404
4.00%	09/01/41		20,008,561		22,102,199
Fannie Mae Pool AL0209
4.50%	05/01/41		20,522,973		23,343,237
Fannie Mae Pool AL0290
4.45%	04/01/21⁹		12,982,030		13,287,066
Fannie Mae Pool AL0834
4.05%	10/01/21⁹		18,781,155		19,198,557
Fannie Mae Pool AL0851
6.00%	10/01/40		12,677,590		15,126,641
Fannie Mae Pool AL1445
4.26%	11/01/21⁹		28,862,091		29,605,532



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL2521
3.50%	09/01/42	$	174,564	$	189,656
Fannie Mae Pool AL2669
4.23%	09/01/21⁹		1,088,079		1,104,945
Fannie Mae Pool AL4597
4.00%	01/01/44		52,914,295		59,892,191
Fannie Mae Pool AL6348
3.50%	02/01/45		54,113		58,520
Fannie Mae Pool AL7092
3.00%	07/01/45		78,053		84,746
Fannie Mae Pool AL8037
4.50%	07/01/34		218,363		239,412
Fannie Mae Pool AL8256
3.00%	08/01/43		594,993		649,365
Fannie Mae Pool AL8356
4.50%	07/01/34		552,097		600,538
Fannie Mae Pool AL8960
4.50%	05/01/46		45,623,059		50,519,638
Fannie Mae Pool AL9106
4.50%	02/01/46		60,248,578		65,981,695
Fannie Mae Pool AL9217
3.50%	10/01/46		34,159,619		37,364,840
Fannie Mae Pool AL9472
4.00%	10/01/43		9,558,026		10,493,553
Fannie Mae Pool AL9722
4.50%	08/01/46		197,662,786		218,877,306
Fannie Mae Pool AL9846
4.50%	02/01/47		200,833,780		222,388,633
Fannie Mae Pool AM4869
4.07%	12/01/25		1,778,442		2,019,576
Fannie Mae Pool AM6770
3.77%	09/01/29		163,895		190,559
Fannie Mae Pool AN4429
3.22%	01/01/27		23,130,000		26,093,706
Fannie Mae Pool AN4435
3.22%	01/01/27		29,420,000		33,189,660
Fannie Mae Pool AN6243
3.46%	09/01/37		6,938,000		8,341,876
Fannie Mae Pool AN7345
3.21%	11/01/37		81,112		94,731
Fannie Mae Pool AN7981
2.95%	01/01/28		100,000		112,170
Fannie Mae Pool AN9293
3.71%	09/01/30		76,105,000		89,548,124
Fannie Mae Pool AN9814
3.63%	08/01/28		132,456,146		152,371,789
Fannie Mae Pool AS8605
3.00%	01/01/32		231,521		246,932



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AS8663
4.50%	01/01/47	$	35,103,109	$	37,897,576
Fannie Mae Pool AS9830
4.00%	06/01/47		126,725,453		135,125,245
Fannie Mae Pool AS9972
4.00%	07/01/47		109,462,007		116,717,518
Fannie Mae Pool AT9649
4.00%	07/01/43		209,305		236,904
Fannie Mae Pool AU3739
3.50%	08/01/43		36,198,496		40,228,194
Fannie Mae Pool BD2450
3.50%	01/01/47		140,181		149,007
Fannie Mae Pool BL0004
3.50%	09/01/28		6,290,000		7,295,202
Fannie Mae Pool BL0661
3.99%	11/01/33		238,767		283,140
Fannie Mae Pool BL0937
3.83%	12/01/28		92,491,032		107,693,061
Fannie Mae Pool BL6060
2.46%	04/01/40		126,370,000		134,400,921
Fannie Mae Pool BM4299
3.00%	03/01/30		55,455,000		58,298,704
Fannie Mae Pool BM4304
3.00%	02/01/30		77,329,724		81,295,153
Fannie Mae Pool BM5164
4.00%	11/01/48		84,409,036		92,786,526
Fannie Mae Pool BN4316
4.00%	01/01/49		52,028		56,065
Fannie Mae Pool CA0862
3.50%	09/01/47		8,449,154		8,918,227
Fannie Mae Pool CA0996
3.50%	01/01/48		73,651		79,650
Fannie Mae Pool CA1187
3.50%	02/01/48		147,588,258		155,801,749
Fannie Mae Pool CA1191
3.50%	11/01/47		9,900,529		10,450,178
Fannie Mae Pool CA1710
4.50%	05/01/48		287,507		309,676
Fannie Mae Pool CA1711
4.50%	05/01/48		29,494,655		31,768,911
Fannie Mae Pool CA2208
4.50%	08/01/48		67,635,925		72,682,065
Fannie Mae Pool CA2327
4.00%	09/01/48		55,305,008		60,757,767
Fannie Mae Pool CA2493
4.50%	10/01/48		20,354,122		21,867,602
Fannie Mae Pool CA3633
3.50%	06/01/49		41,143,023		44,597,169



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA4011
3.50%	08/01/49	$	153,816,702	$	158,895,283
Fannie Mae Pool FM2318
3.50%	09/01/49		561,499,114		606,533,925
Fannie Mae Pool FM2388
3.50%	04/01/48		31,201,389		34,132,903
Fannie Mae Pool FN0001
3.79%	12/01/20⁹		21,523,115		21,738,205
Fannie Mae Pool MA1146
4.00%	08/01/42		48,600,894		53,452,288
Fannie Mae Pool MA1177
3.50%	09/01/42		56,923,683		61,699,600
Fannie Mae Pool MA1404
3.50%	04/01/43		110,192		119,155
Fannie Mae Pool MA1432
3.00%	05/01/33		83,803		89,071
Fannie Mae Pool MA1459
3.00%	06/01/33		39,488		41,970
Fannie Mae Pool MA1527
3.00%	08/01/33		55,823,362		59,540,565
Fannie Mae Pool MA1561
3.00%	09/01/33		34,716,355		37,028,165
Fannie Mae Pool MA1582
3.50%	09/01/43		17,938,538		19,396,068
Fannie Mae Pool MA1584
3.50%	09/01/33		54,458,465		58,311,189
Fannie Mae Pool MA1608
3.50%	10/01/33		38,170,066		40,870,594
Fannie Mae Pool MA1982
3.50%	08/01/34		89,120		94,490
Fannie Mae Pool MA2895
3.00%	02/01/47		100,439		106,042
Fannie Mae Pool MA2960
4.00%	04/01/47		75,910,806		80,942,431
Fannie Mae Pool MA3027
4.00%	06/01/47		56,042,127		59,756,789
Fannie Mae Pool MA3029
3.00%	06/01/32		50,087,429		52,726,992
Fannie Mae Pool MA3060
3.00%	07/01/32		22,944		24,153
Fannie Mae Pool MA3120
3.50%	09/01/47		4,412,394		4,657,358
Fannie Mae Pool MA3182
3.50%	11/01/47		90,879,816		95,937,404
Fannie Mae Pool MA3210
3.50%	12/01/47		158,905,277		167,748,577
Fannie Mae Pool MA3238
3.50%	01/01/48		133,490,174		140,919,088



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA3276
3.50%	02/01/48	$	56,054,472	$	59,173,982
Fannie Mae Pool MA3305
3.50%	03/01/48		74,791,887		78,980,794
Fannie Mae Pool MA3332
3.50%	04/01/48		207,954,618		219,239,712
Fannie Mae Pool MA3364
3.50%	05/01/33		23,301,347		24,548,369
Fannie Mae Pool MA3537
4.50%	12/01/48		50,302,733		54,039,969
Fannie Mae Pool MA3811
3.00%	10/01/49		40,571,182		42,063,314
Fannie Mae Pool MA3846
3.00%	11/01/49		227,639		236,011
Fannie Mae Pool MA3942
3.00%	02/01/50		77,210,580		80,090,180
Fannie Mae Pool MA3965
2.50%	03/01/40		32,565,712		33,985,633
Fannie Mae Pool MA3990
2.50%	04/01/50		4,429,187		4,621,252
Fannie Mae Pool MA3997
3.00%	04/01/50		89,064,670		92,386,372
Fannie Mae Pool MA4016
2.50%	05/01/40		576,154,779		602,245,717
Fannie Mae Pool MA4054
2.50%	06/01/40		5,810,700		6,073,512
Fannie Mae REMICS, Series 1991-65,
Class Z
6.50%	06/25/21		244		248
Fannie Mae REMICS, Series 1992-123,
Class Z
7.50%	07/25/22		314		328
Fannie Mae REMICS, Series 1993-132,
Class D (PO)
0.00%	10/25/22¹⁰		11,366		11,310
Fannie Mae REMICS, Series 1993-29,
Class PK
7.00%	03/25/23		980		1,023
Fannie Mae REMICS, Series 1994-55,
Class H
7.00%	03/25/24		6,158		6,686
Fannie Mae REMICS, Series 1997-34,
Class SA
(Cost of Funds 11th District of San Francisco * 5.542, 37.68% Cap)
4.18%	10/25/23¹		1,591		1,809
Fannie Mae REMICS, Series 1998-37,
Class VZ
6.00%	06/17/28		4,168		4,393



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 1999-11,
Class Z
5.50%	03/25/29	$	26,160	$	27,808
Fannie Mae REMICS, Series 2001-52,
Class YZ
6.50%	10/25/31		102,282		121,392
Fannie Mae REMICS, Series 2005-104,
Class NI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
6.52%	03/25/35¹		1,166,092		15,581
Fannie Mae REMICS, Series 2005-117,
Class LC
5.50%	11/25/35		4,014,303		4,243,969
Fannie Mae REMICS, Series 2005-122,
Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.42%	11/25/35¹		53,407		7,162
Fannie Mae REMICS, Series 2005-92,
Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
5.92%	10/25/25¹		3,522,475		292,415
Fannie Mae REMICS, Series 2006-4,
Class WE
4.50%	02/25/36		64,506		69,550
Fannie Mae REMICS, Series 2006-49,
Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
28.26%	04/25/36¹		1,739,677		2,851,414
Fannie Mae REMICS, Series 2007-17,
Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
6.22%	03/25/37¹		1,352,704		206,619
Fannie Mae REMICS, Series 2007-34,
Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
5.93%	04/25/37¹		3,006,034		674,636
Fannie Mae REMICS, Series 2007-64,
Class FA
(LIBOR USD 1-Month plus 0.47%)
0.65%	07/25/37¹		4,259		4,278
Fannie Mae REMICS, Series 2008-24,
Class NA
6.75%	06/25/37		389,325		449,806
Fannie Mae REMICS, Series 2010-116,
Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.42%	10/25/40¹		3,917,987		658,051
Fannie Mae REMICS, Series 2010-135,
Class EA
3.00%	01/25/40		7,802		8,009



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2010-17,
Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
6.17%	03/25/40¹	$	7,377,027	$	1,801,320
Fannie Mae REMICS, Series 2010-43,
Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
6.24%	05/25/40¹		13,045,128		2,819,213
Fannie Mae REMICS, Series 2011-101,
Class HE
4.00%	10/25/41		10,100,000		11,448,403
Fannie Mae REMICS, Series 2011-111,
Class DB
4.00%	11/25/41		21,075,196		23,360,637
Fannie Mae REMICS, Series 2011-2,
Class PD
4.00%	12/25/39		15,296		15,400
Fannie Mae REMICS, Series 2012-84,
Class VZ
3.50%	08/25/42		9,824,465		10,892,101
Fannie Mae REMICS, Series 2013-101,
Class BO (PO)
0.00%	10/25/43¹⁰		18,968,333		17,968,493
Fannie Mae REMICS, Series 2013-101,
Class CO (PO)
0.00%	10/25/43¹⁰		11,740,943		10,873,730
Fannie Mae REMICS, Series 2016-45,
Class AF
(LIBOR USD 1-Month plus 0.50%)
0.68%	07/25/46¹		12,829,538		12,873,143
Fannie Mae REMICS, Series 2016-72,
Class FA
(LIBOR USD 1-Month plus 0.50%)
0.68%	10/25/46¹		30,485,214		30,579,935
Fannie Mae REMICS, Series 2016-74,
Class GF
(LIBOR USD 1-Month plus 0.50%)
0.68%	10/25/46¹		20,666,481		20,695,924
Fannie Mae REMICS, Series 2016-75,
Class FL
(LIBOR USD 1-Month plus 0.50%)
0.68%	10/25/46¹		19,906,832		19,935,068
Fannie Mae REMICS, Series 2018-29,
Class AP
3.50%	11/25/46		171,738,324		177,813,730
Fannie Mae REMICS, Series 2018-38,
Class LA
3.00%	06/25/48		56,620,166		59,312,614
Fannie Mae REMICS, Series 2018-38,
Class PA
3.50%	06/25/47		90,889		95,462



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2018-45,
Class GA
3.00%	06/25/48	$	67,166,069	$	69,218,332
Fannie Mae REMICS, Series 2018-55,
Class PA
3.50%	01/25/47		53,212,819		55,519,956
Fannie Mae REMICS, Series 2018-57,
Class QA
3.50%	05/25/46		203,328		212,107
Fannie Mae REMICS, Series 2018-86,
Class JA
4.00%	05/25/47		4,418,404		4,627,106
Fannie Mae REMICS, Series 2018-94,
Class KD
3.50%	12/25/48		19,723,223		20,850,744
Fannie Mae REMICS, Series 2019-1,
Class AB
3.50%	02/25/49		4,233,189		4,528,350
Fannie Mae REMICS, Series 2019-1,
Class KP
3.25%	02/25/49		7,167,960		7,522,941
Fannie Mae REMICS, Series 2019-26,
Class JE
3.00%	06/25/49		18,870,323		19,306,784
Fannie Mae REMICS, Series 2019-45,
Class PA
3.00%	08/25/49		49,213,723		52,271,908
Fannie Mae REMICS, Series 2019-52,
Class PA
3.00%	09/25/49		24,895,204		25,612,804
Fannie Mae REMICS, Series 2019-67,
Class FE
(LIBOR USD 1-Month plus 0.45%)
0.63%	11/25/49¹		57,774,089		57,870,821
Fannie Mae REMICS, Series 2019-79,
Class FA
(LIBOR USD 1-Month plus 0.50%)
0.68%	01/25/50¹		191,080		192,007
Fannie Mae REMICS, Series G92-36,
Class Z
7.00%	07/25/22		8		8
Fannie Mae REMICS, Series G93-21,
Class Z
7.20%	05/25/23		1,294		1,372
Fannie Mae Trust, Series 2003-W2,
Class 2A9
5.90%	07/25/42		24,519		28,646
Freddie Mac Gold Pool A24156
6.50%	10/01/31		140,907		156,974
Freddie Mac Gold Pool A25162
5.50%	05/01/34		1,716,440		1,991,911



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool A39012
5.50%	06/01/35	$	36,206	$	42,307
Freddie Mac Gold Pool A54856
5.00%	01/01/34		3,281,390		3,710,050
Freddie Mac Gold Pool A61164
5.00%	04/01/36		11,393		13,011
Freddie Mac Gold Pool A97038
4.00%	02/01/41		11,151,441		12,335,887
Freddie Mac Gold Pool C01492
5.00%	02/01/33		500,880		568,950
Freddie Mac Gold Pool C04546
3.00%	02/01/43		17,979,826		19,536,001
Freddie Mac Gold Pool C04573
3.00%	03/01/43		22,195,611		24,161,008
Freddie Mac Gold Pool C46104
6.50%	09/01/29		12,366		13,788
Freddie Mac Gold Pool C55789
7.50%	10/01/27		5,382		5,953
Freddie Mac Gold Pool C90573
6.50%	08/01/22		20,006		21,082
Freddie Mac Gold Pool E02402
6.00%	10/01/22		4,989		5,170
Freddie Mac Gold Pool G00992
7.00%	11/01/28		584		667
Freddie Mac Gold Pool G01515
5.00%	02/01/33		520,287		590,586
Freddie Mac Gold Pool G02579
5.00%	12/01/34		829,981		953,240
Freddie Mac Gold Pool G02884
6.00%	04/01/37		2,036,378		2,408,666
Freddie Mac Gold Pool G02955
5.50%	03/01/37		3,009,285		3,511,179
Freddie Mac Gold Pool G03357
5.50%	08/01/37		1,249,719		1,461,658
Freddie Mac Gold Pool G03676
5.50%	12/01/37		2,118,181		2,456,019
Freddie Mac Gold Pool G03783
5.50%	01/01/38		1,502,042		1,741,668
Freddie Mac Gold Pool G03985
6.00%	03/01/38		18,663		22,400
Freddie Mac Gold Pool G04438
5.50%	05/01/38		4,448,546		5,159,194
Freddie Mac Gold Pool G04703
5.50%	08/01/38		3,800,242		4,407,177
Freddie Mac Gold Pool G04706
5.50%	09/01/38		155,413		180,240
Freddie Mac Gold Pool G05866
4.50%	02/01/40		15,242,301		17,342,014



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G06361
4.00%	03/01/41	$	21,204	$	23,933
Freddie Mac Gold Pool G06498
4.00%	04/01/41		21,071,760		23,581,754
Freddie Mac Gold Pool G06499
4.00%	03/01/41		9,716,171		10,683,995
Freddie Mac Gold Pool G07408
3.50%	06/01/43		20,048,995		22,279,021
Freddie Mac Gold Pool G07786
4.00%	08/01/44		186,127,153		207,467,022
Freddie Mac Gold Pool G07848
3.50%	04/01/44		100,031,265		110,443,990
Freddie Mac Gold Pool G07849
3.50%	05/01/44		14,094,444		15,445,708
Freddie Mac Gold Pool G07924
3.50%	01/01/45		19,891,939		21,724,426
Freddie Mac Gold Pool G07925
4.00%	02/01/45		12,109,245		13,552,284
Freddie Mac Gold Pool G08676
3.50%	11/01/45		67,140,052		71,659,088
Freddie Mac Gold Pool G08681
3.50%	12/01/45		43,965,842		46,925,077
Freddie Mac Gold Pool G08698
3.50%	03/01/46		2,374		2,529
Freddie Mac Gold Pool G08710
3.00%	06/01/46		251,107,601		265,252,593
Freddie Mac Gold Pool G08711
3.50%	06/01/46		18,972,149		20,155,926
Freddie Mac Gold Pool G08715
3.00%	08/01/46		332,257,011		350,973,181
Freddie Mac Gold Pool G08721
3.00%	09/01/46		33,886,215		35,795,039
Freddie Mac Gold Pool G08722
3.50%	09/01/46		82,992,116		88,170,451
Freddie Mac Gold Pool G08726
3.00%	10/01/46		362,666,465		382,982,511
Freddie Mac Gold Pool G08727
3.50%	10/01/46		68,335,528		72,842,792
Freddie Mac Gold Pool G08732
3.00%	11/01/46		218,524,226		230,765,634
Freddie Mac Gold Pool G08737
3.00%	12/01/46		129,255,592		136,496,302
Freddie Mac Gold Pool G08741
3.00%	01/01/47		129,084,322		136,315,437
Freddie Mac Gold Pool G08742
3.50%	01/01/47		109,626,928		116,704,581
Freddie Mac Gold Pool G08747
3.00%	02/01/47		42,351,920		44,724,413



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08757
3.50%	04/01/47	$	50,134,649	$	52,936,882
Freddie Mac Gold Pool G08758
4.00%	04/01/47		36,946		39,464
Freddie Mac Gold Pool G08762
4.00%	05/01/47		38,341,682		40,887,318
Freddie Mac Gold Pool G08773
3.00%	08/01/47		52,121		54,959
Freddie Mac Gold Pool G08779
3.50%	09/01/47		201,421		212,679
Freddie Mac Gold Pool G08784
3.50%	10/01/47		176,507		186,373
Freddie Mac Gold Pool G08791
3.00%	12/01/47		233,131,425		245,826,690
Freddie Mac Gold Pool G08792
3.50%	12/01/47		148,458		156,756
Freddie Mac Gold Pool G08795
3.00%	01/01/48		123,019		129,812
Freddie Mac Gold Pool G08826
5.00%	06/01/48		29,469,735		32,185,121
Freddie Mac Gold Pool G08833
5.00%	07/01/48		17,952,074		19,606,205
Freddie Mac Gold Pool G08838
5.00%	09/01/48		8,509,581		9,312,981
Freddie Mac Gold Pool G08840
5.00%	08/01/48		3,082,315		3,370,320
Freddie Mac Gold Pool G08843
4.50%	10/01/48		22,950,222		24,697,054
Freddie Mac Gold Pool G08844
5.00%	10/01/48		25,685,936		28,052,677
Freddie Mac Gold Pool G08848
4.50%	11/01/48		4,336,082		4,662,644
Freddie Mac Gold Pool G08849
5.00%	11/01/48		10,020,692		10,953,424
Freddie Mac Gold Pool G12393
5.50%	10/01/21		227,415		230,112
Freddie Mac Gold Pool G12399
6.00%	09/01/21		204		208
Freddie Mac Gold Pool G12824
6.00%	08/01/22		384,368		398,702
Freddie Mac Gold Pool G12909
6.00%	11/01/22		1,049,008		1,091,518
Freddie Mac Gold Pool G13032
6.00%	09/01/22		104,830		107,186
Freddie Mac Gold Pool G13058
4.50%	10/01/20		40		40
Freddie Mac Gold Pool G15897
2.50%	09/01/31		69,469		73,484



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G16085
2.50%	02/01/32	$	4,724,944	$	5,021,601
Freddie Mac Gold Pool G16502
3.50%	05/01/33		132,139		139,255
Freddie Mac Gold Pool G16524
3.50%	05/01/33		42,853,963		45,871,550
Freddie Mac Gold Pool G16584
3.50%	08/01/33		8,616,070		9,072,300
Freddie Mac Gold Pool G16607
3.50%	09/01/33		80,476,053		86,067,376
Freddie Mac Gold Pool G16623
2.50%	09/01/32		42,680,586		44,866,358
Freddie Mac Gold Pool G16755
3.50%	02/01/34		87,505,564		92,983,684
Freddie Mac Gold Pool G16756
3.50%	01/01/34		7,118,610		7,573,169
Freddie Mac Gold Pool G16770
2.50%	02/01/32		196,503		207,431
Freddie Mac Gold Pool G18581
2.50%	01/01/31		45,530		47,821
Freddie Mac Gold Pool G18592
3.00%	03/01/31		43,861		46,273
Freddie Mac Gold Pool G18596
3.00%	04/01/31		51,681,742		54,524,241
Freddie Mac Gold Pool G18691
3.00%	06/01/33		23,193,799		24,391,852
Freddie Mac Gold Pool G18692
3.50%	06/01/33		36,006,532		37,903,720
Freddie Mac Gold Pool G18713
3.50%	11/01/33		44,339,069		46,657,586
Freddie Mac Gold Pool G18716
3.50%	12/01/33		137,087		143,929
Freddie Mac Gold Pool G60023
3.50%	04/01/45		17,496,780		19,280,895
Freddie Mac Gold Pool G60080
3.50%	06/01/45		201,734,689		220,129,786
Freddie Mac Gold Pool G60138
3.50%	08/01/45		145,269,443		160,130,452
Freddie Mac Gold Pool G60238
3.50%	10/01/45		62,290,856		67,931,891
Freddie Mac Gold Pool G60344
4.00%	12/01/45		154,584		170,371
Freddie Mac Gold Pool G67700
3.50%	08/01/46		46,048,847		50,329,274
Freddie Mac Gold Pool G67703
3.50%	04/01/47		464,288,806		505,464,073
Freddie Mac Gold Pool G67706
3.50%	12/01/47		249,051,447		270,982,818



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G67707
3.50%	01/01/48	$	551,492,618	$	605,571,763
Freddie Mac Gold Pool G67708
3.50%	03/01/48		616,299,485		667,103,886
Freddie Mac Gold Pool G67709
3.50%	03/01/48		411,350,502		449,733,790
Freddie Mac Gold Pool G67710
3.50%	03/01/48		419,773,300		450,048,232
Freddie Mac Gold Pool G67711
4.00%	03/01/48		111,474,846		123,263,441
Freddie Mac Gold Pool G67713
4.00%	06/01/48		158,466,673		172,451,609
Freddie Mac Gold Pool G67714
4.00%	07/01/48		180,829		198,156
Freddie Mac Gold Pool G67717
4.00%	11/01/48		152,890,474		167,444,028
Freddie Mac Gold Pool G67718
4.00%	01/01/49		236,102,457		256,665,819
Freddie Mac Gold Pool H00790
5.50%	05/01/37		9,267		10,504
Freddie Mac Gold Pool H05069
5.50%	05/01/37		328,431		373,377
Freddie Mac Gold Pool Q05804
4.00%	01/01/42		35,699,616		40,311,052
Freddie Mac Gold Pool U99097
3.50%	07/01/43		58,425,040		63,232,830
Freddie Mac Gold Pool V61222
2.50%	06/01/31		125,491		132,588
Freddie Mac Gold Pool V62078
3.50%	08/01/33		8,512,550		8,998,238
Freddie Mac Gold Pool V62129
3.50%	08/01/33		18,693,446		19,862,233
Freddie Mac Gold Pool V80356
3.50%	08/01/43		37,567,945		41,499,026
Freddie Mac Gold Pool WN1000
3.70%	07/01/33		140,700,000		167,303,545
Freddie Mac Pool RB5048
2.50%	05/01/40		565,376,825		590,961,919
Freddie Mac Pool RB5054
2.50%	06/01/40		50,077,456		52,343,620
Freddie Mac Pool RE6029
3.00%	02/01/50		25,507,315		26,442,648
Freddie Mac Pool SD7502
3.50%	07/01/49		21,187,223		22,628,316
Freddie Mac Pool SD7503
3.50%	08/01/49		40,922,518		44,153,539
Freddie Mac Pool SD7511
3.50%	01/01/50		37,417,710		40,442,169



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool ZA5103
3.50%	12/01/47	$	566,739	$	598,229
Freddie Mac Pool ZA5128
3.50%	12/01/47		1,350,159		1,425,116
Freddie Mac Pool ZS4768
3.50%	05/01/48		4,250,943		4,481,630
Freddie Mac Pool ZT0277
3.50%	10/01/46		3,845,019		4,128,175
Freddie Mac Pool ZT1403
3.50%	11/01/33		50,666,320		53,346,173
Freddie Mac REMICS, Series 1073,
Class G
7.00%	05/15/21		45		46
Freddie Mac REMICS, Series 1107,
Class ZC
6.50%	07/15/21		450		459
Freddie Mac REMICS, Series 1980,
Class Z
7.00%	07/15/27		65,919		75,656
Freddie Mac REMICS, Series 1983,
Class Z
6.50%	12/15/23		20,172		21,745
Freddie Mac REMICS, Series 2098,
Class TZ
6.00%	01/15/28		262,860		292,517
Freddie Mac REMICS, Series 2174,
Class PN
6.00%	07/15/29		14,304		16,182
Freddie Mac REMICS, Series 2313,
Class LA
6.50%	05/15/31		6,893		7,961
Freddie Mac REMICS, Series 2433,
Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
20.45%	02/15/32¹		8,307		13,281
Freddie Mac REMICS, Series 2481,
Class AW
6.50%	08/15/32		30,726		34,072
Freddie Mac REMICS, Series 3019,
Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.02%	08/15/35¹		1,259,603		312,056
Freddie Mac REMICS, Series 3063,
Class YG
5.50%	11/15/35		3,330,595		3,877,099
Freddie Mac REMICS, Series 3300,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.02%	08/15/35¹		556,898		118,997



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3707,
Class EI (IO)
5.00%	12/15/38	$	6,741,696	$	289,476
Freddie Mac REMICS, Series 3730,
Class JG
3.00%	09/15/39		7,141		7,264
Freddie Mac REMICS, Series 3752,
Class XL (IO)
4.50%	11/15/40		54,806,333		61,568,919
Freddie Mac REMICS, Series 3891,
Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
5.77%	07/15/41¹		6,099,859		740,105
Freddie Mac REMICS, Series 3904,
Class JB
4.50%	08/15/41		15,832,557		17,916,179
Freddie Mac REMICS, Series 3925,
Class LB
4.50%	09/15/41		9,215,000		11,269,604
Freddie Mac REMICS, Series 3928,
Class JD
4.00%	09/15/41		32,095,702		35,709,466
Freddie Mac REMICS, Series 4102,
Class TC
2.50%	09/15/41		13,620,271		14,169,473
Freddie Mac REMICS, Series 4161,
Class BA
2.50%	12/15/41		21,090,919		21,927,196
Freddie Mac REMICS, Series 4656,
Class EZ
4.00%	02/15/47		177,069		205,233
Freddie Mac REMICS, Series 4818,
Class CA
3.00%	04/15/48		5,055,562		5,266,101
Freddie Mac REMICS, Series 4846,
Class PA
4.00%	06/15/47		1,810,658		1,907,880
Freddie Mac REMICS, Series 4852,
Class CA
4.00%	11/15/47		54,961,879		58,967,243
Freddie Mac REMICS, Series 4860,
Class BH
3.50%	10/15/48		25,239,843		26,184,200
Freddie Mac REMICS, Series 4860,
Class PA
3.50%	02/15/49		9,252,030		9,619,937
Freddie Mac REMICS, Series 4879,
Class BC
3.00%	04/15/49		4,618,350		4,751,617
Freddie Mac REMICS, Series 4896,
Class DA
3.00%	01/15/49		3,510,295		3,654,910



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 4937,
Class MF
(LIBOR USD 1-Month plus 0.45%)
0.63%	12/25/49¹	$	13,269,734	$	13,291,739
Freddie Mac Strips, Series 309,
Class PO (PO)
0.00%	08/15/43¹⁰		26,818,256		24,824,386
Freddie Mac Strips, Series 319,
Class F2
(LIBOR USD 1-Month plus 0.50%)
0.68%	11/15/43¹		5,081,646		5,111,382
Ginnie Mae I Pool 782817
4.50%	11/15/39		16,230,182		18,204,624
Ginnie Mae I Pool AA5452
3.50%	07/15/42		212,157		226,124
Ginnie Mae II Pool 2631
7.00%	08/20/28		1,663		1,878
Ginnie Mae II Pool 3388
4.50%	05/20/33		4,261		4,662
Ginnie Mae II Pool 3427
4.50%	08/20/33		1,607		1,767
Ginnie Mae II Pool 3554
4.50%	05/20/34		1,590		1,749
Ginnie Mae II Pool 4058
5.00%	12/20/37		982		1,125
Ginnie Mae II Pool 4342
5.00%	01/20/39		1,337		1,519
Ginnie Mae II Pool 4520
5.00%	08/20/39		25,951		29,520
Ginnie Mae II Pool 5140
4.50%	08/20/41		55,743		61,260
Ginnie Mae II Pool 5175
4.50%	09/20/41		59,163		65,023
Ginnie Mae II Pool 5281
4.50%	01/20/42		17,238		18,949
Ginnie Mae II Pool 783591
4.50%	07/20/41		22,285		24,495
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.25%	07/20/34¹		13,368		13,873
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.00%	03/20/35¹		19,518		19,802
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.25%	08/20/35¹		22,423		23,578



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.13%	10/20/35¹	$	18,786	$	19,784
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.88%	05/20/25¹		3,585		3,713
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note
Constant Maturity 1 Year plus 1.50%)
3.88%	06/20/25¹		4,705		4,713
Ginnie Mae II Pool MA0627
4.50%	12/20/42		65,349		71,826
Ginnie Mae II Pool MA0701
4.50%	01/20/43		82,398		90,160
Ginnie Mae II Pool MA1157
3.50%	07/20/43		67,831		73,693
Ginnie Mae II Pool MA1997
4.50%	06/20/44		18,258		20,024
Ginnie Mae II Pool MA2374
5.00%	11/20/44		456,830		515,098
Ginnie Mae II Pool MA2756
4.50%	04/20/45		40,457		44,373
Ginnie Mae II Pool MA2828
4.50%	05/20/45		1,739,756		1,908,249
Ginnie Mae II Pool MA2894
4.50%	06/20/45		662,246		726,197
Ginnie Mae II Pool MA3036
4.50%	08/20/45		69,607		76,339
Ginnie Mae II Pool MA3309
3.00%	12/20/45		16,004		17,058
Ginnie Mae II Pool MA3456
4.50%	02/20/46		458,159		502,407
Ginnie Mae II Pool MA3521
3.50%	03/20/46		62,414,867		66,810,496
Ginnie Mae II Pool MA3524
5.00%	03/20/46		19,998		22,428
Ginnie Mae II Pool MA3597
3.50%	04/20/46		156,366,190		167,378,435
Ginnie Mae II Pool MA3600
5.00%	04/20/46		11,865,214		13,368,319
Ginnie Mae II Pool MA3663
3.50%	05/20/46		45,410,529		48,537,657
Ginnie Mae II Pool MA3665
4.50%	05/20/46		197,401		215,981
Ginnie Mae II Pool MA3666
5.00%	05/20/46		6,833,806		7,693,389



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA3738
4.50%	06/20/46	$	817,710	$	894,675
Ginnie Mae II Pool MA3739
5.00%	06/20/46		3,911,108		4,407,387
Ginnie Mae II Pool MA3805
4.50%	07/20/46		6,823,255		7,465,477
Ginnie Mae II Pool MA3806
5.00%	07/20/46		297,834		334,501
Ginnie Mae II Pool MA3876
4.50%	08/20/46		7,048,852		7,712,307
Ginnie Mae II Pool MA3877
5.00%	08/20/46		1,352,773		1,531,660
Ginnie Mae II Pool MA3937
3.50%	09/20/46		36,496,500		39,009,776
Ginnie Mae II Pool MA3939
4.50%	09/20/46		3,666,980		4,117,224
Ginnie Mae II Pool MA4003
3.00%	10/20/46		19,469,947		20,690,500
Ginnie Mae II Pool MA4006
4.50%	10/20/46		4,197,574		4,600,530
Ginnie Mae II Pool MA4007
5.00%	10/20/46		8,253,512		9,308,929
Ginnie Mae II Pool MA4069
3.50%	11/20/46		113,468,774		121,176,253
Ginnie Mae II Pool MA4071
4.50%	11/20/46		11,960,149		13,108,406
Ginnie Mae II Pool MA4072
5.00%	11/20/46		2,164,303		2,443,330
Ginnie Mae II Pool MA4126
3.00%	12/20/46		325,614,806		346,027,305
Ginnie Mae II Pool MA4127
3.50%	12/20/46		119,215,305		127,313,124
Ginnie Mae II Pool MA4129
4.50%	12/20/46		36,932,702		41,515,281
Ginnie Mae II Pool MA4196
3.50%	01/20/47		30,182		32,232
Ginnie Mae II Pool MA4198
4.50%	01/20/47		321,087		350,707
Ginnie Mae II Pool MA4199
5.00%	01/20/47		6,775,683		7,637,741
Ginnie Mae II Pool MA4264
4.50%	02/20/47		98,355,472		107,990,976
Ginnie Mae II Pool MA4265
5.00%	02/20/47		1,786,735		1,995,151
Ginnie Mae II Pool MA4324
5.00%	03/20/47		10,034,459		11,276,729
Ginnie Mae II Pool MA4382
3.50%	04/20/47		81,874,096		87,307,548



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4384
4.50%	04/20/47	$	4,874,192	$	5,305,546
Ginnie Mae II Pool MA4385
5.00%	04/20/47		16,399,503		18,153,217
Ginnie Mae II Pool MA4453
4.50%	05/20/47		255,541,067		279,534,896
Ginnie Mae II Pool MA4454
5.00%	05/20/47		38,210,999		42,252,959
Ginnie Mae II Pool MA4510
3.50%	06/20/47		116,685		124,428
Ginnie Mae II Pool MA4511
4.00%	06/20/47		16,770,208		18,038,944
Ginnie Mae II Pool MA4512
4.50%	06/20/47		905,572		989,965
Ginnie Mae II Pool MA4513
5.00%	06/20/47		728,806		806,718
Ginnie Mae II Pool MA4586
3.50%	07/20/47		139,843,283		149,123,773
Ginnie Mae II Pool MA4588
4.50%	07/20/47		149,279		162,798
Ginnie Mae II Pool MA4589
5.00%	07/20/47		36,959,125		40,899,995
Ginnie Mae II Pool MA4652
3.50%	08/20/47		10,561,304		11,235,786
Ginnie Mae II Pool MA4655
5.00%	08/20/47		44,284,484		49,016,387
Ginnie Mae II Pool MA4719
3.50%	09/20/47		137,589,955		146,376,931
Ginnie Mae II Pool MA4720
4.00%	09/20/47		333,967		358,398
Ginnie Mae II Pool MA4722
5.00%	09/20/47		855,839		944,408
Ginnie Mae II Pool MA4781
5.00%	10/20/47		10,676,124		11,780,974
Ginnie Mae II Pool MA4836
3.00%	11/20/47		292,373,035		310,167,986
Ginnie Mae II Pool MA4837
3.50%	11/20/47		330,999,547		352,022,602
Ginnie Mae II Pool MA4838
4.00%	11/20/47		111,876,619		120,060,863
Ginnie Mae II Pool MA4840
5.00%	11/20/47		3,156,039		3,492,907
Ginnie Mae II Pool MA4900
3.50%	12/20/47		21,475,873		22,839,889
Ginnie Mae II Pool MA4901
4.00%	12/20/47		74,631,708		80,091,330
Ginnie Mae II Pool MA4961
3.00%	01/20/48		980,286		1,039,950



Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4963
4.00%	01/20/48	$	129,861,217	$	139,361,110
Ginnie Mae II Pool MA5078
4.00%	03/20/48		216,631		231,802
Ginnie Mae II Pool MA5137
4.00%	04/20/48		50,094,297		53,602,361
Ginnie Mae II Pool MA5399
4.50%	08/20/48		10,895,416		11,725,143
Ginnie Mae II Pool MA5466
4.00%	09/20/48		18,753,511		20,048,862
Ginnie Mae II Pool MA5467
4.50%	09/20/48		103,002		110,797
Ginnie Mae II Pool MA5528
4.00%	10/20/48		87,064,301		92,780,522
Ginnie Mae II Pool MA5530
5.00%	10/20/48		18,009,618		19,637,019
Ginnie Mae II Pool MA5651
4.00%	12/20/48		30,488		32,485
Ginnie Mae II Pool MA6030
3.50%	07/20/49		99,305,630		102,492,245
Ginnie Mae II Pool MA6080
3.00%	08/20/49		17,784		18,460
Ginnie Mae II Pool MA6081
3.50%	08/20/49		33,643,452		34,723,035
Ginnie Mae II Pool MA6209
3.00%	10/20/49		31,282,587		32,515,954
Ginnie Mae II Pool MA6210
3.50%	10/20/49		17,843,447		18,425,384
Ginnie Mae Pool (TBA)
2.50%	07/20/50		608,050,000		640,115,140
3.00%	07/20/50		364,050,000		385,736,568
Ginnie Mae, Series 2003-86, Class ZK
5.00%	10/20/33		6,598,210		7,380,006
Ginnie Mae, Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
6.55%	06/16/37¹		12,160,312		2,857,822
Ginnie Mae, Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
6.06%	03/20/36¹		10,376,298		1,289,747
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.61%	05/20/37¹		26,119,092		4,063,467
Ginnie Mae, Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
6.29%	12/20/39¹		4,353,918		1,056,559
Ginnie Mae, Series 2009-17, Class P
4.00%	08/16/38		5,842		6,031



Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.60%		07/16/39	¹	$	43,403	$	7,402
Ginnie Mae, Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
6.10%		08/16/38	¹		67,711		6,677
Ginnie Mae, Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
6.20%		01/16/40	¹		56,253		12,872
Ginnie Mae, Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
5.60%		01/16/40	¹		10,227,837		2,057,296
Ginnie Mae, Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
6.30%		09/16/39	¹		2,331,750		220,948
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			121,374		25,971
Ginnie Mae, Series 2013-113, Class LY
3.00%		05/20/43			51,184,000		55,849,649
Ginnie Mae, Series 2014-108, Class PA
2.63%		12/20/39			14,803,527		15,329,020
Ginnie Mae, Series 2018-124, Class NW
3.50%		09/20/48			1,793,743		1,934,873
Ginnie Mae, Series 2019-1, Class NP
3.50%		01/20/49			29,797,959		31,667,656
Ginnie Mae, Series 2019-119, Class JE
3.00%		09/20/49			37,834,513		39,049,414
Ginnie Mae, Series 2019-15, Class GT
3.50%		02/20/49			30,867,376		32,904,223
Ginnie Mae, Series 2019-44, Class CA
3.50%		12/20/48			15,983,927		16,726,411
Ginnie Mae, Series 2019-71, Class PT
3.00%		06/20/49			12,534,041		13,201,737
Ginnie Mae, Series 2019-86, Class C
2.50%		03/20/49			34,783,520		36,360,722
Ginnie Mae, Series 2019-90, Class HE
3.00%		07/20/49			40,529,563		42,308,682
NCUA Guaranteed Notes Trust,
Series 2010-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
0.62%		10/07/20	¹		5,193,361		5,172,917
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
0.73%		12/08/20	¹		5,959,663		5,949,543
NCUA Guaranteed Notes Trust,
Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
0.73%		12/08/20	¹		16,196,340		16,198,023



Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
UMBS (TBA)
2.00%		07/01/35	$	155,800,000	$	161,195,214
2.00%		08/01/35		206,550,000		213,327,412
2.00%		07/01/50		436,975,000		447,216,606
2.00%		08/01/50		397,350,000		405,894,559
2.50%		08/01/35		1,668,925,000		1,744,762,621
2.50%		07/01/50		3,521,175,000		3,671,100,047
2.50%		08/01/50		1,111,900,000		1,157,076,542
3.00%		09/01/50		1,297,000,000		1,361,427,165
3.50%		07/01/35		42,875,000		45,035,017
5.00%		07/01/50		200,175,000		218,684,263


						29,804,254,983


Total Mortgage-Backed
(Cost $35,287,280,038)						36,156,987,596


MUNICIPAL BONDS — 1.19%*
California — 0.49%
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		481,513
Los Angeles Department of Water & Power Power System Revenue, Taxable Bonds, Electric Light & Power Improvements, Series C
5.52%		07/01/27		12,625,000		16,018,221
Los Angeles Unified School District, Build America Bonds, School Improvements, Series RY
6.76%		07/01/34		12,165,000		18,030,476
Los Angeles Unified School District, Build America Taxable Bonds, School Improvements, Series KR
5.75%		07/01/34		10,755,000		14,899,117
Metropolitan Water District of Southern California, Build America Bonds, Water Utility Improvements
6.95%		07/01/40		435,000		435,061
Regents of the University of California Medical Center Pooled Revenue, Taxable Bonds, Health, Hospital and Nursing Home Improvements, Series N
3.01%		05/15/50		197,665,000		199,238,409
3.26%		05/15/60		40,075,000		41,829,883
San Francisco City & County Airport Comm-San Francisco International Airport, Airport and Marina Improvements, Series A
5.00%		05/01/49		70,765,000		84,834,500
State of California, Build America Bonds, School Improvements, General Obligation
7.95%		03/01/36		8,138		7,847



Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
State of California, Build America Taxable Bonds, Various Purpose, Water Utility Improvements
7.50%		04/01/34	$	3,885,000	$	6,347,935
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP
3.93%		05/15/45		30,115,000		36,007,301


						418,130,263


Florida — 0.02%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series A
5.00%		10/01/49		11,900,000		14,137,319


Massachusetts — 0.11%
Commonwealth of Massachusetts, Public Improvements, Series C
3.00%		03/01/48		59,745,000		63,500,571
3.00%		03/01/49		26,430,000		28,025,843


						91,526,414


Missouri — 0.01%
Health & Educational Facilities Authority of the State of Missouri, Taxable Revenue Bonds, Washington University, University and College Improvements
3.65%		08/15/57		8,515,000		10,571,713


New Jersey — 0.00%
Jersey City Municipal Utilities Authority, Taxable Bonds, Water Utility Improvements, Series B
5.47%		05/15/27		400,000		456,528
New Jersey State Turnpike Authority, Build America Taxable Bonds, Highway Improvements, Series A
7.10%		01/01/41		285,000		472,923
New Jersey Turnpike Authority, Taxable Bonds, Highway Revenue, Series F
3.73%		01/01/36		300,000		349,743


						1,279,194


New York — 0.56%
City of New York, Build America Bonds, Public Improvements
4.77%		10/01/23		4,420,000		4,946,599
5.21%		10/01/31		6,420,000		8,034,052
5.52%		10/01/37		6,075,000		8,652,623
5.82%		10/01/31		220,000		222,748
City of New York, Build America Taxable Bonds, Public Improvements, Series F1
6.65%		12/01/31		43,210,000		44,289,386



Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
City of New York, General Obligation Bonds, Public Improvements, Series D-1
4.00%		03/01/50	$	7,000,000	$	7,969,430
Metropolitan Transportation Authority, Green Taxable Bonds, Transit Improvements, Series C2
5.18%		11/15/49		48,140,000		56,334,391
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements, Subseries C5
3.90%		05/01/31		15,000,000		17,228,850
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		7,355,516
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		3,611,865
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds, Public Improvements
5.51%		08/01/37		25,000,000		35,061,000
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, School Improvements, Series G-3
5.27%		05/01/27		13,135,000		16,272,557
New York City Water & Sewer System Revenue Bonds, Water Utility Improvements
3.00%		06/15/50		25,595,000		26,759,061
New York City Water & Sewer System, Revenue Bonds, Series EE
3.50%		06/15/42		80,000,000		96,508,802
New York State Dormitory Authority, Build America Bonds, University & College Improvements
5.29%		03/15/33		44,990,000		56,987,483
New York State Dormitory Authority, Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series A
4.00%		07/01/50		37,630,000		42,109,483
4.00%		07/01/53		4,855,000		5,411,772
New York State Dormitory Authority, Revenue Bonds, School Improvements, Series A
4.00%		03/15/48		9,870,000		11,209,260
New York State Dormitory Authority, Unrefunded Build America Bonds, University & College Improvements
5.43%		03/15/39		21,400,000		28,215,044



Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York State Urban Development Corp.,
Build America Taxable Bonds, Public Improvements
5.77%		03/15/39		$	150,000	$	195,177


							477,375,099

Texas — 0.00%
Texas A&M University, Taxable Bond, University & College Improvements, Series B
2.69%		05/15/25			350,000		379,656
Texas Transportation Commission State Highway Fund, Build America Taxable Bonds, Highway Improvements, Series B
5.18%		04/01/30			3,075,000		3,945,440


							4,325,096


Total Municipal Bonds
(Cost $951,752,684)							1,017,345,098


U.S. TREASURY SECURITIES — 14.85%
U.S. Treasury Bonds — 4.19%
U.S. Treasury Bonds
1.13%		05/15/40			1,000,000		990,957
2.00%		02/15/50			760,496,000		871,183,820
U.S. Treasury Bonds - Treasury Inflation
Indexed Bonds
0.25%		02/15/50	¹¹		1,098,725,174		1,234,861,881
U.S. Treasury Bonds (WI)
1.25%		05/15/50			1,532,698,000		1,472,946,734


							3,579,983,392


U.S. Treasury Notes — 10.66%
U.S. Treasury Notes
0.25%		05/31/25			3,663,239,000		3,659,232,332
0.25%		06/30/25			2,405,134,000		2,400,718,318
0.38%		04/30/25			544,653,000		547,078,411
U.S. Treasury Notes - Treasury Inflation
Indexed Notes
0.13%		04/15/25	¹¹		761,767,892		799,499,208
0.25%		07/15/29	¹¹		945,756,490		1,035,661,682
U.S. Treasury Notes (WI)
0.63%		05/15/30			658,885,000		657,160,573


							9,099,350,524


Total U.S. Treasury Securities
(Cost $12,514,283,418)							12,679,333,916


Total Bonds – 91.96%
(Cost $76,407,921,613)							78,514,153,904



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


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


Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 20.02%
Commercial Paper — 0.39%
Ford Motor Credit Co. LLC
2.80%¹³		08/13/20	$	50,000,000		49,781,100
2.83%¹³		08/12/20		50,000,000		49,786,314
2.88%¹³		01/08/21		38,155,000		37,169,889
3.20%¹³		10/08/20		191,145,000		189,563,963
3.20%¹³		10/14/20		7,365,000		7,300,480


						333,601,746

Money Market Funds — 4.48%
Dreyfus Government Cash Management Fund
8.42%¹⁴				2,499,488,464		2,499,488,464
Fidelity Investments Money Market Funds - Government Portfolio
5.23%^14,15				244,112		244,112
JPMorgan U.S. Government Money Market Fund
7.20%¹⁴				756,522,000		756,522,000
Morgan Stanley Institutional Liquidity Funds-Government Portfolio
5.22%¹⁴				571,602,000		571,602,000


						3,827,856,576

U.S. Agency Discount Notes — 2.40%
Federal Home Loan Bank
0.16%¹³		11/23/20		250,000,000		249,838,890
0.16%¹³		11/30/20		500,000,000		499,662,220
0.20%¹³		11/16/20		500,000,000		499,670,425
0.22%¹³		07/20/20		500,000,000		499,970,970
1.51%¹³		07/10/20		300,000,000		299,992,665


						2,049,135,170

U.S. Treasury Bills — 12.75%
U.S. Cash Management Bills
0.13%¹³		10/20/20		500,000,000		499,784,165
0.16%¹³		11/03/20		500,000,000		499,713,540
0.17%¹³		11/10/20		500,000,000		499,697,500
0.17%¹³		11/24/20		500,000,000		499,716,110
U.S. Cash Management Bills (WI)
0.14%¹³		10/27/20		1,050,000,000		1,049,552,584



Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
U.S. Treasury Bills
0.10%¹³		07/30/20	$	2,500,000	$	2,499,758
0.10%¹³		10/01/20		46,480,000		46,462,776
0.14%¹³		11/05/20		1,000,000,000		999,470,830
0.14%¹³		11/19/20		500,000,000		499,701,355
0.15%¹³		10/08/20		750,000		749,701
0.16%¹³		11/27/20		800,000,000		799,470,240
0.18%¹³		12/03/20		1,500,000,000		1,499,063,535
0.18%¹³		12/10/20		500,000,000		499,656,875
0.19%¹³		10/15/20		1,000,842,000		1,000,385,216
0.21%¹³		07/09/20		10,570,000		10,569,724
0.23%¹³		08/13/20		1,000,000,000		999,850,690
0.26%^13,16		09/10/20		181,009,000		180,964,376
0.86%¹³		07/16/20		1,000,590,000		1,000,541,011
1.53%¹³		07/23/20		300,000,000		299,979,375


						10,887,829,361


Total Short-Term Investments
(Cost $17,097,633,515)						17,098,422,853


Total Investments – 111.98%
(Cost $93,570,742,568)						95,612,641,696


Net unrealized appreciation on unfunded commitments 0.00%						74,044

Liabilities in Excess of Other
Assets – (11.98)%						(10,230,049,193	)


Net Assets – 100.00%					$	85,382,592,503

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

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

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

⁴	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 $23,557,530, which is 0.03% of total net assets.

⁶	Non-income producing security.

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

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $3,003,486, at an interest rate of 3.60% and a maturity of July 13, 2021. The investment is not accruing an unused commitment fee.

⁹	Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

¹⁰	Zero coupon bond. The rate shown is the effective yield as of June 30, 2020.

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

¹²	Affiliated investment.

¹³	Represents annualized yield at date of purchase.

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

¹⁵	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged for swaps is $6,207.

¹⁶	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged for futures is $125,584,032. The total market value of collateral pledged for options is $55,260,076.

^†

Fair valued security. The aggregate value of fair valued securities is $120,106,752, which is 0.14% 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

(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 June 30, 2020 is as follows:



TOTAL RETURN BOND FUND	LEVEL 1				LEVEL 2			LEVEL 3			TOTAL
TOTAL RETURN BOND FUND
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper		$	—			$	333,601,746		$	—		$	333,601,746
Money Market Funds			3,827,856,576				—			—			3,827,856,576
U.S. Agency Discount Notes			—				2,049,135,170			—			2,049,135,170
U.S. Treasury Bills			10,887,829,361				—			—			10,887,829,361
Long-Term Investments:
Asset-Backed Securities			—				3,294,900,900			1,869,980			3,296,770,880
Bank Loans			—				969,258,486			6,009,864			975,268,350
Common Stock			—				—			64,939			64,939
Corporates			—				23,646,424,516			4,981,325			23,651,405,841
Foreign Government Obligations			—				737,042,223			—			737,042,223
Mortgage-Backed			—				36,146,356,174			10,631,422			36,156,987,596
Municipal Bonds			—				1,017,345,098			—			1,017,345,098
U.S. Treasury Securities			9,609,311,145				3,070,022,771			—			12,679,333,916

Other Financial Instruments *
Assets:
Foreign currency exchange contracts			—				162,751			—			162,751
Interest rate contracts			7,918,198				—			—			7,918,198
Liabilities:
Interest rate contracts			(623,825	)			—			—			(623,825	)


Total		$	24,332,291,455			$	71,264,249,835		$	23,557,530		$	95,620,098,820

*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.

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 June 30, 2020, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of level 3 investments at the beginning and/or end of the period in relation to net assets. The following 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, 2020		$	3,430,498			$	6,069,565			$	64,939		$	5,264,767			$	11,260,792

Accrued discounts/premiums			—				(38,458	)			—			(5,768	)			(296,055	)

Realized gain/(loss)			—				97				—			(47,296	)			—

Change in unrealized appreciation/ (depreciation)^*			(1,560,518	)			(21,340	)			—			150,932				(333,315	)

Purchases			—				—				—			—				—

Sales			—				—				—			(381,310	)			—

Transfers into Level 3^**			—				—				—			—				—

Transfers out of Level 3^**			—				—				—			—				—


Balance as of June 30, 2020		$	1,869,980			$	6,009,864			$	64,939		$	4,981,325			$	10,631,422

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2020 was $(1,764,240) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the period ended June 30, 2020.

Significant unobservable valuations inputs for Level 3 investments as of June 30, 2020, are as follows:

* The valuation technique employed on the Level 3 securities involves the use of vendor prices, broker quotes and benchmark pricing. The Adviser monitors the third-party brokers and vendors using the valuation process.

Investment transactions in the shares of affiliated issuers for the period ended June 30, 2020, were as follows:

The Total Return Bond Fund had the following unfunded commitments and unrealized gain/(loss) by investment as of June 30, 2020



Description	Number of Contracts		Expiration Date		Notional Amount			Value			Unrealized Appreciation/ (Depreciation)

FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five Year Note		25,978		09/30/20		$3,266,530,560			$7,771,732			$7,771,732
U.S. Treasury Ultra Bond		46		09/21/20		10,035,188			146,466			146,466


						3,276,565,748			7,918,198			7,918,198


FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten Year Ultra Bond		635		09/21/20		(100,002,578	)		(623,825	)		(623,825	)


TOTAL FUTURES CONTRACTS						$3,176,563,170			$7,294,373			$7,294,373



TOTAL RETURN BOND FUND	FAIR VALUE AT 6/30/20	VALUATION TECHNIQUE*	UNOBSERV- ABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$1,869,980	Benchmark Pricing	Offered Quote	$10.00 - $21.20	$13.42
Bank Loans	$6,009,864	Third-party Vendor	Vendor Prices	75.50	75.50
Common Stock	$64,939	Broker Quote	Offered Quote	0.06	0.06
Corporate Securities	$4,981,325	Third-party Vendor	Vendor Prices	121.27	121.27
Mortgage-Backed Securities-Non- Agency	$10,631,422	Third-party Vendor	Vendor Prices	0.84 - 2.39	1.78



	VALUE AT BEGINNING OF PERIOD	PURCHASES	SALES	DIVIDEND/ INTEREST	VALUE AT END OF PERIOD	REALIZED GAIN/ LOSS	CHANGE IN UNREALIZED APPRECIATION/ (DEPRECIATION)

Homer City Holdings LLC	$64,939	$—	$—	$—	$64,939	$—	$—



UNFUNDED COMMITMENTS	MATURITY		AMOUNT	UNREALIZED GAIN

Intelsat Jackson Holdings, Delayed-Draw Term Loan, 1st Lien (Luxembourg)		July 2021	$3,003,486	$74,044