BLACKROCK ALLOCATION TARGET SHARES

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Allocation Target Shares, 55 East 52^nd Street, New York, NY 10055


Asset-Backed Securities	Par (000)		Value
AIMCO CLO, Series 2015-AA, Class E, 8.98%, 1/15/28 (a)(b)	$	1,000	$	1,012,960
Ajax Mortgage Loan Trust:
Series 2016-1, Class A, 4.25%, 7/25/47 (a)(c)		269		266,630
Series 2016-B, Class A, 4.00%, 9/25/65 (a)(c)		154		153,499
Allegro CLO II Ltd.:
Series 2014-1A, Class A1R, 2.33%, 1/18/29 (a)(b)(d)		1,000		1,000,230
Series 2014-1A, Class CR, 5.01%, 1/21/27 (a)(b)(d)		250		250,025
ALM VI Ltd., Series 2012-6A, Class DR, 6.81%, 7/15/26 (a)(b)		600		601,260
ALM VII Ltd., Series 2012-7A, Class A1R, 2.64%, 10/15/28 (a)(b)		1,000		1,005,872
ALM X Ltd., Series 2013-10A, Class C, 4.46%, 1/15/25 (a)(b)		250		250,111
ALM XIV Ltd., Series 2014-14A, Class BR, 3.27%, 7/28/26 (a)(b)		1,250		1,252,115
AMMC CLO IX Ltd., Series 2011-9A, Class ER, 8.81%, 1/15/22 (a)(b)		250		250,490
AMMC CLO XIII Ltd., Series 2013-13A, Class A3L, 3.85%, 1/26/26 (a)(b)		1,000		999,979
Anchorage Capital CLO 3 Ltd., Series 2014-3A, Class BR, 3.82%, 4/28/26 (a)(b)		500		500,551
Anchorage Capital CLO 4 Ltd., Series 2014-4A, Class CR, 4.57%, 7/28/26 (a)(b)(d)		1,000		1,000,000
Anchorage Capital CLO 5 Ltd., Series 2014-5A, Class CR, 3.58%, 10/15/26 (a)(b)		1,000		1,002,186
Anchorage Capital CLO 8 Ltd., Series 2016-8A, Class D, 5.37%, 7/28/28 (a)(b)		250		251,945
Apidos CLO XIV, Series 2013-14A, Class E, 5.56%, 4/15/25 (a)(b)		750		739,528
Apidos CLO XIX, Series 2014-19A, Class A1R, 2.36%, 10/17/26 (a)(b)		1,000		1,001,541
Apidos CLO XVIII, Series 2014-18A, Class CR, 4.40%, 7/22/26 (a)(b)		250		250,119
Apidos CLO XXI, Series 2015-21A, Class D, 6.71%, 7/18/27 (a)(b)		500		492,395
Apidos CLO XXII, Series 2015-22A, Class D, 7.16%, 10/20/27 (a)(b)(d)		500		509,450
Apidos CLO XXIII, Series 2015-23A, Class D2, 7.11%, 1/14/27 (a)(b)		500		505,548
Arbor Realty Commercial Real Estate Notes Ltd.:
Series 2016-FL1A, Class A, 2.86%, 9/15/26 (a)(b)(d)		190		190,000
Series 2017-FL1, Class A, 2.46%, 4/15/27 (a)(b)		1,920		1,924,570
Series 2017-FL1, Class B, 3.66%, 4/15/27 (a)(b)(d)		438		437,500
Ares XXXIII CLO Ltd.:
Series 2015-1A, Class CR, 5.42%, 12/05/25 (a)(b)		250		253,665


Asset-Backed Securities	Par (000)		Value
Series 2015-1A, Class D, 7.45%, 12/05/25 (a)(b)	$	500	$	502,896
Ares XXXIV CLO Ltd., Series 2015-2A, Class E2, 6.37%, 7/29/26 (a)(b)		500		482,861
Ares XXXIX CLO Ltd., Series 2016-39A, Class E, 8.41%, 7/18/28 (a)(b)		250		255,349
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, 1.70%, 5/25/35 (b)(d)		82		62,318
Atrium VIII, Series 8A, Class DR, 5.15%, 10/23/24 (a)(b)		325		326,597
Atrium X, Series 10A, Class E 5.52%, 7/16/25 (a)(b)		650		637,678
BA Credit Card Trust, Series 2015-A2, Class A 1.36%, 9/15/20		5,000		4,996,090
Babson CLO Ltd., Series 2016-1A, Class E, 7.70%, 4/23/27 (a)(b)		250		253,023
Ballyrock CLO LLC, Series 2014-1A, Class CR, 4.81%, 10/20/26 (a)(b)(d)		1,750		1,749,930
Battalion CLO IV Ltd., Series 2013-4A, Class A1R, 2.29%, 10/22/25 (a)(b)		1,000		1,000,307
Battalion CLO Ltd., Series 2007-1A, Class C, 1.96%, 7/14/22 (a)(b)		250		250,051
Bayview Financial Revolving Asset Trust:
Series 2005-E, Class A1, 2.04%, 12/28/40 (a)(b)		3,891		3,429,939
Series 2005-E, Class A2A 2.15%, 12/28/40 (a)(b)		2,721		2,367,978
BCMSC Trust, Series 1999-A, Class M1, 6.79%, 3/15/29 (b)		653		559,339
Bear Stearns Asset-Backed Securities I Trust:
Series 2007-HE2, Class 1A4, 1.54%, 3/25/37 (b)		864		602,458
Series 2007-HE2, Class 23A, 1.36%, 3/25/37 (b)		170		158,970
Series 2007-HE3, Class 1A4, 1.57%, 4/25/37 (b)		330		213,071
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, 2.42%, 1/25/36 (b)		411		394,937
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A1R, 2.65%, 1/20/29 (a)(b)		500		505,086
BlueMountain CLO Ltd.:
Series 2013-2A, Class A, 2.35%, 1/22/25 (a)(b)		1,000		1,000,537
Series 2015-1A, Class D, 6.61%, 4/13/27 (a)(b)		250		249,727
Series 2015-2A, Class E, 6.51%, 7/18/27 (a)(b)		250		242,005
Canyon Capital CLO Ltd.:
Series 2006-1A, Class A1, 1.50%, 12/15/20 (a)(b)		188		187,312
Series 2006-1A, Class C, 1.95%, 12/15/20 (a)(b)		250		247,423


Asset-Backed Securities	Par (000)		Value
Carlyle Global Market Strategies CLO Ltd.:
Series 2012-3A, Class CR, 5.26%, 10/14/28 (a)(b)	$	500	$	502,901
Series 2012-4A, Class AR, 2.61%, 1/20/29 (a)(b)		935		945,157
Series 2013-3A, Class B, 3.81%, 7/15/25 (a)(b)		250		250,104
Series 2013-3A, Class C, 4.56%, 7/15/25 (a)(b)		250		250,731
Series 2014-1A, Class CR, 3.91%, 4/17/25 (a)(b)		500		502,037
Series 2014-3A, Class C1R, 4.44%, 7/27/26 (a)(b)		1,000		999,387
Series 2014-3A, Class D1, 6.27%, 7/27/26 (a)(b)		1,400		1,399,927
Series 2014-3A, Class D2R 6.92%, 7/17/26 (a)(b)(d)		500		507,280
Series 2014-5A, Class A1R, 2.30%, 10/16/25 (a)(b)		1,000		1,001,012
Series 2015-4A, Class D, 7.26%, 10/20/27 (a)(b)		500		502,488
Series 2015-4A, Class SBB1, 9.66%, 10/20/27 (a)		161		162,188
Series 2016-1A, Class D, 8.76%, 4/20/27 (a)(b)		250		254,932
Carrington Mortgage Loan Trust:
Series 2006-FRE2, Class A2, 1.34%, 10/25/36 (b)		342		221,152
Series 2006-FRE2, Class A3, 1.38%, 10/25/36 (a)(b)		281		203,203
Series 2006-FRE2, Class A4, 1.47%, 10/25/36 (b)		2,789		1,834,632
Series 2006-NC2, Class A3, 1.37%, 6/25/36 (b)		843		815,725
Series 2006-NC3, Class A4, 1.46%, 8/25/36 (b)		630		391,573
C-BASS Trust:
Series 2006-CB9, Class A2, 1.33%, 11/25/36 (b)		66		38,192
Series 2006-CB9, Class A4, 1.45%, 11/25/36 (b)		17		10,265
Series 2007-CB1, Class AF2, 3.77%, 1/25/37 (c)		328		163,376
Series 2007-CB5, Class A2, 1.39%, 4/25/37 (b)		67		50,061
Chase Issuance Trust, Series 2015-A5, Class A5 1.36%, 4/15/20		1,708		1,706,531
CIFC Funding Ltd.:
Series 2012-3A, Class A3R, 3.87%, 1/29/25 (a)(b)		250		250,032
Series 2014-3A, Class C1, 3.95%, 7/22/26 (a)(b)		250		249,994
Series 2014-4A, Class A1R, 2.54%, 10/17/26 (a)(b)		500		500,702
Series 2014-5A, Class CR, 3.86%, 1/17/27 (a)(b)		750		753,707
Series 2016-1A, Class E, 7.91%, 10/21/28 (a)(b)		500		505,686
Conseco Finance Securitizations Corp.:
Series 2000-1, Class A5, 8.06%, 9/01/29 (b)		2,478		1,401,387
Series 2000-4, Class A6, 8.31%, 5/01/32 (b)		2,463		1,357,868
Conseco Financial Corp.:
Series 1996-10, Class B1, 7.24%, 11/15/28 (b)		64		49,849
Series 1998-4, Class M1, 6.83%, 4/01/30 (b)		1,241		1,068,893
Series 1998-8, Class M1, 6.98%, 9/01/30 (b)		1,209		994,110


Asset-Backed Securities	Par (000)		Value
Countrywide Asset-Backed Certificates:
Series 2006-11, Class 3AV2, 1.38%, 9/25/46 (b)	$	18	$	17,946
Series 2007-S3, Class A3, 1.60%, 5/25/37 (b)		194		165,972
Countrywide Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, 1.43%, 3/15/34 (b)		79		63,253
Credit-Based Asset Servicing & Securitization LLC:
Series 2006-CB2, Class AF4, 3.40%, 12/25/36 (c)		28		22,144
Series 2006-MH1, Class B1, 6.25%, 10/25/36 (a)(c)		2,900		2,994,413
Series 2006-SL1, Class A3, 1.44%, 9/25/36 (a)(b)		6,898		1,307,374
Series 2007-RP1, Class A, 1.53%, 5/25/46 (a)(b)		93		76,651
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A3, 5.84%, 7/25/27		859		1,009,972
CWHEQ Revolving Home Equity Loan Resuritization Trust:
Series 2006-RES, Class 4Q1B, 1.29%, 12/15/33 (a)(b)(d)		60		51,620
Series 2006-RES, Class 5B1B, 1.18%, 5/15/35 (a)(b)(d)		24		20,028
CWHEQ Revolving Home Equity Loan Trust, Series 2006-G, Class 2A, 1.31%, 10/15/36 (b)		587		508,865
Discover Card Execution Note Trust, Series 2007-A1, Class A1, 5.65%, 3/16/20		4,886		4,929,313
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class AR, 2.24%, 4/18/26 (a)(b)		1,000		1,000,560
Dryden XXXVII Senior Loan Fund, Series 2015-37A, Class E, 6.56%, 4/15/27 (a)(b)		500		495,260
Enterprise Fleet Financing LLC, Series 2017-1, Class A3, 2.60%, 7/20/22 (a)		220		220,946
First Franklin Mortgage Loan Trust:
Series 2006-FF5, Class 2A3, 1.38%, 4/25/36 (b)		70		64,144
Series 2006-FF16, Class 2A3, 1.36%, 12/25/36 (b)		756		462,218
Series 2006-FF17, Class A5, 1.37%, 12/25/36 (b)		3,637		3,034,497
Galaxy XVI CLO Ltd., Series 2013-16A, Class CR, 3.43%, 11/16/25 (a)(b)		1,500		1,488,651
Galaxy XXI CLO Ltd., Series 2015-21A, Class E2, 7.66%, 1/20/28 (a)(b)		500		497,560
GCAT LLC, Series 2017-4, Class A1, 3.23%, 5/25/22 (a)(c)		1,982		1,978,362
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2, Class A2C, 1.47%, 12/25/35 (b)		35		34,046
GMACM Home Equity Loan Trust, Series 2006-HE1, Class A, 1.43%, 11/25/36 (b)		698		707,988
GoldenTree Loan Opportunities VIII Ltd., Series 2014-8A, Class AR, 2.37%, 4/19/26 (a)(b)		1,000		999,991
Greywolf CLO IV Ltd., Series 2014-2A, Class BR, 0.00%, 1/17/27 (a)(b)		500		500,000
GSAA Trust, Series 2007-2, Class AF3, 5.92%, 3/25/37 (b)		31		13,974
GSAMP Trust, Series 2006-FM2, Class A2B, 1.34%, 9/25/36 (b)		169		77,026
Highbridge Loan Management Ltd.:
Series 5X-2015, Class E, 6.52%, 1/29/26 (b)		900		889,439


Asset-Backed Securities	Par (000)		Value
Series 7A-2015, Class E, 6.93%, 11/15/26 (a)(b)	$	500	$	498,836
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, 3.24%, 7/25/34 (b)		39		39,477
HPS Loan Management Ltd., Series 10A-16, Class C, 4.58%, 1/20/28 (a)(b)		500		497,416
Invitation Homes Trust:
Series 2014-SFR2, Class C, 3.41%, 9/17/31 (a)(b)		500		501,535
Series 2014-SFR2, Class E, 4.62%, 9/17/31 (a)(b)		100		100,482
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A3A, 5.83%, 7/25/36 (c)		1,758		993,276
LCM XVIII LP, Series 18A, Class B1, 3.46%, 4/20/27 (a)(b)		500		499,954
Lehman ABS Manufactured Housing Contract Trust:
Series 2001-B, Class M2, 7.17%, 4/15/40 (b)		2,254		1,562,604
Series 2002-A, Class C, 0.00%, 6/15/33		1,412		1,089,257
Lendmark Funding Trust:
Series 2017-1A, Class A, 2.83%, 12/22/25 (a)(b)		2,500		2,499,488
Series 2017-1A, Class B, 3.77%, 12/22/25 (a)		1,570		1,569,936
Long Beach Mortgage Loan Trust:
Series 2006-2, Class 2A3, 1.41%, 3/25/46 (b)		3,964		1,977,134
Series 2006-2, Class 2A4, 1.51%, 3/25/46 (b)		879		447,198
Series 2006-4, Class 2A4, 1.48%, 5/25/36 (b)		1,015		479,397
Series 2006-9, Class 2A3, 1.38%, 10/25/36 (b)		18		7,585
Madison Park Funding XI Ltd., Series 2013-11A, Class A1B, 2.60%, 10/23/25 (a)(b)		1,000		1,001,182
Madison Park Funding XIII Ltd., Series 2014-13A, Class E, 6.02%, 1/19/25 (a)(b)		1,000		1,001,478
Madison Park Funding XIV Ltd.:
Series 2014-14A, Class A2R, 2.28%, 7/20/26 (a)(b)		3,250		3,252,507
Series 2014-14A, Class DR, 4.41%, 7/20/26 (a)(b)		500		499,987
Madison Park Funding XV Ltd., Series 2014-15A, Class CR, 4.62%, 1/27/26 (a)(b)		1,000		1,001,130
Madison Park Funding XX Ltd., Series 2016-20A, Class E, 8.57%, 4/27/27 (a)(b)		250		254,783
MASTR Asset-Backed Securities Trust:
Series 2006-AM2, Class A4, 1.48%, 6/25/36 (a)(b)		500		338,903
Series 2006-HE2, Class A3, 1.37%, 6/25/36 (b)		1,330		738,018
Series 2007-HE1, Class A4, 1.50%, 5/25/37 (b)		83		52,149
MASTR Specialized Loan Trust, Series 2006-3, Class A, 1.48%, 6/25/46 (a)(b)		38		35,205
MERIT Securities Corp., Series 13, Class M2, 1.00%, 12/28/33 (c)		1,728		1,226,974
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, 1.48%, 8/25/37 (b)		2,570		727,101
Morgan Stanley IXIS Real Estate Capital Trust:
Series 2006-2, Class A2, 1.33%, 11/25/36 (b)		65		32,761


Asset-Backed Securities	Par (000)		Value
Series 2006-2, Class AFPT, 1.29%, 11/25/36 (b)	$	2,276	$	1,138,361
Mountain Hawk I CLO Ltd., Series 2013-1A, Class B1, 3.34%, 1/20/24 (a)(b)		500		500,488
Navient Private Education Loan Trust, Series 2015-CA, Class B, 3.25%, 5/15/40 (a)		1,086		1,098,618
Neuberger Berman CLO XIII Ltd.:
Series 2012-13A, Class B, 3.45%, 1/23/24 (a)(b)		500		499,903
Series 2012-13A, Class D, 5.65%, 1/23/24 (a)(b)		500		501,135
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, 1.62%, 10/25/36 (a)(b)		950		847,057
Oak Hill Credit Partners IX Ltd., Series 2013-9A, Class DR, 4.46%, 10/20/25 (a)(b)(d)		750		750,000
Oak Hill Credit Partners X Ltd., Series 2014-10A, Class DR, 4.41%, 7/20/26 (a)(b)		1,000		999,678
Oak Hill Credit Partners XI Ltd., Series 2015-11A, Class E, 7.86%, 10/20/28 (a)(b)		500		500,817
Oakwood Mortgage Investors, Inc.:
Series 2001-D, Class A2, 5.26%, 1/15/19 (b)		50		38,330
Series 2002-A, Class M1, 7.76%, 3/15/32 (b)		2,263		1,945,778
Series 2002-C, Class M1, 6.89%, 11/15/32 (b)		2,510		2,084,016
OCP CLO Ltd.:
Series 2014-7A, Class A1A, 2.76%, 10/20/26 (a)(b)		470		471,262
Series 2016-12A, Class A1, 2.73%, 10/18/28 (a)(b)		1,000		1,005,885
Series 2016-12A, Class C, 5.31%, 10/18/28 (a)(b)		1,000		1,013,546
Octagon Investment Partners XVII Ltd.:
Series 2013-1A, Class A1R, 2.10%, 10/25/25 (a)(b)(d)		500		500,000
Series 2013-1A, Class A2R, 2.84%, 10/25/25 (a)(b)		250		250,152
Octagon Investment Partners XVIII Ltd., Series 2013-1A, Class CR, 4.66%, 12/16/24 (a)(b)		250		250,557
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class D, 7.78%, 11/14/26 (a)(b)		250		252,881
OFSI Fund VI Ltd., Series 2014-6A, Class A2, 3.06%, 3/20/25 (a)(b)		2,500		2,502,270
OneMain Financial Issuance Trust:
Series 2014-1A, Class A, 2.43%, 6/18/24 (a)		67		67,133
Series 2014-1A, Class B, 3.24%, 6/18/24 (a)		1,000		1,001,003
Series 2014-2A, Class A, 2.47%, 9/18/24 (a)		133		132,953
Series 2014-2A, Class B, 3.02%, 9/18/24 (a)		1,000		1,003,982
Series 2014-2A, Class C, 4.33%, 9/18/24 (a)		100		100,199
Series 2014-2A, Class D, 5.31%, 9/18/24 (a)		2,000		2,015,526
Series 2015-1A, Class A, 3.19%, 3/18/26 (a)		2,000		2,019,935
Series 2015-1A, Class C, 5.12%, 3/18/26 (a)		3,500		3,582,759
Series 2015-2A, Class A, 2.57%, 7/18/25 (a)		2,632		2,635,296


Asset-Backed Securities	Par (000)		Value
Series 2015-2A, Class C, 4.32%, 7/18/25 (a)	$	2,000	$	1,999,635
Series 2015-2A, Class D, 5.64%, 7/18/25 (a)		3,500		3,502,920
Series 2015-3A, Class D, 6.94%, 11/20/28 (a)		1,000		1,002,801
Series 2016-1A, Class A, 3.66%, 2/20/29 (a)		2,600		2,660,828
Series 2016-1A, Class B 4.57%, 2/20/29 (a)		3,500		3,621,397
Series 2016-2A, Class A, 4.10%, 3/20/28 (a)		3,000		3,060,295
OZLM Funding II Ltd.:
Series 2012-2A, Class A1R, 2.61%, 10/30/27 (a)(b)		1,000		1,002,826
Series 2012-2A, Class DR, 8.47%, 10/30/27 (a)(b)(d)		500		506,400
OZLM Funding III Ltd., Series 2013-3A, Class BR, 4.15%, 1/22/29 (a)(b)		500		506,062
OZLM Funding V Ltd., Series 2013-5A, Class BR, 3.51%, 1/17/26 (a)(b)(d)		1,500		1,500,225
OZLM IX Ltd., Series 2014-9A, Class CR, 4.71%, 1/20/27 (a)(b)		1,500		1,501,744
OZLM VI Ltd., Series 2014-6A, Class BR, 3.86%, 4/17/26 (a)(b)		250		250,105
OZLM VII Ltd., Series 2014-7A, Class B1R, 3.41%, 7/17/26 (a)(b)		750		750,994
OZLM VIII Ltd., Series 2014-8A, Class BR, 4.16%, 10/17/26 (a)(b)(d)		500		500,000
OZLM XIV Ltd., Series 2015-14A, Class D, 7.51%, 1/15/29 (a)(b)		500		500,188
OZLM XV Ltd., Series 2016-15A, Class A1, 2.41%, 1/20/29 (a)(b)		500		501,614
Palmer Square CLO Ltd.:
Series 2013-1A, Class A2R, 2.68%, 5/15/25 (a)(b)		1,000		1,000,015
Series 2013-2A, Class BR, 3.41%, 10/17/27 (a)(b)(d)		1,000		1,000,600
Series 2014-1A, Class CR, 5.16%, 1/17/27 (a)(b)		400		402,676
Park Avenue Institutional Advisers CLO Ltd., Series 2016-1A, Class D, 8.19%, 8/23/28 (a)(b)		500		499,368
PFS Financing Corp., Series 2017-AA, Class B, 2.11%, 3/15/21 (a)(b)		3,000		3,002,569
Preston Ridge Partners Mortgage LLC, Series 2017-1A, Class A1, 4.25%, 1/25/22 (a)(c)(d)		813		813,455
Pretium Mortgage Credit Partners I LLC:
Series 2016-NPL6, Class A1, 3.50%, 10/27/31 (a)(c)		327		327,306
Series 2017-NPL2, Class A1, 3.25%, 3/28/57 (a)(c)		2,471		2,475,089
Series 2017-NPL3, Class A1, 3.25%, 6/29/32 (a)(c)		1,500		1,500,000
Progress Residential Trust:
Series 2016-SFR1, Class E, 5.06%, 9/17/33 (a)(b)		150		156,544
Series 2016-SFR2, Class A, 2.57%, 1/17/34 (a)(b)		500		507,579
Series 2016-SFR2, Class E, 4.72%, 1/17/34 (a)(b)		200		208,471
Race Point IX CLO Ltd., Series 2015-9A, Class A1, 2.67%, 4/15/27 (a)(b)		250		250,325
Regatta V Funding Ltd., Series 2014-1A, Class BR, 3.46%, 10/25/26 (a)(b)		250		250,508
Rockford Tower CLO Ltd.:
Series 2017-1A, Class A, 2.74%, 4/15/29 (a)(b)(d)		1,500		1,499,850


Asset-Backed Securities	Par (000)			Value
Series 2017-1A, Class E, 6.77%, 4/15/29 (a)(b)(d)	$	1,000		$	923,400
Santander Drive Auto Receivables Trust, Series 2012-AA, Class Cert, 0.00%, 12/16/19 (a)(d)		—	(e)		718,750
Seneca Park CLO Ltd., Series 2014-1A, Class D, 4.52%, 7/17/26 (a)(b)		250			250,006
Shackleton CLO Ltd., Series 2014-5A, Class AR, 2.32%, 5/07/26 (a)(b)(d)		1,000			1,000,000
SLM Private Credit Student Loan Trust:
Series 2005-B, Class B, 1.65%, 6/15/39 (b)		3,322			3,147,324
Series 2006-A, Class A4, 1.44%, 12/15/23 (b)		93			92,801
Series 2007-A, Class A2, 1.37%, 9/15/25 (b)		4			3,775
SLM Private Education Loan Trust, Series 2013-B, Class B, 3.00%, 5/16/44 (a)		2,500			2,515,918
SMB Private Education Loan Trust:
Series 2015-C, Class B, 3.50%, 9/15/43 (a)		1,995			1,964,096
Series 2015-C, Class C, 4.50%, 9/17/46 (a)		1,000			1,010,567
Sound Point CLO IV Ltd.:
Series 2013-3A, Class CR, 3.41%, 1/21/26 (a)(b)(d)		1,000			1,000,000
Series 2013-3A, Class DR, 4.56%, 1/21/26 (a)(b)(d)		500			500,000
Sound Point CLO V Ltd., Series 2014-1A, Class E, 5.41%, 4/18/26 (a)(b)		1,000			970,870
Sound Point CLO VII Ltd., Series 2014-3A, Class AR, 2.45%, 1/23/27 (a)(b)(d)		250			250,075
Sound Point CLO X Ltd., Series 2015-3A, Class E, 7.91%, 1/20/28 (a)(b)		750			753,146
Sound Point CLO XI Ltd.:
Series 2016-1A, Class A, 2.81%, 7/20/28 (a)(b)		250			252,607
Series 2016-1A, Class E, 8.11%, 7/20/28 (a)(b)		500			506,063
Sound Point CLO XII Ltd., Series 2016-2A, Class A, 2.82%, 10/20/28 (a)(b)		250			252,764
Sound Point CLO XV Ltd., Series 2017-1A, Class A, 2.50%, 1/23/29 (a)(b)		1,500			1,505,122
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, 2.01%, 1/25/35 (b)		466			442,064
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 4/25/29 (a)		2,143			2,155,356
Springleaf Funding Trust:
Series 2015-AA, Class A, 3.16%, 11/15/24 (a)		2,000			2,018,089
Series 2015-AA, Class B, 3.62%, 11/15/24 (a)		250			252,090
Series 2015-AA, Class D, 6.31%, 11/15/24 (a)		1,000			1,018,012
Series 2016-AA, Class B, 3.80%, 11/15/29 (a)		3,500			3,553,001
Stanwich Mortgage Loan Co. LLC:
Series 2016-NPL2, Class NOTE, 3.72%, 8/16/46 (a)(c)(d)		1,048			1,046,929
Series 2017-NPB1, Class A1, 3.60%, 5/17/22 (a)(c)(d)		2,000			2,000,000
Symphony CLO XII Ltd., Series 2013-12A, Class AR, 2.19%, 10/15/25 (a)(b)		750			749,419
Symphony CLO XVI Ltd., Series 2015-16A, Class E, 6.61%, 7/15/28 (a)(b)		750			746,048
Thacher Park CLO Ltd., Series 2014-1A, Class D1R, 4.56%, 10/20/26 (a)(b)(d)		1,000			992,000


Asset-Backed Securities	Par (000)		Value
THL Credit Wind River CLO Ltd.:
Series 2013-2A, Class A1, 2.61%, 1/18/26 (a)(b)	$	250	$	250,059
Series 2013-2A, Class B1, 3.01%, 1/18/26 (a)(b)		1,000		1,000,542
U.S. Residential Opportunity Fund II Trust:
Series 2016-1II, Class A, 3.47%, 7/27/36 (a)(c)		88		87,736
Series 2016-2II, Class A, 3.47%, 8/27/36 (a)(c)		301		299,742
Series 2016-3II, Class A, 3.60%, 10/27/36 (a)(c)		840		843,274
U.S. Residential Opportunity Fund III Trust:
Series 2016-1III, Class A, 3.47%, 7/27/36 (a)(c)		88		88,169
Series 2016-2III, Class A, 3.47%, 8/27/36 (a)(c)		794		789,881
Series 2016-3III, Class A, 3.60%, 10/27/36 (a)(c)		1,859		1,850,996
U.S. Residential Opportunity Fund IV Trust:
Series 2016-1IV, Class A, 3.47%, 7/27/36 (a)(c)		618		619,637
Series 2016-2IV, Class A, 3.47%, 8/27/36 (a)(c)		485		482,311
Series 2016-3IV, Class A, 3.60%, 10/27/36 (a)(c)		917		921,603
Venture XVII CLO Ltd.:
Series 2014-17A, Class B1, 3.26%, 7/15/26 (a)(b)		250		250,003
Series 2014-17A, Class B2R, 0.00%, 7/15/26 (a)(b)		250		250,000
Venture XXII CLO Ltd., Series 2015-22A, Class E, 7.91%, 1/15/28 (a)(b)		500		500,766
Venture XXVI CLO Ltd., Series 2017-26A, Class D, 5.29%, 1/20/29 (a)(b)		500		500,700
Vibrant CLO IV Ltd., Series 2016-4A, Class D, 5.66%, 7/20/28 (a)(b)		1,000		1,009,507
Vibrant CLO V Ltd., Series 2016-5A, Class A, 2.71%, 1/20/29 (a)(b)		500		502,062
VOLT LIX LLC, Series 2017-NPL6, Class A1, 3.25%, 5/25/47 (a)(c)		2,431		2,433,534
VOLT LX LLC, Series 2017-NPL7, Class A1, 3.25%, 4/25/59 (a)(c)		2,500		2,497,768
VOLT LXI LLC, Series 2017-NPL8, Class A1, 3.13%, 6/25/47 (a)(c)(d)		1,500		1,500,000
Voya CLO Ltd.:
Series 2012-3A, Class BR, 3.11%, 10/15/22 (a)(b)		250		250,304
Series 2014-3A, Class A1, 2.58%, 7/25/26 (a)(b)		1,000		1,001,357
Washington Mutual Asset-Backed Certificates:
Series 2006-HE4, Class 2A2, 1.40%, 9/25/36 (b)		301		142,514
Series 2006-HE5, Class 1A, 1.37%, 10/25/36 (b)		125		102,543
Wellfleet CLO Ltd., Series 2017-1A, Class A1, 2.43%, 4/20/29 (a)(b)(d)		1,500		1,500,525
Wheels SPV 2 LLC, Series 2016-1A, Class A3, 1.87%, 5/20/25 (a)		3,500		3,480,923
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22		460		470,689
York CLO 1 Ltd.:
Series 2014-1A, Class CR, 3.50%, 1/22/27 (a)(b)(d)		700		700,028
Series 2014-1A, Class DR, 4.55%, 1/22/27 (a)(b)		1,500		1,486,564
Total Asset-Backed Securities — 59.2%				228,557,037


Corporate Bonds	Par (000)		Value
Banks — 0.0%
Washington Mutual Bank:
0.00% (f)(g)(h)	$	500	$	111,562
0.00% (f)(g)(h)		250		55,781
Total Corporate Bonds — 0.0%				167,343

Floating Rate Loan Interests (b)
Capital Markets — 1.2%
LSTAR Securities Financing Vehicle:
Term Loan, 3.56%, 5/10/25 (d)		1,825		1,809,051
Term Loan, 2.00%, 6/16/25		3,000		2,970,600

				4,779,651
Equity Real Estate Investment Trusts (REITs) — 0.3%
JAX MEZZ LLC, Mezzanine Loan, 6.34%, 10/04/21 (d)		1,000		993,500
Total Floating Rate Loan Interests — 1.5%				5,773,151

Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 7.3%
Ajax Mortgage Loan Trust:
Series 2015-C, Class A, 3.88%, 3/25/57 (a)(c)		369		361,766
Series 2016-A, Class A, 4.25%, 8/25/64 (a)(c)		389		391,924
American Home Mortgage Assets Trust:
Series 2006-4, Class 1A12, 1.43%, 10/25/46 (b)		181		134,707
Series 2006-5, Class A1, 1.65%, 11/25/46 (b)		1,289		682,352
Series 2007-1, Class A1, 1.43%, 2/25/47 (b)		50		32,651
Angel Oak Mortgage Trust I LLC, Series 2016-1, Class A1, 3.50%, 7/25/46 (a)(c)		113		113,533
APS Resecuritization Trust:
Series 2016-3, Class 3A, 3.84%, 9/27/46 (a)(b)(d)		703		709,785
Series 2016-3, Class 4A, 3.59%, 4/27/47 (a)(b)(d)		203		205,354
Banc of America Funding Trust, Series 2016-R2, Class 1A1, 4.70%, 5/01/33 (a)(b)(d)		482		488,889
Bear Stearns ALT-A Trust II, Series 2007-1, Class 1A1, 3.31%, 9/25/47 (b)		249		178,729
Bear Stearns Asset-Backed Securities I Trust, Series 2006-AC1, Class 1A2, 6.25%, 2/25/36 (c)		290		258,979


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Bear Stearns Mortgage Funding Trust:
Series 2007-AR2, Class A1, 1.19%, 3/25/37 (b)	$	572	$	484,351
Series 2007-AR4, Class 2A1, 1.23%, 6/25/37 (b)		51		43,880
CHL Mortgage Pass-Through Trust, Series 2005-J2, Class 2A4, 2.62%, 8/25/35 (b)		2,072		1,813,254
Countrywide Alternative Loan Trust:
Series 2005-51, Class 3A3A, 1.53%, 11/20/35 (b)		1,121		1,012,239
Series 2005-72, Class A3, 1.52%, 1/25/36 (b)		835		737,373
Series 2005-76, Class 2A1, 1.73%, 2/25/36 (b)		1,038		935,307
Series 2006-OC7, Class 2A3, 1.27%, 7/25/46 (b)		2,434		1,807,883
Series 2007-9T1, Class 1A1, 6.00%, 5/25/37		329		241,258
Series 2007-OA2, Class 1A1, 1.57%, 3/25/47 (b)		469		361,848
Credit Suisse Commercial Mortgage Trust, Series 2014-9R, Class 9A1, 1.11%, 8/27/36 (a)(b)(d)		215		168,711
Deephaven Residential Mortgage Trust, Series 2016-1A, Class A1, 4.00%, 7/25/46 (a)(d)		155		156,910
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8, 6.36%, 7/25/36 (b)		45		37,401
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, 2.73%, 3/25/36 (b)		40		35,554
GSMPS Mortgage Loan Trust:
Series 2005-RP2, Class 1AF, 1.57%, 3/25/35 (a)(b)		116		102,116
Series 2006-RP1, Class 1AF1, 1.37%, 1/25/36 (a)(b)		88		75,111
Lehman XS Trust, Series 2007-20N, Class A1, 2.37%, 12/25/37 (b)		79		75,469
LSTAR Commercial Mortgage Trust, Series 2016-7, Class A1, 3.05%, 12/01/21 (a)(b)		959		955,404
LSTAR Securities Investment Ltd.:
Series 2016-3, Class A, 3.05%, 9/01/21 (a)(b)		1,921		1,905,881
Series 2017-1, Class A, 3.23%, 1/01/22 (a)(b)		914		911,433
Series 2017-2, Class A1, 3.05%, 2/01/22 (a)(b)(d)		2,319		2,320,827
Series 2017-3, Class A1, 3.05%, 4/01/19 (a)(b)(d)		969		963,328
LSTAR Securities Investment Trust, Series 2016-5, Class A1, 3.05%, 11/01/21 (a)(b)(d)		710		714,457
MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1, 4.45%, 5/25/36 (a)(b)		2,163		1,988,047
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, 1.33%, 4/16/36 (a)(b)		474		402,220
Nomura Resecuritization Trust, Series 2014-3R, Class 3A9, 1.51%, 11/26/35 (a)(b)		100		90,776
RALI Trust, Series 2006-QO6, Class A2, 1.45%, 6/25/46 (b)		5,221		2,330,680


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Reperforming Loan REMIC Trust:
Series 2005-R2, Class 1AF1, 1.56%, 6/25/35 (a)(b)	$	221	$	203,701
Series 2005-R3, Class AF, 1.62%, 9/25/35 (a)(b)		1,552		1,362,510
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, 1.43%, 5/25/46 (b)		74		57,515
Structured Asset Securities Corp., Series 2005-RF3, Class 1A, 1.57%, 6/25/35 (a)(b)		1,683		1,453,682
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-RF4, Class 2A1, 6.00%, 10/25/36 (a)		82		70,959
SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1, Class A, 1.54%, 4/25/37 (b)		561		527,791
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-4, Class 3A1, 6.50%, 5/25/36 (c)		252		211,337

				28,117,882
Commercial Mortgage-Backed Securities — 22.9%
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 6/05/37 (a)(b)		1,910		1,791,632
Americold LLC, Series 2010-ARTA, Class C, 6.81%, 1/14/29 (a)		500		559,415
Banc of America Commercial Mortgage Trust, Series 2007-1, Class AMFX, 5.48%, 1/15/49 (b)		18		18,231
Banc of America Merrill Lynch Commercial Mortgage Securities Trust:
Series 2013-DSNY, Class F, 4.49%, 9/15/26 (a)(b)		769		767,343
Series 2015-200P, Class F, 3.72%, 4/14/33 (a)(b)		394		369,801
Series 2015-ASHF, Class D, 4.16%, 1/15/28 (a)(b)		1,500		1,507,537
Series 2016-ISQ, Class E, 3.73%, 8/14/34 (a)(b)(d)		300		274,500
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class A1, 3.31%, 8/10/35 (a)		495		507,042
Bayview Commercial Asset Trust:
Series 2006-1A, Class A2, 1.58%, 4/25/36 (a)(b)		43		39,028
Series 2007-2A, Class A1, 1.29%, 7/25/37 (a)(b)		85		79,869
Series 2007-4A, Class A1, 1.67%, 9/25/37 (a)(b)		1,512		1,324,976
Series 2007-5A, Class A3, 2.22%, 10/25/37 (a)(b)		2,078		2,007,962
Series 2007-6A, Class A4A, 2.72%, 12/25/37 (a)(b)		4,500		3,027,179
Bear Stearns Commercial Mortgage Securities Trust:
Series 2005-PW10, Class B, 5.79%, 12/11/40 (b)		876		934,661
Series 2007-PW17, Class AMFL, 1.68%, 6/11/50 (a)(b)		500		500,034
Series 2007-PW18, Class AM, 6.08%, 6/11/50 (b)		25		25,283
BWAY Mortgage Trust:
Series 2013-1515, Class C, 3.45%, 3/10/33 (a)		250		249,257


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2013-1515, Class D, 3.63%, 3/10/33 (a)	$	100	$	99,108
Series 2013-1515, Class F, 4.06%, 3/10/33 (a)(b)		810		788,145
BXHTL Mortgage Trust, Series 2015-JWRZ, Class GL1, 4.01%, 5/15/29 (a)(b)		1,000		1,002,508
BXP Trust:
Series 2017-GM, Class A, 3.38%, 6/13/39 (a)(d)		1,000		1,029,920
Series 2017-GM, Class D, 3.42%, 6/13/39 (a)(b)(d)		1,000		969,020
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.67%, 4/10/29 (a)(b)		190		192,994
CDGJ Commercial Mortgage Trust:
Series 2014-BXCH, Class DPA, 4.13%, 12/15/27 (a)(b)		889		892,520
Series 2014-BXCH, Class EPA, 5.38%, 12/15/27 (a)(b)		889		892,521
CFCRE Commercial Mortgage Trust:
Series 2011-C1, Class C, 6.28%, 4/15/44 (a)(b)		1,000		1,075,256
Series 2016-C3, Class D, 3.05%, 1/10/48 (a)(b)		170		124,658
Series 2016-C4, Class C, 5.04%, 5/10/58 (b)		130		134,694
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class F, 3.91%, 4/10/28 (a)(b)		1,000		984,782
CGGS Commercial Mortgage Trust, Series 2016-RNDA, Class AFX, 2.76%, 2/10/33 (a)		1,848		1,851,388
Chicago Skyscraper Trust:
Series 2017-SKY, Class D, 3.66%, 2/15/30 (a)(b)		990		1,002,392
Series 2017-SKY, Class F, 5.26%, 2/15/30 (a)(b)		1,000		1,012,517
Citigroup Commercial Mortgage Trust:
Series 2013-375P, Class C, 3.63%, 5/10/35 (a)(b)		100		101,324
Series 2013-375P, Class D, 3.63%, 5/10/35 (a)(b)		100		99,700
Series 2013-375P, Class E, 3.63%, 5/10/35 (a)(b)		100		97,194
Series 2014-GC21, Class C, 4.78%, 5/10/47 (b)		1,000		1,024,377
Series 2015-GC27, Class C, 4.58%, 2/10/48 (b)		1,000		945,484
Series 2015-SHP2, Class A, 2.44%, 7/15/27 (a)(b)		400		400,371
Series 2015-SHP2, Class F, 6.36%, 7/15/27 (a)(b)		750		752,111
Series 2015-SSHP, Class A, 2.31%, 9/15/27 (a)(b)		300		300,089
Series 2015-SSHP, Class D, 4.04%, 9/15/27 (a)(b)		100		100,281
Series 2016-C1, Class C, 5.12%, 5/10/49 (b)		10		10,131
Series 2016-GC37, Class D, 2.79%, 4/10/49 (a)		1,300		908,912
Series 2016-P3, Class D, 2.80%, 4/15/49 (a)(b)		539		406,045
Series 2016-SMPL, Class E, 4.51%, 9/10/31 (a)		510		510,860


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Citigroup/Deutsche Bank Mortgage Trust:
Series 2006-CD3, Class AM, 5.65%, 10/15/48	$	1,318	$	1,342,415
Series 2007-CD5, Class AJ, 6.51%, 11/15/44 (b)		850		856,241
CLNS Trust, Series 2017-IKPR, Class E, 4.50%, 6/11/32 (a)(b)		790		792,951
Commercial Mortgage Trust:
Series 2005-C6, Class F, 5.83%, 6/10/44 (a)(b)		566		586,593
Series 2007-C9, Class AJFL, 1.68%, 12/10/49 (a)(b)		534		533,296
Series 2013-WWP, Class D, 3.90%, 3/10/31 (a)		110		110,937
Series 2014-PAT, Class E, 4.14%, 8/13/27 (a)(b)		1,100		1,104,469
Series 2014-PAT, Class F, 3.43%, 8/13/27 (a)(b)		1,000		979,033
Series 2014-TCW, Class D, 3.38%, 2/13/32 (a)(b)		750		752,336
Series 2014-TWC, Class E, 4.38%, 2/13/32 (a)(b)		100		100,540
Series 2015-3BP, Class F, 3.35%, 2/10/35 (a)(b)		100		90,297
Series 2015-CR23, Class CMC, 3.81%, 5/10/48 (a)(b)		1,000		993,891
Series 2015-CR23, Class CMD, 3.81%, 5/10/48 (a)(b)		1,750		1,712,502
Series 2015-CR23, Class D, 4.40%, 5/10/48 (b)		500		409,306
Series 2015-CR23, Class E, 3.23%, 5/10/48 (a)		160		95,876
Series 2015-CR25, Class D, 3.95%, 8/10/48 (b)		750		597,077
Series 2015-LC19, Class C, 4.40%, 2/10/48 (b)		2,000		2,018,061
Series 2015-LC19, Class D, 2.87%, 2/10/48 (a)		100		80,534
Series 2016-667M, Class D, 3.28%, 10/10/36 (a)(b)		500		452,447
Core Industrial Trust:
Series 2015-TEXW, Class D, 3.98%, 2/10/34 (a)(b)		100		101,553
Series 2015-TEXW, Class E, 3.98%, 2/10/34 (a)(b)		279		276,246
Series 2015-TEXW, Class F, 3.98%, 2/10/34 (a)(b)		1,000		963,087
Cosmopolitan Hotel Trust, Series 2016-CSMO, Class A, 2.56%, 11/15/33 (a)(b)		420		423,156
Countrywide Commercial Mortgage Trust, Series 2007-MF1, Class A, 6.48%, 11/12/43 (a)(b)		3		2,608
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C4, Class F, 5.23%, 10/15/39 (a)(b)		500		516,762
Credit Suisse Mortgage Capital Certificates:
Series 2014-TIKI, Class D, 3.41%, 9/15/38 (a)(b)		1,500		1,490,645
Series 2016-MFF, Class A, 2.76%, 11/15/33 (a)(b)		240		240,748
Series 2017-1, Class A, 4.50%, 3/25/21 (a)		1,101		1,101,452


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2017-CHOP, Class E, 4.30%, 7/15/32 (a)(b)(d)	$	1,448	$	1,448,000
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class C, 4.91%, 1/15/49 (b)		10		10,405
Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C3, Class D, 3.64%, 9/10/49 (a)(b)		220		176,924
FREMF Mortgage Trust, Series 2017-K64, Class B, 4.12%, 3/25/27 (a)(b)		3,000		3,019,722
GAHR Commercial Mortgage Trust:
Series 2015-NRF, Class EFX, 3.49%, 12/15/34 (a)(b)		1,500		1,495,555
Series 2015-NRF, Class FFX, 3.49%, 12/15/34 (a)(b)		1,100		1,087,867
GP Portfolio Trust, Series 2014-GPP, Class E, 5.09%, 2/15/27 (a)(b)		125		121,834
Great Wolf Trust, Series 2015-WOLF, Class D, 4.66%, 5/15/34 (a)(b)		611		617,478
GS Mortgage Securities Corp. II, Series 2013-KING, Class D, 3.55%, 12/10/27 (a)(b)		1,000		1,007,382
GS Mortgage Securities Trust:
Series 2014-GC22, Class D, 4.80%, 6/10/47 (a)(b)		1,110		939,980
Series 2015-GC32, Class C, 4.56%, 7/10/25 (b)		1,000		992,220
Series 2015-GC32, Class D, 3.35%, 7/10/48		1,500		1,188,572
Series 2016-RENT, Class C, 4.20%, 2/10/29 (a)(b)		100		103,642
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.27%, 12/15/48 (a)(b)		1,190		1,123,824
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2014-CBM, Class E, 5.01%, 10/15/29 (a)(b)		1,250		1,253,890
Series 2014-PHH, Class B, 2.59%, 8/15/27 (a)(b)		210		210,004
Series 2015-UES, Class E, 3.74%, 9/05/32 (a)(b)		600		596,010
Series 2016-ATRM, Class D, 5.35%, 10/05/28 (a)		250		253,218
Series 2016-WPT, Class A, 2.61%, 10/15/33 (a)(b)		150		150,562
Series 2017-JP5, Class D, 4.80%, 3/15/50 (a)(b)		1,240		1,206,354
JPMorgan Commercial Mortgage-Backed Securities Trust, Series 2009-RR1, Class A4B, 5.83%, 3/18/51 (a)(b)		94		94,264
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, 1.47%, 3/25/37 (a)(b)		490		455,160
Lone Star Portfolio Trust:
Series 2015-LSP, Class B, 3.76%, 9/15/28 (a)(b)		589		590,916
Series 2015-LSP, Class B, 8.06%, 9/15/28 (a)(b)		768		785,294
Series 2015-LSP, Class D, 5.16%, 9/15/28 (a)(b)		85		86,805
Series 2015-LSP, Class E, 6.76%, 9/15/28 (a)(b)		1,067		1,087,054
Merrill Lynch Mortgage Trust, Series 2005-MKB2, Class F, 6.53%, 9/12/42 (a)(b)		1,000		1,085,884


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2015-C23, Class D, 4.27%, 7/15/50 (a)(b)	$	2,000	$	1,700,575
Series 2015-C25, Class D, 3.07%, 10/15/48		830		665,440
Series 2015-C26, Class C 4.56%, 10/15/48 (b)		1,000		1,018,513
Series 2015-C26, Class D, 3.06%, 10/15/48 (a)		1,280		1,003,801
Series 2017-C33, Class C, 4.56%, 5/15/50 (b)		910		943,361
Morgan Stanley Capital I Trust:
Series 2014-CPT, Class F, 3.56%, 7/13/29 (a)(b)		100		98,853
Series 2014-CPT, Class G, 3.56%, 7/13/29 (a)(b)		100		98,051
Series 2017-H1, Class D, 2.55%, 6/15/50 (a)		1,010		766,388
Series 2017-PRME, Class D, 4.56%, 2/15/34 (a)(b)		840		841,878
Olympic Tower Mortgage Trust:
Series 2017-OT, Class D, 4.08%, 5/10/39 (a)(b)		930		930,351
Series 2017-OT, Class E, 4.08%, 5/10/39 (a)(b)		1,340		1,278,884
Series 2017-OT, Class XA, 0.51%, 5/10/39 (a)(b)(d)		28,100		974,719
RAIT Trust, Series 2017-FL7, Class C, 3.65%, 6/15/37 (a)(b)		880		880,000
Resource Capital Corp. Ltd., Series 2017-CRE5, Class B, 3.09%, 7/15/34 (a)(b)(d)		590		590,000
Velocity Commercial Capital Loan Trust, Series 2015-1, Class AFL, 3.65%, 6/25/45 (a)(b)(d)		99		99,238
VNDO Trust, Series 2016-350P, Class E, 4.03%, 1/10/35 (a)(b)		500		469,475
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C28, Class AJ, 5.63%, 10/15/48 (b)		120		120,415
Series 2007-C32, Class AMFX, 5.70%, 6/15/49 (a)		198		198,270
Wells Fargo Commercial Mortgage Trust:
Series 2015-C27, Class D, 3.77%, 2/15/48 (a)		1,000		747,684
Series 2015-NXS3, Class D, 3.15%, 9/15/57 (a)		500		348,004
Series 2015-NXS4, Class D, 3.75%, 12/15/48 (b)		2,000		1,774,353
Series 2016-C34, Class C, 5.20%, 6/15/49 (b)		130		135,197
Series 2016-C37, Class C, 4.64%, 12/15/49 (b)		500		506,728
Series 2016-NXS5, Class D, 5.04%, 1/15/59 (b)		750		728,906

				88,526,015
Interest Only Commercial Mortgage-Backed Securities — 3.8%
B2R Mortgage Trust, Series 2015-2, Class XA, 2.32%, 11/15/48 (a)(b)		12,728		645,412
Banc of America Commercial Mortgage Trust:
Series 2015-UBS7, Class XA, 1.06%, 9/15/48 (b)		980		54,829


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series 2017-BNK3, Class XD, 1.44%, 2/15/50 (a)(b)	$	10,000	$	937,800
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class XB, 0.30%, 8/10/35 (a)(b)		12,500		229,375
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.92%, 5/10/58 (b)		372		42,251
Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class XE, 1.38%, 10/10/47 (a)(b)		1,000		69,463
Citigroup/Deutsche Bank Mortgage Trust, Series 2017-CD3, Class XA, 1.20%, 2/10/50 (b)		11,781		914,021
Commercial Mortgage Trust:
Series 2015-CR23, Class XA, 1.13%, 5/10/48 (b)		7,520		387,033
Series 2015-CR23, Class XD, 1.16%, 5/10/48 (a)(b)		13,697		976,322
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class XA, 1.20%, 11/15/48 (b)		2,205		131,906
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 6/10/50 (a)(b)(d)		11,214		858,572
GS Mortgage Securities Trust:
Series 2014-GC20, Class XA, 1.17%, 4/10/47 (b)		871		45,792
Series 2016-GS3, Class XA, 1.40%, 10/10/49 (b)		5,957		514,545
Series 2017-GS5, Class XA, 0.97%, 3/10/50 (b)		2,710		178,266
Hospitality Mortgage Trust, Series 2017-HIT, Class XCP, 1.25%, 5/08/30 (a)(b)(d)		98,914		1,661,755
JPMDB Commercial Mortgage Securities Trust:
Series 2016-C4, Class XC, 0.75%, 12/15/49 (a)(b)(d)		8,570		434,499
Series 2017-C5, Class XB, 0.47%, 3/15/50 (b)		30,000		876,300
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 8/15/49 (a)(b)		17,400		764,904
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 1.39%, 3/10/50 (a)(b)		13,990		789,343
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C19, Class XF, 1.34%, 12/15/47 (a)(b)(d)		220		13,962
Series 2015-C25, Class XA, 1.29%, 10/15/48 (b)		3,269		226,341
Series 2015-C26, Class XA, 1.26%, 10/15/48 (b)		623		42,284
Series 2016-C29, Class XA, 1.81%, 5/15/49 (b)		2,379		250,829
Series 2016-C29, Class XB, 1.12%, 5/15/49 (b)		1,020		76,598
Morgan Stanley Capital I Trust, Series 2017-H1, Class XD, 2.20%, 6/15/50 (a)(b)		8,625		1,387,590
One Market Plaza Trust:
Series 2017-1MKT, Class XCP, 0.22%, 2/10/32 (a)(b)		110,000		693,000
Series 2017-1MKT, Class XNCP, 0.00%, 2/10/32 (a)(b)		22,000		—
Wells Fargo Commercial Mortgage Trust:
Series 2015-NXS3, Class XA, 1.33%, 9/15/57 (b)		6,675		392,285


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series 2016-BNK1, Class XD, 1.41%, 8/15/49 (a)(b)	$	1,000	$	88,880
Series 2016-C33, Class XA, 1.97%, 3/15/59 (b)		4,452		482,866
WF-RBS Commercial Mortgage Trust, Series 2014-C21, Class XA, 1.30%, 8/15/47 (b)		10,692		600,193

				14,767,216
Total Non-Agency Mortgage-Backed Securities — 34.0%				131,411,113

U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 4.3%
Fannie Mae:
Series 2016-C02, Class 1M2, 7.02%, 9/25/28 (b)		50		58,513
Series 2016-C04, Class 1M2, 5.27%, 1/25/29 (b)		540		595,804
Series 2016-C06, Class 1M2, 5.27%, 4/25/29 (b)		68		75,499
Series 2016-C07, Class 2M2, 5.37%, 4/25/29 (b)		138		151,418
Series 2017-C01, Class 1B1, 6.77%, 7/25/29 (b)		775		880,743
Series 2017-C01, Class 1M2, 4.57%, 7/25/29 (b)		2,000		2,112,098
Series 2017-C02, Class 2M2, 4.67%, 9/25/29 (b)		1,000		1,061,043
Series 2017-C03, Class 1M2, 4.02%, 10/25/29 (b)		1,000		1,026,946
Series 2017-C04, Class 2M2, 3.89%, 11/25/29 (b)		2,500		2,535,139
Freddie Mac:
Series 2016-DNA4, Class M3, 4.82%, 3/25/29 (b)		2,000		2,165,703
Series 2016-HQA3, Class M3, 4.87%, 3/25/29 (b)		1,000		1,082,271
Series 2017-DNA1, Class B1, 6.17%, 7/25/29 (b)		1,000		1,077,798
Series 2017-DNA1, Class M2, 4.27%, 7/25/29 (b)		1,500		1,564,735
Series 2017-HQA1, Class M2, 4.77%, 8/25/29 (b)		1,000		1,057,089
Series 2017-HQA2, Class M2, 3.81%, 12/25/29 (b)		1,000		1,001,872

				16,446,671
Commercial Mortgage-Backed Securities — 0.1%
Freddie Mac, Series KPLB, Class A, 2.77%, 5/25/25		380		381,903


U.S. Government Sponsored Agency Securities	Par (000)		Value
Mortgage-Backed Securities — 0.0%
Fannie Mae Mortgage-Backed Securities:
2.50%, 5/01/26	$	110	$	107,960
2.69%, 4/01/25		120		120,557

				228,517
Total U.S. Government Sponsored Agency Securities — 5.0%				19,243,806
Total Long-Term Investments (Cost — $383,406,707) — 99.7%				385,152,450


Short-Term Securities	Shares		Value
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.76% (i)		2,892,781		2,892,781
Total Short-Term Securities (Cost — $2,892,781) — 0.8%				2,892,781
*Total Investments (Cost — $386,299,488) — 100.5%**				388,045,231
Liabilities in Excess of Other Assets — (0.5)%				(1,899,031	)

Net Assets — 100.0%			$	386,146,200


OTC Credit Default Swaps — Sell Protection
Index	Receive Fixed Rate		Counterparty		Expiration Date		Credit Rating¹		Notional Amount (000)²		Value		Premiums Received		Unrealized Appreciation (Depreciation)
CMBX.NA.8.A		2.00%		Morgan Stanley & Co. International PLC		10/17/57		Not Rated		$ 120		$ (6,019)		$ (11,695)		$ 5,676
CMBX.NA.9.A		2.00%		Deutsche Bank AG		9/17/58		Not Rated		$ 500		(18,450)		(24,934)		6,484
CMBX.NA.9.A		2.00%		Goldman Sachs International		9/17/58		Not Rated		$5,000		(184,500)		(266,469)		81,969
CMBX.NA.9.A		2.00%		Morgan Stanley & Co. International PLC		9/17/58		Not Rated		$ 500		(18,450)		(27,220)		8,770
CMBX.NA.9.BBB-		3.00%		Deutsche Bank AG		9/17/58		Not Rated		$5,000		(587,709)		(652,046)		64,337
CMBX.NA.10.BBB-		3.00%		Deutsche Bank AG		11/17/59		BBB-		$1,000		(107,505)		(90,926)		(16,579	)
CMBX.NA.10.BBB-		3.00%		Deutsche Bank AG		11/17/59		BBB-		$ 500		(53,753)		(54,840)		1,087
CMBX.NA.6.BBB-		3.00%		Credit Suisse International		5/11/63		BBB-		$ 40		(4,648)		(3,256)		(1,392	)
Total												$(981,034)		$(1,131,386)		$150,352

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued investments. Level 3 investments include equity or debt issued by privately-held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation methodologies may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its annual report.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

During the period ended June 30, 2017, there were no transfers between Level 1 and Level 2.

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:


	Asset-Backed Securities			Floating Rate Loan Interests			Non-Agency Mortgage-Backed Securities			U.S. Government Sponsored Agency Securities			Total
Assets:
Opening Balance, as of March 31, 2017		$16,802,196			$ 993,500			$ 7,641,500			$ 1,001,600			$26,438,796
Transfers into Level 3¹		5,504,739			—			—			—			5,504,739
Transfers out of Level 3²		(7,122,283	)		—			(1,170,241	)		(1,001,600	)		(9,294,124	)
Accrued discounts/premiums		157			38			650			—			845
Net realized gain (loss)		(2,305	)		—			11,776			—			9,471
Net change in unrealized appreciation (depreciation)³		133,126			(38	)		(22,671	)		—			110,417
Purchases		11,126,700			1,809,051			8,530,303			—			21,466,054
Sales		(1,461,712	)		—			(908,871	)		—			(2,370,583	)

Closing Balance, as of June 30, 2017		$24,980,618			$2,802,551			$14,082,446			—			$41,865,615

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2017³		$ 154,396			$ (38	)		$ (22,671	)		—			$ 131,687

The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.


Capital Trusts	Par (000)		Value
Banks — 2.8%
HSBC Holdings PLC, 6.00% (a)(b)	$	520	$	537,680
JPMorgan Chase & Co.:
6.00% (a)(b)		1,775		1,911,444
6.10% (a)(b)		600		651,000
6.75% (a)(b)		2,250		2,556,562
7.90% (a)(b)		500		519,750
U.S. Bancorp, 5.30% (a)(b)		2,050		2,183,250
Wells Fargo & Co.:
5.88% (a)(b)		2,300		2,534,531
7.98% (a)(b)		817		848,659

				11,742,876
Capital Markets — 0.3%
State Street Corp.:
5.25% (a)(b)		315		332,325
2.25%, 6/15/37 (a)		1,075		989,672

				1,321,997
Industrial Conglomerates — 0.1%
General Electric Co., 5.00% (a)(b)		598		634,717
Insurance — 0.8%
Allstate Corp., 5.75%, 8/15/53 (a)		835		914,325
MetLife Capital Trust IV, 7.88%, 12/15/67 (c)		420		567,042
MetLife, Inc., 5.25% (a)(b)		900		934,398
New York Life Insurance Co., 6.75%, 11/15/39 (c)		600		842,776

				3,258,541
Media — 0.6%
NBCUniversal Enterprise, Inc., 5.25% (b)(c)		2,200		2,338,292
Oil, Gas & Consumable Fuels — 0.4%
Enterprise Products Operating LLC, 4.88%, 8/01/66 (a)		1,115		1,119,181
TransCanada Trust:
5.63%, 5/20/75 (a)		359		379,215
5.88%, 8/15/76 (a)		325		352,690

				1,851,086
Total Capital Trusts — 5.0%				21,147,509

Corporate Bonds
Aerospace & Defense — 1.1%
Lockheed Martin Corp.:
3.10%, 1/15/23		95		97,194
3.55%, 1/15/26		145		150,250
4.07%, 12/15/42		575		587,724
4.70%, 5/15/46		110		123,601
Northrop Grumman Systems Corp., 7.88%, 3/01/26		1,000		1,327,052
Rockwell Collins, Inc.:
1.95%, 7/15/19		180		180,264
3.20%, 3/15/24		550		557,509
3.50%, 3/15/27		520		527,299
4.35%, 4/15/47		240		250,996
United Technologies Corp.:
6.05%, 6/01/36		450		579,554
4.50%, 6/01/42		340		371,264

				4,752,707
Air Freight & Logistics — 0.3%
Federal Express Corp. Pass-Through Trust, Series 2012, 2.63%, 1/15/18 (c)		68		67,814


Corporate Bonds	Par (000)		Value
Air Freight & Logistics (continued)
FedEx Corp.:
3.25%, 4/01/26	$	120	$	121,031
4.10%, 2/01/45		475		466,000
4.40%, 1/15/47		597		614,046

				1,268,891
Airlines — 0.6%
American Airlines Pass-Through Trust:
4.38%, 4/01/24		117		119,350
3.65%, 8/15/30		800		824,000
Doric Nimrod Air Alpha Pass-Through Trust, Series 2013-1, Class A, 5.25%, 5/30/23 (c)		695		723,173
U.S. Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27		745		774,938
Virgin Australia Trust, 5.00%, 4/23/25 (c)		174		181,703

				2,623,164
Auto Components — 0.1%
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19		501		506,010
Automobiles — 0.9%
BMW U.S. Capital LLC:
1.50%, 4/11/19 (c)		450		448,224
2.00%, 4/11/21 (c)		540		535,135
General Motors Co., 5.20%, 4/01/45		500		490,549
Volkswagen Group of America Finance LLC:
1.60%, 11/20/17 (c)		1,050		1,049,244
1.65%, 5/22/18 (c)		1,075		1,073,933

				3,597,085
Banks — 14.2%
Bank of America Corp.:
5.75%, 12/01/17		1,755		1,784,700
2.63%, 4/19/21		1,115		1,119,942
5.70%, 1/24/22		2,125		2,401,173
3.30%, 1/11/23		569		580,208
4.20%, 8/26/24		1,610		1,671,347
4.00%, 1/22/25		605		615,536
3.95%, 4/21/25		1,490		1,509,729
4.45%, 3/03/26		2,305		2,398,915
Barclays Bank PLC, 5.14%, 10/14/20		300		321,086
Barclays PLC:
2.75%, 11/08/19		805		812,251
3.25%, 1/12/21		900		915,271
3.20%, 8/10/21		825		836,858
5.20%, 5/12/26		975		1,025,605
4.84%, 5/09/28		820		838,278
BNP Paribas SA, 3.80%, 1/10/24 (c)		880		916,451
Citigroup, Inc.:
1.85%, 11/24/17		1,400		1,402,202
1.70%, 4/27/18		1,100		1,098,898
2.15%, 7/30/18		1,040		1,043,270
2.50%, 7/29/19		950		958,532
2.45%, 1/10/20		1,500		1,509,018
4.45%, 9/29/27		1,200		1,248,022
4.75%, 5/18/46		1,000		1,049,696
Citizens Bank N.A.:
2.50%, 3/14/19		525		528,848
2.55%, 5/13/21		330		330,182
Cooperatieve Rabobank UA, 4.63%, 12/01/23		1,050		1,131,517
Credit Agricole SA, 4.13%, 1/10/27 (c)		710		742,288
HSBC Holdings PLC:
2.65%, 1/05/22		985		982,729


Corporate Bonds	Par (000)		Value
Banks (continued)
4.25%, 8/18/25	$	500	$	513,652
4.38%, 11/23/26		270		280,158
HSBC USA, Inc., 1.70%, 3/05/18		955		955,182
ING Bank NV, 2.50%, 10/01/19 (c)		950		956,466
ING Groep NV, 2.45%, 3/29/22 (a)		1,040		1,057,152
Intesa Sanpaolo SpA:
5.02%, 6/26/24 (c)		416		421,889
5.71%, 1/15/26 (c)		595		628,221
JPMorgan Chase & Co.:
2.20%, 10/22/19		1,655		1,660,291
2.25%, 1/23/20		1,800		1,805,584
2.30%, 8/15/21		665		661,131
2.70%, 5/18/23		2,275		2,250,057
3.78%, 2/01/28 (a)		2,050		2,096,365
4.95%, 6/01/45		1,170		1,305,210
Macquarie Bank Ltd., 1.60%, 10/27/17 (c)		1,300		1,300,109
Royal Bank of Scotland Group PLC:
2.65%, 5/15/23 (a)		1,170		1,179,477
3.50%, 5/15/23 (a)		715		719,637
6.00%, 12/19/23		1,048		1,154,337
Santander Holdings USA, Inc.:
2.64%, 11/24/17 (a)		945		948,767
2.70%, 5/24/19		1,475		1,485,890
Santander UK PLC:
2.50%, 3/14/19		975		982,893
5.00%, 11/07/23 (c)		1,753		1,879,248
U.S. Bancorp, 3.10%, 4/27/26		305		301,458
Wells Fargo & Co.:
2.50%, 3/04/21		985		988,407
3.50%, 3/08/22		1,500		1,558,290
4.12%, 8/15/23		350		370,141
3.00%, 10/23/26		330		321,340
5.61%, 1/15/44		200		237,835
4.65%, 11/04/44		980		1,029,294
4.90%, 11/17/45		456		497,212
4.40%, 6/14/46		440		445,456
4.75%, 12/07/46		530		565,867

				60,329,568
Beverages — 2.6%
Anheuser-Busch InBev Finance, Inc.:
2.65%, 2/01/21		1,400		1,418,771
3.30%, 2/01/23		4,075		4,196,154
3.65%, 2/01/26		3,413		3,516,311
Anheuser-Busch InBev Worldwide, Inc., 2.50%, 7/15/22		1,000		998,586
Molson Coors Brewing Co.:
1.45%, 7/15/19		95		93,842
2.10%, 7/15/21		230		226,176
3.00%, 7/15/26		285		274,126
4.20%, 7/15/46		170		167,650

				10,891,616
Biotechnology — 1.6%
AbbVie, Inc.:
2.30%, 5/14/21		495		493,772
2.85%, 5/14/23		550		548,772
3.20%, 5/14/26		240		237,166
4.40%, 11/06/42		795		814,422
Amgen, Inc.:
2.20%, 5/22/19		169		170,034
4.40%, 5/01/45		100		102,715
4.66%, 6/15/51		927		981,835
Baxalta, Inc., 4.00%, 6/23/25		950		990,862


Corporate Bonds	Par (000)		Value
Biotechnology (continued)
Gilead Sciences, Inc.:
3.25%, 9/01/22	$	135	$	139,598
4.50%, 2/01/45		323		334,835
4.75%, 3/01/46		666		731,141
4.15%, 3/01/47		1,290		1,296,014

				6,841,166
Capital Markets — 5.9%
Bank of New York Mellon Corp., 2.20%, 8/16/23		1,125		1,090,830
Credit Suisse AG:
1.70%, 4/27/18		965		964,934
3.00%, 10/29/21		665		677,663
3.62%, 9/09/24		1,150		1,187,952
Credit Suisse Group AG, 4.28%, 1/09/28 (c)		645		666,724
Credit Suisse Group Funding Guernsey Ltd., 3.80%, 6/09/23		547		563,932
Goldman Sachs Group, Inc.:
6.15%, 4/01/18		850		877,276
2.63%, 1/31/19		1,000		1,010,108
2.55%, 10/23/19		1,470		1,486,042
2.88%, 2/25/21		975		985,452
3.00%, 4/26/22		850		856,531
4.25%, 10/21/25		310		320,435
4.80%, 7/08/44		545		604,354
5.15%, 5/22/45		350		388,765
Morgan Stanley:
6.25%, 8/28/17		885		891,159
1.88%, 1/05/18		1,240		1,241,479
2.20%, 12/07/18		1,250		1,256,230
7.30%, 5/13/19		1,625		1,776,556
5.62%, 9/23/19		265		284,694
2.50%, 4/21/21		550		549,576
5.50%, 7/28/21		10		11,089
2.55%, 10/24/23 (a)		1,675		1,704,085
3.88%, 1/27/26		225		231,633
4.35%, 9/08/26		655		680,963
UBS AG:
1.80%, 3/26/18		1,460		1,462,346
2.38%, 8/14/19		973		981,857
UBS Group Funding Jersey Ltd., 3.00%, 4/15/21 (c)		2,150		2,182,975

				24,935,640
Chemicals — 0.8%
Air Liquide Finance SA:
2.25%, 9/27/23 (c)		520		502,706
2.50%, 9/27/26 (c)		290		276,586
E.I. du Pont de Nemours & Co., 1.70%, 5/01/20 (a)		560		563,366
Eastman Chemical Co., 4.65%, 10/15/44		700		740,598
LyondellBasell Industries NV, 5.00%, 4/15/19		1,250		1,306,801
Sherwin-Williams Co., 2.75%, 6/01/22		135		134,919

				3,524,976
Commercial Services & Supplies — 0.4%
Aviation Capital Group Corp., 6.75%, 4/06/21 (c)		1,575		1,787,381
Communications Equipment — 0.5%
Cisco Systems, Inc.:
1.85%, 9/20/21		1,025		1,012,365
2.50%, 9/20/26		1,035		992,477

				2,004,842


Corporate Bonds	Par (000)		Value
Consumer Finance — 3.8%
American Express Credit Corp., 1.55%, 9/22/17	$	460	$	460,104
Capital One Bank USA N.A., 2.30%, 6/05/19		450		450,411
Capital One N.A.:
2.35%, 8/17/18		1,100		1,104,425
2.40%, 9/05/19		250		250,891
2.35%, 1/31/20		825		825,269
2.95%, 7/23/21		735		740,428
Discover Bank:
2.60%, 11/13/18		700		705,969
3.10%, 6/04/20		742		756,130
Discover Financial Services, 4.10%, 2/09/27		475		475,821
Ford Motor Credit Co. LLC:
1.72%, 12/06/17		1,275		1,275,089
2.88%, 10/01/18		1,250		1,262,394
2.94%, 1/08/19		1,415		1,433,186
General Motors Financial Co., Inc.:
2.40%, 4/10/18		1,100		1,104,114
3.25%, 5/15/18		660		667,735
6.75%, 6/01/18		325		339,019
3.15%, 1/15/20		760		773,032
3.20%, 7/06/21		565		571,351
4.35%, 1/17/27		1,205		1,219,831
Synchrony Financial:
2.58%, 11/09/17 (a)		1,200		1,203,808
2.60%, 1/15/19		615		618,284

				16,237,291
Diversified Financial Services — 1.7%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.50%, 5/15/21		425		450,919
Berkshire Hathaway, Inc.:
2.20%, 3/15/21		120		120,921
2.75%, 3/15/23		600		607,950
GE Capital International Funding Co., 4.42%, 11/15/35		1,386		1,508,506
General Electric Capital Corp.:
6.75%, 3/15/32		308		422,165
6.15%, 8/07/37		205		269,943
HSBC Finance Corp., 6.68%, 1/15/21		1,100		1,239,660
Reckitt Benckiser Treasury Services PLC, 2.75%, 6/26/24 (c)		2,140		2,121,842
Voya Financial, Inc., 2.90%, 2/15/18		591		594,998

				7,336,904
Diversified Telecommunication Services — 3.3%
AT&T Inc.:
5.20%, 3/15/20		800		859,626
3.80%, 3/15/22		385		398,488
0.00%, 11/27/22 (c)(d)		2,000		1,683,624
3.60%, 2/17/23		525		537,316
4.25%, 3/01/27		325		336,035
4.50%, 5/15/35		750		737,844
5.25%, 3/01/37		630		671,188
5.15%, 3/15/42		325		331,888
4.30%, 12/15/42		76		70,576
4.80%, 6/15/44		65		64,418
4.35%, 6/15/45		105		97,452
4.75%, 5/15/46		203		199,063
5.45%, 3/01/47		525		565,176
Verizon Communications, Inc.:
4.60%, 4/01/21		1,050		1,126,054
2.95%, 3/15/22 (c)		1,035		1,042,191
4.27%, 1/15/36		800		772,125
5.25%, 3/16/37		745		800,868
4.81%, 3/15/39 (c)		865		874,358


Corporate Bonds	Par (000)		Value
Diversified Telecommunication Services (continued)
3.85%, 11/01/42	$	950	$	828,309
4.86%, 8/21/46		265		265,045
5.01%, 4/15/49 (c)		1,025		1,035,155
4.67%, 3/15/55		912		853,803

				14,150,602
Electric Utilities — 5.3%
American Transmission Systems, Inc., 5.25%, 1/15/22 (c)		400		440,888
Duke Energy Carolinas LLC:
5.25%, 1/15/18		450		458,696
3.75%, 6/01/45		420		417,767
Duke Energy Corp., 2.65%, 9/01/26		390		370,396
Duke Energy Progress LLC, 6.30%, 4/01/38		750		1,000,513
E.ON International Finance BV, 5.80%, 4/30/18 (c)		1,100		1,133,018
Emera U.S. Finance LP:
2.15%, 6/15/19		185		184,828
4.75%, 6/15/46		745		786,226
Entergy Arkansas, Inc., 3.70%, 6/01/24		825		864,100
Entergy Corp., 4.00%, 7/15/22		700		739,836
Eversource Energy, 1.60%, 1/15/18		125		124,806
Exelon Corp.:
3.50%, 6/01/22		785		801,988
3.40%, 4/15/26		200		199,326
Florida Power & Light Co., 5.95%, 2/01/38		800		1,043,437
Great Plains Energy, Inc.:
2.50%, 3/09/20		70		70,653
3.15%, 4/01/22		350		353,699
5.29%, 6/15/22 (e)		745		815,648
3.90%, 4/01/27		885		895,288
Kentucky Utilities Co., 5.13%, 11/01/40		375		449,513
MidAmerican Energy Holdings Co., 5.30%, 3/15/18		2,170		2,226,209
Northern States Power Co., 6.20%, 7/01/37		725		962,435
Ohio Power Co., 6.60%, 3/01/33		675		859,125
Oncor Electric Delivery Co. LLC, 5.30%, 6/01/42		660		796,521
PacifiCorp, 6.00%, 1/15/39		450		584,326
Progress Energy, Inc.:
4.88%, 12/01/19		1,075		1,138,453
3.15%, 4/01/22		775		791,161
Southern Co.:
2.35%, 7/01/21		785		779,280
2.95%, 7/01/23		1,740		1,728,847
3.25%, 7/01/26		1,070		1,046,739
Trans-Allegheny Interstate Line Co., 3.85%, 6/01/25 (c)		445		461,472

				22,525,194
Energy Equipment & Services — 0.2%
Halliburton Co., 3.80%, 11/15/25		950		973,583
Equity Real Estate Investment Trusts (REITs) — 2.5%
American Tower Corp.:
4.50%, 1/15/18		1,475		1,495,205
2.80%, 6/01/20		1,000		1,013,589
3.30%, 2/15/21		265		271,923
4.70%, 3/15/22		1,325		1,434,633
3.12%, 1/15/27		825		791,856
AvalonBay Communities, Inc., 4.20%, 12/15/23		1,000		1,069,971
Crown Castle International Corp.:
3.40%, 2/15/21		1,453		1,492,010
2.25%, 9/01/21		265		260,708
5.25%, 1/15/23		807		896,447


Corporate Bonds	Par (000)		Value
Equity Real Estate Investment Trusts (REITs) (continued)
DDR Corp., 4.75%, 4/15/18	$	280	$	285,480
Host Hotels & Resorts LP, 6.00%, 10/01/21		725		808,582
Simon Property Group LP, 1.50%, 2/01/18 (c)		725		724,462

				10,544,866
Food & Staples Retailing — 0.3%
CVS Health Corp., 5.30%, 12/05/43		175		201,674
Walgreens Boots Alliance, Inc.:
3.45%, 6/01/26		195		194,588
4.80%, 11/18/44		630		670,417

				1,066,679
Food Products — 0.7%
Kraft Heinz Foods Co.:
3.00%, 6/01/26		2,235		2,139,009
5.00%, 6/04/42		250		263,921
4.38%, 6/01/46		365		357,457

				2,760,387
Gas Utilities — 0.4%
Atmos Energy Corp., 8.50%, 3/15/19		800		885,769
Fortis, Inc. Canada, 2.10%, 10/04/21 (c)		945		925,575

				1,811,344
Health Care Equipment & Supplies — 2.5%
Abbott Laboratories:
2.35%, 11/22/19		1,345		1,355,112
4.75%, 11/30/36		385		419,058
4.75%, 4/15/43		117		123,810
4.90%, 11/30/46		160		176,230
Becton Dickinson and Co.:
2.13%, 6/06/19		845		846,284
2.68%, 12/15/19		88		89,077
2.25%, 6/06/22 (a)		1,525		1,528,475
Covidien International Finance SA, 6.00%, 10/15/17		2,300		2,328,577
Medtronic, Inc.:
3.15%, 3/15/22		960		993,444
3.50%, 3/15/25		950		988,249
4.63%, 3/15/44		500		555,357
4.63%, 3/15/45		1,040		1,170,452
Stryker Corp., 3.50%, 3/15/26		160		163,870

				10,737,995
Health Care Providers & Services — 2.3%
Aetna, Inc.:
1.70%, 6/07/18		720		720,279
2.80%, 6/15/23		350		349,393
3.50%, 11/15/24		395		407,463
Anthem, Inc.:
4.35%, 8/15/20		1,275		1,353,100
5.10%, 1/15/44		300		347,113
Cigna Corp., 3.25%, 4/15/25		618		620,410
Coventry Health Care, Inc., 5.45%, 6/15/21		850		937,740
HCA, Inc.:
5.25%, 6/15/26		1,060		1,143,210
4.50%, 2/15/27		565		581,244
5.50%, 6/15/47		430		445,050
UnitedHealth Group, Inc.:
3.35%, 7/15/22		75		78,301
2.88%, 3/15/23		1,175		1,193,041
3.75%, 7/15/25		770		811,004
4.62%, 11/15/41		645		710,538
4.75%, 7/15/45		120		137,839

				9,835,725


Corporate Bonds	Par (000)		Value
Hotels, Restaurants & Leisure — 0.1%
McDonald’s Corp.:
2.75%, 12/09/20	$	85	$	86,541
4.88%, 12/09/45		365		406,926

				493,467
Household Durables — 0.4%
Newell Brands, Inc.:
3.85%, 4/01/23		850		892,448
4.20%, 4/01/26		235		249,520
5.50%, 4/01/46		300		361,211

				1,503,179
Independent Power and Renewable Electricity Producers — 0.2%
IPALCO Enterprises, Inc., 5.00%, 5/01/18		925		940,031
Industrial Conglomerates — 0.4%
Eaton Corp., 4.15%, 11/02/42		900		920,563
Tyco Electronics Group SA, 3.50%, 2/03/22		600		620,996

				1,541,559
Insurance — 1.3%
Allied World Assurance Co. Holdings Ltd., 5.50%, 11/15/20		825		893,814
American International Group, Inc.:
6.40%, 12/15/20		485		548,825
3.30%, 3/01/21		220		226,343
3.90%, 4/01/26		1,240		1,268,551
Aon PLC, 4.00%, 11/27/23		1,760		1,858,532
Marsh & McLennan Cos., Inc., 3.75%, 3/14/26		600		624,688
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (c)		90		123,237

				5,543,990
Internet Software & Services — 0.2%
Alibaba Group Holding Ltd., 1.63%, 11/28/17		975		974,282
IT Services — 1.2%
Fidelity National Information Services, Inc.:
3.63%, 10/15/20		2,850		2,985,498
3.50%, 4/15/23		625		649,430
5.00%, 10/15/25		425		474,590
Visa, Inc.:
2.80%, 12/14/22		510		519,250
3.15%, 12/14/25		620		629,466

				5,258,234
Life Sciences Tools & Services — 0.3%
Life Technologies Corp., 6.00%, 3/01/20		820		893,674
Thermo Fisher Scientific, Inc.:
2.15%, 12/14/18		220		220,825
3.00%, 4/15/23		180		181,461

				1,295,960
Machinery — 0.4%
John Deere Capital Corp.:
1.35%, 1/16/18		790		789,351
2.38%, 7/14/20		830		839,961
2.65%, 6/24/24		215		213,538

				1,842,850
Media — 3.6%
21st Century Fox America, Inc., 6.40%, 12/15/35		781		989,754
Charter Communications Operating LLC/Charter Communications Operating Capital: 4.46%, 7/23/22		2,300		2,450,572


Corporate Bonds	Par (000)		Value
Media (continued)
6.38%, 10/23/35	$	325	$	385,240
6.48%, 10/23/45		2,425		2,910,516
5.38%, 5/01/47 (c)		100		105,794
6.83%, 10/23/55		57		69,474
Comcast Corp.:
4.25%, 1/15/33		650		692,751
6.50%, 11/15/35		550		729,152
3.20%, 7/15/36		610		570,908
6.55%, 7/01/39		500		678,940
4.50%, 1/15/43		225		240,656
4.60%, 8/15/45		700		763,343
Cox Communications, Inc.:
3.35%, 9/15/26 (c)		115		112,924
8.38%, 3/01/39 (c)		442		585,810
Grupo Televisa SAB, 6.63%, 1/15/40		900		1,039,881
Sky PLC:
2.63%, 9/16/19 (c)		200		201,353
3.75%, 9/16/24 (c)		510		523,867
Time Warner Cable LLC:
8.25%, 4/01/19		695		766,691
4.50%, 9/15/42		137		130,354
Time Warner, Inc.:
3.60%, 7/15/25		305		304,307
3.88%, 1/15/26		592		602,029
3.80%, 2/15/27		315		317,129

				15,171,445
Metals & Mining — 0.3%
Rio Tinto Finance USA Ltd.:
3.75%, 6/15/25		74		77,888
7.13%, 7/15/28		550		731,175
Southern Copper Corp., 5.88%, 4/23/45		425		454,364

				1,263,427
Multiline Retail — 0.2%
Target Corp., 2.50%, 4/15/26		850		806,481
Multi-Utilities — 2.0%
Berkshire Hathaway Energy Co.:
5.75%, 4/01/18		1,475		1,518,967
4.50%, 2/01/45		900		974,372
CMS Energy Corp., 5.05%, 3/15/22		1,644		1,808,331
Dominion Gas Holdings LLC, 2.50%, 12/15/19		845		850,649
Dominion Resources, Inc.:
1.88%, 1/15/19		525		523,851
2.96%, 7/01/19 (f)		345		350,159
NiSource Finance Corp., 5.25%, 2/15/43		440		507,052
Pacific Gas & Electric Co., 3.85%, 11/15/23		575		611,095
Virginia Electric & Power Co.:
6.00%, 1/15/36		900		1,140,356
4.45%, 2/15/44		350		382,377

				8,667,209
Oil, Gas & Consumable Fuels — 6.8%
Anadarko Petroleum Corp., 6.60%, 3/15/46		500		617,515
Cenovus Energy, Inc., 4.25%, 4/15/27 (c)		425		404,866
Chevron Corp., 2.19%, 11/15/19		255		257,514
Cimarex Energy Co., 3.90%, 5/15/27		940		945,145
ConocoPhillips Co., 4.95%, 3/15/26		925		1,030,190
Devon Energy Corp.:
3.25%, 5/15/22		731		726,499
5.00%, 6/15/45		600		606,145
El Paso Natural Gas Co. LLC, 8.63%, 1/15/22		485		587,982
Enbridge, Inc., 4.25%, 12/01/26		840		875,405
Encana Corp., 6.50%, 5/15/19		750		799,927
Energy Transfer Partners LP:
6.70%, 7/01/18		925		966,467


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
5.20%, 2/01/22	$	5	$	5,376
3.60%, 2/01/23		775		778,589
6.50%, 2/01/42		560		625,543
5.30%, 4/15/47		1,025		1,014,077
Enterprise Products Operating LLC:
6.45%, 9/01/40		800		1,004,989
5.70%, 2/15/42		490		573,551
4.90%, 5/15/46		300		322,599
Hess Corp., 5.80%, 4/01/47		600		604,990
Kerr-McGee Corp., 7.88%, 9/15/31		450		578,561
Kinder Morgan Energy Partners LP:
6.50%, 4/01/20		390		429,054
7.30%, 8/15/33		800		962,918
5.00%, 3/01/43		490		472,703
5.50%, 3/01/44		525		541,876
Kinder Morgan, Inc.:
2.00%, 12/01/17		80		80,043
6.50%, 9/15/20		925		1,027,292
5.55%, 6/01/45		265		280,827
Marathon Petroleum Corp., 4.75%, 9/15/44		631		599,482
Noble Energy, Inc., 5.25%, 11/15/43		425		440,352
Pioneer Natural Resources Co.:
6.88%, 5/01/18		880		915,248
3.45%, 1/15/21		255		261,990
Plains All American Pipeline LP/PAA Finance Corp., 2.60%, 12/15/19		900		902,471
Regency Energy Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22		1,020		1,093,958
Sabine Pass Liquefaction LLC:
5.63%, 2/01/21		750		816,505
5.63%, 4/15/23		700		778,122
5.75%, 5/15/24		425		473,243
Schlumberger Norge AS, 4.20%, 1/15/21 (c)		975		1,030,752
Sunoco Logistics Partners Operations LP, 5.35%, 5/15/45		800		784,129
Texas Eastern Transmission LP, 2.80%, 10/15/22 (c)		1,400		1,373,471
Western Gas Partners LP, 5.38%, 6/01/21		1,025		1,100,368
Williams Partners LP, 4.50%, 11/15/23		1,300		1,377,148

				29,067,882
Pharmaceuticals — 4.4%
Allergan Funding SCS:
3.00%, 3/12/20		1,800		1,838,194
3.45%, 3/15/22		1,780		1,834,854
3.80%, 3/15/25		900		930,914
4.55%, 3/15/35		900		960,595
4.85%, 6/15/44		425		459,619
4.75%, 3/15/45		201		216,973
EMD Finance LLC, 1.70%, 3/19/18 (c)		1,800		1,799,744
Johnson & Johnson:
2.05%, 3/01/23		270		267,268
2.45%, 3/01/26		510		497,309
3.55%, 3/01/36		1,085		1,118,383
Merck & Co., Inc., 2.35%, 2/10/22		310		312,730
Mylan NV:
2.50%, 6/07/19		332		334,653
3.95%, 6/15/26		325		329,303
Mylan, Inc., 2.60%, 6/24/18		968		974,953
Pfizer, Inc.:
5.20%, 8/12/20		900		987,376
4.30%, 6/15/43		250		268,158
Roche Holdings, Inc., 3.35%, 9/30/24 (c)		850		877,219
Shire Acquisitions Investments Ireland DAC:
2.40%, 9/23/21		1,310		1,294,724
2.88%, 9/23/23		1,445		1,432,245


Corporate Bonds	Par (000)		Value
Pharmaceuticals (continued)
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21	$	514	$	530,772
Teva Pharmaceutical Finance Netherlands III BV:
2.20%, 7/21/21		415		407,388
2.80%, 7/21/23		340		330,699
3.15%, 10/01/26		283		268,759
Wyeth LLC, 5.95%, 4/01/37		425		549,405

				18,822,237
Professional Services — 0.3%
Dun & Bradstreet Corp., 3.50%, 12/01/17		1,300		1,306,796
Road & Rail — 1.0%
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40		500		631,385
Canadian National Railway Co., 6.25%, 8/01/34		1,100		1,451,425
Canadian Pacific Railway Co., 7.25%, 5/15/19		500		547,153
Kansas City Southern, 2.35%, 5/15/20		370		369,371
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 2/01/22 (c)		1,000		1,024,384
Union Pacific Corp., 4.05%, 3/01/46		355		367,490

				4,391,208
Semiconductors & Semiconductor Equipment — 2.4%
Analog Devices, Inc.:
2.50%, 12/05/21		340		340,308
3.50%, 12/05/26		195		196,518
Applied Materials, Inc., 3.30%, 4/01/27		705		716,458
Broadcom Corp./Broadcom Cayman Finance Ltd.:
2.38%, 1/15/20 (c)		2,035		2,037,957
3.00%, 1/15/22 (c)		1,425		1,437,737
3.63%, 1/15/24 (c)		1,055		1,079,263
3.88%, 1/15/27 (c)		375		385,087
KLA-Tencor Corp., 4.65%, 11/01/24		40		43,199
NVIDIA Corp.:
2.20%, 9/16/21		490		484,537
3.20%, 9/16/26		1,185		1,174,963
NXP BV/NXP Funding LLC, 4.63%, 6/01/23 (c)		775		836,031
QUALCOMM, Inc.:
1.56%, 5/20/19 (a)		1,020		1,023,187
1.65%, 5/20/20 (a)		440		441,985

				10,197,230
Software — 3.3%
Autodesk, Inc., 1.95%, 12/15/17		550		550,820
Microsoft Corp.:
1.55%, 8/08/21		1,325		1,296,417
2.00%, 8/08/23		1,150		1,120,650
2.88%, 2/06/24		990		1,006,104
2.40%, 8/08/26		1,235		1,188,536
4.10%, 2/06/37		530		570,875
3.75%, 2/12/45		466		463,144
4.45%, 11/03/45		517		575,251
3.70%, 8/08/46		945		935,113
Oracle Corp.:
1.90%, 9/15/21		1,525		1,511,591
2.40%, 9/15/23		2,050		2,023,399
2.65%, 7/15/26		1,690		1,621,665
4.12%, 5/15/45		850		873,877
4.00%, 7/15/46		161		162,593

				13,900,035
Specialty Retail — 0.3%
Home Depot, Inc.:
4.40%, 3/15/45		215		235,472
4.25%, 4/01/46		335		359,413


Corporate Bonds	Par (000)		Value
Specialty Retail (continued)
Lowe’s Cos., Inc., 3.70%, 4/15/46	$	425	$	409,646
QVC, Inc., 4.38%, 3/15/23		250		252,861

				1,257,392
Technology Hardware, Storage & Peripherals — 2.2%
Apple Inc.:
1.48%, 5/06/19 (a)		1,100		1,105,918
1.55%, 8/04/21		970		947,665
1.68%, 2/09/22 (a)		1,725		1,742,510
2.85%, 2/23/23		1,010		1,027,512
3.25%, 2/23/26		855		870,310
2.45%, 8/04/26		1,050		1,004,025
4.38%, 5/13/45		960		1,037,915
3.85%, 8/04/46		730		729,501
Dell International LLC/EMC Corp., 8.35%, 7/15/46 (c)		595		767,896

				9,233,252
Tobacco — 1.5%
Altria Group, Inc.:
2.62%, 9/16/26		210		202,185
4.50%, 5/02/43		450		479,051
5.38%, 1/31/44		557		671,430
Imperial Brands Finance PLC, 2.05%, 2/11/18 (c)		950		950,940
Philip Morris International, Inc., 3.88%, 8/21/42		700		686,270
Reynolds American, Inc.:
4.00%, 6/12/22		730		773,550
4.85%, 9/15/23		220		242,551
4.45%, 6/12/25		1,150		1,232,052
5.70%, 8/15/35		550		651,752
7.00%, 8/04/41		350		439,226

				6,329,007
Trading Companies & Distributors — 0.4%
Air Lease Corp., 3.38%, 6/01/21		540		554,333
International Lease Finance Corp., 5.88%, 4/01/19		885		939,935

				1,494,268
Wireless Telecommunication Services — 0.8%
Alltel Corp., 7.88%, 7/01/32		470		610,450
America Movil SAB de CV, 5.00%, 3/30/20		468		502,730
Crown Castle Towers LLC, 6.11%, 1/15/40 (c)		1,450		1,558,883
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 9/20/21 (c)		340		342,975
Vodafone Group PLC, 4.38%, 2/19/43		425		419,688

				3,434,726
Total Corporate Bonds — 86.0%				365,779,763


Foreign Agency Obligations	Par (000)		Value
CNOOC Finance 2013 Ltd., 3.00%, 5/09/23	$	800	$	791,330
Petroleos Mexicanos:
3.50%, 7/18/18		1,700		1,720,570
6.38%, 2/04/21		633		685,096
5.38%, 3/13/22 (c)		155		163,176
3.50%, 1/30/23		650		623,025
4.63%, 9/21/23		1,470		1,487,640
6.38%, 1/23/45		475		463,125
Total Foreign Agency Obligations — 1.4%				5,933,962


Foreign Government Obligations
Canada — 0.1%
Province of Manitoba, 3.05%, 5/14/24		469		484,263
Colombia — 0.2%
Republic of Colombia:
5.63%, 2/26/44		413		451,409
5.00%, 6/15/45		560		563,360

				1,014,769
Indonesia — 0.3%
Republic of Indonesia:
4.13%, 1/15/25		350		360,878
4.75%, 1/08/26		975		1,046,520

				1,407,398
Mexico — 0.5%
United Mexican States:
4.15%, 3/28/27		470		486,685
4.75%, 3/08/44		1,499		1,500,499

				1,987,184
Peru — 0.1%
Republic of Peru, 5.63%, 11/18/50		290		351,335
Poland — 0.1%
Republic of Poland, 3.25%, 4/06/26		440		447,700
Uruguay — 0.3%
Republic of Uruguay:
4.38%, 10/27/27		645		685,312
5.10%, 6/18/50		375		381,750

				1,067,062
Total Foreign Government Obligations — 1.6%				6,759,711


Taxable Municipal Bonds	Par (000)		Value
Chicago O’Hare International Airport RB, 6.40%, 1/01/40		1,000		1,351,050


Taxable Municipal Bonds	Par (000)		Value
Los Angeles Department of Water & Power RB, 6.57%, 7/01/45	$	1,075	$	1,566,941
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39		1,125		1,703,565
Port Authority of New York & New Jersey RB, 4.46%, 10/01/62		1,300		1,416,363
State of California GO:
7.30%, 10/01/39		510		745,778
7.63%, 3/01/40		1,125		1,714,005
7.60%, 11/01/40		430		669,596
Total Taxable Municipal Bonds — 2.1%				9,167,298


U.S. Government Sponsored Agency Securities
Agency Obligations — 0.3%
Fannie Mae, 1.88%, 9/24/26		1,220		1,156,736


U.S. Treasury Obligations
U.S. Treasury Bonds:
3.00%, 11/15/45		3,765		3,877,391
3.00%, 2/15/47		1,350		1,392,609
U.S. Treasury Notes:
1.25%, 1/31/20		175		173,927
1.38%, 1/31/21		2,166		2,143,225
1.13%, 9/30/21		310		301,548
2.25%, 2/15/27		525		522,560
Total U.S. Treasury Obligations — 2.0%				8,411,260
Total Long-Term Investments (Cost — $405,146,771) — 98.4%				418,356,239


Short-Term Securities	Shares
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.76% (g)		2,542,431		2,542,431
Total Short-Term Securities (Cost — $2,542,431) — 0.6%				2,542,431
*Total Investments (Cost — $407,689,202)**				420,898,670
Other Assets Less Liabilities — 1.0%				4,091,348

Net Assets — 1.0%			$	424,990,018

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:


Municipal Bonds	Par (000)		Value
Alabama — 2.9%
Alabama Special Care Facilities Financing Authority-Birmingham, Methodist Home for the Aging Project, Series S, RB, 5.50%, 6/01/30	$	500	$	536,985
County of Jefferson Alabama Sewer, Refunding RB, Sub-Lien, Warrants, Series D, 6.50%, 10/01/53		1,000		1,202,910
State of Alabama Docks Department, Refunding RB, AMT, (AGM), Series A, 5.00%, 10/01/35		1,000		1,137,480
University of South Alabama:
RB, (BAM), 5.00%, 10/01/36		575		667,011
RB, (BAM), 5.00%, 10/01/37		1,000		1,158,120

				4,702,506
Alaska — 0.4%
Northern Tobacco Securitization Corp., Refunding RB, Asset-Backed:
Series A, 4.63%, 6/01/23		315		316,210
Series A, 5.00%, 6/01/46		340		327,216

				643,426
Arizona — 1.8%
Arizona IDA:
RB, Academies Math & Science Project, Series B, 5.13%, 7/01/47 (a)		195		191,915
Refunding RB, Basis Schools Projects, Series A, 5.00%, 7/01/26 (a)		300		327,708
Refunding RB, Basis Schools Projects, Series A, 5.13%, 7/01/37 (a)		605		635,480
City of Phoenix IDA:
RB, Legacy Traditional Schools Project, 5.00%, 7/01/46 (a)		570		579,610
Refunding RB, Basis Schools Projects, 5.00%, 7/01/45 (a)		140		144,092
Refunding RB, Basis Schools Projects, Series A, 5.00%, 7/01/35 (a)		45		46,805
Refunding RB, Basis Schools Projects, Series A, 5.00%, 7/01/46 (a)		50		51,427
Refunding RB, Legacy Traditional Schools Project, 5.00%, 7/01/35 (a)		300		307,959
Refunding RB, Legacy Traditional Schools Project, 5.00%, 7/01/45 (a)		100		101,582
Salt Verde Financial Corp., RB, 5.00%, 12/01/37		500		594,955

				2,981,533
Arkansas — 0.3%
Pulaski County Public Facilities Board, RB:
5.00%, 12/01/39		230		256,823
5.00%, 12/01/42		250		278,457

				535,280
California — 11.7%
California County Tobacco Securitization Agency:
RB, Asset-Backed, 5.45%, 6/01/28		500		511,745
RB, Asset-Backed, 5.60%, 6/01/36		405		414,538
RB, Asset-Backed, 5.70%, 6/01/46		760		761,657
Refunding RB, Asset-Backed, Merced County Project, Series A, 5.00%, 6/01/26		45		45,016
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.00%, 6/01/26		275		275,000
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.25%, 6/01/45		160		159,987
Refunding RB, Golden Gate Tobacco Project, Series A, 5.00%, 6/01/36		300		298,353
California Educational Facilities Authority, RB, Chapman University Project, 5.00%, 4/01/45		500		560,970


Municipal Bonds	Par (000)		Value
California (continued)
California Infrastructure & Economic Development Bank, Refunding RB, Academy Motion Picture Art Project, 4.00%, 11/01/45	$	750	$	769,830
California Municipal Finance Authority:
RB, John Adams Academics Project, 5.00%, 10/01/35		250		260,948
RB, John Adams Academics Project, 5.25%, 10/01/45		250		262,265
RB, Sycamore Academy Project, 5.63%, 7/01/44 (a)		150		153,791
Refunding RB, Community Medical Centers Project, Series A, 5.00%, 2/01/46		650		713,089
California Pollution Control Financing Authority:
RB, AMT, 5.00%, 11/21/45 (a)		1,020		1,088,360
RB, AMT, Green Bonds, Calplant I Project, 7.50%, 7/01/32 (a)		300		312,765
California School Finance Authority, RB:
Alliance College-Ready Public Schools Project, 5.00%, 7/01/51 (a)		300		319,104
Alta Public Schools Project, Series A, 6.75%, 11/01/45 (a)		250		272,170
California Statewide Communities Development Authority:
RB, Loma Linda University Medical Center Project, Series A, 5.25%, 12/01/56 (a)		320		347,946
Refunding RB, (AGM), 5.00%, 11/15/49		500		562,925
Refunding RB, 899 Charleston Project, Series A, 5.25%, 11/01/44		250		256,483
Refunding RB, CHF Irvine LLC Project, 5.00%, 5/15/34		1,750		1,977,203
California Statewide Financing Authority, RB, Asset-Backed:
Series A, 6.00%, 5/01/43		85		85,326
Series B, 5.63%, 5/01/29		120		120,761
Series B, 6.00%, 5/01/43		315		315,964
City of Irvine, Community Facilities District No. 2013-3, (Great Park) Improvement Area No. 1, Special Tax Bonds, 5.00%, 9/01/44		250		271,162
City of Los Angeles Department of Airports, RB, AMT, Los Angeles International Airport Project, 5.00%, 5/15/46		1,000		1,130,650
City of Roseville, CDF No. 1, Special Tax Bonds, 5.00%, 9/01/44		500		534,835
Golden State Tobacco Securitization Corp, Refunding RB, Asset-Backed, Senior, Series A-1:
5.00%, 6/01/33		335		336,588
5.75%, 6/01/47		1,115		1,123,073
Lancaster Redevelopment Agency Successor Agency, Refunding Tax Allocation Bonds, (AGM), Combined Redevelopment Project, 5.00%, 8/01/33		1,200		1,379,316
Norman Y Mineta San Jose International Airport, Refunding RB:
AMT, Series A, 5.00%, 3/01/35		500		577,470
Series B, 5.00%, 3/01/47		285		328,132
Oakland Unified School District, GO, Series A, 5.00%, 8/01/40		350		402,360
Riverside County Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/45		500		584,015
San Francisco City & County Redevelopment Agency, Tax Allocation Bonds, Mission Bay’s Redevelopment Project, Sub-Series D, 0.00%, 8/01/31 (a)(b)		580		270,181
Tobacco Securitization Authority of Southern California, Refunding RB, Senior, Series A-1:
5.00%, 6/01/37		970		970,029


Municipal Bonds	Par (000)		Value
California (continued)
5.13%, 6/01/46	$	575	$	574,983

				19,328,990
Colorado — 2.7%
Centerra Metropolitan District No. 1, Tax Allocation Bonds, 5.00%, 12/01/47		155		156,800
Colorado Educational & Cultural Facilities Authority, Refunding RB, Charter School-University Project, 5.00%, 12/15/45 (a)		500		504,105
Colorado Health Facilities Authority:
RB, Catholic Health Initiatives Project, Series A, 5.25%, 1/01/40		815		861,985
RB, Catholic Health Initiatives Project, Series A, 5.25%, 1/01/45		460		485,360
Refunding RB, Catholic Health Initiatives Project, Series A, 5.00%, 7/01/39		400		409,716
Refunding RB, Catholic Health Initiatives Project, Series A, 5.00%, 2/01/41		200		206,006
Refunding RB, Sunny Vista Living Center Project, Series A, 6.13%, 12/01/45 (a)		130		136,661
Refunding RB, Sunny Vista Living Center Project, Series A, 6.25%, 12/01/50 (a)		130		137,391
Copperleaf Metropolitan District No. 2, GO, Refunding, 5.75%, 12/01/45		500		521,830
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40		925		1,033,133

				4,452,987
Connecticut — 0.4%
Mohegan Tribal Finance Authority, RB, 7.00%, 2/01/45 (a)		215		224,647
Mohegan Tribe of Indians of Connecticut:
RB, Series A, 6.75%, 2/01/45 (a)		110		114,695
Refunding RB, Priority District Project, Series C, 6.25%, 2/01/30 (a)		330		350,285

				689,627
Delaware — 0.3%
Delaware State EDA, RB, Exempt Facility Indian River Power Project, 5.38%, 10/01/45		505		525,791
District of Columbia — 0.4%
Metropolitan Washington Airports Authority, Refunding RB, AMT:
5.00%, 10/01/36		295		342,132
5.00%, 10/01/37		300		347,361

				689,493
Florida — 3.3%
Babcock Ranch Community Independent Special District, Special Assessment Bonds, 4.25%, 11/01/21		340		342,261
Brevard County Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 4/01/39		500		552,325
Cape Coral Health Facilities Authority, Refunding RB, Senior Housing Gulf Care Project, 5.88%, 7/01/40 (a)		250		265,043
Capital Trust Agency, Inc., RB, Gardens Apartments Project, Series A, 5.00%, 7/01/50		500		513,265
Celebration Pointe Community Development District, Special Assessment Bonds:
5.13%, 5/01/45		250		252,205
Alachua County Project, 4.00%, 5/01/22 (a)		100		101,802
Florida Development Finance Corp., RB, Renaissance Charter School Project, Series A, 6.13%, 6/15/44		45		45,749


Municipal Bonds	Par (000)		Value
Florida (continued)
Greater Orlando Aviation Authority, Refunding RB, AMT, Special Purpose JetBlue Airway Project, 5.00%, 11/15/36	$	250	$	259,645
Hillsborough County Aviation Authority, Refunding RB, AMT, Tampa International Project, Series A, 5.00%, 10/01/44		350		388,083
Lakewood Ranch Stewardship District, Special Assessment Bonds:
4.88%, 5/01/35		250		254,300
Village of Lakewood Ranch Project, Series S, 4.00%, 5/01/21		100		101,453
Village of Lakewood Ranch Project, Series S, 5.13%, 5/01/46		170		172,218
Miami Health Facilities Authority, Refunding RB, Miami Jewish Health Systems Obligation Project:
5.13%, 7/01/38		500		540,430
5.13%, 7/01/46		390		417,901
Orange County Health Facilities Authority:
RB, Presbyterian Retirement Community Project, 5.00%, 8/01/35		250		273,990
Refunding RB, Presbyterian Retirement Community Project, 5.00%, 8/01/41		695		754,902
Trout Creek Community Development District, Special Assessment Bonds, 5.63%, 5/01/45		250		251,000

				5,486,572
Georgia — 0.6%
Atlanta Development Authority:
RB, Proton Treatment Center Project, Series A1, 6.75%, 1/01/35 (a)		245		242,273
RB, Proton Treatment Center Project, Series A1, 7.00%, 1/01/40 (a)		190		189,994
Gainesville & Hall County Hospital Authority, Refunding RB, North East Georgia Health Systems, Inc. Project, 5.50%, 8/15/54		250		294,343
Marietta Development Authority, Refunding RB, University Facilities Life Project, Series A, 5.00%, 11/01/47 (a)		270		277,646

				1,004,256
Hawaii — 0.1%
State of Hawaii Department of Budget & Finance, Refunding RB, 5.00%, 1/01/45 (a)		220		218,051
Illinois — 4.9%
City of Chicago, GO, Refunding, Series A:
5.00%, 1/01/36		250		240,085
6.00%, 1/01/38		275		282,612
City of Chicago, O’Hare International Airport Revenue:
RB, AMT, Senior Lien, Series D, 5.00%, 1/01/52		800		883,296
Refunding RB, Senior Lien, Series D, 5.00%, 1/01/39		260		286,751
Refunding RB, Series D, 5.00%, 1/01/46		1,000		1,129,180
City of Chicago, Wastewater Transmission Revenue, Refunding RB, Second Lien, Series C, 5.00%, 1/01/39		500		538,510
Illinois Finance Authority, Refunding RB:
Lutheran Home & Services Project, 5.50%, 5/15/30		500		523,115
Presence Health Network Project, Series C, 5.00%, 2/15/36		1,500		1,615,065
Presence Health Network Project, Series C, 5.00%, 2/15/41		650		695,578
Senior, Rogers Park Montessori School Project, 6.13%, 2/01/45		150		157,135


Municipal Bonds	Par (000)		Value
Illinois (continued)
Metropolitan Pier & Exposition Authority:
RB, McCormick Place Expansion Project, Series 2015A, 5.50%, 6/15/53	$	390	$	389,988
Refunding RB, McCormick Project, Series B-2, 5.00%, 6/15/50		500		469,345
Refunding RB, McCormick Project, Series B-2, 5.25%, 6/15/50		350		341,946
State of Illinois, GO:
5.00%, 3/01/37		300		301,095
5.00%, 5/01/39		275		276,405

				8,130,106
Indiana — 1.5%
City of Vincennes, Refunding RB, Southwest Industrial Regional Youth Village Factory Project, 6.25%, 1/01/29 (a)		485		469,611
County of Allen RB, StoryPoint Fort Wayne Project:
6.63%, 1/15/34 (a)		100		103,234
6.75%, 1/15/43 (a)		200		206,446
6.88%, 1/15/52 (a)		120		123,854
Indiana Finance Authority:
RB, AMT, Private Activity Bond, Ohio River Bridges East End Crossing Project, 5.25%, 1/01/51		1,000		1,082,190
Refunding RB, Marquette Project, 4.75%, 3/01/32		270		272,684
Town of Chesterton RB, StoryPoint Chesterton Project, Series A, 6.38%, 1/15/51 (a)		265		267,306

				2,525,325
Iowa — 0.8%
Iowa Finance Authority Refunding RB, Iowa Fertilizer Co. Project:
5.50%, 12/01/22		750		765,390
5.25%, 12/01/25		310		320,035
Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, Series C, 5.50%, 6/01/42		185		185,004

				1,270,429
Kentucky — 0.6%
Kentucky Economic Development Finance Authority:
Refunding RB, Owensboro Health Project, Series A, 5.25%, 6/01/41		500		559,435
RB, Baptist Healthcare Systems Obligation Project, 5.25%, 8/15/46		415		441,668

				1,001,103
Louisiana — 1.6%
Juban Crossing Economic Development District, Refunding RB, General Infrastructure Projects, Series C, 7.00%, 9/15/44 (a)		475		488,405
Parish of St. John the Baptist RB, Marathon Oil Corp. Projects, Series A, 5.13%, 6/01/37		2,170		2,175,165

				2,663,570
Maryland — 1.6%
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, Villages at 2 Rivers Project, 5.25%, 7/01/44		250		252,668
City of Baltimore, Refunding RB, Baltimore Research Park Project, Series A, 4.00%, 9/01/27		100		102,009
County of Frederick, RB, Jefferson Technology Park Project, Series B, 7.13%, 7/01/43		150		164,790
Maryland Economic Development Corp:


Municipal Bonds	Par (000)		Value
Maryland (continued)
RB, AMT, Green Bonds, Purple Line Light Rail Project, 5.00%, 3/31/51	$	620	$	684,145
Refunding RB, University of Maryland Project, 5.00%, 7/01/39		100		107,785
Refunding RB, Towson University Project, 5.00%, 7/01/37		700		747,257
Maryland Health & Higher Educational Facilities Authority, Refunding RB, Meritus Medical Center Project, 5.00%, 7/01/40		500		547,935

				2,606,589
Massachusetts — 3.8%
Massachusetts Development Finance Agency:
RB, Baystate Medical Center Project, Series N, 5.00%, 7/01/44		500		554,410
RB, Emerson College Project, Series A, 5.00%, 1/01/47		500		552,945
RB, Green Bonds, Boston Medical Center Project, 5.00%, 7/01/44		480		519,773
RB, Seven Hills Foundation & Affiliates Project, 5.00%, 9/01/35		250		265,097
RB, Seven Hills Foundation & Affiliates Project, 5.00%, 9/01/45		335		353,613
RB, University of Massachusetts Boston Student Housing Project, 5.00%, 10/01/48		1,000		1,088,750
Refunding RB, Covanta Energy Project, Series B, 4.88%, 11/01/42 (a)		350		350,511
Refunding RB, Emmanuel College Project, Series A, 5.00%, 10/01/35		750		837,600
Massachusetts Housing Finance Agency, Refunding RB, AMT, Series A:
4.45%, 12/01/42		640		657,242
4.50%, 12/01/47		1,015		1,044,760

				6,224,701
Michigan — 1.3%
Michigan Finance Authority, Refunding RB, AMT, Senior Lien, Detroit Water & Sewerage Department Project, 5.00%, 7/01/44		250		266,837
Michigan Tobacco Settlement Finance Authority, RB, Turbo Project, Series A, 6.88%, 6/01/42		500		518,670
Wayne County Airport Authority, RB:
AMT, Detroit Metropolitan Wayne County Airport Project, 5.00%, 12/01/39		250		275,858
Detroit Metropolitan Wayne County Airport Project, Series B, 5.00%, 12/01/44		500		553,440
Series D, 5.00%, 12/01/40		500		561,635

				2,176,440
Minnesota — 0.8%
City of Brooklyn Park, RB, Athlos Leadership Academy Project, 5.25%, 7/01/30		350		353,871
City of Deephaven, Refunding RB, Eagle Ridge Academy Project, Series 2015A, 5.25%, 7/01/37		605		636,454
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB, Hmong College Prep Academy Project, Series E, 5.50%, 9/01/36		310		316,011

				1,306,336
Missouri — 0.8%
Kansas City IDA, Refunding RB, Kansas City United Methodist Church Project:
5.75%, 11/15/36 (a)		220		216,601
6.00%, 11/15/46 (a)		155		154,519
6.00%, 11/15/51 (a)		100		97,871


Municipal Bonds	Par (000)		Value
Missouri (continued)
Plaza at Noah’s Ark Community Improvement District, Refunding Tax Allocation Bonds, 5.00%, 5/01/35	$	400	$	401,636
St Louis County IDA, Refunding RB, Nazareth Living Center Project, 4.15%, 8/15/21		355		355,014

				1,225,641
Montana — 0.2%
Montana Board of Housing, RB, State Single Family Housing Project, Series A-2, 4.00%, 12/01/45		225		231,043
Nebraska — 0.3%
Douglas County Hospital Authority No. 3, Refunding RB, Health Facilities NE Methodist Hospital Project, 5.00%, 11/01/45		500		553,035
New Jersey — 7.5%
Casino Reinvestment Development Authority, Refunding RB:
5.00%, 11/01/22		850		923,670
5.25%, 11/01/39		250		255,630
5.25%, 11/01/44		560		569,503
Essex County Improvement Authority, RB, AMT, 5.25%, 7/01/45 (a)		250		251,308
New Jersey EDA:
RB, AMT, Continental Airlines, Inc. Project, 4.88%, 9/15/19		650		684,950
RB, AMT, Kapkowski Road Landfill Project, Series 1998 B-MB, 6.50%, 4/01/31		100		115,287
RB, AMT, Private Activity — The Goethals Project, 5.38%, 1/01/43		500		558,135
RB, Leap Academy Charter School Project, Series A, 6.20%, 10/01/44		150		151,375
RB, Provident Group-Kean Properties Project, 5.00%, 7/01/32		200		219,982
RB, Series WW, 5.25%, 6/15/40		1,000		1,042,210
Refunding RB, 5.00%, 6/15/23		200		218,826
Refunding RB, 5.00%, 6/15/24		480		522,658
Refunding RB, Charter, Greater Brunswick Project, Series A, 6.00%, 8/01/49 (a)		250		250,270
New Jersey Health Care Facilities Financing Authority, Refunding RB:
Barnabas Health Obligated Project, 4.25%, 7/01/44		395		413,510
Barnabas Health Obligated Project, 5.00%, 7/01/44		220		242,636
St. Joseph’s Healthcare System Obligated Project, 5.00%, 7/01/41		1,250		1,356,513
New Jersey State Turnpike Authority, RB, Series A, 5.00%, 1/01/43		1,000		1,119,890
New Jersey Transportation Trust Fund Authority, RB:
Federal Highway Reimbursement Notes, Series A-1, 5.00%, 6/15/28		1,700		1,840,097
Transportation Program, Series AA, 5.00%, 6/15/38		325		331,708
Transportation Program, Series AA, 5.25%, 6/15/41		205		214,627
Tobacco Settlement Financing Corp., Refunding RB, Series 1A, 5.00%, 6/01/41		1,070		1,048,600

				12,331,385
New Mexico — 0.2%
New Mexico Hospital Equipment Loan Council, Refunding RB, Gerald Champion Regional Medical Center Project, 5.50%, 7/01/42		325		355,374
New York — 8.6%
Build NYC Resource Corp., Refunding RB, AMT, Pratt Paper, Inc. Project, 5.00%, 1/01/35 (a)		285		306,375


Municipal Bonds	Par (000)		Value
New York (continued)
Chautauqua Tobacco Asset Securitization Corp., Refunding RB, 5.00%, 6/01/48	$	1,000	$	1,026,720
County of Cattaraugus, RB, St. Bonaventure University Project, 5.00%, 5/01/44		195		209,568
Dutchess County Industrial Development Agency, Refunding RB, Bard College Civic Facility Project, Series A-1, 5.00%, 8/01/46		530		446,006
Erie Tobacco Asset Securitization Corp., Refunding RB, Asset Backed, Series A, 5.00%, 6/01/45		495		490,347
Hempstead Town Local Development Corp., RB, Molloy College Project, 5.00%, 7/01/44		500		538,820
MTA Hudson Rail Yards Trust Obligations, RB, Series A, 5.00%, 11/15/56		955		1,055,132
Nassau County Tobacco Settlement Corp, Refunding RB, Asset-Backed, Series A-3, 5.13%, 6/01/46		240		237,029
New York Counties Tobacco Trust IV, Refunding RB, Series A:
6.25%, 6/01/41 (a)		550		571,884
5.00%, 6/01/42		915		895,565
5.00%, 6/01/45		225		216,414
New York Counties Tobacco Trust VI, Refunding RB, 5.00%, 6/01/51		500		519,300
New York Liberty Development Corp.:
Refunding RB, Class 1-3 World Trade Center Project, 5.00%, 11/15/44 (a)		1,000		1,069,210
Refunding RB, Class 2-3 World Trade Center Project, 5.38%, 11/15/40 (a)		150		164,659
Refunding RB, Class 3-3 World Trade Center Project, 7.25%, 11/15/44 (a)		100		119,130
New York State Dormitory Authority, Refunding RB, Orange Regional Medical Center Project, 5.00%, 12/01/35 (a)		215		236,524
New York Transportation Development Corp.:
RB, AMT, Laguardia Airport Term B Redevelopment Project, Series A, 5.00%, 7/01/34		500		548,825
RB, AMT, Laguardia Airport Term B Redevelopment Project, Series A, 5.00%, 7/01/41		1,470		1,596,582
Refunding RB, AMT, American Airlines, Inc. Project, 5.00%, 8/01/20		400		430,996
Refunding RB, AMT, American Airlines, Inc. Project, 5.00%, 8/01/21		200		219,206
Westchester County Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44		347		371,010
Westchester County Local Development Corp., Refunding RB:
Kendal on the Hudson Project, 5.00%, 1/01/34		1,080		1,172,837
Wartburg Senior Housing Project, Series A, 5.00%, 6/01/30 (a)		250		250,570
Westchester Tobacco Asset Securitization, Refunding RB, Sub-Series C:
4.00%, 6/01/42		995		1,003,915
5.13%, 6/01/51		500		507,555

				14,204,179
North Carolina — 1.2%
County of Johnston, RB, Series A, 3.00%, 4/01/37		425		406,853
North Carolina Department of Transportation, RB, AMT, Hot Lanes Project, Series 1- 77, 5.00%, 6/30/54		115		121,709
North Carolina Housing Finance Agency, RB, State Single Family Housing Project, Series 38-B, 3.95%, 1/01/41		900		919,629


Municipal Bonds	Par (000)		Value
North Carolina (continued)
North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Galloway Ridge Project, Series A, 5.25%, 1/01/41	$	250	$	257,062
Town of Mooresville, Special Assessment Bonds, 5.38%, 3/01/40 (a)		250		251,492

				1,956,745
Ohio — 2.5%
Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Series A-2, 5.88%, 6/01/47		1,000		973,860
Butler County Port Authority, RB, Storypoint Fairfield Project, 6.38%, 1/15/43 (a)		435		437,606
County of Cuyahoga, Refunding RB, Metro Health System Project, 5.50%, 2/15/52		885		979,704
County of Franklin, RB, OPRS Communities Obligation Group Project, Series S, 6.13%, 7/01/40		585		647,841
County of Hamilton, RB, Improvement, Life Enriching Community Project, 5.00%, 1/01/46		305		322,968
Port of Greater Cincinnati Development Authority, RB, Colonial Village/Athens Garden Project, 5.00%, 12/01/40		335		339,814
State of Ohio, RB, AMT, Portsmouth Bypass Project, 5.00%, 6/30/53		370		396,688

				4,098,481
Oklahoma — 3.4%
Norman Regional Hospital Authority, Refunding RB, 5.00%, 9/01/37		2,000		2,211,980
Oklahoma Development Finance Authority, RB, Provident Oklahoma Education Resources, Inc. — Cross Village Student Housing Project, 5.00%, 8/01/47		1,500		1,636,455
Tulsa Airports Improvement Trust, Refunding RB, AMT, American Airlines Project, 5.00%, 6/01/35 (c)		615		663,825
Tulsa County Industrial Authority, Refunding RB, Montereau, Inc. Project, 5.25%, 11/15/45		965		1,046,079

				5,558,339
Oregon — 0.5%
Clackamas County School District No. 12 North Clackamas, GO, Series A, 0.00%, 6/15/38 (b)		275		114,485
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, Mirabella at South Waterfront Project, 5.50%, 10/01/49		150		159,631
Polk County Hospital Facility Authority, RB, Dallas Retirement Village Project, Series A, 5.38%, 7/01/45		250		254,585
Yamhill County Hospital Authority, Refunding RB, Friendsview Retirement Community Project, Series S, 5.00%, 11/15/36		300		316,284

				844,985
Pennsylvania — 7.6%
Allentown Neighborhood Improvement Zone Development Authority, RB, City Center Project, 5.00%, 5/01/42 (a)		295		306,033
Lancaster County Hospital Authority, Refunding RB, St. Anne’s Retirement Community Project, 5.00%, 4/01/33		250		255,062
Montgomery County IDA:
First Mortgage RB, NHS III Properties Project, 6.50%, 10/01/37		215		215,241


Municipal Bonds	Par (000)		Value
Pennsylvania (continued)
Refunding RB, Albert Einstein Healthcare Project, 5.25%, 1/15/45	$	500	$	536,300
Refunding RB, Whitemarsh Continuing Care Retirement Community Project, 5.38%, 1/01/50		170		171,671
Moon IDA, Refunding RB, Baptist Homes Society Project, 6.00%, 7/01/45		250		267,855
Northampton County General Purpose Authority, Refunding RB, Lafayette College Project, 4.00%, 11/01/34		3,000		3,174,450
Northampton County IDA, Tax Allocation Bonds, Route 33 Project, 7.00%, 7/01/32		150		173,190
Pennsylvania Economic Development Financing Authority:
RB, AMT, The Pennsylvania Rapid Bridge Replacement Project, 5.00%, 6/30/42		1,625		1,799,882
Refunding RB, AMT, National Gypson Co. Project, 5.50%, 11/01/44		500		535,915
Pennsylvania Higher Educational Facilities Authority, Refunding RB, Widener University Project, 5.00%, 7/15/38		250		271,110
Pennsylvania Housing Finance Agency, RB, State Single Family Housing Project, Series 123B, 4.00%, 10/01/42		2,125		2,169,455
Pennsylvania Turnpike Commission, RB:
Series B, 5.25%, 12/01/44		1,000		1,123,180
Sub-Series A, 5.50%, 12/01/42		660		780,232
Philadelphia Authority for Industrial Development, Refunding RB, First Series 2015, 5.00%, 4/01/45		500		563,165
Philadelphia Hospitals & Higher Education Facilities Authority, RB, Temple University Health System Project, Series A, 5.63%, 7/01/42		130		139,651

				12,482,392
Puerto Rico — 1.6%
Children’s Trust Fund, Refunding RB, Asset-Backed:
5.38%, 5/15/33		35		35,114
5.50%, 5/15/39		630		632,986
5.63%, 5/15/43		1,090		1,090,687
Commonwealth of Puerto Rico:
GO, Refunding, Series A, 8.00%, 7/01/35 (d)(e)		380		230,375
GO, Refunding, Series A, 5.50%, 7/01/39 (d)(e)		145		85,912
GO, Series A, 6.00%, 7/01/38 (d)(e)		160		96,600
Puerto Rico Commonwealth Aqueduct & Sewer Authority, RB, Senior Lien, Series A:
6.00%, 7/01/38		215		174,971
6.00%, 7/01/44		355		287,561

				2,634,206
Rhode Island — 1.8%
Rhode Island Health & Educational Building Corp., Refunding RB, (BAM), Series E, 4.00%, 5/15/33		500		533,190
Tobacco Settlement Financing Corp., Refunding RB:
Series A, 5.00%, 6/01/35		400		433,972
Series A, 5.00%, 6/01/40		100		107,712
Series B, 4.50%, 6/01/45		750		756,442
Series B, 5.00%, 6/01/50		1,040		1,069,401

				2,900,717


Municipal Bonds	Par (000)		Value
South Carolina — 2.3%
South Carolina Jobs EDA, Refunding RB, The Woodlands at Furman Project, 4.00%, 11/15/27	$	185	$	183,907
South Carolina Ports Authority, RB, AMT, 5.25%, 7/01/55		500		560,835
South Carolina State Public Service Authority:
RB, Obligations, Series A, 5.50%, 12/01/54		1,005		1,118,877
Refunding RB, Series E, 5.25%, 12/01/55		1,650		1,844,337

				3,707,956
Tennessee — 0.6%
Chattanooga-Hamilton County Hospital Authority, Refunding RB, 5.00%, 10/01/44		250		265,428
Knox County Health Educational & Housing Facility Board, Refunding RB, Facilities Board-University Health Project, 5.00%, 4/01/36		690		768,218

				1,033,646
Texas — 4.2%
Bexar County Health Facilities Development Corp., Refunding RB, Army Retirement Residence Foundation Project, 5.00%, 7/15/26		250		289,360
Central Texas Regional Mobility Authority, RB, Senior Lien:
6.25%, 1/01/46		175		204,635
Series A, 5.00%, 1/01/45		500		561,975
Central Texas Turnpike System, Refunding RB, Series C:
5.00%, 8/15/37		200		221,424
5.00%, 8/15/42		250		275,445
City of Houston Airport System:
RB, AMT, Series B-1, 5.00%, 7/15/35		100		106,287
Refunding RB, AMT, Series C, 5.00%, 7/15/20		140		150,786
Refunding RB, AMT, United Airlines, Inc. Project, 4.75%, 7/01/24		500		542,430
Refunding RB, AMT, United Airlines, Inc. Project, 5.00%, 7/01/29		500		536,745
City of San Antonio Airport System, RB, AMT, 5.00%, 7/01/45		500		552,320
County of Hays, Special Assessment Bonds, La Cima Import District Project, 7.00%, 9/15/45		250		251,587
Fort Bend County Industrial Development Corp., RB, NRG Energy, Inc. Project, Series B, 4.75%, 11/01/42		465		477,355
Mesquite Health Facility Development Corp., Refunding RB, Christian Care Centers, Inc. Project, 5.13%, 2/15/42		250		258,997
New Hope Cultural Education Facilities Corp.:
RB, Wesleyan Homes, Inc. Project, 5.50%, 1/01/49		250		256,170
Refunding RB, Jubilee Academic Center Project, Series A, 4.00%, 8/15/26 (a)		775		766,212
Newark Higher Education Finance Corp., RB, Christian Schools, Inc. Project, Series A, 5.50%, 8/15/35 (a)		250		252,755
North Texas Tollway Authority, Refunding RB, Series B, 5.00%, 1/01/40		250		278,812
Tarrant County Cultural Education Facilities Finance Corp.:
RB, Buckingham Senior Living Community Project, 5.50%, 11/15/45		350		365,974
Refunding RB, Barton Creek Senior Living Center Project, 4.75%, 11/15/35		250		255,940


Municipal Bonds	Par (000)		Value
Texas (continued)
Refunding RB, Trinity Terrace Project, 5.00%, 10/01/49	$	250	$	263,997

				6,869,206
Utah — 0.7%
Utah Charter School Finance Authority RB:
Early Light Academy Project, 5.13%, 7/15/49 (a)		545		549,360
Spectrum Academy Project, 6.00%, 4/15/45 (a)		500		518,370

				1,067,730
Virginia — 2.0%
Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A:
5.00%, 3/01/26		120		120,586
5.13%, 3/01/31		230		229,653
Cherry Hill Community Development Authority, Special Assessment Bonds, Potomac Shores Project, 5.40%, 3/01/45 (a)		250		260,130
Chesapeake Bay Bridge & Tunnel District, RB, 5.00%, 7/01/51		810		905,118
Fairfax County EDA, RB, Vinson Hall LLC Project, Series A, 5.00%, 12/01/42		400		409,684
Lower Magnolia Green Community Development Authority, Special Assessment Bonds:
5.00%, 3/01/35 (a)		245		250,591
5.00%, 3/01/45 (a)		100		101,501
Tobacco Settlement Financing Corp., RB, Senior, Series B1, 5.00%, 6/01/47		680		665,509
Virginia College Building Authority:
RB, Green Bonds, Marymount University Project, 5.00%, 7/01/45 (a)		250		260,180
Refunding RB, Marymount University Project, Series A, 5.00%, 7/01/45 (a)		100		104,072

				3,307,024
Washington — 0.7%
Greater Wenatchee Regional Events Center Public Facilities District, Refunding RB, Series A, 5.50%, 9/01/42		250		257,390
King County Public Hospital District No. 4, GO, Refunding:
Improvement, Snoqualmie Valley Hospital Project, 7.00%, 12/01/40		200		213,878
Series A, 5.00%, 12/01/30		200		201,920
Port of Seattle RB, AMT, Series C, 5.00%, 4/01/40		250		278,225
Washington State Housing Finance Commission, Refunding RB, Skyline 1st Hill Project, 6.00%, 1/01/45 (a)		210		209,019

				1,160,432
Wisconsin — 2.7%
Public Finance Authority:
RB, American Dream @ Meadowlands Project, 6.25%, 8/01/27 (a)		320		327,085
RB, Delray Beach Radiation Therapy Project, 7.00%, 11/01/46 (a)		155		156,883
RB, Fund for Affordable Housing, North Carolina & Missouri Portfolio, Series A, 5.00%, 12/01/45		340		355,919
RB, Fund for Affordable Housing, North Carolina & Missouri Portfolio, Series A, 5.15%, 12/01/50		210		219,561
RB, Voyager Foundation, Inc. Project, Series A, 5.13%, 10/01/45		150		152,193


Municipal Bonds	Par (000)		Value
Wisconsin (continued)
Refunding RB, AMT, Celanese Project, Series C, 4.30%, 11/01/30	$	100	$	103,795
Refunding RB, AMT, Senior Obligation Group Project, 5.00%, 7/01/42		750		778,365
Refunding RB, Celanese Project, Series D, 4.05%, 11/01/30		100		103,453
Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert Health, Inc. Project, 4.00%, 4/01/39		2,050		2,089,770
Wisconsin Housing & Economic Development Authority, RB, WHPC Madison Pool Project, Series A, 4.55%, 7/01/37		165		170,768

				4,457,792
Total Municipal Bonds — 91.2%				150,143,419


Municipal Bonds Transferred to Tender Option Bond Trusts (f)
Illinois — 1.1%
Illinois State Toll Highway Authority RB:
Series A, 5.00%, 1/01/40		660		741,820
Series C, 5.00%, 1/01/38		1,000		1,120,402

				1,862,222
New York — 4.8%
City of New York Housing Development Corp., RB, Series D-1-B, 4.25%, 11/01/45		1,000		1,032,445
Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56		1,500		1,741,841
New York State Dormitory Authority Personal Income Tax Revenue, Refunding RB, Series E, 5.00%, 3/15/36		3,330		3,906,423
Port Authority of New York & New Jersey Refunding, RB, 194th Series, 5.25%, 10/15/55		1,000		1,156,014

				7,836,723


Municipal Bonds Transferred to Tender Option Bond Trusts	Par (000)		Value
North Carolina — 0.7%
North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55		$ 1,000		$1,139,710
Washington — 0.9%
Snohomish County Public Utilities District No. 1, RB, 5.00%, 12/01/45		1,340		1,511,009
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 7.5%				12,349,664
Total Long-Term Investments (Cost — $157,715,918) — 98.7%				162,493,083


Short-Term Securities	Shares
Money Market Fund — 3.7%
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 0.66% (g)		6,191,725		6,191,725

Municipal Bonds	Par (000)
New York — 0.6%
Town of Oyster Bay, GO:
BAN, Series A, 3.50%, 6/01/18		$675		683,964
BAN, Series B, 3.50%, 2/02/18		115		116,197
BAN, Series C, 2.50%, 6/01/18		85		85,383
RAN, 2.50%, 2/23/18		60		60,308
Total Municipal Bonds — 0.6%				945,852
Total Short-Term Securities (Cost — $7,132,377) — 4.3%				7,137,577
*Total Investments (Cost — $164,848,295) — 103.0%**				169,630,660
Other Assets Less Liabilities — 3.6%				5,943,068
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (6.6)%				(10,856,184	)

Net Assets — 100.0%				$164,717,544

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, TOB Trust Certificates of $6,625,000 are categorized as Level 2 within the disclosure hierarchy.


Asset-Backed Securities	Par (000)		Value
Bsprt Issuer Ltd., Series 2017-FL1, Class A, 2.43%, 6/15/27 (a)(b)(c)	$	1,740	$	1,742,175
Invitation Homes Trust, Series 2014-SFR3, Class A, 2.41%, 12/17/31 (a)(b)		114		114,172
Progress Residential Trust, Series 2015-SFR2, Class A, 2.74%, 6/12/32 (a)		1,381		1,387,730
SMB Private Education Loan Trust, Series 2015-C, Class A3, 3.11%, 8/16/32 (a)(b)		1,000		1,048,988
Tricon American Homes Trust, Series 2015-SFR1, Class A, 2.42%, 5/17/32 (a)(b)		1,068		1,073,708
Total Asset-Backed Securities — 0.9%				5,366,773

Non-Agency Mortgage-Backed Securities
Commercial Mortgage-Backed Securities — 3.7%
Bancorp Commercial Mortgage Trust, Series 2016-CRE1, Class A, 2.59%, 11/15/33 (a)(b)(c)		640		641,324
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4, 5.69%, 6/11/50 (b)		3,050		3,061,888
BHMS Mortgage Trust, Series 2014-ATLS, Class AFL, 2.49%, 7/05/33 (a)(b)		2,600		2,599,998
CCRESG Commercial Mortgage Trust:
Series 2016-HEAT, Class A, 3.36%, 4/10/29 (a)		1,750		1,772,385
Series 2016-HEAT, Class D, 5.67%, 4/10/29 (a)(b)		1,330		1,350,961
Chicago Skyscraper Trust, Series 2017-SKY, Class D, 3.66%, 2/15/30 (a)(b)		2,190		2,217,412
Credit Suisse Mortgage Capital Certificates, Series 2016-MFF, Class A, 2.76%, 11/15/33 (a)(b)		570		571,777
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.50%, 12/15/34 (a)(b)		3,600		3,652,547
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2017-JPS, Class D, 4.80%, 3/15/50 (a)(b)		1,860		1,809,531
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.86%, 7/15/36 (a)(b)		700		704,144
LMREC, Inc., Series 2016-CRE2, Class A, 2.71%, 11/24/31 (a)(b)		620		624,650
Morgan Stanley Capital I Trust, Series 2017-PRME, Class D, 4.56%, 2/15/34 (a)(b)		610		611,364
Olympic Tower Mortgage Trust, Series 2017-OT, Class D, 4.08%, 5/10/39 (a)(b)		1,160		1,160,438
RAIT Trust, Series 2017-FL7, Class A, 2.10%, 6/15/37 (a)(b)		1,630		1,630,000

				22,408,419
Interest Only Commercial Mortgage-Backed Securities — 1.2%
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA, 1.06%, 9/15/48 (b)		1,765		98,691
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.92%, 5/10/58 (b)		5,506		625,247


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust, Series 2015-CR24, Class XA, 1.01%, 8/10/48 (b)	$	7,153	$	380,759
Core Industrial Trust:
Series 2015-CALW, Class XA, 0.94%, 2/10/34 (a)(b)		22,150		735,712
Series 2015-TEXW, Class XA, 0.90%, 2/10/34 (a)(b)		18,600		590,236
Series 2015-WEST, Class XA, 1.08%, 2/10/37 (a)(b)		9,300		558,631
Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class X1, 0.70%, 9/15/37 (a)(b)		26,000		963,560
DBJPM Mortgage Trust, Series 2016-C1, Class XA, 1.65%, 5/10/49 (b)		8,350		825,535
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 2/25/22 (a)(b)		136,361		507,098
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.17%, 4/10/47 (b)		871		45,792
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class XA, 1.50%, 2/15/48 (b)		23,740		1,587,982
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C18, Class XA, 1.09%, 10/15/47 (b)		1,355		45,378
Series 2016-C29, Class XA, 1.81%, 5/15/49 (b)		3,370		355,340

				7,319,961
Total Non-Agency Mortgage-Backed Securities — 4.9%				29,728,380

U.S. Government Sponsored Agency Securities
Agency Obligations — 0.4%
Fannie Mae, Series 2011-8, Class ZA, 4.00%, 2/25/41		2,584		2,715,047
Collateralized Mortgage Obligations — 0.9%
Freddie Mac, Series 4253, Class DZ, 4.75%, 9/15/43		1,239		1,344,574
Ginnie Mae:
Series 2014-107, Class WX, 6.80%, 7/20/39 (b)		1,325		1,529,060
Series 2014-12, Class ZA, 3.00%, 1/20/44		1,329		1,281,972
Series 2014-62, Class Z, 3.00%, 4/20/44		1,100		1,079,102

				5,234,708


U.S. Government Sponsored Agency Securities	Par (000)		Value
Commercial Mortgage-Backed Securities — 2.0%
Fannie Mae, Series, 2015-M1, Class A2, 2.53%, 9/25/24	$	12,000	$	11,904,320
Interest Only Collateralized Mortgage Obligations — 0.3%
Fannie Mae, Series 2015-66, Class AS, 5.03%, 9/25/45 (b)		11,537		1,839,088
Interest Only Commercial Mortgage-Backed Securities — 1.2%
Fannie Mae:
Series 2012-M9, Class X1, 4.14%, 12/25/17 (b)		2,098		17,747
Series 2013-10, Class PI, 3.00%, 2/25/43 (b)		3,214		343,340
Freddie Mac:
Series K041, Class X1, 0.69%, 10/25/24 (b)		13,598		469,436
Series K042, Class X1, 1.19%, 12/25/24 (b)		4,053		266,052
Series K718, Class X1, 0.77%, 1/25/22 (b)		2,204		55,547
Series KC01, Class X1, 0.85%, 12/25/22 (b)		7,481		190,048
Ginnie Mae:
Series 2016-113, Class IO, 1.19%, 2/16/58 (b)		7,127		630,808
Series 2016-137, Class IO, 0.95%, 10/16/56 (b)		5,933		453,987
Series 2016-140, Class IO, 0.94%, 5/16/58 (b)		5,840		438,053
Series 2016-143, Class IO, 0.97%, 10/16/56 (b)		5,323		421,352
Series 2016-152, Class IO, 0.98%, 8/15/58 (b)		17,313		1,412,090
Series 2017-35, Class IO, 0.71%, 5/16/59 (b)		2,619		184,516
Series 2017-53, Class IO, 0.69%, 11/16/56 (b)		17,749		1,188,834
Series 2017-54, Class IO, 0.68%, 12/16/58 (b)		7,983		562,086
Series 2017-61, Class IO, 0.77%, 5/16/59 (b)		4,313		369,837

				7,003,733
Mortgage-Backed Securities — 137.2%
Fannie Mae Mortgage-Backed Securities:
2.00%, 7/01/32 (d)		1,500		1,467,715
2.50%, 4/01/30-7/01/32 (d)		36,347		36,568,720
3.00%, 1/01/27-7/01/47 (d)		124,567		125,864,776
3.50%, 9/01/28-7/01/47 (d)		110,486		114,100,800
4.00%, 2/01/29-7/01/47 (d)		78,179		82,772,708
4.50%, 5/01/24-7/01/47 (d)		28,028		30,198,198
5.00%, 2/01/35-7/01/47 (d)		11,510		12,603,815
5.50%, 5/01/34-3/01/40		6,304		7,057,060
6.00%, 2/01/38-7/01/41		6,016		6,828,868
6.50%, 5/01/36-1/01/38		72		79,385
Freddie Mac Mortgage-Backed Securities:
2.50%, 2/01/30-7/01/32 (d)		11,864		11,937,584
3.00%, 10/01/27-7/01/47 (d)		78,830		79,055,970
3.50%, 10/01/25-7/01/47 (d)		50,376		51,909,958
4.00%, 8/01/40-7/01/47 (d)		36,698		38,653,235
4.50%, 4/01/18-7/01/47 (d)		14,144		15,153,862
5.00%, 5/01/28-11/01/41		2,669		2,918,969
5.50%, 1/01/28-6/01/41		949		1,055,098
6.00%, 8/01/28-7/01/47 (d)		1,297		1,461,393
Ginnie Mae Mortgage-Backed Securities:
2.50%, 7/15/47 (d)		1,960		1,911,840
3.00%, 7/15/47 (d)		44,431		44,878,780
3.50%, 1/15/42-7/15/47 (d)		84,462		87,589,417
4.00%, 9/20/40-7/15/47 (d)		53,132		56,061,176


U.S. Government Sponsored Agency Securities	Par (000)		Value
Mortgage-Backed Securities (continued)
4.50%, 9/20/39-7/20/47 (d)	$	13,430	$	14,433,371
5.00%, 7/15/33-7/20/44		2,810		3,089,323
5.50%, 7/15/38-12/20/41		1,434		1,589,055

				829,241,076
Total U.S. Government Sponsored Agency Securities — 142.0%				857,937,972
Total Long-Term Investments (Cost — $895,072,165) — 147.8%				893,033,125


Short-Term Securities	Shares
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.76% (e)		21,818,472		21,818,472
Total Short-Term Securities (Cost — $21,818,472) — 3.6%				21,818,472


Options Purchased
(Cost — $85,252) — 0.0%				94,125
Total Investments Before TBA Sale Commitments *(Cost — $916,975,889) — 151.4%**				914,945,722


TBA Sale Commitments (d)	Par (000)
Mortgage-Backed Securities — (51.6)%
Fannie Mae Mortgage-Backed Securities:
2.50%, 7/01/32	$	4,441		(4,458,098	)
3.00%, 7/01/32-7/01/47		71,953		(72,678,479	)
3.50%, 7/01/32-7/01/47		75,970		(53,192,311	)
4.00%, 7/01/47		37,334		(39,227,520	)
4.50%, 7/01/47		11,842		(12,695,130	)
Freddie Mac Mortgage-Backed Securities:
3.00%, 7/01/47		33,363		(33,290,481	)
3.50%, 7/01/47		9,726		(9,991,685	)
4.00%, 7/01/47		13,512		(14,210,453	)
4.50%, 7/01/47		5,380		(5,763,392	)
5.00%, 7/01/47		1,450		(1,574,961	)
6.00%, 7/01/47		1,200		(1,347,946	)
Ginnie Mae Mortgage-Backed Securities:
3.00%, 7/15/47		430		(434,334	)
3.50%, 7/15/47		28,628		(29,652,565	)
4.00%, 7/15/47		29,366		(30,879,129	)
4.50%, 7/15/47		2,181		(2,317,994	)
Total TBA Sale Commitments (Proceeds — $312,978,845) — (51.6)%				(311,714,478	)
Total Investments Net of TBA Sale Commitments — 99.8%				603,231,244
Other Assets Less Liabilities — 0.2%				1,244,270

Net Assets — 100.0%			$	604,475,514

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation technologies are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1				Level 2				Level 3			Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities			—			$	3,624,598			$	1,742,175		$	5,366,773
Non-Agency Mortgage-Backed Securities			—				29,087,056				641,324			29,728,380
U.S. Government Sponsored Agency Securities			—				857,937,972				—			857,937,972
Short-Term Securities		$	21,818,472				—				—			21,818,472
Options Purchased:
Interest rate contracts			94,125				—				—			94,125
Liabilities:
Investments:
TBA Sale Commitments			—				(311,714,478	)			—			(311,714,478	)

Total		$	21,912,597			$	578,935,148			$	2,383,499		$	603,231,244


Derivative Financial Instruments¹
Assets:
Interest rate contracts		$	22,427			$	300,257				—		$	322,684
Liabilities:
Interest rate contracts			(515,565	)			—				—			(515,565	)
Total		$	(493,138	)		$	300,257				—		$	(192,881	)


¹ Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:


Asset-Backed Securities	Par (000)		Value
AmeriCredit Automobile Receivables Trust:
Series 2013-4, Class C, 2.72%, 9/09/19	$	161	$	161,815
Series 2013-5, Class C, 2.29%, 11/08/19		494		495,435
Series 2016-3, Class A3, 1.46%, 5/10/21		1,790		1,784,815
Arbor Realty Commercial Real Estate Notes Ltd., Series 2016-FL1A, Class A, 2.86%, 9/15/26 (a)(b)(c)		350		350,000
Atrium X, Series 10A, Class AR, 2.04%, 7/16/25 (a)(b)		3,000		3,003,400
B2R Mortgage Trust, Series 2015-1, Class A1, 2.52%, 5/15/48 (a)		693		687,654
BlueMountain CLO Ltd., Series 2013-4A, Class AR, 2.17%, 4/15/25 (a)(b)		2,500		2,500,732
Capital One Multi-Asset Execution Trust, Series 2016-A4, Class A4, 1.33%, 6/15/22		1,300		1,288,961
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class AR, 2.61%, 1/20/29 (a)(b)		1,000		1,010,863
CarMax Auto Owner Trust:
Series 2015-3, Class A4, 1.98%, 2/16/21		2,550		2,558,240
Series 2016-2, Class A3, 1.52%, 2/16/21		420		419,146
Chase Issuance Trust:
Series 2012-A4, Class A4, 1.58%, 8/16/21		2,379		2,371,689
Series 2015-A4, Class A4, 1.84%, 4/15/22		1,180		1,179,861
Series 2016-A2, Class A, 1.37%, 6/15/21		3,500		3,477,440
Series 2016-A4, Class A4, 1.49%, 7/15/22		4,305		4,254,648
Chesapeake Funding II LLC, Series 2016-2A, Class A1, 1.88%, 6/15/28 (a)		1,501		1,499,605
CIFC Funding Ltd., Series 2014-2A, Class A1LR, 2.39%, 5/24/26 (a)(b)(c)		4,000		4,000,160
CNH Equipment Trust:
Series 2016-B, Class A3, 1.63%, 8/15/21		770		768,592
Series 2016-C, Class A3, 1.44%, 12/15/21		1,340		1,330,478
Credit Acceptance Auto Loan Trust:
Series 2016-2A, Class A, 2.42%, 11/15/23 (a)		3,310		3,321,743
Series 2016-3A, Class A, 2.15%, 4/15/24 (a)		2,200		2,195,420
Discover Card Execution Note Trust:
Series 2015-A2, Class A, 1.90%, 10/17/22		1,000		1,001,244
Series 2016-A4, Class A4, 1.39%, 3/15/22		3,000		2,974,812
Dryden XXIV Senior Loan Fund, Series 2012-24RA, Class AR, 2.47%, 11/15/23 (a)(b)		1,751		1,752,875
Enterprise Fleet Financing LLC:
Series 2016-2 Class A2, 1.74%, 2/22/22 (a)		1,104		1,102,445
Series 2016-2, Class A3, 2.04%, 2/22/22 (a)		530		527,779
Series 2017-1, Class A2, 2.13%, 7/20/22 (a)		260		260,432
Series 2017-1, Class A3, 2.60%, 7/20/22 (a)		210		210,903
Ford Credit Auto Owner Trust, Series 2016-C, Class A4, 1.40%, 2/15/22		680		672,033
Greystone Commercial Real Estate Notes Ltd., Series 2017-FL1A, Class A, 2.54%, 3/15/27 (a)(b)(c)		610		606,106


Asset-Backed Securities	Par (000)		Value
Honda Auto Receivables Owner Trust, Series 2016-4, Class A4, 1.36%, 1/18/23	$	640	$	633,487
Mercedes-Benz Receivables Trust, Series 2016-1, Class A4, 1.46%, 12/15/22		2,000		1,977,613
Nissan Master Owner Trust Receivables, Series 2016-A, Class A2, 1.54%, 6/15/21		1,090		1,083,931
OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.43%, 6/18/24 (a)		417		417,346
PFS Financing Corp.:
Series 2015-AA, Class A, 1.78%, 4/15/20 (a)(b)		1,600		1,599,676
Series 2016-BA, Class A, 1.87%, 10/15/21 (a)		190		189,123
Santander Drive Auto Receivables Trust, Series 2017-1, Class A3, 1.77%, 9/15/20		140		140,038
SLM Private Credit Student Loan Trust, Series 2003-B, Class A2, 1.65%, 3/15/22 (b)		43		43,075
SLM Private Education Loan Trust:
Series 2011-A, Class A3, 3.66%, 1/15/43 (a)(b)		2,000		2,076,707
Series 2012-C, Class A2, 3.31%, 10/15/46 (a)		549		554,910
Series 2013-A, Class A2B, 2.21%, 5/17/27 (a)(b)		1,984		1,998,468
SLM Student Loan Trust, Series 2013-4, Class A, 1.77%, 6/25/43 (b)		409		408,355
SMB Private Education Loan Trust:
Series 2015-A, Class A1, 1.76%, 7/17/23 (a)(b)		265		265,638
Series 2016-B, Class A2A, 2.43%, 2/17/32 (a)		768		761,348
SoFi Professional Loan Program LLC:
Series 2015-A, Class A1, 2.19%, 3/25/33 (a)(b)		1,692		1,718,093
Series 2015-B, Class A2, 2.51%, 9/27/32 (a)		1,439		1,440,965
Series 2015-D, Class A2, 2.72%, 10/27/36 (a)		646		652,060
Series 2016-A, Class A2, 2.76%, 12/26/36 (a)		2,123		2,143,971
Series 2016-C, Class A2B, 2.36%, 12/27/32 (a)		150		148,857
Series 2016-D, Class A2A, 1.53%, 4/25/33 (a)		263		263,087
Series 2016-D, Class A2B, 2.34%, 4/25/33 (a)		130		128,842
Series 2016-E, Class A2B, 2.49%, 1/25/36 (a)		460		459,054
Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, 11/15/24 (a)		955		963,638
Synchrony Credit Card Master Note Trust:
Series 2015-1, Class A, 2.37%, 3/15/23		1,185		1,196,795
Series 2016-3, Class A, 1.58%, 9/15/22		2,350		2,333,897
Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.25%, 4/25/56 (a)(b)		621		619,261
Wheels SPV 2 LLC, Series 2016-1A, Class A2, 1.59%, 5/20/25 (a)		201		200,572
World Financial Network Credit Card Master Trust:
Series 2012-A, Class A, 3.14%, 1/17/23		2,065		2,110,254
Series 2012-D, Class B, 3.34%, 4/17/23		330		335,620
Total Asset-Backed Securities — 40.0%				74,634,007


Capital Trusts	Par (000)		Value
Aerospace & Defense — 0.7%
United Technologies Corp., 1.78%, 5/04/18 (d)	$	1,325	$	1,326,700
Multi-Utilities — 0.1%
Dominion Energy, Inc., 2.58%, 7/01/20		110		110,568
Total Capital Trusts — 0.8%				1,437,268

Corporate Bonds
Aerospace & Defense — 0.2%
Lockheed Martin Corp., 2.50%, 11/23/20		400		405,491
Air Freight & Logistics — 0.0%
Federal Express Corp. Pass-Through Trust, Series 2012, 2.63%, 1/15/18 (a)		20		19,804
Airlines — 0.4%
Delta Air Lines, Inc.:
2.88%, 3/13/20		133		134,739
3.63%, 3/15/22		225		230,982
Virgin Australia Trust, Series 2013-1A, 5.00%, 4/23/25 (a)		322		335,451

				701,172
Automobiles — 1.5%
Daimler Finance North America LLC, 1.50%, 7/05/19 (a)(e)		1,750		1,733,337
Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (a)(e)		1,115		1,113,893

				2,847,230
Banks — 14.3%
ANZ New Zealand International Ltd., 2.88%, 1/25/22 (a)		615		620,297
Australia & New Zealand Banking Group Ltd., 2.55%, 11/23/21		450		450,481
Bank of America Corp.:
3.12%, 1/20/23 (b)		675		682,412
2.88%, 4/24/23 (b)		1,105		1,107,042
Bank of Montreal, 2.10%, 12/12/19		325		325,694
Barclays PLC:
3.68%, 1/10/23		785		805,456
4.38%, 9/11/24		500		506,005
BB&T Corp., 2.45%, 1/15/20 (e)		1,500		1,516,757
BNP Paribas SA, 3.80%, 1/10/24 (a)(e)		785		817,516
Citibank NA, 1.73%, 6/12/20 (b)		250		250,637
Citigroup, Inc.:
2.45%, 1/10/20		220		221,323
2.90%, 12/08/21		515		520,219
2.75%, 4/25/22		330		329,478
Citizens Bank N.A.:
2.30%, 12/03/18		335		336,207
2.45%, 12/04/19 (e)		1,250		1,260,657
2.55%, 5/13/21		250		250,138
Commonwealth Bank of Australia, 2.25%, 3/10/20 (a)		600		601,293
Fifth Third Bank:
2.38%, 4/25/19 (e)		1,250		1,258,325
1.63%, 9/27/19		455		450,561
HSBC Holdings PLC, 2.95%, 5/25/21 (e)		1,925		1,949,480
Huntington Bancshares, Inc., 2.30%, 1/14/22		500		492,490
Huntington National Bank, 2.88%, 8/20/20		665		676,315
ING Bank NV, 5.80%, 9/25/23 (a)		485		547,658
ING Groep NV, 3.15%, 3/29/22		210		214,000


Corporate Bonds	Par (000)		Value
Banks (continued)
JPMorgan Chase & Co.:
2.75%, 6/23/20 (e)	$	1,000	$	1,016,709
2.55%, 3/01/21 (e)		700		703,439
2.06%, 4/25/23 (b)		930		930,614
KeyBank N.A., 2.50%, 11/22/21 (e)		1,000		1,003,191
Lloyds Bank PLC, 2.70%, 8/17/20		550		557,838
Lloyds Banking Group PLC:
3.00%, 1/11/22		420		424,148
4.50%, 11/04/24		475		494,644
Mitsubishi UFJ Financial Group, Inc., 3.00%, 2/22/22		401		406,956
Mizuho Financial Group, Inc., 2.95%, 2/28/22		465		469,004
Royal Bank of Canada, 2.75%, 2/01/22		410		416,959
Santander Holdings USA, Inc., 3.70%, 3/28/22 (a)		210		212,714
Sumitomo Mitsui Financial Group, Inc.:
2.44%, 10/19/21		375		373,427
2.85%, 1/11/22		605		611,683
Swedbank AB, 2.65%, 3/10/21 (a)		500		505,921
U.S. Bancorp, 2.63%, 1/24/22		500		505,186
Wells Fargo & Co., 3.07%, 1/24/23 (e)		1,405		1,424,683
Westpac Banking Corp., 1.60%, 8/19/19 (e)		530		525,883

				26,773,440
Beverages — 0.9%
Anheuser-Busch InBev Finance, Inc.:
1.90%, 2/01/19 (e)		1,045		1,047,338
2.65%, 2/01/21 (e)		645		653,648

				1,700,986
Biotechnology — 2.8%
AbbVie, Inc., 2.50%, 5/14/20 (e)		1,120		1,132,984
Amgen, Inc.:
2.20%, 5/22/19 (e)		2,225		2,238,608
2.20%, 5/11/20		650		653,284
Gilead Sciences, Inc.:
2.35%, 2/01/20		405		408,866
2.55%, 9/01/20		545		552,855
1.95%, 3/01/22		320		313,609

				5,300,206
Capital Markets — 6.3%
Bank of New York Mellon Corp., 2.15%, 2/24/20 (e)		1,250		1,257,209
Credit Suisse AG, 2.30%, 5/28/19 (e)		1,270		1,278,355
Credit Suisse Group AG, 3.57%, 1/09/23 (a)(e)		625		640,460
Goldman Sachs Group, Inc.:
2.60%, 12/27/20		480		482,556
3.00%, 4/26/22 (e)		1,900		1,914,598
2.91%, 6/05/23 (b)		500		499,008
Moody’s Corp., 2.75%, 7/15/19 (e)		690		699,529
Morgan Stanley:
2.38%, 7/23/19 (e)		3,100		3,121,471
2.65%, 1/27/20		650		656,854
2.63%, 11/17/21		500		499,263
UBS Group Funding Switzerland AG:
2.65%, 2/01/22 (a)		200		199,575
3.49%, 5/23/23 (a)		415		424,588

				11,673,466
Chemicals — 0.6%
Air Liquide Finance SA, 1.75%, 9/27/21 (a)		200		194,704


Corporate Bonds	Par (000)		Value
Chemicals (continued)
E.I. du Pont de Nemours & Co., 2.20%, 5/01/20	$	245	$	246,330
Lubrizol Corp., 8.88%, 2/01/19		423		467,014
Sherwin-Williams Co., 2.25%, 5/15/20		205		205,459

				1,113,507
Commercial Services & Supplies — 0.7%
Aviation Capital Group Corp.:
4.63%, 1/31/18 (a)(e)		950		964,698
2.88%, 1/20/22 (a)		295		293,957

				1,258,655
Consumer Finance — 4.9%
Capital One Financial Corp.:
2.45%, 4/24/19 (e)		1,154		1,160,172
2.50%, 5/12/20		475		477,058
Capital One N.A., 2.25%, 9/13/21		500		490,736
ERAC USA Finance LLC, 2.60%, 12/01/21 (a)		350		348,619
Ford Motor Credit Co. LLC:
2.94%, 1/08/19		400		405,141
2.68%, 1/09/20		510		513,426
8.13%, 1/15/20		700		794,803
2.43%, 6/12/20		200		199,936
General Motors Financial Co., Inc.:
3.10%, 1/15/19		470		476,422
3.15%, 1/15/20		610		620,460
3.15%, 6/30/22		1,120		1,121,734
Nissan Motor Acceptance Corp.:
2.00%, 3/08/19 (a)		340		340,260
2.25%, 1/13/20 (a)		795		796,948
Synchrony Financial:
1.88%, 8/15/17 (e)		405		405,089
3.00%, 8/15/19		900		912,688

				9,063,492
Diversified Financial Services — 3.3%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust:
4.63%, 10/30/20		505		536,699
3.50%, 5/26/22		170		174,461
BAT International Finance PLC, 2.75%, 6/15/20 (a)(e)		800		810,450
BP Capital Markets PLC:
1.68%, 5/03/19 (e)		570		568,082
3.22%, 11/28/23		465		472,239
CK Hutchison International 16 Ltd., 1.88%, 10/03/21 (a)		295		286,237
Deutsche Telekom International Finance BV, 2.82%, 1/19/22 (a)		400		402,292
Enel Finance International NV, 2.88%, 5/25/22 (a)		200		200,277
Hyundai Capital America:
2.40%, 10/30/18 (a)		140		140,293
2.55%, 4/03/20 (a)		215		214,462
Voya Financial, Inc., 2.90%, 2/15/18 (e)		2,287		2,302,469

				6,107,961
Diversified Telecommunication Services — 1.7%
AT&T Inc., 3.20%, 3/01/22		310		313,779
Verizon Communications, Inc.:
4.50%, 9/15/20 (e)		555		592,874
2.95%, 3/15/22 (a)(e)		1,815		1,827,611
2.45%, 11/01/22 (e)		400		392,086

				3,126,350


Corporate Bonds	Par (000)		Value
Electric Utilities — 1.0%
Emera U.S. Finance LP, 2.15%, 6/15/19	$	235	$	234,781
FirstEnergy Corp., 2.85%, 7/15/22		159		158,849
Great Plains Energy, Inc., 2.50%, 3/09/20		160		161,493
Ohio Power Co., 6.05%, 5/01/18 (e)		1,275		1,319,704

				1,874,827
Electronic Equipment, Instruments & Components — 0.1%
Amphenol Corp., 2.20%, 4/01/20		290		290,764
Energy Equipment & Services — 0.3%
Schlumberger Holdings Corp., 2.35%, 12/21/18 (a)		475		477,819
Equity Real Estate Investment Trusts (REITs) — 1.5%
HCP, Inc., 3.75%, 2/01/19 (e)		800		816,797
Prologis LP, 4.00%, 1/15/18 (e)		1,320		1,328,231
Ventas Realty LP/Ventas Capital Corp., 2.00%, 2/15/18		657		657,893

				2,802,921
Food & Staples Retailing — 1.0%
CVS Health Corp.:
2.25%, 8/12/19		131		131,791
2.80%, 7/20/20		155		157,805
2.13%, 6/01/21 (e)		575		567,990
Walgreens Boots Alliance, Inc., 2.70%, 11/18/19		950		964,924

				1,822,510
Food Products — 0.6%
Wm. Wrigley Jr. Co.:
2.90%, 10/21/19 (a)(e)		595		604,931
3.38%, 10/21/20 (a)(e)		595		614,173

				1,219,104
Health Care Equipment & Supplies — 1.4%
Abbott Laboratories:
2.00%, 9/15/18		615		616,203
2.90%, 11/30/21		380		384,245
Becton Dickinson and Co., 2.40%, 6/05/20		280		280,452
Medtronic, Inc., 2.50%, 3/15/20 (e)		1,000		1,014,491
Stryker Corp., 2.00%, 3/08/19		315		315,869

				2,611,260
Hotels, Restaurants & Leisure — 0.3%
Carnival Corp., 3.95%, 10/15/20		600		635,129
Industrial Conglomerates — 0.1%
Roper Technologies, Inc., 2.80%, 12/15/21		130		131,107
Insurance — 3.5%
AIA Group Ltd., 2.25%, 3/11/19 (a)(e)		500		499,694
American International Group, Inc.:
2.30%, 7/16/19 (e)		655		658,475
3.30%, 3/01/21 (e)		930		956,814
Aon PLC, 2.80%, 3/15/21		560		562,379
AXIS Specialty Finance PLC, 2.65%, 4/01/19 (e)		736		740,252
Berkshire Hathaway Finance Corp., 1.70%, 3/15/19		120		120,285
Marsh & McLennan Cos., Inc., 2.35%, 9/10/19 (e)		1,250		1,258,186
MassMutual Global Funding II, 2.00%, 4/15/21 (a)(e)		500		492,568
New York Life Global Funding:
1.95%, 2/11/20 (a)(e)		705		703,516


Corporate Bonds	Par (000)		Value
Insurance (continued)
2.00%, 4/13/21 (a)	$	230	$	227,963
Prudential Financial, Inc., 6.00%, 12/01/17 (e)		326		331,689

				6,551,821
Internet Software & Services — 0.3%
Baidu, Inc., 2.88%, 7/06/22		300		298,464
eBay, Inc., 2.15%, 6/05/20		290		290,007

				588,471
Media — 2.5%
Charter Communications Operating LLC/Charter
Communications Operating Capital, 4.46%, 7/23/22		805		857,700
Comcast Corp., 5.70%, 7/01/19 (e)		25		26,905
Cox Communications, Inc., 6.25%, 6/01/18 (a)(e)		1,000		1,036,864
Interpublic Group of Cos., Inc., 2.25%, 11/15/17 (e)		942		943,264
NBCUniversal Enterprise, Inc., 1.70%, 4/01/21 (a)(b)		300		300,755
Sky PLC:
6.10%, 2/15/18 (a)		278		285,196
2.63%, 9/16/19 (a)(e)		1,255		1,263,490

				4,714,174
Metals & Mining — 0.1%
Newmont Mining Corp., 3.50%, 3/15/22		190		196,481
Oil, Gas & Consumable Fuels — 1.9%
Anadarko Petroleum Corp., 4.85%, 3/15/21		765		816,515
Apache Corp.:
6.90%, 9/15/18		58		61,290
3.25%, 4/15/22		131		132,910
ConocoPhillips Co., 2.20%, 5/15/20		360		361,178
Enbridge, Inc., 2.90%, 7/15/22		275		274,450
Energy Transfer Partners LP, 4.15%, 10/01/20		190		197,335
Enterprise Products Operating LLC, 2.55%, 10/15/19		285		287,461
Kinder Morgan Energy Partners LP:
4.15%, 3/01/22		175		182,326
3.95%, 9/01/22		5		5,166
Pioneer Natural Resources Co.:
7.50%, 1/15/20		45		50,645
3.45%, 1/15/21		385		395,554
Sabine Pass Liquefaction LLC, 5.63%, 2/01/21		340		370,149
TransCanada PipeLines Ltd., 1.88%, 1/12/18		365		365,489

				3,500,468
Pharmaceuticals — 2.1%
Allergan Funding SCS, 3.00%, 3/12/20 (e)		2,000		2,042,438
Mylan NV, 2.50%, 6/07/19		125		125,999
Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 (e)		955		943,864
Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 7/19/19		760		753,200

				3,865,501
Road & Rail — 3.0%
Penske Truck Leasing Co. LP/PTL Finance Corp.:
3.38%, 3/15/18 (a)(e)		2,006		2,029,368
2.50%, 6/15/19 (a)		320		321,627
3.05%, 1/09/20 (a)(e)		1,545		1,575,291
3.38%, 2/01/22 (a)		440		450,729
Ryder System, Inc.:
2.45%, 11/15/18		125		125,785
2.88%, 9/01/20 (e)		1,000		1,011,120

				5,513,920


Corporate Bonds	Par (000)		Value
Semiconductors & Semiconductor Equipment — 1.1%
Broadcom Corp./Broadcom Cayman Finance Ltd.:
2.38%, 1/15/20 (a)	$	870	$	871,264
3.00%, 1/15/22 (a)		210		211,877
3.63%, 1/15/24 (a)		230		235,290
Lam Research Corp., 2.75%, 3/15/20		138		139,757
NVIDIA Corp., 2.20%, 9/16/21		215		212,603
QUALCOMM, Inc., 2.10%, 5/20/20		360		361,646

				2,032,437
Software — 0.4%
CA, Inc., 3.60%, 8/15/22		265		267,974
Oracle Corp., 3.88%, 7/15/20		500		528,395

				796,369
Technology Hardware, Storage & Peripherals — 0.9%
Hewlett Packard Enterprise Co., 2.85%, 10/05/18 (e)		1,668		1,682,271
Tobacco — 2.7%
Altria Group, Inc.:
2.63%, 1/14/20 (e)		1,000		1,015,502
4.75%, 5/05/21 (e)		990		1,079,801
Philip Morris International, Inc.:
1.38%, 2/25/19		135		134,116
4.50%, 3/26/20		325		346,672
1.88%, 2/25/21		160		158,030
Reynolds American, Inc., 3.25%, 6/12/20 (e)		2,203		2,268,072

				5,002,193
Trading Companies & Distributors — 2.5%
Air Lease Corp.:
2.13%, 1/15/18 (e)		940		941,666
2.63%, 9/04/18		110		110,817
3.38%, 1/15/19		500		509,301
3.38%, 6/01/21		155		159,114
2.63%, 7/01/22		650		644,240
GATX Corp.:
6.00%, 2/15/18 (e)		500		512,760
2.50%, 3/15/19 (e)		1,000		1,007,949
International Lease Finance Corp.:
7.13%, 9/01/18 (a)		210		222,253
4.63%, 4/15/21		468		498,114

				4,606,214
Wireless Telecommunication Services — 0.1%
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 9/20/21 (a)		200		201,750
Total Corporate Bonds — 65.0%				121,209,271


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Collateralized Mortgage Obligations — 1.6%
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-7, Class 4A, 3.41%, 10/25/34 (b)	$	10	$	10,387
Bear Stearns Alt-A Trust, Series 2004-13, Class A1, 1.96%, 11/25/34 (b)		3		2,584
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A, 3.22%, 5/20/34 (b)		87		82,499
JP Morgan Trust:
Series 2015-3, Class A5, 3.50%, 5/25/45 (a)(b)		1,016		1,037,402
Series 2016-2, Class A1, 2.68%, 6/25/46 (a)(b)		853		854,742
Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.50%, 4/25/57 (a)(b)		1,017		1,018,856
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 4A1, 3.44%, 6/25/34 (b)		67		66,733

				3,073,203
Commercial Mortgage-Backed Securities — 15.4%
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW18, Class AM, 6.08%, 6/11/50 (b)		1,425		1,441,112
BXHTL Mortgage Trust, Series 2015-JWRZ, Class B, 2.86%, 5/15/29 (a)(b)		1,000		1,002,474
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class B, 3.21%, 4/10/28 (a)		830		840,398
Citigroup Commercial Mortgage Trust, Series 2013-SMP, Class A, 2.11%, 1/12/30 (a)		1,154		1,156,005
Citigroup/Deutsche Bank Commercial Mortgage Trust:
Series 2007-CD5, Class AJA, 6.51%, 11/15/44 (b)		640		646,678
Series 2007-CD5, Class AMA, 6.51%, 11/15/44 (b)		775		781,480
Commercial Mortgage Trust:
Series 2013-CR12, Class A2, 2.90%, 10/10/46		1,730		1,753,265
Series 2013-SFS, Class A1, 1.87%, 4/12/35 (a)		299		294,276
Series 2014-UBS2, Class A2, 2.82%, 3/10/47		1,380		1,399,641
Series 2014-UBS6, Class ASB, 3.39%, 10/12/47		1,110		1,153,780
Series 2015-CR23, Class A2, 2.85%, 5/10/48		3,740		3,818,533
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class AFL1, 2.29%, 12/15/34 (a)(b)		237		237,397
GS Mortgage Securities Trust, Series 2013-GC16, Class AAB, 3.81%, 11/10/46		1,500		1,582,384
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2004-LN2, Class A2, 5.12%, 7/15/41		4		4,134
Series 2006-LDP7, Class AM, 6.14%, 4/17/45 (b)		39		39,325
Series 2012-CBX, Class A4, 3.48%, 6/16/45		3,000		3,120,312
Series 2016-WPT, Class A, 2.61%, 10/15/33 (a)(b)		500		501,873
LB-UBS Commercial Mortgage Trust:
Series 2007-C6, Class AM, 6.11%, 7/15/40 (b)		2,615		2,618,269
Series 2007-C7, Class AM, 6.41%, 9/15/45 (b)		1,350		1,367,556


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Morgan Stanley Capital I Trust:
Series 2012-C4, Class A4, 3.24%, 3/15/45	$	1,900	$	1,957,217
Series 2014-CPT, Class A, 3.35%, 7/13/29 (a)		1,300		1,348,572
Morgan Stanley Re-REMIC Trust, Series 2012-XA, Class A, 2.00%, 7/27/49 (a)		25		25,021
Wachovia Bank Commercial Mortgage Trust:
Series 2007-C32, Class AMFX, 5.70%, 6/15/49 (a)		454		454,039
Series 2007-C33, Class AM, 6.17%, 2/15/51 (b)		610		609,424
Series 2007-C34, Class A1A, 5.61%, 5/15/46 (b)		414		413,734
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, 2.51%, 6/15/29 (a)(b)		150		150,465

				28,717,364
Interest Only Commercial Mortgage-Backed Securities — 0.6%
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class XA, 0.93%, 9/15/48 (b)		5,042		241,388
Commercial Mortgage Trust:
Series 2015-CR23, Class XA, 1.13%, 5/10/48 (b)		2,585		133,059
Series 2015-LC21, Class XA, 1.00%, 7/10/48 (b)		6,418		280,432
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 1.98%, 1/15/49 (b)		996		111,820
WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class XA, 0.95%, 6/15/46 (b)		9,399		331,721

				1,098,420
Total Non-Agency Mortgage-Backed Securities — 17.6%				32,888,987

U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 3.8%
Freddie Mac:
Series 3959, Class MA, 4.50%, 11/15/41		319		342,231
Series 3986, Class M, 4.50%, 9/15/41		318		339,713
Series 4239, Class AB, 4.00%, 12/15/39		944		987,539
Series 4253, Class PA, 3.50%, 8/15/41		894		913,785
Series 4274, Class PN, 3.50%, 10/15/35		577		598,062
Series 4390, Class CA, 3.50%, 6/15/50		542		561,312
Series 4459, Class BN, 3.00%, 8/15/43		1,004		1,025,072
Series 4482, Class DH, 3.00%, 6/15/42		576		590,324
Series 4493, Class PA, 3.00%, 2/15/44		760		776,997
Series 4494, Class KA, 3.75%, 10/15/42		942		987,174

				7,122,209
Commercial Mortgage-Backed Securities — 1.6%
Freddie Mac, Series KP03, Class A2, 1.78%, 7/25/19		2,886		2,887,361


U.S. Government Sponsored Agency Securities	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities — 0.1%
Fannie Mae, Series 2013-M5, Class X2, 2.25%, 1/25/22(b)	$	1,321	$	82,664
Freddie Mac, Series KW01, Class X1, 1.12%, 1/25/26(b)		2,113		135,511

				218,175
Mortgage-Backed Securities — 29.6%
Fannie Mae Mortgage-Backed Securities:
2.50%, 2/01/28-7/01/32(f)		14,622		14,700,147
2.72%, 7/01/43(b)(e)		2,208		2,257,390
2.88%, 7/01/44(b)(e)		1,410		1,450,068
2.90%, 10/01/45(b)(e)		3,023		3,091,072
3.00%, 7/01/32(f)		15,805		16,221,116
3.16%, 6/01/45(b)(e)		1,740		1,786,266
3.50%, 7/01/32(f)		8,110		8,438,202
4.00%, 7/01/32(f)		1,345		1,391,234
4.50%, 9/01/26		124		130,963
5.00%, 7/01/19-7/01/25(e)		404		414,071
Freddie Mac Mortgage-Backed Securities:
2.63%, 3/01/45(b)(e)		1,924		1,961,317
3.08%, 5/01/45(b)(e)		2,927		2,993,623
5.00%, 1/01/19-9/01/21		166		170,346
5.50%, 5/01/22		173		179,472

				55,185,287
Total U.S. Government Sponsored Agency Securities — 35.1%				65,413,032
Total Long-Term Investments Cost — $296,698,311) — 158.5%				295,582,565


Short-Term Securities	Shares		Value
Dreyfus Treasury Securities Cash Management, Institutional Class, 0.76% (g)		3,896,954		$ 3,896,954
Total Short-Term Securities (Cost — $3,896,954) — 2.1%				3,896,954

Options Purchased
(Cost — $39,038) — 0.0%				28,958
Total Investments Before TBA Sale Commitments and Options Written *(Cost — $300,634,303) — 160.6%**				299,508,477

TBA Sale Commitments (f)	Par (000)
Mortgage-Backed Securities — (4.4)%
Fannie Mae Mortgage-Backed Securities, 3.00%, 7/01/32		$8,000		(8,210,625	)
Total TBA Sale Commitments (Proceeds — $8,241,250) — (4.4)%				(8,210,625	)

Options Written
(Premiums Received — $ 83,300) — (0.0)%				(14,564	)
Total Investments Net of TBA Sale Commitments and Options Written — 156.2%				291,283,288
Liabilities in Excess of Other Assets — (56.2)%				(104,766,785	)

Net Assets — 100.0%			$	186,516,503

Reverse Repurchase Agreements

Counterparty

Interest
Rate

Trade
Date

Maturity
Date¹

Face

Value

Face Value
Including
Accrued
Interest

Type of

Non-Cash
Underlying
Collateral

Remaining
Contractual
Maturity of the
Agreements

RBC Capital Markets, LLC

1.59%

1/25/17

Open

1,061,200

1,066,074

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

1/25/17

Open

1,184,375

1,189,815

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

2/03/17

Open

618,975

621,657

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

2/09/17

Open

1,175,000

1,179,888

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

2/24/17

Open

1,833,560

1,840,393

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

2/24/17

Open

942,499

946,012

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

2/24/17

Open

1,190,625

1,195,062

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/06/17

Open

987,525

990,920

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/10/17

Open

883,500

886,435

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/13/17

Open

730,050

732,412

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/13/17

Open

1,425,000

1,429,611

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/13/17

Open

581,250

583,131

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/13/17

Open

955,000

958,090

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/13/17

Open

760,000

762,459

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/13/17

Open

776,000

778,511

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/13/17

Open

1,776,500

1,782,248

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/13/17

Open

1,475,475

1,480,249

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/13/17

Open

1,627,500

1,632,766

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

3/21/17

Open

1,267,200

1,272,105

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

4/06/17

Open

2,172,650

2,179,767

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

4/06/17

Open

534,750

536,502

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

4/06/17

Open

661,500

663,667

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

4/06/17

Open

2,945,000

2,954,647

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

4/06/17

Open

2,147,925

2,154,961

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

4/06/17

Open

438,813

440,250

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

4/06/17

Open

557,775

559,602

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

4/06/17

Open

535,800

537,555

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

4/06/17

Open

321,110

322,162

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.60%

5/10/17

Open

1,090,530

1,092,657

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

5/15/17

Open

699,200

700,475

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

5/24/17

Open

571,200

572,050

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

5/24/17

Open

1,742,400

1,744,994

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

5/24/17

Open

960,000

961,429

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

5/24/17

Open

370,000

370,551

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

5/24/17

Open

580,125

580,989

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.50%

6/15/17

Open

662,400

662,869

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.55%

6/15/17

Open

973,750

974,463

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.50%

6/15/17

Open

626,456

626,900

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.50%

6/15/17

Open

978,750

979,443

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.55%

6/15/17

Open

915,563

916,233

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.50%

6/15/17

Open

502,838

503,194

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.55%

6/15/17

Open

888,300

888,950

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.50%

6/15/17

Open

475,000

475,336

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.55%

6/15/17

Open

883,125

883,771

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.55%

6/15/17

Open

489,375

489,733

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.55%

6/15/17

Open

948,750

949,444

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/19/17

Open

463,750

464,016

Corporate Bonds

Open/Demand

Citigroup Global Markets, Inc.

1.34%

6/20/17

7/20/17

13,387,000

13,392,980

U.S. Government Sponsored Agency Securities

Up to 30 days

RBC Capital Markets, LLC

1.59%

6/21/17

Open

1,192,250

1,192,829

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/21/17

Open

1,925,760

1,926,696

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/21/17

Open

382,725

382,911

Corporate Bonds

Open/Demand

Counterparty

Interest
Rate

Trade
Date

Maturity
Date¹

Face

Value

Face Value
Including
Accrued
Interest

Type of
Non-Cash
Underlying
Collateral

Remaining
Contractual
Maturity of the
Agreements

RBC Capital Markets, LLC

1.59%

6/21/17

Open

$ 1,203,325

1,203,910

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/21/17

Open

1,252,688

1,253,296

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/21/17

Open

1,935,000

1,935,940

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/29/17

Open

2,108,188

2,108,467

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/29/17

Open

1,597,110

1,597,322

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/29/17

Open

960,000

960,127

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/29/17

Open

1,048,100

1,048,285

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/29/17

Open

1,022,175

1,022,356

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/29/17

Open

666,225

666,343

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/29/17

Open

892,925

893,083

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/29/17

Open

1,190,625

1,190,835

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.59%

6/29/17

Open

1,359,338

1,359,578

Corporate Bonds

Open/Demand

Total

$78,511,503

78,649,406

Centrally Cleared Interest Rate Swaps

Fixed

Rate

Floating

Rate

Effective

Date

Expiration

Date

Notional
Amount

(000)

Unrealized
Appreciation

(Depreciation)

0.93%¹

3-month LIBOR

N/A

8/05/18

22,000

$ (83,106)

1.49%¹

3-month LIBOR

N/A

1/20/19

12,230

43,142

1.51%¹

3-month LIBOR

N/A

4/21/19

20,000

(8,974)

1.22%²

3-month LIBOR

N/A

5/18/21

10,000

230,895

1.30%²

3-month LIBOR

N/A

5/20/21

10,000

200,258

1.95%²

3-month LIBOR

N/A

1/20/22

5,080

(41,853)

2.70%¹

3-month LIBOR

1/20/22³

1/20/27

580

2,595

Total

$342,957


	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—		$	69,677,741		$	4,956,266	$	74,634,007
Corporate Bonds¹		—			121,209,271			—		121,209,271
Capital Trusts¹		—			1,437,268			—		1,437,268
Non-Agency Mortgage-Backed Securities		—			32,888,987			—		32,888,987
U.S. Government Sponsored Agency Securities		—			65,413,032			—		65,413,032
Short-Term Securities	$	3,896,954			—			—		3,896,954
Options Purchased:
Interest rate contracts		—			28,958			—		28,958
Liabilities:
Investments:
TBA Sale Commitments		—			(8,210,625	)		—		(8,210,625	)

Total	$	3,896,954		$	282,444,632		$	4,956,266	$	291,297,852


Derivative Financial Instruments²
Assets:
Credit contracts		—		$	53,682			—	$	53,682
Interest rate contracts	$	173,372			476,890			—		650,262
Liabilities:
Interest rate contracts		(21,260	)		(148,497	)		—		(169,757	)
Total	$	152,112		$	382,075			—	$	534,187

The Fund may hold assets and/or liabilities in which the fair value, approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, reverse repurchase agreements of $78,649,406 are categorized as Level 2 within the disclosure hierarchy.

During the period ended June 30, 2017, there were no transfers between Level 1 and Level 2.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


Portfolio Abbreviations
ABS	Asset-Backed Security	IDA	Industrial Development Authority
AGM	Assured Guaranty Municipal Corp.	LIBOR	London Interbank Offered Rate
AMT	Alternative Minimum Tax (subject to)	OTC	Over-the-counter
BAM	Build America Mutual Assurance Co.	RAN	Revenue Anticipation Notes
BAN	Bond Anticipation Notes	RB	Revenue Bonds
CLO	Collateralized Loan Obligation	REMIC	Real Estate Mortgage Investment Conduit
DAC	Designated Activity Company	S&P	Standard & Poor’s
EDA	Economic Development Authority	TBA	To-be-announced
GO	General Obligation Bonds


U.S. Government Sponsored Agency Securities	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities — 0.6%
Fannie Mae, Series 2016-M4, Class X2, 2.80%, 1/25/39 (b)	$	9,080	$	1,089,643
Freddie Mac:
Series K721, Class X1, 0.46%, 8/25/22 (b)		12,919		191,361
Series KW01, Class X1, 1.12%, 1/25/26 (b)		1,183		75,886
Series K056, Class X1, 1.40%, 5/25/26 (b)		486		43,803
Ginnie Mae:
Series 2014-112, Class IO, 1.18%, 1/16/48 (b)		9,149		523,742
Series 2014-172, Class IO, 0.84%, 1/16/49 (b)		967		47,770
Series 2016-87, Class IO, 1.01%, 8/16/58 (b)		473		35,968
Series 2016-113, Class IO, 1.19%, 2/16/58 (b)		703		62,205
Series 2016-152, Class IO, 0.98%, 8/15/58 (b)		1,426		116,337

				2,186,715


Tax cost	$	386,272,233

Gross unrealized appreciation	$	4,274,025
Gross unrealized depreciation		(2,501,027	)

Net unrealized appreciation	$	1,772,998


Tax cost	$	407,842,258

Gross unrealized appreciation	$	14,746,409
Gross unrealized depreciation		(1,689,997	)

Net unrealized appreciation	$	13,056,412


Futures Contracts
Contracts Long	Issue			Notional Value		Unrealized Appreciation (Depreciation)
18		U.S. Treasury Bonds (30 Year)	September 2017		$ 2,766,375		$ 24,862
73		U.S. Treasury Notes (10 Year)	September 2017		$ 9,163,781		(29,074	)
70		U.S. Treasury Notes (2 Year)	September 2017		$15,127,656		(12,601	)
36		U.S. Treasury Notes (5 Year)	September 2017		$ 4,242,094		(8,672	)
72		U.S. Ultra Treasury Bonds	September 2017		$11,943,000		162,417
Total							$136,932


Schedule of Investments June 30, 2017 (Unaudited)			Series A Portfolio
			(Percentages shown are based on Net Assets)


Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.6.AAA	0.50%	Deutsche Bank AG	5/11/63		$598		$ (1,036	)		$ 196			$(1,232	)
CMBX.NA.6.AAA	0.50%	Deutsche Bank AG	5/11/63		$528		(915	)		(393	)		(522	)
CMBX.NA.6.AAA	0.50%	Deutsche Bank AG	5/11/63		$369		(638	)		73			(711	)
CMBX.NA.6.BBB-	3.00%	J.P. Morgan Securities LLC	5/11/63		$40		4,648			2,610			2,038
CMBX.NA.6.BBB-	3.00%	J.P. Morgan Securities LLC	5/11/63		$40		4,648			2,610			2,038
		Morgan Stanley & Co.
CMBX.NA.6.BBB-	3.00%	International PLC	5/11/63		$40		4,647			2,398			2,249
Total							$11,354			$7,494			$ 3,860


Schedule of Investments June 30, 2017 (Unaudited)			Series C Portfolio
			(Percentages shown are based on Net Assets)


Derivative Financial Instruments Outstanding as of Period End



Centrally Cleared Interest Rate Swaps
Fixed Rate	Floating Rate	Effective Date	Expiration Date	Notional Amount (000)	Unrealized Appreciation (Depreciation)
2.38%¹	3-month LIBOR	N/A	5/14/25	$1,900	$(30,714)
2.54%¹	3-month LIBOR	9/29/17²	11/15/43	$3,500	363
Total					$(30,351)



OTC Credit Default Swaps — Buy Protection
Issuer	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value		Premiums Paid (Received)				Unrealized Depreciation
Cigna Corp.		1.00	%	Goldman Sachs Bank USA	9/20/17		$1,200		$ (2,991)		$	(119	)		$ (2,872)
General Dynamics Corp.		1.00	%	Credit Suisse International	9/20/17		$1,380		(3,471)			(1,480	)		(1,991)
Humana, Inc.		1.00	%	Goldman Sachs Bank USA	9/20/17		$1,200		(2,982)			863			(3,845)
Lockheed Martin Corp.		1.00	%	Credit Suisse International	9/20/17		$1,380		(3,490)			(511	)		(2,979)
Northrop Grumman Corp.		1.00	%	Credit Suisse International	9/20/17		$1,165		(2,952)			(1,149	)		(1,803)
Raytheon Co.		1.00	%	Credit Suisse International	9/20/17		$1,165		(2,956)			(1,224	)		(1,732)
Prudential Financial, Inc.		1.00	%	JPMorgan Chase Bank N.A.	6/20/21		$1,500		(36,732)			15,160			(51,892)
Total									$(55,574)		$	11,540			$(67,114)


Schedule of Investments June 30, 2017 (Unaudited)			Series E Portfolio
			(Percentages shown are based on Net Assets)


Tax cost	$	158,246,825

Gross unrealized appreciation	$	11,863,666
Gross unrealized depreciation		(479,831	)

Net unrealized appreciation	$	11,383,835


Contracts Short	Issue	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
(43)	U.S. Treasury Bonds (30 Year)	September 2017		$6,608,563		$(44,779	)
(49)	U.S. Treasury Notes (10 Year)	September 2017		$6,151,031		18,892
1	U.S. Treasury Notes (5 Year)	September 2017		$ 117,836		(478	)
(17)	U.S. Ultra Treasury Bonds	September 2017		$2,819,875		(44,389	)
Total						$(70,754	)


Schedule of Investments June 30, 2017 (Unaudited)			Series M Portfolio
			(Percentages shown are based on Net Assets)


Tax cost	$	916,989,216

Gross unrealized appreciation	$	2,902,967
Gross unrealized depreciation		(4,946,461	)

Net unrealized depreciation	$	(2,043,494	)


Contracts Long (Short)	Issue	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
(5)	Euro Dollar	September 2017	$	1,233,063		$ (1,019)
(27)	U.S. Treasury Bonds (30 Year)	September 2017	$	4,149,563		(40,100)
236	U.S. Treasury Notes (10 Year)	September 2017	$	29,625,375		(253,089)
(86)	U.S. Treasury Notes (5 Year)	September 2017	$	10,133,891		21,642
(4)	Euro Dollar	December 2017	$	985,250		445
(4)	Euro Dollar	March 2018	$	984,400		(104,289)
(133)	Euro Dollar	June 2018	$	32,706,363		(88,830)
(4)	Euro Dollar	September 2018	$	982,900		245
(4)	Euro Dollar	December 2018	$	982,000		95
(129)	Euro Dollar	March 2019	$	31,651,763		(28,238)
Total					$	(493,138)


Centrally Cleared Interest Rate Swaps
Fixed Rate	Floating Rate	Expiration Date	Notional Amount (000)	Unrealized Appreciation
2.38%¹	3-month LIBOR	4/24/45	$ 800	$ 22,916
2.39%¹	3-month LIBOR	4/24/45	$ 800	21,132
2.42%¹	3-month LIBOR	4/24/45	$ 820	16,483
2.42%¹	3-month LIBOR	4/24/45	$ 760	14,863
2.83%²	3-month LIBOR	7/10/45	$ 3,030	224,863
Total				$300,257


¹ The Fund pays the fixed rate and receives the floating rate.
² The Fund pays the floating rate and receives the fixed rate.


Schedule of Investments June 30, 2017 (Unaudited)			Series P Portfolio
			(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares		Value
Fixed Income Funds — 29.5%
BlackRock Allocation Target Shares: Series S Portfolio		3,619,957	$	34,498,187


	Value
Total Affiliated Investment Companies
*(Cost — $35,281,762) — 29.5%**	$	34,498,187
Other Assets Less Liabilities — 70.5%		82,333,480

Net Assets — 100.0%	$	116,831,667


Tax cost	$	35,281,762

Gross unrealized appreciation		—
Gross unrealized depreciation	$	(783,575	)

Net unrealized depreciation	$	(783,575	)



Affiliate	Shares Held at March 31, 2017		Shares Purchased	Shares Sold		Shares Held at June 30, 2017		Value at June 30, 2017		Income		Net Realized Loss			Change in Unrealized Appreciation (Depreciation)
BlackRock Allocation Target Shares: Series S Portfolio		3,844,957	—		225,000		3,619,957	$	34,498,187	$	222,228	$	(63,790	)	$65,243


Centrally Cleared Interest Rate Swaps
Fixed Rate	Floating Rate	Expiration Date		Notional Amount (000)		Unrealized Appreciation (Depreciation)
1.30%¹	3-month LIBOR		8/12/18	$	36,000		$ (57,008	)
2.29%¹	3-month LIBOR		8/15/26	$	22,000		(207,338	)
2.23%¹	3-month LIBOR		4/24/27	$	26,460		25,461
2.27%¹	3-month LIBOR		5/18/27		$ 6,500		(12,700	)
Total							$(251,585	)


Schedule of Investments June 30, 2017 (Unaudited)			Series S Portfolio
			(Percentages shown are based on Net Assets)


Tax cost	$	292,410,032

Gross unrealized appreciation	$	781,968
Gross unrealized depreciation		(1,894,148	)

Net unrealized depreciation	$	(1,112,180	)



Futures Contracts
Contracts Long (Short)	Issue	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
(88)	U.S. Treasury Notes (10 Year)	September 2017	$	11,046,750		$ 15,900
110	U.S. Treasury Notes (2 Year)	September 2017	$	23,772,032		(21,260	)
(407)	U.S. Treasury Notes (5 Year)	September 2017	$	47,959,227		117,077
(42)	U.S. Ultra Treasury Bonds (10 Year)	September 2017	$	5,662,125		40,395
Total						$152,112


Centrally Cleared Credit Default Swaps — Sell Protection
Index	Receive Fixed Rate			Expiration Date	Credit Rating¹		Notional Amount (000)²			Unrealized Appreciation
CDX.NA.IG.27.V1		1.00	%	12/20/21		BBB+		$	8,220		$50,124
CDX.NA.IG.28.V1		1.00	%	6/20/22		BBB+		$	2,000		3,558
Total											$53,682


	Asset-Backed Securities
Opening Balance, as of March 31, 2017	$	4,350,000
Transfers into Level 3		609,659
Transfers out of Level 3		—
Accrued discounts/premiums		—
Net realized gain (loss)		—
Net change in unrealized appreciation (depreciation)¹		(3,393	)
Purchases		—
Sales		—

Closing Balance, as of June 30, 2017	$	4,956,266

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2017¹	$	(3,393	)


BlackRock Allocation Target Shares

By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Allocation Target Shares

Date: August 22, 2017


By:		/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock Allocation Target Shares

Date: August 22, 2017