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


Security	Par (000)		Value
Asset-Backed Securities — 57.2%
AIMCO CLO, Series 2015-AA, Class E, (3 mo. LIBOR US + 7.820%), 9.18%, 01/15/28 ^(a)(b)	$	1,000	$	1,000,121
Ajax Mortgage Loan Trust:
Series 2016-1, Class A, 4.25%, 07/25/47 ^(b)(c)		247		244,834
Series 2016-B, Class A, 4.00%, 09/25/65 ^(b)(c)		144		143,492
Series 2017-D, Class A, 3.75%, 12/25/57 ^(b)(d)(e)		2,820		2,820,000
Series 2017-D, Class B, 0.00%, 12/25/57 ^(b)(d)(e)		2,000		1,241,200
Allegro CLO II Ltd.:
Series 2014-1A, Class A1R, (3 mo. LIBOR US + 1.310%), 2.67%, 01/21/27 ^(a)(b)		1,000		1,004,535
Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.850%), 5.21%, 01/21/27 ^(a)(b)		250		250,479
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.130%), 0.00%, 01/16/30 ^(a)(b)(d)		1,000		1,000,000
Allegro CLO, Ltd., Series 2016-1X, Class D, (3 mo. LIBOR US + 3.850%), 5.57%, 01/15/29 ^(a)(b)		500		510,026
ALM VI Ltd., Series 2012-6A, Class DRR, (3 mo. LIBOR US + 5.450%), 6.81%, 07/15/26 ^(a)(b)		600		604,921
ALM VII Ltd., Series 2012-7A, Class A1R, (3 mo. LIBOR US + 1.480%), 2.84%, 10/15/28 ^(a)(b)		1,000		1,006,908
ALM XIV Ltd.:
(3 mo. LIBOR US + 4.200%), 0.00%, 07/28/26 ^(a)(b)		2,000		1,356,814
Series 2014-14A, Class BR, (3 mo. LIBOR US + 2.100%), 3.48%, 07/28/26 ^(a)(b)		1,250		1,250,113
AMMC CLO 20 Ltd., Series 2017-20A, Class E, (3 mo. LIBOR US + 5.810%), 7.16%, 04/17/29 ^(a)(b)		500		497,465
Anchorage Capital CLO 3 Ltd., Series 2014-3A, Class BR, (3 mo. LIBOR US + 2.650%), 4.03%, 04/28/26 ^(a)(b)		500		501,285
Anchorage Capital CLO 4 Ltd., Series 2014-4A, Class CR, (3 mo. LIBOR US + 3.400%), 4.78%, 07/28/26 ^(a)(b)		1,000		1,007,401
Anchorage Capital CLO 5 Ltd., Series 2014-5A, Class CR, (3 mo. LIBOR US + 2.200%), 3.56%, 10/15/26 ^(a)(b)		1,000		1,000,022
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class B1R, (3 mo. LIBOR US + 1.300%), 2.66%, 10/15/27 ^(a)(b)		1,500		1,502,048
Anchorage Capital CLO 8 Ltd.:
Series 2016-8A, Class D, (3 mo. LIBOR US + 4.200%), 5.58%, 07/28/28 ^(a)(b)		250		253,466
Series 2016-8A, Class E, (3 mo. LIBOR US + 6.500%), 7.88%, 07/28/28 ^(a)(b)		777		794,463
Anchorage Capital CLO Ltd.:


Security	Par (000)		Value
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.150%), 3.51%, 10/13/30 ^(a)(b)	$	500	$	505,818
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.450%), 0.00%, 01/15/30 ^(a)(b)(d)		. 1,250		1,250,000
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.850%), 0.00%, 01/15/30 ^(a)(b)(d)		. 2,000		2,000,000
Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.400%), 0.00%, 01/15/30 ^(a)(b)		1,000		1,000,000
Apidos CLO XVIII, Series 2014-18A, Class CR, (3 mo. LIBOR US + 3.250%), 4.61%, 07/22/26 ^(a)(b)		250		253,260
Apidos CLO XXI, Series 2015-21X, Class D, (3 mo. LIBOR US + 5.550%), 7.28%, 07/18/27 ^(a)(b)		500		507,189
Apidos CLO XXII, Series 2015-22A, Class D, (3 mo. LIBOR US + 6.000%), 7.36%, 10/20/27 ^(a)(b)		500		508,702
Apidos CLO XXIII, Series 2015-23A, Class D2, (3 mo. LIBOR US + 5.950%), 7.31%, 01/14/27 ^(a)(b)		500		507,515
Arbor Realty Commercial Real Estate Notes Ltd.:
Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 3.18%, 09/15/26 ^(a)(b)		190		193,019
Series 2017-FL1, Class A, (1 mo. LIBOR US + 1.300%), 2.78%, 04/15/27 ^(a)(b)		1,920		1,942,914
Series 2017-FL1, Class B, (1 mo. LIBOR US + 2.500%), 3.98%, 04/15/27 ^(a)(b)		438		443,289
ARES XL CLO Ltd., Series 2016-40A, Class D, (3 mo. LIBOR US + 6.600%), 7.96%, 10/15/27 ^(a)(b)		1,000		1,033,118
ARES XLIII CLO Ltd., Series 2017-43A, Class E, (3 mo. LIBOR US + 6.470%), 7.83%, 10/15/29 ^(a)(b)		750		764,071
Ares XXXIII CLO Ltd.:
Series 2015-1A, Class CR, (3 mo. LIBOR US + 4.200%), 5.69%, 12/05/25 ^(a)(b)		250		256,397
Series 2015-1A, Class D, (3 mo. LIBOR US + 6.230%), 7.72%, 12/05/25 ^(a)(b)		500		514,954
Ares XXXIV CLO Ltd., Series 2015-2A, Class E2, (3 mo. LIBOR US + 5.200%), 6.58%, 07/29/26 ^(a)(b)		500		500,242
Ares XXXIX CLO Ltd., Series 2016-39A, Class E, (3 mo. LIBOR US + 7.250%), 8.60%, 07/18/28 ^(a)(b)		250		257,097
ARES XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.170%), 2.54%, 10/15/30 ^(a)(b)		600		604,023
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.240%), 1.79%, 05/25/35 ^(a)(d)		77		59,152


Security	Par (000)		Value
ArrowMark Colorado Holdings, Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.160%), 0.00%, 10/25/30 ^(a)(b)	$	1,100	$	1,100,000
Atrium VIII, Series 8A, Class DR, (3 mo. LIBOR US + 4.000%), 5.36%, 10/23/24 ^(a)(b)		325		330,256
Atrium X, Series 10A, Class E, (3 mo. LIBOR US + 4.500%), 5.86%, 07/16/25 ^(a)(b)		650		650,380
Babson CLO Ltd.:
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.190%), 2.55%, 10/20/30 ^(a)(b)		1,000		1,008,302
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.550%), 7.91%, 04/23/27 ^(a)(b)		250		255,374
Ballyrock CLO LLC, Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.650%), 5.01%, 10/20/26 ^(a)(b)		1,750		1,753,840
Battalion CLO IV Ltd., Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.140%), 2.50%, 10/22/25 ^(a)(b)		1,000		1,000,785
Battalion CLO X Ltd., Series 2016-10A, Class D, (3 mo. LIBOR US + 7.000%), 8.36%, 01/24/29 ^(a)(b)		500		516,535
Bayview Financial Revolving Asset Trust:
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.000%), 2.56%, 02/28/40 ^(a)(b)		2,227		1,993,202
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.000%), 2.56%, 12/28/40 ^(a)(b)		3,628		3,281,950
Series 2005-E, Class A2A, (1 mo. LIBOR US + 0.930%), 2.49%, 12/28/40 ^(a)(b)		2,538		2,247,069
Bear Stearns Asset-Backed Securities I Trust:
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.320%), 1.87%, 03/25/37 ^(a)		854		624,907
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.140%), 1.69%, 03/25/37 ^(a)		159		153,831
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.350%), 1.90%, 04/25/37 ^(a)		326		256,699
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, (1 mo. LIBOR US + 1.200%), 2.53%, 01/25/36 ^(a)		343		336,774
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A1R, (3 mo. LIBOR US + 1.490%), 2.85%, 01/20/29 ^(a)(b)		500		504,121
BlueMountain CLO Ltd.:
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.180%), 2.54%, 10/22/30 ^(a)(b)		1,000		1,005,672
Series 2015-1A, Class D, (3 mo. LIBOR US + 5.450%), 6.81%, 04/13/27 ^(a)(b)		250		252,021
Canyon Capital CLO Ltd.:
Series 2006-1A, Class A1, (3 mo. LIBOR US + 0.250%), 1.84%, 12/15/20 ^(a)(b)		106		106,176
Series 2006-1A, Class C, (3 mo. LIBOR US + 0.700%), 2.29%, 12/15/20 ^(a)(b)		250		249,274
Carlyle Global Market Strategies CLO Ltd.:
Series 2012-3A, Class CR, (3 mo. LIBOR US + 4.100%), 5.46%, 10/14/28 ^(a)(b)		500		508,503
Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), 2.81%, 01/20/29 ^(a)(b)		935		948,531
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.750%), 4.10%, 04/17/25 ^(a)(b)		500		501,029
Series 2014-3A, Class C1R, (3 mo. LIBOR US + 3.270%), 4.64%, 07/27/26 ^(a)(b)		1,000		1,012,836
Series 2014-3A, Class D1, (3 mo. LIBOR US + 5.100%), 6.47%, 07/27/26 ^(a)(b)		1,400		1,407,355


Security	Par (000)		Value
Series 2014-3A, Class D2R (3 mo. LIBOR US + 5.750%), 7.12%, 07/27/26 ^(a)(b)	$	500	$	501,748
Series 2014-5A, Class A1R, (3 mo. LIBOR US + 1.140%), 2.50%, 10/16/25 ^(a)(b)		1,000		1,000,690
Series 2015-4A, Class D, (3 mo. LIBOR US + 6.100%), 7.46%, 10/20/27 ^(a)(b)		500		513,238
Series 2015-4A, Class SBB1, (3 mo. LIBOR US + 8.500%), 9.86%, 10/20/27 ^(a)(b)		149		151,536
Series 2016-1A, Class D, (3 mo. LIBOR US + 7.600%), 8.96%, 04/20/27 ^(a)(b)		1,250		1,280,539
Carrington Mortgage Loan Trust:
Series 2006-FRE2, Class A2, (1 mo. LIBOR US + 0.120%), 1.67%, 10/25/36 ^(a)		329		218,617
Series 2006-FRE2, Class A3, (1 mo. LIBOR US + 0.160%), 1.71%, 10/25/36 ^(a)		174		116,501
Series 2006-FRE2, Class A4, (1 mo. LIBOR US + 0.250%), 1.80%, 10/25/36 ^(a)		2,684		1,811,195
Series 2006-NC2, Class A3, (1 mo. LIBOR US + 0.150%), 1.70%, 06/25/36 ^(a)		736		727,817
Series 2006-NC3, Class A4, (1 mo. LIBOR US + 0.240%), 1.79%, 08/25/36 ^(a)		630		408,663
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.160%), 1.71%, 10/25/36 ^(a)		100		89,147
CBAM Ltd.:
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.250%), 2.58%, 07/20/30 ^(a)(b)		1,500		1,513,040
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.230%), 2.60%, 10/17/29 ^(a)(b)		2,500		2,513,998
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.700%), 3.07%, 10/17/29 ^(a)(b)		500		503,468
Series 2017-3A, Class E1, (3 mo. LIBOR US + 6.500%), 7.87%, 10/17/29 ^(a)(b)		1,000		1,025,543
C-BASS Trust:
Series 2007-CB1, Class AF2, 3.71%, 01/25/37 ^(c)		319		157,812
Series 2006-CB9, Class A2, (1 mo. LIBOR US + 0.110%), 1.66%, 11/25/36 ^(a)		64		41,755
Series 2006-CB9, Class A4, (1 mo. LIBOR US + 0.230%), 1.78%, 11/25/36 ^(a)		17		11,193
Series 2007-CB5, Class A2, (1 mo. LIBOR US + 0.170%), 1.50%, 04/25/37 ^(a)		63		47,536
CIFC Funding Ltd.:
Series 2014-3A, Class C1R, (3 mo. LIBOR US + 1.900%), 3.26%, 07/22/26 ^(a)(b)		250		251,029
Series 2014-4A, Class A1R, (3 mo. LIBOR US + 1.380%), 2.73%, 10/17/26 ^(a)(b)		500		501,014
Series 2014-5A, Class CR, (3 mo. LIBOR US + 2.700%), 4.05%, 01/17/27 ^(a)(b)		750		754,279
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.750%), 8.11%, 10/21/28 ^(a)(b)		500		517,383
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH4, Class M3, (1 mo. LIBOR US + 0.320%), 1.87%, 11/25/36 ^(a)		290		246,156
Clear Creek CLO Ltd., Series 2015-1A, Class ER, (3 mo. LIBOR US + 6.300%), 7.66%, 10/20/30 ^(a)(b)		1,000		1,003,882
Conseco Finance Corp.:
Series 1996-10, Class B1, 7.24%, 11/15/28 ^(e)		63		50,431
Series 1998-4, Class M1, 6.83%, 04/01/30 ^(e)		1,228		1,085,820


Security	Par (000)		Value
Series 1998-8, Class M1, 6.98%, 09/01/30 ^(e)	$	1,176	$	980,596
Conseco Finance Securitizations Corp.:
Series 2000-1, Class A5, 8.06%, 09/01/29 ^(e)		2,456		1,346,161
Series 2000-4, Class A6, 8.31%, 05/01/32 ^(e)		2,451		1,315,061
Countrywide Asset-Backed Certificates:
Series 2005-16, Class 1AF, 5.07%, 05/25/36 ^(e)		2,360		2,924,672
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.160%), 1.49%, 09/25/46 ^(a)		17		16,370
Series 2007-S3, Class A3, (1 mo. LIBOR US + 0.380%), 1.93%, 05/25/37 ^(a)		179		161,246
Countrywide Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.270%), 1.75%, 03/15/34 ^(a)		61		54,676
Credit-Based Asset Servicing & Securitization LLC:
Series 2006-CB2, Class AF4, 3.43%, 12/25/36 ^(c)		25		20,726
Series 2006-MH1, Class B1, 6.25%, 10/25/36 ^(b)(c)		2,900		2,982,840
Series 2006-SL1, Class A3, (1 mo. LIBOR US + 0.220%), 1.77%, 09/25/36 ^(a)(b)		6,761		1,179,559
Series 2007-RP1, Class A, (1 mo. LIBOR US + 0.310%), 1.86%, 05/25/46 ^(a)(b)		91		79,626
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A3, 5.84%, 07/25/27		591		788,337
CWHEQ Revolving Home Equity Loan Resuritization Trust:
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.300%), 1.78%, 12/15/33 ^(a)(b)(d)		53		48,889
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.190%), 1.67%, 05/15/35 ^(a)(b)(d)		21		18,339
CWHEQ Revolving Home Equity Loan Trust, Series 2006-G, Class 2A, (1 mo. LIBOR US + 0.150%), 1.63%, 10/15/36 ^(a)		516		468,358
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.120%), 0.00%, 01/15/31 ^(a)(b)		2,000		2,000,000
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class AR, (3 mo. LIBOR US + 1.080%), 2.43%, 04/18/26 ^(a)(b)		1,000		1,003,346
Elevation CLO Ltd., Series 2016-5A, Class E, (3 mo. LIBOR US + 6.950%), 8.31%, 07/15/28 ^(a)(b)		500		508,744
First Franklin Mortgage Loan Trust:
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.140%), 1.69%, 12/25/36 ^(a)		725		451,108
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.150%), 1.70%, 12/25/36 ^(a)		3,540		2,932,793
Series 2006-FF5, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.71%, 04/25/36 ^(a)		63		59,711
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), 1.69%, 02/25/37 ^(a)		3,167		2,547,750
Galaxy XVI CLO Ltd., Series 2013-16A, Class CR, (3 mo. LIBOR US + 2.250%), 3.67%, 11/16/25 ^(a)(b)		1,500		1,505,300
Galaxy XXI CLO Ltd., Series 2015-21A, Class E2, (3 mo. LIBOR US + 6.500%), 7.86%, 01/20/28 ^(a)(b)		500		500,981


Security	Par (000)		Value
GCAT LLC, Series 2017-4, Class A1, 3.23%, 05/25/22 ^(b)(c)	$	892	$	892,526
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.250%), 1.80%, 12/25/35 ^(a)		32		32,608
Gilbert Park CLO Ltd., Series 2017-1A, Class E, (3 mo. LIBOR US + 6.400%), 7.76%, 10/15/30 ^(a)(b)		1,000		1,014,807
GMACM Home Equity Loan Trust, Series 2006-HE1, Class A, (1 mo. LIBOR US + 0.210%), 1.76%, 11/25/36 ^(a)		513		546,676
Goldentree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.070%), 2.60%, 01/18/31 ^(a)(b)(d)		1,350		1,350,000
Greywolf CLO IV Ltd., Series 2014-2A, Class BR, (3 mo. LIBOR US + 2.350%), 3.70%, 01/17/27 ^(a)(b)		500		501,906
GSAA Trust, Series 2007-2, Class AF3, 5.92%, 03/25/37 ^(e)		30		12,415
GSAMP Trust, Series 2006-FM2, Class A2B, (1 mo. LIBOR US + 0.120%), 1.67%, 09/25/36 ^(a)		164		78,286
Highbridge Loan Management Ltd.:
Series 5X-2015, Class E, (3 mo. LIBOR US + 1.150%), 6.73%, 01/29/26 ^(a)		900		904,857
Series 7A-2015, Class E, (3 mo. LIBOR US + 5.750%), 7.17%, 11/15/26 ^(a)(b)		500		499,729
Home Equity Mortgage Loan Asset-Backed Trust:
Series 2004-A, Class M2, (1 mo. LIBOR US + 2.030%), 3.58%, 07/25/34 ^(a)		36		36,716
Series 2007-B, Class 2A3, (1 mo. LIBOR US + 0.200%), 1.75%, 07/25/37 ^(a)		316		214,027
HPS Loan Management Ltd., Series 10A-16, Class C, (3 mo. LIBOR US + 3.650%), 5.01%, 01/20/28 ^(a)(b)		500		505,726
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A3A, 5.83%, 07/25/36 ^(c)		1,694		922,258
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.070%), 0.00%, 01/20/31 ^(a)(b)(d)		2,000		2,000,000
LCM XVIII LP, Series 18A, Class B1, (3 mo. LIBOR US + 2.300%), 3.66%, 04/20/27 ^(a)(b)		500		500,681
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33 ^(c)		1,328		1,081,069
Lendmark Funding Trust:
Series 2017-1A, Class A, 2.83%, 12/22/25 ^(b)		2,500		2,494,187
Series 2017-1A, Class B, 3.77%, 12/22/25 ^(b)		1,570		1,577,644
Series 2017-2A, Class A, 2.80%, 05/20/26 ^(b)		3,840		3,824,894
Series 2017-2A, Class B, 3.38%, 05/20/26 ^(b)		2,540		2,525,162
Long Beach Mortgage Loan Trust:
Series 2006-10, Class 2A4, (1 mo. LIBOR US + 0.220%), 1.77%, 11/25/36 ^(a)		4,153		2,085,058
Series 2006-2, Class 2A3, (1 mo. LIBOR US + 0.190%), 1.74%, 03/25/46 ^(a)		3,899		1,990,279
Series 2006-2, Class 2A4, (1 mo. LIBOR US + 0.290%), 1.84%, 03/25/46 ^(a)		864		450,227
Series 2006-4, Class 2A4, (1 mo. LIBOR US + 0.260%), 1.81%, 05/25/36 ^(a)		998		523,662
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.71%, 08/25/36 ^(a)		5,510		3,164,654


Security	Par (000)		Value
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.71%, 09/25/36 ^(a)	$	6,401	$	2,967,064
Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.110%), 1.66%, 10/25/36 ^(a)		6,115		3,028,106
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.71%, 10/25/36 ^(a)		724		361,094
Madison Park Funding XIII Ltd., Series 2014-13A, Class E, (3 mo. LIBOR US + 5.000%), 6.36%, 01/19/25 ^(a)(b)		1,000		1,003,922
Madison Park Funding XIV Ltd.:
Series 2014-14A, Class A2R, (3 mo. LIBOR US + 1.120%), 2.48%, 07/20/26 ^(a)(b)		3,250		3,261,729
Series 2014-14A, Class DR, (3 mo. LIBOR US + 3.250%), 4.61%, 07/20/26 ^(a)(b)		500		504,091
Madison Park Funding XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.450%), 4.82%, 01/27/26 ^(a)(b)		1,000		1,003,193
Madison Park Funding XVIII Ltd., Series 2015-18A, Class A1R, (3 mo. LIBOR US + 1.190%), 2.55%, 10/21/30 ^(a)(b)		1,750		1,759,713
Madison Park Funding XX Ltd., Series 2016-20A, Class E, (3 mo. LIBOR US + 7.400%), 8.77%, 04/27/27 ^(a)(b)		250		256,528
Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, (3 mo. LIBOR US + 1.200%), 2.52%, 07/29/30 ^(a)(b)		1,000		1,007,801
MASTR Asset-Backed Securities Trust:
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.260%), 1.81%, 06/25/36 ^(a)(b)		500		399,582
Series 2006-HE2, Class A3, (1 mo. LIBOR US + 0.150%), 1.70%, 06/25/36 ^(a)		1,285		750,525
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.280%), 1.83%, 05/25/37 ^(a)		83		69,335
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.260%), 1.81%, 06/25/46 ^(a)(b)		35		33,079
MERIT Securities Corp., Series 13, Class M2, 7.93%, 12/28/33 ^(c)		1,640		1,267,297
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.240%), 1.79%, 05/25/37 ^(a)		2,718		1,903,455
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.260%), 1.81%, 08/25/37 ^(a)		2,360		639,787
Morgan Stanley IXIS Real Estate Capital Trust:
Series 2006-2, Class A2, (1 mo. LIBOR US + 0.110%), 1.66%, 11/25/36 ^(a)		63		31,292
Series 2006-2, Class AFPT, (1 mo. LIBOR US + 0.070%), 1.62%, 11/25/36 ^(a)		2,214		1,088,012
Mountain Hawk I CLO Ltd., Series 2013-1A, Class B1, (3 mo. LIBOR US + 2.180%), 3.54%, 01/20/24 ^(a)(b)		500		505,948
Navient Private Education Loan Trust, Series 2015-CA, Class B, 3.25%, 05/15/40 ^(b)		1,086		1,094,179
Neuberger Berman CLO XX Ltd.:
Series 2015-20A, Class DR, (3 mo. LIBOR US + 2.400%), 3.76%, 01/15/28 ^(a)(b)		1,000		1,000,858
Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.000%), 6.36%, 01/15/28 ^(a)(b)		1,000		1,000,187
Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class A, (3 mo. LIBOR US + 1.170%), 2.56%, 10/18/30 ^(a)(b)		1,050		1,054,684
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.400%), 1.95%, 10/25/36 ^(a)(b)		863		769,141


Security	Par (000)		Value
Oak Hill Credit Partners IX Ltd., Series 2013-9A, Class DR, (3 mo. LIBOR US + 3.300%), 4.66%, 10/20/25 ^(a)(b)	$	750	$	755,523
Oak Hill Credit Partners X Ltd., Series 2014-10A, Class DR, (3 mo. LIBOR US + 3.250%), 4.61%, 07/20/26 ^(a)(b)		1,000		1,005,703
Oak Hill Credit Partners XI Ltd., Series 2015-11A, Class E, (3 mo. LIBOR US + 6.700%), 8.06%, 10/20/28 ^(a)(b)		500		516,296
Oakwood Mortgage Investors, Inc.:
Series 2001-D, Class A2, 5.26%, 01/15/19 ^(e)		47		37,437
Series 2002-A, Class M1, 7.76%, 03/15/32 ^(e)		2,195		1,882,251
Series 2002-C, Class M1, 6.89%, 11/15/32 ^(e)		2,462		2,049,814
OCP CLO Ltd.:
Series 2016-11A, Class PS, 0.00%, 04/26/28 ^(b)(f)		1,000		854,314
Series 2014-7A, Class A1AR, (3 mo. LIBOR US + 0.950%), 2.31%, 10/20/26 ^(a)(b)		470		470,165
Series 2016-12A, Class A1, (3 mo. LIBOR US + 1.570%), 2.92%, 10/18/28 ^(a)(b)		1,000		1,011,254
Series 2016-12A, Class C, (3 mo. LIBOR US + 4.150%), 5.50%, 10/18/28 ^(a)(b)		1,000		1,014,643
Octagon Investment Partners 24 Ltd., Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.900%), 2.34%, 05/21/27 ^(a)(b)		500		500,243
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.190%), 2.59%, 01/20/31 ^(a)(b)		1,000		1,002,209
Octagon Investment Partners XVII Ltd.:
Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.000%), 2.37%, 10/25/25 ^(a)(b)		500		500,662
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.680%), 3.05%, 10/25/25 ^(a)(b)		250		250,716
Octagon Investment Partners XVIII Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.480%), 4.90%, 12/16/24 ^(a)(b)		250		251,314
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class D, (3 mo. LIBOR US + 6.600%), 8.01%, 11/14/26 ^(a)(b)		250		250,868
OFSI Fund VI Ltd., Series 2014-6A, Class A2, (3 mo. LIBOR US + 1.900%), 3.26%, 03/20/25 ^(a)(b)		2,500		2,503,410
OneMain Financial Issuance Trust:
Series 2014-2A, Class A, 2.47%, 09/18/24 ^(b)		6		6,041
Series 2014-2A, Class B, 3.02%, 09/18/24 ^(b)		1,000		1,000,446
Series 2014-2A, Class C, 4.33%, 09/18/24 ^(b)		100		100,300
Series 2014-2A, Class D, 5.31%, 09/18/24 ^(b)		2,000		2,019,036
Series 2015-1A, Class A, 3.19%, 03/18/26 ^(b)		2,000		2,010,225
Series 2015-1A, Class C, 5.12%, 03/18/26 ^(b)		3,500		3,540,153
Series 2015-2A, Class A, 2.57%, 07/18/25 ^(b)		1,336		1,335,506
Series 2015-2A, Class C, 4.32%, 07/18/25 ^(b)		2,000		2,006,999
Series 2015-2A, Class D, 5.64%, 07/18/25 ^(b)		3,500		3,491,166


Security	Par (000)		Value
Series 2015-3A, Class D, 6.94%, 11/20/28 ^(b)(d)	$	1,000	$	1,005,600
Series 2016-1A, Class A, 3.66%, 02/20/29 ^(b)		2,600		2,641,808
Series 2016-1A, Class B 4.57%, 02/20/29 ^(b)		3,500		3,601,299
Series 2016-2A, Class A, 4.10%, 03/20/28 ^(b)		3,000		3,038,755
OZLM Funding II Ltd.:
Series 2012-2A, Class A1R, (3 mo. LIBOR US + 1.440%), 2.82%, 10/30/27 ^(a)(b)		1,000		1,002,382
Series 2012-2A, Class DR, (3 mo. LIBOR US + 7.300%), 8.68%, 10/30/27 ^(a)(b)		500		512,122
OZLM Funding III Ltd., Series 2013-3A, Class BR, (3 mo. LIBOR US + 3.000%), 4.36%, 01/22/29 ^(a)(b)		500		509,892
OZLM Funding IV Ltd.:
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.250%), 2.61%, 10/22/30 ^(a)(b)		500		503,273
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.700%), 3.06%, 10/22/30 ^(a)(b)		500		505,423
OZLM Funding V Ltd., Series 2013-5A, Class BR, (3 mo. LIBOR US + 2.350%), 3.70%, 01/17/26 ^(a)(b)		1,500		1,502,330
OZLM IX Ltd., Series 2014-9A, Class CR, (3 mo. LIBOR US + 3.550%), 4.91%, 01/20/27 ^(a)(b)		1,500		1,504,778
OZLM VI Ltd., Series 2014-6A, Class BR, (3 mo. LIBOR US + 2.700%), 4.05%, 04/17/26 ^(a)(b)		250		250,547
OZLM VII Ltd., Series 2014-7A, Class B1R, (3 mo. LIBOR US + 2.250%), 3.60%, 07/17/26 ^(a)(b)		750		751,906
OZLM VIII Ltd., Series 2014-8A, Class BR, (3 mo. LIBOR US + 2.250%), 3.60%, 10/17/26 ^(a)(b)		500		501,289
OZLM XIV Ltd., Series 2015-14A, Class D, (3 mo. LIBOR US + 6.350%), 7.71%, 01/15/29 ^(a)(b)		500		502,340
OZLM XV Ltd., Series 2016-15A, Class A1, (3 mo. LIBOR US + 1.490%), 2.85%, 01/20/29 ^(a)(b)		500		505,612
Palmer Square CLO Ltd.:
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.500%), 2.92%, 05/15/25 ^(a)(b)		1,000		1,000,197
Series 2013-2A, Class BR, (3 mo. LIBOR US + 2.250%), 3.60%, 10/17/27 ^(a)(b)		1,000		1,007,779
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.130%), 2.86%, 01/17/31 ^(a)(b)(d)		1,000		1,000,000
Series 2014-1A, Class CR, (3 mo. LIBOR US + 4.000%), 5.35%, 01/17/27 ^(a)(b)		400		400,015
Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.650%), 4.38%, 01/17/31 ^(a)(b)(d).		400		400,000
Park Avenue Institutional Advisers CLO Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 7.000%), 8.31%, 08/23/28 ^(a)(b)		500		506,494
PFS Financing Corp., Series 2017-AA, Class B, (1 mo. LIBOR US + 0.950%), 2.43%, 03/15/21 ^(a)(b)		3,000		3,002,428
Preston Ridge Partners Mortgage LLC, Series 2017-1A, Class A1, 4.25%, 01/25/22 ^(b)(c)(d)		664		665,581
Pretium Mortgage Credit Partners I LLC:
Series 2017-NPL2, Class A1, 3.25%, 03/28/57 ^(b)(c)		2,128		2,130,194
Series 2017-NPL3, Class A1, 3.25%, 06/29/32 ^(b)(c)		1,355		1,354,184
Progress Residential Trust:


Security	Par (000)		Value
Series 2017-SFR1, Class A, 2.77%, 08/17/34 ^(b)	$	1,438	$	1,426,430
Series 2016-SFR1, Class E, (1 mo. LIBOR US + 3.850%), 5.31%, 09/17/33 ^(a)(b)		150		153,966
Series 2016-SFR2, Class A, (1 mo. LIBOR US + 1.400%), 2.86%, 01/17/34 ^(a)(b)		500		504,804
Series 2016-SFR2, Class E, (1 mo. LIBOR US + 3.550%), 5.01%, 01/17/34 ^(a)(b)		200		205,198
RAMP Series Trust, Series 2007-RS1, Class A3, (1 mo. LIBOR US + 0.170%), 1.72%, 02/25/37 ^(a)		3,395		1,875,088
Regatta V Funding Ltd., Series 2014-1A, Class BR, (3 mo. LIBOR US + 2.300%), 3.67%, 10/25/26 ^(a)(b)		250		250,867
Rockford Tower CLO Ltd.:
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.370%), 2.73%, 04/15/29 ^(a)(b)		1,500		1,510,775
Series 2017-1A, Class E, (3 mo. LIBOR US + 5.400%), 6.76%, 04/15/29 ^(a)(b)		1,000		997,439
Series 2017-2A, Class C, (3 mo. LIBOR US + 2.300%), 3.54%, 10/15/29 ^(a)(b)		1,000		1,002,215
Series 2017-2A, Class D, (3 mo. LIBOR US + 3.450%), 4.69%, 10/15/29 ^(a)(b)		1,000		1,023,098
Series 2017-2A, Class E, (3 mo. LIBOR US + 6.080%), 7.32%, 10/15/29 ^(a)(b)		1,000		1,006,987
Seneca Park CLO Ltd., Series 2014-1A, Class D, (3 mo. LIBOR US + 3.500%), 4.85%, 07/17/26 ^(a)(b)		250		250,918
Shackleton CLO Ltd., Series 2014-5A, Class AR, (3 mo. LIBOR US + 1.140%), 2.53%, 05/07/26 ^(a)(b)		1,000		1,001,532
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.240%), 2.60%, 07/20/30 ^(a)(b)		1,500		1,510,180
SLM Private Credit Student Loan Trust, Series 2005-B, Class B, (3 mo. LIBOR US + 0.400%), 1.99%, 06/15/39 ^(a)		3,067		3,006,130
SLM Private Education Loan Trust, Series 2013-B, Class B, 3.00%, 05/16/44 ^(b)		2,500		2,498,918
SMB Private Education Loan Trust:
Series 2015-C, Class B, 3.50%, 09/15/43 ^(b)(d)		1,995		1,995,000
Series 2015-C, Class C, 4.50%, 09/17/46 ^(b)		1,000		1,002,443
Series 2017-B, Class A2A, 2.82%, 10/15/35 ^(b)		1,960		1,952,557
Series 2017-B, Class A2B, (1 mo. LIBOR US + 0.750%), 2.10%, 10/15/35 ^(a)(b)		1,170		1,174,300
Sound Point CLO IV Ltd.:
Series 2013-3A, Class CR, (3 mo. LIBOR US + 2.250%), 3.61%, 01/21/26 ^(a)(b)		1,000		1,003,517
Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.400%), 4.76%, 01/21/26 ^(a)(b)		500		501,092
Sound Point CLO V Ltd., Series 2014-1A, Class E, (3 mo. LIBOR US + 4.250%), 5.60%, 04/18/26 ^(a)(b)		1,000		998,778
Sound Point CLO VII Ltd., Series 2014-3A, Class AR, (3 mo. LIBOR US + 1.300%), 2.66%, 01/23/27 ^(a)(b)		250		251,694
Sound Point CLO X Ltd., Series 2015-3A, Class E, (3 mo. LIBOR US + 6.750%), 8.11%, 01/20/28 ^(a)(b)		750		765,707
Sound Point CLO XI Ltd.:
Series 2016-1A, Class A, (3 mo. LIBOR US + 1.650%), 3.01%, 07/20/28 ^(a)(b)		250		252,097
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.950%), 8.31%, 07/20/28 ^(a)(b)		500		516,967


Security	Par (000)		Value
Sound Point CLO XII Ltd., Series 2016-2A, Class A, (3 mo. LIBOR US + 1.660%), 3.02%, 10/20/28 ^(a)(b)	$	250	$	252,537
Sound Point CLO XV Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.390%), 2.75%, 01/23/29 ^(a)(b)		1,500		1,510,654
Sound Point CLO XVIII Ltd., Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.120%), 0.00%, 01/20/31 ^(a)(b)(d)		1,000		1,000,000
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.800%), 2.35%, 01/25/35 ^(a)		336		317,914
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 04/25/29 ^(b)		1,816		1,826,801
Springleaf Funding Trust:
Series 2015-AA, Class A, 3.16%, 11/15/24 ^(b)		2,000		2,007,942
Series 2015-AA, Class B, 3.62%, 11/15/24 ^(b)		250		250,826
Series 2015-AA, Class D, 6.31%, 11/15/24 ^(b)		1,000		1,009,308
Series 2016-AA, Class B, 3.80%, 11/15/29 ^(b)		3,500		3,522,905
Stanwich Mortgage Loan Co. LLC:
Series 2016-NPL2, Class NOTE, 3.72%, 08/16/46 ^(b)(c)(d)		943		942,965
Series 2017-NPB1, Class A1, 3.60%, 05/17/22 ^(b)(c)(d)		1,720		1,723,874
Stewart Park CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.800%), 3.52%, 01/15/30 ^(a)(b)(d)		1,000		1,000,000
Symphony CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.030%), 2.39%, 10/15/25 ^(a)(b)		750		751,127
Symphony CLO XVI Ltd., Series 2015-16A, Class E, (3 mo. LIBOR US + 5.450%), 6.81%, 07/15/28 ^(a)(b)		750		756,479
TCI-Flatiron CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.200%), 2.15%, 11/17/30 ^(a)(b)		1,000		1,005,272
Thacher Park CLO Ltd., Series 2014-1A, Class D1R, (3 mo. LIBOR US + 3.400%), 4.76%, 10/20/26 ^(a)(b)		1,000		1,006,950
TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.510%), 7.81%, 07/15/29 ^(a)(b)		500		510,751
Venture XVII CLO Ltd., Series 2014-17A, Class B2R, (3 mo. LIBOR US + 1.600%), 2.96%, 07/15/26 ^(a)(b)		250		250,820
Venture XXII CLO Ltd., Series 2015-22A, Class E, (3 mo. LIBOR US + 6.750%), 8.11%, 01/15/28 ^(a)(b)		500		504,582
Venture XXVI CLO Ltd., Series 2017-26A, Class D, (3 mo. LIBOR US + 4.250%), 5.61%, 01/20/29 ^(a)(b)		500		516,558
Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR US + 4.500%), 5.86%, 07/20/28 ^(a)(b)		1,000		1,023,920
Vibrant CLO V Ltd., Series 2016-5A, Class A, (3 mo. LIBOR US + 1.550%), 2.91%, 01/20/29 ^(a)(b)		500		504,402
Voya CLO Ltd.:
Series 2014-3A, Class A1R, (3 mo. LIBOR US + 0.720%), 2.24%, 07/25/26 ^(a)(b)(d)		1,000		1,000,000
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.130%), 2.51%, 10/15/30 ^(a)(b)		1,000		1,001,560
WaMu Asset-Backed Certificates Trust:


Security	Par (000)		Value
Series 2007-HE2, Class 2A3, (1 mo. LIBOR US + 0.250%), 1.80%, 04/25/37 ^(a)	$	1,004	$	563,172
Series 2007-HE2, Class 2A4, (1 mo. LIBOR US + 0.360%), 1.91%, 04/25/37 ^(a)		108		61,512
Washington Mutual Asset-Backed Certificates Trust:
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.180%), 1.73%, 09/25/36 ^(a)		290		146,715
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.160%), 1.71%, 10/25/36 ^(a)		120		99,357
Wellfleet CLO Ltd.:
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.320%), 2.68%, 04/20/29 ^(a)(b)		1,500		1,509,959
Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.150%), 2.88%, 01/17/31 ^(a)(b)		2,000		2,000,000
Westcott Park CLO Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 7.200%), 8.56%, 07/20/28 ^(a)(b)		1,500		1,541,316
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 08/15/22		460		468,345
York CLO 1 Ltd.:
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.350%), 3.71%, 01/22/27 ^(a)(b)		700		702,434
Series 2014-1A, Class DR, (3 mo. LIBOR US + 3.400%), 4.76%, 01/22/27 ^(a)(b)		1,500		1,503,621
York CLO-2 Ltd., Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.650%), 7.11%, 01/22/31 ^(a)(b)		1,000		1,000,000

Total Asset-Backed Securities — 57.2% (Cost: $273,418,391)				273,631,847


Corporate Bonds — 0.0%

Banks — 0.0%
Washington Mutual Escrow Bonds :
0.00% ^(d)(g)(h)(i)		500		—
0.00% ^(d)(g)(h)(i)		250		—

Total Corporate Bonds — 0.0% (Cost: $5,764)				—


Floating Rate Loan Interests — 0.8%

Capital Markets — 0.6%
LSTAR Securities Financing Vehicle I LLC, Term Loan, (1 mo. LIBOR US + 2.500%), 3.49%, 05/10/25 ^(d)(j)		1,638		1,623,329
LSTAR Securities Financing Vehicle II LLC, Term Loan, (1 mo. LIBOR US + 2.000%), 3.17%, 06/16/25 ^(d)(j)		1,202		1,188,599

				2,811,928


Security	Par (000)		Value
Equity Real Estate Investment Trusts (REITs) — 0.2%
JAX MEZZ LLC, Mezzanine Loan, (1 mo. LIBOR US + 5.500%), 6.90%, 10/04/21 ^(d)(j)	$	1,000	$	995,000

Total Floating Rate Loan Interests — 0.8% (Cost: $3,807,909)				3,806,928


Non-Agency Mortgage-Backed Securities — 37.8%

Collateralized Mortgage Obligations — 11.7%
Ajax Mortgage Loan Trust, Series 2016-A, Class A, 4.25%, 08/25/64 ^(b)(c)		358		363,699
American Home Mortgage Assets Trust:
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.210%), 1.76%, 10/25/46 ^(a)		169		123,560
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.920%), 1.98%, 11/25/46 ^(a)		1,243		707,680
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.700%), 1.76%, 02/25/47 ^(a)		48		30,433
Angel Oak Mortgage Trust I LLC, Series 2016-1, Class A1, 3.50%, 07/25/46 ^(b)(c)		84		84,756
APS Resecuritization Trust:
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.850%), 4.40%, 09/27/46 ^(a)(b)(d)		647		653,749
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.600%), 4.15%, 04/27/47 ^(a)(b)(d)		183		185,251
ARI Investments LLC, Series 2017-1, Class A, (1 mo. LIBOR US + 0.000%), 0.00%, 01/06/25 ^(a)(d)		750		750,000
Banc of America Funding Trust:
Series 2014-R2, Class 1C, 0.00%, 11/26/36 ^(b)(d)(e)		395		76,606
Series 2016-R2, Class 1A1, 4.70%, 05/01/33 ^(b)(d)(e)		464		474,286
Bear Stearns ALT-A Trust II, Series 2007-1, Class 1A1, 3.42%, 09/25/47 ^(e)		233		191,266
Bear Stearns Asset-Backed Securities I Trust, Series 2006-AC1, Class 1A2, 6.25%, 02/25/36 ^(c)		274		247,423
Bear Stearns Mortgage Funding Trust:
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.280%), 1.83%, 08/25/36 ^(a)		2,236		2,247,791
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.170%), 1.72%, 03/25/37 ^(a)		536		478,248
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.210%), 1.76%, 06/25/37 ^(a)		49		46,187
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37		14,944		12,486,847
CHL Mortgage Pass-Through Trust, Series 2005-J2, Class 2A4, (1 mo. LIBOR US + 1.400%), 2.95%, 08/25/35 ^(a)		1,723		1,498,589
CIM Trust, Series 2017-6, Class A1, 3.02%, 06/25/57 ^(b)(e)		3,780		3,740,672
Citicorp Mortgage Securities Trust, Series 2008-2, Class 1A1, 6.50%, 06/25/38		741		639,257
Countrywide Alternative Loan Trust:
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.350%), 1.90%, 06/25/35 ^(a)		1,993		1,805,558
Series 2005-51, Class 3A3A, (1 mo. LIBOR US + 0.320%), 1.82%, 11/20/35 ^(a)		1,023		952,097


Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.300%), 1.85%, 01/25/36 ^(a)	$	740	$	602,978
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.000%), 2.06%, 02/25/36 ^(a)		900		816,605
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36		1,234		956,185
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.230%), 1.78%, 11/25/36 ^(a)		172		136,124
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.250%), 1.80%, 07/25/46 ^(a)		2,436		1,926,894
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37		2,092		1,576,135
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37		311		230,192
Series 2007-OA2, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 0.840%), 1.90%, 03/25/47 ^(a)		430		352,639
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-15, Class 2A2, 6.50%, 09/25/37		1,070		831,218
Credit Suisse Commercial Mortgage Trust, Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.120%), 1.45%, 08/27/36 ^(a)(b)(d)		206		175,580
Deephaven Residential Mortgage Trust, Series 2016-1A, Class A1, 4.00%, 07/25/46 ^(b)		112		113,537
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8, 6.36%, 07/25/36 ^(e)		41		34,550
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.000%), 3.06%, 03/25/36 ^(a)		36		33,207
GSMPS Mortgage Loan Trust:
Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.350%), 1.90%, 03/25/35 ^(a)(b)		109		99,440
Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.350%), 1.90%, 01/25/36 ^(a)(b)		83		71,832
IndyMac IMJA Mortgage Loan Trust, Series 2007-A2, Class 3A1, 7.00%, 10/25/37		950		685,414
IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1, 3.42%, 09/25/37 ^(e)		382		270,594
Lehman XS Trust, Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.150%), 2.70%, 12/25/37 ^(a)		75		74,029
LSTAR Securities Investment Ltd.:
Series 2017-2, Class A1, (1 mo. LIBOR US + 2.000%), 3.57%, 02/01/22 ^(a)(b)		1,167		1,169,451
Series 2017-3, Class A1, (1 mo. LIBOR US + 2.000%), 3.57%, 04/01/22 ^(a)(b)(d)		610		614,054
Series 2017-9, Class A, (1 mo. LIBOR US + 1.550%), 3.12%, 12/01/22 ^(a)(b)		1,500		1,498,702
LSTAR Securities Investment Ltd. LLC, Series 2017-8, Class A, (1 mo. LIBOR US + 1.650%), 3.22%, 11/01/22 ^(a)(b)		2,963		2,949,070
MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1, 4.50%, 05/25/36 ^(b)(e)		2,062		1,805,650


Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.340%), 1.59%, 04/16/36 ^(a)(b)	$	455	$	386,248
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4, (1 mo. LIBOR US + 0.420%), 1.97%, 04/25/47 ^(a)		1,280		1,034,186
Nomura Resecuritization Trust, Series 2014-3R, Class 3A9, 1.85%, 11/26/35 ^(a)(b)		100		91,452
RALI Trust, Series 2006-QO6, Class A2, (1 mo. LIBOR US + 0.230%), 1.78%, 06/25/46 ^(a)		5,024		2,374,014
Reperforming Loan REMIC Trust:
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.340%), 1.89%, 06/25/35 ^(a)(b)		198		182,387
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.400%), 1.95%, 09/25/35 ^(a)(b)		1,428		1,266,201
Sequoia Mortgage Trust, Series 2017-CH1, Class A2, 3.50%, 10/25/47 ^(b)(e)		1,970		1,986,156
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.210%), 1.76%, 05/25/46 ^(a)		67		56,551
Structured Asset Securities Corp., Series 2005-RF3, Class 1A, (1 mo. LIBOR US + 0.350%), 1.90%, 06/25/35 ^(a)(b)		1,594		1,395,687
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-RF4, Class 2A1, 6.00%, 10/25/36 ^(b)		77		66,715
SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.320%), 1.87%, 04/25/37 ^(a)		445		420,453
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class B1, (1 mo. LIBOR US + 0.530%), 2.08%, 01/25/45 ^(a)		1,454		1,006,428
Washington Mutual Mortgage Pass-Through Certificates Trust:
Series 2006-4, Class 1A1, 6.00%, 04/25/36		429		390,035
Series 2006-4, Class 3A1, 6.50%, 05/25/36 ^(c)		231		193,474
Series 2006-8, Class A4, 4.51%, 10/25/36 ^(c)		249		160,915

				55,818,937
Commercial Mortgage-Backed Securities — 23.2%
245 Park Avenue Trust, Series 2017-245P, Class E, 3.66%, 06/05/37 ^(b)(e)		1,730		1,625,774
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E, (1 mo. LIBOR US + 2.120%), 3.60%, 09/15/34 ^(a)(b)		2,710		2,703,245
Americold LLC, Series 2010-ARTA, Class C, 6.81%, 01/14/29 ^(b)		500		546,037
Banc of America Commercial Mortgage Trust, Series 2007-1, Class AMFX, 5.48%, 01/15/49 ^(e)		17		17,261
Banc of America Merrill Lynch Commercial Mortgage Securities Trust:
Series 2013-DSNY, Class F, (1 mo. LIBOR US + 3.500%), 4.98%, 09/15/26 ^(a)(b)		769		768,212
Series 2015-200P, Class F, 3.60%, 04/14/33 ^(b)(e)		894		857,366
Series 2015-ASHF, Class B, (1 mo. LIBOR US + 1.710%), 3.19%, 01/15/28 ^(a)(b)		1,000		1,002,114
Series 2015-ASHF, Class C, (1 mo. LIBOR US + 2.000%), 3.48%, 01/15/28 ^(a)(b)		3,000		3,003,392
Series 2015-ASHF, Class D, (1 mo. LIBOR US + 3.000%), 4.48%, 01/15/28 ^(a)(b)		1,500		1,504,278


Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2016-ISQ, Class E, 3.61%, 08/14/34 ^(b)(d)(e)	$	300	$	270,586
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.000%), 3.25%, 11/15/32 ^(a)(b)		1,090		1,089,998
Series 2017-SCH, Class XFCP, 0.17%, 11/15/19 ^(b)(e)		95,950		281,623
Series 2017-SCH, Class XLCP, 0.00%, 11/15/19 ^(b)(e)		56,050		24,600
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35 ^(b)		495		503,044
Bayview Commercial Asset Trust:
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.360%), 1.69%, 04/25/36 ^(a)(b)		39		37,473
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.270%), 1.60%, 07/25/37 ^(a)(b)		78		74,604
Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.450%), 2.00%, 09/25/37 ^(a)(b)		1,405		1,333,689
Series 2007-5A, Class A3, (1 mo. LIBOR US + 1.000%), 2.55%, 10/25/37 ^(a)(b)		1,727		1,664,696
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.500%), 3.05%, 12/25/37 ^(a)(b)		4,500		3,322,493
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class B, 5.61%, 12/11/40 ^(e)		876		917,352
BWAY Mortgage Trust:
Series 2013-1515, Class C, 3.45%, 03/10/33 ^(b)		250		249,400
Series 2013-1515, Class D, 3.63%, 03/10/33 ^(b)		100		100,004
Series 2013-1515, Class F, 3.93%, 03/10/33 ^(b)(e)		810		794,470
BXP Trust:
Series 2017-GM, Class A, 3.38%, 06/13/39 ^(b)		1,000		1,021,536
Series 2017-GM, Class D, 3.42%, 06/13/39 ^(b)(e)		1,000		959,114
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.49%, 04/10/29 ^(b)(e)		190		190,867
CFCRE Commercial Mortgage Trust:
Series 2011-C1, Class C, 6.08%, 04/15/44 ^(b)(e)		1,000		1,070,541
Series 2016-C3, Class D, 3.05%, 01/10/48 ^(b)(e)		170		125,739
Series 2016-C4, Class C, 4.88%, 05/10/58 ^(e)		130		134,139
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class F, 3.79%, 04/10/28 ^(b)(e)		1,000		987,947
CGDBB Commercial Mortgage Trust:
Series 2017-BIOC, Class D, (1 mo. LIBOR US + 1.600%), 3.08%, 07/15/28 ^(a)(b)		1,060		1,059,998
Series 2017-BIOC, Class E, (1 mo. LIBOR US + 2.150%), 3.63%, 07/15/28 ^(a)(b)		1,290		1,289,997
CGGS Commercial Mortgage Trust, Series 2016-RNDA, Class AFX, 2.76%, 02/10/33 ^(b)		1,736		1,738,054
Chicago Skyscraper Trust:
Series 2017-SKY, Class D, (1 mo. LIBOR US + 2.250%), 3.73%, 02/15/30 ^(a)(b)		990		996,147
Series 2017-SKY, Class F, (1 mo. LIBOR US + 4.100%), 5.58%, 02/15/30 ^(a)(b)		1,000		1,006,205
Citigroup Commercial Mortgage Trust:
Series 2013-375P, Class C, 3.52%, 05/10/35 ^(b)(e)		100		100,943


Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2013-375P, Class D, 3.52%, 05/10/35 ^(b)(e)	$	100	$	99,833
Series 2013-375P, Class E, 3.52%, 05/10/35 ^(b)(e)		2,100		2,028,268
Series 2015-GC27, Class C, 4.43%, 02/10/48 ^(e)		1,000		951,788
Series 2015-SHP2, Class A, (1 mo. LIBOR US + 1.280%), 2.76%, 07/15/27 ^(a)(b)		400		400,253
Series 2015-SHP2, Class F, (1 mo. LIBOR US + 5.200%), 6.68%, 07/15/27 ^(a)(b)		750		753,119
Series 2015-SSHP, Class A, (1 mo. LIBOR US + 1.150%), 2.63%, 09/15/27 ^(a)(b)		300		300,004
Series 2015-SSHP, Class D, (1 mo. LIBOR US + 3.050%), 4.53%, 09/15/27 ^(a)(b)		456		457,464
Series 2016-C1, Class C, 4.95%, 05/10/49 ^(e)		10		10,560
Series 2016-GC37, Class D, 2.79%, 04/10/49 ^(b)		1,300		1,007,400
Series 2016-P3, Class D, 2.80%, 04/15/49 ^(b)(e)		539		413,297
Series 2016-SMPL, Class E, 4.51%, 09/10/31 ^(b)		510		508,602
Citigroup/Deutsche Bank Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48		1,239		1,267,216
CLNS Trust, Series 2017-IKPR, Class E, (1 mo. LIBOR US + 3.500%), 4.93%, 06/11/32 ^(a)(b)		790		791,727
Commercial Mortgage Trust:
Series 2005-C6, Class F, 5.65%, 06/10/44 ^(b)(e)		566		579,711
Series 2013-WWP, Class D, 3.90%, 03/10/31 ^(b)		110		116,497
Series 2014-PAT, Class A, (1 mo. LIBOR US + 0.800%), 2.23%, 08/13/27 ^(a)(b)		2,250		2,254,339
Series 2014-PAT, Class E, (1 mo. LIBOR US + 3.150%), 4.58%, 08/13/27 ^(a)(b)		1,100		1,115,713
Series 2014-PAT, Class F, (1 mo. LIBOR US + 2.440%), 3.87%, 08/13/27 ^(a)(b)		1,000		998,886
Series 2014-TCW, Class D, (1 mo. LIBOR US + 2.250%), 3.68%, 02/13/32 ^(a)(b)		750		752,911
Series 2014-TWC, Class E, (1 mo. LIBOR US + 3.250%), 4.68%, 02/13/32 ^(a)(b)		100		100,586
Series 2015-3BP, Class F, 3.24%, 02/10/35 ^(b)(e)		100		92,432
Series 2015-CR23, Class CMC, 3.68%, 05/10/48 ^(b)(e)		2,550		2,559,428
Series 2015-CR23, Class CMD, 3.68%, 05/10/48 ^(b)(e)		4,200		4,152,571
Series 2015-CR23, Class D, 4.25%, 05/10/48 ^(e)		732		629,223
Series 2015-CR23, Class E, 3.23%, 05/10/48 ^(b)		160		103,359
Series 2015-CR25, Class D, 3.80%, 08/10/48 ^(e)		290		242,943
Series 2015-LC19, Class C, 4.26%, 02/10/48 ^(e)		2,570		2,618,119
Series 2015-LC19, Class D, 2.87%, 02/10/48 ^(b)		90		74,362
Series 2016-667M, Class D, 3.18%, 10/10/36 ^(b)(e)		500		469,859
Series 2017-DLTA, Class E, (1 mo. LIBOR US + 1.960%), 3.44%, 08/15/35 ^(a)(b)		970		957,254
Series 2017-DLTA, Class F, (1 mo. LIBOR US + 2.580%), 4.06%, 08/15/35 ^(a)(b)		920		906,071


Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Core Industrial Trust:
Series 2015-TEXW, Class D, 3.85%, 02/10/34 ^(b)(e)	$	100	$	101,798
Series 2015-TEXW, Class E, 3.85%, 02/10/34 ^(b)(e)		279		280,631
Series 2015-TEXW, Class F, 3.85%, 02/10/34 ^(b)(e)		1,000		983,194
Countrywide Commercial Mortgage Trust, Series 2007-MF1, Class A, 6.29%, 11/12/43 ^(b)(e)		0		365
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C4, Class F, 5.23%, 10/15/39 ^(b)(e)		500		509,787
Credit Suisse Mortgage Capital Certificates:
Series 2016-MFF, Class A, (1 mo. LIBOR US + 1.600%), 3.08%, 11/15/33 ^(a)(b)		240		241,479
Series 2017-1, Class A, 4.50%, 03/25/21 ^(b)		859		865,480
Series 2017-CHOP, Class E, (1 mo. LIBOR US + 3.300%), 4.78%, 07/15/32 ^(a)(b)		1,448		1,451,592
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class C, 4.75%, 01/15/49 ^(e).		10		10,404
Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C3, Class D, 3.49%, 09/10/49 ^(b)(e)		220		180,978
Deutsche Bank UBS Mortgage Trust:
Series 2017-BRBK, Class D, 3.53%, 10/10/34 ^(b)(d)(e)		990		966,955
Series 2017-BRBK, Class F, 3.53%, 10/10/34 ^(b)(d)(e)		600		546,330
FREMF Mortgage Trust, Series 2017-K64, Class B, 3.98%, 03/25/27 ^(b)(e)		3,000		3,033,679
GAHR Commercial Mortgage Trust:
Series 2015-NRF, Class EFX, 3.38%, 12/15/34 ^(b)(e)		1,500		1,490,599
Series 2015-NRF, Class FFX, 3.38%, 12/15/34 ^(b)(e)		860		849,049
GP Portfolio Trust, Series 2014-GPP, Class E, (1 mo. LIBOR US + 4.100%), 5.58%, 02/15/27 ^(a)(b)		125		122,822
GS Mortgage Securities Corp. II:
Series 2013-KING, Class D, 3.44%, 12/10/27 ^(b)(e)		1,000		1,000,098
Series 2013-KING, Class E, 3.44%, 12/10/27 ^(b)(e)		3,200		3,166,115
GS Mortgage Securities Trust:
Series 2014-GC22, Class D, 4.65%, 06/10/47 ^(b)(e)		1,110		935,715
Series 2015-GC32, Class C, 4.41%, 07/10/48 ^(d)(e)		1,970		2,002,111
Series 2015-GC32, Class D, 3.35%, 07/10/48		1,500		1,241,113
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C33, Class D1, 4.12%, 12/15/48 ^(b)(e)		1,190		1,135,498
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2014-CBM, Class E, (1 mo. LIBOR US + 3.850%), 5.33%, 10/15/29 ^(a)(b)		1,250		1,250,000
Series 2014-PHH, Class B, (1 mo. LIBOR US + 1.850%), 3.33%, 08/15/27 ^(a)(b)		210		210,000
Series 2015-JP1, Class C, 4.74%, 01/15/49 ^(e)		315		331,012


Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2015-UES, Class D, 3.62%, 09/05/32 ^(b)(e)	$	1,000	$	1,010,394
Series 2015-UES, Class E, 3.62%, 09/05/32 ^(b)(e)		600		598,506
Series 2016-WPT, Class A, (1 mo. LIBOR US + 1.450%), 2.93%, 10/15/33 ^(a)(b)		150		150,375
Series 2017-JP5, Class D, 4.65%, 03/15/50 ^(b)(e)		1,240		1,224,484
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.250%), 1.80%, 03/25/37 ^(a)(b)		440		410,104
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%), 2.99%, 11/24/31 ^(a)(b)		160		161,600
Lone Star Portfolio Trust:
Series 2015-LSP, Class B, (1 mo. LIBOR US + 2.600%), 4.08%, 09/15/28 ^(a)(b)		589		590,184
Series 2015-LSP, Class B, (1 mo. LIBOR US + 6.900%), 8.38%, 09/15/28 ^(a)(b)		768		780,284
Series 2015-LSP, Class D, (1 mo. LIBOR US + 4.000%), 5.48%, 09/15/28 ^(a)(b)		85		86,434
Series 2015-LSP, Class E, (1 mo. LIBOR US + 5.600%), 7.08%, 09/15/28 ^(a)(b)		1,067		1,083,066
Merrill Lynch Mortgage Trust,
Series 2005-MKB2, Class F, 6.32%, 09/12/42 ^(b)(e)		1,000		1,060,850
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2015-C23, Class D, 4.13%, 07/15/50 ^(b)(e)		2,000		1,741,888
Series 2015-C25, Class D, 3.07%, 10/15/48		830		673,867
Series 2015-C26, Class C, 4.41%, 10/15/48 ^(e)		1,000		1,018,259
Series 2015-C26, Class D, 3.06%, 10/15/48 ^(b)		1,465		1,182,243
Series 2017-C33, Class C, 4.56%, 05/15/50 ^(e)		910		934,071
Morgan Stanley Capital I Trust:
Series 2014-CPT, Class E, 3.45%, 07/13/29 ^(b)(e)		500		498,238
Series 2014-CPT, Class F, 3.45%, 07/13/29 ^(b)(e)		100		99,029
Series 2014-CPT, Class G, 3.45%, 07/13/29 ^(b)(e)		100		97,710
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.600%), 3.85%, 11/15/34 ^(a)(b)		843		843,795
Series 2017-H1, Class D, 2.55%, 06/15/50 ^(b)		1,010		820,999
Series 2017-PRME, Class D, (1 mo. LIBOR US + 3.400%), 4.88%, 02/15/34 ^(a)(b)		840		839,991
Morgan Stanley Capital I, Inc., Series 2017-JWDR, Class D, (1 mo. LIBOR US + 1.950%), 3.20%, 11/15/34 ^(a)(b)		860		860,270
Olympic Tower Mortgage Trust:
Series 2017-OT, Class D, 3.95%, 05/10/39 ^(b)(e)		930		922,346
Series 2017-OT, Class E, 3.95%, 05/10/39 ^(b)(e)		1,340		1,280,138
RAIT Trust, Series 2017-FL7, Class C, (1 mo. LIBOR US + 2.500%), 3.98%, 06/15/37 ^(a)(b)		880		879,998
Resource Capital Corp. Ltd., Series 2017-CRE5, Class B, (1 mo. LIBOR US + 2.000%), 3.48%, 07/15/34 ^(a)(b)		590		589,998


Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Velocity Commercial Capital Loan Trust, Series 2015-1, Class AFL, (1 mo. LIBOR US + 2.430%), 3.98%, 06/25/45 ^(a)(b	$	71	$	71,379
VNDO Mortgage Trust, Series 2013-PENN, Class D, 3.95%, 12/13/29 ^(b)(e)		500		507,322
VNDO Trust, Series 2016-350P, Class E, 3.90%, 01/10/35 ^(b)(e)		400		384,490
Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class AJ, 5.63%, 10/15/48 ^(e)		117		117,304
Wells Fargo Commercial Mortgage Trust:
Series 2015-C27, Class D, 3.77%, 02/15/48 ^(b)		1,000		756,309
Series 2015-NXS4, Class D, 3.60%, 12/15/48 ^(e)		1,702		1,542,147
Series 2016-C34, Class C, 5.03%, 06/15/49 ^(e)		130		135,080
Series 2016-C37, Class C, 4.49%, 12/15/49 ^(e)		500		514,509
Series 2016-NXS5, Class D, 4.88%, 01/15/59 ^(e)		750		732,903
Series 2017-C39, Class D, 4.36%, 09/15/50 ^(b)(e)		750		713,335
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.850%), 2.31%, 12/13/31 ^(a)(b)		846		847,799

				110,755,235
Interest Only Commercial Mortgage-Backed Securities — 2.9%
B2R Mortgage Trust, Series 2015-2, Class XA, 2.12%, 11/15/48 ^(b)(e)		12,243		527,569
Banc of America Commercial Mortgage Trust:
Series 2015-UBS7, Class XA, 0.90%, 09/15/48 ^(e)		974		50,940
Series 2017-BNK3, Class XD, 1.29%, 02/15/50 ^(b)(e)		10,000		893,500
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class XB, 0.19%, 08/10/35 ^(b)(e)		12,500		218,500
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.75%, 05/10/58 ^(e)		370		39,355
Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class XE, 1.23%, 10/10/47 ^(b)(e)		1,000		65,309
Citigroup/Deutsche Bank Mortgage Trust, Series 2017-CD3, Class XA, 1.04%, 02/10/50 ^(e)		11,754		867,108
Commercial Mortgage Trust:
Series 2015-CR23, Class XA, 0.98%, 05/10/48 ^(e)		7,482		352,459
Series 2015-CR23, Class XD, 1.02%, 05/10/48 ^(b)(e)		13,697		914,686
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class XA, 1.05%, 11/15/48 ^(e)		2,196		121,836
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50 ^(e)		11,214		778,700
GS Mortgage Securities Trust:
Series 2014-GC20, Class XA, 1.00%, 04/10/47 ^(e)		855		42,180
Series 2016-GS3, Class XA, 1.28%, 10/10/49 ^(e)		5,941		481,135
Hospitality Mortgage Trust, Series 2017-HIT, Class XCP, 1.20%, 05/08/30 ^(b)(e)		98,914		971,335
JPMDB Commercial Mortgage Securities Trust:


Security	Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series 2016-C4, Class XC, 0.75%, 12/15/49 ^(b)(e)	$	8,570	$	455,581
Series 2017-C5, Class XB, 0.32%, 03/15/50 ^(e)		30,000		828,900
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49 ^(b)(e)		17,400		733,758
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 1.23%, 03/10/50 ^(b)(e)		13,969		695,245
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C19, Class XF, 1.19%, 12/15/47 ^(b)(d)(e)		220		13,258
Series 2015-C25, Class XA, 1.13%, 10/15/48 ^(e)		3,258		210,978
Series 2015-C26, Class XA, 1.11%, 10/15/48 ^(e)		621		39,168
Series 2016-C29, Class XA, 1.64%, 05/15/49 ^(e)		2,367		233,269
Series 2016-C29, Class XB, 0.96%, 05/15/49 ^(e)		1,020		72,203
Morgan Stanley Capital I Trust, Series 2017-H1, Class XD, 2.20%, 06/15/50 ^(b)(e)		8,625		1,324,973
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39 ^(b)(e)		28,100		936,854
One Market Plaza Trust:
Series 2017-1MKT, Class XCP, 0.09%, 02/10/32 ^(b)(e)		110,000		618,200
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32 ^(b)(d)(e)		22,000		132,000
Wells Fargo Commercial Mortgage Trust:
Series 2015-LC20, Class XB, 0.47%, 04/15/50 ^(e)		7,000		218,662
Series 2016-BNK1, Class XD, 1.27%, 08/15/49 ^(b)(e)		1,000		84,420
Series 2016-C33, Class XA, 1.80%, 03/15/59 ^(e)		4,431		447,007
WF-RBS Commercial Mortgage Trust, Series 2014-C21, Class XA, 1.13%, 08/15/47 ^(e)		10,613		540,329

				13,909,417

Total Non-Agency Mortgage-Backed Securities — 37.8% (Cost: $180,048,339)				180,483,589


U.S. Government Sponsored Agency Securities — 3.9%

Collateralized Mortgage Obligations — 3.1%
Fannie Mae:
Series 2016-C02, Class 1M2, (1 mo. LIBOR US + 6.000%) 7.55%, 09/25/28 ^(a)		50		59,354
Series 2016-C04, Class 1M2, (1 mo. LIBOR US + 4.250%) 5.80%, 01/25/29 ^(a)		231		261,398
Series 2016-C06, Class 1M2, (1 mo. LIBOR US + 4.250%) 5.80%, 04/25/29 ^(a)		68		77,872
Series 2017-C01, Class 1B1, (1 mo. LIBOR US + 5.750%) 7.30%, 07/25/29 ^(a)		775		902,506
Series 2017-C01, Class 1M2, (1 mo. LIBOR US + 3.550%) 5.10%, 07/25/29 ^(a)		1,664		1,808,785
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.000%) 4.55%, 10/25/29 ^(a)		106		111,609
Series 2017-C04, Class 2M2, (1 mo. LIBOR US + 2.850%) 4.40%, 11/25/29 ^(a)		515		535,587

^(a)	Floating rate security. Rate shown is the rate in effect as of period end.


Security	Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2017-C05, Class 1M2, (1 mo. LIBOR US + 2.200%) 3.75%, 01/25/30 ^(a)	$	251	$	253,642
Series 2017-C07, Class 1B1, 5.55%, 05/25/30 ^(a)		2,000		2,073,827
Freddie Mac:
Series 2016-DNA4, Class M3, (1 mo. LIBOR US +3.800%) 5.35%, 03/25/29 ^(a)		2,000		2,232,331
Series 2017-DNA1, Class B1, (1 mo. LIBOR US + 4.950%) 6.50%, 07/25/29 ^(a)		1,000		1,106,507
Series 2017-DNA1, Class M2, (1 mo. LIBOR US + 3.250%) 4.80%, 07/25/29 ^(a)		1,500		1,607,467
Series 2017-DNA2, Class M2, (1 mo. LIBOR US +3.450%) 5.00%, 10/25/29 ^(a)		250		271,954
Series 2017-DNA3, Class M2, 4.05%, 03/25/30 ^(a)		3,000		3,107,092
Series 2017-HQA2, Class M2, (1 mo. LIBOR US + 2.650%) 4.20%, 12/25/29 ^(a)		250		258,534

				14,668,465
Commercial Mortgage-Backed Securities — 0.1%
Fannie Mae, Series 2017-M8, Class A2, 3.06%, 05/25/27 ^(e)		170		172,011
Freddie Mac:
Series K069, Class A2, 3.19%, 09/25/27 ^(e)		80		82,034
Series KPLB, Class A, 2.77%, 05/25/25		380		378,832

				632,877
Interest Only Commercial Mortgage-Backed Securities — 0.7%
Fannie Mae, Series 2016-M4, Class X2, 2.70%, 01/25/39 ^(e)		8,755		993,884
Freddie Mac:
Series K056, Class X1, 1.27%, 05/25/26 ^(e)		485		41,792
Series K065, Class X1, 0.68%, 04/25/27 ^(e)		17,982		953,599
Series K721, Class X1, 0.34%, 08/25/22 ^(e)		12,869		168,319
Series KW01, Class X1, 0.98%, 01/25/26 ^(e)		1,179		71,678
Ginnie Mae:
Series 2016-87, Class IO, 1.01%, 08/16/58 ^(e)		470		35,880
Series 2017-111, Class IO, 0.74%, 02/16/59 ^(e)		12,928		958,834

				3,223,986

Total U.S. Government Sponsored Agency Securities — 3.9% (Cost: $17,714,646)				18,525,328

Total Long-Term Investments — 99.7% (Cost: $474,995,049)				476,447,692


	Shares

Short-Term Securities — 3.6%
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.11% ^(k)		17,015,958		17,015,958

Total Short-Term Securities — 3.6% (Cost: $17,015,958)				17,015,958


Total Investments — 103.3% (Cost: $492,011,007)				493,463,650
Liabilities in Excess of Other Assets — (3.3)%				(15,544,250	)

Net Assets — 100.0%			$	477,919,400

For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

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 techniques 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 semi-annual report.

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

During the period ended December 31, 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:

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.


Security	Par (000)		Value
Capital Trusts — 4.1%

Banks — 2.2%
BNP Paribas SA, (5 yr. Swap Semi 30/360 US + 2.838%),5.13% ^(a)(b)(c)	$	575	$	575,000
HSBC Holdings PLC, (USD Swap Rate 11:00 am NY 1 + 3.746%),6.00% ^(b)(c)		520		546,650
JPMorgan Chase & Co.:
(3 mo. LIBOR US + 3.300%), 6.00% ^(b)(c)		525		564,401
(3 mo. LIBOR US + 3.330%), 6.10% ^(b)(c)		600		659,280
(3 mo. LIBOR US + 3.780%), 6.75% ^(b)(c)		925		1,047,563
(3 mo. LIBOR US + 3.470%), 7.90% ^(b)(c)		500		506,250
U.S. Bancorp, Series J, (3 mo. LIBOR US + 2.914%),Series J, 5.30% ^(b)(c)		1,075		1,163,741
Wells Fargo & Co.:
(3 mo. LIBOR US + 3.990%), 5.88% ^(b)(c)		2,300		2,547,365
(3 mo. LIBOR US + 3.770%), 7.98% ^(b)(c)		817		830,235

				8,440,485
Capital Markets — 0.1%
State Street Corp., (3 mo. LIBOR US + 3.597%),5.25% ^(b)(c)		315		330,372

Electric Utilities — 0.2%
Exelon Corp., 3.50%, 06/01/22		785		799,994

Industrial Conglomerates — 0.1%
General Electric Co., (3 mo. LIBOR US + 3.330%),5.00% ^(b)(c)		598		616,299

Insurance — 0.6%
Allstate Corp., (3 mo. LIBOR US + 2.938%),5.75%, 08/15/53 ^(b)		835		910,985
MetLife Capital Trust IV, 7.88%, 12/15/37 ^(a)		420		559,650
MetLife, Inc., (3 mo. LIBOR US + 3.575%),5.25% ^(b)(c)		900		935,766

				2,406,401
Media — 0.6%
NBCUniversal Enterprise, Inc., 5.25% ^(a)(c)		2,200		2,337,500

Multi-Utilities — 0.1%
Dominion Resources, Inc., 2.96%, 07/01/19 ^(d)		345		347,671

Oil, Gas & Consumable Fuels — 0.2%
TransCanada Trust:
(3 mo. LIBOR US + 3.528%), 5.63%, 05/20/75 ^(b)		359		377,848
(3 mo. LIBOR US + 4.640%), 5.88%, 08/15/76 ^(b)		325		351,813

				729,661

Total Capital Trusts — 4.1% (Cost: $15,254,178)				16,008,383


Corporate Bonds — 84.9%

Aerospace & Defense — 1.4%
Lockheed Martin Corp.:
3.10%, 01/15/23		95		96,528
3.55%, 01/15/26		145		150,565
4.07%, 12/15/42		575		605,326
4.09%, 09/15/52		124		129,804
Northrop Grumman Corp., 3.25%, 01/15/28		445		445,650
Northrop Grumman Systems Corp., 7.88%, 03/01/26		1,000		1,306,418
Rockwell Collins, Inc.:
1.95%, 07/15/19		180		179,078
3.20%, 03/15/24		550		554,217
3.50%, 03/15/27		520		529,452
4.35%, 04/15/47		240		260,656


Security	Par (000)		Value
Aerospace & Defense (continued)
United Technologies Corp.:
6.05%, 06/01/36	$	450	$	587,087
4.50%, 06/01/42		340		376,844

				5,221,625
Air Freight & Logistics — 0.3%
Federal Express Corp. Pass-Through Trust, Series 2012, 2.63%, 01/15/18 ^(a)		67		66,560
FedEx Corp.:
3.25%, 04/01/26		120		120,915
4.10%, 02/01/45		475		489,622
4.40%, 01/15/47		597		637,015

				1,314,112
Airlines — 0.6%
American Airlines Pass-Through Trust:
Series 2014-1, Class B, 4.38%, 10/01/22		111		113,039
Series 2017-1, Class AA, 3.65%, 02/15/29		800		817,440
Doric Nimrod Air Alpha Pass-Through Trust, Series 2013-1, Class A, 5.25%, 05/30/23 ^(a)		644		678,095
U.S. Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 11/15/25		715		744,754
Virgin Australia Trust, Series 2013-1A, Series 2013-1A, 5.00%, 04/23/25 ^(a)		142		147,780

				2,501,108
Auto Components — 0.1%
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 03/15/19		501		501,100

Automobiles — 0.6%
BMW U.S. Capital LLC, 2.00%, 04/11/21 ^(a)		540		532,316
General Motors Co., 5.20%, 04/01/45		500		528,320
Volkswagen Group of America Finance LLC, 1.65%, 05/22/18 ^(a)		1,075		1,073,926

				2,134,562
Banks — 14.0%
Banco Santander SA, 3.13%, 02/23/23		800		795,929
Bank of America Corp.:
2.63%, 04/19/21		1,115		1,120,688
3.30%, 01/11/23		569		582,087
(3 mo. LIBOR US + 1.160%), 3.12%, 01/20/23 ^(b)		2,375		2,409,208
4.20%, 08/26/24		1,610		1,695,444
4.00%, 01/22/25		605		629,419
3.95%, 04/21/25		1,490		1,540,836
4.45%, 03/03/26		2,305		2,460,366
Barclays Bank PLC, 5.14%, 10/14/20		300		317,687
Barclays PLC:
2.75%, 11/08/19		805		806,731
3.25%, 01/12/21		900		908,643
3.20%, 08/10/21		825		829,438
5.20%, 05/12/26		975		1,039,703
4.84%, 05/09/28		820		853,488
BNP Paribas SA, 3.80%, 01/10/24 ^(a)		880		910,469
Citigroup, Inc.:
1.70%, 04/27/18		1,100		1,098,905
2.15%, 07/30/18		1,040		1,040,647
2.50%, 07/29/19		950		952,915
2.45%, 01/10/20		1,500		1,500,692
4.45%, 09/29/27		550		582,286
4.75%, 05/18/46		550		606,292
Citizens Bank N.A.:
2.50%, 03/14/19		525		526,243
2.55%, 05/13/21		330		328,779
Cooperatieve Rabobank UA, 4.63%, 12/01/23		700		750,367
HSBC Holdings PLC:
2.65%, 01/05/22		985		978,462
4.25%, 08/18/25		500		518,513


Security	Par (000)		Value
Banks (continued)
4.38%, 11/23/26	$	270	$	281,885
HSBC USA, Inc., 1.70%, 03/05/18		955		954,710
ING Bank NV, 2.50%, 10/01/19 ^(a)		950		952,395
ING Groep NV, (3 mo. LIBOR US + 1.150%), 2.84%, 03/29/22 ^(e)		1,040		1,059,942
Intesa Sanpaolo SpA, 5.02%, 06/26/24 ^(a)		416		425,952
JPMorgan Chase & Co.:
2.20%, 10/22/19		1,655		1,653,437
2.25%, 01/23/20		1,800		1,798,796
2.30%, 08/15/21		665		659,045
2.70%, 05/18/23		2,275		2,260,085
(3 mo. LIBOR US + 1.337%), 3.78%, 02/01/28 ^(b)		2,050		2,124,313
(3 mo. LIBOR US + 1.360%), 3.88%, 07/24/38 ^(b)		1,300		1,336,358
4.95%, 06/01/45		1,170		1,359,841
Royal Bank of Scotland Group PLC:
(3 mo. LIBOR US + 1.470%), 2.89%, 05/15/23 ^(e)		1,170		1,182,816
(3 mo. LIBOR US + 1.480%), 3.50%, 05/15/23 ^(b)		715		716,559
6.00%, 12/19/23		348		383,295
Santander Holdings USA, Inc., 2.70%, 05/24/19		1,475		1,478,216
Santander UK PLC:
2.50%, 03/14/19		975		977,996
2.13%, 11/03/20		750		743,968
5.00%, 11/07/23 ^(a)		1,753		1,873,184
U.S. Bancorp, 3.10%, 04/27/26		305		302,852
Wells Fargo & Co.:
2.50%, 03/04/21		985		984,549
3.50%, 03/08/22		1,500		1,548,841
4.13%, 08/15/23		350		369,093
3.00%, 10/23/26		330		323,452
5.61%, 01/15/44		200		246,579
4.65%, 11/04/44		980		1,068,684
4.90%, 11/17/45		456		516,093
4.40%, 06/14/46		440		464,042
4.75%, 12/07/46		530		592,349

				54,423,564
Beverages — 2.5%
Anheuser-Busch InBev Finance, Inc.:
2.65%, 02/01/21		2,725		2,738,673
3.30%, 02/01/23		3,675		3,760,603
3.65%, 02/01/26		1,763		1,819,376
4.90%, 02/01/46		675		782,318
Molson Coors Brewing Co.:
3.00%, 07/15/26		285		278,952
4.20%, 07/15/46		170		173,234

				9,553,156
Biotechnology — 1.6%
AbbVie, Inc.:
2.30%, 05/14/21		495		491,383
2.85%, 05/14/23		550		548,795
3.20%, 05/14/26		240		239,291
4.40%, 11/06/42		795		852,356
Amgen, Inc.:
2.20%, 05/22/19		169		169,034
4.40%, 05/01/45		100		108,804
4.66%, 06/15/51		927		1,036,854
Baxalta, Inc., 4.00%, 06/23/25		950		981,899
Gilead Sciences, Inc.:
3.25%, 09/01/22		135		138,945
4.50%, 02/01/45		323		358,990
4.75%, 03/01/46		391		452,285
4.15%, 03/01/47		740		787,120

				6,165,756


Security	Par (000)		Value
Capital Markets — 5.6%
Bank of New York Mellon Corp., 2.20%, 08/16/23	$	1,125	$	1,090,360
Credit Suisse AG:
1.70%, 04/27/18		965		964,282
3.00%, 10/29/21		665		671,823
3.63%, 09/09/24		1,150		1,189,953
Credit Suisse Group Funding Guernsey Ltd., 3.80%, 06/09/23		547		564,118
Deutsche Bank AG, (USD Swap Rate 11:00 am NY 1 + 2.553%), 4.88%, 12/01/32 ^(b)		1,175		1,170,888
Goldman Sachs Group, Inc.:
2.63%, 01/31/19		1,000		1,004,320
2.55%, 10/23/19		1,470		1,472,765
2.88%, 02/25/21		975		982,209
3.00%, 04/26/22		850		853,332
4.25%, 10/21/25		310		323,990
(3 mo. LIBOR US + 1.373%), 4.02%, 10/31/38 ^(b)		975		1,002,682
4.80%, 07/08/44		370		422,005
5.15%, 05/22/45		350		405,876
Morgan Stanley:
2.20%, 12/07/18		1,250		1,251,431
7.30%, 05/13/19		1,625		1,732,429
5.63%, 09/23/19		265		279,261
2.50%, 04/21/21		550		549,079
5.50%, 07/28/21		10		10,938
(3 mo. LIBOR US + 1.400%), 2.76%, 10/24/23 ^(e)		1,675		1,722,650
3.88%, 01/27/26		225		234,532
4.35%, 09/08/26		655		686,347
UBS AG, 2.38%, 08/14/19		973		973,801
UBS Group Funding Jersey Ltd., 3.00%, 04/15/21 ^(a)		2,150		2,165,092

				21,724,163
Chemicals — 0.8%
Air Liquide Finance SA:
2.25%, 09/27/23 ^(a)		520		503,370
2.50%, 09/27/26 ^(a)		290		277,610
E.I. du Pont de Nemours & Co., (3 mo. LIBOR US + 0.530%), 1.91%, 05/01/20 ^(e)		560		563,517
Eastman Chemical Co., 4.65%, 10/15/44		350		381,789
LyondellBasell Industries NV, 5.00%, 04/15/19		1,250		1,283,409
Sherwin-Williams Co., 2.75%, 06/01/22		135		134,476

				3,144,171
Commercial Services & Supplies — 0.5%
Aviation Capital Group LLC, 6.75%, 04/06/21 ^(a)		1,575		1,760,248

Communications Equipment — 0.5%
Cisco Systems, Inc.:
1.85%, 09/20/21		1,025		1,005,948
2.50%, 09/20/26		1,035		1,001,160

				2,007,108
Consumer Finance — 3.4%
Capital One Bank USA N.A., 2.30%, 06/05/19		450		449,469
Capital One N.A.:
2.35%, 08/17/18		1,100		1,101,717
2.40%, 09/05/19		250		249,663
2.35%, 01/31/20		825		822,516
2.95%, 07/23/21		735		739,378
Discover Bank:
2.60%, 11/13/18		700		702,375
3.10%, 06/04/20		742		750,806
Discover Financial Services, 4.10%, 02/09/27		475		486,557
Ford Motor Credit Co. LLC:
2.88%, 10/01/18		1,250		1,257,356
2.94%, 01/08/19		1,415		1,423,835


Security	Par (000)		Value
Consumer Finance (continued)
General Motors Financial Co., Inc.:
2.40%, 04/10/18	$	1,100	$	1,101,368
3.25%, 05/15/18		660		662,480
6.75%, 06/01/18		325		331,062
3.15%, 01/15/20		760		768,583
3.20%, 07/06/21		565		570,515
4.35%, 01/17/27		1,205		1,253,257
Synchrony Financial, 2.60%, 01/15/19		615		616,163

				13,287,100
Containers & Packaging — 0.1%
International Paper Co., 4.35%, 08/15/48		450		469,817

Diversified Financial Services — 1.4%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.50%, 05/15/21		425		446,343
GE Capital International Funding Co., 4.42%, 11/15/35		1,386		1,500,008
General Electric Capital Corp.:
6.75%, 03/15/32		308		421,923
6.15%, 08/07/37		205		270,730
HSBC Finance Corp., 6.68%, 01/15/21		318		353,555
Reckitt Benckiser Treasury Services PLC, 2.75%, 06/26/24 ^(a)		2,140		2,093,624
Voya Financial, Inc., 2.90%, 02/15/18		303		303,296

				5,389,479
Diversified Telecommunication Services — 3.3%
AT&T Inc.:
5.20%, 03/15/20		800		845,616
3.80%, 03/15/22		385		397,892
3.90%, 08/14/27		475		478,174
4.30%, 02/15/30 ^(a)		1,738		1,733,142
4.50%, 05/15/35		750		745,549
5.25%, 03/01/37		630		666,303
5.15%, 03/15/42		400		415,027
4.80%, 06/15/44		65		64,290
4.35%, 06/15/45		105		96,873
4.75%, 05/15/46		203		198,544
5.45%, 03/01/47		525		561,105
5.15%, 02/14/50		745		754,286
Verizon Communications, Inc.:
3.38%, 02/15/25 ^(a)		459		460,734
4.50%, 08/10/33		550		576,856
4.27%, 01/15/36		800		795,842
5.25%, 03/16/37		745		819,263
4.81%, 03/15/39		865		904,970
3.85%, 11/01/42		950		859,327
5.01%, 04/15/49		1,025		1,075,007
4.67%, 03/15/55		412		397,763

				12,846,563
Electric Utilities — 5.3%
American Electric Power Co., Inc., 2.15%, 11/13/20		825		821,156
American Transmission Systems, Inc., 5.25%, 01/15/22 ^(a)		400		432,896
Duke Energy Carolinas LLC:
5.25%, 01/15/18		450		450,507
3.75%, 06/01/45		420		432,560
Duke Energy Corp., 2.65%, 09/01/26		390		373,685
Duke Energy Progress LLC, 6.30%, 04/01/38		750		1,029,750
E.ON International Finance BV, 5.80%, 04/30/18 ^(a)		1,100		1,113,026
Emera U.S. Finance LP:
2.15%, 06/15/19		185		184,280
4.75%, 06/15/46		370		405,085
Entergy Arkansas, Inc., 3.70%, 06/01/24		825		866,219
Entergy Corp., 4.00%, 07/15/22		700		730,760
Eversource Energy, 1.60%, 01/15/18		125		124,974


Security	Par (000)		Value
Electric Utilities (continued)
Exelon Corp., 3.40%, 04/15/26	$	200	$	200,066
Florida Power & Light Co., 5.95%, 02/01/38		800		1,069,319
Georgia Power Co., 2.00%, 09/08/20		635		631,350
Great Plains Energy, Inc., 5.29%, 06/15/22 ^(f)		745		809,896
Kentucky Utilities Co., 5.13%, 11/01/40		375		462,703
MidAmerican Energy Holdings Co., 5.30%, 03/15/18		2,170		2,185,711
Northern States Power Co., 6.20%, 07/01/37		725		989,452
Ohio Power Co., Series D, 6.60%, 03/01/33		675		889,682
Oncor Electric Delivery Co. LLC, 5.30%, 06/01/42		660		830,261
PacifiCorp, 6.00%, 01/15/39		450		604,697
Progress Energy, Inc.:
4.88%, 12/01/19		1,075		1,124,432
3.15%, 04/01/22		775		785,002
Southern Co.:
2.35%, 07/01/21		785		780,343
2.95%, 07/01/23		1,740		1,740,852
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25 ^(a)		445		461,614

				20,530,278
Energy Equipment & Services — 0.3%
Halliburton Co., 3.80%, 11/15/25		950		987,303

Equity Real Estate Investment Trusts (REITs) — 2.3%
American Tower Corp.:
2.80%, 06/01/20		1,000		1,006,230
3.30%, 02/15/21		265		269,859
4.70%, 03/15/22		525		562,000
3.00%, 06/15/23		1,175		1,171,923
3.13%, 01/15/27		825		794,265
AvalonBay Communities, Inc., 4.20%, 12/15/23		1,000		1,064,274
Crown Castle International Corp.:
3.40%, 02/15/21		1,453		1,483,860
2.25%, 09/01/21		265		260,530
5.25%, 01/15/23		807		883,621
Host Hotels & Resorts LP, 6.00%, 10/01/21		725		796,987
Simon Property Group LP, 1.50%, 02/01/18 ^(a)		725		724,914

				9,018,463
Food & Staples Retailing — 0.3%
CVS Health Corp., 5.30%, 12/05/43		175		203,635
Walgreens Boots Alliance, Inc.:
3.45%, 06/01/26		195		192,827
4.80%, 11/18/44		630		678,287

				1,074,749
Food Products — 0.4%
Kraft Heinz Foods Co.:
3.00%, 06/01/26		1,135		1,092,188
5.00%, 06/04/42		250		268,256
4.38%, 06/01/46		365		361,551

				1,721,995
Gas Utilities — 0.5%
Atmos Energy Corp., 8.50%, 03/15/19		800		859,977
Fortis, Inc./Canada, 2.10%, 10/04/21		945		922,436

				1,782,413
Health Care Equipment & Supplies — 2.4%
Abbott Laboratories:
2.35%, 11/22/19		1,345		1,346,463
3.75%, 11/30/26		1,000		1,026,866
4.75%, 11/30/36		385		432,586
4.75%, 04/15/43		117		129,906
4.90%, 11/30/46		160		183,440
Becton Dickinson and Co.:
2.13%, 06/06/19		845		843,102
2.68%, 12/15/19		88		88,318


Security	Par (000)		Value
Health Care Equipment & Supplies (continued)
(3 mo. LIBOR US + 1.030%), 2.54%, 06/06/22^(e)	$	1,525	$	1,533,003
Medtronic, Inc.:
3.15%, 03/15/22		960		983,275
3.50%, 03/15/25		950		985,480
4.63%, 03/15/44		500		572,686
4.63%, 03/15/45		715		833,012
Stryker Corp., 3.50%, 03/15/26		160		165,096

				9,123,233
Health Care Providers & Services — 2.5%
Aetna, Inc.:
1.70%, 06/07/18		720		718,868
2.80%, 06/15/23		350		344,463
3.50%, 11/15/24		395		401,014
3.88%, 08/15/47		360		354,786
Anthem, Inc.:
4.35%, 08/15/20		700		733,403
2.50%, 11/21/20		285		284,405
5.10%, 01/15/44		300		350,140
Cigna Corp., 3.25%, 04/15/25		618		621,013
Coventry Health Care, Inc., 5.45%, 06/15/21		850		920,182
HCA, Inc.:
5.25%, 06/15/26		1,060		1,123,600
4.50%, 02/15/27		565		567,825
5.50%, 06/15/47		430		428,925
UnitedHealth Group, Inc.:
3.35%, 07/15/22		75		77,447
2.88%, 03/15/23		1,175		1,188,501
3.75%, 07/15/25		770		811,599
4.63%, 11/15/41		645		735,928
4.75%, 07/15/45		120		141,744

				9,803,843
Hotels, Restaurants & Leisure — 0.1%
McDonald’s Corp.:
2.75%, 12/09/20		85		85,882
4.88%, 12/09/45		365		422,834

				508,716
Household Durables — 0.3%
Newell Brands, Inc.:
3.85%, 04/01/23		850		879,546
4.20%, 04/01/26		235		245,436
5.50%, 04/01/46		125		149,035

				1,274,017
Industrial Conglomerates — 0.3%
Eaton Corp., 4.15%, 11/02/42		375		390,483
Tyco Electronics Group SA, 3.50%, 02/03/22		600		616,431

				1,006,914
Insurance — 1.3%
Allied World Assurance Co. Holdings Ltd., 5.50%, 11/15/20		825		879,558
American International Group, Inc.:
6.40%, 12/15/20		485		537,680
3.30%, 03/01/21		220		224,274
3.90%, 04/01/26		740		767,386
Aon PLC, 4.00%, 11/27/23		1,760		1,851,394
Marsh & McLennan Cos., Inc., 3.75%, 03/14/26		600		626,628
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39^(a)		90		127,156

				5,014,076
Internet & Direct Marketing Retail — 0.8%
Amazon.com, Inc.:
2.40%, 02/22/23^(a)		550		544,289
2.80%, 08/22/24^(a)		525		523,404
3.15%, 08/22/27^(a)		1,975		1,977,976

				3,045,669


Security	Par (000)		Value
IT Services — 0.8%
Fidelity National Information Services, Inc.:
3.63%, 10/15/20	$	1,590	$	1,633,683
3.50%, 04/15/23		330		337,348
5.00%, 10/15/25		119		131,509
Visa, Inc.:
2.80%, 12/14/22		510		517,472
3.15%, 12/14/25		620		633,824

				3,253,836
Life Sciences Tools & Services — 0.3%
Life Technologies Corp., 6.00%, 03/01/20		820		877,633
Thermo Fisher Scientific, Inc.:
2.15%, 12/14/18		220		220,302
3.00%, 04/15/23		180		181,110

				1,279,045
Machinery — 0.5%
John Deere Capital Corp.:
1.35%, 01/16/18		790		789,841
2.38%, 07/14/20		830		831,744
2.65%, 06/24/24		215		212,955

				1,834,540
Media — 3.3%
21st Century Fox America, Inc., 6.40%, 12/15/35		306		406,660
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.20%, 03/15/28		565		560,802
Charter Communications Operating LLC/Charter
Communications Operating Capital:
4.46%, 07/23/22		1,075		1,121,600
6.38%, 10/23/35		325		379,478
6.48%, 10/23/45		2,425		2,827,380
5.38%, 05/01/47		100		102,535
6.83%, 10/23/55		57		68,562
Comcast Corp.:
4.25%, 01/15/33		650		708,477
6.50%, 11/15/35		550		743,569
3.20%, 07/15/36		610		580,059
4.50%, 01/15/43		225		248,617
4.60%, 08/15/45		700		785,164
Cox Communications, Inc., 3.35%, 09/15/26^(a)		115		112,383
Discovery Communications LLC:
2.95%, 03/20/23		345		341,438
3.95%, 03/20/28		575		571,927
5.20%, 09/20/47		335		349,646
Grupo Televisa SAB, 6.63%, 01/15/40		500		614,942
Sky PLC, 2.63%, 09/16/19^(a)		200		200,389
Time Warner Cable LLC:
8.25%, 04/01/19		695		742,807
4.50%, 09/15/42		137		128,536
Time Warner, Inc.:
3.60%, 07/15/25		305		305,682
3.88%, 01/15/26		592		597,646
3.80%, 02/15/27		315		314,702

				12,813,001
Metals & Mining — 0.3%
Rio Tinto Finance USA Ltd.:
3.75%, 06/15/25		74		77,569
7.13%, 07/15/28		550		726,492
Southern Copper Corp., 5.88%, 04/23/45		425		513,331

				1,317,392
Multiline Retail — 0.2%
Target Corp., 2.50%, 04/15/26		850		817,243

Multi-Utilities — 2.2%
Berkshire Hathaway Energy Co.:
5.75%, 04/01/18		1,475		1,488,901


Security	Par (000)		Value
Multi-Utilities (continued)
4.50%, 02/01/45	$	900	$	1,006,137
CMS Energy Corp., 5.05%, 03/15/22		1,644		1,787,242
Dominion Gas Holdings LLC, 2.50%, 12/15/19		845		846,328
Dominion Resources, Inc., 1.88%, 01/15/19		525		523,425
NiSource Finance Corp., 5.25%, 02/15/43		440		526,875
Pacific Gas & Electric Co., 3.85%, 11/15/23		575		599,645
Virginia Electric & Power Co.: 6.00%, 01/15/36		900		1,167,308
4.45%, 02/15/44		350		394,877

				8,340,738
Oil, Gas & Consumable Fuels — 7.5%
Anadarko Petroleum Corp., 6.60%, 03/15/46		500		643,139
Andeavor Logistics LP/Tesoro Logistics Finance Corp.:
6.25%, 10/15/22		336		356,486
3.50%, 12/01/22		70		69,867
4.25%, 12/01/27		180		181,545
Cenovus Energy, Inc., 4.25%, 04/15/27		425		423,976
Chevron Corp., 2.19%, 11/15/19		255		255,543
Cimarex Energy Co., 3.90%, 05/15/27		940		961,168
Concho Resources, Inc., 3.75%, 10/01/27		1,170		1,185,276
ConocoPhillips Co., 4.95%, 03/15/26		600		681,046
Devon Energy Corp.:
3.25%, 05/15/22		731		743,569
5.00%, 06/15/45		204		227,571
El Paso Natural Gas Co. LLC, 8.63%, 01/15/22		485		580,510
Enbridge, Inc., 4.25%, 12/01/26		840		878,333
Encana Corp., 6.50%, 05/15/19		750		788,058
Energy Transfer Partners LP:
6.70%, 07/01/18		925		945,428
5.20%, 02/01/22		5		5,338
6.50%, 02/01/42		560		634,097
5.30%, 04/15/47		375		372,098
Enterprise Products Operating LLC:
6.45%, 09/01/40		525		680,691
5.70%, 02/15/42		490		592,573
4.90%, 05/15/46		300		330,538
Hess Corp., 5.80%, 04/01/47		600		667,675
Kerr-McGee Corp., 7.88%, 09/15/31		450		597,895
Kinder Morgan Energy Partners LP:
6.50%, 04/01/20		390		420,702
7.30%, 08/15/33		800		999,380
5.00%, 03/01/43		490		497,379
5.50%, 03/01/44		525		559,226
Kinder Morgan, Inc.:
6.50%, 09/15/20		925		1,011,432
3.15%, 01/15/23		750		745,432
5.55%, 06/01/45		265		290,015
Marathon Petroleum Corp., 4.75%, 09/15/44		381		398,080
Noble Energy, Inc., 5.25%, 11/15/43		425		470,375
Pioneer Natural Resources Co.:
6.88%, 05/01/18		880		893,539
3.45%, 01/15/21		255		260,134
Plains All American Pipeline LP/PAA Finance Corp.:
2.60%, 12/15/19		900		894,884
4.90%, 02/15/45		300		288,084
Regency Energy Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22		1,020		1,087,291
Sabine Pass Liquefaction LLC:
5.63%, 02/01/21		750		804,044
5.75%, 05/15/24		425		472,379
5.63%, 03/01/25		550		606,655
Schlumberger Norge AS, 4.20%, 01/15/21^(a)		975		1,018,881
Sunoco Logistics Partners Operations LP, 5.35%, 05/15/45		800		794,971
Texas Eastern Transmission LP, 2.80%, 10/15/22^(a)		1,400		1,391,049


Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Western Gas Partners LP, 5.38%, 06/01/21	$	1,025	$	1,086,901
Williams Partners LP, 4.50%, 11/15/23		1,300		1,374,849

				29,168,102
Pharmaceuticals — 4.2%
Allergan Funding SCS:
3.00%, 03/12/20		1,800		1,816,194
3.45%, 03/15/22		1,780		1,808,576
3.80%, 03/15/25		900		916,242
4.55%, 03/15/35		900		952,350
4.85%, 06/15/44		425		454,930
EMD Finance LLC, 1.70%, 03/19/18^(a)		1,800		1,799,582
Johnson & Johnson:
2.45%, 03/01/26		510		497,340
3.55%, 03/01/36		560		580,576
Merck & Co., Inc., 2.35%, 02/10/22		310		309,584
Mylan NV:
2.50%, 06/07/19		332		331,657
3.95%, 06/15/26		325		327,719
Mylan, Inc., 2.60%, 06/24/18		968		969,608
Pfizer, Inc.:
5.20%, 08/12/20		900		968,997
4.30%, 06/15/43		250		280,663
Shire Acquisitions Investments Ireland DAC: 2.40%, 09/23/21		1,310		1,289,382
2.88%, 09/23/23		1,445		1,420,542
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21		514		488,967
Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 07/21/21		415		379,090
Wyeth LLC, 5.95%, 04/01/37		425		569,771

				16,161,770
Road & Rail — 1.0%
Burlington Northern Santa Fe LLC, 5.75%, 05/01/40		500		651,518
Canadian National Railway Co., 6.25%, 08/01/34		575		777,506
Canadian Pacific Railway Co., 7.25%, 05/15/19		500		532,018
Kansas City Southern, 2.35%, 05/15/20		370		368,531
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 02/01/22^(a)		1,000		1,018,722
Union Pacific Corp., 4.05%, 03/01/46		355		383,883

				3,732,178
Semiconductors & Semiconductor Equipment — 2.5%
Analog Devices, Inc.:
2.50%, 12/05/21		340		336,651
3.50%, 12/05/26		195		197,336
Applied Materials, Inc., 3.30%, 04/01/27		705		717,054
Broadcom Corp./Broadcom Cayman Finance Ltd.:
2.38%, 01/15/20^(a)		2,035		2,021,238
3.00%, 01/15/22^(a)		1,425		1,412,930
3.63%, 01/15/24^(a)		1,055		1,049,076
3.88%, 01/15/27^(a)		138		135,798
KLA-Tencor Corp., 4.65%, 11/01/24		40		43,388
NVIDIA Corp.:
2.20%, 09/16/21		490		484,742
3.20%, 09/16/26		1,185		1,188,575
NXP BV/NXP Funding LLC, 4.63%, 06/01/23^(a)		775		810,650
QUALCOMM, Inc.:
(3 mo. LIBOR US + 0.360%), 1.80%, 05/20/19^(e)		1,020		1,021,394
(3 mo. LIBOR US + 0.450%), 1.89%, 05/20/20^(e)		440		440,188

				9,859,020


Security	Par (000)		Value
Software — 3.0%
Microsoft Corp.:
1.55%, 08/08/21	$	1,325	$	1,290,116
2.00%, 08/08/23		1,150		1,117,122
2.88%, 02/06/24		990		1,004,332
2.40%, 08/08/26		1,235		1,190,991
4.10%, 02/06/37		530		591,749
3.75%, 02/12/45		466		490,929
4.45%, 11/03/45		517		605,974
3.70%, 08/08/46		370		385,729
Oracle Corp.:
2.40%, 09/15/23		2,050		2,024,363
2.65%, 07/15/26		1,190		1,160,188
3.25%, 11/15/27		800		813,572
4.13%, 05/15/45		850		916,755
4.00%, 07/15/46		161		171,306

				11,763,126
Specialty Retail — 0.3%
Home Depot, Inc.:
4.40%, 03/15/45		215		243,480
4.25%, 04/01/46		335		374,127
Lowe’s Cos., Inc., 3.70%, 04/15/46		425		426,740
QVC, Inc., 4.38%, 03/15/23		250		256,360

				1,300,707
Technology Hardware, Storage & Peripherals — 2.0%
Apple Inc.:
(3 mo. LIBOR US + 0.500%), 1.90%, 02/09/22^(e)		1,725		1,748,744
2.85%, 02/23/23		1,010		1,023,683
3.25%, 02/23/26		855		872,582
2.45%, 08/04/26		1,050		1,006,369
2.90%, 09/12/27		375		370,558
4.38%, 05/13/45		960		1,081,505
3.85%, 08/04/46		730		760,783
Dell International LLC/EMC Corp., 8.35%, 07/15/46^(a)		595		766,683

				7,630,907
Tobacco — 2.2%
Altria Group, Inc.:
2.63%, 09/16/26		210		203,052
4.50%, 05/02/43		450		488,961
BAT Capital Corp.:
3.22%, 08/15/24 ^(a)		1,235		1,234,951
3.56%, 08/15/27 ^(a)		640		640,830
Imperial Brands Finance PLC, 2.05%, 02/11/18 ^(a)		950		949,877
Philip Morris International, Inc., 3.88%, 08/21/42		700		698,098
Reynolds American, Inc.:
4.00%, 06/12/22		730		762,725
4.85%, 09/15/23		220		239,563
4.45%, 06/12/25		2,000		2,132,491
5.70%, 08/15/35		550		655,592
7.00%, 08/04/41		350		473,614

				8,479,754
Trading Companies & Distributors — 0.4%
Air Lease Corp., 3.38%, 06/01/21		540		551,605
International Lease Finance Corp., 5.88%, 04/01/19		885		921,107

				1,472,712
Wireless Telecommunication Services — 0.7%
America Movil SAB de CV, 5.00%, 03/30/20		468		493,244
Crown Castle Towers LLC, 6.11%, 01/15/20 ^(a)		1,450		1,528,507
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 03/20/23 ^(a)		319		320,742


Security	Par (000)		Value
Wireless Telecommunication Services (continued)
Vodafone Group PLC, 4.38%, 02/19/43	$	425	$	438,068

				2,780,561

Total Corporate Bonds — 84.9% (Cost: $319,628,540)				329,339,933


Foreign Agency Obligations — 0.8%

China — 0.2%
CNOOC Finance 2013 Ltd., 3.00%, 05/09/23		800		791,079

Mexico — 0.6%
Petroleos Mexicanos:
6.38%, 02/04/21		633		688,071
5.38%, 03/13/22 ^(a)		155		164,300
4.63%, 09/21/23		825		848,719
6.38%, 01/23/45		475		477,541

				2,178,631

Total Foreign Agency Obligations — 0.8% (Cost: $2,900,244)				2,969,710


Foreign Government Obligations — 1.7%

Colombia — 0.3%
Republic of Colombia:
5.63%, 02/26/44		413		472,885
5.00%, 06/15/45		560		592,200

				1,065,085
Indonesia — 0.4%
Republic of Indonesia:
4.13%, 01/15/25 ^(a)		350		363,360
3.50%, 01/11/28		975		971,658

				1,335,018
Mexico — 0.7%
United Mexican States:
4.15%, 03/28/27		470		487,390
4.75%, 03/08/44		1,123		1,135,353
4.60%, 02/10/48		1,250		1,234,375

				2,857,118
Peru — 0.1%
Republic of Peru, 5.63%, 11/18/50		290		372,070

Poland — 0.1%
Republic of Poland, 3.25%, 04/06/26		440		449,295

Uruguay — 0.1%
Republic of Uruguay, 5.10%, 06/18/50		375		416,250

Total Foreign Government Obligations — 1.7% (Cost: $6,140,364)				6,494,836


Taxable Municipal Bonds — 2.4%
Chicago O’Hare International Airport RB, 6.40%, 01/01/40		1,000		1,395,780
Los Angeles Department of Water & Power RB, 6.57%, 07/01/45		1,075		1,617,897
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39		1,125		1,740,814
Port Authority of New York & New Jersey RB, 4.46%, 10/01/62		1,300		1,501,149


Security	Par (000)		Value
State of California GO:
7.30%, 10/01/39	$	510	$	760,849
7.63%, 03/01/40		1,125		1,760,006
7.60%, 11/01/40		430		686,680

Total Taxable Municipal Bonds — 2.4% (Cost: $7,444,351)				9,463,175


U.S. Government Sponsored Agency Securities — 0.1%

Agency Obligations — 0.1%
Fannie Mae, 1.88%, 09/24/26		395		372,342

Total U.S. Government Sponsored Agency Securities — 0.1% (Cost: $392,791)				372,342


Security	Par (000)		Value
U.S. Treasury Obligations — 0.2%
U.S. Treasury Bonds:
3.00%, 05/15/47	$	375	$	394,263
2.75%, 08/15/47		150		150,188

Total U.S. Treasury Obligations — 0.2% (Cost: $539,132)				544,451

Total Long-Term Investments — 94.2% (Cost: $352,299,600)				365,192,830


	Shares

Short-Term Securities — 4.7%
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.11% ^(g)		18,381,531		18,381,531

Total Short-Term Securities — 4.7% (Cost: $18,381,531)				18,381,531


Options Purchased — 0.0% (Cost: $174,555)				73,915

Total Investments — 98.9% (Cost: $370,855,686)				383,648,276
Other Assets Less Liabilities — 1.1%				4,255,380

Net Assets — 100.0%			$	387,903,656

For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

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

During the period ended December 31, 2017, there were no transfers between levels.


Security	Par (000)		Value
Municipal Bonds — 94.9%

Alabama — 1.6%
Alabama Special Care Facilities Financing Authority-Birmingham, Methodist Home for the Aging Project, Series 2015-1, RB, 5.50%, 06/01/30	$	500	$	558,780
County of Jefferson Alabama Sewer, Refunding RB, Sub-Lien, Warrants, Series D, 6.50%, 10/01/53		1,000		1,195,200
State of Alabama Docks Department, Refunding RB, AMT, (AGM), Series A, 5.00%, 10/01/35		1,000		1,158,700

				2,912,680
Alaska — 0.9%
Northern Tobacco Securitization Corp., Refunding RB, Asset-Backed, Series A:
4.63%, 06/01/23		310		316,928
5.00%, 06/01/46		1,400		1,354,584

				1,671,512
Arizona — 2.1%
Arizona IDA:
RB, Academies Math & Science Project, Series B, 5.13%, 07/01/47 ^(a)		195		195,799
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/26 ^(a)		300		327,978
Refunding RB, Basis Schools Projects, Series A, 5.13%, 07/01/37 ^(a)		605		641,972
Refunding RB, Odyssey Prepatory Academy Project, 5.50%, 07/01/52 ^(a)		485		464,087
City of Phoenix IDA:
RB, Legacy Traditional Schools Project, 5.00%, 07/01/46 ^(a)		570		596,077
Refunding RB, Basis Schools Projects, 5.00%, 07/01/45 ^(a)		140		145,949
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/35 ^(a)		45		47,264
Refunding RB, Basis Schools Projects, Series A, 5.00%, 07/01/46 ^(a)		50		52,092
Refunding RB, Legacy Traditional Schools Project, 5.00%, 07/01/35 ^(a)		300		314,508
Refunding RB, Legacy Traditional Schools Project, 5.00%, 07/01/45 ^(a)		100		103,989
La Paz County IDA, RB, Imagine Schools West Middle Project, 5.88%, 06/15/48 ^(a)		285		292,045
Salt Verde Financial Corp., RB, 5.00%, 12/01/37		500		625,000

				3,806,760
Arkansas — 0.3%
Pulaski County Public Facilities Board, RB:
5.00%, 12/01/39		230		260,045
5.00%, 12/01/42		250		282,157

				542,202
California — 10.4%
California County Tobacco Securitization Agency:
RB, Asset-Backed, 5.45%, 06/01/28		500		508,290
RB, Asset-Backed, 5.60%, 06/01/36		405		411,853
RB, Asset-Backed, 5.70%, 06/01/46		760		762,896
Refunding RB, Asset-Backed, Merced County Project, Series A, 5.00%, 06/01/26		45		45,018
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.00%, 06/01/26		275		275,190
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.25%, 06/01/45		325		325,010


Security	Par (000)		Value
California (continued)
Refunding RB, Golden Gate Tobacco Project, Series A, 5.00%, 06/01/36	$	300	$	300,003
California Educational Facilities Authority, RB, Chapman University Project, 5.00%, 04/01/45		500		564,310
California Infrastructure & Economic Development Bank, Refunding RB, Academy Motion Picture Art Project, 4.00%, 11/01/45		750		790,627
California Municipal Finance Authority:
RB, John Adams Academics Project, 5.00%, 10/01/35		250		257,185
RB, John Adams Academics Project, 5.25%, 10/01/45		250		258,580
RB, Sycamore Academy Project, 5.63%, 07/01/44 ^(a)		150		153,973
Refunding RB, Community Medical Centers Project, Series A, 5.00%, 02/01/46		650		734,097
California Pollution Control Financing Authority, RB, AMT, 5.00%, 11/21/45 ^(a)		1,020		1,106,068
California School Finance Authority, RB:
Alliance College-Ready Public Schools Project, 5.00%, 07/01/51 ^(a)		300		326,961
Alta Public Schools Project, Series A, 6.75%, 11/01/45 ^(a)		250		269,182
California Statewide Communities Development Authority:
RB, Loma Linda University Medical Center Project, Series A, 5.25%, 12/01/56 ^(a)		100		110,808
Refunding RB, (AGM), 5.00%, 11/15/49		500		566,595
Refunding RB, 899 Charleston Project, Series A, 5.25%, 11/01/44 ^(a)		250		267,880
Refunding RB, CHF Irvine LLC Project, 5.00%, 05/15/34		1,750		2,036,755
Refunding RB, Front Porch Communities & Services Project, Series A, 4.00%, 04/01/36		600		636,648
Refunding RB, Front Porch Communities & Services Project, Series A, 5.00%, 04/01/47		1,000		1,151,660
California Statewide Financing Authority, RB, Asset-Backed:
Series A, 6.00%, 05/01/43		85		85,020
Series B, 5.63%, 05/01/29		110		110,103
Series B, 6.00%, 05/01/43		315		315,076
City of Irvine, Community Facilities District No. 2013-3, (Great Park) Improvement Area No. 1, Special Tax Bonds, 5.00%, 09/01/44		250		274,433
City of Los Angeles Department of Airports, RB, AMT, Los Angeles International Airport Project, 5.00%, 05/15/46		1,000		1,166,300
City of Roseville, CDF No. 1, Special Tax Bonds, 5.00%, 09/01/44		500		538,650
Golden State Tobacco Securitization Corp, Refunding RB, Asset-Backed, Senior, Series A-1:
5.00%, 06/01/33		335		335,003
5.75%, 06/01/47		1,115		1,122,682
Norman Y Mineta San Jose International Airport, Refunding RB, AMT, Series A, 5.00%, 03/01/35		500		588,765
Oakland Unified School District, GO, Series A, 5.00%, 08/01/40		350		403,529
Riverside County Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/45		500		590,560


Security	Par (000)		Value
California (continued)
San Francisco City & County Redevelopment Agency, Tax Allocation Bonds, Mission Bay’s Redevelopment Project, Sub-Series D, 0.00%, 08/01/31 ^(a)(b)	$	580	$	287,355
Tobacco Securitization Authority of Southern California, Refunding RB, Senior, Series A-1:
5.00%, 06/01/37		1,070		1,072,450
5.13%, 06/01/46		575		575,788

				19,325,303
Colorado — 3.2%
Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47		1,000		1,005,440
Centerra Metropolitan District No. 1, Tax Allocation Bonds, 5.00%, 12/01/47 ^(a)		155		160,313
Colorado Educational & Cultural Facilities Authority, Refunding RB, Charter School-University Project, 5.00%, 12/15/45 ^(a)		500		526,790
Colorado Health Facilities Authority:
RB, Catholic Health Initiatives Project, Series A, 5.00%, 07/01/38		215		233,346
RB, Catholic Health Initiatives Project, Series A, 5.25%, 01/01/40		815		889,980
RB, Catholic Health Initiatives Project, Series A, 5.25%, 01/01/45		610		664,650
Refunding RB, Catholic Health Initiatives Project, Series A, 5.00%, 07/01/39		400		412,020
Refunding RB, Catholic Health Initiatives Project, Series A, 5.00%, 02/01/41		200		211,250
Refunding RB, Sunny Vista Living Center Project, Series A, 6.13%, 12/01/45 ^(a)		130		137,884
Refunding RB, Sunny Vista Living Center Project, Series A, 6.25%, 12/01/50 ^(a)		130		138,061
Copperleaf Metropolitan District No. 2, GO, Refunding, 5.75%, 12/01/45		500		528,475
Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40		925		1,045,518

				5,953,727
Connecticut — 0.4%
Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45 ^(a)		215		228,130
Mohegan Tribe of Indians of Connecticut:
RB, Series A, 6.75%, 02/01/45 ^(a)		98		105,974
Refunding RB, Priority District Project, Series C, 6.25%, 02/01/30 ^(a)		330		351,929

				686,033
Delaware — 0.3%
Delaware State EDA, RB, Exempt Facility Indian River Power Project, 5.38%, 10/01/45		505		528,195

Florida — 3.8%
Babcock Ranch Community Independent Special District, Special Assessment Bonds, 4.25%, 11/01/21		335		343,432
Brevard County Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 04/01/39		500		555,730
Cape Coral Health Facilities Authority, Refunding RB, Senior Housing Gulf Care Project, 5.88%, 07/01/40 ^(a)		250		271,002
Capital Trust Agency, Inc., RB, Gardens Apartments Project, Series A, 5.00%, 07/01/50		500		532,800


Security	Par (000)		Value
Florida (continued)
Celebration Pointe Community Development District, Special Assessment Bonds:
5.13%, 05/01/45	$	250	$	254,100
Alachua County Project, 4.00%, 05/01/22 ^(a)		100		102,016
Florida Development Finance Corp., RB:
AMT, Brightline Passenger Rail Project, 5.63%, 01/01/47 ^(a)(c)		970		1,010,236
AMT, Waste Pro USA, Inc. Project, 5.00%, 08/01/29 ^(a)(c)		470		481,755
Renaissance Charter School Project, Series A, 6.13%, 06/15/44		45		47,551
Greater Orlando Aviation Authority, Refunding RB, AMT, Special Purpose JetBlue Airway Project, 5.00%, 11/15/36		250		263,685
Hillsborough County Aviation Authority, Refunding RB, AMT, Tampa International Project, Series A, 5.00%, 10/01/44		350		392,893
Lakewood Ranch Stewardship District, Special Assessment Bonds:
4.88%, 05/01/35		250		257,198
Village of Lakewood Ranch Project, Series 2016,4.00%, 05/01/21		100		101,298
Village of Lakewood Ranch Project, Series 2016,5.13%, 05/01/46		170		178,022
Miami Health Facilities Authority, Refunding RB, Miami Jewish Health Systems Obligation Project:
5.13%, 07/01/38		500		557,455
5.13%, 07/01/46		390		433,824
Orange County Health Facilities Authority:
RB, Presbyterian Retirement Community Project, 5.00%, 08/01/35		250		277,575
Refunding RB, Presbyterian Retirement Community Project, 5.00%, 08/01/41		695		770,206
Trout Creek Community Development District, Special Assessment Bonds, 5.63%, 05/01/45		250		253,345

				7,084,123
Georgia — 1.9%
Dahlonega Downtown Development Authority, Refunding RB, North Georgia MAC LLC Project:
3.00%, 07/01/35		325		315,919
3.13%, 07/01/40		410		398,668
Dalton Whitfield County Joint Development Authority, RB, Hamilton Health Care System Project, 4.00%, 08/15/48		560		584,153
Gainesville & Hall County Hospital Authority, Refunding RB, North East Georgia Health Systems, Inc. Project, 5.50%, 08/15/54		250		297,233
Glynn-Brunswick Memorial Hospital Authority, Refunding RB, RAN, South East Georgia Health System Project, 4.00%, 08/01/43		1,945		1,990,960

				3,586,933
Hawaii — 0.1%
State of Hawaii Department of Budget & Finance, Refunding RB, 5.00%, 01/01/45 ^(a)		220		220,084

Idaho — 1.0%
Idaho Health Facilities Authority, Refunding RB, Trinity Health Credit Group Project, 5.00%, 12/01/47		400		464,788


Security	Par (000)		Value
Idaho (continued)
Idaho State Building Authority, RB, State Office Campus Project, Series A, 4.00%, 09/01/48	$	1,380	$	1,475,813

				1,940,601
Illinois — 7.7%
City of Chicago Board of Education, GO:
Refunding, Series C, 5.00%, 12/01/34		625		644,694
Refunding, Series D, 5.00%, 12/01/25		290		310,506
Refunding, Series F, 5.00%, 12/01/22		215		227,835
Series H, 5.00%, 12/01/46		625		641,187
City of Chicago, GO, Refunding, Series A:
5.00%, 01/01/36		250		262,120
6.00%, 01/01/38		275		317,779
City of Chicago, O’Hare International Airport Revenue:
Refunding RB, Senior Lien, Series D, 5.00%, 01/01/39		260		291,639
Refunding RB, Series D, 5.00%, 01/01/46 .		1,000		1,133,430
City of Chicago, Wastewater Transmission Revenue, Refunding RB, Second Lien, Series C, 5.00%, 01/01/39		500		551,720
Cook County Community College District No. 508, GO:
5.25%, 12/01/30		920		995,063
5.00%, 12/01/47		710		784,117
Illinois Finance Authority, Refunding RB:
Chicago LLC University of Illinois at Chicago Project, 5.00%, 02/15/47		95		104,833
Chicago LLC University of Illinois at Chicago Project, 5.00%, 02/15/50		45		49,087
Lutheran Home & Services Project, 5.50%, 05/15/30		500		534,920
Presence Health Network Project, Series C, 5.00%, 02/15/36		1,500		1,687,980
Presence Health Network Project, Series C, 5.00%, 02/15/41		650		729,833
Senior, Rogers Park Montessori School Project, 6.13%, 02/01/45		150		155,250
Southern Illinois Healthcare Enterprises, Inc. Project, 4.00%, 03/01/35		600		624,750
Metropolitan Pier & Exposition Authority:
RB, McCormick Place Expansion Project, Series 2015A, 5.50%, 06/15/53		390		433,703
Refunding RB, McCormick Place Expansion Project, Series B, 5.00%, 06/15/52		80		83,928
Refunding RB, McCormick Project, Series B-2, 5.00%, 06/15/50		600		618,096
Refunding RB, McCormick Project, Series B-2, 5.20%, 06/15/50		405		418,904
Refunding RB, McCormick Project, Series B-2, 5.25%, 06/15/50		465		481,833
State of Illinois, GO:
5.25%, 02/01/30		1,000		1,076,880
4.13%, 11/01/31		300		295,170
5.00%, 03/01/35		235		244,005
5.00%, 03/01/37		300		311,031
5.00%, 05/01/39		275		288,500

				14,298,793
Indiana — 1.4%
City of Vincennes, Refunding RB, Southwest Industrial Regional Youth Village Factory Project, 6.25%, 01/01/29 ^(a)		485		474,834


Security	Par (000)		Value
Indiana (continued)
County of Allen RB, StoryPoint Fort Wayne Project:
6.63%, 01/15/34 ^(a)	$	100	$	106,168
6.75%, 01/15/43 ^(a)		200		211,480
6.88%, 01/15/52 ^(a)		120		127,151
Indiana Finance Authority:
RB, AMT, Private Activity Bond, Ohio River Bridges East End Crossing Project, 5.25%, 01/01/51		1,000		1,087,830
Refunding RB, Marquette Project, 4.75%, 03/01/32		270		278,513
Town of Chesterton RB, StoryPoint Chesterton Project, Series A, 6.38%, 01/15/51 ^(a)		265		278,250

				2,564,226
Iowa — 0.7%
Iowa Finance Authority Refunding RB, Iowa Fertilizer Co. Project:
5.50%, 12/01/22		750		764,805
5.25%, 12/01/25		310		330,042
Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, Series C, 5.50%, 06/01/42		240		240,862

				1,335,709
Kentucky — 0.3%
Kentucky Economic Development Finance Authority, Refunding RB, Owensboro Health Project, Series A, 5.25%, 06/01/41		500		568,335

Louisiana — 0.3%
Juban Crossing Economic Development District, Refunding RB, General Infrastructure Projects, Series C, 7.00%, 09/15/44 ^(a)		475		494,504

Maryland — 1.6%
Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, Villages at 2 Rivers Project, 5.25%, 07/01/44		250		254,412
City of Baltimore, Refunding RB, Baltimore Research Park Project, Series A, 4.00%, 09/01/27		100		104,807
County of Frederick, RB, Jefferson Technology Park Project, Series B, 7.13%, 07/01/43 ^(a)		150		163,497
Maryland Economic Development Corp:
RB, AMT, Green Bonds, Purple Line Light Rail Project, 5.00%, 03/31/51		620		688,008
Refunding RB, Towson University Project, 5.00%, 07/01/37		700		751,891
Refunding RB, Transport Facility Project, Series A, 5.00%, 06/01/35		345		391,106
Refunding RB, University of Maryland Project, 5.00%, 07/01/39		100		110,229
Maryland Health & Higher Educational Facilities Authority, Refunding RB, Meritus Medical Center Project, 5.00%, 07/01/40		500		551,145

				3,015,095
Massachusetts — 3.8%
Massachusetts Development Finance Agency:
RB, Baystate Medical Center Project, Series N, 5.00%, 07/01/44		500		558,700
RB, Emerson College Project, Series A, 5.00%, 01/01/47		500		569,860
RB, Green Bonds, Boston Medical Center Project, 5.00%, 07/01/44		180		201,438
RB, Seven Hills Foundation & Affiliates Project, 5.00%, 09/01/35		250		271,150


Security	Par (000)		Value
Massachusetts (continued)
RB, Seven Hills Foundation & Affiliates Project, 5.00%, 09/01/45	$	335	$	357,814
RB, University of Massachusetts Boston Student Housing Project, 5.00%, 10/01/48		1,000		1,105,750
Refunding RB, Covanta Energy Project, Series B, 4.88%, 11/01/42 ^(a)		350		350,126
Refunding RB, Emmanuel College Project, Series A, 5.00%, 10/01/35		750		855,915
Refunding RB, University of Massachusetts Memorial Health Care Project, 4.00%, 07/01/44		1,000		1,022,220
Massachusetts Housing Finance Agency, Refunding RB, AMT, Series A:
4.45%, 12/01/42		640		678,829
4.50%, 12/01/47		1,015		1,076,489

				7,048,291
Michigan — 1.7%
Michigan Finance Authority, Refunding RB, AMT, Senior Lien, Detroit Water & Sewerage Department Project, 5.00%, 07/01/44		250		270,330
Michigan Tobacco Settlement Finance Authority, RB, Turbo Project, Series A, 6.88%, 06/01/42		500		504,620
Wayne County Airport Authority:
RB, AMT, Detroit Metropolitan Wayne County Airport Project, 5.00%, 12/01/39		250		283,662
RB, Detroit Metropolitan Wayne County Airport Project, Series B, 5.00%, 12/01/44		500		571,035
RB, Series D, 5.00%, 12/01/40		500		579,100
Refunding RB, AMT, Junior Lien, Series B, 5.00%, 12/01/32		750		885,517

				3,094,264
Minnesota — 0.8%
City of Brooklyn Park, RB, Athlos Leadership Academy Project, 5.25%, 07/01/30		350		354,756
City of Deephaven, Refunding RB, Eagle Ridge Academy Project, Series 2015A, 5.25%, 07/01/37		605		649,909
Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB:
Great River School Project, Series A, 5.50%, 07/01/38 ^(a)		240		251,006
Hmong College Prep Academy Project, Series E, 5.50%, 09/01/36		310		325,119

				1,580,790
Mississippi — 0.3%
Mississippi Business Finance Corp., RB, AMT, Waste Pro USA, Inc. Project, 5.00%, 02/01/36 ^(a)(c)		190		194,752
Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Facilities Refinancing Project, Series A, 4.00%, 08/01/43		265		281,017

				475,769
Missouri — 0.7%
City of St. Louis IDA, Refunding RB, Ballpark Village Development Project, Series A:
4.38%, 11/15/35		215		220,958
4.75%, 11/15/47		240		247,344
Kansas City IDA, Refunding RB, Kansas City United Methodist Church Project:


Security	Par (000)		Value
Missouri (continued)
5.75%, 11/15/36 ^(a)	$	220	$	219,732
6.00%, 11/15/46 ^(a)		155		155,372
6.00%, 11/15/51 ^(a)		100		99,847
Plaza at Noah’s Ark Community Improvement District, Refunding Tax Allocation Bonds, 5.00%, 05/01/35		400		395,404

				1,338,657
Montana — 0.1%
Montana Board of Housing, RB, State Single Family Housing Project, Series A-2, 4.00%, 12/01/45		220		230,765

Nebraska — 0.3%
Douglas County Hospital Authority No. 3, Refunding RB, Health Facilities NE Methodist Hospital Project, 5.00%, 11/01/45		500		563,040

New Jersey — 7.3%
Casino Reinvestment Development Authority, Refunding RB:
5.25%, 11/01/39		250		268,305
5.25%, 11/01/44		560		598,326
Essex County Improvement Authority, RB, AMT, 5.25%, 07/01/45 ^(a)		250		251,973
New Jersey EDA:
RB, AMT, Continental Airlines, Inc. Project, 4.88%, 09/15/19		400		413,156
RB, AMT, Kapkowski Road Landfill Project, Series 1998 B-MB, 6.50%, 04/01/31		100		116,457
RB, AMT, Private Activity - The Goethals Project, 5.38%, 01/01/43		500		559,180
RB, Provident Group-Kean Properties Project, 5.00%, 07/01/32		200		222,488
RB, Series WW, 5.25%, 06/15/40		1,000		1,101,470
Refunding RB, 5.00%, 06/15/23		200		222,000
Refunding RB, 5.00%, 06/15/24		705		777,841
Refunding RB, (AGM), Provident Group-Montclair Project, 5.00%, 06/01/37		200		230,454
Refunding RB, AMT, Port Newark Container Project, 5.00%, 10/01/37		1,000		1,095,200
Refunding RB, Charter, Greater Brunswick Project, Series A, 6.00%, 08/01/49 ^(a)		250		257,643
New Jersey Health Care Facilities Financing Authority, Refunding RB:
Barnabas Health Obligated Project, 4.25%, 07/01/44		395		419,897
Barnabas Health Obligated Project, 5.00%, 07/01/44		220		245,003
New Jersey Transportation Trust Fund Authority, RB:
Federal Highway Reimbursement Notes, Series A-1, 5.00%, 06/15/28		1,700		1,939,836
Transportation Program, Series AA, 5.00%, 06/15/38		325		346,440
Transportation Program, Series AA, 5.25%, 06/15/41		205		227,068
Transportation Program, Series AA, 5.00%, 06/15/44		30		32,506
Transportation Program, Series AA, 5.00%, 06/15/44		30		32,246
Transportation Program, Series AA, 5.00%, 06/15/46		450		488,084
Transportation Program, Series B, 5.00%, 06/15/42		280		296,335
New Jersey Turnpike Authority, RB, Series A, 5.00%, 01/01/43		1,000		1,135,031


Security	Par (000)		Value
New Jersey (continued)
South Jersey Port Corp., RB:
AMT, Series B, 5.00%, 01/01/37	$	160	$	175,842
Series A, 5.00%, 01/01/49		1,000		1,100,760
Tobacco Settlement Financing Corp., Refunding RB, Series 1A, 5.00%, 06/01/41		1,000		970,420

				13,523,961
New Mexico — 0.2%
New Mexico Hospital Equipment Loan Council, Refunding RB, Gerald Champion Regional Medical Center Project, 5.50%, 07/01/42		325		355,193

New York — 11.0%
Build NYC Resource Corp., Refunding RB, AMT, Pratt Paper, Inc. Project, 5.00%, 01/01/35 ^(a)		285		317,678
Chautauqua Tobacco Asset Securitization Corp., Refunding RB, 5.00%, 06/01/48		1,000		1,016,950
County of Cattaraugus, RB, St. Bonaventure University Project, 5.00%, 05/01/44		195		216,042
Dutchess County Industrial Development Agency, Refunding RB, Bard College Civic Facility Project, Series A-1, 5.00%, 08/01/46		530		442,847
Erie Tobacco Asset Securitization Corp., Refunding RB, Asset Backed, Series A, 5.00%, 06/01/45		495		479,898
Hempstead Town Local Development Corp., RB, Molloy College Project, 5.00%, 07/01/44		500		548,710
Metropolitan Transportation Authority, Refunding RB:
Series C-1, 4.00%, 11/15/37		1,025		1,111,910
Series D, 4.00%, 11/15/42		3,625		3,888,973
MTA Hudson Rail Yards Trust Obligations, RB, Series A, 5.00%, 11/15/56		955		1,076,724
New York Counties Tobacco Trust IV, Refunding RB, Series A:
6.25%, 06/01/41 ^(a)		550		569,190
5.00%, 06/01/42		915		889,819
5.00%, 06/01/45		225		216,232
New York Counties Tobacco Trust VI, Refunding RB:
5.00%, 06/01/45		835		883,714
5.00%, 06/01/51		500		517,395
New York Liberty Development Corp.:
Refunding RB, Class 1-3 World Trade Center Project, 5.00%, 11/15/44 ^(a)		1,000		1,087,630
Refunding RB, Class 2-3 World Trade Center Project, 5.38%, 11/15/40 ^(a)		150		166,064
Refunding RB, Class 3-3 World Trade Center Project, 7.25%, 11/15/44 ^(a)		100		120,338
New York State Dormitory Authority, Refunding RB, Orange Regional Medical Center Project, 5.00%, 12/01/35 ^(a)		215		240,662
New York Transportation Development Corp.:
RB, AMT, Laguardia Airport Term B Redevelopment Project, Series A, 5.00%, 07/01/34		500		554,565
RB, AMT, Laguardia Airport Term B Redevelopment Project, Series A, 5.00%, 07/01/41		1,470		1,616,809
Refunding RB, AMT, American Airlines, Inc. Project, 5.00%, 08/01/20		400		425,940
Refunding RB, AMT, American Airlines, Inc. Project, 5.00%, 08/01/21		200		217,364
Tompkins County Development Corp., Refunding RB, Kendal at Ithaca, Inc. Project, 5.00%, 07/01/44		420		447,518


Security	Par (000)		Value
New York (continued)
Westchester County Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44	$	341	$	373,285
Westchester County Local Development Corp., Refunding RB:
Kendal on the Hudson Project, 5.00%, 01/01/34		1,080		1,170,634
Wartburg Senior Housing Project, Series A, 5.00%, 06/01/30 ^(a)		250		254,012
Westchester Tobacco Asset Securitization, Refunding RB, Sub-Series C:
4.00%, 06/01/42		995		973,697
5.13%, 06/01/51		500		514,075

				20,338,675
North Carolina — 0.3%
North Carolina Department of Transportation, RB, AMT, Hot Lanes Project, Series 1- 77, 5.00%, 06/30/54		115		126,123
North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Galloway Ridge Project, Series A, 5.25%, 01/01/41		250		252,300
Town of Mooresville, Special Assessment Bonds, 5.38%, 03/01/40 ^(a)		250		250,495

				628,918
Ohio — 2.0%
Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Series A-2, 5.88%, 06/01/47		1,250		1,204,437
Butler County Port Authority, RB, Storypoint Fairfield Project, 6.38%, 01/15/43 ^(a)		435		461,165
County of Franklin, RB:
OPRS Communities Obligation Group Project, Series 2013A, 6.13%, 07/01/40		585		650,409
Trinity Health Credit Group Project, Series A, 3.25%, 12/01/42		385		371,567
County of Hamilton, RB, Improvement, Life Enriching Community Project, 5.00%, 01/01/46		190		206,410
Ohio Air Quality Development Authority, RB, AMT, Pratt Paper LLC Project, 4.25%, 01/15/38 ^(a)		105		108,467
Port of Greater Cincinnati Development Authority, RB, Colonial Village/Athens Garden Project, 5.00%, 12/01/40		335		343,462
State of Ohio, RB, AMT, Portsmouth Bypass Project, 5.00%, 06/30/53		370		409,893

				3,755,810
Oklahoma — 2.6%
Norman Regional Hospital Authority, Refunding RB, 5.00%, 09/01/37		1,250		1,435,163
Oklahoma Development Finance Authority, RB, Provident Oklahoma Education Resources, Inc. -Cross Village Student Housing Project, 5.00%, 08/01/47		1,500		1,633,275
Tulsa Airports Improvement Trust, Refunding RB, AMT, American Airlines Project, 5.00%, 06/01/35 ^(c)		615		673,062
Tulsa County Industrial Authority, Refunding RB, Montereau, Inc. Project, 5.25%, 11/15/45		965		1,102,088

				4,843,588


Security	Par (000)		Value
Oregon — 0.5%
Clackamas County School District No. 12 North Clackamas, GO, Series A, 0.00%, 06/15/38 ^(b)	$	275	$	123,843
Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, Mirabella at South Waterfront Project, 5.50%, 10/01/49		150		162,347
Polk County Hospital Facility Authority, RB, Dallas Retirement Village Project, Series A, 5.38%, 07/01/45		250		264,927
Yamhill County Hospital Authority, Refunding RB, Friendsview Retirement Community Project, Series 2016A, 5.00%, 11/15/36		300		323,922

				875,039
Pennsylvania — 5.4%
Allentown Neighborhood Improvement Zone Development Authority, RB, City Center Project, 5.00%, 05/01/42 ^(a)		295		318,001
Lancaster County Hospital Authority, Refunding RB, St. Anne’s Retirement Community Project, 5.00%, 04/01/33		250		258,373
Montgomery County IDA:
Refunding RB, Albert Einstein Healthcare Project, 5.25%, 01/15/45		500		549,210
Refunding RB, Whitemarsh Continuing Care Retirement Community Project, 5.38%, 01/01/50		170		174,126
Moon IDA, Refunding RB, Baptist Homes Society Project, 6.00%, 07/01/45		250		271,315
Northampton County IDA, Tax Allocation Bonds, Route 33 Project, 7.00%, 07/01/32		115		133,589
Pennsylvania Economic Development Financing Authority:
RB, AMT, The Pennsylvania Rapid Bridge Replacement Project, 5.00%, 06/30/42		1,625		1,833,260
Refunding RB, AMT, National Gypson Co. Project, 5.50%, 11/01/44		500		533,315
Pennsylvania Higher Educational Facilities Authority, Refunding RB, Widener University Project, 5.00%, 07/15/38		250		268,705
Pennsylvania Housing Finance Agency, RB, AMT, State Single Family Housing Project:
Series 123B, 4.00%, 10/01/42		1,180		1,214,196
Series 125B, 3.70%, 10/01/47		685		687,103
Pennsylvania Turnpike Commission:
RB, Series B, 5.25%, 12/01/44		1,000		1,135,460
RB, Sub-Series A, 5.50%, 12/01/42		660		791,017
Refunding RB, Motor Licence Fund Enhance Project, 5.00%, 12/01/40		1,000		1,161,970
Philadelphia Authority for Industrial Development, Refunding RB, First Series 2015, 5.00%, 04/01/45		500		575,190
Philadelphia Hospitals & Higher Education Facilities Authority, RB, Temple University Health System Project, Series A, 5.63%, 07/01/42		130		144,446

				10,049,276
Puerto Rico — 1.1%
Children’s Trust Fund, Refunding RB, Asset-Backed:
5.50%, 05/15/39		630		593,737
5.63%, 05/15/43		895		849,248
Commonwealth of Puerto Rico:
GO, Refunding, Series A, 8.00%, 07/01/35 ^(d)(e)		380		90,250


Security	Par (000)		Value
Puerto Rico (continued)
GO, Refunding, Series A, 5.50%, 07/01/39 ^(d)(e)	$	145	$	32,625
GO, Series A, 6.00%, 07/01/38 ^(d)(e)		160		36,000
Puerto Rico Commonwealth Aqueduct & Sewer Authority, RB, Senior Lien, Series A:
6.00%, 07/01/38		215		136,794
6.00%, 07/01/44		355		225,869

				1,964,523
Rhode Island — 3.6%
Rhode Island Health & Educational Building Corp.:
RB, Series A, 4.00%, 09/15/47		2,400		2,530,224
Refunding RB, Series B, 4.00%, 09/15/40		1,645		1,746,875
Tobacco Settlement Financing Corp., Refunding RB:
Series A, 5.00%, 06/01/35		400		436,404
Series A, 5.00%, 06/01/40		100		107,617
Series B, 4.50%, 06/01/45		750		761,790
Series B, 5.00%, 06/01/50		1,040		1,087,091

				6,670,001
South Carolina — 2.3%
South Carolina Jobs EDA, Refunding RB:
Lutheran Homes of South Carolina Project, 5.00%, 05/01/37		130		137,951
Woodlands at Furman Project, 4.00%, 11/15/27		185		186,304
South Carolina Ports Authority, RB, AMT, 5.25%, 07/01/55		500		574,280
South Carolina State Public Service Authority:
RB, Obligations, Series A, 5.50%, 12/01/54		1,005		1,146,112
Refunding RB, Series A, 5.00%, 12/01/50		190		213,334
Refunding RB, Series E, 5.25%, 12/01/55		1,700		1,949,492

				4,207,473
Tennessee — 1.0%
Chattanooga-Hamilton County Hospital Authority, Refunding RB, 5.00%, 10/01/44		250		274,857
Knox County Health Educational & Housing Facility Board, Refunding RB, Facilities Board-University Health Project, 5.00%, 04/01/36		690		787,490
Memphis-Shelby County Industrial Development Board, Refunding Tax Allocation Bonds, Senior Tax Increment, Graceland Project:
5.50%, 07/01/37		360		380,441
5.63%, 01/01/46		470		493,801

				1,936,589
Texas — 4.2%
Bexar County Health Facilities Development Corp., Refunding RB, Army Retirement Residence Foundation Project, 5.00%, 07/15/26		250		285,977
Central Texas Regional Mobility Authority, RB, Senior Lien:
6.25%, 01/01/46		175		198,096
Series A, 5.00%, 01/01/45		500		563,810
Central Texas Turnpike System, Refunding RB, Series C:
5.00%, 08/15/37		200		224,730
5.00%, 08/15/42		250		279,002
City of Houston Airport System:
RB, AMT, Series B-1, 5.00%, 07/15/35		100		108,820
Refunding RB, AMT, Series C, 5.00%, 07/15/20		140		148,786


Security	Par (000)		Value
Texas (continued)
Refunding RB, AMT, United Airlines, Inc. Project, 4.75%, 07/01/24	$	500	$	560,225
Refunding RB, AMT, United Airlines, Inc. Project, 5.00%, 07/01/29		500		553,635
City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45		500		564,165
County of Hays, Special Assessment Bonds, La Cima Import District Project, 7.00%, 09/15/45		250		250,995
Fort Bend County Industrial Development Corp., RB, NRG Energy, Inc. Project, Series B, 4.75%, 11/01/42		465		482,837
Mesquite Health Facility Development Corp., Refunding RB, Christian Care Centers, Inc. Project, 5.13%, 02/15/42		250		261,525
New Hope Cultural Education Facilities Corp., Refunding RB:
Childrens Health System Project, Series A, 4.00%, 08/15/40		1,000		1,045,490
Jubilee Academic Center Project, Series A, 4.00%, 08/15/26 ^(a)		775		772,179
Newark Higher Education Finance Corp., RB, Christian Schools, Inc. Project, Series A, 5.50%, 08/15/35 ^(a)		300		310,155
North Texas Tollway Authority, Refunding RB, Series B, 5.00%, 01/01/40		250		277,437
Tarrant County Cultural Education Facilities Finance Corp.:
RB, Buckingham Senior Living Community Project, 5.50%, 11/15/45		350		358,956
Refunding RB, Barton Creek Senior Living Center Project, 4.75%, 11/15/35		250		259,212
Refunding RB, Trinity Terrace Project, 5.00%, 10/01/49		250		268,920

				7,774,952
Utah — 0.6%
Utah Charter School Finance Authority RB:
Early Light Academy Project, 5.13%, 07/15/49 ^(a)		545		547,234
Spectrum Academy Project, 6.00%, 04/15/45 ^(a)		500		524,365

				1,071,599
Virginia — 3.0%
Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A:
5.00%, 03/01/26		120		125,197
5.13%, 03/01/31		230		242,981
Cherry Hill Community Development Authority, Special Assessment Bonds, Potomac Shores Project, 5.40%, 03/01/45 ^(a)		250		258,830
Chesapeake Bay Bridge & Tunnel District, RB, 5.00%, 07/01/51		810		910,003
Fairfax County EDA, RB, Vinson Hall LLC Project, Series A, 5.00%, 12/01/42		400		421,720
Lexington IDA, RB, Kendal at Lexington Project, Series A, 5.00%, 01/01/48		330		356,063
Lower Magnolia Green Community Development Authority, Special Assessment Bonds:
5.00%, 03/01/35 ^(a)		240		247,114
5.00%, 03/01/45 ^(a)		100		102,044
Tobacco Settlement Financing Corp., RB, Senior, Series B1, 5.00%, 06/01/47		1,215		1,178,538


Security	Par (000)		Value
Virginia (continued)
Virginia College Building Authority, RB, Green Bonds, Marymount University Project, 5.00%, 07/01/45 ^(a)	$	250	$	267,890
Virginia Small Business Financing Authority, RB, AMT, Transform 66 P3 Project:
5.00%, 12/31/52		465		520,521
5.00%, 12/31/56		770		860,614

				5,491,515
Washington — 0.6%
Greater Wenatchee Regional Events Center Public Facilities District, Refunding RB, Series A, 5.50%, 09/01/42		250		257,530
King County Public Hospital District No. 4, GO, Refunding:
Improvement, Snoqualmie Valley Hospital Project, 7.00%, 12/01/40		200		208,276
Series A, 5.00%, 12/01/30		200		205,246
Port of Seattle RB, AMT, Series C, 5.00%, 04/01/40		250		281,615
Washington State Housing Finance Commission, Refunding RB, Skyline 1st Hill Project, 6.00%, 01/01/45 ^(a)		210		214,805

				1,167,472
Wisconsin — 3.5%
Public Finance Authority:
RB, Alabama Proton Theray Center Project, Series A, 6.25%, 10/01/31 ^(a)		195		196,954
RB, Alabama Proton Theray Center Project, Series A, 7.00%, 10/01/47 ^(a)		195		203,504
RB, Delray Beach Radiation Therapy Project, 6.85%, 11/01/46 ^(a)		275		288,692
RB, Delray Beach Radiation Therapy Project, 7.00%, 11/01/46 ^(a)		155		164,288
RB, Fund for Affordable Housing, North Carolina & Missouri Portfolio, Series A, 5.00%, 12/01/45		340		358,972
RB, Fund for Affordable Housing, North Carolina & Missouri Portfolio, Series A, 5.15%, 12/01/50		210		221,449
RB, Limited American Prep Academy Project, 5.38%, 07/15/47 ^(a)		335		344,939
RB, Voyager Foundation, Inc. Project, Series A, 5.13%, 10/01/45		150		152,799
Refunding RB, AMT, Celanese Project, Series C, 4.30%, 11/01/30		100		103,609
Refunding RB, AMT, Senior Obligation Group Project, 5.00%, 07/01/42		750		802,530
Refunding RB, Celanese Project, Series D, 4.05%, 11/01/30		100		103,647
Wisconsin Health & Educational Facilities Authority:
RB, Aspirus, Inc. Project, 4.00%, 08/15/48 .		2,615		2,723,287
Refunding RB, Froedtert Health, Inc. Project, 4.00%, 04/01/39		715		749,363
Wisconsin Housing & EDA, RB, WHPC Madison Pool Project, Series A, 4.55%, 07/01/37		165		174,184

				6,588,217

Total Municipal Bonds — 94.9% (Cost: $169,309,696)				176,109,192


Security	Par (000)		Value
Municipal Bonds Transferred to Tender Option Bond Trusts — 6.8%^(f)

Illinois — 1.0%
Illinois State Toll Highway Authority, RB:
Series A, 5.00%, 01/01/40	$	660	$	757,898
Series C, 5.00%, 01/01/38		1,000		1,141,544

				1,899,442
New York — 4.3%
City of New York Housing Development Corp., RB, Series D-1-B, 4.25%, 11/01/45		1,000		1,046,622
Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56		1,500		1,772,501
New York State Dormitory Authority Personal Income Tax Revenue, Refunding RB, Series E, 5.00%, 03/15/36		3,330		3,936,460
Port Authority of New York & New Jersey
Refunding, RB, 194th Series, 5.25%, 10/15/55		1,000		1,167,973

				7,923,556
North Carolina — 0.6%
North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55		1,000		1,147,040

Washington — 0.9%
Snohomish County Public Utilities District No. 1, RB, 5.00%, 12/01/45		1,340		1,540,637


Total Municipal Bonds Transferred to Tender Option Bond Trusts — 6.8% (Cost: $11,971,242)				12,510,675

Total Long-Term Investments — 101.7% (Cost: $181,280,938)				188,619,867


Security	Shares		Value
Short-Term Securities — 0.2%

Money Market Fund — 0.1%
Dreyfus AMT-Free Tax Exempt Cash Management, Institutional Class, 1.27% ^(g)		212,370	$	212,349


	Par (000)
Municipal Bonds — 0.1%

New York — 0.1%
Town of Oyster Bay, GO:
BAN, Series C, 2.50%, 06/01/18	$	85		85,048
RAN, 2.50%, 02/23/18		60		60,029

				145,077


Total Short-Term Securities — 0.2% (Cost: $357,626)				357,426


Total Investments — 101.9% (Cost: $181,638,564)				188,977,293
Other Assets Less Liabilities — 1.7%				3,166,739
Liability for TOB Trust Certificates, Including Interest Expense and Fees
Payable — (3.6)%			(6,651,924)

Net Assets — 100.0%			$	185,492,108

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

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.

During the period ended December 31, 2017, there were no transfers between levels.


Security	Par (000)		Value
Asset-Backed Securities — 0.5%
Progress Residential Trust:
Series 2015-SFR2, Class A, 2.74%, 06/12/32 ^(a)	$	1,379	$	1,375,966
Series 2017-SFR1, Class A, 2.77%, 08/17/34 ^(a)		869		861,802
SMB Private Education Loan Trust, Series 2015-C, Class A3, (1 mo. LIBOR US + 1.950%), 08/16/32 ^(a)(b)		1,000		1,047,200

Total Asset-Backed Securities — 0.5% (Cost: $3,241,449)				3,284,968


Non-Agency Mortgage-Backed Securities — 17.4%

Commercial Mortgage-Backed Securities — 15.2%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2, 3.90%, 08/10/35 ^(a)		945		996,019
Atrium Hotel Portfolio Trust:
Series 2017-ATRM, Class A, (1 mo. LIBOR US + 0.930%), 2.41%, 11/15/19 ^(a)(b)(c)		4,900		4,900,000
Series 2017-ATRM, Class D, (1 mo. LIBOR US + 1.950%), 3.43%, 11/15/19 ^(a)(b)(c)		1,400		1,383,900
Bancorp Commercial Mortgage Trust, Series 2016-CRE1, Class A, (1 mo. LIBOR US + 1.430%), 2.91%, 11/15/33 ^(a)(b)		566		566,496
BHMS Mortgage Trust, Series 2014-ATLS, Class AFL, (1 mo. LIBOR US + 1.500%), 3.07%, 07/05/33 ^(a)(b)		2,600		2,612,078
Caesars Palace Las Vegas Trust, Series 2017-VICI, Class A, 3.53%, 10/15/34 ^(a)		1,970		2,014,626
CCRESG Commercial Mortgage Trust:
Series 2016-HEAT, Class A, 3.36%, 04/10/29 ^(a)		1,750		1,751,251
Series 2016-HEAT, Class D, 5.49%, 04/10/29 ^(a)(d)		1,330		1,336,068
CCUBS Commercial Mortgage Trust, Series 2017-C1, Class A4, 3.54%, 11/15/50 ^(d)		1,408		1,448,005
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48		1,580		1,655,545
Chicago Skyscraper Trust, Series 2017-SKY, Class D, (1 mo. LIBOR US + 2.250%), 3.73%, 02/15/30 ^(a)(b)		2,190		2,203,597
Citigroup Commercial Mortgage Trust:
Series 2014-GC19, Class C, 4.90%, 03/10/47 ^(d)		2,625		2,742,043
Series 2014-GC21, Class A5, 3.86%, 05/10/47		2,295		2,416,985
Commercial Mortgage Trust:
Series 2013-CR13, Class A4, 4.19%, 11/12/46 ^(d)		3,500		3,734,695
Series 2014-CR15, Class C, 4.77%, 02/10/47 ^(d)		2,435		2,539,265
Series 2014-LC15, Class A4, 4.01%, 04/10/47		2,025		2,139,367
Series 2014-UBS2, Class A5, 3.96%, 03/10/47		1,215		1,281,555
Series 2015-LC23, Class ASB, 3.60%, 10/10/48		3,730		3,875,574
Series 2016-667M, Class D, 3.18%, 10/10/36 ^(a)(d)		1,180		1,108,868


Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2017-PANW, Class A, 3.24%, 10/10/29 ^(a)	$	3,960	$	3,995,761
Credit Suisse Mortgage Capital Certificates:
Series 2017-CALI, Class A, 3.43%, 11/10/32 ^(a)		1,180		1,207,866
Series 2016-MFF, Class A, (1 mo. LIBOR US + 1.600%), 3.08%, 11/15/33 ^(a)(b)		570		573,514
Deutsche Bank UBS Mortgage Trust,
Series 2017-BRBK, Class A, 3.45%, 10/10/34 ^(a)		1,860		1,900,345
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.38%, 12/15/34 ^(a)(d)		3,600		3,613,063
GS Mortgage Securities Corp. Trust, Series 2012-ALOH, Class A, 3.55%, 04/10/34 ^(a)		2,565		2,644,749
GS Mortgage Securities Trust, Series 2015-GC32, Class C, 4.41%, 07/10/48 ^(c)(d)		2,000		2,032,600
IMT Trust, Series 2017-APTS, Class BFX, 3.50%, 06/15/34 ^(a)(d)		2,425		2,435,527
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB, 3.66%, 09/15/47		5,970		6,195,058
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2017-JPS, Class D, 4.65%, 03/15/50 ^(a)(d)		1,860		1,836,726
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, (1 mo. LIBOR US + 1.700%), 3.18%, 07/15/36 ^(a)(b)		618		620,427
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%), 2.99%, 11/24/31 ^(a)(b)		620		626,200
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49 ^(a)		2,740		2,697,075
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A4, 4.04%, 11/15/46		1,170		1,239,784
Morgan Stanley Capital I Trust:
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49		3,730		3,809,740
Series 2017-PRME, Class D, (1 mo. LIBOR US + 3.400%), 4.88%, 02/15/34 ^(a)(b)		610		609,993
Morgan Stanley Capital I, Inc.,
Series 2017-JWDR, Class D, (1 mo. LIBOR US + 1.950%), 3.20%, 11/15/34 ^(a)(b)		1,450		1,450,456
Olympic Tower Mortgage Trust, Series 2017-OT, Class D, 3.95%, 05/10/39 ^(a)(d)		1,160		1,150,454
RAIT Trust, Series 2017-FL7, Class A, (1 mo. LIBOR US + 0.950%), 2.43%, 06/15/37 ^(a)(b)		1,630		1,630,840
Wells Fargo Commercial Mortgage Trust:
Series 2015-LC22, Class ASB, 3.57%, 09/15/58		3,845		3,982,334
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57		3,920		4,022,497
Series 2015-P2, Class AS, 4.01%, 12/15/48		1,605		1,665,762
Series 2017-C41, Class C, 4.51%, 11/15/50 ^(d)		830		844,477
WFRBS Commercial Mortgage Trust:
Series 2014-C21, Class A4, 3.41%, 08/15/47		2,805		2,882,643
Series 2014-C21, Class A5, 3.68%, 08/15/47		1,000		1,041,297


Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2014-LC14, Class A4, 3.77%, 03/15/47	$	5,590	$	5,850,508

				101,265,633
Interest Only Commercial Mortgage-Backed Securities — 2.2%
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA, 0.90%, 09/15/48 ^(d)		1,753		91,691
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.75%, 05/10/58 ^(d)		5,477		582,395
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class XA, 0.93%, 09/15/50 ^(d)		6,723		465,460
Commercial Mortgage Trust:
Series 2014-LC17, Class XA, 0.95%, 10/10/47 ^(d)		71,944		2,565,143
Series 2015-CR24, Class XA, 0.81%, 08/10/48 ^(d)		6,946		336,502
Core Industrial Trust:
Series 2015-CALW, Class XA, 0.81%, 02/10/34 ^(a)(d)		22,150		646,718
Series 2015-TEXW, Class XA, 0.77%, 02/10/34 ^(a)(d)		18,600		518,810
Series 2015-WEST, Class XA, 0.93%, 02/10/37 ^(a)(d)		9,300		545,555
Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class X1, 0.55%, 09/15/37 ^(a)(d)		26,000		893,620
DBJPM Mortgage Trust, Series 2016-C1, Class XA, 1.50%, 05/10/49 ^(d)		8,329		769,339
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 02/25/22 ^(a)(d)		135,574		445,102
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.00%, 04/10/47 ^(d)		855		42,180
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class XA, 1.35%, 02/15/48 ^(d)		23,604		1,423,926
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2016-C29, Class XA, 1.64%, 05/15/49 ^(d)		3,353		330,464
Series 2016-C32, Class XA, 0.77%, 12/15/49 ^(d)		99,679		5,140,577

				14,797,482

Total Non-Agency Mortgage-Backed Securities — 17.4% (Cost: $116,835,630)				116,063,115


Security	Par (000)		Value

U.S. Government Sponsored

Agency Securities — 153.1%
Collateralized Mortgage Obligations — 3.1%
Fannie Mae:
Series 2011-8, Class ZA, 4.00%, 02/25/41	$	2,636	$	2,764,561
Series 2017-69, Class HA, 3.00%, 06/25/46		6,328		6,386,541
Series 2017-76, Class PB, 3.00%, 10/25/57		900		855,555
Series 2017-87, Class UA, 3.50%, 12/25/44		3,244		3,343,225
Freddie Mac:
Series 3745, Class ZA, 4.00%, 10/15/40		306		330,933
Series 3780, Class ZA, 4.00%, 12/15/40		578		622,627
Series 4253, Class DZ, 4.75%, 09/15/43		1,269		1,412,619
Series 4384, Class LB, 3.50%, 08/15/43		1,400		1,441,164
Ginnie Mae:
Series 2014-107, Class WX, 6.78%, 07/20/39 ^(d)		1,212		1,382,159
Series 2014-12, Class ZA, 3.00%, 01/20/44 ^(c)		1,349		1,313,161
Series 2014-62, Class Z, 3.00%, 04/20/44 ^(c)		1,116		1,088,568

				20,941,113

Interest Only Collateralized Mortgage

Obligations — 0.6%
Fannie Mae:
Series 2013-10, Class PI, 3.00%, 02/25/43		2,977		335,681
Series 2016-64, Class BI, 5.00%, 09/25/46		3,378		697,593
Series 2011-100, Class S, (1 mo. LIBOR US + 6.450%) 4.90%, 10/25/41 ^(b)		1,599		249,209
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.250%) 4.70%, 09/25/45 ^(b)		10,320		1,674,203
Freddie Mac, Series 4611, Class BS, 4.62%, 06/15/41 ^(b)		6,454		952,043

				3,908,729
Interest Only Commercial Mortgage-Backed Securities — 0.8%
Freddie Mac:
Series K041, Class X1, 0.55%, 10/25/24 ^(d)		13,536		435,796
Series K042, Class X1, 1.05%, 12/25/24 ^(d)		4,039		245,516
Series K071, Class X1, 0.29%, 11/25/50		44,600		1,147,723
Series K718, Class X1, 0.64%, 01/25/22 ^(d)		2,191		48,708
Series KC01, Class X1, 0.71%, 12/25/22 ^(d)		7,475		163,937
Ginnie Mae:
Series 2016-105, Class IO, 1.06%, 10/16/57 ^(d)		20,622		1,626,092
Series 2017-53, Class IO, 0.69%, 11/16/56 ^(d)		17,596		1,111,807
Series 2017-54, Class IO, 0.68%, 12/16/58 ^(d)		3,138		210,399
Series 2017-61, Class IO, 0.77%, 05/16/59 ^(d)		4,291		349,819

				5,339,797


Security	Par (000)		Value
Mortgage-Backed Securities — 148.6%
Fannie Mae Mortgage-Backed Securities:
2.00%, 01/01/33 ^(e)	$	1,500	$	1,460,859
2.50%, 09/01/27-01/01/33 ^(e)		59,908		59,861,590
3.00%, 01/01/27-01/01/48 ^(e)		170,722		171,762,367
3.50%, 09/01/28-01/01/48 ^(e)		92,166		95,384,045
4.00%, 02/01/29-01/01/57 ^(e)		172,309		181,123,355
4.50%, 05/01/24-02/01/57 ^(e)		61,504		66,013,732
5.00%, 02/01/35-01/01/48 ^(e)		11,323		12,251,874
5.05%, 09/01/44		293		317,590
5.50%, 05/01/34-03/01/40		5,673		6,290,600
6.00%, 02/01/38-07/01/41		5,205		5,859,104
6.50%, 05/01/36-01/01/38		66		72,903
Freddie Mac Mortgage-Backed Securities:
2.50%, 09/01/27-01/01/33 ^(e)		19,267		19,271,628
3.00%, 10/01/27-01/01/48 ^(e)		50,330		50,620,100
3.50%, 09/01/30-01/01/48 ^(e)		53,629		55,268,344
4.00%, 01/01/40-01/01/48 ^(e)		26,371		27,776,048
4.50%, 04/01/18-01/01/48 ^(e)		15,635		16,774,244
5.00%, 05/01/28-11/01/41		2,359		2,579,484
5.50%, 01/01/28-06/01/41		2,215		2,450,375
6.00%, 08/01/28-11/01/39		617		694,375
Ginnie Mae Mortgage-Backed Securities:
2.50%, 01/01/48 ^(e)		1,960		1,913,909
3.00%, 12/20/47-01/01/48 ^(e)		15,247		15,393,038
3.50%, 01/15/42-01/01/48 ^(e)		69,340		71,704,379
4.00%, 04/20/39-01/01/48 ^(e)		107,447		112,084,781
4.50%, 09/20/39-01/01/48 ^(e)		12,012		12,704,031
5.00%, 07/15/33-07/20/44		2,534		2,751,527
5.50%, 07/15/38-12/20/41		1,260		1,382,920

				993,767,202

Total U.S. Government Sponsored Agency Securities — 153.1% (Cost: $1,027,027,727)				1,023,956,841


U.S. Treasury Obligations — 1.3%
U.S. Treasury Notes, 2.25%, 11/15/27		9,000		8,873,086

Total U.S. Treasury Obligations — 1.3% (Cost: $8,901,069)				8,873,086

Total Long-Term Investments — 172.3% (Cost: $1,156,005,875)				1,152,178,010

	Shares

Short-Term Securities — 3.7%

Money Market Fund — 1.5%
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.11% ^(f)		9,885,957		9,885,957


Security	Par (000)			Value
U.S. Treasury Obligations — 2.2%
U.S. Treasury Bills:
1.25%, 01/18/18 ^(g)	$	15,000		$	14,991,742

Total Short-Term Securities — 3.7% (Cost: $24,877,850)					24,877,699


Options Purchased — 0.1% (Cost: $169,938)					215,250

Total Investments Before TBA Commitments and Options Written — 176.0% (Cost: $1,181,053,663)					1,177,270,959


TBA Sale Commitments — (57.9)%^(e)
Mortgage-Backed Securities — (57.9)%
Fannie Mae Mortgage-Backed Securities:
2.50%, 01/01/33		(13,306	)		(13,285,209	)
3.00%, 01/01/33-01/01/48		(79,162	)		(79,582,725	)
3.50%, 01/01/33-01/01/48		(77,036	)		(79,192,100	)
4.00%, 01/01/48		(110,292	)		(115,278,381	)
4.50%, 01/01/48		(24,122	)		(25,649,727	)
5.00%, 01/01/48		(236	)		(253,649	)
Freddie Mac Mortgage-Backed Securities:
2.50%, 01/01/33		(400	)		(399,312	)
3.00%, 01/01/48		(3,018	)		(3,017,527	)
3.50%, 01/01/48		(5,893	)		(6,051,683	)
4.00%, 01/01/48		(448	)		(468,475	)
5.00%, 01/01/48		(1,450	)		(1,557,674	)
6.00%, 01/01/48		(600	)		(670,477	)
Ginnie Mae Mortgage-Backed Securities:
3.00%, 01/01/48		(11,682	)		(11,787,868	)
3.50%, 01/01/48		(2,815	)		(2,910,006	)
4.00%, 01/01/48		(45,611	)		(47,545,905	)

					(387,650,718	)

Total TBA Sale Commitments — (57.9)% (Proceeds: $387,604,244)					(387,650,718	)


Options Written — 0.0% (Premiums Received: $42,995)					(50,000	)


Total Investments Net of TBA Sale Commitments and Options Written — 118.1% (Cost: $793,406,424)					789,570,241
Liabilities in Excess of Other Assets — (18.1)%.					(120,760,983	)

Net Assets — 100.0%				$	668,809,258

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

During the period ended December 31, 2017, there were no transfers between Level 1 and Level 2.

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


Security	Par (000)		Value
Asset-Backed Securities — 41.1%
AmeriCredit Automobile Receivables Trust:
Series 2013-4, Class C, 2.72%, 09/09/19	$	2	$	2,480
Series 2013-5, Class C, 2.29%, 11/08/19		179		178,983
Series 2016-3, Class A3, 1.46%, 05/10/21		1,790		1,781,771
Arbor Realty Commercial Real Estate Notes Ltd., Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 3.18%, 09/15/26 ^(a)(b)		350		355,562
Atrium X, Series 10A, Class AR, (3 mo. LIBOR US + 0.950%), 2.31%, 07/16/25 ^(a)(b)		2,936		2,942,714
B2R Mortgage Trust, Series 2015-1, Class A1, 2.52%, 05/15/48 ^(b)		616		613,506
BlueMountain CLO Ltd., Series 2013-4A, Class AR, (3 mo. LIBOR US + 1.010%), 2.37%, 04/15/25 ^(a)(b)		2,500		2,506,929
Capital One Multi-Asset Execution Trust, Series 2016-A4, Class A4, 1.33%, 06/15/22		1,300		1,283,858
Carlyle Global Market Strategies CLO Ltd.,
Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), 2.81%, 01/20/29 ^(a)(b)		1,000		1,014,471
CarMax Auto Owner Trust:
Series 2015-3, Class A4, 1.98%, 02/16/21		2,550		2,544,526
Series 2016-2, Class A3, 1.52%, 02/16/21		420		418,269
Chase Issuance Trust:
Series 2012-A4, Class A4, 1.58%, 08/16/21		2,379		2,359,345
Series 2015-A4, Class A4, 1.84%, 04/15/22		1,180		1,171,174
Series 2016-A2, Class A, 1.37%, 06/15/21		3,500		3,466,415
Series 2016-A4, Class A4, 1.49%, 07/15/22		4,305		4,230,879
Chesapeake Funding II LLC, Series 2016-2A,
Class A1, 1.88%, 06/15/28 ^(b)		1,155		1,153,196
CIFC Funding Ltd., Series 2014-2A, Class A1LR, (3 mo. LIBOR US + 1.200%), 2.65%, 05/24/26 ^(a)(b)		4,000		4,020,368
CNH Equipment Trust:
Series 2016-B, Class A3, 1.63%, 08/15/21		770		766,049
Series 2016-C, Class A3, 1.44%, 12/15/21		1,340		1,326,488
Credit Acceptance Auto Loan Trust:
Series 2016-2A, Class A, 2.42%, 11/15/23 ^(b)		3,310		3,317,009
Series 2016-3A, Class A, 2.15%, 04/15/24 ^(b)		2,200		2,190,567
Discover Card Execution Note Trust:
Series 2015-A2, Class A, 1.90%, 10/17/22		1,000		994,083
Series 2016-A4, Class A4, 1.39%, 03/15/22		3,000		2,963,172
Enterprise Fleet Financing LLC:
Series 2016-2 Class A2, 1.74%, 02/22/22 ^(b)		845		842,949
Series 2016-2, Class A3, 2.04%, 02/22/22 ^(b)		530		527,125
Series 2017-1, Class A2, 2.13%, 07/20/22 ^(b)		254		254,408
Series 2017-1, Class A3, 2.60%, 07/20/22 ^(b)		210		211,068
Ford Credit Auto Owner Trust, Series 2016-C, Class A4, 1.40%, 02/15/22		680		667,731
Greystone Commercial Real Estate Notes Ltd.,
Series 2017-FL1A, Class A, (1 mo. LIBOR US + 1.550%), 3.03%, 03/15/27 ^(a)(b)(c)		610		609,939


Security	Par (000)		Value
Honda Auto Receivables Owner Trust,
Series 2016-4, Class A4, 1.36%, 01/18/23	$	640	$	629,307
Mercedes-Benz Receivables Trust,
Series 2016-1, Class A4, 1.46%, 12/15/22		2,000		1,970,591
Mill City Mortgage Loan Trust, Series 2016-1,
Class A1, 2.50%, 04/25/57 ^(b)(d)		870		864,194
Nissan Master Owner Trust Receivables,
Series 2016-A, Class A2, 1.54%, 06/15/21		1,090		1,080,798
PFS Financing Corp.:
Series 2016-BA, Class A, 1.87%, 10/15/21 ^(b)		190		188,858
Series 2015-AA, Class A, (1 mo. LIBOR US + 0.620%), 2.10%, 04/15/20 ^(a)(b)		1,600		1,601,652
Santander Drive Auto Receivables Trust,
Series 2017-1, Class A3, 1.77%, 09/15/20		140		139,767
SLM Private Credit Student Loan Trust,
Series 2003-B, Class A2, (3 mo. LIBOR US + 0.400%), 1.99%, 03/15/22 ^(a)		4		3,773
SLM Private Education Loan Trust:
Series 2012-C, Class A2, 3.31%, 10/15/46 ^(b)		334		334,630
Series 2011-A, Class A3, (1 mo. LIBOR US + 2.500%), 3.98%, 01/15/43 ^(a)(b)		2,000		2,074,944
Series 2013-A, Class A2B, (1 mo. LIBOR US + 1.050%), 2.53%, 05/17/27 ^(a)(b)		1,406		1,414,384
SLM Student Loan Trust, Series 2013-4,
Class A, (1 mo. LIBOR US + 0.550%), 2.10%, 06/25/43 ^(a)		374		376,159
SMB Private Education Loan Trust,
Series 2016-B, Class A2A, 2.43%, 02/17/32 ^(b)		768		754,908
SoFi Professional Loan Program LLC:
Series 2015-B, Class A2, 2.51%, 09/27/32 ^(b)		1,169		1,161,538
Series 2015-D, Class A2, 2.72%, 10/27/36 ^(b)		552		551,755
Series 2016-A, Class A2, 2.76%, 12/26/36 ^(b)		1,812		1,810,559
Series 2016-C, Class A2B, 2.36%, 12/27/32 ^(b)		150		148,102
Series 2016-D, Class A2A, 1.53%, 04/25/33 ^(b)		168		167,580
Series 2016-D, Class A2B, 2.34%, 04/25/33 ^(b)		130		127,884
Series 2016-E, Class A2B, 2.49%, 01/25/36 ^(b)		460		455,416
Series 2015-A, Class A1, (1 mo. LIBOR US + 1.200%), 2.53%, 03/25/33 ^(a)(b)		1,334		1,358,526
Springleaf Funding Trust, Series 2015-AA,
Class A, 3.16%, 11/15/24 ^(b)		955		958,792
Synchrony Credit Card Master Note Trust,
Series 2015-1, Class A, 2.37%, 03/15/23		1,185		1,188,661
Towd Point Mortgage Trust, Series 2016-3,
Class A1, 2.25%, 04/25/56 ^(b)(d)		545		540,062
Wheels SPV 2 LLC, Series 2016-1A, Class A2, 1.59%, 05/20/25 ^(b)		142		142,109
World Financial Network Credit Card Master Trust:
Series 2012-A, Class A, 3.14%, 01/17/23		2,065		2,090,224
Series 2012-D, Class B, 3.34%, 04/17/23		330		332,645

Total Asset-Backed Securities — 41.1% (Cost: $67,513,833)				67,182,852


Security	Par (000)		Value
Capital Trusts — 0.1%

Multi-Utilities — 0.1%
Dominion Energy, Inc., 2.58%, 07/01/20	$	110	$	110,046

Total Capital Trusts — 0.1% (Cost: $110,091)				110,046


Corporate Bonds — 70.5%

Aerospace & Defense — 0.6%
Lockheed Martin Corp., 2.50%, 11/23/20		400		402,555
Northrop Grumman Corp., 2.08%, 10/15/20		275		272,759
United Technologies Corp. :
1.90%, 05/04/20		115		113,867
3.10%, 06/01/22		200		203,713

				992,894
Air Freight & Logistics — 0.0%
Federal Express Corp. Pass-Through Trust,
Series 2012, 2.63%, 01/15/18 ^(b)		19		19,437

Airlines — 0.6%
Delta Air Lines, Inc. :
2.88%, 03/13/20		133		133,772
3.63%, 03/15/22		625		635,799
Virgin Australia Trust, Series 2013-1A,
Series 2013-1A, 5.00%, 04/23/25 ^(b)		262		272,825

				1,042,396
Automobiles — 1.5%
Daimler Finance North America LLC, 1.50%, 07/05/19 ^(b)(e)		1,750		1,729,527
Volkswagen Group of America Finance LLC :
2.13%, 05/23/19 ^(b)		350		348,570
2.40%, 05/22/20 ^(b)		315		314,080

				2,392,177
Banks — 18.3%
ANZ New Zealand International Ltd., 2.88%, 01/25/22 ^(b)		615		616,613
Australia & New Zealand Banking Group Ltd., 2.55%, 11/23/21		450		447,741
Bank Nederlandse Gemeenten NV, 1.75%, 10/30/19 ^(b)		1,500		1,489,890
Bank of America Corp. (3 mo. LIBOR US + 1.160%),:
3.12%, 01/20/23 ^(e)(f)		675		684,722
2.88%, 04/24/23 ^(e)(f)		1,105		1,106,625
Bank of Montreal, 2.10%, 12/12/19		325		324,099
Barclays PLC :
3.25%, 01/12/21		230		232,209
3.68%, 01/10/23 ^(e)		785		796,600
4.38%, 09/11/24		500		512,325
BB&T Corp., 2.45%, 01/15/20 ^(e)		1,500		1,504,965
BNP Paribas SA, 3.80%, 01/10/24 ^(b)(e)		785		812,180
Citigroup, Inc. :
2.45%, 01/10/20		220		220,101
2.90%, 12/08/21		515		518,389
2.75%, 04/25/22		330		329,332
2.88%, 07/24/23 ^(f)		100		99,499
Citizens Bank N.A. :
2.30%, 12/03/18		335		335,229
2.45%, 12/04/19 ^(e)		1,250		1,250,841
2.55%, 05/13/21		250		249,075
Commonwealth Bank of Australia :
2.25%, 03/10/20 ^(b)		600		598,152
2.75%, 03/10/22 ^(b)		400		401,149
Fifth Third Bancorp, 2.60%, 06/15/22		400		397,672
Fifth Third Bank :
2.38%, 04/25/19		500		501,447


Security	Par (000)		Value
Banks (continued)
1.63%, 09/27/19	$	455	$	449,747
HSBC Holdings PLC, 2.95%, 05/25/21 ^(e)		1,925		1,938,229
Huntington Bancshares, Inc., 2.30%, 01/14/22		500		491,949
Huntington National Bank, 2.88%, 08/20/20 ^(e)		665		670,492
JPMorgan Chase & Co. :
2.75%, 06/23/20 ^(e)		1,000		1,008,732
2.55%, 03/01/21 ^(e)		700		700,370
2.78%, 04/25/23 ^(f)		925		925,897
KeyBank N.A., 2.50%, 11/22/21 ^(e)		500		497,373
Lloyds Bank PLC, 2.70%, 08/17/20		550		552,145
Lloyds Banking Group PLC :
3.00%, 01/11/22		420		422,096
4.50%, 11/04/24		475		498,411
Mitsubishi UFJ Financial Group, Inc., 2.95%, 03/01/21		505		509,609
Mizuho Financial Group, Inc., 2.95%, 02/28/22		465		465,455
Oesterreichische Kontrollbank AG, 1.50%, 10/21/20		850		834,198
Royal Bank of Canada, 2.75%, 02/01/22		410		415,123
Santander Holdings USA, Inc., 3.70%, 03/28/22 ^(b)		210		212,527
Santander UK PLC, 2.13%, 11/03/20		755		748,928
Sumitomo Mitsui Financial Group, Inc. :
2.44%, 10/19/21		375		371,050
2.85%, 01/11/22		605		606,201
SunTrust Bank, 2.45%, 08/01/22		750		739,536
Swedbank AB, 2.65%, 03/10/21 ^(b)		500		501,559
U.S. Bancorp, 2.63%, 01/24/22		500		502,871
Wells Fargo & Co. :
2.63%, 07/22/22 ^(e)		830		825,536
3.07%, 01/24/23 ^(e)		1,015		1,022,617
Westpac Banking Corp., 1.60%, 08/19/19 ^(e)		530		524,494

				29,864,000
Beverages — 0.6%
Anheuser-Busch InBev Finance, Inc., 3.30%, 02/01/23 ^(e)		1,000		1,023,293

Biotechnology — 2.6%
AbbVie, Inc., 2.50%, 05/14/20 ^(e)		1,120		1,123,452
Amgen, Inc. :
2.20%, 05/22/19 ^(e)		2,225		2,225,452
2.20%, 05/11/20 ^(e)		650		646,407
Gilead Sciences, Inc., 1.95%, 03/01/22		320		312,246

				4,307,557
Capital Markets — 5.3%
Bank of New York Mellon Corp., 2.15%, 02/24/20 ^(e)		750		748,928
Credit Suisse AG, 2.30%, 05/28/19 ^(e)		770		770,745
Credit Suisse Group AG, 3.57%, 01/09/23 ^(b)(e)		625		635,444
E*TRADE Financial Corp., 2.95%, 08/24/22		280		277,636
Goldman Sachs Group, Inc. :
2.60%, 12/27/20		480		479,947
3.00%, 04/26/22 ^(e)		1,900		1,907,449
2.91%, 06/05/23 ^(f)		500		496,675
Moody’s Corp., 2.75%, 07/15/19 ^(e)		690		694,231
Morgan Stanley :
2.63%, 11/17/21		500		497,722
2.29%, 07/22/22 ^(a)(e)		1,195		1,204,597
UBS Group Funding Switzerland AG :
2.65%, 02/01/22 ^(b)		200		197,735
3.49%, 05/23/23 ^(b)(e)		765		777,174

				8,688,283
Chemicals — 0.4%
Air Liquide Finance SA, 1.75%, 09/27/21 ^(b)		200		193,955


Security	Par (000)		Value
Chemicals (continued)
E.I. du Pont de Nemours & Co., 2.20%, 05/01/20	$	245	$	244,784
Sherwin-Williams Co., 2.25%, 05/15/20		205		204,314

				643,053
Commercial Services & Supplies — 0.8%
Aviation Capital Group Corp. :
4.63%, 01/31/18 ^(b)		950		951,928
2.88%, 01/20/22 ^(b)		410		409,663

				1,361,591
Consumer Finance — 5.3%
American Express Co., 2.50%, 08/01/22 ^(e)		800		790,344
Capital One Financial Corp. :
2.45%, 04/24/19 ^(e)		1,154		1,156,694
2.50%, 05/12/20		475		474,405
Capital One N.A., 2.25%, 09/13/21		500		490,472
ERAC USA Finance LLC, 2.60%, 12/01/21 ^(b)		350		345,519
Ford Motor Credit Co. LLC :
2.94%, 01/08/19		400		402,498
2.68%, 01/09/20		510		511,230
8.13%, 01/15/20 ^(e)		700		775,403
2.43%, 06/12/20		200		198,815
General Motors Financial Co., Inc. :
3.10%, 01/15/19		470		472,516
3.15%, 01/15/20 ^(e)		610		616,889
3.20%, 07/13/20		396		401,375
Nissan Motor Acceptance Corp. :
2.00%, 03/08/19 ^(b)		340		339,175
2.25%, 01/13/20 ^(b)(e)		795		793,570
Synchrony Financial, 3.00%, 08/15/19		900		906,259

				8,675,164
Diversified Financial Services — 3.5%
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust :
4.63%, 10/30/20		505		529,382
3.95%, 02/01/22		650		669,920
3.50%, 05/26/22		170		172,526
BAT International Finance PLC :
2.75%, 06/15/20 ^(b)(e)		800		803,913
3.25%, 06/07/22 ^(b)		155		157,276
BP Capital Markets PLC, 3.22%, 11/28/23		210		214,518
CK Hutchison International 16 Ltd., 1.88%, 10/03/21 ^(b)		295		284,642
Deutsche Telekom International Finance BV, 2.82%, 01/19/22 ^(b)(e)		770		770,977
Enel Finance International NV, 2.88%, 05/25/22 ^(b)		200		199,456
GE Capital International Funding Co., 2.34%, 11/15/20		600		597,234
Hyundai Capital America :
2.40%, 10/30/18 ^(b)		140		139,865
2.55%, 04/03/20 ^(b)		215		213,245
Voya Financial, Inc., 2.90%, 02/15/18 ^(e)		1,029		1,030,005

				5,782,959
Diversified Telecommunication Services — 0.8%
AT&T Inc. :
3.20%, 03/01/22		310		313,345
2.85%, 02/14/23		420		421,665
Verizon Communications, Inc. :
2.95%, 03/15/22		390		392,376
3.38%, 02/15/25 ^(b)		167		167,631

				1,295,017
Electric Utilities — 1.2%
Duke Energy Corp., 1.80%, 09/01/21		370		359,882


Security	Par (000)		Value
Electric Utilities (continued)
Emera U.S. Finance LP, 2.15%, 06/15/19	$	235	$	234,086
Eversource Energy, 2.75%, 03/15/22		415		415,751
Exelon Corp., 2.45%, 04/15/21		255		253,844
FirstEnergy Corp., 2.85%, 07/15/22		159		157,555
Georgia Power Co., 2.00%, 09/08/20		525		521,982
ITC Holdings Corp., 2.70%, 11/15/22 ^(b)		85		84,846

				2,027,946
Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp., 2.20%, 04/01/20		290		288,567

Energy Equipment & Services — 0.1%
Baker Hughes a GE Co. LLC/Baker Hughes Co.-Obligor, Inc., 2.77%, 12/15/22 ^(b)		225		224,718

Equity Real Estate Investment Trusts (REITs) — 2.1%
American Tower Corp., 2.25%, 01/15/22		1,000		973,962
Crown Castle International Corp. :
3.40%, 02/15/21		615		628,062
2.25%, 09/01/21		315		309,687
3.20%, 09/01/24		385		381,008
HCP, Inc., 3.75%, 02/01/19 ^(e)		800		809,620
Realty Income Corp., 3.25%, 10/15/22		375		381,043

				3,483,382
Food & Staples Retailing — 1.3%
Alimentation Couche-Tard, Inc., 2.70%, 07/26/22 ^(b)		350		346,783
CVS Health Corp. :
2.25%, 08/12/19		131		130,604
2.80%, 07/20/20		155		155,646
2.13%, 06/01/21 ^(e)		325		317,170
Walgreen Co., 3.10%, 09/15/22		200		200,799
Walgreens Boots Alliance, Inc., 2.70%, 11/18/19		950		955,767

				2,106,769
Food Products — 0.8%
Tyson Foods, Inc., 2.25%, 08/23/21		165		162,784
Wm. Wrigley Jr. Co. :
2.90%, 10/21/19 ^(b)(e)		595		600,532
3.38%, 10/21/20 ^(b)(e)		595		609,359

				1,372,675
Health Care Equipment & Supplies — 1.0%
Abbott Laboratories :
2.00%, 09/15/18 ^(e)		615		614,866
2.90%, 11/30/21		380		384,399
Becton Dickinson and Co., 2.40%, 06/05/20		280		278,481
Stryker Corp., 2.00%, 03/08/19		315		314,514

				1,592,260
Health Care Providers & Services — 0.1%
Anthem, Inc., 2.50%, 11/21/20		175		174,635

Hotels, Restaurants & Leisure — 1.0%
Carnival Corp., 3.95%, 10/15/20		600		626,403
Marriott International, Inc., 3.13%, 10/15/21		1,005		1,017,206

				1,643,609
Industrial Conglomerates — 0.1%
Roper Technologies, Inc., 2.80%, 12/15/21		130		130,229

Insurance — 4.1%
AIA Group Ltd., 2.25%, 03/11/19 ^(b)(e)		500		497,114
American International Group, Inc. :
2.30%, 07/16/19 ^(e)		655		654,509
3.30%, 03/01/21 ^(e)		930		948,066
Aon PLC, 2.80%, 03/15/21		560		561,907


Security	Par (000)		Value
Insurance (continued)
AXIS Specialty Finance PLC, 2.65%, 04/01/19 ^(e)	$	736	$	733,541
Hartford Financial Services Group, Inc., 5.13%, 04/15/22		235		256,450
Marsh & McLennan Cos., Inc., 2.35%, 09/10/19 ^(e)		1,250		1,253,476
MassMutual Global Funding II, 2.00%, 04/15/21 ^(b)(e)		500		492,215
New York Life Global Funding :
1.95%, 02/11/20 ^(b)(e)		705		700,424
2.00%, 04/13/21 ^(b)		230		226,986
Pricoa Global Funding I, 2.45%, 09/21/22 ^(b)		170		168,473
Willis North America, Inc., 3.60%, 05/15/24		135		137,241

				6,630,402
Internet & Direct Marketing Retail — 0.1%
Priceline Group, Inc., 2.75%, 03/15/23		180		179,349

Internet Software & Services — 0.4%
Baidu, Inc., 2.88%, 07/06/22		300		296,555
eBay, Inc., 2.15%, 06/05/20		290		287,963

				584,518
IT Services — 0.2%
Fidelity National Information Services, Inc., 3.63%, 10/15/20		235		241,456

Life Sciences Tools & Services — 0.6%
Thermo Fisher Scientific, Inc., 3.30%, 02/15/22		. 975		997,835

Media — 1.8%
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, 07/23/22 ^(e)		440		459,074
NBCUniversal Enterprise, Inc., (3 mo. LIBOR US + 0.400%), 2.09%, 04/01/21 ^(a)(b)		300		300,941
Omnicom Group, Inc., 4.45%, 08/15/20		465		487,807
Sky PLC :
6.10%, 02/15/18 ^(b)		278		279,296
2.63%, 09/16/19 ^(b)(e)		1,255		1,257,443
Time Warner, Inc., 4.70%, 01/15/21		100		105,648

				2,890,209
Metals & Mining — 0.3%
Anglo American Capital PLC, 4.13%, 04/15/21 ^(b)		200		205,592
Newmont Mining Corp., 3.50%, 03/15/22		190		193,966

				399,558
Multi-Utilities — 0.2%
CenterPoint Energy, Inc., 2.50%, 09/01/22		270		265,937

Oil, Gas & Consumable Fuels — 1.9%
Andeavor Logistics LP/Tesoro Logistics Finance Corp. :
6.25%, 10/15/22		53		56,231
3.50%, 12/01/22		145		144,725
Apache Corp., 6.90%, 09/15/18		58		59,832
ConocoPhillips Co., 2.20%, 05/15/20		360		359,192
Enbridge, Inc., 2.90%, 07/15/22		155		154,062
Energy Transfer LP, 3.60%, 02/01/23		150		150,158
Enterprise Products Operating LLC, 2.55%, 10/15/19		285		285,897
Kinder Morgan, Inc. :
3.05%, 12/01/19		145		146,270
3.15%, 01/15/23		465		462,168
Pioneer Natural Resources Co. :
7.50%, 01/15/20		45		49,357
3.45%, 01/15/21		385		392,751
Sabine Pass Liquefaction LLC, 5.63%, 02/01/21		340		364,500


Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Schlumberger Investment SA, 3.30%, 09/14/21 ^(b)	$	500	$	512,234

				3,137,377
Pharmaceuticals — 2.5%
Allergan Funding SCS :
3.00%, 03/12/20 ^(e)		2,100		2,118,893
3.45%, 03/15/22		200		203,211
Mylan NV, 2.50%, 06/07/19		125		124,871
Shire Acquisitions Investments Ireland DAC, 2.40%, 09/23/21 ^(e)		955		939,969
Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 07/19/19 ^(e)		760		738,413

				4,125,357
Road & Rail — 2.3%
Penske Truck Leasing Co. LP/PTL Finance Corp. :
2.50%, 06/15/19 ^(b)		320		320,618
3.05%, 01/09/20 ^(b)(e)		1,545		1,563,530
3.20%, 07/15/20 ^(b)		290		294,326
3.38%, 02/01/22 ^(b)		440		448,238
Ryder System, Inc. :
2.45%, 11/15/18		125		125,318
2.88%, 09/01/20 ^(e)		1,000		1,006,900

				3,758,930
Semiconductors & Semiconductor Equipment — 1.7%
Broadcom Corp./Broadcom Cayman Finance Ltd. :
2.38%, 01/15/20 ^(b)(e)		335		332,734
3.00%, 01/15/22 ^(b)		449		445,197
Lam Research Corp., 2.80%, 06/15/21		1,215		1,222,625
QUALCOMM, Inc., 2.10%, 05/20/20		820		816,551

				2,817,107
Software — 0.4%
CA, Inc., 3.60%, 08/15/22		265		268,671
Oracle Corp., 2.63%, 02/15/23		360		360,799

				629,470
Technology Hardware, Storage & Peripherals — 0.7%
Hewlett Packard Enterprise Co. :
2.10%, 10/04/19 ^(b)		160		158,905
3.60%, 10/15/20		600		612,599
NetApp, Inc., 2.00%, 09/27/19		320		317,521

				1,089,025
Tobacco — 3.2%
Altria Group, Inc. :
2.63%, 01/14/20 ^(e)		1,000		1,006,447
4.75%, 05/05/21 ^(e)		240		257,371
BAT Capital Corp., 2.30%, 08/14/20 ^(b)		1,145		1,138,702
Philip Morris International, Inc. :
4.50%, 03/26/20		325		340,153
1.88%, 02/25/21		160		157,074
Reynolds American, Inc., 3.25%, 06/12/20 ^(e)		2,203		2,238,457

				5,138,204
Trading Companies & Distributors — 1.8%
Air Lease Corp. :
2.63%, 09/04/18		110		110,324
3.38%, 01/15/19		500		504,843
3.38%, 06/01/21		155		158,331
2.63%, 07/01/22		650		641,234
GATX Corp., 2.50%, 03/15/19 ^(e)		1,000		999,653
International Lease Finance Corp., 4.63%, 04/15/21		468		492,670

				2,907,055


Security	Par (000)		Value
Wireless Telecommunication Services — 0.1%
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 03/20/23 ^(b)	$	188	$	188,672

Total Corporate Bonds — 70.5% (Cost: $115,479,134)				115,113,072


Non-Agency Mortgage-Backed Securities — 13.4%

Collateralized Mortgage Obligations — 1.1%
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-7, Class 4A, 3.80%, 10/25/34 ^(d).		2		2,438
Bear Stearns Alt-A Trust, Series 2004-13, Class A1, (1 mo. LIBOR US + 0.740%), 2.29%, 11/25/34 ^(a)		2		1,958
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A, 3.35%, 05/20/34 ^(d)		76		76,562
JP Morgan Trust:
Series 2015-3, Class A5, 3.50%, 05/25/45 ^(b)(d)		877		889,747
Series 2016-2, Class A1, 2.69%, 06/25/46 ^(b)(d)		792		790,519
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 4A1, 3.54%, 06/25/34 ^(d)		59		59,007

				1,820,231
Commercial Mortgage-Backed Securities — 11.7%
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class B, 3.21%, 04/10/28 ^(b)		830		832,063
Commercial Mortgage Trust:
Series 2013-CR12, Class A2, 2.90%, 10/10/46		1,730		1,739,058
Series 2013-SFS, Class A1, 1.87%, 04/12/35 ^(b)		275		268,751
Series 2014-UBS2, Class A2, 2.82%, 03/10/47		1,380		1,389,835
Series 2014-UBS6, Class ASB, 3.39%, 12/10/47		1,110		1,140,833
Series 2015-CR23, Class A2, 2.85%, 05/10/48		3,740		3,778,404
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class AFL1, (1 mo. LIBOR US + 1.300%), 2.55%, 12/15/34 ^(a)(b)		186		185,703
GS Mortgage Securities Trust, Series 2013-GC16, Class AAB, 3.81%, 11/10/46		1,500		1,557,316
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2012-CBX, Class A4, 3.48%, 06/15/45		3,000		3,086,750
Series 2016-WPT, Class A, (1 mo. LIBOR US + 1.450%), 2.93%, 10/15/33 ^(a)(b)		500		501,251
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM, 6.11%, 07/15/40 ^(d)		866		865,949
Morgan Stanley Capital I Trust:
Series 2012-C4, Class A4, 3.24%, 03/15/45 .		1,900		1,937,931
Series 2014-CPT, Class A, 3.35%, 07/13/29 ^(b)		1,300		1,329,800
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, 6.01%, 02/15/51 ^(d)		318		317,925


Security	Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, (1 mo. LIBOR US + 1.350%), 2.83%, 06/15/29 ^(a)(b)	$	150	$	150,232

				19,081,801
Interest Only Commercial Mortgage-Backed Securities — 0.6%
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class XA, 0.78%, 09/15/48 ^(d)		5,022		230,496
Commercial Mortgage Trust:
Series 2015-CR23, Class XA, 0.98%, 05/10/48 ^(d)		2,572		121,172
Series 2015-LC21, Class XA, 0.85%, 07/10/48 ^(d)		6,380		256,219
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 1.81%, 01/15/49 ^(d)		994		103,825
WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class XA, 0.80%, 06/15/46 ^(d)		9,327		295,828

				1,007,540

Total Non-Agency Mortgage-Backed Securities — 13.4% (Cost: $22,462,747)				21,909,572


U.S. Government Sponsored Agency Securities — 28.4%

Collateralized Mortgage Obligations — 3.8%
Freddie Mac:
Series 3959, Class MA, 4.50%, 09/15/41- 11/15/41		556		588,749
Series 4239, Class AB, 4.00%, 12/15/39		811		840,515
Series 4253, Class PA, 3.50%, 10/15/35- 06/15/50		1,734		1,768,414
Series 4459, Class BN, 3.00%, 06/15/42- 02/15/44		2,150		2,175,880
Series 4494, Class KA, 3.75%, 10/15/42		862		894,098

				6,267,656
Commercial Mortgage-Backed Securities — 0.5%
Freddie Mac, Series KP03, Class A2, 1.78%, 07/25/19		813		809,462

Interest Only Commercial Mortgage-Backed Securities — 0.1%
Fannie Mae, Series 2013-M5, Class X2, 2.18%, 01/25/22 ^(d)		1,228		60,931
Freddie Mac, Series KW01, Class X1, 0.98%, 01/25/26 ^(d)		2,105		127,996

				188,927
Mortgage-Backed Securities — 24.0%
Fannie Mae Mortgage-Backed Securities:
2.50%, 12/01/27-01/01/33 ^(e)(g)		6,734		6,730,339
3.00%, 01/01/33 ^(g)		9,700		9,879,981
3.50%, 01/01/33 ^(g)		8,110		8,370,874
4.00%, 01/01/33 ^(g)		1,345		1,383,221
4.50%, 09/01/26 ^(e)		115		121,648
5.00%, 07/01/19-07/01/25 ^(e)		263		268,390
2.72%, 07/01/43 ^(a)(e)		1,947		1,971,077
2.88%, 07/01/44 ^(a)(e)		1,198		1,220,730
2.95%, 10/01/45 ^(a)(e)		2,104		2,128,120
3.15%, 06/01/45 ^(a)(e)		1,424		1,445,639


Security	Par (000)		Value
Mortgage-Backed Securities (continued)
Freddie Mac Mortgage-Backed Securities:
2.50%, 11/01/27 ^(e)	$	964	$	969,381
5.00%, 01/01/19-09/01/21		100		102,396
5.50%, 05/01/22 ^(e)		123		126,165
(12 mo. LIBOR US + 1.620%) 2.61%, 03/01/45 ^(a)(e)		1,733		1,753,547
(12 mo. LIBOR US + 1.620%), 3.06%, 05/01/45 ^(a)(e)		2,596		2,635,592

				39,107,100

Total U.S. Government Sponsored Agency Securities — 28.4% (Cost: $46,674,849)				46,373,145

Total Long-Term Investments — 153.5% (Cost: $252,240,654)				250,688,687

	Shares

Short-Term Securities — 1.0%
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.11% ^(h)		1,512,856		1,512,856

Total Short-Term Securities — 1.0% (Cost: $1,512,856)				1,512,856


Options Purchased — 0.0% (Cost: $39,038)				18,200

Total Investments — 154.5% (Cost: $253,792,548)				252,219,743
Liabilities in Excess of Other
Assets — (54.5)%.				(88,930,227	)

Net Assets — 100.0%			$	163,289,516

For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

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

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 $67,693,255 are categorized as Level 2 within the disclosure hierarchy.

During the period ended December 31, 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.


ABS	Asset-Backed Security	LIBOR	London Interbank Offered Rate
AGM	Assured Guaranty Municipal Corp.	OTC	Over-the-counter
AMT	Alternative Minimum Tax (subject to)	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	USD	US Dollar
IDA	Industrial Development Authority


Reference Index	Financing Rate Paid by the Fund		Payment Frequency		Counterparty	Termination Date			Notional Amount (000)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.6.AAA		0.50%		Monthly	Deutsche Bank AG		05/11/63		$	593		(3,900	)		192		$	(4,092	)
CMBX.NA.6.AAA		0.50%		Monthly	Deutsche Bank AG		05/11/63		$	523		(3,444	)		(385	)		(3,059	)
CMBX.NA.6.AAA		0.50%		Monthly	Deutsche Bank AG		05/11/63		$	365		(2,404	)		72			(2,476	)
CMBX.NA.6.BBB-		3.00%		Monthly	J.P. Morgan Securities LLC		05/11/63		$	40		5,829			2,581			3,248
											$	(3,919	)	$	2,460		$	(6,379	)

OTC Credit Default Swaps - Sell Protection
Reference Index	Financing Rate Received by the Fund		Payment Frequency		Counterparty	Termination Date		Credit Rating^(a)	Notional Amount (000)^(b)		Value			Upfront Premium Received			Unrealized Appreciation (Depreciation)
CMBX.NA.8.A		2.00%		Monthly	Morgan Stanley & Co. International PLC		10/17/57	Not Rated	$	120	$	(5,133	)	$	(11,550	)	$	6,417
CMBX.NA.9.A		2.00%		Monthly	Goldman Sachs International		09/17/58	Not Rated	$	4,714		(167,715	)		(248,172	)		80,457
CMBX.NA.9.BBB-		3.00%		Monthly	Deutsche Bank AG		09/17/58	Not Rated	$	4,620		(509,849	)		(595,165	)		85,316
CMBX.NA.10.BBB-		3.00%		Monthly	Deutsche Bank AG		11/17/59	BBB-	$	1,000		(100,326	)		(89,851	)		(10,475	)
CMBX.NA.10.BBB-		3.00%		Monthly	Deutsche Bank AG		11/17/59	BBB-	$	500		(50,163	)		(54,192	)		4,029
CMBX.NA.6.BBB-		3.00%		Monthly	Credit Suisse International		05/11/63	BBB-	$	40		(5,829	)		(3,220	)		(2,609	)
											$	(839,015	)	$	(1,002,150	)	$	163,135


	Asset-Backed Securities			Corporate Bonds			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 3		1,064,204						—			—			—			1,064,204
Transfers out of Level 3^(a)		(12,810,938	)		—			—			(4,382,194	)		—			(17,193,132	)
Accrued discounts/premiums		—			—			—			—			—			—
Net realized gain (loss)		40,186			—			18,842			24,798			58,836			142,662
Net change in unrealized appreciation (depreciation)^(b)		(209,115	)		(5,764	)		152			136,136			(1,600	)		(80,191	)
Purchases		19,061,181			5,764			4,779,651			5,347,385			—			29,193,981
Sales		(2,422,114	)		—			(1,985,217	)		(1,906,859	)		(1,058,836	)		(7,373,026	)
Closing Balance, as of December 31, 2017	$	21,525,600		$	—		$	3,806,928		$	6,860,766		$	—		$	32,193,294
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017^(b)	$	19,970		$	(5,764	)	$	152		$	151,491		$	—		$	165,849


Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
U.S. Treasury Notes (10 Year)		159		March 2018		$19,723		$(84,095	)
U.S. Treasury Notes (2 Year)		110		March 2018		23,552		(50,435	)
U.S. Treasury Notes (5 Year)		48		March 2018		5,576		(7,112	)
U.S. Ultra Treasury Bonds		141		March 2018		23,640		74,784

								(66,858	)

Short Contracts
U.S. Treasury Bonds (30 Year)		29		March 2018		4,437		8,892

								8,892
								$(57,966	)


Reference Obligation	Financing Rate Received by the Fund		Payment Frequency		Counterparty	Termination Date		Credit Rating^(a)	Notional Amount (000)^(b)		Value			Upfront Premium Received			Unrealized Appreciation
Host Hotels & Resorts LP		1.00%		Quarterly	Credit Suisse International		03/20/19	BBB	$	825	$	9,742		$	(1,230	)	$	10,972
American Tower Corp.		1.00%		Quarterly	Morgan Stanley & Co. International PLC		06/20/21	BBB-	$	1,875		(21,964	)		(53,361	)		31,397
Total											$	(12,222	)	$	(54,591	)	$	42,369


	Level 1		Level 2			Level 3		Total
Investments
Assets
Long-Term Investments
Asset-Backed Securities	$	—	$	252,106,247		$	21,525,600	$	273,631,847
Corporate Bonds^(a)		—		—			—		—
Floating Rate Loan Interests^(a)		—		—			3,806,928		3,806,928
Non-Agency Mortgage-Backed Securities		—		173,622,823			6,860,766		180,483,589
U.S. Government Sponsored Agency Securities		—		18,525,328			—		18,525,328
Short-Term Securities		17,015,958		—			—		17,015,958

	$	17,015,958	$	444,254,398		$	32,193,294	$	493,463,650

Derivative Financial Instruments^(b)
Assets
Credit contracts	$	—	$	179,467		$	—	$	179,467
Liabilities
Credit contracts		—		(22,711	)		—		(22,711	)

	$	—	$	156,756		$	—	$	156,756


Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation

Short Contracts
U.S. Treasury Bonds (30 Year)		79		March 2018	$	12,087	$	4,826
U.S. Treasury Notes (10 Year)		37		March 2018		4,590		19,166
U.S. Treasury Notes (5 Year)		5		March 2018		581		176

							$	24,168


Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
Euro Dollar		273		December 2018	$	66,786	$	(11,024	)
Euro Dollar		115		March 2020		28,077		(52,615	)
U.S. Ultra Treasury Bonds		2		March 2018		335		(1,718	)

								(65,357	)

Short Contracts
Euro Dollar		9		March 2018		2,210		15,176
Euro Dollar		2		June 2018		490		747
Euro Dollar		9		September 2018		2,204		7,414
Euro Dollar		2		March 2019		489		923
Euro Dollar		5		June 2019		1,222		4,231
Euro Dollar		2		September 2019		489		822
Euro Dollar		277		December 2019		67,636		10,488
U.S. Treasury Bonds (30 Year)		27		March 2018		4,131		5,643
U.S. Treasury Notes (10 Year)		134		March 2018		16,622		46,191
U.S. Treasury Notes (2 Year)		23		March 2018		4,925		11,809
U.S. Treasury Notes (5 Year)		426		March 2018		49,486		130,936

								234,380

							$	169,023


Exchange-Traded Options Purchased
Description	Number of Contracts		Expiration Date		Exercise Price		Notional Amount (000)		Value
Put
U.S. Treasury Notes (10 Year) Futures		172		01/26/18	$	123.00	$	2,133,606	$	21,500
Euro Dollar Futures		500		03/16/18	$	97.75	$	12,207,500		193,750

									$	215,250


Paid by the Fund				Received by the Fund	Termination	Notional Amount				Upfront Premium		Unrealized Appreciation
Rate	Frequency	Rate		Frequency	Date	(000)		Value		Paid
2.42%	Semi-annual		3-month LIBOR	Quarterly	04/24/45	$	820	$	18,638	$	18	$	18,620
2.38%	Semi-annual		3-month LIBOR	Quarterly	04/24/45	$	800		24,919		17		24,902
2.39%	Semi-annual		3-month LIBOR	Quarterly	04/24/45	$	800		23,161		17		23,144
2.42%	Semi-annual		3-month LIBOR	Quarterly	04/24/45	$	760		16,867		17		16,850
3-month LIBOR	Quarterly		2.83%	Semi-annual	07/10/45	$	3,030		213,228		60		213,168
								$	296,813	$	129	$	296,684


	Value
Total Affiliated Investment Companies — 29.9% (Cost: $26,320,901)	$	25,656,954
Other Assets Less Liabilities — 70.1%		60,280,313

Net Assets — 100.0%	$	85,937,267


Affiliate	Shares Held at 03/31/2017		Shares Purchased		Shares Sold		Shares Held at 12/31/2017		Value at 12/31/2017		Income		Net Realized Loss			Change in Unrealized Appreciation (Depreciation)
BlackRock Allocation Target Shares: Series S Portfolio		3,844,957		—		1,138,527		2,706,430		$25,656,954		$715,530		$(326,288	)		$184,871


Description	Number of Contracts		Expiration Date		Notional Amount (000)	Value/ Unrealized Appreciation
Long Contracts
U.S. Ultra Treasury Bonds (10 Year)		5		March 2018	$ 668		$ 1,494

							1,494

Short Contracts
U.S. Treasury Notes (10 Year)		242		March 2018	30,019		105,809
U.S. Treasury Notes (2 Year)		80		March 2018	17,129		33,411
U.S. Treasury Notes (5 Year)		12		March 2018	1,394		7,458

							146,678
							$148,172



Paid by the Fund			Received by the Fund	Effective		Termination		Notional Amount	Value			Upfront Premium		Unrealized Appreciation
Rate	Frequency	Rate	Frequency	Date		Date		(000)				Paid		(Depreciation)
3-month LIBOR	Quarterly	1.82%	Semi-annual		01/04/18^(a)		09/30/19	$13,500	$	(49,660	)	$	$158	$	(49,818	)
2.29%	Semi-annual	3-month LIBOR	Quarterly		N/A		08/15/26	$22,000		(37,259	)		297		(37,556	)
2.23%	Semi-annual	3-month LIBOR	Quarterly		N/A		04/24/27	$26,460		284,361			383		283,978
2.27%	Semi-annual	3-month LIBOR	Quarterly		N/A		05/18/27	$6,500		50,385			94		50,291
2.23%	Semi-annual	3-month LIBOR	Quarterly		N/A		08/11/27	$3,850		25,668			61		25,607

									$	273,495		$	993	$	272,502


Counterparty	Interest Rate			Trade Date		Maturity Date^(a)		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements
RBC Capital Markets, LLC		1.84	%		04/06/17		Open	$	661,500	$	668,173	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		04/06/17		Open		2,147,925		2,169,592	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		05/10/17		Open		1,090,530		1,100,140	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		05/15/17		Open		699,200		705,238	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		05/24/17		Open		571,200		575,941	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		05/24/17		Open		960,000		967,969	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		05/24/17		Open		580,125		584,940	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.75	%		06/15/17		Open		662,400		667,920	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.75	%		06/15/17		Open		502,838		507,028	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.75	%		06/15/17		Open		475,000		478,958	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		06/19/17		Open		463,750		467,765	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		06/21/17		Open		1,192,250		1,202,466	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		06/29/17		Open		2,108,188		2,125,507	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		06/29/17		Open		666,225		671,727	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		06/29/17		Open		892,925		900,300	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		06/29/17		Open		1,190,625		1,200,459	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		07/18/17		Open		982,013		989,213	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/01/17		Open		1,055,275		1,062,453	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/01/17		Open		955,000		961,496	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/01/17		Open		957,500		964,013	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/01/17		Open		975,000		981,632	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/01/17		Open		1,123,300		1,130,940	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/11/17		Open		972,405		978,590	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.80	%		08/23/17		Open		748,294		752,547	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/23/17		Open		697,300		701,365	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.80	%		08/23/17		Open		738,225		742,421	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.80	%		08/23/17		Open		779,163		783,591	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.80	%		08/23/17		Open		750,000		754,263	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.80	%		08/23/17		Open		723,800		727,914	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/23/17		Open		755,563		759,968	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/23/17		Open		585,600		589,014	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/23/17		Open		646,312		650,080	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/23/17		Open		614,250		617,831	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/23/17		Open		579,637		583,016	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.80	%		08/23/17		Open		635,075		638,684	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		08/23/17		Open		745,500		749,846	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		2.20	%		08/29/17		Open		420,200		423,022	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		09/18/17		Open		476,250		478,459	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		09/18/17		Open		304,687		306,100	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		09/18/17		Open		733,425		736,826	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		09/18/17		Open		710,625		713,921	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		09/18/17		Open		2,016,000		2,025,349	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.80	%		11/15/17		Open		313,644		314,279	Corporate Bonds	Open/Demand
RBC Capital Markets, LLC		1.84	%		12/08/17		Open		243,600		243,837	Corporate Bonds	Open/Demand
Citigroup Global Markets, Inc.		1.62	%		12/14/17		01/17/18		1,866,000		1,867,260	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		1.62	%		12/14/17		01/17/18		939,000		939,634	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		1.62	%		12/14/17		01/17/18		1,210,000		1,210,817	U.S. Government Sponsored Agency Securities	Up to 30 Days
Citigroup Global Markets, Inc.		1.62	%		12/14/17		01/17/18		116,000		116,078	U.S. Government Sponsored Agency Securities	Up to 30 Days


SCHEDULE OF INVESTMENTS			1


2		2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS


SCHEDULE OF INVESTMENTS			3


4		2017 BLACKROCK QUARTERLY REPORT TO SHAREHOLDERS


		Asset-Backed Securities
Assets
Opening Balance, as of March 31, 2017	$	4,350,000
Transfers into Level 3		609,658
Transfers out of Level 3		(4,350,000	)
Accrued discounts/premiums		—
Net realized gain (loss)		—
Net change in unrealized appreciation (depreciation)^(a)		281
Purchases		—
Sales		—

Closing Balance, as of December 31, 2017	$	609,939

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2017^(a)	$	281


2(a) –		The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –		There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.


BlackRock Allocation Target Shares

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



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