BlackRock Funds II

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds II, 55 East 52^nd

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

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The Markets in Review

Dear Shareholder,

In the 12 months ended January 31, 2019, concerns about a variety of political risks and a modest slowdown in global growth worked against the equity market, while the bond market delivered modest positive returns. Though the market’s appetite for risk remained healthy for most of the reporting period, risk-taking declined sharply later in the reporting period. As a result, bonds held their value better than stocks, which posted negative returns across the globe. Shorter-term, higher-quality securities led the bond market, and U.S. equities outperformed most international stock markets.

Volatility rose in emerging market stocks, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe also led to negative performance for European equities.

Volatility in the U.S. equity market spiked in October, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil in several countries, including the United States. These risks manifested in a broad based sell-off in December, leading to the worst December performance on record since 1931.

By comparison, fixed income securities delivered modest positive returns with relatively low volatility. In fixed income markets, short-term U.S. Treasury interest rates rose the fastest, while longer-term rates were relatively unchanged. This led to positive returns for U.S. Treasuries and a substantial flattening of the yield curve. Although the credit fundamentals in corporate markets remained relatively solid, investment-grade and high-yield bonds trailed U.S. Treasuries.

The U.S. Federal Reserve (the “Fed”) increased short-term interest rates four times during the reporting period. The Fed also continued to reduce its balance sheet, gradually reversing the unprecedented stimulus measures it enacted after the financial crisis. By our estimation, the Fed’s neutral interest rate (the theoretical rate that is neither stimulative nor restrictive to the economy) is approximately 3.5%. The Fed funds rate is currently at 2.5%, which is stimulative to the economy. At its latest meeting in late January, the Fed left interest rates unchanged and signaled a slower pace of rate hikes in response to the global economic slowdown. Relatively low inflation gives the Fed room to maintain support for the economy until the economic data builds the case for changing interest rates.

Although fears of recession drove equity volatility higher at the end of 2018, we continue to believe the probability of recession in 2019 remains relatively low. Economic growth and global earnings are likely to slow somewhat in 2019 — the tax cut stimulus will be less pronounced, and the Fed’s rate hikes in 2018 will gain traction in 2019. Trade frictions look more baked into asset prices than a year ago, but markets may be overlooking European political risks. Consequently, we are cautious on European equities, as European unity remains tenuous with a history of flare-ups. We continue to prefer to take risk in U.S. and emerging market equities. Within U.S. equities, we believe that companies with high-quality earnings and strong balance sheets offer the most attractive risk/reward trade-off. We also favor short-term bonds over long-term bonds because they offer nearly equivalent yields with far lower volatility.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of January 31, 2019
	6-month	12-month
U.S. large cap equities (S&P 500^® Index)	(3.00)%	(2.31)%
U.S. small cap equities (Russell 2000^® Index)	(9.62)	(3.52)
International equities (MSCI Europe, Australasia, Far East Index)	(7.80)	(12.51)
Emerging market equities (MSCI Emerging Markets Index)	(2.60)	(14.24)
3-month Treasury bills (ICE BofAML 3-Month U.S. Treasury Bill Index)	1.10	1.95
U.S. Treasury securities (ICE BofAML 10-Year U.S. Treasury Index)	4.20	3.21
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)	2.71	2.25
Tax-exempt municipal bonds (S&P Municipal Bond Index)	1.86	3.08
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)	1.07	1.73
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

BlackRock Dynamic High Income Portfolio’s (the “Fund”) investment objective is to seek high current income with consideration for capital appreciation.

For the six-month period ended January 31, 2019, the Fund outperformed its custom benchmark, a blend of 70% MSCI World Index/30% Bloomberg Barclays U.S. Aggregate Bond Index.

The Fund seeks to earn a high level of current income by tactically managing a diversified portfolio of non-traditional sources of yield. The Fund’s performance is reviewed on an absolute basis due to the outcome-oriented nature of its strategy. The Fund has flexibility to invest across all asset classes and is managed within a risk-controlled framework, seeking to maintain competitive yield with a risk profile in line with or below that of the 70% MSCI World Index/30% Bloomberg Barclays U.S. Aggregate Bond Index risk benchmark.

The Fund’s positioning with respect to duration (and corresponding interest rate sensitivity) led positive contributions to Fund performance. Specifically, exposure to shorter-dated Treasury futures helped performance as interest rates declined amid the sell-off in risk assets seen in the fourth quarter of 2018 and a dovish shift by the Fed. Currency strategies to reduce exposure to the euro also aided returns as the currency weakened against the U.S. dollar over the period. Finally, exposure to high yield corporate bonds helped performance as the asset class rallied strongly in January 2019 from the December lows.

Exposure to equities was the primary detractor from performance over the period. In particular, holdings of U.S. equities hurt Fund returns as the fourth quarter saw the worst performance for U.S. stocks since the financial crisis. Similarly, exposure to equity covered calls and international developed market equities also detracted. Elsewhere within equities, an allocation to master limited partnerships (“MLPs”) hurt Fund returns as volatility increased and oil prices weakened in the fourth quarter of 2018.

The Fund held derivatives during the period. In particular, equity, Treasury and currency futures were key derivative instruments utilized to efficiently manage the Fund’s exposures and mitigate risk during periods of market distress. Additionally covered call options were used utilized to provide an alternative source of income. The Fund’s overall use of derivatives during the period had a negative impact on Fund performance.

The Fund made numerous tactical asset allocation decisions during the period, including adding exposure to high yield corporate bonds as spread widening led to more attractive yields and valuations. Exposure to collateralized loan obligations (“CLOs”) and preferred stocks was reduced in an effort to adjust risk exposures within fixed income. After adding U.S. equity exposure for much of the period, the Fund ultimately ended the period with lower equity market exposure as the investment adviser sought to reduce risk in December amid the market sell-off and again trimmed exposure after the strong rally to start the new year. Elsewhere, the Fund took profits and reduced exposure to mortgage-backed securities (“MBS”) in January, given the strong outperformance of the category through the market rout in late 2018. Additionally, the Fund added duration given elevated volatility in risk assets and perceived attractive entry points for adding interest rate exposure.

The Fund’s cash position was somewhat elevated at period end. This was a result of the investment adviser’s desire to run lower levels of risk given elevated market volatility toward the end of 2018. Also, adjustments made within asset classes to capture profits or reduce risk led to moderately higher levels of cash as the Fund was selective in adding exposures during the late-2018 sell-off and subsequent rally to start 2019. The elevated cash balance did not have a material impact on Fund performance during the period.

At period end, the Fund was allocated across a number of diverse asset classes, including equity covered calls, high yield corporate bonds, floating rate bank loans and CLOs, preferred stocks, emerging market debt, MBS, global equities, global real estate investment trusts, MLPs, investment grade corporate bonds and cash. Overall portfolio duration at period end was approximately 2.9 years. The Fund also held positions in equity, interest rate and currency futures, as well as equity options to manage overall exposures.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

BlackRock Multi-Asset Income Portfolio’s (the “Fund”) investment objective is to seek to maximize current income with consideration for capital appreciation.

For the six-month period ended January 31, 2019, the Fund outperformed its custom benchmark, a blend of 50% MSCI World Index/50% Bloomberg Barclays U.S. Aggregate Bond Index.

The following discussion relates to absolute performance due to the nature of the Fund’s strategy. The Fund employs an unconstrained strategy (i.e., one with the flexibility to invest across all asset classes) that is managed within a risk-controlled framework and seeks to maintain a competitive yield with a risk profile less than or equal to the 50/50 benchmark. The Fund may use derivatives to manage the portfolio’s positioning and to provide an element of protection during periods of market distress.

Global equities, although staging a strong rally in January, nonetheless closed the six-month period with a negative return. Conversely, the prospect of slowing economic growth helped support returns for the bond market. In this environment, the Fund’s heavier weighting in fixed income and generally more cautious asset allocation versus the 50% MSCI World Index/50% Bloomberg Barclays U.S. Aggregate Bond Index benchmark was the largest contributor to performance. In particular, a position in U.S. Treasury futures — which was aimed at managing the portfolio’s duration — boosted results. (Duration is a measure of interest-rate sensitivity.) High yield bonds, mortgage-backed securities and emerging market debt were also meaningful contributors. A modest cash position and a strategy to reduce exposure to the euro further aided returns, as the U.S. dollar outperformed.

The Fund’s allocation to equities, particularly U.S covered calls and dividend stocks in the developed international markets, was the largest detractor. A position in master limited partnerships (“MLPs”) was a further drag on performance, as the broader energy sector was pressured by volatility in oil prices. Preferred stocks, which are primarily issued by financial companies, were also modestly negative amid the broader weakness in financials.

The Fund held derivatives during the period. In particular, futures, options and swaps were utilized to efficiently manage the Fund’s exposures and to help protect the portfolio during periods of market distress. The Fund also used equity covered calls to provide an alternative source of income. Overall, the Fund’s use of derivatives contributed positively to Fund performance during the period.

From a broad asset allocation perspective, the Fund increased its weighting in fixed income while modestly reducing its allocation to cash and equities. More specifically, the Fund added exposure to high yield bonds, which exhibited rising yields, higher yield spreads, and more attractive valuations despite their healthy fundamentals.

In contrast, the Fund reduced its position in mortgage-backed securities in January given their strong outperformance during the fourth-quarter downturn in the financial markets. Additionally, the Fund decreased exposure to international dividend stocks given the investment adviser’s more favorable view on domestic equities.

The Fund incrementally increased the duration of the fixed income portfolio to provide some ballast against stock market volatility. The portfolio’s duration (interest-rate sensitivity) stood at 3.04 years at the end of January, up from 2.16 years on July 31, 2018.

The Fund had an above-average cash position, reflecting the investment adviser’s desire to maintain a lower level of portfolio risk. In addition, the investment adviser sought to reinvest the proceeds of its sales in a selective fashion due to the high levels of market volatility.

The Fund was comprised of diverse allocations to a number of income-producing asset classes, including high yield bonds, floating rate loan interests, covered calls, global dividend stocks, mortgage-backed securities, preferred stocks, emerging market debt, investment grade bonds, cash, MLPs, global real estate investment trusts, and strategies designed to manage risk.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

TEN LARGEST HOLDINGS


Security	Percent of Total Investments^(a)
iShares iBoxx $ High Yield Corporate Bond ETF		13.2	%
BlackRock Floating Rate Income Portfolio		7.6
BlackRock Allocation Target Shares — BATS Series A		5.4
iShares 0-5 Year High Yield Corporate Bond ETF		4.4
iShares Emerging Markets Dividend ETF		2.3
iShares Core Dividend Growth ETF		2.0
iShares Core S&P 500 ETF		1.5
JPMorgan Chase & Co.		0.9
Plains All American Pipeline LP		0.7
Republic of Indonesia		0.7

^(a)

Total investments exclude short-term securities.

PORTFOLIO COMPOSITION


Asset Type	Percent of Total Investments^(a)
Investment Companies		37	%
Equity-Linked Notes		20
Corporate Bonds		13
Common Stocks		11
Asset-Backed Securities		7
Preferred Securities		4
Non-Agency Mortgage-Backed Securities		4
Foreign Government Obligations		3
Foreign Agency Obligations		1
U.S. Government Sponsored Agency Obligations		—	^(b)

^(a)

Total investments exclude short-term securities.

^(b)

Representing less than 0.5% of the Fund’s total investments

PORTFOLIO COMPOSITION


Asset Type	Percent of Total Investments^(a)
Corporate Bonds		28	%
Common Stocks		18
Equity-Linked Notes		12
Asset-Backed Securities		10
Investment Companies		9
Non-Agency Mortgage-Backed Securities		8
Floating Rate Loan Interests		7
Preferred Securities		4
Foreign Government Obligations		3
Foreign Agency Obligations		1
U.S. Government Sponsored Agency Obligations		—	^(b)
Participation Notes		—	^(b)
U.S. Treasury Obligations		—	^(b)

^(a)

Total investments exclude short-term securities.

^(b)

Representing less than 0.5% of the Fund’s total investments.

Institutional and Class K Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors. Class K Share’s performance shown prior to the Class K March 28, 2016 inception date for BlackRock Dynamic High Income Portfolio and the Class K February 3, 2017 inception date for the BlackRock Multi-Asset Income Portfolio is that of Institutional Shares. The performance of the Funds’ Class K Shares would be substantially similar to Institutional Shares because Class K Shares and Institutional Shares invest in the same portfolio of securities and performance would only differ to the extent that Class K Shares and Institutional Shares have different expenses. The actual returns of Class K Shares would have been higher than those of Institutional Shares because Class K Shares have lower expenses than the Institutional Shares.

Investor A Shares are subject to a maximum initial sales charge (front-end load) of 5.25% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase. These shares are generally available through financial intermediaries.

Investor C Shares are subject to a 1.00% CDSC if redeemed within one year of purchase. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. These shares are generally available through financial intermediaries. Effective November 8, 2018, each Fund adopted an automatic conversion feature whereby Investor C Shares held for approximately ten years will be automatically converted into Investor A Shares of the applicable Fund, and, thereafter, investors will be subject to lower ongoing fees.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer to www.blackrock.com to obtain performance data current to the most recent month end. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Figures shown in the performance tables on the previous pages assume reinvestment of all distributions, if any, at net asset value on the ex-dividend/payable dates. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of the different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (the “Manager”), each Fund’s investment adviser, has contractually and/or voluntarily agreed to waive and/or reimburse a portion of the Funds’ expenses. Without such waiver and/or reimbursement, the Funds’ performance would have been lower. The Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement and such voluntary waiver and/or reimbursement may be reduced or discontinued at any time. See Note 6 of the Notes to Financial Statements for additional information on waivers and/or reimbursements. The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

Shareholders of these Funds may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, administration fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses and other fund expenses. The expense examples below (which are based on a hypothetical investment of $1,000 invested on August 1, 2018 and held through January 31, 2019 are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense examples provide information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund and share class under the headings entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as sales charges, if any. Therefore, the hypothetical examples are useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

See “Disclosure of Expenses” above for further information on how expenses were calculated.


Security	Par (000)			Value

Asset-Backed Securities — 6.3%
Ajax Mortgage Loan Trust^(a)(b):
Series 2018-E, Class A, 4.38%, 06/25/58		USD	300	$	298,005
Series 2018-F, Class A, 4.38%, 11/25/58			342		340,392
Series 2018-G, Class A, 4.38%, 06/25/57^(c)			500		497,700
Allegro CLO II-S Ltd., Series 2014-1RA, Class B, (LIBOR USD 3 Month + 2.15%), 4.91%, 10/21/28^(b)(d)			500		491,193
Allegro CLO IV Ltd., Series 2016-1A, Class C, (LIBOR USD 3 Month + 2.60%), 5.39%, 01/15/29^(b)(d)			500		491,809
Allegro CLO VI Ltd., Series 2017-2A, Class D, (LIBOR USD 3 Month + 2.75%), 5.52%, 01/17/31^(b)(d)			555		524,627
ALM VI Ltd., Series 2012-6A, Class CR3, (LIBOR USD 3 Month + 2.70%), 5.49%, 07/15/26^(b)(d)			500		479,776
ALM VII R-2 Ltd., Series 2013-7R2A, Class BR2, (LIBOR USD 3 Month + 2.20%), 4.99%, 10/15/27^(b)(d)			250		247,668
ALM XVI Ltd.^(b)(d):
Series 2015-16A, Class BR2, (LIBOR USD 3 Month + 1.90%), 4.69%, 07/15/27			500		490,255
Series 2015-16A, Class CR2, (LIBOR USD 3 Month + 2.70%), 5.49%, 07/15/27			1,000		980,207
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, (LIBOR USD 3 Month + 2.60%), 5.36%, 01/28/31^(b)(d)			250		233,856
Apidos CLO XI, Series 2012-11A, Class CR, (LIBOR USD 3 Month + 2.70%), 5.47%, 01/17/28^(b)(d)			500		500,549
Apidos CLO XX, Series 2015-20A, Class CR, (LIBOR USD 3 Month + 2.95%), 5.73%, 07/16/31^(b)(d)			500		481,104
Ares XLV CLO Ltd., Series 2017-45A, Class D, (LIBOR USD 3 Month + 3.05%), 5.84%, 10/15/30^(b)(d)			500		484,527
Ares XLVI CLO Ltd., Series 2017-46A, Class SUB, (LIBOR USD 3 Month + 0.00%), 0.00%, 01/15/30^(b)(d)			750		632,895
Ares XLVII CLO Ltd.^(b)(d):
Series 2018-47A, Class D, (LIBOR USD 3 Month + 2.70%), 5.49%, 04/15/30			500		473,504
Series 2018-47A, Class SUB, (LIBOR USD 3 Month + 0.00%), 0.00%, 04/15/30			500		383,421
Ares XLVIII CLO, Series 2018-48A, Class D, (LIBOR USD 3 Month + 2.70%), 5.46%, 07/20/30^(b)(d)			500		472,725
Ares XXVII CLO Ltd.^(b)(d):
Series 2013-2A, Class CR, (LIBOR USD 3 Month + 2.40%), 5.16%, 07/28/29			500		497,465
Series 2013-2A, Class DR, (LIBOR USD 3 Month + 3.75%), 6.51%, 07/28/29			500		500,888
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class C, (LIBOR USD 3 Month + 2.90%), 5.52%, 05/15/30^(b)(d)			500		478,877
Ares XXXVR CLO Ltd., Series 2015-35RA, Class D, (LIBOR USD 3 Month + 3.00%), 5.79%, 07/15/30^(b)(d)			500		482,212
ASSURANT CLO I Ltd., Series 2017-1A, Class E, (LIBOR USD 3 Month + 6.46%), 9.22%, 10/20/29^(b)(d)			250		244,630
Atlas Senior Loan Fund X Ltd., Series 2018-10A, Class D, (LIBOR USD 3 Month + 2.75%), 5.54%, 01/15/31^(b)(d)			550		511,725
Atrium XIV LLC, Series 14A, Class C, (LIBOR USD 3 Month + 1.95%), 4.73%, 08/23/30^(b)(d)			250		239,644
Atrium XV, Series 15A, Class D, (LIBOR USD 3 Month + 3.00%), 5.78%, 01/23/31^(b)(d)			250		240,218
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2, (LIBOR USD 1 Month + 1.73%), 4.24%, 04/25/34^(d)			126		128,398


Security	Par (000)			Value

Asset-Backed Securities (continued)
Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class C, (LIBOR USD 3 Month + 3.05%), 5.84%, 10/15/30^(b)(d)		USD	500	$	479,565
Carlyle Global Market Strategies CLO Ltd.^(b)(d):
Series 2013-1A, Class CR, (LIBOR USD 3 Month + 3.35%), 5.96%, 08/14/30			500		494,488
Series 2013-4A, Class DRR, (LIBOR USD 3 Month + 2.65%), 5.44%, 01/15/31			450		425,005
Series 2015-1A, Class DR, (LIBOR USD 3 Month + 3.00%), 5.76%, 04/20/27			475		457,794
Series 2015-4A, Class SBB1, (LIBOR USD 3 Month + 8.50%), 11.26%, 10/20/27			344		330,586
Series 2016-1A, Class BR, (LIBOR USD 3 Month + 1.85%), 4.61%, 04/20/27			250		243,122
Carlyle US CLO Ltd., Series 2016-4A, Class BR, (LIBOR USD 3 Month + 2.10%), 4.86%, 10/20/27^(b)(d)			250		245,679
Carrington Mortgage Loan Trust^(d):
Series 2006-NC3, Class A4, (LIBOR USD 1 Month + 0.24%, 12.50% Cap), 2.75%, 08/25/36			300		223,075
Series 2006-NC5, Class A3, (LIBOR USD 1 Month + 0.15%, 14.50% Cap), 2.66%, 01/25/37			240		183,393
Catskill Park CLO Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 3.70%), 6.46%, 04/20/29^(b)(d)			250		250,154
Cedar Funding IV CLO Ltd., Series 2014-4A, Class DR, (LIBOR USD 3 Month + 3.65%), 6.42%, 07/23/30^(b)(d)			500		498,741
Cedar Funding IX CLO Ltd., Series 2018-9A, Class SUB, 0.00%, 04/20/31^(a)(b)			1,000		853,909
Cent CLO 17 Ltd., Series C17A, Class CR, (LIBOR USD 3 Month + 2.80%), 5.32%, 04/30/31^(b)(d)			500		476,766
CIFC Funding 2015-III Ltd., Series 2015-3A, Class CR, (LIBOR USD 3 Month + 1.65%), 4.41%, 04/19/29^(b)(d)			250		240,488
CIFC Funding Ltd.^(b)(d):
Series 2014-4RA, Class C, (LIBOR USD 3 Month + 3.20%), 5.97%, 10/17/30			400		392,131
Series 2017-1A, Class D, (LIBOR USD 3 Month + 3.50%), 6.26%, 04/23/29			500		499,086
Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.65%), 5.43%, 04/18/31			1,000		944,069
Conseco Finance Corp., Series 1998-8, Class A1, 6.28%, 09/01/30			376		396,766
CWHEQ Revolving Home Equity Loan Trust, Series 2006-G, Class 2A, (LIBOR USD 1 Month + 0.15%, 16.00% Cap), 2.66%, 10/15/36^(d)			160		150,016
Dryden 50 Senior Loan Fund, Series 2017-50A, Class SUB, 0.00%, 07/15/30^(a)(b)			1,000		726,439
Dryden 70 CLO Ltd., Series 2018-70A, Class D, (LIBOR USD 3 Month + 3.75%), 6.59%, 01/16/32^(b)(c)(d)			250		240,000
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, (LIBOR USD 3 Month + 3.15%), 5.76%, 08/15/30^(b)(d)			500		488,579
Fillmore Park CLO Ltd., Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.90%), 5.69%, 07/15/30^(b)(d)			250		235,137
First Franklin Mortgage Loan Trust, Series 2006-FF9, Class 2A4, (LIBOR USD 1 Month + 0.25%), 2.76%, 06/25/36^(d)			1,750		1,517,136
Galaxy XVIII CLO Ltd., Series 2018-28A, Class D, (LIBOR USD 3 Month + 3.00%), 5.79%, 07/15/31^(b)(d)			250		236,252


Security	Par (000)			Value

Asset-Backed Securities (continued)
Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, (LIBOR USD 3 Month + 5.85%), 8.50%, 11/22/31^(b)(d)		USD	500	$	459,299
Galaxy XXVII CLO Ltd., Series 2017-24A, Class C, (LIBOR USD 3 Month + 1.70%), 4.49%, 01/15/31^(b)(d)			250		235,476
Greenwood Park CLO Ltd., Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.50%), 5.29%, 04/15/31^(b)(d)			650		607,172
Highbridge Loan Management Ltd.^(b)(d):
Series 12A-18, Class B, (LIBOR USD 3 Month + 1.85%), 4.63%, 07/18/31			500		469,564
Series 2013-2A, Class DR, (LIBOR USD 3 Month + 6.60%), 9.36%, 10/20/29			500		488,879
Invitation Homes Trust^(b)(d):
Series 2018-SFR3, Class A, (LIBOR USD 1 Month + 1.00%), 3.51%, 07/17/37			696		693,139
Series 2018-SFR3, Class E, (LIBOR USD 1 Month + 2.00%), 4.51%, 07/17/37			700		692,981
Series 2018-SFR4, Class A, (LIBOR USD 1 Month + 1.10%), 3.61%, 01/17/38			284		284,751
Jay Park CLO Ltd., Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.65%), 5.41%, 10/20/27^(b)(d)			250		238,087
LCM XIV LP, Series 14A, Class BR, (LIBOR USD 3 Month + 1.58%), 4.34%, 07/20/31^(b)(d)			500		492,760
LCM XXIV Ltd., Series 24A, Class C, (LIBOR USD 3 Month + 2.25%), 5.01%, 03/20/30^(b)(d)			500		490,352
Long Beach Mortgage Loan Trust^(d):
Series 2006-3, Class 2A3, (LIBOR USD 1 Month + 0.18%), 2.69%, 05/25/46			291		116,410
Series 2006-3, Class 2A4, (LIBOR USD 1 Month + 0.27%), 2.78%, 05/25/46			265		107,747
Series 2006-4, Class 1A, (LIBOR USD 1 Month + 0.15%), 2.66%, 05/25/36			514		339,108
Madison Park Funding XXVII Ltd., Series 2018-27A, Class C, (LIBOR USD 3 Month + 2.60%), 5.36%, 04/20/30^(b)(d)			500		469,320
Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, (LIBOR USD 3 Month + 3.00%), 5.78%, 01/23/31^(b)(d)			500		481,151
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4, (LIBOR USD 1 Month + 0.28%), 2.79%, 05/25/37^(d)			650		548,167
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR2, (LIBOR USD 3 Month + 3.00%), 5.76%, 10/21/30^(b)(d)			250		239,491
Neuberger Berman CLO XXI Ltd., Series 2016-21A, Class CR, (LIBOR USD 3 Month + 1.60%), 4.36%, 04/20/27^(b)(d)			1,490		1,428,901
Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class D, (LIBOR USD 3 Month + 3.25%), 6.03%, 10/18/29^(b)(d)			500		484,578
Oak Hill Credit Partners XII Ltd., Series 2015-12A, Class DR, (LIBOR USD 3 Month + 2.90%), 5.67%, 07/23/30^(b)(d)			650		614,371
Oakwood Mortgage Investors, Inc., Series 1998-D, Class M1, 7.42%, 01/15/29^(b)			407		411,935
Octagon Investment Partners 26 Ltd, Series 2016-1, Class AR, (LIBOR USD 3 Month + 2.85%), 5.64%, 04/20/31^(d)			500		476,160
Octagon Investment Partners 30 Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 3.50%), 6.26%, 03/17/30^(b)(d)			260		256,787


Security	Par (000)			Value

Asset-Backed Securities (continued)
Octagon Investment Partners 31 LLC, Series 2017-1A, Class E, (LIBOR USD 3 Month + 6.30%), 9.06%, 07/20/30^(b)(d)		USD	250	$	236,042
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.75%), 5.51%, 01/20/31^(b)(d)			500		475,651
Octagon Investment Partners 35 Ltd., Series 2018-1A, Class C, (LIBOR USD 3 Month + 2.60%), 5.36%, 01/20/31^(b)(d)			400		376,969
Octagon Investment Partners 37 Ltd., Series 2018-2A, Class B, (LIBOR USD 3 Month + 1.75%), 4.52%, 07/25/30^(b)(d)			500		475,201
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class CR, (LIBOR USD 3 Month + 1.85%), 4.62%, 07/17/30^(b)(d)			250		239,015
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class DR2, (LIBOR USD 3 Month + 2.50%), 5.27%, 01/25/31^(b)(d)			500		467,605
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, (LIBOR USD 3 Month + 2.75%), 5.51%, 01/22/30^(b)(d)			500		475,711
Octagon Loan Funding Ltd., Series 2014-1A, Class DRR, (LIBOR USD 3 Month + 2.90%), 5.54%, 11/18/31^(b)(c)(d)			250		226,625
OZLM Funding Ltd., Series 2012-1A, Class CR2, (LIBOR USD 3 Month + 3.60%), 6.36%, 07/22/29^(b)(d)			1,000		1,003,622
OZLM XIX Ltd., Series 2017-19A, Class C, (LIBOR USD 3 Month + 3.10%), 5.89%, 11/22/30^(b)(d)			250		241,135
Palmer Square CLO Ltd.^(b)(d):
Series 2013-2A, Class BRR, (LIBOR USD 3 Month + 2.20%), 4.97%, 10/17/31			300		291,875
Series 2013-2A, Class CRR, (LIBOR USD 3 Month + 3.20%), 5.97%, 10/17/31			250		241,866
Series 2015-1A, Class CR, (LIBOR USD 3 Month + 3.50%), 6.14%, 05/21/29			500		492,015
Series 2018-1A, Class C, (LIBOR USD 3 Month + 2.50%), 5.28%, 04/18/31			500		464,075
Progress Residential Trust^(b):
Series 2015-SFR3, Class F, 6.64%, 11/12/32			500		511,803
Series 2017-SFR2, Class F, 4.84%, 12/17/34			1,500		1,487,788
Series 2018-SFR2, Class F, 4.95%, 08/17/35			500		497,442
Series 2018-SFR3, Class F, 5.37%, 10/17/35			576		581,699
Rockford Tower CLO Ltd.^(b)(d):
Series 2017-3A, Class C, (LIBOR USD 3 Month + 1.80%), 4.56%, 10/20/30			300		281,850
Series 2018-2A, Class C, (LIBOR USD 3 Month + 2.20%), 4.63%, 10/20/31			300		287,521
RR 5 Ltd., Series 2018-5A, Class B, (LIBOR USD 3 Month + 2.25%), 5.04%, 10/15/31^(b)(d)			250		240,116
Stewart Park CLO Ltd., Series 2015-1A, Class DR, (LIBOR USD 3 Month + 2.60%), 5.39%, 01/15/30^(b)(d)			650		616,713
TICP CLO VII Ltd., Series 2017-7A, Class C, (LIBOR USD 3 Month + 2.60%), 5.39%, 07/15/29^(b)(d)			500		500,046
TICP CLO XI Ltd.^(b)(d):
Series 2018-11A, Class C, (LIBOR USD 3 Month + 2.15%), 4.59%, 10/20/31			300		290,106
Series 2018-11A, Class D, (LIBOR USD 3 Month + 3.05%), 5.49%, 10/20/31			300		289,517
Treman Park CLO Ltd., Series 2015-1A, Class DRR, (LIBOR USD 3 Month + 2.65%), 5.41%, 10/20/28^(b)(d)			300		292,057


Security	Par (000)				Value

Asset-Backed Securities (continued)
Voya CLO Ltd., Series 2014-4A, Class BR2, (LIBOR USD 3 Month + 2.09%), 4.89%, 07/14/31^(b)(d)		USD		250	$	241,894
York CLO-1 Ltd.^(b)(d):
Series 2014-1A, Class CRR, (LIBOR USD 3 Month + 2.10%), 4.86%, 10/22/29				250		244,762
Series 2014-1A, Class DRR, (LIBOR USD 3 Month + 3.01%), 5.77%, 10/22/29				270		257,955
York CLO-2 Ltd., Series 2015-1A, Class ER, (LIBOR USD 3 Month + 5.65%), 8.41%, 01/22/31^(b)(d)				250		230,457
York CLO-3 Ltd.^(b)(d):
Series 2016-1A, Class DR, (LIBOR USD 3 Month + 3.60%), 6.36%, 10/20/29				500		493,738
Series 2016-1A, Class ER, (LIBOR USD 3 Month + 6.40%), 9.16%, 10/20/29				500		484,857
York CLO-4 Ltd., Series 2016-2A, Class D, (LIBOR USD 3 Month + 4.10%), 6.86%, 01/20/30^(b)(d)				500		506,224


Total Asset-Backed Securities — 6.3% (Cost: $49,696,345)						48,227,184


			Shares

Common Stocks — 10.8%

Equity Real Estate Investment Trusts (REITs) — 5.5%
Alexandria Real Estate Equities, Inc.				15,180		1,999,358
Ascendas REIT				617,928		1,260,167
Assura plc				2,388,768		1,873,599
AvalonBay Communities, Inc.				8,584		1,656,025
Boston Properties, Inc.				16,100		2,123,107
British Land Co. plc (The)				143,536		1,081,271
Community Healthcare Trust, Inc.				8,477		279,910
Crown Castle International Corp.				10,167		1,190,149
CyrusOne, Inc.				19,030		1,031,426
EPR Properties				32,103		2,345,445
Equinix, Inc.				3,978		1,567,332
Frasers Logistics & Industrial Trust				1,169,242		940,502
Highwoods Properties, Inc.				41,704		1,848,321
Hudson Pacific Properties, Inc.				14,666		476,205
Ichigo Office REIT Investment				533		496,414
Inmobiliaria Colonial Socimi SA				22,713		232,361
Japan Rental Housing Investments, Inc.				1,480		1,163,607
Kenedix Office Investment Corp.				200		1,373,584
Link REIT				96,500		1,060,742
Mitsui Fudosan Logistics Park, Inc.				76		241,311
National Storage REIT				714,845		933,587
Prologis, Inc.				27,769		1,920,504
PRS REIT Plc (The)^(e)				290,594		372,377
RioCan REIT				115,876		2,198,553
RPT Realty				108,204		1,416,390
Scentre Group				469,496		1,359,794
Secure Income REIT plc^(f)				125,650		657,562
Simon Property Group, Inc.				9,847		1,793,336
Spirit Realty Capital, Inc.				30,059		1,193,943
Sun Communities, Inc.				6,503		714,745
Takara Leben Real Estate Investment Corp.^(e)				591		506,089
Target Healthcare REIT Ltd.				532,851		789,743
Unibail-Rodamco-Westfield				11,167		2,008,405
VEREIT, Inc.				89,811		725,673
VICI Properties, Inc.				48,139		1,036,433

						41,867,970

IT Services — 0.1%
GDS Holdings Ltd., ADR^(e)				12,483		354,517


Security		Shares		Value

Oil, Gas & Consumable Fuels — 4.9%
Andeavor Logistics LP			15,710	$	563,832
Antero Midstream Partners LP			42,137		1,061,431
BP Midstream Partners LP			37,026		581,678
Energy Transfer LP			327,484		4,817,290
EnLink Midstream LLC			36,980		402,340
Enterprise Products Partners LP			178,856		4,948,945
EQM Midstream Partners LP			38,418		1,758,008
Equitrans Midstream Corp.^(e)			14,287		297,455
Genesis Energy LP			75,622		1,582,012
Kinder Morgan, Inc.			50,351		911,353
Magellan Midstream Partners LP			62,595		3,846,463
MPLX LP			131,737		4,626,603
ONEOK, Inc.			24,973		1,603,516
Phillips 66 Partners LP			12,926		633,633
Plains All American Pipeline LP			177,153		4,033,774
Shell Midstream Partners LP			49,006		995,802
Tallgrass Energy LP			60,719		1,446,934
Targa Resources Corp.			21,936		943,467
Western Gas Partners LP			44,427		2,148,490
Williams Cos., Inc. (The)			23,285		627,065

					37,830,091

Real Estate Management & Development — 0.3%
Entra ASA^(b)			54,017		782,754
Vonovia SE			36,672		1,843,084

					2,625,838

Transportation Infrastructure — 0.0%
Macquarie Infrastructure Corp.			5,859		252,933


Total Common Stocks — 10.8% (Cost: $84,225,950)					82,931,349


		Par (000)

Corporate Bonds — 12.5%

Airlines — 0.2%
Avianca Holdings SA, 8.38%, 05/10/20	USD		400		386,500
Gol Finance, Inc., 7.00%, 01/31/25^(b)			694		639,348
Latam Finance Ltd., 6.88%, 04/11/24^(b)			489		493,401

					1,519,249

Auto Components — 0.0%
Weichai International Hong Kong Energy Group Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.08%), 3.75%^(d)(g)			200		182,500


Banks — 4.4%
Australia & New Zealand Banking Group Ltd., (USD Swap Rate 5 Year + 5.17%), 6.75%^(b)(d)(g)			320		330,400
Barclays plc, (USD Swap Semi 5 Year + 6.77%), 7.88%^(d)(g)			1,784		1,857,251
BBVA Bancomer SA, 6.75%, 09/30/22^(b)			373		397,693
BNP Paribas SA^(b)(d)(g):
(USD Swap Semi 5 Year + 6.31%), 7.63%			704		741,122
(USD Swap Semi 5 Year + 4.92%), 6.75%			1,875		1,900,781
Busan Bank Co. Ltd., 3.63%, 07/25/26			200		185,737
CMB Wing Lung Bank Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.75%), 3.75%, 11/22/27^(d)			200		191,819
Credit Agricole SA^(b)(d)(g):
(USD Swap Semi 5 Year + 4.90%), 7.88%			350		367,036
(USD Swap Semi 5 Year + 6.19%), 8.12%			825		894,094
Danske Bank A/S^(d)(g):
(USD Swap Semi 7 Year + 3.90%), 6.13%			449		393,998
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 4.13%), 7.00%			1,200		1,092,000


Security	Par (000)			Value

Banks (continued)
Gilex Holding SARL, 8.50%, 05/02/23^(b)		USD	183	$	186,202
HSBC Holdings plc^(d)(g):
(USD Swap Rate 5 Year + 5.51%), 6.87%			581		604,240
(USD Swap Rate 5 Year + 4.37%), 6.37%			2,825		2,835,594
(USD Swap Rate 5 Year + 3.75%), 6.00%			1,387		1,334,987
(USD Swap Rate 5 Year + 3.61%), 6.50%			520		507,000
JPMorgan Chase & Co.^(d):
Series U, (LIBOR USD 3 Month + 0.95%), 3.51%, 02/02/37			1,590		1,331,005
Series W, (LIBOR USD 3 Month + 1.00%), 3.62%, 05/15/47			1,542		1,209,776
Macquarie Bank Ltd., (USD Swap Semi 5 Year + 3.70%), 6.13%^(b)(d)(g)			1,704		1,527,210
Promerica Financial Corp., 9.70%, 05/14/24^(b)			200		203,500
Royal Bank of Scotland Group plc, (USD Swap Semi 5 Year + 7.60%), 8.62%^(d)(g)			2,186		2,327,434
Santander UK plc, 5.00%, 11/07/23^(b)			400		402,563
Shinhan Financial Group Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.05%), 5.87%^(d)(g)			200		201,500
Societe Generale SA^(b)(d)(g):
(USD Swap Semi 5 Year + 6.24%), 7.38%			901		930,733
(USD Swap Rate 5 Year + 5.87%), 8.00%			2,325		2,423,812
(USD Swap Semi 5 Year + 3.93%), 6.75%			775		707,188
Standard Chartered plc, (USD Swap Semi 5 Year + 6.30%), 7.50%^(b)(d)(g)			1,560		1,622,400
UBS Group Funding Switzerland AG^(d)(g):
(USD Swap Rate 5 Year + 5.50%), 6.87%			2,200		2,257,750
(USD Swap Semi 5 Year + 4.34%), 7.00%^(b)			500		503,125
(USD Swap Semi 5 Year + 4.87%), 7.00%			402		425,115
(USD Swap Semi 5 Year + 4.59%), 6.87%			240		240,332
United Overseas Bank Ltd., (USD Swap Semi 5 Year + 1.79%), 3.88%^(d)(g)			200		185,531
Westpac Banking Corp., (USD Swap Rate 5 Year + 2.89%), 5.00%^(d)(g)			3,480		3,013,285
Woori Bank, 5.13%, 08/06/28			200		205,762
Yes Bank Ifsc Banking Unit Branch, 3.75%, 02/06/23			400		372,960

					33,910,935

Beverages — 0.1%
Central American Bottling Corp., 5.75%, 01/31/27^(b)			463		460,106


Capital Markets — 1.2%
CCTI Ltd., 3.63%, 08/08/22			200		191,487
China Cinda Finance Ltd., 4.25%, 04/23/25			450		441,680
Coastal Emerald Ltd., 5.95%, 01/13/20			400		399,500
Credit Suisse AG, 6.50%, 08/08/23^(b)			200		211,190
Credit Suisse Group AG^(b)(d)(g):
(USD Swap Semi 5 Year + 4.60%), 7.50%			1,900		1,938,000
(USD Swap Semi 5 Year + 4.60%), 7.50%			875		928,114
(USD Swap Semi 5 Year + 3.46%), 6.25%			1,528		1,510,682
Deutsche Bank AG, (USD Swap Semi 5 Year + 2.25%), 4.30%, 05/24/28^(d)			811		720,116
Huarong Universe Investment Holding Ltd., 1.63%, 12/05/22		EUR	125		122,480
Hubei Science & Technology Investment Group Hong Kong Ltd., 4.38%, 03/05/21		USD	200		194,172
Macquarie Group Ltd., (LIBOR USD 3 Month + 1.02%), 3.19%, 11/28/23^(d)			98		94,670
State Street Corp., (LIBOR USD 3 Month + 1.00%), 3.79%, 06/15/47^(d)			3,396		2,606,430

					9,358,521


Security	Par (000)			Value

Chemicals — 0.3%
CNAC HK Finbridge Co. Ltd.:
4.13%, 03/14/21		USD	200	$	200,529
4.63%, 03/14/23			200		204,147
CNAC HK Synbridge Co. Ltd., 5.00%, 05/05/20			218		218,545
Cydsa SAB de CV, 6.25%, 10/04/27^(b)			607		556,923
Fufeng Group Ltd., 5.88%, 08/28/21			200		202,116
Mexichem SAB de CV, 5.50%, 01/15/48^(b)			253		227,700
Pearl Holding III Ltd., 9.50%, 12/11/22			200		172,000
Petkim Petrokimya Holding A/S, 5.88%, 01/26/23^(b)			264		248,490
Rock International Investment, Inc., 6.63%, 03/27/20			200		154,345
UPL Corp. Ltd., 4.50%, 03/08/28			400		373,507

					2,558,302

Construction & Engineering — 0.3%
Aeropuertos Argentina 2000 SA, 6.88%, 02/01/27^(b)			690		645,840
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29^(b)			800		797,200
Leader Goal International Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.92%), 4.25%^(d)(g)			200		192,250
Zhaohai Investment BVI Ltd., 4.00%, 07/23/20			200		194,651
Zhejiang Baron BVI Co. Ltd., 6.80%, 08/27/21			200		199,000

					2,028,941

Consumer Finance — 0.2%
CDBL Funding 1, 3.50%, 10/24/27			200		185,120
Credivalores-Crediservicios SAS, 9.75%, 07/27/22^(b)			200		175,671
Docuformas SAPI de CV, 9.25%, 10/11/22^(b)			200		174,750
ICBCIL Finance Co. Ltd., 3.38%, 04/05/22			215		211,613
King Talent Management Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.52%), 5.60%^(d)(g)			200		177,250
New Lion Bridge Co. Ltd., 9.75%, 10/10/20			200		183,527
Tarjeta Naranja SA, (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.50%), 49.44%, 04/11/22^(b)(d)			302		120,800

					1,228,731

Distributors — 0.0%
Tewoo Group No. 5 Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 8.37%), 5.80%^(d)(g)			200		163,000


Diversified Financial Services — 0.0%
Far East Horizon Ltd., (LIBOR USD 3 Month + 2.00%), 4.81%, 07/03/21^(d)			200		198,866


Diversified Telecommunication Services — 0.2%
Axtel SAB de CV, 6.38%, 11/14/24^(b)			741		712,286
Oi SA, 8.00% (8.00% Cash or 4.00% PIK), 07/27/25^(h)			399		404,237

					1,116,523

Electric Utilities — 0.6%
Celeo Redes Operacion Chile SA, 5.20%, 06/22/47^(b)			548		516,786
Emera, Inc., Series 16-A, (LIBOR USD 3 Month + 5.44%), 6.75%, 06/15/76^(d)			875		892,500
Energuate Trust, 5.88%, 05/03/27^(b)			400		373,130
Generacion Mediterranea SA, 9.63%, 07/27/23^(b)			301		266,009
Genneia SA, 8.75%, 01/20/22^(b)			1,039		962,374
Greenko Investment Co., 4.88%, 08/16/23			400		371,226
Huachen Energy Co. Ltd., 6.63%, 05/18/20^(e)(i)			400		271,248


Security	Par (000)			Value

Electric Utilities (continued)
Southern Co. (The), Series B, (LIBOR USD 3 Month + 3.63%), 5.50%, 03/15/57^(d)		USD	175	$	173,967
Stoneway Capital Corp., 10.00%, 03/01/27^(b)			1,096		1,023,731

					4,850,971

Energy Equipment & Services — 0.0%
Anton Oilfield Services Group, 9.75%, 12/05/20			200		195,208


Entertainment — 0.2%
Viacom, Inc.^(d):
(LIBOR USD 3 Month + 3.90%), 5.87%, 02/28/57			1,583		1,527,723
(LIBOR USD 3 Month + 3.90%), 6.25%, 02/28/57			192		185,052

					1,712,775

Equity Real Estate Investment Trusts (REITs) — 0.1%
Trust F/1401, 6.95%, 01/30/44			600		598,500


Food Products — 0.3%^(b)
Arcor SAIC, 6.00%, 07/06/23			392		376,810
Grupo Bimbo SAB de CV, (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.28%), 5.95%^(d)(g)			600		594,000
MARB BondCo plc, 6.88%, 01/19/25			899		854,050
Minerva Luxembourg SA, 6.50%, 09/20/26			400		382,000

					2,206,860

Gas Utilities — 0.0%
ENN Energy Holdings Ltd., 3.25%, 07/24/22			200		195,161


Hotels, Restaurants & Leisure — 0.2%
Gohl Capital Ltd., 4.25%, 01/24/27			255		243,406
Grupo Posadas SAB de CV, 7.88%, 06/30/22^(b)			773		768,841
Studio City Co. Ltd., 7.25%, 11/30/21			200		205,311
Studio City Finance Ltd.:
8.50%, 12/01/20			128		128,160
7.25%, 02/11/24			300		303,303

					1,649,021

Household Durables — 0.1%
Controladora Mabe SA de CV, 5.60%, 10/23/28^(b)			337		329,805


Independent Power and Renewable Electricity Producers — 0.0%
Emirates Semb Corp. Water & Power Co. PJSC, 4.45%, 08/01/35			225		216,000


Insurance — 0.3%
Ambac Assurance Corp., 5.10%, 06/07/20^(b)			4		4,785
Ambac LSNI LLC, (LIBOR USD 3 Month + 5.00%), 7.80%, 02/12/23^(b)(d)			15		15,549
Asahi Mutual Life Insurance Co., (USD Swap Semi 5 Year + 4.59%), 6.50%^(d)(g)			200		195,367
China Reinsurance Finance Corp. Ltd., 3.38%, 03/09/22			200		193,513
FWD Ltd., ( U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.08%), 5.50%^(d)(g)			200		180,000
Heungkuk Life Insurance Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%, 11/09/47^(d)			200		178,250
KDB Life Insurance Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.66%), 7.50%, 05/21/48^(d)			200		190,845
Liberty Mutual Group, Inc.^(b):
(LIBOR USD 3 Month + 2.91%), 5.69%, 03/15/37^(d)			125		118,750
7.80%, 03/15/37			625		705,469
Nationwide Financial Services, Inc., 6.75%, 05/15/37			175		178,500
Union Life Insurance Co. Ltd., 3.00%, 09/19/21			400		354,822

					2,315,850


Security	Par (000)			Value

Internet & Direct Marketing Retail — 0.1%
JD.com, Inc., 3.88%, 04/29/26		USD	500	$	464,728


Media — 0.1%
Cablevision SA, 6.50%, 06/15/21^(b)			398		390,537


Metals & Mining — 0.3%
Bukit Makmur Mandiri Utama PT, 7.75%, 02/13/22			225		227,813
Chalco Hong Kong Investment Co. Ltd., 4.88%, 09/07/21			200		201,846
Chinalco Capital Holdings Ltd., 4.25%, 04/21/22			200		192,310
Energy Resources LLC, 8.00%, 09/30/22^(j)			234		219,612
HBIS Group Hong Kong Co. Ltd., 4.25%, 04/07/20			200		197,163
Largo Resources Ltd., 9.25%, 06/01/21^(b)			46		48,356
Newcastle Coal Infrastructure Group Pty. Ltd., 4.40%, 09/29/27			250		223,478
Nexa Resources SA, 5.38%, 05/04/27^(b)			443		439,235
Shandong Iron and Steel Xinheng International Co. Ltd., 6.50%, 06/14/21			200		189,337
Vale Overseas Ltd., 6.25%, 08/10/26			273		291,086
Vedanta Resources plc, 7.13%, 05/31/23			200		193,000

					2,423,236

Multi-Utilities — 0.0%
Abu Dhabi National Energy Co. PJSC, 3.63%, 01/12/23			200		199,820


Oil, Gas & Consumable Fuels — 1.4%
ABM Investama Tbk. PT, 7.13%, 08/01/22			200		181,250
BPRL International Singapore Pte. Ltd., 4.38%, 01/18/27			275		266,845
Buckeye Partners LP, (LIBOR USD 3 Month + 4.02%), 6.37%, 01/22/78^(d)			275		239,250
Enbridge, Inc.^(d):
Series 16-A, (LIBOR USD 3 Month + 3.89%), 6.00%, 01/15/77			2,400		2,292,070
(LIBOR USD 3 Month + 3.64%), 6.25%, 03/01/78			1,415		1,340,268
Eterna Capital Pte. Ltd., Series B, 0.00% (0.00% Cash or 8.00% PIK), 12/11/22^(h)			260		219,608
Frontera Energy Corp., 9.70%, 06/25/23^(b)			588		596,085
Geopark Ltd., 6.50%, 09/21/24^(b)			757		732,397
Gran Tierra Energy International Holdings Ltd., 6.25%, 02/15/25^(b)			200		188,500
Greenko Dutch BV, 5.25%, 07/24/24			200		186,250
Medco Straits Services Pte. Ltd., 8.50%, 08/17/22			200		206,500
Petrobras Global Finance BV:
6.13%, 01/17/22			23		24,173
5.30%, 01/27/25			326		325,381
8.75%, 05/23/26			515		602,679
6.00%, 01/27/28			513		511,974
PTTEP Treasury Center Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.72%), 4.60%^(d)(g)			200		189,500
Santos Finance Ltd., 4.13%, 09/14/27			200		180,516
Transcanada Trust, Series 16-A, (LIBOR USD 3 Month + 4.64%), 5.87%, 08/15/76^(d)			2,071		2,021,710
Yancoal International Resources Development Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 8.30%), 5.75%^(d)(g)			200		199,854
Yankuang Group Cayman Ltd., 4.75%, 11/30/20			200		196,546

					10,701,356

Paper & Forest Products — 0.1%
Suzano Austria GmbH, 6.00%, 01/15/29^(b)			689		720,866


Security	Par (000)			Value

Real Estate Management & Development — 1.5%
Agile Group Holdings Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 9.22%), 6.87%^(d)(g)		USD	200	$	178,500
Alam Synergy Pte. Ltd., 11.50%, 04/22/21			200		208,240
Caiyun International Investment Ltd., 3.13%, 07/12/19			200		195,500
Central China Real Estate Ltd.:
7.33%, 01/27/20			200		200,500
6.88%, 10/23/20			200		198,500
China Aoyuan Group Ltd.:
7.50%, 05/10/21			200		201,000
7.95%, 09/07/21			400		408,000
8.50%, 01/23/22			200		203,000
China Evergrande Group:
7.00%, 03/23/20			200		197,977
4.25%, 02/14/23^(k)		HKD	4,000		474,152
8.75%, 06/28/25		USD	200		177,000
China SCE Group Holdings Ltd.:
8.75%, 01/15/21			200		204,000
7.45%, 04/17/21			200		199,876
CIFI Holdings Group Co. Ltd.:
6.38%, 05/02/20			400		399,000
5.50%, 01/23/22			400		377,000
Easy Tactic Ltd.:
8.88%, 09/27/21			200		204,328
9.13%, 07/28/22			200		204,000
Excel Capital Global Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 9.34%), 7.00%^(d)(g)			200		199,500
Fantasia Holdings Group Co. Ltd., 8.38%, 03/08/21			200		171,682
Future Land Development Holdings Ltd.:
6.50%, 09/12/20			200		199,000
7.50%, 01/22/21			200		201,250
Global Prime Capital Pte. Ltd., 7.25%, 04/26/21			200		205,000
Golden Wheel Tiandi Holdings Co. Ltd., 7.00%, 01/18/21			200		176,000
Greenland Global Investment Ltd., (LIBOR USD 3 Month + 4.85%), 7.67%, 09/26/21^(d)			200		193,750
Jababeka International BV, 6.50%, 10/05/23			400		359,242
JGC Ventures Pte. Ltd., 10.75%, 08/30/21			200		211,644
Jingrui Holdings Ltd., 9.45%, 04/23/21			200		182,500
Kaisa Group Holdings Ltd.:
8.50%, 06/30/22			200		164,373
9.38%, 06/30/24			200		154,257
Logan Property Holdings Co. Ltd., 8.75%, 12/12/20			200		205,000
Modernland Overseas Pte. Ltd., 6.95%, 04/13/24			400		359,150
New Metro Global Ltd., 6.50%, 04/23/21			400		396,000
Overseas Chinese Town Asia Holdings Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 7.71%), 4.30%^(d)(g)			200		195,070
Powerlong Real Estate Holdings Ltd.:
5.95%, 07/19/20			500		490,000
6.95%, 04/17/21			200		194,500
Redco Group:
6.38%, 02/27/19			200		199,000
13.50%, 01/21/20			245		244,374
Scenery Journey Ltd., 11.00%, 11/06/20			200		205,500
Shimao Property Holdings Ltd., 6.38%, 10/15/21			200		203,310
Sunac China Holdings Ltd.:
6.88%, 08/08/20			200		199,325
8.38%, 01/15/21			200		203,549
Times China Holdings Ltd.:
6.25%, 01/23/20			200		198,500
6.25%, 01/17/21			200		196,472


Security	Par (000)			Value

Real Estate Management & Development (continued)
VLL International, Inc., 5.75%, 11/28/24		USD	200	$	186,817
Yanlord Land HK Co. Ltd., 6.75%, 04/23/23			400		396,978
Yuzhou Properties Co. Ltd.:
7.90%, 05/11/21			200		202,955
8.63%, 01/23/22			200		204,000
Zhenro Properties Group Ltd.:
10.50%, 06/28/20			200		202,760
12.50%, 01/02/21			200		204,941

					11,536,972

Road & Rail — 0.1%
Pacific National Finance Pty. Ltd., 4.75%, 03/22/28			200		191,166
Rumo Luxembourg SARL, 7.38%, 02/09/24^(b)			600		633,750

					824,916

Semiconductors & Semiconductor Equipment — 0.0%
Global A&T Electronics Ltd., 8.50%, 01/12/23			200		176,619


Specialty Retail — 0.1%
Baoxin Auto Finance I Ltd.:
7.90%, 02/09/20			200		199,250
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 8.91%), 5.63%^(d)(g)			200		179,338

					378,588

Textiles, Apparel & Luxury Goods — 0.0%
Prime Bloom Holdings Ltd., 6.95%, 07/05/22			200		153,063


Thrifts & Mortgage Finance — 0.0%
Mongolian Mortgage Corp. Hfc LLC, 9.75%, 01/29/22			200		199,940


Transportation Infrastructure — 0.1%
HPHT Finance 17 Ltd., 2.75%, 09/11/22			200		191,786
Royal Capital BV, 5.88%^(g)			200		184,716

					376,502

Wireless Telecommunication Services — 0.0%
SoftBank Group Corp., (USD Swap Rate 5 Year + 4.85%), 6.87%^(d)(g)			300		263,039


Total Corporate Bonds — 12.5% (Cost: $99,151,855)					95,806,007


Equity-Linked Notes — 18.5%

Aerospace & Defense — 0.3%
Royal Bank of Canada (Textron, Inc.), 11.10%, 03/14/19^(b)			38		2,002,697


Airlines — 0.8%
Nomura Bank International plc (Delta Air Lines, Inc.), 12.67%, 04/12/19			44		2,144,727
Nomura Bank International plc (United Continental Holdings, Inc.), 10.32%, 04/12/19			25		2,224,596
Toronto-Dominion Bank (The) (Alaska Air Group, Inc.), 14.87%, 04/12/19			31		2,006,388

					6,375,711

Auto Components — 0.2%
Barclays Bank plc (Faurecia SA):
17.40%, 02/14/19		EUR	19		823,975
17.30%, 02/15/19			19		824,847

					1,648,822

Automobiles — 0.3%
Societe Generale SA (General Motors Co.), 14.11%, 02/05/19		USD	60		2,127,508


Security	Par (000)			Value

Banks — 1.1%
Citigroup, Inc. (Bank of America Corp.), 12.20%, 04/15/19^(b)		USD	76	$	2,185,415
Nomura Bank International plc (Citigroup, Inc.), 13.26%, 04/12/19			34		2,154,283
Societe Generale SA (JPMorgan Chase & Co.), 11.31%, 04/12/19			21		2,127,227
Societe Generale SA (Wells Fargo & Co.), 12.32%, 04/12/19			44		2,144,328

					8,611,253

Beverages — 0.8%
Nomura Bank International plc (PepsiCo, Inc.), 10.75%, 02/15/19			19		2,062,632
Societe Generale SA (Molson Coors Brewing Co.), 13.18%, 02/12/19			35		2,166,913
UBS AG (Constellation Brands, Inc.), 11.10%, 03/22/19^(b)			13		2,118,337

					6,347,882

Building Products — 0.3%
BNP Paribas SA (Owens Corning), 13.27%, 02/20/19^(b)			43		2,182,626


Capital Markets — 0.3%
Citigroup, Inc. (Goldman Sachs Group, Inc. (The)), 13.41%, 04/15/19^(b)			11		2,215,098


Chemicals — 0.3%
Merrill Lynch International & Co. (DowDuPont, Inc.), 12.27%, 02/01/19			35		2,045,734


Communications Equipment — 0.3%
UBS AG (Cisco Systems, Inc.), 12.40%, 02/11/19^(b)			43		2,032,682


Consumer Finance — 0.3%
Royal Bank of Canada (Discover Financial Services), 11.64%, 04/23/19^(b)			30		2,019,623


Diversified Telecommunication Services — 0.3%
Merrill Lynch International & Co. (Verizon Communications, Inc.), 9.80%, 04/24/19^(b)			37		2,026,245


Electrical Equipment — 0.3%
Royal Bank of Canada (Rockwell Automation, Inc.), 12.57%, 04/24/19^(b)			12		1,989,696


Electronic Equipment, Instruments & Components — 0.3%
Royal Bank of Canada (Corning, Inc.), 12.57%, 04/24/19^(b)			60		1,997,937


Equity Real Estate Investment Trusts (REITs) — 0.5%
BNP Paribas SA (American Tower Corp.), 11.24%, 02/22/19^(b)			12		2,073,271
Societe Generale SA (Host Hotels & Resorts, Inc.), 14.95%, 02/20/19			115		2,056,001

					4,129,272

Food & Staples Retailing — 0.2%
Societe Generale SA (Sysco Corp.), 11.53%, 02/05/19			30		1,911,291


Health Care Equipment & Supplies — 0.5%
Citigroup, Inc. (Danaher Corp.), 8.81%, 04/24/19^(b)			19		2,057,311
Royal Bank of Canada (Abbott Laboratories), 9.10%, 04/12/19			28		2,008,792

					4,066,103

Hotels, Restaurants & Leisure — 1.3%
BNP Paribas SA (Starbucks Corp.), 9.95%, 04/17/19^(b)			30		2,022,127


Security	Par (000)			Value

Hotels, Restaurants & Leisure (continued)
Credit Suisse AG (Darden Restaurants, Inc.), 14.65%, 03/14/19		USD	20	$	2,079,825
Royal Bank of Canada (Domino’s Pizza, Inc.), 17.93%, 03/07/19^(b)			8		2,148,658
UBS AG (McDonald’s Corp.), 8.90%, 04/24/19			11		2,011,057
UBS AG (Royal Caribbean Cruises Ltd.), 12.50%, 04/24/19			17		2,031,299

					10,292,966

Household Durables — 0.3%
Nomura Holdings, Inc. (DR Horton, Inc.), 12.01%, 04/24/19^(b)			55		2,001,687


Interactive Media & Services — 0.2%
Societe Generale SA (TripAdvisor, Inc.), 15.48%, 02/12/19			31		1,815,414


IT Services — 0.8%
BNP Paribas SA (International Business Machines Corp.), 12.13%, 04/17/19^(b)			15		2,007,837
Societe Generale SA (Cognizant Technology Solutions Corp.), 12.72%, 02/05/19			28		1,972,233
Toronto-Dominion Bank (The) (Mastercard, Inc.), 10.01%, 04/25/19			9		1,998,630

					5,978,700

Life Sciences Tools & Services — 0.3%
UBS AG (Thermo Fisher Scientific, Inc.), 10.60%, 04/24/19			8		2,029,143


Machinery — 0.8%
Royal Bank of Canada (Caterpillar, Inc.), 14.63%, 04/18/19			15		2,017,888
UBS AG (Ingersoll-Rand plc), 10.80%, 04/24/19			20		2,039,748
UBS AG (Westrock Co.), 13.40%, 04/25/19			49		2,000,413

					6,058,049

Metals & Mining — 0.3%
Societe Generale SA (BHP Group Ltd.), 11.81%, 02/15/19		GBP	94		2,076,719



Multiline Retail — 0.2%
Goldman Sachs International (Macy’s, Inc.):
32.84%, 02/13/19		USD	30		811,919
32.22%, 02/14/19			30		812,218

					1,624,137

Oil, Gas & Consumable Fuels — 1.0%
Goldman Sachs International (ConocoPhillips), 14.41%, 04/25/19^(b)			30		2,005,334
Goldman Sachs International (Valero Energy Corp.), 14.36%, 04/25/19^(b)			23		2,008,971
Merrill Lynch International & Co. (Williams Cos., Inc. (The)), 16.48%, 02/07/19			79		2,106,225
Royal Bank of Canada (Exxon Mobil Corp.), 10.21%, 02/01/19^(b)			25		1,789,419

					7,909,949

Personal Products — 0.2%
Royal Bank of Canada (Estee Lauder Cos, Inc. (The)), 11.88%, 02/01/19^(b)			14		1,922,849


Pharmaceuticals — 0.8%
Nomura Bank International plc (Bristol-Myers Squibb Co.), 19.49%, 04/17/19^(b)			41		2,019,018
Royal Bank of Canada (Pfizer, Inc.), 9.82%, 04/24/19^(b)			49		2,069,114


Security	Par (000)			Value

Pharmaceuticals (continued)
Societe Generale SA (Eli Lilly & Co.), 10.70%, 02/12/19		USD	17	$	2,033,881

					6,122,013

Road & Rail — 1.1%
BNP Paribas SA (Norfolk Southern Corp.), 12.77%, 04/17/19^(b)			12		2,027,463
Citigroup, Inc. (CSX Corp.), 10.96%, 04/12/19^(b)			34		2,231,810
Credit Suisse AG (Old Dominion Freight Line, Inc.), 23.40%, 02/06/19			16		2,149,453
UBS AG (Union Pacific Corp.), 10.60%, 03/14/19^(b)			12		1,983,099

					8,391,825

Semiconductors & Semiconductor Equipment — 0.3%
Royal Bank of Canada (Intel Corp.), 14.28%, 04/23/19^(b)			43		2,030,407


Software — 1.3%
BNP Paribas SA (salesforce.com, Inc.), 15.38%, 02/22/19^(b)			14		2,074,593
Royal Bank of Canada (Intuit, Inc.), 11.36%, 02/15/19^(b)			10		2,100,763
Societe Generale SA (Cadence Design Systems, Inc.), 14.84%, 02/19/19			45		2,095,308
Toronto-Dominion Bank (The) (Adobe, Inc.), 17.81%, 03/11/19			9		2,103,863
Toronto-Dominion Bank (The) (Microsoft Corp.), 11.28%, 04/25/19			19		1,999,893

					10,374,420

Specialty Retail — 0.8%
Credit Suisse AG (O’Reilly Automotive, Inc.), 14.45%, 02/05/19			6		2,023,813
Toronto-Dominion Bank (The) (Burlington Stores, Inc.), 14.63%, 03/04/19			13		2,090,769
Toronto-Dominion Bank (The) (Home Depot, Inc. (The)), 11.01%, 02/21/19			12		2,098,608

					6,213,190

Technology Hardware, Storage & Peripherals — 0.3%
Royal Bank of Canada (Apple, Inc.), 12.53%, 04/24/19^(b)			12		2,029,531


Textiles, Apparel & Luxury Goods — 1.2%
Barclays Bank plc (Kering SA), 13.95%, 02/08/19		EUR	4		2,069,059
Barclays Bank plc (Moncler SpA), 11.20%, 02/22/19			54		2,025,721
Credit Suisse AG (Lululemon Athletica, Inc.), 17.75%, 03/21/19		USD	16		2,219,128
Societe Generale SA (NIKE, Inc.), 14.11%, 03/21/19			27		2,111,898
UBS AG (Tapestry, Inc.), 14.40%, 02/01/19^(b)			24		912,078

					9,337,884

Trading Companies & Distributors — 0.2%
BNP Paribas SA (United Rentals, Inc.), 17.61%, 04/17/19^(b)			16		1,983,845


Total Equity-Linked Notes — 18.5% (Cost: $140,583,155)					141,922,908


Foreign Agency Obligations — 0.6%

Argentina — 0.2%
YPF SA:
(Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 4.00%), 51.73%, 07/07/20^(d)			1,642		663,655
8.50%, 07/28/25			667		652,993

					1,316,648


Security	Par (000)			Value

China — 0.1%
Chengdu Xingcheng Investment Group Co. Ltd., 2.50%, 03/20/21		EUR	100	$	105,017
China Minmetals Corp., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.72%), 3.75%^(d)(g)		USD	200		187,925
Guangxi Financial Investment Group Co. Ltd., 5.75%, 01/23/21			200		180,000

					472,942

India — 0.1%
Power Finance Corp. Ltd., 3.75%, 12/06/27			370		322,486
Rural Electrification Corp. Ltd., 4.63%, 03/22/28			400		385,710

					708,196

Indonesia — 0.1%
Jasa Marga Persero Tbk. PT, 7.50%, 12/11/20		IDR	2,000,000		135,237
Perusahaan Listrik Negara PT, 6.15%, 05/21/48		USD	200		214,750
Wijaya Karya Persero Tbk. PT, 7.70%, 01/31/21		IDR	2,000,000		135,080

					485,067

Mexico — 0.0%
Petroleos Mexicanos, 6.50%, 03/13/27		USD	319		306,080


South Africa — 0.1%
Eskom Holdings SOC Ltd., 6.35%, 08/10/28^(b)			832		850,720


Sri Lanka — 0.0%
SriLankan Airlines Ltd., 5.30%, 06/27/19			400		393,226


Total Foreign Agency Obligations — 0.6% (Cost: $5,396,674)					4,532,879


Foreign Government Obligations — 2.7%

Colombia — 0.4%
Republic of Colombia:
4.38%, 07/12/21			324		331,695
4.50%, 01/28/26			1,497		1,543,407
3.88%, 04/25/27			661		653,068
4.50%, 03/15/29			451		461,599

					2,989,769

Egypt — 0.4%
Arab Republic of Egypt:
5.75%, 04/29/20^(b)			950		959,500
5.75%, 04/29/20			913		922,130
5.58%, 02/21/23^(b)			312		303,030
8.50%, 01/31/47^(b)			1,050		1,011,969

					3,196,629

Indonesia — 0.7%
Republic of Indonesia:
7.88%, 04/15/19		IDR	27,896,000		1,997,491
4.75%, 01/08/26		USD	926		965,355
8.38%, 09/15/26		IDR	17,254,000		1,256,551
3.50%, 01/11/28		USD	250		238,750
4.10%, 04/24/28			740		737,225
5.35%, 02/11/49			200		215,681

					5,411,053

Maldives — 0.0%
Republic of Maldives Ministry of Finance and Treasury Bond, 7.00%, 06/07/22			200		187,000


Mexico — 0.3%
Petroleos Mexicanos, 5.35%, 02/12/28			34		30,228
United Mexican States:
3.63%, 03/15/22			1,390		1,386,525
4.15%, 03/28/27			413		406,289
3.75%, 01/11/28			650		619,775

					2,442,817


Security	Par (000)				Value

Qatar — 0.2%
State of Qatar:
4.50%, 04/23/28		USD		400	$	422,000
4.63%, 06/02/46				716		735,690
5.10%, 04/23/48^(b)				200		214,750

						1,372,440

Russia — 0.1%
Russian Federation:
4.75%, 05/27/26				600		610,500
4.25%, 06/23/27				400		391,000

						1,001,500

Saudi Arabia — 0.2%
Kingdom of Saudi Arabia:
4.38%, 04/16/29^(b)				209		212,396
4.50%, 04/17/30				800		815,000
5.25%, 01/16/50^(b)				223		229,133

						1,256,529

South Africa — 0.3%
Republic of South Africa:
5.88%, 05/30/22				2,126		2,237,615
4.88%, 04/14/26				200		198,000

						2,435,615

Sri Lanka — 0.0%
Republic of Sri Lanka, 5.88%, 07/25/22				200		196,250


Turkey — 0.0%
Republic of Turkey, 4.88%, 04/16/43				219		171,915


United Arab Emirates — 0.1%
Emirate of Abu Dhabi, 4.13%, 10/11/47				400		394,500


Total Foreign Government Obligations — 2.7% (Cost: $20,959,925)						21,056,017


			Shares

Investment Companies — 35.0%
BlackRock Allocation Target Shares- BATS Series A^(p)				3,948,912		39,212,697
BlackRock Floating Rate Income Portfolio, Class K^(p)				5,543,096		54,765,786
DCP Midstream LP				37,099		1,243,930
iShares 0-5 Year High Yield Corporate Bond ETF^(p)				682,355		31,633,978
iShares Core Dividend Growth ETF^(p)				419,709		14,794,742
iShares Core S&P 500 ETF^(p)				40,508		10,999,948
iShares Emerging Markets Dividend ETF^(p)				392,231		16,450,168
iShares iBoxx $ High Yield Corporate Bond ETF^(f)(p)				1,120,964		95,405,246
WisdomTree Emerging Markets High Dividend Fund				80,150		3,554,653


Total Investment Companies — 35.0% (Cost: $268,602,371)						268,061,148


			Par (000)

Non-Agency Mortgage-Backed Securities — 3.9%

Collateralized Mortgage Obligations — 0.4%
Alternative Loan Trust^(a):
Series 2005-16, Class A1, 3.90%, 06/25/35		USD		73		67,790
Series 2005-72, Class A3, 3.11%, 01/25/36				139		117,545
Series 2006-OA14, Class 1A1, 3.98%, 11/25/46				127		109,686
Series 2006-OA6, Class 1A2, 2.72%, 07/25/46				125		117,328
Series 2006-OA8, Class 1A1, 2.70%, 07/25/46				309		295,766
Series 2007-OA3, Class 1A1, 2.65%, 04/25/47				335		317,488


Security	Par (000)			Value

Collateralized Mortgage Obligations (continued)
American Home Mortgage Assets Trust, Series 2006-5, Class A1, 3.17%, 11/25/46^(a)		USD	1,078	$	543,348
CitiMortgage Alternative Loan Trust, Series 2007-A2, Class 1A13, 5.75%, 02/25/37			515		478,332
Impac CMB Trust, Series 2005-6, Class 1A1, 3.01%, 10/25/35^(a)			351		336,774
LSTAR Securities Investment Ltd. LLC, Series 2017-8, Class A, 4.17%, 11/01/22^(a)(b)			138		138,070
Reperforming Loan REMIC Trust, Series 2005-R2, Class 1AF1, 2.85%, 06/25/35^(a)(b)			83		79,921
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 2A1, 2.70%, 07/25/46^(a)			107		87,546
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-4, Class 3A1, 6.50%, 05/25/36^(l)			645		553,193

					3,242,787

Commercial Mortgage-Backed Securities — 3.5%
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E, 4.63%, 09/15/34^(a)(b)			630		624,470
Ashford Hospitality Trust, Series 2018-ASHF, Class D, 4.61%, 04/15/35^(a)(b)			700		696,051
Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class E, 5.56%, 12/15/36^(a)(b)			350		347,804
Aventura Mall Trust, Series 2013-AVM, Class E, 3.74%, 12/05/32^(a)(b)			700		708,314
BAMLL Commercial Mortgage Securities Trust^(a)(b):
Series 2016-ISQ, Class E, 3.61%, 08/14/34			700		628,806
Series 2018-DSNY, Class D, 4.21%, 09/15/34			1,058		1,052,047
Banc of America Commercial Mortgage Trust, Series 2007-1, Class AMFX, 5.48%, 01/15/49^(a)			113		113,106
Bayview Commercial Asset Trust, Series 2007-4A, Class A1, 2.96%, 09/25/37^(a)(b)			665		623,957
BBCMS Mortgage Trust, Series 2018-CHRS, Class E, 4.27%, 08/05/38^(a)(b)			200		172,243
BBCMS Trust, Series 2015-STP, Class E, 4.28%, 09/10/28^(a)(b)			200		192,860
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW18, Class B, 6.48%, 06/11/50^(a)(b)			204		207,620
Benchmark Mortgage Trust:
Series 2018-B5, Class D, 3.11%, 07/15/51^(a)(b)			550		467,603
Series 2018-B7, Class C, 4.86%, 05/15/53^(a)			500		516,189
BWAY Mortgage Trust, Series 2015-1740, Class E, 4.45%, 01/10/35^(a)(b)			500		497,729
BX Commercial Mortgage Trust^(a)(b):
Series 2018-IND, Class G, 4.56%, 11/15/35			1,498		1,484,618
Series 2018-IND, Class H, 5.51%, 11/15/35			1,498		1,481,807
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class E, 5.49%, 04/10/29^(a)(b)			280		281,448
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class E, 3.79%, 04/10/28^(a)(b)			410		413,078
Citigroup Commercial Mortgage Trust:
Series 2016-C1, Class D, 4.95%, 05/10/49^(a)(b)			110		106,271
Series 2018-C6, Class C, 5.07%, 11/10/51			361		380,259
Commercial Mortgage Trust:
Series 2014-UBS4, Class C, 4.62%, 08/10/47^(a)			370		369,596
Series 2015-LC19, Class D, 2.87%, 02/10/48^(b)			350		300,208
Series 2015-LC21, Class C, 4.30%, 07/10/48^(a)			700		700,317
Series 2017-COR2, Class D, 3.00%, 09/10/50^(b)			700		600,983
Series 2018-HCLV, Class B, 3.91%, 09/15/33^(a)(b)			400		400,000
Core Industrial Trust, Series 2015-CALW, Class G, 3.85%, 02/10/34^(a)(b)			600		593,859


Security	Par (000)			Value

Commercial Mortgage-Backed Securities (continued)
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D, 4.89%, 11/15/51^(a)(b)		USD	457	$	427,803
CSMC Trust, Series 2018-RPL8, Class A1, 4.12%, 07/25/58^(a)(b)			327		326,363
DBJPM Mortgage Trust, Series 2016-C3, Class D, 3.49%, 08/10/49^(a)(b)			700		617,941
DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.53%, 10/10/34^(a)(b)(c)			420		380,958
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class EFX, 3.38%, 12/15/34^(a)(b)			485		477,212
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.59%, 06/10/28^(a)(b)			500		491,544
GS Mortgage Securities Corp. Trust^(a)(b):
Series 2017-500K, Class G, 5.01%, 07/15/32			30		29,837
Series 2018-HULA, Class D, 4.31%, 07/15/25			260		258,043
GS Mortgage Securities Trust:
Series 2015-GC32, Class D, 3.35%, 07/10/48			360		313,505
Series 2017-GS7, Class E, 3.00%, 08/10/50^(b)			560		448,503
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class C, 4.51%, 03/15/50^(a)			135		135,418
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2015-JP1, Class D, 4.24%, 01/15/49^(a)			500		472,895
Series 2015-JP1, Class E, 4.24%, 01/15/49^(a)(b)			371		343,070
Series 2015-UES, Class E, 3.62%, 09/05/32^(a)(b)			500		492,095
Series 2017-JP5, Class C, 3.90%, 03/15/50^(a)			467		450,415
Series 2017-MAUI, Class F, 6.26%, 07/15/34^(a)(b)			700		691,306
Series 2018-WPT, Class FFX, 5.54%, 07/05/33^(b)			490		487,376
LCCM Mortgage Trust, Series 2014-909, Class E, 3.90%, 05/15/31^(a)(b)			150		148,433
MAD Mortgage Trust, Series 2017-330M, Class E, 4.17%, 08/15/34^(a)(b)			270		258,477
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Class D, 5.60%, 07/12/38^(a)			163		164,947
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2015-C25, Class D, 3.07%, 10/15/48			460		391,995
Series 2015-C26, Class D, 3.06%, 10/15/48^(b)			450		380,098
Morgan Stanley Capital I, Series 2017-HR2, Class D, 2.73%, 12/15/50			250		201,760
Morgan Stanley Capital I Trust^(a):
Series 2014-CPT, Class G, 3.45%, 07/13/29^(b)			700		679,127
Series 2015-MS1, Class D, 4.03%, 05/15/48^(b)			700		638,453
Series 2017-JWDR, Class E, 5.56%, 11/15/34^(b)			380		375,712
Series 2018-H3, Class C, 4.85%, 07/15/51			320		320,894
Series 2018-MP, Class E, 4.28%, 07/11/40^(b)			330		301,198
Series 2018-SUN, Class F, 5.06%, 07/15/35^(b)			450		442,387
USDC, Series 2018-USDC, Class F, 4.49%, 05/09/38^(a)(b)			280		266,527
Wells Fargo Commercial Mortgage Trust:
Series 2015-NXS4, Class D, 3.60%, 12/15/48^(a)			151		143,922
Series 2017-C39, Class C, 4.12%, 09/15/50			113		107,592
Series 2017-C41, Class D, 2.60%, 11/15/50^(a)(b)			492		404,536
Series 2018-C44, Class C, 4.84%, 05/15/51^(a)			170		170,071
Series 2018-C44, Class D, 3.00%, 05/15/51^(b)			240		188,722
Series 2018-C45, Class C, 4.73%, 06/15/51			110		107,719

					26,498,097


Security	Par (000)				Value

Interest Only Commercial Mortgage-Backed Securities — 0.0%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class XD, 1.35%, 10/15/48^(a)(b)		USD		4,650	$	362,933


Total Non-Agency Mortgage-Backed Securities — 3.9% (Cost: $29,517,346)						30,103,817


Preferred Securities — 4.0%

Capital Trusts — 3.4%

Banks — 1.5%^(g)(j)
Bank of America Corp., Series X, 6.25%				1,518		1,598,454
Citigroup, Inc.:
5.90%				2,255		2,277,550
Series P, 5.95%				706		702,470
Citizens Financial Group, Inc., Series A, 5.50%				75		75,330
Fifth Third Bancorp, Series J, 4.90%				1,600		1,572,000
JPMorgan Chase & Co., Series CC, 4.62%				1,675		1,544,434
M&T Bank Corp., Series F, 5.13%				625		610,937
SunTrust Banks, Inc.:
Series G, 5.05%				1,880		1,776,600
Series H, 5.13%				1,150		1,035,000

						11,192,775

Capital Markets — 0.4%^(g)(j)
Bank of New York Mellon Corp. (The), Series F, 4.62%				1,175		1,101,562
Goldman Sachs Group, Inc. (The):
Series M, 5.38%				390		390,975
Series P, 5.00%				230		211,887
Series O, 5.30%				145		142,825
Northern Trust Corp., Series D, 4.60%				700		660,625
State Street Corp., Series H, 5.63%				925		905,344

						3,413,218

Consumer Finance — 0.6%^(g)(j)
Capital One Financial Corp., Series E, 5.55%				1,390		1,401,120
Discover Financial Services, Series C, 5.50%				575		523,969
General Motors Financial Co., Inc.:
Series A, 5.75%				2,546		2,183,195
Series B, 6.50%				250		221,250

						4,329,534

Diversified Financial Services — 0.0%
Voya Financial, Inc., Series A, 6.13%^(g)(j)				400		396,000


Insurance — 0.2%^(g)(j)
Progressive Corp. (The), Series B, 5.38%				335		326,206
XLIT Ltd., Series E, 5.24%				1,385		1,319,213

						1,645,419

Oil, Gas & Consumable Fuels — 0.7%^(g)(j)
Andeavor Logistics LP, Series A, 6.87%				2,275		2,191,576
EnLink Midstream Partners LP, Series C, 6.00%				1,600		1,296,000
Plains All American Pipeline LP, Series B, 6.13%				1,550		1,389,188

						4,876,764

Total Capital Trusts — 3.4% (Cost: $27,010,449)						25,853,710


			Shares

Preferred Stocks — 0.5%

Banks — 0.1%
KeyCorp, Series E, 6.13%^(g)(j)				32,500		882,375


Capital Markets — 0.3%
Morgan Stanley, Series K, 5.85%^(g)(j)				83,000		2,107,370


Security		Shares		Value

Consumer Finance — 0.1%
SLM Corp., Series B, 4.49%^(g)(j)			3,500	$	237,580


Electric Utilities — 0.0%
Entergy Arkansas LLC, 4.88%			1,210		29,597
Entergy Louisiana LLC, 4.88%			4,525		111,586
Entergy Mississippi LLC, 4.90%			401		9,844
Entergy Texas, Inc., 5.63%			4,716		123,512

					274,539

Total Preferred Stocks — 0.5% (Cost: $3,427,304)					3,501,864


Trust Preferreds — 0.1%

Commercial Services & Supplies — 0.1%
ILFC E-Capital Trust I, 4.55%, 12/21/65^(b)(j)			896,000		680,960


Consumer Finance — 0.0%
ILFC E-Capital Trust II, 4.80%, 12/21/65^(b)(j)			397,000		303,705


Total Trust Preferreds — 0.1% (Cost: $1,257,798)					984,665


Total Preferred Securities — 4.0% (Cost: $31,695,551)					30,340,239


		Par (000)

U.S. Government Sponsored Agency Securities — 0.2%

Commercial Mortgage-Backed Securities — 0.1%
Federal Home Loan Mortgage Corp. Variable Rate Notes:
Series 2018-K732, Class B, 4.06%, 05/25/25^(b)(j)	USD		200		200,014
Series 2018-K80, Class B, (LIBOR USD 1 Month + 0.00%), 4.23%, 08/25/50^(b)(d)			300		297,905
Series 2018-SB52, Class A10F, 3.48%, 06/25/28^(j)			339		340,867

					838,786

Interest Only Commercial Mortgage-Backed Securities — 0.1%
Government National Mortgage Association Variable Rate Notes^(j):
Series 2013-63, 0.79%, 09/16/51			1,100		57,786
Series 2016-162, 1.00%, 09/16/58			2,714		218,863
Series 2016-34, 0.99%, 01/16/58			1,369		104,811
Series 2016-67, 1.17%, 07/16/57			572		45,869
Series 2017-44, 0.70%, 04/17/51			2,564		151,489
Series 2018-106, 0.49%, 04/16/60			1,693		92,869

					671,687


Total U.S. Government Sponsored Agency Securities — 0.2% (Cost: $1,504,339)					1,510,473


Total Long-Term Investments — 94.5% (Cost: $731,333,511)					724,492,021


Short-Term Securities — 19.9%

Foreign Government Obligations — 0.0%

Egypt — 0.0%
Arab Republic of Egypt, 19.87%, 04/02/19^(m)	EGP		6,150		338,229


Total Foreign Government Obligations — 0.0% (Cost: $333,141)					338,229


Security	Shares		Value

Money Market Funds — 19.9%^(n)(p)
BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.26%		69,758,031	$	69,758,031
SL Liquidity Series, LLC, Money Market Series, 2.64%^(o)		82,474,817		82,483,064


Total Money Market Funds — 19.9% (Cost: $152,233,794)				152,241,095


Total Short-Term Securities — 19.9% (Cost: $152,566,935)				152,579,324


Total Investments — 114.4% (Cost: $883,900,446)				877,071,345

Liabilities in Excess of Other Assets — (14.4)%				(110,394,748	)


Net Assets — 100.0%			$	766,676,597

^(a)	Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

^(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

^(c)	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

^(d)	Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

^(e)	Non-income producing security.

^(f)	Security, or a portion of the security, is on loan.

^(g)	Perpetual security with no stated maturity date.

^(h)	Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

⁽ⁱ⁾	Issuer filed for bankruptcy and/or is in default.

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

^(k)	Convertible security.

^(l)	Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

^(m)	Rates are discount rates or a range of discount rates as of period end.

⁽ⁿ⁾	Annualized 7-day yield as of period end.

^(o)	Security was purchased with the cash collateral from loaned securities.

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.

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

For the six months ended January 31, 2019, the effect of derivative financial instruments in the Statements of Operations were as follows:

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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

During the six months ended January 31, 2019, 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 year 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

Asset-Backed Securities — 9.0%
Accredited Mortgage Loan Trust, Series 2004-4, Class M2, (LIBOR USD 1 Month + 1.58%), 4.08%, 01/25/35^(a)		USD	1,611	$	1,537,295
Accunia European CLO I BV, Series 1X, Class E, (EURIBOR 3 Month + 7.00%), 7.00%, 07/15/29^(a)		EUR	400		456,555
AIMCO CLO, Series 2018-AA, Class A, (LIBOR USD 3 Month + 1.02%), 3.79%, 04/17/31^(a)(b)		USD	2,700		2,651,526
Ajax Mortgage Loan Trust^(b):
Series 2018-E, Class A, 4.38%, 06/25/58^(c)			6,739		6,705,123
Series 2018-E, Class B, 5.25%, 06/25/58^(c)			630		617,940
Series 2018-E, Class C, 0.00%, 06/25/58^(c)(d)			1,620		462,672
Series 2018-F, Class A, 4.38%, 11/25/58^(c)			7,699		7,658,811
Series 2018-F, Class B, 5.25%, 11/25/58^(c)			719		705,564
Series 2018-F, Class C, 0.00%, 11/25/58			1,775		884,043
Series 2018-G, Class A, 4.38%, 06/25/57^(c)(d)			8,738		8,697,307
Series 2018-G, Class B, 5.25%, 06/25/57^(c)(d)			816		797,151
Series 2018-G, Class C, 5.25%, 06/25/57			2,097		1,938,079
Allegro CLO II-S Ltd., Series 2014-1RA, Class B, (LIBOR USD 3 Month + 2.15%), 4.91%, 10/21/28^(a)(b)			1,300		1,277,102
Allegro CLO IV Ltd., Series 2016-1A, Class C, (LIBOR USD 3 Month + 2.60%), 5.39%, 01/15/29^(a)(b)			1,750		1,721,331
Allegro CLO VI Ltd.^(a)(b):
Series 2017-2A, Class A, (LIBOR USD 3 Month + 1.13%), 3.90%, 01/17/31			5,350		5,303,930
Series 2017-2A, Class B, (LIBOR USD 3 Month + 1.50%), 4.27%, 01/17/31			1,000		979,022
Series 2017-2A, Class D, (LIBOR USD 3 Month + 2.75%), 5.52%, 01/17/31			1,580		1,493,532
Allegro CLO VII Ltd., Series 2018-1A, Class A, (LIBOR USD 3 Month + 1.10%), 3.89%, 06/13/31^(a)(b)			1,700		1,680,069
ALM V Ltd.^(a)(b):
Series 2012-5A, Class A1R3, (LIBOR USD 3 Month + 0.91%), 3.69%, 10/18/27			15,000		14,920,401
Series 2012-5A, Class A2R3, (LIBOR USD 3 Month + 1.25%), 4.03%, 10/18/27			7,000		6,856,046
ALM VI Ltd.^(a)(b):
Series 2012-6A, Class BR3, (LIBOR USD 3 Month + 1.75%), 4.54%, 07/15/26			1,500		1,462,641
Series 2012-6A, Class CR3, (LIBOR USD 3 Month + 2.70%), 5.49%, 07/15/26			1,650		1,583,262
ALM VII Ltd.^(a)(b):
Series 2012-7A, Class A1R, (LIBOR USD 3 Month + 1.48%), 4.27%, 10/15/28			18,000		18,020,464
Series 2012-7A, Class BR, (LIBOR USD 3 Month + 2.50%), 5.29%, 10/15/28			2,875		2,856,223
Series 2012-7A, Class CR, (LIBOR USD 3 Month + 3.85%), 6.64%, 10/15/28			3,750		3,714,471
ALM VII R Ltd.^(a)(b):
Series 2013-7RA, Class A1R, (LIBOR USD 3 Month + 1.41%), 4.20%, 10/15/28			4,175		4,184,400
Series 2013-7RA, Class A2R, (LIBOR USD 3 Month + 2.00%), 4.79%, 10/15/28			1,000		1,000,581
Series 2013-7RA, Class BR, (LIBOR USD 3 Month + 2.70%), 5.49%, 10/15/28			1,000		995,021


Security	Par (000)			Value

Asset-Backed Securities (continued)
ALM VII R-2 Ltd.^(a)(b):
Series 2013-7R2A, Class A2R2, (LIBOR USD 3 Month + 1.65%), 4.44%, 10/15/27		USD	2,000	$	1,998,159
Series 2013-7R2A, Class BR2, (LIBOR USD 3 Month + 2.20%), 4.99%, 10/15/27			600		594,404
ALM VIII Ltd.^(a)(b):
Series 2013-8A, Class A1R, (LIBOR USD 3 Month + 1.49%), 4.28%, 10/15/28			13,250		13,259,642
Series 2013-8A, Class CR, (LIBOR USD 3 Month + 3.95%), 6.74%, 10/15/28			2,250		2,251,530
ALM XIX Ltd., Series 2016-19A, Class C, (LIBOR USD 3 Month + 4.35%), 7.14%, 07/15/28^(a)(b)			2,000		2,002,162
ALM XVI Ltd., Series 2015-16A, Class CR2, (LIBOR USD 3 Month + 2.70%), 5.49%, 07/15/27^(a)(b)			3,000		2,940,621
American Express Credit Account Master Trust:
Series 2017-5, Class A, (LIBOR USD 1 Month + 0.38%), 2.89%, 02/18/25^(a)			2,000		2,002,028
Series 2017-6, Class A, 2.04%, 05/15/23			2,000		1,976,841
Series 2018-4, Class A, 2.99%, 12/15/23			1,940		1,948,334
Series 2018-8, Class A, 3.18%, 04/15/24			1,709		1,726,458
AmeriCredit Automobile Receivables Trust:
Series 2014-3, Class D, 3.13%, 10/08/20			980		980,051
Series 2017-2, Class A3, 1.98%, 12/20/21			460		457,604
Series 2018-1, Class A3, 3.07%, 12/19/22			1,000		1,001,529
AMMC CLO 19 Ltd., Series 2016-19A, Class E, (LIBOR USD 3 Month + 7.00%), 9.79%, 10/15/28^(a)(b)			1,000		969,138
AMMC CLO 21 Ltd., Series 2017-21A, Class A, (LIBOR USD 3 Month + 1.25%), 3.81%, 11/02/30^(a)(b)			1,750		1,745,239
AMMC CLO 22 Ltd., Series 2018-22A, Class D, (LIBOR USD 3 Month + 2.70%), 5.47%, 04/25/31^(a)(b)			320		301,030
AMMC CLO XII Ltd., Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.20%), 3.82%, 11/10/30^(a)(b)			2,000		1,989,794
Amortizing Residential Collateral Trust, Series 2002-BC8, Class A1, (LIBOR USD 1 Month + 0.80%), 3.31%, 11/25/32^(a)			4,032		3,957,977
Anchorage Capital CLO 1 Ltd., Series 2013-1A, Class A1R, (LIBOR USD 3 Month + 1.25%), 4.05%, 10/13/30^(a)(b)			4,000		3,982,553
Anchorage Capital CLO 10 Ltd., Series 2018-10A, Class A1A, (LIBOR USD 3 Month + 1.20%), 3.63%, 10/15/31^(a)(b)			7,650		7,589,974
Anchorage Capital CLO 1-R Ltd., Series 2018-1RA, Class A1, (LIBOR USD 3 Month + 0.99%), 3.79%, 04/13/31^(a)(b)			2,400		2,362,121
Anchorage Capital CLO 2 Ltd., Series 2017-2A, Class A, (LIBOR USD 3 Month + 1.53%), 4.29%, 01/20/30^(a)(b)			5,000		4,962,703
Anchorage Capital CLO 3-R Ltd.^(a)(b):
Series 2014-3RA, Class B, (LIBOR USD 3 Month + 1.50%), 4.26%, 01/28/31			3,400		3,333,945
Series 2014-3RA, Class C, (LIBOR USD 3 Month + 1.85%), 4.61%, 01/28/31			1,250		1,200,328
Series 2014-3RA, Class D, (LIBOR USD 3 Month + 2.60%), 5.36%, 01/28/31			1,000		932,165


Security	Par (000)			Value

Asset-Backed Securities (continued)
Anchorage Capital CLO 4-R Ltd.^(a)(b):
Series 2014-4RA, Class C, (LIBOR USD 3 Month + 1.85%), 4.61%, 01/28/31		USD	600	$	576,218
Series 2014-4RA, Class D, (LIBOR USD 3 Month + 2.60%), 5.36%, 01/28/31			2,250		2,104,709
Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class C, (LIBOR USD 3 Month + 1.85%), 4.64%, 01/15/30^(a)(b)			1,850		1,792,680
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class CR, (LIBOR USD 3 Month + 2.40%), 5.19%, 07/15/30^(a)(b)			1,000		990,885
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR, (LIBOR USD 3 Month + 0.96%), 3.75%, 10/15/27^(a)(b)			10,000		9,945,421
Anchorage Capital CLO 8 Ltd.^(a)(b):
Series 2016-8A, Class AR, (LIBOR USD 3 Month + 1.00%), 3.76%, 07/28/28			4,400		4,368,366
Series 2016-8A, Class BR, (LIBOR USD 3 Month + 1.60%), 4.36%, 07/28/28			1,400		1,394,118
Series 2016-8A, Class DR, (LIBOR USD 3 Month + 3.00%), 5.76%, 07/28/28			4,000		3,870,760
Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class D, (LIBOR USD 3 Month + 4.00%), 6.79%, 01/15/29^(a)(b)			1,350		1,343,764
Anchorage Capital Europe CLO 2 DAC, Series 2X, Class E, (EURIBOR 3 Month + 5.66%), 5.66%, 05/15/31^(a)		EUR	399		422,545
Apidos CLO XI, Series 2012-11A, Class CR, (LIBOR USD 3 Month + 2.70%), 5.47%, 01/17/28^(a)(b)		USD	1,000		1,001,099
Apidos CLO XII, Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.08%), 3.87%, 04/15/31^(a)(b)			2,400		2,379,596
Apidos CLO XV^(a)(b):
Series 2013-15A, Class A1RR, (LIBOR USD 3 Month + 1.01%), 3.77%, 04/20/31			5,000		4,943,494
Series 2013-15A, Class CRR, (LIBOR USD 3 Month + 1.85%), 4.61%, 04/20/31			1,000		958,082
Series 2013-15A, Class DRR, (LIBOR USD 3 Month + 2.70%), 5.46%, 04/20/31			2,000		1,910,759
Apidos CLO XX, Series 2015-20A, Class BRR, (LIBOR USD 3 Month + 1.95%), 4.73%, 07/16/31^(a)(b)			1,750		1,685,624
Apidos CLO XXIII, Series 2015-23A, Class D2, (LIBOR USD 3 Month + 5.95%), 8.74%, 01/15/27^(a)(b)			1,000		991,869
Apidos CLO XXIX, Series 2018-29A, Class A2, (LIBOR USD 3 Month + 1.55%), 4.32%, 07/25/30^(a)(b)			1,000		983,813
Apidos Clo XXV, Series 2016-25A, Class A1R, (LIBOR USD 3 Month + 1.17%), 3.93%, 10/20/31^(a)(b)			4,500		4,478,934
Apidos CLO XXX, Series XXXA, Class A1A, (LIBOR USD 3 Month + 1.14%), 3.56%, 10/18/31^(a)(b)			2,000		1,986,058
Aqueduct European CLO DAC, Series 2017-2X, Class E, (EURIBOR 3 Month + 4.40%), 4.40%, 10/15/30^(a)		EUR	219		222,615
Arbor Realty Commercial Real Estate Notes Ltd.^(a)(b):
Series 2016-FL1A, Class A, (LIBOR USD 1 Month + 1.70%), 4.21%, 09/15/26		USD	990		997,928
Series 2017-FL1, Class A, (LIBOR USD 1 Month + 1.30%), 3.81%, 04/15/27			1,080		1,081,703


Security	Par (000)			Value

Asset-Backed Securities (continued)
Arbour CLO IV DAC, Series 4X, Class E, (EURIBOR 3 Month + 5.60%), 5.60%, 01/15/30^(a)		EUR	468	$	520,207
Ares European CLO VIII BV, Series 8X, Class E, (EURIBOR 3 Month + 6.35%), 6.35%, 02/17/30^(a)			400		458,198
Ares XLI CLO Ltd., Series 2016-41A, Class A, (LIBOR USD 3 Month + 1.41%), 4.20%, 01/15/29^(a)(b)		USD	2,950		2,973,356
Ares XLII CLO Ltd., Series 2017-42A, Class D, (LIBOR USD 3 Month + 3.45%), 6.21%, 01/22/28^(a)(b)			1,000		985,108
Ares XLIX CLO Ltd., Series 2018-49A, Class B, (LIBOR USD 3 Month + 1.65%), 4.41%, 07/22/30^(a)(b)			500		494,945
Ares XLV CLO Ltd., Series 2017-45A, Class D, (LIBOR USD 3 Month + 3.05%), 5.84%, 10/15/30^(a)(b)			2,100		2,035,012
Ares XLVI CLO Ltd., Series 2017-46A, Class SUB, (LIBOR USD 3 Month + 0.00%), 0.00%, 01/15/30^(a)(b)			2,250		1,898,685
Ares XLVII CLO Ltd.^(a)(b):
Series 2018-47A, Class B, (LIBOR USD 3 Month + 1.45%), 4.24%, 04/15/30			1,400		1,370,056
Series 2018-47A, Class C, (LIBOR USD 3 Month + 1.75%), 4.54%, 04/15/30			800		762,608
Series 2018-47A, Class D, (LIBOR USD 3 Month + 2.70%), 5.49%, 04/15/30			3,500		3,314,526
Series 2018-47A, Class SUB, (LIBOR USD 3 Month + 0.00%), 0.00%, 04/15/30			4,500		3,450,789
Ares XLVIII CLO, Series 2018-48A, Class C, (LIBOR USD 3 Month + 1.80%), 4.56%, 07/20/30^(a)(b)			1,000		952,419
Ares XXVII CLO Ltd., Series 2013-2A, Class DR, (LIBOR USD 3 Month + 3.75%), 6.51%, 07/28/29^(a)(b)			1,000		1,001,777
Ares XXXIII CLO Ltd., Series 2015-1A, Class CR, (LIBOR USD 3 Month + 4.20%), 6.95%, 12/05/25^(a)(b)			1,000		998,408
Ares XXXIIR CLO Ltd.^(a)(b):
Series 2014-32RA, Class B, (LIBOR USD 3 Month + 1.80%), 4.42%, 05/15/30			700		666,037
Series 2014-32RA, Class C, (LIBOR USD 3 Month + 2.90%), 5.52%, 05/15/30			500		478,877
Series 2014-32RA, Class D, (LIBOR USD 3 Month + 5.85%), 8.47%, 05/15/30			1,000		934,748
Ares XXXIR CLO Ltd., Series 2014-31RA, Class A2, (LIBOR USD 3 Month + 1.30%), 3.99%, 05/24/30^(a)(b)			1,000		969,565
Ares XXXVII CLO Ltd.^(a)(b):
Series 2015-4A, Class A1R, (LIBOR USD 3 Month + 1.17%), 3.96%, 10/15/30			3,000		2,991,575
Series 2015-4A, Class A3R, (LIBOR USD 3 Month + 1.50%), 4.29%, 10/15/30			1,500		1,474,397
Series 2015-4A, Class BR, (LIBOR USD 3 Month + 1.80%), 4.59%, 10/15/30			1,017		977,436
Ares XXXVR CLO Ltd.^(a)(b):
Series 2015-35RA, Class A2, (LIBOR USD 3 Month + 1.40%), 4.19%, 07/15/30			1,500		1,503,280
Series 2015-35RA, Class C, (LIBOR USD 3 Month + 1.90%), 4.69%, 07/15/30			1,000		957,627
Series 2015-35RA, Class D, (LIBOR USD 3 Month + 3.00%), 5.79%, 07/15/30			1,000		964,424


Security	Par (000)			Value

Asset-Backed Securities (continued)
Assurant CLO I Ltd., Series 2017-1A, Class E, (LIBOR USD 3 Month + 6.46%), 9.22%, 10/20/29^(a)(b)		USD	300	$	293,556
Assurant CLO IV Ltd., Series 2019-1A, Class D, (LIBOR USD 3 Month + 3.85%), 0.00%, 04/20/30^(a)(b)			1,000		1,000,000
Atlas Senior Loan Fund VII Ltd.^(a)(b):
Series 2016-7A, Class A1R, (LIBOR USD 3 Month + 1.28%), 3.99%, 11/27/31			5,750		5,713,549
Series 2016-7A, Class A2R, (LIBOR USD 3 Month + 1.55%), 4.26%, 11/27/31			5,500		5,442,550
Series 2016-7A, Class B1R, (LIBOR USD 3 Month + 1.80%), 4.51%, 11/27/31			1,700		1,681,799
Atlas Senior Loan Fund X Ltd.^(a)(b):
Series 2018-10A, Class B, (LIBOR USD 3 Month + 1.50%), 4.29%, 01/15/31			1,300		1,269,057
Series 2018-10A, Class D, (LIBOR USD 3 Month + 2.75%), 5.54%, 01/15/31			2,000		1,860,818
Atlas Senior Loan Fund XI Ltd., Series 2018-11A, Class A1L, (LIBOR USD 3 Month + 1.10%), 3.86%, 07/26/31^(a)(b)			7,000		6,912,525
Atlas Senior Loan Fund XII Ltd., Series 2018-12A, Class A1, (LIBOR USD 3 Month + 1.18%), 3.63%, 10/24/31^(a)(b)			1,700		1,678,818
Atrium VIII^(b):
Series 8A, Class ER, (LIBOR USD 3 Month + 7.25%), 10.02%, 10/23/24^(a)			1,750		1,754,382
Series 8A, Class SUB, 0.00%, 10/23/24^(c)			11,500		6,072,322
Atrium XIV LLC, Series 14A, Class C, (LIBOR USD 3 Month + 1.95%), 4.73%, 08/23/30^(a)(b)			1,000		958,578
Atrium XV^(a)(b):
Series 15A, Class B, (LIBOR USD 3 Month + 1.75%), 4.53%, 01/23/31			1,000		993,968
Series 15A, Class C, (LIBOR USD 3 Month + 2.20%), 4.98%, 01/23/31			500		485,614
Series 15A, Class D, (LIBOR USD 3 Month + 3.00%), 5.78%, 01/23/31			500		480,436
Avoca CLO XV DAC, Series 15X, Class ER, (EURIBOR 3 Month + 4.13%), 4.13%, 04/15/31^(a)		EUR	670		663,826
Avoca CLO XVII Designated Activity Co., Series 17X, Class E, (EURIBOR 3 Month + 5.95%), 5.95%, 01/15/30^(a)			271		307,293
BA Credit Card Trust:
Series 2018-A1, Class A1, 2.70%, 07/17/23		USD	2,000		1,998,276
Series 2018-A2, Class A2, 3.00%, 09/15/23			1,890		1,900,795
Series 2018-A3, Class A3, 3.10%, 12/15/23			1,390		1,400,340
Babson CLO Ltd., Series 2015-IA, Class AR, (LIBOR USD 3 Month + 0.99%), 3.75%, 01/20/31^(a)(b)			7,500		7,408,167
Barings CLO Ltd., Series 2018-3A, Class A1, (LIBOR USD 3 Month + 0.95%), 3.71%, 07/20/29^(a)(b)			4,500		4,457,737
Barings Euro CLO BV, Series 2018-3X, Class E, (EURIBOR 3 Month + 5.79%), 5.79%, 07/27/31^(a)		EUR	270		296,182
Bear Stearns Asset-Backed Securities I Trust^(a):
Series 2005-HE1, Class M2, (LIBOR USD 1 Month + 1.25%), 3.76%, 01/25/35		USD	1,532		1,533,050
Series 2006-EC2, Class M2, (LIBOR USD 1 Month + 0.63%), 3.14%, 02/25/36			5,801		5,749,127


Security	Par (000)			Value

Asset-Backed Securities (continued)
Bear Stearns Asset-Backed Securities I Trust (continued)
Series 2006-HE7, Class 1A2, (LIBOR USD 1 Month + 0.17%), 2.68%, 09/25/36		USD	1,519	$	1,735,478
Series 2007-HE1, Class 21A2, (LIBOR USD 1 Month + 0.16%), 2.67%, 01/25/37			1,735		1,698,593
Series 2007-HE2, Class 22A, (LIBOR USD 1 Month + 0.14%), 2.65%, 03/25/37			4,900		4,809,426
Series 2007-HE2, Class 23A, (LIBOR USD 1 Month + 0.14%), 2.65%, 03/25/37			6,898		6,970,127
Series 2007-HE3, Class 2A, (LIBOR USD 1 Month + 0.14%), 2.65%, 04/25/37			7,415		7,859,589
Series 2007-HE5, Class 2A, (LIBOR USD 1 Month + 0.22%), 2.73%, 06/25/47^(d)			22,573		20,544,363
Bear Stearns Asset-Backed Securities Trust^(a):
Series 2004-HE3, Class M2, (LIBOR USD 1 Month + 1.73%), 4.24%, 04/25/34			4,540		4,641,268
Series 2005-4, Class M2, (LIBOR USD 1 Month + 1.20%), 3.71%, 01/25/36			1,682		1,673,363
Series 2006-1, Class M1, (LIBOR USD 1 Month + 0.50%), 3.01%, 02/25/36			802		799,515
Benefit Street Partners CLO IV Ltd.^(a)(b):
Series 2014-IVA, Class A1R, (LIBOR USD 3 Month + 1.49%), 4.25%, 01/20/29			1,790		1,791,725
Series 2014-IVA, Class A2R, (LIBOR USD 3 Month + 2.05%), 4.81%, 01/20/29			2,500		2,503,671
Benefit Street Partners CLO VI Ltd., Series 2015-VIA, Class A1R, (LIBOR USD 3 Month + 1.24%), 4.02%, 10/18/29^(a)(b)			10,000		9,994,317
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (LIBOR USD 3 Month + 1.10%), 3.86%, 01/20/31^(a)(b)			1,500		1,484,605
Benefit Street Partners CLO X Ltd., Series 2016-10A, Class A2, (LIBOR USD 3 Month + 2.00%), 4.79%, 01/15/29^(a)(b)			2,000		1,999,574
Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class C, (LIBOR USD 3 Month + 3.05%), 5.84%, 10/15/30^(a)(b)			1,500		1,438,694
Benefit Street Partners CLO XV Ltd.^(a)(b):
Series 2018-15A, Class A1, (LIBOR USD 3 Month + 1.15%), 3.93%, 07/18/31			2,200		2,179,956
Series 2018-15A, Class A2A, (LIBOR USD 3 Month + 1.70%), 4.48%, 07/18/31			1,000		989,348
Bilbao CLO I DAC, Series 1X, Class D, (EURIBOR 3 Month + 4.73%), 4.73%, 07/20/31^(a)		EUR	550		554,925
BlueMountain CLO Ltd.^(a)(b):
Series 2013-1A, Class A1R, (LIBOR USD 3 Month + 1.40%), 4.16%, 01/20/29		USD	1,350		1,350,920
Series 2013-2A, Class A1R, (LIBOR USD 3 Month + 1.18%), 3.94%, 10/22/30			1,000		997,462
Series 2016-1A, Class BR, (LIBOR USD 3 Month + 1.35%), 4.11%, 04/20/27			2,700		2,645,487
BMW Floorplan Master Owner Trust, Series 2018-1, Class A1, 3.15%, 05/15/23^(b)			1,230		1,234,490
Bowman Park CLO Ltd.^(a)(b):
Series 2014-1A, Class AR, (LIBOR USD 3 Month + 1.18%), 3.86%, 11/23/25			3,500		3,502,972
Series 2014-1A, Class D2R, (LIBOR USD 3 Month + 3.35%), 6.03%, 11/23/25			500		496,076
Burnham Park Clo Ltd., Series 2016-1A, Class A, (LIBOR USD 3 Month + 1.43%), 4.19%, 10/20/29^(a)(b)			12,000		12,019,724


Security	Par (000)			Value

Asset-Backed Securities (continued)
Cabela’s Credit Card Master Note Trust, Series 2015-1A, Class A1, 2.26%, 03/15/23		USD	1,400	$	1,390,398
Cadogan Square CLO VIII DAC, Series 8X, Class E, (EURIBOR 3 Month + 6.30%), 6.30%, 01/15/30^(a)		EUR	461		521,418
Cairn CLO VII BV, Series 2016-7X, Class E, (EURIBOR 3 Month + 6.35%), 6.35%, 01/31/30^(a)			400		458,117
Capital One Multi-Asset Execution Trust:
Series 2017-A1, Class A1, 2.00%, 01/17/23		USD	1,655		1,641,603
Series 2018-A1, Class A1, 3.01%, 02/15/24			1,500		1,508,888
Carlyle Global Market Strategies CLO Ltd.^(a)(b):
Series 2012-4A, Class BR, (LIBOR USD 3 Month + 1.90%), 4.66%, 01/20/29			7,250		7,259,121
Series 2012-4A, Class C1R, (LIBOR USD 3 Month + 2.60%), 5.36%, 01/20/29			1,500		1,498,184
Series 2013-1A, Class CR, (LIBOR USD 3 Month + 3.35%), 5.96%, 08/14/30			1,500		1,483,464
Series 2013-4A, Class DRR, (LIBOR USD 3 Month + 2.65%), 5.44%, 01/15/31			1,000		944,455
Series 2014-2RA, Class A1, (LIBOR USD 3 Month + 1.05%), 3.67%, 05/15/31			1,500		1,481,258
Series 2014-5A, Class A1RR, (LIBOR USD 3 Month + 1.14%), 3.93%, 07/15/31			10,500		10,394,597
Series 2015-3A, Class A2R, (LIBOR USD 3 Month + 1.60%), 4.36%, 07/28/28			3,900		3,870,691
Series 2015-4A, Class D, (LIBOR USD 3 Month + 6.10%), 8.86%, 10/20/27			1,000		993,494
Series 2016-1A, Class BR, (LIBOR USD 3 Month + 1.85%), 4.61%, 04/20/27			600		583,494
Carlyle US CLO Ltd.^(a)(b):
Series 2016-4A, Class BR, (LIBOR USD 3 Month + 2.10%), 4.86%, 10/20/27			500		491,359
Series 2017-2A, Class C, (LIBOR USD 3 Month + 3.70%), 6.17%, 07/20/31			1,000		1,001,376
CarMax Auto Owner Trust:
Series 2018-1, Class A3, 2.48%, 11/15/22			2,820		2,800,820
Series 2018-4, Class A3, 3.36%, 09/15/23			2,000		2,020,194
Carrington Mortgage Loan Trust^(a):
Series 2006-FRE1, Class A4, (LIBOR USD 1 Month + 0.25%), 2.76%, 04/25/36			2,876		2,353,693
Series 2006-NC5, Class A3, (LIBOR USD 1 Month + 0.15%, 14.50% Cap), 2.66%, 01/25/37			4,000		3,056,546
Catskill Park CLO Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 3.70%), 6.46%, 04/20/29^(a)(b)			1,000		1,000,618
CBAM Ltd.^(a)(b):
Series 2017-3A, Class A, (LIBOR USD 3 Month + 1.23%), 4.00%, 10/17/29			10,000		9,985,014
Series 2018-5A, Class A, (LIBOR USD 3 Month + 1.02%), 3.79%, 04/17/31			4,500		4,420,036
Series 2018-5A, Class B1, (LIBOR USD 3 Month + 1.40%), 4.17%, 04/17/31			2,500		2,415,399
Series 2018-6A, Class A, (LIBOR USD 3 Month + 0.94%), 3.73%, 07/15/31			2,500		2,476,792
Series 2018-6A, Class B1, (LIBOR USD 3 Month + 1.50%), 4.29%, 07/15/31			2,000		1,962,773
C-BASS Mortgage Loan Trust, Series 2007-CB3, Class A1, 3.81%, 03/25/37^(e)			7,197		4,044,582
Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R, (LIBOR USD 3 Month + 1.23%), 4.00%, 06/09/30^(a)(b)			3,600		3,588,929


Security	Par (000)			Value

Asset-Backed Securities (continued)
Cedar Funding IV CLO Ltd.^(a)(b):
Series 2014-4A, Class AR, (LIBOR USD 3 Month + 1.23%), 4.00%, 07/23/30		USD	8,375	$	8,335,140
Series 2014-4A, Class DR, (LIBOR USD 3 Month + 3.65%), 6.42%, 07/23/30			2,000		1,994,964
Cedar Funding IX CLO Ltd.^(b):
Series 2018-9A, Class A1, (LIBOR USD 3 Month + 0.98%), 3.45%, 04/20/31^(a)			8,900		8,724,934
Series 2018-9A, Class SUB, 0.00%, 04/20/31^(c)			3,950		3,372,941
Cedar Funding VI CLO Ltd., Series 2016-6A, Class AR, (LIBOR USD 3 Month + 1.09%), 3.85%, 10/20/28^(a)(b)			3,500		3,482,885
Cedar Funding VII CLO Ltd., Series 2018-7A, Class A1, (LIBOR USD 3 Month + 1.00%), 3.76%, 01/20/31^(a)(b)			7,800		7,657,282
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1, (LIBOR USD 3 Month + 1.25%), 4.02%, 10/17/30^(a)(b)			7,500		7,471,782
Cent CLO 17 Ltd.^(a)(b):
Series C17A, Class A1AR, (LIBOR USD 3 Month + 1.03%), 3.55%, 04/30/31			8,000		7,917,791
Series C17A, Class A2R, (LIBOR USD 3 Month + 1.60%), 4.12%, 04/30/31			1,750		1,728,202
Series C17A, Class BR, (LIBOR USD 3 Month + 1.85%), 4.37%, 04/30/31			1,000		959,283
Series C17A, Class CR, (LIBOR USD 3 Month + 2.80%), 5.32%, 04/30/31			1,000		953,531
Cent CLO 19 Ltd., Series 2013-19A, Class A1A, (LIBOR USD 3 Month + 1.33%), 4.08%, 10/29/25^(a)(b)			1,680		1,681,508
CGMSE, Series 2014-2X, (EURIBOR 3 Month + 5.70%), 5.70%, 11/17/31^(a)		EUR	384		407,610
CIFC Funding 2015-III Ltd., Series 2015-3A, Class CR, (LIBOR USD 3 Month + 1.65%), 4.41%, 04/19/29^(a)(b)		USD	1,000		961,951
CIFC Funding Ltd.^(a)(b):
Series 2013-2A, Class A1LR, (LIBOR USD 3 Month + 1.21%), 3.99%, 10/18/30			5,000		4,974,903
Series 2013-4A, Class A1RR, (LIBOR USD 3 Month + 1.06%), 3.82%, 04/27/31			7,000		6,936,467
Series 2013-4A, Class A2RR, (LIBOR USD 3 Month + 1.30%), 4.06%, 04/27/31			1,700		1,693,241
Series 2014-2RA, Class A1, (LIBOR USD 3 Month + 1.05%), 3.83%, 04/24/30			5,000		4,962,781
Series 2014-2RA, Class A3, (LIBOR USD 3 Month + 1.90%), 4.68%, 04/24/30			500		484,363
Series 2014-4RA, Class A1A, (LIBOR USD 3 Month + 1.13%), 3.90%, 10/17/30			4,400		4,386,144
Series 2014-4RA, Class A2, (LIBOR USD 3 Month + 1.65%), 4.42%, 10/17/30			1,000		995,449
Series 2014-4RA, Class B, (LIBOR USD 3 Month + 2.20%), 4.97%, 10/17/30			400		394,576
Series 2014-4RA, Class C, (LIBOR USD 3 Month + 3.20%), 5.97%, 10/17/30			1,600		1,568,522
Series 2016-1A, Class A, (LIBOR USD 3 Month + 1.48%), 4.24%, 10/21/28			1,750		1,751,509
Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.40%), 4.18%, 04/18/31			1,000		977,736
Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.65%), 5.43%, 04/18/31			2,250		2,124,155
Series 2018-4A, Class A1, (LIBOR USD 3 Month + 1.15%), 3.58%, 10/17/31			2,700		2,666,153


Security	Par (000)			Value

Asset-Backed Securities (continued)
CIFC Funding Ltd. (continued)
Series 2018-4A, Class B, (LIBOR USD 3 Month + 2.10%), 4.53%, 10/17/31		USD	1,000	$	966,213
Citibank Credit Card Issuance Trust:
Series 2017-A7, Class A7, (LIBOR USD 1 Month + 0.37%), 2.89%, 08/08/24^(a)			2,000		2,001,997
Series 2018-A1, Class A1, 2.49%, 01/20/23			2,000		1,991,430
Clear Creek CLO Ltd.^(a)(b):
Series 2015-1A, Class AR, (LIBOR USD 3 Month + 1.20%), 3.96%, 10/20/30			7,000		6,941,399
Series 2015-1A, Class BR, (LIBOR USD 3 Month + 1.60%), 4.36%, 10/20/30			2,000		1,963,236
CNH Equipment Trust, Series 2016-C, Class A3, 1.44%, 12/15/21			823		815,650
Colony Starwood Homes Trust^(a)(b):
Series 2016-2A, Class D, (LIBOR USD 1 Month + 2.35%), 4.86%, 12/17/33			7,144		7,143,738
Series 2016-2A, Class E, (LIBOR USD 1 Month + 3.35%), 5.86%, 12/17/33			8,232		8,232,439
Conseco Finance Corp.:
Series 1996-5, Class M1, 8.05%, 07/15/27^(c)			1,304		1,299,310
Series 1997-7, Class M1, 7.03%, 07/15/28^(c)			4,556		4,533,810
Series 1998-8, Class A1, 6.28%, 09/01/30			7,172		7,570,503
Conseco Finance Securitizations Corp., Series 2001-4, Class M1, (LIBOR USD 1 Month + 1.75%, 15.00% Cap), 4.27%, 09/01/33^(a)			10,530		10,593,377
Credit Acceptance Auto Loan Trust^(b):
Series 2016-3A, Class A, 2.15%, 04/15/24			1,706		1,699,877
Series 2018-3A, Class A, 3.55%, 08/15/27			1,710		1,724,271
Credit-Based Asset Servicing & Securitization LLC^(a)(b):
Series 2007-CB6, Class A4, (LIBOR USD 1 Month + 0.34%), 2.85%, 07/25/37			2,002		1,294,469
Series 2007-RP1, Class A, (LIBOR USD 1 Month + 0.31%), 2.82%, 05/25/46			6,944		6,016,190
CVC Cordatus Loan Fund VIII DAC^(a):
Series 8X, Class E, (EURIBOR 3 Month + 5.70%), 5.70%, 04/23/30		EUR	300		332,317
Series 8X, Class F, (EURIBOR 3 Month + 7.65%), 4.90%, 04/23/30			154		163,534
CWHEQ Revolving Home Equity Loan Trust, Series 2006-G, Class 2A, (LIBOR USD 1 Month + 0.15%, 16.00% Cap), 2.66%, 10/15/36^(a)		USD	1,283		1,200,130
Dewolf Park Clo Ltd., Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.21%), 4.00%, 10/15/30^(a)(b)			3,000		2,996,749
Discover Card Execution Note Trust:
Series 2017-A5, Class A5, (LIBOR USD 1 Month + 0.60%), 3.11%, 12/15/26^(a)			2,000		2,003,036
Series 2018-A5, Class A5, 3.32%, 03/15/24			1,940		1,966,190
Drive Auto Receivables Trust, Series 2018-2, Class A3, 2.88%, 06/15/21			1,500		1,499,497
Dryden 32 Euro CLO 2014 B.V., Series 2014-32X, Class ER, (EURIBOR 3 Month + 5.29%), 5.29%, 08/15/31^(a)		EUR	460		488,456
Dryden 41 Senior Loan Fund, Series 2015-41A, Class DR, (LIBOR USD 3 Month + 2.60%), 5.39%, 04/15/31^(a)(b)		USD	1,000		936,482


Security	Par (000)			Value

Asset-Backed Securities (continued)
Dryden 50 Senior Loan Fund^(b):
Series 2017-50A, Class C, (LIBOR USD 3 Month + 2.25%), 5.04%, 07/15/30^(a)		USD	1,500	$	1,475,588
Series 2017-50A, Class SUB, 0.00%, 07/15/30^(c)			4,000		2,905,756
Dryden 70 CLO Ltd., Series 2018-70A, Class D, (LIBOR USD 3 Month + 3.75%), 6.59%, 01/16/32^(a)(b)(d)			1,000		960,000
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, (LIBOR USD 3 Month + 3.15%), 5.76%, 08/15/30^(a)(b)			1,500		1,465,737
Elevation CLO Ltd., Series 2013-1A, Class CR, (LIBOR USD 3 Month + 4.68%), 7.29%, 11/15/28^(a)(b)			1,200		1,203,175
Enterprise Fleet Financing LLC^(b):
Series 2016-2, Class A3, 2.04%, 02/22/22			1,480		1,464,982
Series 2017-1, Class A2, 2.13%, 07/20/22			512		509,117
Series 2017-1, Class A3, 2.60%, 07/20/22			650		646,026
Series 2017-3, Class A3, 2.36%, 05/20/23			1,380		1,355,154
Euro-Galaxy V CLO BV, Series 2016-5X, Class E, (EURIBOR 3 Month + 6.30%), 6.30%, 11/10/30^(a)		EUR	300		343,721
Fillmore Park CLO Ltd., Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.90%), 5.69%, 07/15/30^(a)(b)		USD	770		724,222
First Franklin Mortgage Loan Trust^(a):
Series 2006-FF9, Class 2A4, (LIBOR USD 1 Month + 0.25%), 2.76%, 06/25/36			1,450		1,257,056
Series 2006-FF17, Class A5, (LIBOR USD 1 Month + 0.15%), 2.66%, 12/25/36			4,596		3,919,742
Series 2006-FFH1, Class M1, (LIBOR USD 1 Month + 0.37%), 2.88%, 01/25/36			10,000		9,780,193
Ford Credit Floorplan Master Owner Trust A, Series 2013-2, Class A, 2.09%, 03/15/22^(b)			1,900		1,882,063
Galaxy XIX CLO Ltd., Series 2015-19A, Class A1R, (LIBOR USD 3 Month + 1.22%), 4.00%, 07/24/30^(a)(b)			15,078		15,025,482
Galaxy XV CLO Ltd., Series 2013-15A, Class AR, (LIBOR USD 3 Month + 1.20%), 3.99%, 10/15/30^(a)(b)			2,500		2,487,741
Galaxy XVIII CLO Ltd.^(a)(b):
Series 2018-28A, Class A1, (LIBOR USD 3 Month + 1.10%), 3.89%, 07/15/31			13,250		13,095,941
Series 2018-28A, Class D, (LIBOR USD 3 Month + 3.00%), 5.79%, 07/15/31			1,000		945,008
Galaxy XX CLO Ltd.^(a)(b):
Series 2015-20A, Class CR, (LIBOR USD 3 Month + 1.75%), 4.51%, 04/20/31			1,000		950,529
Series 2015-20A, Class D1R, (LIBOR USD 3 Month + 2.60%), 5.36%, 04/20/31			1,800		1,684,538
Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, (LIBOR USD 3 Month + 2.40%), 5.02%, 11/15/26^(a)(b)			4,365		4,133,982
Galaxy XXV CLO Ltd., Series 2018-25A, Class D, (LIBOR USD 3 Month + 3.10%), 5.44%, 10/25/31^(a)(b)			1,000		962,060
Galaxy XXVII CLO Ltd.^(a)(b):
Series 2017-24A, Class C, (LIBOR USD 3 Month + 1.70%), 4.49%, 01/15/31			500		470,952
Series 2018-27A, Class A, (LIBOR USD 3 Month + 1.02%), 3.65%, 05/16/31			7,000		6,890,186


Security	Par (000)			Value

Asset-Backed Securities (continued)
GoldenTree Loan Management US CLO 1 Ltd.^(a)(b):
Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.20%), 4.96%, 04/20/29		USD	2,000	$	1,967,090
Series 2017-1A, Class D, (LIBOR USD 3 Month + 3.35%), 6.11%, 04/20/29			750		738,169
GoldenTree Loan Management US CLO 3 Ltd.^(a)(b):
Series 2018-3A, Class AJ, (LIBOR USD 3 Month + 1.30%), 4.06%, 04/20/30			2,000		1,974,390
Series 2018-3A, Class C, (LIBOR USD 3 Month + 1.90%), 4.66%, 04/20/30			500		477,188
GoldenTree Loan Opportunities IX Ltd.^(a)(b):
Series 2014-9A, Class AR2, (LIBOR USD 3 Month + 1.11%), 3.86%, 10/29/29			17,500		17,389,202
Series 2014-9A, Class BR2, (LIBOR USD 3 Month + 1.60%), 4.35%, 10/29/29			900		888,635
GoldenTree Loan Opportunities X Ltd., Series 2015-10A, Class AR, (LIBOR USD 3 Month + 1.12%), 3.88%, 07/20/31^(a)(b)			3,300		3,266,485
GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (LIBOR USD 3 Month + 1.07%), 3.85%, 01/18/31^(a)(b)			2,188		2,171,751
GPARK_17, Class A, (LIBOR USD 3 Month + 1.19%), 3.98%, 10/15/30^(a)			2,250		2,237,581
Greenpoint Manufactured Housing, Series 2000-1, Class A4, 8.14%, 03/20/30^(c)			7,936		7,906,302
Greenwood Park CLO Ltd., Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.50%), 5.29%, 04/15/31^(a)(b)			1,400		1,307,755
Greywolf CLO V Ltd., Series 2015-1A, Class CR, (LIBOR USD 3 Month + 3.00%), 5.77%, 01/27/31^(a)(b)			1,000		945,027
Grippen Park CLO Ltd.:
Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.26%), 4.02%, 01/20/30^(a)(b)			2,000		2,003,054
Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.30%), 5.06%, 01/20/30^(a)(b)			1,000		991,292
GSAA Home Equity Trust, Series 2006-18, Class AF6, 5.68%, 11/25/36^(e)			4,233		1,846,984
GSAMP Trust, Series 2006-HE6, Class A4, (LIBOR USD 1 Month + 0.24%), 2.75%, 08/25/36^(a)			2,238		1,892,946
GT Loan Financing I Ltd., Series 2013-1A, Class CR, (LIBOR USD 3 Month + 2.10%), 4.86%, 07/28/31^(a)(b)			1,000		970,999
Harvest CLO XVI DAC, Series 16X, Class ER, (EURIBOR 3 Month + 5.57%), 5.57%, 10/15/31^(a)		EUR	235		247,986
Highbridge Loan Management Ltd.^(a)(b):
Series 12A-18, Class A2, (LIBOR USD 3 Month + 1.50%), 4.28%, 07/18/31		USD	1,000		973,178
Series 12A-18, Class B, (LIBOR USD 3 Month + 1.85%), 4.63%, 07/18/31			1,000		939,127
Series 4A-2014, Class BR, (LIBOR USD 3 Month + 1.85%), 4.61%, 01/28/30			1,000		952,153
Series 6A-2015, Class A1R, (LIBOR USD 3 Month + 1.00%), 3.58%, 02/05/31			2,400		2,370,227
Series 6A-2015, Class BR, (LIBOR USD 3 Month + 1.75%), 4.33%, 02/05/31			1,100		1,035,886
Series 6A-2015, Class CR, (LIBOR USD 3 Month + 2.50%), 5.08%, 02/05/31			1,250		1,148,201


Security	Par (000)			Value

Asset-Backed Securities (continued)
Highbridge Loan Management Ltd. (continued)
Series 7A-2015, Class CR, (LIBOR USD 3 Month + 1.70%), 4.31%, 03/15/27		USD	1,050	$	1,023,741
Series 7A-2015, Class DR, (LIBOR USD 3 Month + 2.40%), 5.01%, 03/15/27			1,000		929,270
Series 8A-2016, Class CR, (LIBOR USD 3 Month + 1.95%), 4.73%, 07/20/30			1,000		949,441
Series 8A-2016, Class DR, (LIBOR USD 3 Month + 2.90%), 5.66%, 07/20/30			1,000		935,239
Honda Auto Receivables Owner Trust:
Series 2016-4, Class A4, 1.36%, 01/18/23			2,760		2,715,436
Series 2017-1, Class A4, 2.05%, 06/21/23			3,180		3,142,692
Series 2017-4, Class A4, 2.21%, 03/21/24			2,190		2,161,948
Series 2018-1, Class A4, 2.83%, 05/15/24			2,330		2,327,590
Series 2018-2, Class A4, 3.16%, 08/19/24			2,000		2,015,573
Hyundai Floorplan Master Owner Trust, Series 2016-1A, Class A2, 1.81%, 03/15/21^(b)			420		419,470
Invitation Homes Trust^(a)(b):
Series 2018-SFR1, Class F, (LIBOR USD 1 Month + 2.50%), 5.01%, 03/17/37			1,650		1,633,397
Series 2018-SFR2, Class F, (LIBOR USD 1 Month + 2.25%), 4.76%, 06/17/37			22,010		21,706,797
Series 2018-SFR3, Class A, (LIBOR USD 1 Month + 1.00%), 3.51%, 07/17/37			5,962		5,941,189
Series 2018-SFR3, Class E, (LIBOR USD 1 Month + 2.00%), 4.51%, 07/17/37			5,090		5,038,553
Series 2018-SFR3, Class F, (LIBOR USD 1 Month + 2.25%), 4.76%, 07/17/37			19,055		18,788,602
Series 2018-SFR4, Class A, (LIBOR USD 1 Month + 1.10%), 3.61%, 01/17/38			3,119		3,132,265
JP Morgan Mortgage Acquisition Trust, Series 2006-CH1, Class M7, (LIBOR USD 1 Month + 0.80%), 3.31%, 07/25/36^(a)			2,975		2,725,623
LCM 26 Ltd., Series 26A, Class A1, (LIBOR USD 3 Month + 1.07%), 3.83%, 01/20/31^(a)(b)			5,000		4,957,546
LCM Loan Income Fund I Income Note Issuer Ltd., Series 27A, Class A1, (LIBOR USD 3 Month + 1.08%), 3.86%, 07/16/31^(a)(b)			4,080		4,046,788
LCM XIV LP^(a)(b):
Series 14A, Class BR, (LIBOR USD 3 Month + 1.58%), 4.34%, 07/20/31			1,500		1,478,280
Series 14A, Class CR, (LIBOR USD 3 Month + 1.85%), 4.61%, 07/20/31			1,000		956,046
LCM XV LP, Series 15A, Class CR, (LIBOR USD 3 Month + 2.40%), 5.16%, 07/20/30^(a)(b)			1,500		1,481,837
LCM XX LP, Series 20A, Class AR, (LIBOR USD 3 Month + 1.04%), 3.80%, 10/20/27^(a)(b)			1,400		1,394,071
LCM XXIV Ltd., Series 24A, Class C, (LIBOR USD 3 Month + 2.25%), 5.01%, 03/20/30^(a)(b)			500		490,352
LCM XXV Ltd., Series 25A, Class B2, (LIBOR USD 3 Month + 1.65%), 4.41%, 07/20/30^(a)(b)			350		347,210
Long Beach Mortgage Loan Trust^(a):
Series 2005-3, Class 1A, (LIBOR USD 1 Month + 0.52%), 3.03%, 08/25/45			2,670		2,572,259
Series 2006-4, Class 1A, (LIBOR USD 1 Month + 0.15%), 2.66%, 05/25/36			31,580		20,821,257
Series 2006-6, Class 2A3, (LIBOR USD 1 Month + 0.15%), 2.66%, 07/25/36			7,281		3,630,309
Series 2006-7, Class 1A, (LIBOR USD 1 Month + 0.16%), 2.67%, 08/25/36			8,909		5,496,720


Security	Par (000)			Value

Asset-Backed Securities (continued)
Long Beach Mortgage Loan Trust (continued)
Series 2006-10, Class 2A3, (LIBOR USD 1 Month + 0.16%), 2.67%, 11/25/36		USD	4,823	$	1,971,948
Series 2006-10, Class 2A4, (LIBOR USD 1 Month + 0.22%), 2.73%, 11/25/36			4,627		1,908,892
Madison Park Funding X Ltd.^(a)(b):
Series 2012-10A, Class AR, (LIBOR USD 3 Month + 1.45%), 4.21%, 01/20/29			12,500		12,512,573
Series 2012-10A, Class DR, (LIBOR USD 3 Month + 4.20%), 6.96%, 01/20/29			2,370		2,371,493
Series 2012-10A, Class ER, (LIBOR USD 3 Month + 7.62%), 10.38%, 01/20/29			1,000		997,170
Madison Park Funding XII Ltd., Series 2014-12A, Class AR, (LIBOR USD 3 Month + 1.26%), 4.02%, 07/20/26^(a)(b)			589		589,430
Madison Park Funding XIII Ltd., Series 2014-13A, Class DR2, (LIBOR USD 3 Month + 2.85%), 5.61%, 04/19/30^(a)(b)			1,000		963,528
Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (LIBOR USD 3 Month + 2.20%), 4.96%, 01/27/26^(a)(b)			1,450		1,447,896
Madison Park Funding XVIII Ltd., Series 2015-18A, Class A1R, (LIBOR USD 3 Month + 1.19%), 3.95%, 10/21/30^(a)(b)			7,500		7,455,083
Madison Park Funding XX Ltd., Series 2016-20A, Class DR, (LIBOR USD 3 Month + 3.00%), 5.76%, 07/27/30^(a)(b)			1,315		1,270,217
Madison Park Funding XXV Ltd., Series 2017-25A, Class A1, (LIBOR USD 3 Month + 1.18%), 3.95%, 04/25/29^(a)(b)			2,500		2,495,155
Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, (LIBOR USD 3 Month + 1.20%), 3.95%, 07/29/30^(a)(b)			3,500		3,473,738
Madison Park Funding XXVII Ltd.^(a)(b):
Series 2018-27A, Class A1A, (LIBOR USD 3 Month + 1.03%), 3.79%, 04/20/30			3,000		2,968,741
Series 2018-27A, Class B, (LIBOR USD 3 Month + 1.80%), 4.56%, 04/20/30			1,000		953,653
Series 2018-27A, Class C, (LIBOR USD 3 Month + 2.60%), 5.36%, 04/20/30			1,000		938,640
Madison Park Funding XXX Ltd., Series 2018-30A, Class D, (LIBOR USD 3 Month + 2.50%), 5.29%, 04/15/29^(a)(b)			1,500		1,434,047
Madison Park Funding XXXI Ltd.^(a)(b):
Series 2018-31A, Class C, (LIBOR USD 3 Month + 2.15%), 4.93%, 01/23/31			600		582,396
Series 2018-31A, Class D, (LIBOR USD 3 Month + 3.00%), 5.78%, 01/23/31			750		721,726
Marble Point CLO XI Ltd.^(a)(b):
Series 2017-2A, Class A, (LIBOR USD 3 Month + 1.18%), 3.96%, 12/18/30			8,000		7,920,450
Series 2017-2A, Class B, (LIBOR USD 3 Month + 1.50%), 4.28%, 12/18/30			1,500		1,461,250
MASTR Asset-Backed Securities Trust, Series 2006-AM2, Class A4, (LIBOR USD 1 Month + 0.26%), 2.77%, 06/25/36^(a)(b)			3,569		3,186,011
Mercedes-Benz Master Owner Trust, Series 2018-BA, Class A, (LIBOR USD 1 Month + 0.34%), 2.85%, 05/15/23^(a)(b)			2,000		1,995,424
Mill City Mortgage Loan Trust, Series 2016-1, Class A1, (LIBOR USD 1 Month + 0.00%), 2.50%, 04/25/57^(a)(b)			1,826		1,791,330


Security	Par (000)			Value

Asset-Backed Securities (continued)
Mill Creek II CLO Ltd.^(a)(b):
Series 2016-1A, Class C, (LIBOR USD 3 Month + 3.35%), 6.11%, 04/20/28		USD	1,000	$	1,000,893
Series 2016-1A, Class D, (LIBOR USD 3 Month + 4.85%), 7.61%, 04/20/28			1,000		1,000,313
Morgan Stanley Mortgage Loan Trust, Series 2007-1XS, Class 2A3, 5.92%, 09/25/46^(e)			756		313,856
MP CLO III Ltd., Series 2013-1A, Class AR, (LIBOR USD 3 Month + 1.25%), 4.01%, 10/20/30^(a)(b)			8,250		8,218,887
Navient Private Education Loan Trust, Series 2015-AA, Class A2B, (LIBOR USD 1 Month + 1.20%), 3.71%, 12/15/28^(a)(b)			1,234		1,245,061
Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class DR, (LIBOR USD 3 Month + 3.65%), 6.41%, 04/22/29^(a)(b)			750		744,279
Neuberger Berman CLO XVIII Ltd.^(a)(b):
Series 2014-18A, Class BR2, (LIBOR USD 3 Month + 2.15%), 4.91%, 10/21/30			1,500		1,453,911
Series 2014-18A, Class CR2, (LIBOR USD 3 Month + 3.00%), 5.76%, 10/21/30			1,250		1,197,454
Neuberger Berman CLO XXII Ltd.^(a)(b):
Series 2016-22A, Class BR, (LIBOR USD 3 Month + 1.65%), 4.42%, 10/17/30			800		790,392
Series 2016-22A, Class CR, (LIBOR USD 3 Month + 2.20%), 4.97%, 10/17/30			1,000		970,162
Series 2016-22A, Class DR, (LIBOR USD 3 Month + 3.10%), 5.87%, 10/17/30			3,000		2,823,758
Neuberger Berman CLO XXIII Ltd.^(a)(b):
Series 2016-23A, Class CR, (LIBOR USD 3 Month + 2.15%), 4.92%, 10/17/27			700		687,266
Series 2016-23A, Class DR, (LIBOR USD 3 Month + 2.90%), 5.67%, 10/17/27			600		571,943
Neuberger Berman Loan Advisers CLO 26 Ltd.^(a)(b):
Series 2017-26A, Class A, (LIBOR USD 3 Month + 1.17%), 3.95%, 10/18/30			7,500		7,455,724
Series 2017-26A, Class B, (LIBOR USD 3 Month + 1.50%), 4.28%, 10/18/30			1,500		1,474,128
Neuberger Berman Loan Advisers CLO 27 Ltd., Series 2018-27A, Class D, (LIBOR USD 3 Month + 2.60%), 5.39%, 01/15/30^(a)(b)			1,000		936,394
Neuberger Berman Loan Advisers CLO 28 Ltd., Series 2018-28A, Class D, (LIBOR USD 3 Month + 2.85%), 5.61%, 04/20/30^(a)(b)			500		473,742
Nissan Auto Receivables Owner Trust:
Series 2017-C, Class A3, 2.12%, 04/18/22			2,560		2,534,989
Series 2018-A, Class A3, 2.65%, 05/16/22			2,040		2,033,394
Nissan Master Owner Trust Receivables:
Series 2016-A, Class A2, 1.54%, 06/15/21			1,930		1,919,315
Series 2017-B, Class A, (LIBOR USD 1 Month + 0.43%), 2.94%, 04/18/22^(a)			1,955		1,957,357
Series 2017-C, Class A, (LIBOR USD 1 Month + 0.32%), 2.83%, 10/17/22^(a)			1,960		1,959,230
Oak Hill Credit Partners XII Ltd., Series 2015-12A, Class DR, (LIBOR USD 3 Month + 2.90%), 5.67%, 07/23/30^(a)(b)			1,000		945,186
Oak Hill Credit Partners X-R Ltd.^(a)(b):
Series 2014-10RA, Class B, (LIBOR USD 3 Month + 1.75%), 4.53%, 12/12/30			2,150		2,130,423
Series 2014-10RA, Class C, (LIBOR USD 3 Month + 2.20%), 4.98%, 12/12/30			1,300		1,260,553


Security	Par (000)			Value

Asset-Backed Securities (continued)
Oaktree CLO Ltd., Series 2014-2A, Class A1AR, (LIBOR USD 3 Month + 1.22%), 3.98%, 10/20/26^(a)(b)		USD	883	$	883,270
Oakwood Mortgage Investors, Inc.:
Series 1998-D, Class M1, 7.42%, 01/15/29^(b)			1,180		1,194,612
Series 1999-C, Class A2, 7.48%, 08/15/27			5,237		5,057,017
Series 2001-D, Class A3, 5.90%, 09/15/22^(c)			485		378,548
Series 2002-B, Class A4, 7.09%, 06/15/32^(c)			88		94,445
OCP CLO Ltd., Series 2016-11A, Class A1AR, (LIBOR USD 3 Month + 1.27%), 4.03%, 10/26/30^(a)(b)			1,000		995,123
OCP Euro CLO DAC^(a):
Series 2017-2X, Class E, (EURIBOR 3 Month + 5.00%), 5.00%, 01/15/32		EUR	298		313,413
Series 2017-2X, Class F, (EURIBOR 3 Month + 6.40%), 6.40%, 01/15/32			200		198,206
OCP Euro DAC, Series 2017-1X, Class E, (EURIBOR 3 Month + 5.35%), 5.35%, 06/18/30^(a)			400		433,306
Octagon Investment Partners 26 Ltd^(a):
Series 2016-1, Class AR, (LIBOR USD 3 Month + 1.80%), 4.59%, 04/20/31		USD	2,250		2,132,188
Series 2016-1, Class AR, (LIBOR USD 3 Month + 2.85%), 5.64%, 04/20/31			1,250		1,190,399
Octagon Investment Partners 30 Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 3.50%), 6.26%, 03/17/30^(a)(b)			750		740,733
Octagon Investment Partners 32 Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.25%), 5.04%, 07/15/29^(a)(b)			1,000		989,683
Octagon Investment Partners 34 Ltd., Series 2017-1A, Class B1, (LIBOR USD 3 Month + 1.40%), 4.16%, 01/20/30^(a)(b)			2,000		1,953,488
Octagon Investment Partners 35 Ltd., Series 2018-1A, Class C, (LIBOR USD 3 Month + 2.60%), 5.36%, 01/20/31^(a)(b)			1,000		942,423
Octagon Investment Partners 37 Ltd., Series 2018-2A, Class B, (LIBOR USD 3 Month + 1.75%), 4.52%, 07/25/30^(a)(b)			1,500		1,425,604
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class A1AR, (LIBOR USD 3 Month + 1.17%), 3.96%, 07/15/29^(a)(b)			2,200		2,194,437
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, (LIBOR USD 3 Month + 1.00%), 3.77%, 01/25/31^(a)(b)			2,000		1,977,430
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, (LIBOR USD 3 Month + 2.75%), 5.51%, 01/22/30^(a)(b)			1,750		1,664,988
Octagon Loan Funding Ltd.^(a)(b):
Series 2014-1A, Class ARR, (LIBOR USD 3 Month + 1.18%), 3.82%, 11/18/31			13,500		13,438,694
Series 2014-1A, Class BRR, (LIBOR USD 3 Month + 1.70%), 4.34%, 11/18/31			1,500		1,483,126
OHA Credit Partners XI Ltd., Series 2015-11A, Class DR, (LIBOR USD 3 Month + 2.95%), 5.71%, 01/20/32^(a)(b)			400		381,250
OHA Credit Partners XIV Ltd., Series 2017-14A, Class B, (LIBOR USD 3 Month + 1.50%), 4.26%, 01/21/30^(a)(b)			1,000		977,631


Security	Par (000)			Value

Asset-Backed Securities (continued)
OHA Loan Funding Ltd., Series 2015-1A, Class AR, (LIBOR USD 3 Month + 1.41%), 4.02%, 08/15/29^(a)(b)		USD	1,000	$	1,001,634
OZLM Funding IV Ltd., Series 2013-4A, Class BR, (LIBOR USD 3 Month + 2.20%), 4.96%, 10/22/30^(a)(b)			1,500		1,455,433
OZLM VI Ltd.^(a)(b):
Series 2014-6A, Class A2AS, (LIBOR USD 3 Month + 1.75%), 4.52%, 04/17/31			1,400		1,395,343
Series 2014-6A, Class B1S, (LIBOR USD 3 Month + 2.10%), 4.87%, 04/17/31			1,000		975,348
Series 2014-6A, Class CS, (LIBOR USD 3 Month + 3.13%), 5.90%, 04/17/31			1,200		1,159,870
OZLM XI Ltd., Series 2015-11A, Class A1R, (LIBOR USD 3 Month + 1.25%), 4.00%, 10/30/30^(a)(b)			8,750		8,705,946
OZLM XIX Ltd.^(a)(b):
Series 2017-19A, Class A1, (LIBOR USD 3 Month + 1.22%), 4.01%, 11/22/30			10,000		9,994,099
Series 2017-19A, Class C, (LIBOR USD 3 Month + 3.10%), 5.89%, 11/22/30			1,000		964,542
OZLM XX Ltd., Series 2018-20A, Class B, (LIBOR USD 3 Month + 1.95%), 4.71%, 04/20/31^(a)(b)			1,500		1,442,106
OZLME BV, Series 1X, Class E, (EURIBOR 3 Month + 6.45%), 6.45%, 01/18/30^(a)		EUR	238		272,612
OZLME II DAC, Series 2X, Class E, (EURIBOR 3 Month + 4.90%), 4.90%, 10/15/30^(a)			148		153,470
Palmer Square CLO Ltd.^(a)(b):
Series 2013-2A, Class A2RR, (LIBOR USD 3 Month + 1.75%), 4.52%, 10/17/31		USD	1,350		1,336,458
Series 2013-2A, Class AARR, (LIBOR USD 3 Month + 1.20%), 3.97%, 10/17/31			500		496,684
Series 2013-2A, Class BRR, (LIBOR USD 3 Month + 2.20%), 4.97%, 10/17/31			800		778,333
Series 2013-2A, Class CRR, (LIBOR USD 3 Month + 3.20%), 5.97%, 10/17/31			800		773,970
Series 2014-1A, Class CR2, (LIBOR USD 3 Month + 2.65%), 5.42%, 01/17/31			500		472,489
Series 2014-1A, Class DR2, (LIBOR USD 3 Month + 5.70%), 8.47%, 01/17/31			1,500		1,382,256
Series 2015-2A, Class A1AR, (LIBOR USD 3 Month + 1.27%), 4.05%, 07/20/30			1,000		998,844
Series 2018-1A, Class A1, (LIBOR USD 3 Month + 1.03%), 3.81%, 04/18/31			12,500		12,326,254
Series 2018-1A, Class A2, (LIBOR USD 3 Month + 1.45%), 4.23%, 04/18/31			3,000		2,926,490
Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.75%), 4.53%, 04/18/31			1,000		948,212
Series 2018-1A, Class C, (LIBOR USD 3 Month + 2.50%), 5.28%, 04/18/31			1,000		928,150
Series 2018-2A, Class A1A, (LIBOR USD 3 Month + 1.10%), 3.88%, 07/16/31			3,000		2,965,247
Park Avenue Institutional Advisers CLO Ltd., Series 2016-1A, Class A2R, (LIBOR USD 3 Month + 1.80%), 4.48%, 08/23/31^(a)(b)			2,600		2,572,801
PFS Financing Corp., Series 2016-BA, Class A, 1.87%, 10/15/21^(b)			830		822,720
Progress Residential Trust^(b):
Series 2015-SFR3, Class F, 6.64%, 11/12/32			1,625		1,663,359
Series 2016-SFR2, Class E, (LIBOR USD 1 Month + 3.55%), 6.06%, 01/17/34^(a)			7,809		7,808,948


Security	Par (000)			Value

Asset-Backed Securities (continued)
Progress Residential Trust (continued)
Series 2018-SFR3, Class F, 5.37%, 10/17/35		USD	30,710	$	31,013,817
Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, (LIBOR USD 3 Month + 1.21%), 4.00%, 10/15/30^(a)(b)			8,000		7,992,723
Regatta VII Funding Ltd.^(a)(b):
Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.00%), 4.79%, 12/20/28			750		725,844
Series 2016-1A, Class DR, (LIBOR USD 3 Month + 2.75%), 5.54%, 12/20/28			1,000		942,083
Rockford Tower CLO Ltd.^(a)(b):
Series 2017-2A, Class C, (LIBOR USD 3 Month + 2.30%), 5.09%, 10/15/29			1,000		980,577
Series 2017-3A, Class A, (LIBOR USD 3 Month + 1.19%), 3.95%, 10/20/30			17,000		16,836,683
Series 2017-3A, Class E, (LIBOR USD 3 Month + 5.75%), 8.51%, 10/20/30			1,180		1,099,022
Series 2018-1A, Class A, (LIBOR USD 3 Month + 1.10%), 3.74%, 05/20/31			7,000		6,894,278
Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.72%), 4.36%, 05/20/31			1,000		985,704
Series 2018-2A, Class A, (LIBOR USD 3 Month + 1.16%), 3.59%, 10/20/31			3,500		3,452,240
Series 2018-2A, Class B, (LIBOR USD 3 Month + 1.80%), 4.23%, 10/20/31			1,125		1,112,533
Series 2018-2A, Class C, (LIBOR USD 3 Month + 2.20%), 4.63%, 10/20/31			700		670,882
Series 2018-2A, Class D, (LIBOR USD 3 Month + 3.10%), 5.53%, 10/20/31			600		568,099
RR 3 Ltd., Series 2018-3A, Class A1R2, (LIBOR USD 3 Month + 1.09%), 3.88%, 01/15/30^(a)(b)			4,500		4,460,707
RR 5 Ltd., Series 2018-5A, Class B, (LIBOR USD 3 Month + 2.25%), 5.04%, 10/15/31^(a)(b)			1,250		1,200,581
Santander Drive Auto Receivables Trust, Series 2014-4, Class D, 3.10%, 11/16/20			579		578,543
SLM Private Education Loan Trust^(b):
Series 2011-B, Class A2, 3.74%, 02/15/29			200		200,543
Series 2013-A, Class A2A, 1.77%, 05/17/27			47		46,490
Series 2013-B, Class A2A, 1.85%, 06/17/30			260		258,559
Series 2013-B, Class A2B, (LIBOR USD 1 Month + 1.10%), 3.61%, 06/17/30^(a)			464		464,888
SMB Private Education Loan Trust^(b):
Series 2014-A, Class A2A, 3.05%, 05/15/26			1,283		1,277,764
Series 2015-C, Class A2B, (LIBOR USD 1 Month + 1.40%), 3.91%, 07/15/27^(a)			1,378		1,400,195
Series 2016-A, Class A2A, 2.70%, 05/15/31			727		719,165
Series 2016-B, Class A2A, 2.43%, 02/17/32			841		822,831
Series 2016-C, Class A2A, 2.34%, 09/15/34			1,895		1,834,210
Series 2017-A, Class A2B, (LIBOR USD 1 Month + 0.90%), 3.41%, 09/15/34^(a)			1,620		1,621,026
Series 2018-A, Class A2A, 3.50%, 02/15/36			1,170		1,173,541
Series 2018-B, Class A2B, (LIBOR USD 1 Month + 0.72%), 3.23%, 01/15/37^(a)			770		762,613
SoFi Professional Loan Program LLC^(b):
Series 2015-D, Class A2, 2.72%, 10/27/36			923		911,749
Series 2016-A, Class A1, (LIBOR USD 1 Month + 1.75%), 4.26%, 08/25/36^(a)			1,235		1,254,610
Series 2016-C, Class A2B, 2.36%, 12/27/32			420		412,195
Series 2016-D, Class A2B, 2.34%, 04/25/33			562		550,152
Series 2017-F, Class A2FX, 2.84%, 01/25/41			2,250		2,207,295
Series 2018-A, Class A2A, 2.39%, 02/25/42			976		968,069


Security	Par (000)			Value

Asset-Backed Securities (continued)
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (LIBOR USD 3 Month + 1.07%), 3.83%, 01/26/31^(a)(b)		USD	3,400	$	3,371,719
Sound Point CLO IV-R Ltd., Series 2013-3RA, Class A, (LIBOR USD 3 Month + 1.15%), 3.93%, 04/18/31^(a)(b)			6,000		5,970,130
Sound Point CLO XII Ltd., Series 2016-2A, Class D, (LIBOR USD 3 Month + 4.25%), 7.01%, 10/20/28^(a)(b)			1,000		1,000,176
Sound Point CLO XXI Ltd., Series 2018-3A, Class A1A, (LIBOR USD 3 Month + 1.18%), 3.59%, 10/26/31^(a)(b)			6,600		6,564,939
Sound Point CLO XXII Ltd., Series 2019-1A, Class A, (LIBOR USD 3 Month + 1.37%), 0.00%, 01/20/32^(a)(b)			3,000		2,995,500
Stewart Park CLO Ltd., Series 2015-1A, Class DR, (LIBOR USD 3 Month + 2.60%), 5.39%, 01/15/30^(a)(b)			1,700		1,612,942
Symphony CLO XII Ltd., Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.03%), 3.82%, 10/15/25^(a)(b)			877		875,531
Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (LIBOR USD 3 Month + 4.00%), 6.77%, 01/23/28^(a)(b)			1,000		975,647
TCI-Cent Clo Ltd., Series 2016-1A, Class A2, (LIBOR USD 3 Month + 2.20%), 4.96%, 12/21/29^(a)(b)			4,000		4,011,378
THL Credit Wind River CLO Ltd.^(a)(b):
Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.34%), 4.12%, 04/18/29			1,500		1,500,421
Series 2017-2A, Class A, (LIBOR USD 3 Month + 1.23%), 3.99%, 07/20/30			10,000		9,976,875
TIAA CLO III Ltd., Series 2017-2A, Class A, (LIBOR USD 3 Month + 1.15%), 3.93%, 01/16/31^(a)(b)			10,000		9,888,765
TIAA CLO IV Ltd., Series 2018-1A, Class A2, (LIBOR USD 3 Month + 1.70%), 4.52%, 01/20/32^(a)(b)			1,000		980,513
TICP CLO IX Ltd.^(a)(b):
Series 2017-9A, Class A, (LIBOR USD 3 Month + 1.14%), 3.90%, 01/20/31			750		743,721
Series 2017-9A, Class B, (LIBOR USD 3 Month + 1.60%), 4.36%, 01/20/31			1,000		983,802
TICP CLO VII Ltd., Series 2017-7A, Class C, (LIBOR USD 3 Month + 2.60%), 5.39%, 07/15/29^(a)(b)			1,750		1,750,159
TICP CLO XI Ltd.^(a)(b):
Series 2018-11A, Class A, (LIBOR USD 3 Month + 1.18%), 3.62%, 10/20/31			3,000		2,972,399
Series 2018-11A, Class C, (LIBOR USD 3 Month + 2.15%), 4.59%, 10/20/31			1,200		1,160,423
Series 2018-11A, Class D, (LIBOR USD 3 Month + 3.05%), 5.49%, 10/20/31			1,100		1,061,562
TICP CLO XII Ltd.^(a)(b):
Series 2018-12A, Class A, (LIBOR USD 3 Month + 1.11%), 3.92%, 01/15/31			7,800		7,752,619
Series 2018-12A, Class C, (LIBOR USD 3 Month + 2.00%), 4.81%, 01/15/31			500		485,606
Series 2018-12A, Class D, (LIBOR USD 3 Month + 2.80%), 5.61%, 01/15/31^(d)			1,000		937,500
Towd Point Mortgage Trust^(b)(c):
Series 2016-3, Class A1, 2.25%, 04/25/56			1,129		1,104,280
Series 2016-4, Class A1, 2.25%, 07/25/56			2,187		2,128,730


Security	Par (000)			Value

Asset-Backed Securities (continued)
Toyota Auto Receivables Owner Trust:
Series 2017-C, Class A4, 1.98%, 12/15/22		USD	2,000	$	1,963,419
Series 2017-D, Class A4, 2.12%, 02/15/23			1,250		1,228,568
Series 2018-B, Class A3, 2.96%, 09/15/22			2,000		2,005,449
Treman Park CLO Ltd., Series 2015-1A, Class DRR, (LIBOR USD 3 Month + 2.65%), 5.41%, 10/20/28^(a)(b)			1,000		973,523
Tricon American Homes Trust, Series 2017-SFR2, Class F, 5.10%, 01/17/36^(b)			7,938		7,947,049
Tryon Park CLO Ltd., Series 2013-1A, Class A1SR, (LIBOR USD 3 Month + 0.89%), 3.68%, 04/15/29^(a)(b)			1,400		1,385,658
Unique Pub Finance Co. plc (The), Series A4, 5.66%, 06/30/27		GBP	830		1,169,778
Venture XXIV CLO Ltd., Series 2016-24A, Class A1P, (LIBOR USD 3 Month + 1.56%), 4.32%, 10/20/28^(a)(b)		USD	3,750		3,753,419
Vibrant Clo V Ltd., Series 2016-5A, Class C, (LIBOR USD 3 Month + 2.80%), 5.56%, 01/20/29^(a)(b)			1,000		1,000,060
Voya CLO Ltd.^(a)(b):
Series 2014-1A, Class BR2, (LIBOR USD 3 Month + 1.90%), 4.68%, 04/18/31			1,000		962,863
Series 2014-1A, Class CR2, (LIBOR USD 3 Month + 2.80%), 5.58%, 04/18/31			1,000		953,694
Series 2014-4A, Class BR2, (LIBOR USD 3 Month + 2.09%), 4.89%, 07/14/31			500		483,788
Series 2016-2A, Class D, (LIBOR USD 3 Month + 6.95%), 9.71%, 07/19/28			1,500		1,491,240
Series 2017-3A, Class C, (LIBOR USD 3 Month + 3.55%), 6.31%, 07/20/30			900		900,967
Series 2018-1A, Class C, (LIBOR USD 3 Month + 2.60%), 5.36%, 04/19/31			2,000		1,873,668
Series 2018-3A, Class A1A, (LIBOR USD 3 Month + 1.15%), 3.61%, 10/15/31			3,300		3,278,626
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE1, Class A, (LIBOR USD 1 Month + 0.14%), 2.65%, 07/25/37^(a)(b)			3,716		3,537,434
Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE5, Class 1A, (LIBOR USD 1 Month + 0.16%), 2.67%, 10/25/36^(a)			20,461		16,601,927
Webster Park CLO Ltd.^(a)(b):
Series 2015-1A, Class A1BR, (LIBOR USD 3 Month + 1.35%), 4.11%, 07/20/30			3,800		3,796,124
Series 2015-1A, Class CR, (LIBOR USD 3 Month + 2.90%), 5.66%, 07/20/30			1,000		955,516
Wellfleet CLO Ltd., Series 2017-1A, Class A1, (LIBOR USD 3 Month + 1.32%), 4.08%, 04/20/29^(a)(b)			2,000		1,998,213
Westcott Park CLO Ltd., Series 2016-1A, Class D, (LIBOR USD 3 Month + 4.35%), 7.11%, 07/20/28^(a)(b)			500		505,121
Wheels SPV 2 LLC, Series 2016-1A, Class A2, 1.59%, 05/20/25^(b)			49		48,512
York CLO-1 Ltd.^(a)(b):
Series 2014-1A, Class ARR, (LIBOR USD 3 Month + 1.12%), 3.88%, 10/22/29			7,300		7,231,344
Series 2014-1A, Class BRR, (LIBOR USD 3 Month + 1.65%), 4.41%, 10/22/29			2,100		2,076,037
Series 2014-1A, Class CRR, (LIBOR USD 3 Month + 2.10%), 4.86%, 10/22/29			1,300		1,272,761


Security	Par (000)				Value

Asset-Backed Securities (continued)
York CLO-1 Ltd. (continued)
Series 2014-1A, Class DRR, (LIBOR USD 3 Month + 3.01%), 5.77%, 10/22/29		USD		2,800	$	2,675,090
York CLO-2 Ltd.^(a)(b):
Series 2015-1A, Class AR, (LIBOR USD 3 Month + 1.15%), 3.91%, 01/22/31				18,000		17,828,941
Series 2015-1A, Class BR, (LIBOR USD 3 Month + 1.45%), 4.21%, 01/22/31				1,000		978,295
York CLO-3 Ltd., Series 2016-1A, Class DR, (LIBOR USD 3 Month + 3.60%), 6.36%, 10/20/29^(a)(b)				2,000		1,974,952
York CLO-4 Ltd., Series 2016-2A, Class D, (LIBOR USD 3 Month + 4.10%), 6.86%, 01/20/30^(a)(b)				1,750		1,771,783
York CLO-5 Ltd., Series 2018-1A, Class E, (LIBOR USD 3 Month + 6.01%), 8.44%, 10/22/31^(a)(b)				500		472,501


Total Asset-Backed Securities — 9.0% (Cost: $1,390,542,815)						1,385,020,802


			Shares

Common Stocks — 17.2%

Aerospace & Defense — 0.2%
BAE Systems plc				1,743,809		11,731,268
Raytheon Co.				7,765		1,279,361
Safran SA				54,123		7,111,182
Thales SA				58,485		6,467,822
United Technologies Corp.				88,558		10,456,043

						37,045,676

Air Freight & Logistics — 0.2%
Cia de Distribucion Integral Logista Holdings SA				272,797		7,044,395
Deutsche Post AG (Registered)				491,329		14,511,959
Hyundai Glovis Co. Ltd.				1,377		176,063
Royal Mail plc				197,751		696,761

						22,429,178

Airlines — 0.1%
Copa Holdings SA, Class A				74,435		7,060,160
Eva Airways Corp.				475,700		232,581
Japan Airlines Co. Ltd.				3,300		120,148

						7,412,889

Auto Components — 0.0%
Stanley Electric Co. Ltd.				2,400		69,708


Automobiles — 0.1%
Astra International Tbk. PT				402,400		244,117
Ferrari NV				1,187		147,793
Ford Otomotiv Sanayi A/S				21,460		249,024
Hero MotoCorp Ltd.				103,217		3,802,331
Kia Motors Corp.				68,227		2,230,893
Maruti Suzuki India Ltd.				48,673		4,558,081

						11,232,239

Banks — 1.2%
Banco de Chile				3,143,192		498,655
Banco de Credito e Inversiones SA				3,900		277,966
Banco Macro SA, ADR				100,034		5,788,968
Bancolombia SA, ADR				14,370		640,902
Bangkok Bank PCL, NVDR				77,800		536,859
Bank Central Asia Tbk. PT				1,110,900		2,247,255
Bank Handlowy w Warszawie SA				2,633		48,957
Bank Mandiri Persero Tbk. PT				14,829,300		7,947,379


Security	Shares		Value

Banks (continued)
Bank of China Ltd., Class H		20,145,000	$	9,366,253
Bank of Communications Co. Ltd., Class A		1,694,700		1,585,753
Bank of Communications Co. Ltd., Class H		1,994,000		1,695,013
Bank of Montreal		21,173		1,549,845
Bank Polska Kasa Opieki SA		46,310		1,378,247
BNK Financial Group, Inc.		14,575		96,415
Capitec Bank Holdings Ltd.		2,334		205,881
Chang Hwa Commercial Bank Ltd.		448,000		262,581
China Construction Bank Corp., Class H		268,000		241,415
China Development Financial Holding Corp.		2,223,000		730,202
China Minsheng Banking Corp. Ltd., Class H		858,500		657,684
Citigroup, Inc.		163,690		10,551,457
Citizens Financial Group, Inc.		194,273		6,589,740
Commercial Bank PQSC (The)		11,682		135,770
Credicorp Ltd.		9,729		2,362,007
CTBC Financial Holding Co. Ltd.		2,509,000		1,708,485
DBS Group Holdings Ltd.		444,000		7,913,219
Dubai Islamic Bank PJSC		359,218		498,965
E.Sun Financial Holding Co. Ltd.		1,407,000		986,170
East West Bancorp, Inc.		6,638		334,024
FinecoBank Banca Fineco SpA		305,563		3,322,683
First Abu Dhabi Bank PJSC		180,438		724,986
First Financial Holding Co. Ltd.		1,913,140		1,275,754
Grupo Financiero Banorte SAB de CV, Class O		1,109,097		6,168,336
HDFC Bank Ltd.		293,595		8,592,405
Hong Leong Bank Bhd.		75,000		378,807
Hong Leong Financial Group Bhd.		18,200		87,732
Hua Nan Financial Holdings Co. Ltd.		583,000		352,196
IndusInd Bank Ltd.		292,703		6,216,504
Industrial & Commercial Bank of China Ltd., Class H		14,815,000		11,509,243
Industrial Bank of Korea		55,797		714,708
Itau CorpBanca		14,374,230		144,444
Kiatnakin Bank PCL, NVDR		326,600		717,882
Komercni banka A/S		17,491		705,232
M&T Bank Corp.		47,265		7,776,983
Malayan Banking Bhd.		942,000		2,197,627
Masraf Al Rayan QSC		26,137		292,153
Mega Financial Holding Co. Ltd.		745,000		650,369
Moneta Money Bank A/S^(b)		525,803		1,788,433
OTP Bank Nyrt.		41,502		1,712,106
Public Bank Bhd.		543,800		3,294,049
Qatar Islamic Bank SAQ		7,906		342,523
Qatar National Bank QPSC		13,549		734,526
Regions Financial Corp.		23,342		354,098
RHB Bank Bhd.		104,600		138,903
Sberbank of Russia PJSC, ADR		405,549		5,514,964
Shinhan Financial Group Co. Ltd.		23,782		919,843
Shinhan Financial Group Co. Ltd., ADR		5,174		199,095
Siam Commercial Bank PCL (The), NVDR		1,547,100		6,598,550
Skandinaviska Enskilda Banken AB, Class A		62,968		660,953
SunTrust Banks, Inc.		22,496		1,336,712
Svenska Handelsbanken AB, Class A		718,731		7,816,091
Taishin Financial Holding Co. Ltd.		638,000		284,563
Taiwan Business Bank		277,000		100,587
Taiwan Cooperative Financial Holding Co. Ltd.		811,000		491,881
TCS Group Holding plc, GDR		282,061		5,500,190
Thanachart Capital PCL, NVDR		244,400		421,278
Tisco Financial Group PCL, NVDR		287,600		763,952
Toronto-Dominion Bank (The)		13,900		782,830
United Overseas Bank Ltd.		410,000		7,683,895
US Bancorp		153,131		7,834,182
Wells Fargo & Co.		148,654		7,270,667
Zions Bancorp NA		770		36,644

				181,245,626


Security	Shares		Value

Beverages — 0.5%
Ambev SA		1,103,400	$	5,297,361
Carlsberg A/S, Class B		20,346		2,329,295
China Resources Beer Holdings Co. Ltd.		146,000		513,153
Cia Cervecerias Unidas SA		25,545		347,261
Cia Cervecerias Unidas SA, ADR		12,053		336,399
Coca-Cola Amatil Ltd.		24,541		149,883
Coca-Cola Co. (The)		283,032		13,622,330
Coca-Cola Icecek A/S		27,020		172,877
Constellation Brands, Inc., Class A		5,798		1,006,881
Diageo plc		461,396		17,609,852
Fomento Economico Mexicano SAB de CV		265,587		2,416,669
Fomento Economico Mexicano SAB de CV, ADR		26,704		2,430,598
Fraser & Neave Holdings Bhd.		29,700		246,899
Heineken NV		67,940		6,102,309
PepsiCo, Inc.		148,852		16,771,155
Tsingtao Brewery Co. Ltd., Class H		16,000		70,407
Wuliangye Yibin Co. Ltd., Class A		371,200		3,356,954

				72,780,283

Biotechnology — 0.1%
AbbVie, Inc.		139,246		11,180,061
Amgen, Inc.		45,215		8,460,178
Biocon Ltd.		74,579		682,254
Celgene Corp.^(f)		14,558		1,287,801

				21,610,294

Building Products — 0.0%
AGC, Inc.		3,500		118,616
Allegion plc		2,731		234,484

				353,100

Capital Markets — 0.1%
China Everbright Ltd.		32,000		60,386
Deutsche Boerse AG		53,034		7,061,369

				7,121,755

Chemicals — 0.1%
Air Liquide SA		8,658		1,051,077
Arkema SA		11,276		1,068,373
Castrol India Ltd.		20,483		45,782
Eastman Chemical Co.		10,276		828,451
Evonik Industries AG		32,564		890,579
Formosa Chemicals & Fibre Corp.		86,000		299,292
Petronas Chemicals Group Bhd.		561,000		1,159,409
PTT Global Chemical PCL, NVDR		158,300		345,793
Sinopec Shanghai Petrochemical Co. Ltd., Class A		278,300		214,494
Sinopec Shanghai Petrochemical Co. Ltd., Class H		658,000		312,641
Sinopec Shanghai Petrochemical Co. Ltd., ADR		2,567		122,805
Solvay SA		6,971		758,932
Teijin Ltd.		8,800		152,090

				7,249,718

Commercial Services & Supplies — 0.1%
Loomis AB, Class B		207,073		7,429,587
Republic Services, Inc.		26,868		2,061,044
S-1 Corp.		59,763		5,522,246
Toppan Printing Co. Ltd.		14,600		239,279
Waste Connections, Inc.		5,405		451,642
Waste Management, Inc.		69,633		6,661,789

				22,365,587

Communications Equipment — 0.1%
Cisco Systems, Inc.		333,695		15,780,437
Wistron NeWeb Corp.		97,000		240,581

				16,021,018

Construction & Engineering — 0.2%
Bouygues SA		214,694		7,598,716
China Railway Group Ltd., Class H		718,000		672,404


Security	Shares		Value

Construction & Engineering (continued)
HOCHTIEF AG		6,148	$	919,540
Larsen & Toubro Ltd.		297,338		5,502,380
Sinopec Engineering Group Co. Ltd., Class H		59,500		58,487
Tekfen Holding A/S		24,363		116,212
Vinci SA		160,115		14,088,599
WSP Global, Inc.		3,073		157,725

				29,114,063

Construction Materials — 0.0%
Grupo Argos SA		8,038		48,357


Containers & Packaging — 0.2%
Amcor Ltd.		1,540,948		15,299,631
International Paper Co.		296,820		14,078,172

				29,377,803

Distributors — 0.1%
Genuine Parts Co.		156,774		15,649,181


Diversified Financial Services — 0.0%
Ayala Corp.		20,960		373,817
Fubon Financial Holding Co. Ltd.		1,565,000		2,294,660
Haci Omer Sabanci Holding A/S		532,971		967,402
Metro Pacific Investments Corp.		1,868,000		174,617

				3,810,496

Diversified Telecommunication Services — 0.4%
BCE, Inc.		189,428		8,236,251
Bharti Infratel Ltd.		59,968		247,218
China Communications Services Corp. Ltd., Class H		182,000		170,865
China Telecom Corp. Ltd., Class H		3,764,000		2,043,555
China Tower Corp. Ltd., Class H^(b)(f)		1,186,000		254,693
China Unicom Hong Kong Ltd.		1,038,000		1,189,007
China Unicom Hong Kong Ltd., ADR		29,164		336,261
Chunghwa Telecom Co. Ltd.		592,000		2,076,729
Emirates Telecommunications Group Co. PJSC		72,704		337,236
Hellenic Telecommunications Organization SA		4,180		52,350
HKT Trust & HKT Ltd.^(g)		2,920,000		4,306,313
Koninklijke KPN NV		36,608		112,541
LG Uplus Corp.		39,871		541,930
Nippon Telegraph & Telephone Corp.		57,600		2,476,120
O2 Czech Republic A/S		5,644		61,069
Ooredoo QPSC		4,016		83,591
PCCW Ltd.		1,941,000		1,155,457
Telenor ASA		80,669		1,527,220
Telia Co. AB		1,493,327		6,507,848
Telkom SA SOC Ltd.		37,234		188,393
TELUS Corp.		733,817		25,701,327

				57,605,974

Electric Utilities — 0.3%
CEZ A/S		32,580		822,431
CLP Holdings Ltd.		63,500		739,589
CPFL Energia SA		10,500		93,853
Endesa SA		351,096		8,781,426
Enel Chile SA		1,621,722		170,877
Equatorial Energia SA		71,000		1,716,015
Evergy, Inc.		96,239		5,516,419
Fortis, Inc.		4,971		177,283
Iberdrola SA		1,302,552		10,766,223
Inter RAO UES PJSC		24,391,197		1,428,311
Manila Electric Co.		25,180		177,133
OGE Energy Corp.		43,909		1,798,074
Pinnacle West Capital Corp.		72,823		6,417,163
Power Assets Holdings Ltd.		191,500		1,290,046
PPL Corp.		2,821		88,354


Security	Shares		Value

Electric Utilities (continued)
Red Electrica Corp. SA		53,357	$	1,229,636
Tenaga Nasional Bhd.		599,700		1,893,707
Terna Rete Elettrica Nazionale SpA		100,592		619,955
Transmissora Alianca de Energia Eletrica SA		126,304		890,694

				44,617,189

Electrical Equipment — 0.1%
AMETEK, Inc.		44,367		3,234,354
Eaton Corp. plc		16,055		1,224,194
Emerson Electric Co.		5,178		339,004
Legrand SA		5,829		345,348
Rockwell Automation, Inc.		1,891		320,562
Schneider Electric SE		131,401		9,345,458

				14,808,920

Electronic Equipment, Instruments & Components — 0.1%
Amphenol Corp., Class A		33,345		2,931,692
AU Optronics Corp.		2,637,000		1,033,701
AU Optronics Corp., ADR		32,471		124,364
CDW Corp.		2,500		208,175
Corning, Inc.		71,388		2,374,365
Hollysys Automation Technologies Ltd.		9,051		186,632
Innolux Corp.		2,527,000		871,443
Merry Electronics Co. Ltd.		598,489		3,139,870
TE Connectivity Ltd.		73,880		5,980,586
WPG Holdings Ltd.^(f)		116,000		148,715

				16,999,543

Energy Equipment & Services — 0.0%
Dialog Group Bhd.		341,700		250,737


Entertainment — 0.0%
DeNA Co. Ltd.		6,100		107,934
NetEase, Inc., ADR		20,690		5,212,432

				5,320,366

Equity Real Estate Investment Trusts (REITs) — 2.1%
Alexandria Real Estate Equities, Inc.		111,208		14,647,206
Ascendas REIT		5,840,321		11,910,415
Assura plc		17,093,494		13,407,056
AvalonBay Communities, Inc.		62,276		12,014,286
Boston Properties, Inc.		115,908		15,284,788
British Land Co. plc (The)		1,187,966		8,949,068
Community Healthcare Trust, Inc.		87,304		2,882,778
Crown Castle International Corp.		73,468		8,600,164
CyrusOne, Inc.		179,816		9,746,027
EPR Properties		239,784		17,518,619
Equinix, Inc.		27,310		10,760,140
Fortress REIT Ltd., Class A		268,306		388,952
Frasers Logistics & Industrial Trust		8,475,310		6,817,273
H&R REIT		1,333		22,512
Highwoods Properties, Inc.		302,634		13,412,739
Hudson Pacific Properties, Inc.		105,547		3,427,111
Ichigo Office REIT Investment		3,811		3,549,407
Inmobiliaria Colonial Socimi SA		167,396		1,712,512
Japan Rental Housing Investments, Inc.		10,595		8,330,014
Kenedix Office Investment Corp.		1,450		9,958,485
Klepierre SA		35,336		1,210,929
Land Securities Group plc		16,295		185,313
Link REIT		699,500		7,689,005
Mitsui Fudosan Logistics Park, Inc.		638		2,025,739
National Storage REIT		5,066,394		6,616,703
PLA Administradora Industrial S de RL de CV		3,372,726		4,797,456
Prologis, Inc.		207,402		14,343,922
PRS REIT Plc (The)^(f)		2,264,678		2,902,033
Redefine Properties Ltd.		177,299		141,282
RioCan REIT		874,890		16,599,572


Security	Shares		Value

Equity Real Estate Investment Trusts (REITs) (continued)
RPT Realty		906,484	$	11,865,876
Scentre Group		4,009,454		11,612,518
Secure Income REIT plc		897,602		4,697,406
Simon Property Group, Inc.		70,288		12,800,851
Spirit Realty Capital, Inc.		203,296		8,074,917
Sun Communities, Inc.		47,852		5,259,413
Takara Leben Real Estate Investment Corp.^(f)		4,263		3,650,522
Target Healthcare REIT Ltd.		3,864,606		5,727,763
Unibail-Rodamco-Westfield		79,817		14,355,234
VEREIT, Inc.		627,821		5,072,794
VICI Properties, Inc.		343,909		7,404,361

				320,373,161

Food & Staples Retailing — 0.2%
BIM Birlesik Magazalar A/S		28,035		489,897
Colruyt SA		9,941		713,927
Costco Wholesale Corp.		1,920		412,090
CP ALL PCL, NVDR		836,900		2,085,894
GS Retail Co. Ltd.		4,034		130,681
Koninklijke Ahold Delhaize NV		318,588		8,393,556
Pick n Pay Stores Ltd.		94,947		497,150
President Chain Store Corp.		88,000		934,682
SPAR Group Ltd. (The)		42,292		638,162
Sun Art Retail Group Ltd.		238,500		237,050
Sundrug Co. Ltd.		1,800		57,604
Wal-Mart de Mexico SAB de CV		2,496,350		6,557,370
Walmart, Inc.		40,719		3,902,102
Wm Morrison Supermarkets plc^(h)		118,303		363,801

				25,413,966

Food Products — 0.3%
Archer-Daniels-Midland Co.		13,761		617,869
Associated British Foods plc		159,765		5,014,011
China Agri-Industries Holdings Ltd.		200,000		71,207
China Mengniu Dairy Co. Ltd.^(f)		150,000		464,605
Daesang Corp.^(f)		10,313		234,087
Indofood CBP Sukses Makmur Tbk. PT		246,500		190,527
Indofood Sukses Makmur Tbk. PT		158,400		88,105
IOI Corp. Bhd.		263,200		299,562
Kellogg Co.		5,992		353,588
Kuala Lumpur Kepong Bhd.		57,100		344,050
Nestle India Ltd.		5,159		835,323
Nestle Malaysia Bhd.		38,600		1,400,015
Nestle SA (Registered)		367,052		32,001,021
NongShim Co. Ltd.		1,387		348,732
PPB Group Bhd.		67,000		297,567
Sime Darby Plantation Bhd.		268,600		338,970
Tingyi Cayman Islands Holding Corp.		322,000		448,433
Uni-President China Holdings Ltd.		27,000		24,039
Uni-President Enterprises Corp.		960,000		2,274,905

				45,646,616

Gas Utilities — 0.1%
Atmos Energy Corp.		31,709		3,095,750
Beijing Enterprises Holdings Ltd.		124,500		707,750
China Resources Gas Group Ltd.		294,000		1,156,922
GAIL India Ltd.		197,408		924,000
Gujarat State Petronet Ltd.		26,387		65,438
Osaka Gas Co. Ltd.		4,800		95,032
Perusahaan Gas Negara Persero Tbk.		1,309,400		241,871
Petronas Gas Bhd.		58,600		259,029
UGI Corp.		46,928		2,676,304

				9,222,096

Health Care Equipment & Supplies — 0.2%
Ansell Ltd.		259,521		4,431,123
Hartalega Holdings Bhd.		71,700		94,874


Security	Shares		Value

Health Care Equipment & Supplies (continued)
Koninklijke Philips NV		246,148	$	9,704,407
Medtronic plc		98,218		8,681,489
ResMed, Inc.		3,518		334,808
Siemens Healthineers AG^(b)(f)		19,561		771,908
Stryker Corp.		7,194		1,277,439

				25,296,048

Health Care Providers & Services — 0.2%
AmerisourceBergen Corp.		27,207		2,268,248
Bangkok Dusit Medical Services PCL, NVDR		2,999,600		2,268,006
Bumrungrad Hospital PCL, NVDR		215,600		1,284,620
Fresenius Medical Care AG & Co. KGaA		76,320		5,613,348
IHH Healthcare Bhd.		389,000		534,292
Jointown Pharmaceutical Group Co. Ltd., Class A		10,400		22,669
McKesson Corp.		9,592		1,230,174
Notre Dame Intermedica Participacoes SA^(f)		698,161		6,428,012
Quest Diagnostics, Inc.		36,923		3,225,224
Shanghai Pharmaceuticals Holding Co. Ltd., Class H		348,600		743,886
Sinopharm Group Co. Ltd., Class H		408,000		1,823,383
Sonic Healthcare Ltd.		511,618		8,581,676

				34,023,538

Hotels, Restaurants & Leisure — 0.1%
Alsea SAB de CV		90,450		250,222
Carnival Corp.		70,199		4,042,058
Carnival plc		19,305		1,092,258
Central Plaza Hotel PCL, NVDR		91,800		126,765
Compass Group plc		40,333		863,068
Crown Resorts Ltd.		137,637		1,199,369
Darden Restaurants, Inc.		6,929		727,060
Domino’s Pizza, Inc.		3,303		937,160
Flight Centre Travel Group Ltd.		3,602		113,029
Genting Bhd.		325,600		552,793
Genting Malaysia Bhd.		583,100		469,882
Genting Singapore Ltd.		6,022,500		4,935,538
Jollibee Foods Corp.		46,220		280,700
Las Vegas Sands Corp.		18,230		1,063,903
Royal Caribbean Cruises Ltd.		5,635		676,482
TUI AG		35,701		540,564
Yum China Holdings, Inc.		26,945		982,145
Yum! Brands, Inc.		29,509		2,773,256

				21,626,252

Household Durables — 0.2%
Barratt Developments plc		608,762		4,305,856
Electrolux AB		24,433		578,138
Haier Electronics Group Co. Ltd.^(f)		2,202,000		6,325,964
LG Electronics, Inc.		34,335		2,060,868
MRV Engenharia e Participacoes SA		1,293,476		5,319,736
Persimmon plc		138,510		4,320,903
Taylor Wimpey plc		4,786,456		10,378,236

				33,289,701

Household Products — 0.1%
Hindustan Unilever Ltd.		81,402		2,017,974
Procter & Gamble Co. (The)		93,026		8,974,218
Unilever Indonesia Tbk. PT		111,600		399,313

				11,391,505

Independent Power and Renewable Electricity Producers — 0.0%
Aboitiz Power Corp.		100,400		74,149
CGN Power Co. Ltd., Class H^(b)		3,258,000		852,577
China Resources Power Holdings Co. Ltd.		176,000		352,763
China Yangtze Power Co. Ltd., Class A		975,300		2,395,226
Electricity Generating PCL, NVDR		111,600		936,848
Engie Brasil Energia SA		20,300		232,933


Security	Shares		Value

Independent Power and Renewable Electricity Producers (continued)
Glow Energy PCL, NVDR		295,800	$	874,704
SDIC Power Holdings Co. Ltd., Class A		23,200		28,174

				5,747,374

Industrial Conglomerates — 0.1%
3M Co.		47,489		9,512,047
Aboitiz Equity Ventures, Inc.		48,500		60,033
CITIC Ltd.		321,000		486,272
Far Eastern New Century Corp.		202,000		198,272
Industries Qatar QSC		11,117		436,974
Shanghai Industrial Holdings Ltd.		77,000		162,180
SK Holdings Co. Ltd.		26,718		6,346,559
SM Investments Corp.		22,670		432,461

				17,634,798

Insurance — 0.6%
Admiral Group plc		11,268		306,400
Allstate Corp. (The)		41,497		3,646,341
BB Seguridade Participacoes SA		848,689		7,227,539
China Life Insurance Co. Ltd.		554,000		504,744
China Pacific Insurance Group Co. Ltd., Class H		2,057,000		7,243,570
CNP Assurances		45,974		1,044,480
Direct Line Insurance Group plc		1,325,379		5,858,224
Hiscox Ltd.		314,915		5,860,136
IRB Brasil Resseguros S/A		11,200		261,821
Legal & General Group plc		997,123		3,397,102
Mapfre SA		145,496		404,824
Meritz Fire & Marine Insurance Co. Ltd.		5,300		105,747
Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		14,955		3,337,364
Old Mutual Ltd.		1,681,380		2,968,259
Old Mutual Ltd^(f).		2,271,386		3,940,286
Phoenix Group Holdings plc		989,452		8,249,576
Ping An Insurance Group Co. of China Ltd., Class H		666,500		6,488,751
Powszechny Zaklad Ubezpieczen SA		113,799		1,367,427
Prudential plc		336,016		6,571,182
Sampo OYJ, Class A		235,295		10,780,125
Samsung Fire & Marine Insurance Co. Ltd.		5,076		1,245,432
Samsung Life Insurance Co. Ltd.		1,894		150,598
SCOR SE		220,965		9,298,159
Sul America SA		18,700		164,584
Zurich Insurance Group AG^(f)		18,987		5,959,124

				96,381,795

Interactive Media & Services — 0.0%^(f)
Alphabet, Inc., Class A		61		68,679
Facebook, Inc., Class A		8,839		1,473,373
SINA Corp.		8,439		518,324

				2,060,376

Internet & Direct Marketing Retail — 0.0%
Amazon.com, Inc.^(f)		3,520		6,049,930


IT Services — 0.2%
Akamai Technologies, Inc.^(f)		9,060		589,806
Amadeus IT Group SA		17,616		1,281,008
Automatic Data Processing, Inc.		3,242		453,361
Broadridge Financial Solutions, Inc.		11,068		1,115,986
CGI Group, Inc., Class A^(f)		18,630		1,231,697
Cognizant Technology Solutions Corp., Class A		20,870		1,454,221
Computershare Ltd.		47,451		614,710
Fidelity National Information Services, Inc.		36,981		3,865,624
GDS Holdings Ltd., ADR^(f)		115,062		3,267,761
HCL Technologies Ltd.		25,138		356,065
Infosys Ltd.		200,328		2,111,069
Mphasis Ltd.		17,780		251,088


Security	Shares		Value

IT Services (continued)
Nomura Research Institute Ltd.		5,700	$	233,256
Obic Co. Ltd.		6,400		606,517
Otsuka Corp.		3,300		106,815
Paychex, Inc.		141,389		10,010,341
Tata Consultancy Services Ltd.		78,847		2,236,586
Total System Services, Inc.		11,180		1,001,840
Western Union Co. (The)		33,812		617,069
Wipro Ltd.		155,372		808,276

				32,213,096

Life Sciences Tools & Services — 0.1%
Agilent Technologies, Inc.		70,787		5,383,351
Lonza Group AG (Registered)^(f)		31,729		8,382,746

				13,766,097

Machinery — 0.2%
Doosan Bobcat, Inc.		10,913		326,376
Ingersoll-Rand plc		23,889		2,389,856
Kone OYJ, Class B		369,904		17,985,880
Snap-on, Inc.		2,759		457,966
Spirax-Sarco Engineering plc		47,501		3,994,863
Volvo AB, Class B		176,301		2,540,476
Wartsila OYJ Abp		324,000		5,290,488
Weichai Power Co. Ltd., Class H		630,000		850,272

				33,836,177

Media — 0.0%
CBS Corp. (Non-Voting), Class B		27,018		1,336,310
Cheil Worldwide, Inc.		21,631		456,840
Comcast Corp., Class A		18,896		691,027
Cyfrowy Polsat SA^(f)		32,319		205,915
Media Nusantara Citra Tbk. PT		32,517,751		1,973,170
Megacable Holdings SAB de CV		103,400		465,083
RTL Group SA		27,744		1,517,547

				6,645,892

Metals & Mining — 0.1%
Alrosa PJSC		884,020		1,335,010
Anglo American Platinum Ltd.		17,566		847,909
AngloGold Ashanti Ltd.		9,908		139,736
BHP Billiton Ltd.^(h)		61,214		1,562,972
Centamin plc		1,439,597		2,226,501
China Steel Corp.		957,000		797,955
Ferrexpo plc		420,988		1,429,859
Franco-Nevada Corp.		16,826		1,305,281
Hochschild Mining plc		125,103		310,372
Newmont Mining Corp.		2,249		76,713
Rio Tinto plc		4,158		230,030

				10,262,338

Multiline Retail — 0.1%
Canadian Tire Corp. Ltd., Class A		5,456		620,571
Dollar General Corp.		9,647		1,113,553
Kohl’s Corp.		36,531		2,509,314
Lojas Renner SA^(f)		428,316		5,343,381
SACI Falabella		53,336		428,201
Target Corp.		79,350		5,792,550
Wesfarmers Ltd.		6,685		156,821
Woolworths Holdings Ltd.		155,265		590,067

				16,554,458

Multi-Utilities — 0.2%
Ameren Corp.		51,536		3,573,506
CMS Energy Corp.		4,705		245,319
E.ON SE		672,423		7,474,910
Engie SA		421,498		6,757,172
National Grid plc		394,858		4,299,767
Qatar Electricity & Water Co. QSC		3,118		161,207

				22,511,881


Security	Shares		Value

Oil, Gas & Consumable Fuels — 4.3%
Andeavor Logistics LP		247,833	$	8,894,726
Antero Midstream Partners LP		666,814		16,797,045
Bharat Petroleum Corp. Ltd.		1,063,656		5,185,640
BP Midstream Partners LP		586,911		9,220,372
BP plc		1,034,147		7,064,413
China Petroleum & Chemical Corp., Class A		221,900		190,088
China Petroleum & Chemical Corp., Class H		5,344,000		4,468,626
China Petroleum & Chemical Corp., ADR		10,032		837,170
CNOOC Ltd.		3,041,000		5,082,791
Energy Transfer LP		5,179,762		76,194,299
EnLink Midstream LLC		584,123		6,355,258
Enterprise Products Partners LP		2,829,817		78,301,036
EQM Midstream Partners LP		607,985		27,821,394
Equitrans Midstream Corp.^(f)		225,822		4,701,614
Genesis Energy LP		1,195,718		25,014,421
Kinder Morgan, Inc.		806,294		14,593,921
LUKOIL PJSC		4,625		372,823
LUKOIL PJSC, ADR		14,456		1,160,781
Magellan Midstream Partners LP		990,215		60,848,712
MOL Hungarian Oil & Gas plc		54,707		656,360
MPLX LP		2,084,665		73,213,435
ONEOK, Inc.		395,070		25,367,445
PetroChina Co. Ltd., Class H		1,454,000		938,434
Petronas Dagangan Bhd.		24,900		160,840
Petronet LNG Ltd.		240,299		770,878
Phillips 66		15,582		1,486,679
Phillips 66 Partners LP		204,707		10,034,737
Plains All American Pipeline LP		2,803,280		63,830,686
Qatar Gas Transport Co. Ltd.		1,001,121		5,484,950
Royal Dutch Shell plc, Class A		58,668		1,818,734
Royal Dutch Shell plc, Class B		225,774		7,009,985
Shell Midstream Partners LP		774,326		15,734,304
Snam SpA		180,793		863,347
Suncor Energy, Inc.		6,747		217,617
Tallgrass Energy LP		960,633		22,891,884
Targa Resources Corp.		347,440		14,943,394
Thai Oil PCL, NVDR		1,200		2,774
TOTAL SA		245,107		13,437,046
Western Gas Partners LP		702,928		33,993,598
Williams Cos., Inc. (The)		368,426		9,921,712

				655,883,969

Paper & Forest Products — 0.0%
Mondi Ltd.		13,511		335,971


Personal Products — 0.2%
Colgate-Palmolive India Ltd.		31,115		560,653
Hengan International Group Co. Ltd.		25,000		195,574
L’Oreal SA		13,782		3,321,809
Marico Ltd.		106,128		547,894
Unilever plc		402,631		21,151,848

				25,777,778

Pharmaceuticals — 1.2%
Astellas Pharma, Inc.		12,000		178,059
AstraZeneca plc		183,187		13,270,425
Bristol-Myers Squibb Co.		91,251		4,505,062
China Medical System Holdings Ltd.		30,000		31,221
China Resources Pharmaceutical Group Ltd.^(b)		297,500		424,255
Dong-A ST Co. Ltd.^(f)		691		62,841
Dr Reddy’s Laboratories Ltd.		5,789		221,609
Dr Reddy’s Laboratories Ltd., ADR		8,691		331,909
Eli Lilly & Co.		46,814		5,611,126
GlaxoSmithKline plc		1,113,505		21,629,365
Hypera SA^(f)		686,980		5,999,208
Johnson & Johnson		172,880		23,006,870


Security	Shares		Value

Pharmaceuticals (continued)
Merck & Co., Inc.		93,984	$	6,995,229
Novartis AG (Registered)		214,643		18,738,500
Novo Nordisk A/S, Class B		342,108		16,033,263
Orion OYJ, Class B		4,634		163,817
Pfizer, Inc.		376,591		15,986,288
Richter Gedeon Nyrt.		400,304		8,548,958
Roche Holding AG		51,990		13,831,199
Sanofi SA		249,846		21,716,091
Tong Ren Tang Technologies Co. Ltd., Class H		121,000		162,791
Zoetis, Inc.		19,531		1,682,791

				179,130,877

Professional Services — 0.2%
Randstad NV		5,683		273,946
RELX plc		731,656		16,193,491
SGS SA (Registered)		1,976		4,770,148
Wolters Kluwer NV		85,034		5,288,346

				26,525,931

Real Estate Management & Development — 0.2%
Ayala Land, Inc.		531,100		453,776
Barwa Real Estate Co.		18,547		207,346
Emaar Development PJSC		157,196		171,184
Entra ASA^(b)		379,938		5,505,636
Highwealth Construction Corp.		138,000		217,524
Land & Houses PCL, NVDR		16,366,000		5,613,213
LEG Immobilien AG		75,206		8,834,557
Megaworld Corp.		1,441,000		143,087
Multiplan Empreendimentos Imobiliarios SA^(f)		3,750		26,764
SM Prime Holdings, Inc.		173,300		127,066
Vonovia SE		260,745		13,104,684

				34,404,837

Road & Rail — 0.0%
BTS Group Holdings PCL, NVDR		3,280,800		1,052,047
Container Corp. of India Ltd.		16,106		148,877
Daqin Railway Co. Ltd., Class A		318,104		406,513
East Japan Railway Co.		3,600		333,539
Guangshen Railway Co. Ltd., Class H		212,000		88,206
Norfolk Southern Corp.		13,186		2,211,820
Union Pacific Corp.		6,680		1,062,587

				5,303,589

Semiconductors & Semiconductor Equipment — 0.4%
ASML Holding NV		19,753		3,454,159
Elan Microelectronics Corp.^(f)		147,000		414,697
Intel Corp.		36,053		1,698,817
Maxim Integrated Products, Inc.		18,477		1,002,747
Nanya Technology Corp.		2,913,000		5,916,011
Novatek Microelectronics Corp.		152,000		798,536
NXP Semiconductors NV^(f)		3,110		270,663
Phison Electronics Corp.		19,000		157,638
Powertech Technology, Inc.		182,000		427,263
Radiant Opto-Electronics Corp.		333,000		955,451
Taiwan Semiconductor Manufacturing Co. Ltd.		3,550,000		26,333,795
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		193,898		7,294,443
Texas Instruments, Inc.		76,213		7,673,125

				56,397,345

Software — 0.1%
Check Point Software Technologies Ltd.^(f)		21,624		2,420,158
Citrix Systems, Inc.		13,193		1,352,810
Microsoft Corp.		149,104		15,570,931
Oracle Corp.		48,613		2,441,831
Synopsys, Inc.^(f)		3,046		284,344
Trend Micro, Inc.		1,400		74,490

				22,144,564


Security	Shares		Value

Specialty Retail — 0.1%
AutoZone, Inc.^(f)		1,463	$	1,239,658
Best Buy Co., Inc.		45,607		2,701,759
Home Product Center PCL, NVDR		2,072,200		1,036,604
Industria de Diseno Textil SA		10,249		286,698
Mr Price Group Ltd.		34,749		584,929
Nitori Holdings Co. Ltd.		25,900		3,372,690
O’Reilly Automotive, Inc.^(f)		2,092		721,029
Petrobras Distribuidora SA		48,100		351,465
Tiffany & Co.		574		50,931
TJX Cos., Inc. (The)		9,257		460,351
USS Co. Ltd.		12,000		210,116
Vivo Energy plc^(b)(f)		2,043,182		3,481,109

				14,497,339

Technology Hardware, Storage & Peripherals — 0.1%
Advantech Co. Ltd.		12,000		90,490
Apple, Inc.		50,343		8,379,089
Canon, Inc.		235,600		6,775,907
Chicony Electronics Co. Ltd.		275,326		607,558
Inventec Corp.		433,000		338,075
Lenovo Group Ltd.		3,068,000		2,239,796
Lite-On Technology Corp.		193,000		288,196
Quanta Computer, Inc.		491,000		904,788
Samsung Electronics Co. Ltd.		30,690		1,279,593

				20,903,492

Textiles, Apparel & Luxury Goods — 0.1%
adidas AG		3,083		733,573
ANTA Sports Products Ltd.		947,000		4,898,792
Formosa Taffeta Co. Ltd.		71,000		81,940
Gildan Activewear, Inc.		3,016		102,075
Li Ning Co. Ltd.^(f)		4,491,000		5,525,838
LPP SA		47		105,621
LVMH Moet Hennessy Louis Vuitton SE		638		204,671
Moncler SpA		48,341		1,819,298
NIKE, Inc., Class B		24,493		2,005,487
Ralph Lauren Corp.		2,944		341,916
VF Corp.		36,089		3,037,611
Yue Yuen Industrial Holdings Ltd.		32,500		110,852

				18,967,674

Thrifts & Mortgage Finance — 0.0%
Housing Development Finance Corp. Ltd.		6,881		186,466


Tobacco — 0.6%
Altria Group, Inc.		514,935		25,412,042
British American Tobacco plc		962,454		33,926,565
Gudang Garam Tbk. PT		12,700		76,071
Hanjaya Mandala Sampoerna Tbk. PT		1,124,300		308,469
Imperial Brands plc		434,502		14,422,895
ITC Ltd.		231,418		907,832
Japan Tobacco, Inc.		195,300		4,944,165
Philip Morris International, Inc.		158,537		12,162,959

				92,160,998

Trading Companies & Distributors — 0.0%
Ferguson plc		15,601		1,044,693


Transportation Infrastructure — 0.1%
Aena SME SA^(b)		11,585		2,002,549
Anhui Expressway Co. Ltd., Class H		66,000		42,135
Bangkok Expressway & Metro PCL, NVDR		1,928,200		643,230
Beijing Capital International Airport Co. Ltd., Class H		98,000		91,924
Grupo Aeroportuario del Centro Norte SAB de CV		35,100		196,056
Grupo Aeroportuario del Pacifico SAB de CV, Class B		569,013		5,120,217


Security		Shares		Value

Transportation Infrastructure (continued)
International Container Terminal Services, Inc.			83,640	$	173,668
Jiangsu Expressway Co. Ltd., Class H			4,020,000		5,819,989
Macquarie Infrastructure Corp.			93,096		4,018,954
Malaysia Airports Holdings Bhd.			122,700		241,585
Promotora y Operadora de Infraestructura SAB de CV			4,680		47,627
Shenzhen Expressway Co. Ltd., Class H			62,000		70,353
Taiwan High Speed Rail Corp.			402,000		411,585
Westports Holdings Bhd.			58,800		53,490
Zhejiang Expressway Co. Ltd., Class H			276,000		284,175

					19,217,537

Water Utilities — 0.0%
Aguas Andinas SA, Class A			306,069		180,897
Guangdong Investment Ltd.			536,000		1,023,588
Severn Trent plc			12,790		336,086

					1,540,571

Wireless Telecommunication Services — 0.3%
America Movil SAB de CV			1,406,500		1,131,981
America Movil SAB de CV, ADR, Class L			252,754		4,056,702
China Mobile Ltd.			1,077,000		11,327,179
DiGi.Com Bhd.			331,300		378,562
Far EasTone Telecommunications Co. Ltd.			241,000		565,634
Globe Telecom, Inc.			3,115		121,156
Maxis Bhd.			163,400		229,843
Mobile TeleSystems PJSC, ADR			407,685		3,506,091
NTT DOCOMO, Inc.			33,700		809,704
Rogers Communications, Inc., Class B			325,261		17,595,458
SK Telecom Co. Ltd.			130		30,096
Taiwan Mobile Co. Ltd.			315,000		1,125,651
TIM Participacoes SA^(f)			276,600		940,403
TIM Participacoes SA, ADR^(f)			43,390		735,027
Vodafone Group plc			3,028,715		5,523,725

					48,077,212


Total Common Stocks — 17.2% (Cost: $2,551,640,399)					2,636,987,638


		Par (000)

Corporate Bonds — 26.4%

Aerospace & Defense — 0.5%
Arconic, Inc.:
6.15%, 08/15/20	USD		1,625		1,669,687
5.40%, 04/15/21			1,000		1,017,500
5.87%, 02/23/22			2,270		2,343,775
5.13%, 10/01/24			5,531		5,569,967
5.90%, 02/01/27			200		200,500
BBA US Holdings, Inc., 5.38%, 05/01/26^(b)			1,136		1,136,000
Bombardier, Inc.^(b):
7.75%, 03/15/20			1,102		1,135,060
8.75%, 12/01/21			3,138		3,331,144
5.75%, 03/15/22			4,874		4,642,485
6.00%, 10/15/22			1,023		985,916
6.13%, 01/15/23			2,472		2,388,446
7.50%, 12/01/24			6,176		5,990,720
7.50%, 03/15/25			5,590		5,387,363
BWX Technologies, Inc., 5.38%, 07/15/26^(b)			1,010		1,020,100
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25^(b)			2,123		2,186,690
L3 Technologies, Inc., 4.95%, 02/15/21			500		514,140
TransDigm UK Holdings plc, 6.88%, 05/15/26^(b)			1,717		1,665,490


Security		Par (000)		Value

Aerospace & Defense (continued)
TransDigm, Inc.:
5.50%, 10/15/20	USD		500	$	500,312
6.00%, 07/15/22			1,513		1,524,347
6.50%, 07/15/24			2,900		2,860,125
6.50%, 05/15/25			525		509,250
6.25%, 03/15/26^(b)			23,642		23,996,630
6.38%, 06/15/26			1,361		1,309,963
United Technologies Corp.:
1.90%, 05/04/20			3,000		2,959,637
3.35%, 08/16/21			300		302,726
3.65%, 08/16/23			645		654,620

					75,802,593

Air Freight & Logistics — 0.0%
FedEx Corp., 3.40%, 01/14/22			295		297,497
XPO Logistics, Inc., 6.50%, 06/15/22^(b)			858		876,233

					1,173,730

Airlines — 0.1%
American Airlines Group, Inc.^(b):
5.50%, 10/01/19			360		362,556
4.63%, 03/01/20			957		957,000
Avianca Holdings SA, 8.38%, 05/10/20			5,239		5,062,184
Delta Air Lines, Inc.:
3.40%, 04/19/21			2,000		1,986,478
3.63%, 03/15/22			795		789,792
Southwest Airlines Co., 2.65%, 11/05/20			1,000		994,045
Virgin Australia Pass-Through Trust, Series 2013-1A, Class A, 5.00%, 10/23/23^(b)			397		401,982

					10,554,037

Auto Components — 0.2%
Allison Transmission, Inc., 5.00%, 10/01/24^(b)			655		644,356
American Axle & Manufacturing, Inc.:
6.63%, 10/15/22			409		415,646
6.25%, 04/01/25			490		476,525
6.50%, 04/01/27			350		335,125
GKN Holdings Ltd., 3.38%, 05/12/32	GBP		1,100		1,379,945
Goodyear Tire & Rubber Co. (The):
5.13%, 11/15/23	USD		615		613,462
5.00%, 05/31/26			435		399,548
Icahn Enterprises LP:
6.00%, 08/01/20			1,621		1,635,184
5.88%, 02/01/22			1,000		1,007,610
6.25%, 02/01/22			3,160		3,245,920
6.75%, 02/01/24			5,553		5,719,590
6.38%, 12/15/25			3,185		3,252,681
IHO Verwaltungs GmbH⁽ⁱ⁾:
4.12% (4.12% Cash or 4.88% PIK), 09/15/21^(b)			300		293,250
3.25% (3.25% Cash or 4.00% PIK), 09/15/23	EUR		1,055		1,186,179
4.50% (4.50% Cash or 5.25% PIK), 09/15/23^(b)	USD		300		285,750
3.75% (3.75% Cash or 4.50% PIK), 09/15/26	EUR		215		231,880
4.75% (4.75% Cash or 5.50% PIK), 09/15/26^(b)	USD		600		543,000
LKQ Italia Bondco SpA, 3.88%, 04/01/24	EUR		400		473,704
Tenneco, Inc.:
5.00%, 07/15/24			470		556,791
5.00%, 07/15/26	USD		900		764,730


Security		Par (000)		Value

Auto Components (continued)
Weichai International Hong Kong Energy Group Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.08%), 3.75%^(a)(j)	USD		1,513	$	1,380,613
ZF North America Capital, Inc., 4.75%, 04/29/25^(b)			199		191,799

					25,033,288

Automobiles — 0.1%
Fiat Chrysler Automobiles NV:
4.50%, 04/15/20			1,060		1,063,975
3.75%, 03/29/24	EUR		990		1,207,715
Fiat Chrysler Finance Europe SA:
6.75%, 10/14/19			310		370,793
4.75%, 07/15/22			757		951,324
Hyundai Capital America, 2.55%, 04/03/20^(b)	USD		815		805,575
Jaguar Land Rover Automotive plc^(b):
4.25%, 11/15/19			200		199,500
3.50%, 03/15/20			850		833,000
5.63%, 02/01/23			150		137,812
4.50%, 10/01/27			450		333,000
Tesla, Inc., 5.30%, 08/15/25^(b)			1,012		898,150
Volkswagen Group of America Finance LLC, 4.00%, 11/12/21^(b)			730		738,813

					7,539,657

Banks — 6.3%
ABN AMRO Bank NV^(a)(j):
(EUR Swap Annual 5 Year + 5.45%), 5.75%	EUR		7,200		8,567,468
(EUR Swap Annual 5 Year + 3.90%), 4.75%			2,900		3,107,387
Allied Irish Banks plc^(a):
(EUR Swap Annual 5 Year + 7.34%), 7.38%^(j)			5,890		7,222,039
(EUR Swap Annual 5 Year + 3.95%), 4.13%, 11/26/25			1,580		1,859,424
Australia & New Zealand Banking Group Ltd.:
2.25%, 11/09/20	USD		740		730,476
2.70%, 11/16/20			1,000		994,025
2.55%, 11/23/21			3,000		2,955,165
(USD Swap Rate 5 Year + 5.17%), 6.75%^(a)(b)(j)			8,634		8,914,605
(USD Swap Rate 5 Year + 5.17%), 6.75%^(a)(j)			2,062		2,129,015
Banca Carige SpA, 0.75%, 07/26/20	EUR		500		572,237
Banco Bilbao Vizcaya Argentaria SA^(a)(j):
(EUR Swap Annual 5 Year + 6.16%), 7.00%			2,800		3,212,905
(EUR Swap Annual 5 Year + 6.60%), 6.75%			1,400		1,642,321
(EUR Swap Annual 5 Year + 9.18%), 8.88%			1,800		2,297,212
Banco BPM SpA:
2.75%, 07/27/20			1,300		1,523,805
1.75%, 04/24/23			570		625,940
Banco de Sabadell SA^(a):
(EUR Swap Annual 5 Year + 6.41%), 6.50%^(j)			1,800		1,995,043
(EUR Swap Annual 5 Year + 5.10%), 5.38%, 12/12/28			400		465,777
Banco Espirito Santo SA^(f)(k):
2.63%, 05/08/17			800		270,125
4.75%, 01/15/18			1,500		493,609
4.00%, 01/21/19			5,400		1,730,635


Security		Par (000)		Value

Banks (continued)
Banco Santander SA^(a)(j):
(EUR Swap Annual 5 Year + 5.41%), 6.25%	EUR		4,800	$	5,382,154
(EUR Swap Annual 5 Year + 6.80%), 6.75%			1,000		1,209,346
(EUR Swap Annual 5 Year + 4.10%), 4.75%			400		381,922
Bancolombia SA, 5.95%, 06/03/21	USD		1,130		1,180,850
Bank of America Corp.:
Series L, 2.25%, 04/21/20			3,000		2,981,502
5.63%, 07/01/20			1,635		1,698,222
2.15%, 11/09/20			4,000		3,946,903
5.00%, 05/13/21			1,000		1,041,381
(LIBOR USD 3 Month + 0.66%), 2.37%, 07/21/21^(a)			3,420		3,386,850
(LIBOR USD 3 Month + 0.37%), 2.74%, 01/23/22^(a)			755		749,060
2.50%, 10/21/22			920		899,083
3.30%, 01/11/23			400		402,020
(LIBOR USD 3 Month + 0.93%), 2.82%, 07/21/23^(a)			1,015		998,282
Bank of East Asia Ltd. (The)^(a)(j):
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.83%), 5.50%			2,303		2,288,606
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.68%), 5.63%			874		851,744
Bank of Ireland^(a):
(EUR Swap Annual 5 Year + 6.96%), 7.38%^(j)	EUR		5,740		6,968,514
(EUR Swap Annual 5 Year + 3.55%), 4.25%, 06/11/24			1,664		1,917,032
Bank of Montreal, 2.55%, 11/06/22	USD		2,300		2,259,267
Bank of Nova Scotia (The):
2.45%, 03/22/21			1,200		1,189,928
3.13%, 04/20/21			3,000		3,014,928
Bankia SA^(a):
(EUR Swap Annual 5 Year + 5.82%), 6.00%^(j)	EUR		7,600		8,524,980
(EUR Swap Annual 5 Year + 6.22%), 6.37%^(j)			800		904,234
(EUR Swap Annual 5 Year + 3.17%), 4.00%, 05/22/24			900		1,034,879
Barclays Bank plc:
5.13%, 01/08/20	USD		1,000		1,018,421
2.65%, 01/11/21			1,560		1,543,556
Barclays plc:
(EUR Swap Annual 5 Year + 5.88%), 6.50%^(a)(j)	EUR		2,800		3,233,249
2.88%, 06/08/20	USD		1,000		988,590
3.25%, 01/12/21			500		494,620
(USD Swap Semi 5 Year + 6.77%), 7.88%^(a)(j)			30,278		31,521,215
(LIBOR USD 3 Month + 1.40%), 4.61%, 02/15/23^(a)			710		713,275
4.38%, 09/11/24			1,400		1,371,512
(EUR Swap Annual 5 Year + 2.45%), 2.63%, 11/11/25^(a)	EUR		1,200		1,366,900
5.20%, 05/12/26	USD		400		400,338
BB&T Corp., 2.15%, 02/01/21			1,500		1,476,730
BNP Paribas SA:
2.38%, 05/21/20			1,000		993,117


Security		Par (000)		Value

Banks (continued)
BNP Paribas SA (continued)
(USD Swap Semi 5 Year + 6.31%), 7.63%^(a)(b)(j)	USD		13,792	$	14,519,252
(USD Swap Semi 5 Year + 4.92%), 6.75%^(a)(b)(j)			7,187		7,285,822
(EUR Swap Annual 5 Year + 5.23%), 6.12%^(a)(j)	EUR		7,390		9,059,661
3.80%, 01/10/24^(b)	USD		370		366,861
Busan Bank Co. Ltd., 3.63%, 07/25/26			1,941		1,802,578
CaixaBank SA^(a):
(EUR Swap Annual 5 Year + 6.50%), 6.75%^(j)	EUR		3,000		3,584,028
(EUR Swap Annual 5 Year + 4.50%), 5.25%^(j)			1,600		1,601,165
(EUR Swap Annual 5 Year + 2.35%), 2.75%, 07/14/28			700		805,938
Canadian Imperial Bank of Commerce, 2.10%, 10/05/20	USD		1,000		985,632
China Construction Bank Corp., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 4.65%^(a)(j)			1,205		1,198,210
Chong Hing Bank Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.03%), 3.88%, 07/26/27^(a)			1,405		1,358,319
CIT Group, Inc.:
4.13%, 03/09/21			345		345,863
5.00%, 08/15/22			1,200		1,230,000
5.00%, 08/01/23			4,712		4,818,020
5.25%, 03/07/25			1,083		1,115,490
Citibank NA:
2.10%, 06/12/20			1,370		1,354,519
2.13%, 10/20/20			4,000		3,944,499
3.40%, 07/23/21			700		707,105
Citigroup, Inc.:
2.45%, 01/10/20			3,420		3,404,602
2.70%, 03/30/21			4,500		4,469,491
2.75%, 04/25/22			495		488,765
(LIBOR USD 3 Month + 0.72%), 3.14%, 01/24/23^(a)			135		134,084
Citizens Bank NA:
2.55%, 05/13/21			1,645		1,621,985
3.70%, 03/29/23			460		463,916
CMB Wing Lung Bank Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.75%), 3.75%, 11/22/27^(a)			2,535		2,431,306
Comerica Bank, 2.50%, 06/02/20			1,000		990,052
Commonwealth Bank of Australia:
2.05%, 09/18/20^(b)			430		423,909
2.55%, 03/15/21			2,000		1,979,471
Cooperatieve Rabobank UA:
(EUR Swap Annual 5 Year + 5.25%), 5.50%^(a)(j)	EUR		3,760		4,491,982
4.50%, 01/11/21	USD		430		442,896
2.50%, 01/19/21			2,572		2,552,120
(EUR Swap Annual 5 Year + 6.70%), 6.62%^(a)(j)	EUR		2,200		2,782,522
3.88%, 09/26/23^(b)	USD		415		421,875
Credit Agricole SA^(a)(j):
(LIBOR USD 3 Month + 6.98%), 8.38%^(b)			850		871,250
(EUR Swap Annual 5 Year + 5.12%), 6.50%	EUR		6,920		8,469,975
(USD Swap Semi 5 Year + 4.90%), 7.88%^(b)	USD		10,275		10,775,125
(USD Swap Semi 5 Year + 6.19%), 8.12%^(b)			13,993		15,164,914


Security		Par (000)		Value

Banks (continued)
Dah Sing Bank Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.55%), 4.25%, 11/30/26^(a)	USD		880	$	873,475
Danske Bank A/S:
(EUR Swap Annual 7 Year + 5.47%), 5.79%^(a)(j)	EUR		4,240		4,883,435
5.38%, 01/12/24^(b)	USD		2,450		2,484,772
(USD Swap Semi 7 Year + 3.90%), 6.13%^(a)(j)			19,590		17,190,225
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 4.13%), 7.00%^(a)(j)			8,425		7,666,750
Discover Bank:
3.10%, 06/04/20			2,000		1,995,174
3.35%, 02/06/23			405		399,089
DNB Bank ASA^(a)(j):
(USD Swap Semi 5 Year + 4.08%), 5.75%			500		498,125
(USD Swap Semi 5 Year + 5.08%), 6.50%			4,600		4,634,500
Erste Group Bank AG^(a)(j):
(EUR Swap Annual 5 Year + 9.02%), 8.88%	EUR		3,200		4,193,814
(EUR Swap Annual 5 Year + 6.20%), 6.50%			1,600		1,950,398
Fifth Third Bancorp, 2.60%, 06/15/22	USD		1,400		1,367,216
Fifth Third Bank, 3.35%, 07/26/21			1,300		1,308,316
Hongkong & Shanghai Banking Corp. Ltd. (The), Series 3H, (LIBOR USD 3 Month + 0.00%), 2.94%^(a)(j)			900		639,000
HSBC Bank USA NA, 4.88%, 08/24/20			2,170		2,228,423
HSBC Holdings plc:
3.40%, 03/08/21			1,525		1,533,012
5.10%, 04/05/21			1,000		1,042,365
2.95%, 05/25/21			1,000		996,227
(USD Swap Rate 5 Year + 5.51%), 6.87%^(a)(j)			28,124		29,248,960
(EUR Swap Annual 5 Year + 4.38%), 5.25%^(a)(j)	EUR		3,600		4,286,907
(LIBOR USD 3 Month + 1.06%), 3.26%, 03/13/23^(a)	USD		815		809,079
(USD Swap Rate 5 Year + 3.45%), 6.25%^(a)(j)			425		422,875
(LIBOR USD 3 Month + 1.00%), 3.64%, 05/18/24^(a)			875		867,466
(USD Swap Rate 5 Year + 3.71%), 6.37%^(a)(j)			2,000		1,965,000
(USD Swap Rate 5 Year + 4.37%), 6.37%^(a)(j)			9,950		9,987,312
(USD Swap Rate 5 Year + 3.75%), 6.00%^(a)(j)			31,602		30,416,925
(USD Swap Rate 5 Year + 3.61%), 6.50%^(a)(j)			19,123		18,644,925
Huntington National Bank (The):
2.38%, 03/10/20			1,095		1,088,507
3.25%, 05/14/21			1,000		1,004,614
ICICI Bank Ltd., 4.00%, 03/18/26			1,019		978,220
Industrial & Commercial Bank of China Asia Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.14%), 4.25%^(a)(j)			2,250		2,192,816
Industrial & Commercial Bank of China Ltd., 3.54%, 11/08/27			2,650		2,560,125
ING Groep NV, 4.10%, 10/02/23			645		653,024


Security		Par (000)		Value

Banks (continued)
Intesa Sanpaolo SpA:
(EUR Swap Annual 5 Year + 6.88%), 7.00%^(a)(j)	EUR		5,800	$	6,779,380
6.63%, 09/13/23			358		469,966
5.02%, 06/26/24^(b)	USD		1,500		1,376,428
5.71%, 01/15/26^(b)			1,000		926,388
(EUR Swap Annual 5 Year + 7.19%), 7.75%^(a)(j)	EUR		200		241,949
JPMorgan Chase & Co.:
2.25%, 01/23/20	USD		4,000		3,974,749
2.75%, 06/23/20			2,000		1,996,342
4.25%, 10/15/20			2,000		2,040,270
2.55%, 10/29/20			300		298,081
2.55%, 03/01/21			7,610		7,553,398
2.40%, 06/07/21			2,200		2,171,822
4.35%, 08/15/21			3,380		3,483,243
(LIBOR USD 3 Month + 0.73%), 3.56%, 04/23/24^(a)			1,230		1,236,806
(LIBOR USD 3 Month + 0.89%), 3.66%, 07/23/24^(a)			445		442,120
Series U, (LIBOR USD 3 Month + 0.95%), 3.51%, 02/02/37^(a)			27,182		22,754,324
Series W, (LIBOR USD 3 Month + 1.00%), 3.62%, 05/15/47^(a)			36,421		28,574,096
KBC Group NV, (EUR Swap Annual 5 Year + 4.76%), 5.63%^(a)(j)	EUR		2,711		3,122,882
KeyBank NA:
1.60%, 08/22/19	USD		520		516,969
3.30%, 02/01/22			385		387,099
KeyCorp, 5.10%, 03/24/21			2,800		2,917,634
Lloyds Bank plc, 2.70%, 08/17/20			2,000		1,988,894
Macquarie Bank Ltd.^(a)(j):
(USD Swap Semi 5 Year + 3.70%), 6.13%^(b)			45,445		40,730,081
(USD Swap Semi 5 Year + 3.70%), 6.13%			1,680		1,505,700
Manufacturers & Traders Trust Co., 2.05%, 08/17/20			2,000		1,971,084
Mitsubishi UFJ Financial Group, Inc.:
2.95%, 03/01/21			920		915,662
3.54%, 07/26/21			740		746,101
2.67%, 07/25/22			395		386,849
Nanyang Commercial Bank Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.21%), 5.00%^(a)(j)			2,500		2,362,263
National Australia Bank Ltd.:
2.63%, 07/23/20			4,000		3,989,350
(LIBOR USD 3 Month + 0.71%), 3.45%, 11/04/21^(a)(b)			1,000		1,003,561
2.40%, 12/07/21^(b)			2,500		2,464,375
National Westminster Bank plc, Series C, (LIBOR USD 3 Month + 0.25%), 3.00%^(a)(j)			2,100		1,638,000
Nordea Bank AB:
2.50%, 09/17/20^(b)			250		247,541
(EUR Swap Annual 5 Year + 3.00%), 3.50%^(a)(j)	EUR		575		591,713
Postal Savings Bank of China Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.63%), 4.50%^(a)(j)	USD		1,439		1,381,440
Regions Bank, (LIBOR USD 3 Month + 0.50%), 3.37%, 08/13/21^(a)			650		650,352
Regions Financial Corp., 3.20%, 02/08/21			500		499,903
Royal Bank of Scotland Group plc:
(USD Swap Semi 5 Year + 5.80%), 7.50%^(a)(j)			10,025		10,250,562


Security		Par (000)		Value

Banks (continued)
Royal Bank of Scotland Group plc (continued)
(USD Swap Semi 5 Year + 7.60%), 8.62%^(a)(j)	USD		37,458	$	39,881,533
6.13%, 12/15/22			1,750		1,839,398
Santander Holdings USA, Inc.:
4.45%, 12/03/21			700		711,724
3.70%, 03/28/22			425		424,477
Santander UK Group Holdings plc:
3.57%, 01/10/23			580		567,982
(LIBOR USD 3 Month + 1.08%), 3.37%, 01/05/24^(a)			250		241,512
(GBP Swap 5 Year + 5.79%), 6.75%^(a)(j)	GBP		1,825		2,415,448
Santander UK plc:
2.38%, 03/16/20	USD		3,000		2,978,958
2.50%, 01/05/21			590		580,529
3.75%, 11/15/21			990		1,000,257
5.00%, 11/07/23^(b)			11,225		11,296,930
Shinhan Financial Group Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.05%), 5.87%^(a)(j)			3,200		3,224,000
Skandinaviska Enskilda Banken AB:
(USD Swap Semi 5 Year + 3.85%), 5.75%^(a)(j)			4,800		4,782,000
2.63%, 03/15/21			1,000		989,179
(USD Swap Semi 5 Year + 3.49%), 5.63%^(a)(j)			1,000		971,286
Societe Generale SA^(a)(j):
(USD Swap Semi 5 Year + 6.24%), 7.38%^(b)			17,475		18,051,675
(USD Swap Semi 5 Year + 4.98%), 7.88%			3,200		3,277,920
(USD Swap Rate 5 Year + 5.87%), 8.00%^(b)			47,050		49,049,625
(USD Swap Semi 5 Year + 3.93%), 6.75%^(b)			10,850		9,900,625
Standard Chartered plc, (USD Swap Semi 5 Year + 6.30%), 7.50%^(a)(b)(j)			35,220		36,628,800
Sumitomo Mitsui Banking Corp., 2.51%, 01/17/20			1,300		1,295,756
Sumitomo Mitsui Financial Group, Inc.:
2.93%, 03/09/21			1,900		1,888,802
2.44%, 10/19/21			595		582,254
2.85%, 01/11/22			930		919,951
SunTrust Bank:
(LIBOR USD 3 Month + 0.50%), 3.53%, 10/26/21^(a)			2,240		2,250,552
2.45%, 08/01/22			690		672,166
Svenska Handelsbanken AB:
2.40%, 10/01/20			1,000		989,989
(USD Swap Semi 5 Year + 3.34%), 5.25%^(a)(j)			2,500		2,468,750
3.35%, 05/24/21			2,250		2,260,279
Swedbank AB^(a)(j):
(USD Swap Semi 5 Year + 3.77%), 5.50%			4,800		4,781,174
(USD Swap Semi 5 Year + 4.11%), 6.00%			800		798,000
Toronto-Dominion Bank (The), 2.13%, 04/07/21			4,160		4,093,179
UBS Group Funding Switzerland AG^(a):
(USD Swap Semi 5 Year + 5.46%), 7.13%^(j)			1,900		1,935,625
(USD Swap Rate 5 Year + 5.50%), 6.87%^(j)			19,590		20,104,238
(EUR Swap Annual 5 Year + 5.29%), 5.75%^(j)	EUR		2,984		3,694,948
(USD Swap Semi 5 Year + 2.43%), 5.00%^(j)	USD		5,725		4,980,750
(LIBOR USD 3 Month + 0.95%), 2.86%, 08/15/23^(b)			570		554,588
(USD Swap Semi 5 Year + 4.34%), 7.00%^(b)(j)			9,100		9,156,875


Security		Par (000)		Value

Banks (continued)
UBS Group Funding Switzerland AG (continued)
(USD Swap Semi 5 Year + 4.87%), 7.00%^(j)	USD		13,250	$	14,011,875
(USD Swap Semi 5 Year + 4.59%), 6.87%^(j)			5,176		5,183,153
UniCredit SpA:
(EUR Swap Annual 5 Year + 6.10%), 6.75%^(a)(j)	EUR		3,993		4,438,989
6.57%, 01/14/22^(b)	USD		4,500		4,597,079
(EUR Swap Annual 5 Year + 9.30%), 9.25%^(a)(j)	EUR		4,900		6,140,543
(EUR Swap Annual 5 Year + 4.10%), 5.75%, 10/28/25^(a)			1,345		1,590,823
(EUR Swap Annual 5 Year + 4.32%), 4.38%, 01/03/27^(a)			290		334,095
(USD Swap Rate 5 Year + 3.70%), 5.86%, 06/19/32^(a)(b)	USD		700		625,074
United Overseas Bank Ltd.^(a):
(USD Swap Semi 5 Year + 1.79%), 3.88%^(j)			1,993		1,848,816
(USD Swap Semi 5 Year + 1.65%), 2.88%, 03/08/27			1,300		1,259,980
US Bancorp, 4.13%, 05/24/21			1,200		1,229,466
Wells Fargo & Co.:
2.60%, 07/22/20			4,896		4,879,756
2.55%, 12/07/20			2,000		1,985,129
2.50%, 03/04/21			1,540		1,524,032
3.07%, 01/24/23			290		288,416
3.75%, 01/24/24			425		432,416
Wells Fargo Bank NA:
2.60%, 01/15/21			5,000		4,961,132
(LIBOR USD 3 Month + 0.49%), 3.33%, 07/23/21^(a)			1,400		1,404,595
3.63%, 10/22/21			1,700		1,724,932
Westpac Banking Corp., (USD Swap Rate 5 Year + 2.89%), 5.00%^(a)(j)			59,405		51,437,993
Woori Bank, 5.13%, 08/06/28			1,500		1,543,215
Yes Bank Ifsc Banking Unit Branch, 3.75%, 02/06/23			5,232		4,878,317
Zions Bancorp NA, 3.50%, 08/27/21			640		641,065

					962,906,698

Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc.:
2.65%, 02/01/21			4,379		4,361,016
3.30%, 02/01/23			1,505		1,501,520
Central American Bottling Corp., 5.75%, 01/31/27^(b)			6,794		6,751,538
Constellation Brands, Inc., 2.25%, 11/06/20			4,966		4,883,584
Cott Holdings, Inc., 5.50%, 04/01/25^(b)			500		495,000
Keurig Dr Pepper, Inc., 3.55%, 05/25/21^(b)			2,000		2,008,632

					20,001,290

Biotechnology — 0.1%
AbbVie, Inc.:
2.50%, 05/14/20			5,000		4,970,190
2.30%, 05/14/21			2,000		1,964,223
3.38%, 11/14/21			365		367,610
2.90%, 11/06/22			360		355,482
3.75%, 11/14/23			1,308		1,324,080
Amgen, Inc.:
4.50%, 03/15/20			1,936		1,971,195
2.20%, 05/11/20			2,000		1,982,144
Baxalta, Inc., 2.88%, 06/23/20			596		592,025
Biogen, Inc., 2.90%, 09/15/20			1,300		1,298,553
Celgene Corp., 2.88%, 08/15/20			2,500		2,495,346
Gilead Sciences, Inc., 2.55%, 09/01/20			2,000		1,988,668

					19,309,516


Security		Par (000)		Value

Building Products — 0.1%
BMBG Bond Finance SCA, 3.00%, 06/15/21	EUR		300	$	347,093
CIMPOR Financial Operations BV, 5.75%, 07/17/24^(b)	USD		500		436,875
CPG Merger Sub LLC, 8.00%, 10/01/21^(b)			933		909,675
Griffon Corp., 5.25%, 03/01/22			475		465,500
Masonite International Corp.^(b):
5.63%, 03/15/23			2,108		2,129,712
5.75%, 09/15/26			614		597,115
PGT Escrow Issuer, Inc., 6.75%, 08/01/26^(b)			310		314,650
St Marys Cement, Inc. Canada, 5.75%, 01/28/27^(b)			300		306,425
Standard Industries, Inc.^(b):
5.50%, 02/15/23			347		353,072
5.38%, 11/15/24			3,228		3,203,790
6.00%, 10/15/25			879		883,395
5.00%, 02/15/27			350		327,250
4.75%, 01/15/28			625		565,813
Summit Materials LLC, 6.13%, 07/15/23			400		402,880
USG Corp., 4.88%, 06/01/27^(b)			2,222		2,258,885

					13,502,130

Capital Markets — 1.7%
Ares Capital Corp., 3.88%, 01/15/20			2,000		2,004,976
Bank of New York Mellon Corp. (The):
2.45%, 11/27/20			1,000		992,517
2.05%, 05/03/21			1,145		1,126,600
(LIBOR USD 3 Month + 0.63%), 2.66%, 05/16/23^(a)			140		138,253
Blackstone CQP Holdco LP^(b):
6.50%, 03/20/21			4,649		4,637,377
6.00%, 08/18/21			768		763,392
CCTI Ltd., 3.63%, 08/08/22			3,765		3,604,743
China Cinda Finance Ltd., 4.25%, 04/23/25			5,980		5,869,436
Coastal Emerald Ltd., 5.95%, 01/13/20			6,000		5,992,500
Credit Suisse AG:
5.40%, 01/14/20			2,000		2,041,212
3.00%, 10/29/21			580		578,718
6.50%, 08/08/23^(b)			6,850		7,233,258
Credit Suisse Group AG:
3.57%, 01/09/23^(b)			865		855,839
(USD Swap Semi 5 Year + 4.60%), 7.50%^(a)(b)(j)			45,945		46,863,900
(USD Swap Semi 5 Year + 4.60%), 7.50%^(a)(j)			700		742,491
(USD Swap Semi 5 Year + 3.46%), 6.25%^(a)(b)(j)			33,984		33,598,825
(USD Swap Semi 5 Year + 3.46%), 6.25%^(a)(j)			600		593,200
Deutsche Bank AG:
4.50%, 04/01/25			1,000		921,395
(USD Swap Semi 5 Year + 2.25%), 4.30%, 05/24/28^(a)			20,291		18,017,102
(USD Swap Rate 5 Year + 2.55%), 4.88%, 12/01/32^(a)			700		590,100
Dresdner Funding Trust I, 8.15%, 06/30/31^(b)			650		786,401
Eagle Holding Co. II LLC, 7.63% (7.63% Cash or 8.38% PIK), 05/15/22^(b)(i)			637		637,000
Goldman Sachs Group, Inc. (The):
2.30%, 12/13/19			1,785		1,776,038
2.60%, 04/23/20			4,000		3,978,992
2.60%, 12/27/20			5,046		5,011,937
2.88%, 02/25/21			640		637,649
5.25%, 07/27/21			1,450		1,520,562
2.35%, 11/15/21			745		728,371


Security		Par (000)		Value

Capital Markets (continued)
Goldman Sachs Group, Inc. (The) (continued)
3.00%, 04/26/22	USD		1,270	$	1,256,106
(LIBOR USD 3 Month + 0.78%), 3.52%, 10/31/22^(a)			280		277,458
Guojing Capital BVI Ltd., 3.95%, 12/11/22			1,597		1,541,273
Huarong Universe Investment Holding Ltd., 1.63%, 12/05/22	EUR		1,675		1,641,233
Hubei Science & Technology Investment Group Hong Kong Ltd., 4.38%, 03/05/21	USD		285		276,695
Lions Gate Capital Holdings LLC^(b):
6.38%, 02/01/24			482		486,820
5.88%, 11/01/24			1,926		1,892,295
LPL Holdings, Inc., 5.75%, 09/15/25^(b)			1,403		1,379,570
Macquarie Group Ltd., (LIBOR USD 3 Month + 1.02%), 3.19%, 11/28/23^(a)			1,908		1,843,180
Moody’s Corp.:
2.75%, 12/15/21			185		182,302
2.63%, 01/15/23			455		441,339
Morgan Stanley:
5.50%, 01/26/20			2,000		2,057,632
2.65%, 01/27/20			2,000		1,993,791
2.80%, 06/16/20			2,000		1,996,994
5.50%, 07/24/20			2,000		2,070,429
5.75%, 01/25/21			1,370		1,438,249
2.50%, 04/21/21			1,610		1,589,358
2.63%, 11/17/21			4,490		4,427,956
(LIBOR USD 3 Month + 0.93%), 3.69%, 07/22/22^(a)			295		295,838
(LIBOR USD 3 Month + 0.85%), 3.74%, 04/24/24^(a)			575		581,539
MSCI, Inc.^(b):
5.25%, 11/15/24			630		641,025
5.75%, 08/15/25			430		446,125
4.75%, 08/01/26			345		343,706
5.38%, 05/15/27			2,755		2,796,325
Pershing Square Holdings Ltd., 5.50%, 07/15/22^(b)			4,100		4,100,615
S&P Global, Inc., 3.30%, 08/14/20			1,069		1,074,843
State Street Corp., (LIBOR USD 3 Month + 1.00%), 3.79%, 06/15/47^(a)			72,906		55,955,357
SURA Asset Management SA, 4.88%, 04/17/24^(b)			8,838		8,970,570
UBS AG:
2.38%, 08/14/19			1,000		998,331
2.35%, 03/26/20			4,000		3,981,099

					259,220,837

Chemicals — 0.6%
Alpha 3 BV, 6.25%, 02/01/25^(b)			4,090		3,866,686
Ashland LLC, 4.75%, 08/15/22			825		830,156
Blue Cube Spinco LLC:
9.75%, 10/15/23			1,444		1,610,060
10.00%, 10/15/25			5,015		5,729,637
CF Industries, Inc.:
7.13%, 05/01/20			434		449,190
5.38%, 03/15/44			500		434,525
Chemours Co. (The):
6.63%, 05/15/23			1,106		1,143,328
7.00%, 05/15/25			1,827		1,906,931
5.38%, 05/15/27			2,438		2,340,480
CNAC HK Finbridge Co. Ltd.:
4.13%, 03/14/21			1,952		1,957,163
4.63%, 03/14/23			3,815		3,894,104
4.88%, 03/14/25			2,500		2,596,875
4.13%, 07/19/27			1,144		1,126,840
5.13%, 03/14/28			292		306,965


Security		Par (000)		Value

Chemicals (continued)
CNAC HK Synbridge Co. Ltd., 5.00%, 05/05/20	USD		10,997	$	11,024,493
Consolidated Energy Finance SA, 6.88%, 06/15/25^(b)			350		344,750
CVR Partners LP, 9.25%, 06/15/23^(b)			350		365,750
Dow Chemical Co. (The), 4.25%, 11/15/20			1,042		1,062,006
DowDuPont, Inc., 3.77%, 11/15/20			605		613,087
Fufeng Group Ltd., 5.88%, 08/28/21			2,565		2,592,137
FXI Holdings, Inc., 7.88%, 11/01/24^(b)			395		373,275
Gates Global LLC, 6.00%, 07/15/22^(b)			4,034		4,055,380
GCB MPM Escrow LLC, 8.88%, 10/15/20^(d)			450		—
GCP Applied Technologies, Inc., 5.50%, 04/15/26^(b)			596		592,275
Hexion, Inc., 10.38%, 02/01/22^(b)			521		416,800
Huntsman International LLC:
4.88%, 11/15/20			500		508,750
5.13%, 11/15/22			1,420		1,469,700
INEOS Finance plc, 4.00%, 05/01/23	EUR		1,361		1,580,357
INEOS Group Holdings SA:
5.38%, 08/01/24			450		522,281
5.63%, 08/01/24^(b)	USD		400		383,788
International Flavors & Fragrances, Inc., 3.40%, 09/25/20			555		557,051
INVISTA Finance LLC, 4.25%, 10/15/19^(b)			200		200,000
Koppers, Inc., 6.00%, 02/15/25^(b)			464		412,960
Momentive Performance Materials, Inc., 3.88%, 10/24/21			1,602		1,717,680
Monitchem HoldCo 3 SA, 5.25%, 06/15/21	EUR		200		227,318
NOVA Chemicals Corp., 4.88%, 06/01/24^(b)	USD		918		872,100
OCI NV:
5.00%, 04/15/23	EUR		520		624,136
6.63%, 04/15/23^(b)	USD		200		205,500
Olin Corp.:
5.13%, 09/15/27			1,117		1,089,075
5.00%, 02/01/30			351		323,798
Pearl Holding III Ltd., 9.50%, 12/11/22			1,200		1,032,000
Platform Specialty Products Corp.^(b):
6.50%, 02/01/22			8,505		8,621,944
5.88%, 12/01/25			4,574		4,562,565
PolyOne Corp., 5.25%, 03/15/23			400		402,000
PQ Corp.^(b):
6.75%, 11/15/22			811		847,901
5.75%, 12/15/25			3,258		3,111,390
PSPC Escrow Corp., 6.00%, 02/01/23	EUR		1,360		1,605,224
Rain CII Carbon LLC, 7.25%, 04/01/25^(b)	USD		400		354,248
Rayonier AM Products, Inc., 5.50%, 06/01/24^(b)			400		361,620
Rock International Investment, Inc., 6.63%, 03/27/20			3,100		2,392,354
Sherwin-Williams Co. (The), 2.25%, 05/15/20			2,000		1,978,456
Solvay Finance SA^(a)(j):
(EUR Swap Annual 5 Year + 4.89%), 5.12%	EUR		897		1,101,142
(EUR Swap Annual 5 Year + 3.70%), 5.42%			472		590,900
(EUR Swap Annual 5 Year + 5.22%), 5.87%			300		381,667
Solvay SA, (EUR Swap Annual 5 Year + 3.92%), 4.25%^(a)(j)			100		117,751
SPCM SA, 4.88%, 09/15/25^(b)	USD		400		376,000
Trinseo Materials Operating SCA, 5.38%, 09/01/25^(b)			400		362,120


Security		Par (000)		Value

Chemicals (continued)
Tronox, Inc., 6.50%, 04/15/26^(b)	USD		500	$	437,500
UPL Corp. Ltd., 4.50%, 03/08/28			6,000		5,602,600
WR Grace & Co., 5.13%, 10/01/21^(b)			3,337		3,428,767

					97,995,536

Commercial Services & Supplies — 0.3%
AA Bond Co. Ltd.:
4.25%, 07/31/20	GBP		290		386,385
4.88%, 07/31/24			490		611,325
ADT Security Corp. (The):
6.25%, 10/15/21	USD		925		972,406
3.50%, 07/15/22			2,067		1,989,488
4.13%, 06/15/23			1,908		1,836,450
4.88%, 07/15/32^(b)			1,717		1,390,770
Algeco Global Finance plc, 8.00%, 02/15/23^(b)			3,480		3,384,300
APX Group, Inc.:
8.75%, 12/01/20			2,003		1,951,673
7.88%, 12/01/22			2,905		2,810,588
Aramark Services, Inc.:
5.13%, 01/15/24			941		950,796
5.00%, 04/01/25^(b)			612		615,060
4.75%, 06/01/26			350		343,875
5.00%, 02/01/28^(b)			1,090		1,064,112
Blitz F18-674 GmbH, 6.00%, 07/30/26	EUR		504		576,157
Brink’s Co. (The), 4.63%, 10/15/27^(b)	USD		425		403,750
Harland Clarke Holdings Corp., 8.38%, 08/15/22^(b)			565		529,687
Intrum AB:
2.75%, 07/15/22	EUR		1,169		1,301,237
3.13%, 07/15/24			140		152,003
KAR Auction Services, Inc., 5.13%, 06/01/25^(b)	USD		1,692		1,630,377
Mobile Mini, Inc., 5.88%, 07/01/24			2,117		2,127,585
Nielsen Co. Luxembourg SARL (The)^(b):
5.50%, 10/01/21			100		100,780
5.00%, 02/01/25			231		229,268
Nielsen Finance LLC:
4.50%, 10/01/20			600		598,500
5.00%, 04/15/22^(b)			1,625		1,622,562
Paprec Holding SA, 4.00%, 03/31/25	EUR		361		351,220
Pitney Bowes, Inc., 4.95%, 04/01/23	USD		2,000		1,843,760
Prime Security Services Borrower LLC, 9.25%, 05/15/23^(b)			8,081		8,545,658
Republic Services, Inc., 5.00%, 03/01/20			2,900		2,963,951
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25^(b)			450		452,250
SPIE SA, 3.13%, 03/22/24	EUR		300		345,063
Tervita Escrow Corp., 7.63%, 12/01/21^(b)	USD		1,533		1,506,173
Verisure Holding AB, 3.50%, 05/15/23	EUR		705		812,995
Verisure Midholding AB, 5.75%, 12/01/23			929		1,060,675
Waste Pro USA, Inc., 5.50%, 02/15/26^(b)	USD		893		866,210
West Corp., 8.50%, 10/15/25^(b)			825		687,844

					47,014,933

Communications Equipment — 0.1%
Cisco Systems, Inc., 2.20%, 02/28/21			2,000		1,980,128
CommScope Technologies LLC^(b):
6.00%, 06/15/25			675		636,188
5.00%, 03/15/27			1,075		916,330
CommScope, Inc., 5.50%, 06/15/24^(b)			2,423		2,265,505
Nokia OYJ:
3.38%, 06/12/22			395		388,581
4.38%, 06/12/27			380		367,764
6.63%, 05/15/39			1,698		1,765,920


Security		Par (000)		Value

Communications Equipment (continued)
Telefonaktiebolaget LM Ericsson:
4.13%, 05/15/22	USD		725	$	724,652
1.88%, 03/01/24	EUR		300		342,796
ViaSat, Inc., 5.63%, 09/15/25^(b)	USD		500		470,000

					9,857,864

Construction & Engineering — 0.1%
AECOM:
5.88%, 10/15/24			1,580		1,644,780
5.13%, 03/15/27			300		282,750
Brand Industrial Services, Inc., 8.50%, 07/15/25^(b)			803		717,681
Chalieco Hong Kong Corp. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 8.29%), 5.70%^(a)(j)			1,459		1,460,583
Chang Development International Ltd., 3.63%, 01/20/20			2,100		2,054,094
China City Construction International Co. Ltd., 5.35%, 07/03/17^(f)(k)	CNY		6,794		708,901
China Singyes Solar Technologies Holdings Ltd.^(f)(k):
0.00%, 02/15/19^(l)	USD		1,398		817,830
6.75%, 10/17/19			217		131,285
CRCC Yupeng Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 7.25%), 3.95%^(a)(j)			1,000		998,325
Leader Goal International Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.92%), 4.25%^(a)(j)			1,500		1,441,875
Mexico City Airport Trust, 4.25%, 10/31/26^(b)			7,105		6,554,362
Tutor Perini Corp., 6.88%, 05/01/25^(b)			839		829,788
Weekley Homes LLC, 6.63%, 08/15/25			88		80,960
Zhaohai Investment BVI Ltd., 4.00%, 07/23/20			454		441,858
Zhejiang Baron BVI Co. Ltd., 6.80%, 08/27/21			2,995		2,980,025

					21,145,097

Construction Materials — 0.0%
Buzzi Unicem SpA, 2.13%, 04/28/23	EUR		400		465,840


Consumer Finance — 0.8%
AerCap Ireland Capital DAC:
4.50%, 05/15/21	USD		4,583		4,637,258
4.45%, 12/16/21			1,500		1,517,583
3.95%, 02/01/22			1,155		1,146,923
Ally Financial, Inc.:
3.75%, 11/18/19			750		750,937
8.00%, 03/15/20			400		418,500
4.13%, 03/30/20			1,610		1,612,013
4.25%, 04/15/21			400		402,000
4.63%, 05/19/22			530		540,335
5.13%, 09/30/24			3,100		3,212,375
4.63%, 03/30/25			500		509,195
5.75%, 11/20/25			975		1,021,566
8.00%, 11/01/31			10,404		12,484,800
American Express Co.:
3.70%, 11/05/21			1,700		1,726,611
2.50%, 08/01/22			825		806,085
American Express Credit Corp.:
2.20%, 03/03/20			2,000		1,987,126
2.25%, 05/05/21			4,000		3,942,927
American Honda Finance Corp., 3.15%, 01/08/21			1,025		1,029,412
Avation Capital SA, 6.50%, 05/15/21^(b)			365		363,631
Capital One Financial Corp.:
2.50%, 05/12/20			2,000		1,985,918


Security		Par (000)		Value

Consumer Finance (continued)
Capital One Financial Corp. (continued)
3.45%, 04/30/21	USD		3,000	$	3,014,649
3.20%, 01/30/23			420		412,960
Caterpillar Financial Services Corp.:
3.35%, 12/07/20			1,700		1,715,012
1.70%, 08/09/21			1,000		973,251
3.15%, 09/07/21			310		311,656
CDBL Funding 1:
4.25%, 12/02/24			3,800		3,800,361
3.50%, 10/24/27			2,370		2,193,673
Ford Motor Credit Co. LLC:
1.90%, 08/12/19			2,010		1,993,662
2.43%, 06/12/20			900		879,236
5.09%, 01/07/21			325		329,131
3.20%, 01/15/21			3,230		3,158,055
3.34%, 03/18/21			3,065		2,977,207
3.47%, 04/05/21			1,000		972,513
3.34%, 03/28/22			285		269,603
General Motors Financial Co., Inc.:
2.35%, 10/04/19			1,300		1,294,574
3.20%, 07/13/20			3,100		3,091,151
4.20%, 03/01/21			2,000		2,011,403
3.55%, 04/09/21			2,000		1,991,649
4.20%, 11/06/21			1,995		2,007,954
3.15%, 06/30/22			435		420,591
3.25%, 01/05/23			550		524,574
goeasy Ltd., 7.88%, 11/01/22^(b)			1,400		1,466,500
HSBC USA, Inc.:
2.35%, 03/05/20			1,000		993,778
2.75%, 08/07/20			3,000		2,987,829
5.00%, 09/27/20			380		390,283
ICBCIL Finance Co. Ltd., 3.38%, 04/05/22			4,925		4,847,407
Intrepid Aviation Group Holdings LLC, 8.50%, 08/15/21^(b)			790		796,912
John Deere Capital Corp., 3.20%, 01/10/22			460		465,540
King Talent Management Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.52%), 5.60%^(a)(j)			1,700		1,506,625
Lincoln Finance Ltd., 6.88%, 04/15/21	EUR		200		234,931
Mulhacen Pte. Ltd., 6.50% (6.50% Cash or 7.25% PIK), 08/01/23⁽ⁱ⁾			5,323		6,051,580
Navient Corp.:
8.00%, 03/25/20	USD		875		911,094
5.00%, 10/26/20			545		547,044
6.63%, 07/26/21			588		604,170
6.50%, 06/15/22			809		826,434
5.50%, 01/25/23			3,216		3,103,440
7.25%, 09/25/23			1,010		1,027,675
6.13%, 03/25/24			650		621,969
5.88%, 10/25/24			770		723,800
6.75%, 06/25/25			121		116,311
6.75%, 06/15/26			431		406,209
5.63%, 08/01/33			435		331,687
New Lion Bridge Co. Ltd., 9.75%, 10/10/20			945		867,168
Springleaf Finance Corp.:
5.25%, 12/15/19			600		603,750
8.25%, 12/15/20			645		688,537
7.75%, 10/01/21			250		263,125
6.13%, 05/15/22			800		822,336
5.63%, 03/15/23			1,136		1,118,960
6.88%, 03/15/25			2,906		2,778,862
7.13%, 03/15/26			2,509		2,389,823
Tarjeta Naranja SA, (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.50%), 49.44%, 04/11/22^(a)(b)			3,865		1,546,000


Security		Par (000)		Value

Consumer Finance (continued)
Toyota Motor Credit Corp.:
3.05%, 01/08/21	USD		750	$	755,365
2.95%, 04/13/21			2,500		2,507,781

					117,740,985

Containers & Packaging — 0.3%
Ardagh Packaging Finance plc:
4.25%, 09/15/22^(b)			500		494,900
4.13%, 05/15/23	EUR		994		1,169,111
4.63%, 05/15/23^(b)	USD		4,061		4,061,000
6.75%, 05/15/24	EUR		738		892,314
7.25%, 05/15/24^(b)	USD		4,557		4,710,799
6.00%, 02/15/25^(b)			2,000		1,945,000
4.75%, 07/15/27	GBP		1,020		1,214,083
Ball Corp.:
4.38%, 12/15/20	USD		675		684,281
5.00%, 03/15/22			400		413,384
4.00%, 11/15/23			300		300,720
5.25%, 07/01/25			550		575,383
Berry Global, Inc.:
5.50%, 05/15/22			150		150,981
5.13%, 07/15/23			600		601,698
4.50%, 02/15/26^(b)			380		358,150
BWAY Holding Co.:
4.75%, 04/15/24	EUR		771		877,799
5.50%, 04/15/24^(b)	USD		4,389		4,287,526
Crown Americas LLC:
4.50%, 01/15/23			750		753,750
4.75%, 02/01/26			5,825		5,708,500
4.25%, 09/30/26			487		462,650
Crown European Holdings SA:
2.25%, 02/01/23^(b)	EUR		100		117,026
3.38%, 05/15/25			289		344,378
Greif, Inc., 6.50%, 03/01/27^(b)	USD		883		888,519
Guala Closures SpA, (EURIBOR 3 Month + 3.50%), 3.50%, 04/15/24^(a)	EUR		320		367,023
Horizon Parent Holdings SARL, 8.25% (8.25% Cash or 9.00% PIK), 02/15/22⁽ⁱ⁾			625		728,788
Owens-Brockway Glass Container, Inc.^(b):
5.00%, 01/15/22	USD		350		353,500
5.88%, 08/15/23			450		465,750
Packaging Corp. of America, 2.45%, 12/15/20			1,600		1,577,842
Plastipak Holdings, Inc., 6.25%, 10/15/25^(b)			350		315,875
Reynolds Group Issuer, Inc.:
5.75%, 10/15/20			2,757		2,767,588
6.87%, 02/15/21			296		297,401
(LIBOR USD 3 Month + 3.50%), 6.29%, 07/15/21^(a)(b)			1,362		1,365,405
5.13%, 07/15/23^(b)			1,261		1,263,333
7.00%, 07/15/24^(b)			2,666		2,725,985
Sealed Air Corp.:
4.88%, 12/01/22^(b)			1,192		1,203,920
5.25%, 04/01/23^(b)			360		366,300
4.50%, 09/15/23	EUR		287		360,818
Silgan Holdings, Inc., 3.25%, 03/15/25			410		482,022
WestRock RKT Co., 3.50%, 03/01/20	USD		2,000		2,000,032
WRKCo, Inc., 3.75%, 03/15/25^(b)			100		98,192

					47,751,726

Distributors — 0.0%
Autodis SA:
(EURIBOR 3 Month + 4.38%), 4.38%, 05/01/22^(a)	EUR		461		517,340
4.38%, 05/01/22			275		306,096


Security		Par (000)		Value

Distributors (continued)
Core & Main LP, 6.13%, 08/15/25^(b)	USD		2,002	$	1,906,905
LKQ Corp., 4.75%, 05/15/23			400		402,000
Parts Europe SA, (EURIBOR 3 Month + 5.50%), 5.18%, 05/01/22^(a)	EUR		552		627,080
Tewoo Group No. 5 Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 8.37%), 5.80%^(a)(j)	USD		3,000		2,445,000

					6,204,421

Diversified Consumer Services — 0.1%
frontdoor, Inc., 6.75%, 08/15/26^(b)			1,560		1,548,300
Graham Holdings Co., 5.75%, 06/01/26^(b)			730		755,550
Laureate Education, Inc., 8.25%, 05/01/25^(b)			384		416,640
Service Corp. International:
5.38%, 05/15/24			550		561,688
4.63%, 12/15/27			1,433		1,397,175
ServiceMaster Co. LLC (The), 5.13%, 11/15/24^(b)			5,424		5,301,960

					9,981,313

Diversified Financial Services — 0.4%
Arrow Global Finance plc:
5.13%, 09/15/24	GBP		575		699,493
(EURIBOR 3 Month + 2.88%), 2.88%, 04/01/25^(a)	EUR		424		453,930
(EURIBOR 3 Month + 3.75%), 3.75%, 03/01/26^(a)			132		143,929
Cabot Financial Luxembourg SA, 6.50%, 04/01/21	GBP		200		258,378
CFX Escrow Corp.^(b):
6.00%, 02/15/24	USD		1,529		1,538,556
6.38%, 02/15/26			997		997,000
CK Hutchison International 16 Ltd., 1.88%, 10/03/21^(b)			905		870,655
Far East Horizon Ltd., (LIBOR USD 3 Month + 2.00%), 4.81%, 07/03/21^(a)			1,790		1,779,853
Garfunkelux Holdco 3 SA:
7.50%, 08/01/22	EUR		670		671,022
(EURIBOR 3 Month + 4.50%), 4.50%, 09/01/23^(a)			330		308,123
GE Capital International Funding Co. Unlimited Co., 2.34%, 11/15/20	USD		2,093		2,043,568
HBOS Capital Funding LP, 6.85%^(j)			5,130		5,155,650
Hutchison Whampoa International 14 Ltd., 3.63%, 10/31/24			7,000		6,975,807
Jefferies Finance LLC^(b):
7.38%, 04/01/20			1,555		1,558,888
6.88%, 04/15/22			876		865,050
LHC3 plc, 4.12% (4.12% Cash or 9.00% PIK), 08/15/24⁽ⁱ⁾	EUR		1,356		1,544,100
National Rural Utilities Cooperative Finance Corp., 2.35%, 06/15/20	USD		600		596,283
Nexi Capital SpA:
(EURIBOR 3 Month + 3.63%), 3.63%, 05/01/23^(a)	EUR		607		691,298
4.13%, 11/01/23			134		155,539
Refinitiv US Holdings, Inc.:
4.50%, 05/15/26^(b)			2,815		3,143,560
4.50%, 05/15/26			1,131		1,263,007
6.25%, 05/15/26^(b)	USD		8,888		8,732,460
6.88%, 11/15/26	EUR		459		478,876
8.25%, 11/15/26^(b)	USD		2,300		2,156,250
Shell International Finance BV, 1.88%, 05/10/21			2,000		1,962,423


Security		Par (000)		Value

Diversified Financial Services (continued)
Siemens Financieringsmaatschappij NV, 2.70%, 03/16/22^(b)	USD		290	$	286,709
Synchrony Bank, 3.65%, 05/24/21			900		897,843
Tempo Acquisition LLC, 6.75%, 06/01/25^(b)			2,198		2,170,525
Travelport Corporate Finance plc, 6.00%, 03/15/26^(b)			1,100		1,137,807
Vantiv LLC^(b):
3.88%, 11/15/25	GBP		648		821,309
4.38%, 11/15/25	USD		621		596,147
Verscend Escrow Corp., 9.75%, 08/15/26^(b)			3,106		3,127,121
VFH Parent LLC, 6.75%, 06/15/22^(b)			355		360,325
Voya Financial, Inc., (LIBOR USD 3 Month + 3.58%), 5.65%, 05/15/53^(a)			500		485,000

					54,926,484

Diversified Telecommunication Services — 0.8%
Altice France SA^(b):
6.25%, 05/15/24			1,000		980,300
7.38%, 05/01/26			7,442		7,172,153
8.13%, 02/01/27			4,167		4,093,661
Arqiva Broadcast Finance plc, 6.75%, 09/30/23	GBP		217		295,970
AT&T, Inc.:
5.20%, 03/15/20	USD		1,040		1,064,962
2.80%, 02/17/21			3,000		2,984,642
5.00%, 03/01/21			2,000		2,072,955
3.88%, 08/15/21			2,000		2,035,870
3.20%, 03/01/22			120		119,989
3.80%, 03/15/22			1,310		1,330,436
Bakrie Telecom Pte. Ltd., 11.50%, 05/07/15^(f)(k)			1,000		10,000
CCO Holdings LLC:
5.25%, 09/30/22			800		808,740
5.13%, 02/15/23			1,000		1,010,000
4.00%, 03/01/23^(b)			165		160,932
5.13%, 05/01/23^(b)			800		810,704
5.75%, 01/15/24			425		433,500
5.88%, 04/01/24^(b)			1,000		1,025,240
5.38%, 05/01/25^(b)			400		402,120
5.75%, 02/15/26^(b)			1,500		1,522,500
5.50%, 05/01/26^(b)			800		798,000
5.13%, 05/01/27^(b)			11,831		11,431,349
5.88%, 05/01/27^(b)			630		631,764
5.00%, 02/01/28^(b)			2,651		2,518,450
CenturyLink, Inc.:
Series V, 5.63%, 04/01/20			590		595,339
Series S, 6.45%, 06/15/21			3,280		3,338,384
Series T, 5.80%, 03/15/22			1,000		1,002,130
Series W, 6.75%, 12/01/23			668		672,175
Series Y, 7.50%, 04/01/24			3,040		3,085,600
5.63%, 04/01/25			750		678,750
Series P, 7.60%, 09/15/39			1,935		1,586,700
Series U, 7.65%, 03/15/42			3,417		2,832,864
Cincinnati Bell, Inc., 7.00%, 07/15/24^(b)			2,055		1,767,300
Consolidated Communications, Inc., 6.50%, 10/01/22			350		320,250
DKT Finance ApS:
7.00%, 06/17/23	EUR		1,409		1,741,761
9.38%, 06/17/23^(b)	USD		1,200		1,263,000
eircom Finance DAC, 4.50%, 05/31/22	EUR		625		729,983
Embarq Corp., 8.00%, 06/01/36	USD		3,117		2,945,565
Frontier Communications Corp.:
7.13%, 03/15/19			40		39,400
10.50%, 09/15/22			946		677,573


Security		Par (000)		Value

Diversified Telecommunication Services (continued)
Frontier Communications Corp. (continued)
11.00%, 09/15/25	USD		7,011	$	4,517,713
8.50%, 04/01/26^(b)			1,953		1,771,859
Intelsat Jackson Holdings SA:
5.50%, 08/01/23			2,283		2,077,530
8.00%, 02/15/24^(b)			1,040		1,082,900
8.50%, 10/15/24^(b)			4,166		4,208,910
9.75%, 07/15/25^(b)			4,013		4,178,536
Koninklijke KPN NV, (USD Swap Semi 10 Year + 5.33%), 7.00%, 03/28/73^(a)(b)			200		207,000
Level 3 Financing, Inc.:
6.13%, 01/15/21			25		25,062
5.38%, 08/15/22			2,271		2,288,714
5.63%, 02/01/23			400		402,000
5.13%, 05/01/23			590		584,837
5.38%, 01/15/24			1,089		1,083,555
5.38%, 05/01/25			2,464		2,433,200
5.25%, 03/15/26			2,255		2,188,027
Level 3 Parent LLC, 5.75%, 12/01/22			1,280		1,280,000
OTE plc, 3.50%, 07/09/20	EUR		686		810,439
Qwest Corp.:
6.75%, 12/01/21	USD		500		534,385
6.88%, 09/15/33			500		471,019
Sable International Finance Ltd., 6.88%, 08/01/22^(b)			328		340,300
Sprint Capital Corp.:
6.90%, 05/01/19			1,000		1,006,500
6.88%, 11/15/28			1,050		1,042,125
8.75%, 03/15/32			1,250		1,371,875
TDC A/S:
3.75%, 03/02/22	EUR		560		706,736
5.63%, 02/23/23	GBP		500		724,371
Telecom Italia Capital SA:
6.38%, 11/15/33	USD		1,040		944,320
6.00%, 09/30/34			3,845		3,346,304
7.72%, 06/04/38			71		70,666
Telecom Italia Finance SA, 7.75%, 01/24/33	EUR		527		725,553
Telecom Italia SpA:
1.13%, 03/26/22^(m)			1,800		1,912,201
5.88%, 05/19/23	GBP		700		950,498
4.00%, 04/11/24	EUR		578		663,302
5.30%, 05/30/24^(b)	USD		1,337		1,270,150
Telesat Canada, 8.88%, 11/15/24^(b)			1,409		1,477,689
Verizon Communications, Inc.:
4.60%, 04/01/21			2,000		2,069,039
5.15%, 09/15/23			291		316,154
Virgin Media Finance plc:
6.00%, 10/15/24^(b)			950		962,160
6.38%, 10/15/24	GBP		460		617,032
4.50%, 01/15/25	EUR		674		790,747
5.75%, 01/15/25^(b)	USD		5,314		5,236,309
Virgin Media Secured Finance plc:
5.13%, 01/15/25	GBP		200		264,956
5.50%, 01/15/25			270		358,559
5.25%, 01/15/26^(b)	USD		2,065		2,034,025
5.50%, 08/15/26^(b)			500		491,250
4.88%, 01/15/27	GBP		945		1,189,685
6.25%, 03/28/29			1,043		1,405,619
Windstream Services LLC, 8.63%, 10/31/25^(b)	USD		450		424,125
WTT Investment Ltd., 5.50%, 11/21/22^(b)			500		497,220

					130,346,167

Electric Utilities — 0.5%
1MDB Energy Ltd., 5.99%, 05/11/22			5,700		5,828,250
Adani Transmission Ltd., 4.00%, 08/03/26			1,406		1,260,627


Security		Par (000)		Value

Electric Utilities (continued)
Alliant Energy Finance LLC, 3.75%, 06/15/23^(b)	USD		520	$	523,299
American Electric Power Co., Inc.:
2.15%, 11/13/20			545		536,258
Series I, 3.65%, 12/01/21			430		435,815
Series F, 2.95%, 12/15/22			390		386,637
ContourGlobal Power Holdings SA, 3.38%, 08/01/23	EUR		804		916,080
DPL, Inc., 7.25%, 10/15/21	USD		306		325,125
Duke Energy Carolinas LLC, 3.35%, 05/15/22			1,700		1,731,334
Duke Energy Corp.:
3.55%, 09/15/21			600		604,033
3.95%, 10/15/23			820		837,963
Duke Energy Indiana LLC, 3.75%, 07/15/20			650		658,266
Edison International, 2.13%, 04/15/20			500		484,356
EDP — Energias de Portugal SA, (EUR Swap Annual 5 Year + 4.29%), 4.50%, 04/30/79^(a)	EUR		600		691,911
Emera, Inc., Series 16-A, (LIBOR USD 3 Month + 5.44%), 6.75%, 06/15/76^(a)	USD		9,025		9,205,500
Enel Americas SA, 4.00%, 10/25/26			7,217		7,000,490
Enel SpA, (GBP Swap 5 Year + 5.66%), 7.75%, 09/10/75^(a)	GBP		195		272,960
Eversource Energy, 2.50%, 03/15/21	USD		1,000		982,819
Exelon Corp., 2.45%, 04/15/21			805		787,478
FirstEnergy Corp., Series A, 2.85%, 07/15/22			464		452,389
Georgia Power Co., Series C, 2.00%, 09/08/20			1,000		985,392
Greenko Investment Co., 4.88%, 08/16/23			3,036		2,817,605
Huachen Energy Co. Ltd., 6.63%, 05/18/20^(f)(k)			2,100		1,424,052
Kallpa Generacion SA, 4.88%, 05/24/26			11,645		11,499,437
Minejesa Capital BV, 4.63%, 08/10/30			1,425		1,362,108
Naturgy Finance BV, (EUR Swap Annual 8 Year + 3.35%), 4.13%^(a)(j)	EUR		1,600		1,902,153
NextEra Energy Capital Holdings, Inc., Series H, 3.34%, 09/01/20	USD		895		899,283
NextEra Energy Operating Partners LP^(b):
4.25%, 09/15/24			645		614,556
4.50%, 09/15/27			408		371,025
NV Energy, Inc., 6.25%, 11/15/20			790		833,193
Pampa Energia SA, 7.38%, 07/21/23^(b)			5,795		5,512,494
Progress Energy, Inc., 4.40%, 01/15/21			500		510,083
Southern California Edison Co., Series A, 2.90%, 03/01/21			1,000		982,364
Southern Co. (The), Series B, (LIBOR USD 3 Month + 3.63%), 5.50%, 03/15/57^(a)			4,425		4,398,877
Virginia Electric & Power Co., Series C, 2.75%, 03/15/23			1,495		1,471,843
Vistra Operations Co. LLC^(b):
5.50%, 09/01/26			10		10,125
5.63%, 02/15/27			1,796		1,804,980
Westar Energy, Inc., 5.10%, 07/15/20			500		513,860
Wisconsin Electric Power Co., 2.95%, 09/15/21			1,000		998,152
Xcel Energy, Inc., 2.40%, 03/15/21			1,000		985,018
Yunnan Energy Investment Finance Co. Ltd., 3.00%, 04/26/19			212		209,880
Yunnan Energy Investment Overseas Finance Co. Ltd., 3.50%, 12/13/19			236		231,279

					74,259,349

Electrical Equipment — 0.1%
Energizer Gamma Acquisition BV, 4.63%, 07/15/26	EUR		855		959,442
Orano SA, 4.88%, 09/23/24			650		772,686


Security		Par (000)		Value

Electrical Equipment (continued)
Sensata Technologies BV^(b):
4.88%, 10/15/23	USD		175	$	175,437
5.00%, 10/01/25			4,067		4,087,335
Vertiv Group Corp., 9.25%, 10/15/24^(b)			2,893		2,690,490

					8,685,390

Electronic Equipment, Instruments & Components — 0.1%
Amphenol Corp., 2.20%, 04/01/20			1,030		1,019,475
Belden, Inc., 4.13%, 10/15/26	EUR		1,060		1,235,722
CDW LLC:
5.00%, 09/01/23	USD		525		526,312
5.50%, 12/01/24			5,313		5,496,298
5.00%, 09/01/25			2,425		2,406,813
Ingram Micro, Inc., 5.45%, 12/15/24			375		366,065

					11,050,685

Energy Equipment & Services — 0.3%
Anton Oilfield Services Group, 9.75%, 12/05/20			1,769		1,726,611
Baker Hughes a GE Co. LLC, 2.77%, 12/15/22			340		332,395
Diamond Offshore Drilling, Inc.:
7.88%, 08/15/25			356		336,420
5.70%, 10/15/39			325		222,625
4.88%, 11/01/43			1,409		866,535
Ensco Jersey Finance Ltd., 3.00%, 01/31/24^(m)			779		606,839
Ensco plc:
4.50%, 10/01/24			525		389,812
5.20%, 03/15/25			1,721		1,282,145
7.75%, 02/01/26			1,672		1,342,825
5.75%, 10/01/44			2,206		1,439,415
Hi-Crush Partners LP, 9.50%, 08/01/26^(b)			475		375,250
Hilong Holding Ltd., 7.25%, 06/22/20			1,580		1,472,568
McDermott Technology Americas, Inc., 10.63%, 05/01/24^(b)			2,847		2,548,065
Nabors Industries, Inc.:
5.00%, 09/15/20			500		492,500
4.63%, 09/15/21			500		473,125
5.75%, 02/01/25			1,070		930,900
Nine Energy Service, Inc., 8.75%, 11/01/23^(b)			300		300,750
Noble Holding International Ltd.:
7.75%, 01/15/24			149		125,160
7.88%, 02/01/26^(b)			3,196		2,956,300
5.25%, 03/15/42			252		151,200
Oceaneering International, Inc., 4.65%, 11/15/24			252		214,200
Oil and Gas Holding Co. BSCC (The), 7.50%, 10/25/27			950		983,250
Pacific Drilling SA, 8.38%, 10/01/23^(b)			3,433		3,407,252
Rowan Cos., Inc., 4.88%, 06/01/22			1,355		1,199,920
Schlumberger Holdings Corp., 3.00%, 12/21/20^(b)			340		338,332
SESI LLC:
7.13%, 12/15/21			525		465,938
7.75%, 09/15/24			1,326		1,037,595
Transocean Guardian Ltd., 5.88%, 01/15/24^(b)			473		474,863
Transocean Phoenix 2 Ltd., 7.75%, 10/15/24^(b)			440		457,050
Transocean Pontus Ltd., 6.13%, 08/01/25^(b)			957		961,430
Transocean Poseidon Ltd., 6.88%, 02/01/27^(b)			1,430		1,452,165
Transocean Proteus Ltd., 6.25%, 12/01/24^(b)			360		361,793
Transocean, Inc.:
8.37%, 12/15/21			180		188,100
9.00%, 07/15/23^(b)			2,344		2,445,800
7.25%, 11/01/25^(b)			338		319,410
7.50%, 01/15/26^(b)			226		214,982


Security		Par (000)		Value

Energy Equipment & Services (continued)
Trinidad Drilling Ltd., 6.63%, 02/15/25^(b)	USD		649	$	655,490
Unit Corp., 6.63%, 05/15/21			500		472,500
USA Compression Partners LP, 6.88%, 04/01/26			3,566		3,566,000
Weatherford International Ltd.:
5.13%, 09/15/20			1,360		1,047,200
6.50%, 08/01/36			614		349,980
5.95%, 04/15/42			75		42,375

					39,027,065

Entertainment — 0.2%
21st Century Fox America, Inc., 4.50%, 02/15/21			1,500		1,537,435
AMC Entertainment Holdings, Inc.:
5.75%, 06/15/25			500		461,200
5.88%, 11/15/26			320		288,000
Ascend Learning LLC, 6.88%, 08/01/25^(b)			80		80,000
Cinemark USA, Inc., 4.88%, 06/01/23			500		495,000
Electronic Arts, Inc., 3.70%, 03/01/21			1,000		1,012,840
Live Nation Entertainment, Inc., 4.88%, 11/01/24^(b)			493		485,605
NBCUniversal Media LLC:
5.15%, 04/30/20			1,000		1,027,385
4.38%, 04/01/21			890		915,953
Netflix, Inc.:
5.38%, 02/01/21			335		342,956
5.50%, 02/15/22			1,727		1,792,712
5.88%, 02/15/25			1,179		1,221,385
4.38%, 11/15/26			1,475		1,396,641
4.88%, 04/15/28			3,140		2,986,925
5.88%, 11/15/28^(b)			4,628		4,691,635
4.63%, 05/15/29	EUR		1,117		1,288,107
Viacom, Inc.^(a):
(LIBOR USD 3 Month + 3.90%), 5.87%, 02/28/57	USD		7,320		7,064,392
(LIBOR USD 3 Month + 3.90%), 6.25%, 02/28/57			7,351		7,084,998
Vue International Bidco plc, 7.88%, 07/15/20	GBP		800		1,049,095
WMG Acquisition Corp., 4.13%, 11/01/24	EUR		968		1,151,652

					36,373,916

Equity Real Estate Investment Trusts (REITs) — 0.5%
American Tower Corp.:
2.80%, 06/01/20	USD		499		497,329
3.30%, 02/15/21			2,000		1,999,970
CBL & Associates LP, 5.95%, 12/15/26			400		318,000
CoreCivic, Inc., 4.75%, 10/15/27			2,340		1,991,925
Crown Castle International Corp.:
3.40%, 02/15/21			3,300		3,301,425
3.20%, 09/01/24			400		383,276
CyrusOne LP:
5.00%, 03/15/24			350		352,625
5.38%, 03/15/27			949		951,372
Digital Realty Trust LP, 5.25%, 03/15/21			1,715		1,771,886
Equinix, Inc.:
5.38%, 01/01/22			787		801,756
5.38%, 04/01/23			2,035		2,057,894
2.88%, 03/15/24	EUR		691		799,816
5.75%, 01/01/25	USD		400		413,000
2.88%, 10/01/25	EUR		952		1,082,620
5.88%, 01/15/26	USD		5,261		5,433,561
2.88%, 02/01/26	EUR		200		225,097
5.38%, 05/15/27	USD		855		857,138
ERP Operating LP, 4.75%, 07/15/20			730		744,029


Security		Par (000)		Value

Equity Real Estate Investment Trusts (REITs) (continued)
ESH Hospitality, Inc., 5.25%, 05/01/25^(b)	USD		945	$	934,227
GEO Group, Inc. (The):
5.13%, 04/01/23			63		57,487
5.88%, 10/15/24			1,440		1,303,200
6.00%, 04/15/26			72		64,350
GLP Capital LP:
4.38%, 04/15/21			1,700		1,710,166
5.38%, 11/01/23			250		257,810
5.25%, 06/01/25			2,012		2,056,324
5.38%, 04/15/26			3,087		3,152,846
5.75%, 06/01/28			410		427,359
Iron Mountain UK plc, 3.88%, 11/15/25	GBP		580		722,956
Iron Mountain, Inc.:
4.38%, 06/01/21^(b)	USD		300		299,250
6.00%, 08/15/23			200		205,000
5.75%, 08/15/24			2,350		2,338,250
3.00%, 01/15/25	EUR		970		1,096,826
4.88%, 09/15/27^(b)	USD		1,600		1,475,000
5.25%, 03/15/28^(b)			1,225		1,139,250
iStar, Inc., 5.00%, 07/01/19			353		353,441
Kimco Realty Corp., 3.20%, 05/01/21			960		955,068
MGM Growth Properties Operating Partnership LP:
5.63%, 05/01/24			3,584		3,682,560
4.50%, 09/01/26			2,670		2,529,825
5.75%, 02/01/27^(b)			1,155		1,164,933
4.50%, 01/15/28			1,000		925,000
MPT Operating Partnership LP:
6.38%, 03/01/24			255		266,475
5.50%, 05/01/24			169		172,380
5.25%, 08/01/26			1,755		1,763,775
5.00%, 10/15/27			4,660		4,536,510
Realty Income Corp., 3.25%, 10/15/22			490		487,971
SBA Communications Corp.:
4.88%, 07/15/22			350		354,480
4.00%, 10/01/22			6,958		6,871,025
4.88%, 09/01/24			3,689		3,693,611
Simon Property Group LP, 4.38%, 03/01/21			1,000		1,026,175
Uniti Group LP, 6.00%, 04/15/23^(b)			440		416,900

					70,423,149

Food & Staples Retailing — 0.1%
Albertsons Cos. LLC:
6.63%, 06/15/24			1,286		1,269,925
5.75%, 03/15/25			1,341		1,255,511
7.50%, 03/15/26^(b)			70		70,175
Casino Guichard Perrachon SA:
5.24%, 03/09/20	EUR		500		596,268
4.56%, 01/25/23			1,100		1,230,934
4.50%, 03/07/24			800		882,855
Distribuidora Internacional de Alimentacion SA:
1.50%, 07/22/19			300		254,101
1.00%, 04/28/21			900		619,112
Ingles Markets, Inc., 5.75%, 06/15/23	USD		500		505,000
Rite Aid Corp., 6.13%, 04/01/23^(b)			605		510,469
Sysco Corp., 2.60%, 10/01/20			2,000		1,987,641
Tesco plc:
5.00%, 03/24/23	GBP		200		286,028
6.15%, 11/15/37^(b)	USD		163		168,505
US Foods, Inc., 5.88%, 06/15/24^(b)			400		406,916
Walgreens Boots Alliance, Inc., 2.70%, 11/18/19			2,000		1,997,783

					12,041,223


Security		Par (000)		Value

Food Products — 0.4%
Arcor SAIC, 6.00%, 07/06/23^(b)	USD		8,494	$	8,164,857
B&G Foods, Inc.:
4.63%, 06/01/21			475		477,517
5.25%, 04/01/25			180		176,490
Boparan Finance plc:
5.25%, 07/15/19	GBP		153		194,481
5.50%, 07/15/21			796		788,934
Campbell Soup Co., 3.30%, 03/15/21	USD		500		499,098
China Huiyuan Juice Group Ltd., 6.50%, 08/16/20			549		379,543
Chobani LLC, 7.50%, 04/15/25^(b)			255		218,025
Dean Foods Co., 6.50%, 03/15/23^(b)			500		389,140
General Mills, Inc.:
3.20%, 04/16/21			1,000		1,003,554
3.70%, 10/17/23			370		373,200
Grupo Bimbo SAB de CV, 4.50%, 01/25/22			6,813		6,960,638
JBS Investments II GmbH, 7.00%, 01/15/26^(b)			350		355,250
JBS USA LUX SA^(b):
5.88%, 07/15/24			500		505,000
5.75%, 06/15/25			2,334		2,328,165
6.75%, 02/15/28			4,292		4,334,920
JM Smucker Co. (The), 2.50%, 03/15/20			1,000		993,618
Kellogg Co., 3.25%, 05/14/21			2,000		1,990,377
Knight Castle Investments Ltd., 7.99%, 01/23/21			231		150,843
Kraft Heinz Foods Co., 5.38%, 02/10/20			2,289		2,341,054
Lamb Weston Holdings, Inc.^(b):
4.63%, 11/01/24			400		398,000
4.88%, 11/01/26			800		793,200
Mondelez International, Inc., 3.00%, 05/07/20			1,000		1,001,668
Nomad Foods Bondco plc, 3.25%, 05/15/24	EUR		400		462,724
Pilgrim’s Pride Corp., 5.75%, 03/15/25^(b)	USD		1,495		1,465,100
Post Holdings, Inc.^(b):
5.50%, 03/01/25			1,825		1,806,750
5.00%, 08/15/26			5,216		4,930,163
5.75%, 03/01/27			4,155		4,071,111
5.63%, 01/15/28			142		136,141
Premier Foods Finance plc, 6.25%, 10/15/23	GBP		400		519,498
Sigma Holdco BV, 7.88%, 05/15/26^(b)	USD		200		177,650
Simmons Foods, Inc.^(b):
7.75%, 01/15/24			1,522		1,567,660
5.75%, 11/01/24			385		314,737
SSMS Plantation Holdings Pte. Ltd., 7.75%, 01/23/23			3,400		3,090,413
TreeHouse Foods, Inc., 6.00%, 02/15/24^(b)			530		544,522
Tyson Foods, Inc., 2.25%, 08/23/21			790		769,899

					54,673,940

Gas Utilities — 0.0%
AmeriGas Partners LP:
5.63%, 05/20/24			550		543,125
5.50%, 05/20/25			500		490,000
5.88%, 08/20/26			500		492,650
5.75%, 05/20/27			350		334,250
Binhai Investment Co. Ltd., 4.45%, 11/30/20			385		364,402
ENN Energy Holdings Ltd., 3.25%, 07/24/22			2,155		2,102,860
Suburban Propane Partners LP, 5.50%, 06/01/24			1,650		1,621,125
Superior Plus LP, 7.00%, 07/15/26^(b)			300		295,875

					6,244,287

Health Care Equipment & Supplies — 0.3%
Abbott Laboratories, 2.80%, 09/15/20			2,000		2,002,936
Avantor, Inc.^(b):
6.00%, 10/01/24			9,267		9,475,507
9.00%, 10/01/25			1,902		1,959,060


Security		Par (000)		Value

Health Care Equipment & Supplies (continued)
Becton Dickinson and Co.:
2.68%, 12/15/19	USD		1,500	$	1,493,337
2.40%, 06/05/20			595		587,616
3.25%, 11/12/20			1,827		1,820,015
DJO Finance LLC, 8.13%, 06/15/21^(b)			4,950		5,144,040
Hologic, Inc.^(b):
4.38%, 10/15/25			2,681		2,633,064
4.63%, 02/01/28			156		150,540
Kinetic Concepts, Inc., 7.88%, 02/15/21^(b)			450		459,000
Mallinckrodt International Finance SA^(b):
4.88%, 04/15/20			1,024		1,012,480
5.75%, 08/01/22			4,801		4,356,907
5.63%, 10/15/23			2,000		1,687,500
5.50%, 04/15/25			450		348,750
Medtronic, Inc., 3.15%, 03/15/22			250		252,249
Ortho-Clinical Diagnostics, Inc., 6.63%, 05/15/22^(b)			4,597		4,436,105
Sotera Health Holdings LLC, 6.50%, 05/15/23^(b)			259		260,943
Stryker Corp., 2.63%, 03/15/21			2,000		1,980,835
Teleflex, Inc., 4.63%, 11/15/27			350		341,250
Zimmer Biomet Holdings, Inc., 2.70%, 04/01/20			2,000		1,990,076

					42,392,210

Health Care Providers & Services — 0.9%
Acadia Healthcare Co., Inc.:
5.63%, 02/15/23			882		866,565
6.50%, 03/01/24			190		187,150
Agiliti Health, Inc., 7.63%, 08/15/20			500		500,000
AHP Health Partners, Inc., 9.75%, 07/15/26^(b)			516		535,350
Centene Corp.:
5.63%, 02/15/21			1,075		1,091,125
4.75%, 05/15/22			775		788,795
6.13%, 02/15/24			1,255		1,314,612
4.75%, 01/15/25			4,261		4,319,589
5.38%, 06/01/26^(b)			6,151		6,350,908
Cigna Corp., 3.40%, 09/17/21^(b)			1,060		1,064,717
Cigna Holding Co., 5.13%, 06/15/20			1,000		1,025,508
Community Health Systems, Inc.:
5.13%, 08/01/21			675		648,844
6.25%, 03/31/23			2,230		2,129,650
8.63%, 01/15/24^(b)			2,191		2,256,730
CVS Health Corp.:
3.13%, 03/09/20			3,000		3,002,378
3.35%, 03/09/21			5,000		5,021,525
3.70%, 03/09/23			2,560		2,582,147
DaVita, Inc.:
5.13%, 07/15/24			2,729		2,695,706
5.00%, 05/01/25			775		745,938
Encompass Health Corp., 5.75%, 11/01/24			1,758		1,777,777
HCA Healthcare, Inc., 6.25%, 02/15/21			125		130,312
HCA, Inc.:
4.25%, 10/15/19			300		301,950
6.50%, 02/15/20			2,040		2,096,100
7.50%, 02/15/22			2,000		2,190,000
5.88%, 03/15/22			685		726,100
4.75%, 05/01/23			1,189		1,221,698
5.88%, 05/01/23			300		317,250
5.00%, 03/15/24			4,228		4,399,234
5.38%, 02/01/25			4,478		4,622,147
5.25%, 04/15/25			650		688,155
5.88%, 02/15/26			2,700		2,848,500
5.25%, 06/15/26			2,825		2,964,484


Security		Par (000)		Value

Health Care Providers & Services (continued)
HCA, Inc. (continued)
5.38%, 09/01/26	USD		3,999	$	4,092,736
4.50%, 02/15/27			840		846,300
5.63%, 09/01/28			4,822		4,986,237
5.88%, 02/01/29			3,420		3,582,450
5.50%, 06/15/47			3,887		4,049,477
Laboratory Corp. of America Holdings, 2.63%, 02/01/20			1,500		1,494,089
McKesson Corp., 3.65%, 11/30/20			700		704,674
MEDNAX, Inc.^(b):
5.25%, 12/01/23			1,173		1,175,932
6.25%, 01/15/27			576		580,320
Molina Healthcare, Inc., 5.38%, 11/15/22			1,769		1,804,380
MPH Acquisition Holdings LLC, 7.13%, 06/01/24^(b)			1,770		1,757,610
NVA Holdings, Inc., 6.88%, 04/01/26^(b)			397		379,016
Polaris Intermediate Corp., 8.50% (8.50% Cash or 9.25% PIK), 12/01/22^(b)(i)			2,724		2,635,470
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 05/01/23^(b)			2,615		2,758,825
Select Medical Corp., 6.38%, 06/01/21			500		502,500
Surgery Center Holdings, Inc.^(b):
8.88%, 04/15/21			450		459,000
6.75%, 07/01/25			979		905,575
Syneos Health, Inc., 7.50%, 10/01/24^(b)			805		848,269
Synlab Bondco plc, 6.25%, 07/01/22	EUR		1,539		1,820,727
Synlab Unsecured Bondco plc, 8.25%, 07/01/23			682		826,920
Team Health Holdings, Inc., 6.38%, 02/01/25^(b)	USD		1,380		1,124,700
Tenet Healthcare Corp.:
4.75%, 06/01/20			150		151,125
6.00%, 10/01/20			2,483		2,564,442
4.50%, 04/01/21			600		601,200
4.38%, 10/01/21			700		699,125
7.50%, 01/01/22^(b)			2,149		2,232,811
8.13%, 04/01/22			6,139		6,422,929
4.63%, 07/15/24			3,520		3,447,770
5.13%, 05/01/25			2,813		2,748,526
6.25%, 02/01/27^(b)			2,929		2,947,306
UnitedHealth Group, Inc.:
2.13%, 03/15/21			2,500		2,466,790
3.15%, 06/15/21			1,900		1,910,218
Vizient, Inc., 10.38%, 03/01/24^(b)			792		858,330
WellCare Health Plans, Inc.:
5.25%, 04/01/25			2,280		2,314,200
5.38%, 08/15/26^(b)			3,379		3,438,133

					131,549,056

Health Care Technology — 0.0%
IQVIA, Inc.:
4.88%, 05/15/23^(b)			550		558,250
3.50%, 10/15/24	EUR		800		939,255
3.25%, 03/15/25^(b)			525		608,145
3.25%, 03/15/25			690		799,277
5.00%, 10/15/26^(b)	USD		1,137		1,138,421

					4,043,348

Hotels, Restaurants & Leisure — 0.7%
1011778 BC ULC^(b):
4.63%, 01/15/22			950		952,375
4.25%, 05/15/24			6,619		6,403,882
5.00%, 10/15/25			12,292		11,861,780
Aramark International Finance SARL, 3.13%, 04/01/25	EUR		210		246,075


Security		Par (000)		Value

Hotels, Restaurants & Leisure (continued)
Boyd Gaming Corp.:
6.88%, 05/15/23	USD		500	$	519,690
6.38%, 04/01/26			530		540,600
6.00%, 08/15/26			395		395,000
Caesars Resort Collection LLC, 5.25%, 10/15/25^(b)			2,089		1,955,826
Carnival Corp., 3.95%, 10/15/20			445		452,426
Cedar Fair LP, 5.38%, 04/15/27			380		377,625
Churchill Downs, Inc., 4.75%, 01/15/28^(b)			2,424		2,324,010
Cirsa Finance International SARL:
6.25%, 12/20/23	EUR		313		372,576
7.88%, 12/20/23^(b)	USD		685		695,104
Codere Finance 2 Luxembourg SA, 7.63%, 11/01/21^(b)			420		372,498
CPUK Finance Ltd.:
4.25%, 08/28/22	GBP		600		768,677
4.88%, 08/28/25			119		150,033
Diamond Resorts International, Inc., 7.75%, 09/01/23^(b)	USD		300		295,500
EI Group plc, 6.38%, 02/15/22	GBP		150		200,303
Eldorado Resorts, Inc.:
6.00%, 04/01/25	USD		610		613,507
6.00%, 09/15/26^(b)			220		219,450
Gohl Capital Ltd., 4.25%, 01/24/27			4,445		4,242,908
Golden Nugget, Inc., 6.75%, 10/15/24^(b)			3,417		3,417,000
Hilton Domestic Operating Co., Inc.:
4.25%, 09/01/24			1,863		1,825,367
5.13%, 05/01/26^(b)			4,349		4,381,618
Hilton Worldwide Finance LLC:
4.63%, 04/01/25			1,186		1,168,210
4.88%, 04/01/27			1,925		1,902,959
International Game Technology plc:
4.75%, 02/15/23	EUR		261		319,243
3.50%, 07/15/24			287		324,066
6.50%, 02/15/25^(b)	USD		1,000		1,040,800
IRB Holding Corp., 6.75%, 02/15/26^(b)			256		239,360
Jack Ohio Finance LLC, 6.75%, 11/15/21^(b)			600		619,500
KFC Holding Co.^(b):
5.00%, 06/01/24			1,000		1,002,500
5.25%, 06/01/26			5,665		5,735,812
4.75%, 06/01/27			1,768		1,712,750
Ladbrokes Group Finance plc, 5.13%, 09/08/23	GBP		999		1,324,350
Marriott International, Inc., Series N, 3.13%, 10/15/21	USD		480		477,138
McDonald’s Corp., 2.75%, 12/09/20			1,000		1,000,517
MGM Resorts International:
8.63%, 02/01/19			700		700,000
5.25%, 03/31/20			325		329,875
6.75%, 10/01/20			500		521,905
6.63%, 12/15/21			4,522		4,776,137
7.75%, 03/15/22			7,549		8,200,101
6.00%, 03/15/23			950		985,625
4.63%, 09/01/26			340		319,600
NH Hotel Group SA, 3.75%, 10/01/23	EUR		463		547,944
Pinnacle Bidco plc, 6.38%, 02/15/25	GBP		939		1,237,529
Punch Taverns Finance B Ltd., 7.37%, 09/30/21			51		71,588
Sabre GLBL, Inc.^(b):
5.38%, 04/15/23	USD		430		435,375
5.25%, 11/15/23			495		502,425
Scientific Games International, Inc.:
10.00%, 12/01/22			5,628		5,916,435


Security		Par (000)		Value

Hotels, Restaurants & Leisure (continued)
Scientific Games International, Inc. (continued)
5.00%, 10/15/25^(b)	USD		2,349	$	2,226,382
3.38%, 02/15/26	EUR		500		535,101
Silversea Cruise Finance Ltd., 7.25%, 02/01/25^(b)	USD		405		433,856
Sisal Group SpA, 7.00%, 07/31/23	EUR		860		984,630
Six Flags Entertainment Corp.^(b):
4.88%, 07/31/24	USD		6,375		6,311,250
5.50%, 04/15/27			1,322		1,312,085
Starbucks Corp., 2.10%, 02/04/21			1,000		984,994
Station Casinos LLC, 5.00%, 10/01/25^(b)			783		747,765
Stonegate Pub Co. Financing plc:
(LIBOR GBP 3 Month + 6.25%), 0.00%, 03/15/22^(a)	GBP		495		645,996
4.88%, 03/15/22			345		438,022
(LIBOR GBP 3 Month + 4.38%), 5.28%, 03/15/22^(a)			275		351,492
Studio City Co. Ltd.:
7.25%, 11/30/21^(b)	USD		550		564,604
7.25%, 11/30/21			1,700		1,745,140
Studio City Finance Ltd.:
8.50%, 12/01/20			128		128,160
7.25%, 02/11/24			2,100		2,123,121
Viking Cruises Ltd.^(b):
6.25%, 05/15/25			385		385,000
5.88%, 09/15/27			4,250		4,154,375
VOC Escrow Ltd., 5.00%, 02/15/28^(b)			600		584,940
Wyndham Destinations, Inc.:
5.40%, 04/01/24			59		57,083
5.75%, 04/01/27			404		385,820
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26^(b)			824		824,000
Wynn Las Vegas LLC^(b):
4.25%, 05/30/23			300		292,875
5.50%, 03/01/25			1,300		1,264,250
5.25%, 05/15/27			825		771,375
Wynn Macau Ltd., 5.50%, 10/01/27^(b)			728		664,300
Yum! Brands, Inc., 5.35%, 11/01/43			36		30,150

					113,942,340

Household Durables — 0.2%
Beazer Homes USA, Inc., 8.75%, 03/15/22			505		527,977
Brookfield Residential Properties, Inc.^(b):
6.50%, 12/15/20			700		700,875
6.13%, 07/01/22			150		147,000
DR Horton, Inc., 2.55%, 12/01/20			600		589,694
K. Hovnanian Enterprises, Inc., 10.00%, 07/15/22^(b)			1,923		1,624,935
Lennar Corp.:
4.50%, 11/15/19			105		104,475
6.63%, 05/01/20			1,980		2,039,400
8.38%, 01/15/21			1,156		1,242,700
6.25%, 12/15/21			2,060		2,144,975
4.13%, 01/15/22			425		423,003
4.75%, 11/15/22			450		451,687
4.88%, 12/15/23			1,550		1,550,000
4.75%, 05/30/25			375		366,562
5.25%, 06/01/26			1,066		1,039,350
4.75%, 11/29/27			1,595		1,511,263
Mattamy Group Corp., 6.50%, 10/01/25^(b)			1,291		1,197,403
MDC Holdings, Inc., 6.00%, 01/15/43			350		289,625
Meritage Homes Corp., 5.13%, 06/06/27			245		219,809
PulteGroup, Inc.:
4.25%, 03/01/21			550		557,563
5.50%, 03/01/26			2,485		2,497,425


Security		Par (000)		Value

Household Durables (continued)
PulteGroup, Inc. (continued)
5.00%, 01/15/27	USD		1,750	$	1,683,828
6.38%, 05/15/33			1,440		1,335,600
Taylor Morrison Communities, Inc., 5.25%, 04/15/21^(b)			100		100,125
Tempur Sealy International, Inc., 5.50%, 06/15/26			1,006		960,730
TRI Pointe Group, Inc.:
5.88%, 06/15/24			265		255,394
5.25%, 06/01/27			600		519,000
Williams Scotsman International, Inc., 6.88%, 08/15/23^(b)			165		161,543

					24,241,941

Household Products — 0.0%
Clorox Co. (The), 3.05%, 09/15/22			800		794,863
Diamond BC BV, 5.63%, 08/15/25	EUR		220		223,609
Energizer Gamma Acquisition, Inc., 6.38%, 07/15/26^(b)	USD		944		918,040
Energizer Holdings, Inc.^(b):
5.50%, 06/15/25			1,430		1,362,075
7.75%, 01/15/27			891		918,042
Spectrum Brands, Inc.:
6.63%, 11/15/22			300		307,500
5.75%, 07/15/25			2,332		2,297,719

					6,821,848

Independent Power and Renewable Electricity Producers — 0.3%
AES Corp.:
4.00%, 03/15/21			350		349,125
4.50%, 03/15/23			959		963,795
4.88%, 05/15/23			1,407		1,421,070
5.50%, 04/15/25			1,508		1,553,240
6.00%, 05/15/26			1,485		1,564,819
5.13%, 09/01/27			3,408		3,476,160
Calpine Corp.:
6.00%, 01/15/22^(b)			525		528,937
5.38%, 01/15/23			5,058		4,918,905
5.88%, 01/15/24^(b)			1,222		1,222,000
5.50%, 02/01/24			100		94,625
5.75%, 01/15/25			850		801,125
5.25%, 06/01/26^(b)			4,922		4,675,900
Clearway Energy Operating LLC:
5.38%, 08/15/24			1,280		1,187,200
5.75%, 10/15/25^(b)			2,897		2,676,104
5.00%, 09/15/26			442		384,540
Emirates Semb Corp. Water & Power Co. PJSC, 4.45%, 08/01/35			2,225		2,136,000
Exelon Generation Co. LLC, 2.95%, 01/15/20			2,000		1,995,002
GCL New Energy Holdings Ltd., 7.10%, 01/30/21			3,105		2,807,122
InterGen NV, 7.00%, 06/30/23^(b)			500		437,500
NRG Energy, Inc.:
6.25%, 05/01/24			1,050		1,086,750
7.25%, 05/15/26			425		459,340
6.63%, 01/15/27			9,402		9,897,673
5.75%, 01/15/28			1,533		1,552,929
Southern Power Co., Series D, 1.95%, 12/15/19			1,120		1,110,035
Talen Energy Supply LLC, 10.50%, 01/15/26^(b)			440		407,000
Vistra Energy Corp.:
7.38%, 11/01/22			3,053		3,175,120
7.63%, 11/01/24			957		1,016,813

					51,898,829


Security		Par (000)		Value

Industrial Conglomerates — 0.1%
CITIC Ltd.:
6.80%, 01/17/23	USD		3,000	$	3,311,415
4.00%, 01/11/28			1,240		1,200,803
General Electric Co.:
2.20%, 01/09/20			1,780		1,763,608
4.38%, 09/16/20			1,000		1,007,531
Roper Technologies, Inc.:
3.00%, 12/15/20			1,000		997,145
2.80%, 12/15/21			375		369,058

					8,649,560

Insurance — 0.3%
Acrisure LLC, 8.13%, 02/15/24^(b)			425		432,437
Alliant Holdings Intermediate LLC, 8.25%, 08/01/23^(b)			4,898		4,971,470
American Equity Investment Life Holding Co., 5.00%, 06/15/27			350		349,209
American International Group, Inc., 3.30%, 03/01/21			2,000		2,014,208
Ardonagh Midco 3 plc:
8.38%, 07/15/23	GBP		592		659,997
8.63%, 07/15/23^(b)	USD		954		825,210
Asahi Mutual Life Insurance Co., (USD Swap Semi 5 Year + 4.59%), 6.50%^(a)(j)			3,000		2,930,511
Assicurazioni Generali SpA^(a):
(LIBOR GBP 3 Month + 2.20%), 6.42%^(j)	GBP		100		133,335
(EURIBOR 3 Month + 7.11%), 7.75%, 12/12/42	EUR		600		812,094
(EURIBOR 3 Month + 5.35%), 5.50%, 10/27/47			2,020		2,481,291
AXA Equitable Holdings, Inc., 3.90%, 04/20/23	USD		135		135,036
AXIS Specialty Finance plc, 2.65%, 04/01/19			1,361		1,359,962
BNP Paribas Cardif SA, (EURIBOR 3 Month + 3.93%), 4.03%^(a)(j)	EUR		400		472,841
Caisse Nationale de Reassurance Mutuelle Agricole Groupama:
(EURIBOR 3 Month + 5.77%), 6.37%^(a)(j)			300		377,752
6.00%, 01/23/27			300		403,692
China Reinsurance Finance Corp. Ltd., 3.38%, 03/09/22	USD		2,378		2,300,869
CNA Financial Corp., 5.88%, 08/15/20			500		518,800
CNO Financial Group, Inc., 5.25%, 05/30/25			370		374,625
Credit Agricole Assurances SA, (EUR Swap Annual 5 Year + 4.35%), 4.50%^(a)(j)	EUR		500		593,761
Fidelity & Guaranty Life Holdings, Inc., 5.50%, 05/01/25^(b)	USD		190		182,875
FWD Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.08%), 5.50%^(a)(j)			760		684,000
Genworth Holdings, Inc., 7.63%, 09/24/21			550		552,750
Hartford Financial Services Group, Inc. (The), 5.50%, 03/30/20			1,582		1,623,533
Heungkuk Life Insurance Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%, 11/09/47^(a)			1,091		972,354
HUB International Ltd., 7.00%, 05/01/26^(b)			2,412		2,339,640
KDB Life Insurance Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.66%), 7.50%, 05/21/48^(a)			3,000		2,862,675
Liberty Mutual Group, Inc.^(b):
(LIBOR USD 3 Month + 2.91%), 5.69%, 03/15/37^(a)			2,150		2,042,500
7.80%, 03/15/37			2,957		3,337,714


Security		Par (000)		Value

Insurance (continued)
Mapfre SA, (EURIBOR 3 Month + 4.30%), 4.13%, 09/07/48^(a)	EUR		400	$	471,176
Marsh & McLennan Cos., Inc.:
2.35%, 03/06/20	USD		1,115		1,106,699
3.50%, 12/29/20			890		898,857
Nationwide Financial Services, Inc., 6.75%, 05/15/37			900		918,000
NN Group NV, (EURIBOR 3 Month + 3.90%), 4.38%^(a)(j)	EUR		350		415,644
Prudential Financial, Inc., 5.38%, 06/21/20	USD		750		773,799
QBE Insurance Group Ltd., (USD Swap Semi 10 Year + 4.40%), 5.87%, 06/17/46^(a)			677		659,026
Union Life Insurance Co. Ltd., 3.00%, 09/19/21			708		628,035
USIS Merger Sub, Inc., 6.88%, 05/01/25^(b)			269		258,240
Willis North America, Inc., 3.60%, 05/15/24			420		411,570

					43,286,187

Interactive Media & Services — 0.0%
Baidu, Inc.:
3.00%, 06/30/20			1,000		995,269
2.88%, 07/06/22			750		731,048
Rackspace Hosting, Inc., 8.63%, 11/15/24^(b)			2,111		1,773,240

					3,499,557

Internet & Direct Marketing Retail — 0.0%
Alibaba Group Holding Ltd.:
2.50%, 11/28/19			1,185		1,178,849
3.13%, 11/28/21			1,500		1,491,117
eBay, Inc., 2.15%, 06/05/20			1,000		988,028
Shop Direct Funding plc, 7.75%, 11/15/22	GBP		960		1,086,966
Uber Technologies, Inc., 7.50%, 11/01/23^(b)	USD		737		748,976

					5,493,936

IT Services — 0.4%
Banff Merger Sub, Inc.:
8.38%, 09/01/26	EUR		1,120		1,208,009
9.75%, 09/01/26^(b)	USD		5,446		5,187,315
Booz Allen Hamilton, Inc., 5.13%, 05/01/25^(b)			1,095		1,073,100
Cogent Communications Group, Inc., 5.38%, 03/01/22^(b)			675		685,800
DXC Technology Co., 2.88%, 03/27/20			1,550		1,540,646
Exela Intermediate LLC, 10.00%, 07/15/23^(b)			3,700		3,700,000
Fidelity National Information Services, Inc.:
3.63%, 10/15/20			2,000		2,013,151
2.25%, 08/15/21			215		209,064
First Data Corp.^(b):
5.38%, 08/15/23			945		963,310
5.00%, 01/15/24			1,245		1,272,234
5.75%, 01/15/24			9,938		10,217,506
Fiserv, Inc., 2.70%, 06/01/20			5,000		4,972,915
Gartner, Inc., 5.13%, 04/01/25^(b)			1,366		1,359,170
HT Global IT Solutions Holdings Ltd., 7.00%, 07/14/21			485		494,069
IBM Credit LLC:
3.45%, 11/30/20			1,145		1,155,785
1.80%, 01/20/21			2,000		1,953,496
InterXion Holding NV, 4.75%, 06/15/25	EUR		1,443		1,729,451
Total System Services, Inc.:
3.80%, 04/01/21	USD		165		165,480
3.75%, 06/01/23			475		470,416
United Group BV:
4.38%, 07/01/22	EUR		1,639		1,880,685
(EURIBOR 3 Month + 4.38%), 4.38%, 07/01/23^(a)			100		114,174
4.88%, 07/01/24			875		1,004,029


Security		Par (000)		Value

IT Services (continued)
VeriSign, Inc.:
4.63%, 05/01/23	USD		500	$	503,125
5.25%, 04/01/25			350		360,780
4.75%, 07/15/27			4,690		4,671,240
WEX, Inc., 4.75%, 02/01/23^(b)			1,759		1,737,012
Zayo Group LLC:
6.00%, 04/01/23			5,296		5,322,480
6.38%, 05/15/25			777		758,546
5.75%, 01/15/27^(b)			6,092		5,886,030

					62,609,018

Leisure Products — 0.0%
Mattel, Inc., 6.75%, 12/31/25^(b)			1,973		1,864,485


Life Sciences Tools & Services — 0.0%
Charles River Laboratories International, Inc., 5.50%, 04/01/26^(b)			1,247		1,271,940
Life Technologies Corp., 6.00%, 03/01/20			1,000		1,027,862

					2,299,802

Machinery — 0.2%
Amsted Industries, Inc., 5.00%, 03/15/22^(b)			500		495,000
BCD Acquisition, Inc., 9.63%, 09/15/23^(b)			450		475,875
Colfax Corp., 3.25%, 05/15/25	EUR		1,422		1,567,887
Grinding Media, Inc., 7.38%, 12/15/23^(b)	USD		3,981		4,020,810
Huayi Finance I Ltd., 4.00%, 12/02/19			437		427,396
Mueller Water Products, Inc., 5.50%, 06/15/26^(b)			260		261,300
Novelis Corp.^(b):
6.25%, 08/15/24			3,983		4,007,894
5.88%, 09/30/26			5,829		5,624,985
Platin 1426 GmbH, 5.38%, 06/15/23	EUR		988		1,051,942
RBS Global, Inc., 4.88%, 12/15/25^(b)	USD		1,484		1,432,060
SPX FLOW, Inc.^(b):
5.63%, 08/15/24			1,150		1,127,000
5.88%, 08/15/26			700		689,500
Stevens Holding Co., Inc., 6.13%, 10/01/26^(b)			310		313,218
Terex Corp., 5.63%, 02/01/25^(b)			3,770		3,647,475
Titan Acquisition Ltd., 7.75%, 04/15/26^(b)			2,483		2,172,625
Xylem, Inc., 4.88%, 10/01/21			735		757,204

					28,072,171

Marine — 0.0%
CMA CGM SA:
6.50%, 07/15/22	EUR		500		544,686
5.25%, 01/15/25			1,250		1,217,497
Stena AB, 7.00%, 02/01/24^(b)	USD		500		461,250

					2,223,433

Media — 1.2%
Altice Financing SA^(b):
6.63%, 02/15/23			4,506		4,529,882
7.50%, 05/15/26			4,714		4,466,515
Altice Finco SA:
7.63%, 02/15/25^(b)			280		234,850
4.75%, 01/15/28	EUR		400		377,434
Altice Luxembourg SA^(b):
7.75%, 05/15/22	USD		6,675		6,474,750
7.63%, 02/15/25			800		680,000
AMC Networks, Inc.:
4.75%, 12/15/22			500		501,250
5.00%, 04/01/24			670		664,975
4.75%, 08/01/25			3,884		3,752,915
Block Communications, Inc., 6.88%, 02/15/25^(b)			350		358,750
Cablevision SA, 6.50%, 06/15/21^(b)			6,992		6,860,900


Security		Par (000)		Value

Media (continued)
Cablevision Systems Corp.:
8.00%, 04/15/20	USD		2,620	$	2,724,800
5.88%, 09/15/22			450		452,250
Charter Communications Operating LLC:
3.58%, 07/23/20			4,000		4,010,326
4.46%, 07/23/22			370		377,404
4.50%, 02/01/24			491		500,169
4.91%, 07/23/25			925		950,941
Clear Channel International BV, 8.75%, 12/15/20^(b)			1,203		1,224,053
Clear Channel Worldwide Holdings, Inc.:
Series B, 7.63%, 03/15/20			3,717		3,712,354
Series A, 6.50%, 11/15/22			13,951		14,264,897
Comcast Corp.:
5.15%, 03/01/20			2,000		2,049,577
3.45%, 10/01/21			715		723,299
2.85%, 01/15/23			500		496,294
3.70%, 04/15/24			290		296,858
Cox Communications, Inc., 3.25%, 12/15/22^(b)			1,400		1,382,900
CSC Holdings LLC:
6.75%, 11/15/21			1,000		1,050,300
5.13%, 12/15/21^(b)			4,716		4,723,310
10.13%, 01/15/23^(b)			2,261		2,441,428
5.38%, 07/15/23^(b)			6,820		6,894,679
5.25%, 06/01/24			2,356		2,261,760
7.75%, 07/15/25^(b)			1,620		1,696,950
6.63%, 10/15/25^(b)			3,198		3,345,907
10.88%, 10/15/25^(b)			7,103		8,187,557
5.50%, 05/15/26^(b)			1,703		1,685,970
5.50%, 04/15/27^(b)			970		948,156
5.38%, 02/01/28^(b)			815		783,419
7.50%, 04/01/28^(b)			431		442,852
6.50%, 02/01/29^(b)			2,106		2,133,641
Discovery Communications LLC, 3.25%, 04/01/23			500		486,508
DISH DBS Corp.:
7.88%, 09/01/19			1,150		1,170,125
5.13%, 05/01/20			225		225,563
6.75%, 06/01/21			1,891		1,926,002
5.88%, 07/15/22			9,563		9,084,850
5.00%, 03/15/23			230		200,100
5.88%, 11/15/24			5,183		4,295,411
7.75%, 07/01/26			2,529		2,174,940
Fox Corp., 3.67%, 01/25/22^(b)			65		65,641
Gray Television, Inc.^(b):
5.13%, 10/15/24			325		315,859
5.88%, 07/15/26			1,219		1,197,668
7.00%, 05/15/27			4,568		4,729,707
Interpublic Group of Cos., Inc. (The):
3.50%, 10/01/20			450		452,338
3.75%, 10/01/21			2,155		2,179,458
Lamar Media Corp.:
5.00%, 05/01/23			335		337,513
5.38%, 01/15/24			400		407,500
5.75%, 02/01/26^(b)			534		553,010
Liberty Interactive LLC, 8.25%, 02/01/30			350		354,375
MDC Partners, Inc., 6.50%, 05/01/24^(b)			1,888		1,718,646
Meredith Corp., 6.88%, 02/01/26^(b)			1,677		1,727,310
Midcontinent Communications, 6.88%, 08/15/23^(b)			1,140		1,174,200
Nexstar Broadcasting, Inc., 5.63%, 08/01/24^(b)			670		648,225
Omnicom Group, Inc., 4.45%, 08/15/20			1,880		1,915,940


Security		Par (000)		Value

Media (continued)
Outfront Media Capital LLC:
5.25%, 02/15/22	USD		500	$	505,000
5.63%, 02/15/24			300		304,125
Quebecor Media, Inc., 5.75%, 01/15/23			1,335		1,375,050
Radiate Holdco LLC, 6.63%, 02/15/25^(b)			649		601,948
SES SA, (EUR Swap Annual 5 Year + 4.66%), 4.62%^(a)(j)	EUR		200		235,215
Sinclair Television Group, Inc.:
5.38%, 04/01/21	USD		600		600,750
6.13%, 10/01/22			100		101,750
5.63%, 08/01/24^(b)			325		314,763
Sirius XM Radio, Inc.^(b):
3.88%, 08/01/22			625		615,625
4.63%, 05/15/23			350		349,562
6.00%, 07/15/24			1,200		1,246,500
5.38%, 04/15/25			795		804,937
5.38%, 07/15/26			1,130		1,120,113
5.00%, 08/01/27			6,171		5,962,729
Sky plc, 2.63%, 09/16/19^(b)			930		925,403
TEGNA, Inc.:
5.13%, 10/15/19			139		139,174
5.13%, 07/15/20			150		150,375
6.38%, 10/15/23			700		710,500
5.50%, 09/15/24^(b)			325		320,060
Tele Columbus AG, 3.88%, 05/02/25	EUR		200		208,690
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28^(b)	USD		2,200		2,079,000
Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27	EUR		1,648		2,024,819
Time Warner Cable LLC:
8.75%, 02/14/19	USD		460		460,574
4.13%, 02/15/21			1,000		1,006,343
Tribune Media Co., 5.88%, 07/15/22			2,388		2,429,790
Unitymedia GmbH:
6.13%, 01/15/25^(b)			600		619,500
3.75%, 01/15/27	EUR		458		544,776
Unitymedia Hessen GmbH & Co. KG:
4.00%, 01/15/25			600		713,818
5.00%, 01/15/25^(b)	USD		250		254,062
3.50%, 01/15/27	EUR		244		290,105
6.25%, 01/15/29			1,734		2,183,588
Univision Communications, Inc.^(b):
5.13%, 05/15/23	USD		680		635,800
5.13%, 02/15/25			2,986		2,720,993
UPC Holding BV, 5.50%, 01/15/28^(b)			2,470		2,272,400
UPCB Finance IV Ltd.:
5.38%, 01/15/25^(b)			1,122		1,079,925
4.00%, 01/15/27	EUR		1,222		1,440,820
UPCB Finance VII Ltd., 3.63%, 06/15/29			290		319,513
Videotron Ltd.:
5.00%, 07/15/22	USD		450		462,690
5.38%, 06/15/24^(b)			400		417,760
5.13%, 04/15/27^(b)			2,425		2,431,063
Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24	GBP		1,141		1,475,616
Ziggo Bond Co. BV:
7.13%, 05/15/24	EUR		1,249		1,501,086
4.63%, 01/15/25			420		485,412
5.88%, 01/15/25^(b)	USD		2,191		2,054,062
6.00%, 01/15/27^(b)			400		368,500
Ziggo BV:
4.25%, 01/15/27	EUR		500		578,633
5.50%, 01/15/27^(b)	USD		2,181		2,061,045

					185,509,123


Security		Par (000)		Value

Metals & Mining — 0.6%
AK Steel Corp., 7.00%, 03/15/27	USD		450	$	365,625
Alcoa Nederland Holding BV^(b):
6.75%, 09/30/24			500		520,830
7.00%, 09/30/26			685		722,675
6.13%, 05/15/28			291		294,637
Allegheny Technologies, Inc.:
5.95%, 01/15/21			497		503,719
7.88%, 08/15/23			2,350		2,505,688
Anglo American Capital plc, 4.13%, 04/15/21^(b)			204		203,708
Big River Steel LLC, 7.25%, 09/01/25^(b)			1,133		1,189,650
Bukit Makmur Mandiri Utama PT, 7.75%, 02/13/22			1,487		1,505,588
Chalco Hong Kong Investment Co. Ltd., 4.88%, 09/07/21			2,975		3,002,459
Chinalco Capital Holdings Ltd., 4.25%, 04/21/22			2,890		2,778,876
Cleveland-Cliffs, Inc.:
4.88%, 01/15/24^(b)			675		649,688
5.75%, 03/01/25			3,487		3,373,672
Constellium NV:
4.63%, 05/15/21	EUR		420		485,539
5.75%, 05/15/24^(b)	USD		816		797,640
6.63%, 03/01/25^(b)			316		314,420
5.88%, 02/15/26^(b)			3,274		3,134,855
Eldorado Gold Corp., 6.13%, 12/15/20^(b)			375		357,187
Energy Resources LLC, 8.00%, 09/30/22^(l)			1,030		967,021
FMG Resources August 2006 Pty. Ltd.^(b):
4.75%, 05/15/22			555		553,440
5.13%, 03/15/23			360		358,200
5.13%, 05/15/24			545		538,188
Freeport-McMoRan, Inc.:
3.10%, 03/15/20			650		642,688
4.00%, 11/14/21			1,350		1,333,125
3.55%, 03/01/22			4,549		4,401,157
6.88%, 02/15/23			500		522,500
3.88%, 03/15/23			5,903		5,644,744
4.55%, 11/14/24			2,407		2,307,711
5.40%, 11/14/34			793		703,788
5.45%, 03/15/43			9,180		7,894,800
HBIS Group Hong Kong Co. Ltd., 4.25%, 04/07/20			2,644		2,606,495
Hudbay Minerals, Inc., 7.63%, 01/15/25^(b)			2,010		2,065,275
Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22^(b)			346		358,058
Minmetals Bounteous Finance BVI Ltd.:
4.75%, 07/30/25			1,900		1,941,239
4.20%, 07/27/26			1,700		1,670,854
Newcastle Coal Infrastructure Group Pty. Ltd., 4.40%, 09/29/27			4,000		3,575,650
Northwest Acquisitions ULC, 7.13%, 11/01/22^(b)			395		393,499
Press Metal Labuan Ltd., 4.80%, 10/30/22			2,400		2,271,132
Shandong Iron and Steel Xinheng International Co. Ltd., 6.50%, 06/14/21			418		395,714
Southern Copper Corp., 5.38%, 04/16/20			15,015		15,409,294
Steel Dynamics, Inc.:
5.13%, 10/01/21			500		503,750
5.50%, 10/01/24			275		283,883
4.13%, 09/15/25			762		723,900
5.00%, 12/15/26			1,028		1,022,860
SunCoke Energy Partners LP, 7.50%, 06/15/25^(b)			500		485,000


Security		Par (000)		Value

Metals & Mining (continued)
Teck Resources Ltd.:
8.50%, 06/01/24^(b)	USD		1,785	$	1,923,320
6.13%, 10/01/35			450		470,250
5.20%, 03/01/42			1,016		927,100
5.40%, 02/01/43			586		556,700
thyssenkrupp AG:
1.38%, 03/03/22	EUR		400		454,356
2.50%, 02/25/25			300		347,508
United States Steel Corp.:
6.88%, 08/15/25	USD		963		912,443
6.25%, 03/15/26			1,509		1,367,531
Vedanta Resources plc:
8.25%, 06/07/21			697		721,531
7.13%, 05/31/23			4,150		4,004,750

					93,965,910

Mortgage Real Estate Investment Trusts (REITs) — 0.0%
Starwood Property Trust, Inc.:
3.63%, 02/01/21			350		344,967
5.00%, 12/15/21			1,567		1,582,670
4.75%, 03/15/25			350		336,000

					2,263,637

Multiline Retail — 0.0%
B&M European Value Retail SA, 4.13%, 02/01/22	GBP		350		454,671


Multi-Utilities — 0.1%
Abu Dhabi National Energy Co. PJSC, 3.63%, 01/12/23	USD		1,700		1,698,470
Ameren Corp., 2.70%, 11/15/20			1,080		1,069,922
Berkshire Hathaway Energy Co., 2.40%, 02/01/20			655		652,226
CenterPoint Energy, Inc., 3.60%, 11/01/21			1,055		1,063,670
Consolidated Edison Co. of New York, Inc., 4.45%, 06/15/20			1,950		1,991,653
Dominion Energy, Inc., 2.58%, 07/01/20			2,400		2,378,948
DTE Energy Co., Series D, 3.70%, 08/01/23			275		275,771
RWE AG, (EUR Swap Annual 5 Year + 2.64%), 2.75%, 04/21/75^(a)	EUR		800		924,465
Sempra Energy:
2.40%, 02/01/20	USD		1,325		1,312,407
(LIBOR USD 3 Month + 0.50%), 3.29%, 01/15/21^(a)			710		700,385
WEC Energy Group, Inc., 3.38%, 06/15/21			360		361,331

					12,429,248

Oil, Gas & Consumable Fuels — 2.7%
ABM Investama Tbk. PT, 7.13%, 08/01/22			3,000		2,718,750
Aker BP ASA, 5.88%, 03/31/25^(b)			350		358,750
Andeavor Logistics LP, 6.25%, 10/15/22			292		299,300
Antero Midstream Partners LP, 5.38%, 09/15/24			1,295		1,269,100
Antero Resources Corp.:
5.38%, 11/01/21			675		678,409
5.13%, 12/01/22			822		820,972
5.63%, 06/01/23			785		783,038
5.00%, 03/01/25			3,126		3,016,590
Apache Corp., 3.25%, 04/15/22			597		591,192
Ascent Resources Utica Holdings LLC^(b):
10.00%, 04/01/22			1,109		1,185,244
7.00%, 11/01/26			482		465,130
Berry Petroleum Co. LLC, 7.00%, 02/15/26^(b)			174		168,780
Blue Racer Midstream LLC, 6.13%, 11/15/22^(b)			500		505,000


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
BP Capital Markets America, Inc.:
4.50%, 10/01/20	USD		825	$	845,250
4.74%, 03/11/21			715		740,623
BP Capital Markets plc, 2.52%, 01/15/20			3,000		2,990,785
BPRL International Singapore Pte. Ltd., 4.38%, 01/18/27			1,071		1,039,240
Buckeye Partners LP, (LIBOR USD 3 Month + 4.02%), 6.37%, 01/22/78^(a)			8,825		7,677,750
California Resources Corp., 8.00%, 12/15/22^(b)			4,702		3,793,950
Canadian Natural Resources Ltd., 2.95%, 01/15/23			1,090		1,065,115
Carrizo Oil & Gas, Inc.:
6.25%, 04/15/23			2,472		2,441,100
8.25%, 07/15/25			461		474,830
Cheniere Corpus Christi Holdings LLC:
7.00%, 06/30/24			3,114		3,413,722
5.88%, 03/31/25			4,312		4,542,520
5.13%, 06/30/27			7,107		7,178,070
Cheniere Energy Partners LP:
5.25%, 10/01/25			2,820		2,834,072
5.63%, 10/01/26^(b)			3,643		3,651,597
Chesapeake Energy Corp.:
6.63%, 08/15/20			1,680		1,692,600
4.88%, 04/15/22			2,333		2,216,350
7.00%, 10/01/24			2,919		2,849,674
8.00%, 01/15/25			2,873		2,890,928
8.00%, 06/15/27			1,409		1,349,117
CNOOC Finance 2012 Ltd., 5.00%, 05/02/42			5,000		5,424,897
CNX Resources Corp., 5.88%, 04/15/22			13,498		13,430,510
Comstock Escrow Corp., 9.75%, 08/15/26^(b)			1,625		1,503,125
CONSOL Energy, Inc., 11.00%, 11/15/25^(b)			743		817,300
Continental Resources, Inc.:
5.00%, 09/15/22			1,199		1,204,940
4.50%, 04/15/23			2,248		2,290,040
4.38%, 01/15/28			600		596,945
Corral Petroleum Holdings AB, 11.75% (11.75% Cash or 13.25% PIK), 05/15/21^(i)(l)	EUR		400		488,881
Covey Park Energy LLC, 7.50%, 05/15/25^(b)	USD		2,413		2,232,025
Crestwood Midstream Partners LP:
6.25%, 04/01/23			570		574,987
5.75%, 04/01/25			350		343,105
CrownRock LP, 5.63%, 10/15/25^(b)			4,112		3,947,520
CVR Refining LLC, 6.50%, 11/01/22			350		350,875
DCP Midstream Operating LP:
5.35%, 03/15/20^(b)			350		355,250
4.75%, 09/30/21^(b)			600		603,000
3.88%, 03/15/23			300		291,750
5.38%, 07/15/25			2,306		2,352,120
6.45%, 11/03/36^(b)			1,148		1,156,610
6.75%, 09/15/37^(b)			1,786		1,821,720
(LIBOR USD 3 Month + 3.85%), 5.85%, 05/21/43^(a)(b)			375		322,500
DEA Finance SA, 7.50%, 10/15/22	EUR		600		721,098
Denbury Resources, Inc., 9.25%, 03/31/22^(b)	USD		1,429		1,403,992
Devon Energy Corp., 3.25%, 05/15/22			510		504,125
Diamondback Energy, Inc.:
4.75%, 11/01/24^(b)			2,196		2,190,510
4.75%, 11/01/24			447		445,883
5.38%, 05/31/25			1,278		1,309,055
Enbridge Energy Partners LP, 4.38%, 10/15/20			1,010		1,027,070
Enbridge, Inc.:
2.90%, 07/15/22			810		792,814


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Enbridge, Inc. (continued)
Series 16-A, (LIBOR USD 3 Month + 3.89%), 6.00%, 01/15/77^(a)	USD		36,600	$	34,954,063
(LIBOR USD 3 Month + 3.64%), 6.25%, 03/01/78^(a)			32,950		31,209,790
Encana Corp., 3.90%, 11/15/21			890		896,402
Encavis Finance BV, (EUR Swap Annual 5 Year + 1.10%), 5.25%^(a)(j)(m)	EUR		200		231,006
Endeavor Energy Resources LP^(b):
5.50%, 01/30/26	USD		2,514		2,620,845
5.75%, 01/30/28			1,101		1,169,812
Energy Transfer LP:
7.50%, 10/15/20			700		742,875
5.88%, 01/15/24			250		265,625
5.50%, 06/01/27			720		747,000
Energy Transfer Operating LP, 3.60%, 02/01/23			640		631,893
Energy Transfer Partners LP, 4.15%, 10/01/20			615		621,029
EnLink Midstream Partners LP:
4.40%, 04/01/24			1,685		1,617,600
4.15%, 06/01/25			134		125,290
4.85%, 07/15/26			344		322,500
5.05%, 04/01/45			209		171,902
5.45%, 06/01/47			834		715,155
Enterprise Products Operating LLC:
2.55%, 10/15/19			1,000		998,152
3.50%, 02/01/22			3,400		3,432,833
EOG Resources, Inc., 2.45%, 04/01/20			1,100		1,093,793
EP Energy LLC:
9.38%, 05/01/20			55		43,725
9.38%, 05/01/24^(b)			718		382,335
8.00%, 11/29/24^(b)			395		316,000
7.75%, 05/15/26^(b)			3,482		3,207,792
Eterna Capital Pte. Ltd., Series B, 0.00% (0.00% Cash or 8.00% PIK), 12/11/22⁽ⁱ⁾			6,136		5,182,770
Extraction Oil & Gas, Inc.^(b):
7.38%, 05/15/24			375		346,875
5.63%, 02/01/26			2,363		1,937,660
Genesis Energy LP:
6.75%, 08/01/22			500		502,100
6.50%, 10/01/25			2,161		2,042,145
GNL Quintero SA, 4.63%, 07/31/29			10,344		10,292,280
Greenko Dutch BV, 5.25%, 07/24/24			2,925		2,723,906
Gulfport Energy Corp.:
6.63%, 05/01/23			772		764,762
6.00%, 10/15/24			860		808,400
6.38%, 05/15/25			410		388,475
Hess Infrastructure Partners LP, 5.63%, 02/15/26^(b)			1,219		1,206,810
Hilcorp Energy I LP^(b):
5.00%, 12/01/24			100		95,000
5.75%, 10/01/25			550		534,875
6.25%, 11/01/28			355		346,125
Hindustan Petroleum Corp. Ltd., 4.00%, 07/12/27			1,177		1,118,150
Holly Energy Partners LP, 6.00%, 08/01/24^(b)			350		352,625
Indigo Natural Resources LLC, 6.88%, 02/15/26^(b)			400		350,000
Jagged Peak Energy LLC, 5.88%, 05/01/26^(b)			156		150,540
Kinder Morgan Energy Partners LP, 5.00%, 10/01/21			3,450		3,573,073
Kinder Morgan, Inc.:
3.05%, 12/01/19			785		785,155
3.15%, 01/15/23			300		295,399


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Magellan Midstream Partners LP, 4.25%, 02/01/21	USD		2,295	$	2,333,586
Magnolia Oil & Gas Operating LLC, 6.00%, 08/01/26^(b)			194		192,060
Matador Resources Co., 5.88%, 09/15/26			2,279		2,270,454
Medco Straits Services Pte. Ltd., 8.50%, 08/17/22			4,337		4,477,953
MEG Energy Corp.^(b):
6.38%, 01/30/23			550		486,750
7.00%, 03/31/24			750		661,875
6.50%, 01/15/25			2,699		2,651,767
Moss Creek Resources Holdings, Inc., 7.50%, 01/15/26^(b)			475		425,125
Murphy Oil Corp.:
4.00%, 06/01/22			400		391,267
4.45%, 12/01/22			350		344,007
6.88%, 08/15/24			400		419,891
5.75%, 08/15/25			465		466,674
Navios Maritime Acquisition Corp., 8.13%, 11/15/21^(b)			400		302,000
Neptune Energy Bondco plc, 6.63%, 05/15/25^(b)			1,093		1,056,111
Newfield Exploration Co.:
5.75%, 01/30/22			600		623,250
5.38%, 01/01/26			485		498,337
NGL Energy Partners LP:
5.13%, 07/15/19			980		980,000
7.50%, 11/01/23			550		557,040
NGPL PipeCo LLC^(b):
4.38%, 08/15/22			1,833		1,848,287
4.88%, 08/15/27			2,414		2,389,860
7.77%, 12/15/37			1,627		1,939,612
NuStar Logistics LP, 5.63%, 04/28/27			400		388,000
Oasis Petroleum, Inc.:
6.88%, 03/15/22			732		730,170
6.88%, 01/15/23			270		267,638
6.25%, 05/01/26^(b)			867		822,566
Occidental Petroleum Corp., Series 1, 4.10%, 02/01/21			1,005		1,029,548
Oil India International Pte. Ltd., 4.00%, 04/21/27			272		256,160
Origin Energy Finance Ltd., (EUR Swap Annual 5 Year + 3.67%), 4.00%, 09/16/74^(a)	EUR		950		1,106,177
Parkland Fuel Corp., 6.00%, 04/01/26^(b)	USD		330		315,150
Parsley Energy LLC^(b):
6.25%, 06/01/24			174		178,327
5.38%, 01/15/25			1,707		1,694,198
5.25%, 08/15/25			129		127,710
5.63%, 10/15/27			1,276		1,264,835
PBF Holding Co. LLC, 7.25%, 06/15/25			2,825		2,810,875
PDC Energy, Inc.:
6.13%, 09/15/24			162		158,083
5.75%, 05/15/26			1,219		1,142,812
Peabody Energy Corp., 6.38%, 03/31/25^(b)			335		323,275
Petrobras Global Finance BV:
4.38%, 05/20/23			2,579		2,572,939
5.30%, 01/27/25			13,605		13,579,151
Pioneer Natural Resources Co.:
7.50%, 01/15/20			120		124,814
3.45%, 01/15/21			1,110		1,109,571
PTTEP Treasury Center Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.72%), 4.60%^(a)(j)			1,600		1,516,000


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Puma International Financing SA^(b):
5.13%, 10/06/24	USD		350	$	304,500
5.00%, 01/24/26			550		462,000
QEP Resources, Inc.:
6.88%, 03/01/21			226		233,955
5.38%, 10/01/22			1,452		1,428,115
5.25%, 05/01/23			2,021		1,955,439
5.63%, 03/01/26			3,742		3,592,320
Range Resources Corp.:
5.88%, 07/01/22			164		164,410
5.00%, 08/15/22			871		845,959
5.00%, 03/15/23			1,027		981,812
4.88%, 05/15/25			1,344		1,212,960
Repsol International Finance BV^(a):
(EUR Swap Annual 6 Year + 3.56%), 3.88%^(j)	EUR		500		595,784
(EUR Swap Annual 10 Year + 4.20%), 4.50%, 03/25/75			1,225		1,484,134
Resolute Energy Corp., 8.50%, 05/01/20	USD		2,063		2,068,157
Rockies Express Pipeline LLC^(b):
5.63%, 04/15/20			500		508,750
6.88%, 04/15/40			400		428,000
Sabine Pass Liquefaction LLC, 5.63%, 02/01/21			2,300		2,380,486
Sable Permian Resources Land LLC, 13.00%, 11/30/20^(b)			375		386,250
Sanchez Energy Corp.:
7.75%, 06/15/21			4,613		853,405
7.25%, 02/15/23^(b)			588		495,390
Santos Finance Ltd., 4.13%, 09/14/27			3,135		2,829,582
Seven Generations Energy Ltd.^(b):
6.75%, 05/01/23			73		74,482
6.88%, 06/30/23			333		335,497
5.38%, 09/30/25			1,316		1,269,677
SM Energy Co.:
6.13%, 11/15/22			476		477,190
5.00%, 01/15/24			1,569		1,482,689
5.63%, 06/01/25			2,712		2,589,960
6.75%, 09/15/26			516		508,337
6.63%, 01/15/27			322		313,944
Southern Star Central Corp., 5.13%, 07/15/22^(b)			139		135,873
Southwestern Energy Co.:
6.20%, 01/23/25			2,827		2,742,190
7.50%, 04/01/26			2,380		2,445,450
7.75%, 10/01/27			2,822		2,906,660
SRC Energy, Inc., 6.25%, 12/01/25			400		355,000
Summit Midstream Holdings LLC, 5.75%, 04/15/25			314		294,375
Sunoco LP:
4.88%, 01/15/23			2,067		2,035,995
5.50%, 02/15/26			4,252		4,198,807
5.88%, 03/15/28			436		425,645
Tallgrass Energy Partners LP^(b):
5.50%, 09/15/24			993		995,482
5.50%, 01/15/28			3,795		3,698,797
Targa Resources Partners LP:
4.13%, 11/15/19			750		750,000
5.25%, 05/01/23			500		500,625
4.25%, 11/15/23			1,330		1,286,775
6.75%, 03/15/24			400		416,000
5.13%, 02/01/25			1,459		1,433,467
5.88%, 04/15/26^(b)			2,657		2,680,249


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Targa Resources Partners LP (continued)
5.38%, 02/01/27	USD		275	$	265,375
6.50%, 07/15/27^(b)			1,348		1,390,112
5.00%, 01/15/28			1,190		1,117,856
6.88%, 01/15/29^(b)			3,164		3,292,395
TerraForm Power Operating LLC^(b):
4.25%, 01/31/23			1,334		1,303,985
5.00%, 01/31/28			1,269		1,178,584
Texas Eastern Transmission LP, 2.80%, 10/15/22^(b)			500		483,911
TransCanada PipeLines Ltd.:
3.80%, 10/01/20			1,115		1,129,181
3.75%, 10/16/23			460		468,409
Transcanada Trust, Series 16-A, (LIBOR USD 3 Month + 4.64%), 5.87%, 08/15/76^(a)			48,379		47,227,580
Tullow Oil plc, 7.00%, 03/01/25			600		579,000
UGI International LLC, 3.25%, 11/01/25	EUR		550		645,998
W&T Offshore, Inc., 9.75%, 11/01/23^(b)	USD		1,910		1,857,475
Whiting Petroleum Corp.:
5.75%, 03/15/21			600		600,000
6.63%, 01/15/26			1,727		1,692,460
Williams Cos., Inc. (The):
7.88%, 09/01/21			991		1,089,898
3.60%, 03/15/22			995		995,856
3.70%, 01/15/23			395		394,350
WPX Energy, Inc.:
6.00%, 01/15/22			176		178,640
8.25%, 08/01/23			941		1,046,863
5.25%, 09/15/24			1,067		1,050,995
Yancoal International Resources Development Co. Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 8.30%), 5.75%^(a)(j)			1,495		1,493,909
Yankuang Group Cayman Ltd., 4.75%, 11/30/20			1,535		1,508,489

					420,754,537

Paper & Forest Products — 0.0%
Klabin Finance SA, 5.25%, 07/16/24^(b)			1,400		1,407,000
Mercer International, Inc.:
6.50%, 02/01/24			374		377,882
7.38%, 01/15/25^(b)			500		508,750
Norbord, Inc.^(b):
5.38%, 12/01/20			1,857		1,870,927
6.25%, 04/15/23			173		175,163
Resolute Forest Products, Inc., 5.88%, 05/15/23			450		446,013
Sappi Papier Holding GmbH, 4.00%, 04/01/23	EUR		300		350,711
Smurfit Kappa Acquisitions ULC:
2.38%, 02/01/24			400		474,327
2.88%, 01/15/26			781		891,608

					6,502,381
Personal Products — 0.0%^(b)
Avon International Operations, Inc., 7.88%, 08/15/22	USD		1,795		1,812,950
First Quality Finance Co., Inc., 4.63%, 05/15/21			400		398,000

					2,210,950

Pharmaceuticals — 0.4%
Allergan Finance LLC, 3.25%, 10/01/22			455		450,219
Allergan Funding SCS:
3.00%, 03/12/20			1,000		999,172
3.45%, 03/15/22			2,184		2,179,195
AstraZeneca plc, 2.38%, 11/16/20			3,800		3,756,821


Security		Par (000)		Value

Pharmaceuticals (continued)
Bausch Health Cos., Inc.:
5.63%, 12/01/21^(b)	USD		2,200	$	2,202,750
6.50%, 03/15/22^(b)			1,851		1,913,471
4.50%, 05/15/23	EUR		765		865,877
5.88%, 05/15/23^(b)	USD		7,338		7,182,067
7.00%, 03/15/24^(b)			4,870		5,116,422
6.13%, 04/15/25^(b)			6,895		6,515,775
5.50%, 11/01/25^(b)			5,953		5,915,794
9.00%, 12/15/25^(b)			1,970		2,100,513
Catalent Pharma Solutions, Inc., 4.75%, 12/15/24	EUR		240		285,327
Elanco Animal Health, Inc., 4.90%, 08/28/28^(b)	USD		693		717,345
Endo Dac, 5.88%, 10/15/24^(b)			1,880		1,842,400
Endo Finance LLC^(b):
5.75%, 01/15/22			887		804,952
7.25%, 01/15/22			755		711,588
Nidda BondCo GmbH, 7.25%, 09/30/25	EUR		774		897,191
Rossini Sarl:
(EURIBOR 3 Month + 6.25%), 6.25%, 10/30/25^(a)			400		462,419
6.75%, 10/30/25			1,817		2,126,532
Sanofi SA, 4.00%, 03/29/21	USD		700		714,908
Shire Acquisitions Investments Ireland DAC:
2.40%, 09/23/21			1,500		1,459,871
2.88%, 09/23/23			600		576,724
Takeda Pharmaceutical Co. Ltd., 4.00%, 11/26/21^(b)			1,700		1,730,574
Valeant Pharmaceuticals International, Inc.^(b):
9.25%, 04/01/26			800		860,000
8.50%, 01/31/27			3,236		3,381,620
Zoetis, Inc., 3.25%, 08/20/21			1,335		1,332,299

					57,101,826

Professional Services — 0.0%
IHS Markit Ltd.^(b):
5.00%, 11/01/22			500		510,850
4.75%, 02/15/25			625		624,000
4.00%, 03/01/26			350		334,180
Intertrust Group BV, 3.38%, 11/15/25	EUR		1,411		1,613,609
Jaguar Holding Co. II, 6.38%, 08/01/23^(b)	USD		3,777		3,758,115

					6,840,754

Real Estate Management & Development — 1.1%
ADLER Real Estate AG:
4.75%, 04/08/20	EUR		68		78,459
1.88%, 04/27/23			500		556,731
2.13%, 02/06/24			590		657,216
3.00%, 04/27/26			700		778,617
Agile Group Holdings Ltd.:
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 7.46%), 10.22%^(a)(j)	USD		638		646,036
8.50%, 07/18/21			1,758		1,832,398
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 9.22%), 6.87%^(a)(j)			1,058		944,265
Akelius Residential Property AB, (EUR Swap Annual 5 Year + 3.49%), 3.88%, 10/05/78^(a)	EUR		200		227,180
Alam Synergy Pte. Ltd., 11.50%, 04/22/21	USD		925		963,110
APL Realty Holdings Pte. Ltd., 5.95%, 06/02/24			708		552,771
AT Securities BV, (USD Swap Semi 5 Year + 3.55%), 5.25%^(a)(j)			750		699,375
ATF Netherlands BV, (EUR Swap Annual 5 Year + 4.38%), 3.75%^(a)(j)	EUR		400		452,575


Security		Par (000)		Value

Real Estate Management & Development (continued)
Caiyun International Investment Ltd., 3.13%, 07/12/19	USD		1,500	$	1,466,250
Central China Real Estate Ltd.:
7.33%, 01/27/20			970		972,425
6.88%, 10/23/20			3,500		3,473,750
China Aoyuan Group Ltd.:
7.50%, 05/10/21			4,400		4,422,000
7.95%, 09/07/21			4,755		4,850,100
8.50%, 01/23/22			1,365		1,385,475
China Evergrande Group:
7.00%, 03/23/20			5,060		5,008,818
6.25%, 06/28/21			702		657,216
4.25%, 02/14/23^(m)	HKD		47,000		5,571,283
7.50%, 06/28/23	USD		2,500		2,248,963
8.75%, 06/28/25			2,791		2,470,035
China SCE Group Holdings Ltd.:
8.75%, 01/15/21			895		912,900
7.45%, 04/17/21			3,000		2,998,145
CIFI Holdings Group Co. Ltd.:
6.38%, 05/02/20			2,800		2,793,000
6.88%, 04/23/21			1,757		1,757,000
5.50%, 01/23/22			2,100		1,979,250
Country Garden Holdings Co. Ltd., 7.25%, 04/04/21			789		799,024
Easy Tactic Ltd.:
7.00%, 04/25/21			800		790,240
8.88%, 09/27/21			1,800		1,838,953
9.13%, 07/28/22			1,355		1,382,100
Excel Capital Global Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 9.34%), 7.00%^(a)(j)			4,000		3,990,000
Fantasia Holdings Group Co. Ltd.:
10.75%, 01/22/20			3,600		3,194,658
8.38%, 03/08/21			1,100		944,250
7.95%, 07/05/22			1,650		1,299,490
Five Point Operating Co. LP, 7.88%, 11/15/25^(b)			360		345,600
Future Land Development Holdings Ltd.:
5.00%, 02/16/20			1,025		1,012,203
6.50%, 09/12/20			1,900		1,890,500
7.50%, 01/22/21			1,500		1,509,375
Global Prime Capital Pte. Ltd., 7.25%, 04/26/21			3,000		3,075,000
Golden Wheel Tiandi Holdings Co. Ltd., 7.00%, 01/18/21			1,800		1,584,000
Greenland Global Investment Ltd.:
6.75%, 05/22/19			650		650,000
(LIBOR USD 3 Month + 4.85%), 7.67%, 09/26/21^(a)			3,600		3,487,500
Greystar Real Estate Partners LLC, 5.75%, 12/01/25^(b)			1,388		1,377,590
Howard Hughes Corp. (The), 5.38%, 03/15/25^(b)			637		633,592
Hunt Cos., Inc., 6.25%, 02/15/26^(b)			540		486,000
Jababeka International BV:
6.50%, 10/05/23^(b)			867		778,657
6.50%, 10/05/23			1,655		1,486,364
JGC Ventures Pte. Ltd., 10.75%, 08/30/21			2,500		2,645,555
Jingrui Holdings Ltd., 9.45%, 04/23/21			1,200		1,095,000
Kaisa Group Holdings Ltd.:
8.50%, 06/30/22			1,832		1,505,657
9.38%, 06/30/24			300		231,385
Kennedy-Wilson, Inc., 5.88%, 04/01/24			1,485		1,452,033


Security		Par (000)		Value

Real Estate Management & Development (continued)
Logan Property Holdings Co. Ltd.:
8.75%, 12/12/20	USD		1,255	$	1,286,375
6.88%, 04/24/21			2,000		1,980,000
Longfor Group Holdings Ltd., 4.50%, 01/16/28			1,525		1,399,187
Modernland Overseas Pte. Ltd., 6.95%, 04/13/24			1,296		1,163,646
New Metro Global Ltd., 6.50%, 04/23/21			2,500		2,475,000
Overseas Chinese Town Asia Holdings Ltd., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 7.71%), 4.30%^(a)(j)			6,035		5,886,237
Poly Real Estate Finance Ltd., 4.75%, 09/17/23			1,900		1,903,685
Powerlong Real Estate Holdings Ltd.:
5.95%, 07/19/20			5,163		5,059,740
6.95%, 04/17/21			500		486,250
Realogy Group LLC^(b):
4.50%, 04/15/19			647		647,000
5.25%, 12/01/21			320		319,878
4.88%, 06/01/23			500		451,250
Redco Group:
6.38%, 02/27/19			1,627		1,618,865
13.50%, 01/21/20			3,245		3,236,709
Residomo SRO, 3.38%, 10/15/24	EUR		805		919,284
RKPF Overseas 2019 A Ltd., 7.88%, 02/01/23	USD		775		775,000
Scenery Journey Ltd., 11.00%, 11/06/20			1,600		1,644,000
Shimao Property Holdings Ltd., 6.38%, 10/15/21			1,600		1,626,478
Shui On Development Holding Ltd., (USD Swap Semi 5 Year + 8.81%), 7.50%^(a)(j)(m)			1,000		993,889
Sinochem Offshore Capital Co. Ltd., 3.25%, 04/29/19			19,847		19,841,985
Sino-Ocean Land Treasure Finance II Ltd., 5.95%, 02/04/27			209		201,163
Summit Germany Ltd., 2.00%, 01/31/25	EUR		273		292,094
Sun Hung Kai Properties Capital Market Ltd., 4.50%, 02/14/22	USD		680		701,410
Sunac China Holdings Ltd.:
8.63%, 07/27/20			672		685,440
6.88%, 08/08/20			2,500		2,491,563
8.38%, 01/15/21			1,105		1,124,608
Times China Holdings Ltd.:
6.25%, 01/23/20			2,207		2,190,448
6.25%, 01/17/21			1,720		1,689,659
5.75%, 04/26/22			289		269,343
Unique Pub Finance Co. plc (The), Series N, 6.46%, 03/30/32	GBP		500		626,190
Vanke Real Estate Hong Kong Co. Ltd., 3.98%, 11/09/27	USD		1,485		1,381,050
VLL International, Inc.:
7.38%, 06/18/22			2,000		2,069,510
5.75%, 11/28/24			2,000		1,868,170
WeWork Cos., Inc., 7.88%, 05/01/25^(b)			200		181,024
Xinyuan Real Estate Co. Ltd.:
8.13%, 08/30/19			500		468,750
9.88%, 03/19/20			737		661,457
Yanlord Land HK Co. Ltd., 6.75%, 04/23/23			6,600		6,550,137
Yuzhou Properties Co. Ltd.:
6.38%, 03/06/21			762		750,570
7.90%, 05/11/21			3,000		3,044,325
8.63%, 01/23/22			1,500		1,530,000
Zhenro Properties Group Ltd.:
10.50%, 06/28/20			725		735,005
12.50%, 01/02/21			1,600		1,639,528

					175,705,971


Security		Par (000)		Value

Road & Rail — 0.2%
Ashtead Capital, Inc.^(b):
5.63%, 10/01/24	USD		200	$	205,000
5.25%, 08/01/26			780		786,825
Avis Budget Car Rental LLC, 5.50%, 04/01/23			500		497,500
Avis Budget Finance plc, 4.75%, 01/30/26	EUR		1,613		1,763,159
Avolon Holdings Funding Ltd.^(b):
5.50%, 01/15/23	USD		350		356,667
5.13%, 10/01/23			600		609,120
CSX Corp., 3.70%, 10/30/20			450		454,610
EC Finance plc, 2.38%, 11/15/22	EUR		744		844,131
ERAC USA Finance LLC, 2.60%, 12/01/21^(b)	USD		860		838,696
Europcar Mobility Group, 5.75%, 06/15/22	EUR		200		234,643
Herc Rentals, Inc.^(b):
7.50%, 06/01/22	USD		1,971		2,062,159
7.75%, 06/01/24			538		572,970
Hertz Corp. (The):
5.88%, 10/15/20			500		495,000
7.63%, 06/01/22^(b)			5,245		5,220,348
6.25%, 10/15/22			600		543,000
Hertz Holdings Netherlands BV, 5.50%, 03/30/23	EUR		1,106		1,249,496
Loxam SAS:
3.50%, 04/15/22			109		127,142
3.50%, 05/03/23			720		837,339
Pacific National Finance Pty. Ltd., 4.75%, 03/22/28	USD		5,000		4,779,150
Park Aerospace Holdings Ltd.^(b):
3.63%, 03/15/21			130		128,375
5.25%, 08/15/22			1,210		1,228,513
4.50%, 03/15/23			705		691,781
5.50%, 02/15/24			885		898,275
Penske Truck Leasing Co. LP^(b):
4.25%, 01/17/23			325		328,592
2.70%, 03/14/23			675		645,062
Ryder System, Inc.:
2.50%, 05/11/20			355		351,658
3.75%, 06/09/23			485		487,251
Union Pacific Corp., 4.00%, 02/01/21			1,582		1,613,949

					28,850,411

Semiconductors & Semiconductor Equipment — 0.1%
Analog Devices, Inc., 2.95%, 01/12/21			2,000		1,989,906
Broadcom Corp.:
2.38%, 01/15/20			5,600		5,556,643
3.00%, 01/15/22			587		574,605
Entegris, Inc., 4.63%, 02/10/26^(b)			780		756,600
Global A&T Electronics Ltd., 8.50%, 01/12/23			3,000		2,649,285
Lam Research Corp.:
2.75%, 03/15/20			1,000		997,156
2.80%, 06/15/21			695		689,033
Micron Technology, Inc., 5.50%, 02/01/25			835		846,763
NXP BV^(b):
4.13%, 06/15/20			535		535,000
4.13%, 06/01/21			1,098		1,102,052
3.88%, 09/01/22			1,137		1,132,850
Qorvo, Inc., 5.50%, 07/15/26^(b)			1,165		1,156,262
QUALCOMM, Inc.:
2.25%, 05/20/20			1,000		993,415
3.00%, 05/20/22			685		683,693
2.60%, 01/30/23			120		117,027
Sensata Technologies UK Financing Co. plc, 6.25%, 02/15/26^(b)			500		518,750

					20,299,040


Security		Par (000)		Value

Software — 0.4%
ACI Worldwide, Inc., 5.75%, 08/15/26^(b)	USD		180	$	185,670
CA, Inc., 3.60%, 08/15/22			375		369,023
CDK Global, Inc.:
5.00%, 10/15/24			350		349,125
5.88%, 06/15/26			545		558,107
4.88%, 06/01/27			3,618		3,509,460
Change Healthcare Holdings LLC, 5.75%, 03/01/25^(b)			1,960		1,876,700
Fair Isaac Corp., 5.25%, 05/15/26^(b)			225		226,125
Genesys Telecommunications Laboratories, Inc., 10.00%, 11/30/24^(b)			3,676		3,942,510
Infor US, Inc.:
5.75%, 08/15/20^(b)			325		329,810
6.50%, 05/15/22			11,504		11,705,320
Informatica LLC, 7.13%, 07/15/23^(b)			3,155		3,162,887
j2 Cloud Services LLC, 6.00%, 07/15/25^(b)			465		466,163
Nuance Communications, Inc.:
5.38%, 08/15/20^(b)			107		107,401
6.00%, 07/01/24			2,125		2,146,250
5.63%, 12/15/26			1,085		1,063,300
Open Text Corp.^(b):
5.63%, 01/15/23			565		577,713
5.88%, 06/01/26			300		309,750
Oracle Corp.:
1.90%, 09/15/21			3,500		3,424,036
3.40%, 07/08/24			950		963,687
PTC, Inc., 6.00%, 05/15/24			1,036		1,073,555
RP Crown Parent LLC, 7.38%, 10/15/24^(b)			1,070		1,088,725
Solera LLC, 10.50%, 03/01/24^(b)			11,248		12,203,855
Symantec Corp.:
4.20%, 09/15/20			500		501,179
5.00%, 04/15/25^(b)			1,431		1,424,226
TIBCO Software, Inc., 11.38%, 12/01/21^(b)			5,090		5,357,225
Veritas US, Inc., 7.50%, 02/01/23^(b)			365		321,200
VMware, Inc., 2.30%, 08/21/20			4,500		4,429,378

					61,672,380

Specialty Retail — 0.1%
Asbury Automotive Group, Inc., 6.00%, 12/15/24			4,199		4,219,995
Baoxin Auto Finance I Ltd.:
7.90%, 02/09/20			860		856,775
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 8.91%), 5.63%^(a)(j)			2,935		2,631,800
Group 1 Automotive, Inc.:
5.00%, 06/01/22			275		272,594
5.25%, 12/15/23^(b)			216		207,360
L Brands, Inc.:
6.63%, 04/01/21			850		890,375
5.63%, 02/15/22			750		762,188
5.63%, 10/15/23			325		322,793
5.25%, 02/01/28			1,035		908,213
6.88%, 11/01/35			2,005		1,719,287
6.75%, 07/01/36			369		311,805
Penske Automotive Group, Inc.:
5.75%, 10/01/22			350		355,250
5.50%, 05/15/26			320		312,800
Sally Holdings LLC, 5.63%, 12/01/25			3,020		2,942,990
Staples, Inc., 8.50%, 09/15/25^(b)			2,987		2,867,520
Tendam Brands SA, 5.00%, 09/15/24	EUR		520		571,384

					20,153,129


Security		Par (000)		Value

Technology Hardware, Storage & Peripherals — 0.1%
Apple, Inc., 2.25%, 02/23/21	USD		1,000	$	992,045
Dell International LLC^(b):
4.42%, 06/15/21			240		244,122
5.88%, 06/15/21			1,415		1,438,081
5.45%, 06/15/23			835		874,863
7.13%, 06/15/24			2,733		2,883,460
6.02%, 06/15/26			855		894,298
8.35%, 07/15/46			255		300,402
Dell, Inc., 5.88%, 06/15/19			375		380,625
EMC Corp.:
2.65%, 06/01/20			1,550		1,526,843
3.38%, 06/01/23			650		616,808
Hewlett Packard Enterprise Co.:
3.60%, 10/15/20			1,300		1,308,080
3.50%, 10/05/21			165		166,337
NCR Corp.:
4.63%, 02/15/21			100		98,750
5.00%, 07/15/22			650		638,820
6.38%, 12/15/23			400		401,000
Western Digital Corp., 4.75%, 02/15/26			3,130		2,910,900
Xerox Corp.:
3.50%, 08/20/20			1,000		985,300
4.80%, 03/01/35			216		166,320

					16,827,054

Textiles, Apparel & Luxury Goods — 0.0%
Eagle Intermediate Global Holding BV, 7.50%, 05/01/25^(b)			155		147,637
European TopSoho Sarl, 4.00%, 09/21/21^(m)	EUR		400		425,219
Hanesbrands, Inc.^(b):
4.63%, 05/15/24	USD		575		564,219
4.88%, 05/15/26			675		646,312
Prime Bloom Holdings Ltd., 6.95%, 07/05/22			3,583		2,742,124
PVH Corp., 3.13%, 12/15/27	EUR		1,050		1,166,892
SMCP Group SAS, 5.88%, 05/01/23			135		159,879
Under Armour, Inc., 3.25%, 06/15/26	USD		400		353,970

					6,206,252

Thrifts & Mortgage Finance — 0.1%
BPCE SA, 2.65%, 02/03/21			2,000		1,972,336
Bracken MidCo1 plc, 8.88% (8.88% Cash or 10.38% PIK), 10/15/23⁽ⁱ⁾	GBP		417		515,981
Deutsche Pfandbriefbank AG, 4.60%, 02/22/27	EUR		1,700		2,014,040
Freedom Mortgage Corp., 8.25%, 04/15/25^(b)	USD		830		759,450
Jerrold Finco plc:
6.25%, 09/15/21	GBP		290		379,128
6.13%, 01/15/24			1,924		2,466,254
Ladder Capital Finance Holdings LLLP^(b):
5.25%, 03/15/22	USD		599		601,995
5.25%, 10/01/25			480		445,200
Mongolian Mortgage Corp. Hfc LLC, 9.75%, 01/29/22			3,000		2,999,100
Nationstar Mortgage Holdings, Inc.^(b):
8.13%, 07/15/23			1,354		1,370,519
9.13%, 07/15/26			1,282		1,297,897
Nationstar Mortgage LLC, 6.50%, 07/01/21			375		374,062
Quicken Loans, Inc., 5.75%, 05/01/25^(b)			825		796,125

					15,992,087

Tobacco — 0.1%
Altria Group, Inc., 2.63%, 01/14/20			3,750		3,735,865
BAT Capital Corp.:
2.30%, 08/14/20			1,115		1,099,887
2.76%, 08/15/22			1,200		1,166,451


Security		Par (000)		Value

Tobacco (continued)
Philip Morris International, Inc., 2.00%, 02/21/20	USD		3,000	$	2,974,129
Vector Group Ltd., 6.13%, 02/01/25^(b)			2,950		2,584,938

					11,561,270

Trading Companies & Distributors — 0.2%
Air Lease Corp.:
2.50%, 03/01/21			2,490		2,433,323
2.63%, 07/01/22			1,030		988,875
Aircastle Ltd.:
6.25%, 12/01/19			100		102,151
5.13%, 03/15/21			475		486,901
5.50%, 02/15/22			250		256,892
Aviation Capital Group LLC, 2.88%, 01/20/22^(b)			540		523,821
Fortress Transportation & Infrastructure Investors LLC^(b):
6.75%, 03/15/22			545		546,695
6.50%, 10/01/25			825		792,000
HD Supply, Inc., 5.38%, 10/15/26^(b)			9,882		9,931,410
Rexel SA, 3.50%, 06/15/23	EUR		877		1,028,910
United Rentals North America, Inc.:
4.63%, 07/15/23	USD		1,937		1,959,372
5.75%, 11/15/24			1,752		1,795,800
5.50%, 07/15/25			1,090		1,103,625
4.63%, 10/15/25			2,576		2,471,672
5.88%, 09/15/26			3,279		3,328,185
5.50%, 05/15/27			3,595		3,542,154
4.88%, 01/15/28			1,180		1,119,525
WESCO Distribution, Inc., 5.38%, 12/15/21			200		201,500

					32,612,811

Transportation Infrastructure — 0.1%
Adani Ports & Special Economic Zone Ltd.:
3.95%, 01/19/22^(b)			2,000		1,971,887
4.00%, 07/30/27			892		815,553
CMHI Finance BVI Co. Ltd., 5.00%, 08/06/28			1,630		1,694,882
HPHT Finance 17 Ltd., 2.75%, 09/11/22			2,035		1,951,418
Royal Capital BV^(j):
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.42%), 5.50%^(a)			1,000		991,840
5.88%			1,014		936,510
(U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.93%), 4.88%^(a)			508		468,752

					8,830,842

Wireless Telecommunication Services — 0.6%
C&W Senior Financing DAC^(b):
7.50%, 10/15/26			625		620,506
6.88%, 09/15/27			525		500,063
Digicel Group Two Ltd., 7.13% (7.13% Cash or 9.13% PIK), 04/01/24^(b)(i)			556		243,621
Digicel Ltd., 6.00%, 04/15/21^(b)			4,156		3,844,300
Hughes Satellite Systems Corp.:
6.50%, 06/15/19			732		739,598
7.63%, 06/15/21			945		1,001,700
5.25%, 08/01/26			2,377		2,275,977
6.63%, 08/01/26			1,235		1,188,688
Inmarsat Finance plc, 4.88%, 05/15/22^(b)			1,316		1,273,230
SmarTone Finance Ltd., 3.88%, 04/08/23			8,350		8,302,280
SoftBank Group Corp.:
4.00%, 04/20/23	EUR		2,375		2,855,298
4.75%, 07/30/25			783		929,767


Security		Par (000)		Value

Wireless Telecommunication Services (continued)
SoftBank Group Corp. (continued)
(USD Swap Rate 5 Year + 4.85%), 6.87%^(a)(j)	USD		4,300	$	3,770,223
Sprint Communications, Inc.:
7.00%, 03/01/20^(b)			3,495		3,595,481
7.00%, 08/15/20			700		726,250
6.00%, 11/15/22			1,300		1,314,625
Sprint Corp.:
7.25%, 09/15/21			1,050		1,102,500
7.88%, 09/15/23			8,982		9,543,375
7.13%, 06/15/24			10,839		11,089,652
7.63%, 02/15/25			2,339		2,444,956
7.63%, 03/01/26			6,368		6,614,760
Sprint Spectrum Co. LLC, 4.74%, 03/20/25^(b)			590		589,262
Telefonica Europe BV^(a)(j):
(EUR Swap Annual 5 Year + 3.81%), 4.20%	EUR		2,700		3,171,543
(EUR Swap Annual 6 Year + 3.80%), 5.00%			400		476,154
(GBP Swap 5 Year + 4.46%), 6.75%	GBP		400		553,495
(EUR Swap Annual 8 Year + 5.59%), 7.63%	EUR		500		658,728
(EUR Swap Annual 5 Year + 3.86%), 3.75%			300		351,225
(EUR Swap Annual 5 Year + 2.33%), 2.63%			600		645,829
(EUR Swap Annual 10 Year + 4.30%), 5.88%			900		1,126,716
T-Mobile USA, Inc.:
4.00%, 04/15/22	USD		570		562,875
6.00%, 03/01/23			700		717,500
6.50%, 01/15/24			675		698,625
6.00%, 04/15/24			650		666,250
6.38%, 03/01/25			3,301		3,424,788
5.13%, 04/15/25			1,007		1,017,070
6.50%, 01/15/26			2,331		2,465,032
4.50%, 02/01/26			2,808		2,737,800
5.38%, 04/15/27			650		654,875
4.75%, 02/01/28			3,779		3,623,116
United States Cellular Corp., 6.70%, 12/15/33			199		204,970
Vodafone Group plc, 0.00%, 11/26/20^(h)(m)	GBP		200		254,041
Wind Tre SpA:
2.63%, 01/20/23	EUR		330		340,315
(EURIBOR 3 Month + 2.75%), 2.75%, 01/20/24^(a)			610		623,917
3.13%, 01/20/25			800		806,943
5.00%, 01/20/26^(b)	USD		400		329,000

					90,676,919


Total Corporate Bonds — 26.4% (Cost: $4,121,754,159)					4,061,562,070


Equity-Linked Notes — 11.7%

Aerospace & Defense — 0.0%
Royal Bank of Canada (Textron, Inc.), 11.10%, 03/14/19^(b)			85		4,506,081


Airlines — 0.2%
Nomura Bank International plc (Delta Air Lines, Inc.), 12.67%, 04/12/19			345		16,851,412
Nomura Bank International plc (United Continental Holdings, Inc.), 10.32%, 04/12/19			197		17,189,852
Toronto-Dominion Bank (The) (Alaska Air Group, Inc.), 14.87%, 04/12/19			47		3,009,614

					37,050,878


Security		Par (000)		Value

Auto Components — 0.0%
Barclays Bank plc (Faurecia SA):
17.40%, 02/14/19	EUR		28	$	1,235,919
17.30%, 02/15/19			28		1,237,227

					2,473,146

Automobiles — 0.2%
Societe Generale SA (General Motors Co.), 14.11%, 02/05/19	USD		895		31,912,614


Banks — 1.1%
Citigroup, Inc. (Bank of America Corp.), 12.20%, 04/15/19^(b)			1,528		43,708,382
Nomura Bank International plc (Citigroup, Inc.), 13.26%, 04/12/19			703		44,111,816
Societe Generale SA (JPMorgan Chase & Co.), 11.31%, 04/12/19			423		43,558,409
Societe Generale SA (Wells Fargo & Co.), 12.32%, 04/12/19			902		43,907,862

					175,286,469

Beverages — 0.6%
Nomura Bank International plc (PepsiCo, Inc.), 10.75%, 02/15/19			398		44,346,415
Societe Generale SA (Molson Coors Brewing Co.), 13.18%, 02/12/19			79		4,875,586
UBS AG (Constellation Brands, Inc.), 11.10%, 03/22/19^(b)			270		45,545,430

					94,767,431

Capital Markets — 0.3%
Citigroup, Inc. (Goldman Sachs Group, Inc. (The)), 13.41%, 04/15/19^(b)			223		44,302,746


Chemicals — 0.2%
Merrill Lynch International & Co. (DowDuPont, Inc.), 12.27%, 02/01/19			518		30,685,896


Communications Equipment — 0.3%
UBS AG (Cisco Systems, Inc.), 12.40%, 02/11/19^(b)			922		43,702,571


Consumer Finance — 0.1%
Royal Bank of Canada (Discover Financial Services), 11.64%, 04/23/19^(b)			108		7,270,655


Diversified Telecommunication Services — 0.3%
Merrill Lynch International & Co. (Verizon Communications, Inc.), 9.80%, 04/24/19^(b)			801		43,564,224


Electrical Equipment — 0.1%
Royal Bank of Canada (Rockwell Automation, Inc.), 12.57%, 04/24/19^(b)			42		7,162,735


Electronic Equipment, Instruments & Components — 0.1%
Royal Bank of Canada (Corning, Inc.), 12.57%, 04/24/19^(b)			214		7,192,607


Equity Real Estate Investment Trusts (REITs) — 0.3%
BNP Paribas SA (American Tower Corp.), 11.24%, 02/22/19^(b)			155		25,915,477
Societe Generale SA (Host Hotels & Resorts, Inc.), 14.95%, 02/20/19			947		16,962,061

					42,877,538

Food & Staples Retailing — 0.1%
Societe Generale SA (Sysco Corp.), 11.53%, 02/05/19			247		15,768,308


Security		Par (000)		Value

Health Care Equipment & Supplies — 0.4%
Citigroup, Inc. (Danaher Corp.), 8.81%, 04/24/19^(b)	USD		157	$	16,973,059
Royal Bank of Canada (Abbott Laboratories), 9.10%, 04/12/19			592		43,188,584

					60,161,643

Hotels, Restaurants & Leisure — 0.8%
BNP Paribas SA (Starbucks Corp.), 9.95%, 04/17/19^(b)			646		43,475,514
Credit Suisse AG (Darden Restaurants, Inc.), 14.65%, 03/14/19			72		7,487,286
Royal Bank of Canada (Domino’s Pizza, Inc.), 17.93%, 03/07/19^(b)			68		17,725,971
UBS AG (McDonald’s Corp.), 8.90%, 04/24/19			239		43,235,827
UBS AG (Royal Caribbean Cruises Ltd.), 12.50%, 04/24/19			61		7,312,871

					119,237,469

Household Durables — 0.0%
Nomura Holdings, Inc. (DR Horton, Inc.), 12.01%, 04/24/19^(b)			198		7,206,021


Interactive Media & Services — 0.0%
Societe Generale SA (TripAdvisor, Inc.), 15.48%, 02/12/19			113		6,535,386



IT Services — 0.7%
BNP Paribas SA (International Business Machines Corp.), 12.13%, 04/17/19^(b)			322		43,167,006
Societe Generale SA (Cognizant Technology Solutions Corp.), 12.72%, 02/05/19			233		16,271,149
Toronto-Dominion Bank (The) (Mastercard, Inc.), 10.01%, 04/25/19			204		42,970,449

					102,408,604

Life Sciences Tools & Services — 0.3%
UBS AG (Thermo Fisher Scientific, Inc.), 10.60%, 04/24/19			178		43,624,378


Machinery — 0.3%
Royal Bank of Canada (Caterpillar, Inc.), 14.63%, 04/18/19			327		43,383,263
UBS AG (Ingersoll-Rand plc), 10.80%, 04/24/19			73		7,342,932
UBS AG (Westrock Co.), 13.40%, 04/25/19			74		3,000,599

					53,726,794

Metals & Mining — 0.1%
Societe Generale SA (BHP Group Ltd.), 11.81%, 02/15/19	GBP		775		17,132,956


Multiline Retail — 0.2%
Goldman Sachs International (Macy’s, Inc.):
32.84%, 02/13/19	USD		654		17,456,356
32.22%, 02/14/19			654		17,462,797

					34,919,153

Oil, Gas & Consumable Fuels — 0.9%
Goldman Sachs International (ConocoPhillips), 14.41%, 04/25/19^(b)			445		30,080,212
Goldman Sachs International (Valero Energy Corp.), 14.36%, 04/25/19^(b)			344		30,134,919
Merrill Lynch International & Co. (Williams Cos., Inc. (The)), 16.48%, 02/07/19			1,185		31,593,234
Royal Bank of Canada (Exxon Mobil Corp.), 10.21%, 02/01/19^(b)			532		38,472,040

					130,280,405


Security		Par (000)		Value

Personal Products — 0.2%
Royal Bank of Canada (Estee Lauder Cos, Inc. (The)), 11.88%, 02/01/19^(b)	USD		215	$	28,841,793


Pharmaceuticals — 0.9%
Nomura Bank International plc (Bristol-Myers Squibb Co.), 19.49%, 04/17/19^(b)			885		43,408,822
Royal Bank of Canada (Pfizer, Inc.), 9.82%, 04/24/19^(b)			1,060		44,486,089
Societe Generale SA (Eli Lilly & Co.), 10.70%, 02/12/19			365		43,729,159

					131,624,070

Road & Rail — 0.7%^(b)
BNP Paribas SA (Norfolk Southern Corp.), 12.77%, 04/17/19			100		16,726,907
Citigroup, Inc. (CSX Corp.), 10.96%, 04/12/19			686		44,635,740
UBS AG (Union Pacific Corp.), 10.60%, 03/14/19			267		42,637,036

					103,999,683

Semiconductors & Semiconductor Equipment — 0.3%
Royal Bank of Canada (Intel Corp.), 14.28%, 04/23/19^(b)			927		43,654,264


Software — 0.7%
BNP Paribas SA (salesforce.com, Inc.), 15.38%, 02/22/19^(b)			295		44,602,830
Royal Bank of Canada (Intuit, Inc.), 11.36%, 02/15/19^(b)			123		26,259,108
Toronto-Dominion Bank (The) (Microsoft Corp.), 11.28%, 04/25/19			412		42,996,927

					113,858,865

Specialty Retail — 0.1%
Credit Suisse AG (O’Reilly Automotive, Inc.), 14.45%, 02/05/19			48		16,697,148


Technology Hardware, Storage & Peripherals — 0.3%
Royal Bank of Canada (Apple, Inc.), 12.53%, 04/24/19^(b)			264		43,634,759


Textiles, Apparel & Luxury Goods — 0.8%
Barclays Bank plc (Kering SA), 13.95%, 02/08/19	EUR		62		31,034,389
Barclays Bank plc (Moncler SpA), 11.20%, 02/22/19			121		4,557,902
Credit Suisse AG (Lululemon Athletica, Inc.), 17.75%, 03/21/19	USD		243		33,286,919
Societe Generale SA (NIKE, Inc.), 14.11%, 03/21/19			582		45,405,336
UBS AG (Tapestry, Inc.), 14.40%, 02/01/19^(b)			356		13,681,398

					127,965,944

Trading Companies & Distributors — 0.1%
BNP Paribas SA (United Rentals, Inc.), 17.61%, 04/17/19^(b)			130		16,366,377


Total Equity-Linked Notes — 11.7% (Cost: $1,779,447,126)					1,790,399,611


Floating Rate Loan Interests — 6.3%^(l)

Aerospace & Defense — 0.1%
Atlantic Aviation FBO, Inc., Term Loan B, (LIBOR USD 1 Month + 3.75%), 6.27%, 11/30/25^(d)			1,423		1,426,558
DAE Aviation Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 3.75%), 6.25%, 07/07/22			627		624,637


Security		Par (000)		Value

Aerospace & Defense (continued)
Standardaero Holding, Inc., Term Loan⁽ⁿ⁾:
12/30/24	USD		1,843	$	1,834,732
01/23/26			3,427		3,412,601
Transdigm, Inc., Term Loan F, (LIBOR USD 1 Month + 2.50%), 5.00%, 06/09/23			4,989		4,878,569

					12,177,097

Air Freight & Logistics — 0.0%
Avolon Borrower 1 LLC, 1st Lien Term Loan B3, (LIBOR USD 1 Month + 2.00%), 4.50%, 01/15/25			2,362		2,335,857


Auto Components — 0.0%
Caliber Collision Centers, Inc., Term Loan, 01/23/26⁽ⁿ⁾			1,783		1,778,543


Automobiles — 0.0%
CH Hold Corp., Term Loan B, (LIBOR USD 3 Month + 2.00%), 7.50%, 02/01/24			1,426		1,421,010


Beverages — 0.0%
Jacobs Douwe Egberts, Term Loan, (LIBOR USD 3 Month + 2.00%), 4.56%, 11/01/25			954		941,240


Building Products — 0.0%
CPG International, Inc., Term Loan, (LIBOR USD 3 Month + 3.75%), 6.63%, 05/05/24			2,147		2,072,101
Wilsonart LLC, 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%), 6.06%, 12/19/23			1,963		1,939,014

					4,011,115

Capital Markets — 0.0%
Deerfield Holdings Corp., Term Loan, (LIBOR USD 1 Month + 3.25%), 5.75%, 02/13/25			645		621,068
Fortress Investment Group LLC, Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.50%, 12/27/22			1,389		1,369,088
RPI Finance Trust, Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.50%, 03/27/23			2,908		2,876,188

					4,866,344

Chemicals — 0.2%
Alpha 3 BV, Term Loan, (LIBOR USD 3 Month + 3.00%), 5.80%, 01/31/24			1,874		1,815,034
Ascend Performance Materials Operations LLC, 1st Lien Term Loan B, (LIBOR USD 3 Month + 5.25%), 8.05%, 08/12/22^(d)			2,169		2,147,300
Axalta Dupont PC, Term Loan, (LIBOR USD 3 Month + 1.75%), 4.55%, 06/01/24			5,122		5,019,364
Chemours Co. (The), 1st Lien Term Loan, (LIBOR USD 1 Month + 1.75%), 4.25%, 04/03/25			2,927		2,872,017
Greenrock Finance, Inc., Term Loan, (LIBOR USD 3 Month + 3.50%), 6.30%, 06/28/24			807		797,273
Invictus Co., Term Loan B, (LIBOR USD 1 Month + 3.00%), 5.50%, 03/28/25			1,929		1,896,155
IPS Acquisition LLC, Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.75%, 11/07/24			1,355		1,309,039
Messer Industries LLC, Term Loan, 10/01/25⁽ⁿ⁾			5,154		5,038,035
OXEA Holding Vier GmbH, Term Loan, (LIBOR USD 1 Month + 3.50%), 6.06%, 10/14/24			4,238		4,179,661
PQ Corp., Term Loan, (LIBOR USD 3 Month + 2.50%), 5.24%, 02/08/25			1,868		1,817,088
Starfruit Finco BV, Term Loan, (LIBOR USD 1 Month + 3.25%), 5.76%, 10/01/25			2,276		2,223,379


Security		Par (000)		Value

Chemicals (continued)
Vectra Co., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 5.75%, 02/23/25	USD		1,390	$	1,307,342

					30,421,687

Commercial Services & Supplies — 0.2%
Access CIG LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 6.46%, 02/27/25			630		622,263
Advanced Disposal Services, Inc., Term Loan, (LIBOR USD 3 Month + 2.25%), 4.66%, 11/10/23			3,457		3,415,043
Brand Energy & Infrastructure Services, Inc., Term Loan, 06/21/24⁽ⁿ⁾			5,349		5,118,600
Camelot Group LLC, Term Loan B, 10/03/23⁽ⁿ⁾			3,947		3,914,895
Capri Acquisitions Bidco Ltd., Term Loan, (LIBOR USD 3 Month + 3.25%), 5.99%, 11/01/24			1,653		1,603,706
Cast & Crew Payroll LLC, Term Loan⁽ⁿ⁾:
01/16/26			954		952,180
01/16/26			1,311		1,309,627
EnergySolutions, LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 6.55%, 05/30/25			796		680,580
GFL Environmental, Inc., Term Loan B, (LIBOR USD 1 Month + 3.00%), 5.50%, 05/30/25			3,390		3,266,152
Information Resources, Term Loan, (LIBOR USD 1 Month + 4.50%), 7.00%, 11/07/25			1,196		1,173,874
KAR Auction Services, Inc., Term Loan B5, (LIBOR USD 3 Month + 2.50%), 5.31%, 03/09/23			1,043		1,031,913
Prime Security Services Borrower LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 05/02/22			4,350		4,284,664
ServiceMaster Co. LLC (The), 1st Lien Term Loan, (LIBOR USD 1 Month + 2.50%), 5.00%, 11/08/23			1,190		1,182,581
Tempo Acquisition LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 05/01/24			3,241		3,177,004
West Corp., Term Loan:
(LIBOR USD 1 Month + 3.50%), 6.00% , 10/10/24			1,194		1,081,561
(LIBOR USD 1 Month + 4.00%), 6.50% , 10/10/24			2,945		2,696,563

					35,511,206

Communications Equipment — 0.0%
Avaya, Inc., Term Loan B, (LIBOR USD 1 Month + 4.25%), 6.76%, 12/15/24			3,020		2,966,659
Ciena Corp., Term Loan B1, 09/26/25⁽ⁿ⁾			1,351		1,340,786

					4,307,445

Construction & Engineering — 0.0%
AECOM Ltd., Term Loan B, (LIBOR USD 1 Month + 1.75%), 4.25%, 02/21/25			791		772,688
Ply Gem, Inc., Term Loan B, (LIBOR USD 3 Month + 3.75%), 6.55%, 04/01/25			584		555,086
SRS Distribution, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.75%, 05/23/25			1,725		1,634,858

					2,962,632

Construction Materials — 0.2%
ABC Supply Co., Inc., Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.50%, 10/31/23			4,256		4,147,735
GYP Holdings III Corp., Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.25%, 06/01/25			693		662,935
HD Supply Waterworks Ltd., Term Loan, (LIBOR USD 3 Month + 3.00%), 5.71% - 5.74%, 08/01/24			3,927		3,874,718


Security		Par (000)		Value

Construction Materials (continued)
Plaskolite, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 4.25%), 6.76%, 12/12/25	USD		597	$	595,012
Tower 46 Office, Term Loan, (LIBOR USD 1 Month + 2.13%), 4.64%, 11/01/23^(d)			20,123		20,122,936

					29,403,336

Containers & Packaging — 0.1%
Berry Global, Inc., Term Loan Q, (LIBOR USD 1 Month + 2.00%), 4.52%, 10/01/22			4,743		4,692,391
BWAY Holding Co., Term Loan, (LIBOR USD 3 Month + 3.25%), 6.03%, 04/03/24			4,866		4,686,495
Charter NEX US, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 05/16/24			1,675		1,610,668
Flex Acquisition Co., Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.51%, 12/29/23			1,798		1,741,033
Flex Acquisition Co., Term Loan, (LIBOR USD 1 Month + 3.25%), 5.76%, 06/30/25			2,095		2,033,400
Reynolds Group Holdings, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 02/05/23			3,988		3,928,182

					18,692,169

Distributors — 0.0%
Avantor, Inc., Term Loan, (LIBOR USD 3 Month + 3.75%), 6.57%, 11/21/24			4,318		4,299,840


Diversified Consumer Services — 0.2%
AlixPartners LLP, Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 04/04/24			3,129		3,087,205
Allied Universal Holdco LLC, Term Loan:
(LIBOR USD 1 Month + 3.75%), 6.25% , 07/28/22			1,446		1,378,608
(LIBOR USD 1 Month + 8.50%), 11.00% , 07/28/23			400		379,138
Bright Horizons Family Solutions LLC, 1st Lien Term Loan B, (LIBOR USD 1 Month + 1.75%), 4.25%, 11/07/23			5,705		5,598,318
Brightview Landscapes LLC, 1st Lien Term Loan B, 08/08/25^(d)(n)			2,062		2,036,599
Equian Buyer Corp., Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.75%, 05/20/24			2,019		1,969,010
Research Now, Inc., Term Loan, (LIBOR USD 1 Month + 5.50%), 8.00%, 12/07/24			1,579		1,563,259
Spin Holdco, Inc., 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%), 6.03%, 11/14/22			3,433		3,347,442
TierPoint LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 6.25%, 05/06/24^(d)			1,803		1,708,589
Trugreen Ltd., Term Loan, (LIBOR USD 1 Month + 4.00%), 6.51%, 04/13/23^(d)			267		267,292
Weight Watchers International, Inc., Term Loan B, 11/29/24⁽ⁿ⁾			3,738		3,715,092

					25,050,552

Diversified Financial Services — 0.3%
CLEAResult Consulting, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 6.02%, 08/15/25			1,063		1,036,752
Edelman Financial Center LLC (The), 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%), 6.04%, 07/21/25			1,010		999,476
Genuine Financial Holdings LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 6.55%, 07/12/25			1,963		1,918,911
Lstar 18-1 Securities Financing, Term Loan, (LIBOR USD 1 Month + 2.00%), 4.65%, 04/01/21^(d)			21,976		21,898,912


Security		Par (000)		Value

Diversified Financial Services (continued)
LTI Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 6.00%, 09/06/25	USD		1,448	$	1,397,069
SMG US Midco 2, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 01/23/25			2,170		2,118,528
VICI Properties, Inc., Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.50%, 12/20/24			7,019		6,884,789
WP CPP Holdings, Term Loan B, (LIBOR USD 3 Month + 3.75%), 6.26% - 6.51%, 03/16/25			768		754,057
Ziggo Secured Finance Partnership, Term Loan, (LIBOR USD 1 Month + 2.50%), 5.01%, 04/15/25			2,970		2,869,153

					39,877,647

Diversified Telecommunication Services — 0.2%
Altice Financing SA, Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 01/31/26			4,311		3,991,255
Altice Financing SA, Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.23%, 07/15/25			644		597,285
Altice France SA, Term Loan, (LIBOR USD 1 Month + 4.00%), 6.51%, 08/14/26			4,787		4,508,351
CenturyLink, Inc., Term Loan:
(LIBOR USD 1 Month + 2.75%), 5.25%, 11/01/22			2,289		2,240,856
(LIBOR USD 1 Month + 2.75%), 5.25%, 01/31/25			7,415		7,079,051
Frontier Communications Corp., Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 03/31/21			1,085		1,051,861
Level 3 Financing, Inc., Term Loan, (LIBOR USD 1 Month + 2.25%), 4.76%, 02/22/24			10,007		9,819,607
MTN Infrastructure TopCo, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 11/15/24			2,475		2,436,023
Numericable US LLC, Term Loan, (LIBOR USD 1 Month + 3.69%), 6.20%, 01/31/26			3,226		3,014,171
Telesat Canada, Term Loan B4, (LIBOR USD 3 Month + 2.50%), 5.31%, 11/17/23			1,977		1,936,299

					36,674,759

Electric Utilities — 0.0%
Calpine Construction Finance Co. LP, Term Loan, (LIBOR USD 1 Month + 2.50%), 5.00%, 01/15/25			1,269		1,240,446
Compass Power Generation LLC, Term Loan B, (LIBOR USD 1 Month + 3.50%), 6.00%, 12/20/24			1,498		1,491,780
Vistra Operations Co. LLC, Term Loan B3, (LIBOR USD 1 Month + 2.00%), 4.50% - 4.51%, 12/31/25			2,684		2,630,802

					5,363,028

Electrical Equipment — 0.1%
Dell International LLC, Term Loan, (LIBOR USD 1 Month + 2.00%), 4.50%, 09/07/23			4,965		4,892,782
GrafTech International Ltd., 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.50%), 6.00%, 02/12/25^(d)			2,233		2,190,886

					7,083,668

Electronic Equipment, Instruments & Components — 0.0%
CDW LLC, 1st Lien Term Loan B, (LIBOR USD 1 Month + 1.75%), 4.25%, 08/17/23			3,312		3,293,395


Security		Par (000)		Value

Energy Equipment & Services — 0.0%
McDermott International, Inc., Term Loan, (LIBOR USD 1 Month + 5.00%), 7.50%, 05/12/25	USD		4,492	$	4,298,152
Weatherford International Ltd., Term Loan, (LIBOR USD 1 Month + 1.43%), 3.93%, 07/13/20^(d)			916		874,799

					5,172,951

Entertainment — 0.0%
Creative Artists Agency LLC, Term Loan B, (LIBOR USD 1 Month + 3.00%), 5.50%, 02/15/24			2,440		2,400,792
William Morris Endeavor Entertainment LLC, Term Loan B, 05/18/25⁽ⁿ⁾			4,131		3,878,803

					6,279,595

Equity Real Estate Investment Trusts (REITs) — 0.1%
Capital Automotive LP, Term Loan, (LIBOR USD 1 Month + 2.50%), 5.00%, 03/25/24			944		917,334
DTZ US Borrower LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 5.75%, 12/31/22			3,826		3,748,925
GEO Group Refinancing, Term Loan, (LIBOR USD 1 Month + 2.00%), 4.50%, 03/22/24			2,245		2,181,164

					6,847,423

Food & Staples Retailing — 0.1%
Albertson’s LLC, Term Loan B7, (LIBOR USD 1 Month + 3.00%), 5.50%, 10/29/25			2,043		1,996,740
H-Food Holdings LLC, Term Loan, (LIBOR USD 1 Month + 3.69%), 6.19%, 05/23/25			1,387		1,332,184
H-Food Incremental, Term Loan, (LIBOR USD 1 Month + 4.00%), 6.50%, 05/23/25			1,309		1,269,730
US Foods, Inc., Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.50%, 06/27/23			3,910		3,841,499

					8,440,153

Food Products — 0.2%
8th Avenue Food & Provisions, Inc. Term Loan, (LIBOR USD 1 Month + 3.75%), 6.26%, 10/01/25			802		799,995
CHG PPC Parent LLC, Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 03/31/25^(d)			846		826,721
Chobani LLC, Term Loan, (LIBOR USD 1 Month + 3.50%), 6.00%, 10/10/23			2,231		2,133,845
Hostess Brands LLC, Term Loan, 08/03/22⁽ⁿ⁾			4,618		4,452,348
JBS USA Lux SA, Term Loan, (LIBOR USD 3 Month + 2.50%), 5.00% - 5.30%, 10/30/22			9,026		8,925,811
Nomad Foods Ltd., Term Loan, (LIBOR USD 1 Month + 2.25%), 4.76%, 05/15/24			515		499,871
Post Holdings, Inc., Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.52%, 05/24/24			1,925		1,898,206
TMK Hawk Parent Corp., Term Loan, (LIBOR USD 1 Month + 3.50%), 6.00%, 08/28/24			4,617		4,123,099

					23,659,896

Gas Utilities — 0.0%
Midcoast Operating LP, Term Loan, (LIBOR USD 3 Month + 5.50%), 8.30%, 06/30/25			1,984		1,919,161


Health Care Equipment & Supplies — 0.1%
DJO Finance LLC, 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.87%, 06/08/20			12,994		12,963,465
Immucor, Inc., 1st Lien Term Loan, (LIBOR USD 3 Month + 5.00%), 7.80%, 06/15/21^(d)			2,497		2,481,454
Tecostar Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 6.02%, 05/01/24			313		308,361


Security		Par (000)		Value

Health Care Equipment & Supplies (continued)
Universal Hospital Services, Inc., Delayed Draw Term Loan B, (LIBOR USD 6 Month + 0.00%), 5.56%, 10/18/25^(d)	USD		911	$	905,306

					16,658,586

Health Care Providers & Services — 0.3%
AHP Health Partners, Inc., Term Loan, (LIBOR USD 1 Month + 4.50%), 7.00%, 06/30/25			1,109		1,100,638
Auris Luxembourg III SARL, Term Loan B7, (LIBOR USD 1 Month + 3.00%), 5.50%, 01/17/22			3,251		3,230,521
CHG Healthcare Services, Inc., Term Loan B, (LIBOR USD 1 Month + 3.00%), 5.50% - 5.74%, 06/07/23			7,713		7,628,561
Concentra, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 6.50%), 9.02%, 07/25/23			1,950		1,936,993
Concentra, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 5.27%, 06/01/22			2,428		2,405,250
DaVita Healthcare, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.25%, 06/24/21			2,978		2,962,518
Dentalcorp Perfect Smile ULC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.75%), 6.25%, 05/31/25			1,241		1,211,956
Dentalcorp Perfect Smile ULC, Delayed Draw Term Loan, (LIBOR USD 1 Month + 3.75%), 0.00% - 6.25%, 05/31/25			229		223,257
Diplomat Pharmacy, Inc., Term Loan, (LIBOR USD 1 Month + 4.50%), 7.00%, 12/20/24^(d)			954		944,386
Envision Healthcare Corp., Term Loan, 10/10/25⁽ⁿ⁾			3,257		3,063,209
Gentiva Health Services, Inc., Term Loan, (LIBOR USD 1 Month + 7.00%), 9.50%, 07/02/26			344		347,541
Gentiva Health Services, Inc., Term Loan U, (LIBOR USD 1 Month + 3.75%), 6.25%, 07/02/25^(d)			1,519		1,507,672
HC Group Holdings III, Inc.,Term Loan B, (LIBOR USD 1 Month + 3.75%), 6.25%, 04/07/22^(d)			1,258		1,235,739
HCA, Inc., Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.50%, 03/13/25			1,370		1,364,021
Lifescan Global Corp., Term Loan U, (LIBOR USD 3 Month + 6.00%), 8.80%, 10/01/24			360		344,927
MPH Acquisition Holdings LLC, Term Loan, 06/07/23⁽ⁿ⁾			3,955		3,822,821
nThrive, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 4.50%), 7.00%, 10/20/22			2,439		2,347,270
Ortho-Clinical Diagnostics, Inc., Term Loan B, 06/30/25⁽ⁿ⁾			6,565		6,343,714
ScribeAmerica Intermediate Holdco LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 4.50%), 7.01%, 04/03/25			1,885		1,864,042
Sound Inpatient Physicians, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 06/27/25			966		949,846
Sound Inpatient Physicians, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 6.75%), 9.25%, 06/26/26			527		519,095
Team Health Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 02/06/24^(d)			2,134		1,915,077
Vizient, Inc., Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.25%, 02/13/23			640		633,877
Wink Holdco, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 12/02/24			931		895,507

					48,798,438


Security		Par (000)		Value

Health Care Technology — 0.1%
Change Healthcare Holdings LLC, Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.25%, 03/01/24	USD		4,943	$	4,834,060
Goodrx, Inc., Term Loan, 10/10/25⁽ⁿ⁾			722		709,668
IQVIA, Inc., Term Loan B, (LIBOR USD 3 Month + 2.00%), 4.80%, 03/07/24			2,095		2,075,506
Press Ganey Holdings, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 10/23/23			2,221		2,181,407

					9,800,641

Hotels, Restaurants & Leisure — 0.4%
1011778 BC ULC, Term Loan, (LIBOR USD 1 Month + 2.25%), 4.75%, 02/16/24			8,027		7,886,040
Aristocrat Leisure Ltd., Term Loan B, (LIBOR USD 3 Month + 1.75%), 4.53%, 10/19/24			1,667		1,634,927
Boyd Gaming Corp., Term Loan B, 09/15/23⁽ⁿ⁾			2,685		2,646,191
Caesars Resort Collection LLC, Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 12/23/24			4,279		4,215,547
CCM Merger, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.75%, 08/06/21			1,038		1,025,378
CEC Entertainment, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.75%, 02/12/21			643		614,187
CityCenter Holdings LLC, Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.75%, 04/18/24			2,977		2,919,140
Eldorado Resorts, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.81%, 04/17/24			395		389,818
Four Seasons Holdings, Inc., Term Loan F, (LIBOR USD 1 Month + 2.00%), 4.50%, 11/30/23			338		332,254
GVC Holdings plc, Term Loan B2, (LIBOR USD 1 Month + 2.50%), 5.00%, 03/15/24			1,201		1,184,412
Hilton Worldwide Finance LLC, 1st Lien Term Loan B2, (LIBOR USD 1 Month + 1.75%), 4.26%, 10/25/23			2,769		2,736,751
IRB Holding Corp., Term Loan B, 02/05/25⁽ⁿ⁾			4,087		3,973,627
KFC Holding Co., Term Loan B, (LIBOR USD 1 Month + 1.75%), 4.26%, 04/03/25			2,993		2,963,015
Lakeland Tours LLC, Term Loan B, (LIBOR USD 3 Month + 4.00%), 6.79%, 12/16/24			1,482		1,464,690
Marriott Ownership Resorts, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.75%, 08/29/25			1,737		1,722,895
MGM Growth Properties LLC, Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.41%, 03/21/25			8,750		8,603,233
Penn National Gaming, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.25%), 4.76%, 10/15/25			850		838,134
Playa Resorts Holding BV, 1st Lien Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.25%, 04/29/24			2,668		2,571,577
Scientific Games International, Inc., Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.25%, 08/14/24			2,739		2,652,410
Stars Group Holdings BV, Term Loan, (LIBOR USD 3 Month + 3.50%), 6.30%, 07/10/25			7,673		7,592,154
Station Casinos LLC,Term Loan B, 06/08/23⁽ⁿ⁾			1,900		1,874,826
Wyndham Hotels & Resorts, Inc., Term Loan B, (LIBOR USD 1 Month + 1.75%), 4.25%, 05/30/25			2,499		2,454,560

					62,295,766


Security		Par (000)		Value

Household Durables — 0.0%
Serta Simmons Bedding LLC, Term Loan:
6.01%, 11/08/23⁽ⁿ⁾	USD		1,313	$	1,116,048
(LIBOR USD 1 Month + 8.00%), 10.51% , 11/08/24			738		519,760

					1,635,808

Household Products — 0.0%
Energizer Holdings, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.76%, 06/20/25			985		977,613
Prestige Brands, Inc., Term Loan, (LIBOR USD 1 Month + 2.00%), 4.50%, 01/26/24			1,879		1,850,642
Varsity Brands, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 6.00%, 12/16/24			648		637,643

					3,465,898

Independent Power and Renewable Electricity Producers — 0.0%
Calpine Corp., 1st Lien Term Loan B5, (LIBOR USD 3 Month + 2.50%), 5.31%, 01/15/24			2,583		2,534,586
NRG Energy, Inc.,Term Loan, (LIBOR USD 1 Month + 1.75%), 4.25%, 06/30/23			2,050		2,013,874

					4,548,460

Industrial Conglomerates — 0.1%
Accudyne Industries LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 08/18/24			3,682		3,584,712
Filtration Group Corp., Term Loan B, (LIBOR USD 1 Month + 3.00%), 5.50%, 03/29/25			5,910		5,853,716
PSAV Holdings LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 3.25%), 5.75% - 6.05%, 02/21/25			1,861		1,775,449
Uber Technologies, Inc., Term Loan, (LIBOR USD 1 Month + 4.00%), 6.52%, 03/14/25			1,577		1,563,276
Vertiv Co., Term Loan B, (LIBOR USD 3 Month + 4.00%), 6.71%, 11/30/23			6,819		6,324,979

					19,102,132

Insurance — 0.2%
Achilles Acquisition LLC, Term Loan, (LIBOR USD 1 Month + 4.00%), 6.50%, 10/03/25			1,030		1,018,412
Alliant Holdings Intermediate LLC, Term Loan, (LIBOR USD 1 Month + 2.75%), 5.26%, 05/09/25			3,324		3,192,275
AmWINS Group, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25% - 5.27%, 01/25/24			3,669		3,590,268
AssuredPartners, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 5.75%, 10/22/24			1,850		1,787,940
Asurion LLC, 1st Lien Term Loan B6, (LIBOR USD 1 Month + 3.00%), 5.50%, 11/03/23			3,479		3,420,644
Asurion LLC, 2nd Lien Term Loan B2, (LIBOR USD 1 Month + 6.50%), 9.00%, 08/04/25			3,096		3,111,480
Asurion LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 11/03/24			4,219		4,148,473
HUB International Ltd., Term Loan B, (LIBOR USD 3 Month + 2.75%), 5.38% - 5.51%, 04/25/25			2,244		2,160,281
Sedgwick, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 5.75%, 12/31/25			5,780		5,625,847
USI, Inc., 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.00%), 5.80%, 05/16/24			2,312		2,213,968

					30,269,588

IT Services — 0.6%
Applied Systems, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 09/19/24			2,998		2,921,970


Security		Par (000)		Value

IT Services (continued)
Boxer Parent Co., Inc., Term Loan B, 10/02/25⁽ⁿ⁾	USD		4,963	$	4,840,712
CCC Information Services, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 04/29/24			2,034		1,978,089
Evertec, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 6.00%, 11/27/24			1,106		1,100,470
First Data Corp., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.00%), 4.52%, 04/26/24			11,345		11,298,768
GoDaddy, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.75%, 02/15/24			3,353		3,307,895
Greeneden US Holdings I LLC, Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.66% - 5.75%, 12/01/23			2,232		2,176,541
IG Investments Holdings LLC, Term Loan, (LIBOR USD 3 Month + 3.50%), 6.00% - 6.30%, 05/23/25			3,219		3,168,769
Mitchell International, Inc., 1st Lien Term Loan, 11/29/24⁽ⁿ⁾			5,561		5,322,338
Mitchell International, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.25%), 9.75%, 12/01/25			1,727		1,684,363
Peak 10 Holding Corp., 2nd Lien Term Loan, (LIBOR USD 3 Month + 7.25%), 9.99%, 08/01/25			1,564		1,350,905
Peak 10 Holding Corp., Term Loan, (LIBOR USD 3 Month + 3.50%), 6.31%, 08/01/24			1,664		1,501,704
Rackspace Hosting, Inc., Term Loan, (LIBOR USD 3 Month + 3.00%), 5.63%, 11/03/23			2,532		2,344,368
Renaissance Learning, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 5.75%, 05/24/25			980		941,284
Sabre GLBL, Inc., Term Loan, (LIBOR USD 1 Month + 2.00%), 4.50%, 02/22/24			2,440		2,405,711
Solera LLC, Term Loan B1, (LIBOR USD 1 Month + 2.75%), 5.25%, 03/03/23			2,532		2,476,855
Sophia LP, 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%), 6.05%, 09/30/22			3,182		3,111,434
SS&C Technologies Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 2.25%), 4.75%, 04/16/25			2,333		2,283,695
SS&C Technologies Holdings, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.75%, 04/16/25			6,065		5,937,457
SS&C Technologies Holdings, Inc., Term Loan B1, (LIBOR USD 1 Month + 2.25%), 4.75%, 07/08/22			1,740		1,722,914
SS&C Technologies, Inc., 1st Lien Term Loan B5, (LIBOR USD 1 Month + 2.25%), 4.75%, 04/16/25			3,072		3,011,578
TKC Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 3.75%), 6.25%, 02/01/23			1,394		1,347,564
Trans Union LLC, 1st Lien Term Loan B4, (LIBOR USD 1 Month + 2.00%), 4.50%, 06/19/25			1,053		1,038,046
Trans Union LLC, Term Loan, (LIBOR USD 1 Month + 2.00%), 4.50%, 04/10/23			5,802		5,720,491
Verscend Holding Corp., Term Loan B, (LIBOR USD 1 Month + 4.50%), 7.00%, 08/27/25			7,237		7,167,853
Web.com Group, Inc., Term Loan, 10/10/25⁽ⁿ⁾			792		763,908
WEX, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.75%, 06/30/23			4,533		4,459,638
Worldpay LLC, Term Loan, 08/09/24⁽ⁿ⁾			2,027		2,012,973

					87,398,293


Security		Par (000)		Value

Life Sciences Tools & Services — 0.0%
Albany Molecular Research, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 5.75%, 08/30/24	USD		951	$	921,883


Machinery — 0.1%
Doosan Infracore International, Inc., Term Loan B, (LIBOR USD 3 Month + 2.00%), 4.80%, 05/18/24			1,015		995,772
Gardner Denver, Inc., Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.25%, 07/30/24			952		945,221
Gates Global LLC, Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.25%, 04/01/24			2,559		2,502,186
Hayward Industries, Inc., Term Loan, 08/05/24⁽ⁿ⁾			1,316		1,284,239
Pike Corp., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.50%), 6.00%, 03/12/25			947		944,119
Titan Acquisition Ltd., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 03/28/25			3,309		3,112,162
WELBILT, Inc., Term Loan, (LIBOR USD 1 Month + 2.50%), 5.00%, 10/11/25			1,070		1,044,295

					10,827,994

Media — 0.4%
Ascend Learning LLC, Term Loan B, (LIBOR USD 1 Month + 3.00%), 5.50%, 07/12/24			1,270		1,244,399
Cablevision CSC Holdings LLC, Term Loan, (LIBOR USD 1 Month + 2.25%), 4.76%, 07/17/25			3,107		3,004,621
Charter Communications Operating LLC, Term Loan, 03/31/23⁽ⁿ⁾			2,847		2,788,958
Charter Communications Operating LLC, Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.50%, 04/30/25			15,766		15,536,943
CSC Holdings LLC, Term Loan B, (LIBOR USD 1 Month + 2.50%), 5.01%, 01/25/26			2,169		2,116,197
Gray Television, Inc., Term Loan, (LIBOR USD 1 Month + 2.50%), 5.01%, 11/02/25			1,982		1,953,102
Intelsat Jackson Holdings SA, Term Loan, (LIBOR USD 1 Month + 4.50%), 7.00%, 01/02/24			2,326		2,353,376
Learfield Communications LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 4.90% - 5.75%, 12/01/23^(d)			2,072		2,051,743
Lions Gate Entertainment, Inc., Term Loan, (LIBOR USD 1 Month + 2.25%), 4.75%, 03/24/25			1,562		1,533,496
Meredith Corp., Term Loan B, (LIBOR USD 1 Month + 2.75%), 5.25%, 01/31/25			1,561		1,550,247
Nielsen Finance LLC, Term Loan B4, (LIBOR USD 1 Month + 2.00%), 4.51%, 10/04/23			1,172		1,150,957
Radiate Holdco LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 02/01/24			1,454		1,410,113
Telenet Financing LLC, Term Loan, 08/15/26⁽ⁿ⁾			5,399		5,247,983
Trader Corp., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.50%, 09/28/23			4,208		4,139,876
Tribune Media Co., 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.00%), 5.50%, 01/26/24			4,773		4,742,968
Unitymedia Finance LLC, Term Loan:
(LIBOR USD 1 Month + 2.00%), 4.51% , 06/01/23			1,349		1,326,242
(LIBOR USD 1 Month + 2.25%), 4.76% , 01/15/26			505		496,668


Security		Par (000)		Value

Media (continued)
Unitymedia Hessen GmbH & Co. KG, 1st Lien Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.76%, 09/30/25	USD		3,465	$	3,408,139
Univision Communications, Inc., Term Loan C5, (LIBOR USD 1 Month + 2.75%), 5.25%, 03/15/24			1,091		1,013,697
Virgin Media Bristol LLC, Term Loan, (LIBOR USD 1 Month + 2.50%), 5.01%, 01/15/26			4,914		4,819,504

					61,889,229

Metals & Mining — 0.0%
Ball Metalpack Finco LLC, Term Loan, (LIBOR USD 1 Month + 4.50%), 7.00%, 07/31/25			1,070		1,056,255
Preferred Proppants LLC, Term Loan, (LIBOR USD 3 Month + 7.75%), 10.55%, 07/27/20^(d)			881		132,079

					1,188,334

Mortgage Real Estate Investment Trusts (REITs) — 0.2%^(d)
Chimera Special Holding LLC, Term Loan, (LIBOR USD 1 Month + 2.00%), 0.00%, 10/06/19			17,983		17,982,694
Starwood Austin, Term Loan, (LIBOR USD 1 Month + 1.55%), 3.80%, 11/01/24			18,000		18,000,000

					35,982,694

Multiline Retail — 0.1%
Academy Ltd., Term Loan B, (LIBOR USD 1 Month + 4.00%), 6.51%, 07/01/22			2,548		1,748,817
Evergreen AcqCo 1 LP, Term Loan C, (LIBOR USD 3 Month + 3.75%), 6.53%, 07/09/19			266		251,324
Harbor Freight Tools USA, Inc., Term Loan, (LIBOR USD 1 Month + 2.50%), 5.00%, 08/18/23			1,980		1,912,130
Hudsons Bay Co., 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.75%, 09/30/22			2,252		2,198,262
Leslie’s Poolmart, Inc., Term Loan B, (LIBOR USD 1 Month + 3.50%), 6.00%, 08/16/23			1,814		1,760,863
Neiman Marcus Group Ltd. LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 5.76%, 10/25/20			1,241		1,097,555

					8,968,951

Multi-Utilities — 0.0%
ExGen Renewables IV LLC, Term Loan, (LIBOR USD 3 Month + 3.00%), 5.71%, 11/28/24			902		813,823
USIC Holdings, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.75%, 12/08/23			1,334		1,283,783

					2,097,606

Oil, Gas & Consumable Fuels — 0.1%
BCP Raptor II LLC, Term Loan, (LIBOR USD 3 Month + 4.75%), 7.37%, 10/22/25			1,440		1,368,000
BCP Raptor LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 4.25%), 6.87%, 06/24/24			1,024		975,493
California Resources Corp., Term Loan:
(LIBOR USD 1 Month + 10.38%), 12.87% , 12/31/21			2,765		2,885,969
(LIBOR USD 1 Month + 4.75%), 7.25% , 12/31/22			2,602		2,545,614
CNX Resources Corp., Term Loan, (LIBOR USD 3 Month + 5.00%), 8.50% - 10.50%, 11/28/22			1,054		1,061,374
Edgewater Generation LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 6.25%, 12/13/25			2,068		2,045,769
EURO Garages Ltd., Term Loan B, 02/07/25⁽ⁿ⁾			5,884		5,671,749


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Lucid Energy Group II Borrower LLC, Term Loan, 02/17/25⁽ⁿ⁾	USD		697	$	653,456
MEG Energy Corp., Term Loan B, (LIBOR USD 1 Month + 3.50%), 6.00%, 12/31/23			557		552,519

					17,759,943

Pharmaceuticals — 0.3%
Akorn, Inc., Term Loan, 04/16/21⁽ⁿ⁾			2,386		1,912,649
Alphabet Holding Co., Inc., Term Loan, (LIBOR USD 1 Month + 7.75%), 6.00%, 09/26/25			2,833		2,271,111
Amneal Pharmaceuticals LLC, Term Loan B18, (LIBOR USD 1 Month + 3.50%), 6.00%, 03/21/25			4,218		4,173,870
Bausch Health Co., Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.51%, 06/02/25			10,142		10,024,647
Catalent Pharma Dollar, Inc., 1st Lien Term Loan B, 05/20/24⁽ⁿ⁾			2,416		2,397,128
Endo Pharmaceuticals, Inc., Term Loan B, (LIBOR USD 1 Month + 4.25%), 6.75%, 04/29/24			2,411		2,384,942
Grifols Worldwide Operations Ltd., Term Loan, (LIBOR USD 3 Month + 2.25%), 4.66%, 01/31/25			6,396		6,305,759
Jaguar Holding Co. I, Term Loan, (LIBOR USD 1 Month + 2.50%), 5.00%, 08/18/22			7,001		6,852,173
National Veterinary Associates, Inc., Term Loan B3, (LIBOR USD 1 Month + 2.75%), 5.25%, 02/02/25			1,671		1,596,242

					37,918,521

Professional Services — 0.0%
ON Assignment, Inc., Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.50%, 04/02/25			1,040		1,024,730


Real Estate Development & Management — 0.0%
ESH Hospitality, Inc. Term Loan B, (LIBOR USD 1 Month + 2.00%), 4.50%, 08/30/23			4,742		4,650,601


Real Estate Management & Development — 0.7%
Forest City, Term Loan B, (LIBOR USD 1 Month + 4.00%), 6.51%, 12/31/25			1,995		1,991,668
Houston Center, Term Loan, 12/09/22^(d)(n)			46,000		46,000,000
Moffett Towers, Term Loan, 06/09/21^(d)(n)			28,770		28,697,990
Realogy Group LLC, Term Loan, (LIBOR USD 1 Month + 2.25%), 4.76%, 02/08/25			1,770		1,720,845
Riata Corp. Park, Term Loan, (LIBOR USD 1 Month + 5.30%), 6.78%, 06/09/22^(d)			20,000		20,000,000

					98,410,503

Road & Rail — 0.0%
Gruden Acquisition, Inc., 1st Lien Term Loan, (LIBOR USD 3 Month + 5.50%), 8.30%, 08/18/22			652		638,285


Semiconductors & Semiconductor Equipment — 0.1%
Microchip Technology, Inc., Term Loan, (LIBOR USD 1 Month + 2.00%), 4.50%, 05/29/25			4,865		4,779,804
ON Semiconductor Corp., Term Loan, (LIBOR USD 1 Month + 1.75%), 4.25%, 03/31/23			932		919,022
Versum Materials, Inc., Term Loan B, (LIBOR USD 3 Month + 2.00%), 4.80%, 09/29/23			1,046		1,042,003

					6,740,829

Software — 0.3%
DTI Holdco, Inc., Term Loan, (LIBOR USD 3 Month + 4.75%), 7.38%, 09/29/23			1,761		1,645,007


Security		Par (000)		Value

Software (continued)
Financial & Risk US Holdings, Inc., Term Loan, 10/01/25⁽ⁿ⁾	USD		9,989	$	9,583,247
Infor US, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 5.25%, 02/01/22			6,453		6,408,963
Informatica LLC, Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.75%, 08/05/22			2,900		2,889,595
Kronos, Inc., 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.00%), 5.74%, 11/01/23			4,408		4,316,108
McAfee LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 6.25%, 09/30/24			3,418		3,395,888
PowerSchool Group LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 5.99%, 07/31/25			1,012		986,073
Solar Winds Holdings, Inc., Term Loan B, 02/05/24⁽ⁿ⁾			5,316		5,178,395
TIBCO Software, Inc., Term Loan, 12/04/20⁽ⁿ⁾			5,245		5,190,135

					39,593,411

Specialty Retail — 0.0%
Belron Finance US LLC, Term Loan B, (LIBOR USD 3 Month + 2.25%), 4.99%, 11/07/24^(d)			1,589		1,567,102
Belron Finance US LLC, Term Loan B1, (LIBOR USD 3 Month + 2.50%), 5.11%, 11/06/25			1,344		1,325,520
National Vision, Inc, Term Loan, (LIBOR USD 1 Month + 2.50%), 5.00%, 11/20/24			263		261,065
Optiv, Inc., Term Loan, 02/01/24⁽ⁿ⁾			1,637		1,514,278
Staples, Inc., Term Loan, (LIBOR USD 3 Month + 4.00%), 6.51%, 09/12/24			1,021		1,002,156

					5,670,121

Technology Hardware, Storage & Peripherals — 0.0%⁽ⁿ⁾
Misys Ltd., 1st Lien Term Loan, 06/13/24			1,577		1,511,248
Western Digital Corp., 1st Lien Term Loan B, 04/29/23			3,000		2,925,000

					4,436,248

Trading Companies & Distributors — 0.1%
Beacon Roofing Supply, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.77%, 01/02/25			1,431		1,388,822
HD Supply, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%), 4.25%, 10/17/23			8,999		8,888,291
Nexeo Solutions LLC, Term Loan B, (LIBOR USD 3 Month + 3.25%), 0.00%, 06/09/23			332		330,806
United Rentals, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%), 4.25%, 10/31/25			396		393,747

					11,001,666

Water Utilities — 0.0%
Culligan NewCo Ltd., 1st Lien Term Loan B, 12/13/23^(d)(n)			1,150		1,089,938


Wireless Telecommunication Services — 0.1%
Digicel International Finance Ltd., Term Loan, (LIBOR USD 3 Month + 3.25%), 5.96%, 05/27/24			2,160		1,977,943
SBA Senior Finance II LLC, 2nd Lien Term Loan B, 04/06/25⁽ⁿ⁾			2,000		1,961,660
Sprint Communications, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.50%), 5.00%, 02/02/24			2,658		2,594,489

					6,534,092


Total Floating Rate Loan Interests — 6.3% (Cost: $981,418,628)					964,110,938


Security		Par (000)		Value

Foreign Agency Obligations — 0.6%

Argentina — 0.0%
YPF SA:
8.75%, 04/04/24^(b)	USD		4,770	$	4,785,264
8.75%, 04/04/24			340		341,088

					5,126,352

Chile — 0.1%
Empresa de Transporte de Pasajeros Metro SA, 5.00%, 01/25/47^(b)			6,730		6,769,236


China — 0.0%
Chengdu Xingcheng Investment Group Co. Ltd., 2.50%, 03/20/21	EUR		1,800		1,890,307
China Minmetals Corp., (U.S. Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.72%), 3.75%^(a)(j)	USD		520		488,605
Guangxi Financial Investment Group Co. Ltd., 5.75%, 01/23/21			1,100		990,000
Inner Mongolia High-Grade High Way Construction and Development Co. Ltd., 4.38%, 12/04/20			432		414,313
Yunnan Provincial Investment Holdings Group Co. Ltd., 3.38%, 04/01/19			434		430,035

					4,213,260

India — 0.1%
NTPC Ltd., 5.63%, 07/14/21			2,590		2,694,571
Power Finance Corp. Ltd., 3.75%, 12/06/27			5,797		5,052,570
Rural Electrification Corp. Ltd., 4.63%, 03/22/28			6,553		6,318,894

					14,066,035

Indonesia — 0.1%
Jasa Marga Persero Tbk. PT, 7.50%, 12/11/20	IDR		14,820,000		1,002,107
Perusahaan Listrik Negara PT, 6.15%, 05/21/48	USD		2,900		3,113,875
Perusahaan Penerbit SBSN Indonesia III, 4.35%, 09/10/24			2,300		2,334,500
Wijaya Karya Persero Tbk. PT, 7.70%, 01/31/21	IDR		13,240,000		894,227

					7,344,709

Mexico — 0.1%
Petroleos Mexicanos:
6.00%, 03/05/20	USD		1,425		1,442,812
5.50%, 01/21/21			17,816		17,913,988
3.50%, 01/30/23			2,090		1,920,710

					21,277,510

Panama — 0.1%
AES Panama SRL, 6.00%, 06/25/22^(b)			8,333		8,527,159


South Africa — 0.1%
Eskom Holdings SOC Ltd., 6.35%, 08/10/28^(b)			12,887		13,176,957


South Korea — 0.0%
Export-Import Bank of Korea, 3.00%, 11/01/22			3,700		3,657,784


Sri Lanka — 0.0%
SriLankan Airlines Ltd., 5.30%, 06/27/19			3,500		3,440,728


Total Foreign Agency Obligations — 0.6% (Cost: $89,597,941)					87,599,730


Security		Par (000)		Value

Foreign Government Obligations — 2.9%

Argentina — 0.1%
Republic of Argentina:
8.00%, 10/08/20	USD		141	$	139,600
6.88%, 04/22/21			16,908		16,130,232
5.63%, 01/26/22			5,026		4,556,069
8.75%, 05/07/24			319		309,215

					21,135,116

Brazil — 0.1%
Federative Republic of Brazil, 4.88%, 01/22/21			12,256		12,611,424


Chile — 0.3%
Republic of Chile:
2.25%, 10/30/22			3,250		3,159,000
3.13%, 03/27/25			13,600		13,450,400
3.24%, 02/06/28			23,980		23,524,380

					40,133,780

Colombia — 0.4%
Republic of Colombia:
4.00%, 02/26/24			16,600		16,799,200
8.13%, 05/21/24			5,000		5,962,500
4.50%, 01/28/26			12,870		13,268,970
3.88%, 04/25/27			8,585		8,481,980
4.50%, 03/15/29			12,272		12,560,392

					57,073,042

Croatia — 0.1%
Republic of Croatia, 6.63%, 07/14/20			7,384		7,688,590


Egypt — 0.2%
Arab Republic of Egypt:
5.75%, 04/29/20			7,158		7,229,580
6.13%, 01/31/22^(b)			4,664		4,640,680
6.13%, 01/31/22			12,427		12,364,865
5.58%, 02/21/23^(b)			3,970		3,855,862

					28,090,987

Indonesia — 0.5%
Republic of Indonesia:
7.88%, 04/15/19	IDR		327,401,000		23,443,528
5.88%, 03/13/20	USD		24,677		25,324,771
3.75%, 04/25/22			4,394		4,410,478
4.75%, 01/08/26			6,864		7,155,720
3.50%, 01/11/28			5,460		5,214,300
4.10%, 04/24/28			4,070		4,054,738
4.75%, 02/11/29			6,400		6,712,000
5.35%, 02/11/49			4,695		5,063,111

					81,378,646

Maldives — 0.0%
Republic of Maldives, 7.00%, 06/07/22			2,585		2,416,975


Mexico — 0.0%
United Mexican States, 3.50%, 01/21/21			6,450		6,450,000


Panama — 0.1%
Republic of Panama:
4.00%, 09/22/24			9,720		9,987,300
3.88%, 03/17/28			9,970		10,119,550

					20,106,850

Peru — 0.1%
Republic of Peru, 4.13%, 08/25/27			6,500		6,870,500


Philippines — 0.2%
Republic of the Philippines:
4.20%, 01/21/24			12,585		13,116,654


Security		Par (000)		Value

Philippines (continued)
Republic of the Philippines (continued)
5.50%, 03/30/26	USD		6,000	$	6,739,890
3.00%, 02/01/28			7,105		6,829,681

					26,686,225

Poland — 0.1%
Republic of Poland:
3.00%, 03/17/23			6,700		6,638,507
3.25%, 04/06/26			6,800		6,763,824

					13,402,331

Qatar — 0.2%
State of Qatar:
4.50%, 04/23/28			12,700		13,398,500
4.63%, 06/02/46			3,435		3,529,462
5.10%, 04/23/48^(b)			9,553		10,257,534

					27,185,496

Russia — 0.1%
Russian Federation:
4.75%, 05/27/26			8,400		8,547,000
4.25%, 06/23/27			4,000		3,910,000

					12,457,000

Saudi Arabia — 0.1%
Kingdom of Saudi Arabia:
4.38%, 04/16/29^(b)			4,247		4,316,014
4.50%, 04/17/30			6,500		6,621,875
5.00%, 04/17/49			3,250		3,217,500
5.25%, 01/16/50^(b)			7,727		7,939,492

					22,094,881

South Africa — 0.2%
Republic of South Africa:
5.50%, 03/09/20			19,170		19,529,438
5.88%, 05/30/22			15,550		16,366,375

					35,895,813

Sri Lanka — 0.0%
Republic of Sri Lanka:
6.25%, 10/04/20			3,585		3,598,444
6.25%, 07/27/21			473		474,182
5.75%, 01/18/22			1,750		1,722,009

					5,794,635

Turkey — 0.1%
Republic of Turkey, 4.88%, 04/16/43			15,195		11,928,075


United Arab Emirates — 0.0%
Emirate of Abu Dhabi, 4.13%, 10/11/47			3,510		3,461,738


Total Foreign Government Obligations — 2.9% (Cost: $439,537,466)					442,862,104


		Shares

Investment Companies — 8.8%
DCP Midstream LP			587,228		19,689,755
iShares iBoxx $ High Yield Corporate Bond ETF^(o)(s)			13,405,505		1,140,942,530
iShares Short-Term Corporate Bond ETF^(s)			1,160,227		60,668,270
SPDR Bloomberg Barclays High Yield Bond ETF^(o)			3,776,883		133,512,814


Total Investment Companies — 8.8% (Cost: $1,360,888,181)					1,354,813,369


Security		Par (000)		Value

Non-Agency Mortgage-Backed Securities — 7.6%

Collateralized Mortgage Obligations — 2.4%
Adjustable Rate Mortgage Trust^(c):
Series 2005-8, Class 2A1, 4.39%, 11/25/35	USD		3,911	$	3,571,079
Series 2005-8, Class 7A2, 3.07%, 11/25/35			1,958		1,893,448
Series 2005-9, Class 5A1, 3.05%, 11/25/35			1,747		1,724,217
Alternative Loan Trust:
Series 2005-16, Class A1, 3.90%, 06/25/35^(c)			686		637,221
Series 2005-36, Class 2A1A, 2.82%, 08/25/35^(c)			2,342		2,030,834
Series 2005-56, Class 1A1, 3.24%, 11/25/35^(c)			4,148		4,168,280
Series 2005-61, Class 1A1, 3.03%, 12/25/35^(c)			359		349,529
Series 2005-63, Class 3A3, 4.12%, 11/25/35^(c)			3,763		3,403,503
Series 2005-63, Class 5A1, 4.14%, 12/25/35^(c)			338		305,548
Series 2005-64CB, Class 1A1, 5.50%, 12/25/35			110		106,460
Series 2005-72, Class A1, 3.05%, 01/25/36^(c)			3,952		3,755,601
Series 2005-72, Class A3, 3.11%, 01/25/36^(c)			3,844		3,256,354
Series 2005-76, Class 2A1, 3.25%, 02/25/36^(c)			7,331		6,687,450
Series 2006-11CB, Class 1A5, 6.00%, 05/25/36			1,050		867,691
Series 2006-15CB, Class A1, 6.50%, 06/25/36			1,434		1,072,952
Series 2006-20CB, Class A9, 6.00%, 07/25/36			712		518,775
Series 2006-2CB, Class A6, 5.50%, 03/25/36			1,110		811,160
Series 2006-45T1, Class 1A10, 6.00%, 02/25/37			3,804		2,628,816
Series 2006-45T1, Class 2A2, 6.00%, 02/25/37			2,794		2,291,070
Series 2006-7CB, Class 1A6, 6.00%, 05/25/36			1,179		917,369
Series 2006-9T1, Class A7, 6.00%, 05/25/36			575		423,817
Series 2006-J7, Class 2A1, 2.58%, 11/20/46^(c)			6,609		4,585,119
Series 2006-J8, Class A5, 6.00%, 02/25/37			1,786		1,250,690
Series 2006-OA14, Class 1A1, 3.98%, 11/25/46^(c)			9,526		8,226,502
Series 2006-OA14, Class 2A1, 2.70%, 11/25/46^(c)			8,229		7,195,386
Series 2006-OA14, Class 3A1, 3.10%, 11/25/46^(c)			12,459		10,985,038
Series 2006-OA16, Class A2, 2.70%, 10/25/46^(c)			561		535,477
Series 2006-OA2, Class A1, 2.72%, 05/20/46^(c)			2,326		1,914,900
Series 2006-OA3, Class 2A1, 2.72%, 05/25/36^(c)			14,214		12,095,808
Series 2006-OA6, Class 1A2, 2.72%, 07/25/46^(c)			11,033		10,391,929
Series 2006-OA8, Class 1A1, 2.70%, 07/25/46^(c)			18,855		18,038,776
Series 2007-12T1, Class A22, 5.75%, 06/25/37			2,633		1,879,126


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Alternative Loan Trust (continued)
Series 2007-12T1, Class A5, 6.00%, 06/25/37	USD		584	$	428,596
Series 2007-15CB, Class A7, 6.00%, 07/25/37			397		338,123
Series 2007-18CB, Class 2A25, 6.00%, 08/25/37			385		346,517
Series 2007-19, Class 1A4, 6.00%, 08/25/37			1,731		1,338,926
Series 2007-19, Class 1A8, 6.00%, 08/25/37			842		651,441
Series 2007-25, Class 1A3, 6.50%, 11/25/37			4,348		3,151,787
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37			727		510,572
Series 2007-9T1, Class 2A1, 6.00%, 05/25/37			4,142		2,825,019
Series 2007-9T1, Class 2A2, 6.00%, 05/25/37			713		498,988
Series 2007-AL1, Class A1, 2.76%, 06/25/37^(c)			9,281		7,351,178
Series 2007-J1, Class 2A5, 6.00%, 03/25/37			1,896		1,197,349
Series 2007-OA11, Class A1A, 3.63%, 11/25/47^(c)			3,304		2,849,540
Series 2007-OA3, Class 1A1, 2.65%, 04/25/47^(c)			16,178		15,330,141
Series 2007-OA4, Class A1, 2.68%, 05/25/47^(c)			6,382		5,926,955
Series 2007-OA8, Class 2A1, 2.69%, 06/25/47^(c)			14,900		11,494,472
Alternative Loan Trust Resecuritization, Series 2006-22R, Class 1A6, 6.00%, 05/25/36			1,640		1,309,104
American Home Mortgage Assets Trust:
Series 2006-3, Class 1A1, 3.22%, 10/25/46^(c)			18,118		17,079,904
Series 2006-3, Class 2A11, 3.19%, 10/25/46^(c)			7,180		6,281,382
Series 2007-3, Class 22A1, 6.25%, 06/25/37^(e)			1,310		1,147,781
Banc of America Funding Trust^(c):
Series 2006-7, Class T2A3, 5.69%, 10/25/36			760		688,791
Series 2006-D, Class 6A1, 3.80%, 05/20/36			545		524,227
Series 2007-D, Class 1A1, 2.72%, 06/20/47			2,110		1,818,806
Banc of America Mortgage Trust, Series 2004-L, Class 4A1, 4.60%, 01/25/35^(c)			14		13,512
Bear Stearns ALT-A Trust, Series 2006-2, Class 11A1, 2.95%, 04/25/36^(c)			9,187		10,234,661
Bear Stearns Asset-Backed Securities I Trust^(e):
Series 2005-AC9, Class A5, 6.25%, 12/25/35			1,236		1,191,276
Series 2006-AC1, Class 1A2, 6.25%, 02/25/36			1,255		1,103,986
Bear Stearns Mortgage Funding Trust^(c):
Series 2007-AR2, Class A1, 2.68%, 03/25/37			2,472		2,237,910
Series 2007-AR3, Class 1A1, 2.65%, 03/25/37			3,206		3,072,899
Series 2007-AR4, Class 1A1, 2.71%, 09/25/47			4,229		3,911,203
CHL Mortgage Pass-Through Trust:
Series 2005-11, Class 4A1, 2.78%, 04/25/35^(c)			2,403		2,396,946


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
CHL Mortgage Pass-Through Trust (continued)
Series 2005-9, Class 1A1, 3.11%, 05/25/35^(c)	USD		4,799	$	4,385,366
Series 2006-OA4, Class A1, 3.21%, 04/25/46^(c)			3,253		1,642,056
Series 2007-21, Class 1A1, 6.25%, 02/25/38			249		199,110
Series 2007-J2, Class 2A6, 6.00%, 07/25/37			942		630,078
Series 2007-J2, Class 2A8, 6.00%, 07/25/37			1,439		962,137
CIM Trust, Series 2017-6, Class A1, 3.02%, 06/25/57^(b)(c)			12,363		12,035,440
CitiMortgage Alternative Loan Trust, Series 2007-A1, Class 1A5, 6.00%, 01/25/37			130		123,279
CSMC Mortgage-Backed Trust, Series 2006-8, Class 1A1, 4.50%, 10/25/21			50		47,605
CSMC Trust, Series 2008-2R, Class 1A1, 6.00%, 07/25/37^(b)			1,028		916,325
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class 3A1, 2.70%, 08/25/47^(c)			17,996		16,202,925
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA8, Class 1A1, 3.73%, 02/25/37^(c)			2,217		1,635,440
GMACM Mortgage Loan Trust, Series 2005-AR2, Class 4A, 3.78%, 05/25/35^(c)			70		65,746
GreenPoint Mortgage Funding Trust^(c):
Series 2006-AR1, Class GA1B, 2.68%, 02/25/36			6,611		6,341,188
Series 2006-AR2, Class 4A1, 4.25%, 03/25/36			2,119		2,014,233
GSR Mortgage Loan Trust, Series 2006-4F, Class 1A1, 5.00%, 05/25/36			17		36,419
Impac CMB Trust, Series 2005-6, Class 1A1, 3.01%, 10/25/35^(c)			2,717		2,609,999
IndyMac IMSC Mortgage Loan Trust:
Series 2007-F2, Class 1A4, 6.00%, 07/25/37			995		952,557
Series 2007-F2, Class 2A1, 6.50%, 07/25/37			2,263		1,319,792
IndyMac INDX Mortgage Loan Trust^(c):
Series 2005-AR14, Class 2A1A, 2.81%, 07/25/35			3,952		3,736,537
Series 2007-AR15, Class 1A1, 3.80%, 08/25/37			170		146,516
Series 2007-AR15, Class 2A1, 3.81%, 08/25/37			779		670,586
JP Morgan Trust, Series 2015-3, Class A5, 3.50%, 05/25/45^(b)(c)			1,522		1,520,940
Lehman XS Trust, Series 2007-20N, Class A1, 3.66%, 12/25/37^(c)			15,006		13,756,916
LSTAR Securities Investment Ltd., Series 2017-9, Class A, 4.07%, 12/01/22^(b)(c)			3,662		3,660,788
LSTAR Securities Investment Ltd. LLC, Series 2017-8, Class A, 4.17%, 11/01/22^(b)(c)			6,741		6,742,791
Merrill Lynch Mortgage Investors Trust^(c):
Series 2005-A9, Class 2A1E, 4.38%, 12/25/35			1,152		1,119,820
Series 2006-1, Class 2A1, 4.27%, 02/25/36			586		586,270
New Residential Mortgage Loan Trust, Series 2016-3A, Class A1B, 3.25%, 09/25/56^(b)(c)			537		529,647


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Prime Mortgage Trust^(b):
Series 2006-DR1, Class 1A2, 6.00%, 05/25/35	USD		30	$	28,445
Series 2006-DR1, Class 2A1, 5.50%, 05/25/35			614		493,132
RALI Trust, Series 2007-QS4, Class 3A2, 6.00%, 03/25/37			292		264,151
Residential Asset Securitization Trust, Series 2006-A15, Class A12, 6.25%, 01/25/37			382		244,730
RFMSI Series Trust, Series 2007-S7, Class A20, 6.00%, 07/25/37			75		69,888
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 3A1, 3.96%, 04/25/47^(c)			375		285,873
Structured Asset Mortgage Investments II Trust^(c):
Series 2005-AR3, Class 1A1, 3.05%, 08/25/35			2,188		2,108,757
Series 2006-AR2, Class A1, 2.74%, 02/25/36			1,631		1,557,262
Series 2006-AR4, Class 3A1, 2.70%, 06/25/36^(d)			13,256		11,400,005
Series 2006-AR6, Class 2A1, 2.70%, 07/25/46			16,115		13,224,940
Series 2007-AR4, Class GA4B, 2.69%, 09/25/47			4,120		3,971,469
WaMu Mortgage Pass-Through Certificates Trust^(c):
Series 2007-OA4, Class 1A, 3.02%, 05/25/47			2,830		2,634,410
Series 2007-OA5, Class 1A, 3.00%, 06/25/47			9,567		9,000,684
Series 2007-OA6, Class 1A, 3.06%, 07/25/47			5,103		4,600,336
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA1, Class 2A, 2.97%, 12/25/46^(c)			6,709		5,764,386
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust:
Series 2006-8, Class A5, 4.51%, 10/25/36^(e)			1,373		780,005
Series 2006-AR5, Class 1A, 3.23%, 06/25/46^(c)			7,452		5,515,032
Series 2007-OA5, Class A1A, 3.09%, 05/25/47^(c)			4,697		4,315,949

					376,621,877

Commercial Mortgage-Backed Securities — 4.9%
245 Park Avenue Trust, Series 2017-245P, Class E, 3.66%, 06/05/37^(b)(c)			9,251		8,430,170
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E, 4.63%, 09/15/34^(b)(c)			29,015		28,760,318
AOA Mortgage Trust, Series 2015-1177, Class A, 2.96%, 12/13/29^(b)			1,750		1,732,167
Ashford Hospitality Trust, Series 2018-ASHF, Class D, 4.61%, 04/15/35^(b)(c)			4,500		4,474,615
Asset Securitization Corp., Series 1997-D5, Class B2, 6.93%, 02/14/43			364		371,550
Atrium Hotel Portfolio Trust^(b)(c):
Series 2017-ATRM, Class D, 4.46%, 12/15/36^(d)			11,310		10,921,219
Series 2017-ATRM, Class E, 5.56%, 12/15/36			3,910		3,885,463


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Aventura Mall Trust^(b)(c):
Series 2013-AVM, Class A, 3.74%, 12/05/32	USD		2,000	$	2,030,897
Series 2013-AVM, Class E, 3.74%, 12/05/32			5,635		5,702,150
BAMLL Commercial Mortgage Securities Trust^(b)(c):
Series 2016-ISQ, Class E, 3.61%, 08/14/34			23,440		21,056,002
Series 2017-SCH, Class CL, 4.01%, 11/15/32			3,225		3,225,000
Series 2017-SCH, Class DL, 4.51%, 11/15/32			3,965		3,965,000
Series 2018-DSNY, Class D, 4.21%, 09/15/34			11,982		11,909,735
Banc of America Commercial Mortgage Trust, Series 2007-1, Class AMFX, 5.48%, 01/15/49^(c)			812		814,360
Bayview Commercial Asset Trust^(b)(c):
Series 2005-2A, Class A1, 2.82%, 08/25/35			4,954		4,695,670
Series 2005-3A, Class A1, 2.83%, 11/25/35			1,184		1,124,346
Series 2006-3A, Class A1, 2.76%, 10/25/36			4,172		3,936,564
Series 2007-1, Class A1, 2.73%, 03/25/37			7,276		6,818,123
Series 2007-3, Class A2, 2.80%, 07/25/37			6,436		6,062,119
Bayview Commercial Mortgage Pass-Through Trust, Series 2006-SP1, Class M3, 3.36%, 04/25/36^(b)(c)			4,443		4,431,949
BBCMS Mortgage Trust^(b)(c):
Series 2018-CHRS, Class E, 4.27%, 08/05/38			1,750		1,507,124
Series 2018-TALL, Class D, 3.96%, 03/15/37			2,000		1,972,057
BBCMS Trust, Series 2015-STP, Class E, 4.28%, 09/10/28^(b)(c)			375		361,612
BB-UBS Trust, Series 2012-SHOW, Class E, 4.03%, 11/05/36^(b)(c)			2,672		2,575,867
Bear Stearns Commercial Mortgage Securities Trust^(c):
Series 2005-PW10, Class B, 5.61%, 12/11/40			4,000		4,082,978
Series 2007-PW18, Class B, 6.48%, 06/11/50^(b)			2,239		2,283,818
Benchmark Mortgage Trust:
Series 2018-B3, Class D, 3.06%, 04/10/51^(b)			1,250		1,062,233
Series 2018-B7, Class C, 4.86%, 05/15/53^(c)			4,770		4,924,163
BWAY Mortgage Trust^(b):
Series 2013-1515, Class D, 3.63%, 03/10/33			3,600		3,503,279
Series 2013-1515, Class E, 3.72%, 03/10/33			2,000		1,934,447
Series 2015-1740, Class E, 4.45%, 01/10/35^(c)			2,000		1,990,917
BX Commercial Mortgage Trust^(b)(c):
Series 2018-IND, Class G, 4.56%, 11/15/35			14,478		14,351,307
Series 2018-IND, Class H, 5.51%, 11/15/35			16,475		16,299,882
BXP Trust^(b)(c):
Series 2017-CC, Class D, 3.55%, 08/13/37			6,800		6,423,026
Series 2017-CC, Class E, 3.55%, 08/13/37			10,985		9,933,585
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.49%, 04/10/29^(b)(c)			3,040		3,090,552


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
CFCRE Commercial Mortgage Trust:
Series 2011-C1, Class C, 6.07%, 04/15/44^(b)(c)	USD		3,027	$	3,146,359
Series 2016-C4, Class C, 4.87%, 05/10/58^(c)			3,330		3,389,694
Series 2018-TAN, Class C, 5.29%, 02/15/33^(b)			2,100		2,154,640
CGBAM Commercial Mortgage Trust^(b):
Series 2015-SMRT, Class B, 3.21%, 04/10/28			415		415,242
Series 2015-SMRT, Class E, 3.79%, 04/10/28^(c)			2,550		2,569,141
Series 2015-SMRT, Class F, 3.79%, 04/10/28^(c)			800		806,005
CGDBB Commercial Mortgage Trust^(b)(c):
Series 2017-BIOC, Class A, 3.30%, 07/15/32			1,740		1,730,173
Series 2017-BIOC, Class D, 4.11%, 07/15/32			7,220		7,159,424
Series 2017-BIOC, Class E, 4.66%, 07/15/32			5,169		5,050,468
Citigroup Commercial Mortgage Trust:
Series 2014-GC19, Class C, 5.09%, 03/10/47^(c)			2,278		2,380,656
Series 2015-GC27, Class AAB, 2.94%, 02/10/48			1,090		1,086,226
Series 2015-GC27, Class C, 4.43%, 02/10/48^(c)			3,000		2,974,381
Series 2016-C1, Class C, 4.95%, 05/10/49^(c)			2,870		2,916,757
Series 2016-C1, Class D, 4.95%, 05/10/49^(b)(c)			980		946,776
Series 2016-GC37, Class C, 4.92%, 04/10/49^(c)			2,640		2,696,664
Series 2016-GC37, Class D, 2.79%, 04/10/49^(b)			3,446		2,749,516
Series 2016-P3, Class C, 4.83%, 04/15/49^(c)			1,271		1,304,051
Series 2016-P6, Class C, 4.28%, 12/10/49^(c)			2,400		2,324,204
Series 2018-C6, Class C, 5.07%, 11/10/51			3,976		4,188,123
CLNS Trust^(b)(c):
Series 2017-IKPR, Class A, 3.32%, 06/11/32			1,080		1,073,890
Series 2017-IKPR, Class E, 6.02%, 06/11/32			3,980		3,979,962
Commercial Mortgage Trust:
Series 2005-C6, Class F, 5.71%, 06/10/44^(b)(c)			3,334		3,380,674
Series 2012-LC4, Class A4, 3.29%, 12/10/44			1,408		1,410,774
Series 2013-300P, Class D, 4.39%, 08/10/30^(b)(c)			3,000		3,050,653
Series 2013-CR12, Class A4, 4.05%, 10/10/46			965		999,535
Series 2013-CR7, Class ASB, 2.74%, 03/10/46			811		805,643
Series 2013-SFS, Class A1, 1.87%, 04/12/35^(b)			457		445,270
Series 2014-CR15, Class ASB, 3.60%, 02/10/47			2,000		2,025,213
Series 2014-CR15, Class C, 4.71%, 02/10/47^(c)			2,050		2,125,765


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust (continued)
Series 2014-CR17, Class A5, 3.98%, 05/10/47	USD		1,010	$	1,045,991
Series 2014-CR18, Class ASB, 3.45%, 07/15/47			2,000		2,016,610
Series 2014-CR21, Class A2, 3.10%, 12/10/47			1,770		1,770,124
Series 2014-LC15, Class ASB, 3.53%, 04/10/47			2,000		2,027,056
Series 2014-PAT, Class E, 5.66%, 08/13/27^(b)(c)			1,000		1,000,884
Series 2014-PAT, Class F, 4.95%, 08/13/27^(b)(c)			2,000		1,990,574
Series 2014-PAT, Class G, 4.10%, 08/13/27^(b)(c)			1,040		1,031,910
Series 2014-TWC, Class C, 4.36%, 02/13/32^(b)(c)			8,000		7,999,995
Series 2014-TWC, Class E, 5.76%, 02/13/32^(b)(c)			1,910		1,909,999
Series 2015-CR22, Class C, 4.12%, 03/10/48^(c)			1,635		1,602,520
Series 2015-CR23, Class B, 4.18%, 05/10/48^(c)			9,520		9,668,352
Series 2015-CR23, Class CMC, 3.68%, 05/10/48^(b)(c)			7,688		7,648,163
Series 2015-CR23, Class CMD, 3.68%, 05/10/48^(b)(c)			18,170		18,046,846
Series 2015-CR23, Class CME, 3.68%, 05/10/48^(b)(c)			2,180		2,156,066
Series 2015-CR25, Class C, 4.54%, 08/10/48^(c)			1,024		1,006,967
Series 2015-LC19, Class C, 4.26%, 02/10/48^(c)			8,623		8,586,286
Series 2015-LC19, Class D, 2.87%, 02/10/48^(b)			3,282		2,815,095
Series 2015-LC21, Class C, 4.30%, 07/10/48^(c)			6,010		6,012,720
Series 2015-PC1, Class ASB, 3.61%, 07/10/50			600		609,311
Series 2016-667M, Class D, 3.18%, 10/10/36^(b)(c)			3,200		2,923,174
Series 2016-DC2, Class ASB, 3.55%, 02/10/49			500		506,505
Series 2017-COR2, Class D, 3.00%, 09/10/50^(b)			3,425		2,940,527
Series 2018-HCLV, Class B, 3.91%, 09/15/33^(b)(c)			2,500		2,500,000
Core Industrial Trust^(b):
Series 2015-CALW, Class G, 3.85%, 02/10/34^(c)			6,060		5,997,978
Series 2015-TEXW, Class A, 3.08%, 02/10/34			1,552		1,552,253
Series 2015-TEXW, Class D, 3.85%, 02/10/34^(c)			1,500		1,499,225
Series 2015-TEXW, Class E, 3.85%, 02/10/34^(c)			3,570		3,533,289
Series 2015-WEST, Class E, 4.23%, 02/10/37^(c)			6,400		6,256,054
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class C, 4.95%, 07/15/37^(c)			906		914,142
Credit Suisse Mortgage Capital Certificates, Series 2015-GLPB, Class A, 3.64%, 11/15/34^(b)			2,000		2,034,313


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
CSAIL Commercial Mortgage Trust:
Series 2015-C2, Class ASB, 3.22%, 06/15/57	USD		1,440	$	1,445,943
Series 2016-C6, Class C, 4.75%, 01/15/49^(c)			3,950		4,027,919
Series 2018-C14, Class D, 4.89%, 11/15/51^(b)(c)			5,030		4,708,639
CSMC Trust, Series 2018-RPL8, Class A1, 4.12%, 07/25/58^(b)(c)			27,201		27,179,844
DBJPM Mortgage Trust, Series 2016-C3, Class D, 3.49%, 08/10/49^(b)(c)			8,736		7,711,906
DBUBS Mortgage Trust^(b)(c):
Series 2017-BRBK, Class E, 3.53%, 10/10/34			10,428		9,717,743
Series 2017-BRBK, Class F, 3.53%, 10/10/34^(d)			3,710		3,365,125
Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A, 5.40%, 12/13/28^(b)			1,901		1,963,885
GAHR Commercial Mortgage Trust^(b):
Series 2015-NRF, Class AFX, 3.23%, 12/15/34			1,195		1,194,506
Series 2015-NRF, Class EFX, 3.38%, 12/15/34^(c)			7,373		7,254,613
GRACE Mortgage Trust^(b):
Series 2014-GRCE, Class A, 3.37%, 06/10/28			2,000		2,010,116
Series 2014-GRCE, Class F, 3.59%, 06/10/28^(c)			10,256		10,082,364
GS Mortgage Securities Corp. II:
Series 2005-ROCK, Class J, 5.86%, 05/03/32^(b)			1,500		1,652,119
Series 2013-GC10, Class AAB, 2.56%, 02/10/46			1,614		1,597,696
Series 2013-KING, Class C, 3.44%, 12/10/27^(b)(c)			5,600		5,581,048
Series 2013-KING, Class D, 3.44%, 12/10/27^(b)(c)			3,750		3,726,729
Series 2013-KING, Class E, 3.44%, 12/10/27^(b)(c)			11,600		11,494,481
Series 2015-GC30, Class A2, 2.73%, 05/10/50			2,000		1,992,560
GS Mortgage Securities Corp. Trust^(b)(c):
Series 2016-RENT, Class C, 4.07%, 02/10/29			2,550		2,562,187
Series 2017-500K, Class D, 3.81%, 07/15/32			1,130		1,118,658
Series 2017-500K, Class E, 4.01%, 07/15/32			1,650		1,633,937
Series 2017-500K, Class F, 4.31%, 07/15/32			540		537,377
Series 2017-500K, Class G, 5.01%, 07/15/32			280		278,478
Series 2018-HULA, Class D, 4.31%, 07/15/25			2,350		2,332,315
GS Mortgage Securities Trust:
Series 2013-GC12, Class AAB, 2.68%, 06/10/46			1,726		1,710,856
Series 2013-GC16, Class AAB, 3.81%, 11/10/46			1,944		1,977,913
Series 2014-GC20, Class AAB, 3.66%, 04/10/47			2,000		2,031,447
Series 2014-GC24, Class AAB, 3.65%, 09/10/47			2,000		2,034,269


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
GS Mortgage Securities Trust (continued)
Series 2015-GC32, Class C, 4.41%, 07/10/48^(c)	USD		2,085	$	2,078,770
Series 2015-GC32, Class D, 3.35%, 07/10/48			2,282		1,986,378
Series 2017-GS7, Class D, 3.00%, 08/10/50^(b)			2,749		2,267,295
Series 2017-GS7, Class E, 3.00%, 08/10/50^(b)			1,260		1,009,132
Hospitality Mortgage Trust, Series 2017-HIT, Class A, 3.37%, 05/08/30^(b)(c)			790		786,768
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2012-C6, Class A3, 3.51%, 05/15/45			1,931		1,952,333
Series 2012-CBX, Class A4, 3.48%, 06/15/45			2,150		2,167,065
Series 2013-LC11, Class ASB, 2.55%, 04/15/46			1,835		1,815,882
JPMBB Commercial Mortgage Securities Trust:
Series 2013-C14, Class ASB, 3.76%, 08/15/46^(c)			1,754		1,779,758
Series 2015-C28, Class ASB, 3.04%, 10/15/48			1,641		1,637,756
Series 2015-C33, Class D1, 4.12%, 12/15/48^(b)(c)			1,898		1,768,274
JPMDB Commercial Mortgage Securities Trust^(c):
Series 2017-C5, Class C, 4.51%, 03/15/50			1,486		1,490,599
Series 2017-C5, Class D, 4.57%, 03/15/50^(b)			2,170		2,037,154
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2012-HSBC, Class A, 3.09%, 07/05/32^(b)			1,665		1,668,883
Series 2015-JP1, Class D, 4.24%, 01/15/49^(c)			5,750		5,438,298
Series 2015-JP1, Class E, 4.24%, 01/15/49^(b)(c)			820		758,267
Series 2015-UES, Class D, 3.62%, 09/05/32^(b)(c)			2,630		2,611,344
Series 2015-UES, Class E, 3.62%, 09/05/32^(b)(c)			3,750		3,690,708
Series 2017-JP5, Class C, 3.90%, 03/15/50^(c)			5,137		4,954,560
Series 2017-JP5, Class D, 4.65%, 03/15/50^(b)(c)			7,320		7,016,668
Series 2017-MAUI, Class D, 4.46%, 07/15/34^(b)(c)			1,480		1,469,323
Series 2017-MAUI, Class E, 5.46%, 07/15/34^(b)(c)			7,780		7,731,155
Series 2017-MAUI, Class F, 6.26%, 07/15/34^(b)(c)			2,100		2,073,917
Series 2018-WPT, Class FFX, 5.54%, 07/05/33^(b)			2,840		2,824,794
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM, 6.11%, 07/15/40^(c)			66		66,231
LCCM Mortgage Trust, Series 2014-909, Class E, 3.90%, 05/15/31^(b)(c)			2,500		2,473,892
LSTAR Commercial Mortgage Trust, Series 2017-5, Class C, 4.87%, 03/10/50^(b)(c)			3,375		3,058,638
MAD Mortgage Trust, Series 2017-330M, Class D, 4.11%, 08/15/34^(b)(c)			3,305		3,241,867
Madison Avenue Trust, Series 2013-650M, Class D, 4.03%, 10/12/32^(b)(c)			6,670		6,701,829


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Class D, 5.60%, 07/12/38^(c)	USD		1,441	$	1,462,030
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C12, Class A4, 4.26%, 10/15/46^(c)			1,395		1,456,273
Series 2014-C18, Class A2, 3.19%, 10/15/47			2,021		2,019,635
Series 2014-C19, Class A2, 3.10%, 12/15/47			2,000		1,999,312
Series 2015-C23, Class A2, 2.98%, 07/15/50			2,000		1,992,411
Series 2015-C23, Class D, 4.13%, 07/15/50^(b)(c)			2,800		2,580,319
Series 2015-C25, Class D, 3.07%, 10/15/48			7,113		6,061,443
Series 2015-C26, Class D, 3.06%, 10/15/48^(b)			3,232		2,729,946
Series 2017-C33, Class C, 4.56%, 05/15/50^(c)			3,161		3,084,162
Morgan Stanley Capital I, Series 2017-HR2, Class D, 2.73%, 12/15/50			1,570		1,267,055
Morgan Stanley Capital I Trust:
Series 2006-IQ11, Class C, 6.28%, 10/15/42^(c)			2,670		2,749,344
Series 2014-CPT, Class E, 3.45%, 07/13/29^(b)(c)			950		939,262
Series 2014-CPT, Class F, 3.45%, 07/13/29^(b)(c)			5,625		5,512,850
Series 2014-CPT, Class G, 3.45%, 07/13/29^(b)(c)			3,392		3,290,855
Series 2014-MP, Class A, 3.47%, 08/11/33^(b)			1,500		1,516,146
Series 2015-MS1, Class D, 4.03%, 05/15/48^(b)(c)			7,725		7,045,785
Series 2017-CLS, Class F, 5.11%, 11/15/34^(b)(c)			7,904		7,765,211
Series 2017-H1, Class D, 2.55%, 06/15/50^(b)			7,130		5,419,656
Series 2017-JWDR, Class D, 4.46%, 11/15/34^(b)(c)			2,290		2,278,506
Series 2017-JWDR, Class E, 5.56%, 11/15/34^(b)(c)			3,350		3,312,199
Series 2018-H3, Class C, 4.85%, 07/15/51^(c)			2,880		2,888,050
Series 2018-MP, Class E, 4.28%, 07/11/40^(b)(c)			2,930		2,674,272
Series 2018-SUN, Class F, 5.06%, 07/15/35^(b)(c)			4,040		3,971,649
Olympic Tower Mortgage Trust, Series 2017-OT, Class E, 3.95%, 05/10/39^(b)(c)			10,640		9,575,068
Prima Capital CRE Securitization Ltd., Series 2015-4A, Class C, 4.00%, 08/24/49^(b)(d)			3,210		3,168,591
RAIT Trust^(b)(c):
Series 2017-FL7, Class A, 3.46%, 06/15/37			368		362,615
Series 2017-FL7, Class C, 5.01%, 06/15/37			990		967,442
Resource Capital Corp. Ltd., Series 2017-CRE5, Class B, 4.51%, 07/15/34^(b)(c)			2,086		2,056,381
RSO Repo SPE Trust, 3.82%, 09/15/20^(c)(d)			9,483		9,388,352
USDC, Series 2018-USDC, Class F, 4.49%, 05/09/38^(b)(c)			2,550		2,427,297


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Velocity Commercial Capital Loan Trust, Series 2014-1, Class M6, 8.58%, 09/25/44^(b)(c)	USD		3,309	$	3,311,884
VNDO Mortgage Trust^(b):
Series 2012-6AVE, Class E, 3.34%, 11/15/30^(c)			3,000		2,886,380
Series 2013-PENN, Class A, 3.81%, 12/13/29			1,575		1,591,898
Series 2013-PENN, Class D, 3.95%, 12/13/29^(c)			5,060		5,056,739
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, 3.86%, 06/15/29^(b)(c)			410		410,380
Wells Fargo Commercial Mortgage Trust:
Series 2015-NXS3, Class B, 4.49%, 09/15/57^(c)			1,600		1,653,097
Series 2015-NXS4, Class D, 3.60%, 12/15/48^(c)			898		855,907
Series 2015-P2, Class D, 3.24%, 12/15/48^(b)			1,093		897,174
Series 2016-C32, Class ASB, 3.32%, 01/15/59			514		518,049
Series 2016-C34, Class C, 5.03%, 06/15/49^(c)			1,080		1,107,751
Series 2016-C37, Class C, 4.49%, 12/15/49^(c)			4,000		4,035,363
Series 2016-LC25, Class C, 4.42%, 12/15/59^(c)			8,320		8,315,911
Series 2016-NXS5, Class D, 4.88%, 01/15/59^(c)			2,750		2,637,761
Series 2016-NXS6, Class C, 4.31%, 11/15/49^(c)			4,783		4,820,018
Series 2017-C39, Class C, 4.12%, 09/15/50			3,268		3,111,592
Series 2017-C39, Class D, 4.36%, 09/15/50^(b)(c)			1,690		1,561,989
Series 2017-C41, Class D, 2.60%, 11/15/50^(b)(c)			787		647,093
Series 2018-BXI, Class E, 4.67%, 12/15/36^(b)(c)			1,510		1,471,059
Series 2018-C44, Class C, 4.84%, 05/15/51^(c)			2,346		2,346,971
Series 2018-C44, Class D, 3.00%, 05/15/51^(b)			2,150		1,690,638
Series 2018-C45, Class C, 4.73%, 06/15/51			1,030		1,008,645
WFRBS Commercial Mortgage Trust:
Series 2012-C6, Class A4, 3.44%, 04/15/45			2,390		2,403,295
Series 2013-C12, Class ASB, 2.84%, 03/15/48			2,130		2,117,659
Series 2014-C20, Class A4, 3.72%, 05/15/47			770		787,552
Series 2014-C20, Class ASB, 3.64%, 05/15/47			1,550		1,571,400
Series 2014-C22, Class C, 3.76%, 09/15/57^(c)			1,300		1,242,025

					751,035,630

Interest Only Commercial Mortgage-Backed Securities — 0.3%^(c)
BBCMS Trust^(b):
Series 2015-SRCH, Class XA, 0.96%, 08/10/35			78,000		4,933,500
Series 2015-SRCH, Class XB, 0.19%, 08/10/35			35,000		551,250
CFCRE Commercial Mortgage Trust:
Series 2016-C4, Class XA, 1.73%, 05/10/58			24,614		2,295,593


Security		Par (000)		Value

Interest Only Commercial Mortgage-Backed Securities (continued)
CFCRE Commercial Mortgage Trust (continued)
Series 2016-C6, Class XA, 1.19%, 11/10/49	USD		64,855	$	4,547,274
Commercial Mortgage Trust:
Series 2014-UBS5, Class XB2, 0.74%, 09/10/47^(b)			12,675		481,143
Series 2015-CR25, Class XA, 0.92%, 08/10/48			64,765		2,882,299
GS Mortgage Securities Corp. II, Series 2013-KING, Class XA, 0.73%, 12/10/27^(b)			35,131		157,262
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.06%, 04/10/47			780		29,905
JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA, 0.88%, 09/15/47			7,503		288,989
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC, 0.75%, 12/15/49^(b)			40,477		1,968,117
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class XA, 0.75%, 12/15/49			23,728		891,377
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 1.11%, 03/10/50^(b)			46,934		2,183,434
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C15, Class XB, 0.35%, 04/15/47^(b)			80,982		1,434,013
Series 2015-C22, Class XA, 1.11%, 04/15/48			27,930		1,357,441
Series 2015-C26, Class XD, 1.35%, 10/15/48^(b)			12,675		989,283
Series 2016-C31, Class XA, 1.44%, 11/15/49			50,734		3,972,977
Series 2016-C32, Class XA, 0.75%, 12/15/49			32,417		1,462,261
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class XD, 1.54%, 03/15/49^(b)			13,600		1,298,664
Natixis Commercial Mortgage Securities Trust^(b):
Series 2017-75B, Class XA, 0.20%, 04/09/37			40,610		710,257
Series 2017-75B, Class XB, 0.03%, 04/09/37			27,000		121,370
VNDO Mortgage Trust, Series 2013-PENN, Class XA, 0.14%, 12/13/29^(b)			121,745		385,932
Wells Fargo Commercial Mortgage Trust:
Series 2016-BNK1, Class XD, 1.26%, 08/15/49^(b)			11,784		886,628
Series 2016-LC25, Class XA, 1.02%, 12/15/59			22,841		1,203,705
WFRBS Commercial Mortgage Trust:
Series 2014-C20, Class XB, 0.56%, 05/15/47			57,079		1,699,719
Series 2014-LC14, Class XA, 1.27%, 03/15/47			50,775		2,328,132

					39,060,525


Total Non-Agency Mortgage-Backed Securities — 7.6% (Cost: $1,137,917,611)					1,166,718,032


Security		Shares		Value

Participation Notes — 0.0%

Capital Markets — 0.0%
Deutsche Bank AG/London (Deutsche Bank AG), due 02/01/28			1,076,400	$	6,713,262


Total Participation Notes — 0.0% (Cost: $8,145,488)					6,713,262


		Par (000)

Preferred Securities — 3.8%

Capital Trusts — 2.9%

Banks — 1.0%^(j)(l)
Bank of America Corp.:
Series X, 6.25%	USD		36,885		38,839,905
Series AA, 6.10%			2,803		2,946,654
Citigroup, Inc.:
5.90%			6,839		6,907,390
Series P, 5.95%			23,541		23,423,295
Citizens Financial Group, Inc., Series A, 5.50%			5,500		5,524,200
Fifth Third Bancorp, Series J, 4.90%			14,175		13,926,937
ING Groep NV, 6.00%			1,500		1,498,800
JPMorgan Chase & Co.:
Series V, 5.00%			2,250		2,238,750
Series X, 6.10%			2,015		2,062,856
Lloyds Banking Group plc, 6.66%^(b)			3,000		2,941,860
M&T Bank Corp., Series F, 5.13%			14,800		14,467,000
SunTrust Banks, Inc.:
Series G, 5.05%			30,245		28,581,525
Series H, 5.13%			16,825		15,142,500
Wells Fargo & Co.:
Series S, 5.90%			1,400		1,414,000
Series U, 5.87%			1,200		1,245,000

					161,160,672

Capital Markets — 0.4%^(j)(l)
Bank of New York Mellon Corp. (The), Series F, 4.62%			29,850		27,984,375
Goldman Sachs Group, Inc. (The):
Series M, 5.38%			12,395		12,425,987
Series P, 5.00%			7,247		6,676,299
Series O, 5.30%			4,315		4,250,275
Morgan Stanley, Series H, 5.45%			1,520		1,521,900
Northern Trust Corp., Series D, 4.60%			17,700		16,704,375

					69,563,211

Consumer Finance — 0.6%^(j)(l)
Capital One Financial Corp., Series E, 5.55%			24,138		24,331,104
Discover Financial Services, Series C, 5.50%			24,300		22,143,375
General Motors Financial Co., Inc.:
Series A, 5.75%			43,386		37,203,495
Series B, 6.50%			4,350		3,849,750

					87,527,724

Diversified Financial Services — 0.1%
Voya Financial, Inc., Series A, 6.13%^(j)(l)			8,500		8,415,000


Entertainment — 0.0%
NBCUniversal Enterprise, Inc., 5.25%^(b)(j)			146		148,373


Insurance — 0.2%^(j)(l)
Progressive Corp. (The), Series B, 5.38%			9,110		8,870,863
XLIT Ltd., Series E, 5.24%			18,160		17,297,400

					26,168,263


Security		Par (000)		Value

Oil, Gas & Consumable Fuels — 0.6%^(j)(l)
Andeavor Logistics LP, Series A, 6.87%	USD		45,745	$	44,067,531
EnLink Midstream Partners LP, Series C, 6.00%			14,325		11,603,250
Plains All American Pipeline LP, Series B, 6.13%			33,500		30,024,375

					85,695,156


Total Capital Trusts — 2.9% (Cost: $456,727,743)					438,678,399


		Shares

Preferred Stocks — 0.7%

Automobiles — 0.0%
Bayerische Motoren Werke AG (Preference), 4.75%			12,753		942,609


Banks — 0.1%
KeyCorp, Series E, 6.13%^(j)(l)			375,000		10,181,250


Beverages — 0.0%
Embotelladora Andina SA (Preference), Series B, 0.00%			48,580		188,008


Capital Markets — 0.3%
Morgan Stanley, Series K, 5.85%^(j)(l)			1,995,000		50,653,050


Consumer Finance — 0.1%
SLM Corp., Series B, 4.49%^(j)(l)			122,000		8,281,360


Diversified Telecommunication Services — 0.0%
Telefonica Brasil SA (Preference), 0.00%			4,700		62,745


Electric Utilities — 0.0%
Entergy Arkansas LLC:
4.90%^(f)			102,000		2,553,060
4.88%			93,168		2,278,889
Entergy Louisiana LLC, 4.88%			32,274		795,877
Entergy Mississippi LLC, 4.90%			94,932		2,330,581
Entergy Texas, Inc., 5.63%			146,739		3,843,094

					11,801,501

Equity Real Estate Investment Trusts (REITs) — 0.1%^(b)(f)(j)
Firstar Realty LLC, 8.88%			5,000		5,650,000
Suntrust Real Estate Investment Corp., 9.00%^(d)			15		1,684,377

					7,334,377

Technology Hardware, Storage & Peripherals — 0.1%
Samsung Electronics Co. Ltd. (Preference), 1.36%			587,859		19,919,960


Total Preferred Stocks — 0.7% (Cost: $106,594,522)					109,364,860


Trust Preferreds — 0.2%

Banks — 0.0%
GMAC Capital Trust I, Series 2, 8.40%, 02/15/40^(l)			182,724		4,770,924


Commercial Services & Supplies — 0.1%
ILFC E-Capital Trust I, 4.55%, 12/21/65^(b)(l)			25,372,000		19,282,720


Consumer Finance — 0.1%
ILFC E-Capital Trust II, 4.80%, 12/21/65^(b)(l)			11,944,000		9,137,160


Total Trust Preferreds — 0.2% (Cost: $41,096,704)					33,190,804


Total Preferred Securities — 3.8% (Cost: $604,418,969)					581,234,063


Security		Par (000)		Value

U.S. Government Sponsored Agency Securities — 0.3%

Collateralized Mortgage Obligations — 0.1%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2018-SPI1, Class M1, (LIBOR USD 1 Month + 0.00%), 3.74%, 02/25/48^(a)(b)	USD		1,932	$	1,922,739
Federal National Mortgage Association:
Series 2013-133, Class NA, 3.00%, 05/25/36			510		508,790
Series 2016-49, Class DA, 3.50%, 10/25/42			801		820,241
Series 2016-76, Class ME, 3.00%, 01/25/46			4,628		4,569,870
Federal National Mortgage Association Variable Rate Notes, Series 2017-C02, Class 2M1, (LIBOR USD 1 Month + 1.15%), 3.66%, 09/25/29^(a)			1,233		1,236,697
Government National Mortgage Association, Series 2013-131, Class PA, 3.50%, 06/16/42			2,417		2,458,579

					11,516,916

Commercial Mortgage-Backed Securities — 0.0%
Federal Home Loan Mortgage Corp., Series KJ05, Class A2, 2.16%, 10/25/21			1,316		1,298,711
Federal Home Loan Mortgage Corp. Variable Rate Notes^(l):
Series 2018-K732, Class B, 4.06%, 05/25/25^(b)			1,500		1,500,105
Series 2018-SB52, Class A5F, 3.25%, 05/25/23			1,076		1,088,226

					3,887,042

Interest Only Commercial Mortgage-Backed Securities — 0.0%^(l)
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes:
Series K055, Class X1, 1.37%, 03/25/26			22,541		1,833,109
Series K714, Class X1, 0.66%, 10/25/20			54,342		485,453
Series KW01, Class X1, 0.97%, 01/25/26			5,344		291,443
Federal National Mortgage Association ACES Variable Rate Notes, Series 2013-M5, Class X2, 2.18%, 01/25/22			2,217		64,866
Government National Mortgage Association Variable Rate Notes, Series 2017-44, 0.70%, 04/17/51			28,208		1,666,521

					4,341,392

Mortgage-Backed Securities — 0.2%
Federal Home Loan Mortgage Corp.:
3.50%, 07/01/32			2,589		2,640,498
4.00%, 07/01/26			310		319,037
Federal Home Loan Mortgage Corp. Variable Rate Notes, (LIBOR USD 12 Month + 1.63%, 7.92% Cap), 2.91%, 11/01/45^(a)			2,597		2,598,764
Federal National Mortgage Association:
2.50%, 04/01/28 - 08/01/31			8,398		8,287,711
3.00%, 09/01/28 - 09/01/32			8,391		8,412,042
3.50%, 06/01/32			1,509		1,539,358
4.00%, 05/01/27			1,063		1,093,586
4.50%, 04/01/24 - 11/01/26			821		843,678

					25,734,674


Total U.S. Government Sponsored Agency Securities — 0.3% (Cost: $46,297,069)					45,480,024


Security		Par (000)		Value

U.S. Treasury Obligations — 0.0%
U.S. Treasury Notes, 2.50%, 01/15/22	USD		3,645	$	3,651,265


Total U.S. Treasury Obligations — 0.0% (Cost: $3,651,129)					3,651,265


Total Long-Term Investments — 94.6% (Cost: $14,515,256,981)					14,527,152,908


		Shares

Short-Term Securities — 14.4%

Money Market Funds — 14.3%^(p)
BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.26%^(s)			1,009,964,121		1,009,964,121
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Class, 2.20%			5,232,398		5,232,398
SL Liquidity Series, LLC, Money Market Series, 2.64%^(q)(s)			1,178,259,504		1,178,377,330


Total Money Market Funds — 14.3% (Cost: $2,193,472,655)					2,193,573,849


		Par (000)

U.S. Treasury Obligations — 0.1%
U.S. Treasury Bills^(r):
2.39%, 04/11/19	USD		3,500		3,484,160
2.38%, 04/18/19			11,800		11,741,206


Total U.S. Treasury Obligations — 0.1% (Cost: $15,225,166)					15,225,366


Total Short-Term Securities — 14.4% (Cost: $2,208,697,821)					2,208,799,215


Total Investments — 109.0% (Cost: $16,723,954,802)					16,735,952,123

Liabilities in Excess of Other Assets — (9.0)%					(1,375,910,232	)


Net Assets — 100.0%				$	15,360,041,891

^(a)	Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

^(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

^(c)	Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

^(d)	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

^(e)	Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

^(f)	Non-income producing security.

^(g)	A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

^(h)	Zero-coupon bond.

⁽ⁱ⁾	Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

^(j)	Perpetual security with no stated maturity date.

^(k)	Issuer filed for bankruptcy and/or is in default.

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

^(m)	Convertible security.

⁽ⁿ⁾	Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

^(o)	Security, or a portion of the security, is on loan.

^(p)	Annualized 7-day yield as of period end.

^(q)	Security was purchased with the cash collateral from loaned securities.

^(r)	Rates are discount rates or a range of discount rates as of period end.

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

For the six months ended January 31, 2019, the effect of derivative financial instruments in the Statements of Operations were as follows:

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

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

During the six months ended January 31, 2019, there were no transfers between Level 1 and Level 2.

BlackRock Funds II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Massachusetts business trust. The following, each of which is a series of the Trust, are referred to herein collectively as the “Funds” or individually as a “Fund”:

Each Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional and Class K Shares are sold only to certain eligible investors. Investor A and Investor C Shares are generally available through financial intermediaries. Effective November 8, 2018, the Funds adopted an automatic conversion feature whereby Investor C Shares held for approximately ten years will be automatically converted into Investor A Shares of the applicable Fund, and, thereafter, investors will be subject to lower ongoing fees. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor C shareholders may vote on material changes to the Investor A distribution and service plan).

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of equity, multi-asset, index and money market funds referred to as the Multi-Asset Complex.

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts and swaps) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions from net investment income are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Offering Costs: Offering costs are amortized over a 12-month period beginning with the commencement of operations of a class of shares.

Recent Accounting Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.

In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management is currently evaluating the impact of this guidance to the Funds.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund or its classes are charged to that Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily to each class based on their relative net assets or other appropriate methods.

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Fund’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair Value Hierarchy: 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 statement 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 Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. 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 each 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.

As of January 31, 2019, certain investments of the Funds were valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components.

IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Participation Notes: Participation notes (“P-Notes”) are promissory notes issued by banks or broker-dealers that are designed to offer a return measured by the change in the value of the underlying security or basket of securities (the “underlying security”) while not holding the actual shares of the underlying security. These investments are typically used to gain exposure to securities traded in foreign markets that may be restricted due to country-specific regulations. When the P-Note matures, the issuer will pay or receive the difference between the value of the underlying security at the time of the purchase and the underlying security’s value at maturity of the P-Notes. Income received on P-Notes is recorded by a fund as dividend income in the Statements of Operations. An investment in a P-Note involves additional risks beyond the risks normally associated with a direct investment in the underlying security. While the holder of a P-Note is entitled to receive from the bank or broker-dealer any dividends paid by the underlying security, the holder is not entitled to the same rights (e.g., voting rights) as a direct owner of the underlying security. P-Notes are considered general unsecured contractual obligations of the bank or broker-dealer. The holder of a P-Note must rely on the creditworthiness of the issuer for its investment returns on the P-Notes and has no rights against the issuer of the underlying security. A P-Note may be more volatile and less liquid than other investments held by a fund since the P-Note generally is dependent on the liquidity in the local trading market for the underlying security.

Equity-Linked Notes: Equity-linked notes seek to generate income and provide exposure to the performance of an underlying security, group of securities or exchange-traded funds (the “underlying reference instrument”). In an equity-linked note, a fund purchases a note from a bank or broker-dealer and in return, the issuer provides for interest payments during the term of the note. At maturity or when the security is sold, a fund will either settle by taking physical delivery of the underlying reference instrument or by receipt of a cash settlement amount equal to the value of the note at termination or maturity. The use of equity-linked notes involves the risk that the value of the note changes unfavorably due to movements in the value of the underlying reference instrument. Equity-linked notes are considered general unsecured contractual obligations of the bank or broker-dealer. A fund must rely on the creditworthiness of the issuer for its investment returns.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, certain funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, Dynamic High Income had no unfunded floating rate loan interests. As of period end, Multi-Asset Income had the following unfunded floating rate loan interests:

Securities Lending: Certain Funds may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Funds collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. During the term of the loan, the Funds are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Funds’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value — unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and a Fund can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following tables are a summary of the Funds’ securities lending agreements by counterparty which are subject to offset under an MSLA:

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.

Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances,

offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

Investment Advisory: The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, Multi-Asset Income pays the Manager a monthly fee, based on the average daily net assets that are attributable to Multi-Asset Income’s direct investments in fixed-income and equity securities and instruments, including exchanged-traded funds (“ETFs”) advised by the Manager or other investment advisers, other investments, and cash and cash equivalents (including money market funds, whether advised by the Manager or other investment advisers) and excludes investments in other BlackRock equity and/or fixed-income mutual funds, at the following annual rates:

For such services, Dynamic High Income pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of Dynamic High Income’s net assets:

With respect to each Fund, the Manager entered into separate sub-advisory agreements with BlackRock Asset Management North Asia Limited (“BNA”) and BlackRock (Singapore) Limited (“BRS”), each an affiliate of the Manager. The Manager pays BNA and BRS, for services they provide, for that portion of each Fund for which BNA and BRS, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.

Service and Distribution Fees: The Trust, on behalf of the Funds, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, each Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of each Fund as follows:

BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Funds. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.

For the six months ended January 31, 2019, the following table shows the class specific service and distribution fees borne directly by each share class of each Fund:

Administration: The Trust, on behalf of the Funds, entered into an Administration Agreement with the Manager, an indirect, wholly-owned subsidiary of BlackRock, to provide administrative services. For these services, the Manager receives an administration fee computed daily and payable monthly, based on a percentage of the average daily net assets of each Fund. The administration fee, which is shown as administration in the Statements of Operations, is paid at the annual rates below.

In addition, the Manager charges each of the share classes an administration fee, which is shown as administration — class specific in the Statements of Operations, at an annual rate of 0.02% of the average daily net assets of each respective class.

For the six months ended January 31, 2019, the Funds paid the following to the Manager in return for these services, which are included in administration — class specific in the Statements of Operations:

Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Funds with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to sub-accounts they service. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets. For the six months ended January 31, 2019, each Fund paid the following amounts to affiliates of BlackRock in return for these services, which are included in transfer agent — class specific in the Statements of Operations:

The Manager maintains a call center that is responsible for providing certain shareholder services to the Funds. Shareholder services include responding to inquiries and processing purchases and sales based upon instructions from shareholders. For the six months ended January 31, 2019, each Fund reimbursed the Manager the following amounts for costs incurred in running the call center, which are included in transfer agent — class specific in the Statements of Operations:

For the six months ended January 31, 2019, the following table shows the class specific transfer agent fees borne directly by each share class of each Fund:

Other Fees: For the six months ended January 31, 2019, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of each Fund’s Investor A Shares as follows:

For the six months ended January 31, 2019, affiliates received CDSCs as follows:

Expense Limitations, Waivers, Reimbursements, and Recoupments: With respect to each Fund, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended January 31, 2019, the amounts waived and/or reimbursed were as follows:

With respect to Dynamic High Income, the Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated ETFs that have a contractual management fee through November 30, 2019. With respect to Multi-Asset Income, the Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income ETFs that have a contractual management fee through November 30, 2019. The contractual agreements may be terminated upon 90 days’ notice by a majority of the trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), or by a vote of a majority of the outstanding voting securities of a Fund. This amount is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended January 31, 2019, the amounts waived and/or reimbursed in investment advisory fees pursuant to these arrangements were as follows:

With respect to each Fund, the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:

The Manager has agreed not to reduce or discontinue these contractual expense limitations through November 30, 2019, unless approved by the Board, including a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended January 31, 2019, the amounts waived and/or reimbursed were as follows:

These amounts waived and/or reimbursed are shown as administration fees waived — class specific and transfer agent fees waived and/or reimbursed — class specific, respectively, in the Statements of Operations. For the six months ended January 31, 2019, class specific expense waivers and/or reimbursements were as follows:

In addition, for Multi-Asset Income, the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business. The expense limitations as a percentage of average daily net assets are as follows: 1.55% for Institutional, 1.80% for Investor A, 2.55% for Investor C, and 1.50% for Class K. This agreement will automatically renew on December 1 of each year for an additional year so that the agreement will have a perpetual ten-year term, unless terminated earlier by the Board, including a majority of the Independent Trustees.

With respect to the contractual expense limitation, if during a Fund’s fiscal year the operating expenses of a share class, that at any time during the prior two fiscal years received a waiver and/or reimbursement from the Manager, are less than the current expense limitation for that share class, the Manager is entitled to be reimbursed by such share class up to the lesser of: (a) the amount of fees waived and/or expenses reimbursed during those prior two fiscal years under the agreement and (b) an amount not to exceed either the current expense limitation of that share class or the expense limitation of the share class in effect at the time that the share class received the applicable waiver and/or reimbursement, provided that:

(1) each Fund, of which the share class is a part, has more than $50 million in assets for the fiscal year; and

(2) the Manager or an affiliate continues to serve as a Fund’s investment adviser or administrator.

This repayment applies only to the contractual expense limitation on net expenses and does not apply to the contractual investment advisory fee waiver described above or any voluntary waivers that may be in effect from time to time.

On January 31, 2019, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement were as follows:

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Funds are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Funds. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Fund retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the Multi-Asset Complex in a calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.

Prior to January 1, 2019, each Fund was subject to a different securities lending fee arrangement.

The share of securities lending income earned by each Fund is shown as securities lending income — affiliated — net in the Statements of Operations. For the six months ended January 31, 2019, each Fund paid BIM the following amounts for securities lending agent services:

Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, each Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. Dynamic High Income is currently permitted to borrow and lend and Multi-Asset Income is currently permitted to borrow under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the six months ended January 31, 2019, the Funds did not participate in the Interfund Lending Program.

Trustees and Officers: Certain trustees and/or officers of the Trust are trustees and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

Other Transactions: During the six months ended January 31, 2019, Dynamic High Income and Multi-Asset Income received reimbursements of $1,056 and $6,068, respectively, from affiliates, which are included in payments by affiliate in the Statements of Operations, related to operating events.

The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended January 31, 2019, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

For the six months ended January 31, 2019, purchases and sales of investments, excluding short-term securities and equity-linked notes, were as follows:

For the six months ended January 31, 2019, purchases and sales related to equity-linked notes were as follows:

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on Multi-Asset Income’s U.S. federal tax returns generally remains open for each of the four years ended July 31, 2018. The statute of limitations on Dynamic High Income’s U.S. federal tax returns generally remains open for the three years ended July 31, 2018 and the period ended July 31, 2015. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of January 31, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

As of July 31, 2018, Multi-Asset Income had a capital loss carryforward with no expiration date, available to offset future realized capital gains of $698,786,296.

As of January 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

The Trust, on behalf of the Funds, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the

Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2019 unless extended or renewed. Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statements of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended January 31, 2019, the Funds did not borrow under the credit agreement.

In the normal course of business, certain Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Each Fund’s prospectus provides details of the risks to which each Fund is subject.

Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

The Funds may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.

With exchange-traded options purchased, futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates. The Federal Reserve has begun to raise the Federal Funds rate, and each increase results in more pronounced interest rate risk in the current market environment.

As of January 31, 2019, BlackRock HoldCo 2, Inc., an affiliate of the Funds, owned 22,548 Class K Shares of Dynamic High Income.

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Funds have adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statements of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.

Prior year distribution information and undistributed (distributions in excess of) net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Undistributed (distributions in excess of) net investment income as of July 31, 2018 is as follows:

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

A Special Meeting of Shareholders was held on November 21, 2018 for shareholders of record on September 24, 2018, to elect a Board of Trustees of the Trust. The newly elected Trustees took office effective January 1, 2019.

Shareholders approved the Trustees* of BlackRock Funds II with voting results as follows:

The above Trustees, referred to as the BlackRock Multi-Asset Board, have also been elected to serve as trustees for other BlackRock-advised equity, multi-asset, index and money market funds.

The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge, (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed income and tax-exempt investing. Visit http://www.blackrock.com for more information.

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com/funds.

Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

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.


										Average Annual Total Returns^(a)(b)
										1 Year						Since Inception^(f)
	Standardized 30-Day Yields			Unsubsidized 30-Day Yields			6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		5.97	%		5.80	%		(1.91	)%		(2.99	)%		N/A			4.78	%		N/A
Investor A		5.41			5.25			(2.03	)		(3.24	)		(8.32	)%		4.52			3.20	%
Investor C		4.98			4.82			(2.40	)		(3.96	)		(4.87	)		3.73			3.73
Class K		6.02			5.86			(1.98	)		(2.95	)		N/A			4.82			N/A
70% MSCI World Index/30% Bloomberg Barclays U.S. Aggregate Bond Index^(c)		—			—			(2.56	)		(3.77	)		N/A			5.16			N/A
MSCI World Index^(d)		—			—			(5.00	)		(6.54	)		N/A			6.28			N/A
Bloomberg Barclays U.S. Aggregate Bond Index^(e)		—			—			2.71			2.25			N/A			2.04			N/A


										Average Annual Total Returns^(a)(b)
										1 Year						5 Years						10 Years
	Standardized 30-Day Yields			Unsubsidized 30-Day Yields			6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		5.32	%		5.20	%		0.16	%		(0.62	)%		N/A			4.09	%		N/A			8.72	%		N/A
Investor A		4.80			4.70			0.03			(0.88	)		(6.08	)%		3.83			2.72	%		8.44			7.86	%
Investor C		4.33			4.20			(0.35	)		(1.62	)		(2.56	)		3.06			3.06			7.63			7.63
Class K		5.37			5.26			0.09			(0.67	)		N/A			4.09			N/A			8.72			N/A
50% MSCI World Index/50% Bloomberg Barclays U.S. Aggregate Bond Index^(c)		—			—			(0.99	)		(1.98	)		N/A			4.84			N/A			7.81			N/A
MSCI World Index^(d)		—			—			(5.00	)		(6.54	)		N/A			6.94			N/A			11.51			N/A
Bloomberg Barclays U.S. Aggregate Bond Index^(e)		—			—			2.71			2.25			N/A			2.44			N/A			3.68			N/A


	Actual						Hypothetical^(a)
	Beginning Account Value (08/01/18)		Ending Account Value (01/31/19)		Expenses Paid During the Period^(b)		Beginning Account Value (08/01/18)		Ending Account Value (01/31/19)		Expenses Paid During the Period^(b)		Annualized Expense Ratio
BlackRock Dynamic High Income Portfolio
Institutional	$	1,000.00	$	980.90	$	3.25	$	1,000.00	$	1,021.93	$	3.31		0.65	%
Investor A		1,000.00		979.70		4.49		1,000.00		1,020.67		4.58		0.90
Investor C		1,000.00		976.00		8.22		1,000.00		1,016.89		8.39		1.65
Class K		1,000.00		980.20		2.99		1,000.00		1,022.18		3.06		0.60
BlackRock Multi-Asset Income Portfolio
Institutional	$	1,000.00	$	1,001.60	$	2.77	$	1,000.00	$	1,022.43	$	2.80		0.55	%
Investor A		1,000.00		1,000.30		4.03		1,000.00		1,021.17		4.08		0.80
Investor C		1,000.00		996.50		7.80		1,000.00		1,017.39		7.88		1.55
Class K		1,000.00		1,000.90		2.52		1,000.00		1,022.68		2.55		0.50


Affiliated Persons and/or Related Parties	Shares Held at 07/31/18		Shares Purchased			Shares Sold			Shares Held at 01/31/19		Value at 01/31/19		Income			Net Realized Gain (Loss)^(a)			Change in Unrealized Appreciation (Depreciation)
BlackRock Liquidity Funds, T-Fund, Institutional Class		72,114,270		—			(2,356,239	)^(b)		69,758,031	$	69,758,031	$	291,013		$	—		$	—
SL Liquidity Series, LLC, Money Market Series		25,183,103		57,291,714	^(c)		—			82,474,817		82,483,064		409,483	^(d)		(12,820	)		4,289
BlackRock Allocation Target Shares, BATS Series A		5,047,272		2,528,113			(3,626,473	)		3,948,912		39,212,697		1,076,478			(336,570	)		(36,604	)
BlackRock Floating Rate Income Portfolio, Class K		3,968,683		1,574,413			—			5,543,096		54,765,786		1,280,562			(10,384	)		(1,457,452	)
iShares 0-5 Year High Yield Corporate Bond ETF		591,943		153,590			(63,178	)		682,355		31,633,978		774,639			(53,632	)		(190,350	)
iShares Core Dividend Growth ETF		—		419,709			—			419,709		14,794,742		—			—			223,775
iShares Core S&P 500 ETF		—		109,890			(69,382	)		40,508		10,999,948		79,875			(2,457,312	)		499,350
iShares Emerging Markets Dividend ETF		—		392,231			—			392,231		16,450,168		111,356			—			904,821
iShares iBoxx $ High Yield Corporate Bond ETF		587,508		671,490			(138,034	)		1,120,964		95,405,246		1,617,207			(384,066	)		373,457

											$	415,503,660	$	5,640,613		$	(3,254,784	)	$	321,286


Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
EURO STOXX 50 Index		1,214		03/15/19	$	43,798	$	723,873
MSCI Emerging Markets E-Mini Index		574		03/15/19		30,554		2,196,859
S&P 500 E-Mini Index		605		03/15/19		81,811		3,378,166
U.S. Treasury 10 Year Note		530		03/20/19		64,908		438,471
U.S. Treasury Long Bond		116		03/20/19		17,016		377,577
U.S. Treasury 5 Year Note		640		03/29/19		73,510		1,341,691

								8,456,637

Short Contracts
Euro-Bobl		1		03/07/19		152		(1,205	)
Euro-Schatz		1		03/07/19		128		(52	)
EUR Currency		80		03/18/19		11,487		(6,730	)
JPY Currency		27		03/18/19		3,110		(111,713	)
U.S. Treasury 10 Year Ultra Note		2		03/20/19		261		(9,645	)

								(129,345	)

							$	8,327,292


	Page
The Markets in Review		2
Semi-Annual Report:
Fund Summaries		4
Portfolio Information		8
About Fund Performance		9
Derivative Financial Instruments		9
Disclosure of Expenses		10
Financial Statements:
Schedules of Investments		11
Statements of Assets and Liabilities		93
Statements of Operations		95
Statements of Changes in Net Assets		96
Financial Highlights		97
Notes to Financial Statements		105
Trustee and Officer Information		121
Additional Information		122
Glossary of Terms Used in this Report		124


Fund Summary as of January 31, 2019		BlackRock Dynamic High Income Portfolio


Fund Summary as of January 31, 2019 (continued)		BlackRock Dynamic High Income Portfolio


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	258,443	EUR	224,823	Barclays Bank plc		03/14/19	$	313
USD	462,270	HKD	3,612,751	Bank of America NA		03/14/19		1,158

								1,471

USD	965,389	ARS	36,906,821	Citibank NA		02/14/19		(14,362	)
USD	1,357,140	IDR	19,385,391,300	Citibank NA		02/22/19		(32,850	)
USD	263,594	IDR	4,018,493,290	Citibank NA		03/15/19		(23,837	)

								(71,049	)

	Net Unrealized Depreciation						$	(69,578	)


Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Counterparty	Termination Date		Notional Amount (000)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Australia & New Zealand Banking Group Ltd.		1.00	%		Quarterly	JP Morgan Chase Bank NA		12/20/20		USD	120	$	(1,895	)	$	(294	)	$	(1,601	)
Australia & New Zealand Banking Group Ltd.		1.00			Quarterly	JP Morgan Chase Bank NA		12/20/20		USD	80		(1,251	)		(208	)		(1,043	)
Standard Chartered Bank		1.00			Quarterly	BNP Paribas SA		12/20/20		EUR	40		(733	)		353			(1,086	)
Standard Chartered Bank		1.00			Quarterly	BNP Paribas SA		12/20/20		EUR	20		(365	)		188			(553	)
Standard Chartered Bank		1.00			Quarterly	Morgan Stanley & Co. International plc		12/20/20		EUR	10		(182	)		98			(280	)
Republic of Colombia		1.00			Quarterly	Citibank NA		12/20/23		USD	431		4,653			3,236			1,417

												$	227		$	3,373		$	(3,146	)


	Swap Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Swaps	$	3,875	$	(502	)	$	1,417	$	(4,563	)


	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Futures contracts
Net unrealized appreciation^(a)	$	—	$	—	$	6,298,898	$	—	$	2,157,739	$	—	$	8,456,637
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts		—		—		—		1,471		—		—		1,471
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid		—		5,292		—		—		—		—		5,292

	$	—	$	5,292	$	6,298,898	$	1,471	$	2,157,739	$	—	$	8,463,400

Liabilities — Derivative Financial Instruments
Futures contracts
Net unrealized depreciation^(a)	$	—	$	—	$	—	$	118,443	$	10,902	$	—	$	129,345
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts		—		—		—		71,049		—		—		71,049
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received		—		5,065		—		—		—		—		5,065

	$	—	$	5,065	$	—	$	189,492	$	10,902	$	—	$	205,459


Futures contracts:
Average notional value of contracts — long	$	375,766,777
Average notional value of contracts — short		22,221,248
Forward foreign currency exchange contracts:
Average amounts purchased — in USD		4,982,579
Average amounts sold — in USD		1,514,116
Credit default swaps:
Average notional value — buy protection		710,704


	Assets			Liabilities
Derivative Financial Instruments:
Futures contracts	$	1,662,375		$	34,671
Forward foreign currency exchange contracts		1,471			71,049
Swaps — OTC^(a)		5,292			5,065

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	1,669,138		$	110,785
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(1,662,375	)		(34,671	)

Total derivative assets and liabilities subject to an MNA	$	6,763		$	76,114


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets^(b)
Bank of America NA	$	1,158	$	—		$	—	$	—	$	1,158
Barclays Bank plc		313		—			—		—		313
BNP Paribas SA		541		(541	)		—		—		—
Citibank NA		4,653		(4,653	)		—		—		—
Morgan Stanley & Co. International plc		98		(98	)		—		—		—

	$	6,763	$	(5,292	)	$	—	$	—	$	1,471


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities^(c)
BNP Paribas SA	$	1,639	$	(541	)	$	—	$	—	$	1,098
Citibank NA		71,049		(4,653	)		—		—		66,396
JP Morgan Chase Bank NA		3,146		—			—		—		3,146
Morgan Stanley & Co. International plc		280		(98	)		—		—		182

	$	76,114	$	(5,292	)	$	—	$	—	$	70,822


SEMI-ANNUAL REPORT (UNAUDITED)


2		THIS PAGE IS NOT PART OF YOUR FUND REPORT


4		2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


FUND SUMMARY			5


	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities	$	—		$	47,262,859		$	964,325	$	48,227,184
Common Stocks:
Equity Real Estate Investment Trusts (REITs)		29,210,136			12,657,834			—		41,867,970
IT Services		354,517			—			—		354,517
Oil, Gas & Consumable Fuels		37,830,091			—			—		37,830,091
Real Estate Management & Development		—			2,625,838			—		2,625,838
Transportation Infrastructure		252,933			—			—		252,933
Corporate Bonds^(a)		—			95,806,007			—		95,806,007
Equity-Linked Notes^(a)		—			141,922,908			—		141,922,908
Foreign Agency Obligations^(a)		—			4,532,879			—		4,532,879
Foreign Government Obligations^(a)		—			21,056,017			—		21,056,017
Investment Companies		268,061,148			—			—		268,061,148
Non-Agency Mortgage-Backed Securities		—			29,722,859			380,958		30,103,817
Preferred Securities:
Banks		882,375			11,192,775			—		12,075,150
Capital Markets		2,107,370			3,413,218			—		5,520,588
Commercial Services & Supplies		—			680,960			—		680,960
Consumer Finance		237,580			4,633,239			—		4,870,819
Diversified Financial Services		—			396,000			—		396,000
Electric Utilities		274,539			—			—		274,539
Insurance		—			1,645,419			—		1,645,419
Oil, Gas & Consumable Fuels		—			4,876,764			—		4,876,764
U.S. Government Sponsored Agency Securities		—			1,510,473			—		1,510,473
Short-Term Securities:
Foreign Government Obligations^(a)		—			338,229			—		338,229
Money Market Funds		69,758,031			—			—		69,758,031

Subtotal	$	408,968,720		$	384,274,278		$	1,345,283	$	794,588,281

Investments valued at NAV^(b)									$	82,483,064

Total Investments									$	877,071,345

Derivative Financial Instruments^(c)
Assets:
Credit contracts	$	—		$	1,417		$	—	$	1,417
Equity contracts		6,298,898			—			—		6,298,898
Foreign currency exchange contracts		—			1,471			—		1,471
Interest rate contracts		2,157,739			—			—		2,157,739
Liabilities:
Credit contracts		—			(4,563	)		—		(4,563	)
Foreign currency exchange contracts		(118,443	)		(71,049	)		—		(189,492	)
Interest rate contracts		(10,902	)		—			—		(10,902	)

	$	8,327,292		$	(72,724	)	$	—	$	8,254,568


	Asset- Backed Securities			Common Stocks			Non-Agency Mortgage- Backed Securities			Total
Investments:
Assets:
Opening Balance, as of July 31, 2018	$	5,694,334		$	892,666		$	1,249,468		$	7,836,468
Transfers into Level 3		—			—			—			—
Transfers out of Level 3		(5,694,334	)		(892,666	)		(654,500	)		(7,241,500	)
Accrued discounts/premiums		—			—			586			586
Net realized gain (loss)		—			—			(45,622	)		(45,622	)
Net change in unrealized appreciation (depreciation)^(a)(b)		(33,373	)		—			47,649			14,276
Purchases		997,698			—			—			997,698
Sales		—			—			(216,623	)		(216,623	)

Closing Balance, as of January 31, 2019	$	964,325		$	—		$	380,958		$	1,345,283

Net change in unrealized appreciation (depreciation) on investments still held at January 31, 2019^(b)	$	(33,373	)	$	—		$	3,487		$	(29,886	)


Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency		Counterparty	Termination Date		Credit Rating^(a)	Notional Amount (000)^(b)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Casino Guichard Perrachon SA		1.00	%		Quarterly	JPMorgan Chase Bank NA		12/20/22	BB		EUR	300	$	(47,353	)	$	(10,311	)	$	(37,042	)
Telecom Italia SpA		1.00			Quarterly	Citibank NA		12/20/22	NR		EUR	330		(23,893	)		(5,409	)		(18,484	)
Casino Guichard Perrachon SA		1.00			Quarterly	Bank of America NA		06/20/23	BB		EUR	117		(21,058	)		(16,100	)		(4,958	)
Casino Guichard Perrachon SA		1.00			Quarterly	Barclays Bank plc		06/20/23	BB		EUR	455		(81,771	)		(51,331	)		(30,440	)
Casino Guichard Perrachon SA		1.00			Quarterly	Barclays Bank plc		06/20/23	BB		EUR	100		(17,973	)		(11,502	)		(6,471	)
Casino Guichard Perrachon SA		1.00			Quarterly	Barclays Bank plc		06/20/23	BB		EUR	215		(38,648	)		(25,004	)		(13,644	)
Casino Guichard Perrachon SA		1.00			Quarterly	Citibank NA		06/20/23	BB		EUR	263		(47,240	)		(34,059	)		(13,181	)
Casino Guichard Perrachon SA		1.00			Quarterly	Citibank NA		06/20/23	BB		EUR	91		(16,288	)		(11,331	)		(4,957	)
Casino Guichard Perrachon SA		1.00			Quarterly	Goldman Sachs International		06/20/23	BB		EUR	160		(28,757	)		(14,482	)		(14,275	)
Casino Guichard Perrachon SA		1.00			Quarterly	JPMorgan Chase Bank NA		06/20/23	BB		EUR	170		(30,553	)		(15,091	)		(15,462	)
Casino Guichard Perrachon SA		1.00			Quarterly	JPMorgan Chase Bank NA		06/20/23	BB		EUR	36		(6,521	)		(4,247	)		(2,274	)
Casino Guichard Perrachon SA		1.00			Quarterly	JPMorgan Chase Bank NA		06/20/23	BB		EUR	54		(9,783	)		(6,370	)		(3,413	)
Casino Guichard Perrachon SA		1.00			Quarterly	JPMorgan Chase Bank NA		06/20/23	BB		EUR	91		(16,303	)		(11,343	)		(4,960	)
Garfunkelux Holdco 2 SA		5.00			Quarterly	Credit Suisse International		06/20/23	B-		EUR	400		(116,566	)		4,833			(121,399	)
Intesa Sanpaolo SpA		1.00			Quarterly	Citibank NA		06/20/23	NR		EUR	730		(19,148	)		(31,124	)		11,976
Intrum AB		5.00			Quarterly	Citibank NA		06/20/23	BB+		EUR	241		11,675			10,731			944
Intrum AB		5.00			Quarterly	Credit Suisse International		06/20/23	BB+		EUR	200		9,681			17,803			(8,122	)
Intrum AB		5.00			Quarterly	Credit Suisse International		06/20/23	BB+		EUR	75		3,652			7,961			(4,309	)
Intrum AB		5.00			Quarterly	Credit Suisse International		06/20/23	BB+		EUR	350		16,942			33,039			(16,097	)
Intrum AB		5.00			Quarterly	JPMorgan Chase Bank NA		06/20/23	BB+		EUR	420		20,330			18,683			1,647
Intrum Justitia AB		5.00			Quarterly	Citibank NA		06/20/23	BB+		EUR	109		5,268			4,814			454
Thomas Cook Group plc		5.00			Quarterly	Citibank NA		06/20/23	B+		EUR	123		(27,863	)		14,706			(42,569	)
Thomas Cook Group plc		5.00			Quarterly	Goldman Sachs International		06/20/23	B+		EUR	227		(51,598	)		26,598			(78,196	)
Thomas Cook Group plc		5.00			Quarterly	Goldman Sachs International		06/20/23	B+		EUR	680		(154,383	)		79,020			(233,403	)
Casino Guichard Perrachon SA		1.00			Quarterly	Goldman Sachs International		12/20/23	BB		EUR	850		(171,614	)		(131,301	)		(40,313	)
Garfunkelux Holdco 2 SA		5.00			Quarterly	Credit Suisse International		12/20/23	B-		EUR	65		(20,543	)		1,222			(21,765	)
Garfunkelux Holdco 2 SA		5.00			Quarterly	Credit Suisse International		12/20/23	B-		EUR	285		(89,566	)		5,326			(94,892	)
Garfunkelux Holdco 2 SA		5.00			Quarterly	JPMorgan Chase Bank NA		12/20/23	B-		EUR	150		(47,155	)		(1,030	)		(46,125	)
Monitchem HoldCo 3 SA		5.00			Quarterly	JPMorgan Chase Bank NA		12/20/23	B-		EUR	72		1,040			1,691			(651	)
Monitchem HoldCo 3 SA		5.00			Quarterly	JPMorgan Chase Bank NA		12/20/23	B-		EUR	128		1,860			3,020			(1,160	)
Telecom Italia SpA		1.00			Quarterly	Barclays Bank plc		12/20/23	BB+		EUR	722		(82,666	)		(68,600	)		(14,066	)
Telecom Italia SpA		1.00			Quarterly	Barclays Bank plc		12/20/23	BB+		EUR	100		(11,455	)		(9,506	)		(1,949	)
Telecom Italia SpA		1.00			Quarterly	JPMorgan Chase Bank NA		12/20/23	BB+		EUR	578		(66,250	)		(58,109	)		(8,141	)
Tesco plc		1.00			Quarterly	Morgan Stanley & Co. International plc		12/20/23	BB+		EUR	300		(3,374	)		1,146			(4,520	)
Vue International Bidco plc		5.00			Quarterly	Citibank NA		12/20/23	B		EUR	195		13,283			18,716			(5,433	)
Vue International Bidco plc		5.00			Quarterly	Citibank NA		12/20/23	B		EUR	84		5,692			8,110			(2,418	)
Tesco plc		1.00			Quarterly	Barclays Bank plc		12/20/25	BB+		EUR	300		(15,012	)		(8,768	)		(6,244	)
CMBX.NA.9.A		2.00			Monthly	Credit Suisse International		09/17/58	NR		USD	3,750		(33,156	)		(113,397	)		80,241
CMBX.NA.9.BBB-		3.00			Monthly	Morgan Stanley & Co. International plc		09/17/58	NR		USD	3,750		(276,207	)		(379,200	)		102,993

													$	(1,483,274	)	$	(760,196	)	$	(723,078	)


Futures contracts:
Average notional value of contracts — long	$	5,285,219,247
Average notional value of contracts — short		1,105,514,310
Forward foreign currency exchange contracts:
Average amounts purchased — in USD		359,972,904
Average amounts sold — in USD		12,781,143
Options:
Average value of option contracts purchased		725
Credit default swaps:
Average notional value — buy protection		11,118,945
Average notional value — sell protection		18,070,798
Interest rate swaps:
Average notional value — pays fixed rate		8,910,000


	Asset- Backed Securities			Common Stocks			Floating Rate Loan Interests			Non-Agency Mortgage- Backed Securities			Preferred Securities			Unfunded Floating Rate Loan Interests			Total
Investments:
Assets/Liabilities:
Opening balance, as of July 31, 2018	$	122,674,120		$	6,619,407		$	130,108,267		$	81,626,451		$	1,734,777		$	—		$	342,763,022
Transfers into Level 3		—			—			82,525,982			11,320,661			—			—			93,846,643
Transfers out of Level 3^(a)		(99,334,465	)		(6,619,407	)		(17,192,962	)		(40,551,231	)		—			—			(163,698,065	)
Accrued discounts/premiums		41,695			—			25,086			60,585			—			—			127,366
Net realized gain (loss)		60,016			—			26,919			98,840			—			—			185,775
Net change in unrealized appreciation (depreciation)^(b)(c)		(672,215	)		—			(705,243	)		(478,290	)		(50,400	)		(28,075	)		(1,934,223	)
Purchases		11,959,391			—			15,982,019			—			—			—			27,941,410
Sales		(2,329,549	)		—			(12,758,296	)		(13,833,724	)		—			—			(28,921,569	)

Closing balance, as of January 31, 2019	$	32,398,993		$	—		$	198,011,772		$	38,243,292		$	1,684,377		$	(28,075	)	$	270,310,359

Net change in unrealized appreciation (depreciation) on investments still held at January 31, 2019^(b)	$	(677,764	)	$	—		$	(669,454	)	$	(569,702	)	$	(50,400	)	$	(28,075	)	$	(1,995,395	)


	BlackRock Dynamic High Income Portfolio			BlackRock Multi-Asset Income Portfolio

ASSETS
Investments at value — unaffiliated^(a)(b)	$	461,567,685		$	13,345,999,872
Investments at value — affiliated^(c)		415,503,660			3,389,952,251
Cash pledged:
Collateral — OTC derivatives		—			1,560,000
Futures contracts		10,077,742			106,647,175
Foreign currency at value^(d)		5,369,092			53,868,672
Receivables:
Investments sold		6,738,600			481,134,149
Securities lending income — affiliated		67,321			1,042,430
Capital shares sold		7,981,884			77,143,149
Dividends — affiliated		502,313			1,250,418
Dividends — unaffiliated		56,988			12,714,966
Interest — unaffiliated		3,121,664			88,742,557
From the Manager		26			206,014
Variation margin on futures contracts		1,662,375			18,737,527
Swap premiums paid		3,875			265,510
Unrealized appreciation on:
Forward foreign currency exchange contracts		1,471			138,529
OTC swaps		1,417			198,255
Prepaid expenses		72,260			254,955

Total assets		912,728,373			17,579,856,429


LIABILITIES
Bank overdraft		56,884			50,975,394
Cash collateral on securities loaned at value		82,482,647			1,178,396,146
Payables:
Investments purchased		58,367,739			905,569,327
Administration fees		32,037			425,773
Board realignment and consolidation		21,496			563,090
Capital shares redeemed		3,216,226			53,884,777
Custodian fees		23,166			361,682
Deferred foreign capital gain tax		—			805,578
Income dividend distributions		709,847			8,906,416
Investment advisory fees		254,633			5,364,005
Trustees’ and Officer’s fees		4,384			32,718
Other affiliates		—			9,879
Professional fees		138,434			273,479
Service and distribution fees		39,222			2,717,857
Transfer agent fees		174,668			4,542,693
Other accrued expenses		419,608			2,388,653
Variation margin on futures contracts		34,671			1,572,045
Swap premiums received		502			1,027,478
Unrealized depreciation on:
Forward foreign currency exchange contracts		71,049			874,435
OTC swaps		4,563			1,092,220
Unfunded floating rate loan interests		—			30,893

Total liabilities		146,051,776			2,219,814,538


NET ASSETS	$	766,676,597		$	15,360,041,891


NET ASSETS CONSIST OF
Paid-in capital	$	805,228,833		$	16,228,447,857
Accumulated loss		(38,552,236	)		(868,405,966	)

NET ASSETS	$	766,676,597		$	15,360,041,891


^(a) Investments at cost — unaffiliated	$	467,791,934		$	13,328,676,043
^(b) Securities loaned at value	$	80,900,447		$	1,155,340,167
^(c) Investments at cost — affiliated	$	416,108,512		$	3,395,278,759
^(d) Foreign currency at cost	$	5,335,436		$	53,751,381


	BlackRock Dynamic High Income Portfolio		BlackRock Multi-Asset Income Portfolio

NET ASSET VALUE

Institutional
Net assets	$	662,811,453	$	8,570,649,406

Share outstanding^(a)		71,537,614		813,900,175

Net asset value	$	9.27	$	10.53


Investor A
Net assets	$	70,621,763	$	3,818,559,259

Share outstanding^(a)		7,619,139		363,042,129

Net asset value	$	9.27	$	10.52


Investor C
Net assets	$	30,771,164	$	2,339,114,501

Share outstanding^(a)		3,323,613		222,646,412

Net asset value	$	9.26	$	10.51


Class K
Net assets	$	2,472,217	$	631,718,725

Share outstanding^(a)		266,674		60,022,094

Net asset value	$	9.27	$	10.52


	BlackRock Dynamic High Income Portfolio			BlackRock Multi-Asset Income Portfolio

INVESTMENT INCOME
Dividends — affiliated	$	5,231,130		$	27,200,386
Dividends — unaffiliated		2,110,754			60,505,621
Interest — unaffiliated		16,385,968			367,199,286
Securities lending income — affiliated — net		409,483			5,734,039
Foreign taxes withheld		(72,404	)		(2,124,560	)

Total investment income		24,064,931			458,514,772


EXPENSES
Investment advisory		2,036,437			40,879,201
Service and distribution — class specific		232,793			17,395,295
Transfer agent — class specific		219,637			4,971,034
Administration		142,065			2,658,154
Administration — class specific		67,875			1,599,751
Registration		64,916			364,018
Professional		57,962			261,971
Accounting services		40,708			556,079
Custodian		28,511			468,761
Printing		22,531			126,045
Board realignment and consolidation		11,188			293,473
Trustees and Officer		10,325			103,502
Miscellaneous		49,698			228,361

Total expenses		2,984,646			69,905,645
Less:
Fees waived and/or reimbursed by the Manager		(479,551	)		(5,608,388	)
Administration fees waived — class specific		(42,949	)		(1,599,751	)
Transfer agent fees waived and/or reimbursed — class specific		(14,165	)		(1,142,638	)

Total expenses after fees waived and/or reimbursed		2,447,981			61,554,868

Net investment income		21,616,950			396,959,904


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — affiliated		(3,402,690	)		110,160
Investments — unaffiliated		(18,851,960	)		(262,413,969	)
Capital gain distributions from investment companies — affiliated		147,906			—
Forward foreign currency exchange contracts		(168,092	)		6,648,993
Foreign currency transactions		17,765			1,252,944
Futures contracts		(13,301,674	)		39,631,934
Payments by affiliate^(a)		1,056			6,068
Swaps		(8,891	)		715,169

		(35,566,580	)		(214,048,701	)

Net change in unrealized appreciation (depreciation) on:
Investments — affiliated		321,286			(6,695,551	)
Investments — unaffiliated		(5,392,313	)		(244,793,085	)^(b)
Forward foreign currency exchange contracts		(85,080	)		695,264
Foreign currency translations		63,571			1,259,396
Futures contracts		5,865,759			39,455,398
Swaps		7,721			(1,178,820	)
Unfunded floating rate loan interests		—			(30,325	)

		780,944			(211,287,723	)

Net realized and unrealized loss		(34,785,636	)		(425,336,424	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(13,168,686	)	$	(28,376,520	)


^(a) Includes payments by an affiliate to compensate for operating events.
^(b) Net of foreign capital gain tax	$	—		$	9,123


	BlackRock Dynamic High Income Portfolio						BlackRock Multi-Asset Income Portfolio
	Six Months Ended 01/31/19 (Unaudited)			Year Ended 07/31/18			Six Months Ended 01/31/19 (Unaudited)			Year Ended 07/31/18

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	21,616,950		$	29,926,420		$	396,959,904		$	787,506,361
Net realized gain (loss)		(35,566,580	)		2,369,352			(214,048,701	)		(21,707,730	)
Net change in unrealized appreciation (depreciation)		780,944			(6,904,258	)		(211,287,723	)		(354,194,640	)

Net increase (decrease) in net assets resulting from operations		(13,168,686	)		25,391,514			(28,376,520	)		411,603,991


DISTRIBUTIONS TO SHAREHOLDERS^(a)(b)
Institutional		(19,123,878	)		(26,184,703	)		(231,895,386	)		(472,768,935	)
Investor A		(2,029,797	)		(3,270,348	)		(97,073,094	)		(205,114,064	)
Investor C		(853,736	)		(1,610,496	)		(51,770,693	)		(119,622,159	)
Class K		(72,748	)		(86,457	)		(14,581,021	)		(14,534,422	)

Decrease in net assets resulting from distributions to shareholders		(22,080,159	)		(31,152,004	)		(395,320,194	)		(812,039,580	)


CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets derived from capital share transactions		211,178,881			238,281,803			(809,764,156	)		1,348,540,272


NET ASSETS^(b)
Total increase (decrease) in net assets		175,930,036			232,521,313			(1,233,460,870	)		948,104,683
Beginning of period		590,746,561			358,225,248			16,593,502,761			15,645,398,078

End of period	$	766,676,597		$	590,746,561		$	15,360,041,891		$	16,593,502,761


	BlackRock Dynamic High Income Portfolio

	Institutional
	Six Months Ended 01/31/19 (unaudited)			Year Ended July 31,									Period from 11/03/14^(a) to 07/31/15
	Six Months Ended 01/31/19 (unaudited)			2018			2017			2016			Period from 11/03/14^(a) to 07/31/15

Net asset value, beginning of period	$	9.77		$	9.83		$	9.31		$	9.92		$	10.00

Net investment income^(b)		0.30			0.63			0.56			0.60			0.49
Net realized and unrealized gain (loss)		(0.49	)		(0.04	)		0.54			(0.58	)		(0.13	)

Net increase (decrease) from investment operations		(0.19	)		0.59			1.10			0.02			0.36


Distributions^(c)
From net investment income		(0.31	)		(0.63	)		(0.58	)		(0.63	)		(0.44	)
From net realized gain		—			(0.02	)		—			—			—

Total distributions		(0.31	)		(0.65	)		(0.58	)		(0.63	)		(0.44	)


Net asset value, end of period	$	9.27		$	9.77		$	9.83		$	9.31		$	9.92


Total Return^(d)
Based on net asset value		(1.91	)%^(e)(f)		6.26	%		12.39	%		0.51	%		3.67	%^(f)


Ratios to Average Net Assets^(g)
Total expenses		0.81	%^(h)		0.90	%		1.24	%⁽ⁱ⁾		1.33	%		1.88	%^(h)(j)

Total expenses after fees waived and/or reimbursed		0.65	%^(h)		0.66	%		0.79	%		1.05	%		1.04	%^(h)

Net investment income		6.44	%^(h)		6.45	%		5.84	%		6.61	%		6.52	%^(h)


Supplemental Data
Net assets, end of period (000)	$	662,811		$	498,892		$	294,539		$	163,634		$	127,434

Portfolio turnover rate^(k)		33	%		75	%		93	%		112	%		43	%


	BlackRock Dynamic High Income Portfolio (continued)

	Investor A
	Six Months Ended 01/31/19 (unaudited)			Year Ended July 31,									Period from 11/03/14^(a) to 07/31/15
	Six Months Ended 01/31/19 (unaudited)			2018			2017			2016			Period from 11/03/14^(a) to 07/31/15

Net asset value, beginning of period	$	9.77		$	9.83		$	9.31		$	9.92		$	10.00

Net investment income^(b)		0.29			0.61			0.53			0.58			0.50
Net realized and unrealized gain (loss)		(0.49	)		(0.04	)		0.55			(0.59	)		(0.16	)

Net increase (decrease) from investment operations		(0.20	)		0.57			1.08			(0.01	)		0.34


Distributions^(c)
From net investment income		(0.30	)		(0.61	)		(0.56	)		(0.60	)		(0.42	)
From net realized gain		—			(0.02	)		—			—			—

Total distributions		(0.30	)		(0.63	)		(0.56	)		(0.60	)		(0.42	)


Net asset value, end of period	$	9.27		$	9.77		$	9.83		$	9.31		$	9.92


Total Return^(d)
Based on net asset value		(2.03	)%^(e)(f)		5.99	%		11.99	%		0.26	%		3.48	%^(f)


Ratios to Average Net Assets^(g)
Total expenses		1.07	%^(h)		1.16	%		1.47	%⁽ⁱ⁾		1.57	%		1.63	%^(h)(j)

Total expenses after fees waived and/or reimbursed		0.90	%^(h)		0.92	%		1.05	%		1.30	%		1.27	%^(h)

Net investment income		6.18	%^(h)		6.15	%		5.65	%		6.35	%		6.64	%^(h)


Supplemental Data
Net assets, end of period (000)	$	70,622		$	59,628		$	38,770		$	41,642		$	19,260

Portfolio turnover rate^(k)		33	%		75	%		93	%		112	%		43	%


	BlackRock Dynamic High Income Portfolio (continued)

	Class K
	Six Months Ended 01/31/19 (unaudited)			Year Ended July 31,						Period from 03/28/16^(a) to 07/31/16
	Six Months Ended 01/31/19 (unaudited)			2018			2017			Period from 03/28/16^(a) to 07/31/16

Net asset value, beginning of period	$	9.78		$	9.83		$	9.31		$	8.87

Net investment income^(b)		0.31			0.66			0.56			0.22
Net realized and unrealized gain (loss)		(0.51	)		(0.05	)		0.55			0.44

Net increase (decrease) from investment operations		(0.20	)		0.61			1.11			0.66


Distributions^(c)
From net investment income		(0.31	)		(0.64	)		(0.59	)		(0.22	)
From net realized gain		—			(0.02	)		—			—

Total distributions		(0.31	)		(0.66	)		(0.59	)		(0.22	)


Net asset value, end of period	$	9.27		$	9.78		$	9.83		$	9.31


Total Return^(d)
Based on net asset value		(1.98	)%^(e)(f)		6.42	%		12.32	%		7.47	%^(f)


Ratios to Average Net Assets^(g)
Total expenses		0.76	%^(h)		0.85	%		1.21	%⁽ⁱ⁾		1.38	%^(h)

Total expenses after fees waived and/or reimbursed		0.60	%^(h)		0.61	%		0.74	%		1.00	%^(h)

Net investment income		6.49	%^(h)		6.78	%		5.93	%		7.19	%^(h)


Supplemental Data
Net assets, end of period (000)	$	2,472		$	2,188		$	278		$	221

Portfolio turnover rate^(j)		33	%		75	%		93	%		112	%^(k)


	BlackRock Multi-Asset Income Portfolio (continued)

	Investor A
	Six Months Ended 01/31/19 (unaudited)			Year Ended July 31,
	Six Months Ended 01/31/19 (unaudited)			2018			2017			2016			2015			2014

Net asset value, beginning of period	$	10.78		$	11.04		$	10.75		$	11.04		$	11.44		$	11.01

Net investment income^(a)		0.26			0.52			0.47			0.50			0.55			0.58
Net realized and unrealized gain (loss)		(0.26	)		(0.24	)		0.32			(0.27	)		(0.36	)		0.43

Net increase from investment operations		0.00			0.28			0.79			0.23			0.19			1.01


Distributions^(b)
From net investment income		(0.26	)		(0.54	)		(0.50	)		(0.52	)		(0.55	)		(0.56	)
From net realized gain		—			—			—			—			(0.04	)		(0.02	)

Total distributions		(0.26	)		(0.54	)		(0.50	)		(0.52	)		(0.59	)		(0.58	)


Net asset value, end of period	$	10.52		$	10.78		$	11.04		$	10.75		$	11.04		$	11.44


Total Return^(c)
Based on net asset value		0.03	%^(d)(e)		2.59	%^(e)		7.54	%		2.24	%		1.68	%		9.35	%


Ratios to Average Net Assets^(f)
Total expenses		0.90	%^(g)		0.91	%		0.92	%		0.93	%		0.94	%		0.95	%

Total expenses after fees waived and/or reimbursed		0.80	%^(g)		0.80	%		0.80	%		0.80	%		0.80	%		0.80	%

Net investment income		4.93	%^(g)		4.79	%		4.39	%		4.67	%		4.85	%		5.10	%


Supplemental Data
Net assets, end of period (000)	$	3,818,559		$	4,064,777		$	4,110,878		$	4,231,260		$	3,587,415		$	2,515,567

Portfolio turnover rate^(h)		34	%		61	%		75	%		82	%		60	%		74	%


	Six Months Ended 01/31/19 (Unaudited)			Year Ended 07/31/18			Period from 02/03/17^(a) to 07/31/17
Investments in underlying funds		0.04	%		0.03	%		0.02	%


	Six Months Ended 01/31/19 (Unaudited)			Year Ended 07/31/18			Period from 02/03/17^(a) to 07/31/17
Portfolio turnover rate (including equity-linked notes)		68	%		140	%		144	%


Fund Name	Herein Referred To As	Diversification Classification
BlackRock Dynamic High Income Portfolio	Dynamic High Income	Diversified
BlackRock Multi-Asset Income Portfolio	Multi-Asset Income	Diversified


Share Class	Initial Sales Charge	CDSC			Conversion Privilege
Institutional and Class K Shares	No		No		None
Investor A Shares	Yes		No	^(a)	None
Investor C Shares	No		Yes		to Investor A Shares after approximately 10 years


		Standard Inputs Generally Considered By Third Party Pricing Services
Market approach		(i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.
Income approach		(i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.
Cost approach		(i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.


Borrower	Par		Commitment Amount		Value		Unrealized Depreciation
Access CIG, LLC	$	79,077	$	79,077	$	78,168	$	(909	)
Dental Corp Perfect Smile ULC		82,544		82,544		80,635		(1,909	)
Moffett Towers		11,230,085		11,230,085		11,202,010		(28,075	)


Counterparty	Securities Loaned at Value		Cash Collateral Received^(a)			Net Amount
BNP Paribas S. A.	$	21,277,500	$	(21,277,500	)	$	—
Citigroup Global Markets, Inc.		21,992,837		(21,992,837	)		—
JP Morgan Securities LLC		1,258,522		(1,258,522	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		36,371,588		(36,371,588	)		—

	$	80,900,447	$	(80,900,447	)	$	—