BlackRock Funds II

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds II,

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.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call (800) 441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

The Markets in Review

Dear Shareholder,

The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For the first half of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus (or “COVID-19”) became more apparent throughout February and March 2020, countries around the world took economically disruptive countermeasures, causing a global recession and a sharp fall in equity prices. While markets have since recovered most of these losses as countries around the world adapt to life with the virus, lingering uncertainty about the depth and duration of the pandemic and an uptick in global infection rates tempered optimism late in the reporting period.

Returns for most securities were robust for the first half of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. However, once stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off and unemployment claims spiked. The subsequent rapid decline in equity prices was followed by a slow recovery, and some economic indicators began to improve. U.S. large-capitalization stocks, which are often considered more resilient than smaller companies during market turbulence, advanced significantly. International equities from developed economies ended the 12-month reporting period with negative performance, while emerging market stocks posted a positive return.

The performance of different types of fixed-income securities diverged substantially due to a reduced investor appetite for risk. Treasuries benefited from the risk-off environment, and posted healthy returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) fell to an all-time low. Investment-grade corporate bonds also delivered solid returns, while high-yield corporate returns were more modest due to credit concerns.

The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economic growth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also implemented a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.

Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we believe that the global expansion is likely to continue once the outbreak subsides. Several risks remain, however, including a potential resurgence of the coronavirus amid loosened restrictions, policy fatigue among governments already deep into deficit spending, and structural damage to the financial system from lengthy economic interruptions.

Overall, we favor a moderately positive stance toward risk, and in particular toward credit given the extraordinary central bank measures taken in recent months. This support extends beyond investment-grade corporates and into high-yield, leading to attractive opportunities throughout the credit market. We believe that both U.S. Treasuries and sustainable investments can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments. We remain neutral on equities overall while favoring European stocks, which are poised for cyclical upside as re-openings continue.

In this environment, our view is that 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 July 31, 2020

	6-Month	12-Month

U.S. large cap equities (S&P 500^® Index)	2.42%	11.96%

U.S. small cap equities (Russell 2000^® Index)	(7.61)	(4.59)

International equities (MSCI Europe, Australasia, Far East Index)	(7.34)	(1.67)

Emerging market equities (MSCI Emerging Markets Index)	3.08	6.55

3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)	0.48	1.46

U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)	9.92	15.55

U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)	5.69	10.12

Tax-exempt municipal bonds (S&P Municipal Bond Index)	1.75	4.89

U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)	0.62	4.07

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 12-month period ended July 31, 2020, the Fund underperformed 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 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 custom benchmark.

Equity covered call positions, while generating a significant portion of the Fund’s income, were the largest detractor from overall performance due to weakness in underlying stock selection. The Fund’s holdings in master limited partnerships (“MLPs”) also hurt returns as the asset class suffered from the large supply and demand imbalance for oil and natural gas. In addition, the Fund’s allocation to international developed equities detracted given that the foreign markets generally lagged domestic stocks.

The Fund’s efforts to manage interest rate risk through the use of derivatives was the largest contributor to returns. An allocation to high yield bonds aided performance as low global bond yields and the sharp sell-off caused by COVID-19 led to a strong recovery in investor demand. An allocation to U.S. equities also helped results.

The Fund utilized derivatives during the period as part of its investment strategy. In particular, U.S. Treasury futures were used to keep the portfolio’s duration at the investment adviser’s desired level. The Fund also held equity and currency futures to adjust the portfolio’s risk profile. Additionally, equity covered calls were used to provide an alternative source of income. Although the covered calls detracted from returns, the effect of holding equity, Treasury and currency futures was overall positive to Fund performance.

The Fund’s cash weighting was modestly elevated at the end of the period, as the investment adviser was judicious about the Fund’s overall level of risk amid a backdrop of elevated uncertainty. The cash position did not have any material impact on performance.

The investment adviser made a number of changes throughout the period. The investment adviser sought to capitalize on the stock-market rally of 2019 by reducing risk late in the year once valuations became less attractive, and it did so again in the heart of the COVID-19 sell-off to help protect capital. The investment adviser incrementally added back risk as the markets recovered in response to the reopening of economies. At the close of the period, the Fund had higher allocations to developed international and emerging market equities, investment grade bonds and high yield bonds than it did a year earlier. Conversely, the Fund’s weightings in U.S. equities, structured credit and equity covered calls were lower. The Fund also held lower interest rate exposure at the end of the period since the substantial rally in bonds indicated a reduced opportunity set in this area. In addition, the Fund transitioned its MLP positions to a broader global infrastructure equities strategy.

The Fund was allocated across a number of diverse asset classes, including investment-grade corporate bonds, senior loans, mortgage-backed securities, high yield bonds, global equities, preferred stocks, equity covered calls and cash. The Fund’s duration (a measure of interest rate sensitivity) was approximately 2.7 years at the end of July.

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 12-month period ended July 31, 2020, the Fund underperformed its 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 custom benchmark. The Fund may use derivatives to manage the portfolio’s positioning and to provide an element of protection during periods of market distress.

The Fund’s allocation to master limited partnerships (“MLPs”) was the largest detractor from returns, as the asset class suffered from a large supply and demand imbalance for oil and natural gas. Equity covered call positions, while generating a significant portion of the Fund’s income, detracted from performance due to weakness in underlying stock selection. The Fund’s efforts to manage currency risk were also a modest detractor.

The Fund utilized derivatives during the period as part of its investment strategy. In particular, U.S. Treasury futures were used to keep the portfolio’s duration at the investment adviser’s desired level. The Fund also held equity and currency futures to adjust the portfolio’s risk profile. Additionally, equity covered calls were used to provide an alternative source of income. Although the covered calls and efforts to manage currency risk detracted from returns, the effect of holding equity and Treasury futures was overall positive to Fund performance.

The investment adviser made a number of changes throughout the period. The investment adviser sought to capitalize on the stock-market rally of 2019 by reducing risk late in the year once valuations became less attractive, and it did so again in the heart of the COVID-19 sell-off to help protect capital. The investment adviser incrementally added back risk as the markets recovered in response to the reopening of economies. At the close of the period, the Fund had higher allocations to equities, investment grade bonds and agency mortgages than it did a year earlier. Conversely, the Fund’s weightings in preferred stocks, high yield bonds and equity covered calls were lower. The Fund also held lower interest rate exposure at the end of the period, since the substantial rally in bonds indicated a reduced opportunity set in this area. In addition, the Fund transitioned its MLP positions to a broader global infrastructure equities strategy.

The Fund was allocated across a number of diverse asset classes, including investment-grade corporate bonds, senior loans, mortgage-backed securities, high yield bonds, global equities, preferred stocks, equity covered calls and cash. The Fund’s duration was approximately 2.4 years at the end of July. (Duration is a measure of interest rate sensitivity.)

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 TotaI Investments	^(a)
BlackRock Allocation Target Shares, Series A	3	%
iShares iBoxx $ Investment Grade Corporate Bond ETF	2
iShares Core S&P 500 ETF	2
iShares iBoxx $ High Yield Corporate Bond ETF	2
BlackRock Floating Rate Income Portfolio, Class K Shares	1
Apple, Inc.	1
Amazon.com, Inc.	1
Johnson & Johnson	1
Cisco Systems, Inc.	—	^(b)
Wells Fargo & Co.	—	^(b)

^(a)

Excludes short-term securities.

^(b)

Represents less than 1% of the Fund’s total investments.

PORTFOLIO COMPOSITION


Asset Type	Percent of Total Investments	^(a)
Corporate Bonds	31	%
Common Stocks	18
Equity-Linked Notes	17
Investment Companies	10
Floating Rate Loan Interests	7
Asset-Backed Securities	6
Preferred Securities	4
Non-Agency Mortgage-Backed Securities	3
Foreign Government Obligations	3
Foreign Agency Obligations	1
U.S. Government Sponsored Agency Securities	—	^(b)
Rights	—	^(b)

^(a)

Excludes short-term securities.

^(b)

Represents less than 1% of the Fund’s total investments.

TEN LARGEST HOLDINGS


Security	Percent of TotaI Investments	^(a)
iShares iBoxx $ High Yield Corporate Bond ETF	2	%
iShares MBS ETF	1
iShares Short-Term Corporate Bond ETF	1
Apple, Inc.	—	^(b)
Amazon.com, Inc.	—	^(b)
Cisco Systems, Inc.	—	^(b)
Home Depot, Inc. (The)	—	^(b)
Kroger Co (The)	—	^(b)
Target Corp.	—	^(b)
Costco Wholesale Corp.	—	^(b)

^(a)

Excludes short-term securities, options purchased and options written.

^(b)

Represents less than 1% of the Fund’s total investments.

PORTFOLIO COMPOSITION


Asset Type	Percent of Total Investments	^(a)
Corporate Bonds	36	%
Common Stocks	19
Asset-Backed Securities	12
Equity-Linked Notes	10
Non-Agency Mortgage-Backed Securities	7
Floating Rate Loan Interests	7
Preferred Securities	3
Investment Companies	3
Foreign Government Obligations	2
U.S. Government Sponsored Agency Securities	1
Foreign Agency Obligations	—	^(b)
U.S. Treasury Obligations	—	^(b)
Rights	—	^(b)
Warrants	—	^(b)

^(a)

Excludes short-term securities, options purchased and options written.

^(b)

Represents less than 1% 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 Shares performance shown prior to the Class K Shares inception date of March 28, 2016 for BlackRock Dynamic High Income Portfolio and the Class K Shares inception date of February 3, 2017 for the BlackRock Multi-Asset Income Portfolio is that of Institutional Shares. The performance of each Fund’s 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. These shares automatically convert to Investor A Shares after approximately ten years.

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 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 (“NAV”) on the ex-dividend date or payable date, as applicable. 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 agreed to waive and/or reimburse a portion of each Fund’s expenses. Without such waiver and/or reimbursement, each Fund’s performance would have been lower. With respect to each Fund’s contractual waivers, the Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. 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.

Shareholders of each Fund 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 shown below (which are based on a hypothetical investment of $1,000 invested on February 1, 2020 and held through July 31, 2020) 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 heading 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 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.

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.


Security		Par (000)		Value

Asset-Backed Securities — 5.8%
Ajax Mortgage Loan Trust^(a)(b):
Series 2018-E, Class A, 4.38%, 06/25/58	USD		272	$	276,673
Series 2018-F, Class A, 4.38%, 11/25/58^(c)			277		278,776
Series 2018-G, Class A, 4.38%, 06/25/57^(c)			357		346,254
Allegro CLO II-S Ltd., Series 2014-1RA, Class B, (LIBOR USD 3 Month + 2.15%), 2.42%, 10/21/28^(b)(d)			500		480,611
ALM 2020 Ltd., Series 2020-1A, Class A2, (LIBOR USD 3 Month + 1.85%), 2.13%, 10/15/29^(b)(d)			1,000		977,990
ALM VII R-2 Ltd., Series 2013-7R2A, Class BR2, (LIBOR USD 3 Month + 2.20%), 2.48%, 10/15/27^(b)(d)			250		237,788
ALM XVI Ltd., Series 2015-16A, Class CR2, (LIBOR USD 3 Month + 2.70%), 2.98%, 07/15/27^(b)(d)			1,000		938,837
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, (LIBOR USD 3 Month + 2.60%), 2.85%, 01/28/31^(b)(d)			250		223,639
Apidos CLO XXIV, Series 2016-24A, Class CR, (LIBOR USD 3 Month + 3.05%), 3.32%, 10/20/30^(b)(d)			1,000		894,254
Apidos CLO XXXII, Series 2019-32A, Class C, (LIBOR USD 3 Month + 2.40%), 2.67%, 01/20/33^(b)(d)			500		490,940
Ares LI CLO Ltd., Series 2019-51A, Class C, (LIBOR USD 3 Month + 2.70%), 2.98%, 04/15/31^(b)(d)			500		493,950
Ares LIII CLO Ltd.^(b)(d):
Series 2019-53A, Class C, (LIBOR USD 3 Month + 2.65%), 2.91%, 04/24/31			500		493,619
Series 2019-53A, Class D, (LIBOR USD 3 Month + 3.75%), 4.01%, 04/24/31			500		482,759
Ares XL CLO Ltd., Series 2016-40A, Class CR, (LIBOR USD 3 Month + 3.40%), 3.67%, 01/15/29^(b)(d)			500		472,443
Ares XLVI CLO Ltd., Series 2017-46A, Class SUB, (LIBOR USD 3 Month + 0.00%), 0.00%, 01/15/30^(b)(d)			750		439,288
Ares XLVII CLO Ltd.^(b)(d):
Series 2018-47A, Class D, (LIBOR USD 3 Month + 2.70%), 2.98%, 04/15/30			1,500		1,348,064
Series 2018-47A, Class SUB, (LIBOR USD 3 Month + 0.00%), 0.00%, 04/15/30			500		246,837
Ares XLVIII CLO Ltd., Series 2018-48A, Class D, (LIBOR USD 3 Month + 2.70%), 2.97%, 07/20/30^(b)(d)			500		447,766
Ares XXXIR CLO Ltd., Series 2014-31RA, Class B, (LIBOR USD 3 Month + 1.60%), 1.96%, 05/24/30^(b)(d)			1,000		957,551
Assurant CLO I Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.10%), 2.37%, 10/20/29^(b)(d)			500		477,823
Atrium XIV LLC, Series 14A, Class C, (LIBOR USD 3 Month + 1.95%), 2.22%, 08/23/30^(b)(d)			250		230,717
Atrium XV, Series 15A, Class D, (LIBOR USD 3 Month + 3.00%), 3.26%, 01/23/31^(b)(d)			250		227,561
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2, (LIBOR USD 1 Month + 1.73%), 1.90%, 04/25/34^(d)			95		94,570
Canyon Capital CLO Ltd., Series 2014-1A, Class BR, (LIBOR USD 3 Month + 1.80%), 2.07%, 01/30/31^(b)(d)			500		478,182
Canyon CLO Ltd., Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.70%), 1.98%, 07/15/31^(b)(d)			500		480,618


Security		Par (000)		Value

Asset-Backed Securities (continued)
Carlyle Global Market Strategies CLO Ltd., Series 2015-4A, Class SBB1, (LIBOR USD 3 Month + 8.50%), 8.77%, 07/20/32^(b)(d)	USD		209	$	181,381
Carrington Mortgage Loan Trust, Series 2006-NC5, Class A3, (LIBOR USD 1 Month + 0.15%), 0.32%, 01/25/37^(d)			132		106,617
CarVal CLO II Ltd., Series 2019-1A, Class C, (LIBOR USD 3 Month + 3.25%), 3.52%, 04/20/32^(b)(d)			500		494,536
Catskill Park CLO Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 3.70%), 3.97%, 04/20/29^(b)(d)			250		238,366
CBAM Ltd., Series 2017-2A, Class C1, (LIBOR USD 3 Month + 2.40%), 2.67%, 10/17/29^(b)(d)			500		486,559
Cedar Funding IX CLO Ltd., Series 2018-9A, Class SUB, 0.00%, 04/20/31^(a)(b)			1,000		502,058
CIFC Funding Ltd.^(b)(d):
Series 2014-5A, Class DR2, (LIBOR USD 3 Month + 3.40%), 3.67%, 10/17/31			500		459,407
Series 2015-3A, Class CR, (LIBOR USD 3 Month + 1.65%), 1.92%, 04/19/29			250		240,759
Series 2016-1A, Class BR, (LIBOR USD 3 Month + 1.95%), 2.22%, 10/21/31			1,000		982,584
Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.80%), 3.07%, 10/21/31			500		483,566
Series 2017-1A, Class D, (LIBOR USD 3 Month + 3.50%), 3.77%, 04/23/29			500		467,460
Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.65%), 2.92%, 04/18/31			1,000		903,096
Series 2018-3A, Class D, (LIBOR USD 3 Month + 2.85%), 3.12%, 07/18/31			500		466,924
Conseco Finance Corp., Series 1998-8, Class A1, 6.28%, 09/01/30			248		256,485
Cumberland Park CLO Ltd., Series 2015-2A, Class CR, (LIBOR USD 3 Month + 1.80%), 2.07%, 07/20/28^(b)(d)			420		400,306
CWHEQ Revolving Home Equity Loan Trust, Series 2006-G, Class 2A, (LIBOR USD 1 Month + 0.15%), 0.32%, 10/15/36^(d)			110		102,961
Deer Creek CLO Ltd., Series 2017-1A, Class B, (LIBOR USD 3 Month + 1.65%), 1.92%, 10/20/30^(b)(d)			500		482,326
Dryden 36 Senior Loan Fund, Series 2014-36A, Class DR2, (LIBOR USD 3 Month + 3.70%), 3.98%, 04/15/29^(b)(d)			500		476,571
Dryden 50 Senior Loan Fund, Series 2017-50A, Class SUB, 0.00%, 07/15/30^(a)(b)			1,000		484,332
Dryden 70 CLO Ltd., Series 2018-70A, Class D, (LIBOR USD 3 Month + 3.75%), 4.02%, 01/16/32^(b)(d)			250		238,754
First Franklin Mortgage Loan Trust^(d):
Series 2006-FF9, Class 2A4, (LIBOR USD 1 Month + 0.25%), 0.42%, 06/25/36			1,750		1,289,280
Series 2006-FF13, Class A1, (LIBOR USD 1 Month + 0.12%), 0.29%, 10/25/36			60		44,617
Flatiron CLO 19 Ltd.^(b)(d):
Series 2019-1A, Class C, (LIBOR USD 3 Month + 2.70%), 3.09%, 11/16/32			500		485,342
Series 2019-1A, Class D, (LIBOR USD 3 Month + 3.90%), 4.29%, 11/16/32			1,000		983,485
Galaxy XXIV CLO Ltd., Series 2017-24A, Class C, (LIBOR USD 3 Month + 1.70%), 1.98%, 01/15/31^(b)(d)			250		233,999
Greenwood Park CLO Ltd., Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.50%), 2.77%, 04/15/31^(b)(d)			650		583,706


Security		Par (000)		Value

Asset-Backed Securities (continued)
Greywolf CLO V Ltd., Series 2015-1A, Class BR, (LIBOR USD 3 Month + 2.00%), 2.24%, 01/27/31^(b)(d)	USD		500	$	474,982
GSAA Home Equity Trust^(d):
Series 2005-14, Class 1A2, (LIBOR USD 1 Month + 0.35%), 0.52%, 12/25/35			30		11,809
Series 2006-5, Class 1A1, (LIBOR USD 1 Month + 0.18%), 0.35%, 03/25/36			69		30,162
GSAMP Trust, Series 2006-FM3, Class A1, (LIBOR USD 1 Month + 0.14%), 0.31%, 11/25/36^(d)			131		75,278
Invitation Homes Trust^(b)(d):
Series 2018-SFR3, Class A, (LIBOR USD 1 Month + 1.00%), 1.18%, 07/17/37			648		643,304
Series 2018-SFR3, Class E, (LIBOR USD 1 Month + 2.00%), 2.18%, 07/17/37			700		678,360
Series 2018-SFR4, Class A, (LIBOR USD 1 Month + 1.10%), 1.28%, 01/17/38			265		264,670
Jay Park CLO Ltd., Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.65%), 2.92%, 10/20/27^(b)(d)			250		231,880
Kayne CLO II Ltd., Series 2018-2A, Class B, (LIBOR USD 3 Month + 1.90%), 2.18%, 10/15/31^(b)(d)			525		524,385
Kayne CLO III Ltd.^(b)(d):
Series 2019-3A, Class A, (LIBOR USD 3 Month + 1.48%), 1.76%, 04/15/32			2,500		2,477,082
Series 2019-3A, Class B1, (LIBOR USD 3 Month + 2.05%), 2.32%, 04/15/32			1,000		985,915
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A, (LIBOR USD 1 Month + 0.15%), 0.32%, 05/25/36^(d)			466		314,961
Madison Park Funding XIII Ltd., Series 2014-13A, Class CR2, (LIBOR USD 3 Month + 1.90%), 2.17%, 04/19/30^(b)(d)			500		471,291
Madison Park Funding XXVII Ltd., Series 2018-27A, Class C, (LIBOR USD 3 Month + 2.60%), 2.87%, 04/20/30^(b)(d)			500		441,657
Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, (LIBOR USD 3 Month + 3.00%), 3.26%, 01/23/31^(b)(d)			500		457,753
Mariner CLO 7 Ltd., Series 2019-1A, Class B, (LIBOR USD 3 Month + 2.00%), 2.27%, 04/30/32^(b)(d)			500		490,705
Mastr Asset-Backed Securities Trust, Series 2007-HE1, Class A4, (LIBOR USD 1 Month + 0.28%), 0.45%, 05/25/37^(d)			650		517,195
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR2, (LIBOR USD 3 Month + 3.00%), 3.27%, 10/21/30^(b)(d)			250		224,493
Neuberger Berman CLO XXI Ltd., Series 2016-21A, Class CR, (LIBOR USD 3 Month + 1.60%), 1.87%, 04/20/27^(b)(d)			1,490		1,405,963
Neuberger Berman Loan Advisers CLO Ltd.^(b)(d):
Series 2017-25A, Class D, (LIBOR USD 3 Month + 3.25%), 3.52%, 10/18/29			500		468,061
Series 2017-26A, Class C, (LIBOR USD 3 Month + 1.75%), 2.02%, 10/18/30			500		470,327
Series 2020-37A, Class B, (LIBOR USD 3 Month + 2.20%), 2.37%, 07/20/31^(c)			1,000		997,900
Oakwood Mortgage Investors, Inc., Series 1998-D, Class M1, 7.42%, 01/15/29^(b)			311		319,319
OCP CLO Ltd.^(b)(d):
Series 2014-6A, Class BR, (LIBOR USD 3 Month + 2.15%), 2.42%, 10/17/30			2,000		1,929,229
Series 2015-10A, Class BR, (LIBOR USD 3 Month + 1.85%), 2.09%, 10/26/27			500		479,891


Security		Par (000)		Value

Asset-Backed Securities (continued)
Series 2017-14A, Class B, (LIBOR USD 3 Month + 1.95%), 2.33%, 11/20/30	USD		500	$	476,050
Octagon Investment Partners 26 Ltd., Series 2016-1, Class AR, (LIBOR USD 3 Month + 2.85%), 3.13%, 04/20/31^(d)			500		433,503
Octagon Investment Partners 27 Ltd., Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.10%), 2.37%, 07/15/30^(b)(d)			815		772,848
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.75%), 3.02%, 01/20/31^(b)(d)			500		450,184
Octagon Investment Partners 35 Ltd., Series 2018-1A, Class C, (LIBOR USD 3 Month + 2.60%), 2.87%, 01/20/31^(b)(d)			400		341,200
Octagon Investment Partners 42 Ltd., Series 2019-3A, Class B1, (LIBOR USD 3 Month + 1.95%), 2.23%, 04/15/31^(b)(d)			500		491,898
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class CR, (LIBOR USD 3 Month + 1.85%), 2.12%, 07/17/30^(b)(d)			250		231,223
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class DR2, (LIBOR USD 3 Month + 2.50%), 2.74%, 01/25/31^(b)(d)			500		438,119
OHA Credit Funding 2 Ltd., Series 2019-2A, Class D, (LIBOR USD 3 Month + 4.00%), 4.27%, 04/21/31^(b)(d)			1,000		975,137
OHA Credit Partners XII Ltd., Series 2015-12A, Class DR, (LIBOR USD 3 Month + 2.90%), 3.16%, 07/23/30^(b)(d)			650		589,061
Palmer Square CLO Ltd.^(b)(d):
Series 2013-2A, Class BRR, (LIBOR USD 3 Month + 2.20%), 2.47%, 10/17/31			300		291,981
Series 2013-2A, Class CRR, (LIBOR USD 3 Month + 3.20%), 3.47%, 10/17/31			500		465,121
Series 2015-1A, Class BR2, (LIBOR USD 3 Month + 2.25%), 2.62%, 05/21/29			500		485,477
Series 2015-1A, Class CR2, (LIBOR USD 3 Month + 3.15%), 3.52%, 05/21/29			500		478,147
Series 2015-2A, Class BR2, (LIBOR USD 3 Month + 1.95%), 2.22%, 07/20/30			750		715,720
Series 2019-1A, Class B, (LIBOR USD 3 Month + 2.65%), 3.07%, 11/14/32			500		494,489
Series 2020-1A, Class A2, (LIBOR USD 3 Month + 2.64%), 2.94%, 04/20/29^(c)			500		500,500
Series 2020-1A, Class C, (LIBOR USD 3 Month + 3.00%), 3.30%, 04/20/29			1,000		959,964
Progress Residential Trust^(b):
Series 2017-SFR2, Class F, 4.84%, 12/17/34			1,500		1,486,889
Series 2018-SFR2, Class F, 4.95%, 08/17/35			500		502,621
Series 2018-SFR3, Class F, 5.37%, 10/17/35			746		766,025
Series 2019-SFR2, Class F, 4.84%, 05/17/36			100		96,647
Recette CLO Ltd., Series 2015-1A, Class CR, (LIBOR USD 3 Month + 1.70%), 1.97%, 10/20/27^(b)(d)			300		288,713
Regatta Funding LP^(b)(d):
Series 2013-2A, Class A2R2, (LIBOR USD 3 Month + 1.85%), 2.13%, 01/15/29			500		489,123
Series 2013-2A, Class BR2, (LIBOR USD 3 Month + 2.70%), 2.98%, 01/15/29			500		480,800
Series 2013-2A, Class CR2, (LIBOR USD 3 Month + 3.70%), 3.98%, 01/15/29			500		464,595


Security		Par (000)		Value

Asset-Backed Securities (continued)
Regatta VI Funding Ltd., Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.05%), 2.32%, 07/20/28^(b)(d)	USD		250	$	239,642
Regatta X Funding Ltd., Series 2017-3A, Class C, (LIBOR USD 3 Month + 1.80%), 2.07%, 01/17/31^(b)(d)			1,000		944,193
Regatta XIII Funding Ltd., Series 2018-2A, Class B, (LIBOR USD 3 Month + 2.10%), 2.37%, 07/15/31^(b)(d)			500		480,350
Regatta XV Funding Ltd.^(b)(d):
Series 2018-4A, Class A2, (LIBOR USD 3 Month + 1.85%), 2.09%, 10/25/31			285		275,751
Series 2018-4A, Class C, (LIBOR USD 3 Month + 3.30%), 3.54%, 10/25/31			250		233,365
Regatta XVI Funding Ltd.^(b)(d):
Series 2019-2A, Class C, (LIBOR USD 3 Month + 2.70%), 2.98%, 01/15/33			1,270		1,231,039
Series 2019-2A, Class D, (LIBOR USD 3 Month + 3.90%), 4.17%, 01/15/33			500		477,418
Rockford Tower CLO Ltd.^(b)(d):
Series 2018-2A, Class C, (LIBOR USD 3 Month + 2.20%), 2.47%, 10/20/31			300		292,649
Series 2019-1A, Class C, (LIBOR USD 3 Month + 2.75%), 3.02%, 04/20/32			500		490,180
Series 2019-1A, Class D, (LIBOR USD 3 Month + 3.85%), 4.12%, 04/20/32			500		483,249
RR 5 Ltd., Series 2018-5A, Class C, (LIBOR USD 3 Month + 3.10%), 3.38%, 10/15/31^(b)(d)			550		501,812
Silver Creek CLO Ltd., Series 2014-1A, Class DR, (LIBOR USD 3 Month + 3.35%), 3.62%, 07/20/30^(b)(d)			500		470,733
Stewart Park CLO Ltd., Series 2015-1A, Class DR, (LIBOR USD 3 Month + 2.60%), 2.88%, 01/15/30^(b)(d)			650		579,710
Symphony CLO XIX Ltd., Series 2018-19A, Class C, (LIBOR USD 3 Month + 1.75%), 2.02%, 04/16/31^(b)(d)			500		469,286
TCW CLO Ltd., Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.91%), 3.16%, 04/25/31^(b)(d)			500		453,677
TICP CLO V Ltd., Series 2016-5A, Class DR, (LIBOR USD 3 Month + 3.15%), 3.42%, 07/17/31^(b)(d)			500		472,639
TICP CLO VII Ltd., Series 2017-7A, Class CR, (LIBOR USD 3 Month + 2.15%), 2.43%, 04/15/33^(b)(d)			500		476,424
TICP CLO VIII Ltd., Series 2017-8A, Class C, (LIBOR USD 3 Month + 3.10%), 3.37%, 10/20/30^(b)(d)			500		465,788
TICP CLO XI Ltd.^(b)(d):
Series 2018-11A, Class C, (LIBOR USD 3 Month + 2.15%), 2.42%, 10/20/31			300		288,654
Series 2018-11A, Class D, (LIBOR USD 3 Month + 3.05%), 3.32%, 10/20/31			300		282,145
TICP CLO XIII Ltd., Series 2019-13A, Class D, (LIBOR USD 3 Month + 3.45%), 3.72%, 07/15/32^(b)(d)			500		481,563
TICP CLO XIV Ltd., Series 2019-14A, Class B, (LIBOR USD 3 Month + 2.70%), 2.97%, 10/20/32^(b)(d)			500		496,481
Treman Park CLO Ltd., Series 2015-1A, Class DRR, (LIBOR USD 3 Month + 2.65%), 2.92%, 10/20/28^(b)(d)			300		277,187
Upland CLO Ltd.^(b)(d):
Series 2016-1A, Class A2R, (LIBOR USD 3 Month + 1.65%), 1.92%, 04/20/31			1,000		965,407


Security		Par (000)		Value

Asset-Backed Securities (continued)
Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.90%), 3.17%, 04/20/31	USD		500	$	450,197
Voya CLO Ltd., Series 2015-3A, Class A3R, (LIBOR USD 3 Month + 1.70%), 1.97%, 10/20/31^(b)(d)			500		482,471
York CLO 1 Ltd.^(b)(d):
Series 2014-1A, Class CRR, (LIBOR USD 3 Month + 2.10%), 2.36%, 10/22/29			500		475,107
Series 2014-1A, Class DRR, (LIBOR USD 3 Month + 3.01%), 3.27%, 10/22/29			270		257,738
York CLO-3 Ltd., Series 2016-1A, Class DR, (LIBOR USD 3 Month + 3.60%), 3.87%, 10/20/29^(b)(d)			500		475,508

Total Asset-Backed Securities — 5.8% (Cost: $71,644,422)					68,115,957


		Shares

Common Stocks — 16.0%

Airlines — 0.1%
Copa Holdings SA, Class A			15,587		645,925


Automobiles — 0.3%
Astra International Tbk. PT			3,906,200		1,376,012
Geely Automobile Holdings Ltd.			448,000		939,807
Maruti Suzuki India Ltd.			17,492		1,461,983

					3,777,802

Banks — 0.8%
Bank Mandiri Persero Tbk. PT			4,621,600		1,836,855
Bank of the Philippine Islands			863,890		1,199,677
China Construction Bank Corp., Class H			2,093,000		1,526,071
Commercial International Bank Egypt SAE			147,027		578,673
Erste Group Bank AG^(e)			28,854		645,846
Grupo Financiero Banorte SAB de CV, Class O			227,226		813,848
Industrial & Commercial Bank of China Ltd., Class H			1,950,000		1,142,586
Sberbank of Russia PJSC, ADR			132,053		1,566,981

					9,310,537

Biotechnology — 0.1%
Walvax Biotechnology Co. Ltd., Class A			110,000		1,272,513


Building Products — 0.1%
Beijing New Building Materials plc, Class A			278,553		1,227,943


Commercial Services & Supplies — 0.1%
S-1 Corp.			14,335		1,088,953


Construction Materials — 0.1%
Anhui Conch Cement Co. Ltd., Class H			203,000		1,535,116


Consumer Finance — 0.1%
Shriram Transport Finance Co. Ltd.			73,106		673,238


Diversified Telecommunication Services — 0.2%
Cellnex Telecom SA^(b)			12,571		791,148
Hellenic Telecommunications Organization SA			84,654		1,245,559
Infrastrutture Wireless Italiane SpA^(b)			24,274		244,942

					2,281,649

Electric Utilities — 0.9%
American Electric Power Co., Inc.			15,839		1,376,092
AusNet Services			411,333		525,565
Duke Energy Corp.			13,253		1,123,059
Edison International			3,489		194,233
Emera, Inc.			5,684		236,577
Evergy, Inc.			8,295		537,765
Eversource Energy			11,197		1,008,514


Security	Shares		Value

Electric Utilities (continued)
FirstEnergy Corp.		24,049	$	697,421
HK Electric Investments & HK Electric Investments Ltd.^(f)		234,500		242,682
NextEra Energy, Inc.		10,163		2,852,754
PG&E Corp.^(e)		12,634		118,128
Xcel Energy, Inc.		19,948		1,377,210


			10,290,000

Electronic Equipment, Instruments & Components — 0.2%
Hon Hai Precision Industry Co. Ltd.		531,000		1,419,166
Samsung SDI Co. Ltd.		3,554		1,189,814
Unimicron Technology Corp.		104,000		228,473


			2,837,453

Equity Real Estate Investment Trusts (REITs) — 5.6%
Alexandria Real Estate Equities, Inc.		20,310		3,606,040
Allied Properties REIT		43,230		1,294,528
American Tower Corp.		4,413		1,153,514
Assura plc		2,994,167		3,087,123
AvalonBay Communities, Inc.		14,280		2,186,554
Boston Properties, Inc.		19,982		1,780,196
Comforia Residential REIT, Inc.		226		707,870
Community Healthcare Trust, Inc.		11,040		504,859
Cousins Properties, Inc.		83,791		2,574,060
Cromwell European REIT		2,910,916		1,482,220
Crown Castle International Corp.		23,271		3,879,276
CyrusOne, Inc.		25,781		2,150,651
Dexus		543,841		3,301,320
Digital Realty Trust, Inc.		2,208		354,472
EPR Properties		48,953		1,401,524
Equinix, Inc.		4,812		3,779,730
Goodman Group		246,839		3,001,217
Hudson Pacific Properties, Inc.		49,159		1,158,678
Kenedix Office Investment Corp.		551		2,998,370
Link REIT		146,400		1,135,929
LondonMetric Property plc		403,620		1,219,332
MCUBS MidCity Investment Corp.		2,158		1,406,137
Nippon Prologis REIT, Inc.		429		1,480,905
NorthWest Healthcare Properties REIT		74,679		627,227
Omega Healthcare Investors, Inc.		39,762		1,287,494
Prologis, Inc.		35,745		3,768,238
SBA Communications Corp.		4,341		1,352,395
Secure Income REIT plc		235,094		811,594
Segro plc		173,563		2,198,044
Spirit Realty Capital, Inc.		61,606		2,122,943
STAG Industrial, Inc.		36,705		1,196,583
Sun Communities, Inc.		17,693		2,652,711
Target Healthcare REIT plc		888,244		1,295,260
VEREIT, Inc.		175,276		1,141,047
VICI Properties, Inc.		90,255		1,959,436


			66,057,477

Food & Staples Retailing — 0.2%
Wal-Mart de Mexico SAB de CV		379,553		893,327
X5 Retail Group NV, GDR		24,459		917,945


			1,811,272

Food Products — 0.1%
China Mengniu Dairy Co. Ltd.^(e)		247,000		1,159,040


Gas Utilities — 0.3%
Atmos Energy Corp.		5,804		615,166
ENN Energy Holdings Ltd.		120,300		1,458,247
Snam SpA		112,436		598,548
Tokyo Gas Co. Ltd.		27,000		573,267


			3,245,228


Security	Shares		Value

Health Care Equipment & Supplies — 0.1%
Lepu Medical Technology Beijing Co. Ltd., Class A		155,727	$	956,465


Health Care Providers & Services — 0.0%
Mediclinic International plc		82,651		292,966


Hotels, Restaurants & Leisure — 0.2%
SJM Holdings Ltd.		1,077,000		1,215,245
Yum China Holdings, Inc.		18,242		934,720


			2,149,965

Household Durables — 0.1%
Haier Electronics Group Co. Ltd.		417,000		1,450,097


Independent Power and Renewable Electricity Producers — 0.1%
China Yangtze Power Co. Ltd., Class A		292,366		768,334


Insurance — 0.3%
BB Seguridade Participacoes SA		143,986		768,709
China Life Insurance Co. Ltd., Class H		521,000		1,195,129
Ping An Insurance Group Co. of China Ltd., Class H		140,000		1,477,172
Prudential plc		42,233		603,542


			4,044,552

Interactive Media & Services — 0.4%
Tencent Holdings Ltd.		73,000		5,007,670


IT Services — 0.1%
Infosys Ltd.		43,892		564,370
Infosys Ltd., ADR		81,510		1,047,403


			1,611,773

Machinery — 0.1%
Han’s Laser Technology Industry Group Co. Ltd., Class A		138,900		794,555


Media — 0.0%
Eutelsat Communications SA		3,449		34,879
SES SA, FDR		6,657		47,089


			81,968

Metals & Mining — 0.2%
Vale SA^(e)		137,125		1,600,061
Vale SA, ADR		19,875		231,345


			1,831,406

Multi-Utilities — 0.7%
Ameren Corp.		13,633		1,093,912
CMS Energy Corp.		13,382		858,857
Dominion Energy, Inc.		24,805		2,009,949
National Grid plc		109,748		1,287,551
Public Service Enterprise Group, Inc.		15,760		881,614
Sempra Energy		12,603		1,568,569
WEC Energy Group, Inc.		4,172		397,425


			8,097,877

Oil, Gas & Consumable Fuels — 0.7%
Cheniere Energy, Inc.^(e)		12,721		629,435
CNOOC Ltd.		315,000		332,483
CNOOC Ltd., ADR		9,142		965,852
Gibson Energy, Inc.		19,551		321,994
Kinder Morgan, Inc.		46,496		655,594
Pembina Pipeline Corp.		13,757		334,309
Petroleo Brasileiro SA^(e)		292,317		1,272,588
Petroleo Brasileiro SA, ADR^(e)		46,879		406,441
Petronet LNG Ltd.		419,998		1,389,977
Plains GP Holdings LP, Class A		42,088		334,179
Qatar Gas Transport Co. Ltd.		1,120,574		859,404


Security	Shares		Value

Oil, Gas & Consumable Fuels (continued)
TC Energy Corp.		26,280	$	1,197,800


			8,700,056

Real Estate Management & Development — 1.2%
Aroundtown SA		305,125		1,837,334
China Vanke Co. Ltd., Class H		330,700		1,042,506
CK Asset Holdings Ltd.		340,500		1,890,685
Entra ASA^(b)		122,123		1,723,999
ESR Cayman Ltd.^(b)(e)		767,000		1,891,438
Hang Lung Properties Ltd.		345,000		846,409
Hongkong Land Holdings Ltd.		291,700		1,111,143
Land & Houses PCL, NVDR		690,200		164,235
Vonovia SE		56,762		3,668,859


			14,176,608

Road & Rail — 0.2%
Canadian National Railway Co.		10,350		1,011,007
East Japan Railway Co.		10,200		587,976
Kansas City Southern		2,301		395,427
Union Pacific Corp.		2,702		468,392


			2,462,802

Semiconductors & Semiconductor Equipment — 0.6%
Taiwan Semiconductor Manufacturing Co. Ltd.		296,000		4,307,867
Win Semiconductors Corp.		95,000		1,024,451
Xinyi Solar Holdings Ltd.		1,080,000		1,185,284


			6,517,602

Specialty Retail — 0.1%^(b)
Topsports International Holdings Ltd.		856,000		1,030,849
Vivo Energy plc		259,400		249,912


			1,280,761

Technology Hardware, Storage & Peripherals — 0.1%
Wiwynn Corp.		39,000		1,045,626


Thrifts & Mortgage Finance — 0.1%
Housing Development Finance Corp. Ltd.		54,855		1,304,588


Trading Companies & Distributors — 0.0%
BOC Aviation Ltd.^(b)		92,900		537,748


Transportation Infrastructure — 1.1%
Aena SME SA^(b)		14,345		1,870,375
Atlantia SpA		70,674		1,132,279
Atlas Arteria Ltd.		261,337		1,221,445
Auckland International Airport Ltd.		213,190		908,795
Flughafen Zurich AG (Registered)^(e)		6,397		811,004
Getlink SE^(e)		42,808		644,066
Grupo Aeroportuario del Pacifico SAB de CV, Class B		127,614		859,954
Hamburger Hafen und Logistik AG		17,306		298,894
Jiangsu Expressway Co. Ltd., Class H		1,264,000		1,355,805
Macquarie Infrastructure Corp.		6,036		180,838
Sydney Airport^(f)		297,622		1,114,695
Transurban Group^(f)		297,179		2,939,548


			13,337,698

Water Utilities — 0.1%
American Water Works Co., Inc.		9,430		1,388,756


Wireless Telecommunication Services — 0.3%
Bharti Airtel Ltd.^(e)		124,268		920,393
China Mobile Ltd.		209,500		1,430,076
Mobile TeleSystems PJSC		146,703		646,208


Security	Shares		Value

Wireless Telecommunication Services (continued)
Mobile TeleSystems PJSC, ADR		99,914	$	885,238


			3,881,915

Total Common Stocks — 16.0% (Cost: $185,282,427)				188,935,934


	Par (000)

Corporate Bonds — 28.6%

Aerospace & Defense — 0.5%^(b)
Bombardier, Inc.:
8.75%, 12/01/21		314		314,000
5.75%, 03/15/22		116		110,200
6.13%, 01/15/23		64		55,040
7.50%, 12/01/24		205		166,050
7.50%, 03/15/25		27		21,803
7.88%, 04/15/27		827		657,465
F-Brasile SpA, Series XR, 7.38%, 08/15/26		200		160,560
Kratos Defense & Security Solutions, Inc.,
6.50%, 11/30/25		284		299,620
SSL Robotics LLC, 9.75%, 12/31/23		108		119,912
TransDigm, Inc.:
8.00%, 12/15/25		765		830,025
6.25%, 03/15/26		3,085		3,254,675


			5,989,350

Air Freight & Logistics — 0.0%
XPO Logistics, Inc., 6.25%, 05/01/25^(b)		67		72,444


Airlines — 0.1%^(b)
American Airlines, Inc., 11.75%, 07/15/25		369		321,602
Avianca Holdings SA, 9.00%, 05/10/23^(e)(g)		400		76,000
Delta Air Lines, Inc., 7.00%, 05/01/25		166		177,274
Latam Finance Ltd., 6.88%, 04/11/24^(e)(g)		689		235,121
Mileage Plus Holdings LLC, 6.50%, 06/20/27		865		895,275


			1,705,272

Auto Components — 0.4%
Adient US LLC, 9.00%, 04/15/25^(b)		101		112,236
Allison Transmission, Inc.^(b):
5.00%, 10/01/24		36		36,693
5.88%, 06/01/29		84		92,801
Clarios Global LP^(b):
6.75%, 05/15/25		322		346,247
6.25%, 05/15/26		895		957,757
8.50%, 05/15/27		1,115		1,171,865
Dealer Tire LLC, 8.00%, 02/01/28^(b)		156		153,270
Goodyear Tire & Rubber Co. (The), 9.50%, 05/31/25		121		136,502
Icahn Enterprises LP:
4.75%, 09/15/24		30		30,600
6.25%, 05/15/26		588		621,381
5.25%, 05/15/27		531		546,930


			4,206,282

Automobiles — 0.1%
Ford Motor Co.:
8.50%, 04/21/23		392		435,120
4.75%, 01/15/43		41		37,515
5.29%, 12/08/46		100		95,030
General Motors Co., 6.13%, 10/01/25		77		90,003
Tesla, Inc., 5.30%, 08/15/25^(b)		414		428,490
Winnebago Industries, Inc., 6.25%, 07/15/28^(b)		90		95,175


			1,181,333


Security		Par (000)		Value

Banks — 4.7%
Australia & New Zealand Banking Group Ltd., (USD Swap Rate 5 Year + 5.17%), 6.75%^(b)(d)^(h)	USD		2,545	$	2,845,615
Banco Bilbao Vizcaya Argentaria SA, (USD Swap Semi 5 Year + 3.87%), 6.13%^(d)(h)			1,400		1,260,000
Banco Mercantil del Norte SA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 6.75%^(b)(d)(h)			400		380,750
Bancolombia SA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.94%), 4.62%, 12/18/29^(d)			458		434,384
Banistmo SA, 3.65%, 09/19/22			400		402,500
Bank Leumi Le-Israel BM, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.63%), 3.27%, 01/29/31^(b)(d)			340		335,750
Bank of East Asia Ltd. (The), (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.26%), 5.87%^(d)(h)			575		562,063
Barclays plc^(d)(h):
(USD Swap Semi 5 Year + 6.77%), 7.88%			3,079		3,157,330
(USD Swap Semi 5 Year + 4.84%), 7.75%			625		636,719
BBVA Bancomer SA, 6.75%, 09/30/22^(b)			373		402,747
BNP Paribas SA, (USD Swap Semi 5 Year + 6.31%), 7.63%^(b)(d)(h)			2,754		2,816,653
Burgan Bank SAK, (USD Swap Semi 5 Year + 4.01%), 5.75%^(d)(h)			400		388,000
Chong Hing Bank Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 5.70%^(d)(h)			250		248,047
Citigroup, Inc., Series U, (SOFR + 3.81%), 5.00%^(d)(h)			2,575		2,581,437
Credit Agricole SA^(b)(d)(h):
(USD Swap Semi 5 Year + 4.90%), 7.88%			350		384,062
(USD Swap Semi 5 Year + 6.19%), 8.12%			3,325		3,873,625
Danske Bank A/S, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 4.13%), 7.00%^(d)(h)			3,630		3,816,038
Emirates NBD Bank PJSC, (USD Swap Semi 6 Year + 3.66%), 6.13%^(d)(h)			700		696,719
HSBC Holdings plc^(d)(h):
(USD Swap Rate 5 Year + 5.51%), 6.87%			581		592,314
(USD Swap Rate 5 Year + 4.37%), 6.37%			500		501,560
(USD Swap Rate 5 Year + 3.75%), 6.00%			487		481,887
ING Groep NV, (USD Swap Rate 5 Year + 4.20%), 6.75%^(d)(h)			925		962,294
Itau Unibanco Holding SA, 5.13%, 05/13/23^(b)			412		435,819
JPMorgan Chase & Co., Series W, (LIBOR USD 3 Month + 1.00%), 1.39%, 05/15/47^(d)			2,042		1,478,285
Lloyds Banking Group plc^(d)(h):
(USD Swap Semi 5 Year + 4.50%), 7.50%			380		403,750
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.82%), 6.75%			485		500,762
Macquarie Bank Ltd., (USD Swap Semi 5 Year + 3.70%), 6.13%^(b)(d)(h)			3,679		3,688,197
Macquarie Group Ltd., (USD Swap Semi 5 Year + 3.70%), 6.13%^(d)(h)			200		200,500
Nanyang Commercial Bank Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.21%), 5.00%^(d)(h)			600		591,188
Natwest Group plc^(d)(h):
(USD Swap Semi 5 Year + 7.60%), 8.62%			2,161		2,257,791
(USD Swap Semi 5 Year + 5.72%), 8.00%			1,500		1,691,250
Nordea Bank Abp, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%^(b)(d)(h)			3,425		3,711,844


Security		Par (000)		Value

Banks (continued)
Shinhan Financial Group Co. Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.05%), 5.87%^(d)(h)	USD		200	$	212,250
Societe Generale SA, (USD Swap Rate 5 Year + 5.87%), 8.00%^(b)(d)(h)			1,775		1,992,438
Standard Chartered plc, (USD Swap Semi 5 Year + 6.30%), 7.50%^(b)(d)(h)			3,110		3,218,539
TMB Bank PCL, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.26%), 4.90%^(d)(h)			200		186,250
Truist Financial Corp., Series L, (LIBOR USD 3 Month + 3.10%), 5.05%^(d)(h)			2,130		1,967,447
UniCredit SpA, (USD Swap Semi 5 Year + 5.18%), 8.00%^(d)(h)			3,040		3,161,600
Wachovia Capital Trust II, (LIBOR USD 3 Month + 0.50%), 0.78%, 01/15/27^(d)			115		102,925
Westpac Banking Corp., (USD Swap Rate 5 Year + 2.89%), 5.00%^(d)(h)			1,640		1,640,885

					55,202,214

Beverages — 0.0%
Central American Bottling Corp.^(b):
5.75%, 01/31/27			335		347,772
5.75%, 01/31/27			150		157,125

					504,897

Building Products — 0.1%^(b)
Advanced Drainage Systems, Inc., 5.00%, 09/30/27			187		192,610
Builders FirstSource, Inc., 6.75%, 06/01/27			48		52,800
Forterra Finance LLC, 6.50%, 07/15/25			214		226,840
James Hardie International Finance DAC, 5.00%, 01/15/28			200		213,000
JELD-WEN, Inc.:
6.25%, 05/15/25			99		105,930
4.63%, 12/15/25			40		40,400
4.88%, 12/15/27			12		12,210
Summit Materials LLC, 5.25%, 01/15/29			128		132,800

					976,590

Capital Markets — 1.3%^(d)(h)
Credit Suisse Group AG^(b):
(USD Swap Semi 5 Year + 4.60%), 7.50%			875		959,219
(USD Swap Semi 5 Year + 3.46%), 6.25%			3,453		3,677,445
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.82%), 6.37%			600		631,878
Deutsche Bank AG, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.52%), 6.00%			800		696,240
Goldman Sachs Group, Inc. (The):
Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.62%), 5.50%			1,655		1,774,345
Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%			1,445		1,449,440
UBS Group AG:
(USD Swap Semi 5 Year + 5.50%), 6.87%			2,200		2,233,000
(USD Swap Semi 5 Year + 4.34%), 7.00%^(b)			575		610,138
(USD Swap Semi 5 Year + 4.87%), 7.00%			1,627		1,814,105
(USD Swap Semi 5 Year + 4.59%), 6.87%			1,115		1,198,634

					15,044,444

Chemicals — 0.6%
Atotech Alpha 2 BV, 8.75%, (8.75% Cash or 9.50% PIK), 06/01/23^(b)(i)			650		656,500
Atotech Alpha 3 BV, 6.25%, 02/01/25^(b)			674		693,377
Blue Cube Spinco LLC, 10.00%, 10/15/25			454		484,645


Security		Par (000)		Value

Chemicals (continued)
Braskem Netherlands Finance BV, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 8.22%), 8.50%, 01/23/81^(b)(d)	USD		495	$	502,425
Chemours Co. (The), 6.63%, 05/15/23			145		145,000
Element Solutions, Inc., 5.88%, 12/01/25^(b)			1,358		1,402,135
Equate Petrochemical BV, 4.25%, 11/03/26^(b)			441		473,386
Gates Global LLC, 6.25%, 01/15/26^(b)			252		263,970
GCP Applied Technologies, Inc., 5.50%, 04/15/26^(b)			151		154,020
Illuminate Buyer LLC, 9.00%, 07/01/28^(b)			176		188,760
Minerals Technologies, Inc., 5.00%, 07/01/28^(b)			110		114,158
Pearl Holding III Ltd., 9.50%, 12/11/22			200		52,907
PQ Corp., 5.75%, 12/15/25^(b)			1,077		1,109,310
Rock International Investment, Inc., 6.63%, 03/27/20^(e)(g)			200		72,109
Valvoline, Inc., 4.25%, 02/15/30^(b)			158		166,098
Yingde Gases Investment Ltd., 6.25%, 01/19/23^(b)			200		206,000

					6,684,800

Commercial Services & Supplies — 0.6%
ADT Security Corp. (The), 4.88%, 07/15/32^(b)			627		630,135
Allied Universal Holdco LLC^(b):
6.63%, 07/15/26			1,839		1,967,730
9.75%, 07/15/27			634		704,703
APX Group, Inc.:
8.50%, 11/01/24			62		63,860
6.75%, 02/15/27^(b)			196		195,412
Aramark Services, Inc.^(b):
6.38%, 05/01/25			164		173,020
5.00%, 02/01/28			69		69,431
Brink’s Co. (The), 5.50%, 07/15/25^(b)			60		63,750
Garda World Security Corp., 9.50%, 11/01/27^(b)			256		279,040
GFL Environmental, Inc.^(b):
7.00%, 06/01/26			613		649,780
5.13%, 12/15/26			206		218,719
8.50%, 05/01/27			201		225,180
IAA, Inc., 5.50%, 06/15/27^(b)			359		382,784
KAR Auction Services, Inc., 5.13%, 06/01/25^(b)			261		262,305
Prime Security Services Borrower LLC^(b):
5.75%, 04/15/26			269		298,590
6.25%, 01/15/28			500		521,250
Tuspark Forward Ltd., 7.95%, 08/15/21			400		247,250
Waste Pro USA, Inc., 5.50%, 02/15/26^(b)			318		322,770

					7,275,709

Communications Equipment — 0.1%
CommScope Technologies LLC, 6.00%, 06/15/25^(b)			319		325,922
CommScope, Inc.^(b):
5.50%, 03/01/24			52		54,003
6.00%, 03/01/26			871		929,244
8.25%, 03/01/27			20		21,568
Nokia OYJ, 6.63%, 05/15/39			98		124,950
ViaSat, Inc., 6.50%, 07/15/28^(b)			206		211,603

					1,667,290

Construction & Engineering — 0.2%
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29^(b)			405		354,374
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34^(j)			372		267,221
Brand Industrial Services, Inc., 8.50%, 07/15/25^(b)			453		419,025
Delhi International Airport Ltd.:
6.45%, 06/04/29^(b)			200		196,437
6.45%, 06/04/29			200		196,438


Security		Par (000)		Value

Construction & Engineering (continued)
MasTec, Inc., 4.50%, 08/15/28^(b)	USD		129	$	134,805
New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/28^(b)			42		43,995
Stoneway Capital Corp.^(e)(g):
10.00%, 03/01/27^(b)			752		257,042
10.00%, 03/01/27			267		91,131
Zhejiang Baron BVI Co. Ltd., 6.80%, 08/27/21			200		199,500

					2,159,968

Consumer Finance — 0.5%
Ally Financial, Inc., 8.00%, 11/01/31			467		645,893
ASG Finance Designated Activity Co., 7.88%, 12/03/24^(b)			534		357,446
Credito Real SAB de CV SOFOM ER:
7.25%, 07/20/23^(b)			200		191,000
7.25%, 07/20/23			200		191,000
Ford Motor Credit Co. LLC:
5.88%, 08/02/21			200		205,250
2.98%, 08/03/22			506		507,159
3.35%, 11/01/22			207		208,294
3.81%, 01/09/24			200		201,560
5.13%, 06/16/25			319		340,076
4.13%, 08/04/25			218		223,428
General Motors Financial Co., Inc.:
2.75%, 06/20/25			107		110,401
Series B, (LIBOR USD 3 Month + 3.44%), 6.50%^(d)(h)			913		862,210
Global Aircraft Leasing Co. Ltd., 6.50%, (6.50% Cash or 7.25% PIK), 09/15/24^(b)(i)			215		133,837
King Talent Management Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.52%), 5.60%^(d)(h)			200		172,188
Manappuram Finance Ltd., 5.90%, 01/13/23			200		197,500
Muthoot Finance Ltd., 6.13%, 10/31/22^(b)			466		476,631
Navient Corp.:
6.13%, 03/25/24			66		68,310
6.75%, 06/15/26			329		342,160
5.00%, 03/15/27			35		33,512
New Lion Bridge Co. Ltd., 9.75%, 10/10/20			200		196,500
OneMain Finance Corp.:
6.88%, 03/15/25			135		150,863
8.88%, 06/01/25			42		47,355
7.13%, 03/15/26			10		11,723
6.63%, 01/15/28			213		244,087
5.38%, 11/15/29			50		52,755

					6,171,138

Containers & Packaging — 0.3%
ARD Finance SA, 6.50%, 06/30/27^(b)			636		650,310
Ardagh Packaging Finance plc, 5.25%, 08/15/27^(b)			407		426,036
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26			16		18,880
GPC Merger Sub, Inc., 7.13%, 08/15/28^(b)			71		73,840
Intertape Polymer Group, Inc., 7.00%, 10/15/26^(b)			127		132,556
LABL Escrow Issuer LLC, 6.75%, 07/15/26^(b)			502		542,160
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24^(b)			323		329,324
Reynolds Group Issuer, Inc., 7.00%, 07/15/24^(b)			188		191,525
Trivium Packaging Finance BV^(b)(k):
5.50%, 08/15/26			489		520,932
8.50%, 08/15/27			778		851,910

					3,737,473

Distributors — 0.2%^(b)
American Builders & Contractors Supply Co., Inc.:
5.88%, 05/15/26			57		60,277


Security		Par (000)		Value

Distributors (continued)
4.00%, 01/15/28	USD		82	$	85,280
Core & Main LP, 6.13%, 08/15/25			1,520		1,565,722
Wolverine Escrow LLC:
8.50%, 11/15/24			130		94,250
9.00%, 11/15/26			323		234,175

					2,039,704

Diversified Consumer Services — 0.1%
Bright Scholar Education Holdings Ltd., 7.45%, 07/31/22			260		265,850
frontdoor, Inc., 6.75%, 08/15/26^(b)			349		376,484
Laureate Education, Inc., 8.25%, 05/01/25^(b)			89		95,230
ServiceMaster Co. LLC (The), 5.13%, 11/15/24^(b)			97		99,910
Sotheby’s, 7.38%, 10/15/27^(b)			600		606,000

					1,443,474

Diversified Financial Services — 0.5%^(b)
Fairstone Financial, Inc., 7.88%, 07/15/24			154		155,540
MPH Acquisition Holdings LLC, 7.13%, 06/01/24			1,188		1,219,185
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25			275		240,109
Refinitiv US Holdings, Inc.:
6.25%, 05/15/26			702		759,038
8.25%, 11/15/26			931		1,027,591
Verscend Escrow Corp., 9.75%, 08/15/26			2,231		2,470,364

					5,871,827

Diversified Telecommunication Services — 1.3%
Altice France Holding SA^(b):
10.50%, 05/15/27			1,214		1,388,513
6.00%, 02/15/28			418		417,494
Altice France SA^(b):
7.38%, 05/01/26			200		213,330
8.13%, 02/01/27			1,212		1,352,956
5.50%, 01/15/28			200		210,250
CCO Holdings LLC^(b):
5.13%, 05/01/27			241		255,686
4.75%, 03/01/30			355		377,853
4.50%, 08/15/30			583		617,922
4.25%, 02/01/31			455		474,801
4.50%, 05/01/32			689		726,895
CenturyLink, Inc.:
5.13%, 12/15/26^(b)			851		890,903
Series P, 7.60%, 09/15/39			164		188,138
Series U, 7.65%, 03/15/42			647		737,580
Cincinnati Bell, Inc., 7.00%, 07/15/24^(b)			616		637,363
Frontier Communications Corp., 8.00%, 04/01/27^(b)(k)			1,108		1,146,780
Intelsat Jackson Holdings SA, 8.00%, 02/15/24^(b)(k)			280		285,950
Level 3 Financing, Inc., 4.63%, 09/15/27^(b)			136		142,970
Network i2i Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.27%), 5.65%^(d)(h)			200		197,125
Oi SA, 10.00%, (10.00% Cash or 4.00% PIK), 07/27/25⁽ⁱ⁾			569		544,106
Qualitytech LP, 4.75%, 11/15/25^(b)			253		261,855
Sprint Capital Corp.:
6.88%, 11/15/28			291		377,340
8.75%, 03/15/32			517		797,472
Telecom Italia Capital SA:
6.00%, 09/30/34			541		655,676
7.20%, 07/18/36			21		27,584
7.72%, 06/04/38			26		36,100
Telesat Canada^(b):
4.88%, 06/01/27			300		304,500


Security		Par (000)		Value

Diversified Telecommunication Services (continued)
6.50%, 10/15/27	USD		10	$	10,278
Virgin Media Secured Finance plc, 5.50%, 05/15/29^(b)			301		328,090
Zayo Group Holdings, Inc.^(b):
4.00%, 03/01/27			804		805,777
6.13%, 03/01/28			965		996,362

					15,407,649

Electric Utilities — 0.4%
Duke Energy Corp., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.39%), 4.88%^(d)(h)			2,000		2,065,000
Energuate Trust, 5.88%, 05/03/27^(b)			400		404,375
Genneia SA, 8.75%, 01/20/22^(b)			519		448,935
Greenko Investment Co., 4.88%, 08/16/23			200		199,125
Huachen Energy Co. Ltd., 6.63%, 05/18/20^(e)(g)			200		64,125
Inkia Energy Ltd.:
5.88%, 11/09/27^(b)			200		203,375
5.88%, 11/09/27			258		262,354
Pattern Energy Operations LP, 4.50%, 08/15/28^(b)			374		396,440
PG&E Corp., 5.25%, 07/01/30			237		246,480
Southern Co. (The), Series B, (LIBOR USD 3 Month + 3.63%), 5.50%, 03/15/57^(d)			175		179,894
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33			317		339,771

					4,809,874

Electronic Equipment, Instruments & Components — 0.0%
CDW LLC, 4.13%, 05/01/25			90		95,148
Itron, Inc., 5.00%, 01/15/26^(b)			68		70,244

					165,392

Energy Equipment & Services — 0.2%
Anton Oilfield Services Group, 7.50%, 12/02/22			245		154,886
Archrock Partners LP^(b):
6.88%, 04/01/27			402		411,431
6.25%, 04/01/28			64		64,640
ChampionX Corp., 6.38%, 05/01/26			160		150,000
Hilong Holding Ltd., 8.25%, 09/26/22^(e)(g)			200		81,250
Nabors Industries Ltd.^(b):
7.25%, 01/15/26			73		45,990
7.50%, 01/15/28			61		38,753
Transocean, Inc.:
8.37%, 12/15/21^(k)			10		6,800
8.00%, 02/01/27^(b)			197		96,097
USA Compression Partners LP:
6.88%, 04/01/26			715		732,875
6.88%, 09/01/27			959		980,376

					2,763,098

Entertainment — 0.2%
Live Nation Entertainment, Inc., 6.50%, 05/15/27^(b)			604		649,300
Netflix, Inc.:
5.88%, 11/15/28			79		97,565
4.88%, 06/15/30^(b)			795		934,602
WMG Acquisition Corp., 3.88%, 07/15/30^(b)			105		112,350

					1,793,817

Equity Real Estate Investment Trusts (REITs) — 0.3%
Brookfield Property REIT, Inc., 5.75%, 05/15/26^(b)			28		23,522
Diversified Healthcare Trust, 9.75%, 06/15/25			135		149,006
GLP Capital LP, 4.00%, 01/15/31			48		49,812
Iron Mountain, Inc.^(b):
4.88%, 09/15/29			23		23,960
5.25%, 07/15/30			271		284,211
5.63%, 07/15/32			330		354,338


Security		Par (000)		Value

Equity Real Estate Investment Trusts (REITs) (continued)
MGM Growth Properties Operating Partnership LP:
4.63%, 06/15/25^(b)	USD		285	$	299,603
4.50%, 09/01/26			1,121		1,165,840
Service Properties Trust:
4.50%, 06/15/23			25		23,750
4.35%, 10/01/24			26		23,275
7.50%, 09/15/25			221		234,352
Uniti Group LP:
6.00%, 04/15/23^(b)			130		130,650
8.25%, 10/15/23			99		96,030
7.88%, 02/15/25^(b)			89		93,673
VICI Properties LP, 4.13%, 08/15/30^(b)			765		774,180

					3,726,202

Food & Staples Retailing — 0.1%
Albertsons Cos., Inc.:
6.63%, 06/15/24			216		224,770
7.50%, 03/15/26^(b)			58		65,250
5.88%, 02/15/28^(b)			367		401,865
4.88%, 02/15/30^(b)			191		206,853
US Foods, Inc., 6.25%, 04/15/25^(b)			64		68,640

					967,378

Food Products — 0.5%
BRF SA, 4.88%, 01/24/30			496		494,921
Chobani LLC, 7.50%, 04/15/25^(b)			515		536,888
Grupo Bimbo SAB de CV, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.28%), 5.95%^(b)(d)(h)			324		337,770
Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24			272		278,800
JBS USA LUX SA^(b):
5.75%, 06/15/25			424		437,780
6.75%, 02/15/28			616		688,380
6.50%, 04/15/29			438		496,035
Kraft Heinz Foods Co.:
5.20%, 07/15/45			233		265,803
5.50%, 06/01/50^(b)			791		927,930
Lamb Weston Holdings, Inc., 4.88%, 05/15/28^(b)			175		196,656
MHP Lux SA, 6.25%, 09/19/29^(b)			600		571,500
Post Holdings, Inc., 4.63%, 04/15/30^(b)			275		289,438
Simmons Foods, Inc., 7.75%, 01/15/24^(b)			125		131,406

					5,653,307

Gas Utilities — 0.0%
Ferrellgas LP, 10.00%, 04/15/25^(b)			311		341,711


Health Care Equipment & Supplies — 0.2%^(b)
Avantor Funding, Inc., 4.63%, 07/15/28			654		690,951
Ortho-Clinical Diagnostics, Inc.:
7.38%, 06/01/25			370		394,050
7.25%, 02/01/28			1,110		1,161,338

					2,246,339

Health Care Providers & Services — 0.7%
Acadia Healthcare Co., Inc.:
5.63%, 02/15/23			50		50,786
5.50%, 07/01/28^(b)			132		139,095
AdaptHealth LLC, 6.13%, 08/01/28^(b)			94		97,962
AHP Health Partners, Inc., 9.75%, 07/15/26^(b)			551		585,437
Centene Corp.:
4.25%, 12/15/27			105		111,563
4.63%, 12/15/29			777		866,557
Community Health Systems, Inc.^(b):
8.63%, 01/15/24			116		119,480
6.63%, 02/15/25			570		575,871
8.00%, 03/15/26			1,192		1,220,930


Security		Par (000)		Value

Health Care Providers & Services (continued)
Encompass Health Corp.:
4.50%, 02/01/28	USD		23	$	24,035
4.75%, 02/01/30			31		32,755
LifePoint Health, Inc.^(b):
6.75%, 04/15/25			129		138,997
4.38%, 02/15/27			102		104,235
MEDNAX, Inc., 6.25%, 01/15/27^(b)			268		283,410
Molina Healthcare, Inc., 4.88%, 06/15/25^(b)			73		74,643
Polaris Intermediate Corp., 8.50%, (8.50% Cash or 9.25% PIK), 12/01/22^(b)(i)			327		333,207
Surgery Center Holdings, Inc.^(b):
6.75%, 07/01/25			1,223		1,183,253
10.00%, 04/15/27			161		170,708
Tenet Healthcare Corp.:
8.13%, 04/01/22			717		772,567
7.50%, 04/01/25^(b)			92		101,775
4.88%, 01/01/26^(b)			535		559,589
6.25%, 02/01/27^(b)			231		245,370
5.13%, 11/01/27^(b)			492		522,135
4.63%, 06/15/28^(b)			88		92,550
Vizient, Inc., 6.25%, 05/15/27^(b)			140		149,100
West Street Merger Sub, Inc., 6.38%, 09/01/25^(b)			218		221,270

					8,777,280

Hotels, Restaurants & Leisure — 1.2%
1011778 BC ULC^(b):
5.75%, 04/15/25			163		174,392
5.00%, 10/15/25			994		1,016,365
Boyd Gaming Corp.:
8.63%, 06/01/25^(b)			126		138,900
6.38%, 04/01/26			77		78,732
Boyne USA, Inc., 7.25%, 05/01/25^(b)			64		68,400
Carnival Corp.^(b):
11.50%, 04/01/23			278		302,325
10.50%, 02/01/26			65		67,275
Cedar Fair LP, 5.50%, 05/01/25^(b)			278		283,907
Churchill Downs, Inc.^(b):
5.50%, 04/01/27			182		190,417
4.75%, 01/15/28			542		552,840
Colt Merger Sub, Inc.^(b):
5.75%, 07/01/25			364		378,560
6.25%, 07/01/25			1,071		1,117,187
8.13%, 07/01/27			571		581,706
Fortune Star BVI Ltd.:
5.95%, 01/29/23			200		201,188
6.75%, 07/02/23			1,300		1,332,500
Golden Nugget, Inc., 6.75%, 10/15/24^(b)			1,383		957,728
Hilton Domestic Operating Co., Inc.:
5.38%, 05/01/25^(b)			51		53,321
5.75%, 05/01/28^(b)			90		96,075
4.88%, 01/15/30			607		635,832
IRB Holding Corp., 7.00%, 06/15/25^(b)			90		98,084
Las Vegas Sands Corp.:
2.90%, 06/25/25			10		9,859
3.50%, 08/18/26			19		19,061
3.90%, 08/08/29			17		17,017
Marriott International, Inc., Series EE, 5.75%, 05/01/25			53		58,874
Melco Resorts Finance Ltd., 5.63%, 07/17/27			400		407,000
MGM China Holdings Ltd., 5.88%, 05/15/26			200		210,000
NCL Corp. Ltd., 10.25%, 02/01/26^(b)			60		59,250
Powdr Corp., 6.00%, 08/01/25^(b)			116		118,610
Royal Caribbean Cruises Ltd.^(b):
10.88%, 06/01/23			75		79,058
9.13%, 06/15/23			110		112,475
11.50%, 06/01/25			155		170,806


Security	Par (000)			Value

Hotels, Restaurants & Leisure (continued)
Sabre GLBL, Inc.^(b):
5.25%, 11/15/23		USD	26	$	25,513
9.25%, 04/15/25			288		317,160
Scientific Games International, Inc.^(b):
8.63%, 07/01/25			132		132,655
5.00%, 10/15/25			574		568,977
8.25%, 03/15/26			618		618,983
7.00%, 05/15/28			92		84,640
7.25%, 11/15/29			33		30,195
SeaWorld Parks & Entertainment, Inc., 9.50%, 08/01/25^(b)			83		84,141
Six Flags Theme Parks, Inc., 7.00%, 07/01/25^(b)			507		544,168
Station Casinos LLC, 4.50%, 02/15/28^(b)			154		137,830
Studio City Co. Ltd., 7.25%, 11/30/21			200		203,250
Studio City Finance Ltd., 7.25%, 02/11/24			400		421,000
Vail Resorts, Inc., 6.25%, 05/15/25^(b)			79		85,123
Wyndham Destinations, Inc., 6.63%, 07/31/26^(b)			88		91,263
Wynn Las Vegas LLC, 5.25%, 05/15/27^(b)			155		138,035
Wynn Macau Ltd.:
5.50%, 01/15/26			251		250,335
5.50%, 10/01/27			252		250,267
Wynn Resorts Finance LLC^(b):
7.75%, 04/15/25			106		111,342
5.13%, 10/01/29			298		285,335
Yum! Brands, Inc.:
7.75%, 04/01/25^(b)			231		259,298
4.75%, 01/15/30^(b)			173		187,705
5.35%, 11/01/43			115		119,600

					14,534,559

Household Durables — 0.2%
Ashton Woods USA LLC, 6.63%, 01/15/28^(b)			30		30,225
Brookfield Residential Properties, Inc.^(b):
6.25%, 09/15/27			140		140,000
4.88%, 02/15/30			333		302,197
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25^(b)			152		162,640
Controladora Mabe SA de CV, 5.60%, 10/23/28^(b)			337		354,798
Installed Building Products, Inc., 5.75%, 02/01/28^(b)			53		55,782
K. Hovnanian Enterprises, Inc., 7.75%, 02/15/26^(b)			184		180,320
Mattamy Group Corp.^(b):
5.25%, 12/15/27			74		76,775
4.63%, 03/01/30			190		192,850
Newell Brands, Inc., 4.88%, 06/01/25			89		96,788
Picasso Finance Sub, Inc., 6.13%, 06/15/25^(b)			306		325,125
Taylor Morrison Communities, Inc., 5.13%, 08/01/30^(b)			96		104,880
Tempur Sealy International, Inc., 5.50%, 06/15/26			81		84,848
TRI Pointe Group, Inc., 5.70%, 06/15/28			37		40,700
Williams Scotsman International, Inc., 6.88%, 08/15/23^(b)			171		176,593

					2,324,521

Household Products — 0.0%^(b)
Energizer Holdings, Inc.:
6.38%, 07/15/26			46		48,990
7.75%, 01/15/27			136		150,987
4.75%, 06/15/28			127		136,220
Spectrum Brands, Inc.:
5.00%, 10/01/29			99		101,970
5.50%, 07/15/30			100		103,750

					541,917


Security	Par (000)			Value

Independent Power and Renewable Electricity Producers — 0.2%
Calpine Corp.:
5.75%, 01/15/25		USD	726	$	747,054
5.25%, 06/01/26^(b)			255		265,200
5.13%, 03/15/28^(b)			1,069		1,111,942
4.63%, 02/01/29^(b)			288		290,874
5.00%, 02/01/31^(b)			333		341,285
Clearway Energy Operating LLC, 4.75%, 03/15/28^(b)			37		39,544

					2,795,899

Insurance — 0.5%
Acrisure LLC, 8.13%, 02/15/24^(b)			25		26,562
Alliant Holdings Intermediate LLC, 6.75%, 10/15/27^(b)			1,291		1,371,687
Ambac Assurance Corp., 5.10%^(b)(h)			4		4,874
Ambac LSNI LLC, (LIBOR USD 3 Month + 5.00%), 6.00%, 02/12/23^(b)(d)			13		13,167
AmWINS Group, Inc., 7.75%, 07/01/26^(b)			135		148,669
Asahi Mutual Life Insurance Co., (USD Swap Semi 5 Year + 4.59%), 6.50%^(d)(h)			400		430,514
FWD Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.08%), 5.50%^(d)(h)			200		185,100
GTCR AP Finance, Inc., 8.00%, 05/15/27^(b)			243		256,365
Hartford Financial Services Group, Inc. (The), (LIBOR USD 3 Month + 2.13%), 2.52%, 02/12/47^(b)(d)			1,300		1,040,000
Heungkuk Life Insurance Co. Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%^(d)(h)			400		393,000
HUB International Ltd., 7.00%, 05/01/26^(b)			1,016		1,080,008
KDB Life Insurance Co. Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.66%), 7.50%^(d)(h)			200		190,250
Nationwide Financial Services, Inc., 6.75%, 05/15/37			175		201,315
NFP Corp.^(b):
7.00%, 05/15/25			48		51,960
8.00%, 07/15/25			157		163,830
6.88%, 08/15/28			356		356,445
Union Life Insurance Co. Ltd., 3.00%, 09/19/21			400		367,125
Willis North America, Inc., 2.95%, 09/15/29			15		16,455

					6,297,326

Interactive Media & Services — 0.0%^(b)
Rackspace Hosting, Inc., 8.63%, 11/15/24			230		240,350
TripAdvisor, Inc., 7.00%, 07/15/25			11		11,512

					251,862

Internet & Direct Marketing Retail — 0.1%
Expedia Group, Inc.^(b):
3.60%, 12/15/23			100		101,174
6.25%, 05/01/25			458		500,554
JD.com, Inc., 3.88%, 04/29/26			500		557,969
Match Group Holdings II LLC, 4.63%, 06/01/28^(b)			116		122,491

					1,282,188

IT Services — 0.4%
21Vianet Group, Inc., 7.88%, 10/15/21			595		603,925
Banff Merger Sub, Inc., 9.75%, 09/01/26^(b)			1,062		1,124,000
Booz Allen Hamilton, Inc., 5.13%, 05/01/25^(b)			306		312,885
Gartner, Inc., 4.50%, 07/01/28^(b)			178		186,900
HT Global IT Solutions Holdings Ltd., 7.00%, 07/14/21			200		201,563
Northwest Fiber LLC, 10.75%, 06/01/28^(b)			58		63,075
PayPal Holdings, Inc., 1.65%, 06/01/25			50		52,182
Presidio Holdings, Inc., 4.88%, 02/01/27^(b)			304		310,080


Security	Par (000)			Value

IT Services (continued)
Science Applications International Corp.,
4.88%, 04/01/28^(b)		USD	195	$	204,262
Tempo Acquisition LLC^(b):
5.75%, 06/01/25			114		119,985
6.75%, 06/01/25			1,096		1,131,620
WEX, Inc., 4.75%, 02/01/23^(b)			13		13,032

					4,323,509

Leisure Products — 0.1%
Mattel, Inc.:
6.75%, 12/31/25^(b)			304		325,605
5.88%, 12/15/27^(b)			540		586,003
6.20%, 10/01/40			18		16,650
5.45%, 11/01/41			77		68,915

					997,173

Life Sciences Tools & Services — 0.1%^(b)
Avantor, Inc., 6.00%, 10/01/24			888		934,620
Charles River Laboratories International, Inc.,
4.25%, 05/01/28			192		203,040

					1,137,660

Machinery — 0.3%
Clark Equipment Co., 5.88%, 06/01/25^(b)			162		170,302
Colfax Corp., 6.38%, 02/15/26^(b)			109		117,720
EnPro Industries, Inc., 5.75%, 10/15/26			290		300,150
Grinding Media, Inc., 7.38%, 12/15/23^(b)			230		233,737
HTA Group Ltd., 7.00%, 12/18/25^(b)			205		212,175
Husky III Holding Ltd., 13.00%, (13.00% Cash or 13.75% PIK), 02/15/25^(b)(i)			175		175,875
Navistar International Corp.^(b):
9.50%, 05/01/25			30		34,237
6.63%, 11/01/25			300		307,500
RBS Global, Inc., 4.88%, 12/15/25^(b)			185		190,091
SPX FLOW, Inc., 5.63%, 08/15/24^(b)			48		49,378
Stevens Holding Co., Inc., 6.13%, 10/01/26^(b)			89		95,230
Terex Corp., 5.63%, 02/01/25^(b)			176		178,443
Titan Acquisition Ltd., 7.75%, 04/15/26^(b)			517		510,538
Vertical US Newco, Inc., 5.25%, 07/15/27^(b)			256		271,360
Wabash National Corp., 5.50%, 10/01/25^(b)			175		170,188

					3,016,924

Media — 1.2%
Altice Financing SA^(b):
7.50%, 05/15/26			1,106		1,189,226
5.00%, 01/15/28			229		235,080
Block Communications, Inc., 4.88%, 03/01/28^(b)			78		78,780
Cable Onda SA, 4.50%, 01/30/30			600		629,231
Clear Channel International BV, 6.63%, 08/01/25^(b)			247		252,558
Clear Channel Worldwide Holdings, Inc.:
9.25%, 02/15/24			522		469,800
5.13%, 08/15/27^(b)			1,388		1,360,240
CSC Holdings LLC:
5.25%, 06/01/24			200		220,000
5.38%, 02/01/28^(b)			200		216,500
6.50%, 02/01/29^(b)			575		658,375
5.75%, 01/15/30^(b)			831		921,205
4.63%, 12/01/30^(b)			200		210,000
Diamond Sports Group LLC, 5.38%, 08/15/26^(b)			421		324,200
DISH DBS Corp.:
5.88%, 07/15/22			811		853,578
7.75%, 07/01/26			235		264,986
Dolya Holdco 18 DAC, 5.00%, 07/15/28^(b)			491		512,437
Entercom Media Corp., 6.50%, 05/01/27^(b)			187		166,898
GCI LLC, 6.63%, 06/15/24^(b)			65		68,426
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27^(b)			600		648,300


Security	Par (000)			Value

Media (continued)
Meredith Corp., 6.88%, 02/01/26		USD	39	$	33,879
Radiate Holdco LLC^(b):
6.88%, 02/15/23			23		23,345
6.63%, 02/15/25			129		132,239
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28^(b)			400		420,000
Terrier Media Buyer, Inc., 8.88%, 12/15/27^(b)			501		513,525
Univision Communications, Inc.^(b):
5.13%, 02/15/25			574		556,780
6.63%, 06/01/27			393		394,100
ViacomCBS, Inc.^(d):
(LIBOR USD 3 Month + 3.90%), 5.87%, 02/28/57			1,583		1,652,363
(LIBOR USD 3 Month + 3.90%), 6.25%, 02/28/57			192		213,120
Ziggo Bond Co. BV, 5.13%, 02/28/30^(b)			200		213,060
Ziggo BV^(b):
5.50%, 01/15/27			180		189,900
4.88%, 01/15/30			400		425,120

					14,047,251

Metals & Mining — 0.9%
ABJA Investment Co. Pte. Ltd., 5.95%, 07/31/24			200		203,813
Arconic Corp.^(b):
6.00%, 05/15/25			165		177,890
6.13%, 02/15/28			181		192,539
Big River Steel LLC, 7.25%, 09/01/25^(b)			294		296,758
China Hongqiao Group Ltd., 7.13%, 07/22/22			200		187,625
Constellium SE^(b):
6.63%, 03/01/25			250		258,125
5.88%, 02/15/26			1,210		1,246,300
5.63%, 06/15/28			250		262,250
Freeport-McMoRan, Inc., 5.45%, 03/15/43			2,392		2,661,100
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24^(b)			254		276,463
Joseph T Ryerson & Son, Inc.^(b):
11.00%, 05/15/22			229		236,167
8.50%, 08/01/28			79		86,051
Kaiser Aluminum Corp.^(b):
6.50%, 05/01/25			62		65,720
4.63%, 03/01/28			60		59,730
New Gold, Inc.^(b):
6.38%, 05/15/25			91		94,185
7.50%, 07/15/27			201		218,587
Nexa Resources SA, 5.38%, 05/04/27^(b)			643		664,705
Novelis Corp.^(b):
5.88%, 09/30/26			801		854,595
4.75%, 01/30/30			471		491,380
Press Metal Labuan Ltd., 4.80%, 10/30/22			200		186,813
United States Steel Corp., 12.00%, 06/01/25^(b)			304		316,096
Vale Overseas Ltd.:
6.25%, 08/10/26			171		205,093
3.75%, 07/08/30			260		279,102
Vedanta Resources Finance II plc, 8.00%, 04/23/23			600		424,313
Vedanta Resources Ltd.:
7.13%, 05/31/23			800		539,250

					10,484,650

Multiline Retail — 0.1%
Future Retail Ltd., 5.60%, 01/22/25			325		206,375
Macy’s, Inc., 8.38%, 06/15/25^(b)			330		344,659
Nordstrom, Inc., 8.75%, 05/15/25^(b)			60		65,712
					616,746


Security	Par (000)			Value

Multi-Utilities — 0.2%
Sempra Energy, (US Treasury Yield Curve Rate
T Note Constant Maturity 5 Year + 4.55%), 4.88%^(d)(h)		USD	1,750	$	1,811,775


Oil, Gas & Consumable Fuels — 2.5%
Adani Green Energy UP Ltd., 6.25%, 12/10/24			400		420,875
Apache Corp.:
3.25%, 04/15/22			4		4,022
5.25%, 02/01/42			15		14,306
4.75%, 04/15/43			158		150,495
4.25%, 01/15/44			86		76,989
5.35%, 07/01/49			36		34,739
Ascent Resources Utica Holdings LLC, 10.00%, 04/01/22^(b)			309		255,404
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24			200		202,500
Baytex Energy Corp., 8.75%, 04/01/27^(b)			128		66,240
BP Capital Markets plc, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%^(d)(h)			1,175		1,260,187
Buckeye Partners LP:
4.13%, 03/01/25^(b)			32		32,160
3.95%, 12/01/26			23		22,828
4.50%, 03/01/28^(b)			60		59,700
5.85%, 11/15/43			69		63,479
5.60%, 10/15/44			105		93,975
Callon Petroleum Co.:
6.25%, 04/15/23			73		23,725
6.13%, 10/01/24			129		39,667
8.25%, 07/15/25			265		79,500
6.38%, 07/01/26			66		20,460
Cenovus Energy, Inc.:
3.00%, 08/15/22			52		52,516
3.80%, 09/15/23			29		29,077
5.38%, 07/15/25			400		400,069
5.40%, 06/15/47			22		19,809
Centennial Resource Production LLC, 6.88%, 04/01/27^(b)			170		76,925
Cheniere Energy Partners LP, 5.63%, 10/01/26			215		227,094
Citgo Holding, Inc., 9.25%, 08/01/24^(b)			157		157,000
CITGO Petroleum Corp., 7.00%, 06/15/25^(b)			171		176,267
CNX Resources Corp.:
5.88%, 04/15/22			374		370,260
7.25%, 03/14/27^(b)			25		24,499
Comstock Resources, Inc.:
7.50%, 05/15/25^(b)			288		270,720
9.75%, 08/15/26			281		280,948
Continental Resources, Inc.:
5.00%, 09/15/22			83		83,000
4.90%, 06/01/44			179		154,164
Crestwood Midstream Partners LP, 5.63%, 05/01/27^(b)			179		167,365
CrownRock LP, 5.63%, 10/15/25^(b)			697		683,060
CVR Energy, Inc.^(b):
5.25%, 02/15/25			140		127,750
5.75%, 02/15/28			46		41,184
DCP Midstream Operating LP:
5.63%, 07/15/27			131		135,912
6.75%, 09/15/37^(b)			230		223,100
Diamondback Energy, Inc., 3.50%, 12/01/29			88		88,126
Enbridge, Inc.^(d):
Series 16-A, (LIBOR USD 3 Month + 3.89%), 6.00%, 01/15/77			1,825		1,802,187
(LIBOR USD 3 Month + 3.64%), 6.25%, 03/01/78			1,740		1,722,600


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
Series 20-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 5.75%, 07/15/80		USD	980	$	999,074
Endeavor Energy Resources LP^(b):
6.63%, 07/15/25			108		113,468
5.50%, 01/30/26			100		100,500
5.75%, 01/30/28			308		316,085
EnLink Midstream Partners LP:
4.85%, 07/15/26			17		13,177
5.60%, 04/01/44			64		35,520
5.05%, 04/01/45			14		7,560
Enterprise Products Operating LLC, Series E, (LIBOR USD 3 Month + 3.03%), 5.25%, 08/16/77^(d)			742		695,625
EQM Midstream Partners LP:
6.00%, 07/01/25^(b)			209		221,678
4.13%, 12/01/26			16		15,560
6.50%, 07/01/27^(b)			232		255,803
EQT Corp.:
3.90%, 10/01/27			73		68,788
7.00%, 02/01/30^(k)			65		75,257
Extraction Oil & Gas, Inc.^(b)(e)(g):
7.38%, 05/15/24			252		55,440
5.63%, 02/01/26			56		11,760
Genesis Energy LP:
6.00%, 05/15/23			48		45,120
5.63%, 06/15/24			60		55,425
6.50%, 10/01/25			10		9,263
7.75%, 02/01/28			49		47,256
Greenko Dutch BV, 5.25%, 07/24/24			200		204,125
Greenko Solar Mauritius Ltd.:
5.55%, 01/29/25			200		202,000
5.95%, 07/29/26			200		202,813
Hess Midstream Operations LP, 5.13%, 06/15/28^(b)			75		75,937
Holly Energy Partners LP, 5.00%, 02/01/28^(b)			91		89,918
HPCL-Mittal Energy Ltd.:
5.45%, 10/22/26			200		197,375
5.25%, 04/28/27			400		389,125
Indigo Natural Resources LLC, 6.88%, 02/15/26^(b)			301		290,071
Matador Resources Co., 5.88%, 09/15/26			332		252,320
Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26			200		197,188
MEG Energy Corp.^(b):
7.00%, 03/31/24			253		240,982
6.50%, 01/15/25			176		172,920
7.13%, 02/01/27			110		97,900
Mongolian Mining Corp., 9.25%, 04/15/24			450		330,891
Murphy Oil Corp., 6.37%, 12/01/42^(k)			11		8,745
Neerg Energy Ltd., 6.00%, 02/13/22			500		501,563
NGPL PipeCo LLC, 7.77%, 12/15/37^(b)			174		221,631
NuStar Logistics LP, 6.00%, 06/01/26			82		84,050
Occidental Petroleum Corp.:
2.60%, 08/13/21			343		338,713
2.70%, 08/15/22			262		253,102
3.00%, 02/15/27			14		12,355
4.30%, 08/15/39			226		183,060
6.20%, 03/15/40			360		349,200
4.50%, 07/15/44			51		41,820
4.63%, 06/15/45			238		197,016
6.60%, 03/15/46			8		7,809
4.40%, 04/15/46			200		162,940
4.10%, 02/15/47			40		31,400
4.20%, 03/15/48			230		186,944
4.40%, 08/15/49			68		55,380
Parkland Corp., 5.88%, 07/15/27^(b)			118		125,080


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
Parsley Energy LLC^(b):
5.38%, 01/15/25		USD	114	$	117,386
5.25%, 08/15/25			216		219,240
5.63%, 10/15/27			22		23,045
PBF Holding Co. LLC, 9.25%, 05/15/25^(b)			344		384,413
PDC Energy, Inc.:
6.13%, 09/15/24			74		74,899
6.25%, 12/01/25			48		43,440
5.75%, 05/15/26			106		106,234
Petrobras Global Finance BV:
5.30%, 01/27/25			326		351,316
8.75%, 05/23/26			150		186,656
6.00%, 01/27/28			297		326,032
5.60%, 01/03/31			674		708,542
Puma International Financing SA, 5.13%, 10/06/24^(b)			400		356,999
QEP Resources, Inc.:
6.88%, 03/01/21			28		27,300
5.38%, 10/01/22			125		100,000
5.25%, 05/01/23			40		27,900
5.63%, 03/01/26			106		61,745
Range Resources Corp.:
5.88%, 07/01/22			16		15,040
5.00%, 08/15/22			45		43,200
5.00%, 03/15/23			124		115,047
Rattler Midstream LP, 5.63%, 07/15/25^(b)			154		162,438
ReNew Power Ltd., 6.45%, 09/27/22			500		510,938
ReNew Power Synthetic, 6.67%, 03/12/24			400		413,125
Sabine Pass Liquefaction LLC, 4.50%, 05/15/30^(b)			331		381,833
Santos Finance Ltd., 5.25%, 03/13/29			200		221,084
SM Energy Co.:
6.13%, 11/15/22			115		85,100
10.00%, 01/15/25^(b)			160		158,000
Sunoco LP:
5.50%, 02/15/26			39		39,975
6.00%, 04/15/27			4		4,220
Targa Resources Partners LP:
5.88%, 04/15/26			16		17,004
5.50%, 03/01/30^(b)			206		217,330
TerraForm Power Operating LLC^(b):
5.00%, 01/31/28			57		62,842
4.75%, 01/15/30			120		129,900
Transcanada Trust, Series 16-A, (LIBOR USD 3 Month + 4.64%), 5.87%, 08/15/76^(d)			2,646		2,847,378
Ultrapar International SA, 5.25%, 06/06/29^(b)			486		486,304
Viper Energy Partners LP, 5.38%, 11/01/27^(b)			95		99,779
Western Midstream Operating LP:
3.10%, 02/01/25^(k)			38		37,723
4.65%, 07/01/26			10		10,225
4.05%, 02/01/30^(k)			89		90,124
5.45%, 04/01/44			124		113,150
5.30%, 03/01/48			266		237,620
5.50%, 08/15/48			23		20,528
5.25%, 02/01/50^(k)			436		430,550
WPX Energy, Inc.:
8.25%, 08/01/23			112		125,440
5.88%, 06/15/28			124		127,023
4.50%, 01/15/30			295		274,616
Yankuang Group Cayman Ltd., 4.75%, 11/30/20			200		200,700

					29,874,998

Paper & Forest Products — 0.0%
Boise Cascade Co., 4.88%, 07/01/30^(b)			89		94,340


Personal Products — 0.0%
Edgewell Personal Care Co., 5.50%, 06/01/28^(b)			110		119,075


Security	Par (000)			Value

Pharmaceuticals — 0.5%
Bausch Health Americas, Inc., 8.50%, 01/31/27^(b)		USD	93	$	103,463
Bausch Health Cos., Inc.^(b):
6.13%, 04/15/25			847		874,528
9.00%, 12/15/25			759		838,695
5.75%, 08/15/27			151		163,892
7.00%, 01/15/28			698		759,075
5.00%, 01/30/28			200		200,996
6.25%, 02/15/29			334		354,808
7.25%, 05/30/29			340		374,000
5.25%, 01/30/30			548		559,645
Catalent Pharma Solutions, Inc., 4.88%, 01/15/26^(b)			155		159,262
Endo Dac^(b):
9.50%, 07/31/27			153		164,666
6.00%, 06/30/28			182		138,775
Jubilant Pharma Ltd., 6.00%, 03/05/24			200		203,063
Par Pharmaceutical, Inc., 7.50%, 04/01/27^(b)			942		1,001,939

					5,896,807

Professional Services — 0.1%
Dun & Bradstreet Corp. (The)^(b):
6.88%, 08/15/26			632		690,460
10.25%, 02/15/27			476		540,465
Equifax, Inc., 2.60%, 12/15/25			18		19,304
Jaguar Holding Co. II/PPD Development LP,
5.00%, 06/15/28^(b)			319		339,639

					1,589,868

Real Estate Management & Development — 3.9%
Agile Group Holdings Ltd.:
6.70%, 03/07/22			502		516,433
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 9.22%), 6.87%^(d)(h)			200		197,500
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 11.29%), 7.88%^(d)(h)			200		201,000
Alam Synergy Pte. Ltd., 11.50%, 04/22/21			131		83,868
APL Realty Holdings Pte. Ltd., 5.95%, 06/02/24			400		212,375
Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30			200		209,562
Central China Real Estate Ltd.:
6.50%, 03/05/21			600		601,350
6.75%, 11/08/21			250		250,968
6.88%, 08/08/22			200		200,750
7.25%, 04/24/23			350		351,312
7.65%, 08/27/23			200		201,500
7.90%, 11/07/23			200		202,000
CFLD Cayman Investment Ltd.:
8.63%, 02/28/21			400		406,000
6.92%, 06/16/22			408		408,000
6.90%, 01/13/23			200		198,750
8.60%, 04/08/24			600		604,875
China Aoyuan Group Ltd.:
4.80%, 02/18/21			400		398,500
7.50%, 05/10/21			400		405,991
8.50%, 01/23/22			200		207,437
7.95%, 02/19/23			1,200		1,258,500
China Evergrande Group:
6.25%, 06/28/21			200		195,313
9.50%, 04/11/22			272		261,970
11.50%, 01/22/23			390		384,272
4.25%, 02/14/23^(l)		HKD	6,000		748,093
10.00%, 04/11/23		USD	300		283,781
12.00%, 01/22/24			520		500,825


Security		Par (000)		Value

Real Estate Management & Development (continued)
China SCE Group Holdings Ltd., 7.25%, 04/19/23	USD		1,100	$	1,118,219
CIFI Holdings Group Co. Ltd.:
5.50%, 01/23/22			400		404,420
7.63%, 02/28/23			200		211,187
6.55%, 03/28/24			400		415,875
6.00%, 07/16/25			234		235,097
Country Garden Holdings Co. Ltd.:
6.50%, 04/08/24			200		214,375
6.15%, 09/17/25			800		859,750
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28^(b)			442		472,940
Easy Tactic Ltd.:
9.13%, 07/28/22			200		193,500
8.63%, 02/27/24			1,000		909,062
8.13%, 07/11/24			200		177,438
Excel Capital Global Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 9.34%), 7.00%^(d)(h)			700		707,000
Fantasia Holdings Group Co. Ltd.:
8.38%, 03/08/21			200		201,937
15.00%, 12/18/21			400		435,000
11.75%, 04/17/22			600		633,375
12.25%, 10/18/22			200		215,188
Five Point Operating Co. LP, 7.88%, 11/15/25^(b)			83		80,200
Gemdale Ever Prosperity Investment Ltd., 4.95%, 07/26/22			200		199,188
Global Prime Capital Pte. Ltd.:
7.25%, 04/26/21			200		200,720
5.50%, 10/18/23			200		197,625
Greenland Global Investment Ltd.:
(LIBOR USD 3 Month + 4.85%), 5.13%, 09/26/21^(d)			200		197,917
5.60%, 11/13/22			200		195,750
6.25%, 12/16/22			513		513,000
Greystar Real Estate Partners LLC, 5.75%, 12/01/25^(b)			76		76,570
Hopson Capital International Group Co. Ltd., 6.00%, 02/17/21			400		397,000
Hopson Development Holdings Ltd., 7.50%, 06/27/22			958		962,790
Jababeka International BV, 6.50%, 10/05/23			400		328,625
JGC Ventures Pte. Ltd., 10.75%, 08/30/21			200		72,750
Jingrui Holdings Ltd., 9.45%, 04/23/21			200		194,000
Jinke Properties Group Co. Ltd., 8.38%, 06/20/21			450		457,453
Kaisa Group Holdings Ltd.:
6.75%, 02/18/21			280		279,650
8.50%, 06/30/22			550		552,406
11.95%, 10/22/22			200		212,500
11.50%, 01/30/23			700		726,469
10.88%, 07/23/23			400		408,000
11.95%, 11/12/23			200		208,625
9.38%, 06/30/24			400		367,500
KWG Group Holdings Ltd.:
7.88%, 09/01/23			700		730,625
7.40%, 03/05/24			200		208,063
Logan Group Co. Ltd.:
6.88%, 04/24/21			300		303,936
6.50%, 07/16/23			700		721,000
5.75%, 01/14/25			400		401,000
MAF Sukuk Ltd., 4.64%, 05/14/29			448		469,420
Modern Land China Co. Ltd., 12.85%, 10/25/21			200		201,500
Modernland Overseas Pte. Ltd., 6.95%, 04/13/24			400		145,500


Security		Par (000)		Value

Real Estate Management & Development (continued)
New Metro Global Ltd.:
6.50%, 04/23/21	USD		600	$	603,414
6.50%, 05/20/22			251		253,510
6.80%, 08/05/23			408		415,140
Powerlong Real Estate Holdings Ltd.:
6.95%, 04/17/21			200		202,092
7.13%, 11/08/22			400		408,500
Realogy Group LLC, 7.63%, 06/15/25^(b)			22		23,088
Redsun Properties Group Ltd.:
11.50%, 03/04/21			400		410,375
9.95%, 04/11/22			400		410,000
10.50%, 10/03/22			500		515,313
RKPF Overseas 2019 A Ltd.:
7.88%, 02/01/23			400		422,000
6.70%, 09/30/24			200		206,187
Ronshine China Holdings Ltd.:
10.50%, 03/01/22			200		213,687
8.75%, 10/25/22			765		798,469
8.95%, 01/22/23			615		649,978
8.10%, 06/09/23			200		208,500
Scenery Journey Ltd.:
11.00%, 11/06/20			600		603,938
11.50%, 10/24/22			435		421,270
12.00%, 10/24/23			626		598,417
Seazen Group Ltd.:
6.50%, 09/12/20			200		200,062
7.50%, 01/22/21			200		202,125
6.45%, 06/11/22			200		202,250
Shimao Group Holdings Ltd.:
6.38%, 10/15/21			550		569,078
6.13%, 02/21/24			200		212,250
5.60%, 07/15/26			200		213,188
Shui On Development Holding Ltd.:
6.25%, 11/28/21			400		405,500
5.75%, 11/12/23			200		198,500
Sunac China Holdings Ltd.:
6.88%, 08/08/20			200		200,125
7.88%, 02/15/22			400		411,000
7.25%, 06/14/22			460		468,625
7.95%, 10/11/23			200		206,625
6.65%, 08/03/24			200		197,750
7.00%, 07/09/25			272		269,365
Theta Capital Pte. Ltd., 8.13%, 01/22/25			200		184,813
Times China Holdings Ltd.:
7.63%, 02/21/22			200		205,250
6.75%, 07/16/23			1,000		1,023,750
VLL International, Inc., 5.75%, 11/28/24			200		194,000
Wanda Group Overseas Ltd., 7.50%, 07/24/22			670		651,366
Xinyuan Real Estate Co. Ltd., 7.75%, 02/28/21			200		162,250
Yango Justice International Ltd.:
6.80%, 03/11/21			400		400,000
10.00%, 02/12/23			250		263,516
9.25%, 04/15/23			249		256,003
8.25%, 11/25/23			272		271,150
Yanlord Land HK Co. Ltd.:
6.75%, 04/23/23			800		817,250
6.80%, 02/27/24			660		667,631
Yuzhou Group Holdings Co. Ltd.:
8.63%, 01/23/22			200		208,250
8.50%, 02/04/23			200		210,750
6.00%, 10/25/23			400		395,500
8.50%, 02/26/24			1,000		1,048,750
8.38%, 10/30/24			200		207,688
Zhenro Properties Group Ltd.:
5.60%, 02/28/21			200		198,687
9.15%, 03/08/22			600		619,312


Security		Par (000)		Value

Real Estate Management & Development (continued)
8.70%, 08/03/22	USD		200	$	204,938

					46,416,245

Road & Rail — 0.2%
Lima Metro Line 2 Finance Ltd., 4.35%, 04/05/36^(b)			200		221,500
Pacific National Finance Pty. Ltd., 4.75%, 03/22/28			200		210,024
Rumo Luxembourg SARL, 5.88%, 01/18/25^(b)			427		448,350
Uber Technologies, Inc.^(b):
7.50%, 11/01/23			24		24,900
7.50%, 05/15/25			393		414,615
8.00%, 11/01/26			339		355,797
7.50%, 09/15/27			180		188,325

					1,863,511

Semiconductors & Semiconductor Equipment — 0.0%
Broadcom, Inc.^(b):
4.70%, 04/15/25			276		315,649
3.15%, 11/15/25			83		89,510
Global A&T Electronics Ltd., 8.50%, 01/12/23			200		193,125

				598,284

Software — 0.6%^(b)
ACI Worldwide, Inc., 5.75%, 08/15/26			266		277,305
Ascend Learning LLC:
6.88%, 08/01/25			187		192,610
6.88%, 08/01/25			1,165		1,194,125
Boxer Parent Co., Inc.:
7.13%, 10/02/25			288		317,520
9.13%, 03/01/26			395		418,700
BY Crown Parent LLC:
7.38%, 10/15/24			527		534,246
4.25%, 01/31/26			41		42,499
Castle US Holding Corp., 9.50%, 02/15/28			255		235,875
Change Healthcare Holdings LLC, 5.75%, 03/01/25			1,918		1,961,155
Genesys Telecommunications Laboratories, Inc., 10.00%, 11/30/24			939		1,002,382
Solera LLC, 10.50%, 03/01/24			675		714,150
Veritas US, Inc., 7.50%, 02/01/23			222		222,047

					7,112,614

Specialty Retail — 0.3%
Asbury Automotive Group, Inc.^(b):
4.50%, 03/01/28			41		42,040
4.75%, 03/01/30			10		10,250
eG Global Finance plc^(b):
6.75%, 02/07/25			200		208,960
8.50%, 10/30/25			200		218,484
Gap, Inc. (The), 8.88%, 05/15/27^(b)			82		91,635
L Brands, Inc., 6.88%, 07/01/25^(b)			275		296,169
Murphy Oil USA, Inc., 4.75%, 09/15/29			100		105,717
Penske Automotive Group, Inc., 5.50%, 05/15/26			156		163,020
PetSmart, Inc.^(b):
7.13%, 03/15/23			176		177,760
5.88%, 06/01/25			297		304,425
SRS Distribution, Inc., 8.25%, 07/01/26^(b)			1,094		1,137,760
Staples, Inc., 7.50%, 04/15/26^(b)			426		373,730

					3,129,950

Technology Hardware, Storage & Peripherals — 0.1%^(b)
Dell International LLC, 5.85%, 07/15/25			113		132,152
Diebold Nixdorf, Inc., 9.38%, 07/15/25			65		68,757
NCR Corp.:
8.13%, 04/15/25			40		44,388
5.75%, 09/01/27			39		40,267


Security		Par (000)		Value

Technology Hardware, Storage & Peripherals (continued)
6.13%, 09/01/29	USD		390	$	427,226

					712,790

Textiles, Apparel & Luxury Goods — 0.0%
Hanesbrands, Inc., 5.38%, 05/15/25^(b)			63		67,725
Levi Strauss & Co., 5.00%, 05/01/25^(b)			75		76,695
Prime Bloom Holdings Ltd., 6.95%, 07/05/22			200		66,562
William Carter Co. (The), 5.50%, 05/15/25^(b)			36		38,307

					249,289

Thrifts & Mortgage Finance — 0.1%
Mongolian Mortgage Corp. HFC LLC:
9.75%, 01/29/22			800		721,500
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/27^(b)			197		200,940

					922,440

Trading Companies & Distributors — 0.1%^(b)
Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/27			27		27,877
WESCO Distribution, Inc.:
7.13%, 06/15/25			554		607,954
7.25%, 06/15/28			385		420,613

					1,056,444

Transportation Infrastructure — 0.0%
Royal Capital BV, 5.88%^(h)			200		200,938


Wireless Telecommunication Services — 0.5%
Comunicaciones Celulares SA, 6.88%, 02/06/24^(b)			273		279,654
Connect Finco SARL, 6.75%, 10/01/26^(b)			1,225		1,255,992
Millicom International Cellular SA, 5.13%, 01/15/28			527		552,642
Sprint Corp.:
7.88%, 09/15/23			35		40,600
7.13%, 06/15/24			45		52,495
7.63%, 02/15/25			274		332,792
7.63%, 03/01/26			173		216,246
T-Mobile USA, Inc., 4.75%, 02/01/28			21		22,756
VEON Holdings BV, 4.00%, 04/09/25^(b)			252		260,033
Vodafone Group plc, (USD Swap Semi 5 Year + 4.87%), 7.00%, 04/04/79^(d)			2,305		2,773,249
VTR Comunicaciones SpA, 5.13%, 01/15/28^(b)			400		426,000

					6,212,459


Total Corporate Bonds — 28.6% (Cost: $334,011,056)					339,100,268


Equity-Linked Notes — 15.7%

Aerospace & Defense — 0.1%
Royal Dutch Shell plc (L3Harris Technologies, Inc.), 0.00%, 10/20/20^(b)			9		1,477,064


Banks — 0.9%
Barclays Bank plc (Bank of America Corp.), 18.60%, 10/14/20			121		2,970,832
Barclays Bank plc (JPMorgan Chase & Co.), 15.63%, 11/19/20			44		4,335,291
BNP Paribas SA (PNC Financial Services Group, Inc. (The)), 19.89%, 11/18/20			14		1,503,794
BNP Paribas SA (US Bancorp), 18.88%, 11/18/20			39		1,448,966

					10,258,883


Security		Par (000)		Value

Beverages — 0.6%
Barclays Bank plc (PepsiCo, Inc.), 11.00%, 11/19/20	USD		21	$	2,947,709
BNP Paribas SA (Coca-Cola Co (The)), 9.92%, 11/18/20			78		3,700,190

					6,647,899

Biotechnology — 0.5%
Merrill Lynch International & Co. (Biogen, Inc.), 16.75%, 10/19/20			2		617,217
Royal Dutch Shell plc (AbbVie, Inc.), 0.00%, 12/03/20^(b)			32		2,979,963
Royal Dutch Shell plc (Gilead Sciences, Inc.), 0.00%, 10/22/20^(b)			30		2,094,280

					5,691,460

Building Products — 0.1%
Royal Dutch Shell plc (Johnson Controls International plc), 0.00%, 10/22/20^(b)			39		1,493,997


Capital Markets — 0.5%
HSBC Bank plc (Goldman Sachs Group, Inc. (The)), 17.30%, 10/13/20			7		1,358,489
JPMorgan Structured Products BV (Charles SchwabCorp. (The)), 16.53%, 10/14/20^(b)			41		1,400,063
Merrill Lynch International & Co. (Intercontinental Exchange, Inc.), 10.55%, 10/21/20			16		1,494,066
Royal Bank of Canada (S&P Global, Inc.), 11.02%, 11/27/20^(b)			4		1,458,953

					5,711,571

Chemicals — 0.5%
Barclays Bank plc (Sherwin-Williams Co (The)), 9.60%, 10/16/20			2		1,456,814
JPMorgan Structured Products BV (Celanese Corp.), 13.07%, 10/19/20^(b)			5		475,540
Merrill Lynch International & Co. (Air Products and Chemicals, Inc.), 10.91%, 11/05/20			2		610,527
Merrill Lynch International & Co. (Dow, Inc.), 15.08%, 11/18/20			29		1,214,359
Merrill Lynch International & Co. (Ecolab, Inc.), 12.84%, 10/19/20			6		1,145,302
Merrill Lynch International & Co. (PPG Industries, Inc.), 16.78%, 10/19/20			9		978,688

					5,881,230

Commercial Services & Supplies — 0.8%
BNP Paribas SA (Copart, Inc.), 12.52%, 08/10/20^(b)			41		3,776,074
Merrill Lynch International & Co. (Republic Services, Inc.), 20.55%, 08/06/20			44		3,705,528
Merrill Lynch International & Co. (Waste Management, Inc.), 9.08%, 11/25/20			14		1,489,088

					8,970,690

Communications Equipment — 0.4%
Citigroup Global Markets Holdings, Inc. (Cisco Systems, Inc.), 13.09%, 08/11/20^(b)			114		5,331,594


Construction Materials — 0.1%
Merrill Lynch International & Co. (Martin Marietta Materials, Inc.), 19.17%, 10/19/20			3		700,654


Consumer Finance — 0.1%
Merrill Lynch International & Co. (Capital One Financial Corp.), 21.79%, 10/21/20			10		616,543
Royal Bank of Canada (Discover Financial Services), 25.07%, 10/21/20^(b)			12		600,041

					1,216,584


Security		Par (000)		Value

Diversified Telecommunication Services — 0.5%
Merrill Lynch International & Co. (Verizon Communications, Inc.), 7.88%, 10/26/20	USD		44	$	2,540,631
Royal Bank of Canada (AT&T, Inc.), 10.01%, 11/18/20^(b)			104		3,100,308

					5,640,939

Electric Utilities — 0.3%
Nomura Holdings, Inc. (NextEra Energy, Inc.), 12.10%, 10/22/20			9		2,496,200
Societe Generale SA (Southern Co (The)), 13.03%, 10/21/20			27		1,492,920

					3,989,120

Entertainment — 0.2%
Merrill Lynch International & Co. (Netflix, Inc.), 17.69%, 11/23/20			2		1,163,434
Royal Dutch Shell plc (Electronic Arts, Inc.), 0.00%, 10/20/20^(b)			11		1,514,412

					2,677,846

Equity Real Estate Investment Trusts (REITs) — 0.6%
Merrill Lynch International & Co. (American Tower Corp.), 16.44%, 11/25/20			9		2,235,331
Merrill Lynch International & Co. (Crown Castle International Corp.), 13.40%, 10/21/20			9		1,495,102
Merrill Lynch International & Co. (Equity Residential), 21.37%, 10/19/20			13		715,067
Merrill Lynch International & Co. (Prologis, Inc.), 14.45%, 10/19/20			13		1,293,755
Societe Generale SA (AvalonBay Communities, Inc.), 11.83%, 10/21/20			6		898,340

					6,637,595

Food & Staples Retailing — 0.7%
Barclays Bank plc (Costco Wholesale Corp.), 9.06%, 09/21/20			11		3,604,888
Merrill Lynch International & Co. (Sprouts Farmers Market, Inc.), 14.91%, 10/21/20			34		891,421
Royal Bank of Canada (Kroger Co (The)), 17.68%, 09/14/20^(b)			109		3,674,872

					8,171,181

Food Products — 0.3%
Merrill Lynch International & Co. (Kellogg Co.), 10.75%, 10/21/20			13		894,264
Nomura Holdings, Inc. (Quality Pork International, Inc.), 17.90%, 10/16/20			7		683,933
Royal Bank of Canada (Hershey Co (The)), 8.48%, 11/18/20^(b)			9		1,256,928
Societe Generale SA (Archer-Daniels-Midland Co.), 14.64%, 10/21/20			21		898,252

					3,733,377

Health Care Equipment & Supplies — 0.4%^(b)
JPMorgan Structured Products BV (Abbott Laboratories), 11.52%, 11/20/20			31		3,018,804
JPMorgan Structured Products BV (Edwards Lifesciences Corp.), 11.77%, 10/22/20			8		628,338
Royal Bank of Canada (Danaher Corp.), 8.62%, 10/22/20			6		1,256,777

					4,903,919

Health Care Providers & Services — 0.8%
Barclays Bank plc (CVS Health Corp.), 7.48%, 08/04/20			55		3,476,945
BNP Paribas SA (HCA Healthcare, Inc.), 17.13%, 10/19/20			5		640,987
BNP Paribas SA (UnitedHealth Group, Inc.), 12.63%, 11/18/20			14		4,381,739


Security		Par (000)		Value

Health Care Providers & Services (continued)
Societe Generale SA (Anthem, Inc.), 11.49%, 12/02/20	USD		4	$	1,145,952

					9,645,623

Hotels, Restaurants & Leisure — 0.3%^(b)
JPMorgan Structured Products BV (Domino’s Pizza, Inc.), 11.40%, 10/14/20			4		1,399,355
JPMorgan Structured Products BV (Starbucks Corp.), 12.52%, 10/19/20			15		1,181,453
Royal Bank of Canada (Chipotle Mexican Grill, Inc.), 12.32%, 10/21/20			1		629,372

					3,210,180

Household Durables — 0.3%
Barclays Bank plc (Toll Brothers, Inc.), 21.96%, 08/17/20			109		3,991,757


Household Products — 0.6%
Royal Bank of Canada (Kimberly-Clark Corp.), 7.36%, 11/18/20^(b)			8		1,267,907
Royal Dutch Shell plc (Colgate-Palmolive Co.), 0.00%, 10/20/20^(b)			19		1,492,106
Societe Generale SA (Procter & Gamble Co. (The)), 0.40%, 10/21/20			34		4,466,661

					7,226,674

Insurance — 0.1%
Royal Dutch Shell plc (Aon plc), 0.00%, 10/20/20^(b)			7		1,500,820


Interactive Media & Services — 0.2%
Royal Dutch Shell plc (Alphabet, Inc.), 0.00%, 12/01/20^(b)			2		2,405,098


Internet & Direct Marketing Retail — 0.7%
Royal Dutch Shell plc (Amazon.com, Inc.), 0.00%, 10/22/20^(b)			2		7,158,433
Societe Generale SA (eBay, Inc.), 14.30%, 10/19/20			13		708,929

					7,867,362

IT Services — 0.3%^(b)
JPMorgan Structured Products BV (Visa, Inc.), 8.72%, 10/19/20			9		1,787,923
Nomura Holdings, Inc. (Mastercard, Inc.), 12.48%, 10/21/20			7		2,233,464

					4,021,387

Life Sciences Tools & Services — 0.2%
Nomura Holdings, Inc. (Thermo Fisher Scientific, Inc.), 10.64%, 10/20/20			3		1,254,135
Nomura Holdings, Inc. (Waters Corp.), 13.26%, 10/16/20			4		840,126

					2,094,261

Machinery — 0.0%
Merrill Lynch International & Co. (PACCAR, Inc.), 12.02%, 10/21/20			7		618,016


Media — 0.1%
Royal Dutch Shell plc (Altice USA, Inc.), 0.00%, 10/22/20^(b)			33		898,123


Metals & Mining — 0.1%
JPMorgan Structured Products BV (Alcoa Corp.), 20.40%, 10/14/20^(b)			75		1,002,418


Multiline Retail — 0.6%^(b)
JPMorgan Structured Products BV (Target Corp.), 17.08%, 08/10/20			29		3,642,960
Royal Bank of Canada (Dollar General Corp.), 13.03%, 08/26/20			18		3,508,650

					7,151,610


Security		Par (000)		Value

Pharmaceuticals — 1.0%
Nomura Holdings, Inc. (Pfizer, Inc.), 16.08%, 11/27/20	USD		74	$	2,887,521
Royal Dutch Shell plc (Merck & Co, Inc.), 0.00%, 10/20/20^(b)			37		2,989,409
UBS AG (Johnson & Johnson), 10.50%, 11/20/20			38		5,654,901

					11,531,831

Professional Services — 0.1%
Royal Bank of Canada (TransUnion), 12.95%, 10/16/20^(b)			10		867,464


Road & Rail — 0.4%
Merrill Lynch International & Co. (CSX Corp.), 13.40%, 10/15/20			18		1,248,194
Merrill Lynch International & Co. (Norfolk Southern Corp.), 12.98%, 10/19/20			6		1,171,540
Nomura Holdings, Inc. (Union Pacific Corp.), 11.75%, 10/15/20			7		1,228,765
Royal Bank of Canada (Kansas City Southern), 15.55%, 11/23/20^(b)			6		935,447

					4,583,946

Semiconductors & Semiconductor Equipment — 0.4%
Societe Generale SA (Advanced Micro Devices, Inc.), 18.18%, 10/19/20			16		1,199,174
Societe Generale SA (Lam Research Corp.), 18.87%, 10/19/20			3		1,210,553
Societe Generale SA (QUALCOMM, Inc.), 15.69%, 10/21/20			21		2,234,486

					4,644,213

Software — 0.5%
Citigroup Global Markets Holdings, Inc. (Microsoft Corp.), 13.70%, 11/18/20^(b)			24		5,019,730
Merrill Lynch International & Co. (ServiceNow, Inc.), 18.13%, 10/21/20			3		1,486,403

					6,506,133

Specialty Retail — 0.4%
Merrill Lynch International & Co. (O’Reilly Automotive, Inc.), 7.90%, 10/21/20			2		887,556
Merrill Lynch International & Co. (Tractor Supply Co.), 13.11%, 10/22/20			4		619,382
Royal Bank of Canada (Home Depot, Inc. (The)), 16.68%, 08/10/20^(b)			15		3,695,352

					5,202,290

Technology Hardware, Storage & Peripherals — 0.7%
Royal Dutch Shell plc (Apple, Inc.), 0.00%, 10/22/20^(b)			20		8,389,694


Tobacco — 0.3%
Nomura Holdings, Inc. (Philip Morris International, Inc.), 15.51%, 10/20/20			17		1,259,504
Royal Bank of Canada (Altria Group, Inc.), 16.12%, 11/27/20^(b)			51		2,116,111

					3,375,615


Total Equity-Linked Notes — 15.7% (Cost: $184,395,361)					185,870,118


Floating Rate Loan Interests — 6.8%

Aerospace & Defense — 0.2%
Bleriot US Bidco, Inc., Term Loan, (LIBOR USD 3 Month + 4.75%), 5.06%, 10/31/26^(c)(m)			11		11,236
Bleriot US Bidco, Inc., Term Loan B, (LIBOR USD 3 Month + 4.75%), 5.06%, 10/30/26^(c)(m)			74		71,908
Dynasty Acquisition Co., Inc., Term Loan: (LIBOR USD 3 Month + 3.50%), 3.81%, 04/06/26^(m)			873		696,363


Security		Par (000)		Value

Aerospace & Defense (continued)
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 5.00%), 6.00%, 11/28/21^(m)	USD		141	$	131,952
Sequa Mezzanine Holdings LLC, Term Loan, 11/28/23^(m)(n)			4		3,299
TransDigm, Inc., Term Loan:^(m)
(LIBOR USD 1 Month + 2.25%), 2.41%, 08/22/24			917		856,514
(LIBOR USD 1 Month + 2.25%), 2.41%, 12/09/25			27		25,465

					1,796,737

Airlines — 0.1%^(m)
American Airlines, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 1.75%), 1.92%, 01/29/27			408		281,460
American Airlines, Inc., Term Loan B, (LIBOR USD 1 Month + 2.00%), 2.17%, 12/15/23			27		19,856
American Airlines, Inc., Term Loan B23, (LIBOR USD 1 Month + 2.00%), 2.17%, 04/28/23			179		134,385
JetBlue Airways Corp., Term Loan, (LIBOR USD 3 Month + 5.25%), 6.25%, 06/17/24			90		88,669
Kestrel Bidco, Inc., Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 12/11/26			488		356,794

					881,164

Auto Components — 0.1%^(m)
Panther BF Aggregator 2 LP, Term Loan B, (LIBOR USD 1 Month + 3.50%), 3.67%, 04/30/26			847		825,489
Wand Newco 3, Inc., Term Loan, 02/05/26⁽ⁿ⁾			284		271,246

					1,096,735

Automobiles — 0.0%
Dealer Tire LLC, Term Loan B1, (LIBOR USD 1 Month + 4.25%), 4.41%, 12/12/25^(m)			385		374,135


Building Products — 0.1%^(m)
CPG Merger Sub LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 4.75%, 05/05/24			259		257,418
Wilsonart LLC, 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%), 4.25%, 12/19/23			511		498,458

					755,876

Capital Markets — 0.0%^(m)
Fortress Investment Group LLC, Term Loan B, (LIBOR USD 1 Month + 2.00%), 2.16%, 12/27/22			82		80,413
Greenhill & Co., Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 04/12/24^(c)			231		219,067
Travelport Finance (Luxembourg) SA, 1st Lien Term Loan, (LIBOR USD 3 Month + 5.00%), 6.07%, 05/29/26			357		214,086

					513,566

Chemicals — 0.2%^(m)
Alpha 3 BV, Term Loan, 01/31/24⁽ⁿ⁾			534		525,143
Ascend Performance Materials LLC, Term Loan B, (LIBOR USD 3 Month + 5.25%), 6.25%, 08/27/26^(c)			298		298,494
Axalta Dupont PC, Term Loan, (LIBOR USD 3 Month + 1.75%), 2.06%, 06/01/24			213		208,475
Chemours Co. (The), 1st Lien Term Loan, (LIBOR USD 1 Month + 1.75%), 1.92%, 04/03/25			119		112,685
Ennis-Flint Road Infrastructure Investment, Term Loan, (LIBOR USD 3 Month + 2.50%), 4.50% - 5.75%, 06/13/23			171		155,243


Security		Par (000)		Value

Chemicals (continued)
Greenrock Finance, Inc., Term Loan, (LIBOR USD 3 Month + 3.50%), 4.50%, 06/28/24	USD		115	$	107,443
Illuminate Buyer LLC, Term Loan, (LIBOR USD 3 Month + 4.00%), 4.31%, 06/30/27			294		290,834
Invictus Co., Term Loan B, (LIBOR USD 1 Month + 3.00%), 3.16%, 03/28/25			136		126,943
Messer Industries GmbH, Term Loan, 03/02/26⁽ⁿ⁾			311		304,181
Momentive Performance Materials, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 3.42%, 05/15/24			178		167,163
Nouryon Finance BV, Term Loan, (LIBOR USD 1 Month + 3.00%), 3.18%, 10/01/25			36		34,670
OXEA Holding Vier GmbH, Term Loan, (LIBOR USD 1 Month + 3.50%), 3.69%, 10/14/24			305		285,942

					2,617,216

Commercial Services & Supplies — 0.2%^(m)
Advanced Disposal Services, Inc., Term Loan, (LIBOR USD 3 Month + 2.25%), 3.00%, 11/10/23			252		250,641
Allied Universal Holdco LLC, Term Loan B, (LIBOR USD 1 Month + 4.25%), 4.41%, 07/10/26			249		245,305
Brand Energy & Infrastructure Services, Inc., Term Loan, 06/21/24⁽ⁿ⁾			448		407,622
Capri Acquisitions Bidco Ltd., Term Loan, (LIBOR USD 3 Month + 3.00%), 3.26%, 11/01/24			516		514,996
Diamond (BC) BV, Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16% - 3.26%, 09/06/24			309		290,912
Prime Security Services Borrower LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 3.25%), 4.25%, 09/23/26			282		276,935
Spring Education Group, Inc., Term Loan, (LIBOR USD 3 Month + 4.25%), 4.56%, 07/30/25			44		40,313
Tempo Acquisition LLC, Term Loan, (LIBOR USD 1 Month + 2.75%), 2.91%, 05/01/24			757		736,237
West Corp., Term Loan, 10/10/24⁽ⁿ⁾			196		172,321

					2,935,282

Construction & Engineering — 0.0%^(m)
Ply Gem, Inc., Term Loan B, (LIBOR USD 1 Month + 3.75%), 3.93%, 04/01/25			89		87,363
SRS Distribution, Inc., Term Loan B, (LIBOR USD 3 Month + 3.00%), 4.07%, 05/23/25			316		304,605

					391,968

Construction Materials — 0.1%^(m)
American Builders And Contractors Supply, Term Loan, (LIBOR USD 1 Month + 2.00%), 2.16%, 01/15/27			274		265,792
Core & Main LP, Term Loan, (LIBOR USD 6 Month + 2.75%), 3.75%, 08/01/24			719		698,818
Forterra Finance LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 10/25/23			185		180,273

					1,144,883

Containers & Packaging — 0.2%^(m)
Berry Global, Inc., Term Loan:
(LIBOR USD 1 Month + 2.00%), 2.19%, 10/01/22			80		78,420
(LIBOR USD 1 Month + 2.00%), 2.19%, 07/01/26			149		144,142
BWAY Holding Co., Term Loan, (LIBOR USD 3 Month + 3.25%), 3.52%, 04/03/24			393		366,085


Security		Par (000)		Value

Containers & Packaging (continued)
Charter NEX US, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.75%), 3.75%, 05/16/24	USD		529	$	517,492
Flex Acquisition Co., Inc., Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 12/29/23			385		372,557
Graham Packaging Co. LP, Term Loan, 08/04/27⁽ⁿ⁾			106		105,678
Pregis TopCo LLC, Term Loan, (LIBOR USD 1 Month + 4.00%), 4.16%, 07/31/26			84		82,633
Reynolds Group Holdings, Inc., 1st Lien Term Loan, 02/05/23⁽ⁿ⁾			671		657,097
Tosca Services, Term Loan, 07/28/27⁽ⁿ⁾			105		104,693

					2,428,797

Diversified Consumer Services — 0.2%^(m)
AlixPartners LLP, 1st Lien Term Loan, (LIBOR USD 1 Month + 2.50%), 2.66%, 04/04/24			528		516,205
Bright Horizons Family Solutions, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 1.75%), 2.50%, 11/07/23			228		221,155
Maverick Purchaser Sub, LLC, Term Loan, (LIBOR USD 1 Month + 4.00%), 4.16%, 01/29/27			54		53,595
Mileage Plus Holdings LLC, Term Loan, (LIBOR USD 3 Month + 5.25%), 6.25%, 06/21/27			306		305,082
Research Now, Inc., Term Loan, (LIBOR USD 3 Month + 5.50%), 6.50%, 12/07/24			149		140,117
SIRVA Worldwide, Inc., 1st Lien Term Loan, (LIBOR USD 3 Month + 5.50%), 5.66% - 5.86%, 08/04/25			191		138,879
Sotheby’s, Inc., Term Loan B, (LIBOR USD 1 Month + 5.50%), 6.50%, 01/15/27			444		421,954
TierPoint LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 4.75%, 05/06/24			131		125,721
Trugreen Ltd. Partnership, 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.75%), 3.91%, 03/19/26			203		198,779

					2,121,487

Diversified Financial Services — 0.3%^(m)
Advisor Group Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 5.00%), 5.16%, 07/31/26			190		178,936
Belron Finance LLC, Term Loan B, (LIBOR USD 3 Month + 2.50%), 2.77%, 10/30/26			178		174,246
BW Gas & Convenience Holdings LLC, Term Loan, (LIBOR USD 1 Month + 6.25%), 6.43%, 11/13/26			105		102,846
Connect Finco SARL, Term Loan B, 12/11/26⁽ⁿ⁾			1,120		1,089,258
Deerfield Dakota Holding, LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 4.75%, 04/09/27			572		563,378
Genuine Financial Holdings LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 07/11/25			404		368,429
SMG US Midco 2, Inc., Term Loan, (LIBOR USD 3 Month + 2.50%), 2.66% - 2.76%, 01/23/25			229		193,844
VICI Properties 1 LLC, Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.93%, 12/22/24			564		541,141
Ziggo Finance Partnership, Term Loan, (LIBOR USD 1 Month + 2.50%), 2.67%, 04/30/28			209		200,454

					3,412,532


Security		Par (000)		Value

Diversified Telecommunication Services — 0.3%^(m)
Altice Financing SA, Term Loan, (LIBOR USD 1 Month + 2.75%), 2.92%, 01/31/26	USD		350	$	336,084
Altice Financing SA, Term Loan B, (LIBOR USD 1 Month + 2.75%), 2.92%, 07/15/25			55		52,473
Altice France SA, Term Loan, (LIBOR USD 1 Month + 4.00%), 4.17%, 08/14/26			536		523,575
Iridium Satellite LLC, Term Loan, 11/04/26⁽ⁿ⁾			253		252,214
Level 3 Financing, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 03/01/27			328		317,409
MTN Infrastructure TopCo, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 11/15/24			401		389,951
Northwest Fiber LLC, Term Loan, (LIBOR USD 1 Month + 5.50%), 5.67%, 04/30/27			113		112,153
Telesat Canada, Term Loan, (LIBOR USD 1 Month + 2.75%), 2.92%, 12/07/26			75		72,292
Zayo Group LLC, Term Loan, 03/09/27⁽ⁿ⁾			1,717		1,665,549

					3,721,700

Electric Utilities — 0.1%^(m)
Calpine Corp., Term Loan B, (LIBOR USD 1 Month + 2.00%), 2.16%, 01/15/25			74		71,285
Edgewater Generation LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 12/13/25			138		133,292
PGE Corp., Term Loan, (LIBOR USD 3 Month + 4.50%), 5.50%, 06/23/25			374		369,441

					574,018

Electrical Equipment — 0.0%
Graftech International Ltd., 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.50%), 4.50%, 02/12/25^(m)			278		270,112


Entertainment — 0.1%^(m)
Creative Artists Agency LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 11/27/26			316		299,195
Datto, Inc., 1st Lien Term Loan, 04/02/26⁽ⁿ⁾			65		64,806
Kingpin Intermediate Holdings LLC, 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.50%), 4.50%, 07/03/24			268		215,086
Live Nation Entertainment, Inc., Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.94%, 10/19/26			306		282,906
Renaissance Learning, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 3.41%, 05/30/25			8		7,879
UFC Holdings LLC, First Lien Term Loan, (LIBOR USD 3 Month + 3.25%), 4.25%, 04/29/26			85		82,254
William Morris Endeavor Entertainment LLC, Term Loan B, (LIBOR USD 1 Month + 2.75%), 2.92%, 05/18/25			449		353,823

					1,305,949

Equity Real Estate Investment Trusts (REITs) — 0.0%^(m)
Claros Mortgage Trust, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.44%, 08/09/26^(c)			93		86,614
DTZ US Borrower LLC, Term Loan, 08/21/25⁽ⁿ⁾			204		195,006
RHP Hotel Properties LP, 1st Lien Term Loan, (LIBOR USD 1 Month + 2.00%), 2.17%, 05/11/24			76		71,828

					353,448

Food & Staples Retailing — 0.1%^(m)
H-Food Holdings LLC, Term Loan, (LIBOR USD 1 Month + 3.69%), 3.85%, 05/23/25			274		264,050
H-Food Incremental, Term Loan, 05/23/25⁽ⁿ⁾			131		128,516


Security		Par (000)		Value

Food & Staples Retailing (continued)
US Foods, Inc., Term Loan B:
06/27/23⁽ⁿ⁾	USD		460	$	435,275
(LIBOR USD 3 Month + 2.00%), 3.07%, 08/14/26			365		342,883

					1,170,724

Food Products — 0.2%^(m)
1011778 BC ULC, Term Loan B4, (LIBOR USD 1 Month + 1.75%), 1.91%, 11/19/26			374		358,714
8th Avenue Food & Provisions, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 3.67%, 10/01/25			178		174,738
Aramark Services, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 03/11/25			84		79,695
B&G Foods, Inc., Term Loan B, (LIBOR USD 1 Month + 2.50%), 2.66%, 10/10/26			21		21,058
Chobani LLC, Term Loan, 10/10/23⁽ⁿ⁾			609		602,277
Froneri International Ltd., 2nd Lien Term Loan, (LIBOR USD 1 Month + 5.75%), 5.91%, 01/31/28			23		22,195
Froneri International Ltd., Term Loan, (LIBOR USD 1 Month + 2.25%), 2.41%, 01/29/27			777		744,170
Hostess Brands LLC, Term Loan, (LIBOR USD 3 Month + 2.25%), 3.00%, 08/03/25			179		174,311
Nomad Foods Ltd., Term Loan, (LIBOR USD 1 Month + 2.25%), 2.42%, 05/15/24			177		171,569
Pathway Vet Alliance LLC, Term Loan, (LIBOR USD 6 Month + 4.00%), 4.18%, 03/31/27			66		64,324
TMK Hawk Parent Corp., Term Loan, (LIBOR USD 3 Month + 3.50%), 4.58%, 08/28/24			427		325,914

					2,738,965

Health Care Equipment & Supplies — 0.1%
Sotera Health Holdings LLC, Term Loan, (LIBOR USD 1 Month + 4.50%), 5.50%, 12/11/26^(m)			813		809,791


Health Care Providers & Services — 0.3%^(m)
AHP Health Partners, Inc., Term Loan, (LIBOR USD 1 Month + 4.50%), 5.50%, 06/30/25^(c)			108		106,725
Azalea TopCo, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 3.66% - 3.76%, 07/24/26			333		326,655
CHG Healthcare Services, Inc., Term Loan B, (LIBOR USD 3 Month + 3.00%), 4.07%, 06/07/23			303		297,982
Dentalcorp Perfect Smile ULC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.75%), 4.75%, 05/31/25			95		85,193
Envision Healthcare Corp., Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 10/10/25			288		188,707
Eyecare Partners LLC, Term Loan:
02/18/27⁽ⁿ⁾			32		29,023
(LIBOR USD 3 Month + 3.75%), 4.82%, 02/18/27			136		124,073
HCA, Inc., Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.91%, 03/13/25			80		78,622
MPH Acquisition Holdings LLC, Term Loan, 06/07/23⁽ⁿ⁾			158		155,750
nThrive, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 4.50%), 5.50%, 10/20/22			158		138,451
Option Care Health, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 4.50%), 4.66%, 08/06/26			295		292,993
Ortho-Clinical Diagnostics, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.42%, 06/30/25			444		431,147


Security		Par (000)		Value

Health Care Providers & Services (continued)
Team Health Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 3.75%, 02/06/24	USD		107	$	84,369
WCG Purchaser Corp., Term Loan, (LIBOR USD 3 Month + 4.00%), 5.24%, 01/08/27			203		200,463
Wink Holdco, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 12/02/24			226		220,527
WP CityMD Bidco LLC, Term Loan, (LIBOR USD 3 Month + 4.50%), 5.50% - 5.57%, 08/13/26			207		205,881

					2,966,561

Health Care Technology — 0.1%
Change Healthcare Holdings LLC, Term Loan B, (LIBOR USD 3 Month + 2.50%), 3.50%, 03/01/24^(m)			582		568,380


Hotels, Restaurants & Leisure — 0.3%^(m)
Aimbridge Acquisition, Inc., Term Loan B, (LIBOR USD 1 Month + 3.75%), 3.92%, 02/02/26			111		94,764
Aristocrat Leisure Ltd., Term Loan, (LIBOR USD 3 Month + 3.75%), 4.75%, 10/19/24^(c)			132		132,660
Caesars Resort Collection LLC, Term Loan:
(LIBOR USD 1 Month + 2.75%), 2.91%, 12/23/24			414		380,206
07/21/25⁽ⁿ⁾			441		424,326
CityCenter Holdings LLC, Term Loan B, (LIBOR USD 1 Month + 2.25%), 3.00%, 04/18/24			311		287,106
Flutter Entertainment plc, Term Loan, (LIBOR USD 3 Month + 3.50%), 3.81%, 07/10/25			163		162,685
Golden Nugget Online Gaming, Inc., Term Loan, (LIBOR USD 6 Month + 12.00%), 13.00%, 10/04/23^(c)			23		26,188
Golden Nugget, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.50%), 3.25%, 10/04/23			278		231,532
IRB Holding Corp., Term Loan, (LIBOR USD 3 Month + 2.75%), 3.75%, 02/05/25			268		250,730
KFC Holding Co., Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.94%, 04/03/25			109		105,478
Playa Resorts Holding BV, 1st Lien Term Loan B, (LIBOR USD 1 Month + 2.75%), 3.75%, 04/29/24			49		41,821
Playtika Holding Corp., Term Loan B, (LIBOR USD 3 Month + 6.00%), 7.07%, 12/10/24			159		160,117
Scientific Games International, Inc., Term Loan B, (LIBOR USD 3 Month + 2.75%), 2.91% - 3.61%, 08/14/24			111		100,489
Station Casinos LLC, Term Loan B, 02/08/27⁽ⁿ⁾			257		236,650
Whatabrands LLC, Term Loan B, (LIBOR USD 1 Month + 2.75%), 2.92%, 07/31/26			402		386,628

					3,021,380

Household Products — 0.0%
Reynolds Consumer Products LLC, Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 02/04/27^(m)			185		180,703


Independent Power and Renewable Electricity Producers — 0.0%
Calpine Corp., Term Loan, (LIBOR USD 1 Month + 2.00%), 2.16%, 08/12/26^(m)			399		387,836


Industrial Conglomerates — 0.1%^(m)
AVSC Holding Corp., 1st Lien Term Loan, (LIBOR USD 3 Month + 3.25%), 4.25%, 03/03/25			551		392,521
Filtration Group Corp., Term Loan B, (LIBOR USD 1 Month + 3.00%), 3.16%, 03/31/25			184		179,177


Security		Par (000)		Value

Industrial Conglomerates (continued)
Vertiv Group Corp., Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16%, 03/02/27	USD		981	$	957,255

					1,528,953

Insurance — 0.4%^(m)
Alliant Holdings Intermediate LLC, Term Loan, (LIBOR USD 1 Month + 2.75%), 2.91%, 05/09/25			499		480,474
AmWINS Group, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 3.75%, 01/25/24			444		437,234
AssuredPartners, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 3.66%, 02/12/27			167		161,446
AssuredPartners, Inc., Term Loan B, (LIBOR USD 1 Month + 4.50%), 5.50%, 02/12/27			53		52,339
Asurion LLC, 1st Lien Term Loan B6, (LIBOR USD 1 Month + 3.00%), 3.16%, 11/03/23			128		126,340
Asurion LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16%, 11/03/24			891		875,348
Asurion LLC, Term Loan B4, (LIBOR USD 1 Month + 3.00%), 3.16%, 08/04/22			33		32,160
HUB International Ltd., Term Loan B:
(LIBOR USD 3 Month + 3.00%), 3.22% - 3.26%, 04/25/25			635		616,135
(LIBOR USD 3 Month + 4.00%), 5.00%, 04/25/25			78		78,089
Ryan Specialty Group, Term Loan, 06/29/27⁽ⁿ⁾			212		210,410
Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 12/31/25⁽ⁿ⁾			361		344,210
Sedgwick Claims Management Services, Term Loan, (LIBOR USD 1 Month + 4.25%), 5.25%, 09/03/26			117		115,440
USI, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.00%), 3.31%, 05/16/24			676		652,015

					4,181,640

Interactive Media & Services — 0.0%
Goodrx, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 2.91%, 10/10/25^(m)			221		215,944


IT Services — 0.8%^(m)
Ancestry.com Operations, Inc., Term Loan B:
(LIBOR USD 1 Month + 3.75%), 4.75%, 10/19/23			391		382,711
08/27/26⁽ⁿ⁾			47		45,682
Applied Systems, Inc., Term Loan:
(LIBOR USD 3 Month + 3.25%), 4.25%, 09/19/24			552		546,211
(LIBOR USD 3 Month + 7.00%), 8.00%, 09/19/25			33		33,217
Boxer Parent Co., Inc., Term Loan B, 10/02/25⁽ⁿ⁾			313		301,315
Camelot U.S. Acquisition 1 Co., Term Loan B, 10/30/26⁽ⁿ⁾			583		569,486
CCC Information Services, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 04/29/24			354		350,650
Epicor Software Corp. Term Loan, 07/30/27⁽ⁿ⁾			180		179,445
Epicor Software Corp., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 06/01/22			372		371,754
Epicor Software Corp., 2nd Lien Term Loan, 07/31/28⁽ⁿ⁾			270		275,400
Greeneden US Holdings I LLC, Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.41%, 12/01/23			663		652,228
IG Investments Holdings LLC, Term Loan, (LIBOR USD 3 Month + 4.00%), 5.00%, 05/23/25			477		454,414


Security		Par (000)		Value

IT Services (continued)
Mitchell International, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.41%, 11/29/24	USD		224	$	212,706
Mitchell International, Inc., Term Loan, 11/29/24⁽ⁿ⁾			255		247,987
Peak 10 Holding Corp., Term Loan, (LIBOR USD 3 Month + 3.50%), 3.81%, 08/01/24			94		75,772
Pug LLC, Term Loan, (LIBOR USD 1 Month + 3.50%), 3.66%, 02/12/27			377		318,284
Rackspace Hosting, Inc., Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 11/03/23			42		40,932
Solera LLC, Term Loan B1, (LIBOR USD 1 Month + 2.75%), 2.91%, 03/03/23			518		508,456
Sophia LP, 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%), 4.25%, 09/30/22			653		647,478
SS&C Technologies Holdings, Inc., Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.91%, 04/16/25			50		48,375
SS&C Technologies Holdings, Inc., Term Loan B5, (LIBOR USD 1 Month + 1.75%), 1.91%, 04/16/25			244		235,986
Trans Union LLC, Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.91%, 11/16/26			492		478,424
Veritas US Inc., Term Loan B1, 01/27/23⁽ⁿ⁾			52		49,642
Verscend Holding Corp., Term Loan B, (LIBOR USD 1 Month + 4.50%), 4.66%, 08/27/25			330		328,028
Vertafore, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.41%, 07/02/25			726		689,658
VS Buyer LLC, Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.42%, 02/28/27			353		345,885
WEX, Inc., Term Loan, (LIBOR USD 1 Month + 2.25%), 2.41%, 05/15/26			539		519,609

					8,909,735

Life Sciences Tools & Services — 0.1%^(m)
Avantor Funding, Inc., Term Loan, (LIBOR USD 1 Month + 2.25%), 3.25%, 11/21/24			222		219,906
eResearchTechnology, Inc., Term Loan, (LIBOR USD 1 Month + 4.50%), 5.50%, 02/04/27			355		353,520

					573,426

Machinery — 0.1%^(m)
Gates Global LLC, Term Loan B, (LIBOR USD 1 Month + 2.75%), 3.75%, 04/01/24			503		490,619
Ingersoll-Rand Services Co., Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 03/01/27			314		301,668
Titan Acquisition Ltd., Term Loan, 03/28/25⁽ⁿ⁾			746		686,035
Vertical Midco GmbH, 1st Lien Term Loan, 07/14/27⁽ⁿ⁾			228		224,676

					1,702,998

Media — 0.4%^(m)
Ascend Learning LLC, Term Loan B, (LIBOR USD 1 Month + 3.00%), 4.00%, 07/12/24			229		224,176
Cable One, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%), 1.92%, 05/01/24			54		53,962
Charter Communications Operating, Term Loan B1, 04/30/25⁽ⁿ⁾			403		393,962
Clear Channel Outdoor Holdings, Inc., Term Loan, (LIBOR USD 3 Month + 3.50%), 3.71% - 3.76%, 08/21/26			826		733,215
CSC Holdings LLC, Term Loan, (LIBOR USD 1 Month + 2.25%), 2.42%, 07/17/25			108		104,046
CSC Holdings LLC, Term Loan B, (LIBOR USD 1 Month + 2.50%), 2.67%, 04/15/27			472		456,108


Security		Par (000)		Value

Media (continued)
Diamond Sports Group LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 3.42%, 08/24/26	USD		26	$	20,331
Gray Television, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 2.42%, 02/07/24			202		196,108
Intelsat Jackson Holdings SA, Term Loan:
(LIBOR USD 6 Month + 5.50%), 6.50% - 6.50%, 07/13/22			13		13,202
(LIBOR USD 6 Month + 4.75%), 8.00%, 11/27/23			75		75,433
LCPR Loan Financing LLC, Term Loan, (LIBOR USD 1 Month + 5.00%), 5.17%, 10/15/26			110		110,275
Learfield Communications LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 4.25%, 12/01/23			546		389,431
Lions Gate Capital Holdings LLC, Term Loan, (LIBOR USD 1 Month + 2.25%), 2.41%, 03/24/25			139		133,483
Midcontinent Communications, Term Loan, (LIBOR USD 6 Month + 1.75%), 1.91%, 08/15/26			73		71,333
Nexstar Broadcasting, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 2.92%, 09/18/26			72		69,599
Radiate Holdco LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.00%), 3.75%, 02/01/24			330		323,304
Sinclair Television Group, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 2.42%, 01/03/24			67		64,831
Terrier Media Buyer, Inc., Term Loan, (LIBOR USD 1 Month + 4.25%), 4.41%, 12/17/26			354		344,144
Trader Corp., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 09/28/23^(c)			541		519,360
Virgin Media Bristol LLC, Term Loan, (LIBOR USD 1 Month + 2.50%), 2.67%, 01/31/28			290		281,053
Xplornet Communications, Inc., Term Loan, (LIBOR USD 1 Month + 4.75%), 4.91%, 06/10/27			535		520,453

					5,097,809

Metals & Mining — 0.1%^(m)
Ball Metalpack Finco LLC, Term Loan, (LIBOR USD 3 Month + 4.50%), 4.86%, 07/31/25			203		189,360
Equinox Holdings, Inc., Term Loan B, (LIBOR USD 3 Month + 3.00%), 4.07%, 03/08/24			506		377,322

					566,682

Multiline Retail — 0.0%^(m)
Neiman Marcus Group Ltd. Inc., Term Loan, 05/08/25^(c)(n)			47		47,357
Neiman Marcus Group Ltd. LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 7.00%), 0.65%, 10/25/23			160		29,512
Neiman Marcus Group Ltd. LLC, Term Loan, (LIBOR USD 1 Month + 12.75%), 14.00% - 14.00%, 10/07/20			32		32,828

					109,697

Multi-Utilities — 0.0%
ExGen Renewables IV LLC, Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 11/28/24^(m)			245		241,839


Oil, Gas & Consumable Fuels — 0.1%^(m)
California Resources Corp., Term Loan, (LIBOR USD 3 Month + 10.38%), 11.38%, 12/31/21^(e)^(g)			208		6,582
CITGO Holding, Inc., Term Loan, (LIBOR USD 6 Month + 7.00%), 8.00%, 08/01/23			199		188,575


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Euro Garages Ltd., Term Loan B, (LIBOR USD 6 Month + 4.00%), 5.07%, 02/07/25	USD		428	$	406,227

					601,384

Personal Products — 0.1%
Sunshine Luxembourg VII SARL, Term Loan, 10/01/26^(m)(n)			662		658,602


Pharmaceuticals — 0.2%^(m)
Amneal Pharmaceuticals LLC, Term Loan B18, (LIBOR USD 1 Month + 3.50%), 3.69%, 03/21/25			290		272,250
Bausch Health Cos., Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 3.18%, 06/02/25			869		853,768
Catalent, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 3.25%, 05/18/26			260		257,443
Elanco Animal Health, Inc., Term Loan B, 08/01/27⁽ⁿ⁾			182		177,422
Grifols Worldwide Operations Ltd., Term Loan B, 11/15/27⁽ⁿ⁾			132		129,030
Jaguar Holding Co. I, Term Loan, (LIBOR USD 1 Month + 2.50%), 3.50%, 08/18/22			827		823,023
Mallinckrodt International Finance SA, 1st Lien Term Loan B, (LIBOR USD 3 Month + 2.75%), 3.50%, 09/24/24			94		78,562

					2,591,498

Professional Services — 0.1%^(m)
Dun & Bradstreet Corp. (The), 1st Lien Term Loan B, 02/06/26⁽ⁿ⁾			870		864,719
STG-Fairway Holdings LLC, Term Loan B, (LIBOR USD 3 Month + 3.50%), 4.57%, 01/31/27			124		116,173

					980,892

Real Estate Management & Development — 0.0%
Realogy Group LLC, Term Loan, 02/08/25^(c)(m)(n)			27		25,108


Road & Rail — 0.1%^(m)
Lineage Logistics LLC, Term Loan, 02/27/25⁽ⁿ⁾			659		646,824
Uber Technologies, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 3.66%, 07/13/23			310		302,519

					949,343

Semiconductors & Semiconductor Equipment — 0.0%
Microchip Technology, Inc., Term Loan, (LIBOR USD 1 Month + 2.00%), 2.17%, 05/29/25^(c)(m)			114		112,945


Software — 0.7%
Castle US Holding Corp., Term Loan, (LIBOR USD 3 Month + 3.75%), 4.06%, 01/29/27^(m)			362		340,056
Cornerstone OnDemand, Inc., Term Loan, (LIBOR USD 1 Month + 4.25%), 4.43%, 04/22/27^(m)			151		149,603
DTI Holdco, Inc., Term Loan, (LIBOR USD 3 Month + 4.75%), 5.75%, 09/29/23^(m)			219		172,556
Ellie Mae, Inc., 1st Lien Term Loan, (LIBOR USD 3 Month + 3.75%), 4.06%, 04/17/26^(m)			578		568,136
Informatica LLC, Term Loan:
7.13%, 02/25/25^(o)			214		215,783
(LIBOR USD 1 Month + 3.25%), 3.41%, 02/25/27^(m)			1,047		1,019,972
McAfee LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 3.92%, 09/30/24^(m)			487		482,128
MH Sub I LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 3.50%), 4.57%, 09/13/24^(m)			552		535,656
MH SUB I LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 4.75%, 09/13/24^(m)			88		87,193


Security		Par (000)		Value

Software (continued)
Refinitiv US Holdings, Inc., Term Loan, 10/01/25^(m)(n)	USD		1,173	$	1,163,047
RP Crown Parent LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 2.75%), 3.75%, 10/12/23^(m)			329		327,005
RP Crown Parent LLC, Term Loan, 02/02/26^(m)(n)			113		112,435
Severin Acquisition LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.42%, 08/01/25^(m)			492		475,297
SolarWinds, Inc., Term Loan B, (LIBOR USD 1 Month + 2.75%), 2.91%, 02/05/24^(m)			464		456,369
SS&C Technologies Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 04/16/25^(m)			35		33,987
TIBCO Software, Inc., 1st Lien Term Loan, 06/30/26^(m)(n)			482		462,681
TIBCO Software, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.25%), 7.42%, 03/03/28^(m)			434		413,893
Ultimate Software Group, Inc. (The), 1st Lien Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 05/04/26^(m)			720		712,384
Ultimate Software Group, Inc., (The), Term Loan:^(m)
05/04/26⁽ⁿ⁾			854		853,684
(LIBOR USD 3 Month + 6.75%), 7.50%, 05/03/27			242		246,034

					8,827,899

Specialty Retail — 0.1%^(m)
Belron Finance US LLC, Term Loan B, (LIBOR USD 3 Month + 2.50%), 2.97%, 11/07/24			310		302,622
MED ParentCo LP, Delayed Draw Term Loan, (LIBOR USD 3 Month + 4.25%), 4.62% - 4.61%, 08/31/26			37		33,727
MED ParentCo LP, Term Loan, (LIBOR USD 3 Month + 4.25%), 4.61%, 08/31/26			213		192,229
Midas Intermediate Holdco II LLC, Term Loan B, (LIBOR USD 3 Month + 2.75%), 3.75%, 08/18/21			178		155,518
PetSmart, Inc., Term Loan, 03/11/22⁽ⁿ⁾			647		642,895

					1,326,991

Technology Hardware, Storage & Peripherals — 0.0%^(m)
Electronics for Imaging, Inc., Term Loan, 07/23/26⁽ⁿ⁾			203		153,073
Western Digital Corp., 1st Lien Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.91%, 04/29/23			199		194,851

					347,924

Trading Companies & Distributors — 0.0%
HD Supply, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 10/17/23^(m)			488		480,016


Wireless Telecommunication Services — 0.1%^(m)
Digicel International Finance Ltd., Term Loan, (LIBOR USD 3 Month + 3.25%), 4.30%, 05/27/24			178		152,236
Hargray Communications Group, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 05/16/24			226		220,314
SBA Senior Finance II LLC, 2nd Lien Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.92%, 04/06/25			328		317,870


Security		Par (000)		Value

Wireless Telecommunication Services (continued)
T-Mobile USA, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16%, 04/01/27	USD		942	$	945,024

					1,635,444


Total Floating Rate Loan Interests — 6.8% (Cost: $83,168,920)					80,206,714


Foreign Agency Obligations — 0.6%

Argentina — 0.0%
YPF SA, 8.75%, 04/04/24^(b)			737		658,362


Bahrain — 0.1%
CBB International Sukuk Co. 7 SPC, 6.88%, 10/05/25			738		828,174


Brazil — 0.0%
Centrais Eletricas Brasileiras SA, 4.63%, 02/04/30^(b)			497		501,349


China — 0.1%
Chengdu Xingcheng Investment Group Co. Ltd., 2.50%, 03/20/21	EUR		100		116,065
China Cinda Asset Management Co. Ltd., 4.45%^(d)(h)	USD		200		201,625
China Minmetals Corp., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.72%), 3.75%^(d)(h)			200		202,562
Guangxi Financial Investment Group Co. Ltd., 5.75%, 01/23/21			200		196,500

					716,752

Colombia — 0.1%^(b)
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29			453		461,381
Grupo Energia Bogota SA ESP, 4.88%, 05/15/30			200		218,750

					680,131

Indonesia — 0.1%
Bank Tabungan Negara Persero Tbk. PT, 4.20%, 01/23/25			250		247,656
Pertamina Persero PT, 4.30%, 05/20/23			388		415,032
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara:
6.15%, 05/21/48			200		269,687
4.88%, 07/17/49			200		232,313

					1,164,688

Mexico — 0.2%
Petroleos Mexicanos:
6.88%, 08/04/26			1,163		1,156,313
6.50%, 03/13/27			453		431,482
5.35%, 02/12/28			447		392,103

					1,979,898

Sri Lanka — 0.0%
SriLankan Airlines Ltd., 7.00%, 06/25/24			400		260,000


Total Foreign Agency Obligations — 0.6% (Cost: $6,152,428)					6,789,354


Foreign Government Obligations — 2.3%

Bahrain — 0.0%
Kingdom of Bahrain, 6.75%, 09/20/29			241		266,230


Colombia — 0.3%
Republic of Colombia:
8.13%, 05/21/24			51		62,245
4.50%, 01/28/26			2,426		2,705,748


Security	Par (000)			Value

Colombia (continued)
3.88%, 04/25/27		USD	205	$	223,143

					2,991,136

Dominican Republic — 0.2%
Dominican Republic Government Bond:
5.50%, 01/27/25			359		371,902
5.95%, 01/25/27			1,036		1,094,922
6.40%, 06/05/49			246		248,229

					1,715,053

Egypt — 0.2%
Arab Republic of Egypt:
5.75%, 05/29/24^(b)			455		459,550
5.88%, 06/11/25			1,046		1,057,768
7.60%, 03/01/29			1,235		1,256,612

					2,773,930

Indonesia — 0.2%
Republic of Indonesia:
4.75%, 01/08/26			898		1,037,751
4.10%, 04/24/28			1,264		1,447,280

					2,485,031

Maldives — 0.0%
Republic of Maldives, 7.00%, 06/07/22			200		144,625


Mexico — 0.2%
United Mexican States:
4.15%, 03/28/27			1,069		1,175,366
3.75%, 01/11/28			650		697,125
8.30%, 08/15/31			35		51,384

					1,923,875

Mongolia — 0.0%
Government of Mongolia, 8.75%, 03/09/24			200		220,063


Panama — 0.1%
Republic of Panama, 3.16%, 01/23/30			1,282		1,431,033


Paraguay — 0.1%
Republic of Paraguay^(b):
4.95%, 04/28/31			200		227,200
5.40%, 03/30/50			555		691,322

					918,522

Peru — 0.1%
Republic of Peru, 2.78%, 01/23/31			1,051		1,171,865


Qatar — 0.2%
State of Qatar:
4.50%, 04/23/28			1,414		1,712,708
4.00%, 03/14/29^(b)			681		808,687

					2,521,395

Romania — 0.1%
Romania Government Bond, 3.00%, 02/14/31^(b)			488		497,150


Russia — 0.2%
Russian Federation:
4.75%, 05/27/26			1,400		1,616,300
4.25%, 06/23/27			800		902,000

					2,518,300

Saudi Arabia — 0.2%
Kingdom of Saudi Arabia, 4.50%, 04/17/30			1,540		1,871,100
Saudi Arabian Oil Co.:
3.50%, 04/16/29			445		496,592


Security	Par (000)			Value

Saudi Arabia (continued)
3.50%, 04/16/29^(b)		USD	225	$	251,086

					2,618,778

South Africa — 0.0%
Republic of South Africa, 5.88%, 05/30/22			425		448,906


Sri Lanka — 0.1%
Democratic Socialist Republic of Sri Lanka:
6.25%, 10/04/20			400		387,750
5.88%, 07/25/22			200		168,562
6.85%, 03/14/24			200		158,813
6.35%, 06/28/24			200		158,250
7.85%, 03/14/29			650		484,859

					1,358,234

Ukraine — 0.1%
Ukraine Government Bond:
7.75%, 09/01/22			126		130,851
7.75%, 09/01/23			237		245,887
8.99%, 02/01/24			227		243,458
7.75%, 09/01/25			325		335,238
7.25%, 03/15/33^(b)			526		508,905

					1,464,339

Uruguay — 0.0%
Oriental Republic of Uruguay, 4.98%, 04/20/55			179		249,249


Total Foreign Government Obligations — 2.3% (Cost: $26,115,993)					27,717,714


	Shares

Investment Companies — 9.0%
BlackRock Allocation Target Shares, Series A*			3,000,118		29,431,156
BlackRock Floating Rate Income Portfolio, Class K Shares*			942,984		8,986,640
Invesco Senior Loan ETF^(p)			49,351		1,067,956
iShares Core S&P 500 ETF*			66,176		21,693,817
iShares iBoxx $ High Yield Corporate Bond ETF*			253,497		21,646,109
iShares iBoxx $ Investment Grade Corporate Bond ETF*			175,545		24,286,651


Total Investment Companies — 9.0% (Cost: $104,436,016)					107,112,329


	Par (000)

Non-Agency Mortgage-Backed Securities — 2.7%

Collateralized Mortgage Obligations — 0.4%
Alternative Loan Trust^(a):
Series 2005-16, Class A1, 2.97%, 06/25/35			59		53,163
Series 2005-72, Class A3, 0.77%, 01/25/36			110		98,779
Series 2006-OA14, Class 1A1, 3.05%, 11/25/46			101		82,265
Series 2006-OA8, Class 1A1, 0.36%, 07/25/46			244		209,372
Series 2007-OA3, Class 1A1, 0.31%, 04/25/47			278		248,390
American Home Mortgage Assets Trust, Series 2006-5, Class A1, 2.24%, 11/25/46^(a)			998		427,888
Banc of America Mortgage Trust, Series 2007- 4, Class 1A1, 6.25%, 12/28/37			64		62,287
CitiMortgage Alternative Loan Trust, Series 2007-A2, Class 1A13, 5.75%, 02/25/37			400		391,037
CSMC Trust, Series 2019-JR1, Class A1, 4.10%, 09/27/66^(a)(b)			270		270,786
GSR Mortgage Loan Trust, Series 2006-OA1, Class 1A1, 0.39%, 08/25/46^(a)			441		152,552


Security		Par (000)		Value

Collateralized Mortgage Obligations (continued)
Impac CMB Trust, Series 2005-6, Class 1A1, 0.67%, 10/25/35^(a)	USD		288	$	268,058
Prima Capital CRE Securitization Ltd., Series 2016-6A, Class C, 4.00%, 08/24/40^(b)(c)			2,000		1,800,000
Reperforming Loan REMIC Trust, Series 2005- R2, Class 1AF1, 0.51%, 06/25/35^(a)(b)			68		62,969
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 2A1, 0.36%, 07/25/46^(a)			102		78,763
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 3A1, 6.50%, 05/25/36^(k)			520		482,127

					4,688,436

Commercial Mortgage-Backed Securities — 2.3%
280 Park Avenue Mortgage Trust, Series 2017- 280P, Class E, 2.29%, 09/15/34^(a)(b)			630		600,245
Ashford Hospitality Trust, Series 2018-ASHF, Class D, 2.27%, 04/15/35^(a)(b)			540		486,251
Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class E, 3.22%, 12/15/36^(a)(b)			106		85,966
BAMLL Commercial Mortgage Securities Trust^(a)^(b):
Series 2016-ISQ, Class E, 3.61%, 08/14/34			600		571,665
Series 2018-DSNY, Class D, 1.87%, 09/15/34			1,058		977,176
Bayview Commercial Asset Trust, Series 2007- 4A, Class A1, 0.62%, 09/25/37^(a)(b)			499		450,755
BBCMS Mortgage Trust, Series 2018-CHRS, Class E, 4.27%, 08/05/38^(a)(b)			200		137,128
BBCMS Trust, Series 2015-STP, Class E, 4.28%, 09/10/28^(a)(b)			200		198,580
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW18, Class B, 6.48%, 06/11/50^(a)(b)			204		207,414
Benchmark Mortgage Trust^(a):
Series 2018-B5, Class D, 3.11%, 07/15/51^(b)			550		360,813
Series 2018-B7, Class C, 4.86%, 05/15/53			500		514,154
BWAY Mortgage Trust, Series 2015-1740, Class E, 4.45%, 01/10/35^(a)(b)			337		310,550
BX Commercial Mortgage Trust^(a)(b):
Series 2018-IND, Class G, 2.22%, 11/15/35			1,050		1,034,183
Series 2018-IND, Class H, 3.17%, 11/15/35			1,050		1,019,389
Series 2019-XL, Class G, 2.47%, 10/15/36			1,187		1,156,858
Series 2019-XL, Class J, 2.82%, 10/15/36			1,187		1,154,899
Citigroup Commercial Mortgage Trust^(a):
Series 2016-C1, Class D, 4.95%, 05/10/49^(b)			110		81,188
Series 2018-C6, Class C, 5.07%, 11/10/51			361		350,197
Commercial Mortgage Trust:
Series 2013-GAM, Class E, 3.42%, 02/10/28^(a)(b)			1,000		681,767
Series 2014-UBS4, Class C, 4.64%, 08/10/47^(a)			370		350,577
Series 2015-LC19, Class A4, 3.18%, 02/10/48			465		503,086
Series 2015-LC19, Class D, 2.87%, 02/10/48^(b)			266		231,419
Series 2015-LC21, Class C, 4.34%, 07/10/48^(a)			700		665,294
Series 2017-COR2, Class D, 3.00%, 09/10/50^(b)			309		226,472
Series 2018-HCLV, Class B, 1.57%, 09/15/33^(a)(b)			400		377,110
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D, 4.89%, 11/15/51^(a)(b)			457		397,603
DBJPM Mortgage Trust, Series 2016-C3, Class D, 3.49%, 08/10/49^(a)(b)			469		337,786


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.53%, 10/10/34^(a)(b)	USD		420	$	405,988
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.59%, 06/10/28^(a)(b)			500		490,060
GS Mortgage Securities Corp. Trust^(a)(b):
Series 2017-500K, Class F, 2.15%, 07/15/32			329		320,718
Series 2017-500K, Class G, 2.85%, 07/15/32			454		432,647
GS Mortgage Securities Trust:
Series 2015-GC32, Class D, 3.35%, 07/10/48			360		234,481
Series 2017-GS7, Class E, 3.00%, 08/10/50^(b)			560		386,600
JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class D, 3.00%, 06/13/52^(b)			2,000		1,367,264
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class C, 4.51%, 03/15/50^(a)			135		122,717
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2015-JP1, Class D, 4.23%, 01/15/49^(a)			500		392,725
Series 2015-JP1, Class E, 4.23%, 01/15/49^(a)^(b)			371		254,520
Series 2015-UES, Class E, 3.62%, 09/05/32^(a)(b)			500		494,153
Series 2018-WPT, Class FFX, 5.54%, 07/05/33^(b)			490		461,736
LCCM Mortgage Trust, Series 2014-909, Class E, 3.90%, 05/15/31^(a)(b)			150		147,617
MAD Mortgage Trust, Series 2017-330M, Class E, 4.03%, 08/15/34^(a)(b)			151		149,061
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2015-C25, Class D, 3.07%, 10/15/48			222		170,047
Series 2015-C26, Class D, 3.06%, 10/15/48^(b)(c)			450		315,000
Morgan Stanley Capital I Trust:
Series 2014-CPT, Class G, 3.45%, 07/13/29^(a)(b)			700		712,687
Series 2015-MS1, Class D, 4.03%, 05/15/48^(a)(b)			700		549,078
Series 2017-CLS, Class E, 2.12%, 11/15/34^(a)(b)			531		512,685
Series 2017-HR2, Class D, 2.73%, 12/15/50^(c)			250		200,225
Series 2018-H3, Class C, 4.85%, 07/15/51^(a)			320		328,085
Series 2018-MP, Class E, 4.28%, 07/11/40^(a)^(b)			330		249,913
Series 2018-SUN, Class F, 2.72%, 07/15/35^(a)(b)			450		417,067
Series 2019-L2, Class A4, 4.07%, 03/15/52			500		592,833
USDC, Series 2018-USDC, Class F, 4.49%, 05/13/38^(a)(b)			280		202,559
VCC Trust, Series 2020-MC1, Class A, 4.50%, 06/25/45^(b)			2,905		2,852,711
Wells Fargo Commercial Mortgage Trust:
Series 2016-NXS5, Class B, 4.94%, 01/15/59^(a)			250		282,249
Series 2017-C39, Class C, 4.12%, 09/15/50			113		114,042
Series 2017-C41, Class D, 2.60%, 11/15/50^(a)(b)			492		323,439
Series 2018-C44, Class C, 4.83%, 05/15/51^(a)			170		161,990
Series 2018-C44, Class D, 3.00%, 05/15/51^(b)			240		169,301


Security		Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Series 2018-C45, Class C, 4.73%, 06/15/51	USD		110	$	102,610

					27,385,333

Interest Only Commercial Mortgage-Backed Securities — 0.0%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class XD, 1.34%, 10/15/48^(a)(b)			4,650		295,740


Total Non-Agency Mortgage-Backed Securities — 2.7% (Cost: $34,303,688)					32,369,509


Preferred Securities — 4.0%

Capital Trusts — 2.4%

Banks — 0.8%^(h)(m)
Bank of America Corp., Series X, 6.25%			4,543		4,936,938
CIT Group, Inc., Series A, 5.80%			185		143,255
Fifth Third Bancorp, Series J, 3.44%			1,600		1,376,000
JPMorgan Chase & Co., Series HH, 4.60%			2,075		2,007,770
M&T Bank Corp., Series F, 5.13%			625		640,625
Wells Fargo & Co., Series S, 5.90%			200		203,500

					9,308,088

Capital Markets — 0.6%^(m)
Bank of New York Mellon Corp. (The), Series F, 4.62%^(h)			1,225		1,264,745
Goldman Sachs Group, Inc. (The)^(h):
Series M, 4.37%			390		378,788
Series O, 5.30%			145		154,794
Morgan Stanley, Series H, 3.89%^(h)			100		94,000
Northern Trust Corp., Series D, 4.60%^(h)			1,175		1,213,187
State Street Corp., 1.31%, 06/15/47			3,466		2,807,663

					5,913,177

Consumer Finance — 0.6%^(h)(m)
Capital One Financial Corp., Series E, 4.15%			3,515		3,058,050
Discover Financial Services, Series C, 5.50%			1,200		1,094,885
General Motors Financial Co., Inc., Series A, 5.75%			2,908		2,739,878

					6,892,813

Diversified Financial Services — 0.2%
Voya Financial, Inc., Series A, 6.13%^(h)(m)			2,490		2,574,436


Insurance — 0.1%
Progressive Corp. (The), Series B, 5.38%^(h)(m)			1,235		1,244,429


Oil, Gas & Consumable Fuels — 0.1%^(h)(m)
Energy Transfer Operating LP:
Series B, 6.63%			400		288,000
Series G, 7.13%			1,475		1,226,094
EnLink Midstream Partners LP, Series C, 6.00%			918		348,840
Plains All American Pipeline LP, Series B, 6.13%			164		114,595

					1,977,529


Total Capital Trusts — 2.4% (Cost: $29,279,607)					27,910,472


		Shares

Preferred Stocks — 1.6%

Banks — 0.6%^(h)(m)
KeyCorp, Series E, 6.13%			32,500		915,525
US Bancorp, Series F, 6.50%			26,000		694,720
Wells Fargo & Co., Series Q, 5.85%			200,000		5,046,000

					6,656,245

Capital Markets — 0.2%
Morgan Stanley, Series K, 5.85%^(h)(m)			83,000		2,374,630


Consumer Finance — 0.0%
SLM Corp., Series B, 2.01%^(h)(m)			11,500		356,960


Security	Shares		Value

Electric Utilities — 0.2%
Entergy Arkansas LLC, 4.88%		26,210	$	686,964
Entergy Louisiana LLC, 4.88%		4,525		117,424
Entergy Mississippi LLC, 4.90%		25,401		669,570
Entergy Texas, Inc., 5.63%		4,716		123,889

				1,597,847

Insurance — 0.1%
Allstate Corp. (The), Series H, 5.10%^(h)		50,000		1,349,000


Oil, Gas & Consumable Fuels — 0.1%
Energy Transfer Operating LP, Series E, 7.60%^(h)(m)		75,000		1,426,500


Technology Hardware, Storage & Peripherals — 0.4%
Samsung Electronics Co. Ltd. (Preference)		113,562		4,743,236


Total Preferred Stocks — 1.6% (Cost: $18,076,683)				18,504,418


Trust Preferreds — 0.0%

Commercial Services & Supplies — 0.0%
ILFC E-Capital Trust I, 3.02%, 12/21/65^(b)(m)		896,000		447,113


Consumer Finance — 0.0%
ILFC E-Capital Trust II, 3.27%, 12/21/65^(b)(m)		397,000		210,410


Total Trust Preferreds — 0.0% (Cost: $1,257,798)				657,523


Total Preferred Securities — 4.0% (Cost: $48,614,088)				47,072,413


Rights — 0.0% ^(e)

Diversified Telecommunication Services — 0.0%
Cellnex Telecom SA (Expires 08/08/20)		12,571		52,568


Total Rights — 0.0% (Cost: $–)				52,568


	Par (000)

U.S. Government Sponsored Agency Securities — 0.1%

Commercial Mortgage-Backed Securities — 0.1%
Federal Home Loan Mortgage Corp. Variable Rate Notes:
Series 2018-K80, Class B, (LIBOR USD 1 Month + 0.00%), 4.23%, 08/25/50^(b)(d)		300		342,073
Series 2018-K732, Class B, 4.06%, 05/25/25^(a)(b)		200		216,702
Series 2018-SB52, Class A10F, 3.48%, 06/25/28^(a)		314		336,589

				895,364

Interest Only Commercial Mortgage-Backed Securities — 0.0%
Government National Mortgage Association Variable Rate Notes^(a):
Series 2013-63, 0.80%, 09/16/51		892		23,313
Series 2016-67, 1.05%, 07/16/57		344		19,899
Series 2016-162, 0.97%, 09/16/58		2,198		143,898
Series 2017-44, 0.68%, 04/17/51		2,108		100,706

				287,816


Total U.S. Government Sponsored Agency Securities — 0.1% (Cost: $1,244,432)				1,183,180


Total Long-Term Investments — 91.6% (Cost: $1,079,368,831)				1,084,526,058

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 rating 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.

The following table represents the individual long positions and related values of equity securities underlying the total return swap with JPMorgan Chase Bank NA, as of July 31, 2020, expiration date 02/08/23:


	Shares		Value		% of Basket Value

Reference Entity — Long

Egypt
Commercial International Bank Egypt SAE		17,449	$	68,676		11.4	%

United Kingdom
Prudential plc		37,274		532,674		88.6


Total Reference Entity — Long				601,350


Net Value of Reference Entity — JPMorgan Chase Bank NA			$	601,350

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

For the year ended July 31, 2020, the effect of derivative financial instruments in the Statements of Operations was 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:

The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.


Security		Par (000)		Value

Asset-Backed Securities — 11.6%
Accredited Mortgage Loan Trust, Series 2004-4, Class M2, (LIBOR USD 1 Month + 1.58%), 1.75%, 01/25/35^(a)	USD		1,303	$	1,181,415
AGL Core CLO 5 Ltd., Series 2020-5A, Class B, (LIBOR USD 3 Month + 2.78%), 3.08%, 07/20/30^(a)(b)			3,000		2,973,146
AIG CLO Ltd., Series 2019-2A, Class A, (LIBOR USD 3 Month + 1.36%), 1.60%, 10/25/32^(a)(b)			11,500		11,298,177
AIMCO CLO^(a)(b):
Series 2015-AA, Class BR, (LIBOR USD 3 Month + 1.30%), 1.58%, 01/15/28			1,500		1,433,615
Series 2018-AA, Class A, (LIBOR USD 3 Month + 1.02%), 1.29%, 04/17/31			2,700		2,645,551
Ajax Mortgage Loan Trust^(b):
Series 2018-E, Class A, 4.38%, 06/25/58^(c)			6,117		6,225,133
Series 2018-E, Class B, 5.25%, 06/25/58^(c)(d)			630		633,717
Series 2018-E, Class C, 0.00%, 06/25/58^(c)			1,566		1,144,259
Series 2018-F, Class A, 4.38%, 11/25/58^(c)(d)			6,222		6,272,470
Series 2018-F, Class B, 5.25%, 11/25/58^(c)(d)			719		713,004
Series 2018-F, Class C, 0.00%, 11/25/58			1,695		1,005,393
Series 2018-G, Class A, 4.38%, 06/25/57^(c)(d)			6,238		6,050,782
Series 2018-G, Class B, 5.25%, 06/25/57^(c)(d)			816		611,625
Series 2018-G, Class C, 5.25%, 06/25/57^(d)			2,082		2,037,302
Series 2019-B, Class A, 3.75%, 01/25/59^(c)			3,314		3,364,086
Series 2019-B, Class B, 5.25%, 01/25/59^(c)(d)			420		315,000
Series 2019-B, Class C, 0.00%, 01/25/59^(d)			1,075		917,255
Allegany Park CLO Ltd., Series 2019-1A, Class A, (LIBOR USD 3 Month + 1.33%), 1.60%, 01/20/33^(a)(b)			4,000		3,944,804
Allegro CLO II-S Ltd., Series 2014-1RA, Class B, (LIBOR USD 3 Month + 2.15%), 2.42%, 10/21/28^(a)(b)			1,300		1,249,588
Allegro CLO VI Ltd.^(a)(b):
Series 2017-2A, Class A, (LIBOR USD 3 Month + 1.13%), 1.40%, 01/17/31			5,350		5,247,168
Series 2017-2A, Class B, (LIBOR USD 3 Month + 1.50%), 1.77%, 01/17/31			1,000		959,211
Allegro CLO VII Ltd., Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.65%), 1.92%, 06/13/31^(a)(b)			1,000		964,924
Allegro CLO XI Ltd., Series 2019-2A, Class A1A, (LIBOR USD 3 Month + 1.39%), 1.66%, 01/19/33^(a)(b)			2,000		1,980,654
ALM 2020 Ltd., Series 2020-1A, Class A2, (LIBOR USD 3 Month + 1.85%), 2.13%, 10/15/29^(a)(b)			3,500		3,422,966
ALM VII R Ltd.^(a)(b):
Series 2013-7RA, Class A1R, (LIBOR USD 3 Month + 1.41%), 1.69%, 10/15/28			4,175		4,156,054
Series 2013-7RA, Class A2R, (LIBOR USD 3 Month + 2.00%), 2.27%, 10/15/28			1,000		991,569
Series 2013-7RA, Class BR, (LIBOR USD 3 Month + 2.70%), 2.98%, 10/15/28			1,000		991,118
ALM VII R-2 Ltd.^(a)(b):
Series 2013-7R2A, Class A2R2, (LIBOR USD 3 Month + 1.65%), 1.92%, 10/15/27			2,000		1,951,513
Series 2013-7R2A, Class BR2, (LIBOR USD 3 Month + 2.20%), 2.48%, 10/15/27			600		570,692
ALM XVI Ltd., Series 2015-16A, Class CR2, (LIBOR USD 3 Month + 2.70%), 2.98%, 07/15/27^(a)(b)			3,000		2,816,510
American Express Credit Account Master Trust:
Series 2017-5, Class A, (LIBOR USD 1 Month + 0.38%), 0.55%, 02/18/25^(a)			1,200		1,203,579
Series 2018-4, Class A, 2.99%, 12/15/23			3,010		3,073,539
Series 2018-6, Class A, 3.06%, 02/15/24			1,535		1,575,255


Security		Par (000)		Value

Asset-Backed Securities (continued)
Series 2019-2, Class A, 2.67%, 11/15/24	USD		1,960	$	2,037,407
AMMC CLO 16 Ltd., Series 2015-16A, Class AR, (LIBOR USD 3 Month + 1.26%), 1.53%, 04/14/29^(a)(b)			8,000		7,934,340
AMMC CLO 21 Ltd., Series 2017-21A, Class A, (LIBOR USD 3 Month + 1.25%), 1.81%, 11/02/30^(a)(b)			1,750		1,727,447
AMMC CLO XII Ltd., Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.20%), 1.65%, 11/10/30^(a)(b)			2,000		1,970,157
AMSR Trust^(b):
Series 2020-SFR1, Class E, 3.22%, 04/17/37			10,250		10,214,914
Series 2020-SFR1, Class F, 3.57%, 04/17/37			19,850		19,191,683
Series 2020-SFR1, Class G, 4.31%, 04/17/37			7,500		7,174,437
Anchorage Capital CLO 13 LLC, Series 2019-13A, Class A, (LIBOR USD 3 Month + 1.47%), 1.74%, 04/15/32^(a)(b)			10,500		10,459,122
Anchorage Capital CLO 3-R Ltd.^(a)(b):
Series 2014-3RA, Class B, (LIBOR USD 3 Month + 1.50%), 1.75%, 01/28/31			3,400		3,275,108
Series 2014-3RA, Class C, (LIBOR USD 3 Month + 1.85%), 2.10%, 01/28/31			1,250		1,181,976
Anchorage Capital CLO 4-R Ltd.^(a)(b):
Series 2014-4RA, Class C, (LIBOR USD 3 Month + 1.85%), 2.10%, 01/28/31			600		568,680
Series 2014-4RA, Class D, (LIBOR USD 3 Month + 2.60%), 2.85%, 01/28/31			2,250		2,012,747
Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class C, (LIBOR USD 3 Month + 1.85%), 2.13%, 01/15/30^(a)(b)			1,850		1,735,990
Anchorage Capital CLO 6 Ltd.^(a)(b):
Series 2015-6A, Class AR, (LIBOR USD 3 Month + 1.27%), 1.55%, 07/15/30			4,189		4,139,680
Series 2015-6A, Class CR, (LIBOR USD 3 Month + 2.40%), 2.68%, 07/15/30			1,000		978,665
Anchorage Capital CLO 8 Ltd.^(a)(b):
Series 2016-8A, Class BR, (LIBOR USD 3 Month + 1.60%), 1.85%, 07/28/28			1,400		1,359,715
Series 2016-8A, Class DR, (LIBOR USD 3 Month + 3.00%), 3.25%, 07/28/28			4,000		3,780,950
Anchorage Capital CLO Ltd.^(a)(b):
Series 2013-1A, Class A1R, (LIBOR USD 3 Month + 1.25%), 1.52%, 10/13/30			9,000		8,880,288
Series 2018-10A, Class A1A, (LIBOR USD 3 Month + 1.20%), 1.47%, 10/15/31			7,650		7,485,798
Series 2018-10A, Class B, (LIBOR USD 3 Month + 1.75%), 2.03%, 10/15/31			3,000		2,925,992
Anchorage Capital Europe CLO 2 DAC, Series 2X, Class E, (EURIBOR 3 Month + 5.66%), 5.66%, 05/15/31^(a)	EUR		499		549,636
Antares CLO Ltd., Series 2017-2A, Class A, (LIBOR USD 3 Month + 1.53%), 1.80%, 01/20/30^(a)(b)	USD		5,000		4,806,997
Apidos CLO XII, Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.08%), 1.36%, 04/15/31^(a)(b)			2,400		2,351,498
Apidos CLO XV^(a)(b):
Series 2013-15A, Class CRR, (LIBOR USD 3 Month + 1.85%), 2.12%, 04/20/31			7,000		6,535,403
Series 2013-15A, Class DRR, (LIBOR USD 3 Month + 2.70%), 2.97%, 04/20/31			2,000		1,780,434
Apidos CLO XX, Series 2015-20A, Class BRR, (LIBOR USD 3 Month + 1.95%), 2.22%, 07/16/31^(a)(b)			1,750		1,646,892


Security		Par (000)		Value

Asset-Backed Securities (continued)
Apidos CLO XXII, Series 2015-22A, Class CR, (LIBOR USD 3 Month + 2.95%), 3.22%, 04/20/31^(a)(b)	USD		1,000	$	908,357
Apidos CLO XXIX, Series 2018-29A, Class A2, (LIBOR USD 3 Month + 1.55%), 1.79%, 07/25/30^(a)(b)			1,000		961,303
Apidos CLO XXV Ltd., Series 2016-25A, Class A1R, (LIBOR USD 3 Month + 1.17%), 1.44%, 10/20/31^(a)(b)			4,500		4,434,417
Apidos CLO XXVII, Series 2017-27A, Class A2, (LIBOR USD 3 Month + 1.70%), 1.97%, 07/17/30^(a)(b)			2,000		1,950,192
Apidos CLO XXX, Series XXXA, Class A1A, (LIBOR USD 3 Month + 1.14%), 1.41%, 10/18/31^(a)(b)			2,000		1,963,468
Apidos CLO XXXII, Series 2019-32A, Class C, (LIBOR USD 3 Month + 2.40%), 2.67%, 01/20/33^(a)(b)			1,000		981,881
Aqueduct European CLO DAC, Series 2017-2X, Class E, (EURIBOR 3 Month + 4.40%), 4.40%, 10/15/30^(a)	EUR		219		220,098
Arbour CLO IV DAC, Series 4X, Class E, (EURIBOR 3 Month + 5.60%), 5.60%, 01/15/30^(a)			468		516,101
Ares CLO, Series 2018-50A, Class B, (LIBOR USD 3 Month + 1.70%), 1.98%, 01/15/32^(a)(b)USD			4,000		3,880,600
ARES LII CLO Ltd., Series 2019-52A, Class B, (LIBOR USD 3 Month + 1.85%), 2.11%, 04/22/31^(a)(b)			5,000		4,836,239
Ares LIII CLO Ltd.^(a)(b):
Series 2019-53A, Class C, (LIBOR USD 3 Month + 2.65%), 2.91%, 04/24/31			4,500		4,442,569
Series 2019-53A, Class D, (LIBOR USD 3 Month + 3.75%), 4.01%, 04/24/31			3,000		2,896,557
Ares XL CLO Ltd., Series 2016-40A, Class CR, (LIBOR USD 3 Month + 3.40%), 3.67%, 01/15/29^(a)(b)			1,000		944,885
Ares XLI CLO Ltd., Series 2016-41A, Class AR, (LIBOR USD 3 Month + 1.20%), 1.47%, 01/15/29^(a)(b)			10,250		10,122,464
Ares XLV CLO Ltd., Series 2017-45A, Class D, (LIBOR USD 3 Month + 3.05%), 3.33%, 10/15/30^(a)(b)			1,850		1,683,042
Ares XLVI CLO Ltd., Series 2017-46A, Class SUB, (LIBOR USD 3 Month + 0.00%), 0.00%, 01/15/30^(b)			2,250		1,317,864
Ares XLVII CLO Ltd.^(b):
Series 2018-47A, Class C, (LIBOR USD 3 Month + 1.75%), 2.03%, 04/15/30^(a)			800		752,239
Series 2018-47A, Class D, (LIBOR USD 3 Month + 2.70%), 2.98%, 04/15/30^(a)			2,500		2,246,774
Series 2018-47A, Class SUB, (LIBOR USD 3 Month + 0.00%), 0.00%, 04/15/30			4,500		2,221,533
Ares XLVIII CLO Ltd., Series 2018-48A, Class C, (LIBOR USD 3 Month + 1.80%), 2.07%, 07/20/30^(a)(b)			1,000		941,332
Ares XXVII CLO Ltd., Series 2013-2A, Class CR, (LIBOR USD 3 Month + 2.40%), 2.65%, 07/28/29^(a)(b)			1,000		962,341
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class B, (LIBOR USD 3 Month + 1.80%), 2.19%, 05/15/30^(a)(b)			700		655,291
Ares XXXIR CLO Ltd., Series 2014-31RA, Class A2, (LIBOR USD 3 Month + 1.30%), 1.66%, 05/24/30^(a)(b)			1,000		977,970


Security		Par (000)		Value

Asset-Backed Securities (continued)
Ares XXXIV CLO Ltd.^(a)(b):
Series 2015-2A, Class AR2, (LIBOR USD 3 Month + 1.25%), 1.52%, 04/17/33	USD		12,500	$	12,183,594
Series 2015-2A, Class DR, (LIBOR USD 3 Month + 3.10%), 3.37%, 04/17/33			7,250		6,498,167
Ares XXXVII CLO Ltd.^(a)(b):
Series 2015-4A, Class A1R, (LIBOR USD 3 Month + 1.17%), 1.45%, 10/15/30			3,000		2,953,745
Series 2015-4A, Class A3R, (LIBOR USD 3 Month + 1.50%), 1.78%, 10/15/30			1,500		1,443,623
Series 2015-4A, Class BR, (LIBOR USD 3 Month + 1.80%), 2.08%, 10/15/30			1,017		959,605
Ares XXXVR CLO Ltd.^(a)(b):
Series 2015-35RA, Class A2, (LIBOR USD 3 Month + 1.40%), 1.68%, 07/15/30			1,500		1,456,722
Series 2015-35RA, Class C, (LIBOR USD 3 Month + 1.90%), 2.18%, 07/15/30			1,000		941,758
Assurant CLO I Ltd.^(a)(b):
Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.25%), 1.52%, 10/20/29			4,000		3,945,337
Series 2017-1A, Class B, (LIBOR USD 3 Month + 1.70%), 1.97%, 10/20/29			3,000		2,893,514
Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.10%), 2.37%, 10/20/29			1,250		1,194,556
Assurant CLO III Ltd., Series 2018-2A, Class A, (LIBOR USD 3 Month + 1.23%), 1.50%, 10/20/31^(a)(b)			2,000		1,952,435
Assurant CLO IV Ltd., Series 2019-1A, Class D, (LIBOR USD 3 Month + 3.85%), 4.12%, 04/20/30^(a)(b)			1,000		961,407
Atlas Senior Loan Fund VII Ltd.^(a)(b):
Series 2016-7A, Class A1R, (LIBOR USD 3 Month + 1.28%), 1.65%, 11/27/31			5,714		5,599,175
Series 2016-7A, Class A2R, (LIBOR USD 3 Month + 1.55%), 1.92%, 11/27/31			5,500		5,322,954
Series 2016-7A, Class B1R, (LIBOR USD 3 Month + 1.80%), 2.17%, 11/27/31			1,700		1,648,302
Atlas Senior Loan Fund XI Ltd., Series 2018- 11A, Class A1L, (LIBOR USD 3 Month + 1.10%), 1.34%, 07/26/31^(a)(b)			2,000		1,956,816
Atlas Senior Loan Fund XII Ltd., Series 2018- 12A, Class A1, (LIBOR USD 3 Month + 1.18%), 1.44%, 10/24/31^(a)(b)			1,700		1,658,647
Atrium IX, Series 9A, Class AR, (LIBOR USD 3 Month + 1.24%), 1.61%, 05/28/30^(a)(b)			13,500		13,339,374
Atrium VIII, Series 8A, Class SUB, 0.00%, 10/23/24^(b)(c)			11,500		305,900
Atrium XIV LLC, Series 14A, Class C, (LIBOR USD 3 Month + 1.95%), 2.22%, 08/23/30^(a)(b)			1,000		922,868
Atrium XV^(a)(b):
Series 15A, Class B, (LIBOR USD 3 Month + 1.75%), 2.01%, 01/23/31			1,000		973,579
Series 15A, Class C, (LIBOR USD 3 Month + 2.20%), 2.46%, 01/23/31			500		470,888
Series 15A, Class D, (LIBOR USD 3 Month + 3.00%), 3.26%, 01/23/31			500		455,122
Avoca CLO XV DAC, Series 15X, Class ER, (EURIBOR 3 Month + 4.13%), 4.13%, 04/15/31^(a)	EUR		670		666,841
BA Credit Card Trust:
Series 2018-A2, Class A2, 3.00%, 09/15/23	USD		1,890		1,926,172
Series 2018-A3, Class A3, 3.10%, 12/15/23			1,390		1,427,274
Bain Capital Credit CLO Ltd.^(a)(b):
Series 2017-1A, Class A1, (LIBOR USD 3 Month + 1.25%), 1.52%, 07/20/30			4,300		4,249,335
Series 2019-1A, Class A1A, (LIBOR USD 3 Month + 1.38%), 1.65%, 04/18/32			4,500		4,430,178


Security		Par (000)		Value

Asset-Backed Securities (continued)
Bear Stearns Asset-Backed Securities I Trust^(a):
Series 2005-HE1, Class M2, (LIBOR USD 1 Month + 1.25%), 1.42%, 01/25/35	USD		1,095	$	1,085,216
Series 2006-HE7, Class 1A2, (LIBOR USD 1 Month + 0.17%), 0.34%, 09/25/36			1,152		1,403,084
Series 2007-HE1, Class 21A2, (LIBOR USD 1 Month + 0.16%), 0.33%, 01/25/37			1,315		1,290,879
Series 2007-HE2, Class 22A, (LIBOR USD 1 Month + 0.14%), 0.31%, 03/25/37			4,265		4,134,417
Series 2007-HE2, Class 23A, (LIBOR USD 1 Month + 0.14%), 0.31%, 03/25/37			5,542		5,747,726
Series 2007-HE3, Class 2A, (LIBOR USD 1 Month + 0.14%), 0.31%, 04/25/37			6,263		6,636,276
Series 2007-HE5, Class 2A, (LIBOR USD 1 Month + 0.22%), 0.39%, 06/25/47			18,740		18,037,271
Bear Stearns Asset-Backed Securities Trust^(a):
Series 2004-HE3, Class M2, (LIBOR USD 1 Month + 1.73%), 1.90%, 04/25/34			3,421		3,418,469
Series 2005-4, Class M2, (LIBOR USD 1 Month + 1.20%), 1.37%, 01/25/36			487		486,461
Series 2006-1, Class M1, (LIBOR USD 1 Month + 0.50%), 0.67%, 02/25/36			199		199,098
Benefit Street Partners CLO IV Ltd.^(a)(b):
Series 2014-IVA, Class A1RR, (LIBOR USD 3 Month + 1.25%), 1.52%, 01/20/29			8,732		8,655,217
Series 2014-IVA, Class BRR, (LIBOR USD 3 Month + 2.65%), 2.92%, 01/20/29			2,000		1,925,633
Benefit Street Partners CLO VI Ltd., Series 2015-VIA, Class A1R, (LIBOR USD 3 Month + 1.24%), 1.51%, 10/18/29^(a)(b)			10,000		9,863,492
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (LIBOR USD 3 Month + 1.10%), 1.37%, 01/20/31^(a)(b)			1,500		1,464,732
Benefit Street Partners CLO XIX Ltd.^(a)(b):
Series 2019-19A, Class A, (LIBOR USD 3 Month + 1.35%), 1.63%, 01/15/33			7,000		6,867,632
Series 2019-19A, Class B, (LIBOR USD 3 Month + 2.00%), 2.27%, 01/15/33			4,250		4,182,267
Benefit Street Partners CLO XV Ltd.^(a)(b):
Series 2018-15A, Class A1, (LIBOR USD 3 Month + 1.15%), 1.42%, 07/18/31			2,200		2,151,389
Series 2018-15A, Class A2A, (LIBOR USD 3 Month + 1.70%), 1.97%, 07/18/31			1,000		969,890
Bilbao CLO I DAC, Series 1X, Class D, (EURIBOR 3 Month + 4.73%), 4.73%, 07/20/31^(a)	EUR		550		561,009
BlueMountain CLO Ltd., Series 2013-2A, Class A1R, (LIBOR USD 3 Month + 1.18%), 1.44%, 10/22/30^(a)(b)	USD		992		973,152
BMW Floorplan Master Owner Trust, Series 2018-1, Class A1, 3.15%, 05/15/23^(b)			1,230		1,250,535
BMW Vehicle Owner Trust, Series 2019-A, Class A4, 1.95%, 01/26/26			1,225		1,275,163
Bowman Park CLO Ltd., Series 2014-1A, Class AR, (LIBOR USD 3 Month + 1.18%), 1.54%, 11/23/25^(a)(b)			1,021		1,016,630
Buckhorn Park CLO Ltd., Series 2019-1A, Class C, (LIBOR USD 3 Month + 2.55%), 2.82%, 01/18/31^(a)(b)			1,250		1,228,733
California Street CLO XII Ltd., Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.03%), 1.31%, 10/15/25^(a)(b)			423		419,658
Canyon CLO Ltd., Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.70%), 1.98%, 07/15/31^(a)(b)			1,000		961,235


Security		Par (000)		Value

Asset-Backed Securities (continued)
Carbone CLO Ltd., Series 2017-1A, Class A1, (LIBOR USD 3 Month + 1.14%), 1.41%, 01/20/31^(a)(b)	USD		750	$	735,908
Carlyle C17 CLO Ltd.^(a)(b):
Series C17A, Class A1AR, (LIBOR USD 3 Month + 1.03%), 1.30%, 04/30/31			8,000		7,827,839
Series C17A, Class BR, (LIBOR USD 3 Month + 1.85%), 2.12%, 04/30/31			1,000		926,901
Carlyle Global Market Strategies CLO Ltd.^(a)(b):
Series 2014-2RA, Class A1, (LIBOR USD 3 Month + 1.05%), 1.44%, 05/15/31			1,478		1,440,471
Series 2014-5A, Class A1RR, (LIBOR USD 3 Month + 1.14%), 1.42%, 07/15/31			10,493		10,179,064
CarMax Auto Owner Trust:
Series 2018-1, Class A3, 2.48%, 11/15/22			1,772		1,792,006
Series 2018-4, Class A3, 3.36%, 09/15/23			2,000		2,061,575
Series 2019-3, Class A4, 2.30%, 04/15/25			1,590		1,666,510
Series 2020-2, Class A2A, 1.75%, 01/17/23			1,900		1,919,397
Carrington Mortgage Loan Trust, Series 2006- FRE1, Class A4, (LIBOR USD 1 Month + 0.25%), 0.42%, 04/25/36^(a)			2,876		2,156,523
CarVal CLO II Ltd.^(a)(b):
Series 2019-1A, Class AN, (LIBOR USD 3 Month + 1.48%), 1.75%, 04/20/32			3,500		3,460,994
Series 2019-1A, Class C, (LIBOR USD 3 Month + 3.25%), 3.52%, 04/20/32			2,500		2,472,678
Catskill Park CLO Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 3.70%), 3.97%, 04/20/29^(a)(b)			1,000		953,463
CBAM Ltd.^(a)(b):
Series 2017-1A, Class A1, (LIBOR USD 3 Month + 1.25%), 1.52%, 07/20/30			1,000		990,495
Series 2017-2A, Class C1, (LIBOR USD 3 Month + 2.40%), 2.67%, 10/17/29			1,000		973,119
Series 2017-3A, Class A, (LIBOR USD 3 Month + 1.23%), 1.50%, 10/17/29			10,000		9,893,872
Series 2018-5A, Class B1, (LIBOR USD 3 Month + 1.40%), 1.67%, 04/17/31			6,500		6,156,897
C-BASS Mortgage Loan Trust, Series 2007- CB3, Class A1, 3.58%, 03/25/37^(e)			6,605		3,425,130
Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R, (LIBOR USD 3 Month + 1.23%), 1.54%, 06/09/30^(a)(b)			3,600		3,554,369
Cedar Funding IV CLO Ltd., Series 2014-4A, Class AR, (LIBOR USD 3 Month + 1.23%), 1.49%, 07/23/30^(a)(b)			8,375		8,289,701
Cedar Funding IX CLO Ltd.^(b):
Series 2018-9A, Class A1, (LIBOR USD 3 Month + 0.98%), 1.25%, 04/20/31^(a)			8,900		8,676,433
Series 2018-9A, Class SUB, 0.00%, 04/20/31^(c)			3,950		1,983,129
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (LIBOR USD 3 Month + 1.10%), 1.37%, 07/17/31^(a)(b)			1,750		1,714,826
Cedar Funding VI CLO Ltd., Series 2016-6A, Class AR, (LIBOR USD 3 Month + 1.09%), 1.36%, 10/20/28^(a)(b)			3,500		3,452,977
Cedar Funding VIII CLO Ltd.^(a)(b):
Series 2017-8A, Class A1, (LIBOR USD 3 Month + 1.25%), 1.52%, 10/17/30			13,880		13,658,622
Series 2017-8A, Class D, (LIBOR USD 3 Month + 3.25%), 3.52%, 10/17/30			1,895		1,735,509
Cedar Funding X CLO Ltd.^(a)(b):
Series 2019-10A, Class A, (LIBOR USD 3 Month + 1.34%), 1.61%, 10/20/32			12,500		12,260,049
Series 2019-10A, Class D, (LIBOR USD 3 Month + 3.85%), 4.12%, 10/20/32			2,000		1,930,207


Security		Par (000)		Value

Asset-Backed Securities (continued)
Cent CLO 19 Ltd., Series 2013-19A, Class A1A, (LIBOR USD 3 Month + 1.33%), 1.60%, 10/29/25^(a)(b)	USD		679	$	677,346
Chase Issuance Trust, Series 2020-A1, Class A1, 1.53%, 01/15/25			1,585		1,631,910
Chesapeake Funding II LLC^(b):
Series 2018-2A, Class A1, 3.23%, 08/15/30			611		622,453
Series 2019-1A, Class A1, 2.94%, 04/15/31			1,317		1,345,449
CIFC Funding Ltd.^(a)(b):
Series 2013-2A, Class A1LR, (LIBOR USD 3 Month + 1.21%), 1.48%, 10/18/30			5,500		5,423,651
Series 2013-4A, Class A1RR, (LIBOR USD 3 Month + 1.06%), 1.30%, 04/27/31			7,000		6,853,860
Series 2013-4A, Class A2RR, (LIBOR USD 3 Month + 1.30%), 1.54%, 04/27/31			1,700		1,664,968
Series 2014-2RA, Class A3, (LIBOR USD 3 Month + 1.90%), 2.16%, 04/24/30			500		472,787
Series 2014-3A, Class CR2, (LIBOR USD 3 Month + 2.35%), 2.61%, 10/22/31			1,000		964,021
Series 2014-4RA, Class A1A, (LIBOR USD 3 Month + 1.13%), 1.40%, 10/17/30			4,400		4,337,561
Series 2014-4RA, Class A2, (LIBOR USD 3 Month + 1.65%), 1.92%, 10/17/30			1,000		971,666
Series 2014-4RA, Class B, (LIBOR USD 3 Month + 2.20%), 2.47%, 10/17/30			400		384,285
Series 2014-4RA, Class C, (LIBOR USD 3 Month + 3.20%), 3.47%, 10/17/30			750		691,953
Series 2017-3A, Class A1, (LIBOR USD 3 Month + 1.22%), 1.49%, 07/20/30			3,500		3,436,783
Series 2017-5A, Class B, (LIBOR USD 3 Month + 1.85%), 2.12%, 11/16/30			500		472,498
Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.40%), 1.67%, 04/18/31			1,000		955,438
Series 2018-1A, Class D, (LIBOR USD 3 Month + 2.65%), 2.92%, 04/18/31			2,250		2,031,967
Series 2018-4A, Class A1, (LIBOR USD 3 Month + 1.15%), 1.42%, 10/17/31			2,700		2,635,722
Series 2018-4A, Class B, (LIBOR USD 3 Month + 2.10%), 2.37%, 10/17/31			1,000		954,410
Series 2019-2A, Class A, (LIBOR USD 3 Month + 1.25%), 1.52%, 04/17/30			9,000		8,895,675
Series 2019-5A, Class A1, (LIBOR USD 3 Month + 1.34%), 1.62%, 10/15/32			12,500		12,354,877
Series 2019-6A, Class A1, (LIBOR USD 3 Month + 1.33%), 1.60%, 01/16/33			8,500		8,394,614
Series 2020-1A, Class B, (LIBOR USD 3 Month + 2.30%), 2.54%, 07/15/32			7,500		7,475,783
Citibank Credit Card Issuance Trust, Series 2018-A6, Class A6, 3.21%, 12/07/24			900		959,527
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class M3, (LIBOR USD 1 Month + 0.31%), 0.48%, 08/25/36^(a)			2,766		2,356,192
Clear Creek CLO^(a)(b):
Series 2015-1A, Class AR, (LIBOR USD 3 Month + 1.20%), 1.47%, 10/20/30			7,000		6,856,399
Series 2015-1A, Class BR, (LIBOR USD 3 Month + 1.60%), 1.87%, 10/20/30			3,000		2,885,761
CNH Equipment Trust, Series 2020-A, Class A2, 1.08%, 07/17/23			940		944,574
Conseco Finance Corp.:
Series 1996-5, Class M1, 8.05%, 07/15/27^(c)			901		909,070
Series 1997-7, Class M1, 7.03%, 07/15/28^(c)			3,457		3,532,991
Series 1998-8, Class A1, 6.28%, 09/01/30			4,723		4,893,873
Conseco Finance Securitizations Corp., Series 2001-4, Class M1, (LIBOR USD 1 Month + 1.75%), 1.92%, 09/01/33^(a)			9,303		9,226,963


Security		Par (000)		Value

Asset-Backed Securities (continued)
Contego CLO IV DAC, Series 4X, Class DNE, (EURIBOR 3 Month + 3.10%), 3.10%, 01/23/30^(a)	EUR		500	$	558,618
Credit Acceptance Auto Loan Trust^(b):
Series 2018-3A, Class A, 3.55%, 08/15/27	USD		1,710		1,737,449
Series 2019-3A, Class A, 2.38%, 11/15/28			620		634,105
Series 2020-1A, Class A, 2.01%, 02/15/29			1,330		1,354,716
Series 2020-2A, Class A, 1.37%, 07/16/29			410		410,931
Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4, (LIBOR USD 1 Month + 0.34%), 0.51%, 07/25/37^(a)(b)			1,736		1,346,881
CWHEQ Revolving Home Equity Loan Trust, Series 2006-G, Class 2A, (LIBOR USD 1 Month + 0.15%), 0.32%, 10/15/36^(a)			878		823,684
Deer Creek CLO Ltd.^(a)(b):
Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.18%), 1.45%, 10/20/30			1,000		985,309
Series 2017-1A, Class B, (LIBOR USD 3 Month + 1.65%), 1.92%, 10/20/30			1,000		964,652
Dewolf Park CLO Ltd., Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.21%), 1.49%, 10/15/30^(a)(b)			3,000		2,958,971
Discover Card Execution Note Trust^(a):
Series 2017-A5, Class A5, (LIBOR USD 1 Month + 0.60%), 0.77%, 12/15/26			2,770		2,781,623
Series 2019-A2, Class A, (LIBOR USD 1 Month + 0.27%), 0.44%, 12/15/23			3,000		3,004,474
Drive Auto Receivables Trust, Series 2019-4, Class A3, 2.16%, 05/15/23			1,010		1,018,548
Dryden 36 Senior Loan Fund^(a)(b):
Series 2014-36A, Class AR2, (LIBOR USD 3 Month + 1.28%), 1.55%, 04/15/29			7,500		7,437,775
Series 2014-36A, Class DR2, (LIBOR USD 3 Month + 3.70%), 3.98%, 04/15/29			4,000		3,812,569
Dryden 50 Senior Loan Fund^(b):
Series 2017-50A, Class C, (LIBOR USD 3 Month + 2.25%), 2.53%, 07/15/30^(a)			1,000		965,695
Series 2017-50A, Class SUB, 0.00%, 07/15/30^(c)			4,000		1,937,328
Dryden 70 CLO Ltd., Series 2018-70A, Class D, (LIBOR USD 3 Month + 3.75%), 4.02%, 01/16/32^(a)(b)			1,000		955,017
Dryden 78 CLO Ltd., Series 2020-78A, Class A, (LIBOR USD 3 Month + 1.18%), 2.45%, 04/17/33^(a)(b)			4,000		3,911,676
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class B1LR, (LIBOR USD 3 Month + 3.15%), 3.54%, 08/15/30^(a)(b)			1,500		1,408,537
Elm CLO Ltd.^(a)(b):
Series 2014-1A, Class ARR, (LIBOR USD 3 Month + 1.17%), 1.44%, 01/17/29			1,900		1,879,822
Series 2014-1A, Class CRR, (LIBOR USD 3 Month + 2.35%), 2.62%, 01/17/29			2,250		2,180,598
Elmwood CLO I Ltd., Series 2019-1A, Class A, (LIBOR USD 3 Month + 1.35%), 1.62%, 04/20/30^(a)(b)			2,500		2,483,311
Elmwood CLO II Ltd.^(a)(b):
Series 2019-2A, Class A, (LIBOR USD 3 Month + 1.45%), 1.72%, 04/20/31			9,250		9,207,249
Series 2019-2A, Class B, (LIBOR USD 3 Month + 2.10%), 2.37%, 04/20/31			10,500		10,383,969
Elmwood CLO III Ltd., Series 2019-3A, Class A1, (LIBOR USD 3 Month + 1.37%), 1.64%, 10/15/32^(a)(b)			13,000		12,859,668
Elmwood CLO IV Ltd., Series 2020-1A, Class B, (LIBOR USD 3 Month + 1.70%), 2.88%, 04/15/33^(a)(b)			1,250		1,201,351


Security		Par (000)		Value

Asset-Backed Securities (continued)
Enterprise Fleet Financing LLC^(b):
Series 2017-1, Class A3, 2.60%, 07/20/22	USD		328	$	328,808
Series 2019-2, Class A2, 2.29%, 02/20/25			1,088		1,104,991
First Franklin Mortgage Loan Trust^(a):
Series 2006-FF9, Class 2A4, (LIBOR USD 1 Month + 0.25%), 0.42%, 06/25/36			1,450		1,068,261
Series 2006-FF13, Class A1, (LIBOR USD 1 Month + 0.12%), 0.29%, 10/25/36			3,785		2,826,172
Series 2006-FF17, Class A5, (LIBOR USD 1 Month + 0.15%), 0.32%, 12/25/36			3,942		3,503,892
Series 2006-FFH1, Class M1, (LIBOR USD 1 Month + 0.37%), 0.54%, 01/25/36			10,000		9,484,202
Flatiron CLO 17 Ltd.^(a)(b):
Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.25%), 1.64%, 05/15/30			3,000		2,964,506
Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.30%), 2.69%, 05/15/30			1,000		976,081
Flatiron CLO 19 Ltd.^(a)(b):
Series 2019-1A, Class A, (LIBOR USD 3 Month + 1.32%), 1.71%, 11/16/32			3,000		2,959,202
Series 2019-1A, Class C, (LIBOR USD 3 Month + 2.70%), 3.09%, 11/16/32			1,500		1,456,025
Series 2019-1A, Class D, (LIBOR USD 3 Month + 3.90%), 4.29%, 11/16/32			3,500		3,442,198
Ford Credit Auto Lease Trust, Series 2020-A, Class A3, 1.85%, 03/15/23			980		996,205
Ford Credit Auto Owner Trust:
Series 2018-A, Class A3, 3.03%, 11/15/22			590		598,963
Series 2019-B, Class A4, 2.24%, 10/15/24			970		1,012,297
Ford Credit Floorplan Master Owner Trust:
Series 2018-3, Class A1, 3.52%, 10/15/23			2,000		2,064,808
Series 2019-4, Class A, 2.44%, 09/15/26			1,590		1,665,776
Galaxy XIX CLO Ltd., Series 2015-19A, Class A1R, (LIBOR USD 3 Month + 1.22%), 1.48%, 07/24/30^(a)(b)			8,578		8,426,177
Galaxy XV CLO Ltd., Series 2013-15A, Class AR, (LIBOR USD 3 Month + 1.20%), 1.47%, 10/15/30^(a)(b)			2,500		2,460,593
Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1, (LIBOR USD 3 Month + 1.10%), 1.37%, 07/15/31^(a)(b)			13,250		13,018,060
Galaxy XX CLO Ltd.^(a)(b):
Series 2015-20A, Class CR, (LIBOR USD 3 Month + 1.75%), 2.02%, 04/20/31			1,000		931,856
Series 2015-20A, Class D1R, (LIBOR USD 3 Month + 2.60%), 2.87%, 04/20/31			1,800		1,621,391
Galaxy XXIV CLO Ltd., Series 2017-24A, Class C, (LIBOR USD 3 Month + 1.70%), 1.98%, 01/15/31^(a)(b)			500		467,998
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (LIBOR USD 3 Month + 1.02%), 1.41%, 05/16/31^(a)(b)			7,000		6,802,541
Gilbert Park CLO Ltd., Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.19%), 1.46%, 10/15/30^(a)(b)			2,250		2,216,315
GM Financial Automobile Leasing Trust, Series 2020-2, Class A2A, 0.71%, 10/20/22			460		461,308
GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A4, 2.21%, 11/18/24			1,980		2,066,348
GoldenTree Loan Management US CLO 3 Ltd.^(a)(b):
Series 2018-3A, Class AJ, (LIBOR USD 3 Month + 1.30%), 1.57%, 04/20/30			2,000		1,947,604
Series 2018-3A, Class C, (LIBOR USD 3 Month + 1.90%), 2.17%, 04/20/30			500		470,791


Security		Par (000)		Value

Asset-Backed Securities (continued)
GoldenTree Loan Management US CLO 5 Ltd., Series 2019-5A, Class A, (LIBOR USD 3 Month + 1.30%), 1.57%, 10/20/32^(a)(b)	USD		7,000	$	6,907,433
GoldenTree Loan Opportunities IX Ltd.^(a)(b):
Series 2014-9A, Class AR2, (LIBOR USD 3 Month + 1.11%), 1.38%, 10/29/29			6,500		6,403,948
Series 2014-9A, Class BR2, (LIBOR USD 3 Month + 1.60%), 1.87%, 10/29/29			900		873,357
GoldenTree Loan Opportunities X Ltd.^(a)(b):
Series 2015-10A, Class AR, (LIBOR USD 3 Month + 1.12%), 1.39%, 07/20/31			3,300		3,238,279
Series 2015-10A, Class C1R, (LIBOR USD 3 Month + 2.10%), 2.37%, 07/20/31			1,000		960,271
GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (LIBOR USD 3 Month + 1.07%), 1.34%, 01/18/31^(a)(b)			2,188		2,148,575
Greene King Finance plc, Series B1, (LIBOR GBP 3 Month + 1.80%), 1.99%, 12/15/34^(a)	GBP		100		110,395
Greenpoint Manufactured Housing, Series 2000-1, Class A4, 8.14%, 03/20/30^(c)	USD		6,783		6,026,166
Greywolf CLO V Ltd., Series 2015-1A, Class A1R, (LIBOR USD 3 Month + 1.16%), 1.41%, 01/27/31^(a)(b)			5,290		5,195,735
Grippen Park CLO Ltd.^(a)(b):
Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.26%), 1.53%, 01/20/30			5,900		5,836,844
Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.30%), 2.57%, 01/20/30			1,000		973,674
GSAA Home Equity Trust:
Series 2005-14, Class 1A2, (LIBOR USD 1 Month + 0.35%), 0.52%, 12/25/35^(a)			1,025		402,697
Series 2006-4, Class 1A1, 3.59%, 03/25/36^(c)			3,846		3,011,912
Series 2006-5, Class 1A1, (LIBOR USD 1 Month + 0.18%), 0.35%, 03/25/36^(a)			4,317		1,894,773
Series 2006-18, Class AF6, 5.68%, 11/25/36^(e)			3,951		1,597,710
GSAMP Trust^(a):
Series 2006-FM3, Class A1, (LIBOR USD 1 Month + 0.14%), 0.31%, 11/25/36			8,194		4,725,512
Series 2006-HE6, Class A4, (LIBOR USD 1 Month + 0.24%), 0.41%, 08/25/36			1,979		1,700,110
GT Loan Financing I Ltd., Series 2013-1A, Class CR, (LIBOR USD 3 Month + 2.10%), 2.35%, 07/28/31^(a)(b)			1,000		953,749
Gulf Stream Meridian 1 Ltd.^(a)(b):
Series 2020-IA, Class A1, (LIBOR USD 3 Month + 1.37%), 1.64%, 04/15/33			7,500		7,353,493
Series 2020-IA, Class B, (LIBOR USD 3 Month + 2.00%), 2.27%, 04/15/33			2,000		1,946,190
Halsey Point CLO I Ltd.^(a)(b):
Series 2019-1A, Class A1A1, (LIBOR USD 3 Month + 1.35%), 1.62%, 01/20/33			5,000		4,914,110
Series 2019-1A, Class B1, (LIBOR USD 3 Month + 2.20%), 2.47%, 01/20/33			2,500		2,465,198
Halseypoint CLO 2 Ltd., Series 2020-2A, Class A1, (LIBOR USD 3 Month + 1.86%), 2.00%, 07/20/31^(a)(b)			1,600		1,590,625
Harley-Davidson Motorcycle Trust, Series 2020- A, Class A3, 1.87%, 10/15/24			900		919,580
Harvest CLO XVI DAC, Series 16X, Class ER, (EURIBOR 3 Month + 5.57%), 5.57%, 10/15/31^(a)	EUR		235		252,351
Harvest CLO XVIII DAC, Series 18X, Class D, (EURIBOR 3 Month + 2.55%), 2.55%, 10/15/30^(a)			200		212,083


Security		Par (000)		Value

Asset-Backed Securities (continued)
Harvest CLO XXII DAC, Series 22X, Class E, (EURIBOR 3 Month + 6.11%), 6.11%, 01/15/32^(a)	EUR		350	$	367,618
Harvest CLO XXIII DAC, Series 23X, Class E, (EURIBOR 3 Month + 5.33%), 5.33%, 10/20/32^(a)			118		116,952
Highbridge Loan Management Ltd.^(a)(b):
Series 12A-18, Class B, (LIBOR USD 3 Month + 1.85%), 2.12%, 07/18/31	USD		1,000		952,851
Series 6A-2015, Class BR, (LIBOR USD 3 Month + 1.75%), 2.29%, 02/05/31			1,100		1,001,735
Honda Auto Receivables Owner Trust:
Series 2018-1, Class A4, 2.83%, 05/15/24			2,330		2,383,063
Series 2018-2, Class A4, 3.16%, 08/19/24			2,000		2,064,887
HPS Loan Management Ltd., Series 8A-2016, Class CR, (LIBOR USD 3 Month + 1.95%), 2.22%, 07/20/30^(a)(b)			1,000		925,018
Invesco Euro CLO III DAC^(a):
Series 3X, Class D, (EURIBOR 3 Month + 4.00%), 4.00%, 07/15/32	EUR		300		342,214
Series 3X, Class F, (EURIBOR 3 Month + 8.07%), 8.07%, 07/15/32			294		309,882
Invitation Homes Trust^(a)(b):
Series 2018-SFR2, Class F, (LIBOR USD 1 Month + 2.25%), 2.60%, 06/17/37	USD		10,228		9,795,557
Series 2018-SFR3, Class A, (LIBOR USD 1 Month + 1.00%), 1.18%, 07/17/37			5,552		5,514,029
Series 2018-SFR3, Class E, (LIBOR USD 1 Month + 2.00%), 2.18%, 07/17/37			5,090		4,932,247
Series 2018-SFR3, Class F, (LIBOR USD 1 Month + 2.25%), 2.50%, 07/17/37			2,096		2,007,423
Series 2018-SFR4, Class A, (LIBOR USD 1 Month + 1.10%), 1.28%, 01/17/38			2,919		2,911,375
JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M7, (LIBOR USD 1 Month + 0.80%), 0.97%, 07/25/36^(a)			2,975		2,634,614
Kayne CLO II Ltd.^(a)(b):
Series 2018-2A, Class A, (LIBOR USD 3 Month + 1.24%), 1.51%, 10/15/31			5,375		5,311,277
Series 2018-2A, Class B, (LIBOR USD 3 Month + 1.90%), 2.18%, 10/15/31			4,250		4,245,018
Kayne CLO III Ltd.^(a)(b):
Series 2019-3A, Class A, (LIBOR USD 3 Month + 1.48%), 1.76%, 04/15/32			15,500		15,357,910
Series 2019-3A, Class B1, (LIBOR USD 3 Month + 2.05%), 2.32%, 04/15/32			4,000		3,943,661
LCM 26 Ltd., Series 26A, Class A1, (LIBOR USD 3 Month + 1.07%), 1.34%, 01/20/31^(a)(b)			5,000		4,904,628
LCM Loan Income Fund I Income Note Issuer Ltd., Series 27A, Class A1, (LIBOR USD 3 Month + 1.08%), 1.35%, 07/16/31^(a)(b)			4,080		3,970,378
LCM XX LP, Series 20A, Class AR, (LIBOR USD 3 Month + 1.04%), 1.31%, 10/20/27^(a)(b)			1,400		1,389,196
LCM XXIV Ltd., Series 24A, Class A, (LIBOR USD 3 Month + 1.31%), 1.58%, 03/20/30^(a)(b)			1,500		1,472,887
LCM XXV Ltd., Series 25A, Class B2, (LIBOR USD 3 Month + 1.65%), 1.92%, 07/20/30^(a)(b)			350		336,159
Long Beach Mortgage Loan Trust^(a):
Series 2005-3, Class 1A, (LIBOR USD 1 Month + 0.52%), 0.69%, 08/25/45			2,426		2,289,064
Series 2006-4, Class 1A, (LIBOR USD 1 Month + 0.15%), 0.32%, 05/25/36			28,635		19,338,621
Series 2006-6, Class 2A3, (LIBOR USD 1 Month + 0.15%), 0.32%, 07/25/36			6,881		3,303,299
Series 2006-7, Class 1A, (LIBOR USD 1 Month + 0.16%), 0.33%, 08/25/36			8,145		5,109,224


Security		Par (000)		Value

Asset-Backed Securities (continued)
Series 2006-10, Class 2A3, (LIBOR USD 1 Month + 0.16%), 0.33%, 11/25/36	USD		4,447	$	2,051,557
Series 2006-10, Class 2A4, (LIBOR USD 1 Month + 0.22%), 0.39%, 11/25/36			4,266		2,002,874
Series 2006-WL3, Class 2A4, (LIBOR USD 1 Month + 0.30%), 0.47%, 01/25/36			2,059		1,757,676
Madison Park Funding XII Ltd., Series 2014- 12A, Class AR, (LIBOR USD 3 Month + 1.26%), 1.53%, 07/20/26^(a)(b)			147		146,526
Madison Park Funding XV Ltd., Series 2014- 15A, Class B1R, (LIBOR USD 3 Month + 2.20%), 2.44%, 01/27/26^(a)(b)			1,450		1,398,963
Madison Park Funding XVIII Ltd., Series 2015- 18A, Class A1R, (LIBOR USD 3 Month + 1.19%), 1.46%, 10/21/30^(a)(b)			12,250		12,099,576
Madison Park Funding XX Ltd., Series 2016- 20A, Class DR, (LIBOR USD 3 Month + 3.00%), 3.25%, 07/27/30^(a)(b)			1,315		1,181,023
Madison Park Funding XXV Ltd., Series 2017- 25A, Class A1, (LIBOR USD 3 Month + 1.18%), 1.42%, 04/25/29^(a)(b)			2,500		2,467,078
Madison Park Funding XXVI Ltd., Series 2017- 26A, Class AR, (LIBOR USD 3 Month + 1.20%), 1.47%, 07/29/30^(a)(b)			3,500		3,449,676
Madison Park Funding XXVII Ltd., Series 2018-27A, Class C, (LIBOR USD 3 Month + 2.60%), 2.87%, 04/20/30^(a)(b)			1,000		883,314
Madison Park Funding XXXI Ltd.^(a)(b):
Series 2018-31A, Class C, (LIBOR USD 3 Month + 2.15%), 2.41%, 01/23/31			600		565,395
Series 2018-31A, Class D, (LIBOR USD 3 Month + 3.00%), 3.26%, 01/23/31			750		686,629
Marble Point CLO XI Ltd., Series 2017-2A, Class B, (LIBOR USD 3 Month + 1.50%), 1.77%, 12/18/30^(a)(b)			1,500		1,428,558
Mariner CLO 5 Ltd., Series 2018-5A, Class A, (LIBOR USD 3 Month + 1.11%), 1.36%, 04/25/31^(a)(b)			1,550		1,522,138
Mariner CLO 7 Ltd.^(a)(b):
Series 2019-1A, Class A, (LIBOR USD 3 Month + 1.50%), 1.77%, 04/30/32			5,000		4,936,483
Series 2019-1A, Class B, (LIBOR USD 3 Month + 2.00%), 2.27%, 04/30/32			5,000		4,907,052
Mariner CLO LLC, Series 2015-1A, Class CR2, (LIBOR USD 3 Month + 1.90%), 2.17%, 04/20/29^(a)(b)			2,000		1,915,687
Mastr Asset-Backed Securities Trust, Series 2006-AM2, Class A4, (LIBOR USD 1 Month + 0.26%), 0.43%, 06/25/36^(a)(b)			2,904		2,659,128
Mercedes-Benz Master Owner Trust, Series 2018-BA, Class A, (LIBOR USD 1 Month + 0.34%), 0.51%, 05/15/23^(a)(b)			2,000		1,999,846
Mill City Mortgage Loan Trust, Series 2016-1, Class A1, (LIBOR USD 1 Month + 0.00%), 2.50%, 04/25/57^(b)			957		964,221
Milos CLO Ltd., Series 2017-1A, Class AR, (LIBOR USD 3 Month + 1.07%), 1.34%, 10/20/30^(a)(b)			2,300		2,245,883
Morgan Stanley Mortgage Loan Trust, Series 2007-1XS, Class 2A3, 5.92%, 09/25/46^(e)			699		265,308
MP CLO III Ltd., Series 2013-1A, Class AR, (LIBOR USD 3 Month + 1.25%), 1.52%, 10/20/30^(a)(b)			6,250		6,133,151
Navient Private Education Loan Trust, Series 2015-AA, Class A2B, (LIBOR USD 1 Month + 1.20%), 1.37%, 12/15/28^(a)(b)			742		740,455


Security		Par (000)		Value

Asset-Backed Securities (continued)
Navient Private Education Refi Loan Trust^(b):
Series 2019-EA, Class A2B, (LIBOR USD 1 Month + 0.92%), 1.09%, 05/15/68^(a)	USD		2,180	$	2,146,208
Series 2020-DA, Class A, 1.69%, 05/15/69			1,830		1,842,999
Neuberger Berman CLO XVIII Ltd.^(a)(b):
Series 2014-18A, Class BR2, (LIBOR USD 3 Month + 2.15%), 2.42%, 10/21/30			1,500		1,445,053
Series 2014-18A, Class CR2, (LIBOR USD 3 Month + 3.00%), 3.27%, 10/21/30			1,250		1,122,467
Neuberger Berman CLO XXII Ltd.^(a)(b):
Series 2016-22A, Class BR, (LIBOR USD 3 Month + 1.65%), 1.92%, 10/17/30			800		772,054
Series 2016-22A, Class CR, (LIBOR USD 3 Month + 2.20%), 2.47%, 10/17/30			1,000		963,030
Neuberger Berman CLO XXIII Ltd.^(a)(b):
Series 2016-23A, Class CR, (LIBOR USD 3 Month + 2.15%), 2.42%, 10/17/27			700		679,447
Series 2016-23A, Class DR, (LIBOR USD 3 Month + 2.90%), 3.17%, 10/17/27			600		556,961
Neuberger Berman Loan Advisers CLO Ltd.^(a)(b):
Series 2017-26A, Class A, (LIBOR USD 3 Month + 1.17%), 1.44%, 10/18/30			14,850		14,635,557
Series 2017-26A, Class B, (LIBOR USD 3 Month + 1.50%), 1.77%, 10/18/30			1,500		1,443,663
Series 2018-27A, Class D, (LIBOR USD 3 Month + 2.60%), 2.88%, 01/15/30			1,000		912,120
Newark BSL CLO 1 Ltd., Series 2016-1A, Class A1R, (LIBOR USD 3 Month + 1.10%), 1.34%, 12/21/29^(a)(b)			4,750		4,673,551
Nissan Auto Receivables Owner Trust, Series 2018-C, Class A4, 3.27%, 06/16/25			2,000		2,124,876
Nissan Master Owner Trust Receivables, Series 2017-C, Class A, (LIBOR USD 1 Month + 0.32%), 0.49%, 10/17/22^(a)			1,960		1,959,541
Oak Hill Credit Partners X-R Ltd.^(a)(b):
Series 2014-10RA, Class B, (LIBOR USD 3 Month + 1.75%), 2.02%, 12/12/30			2,150		2,087,549
Series 2014-10RA, Class C, (LIBOR USD 3 Month + 2.20%), 2.47%, 12/12/30			1,300		1,253,934
Oakwood Mortgage Investors, Inc.:
Series 1998-D, Class M1, 7.42%, 01/15/29^(b)			902		926,026
Series 1999-C, Class A2, 7.48%, 08/15/27			4,093		3,902,706
Series 2001-D, Class A3, 5.90%, 09/15/22^(c)			418		305,189
Series 2002-B, Class A4, 7.09%, 06/15/32^(c)			59		62,588
OCP CLO Ltd.^(a)(b):
Series 2014-6A, Class A1R, (LIBOR USD 3 Month + 1.26%), 1.53%, 10/17/30			12,000		11,848,280
Series 2014-6A, Class A2R, (LIBOR USD 3 Month + 1.72%), 1.99%, 10/17/30			7,500		7,284,511
Series 2014-6A, Class BR, (LIBOR USD 3 Month + 2.15%), 2.42%, 10/17/30			2,700		2,604,459
Series 2015-8A, Class CR, (LIBOR USD 3 Month + 2.80%), 3.07%, 04/17/27			3,000		2,942,109
Series 2015-9A, Class CR, (LIBOR USD 3 Month + 2.70%), 2.98%, 07/15/27			2,000		1,893,500
Series 2015-10A, Class CR, (LIBOR USD 3 Month + 2.60%), 2.85%, 10/26/27			1,000		940,417
Series 2016-11A, Class A1AR, (LIBOR USD 3 Month + 1.27%), 1.51%, 10/26/30			1,000		989,112
Series 2016-12A, Class CR, (LIBOR USD 3 Month + 3.00%), 3.27%, 10/18/28			1,000		937,449
Series 2018-15A, Class A3, (LIBOR USD 3 Month + 1.70%), 1.97%, 07/20/31			1,000		977,703
Series 2019-17A, Class A1, (LIBOR USD 3 Month + 1.33%), 1.60%, 07/20/32			6,500		6,421,405
Series 2019-17A, Class C1, (LIBOR USD 3 Month + 2.55%), 2.82%, 07/20/32			2,500		2,420,461


Security		Par (000)		Value

Asset-Backed Securities (continued)
Series 2019-17A, Class D, (LIBOR USD 3 Month + 3.95%), 4.22%, 07/20/32	USD		1,500	$	1,459,611
Series 2020-18A, Class A, (LIBOR USD 3 Month + 1.80%), 2.05%, 04/20/30			2,750		2,746,074
Series 2020-19A, Class A1, (LIBOR USD 3 Month + 1.75%), 2.07%, 07/20/31			1,000		996,474
OCP Euro CLO DAC^(a):
Series 2017-2X, Class D, (EURIBOR 3 Month + 2.75%), 2.75%, 01/15/32	EUR		250		270,639
Series 2017-2X, Class E, (EURIBOR 3 Month + 5.00%), 5.00%, 01/15/32			298		313,017
Series 2017-2X, Class F, (EURIBOR 3 Month + 6.40%), 6.40%, 01/15/32			200		187,120
Series 2019-3X, Class E, (EURIBOR 3 Month + 5.75%), 5.75%, 04/20/30			400		438,137
Octagon Investment Partners 26 Ltd.^(a):
Series 2016-1, Class AR, (LIBOR USD 3 Month + 2.85%), 3.13%, 04/20/31	USD		1,250		1,083,759
Series 2016-1A, Class BR, (LIBOR USD 3 Month + 1.60%), 1.87%, 07/15/30^(b)			6,000		5,786,080
Octagon Investment Partners 27 Ltd., Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.10%), 2.37%, 07/15/30^(a)(b)			1,500		1,422,419
Octagon Investment Partners 28 Ltd., Series 2016-1A, Class C1R, (LIBOR USD 3 Month + 2.25%), 2.51%, 10/24/30^(a)(b)			4,000		3,850,428
Octagon Investment Partners 30 Ltd.^(a)(b):
Series 2017-1A, Class A1, (LIBOR USD 3 Month + 1.32%), 1.59%, 03/17/30			2,625		2,586,988
Series 2017-1A, Class C, (LIBOR USD 3 Month + 3.50%), 3.77%, 03/17/30			750		710,039
Octagon Investment Partners 31 LLC, Series 2017-1A, Class D, (LIBOR USD 3 Month + 3.70%), 3.97%, 07/20/30^(a)(b)			1,250		1,183,787
Octagon Investment Partners 32 Ltd., Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.25%), 2.53%, 07/15/29^(a)(b)			1,000		965,360
Octagon Investment Partners 34 Ltd., Series 2017-1A, Class B1, (LIBOR USD 3 Month + 1.40%), 1.67%, 01/20/30^(a)(b)			2,000		1,914,179
Octagon Investment Partners 35 Ltd., Series 2018-1A, Class C, (LIBOR USD 3 Month + 2.60%), 2.87%, 01/20/31^(a)(b)			1,000		853,000
Octagon Investment Partners 37 Ltd., Series 2018-2A, Class B, (LIBOR USD 3 Month + 1.75%), 1.99%, 07/25/30^(a)(b)			5,250		4,899,056
Octagon Investment Partners 42 Ltd., Series 2019-3A, Class B1, (LIBOR USD 3 Month + 1.95%), 2.23%, 04/15/31^(a)(b)			1,500		1,475,693
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class A1AR, (LIBOR USD 3 Month + 1.17%), 1.45%, 07/15/29^(a)(b)			2,200		2,167,731
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, (LIBOR USD 3 Month + 1.00%), 1.24%, 01/25/31^(a)(b)			2,000		1,942,482
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class A2RR, (LIBOR USD 3 Month + 1.90%), 2.32%, 02/14/31^(a)(b)			2,500		2,430,011
Octagon Loan Funding Ltd.^(a)(b):
Series 2014-1A, Class ARR, (LIBOR USD 3 Month + 1.18%), 1.57%, 11/18/31			23,212		22,789,162
Series 2014-1A, Class BRR, (LIBOR USD 3 Month + 1.70%), 2.09%, 11/18/31			1,500		1,455,401
OHA Credit Funding 3 Ltd.^(a)(b):
Series 2019-3A, Class A1, (LIBOR USD 3 Month + 1.32%), 1.59%, 07/20/32			8,000		7,892,523


Security	Par (000)			Value

Asset-Backed Securities (continued)
Series 2019-3A, Class D, (LIBOR USD 3 Month + 3.55%), 3.82%, 07/20/32		USD	2,500	$	2,357,800
OHA Credit Funding 4 Ltd.^(a)(b):
Series 2019-4A, Class A1, (LIBOR USD 3 Month + 1.33%), 1.59%, 10/22/32			11,500		11,335,116
Series 2019-4A, Class C, (LIBOR USD 3 Month + 2.65%), 2.91%, 10/22/32			2,000		1,978,496
Series 2019-4A, Class D, (LIBOR USD 3 Month + 3.75%), 4.01%, 10/22/32			2,000		1,949,958
OHA Credit Funding 5 Ltd., Series 2020-5A, Class D, (LIBOR USD 3 Month + 3.00%), 4.31%, 04/18/33^(a)(b)			500		452,348
OHA Credit Partners XI Ltd., Series 2015-11A, Class DR, (LIBOR USD 3 Month + 2.95%), 3.22%, 01/20/32^(a)(b)			400		362,727
OHA Credit Partners XII Ltd., Series 2015-12A, Class DR, (LIBOR USD 3 Month + 2.90%), 3.16%, 07/23/30^(a)(b)			1,000		906,247
OHA Credit Partners XIV Ltd.^(a)(b):
Series 2017-14A, Class B, (LIBOR USD 3 Month + 1.50%), 1.77%, 01/21/30			1,000		958,698
Series 2017-14A, Class C, (LIBOR USD 3 Month + 1.80%), 2.07%, 01/21/30			2,000		1,885,985
OHA Loan Funding Ltd., Series 2015-1A, Class A1R2, (LIBOR USD 3 Month + 1.34%), 1.73%, 11/15/32^(a)(b)			23,875		23,390,015
OZLM VI Ltd., Series 2014-6A, Class A2AS, (LIBOR USD 3 Month + 1.75%), 2.02%, 04/17/31^(a)(b)			1,400		1,348,858
OZLM XI Ltd., Series 2015-11A, Class A1R, (LIBOR USD 3 Month + 1.25%), 1.52%, 10/30/30^(a)(b)			8,655		8,515,358
OZLM XIV Ltd., Series 2015-14A, Class A1AR, (LIBOR USD 3 Month + 1.16%), 1.44%, 01/15/29^(a)(b)			7,000		6,924,891
OZLM XIX Ltd., Series 2017-19A, Class A1, (LIBOR USD 3 Month + 1.22%), 1.50%, 11/22/30^(a)(b)			10,000		9,800,205
OZLME BV, Series 1X, Class ER, (EURIBOR 3 Month + 5.90%), 5.90%, 01/18/30^(a)		EUR	238		263,638
OZLME II DAC, Series 2X, Class E, (EURIBOR 3 Month + 4.90%), 4.90%, 10/15/30^(a)			148		152,966
Palmer Square CLO Ltd.^(a)(b):
Series 2013-2A, Class A2RR, (LIBOR USD 3 Month + 1.75%), 2.02%, 10/17/31		USD	1,350		1,312,504
Series 2013-2A, Class AARR, (LIBOR USD 3 Month + 1.20%), 1.47%, 10/17/31			500		491,434
Series 2013-2A, Class BRR, (LIBOR USD 3 Month + 2.20%), 2.47%, 10/17/31			1,300		1,265,249
Series 2013-2A, Class CRR, (LIBOR USD 3 Month + 3.20%), 3.47%, 10/17/31			1,800		1,674,434
Series 2014-1A, Class CR2, (LIBOR USD 3 Month + 2.65%), 2.92%, 01/17/31			500		450,640
Series 2015-1A, Class BR2, (LIBOR USD 3 Month + 2.25%), 2.62%, 05/21/29			1,000		970,953
Series 2015-1A, Class CR2, (LIBOR USD 3 Month + 3.15%), 3.52%, 05/21/29			4,100		3,920,810
Series 2015-2A, Class A1R2, (LIBOR USD 3 Month + 1.10%), 1.37%, 07/20/30			8,000		7,856,063
Series 2015-2A, Class CR2, (LIBOR USD 3 Month + 2.75%), 3.02%, 07/20/30			1,400		1,295,019
Series 2018-1A, Class A1, (LIBOR USD 3 Month + 1.03%), 1.30%, 04/18/31			12,500		12,254,079
Series 2018-1A, Class A2, (LIBOR USD 3 Month + 1.45%), 1.72%, 04/18/31			10,000		9,576,196
Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.75%), 2.02%, 04/18/31			2,000		1,870,332


Security	Par (000)			Value

Asset-Backed Securities (continued)
Series 2018-2A, Class A1A, (LIBOR USD 3 Month + 1.10%), 1.37%, 07/16/31		USD	8,000	$	7,837,258
Series 2018-2A, Class A2, (LIBOR USD 3 Month + 1.65%), 1.92%, 07/16/31			1,000		966,466
Series 2019-1A, Class A1, (LIBOR USD 3 Month + 1.34%), 1.76%, 11/14/32			7,000		6,918,834
Series 2019-1A, Class A2, (LIBOR USD 3 Month + 1.85%), 2.27%, 11/14/32			7,000		6,817,575
Series 2019-1A, Class B, (LIBOR USD 3 Month + 2.65%), 3.07%, 11/14/32			2,500		2,472,448
Series 2019-1A, Class C, (LIBOR USD 3 Month + 3.75%), 4.17%, 11/14/32			1,500		1,485,103
Series 2020-1A, Class A2, (LIBOR USD 3 Month + 2.64%), 2.94%, 04/20/29^(d)			3,500		3,503,500
Palmer Square Loan Funding Ltd.^(a)(b):
Series 2019-1A, Class A2, (LIBOR USD 3 Month + 1.65%), 1.92%, 04/20/27			7,500		7,317,310
Series 2019-1A, Class C, (LIBOR USD 3 Month + 3.15%), 3.42%, 04/20/27			5,000		4,811,170
Series 2019-3A, Class A2, (LIBOR USD 3 Month + 1.60%), 1.98%, 08/20/27			2,500		2,460,952
Series 2020-2A, Class B, (LIBOR USD 3 Month + 2.25%), 2.52%, 04/20/28			2,000		1,946,892
Park Avenue Institutional Advisers CLO Ltd.^(a)(b):
Series 2016-1A, Class A2R, (LIBOR USD 3 Month + 1.80%), 2.16%, 08/23/31			2,600		2,528,989
Series 2018-1A, Class A1A, (LIBOR USD 3 Month + 1.28%), 1.55%, 10/20/31			2,000		1,962,800
Series 2019-1A, Class C, (LIBOR USD 3 Month + 3.85%), 4.24%, 05/15/32			2,500		2,352,579
PFS Financing Corp., Series 2018-D, Class A, 3.19%, 04/17/23^(b)			3,000		3,054,801
Pretium Mortgage Credit Partners I LLC, Series 2019-NPL2, Class A1, 3.84%, 12/27/58^(b)(e)			6,959		6,925,243
Progress Residential Trust^(b):
Series 2018-SFR3, Class F, 5.37%, 10/17/35			30,710		31,534,336
Series 2019-SFR2, Class E, 4.14%, 05/17/36			13,495		13,930,837
Series 2019-SFR2, Class F, 4.84%, 05/17/36			5,580		5,392,914
Series 2019-SFR3, Class E, 3.37%, 09/17/36			10,000		10,051,232
Series 2019-SFR3, Class F, 3.87%, 09/17/36			3,000		2,942,361
Series 2019-SFR4, Class E, 3.44%, 10/17/36			12,500		12,426,347
Series 2020-SFR1, Class E, 3.03%, 04/17/37			10,000		9,902,626
Series 2020-SFR1, Class F, 3.43%, 04/17/37			5,500		5,343,038
Series 2020-SFR1, Class G, 4.03%, 04/17/37			3,500		3,385,862
Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, (LIBOR USD 3 Month + 1.21%), 1.49%, 10/15/30^(a)(b)			12,434		12,273,205
Regata XII Funding Ltd.^(a)(b):
Series 2019-1A, Class A1, (LIBOR USD 3 Month + 1.32%), 1.60%, 10/15/32			21,000		20,691,378
Series 2019-1A, Class D, (LIBOR USD 3 Month + 3.75%), 4.03%, 10/15/32			1,000		947,347
Regatta Funding LP^(a)(b):
Series 2013-2A, Class A1R2, (LIBOR USD 3 Month + 1.25%), 1.53%, 01/15/29			6,075		6,047,943
Series 2013-2A, Class A2R2, (LIBOR USD 3 Month + 1.85%), 2.13%, 01/15/29			2,500		2,445,611


Security	Par (000)			Value

Asset-Backed Securities (continued)
Series 2013-2A, Class BR2, (LIBOR USD 3 Month + 2.70%), 2.98%, 01/15/29		USD	5,000	$	4,808,003
Series 2013-2A, Class CR2, (LIBOR USD 3 Month + 3.70%), 3.98%, 01/15/29			4,500		4,181,355
Regatta IX Funding Ltd.^(a)(b):
Series 2017-1A, Class B, (LIBOR USD 3 Month + 1.80%), 2.07%, 04/17/30			10,000		9,725,071
Series 2017-1A, Class C, (LIBOR USD 3 Month + 2.45%), 2.72%, 04/17/30			1,000		963,669
Regatta VI Funding Ltd., Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.05%), 2.32%, 07/20/28^(a)(b)			1,000		958,570
Regatta VII Funding Ltd.^(a)(b):
Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.00%), 2.31%, 12/20/28			750		714,602
Series 2016-1A, Class DR, (LIBOR USD 3 Month + 2.75%), 3.06%, 12/20/28			1,000		909,537
Regatta VIII Funding Ltd., Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.25%), 1.52%, 10/17/30^(a)(b)			3,500		3,438,927
Regatta X Funding Ltd., Series 2017-3A, Class C, (LIBOR USD 3 Month + 1.80%), 2.07%, 01/17/31^(a)(b)			1,500		1,416,289
Regatta XIII Funding Ltd., Series 2018-2A, Class B, (LIBOR USD 3 Month + 2.10%), 2.37%, 07/15/31^(a)(b)			1,250		1,200,875
Regatta XV Funding Ltd., Series 2018-4A, Class C, (LIBOR USD 3 Month + 3.30%), 3.54%, 10/25/31^(a)(b)			1,000		933,460
Regatta XVI Funding Ltd.^(a)(b):
Series 2019-2A, Class B, (LIBOR USD 3 Month + 2.05%), 2.32%, 01/15/33			6,700		6,589,659
Series 2019-2A, Class D, (LIBOR USD 3 Month + 3.90%), 4.17%, 01/15/33			1,000		954,836
Rockford Tower CLO Ltd.^(a)(b):
Series 2017-3A, Class A, (LIBOR USD 3 Month + 1.19%), 1.46%, 10/20/30			17,000		16,682,996
Series 2018-1A, Class A, (LIBOR USD 3 Month + 1.10%), 1.48%, 05/20/31			7,000		6,832,686
Series 2018-1A, Class B, (LIBOR USD 3 Month + 1.72%), 2.10%, 05/20/31			1,000		970,784
Series 2018-2A, Class A, (LIBOR USD 3 Month + 1.16%), 1.43%, 10/20/31			3,500		3,431,081
Series 2018-2A, Class B, (LIBOR USD 3 Month + 1.80%), 2.07%, 10/20/31			1,125		1,096,867
Series 2018-2A, Class C, (LIBOR USD 3 Month + 2.20%), 2.47%, 10/20/31			700		682,849
Series 2018-2A, Class D, (LIBOR USD 3 Month + 3.10%), 3.37%, 10/20/31			600		550,632
Series 2019-1A, Class A2, (LIBOR USD 3 Month + 1.75%), 2.02%, 04/20/32			3,000		2,953,024
Series 2019-1A, Class B1, (LIBOR USD 3 Month + 2.05%), 2.32%, 04/20/32			3,000		2,965,734
Series 2019-1A, Class C, (LIBOR USD 3 Month + 2.75%), 3.02%, 04/20/32			2,500		2,450,897
Series 2019-1A, Class D, (LIBOR USD 3 Month + 3.85%), 4.12%, 04/20/32			2,000		1,932,995
Series 2019-2A, Class A, (LIBOR USD 3 Month + 1.33%), 1.71%, 08/20/32			6,500		6,338,486
Series 2019-2A, Class C, (LIBOR USD 3 Month + 2.50%), 2.88%, 08/20/32			1,000		965,275
Rockford Tower Europe CLO DAC, Series 2018-1X, Class E, (EURIBOR 3 Month + 5.36%), 5.36%, 12/20/31^(a)		EUR	300		312,535
RR 5 Ltd.^(a)(b):
Series 2018-5A, Class B, (LIBOR USD 3 Month + 2.25%), 2.53%, 10/15/31		USD	1,250		1,237,634


Security	Par (000)			Value

Asset-Backed Securities (continued)
Series 2018-5A, Class C, (LIBOR USD 3 Month + 3.10%), 3.38%, 10/15/31		USD	1,200	$	1,094,863
RR 6 Ltd., Series 2019-6A, Class A1A, (LIBOR USD 3 Month + 1.25%), 1.53%, 04/15/30^(a)(b)			20,500		20,254,414
RR 7 Ltd., Series 2019-7A, Class A1A, (LIBOR USD 3 Month + 1.35%), 1.63%, 01/15/33^(a)(b)			3,700		3,629,945
RRE 1 Loan Management DAC, Series 1X, Class E, (EURIBOR 3 Month + 5.95%), 5.95%, 04/15/32^(a)		EUR	1,050		1,159,757
SMB Private Education Loan Trust^(b):
Series 2014-A, Class A2A, 3.05%, 05/15/26		USD	482		486,406
Series 2016-A, Class A2A, 2.70%, 05/15/31			493		504,381
Series 2016-B, Class A2A, 2.43%, 02/17/32			578		591,057
Series 2016-C, Class A2A, 2.34%, 09/15/34			1,220		1,240,928
Series 2018-B, Class A2B, (LIBOR USD 1 Month + 0.72%), 0.89%, 01/15/37^(a)			689		673,758
Series 2018-C, Class A2B, (LIBOR USD 1 Month + 0.75%), 0.92%, 11/15/35^(a)			959		946,104
Series 2019-A, Class A2A, 3.44%, 07/15/36			430		451,158
Series 2019-A, Class A2B, (LIBOR USD 1 Month + 0.87%), 1.04%, 07/15/36^(a)			1,531		1,496,944
Series 2020-A, Class A2A, 2.23%, 09/15/37			1,000		1,026,765
Series 2020-A, Class A2B, (LIBOR USD 1 Month + 0.83%), 1.00%, 09/15/37^(a)			150		146,938
SoFi Professional Loan Program LLC^(b):
Series 2015-D, Class A2, 2.72%, 10/27/36			477		485,596
Series 2016-A, Class A1, (LIBOR USD 1 Month + 1.75%), 1.92%, 08/25/36^(a)			662		665,677
Series 2016-C, Class A2B, 2.36%, 12/27/32			176		177,411
Series 2016-D, Class A2B, 2.34%, 04/25/33			268		271,564
Series 2017-F, Class A2FX, 2.84%, 01/25/41			2,060		2,106,171
Series 2018-A, Class A2B, 2.95%, 02/25/42			1,900		1,955,326
SoFi Professional Loan Program Trust^(b):
Series 2018-C, Class A2FX, 3.59%, 01/25/48			383		403,851
Series 2018-D, Class A2FX, 3.60%, 02/25/48			377		395,782
Series 2020-C, Class AFX, 1.95%, 02/15/46			1,097		1,121,047
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (LIBOR USD 3 Month + 1.07%), 1.32%, 01/26/31^(a)(b)			3,400		3,291,268
Sound Point CLO XXI Ltd., Series 2018-3A, Class A1A, (LIBOR USD 3 Month + 1.18%), 1.42%, 10/26/31^(a)(b)			6,600		6,452,675
Sound Point CLO XXII Ltd., Series 2019-1A, Class A, (LIBOR USD 3 Month + 1.37%), 1.64%, 01/20/32^(a)(b)			4,000		3,936,651
Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class A, (LIBOR USD 3 Month + 1.15%), 1.42%, 04/18/31^(a)(b)			6,000		5,801,775
Stewart Park CLO Ltd., Series 2015-1A, Class DR, (LIBOR USD 3 Month + 2.60%), 2.88%, 01/15/30^(a)(b)			1,700		1,516,164
Structured Asset Securities Corp. Mortgage Loan Trust^(a):
Series 2006-BC3, Class A1, (LIBOR USD 1 Month + 0.16%), 0.33%, 10/25/36			7,742		6,071,190
Series 2007-MN1A, Class A1, (LIBOR USD 1 Month + 0.23%), 0.40%, 01/25/37^(b)			1,835		1,245,596
Taconic Park CLO Ltd., Series 2016-1A, Class A1R, (LIBOR USD 3 Month + 1.00%), 1.27%, 01/20/29^(a)(b)			575		564,046
TCW CLO AMR Ltd., Series 2019-1A, Class A, (LIBOR USD 3 Month + 1.07%), 1.46%, 02/15/29^(a)(b)			9,500		9,377,356


Security		Par (000)		Value

Asset-Backed Securities (continued)
TCW CLO Ltd.^(a)(b):
Series 2017-1A, Class CR, (LIBOR USD 3 Month + 2.05%), 2.32%, 07/29/29	USD		5,700	$	5,486,153
Series 2017-1A, Class DR, (LIBOR USD 3 Month + 3.15%), 3.42%, 07/29/29			6,250		5,864,202
THL Credit Wind River CLO Ltd., Series 2017-2A, Class A, (LIBOR USD 3 Month + 1.23%), 1.50%, 07/20/30^(a)(b)			10,000		9,808,346
TIAA CLO I Ltd., Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.35%), 2.62%, 07/20/31^(a)(b)			1,000		966,815
TIAA CLO III Ltd., Series 2017-2A, Class A, (LIBOR USD 3 Month + 1.15%), 1.42%, 01/16/31^(a)(b)			10,000		9,749,052
TIAA CLO IV Ltd., Series 2018-1A, Class A2, (LIBOR USD 3 Month + 1.70%), 1.97%, 01/20/32^(a)(b)			1,000		962,408
TICP CLO IX Ltd.^(a)(b):
Series 2017-9A, Class A, (LIBOR USD 3 Month + 1.14%), 1.41%, 01/20/31			4,750		4,667,010
Series 2017-9A, Class B, (LIBOR USD 3 Month + 1.60%), 1.87%, 01/20/31			1,000		962,935
TICP CLO VI Ltd.^(a)(b):
Series 2016-6A, Class AR, (LIBOR USD 3 Month + 1.20%), 1.47%, 01/15/29			20,900		20,731,452
Series 2016-6A, Class CR, (LIBOR USD 3 Month + 2.30%), 2.58%, 01/15/29			500		488,909
TICP CLO VII Ltd.^(a)(b):
Series 2017-7A, Class BR, (LIBOR USD 3 Month + 1.70%), 1.98%, 04/15/33			2,000		1,910,166
Series 2017-7A, Class CR, (LIBOR USD 3 Month + 2.15%), 2.43%, 04/15/33			5,500		5,240,662
Series 2017-7A, Class DR, (LIBOR USD 3 Month + 3.20%), 3.48%, 04/15/33			4,000		3,693,859
TICP CLO VIII Ltd.^(a)(b):
Series 2017-8A, Class A2, (LIBOR USD 3 Month + 1.65%), 1.92%, 10/20/30			3,000		2,906,254
Series 2017-8A, Class C, (LIBOR USD 3 Month + 3.10%), 3.37%, 10/20/30			1,000		931,576
TICP CLO XI Ltd.^(a)(b):
Series 2018-11A, Class A, (LIBOR USD 3 Month + 1.18%), 1.45%, 10/20/31			17,000		16,701,227
Series 2018-11A, Class C, (LIBOR USD 3 Month + 2.15%), 2.42%, 10/20/31			3,500		3,367,636
Series 2018-11A, Class D, (LIBOR USD 3 Month + 3.05%), 3.32%, 10/20/31			1,100		1,034,531
TICP CLO XII Ltd.^(a)(b):
Series 2018-12A, Class A, (LIBOR USD 3 Month + 1.11%), 1.38%, 01/15/31			7,800		7,682,200
Series 2018-12A, Class C, (LIBOR USD 3 Month + 2.00%), 2.27%, 01/15/31			500		480,283
Series 2018-12A, Class D, (LIBOR USD 3 Month + 2.80%), 3.08%, 01/15/31			1,000		934,914
TICP CLO XIII Ltd.^(a)(b):
Series 2019-13A, Class B, (LIBOR USD 3 Month + 1.85%), 2.13%, 07/15/32			2,250		2,205,885
Series 2019-13A, Class C, (LIBOR USD 3 Month + 2.50%), 2.77%, 07/15/32			1,000		987,423
Series 2019-13A, Class D, (LIBOR USD 3 Month + 3.45%), 3.72%, 07/15/32			1,000		963,126
TICP CLO XIV Ltd.^(a)(b):
Series 2019-14A, Class A1A, (LIBOR USD 3 Month + 1.34%), 1.61%, 10/20/32			7,000		6,903,155
Series 2019-14A, Class B, (LIBOR USD 3 Month + 2.70%), 2.97%, 10/20/32			3,250		3,227,127
Towd Point Mortgage Trust^(b)(c):
Series 2016-3, Class A1, 2.25%, 04/25/56			653		657,245


Security		Par (000)		Value

Asset-Backed Securities (continued)
Series 2016-4, Class A1, 2.25%, 07/25/56	USD		1,352	$	1,365,292
Toyota Auto Receivables Owner Trust:
Series 2017-C, Class A4, 1.98%, 12/15/22			2,000		2,022,413
Series 2017-D, Class A4, 2.12%, 02/15/23			1,250		1,271,472
Series 2018-B, Class A3, 2.96%, 09/15/22			1,540		1,562,325
Series 2018-C, Class A3, 3.02%, 12/15/22			2,470		2,517,887
Series 2020-A, Class A3, 1.66%, 05/15/24			1,905		1,951,550
Treman Park CLO Ltd., Series 2015-1A, Class DRR, (LIBOR USD 3 Month + 2.65%), 2.92%, 10/20/28^(a)(b)			1,000		923,958
Tricon American Homes Trust^(b):
Series 2017-SFR1, Class D, 3.41%, 09/17/34			3,035		3,072,780
Series 2017-SFR2, Class F, 5.10%, 01/17/36			7,938		8,237,780
Series 2019-SFR1, Class E, 3.40%, 03/17/38			7,000		6,945,287
Upland CLO Ltd., Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.90%), 3.17%, 04/20/31^(a)(b)			1,500		1,350,591
Verizon Owner Trust, Series 2020-A, Class A1A, 1.85%, 07/22/24			690		708,464
VOLT LXXXVIII LLC, Series 2020-NPL4, Class A1, 2.98%, 03/25/50^(b)(e)			22,555		22,200,150
Voya CLO Ltd.^(a)(b):
Series 2014-1A, Class BR2, (LIBOR USD 3 Month + 1.90%), 2.17%, 04/18/31			1,000		913,660
Series 2014-4A, Class BR2, (LIBOR USD 3 Month + 2.09%), 2.36%, 07/14/31			500		458,439
Series 2017-3A, Class C, (LIBOR USD 3 Month + 3.55%), 3.82%, 07/20/30			900		845,400
Series 2018-3A, Class A1A, (LIBOR USD 3 Month + 1.15%), 1.42%, 10/15/31			3,300		3,226,326
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE1, Class A, (LIBOR USD 1 Month + 0.14%), 0.32%, 07/25/37^(a)(b)			2,778		2,297,591
Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE5, Class 1A, (LIBOR USD 1 Month + 0.16%), 0.33%, 10/25/36^(a)			17,836		14,097,612
Webster Park CLO Ltd., Series 2015-1A, Class A1BR, (LIBOR USD 3 Month + 1.35%), 1.62%, 07/20/30^(a)(b)			3,800		3,689,038
Westcott Park CLO Ltd., Series 2016-1A, Class CR, (LIBOR USD 3 Month + 2.25%), 2.52%, 07/20/28^(a)(b)			500		496,121
York CLO 1 Ltd.^(a)(b):
Series 2014-1A, Class ARR, (LIBOR USD 3 Month + 1.12%), 1.38%, 10/22/29			9,800		9,687,336
Series 2014-1A, Class BRR, (LIBOR USD 3 Month + 1.65%), 1.91%, 10/22/29			2,100		2,028,865
Series 2014-1A, Class CRR, (LIBOR USD 3 Month + 2.10%), 2.36%, 10/22/29			1,800		1,710,385
Series 2014-1A, Class DRR, (LIBOR USD 3 Month + 3.01%), 3.27%, 10/22/29			2,800		2,672,839
York CLO-2 Ltd., Series 2015-1A, Class AR, (LIBOR USD 3 Month + 1.15%), 1.41%, 01/22/31^(a)(b)			17,600		17,332,015
York CLO-3 Ltd., Series 2016-1A, Class DR, (LIBOR USD 3 Month + 3.60%), 3.87%, 10/20/29^(a)(b)			2,000		1,902,032
York CLO-7 Ltd., Series 2019-2A, Class A1, (LIBOR USD 3 Month + 1.37%), 1.63%, 01/22/33^(a)(b)			3,000		2,948,782


Total Asset-Backed Securities — 11.6% (Cost: $1,952,352,524)					1,912,477,943


Security	Shares		Value

Common Stocks — 18.2%

Aerospace & Defense — 0.2%
BAE Systems plc		2,024,647	$	12,975,775
Boeing Co. (The)		5,860		925,880
General Dynamics Corp.		2,560		375,654
Howmet Aerospace, Inc.		4,186		61,869
Huntington Ingalls Industries, Inc.		447		77,648
L3Harris Technologies, Inc.		3,387		570,134
Lockheed Martin Corp.		39,498		14,968,557
Northrop Grumman Corp.		1,699		552,192
Raytheon Technologies Corp.		99,298		5,628,211
Singapore Technologies Engineering Ltd.		65,200		155,951
Teledyne Technologies, Inc.^(f)		827		253,641
Textron, Inc.		2,487		86,896
TransDigm Group, Inc.		546		235,643

				36,868,051

Air Freight & Logistics — 0.2%
CH Robinson Worldwide, Inc.		1,463		137,112
Deutsche Post AG (Registered)		355,639		14,435,454
DSV Panalpina A/S		47,180		6,455,903
Expeditors International of Washington, Inc.		25,358		2,143,005
FedEx Corp.		2,593		436,661
SF Holding Co. Ltd., Class A		15,512		157,034
Sinotrans Ltd., Class A		323,705		156,917
United Parcel Service, Inc., Class B		7,673		1,095,397
ZTO Express Cayman, Inc., ADR		7,811		289,398


			25,306,881

Airlines — 0.0%
Alaska Air Group, Inc.		1,332		45,874
American Airlines Group, Inc.		5,427		60,348
Copa Holdings SA, Class A		83,292		3,451,621
Delta Air Lines, Inc.		6,253		156,137
Southwest Airlines Co.		5,947		183,703
United Airlines Holdings, Inc.^(f)		2,711		85,071


			3,982,754

Auto Components — 0.0%
Aptiv plc		2,828		219,877
BorgWarner, Inc.		12,022		440,005
Bridgestone Corp.		27,100		798,246
Magna International, Inc.		3,793		175,314


			1,633,442

Automobiles — 0.1%
Astra International Tbk. PT		21,819,300		7,686,144
Brilliance China Automotive Holdings Ltd.		92,000		93,946
Ford Motor Co.		43,626		288,368
Geely Automobile Holdings Ltd.		2,498,000		5,240,267
General Motors Co.		13,932		346,768
Maruti Suzuki India Ltd.		97,421		8,142,455


			21,797,948

Banks — 0.9%
Abu Dhabi Commercial Bank PJSC		110,017		150,127
Agricultural Bank of China Ltd., Class H		8,840,000		3,137,736
Al Rajhi Bank		130,066		2,044,178
Alinma Bank		33,860		131,743
AMMB Holdings Bhd		221,700		151,882
Arab National Bank		41,925		217,506
Bank AlBilad		58,494		365,981
Bank Al-Jazira		95,620		303,914
Bank Central Asia Tbk. PT		21,000		44,981
Bank Mandiri Persero Tbk. PT		25,760,700		10,238,592
Bank of America Corp.		86,069		2,141,397
Bank of Beijing Co. Ltd., Class A		534,240		369,059
Bank of China Ltd., Class A		244,900		116,656


Security	Shares		Value

Banks (continued)
Bank of China Ltd., Class H		16,812,000	$	5,598,548
Bank of Communications Co. Ltd., Class A		166,200		113,152
Bank of Communications Co. Ltd., Class H		2,843,000		1,578,111
Bank of Hangzhou Co. Ltd., Class A		65,200		88,069
Bank of Jiangsu Co. Ltd., Class A		415,300		359,301
Bank of Montreal		12,046		659,025
Bank of Shanghai Co. Ltd., Class A		365,000		432,494
Bank of the Philippine Islands		4,819,710		6,693,094
Bank Polska Kasa Opieki SA		37,360		504,176
Banque Saudi Fransi		11,616		92,848
BDO Unibank, Inc.		154,360		276,047
BOC Hong Kong Holdings Ltd.		125,000		348,507
China CITIC Bank Corp. Ltd., Class H		1,570,000		685,031
China Construction Bank Corp., Class H		15,092,000		11,004,039
China Everbright Bank Co. Ltd., Class H		360,000		135,294
China Merchants Bank Co. Ltd., Class H		1,500		7,000
China Minsheng Banking Corp. Ltd., Class H		891,000		561,197
CIMB Group Holdings Bhd		336,300		285,389
Citigroup, Inc.		22,814		1,140,928
Citizens Financial Group, Inc.		296,660		7,360,135
Comerica, Inc.		1,614		62,171
Commercial Bank PSQC (The)		131,633		147,978
Commercial International Bank Egypt SAE		1,028,944		4,049,746
CTBC Financial Holding Co. Ltd.		2,724,000		1,803,951
DBS Group Holdings Ltd.		500,200		7,225,718
Dubai Islamic Bank PJSC		485,428		496,163
E.Sun Financial Holding Co. Ltd.		2,061,138		1,907,183
East West Bancorp, Inc.		1,057		36,636
Erste Group Bank AG^(f)		160,892		3,601,283
Fifth Third Bancorp		7,654		152,008
FinecoBank Banca Fineco SpA		416,737		6,075,093
First Abu Dhabi Bank PJSC		248,500		753,560
First Financial Holding Co. Ltd.		2,440,690		1,966,820
First Republic Bank		1,921		216,074
Grupo Financiero Banorte SAB de CV, Class O		1,536,311		5,502,554
Hong Leong Bank Bhd		75,000		266,259
Hong Leong Financial Group Bhd		18,200		58,078
Huntington Bancshares, Inc.		11,215		103,963
Industrial & Commercial Bank of China Ltd., Class H		14,174,000		8,305,136
Industrial Bank Co. Ltd., Class A		124,652		279,203
JPMorgan Chase & Co.		33,483		3,235,797
Kasikornbank PCL, NVDR		220,200		573,798
KeyCorp		34,329		412,291
Komercni banka A/S		29,885		693,136
Krung Thai Bank PCL, NVDR		1,646,000		521,487
M&T Bank Corp.		71,834		7,610,812
Malayan Banking Bhd		2,837,500		5,136,882
Masraf Al Rayan QSC		261,370		282,098
Mega Financial Holding Co. Ltd.		833,000		919,594
Mitsubishi UFJ Financial Group, Inc.		151,300		566,970
Mizuho Financial Group, Inc.		239,800		292,328
Moneta Money Bank A/S^(b)		111,679		254,257
National Commercial Bank		34,108		329,938
People’s United Financial, Inc.		15,468		166,900
PNC Financial Services Group, Inc. (The)		4,774		509,243
Postal Savings Bank of China Co. Ltd., Class H^(b)		1,203,000		662,780
Public Bank Bhd		318,500		1,278,392
Qatar International Islamic Bank QSC		93,964		210,584
Qatar Islamic Bank SAQ		79,060		348,066
Qatar National Bank QPSC		178,739		884,607
Regions Financial Corp.		16,149		175,378
RHB Bank Bhd		921,400		1,091,073
Riyad Bank		45,083		203,633
Samba Financial Group		14,263		98,246


Security	Shares		Value

Banks (continued)
Sberbank of Russia PJSC, ADR		735,889	$	8,732,284
SinoPac Financial Holdings Co. Ltd.		1,372,000		498,731
Sumitomo Mitsui Financial Group, Inc.		30,000		799,393
Sumitomo Mitsui Trust Holdings, Inc.		12,500		320,926
SVB Financial Group^(f)		557		124,918
Taishin Financial Holding Co. Ltd.		314,000		143,101
Taiwan Cooperative Financial Holding Co. Ltd.		1,297,050		947,355
Thanachart Capital PCL, NVDR		97,000		108,379
Truist Financial Corp.		14,802		554,483
United Overseas Bank Ltd.		266,300		3,749,374
US Bancorp		197,917		7,291,262
Wells Fargo & Co.		40,722		987,916
Zions Bancorp NA		1,913		62,115

				151,124,241

Beverages — 0.4%
Anadolu Efes Biracilik ve Malt Sanayii A/S		493,688		1,367,520
Arca Continental SAB de CV		124,095		622,622
Asahi Group Holdings Ltd.		14,100		459,602
Brown-Forman Corp., Class B		4,850		336,299
Carlsberg Brewery Malaysia Bhd		5,000		29,857
China Resources Beer Holdings Co. Ltd.		186,000		1,293,443
Coca-Cola Amatil Ltd.		87,005		507,805
Coca-Cola Co. (The)		464,014		21,920,021
Coca-Cola Femsa SAB de CV		305,581		1,269,421
Constellation Brands, Inc., Class A		1,808		322,186
Diageo plc		240,510		8,800,419
Fraser & Neave Holdings Bhd		17,200		131,899
Heineken NV		114,860		11,127,018
Molson Coors Beverage Co., Class B		2,035		76,353
Monster Beverage Corp.^(f)		4,059		318,550
PepsiCo, Inc.		80,643		11,101,315
Pernod Ricard SA		2,803		481,695
Suntory Beverage & Food Ltd.		7,200		271,773

				60,437,798

Biotechnology — 0.2%
3SBio, Inc.^(b)(f)		48,500		59,021
AbbVie, Inc.		176,230		16,725,989
Alexion Pharmaceuticals, Inc.^(f)		2,423		248,333
Amgen, Inc.		11,183		2,736,145
Beijing Tiantan Biological Products Corp. Ltd., Class A		37,844		269,147
Biocon Ltd.		13,528		74,014
Biogen, Inc.^(f)		1,778		488,399
China Biologic Products Holdings, Inc.^(f)		8,284		881,003
Gilead Sciences, Inc.		22,686		1,577,358
Hualan Biological Engineering, Inc., Class A		18,980		176,427
Incyte Corp.^(f)		2,018		199,298
Ionis Pharmaceuticals, Inc.^(f)		1,375		79,145
Jinyu Bio-Technology Co. Ltd., Class A		53,600		223,905
Regeneron Pharmaceuticals, Inc.^(f)		1,107		699,701
Shanghai RAAS Blood Products Co. Ltd., Class A		167,810		248,400
Vertex Pharmaceuticals, Inc.^(f)		7,579		2,061,488
Walvax Biotechnology Co. Ltd., Class A		613,400		7,095,996

				33,843,769

Building Products — 0.1%
Allegion plc		4,954		492,725
AO Smith Corp.		16,045		772,406
Beijing New Building Materials plc, Class A		1,552,370		6,843,301
Carrier Global Corp.^(f)		306,598		8,351,730
Fortune Brands Home & Security, Inc.		1,512		115,668
Johnson Controls International plc		8,101		311,726
Masco Corp.		2,915		166,621


Security	Shares		Value

Building Products (continued)
Trane Technologies plc		2,610	$	291,981


			17,346,158

Capital Markets — 0.1%
Ameriprise Financial, Inc.		1,380		212,009
Bank of New York Mellon Corp. (The)		9,260		331,971
Blackstone Group, Inc. (The), Class A		6,470		344,722
Cboe Global Markets, Inc.		1,610		141,197
Charles Schwab Corp. (The)		61,433		2,036,504
CI Financial Corp.		3,054		41,976
CME Group, Inc.		4,878		810,626
E*TRADE Financial Corp.		2,746		139,414
FactSet Research Systems, Inc.		211		73,069
Franklin Resources, Inc.		9,614		202,375
Goldman Sachs Group, Inc. (The)		3,483		689,495
Intercontinental Exchange, Inc.		23,904		2,313,429
Invesco Ltd.		4,785		48,041
MarketAxess Holdings, Inc.		1,056		545,635
Moody’s Corp.		3,305		929,697
Morgan Stanley		13,492		659,489
MSCI, Inc.		999		375,604
Nasdaq, Inc.		3,233		424,525
Northern Trust Corp.		2,494		195,405
Raymond James Financial, Inc.		1,568		108,945
S&P Global, Inc.		6,184		2,165,946
State Street Corp.		4,098		261,411
T. Rowe Price Group, Inc.		4,481		618,826
TD Ameritrade Holding Corp.		1,123		40,305

				13,710,616

Chemicals — 0.1%
Air Products and Chemicals, Inc.		2,458		704,537
Albemarle Corp.		1,140		94,004
Asian Paints Ltd.		46,869		1,073,107
Celanese Corp.		1,246		121,111
CF Industries Holdings, Inc.		2,077		65,072
Corteva, Inc.		8,396		239,790
Covestro AG^(b)		85,942		3,335,186
Croda International plc		2,839		211,887
Dow, Inc.		8,071		331,395
DuPont de Nemours, Inc.		8,056		430,835
Eastman Chemical Co.		1,480		110,452
Ecolab, Inc.		14,259		2,667,574
EMS-Chemie Holding AG (Registered)		255		220,210
Evonik Industries AG		47,142		1,273,599
FMC Corp.		1,409		149,424
International Flavors & Fragrances, Inc.		1,154		145,346
Linde plc		5,797		1,420,903
LyondellBasell Industries NV, Class A		2,789		174,368
Mesaieed Petrochemical Holding Co.		70,782		40,086
Mosaic Co. (The)		3,836		51,671
Nitto Denko Corp.		1,400		79,353
Petronas Chemicals Group Bhd		65,600		95,989
PhosAgro PJSC, GDR		38,052		449,667
Pidilite Industries Ltd.		3,243		58,696
PPG Industries, Inc.		7,210		776,157
Saudi Arabian Fertilizer Co.		2,114		44,029
Saudi Basic Industries Corp.		91,811		2,172,965
Sherwin-Williams Co. (The)		872		564,986
Sika AG (Registered)		27,919		6,134,701
Sinopec Shanghai Petrochemical Co. Ltd., Class H		544,000		121,121
Yanbu National Petrochemical Co.		27,034		374,076

				23,732,297


Security	Shares		Value

Commercial Services & Supplies — 0.0%
Cintas Corp.		918	$	277,117
Copart, Inc.^(f)		7,160		667,670
Country Garden Services Holdings Co. Ltd.		20,000		120,667
Preston Holdings LLC^(d)(f)		24,388		195,104
Republic Services, Inc.		2,428		211,843
Rollins, Inc.		1,514		79,333
S-1 Corp.		77,186		5,863,407
Waste Management, Inc.		4,226		463,170

				7,878,311

Communications Equipment — 0.1%
Arcadyan Technology Corp.		25,000		65,970
Arista Networks, Inc.^(f)		4,714		1,224,556
Cisco Systems, Inc.		260,286		12,259,470
F5 Networks, Inc.^(f)		2,073		281,721
Juniper Networks, Inc.		3,737		94,845
Motorola Solutions, Inc.		1,874		261,985
Sercomm Corp.		153,000		412,761

				14,601,308

Construction & Engineering — 0.1%
Bouygues SA		248,412		8,775,543
Jacobs Engineering Group, Inc.		1,420		121,197
Kajima Corp.		10,900		119,737
Quanta Services, Inc.		1,542		61,634
Taisei Corp.		8,400		288,539
Vinci SA		60,981		5,248,333

				14,614,983

Construction Materials — 0.1%
Anhui Conch Cement Co. Ltd., Class A		53,643		471,444
Anhui Conch Cement Co. Ltd., Class H		1,125,500		8,511,198
Asia Cement Corp.		1,107,000		1,509,010
Martin Marietta Materials, Inc.		675		139,847
Siam Cement PCL (The), NVDR		21,800		267,484
Taiwan Cement Corp.		1,250,000		1,920,015
Vulcan Materials Co.		1,469		172,490

				12,991,488

Consumer Finance — 0.1%
American Express Co.		7,340		684,969
Arrow Global Group plc		122,104		120,835
Capital One Financial Corp.		5,167		329,654
Cembra Money Bank AG		29,058		3,172,682
Discover Financial Services		3,434		169,743
Shriram Transport Finance Co. Ltd.		407,453		3,752,261
Srisawad Corp. PCL, NVDR		18,000		27,786
Synchrony Financial		6,275		138,866

				8,396,796

Containers & Packaging — 0.1%
Amcor plc		17,554		180,806
Amcor plc, CDI		848,953		8,719,417
Avery Dennison Corp.		910		103,139
Ball Corp.		3,588		264,184
International Paper Co.		223,882		7,788,855
Packaging Corp. of America		1,106		106,309
Sealed Air Corp.		1,662		59,300
WestRock Co.		2,753		73,946

				17,295,956

Distributors — 0.1%
Genuine Parts Co.		108,479		9,779,382
LKQ Corp.^(f)		3,330		93,873

				9,873,255

Diversified Consumer Services — 0.0%
Benesse Holdings, Inc.		8,100		211,249
Fu Shou Yuan International Group Ltd.		189,000		179,271


Security	Shares		Value

Diversified Consumer Services (continued)
H&R Block, Inc.		2,169	$	31,450
New Oriental Education & Technology Group, Inc., ADR^(f)		2,630		368,726

				790,696

Diversified Financial Services — 0.0%
Berkshire Hathaway, Inc., Class B^(f)		21,273		4,164,828
Yuanta Financial Holding Co. Ltd.		1,000		615

				4,165,443

Diversified Telecommunication Services — 0.4%
AT&T, Inc.		78,079		2,309,577
Cellnex Telecom SA^(b)		110,123		6,930,522
CenturyLink, Inc.		10,608		102,367
China Telecom Corp. Ltd., Class H		3,820,000		1,134,257
China Unicom Hong Kong Ltd.		1,442,000		802,078
China Unicom Hong Kong Ltd., ADR		16,913		93,867
Chunghwa Telecom Co. Ltd.		549,000		2,051,686
Elisa OYJ		3,561		211,198
Emirates Telecommunications Group Co. PJSC		94,080		425,380
Hellenic Telecommunications Organization SA		464,073		6,828,153
HKT Trust & HKT Ltd.^(g)		2,618,000		3,857,594
Infrastrutture Wireless Italiane SpA^(b)		222,953		2,249,751
KT Corp., ADR		42,316		417,236
LG Uplus Corp.^(f)		26,070		250,960
Nippon Telegraph & Telephone Corp.		80,300		1,863,880
Ooredoo QPSC		94,446		173,840
Orange Polska SA^(f)		143,303		268,721
Orange SA		21,315		249,830
PCCW Ltd.		4,007,000		2,258,960
Rostelecom PJSC		151,138		183,341
Saudi Telecom Co.		64,126		1,669,139
Singapore Telecommunications Ltd.		1,066,000		1,934,656
Spark New Zealand Ltd.		77,052		252,510
Telecom Italia SpA		777,794		312,660
Telefonica Deutschland Holding AG		92,475		252,324
Telekom Malaysia Bhd		347,100		327,561
Telekomunikasi Indonesia Persero Tbk. PT		441,600		92,109
TELUS Corp.		993,721		17,234,043
Verizon Communications, Inc.		74,017		4,254,497

				58,992,697

Electric Utilities — 0.9%
Alliant Energy Corp.		2,673		143,941
American Electric Power Co., Inc.		144,291		12,536,002
AusNet Services		3,568,313		4,559,278
CEZ A/S		53,238		1,072,495
CPFL Energia SA		210,688		1,266,176
Duke Energy Corp.		123,301		10,448,527
Edison International		35,785		1,992,151
EDP - Energias de Portugal SA		2,410,573		12,115,760
Emera, Inc.		50,365		2,096,270
Enel SpA		1,381,043		12,651,079
Entergy Corp.		2,157		226,765
Evergy, Inc.		75,090		4,868,085
Eversource Energy		100,720		9,071,850
Exelon Corp.		10,486		404,864
FirstEnergy Corp.		215,911		6,261,419
HK Electric Investments & HK Electric Investments Ltd.^(g)		2,152,500		2,227,606
Iberdrola SA		1,047,449		13,538,577
Manila Electric Co.		18,760		101,281
NextEra Energy, Inc.		94,418		26,503,133
NRG Energy, Inc.		2,485		84,018
Orsted A/S^(b)		24,974		3,559,418
PG&E Corp.^(f)		116,045		1,085,021
Pinnacle West Capital Corp.		1,214		100,859


Security	Shares		Value

Electric Utilities (continued)
PPL Corp.		8,318	$	221,425
Southern Co. (The)		17,986		982,215
SSE plc		53,962		915,323
Tenaga Nasional Bhd		323,200		872,217
Xcel Energy, Inc.		180,739		12,478,221

				142,383,976

Electrical Equipment — 0.1%
AMETEK, Inc.		2,467		230,048
Eaton Corp. plc		74,636		6,950,851
Emerson Electric Co.		6,647		412,180
Legrand SA		10,946		846,764
Rockwell Automation, Inc.		3,363		733,605
Schneider Electric SE		129,314		14,827,598
Voltronic Power Technology Corp.^(f)		5,000		152,335

				24,153,381

Electronic Equipment, Instruments & Components — 0.1%
Amphenol Corp., Class A		3,212		339,701
CDW Corp.		1,564		181,815
Chroma ATE, Inc.		13,000		73,053
Corning, Inc.		8,438		261,578
Delta Electronics, Inc.		60,000		410,128
FLIR Systems, Inc.		1,465		61,032
Foxconn Technology Co. Ltd.		118,000		218,612
Hirose Electric Co. Ltd.		300		31,465
Hon Hai Precision Industry Co. Ltd.		3,418,000		9,135,044
IPG Photonics Corp.^(f)		383		68,561
Keysight Technologies, Inc.^(f)		3,199		319,548
Merry Electronics Co. Ltd.		107,000		581,189
Samsung SDI Co. Ltd.		19,810		6,632,024
Synnex Technology International Corp.		677,000		1,011,242
TE Connectivity Ltd.		3,630		323,324
Unimicron Technology Corp.		585,000		1,285,162
WPG Holdings Ltd.		1,062,000		1,444,666
Zebra Technologies Corp., Class A^(f)		582		163,396

				22,541,540

Energy Equipment & Services — 0.0%
Baker Hughes Co.		7,014		108,647
Halliburton Co.		9,510		136,278
Mcdermott International Ltd.^(f)		165,884		588,888
National Oilwell Varco, Inc.		4,170		47,997
Schlumberger Ltd.		15,134		274,531
TechnipFMC plc		4,535		36,416

				1,192,757

Entertainment — 0.1%
Activision Blizzard, Inc.		19,811		1,636,983
Electronic Arts, Inc.^(f)		22,436		3,177,386
G-bits Network Technology Xiamen Co. Ltd., Class A		909		80,622
Live Nation Entertainment, Inc.^(f)		1,554		72,743
NCSoft Corp.^(f)		2,225		1,516,107
NetEase, Inc., ADR		2,877		1,318,874
Netflix, Inc.^(f)		4,791		2,342,224
Perfect World Co. Ltd., Class A		23,460		128,846
Take-Two Interactive Software, Inc.^(f)		3,821		626,720
Tencent Music Entertainment Group, ADR^(f)		6,650		107,331
Walt Disney Co. (The)		19,776		2,312,606

				13,320,442

Equity Real Estate Investment Trusts (REITs) — 3.3%
Alexandria Real Estate Equities, Inc.		163,105		28,959,293
Allied Properties REIT		345,706		10,352,210
American Tower Corp.		43,506		11,372,033
Apartment Investment & Management Co., Class A		1,404		54,503


Security	Shares		Value

Equity Real Estate Investment Trusts (REITs) (continued)
Assura plc		23,801,351	$	24,540,279
AvalonBay Communities, Inc.		115,476		17,681,685
Boston Properties, Inc.		161,634		14,399,973
Comforia Residential REIT, Inc.		1,814		5,681,755
Community Healthcare Trust, Inc.		89,995		4,115,471
Cousins Properties, Inc.		671,228		20,620,124
Cromwell European REIT^(h)		23,108,000		11,766,446
Crown Castle International Corp.		199,508		33,257,984
CyrusOne, Inc.		207,517		17,311,068
Dexus		4,357,651		26,452,586
Digital Realty Trust, Inc.		22,259		3,573,460
Duke Realty Corp.		4,071		163,614
EPR Properties		390,708		11,185,970
Equinix, Inc.		39,642		31,137,998
Equity Residential		3,867		207,387
Essex Property Trust, Inc.		710		156,725
Extra Space Storage, Inc.		1,406		145,296
Federal Realty Investment Trust		753		57,454
Goodman Group		1,977,849		24,047,875
Healthpeak Properties, Inc.		6,025		164,422
Host Hotels & Resorts, Inc.		7,887		85,022
Hudson Pacific Properties, Inc		374,278		8,821,733
Iron Mountain, Inc.		3,118		87,896
Japan Retail Fund Investment Corp.		55		66,132
Kenedix Office Investment Corp.		4,419		24,046,822
Kimco Realty Corp.		4,561		50,855
Link REIT		1,173,400		9,104,500
LondonMetric Property plc		3,389,518		10,239,700
MCUBS MidCity Investment Corp.		17,287		11,264,079
Mid-America Apartment Communities, Inc.		1,276		152,086
Nippon Prologis REIT, Inc		3,436		11,861,050
NorthWest Healthcare Properties REIT		627,132		5,267,263
Omega Healthcare Investors, Inc.		317,100		10,267,698
Prologis, Inc.		294,473		31,043,344
Public Storage		1,623		324,405
Realty Income Corp.		3,813		228,971
Regency Centers Corp.		1,811		74,305
SBA Communications Corp.		39,666		12,357,546
Secure Income REIT plc		1,770,874		6,113,431
Segro plc		1,455,959		18,438,622
Simon Property Group, Inc.		3,324		207,251
SL Green Realty Corp.		730		33,945
Spirit Realty Capital, Inc.		505,064		17,404,506
STAG Industrial, Inc.		305,600		9,962,560
Sun Communities, Inc.		141,412		21,201,901
Target Healthcare REIT plc		7,001,766		10,210,157
UDR, Inc.		3,220		116,564
Ventas, Inc.		4,026		154,437
VEREIT, Inc.		1,338,894		8,716,200
VICI Properties, Inc.		702,110		15,242,808
Vornado Realty Trust		1,711		59,064
Welltower, Inc.		4,580		245,305
Weyerhaeuser Co.		8,426		234,327

				541,090,096

Food & Staples Retailing — 0.2%
Abdullah Al Othaim Markets Co.		10,297		328,910
Atacadao SA		30,931		132,344
BIM Birlesik Magazalar A/S		44,933		458,737
Clicks Group Ltd.		49,928		666,300
Colruyt SA		3,867		224,582
Costco Wholesale Corp.		15,194		4,946,103
CP ALL PCL, NVDR		1,034,000		2,263,819
Dino Polska SA^(b)(f)		7,150		395,833
Koninklijke Ahold Delhaize NV		23,775		684,740
Kroger Co. (The)		8,585		298,672
Lawson, Inc.		6,600		328,659


Security	Shares		Value

Food & Staples Retailing (continued)
Loblaw Cos. Ltd.		29,411	$	1,525,828
President Chain Store Corp.		95,000		907,453
Raia Drogasil SA		10,197		243,815
Seven & i Holdings Co. Ltd.		14,800		447,249
Sun Art Retail Group Ltd.		138,500		192,487
Sysco Corp.		5,527		292,102
Walgreens Boots Alliance, Inc.		53,835		2,191,623
Wal-Mart de Mexico SAB de CV		2,822,610		6,643,375
Walmart, Inc.		41,360		5,351,984
Wm Morrison Supermarkets plc		324,201		786,424
X5 Retail Group NV, GDR		136,469		5,121,678

				34,432,717

Food Products — 0.3%
Almarai Co. JSC		25,021		357,545
Angel Yeast Co. Ltd., Class A		9,700		91,425
Archer-Daniels-Midland Co.		6,233		266,959
Britannia Industries Ltd.		3,295		168,170
Campbell Soup Co.		1,822		90,317
China Feihe Ltd.^(b)		69,000		132,802
China Mengniu Dairy Co. Ltd.^(f)		1,458,000		6,841,624
Conagra Brands, Inc.		5,258		196,912
Dali Foods Group Co. Ltd.^(b)		469,500		286,936
General Mills, Inc.		9,274		586,766
Gruma SAB de CV, Class B		10,636		124,688
Guangdong Haid Group Co. Ltd., Class A		31,300		286,041
Henan Shuanghui Investment & Development Co. Ltd., Class A^(f)		86,946		679,848
Hershey Co. (The)		13,139		1,910,542
Hormel Foods Corp.		3,127		159,039
JM Smucker Co. (The)		7,114		777,916
Kellogg Co.		4,506		310,869
Kraft Heinz Co. (The)		6,982		240,041
Kuala Lumpur Kepong Bhd		15,400		84,737
Lamb Weston Holdings, Inc.		1,574		94,566
McCormick & Co., Inc. (Non-Voting)		1,380		268,962
Mondelez International, Inc., Class A		15,631		867,364
Nestle India Ltd.		6,866		1,512,280
Nestle Malaysia Bhd		21,100		705,915
Nestle SA (Registered)		192,174		22,853,670
Nisshin Seifun Group, Inc.		3,100		47,486
NongShim Co. Ltd.		620		192,359
PPB Group Bhd		14,900		69,354
Savola Group (The)^(f)		13,678		169,078
Standard Foods Corp.		142,000		297,069
Thai Union Group PCL, NVDR		436,500		187,811
Tingyi Cayman Islands Holding Corp.		382,000		712,124
Toly Bread Co. Ltd., Class A		13,300		114,639
Tyson Foods, Inc., Class A		3,184		195,657
Uni-President China Holdings Ltd.		158,000		171,440
Uni-President Enterprises Corp.		607,000		1,481,478
Want Want China Holdings Ltd.		2,724,000		2,015,896
Wens Foodstuffs Group Co. Ltd., Class A		195,889		665,955

				46,216,280

Gas Utilities — 0.2%
Atmos Energy Corp.		52,806		5,596,908
China Resources Gas Group Ltd.		30,000		147,975
ENN Energy Holdings Ltd.		713,900		8,653,722
Petronas Gas Bhd		58,600		233,039
Snam SpA		985,072		5,243,987
Tokyo Gas Co. Ltd.		236,600		5,023,516

				24,899,147

Health Care Equipment & Supplies — 0.3%
Abbott Laboratories		24,100		2,425,424
ABIOMED, Inc.^(f)		490		146,971


Security	Shares		Value

Health Care Equipment & Supplies (continued)
Align Technology, Inc.^(f)		785	$	230,649
Ansell Ltd.		159,158		4,369,983
Baxter International, Inc.		5,601		483,814
Becton Dickinson and Co.		3,200		900,288
Boston Scientific Corp.^(f)		15,409		594,325
Cooper Cos., Inc. (The)		536		151,651
Danaher Corp.		15,985		3,257,743
Dentsply Sirona, Inc.		2,422		108,021
DexCom, Inc.^(f)		1,012		440,766
Edwards Lifesciences Corp.^(f)		49,091		3,849,225
Hartalega Holdings Bhd		229,200		1,101,333
Hologic, Inc.^(f)		2,888		201,525
IDEXX Laboratories, Inc.^(f)		904		359,566
Intuitive Surgical, Inc.^(f)		1,275		873,936
Koninklijke Philips NV		191,655		9,902,982
Kossan Rubber Industries		36,600		152,496
Lepu Medical Technology Beijing Co. Ltd., Class A		868,281		5,332,926
Masimo Corp.^(f)		5,017		1,104,342
Medtronic plc		162,953		15,721,705
ResMed, Inc.		4,319		874,641
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		100,000		254,658
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A		5,218		259,231
STERIS plc		966		154,203
Stryker Corp.		3,495		675,584
Supermax Corp. Bhd.^(f)		23,600		103,642
Teleflex, Inc.		500		186,550
Top Glove Corp. Bhd		23,600		144,558
Varian Medical Systems, Inc.^(f)		984		140,436
West Pharmaceutical Services, Inc.		843		226,657
Zimmer Biomet Holdings, Inc.		2,284		308,020

				55,037,851

Health Care Providers & Services — 0.2%
Alfresa Holdings Corp.		18,100		370,640
AmerisourceBergen Corp.		7,302		731,587
Anthem, Inc.		3,524		964,871
Bangkok Dusit Medical Services PCL, NVDR		1,486,100		1,056,481
Bumrungrad Hospital PCL, NVDR		105,700		389,071
Cardinal Health, Inc.		3,222		175,986
Centene Corp.^(f)		6,307		411,532
China National Medicines Corp. Ltd., Class A		23,567		148,286
Cigna Corp.		4,000		690,760
CVS Health Corp.		14,220		895,007
DaVita, Inc.^(f)		939		82,059
Dr Sulaiman Al Habib Medical Services Group Co.		3,863		90,642
Fresenius Medical Care AG & Co. KGaA		2,710		238,757
HCA Healthcare, Inc.		2,873		363,837
Henry Schein, Inc.^(f)		4,757		326,949
Humana, Inc.		1,451		569,445
IHH Healthcare Bhd		354,100		452,290
Jointown Pharmaceutical Group Co. Ltd., Class A		57,500		154,057
Laboratory Corp. of America Holdings^(f)		1,056		203,723
McKesson Corp.		3,155		473,755
Mediclinic International plc		1,576,096		5,550,821
Medipal Holdings Corp.		1,300		23,808
Quest Diagnostics, Inc.		3,058		388,580
Shanghai Pharmaceuticals Holding Co. Ltd., Class H		154,100		273,977
Sinopharm Group Co. Ltd., Class H		88,800		211,635
Sonic Healthcare Ltd.		257,713		5,900,238
Suzuken Co. Ltd.		1,200		42,687
Topchoice Medical Corp., Class A^(f)		9,681		244,456


Security	Shares		Value

Health Care Providers & Services (continued)
UnitedHealth Group, Inc.		12,844	$	3,888,906
Universal Health Services, Inc., Class B		788		86,601

				25,401,444

Health Care Technology — 0.0%
Cerner Corp.		7,746		537,960
Veeva Systems, Inc., Class A^(f)		6,345		1,678,696

				2,216,656

Hotels, Restaurants & Leisure — 0.2%
Carnival Corp.		5,032		69,844
Chipotle Mexican Grill, Inc.^(f)		285		329,221
Compass Group plc		22,959		315,898
Darden Restaurants, Inc.		1,438		109,144
Domino’s Pizza, Inc.		1,713		662,263
Genting Bhd		70,000		63,516
Genting Malaysia Bhd		897,300		483,841
Genting Singapore Ltd.		1,081,500		580,176
Haidilao International Holding Ltd.^(b)		11,000		50,654
Hilton Worldwide Holdings, Inc.		2,978		223,499
Kangwon Land, Inc.^(f)		6,656		127,784
Las Vegas Sands Corp.		3,660		159,722
Marriott International, Inc., Class A		2,850		238,901
McDonald’s Corp.		24,445		4,749,175
MGM Resorts International		5,206		83,765
Norwegian Cruise Line Holdings Ltd.^(f)		2,705		36,896
OPAP SA		63,418		574,496
Royal Caribbean Cruises Ltd.		1,857		90,454
SJM Holdings Ltd.		5,939,000		6,701,339
Sodexo SA		3,578		246,933
Starbucks Corp.		39,334		3,010,231
Wynn Resorts Ltd.		959		69,460
Yum China Holdings, Inc.		129,455		6,633,274
Yum! Brands, Inc.		11,395		1,037,515

				26,648,001

Household Durables — 0.2%
Arcelik A/S^(f)		43,360		143,621
Barratt Developments plc		294,861		1,958,664
Berkeley Group Holdings plc		4,605		267,186
Crompton Greaves Consumer Electricals Ltd.^(f)		14,590		47,505
DR Horton, Inc.		3,741		247,505
Garmin Ltd.		20,117		1,983,335
Haier Electronics Group Co. Ltd.		2,346,000		8,158,098
Leggett & Platt, Inc.		1,414		56,687
Lennar Corp., Class A		3,032		219,365
Mohawk Industries, Inc.^(f)		647		51,663
Newell Brands, Inc.		4,118		67,535
Nikon Corp.		46,500		325,101
NVR, Inc.^(f)		36		141,485
Persimmon plc		192,765		6,018,167
PulteGroup, Inc.		2,785		121,426
Sekisui House Ltd.		84,500		1,543,288
Taylor Wimpey plc		3,178,300		4,902,613
Whirlpool Corp.		621		101,298

				26,354,542

Household Products — 0.2%
Church & Dwight Co., Inc.		2,670		257,201
Clorox Co. (The)		1,360		321,654
Colgate-Palmolive Co.		43,874		3,387,073
Henkel AG & Co. KGaA		1,391		120,865
Hindustan Unilever Ltd.		37,182		1,096,841
Kimberly-Clark Corp.		3,719		565,437
Procter & Gamble Co. (The)		137,979		18,091,806
Reckitt Benckiser Group plc		58,985		5,914,404

				29,755,281


Security	Shares		Value

Independent Power and Renewable Electricity Producers — 0.0%
AES Corp.		7,173	$	109,245
China Yangtze Power Co. Ltd., Class A		2,299,400		6,042,796
Electricity Generating PCL, NVDR		69,400		528,932
Energy Absolute PCL, NVDR		70,800		107,677
Huadian Power International Corp. Ltd., Class A		146,300		75,951
Huaneng Power International, Inc., Class A		264,900		177,773
SDIC Power Holdings Co. Ltd., Class A		108,181		133,402
Sichuan Chuantou Energy Co. Ltd., Class A		213,140		291,157

				7,466,933

Industrial Conglomerates — 0.0%
3M Co.		7,699		1,158,469
Far Eastern New Century Corp.		147,000		128,547
General Electric Co.		95,928		582,283
Honeywell International, Inc.		21,062		3,146,031
Industries Qatar QSC		111,170		237,084
Roper Technologies, Inc.		3,284		1,420,166
Shanghai Industrial Holdings Ltd.		45,000		65,657

				6,738,237

Insurance — 0.5%
Aflac, Inc.		8,000		284,560
Allianz SE (Registered)		29,135		6,044,762
Allstate Corp. (The)		6,316		596,167
American Financial Group, Inc.		4,709		286,166
American International Group, Inc.		9,400		302,116
Aon plc, Class A		2,548		522,901
Arthur J Gallagher & Co.		2,146		230,674
Assurant, Inc.		661		71,038
BB Seguridade Participacoes SA		802,849		4,286,232
Bupa Arabia for Cooperative Insurance Co.		7,872		248,822
Cathay Financial Holding Co. Ltd.		588,511		795,563
China Life Insurance Co. Ltd., Class H		2,898,000		6,647,760
China Reinsurance Group Corp., Class H		602,000		66,047
Chubb Ltd.		4,999		636,073
Cincinnati Financial Corp.		1,641		127,883
Direct Line Insurance Group plc		276,898		1,071,509
Everest Re Group Ltd.		461		100,862
Fubon Financial Holding Co. Ltd.		605,000		861,633
Globe Life, Inc.		1,193		94,963
Hannover Rueck SE		34,456		5,828,931
Hartford Financial Services Group, Inc. (The)		3,907		165,344
Japan Post Holdings Co. Ltd.		147,700		1,008,761
Lincoln National Corp.		2,163		80,615
Loews Corp.		2,773		100,965
Marsh & McLennan Cos., Inc.		5,630		656,458
MetLife, Inc.		39,197		1,483,606
MS&AD Insurance Group Holdings, Inc.		46,100		1,158,402
Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		18,609		4,932,750
New China Life Insurance Co. Ltd., Class A		9,400		71,060
New China Life Insurance Co. Ltd., Class H		77,000		301,293
Phoenix Group Holdings plc		716,982		6,156,943
Ping An Insurance Group Co. of China Ltd., Class H		772,500		8,150,824
Principal Financial Group, Inc.		2,802		118,889
Progressive Corp. (The)		6,410		579,079
Prudential Financial, Inc.		4,357		276,103
Prudential plc		445,516		6,366,764
Qatar Insurance Co. SAQ		72,642		39,470
Sampo OYJ, Class A		100,050		3,616,233
Samsung Fire & Marine Insurance Co. Ltd.		556		80,031
SCOR SE		253,567		6,526,046
T&D Holdings, Inc.		10,600		87,254
Tokio Marine Holdings, Inc.		1,900		80,227
Travelers Cos., Inc. (The)		2,886		330,216
Unum Group		2,244		38,664


Security	Shares		Value

Insurance (continued)
Willis Towers Watson plc		1,438	$	301,994
WR Berkley Corp.		1,637		101,085
Zurich Insurance Group AG		29,473		10,899,203

				82,812,941

Interactive Media & Services — 0.4%
Alphabet, Inc., Class A^(f)		7,531		11,205,751
Alphabet, Inc., Class C^(f)		6,182		9,167,659
Auto Trader Group plc^(b)		993,851		6,942,564
Autohome, Inc., ADR		1,346		117,977
Facebook, Inc., Class A^(f)		43,495		11,033,377
Kakaku.com, Inc.		24,600		593,941
NAVER Corp.		6,772		1,720,439
Tencent Holdings Ltd.		440,300		30,203,795
Twitter, Inc.^(f)		11,976		435,926

				71,421,429

Internet & Direct Marketing Retail — 0.3%
Alibaba Group Holding Ltd.^(f)		18,500		580,457
Alibaba Group Holding Ltd., ADR^(f)		25,159		6,315,412
Amazon.com, Inc.^(f)		8,382		26,526,348
Booking Holdings, Inc.^(f)		803		1,334,691
eBay, Inc.		34,878		1,928,056
Expedia Group, Inc.		1,511		122,406
JD.com, Inc., ADR^(f)		31,332		1,998,668
Meituan Dianping, Class B^(f)		89,600		2,217,286
Naspers Ltd., Class N		9,079		1,651,935
Pinduoduo, Inc., ADR^(f)		8,330		764,694

				43,439,953

IT Services — 0.4%
Accenture plc, Class A		21,288		4,785,117
Akamai Technologies, Inc.^(f)		1,783		200,481
Automatic Data Processing, Inc.		15,308		2,034,586
Booz Allen Hamilton Holding Corp.		24,531		2,005,655
Broadridge Financial Solutions, Inc.		4,294		576,856
CGI, Inc., Class A^(f)		40,566		2,897,420
Cognizant Technology Solutions Corp., Class A		5,968		407,734
DXC Technology Co.		2,831		50,703
Fidelity National Information Services, Inc.		6,756		988,470
Fiserv, Inc.^(f)		6,104		609,118
FleetCor Technologies, Inc.^(f)		935		241,763
Gartner, Inc.^(f)		974		121,399
Global Payments, Inc.		3,273		582,660
HCL Technologies Ltd.		152,799		1,436,587
Infosys Ltd.		390,439		5,020,321
Infosys Ltd., ADR		472,621		6,073,180
International Business Machines Corp.		9,702		1,192,764
Jack Henry & Associates, Inc.		832		148,346
Leidos Holdings, Inc.		1,457		138,648
Mastercard, Inc., Class A		18,293		5,643,939
Mphasis Ltd.		18,320		283,443
Nomura Research Institute Ltd.		2,200		58,066
Okta, Inc.^(f)		387		85,519
Paychex, Inc.		216,115		15,542,991
PayPal Holdings, Inc.^(f)		20,906		4,099,039
SCSK Corp.		2,100		106,882
Tata Consultancy Services Ltd.		61,818		1,878,071
VeriSign, Inc.^(f)		12,570		2,660,818
Visa, Inc., Class A		39,146		7,453,398
Western Union Co. (The)		4,580		111,202
Wipro Ltd.		289,154		1,083,903

				68,519,079

Leisure Products — 0.1%
Hasbro, Inc.		169,173		12,309,027


Security	Shares		Value

Life Sciences Tools & Services — 0.1%
Agilent Technologies, Inc.		11,863	$	1,142,763
Bio-Rad Laboratories, Inc., Class A^(f)		229		120,200
Illumina, Inc.^(f)		3,352		1,281,000
IQVIA Holdings, Inc.^(f)		1,967		311,553
Lonza Group AG (Registered)^(f)		19,067		11,923,271
Mettler-Toledo International, Inc.^(f)		252		235,620
PerkinElmer, Inc.		1,285		152,799
Samsung Biologics Co. Ltd.^(b)(f)		317		195,449
Thermo Fisher Scientific, Inc.		4,355		1,802,752
Waters Corp.^(f)		697		148,566
WuXi AppTec Co. Ltd., Class A		61,040		987,148
WuXi AppTec Co. Ltd., Class H^(b)		49,380		744,548

				19,045,669

Machinery — 0.3%
Amada Co. Ltd.		41,000		275,538
Atlas Copco AB, Class A		144,592		6,418,652
Caterpillar, Inc.		5,933		788,377
Cummins, Inc.		6,084		1,175,794
Deere & Co.		3,405		600,335
Dover Corp.		1,668		171,687
Flowserve Corp.		1,417		39,492
Fortive Corp.		3,194		224,187
Han’s Laser Technology Industry Group Co. Ltd., Class A		774,294		4,429,224
IDEX Corp.		7,078		1,166,596
Illinois Tool Works, Inc.		3,131		579,204
Ingersoll Rand, Inc.^(f)		3,749		118,431
Kone OYJ, Class B		134,666		10,693,654
Otis Worldwide Corp.^(f)		147,936		9,281,505
PACCAR, Inc.		5,874		499,760
Parker-Hannifin Corp.		1,388		248,341
Pentair plc		1,807		77,430
Rational AG		6,378		3,788,245
Snap-on, Inc.		4,523		659,770
Spirax-Sarco Engineering plc		3,187		425,895
Stanley Black & Decker, Inc.		1,711		262,330
Volvo AB, Class B		541,745		9,362,322
Wartsila OYJ Abp		76,891		643,106
Westinghouse Air Brake Technologies Corp		1,968		122,390
Xylem, Inc.		12,581		918,161
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class A		308,818		365,124

				53,335,550

Marine — 0.0%
Kuehne + Nagel International AG (Registered)		11,708		2,018,306
MISC Bhd		281,700		524,414
Projector SA^(d)(f)		24,388		—

				2,542,720

Media — 0.1%
Charter Communications, Inc., Class A^(f)		1,647		955,260
Cheil Worldwide, Inc.		4,522		72,990
Comcast Corp., Class A		280,167		11,991,148
Cyfrowy Polsat SA		41,001		304,652
Discovery, Inc., Class A^(f)		1,747		36,862
Discovery, Inc., Class C^(f)		3,743		70,930
DISH Network Corp., Class A^(f)		2,822		90,614
Eutelsat Communications SA		31,017		313,664
Fox Corp., Class A		5,530		142,508
Fox Corp., Class B		1,458		37,573
Interpublic Group of Cos., Inc. (The)		4,184		75,521
MultiChoice Group^(f)		94,916		584,872
News Corp., Class A		4,147		52,750
News Corp., Class B		2,010		25,647
Omnicom Group, Inc.		2,294		123,257


Security	Shares		Value

Media (continued)
Publicis Groupe SA		45,375	$	1,450,913
SES SA, FDR		58,961		417,069
Shaw Communications, Inc., Class B		46,804		856,096
Sirius XM Holdings, Inc.		31,065		182,662
ViacomCBS, Inc.		5,552		144,741
WPP plc		72,308		536,257

				18,465,986

Metals & Mining — 0.2%
Agnico Eagle Mines Ltd.		4,974		395,001
Anglo American Platinum Ltd.		1,888		144,929
Anglo American plc		2,509		61,729
Baoshan Iron & Steel Co. Ltd., Class A		1,604,072		1,129,559
Barrick Gold Corp.		28,813		832,693
Cia de Minas Buenaventura SAA, ADR		10,594		125,645
Franco-Nevada Corp.		14,514		2,319,943
Freeport-McMoRan, Inc.		16,471		212,805
Gold Fields Ltd.		9,116		120,551
Hochschild Mining plc		107,064		379,387
Hunan Valin Steel Co. Ltd., Class A		392,700		251,651
Kirkland Lake Gold Ltd.		607		33,149
Koza Altin Isletmeleri A/S^(f)		11,116		137,925
Kumba Iron Ore Ltd.		2,673		86,439
MMC Norilsk Nickel PJSC		716		189,630
Newmont Corp.		42,238		2,922,870
Novolipetsk Steel PJSC		10,303		20,236
Nucor Corp.		3,276		137,428
Rio Tinto plc		7,616		463,603
Shandong Gold Mining Co. Ltd., Class A		163,120		1,015,692
Shandong Gold Mining Co. Ltd., Class H^(b)		19,500		61,843
Shandong Nanshan Aluminum Co. Ltd., Class A		498,000		168,963
Southern Copper Corp.		25,188		1,100,968
Vale SA^(f)		764,579		8,921,591
Vale SA, ADR		110,774		1,289,409
Wheaton Precious Metals Corp.		50,994		2,766,609
Zhaojin Mining Industry Co. Ltd., Class H		369,500		468,197
Zhongjin Gold Corp. Ltd., Class A		109,600		179,333
Zijin Mining Group Co. Ltd., Class A		1,110,100		938,159
Zijin Mining Group Co. Ltd., Class H		182,000		114,416

				26,990,353

Multiline Retail — 0.0%
Canadian Tire Corp. Ltd., Class A		5,574		513,892
Dollar General Corp.		7,239		1,378,306
Dollar Tree, Inc.^(f)		2,650		247,377
Kohl’s Corp.		1,719		32,730
Target Corp.		10,487		1,320,104

				3,492,409

Multi-Utilities — 0.5%
Ameren Corp.		122,181		9,803,803
CenterPoint Energy, Inc.		5,949		113,091
CMS Energy Corp.		120,306		7,721,239
Consolidated Edison, Inc.		14,418		1,107,735
Dominion Energy, Inc.		226,630		18,363,829
DTE Energy Co.		2,104		243,286
E.ON SE		512,028		6,011,218
National Grid plc		1,611,914		18,910,792
NiSource, Inc.		4,180		102,201
Public Service Enterprise Group, Inc.		145,616		8,145,759
Qatar Electricity & Water Co. QSC		31,180		144,552
Sempra Energy		112,994		14,063,233
WEC Energy Group, Inc.		39,826		3,793,825

				88,524,563

Oil, Gas & Consumable Fuels — 0.5%
Apache Corp.		4,063		62,367
Cabot Oil & Gas Corp.		4,521		84,543


Security	Shares		Value

Oil, Gas & Consumable Fuels (continued)
Cheniere Energy, Inc.^(f)		125,978	$	6,233,391
Chevron Corp.		20,395		1,711,956
China Petroleum & Chemical Corp., Class H		1,476,000		628,807
CNOOC Ltd.		1,761,000		1,858,736
CNOOC Ltd., ADR		50,660		5,352,229
Concho Resources, Inc.		2,173		114,169
ConocoPhillips		11,825		442,137
Devon Energy Corp.		4,129		43,313
Diamondback Energy, Inc.		1,586		63,218
ENEOS Holdings, Inc.		6,500		22,793
Energy Transfer LP		102,697		672,665
Enterprise Products Partners LP		71,448		1,257,485
EOG Resources, Inc.		6,337		296,888
Equitrans Midstream Corp.		28,949		279,358
Exxon Mobil Corp.		46,019		1,936,480
Gazprom PJSC		167,548		412,068
Gibson Energy, Inc.		196,635		3,238,470
Hess Corp.		2,797		137,640
HollyFrontier Corp.		1,636		44,990
Kinder Morgan, Inc.		493,097		6,952,668
LUKOIL PJSC		17,325		1,189,623
Magellan Midstream Partners LP		28,267		1,144,531
Marathon Oil Corp.		8,688		47,697
Marathon Petroleum Corp.		7,050		269,310
MPLX LP		70,508		1,288,181
Noble Energy, Inc.		5,168		51,628
Occidental Petroleum Corp.		9,699		152,662
OMV AG		84,259		2,661,054
ONEOK, Inc.		21,616		603,303
Pembina Pipeline Corp.		131,175		3,187,686
PetroChina Co. Ltd., Class H		890,000		309,500
Petroleo Brasileiro SA^(f)		1,628,834		7,091,050
Petroleo Brasileiro SA, ADR^(f)		261,107		2,263,798
Petronas Dagangan Bhd		31,200		158,310
Petronet LNG Ltd.		2,197,643		7,273,067
Phillips 66		8,534		529,279
Phillips 66 Partners LP		26,228		729,138
Pioneer Natural Resources Co.		1,804		174,844
Plains All American Pipeline LP		126,143		963,733
Plains GP Holdings LP, Class A		368,704		2,927,510
Polski Koncern Naftowy ORLEN SA		14,012		199,512
Polskie Gornictwo Naftowe i Gazownictwo SA		37,196		50,722
PTT PCL, NVDR		116,600		146,276
Qatar Gas Transport Co. Ltd.		6,248,041		4,791,822
Targa Resources Corp.		12,020		219,726
TC Energy Corp.		236,359		10,772,867
TC PipeLines LP		21,034		644,902
Valero Energy Corp.		7,664		430,947
Williams Cos., Inc. (The)		33,643		643,591

				82,762,640

Personal Products — 0.2%
Colgate-Palmolive India Ltd.		7,598		144,350
Coty, Inc., Class A		3,163		11,735
Dabur India Ltd.		186,030		1,274,845
Estee Lauder Cos., Inc. (The), Class A		2,465		486,936
Hengan International Group Co. Ltd.		53,500		449,192
L’Oreal SA		7,993		2,682,673
Marico Ltd.		178,953		867,665
Pola Orbis Holdings, Inc.		40,900		680,016
Unilever plc		316,670		18,856,122

				25,453,534

Pharmaceuticals — 0.9%
Astellas Pharma, Inc.		38,100		594,283
AstraZeneca plc		42,930		4,742,893
Beijing Tongrentang Co. Ltd., Class A		13,600		52,661


Security	Shares		Value

Pharmaceuticals (continued)
Bristol-Myers Squibb Co.		56,111	$	3,291,471
Cipla Ltd.		12,200		117,293
CSPC Pharmaceutical Group Ltd.		40,000		84,246
Dr Reddy’s Laboratories Ltd.		2,671		161,753
Eli Lilly & Co.		11,125		1,671,976
GlaxoSmithKline plc		614,649		12,244,002
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class H		30,000		91,362
Hansoh Pharmaceutical Group Co. Ltd.^(b)(f)		36,000		155,925
Jazz Pharmaceuticals plc^(f)		1,920		207,840
Jiangsu Hengrui Medicine Co. Ltd., Class A		39,372		532,039
Johnson & Johnson		128,194		18,685,557
Livzon Pharmaceutical Group, Inc., Class A		26,900		209,802
Lupin Ltd.		7,499		92,821
Merck & Co., Inc.		56,778		4,555,867
Mylan NV^(f)		5,574		89,797
Novartis AG (Registered)		202,574		16,685,470
Novo Nordisk A/S, Class B		302,474		19,846,104
Perrigo Co. plc		1,463		77,568
Pfizer, Inc.		405,528		15,604,717
Richter Gedeon Nyrt		30,663		709,460
Roche Holding AG		33,903		11,742,527
Sanofi		255,857		26,864,230
Shionogi & Co. Ltd.		900		53,542
Sun Pharmaceutical Industries Ltd.		25,333		179,945
Taisho Pharmaceutical Holdings Co. Ltd.		2,400		136,365
Takeda Pharmaceutical Co. Ltd.		14,300		518,615
Yunnan Baiyao Group Co. Ltd., Class A		15,500		243,154
Zoetis, Inc.		5,160		782,669

				141,025,954

Professional Services — 0.1%
CoStar Group, Inc.^(f)		1,086		922,839
Equifax, Inc.		2,467		401,036
IHS Markit Ltd.^(f)		4,334		349,884
Nielsen Holdings plc		3,843		55,454
Randstad NV		13,036		627,910
RELX plc		459,705		9,741,756
RELX plc		277,746		5,847,158
Robert Half International, Inc.		22,689		1,154,189
SGS SA (Registered)		1,563		4,093,273
Teleperformance		314		91,897
Thomson Reuters Corp.		373		26,026
Verisk Analytics, Inc.		4,191		790,884
Wolters Kluwer NV		4,364		343,699

				24,446,005

Real Estate Management & Development — 0.7%
Aldar Properties PJSC		79,017		37,543
Aroundtown SA		2,453,884		14,776,257
Barwa Real Estate Co.		185,470		159,844
CBRE Group, Inc., Class A^(f)		3,634		159,206
China Vanke Co. Ltd., Class H		1,989,400		6,271,431
CK Asset Holdings Ltd.		2,729,500		15,156,016
Daito Trust Construction Co. Ltd.		14,900		1,168,492
Daiwa House Industry Co. Ltd.		9,000		198,605
Emaar Development PJSC		157,196		87,315
Emaar Malls PJSC		130,402		47,457
Entra ASA^(b)		973,397		13,741,356
ESR Cayman Ltd.^(b)(f)		6,333,800		15,619,280
Hang Lung Properties Ltd.		1,922,000		4,715,359
Hongkong Land Holdings Ltd.		2,337,100		8,902,477
Land & Houses PCL, NVDR		4,407,900		1,048,870
LEG Immobilien AG		54,437		7,590,501
Nomura Real Estate Holdings, Inc.		1,100		18,186


Security	Shares		Value

Real Estate Management & Development (continued)
Vonovia SE		454,855	$	29,399,928

				119,098,123

Road & Rail — 0.2%
Canadian National Railway Co.		90,675		8,857,305
CJ Logistics Corp.^(f)		1,279		164,530
CSX Corp.		8,412		600,112
Daqin Railway Co. Ltd., Class A		596,217		553,345
East Japan Railway Co.		89,600		5,164,962
JB Hunt Transport Services, Inc.		995		128,753
Kansas City Southern		21,245		3,650,953
Norfolk Southern Corp.		2,813		540,687
Old Dominion Freight Line, Inc.		1,092		199,639
Union Pacific Corp.		30,569		5,299,136

				25,159,422

Semiconductors & Semiconductor Equipment — 0.6%
Advanced Micro Devices, Inc.^(f)		12,819		992,575
Analog Devices, Inc.		4,064		466,750
Applied Materials, Inc.		40,597		2,611,605
ASML Holding NV		20,813		7,399,805
Broadcom, Inc.		4,357		1,380,080
Intel Corp.		96,958		4,627,805
KLA Corp.		1,712		342,109
Lam Research Corp.		1,582		596,667
Maxim Integrated Products, Inc.		20,463		1,393,326
MediaTek, Inc.		4,000		95,512
Microchip Technology, Inc.		2,654		269,991
Micron Technology, Inc.^(f)		12,028		602,062
NVIDIA Corp.		17,069		7,247,327
Parade Technologies Ltd.		17,000		740,003
Phison Electronics Corp.		28,000		280,919
Powertech Technology, Inc.		361,000		1,205,982
Qorvo, Inc.^(f)		1,273		163,135
QUALCOMM, Inc.		24,821		2,621,346
Rohm Co. Ltd.		200		12,843
Skyworks Solutions, Inc.		1,855		270,051
Taiwan Semiconductor Manufacturing Co. Ltd.		2,219,000		32,294,446
Teradyne, Inc.		10,789		959,789
Texas Instruments, Inc.		128,654		16,409,818
United Microelectronics Corp.		179,000		135,735
Vanguard International Semiconductor Corp.		18,000		58,343
Win Semiconductors Corp.		529,000		5,704,578
Xilinx, Inc.		7,668		823,160
Xinyi Solar Holdings Ltd.		6,030,000		6,617,835

				96,323,597

Software — 0.3%
Adobe, Inc.^(f)		9,584		4,258,363
Agora, Inc., ADR^(f)		1,644		71,580
ANSYS, Inc.^(f)		3,860		1,198,916
Autodesk, Inc.^(f)		2,404		568,378
Cadence Design Systems, Inc.^(f)		22,317		2,438,132
Citrix Systems, Inc.		1,269		181,162
Dropbox, Inc., Class A^(f)		17,418		396,260
Fortinet, Inc.^(f)		7,228		999,632
Intuit, Inc.		17,586		5,387,823
Kingdee International Software Group Co. Ltd.^(f)		100,000		276,583
Microsoft Corp.		130,931		26,842,164
NortonLifeLock, Inc.		10,048		215,530
Oracle Corp.		22,697		1,258,549
Paycom Software, Inc.^(f)		531		151,000
salesforce.com, Inc.^(f)		20,733		4,039,825
Sangfor Technologies, Inc., Class A		4,700		143,902
ServiceNow, Inc.^(f)		5,603		2,460,838
Synopsys, Inc.^(f)		5,572		1,110,054
Tata Elxsi Ltd.		10,073		126,337


Security	Shares		Value

Software (continued)
Trend Micro, Inc.		9,000	$	527,840
Tyler Technologies, Inc.^(f)		439		156,833

				52,809,701

Specialty Retail — 0.2%
ABC-Mart, Inc.		10,300		542,661
Advance Auto Parts, Inc.		771		115,758
AutoZone, Inc.^(f)		253		305,477
Best Buy Co., Inc.		3,657		364,201
CarMax, Inc.^(f)		1,790		173,576
China Tourism Group Duty Free Corp. Ltd., Class A		19,300		671,511
Com7 PCL, NVDR		271,900		333,749
Gap, Inc. (The)		2,303		30,791
Home Depot, Inc. (The)		56,089		14,891,069
Home Product Center PCL, NVDR		2,519,900		1,261,023
Jarir Marketing Co.		11,717		479,454
L Brands, Inc.		2,497		60,952
Lowe’s Cos., Inc.		8,311		1,237,591
Mr Price Group Ltd.		4,641		34,322
Nitori Holdings Co. Ltd.		6,000		1,313,618
O’Reilly Automotive, Inc.^(f)		805		384,291
Ross Stores, Inc.		3,848		345,050
Shimamura Co. Ltd.		1,400		97,354
Suning.com Co. Ltd., Class A		312,500		461,292
Tiffany & Co.		1,999		250,595
TJX Cos., Inc. (The)		14,677		763,057
Topsports International Holdings Ltd.^(b)		4,778,000		5,753,964
Tractor Supply Co.		1,289		183,992
Ulta Beauty, Inc.^(f)		616		118,882
USS Co. Ltd.		16,000		237,215
Vivo Energy plc^(b)		1,656,720		1,596,124

				32,007,569

Technology Hardware, Storage & Peripherals — 0.3%
Acer, Inc.		82,000		56,648
Advantech Co. Ltd.		85,789		902,861
Apple, Inc.		79,327		33,717,148
Asustek Computer, Inc.		139,000		1,025,177
Chicony Electronics Co. Ltd.		211,000		624,971
Compal Electronics, Inc.^(f)		2,641,000		1,677,316
Gigabyte Technology Co. Ltd.		77,000		220,600
Hewlett Packard Enterprise Co.		14,099		139,157
HP, Inc.		26,755		470,353
Inventec Corp.		433,000		368,791
King Slide Works Co. Ltd.		23,000		265,461
Lenovo Group Ltd.		1,484,000		894,625
Lite-On Technology Corp.		1,293,000		2,187,485
Micro-Star International Co. Ltd.		98,000		435,982
NetApp, Inc.		29,740		1,317,482
Quanta Computer, Inc.		816,000		2,279,879
Seagate Technology plc		2,392		108,166
Western Digital Corp.		3,199		137,877
Wistron Corp.		420,000		492,111
Wiwynn Corp.		215,000		5,764,346
Xerox Holdings Corp.		2,056		34,232

				53,120,668

Textiles, Apparel & Luxury Goods — 0.1%
ANTA Sports Products Ltd.		36,000		341,748
Cie Financiere Richemont SA (Registered)		54,708		3,396,334
Formosa Taffeta Co. Ltd.		104,000		107,267
Hanesbrands, Inc.		3,888		54,938
Hermes International		686		556,167
Kering SA		11,380		6,448,888
LVMH Moet Hennessy Louis Vuitton SE		13,417		5,834,291
NIKE, Inc., Class B		39,754		3,880,388


Security	Shares		Value

Textiles, Apparel & Luxury Goods (continued)
PVH Corp.		631	$	30,705
Ralph Lauren Corp.		444		31,657
Shenzhou International Group Holdings Ltd		36,400		434,788
Tapestry, Inc.		2,515		33,600
Under Armour, Inc., Class A^(f)		2,023		21,282
Under Armour, Inc., Class C^(f)		2,090		19,834
VF Corp.		3,451		208,302

				21,400,189

Thrifts & Mortgage Finance — 0.0%
Housing Development Finance Corp. Ltd.		305,510		7,265,784


Tobacco — 0.3%
Altria Group, Inc.		158,784		6,533,962
British American Tobacco plc		729,007		24,092,461
Imperial Brands plc		36,209		603,271
ITC Ltd.		41,145		106,670
Japan Tobacco, Inc.		91,400		1,562,251
KT&G Corp.		13,713		930,755
Philip Morris International, Inc.		220,277		16,919,476

				50,748,846

Trading Companies & Distributors — 0.0%
BOC Aviation Ltd.^(b)		509,000		2,946,324
Fastenal Co.		6,196		291,460
Marubeni Corp.		29,900		137,657
Mitsubishi Corp.		19,600		394,936
Mitsui & Co. Ltd.		2,700		40,365
MonotaRO Co. Ltd.		3,500		148,852
Sumitomo Corp.		10,100		112,208
United Rentals, Inc.^(f)		777		120,723
WW Grainger, Inc.		4,862		1,660,519


			5,853,044

Transportation Infrastructure — 0.7%
Aena SME SA^(b)		125,670		16,385,499
Airports of Thailand PCL, NVDR		1,032,600		1,710,698
Anhui Expressway Co. Ltd., Class H		66,000		31,688
Atlantia SpA		619,153		9,919,542
Atlas Arteria Ltd.		2,269,114		10,605,453
Auckland International Airport Ltd.		1,837,149		7,831,471
COSCO SHIPPING Ports Ltd.		86,000		44,854
Flughafen Zurich AG (Registered)^(f)		56,041		7,104,810
Getlink SE^(f)		363,730		5,472,482
Grupo Aeroportuario del Pacifico SAB de CV, Class B		672,661		4,532,868
Hamburger Hafen und Logistik AG		139,226		2,404,590
Jiangsu Expressway Co. Ltd., Class H		7,298,000		7,828,060
Kamigumi Co. Ltd.		8,100		147,831
Macquarie Infrastructure Corp.		58,934		1,765,663
Shanghai International Port Group Co. Ltd., Class A		335,200		216,211
Shenzhen Expressway Co. Ltd., Class H		240,000		228,923
Shenzhen International Holdings Ltd.		161,000		262,743
Sydney Airport^(g)		2,574,005		9,640,518
Transurban Group^(g)		2,600,530		25,723,164
Westports Holdings Bhd		127,100		117,688

				111,974,756

Water Utilities — 0.1%
American Water Works Co., Inc.		85,247		12,554,326
Guangdong Investment Ltd.		540,000		873,059

				13,427,385

Wireless Telecommunication Services — 0.5%
Advanced Info Service PCL, NVDR		276,800		1,643,128
Axiata Group Bhd		311,800		235,705
Bharti Airtel Ltd.^(f)		692,289		5,127,452


Security	Shares		Value

Wireless Telecommunication Services (continued)
China Mobile Ltd.		1,481,000	$	10,109,512
China Mobile Ltd., ADR		2,218		75,545
China United Network Communications Ltd., Class A		324,400		235,835
DiGi.Com Bhd		280,700		281,441
Etihad Etisalat Co.^(f)		23,782		171,272
Far EasTone Telecommunications Co. Ltd.		433,000		932,890
Global Telecom Holding SAE^(d)(f)		201,938		61,960
Globe Telecom, Inc.		3,300		138,490
Intouch Holdings PCL, NVDR		312,900		570,790
KDDI Corp.		46,500		1,478,581
Maxis Bhd		127,400		159,226
Mobile TeleSystems PJSC		811,114		3,572,851
Mobile TeleSystems PJSC, ADR		556,575		4,931,255
NTT DOCOMO, Inc.		164,000		4,515,103
Rogers Communications, Inc., Class B		213,418		8,715,491
SK Telecom Co. Ltd.		9,091		1,683,746
SK Telecom Co. Ltd., ADR		20,668		419,354
Softbank Corp.		124,800		1,670,598
Taiwan Mobile Co. Ltd.		375,000		1,343,658
Tele2 AB, Class B		1,442,775		20,469,074
T-Mobile US, Inc.		6,219		667,796
Total Access Communication PCL, NVDR		462,500		544,907
Vodacom Group Ltd.		24,142		181,385
Vodafone Group plc		5,211,980		7,832,823

				77,769,868


Total Common Stocks — 18.2% (Cost: $2,686,234,814)				3,000,780,933

	Par (000)

Corporate Bonds — 33.8%

Aerospace & Defense — 0.9%
Boeing Co. (The):
4.51%, 05/01/23		1,505		1,574,634
4.88%, 05/01/25		1,690		1,828,843
2.70%, 02/01/27		525		507,021
5.15%, 05/01/30		7,755		8,461,083
3.75%, 02/01/50		150		136,446
5.81%, 05/01/50		12,390		14,552,773
5.93%, 05/01/60		12,723		15,268,443
Bombardier, Inc.^(b):
8.75%, 12/01/21		5,158		5,158,000
5.75%, 03/15/22		3,344		3,176,800
6.13%, 01/15/23		102		87,720
7.50%, 12/01/24		650		526,500
7.50%, 03/15/25		2,962		2,391,815
7.88%, 04/15/27		3,609		2,869,155
BWX Technologies, Inc.^(b):
5.38%, 07/15/26		489		511,005
4.13%, 06/30/28		2,594		2,697,760
F-Brasile SpA, Series XR, 7.38%, 08/15/26^(b)		2,887		2,317,684
General Dynamics Corp., 4.25%, 04/01/50		1,182		1,650,769
Howmet Aerospace, Inc.:
5.87%, 02/23/22		1,255		1,333,689
5.13%, 10/01/24		1,243		1,320,837
5.90%, 02/01/27		2,150		2,391,939
Huntington Ingalls Industries, Inc., 4.20%, 05/01/30^(b)		2,864		3,360,471
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25^(b)		2,960		3,122,800
L3Harris Technologies, Inc.:
3.83%, 04/27/25		1,165		1,313,975
4.40%, 06/15/28		500		607,370
4.85%, 04/27/35		500		671,209


Security		Par (000)		Value

Aerospace & Defense (continued)
5.05%, 04/27/45	USD		400	$	569,020
Leidos, Inc., 4.38%, 05/15/30^(b)			2,850		3,332,363
Lockheed Martin Corp.:
4.07%, 12/15/42			112		149,790
3.80%, 03/01/45			882		1,152,246
Northrop Grumman Corp.:
3.25%, 01/15/28			1,100		1,257,806
3.85%, 04/15/45			1,228		1,532,468
Raytheon Technologies Corp.:
3.65%, 08/16/23			26		28,216
3.50%, 03/15/27^(b)			750		852,909
4.13%, 11/16/28			2,688		3,229,814
4.50%, 06/01/42			1,695		2,266,307
4.35%, 04/15/47^(b)			1,025		1,347,605
4.05%, 05/04/47			960		1,237,797
Rolls-Royce plc:
0.88%, 05/09/24	EUR		700		739,358
1.63%, 05/09/28			400		402,374
Signature Aviation US Holdings, Inc.^(b):
5.38%, 05/01/26	USD		1,195		1,240,297
4.00%, 03/01/28			2,736		2,585,520
SSL Robotics LLC, 9.75%, 12/31/23^(b)			600		666,180
TransDigm, Inc.:
6.50%, 07/15/24			500		501,250
8.00%, 12/15/25^(b)			5,616		6,093,360
6.25%, 03/15/26^(b)			35,406		37,353,330
6.38%, 06/15/26			952		933,303
7.50%, 03/15/27			1,000		1,012,500
5.50%, 11/15/27			2,985		2,831,869

					149,154,423

Air Freight & Logistics — 0.0%
FedEx Corp.:
3.80%, 05/15/25			1,450		1,638,465
3.10%, 08/05/29			1,101		1,222,900
4.55%, 04/01/46			300		362,191
XPO Logistics, Inc.^(b):
6.50%, 06/15/22			858		860,145
6.75%, 08/15/24			454		488,259
6.25%, 05/01/25			160		173,000

					4,744,960

Airlines — 0.1%
American Airlines, Inc., 11.75%, 07/15/25^(b)			946		824,486
Avianca Holdings SA, 9.00%, 05/10/23^(b)(f)(i)			3,100		589,000
Delta Air Lines, Inc., 7.38%, 01/15/26			1,400		1,387,848
easyJet plc, 0.88%, 06/11/25	EUR		800		744,465
International Consolidated Airlines Group SA:
0.63%, 11/17/22^(j)			500		472,187
0.50%, 07/04/23			500		477,003
Mileage Plus Holdings LLC, 6.50%, 06/20/27^(b)	USD		5,401		5,590,035
Southwest Airlines Co., 2.65%, 11/05/20			1,000		1,002,291

					11,087,315

Auto Components — 0.4%
Adient US LLC^(b):
9.00%, 04/15/25			105		116,681
7.00%, 05/15/26			1,400		1,501,500
Allison Transmission, Inc.^(b):
5.00%, 10/01/24			655		667,609
5.88%, 06/01/29			5,723		6,322,598
American Axle & Manufacturing, Inc.:
6.25%, 04/01/25			490		506,229
6.50%, 04/01/27			350		358,750
Clarios Global LP:
6.75%, 05/15/25^(b)			1,554		1,671,016
4.38%, 05/15/26	EUR		2,346		2,763,471
6.25%, 05/15/26^(b)	USD		8,449		9,041,444


Security		Par (000)		Value

Auto Components (continued)
8.50%, 05/15/27^(b)	USD		10,982	$	11,542,082
Dealer Tire LLC, 8.00%, 02/01/28^(b)			1,988		1,953,210
Faurecia SE:
2.63%, 06/15/25	EUR		802		924,501
3.75%, 06/15/28			590		694,990
Goodyear Europe BV, 3.75%, 12/15/23			300		346,317
Goodyear Tire & Rubber Co. (The), 5.13%, 11/15/23	USD		615		613,463
Icahn Enterprises LP:
6.75%, 02/01/24			6,472		6,666,160
4.75%, 09/15/24			2,616		2,668,320
6.38%, 12/15/25			5,379		5,594,160
6.25%, 05/15/26			7,358		7,775,714
5.25%, 05/15/27			2,504		2,579,120
IHO Verwaltungs GmbH^(k):
4.75%, (4.75% Cash or 5.50% PIK), 09/15/26^(b)			600		610,500
3.88%, (3.88% Cash or 4.63% PIK), 05/15/27^(l)	EUR		906		1,073,479
6.00%, (6.00% Cash or 6.75% PIK), 05/15/27^(b)	USD		200		208,500
ZF Europe Finance BV:
2.00%, 02/23/26	EUR		1,200		1,339,329
2.50%, 10/23/27			900		996,438

					68,535,581

Automobiles — 0.2%
BMW US Capital LLC, 3.80%, 04/06/23^(b)	USD		1,500		1,617,052
Fiat Chrysler Automobiles NV:
3.88%, 01/05/26	EUR		900		1,128,704
4.50%, 07/07/28			600		777,419
Ford Motor Co.:
8.50%, 04/21/23	USD		515		571,650
9.00%, 04/22/25			640		754,000
4.35%, 12/08/26			59		59,885
9.63%, 04/22/30			635		836,613
4.75%, 01/15/43			2,544		2,327,760
5.29%, 12/08/46			404		383,921
General Motors Co.:
5.40%, 10/02/23			270		297,757
6.13%, 10/01/25			1,260		1,472,775
6.80%, 10/01/27			5,404		6,580,434
5.00%, 10/01/28			621		696,717
5.00%, 04/01/35			960		1,055,736
6.25%, 10/02/43			1,825		2,173,616
5.20%, 04/01/45			2,411		2,628,140
5.95%, 04/01/49			4,120		4,935,806
Jaguar Land Rover Automotive plc:
5.63%, 02/01/23^(b)			150		141,000
4.50%, 01/15/26	EUR		500		479,109
4.50%, 10/01/27^(b)	USD		450		358,875
RCI Banque SA, (EUR Swap Annual 5 Year + 2.85%), 2.63%, 02/18/30^(a)	EUR		700		767,472
Renault SA, 1.25%, 06/24/25			200		216,722
Tesla, Inc., 5.30%, 08/15/25^(b)	USD		2,875		2,975,625
Volkswagen Group of America Finance LLC^(b):
2.90%, 05/13/22			2,500		2,591,995
2.70%, 09/26/22			200		207,815
3.35%, 05/13/25			2,130		2,324,594
Winnebago Industries, Inc.,
6.25%, 07/15/28^(b)			1,581		1,671,907

					40,033,099

Banks — 5.0%
ABN AMRO Bank NV, (EUR Swap Annual 5 Year + 4.67%), 4.37%^(a)(m)	EUR		1,100		1,260,112
AIB Group plc^(a)(m):
(EUR Swap Annual 5 Year + 5.70%), 5.25%			1,800		2,006,344


Security		Par (000)		Value

Banks (continued)
(EUR Swap Annual 5 Year + 6.63%), 6.25%	EUR		4,475	$	5,225,202
Al Ahli Bank of Kuwait KSCP, (USD Swap Semi 5 Year + 4.17%), 7.25%^(a)(m)	USD		630		631,181
Australia & New Zealand Banking Group Ltd.^(a)^(m):
(USD Swap Rate 5 Year + 5.17%), 6.75%^(b)			10,134		11,331,028
(USD Swap Rate 5 Year + 5.17%), 6.75%			2,062		2,305,564
Banco Bilbao Vizcaya Argentaria SA^(a)(m):
(EUR Swap Annual 5 Year + 9.18%), 8.87%	EUR		3,000		3,639,865
(EUR Swap Annual 5 Year + 5.66%), 5.87%			200		224,681
(USD Swap Semi 5 Year + 3.87%), 6.13%	USD		19,000		17,100,000
Banco Bradesco SA, 3.20%, 01/27/25^(b)			3,380		3,417,011
Banco de Credito del Peru, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 3.13%, 07/01/30^(a)(b)			1,860		1,845,120
Banco de Sabadell SA^(a):
(EUR Swap Annual 5 Year + 6.41%), 6.50%^(m)	EUR		7,400		7,082,424
(EUR Swap Annual 5 Year + 6.05%), 6.12%^(m)			800		760,956
(EUR Swap Annual 5 Year + 2.20%), 2.00%, 01/17/30			900		895,831
Banco Espirito Santo SA^(f)(i):
2.63%, 05/08/17			800		122,507
4.75%, 01/15/18			1,500		229,700
4.00%, 01/21/19			5,400		826,921
Banco Internacional del Peru SAA Interbank, 3.25%, 10/04/26^(b)	USD		5,084		5,223,810
Banco Santander SA:
(EUR Swap Annual 5 Year + 6.80%), 6.75%^(a)(m)	EUR		7,500		8,922,971
2.75%, 05/28/25	USD		1,800		1,901,300
(EUR Swap Annual 5 Year + 4.53%), 4.37%^(a)(m)	EUR		5,800		5,961,016
3.31%, 06/27/29	USD		800		882,958
Bancolombia SA, 3.00%, 01/29/25			2,355		2,349,112
Bangkok Bank PCL, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.73%, 09/25/34^(a)			2,270		2,271,419
Bank Leumi Le-Israel BM, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.63%), 3.27%, 01/29/31^(a)(b)			5,188		5,123,150
Bank of America Corp.:
2.50%, 10/21/22			920		943,470
3.30%, 01/11/23			1,900		2,029,119
(LIBOR USD 3 Month + 0.93%), 2.82%, 07/21/23^(a)			1,015		1,057,349
(LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/23^(a)			4,165		4,389,413
(LIBOR USD 3 Month + 0.94%), 3.86%, 07/23/24^(a)			1,400		1,528,781
4.20%, 08/26/24			2,650		2,969,976
Series L, 3.95%, 04/21/25			3,150		3,536,692
4.45%, 03/03/26			3,950		4,567,977
(LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/28^(a)			6,550		7,400,793
(LIBOR USD 3 Month + 1.19%), 2.88%, 10/22/30^(a)			1,915		2,106,111
(SOFR + 2.15%), 2.59%, 04/29/31^(a)			3,915		4,199,615
Series L, 4.75%, 04/21/45			375		519,598
(LIBOR USD 3 Month + 1.99%), 4.44%, 01/20/48^(a)			225		305,330
Bank of East Asia Ltd. (The), (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.26%), 5.87%^(a)(m)			4,755		4,648,013


Security	Par (000)			Value

Banks (continued)
Bank of Ireland Group plc, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.50%), 4.12%, 09/19/27^(a)		USD	600	$	595,156
Bankia SA^(a)(m):
(EUR Swap Annual 5 Year + 5.82%), 6.00%		EUR	8,200		9,031,343
(EUR Swap Annual 5 Year + 6.22%), 6.37%			3,600		4,044,491
Barclays plc:
3.20%, 08/10/21		USD	1,310		1,340,261
(USD Swap Semi 5 Year + 6.77%), 7.88%^(a)^(m)			17,234		17,672,433
(USD Swap Semi 5 Year + 4.84%), 7.75%^(a)^(m)			18,490		18,836,688
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.67%), 8.00%^(a)(m)			2,900		3,070,375
(LIBOR USD 3 Month + 1.61%), 3.93%, 05/07/25^(a)			805		879,723
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 6.58%), 7.12%^(a)(m)		GBP	2,200		2,926,435
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 6.02%), 6.37%^(a)(m)			3,026		3,838,131
5.20%, 05/12/26		USD	400		454,676
4.84%, 05/09/28			2,350		2,647,272
(LIBOR USD 3 Month + 3.05%), 5.09%, 06/20/30^(a)			1,300		1,528,174
BBVA Bancomer SA, 6.75%, 09/30/22^(b)			2,287		2,469,388
BNP Paribas SA:
6.50%^(m)			1,146		1,167,488
(USD Swap Semi 5 Year + 6.31%), 7.63%^(a)^(b)(m)			13,792		14,105,768
(EUR Swap Annual 5 Year + 5.23%), 6.12%^(a)(m)		EUR	3,900		4,739,690
(USD Swap Rate 5 Year + 4.15%), 6.63%^(a)^(m)		USD	3,900		4,041,375
3.38%, 01/09/25^(b)			1,550		1,690,364
(USD Swap Semi 5 Year + 5.15%), 7.38%^(a)^(m)			400		444,500
(SOFR + 2.07%), 2.22%, 06/09/26^(a)(b)			2,155		2,244,550
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.94%), 4.50%^(a)(b)(m)			4,085		3,804,156
(USD Swap Semi 5 Year + 1.48%), 4.38%, 03/01/33^(a)(b)			1,450		1,650,633
Burgan Bank SAK, (USD Swap Semi 5 Year + 4.01%), 5.75%^(a)(m)			2,225		2,158,250
CaixaBank SA^(a)(m):
(EUR Swap Annual 5 Year + 6.50%), 6.75%		EUR	9,400		11,128,094
(EUR Swap Annual 5 Year + 4.50%), 5.25%			4,600		4,864,532
China Construction Bank Corp., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 4.65%^(a)(m)		USD	1,205		1,212,531
Chong Hing Bank Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 5.70%^(a)(m)			630		625,078
CIT Group, Inc.:
5.00%, 08/15/22			1,200		1,239,000
5.00%, 08/01/23			4,388		4,590,945
Citigroup, Inc.:
(LIBOR USD 3 Month + 0.72%), 3.14%, 01/24/23^(a)			135		139,799
(LIBOR USD 3 Month + 0.95%), 2.88%, 07/24/23^(a)			1,000		1,043,160
Series U, (SOFR + 3.81%), 5.00%^(a)(m)			22,425		22,481,062
(SOFR + 2.75%), 3.11%, 04/08/26^(a)			1,425		1,549,072
4.45%, 09/29/27			4,875		5,675,457
(LIBOR USD 3 Month + 1.56%), 3.89%, 01/10/28^(a)			1,275		1,457,108


Security	Par (000)			Value

Banks (continued)
(SOFR + 1.42%), 2.98%, 11/05/30^(a)		USD	1,425	$	1,560,662
(SOFR + 1.15%), 2.67%, 01/29/31^(a)			1,775		1,897,472
(SOFR + 2.11%), 2.57%, 06/03/31^(a)			2,355		2,503,774
Citizens Bank NA:
3.25%, 02/14/22			1,305		1,354,762
3.70%, 03/29/23			460		495,952
Commerzbank AG^(a):
(EUR Swap Annual 5 Year + 6.36%), 6.12%^(m)		EUR	2,600		2,898,780
(EUR Swap Annual 5 Year + 4.35%), 4.00%, 12/05/30			500		595,016
Cooperatieve Rabobank UA:
3.88%, 02/08/22		USD	3,500		3,683,032
3.88%, 09/26/23^(b)			415		456,728
(EUR Swap Annual 5 Year + 4.10%), 4.62%^(a)(m)		EUR	200		237,651
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.34%, 06/24/26^(a)(b)		USD	1,365		1,387,011
Credicorp Ltd., 2.75%, 06/17/25^(b)			1,745		1,750,462
Credit Agricole SA:
(EUR Swap Annual 5 Year + 5.12%), 6.50%^(a)(m)		EUR	3,720		4,458,659
(USD Swap Semi 5 Year + 4.90%), 7.88%^(a)^(b)(m)		USD	10,600		11,631,592
(USD Swap Semi 5 Year + 6.19%), 8.12%^(a)^(b)(m)			26,568		30,951,720
(USD Swap Semi 5 Year + 6.19%), 8.12%^(a)^(m)			1,796		2,092,340
(GBP Swap 5 Year + 4.54%), 7.50%^(a)(m)		GBP	400		572,033
3.25%, 01/14/30^(b)		USD	825		906,937
Credit Suisse Group Funding Guernsey Ltd.:
3.80%, 09/15/22			270		286,958
3.80%, 06/09/23			1,200		1,294,528
Danske Bank A/S^(a):
(LIBOR USD 3 Month + 1.25%), 3.00%, 09/20/22^(b)			1,015		1,035,081
(US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 4.13%), 7.00%^(m)			24,620		25,881,775
Discover Bank:
3.35%, 02/06/23			885		939,769
2.45%, 09/12/24			250		264,924
(USD Swap Semi 5 Year + 1.73%), 4.68%, 08/09/28^(a)			1,250		1,284,987
DNB Bank ASA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.14%), 4.88%^(a)(m)			2,000		1,985,400
Emirates NBD Bank PJSC, (USD Swap Semi 6 Year + 3.66%), 6.13%^(a)(m)			5,235		5,210,461
Erste Group Bank AG^(a)(m):
(EUR Swap Annual 5 Year + 9.02%), 8.87%		EUR	3,200		3,962,624
(EUR Swap Annual 5 Year + 6.20%), 6.50%			3,600		4,394,139
Fifth Third Bancorp, 2.60%, 06/15/22		USD	700		725,692
Fifth Third Bank NA, 1.80%, 01/30/23			2,050		2,112,738
HSBC Holdings plc:
(USD Swap Rate 5 Year + 5.51%), 6.87%^(a)^(m)			13,674		13,940,281
(LIBOR USD 3 Month + 1.06%), 3.26%, 03/13/23^(a)			2,300		2,386,049
3.60%, 05/25/23			2,500		2,682,819
5.25%, 03/14/44			1,000		1,328,741
Huntington National Bank (The):
3.13%, 04/01/22			310		323,293
1.80%, 02/03/23			2,190		2,257,711
ING Groep NV^(a):
(USD Swap Rate 5 Year + 4.20%), 6.75%^(m)			14,952		15,554,835


Security	Par (000)			Value

Banks (continued)
(USD Swap Semi 5 Year + 4.45%), 6.50%^(m)		USD	2,010	$	2,088,993
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 07/01/26^(b)			815		828,993
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%), 5.75%^(m)			400		409,832
Intesa Sanpaolo SpA:
5.02%, 06/26/24^(b)			1,500		1,578,535
5.71%, 01/15/26^(b)			1,000		1,088,435
(EUR Swap Annual 5 Year + 7.19%), 7.75%^(a)(m)		EUR	7,405		9,647,415
Series XR, 4.00%, 09/23/29^(b)		USD	925		1,007,128
5.15%, 06/10/30		GBP	1,725		2,429,626
Itau Unibanco Holding SA, 3.25%, 01/24/25^(b)		USD	3,245		3,292,053
JPMorgan Chase & Co.:
(LIBOR USD 3 Month + 0.70%), 3.21%, 04/01/23^(a)			1,300		1,357,818
3.38%, 05/01/23			1,680		1,799,886
(LIBOR USD 3 Month + 0.73%), 3.56%, 04/23/24^(a)			1,335		1,439,064
(SOFR + 1.46%), 1.51%, 06/01/24^(a)			1,100		1,126,509
(LIBOR USD 3 Month + 0.89%), 3.80%, 07/23/24^(a)			940		1,024,456
(LIBOR USD 3 Month + 1.00%), 4.02%, 12/05/24^(a)			475		525,526
(SOFR + 1.16%), 2.30%, 10/15/25^(a)			670		708,898
(LIBOR USD 3 Month + 1.34%), 3.78%, 02/01/28^(a)			4,075		4,679,440
(LIBOR USD 3 Month + 1.12%), 4.01%, 04/23/29^(a)			1,900		2,234,213
(LIBOR USD 3 Month + 1.16%), 3.70%, 05/06/30^(a)			3,250		3,775,606
(LIBOR USD 3 Month + 1.36%), 3.88%, 07/24/38^(a)			775		965,765
5.50%, 10/15/40			950		1,422,899
5.63%, 08/16/43			1,125		1,741,779
4.95%, 06/01/45			2,175		3,156,194
Series W, (LIBOR USD 3 Month + 1.00%), 1.39%, 05/15/47^(a)			26,321		19,054,825
Kasikornbank PCL, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.34%, 10/02/31^(a)			2,270		2,270,000
KBC Group NV, (EUR Swap Annual 5 Year + 4.69%), 4.75%^(a)(m)		EUR	5,000		5,948,648
Lloyds Banking Group plc:
3.00%, 01/11/22		USD	1,000		1,035,042
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.33%, 06/15/23^(a)			910		918,443
(USD Swap Semi 5 Year + 4.50%), 7.50%^(a)^(m)			3,975		4,223,438
4.58%, 12/10/25			2,750		3,104,441
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.82%), 6.75%^(a)(m)			7,290		7,526,925
Macquarie Bank Ltd., (USD Swap Semi 5 Year + 3.70%), 6.13%^(a)(b)(m)			31,745		31,824,362
Macquarie Group Ltd., (USD Swap Semi 5 Year + 3.70%), 6.13%^(a)(m)			1,680		1,684,200
Mitsubishi UFJ Financial Group, Inc.:
3.54%, 07/26/21			685		706,504
3.22%, 03/07/22			1,200		1,249,358
2.67%, 07/25/22			395		411,221
3.76%, 07/26/23			815		886,327
1.41%, 07/17/25			2,995		3,054,565


Security	Par (000)			Value

Banks (continued)
Nanyang Commercial Bank Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.21%), 5.00%^(a)(m)		USD	4,045	$	3,985,589
National Westminster Bank plc^(a)(m):
Series C, (LIBOR USD 3 Month + 0.25%), 0.62%			2,100		1,831,830
Series A, (LIMEAN USD 6 Month + 0.25%), 0.63%			380		332,024
Series B, (LIBOR USD 6 Month + 0.25%), 1.87%			500		436,874
Natwest Group plc:
(USD Swap Semi 5 Year + 5.80%), 7.50%^(a)^(m)			5,425		5,424,783
(USD Swap Semi 5 Year + 7.60%), 8.62%^(a)^(m)			26,358		27,538,575
3.88%, 09/12/23			595		646,281
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.15%), 2.36%, 05/22/24^(a)			1,265		1,307,413
(LIBOR USD 3 Month + 1.76%), 4.27%, 03/22/25^(a)			800		880,955
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 05/22/28^(a)			770		826,657
(LIBOR USD 3 Month + 1.87%), 4.44%, 05/08/30^(a)			800		950,731
Nordea Bank Abp^(a)(m):
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%^(b)			30,525		33,081,469
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%			3,392		3,676,080
PNC Financial Services Group, Inc. (The), 2.55%, 01/22/30			1,850		2,047,386
QIIB Tier 1 Sukuk Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 4.88%^(a)(m)			630		623,109
Santander Holdings USA, Inc.:
4.45%, 12/03/21			700		729,357
3.70%, 03/28/22			425		441,419
Santander UK Group Holdings plc:
2.88%, 08/05/21			2,500		2,559,002
3.57%, 01/10/23			3,825		3,969,568
(LIBOR USD 3 Month + 1.08%), 3.37%, 01/05/24^(a)			250		263,340
(GBP Swap 5 Year + 5.79%), 6.75%^(a)(m)		GBP	6,025		8,132,239
Santander UK plc:
3.75%, 11/15/21		USD	990		1,030,471
2.10%, 01/13/23			315		326,484
4.00%, 03/13/24			600		666,191
Shinhan Financial Group Co. Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.05%), 5.87%^(a)(m)			3,200		3,396,000
Skandinaviska Enskilda Banken AB:
(USD Swap Semi 5 Year + 3.49%), 5.63%^(a)^(m)			1,000		1,013,750
2.20%, 12/12/22^(b)			1,710		1,777,036
Societe Generale SA^(a)(m):
(USD Swap Semi 5 Year + 6.24%), 7.38%^(b)			3,565		3,643,002
(USD Swap Semi 5 Year + 6.24%), 7.38%			2,200		2,248,136
(USD Swap Semi 5 Year + 4.30%), 7.38%^(b)			200		206,040
(USD Swap Semi 5 Year + 4.98%), 7.88%			6,732		7,161,165
(USD Swap Rate 5 Year + 5.87%), 8.00%^(b)			16,275		18,268,687
(USD Swap Rate 5 Year + 5.87%), 8.00%			3,983		4,470,918
Standard Chartered plc, (LIBOR USD 3 Month + 1.21%), 2.82%, 01/30/26^(a)(b)			1,325		1,366,467


Security	Par (000)			Value

Banks (continued)
Stichting AK Rabobank Certificaten, 0.00%^(e)(m)		EUR	2,434	$	3,136,378
Sumitomo Mitsui Financial Group, Inc.:
2.93%, 03/09/21		USD	1,900		1,929,370
2.44%, 10/19/21			595		609,507
2.85%, 01/11/22			930		960,658
2.78%, 07/12/22			2,000		2,085,178
2.78%, 10/18/22			750		787,140
2.35%, 01/15/25			1,675		1,777,211
2.75%, 01/15/30			950		1,032,862
Swedbank AB, 1.30%, 06/02/23^(b)			725		737,888
TMB Bank PCL, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.26%), 4.90%^(a)(m)			1,260		1,173,375
Truist Bank:
2.45%, 08/01/22			1,190		1,234,987
1.25%, 03/09/23			2,300		2,344,994
UniCredit SpA^(a):
(EUR Swap Annual 5 Year + 6.10%), 6.75%^(m)		EUR	993		1,161,402
(EUR Swap Annual 5 Year + 9.30%), 9.25%^(m)			4,900		6,156,136
(EUR Swap Annual 5 Year + 6.39%), 6.62%^(m)			3,600		4,203,515
(USD Swap Semi 5 Year + 5.18%), 8.00%^(m)		USD	24,210		25,178,400
(EUR Swap Annual 5 Year + 4.93%), 5.37%^(m)		EUR	1,000		1,042,486
(EURIBOR Swap Rate 5 Year + 7.33%), 7.50%^(m)			2,625		3,278,907
(EURIBOR Swap Rate 5 Year + 4.74%), 4.87%, 02/20/29			1,000		1,243,526
(EUR Swap Annual 5 Year + 2.40%), 2.00%, 09/23/29			400		442,909
(EUR Swap Annual 5 Year + 2.80%), 2.73%, 01/15/32			400		441,396
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 5.46%, 06/30/35^(b)		USD	475		490,553
Unione di Banche Italiane SpA^(a):
(EUR Swap Annual 5 Year + 6.07%), 5.87%^(m)		EUR	1,800		2,091,309
(EUR Swap Annual 5 Year + 5.75%), 5.87%, 03/04/29			700		905,918
US Bancorp:
3.00%, 07/30/29		USD	500		557,641
1.38%, 07/22/30			400		405,137
Wachovia Capital Trust II, (LIBOR USD 3 Month + 0.50%), 0.78%, 01/15/27^(a)			2,055		1,839,225
Wells Fargo & Co.:
3.50%, 03/08/22			3,000		3,139,320
3.07%, 01/24/23			290		300,225
3.75%, 01/24/24			475		520,558
(SOFR + 1.60%), 1.65%, 06/02/24^(a)			900		917,383
(LIBOR USD 3 Month + 1.31%), 3.58%, 05/22/28^(a)			2,250		2,521,873
4.65%, 11/04/44			580		739,375
4.40%, 06/14/46			525		656,690
4.75%, 12/07/46			1,000		1,310,848
(LIBOR USD 3 Month + 4.24%), 5.01%, 04/04/51^(a)			800		1,143,352
Westpac Banking Corp., (USD Swap Rate 5 Year + 2.89%), 5.00%^(a)(m)			15,455		15,463,336
Woori Bank, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.25%^(a)(m)			1,260		1,272,994

					823,137,318


Security	Par (000)			Value

Beverages — 0.1%
Anheuser-Busch Cos. LLC:
4.70%, 02/01/36		USD	5,250	$	6,440,492
4.90%, 02/01/46			2,300		2,937,782
Anheuser-Busch InBev Worldwide, Inc.:
4.15%, 01/23/25			1,100		1,255,253
4.75%, 01/23/29			2,950		3,630,613
4.44%, 10/06/48			350		420,645
4.75%, 04/15/58			631		817,571
5.80%, 01/23/59			525		785,367
Central American Bottling Corp., 5.75%, 01/31/27^(b)			5,119		5,314,162
Cott Holdings, Inc., 5.50%, 04/01/25^(b)			500		519,375
Embotelladora Andina SA, 3.95%, 01/21/50^(b)			2,515		2,572,342

					24,693,602

Biotechnology — 0.1%
AbbVie, Inc.:
3.38%, 11/14/21			365		379,071
2.15%, 11/19/21^(b)			720		735,136
3.45%, 03/15/22^(b)			1,384		1,439,465
3.25%, 10/01/22^(b)			455		476,912
2.90%, 11/06/22			2,310		2,429,094
2.30%, 11/21/22^(b)			1,960		2,035,756
2.80%, 03/15/23^(b)			300		312,578
3.75%, 11/14/23			288		316,057
3.60%, 05/14/25			2,425		2,712,050
2.95%, 11/21/26^(b)			345		380,663
3.20%, 11/21/29^(b)			1,500		1,686,016
4.55%, 03/15/35^(b)			450		573,592
4.40%, 11/06/42			2,075		2,641,533
4.88%, 11/14/48			1,350		1,850,643
4.25%, 11/21/49^(b)			350		445,260
Amgen, Inc., 2.65%, 05/11/22			1,000		1,038,446
Baxalta, Inc., 5.25%, 06/23/45			225		319,766
Biogen, Inc., 3.63%, 09/15/22			600		639,692
Gilead Sciences, Inc.:
4.50%, 02/01/45			1,100		1,525,336
4.75%, 03/01/46			675		974,211
Horizon Therapeutics USA, Inc., 5.50%, 08/01/27^(b)			1,200		1,304,208

					24,215,485

Building Products — 0.2%
Advanced Drainage Systems, Inc., 5.00%, 09/30/27^(b)			3,101		3,194,030
Builders FirstSource, Inc.^(b):
6.75%, 06/01/27			1,202		1,322,200
5.00%, 03/01/30			880		922,944
Carrier Global Corp.^(b):
1.92%, 02/15/23			425		437,392
2.24%, 02/15/25			140		146,240
Forterra Finance LLC, 6.50%, 07/15/25^(b)			2,584		2,739,040
HT Troplast GmbH, 9.25%, 07/15/25		EUR	576		693,765
James Hardie International Finance DAC^(b):
4.75%, 01/15/25		USD	429		440,798
5.00%, 01/15/28			1,484		1,580,460
JELD-WEN, Inc.^(b):
6.25%, 05/15/25			902		965,140
4.63%, 12/15/25			616		622,160
4.88%, 12/15/27			86		87,505
Masonite International Corp., 5.38%, 02/01/28^(b)			2,239		2,384,535
PGT Innovations, Inc., 6.75%, 08/01/26^(b)			310		322,400
Standard Industries, Inc.:
2.25%, 11/21/26		EUR	1,219		1,387,299
5.00%, 02/15/27^(b)		USD	1,205		1,280,312
4.75%, 01/15/28^(b)			625		667,969
4.38%, 07/15/30^(b)			4,543		4,906,440


Security		Par (000)		Value

Building Products (continued)
Summit Materials LLC:
6.13%, 07/15/23	USD		400	$	400,240
6.50%, 03/15/27^(b)			445		490,221
5.25%, 01/15/29^(b)			1,282		1,330,075

					26,321,165

Capital Markets — 1.3%
AG Issuer LLC, 6.25%, 03/01/28^(b)			270		273,375
Brookfield Finance, Inc., 4.35%, 04/15/30			1,479		1,734,510
Compass Group Diversified Holdings LLC, 8.00%, 05/01/26^(b)			625		659,375
Credit Suisse AG:
3.00%, 10/29/21			580		598,822
2.80%, 04/08/22			780		810,591
3.63%, 09/09/24			1,600		1,783,096
Credit Suisse Group AG^(a):
(USD Swap Semi 5 Year + 4.60%), 7.50%^(b)^(m)			7,320		7,719,233
(USD Swap Semi 5 Year + 4.60%), 7.50%^(m)			1,200		1,315,500
(USD Swap Semi 5 Year + 3.46%), 6.25%^(b)^(m)			40,534		43,168,710
(USD Swap Semi 5 Year + 3.46%), 6.25%^(m)			600		639,000
(SOFR + 1.56%), 2.59%, 09/11/25^(b)			1,375		1,441,453
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.33%), 7.25%^(m)			400		425,500
(SOFR + 2.04%), 2.19%, 06/05/26^(b)			3,955		4,067,314
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.82%), 6.37%^(b)(m)			9,970		10,499,706
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.29%), 5.10%^(b)(m)			1,080		1,067,580
(SOFR + 3.73%), 4.19%, 04/01/31^(b)			1,110		1,295,500
Deutsche Bank AG:
4.50%, 04/01/25			400		405,699
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.52%), 6.00%^(a)(m)			8,400		7,310,520
(USD Swap Semi 5 Year + 2.25%), 4.30%, 05/24/28^(a)			1,200		1,172,650
(USD Swap Rate 5 Year + 2.55%), 4.88%, 12/01/32^(a)			700		668,948
Dresdner Funding Trust I, 8.15%, 06/30/31^(b)			650		910,000
Goldman Sachs Group, Inc. (The):
(LIBOR USD 3 Month + 0.78%), 1.04%, 10/31/22^(a)			280		280,813
Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.62%), 5.50%^(a)(m)			12,030		12,897,508
Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%^(a)(m)			6,755		6,775,755
3.75%, 02/25/26			2,175		2,465,460
(LIBOR USD 3 Month + 1.30%), 4.22%, 05/01/29^(a)			2,075		2,455,655
6.75%, 10/01/37			650		976,432
5.15%, 05/22/45			345		478,126
Intercontinental Exchange, Inc.:
3.10%, 09/15/27			1,025		1,164,900
4.25%, 09/21/48			250		337,968
LHC3 plc, 4.13%, (4.13% Cash or 9.00% PIK), 08/15/24^(k)	EUR		2,056		2,419,443
LPL Holdings, Inc., 4.63%, 11/15/27^(b)	USD		765		787,950
Moody’s Corp.:
2.75%, 12/15/21			185		190,210
2.63%, 01/15/23			255		267,706


Security		Par (000)		Value

Capital Markets (continued)
Morgan Stanley:
3.13%, 01/23/23	USD		1,400	$	1,488,017
Series F, 3.88%, 04/29/24			1,300		1,449,625
(SOFR + 1.99%), 2.19%, 04/28/26^(a)			845		889,869
3.95%, 04/23/27			1,625		1,857,803
(LIBOR USD 3 Month + 1.34%), 3.59%, 07/22/28^(a)			3,050		3,488,011
(LIBOR USD 3 Month + 1.63%), 4.43%, 01/23/30^(a)			2,825		3,435,026
(SOFR + 1.14%), 2.70%, 01/22/31^(a)			1,150		1,253,834
(SOFR + 3.12%), 3.62%, 04/01/31^(a)			1,225		1,433,218
MSCI, Inc.^(b):
4.75%, 08/01/26			345		362,250
5.38%, 05/15/27			1,755		1,915,144
4.00%, 11/15/29			838		900,850
3.63%, 09/01/30			1,461		1,541,355
3.88%, 02/15/31			4,913		5,336,746
Owl Rock Capital Corp., 4.25%, 01/15/26			1,104		1,105,434
Pershing Square Holdings Ltd., 5.50%, 07/15/22^(b)			4,100		4,331,906
SURA Asset Management SA, 4.88%, 04/17/24^(b)			4,419		4,776,663
UBS Group AG^(a):
(USD Swap Semi 5 Year + 5.50%), 6.87%^(m)			10,865		11,027,975
(EUR Swap Annual 5 Year + 5.29%), 5.75%^(m)	EUR		4,584		5,555,937
(LIBOR USD 3 Month + 0.95%), 2.86%, 08/15/23^(b)	USD		3,170		3,299,966
(USD Swap Semi 5 Year + 4.34%), 7.00%^(b)^(m)			5,325		5,650,411
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 1.01%,07/30/24^(b)			2,005		2,015,114
(USD Swap Semi 5 Year + 4.87%), 7.00%^(m)			18,595		20,733,425
(USD Swap Semi 5 Year + 4.59%), 6.87%^(m)			5,176		5,564,241
(US Treasury Yield Curve Rate T Note
Constant Maturity 5 Year + 4.86%), 5.13%^(m)			1,200		1,224,000
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 1.36%, 01/30/27^(b)			530		534,884

					210,636,712

Chemicals — 0.6%
Air Products and Chemicals, Inc., 1.50%, 10/15/25			295		308,287
Ashland LLC, 4.75%, 08/15/22^(e)			93		97,417
Ashland Services BV, 2.00%, 01/30/28	EUR		1,120		1,256,637
Atotech Alpha 2 BV, 8.75%, (8.75% Cash or 9.50% PIK), 06/01/23^(b)(k)	USD		2,725		2,752,726
Atotech Alpha 3 BV, 6.25%, 02/01/25^(b)			10,398		10,696,942
Avient Corp., 5.25%, 03/15/23			400		439,592
Axalta Coating Systems LLC, 4.75%, 06/15/27^(b)			1,043		1,092,542
Blue Cube Spinco LLC:
9.75%, 10/15/23			1,783		1,858,777
10.00%, 10/15/25			6,427		6,860,823
Braskem Idesa SAPI, 7.45%, 11/15/29^(b)			1,900		1,656,562
CeramTec BondCo GmbH, 5.25%, 12/15/25	EUR		300		345,434
CF Industries, Inc., 4.95%, 06/01/43	USD		1,075		1,257,965
Chemours Co. (The):
6.63%, 05/15/23			2,341		2,341,000
7.00%, 05/15/25			326		330,890
5.38%, 05/15/27			274		268,487
CVR Partners LP, 9.25%, 06/15/23^(b)			300		294,000
DuPont de Nemours, Inc.:
2.17%, 05/01/23			1,155		1,178,608


Security		Par (000)		Value

Chemicals (continued)
4.21%, 11/15/23	USD		1,200	$	1,325,112
5.32%, 11/15/38			375		499,594
5.42%, 11/15/48			250		351,835
Eastman Chemical Co., 4.80%, 09/01/42			220		266,489
Element Solutions, Inc., 5.88%, 12/01/25^(b)			11,005		11,362,663
Equate Petrochemical BV, 4.25%, 11/03/26^(b)			4,923		5,284,533
Gates Global LLC, 6.25%, 01/15/26^(b)			3,043		3,187,542
GCP Applied Technologies, Inc., 5.50%, 04/15/26^(b)			1,931		1,969,620
Illuminate Buyer LLC, 9.00%, 07/01/28^(b)			1,595		1,710,638
INEOS Group Holdings SA, 5.63%, 08/01/24^(b)			400		401,508
K+S AG, 3.00%, 06/20/22	EUR		100		111,022
LYB International Finance III LLC:
2.88%, 05/01/25	USD		1,250		1,351,754
4.20%, 10/15/49			125		143,894
4.20%, 05/01/50			300		343,836
Minerals Technologies, Inc., 5.00%, 07/01/28^(b)			1,043		1,082,425
Monitchem HoldCo 2 SA, 9.50%, 09/15/26	EUR		600		720,340
Monitchem HoldCo 3 SA, 5.25%, 03/15/25			807		973,724
NOVA Chemicals Corp., 4.88%, 06/01/24^(b)	USD		311		310,845
OCI NV:
5.00%, 04/15/23	EUR		520		624,785
6.63%, 04/15/23^(b)	USD		200		207,466
3.13%, 11/01/24	EUR		400		464,321
5.25%, 11/01/24^(b)	USD		660		663,300
Olin Corp.:
5.50%, 08/15/22			1,214		1,238,280
9.50%, 06/01/25^(b)			355		404,700
5.13%, 09/15/27			500		483,750
Pearl Holding III Ltd., 9.50%, 12/11/22			1,200		317,442
Phosagro OAO, 3.05%, 01/23/25^(b)			4,047		4,108,970
PQ Corp., 5.75%, 12/15/25^(b)			6,909		7,116,270
Rain CII Carbon LLC, 7.25%, 04/01/25^(b)			400		393,000
Rock International Investment, Inc., 6.63%, 03/27/20^(f)(i)			2,883		1,039,450
Scotts Miracle-Gro Co. (The), 4.50%, 10/15/29			1,070		1,132,863
Sherwin-Williams Co. (The):
3.45%, 06/01/27			289		331,291
4.50%, 06/01/47			150		201,022
3.30%, 05/15/50			625		707,382
Solvay Finance SA, (EUR Swap Annual 5 Year + 5.22%), 5.87%^(a)(m)	EUR		500		655,708
SPCM SA, 4.88%, 09/15/25^(b)	USD		400		411,508
Synthomer plc, 3.88%, 07/01/25	EUR		426		515,371
Tronox, Inc.^(b):
6.50%, 05/01/25	USD		165		176,124
6.50%, 04/15/26			500		501,250
Valvoline, Inc.^(b):
4.38%, 08/15/25			804		831,135
4.25%, 02/15/30			2,123		2,231,804
W.R. Grace & Co., 5.63%, 10/01/24^(b)			2,303		2,492,997
WR Grace & Co.-Conn., 4.88%, 06/15/27^(b)			1,745		1,858,425
Yingde Gases Investment Ltd., 6.25%, 01/19/23^(b)			630		648,900

					94,191,577

Commercial Services & Supplies — 0.6%
ADT Security Corp. (The):
6.25%, 10/15/21			925		971,250
3.50%, 07/15/22			650		666,965
4.13%, 06/15/23			737		771,492
4.88%, 07/15/32^(b)			8,259		8,300,295
Allied Universal Holdco LLC^(b):
6.63%, 07/15/26			15,615		16,708,050
9.75%, 07/15/27			4,190		4,657,269
APX Group, Inc.:
7.88%, 12/01/22			3,621		3,648,157


Security		Par (000)		Value

Commercial Services & Supplies (continued)
8.50%, 11/01/24	USD		414	$	426,420
6.75%, 02/15/27^(b)			985		982,045
Aramark Services, Inc.:
5.00%, 04/01/25^(b)			3,563		3,660,982
6.38%, 05/01/25^(b)			1,537		1,621,535
4.75%, 06/01/26			350		348,250
5.00%, 02/01/28^(b)			926		931,788
Brink’s Co. (The)^(b):
5.50%, 07/15/25			697		740,563
4.63%, 10/15/27			425		432,331
Cimpress plc, 7.00%, 06/15/26^(b)			305		308,965
Clean Harbors, Inc.^(b):
4.88%, 07/15/27			3,523		3,734,767
5.13%, 07/15/29			250		267,500
Garda World Security Corp.^(b):
4.63%, 02/15/27			2,028		2,083,608
9.50%, 11/01/27			1,436		1,565,240
GFL Environmental, Inc.^(b):
4.25%, 06/01/25			535		556,400
7.00%, 06/01/26			2,252		2,387,120
5.13%, 12/15/26			4,749		5,042,203
8.50%, 05/01/27			3,028		3,392,269
IAA, Inc., 5.50%, 06/15/27^(b)			3,513		3,745,736
Intrum AB:
3.50%, 07/15/26	EUR		952		1,038,043
3.00%, 09/15/27			500		521,219
KAR Auction Services, Inc., 5.13%, 06/01/25^(b)	USD		888		892,440
Nielsen Co. Luxembourg SARL (The)^(b):
5.50%, 10/01/21			68		68,255
5.00%, 02/01/25			762		782,018
Prime Security Services Borrower LLC^(b):
5.25%, 04/15/24			1,494		1,606,050
5.75%, 04/15/26			5,657		6,279,270
6.25%, 01/15/28			885		922,612
Republic Services, Inc., 2.30%, 03/01/30			600		645,354
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25^(b)			340		351,829
SPIE SA, 2.63%, 06/18/26	EUR		800		941,896
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26			1,004		1,223,121
Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 07/15/25			700		789,521
Tuspark Forward Ltd., 7.95%, 08/15/21	USD		600		370,875
Verisure Holding AB:
3.50%, 05/15/23	EUR		1,205		1,428,685
(EURIBOR 3 Month + 5.00%), 5.00%, 04/15/25^(a)			346		413,684
3.88%, 07/15/26			838		987,122
Verisure Midholding AB, 5.75%, 12/01/23			929		1,099,625
Waste Pro USA, Inc., 5.50%, 02/15/26^(b)	USD		3,036		3,081,540

					91,394,359

Communications Equipment — 0.2%
CommScope Technologies LLC^(b):
6.00%, 06/15/25			3,019		3,084,512
5.00%, 03/15/27			180		173,851
CommScope, Inc.^(b):
5.50%, 03/01/24			4,129		4,288,049
6.00%, 03/01/26			2,330		2,485,807
8.25%, 03/01/27			399		430,282
Motorola Solutions, Inc., 4.60%, 05/23/29			1,775		2,081,546
Nokia OYJ:
3.38%, 06/12/22			395		407,837
4.38%, 06/12/27			380		405,650
6.63%, 05/15/39			2,016		2,570,400
ViaSat, Inc.^(b):
5.63%, 09/15/25			500		503,750


Security	Par (000)			Value

Communications Equipment (continued)
5.63%, 04/15/27		USD	6,610	$	7,004,617
6.50%, 07/15/28			3,240		3,328,128

					26,764,429

Construction & Engineering — 0.2%
AECOM:
5.88%, 10/15/24			1,580		1,726,150
5.13%, 03/15/27			1,650		1,812,937
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29^(b)			1,800		1,574,997
Brand Industrial Services, Inc., 8.50%, 07/15/25^(b)			3,391		3,136,675
China City Construction International Co. Ltd., 5.35%, 07/03/17^(f)(i)		CNY	6,794		53,461
China Shuifa Singyes Energy Holdings Ltd., 2.00%, (2.00% Cash or 6.00% PIK), 12/19/22^(k)		USD	1,578		1,383,918
Delhi International Airport Ltd.:
6.45%, 06/04/29^(b)			945		928,167
6.45%, 06/04/29			2,825		2,774,680
Ferrovial Netherlands BV, (EUR Swap Annual 5 Year + 2.13%), 2.12%^(a)(m)		EUR	1,600		1,808,472
Fluor Corp.:
3.50%, 12/15/24		USD	150		123,420
4.25%, 09/15/28			625		534,375
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27			630		558,928
Heathrow Finance plc:
4.75%, 03/01/24		GBP	200		264,902
4.13%, 09/01/29			1,071		1,311,094
MasTec, Inc., 4.50%, 08/15/28^(b)		USD	1,934		2,021,030
Mexico City Airport Trust, 4.25%, 10/31/26^(b)			5,101		4,598,870
New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/28^(b)			488		511,180
Tutor Perini Corp., 6.88%, 05/01/25^(b)			1,040		1,037,234
Zhejiang Baron BVI Co. Ltd., 6.80%, 08/27/21			2,995		2,987,513

					29,148,003

Construction Materials — 0.0%
CEMEX Finance LLC, 4.63%, 06/15/24		EUR	300		354,931
Cemex SAB de CV:
3.13%, 03/19/26			800		882,285

					1,237,216

Consumer Finance — 0.8%
AerCap Ireland Capital DAC:
4.50%, 05/15/21		USD	3,483		3,552,762
3.95%, 02/01/22			2,055		2,070,256
3.50%, 05/26/22			500		497,356
2.88%, 08/14/24			350		333,410
3.50%, 01/15/25			650		620,773
6.50%, 07/15/25			700		751,170
Ally Financial, Inc.:
5.75%, 11/20/25			975		1,100,901
8.00%, 11/01/31			10,996		15,208,230
American Express Co., 3.70%, 11/05/21			1,700		1,765,868
American Honda Finance Corp., 1.95%, 05/10/23			590		612,207
Capital One Financial Corp.:
3.45%, 04/30/21			1,800		1,837,626
3.20%, 01/30/23			420		444,411
3.90%, 01/29/24			1,100		1,204,228
3.75%, 04/24/24			400		437,795
Caterpillar Financial Services Corp.:
2.95%, 02/26/22			990		1,029,896
1.95%, 11/18/22			1,930		1,998,817
1.45%, 05/15/25			500		517,304
Credit Acceptance Corp., 6.63%, 03/15/26			1,404		1,465,425


Security	Par (000)			Value

Consumer Finance (continued)
Curo Group Holdings Corp., 8.25%, 09/01/25^(b)		USD	1,175	$	937,062
FCE Bank plc, 1.62%, 05/11/23		EUR	1,400		1,593,241
Ford Motor Credit Co. LLC:
3.20%, 01/15/21		USD	277		277,277
5.88%, 08/02/21			2,319		2,379,874
3.81%, 10/12/21			545		550,581
5.60%, 01/07/22			551		571,828
2.98%, 08/03/22			1,131		1,133,590
3.35%, 11/01/22			3,011		3,029,819
3.09%, 01/09/23			433		431,103
4.14%, 02/15/23			1,178		1,198,615
3.10%, 05/04/23			367		363,330
4.38%, 08/06/23			586		606,387
3.81%, 01/09/24			3,777		3,806,461
3.02%, 03/06/24		EUR	200		233,759
5.58%, 03/18/24		USD	2,500		2,656,250
4.06%, 11/01/24			200		204,440
1.36%, 02/07/25		EUR	200		217,000
5.13%, 06/16/25		USD	3,661		3,902,882
4.13%, 08/04/25			3,078		3,154,642
2.33%, 11/25/25		EUR	1,800		2,002,103
4.39%, 01/08/26		USD	2,800		2,876,104
2.39%, 02/17/26		EUR	200		222,342
General Motors Financial Co., Inc.:
4.20%, 03/01/21		USD	440		446,507
3.55%, 04/09/21			2,000		2,031,028
4.20%, 11/06/21			2,595		2,685,738
3.15%, 06/30/22			435		447,040
3.55%, 07/08/22			1,690		1,753,994
3.25%, 01/05/23			6,300		6,517,167
5.20%, 03/20/23			1,155		1,256,080
4.00%, 10/06/26			1,550		1,659,882
Series B, (LIBOR USD 3 Month + 3.44%), 6.50%^(a)(m)			4,364		4,121,231
5.65%, 01/17/29			682		799,332
Global Aircraft Leasing Co. Ltd., 6.50%, (6.50% Cash or 7.25% PIK), 09/15/24^(b)(k)			3,085		1,920,412
goeasy Ltd., 5.38%, 12/01/24^(b)			995		1,030,929
John Deere Capital Corp., 2.60%, 03/07/24			205		219,929
King Talent Management Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.52%), 5.60%^(a)(m)			936		805,838
Manappuram Finance Ltd., 5.90%, 01/13/23			630		622,125
Muthoot Finance Ltd., 4.40%, 09/02/23			475		466,984
Navient Corp.:
5.00%, 10/26/20			102		102,776
6.50%, 06/15/22			645		674,025
7.25%, 09/25/23			628		663,137
6.13%, 03/25/24			2,821		2,919,735
5.88%, 10/25/24			600		615,000
6.75%, 06/15/26			2,820		2,932,800
5.00%, 03/15/27			500		478,750
New Lion Bridge Co. Ltd., 9.75%, 10/10/20			945		928,462
OneMain Finance Corp.:
7.75%, 10/01/21			250		263,750
6.13%, 05/15/22			800		842,000
5.63%, 03/15/23			630		666,225
6.13%, 03/15/24			885		963,402
6.88%, 03/15/25			3,103		3,467,603
7.13%, 03/15/26			7,574		8,879,228
6.63%, 01/15/28			3,075		3,523,796
5.38%, 11/15/29			104		109,730
Shriram Transport Finance Co. Ltd., 5.95%, 10/24/22			1,431		1,382,257
Synchrony Financial, 2.85%, 07/25/22			370		378,398


Security	Par (000)			Value

Consumer Finance (continued)
Toyota Motor Credit Corp.:
2.65%, 04/12/22		USD	300	$	311,196
2.90%, 03/30/23			350		371,587
1.80%, 02/13/25			600		628,008
Voyager Aviation Holdings LLC, 8.50%, 08/15/21^(b)			790		576,700

					126,259,906

Containers & Packaging — 0.5%
ARD Finance SA, 6.50%, 06/30/27^(b)			3,287		3,361,073
Ardagh Packaging Finance plc:
6.00%, 02/15/25^(b)			551		575,795
5.25%, 04/30/25^(b)			2,017		2,138,020
4.13%, 08/15/26^(b)			6,558		6,805,893
4.75%, 07/15/27		GBP	1,268		1,634,915
5.25%, 08/15/27^(b)		USD	5,190		5,432,736
Ball Corp.:
5.00%, 03/15/22			400		419,000
4.00%, 11/15/23			300		319,500
5.25%, 07/01/25			1,163		1,325,820
4.88%, 03/15/26			1,199		1,363,659
Berry Global, Inc.:
1.00%, 01/15/25		EUR	300		338,543
4.50%, 02/15/26^(b)		USD	480		492,177
4.88%, 07/15/26^(b)			1,015		1,072,094
Cascades, Inc.^(b):
5.13%, 01/15/26			800		826,000
5.38%, 01/15/28			700		724,500
Crown Americas LLC:
4.50%, 01/15/23			750		791,640
4.75%, 02/01/26			8,826		9,209,754
4.25%, 09/30/26			4,926		5,223,432
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26			368		434,240
GPC Merger Sub, Inc., 7.13%, 08/15/28^(b)			655		681,200
Graphic Packaging International LLC, 3.50%, 03/15/28^(b)			942		957,307
Greif, Inc., 6.50%, 03/01/27^(b)			495		525,937
International Paper Co., 4.35%, 08/15/48			820		1,023,430
LABL Escrow Issuer LLC, 6.75%, 07/15/26^(b)			2,675		2,889,000
Mauser Packaging Solutions Holding Co.:
4.75%, 04/15/24		EUR	661		765,164
5.50%, 04/15/24^(b)		USD	3,999		4,077,301
OI European Group BV:
3.13%, 11/15/24		EUR	500		598,546
2.88%, 02/15/25			566		664,975
Owens-Brockway Glass Container, Inc., 5.88%, 08/15/23^(b)		USD	450		475,065
Plastipak Holdings, Inc., 6.25%, 10/15/25^(b)			350		349,563
Reynolds Group Issuer, Inc.^(b):
(LIBOR USD 3 Month + 3.50%), 3.78%, 07/15/21^(a)			1,838		1,838,000
5.13%, 07/15/23			1,055		1,071,142
7.00%, 07/15/24			2,935		2,990,031
Sealed Air Corp., 5.25%, 04/01/23^(b)			486		516,375
Silgan Holdings, Inc.:
3.25%, 03/15/25		EUR	400		476,976
4.13%, 02/01/28		USD	725		743,125
Trivium Packaging Finance BV^(e):
3.75%, 08/15/26		EUR	1,534		1,801,482
5.50%, 08/15/26^(b)		USD	6,430		6,849,879
8.50%, 08/15/27^(b)			8,560		9,373,200
WRKCo, Inc., 3.75%, 03/15/25			1,425		1,596,760

					82,753,249


Security	Par (000)			Value

Distributors — 0.1%^(b)
American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28		USD	4,991	$	5,190,640
Core & Main LP, 6.13%, 08/15/25			11,098		11,431,828
Performance Food Group, Inc., 5.50%, 10/15/27			355		366,537
Wolverine Escrow LLC:
8.50%, 11/15/24			348		252,300
9.00%, 11/15/26			804		582,900

					17,824,205

Diversified Consumer Services — 0.1%
Bright Scholar Education Holdings Ltd., 7.45%, 07/31/22			4,210		4,304,725
Carriage Services, Inc., 6.63%, 06/01/26^(b)			1,600		1,692,016
frontdoor, Inc., 6.75%, 08/15/26^(b)			1,973		2,128,374
Graham Holdings Co., 5.75%, 06/01/26^(b)			1,650		1,749,000
Laureate Education, Inc., 8.25%, 05/01/25^(b)			592		633,440
Service Corp. International:
4.63%, 12/15/27			833		885,062
5.13%, 06/01/29			3,159		3,490,695
ServiceMaster Co. LLC (The), 5.13%, 11/15/24^(b)			3,185		3,280,550
Sotheby’s, 7.38%, 10/15/27^(b)			3,319		3,352,190

					21,516,052

Diversified Financial Services — 0.4%
Arrow Global Finance plc, 5.13%, 09/15/24		GBP	556		685,510
Cabot Financial Luxembourg II SA, (EURIBOR 3 Month + 6.38%), 6.37%, 06/14/24^(a)		EUR	267		312,940
Cabot Financial Luxembourg SA, 7.50%, 10/01/23		GBP	2,355		3,101,993
CK Hutchison International 16 Ltd., 1.88%, 10/03/21^(b)		USD	905		913,484
Fairstone Financial, Inc., 7.88%, 07/15/24^(b)			1,217		1,229,170
Garfunkelux Holdco 3 SA:
7.50%, 08/01/22		EUR	1,470		1,617,267
8.50%, 11/01/22		GBP	300		363,912
GE Capital Funding LLC, 3.45%, 05/15/25^(b)		USD	3,705		3,909,240
GE Capital International Funding Co. Unlimited Co.:
2.34%, 11/15/20			493		495,572
4.42%, 11/15/35			1,325		1,368,123
HBOS Capital Funding LP^(m):
6.85%			1,875		1,899,135
6.85%			5,130		5,196,033
MDGH - GMTN BV, 2.50%, 11/07/24^(b)			4,865		5,108,250
MPH Acquisition Holdings LLC, 7.13%, 06/01/24^(b)			4,924		5,053,255
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25^(b)			3,375		2,946,797
Petronas Capital Ltd., 3.50%, 04/21/30^(b)			4,599		5,224,004
Refinitiv US Holdings, Inc.:
4.50%, 05/15/26^(b)		EUR	2,815		3,473,131
4.50%, 05/15/26			631		778,524
6.25%, 05/15/26^(b)		USD	6,464		6,989,200
8.25%, 11/15/26^(b)			5,282		5,830,008
Shell International Finance BV:
2.38%, 04/06/25			605		650,050
2.38%, 11/07/29			650		700,471
4.38%, 05/11/45			350		460,413
Verscend Escrow Corp., 9.75%, 08/15/26^(b)			12,865		14,245,286

					72,551,768

Diversified Telecommunication Services — 1.6%
Altice France Holding SA:
8.00%, 05/15/27^(b)		EUR	500		632,993
8.00%, 05/15/27			1,399		1,771,113
10.50%, 05/15/27^(b)		USD	10,819		12,374,232


Security	Par (000)			Value

Diversified Telecommunication Services (continued)
6.00%, 02/15/28^(b)		USD	2,918	$	2,914,469
Altice France SA:
2.50%, 01/15/25		EUR	817		934,969
7.38%, 05/01/26^(b)		USD	10,022		10,689,966
5.88%, 02/01/27		EUR	1,400		1,758,451
8.13%, 02/01/27^(b)		USD	8,241		9,199,428
5.50%, 01/15/28^(b)			5,133		5,396,066
AT&T, Inc.:
3.00%, 06/30/22			2,700		2,819,317
2.63%, 12/01/22			416		434,252
4.05%, 12/15/23^(e)			1,000		1,119,684
3.95%, 01/15/25			600		675,844
4.35%, 03/01/29			2,025		2,419,573
4.50%, 05/15/35			3,450		4,141,428
5.25%, 03/01/37			700		904,134
5.35%, 09/01/40			546		722,200
5.15%, 03/15/42			950		1,210,190
5.15%, 11/15/46			925		1,194,192
5.45%, 03/01/47			1,300		1,756,282
4.50%, 03/09/48			525		643,004
Bakrie Telecom Pte. Ltd., 11.50%, 05/07/15^(f)(i)			1,000		2,031
CCO Holdings LLC^(b):
4.00%, 03/01/23			165		167,475
5.88%, 04/01/24			1,000		1,034,700
5.38%, 05/01/25			400		412,500
5.50%, 05/01/26			800		846,240
5.13%, 05/01/27			5,442		5,773,622
5.88%, 05/01/27			630		666,225
5.00%, 02/01/28			1,891		2,004,460
5.38%, 06/01/29			9,388		10,279,860
4.75%, 03/01/30			5,510		5,864,706
4.50%, 08/15/30			7,924		8,398,648
4.25%, 02/01/31			7,801		8,140,499
4.50%, 05/01/32			7,338		7,741,590
CenturyLink, Inc.:
Series T, 5.80%, 03/15/22			1,000		1,047,500
Series W, 6.75%, 12/01/23			1,103		1,222,951
Series Y, 7.50%, 04/01/24			3,673		4,150,490
5.13%, 12/15/26^(b)			8,411		8,805,392
4.00%, 02/15/27^(b)			4,351		4,544,358
Series P, 7.60%, 09/15/39			3,087		3,541,345
Series U, 7.65%, 03/15/42			2,894		3,299,160
Cincinnati Bell, Inc., 7.00%, 07/15/24^(b)			815		843,264
Deutsche Telekom International Finance BV, 8.75%, 06/15/30^(e)			362		579,623
Frontier Communications Corp., 8.00%, 04/01/27^(b)(e)			13,030		13,486,050
Iliad SA, 2.38%, 06/17/26		EUR	200		237,287
Intelsat Jackson Holdings SA, 8.00%, 02/15/24^(b)(e)		USD	2,572		2,626,655
Koninklijke KPN NV, (USD Swap Semi 10 Year + 5.21%), 7.00%, 03/28/73^(a)(b)			200		218,802
Level 3 Financing, Inc.:
5.38%, 01/15/24			555		564,502
5.38%, 05/01/25			550		567,875
5.25%, 03/15/26			1,314		1,372,433
4.63%, 09/15/27^(b)			2,587		2,719,584
4.25%, 07/01/28^(b)			5,044		5,258,370
Metropolitan Light Co. Ltd., 5.50%, 11/21/22^(b)			395		401,542
Network i2i Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.27%), 5.65%^(a)(m)			1,260		1,241,887
Oi SA, 10.00%, (10.00% Cash or 4.00% PIK), 07/27/25^(k)			1,280		1,224,000
Qualitytech LP, 4.75%, 11/15/25^(b)			182		188,370
Qwest Corp., 6.75%, 12/01/21			500		533,595


Security	Par (000)			Value

Diversified Telecommunication Services (continued)
Sable International Finance Ltd., 5.75%, 09/07/27^(b)		USD	1,375	$	1,439,749
SES GLOBAL Americas Holdings GP, 5.30%, 03/25/44^(b)			300		317,310
Sprint Capital Corp.:
6.88%, 11/15/28			7,140		9,258,438
8.75%, 03/15/32			4,287		6,612,697
TDC A/S, 6.87%, 02/23/23^(e)		GBP	200		282,856
Telecom Italia Capital SA:
6.38%, 11/15/33		USD	1,141		1,392,431
6.00%, 09/30/34			5,559		6,737,341
7.20%, 07/18/36			142		186,517
7.72%, 06/04/38			226		313,794
Telecom Italia Finance SA, 7.75%, 01/24/33		EUR	610		1,031,090
Telecom Italia SpA:
4.00%, 04/11/24			478		602,474
5.30%, 05/30/24^(b)		USD	2,295		2,564,617
2.75%, 04/15/25		EUR	1,006		1,223,152
3.00%, 09/30/25			300		367,103
Telefonica Emisiones SA, 4.67%, 03/06/38		USD	1,575		1,928,766
Telesat Canada^(b):
4.88%, 06/01/27			3,667		3,722,005
6.50%, 10/15/27			495		508,761
Verizon Communications, Inc.:
5.15%, 09/15/23			626		714,841
4.33%, 09/21/28			548		676,534
3.88%, 02/08/29			3,455		4,165,378
4.02%, 12/03/29			474		578,587
4.50%, 08/10/33			650		846,748
4.27%, 01/15/36			5,275		6,774,739
3.85%, 11/01/42			500		634,757
4.86%, 08/21/46			1,400		2,004,850
4.52%, 09/15/48			290		402,499
Virgin Media Finance plc:
3.75%, 07/15/30		EUR	661		762,079
5.00%, 07/15/30^(b)		USD	760		794,079
Virgin Media Secured Finance plc:
5.50%, 08/15/26^(b)			500		531,145
5.00%, 04/15/27		GBP	400		545,566
5.25%, 05/15/29			100		137,699
5.50%, 05/15/29^(b)		USD	6,233		6,793,970
4.50%, 08/15/30^(b)			3,545		3,792,796
Zayo Group Holdings, Inc.^(b):
4.00%, 03/01/27			15,195		15,228,581
6.13%, 03/01/28			7,826		8,080,345

					265,673,672

Electric Utilities — 0.8%
1MDB Energy Ltd., 5.99%, 05/11/22			5,700		5,976,450
AEP Transmission Co. LLC, 3.15%, 09/15/49			525		614,266
Alliant Energy Finance LLC, 3.75%, 06/15/23^(b)			270		291,265
American Electric Power Co., Inc., Series I, 3.65%, 12/01/21			430		447,179
Baltimore Gas & Electric Co., 3.20%, 09/15/49			725		847,707
Baltimore Gas and Electric Co., 2.90%, 06/15/50			116		128,796
Drax Finco plc:
4.25%, 05/01/22		GBP	200		263,867
6.63%, 11/01/25^(b)		USD	450		469,125
DTE Electric Co.:
Series C, 2.63%, 03/01/31			404		453,161
Series A, 4.05%, 05/15/48			675		903,990
Duke Energy Carolinas LLC:
3.35%, 05/15/22			1,700		1,793,755
6.05%, 04/15/38			925		1,446,585
3.70%, 12/01/47			750		951,885
3.20%, 08/15/49			982		1,180,148


Security	Par (000)			Value

Electric Utilities (continued)
Duke Energy Corp.:
3.95%, 10/15/23		USD	470	$	515,367
3.75%, 04/15/24			1,160		1,283,314
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.39%), 4.88%^(a)(m)			30,400		31,388,000
Duke Energy Florida LLC:
2.50%, 12/01/29			2,225		2,466,230
1.75%, 06/15/30			255		266,373
3.85%, 11/15/42			300		377,038
Duke Energy Progress LLC, 3.45%, 03/15/29			2,868		3,405,328
Enel Americas SA, 4.00%, 10/25/26			4,668		5,039,631
Entergy Corp., 2.80%, 06/15/30			796		878,784
Eversource Energy:
2.50%, 03/15/21			1,000		1,011,175
2.80%, 05/01/23			690		725,863
Exelon Corp.:
3.95%, 06/15/25			1,025		1,180,488
4.70%, 04/15/50			250		345,559
FirstEnergy Corp.:
Series A, 2.85%, 07/15/22			464		474,996
Series B, 3.90%, 07/15/27			1,200		1,317,403
2.65%, 03/01/30			950		970,954
Series C, 4.85%, 07/15/47			425		525,434
Series C, 3.40%, 03/01/50			108		110,768
FirstEnergy Transmission LLC, 4.35%, 01/15/25^(b)			1,235		1,366,666
Florida Power & Light Co.:
3.70%, 12/01/47			875		1,154,992
3.15%, 10/01/49			650		799,800
Greenko Investment Co., 4.88%, 08/16/23			2,238		2,228,209
Huachen Energy Co. Ltd., 6.63%, 05/18/20^(f)(i)			901		288,883
Kallpa Generacion SA, 4.88%, 05/24/26			4,804		5,128,270
MidAmerican Energy Co.:
3.65%, 04/15/29			825		1,003,402
4.25%, 07/15/49			1,175		1,654,718
Mong Duong Finance Holdings BV, 5.13%, 05/07/29			4,093		4,121,139
Naturgy Finance BV, (EUR Swap Annual 8 Year + 3.35%), 4.13%^(a)(m)		EUR	600		732,327
NextEra Energy Capital Holdings, Inc.:
2.75%, 05/01/25		USD	1,062		1,161,787
3.55%, 05/01/27			1,875		2,175,576
2.75%, 11/01/29			675		753,878
2.25%, 06/01/30			780		840,985
NextEra Energy Operating Partners LP^(b):
4.25%, 07/15/24			969		1,031,985
4.25%, 09/15/24			733		780,645
4.50%, 09/15/27			2,471		2,687,212
Northern States Power Co.:
2.90%, 03/01/50			350		407,147
2.60%, 06/01/51			360		395,912
NRG Energy, Inc.:
7.25%, 05/15/26			425		458,367
6.63%, 01/15/27			4,831		5,145,015
5.75%, 01/15/28			14		15,388
5.25%, 06/15/29^(b)			1,139		1,259,358
NV Energy, Inc., 6.25%, 11/15/20			790		801,767
Ohio Power Co., 4.00%, 06/01/49			1,225		1,605,306
Oncor Electric Delivery Co. LLC:
3.75%, 04/01/45			1,000		1,272,118
4.10%, 11/15/48			95		129,016
3.70%, 05/15/50^(b)			1,155		1,515,202
Pattern Energy Operations LP, 4.50%, 08/15/28^(b)			3,772		3,998,320
PG&E Corp., 5.25%, 07/01/30			3,096		3,219,840


Security	Par (000)			Value

Electric Utilities (continued)
PPL Electric Utilities Corp., 3.95%, 06/01/47		USD	475	$	622,490
Progress Energy, Inc., 3.15%, 04/01/22			700		725,808
Public Service Co. of Colorado, Series 34, 3.20%, 03/01/50			600		730,656
Southern California Edison Co.:
Series A, 2.90%, 03/01/21			350		355,141
4.00%, 04/01/47			575		682,389
Series B, 4.88%, 03/01/49			270		357,067
Southern Co. (The), Series B, (LIBOR USD 3 Month + 3.63%), 5.50%, 03/15/57^(a)			7,475		7,684,054
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33			499		533,925
Tampa Electric Co., 4.45%, 06/15/49			375		519,158
Virginia Electric & Power Co.:
4.45%, 02/15/44			1,010		1,367,636
4.60%, 12/01/48			2,050		2,967,659
3.30%, 12/01/49			500		614,899
Vistra Operations Co. LLC^(b):
5.63%, 02/15/27			944		1,012,874
5.00%, 07/31/27			1,902		2,030,385
Wisconsin Electric Power Co., 2.95%, 09/15/21			1,000		1,022,053
Xcel Energy, Inc., 2.40%, 03/15/21			1,000		1,010,592

					138,420,900

Electrical Equipment — 0.0%
Eaton Corp., 2.75%, 11/02/22			1,000		1,052,218
Orano SA, 3.38%, 04/23/26		EUR	300		363,767
Sensata Technologies BV^(b):
4.88%, 10/15/23		USD	175		183,969
5.00%, 10/01/25			4,909		5,301,720

					6,901,674

Electronic Equipment, Instruments & Components — 0.1%
Belden, Inc.:
4.13%, 10/15/26		EUR	1,260		1,491,267
3.88%, 03/15/28			500		582,508
CDW LLC:
5.50%, 12/01/24		USD	4,463		5,008,780
4.13%, 05/01/25			1,947		2,058,369
Ingram Micro, Inc., 5.45%, 12/15/24^(e)			375		386,316
Jabil, Inc., 3.60%, 01/15/30			576		613,742
Sensata Technologies, Inc., 4.38%, 02/15/30^(b)			1,020		1,090,064

					11,231,046

Energy Equipment & Services — 0.1%
Anton Oilfield Services Group, 7.50%, 12/02/22			1,725		1,090,523
Archrock Partners LP^(b):
6.88%, 04/01/27			1,144		1,170,838
6.25%, 04/01/28			1,150		1,161,500
Baker Hughes a GE Co. LLC, 2.77%, 12/15/22			410		428,977
ChampionX Corp., 6.38%, 05/01/26			1,683		1,577,812
Halliburton Co.:
3.50%, 08/01/23			27		28,741
3.80%, 11/15/25			475		514,665
2.92%, 03/01/30			350		351,814
5.00%, 11/15/45			475		507,460
Hilong Holding Ltd., 8.25%, 09/26/22^(f)(i)			1,415		574,844
Nabors Industries Ltd.^(b):
7.25%, 01/15/26			436		274,680
7.50%, 01/15/28			257		163,272
Tervita Corp., 7.63%, 12/01/21^(b)			3,224		2,546,960
Transocean Guardian Ltd., 5.88%, 01/15/24^(b)			179		157,872
Transocean Phoenix 2 Ltd., 7.75%, 10/15/24^(b)			358		340,519
Transocean Pontus Ltd., 6.13%, 08/01/25^(b)			156		143,910
Transocean Proteus Ltd., 6.25%, 12/01/24^(b)			293		273,488
Transocean, Inc.:
8.37%, 12/15/21^(e)			242		164,560
8.00%, 02/01/27^(b)			2,423		1,181,939


Security	Par (000)			Value

Energy Equipment & Services (continued)
USA Compression Partners LP:
6.88%, 04/01/26		USD	3,234	$	3,314,850
6.88%, 09/01/27			3,175		3,245,771
Vallourec SA, 6.63%, 10/15/22		EUR	700		428,774

					19,643,769

Entertainment — 0.3%
Banijay Entertainment SASU:
3.50%, 03/01/25			666		764,902
5.38%, 03/01/25^(b)		USD	200		201,040
Cinemark USA, Inc., 4.88%, 06/01/23			500		425,000
Lions Gate Capital Holdings LLC^(b):
6.38%, 02/01/24			982		991,241
5.88%, 11/01/24			1,080		1,077,300
Live Nation Entertainment, Inc.^(b):
4.88%, 11/01/24			340		321,300
6.50%, 05/15/27			7,575		8,143,125
Netflix, Inc.:
5.50%, 02/15/22			700		739,375
5.88%, 02/15/25			1,179		1,355,850
3.63%, 06/15/25^(b)			380		402,800
3.63%, 05/15/27		EUR	300		382,981
4.88%, 04/15/28		USD	673		782,309
5.88%, 11/15/28			6,681		8,251,035
3.88%, 11/15/29		EUR	1,180		1,542,072
5.38%, 11/15/29^(b)		USD	4,172		5,053,335
3.63%, 06/15/30		EUR	1,963		2,519,569
4.88%, 06/15/30^(b)		USD	8,102		9,524,711
Pinewood Finance Co. Ltd., 3.25%, 09/30/25		GBP	1,126		1,477,106
Walt Disney Co. (The):
1.65%, 09/01/22		USD	600		614,088
3.50%, 05/13/40			700		804,393
WMG Acquisition Corp., 3.88%, 07/15/30^(b)			2,057		2,200,990

					47,574,522

Equity Real Estate Investment Trusts (REITs) — 0.9%
Alexandria Real Estate Equities, Inc.:
3.95%, 01/15/28			3,145		3,665,993
4.90%, 12/15/30			635		811,987
1.88%, 02/01/33			300		301,155
American Tower Corp.:
3.50%, 01/31/23			680		728,299
3.13%, 01/15/27			1,175		1,300,804
3.95%, 03/15/29			925		1,092,155
3.80%, 08/15/29			125		146,457
2.90%, 01/15/30			160		177,182
2.10%, 06/15/30			1,195		1,242,879
AvalonBay Communities, Inc.:
3.45%, 06/01/25			1,125		1,266,412
2.30%, 03/01/30			1,725		1,843,724
Boston Properties LP, 2.90%, 03/15/30			825		883,924
Brookfield Property REIT, Inc., 5.75%, 05/15/26^(b)			3,144		2,641,180
CoreCivic, Inc., 4.75%, 10/15/27			1,333		1,126,385
Crown Castle International Corp.:
5.25%, 01/15/23			1,325		1,473,162
3.20%, 09/01/24			400		436,040
1.35%, 07/15/25			2,295		2,343,207
3.80%, 02/15/28			1,075		1,252,227
4.30%, 02/15/29			925		1,110,895
3.30%, 07/01/30			200		227,194
Diversified Healthcare Trust, 9.75%, 06/15/25			1,003		1,107,061
Duke Realty LP, 3.05%, 03/01/50			1,275		1,450,866
Equinix, Inc.:
2.63%, 11/18/24			760		812,090
1.25%, 07/15/25			480		484,080
2.90%, 11/18/26			625		682,381


Security	Par (000)			Value

Equity Real Estate Investment Trusts (REITs) (continued)
3.20%, 11/18/29		USD	1,350	$	1,514,687
3.00%, 07/15/50			125		135,455
ERP Operating LP, 3.00%, 07/01/29			656		740,992
ESH Hospitality, Inc., 5.25%, 05/01/25^(b)			945		965,336
GEO Group, Inc. (The), 5.13%, 04/01/23			2,700		2,301,750
GLP Capital LP:
5.25%, 06/01/25			3,730		4,017,583
5.38%, 04/15/26			217		242,756
5.30%, 01/15/29			405		450,955
4.00%, 01/15/31			1,780		1,847,195
HAT Holdings I LLC, 5.25%, 07/15/24^(b)			930		968,944
Healthpeak Properties, Inc.:
3.00%, 01/15/30			458		493,784
2.88%, 01/15/31			75		79,577
Iron Mountain UK plc, 3.88%, 11/15/25		GBP	880		1,143,092
Iron Mountain, Inc.:
3.00%, 01/15/25		EUR	1,870		2,197,312
4.88%, 09/15/27^(b)		USD	2,884		2,995,755
5.25%, 03/15/28^(b)			1,050		1,102,500
4.88%, 09/15/29^(b)			52		54,171
5.25%, 07/15/30^(b)			4,893		5,131,534
5.63%, 07/15/32^(b)			5,203		5,586,721
iStar, Inc., 4.25%, 08/01/25			700		672,875
Kimco Realty Corp., 3.20%, 05/01/21			563		569,836
LMIRT Capital Pte. Ltd., 7.25%, 06/19/24			1,145		1,045,886
MGM Growth Properties Operating Partnership LP:
5.63%, 05/01/24			3,803		4,126,255
4.63%, 06/15/25^(b)			2,945		3,095,902
4.50%, 09/01/26			1,754		1,824,160
5.75%, 02/01/27			2,046		2,214,795
4.50%, 01/15/28			4,794		4,877,895
Mid-America Apartments LP, 3.60%, 06/01/27			2,225		2,511,432
MPT Operating Partnership LP:
6.38%, 03/01/24			255		262,969
5.25%, 08/01/26			1,055		1,107,750
5.00%, 10/15/27			6,974		7,479,615
4.63%, 08/01/29			3,030		3,201,377
Prologis LP, 2.25%, 04/15/30			900		974,506
Realty Income Corp.:
3.88%, 04/15/25			450		509,354
3.00%, 01/15/27			550		602,059
RHP Hotel Properties LP, 4.75%, 10/15/27			3,963		3,696,686
SBA Communications Corp.:
4.00%, 10/01/22			550		557,425
4.88%, 09/01/24			12,143		12,476,932
3.88%, 02/15/27^(b)			6,185		6,401,475
Service Properties Trust:
4.50%, 06/15/23			255		242,250
4.35%, 10/01/24			238		213,058
7.50%, 09/15/25			2,221		2,355,178
Simon Property Group LP, 3.25%, 09/13/49			240		239,787
Trust Fibra Uno, 4.87%, 01/15/30^(b)			7,503		7,503,000
UDR, Inc.:
3.20%, 01/15/30			300		338,083
2.10%, 08/01/32			85		86,803
Uniti Group LP, 8.25%, 10/15/23			919		891,430
VICI Properties LP^(b):
3.50%, 02/15/25			2,954		2,990,925
4.25%, 12/01/26			4,770		4,913,100
3.75%, 02/15/27			3,497		3,523,227
4.63%, 12/01/29			2,792		2,925,458
4.13%, 08/15/30			8,697		8,801,364

					153,810,685


Security	Par (000)			Value

Food & Staples Retailing — 0.2%
Albertsons Cos., Inc.:
6.63%, 06/15/24		USD	895	$	931,337
5.75%, 03/15/25			2,841		2,940,435
7.50%, 03/15/26^(b)			70		78,750
4.63%, 01/15/27^(b)			2,426		2,565,495
5.88%, 02/15/28^(b)			3,403		3,726,285
4.88%, 02/15/30^(b)			2,096		2,269,968
Casino Guichard Perrachon SA^(e):
3.58%, 02/07/25		EUR	500		463,229
4.05%, 08/05/26			300		275,198
Distribuidora Internacional de Alimentacion SA, 1.00%, 04/28/21			400		381,594
Ingles Markets, Inc., 5.75%, 06/15/23		USD	282		286,230
Kroger Co. (The), 4.45%, 02/01/47			450		588,917
Picard Groupe SAS, (EURIBOR 3 Month + 3.00%), 3.00%, 11/30/23^(a)		EUR	1,200		1,369,268
Quatrim SASU, 5.88%, 01/15/24			300		352,501
Sysco Corp.:
5.95%, 04/01/30		USD	2,672		3,389,878
6.60%, 04/01/40			2,585		3,603,176
6.60%, 04/01/50			2,501		3,623,337
Walmart, Inc.:
3.70%, 06/26/28			1,125		1,354,061
4.05%, 06/29/48			1,400		1,952,628

					30,152,287

Food Products — 0.6%
Chobani LLC, 7.50%, 04/15/25^(b)			3,068		3,198,390
Darling Ingredients, Inc., 5.25%, 04/15/27^(b)			1,389		1,482,758
General Mills, Inc.:
3.70%, 10/17/23			370		405,931
4.70%, 04/17/48			46		66,489
Grupo Bimbo SAB de CV, 4.50%, 01/25/22			4,605		4,830,933
Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24			630		645,750
Hershey Co. (The), 0.90%, 06/01/25			1,005		1,018,160
JBS Investments II GmbH, 7.00%, 01/15/26^(b)			350		376,250
JBS USA LUX SA^(b):
5.88%, 07/15/24			911		931,498
5.75%, 06/15/25			500		516,250
6.75%, 02/15/28			1,906		2,129,955
6.50%, 04/15/29			7,282		8,246,865
5.50%, 01/15/30			2,905		3,202,762
Knight Castle Investments Ltd., 7.99%, 01/23/21			231		184,872
Kraft Heinz Foods Co.:
3.88%, 05/15/27^(b)			360		387,727
3.75%, 04/01/30^(b)			1,600		1,733,999
4.25%, 03/01/31^(b)			8,021		8,853,841
5.00%, 07/15/35			837		980,626
6.88%, 01/26/39			2,541		3,407,145
4.63%, 10/01/39^(b)			1,024		1,074,635
6.50%, 02/09/40			1,215		1,534,866
5.00%, 06/04/42			3,010		3,379,462
5.20%, 07/15/45			2,486		2,835,991
4.38%, 06/01/46			5,471		5,752,583
4.88%, 10/01/49^(b)			5,639		6,230,361
5.50%, 06/01/50^(b)			7,902		9,269,918
Lamb Weston Holdings, Inc.^(b):
4.63%, 11/01/24			400		419,000
4.88%, 11/01/26			800		840,000
4.88%, 05/15/28			2,111		2,372,236
Mondelez International, Inc.:
2.13%, 04/13/23			120		124,965
1.50%, 05/04/25			410		425,488
Pilgrim’s Pride Corp.^(b):
5.75%, 03/15/25			3,645		3,736,125


Security	Par (000)			Value

Food Products (continued)
5.88%, 09/30/27		USD	900	$	951,750
Post Holdings, Inc.^(b):
5.00%, 08/15/26			3,346		3,506,474
5.75%, 03/01/27			1,500		1,597,500
5.63%, 01/15/28			1,342		1,466,538
4.63%, 04/15/30			1,775		1,868,187
Premier Foods Finance plc, 6.25%, 10/15/23		GBP	400		540,753
Sigma Holdco BV, 7.88%, 05/15/26^(b)		USD	200		201,500
Simmons Foods, Inc.^(b):
7.75%, 01/15/24			2,959		3,110,649
5.75%, 11/01/24			385		386,925
TreeHouse Foods, Inc., 6.00%, 02/15/24^(b)			530		547,225


				94,773,332

Gas Utilities — 0.0%
AmeriGas Partners LP:
5.63%, 05/20/24			550		591,250
5.88%, 08/20/26			250		275,862
5.75%, 05/20/27			750		821,250
China Oil & Gas Group Ltd., 5.50%, 01/25/23			630		638,663
Ferrellgas LP, 10.00%, 04/15/25^(b)			1,404		1,542,645
Suburban Propane Partners LP, 5.88%, 03/01/27			800		814,000
Superior Plus LP, 7.00%, 07/15/26^(b)			300		317,250

					5,000,920

Health Care Equipment & Supplies — 0.2%
Abbott Laboratories:
4.75%, 11/30/36			850		1,196,691
4.90%, 11/30/46			245		372,411
Avantor Funding, Inc., 4.63%, 07/15/28^(b)			6,362		6,721,453
Becton Dickinson and Co.:
3.25%, 11/12/20			265		266,731
2.89%, 06/06/22			1,400		1,453,354
3.73%, 12/15/24			1,925		2,142,206
3.70%, 06/06/27			2,175		2,489,116
4.69%, 12/15/44			450		595,403
3.79%, 05/20/50			1		1,218
DENTSPLY SIRONA, Inc., 3.25%, 06/01/30			2,400		2,625,864
DH Europe Finance II SARL, 2.05%, 11/15/22			715		738,742
Hill-Rom Holdings, Inc., 4.38%, 09/15/27^(b)			370		389,732
Hologic, Inc., 4.63%, 02/01/28^(b)			1,469		1,568,407
Medtronic, Inc., 4.38%, 03/15/35			625		848,451
Ortho-Clinical Diagnostics, Inc.^(b):
7.38%, 06/01/25			5,192		5,529,480
7.25%, 02/01/28			6,856		7,173,090
Teleflex, Inc.:
4.63%, 11/15/27			350		378,445
4.25%, 06/01/28^(b)			2,654		2,843,097

					37,333,891

Health Care Providers & Services — 1.1%
Acadia Healthcare Co., Inc.:
5.63%, 02/15/23			758		769,924
5.50%, 07/01/28^(b)			1,251		1,318,241
AdaptHealth LLC, 6.13%, 08/01/28^(b)			1,264		1,317,278
Aetna, Inc., 4.75%, 03/15/44			850		1,067,215
AHP Health Partners, Inc., 9.75%, 07/15/26^(b)			2,829		3,005,812
Anthem, Inc.:
3.30%, 01/15/23			1,900		2,025,596
2.38%, 01/15/25			505		540,153
4.65%, 01/15/43			650		864,403
3.70%, 09/15/49			1,050		1,270,348
3.13%, 05/15/50			410		454,037
Centene Corp.:
4.75%, 05/15/22			775		788,346
4.75%, 01/15/25			770		797,966
5.25%, 04/01/25^(b)			2,280		2,377,402


Security	Par (000)			Value

Health Care Providers & Services (continued)
5.38%, 06/01/26^(b)		USD	4,601	$	4,920,355
5.38%, 08/15/26^(b)			3,292		3,522,440
4.25%, 12/15/27			3,919		4,163,937
4.63%, 12/15/29			6,218		6,934,687
3.38%, 02/15/30			3,696		3,913,140
Cigna Corp.:
3.90%, 02/15/22			1,500		1,578,420
4.13%, 11/15/25			1,200		1,390,479
4.90%, 12/15/48			1,020		1,437,164
3.40%, 03/15/50			155		178,260
Community Health Systems, Inc.:
6.25%, 03/31/23			2,230		2,246,725
8.63%, 01/15/24^(b)			3,338		3,438,140
6.63%, 02/15/25^(b)			4,877		4,927,233
8.00%, 03/15/26^(b)			9,223		9,446,842
CVS Health Corp.:
3.50%, 07/20/22			2,370		2,497,886
2.63%, 08/15/24			700		752,722
4.10%, 03/25/25			3,305		3,756,755
4.30%, 03/25/28			3,600		4,276,799
4.78%, 03/25/38			1,261		1,620,096
5.13%, 07/20/45			700		952,210
5.05%, 03/25/48			950		1,308,616
DaVita, Inc., 4.63%, 06/01/30^(b)			1,100		1,171,500
Encompass Health Corp.:
5.75%, 11/01/24			428		432,280
4.50%, 02/01/28			220		229,900
4.75%, 02/01/30			285		301,137
HCA, Inc.:
5.88%, 05/01/23			300		329,250
5.38%, 02/01/25			3,820		4,307,050
5.88%, 02/15/26			1,000		1,170,300
5.38%, 09/01/26			4,910		5,609,675
5.63%, 09/01/28			2,414		2,878,695
5.88%, 02/01/29			6,509		7,924,708
4.13%, 06/15/29			225		263,352
3.50%, 09/01/30			8,985		9,443,361
5.50%, 06/15/47			1,475		1,984,722
5.25%, 06/15/49			138		182,740
Laboratory Corp. of America Holdings, 4.63%, 11/15/20			310		309,938
LifePoint Health, Inc.^(b):
6.75%, 04/15/25			1,540		1,659,350
4.38%, 02/15/27			1,962		2,004,987
MEDNAX, Inc.^(b):
5.25%, 12/01/23			1,407		1,424,587
6.25%, 01/15/27			1,507		1,593,653
Molina Healthcare, Inc.:
5.38%, 11/15/22^(e)			1,545		1,622,250
4.88%, 06/15/25^(b)			1,573		1,608,393
4.38%, 06/15/28^(b)			2,244		2,384,317
Phoenix PIB Dutch Finance BV, 2.38%, 08/05/25		EUR	400		474,153
Polaris Intermediate Corp., 8.50%, (8.50% Cash or 9.25% PIK), 12/01/22^(b)(k)		USD	2,852		2,901,739
Select Medical Corp., 6.25%, 08/15/26^(b)			1,830		1,971,825
Surgery Center Holdings, Inc.^(b):
6.75%, 07/01/25			4,077		3,944,498
10.00%, 04/15/27			1,671		1,771,761
Synlab Bondco plc, (EURIBOR 3 Month + 4.75%), 4.75%, 07/01/25^(a)		EUR	1,440		1,708,580
Synlab Unsecured Bondco plc, 8.25%, 07/01/23			682		821,679
Team Health Holdings, Inc., 6.38%, 02/01/25^(b)		USD	432		250,560
Tenet Healthcare Corp.:
8.13%, 04/01/22			4,425		4,767,938
4.63%, 07/15/24			1,132		1,151,810


Security	Par (000)			Value

Health Care Providers & Services (continued)
4.63%, 09/01/24^(b)		USD	4,062	$	4,153,395
7.50%, 04/01/25^(b)			1,589		1,757,831
5.13%, 05/01/25			990		1,018,433
4.88%, 01/01/26^(b)			3,316		3,468,403
6.25%, 02/01/27^(b)			3,296		3,501,044
5.13%, 11/01/27^(b)			5,125		5,438,906
4.63%, 06/15/28^(b)			876		921,289
UnitedHealth Group, Inc.:
2.38%, 08/15/24			800		858,679
3.50%, 08/15/39			775		950,330
2.75%, 05/15/40			345		386,862
4.75%, 07/15/45			700		1,004,259
4.25%, 06/15/48			1,150		1,571,055
4.45%, 12/15/48			825		1,158,109
Vizient, Inc., 6.25%, 05/15/27^(b)			2,319		2,469,735

					177,118,645

Health Care Technology — 0.1%
IQVIA, Inc.^(b):
5.00%, 10/15/26			1,657		1,748,102
5.00%, 05/15/27			6,684		7,133,081

					8,881,183

Hotels, Restaurants & Leisure — 1.2%
1011778 BC ULC^(b):
4.25%, 05/15/24			1,535		1,565,700
5.75%, 04/15/25			2,567		2,746,408
5.00%, 10/15/25			8,673		8,868,142
3.88%, 01/15/28			3,660		3,805,265
4.38%, 01/15/28			1,674		1,741,178
Boyd Gaming Corp.:
8.63%, 06/01/25^(b)			991		1,092,459
6.38%, 04/01/26			1,477		1,510,232
Boyne USA, Inc., 7.25%, 05/01/25^(b)			657		702,169
Burger King France SAS, 6.00%, 05/01/24		EUR	500		594,827
Carnival Corp.:
1.88%, 11/07/22			200		180,226
11.50%, 04/01/23^(b)		USD	2,990		3,251,625
10.13%, 02/01/26		EUR	704		832,967
10.50%, 02/01/26^(b)		USD	771		797,985
Cedar Fair LP:
5.50%, 05/01/25^(b)			4,124		4,211,635
5.38%, 04/15/27			380		366,700
Churchill Downs, Inc.^(b):
5.50%, 04/01/27			7,371		7,711,909
4.75%, 01/15/28			3,221		3,285,420
Cirsa Finance International SARL:
7.88%, 12/20/23^(b)			1,417		1,310,725
4.75%, 05/22/25		EUR	1,133		1,172,867
Codere Finance 2 Luxembourg SA^(f)(i):
6.75%, 11/01/21			700		500,905
7.63%, 11/01/21^(b)		USD	500		307,960
Codere Finance 2 Luxembourg SA (Acquired 07/24/20, cost $293,982), 12.75%, 09/30/23⁽ⁿ⁾		EUR	289		340,444
Colt Merger Sub, Inc.^(b):
5.75%, 07/01/25		USD	3,019		3,139,760
6.25%, 07/01/25			11,062		11,539,049
8.13%, 07/01/27			5,400		5,501,250
CPUK Finance Ltd.:
4.25%, 08/28/22		GBP	300		382,171
4.88%, 08/28/25			119		144,871
Diamond Resorts International, Inc., 7.75%, 09/01/23^(b)		USD	300		291,000
Fortune Star BVI Ltd.:
6.88%, 01/31/21			945		952,087
5.95%, 01/29/23			630		633,741


Security	Par (000)			Value

Hotels, Restaurants & Leisure (continued)
6.75%, 07/02/23		USD	10,490	$	10,752,250
Gamma Bidco SpA, 6.25%, 07/15/25		EUR	1,039		1,219,300
Golden Nugget, Inc., 6.75%, 10/15/24^(b)		USD	5,941		4,114,142
Greene King Finance plc, Series B2, (LIBOR GBP 3 Month + 2.08%), 2.27%, 03/15/36^(a)		GBP	100		98,230
Hilton Domestic Operating Co., Inc.:
4.25%, 09/01/24		USD	2,262		2,284,620
5.38%, 05/01/25^(b)			1,228		1,283,874
5.13%, 05/01/26			3,220		3,332,700
5.75%, 05/01/28^(b)			1,614		1,722,945
4.88%, 01/15/30			4,683		4,905,442
Hilton Worldwide Finance LLC:
4.63%, 04/01/25			1,373		1,395,312
4.88%, 04/01/27			1,175		1,220,531
International Game Technology plc:
3.50%, 07/15/24		EUR	800		918,692
6.50%, 02/15/25^(b)		USD	1,000		1,077,500
5.25%, 01/15/29^(b)			560		572,202
IRB Holding Corp., 7.00%, 06/15/25^(b)			490		534,012
Jacobs Entertainment, Inc., 7.88%, 02/01/24^(b)			40		36,300
KFC Holding Co.^(b):
5.00%, 06/01/24			1,000		1,024,300
4.75%, 06/01/27			525		561,173
Las Vegas Sands Corp.:
2.90%, 06/25/25			120		118,312
3.50%, 08/18/26			351		352,120
3.90%, 08/08/29			322		322,315
Marriott Ownership Resorts, Inc.:
6.13%, 09/15/25^(b)			620		661,416
6.50%, 09/15/26			248		254,200
4.75%, 01/15/28^(b)			325		302,250
McDonald’s Corp.:
3.35%, 04/01/23			840		901,490
1.45%, 09/01/25			340		353,196
4.88%, 12/09/45			900		1,237,449
4.45%, 09/01/48			425		561,154
Melco Resorts Finance Ltd.:
5.25%, 04/26/26			4,518		4,580,122
5.63%, 07/17/27			630		641,025
5.38%, 12/04/29			431		429,384
Merlin Entertainments Ltd., 5.75%, 06/15/26^(b)			200		190,000
MGM China Holdings Ltd.:
5.25%, 06/18/25			440		448,800
5.88%, 05/15/26			2,264		2,377,200
MGM Resorts International:
7.75%, 03/15/22			4,032		4,289,040
6.00%, 03/15/23			5,725		5,982,625
5.75%, 06/15/25			261		269,483
4.63%, 09/01/26			261		252,632
NCL Corp. Ltd., 10.25%, 02/01/26^(b)			701		692,238
NH Hotel Group SA, 3.75%, 10/01/23		EUR	463		485,734
Powdr Corp., 6.00%, 08/01/25^(b)		USD	1,090		1,114,525
Royal Caribbean Cruises Ltd.^(b):
10.88%, 06/01/23			935		985,593
9.13%, 06/15/23			1,114		1,139,065
11.50%, 06/01/25			2,150		2,369,242
Sabre GLBL, Inc.^(b):
5.38%, 04/15/23			430		421,938
5.25%, 11/15/23			545		534,781
Scientific Games International, Inc.:
8.63%, 07/01/25^(b)			1,982		1,991,830
5.00%, 10/15/25^(b)			2,379		2,358,184
3.38%, 02/15/26		EUR	200		218,345
8.25%, 03/15/26^(b)		USD	2,944		2,948,681
7.00%, 05/15/28^(b)			1,055		970,600
7.25%, 11/15/29^(b)			475		434,625


Security	Par (000)			Value

Hotels, Restaurants & Leisure (continued)
SeaWorld Parks & Entertainment, Inc., 9.50%, 08/01/25^(b)		USD	979	$	992,461
Sisal Group SpA, 7.00%, 07/31/23		EUR	935		1,115,902
Six Flags Entertainment Corp., 4.88%, 07/31/24^(b)		USD	695		660,042
Six Flags Theme Parks, Inc., 7.00%, 07/01/25^(b)			5,168		5,546,866
Starbucks Corp., 3.10%, 03/01/23			845		899,417
Stars Group Holdings BV, 7.00%, 07/15/26^(b)			500		539,750
Stonegate Pub Co. Financing plc:
8.00%, 07/13/25		GBP	611		746,364
8.25%, 07/31/25			1,300		1,633,632
Studio City Co. Ltd.:
7.25%, 11/30/21^(b)		USD	550		558,938
7.25%, 11/30/21			1,700		1,727,625
Studio City Finance Ltd., 7.25%, 02/11/24			3,360		3,536,400
Vail Resorts, Inc., 6.25%, 05/15/25^(b)			954		1,027,935
VOC Escrow Ltd., 5.00%, 02/15/28^(b)			600		489,000
William Hill plc, 4.75%, 05/01/26		GBP	200		259,359
Wyndham Destinations, Inc.:
6.63%, 07/31/26^(b)		USD	1,041		1,079,600
5.75%, 04/01/27^(e)			500		495,000
4.63%, 03/01/30^(b)			134		123,280
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26^(b)			225		229,500
Wynn Las Vegas LLC^(b):
4.25%, 05/30/23			300		280,881
5.50%, 03/01/25			800		752,000
5.25%, 05/15/27			3,068		2,732,207
Wynn Macau Ltd.:
4.88%, 10/01/24			630		624,881
5.50%, 01/15/26			2,270		2,263,985
5.50%, 10/01/27			2,279		2,263,332
Wynn Resorts Finance LLC^(b):
7.75%, 04/15/25			1,605		1,685,892
5.13%, 10/01/29			2,922		2,797,815
Yum! Brands, Inc.:
7.75%, 04/01/25^(b)			4,512		5,064,720
4.75%, 01/15/30^(b)			5,135		5,571,475
5.35%, 11/01/43			48		49,920

					193,472,975

Household Durables — 0.4%
Beazer Homes USA, Inc.:
5.88%, 10/15/27			1,200		1,204,788
7.25%, 10/15/29			660		709,658
Brookfield Residential Properties, Inc.^(b):
6.25%, 09/15/27			3,825		3,825,000
4.88%, 02/15/30			2,684		2,435,730
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25^(b)			1,429		1,529,030
Century Communities, Inc., 5.88%, 07/15/25			500		514,540
DR Horton, Inc., 2.55%, 12/01/20			600		604,098
K. Hovnanian Enterprises, Inc., 7.75%, 02/15/26^(b)			2,464		2,414,720
KB Home:
6.88%, 06/15/27			1,225		1,384,250
4.80%, 11/15/29			1,085		1,128,400
Lennar Corp.:
8.38%, 01/15/21			1,156		1,190,680
6.25%, 12/15/21			2,060		2,139,763
4.13%, 01/15/22			425		435,094
4.75%, 11/15/22^(e)			450		474,750
4.88%, 12/15/23			2,383		2,568,183
4.75%, 05/30/25			532		585,200
5.25%, 06/01/26			2,707		3,031,840
4.75%, 11/29/27			1,755		2,005,087
M/I Homes, Inc., 4.95%, 02/01/28			685		703,838


Security	Par (000)			Value

Household Durables (continued)
Mattamy Group Corp.^(b):
5.25%, 12/15/27		USD	520	$	539,500
4.63%, 03/01/30			2,361		2,396,415
MDC Holdings, Inc., 6.00%, 01/15/43			750		862,500
Meritage Homes Corp., 5.13%, 06/06/27			1,995		2,134,650
Newell Brands, Inc., 4.88%, 06/01/25			879		955,913
Picasso Finance Sub, Inc., 6.13%, 06/15/25^(b)			3,390		3,601,875
PulteGroup, Inc.:
5.50%, 03/01/26			1,485		1,715,606
5.00%, 01/15/27			2,005		2,298,933
7.88%, 06/15/32			135		179,550
6.38%, 05/15/33			3,229		4,034,474
Shea Homes LP, 4.75%, 02/15/28^(b)			1,085		1,138,328
Taylor Morrison Communities, Inc.^(b):
5.88%, 06/15/27			300		331,500
5.75%, 01/15/28			315		353,654
5.13%, 08/01/30			917		1,001,822
Tempur Sealy International, Inc., 5.50%, 06/15/26			500		523,750
Toll Brothers Finance Corp., 4.35%, 02/15/28			80		86,600
TopBuild Corp., 5.63%, 05/01/26^(b)			400		414,000
TRI Pointe Group, Inc.:
5.88%, 06/15/24			1,665		1,794,387
5.25%, 06/01/27			2,600		2,730,000
5.70%, 06/15/28			548		602,800
Williams Scotsman International, Inc., 6.88%, 08/15/23^(b)			4,064		4,196,933

					60,777,839

Household Products — 0.0%^(b)
Energizer Holdings, Inc.:
6.38%, 07/15/26			1,339		1,426,035
7.75%, 01/15/27			1,016		1,127,963
4.75%, 06/15/28			1,892		2,029,359
Kimberly-Clark de Mexico SAB de CV, 2.43%, 07/01/31			1,630		1,658,525
Spectrum Brands, Inc.:
5.00%, 10/01/29			340		350,200
5.50%, 07/15/30			946		981,475

					7,573,557

Independent Power and Renewable Electricity Producers — 0.3%
AES Corp.:
6.00%, 05/15/26			295		311,963
5.13%, 09/01/27			360		389,905
Calpine Corp.:
5.50%, 02/01/24			100		101,540
5.75%, 01/15/25			2,346		2,414,034
5.25%, 06/01/26^(b)			7,225		7,514,000
4.50%, 02/15/28^(b)			5,143		5,310,147
5.13%, 03/15/28^(b)			10,985		11,426,267
4.63%, 02/01/29^(b)			2,920		2,949,142
5.00%, 02/01/31^(b)			3,145		3,223,248
Clearway Energy Operating LLC:
5.75%, 10/15/25			1,615		1,724,012
4.75%, 03/15/28^(b)			4,113		4,395,769
Exelon Generation Co. LLC, 3.40%, 03/15/22			1,400		1,455,853
InterGen NV, 7.00%, 06/30/23^(b)			500		486,250
Listrindo Capital BV, 4.95%, 09/14/26^(b)			630		649,491
Talen Energy Supply LLC^(b):
10.50%, 01/15/26			440		340,956
7.25%, 05/15/27			150		156,000
6.63%, 01/15/28			680		682,808

					43,531,385

Industrial Conglomerates — 0.1%
General Electric Co.:
4.38%, 09/16/20			500		502,339


Security	Par (000)			Value

Industrial Conglomerates (continued)
3.15%, 09/07/22		USD	500	$	522,201
5.88%, 01/14/38			650		773,187
6.88%, 01/10/39			225		292,210
4.25%, 05/01/40			3,018		3,091,024
4.35%, 05/01/50			2,881		2,987,975
Honeywell International, Inc.:
2.30%, 08/15/24			190		203,662
2.70%, 08/15/29			725		828,330
1.95%, 06/01/30			300		321,782
Roper Technologies, Inc., 3.65%, 09/15/23			350		382,562

					9,905,272

Insurance — 0.4%
Achmea BV, (EURIBOR Swap Rate 5 Year + 4.78%), 4.62%^(a)(m)		EUR	300		340,168
Acrisure LLC, 8.13%, 02/15/24^(b)		USD	945		1,004,062
Alliant Holdings Intermediate LLC, 6.75%, 10/15/27^(b)			8,185		8,696,563
AmWINS Group, Inc., 7.75%, 07/01/26^(b)			190		209,238
Aon Corp., 3.75%, 05/02/29			550		645,102
Aon plc, 4.60%, 06/14/44			775		1,036,751
Ardonagh Midco 2 plc, 11.50%, 01/15/27^(b)			500		487,500
Asahi Mutual Life Insurance Co., (USD Swap Semi 5 Year + 4.59%), 6.50%^(a)(m)			4,260		4,584,978
Assicurazioni Generali SpA^(a):
(EURIBOR 3 Month + 4.50%), 4.60%^(m)		EUR	500		632,412
(EURIBOR 3 Month + 5.35%), 5.50%, 10/27/47			3,570		4,921,238
(EURIBOR 3 Month + 5.35%), 5.00%, 06/08/48			200		269,750
ELM BV for Swiss Re Ltd., 3.25%, 06/13/24^(j)		USD	400		415,156
Fidelity & Guaranty Life Holdings, Inc., 5.50%, 05/01/25^(b)			640		699,309
FWD Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.08%), 5.50%^(a)(m)			760		703,380
Galaxy Bidco Ltd., 6.50%, 07/31/26		GBP	567		753,633
Genworth Holdings, Inc., 7.63%, 09/24/21		USD	550		551,375
GTCR AP Finance, Inc., 8.00%, 05/15/27^(b)			2,239		2,362,145
Hartford Financial Services Group, Inc. (The), (LIBOR USD 3 Month + 2.13%), 2.52%, 02/12/47^(a)(b)			13,425		10,740,000
Heungkuk Life Insurance Co. Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%^(a)(m)			1,721		1,690,883
HUB International Ltd., 7.00%, 05/01/26^(b)			7,254		7,711,002
KDB Life Insurance Co. Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.66%), 7.50%^(a)(m)			3,000		2,853,750
Legal & General Group plc, (U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.38%), 5.62%^(a)(m)		GBP	2,875		3,785,353
Marsh & McLennan Cos., Inc.:
2.75%, 01/30/22		USD	3,800		3,923,285
3.88%, 03/15/24			1,200		1,334,422
4.38%, 03/15/29			1,390		1,724,682
Nationwide Financial Services, Inc., 6.75%, 05/15/37			900		1,035,333
NFP Corp., 6.88%, 08/15/28^(b)			3,718		3,722,648
Prudential Financial, Inc., 4.35%, 02/25/50			825		1,073,549
QBE Insurance Group Ltd., (USD Swap Rate 10 Year + 4.40%), 5.87%, 06/17/46^(a)			677		723,584
Societa Cattolica di Assicurazioni SC, (EURIBOR 3 Month + 4.46%), 4.25%, 12/14/47^(a)		EUR	400		468,824
Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47^(b)		USD	1,075		1,366,050


Security	Par (000)			Value

Insurance (continued)
Travelers Cos., Inc. (The), 2.55%, 04/27/50		USD	160	$	171,441
Union Life Insurance Co. Ltd., 3.00%, 09/19/21			708		649,811
Willis North America, Inc., 2.95%, 09/15/29			120		131,637

					71,419,014

Interactive Media & Services — 0.1%
Baidu, Inc., 2.88%, 07/06/22			750		772,031
Rackspace Hosting, Inc., 8.63%, 11/15/24^(b)			2,722		2,844,490
Tencent Holdings Ltd., 2.39%, 06/03/30^(b)			4,967		5,188,230
TripAdvisor, Inc., 7.00%, 07/15/25^(b)			125		130,819
Twitter, Inc., 3.88%, 12/15/27^(b)			964		1,031,316

					9,966,886

Internet & Direct Marketing Retail — 0.4%
Alibaba Group Holding Ltd., 2.80%, 06/06/23			775		815,935
Amazon.com, Inc.:
3.15%, 08/22/27			1,525		1,763,165
3.88%, 08/22/37			1,075		1,396,095
2.50%, 06/03/50			815		888,760
2.70%, 06/03/60			480		531,187
Booking Holdings, Inc.:
4.10%, 04/13/25			522		594,071
4.50%, 04/13/27			5,124		6,050,432
4.63%, 04/13/30			18,532		22,573,838
eBay, Inc., 2.75%, 01/30/23			870		916,563
Expedia Group, Inc.^(b):
3.60%, 12/15/23			715		723,393
6.25%, 05/01/25			11,124		12,157,560
4.63%, 08/01/27			1,355		1,393,435
Go Daddy Operating Co. LLC, 5.25%, 12/01/27^(b)			1,328		1,415,980
GrubHub Holdings, Inc., 5.50%, 07/01/27^(b)			1,200		1,252,500
Match Group Holdings II LLC^(b):
4.63%, 06/01/28			2,897		3,059,116
5.63%, 02/15/29			1,965		2,132,025
4.13%, 08/01/30			2,845		2,930,350
QVC, Inc.:
4.38%, 03/15/23			200		208,480
4.85%, 04/01/24			200		210,430
4.45%, 02/15/25			1,000		1,029,120
4.75%, 02/15/27			1,000		1,025,000
Very Group Funding plc (The), 7.75%, 11/15/22		GBP	300		360,651

					63,428,086

IT Services — 0.4%
21Vianet Group, Inc., 7.88%, 10/15/21		USD	4,555		4,623,325
Banff Merger Sub, Inc.:
8.38%, 09/01/26		EUR	720		861,474
9.75%, 09/01/26^(b)		USD	9,056		9,584,689
Booz Allen Hamilton, Inc., 5.13%, 05/01/25^(b)			2,037		2,082,832
Cogent Communications Group, Inc., 5.38%, 03/01/22^(b)			675		703,688
Fidelity National Information Services, Inc., 3.00%, 08/15/26			900		1,008,801
Fiserv, Inc.:
4.75%, 06/15/21			1,000		1,037,325
3.80%, 10/01/23			700		769,117
2.75%, 07/01/24			860		929,054
3.50%, 07/01/29			410		474,492
2.65%, 06/01/30			2,100		2,290,141
4.40%, 07/01/49			225		302,094
Gartner, Inc.^(b):
5.13%, 04/01/25			565		584,091
4.50%, 07/01/28			2,656		2,788,800
Global Payments, Inc.:
3.80%, 04/01/21			165		168,159
3.75%, 06/01/23			475		511,506
3.20%, 08/15/29			1,850		2,062,648


Security	Par (000)			Value

IT Services (continued)
4.15%, 08/15/49		USD	475	$	592,586
HT Global IT Solutions Holdings Ltd., 7.00%, 07/14/21			485		488,789
International Business Machines Corp.:
3.00%, 05/15/24			1,250		1,362,701
3.50%, 05/15/29			1,175		1,381,775
4.00%, 06/20/42			525		663,175
4.25%, 05/15/49			2,325		3,067,083
2.95%, 05/15/50			130		142,956
Mastercard, Inc., 3.85%, 03/26/50			300		399,748
PayPal Holdings, Inc.:
2.20%, 09/26/22			1,785		1,852,494
1.65%, 06/01/25			455		474,859
3.25%, 06/01/50			805		969,270
Presidio Holdings, Inc., 4.88%, 02/01/27^(b)			2,077		2,118,540
Science Applications International Corp., 4.88%, 04/01/28^(b)			2,440		2,555,900
Tempo Acquisition LLC^(b):
5.75%, 06/01/25			1,215		1,278,788
6.75%, 06/01/25			5,632		5,815,040
United Group BV:
4.88%, 07/01/24		EUR	866		1,041,221
(EURIBOR 3 Month + 3.25%), 3.25%, 02/15/26^(a)			487		552,404
3.63%, 02/15/28			830		936,762
VeriSign, Inc.:
4.63%, 05/01/23		USD	500		506,590
5.25%, 04/01/25			350		399,000
4.75%, 07/15/27			2,690		2,920,748
Visa, Inc., 3.65%, 09/15/47			350		462,476
WEX, Inc., 4.75%, 02/01/23^(b)			1,901		1,905,753
Worldline SA, 0.00%, 07/30/25^(j)(o)		EUR	851		1,253,008

					63,923,902

Leisure Products — 0.0%
Mattel, Inc.:
6.75%, 12/31/25^(b)		USD	2,777		2,974,361
5.88%, 12/15/27^(b)			3,488		3,785,143
6.20%, 10/01/40			134		123,950
5.45%, 11/01/41			613		548,635

					7,432,089

Life Sciences Tools & Services — 0.1%
Avantor, Inc., 6.00%, 10/01/24^(b)			9,760		10,272,400
Charles River Laboratories International, Inc.^(b):
5.50%, 04/01/26			2,826		2,984,962
4.25%, 05/01/28			2,053		2,171,048
Thermo Fisher Scientific, Inc., 2.60%, 10/01/29			700		772,473

					16,200,883

Machinery — 0.3%
Amsted Industries, Inc., 5.63%, 07/01/27^(b)			360		379,800
Colfax Corp.^(b):
6.00%, 02/15/24			450		473,625
6.38%, 02/15/26			2,457		2,653,560
Deere & Co., 3.75%, 04/15/50			325		423,332
EnPro Industries, Inc., 5.75%, 10/15/26			559		578,565
Grinding Media, Inc., 7.38%, 12/15/23^(b)			3,167		3,218,464
Husky III Holding Ltd., 13.00%, (13.00% Cash or 13.75% PIK), 02/15/25^(b)(k)			1,968		1,977,840
Mueller Water Products, Inc., 5.50%, 06/15/26^(b)			1,329		1,396,354
Navistar International Corp.^(b):
9.50%, 05/01/25			975		1,112,719
6.63%, 11/01/25			3,340		3,423,500
Novafives SAS, 5.00%, 06/15/25		EUR	787		673,268
Otis Worldwide Corp.^(b):
2.06%, 04/05/25		USD	230		243,621
2.57%, 02/15/30			625		677,742


Security	Par (000)			Value

Machinery (continued)
3.36%, 02/15/50		USD	110	$	127,651
Platin 1426 GmbH, 5.38%, 06/15/23		EUR	288		322,406
RBS Global, Inc., 4.88%, 12/15/25^(b)		USD	4,376		4,496,427
Rebecca Bidco GmbH, 5.75%, 07/15/25		EUR	903		1,073,209
SPX FLOW, Inc., 5.63%, 08/15/24^(b)		USD	1,551		1,595,514
Stevens Holding Co., Inc., 6.13%, 10/01/26^(b)			818		875,260
Terex Corp., 5.63%, 02/01/25^(b)			2,326		2,358,285
Titan Acquisition Ltd., 7.75%, 04/15/26^(b)			3,493		3,449,337
Vertical Holdco GmbH, 7.63%, 07/15/28^(b)			665		706,562
Vertical Midco GmbH:
4.38%, 07/15/27		EUR	748		885,389
(EURIBOR 3 Month + 4.75%), 4.75%, 07/15/27^(a)			1,034		1,215,552
Vertical US Newco, Inc., 5.25%, 07/15/27^(b)		USD	5,765		6,110,900
Xylem, Inc., 4.88%, 10/01/21			735		771,559

					41,220,441

Marine — 0.0%
CMA CGM SA, 6.50%, 07/15/22		EUR	500		557,371


Media — 1.5%
Altice Financing SA:
2.25%, 01/15/25			1,003		1,129,558
7.50%, 05/15/26^(b)		USD	11,343		12,196,561
3.00%, 01/15/28		EUR	676		748,421
5.00%, 01/15/28^(b)		USD	3,532		3,625,774
Altice Finco SA, 4.75%, 01/15/28		EUR	800		874,978
AMC Networks, Inc.:
4.75%, 12/15/22		USD	333		335,914
5.00%, 04/01/24			670		680,887
4.75%, 08/01/25			1,561		1,600,025
Block Communications, Inc., 4.88%, 03/01/28^(b)			1,221		1,233,210
Cable Onda SA, 4.50%, 01/30/30^(b)			2,000		2,097,438
Charter Communications Operating LLC:
4.46%, 07/23/22			2,670		2,844,821
4.50%, 02/01/24			655		727,140
4.91%, 07/23/25			2,950		3,425,270
6.38%, 10/23/35			2,300		3,169,741
6.48%, 10/23/45			1,850		2,582,505
5.13%, 07/01/49			875		1,073,448
Clear Channel International BV, 6.63%, 08/01/25^(b)			2,352		2,404,920
Clear Channel Worldwide Holdings, Inc.:
9.25%, 02/15/24			3,536		3,182,400
5.13%, 08/15/27^(b)			9,498		9,308,040
Comcast Corp.:
3.70%, 04/15/24			1,450		1,614,115
3.15%, 03/01/26			2,725		3,075,481
4.15%, 10/15/28			3,000		3,687,347
2.65%, 02/01/30			1,725		1,909,916
4.60%, 10/15/38			2,050		2,773,071
4.70%, 10/15/48			1,700		2,436,501
4.00%, 11/01/49			875		1,135,893
2.80%, 01/15/51			555		600,807
4.95%, 10/15/58			550		844,679
CSC Holdings LLC:
5.88%, 09/15/22			450		484,740
5.25%, 06/01/24			4,991		5,490,100
6.63%, 10/15/25^(b)			2,037		2,128,665
10.88%, 10/15/25^(b)			3,124		3,349,240
5.50%, 05/15/26^(b)			1,425		1,494,469
5.50%, 04/15/27^(b)			970		1,040,325
5.38%, 02/01/28^(b)			4,003		4,333,247
6.50%, 02/01/29^(b)			7,172		8,211,940
5.75%, 01/15/30^(b)			2,907		3,222,555
4.13%, 12/01/30^(b)			4,132		4,364,508
4.63%, 12/01/30^(b)			2,399		2,518,950


Security	Par (000)			Value

Media (continued)
Diamond Sports Group LLC^(b):
5.38%, 08/15/26		USD	4,061	$	3,127,254
6.63%, 08/15/27			730		399,675
Discovery Communications LLC:
4.90%, 03/11/26			600		703,417
5.00%, 09/20/37			675		827,621
5.20%, 09/20/47			150		191,427
DISH DBS Corp.:
6.75%, 06/01/21			1,476		1,527,660
5.88%, 07/15/22			16,283		17,137,857
5.00%, 03/15/23			230		239,789
5.88%, 11/15/24			2,300		2,398,210
7.75%, 07/01/26			8,156		9,196,706
7.38%, 07/01/28^(b)			395		418,092
Dolya Holdco 18 DAC, 5.00%, 07/15/28^(b)			4,434		4,627,588
Entercom Media Corp., 6.50%, 05/01/27^(b)			508		453,390
EW Scripps Co. (The), 5.13%, 05/15/25^(b)			700		687,750
Fox Corp.:
3.67%, 01/25/22			65		68,097
3.05%, 04/07/25			575		631,421
5.58%, 01/25/49			325		474,885
GCI LLC, 6.88%, 04/15/25			300		310,875
Gray Television, Inc.^(b):
5.13%, 10/15/24			325		333,869
7.00%, 05/15/27			505		551,713
Grupo Televisa SAB, 5.25%, 05/24/49			700		849,100
Interpublic Group of Cos., Inc. (The):
3.75%, 10/01/21			455		471,824
5.40%, 10/01/48			200		244,534
Lamar Media Corp.:
5.00%, 05/01/23			335		338,350
4.88%, 01/15/29^(b)			458		479,755
4.00%, 02/15/30^(b)			958		967,580
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27^(b)			3,313		3,579,696
Liberty Interactive LLC, 8.25%, 02/01/30			400		421,840
MDC Partners, Inc., 6.50%, 05/01/24^(b)			1,010		956,975
Meredith Corp., 6.88%, 02/01/26			761		661,081
Midcontinent Communications, 5.38%, 08/15/27^(b)			554		575,118
National CineMedia LLC, 5.88%, 04/15/28^(b)			850		677,875
Nexstar Broadcasting, Inc.^(b):
5.63%, 08/01/24			670		688,425
5.63%, 07/15/27			700		749,210
Outfront Media Capital LLC:
5.63%, 02/15/24			300		303,000
5.00%, 08/15/27^(b)			3,636		3,560,080
Quebecor Media, Inc., 5.75%, 01/15/23			3,380		3,685,214
Radiate Holdco LLC, 6.63%, 02/15/25^(b)			2,097		2,149,656
SES SA:
(EUR Swap Annual 5 Year + 4.66%), 4.62%^(a)(m)		EUR	100		119,856
(EUR Swap Annual 5 Year + 5.40%), 5.62%^(a)(m)			1,015		1,278,280
5.30%, 04/04/43^(b)		USD	300		306,013
Sinclair Television Group, Inc., 5.63%, 08/01/24^(b)			325		328,656
Sirius XM Radio, Inc.^(b):
5.00%, 08/01/27			2,581		2,750,881
5.50%, 07/01/29			8,769		9,766,474
4.13%, 07/01/30			3,700		3,904,610
Summer BC Holdco A SARL, 9.25%, 10/31/27		EUR	901		941,398
Summer BC Holdco B SARL, 5.75%, 10/31/26			2,600		2,945,707
Summer BidCo BV^(k):
9.00%, (9.00% Cash or 9.75% PIK), 11/15/25			547		633,371


Security	Par (000)			Value

Media (continued)
9.00%, (9.00% Cash or 9.75% PIK), 11/15/25^(l)		EUR	754	$	871,972
TEGNA, Inc.^(b):
5.50%, 09/15/24		USD	175		179,076
4.63%, 03/15/28			750		740,250
5.00%, 09/15/29			250		252,030
Tele Columbus AG, 3.88%, 05/02/25		EUR	1,100		1,225,930
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28^(b)		USD	3,600		3,780,000
Time Warner Cable LLC:
4.13%, 02/15/21			1,000		1,009,711
4.00%, 09/01/21			850		872,097
Univision Communications, Inc.^(b):
5.13%, 02/15/25			4,563		4,426,110
6.63%, 06/01/27			3,425		3,434,590
UPC Holding BV, 5.50%, 01/15/28^(b)			400		406,000
UPCB Finance VII Ltd., 3.63%, 06/15/29		EUR	590		687,629
ViacomCBS, Inc.:
3.88%, 04/01/24		USD	905		989,996
(LIBOR USD 3 Month + 3.90%), 5.87%, 02/28/57^(a)			7,320		7,640,744
(LIBOR USD 3 Month + 3.90%), 6.25%, 02/28/57^(a)			7,351		8,159,610
Videotron Ltd.:
5.00%, 07/15/22			450		471,375
5.38%, 06/15/24^(b)			400		434,000
5.13%, 04/15/27^(b)			569		601,718
Virgin Media Vendor Financing Notes III DAC, 4.88%, 07/15/28		GBP	567		751,815
VZ Vendor Financing BV, 2.50%, 01/31/24		EUR	1,281		1,486,320
Ziggo Bond Co. BV^(b):
6.00%, 01/15/27		USD	783		829,980
5.13%, 02/28/30			1,841		1,961,217
Ziggo BV:
4.25%, 01/15/27		EUR	783		956,922
5.50%, 01/15/27^(b)		USD	4,942		5,213,810
4.88%, 01/15/30^(b)			1,610		1,711,108

					245,693,465

Metals & Mining — 0.8%
ABJA Investment Co. Pte. Ltd.:
5.95%, 07/31/24			1,260		1,284,019
5.45%, 01/24/28			630		602,185
Alcoa Nederland Holding BV^(b):
6.75%, 09/30/24			500		521,305
7.00%, 09/30/26			450		481,500
Allegheny Technologies, Inc.:
7.88%, 08/15/23^(e)			1,575		1,658,270
5.88%, 12/01/27			25		23,688
Anglo American Capital plc^(b):
4.13%, 04/15/21			204		207,654
5.63%, 04/01/30			9,764		12,238,297
ArcelorMittal SA:
3.60%, 07/16/24			600		627,509
1.75%, 11/19/25		EUR	600		679,193
4.55%, 03/11/26		USD	1,950		2,117,180
Arconic Corp.^(b):
6.00%, 05/15/25			4,235		4,565,838
6.13%, 02/15/28			2,312		2,459,390
Barrick North America Finance LLC, 5.75%, 05/01/43			250		374,099
BHP Billiton Finance USA Ltd., 5.00%, 09/30/43			286		420,677
Big River Steel LLC, 7.25%, 09/01/25^(b)			2,404		2,426,550
China Hongqiao Group Ltd., 7.13%, 07/22/22			1,955		1,834,034
Commercial Metals Co.:
5.75%, 04/15/26			746		777,705
5.38%, 07/15/27			104		108,427


Security	Par (000)			Value

Metals & Mining (continued)
Constellium SE^(b):
5.75%, 05/15/24		USD	695	$	708,440
6.63%, 03/01/25			3,374		3,483,655
5.88%, 02/15/26			8,692		8,952,760
5.63%, 06/15/28			1,468		1,539,932
FMG Resources August 2006 Pty. Ltd.^(b):
4.75%, 05/15/22			555		580,991
5.13%, 03/15/23			360		379,800
5.13%, 05/15/24			545		581,788
4.50%, 09/15/27			595		647,419
Freeport-McMoRan, Inc.:
4.38%, 08/01/28			3,038		3,221,191
4.63%, 08/01/30			2,706		2,898,965
5.45%, 03/15/43			12,057		13,413,413
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24^(b)			4,309		4,690,077
Hudbay Minerals, Inc., 7.63%, 01/15/25^(b)			310		313,875
Industrias Penoles SAB de CV, 4.75%, 08/06/50^(b)			1,835		1,899,225
Joseph T Ryerson & Son, Inc.^(b):
11.00%, 05/15/22			396		408,395
8.50%, 08/01/28			1,128		1,228,674
JSW Steel Ltd., 5.95%, 04/18/24			630		630,591
Kaiser Aluminum Corp.^(b):
6.50%, 05/01/25			1,512		1,602,720
4.63%, 03/01/28			244		242,902
Mineral Resources Ltd., 8.13%, 05/01/27^(b)			615		678,812
New Gold, Inc., 7.50%, 07/15/27^(b)			1,892		2,057,550
Newmont Corp.:
3.70%, 03/15/23			220		232,149
2.80%, 10/01/29			235		258,352
5.45%, 06/09/44			300		423,426
Nexa Resources SA, 5.38%, 05/04/27^(b)			5,239		5,415,849
Novelis Corp.^(b):
5.88%, 09/30/26			4,012		4,280,443
4.75%, 01/30/30			6,765		7,057,721
Nucor Corp.:
2.00%, 06/01/25			285		300,243
5.20%, 08/01/43			75		101,864
Press Metal Labuan Ltd., 4.80%, 10/30/22			2,400		2,241,750
Southern Copper Corp., 5.88%, 04/23/45			300		420,444
Steel Dynamics, Inc., 2.40%, 06/15/25			95		99,749
SunCoke Energy Partners LP, 7.50%, 06/15/25^(b)			350		322,000
thyssenkrupp AG:
1.88%, 03/06/23		EUR	637		725,106
2.88%, 02/22/24			3,476		3,971,718
2.50%, 02/25/25			100		111,313
Vale Overseas Ltd.:
6.25%, 08/10/26		USD	367		440,170
3.75%, 07/08/30			3,891		4,176,872
Vedanta Resources Finance II plc:
8.00%, 04/23/23			1,574		1,113,113
9.25%, 04/23/26			1,574		1,101,308
Vedanta Resources Ltd.:
8.25%, 06/07/21			697		598,375
7.13%, 05/31/23			10,150		6,841,734

					123,802,394

Mortgage Real Estate Investment Trusts (REITs) — 0.0%
Starwood Property Trust, Inc.:
5.00%, 12/15/21			1,943		1,963,635
4.75%, 03/15/25			350		336,875

					2,300,510


Security	Par (000)			Value

Multiline Retail — 0.0%
B&M European Value Retail SA, 3.63%, 07/15/25		GBP	439	$	580,398
Future Retail Ltd., 5.60%, 01/22/25		USD	1,000		635,000
Golden Eagle Retail Group Ltd., 4.63%, 05/21/23^(b)			630		617,006
Macy’s, Inc., 8.38%, 06/15/25^(b)			3,144		3,283,656
Marks & Spencer plc, 4.50%, 07/10/27^(e)		GBP	1,200		1,549,996
Nordstrom, Inc., 8.75%, 05/15/25^(b)		USD	738		808,260

					7,474,316

Multi-Utilities — 0.2%
Berkshire Hathaway Energy Co., 3.75%, 11/15/23			825		908,412
CenterPoint Energy, Inc., 3.60%, 11/01/21			465		482,978
Consumers Energy Co., 3.25%, 08/15/46			875		1,047,878
Dominion Energy, Inc.:
2.72%, 08/15/21^(e)			365		372,702
Series B, 2.75%, 09/15/22			1,210		1,255,871
DTE Energy Co.:
Series B, 2.60%, 06/15/22			180		186,314
2.25%, 11/01/22			200		207,073
NiSource, Inc.:
3.60%, 05/01/30			400		470,250
3.95%, 03/30/48			800		995,249
Sempra Energy:
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%^(a)(m)			16,650		17,237,745
3.40%, 02/01/28			1,075		1,216,255
3.80%, 02/01/38			1,025		1,208,137
WEC Energy Group, Inc., 3.10%, 03/08/22			400		416,346

					26,005,210

Oil, Gas & Consumable Fuels — 3.5%
Adani Green Energy UP Ltd., 6.25%, 12/10/24			600		631,313
Aker BP ASA, 5.88%, 03/31/25^(b)			350		367,989
Antero Midstream Partners LP:
5.38%, 09/15/24			450		408,213
5.75%, 01/15/28^(b)			750		639,450
Antero Resources Corp.:
5.38%, 11/01/21			675		646,312
5.13%, 12/01/22			605		484,000
Apache Corp.:
3.25%, 04/15/22			86		86,469
4.38%, 10/15/28			1,650		1,647,938
5.10%, 09/01/40			1,325		1,285,250
5.25%, 02/01/42			330		314,737
4.75%, 04/15/43			4,090		3,895,725
4.25%, 01/15/44			1,752		1,568,425
5.35%, 07/01/49			736		710,225
Ascent Resources Utica Holdings LLC, 10.00%, 04/01/22^(b)			3,231		2,670,583
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24			630		637,875
Berry Petroleum Co. LLC, 7.00%, 02/15/26^(b)			825		660,000
Blue Racer Midstream LLC, 6.13%, 11/15/22^(b)			500		496,525
BP Capital Markets America, Inc.:
3.19%, 04/06/25			1,675		1,836,010
3.02%, 01/16/27			582		644,310
3.63%, 04/06/30			830		961,364
BP Capital Markets plc^(a)(m):
(EUR Swap Annual 5 Year + 3.88%), 3.25%		EUR	550		661,657
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 4.17%), 4.25%		GBP	500		676,458
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%		USD	11,025		11,824,313


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
Buckeye Partners LP:
4.13%, 03/01/25^(b)		USD	1,092	$	1,097,460
3.95%, 12/01/26			395		392,038
4.50%, 03/01/28^(b)			646		642,770
5.85%, 11/15/43			972		894,239
5.60%, 10/15/44			777		695,415
Callon Petroleum Co.:
6.25%, 04/15/23			4,268		1,387,100
6.13%, 10/01/24			176		54,120
8.25%, 07/15/25			652		195,600
6.38%, 07/01/26			1,217		377,270
Calumet Specialty Products Partners LP:
7.75%, 04/15/23			500		456,250
11.00%, 04/15/25^(b)			1,375		1,330,312
Cameron LNG LLC, 3.30%, 01/15/35^(b)			1,025		1,161,172
Canadian Natural Resources Ltd., 2.95%, 01/15/23			75		78,078
Cenovus Energy, Inc.:
3.00%, 08/15/22			516		521,125
3.80%, 09/15/23			293		293,774
5.38%, 07/15/25			3,928		3,928,675
4.25%, 04/15/27			1,100		1,045,685
6.75%, 11/15/39			1,100		1,147,706
5.40%, 06/15/47			215		193,589
Centennial Resource Production LLC, 6.88%, 04/01/27^(b)			844		381,910
Cheniere Corpus Christi Holdings LLC:
5.88%, 03/31/25			550		627,142
5.13%, 06/30/27			2,575		2,911,240
Cheniere Energy Partners LP:
5.25%, 10/01/25			110		112,750
5.63%, 10/01/26			4,020		4,246,125
4.50%, 10/01/29			2,341		2,476,310
Chevron Corp., 1.55%, 05/11/25			3,035		3,163,502
Cimarex Energy Co., 3.90%, 05/15/27			1,475		1,499,850
CITGO Petroleum Corp., 7.00%, 06/15/25^(b)			1,719		1,771,945
CNX Resources Corp.:
5.88%, 04/15/22			2,783		2,755,170
7.25%, 03/14/27^(b)			2,173		2,129,453
Comstock Resources, Inc.:
7.50%, 05/15/25^(b)			3,937		3,700,780
9.75%, 08/15/26			1,888		1,887,511
Concho Resources, Inc.:
4.38%, 01/15/25			3,930		4,057,429
3.75%, 10/01/27			2,500		2,739,007
4.30%, 08/15/28			1,340		1,518,893
4.88%, 10/01/47			225		270,905
Continental Resources, Inc.:
5.00%, 09/15/22			2,840		2,840,000
4.50%, 04/15/23			1,860		1,860,000
4.38%, 01/15/28			690		643,632
4.90%, 06/01/44			1,857		1,599,341
Crestwood Midstream Partners LP:
6.25%, 04/01/23^(e)			570		551,475
5.75%, 04/01/25			350		333,819
5.63%, 05/01/27^(b)			3,149		2,944,315
CrownRock LP, 5.63%, 10/15/25^(b)			7,531		7,380,380
CVR Energy, Inc.^(b):
5.25%, 02/15/25			1,723		1,572,237
5.75%, 02/15/28			576		515,693
DCP Midstream Operating LP:
4.75%, 09/30/21^(b)			600		611,340
3.88%, 03/15/23			300		300,780
5.38%, 07/15/25			1,157		1,218,344
5.63%, 07/15/27			1,700		1,763,750
6.45%, 11/03/36^(b)			1,578		1,514,880


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
6.75%, 09/15/37^(b)		USD	5,096	$	4,943,120
(LIBOR USD 3 Month + 3.85%), 5.85%, 05/21/43^(a)(b)			375		285,000
Devon Energy Corp., 5.60%, 07/15/41			400		405,448
Diamondback Energy, Inc.:
2.88%, 12/01/24			1,790		1,819,502
4.75%, 05/31/25			1,575		1,713,068
3.50%, 12/01/29			5,531		5,538,942
Enbridge, Inc.:
2.90%, 07/15/22			1,060		1,102,146
4.00%, 10/01/23			500		544,892
2.50%, 01/15/25			1,040		1,097,397
3.70%, 07/15/27			2,579		2,875,088
3.13%, 11/15/29			425		457,640
Series 16-A, (LIBOR USD 3 Month + 3.89%), 6.00%, 01/15/77^(a)			13,675		13,504,062
(LIBOR USD 3 Month + 3.64%), 6.25%, 03/01/78^(a)			18,300		18,117,000
Series 20-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 5.75%, 07/15/80^(a)			8,265		8,425,860
Endeavor Energy Resources LP^(b):
6.63%, 07/15/25			898		943,465
5.50%, 01/30/26			3,439		3,456,195
5.75%, 01/30/28			4,939		5,068,649
Energy Transfer Operating LP:
3.60%, 02/01/23			940		967,828
5.88%, 01/15/24			2,250		2,481,777
4.90%, 02/01/24			245		262,450
2.90%, 05/15/25			445		450,751
5.25%, 04/15/29			2,550		2,769,915
3.75%, 05/15/30			340		336,254
4.90%, 03/15/35			315		319,226
5.15%, 03/15/45			1,850		1,792,799
6.00%, 06/15/48			871		914,692
6.25%, 04/15/49			2,060		2,212,595
5.00%, 05/15/50			4,314		4,280,651
Energy Transfer Partners LP, 5.00%, 10/01/22			300		316,678
EnLink Midstream LLC, 5.38%, 06/01/29			680		543,449
EnLink Midstream Partners LP:
4.40%, 04/01/24			1,979		1,699,803
4.15%, 06/01/25			1,083		867,700
4.85%, 07/15/26			39		30,230
5.60%, 04/01/44			1,050		582,750
5.05%, 04/01/45			156		84,240
ENN Clean Energy International Investment Ltd., 7.50%, 02/27/21			200		202,250
Enterprise Products Operating LLC:
2.80%, 01/31/30			500		537,243
4.85%, 03/15/44			625		750,737
4.80%, 02/01/49			1,675		2,075,674
4.20%, 01/31/50			950		1,104,115
Series E, (LIBOR USD 3 Month + 3.03%), 5.25%, 08/16/77^(a)			12,587		11,800,312
EOG Resources, Inc.:
4.38%, 04/15/30			300		365,180
4.95%, 04/15/50			70		95,766
EQM Midstream Partners LP:
6.00%, 07/01/25^(b)			1,974		2,093,743
4.13%, 12/01/26			178		173,105
6.50%, 07/01/27^(b)			2,969		3,273,619
EQT Corp.:
6.13%, 02/01/25^(e)			1,739		1,906,379
3.90%, 10/01/27			2,440		2,299,212
7.00%, 02/01/30^(e)			1,949		2,256,552


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
Extraction Oil & Gas, Inc.^(b)(f)(i):
7.38%, 05/15/24		USD	2,776	$	610,720
5.63%, 02/01/26			3,154		662,340
Exxon Mobil Corp.:
1.57%, 04/15/23			1,060		1,092,735
3.45%, 04/15/51			375		443,328
Genesis Energy LP:
6.00%, 05/15/23			300		282,000
6.50%, 10/01/25			2,663		2,466,604
7.75%, 02/01/28			840		810,104
Global Partners LP, 7.00%, 06/15/23			700		689,640
GNL Quintero SA, 4.63%, 07/31/29			7,171		7,708,825
Greenko Dutch BV, 5.25%, 07/24/24			630		642,994
Greenko Mauritius Ltd., 6.25%, 02/21/23			930		948,600
Greenko Solar Mauritius Ltd.:
5.55%, 01/29/25			630		636,300
5.95%, 07/29/26			4,630		4,695,109
Hess Corp.:
4.30%, 04/01/27			1,775		1,865,458
5.60%, 02/15/41			1,000		1,139,091
5.80%, 04/01/47			200		233,677
Hess Midstream Operations LP, 5.63%, 02/15/26^(b)			1,418		1,470,877
Hilcorp Energy I LP^(b):
5.00%, 12/01/24			100		94,998
5.75%, 10/01/25			550		521,469
6.25%, 11/01/28			220		202,125
HPCL-Mittal Energy Ltd.:
5.45%, 10/22/26			1,260		1,243,462
5.25%, 04/28/27			700		680,969
Indigo Natural Resources LLC, 6.88%, 02/15/26^(b)			4,377		4,218,071
Ithaca Energy North Sea plc, 9.38%, 07/15/24^(b)			1,225		1,065,750
Jagged Peak Energy LLC, 5.88%, 05/01/26			120		122,400
Kinder Morgan Energy Partners LP:
5.00%, 10/01/21			3,000		3,113,281
4.25%, 09/01/24			500		558,039
6.95%, 01/15/38			286		398,172
6.38%, 03/01/41			425		553,914
5.00%, 03/01/43			1,575		1,886,660
5.40%, 09/01/44			850		1,045,246
Kinder Morgan, Inc.:
3.15%, 01/15/23			2,105		2,213,799
5.55%, 06/01/45			575		744,508
Laredo Petroleum, Inc., 9.50%, 01/15/25			500		361,400
Marathon Oil Corp.:
2.80%, 11/01/22			1,850		1,873,251
4.40%, 07/15/27			2,075		2,101,160
Marathon Petroleum Corp.:
4.50%, 05/01/23			2,150		2,329,782
4.75%, 09/15/44			499		569,974
Matador Resources Co., 5.88%, 09/15/26			4,615		3,507,400
Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26			890		877,484
Medco Platinum Road Pte. Ltd., 6.75%, 01/30/25			1,408		1,371,920
MEG Energy Corp.^(b):
7.00%, 03/31/24			4,415		4,205,287
6.50%, 01/15/25			4,359		4,282,718
7.13%, 02/01/27			1,286		1,144,540
Mongolian Mining Corp., 9.25%, 04/15/24			4,000		2,941,250
MPLX LP:
6.25%, 10/15/22			292		294,794
4.25%, 12/01/27			1,900		2,062,963
4.00%, 03/15/28			425		463,037
4.70%, 04/15/48			1,020		1,099,201
5.50%, 02/15/49			1,043		1,249,773


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
Murphy Oil Corp.:
4.95%, 12/01/22^(e)		USD	350	$	342,125
6.88%, 08/15/24			400		398,000
5.75%, 08/15/25			1,222		1,150,171
5.88%, 12/01/27			680		625,600
6.37%, 12/01/42^(e)			150		119,250
Navios Maritime Acquisition Corp., 8.13%, 11/15/21^(b)			400		242,000
Neerg Energy Ltd., 6.00%, 02/13/22			2,070		2,076,469
Neptune Energy Bondco plc, 6.63%, 05/15/25^(b)			1,568		1,372,000
NGL Energy Partners LP:
7.50%, 11/01/23			1,150		908,500
7.50%, 04/15/26			960		662,400
NGPL PipeCo LLC, 7.77%, 12/15/37^(b)			1,007		1,282,659
Noble Energy, Inc., 4.20%, 10/15/49			1,065		1,337,803
NuStar Logistics LP:
6.00%, 06/01/26			2,343		2,401,575
5.63%, 04/28/27			600		585,720
Occidental Petroleum Corp.:
2.60%, 08/13/21			4,714		4,655,075
2.70%, 08/15/22			2,517		2,431,523
2.90%, 08/15/24			4,955		4,663,646
3.20%, 08/15/26			275		250,330
3.00%, 02/15/27			114		100,605
8.50%, 07/15/27			380		423,168
3.50%, 08/15/29			2,158		1,917,966
8.88%, 07/15/30			490		551,250
6.45%, 09/15/36			2,325		2,339,066
4.30%, 08/15/39			2,678		2,169,180
6.20%, 03/15/40			3,793		3,679,210
4.50%, 07/15/44			2,020		1,656,400
4.63%, 06/15/45			3,896		3,225,109
6.60%, 03/15/46			450		439,231
4.40%, 04/15/46			4,544		3,701,997
4.10%, 02/15/47			320		251,200
4.20%, 03/15/48			2,207		1,793,849
4.40%, 08/15/49			2,317		1,886,988
Ovintiv, Inc., 3.90%, 11/15/21			1,890		1,898,878
Parkland Corp.^(b):
6.00%, 04/01/26			330		349,866
5.88%, 07/15/27			2,224		2,357,440
Parsley Energy LLC^(b):
5.38%, 01/15/25			1,750		1,801,975
5.25%, 08/15/25			99		100,485
5.63%, 10/15/27			1,358		1,422,505
4.13%, 02/15/28			2,291		2,256,635
PBF Holding Co. LLC:
9.25%, 05/15/25^(b)			693		774,414
7.25%, 06/15/25			1,550		1,402,750
6.00%, 02/15/28^(b)			455		364,773
PDC Energy, Inc.:
6.13%, 09/15/24			537		543,519
6.25%, 12/01/25			1,742		1,576,510
5.75%, 05/15/26			2,137		2,141,723
Petrobras Global Finance BV:
4.38%, 05/20/23			2,579		2,667,653
5.30%, 01/27/25			13,605		14,661,514
7.38%, 01/17/27			1,740		2,041,977
7.25%, 03/17/44			6,370		7,321,519
Plains All American Pipeline LP:
3.55%, 12/15/29			732		723,078
3.80%, 09/15/30			1,740		1,742,106
6.65%, 01/15/37			1,305		1,484,510
5.15%, 06/01/42			515		506,831
4.30%, 01/31/43			505		440,930
4.90%, 02/15/45			1,075		1,040,825


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
Puma International Financing SA^(b):
5.13%, 10/06/24		USD	350	$	312,374
5.00%, 01/24/26			550		480,563
QEP Resources, Inc.:
6.88%, 03/01/21			172		167,700
5.38%, 10/01/22			1,586		1,268,800
5.25%, 05/01/23			2,656		1,852,560
5.63%, 03/01/26			2,110		1,229,075
Range Resources Corp.:
5.88%, 07/01/22			140		131,600
5.00%, 08/15/22			2,947		2,829,120
5.00%, 03/15/23			3,554		3,297,401
9.25%, 02/01/26^(b)			1,000		965,000
Rattler Midstream LP, 5.63%, 07/15/25^(b)			1,464		1,544,213
ReNew Power Ltd., 6.45%, 09/27/22			3,330		3,402,844
ReNew Power Pvt Ltd., 5.88%, 03/05/27			4,485		4,473,788
ReNew Power Synthetic:
6.67%, 03/12/24^(b)			630		650,672
6.67%, 03/12/24			4,901		5,061,814
Repsol International Finance BV^(a):
(EUR Swap Annual 5 Year + 4.00%), 3.75%^(m)		EUR	550		648,747
(EUR Swap Annual 5 Year + 4.41%), 4.25%^(m)			325		388,628
(EUR Swap Annual 10 Year + 4.20%), 4.50%, 03/25/75			300		367,520
Sabine Pass Liquefaction LLC:
5.75%, 05/15/24		USD	646		735,988
5.63%, 03/01/25			1,525		1,769,808
4.50%, 05/15/30^(b)			8,466		9,766,155
Santos Finance Ltd., 5.25%, 03/13/29			1,100		1,215,963
Seven Generations Energy Ltd., 5.38%, 09/30/25^(b)			495		460,350
Sinopec Group Overseas Development 2018 Ltd.^(b):
2.15%, 05/13/25			1,460		1,518,239
2.70%, 05/13/30			964		1,030,815
SM Energy Co.:
6.13%, 11/15/22			1,497		1,107,780
10.00%, 01/15/25^(b)			4,212		4,159,350
Southwestern Energy Co.:
4.10%, 03/15/22			1,750		1,688,750
6.45%, 01/23/25^(e)			1,937		1,789,129
7.50%, 04/01/26			1,919		1,800,502
7.75%, 10/01/27			350		329,105
Spectra Energy Partners LP, 4.50%, 03/15/45			350		408,448
Sunoco Logistics Partners Operations LP:
4.00%, 10/01/27			2,260		2,302,777
5.30%, 04/01/44			685		682,146
5.40%, 10/01/47			1,430		1,431,767
Sunoco LP:
4.88%, 01/15/23			1,832		1,861,770
5.50%, 02/15/26			2,874		2,945,850
6.00%, 04/15/27			1,260		1,329,300
5.88%, 03/15/28			436		455,620
Tallgrass Energy Partners LP^(b):
5.50%, 09/15/24			1,493		1,431,891
5.50%, 01/15/28			295		262,515
Targa Resources Partners LP:
5.25%, 05/01/23			500		503,350
4.25%, 11/15/23			1,330		1,339,975
6.75%, 03/15/24			400		409,480
5.13%, 02/01/25			1,692		1,717,380
5.88%, 04/15/26			3,333		3,542,246
5.38%, 02/01/27			1,036		1,070,364
6.50%, 07/15/27			400		428,000


Security	Par (000)			Value

Oil, Gas & Consumable Fuels (continued)
5.00%, 01/15/28		USD	4,494	$	4,583,880
6.88%, 01/15/29			4,303		4,854,300
5.50%, 03/01/30^(b)			1,328		1,401,040
TerraForm Power Operating LLC^(b):
4.25%, 01/31/23			1,805		1,892,181
5.00%, 01/31/28			2,297		2,532,443
4.75%, 01/15/30			1,976		2,139,020
TransCanada PipeLines Ltd.:
3.75%, 10/16/23			110		119,726
4.88%, 05/15/48			250		336,694
Transcanada Trust, Series 16-A, (LIBOR USD 3 Month + 4.64%), 5.87%, 08/15/76^(a)			31,704		34,116,886
Transcontinental Gas Pipe Line Co. LLC, 3.95%, 05/15/50^(b)			445		502,963
UGI International LLC, 3.25%, 11/01/25		EUR	500		585,294
Valero Energy Corp.:
2.70%, 04/15/23		USD	2,825		2,943,611
2.85%, 04/15/25			625		664,588
Viper Energy Partners LP, 5.38%, 11/01/27^(b)			1,143		1,200,493
Western Midstream Operating LP:
4.00%, 07/01/22			215		221,876
3.10%, 02/01/25^(e)			681		676,029
3.95%, 06/01/25			884		879,580
4.65%, 07/01/26			691		706,547
4.75%, 08/15/28			455		458,303
4.05%, 02/01/30^(e)			1,197		1,212,118
5.45%, 04/01/44			1,420		1,295,750
5.30%, 03/01/48			3,138		2,803,207
5.50%, 08/15/48			517		461,423
5.25%, 02/01/50^(e)			3,156		3,116,550
Williams Cos., Inc. (The):
7.88%, 09/01/21			41		44,088
3.60%, 03/15/22			1,000		1,041,070
3.70%, 01/15/23			1,395		1,474,734
4.55%, 06/24/24			1,425		1,585,951
5.10%, 09/15/45			840		993,325
WPX Energy, Inc.:
8.25%, 08/01/23			2,610		2,923,200
5.25%, 09/15/24			1,299		1,339,139
5.75%, 06/01/26			1,038		1,052,273
5.25%, 10/15/27			432		426,060
5.88%, 06/15/28			1,742		1,784,470
4.50%, 01/15/30			2,450		2,280,705
Yankuang Group Cayman Ltd., 4.75%, 11/30/20			1,535		1,540,372

					571,509,377

Paper & Forest Products — 0.0%
Boise Cascade Co., 4.88%, 07/01/30^(b)			1,288		1,365,280
Georgia-Pacific LLC, 1.75%, 09/30/25^(b)			532		558,025
Mercer International, Inc., 7.38%, 01/15/25			500		503,750
Norbord, Inc.^(b):
6.25%, 04/15/23			173		182,515
5.75%, 07/15/27			430		457,950
Resolute Forest Products, Inc., 5.88%, 05/15/23			450		427,500
WEPA Hygieneprodukte GmbH, (EURIBOR 3 Month + 2.88%), 2.88%, 12/15/26^(a)		EUR	397		455,749

					3,950,769

Personal Products — 0.0%
Avon International Capital plc, 6.50%, 08/15/22^(b)		USD	1,260		1,253,700
Avon International Operations, Inc., 7.88%, 08/15/22^(b)			1,495		1,487,525
Coty, Inc.:
4.00%, 04/15/23		EUR	800		774,384
4.75%, 04/15/26			600		565,487


Security	Par (000)			Value

Personal Products (continued)
6.50%, 04/15/26^(b)		USD	500	$	390,065
Edgewell Personal Care Co., 5.50%, 06/01/28^(b)			1,190		1,288,175

					5,759,336

Pharmaceuticals — 0.5%
Bausch Health Americas, Inc.^(b):
9.25%, 04/01/26			800		899,760
8.50%, 01/31/27			3,689		4,104,013
Bausch Health Cos., Inc.:
4.50%, 05/15/23		EUR	2,765		3,245,176
5.88%, 05/15/23^(b)		USD	386		386,000
7.00%, 03/15/24^(b)			1,130		1,180,827
6.13%, 04/15/25^(b)			3,484		3,597,230
5.50%, 11/01/25^(b)			1,125		1,167,424
9.00%, 12/15/25^(b)			8,734		9,651,070
5.75%, 08/15/27^(b)			2,758		2,993,478
7.00%, 01/15/28^(b)			1,604		1,744,350
5.00%, 01/30/28^(b)			757		760,770
6.25%, 02/15/29^(b)			3,297		3,502,403
7.25%, 05/30/29^(b)			4,897		5,386,700
5.25%, 01/30/30^(b)			1,304		1,331,710
Bayer AG, (EUR Swap Annual 5 Year + 2.55%), 3.75%, 07/01/74^(a)		EUR	200		244,704
Bayer US Finance II LLC, 4.25%, 12/15/25^(b)		USD	1,275		1,462,146
Bristol-Myers Squibb Co.:
3.55%, 08/15/22			1,000		1,060,548
2.75%, 02/15/23			65		68,743
2.90%, 07/26/24			800		870,862
3.40%, 07/26/29			1,150		1,354,167
Catalent Pharma Solutions, Inc.:
5.00%, 07/15/27^(b)			4,724		5,026,903
2.38%, 03/01/28		EUR	2,407		2,714,824
Cheplapharm Arzneimittel GmbH, 3.50%, 02/11/27			786		911,610
Diocle Spa, (EURIBOR 3 Month + 3.88%), 3.87%, 06/30/26^(a)			296		343,270
Elanco Animal Health, Inc., 5.65%, 08/28/28^(e)		USD	881		1,021,960
Endo Dac^(b):
9.50%, 07/31/27			1,182		1,272,127
6.00%, 06/30/28			785		598,563
Endo DAC, 5.88%, 10/15/24^(b)			400		398,000
Herbalife Nutrition Ltd., 7.88%, 09/01/25^(b)			1,150		1,250,625
Johnson & Johnson, 3.55%, 03/01/36			550		685,925
Jubilant Pharma Ltd., 6.00%, 03/05/24			1,300		1,319,906
Merck & Co., Inc., 3.40%, 03/07/29			1,025		1,211,273
Nidda BondCo GmbH:
5.00%, 09/30/25		EUR	800		926,717
7.25%, 09/30/25			774		937,262
Nidda Healthcare Holding GmbH:
3.50%, 09/30/24			2,311		2,676,334
Par Pharmaceutical, Inc., 7.50%, 04/01/27^(b)		USD	9,357		9,952,386
Pfizer, Inc.:
3.45%, 03/15/29			975		1,166,165
2.55%, 05/28/40			300		329,726
4.30%, 06/15/43			325		441,960
2.70%, 05/28/50			1,270		1,417,916
Rossini SARL:
(EURIBOR 3 Month + 3.88%), 3.88%, 10/30/25^(a)		EUR	200		230,619
6.75%, 10/30/25			1,212		1,523,016
Shire Acquisitions Investments Ireland DAC:
2.88%, 09/23/23		USD	1,200		1,278,470
3.20%, 09/23/26			1,925		2,163,053
Takeda Pharmaceutical Co. Ltd.:
4.00%, 11/26/21			1,000		1,043,262
4.40%, 11/26/23			570		637,525
5.00%, 11/26/28			1,175		1,475,769


Security	Par (000)			Value

Pharmaceuticals (continued)
3.18%, 07/09/50		USD	400	$	437,998
Teva Pharmaceutical Finance Netherlands II BV:
3.25%, 04/15/22		EUR	200		235,885
6.00%, 01/31/25			200		251,492
4.50%, 03/01/25			200		236,842
1.88%, 03/31/27			300		305,678
1.63%, 10/15/28			300		294,745
Upjohn, Inc., 1.65%, 06/22/25^(b)		USD	360		370,470

					90,100,357

Professional Services — 0.1%
ASGN, Inc., 4.63%, 05/15/28^(b)			1,384		1,415,140
Dun & Bradstreet Corp. (The)^(b):
6.88%, 08/15/26			4,126		4,507,655
10.25%, 02/15/27			2,172		2,466,154
Intertrust Group BV, 3.38%, 11/15/25		EUR	1,711		2,055,540
Jaguar Holding Co. II/PPD Development LP^(b):
4.63%, 06/15/25		USD	3,307		3,455,815
5.00%, 06/15/28			3,090		3,289,923

					17,190,227

Real Estate Management & Development — 2.3%
ADLER Real Estate AG:
1.88%, 04/27/23		EUR	400		454,926
3.00%, 04/27/26			700		803,951
ADO Properties SA, 3.25%, 08/05/25			1,100		1,286,351
Agile Group Holdings Ltd.:
8.50%, 07/18/21		USD	1,758		1,811,619
6.70%, 03/07/22			4,550		4,680,812
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 9.22%), 6.87%^(a)(m)			1,058		1,044,775
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 11.29%), 7.88%^(a)(m)			1,145		1,150,725
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 11.08%), 7.75%^(a)(m)			2,282		2,257,041
Alam Synergy Pte. Ltd., 11.50%, 04/22/21			608		387,889
APL Realty Holdings Pte. Ltd., 5.95%, 06/02/24			600		318,562
Celulosa Arauco y Constitucion SA, 3.88%, 11/02/27			875		922,531
Central China Real Estate Ltd.:
6.88%, 10/23/20			1,750		1,750,000
6.50%, 03/05/21			2,540		2,545,715
6.75%, 11/08/21			2,050		2,057,934
6.88%, 08/08/22			630		632,362
7.25%, 04/24/23			2,430		2,439,112
7.90%, 11/07/23			1,930		1,949,300
7.25%, 07/16/24			1,118		1,098,435
CFLD Cayman Investment Ltd.:
8.63%, 02/28/21			1,695		1,720,425
6.90%, 01/13/23			945		939,094
8.60%, 04/08/24			1,355		1,366,009
8.05%, 01/13/25			2,000		1,947,500
China Aoyuan Group Ltd.:
4.80%, 02/18/21			3,100		3,088,375
7.50%, 05/10/21			5,030		5,105,337
7.95%, 09/07/21			1,978		2,020,032
8.50%, 01/23/22			3,028		3,140,604
7.95%, 02/19/23			10,122		10,615,448
China Evergrande Group:
6.25%, 06/28/21			630		615,234
8.25%, 03/23/22			1,145		1,090,613
9.50%, 04/11/22			630		606,769
11.50%, 01/22/23			2,315		2,280,998


Security		Par (000)		Value

Real Estate Management & Development (continued)
4.25%, 02/14/23^(j)	HKD		80,000	$	9,974,577
10.00%, 04/11/23	USD		3,295		3,116,864
7.50%, 06/28/23			2,500		2,210,938
12.00%, 01/22/24			5,081		4,893,638
10.50%, 04/11/24			953		870,804
China SCE Group Holdings Ltd.:
8.75%, 01/15/21			630		638,663
7.45%, 04/17/21			3,000		3,032,670
5.88%, 03/10/22			474		472,260
7.25%, 04/19/23			5,345		5,433,527
7.38%, 04/09/24			1,590		1,607,887
CIFI Holdings Group Co. Ltd.:
7.63%, 03/02/21			630		641,812
6.88%, 04/23/21			1,757		1,785,446
5.50%, 01/23/22			2,100		2,123,205
7.63%, 02/28/23			3,400		3,590,188
6.55%, 03/28/24			1,145		1,190,442
6.45%, 11/07/24			1,145		1,181,139
6.00%, 07/16/25			2,270		2,280,641
Citycon OYJ, (EUR Swap Annual 5 Year + 4.71%), 4.50%^(a)(m)	EUR		800		799,566
Consus Real Estate AG, 9.63%, 05/15/24			1,371		1,744,167
Country Garden Holdings Co. Ltd.:
7.25%, 04/04/21	USD		789		789,986
7.13%, 04/25/22			630		661,500
8.00%, 01/27/24			630		685,519
6.50%, 04/08/24			630		675,281
6.15%, 09/17/25			3,860		4,148,294
5.13%, 01/14/27			630		644,175
DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24	EUR		500		542,258
Easy Tactic Ltd.:
8.75%, 01/10/21	USD		630		630,000
7.00%, 04/25/21			800		787,680
9.13%, 07/28/22			630		609,525
8.13%, 02/27/23			630		581,962
8.63%, 02/27/24			4,785		4,349,864
8.63%, 03/05/24			1,457		1,325,870
8.13%, 07/11/24			4,330		3,841,522
Excel Capital Global Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 9.34%), 7.00%^(a)(m)			4,800		4,848,000
Fantasia Holdings Group Co. Ltd.:
8.38%, 03/08/21			1,730		1,746,759
15.00%, 12/18/21			1,735		1,886,812
11.75%, 04/17/22			1,550		1,636,219
7.95%, 07/05/22			1,650		1,642,266
12.25%, 10/18/22			1,588		1,708,589
10.88%, 01/09/23			1,145		1,195,809
Five Point Operating Co. LP, 7.88%, 11/15/25^(b)			4,450		4,299,901
Global Prime Capital Pte. Ltd.:
7.25%, 04/26/21			3,000		3,010,800
5.50%, 10/18/23			630		622,519
5.95%, 01/23/25			2,778		2,670,352
Greenland Global Investment Ltd.:
(LIBOR USD 3 Month + 4.85%), 5.13%, 09/26/21^(a)			3,600		3,562,506
7.25%, 03/12/22			630		638,465
6.75%, 06/25/22			520		521,950
5.60%, 11/13/22			1,145		1,120,669
6.25%, 12/16/22			2,757		2,757,000
Greystar Real Estate Partners LLC, 5.75%, 12/01/25^(b)			1,645		1,657,337
Heimstaden Bostad AB, (EUR Swap Annual 5 Year + 3.67%), 3.25%^(a)(m)	EUR		450		520,377


Security	Par (000)			Value

Real Estate Management & Development (continued)
Hopson Capital International Group Co. Ltd., 6.00%, 02/17/21		USD	3,100	$	3,076,750
Hopson Development Holdings Ltd., 7.50%, 06/27/22			2,268		2,279,340
Howard Hughes Corp. (The), 5.38%, 03/15/25^(b)			2,779		2,806,985
Hunt Cos., Inc., 6.25%, 02/15/26^(b)			540		504,900
Jababeka International BV:
6.50%, 10/05/23^(b)			867		712,295
6.50%, 10/05/23			1,655		1,359,686
JGC Ventures Pte. Ltd., 10.75%, 08/30/21			2,500		909,375
Jingrui Holdings Ltd., 9.45%, 04/23/21			1,200		1,164,000
Kaisa Group Holdings Ltd.:
6.75%, 02/18/21			2,140		2,137,325
11.25%, 04/09/22			1,145		1,201,892
8.50%, 06/30/22			2,382		2,392,421
11.95%, 10/22/22			3,145		3,341,563
11.50%, 01/30/23			1,718		1,782,962
10.88%, 07/23/23			6,218		6,342,360
11.95%, 11/12/23			1,145		1,194,378
9.38%, 06/30/24			5,944		5,461,050
Kennedy-Wilson, Inc., 5.88%, 04/01/24			585		587,194
KWG Group Holdings Ltd.:
7.88%, 08/09/21			1,144		1,172,242
7.88%, 09/01/23			3,468		3,619,725
7.40%, 03/05/24			1,718		1,787,257
Logan Group Co. Ltd.:
6.88%, 04/24/21			2,000		2,026,240
7.50%, 08/25/22			2,316		2,405,745
6.50%, 07/16/23			5,918		6,095,540
6.90%, 06/09/24			1,718		1,786,720
5.75%, 01/14/25			1,432		1,435,580
Modern Land China Co. Ltd., 12.85%, 10/25/21			530		533,975
Modernland Overseas Pte. Ltd., 6.95%, 04/13/24			1,296		471,420
New Metro Global Ltd.:
6.50%, 04/23/21			3,445		3,464,602
6.50%, 05/20/22			212		214,120
6.80%, 08/05/23			2,270		2,309,725
Peach Property Finance GmbH, 3.50%, 02/15/23		EUR	592		686,727
Powerlong Real Estate Holdings Ltd.:
6.95%, 04/17/21		USD	500		505,230
7.13%, 11/08/22			2,608		2,663,420
Realogy Group LLC, 7.63%, 06/15/25^(b)			242		253,972
Redsun Properties Group Ltd.:
11.50%, 03/04/21			3,100		3,180,406
9.95%, 04/11/22			945		968,625
10.50%, 10/03/22			1,145		1,180,066
RKPF Overseas 2019 A Ltd.:
7.88%, 02/01/23			1,545		1,629,975
6.70%, 09/30/24			3,007		3,100,029
Ronshine China Holdings Ltd.:
11.25%, 08/22/21			1,325		1,397,875
10.50%, 03/01/22			1,150		1,228,703
8.75%, 10/25/22			5,685		5,933,719
8.95%, 01/22/23			6,059		6,403,606
8.10%, 06/09/23			1,145		1,193,662
Scenery Journey Ltd.:
11.00%, 11/06/20			7,290		7,337,841
11.50%, 10/24/22			5,244		5,078,486
13.00%, 11/06/22			1,434		1,427,726
12.00%, 10/24/23			3,192		3,051,353
13.75%, 11/06/23			464		462,260
Seazen Group Ltd.:
6.50%, 09/12/20			1,900		1,900,594
7.50%, 01/22/21			1,500		1,515,937


Security	Par (000)			Value

Real Estate Management & Development (continued)
6.15%, 04/15/23		USD	1,145	$	1,145,358
Shimao Group Holdings Ltd.:
6.38%, 10/15/21			2,150		2,224,578
6.13%, 02/21/24			945		1,002,881
5.60%, 07/15/26			1,145		1,220,499
Shui On Development Holding Ltd.:
6.25%, 11/28/21			600		608,250
5.75%, 11/12/23			1,718		1,705,115
Sino-Ocean Land Treasure Finance II Ltd., 5.95%, 02/04/27			209		227,092
Sino-Ocean Land Treasure IV Ltd., 4.75%, 08/05/29			302		308,984
Summit Properties Ltd., 2.00%, 01/31/25		EUR	273		292,219
Sunac China Holdings Ltd.:
6.88%, 08/08/20		USD	1,285		1,285,803
7.88%, 02/15/22			1,745		1,792,988
7.25%, 06/14/22			4,755		4,844,156
7.95%, 10/11/23			1,433		1,480,468
7.50%, 02/01/24			1,432		1,459,297
6.65%, 08/03/24			3,400		3,361,750
Theta Capital Pte. Ltd.:
8.13%, 01/22/25			1,709		1,579,223
6.75%, 10/31/26			630		528,215
Times China Holdings Ltd.:
7.63%, 02/21/22			2,100		2,155,125
5.75%, 04/26/22			289		291,133
6.75%, 07/16/23			5,197		5,320,429
TLG Finance SARL, (EUR Swap Annual 5 Year + 3.98%), 3.38%^(a)(m)		EUR	1,000		1,142,480
Unique Pub Finance Co. plc (The):
Series A4, 5.66%, 06/30/27		GBP	678		916,607
Series N, 6.46%, 03/30/32^(e)			1,000		1,361,670
VLL International, Inc.:
7.38%, 06/18/22		USD	2,000		2,063,120
5.75%, 11/28/24			2,000		1,940,000
Wanda Group Overseas Ltd., 7.50%, 07/24/22			4,935		4,797,745
Yango Justice International Ltd.:
6.80%, 03/11/21			3,070		3,070,000
10.00%, 02/12/23			1,145		1,206,902
9.25%, 04/15/23			1,145		1,177,203
8.25%, 11/25/23			1,145		1,141,422
7.50%, 04/15/24			2,975		2,956,406
Yanlord Land HK Co. Ltd.:
6.75%, 04/23/23			7,745		7,912,002
6.80%, 02/27/24			4,480		4,531,800
Yuzhou Group Holdings Co. Ltd.:
6.38%, 03/06/21			1,392		1,399,071
8.63%, 01/23/22			630		655,988
8.50%, 02/04/23			1,145		1,206,544
6.00%, 10/25/23			2,995		2,961,306
8.50%, 02/26/24			6,145		6,444,569
8.38%, 10/30/24			2,145		2,227,448
7.70%, 02/20/25			1,029		1,038,968
Zhenro Properties Group Ltd.:
5.60%, 02/28/21			1,260		1,251,731
9.15%, 03/08/22			2,055		2,121,145
8.70%, 08/03/22			4,930		5,051,710
8.65%, 01/21/23			1,024		1,051,520
9.15%, 05/06/23			1,145		1,189,369

					375,364,546

Road & Rail — 0.3%
Algeco Global Finance plc, 8.00%, 02/15/23^(b)			415		412,925
Burlington Northern Santa Fe LLC:
4.90%, 04/01/44			800		1,152,080
4.15%, 12/15/48			425		580,674
3.55%, 02/15/50			425		538,500


Security		Par (000)		Value

Road & Rail (continued)
CSX Corp.:
3.80%, 03/01/28	USD		1,050	$	1,245,668
4.30%, 03/01/48			650		870,142
Kapla Holding SAS:
(EURIBOR 3 Month + 3.25%), 3.25%, 12/15/26^(a)	EUR		343		374,721
3.38%, 12/15/26			398		433,662
Loxam SAS:
3.50%, 04/15/22			109		128,985
3.50%, 05/03/23			720		839,643
4.25%, 04/15/24			300		351,215
3.25%, 01/14/25			708		800,629
3.75%, 07/15/26			673		763,825
Norfolk Southern Corp.:
2.55%, 11/01/29	USD		1,700		1,879,419
4.15%, 02/28/48			750		971,609
3.05%, 05/15/50			43		48,488
Pacific National Finance Pty. Ltd., 4.75%, 03/22/28			5,000		5,250,600
Penske Truck Leasing Co. LP^(b):
4.25%, 01/17/23			325		350,057
2.70%, 03/14/23			675		699,797
3.45%, 07/01/24			1,600		1,742,974
4.00%, 07/15/25			4,525		5,068,827
Rubis Terminal Infra SAS, 5.63%, 05/15/25	EUR		970		1,176,771
Rumo Luxembourg SARL, 5.88%, 01/18/25^(b)	USD		2,900		3,045,000
Ryder System, Inc.:
2.88%, 09/01/20			1,000		1,000,000
2.50%, 09/01/24			1,150		1,210,715
Uber Technologies, Inc.^(b):
7.50%, 11/01/23			1,699		1,762,713
7.50%, 05/15/25			4,489		4,735,895
8.00%, 11/01/26			742		778,766
7.50%, 09/15/27			1,517		1,587,161
Union Pacific Corp.:
3.55%, 08/15/39			525		628,270
4.05%, 03/01/46			825		1,048,972
4.30%, 03/01/49			450		616,449
3.95%, 08/15/59			975		1,256,255
3.84%, 03/20/60			1,906		2,430,256

					45,781,663

Semiconductors & Semiconductor Equipment — 0.6%
Amkor Technology, Inc., 6.63%, 09/15/27^(b)			1,100		1,210,000
ams AG:
6.00%, 07/31/25	EUR		1,991		2,373,320
Analog Devices, Inc., 2.95%, 04/01/25	USD		850		934,029
Applied Materials, Inc., 3.30%, 04/01/27			1,200		1,389,897
Broadcom Corp.:
2.65%, 01/15/23			700		729,222
3.63%, 01/15/24			660		713,646
Broadcom, Inc.^(b):
3.63%, 10/15/24			100		109,210
4.70%, 04/15/25			4,525		5,175,041
4.25%, 04/15/26			1,550		1,750,794
3.46%, 09/15/26			1,667		1,826,504
4.75%, 04/15/29			2,125		2,477,388
5.00%, 04/15/30			23,521		27,956,022
4.15%, 11/15/30			3,059		3,435,903
4.30%, 11/15/32			14,266		16,363,116
Entegris, Inc.^(b):
4.63%, 02/10/26			400		415,648
4.38%, 04/15/28			1,898		1,999,467
Global A&T Electronics Ltd., 8.50%, 01/12/23			3,000		2,896,875
Infineon Technologies AG, (EUR Swap Annual 5 Year + 3.39%), 2.88%^(a)(m)	EUR		800		940,193


Security		Par (000)		Value

Semiconductors & Semiconductor Equipment (continued)
Intel Corp.:
4.75%, 03/25/50	USD		790	$	1,145,705
3.10%, 02/15/60			120		139,049
KLA Corp.:
4.65%, 11/01/24			800		923,276
4.10%, 03/15/29			1,676		2,025,450
3.30%, 03/01/50			850		952,248
Lam Research Corp.:
4.00%, 03/15/29			925		1,125,172
4.88%, 03/15/49			950		1,437,368
Microchip Technology, Inc., 4.25%, 09/01/25^(b)			7,811		8,211,032
NVIDIA Corp.:
3.50%, 04/01/40			550		660,640
3.50%, 04/01/50			1,060		1,269,541
NXP BV^(b):
4.13%, 06/01/21			1,098		1,128,177
3.88%, 09/01/22			1,087		1,151,306
3.88%, 06/18/26			400		451,076
4.30%, 06/18/29			1,875		2,185,661
3.40%, 05/01/30			190		209,672
Qorvo, Inc., 4.38%, 10/15/29^(b)			5,006		5,393,965
QUALCOMM, Inc.:
2.90%, 05/20/24			1,300		1,407,120
4.30%, 05/20/47			584		787,040
Sensata Technologies UK Financing Co. plc, 6.25%, 02/15/26^(b)			500		526,300

					103,826,073

Software — 0.9%
ACI Worldwide, Inc., 5.75%, 08/15/26^(b)			180		187,650
Ascend Learning LLC^(b):
6.88%, 08/01/25			1,369		1,410,070
6.88%, 08/01/25			5,608		5,748,200
Autodesk, Inc., 3.50%, 06/15/27			18		20,604
Boxer Parent Co., Inc.:
6.50%, 10/02/25	EUR		2,080		2,572,888
7.13%, 10/02/25^(b)	USD		2,465		2,717,662
9.13%, 03/01/26^(b)			4,035		4,277,100
BY Crown Parent LLC^(b):
7.38%, 10/15/24			2,645		2,681,369
4.25%, 01/31/26			3,611		3,742,982
CA, Inc., 3.60%, 08/15/22			375		384,329
Camelot Finance SA, 4.50%, 11/01/26^(b)			5,938		6,145,830
Castle US Holding Corp., 9.50%, 02/15/28^(b)			2,352		2,175,600
CDK Global, Inc.:
5.00%, 10/15/24^(e)			350		394,730
5.88%, 06/15/26			545		582,420
4.88%, 06/01/27			4,814		5,144,914
5.25%, 05/15/29^(b)			1,445		1,582,347
Change Healthcare Holdings LLC, 5.75%, 03/01/25^(b)			9,776		9,995,960
Fair Isaac Corp.^(b):
5.25%, 05/15/26			225		253,125
4.00%, 06/15/28			2,158		2,257,268
Genesys Telecommunications Laboratories, Inc., 10.00%, 11/30/24^(b)			5,674		6,056,995
j2 Cloud Services LLC, 6.00%, 07/15/25^(b)			465		484,763
Microsoft Corp.:
3.30%, 02/06/27			1,100		1,274,854
3.45%, 08/08/36			750		939,266
4.10%, 02/06/37			754		1,009,955
3.70%, 08/08/46			1,475		1,920,952
2.53%, 06/01/50			1,121		1,230,542
NortonLifeLock, Inc., 5.00%, 04/15/25^(b)			1,240		1,274,224
Nuance Communications, Inc., 5.63%, 12/15/26			5,606		5,977,397
Open Text Corp.^(b):
5.88%, 06/01/26			300		318,660


Security		Par (000)		Value

Software (continued)
3.88%, 02/15/28	USD		3,955	$	4,112,014
Open Text Holdings, Inc., 4.13%, 02/15/30^(b)			2,427		2,548,350
Oracle Corp.:
2.95%, 11/15/24			2,000		2,187,189
2.95%, 04/01/30			1,660		1,891,164
3.85%, 07/15/36			850		1,046,887
5.38%, 07/15/40			650		951,544
4.13%, 05/15/45			1,325		1,680,634
4.00%, 07/15/46			350		438,472
4.00%, 11/15/47			950		1,196,867
3.60%, 04/01/50			18,223		21,808,038
3.85%, 04/01/60			5,608		7,038,481
PTC, Inc.^(b):
3.63%, 02/15/25			1,490		1,544,787
4.00%, 02/15/28			1,628		1,709,970
Solera LLC, 10.50%, 03/01/24^(b)			11,746		12,427,268
SS&C Technologies, Inc., 5.50%, 09/30/27^(b)			9,816		10,539,930
Veritas US, Inc., 7.50%, 02/01/23^(b)			924		924,194
VMware, Inc., 4.70%, 05/15/30			4,825		5,662,388

					150,470,833

Specialty Retail — 0.3%
AutoNation, Inc., 4.75%, 06/01/30			995		1,152,860
Baoxin Auto Finance I Ltd., (US Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 8.91%), 5.63%^(a)(m)			379		285,434
Douglas GmbH, 6.25%, 07/15/22	EUR		300		310,262
Dufry One BV:
2.50%, 10/15/24			400		360,575
2.00%, 02/15/27			1,470		1,236,976
eG Global Finance plc:
4.38%, 02/07/25			453		504,203
6.75%, 02/07/25^(b)	USD		1,438		1,502,422
6.25%, 10/30/25	EUR		2,401		2,813,150
8.50%, 10/30/25^(b)	USD		2,845		3,107,935
Gap, Inc. (The), 8.88%, 05/15/27^(b)			1,236		1,381,230
Group 1 Automotive, Inc., 5.00%, 06/01/22^(e)			275		272,937
Home Depot, Inc. (The):
4.20%, 04/01/43			575		762,506
4.50%, 12/06/48			975		1,376,873
3.35%, 04/15/50			625		766,166
L Brands, Inc.:
5.63%, 02/15/22			504		515,617
5.63%, 10/15/23			325		329,645
6.88%, 07/01/25^(b)			2,798		3,013,390
9.38%, 07/01/25^(b)			150		167,250
7.50%, 06/15/29			600		617,472
6.88%, 11/01/35			3,687		3,529,196
6.75%, 07/01/36			369		356,122
Lowe’s Cos., Inc.:
4.00%, 04/15/25			900		1,032,940
4.65%, 04/15/42			450		600,968
3.70%, 04/15/46			925		1,096,938
4.55%, 04/05/49			500		671,090
Matalan Finance plc, 6.75%, 01/31/23	GBP		100		88,397
Murphy Oil USA, Inc., 4.75%, 09/15/29	USD		1,825		1,929,335
Penske Automotive Group, Inc., 5.50%, 05/15/26			320		334,400
PetSmart, Inc.^(b):
7.13%, 03/15/23			2,152		2,173,520
5.88%, 06/01/25			5,830		5,975,750
Sally Holdings LLC, 5.63%, 12/01/25			895		918,494
SRS Distribution, Inc., 8.25%, 07/01/26^(b)			4,649		4,834,960
Staples, Inc., 7.50%, 04/15/26^(b)			6,212		5,449,788
Tendam Brands SAU:
5.00%, 09/15/24	EUR		370		374,867


Security		Par (000)		Value

Specialty Retail (continued)
(EURIBOR 3 Month + 5.25%), 5.25%, 09/15/24^(a)	EUR		270	$	271,237

					50,114,905

Technology Hardware, Storage & Peripherals — 0.2%
Apple, Inc.:
1.13%, 05/11/25	USD		1,065		1,094,441
2.20%, 09/11/29			1,800		1,964,982
4.50%, 02/23/36			1,075		1,466,202
3.45%, 02/09/45			225		277,726
3.85%, 08/04/46			1,550		2,018,416
2.65%, 05/11/50			840		926,953
Dell International LLC^(b):
4.42%, 06/15/21			3,197		3,285,180
5.45%, 06/15/23			835		920,055
7.13%, 06/15/24			1,575		1,636,031
6.02%, 06/15/26			2,379		2,789,555
Diebold Nixdorf, Inc., 9.38%, 07/15/25^(b)			908		960,482
EMC Corp., 3.38%, 06/01/23			650		680,784
Hewlett Packard Enterprise Co.:
3.60%, 10/15/20^(e)			620		621,963
4.45%, 10/02/23			700		768,353
HP, Inc., 2.20%, 06/17/25			2,175		2,285,379
NCR Corp.:
6.38%, 12/15/23			400		412,000
5.75%, 09/01/27^(b)			1,330		1,373,225
6.13%, 09/01/29^(b)			1,136		1,244,431
NetApp, Inc., 2.70%, 06/22/30			877		928,837
Nuoxi Capital Ltd., 7.50%, 01/28/22			664		172,640
Paymentsense Ltd., 8.00%, 10/15/25	GBP		550		719,950
Seagate HDD Cayman, 4.13%, 01/15/31^(b)	USD		710		762,187
Western Digital Corp., 4.75%, 02/15/26			2,017		2,191,208
Xerox Corp.:
3.50%, 08/20/20			1,000		998,750
4.80%, 03/01/35			1,315		1,236,100

					31,735,830

Textiles, Apparel & Luxury Goods — 0.0%
European TopSoho SARL, Series SMCP, 4.00%, 09/21/21^(j)	EUR		1,300		749,895
Hanesbrands, Inc., 5.38%, 05/15/25^(b)	USD		763		820,225
Levi Strauss & Co., 5.00%, 05/01/25			199		203,497
Prime Bloom Holdings Ltd., 6.95%, 07/05/22			2,783		926,217
Under Armour, Inc., 3.25%, 06/15/26			400		373,500
William Carter Co. (The), 5.63%, 03/15/27^(b)			2,360		2,513,400

					5,586,734

Thrifts & Mortgage Finance — 0.1%
BPCE SA, 2.38%, 01/14/25^(b)			1,575		1,650,064
Deutsche Pfandbriefbank AG, 4.60%, 02/22/27	EUR		200		232,500
Freedom Mortgage Corp., 8.25%, 04/15/25^(b)	USD		830		827,925
Ladder Capital Finance Holdings LLLP^(b):
5.25%, 03/15/22			700		686,000
4.25%, 02/01/27			2,669		2,255,305
Mongolian Mortgage Corp. HFC LLC:
9.75%, 01/29/22			3,600		3,246,750
Nationstar Mortgage Holdings, Inc.^(b):
8.13%, 07/15/23			1,786		1,857,065
9.13%, 07/15/26			1,525		1,658,895
6.00%, 01/15/27			3,029		3,089,580
Quicken Loans, Inc., 5.75%, 05/01/25^(b)			825		850,521
Radian Group, Inc.:
4.50%, 10/01/24			650		653,250
6.63%, 03/15/25			1,135		1,210,932
4.88%, 03/15/27			1,400		1,356,782

					19,575,569


Security		Par (000)		Value

Tobacco — 0.1%
Altria Group, Inc.:
4.75%, 05/05/21	USD		900	$	930,263
3.49%, 02/14/22			502		524,869
2.85%, 08/09/22			443		462,968
3.80%, 02/14/24			690		758,418
2.35%, 05/06/25			790		840,360
5.38%, 01/31/44			500		647,352
5.95%, 02/14/49			2,042		2,888,033
BAT Capital Corp.:
2.76%, 08/15/22			6,399		6,653,285
2.79%, 09/06/24			800		853,667
3.46%, 09/06/29			1,350		1,472,232
4.39%, 08/15/37			675		772,396
4.54%, 08/15/47			1,188		1,360,100
4.76%, 09/06/49			290		342,286
Philip Morris International, Inc., 1.50%, 05/01/25			1,200		1,241,442
Vector Group Ltd., 6.13%, 02/01/25^(b)			3,450		3,428,437

					23,176,108

Trading Companies & Distributors — 0.3%
Air Lease Corp.:
2.50%, 03/01/21			1,300		1,304,124
3.50%, 01/15/22			2,040		2,063,968
Fortress Transportation & Infrastructure Investors LLC^(b):
6.75%, 03/15/22			545		553,235
6.50%, 10/01/25			825		775,673
Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/27^(b)			2,288		2,362,360
HD Supply, Inc., 5.38%, 10/15/26^(b)			11,952		12,524,979
Herc Holdings, Inc., 5.50%, 07/15/27^(b)			1,261		1,333,508
United Rentals North America, Inc.:
5.50%, 07/15/25			605		622,303
4.63%, 10/15/25			2,502		2,573,933
5.88%, 09/15/26			1,234		1,317,295
5.50%, 05/15/27			4,386		4,720,432
3.88%, 11/15/27			322		338,100
4.88%, 01/15/28			635		681,831
5.25%, 01/15/30			6		6,570
4.00%, 07/15/30			1,241		1,284,435
3.88%, 02/15/31			2,158		2,158,000
WESCO Distribution, Inc.:
5.38%, 12/15/21			200		201,302
7.13%, 06/15/25^(b)			4,562		5,006,293
7.25%, 06/15/28^(b)			4,146		4,529,505

					44,357,846

Transportation Infrastructure — 0.0%
Atlantia SpA:
1.63%, 02/03/25	EUR		500		574,863
1.88%, 07/13/27			200		228,673
Autostrade per l’Italia SpA:
6.25%, 06/09/22	GBP		300		416,478
5.88%, 06/09/24	EUR		1,800		2,423,035
4.38%, 09/16/25			400		522,840
1.88%, 11/04/25			300		347,201
1.75%, 06/26/26			200		228,817
1.75%, 02/01/27			500		566,659
Royal Capital BV^(m):
5.88%	USD		1,014		1,018,753
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.93%), 4.88%^(a)			508		500,725

					6,828,044


Security		Par (000)		Value

Wireless Telecommunication Services — 0.6%
America Movil SAB de CV:
3.13%, 07/16/22	USD		300	$	312,975
3.63%, 04/22/29			1,850		2,106,109
4.38%, 04/22/49			250		330,456
C&W Senior Financing DAC^(b):
7.50%, 10/15/26			625		665,625
6.88%, 09/15/27			985		1,051,783
Comunicaciones Celulares SA, 6.88%, 02/06/24^(b)			1,045		1,070,472
Connect Finco SARL, 6.75%, 10/01/26^(b)			11,273		11,558,207
Hughes Satellite Systems Corp.:
5.25%, 08/01/26			3,302		3,625,200
6.63%, 08/01/26			598		665,275
Matterhorn Telecom SA:
2.63%, 09/15/24	EUR		200		230,878
4.00%, 11/15/27			1,100		1,298,985
Millicom International Cellular SA, 5.13%, 01/15/28^(b)	USD		5,600		5,872,475
Rogers Communications, Inc., 3.70%, 11/15/49			176		208,843
SoftBank Group Corp.:
4.00%, 04/20/23	EUR		1,826		2,215,680
(USD Swap Rate 5 Year + 4.23%), 6.00%^(a)^(m)	USD		1,100		1,055,105
4.50%, 04/20/25	EUR		200		246,361
4.75%, 07/30/25			1,783		2,217,418
3.13%, 09/19/25			900		1,054,364
5.00%, 04/15/28			1,500		1,915,032
4.00%, 09/19/29			500		609,523
Sprint Communications, Inc., 6.00%, 11/15/22	USD		1,300		1,405,443
Sprint Corp.:
7.25%, 09/15/21			1,050		1,109,063
7.88%, 09/15/23			4,790		5,556,400
7.13%, 06/15/24			2,246		2,620,071
7.63%, 02/15/25			2,042		2,480,152
7.63%, 03/01/26			3,097		3,871,188
Sprint Spectrum Co. LLC, 4.74%, 03/20/25^(b)			240		261,000
Telefonica Europe BV^(a)(m):
(EUR Swap Annual 10 Year + 4.30%), 5.87%	EUR		1,500		1,932,815
(EUR Swap Annual 6 Year + 4.11%), 4.37%			1,600		1,979,710
T-Mobile USA, Inc.:
4.00%, 04/15/22	USD		150		156,996
6.00%, 03/01/23			700		706,048
6.00%, 04/15/24			650		665,333
6.38%, 03/01/25			875		898,222
3.50%, 04/15/25^(b)			1,250		1,378,438
5.13%, 04/15/25			150		153,750
6.50%, 01/15/26			1,055		1,112,128
4.50%, 02/01/26			460		473,800
5.38%, 04/15/27			250		272,813
4.75%, 02/01/28			7,617		8,253,781
3.88%, 04/15/30^(b)			1,575		1,803,769
4.38%, 04/15/40^(b)			475		579,932
4.50%, 04/15/50^(b)			1,059		1,322,003
United States Cellular Corp., 6.70%, 12/15/33			199		249,484
VEON Holdings BV, 4.00%, 04/09/25^(b)			4,695		4,844,653
Vodafone Group plc:
5.25%, 05/30/48			1,287		1,759,663
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/03/78^(a)	EUR		1,132		1,470,117
(EUR Swap Annual 5 Year + 2.67%), 3.10%, 01/03/79^(a)			500		596,991
(USD Swap Semi 5 Year + 4.87%), 7.00%, 04/04/79^(a)	USD		14,595		17,559,901


Security		Par (000)		Value

Wireless Telecommunication Services (continued)
VTR Comunicaciones SpA, 5.13%, 01/15/28^(b)	USD		1,263	$	1,345,095

					105,129,525


Total Corporate Bonds — 33.8% (Cost: $5,380,680,499)					5,587,860,287


Equity-Linked Notes — 9.1%

Aerospace & Defense — 0.1%
Royal Dutch Shell plc (L3Harris Technologies, Inc.), 0.00%, 10/20/20^(b)			66		11,108,474


Banks — 0.5%
Barclays Bank plc (Bank of America Corp.), 18.60%, 10/14/20			916		22,537,357
Barclays Bank plc (JPMorgan Chase & Co.), 15.63%, 11/19/20			335		32,788,922
BNP Paribas SA (PNC Financial Services Group, Inc. (The)), 19.89%, 11/18/20			107		11,408,355
BNP Paribas SA (US Bancorp), 18.88%, 11/18/20			295		10,992,043

					77,726,677

Beverages — 0.3%
Barclays Bank plc (PepsiCo, Inc.), 11.00%, 11/19/20			162		22,260,326
BNP Paribas SA (Coca-Cola Co (The)), 9.92%, 11/18/20			655		31,081,584

					53,341,910

Biotechnology — 0.3%
Merrill Lynch International & Co. (Biogen, Inc.), 16.75%, 10/19/20			19		5,184,626
Royal Dutch Shell plc (AbbVie, Inc.), 0.00%, 12/03/20^(b)			237		22,410,770
Royal Dutch Shell plc (Gilead Sciences, Inc.), 0.00%, 10/22/20^(b)			227		15,749,544

					43,344,940

Building Products — 0.1%
Royal Dutch Shell plc (Johnson Controls International plc), 0.00%, 10/22/20^(b)			293		11,235,320


Capital Markets — 0.3%
HSBC Bank plc (Goldman Sachs Group, Inc. (The)), 17.30%, 10/13/20			51		10,305,138
JPMorgan Structured Products BV (Charles SchwabCorp. (The)), 16.53%, 10/14/20^(b)			315		10,621,121
Merrill Lynch International & Co. (Intercontinental Exchange, Inc.), 10.55%, 10/21/20			119		11,226,036
Royal Bank of Canada (S&P Global, Inc.), 11.02%, 11/27/20^(b)			32		11,068,933

					43,221,228

Chemicals — 0.3%
Barclays Bank plc (Sherwin-Williams Co (The)), 9.60%, 10/16/20			17		11,050,434
JPMorgan Structured Products BV (Celanese Corp.), 13.07%, 10/19/20^(b)			44		4,272,267
Merrill Lynch International & Co. (Air Products and Chemicals, Inc.), 10.91%, 11/05/20			18		5,127,506
Merrill Lynch International & Co. (Dow, Inc.), 15.08%, 11/18/20			246		10,200,752
Merrill Lynch International & Co. (Ecolab, Inc.), 12.84%, 10/19/20			55		10,289,039
Merrill Lynch International & Co. (PPG Industries, Inc.), 16.78%, 10/19/20			69		7,535,489

					48,475,487


Security		Par (000)		Value

Commercial Services & Supplies — 0.1%
BNP Paribas SA (Copart, Inc.), 12.52%, 08/10/20^(b)	USD		70	$	6,473,269
Merrill Lynch International & Co. (Republic Services, Inc.), 20.55%, 08/06/20			57		4,764,274
Merrill Lynch International & Co. (Waste Management, Inc.), 9.08%, 11/25/20			102		11,188,886

					22,426,429

Communications Equipment — 0.3%
Citigroup Global Markets Holdings, Inc. (Cisco Systems, Inc.), 13.09%, 08/11/20^(b)			1,070		50,116,873


Construction Materials — 0.0%
Merrill Lynch International & Co. (Martin Marietta Materials, Inc.), 19.17%, 10/19/20			30		6,295,412


Consumer Finance — 0.1%
Merrill Lynch International & Co. (Capital One Financial Corp.), 21.79%, 10/21/20			80		5,179,105
Royal Bank of Canada (Discover Financial Services), 25.07%, 10/21/20^(b)			100		5,040,175

					10,219,280

Diversified Telecommunication Services — 0.3%
Merrill Lynch International & Co. (Verizon Communications, Inc.), 7.88%, 10/26/20			372		21,341,465
Royal Bank of Canada (AT&T, Inc.), 10.01%, 11/18/20^(b)			877		26,042,716

					47,384,181

Electric Utilities — 0.2%
Nomura Holdings, Inc. (NextEra Energy, Inc.), 12.10%, 10/22/20			75		20,968,921
Societe Generale SA (Southern Co (The)), 13.03%, 10/21/20			203		11,217,735

					32,186,656

Entertainment — 0.1%
Merrill Lynch International & Co. (Netflix, Inc.), 17.69%, 11/23/20			18		8,903,621
Royal Dutch Shell plc (Electronic Arts, Inc.), 0.00%, 10/20/20^(b)			81		11,388,854

					20,292,475

Equity Real Estate Investment Trusts (REITs) — 0.3%
Merrill Lynch International & Co. (American Tower Corp.), 16.44%, 11/25/20			64		16,795,670
Merrill Lynch International & Co. (Crown Castle International Corp.), 13.40%, 10/21/20			66		11,233,388
Merrill Lynch International & Co. (Equity Residential), 21.37%, 10/19/20			120		6,424,494
Merrill Lynch International & Co. (Prologis, Inc.), 14.45%, 10/19/20			108		10,867,420
Societe Generale SA (AvalonBay Communities, Inc.), 11.83%, 10/21/20			45		6,749,992

					52,070,964

Food & Staples Retailing — 0.6%
Barclays Bank plc (Costco Wholesale Corp.), 9.06%, 09/21/20			153		48,408,718
Merrill Lynch International & Co. (Sprouts Farmers Market, Inc.), 14.91%, 10/21/20			253		6,697,986
Royal Bank of Canada (Kroger Co (The)), 17.68%, 09/14/20^(b)			1,461		49,348,317

					104,455,021

Food Products — 0.2%
Merrill Lynch International & Co. (Kellogg Co.), 10.75%, 10/21/20			95		6,719,528
Nomura Holdings, Inc. (Quality Pork International, Inc.), 17.90%, 10/16/20			38		3,908,055


Security		Par (000)		Value

Food Products (continued)
Royal Bank of Canada (Hershey Co (The)), 8.48%, 11/18/20^(b)	USD		72	$	10,558,690
Societe Generale SA (Archer-Daniels-Midland Co.), 14.64%, 10/21/20			156		6,749,378

					27,935,651

Health Care Equipment & Supplies — 0.2%^(b)
JPMorgan Structured Products BV (Abbott Laboratories), 11.52%, 11/20/20			232		22,901,137
JPMorgan Structured Products BV (Edwards Lifesciences Corp.), 11.77%, 10/22/20			67		5,278,148
Royal Bank of Canada (Danaher Corp.), 8.62%, 10/22/20			52		10,557,326

					38,736,611

Health Care Providers & Services — 0.5%
Barclays Bank plc (CVS Health Corp.), 7.48%, 08/04/20			552		34,769,634
BNP Paribas SA (HCA Healthcare, Inc.), 17.13%, 10/19/20			43		5,384,669
BNP Paribas SA (UnitedHealth Group, Inc.), 12.63%, 11/18/20			109		33,139,902
Societe Generale SA (Anthem, Inc.), 11.49%, 12/02/20			37		10,295,085

					83,589,290

Hotels, Restaurants & Leisure — 0.2%^(b)
JPMorgan Structured Products BV (Domino’s Pizza, Inc.), 11.40%, 10/14/20			27		10,617,038
JPMorgan Structured Products BV (Starbucks Corp.), 12.52%, 10/19/20			137		10,614,727
Royal Bank of Canada (Chipotle Mexican Grill, Inc.), 12.32%, 10/21/20			5		5,285,584

					26,517,349

Household Products — 0.3%
Royal Bank of Canada (Kimberly-Clark Corp.), 7.36%, 11/18/20^(b)			71		10,650,422
Royal Dutch Shell plc (Colgate-Palmolive Co.), 0.00%, 10/20/20^(b)			146		11,221,193
Societe Generale SA (Procter & Gamble Co. (The)), 0.40%, 10/21/20			255		33,561,703

					55,433,318

Insurance — 0.1%
Royal Dutch Shell plc (Aon plc), 0.00%, 10/20/20^(b)			55		11,287,416


Interactive Media & Services — 0.1%
Royal Dutch Shell plc (Alphabet, Inc.), 0.00%, 12/01/20^(b)			12		18,087,046


Internet & Direct Marketing Retail — 0.4%
Royal Dutch Shell plc (Amazon.com, Inc.), 0.00%, 10/22/20^(b)			17		53,832,815
Societe Generale SA (eBay, Inc.), 14.30%, 10/19/20			116		6,369,279

					60,202,094

IT Services — 0.2%^(b)
JPMorgan Structured Products BV (Visa, Inc.), 8.72%, 10/19/20			81		16,063,960
Nomura Holdings, Inc. (Mastercard, Inc.), 12.48%, 10/21/20			54		16,780,781

					32,844,741


Security		Par (000)		Value

Life Sciences Tools & Services — 0.1%
Nomura Holdings, Inc. (Thermo Fisher Scientific, Inc.), 10.64%, 10/20/20	USD		26	$	10,535,064
Nomura Holdings, Inc. (Waters Corp.), 13.26%, 10/16/20			29		6,241,459

					16,776,523

Machinery — 0.0%
Merrill Lynch International & Co. (PACCAR, Inc.), 12.02%, 10/21/20			61		5,191,093


Media — 0.0%
Royal Dutch Shell plc (Altice USA, Inc.), 0.00%, 10/22/20^(b)			249		6,754,206


Metals & Mining — 0.1%
JPMorgan Structured Products BV (Alcoa Corp.), 20.40%, 10/14/20^(b)			580		7,718,627


Multiline Retail — 0.6%^(b)
JPMorgan Structured Products BV (Target Corp.), 17.08%, 08/10/20			395		48,919,708
Royal Bank of Canada (Dollar General Corp.), 13.03%, 08/26/20			247		47,116,814

					96,036,522

Pharmaceuticals — 0.5%
Nomura Holdings, Inc. (Pfizer, Inc.), 16.08%, 11/27/20			562		21,905,466
Royal Dutch Shell plc (Merck & Co, Inc.), 0.00%, 10/20/20^(b)			281		22,481,470
UBS AG (Johnson & Johnson), 10.50%, 11/20/20			290		42,660,248

					87,047,184

Professional Services — 0.0%
Royal Bank of Canada (TransUnion), 12.95%, 10/16/20^(b)			72		6,443,766


Road & Rail — 0.2%
Merrill Lynch International & Co. (CSX Corp.), 13.40%, 10/15/20			147		10,484,919
Merrill Lynch International & Co. (Norfolk Southern Corp.), 12.98%, 10/19/20			55		10,524,710
Nomura Holdings, Inc. (Union Pacific Corp.), 11.75%, 10/15/20			59		10,322,115
Royal Bank of Canada (Kansas City Southern), 15.55%, 11/23/20^(b)			41		6,860,219

					38,191,963

Semiconductors & Semiconductor Equipment — 0.2%
Societe Generale SA (Advanced Micro Devices, Inc.), 18.18%, 10/19/20			140		10,773,507
Societe Generale SA (Lam Research Corp.), 18.87%, 10/19/20			29		10,875,743
Societe Generale SA (QUALCOMM, Inc.), 15.69%, 10/21/20			157		16,789,362

					38,438,612

Software — 0.3%
Citigroup Global Markets Holdings, Inc. (Microsoft Corp.), 13.70%, 11/18/20^(b)			204		42,166,185
Merrill Lynch International & Co. (ServiceNow, Inc.), 18.13%, 10/21/20			26		11,169,798

					53,335,983

Specialty Retail — 0.4%
Merrill Lynch International & Co. (O’Reilly Automotive, Inc.), 7.90%, 10/21/20			14		6,668,195
Merrill Lynch International & Co. (Tractor Supply Co.), 13.11%, 10/22/20			36		5,202,748


Security	Par (000)			Value

Specialty Retail (continued)
Royal Bank of Canada (Home Depot, Inc. (The)), 16.68%, 08/10/20^(b)		USD	196	$	49,623,450

					61,494,393

Technology Hardware, Storage & Peripherals — 0.4%
Royal Dutch Shell plc (Apple, Inc.), 0.00%, 10/22/20^(b)			153		63,093,920


Tobacco — 0.2%
Nomura Holdings, Inc. (Philip Morris International, Inc.), 15.51%, 10/20/20			139		10,579,656
Royal Bank of Canada (Altria Group, Inc.), 16.12%, 11/27/20^(b)			386		16,053,405

					26,633,061


Total Equity-Linked Notes — 9.1% (Cost: $1,487,277,534)					1,495,690,696


Floating Rate Loan Interests — 6.1%

Aerospace & Defense — 0.1%
Dynasty Acquisition Co., Inc., Term Loan:
(LIBOR USD 3 Month + 3.50%), 3.81%, 04/06/26^(l)			13,157		10,498,477
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 5.00%), 6.00%, 11/28/21^(l)			2,003		1,879,394
Sequa Mezzanine Holdings LLC, Term Loan, 11/28/23^(l)(p)			50		46,985
TransDigm, Inc., Term Loan:^(l)
(LIBOR USD 1 Month + 2.25%), 2.41%, 08/22/24			4,415		4,125,150
(LIBOR USD 1 Month + 2.25%), 2.41%, 12/09/25			5,616		5,249,904

					21,799,910

Airlines — 0.1%^(l)
American Airlines, Inc., Term Loan B, (LIBOR USD 1 Month + 2.00%), 2.17%, 12/15/23			3,671		2,735,214
American Airlines, Inc., Term Loan B23, (LIBOR USD 1 Month + 2.00%), 2.17%, 04/28/23			1,882		1,411,262
JetBlue Airways Corp., Term Loan, (LIBOR USD 3 Month + 5.25%), 6.25%, 06/17/24			1,052		1,036,441
Kestrel Bidco, Inc., Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 12/11/26			5,238		3,832,987

					9,015,904

Auto Components — 0.1%^(l)
Panther BF Aggregator 2 LP, Term Loan B, (LIBOR USD 1 Month + 3.50%), 3.67%, 04/30/26			9,298		9,063,664
Wand Newco 3, Inc., Term Loan, 02/05/26^(p)			3,207		3,065,294

					12,128,958

Automobiles — 0.0%
Dealer Tire LLC, Term Loan B1, (LIBOR USD 1 Month + 4.25%), 4.41%, 12/12/25^(l)			5,503		5,344,635


Building Products — 0.1%^(l)
CPG Merger Sub LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 4.75%, 05/05/24			1,424		1,412,876
Wilsonart LLC, 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%), 4.25%, 12/19/23			7,003		6,832,097

					8,244,973

Capital Markets — 0.0%^(l)
Fortress Investment Group LLC, Term Loan B, (LIBOR USD 1 Month + 2.00%), 2.16%, 12/27/22			676		664,237
Greenhill & Co., Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 04/12/24^(d)			1,641		1,559,135


Security	Par (000)				Value

Capital Markets (continued)
Jefferies Finance LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 3.44%, 06/03/26		USD	1,866		$	1,790,870
Travelport Finance (Luxembourg) SA, 1st Lien Term Loan, (LIBOR USD 3 Month + 5.00%), 6.07%, 05/29/26			4,284			2,567,060

						6,581,302

Chemicals — 0.2%^(l)
Alpha 3 BV, Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 01/31/24			6,204			6,097,637
Ascend Performance Materials LLC, Term Loan B, (LIBOR USD 3 Month + 5.25%), 6.25%, 08/27/26^(d)			4,525			4,536,027
Axalta Dupont PC, Term Loan, (LIBOR USD 3 Month + 1.75%), 2.06%, 06/01/24			2,424			2,369,367
Chemours Co. (The), 1st Lien Term Loan, (LIBOR USD 1 Month + 1.75%), 1.92%, 04/03/25			1,486			1,406,489
Ennis-Flint Road Infrastructure Investment, Term Loan, (LIBOR USD 3 Month + 2.50%), 4.50% - 5.75%, 06/13/23			1,626			1,478,301
Greenrock Finance, Inc., Term Loan, (LIBOR USD 3 Month + 3.50%), 4.50%, 06/28/24			795			741,243
Illuminate Buyer LLC, Term Loan, (LIBOR USD 3 Month + 4.00%), 4.31%, 06/30/27			3,153			3,114,894
Invictus Co., Term Loan B, (LIBOR USD 1 Month + 3.00%), 3.16%, 03/28/25			706			661,157
IPS Acquisition LLC, Term Loan B2, (LIBOR USD 1 Month + 3.25%), 4.25%, 11/07/24			2,705			2,648,622
Messer Industries GmbH, Term Loan, (LIBOR USD 3 Month + 2.50%), 2.81%, 03/02/26			3,502			3,423,431
Momentive Performance Materials, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 3.42%, 05/15/24			993			930,085
OXEA Holding Vier GmbH, Term Loan, (LIBOR USD 1 Month + 3.50%), 3.69%, 10/14/24			3,752			3,514,201

						30,921,454

Commercial Services & Supplies — 0.2%^(l)
Advanced Disposal Services, Inc., Term Loan, (LIBOR USD 3 Month + 2.25%), 3.00%, 11/10/23			3,328			3,305,186
Allied Universal Holdco LLC, Term Loan B, (LIBOR USD 1 Month + 4.25%), 4.41%, 07/10/26			3,903			3,849,412
Brand Energy & Infrastructure Services, Inc., Term Loan, 06/21/24^(p)			4,869			4,433,009
Capri Acquisitions Bidco Ltd., Term Loan, (LIBOR USD 3 Month + 3.00%), 3.26%, 11/01/24			4,950			4,937,613
Diamond (BC) BV, Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16% - 3.26%, 09/06/24			3,274			3,082,770
KAR Auction Services, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 2.44%, 09/19/26^(d)			962			925,583
Prime Security Services Borrower LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 3.25%), 4.25%, 09/23/26			2,759			2,708,040
Spring Education Group, Inc., Term Loan, (LIBOR USD 3 Month + 4.25%), 4.56%, 07/30/25			—	^(q)		419
Tempo Acquisition LLC, Term Loan, (LIBOR USD 1 Month + 2.75%), 2.91%, 05/01/24			11,449			11,139,784
US Ecology Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 2.50%), 2.66%, 11/02/26^(d)			579			571,128
West Corp., Term Loan:
(LIBOR USD 3 Month + 3.50%), 4.50%, 10/10/24			1,176			1,018,875


Security	Par (000)			Value

Commercial Services & Supplies (continued)
10/10/24^(p)		USD	2,400	$	2,105,576

					38,077,395

Construction & Engineering — 0.0%^(l)
Ply Gem, Inc., Term Loan B, (LIBOR USD 1 Month + 3.75%), 3.93%, 04/01/25			575		562,167
SRS Distribution, Inc., Term Loan B, (LIBOR USD 3 Month + 3.00%), 4.07%, 05/23/25			4,233		4,084,873

					4,647,040

Construction Materials — 0.1%^(l)
American Builders And Contractors Supply, Term Loan, (LIBOR USD 1 Month + 2.00%), 2.16%, 01/15/27			4,303		4,171,331
Core & Main LP, Term Loan, (LIBOR USD 6 Month + 2.75%), 3.75%, 08/01/24			5,707		5,546,230
Forterra Finance LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 10/25/23			2,530		2,468,377

					12,185,938

Containers & Packaging — 0.2%^(l)
Berry Global, Inc., Term Loan:
(LIBOR USD 1 Month + 2.00%), 2.19%, 10/01/22			2,503		2,453,329
(LIBOR USD 1 Month + 2.00%), 2.19%, 07/01/26			750		726,535
BWAY Holding Co., Term Loan, (LIBOR USD 3 Month + 3.25%), 3.52%, 04/03/24			5,923		5,518,596
Charter NEX US, Inc., 1st Lien Term Loan:
(LIBOR USD 1 Month + 3.25%), 3.41%, 05/16/24			957		935,522
(LIBOR USD 1 Month + 2.75%), 3.75%, 05/16/24			4,855		4,750,392
Flex Acquisition Co., Inc., Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 12/29/23			3,187		3,084,179
Graham Packaging Co. LP, Term Loan, 08/04/27^(p)			1,117		1,113,604
Pregis TopCo LLC, Term Loan, (LIBOR USD 1 Month + 4.00%), 4.16%, 07/31/26			1,370		1,342,370
Reynolds Group Holdings, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.75%), 2.91%, 02/05/23			9,233		9,035,495
Tosca Services, Term Loan, 07/28/27^(p)			1,201		1,197,493

					30,157,515

Diversified Consumer Services — 0.2%^(l)
AlixPartners LLP, 1st Lien Term Loan, (LIBOR USD 1 Month + 2.50%), 2.66%, 04/04/24			4,705		4,599,204
Bright Horizons Family Solutions, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 1.75%), 2.50%, 11/07/23			5,618		5,458,407
Maverick Purchaser Sub, LLC, Term Loan, (LIBOR USD 1 Month + 4.00%), 4.16%, 01/29/27			690		684,825
Mileage Plus Holdings LLC, Term Loan, (LIBOR USD 3 Month + 5.25%), 6.25%, 06/21/27			3,694		3,682,918
Research Now, Inc., Term Loan, (LIBOR USD 3 Month + 5.50%), 6.50%, 12/07/24			1,555		1,463,839
Sotheby’s, Inc., Term Loan B, (LIBOR USD 1 Month + 5.50%), 6.50%, 01/15/27			6,914		6,573,834
TierPoint LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 4.75%, 05/06/24			1,776		1,704,767
Trugreen Ltd. Partnership, 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.75%), 3.91%, 03/19/26			2,641		2,581,766

					26,749,560


Security	Par (000)			Value

Diversified Financial Services — 0.7%^(l)
Advisor Group Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 5.00%), 5.16%, 07/31/26		USD	2,388	$	2,252,931
Belron Finance LLC, Term Loan B, (LIBOR USD 3 Month + 2.50%), 2.77%, 10/30/26			2,122		2,075,751
BW Gas & Convenience Holdings LLC, Term Loan, (LIBOR USD 1 Month + 6.25%), 6.43%, 11/13/26			681		665,647
Colorado Plaza, Term Loan, (LIBOR USD 6 Month + 2.90%), 4.58%, 05/15/21^(d)			9,600		8,640,000
Connect Finco SARL, Term Loan B, 12/11/26^(p)			13,236		12,872,016
Deerfield Dakota Holding, LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 4.75%, 04/09/27			3,958		3,896,894
Genuine Financial Holdings LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 07/11/25			2,251		2,052,293
Houston Center, Term Loan, (LIBOR USD 6 Month + 2.10%), 3.07% - 3.87%, 12/09/22			36,563		36,562,695
Lealand Finance Co. BV, Term Loan, (LIBOR USD 1 Month + 3.00%), 3.17%, 06/28/24^(d)			41		36,554
McDermott Lealand Finance, Inc., Term Loan, (LIBOR USD 6 Month + 4.00%), 4.17%, 06/30/25			375		297,622
Park Avenue Tower, Term Loan, (LIBOR USD 6 Month + 0.19%), 2.17% - 2.24%, 03/09/24^(d)			31,329		31,122,205
SMG US Midco 2, Inc., Term Loan, (LIBOR USD 3 Month + 2.50%), 2.66% - 2.76%, 01/23/25			3,031		2,563,081
VICI Properties 1 LLC, Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.93%, 12/22/24			4,817		4,622,792
Ziggo Finance Partnership, Term Loan, (LIBOR USD 1 Month + 2.50%), 2.67%, 04/30/28			2,902		2,783,337

					110,443,818

Diversified Telecommunication Services — 0.2%^(l)
Altice Financing SA, Term Loan, (LIBOR USD 1 Month + 2.75%), 2.92%, 01/31/26			3,087		2,963,777
Altice Financing SA, Term Loan B, 07/15/25^(p)			964		926,484
Altice France SA, Term Loan, (LIBOR USD 1 Month + 4.00%), 4.17%, 08/14/26			4,781		4,666,435
Iridium Satellite LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 4.75%, 11/04/26			1,550		1,547,852
Level 3 Financing, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 03/01/27			4,741		4,588,342
MTN Infrastructure TopCo, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 11/15/24			3,032		2,951,134
Northwest Fiber LLC, Term Loan, (LIBOR USD 1 Month + 5.50%), 5.67%, 04/30/27			1,312		1,302,160
Zayo Group LLC, Term Loan, 03/09/27^(p)			19,223		18,646,531

					37,592,715

Electric Utilities — 0.0%^(l)
Calpine Corp., Term Loan B, (LIBOR USD 1 Month + 2.00%), 2.16%, 01/15/25			1,613		1,563,638
Edgewater Generation LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 12/13/25			1,635		1,580,535
PGE Corp., Term Loan, (LIBOR USD 3 Month + 4.50%), 5.50%, 06/23/25			4,523		4,467,865
Vistra Operations Co. LLC, Term Loan B3, (LIBOR USD 1 Month + 1.75%), 1.91% - 1.93%, 12/31/25			5		4,716

					7,616,754


Security	Par (000)			Value

Electrical Equipment — 0.0%
Graftech International Ltd., 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.50%), 4.50%, 02/12/25^(l)		USD	2,140	$	2,075,974


Entertainment — 0.1%^(l)
Creative Artists Agency LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 11/27/26			3,035		2,875,126
Datto, Inc., 1st Lien Term Loan, 04/02/26^(p)			1,280		1,270,289
Live Nation Entertainment, Inc., Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.94%, 10/19/26			2,315		2,139,781
Renaissance Learning, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 3.41%, 05/30/25			88		85,152
UFC Holdings LLC, First Lien Term Loan, (LIBOR USD 3 Month + 3.25%), 4.25%, 04/29/26			992		962,858
William Morris Endeavor Entertainment LLC, Term Loan B, (LIBOR USD 1 Month + 2.75%), 2.92%, 05/18/25			3,666		2,889,031

					10,222,237

Equity Real Estate Investment Trusts (REITs) — 0.0%^(l)
Claros Mortgage Trust, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.44%, 08/09/26^(d)			1,264		1,172,545
DTZ US Borrower LLC, Term Loan, 08/21/25^(p)			2,486		2,370,895

					3,543,440

Food & Staples Retailing — 0.1%^(l)
H-Food Holdings LLC, Term Loan, (LIBOR USD 1 Month + 3.69%), 3.85%, 05/23/25			1,366		1,316,732
H-Food Incremental, Term Loan, (LIBOR USD 1 Month + 4.00%), 4.16%, 05/23/25			1,556		1,520,986
US Foods, Inc., Term Loan B:
(LIBOR USD 1 Month + 1.75%), 1.91%, 06/27/23			3,850		3,642,846
(LIBOR USD 3 Month + 2.00%), 3.07%, 08/14/26			2,440		2,293,835

					8,774,399

Food Products — 0.2%^(l)
1011778 BC ULC, Term Loan B4, (LIBOR USD 1 Month + 1.75%), 1.91%, 11/19/26			3,991		3,825,615
8th Avenue Food & Provisions, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 3.67%, 10/01/25			2,113		2,077,445
B&G Foods, Inc., Term Loan B, (LIBOR USD 1 Month + 2.50%), 2.66%, 10/10/26			263		258,607
Chobani LLC, Term Loan, 10/10/23^(p)			6,511		6,441,862
Froneri International Ltd., 2nd Lien Term Loan, (LIBOR USD 1 Month + 5.75%), 5.91%, 01/31/28			279		269,235
Froneri International Ltd., Term Loan, (LIBOR USD 1 Month + 2.25%), 2.41%, 01/29/27			8,770		8,398,854
Hostess Brands LLC, Term Loan, (LIBOR USD 3 Month + 2.25%), 3.00%, 08/03/25			1,699		1,657,532
Nomad Foods Ltd., Term Loan, (LIBOR USD 1 Month + 2.25%), 2.42%, 05/15/24			500		483,909
Pathway Vet Alliance LLC, Term Loan, (LIBOR USD 6 Month + 4.00%), 4.18%, 03/31/27			1,469		1,438,938
TMK Hawk Parent Corp., Term Loan, (LIBOR USD 3 Month + 3.50%), 4.58%, 08/28/24			5,200		3,969,009

					28,821,006


Security	Par (000)			Value

Health Care Equipment & Supplies — 0.1%
Sotera Health Holdings LLC, Term Loan, (LIBOR USD 1 Month + 4.50%), 5.50%, 12/11/26^(l)		USD	9,504	$	9,468,692


Health Care Providers & Services — 0.2%^(l)
AHP Health Partners, Inc., Term Loan, (LIBOR USD 1 Month + 4.50%), 5.50%, 06/30/25^(d)			1,078		1,068,284
Azalea TopCo, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 3.66% - 3.76%, 07/24/26			2,840		2,787,494
CHG Healthcare Services, Inc., Term Loan B, (LIBOR USD 3 Month + 3.00%), 4.07%, 06/07/23			2,876		2,826,047
Dentalcorp Perfect Smile ULC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.75%), 4.75%, 05/31/25			852		763,694
Envision Healthcare Corp., Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 10/10/25			3,418		2,241,047
Eyecare Partners LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 4.82%, 02/18/27			2,350		2,148,829
Gentiva Health Services, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.44%, 07/02/25			3,096		3,041,796
MPH Acquisition Holdings LLC, Term Loan, 06/07/23^(p)			1,641		1,613,951
nThrive, Inc., 1st Lien Term Loan, 10/20/22^(p)			2,037		1,782,020
Option Care Health, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 4.50%), 4.66%, 08/06/26			2,740		2,725,378
Ortho-Clinical Diagnostics, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.42%, 06/30/25			5,800		5,633,100
Team Health Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 3.75%, 02/06/24			1,287		1,016,980
WCG Purchaser Corp., Term Loan, (LIBOR USD 3 Month + 4.00%), 5.24%, 01/08/27			2,115		2,088,563
Wink Holdco, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 12/02/24			917		892,900
WP CityMD Bidco LLC, Term Loan, (LIBOR USD 3 Month + 4.50%), 5.50% - 5.57%, 08/13/26			2,480		2,464,570

					33,094,653

Health Care Technology — 0.0%
Change Healthcare Holdings LLC, Term Loan B, (LIBOR USD 3 Month + 2.50%), 3.50%, 03/01/24^(l)			5,588		5,459,586


Hotels, Restaurants & Leisure — 0.3%^(l)
Aimbridge Acquisition, Inc., Term Loan B, (LIBOR USD 1 Month + 3.75%), 3.92%, 02/02/26			511		435,432
Aristocrat Leisure Ltd., Term Loan, (LIBOR USD 3 Month + 3.75%), 4.75%, 10/19/24^(d)			1,540		1,547,700
Aristocrat Leisure Ltd., Term Loan B, (LIBOR USD 3 Month + 1.75%), 2.02%, 10/19/24			964		936,634
Boyd Gaming Corp., Term Loan B, (LIBOR USD 3 Month + 2.25%), 2.36%, 09/15/23			1,048		1,011,897
Caesars Resort Collection LLC, Term Loan:
(LIBOR USD 1 Month + 2.75%), 2.91%, 12/23/24			6,479		5,951,032
(LIBOR USD 1 Month + 4.50%), 4.69% - 4.77%, 07/21/25			6,261		6,024,271
CityCenter Holdings LLC, Term Loan B, (LIBOR USD 1 Month + 2.25%), 3.00%, 04/18/24			3,140		2,900,632
Flutter Entertainment plc, Term Loan, (LIBOR USD 3 Month + 3.50%), 3.81%, 07/10/25			1,926		1,924,657


Security	Par (000)			Value

Hotels, Restaurants & Leisure (continued)
Four Seasons Holdings, Inc., Term Loan F, (LIBOR USD 1 Month + 2.00%), 2.16%, 11/30/23		USD	1,978	$	1,904,525
Golden Nugget Online Gaming, Inc., Term Loan, (LIBOR USD 6 Month + 12.00%), 13.00%, 10/04/23^(d)			312		351,098
Golden Nugget, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 2.50%), 3.25%, 10/04/23			2,976		2,482,602
Hilton Washington Dupont Hotel, Term Loan, (LIBOR USD 6 Month + 3.50%), 3.50%, 04/01/24^(d)			14,250		12,825,000
IRB Holding Corp., Term Loan, (LIBOR USD 3 Month + 2.75%), 3.75%, 02/05/25			4,218		3,952,017
KFC Holding Co., Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.94%, 04/03/25			2,948		2,848,226
Motorcity Casino Hotel, 1st Lien Term Loan B, (LIBOR USD 1 Month + 2.25%), 3.00%, 08/06/21			874		854,636
Playa Resorts Holding BV, 1st Lien Term Loan B, (LIBOR USD 1 Month + 2.75%), 3.75%, 04/29/24			611		520,494
Playtika Holding Corp., Term Loan B, (LIBOR USD 3 Month + 6.00%), 7.07%, 12/10/24			2,292		2,308,775
Scientific Games International, Inc., Term Loan B, (LIBOR USD 3 Month + 2.75%), 2.91% - 3.61%, 08/14/24			1,539		1,398,495
Station Casinos LLC, Term Loan B, 02/08/27^(p)			3,025		2,785,072
Whatabrands LLC, Term Loan B, (LIBOR USD 1 Month + 2.75%), 2.92%, 07/31/26			2,453		2,359,955
Wyndham Hotels & Resorts, Inc., Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.91%, 05/30/25			983		934,800

					56,257,950

Household Durables — 0.0%^(l)
Serta Simmons Bedding LLC, Term Loan, (LIBOR USD 1 Month + 7.50%), 8.50%, 08/10/23			981		725,827
Serta Simmons Bedding LLC, Term Loan, (LIBOR USD 1 Month + 7.50%), 8.50%, 08/10/23^(d)			970		950,954

					1,676,781

Household Products — 0.0%
Reynolds Consumer Products LLC, Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 02/04/27^(l)			1,390		1,360,643


Independent Power and Renewable Electricity Producers — 0.0%^(l)
Calpine Corp., 1st Lien Term Loan B5, (LIBOR USD 1 Month + 2.25%), 2.42%, 01/15/24			2,543		2,486,465
Calpine Corp., Term Loan, (LIBOR USD 1 Month + 2.25%), 2.42%, 04/05/26			1,783		1,741,572

					4,228,037

Industrial Conglomerates — 0.1%^(l)
AVSC Holding Corp., 1st Lien Term Loan, (LIBOR USD 3 Month + 3.25%), 4.25%, 03/03/25			8,540		6,082,127
Filtration Group Corp., Term Loan B, (LIBOR USD 1 Month + 3.00%), 3.16%, 03/31/25			3,640		3,553,648
Vertiv Group Corp., Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16%, 03/02/27			9,618		9,389,470

					19,025,245


Security	Par (000)			Value

Insurance — 0.3%^(l)
Alliant Holdings Intermediate LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 05/09/25		USD	1,246	$	1,216,757
Alliant Holdings Intermediate LLC, Term Loan, (LIBOR USD 1 Month + 2.75%), 2.91%, 05/09/25			5,170		4,980,370
AmWINS Group, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 3.75%, 01/25/24			4,802		4,732,459
AssuredPartners, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 3.66%, 02/12/27			2,598		2,515,997
AssuredPartners, Inc., Term Loan B, (LIBOR USD 1 Month + 4.50%), 5.50%, 02/12/27			1,091		1,080,352
Asurion LLC, 1st Lien Term Loan B6, (LIBOR USD 1 Month + 3.00%), 3.16%, 11/03/23			4,400		4,328,102
Asurion LLC, 2nd Lien Term Loan B2, (LIBOR USD 1 Month + 6.50%), 6.66%, 08/04/25			2,304		2,320,901
Asurion LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16%, 11/03/24			5,470		5,376,452
Asurion LLC, Term Loan B4, (LIBOR USD 1 Month + 3.00%), 3.16%, 08/04/22			786		774,905
HUB International Ltd., Term Loan B:
(LIBOR USD 3 Month + 3.00%), 3.22% - 3.26%, 04/25/25			1,928		1,869,592
(LIBOR USD 3 Month + 4.00%), 5.00%, 04/25/25			4,785		4,786,493
Ryan Specialty Group, Term Loan, 06/29/27^(p)			2,303		2,285,728
Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 12/31/25^(p)			4,259		4,056,621
Sedgwick Claims Management Services, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 4.00%), 4.16%, 09/03/26			2,019		1,968,381
Sedgwick Claims Management Services, Term Loan, (LIBOR USD 1 Month + 4.25%), 5.25%, 09/03/26			1,893		1,867,766
USI, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.00%), 3.31%, 05/16/24			7,107		6,859,708
USI, Inc., Term Loan B, (LIBOR USD 3 Month + 4.00%), 4.31%, 12/02/26			259		254,884

					51,275,468

IT Services — 0.8%^(l)
Aligned Energy LLC, Term Loan, (LIBOR USD 6 Month + 3.68%), 3.18% - 3.68%, 10/09/23^(d)			34,525		33,662,087
Ancestry.com Operations, Inc., Term Loan B:
(LIBOR USD 1 Month + 3.75%), 4.75%, 10/19/23			5,389		5,280,764
08/27/26^(p)			626		606,042
Applied Systems, Inc., Term Loan:
(LIBOR USD 3 Month + 3.25%), 4.25%, 09/19/24			4,761		4,713,831
(LIBOR USD 3 Month + 7.00%), 8.00%, 09/19/25			736		740,828
Boxer Parent Co., Inc., Term Loan B, (LIBOR USD 1 Month + 4.25%), 4.41%, 10/02/25			1,112		1,070,756
Camelot U.S. Acquisition 1 Co., Term Loan B, 10/30/26^(p)			6,623		6,474,097
CCC Information Services, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 04/29/24			6,500		6,431,075
Epicor Software Corp. Term Loan, 07/30/27^(p)			2,967		2,962,201
Epicor Software Corp., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 06/01/22			2,362		2,360,120
Epicor Software Corp., 2nd Lien Term Loan, 07/31/28^(p)			2,963		3,022,260
Evertec, Inc., Term Loan, 11/27/24^(p)			841		822,399


Security	Par (000)			Value

IT Services (continued)
Greeneden US Holdings I LLC, Term Loan B, 12/01/23^(p)		USD	8,417	$	8,276,211
IG Investments Holdings LLC, Term Loan, (LIBOR USD 3 Month + 4.00%), 5.00%, 05/23/25			2,979		2,838,081
Mitchell International, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.41%, 11/29/24			2,796		2,656,237
Mitchell International, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.25%), 7.41%, 12/01/25			1,077		969,000
Peak 10 Holding Corp., 2nd Lien Term Loan, (LIBOR USD 3 Month + 7.25%), 7.59%, 08/01/25			1,409		622,609
Presidio Holdings Inc., Term Loan B, (LIBOR USD 3 Month + 3.50%), 3.77%, 01/22/27			956		934,490
Pug LLC, Term Loan, (LIBOR USD 1 Month + 3.50%), 3.66%, 02/12/27			4,432		3,737,935
Rackspace Hosting, Inc., Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 11/03/23			679		663,560
Solera LLC, Term Loan B1, (LIBOR USD 1 Month + 2.75%), 2.91%, 03/03/23			562		551,796
Sophia LP, 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%), 4.25%, 09/30/22			4,747		4,710,268
SS&C Technologies Holdings, Inc., Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.91%, 04/16/25			2,659		2,572,812
SS&C Technologies Holdings, Inc., Term Loan B5, (LIBOR USD 1 Month + 1.75%), 1.91%, 04/16/25			3,040		2,945,144
Trans Union LLC, Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.91%, 11/16/26			5,017		4,878,722
Veritas US Inc., Term Loan B1, 01/27/23^(p)			595		568,125
Verscend Holding Corp., Term Loan B, (LIBOR USD 1 Month + 4.50%), 4.66%, 08/27/25			3,851		3,829,247
Vertafore, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.41%, 07/02/25			7,265		6,896,438
VS Buyer LLC, Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.42%, 02/28/27			3,733		3,653,326
WEX, Inc., Term Loan, (LIBOR USD 1 Month + 2.25%), 2.41%, 05/15/26			5,859		5,648,675

					125,099,136

Life Sciences Tools & Services — 0.1%^(l)
Avantor Funding, Inc., Term Loan, (LIBOR USD 1 Month + 2.25%), 3.25%, 11/21/24			1,582		1,569,176
eResearchTechnology, Inc., Term Loan, (LIBOR USD 1 Month + 4.50%), 5.50%, 02/04/27			5,114		5,092,675
Iqvia, Inc., Term Loan B, (LIBOR USD 1 Month + 1.75%), 2.50%, 03/07/24			2,095		2,051,933

					8,713,784

Machinery — 0.1%^(l)
Gates Global LLC, Term Loan B, (LIBOR USD 1 Month + 2.75%), 3.75%, 04/01/24			2,720		2,652,780
Ingersoll-Rand Services Co., Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 03/01/27			3,339		3,204,252
Terex Corp., Term Loan, (LIBOR USD 3 Month + 2.75%), 3.50%, 01/31/24^(d)			419		410,326
Titan Acquisition Ltd., Term Loan, (LIBOR USD 3 Month + 3.00%), 3.36%, 03/28/25			10,570		9,726,315
Vertical Midco GmbH, 1st Lien Term Loan, 07/14/27^(p)			2,651		2,612,348

					18,606,021


Security	Par (000)			Value

Media — 0.3%^(l)
Ascend Learning LLC, Term Loan B, (LIBOR USD 1 Month + 3.00%), 4.00%, 07/12/24		USD	1,251	$	1,222,757
Charter Communications Operating, Term Loan B1, (LIBOR USD 1 Month + 1.75%), 1.92%, 04/30/25			6,221		6,081,342
Clear Channel Outdoor Holdings, Inc., Term Loan, 08/21/26^(p)			9,536		8,462,961
CSC Holdings LLC, Term Loan, (LIBOR USD 1 Month + 2.25%), 2.42%, 07/17/25			2,117		2,041,325
CSC Holdings LLC, Term Loan B, (LIBOR USD 1 Month + 2.50%), 2.67%, 04/15/27			3,445		3,326,091
Intelsat Jackson Holdings SA, Term Loan:
(LIBOR USD 6 Month + 5.50%), 6.50% - 6.50%, 07/13/22			247		251,158
(LIBOR USD 6 Month + 4.75%), 8.00%, 11/27/23			310		311,792
LCPR Loan Financing LLC, Term Loan, (LIBOR USD 1 Month + 5.00%), 5.17%, 10/15/26			1,523		1,526,808
Learfield Communications LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 4.25%, 12/01/23			6,412		4,569,876
Lions Gate Capital Holdings LLC, Term Loan, (LIBOR USD 1 Month + 2.25%), 2.41%, 03/24/25			1,822		1,745,301
Midcontinent Communications, Term Loan, (LIBOR USD 6 Month + 1.75%), 1.91%, 08/15/26			1,201		1,166,541
Nexstar Broadcasting, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 2.92%, 09/18/26			961		933,606
Radiate Holdco LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.00%), 3.75%, 02/01/24			3,166		3,102,253
Sinclair Television Group, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 2.42%, 01/03/24			810		786,621
Terrier Media Buyer, Inc., Term Loan, (LIBOR USD 1 Month + 4.25%), 4.41%, 12/17/26			3,220		3,134,554
Trader Corp., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 09/28/23^(d)			4,660		4,473,883
Virgin Media Bristol LLC, Term Loan, (LIBOR USD 1 Month + 2.50%), 2.67%, 01/31/28			3,224		3,124,532
Xplornet Communications, Inc., Term Loan, (LIBOR USD 1 Month + 4.75%), 4.91%, 06/10/27			3,000		2,918,430

					49,179,831

Metals & Mining — 0.0%^(l)
Ball Metalpack Finco LLC, Term Loan, (LIBOR USD 3 Month + 4.50%), 4.86%, 07/31/25			1,967		1,839,249
Equinox Holdings, Inc., Term Loan B, (LIBOR USD 3 Month + 3.00%), 4.07%, 03/08/24			4,823		3,592,845

					5,432,094

Multiline Retail — 0.0%^(l)
Neiman Marcus Group Ltd. Inc., Term Loan, 05/08/25^(d)(p)			289		291,589
Neiman Marcus Group Ltd. LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 7.00%), 0.65%, 10/25/23			986		181,714
Neiman Marcus Group Ltd. LLC, Term Loan, (LIBOR USD 1 Month + 12.75%), 14.00% - 14.00%, 10/07/20			198		202,135

					675,438

Multi-Utilities — 0.0%
ExGen Renewables IV LLC, Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 11/28/24^(l)			3,398		3,354,086


Security	Par (000)			Value

Oil, Gas & Consumable Fuels — 0.0%^(l)
California Resources Corp., Term Loan, (LIBOR USD 3 Month + 10.38%), 11.38%, 12/31/21^(f)(i)		USD	2,587	$	81,938
Chesapeake Energy Corp., Term Loan, 06/24/24^(p)			3,302		1,615,463
Euro Garages Ltd., Term Loan B, (LIBOR USD 6 Month + 4.00%), 5.07%, 02/07/25			2,201		2,087,460

					3,784,861

Personal Products — 0.0%
Sunshine Luxembourg VII SARL, Term Loan, (LIBOR USD 6 Month + 4.25%), 5.32%, 10/01/26^(l)			7,993		7,948,066


Pharmaceuticals — 0.2%^(l)
Amneal Pharmaceuticals LLC, Term Loan B18, (LIBOR USD 1 Month + 3.50%), 3.69%, 03/21/25			2,958		2,776,391
Bausch Health Cos., Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 3.18%, 06/02/25			11,717		11,513,541
Catalent, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 3.25%, 05/18/26			2,971		2,946,692
Elanco Animal Health, Inc., Term Loan B, 08/01/27^(p)			5,457		5,313,809
Grifols Worldwide Operations Ltd., Term Loan B, (LIBOR USD 3 Month + 2.00%), 2.11%, 11/15/27			3,133		3,062,741
Jaguar Holding Co. I, Term Loan, (LIBOR USD 1 Month + 2.50%), 3.50%, 08/18/22			12,442		12,383,946

					37,997,120

Professional Services — 0.1%^(l)
Dun & Bradstreet Corp. (The), 1st Lien Term Loan B, 02/06/26^(p)			9,813		9,753,665
Nielsen Finance LLC, Term Loan B4, (LIBOR USD 1 Month + 2.00%), 2.18%, 10/04/23			—^(q)		86
STG-Fairway Holdings LLC, Term Loan B, (LIBOR USD 3 Month + 3.50%), 4.57%, 01/31/27			2,672		2,503,343

					12,257,094

Real Estate Management & Development — 0.0%
Realogy Group LLC, Term Loan, 02/08/25^(d)(l)(p)			283		267,634


Road & Rail — 0.1%^(l)
Lineage Logistics LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 02/27/25			6,512		6,390,020
Uber Technologies, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 3.66%, 07/13/23			4,259		4,160,974

					10,550,994

Semiconductors & Semiconductor Equipment — 0.0%
ON Semiconductor Corp., Term Loan B, (LIBOR USD 1 Month + 2.00%), 2.16%, 09/19/26^(l)			1,251		1,228,014


Software — 0.6%
Castle US Holding Corp., Term Loan, (LIBOR USD 3 Month + 3.75%), 4.06%, 01/29/27^(l)			3,472		3,259,107
Cornerstone OnDemand, Inc., Term Loan, (LIBOR USD 1 Month + 4.25%), 4.43%, 04/22/27^(l)			1,767		1,750,655
DTI Holdco, Inc., Term Loan, (LIBOR USD 3 Month + 4.75%), 5.75%, 09/29/23^(l)			1,734		1,368,793
Ellie Mae, Inc., 1st Lien Term Loan, (LIBOR USD 3 Month + 3.75%), 4.06%, 04/17/26^(l)			6,191		6,086,414
Informatica LLC, Term Loan:
7.13%, 02/25/25^(r)			2,696		2,718,458
(LIBOR USD 1 Month + 3.25%), 3.41%, 02/25/27^(l)			11,149		10,864,078


Security	Par (000)			Value

Software (continued)
McAfee LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 3.92%, 09/30/24^(l)		USD	5,687	$	5,626,117
MH Sub I LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 3.50%), 4.57%, 09/13/24^(l)			5,684		5,519,482
MH SUB I LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 4.75%, 09/13/24^(l)			1,106		1,095,858
Refinitiv US Holdings, Inc., Term Loan, 10/01/25^(l)(p)			12,594		12,490,808
RP Crown Parent LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 2.75%), 3.75%, 10/12/23^(l)			2,264		2,252,906
RP Crown Parent LLC, Term Loan, 02/02/26^(l)(p)			994		988,988
Severin Acquisition LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.42%, 08/01/25^(l)			6,565		6,340,425
SolarWinds, Inc., Term Loan B, (LIBOR USD 1 Month + 2.75%), 2.91%, 02/05/24^(l)			4,692		4,614,695
SS&C Technologies Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 04/16/25^(l)			1,868		1,807,543
TIBCO Software, Inc., 1st Lien Term Loan, 06/30/26^(l)(p)			5,861		5,621,780
TIBCO Software, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.25%), 7.42%, 03/03/28^(l)			5,559		5,301,836
Ultimate Software Group, Inc. (The), 1st Lien Term Loan, (LIBOR USD 1 Month + 3.75%), 3.91%, 05/04/26^(l)			5,423		5,366,218
Ultimate Software Group, Inc., (The), Term Loan:^(l)
(LIBOR USD 3 Month + 4.00%), 4.75%, 05/04/26			8,760		8,756,759
(LIBOR USD 3 Month + 6.75%), 7.50%, 05/03/27			2,831		2,878,193

					94,709,113

Specialty Retail — 0.1%^(l)
Belron Finance US LLC, Term Loan B, (LIBOR USD 3 Month + 2.50%), 2.97%, 11/07/24			1,565		1,529,665
Belron Finance US LLC, Term Loan B1, (LIBOR USD 3 Month + 2.50%), 2.93%, 11/13/25			1,324		1,294,054
IAA, Inc., Term Loan, (LIBOR USD 1 Month + 2.25%), 2.44%, 06/28/26^(d)			475		465,258
MED ParentCo LP, Delayed Draw Term Loan, (LIBOR USD 3 Month + 4.25%), 4.62% - 4.61%, 08/31/26			293		264,926
MED ParentCo LP, Term Loan, (LIBOR USD 3 Month + 4.25%), 4.61%, 08/31/26			1,671		1,509,930
Midas Intermediate Holdco II LLC, Term Loan B, (LIBOR USD 3 Month + 2.75%), 3.75%, 08/18/21			1,642		1,433,484
PetSmart, Inc., Term Loan, (LIBOR USD 3 Month + 4.00%), 5.00%, 03/11/22			6,480		6,443,822

					12,941,139

Technology Hardware, Storage & Peripherals — 0.0%
Western Digital Corp., 1st Lien Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.91%, 04/29/23^(l)			2,064		2,024,377


Trading Companies & Distributors — 0.0%
HD Supply, Inc., Term Loan, (LIBOR USD 1 Month + 1.75%), 1.91%, 10/17/23^(l)			4,759		4,684,130


Security	Par (000)			Value

Wireless Telecommunication Services — 0.1%^(l)
Digicel International Finance Ltd., Term Loan, (LIBOR USD 3 Month + 3.25%), 4.30%, 05/27/24		USD	2,154	$	1,844,914
Hargray Communications Group, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 05/16/24			1,710		1,671,019
SBA Senior Finance II LLC, 2nd Lien Term Loan B, (LIBOR USD 1 Month + 1.75%), 1.92%, 04/06/25			3,888		3,767,352
T-Mobile USA, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 3.16%, 04/01/27			11,005		11,040,326

					18,323,611


Total Floating Rate Loan Interests — 6.1% (Cost: $1,055,520,175)					1,014,568,525


Foreign Agency Obligations — 0.4%

Bahrain — 0.0%
CBB International Sukuk Programme Co. SPC, 6.25%, 11/14/24^(b)			868		937,169


Chile — 0.0%
Empresa de Transporte de Pasajeros Metro SA^(b):
3.65%, 05/07/30			455		506,187
5.00%, 01/25/47			3,365		4,158,930

					4,665,117

China — 0.0%
Chengdu Xingcheng Investment Group Co. Ltd., 2.50%, 03/20/21		EUR	1,800		2,089,168
China Cinda Asset Management Co. Ltd., 4.45%^(a)(m)		USD	630		635,119
China Minmetals Corp., (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.72%), 3.75%^(a)(m)			520		526,662
Guangxi Financial Investment Group Co. Ltd., 5.75%, 01/23/21			1,100		1,080,750
Inner Mongolia High-Grade High Way Construction and Development Co. Ltd., 4.38%, 12/04/20			432		430,725

					4,762,424

Colombia — 0.1%
Ecopetrol SA, 5.38%, 06/26/26			4,642		5,135,212


France — 0.0%
Electricite de France SA^(a)(m):
(EUR Swap Annual 6 Year + 3.44%), 4.00% EUR			1,800		2,214,715
(EUR Swap Annual 12 Year + 3.04%), 5.00%			200		258,964
(GBP Swap 13 Year + 3.96%), 6.00%		GBP	600		850,057
(EUR Swap Annual 5 Year + 3.20%), 3.00%		EUR	1,000		1,162,086

					4,485,822

Indonesia — 0.1%
Bank Tabungan Negara Persero Tbk. PT, 4.20%, 01/23/25		USD	2,262		2,240,794
Pertamina Persero PT, 4.30%, 05/20/23			4,713		5,041,349
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara:
6.15%, 05/21/48			2,900		3,910,469
4.88%, 07/17/49			1,800		2,090,812

					13,283,424


Security	Par (000)			Value

Italy — 0.0%
Banca Monte dei Paschi di Siena SpA:
3.63%, 09/24/24		EUR	100	$	120,100
2.63%, 04/28/25			1,625		1,879,982

					2,000,082

Mexico — 0.1%
Petroleos Mexicanos:
6.88%, 08/04/26		USD	8,470		8,421,297
6.84%, 01/23/30^(b)			5,358		4,962,011
5.95%, 01/28/31^(b)			6,552		5,634,720

					19,018,028

Panama — 0.1%
AES Panama SRL, 6.00%, 06/25/22^(b)			8,333		8,424,142


Total Foreign Agency Obligations — 0.4% (Cost: $60,627,032)					62,711,420


Foreign Government Obligations — 1.9%

Bahrain — 0.0%
Kingdom of Bahrain, 7.00%, 01/26/26			4,889		5,478,736


Brazil — 0.1%
Federative Republic of Brazil:
4.88%, 01/22/21			4,643		4,735,860
4.63%, 01/13/28			6,631		7,244,367

					11,980,227

Chile — 0.2%
Corp. Nacional del Cobre de Chile, 3.75%, 01/15/31^(b)			1,175		1,330,687
Republic of Chile:
3.13%, 03/27/25			454		499,400
3.13%, 01/21/26			4,700		5,244,906
3.24%, 02/06/28			14,208		15,952,920
2.45%, 01/31/31			3,633		3,881,861

					26,909,774

Colombia — 0.2%
Republic of Colombia:
4.00%, 02/26/24			1,712		1,832,910
8.13%, 05/21/24			10,300		12,571,150
4.50%, 01/28/26			9,363		10,442,671
3.88%, 04/25/27			2,562		2,788,737
4.50%, 03/15/29			3,308		3,753,546
4.13%, 05/15/51			1,110		1,234,528

					32,623,542

Dominican Republic — 0.1%
Dominican Republic Government Bond:
5.50%, 01/27/25			6,365		6,593,742
6.88%, 01/29/26			3,450		3,797,156
5.95%, 01/25/27			2,355		2,488,941

					12,879,839

Egypt — 0.1%
Arab Republic of Egypt:
6.13%, 01/31/22^(b)			1,915		1,960,481
6.13%, 01/31/22			1,155		1,182,431
5.75%, 05/29/24^(b)			2,510		2,535,100
5.88%, 06/11/25			3,568		3,608,140
7.60%, 03/01/29			4,215		4,288,763
6.38%, 04/11/31^(b)		EUR	4,285		4,678,416

					18,253,331

Hungary — 0.0%
Hungary Government Bond, 5.75%, 11/22/23		USD	4,402		5,063,676


Security	Par (000)			Value

Indonesia — 0.1%
Republic of Indonesia:
3.75%, 04/25/22		USD	4,394	$	4,575,253
4.75%, 01/08/26			6,864		7,932,210
3.50%, 01/11/28			1,220		1,340,856
4.10%, 04/24/28			4,070		4,660,150
4.75%, 02/11/29			1,527		1,836,217

					20,344,686

Israel — 0.0%
State of Israel Government Bond, 2.75%, 07/03/30			4,315		4,765,378


Maldives — 0.0%
Republic of Maldives, 7.00%, 06/07/22			2,585		1,869,278


Mexico — 0.1%
United Mexican States:
4.50%, 04/22/29			5,024		5,619,030
4.35%, 01/15/47			8,830		9,545,230

					15,164,260

Mongolia — 0.0%
Government of Mongolia, 8.75%, 03/09/24			4,517		4,970,112


Panama — 0.1%
Republic of Panama:
4.00%, 09/22/24			9,720		10,728,450
3.88%, 03/17/28			1,187		1,377,291
4.50%, 04/01/56			2,640		3,550,800

					15,656,541

Paraguay — 0.1%
Republic of Paraguay:
4.95%, 04/28/31^(b)			5,265		5,981,040
5.40%, 03/30/50^(b)			4,031		5,021,114
5.40%, 03/30/50			2,075		2,584,672

					13,586,826

Peru — 0.1%
Republic of Peru:
7.35%, 07/21/25			5,886		7,637,085
2.39%, 01/23/26			3,358		3,576,270
4.13%, 08/25/27			3,060		3,622,275

					14,835,630

Philippines — 0.1%
Republic of Philippines:
4.20%, 01/21/24			4,039		4,454,260
5.50%, 03/30/26			8,685		10,747,687

					15,201,947

Poland — 0.0%
Republic of Poland:
3.00%, 03/17/23			2,283		2,426,401
3.25%, 04/06/26			2,279		2,567,436

					4,993,837

Qatar — 0.1%
State of Qatar:
4.50%, 04/23/28			4,627		5,604,454
4.00%, 03/14/29^(b)			12,805		15,205,937

					20,810,391

Romania — 0.0%
Romania Government Bond, 3.00%, 02/14/31^(b)			2,870		2,923,813


Russia — 0.2%
Russian Federation:
4.75%, 05/27/26			14,600		16,855,700


Security	Par (000)			Value

Russia (continued)
4.25%, 06/23/27		USD	7,000	$	7,892,500

					24,748,200

Saudi Arabia — 0.1%
Kingdom of Saudi Arabia:
4.00%, 04/17/25			3,327		3,726,240
3.63%, 03/04/28			2,470		2,767,944
4.38%, 04/16/29^(b)			7,447		8,871,238
Saudi Arabian Oil Co.^(b):
2.88%, 04/16/24			590		620,975
3.50%, 04/16/29			3,125		3,487,305

					19,473,702

Sri Lanka — 0.1%
Democratic Socialist Republic of Sri Lanka:
6.25%, 10/04/20			3,585		3,475,209
6.25%, 07/27/21			473		429,987
5.75%, 01/18/22			1,750		1,519,219
6.85%, 03/14/24			2,968		2,356,777
6.35%, 06/28/24			1,718		1,359,367
7.85%, 03/14/29			6,918		5,160,396
7.55%, 03/28/30			1,716		1,260,188

					15,561,143

Ukraine — 0.1%
Ukraine Government Bond:
8.99%, 02/01/24			3,160		3,389,100
7.75%, 09/01/27			1,112		1,135,282
9.75%, 11/01/28			522		581,704
7.25%, 03/15/33^(b)			1,905		1,843,088

					6,949,174

Uruguay — 0.0%
Oriental Republic of Uruguay, 4.38%, 10/27/27			4,449		5,245,227


Total Foreign Government Obligations — 1.9% (Cost: $294,917,884)					320,289,270


	Shares

Investment Companies — 2.7%*
iShares iBoxx $ High Yield Corporate Bond ETF			2,924,724		249,742,182
iShares MBS ETF^(h)			993,810		110,134,024
iShares Short-Term Corporate Bond ETF^(h)			1,587,302		87,380,975


Total Investment Companies — 2.7% (Cost: $435,097,484)					447,257,181


	Par (000)

Non-Agency Mortgage-Backed Securities — 6.5%

Collateralized Mortgage Obligations — 2.6%
Adjustable Rate Mortgage Trust^(c):
Series 2005-8, Class 2A1, 3.47%, 11/25/35			2,489		2,197,470
Series 2005-8, Class 7A2, 0.73%, 11/25/35			1,456		1,389,746
Series 2005-9, Class 5A1, 0.71%, 11/25/35			1,216		1,185,586
Alternative Loan Trust:
Series 2005-16, Class A1, 2.97%, 06/25/35^(c)			551		499,734
Series 2005-36, Class 2A1A, 0.48%, 08/25/35^(c)			1,782		1,518,591
Series 2005-61, Class 1A1, 0.69%, 12/25/35^(c)			289		259,046
Series 2005-63, Class 3A3, 3.64%, 11/25/35^(c)			2,871		2,388,484
Series 2005-63, Class 5A1, 3.78%, 12/25/35^(c)			175		165,500
Series 2005-64CB, Class 1A1, 5.50%, 12/25/35			81		78,518


Security	Par (000)			Value

Collateralized Mortgage Obligations (continued)
Series 2005-72, Class A3, 0.77%, 01/25/36^(c)		USD	3,048	$	2,736,482
Series 2005-76, Class 2A1, 2.32%, 02/25/36^(c)			5,957		5,353,348
Series 2006-11CB, Class 1A5, 6.00%, 05/25/36			845		666,387
Series 2006-15CB, Class A1, 6.50%, 06/25/36			1,247		917,042
Series 2006-20CB, Class A9, 6.00%, 07/25/36			598		412,385
Series 2006-2CB, Class A6, 5.50%, 03/25/36			924		628,242
Series 2006-45T1, Class 1A10, 6.00%, 02/25/37			3,394		2,290,326
Series 2006-45T1, Class 2A2, 6.00%, 02/25/37			2,208		1,673,280
Series 2006-7CB, Class 1A6, 6.00%, 05/25/36			1,009		747,549
Series 2006-9T1, Class A7, 6.00%, 05/25/36			435		305,005
Series 2006-J7, Class 2A1, 2.26%, 11/20/46^(c)			5,489		3,942,490
Series 2006-J8, Class A5, 6.00%, 02/25/37			1,547		995,305
Series 2006-OA14, Class 1A1, 3.05%, 11/25/46^(c)			7,582		6,169,832
Series 2006-OA14, Class 2A1, 0.36%, 11/25/46^(c)			6,697		5,761,466
Series 2006-OA14, Class 3A1, 2.17%, 11/25/46^(c)			10,509		8,882,290
Series 2006-OA16, Class A2, 0.36%, 10/25/46^(c)			452		416,289
Series 2006-OA2, Class A1, 0.40%, 05/20/46^(c)			1,899		1,469,547
Series 2006-OA3, Class 2A1, 0.38%, 05/25/36^(c)			10,777		9,288,563
Series 2006-OA8, Class 1A1, 0.36%, 07/25/46^(c)			14,878		12,769,598
Series 2007-12T1, Class A22, 5.75%, 06/25/37			2,270		1,601,618
Series 2007-12T1, Class A5, 6.00%, 06/25/37			504		364,955
Series 2007-15CB, Class A7, 6.00%, 07/25/37			340		289,270
Series 2007-18CB, Class 2A25, 6.00%, 08/25/37			309		268,359
Series 2007-19, Class 1A4, 6.00%, 08/25/37			1,463		1,092,164
Series 2007-19, Class 1A8, 6.00%, 08/25/37			712		531,382
Series 2007-25, Class 1A3, 6.50%, 11/25/37			3,899		2,778,695
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37			608		362,448
Series 2007-9T1, Class 2A1, 6.00%, 05/25/37			3,469		1,938,454
Series 2007-9T1, Class 2A2, 6.00%, 05/25/37			595		332,741
Series 2007-AL1, Class A1, 0.42%, 06/25/37^(c)			7,590		5,700,468
Series 2007-J1, Class 2A5, 6.00%, 03/25/37			1,711		939,333
Series 2007-OA11, Class A1A, 2.70%, 11/25/47^(c)			2,290		1,948,526
Series 2007-OA3, Class 1A1, 0.31%, 04/25/47^(c)			13,442		11,993,659
Series 2007-OA4, Class A1, 0.34%, 05/25/47^(c)			4,992		4,480,043
Series 2007-OA8, Class 2A1, 0.35%, 06/25/47^(c)			11,778		8,803,596
Alternative Loan Trust Resecuritization, Series 2006-22R, Class 1A6, 6.00%, 05/25/36			1,321		1,070,289


Security	Par (000)			Value

Collateralized Mortgage Obligations (continued)
American Home Mortgage Assets Trust:
Series 2006-3, Class 1A1, 2.29%, 10/25/46^(c)		USD	13,491	$	12,152,105
Series 2006-3, Class 2A11, 2.26%, 10/25/46^(c)			6,196		4,950,728
Series 2007-3, Class 22A1, 6.25%, 06/25/37^(e)			962		880,318
Banc of America Funding Trust^(c):
Series 2006-7, Class T2A3, 5.69%, 10/25/36			540		522,587
Series 2006-D, Class 6A1, 3.47%, 05/20/36			399		381,303
Series 2007-D, Class 1A1, 0.40%, 06/20/47			1,558		1,345,513
Banc of America Mortgage Trust, Series 2004- L, Class 4A1, 3.86%, 01/25/35^(c)			8		7,311
Bear Stearns ALT-A Trust, Series 2006-2, Class 11A1, 0.61%, 04/25/36^(c)			7,227		8,850,649
Bear Stearns Asset-Backed Securities I Trust^(e):
Series 2005-AC9, Class A5, 6.25%, 12/25/35			941		870,082
Series 2006-AC1, Class 1A2, 6.25%, 02/25/36			1,115		964,793
Bear Stearns Mortgage Funding Trust^(c):
Series 2007-AR2, Class A1, 0.34%, 03/25/37			1,614		1,418,901
Series 2007-AR3, Class 1A1, 0.31%, 03/25/37			2,708		2,469,227
Series 2007-AR4, Class 1A1, 0.37%, 09/25/47			2,806		2,580,017
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3, 3.50%, 07/25/49^(b)(c)			471		483,530
CHL Mortgage Pass-Through Trust:
Series 2005-11, Class 4A1, 0.44%, 04/25/35^(c)			1,553		1,498,906
Series 2005-9, Class 1A1, 0.77%, 05/25/35^(c)			3,781		3,129,331
Series 2006-OA4, Class A1, 2.28%, 04/25/46^(c)			2,959		1,262,884
Series 2007-21, Class 1A1, 6.25%, 02/25/38			219		165,402
Series 2007-J2, Class 2A6, 6.00%, 07/25/37			750		451,461
Series 2007-J2, Class 2A8, 6.00%, 07/25/37			1,145		689,385
CitiMortgage Alternative Loan Trust, Series 2007-A1, Class 1A5, 6.00%, 01/25/37			102		102,288
CSMC Mortgage-Backed Trust, Series 2006-8, Class 1A1, 4.50%, 10/25/21			13		12,481
CSMC Series, Series 2008-2R, Class 1A1, 6.00%, 07/25/37^(b)			744		700,396
CSMC Trust^(b)(c):
Series 2011-4R, Class 1A2, 1.67%, 09/27/37			7,152		6,376,323
Series 2018-RPL8, Class A1, 4.12%, 07/25/58			21,435		21,517,034
Series 2019-JR1, Class A1, 4.10%, 09/27/66			4,989		5,009,541
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class 3A1, 0.36%, 08/25/47^(c)			15,051		12,749,150
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA8, Class 1A1, 2.55%, 02/25/37^(c)			1,746		1,313,310
GMACM Mortgage Loan Trust, Series 2005- AR2, Class 4A, 3.67%, 05/25/35^(c)			51		48,295
GreenPoint Mortgage Funding Trust^(c):
Series 2006-AR1, Class GA1B, 0.34%, 02/25/36			5,285		4,881,365
Series 2006-AR2, Class 4A1, 3.32%, 03/25/36			1,862		1,749,354
GSR Mortgage Loan Trust:
Series 2006-4F, Class 1A1, 5.00%, 05/25/36			7		21,184
Series 2006-OA1, Class 1A1, 0.39%, 08/25/46^(c)			27,819		9,632,363
Impac CMB Trust, Series 2005-6, Class 1A1, 0.67%, 10/25/35^(c)			2,235		2,077,451


Security	Par (000)			Value

Collateralized Mortgage Obligations (continued)
IndyMac IMSC Mortgage Loan Trust:
Series 2007-F2, Class 1A4, 6.00%, 07/25/37		USD	836	$	805,608
Series 2007-F2, Class 2A1, 6.50%, 07/25/37			2,264		1,261,171
IndyMac INDX Mortgage Loan Trust^(c):
Series 2007-AR15, Class 1A1, 3.26%, 08/25/37			142		122,105
Series 2007-AR15, Class 2A1, 3.31%, 08/25/37			640		519,031
JPMorgan Trust, Series 2015-3, Class A5, 3.50%, 05/25/45^(b)(c)			476		477,633
Lehman XS Trust, Series 2007-20N, Class A1, 1.32%, 12/25/37^(c)			11,868		10,791,979
LHOME Mortgage Trust^(b):
Series 2019-RTL2, Class A1, 3.84%, 03/25/24			19,000		19,050,073
Series 2019-RTL3, Class A1, 3.87%, 07/25/24			7,000		7,041,546
LSTAR Securities Investment Ltd., Series 2019-3, Class A1, 1.67%, 04/01/24^(b)(c)			15,869		15,632,107
LSTAR Securities Investment Trust^(b)(c):
Series 2019-1, Class A1, 1.87%, 03/01/24			3,085		3,051,462
Series 2019-2, Class A1, 1.67%, 04/01/24			12,209		12,085,883
Merrill Lynch Mortgage Investors Trust^(c):
Series 2005-A9, Class 2A1E, 3.81%, 12/25/35			787		737,888
Series 2006-1, Class 2A1, 3.01%, 02/25/36			444		444,247
New Residential Mortgage Loan Trust, Series 2016-3A, Class A1B, 3.25%, 09/25/56^(b)(c)			379		398,533
Octagon Investment Partners 26 Ltd., Series 2016-1, Class AR, 2.08%, 04/20/31^(c)			2,250		2,091,035
Prima Capital CRE Securitization Ltd.^(b)(d):
Series 2015-4A, Class C, 4.00%, 08/24/49			3,210		3,094,440
Series 2016-6A, Class C, 4.00%, 08/24/40			16,500		14,850,000
Prime Mortgage Trust^(b):
Series 2006-DR1, Class 1A2, 6.00%, 05/25/35			7		6,150
Series 2006-DR1, Class 2A1, 5.50%, 05/25/35			520		427,605
RALI Trust, Series 2007-QS4, Class 3A2, 6.00%, 03/25/37			239		228,027
RCO V Mortgage LLC, Series 2019-1, Class A1, 3.72%, 05/24/24^(b)(e)			8,430		8,471,268
Residential Asset Securitization Trust, Series 2006-A15, Class A12, 6.25%, 01/25/37			343		199,475
RFMSI Trust, Series 2007-S7, Class A20, 6.00%, 07/25/37			56		52,039
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 3A1, 3.93%, 04/25/47^(c)			282		183,435
Structured Asset Mortgage Investments II Trust^(c):
Series 2006-AR2, Class A1, 0.40%, 02/25/36			1,290		1,110,021
Series 2006-AR4, Class 3A1, 0.36%, 06/25/36			9,640		8,461,453
Series 2006-AR6, Class 2A1, 0.36%, 07/25/46			13,394		10,346,171
Series 2007-AR4, Class GA4B, 0.35%, 09/25/47			2,877		2,756,520
Toorak Mortgage Corp. Ltd.^(e):
Series 2019-2, Class A1, 3.72%, 09/25/22			12,000		11,986,145
Series 2020-1, Class A1, 2.73%, 03/25/23^(b)			33,000		32,371,653
WaMu Mortgage Pass-Through Certificates Trust^(c):
Series 2007-OA4, Class 1A, 2.09%, 05/25/47			2,128		1,871,252


Security	Par (000)			Value

Collateralized Mortgage Obligations (continued)
Series 2007-OA5, Class 1A, 2.07%, 06/25/47		USD	7,691	$	6,932,882
Series 2007-OA6, Class 1A, 2.13%, 07/25/47			4,126		3,477,302
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust:
Series 2006-8, Class A5, 4.24%, 10/25/36^(e)			1,258		661,334
Series 2006-AR5, Class 1A, 2.30%, 06/25/46^(c)			5,898		4,115,884
Series 2006-AR8, Class 2A, 2.17%, 10/25/46^(c)			6,668		5,680,781
Series 2007-OA1, Class 2A, 2.04%, 12/25/46^(c)			5,650		4,636,276
Series 2007-OA5, Class A1A, 2.16%, 05/25/47^(c)			4,055		3,505,224

					430,804,707

Commercial Mortgage-Backed Securities — 3.8%
245 Park Avenue Trust, Series 2017-245P, Class E, 3.66%, 06/05/37^(b)(c)			9,251		8,713,648
280 Park Avenue Mortgage Trust^(b)(c):
Series 2017-280P, Class A, 1.05%, 09/15/34			975		969,829
Series 2017-280P, Class E, 2.29%, 09/15/34			29,015		27,644,607
AOA Mortgage Trust, Series 2015-1177, Class A, 2.96%, 12/13/29^(b)			1,250		1,257,890
Ashford Hospitality Trust, Series 2018-ASHF, Class D, 2.27%, 04/15/35^(b)(c)			3,467		3,121,914
Atrium Hotel Portfolio Trust^(b)(c):
Series 2017-ATRM, Class D, 2.12%, 12/15/36			11,310		9,746,348
Series 2017-ATRM, Class E, 3.22%, 12/15/36			1,490		1,209,847
BAMLL Commercial Mortgage Securities Trust^(b) ^(c):
Series 2016-ISQ, Class E, 3.61%, 08/14/34			20,187		19,233,689
Series 2017-SCH, Class CL, 1.67%, 11/15/32			3,225		2,749,151
Series 2017-SCH, Class DL, 2.17%, 11/15/32			3,965		3,229,215
Series 2018-DSNY, Class D, 1.87%, 09/15/34			11,982		11,062,147
BANK, Series 2017-BNK7, Class ASB, 3.27%, 09/15/60			1,300		1,416,389
Barclays Commercial Mortgage Trust, Series 2019-C3, Class C, 4.18%, 05/15/52			3,442		3,127,994
Bayview Commercial Asset Trust^(b)(c):
Series 2005-2A, Class A1, 0.48%, 08/25/35			4,040		3,687,186
Series 2005-3A, Class A1, 0.49%, 11/25/35			913		845,661
Series 2007-1, Class A1, 0.39%, 03/25/37			5,673		5,304,840
Series 2007-3, Class A2, 0.46%, 07/25/37			5,171		4,389,706
Series 2007-4A, Class A1, 0.62%, 09/25/37			1,402		1,267,348
Series 2007-6A, Class A4A, 1.67%, 12/25/37			2,150		1,966,728
Bayview Commercial Mortgage Pass-Through Trust, Series 2006-SP1, Class M3, 1.03%, 04/25/36^(b)(c)			953		952,749
BBCMS Mortgage Trust^(b)(c):
Series 2018-CHRS, Class E, 4.27%, 08/05/38			1,750		1,199,872
Series 2018-TALL, Class D, 1.62%, 03/15/37			2,000		1,862,118
BBCMS Trust, Series 2015-STP, Class E, 4.28%, 09/10/28^(b)(c)			375		372,337
BB-UBS Trust, Series 2012-SHOW, Class E, 4.03%, 11/05/36^(b)(c)			2,672		2,134,529


Security	Par (000)			Value

Commercial Mortgage-Backed Securities (continued)
Bear Stearns Commercial Mortgage Securities Trust^(c):
Series 2005-PW10, Class B, 5.63%, 12/11/40		USD	3,658	$	3,666,923
Series 2007-PW18, Class B, 6.48%, 06/11/50^(b)			2,239		2,281,558
Benchmark Mortgage Trust^(c):
Series 2018-B3, Class D, 3.06%, 04/10/51^(b)			1,250		843,176
Series 2018-B7, Class C, 4.86%, 05/15/53			4,770		4,904,743
BWAY Mortgage Trust^(b):
Series 2013-1515, Class D, 3.63%, 03/10/33			3,600		3,626,848
Series 2013-1515, Class E, 3.72%, 03/10/33			2,000		1,977,808
Series 2015-1740, Class E, 4.45%, 01/10/35^(c)			1,351		1,244,965
BX Commercial Mortgage Trust^(b)(c):
Series 2018-IND, Class A, 0.92%, 11/15/35			1,287		1,280,074
Series 2018-IND, Class G, 2.22%, 11/15/35			10,150		9,997,097
Series 2018-IND, Class H, 3.17%, 11/15/35			11,550		11,213,281
Series 2019-XL, Class A, 1.09%, 10/15/36			1,155		1,152,396
Series 2019-XL, Class G, 2.47%, 10/15/36			7,120		6,941,146
Series 2019-XL, Class J, 2.82%, 10/15/36			7,120		6,929,396
BX Trust, Series 2019-ATL, Class A, 1.26%, 10/15/36^(b)(c)			850		811,753
BXP Trust^(b)(c):
Series 2017-CC, Class D, 3.55%, 08/13/37			6,800		6,478,519
Series 2017-CC, Class E, 3.55%, 08/13/37			10,985		8,176,219
CD Mortgage Trust, Series 2016-CD1, Class ASB, 2.62%, 08/10/49			1,155		1,216,328
CFCRE Commercial Mortgage Trust:
Series 2011-C1, Class C, 6.09%, 04/15/44^(b) (c)			3,027		3,080,793
Series 2016-C4, Class C, 4.87%, 05/10/58^(c)			3,330		3,104,547
Series 2016-C7, Class ASB, 3.64%, 12/10/54			1,000		1,084,320
Series 2018-TAN, Class C, 5.29%, 02/15/33^(b)			2,100		2,020,249
CGDBB Commercial Mortgage Trust^(b)(c):
Series 2017-BIOC, Class A, 0.96%, 07/15/32			1,133		1,130,327
Series 2017-BIOC, Class D, 1.77%, 07/15/32			6,596		6,537,668
Series 2017-BIOC, Class E, 2.32%, 07/15/32			4,722		4,601,226
CGMS Commercial Mortgage Trust, Series 2017-B1, Class AAB, 3.24%, 08/15/50			1,125		1,216,636
Citigroup Commercial Mortgage Trust:
Series 2013-GC11, Class A3, 2.82%, 04/10/46			1,581		1,631,296
Series 2014-GC19, Class C, 5.09%, 03/10/47^(c)			2,278		2,387,263
Series 2015-GC27, Class AAB, 2.94%, 02/10/48			978		1,010,899
Series 2015-GC27, Class C, 4.42%, 02/10/48^(c)			3,000		2,863,164
Series 2016-C1, Class C, 4.95%, 05/10/49^(c)			2,870		2,990,661
Series 2016-C1, Class D, 4.95%, 05/10/49^(b) (c)			980		723,310
Series 2016-C2, Class AAB, 2.71%, 08/10/49			930		971,042
Series 2016-GC37, Class C, 4.92%, 04/10/49^(c)			2,640		2,493,724
Series 2016-GC37, Class D, 2.79%, 04/10/49^(b)			3,446		2,321,757
Series 2016-P3, Class C, 4.89%, 04/15/49^(c)			1,271		1,211,412
Series 2016-P5, Class AAB, 2.84%, 10/10/49			1,900		1,994,717
Series 2018-C6, Class C, 5.07%, 11/10/51^(c)			3,976		3,857,019


Security	Par (000)			Value

Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust:
Series 2005-C6, Class F, 5.73%, 06/10/44^(b) (c)		USD	2,425	$	2,421,533
Series 2012-LC4, Class A4, 3.29%, 12/10/44			1,344		1,364,858
Series 2013-300P, Class A1, 4.35%, 08/10/30^(b)			960		1,029,141
Series 2013-300P, Class D, 4.39%, 08/10/30^(b)(c)			3,000		3,043,798
Series 2013-CR12, Class A4, 4.05%, 10/10/46			965		1,050,621
Series 2013-CR7, Class ASB, 2.74%, 03/10/46			503		513,589
Series 2013-CR9, Class A4, 4.22%, 07/10/45^(c)			1,550		1,664,147
Series 2013-GAM, Class E, 3.42%, 02/10/28^(b)(c)			5,000		3,408,835
Series 2013-SFS, Class A1, 1.87%, 04/12/35^(b)			302		299,533
Series 2014-CR15, Class ASB, 3.60%, 02/10/47			1,480		1,542,191
Series 2014-CR15, Class C, 4.74%, 02/10/47^(c)			2,050		2,177,797
Series 2014-CR17, Class A5, 3.98%, 05/10/47			1,120		1,229,488
Series 2014-CR18, Class ASB, 3.45%, 07/15/47			1,465		1,511,491
Series 2014-CR21, Class A3, 3.53%, 12/10/47			815		882,139
Series 2014-LC15, Class ASB, 3.53%, 04/10/47			1,435		1,486,135
Series 2014-UBS2, Class A5, 3.96%, 03/10/47			1,000		1,089,271
Series 2014-UBS2, Class ASB, 3.47%, 03/10/47			448		463,921
Series 2015-CR23, Class B, 4.18%, 05/10/48^(c)			9,520		10,204,992
Series 2015-CR26, Class A3, 3.36%, 10/10/48			770		833,429
Series 2015-LC19, Class A4, 3.18%, 02/10/48			2,620		2,834,594
Series 2015-LC19, Class C, 4.24%, 02/10/48^(c)			6,513		6,647,443
Series 2015-LC19, Class D, 2.87%, 02/10/48^(b)			2,490		2,166,285
Series 2015-LC21, Class ASB, 3.42%, 07/10/48			1,027		1,078,967
Series 2015-LC21, Class C, 4.34%, 07/10/48^(c)			6,010		5,712,025
Series 2015-PC1, Class ASB, 3.61%, 07/10/50			571		601,055
Series 2016-667M, Class D, 3.18%, 10/10/36^(b)(c)			3,200		3,095,818
Series 2016-CR28, Class A3, 3.50%, 02/10/49			2,415		2,670,487
Series 2016-DC2, Class ASB, 3.55%, 02/10/49			500		532,485
Series 2017-COR2, Class D, 3.00%, 09/10/50^(b)			1,509		1,105,974
Series 2018-HCLV, Class B, 1.57%, 09/15/33^(b)(c)			2,500		2,356,939
CSAIL Commercial Mortgage Trust:
Series 2015-C1, Class A4, 3.51%, 04/15/50			120		129,782
Series 2015-C2, Class ASB, 3.22%, 06/15/57			1,306		1,357,256
Series 2016-C6, Class C, 4.92%, 01/15/49^(c)			3,950		3,718,574
Series 2018-C14, Class D, 4.89%, 11/15/51^(b)(c)			5,030		4,376,244


Security	Par (000)			Value

Commercial Mortgage-Backed Securities (continued)
CSWF, Series 2018-TOP, Class A, 1.17%, 08/15/35^(b)(c)		USD	240	$	233,140
DBJPM Mortgage Trust, Series 2016-C3, Class D, 3.49%, 08/10/49^(b)(c)			5,845		4,209,726
DBUBS Mortgage Trust^(b)(c):
Series 2017-BRBK, Class E, 3.53%, 10/10/34			10,428		10,274,470
Series 2017-BRBK, Class F, 3.53%, 10/10/34			3,710		3,586,224
Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A, 5.40%, 12/13/28^(b)			1,825		1,834,229
GRACE Mortgage Trust^(b):
Series 2014-GRCE, Class A, 3.37%, 06/10/28			1,500		1,507,133
Series 2014-GRCE, Class F, 3.59%, 06/10/28^(c)			10,256		10,051,905
GS Mortgage Securities Corp. II:
Series 2005-ROCK, Class J, 5.86%, 05/03/32^(b)			1,500		1,282,156
Series 2013-GC10, Class AAB, 2.56%, 02/10/46			1,001		1,013,321
GS Mortgage Securities Corp. Trust^(b):
Series 2012-ALOH, Class A, 3.55%, 04/10/34			863		871,135
Series 2016-RENT, Class C, 4.07%, 02/10/29^(c)			2,550		2,530,117
Series 2017-500K, Class D, 1.55%, 07/15/32^(c)			1,130		1,110,087
Series 2017-500K, Class E, 1.75%, 07/15/32^(c)			1,650		1,612,617
Series 2017-500K, Class F, 2.15%, 07/15/32^(c)			3,000		2,924,479
Series 2017-500K, Class G, 2.85%, 07/15/32^(c)			3,466		3,302,987
Series 2019-SOHO, Class A, 1.07%, 06/15/36^(c)			1,000		982,492
GS Mortgage Securities Trust:
Series 2013-GC12, Class AAB, 2.68%, 06/10/46			1,091		1,105,329
Series 2013-GC16, Class AAB, 3.81%, 11/10/46			1,407		1,468,786
Series 2014-GC20, Class AAB, 3.66%, 04/10/47			1,566		1,633,551
Series 2014-GC22, Class A5, 3.86%, 06/10/47			1,155		1,260,440
Series 2014-GC24, Class AAB, 3.65%, 09/10/47			1,234		1,285,090
Series 2015-GC32, Class C, 4.43%, 07/10/48^(c)			2,085		2,061,437
Series 2015-GC32, Class D, 3.35%, 07/10/48			2,282		1,485,680
Series 2015-GC34, Class A4, 3.51%, 10/10/48			900		992,111
Series 2015-GS1, Class A3, 3.73%, 11/10/48			1,160		1,288,490
Series 2016-GS3, Class AAB, 2.78%, 10/10/49			2,766		2,890,450
Series 2017-GS7, Class AAB, 3.20%, 08/10/50			490		528,922
Series 2017-GS7, Class D, 3.00%, 08/10/50^(b)			2,749		2,025,484
Series 2017-GS7, Class E, 3.00%, 08/10/50^(b)			1,260		869,850
Harvest Commercial Capital Loan Trust^(b)(c):
Series 2019-1, Class M4, 4.64%, 09/25/46			3,150		2,900,474
Series 2019-1, Class M5, 5.73%, 09/25/46			2,000		1,874,940


Security	Par (000)			Value

Commercial Mortgage-Backed Securities (continued)
JPMBB Commercial Mortgage Securities Trust:
Series 2013-C12, Class A5, 3.66%, 07/15/45		USD	910	$	968,157
Series 2013-C14, Class ASB, 3.76%, 08/15/46^(c)			1,194		1,238,344
Series 2014-C21, Class A5, 3.77%, 08/15/47			1,335		1,456,307
Series 2014-C25, Class A4A1, 3.41%, 11/15/47			540		580,666
Series 2015-C28, Class ASB, 3.04%, 10/15/48			1,505		1,563,769
Series 2015-C33, Class D1, 4.11%, 12/15/48^(b)(c)			1,898		1,435,489
JPMCC Commercial Mortgage Securities Trust:
Series 2017-JP5, Class C, 3.88%, 03/15/50^(c)			5,137		4,692,747
Series 2017-JP5, Class D, 4.63%, 03/15/50^(b)(c)			7,320		4,933,557
Series 2017-JP6, Class A3, 3.11%, 07/15/50			500		528,488
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class C, 4.51%, 03/15/50^(c)			1,486		1,350,800
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2012-C6, Class A3, 3.51%, 05/15/45			1,716		1,775,931
Series 2012-CBX, Class A4, 3.48%, 06/15/45			2,019		2,063,511
Series 2012-HSBC, Class A, 3.09%, 07/05/32^(b)			1,601		1,643,217
Series 2012-HSBC, Class D, 4.52%, 07/05/32^(b)(c)			810		827,261
Series 2013-LC11, Class ASB, 2.55%, 04/15/46			1,243		1,266,009
Series 2014-C20, Class A5, 3.80%, 07/15/47			1,000		1,089,476
Series 2015-JP1, Class D, 4.23%, 01/15/49^(c)			5,750		4,516,341
Series 2015-UES, Class D, 3.62%, 09/05/32^(b)(c)			2,132		2,116,518
Series 2015-UES, Class E, 3.62%, 09/05/32^(b)(c)			3,750		3,706,146
Series 2016-JP2, Class ASB, 2.71%, 08/15/49			2,250		2,353,504
Series 2018-WPT, Class FFX, 5.54%, 07/05/33^(b)			2,840		2,676,187
Series 2019-OSB, Class E, 3.78%, 06/05/39^(b)(c)			2,800		2,196,318
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, 1.97%, 05/15/36^(b)(c)			12,751		12,315,154
LCCM Mortgage Trust^(b):
Series 2014-909, Class A, 3.39%, 05/15/31			1,545		1,553,963
Series 2014-909, Class E, 3.90%, 05/15/31^(c)			2,500		2,460,280
LSTAR Commercial Mortgage Trust, Series 2017-5, Class C, 4.87%, 03/10/50^(b)(c)			3,375		3,132,836
MAD Mortgage Trust, Series 2017-330M, Class D, 3.98%, 08/15/34^(b)(c)			3,305		3,342,733
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C10, Class A4, 4.08%, 07/15/46^(c)			1,380		1,480,891
Series 2013-C12, Class A4, 4.26%, 10/15/46^(c)			1,625		1,757,850
Series 2013-C9, Class A4, 3.10%, 05/15/46			1,850		1,932,066
Series 2014-C15, Class A4, 4.05%, 04/15/47			520		568,863
Series 2014-C18, Class A2, 3.19%, 10/15/47			106		105,625
Series 2014-C19, Class ASB, 3.33%, 12/15/47			886		923,638
Series 2015-C23, Class D, 4.15%, 07/15/50^(b)(c)			1,427		1,193,917
Series 2015-C25, Class ASB, 3.38%, 10/15/48			1,045		1,102,421


Security	Par (000)			Value

Commercial Mortgage-Backed Securities (continued)
Series 2015-C25, Class D, 3.07%, 10/15/48		USD	3,435	$	2,631,139
Series 2015-C26, Class D, 3.06%, 10/15/48^(b)(d)			3,232		2,262,400
Series 2017-C33, Class C, 4.56%, 05/15/50^(c)			3,161		3,012,152
Morgan Stanley Capital I Trust:
Series 2006-IQ11, Class C, 5.88%, 10/15/42^(c)			2,670		2,638,790
Series 2014-CPT, Class E, 3.45%, 07/13/29^(b)(c)			950		967,218
Series 2014-CPT, Class F, 3.45%, 07/13/29^(b)^(c)			5,625		5,726,950
Series 2014-CPT, Class G, 3.45%, 07/13/29^(b)(c)			3,392		3,453,478
Series 2014-MP, Class A, 3.47%, 08/11/33^(b)			1,500		1,530,504
Series 2015-MS1, Class D, 4.03%, 05/15/48^(b)(c)			7,725		6,059,470
Series 2017-CLS, Class A, 0.87%, 11/15/34^(b)(c)			2,000		1,988,165
Series 2017-CLS, Class E, 2.12%, 11/15/34^(b)(c)			3,998		3,860,100
Series 2017-CLS, Class F, 2.77%, 11/15/34^(b)^(c)			7,904		7,665,516
Series 2017-H1, Class D, 2.55%, 06/15/50^(b)			7,130		4,862,182
Series 2017-HR2, Class D, 2.73%, 12/15/50^(d)			1,570		1,257,413
Series 2018-H3, Class C, 4.85%, 07/15/51^(c)			2,880		2,952,768
Series 2018-MP, Class E, 4.28%, 07/11/40^(b)^(c)			2,930		2,218,923
Series 2018-SUN, Class F, 2.72%, 07/15/35^(b)(c)			4,040		3,744,335
Series 2019-L2, Class A4, 4.07%, 03/15/52			5,892		6,985,937
Olympic Tower Mortgage Trust,
Series 2017-OT, Class E, 3.95%, 05/10/39^(b)(c)			8,300		7,161,179
USDC, Series 2018-USDC, Class F, 4.49%, 05/13/38^(b)(c)			2,550		1,844,736
VCC Trust, Series 2020-MC1, Class A, 4.50%, 06/25/45^(b)			19,364		19,018,070
Velocity Commercial Capital Loan Trust^(b)(c):
Series 2014-1, Class M6, 8.18%, 09/25/44			3,309		3,219,319
Series 2020-1, Class M2, 2.98%, 02/25/50			3,480		3,262,277
VNDO Mortgage Trust^(b)(c):
Series 2012-6AVE, Class E, 3.34%, 11/15/30			3,000		2,886,350
Series 2013-PENN, Class D, 3.95%, 12/13/29			5,060		4,984,253
Wells Fargo Commercial Mortgage Trust:
Series 2015-C27, Class A5, 3.45%, 02/15/48			1,918		2,089,239
Series 2015-NXS3, Class B, 4.55%, 09/15/57^(c)			1,600		1,657,721
Series 2015-P2, Class D, 3.24%, 12/15/48^(b)			1,093		799,627
Series 2016-C32, Class ASB, 3.32%, 01/15/59			514		544,140
Series 2016-C37, Class C, 4.49%, 12/15/49^(c)(d)			4,000		3,694,000
Series 2016-LC25, Class C, 4.42%, 12/15/59^(c)			8,320		7,491,489
Series 2016-NXS5, Class B, 4.94%, 01/15/59^(c)			1,875		2,116,865
Series 2016-NXS5, Class D, 4.97%, 01/15/59^(c)			2,750		2,070,145
Series 2016-NXS6, Class C, 4.31%, 11/15/49^(c)			4,783		4,710,023
Series 2017-C39, Class A5, 3.42%, 09/15/50			1,557		1,746,286
Series 2017-C39, Class C, 4.12%, 09/15/50			3,268		3,298,142
Series 2017-C39, Class D, 4.35%, 09/15/50^(b)(c)			1,690		1,268,402


Security	Par (000)			Value

Commercial Mortgage-Backed Securities (continued)
Series 2017-C41, Class D, 2.60%, 11/15/50^(b)(c)		USD	787	$	517,370
Series 2018-BXI, Class E, 2.33%, 12/15/36^(b)^(c)			1,300		1,241,367
Series 2018-C44, Class C, 4.83%, 05/15/51^(c)			2,346		2,235,465
Series 2018-C44, Class D, 3.00%, 05/15/51^(b)			2,150		1,516,654
Series 2018-C45, Class C, 4.73%, 06/15/51			1,158		1,080,203
WFRBS Commercial Mortgage Trust:
Series 2012-C6, Class A4, 3.44%, 04/15/45			2,297		2,334,281
Series 2013-C12, Class ASB, 2.84%, 03/15/48			1,204		1,227,156
Series 2013-C15, Class A4, 4.15%, 08/15/46^(c)			780		835,345
Series 2014-C20, Class A4, 3.72%, 05/15/47			760		806,660
Series 2014-C20, Class A5, 4.00%, 05/15/47			2,487		2,689,834
Series 2014-C20, Class ASB, 3.64%, 05/15/47			1,182		1,229,916
Series 2014-C22, Class C, 3.76%, 09/15/57^(c)			1,300		1,187,684
Series 2014-C24, Class A5, 3.61%, 11/15/47			1,130		1,227,354
Series 2014-C25, Class A5, 3.63%, 11/15/47			1,400		1,522,926
Series 2014-LC14, Class A4, 3.77%, 03/15/47			605		651,848

					617,870,837

Interest Only Commercial Mortgage-Backed Securities — 0.1%^(c)
BBCMS Trust^(b):
Series 2015-SRCH, Class XA, 0.96%, 08/10/35			78,000		4,036,500
Series 2015-SRCH, Class XB, 0.19%, 08/10/35			35,000		471,800
CFCRE Commercial Mortgage Trust, Series 2016-C6, Class XA, 1.13%, 11/10/49			63,245		3,527,196
Commercial Mortgage Trust:
Series 2014-UBS5, Class XB2, 0.74%, 09/10/47^(b)			12,675		370,110
Series 2015-CR25, Class XA, 0.84%, 08/10/48			13,100		459,826
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.05%, 04/10/47			750		18,958
JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA, 0.83%, 09/15/47			6,879		193,121
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC, 0.75%, 12/15/49^(b)			40,477		1,575,952
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.99%, 03/10/50^(b)			42,794		1,470,554
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C15, Class XB, 0.34%, 04/15/47^(b)			80,982		982,563
Series 2015-C26, Class XD, 1.34%, 10/15/48^(b)			12,675		806,130
Series 2016-C32, Class XA, 0.72%, 12/15/49			31,757		1,127,336
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class XD, 1.61%, 03/15/49^(b)			13,600		1,092,624
Natixis Commercial Mortgage Securities Trust^(b):
Series 2017-75B, Class XA, 0.20%, 04/10/37			40,610		589,840
Series 2017-75B, Class XB, 0.03%, 04/10/37			27,000		100,057
VNDO Mortgage Trust, Series 2013-PENN, Class XA, 0.14%, 12/13/29^(b)			121,745		24,349


Security	Par (000)			Value

Interest Only Commercial Mortgage-Backed Securities (continued)
Wells Fargo Commercial Mortgage Trust:
Series 2016-BNK1, Class XD, 1.26%, 08/15/49^(b)		USD	11,784	$	744,867
Series 2016-LC25, Class XA, 0.97%, 12/15/59			22,284		900,254
WFRBS Commercial Mortgage Trust:
Series 2014-C20, Class XB, 0.57%, 05/15/47			57,079		1,194,304
Series 2014-LC14, Class XA, 1.19%, 03/15/47			46,681		1,500,014

					21,186,355


Total Non-Agency Mortgage-Backed Securities — 6.5% (Cost: $1,091,823,317)					1,069,861,899


Preferred Securities — 3.0%

Capital Trusts — 2.1%

Banks — 1.0%^(l)(m)
Bank of America Corp.:
Series X, 6.25%			20,485		22,261,318
Series Z, 6.50%			7,382		8,261,531
Series AA, 6.10%			11,538		12,662,955
Citigroup, Inc., Series V, 4.70%			17,710		17,023,737
Fifth Third Bancorp, Series J, 3.44%			11,800		10,148,000
HSBC Holdings plc, 6.37%			2,000		1,985,000
JPMorgan Chase & Co.:
Series V, 3.62%			2,250		2,105,511
Series FF, 5.00%			10,555		10,625,662
Series X, 6.10%			2,015		2,130,863
Series HH, 4.60%			25,816		24,979,562
Lloyds Banking Group plc, 6.66%^(b)			3,000		3,420,000
M&T Bank Corp., Series F, 5.13%			14,800		15,170,000
Postal Savings Bank of China Co. Ltd., 4.50%			1,439		1,467,780
Wells Fargo & Co.:
Series S, 5.90%			31,125		31,669,687
Series U, 5.87%			3,330		3,604,725

					167,516,331

Capital Markets — 0.5%^(l)
Bank of New York Mellon Corp. (The), Series F, 4.62%^(m)			10,850		11,202,027
Goldman Sachs Group, Inc. (The), Series M, 4.37%^(m)			12,395		12,038,644
Morgan Stanley, Series H, 3.89%^(m)			4,057		3,813,580
Northern Trust Corp., Series D, 4.60%^(m)			20,575		21,243,687
State Street Corp., 1.31%, 06/15/47			36,000		29,162,108

					77,460,046

Consumer Finance — 0.4%^(l)(m)
Capital One Financial Corp., Series E, 4.15%			30,363		26,415,810
Discover Financial Services, Series C, 5.50%			10,775		9,831,159
General Motors Financial Co., Inc., Series A, 5.75%			17,997		16,956,530

					53,203,499

Diversified Financial Services — 0.1%
Voya Financial, Inc., Series A, 6.13%^(l)(m)			16,815		17,385,197


Entertainment — 0.0%
NBCUniversal Enterprise, Inc., 5.25%^(b)(m)			146		147,095


Insurance — 0.0%
Progressive Corp. (The), Series B, 5.38%^(l)(m)			9,110		9,179,555


Oil, Gas & Consumable Fuels — 0.1%^(l)(m)
Energy Transfer Operating LP:
Series B, 6.63%			6,875		4,950,000
Series G, 7.13%			16,000		13,300,000
EnLink Midstream Partners LP, Series C, 6.00%			9,499		3,609,620
MPLX LP, Series B, 6.87%			170		148,909


Security	Par (000)				Value

Oil, Gas & Consumable Fuels (continued)
Plains All American Pipeline LP, Series B, 6.13%		USD		3,545	$	2,477,069

						24,485,598


Total Capital Trusts — 2.1% (Cost: $364,425,461)						349,377,321


			Shares

Preferred Stocks — 0.8%
Banks — 0.2%^(m)
KeyCorp, Series E, 6.13%^(l)				375,000		10,563,750
Truist Bank, 9.00%^(b)(d)				15		1,575,000
US Bancorp, Series F, 6.50%^(l)				442,000		11,810,240

						23,948,990

Capital Markets — 0.2%
Morgan Stanley, Series K, 5.85%^(l)(m)				820,000		23,460,200


Consumer Finance — 0.0%
SLM Corp., Series B, 2.01%^(l)(m)				136,000		4,221,440


Diversified Telecommunication Services — 0.0%
Telefonica Brasil SA (Preference)				12,775		129,892


Electric Utilities — 0.0%
Cia de Transmissao de Energia Eletrica Paulista (Preference)				46,997		203,788
Entergy Arkansas LLC:
4.90%				102,000		2,652,000
4.88%				93,168		2,441,933
Entergy Louisiana LLC, 4.88%				32,274		837,510
Entergy Mississippi LLC, 4.90%				94,932		2,502,408
Entergy Texas, Inc., 5.63%				146,739		3,854,834

						12,492,473

Equity Real Estate Investment Trusts (REITs) — 0.0%
Firstar Realty LLC, 8.88%^(b)(m)				5,000		5,500,000


Insurance — 0.1%
Allstate Corp. (The), Series H, 5.10%^(m)				735,000		19,830,300


Oil, Gas & Consumable Fuels — 0.1%
Energy Transfer Operating LP, Series E, 7.60%^(l)(m)				625,000		11,887,500


Technology Hardware, Storage & Peripherals — 0.2%
Samsung Electronics Co. Ltd. (Preference)				622,764		26,011,487


Total Preferred Stocks — 0.8% (Cost: $124,029,164)						127,482,282


Trust Preferreds — 0.1%

Commercial Services & Supplies — 0.1%
ILFC E-Capital Trust I, 3.02%, 12/21/65^(b)(l)				16,872,000		8,419,296


Consumer Finance — 0.0%
ILFC E-Capital Trust II, 3.27%, 12/21/65^(b)(l)				11,944,000		6,330,320


Total Trust Preferreds — 0.1% (Cost: $27,894,929)						14,749,616


Total Preferred Securities — 3.0% (Cost: $516,349,554)						491,609,219


Rights — 0.0%^(f)

Diversified Telecommunication Services — 0.0%
Cellnex Telecom SA (Expires 08/08/20)				110,123		460,504


Security	Shares		Value

Electric Utilities — 0.0%
EDP - Energias de Portugal SA (Expires 08/06/20)		344,944	$	35,025


Pharmaceuticals — 0.0%
Bristol-Myers Squibb Co., CVR (Expires 12/31/20)		6,087		21,913


Total Rights — 0.0% (Cost: $12,965)				517,442


	Par (000)

U.S. Government Sponsored Agency Securities — 0.4%

Collateralized Mortgage Obligations — 0.1%
Federal Home Loan Mortgage Corp., Series 4777, Class CB, 3.50%, 10/15/45		2,275		2,400,766
Federal National Mortgage Association:
Series 2013-133, Class NA, 3.00%, 05/25/36		362		378,673
Series 2016-49, Class DA, 3.50%, 10/25/42		579		600,002
Series 2016-76, Class ME, 3.00%, 01/25/46		3,742		3,955,617
Series 2018-21, Class CA, 3.50%, 04/25/45		1,269		1,318,256
Government National Mortgage Association,
Series 2013-131, Class PA, 3.50%, 06/16/42		1,537		1,616,494

				10,269,808

Commercial Mortgage-Backed Securities — 0.0%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ05, Class A2, 2.16%, 10/25/21		700		712,211
Federal Home Loan Mortgage Corp. Variable Rate Notes^(c):
Series 2017-SB41, Class A7F, 2.69%, 09/25/24		1,492		1,547,270
Series 2018-K732, Class B, 4.06%, 05/25/25^(b)		1,500		1,625,268
Series 2018-SB52, Class A5F, 3.25%, 05/25/23		734		771,263

				4,656,012

Interest Only Commercial Mortgage-Backed Securities — 0.0%^(c)
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes:
Series K055, Class X1, 1.36%, 03/25/26		22,245		1,456,531
Series K714, Class X1, 0.98%, 10/25/20		14,662		147
Government National Mortgage Association Variable Rate Notes, Series 2017-44, 0.68%, 04/17/51		23,193		1,107,864

				2,564,542

Mortgage-Backed Securities — 0.3%
Federal Home Loan Mortgage Corp.:
3.50%, 07/01/32		2,015		2,174,926
4.00%, 07/01/26 - 03/01/34		637		699,047
4.50%, 07/01/47 - 03/01/49		1,875		2,099,124
Federal Home Loan Mortgage Corp. Variable Rate Notes, (LIBOR USD 12 Month + 1.63%), 3.01%, 11/01/45^(a)		878		908,270


Security		Par (000)		Value

Mortgage-Backed Securities (continued)
Uniform Mortgage-Backed Securities:
2.50%, 04/01/28 - 04/01/33	USD		11,035	$	11,736,242
3.00%, 09/01/28 - 09/01/32			3,401		3,596,102
3.50%, 06/01/32 - 04/01/34			3,142		3,370,299
4.00%, 05/01/27 - 03/01/34			1,153		1,229,146
4.50%, 04/01/24 - 07/01/49			19,987		22,180,626

					47,993,782


Total U.S. Government Sponsored Agency Securities — 0.4% (Cost: $63,504,058)					65,484,144


U.S. Treasury Obligations — 0.0%
U.S. Treasury Notes, 0.13%, 06/30/22			2,370		2,370,093


Total U.S. Treasury Obligations — 0.0% (Cost: $2,369,078)					2,370,093


		Shares

Warrants — 0.0%

Oil, Gas & Consumable Fuels — 0.0%
Occidental Petroleum Corp. (Issued/exercisable 07/06/20, 1 share for 1 warrant, Expires 07/06/27, Strike Price USD 22.00)^(f)			1,212		6,787


Road & Rail — 0.0%
BTS Group Holdings PCL (Issued/exercisable 02/17/20, 100 shares for 1 warrant, Expires 02/16/21, Strike Price THB 14.00)^(f)			17,650		523


Total Warrants — 0.0%					7,310


Total Long-Term Investments — 93.7% (Cost: $15,026,766,918)					15,471,486,362


Short-Term Securities — 8.6%^(s)
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.08%*			1,409,220,735		1,409,220,735
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Class, 0.02%			4,517,511		4,517,511
SL Liquidity Series, LLC, Money Market Series, 0.38%^(t)*			1,443,142		1,444,008


Total Short-Term Securities — 8.6% (Cost: $1,415,182,150)					1,415,182,254


Total Options Purchased — 0.0% (Cost: $136,645)					308,040


Total Investments Before Options Written — 102.3% (Cost: $16,442,085,713)					16,886,976,656


Total Options Written — (0.0)% (Premium Received — $69,521)					(145,890)


Total Investments Net of Options Written — 102.3% (Cost: $16,442,016,192)					16,886,830,766

Liabilities in Excess of Other Assets — (2.3)%				(378,187,545)


Net Assets — 100.0%				$	16,508,643,221

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

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

For the year ended July 31, 2020, the effect of derivative financial instruments in the Statements of Operations was 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:

The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

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.

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 bear certain expenses related to shareholder servicing of such shares, and Investor C Shares also bear certain expenses related to the distribution of such shares. Investor A and Investor C Shares are generally available through financial intermediaries. 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 Shares 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 BlackRock 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 executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are 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, options written 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 paid by each Fund are recorded on the ex-dividend date. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The portion of distributions, if any, that exceeds a fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Recent Accounting Standards: The Funds have adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Funds have changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Funds applied the amendments on a modified retrospective basis beginning with the fiscal period ended July 31, 2020. The adjusted cost basis of securities at July 31, 2019, if applicable, are as follows:

This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value of 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. 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. 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.

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”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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:

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

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 pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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 the Global Valuation Committee and 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. 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 July 31, 2020, certain investments of the Funds were fair 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.

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 the 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 the 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.

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.

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

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, the Funds 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 and investment companies 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 table is 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 to the extent 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. Such losses are borne entirely by the Funds.

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, are 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, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. 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, cash is segregated 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 they 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 a 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.

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.

Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that each Fund has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.

Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Funds and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any 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, 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:

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 exchange-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:

With respect to each Fund, the Manager entered into separate sub-advisory agreements with BlackRock Asset Management North Asia Limited (“BNA”), BlackRock (Singapore) Limited (“BRS”) and BlackRock International Limited (“BIL”) (collectively, the “Sub-Advisers”), each an affiliate of the Manager. The Manager pays BNA, BRS and BIL for services they provide for that portion of each Fund for which BNA, BRS and BIL, respectively, 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 year ended July 31, 2020, 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 year ended July 31, 2020, the following table shows the class specific administration fees borne directly by each share class of each Fund:

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 servicing of underlying investor accounts. 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 year ended July 31, 2020, the Funds 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 year ended July 31, 2020, 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 year ended July 31, 2020, the following table shows the class specific transfer agent fees borne directly by each share class of each Fund:

Other Fees: For the year ended July 31, 2020, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of each Fund’s Investor A Shares as follows:

Expense Limitations, Waivers, Reimbursements and Recoupments: With respect to each Fund, the Manager contractually 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”) through November 30, 2020. The contractual agreement 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. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitations described below will be reduced by the amount of the affiliated money market fund waiver. Prior to November 27, 2019, this waiver was voluntary. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended July 31, 2020, the amounts waived 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, 2020. 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, 2020. The contractual agreements may be terminated upon 90 days’ notice by 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 year ended July 31, 2020, the amounts waived 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, 2020, 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 year ended July 31, 2020, the amounts waived and/or reimbursed were as follows:

These amounts waived and/or reimbursed are included in administration fees waived — class specific and transfer agent fees waived and/or reimbursed — class specific, respectively, in the Statements of Operations. For the year ended July 31, 2020, class specific expense waivers and/or reimbursements were as follows:

With respect to 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. Effective March 1, 2020, the Board approved the termination of these contractual expense limitations. The expense limitations as a percentage of average daily net assets were as follows:

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. Effective November 3, 2021 with respect to Dynamic High Income and December 1, 2019 with respect to Multi-Asset Income, the repayment arrangement between each Fund and the Manager pursuant to which such Fund may be required to repay amounts waived and/or reimbursed under each Fund’s contractual caps on net expenses will be/was terminated.

As of July 31, 2020, the fund level and class specific waivers and/or reimbursements subject to possible future recoupment under the expense limitation agreement are as follows:

The following fund level and class specific waivers and/or reimbursements previously recorded by the Funds, which were subject to recoupment by the Manager, expired on December 1, 2019 for Multi-Asset Income and July 31, 2020 for Dynamic High Income:

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 BlackRock 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 (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.

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 year ended July 31, 2020, 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 year ended July 31, 2020, the Funds did not participate in the Interfund Lending Program.

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

Other Transactions: 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 year ended July 31, 2020, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

For the year ended July 31, 2020, purchases and sales of investments, excluding short-term securities and equity-linked notes, were as follows:

For the year ended July 31, 2020, 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 each Fund’s U.S. federal tax returns generally remains open for each of the four years ended July 31, 2020. 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 July 31, 2020, 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.

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAVs per share. As of period end, the following permanent differences attributable to non-deductible expenses were reclassified to the following accounts:

As of period end, the tax components of accumulated earnings (loss) were as follows:

As of July 31, 2020, 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 2021 unless extended or renewed. 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 year ended July 31, 2020, 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. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. 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. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid 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.

An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

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 and 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: As of period end, Dynamic High Income invested a significant portion of its assets in securities in the Financials sector. Changes in economic conditions affecting such sector would have a greater impact on the Fund and could affect the value, income and/or liquidity of positions in such securities.

Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”) or are unrated, which are predominantly speculative, have greater credit risk and generally are less liquid than, and have more volatile prices than, higher quality securities.

Certain 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.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”) by the end of 2021, and it is expected that LIBOR will cease to be published after that time. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

As of July 31, 2020, BlackRock HoldCo 2, Inc., an affiliate of the Funds, owned 22,548 Class K Shares of Dynamic High Income.

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.

BlackRock Funds II and Shareholders of BlackRock Dynamic High Income Portfolio and BlackRock Multi-Asset Income Portfolio

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Dynamic High Income Portfolio and BlackRock Multi-Asset Income Portfolio (two of the funds constituting BlackRock Funds II, hereafter collectively referred to as the “Funds”) as of July 31, 2020, the related statements of operations for the year ended July 31, 2020, the statements of changes in net assets for each of the two years in the period ended July 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein ended on or after July 31, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended July 31, 2020 and each of the financial highlights for each of the periods indicated therein ended on or after July 31, 2017 in conformity with accounting principles generally accepted in the United States of America.

The financial statements as of and for the year ended July 31, 2016 and the financial highlights for each of the years or periods ended on or prior to July 31, 2016 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated September 26, 2016 expressed an unqualified opinion on those financial statements and financial highlights.

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2020 by correspondence with the custodian, transfer agents, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

We have served as the auditor of one or more BlackRock investment companies since 2000.

For corporate shareholders, the percentage of ordinary income distributions paid during the fiscal year ended July 31, 2020 that qualified for the dividends-received deduction were as follows:

The following maximum amounts are hereby designated as qualified dividend income for individuals for the fiscal year ended July 31, 2020:

The following maximum amounts are hereby designated as qualified business income for individuals for the fiscal year ended July 31, 2020:

For the fiscal year ended July 31, 2020, the Funds hereby designate the following maximum amounts allowable as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations:

The Funds hereby designate the following amount of distributions from direct federal obligation interest for the fiscal year ended July 31, 2020:

The law varies in each state as to whether and what percent of ordinary income dividends attribute to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Funds II (the “Trust”) met on April 7, 2020 (the “April Meeting”) and May 11-13, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of BlackRock Dynamic High Income Portfolio (“Dynamic High Income Portfolio”) and BlackRock Multi-Asset Income Portfolio (the “Multi-Asset Income Portfolio”) (each, a “Fund,” and collectively, the “Funds”), each a series of the Trust, and BlackRock Advisors, LLC (the “Manager”), the Trust’s investment advisor. The Board also considered the approval of the sub-advisory agreements between the Manager and (a) BlackRock (Singapore) Limited (“BSL”) with respect to Dynamic High Income Portfolio (the “BSL Dynamic High Income Sub-Advisory Agreement”); (b) BlackRock Asset Management North Asia Limited (“BNA”) with respect to Dynamic High Income Portfolio (the “BNA Dynamic High Income Sub-Advisory Agreement”); (c) BlackRock International Limited (“BIL” and together with BNA and BSL, the “Sub-Advisors”) with respect to Dynamic High Income Portfolio (the “BIL Dynamic High Income Sub-Advisory Agreement”); (d) BSL with respect to Multi-Asset Income Portfolio (the “BSL Multi-Asset Income Sub-Advisory Agreement” and together with the BSL Dynamic High Income Sub-Advisory Agreement, the “BSL Sub-Advisory Agreements”); (e) BNA with respect to Multi-Asset Income Portfolio (the “BNA Multi-Asset Income Sub-Advisory Agreement” and together with the BNA Dynamic High Income Sub-Advisory Agreement, the “BNA Sub-Advisory Agreements”); and (f) BIL with respect to Multi-Asset Income Portfolio (the “BIL Multi-Asset Income Sub-Advisory Agreement” and together with the BIL Dynamic High Income Sub-Advisory Agreement, the “BIL Sub-Advisory Agreements”). The BNA Sub-Advisory Agreements, the BSL Sub-Advisory Agreements and the BIL Sub-Advisory Agreements are collectively referred to herein as the “Sub-Advisory Agreements.” The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

On the date of the May Meeting, the Board consisted of fourteen individuals, twelve of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Trust and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Ad Hoc Topics Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Ad Hoc Topics Committee, which also has one interested Board Member).

Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to the Funds. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.

During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) with respect to each Fund, investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, an applicable benchmark, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to each Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Trust’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Trust’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Funds;

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

(g) a summary of aggregate amounts paid by each Fund to BlackRock; (h) sales and redemption data regarding each Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.

At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.

At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Funds; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Funds; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of each Fund’s portfolio holdings. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Fund. Throughout the year, the Board compared each Fund’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing the Fund’s performance, investment strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide the Funds with certain administrative, shareholder and other services (in addition to any such services provided to the Funds by third-parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers, including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing each Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of each Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2019, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers. The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of each Fund throughout the year.

In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.

The Board noted that for the one-, three- and five-year periods reported, Dynamic High Income Portfolio ranked in first, second and first quartiles, respectively, against its Performance Peers.

The Board noted that for each of the one-, three- and five-year periods reported, Multi-Asset Income Portfolio ranked in the third quartile against its Performance Peers. The Board and BlackRock reviewed the Fund’s underperformance relative to its Performance Peers during the applicable periods. The Board also reviewed and considered the Fund’s performance relative to certain volatility metrics. The Board noted that BlackRock believes that performance relative to the volatility metrics are also appropriate performance metrics for the Fund, and that BlackRock has explained its rationale for this belief to the Board.

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund: The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non-12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2019 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by BlackRock and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by BlackRock, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Funds, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.

The Board noted that Dynamic High Income Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers.

The Board noted that Multi-Asset Income Portfolio’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers.

The Board also noted that each Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the pertinent Fund increases above certain contractually specified levels. The Board noted that if the size of the pertinent Fund were to decrease, the Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on each Fund’s total expenses as a percentage of the Fund’s average daily net assets on a class-by-class basis.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Funds increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Funds to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee schedule was appropriate.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that the pertinent Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

The Board, including the Independent Board Members, unanimously approved the continuation of (i) the Advisory Agreement between the Manager and the Trust, on behalf of each Fund, (ii) the BNA Sub-Advisory Agreements between the Manager and BNA with respect to the pertinent Fund, (iii) the BSL Sub-Advisory Agreements between the Manager and BSL with respect to the pertinent Fund, and (iv) the BIL Sub-Advisory Agreements between the Manager and BIL with respect to the pertinent Fund, each for a one-year term ending June 30, 2021. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board,

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund, as pertinent, and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

Further information about the Trust’s Trustees and Officers is available in the Trust’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Investment Adviser and Administrator

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisers

BlackRock (Singapore) Limited

079912 Singapore

BlackRock Asset Management North Asia Limited

Hong Kong

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

Accounting Agent

JPMorgan Chase Bank, N.A.

New York, NY 10179

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

Custodian

JPMorgan Chase Bank, N.A.

New York, NY 10179

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 as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov.

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 blackrock.com; and (3) on the SEC’s website at 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 blackrock.com; or by calling (800) 441-7762 and (2) on the SEC’s website at 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 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 visit blackrock.com for more information.

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.

¹ The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

² The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

³ Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by PwC with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,”

“Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

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						5 Years						Since Inception ^(c)
	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		5.28	%		5.01	%		(5.28	)%		(0.93	)%		N/A			4.57	%		N/A			4.62	%		N/A
Investor A		4.77			4.52			(5.40	)		(1.28	)		(6.46	)%		4.30			3.18	%		4.36			3.38	%
Investor C		4.29			4.02			(5.76	)		(1.91	)		(2.84	)		3.53			3.53			3.57			3.57
Class K		5.31			5.00			(5.15	)		(0.87	)		N/A			4.63			N/A			4.68			N/A
70% MSCI World Index/30% Bloomberg Barclays U.S. Aggregate Bond Index		—			—			1.64			8.62			N/A			6.85			N/A			6.71			N/A
MSCI World Index		—			—			(0.66	)		7.23			N/A			7.52			N/A			7.50			N/A
Bloomberg Barclays U.S. Aggregate Bond Index		—			—			5.69			10.12			N/A			4.47			N/A			4.14			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		4.24	%		4.11	%		(0.98	)%		2.66	%		N/A			4.32	%		N/A			6.39	%		N/A
Investor A		3.78			3.68			(1.10	)		2.41			(2.97	)%		4.06			2.95	%		6.13			5.56	%
Investor C		3.26			3.13			(1.56	)		1.64			0.66			3.27			3.27			5.33			5.33
Class K		4.29			4.18			(1.05	)		2.71			N/A			4.34			N/A			6.40			N/A
50% MSCI World Index/50% Bloomberg Barclays U.S. Aggregate Bond Index		—			—			2.99			9.29			N/A			6.28			N/A			6.98			N/A
MSCI World Index		—			—			(0.66	)		7.23			N/A			7.52			N/A			9.61			N/A
Bloomberg Barclays U.S. Aggregate Bond Index		—			—			5.69			10.12			N/A			4.47			N/A			3.87			N/A


	Actual						Hypothetical ^(a)
	Beginning Account Value (02/01/20)		Ending Account Value (07/31/20)		Expenses Paid During the Period ^(b)		Beginning Account Value (02/01/20)		Ending Account Value (07/31/20)		Expenses Paid During the Period ^(b)		Annualized Expense Ratio
BlackRock Dynamic High Income Portfolio
Institutional	$	1,000.00	$	947.20	$	3.15	$	1,000.00	$	1,021.63	$	3.27		0.65%
Investor A		1,000.00		946.00		4.35		1,000.00		1,020.39		4.52		0.90
Investor C		1,000.00		942.40		7.97		1,000.00		1,016.66		8.27		1.65
Class K		1,000.00		948.50		2.91		1,000.00		1,021.88		3.02		0.60
BlackRock Multi-Asset Income Portfolio
Institutional	$	1,000.00	$	990.20	$	2.72	$	1,000.00	$	1,022.13	$	2.77		0.55%
Investor A		1,000.00		989.00		3.96		1,000.00		1,020.89		4.02		0.80
Investor C		1,000.00		984.40		7.65		1,000.00		1,017.16		7.77		1.55
Class K		1,000.00		989.50		2.47		1,000.00		1,022.38		2.51		0.50


	Page
The Markets in Review		2
Annual Report:
Fund Summaries		4
Portfolio Information		9
About Fund Performance		10
Disclosure of Expenses		11
Derivative Financial Instruments		11
Financial Statements:
Schedules of Investments		12
Statements of Assets and Liabilities		123
Statements of Operations		126
Statements of Changes in Net Assets		127
Financial Highlights		128
Notes to Financial Statements		136
Report of Independent Registered Public Accounting Firm		152
Important Tax Information		153
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements		154
Trustee and Officer Information		158
Additional Information		162
Glossary of Terms Used in this Report		164


Fund Summary as of July 31, 2020		BlackRock Dynamic High Income Portfolio


Fund Summary as of July 31, 2020 (continued)		BlackRock Dynamic High Income Portfolio


Affiliated Issuer	Shares Held at 07/31/19	Shares Purchased	Shares Sold		Shares Held at 07/31/20		Value at 07/31/20		Income			Net Realized Gain (Loss)	^(a)		Change in Unrealized Appreciation (Depreciation)
BlackRock Liquidity Funds, T-Fund, Institutional Class^(b)	58,036,285	75,662,151	—		133,698,436	$	133,698,436	$	816,986		$	267		$	—
SL Liquidity Series, LLC, Money Market Series^(b)	10,990,880	—	(9,912,777	)	1,078,103		1,078,749		51,328	^(c)		(6,331	)		(232	)
BlackRock Allocation Target Shares, Series A	5,844,479	3,334,733	(6,179,094	)	3,000,118		29,431,156		2,158,631			345,685			(714,760	)
BlackRock Floating Rate Income Portfolio, Class K Shares	8,771,178	2,099,942	(9,928,136	)	942,984		8,986,640		1,961,376			(2,885,919	)		287,729
iShares Core Dividend Growth ETF^(d)	548,436	635,196	(1,183,632	)	—		—		134,777			2,854,871			(2,010,094	)
iShares Core S&P 500 ETF	49,905	143,027	(126,756	)	66,176		21,693,817		125,445			2,723,718			1,082,856
iShares Edge MSCI USA Value Factor ETF^(d)	—	291,548	(291,548	)	—		—		176,178			473,886			—
iShares iBoxx $ High Yield Corporate Bond ETF	397,114	257,497	(401,114	)	253,497		21,646,109		837,193			1,040,432			31,164
iShares iBoxx $ Investment Grade Corporate Bond ETF	—	299,969	(124,424	)	175,545		24,286,651		238,047			346,409			1,512,603
iShares MBS ETF^(d)	—	268,232	(268,232	)	—		—		306,190			747,815			—

						$	240,821,558	$	6,806,151		$	5,640,833		$	189,266


Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
EURO STOXX 50 Index		2,840		09/18/20	$	105,982	$	756,878
MSCI Emerging Markets E-Mini Index		202		09/18/20		10,800		882,709
S&P 500 E-Mini Index		447		09/18/20		72,939		435,746
U.S. Treasury Long Bond		324		09/21/20		59,059		1,279,401
U.S. Treasury Ultra Bond		163		09/21/20		37,113		1,498,926

								4,853,660

Short Contracts
Euro-Schatz		1		09/08/20		132		(203	)
GBP Currency		163		09/14/20		13,354		(355,235	)
JPY Currency		72		09/14/20		8,514		(102,940	)
U.S. Treasury 10 Year Note		137		09/21/20		19,191		(158,352	)
U.S. Treasury 2 Year Note		4		09/30/20		884		(1,100	)
U.S. Treasury 5 Year Note		470		09/30/20		59,279		(275,600	)

								(893,430	)

							$	3,960,230


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	115,595	EUR	102,823	Bank of America NA		09/15/20	$	(5,637)
USD	372,387	HKD	2,890,000	Bank of America NA		09/15/20		(505)
USD	372,127	HKD	2,888,004	Citibank NA		09/15/20		(506)
USD	27,071	EUR	23,822	Citibank NA		09/16/20		(1,017)

								(7,665)


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	JPMorgan Chase Bank NA		12/20/20		USD	120	$	(580)	$	(60)	$	(520)
Australia & New Zealand Banking Group Ltd.	1.00	Quarterly	JPMorgan Chase Bank NA		12/20/20		USD	80		(383)		(43)		(340)
Standard Chartered Bank	1.00	Quarterly	BNP Paribas SA		12/20/20		EUR	40		(214)		52		(266)
Standard Chartered Bank	1.00	Quarterly	BNP Paribas SA		12/20/20		EUR	20		(108)		30		(138)
Standard Chartered Bank	1.00	Quarterly	Morgan Stanley & Co. International plc		12/20/20		EUR	10		(54)		15		(69)

									$	(1,339)	$	(6)	$	(1,333)


Reference Entity	Payment Frequency	Counterparty	Termination Date	Net Notional		Accrued Unrealized Appreciation (Depreciation)			Net Value of Reference Entity		Gross Notional Amount Net Asset Percentage
Equity Securities Long/Short	Monthly	HSBC Bank plc^(a)	02/10/23	$	644,389	$	26,458	^(b)	$	671,214		0.1	%
	Monthly	JPMorgan Chase Bank NA^(c)	02/08/23		660,636		(59,641	)^(d)		601,350		0.1

						$	(33,183	)	$	1,272,564


	Swap Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Swaps	$	97	$	(103	)	$	26,458	$	(60,974	)


	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts ^(a)	$	—	$	—	$	2,075,333	$	—	$	2,778,327	$	—	$	4,853,660
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid		—		97		26,458		—		—		—		26,555

	$	—	$	97	$	2,101,791	$	—	$	2,778,327	$	—	$	4,880,215

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts ^(a)		—		—		—		458,175		435,255		—		893,430
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts		—		—		—		7,665		—		—		7,665
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received		—		1,436		59,641		—		—		—		61,077

	$	—	$	1,436	$	59,641	$	465,840	$	435,255	$	—	$	962,172



		2020 Annual Report


2		THIS PAGE IS NOT PART OF YOUR FUND REPORT


4		2020 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


FUND SUMMARY		5


Futures contracts:
Average notional value of contracts — long	$	339,180,821
Average notional value of contracts — short		66,445,195
Forward foreign currency exchange contracts:
Average amounts purchased — in USD		1,374,021
Average amounts sold — in USD		101,556
Options:
Average value of option contracts purchased		289,895
Credit default swaps:
Average notional value — buy protection		18,815,688
Total return swaps:
Average notional value		162,799


	Assets			Liabilities
Derivative Financial Instruments:
Futures contracts	$	450,089		$	958,750
Forward foreign currency exchange contracts		—			7,665
Swaps — OTC ^(a)		26,555			61,077

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	476,644		$	1,027,492
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(450,089	)		(958,750	)

Total derivative assets and liabilities subject to an MNA	$	26,555		$	68,742


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)
BNP Paribas SA	$	82	$	(82	)	$	—	$	—	$	—
HSBC Bank plc		26,458		—			—		—		26,458
Morgan Stanley & Co. International plc		15		(15	)		—		—		—

	$	26,555	$	(97	)	$	—	$	—	$	26,458


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)
Bank of America NA	$	6,142	$	—	$	—	$	—	$	6,142
BNP Paribas SA		404		(82)		—		—		322
Citibank NA		1,523		—		—		—		1,523
JPMorgan Chase Bank NA		60,604		—		—		—		60,604
Morgan Stanley & Co. International plc		69		(15)		—		—		54

	$	68,742	$	(97)	$	—	$	—	$	68,645


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities	$	—	$	65,992,527	$	2,123,430	$	68,115,957
Common Stocks:
Airlines		645,925		—		—		645,925
Automobiles		—		3,777,802		—		3,777,802
Banks		813,848		8,496,689		—		9,310,537
Biotechnology		—		1,272,513		—		1,272,513
Building Products		—		1,227,943		—		1,227,943
Commercial Services & Supplies		—		1,088,953		—		1,088,953
Construction Materials		—		1,535,116		—		1,535,116
Consumer Finance		—		673,238		—		673,238
Diversified Telecommunication Services		—		2,281,649		—		2,281,649
Electric Utilities		9,521,753		768,247		—		10,290,000
Electronic Equipment, Instruments & Components		—		2,837,453		—		2,837,453
Equity Real Estate Investment Trusts (REITs)		43,227,416		22,830,061		—		66,057,477
Food & Staples Retailing		893,327		917,945		—		1,811,272
Food Products		—		1,159,040		—		1,159,040
Gas Utilities		615,166		2,630,062		—		3,245,228
Health Care Equipment & Supplies		—		956,465		—		956,465
Health Care Providers & Services		—		292,966		—		292,966
Hotels, Restaurants & Leisure		934,720		1,215,245		—		2,149,965
Household Durables		—		1,450,097		—		1,450,097
Independent Power and Renewable Electricity Producers		—		768,334		—		768,334
Insurance		768,709		3,275,843		—		4,044,552
Interactive Media & Services		—		5,007,670		—		5,007,670
IT Services		1,047,403		564,370		—		1,611,773
Machinery		—		794,555		—		794,555
Media		—		81,968		—		81,968
Metals & Mining		1,831,406		—		—		1,831,406
Multi-Utilities		6,810,326		1,287,551		—		8,097,877
Oil, Gas & Consumable Fuels		6,118,192		2,581,864		—		8,700,056
Real Estate Management & Development		—		14,176,608		—		14,176,608
Road & Rail		1,874,826		587,976		—		2,462,802
Semiconductors & Semiconductor Equipment		—		6,517,602		—		6,517,602
Specialty Retail		249,912		1,030,849		—		1,280,761
Technology Hardware, Storage & Peripherals		—		1,045,626		—		1,045,626
Thrifts & Mortgage Finance		—		1,304,588		—		1,304,588
Trading Companies & Distributors		—		537,748		—		537,748
Transportation Infrastructure		1,040,792		12,296,906		—		13,337,698
Water Utilities		1,388,756		—		—		1,388,756
Wireless Telecommunication Services		885,238		2,996,677		—		3,881,915
Corporate Bonds		—		339,100,268		—		339,100,268
Equity-Linked Notes		—		185,870,118		—		185,870,118
Floating Rate Loan Interests:
Aerospace & Defense		—		1,713,593		83,144		1,796,737
Airlines		—		881,164		—		881,164
Auto Components		—		1,096,735		—		1,096,735
Automobiles		—		374,135		—		374,135
Building Products		—		755,876		—		755,876
Capital Markets		—		294,499		219,067		513,566
Chemicals		—		2,318,722		298,494		2,617,216
Commercial Services & Supplies		—		2,935,282		—		2,935,282
Construction & Engineering		—		391,968		—		391,968
Construction Materials		—		1,144,883		—		1,144,883
Containers & Packaging		—		2,428,797		—		2,428,797
Diversified Consumer Services		—		2,121,487		—		2,121,487
Diversified Financial Services		—		3,412,532		—		3,412,532


Affiliated Issuer	Shares Held at 07/31/19	Shares Purchased	Shares Sold		Shares Held at 07/31/20		Value at 07/31/20		Income			Net Realized Gain (Loss)	^(a)		Change in Unrealized Appreciation (Depreciation	)
BlackRock Liquidity Funds, T-Fund, Institutional Class^(b)	783,040,104	626,180,631	—		1,409,220,735	$	1,409,220,735	$	8,153,740		$	871		$	—
SL Liquidity Series, LLC, Money Market Series^(b)	184,750,442	—	(183,307,300	)	1,443,142		1,444,008		638,586	^(c)		(6,260	)		(35,714	)
iShares iBoxx $ High Yield Corporate Bond ETF	8,123,339	2,924,724	(8,123,339	)	2,924,724		249,742,182		18,098,910			26,622,789			(12,226,069	)
iShares iBoxx $ Investment Grade Corporate Bond ETF^(d)	—	1,970,946	(1,970,946	)	—		—		3,133,589			6,672,897			—
iShares MBS ETF	—	9,399,128	(8,405,318	)	993,810		110,134,024		10,460,606			17,199,440			2,901,965
iShares Short-Term Corporate Bond ETF	4,485,005	1,587,302	(4,485,005	)	1,587,302		87,380,975		1,744,105			4,383,776			(2,123,503	)

						$	1,857,921,924	$	42,229,536		$	54,873,513		$	(11,483,321	)


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	Barclays Bank plc	06/20/23	B	EUR	455		$	(100,937)	$	(34,648)	$	(66,289)
Casino Guichard Perrachon SA	1.00		Quarterly	Barclays Bank plc	06/20/23	NR	EUR	100			(22,186)		(7,786)		(14,400)
Casino Guichard Perrachon SA	1.00		Quarterly	Barclays Bank plc	06/20/23	B	EUR	215			(47,706)		(16,920)		(30,786)
Casino Guichard Perrachon SA	1.00		Quarterly	Citibank NA	06/20/23	B	EUR	13			(2,848)		(1,129)		(1,719)
Casino Guichard Perrachon SA	1.00		Quarterly	Citibank NA	06/20/23	NR	EUR	91			(20,105)		(7,670)		(12,435)
Casino Guichard Perrachon SA	1.00		Quarterly	JPMorgan Chase Bank NA	06/20/23	NR	EUR	91			(20,125)		(7,678)		(12,447)
Casino Guichard Perrachon SA	1.00		Quarterly	JPMorgan Chase Bank NA	06/20/23	NR	EUR	54			(12,075)		(4,312)		(7,763)


	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)	$	—	$	—	$	843,402	$	—	$	25,778,358	$	—	$	26,621,760
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts		—		—		—		192,895		—		—		192,895
Options purchased
Investments at value — unaffiliated^(b)		—		—		308,040		—		—		—		308,040
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid		—		110,867		—		—		—		—		110,867

	$	—	$	110,867	$	1,151,442	$	192,895	$	25,778,358	$	—	$	27,233,562


Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)		—		—		2,135,659		8,425,165		10,837,746		—		21,398,570
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts		—		—		—		11,939,257		—		—		11,939,257
Options written
Options written at value		—		—		145,890		—		—		—		145,890
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		7,262		—		—		—		—		7,262
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received		—		1,724,789		2		—		—		—		1,724,791

	$	—	$	1,732,051	$	2,281,551	$	20,364,422	$	10,837,746	$	—	$	35,215,770


Futures contracts:
Average notional value of contracts — long	$	2,089,014,095
Average notional value of contracts — short		1,645,982,231
Forward foreign currency exchange contracts:
Average amounts purchased — in USD		398,046,511
Average amounts sold — in USD		10,953,970
Options:
Average value of option contracts purchased		4,431,378
Average value of option contracts written		55,750
Credit default swaps:
Average notional value — buy protection		141,425,693
Average notional value — sell protection		14,220,116
Total return swaps:
Average notional value		1


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)(c)
BNP Paribas SA	$	4,466	$	(4,466	)	$	—	$	—		$	—
Citibank NA		7,172		(7,172	)		—		—			—
Credit Suisse International		102,412		(102,412	)		—		—			—
Morgan Stanley & Co. International plc		4,207		(4,207	)		—		—			—
Natwest Markets plc		141,721		—			—		—			141,721
State Street Bank and Trust Co.		14,477		(14,477	)		—		—			—
UBS AG		3,187		(3,187	)		—		—			—
Westpac Banking Corp.		26,120		(4,355	)		—		—			21,765

	$	303,762	$	(140,276	)	$	—	$	—		$	163,486


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset ^(a)			Non-cash Collateral Pledged		Cash Collateral Pledged ^(d)			Net Amount of Derivative Liabilities ^(c)(e)
Bank of America NA	$	1,631,560	$	—		$	—	$	—		$	1,631,560
Bank of New York		57,479		—			—		—			57,479
Barclays Bank plc		9,952,205		—			—		(440,000	)		9,512,205
BNP Paribas SA		67,562		(4,466	)		—		—			63,096
Canadian Imperial Bank of Commerce		13,423		—			—		—			13,423
Citibank NA		374,230		(7,172	)		—		—			367,058
Credit Suisse International		485,815		(102,412	)		—		(383,403	)		—
HSBC Bank plc		1		—			—		—			1
JPMorgan Chase Bank NA		122,019		—			—		—			122,019
Morgan Stanley & Co. International plc		762,211		(4,207	)		—		(758,004	)		—
State Street Bank and Trust Co.		157,553		(14,477	)		—		—			143,076
UBS AG		35,635		(3,187	)		—		—			32,448
Westpac Banking Corp.		4,355		(4,355	)		—		—			—

	$	13,664,048	$	(140,276	)	$	—	$	(1,581,407	)	$	11,942,365


	Asset- Backed Securities		Common Stocks		Corporate Bonds		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, 2019	$	44,384,839	$	132,671	$	688,350	$	151,953,207	$	38,593,120	$	1,608,971	$	—	$	237,361,158
Transfers into level 3		1,058,767		65,790		—		78,372,619		8,637,606		—		—		88,134,782
Transfers out of level 3		(25,098,091)		—		(688,350)		(18,933,967)		(19,000,000)		—		—		(63,720,408)
Accrued discounts/premiums		8,850		—		—		23,199		39,073		—		—		71,122
Net realized gain (loss)		5,128		1,029		—		(722,505)		—		—		—		(716,348)
Net change in unrealized appreciation (depreciation)^(a)(b)		(361,664)		65,708		—		(3,489,025)		(3,111,546)		(33,971)		(102,437)		(7,032,935)
Purchases		3,482,503		58,991		—		43,401,451		—		—		—		46,942,945
Sales		(2,425,677)		(67,125)		—		(145,727,989)		—		—		—		(148,220,791)

Closing balance, as of July 31, 2020	$	21,054,655	$	257,064	$	—	$	104,876,990	$	25,158,253	$	1,575,000	$	(102,437)	$	152,819,525

Net change in unrealized appreciation (depreciation) on investments still held at July 31, 2020^(b)	$	(361,664)	$	65,708	$	—	$	(3,443,714)	$	(3,111,546)	$	(33,971)	$	(102,437)	$	(6,987,624)


	BlackRock Dynamic High Income Portfolio		BlackRock Multi-Asset Income Portfolio

ASSETS
Investments at value — unaffiliated^(a)(b)	$	979,037,114	$	15,029,054,732
Investments at value — affiliated^(c)		240,821,558		1,857,921,924
Cash		—		124,128
Cash pledged:
Collateral — OTC derivatives		—		2,220,000
Futures contracts		26,671,742		127,926,000
Centrally cleared swaps		—		128,000
Foreign currency at value^(d)		9,685,817		65,917,437
Receivables:
Investments sold		15,254,210		62,799,378
Securities lending income — affiliated		705		22,045
Capital shares sold		2,177,173		46,030,768
Dividends — affiliated		125,567		57,394
Dividends — unaffiliated		577,416		14,887,683
Interest — unaffiliated		7,328,385		97,442,889
From the Manager		26,784		268,051
Variation margin on futures contracts		450,089		882,898
Swap premiums paid		97		103,665
Unrealized appreciation on:
Forward foreign currency exchange contracts		—		192,895
OTC swaps		26,458		7,202
Unfunded floating rate loan interests		431		5,810
Prepaid expenses		62,389		351,138

Total assets		1,282,245,935		17,306,344,037


LIABILITIES
Bank overdraft		48,892		—
Cash collateral on securities loaned at value		1,060,682		1,392,347
Options written at value^(e)		—		145,890
Payables:
Investments purchased		89,602,949		710,397,950
Accounting services fees		102,511		404,908
Administration fees		39,961		458,144
Capital shares redeemed		4,123,487		40,445,005
Custodian fees		82,287		464,333
Deferred foreign capital gain tax		—		838,622
Income dividend distributions		827,289		8,205,987
Investment advisory fees		347,242		5,711,688
Trustees’ and Officer’s fees		3,818		64,921
Other affiliate fees		177		45,821
Printing and postage fees		35,344		168,967
Professional fees		93,443		202,582
Registration fees		154,023		2,913,063
Service and distribution fees		67,451		2,533,794
Transfer agent fees		243,447		2,976,816
Other accrued expenses		42,992		355,394
Variation margin on futures contracts		958,750		6,148,708
Variation margin on centrally cleared swaps		—		2,136
Swap premiums received		103		779,763
Unrealized depreciation on:
Forward foreign currency exchange contracts		7,665		11,939,257
OTC swaps		60,974		945,028
Unfunded floating rate loan interests		1,508		159,692

Total liabilities		97,904,995		797,700,816

NET ASSETS	$	1,184,340,940	$	16,508,643,221


	BlackRock Dynamic High Income Portfolio			BlackRock Multi-Asset Income Portfolio

NET ASSETS CONSIST OF
Paid-in capital	$	1,270,761,444		$	17,354,913,461
Accumulated loss		(86,420,504	)		(846,270,240	)

NET ASSETS	$	1,184,340,940		$	16,508,643,221


^(a)Investments at cost — unaffiliated	$	976,597,371		$	14,596,323,590
^(b)Securities loaned at value	$	1,057,265		$	1,397,528
^(c)Investments at cost — affiliated	$	238,104,212		$	1,845,762,123
^(d)Foreign currency at cost	$	9,313,267		$	64,599,530
^(e)Premiums received	$	—		$	69,521


	BlackRock Dynamic High Income Portfolio		BlackRock Multi- Asset Income Portfolio

NET ASSET VALUE
Institutional
Net assets	$	828,901,391	$	9,311,984,012

Share outstanding^(f)		91,785,752		877,039,242

Net asset value	$	9.03	$	10.62

Investor A
Net assets	$	147,033,610	$	4,521,698,695

Share outstanding^(f)		16,275,328		426,352,689

Net asset value	$	9.03	$	10.61

Investor C
Net assets	$	41,749,066	$	1,757,991,196

Share outstanding^(f)		4,626,973		165,964,391

Net asset value	$	9.02	$	10.59

Class K
Net assets	$	166,656,873	$	916,969,318

Share outstanding^(f)		18,444,630		86,406,009

Net asset value	$	9.04	$	10.61


	BlackRock Dynamic High Income Portfolio		BlackRock Multi-Asset Income Portfolio

INVESTMENT INCOME
Dividends — affiliated	$	6,754,823	$	41,590,950
Dividends — unaffiliated		8,547,168		132,871,384
Interest — unaffiliated		59,223,852		737,518,245
Securities lending income — affiliated — net		51,328		638,586
Foreign taxes withheld		(422,431)		(5,516,432)

Total investment income		74,154,740		907,102,733


EXPENSES
Investment advisory		6,856,302		85,273,192
Transfer agent — class specific		894,704		11,295,333
Service and distribution — class specific		738,511		32,148,718
Administration		469,846		5,523,964
Administration — class specific		230,599		3,340,759
Registration		226,194		2,427,635
Custodian		204,487		1,242,679
Accounting services		191,029		1,021,016
Professional		96,174		355,560
Printing and postage		18,642		190,065
Trustees and Officer		11,501		262,835
Miscellaneous		5,247		347,613

Total expenses		9,943,236		143,429,369

Less:
Fees waived and/or reimbursed by the Manager		(1,197,401)		(13,091,259)
Transfer agent fees waived and/or reimbursed — class specific		(289,431)		(3,410,622)
Administration fees waived — class specific		(227,614)		(3,338,787)

Total expenses after fees waived and/or reimbursed		8,228,790		123,588,701

Net investment income		65,925,950		783,514,032


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — affiliated		5,640,566		54,872,642
Investments — unaffiliated^(a)		(128,761,871)		(1,059,160,206)
Capital gain distributions from underlying funds — affiliated		267		871
Forward foreign currency exchange contracts		461,380		14,580,234
Foreign currency transactions		(42,736)		(13,326,075)
Futures contracts		21,702,554		496,008,660
Options written		—		(2,146,940)
Swaps		3,785,307		30,801,636

		(97,214,533)		(478,369,178)

Net change in unrealized appreciation (depreciation) on:
Investments — affiliated		189,266		(11,483,321)
Investments — unaffiliated^(b)		702,249		75,574,056
Forward foreign currency exchange contracts		(38,434)		(18,312,096)
Foreign currency translations		604,016		3,397,776
Futures contracts		(408,504)		(72,406,534)
Options written		—		(76,369)
Swaps		(22,779)		(386,178)
Unfunded floating rate loan interests		(1,077)		(160,964)

		1,024,737		(23,853,630)

Net realized and unrealized loss		(96,189,796)		(502,222,808)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(30,263,846)	$	281,291,224


^(a)Net of foreign capital gain tax	$	—	$	(46,864)
^(b)Net of foreign capital gain tax	$	—	$	(33,044)


	BlackRock Dynamic High Income Portfolio				BlackRock Multi-Asset Income Portfolio

	Year Ended July 31,				Year Ended July 31,

	2020		2019		2020		2019


INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	65,925,950	$	48,478,430	$	783,514,032	$	800,695,960
Net realized loss		(97,214,533)		(6,951,019)		(478,369,178)		(140,680,735)
Net change in unrealized appreciation (depreciation)		1,024,737		7,647,618		(23,853,630)		185,784,660

Net increase (decrease) in net assets resulting from operations		(30,263,846)		49,175,029		281,291,224		845,799,885


DISTRIBUTIONS TO SHAREHOLDERS^(a)
From net investment income:
Institutional		(48,491,364)		(39,635,113)		(440,682,863)		(459,076,208)
Investor A		(6,161,065)		(3,952,259)		(188,125,567)		(191,502,078)
Investor C		(1,701,651)		(1,564,995)		(78,965,408)		(99,219,355)
Class K		(383,937)		(141,692)		(38,745,120)		(32,488,999)
From return of capital:
Institutional		(6,714,276)		(3,227,255)		(10,474,751)		(8,245,123)
Investor A		(853,082)		(321,809)		(4,471,625)		(3,439,425)
Investor C		(235,616)		(127,428)		(1,876,958)		(1,782,004)
Class K		(53,161)		(11,538)		(920,947)		(583,510)

Decrease in net assets resulting from distributions to shareholders		(64,594,152)		(48,982,089)		(764,263,239)		(796,336,702)


CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets derived from capital share transactions		249,918,292		438,341,145		365,647,803		(16,998,511)


NET ASSETS
Total increase (decrease) in net assets		155,060,294		438,534,085		(117,324,212)		32,464,672
Beginning of year		1,029,280,646		590,746,561		16,625,967,433		16,593,502,761

End of year	$	1,184,340,940	$	1,029,280,646	$	16,508,643,221	$	16,625,967,433


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	^(b)	To Investor A Shares after approximately 10 years


Dynamic High Income		$ 1,083,265,827
Multi-Asset Income		16,650,125,125


		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.