Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

September 30, 2019 (unaudited)

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Basic Materials (1.5%)
ALROSA Finance SA 4.650%, 4/9/24 144A		500,000		523
Georgia-Pacific LLC 8.875%, 5/15/31		200,000		319
Indonesia Asahan Aluminium Persero PT 5.230%, 11/15/21 144A		300,000		315
INEOS Finance PLC 2.875%, 5/1/26 144A EUR ¥		2,700,000		2,906
MMK International Capital DAC 4.375%, 6/13/24 144A		1,400,000		1,463
Syngenta Finance NV
4.892%, 4/24/25 144A		5,900,000		6,249
5.182%, 4/24/28 144A		2,800,000		2,977
Total				14,752
Communications (7.3%)
Altice Financing SA
6.625%, 2/15/23 144A		256,000		263
7.500%, 5/15/26 144A		5,171,000		5,494
Altice France SA 8.125%, 2/1/27 144A		3,200,000		3,532
Altice Luxembourg SA
7.250%, 5/15/22 EUR §,¥		965,060		1,073
7.625%, 2/15/25 144A		2,800,000		2,919
8.000%, 5/15/27 144A EUR ¥		700,000		838
AT&T, Inc.
3.400%, 5/15/25		500,000		522
4.125%, 2/17/26		500,000		540
4.900%, 8/15/37		200,000		227
5.300%, 8/15/58 b		6,200,000		7,255
Baidu, Inc. 3.875%, 9/29/23		200,000		208
Charter Communications Operating LLC / Charter Communications Operating Capital Corp.
4.200%, 3/15/28		1,700,000		1,790
4.464%, 7/23/22 b		2,400,000		2,527
5.125%, 7/1/49 b		3,300,000		3,515
5.375%, 4/1/38		100,000		112
CommScope Technologies LLC 5.000%, 3/15/27 144A		100,000		82
Connect Finco SARL / Connect US Finco LLC 6.750%, 10/1/26 144A		900,000		917
Deutsche Telekom International Finance 8.750%, 6/15/30		700,000		1,034
DISH DBS Corp.
5.125%, 5/1/20		1,982,000		2,004
6.750%, 6/1/21 b		3,200,000		3,367
Koninklijke KPN NV 5.750%, 9/17/29 GBP §,¥		750,000		1,122
Netflix, Inc. 3.875%, 11/15/29 144A EUR ¥		3,900,000		4,506
Qwest Corp. 7.250%, 9/15/25		500,000		565
SFR Group SA 7.375%, 5/1/26 144A		7,600,000		8,158

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Communications continued
SoftBank Group Corp. 5.000%, 4/15/28 EUR §,¥,b		4,100,000		4,957
Sprint Corp. 7.250%, 9/15/21		400,000		427
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.152%, 3/20/28 144A		1,300,000		1,410
Telecom Italia Capital SA 6.000%, 9/30/34		100,000		107
Time Warner Cable LLC
5.875%, 11/15/40		300,000		336
6.750%, 6/15/39		200,000		244
UPCB Finance IV, Ltd. 4.000%, 1/15/27 EUR §,¥		315,000		362
Verizon Communications, Inc.
4.522%, 9/15/48		100,000		118
4.672%, 3/15/55		1,119,000		1,342
5.012%, 4/15/49 b		2,449,000		3,077
5.250%, 3/16/37		200,000		248
Virgin Media Investment Holdings, Ltd. 5.125%, 1/15/25 144A GBP ¥		700,000		890
Virgin Media Secured Finance PLC
4.875%, 1/15/27 GBP §,¥,b		3,100,000		3,964
5.000%, 4/15/27 144A GBP ¥		500,000		647
5.250%, 5/15/29 144A GBP ¥		1,300,000		1,715
Vodafone Group PLC 4.250%, 9/17/50		400,000		408
Total				72,822
Consumer, Cyclical (4.7%)
American Airlines Pass Through Trust, Series 2011-1, Class A 5.250%, 7/31/22		72,043		74
American Airlines Pass Through Trust, Series 2014-1, Class A 3.700%, 4/1/28		15,235		16
BMW Finance NV 2.250%, 8/12/22 144A		400,000		400
Continental Airlines Pass Through Trust, Series 2009-2, Class A 7.250%, 5/10/21		170,330		171
Continental Airlines Pass Through Trust, Series 2010-1, Class A 4.750%, 7/12/22		42,372		43
Enterprise Inns PLC 6.875%, 5/9/25 GBP ¥		1,600,000		2,009
FCE Bank PLC
0.088%, (Euribor 3 Month ACT/360 plus 0.500%), 8/26/20 EUR §,¥		100,000		109
0.869%, 9/13/21 EUR §,¥		400,000		436
1.875%, 6/24/21 EUR §,¥		100,000		111
Ford Motor Credit Co. LLC
0.030%, (Euribor 3 Month ACT/360 plus 0.430%), 5/14/21 EUR ¥		200,000		216
0.050%, (Euribor 3 Month ACT/360 plus 0.370%), 12/1/21 EUR ¥		1,200,000		1,283

1

Multi-Sector Bond Portfolio

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
0.100%, (Euribor 3 Month ACT/360 plus 0.420%), 12/7/22 EUR ¥		400,000		420
3.021%, 3/6/24 EUR ¥		900,000		1,031
3.096%, 5/4/23		500,000		491
3.220%, (ICE LIBOR USD 3 Month plus 0.880%), 10/12/21		200,000		197
3.350%, 11/1/22		1,400,000		1,402
3.393%, (ICE LIBOR USD 3 Month plus 1.235%), 2/15/23		200,000		194
5.443%, (ICE LIBOR USD 3 Month plus 3.140%), 1/7/22		200,000		206
5.584%, 3/18/24		600,000		638
5.596%, 1/7/22		1,500,000		1,576
General Motors Financial Co., Inc.
3.450%, 4/10/22		300,000		305
5.100%, 1/17/24		1,200,000		1,290
Hilton Domestic Operating Co., Inc. 4.875%, 1/15/30 144A		400,000		422
Hilton Worldwide Finance Corp. 4.875%, 4/1/27		700,000		740
IHO Verwaltungs GmbH
3.625%, 5/29/25 144A EUR ¥		800,000		902
3.750%, 9/15/26 EUR §,¥,b		4,600,000		5,152
Las Vegas Sands Corp.
3.200%, 8/8/24		300,000		306
3.500%, 8/18/26		200,000		203
3.900%, 8/8/29		100,000		102
Marks & Spencer PLC
3.000%, 12/8/23 GBP §,¥		300,000		381
4.750%, 6/12/25 GBP §,¥		900,000		1,216
Marriott Ownership Resorts, Inc. 6.500%, 9/15/26		150,000		162
Melco Resorts Finance, Ltd. 4.875%, 6/6/25 144A		400,000		404
MGM Resorts International 7.750%, 3/15/22		300,000		336
Mitchells & Butlers Finance PLC
1.231%, (ICE LIBOR GBP 3 Month plus 0.450%), 12/15/30 GBP §,¥		1,334,124		1,517
2.569%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 §		242,568		223
6.469%, 9/15/32 GBP §,¥		200,000		282
QVC, Inc.
4.375%, 3/15/23		2,000,000		2,067
5.450%, 8/15/34		800,000		814
Sands China, Ltd.
4.600%, 8/8/23		300,000		318
5.400%, 8/8/28 b		3,200,000		3,604
Toll Brothers Finance Corp.
4.350%, 2/15/28		100,000		103
4.875%, 3/15/27		1,200,000		1,285
Travis Perkins PLC
4.375%, 9/15/21 GBP §,¥		200,000		255
4.500%, 9/7/23 GBP §,¥,b		1,900,000		2,459
US Airways Pass-Through Trust, Series 2012-1, Class A 5.900%, 4/1/26		929,381		1,035
Volkswagen Bank GmbH 1.250%, 6/10/24 EUR ¥		800,000		897

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Consumer, Cyclical continued
Volkswagen Financial Services Aktiengesellschaft 0.875%, 4/12/23 EUR ¥		200,000		221
Volkswagen Group of America Finance LLC 4.000%, 11/12/21 144A		2,500,000		2,584
Volkswagen Leasing GmbH 2.625%, 1/15/24 EUR ¥		1,800,000		2,133
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 5.125%, 10/1/29 144A		800,000		838
ZF North America Capital, Inc.
4.500%, 4/29/22 144A		436,000		446
4.750%, 4/29/25 144A		2,232,000		2,327
Total				46,352
Consumer, Non-cyclical (2.4%)
AA Bond Co., Ltd.
2.750%, 7/31/43 GBP ¥		100,000		114
2.875%, 7/31/43 GBP §,¥,b		2,900,000		3,429
4.248%, 7/31/43 GBP ¥		800,000		995
4.875%, 7/31/43 GBP §,¥		200,000		245
5.500%, 7/31/43 GBP §,¥		400,000		424
Adani Ports & Special Economic Zone, Ltd. 4.375%, 7/3/29 144A		200,000		209
Allergan Funding SCS 1.500%, 11/15/23 EUR ¥		400,000		460
Amgen, Inc. 4.663%, 6/15/51		1,041,000		1,212
Bacardi, Ltd. 4.700%, 5/15/28 144A		2,900,000		3,168
BAT Capital Corp. 3.222%, 8/15/24		100,000		101
3.557%, 8/15/27		700,000		704
Casino Guichard Perrachon SA 1.865%, 6/13/22 EUR §,¥		200,000		201
CVS Pass-Through Trust
4.704%, 1/10/36 144A		415,762		456
5.926%, 1/10/34 144A		706,644		822
7.507%, 1/10/32 144A		73,077		90
Hamilton College 4.750%, 7/1/13		100,000		120
HCA, Inc.
4.500%, 2/15/27		100,000		107
4.750%, 5/1/23 b		2,655,000		2,844
5.375%, 9/1/26		400,000		439
5.875%, 2/1/29		100,000		112
Pfizer, Inc. 5.800%, 8/12/23		200,000		227
RAC Bond Co. PLC 4.870%, 5/6/46 GBP §,¥		500,000		606
Teva Pharmaceutical Finance Co. BV
2.950%, 12/18/22		120,000		103
3.650%, 11/10/21		2,600,000		2,405
Teva Pharmaceutical Finance IV BV 3.650%, 11/10/21		400,000		369
Teva Pharmaceutical Finance Netherlands II BV
1.250%, 3/31/23 EUR §,¥		600,000		546
3.250%, 4/15/22 EUR ¥		800,000		809

2

Multi-Sector Bond Portfolio

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Consumer, Non-cyclical continued
Teva Pharmaceutical Finance Netherlands III BV
2.200%, 7/21/21		400,000		365
2.800%, 7/21/23		2,300,000		1,860
Total				23,542
Diversified (0.1%)
Co-operative Group Holdings 2011, Ltd. 6.875%, 7/8/20 GBP §,¥		600,000		765
Total				765
Energy (8.9%)
Aker BP ASA 4.750%, 6/15/24 144A		1,000,000		1,044
CNOOC Finance 2013, Ltd. 3.000%, 5/9/23		500,000		508
Continental Resources, Inc. 4.375%, 1/15/28		1,400,000		1,447
Dolphin Energy, Ltd. 5.500%, 12/15/21 144A		1,000,000		1,061
El Paso Natural Gas Co. LLC 8.375%, 6/15/32		200,000		276
Energy Transfer Operating LP
3.600%, 2/1/23		100,000		103
4.150%, 10/1/20		400,000		406
4.650%, 6/1/21		200,000		206
5.250%, 4/15/29		100,000		113
7.500%, 7/1/38		100,000		128
Gazprom Neft OAO Via GPN Capital SA 6.000%, 11/27/23 §,b		3,000,000		3,326
Greenko Solar Mauritius Ltd 5.550%, 1/29/25 144A		1,000,000		1,000
Harvest Operations Corp. 2.330%, 4/14/21 144A		2,970,000		2,961
Kinder Morgan Energy Partners LP 6.550%, 9/15/40 b		2,382,000		2,955
Kinder Morgan, Inc. 7.750%, 1/15/32		1,216,000		1,674
MPLX LP
4.250%, 12/1/27 144A		100,000		106
Newfield Exploration Co.
5.625%, 7/1/24		2,100,000		2,317
NGPL PipeCo LLC 7.768%, 12/15/37 144A		3,900,000		5,054
Novatek OAO via Novatek Finance, Ltd. 6.604%, 2/3/21 §		200,000		211
Occidental Petroleum Corp.
3.137%, (ICE LIBOR USD 3 Month plus 0.950%), 2/8/21		100,000		101
Odebrecht Drilling Norbe VIII/IX, Ltd.
6.350%, 12/1/21 §		515,899		511
7.350%, 12/1/26 §,Þ		1,516,952		906
Odebrecht Oil & Gas Finance, Ltd. 0.000%, 2/9/18 §		782,000		7
Pertamina Persero PT 6.500%, 11/7/48 144A		3,800,000		4,991
Petrobras Global Finance BV 5.093%, 1/15/30 144A		2,433,000		2,538
Petroleos de Venezuela SA
5.375%, 4/12/27 §,j		6,500,000		520
5.500%, 4/12/37 §,j		4,300,000		344

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Energy continued
Petroleos Mexicanos
2.750%, 4/21/27 EUR §,¥		1,100,000		1,118
3.750%, 2/21/24 EUR §,¥		400,000		452
4.750%, 2/26/29 EUR §,¥,b		7,300,000		8,218
4.875%, 2/21/28 EUR §,¥		600,000		682
5.625%, 1/23/46		378,000		323
6.490%, 1/23/27 144A		700,000		730
6.500%, 3/13/27		1,700,000		1,770
6.625%, 6/15/38		1,800,000		1,712
6.840%, 1/23/30 144A		1,500,000		1,551
7.690%, 1/23/50 144A		1,881,395		1,962
QEP Resources, Inc. 5.625%, 3/1/26		700,000		602
QGOG Constellation SA 9.500%, 11/9/24 §		201,001		86
Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.838%, 9/30/27 144A		2,300,000		2,633
Regency Energy Partners LP / Regency Energy Finance Corp.
4.500%, 11/1/23		300,000		318
5.000%, 10/1/22		1,100,000		1,167
5.750%, 9/1/20		300,000		307
5.875%, 3/1/22		800,000		856
Reliance Holdings USA, Inc. 4.500%, 10/19/20 §		300,000		306
Rio Oil Finance Trust, Series 2014-1
9.250%, 7/6/24 144A		1,430,759		1,595
9.250%, 7/6/24 §		1,251,914		1,396
Rio Oil Finance Trust, Series 2014-3 9.750%, 1/6/27 §		459,998		537
Rockies Express Pipeline LLC 5.625%, 4/15/20 144A		1,000,000		1,014
Sabine Pass Liquefaction LLC
5.625%, 2/1/21		900,000		930
5.625%, 3/1/25 b		4,900,000		5,507
5.750%, 5/15/24		800,000		892
5.875%, 6/30/26		400,000		459
Sunoco LP / Sunoco Finance Corp. 4.875%, 1/15/23		100,000		103
Tallgrass Energy Partners LP 5.500%, 1/15/28 144A		8,400,000		8,210
Transocean Guardian, Ltd. 5.875%, 1/15/24 144A		5,251,000		5,277
Transocean Poseidon, Ltd. 6.875%, 2/1/27 144A		200,000		206
Valaris PLC
5.750%, 10/1/44		200,000		85
8.000%, 1/31/24		80,000		53
Williams Partners LP 3.600%, 3/15/22 b		2,500,000		2,568
Total				88,439
Financial (22.4%)
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
3.650%, 7/21/27		500,000		509
4.250%, 7/1/20		150,000		152
4.450%, 12/16/21		150,000		156
4.450%, 4/3/26		900,000		962
4.875%, 1/16/24		1,200,000		1,296
5.000%, 10/1/21 b		3,450,000		3,627

3

Multi-Sector Bond Portfolio

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Financial continued
Aircastle, Ltd. 4.250%, 6/15/26		300,000		307
Ally Financial, Inc.
3.750%, 11/18/19 b		5,290,000		5,295
4.125%, 3/30/20		537,000		540
4.250%, 4/15/21		246,000		251
8.000%, 11/1/31		1,371,000		1,895
Avolon Holdings Funding, Ltd.
5.125%, 10/1/23 144A		500,000		530
5.500%, 1/15/23 144A		800,000		854
Banco Bilbao Vizcaya Argentina SA
6.750%, (Euro Swap Annual 5 Year plus 6.604%), 12/29/49 EUR §,¥,b		5,200,000		5,771
Bank of America Corp.
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28		973,000		1,015
4.000%, 4/1/24		1,081,000		1,160
5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 12/31/99 b		4,500,000		4,872
Bank of Ireland 7.375%, (Effective 6/18/20 - Euro Swap Annual 5 Year plus 6.956%), 12/29/49 EUR §,¥		600,000		679
Barclays Bank PLC 7.625%, 11/21/22		2,000,000		2,205
Barclays PLC
2.375%, (GBP Swap Semi-Annual 1 Year plus 1.320%), 10/6/23 GBP §,¥		200,000		248
3.250%, 2/12/27 GBP §,¥		1,500,000		1,919
3.650%, 3/16/25 b		3,100,000		3,173
4.610%, (ICE LIBOR USD 3 Month plus 1.400%), 2/15/23 b		3,100,000		3,220
8.000%, (Euro Swap Annual 5 Year plus 6.750%), 12/15/49 EUR ¥		1,300,000		1,514
BNP Paribas SA
4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A		6,400,000		6,919
Cantor Fitzgerald LP
4.875%, 5/1/24 144A		100,000		106
6.500%, 6/17/22 144A		200,000		216
7.875%, 10/15/19 144A		1,500,000		1,503
CIT Group, Inc.
5.000%, 8/15/22		272,000		288
5.000%, 8/1/23		100,000		106
5.250%, 3/7/25		100,000		109
Citigroup, Inc. 3.400%, 5/1/26		600,000		627
Cooperatieve Rabobank UA
5.500%, (Euro Swap Annual 5 Year plus 5.250%), 1/22/49 EUR §,¥		900,000		1,010
6.625%, (Euro Swap Annual 5 Year plus 6.697%), 12/29/49 EUR §,¥,b		2,600,000		3,088
CPI Property Group SA
2.125%, 10/4/24 EUR §,¥		400,000		460
4.750%, 3/8/23		1,300,000		1,365
Credit Agricole Assurances SA
4.250%, (Euro Swap Annual 5 Year plus 4.500%), 12/31/49 EUR §,¥		2,000,000		2,392
Credit Suisse AG
6.500%, 8/8/23 144A		7,400,000		8,232
6.500%, 8/8/23 §		1,700,000		1,891

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Financial continued
Deutsche Annington Finance BV 5.000%, 10/2/23 144A		300,000		316
Deutsche Bank AG
0.059%, (Euribor 3 Month ACT/360 plus 0.500%), 12/7/20 EUR §,¥		700,000		758
3.150%, 1/22/21		400,000		399
3.362%, (ICE LIBOR USD 3 Month plus 1.230%), 2/27/23		2,200,000		2,119
3.375%, 5/12/21		2,000,000		1,994
4.250%, 2/4/21		900,000		909
4.250%, 10/14/21 b		4,500,000		4,565
5.000%, 2/14/22 b		6,000,000		6,213
The Doctors Co. 6.500%, 10/15/23 144A		300,000		322
Emerald Bay SA 0.000%, 10/15/20 144A EUR ¥		3,796,000		4,055
Equinix, Inc. 2.875%, 3/15/24 EUR ¥		1,200,000		1,356
Fairfax Financial Holdings, Ltd. 2.750%, 3/29/28 144A EUR ¥		500,000		599
Freedom Mortgage Corp.
8.125%, 11/15/24 144A		1,040,000		957
8.250%, 4/15/25 144A		1,000,000		918
10.750%, 4/1/24 144A		900,000		887
GE Capital European Funding Unlimited Co.
0.000%, (Euribor 3 Month ACT/360 plus 0.225%), 5/17/21 EUR ¥		100,000		108
0.010%, (Euribor 3 Month ACT/360 plus 0.380%), 1/21/20 EUR ¥		100,000		109
0.800%, 1/21/22 EUR ¥		300,000		329
2.250%, 7/20/20 EUR ¥		200,000		221
GE Capital International Funding Co. Unlimited Co. 4.418%, 11/15/35		500,000		524
GE Capital UK Funding Unlimited Co. 5.125%, 5/24/23 GBP ¥		500,000		679
Globalworth Real Estate Investments, Ltd. 3.000%, 3/29/25 EUR ¥		2,000,000		2,372
GLP Capital LP / GLP Financing II, Inc.
3.350%, 9/1/24		100,000		101
5.750%, 6/1/28		400,000		455
The Goldman Sachs Group, Inc.
3.319%, (ICE LIBOR USD 3 Month plus 1.200%), 9/15/20		200,000		202
3.750%, 5/22/25 b		2,700,000		2,859
3.850%, 7/8/24		1,000,000		1,060
3.902%, (ICE LIBOR USD 3 Month plus 1.770%), 2/25/21		200,000		204
4.000%, 3/3/24		400,000		427
5.750%, 1/24/22		400,000		431
Growthpoint Properties International Pty, Ltd. 5.872%, 5/2/23 144A		300,000		320
HBOS PLC 5.374%, 6/30/21 EUR ¥		600,000		711
Hospitality Properties Trust
4.350%, 10/1/24		200,000		202
4.750%, 10/1/26 b		4,900,000		4,925
The Howard Hughes Corp. 5.375%, 3/15/25 144A		300,000		314

4

Multi-Sector Bond Portfolio

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Financial continued
HSBC Holdings PLC 3.600%, 5/25/23		2,100,000		2,184
ING Bank NV 5.800%, 9/25/23 144A		1,700,000		1,887
ING Groep NV 5.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 4.342%), 12/31/99		1,800,000		1,813
International Lease Finance Corp.
5.875%, 8/15/22		400,000		438
8.250%, 12/15/20		2,100,000		2,247
8.625%, 1/15/22		400,000		454
Intesa Sanpaolo SpA
5.017%, 6/26/24 144A		2,700,000		2,780
6.500%, 2/24/21 144A		4,100,000		4,306
Jefferies Finance LLC / JFIN Co-Issuer Corp.
6.250%, 6/3/26 144A		1,400,000		1,446
7.250%, 8/15/24 144A		1,400,000		1,395
Kennedy Wilson Europe Real Estate PLC 3.950%, 6/30/22 GBP §,¥,b		2,700,000		3,429
Lloyds Banking Group PLC
2.250%, 10/16/24 GBP §,¥,b		2,000,000		2,508
4.450%, 5/8/25 b		3,300,000		3,552
Logicor Financing SARL 3.250%, 11/13/28 EUR ¥		600,000		739
Macquarie Group, Ltd. 6.250%, 1/14/21 144A		300,000		315
Morgan Stanley
3.208%, (ICE LIBOR USD 3 Month plus 0.930%), 7/22/22		1,000,000		1,008
4.000%, 7/23/25 b		3,600,000		3,883
Nationwide Building Society 4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A		4,500,000		4,726
Navient Corp.
6.625%, 7/26/21		1,300,000		1,365
7.250%, 1/25/22		400,000		431
NN Group NV 4.500%, (Euribor 3 Month ACT/360 plus 4.000%), 7/15/49 EUR §,¥,b		2,600,000		3,156
OMEGA Healthcare Investors, Inc.
4.500%, 1/15/25		100,000		105
4.950%, 4/1/24		100,000		107
Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc. 6.375%, 12/15/22 144A		200,000		208
Park Aerospace Holdings, Ltd.
4.500%, 3/15/23 144A		3,900,000		4,036
5.250%, 8/15/22 144A		650,000		685
5.500%, 2/15/24 144A		400,000		432
Quicken Loans, Inc. 5.250%, 1/15/28 144A		2,900,000		2,993
Royal Bank of Scotland Group PLC
2.000%, (Euribor 3 Month ACT/360 plus 2.039%), 3/8/23 EUR ¥		1,600,000		1,809
2.500%, 3/22/23 EUR §,¥		100,000		117
4.519%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24		200,000		210
4.800%, 4/5/26 b		2,800,000		3,062
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 b		3,700,000		4,071

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Financial continued
7.500%, (USD Swap Semi-Annual 5 Year plus 5.800%), 12/29/49 b		2,600,000		2,655
8.625%, (USD 5 Year Swap Rate plus 7.598%), 12/29/49		2,100,000		2,249
Santander UK Group Holdings PLC
3.125%, 1/8/21		2,100,000		2,114
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 b		2,800,000		2,883
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 12/31/99 GBP §,¥		1,390,000		1,781
Sberbank of Russia Via SB Capital SA 6.125%, 2/7/22		1,700,000		1,826
Springleaf Finance Corp.
6.125%, 3/15/24		500,000		538
6.875%, 3/15/25		1,900,000		2,094
7.125%, 3/15/26		1,700,000		1,886
Sunac China Holdings, Ltd.
8.350%, 4/19/23		1,600,000		1,582
8.375%, 1/15/21		200,000		203
8.625%, 7/27/20		600,000		612
Tesco Property Finance 3 PLC 5.744%, 4/13/40 GBP §,¥		96,741		154
Tesco Property Finance 6 PLC 5.411%, 7/13/44 GBP §,¥,b		2,680,629		4,185
TP ICAP PLC 5.250%, 1/26/24 GBP §,¥,b		3,700,000		4,858
TrustCo Bank Corp. 6.390%, 1/15/50 144A		200,000		213
UBS AG 7.625%, 8/17/22 b		4,400,000		4,966
UBS Group Funding AG 4.125%, 9/24/25 144A		700,000		756
UniCredit SpA
3.750%, 4/12/22 144A		200,000		205
6.203%, (ICE LIBOR USD 3 Month plus 3.900%), 1/14/22 144A		1,550,000		1,624
6.572%, 1/14/22 144A		700,000		751
7.830%, 12/4/23 144A		4,200,000		4,901
The Unique Pub Finance Co. PLC
5.659%, 6/30/27 GBP §,¥		442,574		613
7.395%, 3/28/24 GBP §,¥		400,000		564
VEREIT Operating Partnership LP 4.125%, 6/1/21		100,000		103
VIVAT NV 2.375%, 5/17/24 EUR §,¥		200,000		231
Weyerhaeuser Co. 7.375%, 3/15/32		1,500,000		2,102
Total				221,928
Industrial (1.1%)
Aeropuerto Internacional de Tocumen SA 6.000%, 11/18/48 144A		300,000		378
DAE Funding LLC
4.000%, 8/1/20 144A		3,020,000		3,039
5.000%, 8/1/24 144A		400,000		417
Fortress Transportation & Infrastructure 6.750%, 3/15/22 144A		900,000		941
General Electric Co.
0.375%, 5/17/22 EUR ¥		700,000		759
5.550%, 5/4/20		100,000		101
5.550%, 1/5/26		200,000		226

5

Multi-Sector Bond Portfolio

Corporate Bonds (50.2%)	Shares/ Par +		Value $ (000’s)
Industrial continued
5.875%, 1/14/38		100,000		120
6.875%, 1/10/39		100,000		132
Greif, Inc. 6.500%, 3/1/27 144A		300,000		318
Lima Metro Line 2 Finance, Ltd. 5.875%, 7/5/34 144A		600,000		660
Pacific National Finance Pty, Ltd. 4.625%, 9/23/20 144A		500,000		510
Russian Railways Via RZD Capital PLC 7.487%, 3/25/31 GBP §,¥,b		1,500,000		2,454
Standard Industries, Inc. 4.750%, 1/15/28 144A		950,000		982
Total				11,037
Technology (1.3%)
Dell International LLC / EMC Corp.
5.300%, 10/1/29 144A		4,300,000		4,679
6.020%, 6/15/26 144A		300,000		338
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.
5.450%, 6/15/23 144A		1,100,000		1,198
8.100%, 7/15/36 144A		300,000		383
EMC Corp. 2.650%, 6/1/20		1,600,000		1,599
Fidelity National Information Services, Inc. 4.500%, 10/15/22		395,000		420
Micron Technology, Inc. 4.663%, 2/15/30		100,000		104
NXP BV / NXP Funding LLC
4.875%, 3/1/24 144A		1,700,000		1,843
5.350%, 3/1/26 144A		1,600,000		1,794
Pitney Bowes, Inc. 4.125%, 9/15/20		100,000		101
Quintiles IMS, Inc. 3.250%, 3/15/25 144A EUR ¥		500,000		558
Total				13,017
Utilities (0.5%)
Edison International 5.750%, 6/15/27		100,000		112
Electricite de France SA 4.500%, 9/21/28 144A		900,000		1,005
Exelon Generation Co. LLC 4.250%, 6/15/22		500,000		524
FirstEnergy Corp. 7.375%, 11/15/31		400,000		566
Nakilat, Inc.
6.067%, 12/31/33 §		1,000,000		1,210
6.267%, 12/31/33 144A		540,491		651
National Fuel Gas Co. 5.200%, 7/15/25		300,000		327
Puget Energy, Inc. 5.625%, 7/15/22		200,000		214
Total				4,609
Total Corporate Bonds (Cost: $483,289)				497,263

Governments (20.4%)	Shares/ Par +		Value $ (000’s)
Governments (20.4%)
Arab Republic of Egypt 5.625%, 4/16/30 144A EUR ¥		1,550,000		1,689
Argentine Republic Government International Bond
3.375%, 1/15/23 EUR ¥		950,000		393
4.470%, 12/31/38 EUR ¥,b		11,130,000		4,621
5.000%, 1/15/27 EUR §,¥		4,900,000		2,048
5.250%, 1/15/28 EUR ¥		250,000		105
66.306%, (Argentina Blended Historical Policy Rate plus 1.000%), 6/21/20 ARS ¥		2,420,000		19
Australian Government 4.250%, 4/21/26 AUD §,¥		2,400,000		1,967
Autonomous Community of Catalonia
4.900%, 9/15/21 EUR ¥		800,000		940
4.950%, 2/11/20 EUR ¥		400,000		443
Banque Centrale de Tunisie International Bond 5.625%, 2/17/24 EUR ¥		300,000		317
Central Bank of Argentina 51.000%, 5/13/20 ARS ¥		5,030,000		48
Colombia Government International Bond 5.000%, 6/15/45 b		6,000,000		7,029
Dominican Republic International Bond
6.500%, 2/15/48 144A		2,800,000		3,010
6.875%, 1/29/26 §		500,000		564
Ecuador Government International Bond
8.875%, 10/23/27 144A		900,000		897
9.650%, 12/13/26 144A		1,000,000		1,049
10.750%, 3/28/22 §		1,300,000		1,415
10.750%, 1/31/29 144A		1,600,000		1,728
Egypt Government International Bond
4.750%, 4/11/25 144A EUR ¥		800,000		903
6.375%, 4/11/31 144A EUR ¥		400,000		453
6.375%, 4/11/31 EUR ¥		1,400,000		1,585
Export-Import Bank of India 3.375%, 8/5/26		600,000		616
Federal Republic of Nigeria 7.875%, 2/16/32 b		2,800,000		2,946
Ghana Government International Bond
7.875%, 3/26/27 144A		600,000		615
8.125%, 3/26/32 144A		400,000		401
8.950%, 3/26/51 144A		600,000		601
8.950%, 3/26/51		200,000		200
Kenya Government International Bond 8.000%, 5/22/32 144A		700,000		733
Oman Government International Bond
6.500%, 3/8/47 §		1,800,000		1,662
6.750%, 1/17/48 144A		2,600,000		2,450
Panama Government International Bond
6.700%, 1/26/36 b		1,900,000		2,703
8.125%, 4/28/34		100,000		136
Perusahaan Penerbit SBSN Indonesia III 3.400%, 3/29/22 144A		600,000		613
Provincia de Buenos Aires 57.796%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS ¥		740,000		6
Republic of Costa Rica 7.158%, 3/12/45 §		800,000		800

6

Multi-Sector Bond Portfolio

Governments (20.4%)	Shares/ Par +		Value $ (000’s)
Governments continued
Republic of Croatia 6.625%, 7/14/20 §,b		5,000,000		5,159
Republic of Indonesia
3.375%, 7/30/25 144A EUR ¥		800,000		1,007
3.750%, 6/14/28 144A EUR ¥		1,900,000		2,562
3.750%, 6/14/28 EUR §,¥,b		2,200,000		2,966
4.125%, 1/15/25		1,900,000		2,022
Republic of Kazakhstan 5.125%, 7/21/25 §,b		5,200,000		5,883
Republic of South Africa Government International Bond
4.850%, 9/30/29		1,200,000		1,195
4.875%, 4/14/26		600,000		619
5.875%, 9/16/25 b		5,900,000		6,426
The Republic of Trinidad & Tobago 4.500%, 8/4/26 §		400,000		415
Romanian Government International Bond 2.375%, 4/19/27 EUR §,¥		1,600,000		1,909
Russian Federation 5.625%, 4/4/42 §,b		2,000,000		2,463
Saudi International Bond
2.875%, 3/4/23 144A		600,000		609
4.000%, 4/17/25 144A		3,900,000		4,177
4.500%, 10/26/46 b		5,600,000		6,245
Senegal Government International Bond
4.750%, 3/13/28 144A EUR ¥		100,000		113
4.750%, 3/13/28 EUR ¥		400,000		453
6.250%, 5/23/33 144A		400,000		403
State of Qatar
4.500%, 4/23/28		1,100,000		1,253
4.817%, 3/14/49		800,000		990
5.103%, 4/23/48		1,200,000		1,533
Turkey Government International Bond
4.625%, 3/31/25 EUR ¥		1,800,000		2,011
4.875%, 10/9/26 b		4,000,000		3,699
5.125%, 3/25/22 b		12,600,000		12,690
5.125%, 2/17/28 b		4,300,000		3,973
5.750%, 3/22/24		2,400,000		2,391
6.125%, 10/24/28		400,000		390
7.250%, 12/23/23		1,100,000		1,163
7.625%, 4/26/29		400,000		425
Ukraine Government International Bond
6.750%, 6/20/26 144A EUR ¥		600,000		704
7.375%, 9/25/32 §		500,000		502
7.750%, 9/1/20 §,b		5,400,000		5,520
7.750%, 9/1/21 b		4,600,000		4,785
8.994%, 2/1/24 144A		1,000,000		1,097
9.750%, 11/1/28 144A		1,300,000		1,489
United Mexican States
4.500%, 1/31/50		600,000		632
4.600%, 1/23/46 b		4,700,000		5,005
US Treasury 2.000%, 5/31/24 b		50,500,000		51,516
2.250%, 2/15/27		150,000		156
2.750%, 2/15/24 b		8,700,000		9,133
Venezuela Government International Bond
6.000%, 12/9/20 §,j		32,000		3
7.000%, 3/31/38 §,j		204,000		22
7.650%, 4/21/25 §,j		1,955,000		210
8.250%, 10/13/24 §,j		356,000		38

Governments (20.4%)	Shares/ Par +		Value $ (000’s)
Governments continued
9.000%, 5/7/23 §,j		32,000		3
9.250%, 5/7/28 §,j		1,241,000		133
9.375%, 1/13/34 j		1,400,000		151
Total				201,948
Total Governments (Cost: $205,863)				201,948
Municipal Bonds (1.1%)
Municipal Bonds (1.1%)
American Municipal Power, Inc., Series 2010-B 7.834%, 2/15/41 RB		100,000		163
Bay Area Toll Authority, California, Series 2010 6.918%, 4/1/40 RB		200,000		303
City of Riverside Electric Revenue 7.605%, 10/1/40 RB		200,000		329
Irvine Ranch California Water District 6.622%, 5/1/40 RB		100,000		150
Los Angeles County California Public Works Financing Authority 7.618%, 8/1/40 RB		200,000		324
Metropolitan Government of Nashville & Davidson County Tennessee 6.568%, 7/1/37 RB		100,000		146
Municipal Electric Authority of Georgia 6.655%, 4/1/57 RB		99,000		141
New York City Transitional Finance Authority 5.508%, 8/1/37 RB		300,000		396
New York State Urban Development Corp. 5.770%, 3/15/39 RB		100,000		124
Port Authority of New York & New Jersey, Series 165 5.647%, 11/1/40 RB		1,100,000		1,514
Port Authority of New York & New Jersey, Series 168 4.926%, 10/1/51 RB		200,000		270
San Diego County Regional Airport Authority, Series C 6.628%, 7/1/40 RB		100,000		103
San Diego Redevelopment Agency, Series A 7.625%, 9/1/30 RB		100,000		105
State of California 7.950%, 3/1/36 GO		900,000		922
State of Illinois
6.630%, 2/1/35 GO		245,000		289
6.725%, 4/1/35 GO		95,000		111
7.350%, 7/1/35 GO		200,000		244
Texas Public Finance Authority 8.250%, 7/1/24 RB		175,000		177
Tobacco Settlement Finance Authority of West Virginia, Series A 7.467%, 6/1/47 RB		1,070,000		1,107
Tobacco Settlement Financing Corp. of Virginia, Series 2007-A 6.706%, 6/1/46 RB b		3,240,000		3,115
Triborough Bridge & Tunnel Authority 5.550%, 11/15/40 RB		800,000		1,087
Total Municipal Bonds (Cost: $8,478)				11,120

7

Multi-Sector Bond Portfolio

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities (4.3%)
Accredited Mortgage Loan Trust, Series 2005-3, Class M3
2.774%, (ICE LIBOR USD 1 Month plus 0.480%), 9/25/35		50,000		49
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1
3.045%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34		75,524		75
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2
2.940%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35		48,760		49
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4
3.120%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35		100,000		101
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C
2.295%, (ICE LIBOR USD 1 Month plus 0.150%), 7/25/36 b		7,771,694		2,761
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2
3.145%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35		150,022		145
Aircraft Certificate Owner Trust, Series 2003- 1A, Class E 7.001%, 9/20/22 144A		19,718		20
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1
3.015%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34		30,232		30
Apex Credit CLO, Ltd., Series 2018-1A, Class ASR
3.306%, (ICE LIBOR USD 3 Month plus 1.050%), 10/27/28 144A		600,000		600
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE4, Class M1
3.440%, (ICE LIBOR USD 1 Month plus 1.245%), 8/15/33		29,301		29
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4
3.045%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35		200,000		200
Bear Stearns Asset Backed Securities I Trust, Series 2005-SD3, Class 1A
2.635%, (ICE LIBOR USD 1 Month plus 0.490%), 7/25/35		224		–	p
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE10, Class 1A2
2.690%, (ICE LIBOR USD 1 Month plus 0.200%), 12/25/36		34,862		35
Bear Stearns Asset Backed Securities I Trust, Series 2007-AQ1, Class A1
2.255%, (ICE LIBOR USD 1 Month plus 0.110%), 4/25/31		6,142		9
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE3, Class 1A2
2.345%, (ICE LIBOR USD 1 Month plus 0.200%), 4/25/37		68,608		109

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1
3.395%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37		177,764		178
Carlyle Global Market Strategies, Series 2015-1A, Class A2MZ
2.725%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35		784,058		782
Citigroup Mortgage Loan Trust, Series 2005-HE3, Class M2
2.865%, (ICE LIBOR USD 1 Month plus 0.720%), 9/25/35		40,016		40
Citigroup Mortgage Loan Trust, Series 2007-AHL1, Class A2C
2.355%, (ICE LIBOR USD 1 Month plus 0.210%), 12/25/36		100,000		97
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4
3.720%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34		100,000		99
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6 4.740%, (AFC), 10/25/35		3,343		3
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4
2.845%, (ICE LIBOR USD 1 Month plus 0.350%), 3/25/36		90,241		83
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5 4.747%, (AFC), 7/25/36		100,000		104
Countrywide Asset-Backed Certificates, Series 2006-23, Class 2A3
2.315%, (ICE LIBOR USD 1 Month plus 0.170%), 5/25/37		63,875		64
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A
2.285%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37		588,721		554
Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3
2.435%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/36		49,019		48
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3
2.435%, (ICE LIBOR USD 1 Month plus 0.290%), 8/25/36		84,996		85
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2
2.465%, (ICE LIBOR USD 1 Month plus 0.320%), 2/25/37		900,000		792
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3
2.285%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37		37,999		35
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A
2.985%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47 b		2,513,519		2,509

8

Multi-Sector Bond Portfolio

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A
2.345%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47		1,068,407		944
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1
2.695%, (ICE LIBOR USD 1 Month plus 0.550%), (AFC), 5/25/47 144A		1,846,126		1,472
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1
2.765%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32		4,953		5
Ellington Loan Acquisition Trust, Series 2007-2, Class A1
3.195%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A		354,487		355
First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4
2.295%, (ICE LIBOR USD 1 Month plus 0.150%), 7/25/36		3,591		4
First Franklin Mortgage Loan Trust, Series 2006-FF12, Class A4
2.285%, (ICE LIBOR USD 1 Month plus 0.140%), 9/25/36		57,401		57
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 2A5 04/25/36		200,000		181
Fremont Home Loan Trust, Series 2005-2, Class M4
3.075%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35		300,000		285
GSAA Home Equity Trust, Series 2006-17, Class A1
2.205%, (ICE LIBOR USD 1 Month plus 0.060%), 11/25/36		58,694		24
GSAMP Trust, Series 2004-WF, Class M2
3.795%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34		40,120		39
GSAMP Trust, Series 2007-FM2, Class A2B
2.235%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37		208,209		139
GSAMP Trust, Series 2007-NC1, Class A2A
2.195%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46		16,245		10
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4
2.485%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37		500,000		424
Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-B, Class 2A2
2.305%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37		399,746		270
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4
2.925%, (ICE LIBOR USD 1 Month plus 0.390%), 11/25/35		290,352		286
Lehman XS Trust, Series 2005-4, Class 1A3
2.945%, (ICE LIBOR USD 1 Month plus 0.800%), 10/25/35		13,433		13

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4
2.745%, (ICE LIBOR USD 1 Month plus 0.300%), 2/25/36		70,122		61
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4
2.685%, (ICE LIBOR USD 1 Month plus 0.270%), 5/25/46		322,969		147
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A
2.445%, (ICE LIBOR USD 1 Month plus 0.150%), 5/25/36		1,405,821		913
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1
3.045%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34		136,284		135
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1
2.445%, (ICE LIBOR USD 1 Month plus 0.150%), 3/25/36 b		13,487,747		12,033
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2
2.245%, (ICE LIBOR USD 1 Month plus 0.100%), 8/25/36		2,296,129		946
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5
2.295%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36		1,001,389		444
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1
2.595%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47		958,798		698
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2
2.850%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35		162,120		163
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5
3.135%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35		300,000		302
Morgan Stanley ABS Capital I, Inc., Series 2006-HE7, Class A2C
2.305%, (ICE LIBOR USD 1 Month plus 0.160%), 9/25/36		74,261		41
Morgan Stanley ABS Capital I, Inc., Series 2006-HE8, Class A2C
2.285%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36		69,976		44
Morgan Stanley ABS Capital I, Inc., Series 2007-HE5, Class A2C
2.395%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37		68,430		37
Morgan Stanley Dean Witter Capital I, Inc., Series 2002-HE1, Class M1
3.045%, (ICE LIBOR USD 1 Month plus 0.900%), 7/25/32		3,013		3
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1
3.720%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32		73,429		74

9

Multi-Sector Bond Portfolio

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1
3.495%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33		30,781		31
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B
2.305%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37		565,010		556
Park Place Securities, Inc. Asset-Backed Pass Through Certificates, Series 2005-WCW2, Class M1
2.895%, (ICE LIBOR USD 1 Month plus 0.750%), 7/25/35		9,649		10
People’s Choice Home Loan Securities Trust, Series 2005-3, Class M2
2.940%, (ICE LIBOR USD 1 Month plus 0.795%), (AFC), 8/25/35		95,411		95
RAAC Series, Series 2007-RP4, Class A
2.495%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A		286,321		273
Residential Asset Mortgage Products, Inc., Series 2005-EFC4, Class M3
2.865%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 9/25/35		238,890		240
Residential Asset Securities Corp., Series 2006-EMX1, Class M1
2.760%, (ICE LIBOR USD 1 Month plus 0.410%), (AFC), 1/25/36		94,301		94
Residential Asset Securities Corp., Series 2007-KS1, Class A3
2.295%, (ICE LIBOR USD 1 Month plus 0.150%), (AFC), 1/25/37		166,756		166
Residential Asset Securities Corp., Series 2007-KS3, Class AI4
2.485%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37		1,600,000		1,553
Saxon Asset Securities Trust, Series 2006-1, Class M1
2.019%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36		400,000		370
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2
3.105%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36		79,003		63
SLM Private Education Loan Trust, Series 2010-A, Class 1A
5.200%, (Prime Rate by Country United States less 0.050%), 5/16/44 144A		714		1
SLM Private Education Loan Trust, Series 2011-B, Class A3
4.278%, (ICE LIBOR USD 1 Month plus 2.250%), 6/16/42 144A		81,731		82
Soundview Home Loan Trust, Series 2005-3, Class M3
2.970%, (ICE LIBOR USD 1 Month plus 0.825%), 6/25/35		74,181		74
Soundview Home Loan Trust, Series 2006-2, Class M2
2.670%, (ICE LIBOR USD 1 Month plus 0.350%), 3/25/36		400,000		391

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Asset Backed Securities continued
Soundview Home Loan Trust, Series 2006-3, Class A3
2.305%, (ICE LIBOR USD 1 Month plus 0.160%), 11/25/36		177,555		175
Soundview Home Loan Trust, Series 2006-OPT2, Class A4
2.425%, (ICE LIBOR USD 1 Month plus 0.280%), 5/25/36		200,000		197
Soundview Home Loan Trust, Series 2006-OPT3, Class M1
2.455%, (ICE LIBOR USD 1 Month plus 0.310%), 6/25/36 b		6,785,787		5,128
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3
3.120%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35		283,582		284
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1
3.120%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33		166,209		167
Structured Asset Investment Loan Trust, Series 2005-5, Class M2
2.835%, (ICE LIBOR USD 1 Month plus 0.690%), 6/25/35		6,861		7
Structured Asset Investment Loan Trust, Series 2005-7, Class M2
2.910%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35		500,000		497
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3
2.295%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36		22,657		22
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2001-WF1, Class A6
2.355%, (ICE LIBOR USD 1 Month plus 0.210%), 2/25/37		110,935		109
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4
2.315%, (ICE LIBOR USD 1 Month plus 0.170%), 12/25/36		388,933		377
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A
2.405%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A		1,391,992		1,374
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A
2.295%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37		175,370		151
Total				42,721
Mortgage Securities (8.7%)
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1
3.531%, (ICE LIBOR USD 6 Month plus 1.500%), (AFC), 9/25/45		1,945		2
Banc of America Funding Trust, Series 2005-H, Class 5A1 4.732%, (CSTR), 11/20/35		166,761		161
Banc of America Funding Trust, Series 2006-J, Class 4A1 4.647%, (CSTR), 1/20/47		65,065		63

10

Multi-Sector Bond Portfolio

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Banc of America Funding Trust, Series 2007-6, Class A1
2.435%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37		76,984		73
Barclays Capital LLC, Series 2009-RR14, Class 2A2 4.018%, (CSTR), 7/26/36 144A		34,083		32
Barclays Capital LLC, Series 2009-RR5, Class 3A3 6.250%, (CSTR), 8/26/36 144A		2,905,914		2,061
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A 4.543%, (CSTR), 7/25/34		4,521		5
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1 3.992%, (CSTR), 11/25/36		180,981		167
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 6.000%, 9/25/37		5,297		6
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA 4.218%, (CSTR), 9/25/37		14,673		14
Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A 4.647%, (CSTR), 9/25/37		55,034		55
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1 5.750%, 1/25/35		19,804		20
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1
2.832%, (ICE LIBOR USD 1 Month plus 0.330%), 11/20/35		7,288		7
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1
3.596%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36		19,751		20
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 5.500%, 1/25/36		205,170		182
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1 6.500%, 8/25/32		7,269		7
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 6.000%, 2/25/37		142,185		88
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1
2.645%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36		460,716		219
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 4.161%, (CSTR), 5/25/36		15,140		14
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B
2.362%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46		20,062		17
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A
2.367%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46		37,631		34

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1
2.382%, (ICE LIBOR USD 1 Month plus 0.210%), 5/20/46		475,849		403
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A
2.382%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46		11,499		10
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2 6.000%, 5/25/37		271,833		190
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1
2.285%, (ICE LIBOR USD 1 Month plus 0.140%), 4/25/47		44,002		42
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-22, Class 3A1 3.702%, (CSTR), 10/25/35		17,360		15
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB8, Class 1A1 4.341%, (CSTR), 12/20/35		7,753		7
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-16, Class 2A1 6.500%, 11/25/36		23,699		16
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-9, Class A1 6.000%, 5/25/36		174,353		145
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A1
3.441%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46		41,214		20
Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-OA4, Class A2
2.685%, (ICE LIBOR USD 1 Month plus 0.270%), 4/25/46		1,092,163		474
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HYB1, Class 3A1 3.842%, (CSTR), 3/25/37		12,948		12
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1 6.500%, 4/25/33		1,184		1
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3 5.500%, 12/25/35		514,056		496
EMF-NL BV, Series 2008-APRX, Class A2
0.437%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,¥		162,543		170
Eurosail-NL BV, Series 2007-NL2X, Class A
1.137%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,¥		103,462		113
Federal National Mortgage Association TBA
3.000%, 12/1/42		12,000,000		12,164
3.500%, 11/13/47		52,100,000		53,463
3.500%, 12/1/41		5,000,000		5,130
Federal National Mortgage Association, Series 2003-W6, Class F
2.616%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42		20,085		20

11

Multi-Sector Bond Portfolio

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5 5.750%, 5/25/37		273,114		195
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 4.928%, (CSTR), 9/25/35		5,153		5
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6 6.000%, 2/25/36		123,571		103
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 4.384%, (CSTR), 1/25/36		2,260		2
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 4.120%, (CSTR), 3/25/47		11,694		10
Harborview Mortgage Loan Trust, Series 2005-10, Class 2A1A
2.608%, (ICE LIBOR USD 1 Month plus 0.310%), (AFC), 11/19/35		12,492		12
Harborview Mortgage Loan Trust, Series 2005-3, Class 2A1A
2.662%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35		23,867		24
HomeBanc Mortgage Trust, Series 2005-1, Class A1
2.645%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/35		7,255		6
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A
2.585%, (ICE LIBOR USD 1 Month plus 0.220%), 11/25/35		1,208,769		1,098
Impac Secured Assets Trust, Series 2007-1, Class A2
2.305%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 3/25/37		89,621		84
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1 4.289%, (CSTR), 10/25/34		22,626		24
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A
2.625%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35		2,266		2
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A
2.745%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/35		14,141		14
JP Morgan Mortgage Trust, Series 2005- ALT1, Class 2A1 4.127%, (CSTR), 10/25/35		11,845		11
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1 4.577%, (CSTR), 7/25/35		11,354		12
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1 3.968%, (CSTR), 6/25/37		70,927		62
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1, Class A1
2.315%, (ICE LIBOR USD 1 Month plus 0.170%), 2/25/37		2,553		3

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A3
2.905%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/35		17,709		18
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1 3.865%, (CSTR), 12/25/35		190,057		175
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A 4.291%, (CSTR), 2/25/36		3,655		4
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1 4.104%, (CSTR), 5/25/36		15,975		15
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 4A 4.413%, (CSTR), 7/25/35		36,189		34
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1 4.673%, (CSTR), 8/25/35		6,479		7
Nomura Resecuritization Trust, Series 2014-1R, Class 2A1
3.220%, (ICE LIBOR USD 1 Month plus 0.130%), 2/26/37 144A		444,621		445
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB2 4.833%, (CSTR), 3/25/35		61,640		55
Residential Accredit Loans, Inc., Series 2006-QA7, Class 1A1
2.335%, (ICE LIBOR USD 1 Month plus 0.190%), 8/25/36		10,930		10
Residential Accredit Loans, Inc., Series 2006-QA8, Class A1
2.335%, (ICE LIBOR USD 1 Month plus 0.190%), 9/25/36		25,498		24
Residential Accredit Loans, Inc., Series 2007-QA1, Class A1
2.285%, (ICE LIBOR USD 1 Month plus 0.140%), 1/25/37		22,049		21
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 6.500%, 4/25/37		3,512,427		1,646
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1
2.465%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35		66,297		64
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2
3.732%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36		566,986		564
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1
2.325%, (ICE LIBOR USD 1 Month plus 0.180%), (AFC), 7/25/46		254,395		238
Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1
2.795%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35		18,188		15

12

Multi-Sector Bond Portfolio

Structured Products (13.0%)	Shares/ Par +		Value $ (000’s)
Mortgage Securities continued
Towd Point Mortgage Funding, Series 2019-GR4A, Class A1
1.798%, (ICE LIBOR GBP 3 Month plus 1.025%), 10/20/51 144A GBP ¥		2,831,346		3,486
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 4.515%, (CSTR, AFC), 2/25/33		986		1
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 3.724%, (CSTR), 10/25/36		29,192		27
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1 4.177%, (CSTR), 3/25/36		257,466		252
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1 3.884%, (CSTR), 8/25/36		12,759		13
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1 3.941%, (CSTR), 2/25/37		4,783		5
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2
3.165%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47		403,672		342
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1 4.908%, (CSTR), 7/25/37		54,681		52
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 1A1 5.075%, (CSTR), 3/25/35		17,782		18
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 4A1 5.181%, (CSTR), 7/25/36		3,597		4
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1 5.187%, (CSTR), 4/25/36		64,390		65
Wells Fargo Mortgage Backed Securities Trust, Series 2007-11, Class A81 6.000%, 8/25/37		94,426		96
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1 4.720%, (CSTR), 11/25/37		50,166		49
Total				85,550
Total Structured Products (Cost: $124,457)				128,271
Bank Loan Obligations (2.7%)
Bank Loan Obligations (2.7%)
Altice Financing SA, 4.835%, 01/31/26		1,200,000		1,167
Altice France SA, 4.835%, (US LIBOR plus 2.750%), 7/31/25		198,982		194
CenturyLink, Inc., 4.835%, (ICE LIBOR USD 3 Month plus 2.750%), 1/31/25		1,866,750		1,852
Charter Communications Operating LLC, 4.085%, (ICE LIBOR USD 3 Month plus 2.000%), 4/30/25b		3,458,999		3,477
CommScope, Inc., 5.335%, (US LIBOR plus 3.250%), 4/6/26		500,000		498
Dell International LLC, 4.085%, (ICE LIBOR USD 3 Month plus 2.000%), 9/7/23		1,476,959		1,482

Bank Loan Obligations (2.7%)	Shares/ Par +		Value $ (000’s)
Bank Loan Obligations continued
Enterprise Merger Sub, Inc., 5.835%, (US LIBOR plus 2.000%), 10/10/25		496,250		404
Grifols SA, 4.335%, (ICE LIBOR USD 3 Month plus 2.250%), 1/31/25		682,500		686
Hilton Worldwide Finance LLC, 3.835%, (US LIBOR plus 1.750%), 6/22/26		1,120,295		1,127
INEOS Finance PLC, 1.580%, (Euribor 3 Month plus 2.000%), 3/31/24 EUR¥,b		3,438,750		3,733
Inmarsat Finance PLC, 6.585%, 09/23/26		1,200,000		1,180
Jefferies Finance LLC, 5.835%, 06/3/26		99,750		100
Pacific Gas & Electric Co., 4.335%, (US LIBOR plus 2.250%), 12/31/20b		4,500,000		4,522
PCF GmbH, 4.580%, (Euribor 3 Month plus 5.000%), 8/1/24 EUR¥,b		2,800,000		2,972
Sigma Bidco BV, 3.080%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR¥		1,600,000		1,745
Valeant Pharmaceuticals International, Inc., 5.085%, (US LIBOR plus 3.000%), 6/2/25		349,378		351
Ziggo Secured Finance Partnership, 4.585%, (US LIBOR plus 2.500%), 4/15/25		1,000,000		997
Total Bank Loan Obligations (Cost: $27,417)				26,487
Short-Term Investments (28.7%)
Governments (2.5%)
Argentina Treasury Bill 0.000%, 2/26/20 ARS¥		210,000		3
Brazil Letras do Tesouro Nacional
0.000%, 1/1/20 BRL¥,b		24,800,000		5,894
0.000%, 4/1/20 BRL¥,b		12,700,000		2,985
Hellenic Republic Treasury Bill
0.000%, 10/4/19 EUR¥,b		4,600,000		5,014
0.000%, 12/6/19 EUR¥		200,000		218
0.000%, 1/3/20 EUR¥		100,000		109
0.000%, 1/31/20 EUR¥		200,000		217
US Treasury
0.000%, 11/7/19b		7,964,000		7,950
0.000%, 11/21/19		334,000		333
0.000%, 12/5/19		2,300,000		2,293
Total				25,016
Money Market Funds (0.4%)
State Street Institutional U.S. Government Money Market Fund - Premier Class 1.880%#,b		3,785,447		3,785
Total				3,785
Repurchase Agreements (25.8%)
BNP Paribas (Purchased on 9/30/19, to be repurchased at $55,903,494, collateralized by US Treasury Note, 2.125%, due 12/31/22, par and fair value of $55,816,600 and $56,786,849, respectively) 2.250%, 10/1/19		55,900,000		55,900
Deutsche Bank AG (Purchased on 9/30/19, to be repurchased at $100,005,778, collateralized by US Treasury Bond, 3.625%, due 8/15/43, par and fair value of $79,061,000 and $102,143,106, respectively) 2.080%, 10/2/19		100,000,000		100,000

13

Multi-Sector Bond Portfolio

Short-Term Investments (28.7%)	Shares/ Par +	Value $ (000’s)
Repurchase Agreements continued
JP Morgan (Purchased on 9/27/19, to be repurchased at $100,007,639, collateralized by US Treasury Note, 2.625%, due 8/15/20, par and fair value of $101,522,800 and $102,220,769, respectively)

Short-Term Investments (28.7%)	Shares/ Par +		Value $ (000’s)
Repurchase Agreements continued
3.500%, 10/1/19		100,000,000		100,000
Total				255,900
Total Short-Term Investments (Cost: $285,332)				284,701
Total Investments (116.1%) (Cost: $1,134,836)@				1,149,790
Other Assets, Less Liabilities (-16.1%)				(159,179)
Net Assets (100.0%)				990,611

Exchange Traded or Centrally Cleared Derivatives

Futures

Issuer	Long/ Short	Currency	Notional Par (000’s)		Number of Contracts		Expiration Date	Notional Value (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Variation Margin (000’s)
Euro-Bobl Future	Long	EUR		11,900		119	12/19	$	17,594	$	(66	)	$	5
Euro-BTP Italian Government Bond Future	Long	EUR		8,400		84	12/19		13,353		255			15
Euro-Buxl Future	Long	EUR		2,000		20	12/19		4,741		(126	)		(13)
Euro-Schatz Future	Short	EUR		81,500		815	12/19		99,784		306			(6)
Ten-Year US Treasury Note Future	Long	USD		59,900		599	12/19		78,057		(696	)		(47)
Two-Year US Treasury Note Future	Long	USD		22,000		110	12/19		23,705		60			(3)
Ultra Long Term US Treasury Bond Future	Long	USD		25,600		256	12/19		49,128		(1,327	)		16
										$	(1,594	)	$	(33)

Centrally Cleared Interest Rate Swaps - Receive Floating Rate

Floating Rate Index	Fixed Rate		Expiration Date	Notional Amount (000’s)		Currency	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin (000’s)
3-Month USD-LIBOR		2.500%	12/24		49,600	USD	$	(1,823	)	$	(614	)	$	(2,437	)	$	168
6-Month Euribor		0.500%	12/29		4,200	EUR		(356	)		58			(298	)		8
6-Month GBP-LIBOR		0.750%	3/50		600	GBP		15			(25	)		(10	)		3
6-Month GBP-LIBOR		0.750%	3/30		600	GBP		6			(14	)		(8	)		–p
							$	(2,158	)	$	(595	)	$	(2,753	)	$	179
Centrally Cleared Interest Rate Swaps - Pay Floating Rate
Floating Rate Index	Fixed Rate		Expiration Date	Notional Amount (000’s)		Currency	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)			Variation Margin (000’s)
3-Month Canada		2.500%	6/29		8,600	CAD	$	112		$	332		$	444		$	(9)
Bankers
Acceptances
3-Month USD-LIBOR		2.995%	5/28		9,300	USD		–			1,223			1,223			5
3-Month USD-LIBOR		3.000%	6/29		2,700	USD		155			197			352			1
3-Month USD-LIBOR		2.750%	12/29		1,500	USD		105			61			166			1
							$	372		$	1,813		$	2,185		$	(2)

14

Multi-Sector Bond Portfolio

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection

Reference Entity	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Notional Amount (000’s)			Currency	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value(000’s)			Variation Margin(000’s)
Markit CDX Emerging Markets Index	1.000%	6/24	2.087%		76,100		USD	$	(3,345	)	$	(223	)	$	(3,568	)	$	5
Markit CDX North America High Yield Index	5.000%	6/24	3.292%		64,746		USD		3,655			1,010			4,665			117
Markit CDX North America Investment Grade Index	1.000%	6/24	0.533%		56,300		USD		928			259			1,187			29
Markit CDX North America Investment Grade Index	1.000%	12/24	2.115%		6,600		USD		(324	)		(23	)		(347	)		2
Markit CDX North America Investment Grade Index	1.000%	12/24	0.603%		11,900		USD		239			(5	)		234			11
								$	1,153		$	1,018		$	2,171		$	164
Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection
Reference Entity	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Notional Amount (000’s)			Currency	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value(000’s)			Variation Margin(000’s)
AT&T, Inc.	1.000%	6/24	0.735%		300		USD	$	(1	)	$	5		$	4		$	–p
Casino Guichard Perrachon SA	1.000%	12/20	3.911%		2,600		EUR		(107	)		3			(104	)		(11	)
Casino Guichard Perrachon SA	1.000%	12/21	5.173%		1,000		EUR		(54	)		(42	)		(96	)		(10	)
Casino Guichard Perrachon SA	1.000%	6/23	6.117%		500		EUR		(59	)		(31	)		(90	)		(3	)
Casino Guichard Perrachon SA	1.000%	12/23	6.258%		600		EUR		(89	)		(35	)		(124	)		(4	)
Ford Motor Co.	5.000%	6/23	1.438%		3,300		USD		420			(2	)		418			1
Ford Motor Co.	5.000%	12/23	1.689%		200		USD		31			(5	)		26			–p
Ford Motor Co.	5.000%	12/23	1.689%		700		USD		87			5			92			–p
Ford Motor Credit Co.	5.000%	12/23	1.741%		400		USD		44			8			52			–p
General Electric Co.	1.000%	12/23	0.986%		2,800		USD		(117	)		118			1			–p
General Electric Co.	1.000%	6/24	1.159%		1,100		USD		(9	)		1			(8	)		–p
General Electric Co.	1.000%	12/24	1.298%		400		USD		(7	)		1			(6	)		–p
Marks & Spencer PLC	1.000%	12/22	1.239%		2,900		EUR		(25	)		1			(24	)		–p
Marks & Spencer PLC	1.000%	12/23	1.701%		200		EUR		(5	)		(1	)		(6	)		–p
Telefonica Emisiones SAU	1.000%	12/23	0.586%		3,200		EUR		(4	)		66			62			–p
Telefonica Emisiones SAU	1.000%	6/24	0.689%		1,000		EUR		15			1			16			–p
Volkswagen International Finance	1.000%	6/24	0.839%		700		EUR		4			2			6			–p
								$	124		$	95		$	219		$	(27	)
Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Buy Protection
Reference Entity	Pay Fixed Rate	Expiration Date	Implied Credit Spread	Notional Amount (000’s)			Currency	Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value(000’s)			Variation Margin(000’s)
Koninklijke KPN NV	1.000%	12/23	0.651%		(800	)	EUR		5			(18	)		(13	)		–p
								$	5		$	(18	)	$	(13	)	$	–p

15

Multi-Sector Bond Portfolio

Written Options

Description	Currency	Notional Par (000’s)	Exercise Price	Expiration Date	Number of Contracts		Value (000’s)
Call - Five-Year US Treasury Note Future	USD	105	$  119.750	10/19		105	$	(21)
Call - Ten-Year US Treasury Note Future	USD	62	129.500	10/19		62		(72)
Call - Ten-Year US Treasury Note Future	USD	62	133.000	10/19		62		(5)
Put - Five-Year US Treasury Note Future	USD	105	117.750	10/19		105		(5)
Put - Ten-Year US Treasury Note Future	USD	62	129.500	10/19		62		(21)
Put - Ten-Year US Treasury Note Future	USD	62	130.000	10/19		62		(33)
(Premiums Received $202)							$	(157)

	Financial Derivative Assets						Financial Derivative Liabilities
																Market Value
	Variation Margin (000’s)						Variation Margin (000’s)									(000’s)
	Swaps		Futures		Total		Swaps			Futures			Total			Options
Total Exchange-Traded or Centrally Cleared Derivatives	$	351	$	36	$	387	$	(37	)	$	(69	)	$	(106	)	$	(157	)

Over the Counter Derivatives

Forward Contracts

Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Month	Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)		Net Unrealized Appreciation/ (Depreciation) (000’s)
Sell	JP Morgan Chase Bank NA	ARS		54,952		868	10/19	$	—	$	(13)	$	(13)
Sell	HSBC Bank USA NA	AUD		2,619		1,768	10/19		1		—		1
Buy	Goldman Sachs International	BRL		12,300		2,960	10/19		23		—		23
Buy	Goldman Sachs International	BRL		12,300		2,960	10/19		—		(39)		(39)
Buy	JP Morgan Chase Bank NA	BRL		12,300		2,960	10/19		7		—		7
Buy	JP Morgan Chase Bank NA	BRL		12,300		2,954	11/19		—		(12)		(12)
Sell	Goldman Sachs International	BRL		12,300		2,960	10/19		160		—		160
Sell	Goldman Sachs International	BRL		12,300		2,960	10/19		—		(7)		(7)
Sell	JP Morgan Chase Bank NA	BRL		12,300		2,960	10/19		11		—		11
Sell	Goldman Sachs International	BRL		12,300		2,953	11/19		—		(22)		(22)
Sell	Goldman Sachs International	BRL		12,500		2,992	1/20		157		—		157
Sell	Goldman Sachs International	BRL		12,300		2,944	1/20		39		—		39
Sell	Goldman Sachs International	BRL		12,700		3,024	4/20		152		—		152
Buy	JP Morgan Chase Bank NA	CNH		119		17	3/20		—		—p		—p
Buy	Bank of America NA	EUR		3,924		4,277	10/19		—		(35)		(35)
Buy	Barclays Bank PLC	EUR		3,730		4,066	10/19		—		(81)		(81)
Buy	JP Morgan Chase Bank NA	EUR		106,165		115,715	10/19		—		(196)		(196)
Sell	Bank of America NA	EUR		2,697		2,939	10/19		39		—		39
Sell	BNP Paribas	EUR		110,622		120,573	10/19		2,274		—		2,274
Sell	UBS AG	EUR		500		545	10/19		7		—		7
Sell	JP Morgan Chase Bank NA	EUR		106,165		116,003	11/19		193		—		193
Buy	Bank of America NA	GBP		41,227		50,691	10/19		—		(108)		(108)
Buy	UBS AG	GBP		1,317		1,619	10/19		—		(23)		(23)
Sell	Bank of America NA	GBP		2,423		2,979	10/19		28		—		28
Sell	Barclays Bank PLC	GBP		568		698	10/19		—		(11)		(11)
Sell	BNP Paribas	GBP		554		681	10/19		10		—		10
Sell	HSBC Bank USA NA	GBP		38,999		47,951	10/19		—		(336)		(336)
Sell	Bank of America NA	GBP		41,227		50,759	11/19		109		—		109
Buy	UBS AG	JPY		527,800		4,881	10/19		—		(122)		(122)
Buy	UBS AG	JPY		527,800		4,892	11/19		—		(23)		(23)
Sell	UBS AG	JPY		527,800		4,881	10/19		23		—		23
Buy	Barclays Bank PLC	MXN		41,362		2,091	10/19		—		(23)		(23)
Buy	HSBC Bank USA NA	MXN		1,225		62	10/19		—p		—		—p
Buy	BNP Paribas	MXN		1,225		61	1/20		—		(1)		(1)
Sell	HSBC Bank USA NA	MXN		41,362		2,091	10/19		20		—		20
Sell	BNP Paribas	MXN		1,225		62	10/19		1		—		1

16

Multi-Sector Bond Portfolio

Forward Contracts (continued)

Type	Counterparty	Currency	Foreign Principal Amount Covered by Contract (000s)		USD Principal Amount Covered by Contract (000’s)		Settlement Month		Unrealized Appreciation (000’s)		Unrealized (Depreciation) (000’s)			Net Unrealized Appreciation/ (Depreciation) (000’s)
Buy	Goldman Sachs International	RUB		298,788		4,598		10/19	$	—	$	(38	)	$	(38	)
Buy	HSBC Bank USA NA	RUB		5,481		84		11/19		1		—			1
Sell	Goldman Sachs International	RUB		303,101		4,647		11/19		—		(48	)		(48	)
Buy	BNP Paribas	SGD		15		11		12/19		—		—	p		—	p
Buy	BNP Paribas	TWD		146,912		4,756		12/19		33		—			33
Sell	Bank of America NA	TWD		26,760		865		11/19		—		(12	)		(12	)
Sell	HSBC Bank USA NA	TWD		85,984		2,780		11/19		—		(33	)		(33	)
Sell	JP Morgan Chase Bank NA	TWD		34,458		1,114		11/19		—		(12	)		(12	)
Buy	Bank of America NA	ZAR		69,102		4,560		10/19		—		(327	)		(327	)
Sell	JP Morgan Chase Bank NA	ZAR		69,029		4,554		10/19		78		—			78
									$	3,366	$	(1,522	)	$	1,844

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection

Reference Entity	Counterparty	Receive Fixed Rate	Expiration Date	Implied Credit Spread	Currency	Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)			Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
Federative Republic of Brazil	Goldman Sachs International	1.000%	6/24	1.245%	USD		100	$	(3	)	$	2		$	(1	)
Federative Republic of Brazil	Goldman Sachs International	1.000%	12/24	1.368%	USD		1,400		(22	)		(3	)		(25	)
Federative Republic of Brazil	HSBC Bank USA NA	1.000%	6/24	1.245%	USD		500		(13	)		7			(6	)
Intrum AB	JP Morgan Chase Bank NA	5.000%	12/24	3.421%	EUR		800		73			(6	)		67
Park Aerospace Holdings, Ltd.Æ	UBS AG	5.000%	7/20	0.031%	USD		200		3			3			6
Republic of Indonesia	HSBC Bank USA NA	1.000%	12/24	0.907%	USD		7,400		(43	)		77			34
Republic of Peru	Barclays Bank PLC	1.000%	3/23	0.307%	USD		1,100		(11	)		37			26
Russian Federation	Goldman Sachs International	1.000%	9/20	0.225%	USD		400		(8	)		11			3
Russian Federation	Goldman Sachs International	1.000%	9/20	0.225%	USD		900		(17	)		24			7
Russian Federation	Goldman Sachs International	1.000%	6/22	0.473%	USD		2,100		(33	)		63			30
Russian Federation	HSBC Bank USA NA	1.000%	6/21	0.350%	USD		4,200		(104	)		151			47
Russian Federation	JP Morgan Chase Bank NA	1.000%	9/20	0.225%	USD		1,500		(32	)		43			11
United Mexican States	BNP Paribas SA	1.000%	6/24	1.055%	USD		100		(1	)		1			–	p
United Mexican States	Goldman Sachs International	1.000%	6/23	0.836%	USD		1,400		(8	)		16			8
United Mexican States	Goldman Sachs International	1.000%	12/24	1.162%	USD		200		(2	)		–			(2	)
United Mexican States	HSBC Bank USA NA	1.000%	12/23	0.923%	USD		800		(11	)		13			2
United Mexican States	HSBC Bank USA NA	1.000%	6/24	1.055%	USD		400		(5	)		4			(1	)
United Mexican States	JP Morgan Chase Bank NA	1.000%	12/22	0.722%	USD		500		(11	)		15			4
United Mexican States	JP Morgan Chase Bank NA	1.000%	12/23	0.923%	USD		200		(1	)		2			1

17

Multi-Sector Bond Portfolio

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)

Reference Entity	Counterparty		Receive Fixed Rate		Expiration Date		Implied Credit Spread		Currency		Notional Amount (000’s)		Upfront Premium Paid/ (Received) (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)			Market Value (000’s)
United Mexican States		Morgan Stanley Capital Services		1.000%		12/24		1.162%		USD		1,200	$	(7)	$	(3	)	$	(10	)
													$	(256)	$	457		$	201

Total Return Swaps

Reference Entity	Counterparty	Payment made by the Fund	Payment Received by the Fund	Expiration Date		Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation) (000’s)		Market Value (000’s)
iBoxx USD Liquid High Yield Index	Barclays Bank PLC	3-Month USD-LIBOR	iBoxx USD Liquid High Yield Index		3/20		4,000	$	6	$	6
iBoxx USD Liquid High Yield Index	JP Morgan Chase Bank NA	3-Month USD-LIBOR	iBoxx USD Liquid High Yield Index		3/20		3,300		6		6
iBoxx USD Liquid High Yield Index	Morgan Stanley Capital Services	3-Month USD-LIBOR	iBoxx USD Liquid High Yield Index		3/20		1,500		4		4
								$	16	$	16

Written Options

Description	Counterparty	Currency	Notional Par (000’s)	Exercise Price	Expiration Date	Number of Contracts	Value (000’s)
Call - CME Interest Rate Swaption	Goldman Sachs International	USD	9,900	$  1.150	10/19	9,900,000	$	(1	)
Call - CME Interest Rate Swaption	Morgan Stanley Capital Services	USD	9,800	1.178	10/19	9,800,000		(6	)
Call - LCH Interest Rate Swaption	Goldman Sachs International	EUR	1,800	0.050	10/19	1,800,000		(21	)
Put - CME Interest Rate Swaption	Goldman Sachs International	USD	9,900	1.520	10/19	9,900,000		(40	)
Put - CME Interest Rate Swaption	Morgan Stanley Capital Services	USD	9,800	1.678	10/19	9,800,000		(39	)
Put - LCH Interest Rate Swaption	Goldman Sachs International	EUR	1,800	0.050	10/19	1,800,000		(2	)
(Premiums Received $186)							$	(109	)

	Financial Derivative Assets (000’s)						Financial Derivative Liabilities (000’s)
	Forward Contracts		Swaps		Total		Forward Contracts		Options		Swaps		Total
Total Over the Counter Derivatives	$	3,366	$	262	$	3,628	$	(1,522)	$	(109)	$	(45)	$	(1,676)

+ All par is stated in U.S Dollar unless otherwise noted.

144A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2019 the value of these securities (in thousands) was $218,716 representing 22.1% of the net assets.

¥ Foreign Bond — par value is foreign denominated

§ Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At September 30, 2019, the aggregate value of these securities was $125,896 (in thousands), representing 12.7% of net assets.

b Cash or securities with an aggregate value of $369,504 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 9/30/2019.

Þ PIK - Payment In Kind. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%.

f Defaulted Security

18

Multi-Sector Bond Portfolio

p Amount is less than one thousand.

# 7-Day yield as of 9/30/2019.

@ At September 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,133,686 and the net unrealized appreciation of investments based on that cost was $17,475 which is comprised of $50,028 aggregate gross unrealized appreciation and $32,553 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

Æ Security valued using significant unobservable inputs.

The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

Level 2 - fair value is determined by other significant observable inputs

Level 3 - fair value is determined by significant unobservable inputs

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at September 30, 2019.

		Valuation Inputs
Description	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
	(Amounts in thousands)
Assets:
Bank Loan Obligations	$	—	$	26,487	$	—
Municipal Bonds		—		11,120		—
Corporate Bonds		—		497,263		—
Governments		—		212,853		—
Structured Products		—		128,271		—
Short-Term Investments
Money Market Funds		3,785		—		—
All Others		—		270,011		—
Other Financial Instruments^
Futures		621		—		—
Forward Currency Contracts		—		3,366		—
Total Return Swaps		—		16		—
Interest Rate Swaps		—		2,185		—
Credit Default Swaps		—		7,004		6
Total Assets:	$	4,406	$	1,158,576	$	6
Liabilities:
Other Financial Instruments^
Futures		(2,215)		—		—
Forward Currency Contracts		—		(1,545)		—
Written Options		(157)		(109)		—
Interest Rate Swaps		—		(2,753)		—
Credit Default Swaps		—		(4,431)		—
Total Liabilities:	$	(2,372)	$	(8,838)	$	—

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.

19

Abbreviations (unaudited)

Abbreviations that may be used in the preceding statements

ADR	American Depositary Receipt
AFC	Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.
CSTR	Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.
EXE	Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.
IO	Interest Only Security
GO	General Obligation
RB	Revenue Bond
CPURNSA	U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted
LIBOR	London Interbank Offered Rate
SOFR	Secured Overnight Financing Rate
CME	Chicago Mercantile Exchange
ICE	Intercontinental Exchange
Currency Abbreviations
ARS	Argentine Peso
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
CNH	Chinese Yuan Renminbi - Offshore
CNY	Chinese Yuan Renminbi
DKK	Danish Krone
EUR	Euro
GBP	British Pound
HKD	Hong Kong Dollar
IDR	Indonesian Rupiah
INR	Indian Rupee
JPY	Japanese Yen
KES	Kenyan Shilling
KRW	South Korean Won
MXN	Mexican New Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NZD	New Zealand Dollar
PHP	Philippines Peso
RUB	Russian Ruble
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
TRY	Turkish Lira
TWD	Taiwan Dollar
ZAR	South African Rand

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