Metropolitan West Funds

Contracts

Unrealized
Appreciation

FUTURES CONTRACTS: LONG POSITIONS

U.S. Treasury Two Year Note, Expiration June 2017

Net unrealized appreciation

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We are pleased to provide the following Annual Report of the Metropolitan West Funds for the period ended March 31, 2017 and thank you for your ongoing investment. The combination of investment return and continued inflows to the various strategies brought total assets of the Funds to more than $87 billion, a measure that we view with great appreciation for the confidence it conveys and the responsibility of meeting client expectations.

Notwithstanding several historic populist political upsets in 2016 - first June’s U.K. referendum on European Union membership then November’s U.S. election of Donald Trump as President - risk markets maintained a remarkable calm with valuations pushing higher. Beyond a stretch of volatility early last year, markets have been driven higher by positive investor sentiment that has seemed to price in only the most optimistic assessments of the U.S. economy. This perspective appeared to intensify post-election, fueled by expectations of fiscal stimulus and policy reform from the new administration. As such, the trailing one year period was marked by equity valuations reaching record highs and credit spreads narrowing across nearly all sectors of the fixed income market. Moreover, on the economic front, business and consumer sentiment measures ascended to levels not seen in over a decade, lending a veneer of fundamental support to the valuation environment.

At a deeper level, however, the divergence of the aforementioned “soft” survey-oriented data (and its more optimistic underpinnings) from less robust “hard” measurables such as gross domestic product growth, productivity and employment heightens the potential for disappointment prospectively. To this point, President Trump’s ambitious agenda faced a substantial roadblock in March 2017 with a failed vote on healthcare reform, placing increased uncertainty on the new administration’s ability to pass other proposed policies, specifically the promised – and highly anticipated – tax code overhaul. This led to increased market volatility in March, though no meaningful adjustment in risk valuations…as of yet. While the fiscal side of the equation started to face the obstacles of political process, the normalization of monetary policy which commenced in December 2015 continued. The March Federal Open Market Committee (“FOMC”) meeting delivered a 25 basis point increase to the target range for the federal funds rate (to between 0.75% and 1%). Despite noting that employment and inflation measures were near target levels, FOMC members made few changes from projections released in December. U.S. Treasury yields increased across the curve year-over-year, with the intermediate stretch seeing the greatest upward movement, as 5- and 7 year yields were up approximately 70 basis points. Meanwhile, longer-dated yields also increased, though to a lesser extent and the overall result was a slightly flatter yield curve. Expectations remain for two more quarter point increases by the Fed this year, just two in 2018 and one in 2019.

For the trailing one year period, U.S. equity markets were up in impressive fashion, gaining over 17% as reflected by the S&P 500 Index. Fixed income markets were largely positive, despite higher US Treasury rates, led by high yield bonds which were up a resounding 16.4%.The theme was largely one of lower quality outperformance; CCC-rated credits gained 32.6% and global emerging market debt was up nearly 8% on the basis of China stabilization and abating deflationary fears. Meanwhile, U.S. investment grade corporate credit returned 3.3%, led by industrials (+3.6%) which benefitted from remediation in the commodity complex. Among securitized issues, agency MBS was weighed down by expectations for rate hikes and balance sheet reduction by the Fed, though still outpaced Treasuries by a modest 10 basis points. Non-agency mortgage-backed securities (MBS) exhibited strong returns, as higher home prices and faster loan amortization provided fundamental support. Within asset-backed securities (ABS), FFELP student loans outperformed as the uncertainty surrounding rating downgrades dissipated with Moody’s concluding its review of currently rated FFELP transactions under its updated methodology late last year. Commercial MBS (CMBS) gained 0.6% with non-agency issues outperforming their agency CMBS counterpart despite growing weakness in the “bricks and mortar” retail segment of the market and a steady stream of issuance. All in all, the backdrop of generally positive risk sentiment was able to carry the Bloomberg Barclays Aggregate Index to a 0.4% return for the trailing one-year period.

While market sentiment has remained buoyant since the election, evidence for its sustainability has yet to find its way into real measures of economic health. Until the end of the first quarter, markets traded on the hope that fiscal policy could step in to provide a catalyst for economic growth through fiscal spending and tax reform, but the lack of consensus in Washington has become increasingly (and frustratingly) apparent, suggesting that the road to policy reform is a long one. Meanwhile, the Fed appears to be on track for gradual policy normalization, but the specifics remain unclear and the potential for tighter financial conditions and increased volatility surrounding the reduction of asset purchases is growing. Against this backdrop, the credit cycle continues to age with rising leverage and weaker underwriting contributing to the fragile landscape of a market ripe for a deleveraging event.

Data sources for the discussion above include Bloomberg Barclays, JPMorgan and Merrill Lynch. Effective August 24, 2016, Barclays Indices were rebranded to Bloomberg Barclays.

The performance data presented below represents past performance and is no guarantee of future results. Total returns include reinvestment of dividends and distributions. Current performance may be lower or higher than the performance data presented. Performance data current to the most recent month end is available on the Fund’s website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in the Fund, when redeemed, may be worth more or less than its original purchase cost.

The MetWest AlphaTrak 500 Fund – I Class (“Fund”) returned 26.38% (net of fees) for the one-year period ending March 31, 2017, outpacing the Standard & Poor’s 500 Index return by over 920 basis points. While the duration of the Fund at approximately 0.9 years weighed on returns as U.S. Treasury rates rose by 40-70 basis points across the yield curve over the period, the drag was more than offset by favorable sector and issue selections. Among sectors, the biggest contributor to outperformance was the allocation to non-agency MBS, particularly bonds backed by optional ARM and subprime collateral, which have benefitted from continued improvement in fundamentals and solid demand. Exposure to investment grade corporates was also significant to outperformance as the sector outpaced Treasuries by 502 basis points during the period. Returns benefitted most from issue selection among U.S. banks and diversified manufacturing, with smaller contributions coming from the allocation to pharmaceuticals, REITs, and electric utilities. Tighter spreads among government guaranteed FFELP student loan ABS, an emphasis in the Fund, further rewarded performance, while smaller contributions came from higher quality more senior commercial MBS holdings and floating rate agency CMOs.

Rising interest rate pressures and an aging credit cycle coupled with insufficient compensation for the risks underwritten informs a cautious approach to Fund strategy and positioning. Defensiveness is expressed with a short duration position and an emphasis on better quality, more senior areas of the market, while cash levels remain relatively high given the potential for equity market volatility. Corporate positioning remains focused on regulated sectors like U.S. financials and utilities, and select industrials with stable cash flows, strong balance sheets, and solid asset coverage. Securitized products continue to offer opportunities for attractive risk-adjusted returns, and positioning favors high quality, more senior positions. Commercial MBS exposure is made up of agency issues and seasoned non-agency bonds at the top of the capital structure, with a small allocation to single asset single borrower deals, while the ABS position is focused on short, high quality collateral such as autos, credit cards, and FFELP student loan receivables. Value remains attractive among FFELP student loans ABS given the integrity of the government guarantee, though spreads have tightened in materially from mid-2016 wides and the position may be downsized accordingly if spreads continue to migrate tighter. Finally, non-agency MBS holdings emphasize issues with better relative quality and near term cash flows, while agency MBS holdings are focused in short, well-structured CMOs with relatively stable duration profiles.

For MWATX, the total expense ratio is 2.65% and the net expense ratio is 0.91%.*

*The Adviser has contractually agreed to reduce certain fees and/or reimburse expenses until July 31, 2017. Furthermore, the Adviser may recoup reduced fees and expenses within three years at the time of recoupment.

For the one year period ending March 31, 2017, the MetWest Floating Rate Bond Fund – I Class (“Fund”) gained 6.29% (net of fees) but lagged the S&P/LSTA Leveraged Loan Index (“Index”) by over 300 basis points. Given a view that credit markets are in the later stages of the cycle, positioning was conservative throughout the year with an underweight to the lower quality and higher beta areas of the market. This higher quality emphasis contributed to underperformance as the demand for yield in a low rate environment supported lower quality assets. Positioning in defensive industries further weighed on relative returns over the course of the year, particularly the underweight to commodity-related sectors such as energy and metals & mining as these segments remediated from the wides a year ago to generate exceptional returns. Issue selection among communications and consumer cyclicals further detracted, though the drag was partially offset by favorable selections among utilities, capital goods, and banking.

Going forward, a degree of caution is warranted. While market sentiment has remained buoyant since the election, evidence for its sustainability has yet to find its way into real measures of economic health. Until the end of the first quarter, markets traded on the hope that fiscal policy could step in to provide a catalyst for economic growth through fiscal spending and tax reform, but the lack of consensus in Washington has become increasingly (and frustratingly) apparent, suggesting that the road to policy reform is a long one. Meanwhile, the Fed appears to be on track for gradual policy normalization, but the specifics remain unclear and the potential for tighter financial conditions and increased volatility surrounding the reduction of asset purchases is growing. Against this backdrop, the credit cycle continues to age with rising leverage and weaker underwriting contributing to the fragile landscape of a market ripe for a deleveraging event. Accordingly, the Fund is positioned defensively, expressed through an underweight to relatively riskier sectors in favor of higher quality, more senior areas of the market favoring regulated U.S. financials and utilities, while issue selection among industrials is predicated on stable cash flows, strong balance sheets, and solid asset coverage. The Fund’s higher quality emphasis remains with a focus on liquidity to ensure “dry powder” is available when opportunities arise.

For MWFRX, the total expense ratio is 1.08% and the net expense ratio is 0.91%. For MWFLX, the total expense ratio is 0.74% and the net expense ratio is 0.71%.*

While the MetWest High Yield Bond Fund — I Class (“Fund”) posted strong positive performance of 9.62% for the one-year period ending March 31, 2017, returns trailed the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index by 677 basis points given conservative positioning against a backdrop of late cycle dynamics and persistent reach for yield. Underperformance was largely attributable to the Fund’s underweight to the lower quality cohorts of the market, which significantly outpaced better-rated issuers in the market. Additionally, a relative underweight to higher beta, commodity-related sectors weighed on performance as both energy and metals & mining were the leading sectors in the Index, rallying considerably to return over 36% and 33%, respectively. Also weighing on performance was issue selection within the industrial sector, particularly the exposure to Homer City which experienced price weakness during the period. These drags were somewhat offset by the Fund’s defensive duration position which contributed to relative performance over the period as U.S. Treasury rates rose by 40-70 basis points across the yield curve.

Rising interest rate pressures and an aging credit cycle combined with richer pricing inform a cautious approach to Fund strategy and positioning. With the continued narrowing of spreads, a meaningful asymmetry of downside risk relative to upside potential has come to characterize the market, particularly so among lower quality issues where average price at quarter-end reached $87 against a 20-year average of $78, as measured by the BAML US High Yield CCC and Below Index. Defensiveness is expressed with a shorter-than-index duration profile and an underweight to riskier industries in favor of higher quality, asset heavy areas of the market. Additionally, the Fund maintains ample liquidity to deploy as opportunities arise with more favorable risk-adjusted return potential. Other indicators of late-cycle behavior remain apparent, not least of which included aggressively capitalized LBOs, loose covenant protections and flawed terms and structures, though early March’s volatility did present some better buying opportunities. Understandably, the lag to the benchmark is disappointing, but adhering to the Fund’s value-oriented discipline should bear benefit as the cycle plays out.

For MWHYX, the total expense ratio is 0.88% and the net expense ratio is 0.86%. For MWHIX, the total expense ratio is 0.62% and the net expense ratio is 0.61%.*

The MetWest Intermediate Bond Fund – I Class (“Fund”) gained 0.68% (net of fees) for the one-year period ending March 31, 2017, outpacing the Bloomberg Barclays Intermediate U.S. Government/Credit Index by 26 basis points. Although conservative positioning in the credit sector has held back Fund returns given the significant rally of higher beta sectors over the past twelve months, the drag was more than offset by contributions from overweight positions among securitized products, and the defensive duration profile of the Fund which was rewarded as U.S. Treasury rates rose by 40-70 basis points across the yield curve over the period. Among sectors, the biggest contributor to outperformance was the allocation to non-agency MBS, particularly bonds backed by subprime collateral, which have benefitted from continued improvement in fundamentals and solid demand. Tighter spreads among government guaranteed FFELP student loan ABS, an emphasis in the Fund, further rewarded performance, while additional contributions came from the overweight to commercial MBS, though the move toward agency CMBS resulted in a small drag on returns as agency issues have trailed broader markets due to heavy new issuance. Finally, a small position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap, added to performance over the period, though position has been reduced as the opportunity has grown less attractive.

Rising interest rate pressures and an aging credit cycle coupled with insufficient compensation for the risks underwritten informs a cautious approach to Fund strategy and positioning. Defensiveness is expressed with a shorter-than-Index duration position and an underweight to relatively riskier sectors in favor of better quality, more senior areas of the market, with a focus on liquidity so that “dry powder” is available when opportunities arise. Corporate positioning remains focused on regulated sectors like U.S. financials and utilities, and select industrials with stable cash flows, strong balance sheets, and solid asset coverage. High yield credit represents a very small position in higher quality holdings that will likely have the credit resilience to withstand late cycle volatility. Securitized products continue to offer opportunities for attractive risk-adjusted returns, and positioning favors high quality, more senior positions. Commercial MBS exposure is skewed towards agency issues as well as seasoned non-agency bonds at the top of the capital structure and single asset single borrower deals, while the ABS allocation is focused on high quality non-traditional collateral such as FFELP student loan receivables. Value remains attractive given the integrity of the government guarantee, though spreads have tightened in materially from mid-2016 wides and the position may be downsized accordingly if spreads continue to migrate tighter. Finally, non-agency MBS holdings emphasize issues with better relative quality and near term cash flows, while agency MBS exposure is slightly less than that of the Index.

For MWIMX, the total expense ratio is 0.70% and the net expense ratio is 0.70%. For MWIIX, the total expense ratio is 0.46% and the net expense ratio is 0.46%.

The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 1.46% (net of fees) for the one year period ending March 31, 2017 and outperformed the BofA Merrill Lynch 1-3 Year U.S. Treasury Index by over 120 basis points. The biggest contributor to outperformance was the allocation to non-agency MBS, particularly bonds backed by subprime collateral, which have benefitted from continued improvement in fundamentals and solid demand. Meanwhile, exposure to the rallying corporate sector was also beneficial as the sector outpaced Treasuries by over 500 basis points. Tighter spreads among government guaranteed FFELP student loan ABS, an emphasis in the Fund, further rewarded performance given the near-conclusion of rating downgrade reviews. Additional contributions came from the overweight to commercial MBS, though the move toward agency CMBS resulted in a small drag on returns as agency issues have trailed broader markets due to heavy new issuance. Finally, the defensive duration profile of the Fund was rewarded as short U.S. Treasury rates rose by approximately 50 basis points.

Rising interest rate pressures and an aging credit cycle coupled with insufficient compensation for the risks underwritten informs a cautious approach to Fund strategy and positioning. Defensiveness is expressed with a shorter-than-Index duration position and an emphasis on better quality, more senior areas of the market, with a focus on liquidity so that “dry powder” is available when opportunities arise. Corporate positioning remains focused on regulated sectors like U.S. financials and utilities, and select industrials with stable cash flows, strong balance sheets, and solid asset coverage. High yield credit represents a small position in higher quality holdings that will likely have the credit resilience to withstand late cycle volatility. Securitized products continue to offer opportunities for attractive risk-adjusted returns, and positioning favors high quality, more senior positions. Commercial MBS exposure is skewed towards agency issues as well as seasoned non-agency bonds at the top of the capital structure, while the ABS allocation is focused on high quality non-traditional collateral such as FFELP student loan receivables. Value remains attractive given the integrity of the government guarantee, though spreads have tightened in materially from mid-2016 wides and the position may be downsized accordingly if spreads continue to migrate tighter. Finally, non-agency MBS holdings emphasize issues with better relative quality and near term cash flows.

For MWLDX, the total expense ratio is 0.62% and the net expense ratio is 0.62%. For MWLIX, the total expense ratio is 0.39% and the net expense ratio is 0.39%. For MWLNX, the total expense ratio is 0.72% and the net expense ratio is 0.72%.

The MetWest Strategic Income Fund – I Class (“Fund”) returned 4.32% (net of fees) for the one-year period ending March 31, 2017, outpacing the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index + 2% by 196 basis points. While the duration of the Fund at approximately 1.8 years weighed on returns as U.S. Treasury rates rose by 40-70 basis points across the yield curve over the period, the drag was more than offset by favorable sector and issue selections. Among sectors, the biggest contributor to outperformance was the allocation to non-agency MBS, particularly bonds backed by subprime collateral, which have benefitted from continued improvement in fundamentals and solid demand. Exposure to investment grade and high yield corporates was also significant to outperformance as these sectors outpaced Treasuries by 502 and 1698 basis points, respectively, during the period, driven by commodity-related sectors within the industrial space which benefitted from stabilization in commodity prices after early-2016 volatility. Within corporates, issue selection among U.S. banks, midstream energy credits, and diversified manufacturing names contributed to most. Tighter spreads among government guaranteed FFELP student loan ABS, an emphasis in the Fund, further rewarded performance, while smaller contributions came from higher quality more senior commercial MBS holdings and floating rate agency CMOs. Finally, a small position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap, added to performance over the period, though position has been reduced as the opportunity has grown less attractive.

Rising interest rate pressures and an aging credit cycle coupled with insufficient compensation for the risks underwritten informs a cautious approach to Fund strategy and positioning. Defensiveness is expressed with a short duration position and an emphasis on better quality, more senior areas of the market, with a focus on liquidity so that “dry powder” is available when opportunities arise. Corporate positioning remains focused on regulated sectors like U.S. financials and utilities, and select industrials with stable cash flows, strong balance sheets, and solid asset coverage. High yield credit represents a small position in higher quality holdings that will likely have the credit resilience to withstand late cycle volatility. Securitized products continue to offer opportunities for attractive risk-adjusted returns, and positioning favors high quality, more senior positions. Commercial MBS exposure is made up of agency issues and seasoned non-agency bonds at the top of the capital structure, with a small allocation to single asset single borrower deals, while the ABS position is focused on high quality non-traditional collateral such as FFELP student loan receivables. Value remains attractive given the integrity of the government guarantee, though spreads have tightened in materially from mid-2016 wides and the position may be downsized accordingly if spreads continue to migrate tighter. Finally, non-agency MBS holdings emphasize issues with better relative quality and near term cash flows, while agency MBS holdings are focused in short, well-structured CMOs with relatively stable duration profiles.

For MWSTX, the total expense ratio is 1.87% and the net expense ratio is 1.87%. For MWSIX, the total expense ratio is 1.54% and the net expense ratio is 1.54%.

M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX), Plan-Class (MWTSX)

The MetWest Total Return Bond Fund – I Class (“Fund”) gained 0.93% (net of fees) for the one-year period ended March 31, 2017, outpacing the Bloomberg Barclays U.S. Aggregate Bond Index by nearly 50 basis points. Although conservative positioning in the credit sector held back Fund returns given the significant rally of higher beta sectors over the past twelve months, the drag was more than offset by contributions from overweight positions among securitized products, and the defensive duration profile of the Fund which was rewarded as U.S. Treasury rates rose by 40-70 basis points across the yield curve over the period. Among sectors, the biggest contributor to outperformance was the allocation to non-agency MBS particularly bonds backed by subprime collateral which have benefitted from continued improvement in fundamentals and solid demand. Meanwhile, the relative underweight to agency MBS provided support to returns given underperformance in that sector driven by uncertainty about the Fed’s plans for unwinding its balance sheet. Tighter spreads among government guaranteed FFELP student loan ABS, an emphasis in the Fund,

further rewarded performance, while additional contributions came from the overweight to commercial MBS, though the move toward agency CMBS resulted in a small drag on returns as agency issues have trailed broader markets due to heavy new issuance. Finally, a small position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap, added to performance over the period, though the position has been reduced as the opportunity has grown less attractive.

Rising interest rate pressures and an aging credit cycle coupled with insufficient compensation for the risks underwritten informs a cautious approach to Fund strategy and positioning. Defensiveness is expressed with a shorter-than-Index duration position and an underweight to relatively riskier sectors in favor of better quality, more senior areas of the market, with a focus on liquidity so that “dry powder” is available when opportunities arise. Corporate positioning remains focused on regulated sectors like U.S. financials and utilities, and select industrials with stable cash flows, strong balance sheets, and solid asset coverage. High yield credit represents a very small position in higher quality holdings that will likely have the credit resilience to withstand late cycle volatility. Securitized products continue to offer opportunities for attractive risk-adjusted returns, and positioning favors high quality, more senior positions. Commercial MBS exposure is skewed towards agency issues as well as seasoned non-agency bonds at the top of the capital structure and single asset single borrower deals, while the ABS overweight is focused on high quality non-traditional collateral such as FFELP student loan receivables. Value remains attractive given the integrity of the government guarantee, though spreads have tightened in materially from mid-2016 wides and the position may be downsized accordingly if spreads continue to migrate tighter. Finally, non-agency MBS holdings emphasize issues with better relative quality and near term cash flows, while agency MBS exposure is slightly less than that of the Index.

For MWTRX, the total expense ratio is 0.67% and the net expense ratio is 0.67%. For MWTIX, the total expense ratio is 0.44% and the net expense ratio is 0.44%. For MWTNX, the total expense ratio is 0.79% and the net expense ratio is 0.79%. For MWTSX, the total expense ratio is 0.38% and the net expense ratio is 0.38%.

The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 1.06% (net of fees) for the one year period ending March 31, 2017 and outperformed the BofA Merrill Lynch 1 Year U.S. Treasury Index by over 50 basis points. The biggest contributor to outperformance was the allocation to non-agency MBS, particularly bonds backed by subprime collateral, which have benefitted from continued improvement in fundamentals and solid demand. Meanwhile, exposure to the rallying corporate sector was also beneficial as the sector outpaced Treasuries by over 500 basis points. Tighter spreads among government guaranteed FFELP student loan ABS, an emphasis in the Fund, further rewarded performance given the near-conclusion of rating downgrade reviews. Additional contributions came from the overweight to commercial MBS, though the move toward agency CMBS resulted in a small drag on returns as agency issues have trailed broader markets due to heavy new issuance. Finally, the defensive duration profile of the Fund was rewarded as short U.S. Treasury rates rose by approximately 50 basis points.

quality holdings that will likely have the credit resilience to withstand late cycle volatility. Securitized products continue to offer opportunities for attractive risk-adjusted returns, and positioning favors high quality, more senior positions. Commercial MBS exposure is skewed towards agency issues as well as seasoned non-agency bonds at the top of the capital structure, while the ABS allocation is focused on high quality non-traditional collateral such as FFELP student loan receivables. Value remains attractive given the integrity of the government guarantee, though spreads have tightened in materially from mid-2016 wides and the position may be downsized accordingly if spreads continue to migrate tighter. Finally, non-agency MBS holdings emphasize issues with better relative quality and near term cash flows, while agency MBS holdings are focused in short, well-structured CMOs with relatively stable duration profiles.

For MWUSX, the total expense ratio is 0.69% and the net expense ratio is 0.51%. For MWUIX, the total expense ratio is 0.51% and the net expense ratio is 0.35%.*

The MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 4.43% (net of fees) for the one-year period ending March 31, 2017, outpacing the BofA Merrill Lynch U.S. LIBOR 3-MonthAverage Index by 362 basis points. With U.S. Treasury rates increasing by 40 to 70 basis points across the yield curve during the period, the duration of the portfolio extended from approximately 1.4 year to 1.7 years, weighing on returns as U.S. Treasury rates rose across the curve, with the 10-Year up nearly 62 basis points. Returns were driven by the allocation to investment grade and high yield corporates, which outpaced Treasuries by approximately 500 and 1,700 basis points on a duration adjusted basis. Value was further added with the allocation to non-agency MBS particularly bonds backed by subprime and alt-A collateral which have benefitted from continued improvement in fundamentals and solid demand. Tighter spreads among government guaranteed FFELP student loan ABS, an emphasis in the Fund, further rewarded performance, while additional contributions came from the overweight to commercial MBS, particularly non-agency CMBS. Finally, a small position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap, added to performance over the period, though the position has been reduced as the opportunity has grown less attractive.

Rising interest rate pressures and an aging credit cycle coupled with insufficient compensation for the risks underwritten informs a cautious approach to Fund strategy and positioning. Defensiveness is expressed with a short duration position and an emphasis on better quality, more senior areas of the market, with a focus on liquidity so that “dry powder” is available when opportunities arise. Corporate positioning remains focused on regulated sectors like U.S. financials and utilities, and select industrials with stable cash flows, strong balance sheets, and solid asset coverage. High yield credit represents a small position in higher quality holdings that will likely have the credit resilience to withstand late cycle volatility. Securitized products continue to offer opportunities for attractive risk-adjusted returns, and positioning favors high quality, more senior positions. Commercial MBS exposure is skewed towards agency issues as well as seasoned non-agency bonds at the top of the capital structure and single asset single borrower deals, while the ABS allocation is focused on high quality non-traditional collateral such as FFELP student loan receivables. Value remains attractive given the integrity of the government guarantee, though spreads have tightened in materially from mid-2016 wides and the position may be downsized accordingly if spreads continue to migrate tighter. Finally, non-agency MBS holdings emphasize issues with better relative quality and near term cash flows.

For MWCRX, the total expense ratio is 1.05% and the net expense ratio is 1.05%. For MWCIX, the total expense ratio is 0.74% and the net expense ratio is 0.74%.

Volatility – be it upside or downside – is a constant reminder of the importance of discipline in the management of client assets. We continue to manage to our time-tested philosophy recognizing that prices often decouple from fundamental value, leading to opportunities relative to more emotional, momentum-based investors. This discipline, along with a commitment to a risk management process that seeks to preserve capital, represents our steadfast approach to building and sustaining client assets.

Thank you again for your investment in the Metropolitan West Funds. We look forward to continuing to assist you in the achievement of your financial goals.

Portfolio composition is subject to change. The current and future portfolio holdings of the Funds are subject to investment risk.

Bond Funds have similar interest rates, issues, and credit risks as those associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. Additional risks to the Funds include derivatives risk, foreign securities risk, asset-backed securities investment risk, and prepayment risk. The High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including “leverage risk”. The Strategic Income Fund engages in sophisticated investment strategies, and is subject to short sales and leverage risks. The AlphaTrak 500 trades futures and derivative contracts. These Funds may not be suitable for all investors.

Derivatives risk refers to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset. Foreign securities risk refers to the value of a Fund’s investments in foreign securities on changing currency values, political and economic environments in the countries where the Fund invests. Asset-backed securities investment risk refers to the risk that the impairment of the value of the collateral underlying the security in which a Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. Prepayment risk refers to the possibility that falling interest rates may cause the underlying loans to pay off at a faster than expected rate. This tends to reduce returns since the funds prepaid will have to be reinvested at the then lower prevailing rates. Short sale risk refers to the limited ability of a Fund to sell a debt or equity security short (without owning it) and to borrow the same security from a broker or other institution to complete the sale. If the value of the short sale increases, a Fund would lose money because it will need to replace the borrowed security by purchasing it at a higher price. Leverage risk refers to the limited ability of a Fund to borrow from broker-dealers or other institutions to leverage a transaction, provided that the borrowing is fully-collateralized. The Fund’s assets may change in value while the borrowing is outstanding, which could create interest expenses that can exceed the income from the assets retained.

The views and forecasts expressed here are as of April 2017, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors.

Funds are distributed by Foreside Funds Distributors LLC, 400 Berwyn Park, Suite 110, 899 Cassatt Road, Berwyn, PA 19312.

The graphs below illustrate the assumed investment of $10,000 for each of the Metropolitan West Funds. The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. Returns are due in part to market conditions which may not be repeated in the future. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

The performance tables and graphs do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Unlike an index, the Fund’s total returns are reduced by transaction costs, taxes, management fees and other expenses.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West AlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual 10 year total returns for the Metropolitan West AlphaTrak 500 Fund were 26.38% and 7.63%, respectively. The graph assumes that distributions were reinvested.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class M with the performance of the S&P/LSTA Leveraged Loan Index. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class M were 6.08% and 3.70%, respectively. The inception date for Class M was June 28, 2013. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Floating Rate Income Fund Class I was June 28, 2013. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class I were 6.29% and 3.90%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $11,546.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap Index. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class M were 9.35% and 6.28%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West High Yield Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class I were 9.62% and 6.54%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $18,850.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Bloomberg Barclays Intermediate U.S. Government/Credit Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Intermediate Bond Fund Class M were 0.43% and 4.57%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Intermediate Bond Fund Class I, the one year and average annual 10 year total returns total returns for the Metropolitan West Intermediate Bond Fund Class I were 0.68% and 4.80%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $15,983.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the BofA Merrill Lynch 1-3 Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class M were 1.25% and 2.26%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Low Duration Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class I were 1.46% and 2.47%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $12,758.

The inception date for the Metropolitan West Low Duration Bond Fund Administrative Class was September 22, 2009. The one year and average annual since inception total returns for the Metropolitan West Low Duration Bond Fund Administrative Class were 1.22% and 3.63%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Administrative Class shares would have been valued at $13,079.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index plus 200 basis points. The one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class M were 3.91% and 3.03%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Strategic Income Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class I were 4.32% and 3.29%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $13,828.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Aggregate Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class M were 0.70% and 5.57%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Total Return Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class I were 0.93% and 5.80%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $17,575.

The inception date for the Metropolitan West Total Return Bond Fund Administrative Class was December 18, 2009. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Administrative Class were 0.59% and 4.74%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Administrative Class shares would have been valued at $14,008.

The inception date for the Metropolitan West Total Return Bond Fund Plan Class was August 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Plan Class were 1.03% and 3.98%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Plan Class shares would have been valued at $12,476.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the BofA Merrill Lynch 1-Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Ultra Short Bond Fund Class M were 1.14% and 0.88%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Ultra Short Bond Fund Class I, the one year and average annual 10 year total returns for the Metropolitan West Ultra Short Bond Fund Class I were 1.06% and 1.04%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $11,086.

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class M with the performance of the BofA Merrill Lynch U.S. Libor 3- Month Average Index. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class M were 4.11% and 6.25%, respectively. The inception date for Class M was October 1, 2011. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Unconstrained Bond Fund Class I was October 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class I were 4.43% and 6.52%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $14,153.

We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return for the past six-month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund at the beginning of the period.

You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund in the first line under the heading entitled “Expenses Paid During Period.”

Hypothetical 5% Return: This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission (SEC) requires all mutual funds to calculate expenses based on an assumed 5% annual return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expense shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

These tables are provided to give you a quick reference to the composition of each Fund. The “Sector Diversification” table is a percentage of net assets. We hope that this information enhances your understanding of the different kinds of investments in the Funds.


ALPHATRAK 500 FUND
Sector Diversification
U.S. Treasury Bills	24.59	%
Corporate Bonds	20.69	%
U.S. Treasury Securities	18.19	%
Commercial Mortgage-Backed	15.87	%
Asset-Backed Securities	8.57	%
Mutual Funds	4.69	%
Non-Agency Mortgage-Backed	3.31	%
Money Market Funds	2.83	%
U.S. Agency Mortgage-Backed	2.80	%
Bank Loans	0.36	%
Other *	(1.90	)%
Total	100.00	%


FLOATING RATE INCOME FUND
Sector Diversification
Bank Loans	81.88	%
U.S. Treasury Bills	8.77	%
Corporate Bonds	7.58	%
Money Market Funds	2.13	%
U.S. Agency Discount Notes	1.30	%
Municipal Bonds	0.20	%
Other *	(1.86	)%
Total	100.00	%


HIGH YIELD BOND FUND
Sector Diversification
Corporate Bonds	80.78	%
Bank Loans	5.59	%
U.S. Treasury Bills	4.45	%
U.S. Treasury Securities	2.28	%
Money Market Funds	1.92	%
Non-Agency Mortgage-Backed	0.85	%
U.S. Agency Discount Notes	0.80	%
Common Stock	0.15	%
Warrants	0.04	%
Other *	3.14	%
Total	100.00	%


INTERMEDIATE BOND FUND
Sector Diversification
Corporate Bonds	36.22	%
U.S. Treasury Securities	31.65	%
U.S. Agency Mortgage-Backed	9.03	%
Non-Agency Mortgage-Backed	6.65	%
Asset-Backed Securities	6.29	%
Foreign Government Obligations	4.92	%
U.S. Treasury Bills	1.80	%
Municipal Bonds	1.67	%
Money Market Funds	1.46	%
Commercial Mortgage-Backed	1.38	%
Bank Loans	0.60	%
Commercial Paper	0.14	%
Other *	(1.81	)%
Total	100.00	%


LOW DURATION BOND FUND
Sector Diversification
U.S. Treasury Securities	29.15	%
Corporate Bonds	26.78	%
U.S. Agency Mortgage-Backed	15.11	%
Non-Agency Mortgage-Backed	13.55	%
Asset-Backed Securities	7.60	%
Foreign Government Obligations	4.91	%
Commercial Mortgage-Backed	1.48	%
Bank Loans	0.74	%
Municipal Bonds	0.34	%
Money Market Funds	0.31	%
Commercial Paper	0.17	%
U.S. Treasury Bills	0.06	%
Purchased Swaptions	0.00	%
Other *	(0.20	)%
Total	100.00	%


STRATEGIC INCOME FUND
Sector Diversification
Non-Agency Mortgage-Backed	32.59	%
Corporate Bonds	27.33	%
Asset-Backed Securities	11.75	%
Commercial Mortgage-Backed	8.14	%
U.S. Agency Mortgage-Backed	7.26	%
Foreign Government Obligations	5.46	%
U.S. Treasury Bills	3.47	%
Money Market Funds	2.29	%
U.S. Agency Discount Notes	0.70	%
Municipal Bonds	0.67	%
Bank Loans	0.19	%
Other *	0.15	%
Total	100.00	%


TOTAL RETURN BOND FUND
Sector Diversification
U.S. Agency Mortgage-Backed	29.48	%
Corporate Bonds	27.10	%
U.S. Treasury Securities	25.01	%
Non-Agency Mortgage-Backed	6.93	%
Asset-Backed Securities	6.09	%
Foreign Government Obligations	4.77	%
Commercial Mortgage-Backed	1.89	%
U.S. Treasury Bills	1.62	%
U.S. Agency Discount Notes	0.95	%
Municipal Bonds	0.89	%
Money Market Funds	0.63	%
Bank Loans	0.22	%
Commercial Paper	0.15	%
Put Options Purchased	0.01	%
Common Stock	0.00	%
Other *	(5.74	)%
Total	100.00	%


ULTRA SHORT BOND FUND
Sector Diversification
U.S. Agency Mortgage-Backed	34.40	%
Corporate Bonds	26.16	%
U.S. Treasury Securities	18.68	%
Foreign Government Obligations	4.78	%
Commercial Mortgage-Backed	4.37	%
Non-Agency Mortgage-Backed	3.91	%
Asset-Backed Securities	3.47	%
U.S. Treasury Bills	3.06	%
U.S. Agency Discount Notes	1.10	%
Commercial Paper	0.35	%
Money Market Funds	0.10	%
Other *	(0.38	)%
Total	100.00	%


UNCONSTRAINED BOND FUND
Sector Diversification
Corporate Bonds	31.37	%
Non-Agency Mortgage-Backed	20.47	%
Asset-Backed Securities	16.00	%
U.S. Agency Mortgage-Backed	10.46	%
Commercial Mortgage-Backed	10.24	%
Foreign Government Obligations	4.60	%
U.S. Treasury Securities	3.55	%
Money Market Funds	1.69	%
Municipal Bonds	0.85	%
Bank Loans	0.54	%
Commercial Paper	0.11	%
U.S. Agency Securities	0.09	%
U.S. Treasury Bills	0.08	%
Other *	(0.05	)%
Total	100.00	%

* Includes cash and equivalents, futures, foreign currency exchange contracts, options written, swaps, pending trades, fund share transactions, interest and dividends receivable and accrued expenses payable.

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ most recent Form N-Q was filed for the quarter ended December 31, 2016.The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.


Issues	Maturity Date			Principal Amount		Value
BONDS – 69.79%
ASSET-BACKED SECURITIES — 8.57%**
Access Group, Inc., Series 2005-2, Class A3
1.23%		11/22/24	²	$	12,765	$	12,738
Access Group, Inc., Series 2015-1, Class A
1.68%		07/25/56	^2,3		28,599		28,441
BA Credit Card Trust, Series 2015-A1, Class A
1.24%		06/15/20	²		185,000		185,385
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.35%		01/25/35	^2,3		22,990		22,219
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
2.25%		02/25/35	²		15,000		15,166
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
2.04%		10/27/36	²		15,000		15,041
Chase Issuance Trust, Series 2013-A6, Class A6
1.33%		07/15/20	²		150,000		150,523
Chase Issuance Trust, Series 2015-A3, Class A3
1.16%		04/15/19	²		40,000		40,002
Citibank Credit Card Issuance Trust, Series 2013-A2, Class A2
1.26%		05/26/20	²		180,000		180,429
College Loan Corp. Trust, Series 2007-1, Class A3
1.14%		04/25/29	²		16,443		16,333
Collegiate Funding Services Education Loan Trust, Series 2004-A, Class A3
1.36%		09/28/26	²		739		737
Educational Funding of the South, Inc., Series 2011-1, Class A2
1.69%		04/25/35	²		6,221		6,193
Educational Funding of the South, Inc., Series 2012-1, Class A
2.03%		03/25/36	²		7,809		7,858
Honda Auto Receivables Owner Trust, Series 2014-3, Class A3
0.88%		06/15/18			14,005		13,994
Honda Auto Receivables Owner Trust, Series 2015-4, Class A3
1.23%		09/23/19			205,000		204,431
Honda Auto Receivables Owner Trust, Series 2017-1, Class A2
1.42%		07/22/19			195,000		195,031
Nelnet Student Loan Trust, Series 2014-3A, Class A
1.56%		06/25/41	^2,3		26,919		26,723
Nissan Auto Receivables Owner Trust, Series 2015-C, Class A3
1.37%		05/15/20			80,000		79,822


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nissan Auto Receivables Owner Trust, Series 2016-A, Class A2A
1.06%		02/15/19		$	134,356	$	134,272
Nissan Auto Receivables Owner Trust, Series 2016-B, Class A2B
1.21%		04/15/19	²		32,086		32,136
North Carolina State Education Authority, Series 2011-1, Class A3
1.94%		10/25/41	²		15,000		14,981
Northstar Education Finance, Inc., Series 2007-1, Class A2
1.79%		01/29/46	²		10,000		9,673
Scholar Funding Trust, Series 2011-A, Class A
1.94%		10/28/43	^2,3		5,683		5,641
SLM Student Loan Trust, Series 2003-11, Class A5
1.18%		12/15/22	^2,3		6,631		6,619
SLM Student Loan Trust, Series 2004-3, Class A5
1.21%		07/25/23	²		99,713		99,674
SLM Student Loan Trust, Series 2004-5A, Class A5
1.64%		10/25/23	^2,3		5,085		5,092
SLM Student Loan Trust, Series 2005-10, Class A4
1.15%		10/25/19	²		1,428		1,428
SLM Student Loan Trust, Series 2007-6, Class A4
1.42%		10/25/24	²		103,677		103,338
SLM Student Loan Trust, Series 2011-2, Class A1
1.58%		11/25/27	²		17,384		17,451
SLM Student Loan Trust, Series 2012-1, Class A2
1.43%		11/25/20	²		989		989
SLM Student Loan Trust, Series 2013-3, Class A2
1.28%		05/26/20	²		5,464		5,462
SLM Student Loan Trust, Series 2013-4, Class A
1.53%		06/25/27	²		11,441		11,219
SLM Student Loan Trust, Series 2013-6, Class A2
1.48%		02/25/21	²		56,949		56,978
Toyota Auto Receivables Owner Trust, Series 2016-D, Class A2B
1.04%		05/15/19	²		70,000		69,976


Total Asset-Backed Securities
(Cost $1,771,562)							1,775,995


Issues	Maturity Date			Principal Amount		Value
BANK LOANS — 0.36%*
Industrials — 0.36%
Johnson Controls International PLC, Senior Term Loan
2.81% (LIBOR plus 1.75%)		09/10/19	^2,4	$	75,000	$	74,930


Total Bank Loans
(Cost $75,187)
CORPORATES — 20.69%*
Automotive — 0.17%
Ford Motor Credit Co. LLC
6.63%		08/15/17			15,000		15,275
General Motors Financial Co., Inc.
3.25%		05/15/18			20,000		20,293


							35,568


Banking — 4.30%
Bank of America Corp. (MTN)
5.65%		05/01/18			160,000		166,589
6.88%		04/25/18			100,000		105,269
Bank of America N.A. (BKNT)
6.10%		06/15/17			55,000		55,475
Discover Bank
2.00%		02/21/18			100,000		100,122
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^3,5		5,000		5,241
JPMorgan Chase & Co.
6.00%		01/15/18			80,000		82,710
Santander UK PLC (United Kingdom)
1.65%		09/29/17	⁵		15,000		15,003
2.50%		03/14/19	⁵		60,000		60,502
Wachovia Corp. (MTN)
5.75%		02/01/18			275,000		284,419
Wells Fargo & Co. (GMTN)
1.50%		01/16/18			15,000		14,975


							890,305

Commercial Services — 0.24%
Moody’s Corp.

1.41%		09/04/18	²		50,000		50,088

Communications — 0.53%

AT&T, Inc.
5.50%		02/01/18			40,000		41,251
Rogers Communications, Inc. (Canada)
6.80%		08/15/18	⁵		35,000		37,389
Time Warner Cable LLC
6.75%		07/01/18			30,000		31,732


							110,372

Consumer Discretionary — 1.35%
Altria Group, Inc.
9.70%		11/10/18			70,000		78,564


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Anheuser-Busch InBev Finance, Inc.
1.25%		01/17/18		$	20,000	$	19,986
Anheuser-Busch InBev Worldwide, Inc.
7.75%		01/15/19			50,000		55,013
Anheuser-Busch North American Holding Corp.
2.20%		08/01/18	³		50,000		50,340
Beam Suntory, Inc.
1.75%		06/15/18			75,000		74,990


							278,893

Consumer Products — 0.44%
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^3,5		90,000		90,062


Electric — 0.61%
Appalachian Power Co., Series K
5.00%		06/01/17			50,000		50,282
Cleveland Electric Illuminating Co., Series D (The)
7.88%		11/01/17			20,000		20,700
Exelon Corp.
1.55%		06/09/17			15,000		14,999
Jersey Central Power & Light Co.
5.65%		06/01/17			25,000		25,144
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			15,000		16,037


							127,162

Environmental Control — 0.30%
Republic Services, Inc.
3.80%		05/15/18			50,000		51,092
Waste Management, Inc.
6.10%		03/15/18			10,000		10,425


							61,517

Finance — 5.49%
American Express Co.
1.55%		05/22/18			40,000		39,965
7.00%		03/19/18			15,000		15,759
American Express Credit Corp. (MTN)
1.80%		07/31/18			30,000		30,048
Bear Stearns Cos. LLC (The)
6.40%		10/02/17			20,000		20,482
7.25%		02/01/18			140,000		146,335
Citigroup, Inc.
1.70%		04/27/18			25,000		25,017
1.80%		02/05/18			80,000		80,058
2.50%		09/26/18			45,000		45,413
6.00%		08/15/17			15,000		15,234


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
6.13%		05/15/18		$	100,000	$	104,744
Ford Motor Credit Co. LLC
5.00%		05/15/18			75,000		77,512
General Electric Corp. (MTN)
1.41%		05/05/26	²		30,000		29,499
1.52%		08/15/36	²		75,000		66,114
General Motors Financial Co., Inc.
4.75%		08/15/17			10,000		10,113
Goldman Sachs Group, Inc. (MTN) (The)
2.14%		11/15/18	²		25,000		25,278
Goldman Sachs Group, Inc. (The)
2.38%		01/22/18			10,000		10,061
5.95%		01/18/18			35,000		36,151
6.15%		04/01/18			15,000		15,630
International Lease Finance Corp.
7.13%		09/01/18	³		100,000		107,000
Morgan Stanley (GMTN)
6.63%		04/01/18			115,000		120,398
Morgan Stanley (MTN)
5.95%		12/28/17			25,000		25,784
Morgan Stanley, Series 3NC2
1.84%		02/14/20	²		50,000		50,123
SL Green Realty Corp.
5.00%		08/15/18			40,000		41,380


							1,138,098

Food — 0.08%
Kraft Heinz Foods Co.
6.13%		08/23/18			15,000		15,862


Health Care — 1.30%
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	⁵		10,000		10,046
Actavis, Inc.
1.88%		10/01/17			10,000		10,025
Aetna, Inc.
1.50%		11/15/17			10,000		10,000
Anthem, Inc.
1.88%		01/15/18			40,000		40,044
Baxalta, Inc.
2.00%		06/22/18			10,000		10,028
Bayer U.S. Finance LLC
1.50%		10/06/17	³		55,000		54,958
Express Scripts Holding Co.
1.25%		06/02/17			10,000		9,997
Providence Health & Services Obligated Group
2.10%		10/01/17	²		75,000		75,088


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	⁵	$	30,000	$	29,831
UnitedHealth Group, Inc.
6.00%		02/15/18			15,000		15,580
Valeant Pharmaceuticals International, Inc. (Canada)
5.88%		05/15/23	^3,5		5,000		3,900


							269,497

Industrials — 0.49%
Temple-Inland, Inc.
6.63%		01/15/18			65,000		67,401
United Technologies Corp. (STEP)
1.78%		05/04/18			35,000		34,999


							102,400

Real Estate Investment Trust (REIT) — 5.29%
American Tower Corp.
4.50%		01/15/18			80,000		81,723
Boston Properties LP
3.70%		11/15/18			100,000		102,542
5.63%		11/15/20			15,000		16,554
Camden Property Trust
5.70%		05/15/17			20,000		20,095
DDR Corp.
7.50%		04/01/17			15,000		15,000
Duke Realty LP
6.50%		01/15/18			35,000		36,295
HCP, Inc.
2.63%		02/01/20			100,000		100,610
Highwoods Realty LP
7.50%		04/15/18			10,000		10,537
Kimco Realty Corp. (MTN)
4.30%		02/01/18			55,000		55,832
National Retail Properties, Inc.
6.88%		10/15/17			15,000		15,382
Post Apartment Homes LP
4.75%		10/15/17			15,000		15,127
Prologis LP
4.00%		01/15/18			15,000		15,180
Realty Income Corp.
2.00%		01/31/18			110,000		110,209
UDR, Inc. (MTN)
4.25%		06/01/18			70,000		71,935
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			55,000		55,091
4.00%		04/30/19			90,000		93,081


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
WEA Finance LLC/Westfield UK & Europe Finance PLC
1.75%		09/15/17	³	$	150,000	$	150,043
2.70%		09/17/19	³		15,000		15,151
Welltower, Inc.
2.25%		03/15/18			115,000		115,529


							1,095,916

Retail — 0.07%
Walgreens Boots Alliance, Inc.
1.75%		05/30/18			15,000		15,019

Transportation — 0.03%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			5,562		5,754

Total Corporates
(Cost $4,276,586)							4,286,513

MORTGAGE-BACKED — 21.98%**
Commercial Mortgage-Backed — 15.87%
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2007-5, Class A4
5.49%		02/10/51			86,101		86,607
Bear Stearns Commercial Mortgage Securities Trust, Series 2004-T16, Class F
5.21%		02/13/46	^2,3		82,388		82,930
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-T18, Class E
5.26%		02/13/42	^2,3		100,000		100,351
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A1A
5.78%		12/10/49	²		28,118		28,162
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4
5.78%		12/10/49	²		46,851		46,907
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class A4
5.88%		05/15/46	²		183,477		183,882
Commercial Mortgage Trust, Series 2006-GG7, Class AM
5.73%		07/10/38	²		21,201		21,302
Commercial Mortgage Trust, Series 2010-C1, Class A2
3.83%		07/10/46	³		9,124		9,250
Commercial Mortgage Trust, Series 2013-CR6, Class A1
0.72%		03/10/46			177,568		177,020
Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4
5.72%		06/15/39	²		11,157		11,151


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Credit Suisse Commercial Mortgage Trust, Series 2007-C5, Class A4
5.70%		09/15/40	²	$	218,282	$	219,257
DBUBS Mortgage Trust, Series 2011-LC1A, Class A2
4.53%		11/10/46	³		42,634		43,725
GRACE Mortgage Trust, Series 2014-GRCE, Class A
3.37%		06/10/28	³		40,000		41,471
GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4
5.95%		08/10/45	²		16,536		16,557
GS Mortgage Securities Trust, Series 2010-C1, Class A1
3.68%		08/10/43	³		142,034		145,412
GS Mortgage Securities Trust, Series 2010-C2, Class A1
3.85%		12/10/43	³		22,517		23,190
GS Mortgage Securities Trust, Series 2012-GCJ9, Class A2
1.76%		11/10/45			91,182		91,306
GS Mortgage Securities Trust, Series2013-GC13, Class A2
2.81%		07/10/46			40,000		40,422
Irvine Core Office Trust, Series 2013-IRV, Class A1
2.07%		05/15/48	³		6,511		6,479
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class A2
3.02%		08/15/46			99,983		101,670
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class A2
2.98%		11/15/45			36,705		37,276
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2
3.00%		01/15/47			90,000		91,510
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%		02/15/51	²		24,622		24,742
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2004-LN2, Class A2
5.12%		07/15/41			6,443		6,432
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4
5.84%		06/15/49	²		198,750		198,819
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A2
3.62%		11/15/43	³		84,191		85,007


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed
(continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A3
4.39%		02/15/46	³	$	34,736	$	35,484
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C4, Class A3
4.11%		07/15/46	³		141,233		144,458
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class ASB
3.41%		01/15/46			55,000		57,049
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CIBX, Class A3
3.14%		06/15/45			63,296		64,214
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A2
1.68%		12/15/47			32,564		32,578
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class XCL (IO)
0.43%		09/15/39	^2,3,4		1,677,699		8,271
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class A2
1.97%		08/15/45			27,902		27,922
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class A3
2.83%		08/15/45			144,000		146,122
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A2
1.87%		11/15/45			92,677		92,760
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A2
1.86%		02/15/46			40,960		40,996
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A2
1.97%		05/15/46			171,093		171,729
Morgan Stanley Capital I Trust, Series 2011-C3, Class A3
4.05%		07/15/49			88,658		92,033
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A3
2.73%		08/10/49			50,000		50,816
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3
5.76%		06/15/49	²		3,949		3,945
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A3
4.00%		03/15/44	³		177,797		182,364
WF-RBS Commercial Mortgage Trust, Series 2013-C13, Class A2
1.96%		05/15/45			200,000		200,697


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust, Series 2013-C18, Class A3
3.65%		12/15/46		$	15,000	$	15,596


							3,287,871

Non-Agency Mortgage-Backed — 3.31%
Ameriquest Mortgage Securities, Inc., Series 2005-R3, Class M2
1.45%		05/25/35	²		45,000		44,758
Asset-Backed Funding Certificates, Series 2006-OPT1, Class A2
1.12%		09/25/36	²		47,830		46,273
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE6, Class M2
1.75%		07/25/35	²		3,922		3,938
Banc of America Funding Trust, Series 2006-G, Class 2A4
1.27%		07/20/36	²		87,986		87,518
Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2
3.86%		02/25/33	²		3,456		3,414
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.30%		05/27/37	^2,3		15,886		15,873
Bear Stearns ALT-A Trust, Series 2004-11, Class 1A1
1.66%		11/25/34	²		18,519		18,183
Centex Home Equity Loan Trust, Series 2002-C, Class AF4 (STEP)
4.98%		06/25/31			12,520		12,556
Citigroup Mortgage Loan Trust, Inc., Series 2006-HE1, Class M2
1.32%		01/25/36	²		43,071		42,836
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
1.74%		08/25/35	²		32,733		21,427
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
1.58%		05/25/35	²		28,226		23,893
Credit Suisse First Boston Mortgage Securities Corp., Series 1997-2, Class A
7.50%		06/25/20	³		814		828
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP)
3.95%		01/25/33			16,986		17,153
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1
2.00%		11/25/33	²		20,209		19,457


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
1.35%		07/19/44	²	$	6,565	$	6,394
Harborview Mortgage Loan Trust, Series 2005-4, Class 2A
3.58%		07/19/35	²		10,306		9,638
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1A
1.84%		08/25/34	²		11,145		9,524
IndyMac Index Mortgage Loan Trust, Series 2007-FLX1, Class A2
1.16%		02/25/37	²		12,297		12,103
JPMorgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M1
1.66%		06/25/35	²		6,733		6,742
JPMorgan Resecuritization Trust, Series 2009-7, Class 14A1
2.68%		07/27/37	^2,3		61,455		61,691
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2
8.50%		11/25/31			4,097		1,270
Residential Asset Securities Trust, Series 2005-AHL3, Class A2
1.22%		11/25/35	²		20,523		20,497
Soundview Home Loan Trust, Series 2006-2, Class M1
1.31%		03/25/36	²		85,000		84,287
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^3,4		4,200,825		58,299
WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A
2.04%		06/25/42	²		6,230		6,029
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-I, Class A1
2.89%		09/25/33	²		39,733		41,134
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-I, Class AI
3.16%		07/25/34	²		9,063		9,185


							684,900

U.S. Agency Mortgage-Backed — 2.80%

Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
1.11%		04/25/20	²		4,093		4,085
Fannie Mae Pool 467572
3.80%		04/01/18			18,119		18,357
Fannie Mae Pool 468769
3.42%		09/01/18			36,287		36,968
Fannie Mae Pool 802665
2.99%		12/01/34	²		3,219		3,292


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL0851
6.00%		10/01/40		$	6,597	$	7,486
Fannie Mae REMICS, Series 1997-91, Class SL (IO)
7.50%		11/25/23	²		58,466		8,676
Fannie Mae REMICS, Series 2003-11, Class FA
1.98%		09/25/32	²		12,386		12,691
Fannie Mae REMICS, Series 2008-47, Class PF
1.48%		06/25/38	²		3,740		3,745
Fannie Mae REMICS, Series 2010-109, Class PF
1.38%		10/25/40	²		10,953		10,981
Fannie Mae REMICS, Series G-36, Class ZB
7.00%		11/25/21			655		694
Fannie Mae-Aces, Series 2006-M2, Class A2F
5.26%		05/25/20	²		6,301		6,352
Fannie Mae-Aces, Series 2013-M14, Class FA
1.33%		08/25/18	²		17,134		17,162
Fannie Mae-Aces, Series 2014-M2, Class ASV2
2.78%		06/25/21	²		23,042		23,434
Fannie Mae-Aces, Series 2014-M8, Class FA
1.02%		05/25/18	²		53,820		53,862
Fannie Mae-Aces, Series 2016-M9, Class FA
1.27%		09/25/23	²		49,714		49,718
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K003, Class A4
5.05%		01/25/19			165,000		172,570
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A3
1.41%		07/25/20	²		5,984		6,006
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A
1.33%		09/25/21	²		18,979		19,010
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A
1.16%		07/25/22	²		17,629		17,625
Freddie Mac REMICS, Series 2591, Class EF
1.41%		03/15/32	²		1,640		1,640


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 2684, Class F
1.81%		01/15/33	²	$	11,771	$	12,004
Freddie Mac REMICS, Series 3501, Class JA
4.00%		04/15/37			3,729		3,742
Freddie Mac REMICS, Series 3831, Class PV
5.00%		05/15/25			32,892		33,393
Freddie Mac Strips, Series 263, Class F5
1.41%		06/15/42	²		35,310		35,499
Freddie Mac, Series KF08, Class A
1.08%		01/25/22	²		14,125		14,132
Freddie Mac-Ginnie Mae, Series 2, Class L
8.00%		11/25/22			63		63
Ginnie Mae, Series 2011-142, Class A
2.34%		10/16/40			6,574		6,603


							579,790

Total Mortgage-Backed
(Cost $4,594,067)							4,552,561

U.S. TREASURY SECURITIES — 18.19%
U.S. Treasury Notes — 18.19%
U.S. Treasury Notes
0.75%		08/15/19			1,430,000		1,410,003
1.38%		02/15/20			2,365,000		2,357,794


							3,767,797

Total U.S. Treasury Securities
(Cost $3,756,702)							3,767,797

Total Bonds – 69.79%
(Cost $14,474,104)							14,457,796


Issues				Shares		Value
MUTUAL FUNDS — 4.69%
Mutual Funds — 4.69%
SPDR S&P500 ETF Trust					4,120		971,249

Total Mutual Funds
(Cost $976,153)


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 27.42%
Money Market Funds — 2.83%
Dreyfus Government Cash Management Fund
0.66%⁶				$	585,000	$	585,000

U.S. Treasury Bills — 24.59%
U.S. Treasury Bills
0.42%⁷		04/06/17	⁸		846,000		845,961
0.62%⁷		04/13/17			1,050,000		1,049,792
0.63%⁷		04/20/17			1,500,000		1,499,489
0.68%⁷		04/27/17			1,700,000		1,699,179


							5,094,421

Total Short-Term Investments
(Cost $5,679,232)							5,679,421


Total Investments – 101.90%
(Cost $21,129,489)¹							21,108,466

Liabilities in Excess of Other
Assets – (1.90)%							(394,233	)

Net Assets – 100.00%						$	20,714,233


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
165	S&P 500 E Mini Index, Expiration June 2017	$	(106,482	)


	Net unrealized (depreciation)	$	(106,482	)

Notes:

¹	Cost for federal income tax purposes is $21,139,164 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	43,107
Gross unrealized (depreciation)		(73,805	)

Net unrealized (depreciation)	$	(30,698	)

²	Floating rate security. The rate disclosed was in effect at March 31, 2017.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $141,500, which is 0.68% of total net assets.

⁵	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁶	Represents the current yield as of March 31, 2017.

⁷	Represents annualized yield at date of purchase.

⁸	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $845,958.

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 89.66%

BANK LOANS — 81.88%*

Automotive — 0.18%

Allison Transmission, Inc., Term Loan B, 1st Lien

3.00% (LIBOR plus 2.00%)

09/23/22

417,863

422,100

Commercial Services — 0.54%

Press Ganey Holdings, Inc., Term Loan, 1st Lien

4.25% (LIBOR plus 3.25%)

10/21/23

1,246,875

1,251,944

Communications — 9.55%

Beasley Broadcast Group, Inc., Term Loan B, 1st Lien

7.00% (LIBOR plus 6.00%)

11/01/23

894,340

908,873

CBS Radio, Inc., Term Loan B, 1st Lien

2.75% (LIBOR plus 2.75%)

03/02/24

500,000

503,438

Charter Communications Operating LLC, Term Loan E, 1st Lien

2.99% (LIBOR plus 2.00%)

07/01/20

744,201

747,044

Charter Communications Operating LLC, Term Loan I, 1st Lien

3.23% (LIBOR plus 2.25%)

01/15/24

495,000

497,958

Cincinnati Bell, Term Loan, 1st Lien

4.00% (LIBOR plus 3.00%)

09/10/20

292,407

294,710

CSC Holdings LLC, Term Loan B, 1st Lien

3.94% (LIBOR plus 3.00%)

10/11/24

1,155,000

1,154,642

GTT Communications, Inc., Term Loan, 1st Lien

5.00% (LIBOR plus 4.00%)

01/09/24

1,496,250

1,519,008

Mediarena Acquisition BV, Term Loan, 1st Lien

6.75% (LIBOR plus 5.75%)

08/13/21

1,326,022

1,187,347

Merrill Communications LLC, Term Loan, 1st Lien

6.29% (LIBOR plus 5.25%)

06/01/22

492,135

493,365

Mission Broadcasting, Inc., Term Loan B, 1st Lien

3.94% (LIBOR plus 3.00%)

01/17/24

42,131

42,552

Nexstar Broadcasting Group, Inc., Term Loan B, 1st Lien

3.94% (LIBOR plus 3.00%)

01/17/24

435,043

439,393

Numericable U.S. LLC, Term Loan B, 1st Lien

5.29% (LIBOR plus 4.25%)

01/15/24

744,375

747,364

Outfront Media Capital LLC, Term Loan B, 1st Lien

3.18% (LIBOR plus 2.25%)

03/16/24

2,000,000

2,017,000

Sinclair Broadcast Group, Inc., Term Loan B2, 1st Lien

3.24% (LIBOR plus 2.25%)

01/03/24

1,985,056

1,992,252

Springer Science & Business Media GMBH, Term Loan B9, 1st Lien

4.50% (LIBOR plus 4.50%)

08/15/20

498,728

499,531

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Sprint Communications, Inc., Term Loan B, 1st Lien

3.50% (LIBOR plus 2.50%)

02/02/24

1,000,000

1,001,075

Tribune Media Co., Term Loan B, 1st Lien

3.98% (LIBOR plus 3.00%)

12/27/20

43,470

43,933

Tribune Media Co., Term Loan C, 1st Lien

3.98% (LIBOR plus 3.00%)

01/27/24

543,161

547,506

Univision Communications, Inc., Term Loan C5, 1st Lien

3.75% (LIBOR plus 2.75%)

03/15/24

2,604,224

2,592,011

Virgin Media Bristol LLC, Term Loan, 1st Lien

3.66% (LIBOR plus 2.75%)

01/31/25

1,500,000

1,505,745

Windstream Services LLC, Term Loan B6, 1st Lien

4.95% (LIBOR plus 4.00%)

03/29/21

1,491,883

1,504,318

Windstream Services LLC, Term Loan, 1st Lien

4.20% (LIBOR plus 3.25%)

02/17/24

598,500

600,185

Ziggo Secured Finance, Term Loan E, 1st Lien

3.41% (LIBOR plus 2.50%)

04/27/25

1,250,000

1,250,581

22,089,831

Consumer Discretionary — 4.05%

CityCenter Holdings LLC, Term Loan B, 1st Lien

3.73% (LIBOR plus 2.75%)

10/16/20

602,499

609,403

Constellation Brands, Inc., Term Loan B, 1st Lien

4.89% (LIBOR plus 3.75%)

12/15/23

1,995,000

2,019,319

Hanesbrands, Inc., Term Loan B, 1st Lien

3.48% (LIBOR plus 2.50%)

04/29/22

374,853

378,508

Hilton Worldwide Finance LLC, Term Loan B2, 1st Lien

2.98% (LIBOR plus 2.00%)

10/25/23

685,308

691,421

KFC Holding Co., Term Loan B, 1st Lien

2.98% (LIBOR plus 2.00%)

06/16/23

1,492,500

1,501,985

La Quinta Intermediate Holdings LLC, Term Loan B, 1st Lien

3.77% (LIBOR plus 2.75%)

04/14/21

1,403,388

1,413,177

Nielsen Finance LLC, Term Loan, B3, 1st Lien

3.35% (LIBOR plus 2.50%)

10/04/23

1,246,875

1,256,339

Reynolds Group Holdings, Inc., Term Loan, 1st Lien

3.98% (LIBOR plus 3.00%)

02/05/23

1,492,509

1,500,054

9,370,206

Consumer Products — 0.86%

Hoffmaster Group, Inc., Term Loan, 1st Lien

5.50% (LIBOR plus 4.50%)

11/23/23

997,500

1,011,216

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Products (continued)

Prestige Brands, Inc., Term Loan B4, 1st Lien

3.73% (LIBOR plus 2.75%)

01/26/24

968,465

978,857

1,990,073

Consumer Staples — 0.85%

Candy Intermediate Holdings, Inc., Term Loan B, 1st Lien

5.65% (LIBOR plus 4.50%)

06/15/23

992,500

972,650

Hostess Brands LLC, Term Loan, 1st Lien

4.00% (LIBOR plus 3.00%)

08/03/22

^2,3

987,525

998,511

1,971,161

Electric — 3.98%

Calpine Corp., Term Loan B8, 1st Lien

2.74% (LIBOR plus 1.75%)

12/31/19

250,000

250,156

Chief Power Finance LLC, Term Loan B, 1st Lien

5.75% (LIBOR plus 4.75%)

12/31/20

^2,3

977,500

792,264

Energy Future Intermediate Holding Co. LLC, Term Loan, 1st Lien (DIP)

4.30% (LIBOR plus 3.25%)

06/30/17

1,000,000

1,000,415

ExGen Texas Power LLC, Term Loan B, 1st Lien

5.90% (LIBOR plus 4.75%)

09/18/21

^2,3

969,661

641,188

GIM Channelview Cogeneration LLC, Term Loan B, 1st Lien

4.25% (LIBOR plus 3.25%)

05/08/20

1,124,186

1,074,536

Lightstone Generation LLC, Term Loan B, 1st Lien

5.54% (LIBOR plus 4.50%)

01/30/24

469,837

473,419

Lightstone Generation LLC, Term Loan C, 1st Lien

5.54% (LIBOR plus 4.50%)

01/30/24

28,986

29,207

Moxie Liberty (Panda), Term Loan, 1st Lien

7.65% (LIBOR plus 6.50%)

08/21/20

1,588,367

1,568,512

Panda Power Funds, Term Loan B1, 1st Lien

6.90% (LIBOR plus 5.75%)

12/19/20

^2,3

976,387

959,300

Vistra Operations Co. LLC, Term Loan B, 1st Lien

3.73% (LIBOR plus 2.75%)

08/04/23

1,218,375

1,217,486

Vistra Operations Co. LLC, Term Loan C, 1st Lien

3.73% (LIBOR plus 2.75%)

08/04/23

278,571

278,368

Viva Alamo LLC, Term Loan B, 1st Lien

5.30% (LIBOR plus 4.25%)

02/20/21

^2,3

954,320

911,375

9,196,226

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Energy — 1.64%

Contura Energy, Inc., Term Loan, 1st Lien

6.00% (LIBOR plus 5.00%)

03/17/24

500,000

497,500

EMG Utica LLC, Term Loan B, 1st Lien

4.90% (LIBOR plus 3.75%)

03/27/20

^2,3

674,558

678,774

Harvey Gulf International Marine LLC, Term Loan B, 1st Lien

5.64% (LIBOR plus 4.50%)

06/18/20

^2,3

735,928

524,960

Pike Corp., Term Loan, 2nd Lien

9.00% (LIBOR plus 8.00%)

09/10/24

1,000,000

1,017,500

Power Buyer LLC, Term Loan, 1st Lien

4.40% (LIBOR plus 3.25%)

05/06/20

1,074,750

1,077,775

3,796,509

Entertainment — 1.08%

AMC Entertainment Holdings, Inc., Term Loan B, 1st Lien

3.73% (LIBOR plus 2.75%)

12/15/23

1,000,000

1,010,160

AMC Entertainment, Inc., Term Loan B, 1st Lien

3.66% (LIBOR plus 2.75%)

12/15/22

482,613

487,490

Regal Cinemas Corp., Term Loan, 1st Lien

3.48% (LIBOR plus 2.50%)

04/01/22

995,006

1,005,892

2,503,542

Finance — 8.12%

Admi Corp., Term Loan B, 1st Lien

4.75% (LIBOR plus 3.75%)

04/30/22

1,000,000

1,010,630

Arnhold and S Bleichroeder Holdings, Inc., Term Loan B, 1st Lien

5.15% (LIBOR plus 4.00%)

12/01/22

987,500

991,820

Aruba Investments, Inc., Term Loan B, 1st Lien

4.65% (LIBOR plus 3.50%)

02/02/22

409,377

410,994

Assured Partners, Inc., Term Loan, 1st Lien

5.25% (LIBOR plus 4.25%)

10/21/22

493,775

498,342

Auris Luxembourg III SARL, Term Loan B, 1st Lien (Luxembourg)

4.15% (LIBOR plus 3.00%)

01/17/22

^2,4

1,460,072

1,475,133

Black Knight InfoServ LLC, Term Loan B, 1st Lien

3.25% (LIBOR plus 2.25%)

05/27/22

982,500

987,722

Camelot Finance LP, Term Loan B, 1st Lien

4.75% (LIBOR plus 3.75%)

10/03/23

995,000

998,114

CBAC Borrower LLC, Term Loan B, 1st Lien

8.25% (LIBOR plus 7.00%)

07/02/20

1,982,462

1,989,896

Delos Finance SARL, Term Loan B, 1st Lien

3.40% (LIBOR plus 2.25%)

10/06/23

2,000,000

2,025,000

Fly Funding II SARL, Term Loan, 1st Lien

3.79% (LIBOR plus 2.75%)

08/09/19

893,333

898,358

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Finance (continued)

GTCR Valor Cos., Inc., Term Loan B, 1st Lien

7.15% (LIBOR plus 6.00%)

06/16/23

992,500

999,195

Helix Gen Funding LLC, Term Loan B, 1st Lien

4.75% (LIBOR plus 3.75%)

03/10/24

1,000,000

1,015,940

Midas Intermediate Holdco II LLC, Term Loan B, 1st Lien

3.90% (LIBOR plus 2.75%)

08/18/21

1,485,520

1,498,519

Telenet Financing LLC, Term Loan, 1st Lien

3.91% (LIBOR plus 3.00%)

01/31/25

2,000,000

2,006,130

WideOpenWest Finance LLC, Term Loan B, 1st Lien

4.55% (LIBOR plus 3.50%)

08/19/23

1,960,768

1,973,562

18,779,355

Food — 1.58%

Chobani LLC, Term Loan B, 1st Lien

5.25% (LIBOR plus 4.25%)

10/07/23

997,500

1,008,722

Del Monte Foods, Inc., Term Loan, 1st Lien

4.31% (LIBOR plus 3.25%)

02/18/21

485,000

403,358

Dole Food Co., Inc., Term Loan B, 1st Lien

6.50% (PRIME plus 2.50%)

11/01/18

27,626

27,687

4.50% (LIBOR plus 3.50%)

11/01/18

705,356

706,897

Hearthside Group Holdings LLC, Term Loan B, 1st Lien

1.00% (LIBOR plus 3.00%)

06/02/21

494,911

499,860

Pinnacle Foods LLC, Term Loan B, 1st Lien

2.81% (LIBOR plus 2.00%)

02/03/24

997,500

1,002,996

3,649,520

Gaming — 7.48%

Affinity Gaming, Term Loan, 1st Lien

4.52% (LIBOR plus 3.50%)

07/01/23

496,250

499,766

Amaya, Inc., Term Loan B, 1st Lien (Canada)

4.65% (LIBOR plus 3.50%)

08/01/21

^2,4

997,462

1,001,621

American Casino & Entertainment Properties LLC, Term Loan

4.25% (LIBOR plus 3.25%)

07/07/22

762,161

768,830

Boyd Gaming Corp., Term Loan B, 1st Lien

3.44% (LIBOR plus 2.50%)

09/15/23

1,527,500

1,538,597

Caesers Entertainment Resort Properties LLC, Term Loan B, 1st Lien

7.00% (LIBOR plus 6.00%)

10/11/20

1,241,660

1,250,979

Gateway Casinos & Entertainment Ltd., Term Loan B1, 1st Lien

4.80% (LIBOR plus 3.75%)

02/22/23

1,000,000

1,012,290

Golden Nugget, Inc., Delayed-Draw Term Loan, 1st Lien

4.50% (LIBOR plus 3.50%)

11/21/19

392,669

399,051

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Gaming (continued)

Golden Nugget, Inc., Term Loan B, 1st Lien

4.54% (LIBOR plus 3.50%)

11/21/19

916,227

931,120

Greektown Superholdings, Inc., Term Loan B, 1st Lien

3.75% (LIBOR plus 3.00%)

03/21/24

2,000,000

2,003,130

Las Vegas Sands LLC, Term Loan, 1st Lien

2.98% (LIBOR plus 2.00%)

03/24/24

1,965,075

1,968,760

MotorCity Casino, Term Loan B, 1st Lien

4.23% (LIBOR plus 3.25%)

08/09/21

1,320,741

1,330,917

Penn National Gaming, Inc., Term Loan B, 1st Lien

3.52% (LIBOR plus 2.50%)

01/19/24

2,000,000

2,016,000

Pinnacle Entertainment, Inc., Term Loan B, 1st Lien

3.99% (LIBOR plus 3.00%)

04/28/23

121,667

123,264

Station Casinos LLC, Term Loan B, 1st Lien

3.45% (LIBOR plus 2.50%)

06/08/23

1,488,750

1,492,383

Tropicana Entertainment, Inc., Term Loan, 1st Lien

4.00% (LIBOR plus 3.00%)

11/27/20

965,000

971,340

17,308,048

Health Care — 10.35%

Acadia Healthcare Co., Inc., Term Loan B, 1st Lien

3.98% (LIBOR plus 3.00%)

02/11/22

977,500

984,831

Acadia Healthcare Co., Inc., Term Loan B2, 1st Lien

3.98% (LIBOR plus 3.00%)

02/16/23

296,250

298,287

American Renal Holdings, Inc., Term Loan B, 1st Lien

4.75% (LIBOR plus 3.50%)

09/22/19

1,490,683

1,494,104

BCPE Eagle Holdings, Inc., Term Loan, 1st Lien

5.25% (LIBOR plus 4.25%)

03/16/24

1,250,000

1,251,563

Change Healthcare Holdings LLC, Term Loan B, 1st Lien

3.75% (LIBOR plus 2.75%)

03/01/24

1,000,000

1,002,815

CHS/Community Health Systems, Inc., Term Loan G, 1st Lien

3.80% (LIBOR plus 2.75%)

12/31/19

331,971

330,388

CHS/Community Health Systems, Inc., Term Loan H, 1st Lien

4.05% (LIBOR plus 3.00%)

01/27/21

339,579

335,526

DaVita Healthcare Partners, Inc., Term Loan B, 1st Lien

3.73% (LIBOR plus 2.75%)

06/24/21

972,500

985,366

Endo Luxembourg Finance I Co. SARL, Term Loan B, 1st Lien (Luxembourg)

4.00% (LIBOR plus 3.00%)

09/25/22

^2,4

740,006

740,313

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Fisher Scientific International, Inc.,

Term Loan, 1st Lien

4.15% (LIBOR plus 3.00%)

11/30/23

997,500

1,009,580

Genoa Healthcare LLC, Term Loan, 1st Lien

4.90% (LIBOR plus 3.75%)

10/28/23

1,990,623

2,004,727

Goldcup Merger Sub, Inc., Term Loan B,

1st Lien

6.03% (LIBOR plus 5.00%)

05/03/23

496,250

502,920

Greatbatch Ltd., Term Loan B, 1st Lien

4.50% (LIBOR plus 3.50%)

10/27/22

2,104,544

2,107,501

Halyard Health, Inc., Term Loan B, 1st Lien

3.73% (LIBOR plus 2.75%)

11/01/21

591,121

597,404

HCA, Inc., Term Loan B9, 1st Lien

2.98% (LIBOR plus 2.00%)

03/18/23

755,711

760,226

Inventiv Health, Inc., Term Loan B, 1st Lien

4.80% (LIBOR plus 3.75%)

11/09/23

1,995,000

2,005,803

Millennium Health Holdco, Inc.,

Term Loan, 1st Lien

7.50% (LIBOR plus 6.50%)

12/21/20

1,689,467

873,598

Multiplan Corp., Term Loan B, 1st Lien

4.90% (LIBOR plus 3.75%)

06/07/23

1,368,156

1,387,453

NMSC Holdings, Inc., Term Loan B, 1st Lien

6.15% (LIBOR plus 5.00%)

04/19/23

677,338

Prospect Medical Holdings, Inc.,

Term Loan B, 1st Lien

7.06% (LIBOR plus 6.00%)

06/30/22

^2,3

994,994

1,009,297

Sterigenics-Nordion Holdings LLC,

Term Loan B, 1st Lien

4.40% (LIBOR plus 3.25%)

05/15/22

950,196

953,165

Surgery Center Holdings, Inc.,

Term Loan, 1st Lien

4.75% (LIBOR plus 3.75%)

11/03/20

488,754

495,017

Valeant Pharmaceuticals International, Inc.,

Term Loan BF1, 1st Lien (Canada)

5.57% (LIBOR plus 4.75%)

04/01/22

^2,4

2,132,071

2,140,471

23,947,693

Industrials — 13.76%

Abacus Innovations Corp.,

Term Loan B, 1st Lien

3.25% (LIBOR plus 2.25%)

08/16/23

748,125

755,980

B/E Aerospace, Inc., Term Loan B, 1st Lien

4.00% (LIBOR plus 3.00%)

12/16/21

1,438,182

1,439,980

Berlin Packaging LLC, Term Loan, 1st Lien

4.50% (LIBOR plus 3.50%)

10/01/21

994,929

1,002,033

Berry Plastics Corp., Term Loan J, 1st Lien

3.52% (LIBOR plus 2.50%)

01/13/24

500,000

503,888

BWAY Holding Co., Term Loan B, 1st Lien

4.75% (LIBOR plus 3.75%)

08/14/23

761,051

760,693

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Casella Waste Systems, Inc., Term Loan B,

1st Lien

4.00% (LIBOR plus 3.00%)

10/17/23

498,750

503,114

Consolidated Container Co. LLC,

Term Loan B, 1st Lien

5.00% (LIBOR plus 3.75%)

07/03/19

^2,3

231,993

232,283

Consolidated Container Co. LLC,

Term Loan B, 2nd Lien

7.75% (LIBOR plus 6.50%)

01/03/20

^2,3

1,000,000

992,500

CPI Holdco LLC, Term Loan, 1st Lien

5.15% (LIBOR plus 4.00%)

03/21/24

1,000,000

1,008,125

DigitalGlobe, Term Loan B, 1st Lien

3.73% (LIBOR plus 2.75%)

01/15/24

1,995,000

2,005,294

Exopac, Term Loan B, 1st Lien

4.65% (LIBOR plus 3.50%)

05/08/19

497,429

497,842

Filtration Group, Inc., Term Loan B, 1st Lien

4.30% (LIBOR plus 3.25%)

11/21/20

^2,3

1,723,728

1,739,354

Husky Injection Molding Systems Ltd.,

Term Loan B, 1st Lien

4.25% (LIBOR plus 3.25%)

06/30/21

938,776

944,469

Infiltrator Systems Integrated LLC,

Term Loan, 1st Lien

4.65% (LIBOR plus 3.50%)

05/27/22

983,232

995,523

Jason, Inc., Term Loan, 1st Lien

7.50% (PRIME plus

3.50%)

06/30/21

1,571

1,391

5.65% (LIBOR plus 4.50%)

06/30/21

245,891

217,736

Jazz Acquisition, Inc., Term Loan, 2nd Lien

7.90% (LIBOR plus 6.75%)

06/19/22

^2,3

150,000

133,875

Johnson Controls International PLC,

Senior Term Loan

2.81% (LIBOR plus 1.75%)

09/10/19

^2,3

1,500,000

1,498,597

Macdermid, Inc., Term Loan B4, 1st Lien

5.00% (LIBOR plus 4.00%)

06/07/23

997,494

1,002,172

Mauser Holding GMBH, Term Loan, 1st Lien

4.50% (LIBOR plus 3.50%)

07/31/21

1,268,970

1,274,046

Multi Packaging Solutions, Inc.

4.25% (LIBOR plus 3.25%)

09/30/20

377,706

378,178

Multi Packaging Solutions, Inc., Term Loan,

1st Lien

4.25% (LIBOR plus 3.25%)

09/30/20

753,553

754,495

Munters Corp., Term Loan B, 1st Lien

6.27% (LIBOR plus 5.25%)

05/05/21

736,742

742,268

OSG Bulk Ships, Inc.,

Term Loan B-Exit, 1st Lien

5.29% (LIBOR plus 4.25%)

08/05/19

793,985

789,022

OSG International, Inc.,

Term Loan B-Exit, 1st Lien

5.79% (LIBOR plus 4.75%)

08/05/19

996,640

997,268

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Penn Engineering & Manufacturing Corp.,

Term Loan, 1st Lien

4.04% (LIBOR plus 3.00%)

08/29/21

487,500

488,719

PGT, Inc., Term Loan B, 1st Lien

5.75% (LIBOR plus 4.75%)

02/16/22

488,843

494,037

Platform Specialty Products Corp., Term

Loan B5, 1st Lien

4.50% (LIBOR plus 3.50%)

06/07/20

59,141

59,854

Ply Gem Industries, Inc., Term Loan, 1st Lien

4.15% (LIBOR plus 3.00%)

01/30/21

^2,3

298,953

300,137

PLZ Aeroscience Corp., Term Loan, 1st Lien

4.63% (LIBOR plus 3.50%)

07/31/22

1,232,281

1,243,064

PrimeLine Utility Services LLC, Term Loan B,

1st Lien

6.52% (LIBOR plus 5.50%)

11/12/22

1,488,609

1,506,293

ProAmpac LLC, Term Loan, 1st Lien

5.06% (LIBOR plus 4.00%)

10/18/23

1,496,250

1,512,709

SIG Combibloc U.S. Acquisition, Inc.,

Term Loan B, 1st Lien

4.00% (LIBOR plus 3.00%)

03/13/22

1,200,116

1,210,695

Synagro Infrastructure, Term Loan, 1st Lien

6.40% (LIBOR plus 5.25%)

08/22/20

^2,3

673,372

621,186

TransDigm, Inc., Term Loan F, 1st Lien

3.98% (LIBOR plus 3.00%)

06/09/23

491,263

489,956

TricorBraun, Inc.,

Term Loan, 1st Lien

4.90% (LIBOR plus 3.75%)

10/30/23

^2,5

1,360,227

1,375,530

USIC Holdings, Inc., Term Loan, 1st Lien

5.17% (LIBOR plus 3.75%)

12/09/23

997,500

1,005,605

Zebra Technologies Corp.,

Term Loan B, 1st Lien

3.60% (LIBOR plus 2.50%)

10/27/21

^2,3

357,500

360,852

31,838,763

Information Technology — 6.14%

Aclara Technologies LLC, Term Loan B, 1st Lien

6.80% (LIBOR plus 5.75%)

08/29/23

^2,3

1,492,500

1,522,350

Ciena Corp., Term Loan B, 1st Lien

3.48% (LIBOR plus 2.50%)

01/30/22

201,774

203,792

Dell International LLC,

Term Loan, 1st Lien

3.49% (LIBOR plus 2.50%)

09/07/23

1,496,250

1,504,277

Equinix, Inc., Term Loan B, 1st Lien

3.48% (LIBOR plus 2.50%)

01/09/23

495,000

499,641

First Data Corp., Term Loan, 1st Lien

3.98% (LIBOR plus 3.00%)

03/24/21

655,794

661,533

3.98% (LIBOR plus 3.00%)

07/10/22

279,886

282,335

Oberthur Technologies Group SAS, Term Loan B1, 1st Lien

3.75% (LIBOR plus 3.75%)

12/15/23

^2,6

572,368

577,377

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

ON Semiconductor Corp., Term Loan B,

1st Lien

3.23% (LIBOR plus 2.25%)

03/31/23

1,134,692

1,141,313

Optiv Security, Inc., Term Loan, 1st Lien

4.25% (LIBOR plus 3.25%)

02/01/24

500,000

503,440

Sophia LP, Term Loan B, 1st Lien

4.40% (LIBOR plus 3.25%)

09/30/22

1,222,550

1,223,889

SS&C Technologies Holdings SARL,

Term Loan B2, 1st Lien

3.23% (LIBOR plus 2.25%)

07/08/22

84,871

85,410

SS&C Technologies, Inc.,

Term Loan B1, 1st Lien

3.23% (LIBOR plus 2.25%)

07/08/22

992,825

999,135

Synchronoss Technologies, Inc.,

Term Loan B, 1st Lien

4.08% (LIBOR plus 2.75%)

01/19/24

2,000,000

1,993,500

TierPoint LLC, Term Loan B, 1st Lien

5.25% (LIBOR plus 4.25%)

12/02/21

496,193

497,743

5.50% (LIBOR plus 4.50%)

12/02/21

987,500

992,847

Zayo Group LLC, Term Loan B2, 1st Lien

3.50% (LIBOR plus 2.50%)

01/19/24

1,500,000

1,509,270

14,197,852

Insurance — 0.81%

Alliant Holdings I LLC, Term Loan B, 1st Lien

4.39% (LIBOR plus 3.25%)

08/12/22

639,120

643,287

Hyperion Insurance Group Ltd.,

Term Loan B, 1st Lien

5.50% (LIBOR plus 4.50%)

04/29/22

1,226,231

1,233,386

1,876,673

Materials — 0.83%

Dubois Chemicals, Inc., Term Loan, 1st Lien

4.88% (LIBOR plus 3.75%)

03/15/24

^2,7

1,400,000

1,413,419

Quikrete Holdings, Inc., Term Loan, 1st Lien

4.23% (LIBOR plus 3.25%)

11/15/23

498,750

504,004

1,917,423

Real Estate Investment Trust (REIT) — 1.40%

DTZ U.S. Borrower LLC,

Term Loan B, 1st Lien

4.29% (LIBOR plus 3.25%)

11/04/21

1,234,934

1,244,004

MGM Growth Properties Operating

Partnership, Term Loan B, 1st Lien

3.48% (LIBOR plus 2.50%)

04/25/23

1,983,731

1,996,129

3,240,133

Services — 6.63%

Alix Partners LP, Term Loan B, 1st Lien

4.00% (LIBOR plus 3.00%)

07/28/22

979,478

984,115

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Services (continued)

ESH Hospitality, Inc., Term Loan B, 1st Lien

3.48% (LIBOR plus 2.50%)

08/30/23

1,492,509

1,502,024

Global Payments, Inc., Term Loan B, 1st Lien

3.48% (LIBOR plus 2.50%)

04/22/23

258,218

260,236

Mister Car Wash Holdings, Inc.,

Delayed Draw Term Loan, 1st Lien

5.27% (LIBOR plus 4.25%)

08/21/21

249,361

251,854

Mister Car Wash Holdings, Inc., Term Loan, 1st Lien

5.25% (LIBOR plus 4.25%)

08/21/21

1,243,608

1,256,044

NEP/NCP Holdco, Term Loan B, 1st Lien

4.25% (LIBOR plus 3.25%)

01/22/20

1,231,060

1,234,390

PODS Enterprises LLC, Term Loan B2, 1st Lien

4.25% (LIBOR plus 3.25%)

02/02/22

1,481,738

1,496,555

Prime Security Services Borrower LLC, Term Loan, 1st Lien

4.25% (LIBOR plus 3.25%)

05/02/22

1,139,282

1,152,333

Research Now Group, Inc., Term Loan B, 1st Lien

7.50% (PRIME plus 3.50%)

03/18/21

^2,3

1,875

1,849

5.65% (LIBOR plus 4.50%)

03/18/21

^2,3

735,000

724,894

SRS Distribution, Inc., Term Loan, 1st Lien

5.29% (LIBOR plus 4.25%)

08/25/22

493,750

501,260

St. George’s University LLC, Term Loan B, 1st Lien

6.40% (LIBOR plus 5.25%)

07/06/22

488,589

496,223

TKC Holdings, Inc., Term Loan, 1st Lien

4.75% (LIBOR plus 3.75%)

02/01/23

2,000,000

2,022,920

VGD Merger Sub LLC, Term Loan B, 1st Lien

4.25% (LIBOR plus 3.25%)

08/18/23

1,492,500

1,502,492

Wash Multifamily Laundry Systems LLC, Term Loan B, 1st Lien

4.25% (LIBOR plus 3.25%)

05/14/22

1,254,115

1,256,466

4.25% (LIBOR plus 3.25%)

05/14/22

219,633

220,044

Weight Watchers International, Inc., Term Loan B2, 1st Lien

4.07% (LIBOR plus 3.25%)

04/02/20

498,701

465,907

15,329,606

Transportation — 2.05%

Air Canada, Term Loan B, 1st Lien (Canada)

3.76% (LIBOR plus 2.75%)

10/06/23

^2,4

1,000,000

1,007,505

American Airlines, Inc., Term Loan B, 1st Lien

2.98% (LIBOR plus 2.00%)

06/27/20

970,219

970,689

Avolon SARL, Term Loan B1, 1st Lien (Luxembourg)

3.23% (LIBOR plus 2.25%)

09/16/20

^2,4

1,000,000

1,012,500


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Transportation (continued)
Avolon SARL, Term Loan B2, 1st Lien
(Luxembourg)
3.73% (LIBOR plus 2.75%)		03/20/22	^2,4	$	500,000	$	507,293
Delta Air Lines, Inc., Term Loan B1, 1st Lien
3.35% (LIBOR plus 2.50%)		10/18/18	²		492,288		495,018
Navios Maritime Partners LP, Term Loan B,
1st Lien (Greece)
(LIBOR plus 5.00%)		09/14/20	^2,4		750,000		744,611


							4,737,616

Total Bank Loans
(Cost $189,204,618)							189,414,274


CORPORATES — 7.58%*
Banking — 0.21%
Bank of America N.A. (BKNT)
1.43%		06/15/17	²		500,000		500,094

Communications — 2.21%
Altice U.S. Finance I Corp.
5.50%		05/15/26	⁸		1,000,000		1,030,000
Block Communications, Inc.
6.88%		02/15/25	⁸		500,000		530,625
CSC Holdings LLC
6.75%		11/15/21			1,000,000		1,086,875
DISH DBS Corp.
4.25%		04/01/18			1,000,000		1,019,070
Sprint Communications, Inc.
9.00%		11/15/18	⁸		400,000		434,520
Verizon Communications, Inc.
2.87%		09/14/18	²		1,000,000		1,021,561


							5,122,651

Consumer Discretionary — 0.67%
Churchill Downs, Inc.
5.38%		12/15/21			1,000,000		1,045,000
High Ridge Brands Co.
8.88%		03/15/25	⁸		500,000		511,250


							1,556,250

Finance — 1.39%
Citigroup, Inc.
1.60%		08/25/36	²		1,800,000		1,456,999
General Electric Corp. (MTN)
1.52%		08/15/36	²		850,000		749,291
Goldman Sachs Group, Inc. (MTN) (The)
3.85%		07/08/24			980,000		1,004,335


							3,210,625


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food — 0.88%
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	⁸	$	1,000,000	$	1,028,750
Dole Food Co., Inc.
7.25%		06/15/25	⁸		1,000,000		1,002,500


							2,031,250

Health Care — 0.53%
Actavis Funding SCS (Luxembourg)
2.20%		03/12/18	^2,4		700,000		704,822
Valeant Pharmaceuticals International, Inc.
(Canada)
7.00%		03/15/24	^4,8		500,000		514,400


							1,219,222

Industrials — 1.13%
Ardagh Packaging Finance PLC/Ardagh
Holdings USA, Inc. (Ireland)
4.29%		05/15/21	^2,4,8		1,000,000		1,028,750
Sealed Air Corp.
5.25%		04/01/23	⁸		1,500,000		1,582,500


							2,611,250

Real Estate Investment Trust (REIT) — 0.23%
DuPont Fabros Technology LP
5.88%		09/15/21			500,000		523,750

Transportation — 0.33%
American Airlines Pass-Through Trust,
Series 2013-2, Class B
5.60%		07/15/20	⁸		744,961		773,865

Total Corporates
(Cost $17,183,145)							17,548,957

MUNICIPAL BONDS — 0.20%*
California — 0.20%
State of California, Build America Bonds
7.95%		03/01/36			400,000		461,796

Total Municipal Bonds
(Cost $455,705)

Total Bonds – 89.66%
(Cost $206,843,468)							207,425,027


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 12.20%
Money Market Funds — 2.13%
Dreyfus Government Cash Management
Fund
0.66%⁹			$	4,930,000	$	4,930,000

U.S. Agency Discount Notes — 1.30%
Federal Home Loan Bank
0.50%¹⁰		04/13/17		3,000,000		2,999,433

U.S. Treasury Bills — 8.77%
U.S. Treasury Bills
0.49%¹⁰		05/04/17		1,000,000		999,410
0.63%¹⁰		04/20/17		7,200,000		7,197,545
0.68%¹⁰		04/27/17		12,100,000		12,094,156


						20,291,111

Total Short-Term Investments
(Cost $28,221,067)						28,220,544

Total Investments – 101.86%
(Cost $235,064,535)¹						235,645,571

Net unrealized appreciation on unfunded commitments (0.00)%						13,823

Liabilities in Excess of Other
Assets – (1.86%)						(4,311,431	)


Net Assets – 100.00%					$	231,347,963


	Currency Purchased			Currency Sold		Unrealized (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 04/17/17 at 111.35
Counterparty: JPMorgan Securities LLC
USD	$	5,188,227	JPY		590,000,000	$	(110,241	)
Forward currency contract to buy Japanese Yen on 04/17/17 at 111.35
Counterparty: Citigroup Global Markets, Inc.
JPY		590,000,000	USD	$	5,354,388		(55,920	)
Forward currency contract to buy Japanese Yen on 06/19/17 at 111.08
Counterparty: Citigroup Global Markets, Inc.
JPY		350,000,000	USD	$	3,184,076		(33,128	)
Forward currency contract to sell Japanese Yen on 06/19/17 at 111.08
Counterparty: Bank of America
USD	$	3,100,638	JPY		350,000,000		(50,310)
Net unrealized (depreciation)						$	(249,599	)

Notes:

¹	Cost for federal income tax purposes is $235,065,149 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	2,194,031
Gross unrealized (depreciation)		(1,613,609	)

Net unrealized appreciation	$	580,422

²	Floating rate security. The rate disclosed was in effect at March 31, 2017.

³	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $14,643,546, which is 6.33% of total net assets.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $137,898, at an interest rate of LIBOR plus 1.88% and a maturity of October 31, 2023. The investment is accruing an unused commitment fee of 1.00% per annum.

⁶	Excluded from the investment total above is an unfunded 1st Lien term loan commitment in an amount not to exceed $935,748, at an interest rate of LIBOR plus 1.88% and a maturity of December 15, 2023. The investment is accruing an unused commitment fee of 0.50% per annum.

⁷	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $353,355, at an interest rate of LIBOR plus 1.00% and a maturity of March 15, 2024. The investment is accruing an unused commitment fee of 0.50% per annum.

⁸	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁹	Represents the current yield as of March 31, 2017.

¹⁰	Represents annualized yield at date of purchase.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.

(BKNT): Banker’s Note, Inc.

(DIP): Defaulted interest payment

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(USD): U.S. dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 89.50%

BANK LOANS — 5.59%*

Communications — 0.44%

Colorado Buyer, Inc., Term Loan, 1st Lien

4.00% (LIBOR plus 3.00%)

03/15/24

930,000

936,859

Colorado Buyer, Inc., Term Loan, 2nd Lien

8.25% (LIBOR plus 7.25)

03/15/25

480,000

483,600

GTT Communications, Inc., Term Loan, 1st Lien

5.00% (LIBOR plus 4.00%)

01/09/24

922,688

936,722

NEP/NCP Holdco, Term Loan B, 1st Lien

10.00% (LIBOR plus 8.75%)

07/22/20

^2,3

1,451,250

1,473,018

3,830,199

Consumer Discretionary — 0.82%

CityCenter Holdings LLC, Term Loan B, 1st Lien

3.73% (LIBOR plus 2.75%)

10/16/20

2,984,377

3,018,578

Nature’s Bounty Co., Term Loan B, 1st Lien

4.65% (LIBOR plus 3.50%)

05/05/23

1,855,998

1,871,078

Reynolds Group Holdings, Inc., Term Loan, 1st Lien

3.98% (LIBOR plus 3.00%)

02/05/23

2,288,514

2,300,083

7,189,739

Electric — 0.58%

Homer City Generation LP, Term Loan B, 1st Lien

12.00% (LIBOR plus 11.00%)

02/08/23

^2,3

2,630,000

2,445,900

Vistra Operations Co. LLC, Term Loan B, 1st Lien

3.73% (LIBOR plus 2.75%)

08/04/23

2,184,953

2,183,357

Vistra Operations Co. LLC, Term Loan C, 1st Lien

3.73% (LIBOR plus 2.75%)

08/04/23

499,571

499,207

5,128,464

Energy — 1.03%

Drillships Financing Holding, Term Loan B1, 1st Lien⁴

6.06% (LIBOR plus 5.00%)

03/31/21

^2,5

1,809,927

1,301,337

Harvey Gulf International Marine LLC, Term Loan B, 1st Lien

5.64% (LIBOR plus 4.50%)

06/18/20

^2,3

3,714,529

2,649,685

Pacific Drilling SA, Term Loan B, 1st Lien

4.63% (LIBOR plus 3.50%)

06/03/18

964,912

449,890

Power Buyer LLC, Term Loan, 1st Lien

4.40% (LIBOR plus 3.25%)

05/06/20

451,153

452,423

Power Buyer LLC, Term Loan, 2nd Lien

8.40% (LIBOR plus 7.25%)

11/06/20

^2,3

4,150,000

9,003,335

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care — 0.11%

BCPE Eagle Holdings, Inc., Term Loan, 1st Lien

5.25% (LIBOR plus 4.25%)

03/16/24

465,000

465,581

BCPE Eagle Holdings, Inc., Term Loan, 2nd Lien

9.07% (LIBOR plus 8.00%)

03/16/25

465,000

467,616

933,197

Industrials — 0.29%

Synagro Infrastructure, Term Loan, 1st Lien

6.40% (LIBOR plus 5.25%)

08/22/20

^2,3

2,813,605

2,595,550

Information Technology — 0.25%

First Data Corp., Term Loan, 1st Lien

3.98% (LIBOR plus 3.00%)

03/24/21

2,213,589

2,232,958

Retail — 0.80%

Family Tree Escrow LLC, Term Loan B2, 1st Lien

4.25%

07/06/22

6,900,000

6,977,625

Services — 0.73%

Mister Car Wash Holdings, Inc., Delayed Draw Term Loan, 1st Lien

5.27% (LIBOR plus 4.25%)

08/21/21

308,376

311,460

Mister Car Wash Holdings, Inc., Term Loan, 1st Lien

5.25% (LIBOR plus 4.25%)

08/21/21

1,537,928

1,553,308

NEP/NCP Holdco, Term Loan B, 1st Lien

4.25% (LIBOR plus 3.25%)

01/22/20

3,498,023

3,507,485

VGD Merger Sub LLC, Term Loan B, 1st Lien

4.25% (LIBOR plus 3.25%)

08/18/23

995,000

1,001,662

6,373,915

Transportation — 0.54%

Avolon SARL, Term Loan B2, 1st Lien (Luxembourg)

3.73% (LIBOR plus 2.75%)

03/20/22

^2,6

4,640,000

4,707,674

Total Bank Loans

(Cost $50,792,890)

48,972,656

CORPORATES — 80.78%*

Automotive — 1.67%

Goodyear Tire & Rubber Co. (The)

4.88%

03/15/27

1,800,000

1,804,500

7.00%

05/15/22

8,484,000

8,839,480

Tenneco, Inc.

5.00%

07/15/26

4,105,000

4,030,576

14,674,556

Banking — 1.56%

Ally Financial, Inc.

3.25%

11/05/18

3,845,000

3,876,433


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
4.75%		09/10/18		$	4,530,000	$	4,665,900
JPMorgan Chase & Co.
6.00%		01/15/18			5,000,000		5,169,375


							13,711,708

Commercial Services — 2.03%
IHS Markit Ltd. (United Kingdom)
5.00%		11/01/22	^6,7		2,943,000		3,097,507
Nielsen Co. Luxembourg SARL (The) (Luxembourg)
5.00%		02/01/25	^6,7		2,750,000		2,746,563
Ritchie Bros Auctioneers, Inc. (Canada)
5.38%		01/15/25	^6,7		5,106,000		5,233,650
Service Corp. International/U.S.
4.50%		11/15/20			2,935,000		2,990,031
5.38%		01/15/22			3,580,000		3,709,775


							17,777,526

Communications — 22.75%
Altice Financing SA (Luxembourg)
7.50%		05/15/26	^6,7		1,600,000		1,704,000
Altice U.S. Finance I Corp.
5.38%		07/15/23	⁷		6,700,000		6,934,500
AMC Networks, Inc.
5.00%		04/01/24			1,400,000		1,403,500
AT&T, Inc.
5.45%		03/01/47			9,000,000		9,192,643
Block Communications, Inc.
6.88%		02/15/25	⁷		4,175,000		4,430,719
Cable One, Inc.
5.75%		06/15/22	⁷		4,300,000		4,482,750
CCO Holdings LLC/CCO Holdings Capital Corp.
5.13%		05/01/27	⁷		8,550,000		8,603,373
5.25%		03/15/21			3,460,000		3,557,313
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.13%		12/15/21	⁷		575,000		585,781
5.13%		12/15/21	^3,7		500,000		510,000
CSC Holdings LLC
5.50%		04/15/27	⁷		5,525,000		5,628,870
8.63%		02/15/19			3,076,000		3,383,600
10.88%		10/15/25	⁷		2,530,000		3,048,650
DISH DBS Corp.
4.63%		07/15/17			2,823,000		2,844,173
5.13%		05/01/20			247,000		258,115
7.88%		09/01/19			7,525,000		8,333,937
Frontier Communications Corp.
8.50%		04/15/20			1,855,000		1,963,332
8.88%		09/15/20			2,326,000		2,453,930


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
10.50%		09/15/22		$	1,955,000	$	1,989,213
GTT Communications, Inc.
7.88%		12/31/24	⁷		3,348,000		3,496,567
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	⁶		6,195,000		5,141,850
7.25%		04/01/19	⁶		2,085,000		1,996,492
Lamar Media Corp.
5.75%		02/01/26			1,700,000		1,826,437
Midcontinent Communications & Midcontinent Finance Corp.
6.88%		08/15/23	⁷		2,500,000		2,673,437
Numericable-SFR SA (France)
7.38%		05/01/26	^6,7		4,080,000		4,217,700
Qwest Corp.
6.50%		06/01/17			12,080,000		12,170,697
6.75%		12/01/21			505,000		553,922
Sinclair Television Group, Inc.
5.38%		04/01/21			5,350,000		5,483,750
Sirius XM Radio, Inc.
4.25%		05/15/20	⁷		760,000		767,600
5.75%		08/01/21	⁷		12,344,000		12,840,962
Softbank Group Corp. (Japan)
4.50%		04/15/20	^6,7		4,455,000		4,588,650
Sprint Communications, Inc.
9.00%		11/15/18	⁷		19,615,000		21,307,775
9.25%		04/15/22			2,000,000		2,395,000
Sprint Corp.
7.88%		09/15/23			2,157,000		2,391,682
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	⁷		9,572,000		9,548,549
TEGNA, Inc.
5.13%		10/15/19			5,932,000		6,087,715
6.38%		10/15/23			605,000		642,056
T-Mobile USA, Inc.
4.00%		04/15/22			4,000,000		4,075,000
6.13%		01/15/22			100,000		105,875
6.54%		04/28/20			4,350,000		4,442,438
6.63%		04/28/21			12,000,000		12,432,000
Univision Communications, Inc.
5.13%		02/15/25	⁷		2,533,000		2,498,298
Virgin Media Secured Finance PLC (United Kingdom)
5.50%		08/15/26	^6,7		3,704,000		3,778,080
Windstream Services LLC
6.38%		08/01/23			995,000		888,038
Ziggo Secured Finance BV (Netherlands)
5.50%		01/15/27	^6,7		1,750,000		1,754,200


							199,413,169


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary — 6.89%
Churchill Downs, Inc.
5.38%		12/15/21		$	7,913,000	$	8,269,085
Constellation Brands, Inc.
6.00%		05/01/22			1,418,000		1,613,612
Cott Holdings, Inc.
5.50%		04/01/25	⁷		1,146,000		1,169,264
DS Services of America, Inc.
10.00%		09/01/21	⁷		5,876,000		6,331,390
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26			3,035,000		3,141,225
High Ridge Brands Co.
8.88%		03/15/25	⁷		2,636,000		2,695,310
Hilton Domestic Operating Co., Inc.
4.25%		09/01/24	⁷		935,000		927,987
KFC Holding Co/Pizza Hut Holdings LLC/ Taco Bell of America LLC
5.00%		06/01/24	⁷		4,540,000		4,647,825
5.25%		06/01/26	⁷		668,000		681,360
MGM Resorts International
8.63%		02/01/19			2,240,000		2,469,600
NCL Corp. Ltd. (Bermuda)
4.63%		11/15/20	^6,7		301,000		307,020
4.75%		12/15/21	^6,7		1,845,000		1,877,287
Nielsen Co. Luxembourg SARL (The) (Luxembourg)
5.50%		10/01/21	^6,7		5,020,000		5,220,800
Nielsen Finance LLC/Nielsen Finance Co.
5.00%		04/15/22	⁷		785,000		804,625
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
4.52%		07/15/21	^2,7		12,500,000		12,820,375
5.75%		10/15/20			6,066,000		6,247,980
RSI Home Products, Inc.
6.50%		03/15/23	⁷		976,000		1,007,720
Spectrum Brands, Inc.
6.63%		11/15/22			155,000		164,106


							60,396,571

Consumer Products — 1.51%
Central Garden & Pet Co.
6.13%		11/15/23			5,375,000		5,710,937
Scotts Miracle-Gro Co. (The)
5.25%		12/15/26	⁷		7,425,000		7,536,375


							13,247,312

Electric — 1.79%
Dynegy, Inc.
5.88%		06/01/23			1,860,000		1,713,618
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	⁷		158,962		158,962


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
GenOn Americas Generation LLC
8.50%		10/01/21	³	$	1,200,000	$	1,122,000
Homer City Generation LP⁴
8.14%		10/01/19	^3,5		8,063,387		3,144,721
8.73%		10/01/26	^3,5		20,640,512		7,946,597
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20	³		396,487		430,188
Red Oak Power LLC, Series A
8.54%		11/30/19			1,167,876		1,173,715


							15,689,801

Energy — 4.71%
Antero Resources Corp.
5.00%		03/01/25	⁷		2,730,000		2,677,175
Chesapeake Energy Corp.
5.75%		03/15/23			1,000,000		915,000
6.63%		08/15/20			500,000		501,875
Concho Resources, Inc.
5.50%		04/01/23			1,806,000		1,878,240
Diamondback Energy, Inc.
5.38%		05/31/25	⁷		3,466,000		3,578,645
EP Energy LLC/EP Energy Finance, Inc.
9.38%		05/01/20			955,000		905,053
Gulfport Energy Corp.
6.38%		05/15/25	⁷		1,118,000		1,102,627
Halcon Resources Corp.
6.75%		02/15/25	⁷		955,000		941,439
Hilcorp Energy I LP/Hilcorp Finance Co.
5.75%		10/01/25	⁷		1,268,000		1,229,960
MEG Energy Corp. (Canada)
6.50%		01/15/25	^6,7		925,000		928,469
7.00%		03/31/24	^6,7		1,250,000		1,125,000
Newfield Exploration Co.
5.38%		01/01/26			2,540,000		2,660,650
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	⁷		1,310,000		1,329,650
6.25%		06/01/24	⁷		2,310,000		2,460,150
PDC Energy, Inc.
6.13%		09/15/24	⁷		1,860,000		1,915,800
QEP Resources, Inc.
5.25%		05/01/23			813,000		801,122
Range Resources Corp.
4.88%		05/15/25			1,604,000		1,543,850
Rice Energy, Inc.
6.25%		05/01/22			1,489,000		1,541,115
Rockies Express Pipeline LLC
5.63%		04/15/20	⁷		2,730,000		2,886,975
6.00%		01/15/19	⁷		2,515,000		2,628,175


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Sunoco LP/Sunoco Finance Corp.
5.50%		08/01/20		$	3,145,000	$	3,184,313
Tesoro Corp.
4.25%		10/01/17			511,000		516,774
Tesoro Logistics LP/Tesoro Logistics Finance Corp.
5.88%		10/01/20			1,476,000		1,523,970
6.13%		10/15/21			932,000		977,435
Walter Energy, Inc.⁴
11.00%		04/01/20	^5,7		15,537,550		20,976
Whiting Petroleum Corp.
5.00%		03/15/19			550,000		551,375
WPX Energy, Inc.
5.25%		09/15/24			465,000		444,075
6.00%		01/15/22			465,000		474,300


							41,244,188

Entertainment — 0.25%
AMC Entertainment Holdings, Inc.
6.13%		05/15/27	⁷		2,136,000		2,162,700

Finance — 3.17%
CIT Group, Inc.
4.25%		08/15/17			1,000,000		1,009,375
5.25%		03/15/18			2,900,000		2,985,187
5.50%		02/15/19	⁷		1,850,000		1,949,437
6.63%		04/01/18	⁷		6,381,000		6,660,169
Citigroup, Inc.
1.60%		08/25/36	²		6,100,000		4,937,608
International Lease Finance Corp.
6.25%		05/15/19			4,000,000		4,312,112
7.13%		09/01/18	⁷		2,892,000		3,094,440
Midas Intermediate Holdco II LLC/ Midas Intermediate Holdco II Finance, Inc.
7.88%		10/01/22	⁷		2,759,000		2,862,463


							27,810,791

Food — 4.23%
B&G Foods, Inc.
4.63%		06/01/21			892,000		903,150
5.25%		04/01/25			6,500,000		6,573,125
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	⁷		13,805,000		14,201,894
Dole Food Co., Inc.
7.25%		06/15/25	⁷		3,285,000		3,293,213
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)
5.63%		08/15/26	^6,7		200,000		201,000
Kraft Heinz Foods Co.
4.88%		02/15/25	⁷		579,000		619,354


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Lamb Weston Holdings, Inc.
4.88%		11/01/26	⁷	$	1,549,000	$	1,579,980
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.
5.88%		01/15/24			75,000		78,563
Post Holdings, Inc.
5.00%		08/15/26	⁷		3,140,000		3,014,400
5.50%		03/01/25	⁷		1,100,000		1,111,000
TreeHouse Foods, Inc.
6.00%		02/15/24	⁷		5,188,000		5,460,370


							37,036,049

Gaming — 0.98%
Boyd Gaming Corp.
6.88%		05/15/23			1,083,000		1,170,994
CCM Merger, Inc.
6.00%		03/15/22	⁷		2,840,000		2,907,450
Eagle II Acquisition Co. LLC
6.00%		04/01/25	⁷		1,400,000		1,445,500
Isle of Capri Casinos, Inc.
5.88%		03/15/21	^†		284,000		292,344
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
6.13%		08/15/21	⁷		2,720,000		2,774,400

							8,590,688

Health Care — 10.74%
Acadia Healthcare Co., Inc.
6.50%		03/01/24			1,453,000		1,532,915
Centene Corp.
4.75%		01/15/25			6,263,000		6,313,918
CHS/Community Health Systems, Inc.
6.25%		03/31/23			2,715,000		2,772,694
Endo Ltd./Endo Finance LLC/ Endo Finco, Inc. (Ireland)
6.00%		02/01/25	^6,7		1,685,000		1,449,100
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	⁷		3,345,000		3,394,506
Fresenius Medical Care U.S. Finance, Inc.
6.88%		07/15/17			2,743,000		2,787,574
Grifols Worldwide Operations Ltd. (Ireland)
5.25%		04/01/22	⁶		1,870,000		1,943,641
HCA, Inc.
4.75%		05/01/23			500,000		522,500
5.00%		03/15/24			2,000,000		2,102,500
6.50%		02/15/20			8,814,000		9,668,077
HealthSouth Corp.
5.75%		11/01/24			2,355,000		2,384,437
Hill-Rom Holdings, Inc.
5.75%		09/01/23	⁷		1,817,000		1,891,951


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Hologic, Inc.
5.25%		07/15/22	⁷	$	1,000,000	$	1,052,500
inVentiv Group Holdings, Inc./inVentiv Health Inc./inVentiv Health Clinical Inc.
7.50%		10/01/24	⁷		2,098,000		2,166,185
Molina Healthcare, Inc.
5.38%		11/15/22			943,000		983,077
Nature’s Bounty Co. (The)
7.63%		05/15/21	⁷		2,892,000		3,051,060
Quintiles IMS, Inc.
4.88%		05/15/23	⁷		3,478,000		3,525,823
Teleflex, Inc.
4.88%		06/01/26			471,000		475,121
Tenet Healthcare Corp.
4.50%		04/01/21			426,000		428,130
4.63%		06/15/20	²		8,789,000		8,876,890
4.75%		06/01/20			3,000,000		3,075,000
Valeant Pharmaceuticals International, Inc. (Canada)
5.63%		12/01/21	^6,7		1,500,000		1,215,000
5.88%		05/15/23	^6,7		8,653,000		6,749,340
6.13%		04/15/25	^6,7		10,445,000		8,094,875
7.00%		03/15/24	^6,7		13,000,000		13,374,400
WellCare Health Plans, Inc.
5.25%		04/01/25			4,172,000		4,279,638


							94,110,852

Home Builders — 0.10%
Shea Homes LP/Shea Homes Funding Corp.
6.13%		04/01/25	⁷		888,000		892,440

Industrials — 7.59%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
4.25%		09/15/22	^6,7		4,580,000		4,643,204
4.29%		05/15/21	^2,6,7		10,050,000		10,338,937
Ball Corp.
4.00%		11/15/23			3,400,000		3,404,250
4.38%		12/15/20			1,000,000		1,050,000
5.25%		07/01/25			1,600,000		1,700,000
Berry Plastics Corp.
5.13%		07/15/23			787,000		808,643
Clean Harbors, Inc.
5.13%		06/01/21			8,393,000		8,560,860
Covanta Holding Corp.
5.88%		07/01/25			2,322,000		2,332,159
Coveris Holdings SA (Luxembourg)
7.88%		11/01/19	^6,7		2,400,000		2,376,000
Crown Americas LLC/Crown Americas Capital Corp. V
4.25%		09/30/26	⁷		5,035,000		4,855,653


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Flex Acquisition Co., Inc.
6.88%		01/15/25	⁷	$	905,000	$	926,245
Graphic Packaging International, Inc.
4.13%		08/15/24			1,000,000		993,750
4.88%		11/15/22			4,000,000		4,200,000
KLX, Inc.
5.88%		12/01/22	⁷		1,449,000		1,497,976
Orbital ATK, Inc.
5.50%		10/01/23			4,481,000		4,637,835
SBA Communications Corp.
4.88%		09/01/24	⁷		2,872,000		2,836,100
Sealed Air Corp.
4.88%		12/01/22	⁷		2,433,000		2,548,567
5.25%		04/01/23	⁷		5,727,000		6,041,985
Silgan Holdings, Inc.
4.75%		03/15/25	⁷		2,365,000		2,379,781
Standard Industries, Inc.
5.13%		02/15/21	⁷		395,000		410,899


							66,542,844

Information Technology — 3.18%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
5.75%		03/01/25	⁷		3,143,000		3,227,625
First Data Corp.
5.00%		01/15/24	⁷		8,090,000		8,261,913
IMS Health, Inc.
5.00%		10/15/26	⁷		1,739,000		1,748,782
MSCI, Inc.
4.75%		08/01/26	⁷		6,277,000		6,379,001
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^6,7		2,500,000		2,557,003
4.13%		06/01/21	^6,7		4,475,000		4,654,000
Open Text Corp. (Canada)
5.88%		06/01/26	^6,7		117,000		122,850
Zayo Group LLC/Zayo Capital, Inc.
5.75%		01/15/27	⁷		888,000		938,882


							27,890,056

Materials — 1.75%
Axalta Coating Systems LLC
4.88%		08/15/24	⁷		7,048,000		7,294,680
HudBay Minerals, Inc. (Canada)
7.63%		01/15/25	^6,7		485,000		528,650
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA (Canada)
8.38%		12/01/22	^6,7		1,420,000		1,469,700


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials (continued)
Valvoline, Inc.
5.50%		07/15/24	⁷	$	5,700,000	$	6,013,500


							15,306,530

Real Estate Investment Trust (REIT) — 2.47%
DuPont Fabros Technology LP
5.88%		09/15/21			5,080,000		5,321,300
Equinix, Inc.
5.38%		05/15/27			2,235,000		2,313,225
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
5.63%		05/01/24			2,182,000		2,312,920
VEREIT Operating Partnership LP
3.00%		02/06/19			8,730,000		8,779,106
4.13%		06/01/21			2,833,000		2,913,939


							21,640,490

Retail — 0.12%
Dollar Tree, Inc.
5.25%		03/01/20			475,000		490,437
5.75%		03/01/23			510,000		545,700


							1,036,137

Services — 0.73%
Gartner, Inc.
5.13%		04/01/25	⁷		4,920,000		5,024,550
United Rentals North America, Inc.
4.63%		07/15/23			1,295,000		1,338,706


							6,363,256

Transportation — 2.56%
American Airlines Pass-Through Trust, Series 2013-1, Class B
5.63%		01/15/21	⁷		4,645,719		4,805,416
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			2,458,772		2,569,417
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			8,033,981		9,068,356
Park Aerospace Holdings Ltd. (Cayman Islands)
5.25%		08/15/22	^6,7		1,394,000		1,454,987
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
6.25%		04/22/23			1,612,314		1,797,730


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24		$	2,476,103	$	2,767,045


							22,462,951

Total Corporates (Cost $724,568,557)							708,000,615


MORTGAGE-BACKED — 0.85%**
Non-Agency Mortgage-Backed — 0.85%
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1
1.88%		10/25/47	²		299,311		275,893
Soundview Home Loan Trust, Series 2006-EQ1, Class A4
1.23%		10/25/36	²		9,100,000		7,162,788

Total Mortgage-Backed (Cost $6,920,160)							7,438,681


U.S. TREASURY SECURITIES — 2.28%
U.S. Treasury Notes — 2.28%
U.S. Treasury Notes
1.88%		01/31/22			20,000,000		19,958,543

Total U.S. Treasury Securities (Cost $19,739,942)

Total Bonds – 89.50% (Cost $802,021,549)							784,370,495


Issues				Shares		Value
COMMON STOCK — 0.15%
Energy — 0.08%
Arch Coal, Inc.					6,701		461,967
Sabine Oil & Gas Holdings, Inc.^3,7					3,520		124,960
Seventy Seven Energy, Inc.					2,051		87,650


							674,577

Secured Assets — 0.07%
Entegra TC LLC^3,8					28,545		642,263

Total Common Stock (Cost $4,502,496)							1,316,840


Issues	Shares		Value
WARRANT — 0.04%
Energy — 0.04%
Sabine Oil & Gas Holdings, Inc. Warrant Tranche 1^3,7		11,165	$	61,408
Sabine Oil & Gas Holdings, Inc. Warrant Tranche 2^3,7		1,988		8,946
Seventy Seven Energy, Inc.³		11,138		275,666

				346,020

Total Warrant
(Cost $2,645,628)

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 7.17%

Money Market Funds — 1.92%

Dreyfus Government Cash Management Fund

0.66%⁹

16,833,000

U.S. Agency Discount Notes — 0.80%

Federal Home Loan Bank

0.50%¹⁰

04/13/17

7,000,000

6,998,677

U.S. Treasury Bills — 4.45%

U.S. Treasury Bills

0.62%¹⁰

04/13/17

12,000,000

11,997,624

0.63%¹⁰

04/20/17

22,000,000

21,992,498

0.68%¹⁰

04/27/17

5,000,000

4,997,585

38,987,707

Total Short-Term Investments

(Cost $62,819,133)

62,819,384

Total Investments – 96.86%

(Cost $871,988,806)¹

848,852,739

Cash and Other Assets, Less

Liabilities – 3.14%

27,546,044

Net Assets –100.00%

876,398,783

Currency

Purchased

Currency

Sold

Unrealized
Appreciation
(Depreciation)

FOREIGN CURRENCY EXCHANGE CONTRACT

Forward currency contract to sell Japanese Yen on 05/15/17 at 111.24 Counterparty: Bank of America

USD

$302,809

JPY

–

$ 302,809

Forward currency contract to buy Japanese Yen on 05/22/17 at 111.21 Counterparty: Bank of America

JPY

–

USD

188,976

(188,976

)

Net unrealized appreciation

$ 113,833


Expiration Date	Premiums Paid	Notional Amount (000’s)^a	(Depreciation)	Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Goldman Sachs, Inc. Credit contract
03/20/19	$128,744	$9,750	$(239,204)	$(110,460)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Teck Resources Limited., 3.15%, due 01/15/17. Counterparty: Morgan Stanley Credit contract
03/20/19	71,229	5,000	(121,141)	(49,912)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Morgan Stanley Credit contract
03/20/19	80,657	5,000	(137,303)	(56,646)
	$280,630	$19,750	$(497,648)	$(217,018)

^a	The maximum potential payment the Fund could receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

Notes:

¹	Cost for federal income tax purposes is $874,780,733 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	17,928,674
Gross unrealized (depreciation)		(43,856,668	)

Net unrealized (depreciation)	$	(25,927,994	)

²	Floating rate security. The rate disclosed was in effect at March 31, 2017.

³	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $27,580,902, which is 3.15% of total net assets.

⁴	Non-income producing security.

⁵	Security is currently in default with regard to scheduled interest or principal payments.

⁶	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁷	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁸	All or a portion of this security is owned by Metropolitan West HY Sub I LLC, a consolidated subsidiary.

⁹	Represents the current yield as of March 31, 2017.

¹⁰	Represents annualized yield at date of purchase.

†	Fair valued security. The aggregate value of fair valued securities is $292,344, which is 0.03% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This


Issues	Maturity Date			Principal Amount		Value
BONDS – 93.49%
ASSET-BACKED SECURITIES — 6.29%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
2.08%		12/27/44	^2,3	$	950,000	$	947,589
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.35%		01/25/35	^2,3		689,698		666,568
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
1.35%		06/25/26	²		324,432		320,311
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
2.25%		02/25/35	²		650,000		657,192
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
2.04%		10/27/36	²		930,000		932,569
CIT Education Loan Trust, Series 2007-1, Class A
1.24%		03/25/42	^2,3		358,927		335,105
Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands)
2.52%		04/15/27	^2,3,4		1,315,000		1,324,710
Educational Funding of the South, Inc., Series 2011-1, Class A2
1.69%		04/25/35	²		485,241		483,020
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
1.63%		08/27/46	^2,3		880,777		793,493
GE Business Loan Trust, Series 2005-1A, Class A3
1.16%		06/15/33	^2,3		261,201		241,835
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^3,4		1,228,333		1,164,079
Higher Education Funding, Series 2014-1, Class A
2.10%		05/25/34	^2,3		1,190,952		1,189,412
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	³		542,080		543,296
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%		01/17/73	³		1,000,686		947,571
Magnetite XI CLO Ltd., Series 2014-11A, Class A1 (Cayman Islands)
2.47%		01/18/27	^2,3,4		2,400,000		2,400,734
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
2.35%		04/15/27	^2,3,4		2,390,000		2,393,963
Navient Student Loan Trust, Series 2014-1, Class A3
1.49%		06/25/31	²		2,765,000		2,721,145


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2014-2, Class A
1.62%		03/25/83	²	$	2,282,141	$	2,252,043
Navient Student Loan Trust, Series 2014-3, Class A
1.60%		03/25/83	²		2,301,242		2,272,080
Navient Student Loan Trust, Series 2014-4, Class A
1.60%		03/25/83	²		2,151,885		2,124,463
Navient Student Loan Trust, Series 2014-8, Class A3
1.58%		05/27/31	²		4,710,000		4,617,158
Navient Student Loan Trust, Series 2016-2, Class A3
2.48%		06/25/65	^2,3		1,640,000		1,686,644
Nelnet Student Loan Trust, Series 2011-1A, Class A
1.83%		02/25/43	^2,3		1,567,037		1,576,775
Nelnet Student Loan Trust, Series 2014-4A, Class A2
1.93%		11/25/43	^2,3		1,370,000		1,342,995
Nelnet Student Loan Trust, Series 2015-2A, Class A2
1.58%		09/25/42	^2,3		4,450,226		4,417,849
SLC Student Loan Trust I, Series 2002-2, Class B2
2.37%		07/01/42	^2,3		650,000		561,750
SLC Student Loan Trust, Series 2004-1, Class B
1.33%		08/15/31	²		213,522		187,781
SLC Student Loan Trust, Series 2005-3, Class B
1.38%		06/15/40	²		858,081		769,838
SLC Student Loan Trust, Series 2008-1, Class A4A
2.73%		12/15/32	²		520,277		537,518
SLM Student Loan Trust I, Series 2003-10A, Class A3
1.60%		12/15/27	^2,3		2,709,159		2,705,659
SLM Student Loan Trust, Series 2004-2, Class B
1.51%		07/25/39	²		250,622		229,365
SLM Student Loan Trust, Series 2004-8, Class B
1.50%		01/25/40	²		248,459		225,501
SLM Student Loan Trust, Series 2004-8A, Class A5
1.54%		04/25/24	^2,3		1,266,720		1,271,414
SLM Student Loan Trust, Series 2005-4, Class A3
1.16%		01/25/27	²		2,254,458		2,235,023
SLM Student Loan Trust, Series 2005-4, Class B
1.22%		07/25/40	²		291,041		267,621


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2006-2, Class A6
1.21%		01/25/41	²	$	925,000	$	879,869
SLM Student Loan Trust, Series 2006-8, Class A6
1.20%		01/25/41	²		925,000		859,630
SLM Student Loan Trust, Series 2007-6, Class A4
1.42%		10/25/24	²		4,086,621		4,073,230
SLM Student Loan Trust, Series 2007-6, Class B
1.89%		04/27/43	²		120,815		110,767
SLM Student Loan Trust, Series 2008-2, Class B
2.24%		01/25/29	²		160,000		151,160
SLM Student Loan Trust, Series 2008-3, Class B
2.24%		04/25/29	²		160,000		148,787
SLM Student Loan Trust, Series 2008-4, Class B
2.89%		04/25/29	²		160,000		155,600
SLM Student Loan Trust, Series 2008-5, Class B
2.89%		07/25/29	²		2,210,000		2,181,936
SLM Student Loan Trust, Series 2008-6, Class A3
1.79%		01/25/19	²		1,916,748		1,917,998
SLM Student Loan Trust, Series 2008-6, Class B
2.89%		07/25/29	²		160,000		157,040
SLM Student Loan Trust, Series 2008-7, Class B
2.89%		07/25/29	²		160,000		157,040
SLM Student Loan Trust, Series 2008-8, Class B
3.29%		10/25/29	²		160,000		160,726
SLM Student Loan Trust, Series 2008-9, Class B
3.29%		10/25/29	²		2,160,000		2,194,252
SLM Student Loan Trust, Series 2009-3, Class A
1.73%		01/25/45	^2,3		4,661,673		4,630,103
SLM Student Loan Trust, Series 2011-2, Class A1
1.58%		11/25/27	²		779,383		782,391
SLM Student Loan Trust, Series 2011-2, Class A2
2.18%		10/25/34	²		500,000		509,083
SLM Student Loan Trust, Series 2012-3, Class A
1.63%		12/26/25	²		1,764,802		1,744,678
SLM Student Loan Trust, Series 2012-6, Class A2
1.26%		09/25/19	²		97,844		97,841

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2012-7, Class A3

1.63%

05/26/26

800,000

781,679

SLM Student Loan Trust, Series 2013-4, Class A

1.53%

06/25/27

466,236

457,158

Spirit Master Funding LLC,

Series 2014-1A, Class A1

5.05%

07/20/40

355,655

360,847

Structured Receivables Finance 2 LLC, Series 2000, Class A

4.71%

04/15/48

76,726

77,218

Structured Receivables Finance LLC, Series 2010-A, Class B

7.61%

01/16/46

^3,†

639,309

728,780

Voya CLO Ltd., Series 2014-4A, Class A1 (Cayman Islands)

2.52%

10/14/26

^2,3,4

2,150,000

2,157,708

Total Asset-Backed Securities

(Cost $73,066,150)

72,819,590

BANK LOANS — 0.60%*

Consumer Discretionary — 0.04%

Reynolds Group Holdings, Inc., Term Loan, 1st Lien

3.98% (LIBOR plus 3.00%)

02/05/23

447,753

450,016

Electric — 0.02%

Vistra Operations Co. LLC,

Term Loan B, 1st Lien

3.73% (LIBOR plus 2.75%)

08/04/23

223,369

223,206

Vistra Operations Co. LLC,

Term Loan C, 1st Lien

3.73% (LIBOR plus 2.75%)

08/04/23

51,071

51,034

274,240

Finance — 0.25%

Delos Finance SARL, Term Loan B, 1st Lien

3.40% (LIBOR plus 2.25%)

10/06/23

2,795,136

2,830,075

Industrials — 0.28%

Johnson Controls International PLC, Senior Term Loan

2.81% (LIBOR plus 1.75%)

09/10/19

^2,5

3,200,000

3,197,008

Services — 0.01%

AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)

4.88%

01/15/38

^2,4,†

161,533

162,341

Total Bank Loans

(Cost $6,863,625)

6,913,680


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 36.22%*
Automotive — 0.13%
General Motors Co.
4.88%		10/02/23		$	955,000	$	1,020,322
General Motors Financial Co., Inc.
3.20%		07/06/21			500,000		502,764

							1,523,086

Banking — 5.97%
Bank of America Corp.
2.00%		01/11/18			2,000,000		2,005,492
4.10%		07/24/23			1,000,000		1,048,924
5.75%		12/01/17			2,880,000		2,956,435
6.00%		09/01/17			1,440,000		1,466,307
6.50%		07/15/18			2,000,000		2,113,100
Bank of America Corp. (GMTN)
3.30%		01/11/23			1,500,000		1,511,280
6.40%		08/28/17			1,000,000		1,019,633
Bank of America Corp. (MTN)
2.02%		04/01/19	²		1,000,000		1,009,107
4.13%		01/22/24			1,500,000		1,569,126
5.65%		05/01/18			500,000		520,590
6.88%		04/25/18			3,290,000		3,463,357
8.63%		05/02/17	²		510,000		487,713
8.90%		05/18/17	²		410,000		390,525
9.52%		06/06/17	²		319,000		303,465
Bank of America N.A. (BKNT)
1.43%		06/15/17	²		1,350,000		1,350,254
6.10%		06/15/17			1,340,000		1,351,583
Bank of New York Mellon Corp. (MTN) (The)
2.50%		04/15/21			1,649,000		1,652,437
2.60%		02/07/22			1,740,000		1,735,680
Capital One Bank USA N.A. (BKNT)
2.15%		11/21/18			2,500,000		2,504,225
Discover Bank
2.00%		02/21/18			2,410,000		2,412,947
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^3,4		2,915,000		3,055,382
JPMorgan Chase & Co.
2.55%		10/29/20			5,690,000		5,715,192
6.00%		01/15/18			3,000,000		3,101,625
JPMorgan Chase Bank N.A. (BKNT)
6.00%		07/05/17			600,000		607,141
6.00%		10/01/17			2,500,000		2,552,563
PNC Bank N.A. (BKNT)
1.70%		12/07/18			3,055,000		3,055,131
Santander UK Group Holdings PLC (United Kingdom)
2.88%		10/16/20	⁴		1,300,000		1,299,368
UBS AG/Stamford CT (GMTN) (Switzerland)
1.85%		03/26/18	^2,4		3,000,000		3,012,477


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
UBS AG/Stamford CT (Switzerland)
1.61%		06/01/17	^2,4	$	1,500,000	$	1,501,103
Wachovia Corp. (MTN)
5.75%		02/01/18			4,000,000		4,137,007
Wells Fargo & Co.
2.10%		07/26/21			2,000,000		1,960,788
2.50%		03/04/21			4,080,000		4,073,678
3.00%		04/22/26			1,000,000		961,534
Wells Fargo Bank N.A. (BKNT) (MTN)
1.65%		01/22/18			3,135,000		3,136,430

							69,041,599

Commercial Services — 0.05%
IHS Markit Ltd. (United Kingdom)
5.00%		11/01/22	^3,4		600,000		631,500

Communications — 2.27%
AT&T, Inc.
3.40%		05/15/25			2,500,000		2,418,873
3.80%		03/15/22			1,500,000		1,553,805
4.13%		02/17/26			2,350,000		2,387,431
5.50%		02/01/18			1,000,000		1,031,281
Charter Communications Operating LLC/Charter Communications Operating
Capital
4.46%		07/23/22			2,795,000		2,950,706
4.91%		07/23/25			1,000,000		1,056,659
Comcast Corp.
2.75%		03/01/23			3,155,000		3,145,277
Level 3 Financing, Inc.
5.25%		03/15/26			300,000		302,250
Rogers Communications, Inc. (Canada)
6.80%		08/15/18	⁴		1,000,000		1,068,263
Sprint Communications, Inc.
9.00%		11/15/18	³		1,250,000		1,357,875
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	³		1,800,000		1,795,590
Time Warner, Inc.
3.55%		06/01/24			1,250,000		1,253,918
Verizon Communications, Inc.
2.95%		03/15/22	³		1,825,000		1,819,813
3.50%		11/01/24			3,050,000		3,038,281
5.15%		09/15/23			1,000,000		1,099,680

							26,279,702

Consumer Discretionary — 0.42%
Anheuser-Busch InBev Finance, Inc.
3.65%		02/01/26			2,450,000		2,479,540


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Anheuser-Busch North American Holding Corp.
2.20%		08/01/18	³	$	2,000,000	$	2,013,610
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26			348,000		360,180


							4,853,330

Consumer Products — 0.24%
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^3,4		2,750,000		2,751,900

Electric — 3.45%
AEP Texas Central Co.
3.85%		10/01/25	³		1,800,000		1,866,072
Black Hills Corp.
2.50%		01/11/19			2,510,000		2,523,491
Duke Energy Corp.
2.65%		09/01/26			2,250,000		2,096,166
Duquesne Light Holdings, Inc.
5.90%		12/01/21	³		625,000		699,092
6.40%		09/15/20	³		2,363,000		2,647,783
Entergy Corp.
4.00%		07/15/22			1,500,000		1,573,250
Entergy Mississippi, Inc.
3.10%		07/01/23			2,250,000		2,268,605
Exelon Corp.
1.55%		06/09/17			3,030,000		3,029,798
FirstEnergy Corp., Series A
2.75%		03/15/18			1,140,000		1,144,372
Homer City Generation LP⁶
8.73%		10/01/26	^5,7		457,400		176,099
IPALCO Enterprises, Inc.
5.00%		05/01/18			1,615,000		1,662,799
Jersey Central Power & Light Co.
4.80%		06/15/18			2,025,000		2,089,618
Kansas City Power & Light Co.
3.65%		08/15/25			1,000,000		1,008,623
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			2,275,000		2,641,402
Metropolitan Edison Co.
7.70%		01/15/19			500,000		545,995
NextEra Energy Capital Holdings, Inc., Series F
2.06%		09/01/17			3,600,000		3,606,372
Oncor Electric Delivery Co. LLC
4.10%		06/01/22			1,500,000		1,596,421
6.80%		09/01/18			900,000		962,209
Public Service Co. of New Mexico
3.85%		08/01/25			1,800,000		1,833,827


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
7.95%		05/15/18		$	475,000	$	507,729
Southwestern Electric Power Co.
3.55%		02/15/22			1,500,000		1,542,199
6.45%		01/15/19			1,109,000		1,196,446
Texas-New Mexico Power Co.
9.50%		04/01/19	³		1,800,000		2,043,248
Tucson Electric Power Co.
3.85%		03/15/23			700,000		701,338


							39,962,954

Energy — 2.53%
Boardwalk Pipelines LP
5.20%		06/01/18			1,000,000		1,034,271
BP Capital Markets PLC (United Kingdom)
3.06%		03/17/22	⁴		1,700,000		1,723,001
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	³		4,000,000		4,036,028
Columbia Pipeline Group, Inc.
2.45%		06/01/18			3,135,000		3,150,851
Enbridge Energy Partners LP
5.88%		10/15/25			1,250,000		1,401,654
Energy Transfer Partners LP
4.05%		11/01/66	²		480,000		405,924
Florida Gas Transmission Co. LLC
3.88%		07/15/22	³		1,000,000		1,024,033
7.90%		05/15/19	³		1,500,000		1,665,292
Noble Energy, Inc.
3.90%		11/15/24			600,000		610,298
Petroleos Mexicanos (Mexico)
2.00%		12/20/22	⁴		1,800,000		1,788,462
Regency Energy Partners LP/Regency Energy Finance Corp.
5.00%		10/01/22			300,000		318,563
Ruby Pipeline LLC
6.00%		04/01/22	³		1,250,000		1,323,856
Spectra Energy Partners LP
2.95%		09/25/18			1,275,000		1,292,923
TC PipeLines LP
4.65%		06/15/21			2,575,000		2,710,695
Texas Eastern Transmission LP
2.80%		10/15/22	³		3,080,000		2,985,535
Williams Partners LP
3.35%		08/15/22			750,000		748,291
3.60%		03/15/22			2,967,000		3,012,947


							29,232,624

Finance — 8.18%
American Express Credit Corp. (MTN)
1.80%		07/31/18			2,395,000		2,398,801


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
2.20%		03/03/20		$	4,875,000	$	4,884,375
Bear Stearns Cos. LLC (The)
6.40%		10/02/17			4,500,000		4,608,473
7.25%		02/01/18			2,140,000		2,236,835
CIT Group, Inc.
4.25%		08/15/17			1,049,000		1,058,834
Citigroup, Inc.
1.53%		08/14/17	²		750,000		750,715
1.60%		08/25/36	²		205,000		165,936
1.70%		04/27/18			5,838,000		5,842,005
1.80%		02/05/18			4,000,000		4,002,880
2.50%		09/26/18			2,000,000		2,018,351
2.74%		05/15/18	²		583,000		591,863
6.00%		08/15/17			1,250,000		1,269,475
6.13%		11/21/17			563,000		578,435
6.13%		05/15/18			1,500,000		1,571,165
Durrah MSN 35603 (Cayman Islands)
1.68%		01/22/25	⁴		4,406,805		4,276,011
Ford Motor Credit Co. LLC
2.10%		01/09/18	²		4,000,000		4,015,556
General Electric Corp. (GMTN)
5.63%		05/01/18			730,000		763,400
General Electric Corp. (MTN)
1.41%		05/05/26	²		1,610,000		1,583,126
General Motors Financial Co., Inc.
3.00%		09/25/17			2,000,000		2,012,758
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%		02/15/19			550,000		603,868
Goldman Sachs Group, Inc. (MTN) (The)
1.93%		12/15/17	²		1,000,000		1,003,676
3.85%		07/08/24			2,775,000		2,843,909
Goldman Sachs Group, Inc. (The)
2.75%		09/15/20			1,635,000		1,649,861
5.95%		01/18/18			6,160,000		6,362,492
6.15%		04/01/18			4,485,000		4,673,514
International Lease Finance Corp.
7.13%		09/01/18	³		1,850,000		1,979,500
Morgan Stanley
1.89%		01/05/18	²		3,000,000		3,010,440
Morgan Stanley (GMTN)
6.63%		04/01/18			3,250,000		3,402,539
Morgan Stanley (MTN)
5.55%		04/27/17			1,000,000		1,002,679
5.95%		12/28/17			1,000,000		1,031,341
6.25%		08/28/17			800,000		815,705
Morgan Stanley, Series 3NC2
1.84%		02/14/20	²		5,000,000		5,012,250
Protective Life Global Funding
1.72%		04/15/19	³		1,800,000		1,781,199


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
2.70%		11/25/20	³	$	3,115,000	$	3,139,045
Safina Ltd. (Cayman Islands)
2.00%		12/30/23	⁴		8,111,340		8,020,087
Sandalwood 2013 LLC
2.90%		07/10/25			2,463,583		2,509,775
SL Green Realty Corp.
5.00%		08/15/18			1,200,000		1,241,398


							94,712,272

Food — 0.76%
Kraft Heinz Foods Co.
3.00%		06/01/26			1,000,000		941,597
3.95%		07/15/25			1,950,000		1,982,998
6.13%		08/23/18			2,000,000		2,114,885
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%		10/28/19	^3,4		3,850,000		3,790,612


							8,830,092

Health Care — 5.19%
Abbott Laboratories
3.75%		11/30/26			3,070,000		3,074,918
AbbVie, Inc.
3.60%		05/14/25			4,380,000		4,388,480
Actavis Funding SCS (Luxembourg)
3.45%		03/15/22	⁴		4,000,000		4,088,792
3.80%		03/15/25	⁴		1,250,000		1,263,495
Aetna, Inc.
1.50%		11/15/17			1,000,000		999,964
1.70%		06/07/18			3,185,000		3,193,096
Amgen, Inc.
3.63%		05/15/22			3,000,000		3,120,900
Anthem, Inc.
2.30%		07/15/18			1,545,000		1,552,359
3.13%		05/15/22			2,500,000		2,515,768
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	⁴		2,200,000		2,220,536
Baxalta, Inc.
2.00%		06/22/18			1,405,000		1,408,912
2.88%		06/23/20			1,400,000		1,420,730
Baylor Scott & White Holdings
2.65%		11/15/26			2,315,000		2,191,644
Biogen, Inc.
3.63%		09/15/22			1,825,000		1,880,636
Catholic Health Initiatives
2.60%		08/01/18			1,000,000		1,008,609
2.95%		11/01/22			500,000		486,342
Celgene Corp.
2.13%		08/15/18			2,950,000		2,966,627


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Express Scripts Holding Co.
3.40%		03/01/27		$	1,440,000	$	1,358,971
Gilead Sciences, Inc.
2.95%		03/01/27			1,740,000		1,652,325
3.50%		02/01/25			1,500,000		1,512,060
Grifols Worldwide Operations Ltd. (Ireland)
5.25%		04/01/22	⁴		200,000		207,876
HCA, Inc.
5.00%		03/15/24			900,000		946,125
6.50%		02/15/20			955,000		1,047,539
Humana, Inc.
3.95%		03/15/27			1,330,000		1,362,636
Mylan NV (Netherlands)
3.00%		12/15/18	⁴		3,000,000		3,033,409
Providence Health & Services
Obligated Group
2.10%		10/01/17	²		1,975,000		1,977,318
RWJ Barnabas Health, Inc.
2.95%		07/01/26			4,385,000		4,163,466
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	⁴		1,500,000		1,490,082
Teva Pharmaceutical Finance
Netherlands III BV (Netherlands)
1.40%		07/20/18	⁴		2,000,000		1,988,707
Valeant Pharmaceuticals International, Inc. (Canada)
5.88%		05/15/23	^3,4		1,765,000		1,376,700
6.13%		04/15/25	^3,4		150,000		116,250


							60,015,272

Industrials — 1.11%
Amcor Finance USA, Inc.
3.63%		04/28/26	³		2,500,000		2,481,905
Clean Harbors, Inc.
5.13%		06/01/21			380,000		387,600
L-3 Communications Corp.
3.85%		12/15/26			1,326,000		1,348,123
Northrop Grumman Corp.
3.20%		02/01/27			1,545,000		1,533,607
SBA Communications Corp.
4.88%		09/01/24	³		350,000		345,625
Siemens Financieringsmaatschappij NV (Netherlands)
2.00%		09/15/23	^3,4		2,000,000		1,898,854
2.35%		10/15/26	^3,4		500,000		465,348
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.38%		04/30/25	^3,4		525,000		517,630


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
United Technologies Corp. (STEP)
1.78%		05/04/18		$	3,850,000	$	3,849,935


							12,828,627

Information Technology — 0.42%
Microsoft Corp.
2.88%		02/06/24			2,300,000		2,308,536
Oracle Corp.
2.40%		09/15/23			2,565,000		2,496,954


							4,805,490

Insurance — 1.38%
Jackson National Life Global Funding
1.88%		10/15/18	³		2,000,000		2,005,591
Metropolitan Life Global Funding I
1.55%		09/13/19	³		3,000,000		2,958,572
Nationwide Mutual Insurance Co.
3.42%		12/15/24	^2,3		1,552,000		1,532,600
New York Life Global Funding
1.55%		11/02/18	³		2,000,000		1,997,939
2.00%		04/13/21	³		2,000,000		1,967,608
Pricoa Global Funding I
2.55%		11/24/20	³		2,495,000		2,508,227
Principal Life Global Funding II
2.63%		11/19/20	³		3,000,000		3,040,307


							16,010,844

Real Estate Investment Trust (REIT) — 2.44%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			1,500,000		1,505,615
3.90%		06/15/23			150,000		153,602
4.60%		04/01/22			2,000,000		2,130,619
American Campus Communities Operating Partnership LP
3.35%		10/01/20			3,000,000		3,054,535
American Tower Corp.
4.50%		01/15/18			3,000,000		3,064,602
Boston Properties LP
3.70%		11/15/18			2,000,000		2,050,842
CC Holdings GS V LLC/Crown Castle GS III Corp.
3.85%		04/15/23			300,000		307,655
HCP, Inc.
4.00%		12/01/22			2,250,000		2,324,153
4.25%		11/15/23			1,895,000		1,960,808
Piedmont Operating Partnership LP
3.40%		06/01/23			1,900,000		1,836,665
SL Green Realty Corp.
7.75%		03/15/20			650,000		732,079


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Ventas Realty LP
3.25%		10/15/26		$	1,810,000	$	1,721,325
Ventas Realty LP/Ventas Capital Corp.
2.70%		04/01/20			1,025,000		1,034,215
WEA Finance LLC/Westfield UK & Europe Finance PLC
1.75%		09/15/17	³		2,000,000		2,000,567
2.70%		09/17/19	³		2,245,000		2,267,532
Welltower, Inc.
3.75%		03/15/23			1,000,000		1,025,571
4.70%		09/15/17			1,000,000		1,013,241


							28,183,626

Retail — 0.57%
CVS Health Corp.
4.00%		12/05/23			2,600,000		2,737,703
Walgreens Boots Alliance, Inc.
3.10%		06/01/23			3,840,000		3,840,035


							6,577,738

Transportation — 1.11%
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23			1,499,518		1,593,238
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			3,115		3,222
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		08/02/20			369,235		392,774
Continental Airlines Pass-Through Trust, Series 1999-2, Class A
7.26%		03/15/20			144,795		152,484
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22			2,544,756		2,802,413
Continental Airlines Pass-Through Trust, Series 2009, Class A2
7.25%		11/10/19			2,550,816		2,828,218
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			878,304		991,386
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1
7.04%		04/01/22			1,322,906		1,491,576
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
7.13%		10/22/23			974,427		1,124,854
U.S. Airways Pass-Through Trust, Series 2011-1, Class G
7.08%		03/20/21			356,135		381,732


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust, Series 2012, Class A
4.63%		06/03/25		$	382,287	$	403,790
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			619,026		691,761


							12,857,448

Total Corporates
(Cost $418,186,257)							419,098,104

MORTGAGE-BACKED — 17.06%**
Commercial Mortgage-Backed — 1.38%
225 Liberty Street Trust, Series 2016-225L, Class A
3.60%		02/10/36	³		1,225,000		1,258,986
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A
2.96%		12/10/30	³		3,417,000		3,450,555
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
2.12%		09/10/45	^2,3,5		8,537,676		538,534
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	³		1,160,000		1,259,661
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^2,3		1,265,000		1,313,633
Commercial Mortgage Trust, Series 2016-787S, Class A
3.55%		02/01/36	^2,3		1,225,000		1,253,042
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	^2,3		1,391,997		1,506,482
DBRR Trust, Series 2012-EZ1, Class C
2.06%		09/25/45	³		563,687		563,895
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2
4.31%		08/05/32	³		1,090,000		1,138,570
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A
3.35%		07/13/29	³		950,000		984,249
RBS Commercial Funding Trust, Series 2013-GSP, Class A
3.83%		01/13/32	^2,3		1,170,000		1,234,665
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1
3.35%		11/15/43	³		1,404,438		1,436,436


							15,938,708


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 6.65%
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1
1.20%		12/25/35	²	$	5,128,001	$	5,140,441
Ameriquest Mortgage Securities, Inc., Series 2004-R8, Class M1
1.94%		09/25/34	²		1,743,802		1,738,737
Ameriquest Mortgage Securities, Inc., Series 2005-R3, Class M1
1.42%		05/25/35	²		813,928		815,153
Ameriquest Mortgage Securities, Inc., Series 2005-R4, Class M1
1.41%		07/25/35	²		1,730,881		1,718,472
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1
1.96%		12/25/34	²		625,867		583,328
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			3,306		3,511
Banc of America Funding Trust, Series 2015-R2, Class 9A1
1.20%		03/25/37	^2,3		2,186,382		2,124,746
Centex Home Equity Loan Trust, Series 2005-C, Class M1
1.41%		06/25/35	²		4,123,433		4,169,020
Centex Home Equity Loan Trust, Series 2005-D, Class M1
1.41%		10/25/35	²		373,140		374,188
Chevy Chase Mortgage Funding Corp., Series 2005-2A, Class A1
1.16%		05/25/36	^2,3		134,588		121,589
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.20%		02/25/34	²		15,119		14,894
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
1.16%		03/25/37	²		50,961		50,958
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			196,428		208,104
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^2,3		185,960		200,550
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	²		417,619		452,998
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		58,937		60,758
Conseco Financial Corp., Series 1998-4, Class A5
6.18%		04/01/30			245,313		251,294


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30	²	$	453,653	$	484,807
CountryPlace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^2,3		700,000		712,742
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
2.78%		08/25/34	²		73,242		70,847
Credit Suisse Mortgage Trust,
Series 2014-4R, Class 16A1
0.98%		02/27/36	^2,3		1,176,117		1,156,805
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP)
3.38%		12/25/32			1,130,222		1,114,784
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP)
3.46%		12/25/36			615,608		452,343
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
1.04%		04/25/37	²		173,811		124,838
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A3
1.23%		04/25/37	²		2,065,331		1,519,923
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
3.01%		09/25/34	²		363,487		355,223
GSAA Home Equity Trust, Series 2005-9, Class 1A1
1.26%		08/25/35	²		962,035		931,451
Home Loan Trust, Series 2001-HI3, Class AI7 (STEP)
7.56%		07/25/26			53,543		54,105
HSBC Home Equity Loan Trust, Series 2007-3, Class APT
1.98%		11/20/36	²		452,831		453,161
HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 1A
1.20%		12/25/35	²		3,232,140		3,243,168
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
1.78%		11/25/34	²		29,589		25,312
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
2.85%		06/25/37	²		1,182,323		895,670
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			225,995		229,090


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28		$	60,162	$	61,169
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			139,162		145,620
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
4.02%		05/25/37	²		357,654		342,637
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			100,700		103,396
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A5
5.87%		04/15/40			57,862		59,275
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	²		182,348		189,267
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.50%		01/25/34	²		167,180		164,287
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.62%		01/25/34	²		640		651
MASTR Asset-Backed Securities Trust, Series 2005-WF1, Class M1
1.39%		06/25/35	²		202,668		203,447
MASTR Asset-Backed Securities Trust, Series 2006-AB1, Class A2
1.21%		02/25/36	²		150,556		150,631
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.13%		10/25/32	²		1,415		1,424
MASTR Seasoned Securities Trust, Series 2005-1, Class 4A1
2.94%		10/25/32	²		16,491		16,554
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
1.16%		06/25/37	²		589,367		415,952
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
1.23%		06/25/37	²		1,089,135		810,862
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			873,322		932,288
Mid-State Trust, Series 2004-1, Class A
6.01%		08/15/37			436,826		476,066
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			599,565		684,660
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37			428,261		456,558


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Trust, Series 2005-1, Class M2
7.08%		01/15/40		$	680,275	$	751,095
Morgan Stanley Capital I Trust, Series 2004-NC7, Class M2
1.91%		07/25/34	²		922,943		910,562
Morgan Stanley Capital I Trust, Series 2005-HE3, Class M3
1.78%		07/25/35	²		1,276,614		1,273,349
Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4
1.28%		12/25/35	²		3,844,762		3,797,449
New Century Home Equity Loan Trust, Series 2005-D, Class A1
1.20%		02/25/36	²		6,057,544		5,987,485
New York Mortgage Trust, Series 2005-3, Class A1
1.46%		02/25/36	²		2,630,038		2,477,021
Park Place Securities, Inc., Series 2005-WCW1, Class M1
1.43%		09/25/35	²		1,853,115		1,847,088
Park Place Securities, Inc., Series 2005-WHG4, Class A2D
1.35%		09/25/35	²		836,048		834,627
Park Place Securities, Inc., Series 2005-WHQ2, Class M1
1.61%		05/25/35	²		897,294		898,643
RBSSP Resecuritization Trust, Series 2009-6, Class 11A4
1.20%		08/26/36	^2,3		764,760		748,337
Residential Asset Mortgage Product Trust, Series 2003-SL1, Class A41
8.00%		04/25/31			28,820		31,357
Residential Asset Mortgage Products Trust, Series 2002-RS4, Class AI5 (STEP)
6.16%		08/25/32			2,220		2,159
Residential Asset Mortgage Products Trust, Series 2003-RS1, Class AI5 (STEP)
6.19%		03/25/33			15,813		16,022
Residential Asset Mortgage Products Trust, Series 2006-NC1, Class A3
1.28%		01/25/36	²		5,248,985		5,180,783
Residential Asset Securities Trust, Series 2004-IP2, Class 2A1
3.21%		12/25/34	²		36,746		36,696
Residential Asset Securities Trust, Series 2005-KS11, Class AI4
1.29%		12/25/35	²		314,621		314,574
Soundview Home Loan Trust, Series 2005-OPT4, Class 2A3
1.24%		12/25/35	²		961,808		959,099
STRU JPM-1157 Coll
3.13%		04/01/29			2,337,000		2,336,270


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A
3.26%		10/25/34	²	$	1,816,736	$	1,791,970
Structured Asset Mortgage Investments II Trust, Series 2005-AR1, Class A1
1.46%		04/19/35	²		1,314,493		1,261,701
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2
2.08%		02/25/36	²		805,467		771,012
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1
2.56%		05/25/36	²		2,847,892		1,742,340
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-WF2, Class A3
1.58%		05/25/35	²		1,199,505		1,202,115
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.97%		04/15/30	^2,5		3,657		229
UCFC Home Equity Loan, Series 1998-D, Class MF1
6.91%		04/15/30			36,381		36,868
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
3.00%		01/25/33	²		7,845		7,515
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A3
1.76%		10/25/45	²		1,654,911		1,543,059
Wells Fargo Home Equity Trust, Series 2005-1, Class M2
1.63%		04/25/35	²		3,897,064		3,876,659
Wells Fargo Home Equity Trust, Series 2006-1, Class A4
1.21%		05/25/36	²		1,212,750		1,214,757


							76,918,595

U.S. Agency Mortgage-Backed — 9.03%
Fannie Mae Pool (TBA)
2.50%		04/25/28			2,900,000		2,902,266
3.00%		04/25/27			1,815,000		1,861,111
4.50%		04/25/39			10,745,000		11,525,691
Fannie Mae Pool 253974
7.00%		08/01/31			3,282		3,590
Fannie Mae Pool 254232
6.50%		03/01/22			5,926		6,591
Fannie Mae Pool 467144
4.25%		01/01/21			3,219,652		3,439,855
Fannie Mae Pool 468159
4.26%		07/01/21			1,089,945		1,172,303
Fannie Mae Pool 468272
3.83%		07/01/21			2,881,931		3,054,270


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 468552
3.89%		07/01/21		$	1,812,663	$	1,921,879
Fannie Mae Pool 527247
7.00%		09/01/26			41		45
Fannie Mae Pool 545191
7.00%		09/01/31			1,423		1,548
Fannie Mae Pool 545646
7.00%		09/01/26			34		38
Fannie Mae Pool 549740
6.50%		10/01/27			10,496		11,677
Fannie Mae Pool 555284
7.50%		10/01/17			171		172
Fannie Mae Pool 606108
7.00%		03/01/31			683		702
Fannie Mae Pool 630599
7.00%		05/01/32			7,391		8,527
Fannie Mae Pool 655928
7.00%		08/01/32			3,862		4,572
Fannie Mae Pool 735207
7.00%		04/01/34			1,997		2,296
Fannie Mae Pool 735646
4.50%		07/01/20			1,807		1,860
Fannie Mae Pool 735686
6.50%		12/01/22			16,390		18,228
Fannie Mae Pool 735861
6.50%		09/01/33			115,405		132,055
Fannie Mae Pool 764388
2.60%		03/01/34	²		30,046		31,736
Fannie Mae Pool 776708
5.00%		05/01/34			168,378		187,024
Fannie Mae Pool 817611
2.81%		11/01/35	²		15,809		16,844
Fannie Mae Pool 844773
3.16%		12/01/35	²		1,084		1,137
Fannie Mae Pool 889125
5.00%		12/01/21			89,821		93,035
Fannie Mae Pool 889184
5.50%		09/01/36			160,507		179,740
Fannie Mae Pool 890221
5.50%		12/01/33			244,917		273,518
Fannie Mae Pool 918445
5.51%		05/01/37	²		1,951		2,023
Fannie Mae Pool 939419
2.39%		05/01/37	²		56,502		59,817
Fannie Mae Pool AL0151
4.38%		04/01/21			5,069,333		5,422,322
Fannie Mae Pool AL0209
4.50%		05/01/41			550,618		599,550


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL2293
4.38%		06/01/21		$	5,487,895	$	5,889,538
Fannie Mae Pool AL6829
2.96%		05/01/27			3,979,386		3,955,825
Fannie Mae Pool AL9549
4.00%		09/01/46			4,373,216		4,589,811
Fannie Mae Pool AM7009
2.95%		11/01/24			2,562,588		2,606,826
Fannie Mae Pool AM7150
3.05%		11/01/24			1,779,304		1,821,487
Fannie Mae Pool AM7357
3.38%		12/01/29			2,375,000		2,408,468
Fannie Mae Pool AN0556
3.46%		12/01/30			2,470,271		2,521,738
Fannie Mae Pool AN0854
3.28%		02/01/28			2,465,000		2,504,982
Fannie Mae Pool AN2840
2.49%		09/01/28			2,545,000		2,399,549
Fannie Mae Pool BC1158
3.50%		02/01/46			1,428,274		1,462,153
Fannie Mae Pool FN0001
3.76%		12/01/20			2,744,960		2,873,294
Fannie Mae Pool FN0007
3.46%		11/01/20			1,390,000		1,446,680
Fannie Mae Pool MA1561
3.00%		09/01/33			2,350,355		2,393,690
Fannie Mae Pool MA1582
3.50%		09/01/43			1,961,850		2,010,649
Fannie Mae Pool MA1608
3.50%		10/01/33			2,249,961		2,335,459
Fannie Mae Pool MA2740
2.50%		09/01/26			5,860,446		5,947,209
Fannie Mae REMICS, Series 1989-25, Class G
6.00%		06/25/19			426		438
Fannie Mae REMICS, Series 1992-116, Class B
6.50%		06/25/22			29		30
Fannie Mae REMICS, Series 1993-80, Class S
9.68%		05/25/23	²		5,049		5,626
Fannie Mae REMICS, Series 2001-52, Class YZ
6.50%		10/25/31			145,855		166,963
Fannie Mae REMICS, Series 2007-64, Class FA
1.45%		07/25/37	²		110,447		111,468


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2008-50, Class SA (IO)
5.07%		11/25/36	²	$	1,827,956	$	300,941
Fannie Mae Trust, Series 2003-W6, Class 5T (IO)
0.55%		09/25/42	²		15,961,826		232,549
Freddie Mac Gold Pool A25162
5.50%		05/01/34			218,597		244,130
Freddie Mac Gold Pool A33262
5.50%		02/01/35			61,843		70,967
Freddie Mac Gold Pool A68781
5.50%		10/01/37			11,996		13,544
Freddie Mac Gold Pool C03813
3.50%		04/01/42			1,339,424		1,384,891
Freddie Mac Gold Pool C90504
6.50%		12/01/21			727		796
Freddie Mac Gold Pool E01279
5.50%		01/01/18			193		195
Freddie Mac Gold Pool E90474
6.00%		07/01/17			119		120
Freddie Mac Gold Pool G01548
7.50%		07/01/32			392,083		464,745
Freddie Mac Gold Pool G01644
5.50%		02/01/34			128,042		144,060
Freddie Mac Gold Pool G02366
6.50%		10/01/36			95,488		110,776
Freddie Mac Gold Pool G07849
3.50%		05/01/44			2,087,263		2,146,550
Freddie Mac Gold Pool G08699
4.00%		03/01/46			1,295,719		1,360,201
Freddie Mac Gold Pool G11707
6.00%		03/01/20			601		620
Freddie Mac Gold Pool G12393
5.50%		10/01/21			102,176		107,568
Freddie Mac Gold Pool G12909
6.00%		11/01/22			162,446		175,117
Freddie Mac Gold Pool G13032
6.00%		09/01/22			88,464		94,390
Freddie Mac Gold Pool G60344
4.00%		12/01/45			1,018,798		1,077,458
Freddie Mac Gold Pool J06246
5.50%		10/01/21			33,060		34,711
Freddie Mac Gold Pool Q05261
3.50%		12/01/41			875,815		904,450
Freddie Mac Gold Pool Q20178
3.50%		07/01/43			1,247,083		1,287,392


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A3
1.41%		07/25/20	²	$	757,910	$	760,779
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
3.16%		05/25/25	²		6,070,000		6,138,129
Freddie Mac REMICS, Series 1602, Class SN
10.09%		10/15/23	²		14,590		16,988
Freddie Mac REMICS, Series 2174, Class PN
6.00%		07/15/29			49,588		54,955
Freddie Mac REMICS, Series 3460, Class SA (IO)
5.29%		06/15/38	²		1,812,550		311,392
Freddie Mac REMICS, Series 4030, Class HS (IO)
5.70%		04/15/42	²		1,658,885		287,088
Ginnie Mae I Pool 782810
4.50%		11/15/39			1,237,055		1,358,490
Ginnie Mae II Pool 80968
2.13%		07/20/34	²		33,239		34,179
Ginnie Mae II Pool MA3597
3.50%		04/20/46			2,771,400		2,876,481
Ginnie Mae, Series 2004-8, Class SE
12.74%		11/26/23	²		40,970		47,896
Ginnie Mae, Series 2011-152, Class A
1.62%		07/16/33			651,613		650,350
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
1.15%		11/06/17	²		503,248		503,641
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
1.38%		03/09/21	²		391,516		390,796
NCUA Guaranteed Notes, Series 2011-R2, Class 1A
1.25%		02/06/20	²		552,568		553,604


							104,528,844

Total Mortgage-Backed
(Cost $194,802,016)							197,386,147

MUNICIPAL BONDS — 1.67%*
Alabama — 0.26%
Alabama Economic Settlement Authority, Taxable Revenue Bond, Series B
3.16%		09/15/25			2,990,000		3,010,272


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
California — 0.68%
Los Angeles Department of Power, Electric Light and Power Improvements, Series C
5.52%		07/01/27		$	2,000,000	$	2,385,900
State of California, Build America Bonds
7.95%		03/01/36			2,750,000		3,174,847
University of California, Taxable Revenue Bonds, Series AJ
4.60%		05/15/31			2,110,000		2,317,877


							7,878,624

Massachusetts — 0.23%
Commonwealth of Massachusetts, Build America Bonds, Series D
4.50%		08/01/31			2,450,000		2,733,833

New York — 0.50%
City of New York, Build America Bonds
5.05%		10/01/24			1,000,000		1,134,760
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds
5.01%		08/01/27			2,000,000		2,287,740
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, Series G-3
5.27%		05/01/27			1,400,000		1,610,420
New York State Urban Development Corp., Personal Income Tax, Series SE
3.20%		03/15/22			700,000		722,029


							5,754,949

Total Municipal Bonds
(Cost $19,438,835)							19,377,678

U.S. TREASURY SECURITIES — 31.65%
U.S. Treasury Bonds — 1.00%
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.38%		07/15/25	⁸		11,576,546		11,606,044

U.S. Treasury Notes — 30.65%
U.S. Treasury Notes
1.13%		02/28/19			50,360,000		50,251,827
1.25%		03/31/19			50,355,000		50,350,065
1.50%		01/31/22			32,570,000		31,932,474
1.88%		01/31/22			27,635,000		27,577,717
1.88%		02/28/22			119,920,000		119,690,377
1.88%		03/31/22			43,920,000		43,811,078
1.88%		05/31/22			6,375,000		6,345,866

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)

U.S. Treasury Notes (WI)

2.25%

02/15/27

25,010,000

24,693,949

Total U.S. Treasury Securities

(Cost $366,488,829)

366,259,397

Total Bonds – 93.49%

(Cost $1,078,845,712)

1,081,854,596

Issues

Maturity

Date

Principal

Amount/

Shares

Value

SHORT-TERM INVESTMENTS — 8.32%

Commercial Paper — 0.14%

Kraft Heinz Foods Co.

1.60%⁹

06/30/17

1,680,000

1,680,605

Foreign Government Obligations — 4.92%

Japan Treasury Discount Bill, Series 657 (Japan)

0.00%⁹

04/17/17

⁴

1,400,000,000

12,564,758

Japan Treasury Discount Bill, Series 660 (Japan)

0.00%⁹

05/01/17

⁴

1,700,000,000

15,258,823

Japan Treasury Discount Bill, Series 671 (Japan)

0.00%⁹

06/19/17

⁴

3,240,000,000

29,088,355

56,911,936

Money Market Funds — 1.46%

Dreyfus Government Cash Management Fund

0.66%¹⁰

15,499,000

Fidelity Investments Money Market Funds - Government Portfolio

0.56%^10,11

1,369,000

16,868,000

U.S. Treasury Bills — 1.80%

U.S. Treasury Bills

0.42%⁹

04/06/17

¹²

877,000

876,960

0.68%⁹

04/27/17

20,000,000

19,990,340

20,867,300

Total Short-Term Investments

(Cost $95,204,090)

96,327,841


			Value
Total Investments – 101.81%
(Cost $1,174,049,802)¹			$	1,178,182,437


Liabilities in Excess of Other
Assets – (1.81)%				(20,989,274	)

Net Assets – 100.00%			$	1,157,193,163


Currency Purchased	Currency Sold		Unrealized (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 04/17/17 at 111.35
Counterparty: JPMorgan Securities LLC
USD $12,311,047		JPY 1,400,000,000	$	(261,589	)
Forward currency contract to sell Japanese Yen on 05/01/17 at 111.29 Counterparty: Citigroup Global Markets, Inc.
USD $14,873,987		JPY 1,700,000,000		(401,387	)
Forward currency contract to sell Japanese Yen on 06/19/17 at 111.08
Counterparty: Bank of America
USD $28,703,048		JPY 3,240,000,000		(465,727	)

Net unrealized (depreciation)			$	(1,128,703	)


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
592	U.S. Treasury Two Year Note, Expiration June 2017	$	208,534
518	U.S. Treasury Five Year Note, Expiration June 2017		130,628

	Net unrealized appreciation	$	339,162

Notes:

¹	Cost for federal income tax purposes is $1,174,223,321 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	9,910,264
Gross unrealized (depreciation)		(5,951,148	)

Net unrealized appreciation	$	3,959,116

²	Floating rate security. The rate disclosed was in effect at March 31, 2017.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $3,911,870, which is 0.34% of total net assets.

⁶	Non-income producing security.

⁷	Security is currently in default with regard to scheduled interest or principal payments.

⁸	Inflation protected security. Principal amount reflects original security face amount.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of March 31, 2017.

¹¹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,369,000.

¹²	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $836,958.

†

Fair valued security. The aggregate value of fair valued securities is $891,121, which is 0.08% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.


Issues	Maturity Date			Principal Amount		Value
BONDS – 94.01%
ASSET-BACKED SECURITIES — 7.60%**
Access Group, Inc., Series 2015-1, Class A
1.68%		07/25/56	^2,3	$	2,981,462	$	2,964,979
BA Credit Card Trust, Series 2014-A3, Class A
1.20%		01/15/20	²		6,525,000		6,531,009
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
1.28%		04/25/35	^2,3		353,063		325,541
Bayview Commercial Asset Trust, Series 2007-1, Class A1
1.20%		03/25/37	^2,3		314,184		277,105
Bayview Commercial Asset Trust, Series 2007-3, Class A1
1.02%		07/25/37	^2,3		2,734,696		2,347,998
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
2.25%		02/25/35	²		3,070,000		3,103,971
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2
1.85%		02/25/30	²		177,297		177,067
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
2.04%		10/27/36	²		5,075,000		5,089,017
Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2
2.13%		01/23/20	²		7,560,000		7,630,160
Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands)
2.52%		04/15/27	^2,3,4		9,280,000		9,348,524
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
1.78%		04/26/32	^2,3		8,375,000		8,161,742
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
1.63%		08/27/46	^2,3		7,934,719		7,148,402
GE Business Loan Trust, Series 2005-1A, Class A3
1.16%		06/15/33	^2,3		781,514		723,569
Goal Capital Funding Trust, Series 2006-1, Class B
1.50%		08/25/42	²		3,215,749		2,972,962
Honda Auto Receivables Owner Trust, Series 2016-4, Class A2
1.04%		04/18/19			8,050,000		8,032,354
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%		01/17/73	³		4,591,500		4,601,802
Limerock CLO II Ltd., Series 2014-2A, Class AR (Cayman Islands)
2.31%		04/18/26	^2,3,4		6,782,500		6,784,338
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
2.35%		04/15/27	^2,3,4		8,000,000		8,013,264


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
National Collegiate Student Loan Trust, Series 2007-2, Class A2
1.11%		06/26/28	²	$	1,449,053	$	1,434,588
Navient Student Loan Trust, Series 2014-8, Class A2
1.42%		04/25/23	²		15,585,824		15,606,543
Nelnet Student Loan Trust, Series 2013-1A, Class A
1.58%		06/25/41	^2,3		3,926,660		3,884,645
Nelnet Student Loan Trust, Series 2014-5A, Class A
1.53%		07/25/41	^2,3		12,614,351		12,436,721
Northstar Education Finance, Inc., Series 2007-1, Class A1
1.14%		04/28/30	²		5,605,000		5,510,918
SLC Student Loan Trust I, Series 2002-2, Class B2
2.37%		07/01/42	^2,3		4,100,000		3,543,347
SLC Student Loan Trust, Series 2004-1, Class B
1.33%		08/15/31	²		1,543,050		1,357,034
SLC Student Loan Trust, Series 2007-1, Class A4
1.10%		05/15/29	²		6,744,244		6,655,315
SLM Student Loan Trust I, Series 2003-10A, Class A3
1.60%		12/15/27	^2,3		7,254,130		7,244,758
SLM Student Loan Trust, Series 2003-11, Class A5
1.18%		12/15/22	^2,3		1,507,791		1,505,004
SLM Student Loan Trust, Series 2003-12, Class A5
1.41%		09/15/22	^2,3		1,827,141		1,826,722
SLM Student Loan Trust, Series 2004-1, Class A3
1.25%		04/25/23	²		51,506		51,455
SLM Student Loan Trust, Series 2004-10, Class A6B
1.59%		04/27/26	^2,3		16,065,884		16,123,914
SLM Student Loan Trust, Series 2004-2, Class B
1.51%		07/25/39	²		1,863,123		1,705,101
SLM Student Loan Trust, Series 2004-5A, Class A5
1.64%		10/25/23	^2,3		2,452,519		2,456,081
SLM Student Loan Trust, Series 2004-8, Class B
1.50%		01/25/40	²		685,963		622,578
SLM Student Loan Trust, Series 2005-10, Class A4
1.15%		10/25/19	²		994,196		993,957
SLM Student Loan Trust, Series 2005-5, Class A3
1.14%		04/25/25	²		216,642		216,424


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2006-2, Class A6
1.21%		01/25/41	²	$	6,000,000	$	5,707,256
SLM Student Loan Trust, Series 2006-4, Class A5
1.14%		10/27/25	²		840,365		840,206
SLM Student Loan Trust, Series 2006-8, Class A6
1.20%		01/25/41	²		6,000,000		5,575,979
SLM Student Loan Trust, Series 2007-6, Class A4
1.42%		10/25/24	²		8,639,791		8,611,480
SLM Student Loan Trust, Series 2007-6, Class B
1.89%		04/27/43	²		826,830		758,064
SLM Student Loan Trust, Series 2008-2, Class B
2.24%		01/25/29	²		1,095,000		1,034,498
SLM Student Loan Trust, Series 2008-3, Class B
2.24%		04/25/29	²		1,095,000		1,018,261
SLM Student Loan Trust, Series 2008-4, Class B
2.89%		04/25/29	²		1,095,000		1,064,886
SLM Student Loan Trust, Series 2008-5, Class B
2.89%		07/25/29	²		1,095,000		1,081,095
SLM Student Loan Trust, Series 2008-6, Class B
2.89%		07/25/29	²		1,095,000		1,074,741
SLM Student Loan Trust, Series 2008-7, Class B
2.89%		07/25/29	²		1,095,000		1,074,740
SLM Student Loan Trust, Series 2008-8, Class B
3.29%		10/25/29	²		1,095,000		1,099,971
SLM Student Loan Trust, Series 2008-9, Class B
3.29%		10/25/29	²		1,095,000		1,112,364
SLM Student Loan Trust, Series 2011-1, Class A1
1.50%		03/25/26	²		287,701		288,779
SLM Student Loan Trust, Series 2012-1, Class A2
1.43%		11/25/20	²		205,752		205,764
SLM Student Loan Trust, Series 2012-5, Class A2
1.28%		06/25/19	²		488,990		488,896
SLM Student Loan Trust, Series 2012-6, Class A2
1.26%		09/25/19	²		33,278		33,277
SLM Student Loan Trust, Series 2012-7, Class A2
1.26%		09/25/19	²		4,606,742		4,602,442


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2012-7, Class A3
1.63%		05/26/26	²	$	4,410,000	$	4,309,005
SLM Student Loan Trust, Series 2013-1, Class A2
1.23%		09/25/19	²		309,210		309,165
SLM Student Loan Trust, Series 2013-3, Class A2
1.28%		05/26/20	²		2,380,845		2,379,868
SLM Student Loan Trust, Series 2013-4, Class A
1.53%		06/25/27	²		4,948,389		4,852,048
SLM Student Loan Trust, Series 2013-5, Class A2
1.38%		10/26/20	²		1,976,687		1,973,159
SLM Student Loan Trust, Series 2013-6, Class A2
1.48%		02/25/21	²		2,285,733		2,286,903
SLM Student Loan Trust, Series 2014-1, Class A3
1.58%		02/26/29	²		6,865,000		6,740,979
SLM Student Loan Trust, Series 2014-2, Class A2
1.33%		10/25/21	²		2,252,826		2,253,829
Spirit Master Funding LLC, Series 2014-1A, Class A1
5.05%		07/20/40	³		2,193,743		2,225,770
Toyota Auto Receivables Owner Trust, Series 2016-D, Class A2A
1.06%		05/15/19			5,775,000		5,763,853


Total Asset-Backed Securities
(Cost $234,764,132)							236,176,187

BANK LOANS — 0.74%*
Electric — 0.07%
Chief Power Finance LLC, Term Loan B, 1st Lien
5.75% (LIBOR plus 4.75%)		12/31/20	^2,5		2,443,750		1,980,659

Finance — 0.16%
Delos Finance SARL, Term Loan B, 1st Lien
3.40% (LIBOR plus 2.25%)		10/06/23	²		4,896,507		4,957,713

Industrials — 0.48%
Johnson Controls International PLC,
Senior Term Loan
2.81% (LIBOR plus 1.75%)		09/10/19	^2,5		15,040,000		15,025,938

Services — 0.03%
AABS Ltd., Term Loan, Series 2013-1,
Class A (STEP) (Bermuda)
4.88%		01/15/38	^2,4,†		915,354		919,930

Total Bank Loans
(Cost $23,281,694)							22,884,240


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 26.78%*
Banking — 6.01%
Bank of America Corp.
2.00%		01/11/18		$	2,500,000	$	2,506,865
5.75%		12/01/17			14,370,000		14,751,380
6.00%		09/01/17			1,000,000		1,018,269
6.88%		11/15/18			1,000,000		1,076,531
Bank of America Corp. (MTN)
5.65%		05/01/18			11,233,000		11,695,574
6.88%		04/25/18			12,885,000		13,563,936
8.63%		05/02/17	²		30,000		28,689
8.90%		05/18/17	²		30,000		28,575
9.52%		06/06/17	²		5,184,000		4,931,539
Bank of America N.A. (BKNT)
1.43%		06/15/17	²		2,500,000		2,500,470
6.10%		06/15/17			7,100,000		7,161,375
Capital One Bank USA N.A. (BKNT)
2.15%		11/21/18			4,295,000		4,302,258
Capital One N.A.
2.35%		08/17/18			550,000		553,679
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^3,4		6,220,000		6,519,546
JPMorgan Chase Bank N.A. (BKNT)
6.00%		10/01/17			30,450,000		31,090,211
PNC Bank N.A. (BKNT)
1.70%		12/07/18			7,680,000		7,680,330
Santander UK Group Holdings PLC (United Kingdom)
2.88%		08/05/21	⁴		13,000,000		12,880,491
UBS AG/Stamford CT (GMTN) (Switzerland)
1.85%		03/26/18	^2,4		8,000,000		8,033,272
UBS AG/Stamford CT (Switzerland)
1.61%		06/01/17	^2,4		5,000,000		5,003,675
Wachovia Corp. (MTN)
5.75%		02/01/18			24,485,000		25,323,652
Wells Fargo & Co. (MTN)
1.40%		09/08/17			10,000,000		10,001,605
Wells Fargo Bank N.A. (BKNT) (MTN)
1.65%		01/22/18			8,420,000		8,423,840
Wells Fargo Bank N.A. (MTN)
2.15%		12/06/19			7,715,000		7,736,173


							186,811,935


Commercial Services — 0.19%
Moody’s Corp.
1.41%		09/04/18	²		5,820,000		5,830,275


Communications — 1.50%
AT&T, Inc.
2.38%		11/27/18			5,000,000		5,036,768
3.00%		06/30/22			4,464,000		4,439,586
3.40%		05/15/25			2,655,000		2,568,843


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
3.60%		02/17/23		$	3,700,000	$	3,754,035
5.50%		02/01/18			5,031,000		5,188,375
Charter Communications Operating LLC/Charter Communications Operating Capital
4.46%		07/23/22			3,415,000		3,605,245
DISH DBS Corp.
4.25%		04/01/18			800,000		815,256
Rogers Communications, Inc. (Canada)
6.80%		08/15/18	⁴		6,674,000		7,129,587
Time Warner Cable LLC
6.75%		07/01/18			750,000		793,312
Verizon Communications, Inc.
1.51%		06/09/17	²		4,585,000		4,587,109
1.92%		06/17/19	²		5,750,000		5,792,929
2.87%		09/14/18	²		2,950,000		3,013,603


							46,724,648


Consumer Discretionary — 0.75%
Altria Group, Inc.
9.70%		11/10/18			7,340,000		8,237,965
Anheuser-Busch InBev Worldwide, Inc.
7.75%		01/15/19			6,000,000		6,601,556
Anheuser-Busch North American Holding Corp.
2.20%		08/01/18	³		3,000,000		3,020,415
Beam Suntory, Inc.
1.75%		06/15/18			5,425,000		5,424,287


							23,284,223


Consumer Products — 0.25%
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^3,4		7,867,000		7,872,436


Electric — 1.78%
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			5,000,000		5,220,575
Exelon Corp.
1.55%		06/09/17			4,986,000		4,985,668
FirstEnergy Corp., Series A
2.75%		03/15/18			6,000,000		6,023,010
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	³		3,528		3,528
Homer City Generation LP⁶
8.14%		10/01/19	^5,7		6,078,660		2,370,677
IPALCO Enterprises, Inc.
5.00%		05/01/18			3,426,000		3,527,399
Jersey Central Power & Light Co.
4.80%		06/15/18			1,500,000		1,547,865
7.35%		02/01/19			505,000		550,105


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
NextEra Energy Capital Holdings, Inc., Series F
2.06%		09/01/17		$	6,285,000	$	6,296,124
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			14,109,000		15,084,228
Pennsylvania Electric Co.
5.20%		04/01/20			1,262,000		1,343,056
Public Service Co. of New Mexico
7.95%		05/15/18			4,352,000		4,651,870
Southern Co. (The)
1.30%		08/15/17			2,410,000		2,407,007
Southwestern Electric Power Co., Series F
5.88%		03/01/18			1,198,000		1,241,782


							55,252,894

Energy — 0.34%
Columbia Pipeline Group, Inc.
2.45%		06/01/18			1,936,000		1,945,788
Energy Transfer Partners LP
2.50%		06/15/18			1,156,000		1,161,971
4.05%		11/01/66	²		1,360,000		1,150,118
Florida Gas Transmission Co. LLC
7.90%		05/15/19	³		3,320,000		3,685,846
Panhandle Eastern Pipeline Co. LP
8.13%		06/01/19			1,000,000		1,109,951
Rockies Express Pipeline LLC
6.00%		01/15/19	³		1,500,000		1,567,500


							10,621,174

Finance — 6.47%
American Express Co.
7.00%		03/19/18			14,570,000		15,307,439
American Express Credit Corp. (MTN)
2.20%		03/03/20			4,000,000		4,007,692
Associates Corp. of North America
6.95%		11/01/18			11,000,000		11,828,823
Bear Stearns Cos. LLC (The)
6.40%		10/02/17			10,000,000		10,241,050
Citigroup, Inc.
1.70%		04/27/18			7,901,000		7,906,420
1.75%		05/01/18			3,560,000		3,557,957
1.80%		02/05/18			600,000		600,432
2.50%		09/26/18			10,000,000		10,091,755
6.13%		11/21/17			3,000,000		3,082,247
6.13%		05/15/18			2,940,000		3,079,482
Ford Motor Credit Co. LLC
1.63%		09/08/17	²		1,440,000		1,441,066
2.10%		01/09/18	²		8,000,000		8,031,112
5.00%		05/15/18			1,500,000		1,550,246


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Electric Corp. (MTN)
1.41%		05/05/26	²	$	5,180,000	$	5,093,535
General Motors Financial Co., Inc.
3.00%		09/25/17			11,000,000		11,070,169
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%		02/15/19			1,195,000		1,312,041
Goldman Sachs Group, Inc. (MTN) (The)
2.14%		11/15/18	²		10,000,000		10,111,375
Goldman Sachs Group, Inc. (The)
2.06%		10/23/19	²		5,000,000		5,058,945
2.38%		01/22/18			1,000,000		1,006,094
5.95%		01/18/18			16,625,000		17,171,497
6.15%		04/01/18			10,500,000		10,941,336
International Lease Finance Corp.
7.13%		09/01/18	³		3,816,000		4,083,120
Morgan Stanley
1.89%		01/05/18	²		6,000,000		6,020,880
2.13%		04/25/18			2,000,000		2,008,783
Morgan Stanley (GMTN)
5.50%		01/26/20			2,805,000		3,044,036
5.50%		07/24/20			4,550,000		4,971,057
6.63%		04/01/18			18,997,000		19,888,624
Morgan Stanley (MTN)
5.63%		09/23/19			2,000,000		2,163,643
Protective Life Global Funding
1.72%		04/15/19	³		8,245,000		8,158,881
SL Green Realty Corp.
5.00%		08/15/18			8,000,000		8,275,984


							201,105,721

Food — 0.62%
Kraft Heinz Foods Co.
2.25%		06/05/17			4,485,000		4,492,562
6.13%		08/23/18			5,000,000		5,287,213
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%		10/28/19	^3,4		9,670,000		9,520,835


							19,300,610

Health Care — 4.23%
Abbott Laboratories
2.90%		11/30/21			7,820,000		7,855,949
AbbVie, Inc.
1.80%		05/14/18			2,230,000		2,233,120
2.30%		05/14/21			8,530,000		8,431,095
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	⁴		10,700,000		10,749,134
3.45%		03/15/22	⁴		4,000,000		4,088,792


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Aetna, Inc.
1.50%		11/15/17		$	9,195,000	$	9,194,669
1.75%		05/15/17			3,000,000		3,000,336
Amgen, Inc.
2.13%		05/15/17			5,451,000		5,457,225
3.63%		05/15/22			3,400,000		3,537,020
Anthem, Inc.
1.88%		01/15/18			14,502,000		14,517,903
Baxalta, Inc.
2.00%		06/22/18			3,425,000		3,434,537
Bayer US Finance LLC
2.38%		10/08/19	³		5,000,000		5,029,303
Catholic Health Initiatives
2.60%		08/01/18			13,000,000		13,111,917
Celgene Corp.
2.88%		08/15/20			5,000,000		5,080,530
Express Scripts Holding Co.
1.25%		06/02/17			3,820,000		3,818,684
HCA, Inc.
3.75%		03/15/19			1,000,000		1,025,600
Providence Health & Services Obligated Group
2.10%		10/01/17	²		11,940,000		11,954,015
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	⁴		7,865,000		7,812,997
Tenet Healthcare Corp.
4.63%		06/15/20	²		1,600,000		1,616,000
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	⁴		9,705,000		9,650,201


							131,599,027

Industrials — 0.71%
L3 Technologies, Inc.
5.20%		10/15/19			5,200,000		5,575,352
Metropolitan Life Global Funding I
1.35%		09/14/18	³		8,000,000		7,957,760
United Technologies Corp. (STEP)
1.78%		05/04/18			8,392,000		8,391,857


							21,924,969

Information Technology — 0.11%
Apple, Inc.
1.70%		02/22/19			3,255,000		3,268,741

Insurance — 0.35%
Metropolitan Life Global Funding I
1.88%		06/22/18	³		7,500,000		7,520,205


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Nationwide Mutual Insurance Co.
3.42%		12/15/24	^2,3	$	3,550,000	$	3,505,625


							11,025,830

Real Estate Investment Trust (REIT) — 2.61%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			8,800,000		8,832,938
American Tower Corp.
4.50%		01/15/18			7,050,000		7,201,815
Boston Properties LP
3.70%		11/15/18			5,000,000		5,127,105
5.63%		11/15/20			2,260,000		2,494,166
DDR Corp.
7.50%		04/01/17			1,835,000		1,835,000
HCP, Inc.
2.63%		02/01/20			6,870,000		6,911,928
3.75%		02/01/19			3,000,000		3,077,867
Realty Income Corp.
2.00%		01/31/18			8,871,000		8,887,893
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			7,945,000		7,958,165
2.70%		04/01/20			1,186,000		1,196,662
WEA Finance LLC/Westfield UK & Europe
Finance PLC
1.75%		09/15/17	³		16,500,000		16,504,677
Welltower, Inc.
2.25%		03/15/18			4,727,000		4,748,744
4.70%		09/15/17			6,291,000		6,374,299


							81,151,259

Retail — 0.55%
Walgreens Boots Alliance, Inc.
1.75%		05/30/18			17,060,000		17,081,606


Transportation — 0.31%
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			1,101,037		1,191,212
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23			4,357,736		4,630,094
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			7,120		7,365
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		08/02/20			2,149,769		2,286,817


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		10/02/22		$	1,474,646	$	1,588,010


							9,703,498

Total Corporates
(Cost $833,169,570)							832,558,846

MORTGAGE-BACKED — 30.14%**
Commercial Mortgage-Backed — 1.48%
Banc of America Re-REMIC Trust, Series 2010-UB5, Class A4A
5.90%		02/17/51	^2,3		62,732		62,878
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4
5.78%		12/10/49	²		9,955,815		9,967,686
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
2.12%		09/10/45	^2,3,5		23,614,849		1,489,563
Commercial Mortgage Trust, Series 2013-LC13, Class A2
3.01%		08/10/46			18,500,000		18,828,952
GE Business Loan Trust, Series 2006-2A, Class A
0.51%		11/15/34	^2,3		3,031,960		2,879,097
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S
5.24%		05/15/47	³		1,251,539		1,246,647
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3SF
1.07%		05/15/47	²		6,770,455		6,750,351
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3
5.76%		06/15/49	²		4,738,292		4,733,394


							45,958,568

Non-Agency Mortgage-Backed — 13.55%
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
1.20%		02/25/37	²		12,000,000		10,562,347
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1
1.20%		12/25/35	²		6,744,043		6,760,403
Aegis Asset-Backed Securities Trust, Series 2005-5, Class 2A
1.23%		12/25/35	²		8,781,659		8,643,137
Ameriquest Mortgage Securities, Inc., Series 2006-R2, Class A1
1.16%		04/25/36	²		9,925,925		10,016,953
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.28%		10/25/27			16,886		17,687


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Argent Securities, Inc., Series 2005-W2, Class A1
1.24%		10/25/35	²	$	9,900,085	$	9,901,070
Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1
5.50%		10/25/33			12,177,921		12,585,824
Banc of America Funding Trust, Series 2015-R2, Class 9A1
1.20%		03/25/37	^2,3		9,471,258		9,204,259
Banc of America Funding Trust, Series 2015-R3, Class 8A1
1.13%		06/28/36	^2,3		6,535,015		6,330,005
Banc of America Funding Trust, Series 2015-R4, Class 3A1
0.92%		07/25/36	^2,3		9,158,679		8,832,510
BCAP LLC Trust, Series 2007-AA1, Class 1A2
1.14%		02/25/47	²		1,511,503		1,502,016
BCAP LLC Trust, Series 2008-IND2, Class A1
2.63%		04/25/38	²		11,097,205		10,979,845
BCAP LLC Trust, Series 2012-R11, Class 11A1
3.00%		09/26/36	^2,3		2,022,757		2,032,903
BCAP LLC Trust, Series 2012-RR11, Class 1A1
0.95%		01/26/37	^2,3		2,702,889		2,703,623
BCAP LLC Trust, Series 2013-RR2, Class 5A1
3.26%		03/26/36	^2,3		1,518,364		1,522,678
BCAP LLC Trust, Series 2013-RR5, Class 2A1
2.87%		03/26/37	^2,3		9,104,990		9,130,718
Bear Stearns ARM Trust, Series 2004-3, Class 4A
3.24%		07/25/34	²		3,855,308		3,866,261
Bear Stearns ARM Trust, Series 2005-2, Class A1
3.26%		03/25/35	²		3,487,431		3,517,888
Bear Stearns Asset-Backed Securities Trust, Series 2004-BO1, Class M3
2.03%		10/25/34	²		4,873,443		4,881,599
Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1A3
1.38%		08/25/43	²		252,159		251,081
Chase Funding Trust, Series 2002-2, Class 2M1
1.88%		02/25/32	²		219,765		217,032
Chase Funding Trust, Series 2007-A1, Class 8A1
3.25%		02/25/37	²		12,993,481		13,189,680


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Chase Funding Trust, Series 2007-A2, Class 2A3
3.19%		07/25/37	²	$	2,661,428	$	2,695,658
Chevy Chase Mortgage Funding Corp., Series 2005-2A, Class A1
1.16%		05/25/36	^2,3		1,333,667		1,204,860
CIM Trust, Series 2015-3AG, Class A1
2.53%		10/25/57	^2,3		10,014,797		10,121,641
CIM Trust, Series 2015-4AG, Class A1
2.78%		10/25/57	^2,3		12,905,448		12,970,894
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.20%		02/25/34	²		193,275		190,389
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
1.16%		03/25/37	²		38,282		38,279
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C
2.28%		07/25/37	²		90,000		82,049
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			2,181,705		2,311,386
Conseco Financial Corp., Series 1997-2, Class A7
7.62%		06/15/28	²		108,998		109,165
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		310,987		320,596
Conseco Financial Corp., Series 1997-7, Class A9
7.37%		07/15/29	²		602,048		608,359
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28	²		7,856		8,179
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
2.78%		08/25/34	²		15,911		15,391
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 5A1
3.13%		02/25/34	²		3,108,023		3,100,981
Credit Suisse Mortgage Trust, Series 2013-7R, Class 5A1
1.23%		07/26/36	^2,3		2,627,141		2,460,475
Credit Suisse Mortgage Trust, Series 2014-9R, Class 8A1
0.94%		10/27/36	^2,3		2,114,180		2,068,023
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB7, Class AF3 (STEP)
3.97%		11/25/35			1,036,080		1,057,127


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
3.44%		01/25/36		$	2,418,364	$	1,920,933
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
1.04%		04/25/37	²		3,485,370		2,503,327
DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1A
1.19%		03/19/45	²		1,548,329		1,359,287
Encore Credit Receivables Trust, Series 2005-2, Class M2
1.67%		11/25/35	²		6,647,347		6,749,120
FBR Securitization Trust, Series 2005-02, Class M1
1.70%		09/25/35	²		8,441,798		8,400,824
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
3.01%		09/25/34	²		13,413		13,108
First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 2A2
2.94%		02/25/35	²		1,526,678		1,523,231
GE Business Loan Trust, Series 2007-1A, Class A
1.08%		04/16/35	^2,3		1,634,897		1,519,077
GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1
1.42%		06/25/30	²		256,047		252,101
GSAA Home Equity Trust, Series 2005-9, Class 1A1
1.26%		08/25/35	²		2,767,522		2,679,539
GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1
3.16%		11/25/35	²		1,074,030		1,066,018
GSR Mortgage Loan Trust, Series 2006-OA1, Class 2A1
1.17%		08/25/46	²		1,110,846		1,104,963
Home Equity Asset Trust, Series 2006-4, Class 2A3
1.15%		08/25/36	²		1,467,566		1,470,650
HSBC Home Equity Loan Trust, Series 2007-1, Class AS
1.18%		03/20/36	²		1,736,810		1,739,225
Impac CMB Trust, Series 2005-5, Class A1
1.62%		08/25/35	²		2,512,147		2,228,795
IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
1.76%		12/25/34	²		352,630		292,844
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
1.78%		11/25/34	²		1,170,099		1,000,967


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28		$	633,951	$	663,373
JPMorgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2F3 (STEP)
3.74%		10/25/35			2,313,764		2,296,644
JPMorgan Mortgage Acquisition Trust, Series 2007-CH2, Class AV3
1.10%		01/25/37	²		974,078		971,633
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4
1.26%		03/25/47	²		50,000		30,047
JPMorgan Mortgage Trust, Series 2007-A1, Class 1A1
3.23%		07/25/35	²		2,137,909		2,164,410
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
3.42%		07/25/35	²		504,684		512,565
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			1,235,613		1,258,096
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			1,024,438		1,051,870
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC (IO)
0.55%		04/15/40	^2,5		153,171,677		2,907,497
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.50%		01/25/34	²		19,407		19,071
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.62%		01/25/34	²		50,408		51,284
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
3.05%		11/21/34	²		1,842,271		1,887,306
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
2.93%		04/25/34	²		254,664		245,984
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
1.63%		06/25/34	²		32,167		26,031
MASTR Alternative Loan Trust, Series 2003-1, Class 1A1
6.25%		12/25/32			3,738,782		3,878,049
MASTR Alternative Loan Trust, Series 2003-5, Class 4A1
5.50%		07/25/33			6,122,994		6,651,765
MASTR Alternative Loan Trust, Series 2003-9, Class 4A1
5.25%		11/25/33			7,010,043		7,271,015


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
MASTR Alternative Loan Trust, Series 2004-7, Class 1A1
5.50%		07/25/34		$	6,274,852	$	6,491,644
MASTR Asset-Backed Securities Trust, Series 2006-AB1, Class A2
1.21%		02/25/36	²		914,630		915,083
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.13%		10/25/32	²		280,205		282,116
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2004-FF5, Class A3C
1.98%		08/25/34	²		1,264,429		1,205,185
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1
1.61%		05/25/36	²		451,620		452,073
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
1.16%		06/25/37	²		13,837,243		9,765,776
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
2.85%		08/25/34	²		2,193,348		2,226,982
Merrill Lynch Mortgage Investors Trust, Series 2006-F1, Class 1A2
6.00%		04/25/36			2,596,526		2,256,167
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			1,356,159		1,548,636
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	³		5,936,208		6,370,804
Morgan Stanley Capital I Trust, Series 2004-NC7, Class M2
1.91%		07/25/34	²		5,999,127		5,918,652
Morgan Stanley Capital I Trust, Series 2005-NC2, Class M2
1.61%		03/25/35	²		2,097,726		2,101,072
Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A
1.88%		07/25/34	²		611,003		603,513
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 3A
1.40%		03/26/37	^2,3		3,614,840		3,595,799
MortgageIT Trust, Series 2005-3, Class A1
1.28%		08/25/35	²		567,548		539,647
MortgageIT Trust, Series 2005-4, Class A1
1.26%		10/25/35	²		9,039,212		8,575,350
New Century Home Equity Loan Trust, Series 2005-3, Class M2
1.47%		07/25/35	²		12,528,311		12,400,064
New Century Home Equity Loan Trust, Series 2005-D, Class A1
1.20%		02/25/36	²		15,324,578		15,147,339


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Nomura Resecuritization Trust, Series 2014-1R, Class 1A1
0.94%		10/25/36	^2,3	$	2,799,129	$	2,748,782
Nomura Resecuritization Trust, Series 2014-1R, Class 3A1
0.30%		07/26/36	^2,3		1,553,356		1,550,629
Nomura Resecuritization Trust, Series 2014-1R, Class 4A1
0.00%		01/25/37	^2,3		2,234,505		2,217,491
Nomura Resecuritization Trust, Series 2016-2R, Class 1A1
3.51%		01/26/36	^2,3		5,902,790		5,960,650
Option One Mortgage Loan Trust, Series 2005-1, Class A4
1.78%		02/25/35	²		1,667,517		1,668,396
Park Place Securities, Inc., Series 2004-WCW2, Class M2
1.96%		10/25/34	²		11,259,972		11,405,768
Park Place Securities, Inc., Series 2004-WHQ2, Class M2
1.93%		02/25/35	²		1,112,622		1,117,027
Park Place Securities, Inc., Series 2005-WCW1, Class M1
1.43%		09/25/35	²		7,711,744		7,686,664
Park Place Securities, Inc., Series 2005-WCW2, Class M1
1.48%		07/25/35	²		12,863,575		12,863,261
Park Place Securities, Inc., Series 2005-WHG4, Class A2D
1.35%		09/25/35	²		3,551,000		3,544,966
Residential Accredit Loans Trust, Series 2005-QA3, Class NB1
3.67%		03/25/35	²		7,037,163		4,922,930
Residential Asset Mortgage Products Trust, Series 2004-SL4, Class A3
6.50%		07/25/32			485,567		491,502
Residential Asset Mortgage Products Trust, Series 2005-SL1, Class A5
6.50%		05/25/32			1,223,639		1,159,213
Residential Asset Securities Trust, Series 2005-KS11, Class AI4
1.29%		12/25/35	²		1,336,057		1,335,859
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 6A
3.26%		11/25/34	²		6,666,485		6,639,003
Structured Asset Investment Loan Trust, Series 2005-8, Class A4
1.34%		10/25/35	²		6,227,142		6,225,193
Structured Asset Securities Corp., Series 2003-26A, Class 3A5
3.27%		09/25/33	²		1,331,653		1,308,905


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed
(continued)
Terwin Mortgage Trust, Series 2004-7HE, Class A1
1.53%		07/25/34	^2,3	$	115,413	$	111,964
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
3.00%		01/25/33	²		142,303		136,308
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1
2.87%		01/25/35	²		1,143,463		1,163,802
WaMu Mortgage Pass-Through Certificates, Series 2004-CB2, Class 2A
5.50%		07/25/34			7,200,715		7,597,186
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
1.27%		10/25/45	²		3,844,413		3,692,874
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21
1.31%		01/25/45	²		598,636		576,821
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Q, Class 1A1
3.00%		09/25/34	²		2,099,343		2,228,036
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14
3.07%		06/25/35	²		6,745,797		7,000,858
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR9, Class 1A1
3.09%		05/25/35	²		177,706		181,821
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A5
3.09%		03/25/36	²		1,707,933		1,671,963


							421,327,394

U.S. Agency Mortgage-Backed — 15.11%
Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
1.11%		04/25/20	²		20,465,146		20,423,791
Fannie Mae Pool 467572
3.80%		04/01/18			24,461,142		24,782,387
Fannie Mae Pool 555284
7.50%		10/01/17			360		362
Fannie Mae Pool 567002
8.00%		05/01/23			35,616		39,210
Fannie Mae Pool 735861
6.50%		09/01/33			19,907		22,780
Fannie Mae Pool 770900
2.69%		04/01/34	²		368,539		380,233
Fannie Mae Pool 995182
5.50%		06/01/20			954,756		977,208
Fannie Mae Pool AD0538
6.00%		05/01/24			737,968		800,178


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed
(continued)
Fannie Mae Pool AE0083
6.00%		01/01/40		$	1,586,645	$	1,808,258
Fannie Mae Pool AL0851
6.00%		10/01/40			2,107,393		2,391,598
Fannie Mae Pool FN0002
3.10%		12/01/17			1,621,389		1,626,498
Fannie Mae REMICS, Series 1997-76, Class FS
1.39%		09/17/27	²		21,321		20,894
Fannie Mae REMICS, Series 2001-60, Class OF
1.93%		10/25/31	²		1,177,448		1,199,531
Fannie Mae REMICS, Series 2003-130, Class HF
1.43%		12/25/33	²		1,617,083		1,618,523
Fannie Mae REMICS, Series 2003-134, Class FC
1.58%		12/25/32	²		7,412,701		7,487,664
Fannie Mae REMICS, Series 2005-57, Class EG
1.28%		03/25/35	²		3,765,818		3,763,686
Fannie Mae REMICS, Series 2005-59, Class NF
1.23%		05/25/35	²		3,866,445		3,861,707
Fannie Mae REMICS, Series 2007-61, Class A
1.26%		03/25/37	²		2,285,586		2,284,994
Fannie Mae REMICS, Series 2007-64, Class FA
1.45%		07/25/37	²		684,524		690,853
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%		12/25/39			1,256,387		1,332,935
Fannie Mae REMICS, Series 2009-33, Class FB
1.80%		03/25/37	²		3,572,464		3,649,821
Fannie Mae REMICS, Series 2009-85, Class LF
2.18%		10/25/49	²		4,161,759		4,252,525
Fannie Mae REMICS, Series 2009-96, Class FA
1.88%		11/25/49	²		3,673,680		3,751,493
Fannie Mae REMICS, Series 2010-109, Class PF
1.38%		10/25/40	²		2,109,415		2,114,732
Fannie Mae REMICS, Series 2010-26, Class S (IO)
5.25%		11/25/36	²		12,627,039		2,195,965
Fannie Mae REMICS, Series 2010-39, Class FE
1.75%		06/25/37	²		6,726,029		6,856,415


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed
(continued)
Fannie Mae REMICS, Series 2010-43, Class DP
5.00%		05/25/40		$	1,769,194	$	1,919,330
Fannie Mae REMICS, Series 2010-6, Class BF
1.74%		02/25/40	²		2,578,912		2,615,817
Fannie Mae REMICS, Series 2010-95, Class S (IO)
5.62%		09/25/40	²		8,754,036		1,749,008
Fannie Mae REMICS, Series 2011-118, Class FB
1.43%		11/25/41	²		12,247,410		12,308,038
Fannie Mae REMICS, Series 2011-71, Class FB
1.48%		05/25/37	²		5,222,333		5,235,980
Fannie Mae REMICS, Series 2012-33, Class F
1.50%		04/25/42	²		9,248,512		9,327,076
Fannie Mae REMICS, Series 2013-54, Class HF
1.18%		10/25/41	²		10,304,712		10,266,692
Fannie Mae REMICS, Series 2013-75, Class FC
1.23%		07/25/42	²		8,379,528		8,355,136
Fannie Mae REMICS, Series G92-10, Class Z
7.75%		01/25/22			847		912
Fannie Mae-Aces, Series 2012-M8, Class ASQ2
1.52%		12/25/19			3,538,809		3,533,689
Fannie Mae-Aces, Series 2013-M11, Class A
1.50%		01/25/18			1,042,352		1,042,353
Fannie Mae-Aces, Series 2013-M4, Class ASQ2
1.45%		02/25/18			11,811,691		11,798,836
Fannie Mae-Aces, Series 2014-M6, Class FA
1.07%		12/25/17	²		2,149,746		2,150,205
Fannie Mae-Aces, Series 2015-M10, Class FA
1.02%		03/25/19	²		15,214,108		15,227,454
Freddie Mac Gold Pool A45796
7.00%		01/01/33			7,560		8,432
Freddie Mac Gold Pool C46104
6.50%		09/01/29			10,691		11,902
Freddie Mac Gold Pool G13032
6.00%		09/01/22			1,105,071		1,179,102
Freddie Mac Gold Pool G13475
6.00%		01/01/24			139,619		149,161


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed
(continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A1
3.40%		07/25/19		$	3,418,921	$	3,497,793
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2
4.22%		03/25/20			14,430,000		15,325,275
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K033, Class A1
2.87%		02/25/23			13,359,879		13,665,433
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A
1.17%		05/25/22	²		11,187,410		11,208,759
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KGRP, Class A
1.36%		04/25/20	²		23,145,343		23,176,293
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A
1.36%		08/25/23	²		14,196,164		14,241,122
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
4.19%		08/25/19			17,405,000		18,319,044
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%		12/25/19			4,267,726		4,350,437
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KIR1, Class A1
2.45%		03/25/26			23,239,659		23,319,690
Freddie Mac REMICS, Series 2174, Class PN
6.00%		07/15/29			688,143		762,626
Freddie Mac REMICS, Series 2454, Class FQ
1.91%		06/15/31	²		10,754		11,083
Freddie Mac REMICS, Series 2733, Class FB
1.51%		10/15/33	²		4,954,016		5,002,382
Freddie Mac REMICS, Series 3071, Class TF
1.21%		04/15/35	²		5,282,622		5,281,971
Freddie Mac REMICS, Series 3084, Class FN
1.41%		12/15/34	²		4,583,111		4,590,703
Freddie Mac REMICS, Series 3294, Class CB
5.50%		03/15/37			347,096		384,834


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed
(continued)
Freddie Mac REMICS, Series 3300, Class FA
1.21%		08/15/35	²	$	1,318,549	$	1,314,823
Freddie Mac REMICS, Series 3325, Class NF
1.21%		08/15/35	²		3,400,335		3,390,728
Freddie Mac REMICS, Series 3346, Class FA
1.14%		02/15/19	²		1,777,715		1,778,849
Freddie Mac REMICS, Series 3524, Class FC
1.85%		06/15/38	²		1,509,384		1,543,546
Freddie Mac REMICS, Series 3531, Class FM
1.81%		05/15/39	²		1,837,399		1,871,228
Freddie Mac REMICS, Series 3672, Class A
6.00%		05/15/40			253,089		267,255
Freddie Mac REMICS, Series 3792, Class DF
1.31%		11/15/40	²		2,352,116		2,355,666
Freddie Mac REMICS, Series 3824, Class FA
1.06%		03/15/26	²		1,747,673		1,747,016
Freddie Mac REMICS, Series 3828, Class TF
1.31%		04/15/29	²		705,559		707,332
Freddie Mac REMICS, Series 4060, Class FJ
1.26%		02/15/41	²		9,251,082		9,267,200
Freddie Mac REMICS, Series 4109, Class KF
1.31%		05/15/32	²		6,166,488		6,169,918
Freddie Mac REMICS, Series 4235, Class FA
1.26%		01/15/34	²		6,953,827		6,960,066
Freddie Mac Strips, Series 240, Class F30
1.21%		07/15/36	²		3,851,688		3,856,239
Freddie Mac Strips, Series 263, Class F5
1.41%		06/15/42	²		4,966,608		4,993,214
Freddie Mac Strips, Series 319, Class F2
1.41%		11/15/43	²		22,628,275		22,692,453
Ginnie Mae I Pool 422972
6.50%		07/15/29			22,838		25,914
Ginnie Mae II Pool 1849
8.50%		08/20/24			433		450
Ginnie Mae II Pool 2020
8.50%		06/20/25			1,315		1,460
Ginnie Mae II Pool 2286
8.50%		09/20/26			1,459		1,642


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 2487
8.50%		09/20/27		$	12,403	$	13,959
Ginnie Mae II Pool 80059
2.13%		04/20/27	²		23,111		23,857
Ginnie Mae II Pool 80589
2.00%		03/20/32	²		39,956		40,242
Ginnie Mae II Pool 80610
2.13%		06/20/32	²		15,331		15,890
Ginnie Mae II Pool 80968
2.13%		07/20/34	²		465,874		479,050
Ginnie Mae II Pool 81201
2.50%		01/20/35	²		12,325		12,899
Ginnie Mae II Pool 8599
3.00%		02/20/25	²		19,588		20,213
Ginnie Mae, Series 2003-11, Class FK
1.23%		02/16/33	²		1,652,739		1,654,596
Ginnie Mae, Series 2004-5, Class PF
1.53%		02/20/33	²		1,109,878		1,111,796
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39	²		3,086,270		3,115,093
Ginnie Mae, Series 2007-12, Class C
5.28%		04/16/41	²		1,856,571		1,876,613
Ginnie Mae, Series 2009-106, Class XI (IO)
5.82%		05/20/37	²		7,487,390		1,325,076
Ginnie Mae, Series 2012-13, Class KF
1.28%		07/20/38	²		2,094,331		2,096,217
Ginnie Mae, Series 2013-53, Class AD
1.50%		12/20/26			4,514,608		4,419,038
NCUA Guaranteed Notes, Series 2010-R1, Class A1
1.43%		10/07/20	²		7,144,417		7,153,809
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
1.15%		11/06/17	²		7,342,371		7,348,107
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
1.32%		12/08/20	²		10,074,912		10,125,484
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
1.34%		12/08/20	²		4,667,091		4,691,876
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
1.38%		03/09/21	²		12,277,002		12,254,418
NCUA Guaranteed Notes, Series 2011-R1, Class 1A
1.30%		01/08/20	²		5,379,704		5,389,018
NCUA Guaranteed Notes, Series 2011-R2, Class 1A
1.25%		02/06/20	²		5,446,745		5,456,958


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
1.16%		03/11/20	²	$	2,816,217	$	2,818,364
NCUA Guaranteed Notes, Series 2011-R4, Class 1A
1.15%		03/06/20	²		842,805		842,995


							469,581,376

Total Mortgage-Backed
(Cost $928,173,247)							936,867,338


MUNICIPAL BONDS — 0.34%*
California — 0.34%
State of California, Taxable, Various Purpose
6.20%		03/01/19			600,000		653,412
University of California, Floating Rate Notes,
Series Y, Class 1
1.48%		07/01/41	²		10,000,000		10,000,000


							10,653,412

Total Municipal Bonds
(Cost $10,643,400)							10,653,412

U.S. TREASURY SECURITIES — 29.15%
U.S. Treasury Notes — 29.15%
U.S. Treasury Notes
0.75%		02/28/18			94,865,000		94,607,456
0.75%		08/15/19			224,590,000		221,449,333
1.13%		02/28/19			234,620,000		234,116,036
1.25%		12/31/18			44,100,000		44,127,563
1.25%		03/31/19			244,330,000		244,306,056
1.88%		01/31/22			33,035,000		32,966,523
1.88%		02/28/22			4,395,000		4,386,584
1.88%		03/31/22			30,095,000		30,020,364

Total U.S. Treasury Securities
(Cost $908,576,045)							905,979,915

Total Bonds – 94.01%
(Cost $2,915,326,394)							2,922,235,698


Issues	Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.00%
Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 6.00% annually; Option Expiration Date of 12/24/23. Counterparty: Goldman Sachs Group, Inc.
		30,000	$	95,808

Total Purchased Swaptions
(Cost $939,000)

Issues

Maturity
Date

Principal
Amount/
Share

Value

SHORT-TERM INVESTMENTS — 5.45%

Commercial Paper — 0.17%

Kraft Heinz Foods Co.

1.60%⁸

06/30/17

5,274,000

5,275,899

Foreign Government Obligations — 4.91%

Japan Treasury Discount Bill, Series 657 (Japan)

0.00%⁸

04/17/17

⁴

3,900,000,000

35,001,826

Japan Treasury Discount Bill, Series 660 (Japan)

0.00%⁸

05/01/17

⁴

4,700,000,000

42,186,159

Japan Treasury Discount Bill, Series 665 (Japan)

0.00%⁸

05/22/17

⁴

4,680,000,000

42,009,835

Japan Treasury Discount Bill, Series 671 (Japan)

0.00%⁸

06/19/17

⁴

3,730,000,000

33,487,520

152,685,340

Money Market Funds — 0.31%

Dreyfus Government Cash Management Fund

0.66%⁹

5,760,000

Fidelity Investments Money Market Funds - Government Portfolio

0.56%^9,10

4,011,048

9,771,048

U.S. Treasury Bills — 0.06%

U.S. Treasury Bills

0.42%⁸

04/06/17

¹¹

1,840,000

1,839,915

Total Short-Term Investments

(Cost $166,021,248)

169,572,202


	Value
Total Investments – 100.20%
(Cost $3,105,568,336)¹	$	3,114,787,948

Liabilities in Excess of Other
Assets – (0.20)%		(6,253,327	)

Net Assets – 100.00%	$	3,108,534,621


Currency Purchased	Currency Sold	Unrealized (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 04/17/17 at 111.35
Counterparty: JPMorgan Securities LLC
USD $34,295,061	JPY 3,900,000,000	$(728,714)
Forward currency contract to sell Japanese Yen on 05/01/17 at 111.29 Counterparty: Citigroup Global Markets, Inc.
USD $41,122,198	JPY 4,700,000,000	(1,109,716)
Forward currency contract to sell Japanese Yen on 05/22/17 at 111.21 Counterparty: Bank of America
USD $41,012,159	JPY 4,680,000,000	(1,069,887)
Forward currency contract to sell Japanese Yen on 06/19/17 at 111.08 Counterparty: Bank of America
USD $33,043,941	JPY 3,730,000,000	(536,161)
Net unrealized (depreciation)		$(3,444,478)


Issues	Notional Amount (000’s)		Premiums (Received)		Value
WRITTEN SWAPTIONS
Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a fixed rate of 7.50% in exchange for receiving from the Fund a floating rate based on 3 month USD LIBOR; Option Expiration Date of 12/24/23. Counterparty: Goldman Sachs Group, Inc.
		$(30,000)		$(540,000)		$(51,369)
Total Written Swaptions				$(540,000)		$(51,369)

Notes:

¹	Cost for federal income tax purposes is $3,106,097,952 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	27,382,160
Gross unrealized (depreciation)		(18,692,164	)

Net unrealized appreciation	$	8,689,996

²	Floating rate security. The rate disclosed was in effect at March 31, 2017.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $23,774,334, which is 0.76% of total net assets.

⁶	Non-income producing security.

⁷	Security is currently in default with regard to scheduled interest or principal payments.

⁸	Represents annualized yield at date of purchase.

⁹	Represents the current yield as of March 31, 2017.

¹⁰	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $4,011,048.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,624,919.

^†

Fair valued security. The aggregate value of fair valued securities is $919,930, which is 0.03% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.


Issues	Maturity Date			Principal Amount		Value
BONDS – 87.93%
ASSET-BACKED SECURITIES — 11.75%**
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.35%		01/25/35	^2,3	$	264,384	$	255,518
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
1.21%		12/25/36	^2,3		796,883		715,040
Bayview Commercial Asset Trust, Series 2007-3, Class A1
1.02%		07/25/37	^2,3		356,257		305,880
Crystal River, Series 2005-1A, Class A (Cayman Islands)
1.42%		03/02/46	^2,3,4,5		470,845		74,154
Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands)
2.52%		04/15/27	^2,3,5		420,000		423,101
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
1.78%		04/26/32	^2,3		645,000		628,576
GE Business Loan Trust, Series 2005-1A, Class A3
1.16%		06/15/33	^2,3		313,441		290,202
GE Business Loan Trust, Series 2005-2A, Class A
1.15%		11/15/33	^2,3		299,304		286,747
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^3,5		223,667		211,967
Higher Education Funding, Series 2014-1, Class A
2.10%		05/25/34	^2,3		454,562		453,974
LEAF Receivables Funding 9 LLC, Series 2013-1, Class E2
6.00%		09/15/21	³		520,000		526,214
Limerock CLO II Ltd., Series 2014-2A, Class AR (Cayman Islands)
2.31%		04/18/26	^2,3,5		200,000		200,054
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
2.35%		04/15/27	^2,3,5		420,000		420,696
National Collegiate Student Loan Trust, Series 2007-2, Class A2
1.11%		06/26/28	²		151,733		150,219
Nelnet Student Loan Trust, Series 2014-4A, Class A2
1.93%		11/25/43	^2,3		500,000		490,144
Panthera Aviation, Series 2013-1
10.00%		01/25/22	^2,3,4,†		338,214		192,782
Scholar Funding Trust, Series 2012-B, Class A2
2.08%		03/28/46	^2,3		1,000,000		993,515
SLC Student Loan Trust, Series 2004-1, Class B
1.33%		08/15/31	²		244,364		214,905


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLC Student Loan Trust, Series 2005-2, Class B
1.41%		03/15/40	²	$	369,767	$	335,503
SLC Student Loan Trust, Series 2005-3, Class B
1.38%		06/15/40	²		200,026		179,455
SLC Student Loan Trust, Series 2006-2, Class B
1.36%		12/15/39	²		453,524		397,359
SLM Student Loan Trust, Series 2004-2, Class B
1.51%		07/25/39	²		453,626		415,151
SLM Student Loan Trust, Series 2005-9, Class B
1.34%		01/25/41	²		334,862		303,539
SLM Student Loan Trust, Series 2006-2, Class A6
1.21%		01/25/41	²		1,200,000		1,141,451
SLM Student Loan Trust, Series 2007-6, Class B
1.89%		04/27/43	²		256,733		235,381
SLM Student Loan Trust, Series 2007-7, Class B
1.79%		10/25/28	²		215,000		195,502
SLM Student Loan Trust, Series 2007-8, Class B
2.04%		04/27/43	²		312,317		287,325
SLM Student Loan Trust, Series 2008-2, Class B
2.24%		01/25/29	²		340,000		321,214
SLM Student Loan Trust, Series 2008-3, Class B
2.24%		04/25/29	²		340,000		316,172
SLM Student Loan Trust, Series 2008-4, Class B
2.89%		04/25/29	²		340,000		330,649
SLM Student Loan Trust, Series 2008-5, Class B
2.89%		07/25/29	²		235,000		232,016
SLM Student Loan Trust, Series 2008-6, Class B
2.89%		07/25/29	²		340,000		333,710
SLM Student Loan Trust, Series 2008-7, Class B
2.89%		07/25/29	²		340,000		333,709
SLM Student Loan Trust, Series 2008-8, Class B
3.29%		10/25/29	²		340,000		341,544
Structured Receivables Finance 2 LLC, Series 2000, Class A
4.71%		04/15/48	³		85,251		85,797
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^3,†		383,586		437,268


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Receivables Finance LLC, Series 2010-B, Class B
7.97%		08/15/36	³	$	385,214	$	453,775


Total Asset-Backed Securities (Cost $13,808,279)							13,510,208

BANK LOANS — 0.19%*
Services — 0.19%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%		01/15/38	^2,5,†		215,377		216,454


Total Bank Loans (Cost $217,190)
CORPORATES — 27.33%*
Banking — 3.20%
Bank of America Corp. (MTN)
5.00%		05/13/21			1,090,000		1,184,597
5.65%		05/01/18			900,000		937,062
6.88%		04/25/18			300,000		315,808
JPMorgan Chase & Co.
3.90%		07/15/25			250,000		259,134
Santander UK Group Holdings PLC (United Kingdom)
2.88%		08/05/21	⁵		165,000		163,483
Wachovia Corp. (MTN)
5.75%		02/01/18			790,000		817,059


							3,677,143

Commercial Services — 0.05%
IHS Markit Ltd. (United Kingdom)
5.00%		11/01/22	^3,5		60,000		63,150

Communications — 1.53%
AT&T, Inc.
4.13%		02/17/26			200,000		203,186
4.80%		06/15/44			350,000		330,978
5.25%		03/01/37			265,000		270,516
CCO Holdings LLC/CCO Holdings Capital Corp.
5.13%		05/01/27	³		91,000		91,568
Charter Communications Operating LLC/Charter Communications Operating Capital
6.48%		10/23/45			200,000		230,930
Level 3 Financing, Inc.
5.25%		03/15/26			60,000		60,450
T-Mobile USA, Inc.
5.38%		04/15/27			60,000		61,950


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Verizon Communications, Inc.
4.52%		09/15/48		$	225,000	$	204,658
4.86%		08/21/46			150,000		143,690
5.15%		09/15/23			150,000		164,952


							1,762,878

Consumer Discretionary — 0.09%
DS Services of America, Inc.
10.00%		09/01/21	³		25,000		26,937
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26			70,000		72,450


							99,387

Consumer Products — 0.36%
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^3,5		350,000		350,242
Central Garden & Pet Co.
6.13%		11/15/23			55,000		58,437


							408,679

Electric — 1.91%
Great Plains Energy, Inc.
2.50%		03/09/20			175,000		175,888
Pennsylvania Electric Co.
5.20%		04/01/20			400,000		425,691
Puget Energy, Inc.
6.00%		09/01/21			250,000		278,804
Southern Co. Gas Capital Corp.
3.25%		06/15/26			500,000		487,553
Southwestern Electric Power Co., Series K
2.75%		10/01/26			500,000		473,845
Virginia Electric & Power Co., Series C
4.00%		11/15/46			355,000		351,295


							2,193,076

Energy — 1.87%
Energy Transfer Partners LP
4.05%		11/01/66	²		41,000		34,673
EQT Midstream Partners LP
4.13%		12/01/26			350,000		347,374
Florida Gas Transmission Co. LLC
7.90%		05/15/19	³		200,000		222,039
Gulfport Energy Corp.
6.38%		05/15/25	³		55,000		54,244
HollyFrontier Corp.
5.88%		04/01/26			285,000		303,099
Kinder Morgan, Inc./DE
3.05%		12/01/19			250,000		254,356


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Ruby Pipeline LLC
6.00%		04/01/22	³	$	200,000	$	211,817
Sabine Pass Liquefaction LLC
4.20%		03/15/28	³		175,000		173,469
Texas Eastern Transmission LP
2.80%		10/15/22	³		300,000		290,799
Williams Partners LP
3.60%		03/15/22			250,000		253,872


							2,145,742

Finance — 6.79%
Bear Stearns Cos. LLC (The)
7.25%		02/01/18			500,000		522,625
Citigroup, Inc.
1.60%		08/25/36	²		1,000,000		809,444
1.70%		04/27/18			380,000		380,261
Ford Motor Credit Co. LLC
2.15%		01/09/18			300,000		300,954
3.16%		08/04/20			275,000		279,335
General Electric Corp. (MTN)
1.52%		08/15/36	²		2,500,000		2,203,797
Goldman Sachs Group, Inc. (The)
5.95%		01/18/18			750,000		774,654
6.15%		04/01/18			885,000		922,198
International Lease Finance Corp.
7.13%		09/01/18	³		500,000		535,000
Morgan Stanley (GMTN)
6.63%		04/01/18			500,000		523,467
7.30%		05/13/19			500,000		552,981


							7,804,716

Food — 0.27%
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	³		50,000		51,437
Kraft Heinz Foods Co.
3.00%		06/01/26			200,000		188,319
Lamb Weston Holdings, Inc.
4.88%		11/01/26	³		65,000		66,300


							306,056

Health Care — 2.96%
Abbott Laboratories
3.75%		11/30/26			355,000		355,569
AbbVie, Inc.
3.20%		05/14/26			180,000		173,269
Actavis Funding SCS (Luxembourg)
3.80%		03/15/25	⁵		420,000		424,534
Amgen, Inc.
4.40%		05/01/45			200,000		194,899


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Anthem, Inc.
1.88%		01/15/18		$	400,000	$	400,439
Celgene Corp.
5.00%		08/15/45			320,000		335,416
Centene Corp.
4.75%		01/15/25			81,000		81,659
Gilead Sciences, Inc.
4.15%		03/01/47			355,000		331,887
HCA, Inc.
5.00%		03/15/24			160,000		168,200
Quintiles IMS, Inc.
4.88%		05/15/23	³		65,000		65,894
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	⁵		400,000		397,355
Tenet Healthcare Corp.
4.63%		06/15/20	²		150,000		151,500
Valeant Pharmaceuticals International, Inc. (Canada)
6.13%		04/15/25	^3,5		200,000		155,000
6.50%		03/15/22	^3,5		60,000		61,878
7.00%		03/15/24	^3,5		55,000		56,584
WellCare Health Plans, Inc.
5.25%		04/01/25			49,000		50,264


							3,404,347

Industrials — 0.63%
SBA Communications Corp.
4.88%		09/01/24	³		79,000		78,013
Sealed Air Corp.
5.25%		04/01/23	³		140,000		147,700
United Technologies Corp. (STEP)
1.78%		05/04/18			500,000		499,991


							725,704

Information Technology — 0.18%
First Data Corp.
5.00%		01/15/24	³		135,000		137,869
MSCI, Inc.
4.75%		08/01/26	³		65,000		66,056


							203,925

Insurance — 1.00%
Farmers Exchange Capital II
6.15%		11/01/53	^2,3		700,000		757,000
Nationwide Mutual Insurance Co.
3.42%		12/15/24	^2,3		400,000		395,000


							1,152,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued) Materials — 0.06%
CORPORATES (continued) Materials — 0.06%
Valvoline, Inc.
5.50%		07/15/24	³	$	70,000	$	73,850

Real Estate Investment Trust (REIT) — 4.28%
American Tower Corp.
4.50%		01/15/18			400,000		408,614
Boston Properties LP
3.70%		11/15/18			350,000		358,897
Education Realty Operating Partnership LP
4.60%		12/01/24			300,000		304,636
Equinix, Inc.
5.38%		05/15/27			70,000		72,450
HCP, Inc.
3.88%		08/15/24			325,000		327,381
Highwoods Realty LP
7.50%		04/15/18			500,000		526,875
Kimco Realty Corp. (MTN)
4.30%		02/01/18			350,000		355,297
National Retail Properties, Inc.
6.88%		10/15/17			500,000		512,731
Prologis LP
4.00%		01/15/18			400,000		404,803
Realty Income Corp.
2.00%		01/31/18			500,000		500,952
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			600,000		600,994
VEREIT Operating Partnership LP
3.00%		02/06/19			140,000		140,787
Welltower, Inc.
3.75%		03/15/23			400,000		410,228


							4,924,645

Retail — 0.35%
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			400,000		408,502

Services — 0.06%
Aramark Services, Inc.
4.75%		06/01/26			70,000		70,700

Transportation — 1.74%
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23			228,353		242,625
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			1,308,120		1,366,985


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued) Transportation (continued)
CORPORATES (continued) Transportation (continued)
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23		$	350,654	$	395,801


							2,005,411

Total Corporates (Cost $30,893,523)							31,429,911

MORTGAGE-BACKED — 47.99%**
Commercial Mortgage-Backed — 8.14%
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2014-520M, Class A
4.18%		08/15/46	^2,3		110,000		116,038
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4
5.78%		12/10/49	²		556,354		557,018
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
2.12%		09/10/45	^2,3,4		2,202,539		138,930
Commercial Mortgage Trust, Series 2006-GG7, Class AM
5.73%		07/10/38	²		409,184		411,130
Commercial Mortgage Trust, Series 2013-CR12, Class XA
1.35%		10/10/46	^2,4		2,251,436		133,325
Credit Suisse Mortgage Trust, Series 2010-RR1, Class 2A
5.70%		09/15/40	^2,3		597,556		599,511
GS Mortgage Securities Trust, Series 2010-C2, Class A1
3.85%		12/10/43	³		681,287		701,662
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA
1.34%		11/15/45	^2,4		4,961,327		229,688
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class ASB
3.43%		08/15/47			680,000		707,591
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class XA
1.07%		11/15/47	^2,4		3,308,054		163,698
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A2
3.62%		11/15/43	³		1,080,446		1,090,928
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A1
3.30%		08/05/32	³		147,734		150,018
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2
4.31%		08/05/32	³		110,000		114,902


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A3
4.39%		02/15/46	³	$	694,721	$	709,681
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class XA (IO)
0.53%		01/15/46	^2,4		12,105,898		124,751
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)
1.43%		04/15/46	^2,4		1,973,721		113,298
LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3
5.87%		09/15/45	²		662,087		672,094
Morgan Stanley Capital I Trust, Series 2011-C3, Class A3
4.05%		07/15/49			522,197		542,076
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A1
1.45%		08/15/49			551,835		547,274
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class A1
1.71%		03/15/49			388,076		387,793
OBP Depositor LLC Trust, Series 2010-OBP, Class A
4.65%		07/15/45	³		100,000		106,603
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3
5.76%		06/15/49	²		226,912		226,677
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM
6.05%		02/15/51	²		150,000		151,773
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)
1.77%		11/15/44	^2,3,4		3,870,381		248,707
WF-RBS Commercial Mortgage Trust, Series 2014-C21, Class A2
2.92%		08/15/47			405,000		412,777


							9,357,943

Non-Agency Mortgage-Backed — 32.59%
ACE Securities Corp., Series 2006-HE3, Class A2C
1.13%		06/25/36	²		1,669,516		1,146,765
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
1.21%		09/25/35	²		326,042		321,973
Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1
5.50%		03/25/20			152,517		153,608


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust, Series 2006-3, Class 5A3
5.50%		03/25/36		$	561,377	$	524,503
BCAP LLC Trust, Series 2007-AA1, Class 1A2
1.14%		02/25/47	²		181,380		180,242
BCAP LLC Trust, Series 2009-RR4, Class 1A1
9.50%		06/26/37	³		14,979		14,997
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.30%		05/27/37	^2,3		590,066		589,566
BCAP LLC Trust, Series 2011-RR3, Class 5A3
3.17%		11/27/37	^2,3		1,287,616		1,287,054
Bear Stearns ALT-A Trust, Series 2005-1, Class A1
1.54%		01/25/35	²		430,876		425,198
Bear Stearns ARM Trust, Series 2005-2, Class A1
3.26%		03/25/35	²		215,495		217,377
Chase Funding Trust, Series 2007-A1, Class 8A1
3.25%		02/25/37	²		195,671		198,626
Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT3, Class M2
1.66%		05/25/35	²		455,267		460,678
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
1.16%		03/25/37	²		58,003		57,999
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			270,089		286,143
Conseco Finance, Series 2002-C, Class BF1
8.00%		06/15/32	²		1,015,197		1,054,073
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^2,3		657,412		708,991
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	²		457,805		496,589
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		72,731		74,978
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	²		361,471		385,240
Conseco Financial Corp., Series 1998-4, Class A6
6.53%		04/01/30	²		466,586		498,440


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Financial Corp., Series 1998-4, Class A7
6.87%		04/01/30	²	$	231,039	$	248,648
Conseco Financial Corp., Series 1999-5, Class A5
7.86%		03/01/30	²		91,490		74,840
Credit Suisse Mortgage Trust, Series 2014-4R, Class 16A1
0.98%		02/27/36	^2,3		462,046		454,459
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
4.37%		02/25/37			1,326,014		979,710
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.37%		02/25/37			437,860		323,465
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP)
3.93%		03/25/37			1,205,460		666,431
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
3.80%		04/19/36	²		594,651		556,191
Green Tree Home Improvement Loan Trust, Series 1995-D, Class B2
7.45%		09/15/25			219		219
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
1.16%		01/25/47	²		218,257		216,069
GSAMP Trust, Series 2005-HE5, Class M1
1.40%		11/25/35	²		489,307		487,331
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A
3.04%		05/25/47	²		766,035		678,569
HSBC Home Equity Loan Trust, Series 2007-3, Class A4
2.28%		11/20/36	²		468,747		470,186
HSBC Home Equity Loan Trust, Series 2007-3, Class APT
1.98%		11/20/36	²		210,142		210,295
HSI Asset Loan Obligation Trust, Series 2007-2, Class 2A12
6.00%		09/25/37			476,560		438,562
Impac CMB Trust, Series 2004-4, Class 1A2
1.60%		09/25/34	²		581,546		560,086
IndyMac Index Mortgage Loan Trust, Series 2005-AR25, Class 2A1
3.10%		12/25/35	²		547,393		485,969
IndyMac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C
1.17%		04/25/37	²		2,642,440		1,948,602


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28		$	301,120	$	305,244
IndyMac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28			126,762		128,884
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			108,254		113,278
IndyMac Manufactured Housing Contract, Series 1998-1, Class A5
6.96%		09/25/28	²		260,928		279,479
IndyMac Manufactured Housing Contract, Series 1998-2, Class A2
6.17%		08/25/29			12,935		12,934
IndyMac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%		08/25/29	²		128,066		129,534
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF6 (STEP)
4.45%		03/25/47			1,062,704		783,771
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2
5.88%		06/25/21			426,587		417,741
JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2
5.50%		03/25/22			222,049		227,904
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	²		231,337		240,115
Lehman XS Trust, Series 2006-13, Class 1A2
1.15%		09/25/36	²		496,714		457,529
Lehman XS Trust, Series 2006-9, Class A1B
1.14%		05/25/46	²		542,814		509,069
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4
1.26%		05/25/37	²		1,810,500		1,293,134
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D (IO)
1.31%		04/25/37	^2,4		1,696,107		210,384
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B
1.09%		12/25/37	²		773,169		515,337
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D
1.20%		01/25/38	²		2,602,254		1,802,834
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
1.08%		03/25/37	²		933,437		561,144


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors, Inc., Series 2004-HE2, Class A2C
2.14%		08/25/35	²	$	709,726	$	711,189
Mid-State Trust XI, Series 2011, Class B
8.22%		07/15/38			11,730		12,611
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			795,994		908,968
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37			550,515		586,891
Mid-State Trust, Series 2005-1, Class A
5.75%		01/15/40			224,761		242,236
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
2.90%		09/25/34	²		537,619		539,663
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	²		2,677,235		1,308,813
Oakwood Mortgage Investors, Inc., Series 1998-A, Class M
6.83%		05/15/28	²		376,553		386,032
Oakwood Mortgage Investors, Inc., Series 1998-D, Class A
6.40%		01/15/29			123,436		124,187
Oakwood Mortgage Investors, Inc., Series 1999-A, Class A2
5.89%		04/15/29			24,742		25,203
Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4
6.99%		12/15/26			532,017		560,057
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A3
5.90%		09/15/22	²		1,030,285		866,992
Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3
6.03%		05/15/24	²		489,703		513,552
Park Place Securities, Inc., Series 2005-WCH1, Class M2
1.76%		01/25/36	²		92,839		92,859
Residential Accredit Loans Trust, Series 2005-QA3, Class NB1
3.67%		03/25/35	²		902,507		631,360
Residential Asset Securities Trust, Series 2005-KS12, Class A3
1.30%		01/25/36	²		90,208		90,132
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
1.22%		12/25/36	^2,3		1,743,832		1,095,950
Specialty Underwriting & Residential Finance, Series 2006-AB3, Class A2B
1.13%		09/25/37	²		666,636		408,787


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
3.30%		09/25/34	²	$	650,879	$	642,719
Structured Asset Investment Loan Trust, Series 2005-4, Class M2
1.64%		05/25/35	²		492,979		493,632
Terwin Mortgage Trust, Series 2004-7HE, Class A1
1.53%		07/25/34	^2,3		98,925		95,969
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.97%		04/15/30	^2,4		585		37
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A
1.27%		07/25/45	²		125,005		120,557
Wells Fargo Home Equity Trust, Series 2007-1, Class A3
1.30%		03/25/37	²		1,500,000		1,141,098


							37,470,481

U.S. Agency Mortgage-Backed — 7.26%
Fannie Mae Pool 466411
3.31%		11/01/20			340,000		352,941
Fannie Mae Pool 468043
4.31%		06/01/21			260,499		280,452
Fannie Mae Pool 468542
4.50%		08/01/21			325,000		353,233
Fannie Mae Pool AL2293
4.38%		06/01/21			641,730		688,696
Fannie Mae Pool FN0003
4.28%		01/01/21			362,680		384,511
Fannie Mae REMICS, Series 1993-80, Class S
9.68%		05/25/23	²		2,928		3,263
Fannie Mae REMICS, Series 2000-45, Class SA (IO)
6.97%		12/18/30	²		475,075		70,460
Fannie Mae REMICS, Series 2001-42, Class SB
8.50%		09/25/31	²		792		964
Fannie Mae REMICS, Series 2003-124, Class TS
9.80%		01/25/34	²		8,769		10,009
Fannie Mae REMICS, Series 2003-64, Class KS
8.38%		07/25/18	²		42,335		43,318
Fannie Mae REMICS, Series 2005-92, Class US (IO)
5.12%		10/25/25	²		1,905,977		207,183


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2006-125, Class SM (IO)
6.22%		01/25/37	²	$	1,625,875	$	319,200
Fannie Mae REMICS, Series 2008-50, Class SA (IO)
5.07%		11/25/36	²		1,880,184		309,540
Fannie Mae REMICS, Series 2010-43, Class KS (IO)
5.44%		05/25/40	²		1,658,350		286,479
Fannie Mae-Aces, Series 2011-M5, Class X
1.14%		07/25/21	²		5,407,688		219,147
Fannie Mae-Aces, Series 2012-M2, Class X
0.72%		02/25/22	²		3,849,867		108,497
Fannie Mae-Aces, Series 2013-M12, Class X1 (IO)
0.14%		10/25/17	²		25,778,720		777
Fannie Mae-Aces, Series 2016-M13, Class FA
1.44%		11/25/23	²		704,031		705,365
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K702, Class X1 (IO)
1.45%		02/25/18	²		10,723,108		97,794
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K712, Class X1
1.34%		11/25/19	²		6,540,598		179,310
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X1
0.70%		10/25/20	²		11,292,356		229,492
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO)
3.08%		01/25/19	²		5,485,162		180,504
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X
0.65%		09/25/25	²		6,000,000		275,064
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%		12/25/19			335,760		342,267
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class AX
1.21%		01/25/20	²		3,507,779		91,336
Freddie Mac REMICS, Series 1602, Class SN
10.09%		10/15/23	²		14,590		16,988


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 1673, Class SD
14.18%		02/15/24	²	$	146,861	$	177,402
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%		06/15/23			6,296		331
Freddie Mac REMICS, Series 2990, Class ND
14.57%		12/15/34	²		99,859		113,348
Freddie Mac REMICS, Series 3242, Class SA (IO)
5.44%		11/15/36	²		5,271,965		900,535
Freddie Mac REMICS, Series 3247, Class SI (IO)
0.15%		08/15/36	²		21,106,925		135,851
Freddie Mac REMICS, Series 3260, Class AS (IO)
5.47%		01/15/37	²		3,453,385		542,628
Freddie Mac REMICS, Series 3289, Class SD (IO)
5.21%		03/15/37	²		1,266,091		139,714
Ginnie Mae, Series 2001-31, Class SJ
24.58%		02/20/31	²		23,311		37,570
Ginnie Mae, Series 2004-8, Class SE
12.74%		11/26/23	²		86,493		101,115
Ginnie Mae, Series 2009-114, Class IO
0.00%		10/16/49	²		7,846,924		62,311
Ginnie Mae, Series 2011-77, Class IO
0.53%		04/16/42	²		5,628,165		207,181
Ginnie Mae, Series 2014-125, Class IO
0.98%		11/16/54	²		2,552,572		179,556


							8,354,332

Total Mortgage-Backed (Cost $54,680,979)							55,182,756

MUNICIPAL BONDS — 0.67%*
California — 0.33%
California Health Facilities Financing Authority, Saint Joseph Health, Series A
3.00%		10/01/41			450,000		382,667

NewYork — 0.34%
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds
5.81%		08/01/30			350,000		387,839

Total Municipal Bonds (Cost $748,479)							770,506


	Value
Total Bonds – 87.93%
(Cost $100,348,450)	$	101,109,835

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 11.92%

Foreign Government Obligations — 5.46%

Japan Treasury Discount Bill, Series 660 (Japan)

0.00%⁶

05/01/17

⁵

50,000,000

448,789

Japan Treasury Discount Bill, Series 665 (Japan)

0.00%⁶

05/22/17

⁵

40,000,000

359,058

Japan Treasury Discount Bill, Series 671 (Japan)

0.00%⁶

06/19/17

⁵

610,000,000

5,476,511

6,284,358

Money Market Funds — 2.29%

Dreyfus Government Cash Management Fund

0.66%⁷

2,633,000

U.S. Agency Discount Notes — 0.70%

Federal Home Loan Bank

0.46%⁶

04/07/17

800,000

799,939

U.S. Treasury Bills — 3.47%

U.S. Treasury Bills

0.42%⁶

04/06/17

⁸

90,000

89,996

0.63%⁶

04/20/17

1,600,000

1,599,455

0.68%⁶

04/27/17

2,300,000

2,298,889

3,988,340

Total Short-Term Investments

(Cost $13,608,239)

13,705,637

Total Investments – 99.85%
(Cost $113,956,689)¹

114,815,472

Cash and Other Assets, Less

Liabilities – 0.15%

170,447

Net Assets – 100.00%

114,985,919


	Currency Purchased		Currency Sold		Unrealized (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 05/01/17 at 111.29 Counterparty: Citigroup Global Markets, Inc.
USD	$	437,470		JPY 50,000,000	$	(11,806	)
Forward currency contract to sell Japanese Yen on 05/22/17 at 111.21 Counterparty: Bank of America
USD	$	350,531		JPY 40,000,000		(9,144	)
Forward currency contract to sell Japanese Yen on 06/19/17 at 111.08 Counterparty: Bank of America
USD	$	5,403,969		JPY 610,000,000		(87,683	)

Net unrealized (depreciation)					$	(108,633	)

Notes:

¹	Cost for federal income tax purposes is $113,957,793 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	4,600,113
Gross unrealized (depreciation)		(3,742,434	)

Net unrealized appreciation	$	857,679

²	Floating rate security. The rate disclosed was in effect at March 31, 2017.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $1,629,754, which is 1.42% of total net assets.

⁵	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁶	Represents annualized yield at date of purchase.

⁷	Represents the current yield as of March 31, 2017.

⁸	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $89,996.

^†

Fair valued security. The aggregate value of fair valued securities is $846,504, which is 0.74% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.


Issues	Maturity Date			Principal Amount		Value
BONDS – 97.61%
ASSET-BACKED SECURITIES — 6.09%**
A Voce CLO Ltd., Series 2014-1A, Class A1B (Cayman Islands)
2.48%		07/15/26	^2,3,4	$	12,000	$	12,020
A Voce CLO Ltd., Series 2014-1A, Class A1R (Cayman Islands)
0.00%		07/15/26	^2,3,4		25,475,000		25,475,000
Academic Loan Funding Trust, Series 2012-1A, Class A2
2.08%		12/27/44	^3,4		13,850,000		13,814,851
American Money Management Corp., Series 2013-13A, Class A1L (Cayman Islands)
2.49%		01/26/26	^2,3,4		500,000		500,193
American Money Management Corp., Series 2015-16A, Class A1 (Cayman Islands)
2.52%		04/14/27	^2,3,4		80,380,000		80,806,255
ARES XXVI CLO Ltd., Series 2013-1A, Class A (Cayman Islands)
2.12%		04/15/25	^2,3,4		500,000		500,169
Avery Point CLO Ltd., Series 2014-1A, Class A (Cayman Islands)
2.56%		04/25/26	^2,3,4		500,000		501,123
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
1.19%		11/14/33	^2,3,4		183,753		172,728
Babson CLO Ltd., Series 2013-IA, Class A (Cayman Islands)
2.13%		04/20/25	^2,3,4		1,000,000		1,001,048
Babson CLO Ltd., Series 2015-IA, Class A (Cayman Islands)
2.46%		04/20/27	^2,3,4		74,000,000		74,216,968
Babson CLO, Inc., Series 2004-3A, Class AR (Cayman Islands)
2.30%		01/15/26	^2,3,4		21,760,000		21,808,873
Ballyrock CLO LLC, Series 2014-1, Class A1 (Cayman Islands)
2.51%		10/20/26	^2,3,4		50,675,000		50,714,070
Ballyrock CLO LLC, Series 2014-1A, Class A1R (Cayman Islands)
0.00%		10/20/26	^2,3,4		51,090,000		51,090,000
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.35%		01/25/35	^3,4		2,581,844		2,495,260
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
1.28%		04/25/35	^3,4		5,271,925		4,860,975
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
1.21%		12/25/36	^3,4		173,481		155,664
Bayview Commercial Asset Trust, Series 2007-1, Class A1
1.20%		03/25/37	^3,4		5,954,671		5,251,918


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Bayview Commercial Asset Trust, Series 2007-3, Class A1
1.02%		07/25/37	^3,4	$	1,500,761	$	1,288,546
Betony CLO Ltd., Series 2015-1A, Class AR (Cayman Islands)
2.37%		04/15/27	^2,3,4		30,000,000		30,038,850
Brazos Higher Education Authority, Inc., Series 2005-1, Class 1A4
1.30%		03/26/29	³		8,400,000		8,192,604
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
2.25%		02/25/35	³		13,390,000		13,538,165
Brazos Higher Education Authority, Inc., Series 2011-1, Class A3
2.10%		11/25/33	³		16,050,000		16,037,518
Brazos Higher Education Authority, Inc., Series 2011-2, Class A2
1.89%		07/25/29	³		2,035,771		2,040,316
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
2.04%		10/27/36	³		24,361,000		24,428,287
Brazos Higher Education Authority, Inc., Series 2012-1, Class A1
1.68%		12/26/35	³		70,359		69,603
Chase Issuance Trust, Series 2012-A10, Class A10
1.17%		12/16/19	³		64,515,000		64,612,902
CIFC Funding Ltd., Series 2012-2A, Class A1R (Cayman Islands)
2.45%		12/05/24	^2,3,4		469,257		470,334
CIT Education Loan Trust, Series 2007-1, Class A
1.24%		03/25/42	^3,4		26,605,247		24,839,459
CIT Education Loan Trust, Series 2007-1, Class B
1.45%		06/25/42	^3,4		19,232,033		17,152,139
Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2
2.13%		01/23/20	³		13,595,000		13,721,168
Clear Creek CLO Ltd., Series 2015-1A, Class A (Cayman Islands)
2.48%		04/20/27	^2,3,4		26,550,000		26,575,515
College Loan Corp. Trust, Series 2005-2, Class B
1.51%		01/15/37	³		4,068,927		3,655,596
Dryden 33 Senior Loan Fund (Cayman Islands)
2.45%		10/15/28	^2,3,4		4,000,000		4,012,976
Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands)
2.52%		04/15/27	^2,3,4		43,550,000		43,871,573
Dryden XXV Senior Loan Fund (Cayman Islands)
2.22%		01/15/25	^2,3,4		18,000,000		18,009,108


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class AR (Cayman Islands)
0.00%		04/18/26	^2,3,4	$	34,495,000	$	34,503,624
Eaton Vance CLO Ltd., Series 2014-1A, Class AR (Cayman Islands)
2.23%		07/15/26	^2,3,4		28,570,000		28,594,484
Education Loan Asset-Backed Trust, Series 2013-1, Class A1
1.78%		06/25/26	^3,4		8,845,862		8,857,155
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
1.78%		04/26/32	^3,4		12,740,000		12,415,593
Educational Funding of the South, Inc., Series 2011-1, Class A2
1.69%		04/25/35	³		37,326		37,155
Educational Funding of the South, Inc., Series 2012-1, Class A
2.03%		03/25/36	³		21,471,876		21,607,998
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2
2.33%		03/25/36	^3,4		16,085,000		16,317,439
GCO Education Loan Funding Trust, Series 2006-1, Class A11L
1.28%		05/25/36	³		25,000,000		22,640,154
GE Business Loan Trust, Series 2005-1A, Class A3
1.16%		06/15/33	^3,4		3,745,623		3,467,908
GE Business Loan Trust, Series 2005-2A, Class A
1.15%		11/15/33	^3,4		8,386,689		8,034,842
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^2,4		65,299,667		61,883,848
Goal Capital Funding Trust, Series 2005-2, Class A3
1.22%		05/28/30	³		14,017,935		13,921,348
Goal Capital Funding Trust, Series 2005-2, Class B
1.58%		11/25/44	³		11,829,991		10,477,032
Goal Capital Funding Trust, Series 2006-1, Class B
1.50%		08/25/42	³		3,363,261		3,109,336
Goal Structured Solutions Trust, Series 2015-1, Class A
1.63%		09/25/41	^3,4		122,140,676		118,685,255
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A (Cayman Islands)
2.19%		04/25/25	^2,3,4		6,560,000		6,557,153
Honda Auto Receivables Owner Trust, Series 2015-4, Class A2
0.82%		07/23/18			44,302,663		44,263,745


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	⁴	$	922,345	$	924,415
J.G. Wentworth XXXII LLC, Series 2014-2A, Class A
3.61%		01/17/73	⁴		54,258,934		51,378,929
Limerock CLO III Ltd., Series 2014-3A, Class A1R (Cayman Islands)
2.23%		10/20/26	^2,3,4		78,000,000		78,015,522
Magnetite IX CLO Ltd., Series 2014-9A, Class A1 (Cayman Islands)
2.46%		07/25/26	^2,3,4		12,000		12,017
Magnetite XI CLO Ltd., Series 2014-11A, Class A1 (Cayman Islands)
2.47%		01/18/27	^2,3,4		35,305,000		35,315,803
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
2.35%		04/15/27	^2,3,4		22,220,000		22,256,841
Navient Student Loan Trust, Series 2014-1, Class A2
1.29%		03/27/23	³		1,925,789		1,926,274
Navient Student Loan Trust, Series 2014-1, Class A3
1.49%		06/25/31	³		1,175,000		1,156,364
Navient Student Loan Trust, Series 2014-2, Class A
1.62%		03/25/83	³		87,841,103		86,682,628
Navient Student Loan Trust, Series 2014-3, Class A
1.60%		03/25/83	³		91,065,101		89,911,119
Navient Student Loan Trust, Series 2014-4, Class A
1.60%		03/25/83	³		140,828,527		139,033,907
Navient Student Loan Trust, Series 2014-5, Class A
1.60%		03/25/83	³		114,950,866		113,500,450
Navient Student Loan Trust, Series 2014-6, Class A
1.59%		03/25/83	³		114,610,997		112,996,094
Navient Student Loan Trust, Series 2014-7, Class A
1.59%		03/25/83	³		117,975,318		116,303,283
Navient Student Loan Trust, Series 2015-1, Class A2
1.58%		04/25/40	³		199,400,000		197,974,489
Navient Student Loan Trust, Series 2015-2, Class A1
1.26%		11/25/24	³		8,255,412		8,258,045
Navient Student Loan Trust, Series 2015-2, Class A3
1.55%		11/26/40	³		98,255,000		97,634,107
Navient Student Loan Trust, Series 2016-1A, Class A
1.68%		02/25/70	^3,4		43,244,214		42,604,985


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1
1.75%		02/25/36	^3,4	$	10,125,000	$	9,282,647
Nelnet Student Loan Trust, Series 2006-1, Class A6
1.50%		08/23/36	^3,4		12,500,000		11,786,313
Nelnet Student Loan Trust, Series 2007-2A, Class A3L
1.50%		03/25/26	^3,4		52,301,519		51,021,753
Nelnet Student Loan Trust, Series 2008-3, Class A4
2.70%		11/25/24	³		2,342,938		2,370,636
Nelnet Student Loan Trust, Series 2014-2A, Class A1
1.26%		06/25/21	^3,4		253,724		253,683
Nelnet Student Loan Trust, Series 2014-3A, Class A
1.56%		06/25/41	^3,4		34,529,986		34,278,335
Nelnet Student Loan Trust, Series 2014-5A, Class A
1.53%		07/25/41	^3,4		105,190,499		103,709,248
Nelnet Student Loan Trust, Series 2015-1A, Class A
1.57%		04/25/41	^3,4		191,428,312		187,295,107
Nelnet Student Loan Trust, Series 2015-2A, Class A2
1.58%		09/25/42	^3,4		247,301,797		245,502,602
Nelnet Student Loan Trust, Series 2015-3A, Class A2
1.58%		02/26/46	^3,4		9,068,883		9,056,657
Nelnet Student Loan Trust, Series 2015-3A, Class A3
1.88%		06/25/49	^3,4		13,095,000		12,509,477
Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A
0.87%		11/15/18			13,863,837		13,852,956
Nissan Auto Receivables Owner Trust, Series 2016-B, Class A2A
1.05%		04/15/19			78,894,978		78,805,862
North Carolina State Education Authority, Series 2011-1, Class A3
1.94%		10/25/41	³		24,545,000		24,513,144
North Carolina State Education Authority, Series 2011-2, Class A2
1.84%		07/25/25	³		6,793		6,816
Northstar Education Finance, Inc., Series 2007-1, Class A1
1.14%		04/28/30	³		10,000		9,832
Northstar Education Finance, Inc., Series 2007-1, Class A2
1.79%		01/29/46	³		42,780,000		41,382,805
Northwoods Capital Corp., Series 2014-11A, Class A (Cayman Islands)
2.62%		04/15/25	^2,3,4		500,000		500,393


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3
2.10%		10/01/37	³	$	16,955,000	$	16,889,677
Panthera Aviation, Series 2013-1
10.00%		01/25/22	^3,4,5,†		13,004,312		7,412,455
Panthera Aviation, Series 2013-2
10.00%		03/20/24	^3,4,5,†		15,944,679		8,929,017
PHEAA Student Loan Trust, Series 2015-1A, Class A
1.58%		10/25/41	^3,4		217,426,709		213,485,937
Scholar Funding Trust, Series 2012-B, Class A2
2.08%		03/28/46	^3,4		38,825,000		38,573,206
SLC Student Loan Trust I, Series 2002-2, Class B2
2.37%		07/01/42	^3,4		24,150,000		20,871,179
SLC Student Loan Trust, Series 2005-3, Class B
1.38%		06/15/40	³		463,828		416,128
SLC Student Loan Trust, Series 2006-1, Class A6
1.29%		12/15/38	³		9,495,000		8,674,178
SLC Student Loan Trust, Series 2006-1, Class B
1.34%		03/15/39	³		124,109		112,490
SLC Student Loan Trust, Series 2006-2, Class A6
1.29%		09/15/39	³		16,000,000		14,953,330
SLC Student Loan Trust, Series 2008-1, Class A4A
2.73%		12/15/32	³		22,725,694		23,478,789
SLM Student Loan Trust I, Series 2003-10A, Class A3
1.60%		12/15/27	^3,4		170,525,531		170,305,212
SLM Student Loan Trust, Series 2003-11, Class A5
1.18%		12/15/22	^3,4		14,043,593		14,017,631
SLM Student Loan Trust, Series 2003-11, Class A6
1.88%		12/15/25	^3,4		16,265,000		16,285,445
SLM Student Loan Trust, Series 2003-4, Class A5E
1.88%		03/15/33	^3,4		7,619,905		7,490,647
SLM Student Loan Trust, Series 2004-1, Class A4
1.30%		10/27/25	³		2,810,000		2,792,648
SLM Student Loan Trust, Series 2004-5A, Class A5
1.64%		10/25/23	^3,4		4,062,674		4,068,574
SLM Student Loan Trust, Series 2004-8, Class B
1.50%		01/25/40	³		1,547,467		1,404,477


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2004-8A, Class A5
1.54%		04/25/24	^3,4	$	67,826,844	$	68,078,211
SLM Student Loan Trust, Series 2005-4, Class B
1.22%		07/25/40	³		6,475,815		5,954,699
SLM Student Loan Trust, Series 2005-5, Class A5
1.79%		10/25/40	³		60,000		57,790
SLM Student Loan Trust, Series 2005-6, Class B
1.33%		01/25/44	³		12,505,620		11,427,842
SLM Student Loan Trust, Series 2006-10, Class B
1.26%		03/25/44	³		14,948,636		13,200,054
SLM Student Loan Trust, Series 2006-2, Class A6
1.21%		01/25/41	³		42,655,000		40,573,837
SLM Student Loan Trust, Series 2006-5, Class A5
1.15%		01/25/27	³		90,915,833		90,557,738
SLM Student Loan Trust, Series 2006-7, Class A5
1.14%		01/27/25	³		18,674,660		18,670,747
SLM Student Loan Trust, Series 2006-8, Class A6
1.20%		01/25/41	³		32,855,000		30,533,131
SLM Student Loan Trust, Series 2006-9, Class A5
1.14%		01/26/26	³		3,485,847		3,465,508
SLM Student Loan Trust, Series 2007-1, Class A5
1.13%		01/26/26	³		19,295,398		19,210,639
SLM Student Loan Trust, Series 2007-1, Class B
1.26%		01/27/42	³		6,136,185		5,557,031
SLM Student Loan Trust, Series 2007-3, Class A4
1.10%		01/25/22	³		3,160,000		3,024,310
SLM Student Loan Trust, Series 2007-6, Class A4
1.42%		10/25/24	³		37,859,566		37,735,504
SLM Student Loan Trust, Series 2007-6, Class B
1.89%		04/27/43	³		5,729,669		5,253,144
SLM Student Loan Trust, Series 2008-2, Class B
2.24%		01/25/29	³		38,874,000		36,726,093
SLM Student Loan Trust, Series 2008-3, Class A3
2.04%		10/25/21	³		30,447		30,389
SLM Student Loan Trust, Series 2008-3, Class B
2.24%		04/25/29	³		1,750,000		1,627,359


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-4, Class A4
2.69%		07/25/22	³	$	3,803,074	$	3,874,843
SLM Student Loan Trust, Series 2008-4, Class B
2.89%		04/25/29	³		4,384,000		4,263,432
SLM Student Loan Trust, Series 2008-5, Class A4
2.74%		07/25/23	³		26,889,800		27,500,868
SLM Student Loan Trust, Series 2008-5, Class B
2.89%		07/25/29	³		32,444,000		32,032,002
SLM Student Loan Trust, Series 2008-6, Class B
2.89%		07/25/29	³		31,644,000		31,058,545
SLM Student Loan Trust, Series 2008-7, Class B
2.89%		07/25/29	³		17,346,000		17,025,056
SLM Student Loan Trust, Series 2008-8, Class A4
2.54%		04/25/23	³		6,445,000		6,571,895
SLM Student Loan Trust, Series 2008-8, Class B
3.29%		10/25/29	³		545,000		547,474
SLM Student Loan Trust, Series 2008-9, Class A
2.54%		04/25/23	³		184,831,619		188,698,445
SLM Student Loan Trust, Series 2008-9, Class B
3.29%		10/25/29	³		31,675,000		32,177,286
SLM Student Loan Trust, Series 2009-3, Class A
1.73%		01/25/45	^3,4		244,479,774		242,824,083
SLM Student Loan Trust, Series 2012-1, Class A2
1.43%		11/25/20	³		2,576,842		2,576,998
SLM Student Loan Trust, Series 2012-2, Class A
1.68%		01/25/29	³		19,048,498		18,922,167
SLM Student Loan Trust, Series 2012-3, Class A
1.63%		12/26/25	³		42,524,513		42,039,602
SLM Student Loan Trust, Series 2012-6, Class A2
1.26%		09/25/19	³		904,207		904,174
SLM Student Loan Trust, Series 2012-7, Class A2
1.26%		09/25/19	³		2,153,151		2,151,141
SLM Student Loan Trust, Series 2013-3, Class A2
1.28%		05/26/20	³		3,871,093		3,869,503
SLM Student Loan Trust, Series 2013-6, Class A3
1.63%		06/26/28	³		30,335,000		30,232,298


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2014-2, Class A2
1.33%		10/25/21	³	$	14,323,435	$	14,329,811
South Carolina Student Loan Corp., Floating Rate Notes, Series 2006-1, Class A2
1.17%		12/01/22	³		5,206,144		5,195,330
Spirit Master Funding LLC, Series 2014-1A, Class A1
5.05%		07/20/40	⁴		10,168,490		10,316,941
Spirit Master Funding LLC, Series 2014-2A, Class A
5.76%		03/20/42	⁴		7,858,723		8,241,836
Vermont Student Assistance Corp., Series 2012-1, Class A
1.68%		07/28/34	³		6,054,230		6,027,470
Voya CLO Ltd., Series 2013-3A, Class A1R (Cayman Islands)
0.00%		01/18/26	^3,4		4,425,000		4,425,000
Voya CLO Ltd., Series 2015-1A, Class A1 (Cayman Islands)
2.50%		04/18/27	^2,3,4		15,610,000		15,710,216
Wachovia Student Loan Trust, Series 2006-1, Class A6
1.21%		04/25/40	^3,4		20,000		18,359

Total Asset-Backed Securities
(Cost $4,821,934,011)							4,796,709,202

BANK LOANS — 0.22%*
Consumer Discretionary — 0.04%
Reynolds Group Holdings, Inc., Term Loan, 1st Lien
3.98% (LIBOR plus 3.00%)		02/05/23	³		27,064,170		27,200,979

Electric — 0.05%
Homer City Generation LP, Term Loan B, 1st Lien
12.00% (LIBOR plus 11.00%)		02/08/23	^3,5		19,537,000		18,169,410
Vistra Operations Co. LLC, Term Loan B, 1st Lien
3.73% (LIBOR plus 2.75%)		08/04/23	³		13,657,984		13,648,013
Vistra Operations Co. LLC, Term Loan C, 1st Lien
3.73% (LIBOR plus 2.75%)		08/04/23	³		3,122,786		3,120,506


							34,937,929

Energy — 0.00%
Drillships Financing Holding, Term Loan B1, 1st Lien⁶
6.06% (LIBOR plus 5.00%)		03/31/21	^3,7		2,420,487		1,740,330

Finance — 0.05%
Delos Finance SARL, Term Loan B, 1st Lien
3.40% (LIBOR plus 2.25%)		10/06/23	³		41,759,581		42,281,576


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Industrials — 0.07%
Johnson Controls International PLC,
Senior Term Loan
2.81% (LIBOR plus 1.75%)		09/10/19	^3,5	$	36,960,000	$	36,925,442
TransDigm, Inc., Term Loan F, 1st Lien
3.98% (LIBOR plus 3.00%)		06/09/23	³		19,231,801		19,180,644


							56,106,086

Services — 0.01%
AABS Ltd., Term Loan, Series 2013-1,
Class A (STEP) (Bermuda)
4.88%		01/15/38	^2,3,†		10,970,786		11,025,638

Total Bank Loans
(Cost $173,179,137)							173,292,538

CORPORATES — 27.10%*
Automotive — 0.26%
Ford Motor Credit Co. LLC
1.68%		09/08/17			12,002,000		12,002,748
6.63%		08/15/17			69,122,000		70,388,453
General Motors Co.
3.50%		10/02/18			2,792,000		2,854,326
4.88%		10/02/23			25,149,000		26,869,192
5.00%		04/01/35			4,825,000		4,788,316
5.20%		04/01/45			4,775,000		4,697,559
6.60%		04/01/36			15,025,000		17,396,123
General Motors Financial Co., Inc.
2.40%		05/09/19			18,960,000		19,010,434
3.20%		07/06/21			8,595,000		8,642,511
Goodyear Tire & Rubber Co. (The)
4.88%		03/15/27			32,627,000		32,708,567
Tenneco, Inc.
5.00%		07/15/26			2,093,000		2,055,054

							201,413,283

Banking — 5.95%
Bank of America Corp.
2.00%		01/11/18			143,621,000		144,015,383
4.10%		07/24/23			3,233,000		3,391,171
5.70%		01/24/22			6,265,000		7,041,033
5.75%		12/01/17			197,750,000		202,998,285
6.00%		09/01/17			53,791,000		54,773,708
6.50%		07/15/18			18,440,000		19,482,782
6.88%		11/15/18			34,761,000		37,421,277
7.63%		06/01/19			42,055,000		46,971,293
Bank of America Corp. (GMTN)
3.30%		01/11/23			35,875,000		36,144,780
3.50%		04/19/26			10,674,000		10,514,557
6.40%		08/28/17			41,169,000		41,977,250
Bank of America Corp. (MTN)
1.70%		08/25/17			2,500,000		2,505,103


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
1.70%		12/01/26	³	$	14,400,000	$	13,015,814
3.82%		01/20/28	³		17,550,000		17,615,093
3.88%		08/01/25			81,405,000		82,994,840
4.00%		04/01/24			27,435,000		28,487,846
4.13%		01/22/24			86,667,000		90,660,962
5.00%		05/13/21			58,570,000		63,653,056
5.00%		01/21/44			3,270,000		3,576,768
5.65%		05/01/18			210,273,000		218,932,032
6.88%		04/25/18			207,651,000		218,592,546
8.63%		05/02/17	³		5,800,000		5,546,540
8.90%		05/18/17	³		5,990,000		5,705,475
9.52%		06/06/17	³		12,113,000		11,523,097
Bank of America Corp., Series L
2.60%		01/15/19			31,092,000		31,429,348
Bank of America N.A. (BKNT)
1.43%		06/15/17	³		51,120,000		51,129,611
6.10%		06/15/17			97,869,000		98,715,014
Bank of New York Mellon Corp. (MTN) (The)
1.35%		03/06/18			750,000		749,170
2.60%		02/07/22			81,530,000		81,327,590
Bank One Corp.
8.00%		04/29/27			2,500,000		3,272,423
Bank One Corp. (STEP)
8.53%		03/01/19			1,810,000		2,026,245
Capital One Bank USA N.A. (BKNT)
2.15%		11/21/18			11,602,000		11,621,606
Capital One Financial Corp.
2.45%		04/24/19			300,000		301,969
3.20%		02/05/25			700,000		680,337
Credit Suisse/New York (GMTN) (Switzerland)
1.73%		01/29/18	^2,3		15,200,000		15,251,406
Discover Bank
2.00%		02/21/18			45,491,000		45,546,620
2.60%		11/13/18			98,730,000		99,739,341
3.45%		07/27/26			2,465,000		2,373,465
4.20%		08/08/23			10,900,000		11,367,163
7.00%		04/15/20			9,000,000		10,041,534
Discover Bank (BKNT)
3.10%		06/04/20			6,023,000		6,153,482
3.20%		08/09/21			6,970,000		7,080,743
8.70%		11/18/19			3,676,000		4,192,937
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^2,4		115,294,000		120,846,386
JPMorgan Chase & Co.
1.66%		03/09/21	³		14,860,000		14,815,821
1.80%		01/25/18			8,600,000		8,617,138
2.00%		01/23/20	³		15,000,000		15,233,730
2.55%		10/29/20			92,420,000		92,829,190
2.70%		05/18/23			26,300,000		25,755,472


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
2.75%		06/23/20		$	33,300,000	$	33,749,417
2.95%		10/01/26			4,570,000		4,357,989
3.20%		01/25/23			9,750,000		9,864,163
3.63%		05/13/24			4,750,000		4,862,352
3.78%		02/01/28	³		3,770,000		3,814,648
3.90%		07/15/25			61,269,000		63,507,524
4.25%		10/15/20			10,525,000		11,172,687
4.50%		01/24/22			3,100,000		3,344,230
4.95%		03/25/20			20,000,000		21,605,180
6.00%		01/15/18			367,481,000		379,929,419
6.30%		04/23/19			170,000		184,819
JPMorgan Chase & Co., Series H (MTN)
1.70%		03/01/18			16,735,000		16,746,933
JPMorgan Chase Bank N.A. (BKNT)
6.00%		07/05/17			1,678,000		1,697,970
6.00%		10/01/17			294,453,000		300,643,874
Lloyds Banking Group PLC (United Kingdom)
4.58%		12/10/25	²		2,100,000		2,139,425
Macquarie Bank Ltd. (Australia)
1.60%		10/27/17	^2,4		20,000,000		20,001,960
1.66%		10/27/17	^2,3,4		89,760,000		90,033,858
PNC Bank N.A.
1.80%		11/05/18			26,460,000		26,498,460
Royal Bank of Scotland PLC (United Kingdom)
6.00%		12/19/23	²		5,200,000		5,504,013
Santander UK Group Holdings PLC (United Kingdom)
2.88%		10/16/20	²		79,390,000		79,351,416
2.88%		08/05/21	²		20,955,000		20,762,361
Santander UK PLC (United Kingdom)
2.50%		03/14/19	²		29,781,000		30,030,118
3.05%		08/23/18	²		7,225,000		7,342,255
UBS AG/Stamford CT (BKNT) (GMTN) (Switzerland)
1.80%		03/26/18	²		62,275,000		62,325,131
UBS AG/Stamford CT (GMTN) (Switzerland)
1.85%		03/26/18	^2,3		80,250,000		80,583,760
UBS AG/Stamford CT (Switzerland)
1.38%		06/01/17	²		40,540,000		40,553,581
1.61%		06/01/17	^2,3		33,900,000		33,924,917
Wachovia Corp. (MTN)
5.75%		02/01/18			177,344,000		183,418,325
Wells Fargo & Co.
2.10%		07/26/21			4,610,000		4,519,616
2.15%		01/15/19			15,135,000		15,211,311
2.50%		03/04/21			98,680,000		98,527,100
3.00%		04/22/26			115,105,000		110,677,314
3.00%		10/23/26			95,246,000		91,305,768
5.63%		12/11/17			139,981,000		143,779,419


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co. (GMTN)
1.50%		01/16/18		$	103,929,000	$	103,753,984
2.60%		07/22/20			20,646,000		20,843,313
4.90%		11/17/45			690,000		721,097
Wells Fargo & Co. (MTN)
1.40%		09/08/17			15,000,000		15,002,408
2.55%		12/07/20			14,221,000		14,273,923
3.30%		09/09/24			5,895,000		5,902,605
Wells Fargo Bank N.A.
1.75%		05/24/19			60,000,000		59,835,450
Wells Fargo Bank N.A. (BKNT) (MTN)
1.65%		01/22/18			110,930,000		110,980,584
Wells Fargo Bank N.A. (MTN)
2.15%		12/06/19			222,065,000		222,674,446

							4,684,597,555

Commercial Services — 0.05%
IHS Markit Ltd. (United Kingdom)
5.00%		11/01/22	^2,4		33,251,000		34,996,677
Nielsen Co. Luxembourg SARL (The) (Luxembourg)
5.00%		02/01/25	^2,4		5,203,000		5,196,496

							40,193,173

Communications — 2.71%
21st Century Fox America, Inc.
4.75%		09/15/44			5,800,000		5,852,615
4.95%		10/15/45			8,155,000		8,485,567
5.40%		10/01/43			6,105,000		6,687,124
6.15%		03/01/37			6,730,000		7,969,126
Altice Financing SA (Luxembourg)
7.50%		05/15/26	^2,4		1,230,000		1,309,950
Altice U.S. Finance I Corp.
5.38%		07/15/23	⁴		48,629,000		50,331,015
5.50%		05/15/26	⁴		45,455,000		46,818,650
AT&T, Inc.
3.00%		06/30/22			5,000,000		4,972,655
3.40%		05/15/25			115,030,000		111,297,161
3.60%		02/17/23			18,835,000		19,110,066
3.80%		03/15/22			28,678,000		29,706,680
4.13%		02/17/26			102,996,000		104,636,520
4.25%		03/01/27			13,745,000		13,932,222
4.35%		06/15/45			31,078,000		27,429,472
4.45%		04/01/24			22,195,000		23,294,496
4.50%		05/15/35			37,620,000		35,605,712
4.55%		03/09/49			10,485,000		9,375,323
4.60%		02/15/21			2,343,000		2,494,690
4.75%		05/15/46			42,590,000		39,891,625
4.80%		06/15/44			48,130,000		45,514,178
5.00%		03/01/21			2,000,000		2,159,700


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
5.25%		03/01/37		$	88,275,000	$	90,112,590
5.45%		03/01/47			39,230,000		40,069,708
CCO Holdings LLC/CCO Holdings Capital Corp.
5.13%		05/01/27	⁴		62,469,000		62,858,963
Cequel Communications Holdings I LLC/Cequel Capital Corp.
6.38%		09/15/20	⁴		6,494,000		6,721,290
Charter Communications Operating LLC/Charter Communications Operating Capital
4.91%		07/23/25			1,460,000		1,542,723
6.38%		10/23/35			43,738,000		49,701,676
6.48%		10/23/45			84,505,000		97,573,698
Comcast Corp.
2.75%		03/01/23			34,775,000		34,667,827
3.60%		03/01/24			600,000		616,267
4.40%		08/15/35			17,230,000		17,892,511
4.60%		08/15/45			7,800,000		8,088,748
CSC Holdings LLC
5.50%		04/15/27	⁴		63,059,000		64,244,509
6.75%		11/15/21			4,216,000		4,582,265
8.63%		02/15/19			8,975,000		9,872,500
10.88%		10/15/25	⁴		3,500,000		4,217,500
DISH DBS Corp.
5.88%		07/15/22			1,846,000		1,941,807
6.75%		06/01/21			11,275,000		12,198,141
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	²		16,584,000		13,764,720
7.25%		04/01/19	²		3,750,000		3,590,813
Level 3 Financing, Inc.
5.25%		03/15/26			15,429,000		15,544,717
5.63%		02/01/23			866,000		898,475
Numericable-SFR SA (France)
7.38%		05/01/26	^2,4		5,130,000		5,303,138
Sirius XM Radio, Inc.
4.25%		05/15/20	⁴		2,639,000		2,665,390
5.75%		08/01/21	⁴		17,341,000		18,039,138
Sky PLC (United Kingdom)
6.10%		02/15/18	^2,4		1,375,000		1,424,643
Softbank Group Corp. (Japan)
4.50%		04/15/20	^2,4		1,000,000		1,030,000
Sprint Communications, Inc.
9.00%		11/15/18	⁴		82,450,000		89,565,435
Time Warner Cable LLC
4.50%		09/15/42			5,000,000		4,547,968
5.50%		09/01/41			5,000,000		5,144,895
5.88%		11/15/40			28,125,000		30,086,775
6.55%		05/01/37			6,045,000		6,954,525
6.75%		07/01/18			63,452,000		67,116,290
8.25%		04/01/19			18,847,000		21,020,200


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
8.75%		02/14/19		$	14,400,000	$	16,102,980
Time Warner Entertainment Co. LP
8.38%		03/15/23			1,400,000		1,748,122
Time Warner, Inc.
3.80%		02/15/27			23,740,000		23,564,051
T-Mobile USA, Inc.
4.00%		04/15/22			2,802,000		2,854,538
5.13%		04/15/25			5,220,000		5,402,700
5.38%		04/15/27			4,788,000		4,943,610
6.63%		04/28/21			4,574,000		4,738,664
6.73%		04/28/22			55,277,000		57,330,541
Verizon Communications, Inc.
2.95%		03/15/22	⁴		8,611,000		8,586,528
3.50%		11/01/24			5,925,000		5,902,235
3.85%		11/01/42			15,905,000		13,319,976
4.13%		03/16/27			97,880,000		99,764,141
4.40%		11/01/34			27,795,000		26,380,985
4.52%		09/15/48			28,562,000		25,979,710
4.60%		04/01/21			1,200,000		1,283,165
4.67%		03/15/55			2,681,000		2,404,101
4.81%		03/15/39	⁴		16,686,000		16,306,127
4.86%		08/21/46			155,917,000		149,357,806
5.01%		04/15/49	⁴		68,722,000		67,000,789
5.05%		03/15/34			8,260,000		8,424,472
5.15%		09/15/23			37,046,000		40,738,727
5.25%		03/16/37			96,335,000		99,835,910
5.50%		03/16/47			4,588,000		4,802,305
Viacom, Inc.
3.45%		10/04/26			41,200,000		39,267,864
Virgin Media Secured Finance PLC (United Kingdom)
5.25%		01/15/26	^2,4		4,089,000		4,124,779
5.50%		08/15/26	^2,4		7,294,000		7,439,880


							2,128,079,098

Consumer Discretionary — 0.65%
Altria Group, Inc.
9.70%		11/10/18			47,493,000		53,303,222
Anheuser-Busch InBev Finance, Inc.
3.65%		02/01/26			183,098,000		185,305,613
3.70%		02/01/24			1,250,000		1,292,679
4.70%		02/01/36			59,735,000		63,184,666
Anheuser-Busch InBev Worldwide, Inc.
7.75%		01/15/19			30,149,000		33,171,718
Anheuser-Busch North American Holding Corp.
2.20%		08/01/18	⁴		29,840,000		30,043,061
BAT International Finance PLC (EMTN) (United Kingdom)
1.63%		09/09/19	²		22,385,000		22,058,877


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Churchill Downs, Inc.
5.38%		12/15/21		$	12,595,000	$	13,161,775
DS Services of America, Inc.
10.00%		09/01/21	⁴		32,622,000		35,150,205
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26			20,628,000		21,349,980
KFC Holding Co/Pizza Hut Holdings LLC/
Taco Bell of America LLC
5.00%		06/01/24	⁴		845,000		865,069
5.25%		06/01/26	⁴		9,023,000		9,203,460
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
4.52%		07/15/21	^3,4		3,800,000		3,897,394
5.75%		10/15/20			36,814,000		37,918,420
Spectrum Brands, Inc.
5.75%		07/15/25			2,913,000		3,080,498


							512,986,637

Consumer Products — 0.06%
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^2,4		34,559,000		34,582,880
Central Garden & Pet Co.
6.13%		11/15/23			7,977,000		8,475,563
Scotts Miracle-Gro Co. (The)
5.25%		12/15/26	⁴		5,782,000		5,868,730


							48,927,173

Electric — 1.64%
AEP Transmission Co. LLC
3.10%		12/01/26	⁴		16,140,000		15,955,326
Alabama Power Capital Trust V
4.25%		10/01/42	³		290,000		279,330
American Transmission Systems, Inc.
5.00%		09/01/44	⁴		3,145,000		3,420,305
Appalachian Power Co.
4.45%		06/01/45			30,241,000		31,477,434
Cleveland Electric Illuminating Co.,
Series D (The)
7.88%		11/01/17			34,880,000		36,100,381
Dominion Resources, Inc.
1.88%		12/15/18	⁴		27,940,000		27,909,121
Duke Energy Carolinas LLC
2.50%		03/15/23			8,772,000		8,692,008
3.75%		06/01/45			35,725,000		34,189,254
3.88%		03/15/46			3,000,000		2,940,795
4.00%		09/30/42			17,550,000		17,506,011
4.25%		12/15/41			28,843,000		29,926,083
Duke Energy Corp.
1.63%		08/15/17			400,000		400,139
2.65%		09/01/26			13,665,000		12,730,717


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Duke Energy Indiana LLC
3.75%		05/15/46		$	3,225,000	$	3,056,078
Duke Energy Indiana LLC, Series UUU
4.20%		03/15/42			7,700,000		7,829,475
Duke Energy Indiana LLC, Series WWW
4.90%		07/15/43			7,000,000		7,873,320
Duke Energy Progress LLC
3.70%		10/15/46			30,715,000		29,404,975
4.10%		05/15/42			8,915,000		9,065,173
4.15%		12/01/44			10,900,000		11,087,578
4.20%		08/15/45			16,475,000		16,862,789
Duquesne Light Holdings, Inc.
5.90%		12/01/21	⁴		2,000,000		2,237,094
6.25%		08/15/35			42,000		45,141
Entergy Corp.
4.00%		07/15/22			13,822,000		14,496,977
5.13%		09/15/20			10,210,000		11,038,092
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			25,905,000		27,047,799
Entergy Texas, Inc.
7.13%		02/01/19			35,000		38,104
Eversource Energy, Series H
3.15%		01/15/25			6,700,000		6,677,468
Eversource Energy, Series K
2.75%		03/15/22			3,930,000		3,945,618
Exelon Corp.
1.55%		06/09/17			8,735,000		8,734,418
FirstEnergy Transmission LLC
4.35%		01/15/25	⁴		25,530,000		26,589,121
5.45%		07/15/44	⁴		63,750,000		69,775,793
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	⁴		11,592		11,592
Great Plains Energy, Inc.
2.50%		03/09/20			16,375,000		16,458,103
3.15%		04/01/22			34,585,000		34,945,341
4.85%		04/01/47			6,410,000		6,593,973
Homer City Generation LP⁶
8.14%		10/01/19	^5,7		13,274,266		5,176,964
8.73%		10/01/26	^5,7		54,115,382		20,834,422
Indiana Michigan Power Co., Series K
4.55%		03/15/46			12,600,000		13,376,664
Indianapolis Power & Light Co.
4.70%		09/01/45	⁴		100,000		105,815
IPALCO Enterprises, Inc.
5.00%		05/01/18			7,500,000		7,721,977
ITC Holdings Corp.
3.65%		06/15/24			5,650,000		5,708,644
Jersey Central Power & Light Co.
4.30%		01/15/26	⁴		5,450,000		5,679,854


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
4.70%		04/01/24	⁴	$	31,002,000	$	33,149,974
4.80%		06/15/18			14,875,000		15,349,661
6.40%		05/15/36			13,825,000		16,073,387
Kansas City Power & Light Co.
3.15%		03/15/23			24,190,000		24,372,610
3.65%		08/15/25			15,195,000		15,326,019
6.38%		03/01/18			9,410,000		9,791,942
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			75,000		87,079
LG&E & KU Energy LLC
4.38%		10/01/21			11,320,000		11,962,574
Metropolitan Edison Co.
3.50%		03/15/23	⁴		11,725,000		11,916,273
4.00%		04/15/25	⁴		32,119,000		32,651,424
7.70%		01/15/19			14,000		15,288
MidAmerican Energy Co.
3.10%		05/01/27			8,405,000		8,394,418
4.25%		05/01/46			33,420,000		34,589,633
4.40%		10/15/44			8,875,000		9,409,222
4.80%		09/15/43			15,005,000		16,832,024
Nevada Power Co.
5.45%		05/15/41			600,000		701,837
NextEra Energy Capital Holdings, Inc.
1.59%		06/01/17			12,940,000		12,944,167
1.65%		09/01/18			15,314,000		15,278,533
2.30%		04/01/19			7,190,000		7,237,975
NextEra Energy Capital Holdings, Inc.,
Series F
2.06%		09/01/17			24,226,000		24,268,880
Niagara Mohawk Power Corp.
3.51%		10/01/24	⁴		6,000,000		6,138,435
Oncor Electric Delivery Co. LLC
4.10%		06/01/22			16,683,000		17,755,400
5.25%		09/30/40			9,938,000		11,704,359
5.30%		06/01/42			15,908,000		18,998,908
7.00%		09/01/22			25,475,000		30,716,825
PacifiCorp
3.35%		07/01/25			7,200,000		7,316,215
Pennsylvania Electric Co.
4.15%		04/15/25	⁴		25,325,000		25,442,324
5.20%		04/01/20			25,200,000		26,818,558
6.05%		09/01/17			4,260,000		4,329,962
Potomac Electric Power Co.
3.60%		03/15/24			7,123,000		7,398,293
4.15%		03/15/43			7,677,000		7,844,036
Public Service Co. of New Hampshire
6.00%		05/01/18			5,000,000		5,221,390
Public Service Co. of New Mexico
3.85%		08/01/25			10,000,000		10,187,927


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
5.35%		10/01/21		$	5,320,000	$	5,645,687
7.95%		05/15/18			41,187,000		44,024,949
Public Service Co. of Oklahoma
4.40%		02/01/21			400,000		423,736
Puget Energy, Inc.
6.00%		09/01/21			3,494,000		3,896,568
Southern Co. (The)
1.55%		07/01/18			13,200,000		13,147,385
Southern Co. Gas Capital Corp.
2.45%		10/01/23			11,015,000		10,582,766
Southwestern Electric Power Co.
3.55%		02/15/22			17,377,000		17,865,867
6.45%		01/15/19			28,760,000		31,027,762
Southwestern Electric Power Co., Series F
5.88%		03/01/18			19,504,000		20,216,793
Southwestern Electric Power Co., Series K
2.75%		10/01/26			26,350,000		24,971,632
Trans-Allegheny Interstate Line Co.
3.85%		06/01/25	⁴		5,856,000		6,008,514
Tucson Electric Power Co.
3.85%		03/15/23			85,000		85,163
Virginia Electric & Power Co.
5.40%		04/30/18			18,865,000		19,597,728
Virginia Electric & Power Co., Series A
3.15%		01/15/26			3,285,000		3,272,524
Virginia Electric & Power Co., Series B
2.95%		11/15/26			18,625,000		18,216,870

							1,293,154,762

Energy — 1.44%
Anadarko Petroleum Corp.
4.50%		07/15/44			24,921,000		23,597,720
Antero Resources Corp.
5.00%		03/01/25	⁴		3,785,000		3,711,760
Boardwalk Pipelines LP
4.95%		12/15/24			70,940,000		74,595,716
5.20%		06/01/18			10,819,000		11,189,778
BP Capital Markets PLC (United Kingdom)
1.85%		05/05/17	²		500,000		500,263
3.06%		03/17/22	²		11,653,000		11,810,665
3.25%		05/06/22	²		10,000,000		10,222,000
3.51%		03/17/25	²		9,267,000		9,328,653
3.54%		11/04/24	²		20,883,000		21,125,974
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	⁴		23,400,000		23,610,764
4.50%		03/10/46	⁴		15,650,000		16,413,141
Devon Energy Corp.
4.75%		05/15/42			11,800,000		11,364,604
5.60%		07/15/41			3,590,000		3,809,310


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Enbridge Energy Partners LP
5.50%		09/15/40		$	4,700,000	$	4,788,373
5.88%		10/15/25			23,730,000		26,609,007
7.38%		10/15/45			44,430,000		55,808,487
Energy Transfer Partners LP
3.60%		02/01/23			22,030,000		21,925,335
4.05%		11/01/66	³		41,396,000		35,007,562
4.20%		04/15/27			7,600,000		7,525,041
4.75%		01/15/26			4,250,000		4,385,622
4.90%		03/15/35			6,490,000		6,212,630
5.15%		03/15/45			44,825,000		42,481,639
6.50%		02/01/42			2,000,000		2,171,790
Florida Gas Transmission Co. LLC
7.90%		05/15/19	⁴		21,200,000		23,536,123
Gulfport Energy Corp.
6.38%		05/15/25	⁴		27,099,000		26,726,389
HollyFrontier Corp.
5.88%		04/01/26			20,000,000		21,270,070
KeySpan Gas East Corp.
2.74%		08/15/26	⁴		30,307,000		29,040,395
Kinder Morgan Energy Partners LP
3.50%		09/01/23			4,688,000		4,627,126
4.25%		09/01/24			3,845,000		3,899,284
4.30%		05/01/24			13,329,000		13,581,445
Kinder Morgan, Inc.
6.95%		06/01/28			7,000,000		7,642,100
Kinder Morgan, Inc./DE
3.05%		12/01/19			1,090,000		1,108,991
5.30%		12/01/34			2,275,000		2,289,528
Noble Energy, Inc.
5.05%		11/15/44			27,413,000		28,143,090
Panhandle Eastern Pipeline Co. LP
8.13%		06/01/19			2,407,000		2,671,652
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			32,275,000		33,653,686
Regency Energy Partners LP/Regency Energy Finance Corp.
4.50%		11/01/23			5,000,000		5,137,625
5.00%		10/01/22			1,722,000		1,828,549
Rockies Express Pipeline LLC
5.63%		04/15/20	⁴		770,000		814,275
6.00%		01/15/19	⁴		15,106,000		15,785,770
6.85%		07/15/18	⁴		23,896,000		25,090,800
Ruby Pipeline LLC
6.00%		04/01/22	⁴		59,601,000		63,122,525
Sabine Pass Liquefaction LLC
4.20%		03/15/28	⁴		51,165,000		50,717,306
5.63%		03/01/25			40,492,000		43,984,435
5.75%		05/15/24			15,000,000		16,414,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Shell International Finance BV (Netherlands)
4.38%		05/11/45	²	$	21,509,000	$	21,850,777
4.55%		08/12/43	²		4,075,000		4,239,813
Southern Natural Gas Co. LLC
4.80%		03/15/47	⁴		5,090,000		5,164,910
Spectra Energy Partners LP
3.50%		03/15/25			3,000,000		2,926,322
4.50%		03/15/45			6,381,000		5,984,312
4.60%		06/15/21			7,000,000		7,425,026
TC PipeLines LP
4.38%		03/13/25			36,050,000		36,480,632
4.65%		06/15/21			6,108,000		6,429,873
Tennessee Gas Pipeline Co. LLC
7.63%		04/01/37			40,000		48,666
8.38%		06/15/32			5,224,000		6,670,873
Texas Eastern Transmission LP
2.80%		10/15/22	⁴		40,071,000		38,842,002
Trans-Canada Pipelines Ltd. (Canada)
6.35%		05/15/67	^2,3		85,000		79,581
Tucson Electric Power Co.
5.15%		11/15/21			4,800,000		5,175,826
Williams Cos., Inc. (The)
7.88%		09/01/21			4,538,000		5,252,735
Williams Partners LP
3.35%		08/15/22			10,070,000		10,047,049
3.60%		03/15/22			63,760,000		64,747,387
5.10%		09/15/45			445,000		443,613
6.30%		04/15/40			54,995,000		62,137,030
Williams Partners LP/ACMP Finance Corp.
4.88%		05/15/23			2,175,000		2,253,257


							1,135,481,182

Environmental Control — 0.00%
Republic Services, Inc.
3.80%		05/15/18			1,975,000		2,018,147

Finance — 6.16%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.75%		05/15/19	²		21,355,000		21,938,483
Alta Wind Holdings LLC
7.00%		06/30/35	^4,5		11,169,728		12,265,534
American Express Bank FSB (BKNT)
6.00%		09/13/17			8,100,000		8,266,427
American Express Co.
1.55%		05/22/18			14,645,000		14,632,032
7.00%		03/19/18			99,122,000		104,138,911
American Express Credit Corp. (MTN)
1.80%		07/31/18			26,095,000		26,136,413
2.20%		03/03/20			42,020,000		42,100,804


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Associates Corp. of North America
6.95%		11/01/18		$	25,559,000	$	27,484,807
Bear Stearns Cos. LLC (The)
4.65%		07/02/18			4,330,000		4,482,526
6.40%		10/02/17			266,994,000		273,429,890
7.25%		02/01/18			155,484,000		162,519,651
CIT Group, Inc.
4.25%		08/15/17			9,633,000		9,723,309
6.63%		04/01/18	⁴		6,632,000		6,922,150
Citigroup Capital III
7.63%		12/01/36			7,438,000		8,816,834
Citigroup, Inc.
1.53%		08/14/17	³		5,355,000		5,360,109
1.55%		08/14/17			36,333,000		36,329,839
1.60%		08/25/36	³		82,299,000		66,616,432
1.70%		04/27/18			83,991,000		84,048,618
1.75%		11/24/17	³		46,230,000		46,387,043
1.75%		05/01/18			46,794,000		46,767,150
1.80%		02/05/18			243,657,000		243,832,433
1.85%		11/24/17			44,000,000		44,083,512
2.05%		12/07/18			38,412,000		38,487,047
2.05%		06/07/19			48,475,000		48,459,052
2.15%		07/30/18			62,997,000		63,265,115
2.50%		09/26/18			68,228,000		68,854,026
2.55%		04/08/19			13,290,000		13,395,137
4.50%		01/14/22			265,000		284,305
5.50%		09/13/25			10,000,000		10,951,220
6.00%		08/15/17			10,750,000		10,917,485
6.13%		11/21/17			31,236,000		32,092,360
6.13%		05/15/18			135,548,000		141,978,804
8.50%		05/22/19			20,900,000		23,663,478
Countrywide Capital III, Series B
8.05%		06/15/27			3,000,000		3,729,594
Discover Financial Services
3.85%		11/21/22			10,899,000		11,127,803
5.20%		04/27/22			4,515,000		4,876,502
Ford Motor Credit Co. LLC
1.72%		12/06/17			12,428,000		12,433,903
2.10%		01/09/18	³		45,075,000		45,250,297
2.15%		01/09/18			15,955,000		16,005,721
2.24%		06/15/18			10,000,000		10,038,213
2.55%		10/05/18			4,370,000		4,407,265
3.00%		06/12/17			27,062,000		27,142,306
3.34%		03/18/21			12,900,000		13,080,336
5.00%		05/15/18			42,988,000		44,427,991
GE Capital International Funding Co. (Ireland)
4.42%		11/15/35	²		120,249,000		127,221,398
General Electric Corp. (GMTN)
5.63%		05/01/18			295,000		308,497


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
6.15%		08/07/37		$	4,121,000	$	5,353,146
General Electric Corp. (MTN)
1.41%		05/05/26	³		11,450,000		11,258,875
1.52%		08/15/36	³		13,220,000		11,653,681
4.38%		09/16/20			5,815,000		6,260,400
5.88%		01/14/38			13,571,000		17,165,007
General Electric Corp.,
Series A (MTN)
6.75%		03/15/32			3,984,000		5,380,197
General Motors Financial Co., Inc.
3.00%		09/25/17			52,050,000		52,382,027
3.10%		01/15/19			44,080,000		44,806,628
4.38%		09/25/21			10,000,000		10,515,947
4.75%		08/15/17			47,107,000		47,638,932
Goldman Sachs Group, Inc. (GMTN) (The)
5.38%		03/15/20			60,000		65,089
7.50%		02/15/19			21,655,000		23,775,934
Goldman Sachs Group, Inc. (MTN) (The)
1.93%		12/15/17	³		19,550,000		19,621,866
2.14%		11/15/18	³		75,675,000		76,517,827
3.85%		07/08/24			123,639,000		126,709,204
Goldman Sachs Group, Inc. (The)
2.38%		01/22/18			223,083,000		224,442,468
3.75%		02/25/26			2,824,000		2,852,791
3.85%		01/26/27			16,665,000		16,777,355
5.25%		07/27/21			13,000,000		14,290,907
5.95%		01/18/18			508,959,000		525,689,500
6.15%		04/01/18			156,870,000		163,463,560
Goldman Sachs Group, Inc., Series D (MTN) (The)
6.00%		06/15/20			9,510,000		10,567,388
International Lease Finance Corp.
7.13%		09/01/18	⁴		114,768,000		122,801,760
KKR Group Finance Co. III LLC
5.13%		06/01/44	⁴		12,505,000		12,490,419
Morgan Stanley
1.88%		01/05/18			76,200,000		76,368,326
1.89%		01/05/18	³		81,335,000		81,618,046
2.13%		04/25/18			40,820,000		40,999,261
2.50%		01/24/19			13,094,000		13,234,440
Morgan Stanley (GMTN)
2.45%		02/01/19			31,284,000		31,589,660
3.70%		10/23/24			2,080,000		2,117,811
3.88%		01/27/26			2,245,000		2,275,077
4.00%		07/23/25			17,700,000		18,306,765
5.50%		07/24/20			51,988,000		56,798,970
6.63%		04/01/18			244,112,000		255,569,397
7.30%		05/13/19			100,122,000		110,731,127
Morgan Stanley (MTN)
5.55%		04/27/17			2,390,000		2,396,403


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
5.63%		09/23/19		$	23,511,000	$	25,434,701
5.95%		12/28/17			166,559,000		171,779,126
6.25%		08/28/17			43,000,000		43,844,155
Morgan Stanley, Series 3NC2
1.84%		02/14/20	³		170,345,000		170,762,345
Morgan Stanley, Series F
3.88%		04/29/24			6,367,000		6,562,607
Pipeline Funding Co. LLC
7.50%		01/15/30	⁴		25,779,200		31,352,985
Protective Life Global Funding
2.70%		11/25/20	⁴		32,195,000		32,443,513
Raymond James Financial, Inc.
4.95%		07/15/46			7,090,000		7,034,496
8.60%		08/15/19			8,453,000		9,669,530
SL Green Realty Corp.
5.00%		08/15/18			32,299,000		33,413,251


							4,845,463,662

Food — 0.43%
B&G Foods, Inc.
5.25%		04/01/25			3,020,000		3,053,975
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	⁴		33,364,000		34,323,215
Kraft Heinz Foods Co.
2.25%		06/05/17			5,775,000		5,784,737
3.00%		06/01/26			36,576,000		34,439,852
3.95%		07/15/25			17,714,000		18,013,756
4.38%		06/01/46			96,228,000		90,693,206
5.20%		07/15/45			26,987,000		28,256,307
6.13%		08/23/18			15,700,000		16,601,847
Lamb Weston Holdings, Inc.
4.63%		11/01/24	⁴		19,127,000		19,557,357
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%		10/28/19	^2,4		69,630,000		68,555,922
TreeHouse Foods, Inc.
6.00%		02/15/24	⁴		20,198,000		21,258,395


							340,538,569

Health Care — 3.55%
Abbott Laboratories
2.35%		11/22/19			15,000,000		15,071,730
2.90%		11/30/21			26,530,000		26,651,958
3.75%		11/30/26			138,308,000		138,529,569
AbbVie, Inc.
3.20%		05/14/26			37,370,000		35,972,607
3.60%		05/14/25			108,021,000		108,230,129
4.50%		05/14/35			51,764,000		51,565,174


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Actavis Funding SCS (Luxembourg)
1.30%		06/15/17	²	$	36,724,000	$	36,744,380
2.35%		03/12/18	²		71,825,000		72,154,820
3.45%		03/15/22	²		14,725,000		15,051,866
3.80%		03/15/25	²		130,108,000		131,512,646
3.85%		06/15/24	²		32,949,000		33,653,977
4.55%		03/15/35	²		86,419,000		86,913,490
Actavis, Inc.
1.88%		10/01/17			16,775,000		16,817,158
Aetna, Inc.
1.50%		11/15/17			17,284,000		17,283,378
1.70%		06/07/18			50,400,000		50,528,107
Amgen, Inc.
1.25%		05/22/17			13,137,000		13,136,961
2.13%		05/15/17			96,251,000		96,360,919
3.13%		05/01/25			5,420,000		5,334,443
3.63%		05/15/22			5,312,000		5,526,074
4.40%		05/01/45			25,358,000		24,711,244
4.56%		06/15/48			23,129,000		22,921,378
4.66%		06/15/51			25,279,000		25,180,973
5.85%		06/01/17			46,916,000		47,231,838
Anthem, Inc.
1.88%		01/15/18			41,730,000		41,775,761
3.30%		01/15/23			23,920,000		24,161,185
3.50%		08/15/24			2,100,000		2,120,899
3.70%		08/15/21			2,700,000		2,799,695
4.65%		01/15/43			66,370,000		67,866,046
4.65%		08/15/44			23,449,000		24,070,187
7.00%		02/15/19			12,844,000		13,978,100
Ascension Health
3.95%		11/15/46			21,555,000		21,204,440
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	²		2,723,000		2,748,418
Baxalta, Inc.
2.00%		06/22/18			7,582,000		7,603,112
2.88%		06/23/20			28,810,000		29,236,590
4.00%		06/23/25			3,047,000		3,106,881
Bayer US Finance LLC
2.38%		10/08/19	⁴		15,185,000		15,273,992
Baylor Scott & White Holdings
4.19%		11/15/45			30,300,000		30,280,120
Biogen, Inc.
5.20%		09/15/45			10,015,000		10,877,672
Catholic Health Initiatives
2.95%		11/01/22			23,505,000		22,862,949
Celgene Corp.
2.88%		08/15/20			4,350,000		4,420,061
3.88%		08/15/25			40,000,000		40,955,040
4.63%		05/15/44			12,750,000		12,693,875


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.00%		08/15/45		$	139,876,000	$	146,614,596
Centene Corp.
4.75%		01/15/25			50,580,000		50,991,215
DaVita HealthCare Partners, Inc.
5.00%		05/01/25			14,034,000		14,104,170
5.75%		08/15/22			7,230,000		7,510,163
Express Scripts Holding Co.
3.40%		03/01/27			76,512,000		72,206,670
Forest Laboratories LLC
5.00%		12/15/21	⁴		11,870,000		12,871,531
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	⁴		9,068,000		9,202,206
4.75%		10/15/24	⁴		3,867,000		3,944,340
Gilead Sciences, Inc.
2.95%		03/01/27			33,125,000		31,455,897
3.50%		02/01/25			16,500,000		16,632,660
3.65%		03/01/26			7,200,000		7,205,486
3.70%		04/01/24			16,915,000		17,390,954
4.00%		09/01/36			25,000,000		23,807,675
4.15%		03/01/47			53,980,000		50,465,524
4.50%		02/01/45			4,620,000		4,568,586
4.75%		03/01/46			3,489,000		3,567,115
Grifols Worldwide Operations Ltd. (Ireland)
5.25%		04/01/22	²		6,864,000		7,134,304
HCA, Inc.
4.25%		10/15/19			9,790,000		10,157,125
4.75%		05/01/23			7,305,000		7,633,725
5.00%		03/15/24			25,614,000		26,926,717
5.25%		04/15/25			17,460,000		18,594,900
5.25%		06/15/26			1,453,000		1,534,731
6.50%		02/15/20			10,395,000		11,402,275
Humana, Inc.
7.20%		06/15/18			10,166,000		10,799,803
Johnson & Johnson
3.63%		03/03/37			20,295,000		20,135,745
Memorial Sloan-Kettering Cancer Center, Series 2015
4.20%		07/01/55			1,233,000		1,224,617
Merck & Co., Inc.
3.70%		02/10/45			215,000		204,713
New York and Presbyterian Hospital (The)
4.02%		08/01/45			23,230,000		22,684,258
Northwell Healthcare, Inc.
3.98%		11/01/46			34,525,000		31,795,799
4.80%		11/01/42			40,000		40,976
6.15%		11/01/43			25,265,000		31,547,938
NYU Hospitals Center, Series 13, Class A
5.75%		07/01/43			6,040,000		7,289,839
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26			3,300,000		3,148,094


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Quintiles IMS, Inc.
4.88%		05/15/23	⁴	$	48,260,000	$	48,923,575
RWJ Barnabas Health, Inc.
3.95%		07/01/46			12,945,000		12,273,362
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	²		299,193,000		297,214,736
Tenet Healthcare Corp.
4.38%		10/01/21			380,000		381,425
4.50%		04/01/21			3,303,000		3,319,515
4.63%		06/15/20	³		34,927,000		35,276,270
4.75%		06/01/20			1,519,000		1,556,975
6.00%		10/01/20			27,665,000		29,324,900
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	²		7,475,000		7,432,792
2.80%		07/21/23	²		49,640,000		47,232,460
3.15%		10/01/26	²		30,000,000		27,712,065
Trinity Health Corp.
4.13%		12/01/45			17,833,000		17,384,275
UnitedHealth Group, Inc.
4.63%		07/15/35			10,765,000		11,821,192
Valeant Pharmaceuticals International, Inc.
6.75%		08/15/21	⁴		9,000,000		7,807,500
7.25%		07/15/22	⁴		2,550,000		2,186,625
Valeant Pharmaceuticals International, Inc. (Canada)
5.50%		03/01/23	^2,4		4,912,000		3,806,800
5.63%		12/01/21	^2,4		14,083,000		11,407,230
5.88%		05/15/23	^2,4		45,010,000		35,107,800
6.13%		04/15/25	^2,4		32,581,000		25,250,275
6.50%		03/15/22	^2,4		2,325,000		2,397,773
WellCare Health Plans, Inc.
5.25%		04/01/25			27,781,000		28,497,750

							2,796,229,484

Industrials — 0.35%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
4.29%		05/15/21	^2,3,4		7,451,000		7,665,216
4.63%		05/15/23	^2,4		500,000		507,500
Ball Corp.
4.00%		11/15/23			405,000		405,506
5.25%		07/01/25			898,000		954,125
Clean Harbors, Inc.
5.13%		06/01/21			24,832,000		25,328,640
Crown Americas LLC/Crown Americas Capital Corp. V
4.25%		09/30/26	⁴		8,199,000		7,906,952
Graphic Packaging International, Inc.
4.13%		08/15/24			1,500,000		1,490,625
4.88%		11/15/22			4,597,000		4,826,850


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Metropolitan Life Global Funding I
1.35%		09/14/18	⁴	$	14,400,000	$	14,323,969
SBA Communications Corp.
4.88%		09/01/24	⁴		55,500,000		54,806,250
Sealed Air Corp.
4.88%		12/01/22	⁴		1,456,000		1,525,160
5.25%		04/01/23	⁴		25,199,000		26,584,945
Siemens Financieringsmaatschappij NV (Netherlands)
2.00%		09/15/23	^2,4		33,250,000		31,568,446
2.35%		10/15/26	^2,4		93,010,000		86,564,035
Standard Industries, Inc.
5.13%		02/15/21	⁴		1,000,000		1,040,250
United Technologies Corp. (STEP)
1.78%		05/04/18			10,464,000		10,463,822

							275,962,291

Information Technology — 0.29%
First Data Corp.
5.00%		01/15/24	⁴		106,357,000		108,617,086
IMS Health, Inc.
5.00%		10/15/26	⁴		8,904,000		8,954,085
Microsoft Corp.
2.40%		08/08/26			56,315,000		53,282,522
2.88%		02/06/24			6,295,000		6,318,364
3.30%		02/06/27			5,805,000		5,896,301
MSCI, Inc.
4.75%		08/01/26	⁴		18,142,000		18,436,807
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^2,4		8,800,000		9,000,649
4.13%		06/01/21	^2,4		14,690,000		15,277,600
Oracle Corp.
4.13%		05/15/45			4,800,000		4,676,899

							230,460,313

Insurance — 0.81%
Berkshire Hathaway Finance Corp.
4.30%		05/15/43			7,200,000		7,389,669
4.40%		05/15/42			57,751,000		60,909,431
Berkshire Hathaway, Inc.
2.75%		03/15/23			32,096,000		32,130,214
Farmers Exchange Capital
7.05%		07/15/28	⁴		10,634,000		13,105,820
7.20%		07/15/48	⁴		18,265,000		21,224,533
Farmers Exchange Capital II
6.15%		11/01/53	^3,4		69,710,000		75,386,381
Farmers Exchange Capital III
5.45%		10/15/54	^3,4		71,210,000		72,100,125
Guardian Life Global Funding
2.00%		04/26/21	⁴		5,475,000		5,353,882


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Jackson National Life Global Funding
1.88%		10/15/18	⁴	$	55,605,000	$	55,760,444
MassMutual Global Funding II
2.00%		04/15/21	⁴		8,250,000		8,075,022
Metropolitan Life Global Funding I
1.50%		01/10/18	⁴		14,800,000		14,793,736
1.55%		09/13/19	⁴		17,000,000		16,765,243
1.75%		12/19/18	⁴		46,175,000		46,175,485
1.88%		06/22/18	⁴		23,650,000		23,713,713
2.50%		12/03/20	⁴		57,015,000		57,175,269
Nationwide Mutual Insurance Co.
3.42%		12/15/24	^3,4		18,949,000		18,712,137
New York Life Global Funding
1.55%		11/02/18	⁴		32,050,000		32,016,972
2.00%		04/13/21	⁴		24,750,000		24,349,151
Pricoa Global Funding I
1.60%		05/29/18	⁴		24,825,000		24,844,922
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^3,4		20,650,000		20,701,945
4.90%		09/15/44	⁴		7,628,000		8,268,432


							638,952,526

Materials — 0.04%
Axalta Coating Systems LLC
4.88%		08/15/24	⁴		18,265,000		18,904,275
Valvoline, Inc.
5.50%		07/15/24	⁴		9,858,000		10,400,190


							29,304,465

Real Estate Investment Trust (REIT) — 1.77%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			5,205,000		5,224,482
3.90%		06/15/23			57,677,000		59,062,113
3.95%		01/15/27			2,500,000		2,512,074
4.60%		04/01/22			43,748,000		46,605,153
American Tower Corp.
4.50%		01/15/18			33,012,000		33,722,880
AvalonBay Communities, Inc. (GMTN)
3.95%		01/15/21			7,245,000		7,604,301
Boston Properties LP
2.75%		10/01/26			45,033,000		41,534,882
3.13%		09/01/23			5,000,000		4,968,980
3.65%		02/01/26			5,000,000		4,977,575
3.70%		11/15/18			26,115,000		26,778,869
5.63%		11/15/20			8,659,000		9,556,189
Camden Property Trust
4.63%		06/15/21			600,000		640,217


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Duke Realty LP
6.50%		01/15/18	$	15,590,000	$	16,166,947
Education Realty Operating Partnership LP
4.60%		12/01/24		6,615,000		6,717,232
5.75%		06/15/17		45,000		45,387
Equinix, Inc.
5.38%		05/15/27		33,883,000		35,068,905
First Industrial LP (MTN)
7.50%		12/01/17		80,000		83,006
HCP, Inc.
3.15%		08/01/22		12,660,000		12,632,939
3.40%		02/01/25		21,725,000		21,095,018
3.75%		02/01/19		30,856,000		31,656,883
3.88%		08/15/24		24,650,000		24,830,598
4.00%		12/01/22		54,420,000		56,213,509
4.20%		03/01/24		24,904,000		25,676,973
4.25%		11/15/23		85,445,000		88,412,249
5.63%		05/01/17		11,950,000		11,984,721
Healthcare Realty Trust, Inc.
5.75%		01/15/21		30,455,000		33,442,575
Highwoods Realty LP
7.50%		04/15/18		15,585,000		16,422,694
Hospitality Properties Trust
6.70%		01/15/18		5,926,000		6,005,432
Kimco Realty Corp.
6.88%		10/01/19		9,175,000		10,228,641
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
5.63%		05/01/24		12,341,000		13,081,460
Post Apartment Homes LP
4.75%		10/15/17		21,885,000		22,069,819
Realty Income Corp.
6.75%		08/15/19		15,645,000		17,301,704
SL Green Realty Corp.
4.50%		12/01/22		8,570,000		8,769,758
7.75%		03/15/20		26,913,000		30,311,466
UDR, Inc. (MTN)
4.25%		06/01/18		5,715,000		5,872,951
Ventas Realty LP
3.13%		06/15/23		1,235,000		1,220,760
3.25%		10/15/26		12,180,000		11,583,284
3.50%		02/01/25		27,105,000		26,575,423
3.75%		05/01/24		10,000,000		10,092,980
4.13%		01/15/26		25,010,000		25,428,217
4.38%		02/01/45		18,585,000		17,479,620
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18		19,860,000		19,892,908
2.70%		04/01/20		49,673,000		50,119,560
3.25%		08/15/22		3,000,000		3,019,660


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
4.00%		04/30/19		$	23,346,000	$	24,145,099
4.25%		03/01/22			10,000,000		10,541,085
VEREIT Operating Partnership LP
3.00%		02/06/19			23,423,000		23,554,754
4.13%		06/01/21			19,825,000		20,391,400
4.88%		06/01/26			18,429,000		19,281,341
WEA Finance LLC/Westfield UK & Europe Finance PLC
1.75%		09/15/17	⁴		57,205,000		57,221,215
2.70%		09/17/19	⁴		109,946,000		111,049,490
3.25%		10/05/20	⁴		68,280,000		69,591,625
Welltower, Inc.
2.25%		03/15/18			11,443,000		11,495,638
3.75%		03/15/23			11,170,000		11,455,628
4.00%		06/01/25			32,209,000		32,701,894
4.13%		04/01/19			39,635,000		40,997,077
4.50%		01/15/24			4,698,000		4,955,974
4.70%		09/15/17			28,088,000		28,459,913
4.95%		01/15/21			3,732,000		4,007,409
6.50%		03/15/41			13,430,000		16,524,554


							1,389,065,090

Retail — 0.35%
CVS Health Corp.
3.88%		07/20/25			32,800,000		33,841,695
4.00%		12/05/23			4,693,000		4,941,554
4.88%		07/20/35			50,425,000		54,463,337
5.13%		07/20/45			26,405,000		29,206,716
Walgreens Boots Alliance, Inc.
1.75%		05/30/18			13,925,000		13,942,636
3.10%		06/01/23			40,495,000		40,495,364
3.45%		06/01/26			47,875,000		46,901,223
3.80%		11/18/24			12,810,000		13,082,283
4.80%		11/18/44			16,214,000		16,511,259
Wal-Mart Stores, Inc.
4.00%		04/11/43			4,600,000		4,611,022
4.30%		04/22/44			6,143,000		6,501,696
4.75%		10/02/43			7,175,000		7,991,673


							272,490,458

Services — 0.10%
Aramark Services, Inc.
4.75%		06/01/26			29,956,000		30,255,560
Gartner, Inc.
5.13%		04/01/25	⁴		6,995,000		7,143,644
University of Southern California
3.03%		10/01/39			41,880,000		37,939,385


							75,338,589


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation — 0.49%
America West Airlines Pass-Through Trust, Series 1999-1, Class G
7.93%		01/02/19	$	3,262,801	$	3,438,176
America West Airlines Pass-Through Trust, Series 2001-1, Class G
7.10%		04/02/21		7,186,523		7,882,897
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21		2,711,305		2,933,361
American Airlines Pass-Through Trust, Series 2013-1, Class A
4.00%		07/15/25		19,649,861		20,313,043
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23		107,026,751		113,715,922
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18		129,582		134,037
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		08/02/20		2,013,357		2,141,709
Continental Airlines Pass-Through Trust, Series 1999-2 AMBC, Class C2
6.24%		03/15/20		45,886		47,836
Continental Airlines Pass-Through Trust, Series 1999-2, Class A
7.26%		03/15/20		3,841,354		4,045,330
Continental Airlines Pass-Through Trust, Series 2000-1, Class A1
8.05%		11/01/20		12,471		13,594
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		10/02/22		3,765,067		4,054,506
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22		33,690,667		37,101,847
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22		1,234,075		1,289,609
Continental Airlines Pass-Through Trust, Series 2009, Class A2
7.25%		11/10/19		31,784,463		35,241,023
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23		39,542,066		44,633,107
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1
7.04%		04/01/22		3,562,518		4,016,740
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A
4.10%		04/01/28		19,923,872		20,222,730


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
6.25%		04/22/23		$	21,066,492	$	23,489,139
7.13%		10/22/23			4,071,714		4,700,285
U.S. Airways Pass-Through Trust, Series 2011-1, Class G
7.08%		03/20/21			1,246,472		1,336,063
U.S. Airways Pass-Through Trust, Series 2012, Class A
4.63%		06/03/25			11,469		12,114
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			48,281,681		53,954,779


							384,717,847

Total Corporates
(Cost $21,252,880,386)							21,325,374,304

MORTGAGE-BACKED — 38.30%**
Commercial Mortgage-Backed — 1.89%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2
3.90%		08/10/35	⁴		36,885,000		38,908,249
225 Liberty Street Trust, Series 2016-225L, Class A
3.60%		02/10/36	⁴		63,710,000		65,477,526
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A
2.96%		12/10/30	⁴		10,335,000		10,436,489
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2014-520M, Class A
4.18%		08/15/46	^3,4		8,188,103		8,637,556
Banc of America Re-REMIC Trust, Series 2009-UB2, Class A4AA
5.86%		02/24/51	^3,4		1,757,273		1,762,350
Banc of America Re-REMIC Trust, Series 2009-UB2, Class A4AB
5.90%		12/24/49	^3,4		6,629,103		6,656,755
Banc of America Re-REMIC Trust, Series 2010-UB5, Class A4B
5.90%		02/17/51	^3,4		25,000,000		25,246,839
Bayview Commercial Asset Trust, Series 2004-1, Class A
1.34%		04/25/34	^3,4		45,194		44,332
Bayview Commercial Asset Trust, Series 2004-2, Class A
1.63%		08/25/34	^3,4		437,792		420,352
BBCMS Trust, Series 2015-SRCH, Class A2
4.20%		08/10/35	⁴		48,985,000		52,782,072
Capmark Mortgage Securities, Inc., Series 1998-C2, Class X (IO)
1.07%		05/15/35	^3,5		6,047,574		59,870


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
CFCRE Commercial Mortgage Trust, Series 2011-C2, Class A2
3.06%		12/15/47		$	930,440	$	929,670
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A
3.37%		03/13/35	⁴		13,300,000		13,678,053
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A
3.25%		05/10/35	⁴		5,000		5,111
Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class A2
1.77%		10/15/45			46,398,272		46,440,908
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	⁴		14,635,000		15,892,366
Commercial Mortgage Trust, Series 2013-CR12, Class A4
4.05%		10/10/46			440,000		468,624
Commercial Mortgage Trust, Series 2013-CR6, Class A2
2.12%		03/10/46			24,355,000		24,455,596
Commercial Mortgage Trust, Series 2013-LC6, Class A2
1.91%		01/10/46			13,815,000		13,855,189
Commercial Mortgage Trust, Series 2013-SFS, Class A2
2.99%		04/12/35	^3,4		7,205,000		7,256,192
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^3,4		15,960,000		16,573,582
Commercial Mortgage Trust, Series 2015-3BP, Class A
3.18%		02/10/35	⁴		16,440,000		16,512,717
Commercial Mortgage Trust, Series 2016-787S, Class A
3.55%		02/01/36	^3,4		74,550,000		76,256,561
Commercial Mortgage Trust, Series 2016-CR28, Class A4
3.76%		02/10/49			6,685,000		6,919,043
Credit Suisse Mortgage Trust, Series 2007-C5, Class A1A
5.57%		09/15/40	³		27,500,510		27,639,018
DBUBS Mortgage Trust, Series 2011-LC1A, Class A2
4.53%		11/10/46	⁴		12,383,848		12,700,689
GRACE Mortgage Trust, Series 2014-GRCE, Class A
3.37%		06/10/28	⁴		70,000,000		72,573,603
GS Mortgage Securities Trust, Series 2010-C2, Class A1
3.85%		12/10/43	⁴		5,381,460		5,542,404


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust, Series 2011-GC5, Class A4
3.71%		08/10/44	³	$	87,335,000	$	91,676,549
GS Mortgage Securities Trust, Series 2012-ALOHA, Class A
3.55%		04/10/34	⁴		49,979,000		52,351,983
GS Mortgage Securities Trust, Series 2012-GCJ7, Class A2
2.32%		05/10/45			4,219,309		4,224,643
GS Mortgage Securities Trust, Series 2012-GCJ9, Class A2
1.76%		11/10/45			14,786,294		14,806,334
GS Mortgage Securities Trust, Series 2013-GC16, Class A2
3.03%		11/10/46			23,000,000		23,403,208
GS Mortgage Securities Trust, Series 2014-3R, Class 2A
1.16%		09/26/36	^3,4		15,707,545		15,260,791
GS Mortgage Securities Trust, Series 2015-1R, Class 2A
3.23%		01/25/36	^3,4		14,517,950		14,600,424
GS Mortgage Securities Trust., Series 2009-1R, Class 2A1
3.10%		11/25/35	^3,4		12,659		12,691
Irvine Core Office Trust, Series 2013-IRV, Class A1
2.07%		05/15/48	⁴		8,929,159		8,884,826
JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A2
2.42%		07/15/45			16,841,713		16,888,842
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S
5.24%		05/15/47	⁴		1,653,175		1,646,713
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C4, Class A4
4.39%		07/15/46	⁴		23,275,000		24,905,868
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class A
3.09%		07/05/32	⁴		25,660,000		26,306,504
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A2
1.68%		12/15/47			10,306,975		10,311,425
LB Commercial Mortgage Trust, Series 2007-C3, Class A1A
6.01%		07/15/44	³		7,859,363		7,894,356
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4
5.86%		07/15/40	³		22,232,369		22,286,843


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 2A3
5.62%		03/25/37	^3,4	$	4,638,553	$	4,619,452
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class A2
1.97%		08/15/45			15,943,836		15,955,537
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A2
1.87%		11/15/45			54,123,651		54,171,729
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3
2.51%		11/15/45			30,429,000		30,672,286
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A2
1.86%		02/15/46			10,912,982		10,922,605
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A2
1.97%		05/15/46			12,831,950		12,879,657
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class A3
3.53%		08/15/47			52,530,000		54,646,497
Morgan Stanley Capital I Trust, Series 2013-WLSR, Class A
2.70%		01/11/32	⁴		3,720,000		3,743,279
Morgan Stanley Capital I Trust, Series 2014-MP, Class A
3.47%		08/11/29	⁴		16,750,000		17,388,738
Morgan Stanley Capital I Trust, Series 2015-420, Class A
3.73%		10/11/50	⁴		1,065,000		1,102,261
RBS Commercial Funding Trust, Series 2013-GSP, Class A
3.83%		01/13/32	^3,4		103,085,000		108,782,456
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1
3.87%		01/05/35	^3,4		20,040,000		19,636,970
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A2
2.11%		05/10/63			16,664,574		16,659,971
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A2
1.85%		08/10/49			24,250,000		24,274,847
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A2
1.71%		12/10/45			17,971,226		17,987,201
VNDO Mortgage Trust, Series 2012-6AVE, Class A
3.00%		11/15/30	⁴		19,925,000		20,184,376
Wachovia Mortgage Loan Trust LLC, Series 2006-AMN1, Class A3
1.22%		08/25/36	³		25,350,645		15,853,155


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2
4.39%		11/15/43	⁴	$	900,000	$	953,481
Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A
2.71%		03/18/28	^3,4		9,805,000		9,924,288
WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3
3.00%		08/15/45			52,205,000		53,213,601
WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A3
4.39%		06/15/44	⁴		1,751,535		1,808,927
WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A4
4.90%		06/15/44	^3,4		49,993,000		54,596,305
WF-RBS Commercial Mortgage Trust, Series 2012-C7, Class A2
3.43%		06/15/45			33,148,000		34,417,456


							1,487,988,791


Non-Agency Mortgage-Backed — 6.93%
Aames Mortgage Investment Trust, Series 2002-1, Class A3 (STEP)
5.61%		06/25/32			57,862		55,272
Accredited Mortgage Loan Trust, Series 2006-2, Class A3
1.13%		09/25/36	³		6,549,970		6,541,745
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
1.20%		02/25/37	³		46,525,000		40,951,100
ACE Securities Corp., Series 2004-IN1, Class A1
1.62%		05/25/34	³		4,653		4,336
ACE Securities Corp., Series 2006-HE3, Class A2C
1.13%		06/25/36	³		4,009,954		2,754,377
Adjustable Rate Mortgage Trust, Series 2005-10, Class 6A1
1.52%		01/25/36	³		487,700		417,420
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
1.21%		09/25/35	³		2,289,655		2,261,081
Adjustable Rate Mortgage Trust, Series 2006-3, Class 4A32
1.18%		08/25/36	³		23,992,401		23,205,354
Aegis Asset-Backed Securities Trust, Series 2005-5, Class 1A3
1.25%		12/25/35	³		1,728,961		1,732,478
American Home Mortgage Investment Trust, Series 2004-3, Class 2A
2.86%		10/25/34	³		8,443,524		8,144,878


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Ameriquest Mortgage Securities, Inc., Series 2004-R10, Class A1
1.64%		11/25/34	³	$	52,764,863	$	52,160,707
Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1
1.43%		01/25/36	³		19,225,000		18,747,616
Ameriquest Mortgage Securities, Inc., Series 2006-R1, Class M1
1.37%		03/25/36	³		20,041,967		19,812,258
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.28%		10/25/27			75,049		78,608
Argent Securities, Inc., Series 2004-W6, Class AV2
1.88%		05/25/34	³		16,288,992		15,847,378
Argent Securities, Inc., Series 2005-W2, Class A1
1.24%		10/25/35	³		38,801,130		38,804,988
Argent Securities, Inc., Series 2005-W3, Class A1
1.24%		11/25/35	³		56,454,322		55,681,649
Asset-Backed Funding Certificates, Series 2005-HE1, Class M1
1.61%		03/25/35	³		15,911,114		15,645,798
Asset-Backed Funding Certificates, Series 2006-OPT3, Class A3B
1.14%		11/25/36	³		26,693,093		16,247,069
Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B
1.98%		06/25/37	³		28,859,677		24,028,047
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE6, Class M2
1.75%		07/25/35	³		7,844		7,877
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A1
1.11%		07/25/36	³		29,423,080		29,158,675
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE6, Class A5
1.21%		11/25/36	³		18,411,000		14,447,263
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			30,030		31,892
Banc of America Funding Trust, Series 2006-D, Class 3A1
3.22%		05/20/36	³		9,177,731		8,117,536
Banc of America Funding Trust, Series 2006-E, Class 2A1
3.32%		06/20/36	³		141,043		117,538
Banc of America Funding Trust, Series 2006-G, Class 2A1
1.20%		07/20/36	³		13,692,524		13,587,642


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust, Series 2006-H, Class 3A1
3.25%		09/20/46	³	$	2,027,693	$	1,634,537
Banc of America Funding Trust, Series 2014-R8, Class A1
2.40%		06/26/36	^3,4		14,073,290		13,634,269
Banc of America Funding Trust, Series 2015-R2, Class 1A1
1.12%		08/25/36	^3,4		50,059,547		47,623,028
Banc of America Funding Trust, Series 2015-R2, Class 3A1
1.24%		04/25/37	^3,4		29,184,826		28,525,467
Banc of America Funding Trust, Series 2015-R2, Class 7A1
1.26%		09/25/36	^3,4		27,371,968		26,649,357
Banc of America Funding Trust, Series 2015-R2, Class 9A1
1.20%		03/25/37	^3,4		13,876,480		13,485,296
Banc of America Funding Trust, Series 2015-R5, Class 1A1
0.91%		10/26/36	^3,4		112,998,424		108,422,790
Banc of America Funding Trust, Series 2015-R5, Class 1A2
0.91%		10/26/36	^3,4		42,536,000		38,646,070
Banc of America Funding Trust, Series 2016-R1, Class A1
2.50%		03/25/40	^3,4		65,051,692		64,048,751
Banc of America Mortgage Securities, Inc., Series 2004-F, Class 1A1
3.17%		07/25/34	³		74,070		75,501
Banc of America Mortgage Securities, Inc., Series 2005-C, Class 2A2
3.46%		04/25/35	³		702,794		678,493
Banc of America Mortgage Securities, Inc., Series 2006-2, Class A2
6.00%		07/25/46	³		261,455		249,008
Banc of America Mortgage Securities, Inc., Series 2007-1, Class 1A24
6.00%		03/25/37			1,335,284		1,215,576
Banc of America Mortgage Securities, Inc., Series 2007-3, Class 1A1
6.00%		09/25/37			733,790		712,679
BCAP LLC Trust, Series 2007-AA2, Class 2A5
6.00%		04/25/37			413,256		360,602
BCAP LLC Trust, Series 2007-AA5, Class A1
1.63%		09/25/47	³		46,684,738		41,369,498
BCAP LLC Trust, Series 2009-RR10, Class 7A1
2.89%		10/26/35	^3,4		4,768,542		4,803,776


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.30%		05/27/37	^3,4	$	6,952,569	$	6,946,674
BCAP LLC Trust, Series 2011-RR3, Class 5A3
3.17%		11/27/37	^3,4		8,151,051		8,147,499
BCAP LLC Trust, Series 2011-RR5, Class 1A3
2.98%		03/26/37	^3,4		355,067		354,915
BCAP LLC Trust, Series 2015-RR2, Class 26A1
3.09%		03/28/36	^3,4		13,701,799		13,906,204
Bear Stearns ALT-A Trust, Series 2005-4, Class 22A2
3.55%		05/25/35	³		30,447		28,054
Bear Stearns ALT-A Trust, Series 2006-4, Class 32A1
3.27%		07/25/36	³		2,831,007		2,237,376
Bear Stearns ARM Trust, Series 2004-1, Class 13A2
3.71%		04/25/34	³		11,506		11,211
Bear Stearns ARM Trust, Series 2004-10, Class 14A1
3.46%		01/25/35	³		5,439,256		5,327,061
Bear Stearns ARM Trust, Series 2006-4, Class 2A1
3.17%		10/25/36	³		1,053,433		925,506
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 3A
1.12%		11/25/36	³		14,514,521		13,483,569
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A1 (STEP)
5.50%		01/25/34			942,293		960,861
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A2 (STEP)
5.75%		01/25/34			849,541		874,739
Bear Stearns Asset-Backed Securities Trust, Series 2005-AC5, Class 2A3
1.23%		08/25/20	³		2,036,150		1,328,701
Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1A3
1.38%		08/25/43	³		5,032		5,010
Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36			1,432,956		1,360,400
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A1
1.16%		10/25/36	³		3,001,661		2,640,450
Bombardier Capital Mortgage Securitization Corp., Series 2001-A, Class A
6.81%		12/15/30	³		6,038,541		6,143,615


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Carrington Mortgage Loan Trust, Series 2006-NC1, Class A4
1.29%		01/25/36	³	$	47,650,000	$	45,032,829
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
1.23%		06/25/36	³		21,979,410		21,977,960
Chase Funding Trust, Series 2003-5, Class 2A2
1.58%		07/25/33	³		3,059		2,891
Chase Funding Trust, Series 2004-2, Class 2A2
1.48%		02/26/35	³		5,668		4,967
Chase Funding Trust, Series 2006-A1, Class 1A2
3.19%		09/25/36	³		1,428,549		1,269,201
Chase Funding Trust, Series 2006-S3, Class 2A1
5.50%		11/25/21			2,417,368		1,934,829
Chase Funding Trust, Series 2007-A2, Class 2A3
3.19%		07/25/37	³		4,039,048		4,090,996
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%		05/25/20			3,169,172		3,025,216
Chaseflex Trust, Series 2006-2, Class A2B
1.18%		09/25/36	³		8,230,712		6,765,846
CIM Trust, Series 2015-1EC, Class A16
2.53%		04/25/55	^3,4		154,615,923		160,796,061
CIM Trust, Series 2015-3AG, Class A1
2.53%		10/25/57	^3,4		193,921,936		195,990,821
CIM Trust, Series 2015-4AG, Class A1
2.78%		10/25/57	^3,4		69,180,792		69,531,622
CIM Trust, Series 2016-4, Class A1
2.78%		10/25/57	^3,4		379,574,597		386,092,633
CIT Mortgage Loan Trust, Series 2007-1, Class 1A
2.33%		10/25/37	^3,4		96,498,773		96,049,532
Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A12
5.00%		02/25/35			371,837		372,983
Citicorp Residential Mortgage Securities, Inc., Series 2006-2, Class A5 (STEP)
5.68%		09/25/36			525,000		535,191
Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP)
5.66%		03/25/37			650,000		669,499
Citigroup Mortgage Loan Trust, Inc., Series 2006-HE1, Class M2
1.32%		01/25/36	³		11,967,918		11,902,584
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.20%		02/25/34	³		217,970		214,715


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2004-RR2, Class A2
2.99%		05/25/34	^3,4	$	3,875,852	$	3,918,075
Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 3A2A
3.23%		10/25/35	³		1,005,742		753,819
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1
1.24%		11/25/35	³		274,494		187,202
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A
3.22%		06/25/36	³		7,392,850		7,016,169
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A
1.13%		08/25/36	³		9,876,529		9,821,600
Citigroup Mortgage Loan Trust, Inc., Series 2007-6, Class 1A4A
2.72%		03/25/37	³		801,809		651,036
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
1.18%		01/25/37	³		147,702		148,108
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
1.16%		03/25/37	³		942,124		942,062
Citigroup Mortgage Loan Trust, Inc., Series 2010-7, Class 2A1
3.27%		02/25/35	^3,4		157,483		159,185
Citigroup Mortgage Loan Trust, Inc., Series 2010-9, Class 2A1
2.99%		11/25/35	^3,4		50,241		50,098
Citigroup Mortgage Loan Trust, Inc., Series 2012-3, Class 4A1
3.07%		11/25/36	^3,4		2,120,375		2,117,899
Citigroup Mortgage Loan Trust, Inc., Series 2014-6, Class 3A2
3.32%		11/25/35	^3,4		11,888,072		11,887,071
Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1
0.98%		06/25/47	^3,4		38,049,583		35,380,949
Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 4A1
1.31%		03/25/47	^3,4		26,039,993		25,155,931
Citigroup Mortgage Loan Trust, Inc., Series 2015-3, Class 1A1
1.05%		03/25/36	^3,4		13,198,371		12,894,301
Collateralized Mortgage Obligation Trust, Series 57, Class D
9.90%		02/01/19			407		427
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			2,946,916		3,122,082


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^3,4	$	318,788	$	343,800
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	³		7,488,389		8,122,773
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28	³		51,971		54,111
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	³		3,390,333		3,613,263
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30	³		4,551,108		4,863,658
CountryPlace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^3,4		9,150,000		9,316,557
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			12,879		13,490
Countrywide Alternative Loan Trust, Series 2005-84, Class 1A1
3.25%		02/25/36	³		105,799		73,685
Countrywide Alternative Loan Trust, Series 2006-24CB, Class A19
1.48%		06/25/36	³		1,415,824		923,068
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1
3.53%		02/25/37	³		3,242,293		2,950,615
Countrywide Alternative Loan Trust, Series 2006-OC5, Class 2A2A
1.15%		06/25/36	³		1,018,893		929,934
Countrywide Alternative Loan Trust, Series 2007-J1, Class 2A1
1.18%		03/25/37	³		805,991		318,682
Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4
4.68%		02/25/36	³		7,000,000		7,058,123
Countrywide Asset-Backed Certificates, Series 2005-13, Class AF4
4.78%		04/25/36	³		261,007		228,423
Countrywide Asset-Backed Certificates, Series 2005-16, Class 4AV4
1.33%		05/25/36	³		3,207,051		3,196,698
Countrywide Asset-Backed Certificates, Series 2005-AB2, Class 1A1
1.44%		11/25/35	³		26,570,552		25,629,269
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2
1.78%		10/25/47	³		15,121,581		13,855,914


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2001-HYB1, Class 1A1
2.55%		06/19/31	³	$	37,496	$	39,802
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, Class 1A4
5.25%		09/25/23			142,688		144,068
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
2.78%		08/25/34	³		1,286,228		1,244,171
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A1
1.64%		02/25/35	³		169,590		156,029
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 3A1
2.37%		02/25/35	³		4,404,044		3,343,341
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB3, Class 1A
2.92%		06/20/34	³		69,270		69,862
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1
3.15%		09/20/34	³		1,833,934		1,773,571
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A
3.12%		11/20/34	³		342,785		335,688
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 1A2
3.82%		04/25/35	³		1,238,341		1,215,207
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-31, Class 2A3
3.13%		01/25/36	³		325,969		312,772
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1
1.56%		02/25/35	³		51,384		44,586
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
1.58%		05/25/35	³		5,753,763		4,870,452
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1
3.30%		09/25/47	³		1,927,878		1,759,418


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 1A1
3.10%		03/25/37	³	$	1,847,425	$	1,444,844
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4
2.98%		08/25/33	³		32,414		31,883
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 2A1
6.50%		02/25/34			47,894		51,701
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 6A1
3.15%		06/25/34	³		284,551		286,660
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1
4.50%		07/25/20			18,908		18,734
Credit Suisse First Boston Mortgage Securities Corp., Series 2006-2, Class 2A1
1.68%		03/25/36	³		4,781,597		2,558,968
Credit Suisse Mortgage Trust, Series 2007-2, Class 3A4
5.50%		03/25/37			2,989,551		2,744,312
Credit Suisse Mortgage Trust, Series 2009-14R, Class 2A1
5.00%		06/26/37	⁴		8,440,697		8,601,969
Credit Suisse Mortgage Trust, Series 2010-17R, Class 1A1
3.08%		06/26/36	^3,4		888,956		898,153
Credit Suisse Mortgage Trust, Series 2011-12R, Class 1A1
1.63%		10/27/37	^3,4		1,272,772		1,273,407
Credit Suisse Mortgage Trust, Series 2011-16R, Class 5A1
2.72%		09/27/35	^3,4		2,714,324		2,647,473
Credit Suisse Mortgage Trust, Series 2014-10R, Class 3A1
2.73%		04/25/36	^3,4		5,425,570		5,566,677
Credit Suisse Mortgage Trust, Series 2014-11R, Class 10A1
1.00%		05/27/37	^3,4		12,242,866		11,841,306
Credit Suisse Mortgage Trust, Series 2014-12R, Class 1A1
2.53%		08/27/36	^3,4		20,020,162		20,148,940
Credit Suisse Mortgage Trust, Series 2014-7R, Class 7A1
0.93%		08/27/36	^3,4		11,647,352		11,493,079


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Trust, Series 2014-CIM1, Class A1
2.53%		01/25/58	^3,4	$	54,971,263	$	55,306,247
Credit Suisse Mortgage Trust, Series 2015-1R, Class 5A1
3.31%		09/27/35	^3,4		13,241,960		13,408,240
Credit Suisse Mortgage Trust, Series 2015-2R, Class 4A1
0.98%		06/27/47	^3,4		46,465,689		43,970,045
Credit Suisse Mortgage Trust, Series 2015-6R, Class 2A1
0.98%		11/27/46	^3,4		16,091,612		15,011,300
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP)
3.95%		01/25/33			19,836		20,031
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1
2.02%		03/25/33	³		4,672,092		4,505,674
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1
2.00%		11/25/33	³		106,095		102,147
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
3.44%		01/25/36			9,534,666		7,573,489
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A1
1.12%		10/25/36	³		22,576,006		17,704,169
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B
1.09%		10/25/36	³		3,324,125		3,292,965
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3
1.13%		11/25/36	³		36,198,998		21,644,709
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP)
3.83%		01/25/37			8,338,292		4,005,596
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP)
3.83%		01/25/37			15,669,636		6,895,885
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.37%		02/25/37			45,387,812		33,529,801


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2D (STEP)
4.37%		02/25/37		$	33,230,636	$	24,541,636
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2E (STEP)
4.37%		02/25/37			6,042,940		4,463,860
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2
1.15%		04/25/37	³		36,247,963		27,359,785
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB7, Class A1
1.12%		10/25/36	³		71,331,758		51,759,401
CSAB Mortgage-Backed Trust, Series 2006-4, Class A6B (STEP)
5.78%		12/25/36			5,268,016		1,103,893
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR3, Class A1
1.17%		08/25/36	³		6,337,587		5,194,173
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR4, Class A1
1.11%		12/25/36	³		2,721,263		1,678,143
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4A5
5.25%		06/25/35			251,457		253,734
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-6, Class 1A7
5.50%		12/25/35			640,391		526,166
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR6, Class AR6
1.17%		02/25/37	³		1,242,039		1,017,374
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1
3.49%		02/25/36	³		1,668,336		1,338,900
DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A
1.34%		01/19/45	³		3,520,984		3,153,788
DSLA Mortgage Loan Trust, Series 2005-AR1, Class 2A1A
1.23%		03/19/45	³		617,732		585,220
DSLA Mortgage Loan Trust, Series 2005-AR3, Class 2A1A
1.22%		07/19/45	³		313,920		286,238
DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
1.18%		10/19/36	³		24,485,188		21,008,370
DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A
1.12%		04/19/48	³		13,940,395		12,187,758


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Equity One ABS, Inc., Series 1998-1, Class A2 (STEP)
7.48%		11/25/29		$	83,747	$	81,751
Equity One Mortgage Pass-Through Trust, Series 2002-4, Class M1
5.22%		02/25/33	³		11,938		11,596
Equity One Mortgage Pass-Through Trust, Series 2002-5, Class M1 (STEP)
5.80%		11/25/32			67,092		68,122
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA2, Class 1A1
2.97%		08/25/34	³		14,859,091		15,366,633
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
3.01%		09/25/34	³		85,395		83,453
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1
3.07%		10/25/34	³		3,170,441		3,117,380
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1
3.06%		12/25/35	³		29,434,622		24,428,193
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1
3.03%		02/25/36	³		35,681,813		31,133,935
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4, Class 2A1
3.03%		06/25/35	³		32,339,894		29,829,480
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1
3.07%		09/25/35	³		30,629,158		28,180,749
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1
3.14%		10/25/35	³		39,730,524		34,316,477
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1
2.99%		11/25/35	³		34,203,526		31,601,839
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1
3.08%		03/25/36	³		34,696,691		29,781,687
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7
6.00%		02/25/37			16,588		12,968
First Horizon Mortgage Pass-Through Trust, Series 2004-AR1, Class 2A1
3.08%		02/25/34	³		1,045,046		1,043,972
First Horizon Mortgage Pass-Through Trust, Series 2004-AR5, Class 2A1
3.03%		10/25/34	³		1,334,411		1,304,519
First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1
3.02%		12/25/34	³		564,525		566,435


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Mortgage Pass-Through Trust, Series 2006-AR4, Class 1A2
3.03%		01/25/37	³	$	216,964	$	193,996
First Horizon Mortgage Pass-Through Trust, Series 2007-AR3, Class 1A1
2.89%		11/25/37	³		548,004		479,355
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2
1.38%		08/19/34	³		19,330		18,948
Fremont Home Loan Trust, Series 2005-C, Class M1
1.46%		07/25/35	³		4,042,218		4,049,437
GE Business Loan Trust, Series 2007-1A, Class A
1.08%		04/16/35	^3,4		12,681,513		11,783,125
GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 3A5
3.69%		12/19/33	³		5,166,682		5,160,093
GMAC Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A
3.66%		06/25/34	³		8,093		7,950
GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1
3.43%		11/19/35	³		1,250,512		1,148,276
GMAC Mortgage Corp. Loan Trust, Series 2006-AR2, Class 1A1
2.85%		05/19/36	³		1,936,836		1,331,473
GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1
1.42%		06/25/30	³		38,701		38,104
GreenPoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1
1.22%		08/25/45	³		2,308,809		1,996,497
GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 1A1A
1.25%		07/25/35	³		14,107,552		13,812,808
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
1.16%		01/25/47	³		3,855,195		3,816,552
GreenPoint Mortgage Funding Trust, Series 2007-AR1, Class 3A2
1.14%		02/25/37	³		4,848,920		4,433,957
GSAA Home Equity Trust, Series 2005-11, Class 1A1
1.26%		10/25/35	³		12,875,226		12,035,661
GSAA Home Equity Trust, Series 2005-9,
Class 2A3
1.35%		08/25/35	³		3,484,652		3,439,498
GSAMP Trust, Series 2005-AHL2, Class A2D
1.33%		12/25/35	³		25,693,000		19,858,199
GSAMP Trust, Series 2005-HE5, Class M1
1.40%		11/25/35	³		6,473,328		6,447,175


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSR Mortgage Loan Trust, Series 2004-9, Class 3A1
3.14%		08/25/34	³	$	6,271	$	6,550
GSR Mortgage Loan Trust, Series 2004-9, Class 5A7
3.07%		08/25/34	³		574,106		565,444
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3
3.29%		10/25/35	³		5,896,773		5,093,281
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5
3.08%		09/25/35	³		353,102		380,679
GSR Mortgage Loan Trust, Series 2006-OA1, Class 2A1
1.17%		08/25/46	³		1,267,812		1,261,099
GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1
3.18%		05/25/47	³		4,097,470		3,676,462
Harborview Mortgage Loan Trust, Series 2004-1, Class 2A
3.26%		04/19/34	³		11,819		12,144
Harborview Mortgage Loan Trust, Series 2004-11, Class 3A2A
1.66%		01/19/35	³		581,183		464,841
Harborview Mortgage Loan Trust, Series 2004-5, Class 2A6
2.79%		06/19/34	³		7,119		7,080
Harborview Mortgage Loan Trust, Series 2005-4, Class 2A
3.58%		07/19/35	³		348,374		325,808
Harborview Mortgage Loan Trust, Series 2007-7, Class 2A1A
1.98%		11/25/47	³		1,042,127		980,288
Home Equity Mortgage Loan Trust, Series 2005-C, Class AI1
1.24%		10/25/35	³		6,081,940		6,061,579
Homestar Mortgage Acceptance Corp., Series 2004-5, Class A4
2.12%		10/25/34	³		1,536,457		1,538,770
HSBC Home Equity Loan Trust, Series 2007-1, Class AM
1.22%		03/20/36	³		354,762		355,389
HSBC Home Equity Loan Trust, Series 2007-3, Class A4
2.28%		11/20/36	³		5,913,421		5,931,574
HSBC Home Equity Loan Trust, Series 2007-3, Class APT
1.98%		11/20/36	³		13,444,301		13,454,105
HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3
1.17%		12/25/35	³		2,307,523		2,305,566


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Impac CMB Trust, Series 2005-1, Class 1A1
1.50%		04/25/35	³	$	6,921,250	$	6,444,078
Impac CMB Trust, Series 2005-4, Class 1A1B
1.23%		05/25/35	³		9,491,217		8,783,597
Impac Secured Assets Trust, Series 2004-3, Class 1
1.78%		11/25/34	³		536,806		530,735
Impac Secured Assets Trust, Series 2007-2, Class 1A1A
1.09%		05/25/37	³		21,684,818		15,880,796
Impac Secured Assets Trust, Series 2007-2, Class 1A1B
1.23%		05/25/37	³		31,037,378		23,233,464
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A
3.04%		08/25/34	³		1,765,393		1,632,852
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B
1.78%		08/25/34	³		23,750		20,069
IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A2
1.84%		09/25/34	³		86,639		81,254
IndyMac Index Mortgage Loan Trust, Series 2005-AR1, Class 4A1
3.18%		03/25/35	³		1,305,530		1,313,497
IndyMac Index Mortgage Loan Trust, Series 2005-AR13, Class 4A1
3.03%		08/25/35	³		134,061		120,530
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A1
3.22%		09/25/35	³		632,675		549,567
IndyMac Index Mortgage Loan Trust, Series 2005-AR17, Class 3A1
3.09%		09/25/35	³		7,098,130		6,391,258
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1
3.26%		10/25/35	³		43,025,650		37,031,019
IndyMac Index Mortgage Loan Trust, Series 2005-AR31, Class 3A1
3.07%		01/25/36	³		2,497,459		2,222,446
IndyMac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1
1.46%		04/25/35	³		928,592		837,208
IndyMac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2
3.32%		08/25/36	³		22,380,353		17,574,116
IndyMac Index Mortgage Loan Trust, Series 2006-AR21, Class A1
1.10%		08/25/36	³		264,129		213,388


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 2A
1.18%		10/25/36	³	$	37,620,593	$	32,127,666
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1
3.39%		05/25/36	³		5,816,230		4,432,820
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 2A1
3.35%		05/25/36	³		40,411,626		32,198,448
IndyMac Index Mortgage Loan Trust, Series 2007-AR1, Class 1A2
3.59%		03/25/37	³		1,344,666		1,313,220
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
2.85%		06/25/37	³		5,821,066		4,409,754
IndyMac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1
3.24%		11/25/37	³		5,115,359		4,738,702
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			186,479		189,033
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1
3.31%		05/25/36	³		1,210,452		944,032
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1
3.14%		05/25/36	³		11,863,909		8,271,369
JPMorgan Mortgage Acquisition Corp., Series 2005-OPT2, Class A4
1.30%		12/25/35	³		2,753,686		2,755,036
JPMorgan Mortgage Acquisition Corp., Series 2005-WMC1, Class M2
1.64%		09/25/35	³		16,790,235		16,383,094
JPMorgan Mortgage Acquisition Trust, Series 2006-NC2, Class A4
1.13%		07/25/36	³		21,133,283		20,968,063
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A3A (STEP)
5.83%		07/25/36			29,151,984		16,178,494
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A6 (STEP)
6.00%		07/25/36			5,966,844		3,468,926
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class AV5
1.22%		11/25/36	³		13,817,714		13,800,320
JPMorgan Mortgage Acquisition Trust, Series 2007-CH3, Class A4
1.19%		03/25/37	³		3,566,818		3,440,427
JPMorgan Mortgage Acquisition Trust, Series 2007-CH4, Class A1
1.13%		05/25/37	³		104,645,111		100,444,520


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF1
1.08%		03/25/47	³	$	179,944	$	113,863
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF2 (STEP)
4.45%		03/25/47			11,771,600		8,682,360
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF3 (STEP)
4.45%		03/25/47			9,456,909		6,974,970
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF4 (STEP)
4.45%		03/25/47			4,503,290		3,321,265
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4
1.26%		03/25/47	³		240,000		144,226
JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3
2.67%		11/25/33	³		241,420		237,575
JPMorgan Mortgage Trust, Series 2004-A4, Class 1A3
3.29%		09/25/34	³		1,232,116		1,263,419
JPMorgan Mortgage Trust, Series 2005-A5, Class TA1
3.24%		08/25/35	³		200,113		199,454
JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3
5.50%		09/25/20			4,594,133		4,456,965
JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3
3.12%		11/25/33	³		12,274		12,457
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
3.23%		05/25/36	³		2,128,663		1,782,153
JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3
3.22%		05/25/36	³		1,395,955		1,294,581
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1
3.31%		06/25/36	³		1,039,702		910,282
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4
3.31%		06/25/36	³		3,351,666		3,105,151
JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4
3.18%		08/25/36	³		756,518		716,156
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
3.42%		07/25/35	³		3,887,220		3,947,927
JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3
3.17%		05/25/37	³		4,992,487		4,426,076


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
4.02%		05/25/37	³	$	768,956	$	736,670
JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1
3.15%		06/25/37	³		7,026,217		6,239,682
JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3
3.24%		06/25/37	³		1,111,907		1,034,944
JPMorgan Resecuritization Trust, Series 2015-1, Class 3A1
0.97%		12/27/46	^3,4		24,080,025		23,012,791
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			10,886		11,178
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	³		3,153,397		3,273,046
Lehman XS Trust, Series 2005-5N, Class 3A1A
1.28%		11/25/35	³		17,891,642		16,758,720
Lehman XS Trust, Series 2006-12N, Class A31A
1.18%		08/25/46	³		28,061,154		21,926,158
Lehman XS Trust, Series 2006-13, Class 1A2
1.15%		09/25/36	³		17,979,536		16,561,154
Lehman XS Trust, Series 2006-14N, Class 3A2
1.10%		08/25/36	³		134,201		111,370
Lehman XS Trust, Series 2006-9, Class A1B
1.14%		05/25/46	³		24,536,218		23,010,894
Long Beach Mortgage Loan Trust, Series 2004-4, Class M1
1.88%		10/25/34	³		66,964		61,963
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.50%		01/25/34	³		102,880		101,100
MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1
2.54%		11/25/33	³		1,859,695		1,961,205
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
3.05%		11/21/34	³		9,619,878		9,855,041
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 9A1
3.21%		10/25/34	³		896,777		856,631
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
1.63%		06/25/34	³		261		211


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust, Series 2004-8, Class 2A1
3.42%		09/25/34	³	$	5,278,741	$	5,325,679
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 5A1
3.41%		05/25/36	³		12,556,420		10,404,062
MASTR Alternative Loan Trust, Series 2004-6, Class 3A1
4.75%		07/25/19			1,100,770		1,116,208
MASTR Asset Securitization Trust, Series 2004-3, Class 3A2
4.50%		03/25/19			437,058		443,833
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3
1.13%		11/25/36	³		17,537,323		8,197,925
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A4
1.19%		11/25/36	³		4,871,479		2,298,536
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A3
1.19%		05/25/37	³		51,903,000		43,928,716
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.13%		10/25/32	³		24,571		24,739
Mellon Residential Funding Corp., Series 2001-TBC1, Class A1
1.61%		11/15/31	³		2,312,526		2,173,522
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-5, Class 1A
1.13%		04/25/36	³		40,230,671		39,760,177
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C
1.14%		10/25/36	³		5,348,082		3,824,460
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B
1.09%		12/25/37	³		13,492,769		8,993,282
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2C
1.14%		12/25/37	³		37,106,327		24,914,598
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D
1.19%		12/25/37	³		26,893,457		18,189,385
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FFS, Class IIA4
1.21%		07/25/36	³		31,440,000		25,490,835
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2B
1.15%		04/25/37	³		17,142,749		9,727,291
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C
1.23%		04/25/37	³		71,810,312		41,254,486


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C
1.22%		05/25/37	³	$	43,841,408	$	26,169,480
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2D
1.30%		05/25/37	³		21,650,791		13,081,367
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
1.16%		06/25/37	³		18,881,753		13,325,992
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
1.23%		06/25/37	³		25,218,558		18,775,249
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A2
1.10%		07/25/37	³		39,182,574		25,749,592
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A3
1.14%		07/25/37	³		28,721,800		18,023,791
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2C
1.12%		01/25/38	³		103,122,655		66,916,022
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
1.08%		03/25/37	³		36,002,677		21,643,312
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2C
1.13%		03/25/37	³		18,611,637		11,277,781
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2D
1.20%		03/25/37	³		34,654,374		21,231,550
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A
3.27%		10/25/33	³		696,433		705,162
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
2.85%		08/25/34	³		3,187,482		3,236,362
Merrill Lynch Mortgage Investors Trust, Series 2005-A10, Class A
1.19%		02/25/36	³		18,834		17,870
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2B (STEP)
5.61%		03/25/37			34,918,164		11,465,540
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2D (STEP)
5.90%		03/25/37			27,329,246		8,973,423
Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-2, Class 1A1
3.21%		08/25/36	³		8,779,478		8,117,897
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			315,410		336,706
Mid-State Trust, Series 2004-1, Class A
6.01%		08/15/37			431,116		469,843


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Trust, Series 2005-1, Class A
5.75%		01/15/40		$	20,394,456	$	21,980,117
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	⁴		13,886,869		14,903,542
Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4
1.28%		12/25/35	³		12,815,874		12,658,165
Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A1
1.30%		01/25/35	³		278,332		257,994
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 2A2
5.50%		04/25/34			270,615		273,433
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
2.90%		09/25/34	³		1,814,463		1,821,361
Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A
1.24%		04/25/35	³		6,888,370		6,536,855
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	³		905,450		442,645
Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 1A2S (STEP)
5.50%		02/25/47			375,800		372,249
Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1
1.10%		04/25/37	³		6,643,465		3,127,412
Morgan Stanley Resecuritization Trust, Series 2013-R9, Class 3A
2.90%		06/26/46	^3,4		8,682,923		8,668,483
Morgan Stanley Resecuritization Trust, Series 2014-R2, Class 1A
1.43%		12/26/46	^3,4		23,705,413		23,070,838
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 4A
1.59%		07/26/46	^3,4		11,009,311		10,913,257
Morgan Stanley Resecuritization Trust, Series 2014-R4, Class 2A
3.13%		11/26/35	^3,4		5,556,403		5,643,136
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A
1.36%		06/26/47	^3,4		44,262,142		42,954,625
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 4A
1.57%		06/26/47	^3,4		19,335,412		18,943,902
Morgan Stanley Resecuritization Trust, Series 2015-R4, Class 2A
1.18%		08/26/47	^3,4		24,057,446		23,710,759
MortgageIT Trust, Series 2005-1, Class 1A1
1.62%		02/25/35	³		12,925,570		12,410,866


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MortgageIT Trust, Series 2005-4, Class A1
1.26%		10/25/35	³	$	15,585,537	$	14,785,740
MortgageIT Trust, Series 2005-5, Class A1
1.24%		12/25/35	³		2,209,337		2,034,939
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4
1.26%		09/25/36	³		22,773,989		22,303,287
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4
1.23%		06/25/37	³		8,265,000		6,320,379
New Century Home Equity Loan Trust, Series 2003-6, Class M1
2.06%		01/25/34	³		34,596		33,203
New Century Home Equity Loan Trust, Series 2005-2, Class M1
1.63%		06/25/35	³		7,345		7,366
New Century Home Equity Loan Trust, Series 2005-4, Class M1
1.46%		09/25/35	³		15,852,564		15,770,955
New Century Home Equity Loan Trust, Series 2005-B, Class A1
1.23%		10/25/35	³		23,909,761		24,041,691
Newcastle Mortgage Securities Trust, Series 2006-1, Class A4
1.26%		03/25/36	³		23,765,817		23,837,245
Nomura Home Equity Loan, Inc., Series 2006-HE2, Class A4
1.25%		03/25/36	³		24,732,000		22,972,333
Nomura Home Equity Loan, Inc., Series 2006-WF1, Class A4
1.22%		03/25/36	³		14,676,998		14,709,951
Nomura Resecuritization Trust, Series 2014-6R, Class 2A1
2.31%		03/26/37	^3,4		16,543,355		15,875,383
Nomura Resecuritization Trust, Series 2011-4RA, Class 1A1
2.77%		12/26/36	^3,4		13,216,931		13,276,736
Nomura Resecuritization Trust, Series 2011-4RA, Class 2A1
2.66%		06/26/37	^3,4		6,562,961		6,629,488
Nomura Resecuritization Trust, Series 2013-1R, Class 2A1
1.00%		11/26/36	^3,4		9,605,783		9,307,278
Nomura Resecuritization Trust, Series 2014-4R, Class 1A1
3.05%		01/25/36	^3,4		14,052,022		14,159,249
Nomura Resecuritization Trust, Series 2014-4R, Class 3A1
0.93%		09/25/36	^3,4		7,762,018		7,532,680
Nomura Resecuritization Trust, Series 2014-7R, Class 4A1
0.91%		01/26/37	^3,4		29,921,573		29,037,501


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nomura Resecuritization Trust, Series 2015-4R, Class 1A1
0.94%		03/26/47	^3,4	$	16,326,926	$	16,048,756
Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5
8.16%		09/15/29	³		23,286,980		15,559,403
Option One Mortgage Loan Trust, Series 2005-5, Class A3
1.19%		12/25/35	³		15,182		15,146
Ownit Mortgage Loan Asset-Backed Certificates, Series 2006-4, Class A2D
1.22%		05/25/37	³		28,200,572		22,164,378
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A
1.24%		09/25/35	³		8,399,685		8,418,644
Popular ABS Mortgage Pass-Through Trust, Series 2005-6, Class A5 (STEP)
4.07%		01/25/36			22,910,000		19,890,453
Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A3
1.24%		11/25/46	³		85,000		77,153
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
1.29%		06/25/47	³		23,015,500		16,894,436
Provident Funding Mortgage Loan Trust, Series 2003-1, Class A
2.96%		08/25/33	³		862,569		863,374
Residential Accredit Loans Trust, Series 2003-QS3, Class A4
5.50%		02/25/18			21,165		21,329
Residential Accredit Loans Trust, Series 2005-QA10, Class A31
4.10%		09/25/35	³		743,603		638,832
Residential Accredit Loans Trust, Series 2005-QA12, Class CB1
4.11%		12/25/35	³		6,077,080		4,173,276
Residential Accredit Loans Trust, Series 2005-QA4, Class A41
3.66%		04/25/35	³		4,313,746		4,146,842
Residential Accredit Loans Trust, Series 2005-QA7, Class A1
3.69%		07/25/35	³		5,640,669		4,403,324
Residential Accredit Loans Trust, Series 2005-QO5, Class A1
1.64%		01/25/46	³		9,948,130		7,522,207
Residential Accredit Loans Trust, Series 2006-QA1, Class A11
3.91%		01/25/36	³		244,961		186,250
Residential Accredit Loans Trust, Series 2006-QA1, Class A21
4.31%		01/25/36	³		23,774,105		19,582,212


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust, Series 2006-QA7, Class 2A1
1.17%		08/25/36	³	$	41,288,498	$	35,154,043
Residential Accredit Loans Trust, Series 2006-QS10, Class AV (IO)
0.57%		08/25/36	^3,5		41,893,883		998,319
Residential Accredit Loans Trust, Series 2006-QS12, Class 2A9
1.36%		09/25/36	³		371,081		260,988
Residential Accredit Loans Trust, Series 2006-QS2, Class 1AV (IO)
0.49%		02/25/36	^3,5		142,269,386		2,746,013
Residential Accredit Loans Trust, Series 2006-QS7, Class AV (IO)
0.66%		06/25/36	^3,5		74,300,125		1,832,590
Residential Accredit Loans Trust, Series 2006-QS8, Class AV (IO)
0.79%		08/25/36	^3,5		172,903,764		5,438,377
Residential Accredit Loans Trust, Series 2007-QS10, Class AV (IO)
0.45%		09/25/37	^3,5		113,954,447		1,962,193
Residential Accredit Loans Trust, Series 2007-QS4, Class 3AV (IO)
0.38%		03/25/37	^3,5		70,830,706		939,095
Residential Accredit Loans Trust, Series 2007-QS5, Class AV (IO)
0.25%		03/25/37	^3,5		86,913,011		1,069,395
Residential Accredit Loans Trust, Series 2007-QS6, Class AV (IO)
0.33%		04/25/37	^3,5		182,700,965		2,452,605
Residential Accredit Loans Trust, Series 2007-QS7, Class 2AV (IO)
0.36%		06/25/37	^3,5		56,470,401		839,653
Residential Accredit Loans Trust, Series 2007-QS8, Class AV (IO)
0.39%		06/25/37	^3,5		150,576,074		2,415,587
Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A2
6.50%		12/25/31			35,959		36,350
Residential Asset Mortgage Products Trust, Series 2003-RS10, Class AI6 (STEP)
5.72%		11/25/33			369,175		373,980
Residential Asset Mortgage Products Trust, Series 2003-RS11, Class AI6A (STEP)
5.80%		12/25/33			223,530		235,527
Residential Asset Mortgage Products Trust, Series 2003-RS9, Class AI6A (STEP)
5.72%		10/25/33			95,158		101,005
Residential Asset Mortgage Products Trust, Series 2004-RS12, Class AI6
4.55%		12/25/34			1,074		1,082


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8
6.50%		11/25/31		$	54,081	$	54,951
Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A4
8.50%		12/25/31			36,771		28,625
Residential Asset Mortgage Products Trust, Series 2005-RS8, Class A3
1.35%		09/25/35	³		29,238,194		29,624,976
Residential Asset Securities Trust, Series 2004-IP2, Class 1A1
3.19%		12/25/34	³		370,948		390,332
Residential Asset Securities Trust, Series 2004-IP2, Class 2A1
3.21%		12/25/34	³		34,661		34,614
Residential Asset Securities Trust, Series 2004-IP2, Class 3A1
3.22%		12/25/34	³		819,882		813,043
Residential Asset Securities Trust, Series 2006-A7CB, Class 1A3
6.25%		07/25/36			3,417,625		3,362,410
Residential Funding Mortgage Securities Trust, Series 2004-S6, Class 1A6
5.50%		06/25/34			489,161		497,466
Residential Funding Mortgage Securities Trust, Series 2005-SA5, Class 1A
3.43%		11/25/35	³		9,021,577		7,453,357
Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 3A1
4.15%		09/25/36	³		1,456,977		1,237,181
Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 4A1
4.59%		09/25/36	³		479,233		389,684
Residential Funding Mortgage Securities Trust, Series 2006-SA4, Class 2A1
4.40%		11/25/36	³		163,077		143,718
Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 2A2
3.91%		04/25/37	³		3,223,584		2,962,133
Saxon Asset Securities Trust, Series 2001-2, Class AF6 (STEP)⁶
5.21%		06/25/16	⁷		10,155		10,170
Saxon Asset Securities Trust, Series 2005-2, Class M1
1.61%		10/25/35	³		5,725,413		5,706,229
Saxon Asset Securities Trust, Series 2007-1, Class A2C
1.13%		01/25/47	³		11,264,073		9,950,890
Saxon Asset Securities Trust, Series 2007-3, Class 2A3
1.38%		09/25/47	³		32,174,000		26,051,410


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2A
1.09%		02/25/37	³	$	7,415,761	$	4,086,881
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2B
1.25%		02/25/37	³		36,710,337		21,636,869
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR2, Class A2
1.21%		02/25/37	³		60,055,452		39,971,071
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2A
1.11%		05/25/37	³		23,117,013		18,162,491
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2C
1.33%		05/25/37	³		17,434,651		14,113,901
Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC1, Class A2B
1.13%		12/25/36	³		41,231,777		24,323,458
Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC2, Class A2B
1.12%		01/25/37	³		22,882,598		14,775,661
Sequoia Mortgage Trust, Series 2003-2, Class A1
1.64%		06/20/33	³		1,575		1,515
Sequoia Mortgage Trust, Series 2003-8, Class A1
1.62%		01/20/34	³		2,971		2,884
Sequoia Mortgage Trust, Series 2004-3, Class A
1.76%		05/20/34	³		814,498		783,205
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
1.22%		12/25/36	^3,4		18,785,700		11,806,290
Soundview Home Loan Trust, Series 2006-EQ1, Class A4
1.23%		10/25/36	³		14,062,000		11,068,476
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A3
3.21%		02/25/34	³		27,964		28,032
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
3.30%		09/25/34	³		14,764,413		14,579,301
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A
3.23%		10/25/34	³		331,850		331,259
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 2A
3.22%		10/25/34	³		16,057,346		16,340,945
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A
3.26%		10/25/34	³		4,055,355		4,000,071


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 3A1
3.47%		11/25/34	³	$	11,507,375	$	11,564,289
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-17, Class A1
1.83%		11/25/34	³		72,970		65,942
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A2
3.26%		01/25/35	³		1,142,556		1,091,745
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1
3.20%		06/25/35	³		3,604,111		3,357,081
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12, Class 1A1
1.14%		01/25/37	³		50,992,589		42,712,795
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1
3.39%		10/25/47	³		1,321,411		1,156,763
Structured Asset Investment Loan Trust, Series 2005-HE3, Class A5
1.70%		09/25/35	³		6,433,765		6,455,268
Structured Asset Investment Loan Trust, Series 2006-1, Class A3
1.18%		01/25/36	³		7,454,049		7,414,940
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 24A1
3.18%		05/25/36	³		619,642		340,354
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2004-23XS, Class 2A1
1.28%		01/25/35	³		3,000,360		2,728,285
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF2, Class A4
1.29%		07/25/36	³		30,035,193		29,410,025
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A1
1.12%		09/25/36	³		13,928,112		13,902,402
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A3
1.13%		09/25/36	³		463,172		463,202
Structured Asset Securities Corp., Series 1997-2, Class 2A4
7.25%		03/28/30			1,804		1,823
Structured Asset Securities Corp., Series 2001-15A, Class 4A1
3.18%		10/25/31	³		9,626		9,623
Structured Asset Securities Corp., Series 2003-26A, Class 3A5
3.27%		09/25/33	³		315,455		310,066
Structured Asset Securities Corp., Series 2003-34A, Class 5A4
3.23%		11/25/33	³		2,302,047		2,336,266


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp., Series 2004-2AC, Class A1
3.23%		02/25/34	³	$	110,535	$	110,696
Structured Asset Securities Corp., Series 2005-17, Class 4A4
5.50%		10/25/35			4,387,238		4,544,591
Structured Asset Securities Corp., Series 2005-5, Class 2A4
5.50%		04/25/35			3,871,402		3,735,684
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1
3.14%		06/25/37	³		8,280,509		7,412,952
Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A
2.84%		12/25/44	³		204,511		199,857
Wachovia Mortgage Loan Trust LLC, Series 2006-ALT1, Class A3
1.21%		01/25/37	³		24,547,511		16,683,689
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2
1.09%		01/25/37	³		4,972,342		2,996,497
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A3
1.13%		01/25/37	³		45,900,309		27,811,038
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A4
1.21%		01/25/37	³		15,407,959		9,440,310
WaMu Mortgage Pass-Through Certificates, Series 2002-AR1, Class 1A1
2.79%		11/25/30	³		423,596		424,545
WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1
2.90%		06/25/33	³		7,590,461		7,575,600
WaMu Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2
2.85%		06/25/34	³		71,348		72,248
WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A
1.40%		05/25/44	³		2,777,734		2,648,789
WaMu Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3
1.53%		05/25/35	³		4,974,188		3,459,154
WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
1.48%		06/25/35	³		8,494,172		6,992,846
WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A
1.62%		01/25/45	³		1,196,600		1,131,570
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A
1.30%		08/25/45	³		61,783,440		59,629,341


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
2.76%		10/25/35	³	$	2,422,752	$	2,390,121
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
1.27%		10/25/45	³		9,554,169		9,177,564
WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1
3.00%		12/25/35	³		7,778,240		7,187,886
WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1
1.24%		11/25/45	³		44,111,435		42,291,468
WaMu Mortgage Pass-Through Certificates, Series 2005-AR17, Class A1A1
1.25%		12/25/45	³		20,418,091		19,419,787
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2
1.27%		12/25/45	³		27,410,669		25,298,915
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 1A1A
1.31%		01/25/45	³		20,274,363		19,587,973
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A
1.29%		01/25/45	³		1,986,517		1,843,409
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A23
1.36%		01/25/45	³		7,054,111		6,599,520
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A
1.21%		04/25/45	³		269,989		256,548
WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1A
1.71%		01/25/46	³		51,972,599		51,423,431
WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A4
2.88%		09/25/36	³		22,267,055		21,060,790
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 3A1
2.71%		12/25/36	³		1,115,819		1,034,096
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
1.64%		02/25/46	³		1,333,910		1,290,266
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A
1.55%		05/25/46	³		8,994,413		8,340,725
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A
1.62%		07/25/46	³		19,027,533		16,910,073
WaMu Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1
6.00%		01/25/22			411,493		395,061


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2
4.32%		07/25/37	³	$	441,277	$	404,516
WaMu Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A
1.34%		02/25/47	³		21,417,349		17,516,989
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1
6.25%		11/25/37			353,109		340,504
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-M, Class A1
3.00%		12/25/33	³		1,397,352		1,405,596
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-L, Class A8
3.07%		07/25/34	³		344,098		354,077
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-S, Class A1
3.04%		09/25/34	³		3,250,096		3,314,242
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14
3.07%		06/25/35	³		1,436,012		1,490,308
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4
6.00%		08/25/36			3,184,345		3,208,587
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 2A3
5.50%		03/25/36			334,470		323,302
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR1, Class 1A1
3.22%		03/25/36	³		5,287,054		5,007,845
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A1
3.09%		07/25/36	³		310,066		306,254
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2
3.09%		07/25/36	³		105,156		103,863
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A3
3.09%		07/25/36	³		224,894		222,129
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A6
3.09%		07/25/36	³		1,314,613		1,298,449
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 1A3
3.14%		04/25/36	³		11,394		11,288


							5,452,239,666

U.S. Agency Mortgage-Backed — 29.48%
Fannie Mae Pool (TBA)
3.00%		04/25/27			475,560,000		487,641,901
3.00%		04/25/43			434,465,000		430,697,376
3.50%		04/25/42			547,330,000		559,901,486


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.00%		04/25/41	$	695,795,000	$	729,769,362
4.50%		04/25/39		647,825,000		694,893,535
Fannie Mae Pool 190375
5.50%		11/01/36		1,383,837		1,543,387
Fannie Mae Pool 190396
4.50%		06/01/39		18,995		20,413
Fannie Mae Pool 254232
6.50%		03/01/22		23,576		26,225
Fannie Mae Pool 313182
7.50%		10/01/26		3,007		3,291
Fannie Mae Pool 394854
6.50%		05/01/27		1,540		1,726
Fannie Mae Pool 464367
4.54%		01/01/20		4,931,916		5,220,618
Fannie Mae Pool 466766
3.88%		12/01/20		17,812,340		18,829,770
Fannie Mae Pool 467243
4.55%		01/01/21		2,525,741		2,721,761
Fannie Mae Pool 467572
3.80%		04/01/18		5,440,339		5,511,786
Fannie Mae Pool 468128
4.33%		07/01/21		1,952,530		2,105,520
Fannie Mae Pool 468551
3.98%		07/01/21		10,252,500		10,870,725
Fannie Mae Pool 468587
3.84%		08/01/21		700,291		739,944
Fannie Mae Pool 468764
4.16%		07/01/21		28,200,000		30,234,985
Fannie Mae Pool 545191
7.00%		09/01/31		4,806		5,226
Fannie Mae Pool 545756
7.00%		06/01/32		1,291		1,505
Fannie Mae Pool 545831
6.50%		08/01/17		566		567
Fannie Mae Pool 555284
7.50%		10/01/17		1,756		1,764
Fannie Mae Pool 606108
7.00%		03/01/31		4,410		4,530
Fannie Mae Pool 613142
7.00%		11/01/31		10,466		12,265
Fannie Mae Pool 625666
7.00%		01/01/32		10,258		11,466
Fannie Mae Pool 633698
7.50%		02/01/31		57,893		67,507
Fannie Mae Pool 655928
7.00%		08/01/32		185,860		220,049
Fannie Mae Pool 725257
5.50%		02/01/34		1,561,231		1,747,689


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 734830
4.50%		08/01/33		$	21,468	$	23,091
Fannie Mae Pool 734922
4.50%		09/01/33			2,875,328		3,115,510
Fannie Mae Pool 735207
7.00%		04/01/34			32,956		37,880
Fannie Mae Pool 735224
5.50%		02/01/35			6,209,266		6,955,357
Fannie Mae Pool 735646
4.50%		07/01/20			988,158		1,017,456
Fannie Mae Pool 735651
4.50%		06/01/35			6,762,501		7,303,221
Fannie Mae Pool 735686
6.50%		12/01/22			27,614		30,710
Fannie Mae Pool 740297
5.50%		10/01/33			2,796		3,129
Fannie Mae Pool 745147
4.50%		12/01/35			45,276		48,731
Fannie Mae Pool 745592
5.00%		01/01/21			4,371		4,504
Fannie Mae Pool 753168
4.50%		12/01/33			12,462		13,419
Fannie Mae Pool 815422
4.50%		02/01/35			80,507		86,724
Fannie Mae Pool 817611
2.81%		11/01/35	³		442,233		471,160
Fannie Mae Pool 839109
3.41%		11/01/35	³		8,090		8,472
Fannie Mae Pool 841031
3.34%		11/01/35	³		2,878		3,020
Fannie Mae Pool 844773
3.16%		12/01/35	³		6,661		6,982
Fannie Mae Pool 888412
7.00%		04/01/37			535,903		598,597
Fannie Mae Pool 889125
5.00%		12/01/21			3,164,618		3,277,848
Fannie Mae Pool 889184
5.50%		09/01/36			5,705,082		6,388,711
Fannie Mae Pool 918445
5.51%		05/01/37	³		25,669		26,625
Fannie Mae Pool 933033
6.50%		10/01/37			715,004		786,266
Fannie Mae Pool AB1613
4.00%		10/01/40			48,803,085		51,902,842
Fannie Mae Pool AB1803
4.00%		11/01/40			56,344,725		59,941,102
Fannie Mae Pool AB2127
3.50%		01/01/26			31,151,123		32,503,032


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AB3679
3.50%		10/01/41	$	17,980,417	$	18,494,227
Fannie Mae Pool AB3864
3.50%		11/01/41		15,527,820		16,008,833
Fannie Mae Pool AB4045
3.50%		12/01/41		16,762,347		17,308,464
Fannie Mae Pool AB4262
3.50%		01/01/32		12,706,037		13,225,035
Fannie Mae Pool AB9703
3.50%		06/01/43		42,689,227		43,824,028
Fannie Mae Pool AC8279
4.50%		08/01/39		27,551		29,688
Fannie Mae Pool AD0849
4.25%		02/01/20		27,029,671		28,345,861
Fannie Mae Pool AD0850
4.31%		02/01/20		35,510,134		37,257,831
Fannie Mae Pool AD0895
4.50%		07/01/19		39,784,068		41,724,035
Fannie Mae Pool AE0482
5.50%		01/01/38		13,790,337		15,400,761
Fannie Mae Pool AE0600
3.85%		11/01/20		27,639,884		29,124,012
Fannie Mae Pool AE0605
4.65%		07/01/20		18,665,794		19,676,145
Fannie Mae Pool AE0918
3.67%		10/01/20		5,235,787		5,476,859
Fannie Mae Pool AH3780
4.00%		02/01/41		22,035,168		23,432,314
Fannie Mae Pool AJ1404
4.00%		09/01/41		33,371,284		35,298,502
Fannie Mae Pool AL0209
4.50%		05/01/41		33,054,833		35,992,321
Fannie Mae Pool AL0290
4.45%		04/01/21		27,885,384		29,859,040
Fannie Mae Pool AL0600
4.30%		07/01/21		4,490,840		4,769,101
Fannie Mae Pool AL0834
4.07%		10/01/21		30,188,519		32,098,871
Fannie Mae Pool AL0851
6.00%		10/01/40		25,460,224		28,893,818
Fannie Mae Pool AL1445
4.36%		11/01/21		74,444,703		79,254,615
Fannie Mae Pool AL2669
4.46%		09/01/21		23,656,043		25,074,560
Fannie Mae Pool AL4597
4.00%		01/01/44		83,371,731		88,667,136
Fannie Mae Pool AL6162
3.30%		02/01/23		21,206,265		21,933,711


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL6466
2.90%		11/01/26	$	99,553,903	$	100,435,582
Fannie Mae Pool AL6829
2.96%		05/01/27		2,811,956		2,795,307
Fannie Mae Pool AL8037
4.50%		07/01/34		390,091		419,631
Fannie Mae Pool AL8356
4.50%		07/01/34		1,134,922		1,220,054
Fannie Mae Pool AL9105
4.50%		09/01/46		193,915,719		208,273,617
Fannie Mae Pool AL9106
4.50%		02/01/46		133,980,645		144,023,955
Fannie Mae Pool AL9472
4.00%		10/01/43		15,878,892		16,753,471
Fannie Mae Pool AL9549
4.00%		09/01/46		690,740,701		724,951,451
Fannie Mae Pool AL9722
4.50%		08/01/46		985,657,780		1,058,071,505
Fannie Mae Pool AL9846
4.50%		02/01/47		1,053,182,203		1,130,597,456
Fannie Mae Pool AL9990
4.50%		04/01/47		241,815,000		259,910,648
Fannie Mae Pool AM0414
2.87%		09/01/27		39,760,000		39,287,049
Fannie Mae Pool AM4108
3.85%		08/01/25		4,736		5,063
Fannie Mae Pool AM4109
3.85%		08/01/25		4,736		5,063
Fannie Mae Pool AM4236
3.94%		08/01/25		9,509		10,220
Fannie Mae Pool AM4687
3.70%		12/01/25		5,317,802		5,613,998
Fannie Mae Pool AM4869
4.07%		12/01/25		1,887,534		2,028,875
Fannie Mae Pool AM5327
3.71%		03/01/26		2,916,534		3,094,180
Fannie Mae Pool AM6057
3.44%		08/01/26		6,750,000		6,981,510
Fannie Mae Pool AM6155
3.23%		07/01/26		2,968,101		3,030,603
Fannie Mae Pool AM6667
3.39%		09/01/26		3,461,000		3,574,414
Fannie Mae Pool AM7016
3.47%		10/01/29		5,065,000		5,204,473
Fannie Mae Pool AM8036
2.66%		03/01/27		1,965,000		1,914,502
Fannie Mae Pool AM8709
2.82%		04/01/27		6,500,000		6,458,148


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AM8765
2.83%		06/01/27	$	4,000,000	$	3,942,004
Fannie Mae Pool AM8958
2.97%		06/01/30		5,500,000		5,350,586
Fannie Mae Pool AM8969
3.27%		07/01/30		12,691,000		12,743,919
Fannie Mae Pool AM9004
2.80%		06/01/25		100,000,000		100,118,512
Fannie Mae Pool AM9282
3.76%		12/01/30		10,000,000		10,461,494
Fannie Mae Pool AM9440
3.05%		07/01/27		47,705,000		47,844,435
Fannie Mae Pool AM9601
3.39%		08/01/27		3,834,188		3,958,264
Fannie Mae Pool AM9602
3.57%		08/01/27		1,789,940		1,869,728
Fannie Mae Pool AM9623
3.34%		07/01/30		1,420,000		1,435,349
Fannie Mae Pool AM9749
3.48%		11/01/30		5,579,033		5,706,877
Fannie Mae Pool AM9954
3.22%		11/01/27		3,278,537		3,337,578
Fannie Mae Pool AN0153
3.36%		11/01/30		10,896,283		11,045,440
Fannie Mae Pool AN0154
3.36%		11/01/30		15,448,839		15,660,315
Fannie Mae Pool AN0543
3.53%		01/01/31		7,125,000		7,321,139
Fannie Mae Pool AN0648
3.28%		01/01/28		14,340,959		14,668,626
Fannie Mae Pool AN0768
3.19%		01/01/26		13,060,332		13,391,781
Fannie Mae Pool AN0854
3.28%		02/01/28		8,815,000		8,957,977
Fannie Mae Pool AN0959
2.92%		05/01/31		35,459,000		34,284,316
Fannie Mae Pool AN0962
3.43%		02/01/31		15,423,000		15,683,467
Fannie Mae Pool AN1210
2.85%		05/01/31		5,977,500		5,753,777
Fannie Mae Pool AN1427
2.96%		04/01/28		4,242,356		4,222,967
Fannie Mae Pool AN1468
2.97%		05/01/31		26,320,000		25,477,646
Fannie Mae Pool AN1482
3.03%		05/01/31		5,553,805		5,456,030
Fannie Mae Pool AN1682
3.13%		05/01/31		22,237,674		21,842,872


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AN1686
2.32%		07/01/26		$	31,418,540	$	30,188,434
Fannie Mae Pool AN1688
2.32%		07/01/26			26,676,119		25,631,690
Fannie Mae Pool AN1835
2.54%		07/01/28			16,550,000		15,678,278
Fannie Mae Pool AN1954
2.26%		07/01/26			29,073,000		27,775,181
Fannie Mae Pool AN2063
2.58%		07/01/26			284,677,800		276,948,672
Fannie Mae Pool AN2118
2.32%		08/01/26			14,839,935		14,254,283
Fannie Mae Pool AN2228
2.52%		08/01/26			15,985,000		15,488,821
Fannie Mae Pool AN2248
2.48%		08/01/26			51,160,000		49,090,916
Fannie Mae Pool AN2270
2.51%		08/01/26			2,697,696		2,627,538
Fannie Mae Pool AN2271
2.33%		08/01/26			2,152,000		2,048,056
Fannie Mae Pool AN2309
2.21%		07/01/26			46,478,453		44,268,990
Fannie Mae Pool AN2338
2.36%		09/01/26			42,374,117		40,764,058
Fannie Mae Pool AN2367
2.46%		08/01/26			12,502,000		12,089,244
Fannie Mae Pool AN2371
2.18%		09/01/26			37,099,903		35,207,040
Fannie Mae Pool AN2840
2.49%		09/01/28			21,955,000		20,700,233
Fannie Mae Pool AN3097
2.54%		11/01/28			35,120,000		33,405,449
Fannie Mae Pool AN3574
2.34%		11/01/26			28,210,000		26,727,426
Fannie Mae Pool AN3597
1.42%		11/01/26	³		23,520,000		23,649,529
Fannie Mae Pool AN3631
2.99%		02/01/29			37,752,000		37,201,240
Fannie Mae Pool AN4429
3.22%		01/01/27			23,130,000		23,600,124
Fannie Mae Pool AN4431
3.22%		01/01/27			49,395,000		50,398,968
Fannie Mae Pool AN4435
3.22%		01/01/27			29,420,000		30,017,970
Fannie Mae Pool AU3739
3.50%		08/01/43			57,719,889		59,617,133
Fannie Mae Pool BC1158
3.50%		02/01/46			388,430,570		397,644,143


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FN0000
3.59%		09/01/20	$	9,222,406	$	9,611,707
Fannie Mae Pool FN0001
3.76%		12/01/20		47,012,760		49,210,722
Fannie Mae Pool FN0003
4.28%		01/01/21		6,947,006		7,365,179
Fannie Mae Pool FN0005
3.37%		11/01/20		36,656,945		37,968,500
Fannie Mae Pool FN0007
3.46%		11/01/20		100,000		104,078
Fannie Mae Pool FN0010
3.84%		09/01/20		286,592		300,869
Fannie Mae Pool MA1177
3.50%		09/01/42		100,083,516		102,464,413
Fannie Mae Pool MA1404
3.50%		04/01/43		7,480		7,679
Fannie Mae Pool MA1527
3.00%		07/01/33		92,225,238		93,925,641
Fannie Mae Pool MA1561
3.00%		09/01/33		56,725,945		57,771,830
Fannie Mae Pool MA1582
3.50%		09/01/43		28,453,705		29,161,464
Fannie Mae Pool MA1584
3.50%		09/01/33		95,636,550		99,266,914
Fannie Mae Pool MA1608
3.50%		10/01/33		65,900,853		68,405,085
Fannie Mae Pool MA2676
2.50%		07/01/26		68,566,279		69,538,528
Fannie Mae Pool MA2710
2.50%		08/01/26		120,881,201		122,545,670
Fannie Mae Pool MA2776
2.50%		10/01/26		15,998,091		16,234,938
Fannie Mae Pool MA2801
2.50%		11/01/26		14,698,564		14,916,171
Fannie Mae Pool MA2803
2.50%		11/01/31		5,933,436		5,941,084
Fannie Mae Pool MA2829
2.50%		12/01/26		11,006,725		11,169,676
Fannie Mae Pool MA2830
2.50%		12/01/31		331,119,167		331,546,001
Fannie Mae Pool MA2915
3.00%		02/01/27		3,210,581		3,306,678
Fannie Mae REMICS, Series 1988-28, Class H
9.05%		12/25/18		22		22
Fannie Mae REMICS, Series 1989-27, Class Y
6.90%		06/25/19		124		128


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 1991-65, Class Z
6.50%		06/25/21		$	2,565	$	2,715
Fannie Mae REMICS, Series 1992-123, Class Z
7.50%		07/25/22			986		1,089
Fannie Mae REMICS, Series 1993-132, Class D (PO)
0.00%		10/25/22	⁸		48,254		46,343
Fannie Mae REMICS, Series 1993-29, Class PK
7.00%		03/25/23			6,339		6,789
Fannie Mae REMICS, Series 1994-55, Class H
7.00%		03/25/24			18,937		20,955
Fannie Mae REMICS, Series 1997-34, Class SA
3.28%		10/25/23	³		4,902		5,403
Fannie Mae REMICS, Series 1998-37, Class VZ
6.00%		06/17/28			12,919		14,038
Fannie Mae REMICS, Series 1999-11, Class Z
5.50%		03/25/29			43,954		48,089
Fannie Mae REMICS, Series 2001-52, Class YZ
6.50%		10/25/31			175,341		200,717
Fannie Mae REMICS, Series 2005-104, Class NI (IO)
5.72%		03/25/35	³		18,796,715		1,509,027
Fannie Mae REMICS, Series 2005-117, Class LC
5.50%		11/25/35			11,642,462		12,460,101
Fannie Mae REMICS, Series 2005-122, Class SG (IO)
5.62%		11/25/35	³		134,123		18,509
Fannie Mae REMICS, Series 2005-92, Class US (IO)
5.12%		10/25/25	³		9,073,814		986,340
Fannie Mae REMICS, Series 2006-4, Class WE
4.50%		02/25/36			125,638		135,936
Fannie Mae REMICS, Series 2006-49, Class SE
25.07%		04/25/36	³		3,677,345		5,823,346
Fannie Mae REMICS, Series 2007-17, Class SI (IO)
5.42%		03/25/37	³		3,258,689		401,399
Fannie Mae REMICS, Series 2007-34, Class SB (IO)
5.13%		04/25/37	³		6,280,644		1,004,652


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2007-64, Class FA
1.45%		07/25/37	³	$	9,081	$	9,165
Fannie Mae REMICS, Series 2008-24, Class NA
6.75%		06/25/37			1,536,014		1,640,017
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
5.62%		10/25/40	³		7,532,555		1,351,697
Fannie Mae REMICS, Series 2010-135, Class EA
3.00%		01/25/40			22,065		22,466
Fannie Mae REMICS, Series 2010-17, Class SB (IO)
5.37%		03/25/40	³		13,044,968		2,433,627
Fannie Mae REMICS, Series 2010-43, Class KS (IO)
5.44%		05/25/40	³		23,374,199		4,037,881
Fannie Mae REMICS, Series 2011-101, Class HE
4.00%		10/25/41			10,100,000		10,882,581
Fannie Mae REMICS, Series 2011-111, Class DB
4.00%		11/25/41			24,977,334		26,099,413
Fannie Mae REMICS, Series 2011-2, Class PD
4.00%		12/25/39			74,220		76,380
Fannie Mae REMICS, Series 2013-101, Class BO (PO)
0.00%		10/25/43	⁸		29,360,298		22,893,528
Fannie Mae REMICS, Series 2013-101, Class CO (PO)
0.00%		10/25/43	⁸		18,132,474		14,340,477
Fannie Mae REMICS, Series G92-12, Class B
7.70%		02/25/22			108		111
Fannie Mae REMICS, Series G92-36, Class Z
7.00%		07/25/22			88		93
Fannie Mae REMICS, Series G93-21, Class Z
7.20%		05/25/23			3,919		4,309
Fannie Mae Trust, Series 2003-W2, Class 2A9
5.90%		07/25/42			37,856		42,182
Fannie Mae, Series 2015-M4, Class FA
0.98%		09/25/18	³		107,530,699		107,571,937
Fannie Mae-Aces, Series 2011-M5, Class X
1.14%		07/25/21	³		152,380,111		6,175,204


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae-Aces, Series 2013-M4, Class ASQ2
1.45%		02/25/18		$	12,686,079	$	12,672,271
Fannie Mae-Aces, Series 2014-M12, Class FA
1.00%		10/25/21	³		47,598,023		47,443,091
Fannie Mae-Aces, Series 2014-M6, Class FA
1.07%		12/25/17	³		10,216,670		10,218,848
Fannie Mae-Aces, Series 2014-M8, Class A1
2.35%		06/25/24			6,518,230		6,555,703
Fannie Mae-Aces, Series 2014-M8, Class FA
1.02%		05/25/18	³		68,557,589		68,610,158
Fannie Mae-Aces, Series 2015-M10, Class A2
3.09%		04/25/27	³		122,515,000		123,072,664
Fannie Mae-Aces, Series 2015-M10, Class FA
1.02%		03/25/19	³		54,770,788		54,818,833
Fannie Mae-Aces, Series 2015-M2, Class A3
3.05%		12/25/24	³		28,608		28,868
Fannie Mae-Aces, Series 2015-M8, Class FA
0.94%		11/25/18	³		71,875,327		71,908,404
Fannie Mae-Aces, Series 2016-M13, Class FA
1.44%		11/25/23	³		79,635,422		79,786,308
Freddie Mac Gold Pool (TBA)
4.00%		04/01/47			594,500,000		623,528,317
Freddie Mac Gold Pool A24156
6.50%		10/01/31			357,074		406,697
Freddie Mac Gold Pool A25162
5.50%		05/01/34			3,336,250		3,725,935
Freddie Mac Gold Pool A39012
5.50%		06/01/35			66,267		75,875
Freddie Mac Gold Pool A54856
5.00%		01/01/34			5,602,139		6,162,806
Freddie Mac Gold Pool A61164
5.00%		04/01/36			18,804		20,608
Freddie Mac Gold Pool A97038
4.00%		02/01/41			18,279,526		19,329,010
Freddie Mac Gold Pool C01492
5.00%		02/01/33			973,896		1,065,202
Freddie Mac Gold Pool C04546
3.00%		02/01/43			26,678,396		26,608,719
Freddie Mac Gold Pool C04573
3.00%		03/01/43			33,736,678		33,568,325


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool C46104
6.50%		09/01/29	$	23,142	$	25,763
Freddie Mac Gold Pool C55789
7.50%		10/01/27		11,482		12,629
Freddie Mac Gold Pool C90573
6.50%		08/01/22		69,655		76,237
Freddie Mac Gold Pool E02402
6.00%		10/01/22		21,223		22,905
Freddie Mac Gold Pool G00992
7.00%		11/01/28		1,269		1,445
Freddie Mac Gold Pool G01515
5.00%		02/01/33		1,109,997		1,213,318
Freddie Mac Gold Pool G02579
5.00%		12/01/34		1,361,225		1,497,352
Freddie Mac Gold Pool G02884
6.00%		04/01/37		4,261,188		4,815,117
Freddie Mac Gold Pool G02955
5.50%		03/01/37		5,348,771		6,039,818
Freddie Mac Gold Pool G03357
5.50%		08/01/37		2,153,971		2,471,681
Freddie Mac Gold Pool G03676
5.50%		12/01/37		3,976,417		4,491,447
Freddie Mac Gold Pool G03783
5.50%		01/01/38		2,733,601		3,087,139
Freddie Mac Gold Pool G03985
6.00%		03/01/38		32,237		36,608
Freddie Mac Gold Pool G04438
5.50%		05/01/38		7,647,122		8,580,241
Freddie Mac Gold Pool G04703
5.50%		08/01/38		7,118,513		7,911,676
Freddie Mac Gold Pool G04706
5.50%		09/01/38		262,952		296,916
Freddie Mac Gold Pool G05866
4.50%		02/01/40		25,881,759		28,184,831
Freddie Mac Gold Pool G06361
4.00%		03/01/41		33,450		35,585
Freddie Mac Gold Pool G06498
4.00%		04/01/41		34,606,616		36,698,620
Freddie Mac Gold Pool G06499
4.00%		03/01/41		15,917,678		16,844,347
Freddie Mac Gold Pool G07408
3.50%		06/01/43		32,137,481		33,171,987
Freddie Mac Gold Pool G07786
4.00%		08/01/44		309,446,477		328,184,916
Freddie Mac Gold Pool G07848
3.50%		04/01/44		154,260,234		158,936,247
Freddie Mac Gold Pool G07849
3.50%		05/01/44		22,269,148		22,901,677


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G07924
3.50%		01/01/45	$	32,732,743	$	33,663,227
Freddie Mac Gold Pool G07925
4.00%		02/01/45		20,199,047		21,420,932
Freddie Mac Gold Pool G08676
3.50%		11/01/45		118,738,186		121,556,996
Freddie Mac Gold Pool G08677
4.00%		11/01/45		235,927,744		247,518,846
Freddie Mac Gold Pool G08681
3.50%		12/01/45		78,666,868		80,534,396
Freddie Mac Gold Pool G08694
4.00%		02/01/46		85,922,831		90,171,981
Freddie Mac Gold Pool G08698
3.50%		03/01/46		393,140,703		402,340,153
Freddie Mac Gold Pool G08699
4.00%		03/01/46		21,993,895		23,088,435
Freddie Mac Gold Pool G08702
3.50%		04/01/46		553,188,187		566,132,729
Freddie Mac Gold Pool G08706
3.50%		05/01/46		13,630		13,948
Freddie Mac Gold Pool G08710
3.00%		06/01/46		356,978,307		353,945,462
Freddie Mac Gold Pool G08711
3.50%		06/01/46		400,596,900		410,086,937
Freddie Mac Gold Pool G08712
4.00%		06/01/46		79,832,221		83,805,119
Freddie Mac Gold Pool G08715
3.00%		08/01/46		507,003,806		502,696,362
Freddie Mac Gold Pool G08716
3.50%		08/01/46		121,370,998		124,246,245
Freddie Mac Gold Pool G08721
3.00%		08/01/46		34,062,306		33,772,917
Freddie Mac Gold Pool G08722
3.50%		09/01/46		153,061,159		156,687,138
Freddie Mac Gold Pool G08726
3.00%		09/01/46		553,511,280		548,808,714
Freddie Mac Gold Pool G08727
3.50%		10/01/46		125,164,168		128,092,996
Freddie Mac Gold Pool G08732
3.00%		11/01/46		325,592,243		322,826,051
Freddie Mac Gold Pool G08737
3.00%		12/01/46		188,802,872		187,198,825
Freddie Mac Gold Pool G08741
3.00%		01/01/47		184,407,052		182,840,352
Freddie Mac Gold Pool G08742
3.50%		01/01/47		181,590,000		185,839,186
Freddie Mac Gold Pool G08747
3.00%		01/01/47		205,759,607		204,011,498


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G11707
6.00%		03/01/20	$	202,710	$	208,928
Freddie Mac Gold Pool G12393
5.50%		10/01/21		3,385,324		3,563,956
Freddie Mac Gold Pool G12399
6.00%		09/01/21		1,861		1,977
Freddie Mac Gold Pool G12824
6.00%		08/01/22		1,906,547		2,051,561
Freddie Mac Gold Pool G12909
6.00%		11/01/22		4,935,486		5,320,464
Freddie Mac Gold Pool G13032
6.00%		09/01/22		862,955		920,767
Freddie Mac Gold Pool G13058
4.50%		10/01/20		1,362,943		1,396,225
Freddie Mac Gold Pool G18596
3.00%		04/01/31		98,395,664		101,043,891
Freddie Mac Gold Pool G60023
3.50%		04/01/45		27,622,140		28,460,516
Freddie Mac Gold Pool G60080
3.50%		06/01/45		330,904,360		340,185,193
Freddie Mac Gold Pool G60138
3.50%		08/01/45		228,176,285		235,101,792
Freddie Mac Gold Pool H00790
5.50%		05/01/37		39,569		43,278
Freddie Mac Gold Pool H03161
6.50%		08/01/37		1,172		1,290
Freddie Mac Gold Pool H05069
5.50%		05/01/37		1,860,452		2,034,870
Freddie Mac Gold Pool H09082
6.50%		09/01/37		3,008		3,311
Freddie Mac Gold Pool Q05804
4.00%		01/01/42		55,834,951		59,353,401
Freddie Mac Gold Pool U99097
3.50%		07/01/43		96,348,159		98,708,299
Freddie Mac Gold Pool V80356
3.50%		08/01/43		58,414,312		60,369,825
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K040, Class A2
3.24%		09/25/24		2,840,000		2,950,208
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K053, Class A2
3.00%		12/25/25		205,000,000		207,310,863
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K151, Class A3
3.51%		04/25/30		3,705,000		3,799,185


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K152, Class A2
3.08%		01/25/31		$	120,000,000	$	118,787,118
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A3
1.41%		07/25/20	³		1,268,503		1,273,304
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
3.16%		05/25/25	³		46,605,000		47,128,090
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class A2
2.74%		09/25/25			65,000,000		64,030,850
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%		12/25/19			42,640,727		43,467,124
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A2
4.28%		01/25/20			70,890,000		74,773,113
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSW1, Class A
1.37%		02/25/26	³		15,000,000		15,024,018
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KW02, Class A1
2.90%		04/25/26			112,165,000		113,742,320
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KX01, Class A
2.36%		02/25/23			56,122,006		55,588,561
Freddie Mac REMICS, Series 1004, Class H
7.95%		10/15/20			134		141
Freddie Mac REMICS, Series 1073, Class G
7.00%		05/15/21			302		323
Freddie Mac REMICS, Series 1107, Class ZC
6.50%		07/15/21			3,162		3,387
Freddie Mac REMICS, Series 165, Class K
6.50%		09/15/21			59		61
Freddie Mac REMICS, Series 1980, Class Z
7.00%		07/15/27			121,868		139,159
Freddie Mac REMICS, Series 1983, Class Z
6.50%		12/15/23			56,022		60,240


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 2098, Class TZ
6.00%		01/15/28		$	535,388	$	592,856
Freddie Mac REMICS, Series 2174, Class PN
6.00%		07/15/29			28,292		31,355
Freddie Mac REMICS, Series 2313, Class LA
6.50%		05/15/31			18,798		21,541
Freddie Mac REMICS, Series 2433, Class SA
18.56%		02/15/32	³		16,005		20,298
Freddie Mac REMICS, Series 2481, Class AW
6.50%		08/15/32			62,068		67,982
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%		06/15/23			19,325		1,016
Freddie Mac REMICS, Series 2649, Class PC
5.50%		07/15/33			11,430		11,809
Freddie Mac REMICS, Series 3019, Class SW (IO)
6.29%		08/15/35	³		2,455,645		518,575
Freddie Mac REMICS, Series 3063, Class YG
5.50%		11/15/35			6,484,488		7,223,035
Freddie Mac REMICS, Series 3300, Class SA (IO)
6.29%		08/15/35	³		1,085,696		193,789
Freddie Mac REMICS, Series 3707, Class EI (IO)
5.00%		12/15/38			23,271,479		2,854,261
Freddie Mac REMICS, Series 3730, Class JG
3.00%		09/15/39			25,214		25,616
Freddie Mac REMICS, Series 3752, Class XL
4.50%		11/15/40			66,277,000		71,647,651
Freddie Mac REMICS, Series 3891, Class HS (IO)
5.04%		07/15/41	³		11,180,074		1,131,097
Freddie Mac REMICS, Series 3904, Class JB
4.50%		08/15/41			18,155,000		19,670,262
Freddie Mac REMICS, Series 3925, Class LB
4.50%		09/15/41			9,215,000		10,634,408
Freddie Mac REMICS, Series 3928, Class JD
4.00%		09/15/41			32,095,702		33,530,352


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 4102, Class TC
2.50%		09/15/41		$	26,031,843	$	26,192,345
Freddie Mac REMICS, Series 4161, Class BA
2.50%		12/15/41			38,943,770		39,258,763
Freddie Mac Strips, Series 309, Class PO (PO)
0.00%		08/15/43	⁸		45,941,540		37,433,640
Freddie Mac Strips, Series 319, Class F2
1.41%		11/15/43	³		8,939,715		8,965,069
Ginnie Mae I Pool 782817
4.50%		11/15/39			28,317,234		30,346,315
Ginnie Mae II Pool (TBA)
3.00%		04/20/43			406,365,000		409,952,443
3.50%		04/20/43			452,895,000		469,595,503
4.00%		04/20/45			630,280,000		665,733,269
Ginnie Mae II Pool 2631
7.00%		08/20/28			2,955		3,421
Ginnie Mae II Pool 80968
2.13%		07/20/34	³		22,602		23,242
Ginnie Mae II Pool 81267
2.00%		03/20/35	³		46,865		48,592
Ginnie Mae II Pool 81432
2.13%		08/20/35	³		41,192		42,712
Ginnie Mae II Pool 81497
2.25%		10/20/35	³		37,647		39,134
Ginnie Mae II Pool 8631
2.13%		05/20/25	³		7,130		7,340
Ginnie Mae II Pool 8644
2.50%		06/20/25	³		12,031		12,409
Ginnie Mae II Pool MA3521
3.50%		03/20/46			122,509,800		127,156,558
Ginnie Mae II Pool MA3597
3.50%		04/20/46			305,036,790		316,602,586
Ginnie Mae II Pool MA3663
3.50%		05/20/46			293,297,115		304,421,782
Ginnie Mae II Pool MA3736
3.50%		06/20/46			207,902,419		215,788,093
Ginnie Mae II Pool MA3937
3.50%		09/20/46			68,876,135		71,487,647
Ginnie Mae II Pool MA4003
3.00%		10/20/46			33,366,053		33,688,592
Ginnie Mae II Pool MA4069
3.50%		11/20/46			214,410,210		222,539,803
Ginnie Mae II Pool MA4126
3.00%		11/20/46			544,510,505		549,774,120
Ginnie Mae II Pool MA4127
3.50%		12/20/46			218,327,817		226,605,950


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2000-22, Class SG (IO)
9.87%		05/16/30	³	$	47,019	$	3,342
Ginnie Mae, Series 2003-86, Class ZK
5.00%		10/20/33			12,466,802		13,561,851
Ginnie Mae, Series 2004-93, Class PC
5.00%		04/16/34			54,289		55,821
Ginnie Mae, Series 2007-35, Class PY (IO)
5.82%		06/16/37	³		21,832,902		4,164,104
Ginnie Mae, Series 2009-106, Class SD (IO)
5.27%		03/20/36	³		18,751,725		2,556,170
Ginnie Mae, Series 2009-106, Class XI (IO)
5.82%		05/20/37	³		47,582,697		8,420,914
Ginnie Mae, Series 2009-124, Class SC (IO)
5.50%		12/20/39	³		7,883,645		1,412,687
Ginnie Mae, Series 2009-17, Class P
4.00%		08/16/38			21,759		22,424
Ginnie Mae, Series 2009-66, Class XS (IO)
5.87%		07/16/39	³		93,680		13,588
Ginnie Mae, Series 2009-8, Class PS (IO)
5.37%		08/16/38	³		156,585		19,120
Ginnie Mae, Series 2010-4, Class SL (IO)
5.47%		01/16/40	³		100,074		17,808
Ginnie Mae, Series 2010-4, Class SM (IO)
4.87%		01/16/40	³		18,195,197		2,659,074
Ginnie Mae, Series 2010-6, Class BS (IO)
5.57%		09/16/39	³		6,141,492		549,243
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			220,883		50,331
Ginnie Mae, Series 2013-113, Class LY
3.00%		05/20/43			51,184,000		50,119,719
NCUA Guaranteed Notes, Series 2010-R1, Class A1
1.43%		10/07/20	³		17,913,320		17,936,868
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
1.32%		12/08/20	³		9,922,078		9,971,882
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
1.34%		12/08/20	³		26,919,112		27,062,069
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
1.38%		03/09/21	³		2,372,430		2,368,066


							23,197,931,829


Total Mortgage-Backed
(Cost $30,022,851,947)							30,138,160,286


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS — 0.89%*
California — 0.20%
Bay Area Toll Authority, Build America Bonds
6.26%		04/01/49		$	2,275,000	$	3,107,377
California Health Facilities Financing Authority, Saint Joseph Health, Series A
4.00%		10/01/36			3,500,000		3,574,935
Los Angeles Department of Power, Electric Light and Power Improvements, Series C
5.52%		07/01/27			20,125,000		24,008,119
Los Angeles Department of Water & Power, Build America Bonds, Series SY
6.01%		07/01/39			350,000		432,107
San Diego County Water Authority, Build America Bonds
6.14%		05/01/49			7,900,000		10,323,246
State of California, Build America Bonds
6.65%		03/01/22			4,245,000		5,017,972
7.95%		03/01/36			7,350,000		8,485,501
State of California, Build America Bonds, Various Purpose
7.50%		04/01/34			3,885,000		5,508,075
State of California, Taxable, Various Purpose
6.20%		03/01/19			10,680,000		11,630,734
University of California, Taxable Revenue Bonds, Series AP
3.93%		05/15/45			57,230,000		57,112,679
University of California, Floating Rate Notes, Series Y, Class 1
1.48%		07/01/41	³		12,485,000		12,485,000
University of California, Floating Rate Notes, Series Y, Class 2
1.48%		07/01/41	³		15,000,000		15,000,750


							156,686,495

Illinois — 0.00%
State of Illinois, Build America Bonds
6.63%		02/01/35			4,120,000		4,236,184
State of Illinois, Taxable Pension Bonds
5.10%		06/01/33			591,000		539,831


							4,776,015

Massachusetts — 0.08%
Commonwealth of Massachusetts, Series E
3.00%		04/01/41			24,000,000		21,395,520
Commonwealth of Massachusetts, Series G
3.00%		09/01/46			46,140,000		40,225,775


							61,621,295

New York — 0.57%
City of New York, Build America Bonds
4.77%		10/01/23			4,420,000		4,968,478
5.05%		10/01/24			13,820,000		15,682,383


Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
5.21%		10/01/31	$	6,420,000	$	7,447,457
5.52%		10/01/37		6,075,000		7,367,699
5.82%		10/01/31		220,000		244,284
5.99%		12/01/36		14,055,000		17,329,253
City of New York, Build America Bonds, Series F1
6.27%		12/01/37		9,655,000		12,652,395
6.65%		12/01/31		46,470,000		53,246,720
Fiscal Year 2005 Securitization Corp., Special Obligation, Series B
4.93%		04/01/20		35,000		36,657
New York City Municipal Water Finance Authority, Build America Bonds, Series SE
6.49%		06/15/42		3,555,000		3,997,562
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds
5.51%		08/01/37		25,000,000		30,333,750
5.57%		11/01/38		41,825,000		50,865,892
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds
5.01%		08/01/27		5,225,000		5,976,721
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, Series G-3
5.27%		05/01/27		8,050,000		9,259,915
New York City Water & Sewer System, Water Utility Improvements, Series AA
3.00%		06/15/46		6,810,000		5,865,453
New York City Water and Sewer Authority, Build America, Taxable Bonds
5.44%		06/15/43		49,625,000		61,396,050
5.88%		06/15/44		29,220,000		38,089,439
New York City Water and Sewer Authority, Build America, Taxable Bonds, Series SE
6.01%		06/15/42		3,945,000		5,207,282
New York State Dormitory Authority, Taxable, Build America Bonds
5.43%		03/15/39		28,100,000		33,281,359
New York State Dormitory Authority, Build America Bonds
5.29%		03/15/33		44,990,000		52,886,195
5.50%		03/15/30		11,740,000		13,814,223
New York State Urban Development Corp., Personal Income Tax, Series SE
3.20%		03/15/22		15,870,000		16,369,429

						446,318,596


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Wisconsin — 0.04%
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group
4.00%		11/15/34		$	5,335,000	$	5,457,652
4.00%		11/15/35			17,580,000		17,915,954
4.00%		11/15/39			8,000,000		8,091,200

							31,464,806
Total Municipal Bonds
(Cost $696,852,641)							700,867,207
U.S. TREASURY SECURITIES — 25.01%
U.S. Treasury Bonds — 6.54%
U.S. Treasury Bonds
3.00%		11/15/44			150,325,000		149,702,256
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.38%		07/15/25	⁹		573,757,382		575,219,344
0.75%		02/15/45	⁹		309,665,903		295,048,979
0.88%		02/15/47	⁹		209,767,023		206,805,333
U.S. Treasury Bonds (WI)
2.88%		11/15/46			2,494,655,000		2,420,985,343
3.00%		02/15/47			1,501,825,000		1,496,750,333

							5,144,511,588
U.S. Treasury Notes — 18.47%
U.S. Treasury Notes
0.75%		10/31/17			671,241,000		670,572,377
1.00%		12/31/17			154,801,000		154,782,529
1.13%		02/28/19			254,840,000		254,292,604
1.50%		01/31/22			602,890,000		591,089,019
1.63%		08/15/22			300,000,000		293,906,400
1.88%		01/31/22			3,991,178,000		3,982,904,887
1.88%		02/28/22			3,232,205,000		3,226,015,974
1.88%		03/31/22			129,890,000		129,567,873
1.88%		05/31/22			95,560,000		95,123,291
2.00%		12/31/21			2,015,200,000		2,023,190,268
2.00%		11/15/26			180,000,000		173,910,960
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.13%		04/15/21	⁹		104,622,927		105,770,327
0.13%		07/15/26	⁹		186,408,560		181,813,880
U.S. Treasury Notes (WI)
2.25%		02/15/27			2,684,845,000		2,650,916,614

							14,533,857,003
Total U.S. Treasury Securities
(Cost $19,657,272,029)							19,678,368,591

Total Bonds – 97.61%
(Cost $76,624,970,151)							76,812,772,128


Issues	Shares		Value
COMMON STOCK — 0.00%
Energy — 0.00%
Arch Coal, Inc.		6,677	$	460,312

Total Common Stock
(Cost $459,111)


Issues	Contracts		Value
PUT OPTIONS PURCHASED — 0.01%
Put Options Purchased — 0.01%
IMM Eurodollar 1 Year MIDCV Future Options, Put, Strike $98.38, Expires 06/16/17		10,000		4,937,500

Total Put Options Purchased
(Cost $6,486,362)				4,937,500

Issues

Maturity
Date

Principal
Amount/ Shares

Value

SHORT-TERM INVESTMENTS — 8.12%

Commercial Paper — 0.15%

Anheuser-Busch InBev SA (Netherlands)

1.26%¹⁰

07/10/17

^2,4

50,000,000

49,829,150

Kraft Heinz Foods Co.

1.60%¹⁰

06/30/17

66,836,000

66,860,061

116,689,211

Foreign Government Obligations — 4.77%

Japan Treasury Discount Bill, Series 657 (Japan)

0.00%¹⁰

04/17/17

35,710,000,000

320,491,081

Japan Treasury Discount Bill, Series 660 (Japan)

0.00%¹⁰

05/01/17

110,380,000,000

990,746,432

Japan Treasury Discount Bill, Series 662 (Japan)

0.00%¹⁰

08/10/17

50,000,000,000

449,036,166

Japan Treasury Discount Bill, Series 665 (Japan)

0.00%¹⁰

05/22/17

27,240,000,000

244,518,786

Japan Treasury Discount Bill, Series 671 (Japan)

0.00%¹⁰

06/19/17

95,310,000,000

855,682,454

Japan Treasury Discount Bill, Series 672 (Japan)

0.00%¹⁰

06/26/17

99,190,000,000

890,551,374

3,751,026,293


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds — 0.63%
Dreyfus Government Cash Management Fund
0.66%¹¹				$	438,414,000	$	438,414,000
Fidelity Investments Money Market Funds - Government Portfolio
0.56%^11,12					58,969,020		58,969,020


							497,383,020


U.S. Agency Discount Notes — 0.95%
Federal Home Loan Bank
0.40%¹⁰		04/04/17			271,880,000		271,874,834
0.46%¹⁰		04/07/17			177,700,000		177,686,495
0.74%¹⁰		05/16/17			300,000,000		299,742,000


							749,303,329


U.S. Treasury Bills — 1.62%
U.S. Treasury Bills
0.42%¹⁰		04/06/17	¹³		63,309,000		63,306,088
0.49%¹⁰		05/04/17			550,000		549,676
0.62%¹⁰		04/13/17			400,000,000		399,920,800
0.63%¹⁰		04/20/17			400,000,000		399,863,600
0.68%¹⁰		04/27/17			413,385,000		413,185,335


							1,276,825,499


Total Short-Term Investments
(Cost $6,335,572,080)							6,391,227,352

Total Investments – 105.74%
(Cost $82,967,487,704)¹							83,209,397,292


Liabilities in Excess of Other
Assets – (5.74)%							(4,516,320,638	)


Net Assets – 100.00%						$	78,693,076,654


Currency Purchased	Currency Sold	Unrealized Appreciation/ (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 04/17/17 at 111.35 Counterparty: JPMorgan Securities LLC
USD $314,019,645	JPY 35,710,000,000	$(6,672,401)
Forward currency contract to sell Japanese Yen on 05/01/17 at 111.29 Counterparty: Citigroup Global Markets, Inc.
USD $965,759,203	JPY 110,380,000,000	(26,061,806)
Forward currency contract to sell Japanese Yen on 05/22/17 at 111.21 Counterparty: Bank of America
USD $238,711,796	JPY 27,240,000,000	(6,227,292)
Forward currency contract to sell Japanese Yen on 06/19/17 at 111.08 Counterparty: Bank of America


Currency Purchased	Currency Sold	Unrealized Appreciation/ (Depreciation)
USD $844,347,983	JPY 95,310,000,000	$(13,700,135)
Forward currency contract to sell Japanese Yen on 06/26/17 at 111.04 Counterparty: Citigroup Global Markets, Inc.
USD $902,331,013	JPY 99,190,000,000	9,056,661
Forward currency contract to sell Japanese Yen on 08/10/17 at 110.81 Counterparty: Bank of America
USD $439,955,725	JPY 50,000,000,000	(11,280,346)
Net unrealized (depreciation)		$(54,885,319)


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
26,336	U.S. Treasury Two Year Note, Expiration June 2017		$7,850,509
43,148	U.S. Treasury Five Year Note, Expiration June 2017		9,375,529
	Net unrealized appreciation		$17,226,038

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
4,830	U.S. Treasury Ten Year Note Expiration June 2017		$92,309
	Net unrealized appreciation		$92,309


Issues	Contracts			Premiums (Received)			Value
PUT OPTIONS WRITTEN
IMM Eurodollar 1 Year MIDCV Future Options, Put, Strike $98.00, Expires
06/16/17		(20,000	)	$	(4,196,000	)	$	(1,250,000	)

Total Put Options Written				$	(4,196,000	)	$	(1,250,000	)

Notes:

¹	Cost for federal income tax purposes is $83,023,618,545 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	847,062,187
Gross unrealized (depreciation)		(661,283,440	)

Net unrealized appreciation	$	185,778,747

²	U.S. dollar-denominated security issued by foreign-domiciled entity.

³	Floating rate security. The rate disclosed was in effect at March 31, 2017.

⁴	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $130,466,941, which is 0.17% of total net assets.

⁶	Non-income producing security.

⁷	Security is currently in default with regard to scheduled interest or principal payments.

⁸	Zero coupon bond. The rate shown is the effective yield as of March 31, 2017.

⁹	Inflation protected security. Principal amount reflects original security face amount.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Represents the current yield as of March 31, 2017.

¹²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $58,969,020.

¹³	Securities, or a portion thereof, pledged as collateral for futures, put options purchased and put options written. The total market value of collateral pledged is $53,497,337.

†

Fair valued security. The aggregate value of fair valued securities is $27,367,110, which is 0.03% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized Loan Obligation

(EMTN): Euro medium-term note

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term Note

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 90.99%
ASSET-BACKED SECURITIES — 3.47%**
Navient Student Loan Trust, Series 2014-8, Class A2
1.42%		04/25/23	²	$	639,194	$	640,044
Navient Student Loan Trust, Series 2016-2, Class A1
1.73%		06/25/65	^2,3		226,732		227,480
Nelnet Student Loan Trust, Series 2012-5A, Class A
1.58%		10/27/36	^2,3		157,880		157,131
SLM Student Loan Trust I, Series 2003-10A, Class A3
1.60%		12/15/27	^2,3		659,466		658,614
SLM Student Loan Trust I, Series 2003-14, Class A5
1.27%		01/25/23	²		235,013		235,046
SLM Student Loan Trust, Series 2003-12, Class A5
1.41%		09/15/22	^2,3		83,849		83,830
SLM Student Loan Trust, Series 2004-10, Class A6A
1.59%		04/27/26	^2,3		701,686		704,221
SLM Student Loan Trust, Series 2004-3, Class A5
1.21%		07/25/23	²		725,908		725,627
SLM Student Loan Trust, Series 2006-4, Class A5
1.14%		10/27/25	²		97,810		97,791
SLM Student Loan Trust, Series 2007-6, Class A4
1.42%		10/25/24	²		691,183		688,918
SLM Student Loan Trust, Series 2012-6, Class A2
1.26%		09/25/19	²		13,273		13,273
SLM Student Loan Trust, Series 2013-4, Class A
1.53%		06/25/27	²		217,386		213,154
SLM Student Loan Trust, Series 2014-1, Class A2
1.36%		07/26/21	²		309,214		309,275

Total Asset-Backed Securities (Cost $4,755,338)							4,754,404

CORPORATES — 26.16%*
Banking — 3.43%
American Express Centurion Bank, Series BKN1 (MTN)
6.00%		09/13/17			500,000		509,964
Bank of America Corp. (MTN)
6.88%		04/25/18			450,000		473,711
Bank of America N.A. (BKNT)
1.43%		06/15/17	²		750,000		750,141


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Discover Bank
2.00%		02/21/18		$	375,000	$	375,458
National City Bank (BKNT)
1.47%		06/07/17	²		700,000		700,324
UBS AG/Stamford CT (Switzerland)
1.61%		06/01/17	^2,4		550,000		550,404
Wachovia Corp. (MTN)
5.75%		02/01/18			1,300,000		1,344,527


							4,704,529

Communications — 0.78%
AT&T, Inc.
5.50%		02/01/18			825,000		850,807
Qwest Corp.
6.50%		06/01/17			140,000		141,051
T-Mobile USA, Inc.
6.63%		04/28/21			80,000		82,880


							1,074,738

Consumer Discretionary — 0.50%
Altria Group, Inc.
9.70%		11/10/18			325,000		364,760
Beam Suntory, Inc.
1.75%		06/15/18			325,000		324,957


							689,717

Consumer Products — 0.44%
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^3,4		600,000		600,415

Electric — 1.82%
Cleveland Electric Illuminating Co., Series D (The)
7.88%		11/01/17			400,000		413,995
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			200,000		208,823
Exelon Corp.
1.55%		06/09/17			700,000		699,953
Interstate Power & Light Co.
5.88%		09/15/18			350,000		369,165
Southern Co. (The)
1.30%		08/15/17			800,000		799,006


							2,490,942

Environmental Control — 0.53%
Republic Services, Inc.
3.80%		05/15/18			705,000		720,402


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance — 5.72%
American Express Co.
7.00%		03/19/18		$	500,000	$	525,307
Bear Stearns Cos. LLC (The)
7.25%		02/01/18			1,400,000		1,463,350
Citigroup, Inc.
1.55%		08/14/17			700,000		699,939
1.80%		02/05/18			350,000		350,252
6.13%		11/21/17			365,000		375,007
Ford Motor Credit Co. LLC
1.72%		12/06/17			400,000		400,190
General Motors Financial Co., Inc.
3.00%		09/25/17			650,000		654,146
Goldman Sachs Group, Inc. (The)
5.95%		01/18/18			675,000		697,189
6.15%		04/01/18			650,000		677,321
Morgan Stanley
1.89%		01/05/18	²		400,000		401,392
Morgan Stanley (GMTN)
6.63%		04/01/18			800,000		837,548
Protective Life Global Funding
1.66%		06/08/18	^2,3		750,000		751,136


							7,832,777

Health Care — 2.81%
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	⁴		600,000		602,755
Aetna, Inc.
1.75%		05/15/17			650,000		650,073
Anthem, Inc.
1.88%		01/15/18			700,000		700,768
5.88%		06/15/17			500,000		504,387
Bayer U.S. Finance LLC
1.50%		10/06/17	³		350,000		349,736
Express Scripts Holding Co.
1.25%		06/02/17			500,000		499,828
Fresenius Medical Care U.S. Finance, Inc.
6.88%		07/15/17			140,000		142,275
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	⁴		400,000		397,741


							3,847,563

Industrials — 1.34%
Metropolitan Life Global Funding I
1.35%		09/14/18	³		575,000		571,964
Temple-Inland, Inc.
6.63%		01/15/18			400,000		414,774


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
United Technologies Corp. (STEP)
1.78%		05/04/18		$	850,000	$	849,986


							1,836,724

Information Technology — 0.32%
Apple, Inc.
1.70%		02/22/19			435,000		436,836

Insurance — 0.36%
New York Life Global Funding
1.55%		11/02/18	³		500,000		499,485

Real Estate Investment Trust (REIT) — 7.88%
American Tower Corp.
4.50%		01/15/18			375,000		383,075
Boston Properties LP
3.70%		11/15/18			750,000		769,066
Camden Property Trust
5.70%		05/15/17			700,000		703,328
DDR Corp. (MTN)
7.50%		07/15/18			400,000		425,699
Duke Realty LP
6.50%		01/15/18			800,000		829,606
HCP, Inc.
3.75%		02/01/19			700,000		718,169
Kimco Realty Corp. (MTN)
4.30%		02/01/18			750,000		761,350
National Retail Properties, Inc.
6.88%		10/15/17			650,000		666,551
Post Apartment Homes LP
4.75%		10/15/17			750,000		756,334
Prologis LP
4.00%		01/15/18			600,000		607,205
Realty Income Corp.
2.00%		01/31/18			650,000		651,238
UDR, Inc. (MTN)
4.25%		06/01/18			500,000		513,819
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			865,000		866,433
WEA Finance LLC/Westfield UK & Europe Finance PLC
1.75%		09/15/17	³		1,250,000		1,250,354
Welltower, Inc.
2.25%		03/15/18			750,000		753,450
4.70%		09/15/17			130,000		131,721


							10,787,398


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 0.23%
Continental Airlines Pass-Through Trust, Series 2000-1, Class A1
8.05%		11/01/20		$	283,442	$	308,952

Total Corporates (Cost $35,845,340)							35,830,478

MORTGAGE-BACKED — 42.68%**
Commercial Mortgage-Backed — 4.37%
Commercial Mortgage Trust, Series 2013-LC13, Class A2
3.01%		08/10/46			700,000		712,447
DBRR Trust, Series 2013-EZ3, Class A
1.64%		12/18/49	^2,3		35,704		35,683
DBUBS Mortgage Trust, Series 2011-LC2A, Class A1
3.53%		07/10/44	³		530,862		544,943
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S
5.24%		05/15/47	³		81,230		80,912
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB19, Class A4
5.83%		02/12/49	²		61,986		62,075
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4
5.84%		06/15/49	²		378,571		378,702
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A3
4.39%		02/15/46	³		955,241		975,812
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C4, Class A3
4.11%		07/15/46	³		922,722		943,792
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4
5.86%		07/15/40	²		419,790		420,819
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A
5.84%		06/12/50	²		519,708		521,979
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A4
5.49%		03/12/51	²		43,412		43,359
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3
5.76%		06/15/49	²		365,901		365,523
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A
5.61%		05/15/46	²		676,829		682,231


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3
5.68%		05/15/46		$	211,950	$	212,950


							5,981,227

Non-Agency Mortgage-Backed — 3.91%
Aames Mortgage Investment Trust, Series 2002-1, Class A3 (STEP)
5.61%		06/25/32			28,931		27,636
Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1
3.50%		05/25/35	²		324,662		310,141
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			7,163		7,607
Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2
3.86%		02/25/33	²		2,073		2,048
BCAP LLC Trust, Series 2007-AA1, Class 1A2
1.14%		02/25/47	²		98,248		97,631
Centex Home Equity Loan Trust, Series 2005-D, Class M1
1.41%		10/25/35	²		46,642		46,774
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.20%		02/25/34	²		90,716		89,361
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
1.16%		03/25/37	²		58,003		57,999
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			105,428		110,435
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR31, Class 4A2
3.33%		11/25/32	²		131,173		126,347
DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
1.35%		07/19/44	²		233,044		226,991
Fremont Home Loan Trust, Series 2005-C, Class M1
1.46%		07/25/35	²		156,675		156,955
GE Mortgage Services LLC, Series 1998-HE1, Class A7
6.47%		06/25/28			19		18
GMAC Mortgage Corp. Loan Trust, Series 2003-GH1, Class A5 (STEP)
5.26%		07/25/34			11,918		12,402
HSBC Home Equity Loan Trust, Series 2007-3, Class APT
1.98%		11/20/36	²		213,420		213,575


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
1.76%		12/25/34	²	$	548,365	$	455,393
IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1
3.58%		10/25/34	²		297,159		286,639
IndyMac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%		08/25/29	²		17,150		17,347
JPMorgan Mortgage Acquisition Corp., Series 2005-FLD1, Class M3
1.76%		07/25/35	²		434,284		432,669
JPMorgan Mortgage Trust, Series 2005-A2, Class 9A1
3.47%		04/25/35	²		263,339		264,482
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.62%		01/25/34	²		12,799		13,022
MASTR Adjustable Rate Mortgages Trust, Series 2004-12, Class 5A1
3.28%		10/25/34	²		425,421		419,751
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
1.63%		06/25/34	²		6,086		4,925
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.13%		10/25/32	²		54,409		54,780
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4
1.13%		07/25/36	²		493,128		483,970
Merrill Lynch Mortgage Investors, Inc., Series 2003-A1, Class 2A
3.36%		12/25/32	²		184,896		183,646
Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4
1.28%		12/25/35	²		480,595		474,681
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2
8.50%		11/25/31			34,570		10,717
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8
6.50%		11/25/31			69,203		70,316
Residential Asset Securities Trust, Series 2004-IP2, Class 2A1
3.21%		12/25/34	²		172,003		171,771
Residential Asset Securities Trust, Series 2005-KS12, Class A3
1.30%		01/25/36	²		57,241		57,193
Structured Asset Securities Corp., Series 2001-15A, Class 4A1
3.18%		10/25/31	²		30,940		30,930


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^3,5	$	2,913,324	$	40,431
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.97%		04/15/30	^2,5		1,243		78
WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A
2.04%		06/25/42	²		51,411		49,746
WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1
2.90%		06/25/33	²		134,846		134,582
WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
1.48%		06/25/35	²		257,044		211,612


							5,354,601

U.S. Agency Mortgage-Backed — 34.40%
Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
1.11%		04/25/20	²		613,954		612,714
Fannie Mae Pool 111643
2.69%		09/01/20	²		3,635		3,651
Fannie Mae Pool 254548
5.50%		12/01/32			187,737		210,307
Fannie Mae Pool 467572
3.80%		04/01/18			1,087,162		1,101,439
Fannie Mae Pool 468769
3.42%		09/01/18			1,088,603		1,109,044
Fannie Mae Pool 523829
8.00%		11/01/19			33,278		34,687
Fannie Mae Pool 555098
3.11%		11/01/32	²		23,683		25,103
Fannie Mae Pool 555424
5.50%		05/01/33			123,131		137,257
Fannie Mae Pool 567002
8.00%		05/01/23			33,997		37,428
Fannie Mae Pool 648860
6.50%		05/01/17			2,834		2,835
Fannie Mae Pool 655133
7.00%		08/01/32			23,727		26,517
Fannie Mae Pool 655151
7.00%		08/01/32			15,959		16,980
Fannie Mae Pool 762525
6.50%		11/01/33			29,054		31,998
Fannie Mae Pool 770900
2.69%		04/01/34	²		247,230		255,074
Fannie Mae Pool 893489
2.87%		09/01/36	²		32,067		33,587


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AD0538
6.00%		05/01/24		$	100,632	$	109,115
Fannie Mae Pool AE0443
6.50%		10/01/39			151,723		169,404
Fannie Mae Pool AL0851
6.00%		10/01/40			130,919		148,575
Fannie Mae REMICS, Series 1988-12, Class A
4.59%		02/25/18	²		774		780
Fannie Mae REMICS, Series 1993-80, Class S
9.68%		05/25/23	²		1,616		1,800
Fannie Mae REMICS, Series 2001-42, Class SB
8.50%		09/25/31	²		2,149		2,616
Fannie Mae REMICS, Series 2001-60, Class OF
1.93%		10/25/31	²		171,421		174,636
Fannie Mae REMICS, Series 2002-30, Class FB
1.98%		08/25/31	²		225,435		229,419
Fannie Mae REMICS, Series 2003-117, Class XF
1.33%		08/25/33	²		113,654		112,747
Fannie Mae REMICS, Series 2003-124, Class TS
9.80%		01/25/34	²		25,618		29,240
Fannie Mae REMICS, Series 2003-134, Class FC
1.58%		12/25/32	²		712,531		719,737
Fannie Mae REMICS, Series 2003-29, Class F
1.48%		12/25/32	²		221,523		221,862
Fannie Mae REMICS, Series 2003-64, Class KS
8.38%		07/25/18	²		24,953		25,533
Fannie Mae REMICS, Series 2004-38, Class FT
1.41%		10/25/33	²		324,203		324,689
Fannie Mae REMICS, Series 2004-60, Class FW
1.43%		04/25/34	²		677,502		678,879
Fannie Mae REMICS, Series 2004-79, Class F
1.28%		08/25/32	²		151,843		151,893
Fannie Mae REMICS, Series 2004-96, Class MT
7.00%		12/25/34	²		10,049		10,927
Fannie Mae REMICS, Series 2005-114, Class PF
1.36%		08/25/35	²		1,068,360		1,069,303


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2005-57, Class EG
1.28%		03/25/35	²	$	395,561	$	395,337
Fannie Mae REMICS, Series 2006-56, Class FD
1.23%		07/25/36	²		351,783		351,653
Fannie Mae REMICS, Series 2006-84, Class WF
1.28%		02/25/36	²		172,399		172,409
Fannie Mae REMICS, Series 2007-68, Class SC (IO)
5.72%		07/25/37	²		205,400		35,683
Fannie Mae REMICS, Series 2008-47, Class PF
1.48%		06/25/38	²		74,964		75,072
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%		12/25/39			77,875		82,620
Fannie Mae REMICS, Series 2009-33, Class FB
1.80%		03/25/37	²		222,289		227,103
Fannie Mae REMICS, Series 2010-109, Class PF
1.38%		10/25/40	²		128,214		128,537
Fannie Mae REMICS, Series 2010-119, Class FK
1.48%		04/25/40	²		85,554		85,615
Fannie Mae REMICS, Series 2010-26, Class S (IO)
5.25%		11/25/36	²		698,975		121,559
Fannie Mae REMICS, Series 2010-35, Class FL
1.43%		07/25/38	²		380,061		380,468
Fannie Mae REMICS, Series 2011-124, Class DF
1.43%		08/25/40	²		848,183		851,044
Fannie Mae REMICS, Series 2011-71, Class FB
1.48%		05/25/37	²		308,098		308,903
Fannie Mae REMICS, Series 2011-8, Class PF
1.48%		01/25/40	²		215,294		216,090
Fannie Mae REMICS, Series 2012-19, Class FP
1.48%		12/25/39	²		1,011,664		1,029,735
Fannie Mae REMICS, Series 2012-33, Class F
1.50%		04/25/42	²		952,440		960,531
Fannie Mae REMICS, Series 2013-75, Class FC
1.23%		07/25/42	²		926,393		923,696


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS. Series 2004-92, Class FD
1.33%		05/25/34	²	$	906,145	$	907,612
Fannie Mae-Aces, Series 2013-M4, Class ASQ2
1.45%		02/25/18			513,292		512,734
Fannie Mae-Aces, Series 2014-M12, Class FA
1.00%		10/25/21	²		247,082		246,278
Freddie Mac Gold Pool C90237
6.50%		11/01/18			9,220		9,480
Freddie Mac Gold Pool C90474
7.00%		08/01/21			25,671		27,232
Freddie Mac Gold Pool D93410
6.50%		04/01/19			9,718		10,061
Freddie Mac Gold Pool G13107
5.50%		07/01/20			71,589		72,235
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A1
3.40%		07/25/19			448,442		458,787
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A1
3.32%		07/25/20			455,915		459,534
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A
1.33%		09/25/21	²		631,744		632,779
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A
1.36%		08/25/23	²		715,713		717,979
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
4.19%		08/25/19			855,000		899,901
Freddie Mac Non Gold Pool 775554
2.40%		10/01/18	²		358		359
Freddie Mac Non Gold Pool 865369
2.78%		06/01/22	²		30		30
Freddie Mac REMICS, Series 1526, Class L
6.50%		06/15/23			3,756		4,104
Freddie Mac REMICS, Series 2368, Class AF
1.86%		10/15/31	²		82,606		83,943
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%		06/15/23			2,623		138


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 2733, Class FB
1.51%		10/15/33	²	$	984,303	$	993,913
Freddie Mac REMICS, Series 2763, Class FC
1.26%		04/15/32	²		572,506		573,003
Freddie Mac REMICS, Series 2945, Class LD
4.00%		02/15/35			19,683		20,006
Freddie Mac REMICS, Series 2990, Class DE
1.29%		11/15/34	²		835,260		839,063
Freddie Mac REMICS, Series 2990, Class LE
1.23%		10/15/34	²		600,806		601,042
Freddie Mac REMICS, Series 3001, Class HS
14.47%		02/15/35	²		4,512		4,613
Freddie Mac REMICS, Series 3066, Class PF
1.21%		04/15/35	²		1,160,272		1,161,008
Freddie Mac REMICS, Series 3085, Class FW
1.61%		08/15/35	²		809,546		824,569
Freddie Mac REMICS, Series 3139, Class FL
1.21%		01/15/36	²		1,178,045		1,178,132
Freddie Mac REMICS, Series 3172, Class FK
1.36%		08/15/33	²		617,622		618,522
Freddie Mac REMICS, Series 3196, Class FA
1.26%		04/15/32	²		839,655		840,329
Freddie Mac REMICS, Series 3300, Class FA
1.21%		08/15/35	²		753,416		751,287
Freddie Mac REMICS, Series 3325, Class NF
1.21%		08/15/35	²		151,350		150,923
Freddie Mac REMICS, Series 3346, Class FA
1.14%		02/15/19	²		130,967		131,050
Freddie Mac REMICS, Series 3652, Class PF
1.66%		07/15/32	²		77,239		77,703
Freddie Mac REMICS, Series 3767, Class JF
1.21%		02/15/39	²		803,215		804,155
Freddie Mac REMICS, Series 3780, Class LF
1.31%		03/15/29	²		443,717		443,702


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3792, Class DF
1.31%		11/15/40	²	$	711,154	$	712,228
Freddie Mac REMICS, Series 3806, Class DF
1.31%		08/15/25	²		333,856		336,759
Freddie Mac REMICS, Series 3828, Class TF
1.31%		04/15/29	²		205,096		205,611
Freddie Mac REMICS, Series 3831, Class PV
5.00%		05/15/25			572,136		580,849
Freddie Mac REMICS, Series 3845, Class FQ
1.16%		02/15/26	²		554,084		553,660
Freddie Mac REMICS, Series 3895, Class BF
1.41%		07/15/41	²		441,239		443,975
Freddie Mac REMICS, Series 3940, Class PF
1.26%		05/15/40	²		1,212,185		1,211,497
Freddie Mac REMICS, Series 3946, Class FG
1.26%		10/15/39	²		638,671		639,196
Freddie Mac REMICS, Series 4109, Class KF
1.31%		05/15/32	²		370,595		370,801
Freddie Mac Strips, Series 263, Class F5
1.41%		06/15/42	²		667,684		671,260
FREMF Multifamily Aggregation Risk Transfer Trust, Series 2017-KT01, Class A
1.09%		02/25/20	²		700,000		701,262
Ginnie Mae II Pool 80546
2.25%		10/20/31	²		15,701		16,297
Ginnie Mae II Pool 80610
2.13%		06/20/32	²		182,134		188,775
Ginnie Mae II Pool 80614
2.13%		07/20/32	²		24,004		24,902
Ginnie Mae II Pool 80687
2.13%		04/20/33	²		142,756		148,185
Ginnie Mae II Pool 8339
2.25%		12/20/23	²		25,450		26,105
Ginnie Mae II Pool 8684
2.13%		08/20/25	²		36,513		37,619
Ginnie Mae II Pool MA0331
2.50%		08/20/42	²		298,781		307,036
Ginnie Mae, Series 2001-22, Class FK
1.28%		05/16/31	²		1,046,316		1,047,685
Ginnie Mae, Series 2001-51, Class FA
1.43%		10/16/31	²		954,692		957,325


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2002-16, Class FV
1.33%		02/16/32	²	$	1,128,475	$	1,131,885
Ginnie Mae, Series 2002-20, Class FC
1.23%		03/16/32	²		339,480		339,772
Ginnie Mae, Series 2002-72, Class FB
1.38%		10/20/32	²		249,341		249,583
Ginnie Mae, Series 2002-72, Class FC
1.38%		10/20/32	²		237,808		238,038
Ginnie Mae, Series 2003-42, Class FA
1.33%		07/16/31	²		1,120,701		1,126,552
Ginnie Mae, Series 2004-2, Class FW
2.18%		01/16/34	²		488,703		511,610
Ginnie Mae, Series 2009-66, Class UF
1.93%		08/16/39	²		247,354		252,213
Ginnie Mae, Series 2009-92, Class FC
1.73%		10/16/39	²		242,420		245,677
Ginnie Mae, Series 2010-108, Class PF
1.38%		02/20/38	²		237,914		238,110
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	²		3,229,966		64,662
Ginnie Mae, Series 2011-80, Class BF
1.31%		06/20/36	²		1,004		1,004
Ginnie Mae, Series 2012-10, Class FP
1.28%		01/20/41	²		268,835		269,273
Ginnie Mae, Series 2012-13, Class KF
1.28%		07/20/38	²		640,141		640,717
NCUA Guaranteed Notes, Series 2010-R1, Class A1
1.43%		10/07/20	²		789,952		790,990
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
1.15%		11/06/17	²		882,264		882,953
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
1.32%		12/08/20	²		761,744		765,567
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
1.38%		03/09/21	²		543,196		542,196
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
1.16%		03/11/20	²		360,284		360,558
NCUA Guaranteed Notes, Series 2011-R4, Class 1A
1.15%		03/06/20	²		71,055		71,071


							47,125,495

Total Mortgage-Backed (Cost $58,521,352)							58,461,323


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES — 18.68%
U.S. Treasury Notes — 18.68%
U.S. Treasury Notes
0.96%		10/31/17	²	$	2,900,000	$	2,903,196
1.06%		01/31/18	²		2,900,000		2,906,749
1.13%		02/28/19			10,835,000		10,811,726
1.25%		12/31/18			4,705,000		4,707,941
1.25%		03/31/19			4,265,000		4,264,582

Total U.S. Treasury Securities (Cost $25,565,393)							25,594,194


Total Bonds – 90.99%
(Cost $124,687,423)							124,640,399


Issues	Maturity Date			Principal Amount/ Share		Value
SHORT-TERM INVESTMENTS — 9.39%
Commercial Paper — 0.35%
Kraft Heinz Foods Co.
1.60%⁶		06/30/17			480,000		480,173

Foreign Government Obligations — 4.78%
Japan Treasury Discount Bill, Series 657 (Japan)
0.00%⁶		04/17/17	⁴		100,000,000		897,483
Japan Treasury Discount Bill, Series 665 (Japan)
0.00%⁶		05/22/17	⁴		160,000,000		1,436,234
Japan Treasury Discount Bill, Series 671 (Japan)
0.00%⁶		06/19/17	⁴		150,000,000		1,346,683
Japan Treasury Discount Bill, Series 672 (Japan)
0.00%⁶		06/26/17	⁴		320,000,000		2,873,036


							6,553,436

Money Market Funds — 0.10%
Dreyfus Government Cash Management Fund
0.66%⁷					131,000		131,000

U.S. Agency Discount Notes — 1.10%
Federal Home Loan Bank
0.46%⁶		04/07/17			1,500,000		1,499,886

U.S. Treasury Bills — 3.06%
U.S. Treasury Bills
0.63%⁶		04/20/17			300,000		299,898
0.68%⁶		04/27/17			3,900,000		3,898,116


							4,198,014

Total Short-Term Investments (Cost $12,818,604)							12,862,509


	Value
Total Investments – 100.38%
(Cost $137,506,027)¹	$	137,502,908


Liabilities in Excess of Other Assets – (0.38)%		(521,494	)

Net Assets – 100.00%	$	136,981,414


Currency Purchased	Currency Sold	Unrealized Appreciation/ (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 04/17/17 at 111.35 Counterparty: JPMorgan Securities LLC
USD $ 879,361 $ JPY 100,000,000		$	(18,685	)
Forward currency contract to sell Japanese Yen on 05/22/17 at 111.21 Counterparty: Bank of America
USD $1,402,125 JPY 160,000,000			(36,577	)
Forward currency contract to sell Japanese Yen on 06/19/17 at 111.08 Counterparty: Bank of America
USD $1,328,845 JPY 150,000,000			(21,562	)
Forward currency contract to sell Japanese Yen on 06/26/17 at 111.04 Counterparty: Citigroup Global Markets, Inc.
USD $2,911,039 JPY 320,000,000			29,218

Net unrealized (depreciation)		$	(47,606	)

Notes:

¹	Cost for federal income tax purposes is $137,512,540 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	488,586
Gross unrealized (depreciation)		(498,218	)

Net unrealized (depreciation)	$	(9,632	)

²	Floating rate security. The rate disclosed was in effect at March 31, 2017.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $40,509, which is 0.03% of total net assets.

⁶	Represents annualized yield at date of purchase.

⁷	Represents the current yield as of March 31, 2017.

^*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

^**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

(BKNT): Banker’s Note, Inc.

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value
BONDS – 94.91%
ASSET-BACKED SECURITIES — 16.00%**
321 Henderson Receivables VI LLC Series 2010-1A, Class B
9.31%		07/15/61	²	$	490,357	$	577,797
Access Group, Inc., Series 2015-1, Class A
1.68%		07/25/56	^2,3		6,331,139		6,296,137
American Money Management Corp. CLO, Series 2015-17A, Class A1 (Cayman Islands)
2.64%		11/15/27	^2,3,4		5,200,000		5,233,790
ARES XXIX CLO Ltd., Series 2014-1A, Class A1R (Cayman Islands)
2.22%		04/17/26	^2,3,4		8,675,000		8,676,588
BA Credit Card Trust, Series 2015-A1, Class A
1.24%		06/15/20	³		790,000		791,644
Babson CLO, Inc., Series 2004-3A, Class AR (Cayman Islands)
2.30%		01/15/26	^2,3,4		6,400,000		6,414,374
Babson CLO, Inc., Series 2044-1A, Class A1R (Cayman Islands)
2.18%		07/20/25	^2,3,4		7,165,000		7,166,841
Ballyrock CLO LLC, Series 2014-1A, Class A1R (Cayman Islands)
0.00%		10/20/26	^2,3,4		7,995,000		7,995,000
Bank of America Credit Card Trust, Series 2014-A2, Class A
1.18%		09/16/19	³		5,710,000		5,710,623
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.35%		01/25/35	^2,3		1,006,623		972,865
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
1.28%		04/25/35	^2,3		1,701,199		1,568,590
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
1.21%		12/25/36	^2,3		1,382,205		1,240,246
BlueMountain CLO Ltd., Series 2015-1A, Class A1R (Cayman Islands)
2.35%		04/13/27	^2,3,4		6,250,000		6,257,669
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
1.35%		06/25/26	³		139,042		137,276
Brazos Higher Education Authority, Inc., Series 2006-2, Class A9
1.16%		12/26/24	³		34,379		33,006
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2
1.85%		02/25/30	³		94,559		94,436
Cedar Creek CLO Ltd., Series 2013-1A, Class A (Cayman Islands)
2.13%		04/20/24	^2,3,4		5,000,000		5,001,220
Chase Issuance Trust, Series 2012-A10, Class A10
1.17%		12/16/19	³		6,010,000		6,019,120


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Chase Issuance Trust, Series 2015-A1, Class A1
1.23%		02/18/20	³	$	2,000,000	$	2,004,833
Chase Issuance Trust, Series 2015-A3, Class A3
1.16%		04/15/19	³		430,000		430,017
CIT Education Loan Trust, Series 2007-1, Class A
1.24%		03/25/42	^2,3		3,635,837		3,394,527
CIT Education Loan Trust, Series 2007-1, Class B
1.45%		06/25/42	^2,3		3,356,376		2,993,392
Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2
2.13%		01/23/20	³		5,980,000		6,035,497
Citibank Credit Card Issuance Trust, Series 2013-A4, Class A4
1.40%		07/24/20	³		1,900,000		1,900,243
Dryden 41 Senior Loan Fund, Series 2015-41A, Class A (Cayman Islands)
2.52%		01/15/28	^2,3,4		6,750,000		6,808,009
Dryden XXII Senior Loan Fund, Series 2013-30A, Class A (Cayman Islands)
2.29%		11/15/25	^2,3,4		7,500,000		7,500,536
Eaton Vance CLO Ltd., Series 2014-1A, Class AR (Cayman Islands)
2.23%		07/15/26	^2,3,4		8,000,000		8,006,856
Edsouth Indenture No. 3 LLC, Series 2012-2, Class A
1.71%		04/25/39	^2,3		239,955		239,274
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
1.78%		04/26/32	^2,3		3,465,000		3,376,768
Educational Funding of the South, Inc., Series 2012-1, Class A
2.03%		03/25/36	³		130,148		130,973
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2
2.33%		03/25/36	^2,3		6,400,000		6,492,484
Flagship CLO VIII Ltd., Series 2014-8A, Class AR (Cayman Islands)
2.09%		01/16/26	^2,3,4		7,945,000		7,946,962
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
1.63%		08/27/46	^2,3		2,897,293		2,610,176
GE Business Loan Trust, Series 2005-1A, Class A3
1.16%		06/15/33	^2,3		2,772,910		2,567,316
GE Business Loan Trust, Series 2005-2A, Class A
1.15%		11/15/33	^2,3		6,365,614		6,098,557
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^2,4		1,862,667		1,765,231


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Goal Capital Funding Trust, Series 2006-1, Class B
1.50%		08/25/42	³	$	590,046	$	545,498
Higher Education Funding, Series 2014-1, Class A
2.10%		05/25/34	^2,3		1,686,424		1,684,243
Honda Auto Receivables Owner Trust, Series 2015-4, Class A3
1.23%		09/23/19			7,400,000		7,379,453
Honda Auto Receivables Owner Trust, Series 2016-4, Class A2
1.04%		04/18/19			6,215,000		6,201,376
Honda Auto Receivables Owner Trust, Series 2017-1, Class A2
1.42%		07/22/19			2,005,000		2,005,321
Limerock CLO III Ltd., Series 2014-3A, Class A1R (Cayman Islands)
2.23%		10/20/26	^2,3,4		8,000,000		8,001,592
Mill Creek II CLO Ltd., Series 2016-1A, Class A (Cayman Islands)
2.78%		04/20/28	^2,3,4		5,750,000		5,851,171
National Collegiate Student Loan Trust, Series 2004-2, Class A4
1.29%		11/27/28	³		699,830		696,446
National Collegiate Student Loan Trust, Series 2006-4, Class A3
1.24%		02/26/29	³		5,235,145		5,179,439
National Collegiate Student Loan Trust, Series 2007-2, Class A2
1.11%		06/26/28	³		2,030,295		2,010,027
Navient Student Loan Trust, Series 2014-1, Class A4
1.73%		02/25/39	³		3,840,000		3,697,624
Navient Student Loan Trust, Series 2014-8, Class A3
1.58%		05/27/31	³		6,120,000		5,999,365
Navient Student Loan Trust, Series 2015-1, Class A2
1.58%		04/25/40	³		9,370,000		9,303,014
Navient Student Loan Trust, Series 2015-1, Class B
2.48%		07/25/52	³		5,000,000		4,890,025
Navient Student Loan Trust, Series 2015-2, Class A1
1.26%		11/25/24	³		2,228,574		2,229,284
Navient Student Loan Trust, Series 2016-2, Class A3
2.48%		06/25/65	^2,3		11,200,000		11,518,546
Navient Student Loan Trust, Series 2017-1A, Class A3
1.92%		07/26/66	^2,3		16,200,000		16,229,525
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1
1.75%		02/25/36	^2,3		150,000		137,521


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B2
1.75%		02/25/36	^2,3	$	825,000	$	756,406
Nelnet Student Loan Trust, Series 2006-2, Class B
1.24%		01/25/38	³		4,760,836		4,110,572
Nelnet Student Loan Trust, Series 2007-1, Class A3
0.99%		05/27/25	³		2,700,000		2,646,861
Nelnet Student Loan Trust, Series 2012-5A, Class A
1.58%		10/27/36	^2,3		176,935		176,096
Nelnet Student Loan Trust, Series 2014-4A, Class A2
1.93%		11/25/43	^2,3		1,865,000		1,828,238
Nelnet Student Loan Trust, Series 2015-1A, Class A
1.57%		04/25/41	^2,3		7,142,564		6,988,346
Nelnet Student Loan Trust, Series 2015-3A, Class A3
1.88%		06/25/49	^2,3		11,000,000		10,508,151
Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A
0.87%		11/15/18			2,166,760		2,165,060
Nissan Auto Receivables Owner Trust, Series 2016-C, Class A2A
1.07%		05/15/19			6,055,000		6,045,215
Nissan Auto Receivables Owner Trust, Series 2017-A, Class A2A
1.47%		01/15/20			2,745,000		2,745,898
Northstar Education Finance, Inc., Series 2007-1, Class A2
1.79%		01/29/46	³		135,000		130,591
PHEAA Student Loan Trust, Series 2013-3A, Class A
1.73%		11/25/42	^2,3		5,359,380		5,293,968
Scholar Funding Trust, Series 2011-A, Class A
1.94%		10/28/43	^2,3		150,603		149,475
Scholar Funding Trust, Series 2012-B, Class A2
2.08%		03/28/46	^2,3		150,000		149,027
SLC Student Loan Trust I, Series 2002-2, Class B2
2.37%		07/01/42	^2,3		200,000		172,846
SLC Student Loan Trust I, Series 2005-3, Class A4
1.28%		12/15/39	³		13,800,000		12,760,296
SLC Student Loan Trust, Series 2004-1, Class B
1.33%		08/15/31	³		759,188		667,667
SLC Student Loan Trust, Series 2005-2, Class A4
1.29%		12/15/39	³		12,000,000		11,238,202


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLC Student Loan Trust, Series 2005-2, Class B
1.41%		03/15/40	³	$	645,626	$	585,798
SLC Student Loan Trust, Series 2005-3, Class B
1.38%		06/15/40	³		3,261,289		2,925,903
SLC Student Loan Trust, Series 2006-1, Class A6
1.29%		12/15/38	³		13,120,000		11,985,805
SLC Student Loan Trust, Series 2006-1, Class B
1.34%		03/15/39	³		2,965,563		2,687,920
SLC Student Loan Trust, Series 2006-2, Class A5
1.23%		09/15/26	³		162,527		161,912
SLC Student Loan Trust, Series 2006-2, Class B
1.36%		12/15/39	³		863,050		756,169
SLC Student Loan Trust, Series 2007-1, Class A4
1.10%		05/15/29	³		14,753,033		14,558,501
SLC Student Loan Trust, Series 2008-1, Class A4A
2.73%		12/15/32	³		4,951,371		5,115,452
SLM Student Loan Trust I, Series 2003-10A, Class A3
1.60%		12/15/27	^2,3		15,862,840		15,842,345
SLM Student Loan Trust I, Series 2003-12, Class B
1.72%		03/15/38	³		6,678,085		5,997,486
SLM Student Loan Trust I, Series 2014-2, Class A3
1.57%		03/25/55	³		15,000,000		14,932,289
SLM Student Loan Trust, Series 2003-11, Class A6
1.88%		12/15/25	^2,3		250,000		250,314
SLM Student Loan Trust, Series 2003-4, Class A5D
1.88%		03/15/33	^2,3		3,247,026		3,191,946
SLM Student Loan Trust, Series 2003-7, Class B
1.70%		09/15/39	³		4,744,056		4,286,904
SLM Student Loan Trust, Series 2004-10, Class A6A
1.59%		04/27/26	^2,3		9,750,707		9,785,926
SLM Student Loan Trust, Series 2004-10, Class B
1.41%		01/25/40	³		5,264,473		4,694,975
SLM Student Loan Trust, Series 2004-2, Class B
1.51%		07/25/39	³		801,990		733,969
SLM Student Loan Trust, Series 2004-5A, Class A5
1.64%		10/25/23	^2,3		583,045		583,892


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2004-8A, Class A5
1.54%		04/25/24	^2,3	$	749,610	$	752,388
SLM Student Loan Trust, Series 2005-10, Class A4
1.15%		10/25/19	³		203,791		203,742
SLM Student Loan Trust, Series 2005-4, Class B
1.22%		07/25/40	³		827,169		760,606
SLM Student Loan Trust, Series 2005-6, Class B
1.33%		01/25/44	³		4,313,353		3,941,613
SLM Student Loan Trust, Series 2005-9, Class B
1.34%		01/25/41	³		1,538,540		1,394,624
SLM Student Loan Trust, Series 2006-10, Class B
1.26%		03/25/44	³		4,304,873		3,801,320
SLM Student Loan Trust, Series 2006-2, Class A6
1.21%		01/25/41	³		16,800,000		15,980,318
SLM Student Loan Trust, Series 2006-4, Class A5
1.14%		10/27/25	³		328,361		328,299
SLM Student Loan Trust, Series 2006-8, Class A6
1.20%		01/25/41	³		1,800,000		1,672,794
SLM Student Loan Trust, Series 2006-9, Class A5
1.14%		01/26/26	³		174,292		173,275
SLM Student Loan Trust, Series 2007-1, Class B
1.26%		01/27/42	³		4,064,413		3,680,800
SLM Student Loan Trust, Series 2007-3, Class A4
1.10%		01/25/22	³		215,000		205,768
SLM Student Loan Trust, Series 2007-6, Class A4
1.42%		10/25/24	³		17,296,862		17,240,182
SLM Student Loan Trust, Series 2007-6, Class B
1.89%		04/27/43	³		536,118		491,530
SLM Student Loan Trust, Series 2007-7, Class B
1.79%		10/25/28	³		2,195,000		1,995,939
SLM Student Loan Trust, Series 2007-8, Class B
2.04%		04/27/43	³		2,758,003		2,537,305
SLM Student Loan Trust, Series 2008-2, Class B
2.24%		01/25/29	³		1,000,000		944,747
SLM Student Loan Trust, Series 2008-3, Class B
2.24%		04/25/29	³		710,000		660,243


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-4, Class A4
2.69%		07/25/22	³	$	1,990,665	$	2,028,231
SLM Student Loan Trust, Series 2008-4, Class B
2.89%		04/25/29	³		710,000		690,474
SLM Student Loan Trust, Series 2008-5, Class A4
2.74%		07/25/23	³		4,988,250		5,101,608
SLM Student Loan Trust, Series 2008-5, Class B
2.89%		07/25/29	³		7,315,000		7,222,109
SLM Student Loan Trust, Series 2008-6, Class B
2.89%		07/25/29	³		710,000		696,864
SLM Student Loan Trust, Series 2008-7, Class B
2.89%		07/25/29	³		820,000		804,828
SLM Student Loan Trust, Series 2008-8, Class A4
2.54%		04/25/23	³		3,210,000		3,273,201
SLM Student Loan Trust, Series 2008-8, Class B
3.29%		10/25/29	³		735,000		738,337
SLM Student Loan Trust, Series 2008-9, Class A
2.54%		04/25/23	³		6,093,700		6,221,185
SLM Student Loan Trust, Series 2008-9, Class B
3.29%		10/25/29	³		7,235,000		7,349,729
SLM Student Loan Trust, Series 2009-3, Class A
1.73%		01/25/45	^2,3		11,376,898		11,299,851
SLM Student Loan Trust, Series 2011-1, Class A2
2.13%		10/25/34	³		2,680,000		2,701,257
SLM Student Loan Trust, Series 2011-2, Class A1
1.58%		11/25/27	³		604,094		606,426
SLM Student Loan Trust, Series 2011-2, Class A2
2.18%		10/25/34	³		4,035,000		4,108,301
SLM Student Loan Trust, Series 2012-1, Class A2
1.43%		11/25/20	³		397,160		397,184
SLM Student Loan Trust, Series 2012-1, Class A3
1.93%		09/25/28	³		1,300,000		1,299,943
SLM Student Loan Trust, Series 2012-2, Class A
1.68%		01/25/29	³		1,943,924		1,931,031
SLM Student Loan Trust, Series 2012-6, Class A2
1.26%		09/25/19	³		122,685		122,680


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2012-7, Class A3
1.63%		05/26/26	³	$	4,400,000	$	4,299,234
SLM Student Loan Trust, Series 2012-7, Class B
2.78%		09/25/43	³		2,200,000		2,101,986
SLM Student Loan Trust, Series 2013-3, Class A2
1.28%		05/26/20	³		917,916		917,539
SLM Student Loan Trust, Series 2013-4, Class A
1.53%		06/25/27	³		1,945,032		1,907,163
SLM Student Loan Trust, Series 2013-6, Class A2
1.48%		02/25/21	³		455,593		455,827
SLM Student Loan Trust, Series 2014-1, Class A2
1.36%		07/26/21	³		919,610		919,792
SLM Student Loan Trust, Series 2014-1, Class A3
1.58%		02/26/29	³		1,670,000		1,639,830
Spirit Master Funding LLC, Series 2014-1A, Class A1
5.05%		07/20/40	²		106,696		108,254
Spirit Master Funding VII LLC, Series 2013-2A, Class A
5.27%		12/20/43	²		1,441,282		1,475,476
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^2,†		2,097,734		2,391,311
Structured Receivables Finance LLC, Series 2010-B, Class B
7.97%		08/15/36	²		1,386,771		1,633,591
Toyota Auto Receivables Owner Trust, Series 2016-C, Class A2A
1.00%		01/15/19			6,030,000		6,023,372
Upland CLO Ltd., Series 2016-1A, Class A1A (Cayman Islands)
2.63%		04/20/28	^2,3,4		3,575,000		3,608,651
USAA Auto Owner Trust, Series 2016-1, Class A2
1.07%		03/15/19			2,150,000		2,147,436
Voya CLO Ltd., Series 2015-2A, Class A (Cayman Islands)
2.44%		07/23/27	^2,3,4		8,480,000		8,534,577

Total Asset-Backed Securities
(Cost $551,464,483)							553,181,535


Issues	Maturity Date			Principal Amount		Value
BANK LOANS — 0.54%*
Consumer Discretionary — 0.02%
Reynolds Group Holdings, Inc., Term Loan, 1st Lien
3.98% (LIBOR plus 3.00%)		02/05/23	³	$	820,880	$	825,030


Electric — 0.17%
Chief Power Finance LLC, Term Loan B, 1st Lien
5.75% (LIBOR plus 4.75%)		12/31/20	^3,5		4,398,750		3,565,187
Homer City Generation LP, Term Loan B, 1st Lien
12.00% (LIBOR plus 11.00%)		02/08/23	^3,5		1,730,000		1,608,900
Vistra Operations Co. LLC, Term Loan B, 1st Lien
3.73% (LIBOR plus 2.75%)		08/04/23	³		418,309		418,003
Vistra Operations Co. LLC, Term Loan C, 1st Lien
3.73% (LIBOR plus 2.75%)		08/04/23	³		95,643		95,573


							5,687,663


Finance — 0.11%
Delos Finance SARL, Term Loan B, 1st Lien
3.40% (LIBOR plus 2.25%)		10/06/23	³		3,855,629		3,903,824


Industrials — 0.18%
Johnson Controls International PLC, Senior Term Loan
2.81% (LIBOR plus 1.75%)		09/10/19	^3,5		6,225,000		6,219,180


Services — 0.06%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%		01/15/38	^3,4,†		2,169,927		2,180,776


Total Bank Loans
(Cost $19,601,152)							18,816,473

CORPORATES — 31.37%*

Automotive — 0.39%
Ford Motor Credit Co. LLC
2.38%		01/16/18			3,150,000		3,164,216
6.63%		08/15/17			2,250,000		2,291,225
General Motors Co.
3.50%		10/02/18			5,710,000		5,837,464
Goodyear Tire & Rubber Co. (The)
4.88%		03/15/27			1,750,000		1,754,375
Metalsa SA de CV, Series REGS (Mexico)
4.90%		04/24/23	⁴		500,000		488,125


							13,535,405


Banking — 5.04%
Banco Continental Sa Via Continental Senior Trustees, Series REGS (Peru)
5.50%		11/18/20	⁴		950,000		1,038,065


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Banco Internacional del Peru SAA Interbank, Series REGS (Peru)
6.63%		03/19/29	^3,4	$	250,000	$	274,375
Banco Nacional de Costa Rica, Series REGS (Costa Rica)
5.88%		04/25/21	⁴		250,000		255,938
Bank of America Corp.
4.10%		07/24/23			1,000,000		1,048,924
5.70%		01/24/22			2,500,000		2,809,670
5.75%		12/01/17			5,610,000		5,758,889
6.00%		09/01/17			3,000,000		3,054,807
Bank of America Corp. (GMTN)
3.50%		04/19/26			2,000,000		1,970,125
6.40%		08/28/17			3,000,000		3,058,897
Bank of America Corp. (MTN)
1.70%		12/01/26	³		1,600,000		1,446,202
4.00%		04/01/24			1,200,000		1,246,051
5.65%		05/01/18			17,660,000		18,387,238
6.88%		04/25/18			17,629,000		18,557,907
Bank of America N.A. (BKNT)
1.43%		06/15/17	³		3,300,000		3,300,620
6.10%		06/15/17			6,012,000		6,063,970
Discover Bank
2.60%		11/13/18			4,515,000		4,561,158
Global Bank Corp. (Panama)
4.50%		10/20/21	^2,4		540,000		536,220
Grupo Aval Ltd., Series REGS
(Colombia)
4.75%		09/26/22	⁴		500,000		501,250
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^2,4		3,425,000		3,589,943
JPMorgan Chase & Co.
1.80%		01/25/18			5,000,000		5,009,964
2.55%		10/29/20			657,000		659,909
3.88%		09/10/24			2,000,000		2,030,342
4.50%		01/24/22			3,000,000		3,236,351
6.00%		01/15/18			7,000,000		7,237,125
PNC Bank N.A.
1.80%		11/05/18			5,000,000		5,007,267
PNC Bank N.A. (BKNT)
1.50%		02/23/18			5,000,000		4,999,045
Santander UK Group Holdings PLC (United Kingdom)
2.88%		08/05/21	⁴		1,300,000		1,288,049
Santander UK PLC (United Kingdom)
1.65%		09/29/17	⁴		2,500,000		2,500,476
3.05%		08/23/18	⁴		425,000		431,897
5.00%		11/07/23	^2,4		3,100,000		3,240,845
U.S. Bancorp, Series V (MTN)
2.63%		01/24/22			2,130,000		2,138,480


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
UBS AG/Stamford CT (GMTN) (Switzerland)
1.85%		03/26/18	^3,4	$	3,000,000	$	3,012,477
UBS AG/Stamford CT (Switzerland)
1.61%		06/01/17	^3,4		3,000,000		3,002,205
Wachovia Bank N.A. (BKNT)
6.00%		11/15/17			16,435,000		16,880,619
Wachovia Corp. (MTN)
5.75%		02/01/18			17,654,000		18,258,679
Wells Fargo & Co.
3.00%		04/22/26			11,985,000		11,523,979
3.00%		10/23/26			6,435,000		6,168,790


							174,086,748


Commercial Services — 0.08%
IHS Markit Ltd. (United Kingdom)
5.00%		11/01/22	^2,4		1,659,000		1,746,097
Nielsen Co. Luxembourg SARL (The) (Luxembourg)
5.00%		02/01/25	^2,4		1,000,000		998,750


							2,744,847


Communications — 2.58%
21st Century Fox America, Inc.
3.00%		09/15/22			2,590,000		2,593,411
Altice U.S. Finance I Corp.
5.38%		07/15/23	²		2,450,000		2,535,750
5.50%		05/15/26	²		2,815,000		2,899,450
AT&T, Inc.
3.40%		05/15/25			4,000,000		3,870,196
3.60%		02/17/23			1,400,000		1,420,446
4.13%		02/17/26			7,400,000		7,517,867
4.35%		06/15/45			1,500,000		1,323,901
4.80%		06/15/44			4,322,000		4,087,103
5.45%		03/01/47			3,900,000		3,983,479
CCO Holdings LLC/CCO Holdings Capital Corp.
5.13%		05/01/27	²		3,950,000		3,974,658
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.13%		12/15/21	²		225,000		229,219
6.38%		09/15/20	²		904,000		935,640
Charter Communications Operating LLC/Charter Communications Operating Capital
6.48%		10/23/45			5,640,000		6,512,226
CSC Holdings LLC
5.50%		04/15/27	²		3,400,000		3,463,920
6.75%		11/15/21			500,000		543,437
8.63%		02/15/19			700,000		770,000
10.88%		10/15/25	²		300,000		361,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	⁴	$	4,415,000	$	3,664,450
Sirius XM Radio, Inc.
5.75%		08/01/21	²		2,082,000		2,165,820
Sprint Communications, Inc.
9.00%		11/15/18	²		4,850,000		5,268,555
Time Warner Cable LLC
6.75%		07/01/18			3,606,000		3,814,243
8.25%		04/01/19			1,250,000		1,394,134
Time Warner, Inc.
3.80%		02/15/27			5,020,000		4,982,794
T-Mobile USA, Inc.
4.00%		04/15/22			1,700,000		1,731,875
Verizon Communications, Inc.
4.52%		09/15/48			7,090,000		6,448,993
4.86%		08/21/46			3,525,000		3,376,709
5.01%		04/15/49	²		2,810,000		2,739,621
5.15%		09/15/23			1,000,000		1,099,680
Viacom, Inc.
3.45%		10/04/26			2,500,000		2,382,759
Virgin Media Secured Finance PLC (United Kingdom)
5.25%		01/15/26	^2,4		840,000		847,350
5.50%		08/15/26	^2,4		2,260,000		2,305,200


							89,244,386


Consumer Discretionary — 1.13%
Altria Group, Inc.
9.70%		11/10/18			3,697,000		4,149,285
Anheuser-Busch InBev Finance, Inc.
3.65%		02/01/26			8,608,000		8,711,787
Churchill Downs, Inc.
5.38%		12/15/21			3,465,000		3,620,925
Constellation Brands, Inc.
6.00%		05/01/22			1,195,000		1,359,849
Cott Holdings, Inc.
5.50%		04/01/25	²		1,470,000		1,499,841
DS Services of America, Inc.
10.00%		09/01/21	²		2,850,000		3,070,875
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26			3,050,000		3,156,750
High Ridge Brands Co.
8.88%		03/15/25	²		2,826,000		2,889,585
KFC Holding Co/Pizza Hut Holdings LLC/ Taco Bell of America LLC
5.00%		06/01/24	²		300,000		307,125
5.25%		06/01/26	²		1,900,000		1,938,000
Pernod Ricard SA (France)
4.45%		01/15/22	^2,4		4,540,000		4,834,401


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
5.75%		10/15/20		$	3,305,000	$	3,404,150


							38,942,573


Consumer Products — 0.39%
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^2,4		11,600,000		11,608,016
Scotts Miracle-Gro Co. (The)
5.25%		12/15/26	²		1,765,000		1,791,475


							13,399,491


Electric — 2.68%
AEP Texas Central Co.
3.85%		10/01/25	²		6,455,000		6,691,940
AES Gener SA (Chile)
5.00%		07/14/25	^2,4		500,000		504,900
AES Panama SRL, Series REGS (Panama)
6.00%		06/25/22	⁴		250,000		257,900
Alabama Power Capital Trust V
4.25%		10/01/42	³		1,300,000		1,252,169
Cleveland Electric Illuminating Co.,
Series D (The)
7.88%		11/01/17			6,333,000		6,554,579
Dominion Resources, Inc.
5.75%		10/01/54	³		2,875,000		2,982,813
Dominion Resources, Inc., Series A
1.88%		01/15/19			4,400,000		4,383,640
Duquesne Light Holdings, Inc.
6.40%		09/15/20	²		4,641,000		5,200,321
Entergy Corp.
4.00%		07/15/22			2,000,000		2,097,667
Eskom Holdings SOC Ltd., Series REGS (South Africa)
7.13%		02/11/25	⁴		1,000,000		1,011,100
FirstEnergy Transmission LLC
4.35%		01/15/25	²		2,131,000		2,219,405
Homer City Generation LP⁶
8.14%		10/01/19	^5,7		1,556,730		607,125
8.73%		10/01/26	^5,7		4,848,440		1,866,649
IPALCO Enterprises, Inc.
5.00%		05/01/18			1,700,000		1,750,315
ITC Holdings Corp.
3.25%		06/30/26			3,000,000		2,920,413
3.65%		06/15/24			1,426,000		1,440,801
Kansas City Power & Light Co.
3.15%		03/15/23			6,250,000		6,297,181
Metropolitan Edison Co.
4.00%		04/15/25	²		3,000,000		3,049,730


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
7.70%		01/15/19		$	2,230,000	$	2,435,140
MidAmerican Energy Co.
3.10%		05/01/27			6,165,000		6,157,238
NextEra Energy Capital Holdings, Inc., Series F
2.06%		09/01/17			6,000,000		6,010,620
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			1,000,000		1,069,121
Pennsylvania Electric Co.
6.05%		09/01/17			3,175,000		3,227,143
Perusahaan Gas Negara Persero TBK PT (Indonesia)
5.13%		05/16/24	^2,4		750,000		796,223
Public Service Co. of New Mexico
3.85%		08/01/25			3,500,000		3,565,774
5.35%		10/01/21			50,000		53,061
Public Service Electric & Gas Co., Series CC
9.25%		06/01/21			7,920,000		9,909,108
Southern Co. Gas Capital Corp.
3.25%		06/15/26			3,350,000		3,266,602
Southwestern Electric Power Co.
3.55%		02/15/22			3,000,000		3,084,399
6.45%		01/15/19			1,885,000		2,033,635


							92,696,712


Energy — 1.94%
Antero Resources Corp.
5.00%		03/01/25	²		1,650,000		1,618,073
BP Capital Markets PLC (United Kingdom)
3.06%		03/17/22	⁴		2,395,000		2,427,404
Diamondback Energy, Inc.
5.38%		05/31/25	²		2,665,000		2,751,613
Ecopetrol SA (Colombia)
5.88%		09/18/23	⁴		500,000		542,600
Enbridge Energy Partners LP
5.88%		10/15/25			2,500,000		2,803,309
Energy Transfer Partners LP
5.15%		03/15/45			6,556,000		6,213,265
Florida Gas Transmission Co. LLC
7.90%		05/15/19	²		1,375,000		1,526,517
Gulfport Energy Corp.
6.38%		05/15/25	²		2,012,000		1,984,335
Hess Corp.
7.88%		10/01/29			1,855,000		2,273,534
Kinder Morgan Energy Partners LP
5.80%		03/15/35			240,000		252,038
Kinder Morgan, Inc./DE
5.30%		12/01/34			1,000,000		1,006,386
Lukoil International Finance BV, Series REGS (Netherlands)


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
4.56%		04/24/23	⁴	$	600,000	$	616,800
Noble Energy, Inc.
3.90%		11/15/24			934,000		950,030
Parsley Energy LLC/Parsley Finance Corp.
6.25%		06/01/24	²		1,650,000		1,757,250
Petrobras Global Finance BV (Netherlands)
4.38%		05/20/23	⁴		360,000		342,000
Petroleos Mexicanos (Mexico)
1.70%		12/20/22	⁴		90,000		88,655
Petroleos Mexicanos, Series REGS (Mexico)
5.38%		03/13/22	⁴		3,500,000		3,680,600
Rockies Express Pipeline LLC
5.63%		04/15/20	²		500,000		528,750
6.00%		01/15/19	²		500,000		522,500
6.85%		07/15/18	²		700,000		735,000
Ruby Pipeline LLC
6.00%		04/01/22	²		6,850,000		7,254,732
Sabine Pass Liquefaction LLC
5.63%		03/01/25			3,000,000		3,258,750
Southern Natural Gas Co. LLC
5.90%		04/01/17	²		4,140,000		4,140,000
Spectra Energy Partners LP
4.60%		06/15/21			3,810,000		4,041,336
TC PipeLines LP
4.38%		03/13/25			3,000,000		3,035,836
4.65%		06/15/21			2,300,000		2,421,203
Texas Eastern Transmission LP
2.80%		10/15/22	²		3,000,000		2,907,989
Williams Partners LP
3.60%		03/15/22			2,854,000		2,898,197
5.10%		09/15/45			2,000,000		1,993,768
Williams Partners LP/ACMP Finance Corp.
4.88%		05/15/23			2,500,000		2,589,951


							67,162,421


Entertainment — 0.03%
AMC Entertainment Holdings, Inc.
6.13%		05/15/27	²		1,127,000		1,141,087


Environmental Control — 0.09%
Waste Management, Inc.
6.10%		03/15/18			2,855,000		2,976,450


Finance — 5.99%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.75%		05/15/19	⁴		3,550,000		3,646,997
American Express Bank FSB (BKNT)
6.00%		09/13/17			1,900,000		1,939,038
American Express Co.


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
7.00%		03/19/18		$	4,000,000	$	4,202,454
American Express Credit Corp. (MTN)
2.20%		03/03/20			5,000,000		5,009,615
Bear Stearns Cos. LLC (The)
6.40%		10/02/17			3,750,000		3,840,394
7.25%		02/01/18			13,600,000		14,215,400
Citigroup, Inc.
1.60%		08/25/36	³		10,300,000		8,337,273
1.70%		04/27/18			6,000,000		6,004,116
1.75%		11/24/17	³		1,000,000		1,003,397
1.75%		05/01/18			5,000,000		4,997,131
1.80%		02/05/18			6,415,000		6,419,619
2.50%		09/26/18			8,000,000		8,073,404
6.00%		08/15/17			3,263,000		3,313,838
6.13%		05/15/18			11,705,000		12,260,320
Fondo MIVIVIENDA SA, Series REGS (Peru)
3.50%		01/31/23	⁴		1,000,000		1,005,300
Ford Motor Credit Co. LLC
2.10%		01/09/18	³		400,000		401,556
2.15%		01/09/18			2,500,000		2,507,947
3.00%		06/12/17			1,000,000		1,002,967
5.00%		05/15/18			2,000,000		2,066,995
General Electric Corp. (MTN)
1.52%		08/15/36	³		4,085,000		3,601,005
4.65%		10/17/21			70,000		76,924
General Motors Financial Co., Inc.
2.63%		07/10/17			2,500,000		2,507,213
3.00%		09/25/17			1,000,000		1,006,379
3.10%		01/15/19			2,000,000		2,032,969
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%		02/15/19			2,475,000		2,717,406
Goldman Sachs Group, Inc. (MTN) (The)
3.85%		07/08/24			9,710,000		9,951,119
Goldman Sachs Group, Inc. (The)
2.38%		01/22/18			2,000,000		2,012,188
2.90%		07/19/18			1,000,000		1,013,409
5.95%		01/18/18			20,075,000		20,734,905
6.15%		04/01/18			13,276,000		13,834,017
Guanay Finance Ltd. (Cayman Islands)
6.00%		12/15/20	^2,4		194,352		200,182
International Lease Finance Corp.
7.13%		09/01/18	²		6,300,000		6,741,000
Morgan Stanley
1.88%		01/05/18			2,000,000		2,004,418
1.89%		01/05/18	³		2,000,000		2,006,960
3.63%		01/20/27			2,725,000		2,710,631
Morgan Stanley (GMTN)
5.50%		07/24/20			3,000,000		3,277,620
6.63%		04/01/18			21,642,000		22,657,767


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
7.30%		05/13/19		$	2,740,000	$	3,030,336
Morgan Stanley (MTN)
5.63%		09/23/19			2,000,000		2,163,643
5.95%		12/28/17			10,083,000		10,399,011
Raymond James Financial, Inc.
8.60%		08/15/19			530,000		606,276
SL Green Realty Corp.
5.00%		08/15/18			895,000		925,876
Tanner Servicios Financieros SA, Series REGS (Chile)
4.38%		03/13/18	⁴		500,000		507,500


							206,966,515


Food — 0.60%
BRF SA, Series REGS (Brazil)
3.95%		05/22/23	⁴		560,000		523,600
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	²		5,200,000		5,349,500
Dole Food Co., Inc.
7.25%		06/15/25	²		1,700,000		1,704,250
Kraft Heinz Foods Co.
3.00%		06/01/26			3,478,000		3,274,874
5.20%		07/15/45			5,500,000		5,758,687
Post Holdings, Inc.
5.00%		08/15/26	²		2,236,000		2,146,560
TreeHouse Foods, Inc.
6.00%		02/15/24	²		1,725,000		1,815,563


							20,573,034


Health Care — 3.66%
Abbott Laboratories
3.75%		11/30/26			6,235,000		6,244,988
AbbVie, Inc.
1.80%		05/14/18			1,500,000		1,502,099
3.20%		05/14/26			2,246,000		2,162,014
4.30%		05/14/36			1,000,000		972,251
4.70%		05/14/45			1,150,000		1,150,997
Actavis Funding SCS (Luxembourg)
1.30%		06/15/17	⁴		2,000,000		2,001,110
2.35%		03/12/18	⁴		2,000,000		2,009,184
3.45%		03/15/22	⁴		2,000,000		2,044,396
3.80%		03/15/25	⁴		6,306,000		6,374,080
4.55%		03/15/35	⁴		1,500,000		1,508,583
Aetna, Inc.
1.75%		05/15/17			2,430,000		2,430,272
2.80%		06/15/23			1,577,000		1,568,308
Amgen, Inc.
4.40%		05/01/45			1,880,000		1,832,051
4.66%		06/15/51			2,000,000		1,992,244


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Anthem, Inc.
1.88%		01/15/18		$	8,295,000	$	8,304,096
3.50%		08/15/24			8,171,000		8,252,319
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	⁴		2,130,000		2,149,882
Biogen, Inc.
5.20%		09/15/45			3,423,000		3,717,850
Celgene Corp.
2.88%		08/15/20			4,300,000		4,369,256
5.00%		08/15/45			3,250,000		3,406,570
Centene Corp.
4.75%		01/15/25			3,800,000		3,830,894
Express Scripts Holding Co.
3.40%		03/01/27			3,500,000		3,303,055
Gilead Sciences, Inc.
4.15%		03/01/47			6,155,000		5,754,266
Grifols Worldwide Operations Ltd. (Ireland)
5.25%		04/01/22	⁴		600,000		623,628
Hartford HealthCare Corp.
5.75%		04/01/44			1,525,000		1,719,928
HCA, Inc.
5.00%		03/15/24			1,000,000		1,051,250
6.50%		02/15/20			3,675,000		4,031,107
Hill-Rom Holdings, Inc.
5.75%		09/01/23	²		488,000		508,130
Humana, Inc.
7.20%		06/15/18			2,000,000		2,124,691
Molina Healthcare, Inc.
5.38%		11/15/22			379,000		395,107
Mylan NV (Netherlands)
3.00%		12/15/18	⁴		2,482,000		2,509,640
Nature’s Bounty Co. (The)
7.63%		05/15/21	²		563,000		593,965
Northwell Healthcare, Inc.
4.80%		11/01/42			650,000		665,862
6.15%		11/01/43			2,250,000		2,809,533
Providence Health & Services Obligated Group
2.10%		10/01/17	³		3,200,000		3,203,756
Quintiles IMS, Inc.
4.88%		05/15/23	²		1,250,000		1,267,188
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	⁴		5,686,000		5,648,404
2.40%		09/23/21	⁴		6,225,000		6,093,908
Tenet Healthcare Corp.
4.50%		04/01/21			1,000,000		1,005,000
4.63%		06/15/20	³		1,000,000		1,010,000
4.75%		06/01/20			1,100,000		1,127,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
6.00%		10/01/20		$	1,000,000	$	1,060,000
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	⁴		2,745,000		2,729,500
2.80%		07/21/23	⁴		950,000		903,925
Valeant Pharmaceuticals International, Inc.
7.25%		07/15/22	²		90,000		77,175
Valeant Pharmaceuticals International, Inc. (Canada)
5.88%		05/15/23	^2,4		2,900,000		2,262,000
6.13%		04/15/25	^2,4		4,150,000		3,216,250
7.00%		03/15/24	^2,4		1,809,000		1,861,099
WellCare Health Plans, Inc.
5.25%		04/01/25			1,255,000		1,287,379


							126,666,690


Industrials — 1.20%
Amcor Finance USA, Inc.
3.63%		04/28/26	²		2,125,000		2,109,619
Ball Corp.
5.25%		07/01/25			1,250,000		1,328,125
Cemex Finance LLC
6.00%		04/01/24	²		600,000		632,625
Clean Harbors, Inc.
5.13%		06/01/21			3,714,000		3,788,280
Crown Americas LLC/Crown Americas Capital Corp. V
4.25%		09/30/26	²		3,250,000		3,134,235
Embraer SA (Brazil)
5.15%		06/15/22	⁴		500,000		529,000
Graphic Packaging International, Inc.
4.13%		08/15/24			400,000		397,500
4.88%		11/15/22			500,000		525,000
Heathrow Funding Ltd. (United Kingdom)
4.88%		07/15/21	^2,4		700,000		750,442
L3 Technologies, Inc.
5.20%		10/15/19			5,335,000		5,720,096
SBA Communications Corp.
4.88%		09/01/24	²		3,565,000		3,520,438
Sealed Air Corp.
5.25%		04/01/23	²		2,100,000		2,215,500
Siemens Financieringsmaatschappij NV (Netherlands)
2.00%		09/15/23	^2,4		3,670,000		3,484,397
2.35%		10/15/26	^2,4		2,750,000		2,559,414
Silgan Holdings, Inc.
4.75%		03/15/25	²		88,000		88,550


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
United Technologies Corp. (STEP)
1.78%		05/04/18		$	10,625,000	$	10,624,819


							41,408,040


Information Technology — 0.34%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
5.75%		03/01/25	²		630,000		646,963
First Data Corp.
5.00%		01/15/24	²		6,712,000		6,854,630
IMS Health, Inc.
5.00%		10/15/26	²		1,250,000		1,257,031
MSCI, Inc.
4.75%		08/01/26	²		1,748,000		1,776,405
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^2,4		400,000		409,120
4.13%		06/01/21	^2,4		800,000		832,000


							11,776,149


Insurance — 0.45%
Farmers Exchange Capital
7.20%		07/15/48	²		150,000		174,305
Farmers Exchange Capital II
6.15%		11/01/53	^2,3		2,500,000		2,703,571
MetLife, Inc.
6.40%		12/15/36	³		4,914,000		5,411,543
Nationwide Mutual Insurance Co.
3.42%		12/15/24	^2,3		3,825,000		3,777,187
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^2,3		3,425,000		3,433,616


							15,500,222


Materials — 0.23%
Axalta Coating Systems LLC
4.88%		08/15/24	²		3,150,000		3,260,250
Fresnillo PLC, Series REGS (United Kingdom)
5.50%		11/13/23	⁴		500,000		541,150
Gerdau Holdings, Inc., Series REGS
7.00%		01/20/20			500,000		546,350
Gold Fields Orogen Holdings BVI Ltd., Series REGS (British Virgin Islands)
4.88%		10/07/20	⁴		250,000		252,500
Vale Overseas Ltd. (Cayman Islands)
4.38%		01/11/22	⁴		525,000		535,028
Valvoline, Inc.
5.50%		07/15/24	²		2,800,000		2,954,000


							8,089,278


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 3.66%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20	$	5,000,000	$	5,018,715
3.90%		06/15/23		2,500,000		2,560,037
3.95%		01/15/27		3,040,000		3,054,682
4.60%		04/01/22		1,000,000		1,065,309
American Campus Communities Operating Partnership LP
3.35%		10/01/20		1,735,000		1,766,540
American Tower Corp.
4.50%		01/15/18		10,500,000		10,726,107
AvalonBay Communities, Inc. (GMTN)
2.95%		09/15/22		250,000		250,853
3.63%		10/01/20		1,500,000		1,559,641
Boston Properties LP
3.70%		11/15/18		5,267,000		5,400,892
5.63%		11/15/20		1,750,000		1,931,324
5.88%		10/15/19		200,000		216,563
Duke Realty LP
6.50%		01/15/18		4,000,000		4,148,030
Education Realty Operating Partnership LP
4.60%		12/01/24		3,240,000		3,290,073
5.75%		06/15/17		1,805,000		1,820,530
Equinix, Inc.
5.38%		05/15/27		1,000,000		1,035,000
HCP, Inc.
3.75%		02/01/19		13,255,000		13,599,040
3.88%		08/15/24		3,100,000		3,122,712
4.25%		11/15/23		945,000		977,817
5.63%		05/01/17		100,000		100,291
Healthcare Realty Trust, Inc.
3.88%		05/01/25		2,500,000		2,482,567
5.75%		01/15/21		1,250,000		1,372,623
Highwoods Realty LP
7.50%		04/15/18		800,000		843,000
Kimco Realty Corp. (MTN)
4.30%		02/01/18		3,525,000		3,578,344
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
5.63%		05/01/24		1,500,000		1,590,000
Post Apartment Homes LP
3.38%		12/01/22		100,000		99,954
4.75%		10/15/17		270,000		272,280
Realty Income Corp.
2.00%		01/31/18		9,460,000		9,478,015
SL Green Realty Corp.
7.75%		03/15/20		2,375,000		2,674,906
UDR, Inc. (MTN)
4.25%		06/01/18		5,000,000		5,138,190
Ventas Realty LP


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
3.25%		10/15/26		$	5,000,000	$	4,755,043
3.75%		05/01/24			1,000,000		1,009,298
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			3,625,000		3,631,007
4.00%		04/30/19			4,489,000		4,642,652
VEREIT Operating Partnership LP
3.00%		02/06/19			1,200,000		1,206,750
WEA Finance LLC/Westfield UK & Europe Finance PLC
1.75%		09/15/17	²		12,330,000		12,333,495
2.70%		09/17/19	²		1,500,000		1,515,055
Welltower, Inc.
2.25%		03/15/18			1,990,000		1,999,154
4.95%		01/15/21			1,020,000		1,095,272
5.13%		03/15/43			4,946,000		5,209,464


							126,571,225


Retail — 0.30%
CVS Health Corp.
4.88%		07/20/35			2,385,000		2,576,005
Walgreens Boots Alliance, Inc.
3.10%		06/01/23			2,000,000		2,000,018
3.80%		11/18/24			5,824,000		5,947,792


							10,523,815


Services — 0.12%
Aramark Services, Inc.
4.75%		06/01/26			2,447,000		2,471,470
Gartner, Inc.
5.13%		04/01/25	²		1,750,000		1,787,187


							4,258,657


Transportation — 0.47%
America West Airlines Pass-Through Trust, Series 2001-1, Class G
7.10%		04/02/21			1,288,618		1,413,485
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			41,289		44,670
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23			3,767,824		4,003,313
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			6,007		6,214
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		08/02/20			1,821,765		1,937,903
Continental Airlines Pass-Through Trust, Series 1999-2, Class A
7.26%		03/15/20			1,274,605		1,342,287


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust, Series 2000-1, Class A1
8.05%		11/01/20		$	425,163	$	463,428
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		10/02/22			643,831		693,325
Continental Airlines Pass-Through Trust, Series 2001-1, Class A1
6.70%		06/15/21			42,062		44,428
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22			2,451,959		2,700,220
Continental Airlines Pass-Through Trust, Series 2012-1, Class B
6.25%		04/11/20			48,395		50,784
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			1,015,226		1,145,937
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
6.25%		04/22/23			1,096,373		1,222,456
U.S. Airways Pass-Through Trust, Series 2011-1, Class G
7.08%		03/20/21			977,590		1,047,855
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			96,723		108,088


							16,224,393


Total Corporates
(Cost $1,082,728,411)							1,084,488,138

FOREIGN GOVERNMENT OBLIGATIONS — 1.34%
Foreign Government Obligations — 1.34%
Brazilian Government International Bond (Brazil)
2.63%		01/05/23	⁴		4,000,000		3,702,000
Chile Government International Bond (Chile)
2.25%		10/30/22	⁴		2,500,000		2,458,125
Colombia Government International Bond (Colombia)
4.50%		01/28/26	⁴		3,500,000		3,706,500
Corp. Financiera de Desarrollo SA, Series REGS (Peru)
4.75%		07/15/25	⁴		2,000,000		2,121,000
Costa Rica Government International Bond, Series REGS (Costa Rica)
4.25%		01/26/23	⁴		1,500,000		1,455,000
Croatia Government International Bond, Series REGS (Croatia)
6.63%		07/14/20	⁴		1,700,000		1,870,000


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Dominican Republic International Bond, Series REGS (Dominican Republic)
6.60%		01/28/24	⁴	$	2,700,000	$	2,943,000
Hungary Government International Bond (Hungary)
5.75%		11/22/23	⁴		1,600,000		1,811,194
Kazakhstan Government International Bond, Series REGS (EMTN) (Kazakhstan)
5.13%		07/21/25	⁴		2,750,000		2,994,338
Magyar Export-Import Bank Zrt (Hungary)
4.00%		01/30/20	^2,4		900,000		923,009
Mexico Government International Bond (GMTN) (Mexico)
3.50%		01/21/21	⁴		2,500,000		2,595,000
Panama Government International Bond (Panama)
4.00%		09/22/24	⁴		1,000,000		1,042,200
Perusahaan Penerbit SBSN, Indonesia III (Indonesia)
4.35%		09/10/24	^2,4		5,500,000		5,706,250
Republic of Serbia, Series REGS (Serbia)
4.88%		02/25/20	⁴		3,000,000		3,114,300
Russian Foreign Bond - Eurobond, Series REGS (Russia)
4.88%		09/16/23	⁴		3,600,000		3,866,040
South Africa Government International Bond (South Africa)
4.67%		01/17/24	⁴		1,100,000		1,114,740
Turkey Government International Bond (Turkey)
5.13%		03/25/22	⁴		3,000,000		3,059,961
Uruguay Government International Bond (Uruguay)
4.38%		10/27/27	⁴		1,200,000		1,255,500
Venezuela Government International Bond (Venezuela)
9.25%		09/15/27	⁴		1,400,000		655,900


Total Foreign Government Obligations
(Cost $46,198,017)							46,394,057


MORTGAGE-BACKED — 41.17%**
Commercial Mortgage-Backed — 10.24%
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2007-5, Class A4
5.49%		02/10/51			16,689,292		16,787,370
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A
2.96%		12/10/30	²		3,710,000		3,746,432


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bayview Commercial Asset Trust, Series 2004-2, Class A
1.63%		08/25/34	^2,3	$	1,608,617	$	1,544,536
Bear Stearns Commercial Mortgage Securities, Series Trust 2004-PWR5, Class F
5.48%		07/11/42	^2,3		1,597,313		1,629,443
Citigroup Commercial Mortgage Trust, Series 2007-C6 AM
5.78%		12/10/49	³		2,518,000		2,551,513
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4
5.78%		12/10/49	³		7,027,634		7,036,014
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
2.12%		09/10/45	^2,3,5		57,815,508		3,646,852
Commercial Mortgage Trust, Series 2012-CR4, Class XA
1.90%		10/15/45	^3,5		55,161,524		3,743,537
Commercial Mortgage Trust, Series 2012-CR5, Class XA (IO)
1.74%		12/10/45	^3,5		92,794,151		5,968,529
Commercial Mortgage Trust, Series 2012-LC4, Class A4
3.29%		12/10/44			8,923,000		9,216,239
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	²		2,840,000		3,083,999
Commercial Mortgage Trust, Series 2013-CR13, Class A2
3.04%		12/10/18			10,060,000		10,251,782
Commercial Mortgage Trust, Series 2013-CR6, Class A1
0.72%		03/10/46			653,783		651,765
Commercial Mortgage Trust, Series 2013-LC13, Class A2
3.01%		08/10/46			20,200,000		20,559,180
Commercial Mortgage Trust, Series 2013-WWP, Class A2
3.42%		03/10/31	²		3,245,000		3,349,700
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^2,3		6,275,000		6,516,242
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class ASB
3.35%		04/15/50			16,500,000		17,137,235
DBRR Trust, Series 2012-EZ1, Class C
2.06%		09/25/45	²		704,609		704,869
DBRR Trust, Series 2013-EZ3, Class A
1.64%		12/18/49	^2,3		126,748		126,674


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
DBUBS Mortgage Trust, Series 2011-LC2A, Class A1
3.53%		07/10/44	²	$	4,645,042	$	4,768,252
GE Business Loan Trust, Series 2006-2A, Class A
0.51%		11/15/34	^2,3		13,777,923		13,083,279
GE Commercial Mortgage Corp., Series 2007-C1, Class A4
5.54%		12/10/49			30,069		30,072
GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4
5.95%		08/10/45	³		10,521,083		10,534,405
GS Mortgage Securities Trust, Series 2010-C1, Class A1
3.68%		08/10/43	²		2,391,499		2,448,368
GS Mortgage Securities Trust, Series 2010-C1, Class X (IO)
1.42%		08/10/43	^2,3,5		43,839,271		1,682,494
GS Mortgage Securities Trust, Series 2012-GC6, Class XA (IO)
1.96%		01/10/45	^2,3,5		54,648,764		4,135,288
GS Mortgage Securities Trust, Series 2013-NYC5, Class A
2.32%		01/10/30	²		11,900,000		11,939,760
GS Mortgage Securities Trust, Series 2014-GC18, Class A2
2.92%		01/10/47			4,783,541		4,861,113
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class A2
3.02%		08/15/46			16,997,180		17,283,906
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class XA
0.84%		08/15/46	^3,5		126,709,729		3,235,432
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA
1.34%		11/15/45	^3,5		30,991,757		1,434,785
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A3
3.37%		09/15/47			15,000,000		15,525,906
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2004-LN2, Class A2
5.12%		07/15/41			644,260		643,134
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2009-IWST, Class XA (IO)
1.89%		12/05/27	^2,3,5		51,364,208		2,540,325
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2009-RR1, Class A4B
5.84%		03/18/51	^2,3		2,310,902		2,369,668


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A2
3.62%		11/15/43	²	$	5,612,708	$	5,667,158
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A1
3.30%		08/05/32	²		1,789,458		1,817,124
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2
4.31%		08/05/32	²		7,990,000		8,346,035
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class XA
1.03%		02/15/46	^2,3,5		32,166,814		781,985
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class ASB
3.41%		01/15/46			14,100,000		14,625,265
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4
2.69%		04/15/46			13,250,000		13,373,853
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)
1.43%		04/15/46	^3,5		15,895,832		912,470
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CIBX, Class A3
3.14%		06/15/45			1,337,661		1,357,057
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4
5.86%		07/15/40	³		3,457,266		3,465,737
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2005-2A, Class 1A
1.23%		09/25/30	^2,3		1,244,237		1,195,642
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2006-2A, Class 1A
1.18%		09/25/36	^2,3		1,661,954		1,600,530
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4
5.84%		06/12/50	³		5,529,254		5,540,574
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A2
1.87%		11/15/45			2,758,082		2,760,532
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3
2.51%		11/15/45			947,000		954,571
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4
2.86%		11/15/45			1,360,000		1,376,012


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class XA (IO)
0.92%		10/15/46	^3,5	$	48,382,734	$	1,574,060
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class XA
1.50%		02/15/46	^3,5		13,394,088		813,967
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA (IO)
2.13%		03/15/45	^2,3,5		27,680,970		2,295,735
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A
3.35%		07/13/29	²		6,715,000		6,957,084
Morgan Stanley Capital I Trust, Series 2015-420, Class A
3.73%		10/11/50	²		4,000,000		4,139,946
OBP Depositor LLC Trust, Series 2010-OBP, Class A
4.65%		07/15/45	²		8,151,000		8,689,171
RBS Commercial Funding Trust, Series 2013-GSP, Class A
3.83%		01/13/32	^2,3		3,460,000		3,651,232
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class XA (IO)
0.45%		01/05/43	^2,3,5		28,685,000		1,601,607
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ
5.47%		08/15/39	³		1,149,050		1,160,758
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3
5.76%		06/15/49	³		3,422,100		3,418,562
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM
6.05%		02/15/51	³		4,885,000		4,942,741
WaMu Commercial Mortgage Securities Trust, Series 2007-SL3, Class AJ
4.32%		03/23/45	^2,3		212,169		211,818
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2
4.39%		11/15/43	²		7,605,000		8,056,912
Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A
2.71%		03/18/28	^2,3		3,845,000		3,891,778
WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A3
4.39%		06/15/44	²		3,434,381		3,546,915
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)
1.77%		11/15/44	^2,3,5		23,667,382		1,520,846
WF-RBS Commercial Mortgage Trust, Series 2012-C10, Class XA
1.68%		12/15/45	^2,3,5		36,171,782		2,436,023


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA
1.98%		08/15/45	^2,3,5	$	20,822,436	$	1,499,681
WF-RBS Commercial Mortgage Trust, Series 2013-C13, Class A2
1.96%		05/15/45			6,250,000		6,271,781
WF-RBS Commercial Mortgage Trust, Series 2013-C18, Class A3
3.65%		12/15/46			4,980,000		5,177,974
WF-RBS Commercial Mortgage Trust, Series 2014-C23, Class XA
0.69%		10/15/57	^3,5		97,543,742		3,499,187


							353,900,421


Non-Agency Mortgage-Backed — 20.47%
Aames Mortgage Investment Trust, Series 2006-1, Class A4
1.54%		04/25/36	³		2,082,000		1,951,143
Accredited Mortgage Loan Trust, Series 2006-1, Class A4
1.26%		04/25/36	³		7,000,000		6,642,807
ACE Securities Corp., Series 2006-OP2, Class A2C
1.13%		08/25/36	³		756,185		718,122
ACE Securities Corp., Series 2007-ASP1, Class A2D
1.36%		03/25/37	³		3,527,824		2,073,916
Adjustable Rate Mortgage Trust, Series 2005-4, Class 5A1
3.23%		08/25/35	³		3,741,224		3,308,986
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
1.21%		09/25/35	³		393,967		389,050
Adjustable Rate Mortgage Trust, Series 2007-1, Class 1A1
3.53%		03/25/37	³		5,743,181		5,125,678
Asset-Backed Funding Certificates, Series 2007-NC1, Class A2
1.28%		05/25/37	^2,3		6,032,000		4,777,979
Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B
1.98%		06/25/37	³		5,632,383		4,689,420
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1
1.96%		12/25/34	³		2,225,851		2,074,566
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A4
1.28%		01/25/36	³		5,000,000		4,652,921
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A5
1.22%		07/25/36	³		9,754,000		8,255,572


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1
5.50%		10/25/33		$	1,577,513	$	1,630,352
Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1
5.50%		03/25/20			76,258		76,804
Banc of America Funding Trust, Series 2004-B, Class 5A1
3.39%		11/20/34	³		629,689		600,843
Banc of America Funding Trust, Series 2006-D, Class 3A1
3.22%		05/20/36	³		2,204,275		1,949,641
Banc of America Funding Trust, Series 2006-G, Class 2A1
1.20%		07/20/36	³		2,954,364		2,931,734
Banc of America Funding Trust, Series 2006-G, Class 2A4
1.27%		07/20/36	³		11,798,932		11,736,196
Banc of America Funding Trust, Series 2015-R3, Class 6A2
0.66%		05/28/36	²		16,694,160		12,749,515
Banc of America Mortgage Securities, Inc., Series 2005-K, Class 2A1
3.50%		12/25/35	³		3,344,850		3,203,094
BCAP LLC Trust, Series 2007-AA1, Class 2A1
1.16%		03/25/37	³		7,165,104		6,775,559
BCAP LLC Trust, Series 2009-RR4, Class 1A1
9.50%		06/26/37	²		37,996		38,042
BCAP LLC Trust, Series 2012-R11, Class 11A1
3.00%		09/26/36	^2,3		352,240		354,006
BCAP LLC Trust, Series 2013-RR2, Class 6A1
3.00%		06/26/37	^2,3		273,783		273,372
BCAP LLC Trust, Series 2015-RR2, Class 23A1
0.98%		03/28/37	^2,3		2,605,542		2,581,948
Bear Stearns ALT-A Trust, Series 2005-1, Class M1
1.73%		01/25/35	³		14,935,000		13,866,977
Bear Stearns ALT-A Trust, Series 2005-2, Class 2A4
3.31%		04/25/35	³		4,042,539		3,936,172
Bear Stearns ARM Trust, Series 2005-2, Class A1
3.26%		03/25/35	³		359,159		362,295
Bear Stearns ARM Trust, Series 2005-9, Class A1
2.83%		10/25/35	³		6,108,482		5,905,465


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Asset-Backed Securities Trust, Series 2005-AC6, Class 1A3
5.50%		09/25/35	³	$	794,690	$	786,104
Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36			168,116		159,603
Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 1A1
1.18%		09/25/47	³		14,262,936		12,304,480
Centex Home Equity Loan Trust, Series 2005-D, Class M1
1.41%		10/25/35	³		28,391		28,471
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
1.23%		06/25/36	³		6,747,294		6,746,849
Chase Funding Trust, Series 2007-A1, Class 8A1
3.25%		02/25/37	³		2,099,016		2,130,711
CIM Trust, Series 2015-3AG, Class A1
2.53%		10/25/57	^2,3		6,467,890		6,536,893
CIM Trust, Series 2016-4, Class A1
2.78%		10/25/57	^2,3		11,577,479		11,776,287
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1
1.24%		11/25/35	³		112,613		76,801
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A
3.22%		06/25/36	³		527,232		500,369
Citigroup Mortgage Loan Trust, Inc., Series 2006-HE2, Class A2D
1.22%		08/25/36	³		2,300,000		2,119,217
Citigroup Mortgage Loan Trust, Inc., Series 2006-NC1, Class A2C
1.12%		08/25/36	³		1,082,494		1,040,034
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A
1.13%		08/25/36	³		96,177		95,642
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH3, Class M1
1.27%		10/25/36	³		12,000,000		11,620,410
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
1.18%		01/25/37	³		6,580,388		6,598,454
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
1.16%		03/25/37	³		101,389		101,382
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A4
1.33%		03/25/37	³		10,233,000		10,123,379
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30	³		44,717		47,788


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1
2.12%		01/25/36	³	$	7,530,771	$	7,097,468
Countrywide Alternative Loan Trust, Series 2006-HY12, Class A5
3.00%		08/25/36	³		7,615,171		7,283,222
Countrywide Asset-Backed Certificates, Series 2004-15, Class MV4
2.26%		04/25/35	³		7,610,000		7,611,621
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A
3.12%		11/20/34	³		18,403		18,022
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-3, Class 1A2
1.56%		04/25/35	³		7,302,203		6,564,579
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1
1.56%		02/25/35	³		22,033		19,118
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
1.58%		05/25/35	³		157,858		133,624
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-J2, Class 2A1
1.63%		07/25/37	³		2,045,771		1,032,581
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 3A1
2.87%		11/25/33	³		1,474,095		1,465,108
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 9A1
2.65%		06/25/34	³		261,863		254,814
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 1A1
6.50%		12/25/35			1,023,870		779,326
Credit Suisse Mortgage Trust, Series 2006-8, Class 3A1
6.00%		10/25/21			190,600		181,003
Credit Suisse Mortgage Trust, Series 2013-3R, Class 5A1
3.17%		10/27/36	^2,3		540,768		543,328
Credit Suisse Mortgage Trust, Series 2014-CIM1, Class A1
2.53%		01/25/58	^2,3		8,707,448		8,760,509
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF4 (STEP)
3.44%		01/25/36			6,117,037		4,858,691


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF3 (STEP)
3.46%		12/25/36		$	1,000,000	$	685,598
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A2
1.09%		11/25/36	³		11,221,477		6,570,172
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF2 (STEP)
3.83%		01/25/37			1,199,126		565,809
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
4.37%		02/25/37			7,912,301		5,845,914
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.37%		02/25/37			1,893,743		1,398,984
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP)
3.93%		03/25/37			4,058,381		2,243,650
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A1A
1.07%		04/25/37	³		5,140,322		4,889,060
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
1.04%		04/25/37	³		2,302,680		1,653,873
DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A
1.34%		01/19/45	³		1,398,256		1,252,435
DSLA Mortgage Loan Trust, Series 2005-AR6, Class 2A1A
1.27%		10/19/45	³		8,107,982		7,625,618
DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
1.18%		10/19/36	³		8,080,112		6,932,762
DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A
1.12%		04/19/48	³		3,037,421		2,655,546
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
3.01%		09/25/34	³		1,334,575		1,304,232
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A3
3.01%		09/25/34	³		2,052,160		2,005,503
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1
3.06%		12/25/35	³		3,053,816		2,534,403


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1
3.03%		02/25/36	³	$	4,781,608	$	4,172,161
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA2, Class 2A1
3.12%		04/25/35	³		5,672,110		5,546,141
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1
3.07%		09/25/35	³		7,041,181		6,478,329
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1
3.14%		10/25/35	³		7,897,865		6,821,630
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1
2.99%		11/25/35	³		4,290,804		3,964,424
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1
3.08%		03/25/36	³		4,700,939		4,035,022
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA7, Class A1
3.02%		01/25/37	³		7,363,304		6,294,823
First Horizon Alternative Mortgage Securities, Series 2005-AA3, Class 3A1
3.02%		05/25/35	³		5,584,753		5,511,630
First Horizon Mortgage Pass-Through Trust, Series 2004-AR5, Class 2A1
3.03%		10/25/34	³		82,787		80,932
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 1A1
3.04%		09/25/35	³		5,558,994		5,022,457
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1
2.89%		10/25/35	³		247,400		207,160
First Horizon Mortgage Pass-Through Trust, Series 2005-AR5, Class 2A1
2.99%		11/25/35	³		3,938,157		3,798,115
First Horizon Mortgage Pass-Through Trust, Series 2007-AR2, Class 1A2
3.02%		08/25/37	³		295,601		237,284
GE Business Loan Trust, Series 2007-1A, Class A
1.08%		04/16/35	^2,3		6,409,995		5,955,896
GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 2A1
3.51%		09/19/35	³		2,859,643		2,588,604
GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 3A1
3.63%		09/19/35	³		4,458,508		4,241,167
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
3.80%		04/19/36	³		4,990,817		4,668,035


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 2A
1.27%		07/25/35	³	$	4,501,589	$	4,359,615
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
1.16%		01/25/47	³		108,109		107,025
GSAA Home Equity Trust, Series 2006-4, Class 4A2
1.21%		03/25/36	³		37,798		37,848
GSAMP Trust, Series 2005-HE5, Class M2
1.41%		11/25/35	³		10,000,000		9,720,107
GSR Mortgage Loan Trust, Series 2005-7F, Class 3A3 (IO)
4.52%		09/25/35	^3,5		48,531		1,991
GSR Mortgage Loan Trust, Series 2005-AR4, Class 5A1
3.20%		07/25/35	³		2,576,919		2,373,334
GSR Mortgage Loan Trust, Series 2006-AR2, Class 2A1
3.38%		04/25/36	³		489,739		450,198
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A
3.04%		05/25/47	³		1,981,124		1,754,921
Home Equity Mortgage Loan Trust, Series 2005-D, Class AII4
1.33%		03/25/36	³		11,010,000		10,676,201
Impac CMB Trust, Series 2005-2, Class 1A1
1.50%		04/25/35	³		7,314,951		6,742,575
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A1
3.22%		09/25/35	³		2,242,391		1,947,833
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1
3.26%		10/25/35	³		4,308,300		3,708,038
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 1A3
1.25%		10/25/36	³		10,385,731		7,093,968
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 3A1
3.28%		05/25/36	³		862,634		738,836
IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A3
3.02%		06/25/36	³		7,537,706		7,146,600
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			69,581		72,810
JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M2
1.27%		07/25/36	³		12,135,000		10,684,385


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class MV1
1.21%		11/25/36	³	$	8,500,000	$	8,189,348
JPMorgan Mortgage Acquisition Trust, Series 2007-CH5, Class A4
1.14%		05/25/37	³		1,625,361		1,599,448
JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1
3.17%		08/25/35	³		87,381		84,029
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
3.23%		05/25/36	³		75,793		63,455
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2
5.88%		06/25/21			533,233		522,176
JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2
5.50%		03/25/22			305,318		313,369
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			12,247		12,470
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class 1A4
1.23%		06/25/37	^2,3		4,846,420		4,432,512
Lehman XS Trust, Series 2005-4, Class 1A3
1.78%		10/25/35	³		188,854		184,420
Lehman XS Trust, Series 2005-5N, Class 3A1A
1.28%		11/25/35	³		8,201,703		7,682,361
Lehman XS Trust, Series 2006-1, Class 1A1
1.23%		02/25/36	³		2,131,234		2,096,526
Luminent Mortgage Trust, Series 2007-2, Class 1A3
1.20%		05/25/37	³		290,248		286,055
MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1
2.54%		11/25/33	³		537,018		566,331
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 8A1
4.63%		10/25/34	³		734,667		741,474
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
2.93%		04/25/34	³		158,101		152,713
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 4A1
3.07%		02/25/36	³		156,785		145,483
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4
1.26%		05/25/37	³		3,150,000		2,249,861


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D (IO)
1.31%		04/25/37	^3,5	$	883,581	$	109,599
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C
1.14%		10/25/36	³		1,261,697		902,251
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D
1.19%		12/25/37	³		1,959,894		1,325,574
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4
1.23%		07/25/37	³		1,506,376		957,100
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D
1.20%		01/25/38	³		6,672,446		4,622,652
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
1.08%		03/25/37	³		933,437		561,144
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A
3.27%		10/25/33	³		333,399		337,577
Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-2, Class 1A1
3.21%		08/25/36	³		3,294,265		3,046,024
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			85,652		97,809
Morgan Stanley Capital I Trust, Series 2006-NC2, Class A2D
1.27%		02/25/36	³		4,296,834		3,946,486
Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4
1.26%		02/25/36	³		5,138,344		4,978,916
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
2.90%		09/25/34	³		940,833		944,410
Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1
1.26%		11/25/35	³		137,387		135,230
Morgan Stanley Mortgage Loan Trust, Series 2006-2, Class 1A
5.25%		02/25/21			299,583		293,806
Morgan Stanley Resecuritization Trust, Series 2013-R3, Class 12A
3.35%		01/26/47	^2,3		284,136		284,572
Morgan Stanley Resecuritization Trust, Series 2014-R9, Class 3A
1.45%		11/26/46	^2,3		5,125,155		4,975,630
MortgageIT Trust, Series 2005-2, Class 2A
2.43%		05/25/35	³		3,368,498		3,299,686
MortgageIT Trust, Series 2005-4, Class A1
1.26%		10/25/35	³		5,868,281		5,567,141


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MortgageIT Trust, Series 2005-5, Class A1
1.24%		12/25/35	³	$	936,898	$	862,942
New Century Home Equity Loan Trust, Series 2005-2, Class M1
1.63%		06/25/35	³		309,615		310,511
New Century Home Equity Loan Trust, Series 2005-D, Class A2D
1.31%		02/25/36	³		5,257,246		5,229,857
New York Mortgage Trust, Series 2005-3, Class A1
1.46%		02/25/36	³		1,578,023		1,486,213
Nomura Asset Acceptance Corp., Series 2005-AR4, Class 4A1
3.91%		08/25/35	³		7,028,156		6,965,817
Nomura Resecuritization Trust, Series 2016-2R, Class 1A1
0.87%		09/26/36	²		11,207,122		11,062,255
Nomura Resecuritization Trust, Series 2011-2RA, Class 1A2
3.21%		12/26/46	^2,3		11,746,795		11,908,096
Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5
8.16%		09/15/29	³		11,779,246		7,870,408
Opteum Mortgage Acceptance Corp., Series 2005-3, Class M2
1.46%		07/25/35	³		11,301,000		10,317,821
Ownit Mortgage Loan Asset-Backed Certificates, Series 2006-2, Class A1
1.19%		01/25/37	³		17,159,514		16,071,711
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
1.29%		06/25/47	³		5,152,000		3,781,805
Residential Accredit Loans Trust, Series 2005-QA13, Class 2A1
4.18%		12/25/35	³		3,927,036		3,447,278
Residential Accredit Loans Trust, Series 2005-QA4, Class A41
3.66%		04/25/35	³		351,745		338,135
Residential Accredit Loans Trust, Series 2005-QA7, Class A21
3.54%		07/25/35	³		2,165,756		2,007,579
Residential Accredit Loans Trust, Series 2005-QA8, Class CB21
3.82%		07/25/35	³		1,625,991		1,332,361
Residential Accredit Loans Trust, Series 2005-SP1, Class 4A1
7.00%		09/25/34			172,533		178,468
Residential Accredit Loans Trust, Series 2006-QS13, Class 2A1
5.75%		09/25/21			257,139		250,530


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust, Series 2006-QS16, Class A6
6.00%		11/25/36		$	1,037,206	$	875,464
Residential Accredit Loans Trust, Series 2007-QS1, Class 2AV (IO)
0.17%		01/25/37	^3,5		4,336,753		32,220
Residential Asset Securities Trust, Series 2004-KS9, Class AII4
1.58%		10/25/34	³		20,508		16,553
Residential Asset Securities Trust, Series 2005-KS12, Class A3
1.30%		01/25/36	³		188,616		188,458
Residential Asset Securities Trust, Series 2005-KS9, Class M4
1.58%		10/25/35	³		5,465,000		5,438,511
Residential Asset Securities Trust, Series 2006-A9CB, Class A9
6.00%		09/25/36			6,615,649		4,331,992
Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 1A
3.73%		04/25/37	³		371,742		250,267
Saxon Asset Securities Trust, Series 2005-4, Class M1
1.42%		11/25/37	³		8,400,000		8,067,468
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR2, Class A2
1.21%		02/25/37	³		1,742,175		1,159,538
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR4, Class A2B
1.18%		05/25/37	³		3,127,551		2,209,909
Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC1, Class A2B
1.13%		12/25/36	³		8,312,488		4,903,705
Soundview Home Loan Trust, Series 2007-WMC1, Class 3A3
1.24%		02/25/37	³		1,212,263		494,775
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
3.30%		09/25/34	³		1,301,758		1,285,437
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 4A2
3.31%		03/25/34	³		2,106,611		2,125,680
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1
3.20%		06/25/35	³		2,388,276		2,224,581
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-21, Class 2A
3.31%		11/25/35	³		2,486,101		2,250,857
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-7, Class 1A3
3.33%		04/25/35	³		6,508,223		6,003,501


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-11, Class 1A1
1.14%		12/25/36	³	$	269,838	$	234,103
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1
2.56%		05/25/36	³		708,413		433,407
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 1A1
1.19%		05/25/46	³		613,101		471,193
Structured Asset Mortgage Investments, Inc., Series 2007-AR6, Class A1
2.14%		08/25/47	³		16,205,766		14,582,404
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-2XS, Class 2A2
2.28%		02/25/35	³		283,143		272,004
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-4XS, Class 2A1A
2.53%		03/25/35	³		3,171,843		3,026,728
Structured Asset Securities Corp., Series 2002-11A, Class 2A1
3.38%		06/25/32	³		124,705		121,976
Structured Asset Securities Corp., Series 2003-34A, Class 3A3
3.28%		11/25/33	³		145,440		143,303
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-04, Class 3A1
3.43%		10/25/37	³		3,941,492		3,543,436
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 2A1
3.40%		01/25/37	³		1,711,716		1,701,970
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 5A1
3.70%		01/25/37	³		950,387		932,704
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2
1.09%		01/25/37	³		4,623,847		2,786,483
WaMu Mortgage Pass-Through Certificates, Series 2004-AR13, Class A1A
1.70%		11/25/34	³		358,961		344,056
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1
2.87%		01/25/35	³		1,325,043		1,348,612
WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A
1.40%		05/25/44	³		235,792		224,846
WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A
1.62%		01/25/45	³		366,031		346,139
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A
1.30%		08/25/45	³		913,678		881,822


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
2.76%		10/25/35	³	$	3,308,882	$	3,264,316
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
1.27%		10/25/45	³		2,181,533		2,095,542
WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1
3.00%		12/25/35	³		65,166		60,220
WaMu Mortgage Pass-Through Certificates, Series 2005-AR16, Class 1A3
2.88%		12/25/35	³		3,459,295		3,345,729
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21
1.31%		01/25/45	³		1,672,288		1,611,347
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A
1.21%		04/25/45	³		1,880,964		1,787,322
WaMu Mortgage Pass-Through Certificates, Series 2005-AR9, Class A1A
1.62%		07/25/45	³		1,740,256		1,696,585
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
1.64%		02/25/46	³		10,081,843		9,751,980
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A
1.55%		05/25/46	³		4,235,846		3,927,997
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A
1.62%		07/25/46	³		8,389,896		7,456,234
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1
2.74%		03/25/37	³		4,034,577		3,619,509
WaMu Mortgage Pass-Through Certificates, Series 2007-OA2, Class 1A
1.34%		03/25/47	³		8,964,965		7,530,593
WaMu Mortgage Pass-Through Certificates, Series 2007-OA5, Class 1A
1.39%		06/25/47	³		2,908,168		2,582,431
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1
6.25%		11/25/37			66,134		63,773
Wells Fargo Home Equity Trust, Series 2006-1, Class A4
1.23%		07/25/36	³		4,053,664		4,014,527
Wells Fargo Home Equity Trust, Series 2007-1, Class A3
1.30%		03/25/37	³		4,690,000		3,567,832
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR4, Class 1A1
3.32%		04/25/36	³		327,764		306,793


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 7A1
3.08%		10/25/35	³	$	2,049,950	$	2,007,468
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2
3.09%		07/25/36	³		361,474		357,030
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1
3.07%		10/25/36	³		1,740,176		1,666,502
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A1
3.09%		03/25/36	³		3,045,471		3,062,710
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 3A2
3.18%		04/25/36	³		3,149,394		3,082,604


							707,674,288


U.S. Agency Mortgage-Backed — 10.46%
Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
1.11%		04/25/20	³		26,686,550		26,632,623
Fannie Mae Pool 463617
4.91%		10/01/19			3,976,157		4,227,363
Fannie Mae Pool 464814
4.43%		04/01/20			2,882,198		3,061,315
Fannie Mae Pool 467626
3.74%		05/01/18			3,897,910		3,960,057
Fannie Mae Pool 468048
4.41%		05/01/21			1,681,488		1,810,723
Fannie Mae Pool 468861
3.84%		08/01/21			3,944,597		4,179,171
Fannie Mae Pool 469853
3.32%		12/01/21			18,020,363		18,737,489
Fannie Mae Pool 471474
2.61%		05/01/19			3,190,000		3,234,216
Fannie Mae Pool 958777
4.43%		05/01/19			5,128,283		5,387,266
Fannie Mae Pool AD0791
4.73%		02/01/20			5,856,908		6,206,361
Fannie Mae Pool AE0134
4.40%		02/01/20			890,000		942,737
Fannie Mae Pool AE0918
3.67%		10/01/20			309,939		324,210
Fannie Mae Pool AL0151
4.38%		04/01/21			410,472		439,054
Fannie Mae Pool AL0600
4.30%		07/01/21			131,191		139,320
Fannie Mae Pool AL2293
4.38%		06/01/21			11,595,390		12,444,023


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL5584
4.42%		12/01/20			$4,515,579		$4,820,826
Fannie Mae Pool AN0026
3.48%		11/01/35			3,702,700		3,746,986
Fannie Mae Pool AN0564
3.20%		03/01/31			7,500,000		7,528,775
Fannie Mae Pool AN0971
3.11%		02/01/28			7,535,000		7,605,586
Fannie Mae Pool AN0976
3.26%		02/01/28			2,970,000		3,038,375
Fannie Mae Pool AN1151
3.20%		03/01/31			3,757,792		3,750,302
Fannie Mae Pool AN2799
2.21%		09/01/26			12,655,000		11,801,211
Fannie Mae Pool AN3516
1.43%		11/01/26	³		17,245,000		17,352,743
Fannie Mae Pool AN3597
1.42%		11/01/26	³		15,000,000		15,082,608
Fannie Mae Pool FN0000
3.59%		09/01/20			394,592		411,249
Fannie Mae REMICS, Series 2003-64, Class KS
8.38%		07/25/18	³		3,098		3,170
Fannie Mae REMICS, Series 2006-11, Class PS
20.97%		03/25/36	³		30,408		44,499
Fannie Mae REMICS, Series 2006-8, Class HJ (IO)
5.62%		03/25/36	³		1,949,874		363,228
Fannie Mae REMICS, Series 2007-52, Class LS (IO)
5.07%		06/25/37	³		76,290		10,430
Fannie Mae REMICS, Series 2007-77, Class SK (IO)
4.89%		08/25/37	³		143,761		22,127
Fannie Mae REMICS, Series 2007-88, Class JI (IO)
5.47%		04/25/37	³		1,755,489		344,703
Fannie Mae REMICS, Series 2008-18, Class SM (IO)
6.02%		03/25/38	³		97,034		19,886
Fannie Mae REMICS, Series 2008-62, Class SN (IO)
5.22%		07/25/38	³		381,487		65,077
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
5.62%		10/25/40	³		106,983		19,198
Fannie Mae-Aces, Series 2003-M2, Class D
4.68%		01/25/33	³		1,063,285		1,122,078


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae-Aces,Series 2009-M2, Class X
1.12%		01/25/19	³		$53,712,655		$997,713
Fannie Mae-Aces, Series 2010-M5, Class X
0.91%		07/25/20	³		26,500,617		736,577
Fannie Mae-Aces, Series 2011-M5, Class X
1.14%		07/25/21	³		76,219,469		3,088,794
Fannie Mae-Aces, Series 2012-M17, Class X2
0.45%		11/25/22	³		153,175,354		2,960,114
Fannie Mae-Aces, Series 2012-M2, Class X
0.72%		02/25/22	³		84,146,534		2,371,413
Fannie Mae-Aces, Series 2012-M4, Class X1
0.62%		04/25/22	³		93,678,385		2,281,724
Fannie Mae-Aces, Series 2012-M9, Class ASQ2
1.51%		12/25/17			4,367,753		4,375,025
Fannie Mae-Aces, Series 2013-M14, Class FA
1.33%		08/25/18	³		8,724,545		8,738,740
Fannie Mae-Aces, Series 2013-M4, Class ASQ2
1.45%		02/25/18			7,827,708		7,819,188
Fannie Mae-Aces, Series 2014-M9, Class X1
4.46%		04/25/17	³		1,037,706		10
Fannie Mae-Aces, Series 2015-M3, Class FA
0.99%		06/25/18	³		6,203,707		6,202,753
Fannie Mae-Aces, Series 2016-M13, Class FA
1.44%		11/25/23	³		12,557,721		12,581,514
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class AX1
1.28%		08/25/19	³		85,087,728		2,335,607
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2
4.22%		03/25/20			1,525,000		1,619,615
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class X1 (IO)
1.09%		04/25/20	³		51,422,698		1,388,032
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K008, Class X3
5.25%		08/25/20	³		11,970,000		1,906,386


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X2 (IO)
5.20%		09/25/40	³		$10,498,652		$1,711,215
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K702, Class X1 (IO)
1.45%		02/25/18	³		57,739,814		526,581
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K703, Class A2
2.70%		05/25/18			7,371,876		7,454,868
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K719, Class X1
0.46%		06/25/22	³		93,609,232		1,400,862
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class A1
1.98%		10/25/22			5,272,476		5,224,525
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A2
1.33%		07/25/20	³		3,690,027		3,701,521
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KGRP, Class A
1.36%		04/25/20	³		23,145,343		23,176,293
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ04, Class A1
1.38%		10/25/20			13,576,441		13,498,962
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ05, Class A1
1.42%		05/25/21			21,930,370		21,650,198
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO)
3.08%		01/25/19	³		23,507,836		773,586
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A
1.36%		08/25/23	³		5,725,703		5,743,835
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
4.19%		08/25/19			3,055,000		3,215,437
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X
0.65%		09/25/25	³		104,500,000		4,790,703


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%		12/25/19			$4,139,899		$4,220,132
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class AX
1.21%		01/25/20	³		31,741,668		826,496
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class X1
0.71%		12/25/22	³		98,518,943		2,712,847
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS01, Class X1 (IO)
1.37%		01/25/23	³		33,139,211		1,838,401
Freddie Mac REMICS, Series 2711, Class FA
1.91%		11/15/33	³		106,496		108,532
Freddie Mac REMICS, Series 2733, Class FB
1.51%		10/15/33	³		506,080		511,021
Freddie Mac REMICS, Series 3001, Class HS
14.47%		02/15/35	³		2,019		2,064
Freddie Mac REMICS, Series 3262, Class KS (IO)
5.50%		01/15/37	³		64,658		8,876
Freddie Mac REMICS, Series 3327, Class LZ
6.00%		06/15/37			534,895		592,297
Freddie Mac REMICS, Series 3339, Class JS
36.91%		07/15/37	³		24,722		47,727
Freddie Mac REMICS, Series 3404, Class AS (IO)
4.98%		01/15/38	³		109,824		15,363
Freddie Mac REMICS, Series 3439, Class SC (IO)
4.99%		04/15/38	³		73,723		10,426
Freddie Mac REMICS, Series 3828, Class TF
1.31%		04/15/29	³		104,989		105,253
Freddie Mac REMICS, Series 4030, Class HS (IO)
5.70%		04/15/42	³		254,653		44,071
Freddie Mac, Series 3885, Class PO (PO)
0.00%		11/15/33	⁸		39,673		33,701
FREMF Mortgage Trust, Series 2011-K701, Class B
4.29%		07/25/48	^2,3		11,500,000		11,633,953
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39	³		1,198,554		1,209,747


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 20088-80, Class D
5.35%		01/16/41			$1,108,110		$1,119,567
Ginnie Mae, Series 2011-109, Class AB
2.70%		04/16/43			278,230		279,210
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			191,281		43,586
Ginnie Mae, Series 2011-152, Class IO
0.82%		08/16/51	³		23,701,442		656,885
Ginnie Mae, Series 2011-69, Class GI (IO)
5.00%		05/16/40			355,817		31,283
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	³		1,181,937		23,662
Ginnie Mae, Series 2011-77, Class IO
0.53%		04/16/42	³		41,273,209		1,519,329
Ginnie Mae, Series 2011-81, Class IC (IO)
0.62%		07/20/35	³		2,029,860		40,394
Ginnie Mae, Series 2011-86, Class B
3.00%		02/16/41			2,513,190		2,528,843
Ginnie Mae, Series 2012-112, Class IO
0.31%		02/16/53	³		73,845,184		1,953,855
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%		01/20/38			123,096		5,933
Ginnie Mae, Series 2013-135, Class CS (IO)
5.27%		09/16/43	³		4,677,934		651,953
Ginnie Mae, Series 2014-125, Class IO
0.98%		11/16/54	³		43,108,683		3,032,407
Ginnie Mae, Series 2016-22, Class IX
1.23%		06/16/38	³		29,476,605		3,066,885
Ginnie Mae, Series 2017-44, Class IO
0.70%		04/17/51	³		27,159,025		1,813,229


							361,838,704

Total Mortgage-Backed
(Cost $1,423,520,682)							1,423,413,413

MUNICIPAL BONDS — 0.85%*
California — 0.40%
California Health Facilities Financing Authority, Saint Joseph Health, Series A
3.00%		10/01/41			875,000		744,074
3.00%		10/01/47			3,600,000		2,957,976
4.00%		10/01/47			2,330,000		2,340,974
State of California, Build America Bonds
7.95%		03/01/36			6,650,000		7,677,359


							13,720,383


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Massachusetts — 0.19%
Commonwealth of Massachusetts, Build America Bonds, Public Improvements
4.91%		05/01/29			$4,490,000		$5,196,681
Commonwealth of Massachusetts, Public Improvements, Series E
3.00%		04/01/44			1,325,000		1,166,358


							6,363,039

New York — 0.15%
City of New York, Build America Bonds, Series F1
6.65%		12/01/31			3,000,000		3,437,490
New York City Municipal Water Finance Authority, Build America Bonds, Series SE
6.49%		06/15/42			1,650,000		1,855,409


							5,292,899

Wisconsin — 0.11%
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group
4.00%		11/15/39			2,130,000		2,154,282
4.00%		11/15/46			1,675,000		1,685,134


							3,839,416

Total Municipal Bonds
(Cost $28,399,032)							29,215,737


U.S. AGENCY SECURITIES — 0.09%
U.S. Agency Securities — 0.09%
Federal Farm Credit Bank
1.02%		05/03/18	³		3,250,000		3,256,978


Total U.S. Agency Securities
(Cost $3,249,910)							3,256,978

U.S. TREASURY SECURITIES — 3.55%
U.S. Treasury Notes — 3.55%
U.S. Treasury Notes
0.63%		08/31/17			64,500,000		64,440,840
0.75%		10/31/17			21,730,000		21,708,355
1.00%		12/31/17			16,550,000		16,548,025
1.06%		01/31/18	³		20,000,000		20,046,547

Total U.S. Treasury Securities
(Cost $122,790,332)							122,743,767


Total Bonds – 94.91%
(Cost $3,277,952,019)							3,281,510,098

Issues

Maturity
Date

Principal
Amount/

Shares

Value

SHORT-TERM INVESTMENTS — 5.14%

Commercial Paper — 0.11%

Kraft Heinz Foods Co.

1.60%⁹

06/30/17

3,750,000

3,751,350

Foreign Government Obligations — 3.26%

Japan Treasury Discount Bill, Series 657 (Japan)

0.00%⁹

04/17/17

⁴

3,200,000,000

28,719,447

Japan Treasury Discount Bill, Series 660 (Japan)

0.00%⁹

05/01/17

⁴

4,000,000,000

35,903,114

Japan Treasury Discount Bill, Series 665 (Japan)

0.00%⁹

05/22/17

⁴

5,370,000,000

48,203,593

112,826,154

Money Market Funds — 1.69%

Dreyfus Government Cash Management Fund

0.66%¹⁰

56,329,000

Fidelity Investments Money Market Funds - Government Portfolio

0.56%^10,11

2,240,000

58,569,000

U.S. Treasury Bills — 0.08%

U.S. Treasury Bills

0.42%⁹

04/06/17

¹²

2,623,000

2,622,879

Total Short-Term Investments

(Cost $174,845,634)

177,769,383

Total Investments – 100.05%

(Cost $3,452,797,653)¹

3,459,279,481

Liabilities in Excess of Other

Assets – (0.05)%

(1,845,340

)

Net Assets – 100.00%

3,457,434,141


		Currency Purchased		Currency Sold		Unrealized (Depreciation)
	FOREIGN CURRENCY EXCHANGE CONTRACT
	Forward currency contract to sell Japanese Yen on 04/17/17 at 111.35 Counterparty: JPMorgan Securities LLC
	USD	$28,139,537	JPY		3,200,000,000	$	(597,919	)
	Forward currency contract to sell Japanese Yen on 05/01/17 at 111.29 Counterparty: Citigroup Global Markets, Inc.
	USD	$34,997,616	JPY		4,000,000,000		(944,439	)
	Forward currency contract to sell Japanese Yen on 05/22/17 at 111.21 Counterparty: Bank of America
	USD	$47,058,823	JPY		5,370,000,000		(1,227,627	)

	Net unrealized (depreciation)					$	(2,769,985	)


Contracts						Unrealized Appreciation
	FUTURES CONTRACTS: LONG POSITIONS
	1,261	U.S. Treasury Five Year Note, Expiration June 2017				$	265,794

		Net unrealized appreciation				$	265,794


Contracts						Unrealized Appreciation/ (Depreciation)
	FUTURES CONTRACTS: SHORT POSITIONS
	605	U.S. Treasury Ten Year Note, Expiration June 2017				$	(223,363	)
	385	U.S. Treasury Ultra Bond, Expiration June 2017					164,784

		Net unrealized (depreciation)				$	(58,579	)

Notes:

¹	Cost for federal income tax purposes is $3,453,007,752 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	41,708,321

Gross unrealized (depreciation)		(35,436,592	)

Net unrealized appreciation	$	6,271,729

²	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

³	Floating rate security. The rate disclosed was in effect at March 31, 2017.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $57,333,654, which is 1.66% of total net assets.

⁶	Non-income producing security.

⁷	Security is currently in default with regard to scheduled interest or principal payments.

⁸	Zero coupon bond. The rate shown is the effective yield as of March 31, 2017.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of March 31, 2017.

¹¹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $2,240,000.

¹²	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,062,897.

^†	Fair valued security. The aggregate value of fair valued securities is $4,572,087, which is 0.13% of total net assets, which have not been valued utilizing an independent quote

The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of nine separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West AlphaTrak 500 Fund (the “AlphaTrak 500 Fund”), Metropolitan West Floating Rate Income Fund (the “Floating Rate Income Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”) and Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”). The AlphaTrak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. The Floating Rate Income Fund commenced investment operation on June 28, 2013 with Class M and Class I shares. The High Yield Bond Fund commenced investment operations on September 30, 2002 with Class M shares. Class I was added on March 31, 2003. The Intermediate Bond Fund commenced investment operations on June 28, 2002 with the Class I shares. Class M was added on June 30, 2004. The Low Duration Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000, and the Administrative Class was added on September 22, 2009. The Strategic Income Fund commenced investment operations on June 30, 2003 with Class M shares. Class I was added on March 31, 2004. The Total Return Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000; Administrative Class was added on December 18, 2009; and the Plan Class added on July 31, 2011. The Ultra Short Bond Fund commenced investment operations on June 30, 2003 with the Class M shares. Class I was added on July 31, 2004. The Unconstrained Bond Fund commenced investment operations on September 30, 2011 with Class M and Class I shares. Each Fund is an investment company following the accounting and reporting guidance in Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification ( the “ASC”) No. 946, Financial Services – Investment Companies.

The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is up to five years.

The Floating Rate Income Fund seeks primarily to maximize current income with a secondary objective of long term capital appreciation.

The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a diversified portfolio of high-yield, fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.

The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses techniques intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund will focus on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund will focus on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include shifts in the portfolio’s duration, yield curve anomalies, and sector- and issue-specific dislocations.

The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity will normally exceed one year.

The Unconstrained Bond Fund seeks to provide investors with positive long-term returns irrespective of general securities market conditions. The Fund intends to pursue its objective by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates.

The accompanying consolidated financial statements include the account of Metropolitan West HY Sub I, LLC (the “U.S. Subsidiary”), which is wholly owned taxable subsidiary of the High Yield Bond Fund. The U.S. Subsidiary enables the High Yield Bond Fund to hold investments in operating companies and satisfy regulated investment company tax requirements. Income earned and gains realized on the investments held by the U.S. Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations for the High Yield Bond Fund. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statements of Operations for the High Yield Bond Fund. The High Yield Bond Fund may invest up to 25% of its total assets in the U.S. Subsidiary. Intercompany accounts and transactions have been eliminated. The U.S. Subsidiary is subject to the same investment policies and restrictions that apply to the High Yield Bond Fund.

A more complete description of the objectives and strategies of each of the Funds can be found in the Prospectuses and the Statement of Additional Information, which can be obtained at www.mwamllc.com or by calling (800) 241-4671.

The following is a summary of significant accounting policies consistently followed by the Trust:

The Net Asset Value (“NAV”) of each Fund’s shares is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the Class/Fund on each business day as of 4 p.m. ET.

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board”). Securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (i.e., U.S.Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Equity options are valued at the average of the bid and asked prices. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported NAV of such investments.

Fair value methods used by the Board include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by the Adviser. When the Funds use these fair valuation methods applied by the Adviser that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their

direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Funds could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Funds may differ from the value that would be realized if the securities were sold.

The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.

The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.

Securities transactions are accounted for no later than the first NAV calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on the trade date. Cost is determined and gains and losses are based on the first-in, first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the effective interest method.

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The AlphaTrak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.

Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.

As of and during the year ended March 31, 2017, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties.

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts.

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and 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.

Various inputs are used in determining the fair value of investments, which are as follows:

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Money market funds. Money market funds are open-ended mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.

Short-term investments. Short-term investments (commercial paper and repurchase agreements) are valued using market price quotations, and are reflected as Level 2 of the fair value hierarchy.

Equity securities. Securities such as common stocks and warrants are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.

Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Bank Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.

Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

U.S. and Foreign government and agency securities. U.S. and Foreign government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Some government securities are actively traded and transparent in the market place. As such, they can be level 1. Other government and agencies securities are quoted based in similar securities and yields and therefore, would be in level 2.

Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.

Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as indices and exchange rates. Foreign currency contracts are categorized as Level 2 of the fair value hierarchy.

Futures contracts. Futures contracts and options on futures contracts are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Options and Swaptions contracts. Exchange listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied or mean variation to exchange listed options contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options and swaptions contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC options and swaptions contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Interest rate swaps. Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Credit default swaps. Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Total return swaps. Total return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

As of March 31, 2017, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and warrants.

The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value March 31, 2017 is as follows:


ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 585,000		$ —		$ —		$ 585,000
U.S. Treasury Bills		5,094,421		—		—		5,094,421
Long-Term Investments:
Asset-Backed Securities		—		1,775,995		—		1,775,995
Bank Loans		—		—		74,930		74,930
Corporates		—		4,286,513		—		4,286,513
Mortgage-Backed		—		4,485,991		66,570		4,552,561
Mutual Funds		971,249		—		—		971,249
U.S. Treasury Securities		3,767,797		—		—		3,767,797

Other Financial Instruments *
Liabilities:
Equity contracts		(106,482)		—		—		(106,482)

Total		$10,311,985		$10,548,499		$141,500		$21,001,984

*Other financial instruments include futures. Equity contracts include futures.
FLOATING RATE INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 4,930,000		$ —		$ —		$ 4,930,000
U.S. Agency Discount Notes		—		2,999,433		—		2,999,433
U.S. Treasury Bills		20,291,111		—		—		20,291,111
Long-Term Investments:
Bank Loans		—		174,770,728		14,643,546		189,414,274
Corporates		—		17,548,957		—		17,548,957
Municipal Bonds		—		461,796		—		461,796

Other Financial Instruments *
Liabilities:
Foreign currency exchange contracts		—		(249,599)		—		(249,599)

Total		$25,221,111		$195,531,315		$14,643,546		$235,395,972

*Other financial instruments include foreign currency exchange contracts.


HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$16,833,000		$ —		$ —		$ 16,833,000
U.S. Agency Discount Notes		—		6,998,677		—		6,998,677
U.S. Treasury Bills		38,987,707		—		—		38,987,707
Long-Term Investments:
Bank Loans		—		35,658,503		13,314,153		48,972,656
Common Stock		549,617		—		767,223		1,316,840
Corporates		—		694,847,109		13,153,506		708,000,615
Mortgage-Backed		—		7,438,681		—		7,438,681
U.S. Treasury Securities		19,958,543		—		—		19,958,543
Warrant		—		—		346,020		346,020

Other Financial Instruments *
Assets:
Foreign currency exchange contracts		—		302,809		—		302,809
Liabilities:
Credit contracts		—		(217,018)		—		(217,018)
Foreign currency exchange contracts		—		(188,976)		—		(188,976)

Total		$ 76,328,867		$ 744,839,785		$ 27,580,902		$ 848,749,554

*Other financial instruments include swap contracts and foreign currency exchange contracts. Credit contracts include credit default swaps.


INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper		$ —		$ 1,680,605		$ —		$ 1,680,605
Foreign Government Obligations		—		56,911,936		—		56,911,936
Money Market Funds		16,868,000		—		—		16,868,000
U.S. Treasury Bills		20,867,300		—		—		20,867,300
Long-Term Investments:
Asset-Backed Securities		—		72,819,590		—		72,819,590
Bank Loans		—		3,716,672		3,197,008		6,913,680
Corporates		—		418,922,005		176,099		419,098,104
Mortgage-Backed		—		196,847,384		538,763		197,386,147
Municipal Bonds		—		19,377,678		—		19,377,678
U.S. Treasury Securities		354,653,353		11,606,044		—		366,259,397

Other Financial Instruments *
Assets:
Interest rate contracts		339,162		—		—		339,162
Liabilities:
Foreign currency exchange contracts		—		(1,128,703)		—		(1,128,703)

Total		$ 392,727,815		$ 780,753,211		$ 3,911,870		$ 1,177,392,896

*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.


LOW DURATION BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper		$ —		$ 5,275,899		$ —		$ 5,275,899
Foreign Government Obligations		—		152,685,340		—		152,685,340
Money Market Funds		9,771,048		—		—		9,771,048
U.S. Treasury Bills		1,839,915		—		—		1,839,915
Long-Term Investments:
Asset-Backed Securities		—		236,176,187		—		236,176,187
Bank Loans		—		5,877,643		17,006,597		22,884,240
Corporates		—		830,188,169		2,370,677		832,558,846
Mortgage-Backed		—		932,470,278		4,397,060		936,867,338
Municipal Bonds		—		10,653,412		—		10,653,412
Purchased Swaptions		—		95,808		—		95,808
U.S. Treasury Securities		905,979,915		—		—		905,979,915

Other Financial Instruments *
Assets:
Interest rate contracts		502,418		—		—		502,418
Liabilities:
Foreign currency exchange contracts		—		(3,444,478)		—		(3,444,478)
Interest rate contracts		—		(51,369)		—		(51,369)

Total		$ 918,093,296		$ 2,169,926,889		$ 23,774,334		$ 3,111,794,519

*Other financial instruments include foreign currency exchange contracts, futures and written swaptions. Interest rate contracts include futures and written swaptions.


STRATEGIC INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Foreign Government Obligations		$ —		$ 6,284,358		$ —		$ 6,284,358
Money Market Funds		2,633,000		—		—		2,633,000
U.S. Agency Discount Notes		—		799,939		—		799,939
U.S. Treasury Bills		3,988,340		—		—		3,988,340
Long-Term Investments:
Asset-Backed Securities		—		13,243,272		266,936		13,510,208
Bank Loans		—		216,454		—		216,454
Corporates		—		31,429,911		—		31,429,911
Mortgage-Backed		—		53,819,938		1,362,818		55,182,756
Municipal Bonds		—		770,506		—		770,506

Other Financial Instruments *
Assets:
Interest rate contracts		777		—		—		777
Liabilities:
Foreign currency exchange contracts		—		(108,633)		—		(108,633)
Interest rate contracts		(8,110)		—		—		(8,110)

Total		$6,614,007		$106,455,745		$1,629,754		$114,699,506

*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.


TOTAL RETURN BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper		$ —		$ 116,689,211		$ —		$ 116,689,211
Foreign Government Obligations		—		3,751,026,293		—		3,751,026,293
Money Market Funds		497,383,020		—		—		497,383,020
U.S. Agency Discount Notes		—		749,303,329		—		749,303,329
U.S. Treasury Bills		1,276,825,499		—		—		1,276,825,499
Long-Term Investments:
Asset-Backed Securities		—		4,780,367,730		16,341,472		4,796,709,202
Bank Loans		—		118,197,686		55,094,852		173,292,538
Common Stock		460,312		—		—		460,312
Corporates		—		21,287,097,384		38,276,920		21,325,374,304
Mortgage-Backed		—		30,117,406,589		20,753,697		30,138,160,286
Municipal Bonds		—		700,867,207		—		700,867,207
Put Options Purchased		4,937,500		—		—		4,937,500
U.S. Treasury Securities		18,313,710,728		1,364,657,863		—		19,678,368,591

Other Financial Instruments *
Assets:
Foreign currency exchange contracts		—		9,056,661		—		9,056,661
Interest rate contracts		17,318,347		—		—		17,318,347
Liabilities:
Foreign currency exchange contracts		—		(63,941,980)		—		(63,941,980)
Interest rate contracts		(1,250,000)		—		—		(1,250,000)

Total		$20,109,385,406		$62,930,727,973		$130,466,941		$83,170,580,320

*Other financial instruments include foreign currency exchange contracts, futures and written options. Interest rate contracts include futures and written options.


ULTRA SHORT BOND FUND	LEVEL 1	LEVEL 2	LEVEL 3	TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper	$ —	$ 480,173	$ —	$ 480,173
Foreign Government Obligations	—	6,553,436	—	6,553,436
Money Market Funds	131,000	—	—	131,000
U.S. Agency Discount Notes	—	1,499,886	—	1,499,886
U.S. Treasury Bills	4,198,014	—	—	4,198,014
Long-Term Investments:
Asset-Backed Securities	—	4,754,404	—	4,754,404
Corporates	—	35,830,478	—	35,830,478
Mortgage-Backed	—	58,420,814	40,509	58,461,323
U.S. Treasury Securities	25,594,194	—	—	25,594,194

Other Financial Instruments *
Assets:
Foreign currency exchange contracts	—	29,218	—	29,218
Liabilities:
Foreign currency exchange contracts	—	(76,824)	—	(76,824)

Total	$29,923,208	$107,491,585	$40,509	$137,455,302


UNCONSTRAINED BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL

Investments in Securities

Assets

Short-Term Investments:

Commercial Paper		$ —		$ 3,751,350		$ —		$ 3,751,350

Foreign Government Obligations		—		112,826,154		—		112,826,154

Money Market Funds		58,569,000		—		—		58,569,000

U.S. Treasury Bills		2,622,879		—		—		2,622,879

Long-Term Investments:

Asset-Backed Securities		—		553,181,535		—		553,181,535

Bank Loans		—		7,423,206		11,393,267		18,816,473

Corporates		—		1,082,014,364		2,473,774		1,084,488,138

Foreign Government Obligations		—		46,394,057		—		46,394,057

Mortgage-Backed		—		1,379,946,800		43,466,613		1,423,413,413

Municipal Bonds		—		29,215,737		—		29,215,737

U.S. Agency Securities		—		3,256,978		—		3,256,978

U.S. Treasury Securities		122,743,767		—		—		122,743,767

Other Financial Instruments *

Assets:

Interest rate contracts		430,578		—		—		430,578

Liabilities:

Foreign currency exchange contracts		—		(2,769,985)		—		(2,769,985)

Interest rate contracts		(223,363)		—		—		(223,363)

Total		$ 184,142,861		$ 3,215,240,196		$ 57,333,654		$ 3,456,716,711

*Other financial instruments include futures and foreign currency exchange contracts. Interest rate contracts include futures.

Certain of the Funds’ investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

There were no financial assets and/or liabilities transferred from level 1 to level 2 or from level 2 to level 1 for the year ended March 31, 2017.

For the year ended March 31, 2017, a reconciliation of level 3 investments is presented when the Fund had a significant amount of level 3 investments at the beginning and/or end of the period in relation to net assets. The following tables are a reconciliation of level 3 investments for which significant unobservable inputs were used in determining fair value:


ALPHATRAK 500 FUND	BANK LOANS				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016		$	—			$	70,638
Accrued discounts/premiums			—				(6,528	)
Realized (loss)			—				—
Change in unrealized appreciation/ (depreciation)^*			(258	)			(9,845	)
Purchases			75,188				12,305
Sales			—				—
Transfers into Level 3^**			—				—
Transfers out of Level 3^**			—				—


Balance as of March 31, 2017		$	74,930			$	66,570

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2017 was $(6,030) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the year ended March 31, 2017.


FLOATING RATE INCOME FUND	BANK LOANS

Balance as of
April 1, 2016		$	5,559,446
Accrued discounts/premiums			10,665
Realized loss			(312,855	)
Change in unrealized appreciation/ (depreciation)^*			1,301,516
Purchases			5,846,883
Sales			(1,840,513	)
Transfers into Level 3^**			4,078,404
Transfers out of Level 3^**			—


Balance as of March 31, 2017		$	14,643,546

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2017 was $1,022,022 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2017, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $4,078,404 transferred from level 2 to level 3 in the disclosure hierarchy.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2017 was $(2,833,213) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2017, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $4,068,569 transferred from level 2 to level 3 in the disclosure hierarchy.

*** As of March 31, 2016, Boston Generating LLC, Term Loan, 1st Lien had a $0 market value.

**** As of March 31, 2016, Momentive Performance Materials, Inc. had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2017 was $(220,957) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the year ended March 31, 2017.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2017 was $(2,464,430) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2017, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $1,980,659 transferred from level 2 to level 3 in the disclosure hierarchy.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2017 was $(240,182) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the year ended March 31, 2017.

*** As of March 31, 2016, Boston Generating LLC, Term Loan, 1st Lien had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2017 was $(30,565,187) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the year ended March 31, 2017.

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2017 was $(4,315) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** There were no transfers between level 2 and 3 for the year ended March 31, 2017.


UNCONSTRAINED BOND FUND	BANK LOANS		CORPORATES			MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016	$	4,430,000	$	4,035,580		$	19,434,734
Accrued discounts/premiums		1,030		57,112			(743,231	)
Realized gain/(loss)		—		125,755			(388,376	)
Change in unrealized appreciation/ (depreciation)^*		917		(1,341,963	)		(5,491,954	)
Purchases		3,396,133		2,317,000			31,314,947
Sales		—		(2,719,710	)		(659,507	)
Transfers into Level 3^**		3,565,187		—			—
Transfers out of Level 3^**		—		—			—


Balance as of March 31, 2017	$	11,393,267	$	2,473,774		$	43,466,613

* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2017 was $(4,841,114) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2017, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $3,565,187 transferred from level 2 to level 3 in the disclosure hierarchy.

Significant unobservable valuations inputs for Level 3 investments as of March 31, 2017, are as follows:

ALPHATRAK 500 FUND

FAIR VALUE
AT 3/31/17

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Bank Loans

$74,930

Third-party Vendor

Vendor Prices

$99.91

Mortgage-Backed Securities -

Commercial Mortgage-Backed

$8,271

Third-party Vendor

Vendor Prices

0.49

Mortgage-Backed Securities-Non Agency

$58,299

Third-party Vendor

Vendor Prices

1.39

FLOATING RATE INCOME FUND

FAIR VALUE
AT 3/31/17

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Bank Loans

$14,643,546

Third-party Vendor

Vendor Prices

$66.13 - $102.00

$96.06

HIGH YIELD BOND FUND

FAIR VALUE
AT 3/31/17

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Bank Loans

$13,314,153

Third-party Vendor

Vendor Prices

$71.33 - $101.50

$91.65

Common Stock

$767,223

Broker Quote

Offered Quote

22.50 - 35.50

24.62

Corporate Securities

$13,153,506

Third-party Vendor

Vendor Prices

0.00 - 108.50

48.06

Warrant

$346,020

Third-party Vendor

Vendor Prices

4.50 - 24.75

20.81

INTERMEDIATE BOND FUND

FAIR VALUE
AT 3/31/17

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Bank Loans

$3,197,008

Third-party Vendor

Vendor Prices

$99.91

Corporate Securities

$176,099

Third-party Vendor

Vendor Prices

38.50

Mortgage-Backed Securities-Commercial Mortgage-Backed

$538,534

Third-party Vendor

Vendor Prices

6.31

Mortgage-Backed Securities-Non- Agency

$229

Third-party Vendor

Vendor Prices

6.26

LOW DURATION BOND FUND

FAIR VALUE
AT 3/31/17

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Bank Loans

$17,006,597

Third-party Vendor

Vendor Prices

$81.05 - $99.91

$97.71

Corporate Securities

$2,370,677

Third-party Vendor

Vendor Prices

39.00

Mortgage-Backed Securities- Commercial Mortgage-Backed

$1,489,563

Third-party Vendor

Vendor Prices

6.31

Mortgage-Backed Securities-Non- Agency

$2,907,497

Third-party Vendor

Vendor Prices

1.90

STRATEGIC INCOME FUND

FAIR VALUE
AT 3/31/17

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Asset-Backed Securities

$266,936

Benchmark Pricing

Offered Quote

$15.75 - $57.00

$45.54

Mortgage-Backed Securities- Commercial Mortgage Backed

$1,152,397

Third-party Vendor

Vendor Prices

1.03 - 6.43

5.13

Mortgage-Backed Securities-Non- Agency

$210,421

Third-party Vendor

Vendor Prices

6.26 - 12.40

12.40

TOTAL RETURN BOND FUND

FAIR VALUE
AT 3/31/17

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Asset-Backed Securities

$16,341,472

Benchmark Pricing

Offered Quote

$56.00 - $57.00

$56.45

Bank Loans

$55,094,852

Third-party Vendor

Vendor Prices

93.00 - 99.91

97.63

Corporate Securities

$38,276,920

Third-party Vendor

Vendor Prices

38.50 - 109.81

61.42

Mortgage-Backed Securities- Commercial Mortgage-Backed

$59,870

Third-party Vendor

Vendor Prices

0.99

Mortgage-Backed Securities-Non- Agency

$20,693,827

Third-party Vendor

Vendor Prices

1.23 - 3.15

2.11

ULTRA SHORT BOND FUND

FAIR VALUE
AT 3/31/17

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Mortgage-Backed Securities-Non- Agency

$40,509

Third-party Vendor

Vendor Prices

$1.39 - $6.26

$1.40

UNCONSTRAINED BOND FUND

FAIR VALUE
AT 3/31/17

VALUATION
TECHNIQUE*

UNOBSERVABLE
INPUT

RANGE

WEIGHTED
AVERAGE

Bank Loans

$11,393,267

Third-party Vendor

Vendor Prices

$81.05 - $99.91

$93.02

Corporate Securities

$2,473,774

Third-party Vendor

Vendor Prices

38.50 - 39.00

38.62

Mortgage-Backed Securities- Commercial Mortgage-Backed

$43,322,803

Third-party Vendor

Vendor Prices

2.43 - 8.29

5.70

Mortgage-Backed Securities-Non- Agency

$143,810

Third-party Vendor

Vendor Prices

0.74 - 12.40

9.68

Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Adviser with consent by the Adviser’s Pricing Working Group in accordance with procedures approved by the Board of Trustees, and under the general oversight of the Board of Trustees. The Adviser’s Pricing Working Group employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Adviser’s Pricing Working Group reports to the Board of Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Trust’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Adviser, as part of the daily process, conducts back-testing of prices based on daily trade activities.

The Adviser’s Pricing Working Group consists of the Adviser’s General Counsel, Chief Compliance Officer, internal regulatory legal counsel, members of the Adviser’s Mutual Fund Administration Department, and a representative from the portfolio management team. The Adviser’s Pricing Working Group reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.

The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of March 31, 2017:


	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
DERIVATIVE TYPE	ASSET DERIVATIVES	LIABILITY DERIVATIVES

Interest rate contracts	Unrealized appreciation on swap contracts	Unrealized depreciation on swap contracts

	Premiums paid for swap contracts	Premiums received on swap contracts

	Receivable for daily variation margin	Payable for daily variation margin

	Investments, at value	Options written

Credit contracts	Unrealized appreciation on swap contracts	Unrealized depreciation on swap contracts

	Premiums paid for swap contracts	Premiums received for swap contracts

Equity contracts	Unrealized appreciation on swap contracts	Unrealized depreciation on swap contracts

	Premiums paid for swap contracts	Premiums received for swap contracts

	Receivable for daily variation margin	Payable for daily variation margin

	—	Options written

Foreign currency exchange contracts	Unrealized appreciation on foreign currency exchange contracts	Unrealized depreciation on foreign currency exchange contracts

	—	Options written

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2017:


				ASSET DERIVATIVE INVESTMENTS

	ALPHATRAK 500 FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
Interest contracts:
Futures¹		$	—		$	—		$	—		$	339,162
Foreign currency exchange contracts:
Forwards			—			—			302,809			—

Total		$	—		$	—		$	302,809		$	339,162


				ASSET DERIVATIVE INVESTMENTS

	LOW DURATION BOND FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
Interest contracts:
Futures¹		$	502,418		$	777		$	17,318,347		$	—		$	430,578
Options purchased			—			—			4,937,500			—			—
Swaptions purchased			95,808			—			—			—			—
Foreign currency exchange contracts:
Forwards			—			—			9,056,661			29,218			—

Total		$	598,226		$	777		$	31,312,508		$	29,218		$	430,578

¹Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.



			LIABILITY DERIVATIVE INVESTMENTS

	ALPHATRAK 500 FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND		INTERMEDIATE BOND FUND
Credit contracts:
Swaps		$ —		$ —		$(217,018)		$ —

Equity contracts:
Futures¹		(106,482)		—		—		—

Foreign currency exchange contracts:
Forwards		—		(249,599)		(188,976)		(1,128,703)

Total		$(106,482)		$(249,599)		$(405,994)		$(1,128,703)



			LIABILITY DERIVATIVE INVESTMENTS

	LOW DURATION BOND FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND		ULTRA SHORT BOND FUND		UNCONSTRAINED BOND FUND
Interest contracts:
Futures¹		$ —		$ (8,110)		$ —		$ —		$(223,363)
Options written		—		—		(1,250,000)		—		—
Swaptions written		(51,369)		—		—		—		—
Foreign currency exchange contracts:
Forwards		(3,444,478)		(108,633)		(63,941,980)		(76,824)		(2,769,985)

Total		$(3,495,847)		$(116,743)		$(65,191,980)		$(76,824)		$(2,993,348)

The following is a summary of the Funds’ realized gain/(loss) and change in unrealized appreciation/(depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2017:


REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	ALPHATRAK 500 FUND	FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND		INTERMEDIATE BOND FUND

Credit contracts:
Swaps	$ —		$ —		$(335,771)		$ —
Equity contracts:
Futures	906,997		—		—		—
Interest contracts:
Futures	—		—		—		(1,693,313)
Foreign currency exchange contracts:
Forwards	—		327,044		(88,364)		672,815

Total	$906,997		$327,044		$(424,135)		$(1,020,498)

¹Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments.


	AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS¹
	ALPHATRAK 500 FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
Financial futures contracts:
Average number of contracts purchased			64			—			—			905
Average value of contracts purchased		$	35,833		$	—		$	—		$	474,887
Credit default swaps:
Average number of contracts - buy protection			—			—			3			—
Average notional value - buy protection		$	—		$	—		$	19,750,000		$	—
Foreign currency exchange contracts:
Average number of contracts sold			—			3			1			4
Average value of contracts sold		$	—		$	127,457		$	28,458		$	2,273,829


	AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS¹
	LOW DURATION BOND FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND

Financial futures contracts:
Average number of contracts purchased			1,860			—			66,110			—			613
Average number of contracts sold			—			23			5,708			—			1,033
Average value of contracts purchased		$	590,546		$	—		$	33,793,106		$	—		$	255,618
Average value of contracts sold		$	—		$	25,348		$	1,358,637		$	—		$	1,994,539
Options written:
Average number of contracts			—			—			2			—			—
Average notional value		$	—		$	—		$	9,187,813		$	—		$	—
Interest rate swaps:
Average number of contracts - pays fixed rate			—			—			3			—			—
Average notional value - pays fixed rate		$	—		$	—		$	146,242,500		$	—		$	—
Swaptions written:
Average number of contracts			1			—			—			—			—
Average notional value		$	540,000		$	—		$	—		$	—		$	—
Foreign currency exchange contracts:
Average number of contracts sold			5			3			6			4			5
Average value of contracts sold		$	6,080,742		$	170,460		$	124,833,350		$	152,539		$	4,260,418

¹Amounts disclosed represent the volume of derivative contracts for the year ended March 31, 2017.

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 netted against any collateral held by such Fund. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund 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.

With exchange traded purchased options 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, the 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) of the clearing broker or clearinghouse. 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.

In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs 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. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

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 a Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of a Fund, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Portfolio Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically $250,000 or $500,000, before a transfer is required, which is determined at the close of business of the Fund and additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Each Fund attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

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

The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards update No. 2011-11, Disclosures about Offsetting Assets and Liabilities, that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. Under this guidance the Funds disclose in the Statements of Assets and Liabilities both gross and net information about instruments and transactions eligible for offset such as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, the Funds disclose collateral received and posted in connection with master netting agreements or similar arrangements.

The following table presents the Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2017, are as follows:


				FLOATING RATE INCOME FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED¹			(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET			NET AMOUNT OF LIABILITIES²

Bank of America, NA

Foreign Currency Exchange Contracts		$	50,310		$	—		$	—		$	50,310


Total Bank of America, NA			50,310			—			—			50,310

Citigroup, Inc.

Forward Currency Exchange Contracts		$	89,048		$	—		$	—		$	89,048


Total Citigroup, Inc.			89,048			—			—			89,048

JPMorgan Chase & Co.

Forward Currency Exchange Contracts		$	110,241		$	—		$	—		$	110,241


Total JPMorgan Chase & Co.			110,241			—			—			110,241


Total		$	249,599		$	—		$	—		$	249,599

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents the Fund’s OTC derivative assets and master repurchase agreements by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2017, are as follows:

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.


				HIGH YIELD BOND FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED³			(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF LIABILITIES⁴

Bank of America, NA
Foreign Currency Exchange Contracts		$	188,976		$	—		$	(188,976	)		$	—


Total Bank of America, NA			188,976			—			(188,976	)			—

Goldman Sachs Group, Inc.
Swap agreements		$	110,460		$	—		$	—			$	110,460


Total Goldman Sachs Group, Inc.			110,460			—			—				110,460

Morgan Stanley Capital Services Inc.
Swap agreements		$	106,558		$	—		$	—			$	106,558


Total Morgan Stanley Capital Services Inc.			106,558			—			—				106,558

Total		$	405,994		$	—		$	(188,976	)		$	217,018

³Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

⁴Represents the net amount receivable from the counterparty in the event of default.


				IINTERMEDIATE BOND FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED³				(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET			NET AMOUNT OF LIABILITIES⁴

Bank of America, NA
Foreign Currency Exchange Contracts		$	465,727		$	(465,727	)		$	—		$	—


Total Bank of America, NA			465,727			(465,727	)			—			—

Citigroup, Inc.
Foreign Currency Exchange Contracts		$	401,387		$	(401,387	)		$	—		$	—


Total Citigroup, Inc.			401,387			(401,387	)			—			—

JPMorgan Chase & Co.
Foreign Currency Exchange Contracts		$	261,589		$	(130,000	)		$	—		$	131,589


Total JPMorgan Chase & Co.			261,589			(130,000	)			—			131,589

Total		$	1,128,703		$	(997,114	)		$	—		$	131,589

³Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

⁴Represents the net amount payable to the counterparty in the event of default.


				LOW DURATION BOND FUND
COUNTERPARTY	GROSS ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED¹			ASSETS/(LIABILITIES) AVAILABLE FOR OFFSET				NET AMOUNT OF ASSETS²


Goldman Sachs Group, Inc.

Swaptions		$	95,808		$	—		$	(51,369	)		$	44,439


Total Goldman Sachs Group, Inc.			95,808			—			(51,369	)			44,439

Total		$	95,808		$	—		$	(51,369	)		$	44,439

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.


				LOW DURATION BOND FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED³				(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF LIABILITIES⁴

Bank of America, NA

Foreign Currency Exchange Contracts		$	1,606,048		$	(1,606,048	)		$	—			$	—


Total Bank of America, NA			1,606,048			(1,606,048	)			—				—

Citigroup, Inc.

Foreign Currency Exchange Contracts		$	1,109,716		$	(1,109,716	)		$	—			$	—


Total Citigroup, Inc.			1,109,716			(1,109,716	)			—				—

Goldman Sachs Group, Inc. Swaptions		$	51,369		$	—			$	(51,369	)		$	—


Total Goldman Sachs Group, Inc.			51,369			—				(51,369	)			—

JPMorgan Chase & Co.

Foreign Currency Exchange Contracts		$	728,714		$	(728,714	)		$	—			$	—


Total JPMorgan Chase & Co.			728,714			(728,714	)			—				—

Total		$	3,495,847		$	(3,444,478	)		$	(51,369	)		$	—

³Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

⁴Represents the net amount payable to the counterparty in the event of default.


				STRATEGIC INCOME FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED³			(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET			NET AMOUNT OF LIABILITIES⁴
Bank of America, NA

Forward Currency Exchange Contracts		$	96,827		$	—		$	—		$	96,827

Total Bank of America, NA			96,827			—			—			96,827

Citigroup, Inc.

Forward Currency Exchange Contracts		$	11,806		$	—		$	—		$	11,806

Total Citigroup, Inc.			11,806			—			—			11,806

Total		$	108,633		$	—		$	—		$	108,633

³Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

⁴Represents the net amount receivable from the counterparty in the event of default.


				TOTAL RETURN BOND FUND
COUNTERPARTY	GROSS ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED¹			ASSETS/(LIABILITIES) AVAILABLE FOR OFFSET				NET AMOUNT OF ASSETS²

Citigroup, Inc.

Foreign Currency Exchange Contracts		$	9,056,661		$	—		$	(9,056,661	)		$	—

Total Citigroup, Inc.			9,056,661			—			(9,056,661	)			—

Total		$	9,056,661		$	—		$	(9,056,661	)		$	—

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.


				TOTAL RETURN BOND FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED³				(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF LIABILITIES⁴

Bank of America, NA

Foreign Currency Exchange Contracts		$	31,207,773		$	(31,207,773	)		$	—			$	—


Total Bank of America, NA			31,207,773			(31,207,773	)			—				—

Citigroup, Inc.

Foreign Currency Exchange Contracts		$	26,061,806		$	(17,005,145	)		$	(9,056,661	)		$	—


Total Citigroup, Inc.			26,061,806			(17,005,145	)			(9,056,661	)			—

JPMorgan Chase & Co.

Foreign Currency Exchange Contracts		$	6,672,401		$	(6,672,401	)		$	—			$	—


Total JPMorgan Chase & Co.			6,672,401			(6,672,401	)			—				—

Total		$	63,941,980		$	(54,885,319	)		$	(9,056,661	)		$	—

³Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

⁴Represents the net amount payable to the counterparty in the event of default.


				ULTRA SHORT BOND FUND
COUNTERPARTY	GROSS ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED¹			ASSETS/(LIABILITIES) AVAILABLE FOR OFFSET			NET AMOUNT OF ASSETS²

Citigroup, Inc.

Forward Currency Exchange Contracts		$	29,218		$	—		$	—		$	29,218


Total Citigroup, Inc.			29,218			—			—			29,218

Total		$	29,218		$	—		$	—		$	29,218

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.


				ULTRA SHORT BOND FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED³			(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET			NET AMOUNT OF LIABILITIES⁴
Bank of America, NA

Foreign Currency Exchange Contracts		$	58,139		$	—		$	—		$	58,139


Total Bank of America, NA			58,139			—			—			58,139

JPMorgan Chase & Co.

Foreign Currency Exchange Contracts		$	18,685		$	—		$	—		$	18,685


Total JPMorgan Chase & Co.			18,685			—			—			18,685


Total		$	76,824		$	—		$	—		$	76,824

³Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

⁴Represents the net amount payable to the counterparty in the event of default.


				UNCONSTRAINED BOND FUND
COUNTERPARTY	GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED¹				(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET			NET AMOUNT OF LIABILITIES²

Bank of America, NA

Foreign Currency Exchange Contracts		$	1,227,627		$	(1,227,627	)		$	—		$	—


Total Bank of America, NA			1,227,627			(1,227,627	)			—			—

Citigroup, Inc.

Foreign Currency Exchange Contracts		$	944,439		$	—			$	—		$	944,439


Total Citigroup, Inc.			944,439			—				—			944,439

JPMorgan Chase & Co.

Foreign Currency Exchange Contracts		$	597,919		$	(597,919	)		$	—		$	—


Total JPMorgan Chase & Co.			597,919			(597,919	)			—			—

Total		$	2,769,985		$	(1,825,546	)		$	—		$	944,439

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.

On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National Mortgage Association (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.

The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities, CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.

The Funds may invest in stripped mortgage-backed securities 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 and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the year ended March 31, 2017, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If a Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.

The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund will not make total short sales exceeding 25% of the value of each respective Fund’s assets. The High Yield Bond Fund, Unconstrained Bond Fund, Floating Rate Income Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of each respective Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At March 31, 2017, the Funds did not hold any short debt or equity.

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Funds might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Funds. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.

For the year ended March 31, 2017, the Funds did not receive any in-kind payments with respect to PIK securities.

The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.

Master Repurchase Agreements (“MRAs”) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. 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 a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2017, the Funds did not hold any repurchase agreements.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings.

Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under MRAs. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a

market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. There were no reverse repurchase agreements for the year ended March 31, 2017.

Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment. Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.

The Funds engaged in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:

Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the Adviser’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, and the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.

Options- The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. The Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. When the Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of March 31, 2017, the Low Duration Bond Fund held written swaptions.

Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Funds to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).

Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.

The Funds entered into credit default swap agreements to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If a Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.

The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation. The collateral posted, net of assets received as collateral, for swap contracts is also disclosed in the Notes to Schedules of Portfolio Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of March 31, 2017, for which a portfolio is the seller of protection are also disclosed. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.

The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).

The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At March 31, 2017, the Low Duration Bond Fund held swaptions.

In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At March 31, 2017, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.

Market Risk: Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.

Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.

Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.

Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If

unanticipated rate of prepayment on underlying mortgages increases the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.

Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.

Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.

Mortgage-backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt- A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.

The mortgage industry lacks a single bright-line as to what separates a subprime loan from an Alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:

Sub Prime - Any asset-backed bond whose collateral was residential mortgages were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.

Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as an Alt-A pool by Bloomberg were considered to be Alt-A bonds.

Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ Statements of Assets and Liabilities.

Investment transactions for the year ended March 31, 2017, excluding U.S. government and short-term investments, were as follows:


PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	14,666,732	$	4,053,543
Floating Rate Income Fund		184,721,083		66,127,748
High Yield Bond Fund		1,487,679,005		1,585,451,539
Intermediate Bond Fund		720,900,274		663,708,696
Low Duration Bond Fund		892,636,844		511,935,776
Strategic Income Fund		57,093,461		44,055,568
Total Return Bond Fund		123,520,237,441		110,714,166,623
Ultra Short Bond Fund		58,163,923		23,572,768
Unconstrained Bond Fund		2,314,858,306		754,213,200

Purchases include the Total Return Bond Fund and Unconstrained Bond Fund’s purchase of certain securities from affiliated investment accounts for a total of $6,277,677 and $16,268,253, respectively, in accordance with the provisions set forth in Section 17(a)-7 of the 1940 Act.

Investment transactions in U.S. government securities for the year ended March 31, 2017 were as follows:


PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	25,470,784	$	21,758,951
Floating Rate Income Fund		—		—
High Yield Bond Fund		58,266,625		37,668,317
Intermediate Bond Fund		2,251,615,815		2,354,508,481
Low Duration Bond Fund		2,367,423,297		2,400,452,657
Strategic Income Fund		1,226,475		1,223,793
Total Return Bond Fund		127,507,734,916		128,251,905,812
Ultra Short Bond Fund		56,994,157		59,093,936
Unconstrained Bond Fund		105,096,759		27,434,304

Transactions in swaption contracts written for the year ended March 31, 2017, were as follows:


	LOW DURATION
	BOND FUND
	CONTRACTS	PREMIUMS
Outstanding at April 1, 2016	30,000	$540,000
Swaptions written during year	—	—
Swaptions closed during year	—	—
Swaptions expired during year	—	—
Swaptions exercised during year	—	—
Outstanding at March 31, 2017	30,000	$540,000

Transactions in option contracts written for the year ended March 31, 2017, were as follows:


	TOTAL RETURN		TOTAL RETURN
	BOND FUND		BOND FUND
	CALL CONTRACTS	CALL PREMIUMS	PUT CONTRACTS	PUT PREMIUMS
Outstanding at April 1, 2016	413	$ 50,423	10,000		$ 223,000
Options written during year	83,500	11,097,998	237,000		44,326,220
Options closed during year	(64,913)	(9,723,148)	(217,000)		(40,130,220)
Options expired during year	(19,000)	(1,425,273)	(10,000)		(223,000)
Options exercised during year	—	—	—		—
Outstanding at March 31, 2017	—	$ —	20,000		$ 4,196,000

As compensation for advisory services, the Adviser charges the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Low Duration Bond Fund, the Total Return Bond Fund, the Ultra Short Bond Fund and the Unconstrained Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, 0.50%, 0.65% and 0.55%, respectively, of each Fund’s average daily net assets. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant 12-month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch Three Month U.S. Treasury Bill Index, plus 2.00% over the same period. Under this agreement, the basic fee was increased by 0.35% resulting in $1,988,101 of total management fees for the year ended March 31, 2017. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three-month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index, plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee was increased by 0.11% resulting in $24,506 total management fees for the year ended March 31, 2017.

The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses, (excluding interest, taxes, brokerage commissions, short sales dividend expense, acquired fund fees and expenses, and any expenses incurred in connection with any merger or reorganization or extraordinary expenses such as litigation) as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap at both the time of the waiver and the recoupment. The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses of the Fund are at or above the expense cap. However, if the total operating expenses of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year.

Investment advisory fees and related contractual expense limitations for the year ended March 31, 2017, were as follows:


	INVESTMENT ADVISORY FEE				CONTRACTUAL EXPENSE
	RATE				LIMITATION¹
PORTFOLIO	CLASS M	CLASS I	ADMINISTRATIVE CLASS	PLAN CLASS	CLASS M	CLASS I	ADMINISTRATIVE CLASS	PLAN CLASS
AlphaTrak 500 Fund	0.00%-0.70%	N/A	N/A	N/A	0.90%	N/A	N/A	N/A
Floating Rate Income Fund	0.55%	0.55%	N/A	N/A	0.90%	0.70%	N/A	N/A
High Yield Bond Fund	0.50%	0.50%	N/A	N/A	0.85%	0.60%	N/A	N/A
Intermediate Bond Fund	0.35%	0.35%	N/A	N/A	0.70%	0.49%	N/A	N/A
Low Duration Bond Fund	0.30%	0.30%	0.30%	N/A	0.63%	0.44%	0.83%	N/A
Strategic Income Fund	0.50%-1.90%	0.50%-1.90%	N/A	N/A	2.35%	2.10%	N/A	N/A
Total Return Bond Fund	0.35%	0.35%	0.35%	0.35%	0.70%	0.49%	0.90%	0.39%
Ultra Short Bond Fund	0.25%	0.25%	N/A	N/A	0.50%	0.34%	N/A	N/A
Unconstrained Bond Fund	0.65%	0.65%	N/A	N/A	1.04%	0.80%	N/A	N/A

¹The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2017, unless approved by the Board.

At March 31, 2017, the balance of recoupable expenses with expiration dates for the Funds were as follows:


PORTFOLIO	2018		2019		2020		TOTAL

AlphaTrak 500 Fund	$	112,318	$	120,243	$	131,176	$	363,737
Floating Rate Income Fund		83,121		60,249		101,217		244,587
High Yield Bond Fund		785,013		173,972		239,308		1,198,293
Intermediate Bond Fund		53,881		—		—		53,881
Ultra Short Bond Fund		255,028		256,571		227,293		738,892

Total	$	1,289,361	$	611,035	$	698,994	$	2,599,390

During the year ended March 31, 2017, the Adviser recouped $34,829 from the Intermediate Bond Fund and $172,589 from the Unconstrained Bond Fund.

Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $120,000 and $10,000 for each meeting of the Board attended. The chairman of the Board receives an annual retainer of $171,000. The respective chairman of the Audit Committee and the Nominating Committee each receive additional annual retainer of $34,000 and $17,000, respectively. The Trust has an unfunded, nonqualified deferred compensation plan (the “Plan”) for certain eligible Trustees. The Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of 10 annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Plan are recorded in Trustees’ fees and expenses in the Statements of Operations.

The Trust has a Share Marketing Plan (or the “Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, the Unconstrained Bond Fund, the Floating Rate Income Fund, the Strategic Income Fund, and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. Under the Plan, the Trust pays Foreside Funds Distributor LLC, as the Trust’s distribution coordinator, an annual fee up to 0.25% of the particular Fund’s average daily net assets attributable to Class M shares and Administrative Class shares to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the year ended March 31, 2017. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2017, to pay the distribution expenses of the AlphaTrak 500 Fund out of its own resources.

The Funds’ Board of Trustees has adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.

The Board of Trustees has approved a Supplemental Administration Agreement, dated and effective as of July 29, 2015, between the Adviser and the Trust. The Supplemental Administration Agreement provides for payment to the Adviser for a variety of supplemental administrative services either not provided by BNY Mellon Investment Servicing (US) Inc., the Funds’ administrator, or services related to additional support or review and supervision of the administrator’s services. The fee payable under this Agreement is an amount set from time to time by the Board of Trustees, which may not exceed $650,000 annually for all Funds. To date, no fees have been charged or paid under the Agreement.

The Floating Rate Income Fund had the following unfunded commitments and unrealized gain/(loss) by investment as of March 31, 2017:

UNFUNDED COMMITMENTS

MATURITY

AMOUNT

UNREALIZED GAIN

Dubois Chemicals, Inc.,

Delayed Draw Term Loan, 1st Lien

March 2024

$ 353,355

$ 4,355

Oberthur Technologies Group SAS,

Term Loan B2, 1st Lien

December 2023

935,748

6,571

TricorBraun, Inc.,

Delayed-Draw Term Loan, 1st Lien

October 2023

137,898

2,897

Total Unfunded Commitments

$1,427,001

$13,823

From time to time, a Fund may become a party to certain legal proceedings incidental to the normal course of its business. As of March 31, 2017, management is not aware of any pending or threatened litigation against a Fund.

In the normal course of business, the Trust enters into contracts which provide a variety of representations and warranties, and that provide general indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to the Trust under these arrangements is unknown as it would involve future claims that may be made against the Trust; however, based on the Trust’s experience, the risk of loss is remote and no such claims are expected to occur. As such, the Trust has not accrued any liability in connection with such indemnifications.

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:


	FLOATING RATE INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016		YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016


Change in Fund shares:

Shares outstanding at beginning of year		837,086		605,049		14,232,960		13,651,778

Shares sold		2,200,959		589,287		6,681,676		5,750,171

Shares issued through reinvestment of distributions		42,403		24,894		603,566		555,230

Shares redeemed		(588,999)		(382,144)		(1,010,555)		(5,724,219)

Net increase in fund shares		1,654,363		232,037		6,274,687		581,182

Shares outstanding at end of year		2,491,449		837,086		20,507,647		14,232,960


	HIGH YIELD BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016		YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016


Change in Fund shares:

Shares outstanding at beginning of year		54,778,695		78,671,133		62,970,316		77,788,026

Shares sold		10,909,864		14,443,559		19,143,693		29,841,493

Shares issued through reinvestment of distributions		1,500,091		2,431,323		2,036,355		2,662,171

Shares redeemed		(31,314,536)		(40,767,320)		(28,699,181)		(47,321,374)

Net (decrease) in fund shares		(18,904,581)		(23,892,438)		(7,519,133)		(14,817,710)

Shares outstanding at end of year		35,874,114		54,778,695		55,451,183		62,970,316


	INTERMEDIATE BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016		YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016


Change in Fund shares:

Shares outstanding at beginning of year		18,812,209		15,306,206		103,485,612		98,733,197

Shares sold		3,266,897		8,289,053		24,908,245		24,175,571

Shares issued through reinvestment of distributions		314,339		277,124		2,712,782		1,888,060

Shares redeemed		(13,462,631)		(5,060,174)		(28,449,070)		(21,311,216)

Net increase/(decrease) in fund shares		(9,881,395)		3,506,003		(828,043)		4,752,415

Shares outstanding at end of year		8,930,814		18,812,209		102,657,569		103,485,612


	LOW DURATION BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016		YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016


Change in Fund shares:

Shares outstanding at beginning of year		171,038,365		198,650,634		219,424,752		217,471,268

Shares sold		20,668,122		42,544,828		75,031,888		98,130,036

Shares issued through reinvestment of distributions		2,099,437		2,023,370		2,964,648		2,476,074

Shares redeemed		(46,506,074)		(72,180,467)		(89,198,917)		(98,652,626)

Net increase/(decrease) in fund shares		(23,738,515)		(27,612,269)		(11,202,381)		1,953,484

Shares outstanding at end of year		147,299,850		171,038,365		208,222,371		219,424,752


	STRATEGIC INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016		YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016


Change in Fund shares:

Shares outstanding at beginning of year		7,397,766		8,833,702		7,646,228		10,918,780

Shares sold		4,154,787		3,255,588		4,596,358		2,722,670

Shares issued through reinvestment of distributions		221,062		260,442		269,617		375,885

Shares redeemed		(6,257,363)		(4,951,966)		(3,747,583)		(6,371,107)

Net increase/(decrease) in fund shares		(1,881,514)		(1,435,936)		1,118,392		(3,272,552)

Shares outstanding at end of year		5,516,252		7,397,766		8,764,620		7,646,228


	TOTAL RETURN BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016		YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016


Change in Fund shares:

Shares outstanding at beginning of year		1,522,053,047		1,503,218,234		4,272,994,483		3,657,432,478

Shares sold		369,371,476		436,934,989		1,793,212,860		1,606,579,177

Shares issued through reinvestment of distributions		45,942,701		40,057,068		132,414,307		100,754,414

Shares redeemed		(497,321,786)		(458,157,244)		(1,561,203,829)		(1,091,771,586)

Net increase/(decrease) in fund shares		(82,007,609)		18,834,813		364,423,338		615,562,005

Shares outstanding at end of year		1,440,045,438		1,522,053,047		4,637,417,821		4,272,994,483


	ULTRA SHORT BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016		YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016


Change in Fund shares:

Shares outstanding at beginning of year		18,299,489		16,273,702		17,464,894		18,734,104

Shares sold		5,868,261		10,427,889		3,776,694		10,719,912

Shares issued through reinvestment of distributions		170,062		106,263		179,253		109,397

Shares redeemed		(8,814,690)		(8,508,365)		(4,865,504)		(12,098,519)

Net increase/(decrease) in fund shares		(2,776,367)		2,025,787		(909,557)		(1,269,210)

Shares outstanding at end of year		15,523,122		18,299,489		16,555,337		17,464,894


	UNCONSTRAINED BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016		YEAR ENDED MARCH 31, 2017		YEAR ENDED MARCH 31, 2016


Change in Fund shares:

Shares outstanding at beginning of year		70,589,674		61,782,339		119,202,854		108,814,137

Shares sold		83,956,378		32,946,154		85,970,979		46,786,850

Shares issued through reinvestment of distributions		1,739,843		1,241,255		2,624,688		1,982,569

Shares redeemed		(33,472,972)		(25,380,074)		(39,821,440)		(38,380,702)

Net increase in fund shares		52,223,249		8,807,335		48,774,227		10,388,717

Shares outstanding at end of year		122,812,923		70,589,674		167,977,081		119,202,854

At March 31, 2017, the following Funds had available for federal income tax purposes unused capital losses as follows:


FUND	EXPIRING IN 2017			EXPIRING IN 2018			EXPIRING IN 2019			SHORT TERM NON-EXPIRING AMOUNTS*			LONG TERM NON-EXPIRING AMOUNTS*

AlphaTrak 500 Fund		$	62,522,182		$	15,892,244		$	12,617,196		$	—		$	—

Floating Rate Income Fund			—			—			—			—			1,168,179

High Yield Bond Fund			—			—			—			—			80,944,265

Low Duration Bond Fund			99,373,584			21,029,490			42,081,240			—			55,588,883

Strategic Income Fund			47,852,416			18,413,032			41,345,040			—			595,284

Ultra Short Bond Fund			17,068,161			14,894,875			10,083,524			134,340			4,787,137

As of March 31, 2017, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:


	ALPHATRAK 500 FUND				FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND

Undistributed ordinary income (inclusive of short-term gains)		$	5,646			$	79,599			$	2,479,117			$	—

Other temporary differences			(563	)			(13,780	)			(210,647	)			(15,316,724	)

Accumulated capital loss carryforwards and post-October losses			(28,509,440	)			(1,168,179	)			(80,944,265	)			—

Net unrealized appreciation/(depreciation)			(30,699	)			594,245				(26,462,916	)			3,959,116


Total accumulated earnings/(losses)		$	(28,535,056	)		$	(508,115	)		$	(105,138,711	)		$	(11,357,608	)


	LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND

Undistributed ordinary income (inclusive of short-term capital gains)		$	—			$	845,581			$	—			$	—			$	6,663,590

Undistributed long-term capital gains			—				—				—				—				1,196,455

Other temporary differences			(6,321,870	)			(114,092	)			(1,298,412,336	)			(215,554	)			(4,201,709	)

Accumulated capital loss carryforwards and post-October losses			(118,699,613	)			(60,353,356	)			—				(29,899,876	)			—

Net unrealized appreciation/(depreciation)			9,178,626				774,352				187,327,608				(9,631	)			6,271,729


Total accumulated earnings/(losses)		$	(115,842,857	)		$	(58,847,515	)		$	(1,111,084,728	)		$	(30,125,061	)		$	9,930,065

Permanent differences incurred during the fiscal year ended March 31, 2017, resulting from differences in book and tax accounting have been reclassified at year-end as follows:


FUND	INCREASE/(DECREASE) UNDISTRIBUTED NET INVESTMENT INCOME/(LOSS)				INCREASE/(DECREASE) ACCUMULATED NET REALIZED GAIN/(LOSS)				INCREASE/(DECREASE) PAID-IN-CAPITAL

AlphaTrak 500 Fund		$	—			$	62,522,182			$ (62,522,182)

Floating Rate Income Fund			327,044				(327,044	)		—

High Yield Bond Fund			(401,563	)			308,449			93,114

Intermediate Bond Fund			(902,236	)			902,236			—

Low Duration Bond Fund			(3,423,364	)			102,796,948			(99,373,584	)

Strategic Income Fund			86,808				47,765,608			(47,852,416	)

Total Return Bond Fund			(72,307,735	)			72,307,735			—

Ultra Short Bond Fund			(154,629	)			17,222,790			(17,068,161	)

Unconstrained Bond Fund			1,619,895				(1,619,895	)		—

The permanent differences are due to investments in swaps, foreign currency, the U.S. subsidiary, expired capital loss carryforwards and redesignation of dividends paid.


	ALPHATRAK 500 FUND						FLOATING RATE INCOME FUND
	MARCH 31,			MARCH 31,			MARCH 31,			MARCH 31,
	2017			2016			2017			2016
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	84,991		$	13,244		$	6,476,329		$	5,783,912
Net long-term capital gains			—			—			—			5,518

Total taxable distributions		$	84,991		$	13,244		$	6,476,329		$	5,789,430


	HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND
	MARCH 31,		MARCH 31,		MARCH 31,		MARCH 31,
	2017		2016		2017		2016
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	35,532,953	$	52,054,567	$	28,388,404	$	23,413,000
Net long-term capital gains		—		—		4,082,458		39,282


Total taxable distributions	$	35,532,953	$	52,054,567	$	32,470,862	$	23,452,282


	LOW DURATION BOND FUND						STRATEGIC INCOME FUND
	MARCH 31,			MARCH 31,			MARCH 31,			MARCH 31,
	2017			2016			2017			2016
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	47,400,208		$	43,127,013		$	4,080,266		$	5,277,694
Net long-term capital gains			—			—			—			—


Total taxable distributions		$	47,400,208		$	43,127,013		$	4,080,266		$	5,277,694


	TOTAL RETURN BOND FUND						ULTRA SHORT BOND FUND						UNCONSTRAINED BOND FUND
	MARCH 31,			MARCH 31,			MARCH 31,			MARCH 31,			MARCH 31,			MARCH 31,
	2017			2016			2017			2016			2017			2016
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	2,498,180,916		$	1,657,931,994		$	1,750,866		$	1,125,116		$	69,187,248		$	47,055,696
Net long-term capital gains			117,591,899			334,609,524			—			—			—			—


Total taxable distributions		$	2,615,772,815		$	1,992,541,518		$	1,750,866		$	1,125,116		$	69,187,248		$	47,055,696

The Domestic Blocker in the High Yield Bond Fund recorded a provision for income tax expense (benefit) for the fiscal year ended March 31, 2017. This provision for income tax expense (benefit) is comprised of the following current and deferred income tax expense (benefit):

Deferred income taxes reflect the net tax effect of temporary differences between the carrying amount of the assets and liabilities for financial reporting and tax purposes. Components of the Blocker Corporation’s deferred tax assets and liabilities as of March 31, 2017 are as follows:

The capital loss carryforwards are available to offset future capital gains of the Blocker Corporation. For federal income tax purposes, capital losses of a corporation can be carried forward for 5 years. The Blocker Corporation has the following capital loss amounts:

Net operating losses are available to offset future taxable income of the Blocker Corporation. For federal income tax purposes, net operating losses of a corporation may be carried forward for 20 years.

Total income tax (current and deferred) is computed by applying the federal statutory income tax rate of 35% and applicable state tax statutory rates (net of federal tax benefit) to net investment income and realized and unrealized gains/(losses) on investments before taxes for the fiscal year ended March 31, 2017 as follows:

The Blocker Corporation recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Blocker Corporation’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on U.S. tax returns and state tax returns filed since inception of the Blocker Corporation. Tax periods ended March 31, 2015 and 2016 remain subject to examination by tax authorities in the United States. Due to the nature of the Blocker Corporation’s investments, the Blocker Corporation may be required to file income tax returns in several states. The Blocker Corporation is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.

The Funds have entered into a $350,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purpose with an expiration date of September 14, 2017. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.15%. There were no borrowings from the line of credit as of or during the year ended March 31, 2017. The Funds pay the Bank a commitment fee equal to 0.13% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the Statements of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.

Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the Funds’ financial statements and related disclosures.

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Metropolitan West Funds (the “Funds”), comprising Metropolitan West AlphaTrak 500 Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, Metropolitan West Unconstrained Bond Fund, and the consolidated statement of assets and liabilities, including the consolidated schedule of portfolio investments of Metropolitan West High Yield Bond Fund as of March 31, 2017, and the related statements of operations for Metropolitan West AlphaTrak 500 Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, Metropolitan West Unconstrained Bond Fund, and the related consolidated statement of operations for Metropolitan West High Yield Bond Fund for the year then ended, the statements of changes in net assets for Metropolitan West AlphaTrak 500 Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, Metropolitan West Unconstrained Bond Fund, and the consolidated statements of changes in net assets for Metropolitan West High Yield Bond Fund for each of the two years in the period then ended, and the financial highlights for Metropolitan West AlphaTrak 500 Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, Metropolitan West Unconstrained Bond Fund, and the consolidated financial highlights for Metropolitan West High Yield Bond Fund for each of the respective stated periods then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statements presentation. Our procedures included confirmation of securities owned as of March 31, 2017, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights for Metropolitan West AlphaTrak 500 Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, Metropolitan West Unconstrained Bond Fund, and the consolidated financial statements and consolidated financial highlights for Metropolitan West High Yield Bond Fund referred to above present fairly, in all material respects, the financial position of each of the portfolios constituting Metropolitan West Funds as of March 31, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the respective stated periods then ended, in conformity with accounting principles generally accepted in the United States of America.

For shareholders that do not have a March 31, 2017 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2017 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2017, each portfolio is reporting the following items with regard to distributions paid during the year. All information is based on financial information available as of the date of this annual report and, accordingly is subject to change. For each item, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and the Metropolitan West Funds (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.

In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.

At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.

We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.

We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the U.S. Securities and Exchange Commission.

We may collect the following types of nonpublic personal and financial information about you from the following sources:

• Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications.

• Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties.

• Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others.

• We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.

• We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.

We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.

We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.

Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.

Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Alternative Funds, TCW Strategic Income Fund, Inc. and the Metropolitan West Funds:

Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com

The business and affairs of the Trust and each Fund is under the direction of the Board of Trustees. Information pertaining to the Trustees and officers of the Trust is provided in the table below. The term “officer” means president, vice president, secretary, treasurer, controller, or any other officer who performs policy making functions. All officers serve without direct compensation from the Funds. You can find more information about the Trustees in the Statement of Additional Information which is available without charge by calling (800) 241-4671.

Board of Trustees

Andrew Tarica

Laird R. Landmann

Peter McMillan

Martin Luther King, III

Ronald J. Consiglio

Robert G. Rooney

Patrick C. Haden

Patrick Moore

Officers

David Lippman

President and Principal Executive Officer

David S. DeVito

Treasurer, Chief Financial Officer and Principal Accounting Officer

Jeffrey Engelsman

Chief Compliance Officer

Adviser

Metropolitan West Asset Management, LLC

865 South Figueroa Street, Floor1800

Los Angeles, CA 90017

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Transfer Agent

BNY Mellon Investment Servicing (U.S.) Inc.

760 Moore Road

King of Prussia, PA 19406

Independent Registered Public

Accounting Firm

Deloitte & Touche LLP

555 West 5^th Street, Suite 2700

Los Angeles, CA 90013

Distributor

Foreside Funds Distributors LLC

899 Cassatt Road, 400 Berwyn Park

Berwyn, PA 19312

Legal Counsel

Paul Hastings LLP

101 California Street, 48th Floor

San Francisco, CA 94111

For Additional Information about the Metropolitan West Funds call: (213) 244-0000 or (800) 241-4671 (toll-free) www.mwamllc.com

A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at www.sec.gov

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 241-4671.

To reduce expenses, we may mail only one copy of the Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at (800) 241-4671 (or contact your financial institution). We will begin sending you individual copies thirty days after receiving your request.

This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.

As of the end of the period covered by the report, the registrant’s board of directors has determined that Ronald Consiglio and Robert Rooney are qualified to serve as audit committee financial experts serving on its audit committee and they are “independent,” as defined by Item 3 of Form N-CSR.

Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent auditors to the registrant and (ii) all permissible non-audit services to be provided by the independent auditors to Metropolitan West Funds and any affiliate of Metropolitan West Funds that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Metropolitan West Funds or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Metropolitan West Funds and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent auditors during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee or the Chairperson prior to the completion of the audit.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

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.


Metropolitan West Funds		March 31, 2017
Table of Contents		March 31, 2017


		Metropolitan West AlphaTrak 500 Fund		M-Class (MWATX)
		Metropolitan West Floating Rate Income Fund		M-Class (MWFRX), I Class (MWFLX)
		Metropolitan West High Yield Bond Fund		M-Class (MWHYX), I-Class (MWHIX)
		Metropolitan West Intermediate Bond Fund		M-Class (MWIMX), I-Class (MWIIX)
		Metropolitan West Low Duration Bond Fund		M-Class (MWLDX), I-Class (MWLIX),
				Administrative-Class (MWLNX)
		Metropolitan West Strategic Income Fund		M-Class (MWSTX), I Class (MWSIX)
		Metropolitan West Total Return Bond Fund		M-Class (MWTRX), I-Class (MWTIX),
				Administrative-Class (MWTNX),
				Plan-Class (MWTSX)
		Metropolitan West Ultra Short Bond Fund		M-Class (MWUSX), I-Class (MWUIX)
		Metropolitan West Unconstrained Bond Fund		M-Class (MWCRX), I Class (MWCIX)


	Performance Through March 31, 2017
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	14.52%	26.38%	12.60%	15.46%	7.63%	6.35%
Standard & Poor’s 500 Index	10.12%	17.17%	10.36%	13.29%	7.50%	5.95%


	Performance Through March 31, 2017
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	3.46%	9.35%	1.93%	4.74%	6.28%	8.61%
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap (formerly known as the Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap)	4.50%	16.39%	4.57%	6.81%	7.54%	9.41%
MWHIX (Inception: March 31, 2003)	3.59%	9.62%	2.19%	5.00%	6.54%	7.86%
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap (formerly known as the Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap)	4.50%	16.39%	4.57%	6.81%	7.54%	8.71%


	Performance Through March 31, 2017
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)	-1.24%	0.43%	1.44%	2.45%	4.57%	4.44%
Bloomberg Barclays Intermediate U.S. Government/Credit Index (formerly known as the Barclays Capital Intermediate U.S. Government/Credit Index)	-1.30%	0.42%	2.01%	1.88%	3.76%	3.48%
MWIIX (Inception: June 28, 2002)	-1.13%	0.68%	1.68%	2.68%	4.80%	5.40%
Bloomberg Barclays Intermediate U.S. Government/Credit Index (formerly known as the Barclays Capital Intermediate U.S. Government/Credit Index)	-1.30%	0.42%	2.01%	1.88%	3.76%	3.96%


Letter to Shareholders			1

Fund Performance			10

Disclosure of Fund Expenses			16

Summary of Portfolio Holdings			19

Schedule of Portfolio Investments			21

AlphaTrak 500 Fund			21

Floating Rate Income Fund			29

High Yield Bond Fund			37

Intermediate Bond Fund			45

Low Duration Bond Fund			59

Strategic Income Fund			73

Total Return Bond Fund			83

Ultra Short Bond Fund			128

Unconstrained Bond Fund			136

Statements of Assets and Liabilities			163

Statements of Operations			165

Statements of Changes in Net Assets			167

Financial Highlights			171

Notes to Financials			191

Report of Independent Registered Public Accounting Firm			238

Tax Information Notice			239

Privacy Notice			240

Management Information			242


	Beginning Account Value 10/01/16			Ending Account Value 03/31/17			Expense Ratio¹			Expenses Paid During Period²
ALPHATRAK 500 FUND

Actual Fund Return		$	1,000.00		$	1,145.20		0.90	%		$	4.76

Hypothetical 5% Return		$	1,000.00		$	1,020.22		0.90	%		$	4.48
FLOATING RATE INCOME FUND

Actual Fund Return
Class M		$	1,000.00		$	1,020.30		0.90	%		$	4.48
Class I		$	1,000.00		$	1,022.40		0.70	%		$	3.49
Hypothetical 5% Return
Class M		$	1,000.00		$	1,020.22		0.90	%		$	4.48
Class I		$	1,000.00		$	1,021.21		0.70	%		$	3.49
HIGH YIELD BOND FUND

Actual Fund Return
Class M		$	1,000.00		$	1,034.60		0.85	%		$	4.26
Class I		$	1,000.00		$	1,035.90		0.60	%		$	3.01
Hypothetical 5% Return
Class M		$	1,000.00		$	1,020.47		0.85	%		$	4.23
Class I		$	1,000.00		$	1,021.70		0.60	%		$	2.99


ASSETS:	ALPHATRAK 500 FUND				FLOATING RATE INCOME FUND

Investments, at value (Cost $21,129,489, $235,064,535, $871,988,806, $1,174,049,802, $3,105,568,336, $113,956,689, $82,967,487,704, $137,506,027, and $3,452,797,653, respectively) (Note 2)		$	21,108,466			$	235,645,571
Cash and cash equivalents (Note 2)			108,852				1,990,721
Premiums paid for swap contracts			—				—
Unrealized appreciation on foreign currency exchange contracts			—				—
Dividends and interest receivable			70,793				512,388
Due from Adviser (Note 6)			—				30,760
Net unrealized appreciation on unfunded commitments (Note 8)			—				13,823
Receivable for securities sold			—				10,296,494
Receivables from Lehman Brothers, at value (Cost $0, $0, $43,856, $0, $0, $83,326, $0, $0, and $0, respectively) (Note 3)			—				—
Receivable for capital stock sold			148,640				70,359
Receivable for daily variation margin on futures contracts (Note 3)			—				—
Other assets			18,663				19,595

Total assets			21,455,414				248,579,711


Liabilities:
Unrealized depreciation on foreign currency exchange contracts			—				249,599
Unrealized depreciation on swap contracts			—				—
Options written, at value (Premiums received $0, $0, $0, $0, $540,000, $0, $4,196,000, $0, and $0, respectively) (Note 3)			—				—
Bank overdraft			—				—
Payable for securities purchased			629,394				16,733,671
Payable for capital stock redeemed			15,601				72,206
Payable for daily variation margin on futures contracts (Note 3)			50,325				—
Line of credit commitment fee payable			—				232
Distributions payable			158				11,703
Administrative fees payable			6,813				16,102
Advisory fees payable (Note 6)			8,444				106,108
Audit fees payable			23,360				2,007
Transfer agent fees payable			1,891				21,644
Accrued distribution (12b-1) and service fees payable			—				5,073
Accrued other expenses			5,195				13,403

Total liabilities			741,181				17,231,748

Net assets		$	20,714,233			$	231,347,963


Class M Shares:
Net assets (Applicable to 2,314,322, 2,491,449, 35,874,114, 8,930,814, 147,299,850, 5,516,252, 1,440,045,438, 15,523,122, and 122,812,923, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	20,714,233			$	25,072,005

Net asset value, offering and redemption price per Class M share		$	8.95			$	10.06

Class I Shares:
Net assets (Applicable to 0, 20,507,647, 55,451,183, 102,657,569, 208,222,371, 8,764,620, 4,637,417,821, 16,555,337, and 167,977,081, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A			$	206,275,958

Net asset value, offering and redemption price per Class I share			N/A			$	10.06

Administrative Class:
Net assets (Applicable to 0, 0, 0, 0, 639,733, 0, 72,617,898, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A				N/A

Net asset value, offering and redemption price per Administrative Class share			N/A				N/A

Plan Class:
Net assets (Applicable to 0, 0, 0, 0, 0, 0, 1,376,039,895, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A				N/A

Net asset value, offering and redemption price per Plan Class share			N/A				N/A

Net Assets Consist of:
Capital paid-in (Note 8)		$	49,249,289			$	231,856,080
Undistributed (distributions in excess of) net investment income			5,082				315,418
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, options written and swap contracts			(28,412,633	)			(1,168,795	)
Net unrealized appreciation/(depreciation) on investments			(21,023	)			594,859
Net unrealized depreciation on futures contracts, foreign currency exchange contracts, options written and swap contracts			(106,482	)			(249,599	)

Net assets		$	20,714,233			$	231,347,963


HIGH YIELD BOND FUND¹				INTERMEDIATE BOND FUND				LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND

	$	848,852,739			$	1,178,182,437			$	3,114,787,948			$	114,815,472			$	83,209,397,292			$	137,502,908			$	3,459,279,481
		1,700,345				—				—				—				—				—				1,066,291
		280,630				—				—				—				—				—				—
		302,809				—				—				—				9,056,661				29,218				—
		9,612,950				5,271,333				10,995,254				718,480				405,726,555				459,174				19,388,460
		—				—				—				—				—				—				—
		—				—				—				—				—				—				—
		65,410,529				3,067,297				—				469,407				1,682,840,340				45				20,263,630
		—				—				—				—				—				—				—
		3,075,391				2,993,909				5,369,725				470,326				330,633,576				229,472				11,806,215
		—				131,233				191,953				—				9,136,361				—				206,880
		28,596				33,321				70,083				24,673				775,305				20,557				138,888

		929,263,989				1,189,679,530				3,131,414,963				116,498,358				85,647,566,090				138,241,374				3,512,149,845

		188,976				1,128,703				3,444,478				108,633				63,941,980				76,824				2,769,985
		497,648				—				—				—				—				—				—
		—				—				51,369				—				1,250,000				—				—
		—				349				350,241				229,483				8,147,517				35,025				—
		49,535,936				24,856,614				10,810,888				80,466				6,580,990,580				—				34,252,906
		1,779,166				5,850,519				6,438,812				808,032				245,954,769				1,018,366				13,355,091
		—				—				—				9,594				1,056,582				—				252,656
		1,329				1,692				4,348				172				104,704				194				3,185
		159,170				53,835				183,531				10,665				14,565,950				19,523				1,407,115
		15,003				19,586				29,085				11,096				377,324				11,334				33,670
		403,790				349,794				788,889				185,904				23,213,222				35,308				1,892,890
		26,532				31,501				33,006				26,826				137,857				25,608				2,346
		116,307				130,156				414,058				20,904				8,095,339				18,892				227,159
		74,058				17,319				210,572				9,463				2,967,268				9,130				307,055
		67,291				46,299				121,065				11,201				3,686,344				9,756				211,646
		52,865,206				32,486,367				22,880,342				1,512,439				6,954,489,436				1,259,960				54,715,704
	$	876,398,783			$	1,157,193,163			$	3,108,534,621			$	114,985,919			$	78,693,076,654			$	136,981,414			$	3,457,434,141


	$	344,327,618			$	92,641,686			$	1,284,692,014			$	44,430,099			$	15,223,665,674			$	66,237,695			$	1,460,883,896
	$	9.60			$	10.37			$	8.72			$	8.05			$	10.57			$	4.27			$	11.90

	$	532,071,165			$	1,064,551,477			$	1,816,633,032			$	70,555,820			$	49,013,552,848			$	70,743,719			$	1,996,550,245
	$	9.60			$	10.37			$	8.72			$	8.05			$	10.57			$	4.27			$	11.89

		N/A				N/A			$	7,209,575				N/A			$	768,125,331				N/A				N/A
		N/A				N/A			$	11.27				N/A			$	10.58				N/A				N/A

		N/A				N/A				N/A				N/A			$	13,687,732,801				N/A				N/A
		N/A				N/A				N/A				N/A			$	9.95				N/A				N/A

	$	981,537,494			$	1,168,550,771			$	3,224,377,478			$	173,833,433			$	79,804,161,382			$	167,106,473			$	3,447,504,078
		2,154,636				(411,839	)			(2,877,392	)			840,123				(50,595,187	)			(167,947	)			3,110,412

		(83,729,608	)			(14,288,863	)			(119,731,648	)			(60,347,128	)			(1,267,778,157	)			(29,906,387	)			2,900,593
		(23,179,924	)			4,132,635				9,219,612				775,457				241,909,588				(3,119	)			6,481,828
		(383,815	)			(789,541	)			(2,453,429	)			(115,966	)			(34,620,972	)			(47,606	)			(2,562,770	)
	$	876,398,783			$	1,157,193,163			$	3,108,534,621			$	114,985,919			$	78,693,076,654			$	136,981,414			$	3,457,434,141


	ALPHATRAK 500 FUND				FLOATING RATE INCOME FUND
Investment Income:
Interest		$	121,893			$	7,792,721
Dividends			4,968				11,422


Total investment income			126,861				7,804,143


Expenses:
Investment advisory fees (Note 6)			24,506				1,026,861
Administration fees			46,195				113,245
Commitment fee			—				919
Custodian fees			15,241				21,419
Distribution (12b-1) and service fees - class specific (Note 7):
Class M			—				32,664
Administrative Class			—				—
Insurance expense			50				1,944
Miscellaneous expenses			3,902				5,565
Professional fees			39,665				45,810
Registration and filing fees			27,785				79,079
Reports to shareholders			1,744				4,095
Transfer agent fees			19,845				100,799
Trustees’ fees and expenses			54				1,864
Repayment of reimbursed expenses - Class I (Note 6)			—				—


Total operating expenses			178,987				1,434,264
Expenses waived and reimbursed (Note 6)			(131,176	)			(101,217	)


Net expenses			47,811				1,333,047


Net investment income			79,050				6,471,096


Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Foreign Currency Transactions, Options and Swaptions Written and Swap Contracts:
Net realized gain/(loss) on:
Investments			256,147				269,530
Futures contracts			906,997				—
Foreign currency transactions			—				327,044
Options and swaptions written			—				—
Swap contracts			—				—

Net change in unrealized appreciation/(depreciation) on:
Investments			(4,211	)			4,094,038
Futures contracts			(194,056	)			—
Foreign currency transactions			—				(249,599	)
Options and swaptions written			—				—
Swap contracts			—				—


Net change in realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, options and swaptions written and swap contracts			964,877				4,441,013


Net Increase in Net Assets from Operations		$	1,043,927			$	10,912,109


HIGH YIELD BOND FUND¹				INTERMEDIATE BOND FUND				LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND

	$	42,668,570			$	25,808,371			$	57,954,948			$	6,918,531			$	1,867,444,571			$	2,121,973			$	81,786,236
		37,397				78,203				87,775				62,139				3,249,776				6,828				746,374

		42,705,967				25,886,574				58,042,723				6,980,670				1,870,694,347				2,128,801				82,532,610



		4,863,330				4,356,840				9,662,485				1,988,101				275,474,022				362,237				16,871,768
		139,739				154,115				263,495				79,417				4,001,540				82,467				243,656
		5,067				6,715				17,130				645				418,337				760				12,589
		44,350				75,959				147,666				23,845				3,012,776				25,963				154,128
		1,067,072				316,725				2,641,610				156,758				34,272,290				113,075				2,332,765
		—				—				30,613				—				2,050,287				—				—
		13,682				15,173				41,235				1,504				916,033				1,815				26,914
		27,511				11,346				23,294				5,132				456,470				5,194				19,911
		58,742				51,373				60,842				41,107				482,392				39,389				74,315
		111,509				85,694				158,915				56,977				2,099,756				60,451				250,981
		86,965				57,600				161,543				14,641				4,318,814				11,169				166,475
		745,119				800,146				2,647,978				134,253				47,252,681				129,072				1,424,565
		9,481				12,222				31,513				1,277				774,664				1,419				25,807
		—				34,829				—				—				—				—				172,589

		7,172,567				5,978,737				15,888,319				2,503,657				375,530,062				833,011				21,776,463
		(239,308	)			—				—				—				—				(227,293	)			—

		6,933,259				5,978,737				15,888,319				2,503,657				375,530,062				605,718				21,776,463

		35,772,708				19,907,837				42,154,404				4,477,013				1,495,164,285				1,523,083				60,756,147





		(14,460,649	)			(4,818,890	)			1,169,916				1,050,619				(394,813,137	)			156,967				12,849,750
		—				(1,693,313	)			(1,770,827	)			82,099				(107,845,039	)			—				5,390,149
		(88,364	)			672,815				1,699,883				86,808				44,457,784				75,570				1,619,895
		—				—				—				—				9,851,514				—				—
		(335,771	)			—				—				—				(20,460,483	)			—				—
		69,362,011				(5,527,203	)			4,679,906				(560,123	)			(464,283,602	)			(180,886	)			30,879,482
		—				161,953				507,479				(10,400	)			4,540,061				—				(173,890	)
		113,833				(569,032	)			(1,817,632	)			(108,633	)			(22,082,262	)			(47,606	)			(2,764,647	)
		—				—				2,608				—				2,767,343				—				—
		(1,736,378	)			—				—				—				56,112,345				—				—

		52,854,682				(11,773,670	)			4,471,333				540,370				(891,755,476	)			4,045				47,800,739

	$	88,627,390			$	8,134,167			$	46,625,737			$	5,017,383			$	603,408,809			$	1,527,128			$	108,556,886


	ALPHATRAK 500 FUND
	YEAR ENDED MARCH 31, 2017			YEAR ENDED MARCH 31, 2016
Operations:
Net investment income	$	79,050		$	21,693
Net realized gain/(loss) on investments		256,147			(12,417	)
Net realized gain/(loss) on futures contracts, foreign currency transactions and swap contracts		906,997			(206,474	)
Net change in unrealized appreciation/(depreciation) on investments		(4,211	)		(64,302	)
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency transactions and swap contracts		(194,056	)		127,830

Net increase/(decrease) in net assets resulting from operations		1,043,927			(133,670	)


Distributions to Shareholders from:
Net investment income:
Class M		(84,914	)		(13,479	)
Class I		—			—
Net realized gains:
Class M		—			—
Class I		—			—

Net decrease in net assets resulting from distributions		(84,914	)		(13,479	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		20,025,926			2,806,227
Shares issued in reinvestment of distributions		83,462			13,175
Cost of shares redeemed		(2,759,934	)		(10,001,620	)

Total Class M capital share transactions		17,349,454			(7,182,218	)

Class I:
Proceeds from sale of shares		—			—
Shares issued in reinvestment of distributions		—			—
Cost of shares redeemed		—			—

Total Class I capital share transactions		—			—

Net increase/(decrease) in net assets resulting from capital share transactions		17,349,454			(7,182,218	)

Net increase/(decrease) in net assets		18,308,467			(7,329,367	)
Net assets at beginning of year		2,405,766			9,735,133

Net assets at end of year (including undistributed (distributions in excess of) net investment income of $5,082, $10,946, $315,418, $4,875, $2,154,636, $2,243,607, $(411,839) and $491,490, respectively)	$	20,714,233		$	2,405,766


FLOATING RATE INCOME FUND								HIGH YIELD BOND FUND¹								INTERMEDIATE BOND FUND
YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016

	$	6,471,096			$	5,596,583			$	35,772,708			$	52,328,224			$	19,907,837			$	17,315,436
		269,530				(1,438,301	)			(14,460,649	)			(61,584,667	)			(4,818,890	)			2,551,638
		327,044				—				(424,135	)			2,962,709				(1,020,498	)			1,319,717
		4,094,038				(3,343,047	)			69,362,011				(23,828,002	)			(5,527,203	)			(5,641,259	)
		(249,599	)			—				(1,622,545	)			1,600,553				(407,079	)			(237,796	)
		10,912,109				815,235				88,627,390				(28,521,183	)			8,134,167				15,307,736



		(430,092	)			(241,961	)			(15,012,571	)			(24,362,163	)			(2,042,788	)			(2,078,019	)
		(6,057,505	)			(5,354,641	)			(20,447,545	)			(27,439,063	)			(17,866,142	)			(15,116,839	)
		—				(10,706	)			—				—				(1,353,893	)			(921,629	)
		—				(180,990	)			—				—				(11,216,253	)			(5,349,075	)
		(6,487,597	)			(5,788,298	)			(35,460,116	)			(51,801,226	)			(32,479,076	)			(23,465,562	)


		22,105,281				5,866,138				102,467,900				134,398,577				34,560,581				87,406,099
		425,111				247,284				14,089,551				22,808,910				3,289,882				2,915,041
		(5,899,527	)			(3,799,231	)			(294,162,277	)			(384,967,404	)			(141,593,985	)			(53,374,917	)
		16,630,865				2,314,191				(177,604,826	)			(227,759,917	)			(103,743,522	)			36,946,223
		66,700,805				57,870,758				179,658,835				276,834,102				262,405,408				254,895,544
		6,035,908				5,530,053				19,145,045				24,935,658				28,361,392				19,858,382
		(10,122,467	)			(57,379,873	)			(268,531,705	)			(443,591,942	)			(298,960,632	)			(224,487,447	)
		62,614,246				6,020,938				(69,727,825	)			(141,822,182	)			(8,193,832	)			50,266,479
		79,245,111				8,335,129				(247,332,651	)			(369,582,099	)			(111,937,354	)			87,212,702
		83,669,623				3,362,066				(194,165,377	)			(449,904,508	)			(136,282,263	)			79,054,876
		147,678,340				144,316,274				1,070,564,160				1,520,468,668				1,293,475,426				1,214,420,550



	$	231,347,963			$	147,678,340			$	876,398,783			$	1,070,564,160			$	1,157,193,163			$	1,293,475,426


	LOW DURATION BOND FUND

	YEAR ENDED MARCH 31, 2017			YEAR ENDED MARCH 31, 2016
Operations:
Net investment income	$	42,154,404		$	44,492,254
Net realized gain/(loss) on investments		1,169,916			(8,673,826	)
Net realized gain/(loss) on futures contracts, foreign currency transactions, options written, swap contracts and swaptions written		(70,944	)		1,609,915
Net change in unrealized appreciation/(depreciation) on investments		4,679,906			(24,204,848	)
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency transactions, options written, swap contracts and swaptions written		(1,307,545	)		(1,467,943	)

Net increase/(decrease) in net assets resulting from operations		46,625,737			11,755,552


Distributions to Shareholders from:
Net investment income:
Class M		(16,518,816	)		(18,221,036	)
Class I		(25,574,907	)		(24,870,489	)
Administrative Class		(84,918	)		(50,287	)
Plan Class		—			—
Net realized gains:
Class M		(2,241,974	)		—
Class I		(2,870,629	)		—
Administrative Class		(10,644	)		—
Plan Class		—			—

Net decrease in net assets resulting from distributions		(47,301,888	)		(43,141,812	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		180,459,613			372,722,701
Shares issued in reinvestment of distributions		18,328,941			17,716,234
Cost of shares redeemed		(406,123,477	)		(632,191,782	)

Total Class M capital share transactions		(207,334,923	)		(241,752,847	)

Class I:
Proceeds from sale of shares		655,192,453			859,389,523
Shares issued in reinvestment of distributions		25,896,179			21,685,089
Cost of shares redeemed		(779,436,087	)		(864,858,286	)

Total Class I capital share transactions		(98,347,455	)		16,216,326

Administrative Class:
Proceeds from sale of shares		2,687,967			4,260,096
Shares issued in reinvestment of distributions		40,977			35,098
Cost of shares redeemed		(2,876,028	)		(1,495,308	)

Total Administrative Class capital share transactions		(147,084	)		2,799,886

Plan Class:
Proceeds from sale of shares		—			—
Shares issued in reinvestment of distributions		—			—
Cost of shares redeemed		—			—

Total Plan Class capital share transactions		—			—

Net increase/(decrease) in net assets resulting from capital share transactions		(305,829,462	)		(222,736,635	)

Net increase/(decrease) in net assets		(306,505,613	)		(254,122,895	)
Net assets at beginning of year		3,415,040,234			3,669,163,129

Net assets at end of year (including undistributed (distributions in excess of) net investment income of $(2,877,392), $570,209, $840,123, $348,990, $(50,595,187), $15,261,709, $(167,947), $(9,589), $3,110,412 and $772,542, respectively)	$	3,108,534,621		$	3,415,040,234


STRATEGIC INCOME FUND						TOTAL RETURN BOND FUND						ULTRA SHORT BOND FUND						UNCONSTRAINED BOND FUND

YEAR ENDED MARCH 31, 2017			YEAR ENDED MARCH 31, 2016			YEAR ENDED MARCH 31, 2017			YEAR ENDED MARCH 31, 2016			YEAR ENDED MARCH 31, 2017			YEAR ENDED MARCH 31, 2016			YEAR ENDED MARCH 31, 2017			YEAR ENDED MARCH 31, 2016

$	4,477,013		$	5,386,486		$	1,495,164,285		$	1,242,966,321		$	1,523,083		$	1,151,142		$	60,756,147		$	47,939,180
	1,050,619			184,540			(394,813,137	)		600,389,830			156,967			(58,152	)		12,849,750			(3,780,003	)
	168,907			(41,308	)		(73,996,224	)		75,029,995			75,570			—			7,010,044			(423,661	)
	(560,123	)		(6,088,964	)		(464,283,602	)		(923,916,085	)		(180,886	)		(630,606	)		30,879,482			(40,240,910	)

	(119,033	)		11,817			41,337,487			(58,729,015	)		(47,606	)		—			(2,938,537	)		(290,827	)

	5,017,383			(547,429	)		603,408,809			935,741,046			1,527,128			462,384			108,556,886			3,203,779




	(1,904,567	)		(2,227,389	)		(277,120,269	)		(263,951,635	)		(686,169	)		(485,613	)		(19,558,748	)		(16,019,547	)
	(2,168,121	)		(3,063,016	)		(955,233,307	)		(793,343,467	)		(840,643	)		(629,584	)		(40,479,424	)		(31,501,583	)
	—			—			(8,072,158	)		(4,694,025	)		—			—			—			—
	—			—			(248,287,712	)		(168,176,118	)		—			—			—			—
	—			—			(222,696,326	)		(176,445,051	)		(108,974	)		—			(3,013,438	)		—
	—			—			(704,964,283	)		(474,264,225	)		(121,225	)		—			(6,546,603	)		—
	—			—			(8,961,471	)		(3,857,271	)		—			—			—			—
	—			—			(192,450,893	)		(112,018,189	)		—			—			—			—

	(4,072,688	)		(5,290,405	)		(2,617,786,419	)		(1,996,749,981	)		(1,757,011	)		(1,115,197	)		(69,598,213	)		(47,521,130	)



	33,432,941			26,527,451			3,992,463,470			4,725,265,517			25,079,438			44,670,332			994,385,397			389,592,016
	1,778,452			2,120,372			489,977,761			430,224,404			726,639			455,136			20,632,048			14,633,132
	(50,308,694	)		(40,444,717	)		(5,363,748,938	)		(4,944,860,564	)		(37,675,144	)		(36,459,609	)		(396,604,831	)		(298,765,632	)

	(15,097,301	)		(11,796,894	)		(881,307,707	)		210,629,357			(11,869,067	)		8,665,859			618,412,614			105,459,516


	36,975,339			22,336,619			19,346,305,233			17,361,334,166			16,157,871			46,002,893			1,017,691,121			552,139,801
	2,167,343			3,060,624			1,412,530,613			1,082,189,276			766,525			469,237			31,097,875			23,364,013
	(30,094,340	)		(51,843,538	)		(16,753,210,975	)		(11,784,729,104	)		(20,806,746	)		(51,920,127	)		(471,361,688	)		(451,122,731	)

	9,048,342			(26,446,295	)		4,005,624,871			6,658,794,338			(3,882,350	)		(5,447,997	)		577,427,308			124,381,083

	—			—			613,134,034			195,891,617			—			—			—			—
	—			—			16,687,101			8,071,773			—			—			—			—
	—			—			(131,300,487	)		(188,036,225	)		—			—			—			—

	—			—			498,520,648			15,927,165			—			—			—			—

	—			—			5,317,255,405			4,908,695,313			—			—			—			—
	—			—			437,164,459			277,896,783			—			—			—			—
	—			—			(2,428,658,010	)		(1,548,839,793	)		—			—			—			—

	—			—			3,325,761,854			3,637,752,303			—			—			—			—

	(6,048,959	)		(38,243,189	)		6,948,599,666			10,523,103,163			(15,751,417	)		3,217,862			1,195,839,922			229,840,599

	(5,104,264	)		(44,081,023	)		4,934,222,056			9,462,094,228			(15,981,300	)		2,565,049			1,234,798,595			185,523,248
	120,090,183			164,171,206			73,758,854,598			64,296,760,370			152,962,714			150,397,665			2,222,635,546			2,037,112,298



$	114,985,919		$	120,090,183		$	78,693,076,654		$	73,758,854,598		$	136,981,414		$	152,962,714		$	3,457,434,141		$	2,222,635,546


	ALPHATRAK 500 FUND CLASS M
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	7.22			$	7.22			$	6.48			$	5.35			$	4.63



Income from Investment Operations:
Net investment income¹			0.12				0.02				0.04				0.08				0.07
Net realized and unrealized gain			1.77				0.02				0.76				1.13				0.71


Total Income from Investment Operations			1.89				0.04				0.80				1.21				0.78



Less Distributions:
From net investment income			(0.16	)			(0.04	)			(0.06	)			(0.08	)			(0.06	)


Total Distributions			(0.16	)			(0.04	)			(0.06	)			(0.08	)			(0.06	)


Net Asset Value, End of Year		$	8.95			$	7.22			$	7.22			$	6.48			$	5.35


Total Return			26.38	%			0.53	%			12.37	%			22.75	%			16.88	%


Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	20,714			$	2,406			$	9,735			$	5,324			$	6,156
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.37	%			2.64	%			2.65	%			2.98	%			2.94	%
After expense waivers and reimbursements			0.90	%			0.90	%			0.90	%			0.90	%			0.91	%²
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.49	%			0.31	%			0.54	%			1.43	%			1.45	%
Portfolio Turnover Rate			505	%			59	%			30	%			50	%			41	%


	FLOATING RATE
	INCOME FUND CLASS M*
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				PERIOD ENDED MARCH 31, 2014
Net Asset Value, Beginning of Period		$	9.80			$	10.13			$	10.28			$	10.00


Income from Investment Operations:
Net investment income¹			0.33				0.34				0.32				0.26
Net realized and unrealized gain/(loss)			0.26				(0.32	)			(0.06	)			0.25


Total Income from Investment Operations			0.59				0.02				0.26				0.51



Less Distributions:
From net investment income			(0.33	)			(0.34	)			(0.32	)			(0.22	)
From net capital gains			—				(0.01	)			(0.09	)			(0.01	)


Total Distributions			(0.33	)			(0.35	)			(0.41	)			(0.23	)


Net Asset Value, End of Period		$	10.06			$	9.80			$	10.13			$	10.28


Total Return			6.08	%			0.23	%			2.53	%			5.15	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	25,072			$	8,206			$	6,126			$	5,311
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.05	%			1.07	%			1.10	%			1.11	%³
After expense waivers and reimbursements			0.90	%			0.90	%			0.88	%			0.85	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.28	%			3.42	%			3.15	%			3.41	%³
Portfolio Turnover Rate			40	%			66	%			49	%			67	%²


	FLOATING RATE INCOME FUND CLASS I*
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				PERIOD ENDED MARCH 31, 2014
Net Asset Value, Beginning of Period		$	9.80			$	10.12			$	10.28			$	10.00


Income from Investment Operations:
Net investment income¹			0.35				0.36				0.34				0.26
Net realized and unrealized gain/(loss)			0.26				(0.31	)			(0.07	)			0.26


Total Income from Investment Operations			0.61				0.05				0.27				0.52



Less Distributions:
From net investment income			(0.35	)			(0.36	)			(0.34	)			(0.23	)
From net capital gains			—				(0.01	)			(0.09	)			(0.01	)


Total Distributions			(0.35	)			(0.37	)			(0.43	)			(0.24	)


Net Asset Value, End of Period		$	10.06			$	9.80			$	10.12			$	10.28


Total Return			6.29	%			0.53	%			2.63	%			5.29	%²


Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	206,276			$	139,472			$	138,190			$	115,448
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.75	%			0.73	%			0.74	%			0.81	%³
After expense waivers and reimbursements			0.70	%			0.70	%			0.68	%			0.65	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.48	%			3.61	%			3.33	%			3.34	%³
Portfolio Turnover Rate			40	%			66	%			49	%			67	%²


	HIGH YIELD
	BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2017¹				YEAR ENDED MARCH 31, 2016¹				YEAR ENDED MARCH 31, 2015¹				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	9.09			$	9.72			$	10.37			$	10.59			$	10.11


Income from Investment Operations:
Net investment income²			0.34				0.39				0.45				0.54				0.64
Net realized and unrealized gain/(loss)			0.50				(0.63	)			(0.51	)			0.05				0.57


Total Income/(Loss) from Investment Operations			0.84				(0.24	)			(0.06	)			0.59				1.21



Less Distributions:
From net investment income			(0.33	)			(0.39	)			(0.45	)			(0.53	)			(0.68	)
From net capital gains			—				—				(0.14	)			(0.28	)			(0.05	)


Total Distributions			(0.33	)			(0.39	)			(0.59	)			(0.81	)			(0.73	)


Net Asset Value, End of Year		$	9.60			$	9.09			$	9.72			$	10.37			$	10.59


Total Return			9.35	%			(2.52	)%			(0.65	)%			5.89	%			12.40	%


Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	344,328			$	498,128			$	764,684			$	1,323,298			$	1,335,683
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.89	%			0.87	%			0.89	%			0.82	%			0.81	%
After expense waivers and reimbursements			0.85	%			0.85	%			0.83	%			0.80	%			0.79	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.55	%			4.19	%			4.41	%			5.20	%			6.20	%
Portfolio Turnover Rate			185	%			139	%			61	%			66	%			74	%


	HIGH YIELD
	BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2017¹				YEAR ENDED MARCH 31, 2016¹				YEAR ENDED MARCH 31, 2015¹				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	9.09			$	9.72			$	10.37			$	10.59			$	10.11


Income from Investment Operations:
Net investment income²			0.36				0.42				0.47				0.57				0.66
Net realized and unrealized gain/(loss)			0.50				(0.64	)			(0.51	)			0.05				0.57


Total Income/(Loss) from Investment Operations			0.86				(0.22	)			(0.04	)			0.62				1.23



Less Distributions:
From net investment income			(0.35	)			(0.41	)			(0.47	)			(0.56	)			(0.70	)
From net capital gains			—				—				(0.14	)			(0.28	)			(0.05	)


Total Distributions			(0.35	)			(0.41	)			(0.61	)			(0.84	)			(0.75	)


Net Asset Value, End of Year		$	9.60			$	9.09			$	9.72			$	10.37			$	10.59


Total Return			9.62	%			(2.28	)%			(0.40	)%			6.16	%			12.67	%


Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	532,071			$	572,436			$	755,786			$	910,268			$	997,308
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.62	%			0.61	%			0.60	%			0.56	%			0.57	%
After expense waivers and reimbursements			0.60	%			0.60	%			0.58	%			0.55	%			0.54	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.78	%			4.44	%			4.65	%			5.45	%			6.46	%
Portfolio Turnover Rate			185	%			139	%			61	%			66	%			74	%


	INTERMEDIATE
	BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	10.58			$	10.65			$	10.52			$	10.69			$	10.47


Income from Investment Operations:
Net investment income¹			0.14				0.13				0.14				0.24				0.35
Net realized and unrealized gain/(loss)			(0.09	)			(0.03	)			0.16				(0.16	)			0.40


Total Income from Investment Operations			0.05				0.10				0.30				0.08				0.75



Less Distributions:
From net investment income			(0.15	)			(0.12	)			(0.14	)			(0.24	)			(0.35	)
From net capital gains			(0.11	)			(0.05	)			(0.03	)			(0.01	)			(0.18	)


Total Distributions			(0.26	)			(0.17	)			(0.17	)			(0.25	)			(0.53	)


Net Asset Value, End of Year		$	10.37			$	10.58			$	10.65			$	10.52			$	10.69


Total Return			0.43	%			1.03	%			2.87	%			0.80	%			7.28	%


Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	92,642			$	199,031			$	163,048			$	144,635			$	115,576
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.70	%²			0.70	%			0.72	%			0.69	%			0.69	%
After expense waivers and reimbursements			0.70	%			0.70	%			0.68	%			0.65	%			0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.35	%			1.20	%			1.30	%			2.25	%			3.24	%
Portfolio Turnover Rate			252	%			309	%			253	%			208	%			119	%


	LOW DURATION
	BOND FUND
	ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	11.27			$	11.37			$	11.38			$	11.41			$	11.11


Income from Investment Operations:
Net investment income¹			0.12				0.12				0.12				0.14				0.32
Net realized and unrealized gain/(loss)			0.01				(0.11	)			(0.00	)²			—				0.28


Total Income from Investment Operations			0.13				0.01				0.12				0.14				0.60



Less Distributions:
From net investment income			(0.12	)			(0.11	)			(0.13	)			(0.17	)			(0.30	)
From net capital gains			(0.01	)			—				—				—				—


Total Distributions			(0.13	)			(0.11	)			(0.13	)			(0.17	)			(0.30	)


Net Asset Value, End of Year		$	11.27			$	11.27			$	11.37			$	11.38			$	11.41


Total Return			1.22	%			0.13	%			1.04	%			1.21	%			5.46	%


Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	7,210			$	7,359			$	4,599			$	3,623			$	105
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.72	%			0.72	%			0.72	%			0.78	%			0.77	%
After expense waivers and reimbursements			0.72	%			0.72	%			0.72	%			0.78	%			0.77	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.08	%			1.07	%			1.09	%			1.24	%			2.85	%
Portfolio Turnover Rate			95	%			119	%			30	%			31	%			60	%


	STRATEGIC
	INCOME FUND CLASS M
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	7.99			$	8.32			$	8.29			$	8.32			$	7.82


Income from Investment Operations:
Net investment income¹			0.27				0.28				0.18				0.22				0.39
Net realized and unrealized gain/(loss)			0.04				(0.33	)			0.02				(0.02	)			0.51


Total Income/(Loss) from Investment Operations			0.31				(0.05	)			0.20				0.20				0.90



Less Distributions:
From net investment income			(0.25	)			(0.28	)			(0.17	)			(0.23	)			(0.40	)


Total Distributions			(0.25	)			(0.28	)			(0.17	)			(0.23	)			(0.40	)


Net Asset Value, End of Year		$	8.05			$	7.99			$	8.32			$	8.29			$	8.32


Total Return			3.91	%			(0.57	)%			2.37	%			2.42	%			11.80	%


Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	44,430			$	59,072			$	73,453			$	73,180			$	36,823
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.09	%			1.87	%			2.41	%			2.26	%			2.16	%
After expense waivers and reimbursements			2.09	%			1.87	%			2.35	%			2.26	%			2.16	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.36	%			3.46	%			2.20	%			2.62	%			4.85	%
Portfolio Turnover Rate			42	%			20	%			32	%			51	%			50	%


	STRATEGIC
	INCOME FUND CLASS I
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	7.98			$	8.31			$	8.29			$	8.32			$	7.82


Income from Investment Operations:
Net investment income¹			0.29				0.31				0.20				0.25				0.42
Net realized and unrealized gain/(loss)			0.05				(0.33	)			—				(0.03	)			0.50

Total Income/(Loss) from Investment Operations			0.34				(0.02	)			0.20				0.22				0.92



Less Distributions:
From net investment income			(0.27	)			(0.31	)			(0.18	)			(0.25	)			(0.42	)


Total Distributions			(0.27	)			(0.31	)			(0.18	)			(0.25	)			(0.42	)


Net Asset Value, End of Year		$	8.05			$	7.98			$	8.31			$	8.29			$	8.32


Total Return			4.32	%			(0.25	)%			2.49	%			2.69	%			12.08	%


Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	70,556			$	61,018			$	90,718			$	146,485			$	178,751
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.84	%			1.54	%			2.10	%			1.99	%			1.91	%
After expense waivers and reimbursements			1.84	%			1.54	%			2.10	%			1.99	%			1.91	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.64	%			3.78	%			2.37	%			3.07	%			5.18	%
Portfolio Turnover Rate			42	%			20	%			32	%			51	%			50	%


	TOTAL RETURN
	BOND FUND PLAN CLASS
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	10.20			$	10.38			$	10.07			$	10.30			$	9.95



Income from Investment Operations:
Net investment income¹			0.20				0.20				0.18				0.29				0.35
Net realized and unrealized gain/(loss)			(0.10	)			(0.07	)			0.38				(0.17	)			0.60


Total Income from Investment Operations			0.10				0.13				0.56				0.12				0.95



Less Distributions:
From net investment income			(0.20	)			(0.19	)			(0.22	)			(0.29	)			(0.38	)
From net capital gains			(0.15	)			(0.12	)			(0.03	)			(0.06	)			(0.22	)


Total Distributions			(0.35	)			(0.31	)			(0.25	)			(0.35	)			(0.60	)


Net Asset Value, End of Year		$	9.95			$	10.20			$	10.38			$	10.07			$	10.30

Total Return			1.03	%			1.33	%			5.60	%			1.30	%			9.73	%


Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	13,687,733			$	10,702,029			$	7,179,308			$	535,236			$	348,453
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.37	%			0.38	%			0.40	%			0.39	%			0.40	%
After expense waivers and reimbursements			0.37	%			0.38	%			0.39	%			0.39	%			0.39	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.01	%			1.93	%			1.77	%			2.88	%			3.42	%
Portfolio Turnover Rate			313	%			303	%			246	%			255	%			160	%


									ULTRA SHORT
	BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	4.27			$	4.29			$	4.30			$	4.31			$	4.20



Income from Investment Operations:
Net investment income¹			0.04				0.03				0.03				0.04				0.06
Net realized and unrealized gain/(loss)			0.01				(0.02	)			(0.01	)			(0.01	)			0.12


Total Income from Investment Operations			0.05				0.01				0.02				0.03				0.18



Less Distributions:
From net investment income			(0.04	)			(0.03	)			(0.03	)			(0.04	)			(0.07	)
From net capital gains			(0.01	)			—				—				—				—


Total Distributions			(0.05	)			(0.03	)			(0.03	)			(0.04	)			(0.07	)


Net Asset Value, End of Year		$	4.27			$	4.27			$	4.29			$	4.30			$	4.31


Total Return			1.14	%			0.18	%			0.42	%			0.74	%			4.26	%


Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	66,238			$	78,212			$	69,868			$	97,090			$	56,977
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.67	%			0.68	%			0.65	%			0.60	%			0.64	%
After expense waivers and reimbursements			0.50	%			0.50	%			0.50	%			0.50	%			0.50	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			0.97	%			0.66	%			0.63	%			0.92	%			1.50	%
Portfolio Turnover Rate			63	%			37	%			16	%			31	%			43	%


	UNCONSTRAINED BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2017				YEAR ENDED MARCH 31, 2016				YEAR ENDED MARCH 31, 2015				YEAR ENDED MARCH 31, 2014				YEAR ENDED MARCH 31, 2013
Net Asset Value, Beginning of Year		$	11.72			$	11.95			$	11.87			$	11.81			$	11.23


Income from Investment Operations:
Net investment income¹			0.25				0.23				0.21				0.29				0.36
Net realized and unrealized gain/(loss)			0.22				(0.23	)			0.08				0.07				0.61


Total Income/(Loss) from Investment Operations			0.47				—				0.29				0.36				0.97


Less Distributions:
From net investment income			(0.25	)			(0.23	)			(0.21	)			(0.29	)			(0.39	)
From net capital gains			(0.04	)			—				—				(0.01	)			—


Total Distributions			(0.29	)			(0.23	)			(0.21	)			(0.30	)			(0.39	)


Net Asset Value, End of Year		$	11.90			$	11.72			$	11.95			$	11.87			$	11.81


Total Return			4.11	%			(0.02	)%			2.47	%			3.09	%			9.72	%

Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	1,460,884			$	827,053			$	738,090			$	305,872			$	100,087
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.04	%²			1.04	%			1.04	%			1.04	%			1.35	%
After expense waivers and reimbursements			1.04	%			1.04	%			1.03	%			0.99	%			0.99	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.13	%			1.95	%			1.76	%			2.46	%			3.07	%
Portfolio Turnover Rate			33	%			23	%			18	%			38	%			43	%


* Level 1 -		unadjusted quoted prices in active markets for identical securities

* Level 2 -		other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

* Level 3 -		significant unobservable inputs that are not corroborated by observable market data


HIGH YIELD BOND FUND	BANK LOANS			COMMON STOCK			CORPORATES			WARRANT

Balance as of April 1, 2016	$	27,771,571	***	$	1,253,454		$	22,270,665	****	$	—
Accrued discounts/premiums		15,302			—			171,868			—
Realized (loss)		(1,239,552	)		(1,295,608	)		(1,134,910	)		—
Change in unrealized appreciation/ (depreciation)^*		9,775,330			(607,047	)		(4,464,605	)		(2,299,608	)
Purchases		(13,754,100	)		3,714,942			3,223,308			2,645,628
Sales		(13,322,967	)		(2,298,518	)		(6,912,820	)		—
Transfers into Level 3**		4,068,569			—			—			—
Transfers out of Level 3**		—			—			—			—


Balance as of March 31, 2017	$	13,314,153		$	767,223		$	13,153,506		$	346,020


INTERMEDIATE BOND FUND	BANK LOANS			CORPORATES				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016		$	—		$	283,594			$	682,507
Accrued discounts/premiums			529			—				(18,932	)
Realized (loss)			—			—				—
Change in unrealized appreciation/ (depreciation)^*			465			(96,145	)			(124,812	)
Purchases			3,196,014			—				—
Sales			—			(11,350	)			—
Transfers into Level 3^**			—			—				—
Transfers out of Level 3^**			—			—				—


Balance as of March 31, 2017		$	3,197,008		$	176,099			$	538,763


STRATEGIC INCOME FUND	ASSET-BACKED SECURITIES				BANK LOANS				COMMON STOCK				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016		$	402,078			$	—	***		$	26,821			$	1,005,180
Accrued discounts/premiums			359				—				—				35,913
Realized (loss)			—				(107,166	)			(49,476	)			(127,621	)
Change in unrealized appreciation/ (depreciation)^*			(135,501	)			107,166				79,120				(164,063	)
Purchases			—				—				—				830,370
Sales			—				—				(56,465	)			(216,961	)
Transfers into Level 3**			—				—				—				—
Transfers out of Level 3**			—				—				—				—


Balance as of March 31, 2017		$	266,936			$	—			$	—			$	1,362,818


TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES			BANK LOANS			CORPORATES			MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016	$	28,370,192		$	52,190,000		$	65,454,924		$	26,027,198
Accrued discounts/premiums		—			252			400,628			(835,600	)
Realized gain		—			—			780,395			—
Change in unrealized (depreciation)^*		(12,028,720	)		(91,487	)		(11,884,154	)		(4,437,901	)
Purchases		—			2,996,087			6,644,825			—
Sales		—			—			(23,119,698	)		—
Transfers into Level 3^**		—			—			—			—
Transfers out of Level 3^**		—			—			—			—


Balance as of March 31, 2017	$	16,341,472		$	55,094,852		$	38,276,920		$	20,753,697


ULTRA SHORT BOND FUND	MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016	$	49,149
Accrued discounts/premiums		(4,325	)
Realized (loss)		—
Change in unrealized (depreciation)^*		(4,315	)
Purchases		—
Sales		—
Transfers into Level 3^**		—
Transfers out of Level 3^**		—


Balance as of March 31, 2017	$	40,509


	REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	LOW DURATION BOND FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND

Interest contracts:
Futures		$	(1,770,827)		$	82,099		$	(107,845,039)		$	—		$	5,390,149
Options and swaptions written			—			—			9,851,514			—			—
Swap contracts			—			—			(20,460,483)			—			—
Foreign currency exchange contracts:
Forwards			1,699,883			86,808			44,457,784			75,570			1,619,895


Total		$	(70,944)		$	168,907		$	(73,996,224)		$	75,570		$	7,010,044


	CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ALPHATRAK 500 FUND				FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND

Credit contracts:

Swaps		$	—			$	—		$	(1,736,378)		$	—

Equity contracts:

Futures¹			(194,056	)			—			—			—

Interest contracts:

Futures¹			—				—			—			161,953

Foreign currency exchange contracts:

Forwards			—				(249,599)			113,833			(569,032)


Total		$	(194,056)			$	(249,599)		$	(1,622,545)		$	(407,079)