N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number                  811-07989                         

                               Metropolitan West Funds                            

(Exact name of registrant as specified in charter)

865 South Figueroa Street

                                           Los Angeles, CA 90017                                      

(Address of principal executive offices) (Zip code)

David B. Lippman

Metropolitan West Funds

865 South Figueroa Street

                                       Los Angeles, CA 90017                                      

(Name and address of agent for service)

Registrant’s telephone number, including area code:  (213) 244-0000

Date of fiscal year end:  March 31

Date of reporting period:  March 31, 2021

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

(a) Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1)

The Report to Shareholders is attached herewith.

Paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.tcw.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. You can call 1-800-241-4671, if you invest directly with the Fund, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Fund or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held directly with TCW or through your financial intermediary.

Metropolitan West Funds	March 31, 2021
Table of Contents

Letter to Shareholders	1
Fund Performance	13
Disclosure of Fund Expenses (Unaudited)	20
Summary of Portfolio Holdings	23
Schedule of Portfolio Investments	26
AlphaTrak 500 Fund	26
Corporate Bond Fund	36
Flexible Income Fund	46
Floating Rate Income Fund	68
High Yield Bond Fund	82
Intermediate Bond Fund	91
Investment Grade Credit Fund	105
Low Duration Bond Fund	115
Strategic Income Fund	131
Total Return Bond Fund	139
Ultra Short Bond Fund	187
Unconstrained Bond Fund	198
Statements of Assets and Liabilities	224
Statements of Operations	228
Statements of Changes in Net Assets	232
Financial Highlights	238
Notes to Financial Statements	267
Report of Independent Registered Public Accounting Firm	313
Tax Information Notice (Unaudited)	315
Liquidity Risk Management Program (Unaudited)	316
Privacy Policy	317
Management Information	319

METROPOLITAN WEST FUNDS

Dear Fellow Shareholder,

Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Annual Report for the Funds for the period ended March 31, 2021. During the reporting period, overall assets across the complex increased to approximately $95 billion, which we are gratified to see - particularly against a backdrop of rising rates and COVID-19 uncertainty.

The March 31, 2021 Annual Report covers the following Metropolitan West Funds:

Metropolitan West AlphaTrak 500 Fund	M-Class (MWATX)
Metropolitan West Corporate Bond Fund	M-Class (MWCSX), I-Class (MWCBX)
Metropolitan West Flexible Income Fund	M-Class (MWFSX), I-Class (MWFEX)
Metropolitan West Floating Rate Income Fund	M-Class (MWFRX), I-Class (MWFLX),
	Plan-Class (MWFPX)
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 Investment Grade Credit Fund	M-Class (MWISX), I-Class (MWIGX)
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),
	I-2-Class (MWTTX),
	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),
	Plan-Class (MWCPX)

Economic Review and Market Environment

Before turning the calendar over from 2020, investors had to marvel on reflection at the year that had been: a tragic and economy-crushing pandemic led to a sharp market downturn through March, after which a cascade of Federal Reserve liquidity and Congressional commitments sent markets soaring. Even with the ongoing uncertainty, higher prices nearly everywhere betrayed few worries, notwithstanding widespread cash flow disruptions and some rethinking of basic business premises in certain industries. Cut to 2021 and, at least in the U.S. Treasury market (and those priced therefrom), an apparent fear of overstimulation materialized, leading to a sustained rise in rates and a steepened yield curve over the first quarter. Among the drivers were a recasting of inflationary expectations and a steady emergence from lockdowns, the latter precipitated by an ever-expanding rollout and administration of COVID-19 vaccines. The former, unsurprisingly, gained momentum on Fed representations to maintain a “lower for longer” accommodation on the funds rate, while signaling no premature curb to its asset purchases - the “mistake” that spurred 2013’s Taper Tantrum that punished equities and bonds alike. In the here and now, however, worries over rising prices are still just that - worries - as economic data remains mixed. In particular, labor markets are challenged, despite the dip in aggregate unemployment to 6.5%. The economy is still over eight million jobs below its pre-pandemic level, the labor force participation rate has not risen for months and, intuitively, it’s not especially hard to envision things not coming back as they were in some places. Simultaneously, it’s impossible to imagine an overall pace of growth that doesn’t exceed last year, and the ISM manufacturing index corroborated that in February with its highest print in three years.

Turning toward the return profile for risk assets, just a year after the S&P 500 Index sold off 34% over a five-week period, equities subsequently rallied back over 70% from March 2020 troughs. Even with increased volatility in the first quarter of 2021, the S&P 500 was up over 56% on a year-over-year basis. Meanwhile, fixed income total returns were mixed, as the Treasury yield curve experienced pronounced steepening, with yields for maturities less than two years remaining anchored near zero (and even declining) while 10- and 30-Year yields both increased nearly 110 bps. Against this backdrop, the Bloomberg Barclays U.S. Aggregate Index returned approximately 0.7% during the trailing one-year period, weighed down in particular by a 3.4% loss in the opening three months of 2021 (its fourth worst quarterly return in some 45 years of tracking). Notably, fixed income spread sectors generally experienced a significant decline in yield premiums from last March and outpaced Treasuries on a duration-adjusted basis as spread sectors were buoyed by optimism around vaccine deployment and economic reopening. Investment grade corporates did particularly well during the period, with an 8.7% total return led by industrial sectors such as energy, basic industry and transportation. Despite massive issuance levels, investor demand remained persistent as reflected by inflows into the asset class, leading to over 180 bps of spread compression. High yield credit delivered even more impressive returns, up 23.7% on a year-over-year basis with spreads tightening by nearly 570 bps. Notably, lower-rated CCC credits handily outpaced BB- and B-rated issues on both a total and excess return basis during the period, with fewer and fewer instances of bonds trading below par.

1 / Annual Report March 2021

Meanwhile, agency mortgage-backed securities (MBS) was a lagging fixed income sector, with marginally negative total returns for the trailing one-year period as rate volatility weighed on mortgage performance (particularly for low coupon issues carrying longer duration). Elsewhere in securitized, commercial mortgage-backed securities (CMBS) fared better with a 4.4% gain led by non-agency backed issues. Similarly, asset-backed securities (ABS) were up approximately 4.6%, as substantial policy support has kept the consumer afloat, which has translated to improving delinquencies and loss rates in many parts of the consumer ABS market. Finally, non-agency residential MBS remained attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, delivering consistently positive returns for the past year after weakness in early 2020.

The Economy and Market Ahead

The accelerating pace of COVID-19 vaccinations is stoking optimism with respect to the economic reopening process and permitting a relaxation of most U.S. jurisdictions’ restrictions, leading to upward revisions to GDP expectations for 2021. That rosier outlook aside, the pandemic has fundamentally challenged the economy, markets, policy, and our day-to-day lives. Unprecedented levels of policy stimulus and monetary accommodation have overwhelmed the economy and markets with liquidity, allowing households and businesses to stay afloat through deep uncertainty. While the path to a post-pandemic “new normal” is not entirely clear, it seems unavoidable that there will be permanent impairment in certain industries. Furthermore, the fact that current valuations are dependent on policy support is indisputable, making the market susceptible to potential headwinds such as an eventual pullback by the Fed. Investors should not overlook the fundamental challenges that remain, particularly for an economy increasingly dependent on an environment of low interest rates, given the amount of debt servicing costs from the uptick in leverage.

Data sources for the discussion above include Barclays, Bloomberg, JPMorgan and Merrill Lynch.

Fund Performance Commentary

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 Funds’ website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in a Fund, when redeemed, may be worth more or less than its original purchase cost.

Metropolitan West AlphaTrak 500 Fund

(MWATX)

For the one year period ending March 31, 2021, the MetWest AlphaTrak 500 Fund (“Fund”) gained 60.83% (net of fees), outperforming the S&P 500 Index (“Index”) by nearly 448 bps. The strategy implementation of the MetWest AlphaTrak 500 Fund utilizes S&P 500 futures and/or total return swaps to effectively replicate the performance profile of the underlying index, i.e., beta. The collateral – portfolio value less initial margin – is then managed in a short-term fixed income portfolio for which the goal is to outperform the financing rate of the futures or swaps implemented to gain the portfolio’s beta exposure. Amid better inoculation logistics and an improved economic outlook, supported by fiscal and monetary stimulus, corporate credit continued to recover from last year’s COVID-related volatility. Outperformance was due in part to the Fund’s allocation to the sector, with the biggest contributions coming from banking, finance companies, automotive, non-cyclicals like pharma and healthcare, midstream and independent energy, healthcare real estate investment trusts (REITs), and gaming. Additional gains can be attributed to opportunistic credit additions made during the March 2020 volatility at very attractive entry points and subsequent trimming amid spread remediation, as well as the small allocation to high yield corporates as the sector outperformed investment grade fixed income. Positioning among securitized products was also beneficial to returns, particularly floating rate holdings like non-agency MBS, collateralized loan obligations (CLOs), and FFELP student loan ABS, with non-agency MBS supported by the continued attractiveness of strong housing fundamentals, declining forbearance rates, and reduced supply, while ABS generally benefitted from policy support that has helped to keep the consumer afloat. Further contributions came from CMBS holdings, including IOs (interest only) which benefit in a rising rate environment as aggregate cash flows improve, while agency MBS holdings focused on lower coupon TBAs (to be announced) detracted as these typically longer duration issues saw prices fall due to the interest rate volatility. Finally, the duration position of the Fund was maintained at a relatively low level, but extended in a disciplined fashion as rates marched higher throughout the period, weighing on performance.

Given historically low yield spreads and outstanding risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, the Fund’s exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy added current coupon agency MBS TBAs given attractive financing rates; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a

Annual Report March 2021 / 2

collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, while the Fund’s exposure is focused on higher quality agency backed issues as well as seasoned private label CMBS at the top of the capital structure and single asset single borrower (SASB) deals, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Finally, the Fund maintains a sizable allocation to government and cash bonds, despite low rates, as a buffer given the potential for equity volatility.

	Performance Through March 31, 2021
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	19.51%	60.83%	17.02%	17.91%	14.79%	7.97%
S&P 500 Index	19.07%	56.35%	16.76%	16.28%	13.90%	7.66%

Metropolitan West Corporate Bond Fund

M-Class (MWCSX), I-Class (MWCBX)

For the one year period ending March 31, 2021, the MetWest Corporate Bond Fund – I Class (“Fund”) gained 7.81% (net of fees), trailing the Bloomberg Barclays U.S. Corporate Index by approximately 92 bps. The underweight to corporate credit was the largest drag on performance as spreads tightened in amid better inoculation logistics and an improved economic outlook. In particular, relative returns were weighed down by the underweight to top performing industrials such as basic industry and energy. However, this drag was offset by strong issue selection within the sector, led by communications, gaming, healthcare, tobacco, midstream energy, and finance company names as these were among the better performing areas in the Index. Meanwhile, the off-Index position in securitized products also was a large driver of outperformance, led by favorable issue selection among senior CMBS. Further contributions came from residential MBS and ABS holdings, with the latter benefiting from government support that helped keep the consumer afloat during the pandemic. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.

Given historically tight spreads and abundant risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture. The focus among credit continues to be on defensive sectors (non-cyclicals and communications) that offer more stability through volatility while the team also emphasizes selective idiosyncratic opportunities. The largest underweight remains in the industrials space, which continues to avoid more risk sensitive sectors like basic industries and technology, as well as consumer cyclical sectors, in favor of communications and healthcare within consumer non-cyclicals. Among financials, the emphasis is on finance companies, REITS and segments of the insurance sector, while banking is an underweight. High yield credit exposure is minimal, though the team anticipates further opportunities to add more substantially to high yield exposures if volatility materializes. Finally, among non-corporate credit, the Fund emphasizes high quality taxable municipal bonds, while the securitized products exposure is minimal, and focused on high quality, more defensive holdings generally at the top of the capital structure across MBS and CMBS, with some potential to move down the capital structure as opportunities arise.

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)	3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWCSX (Inception: June 29, 2018)		-1.36%	7.55%		—		—		—	8.92%
Bloomberg Barclays U.S. Corporate Index		-1.74%	8.73%		—		—		—	7.15%
MWCBX (Inception: June 29, 2018)		-1.24%	7.81%		—		—		—	9.19%
Bloomberg Barclays U.S. Corporate Index		-1.74%	8.73%		—		—		—	7.15%

Metropolitan West Flexible Income Fund

M-Class (MWFSX), I-Class (MWFEX)

For the one year period ending March 31, 2021, the MetWest Flexible Income Fund – I Class (“Fund”) gained 10.83% (net of fees), outperforming the Bloomberg Barclays U.S. Aggregate Index (“Index”) by over 1,012 bps. Amid better inoculation logistics and an improved economic outlook, supported by fiscal and monetary stimulus, corporate credit continued to recover from last year’s COVID-related volatility. The Fund started the period overweight the sector but the position was subsequently trimmed

3 / Annual Report March 2021

to underweight as yield premiums declined, resulting in a drag on performance. This drag, however, was more than offset by favorable issue selection among corporate credit, particularly the preference for communications, gaming, healthcare, tobacco, midstream energy, and finance companies as these were among the better performing areas in the Index. Additional gains came from opportunistic credit additions made during the March 2020 volatility at very attractive entry points and subsequent trimming amid spread remediation. An out-of-Index allocation to high yield corporates was a slight tailwind as the sector outperformed investment grade fixed income, while the overweight (albeit reduced to an underweight in early 2021) to municipal debt contributed as municipals saw yield premiums contract amid ongoing recovery from March 2020 levels. In securitized, a strong housing backdrop rewarded residential sectors, with non-agency MBS bolstering returns, especially bonds backed by subprime collateral, while the emphasis on production coupon agency MBS TBAs provided an additional boost given the significant sponsorship by the Fed and outperformance of TBAs versus pools, notwithstanding a drag toward the latter part of the period given rate volatility. Commercial MBS contributed to relative performance as yield premiums declined, particularly among agency CMBS which were trimmed to fund the aforementioned credit purchases as yield spreads reached historically low levels. Additionally, an overweight to ABS was beneficial as many of the consumer segments performed well amid government support that helped keep the consumer afloat during the pandemic. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.

Given historically rich pricing and evident risks the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, holdings are focused on non-agency collateral, particularly high quality seasoned conduit deals and single asset single borrower (SASB) issues, while opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Lastly,though currently a small position, emerging market debt issues are add candidates on cheaper entry points.

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWFSX (Inception: November 30, 2018)		2.74%		10.89%		—		—		—		13.47%
Bloomberg Barclays U.S. Aggregate Bond Index		-2.73%		0.71%		—		—		—		6.17%
MWFEX (Inception: November 30, 2018)		2.85%		10.83%		—		—		—		13.58%
Bloomberg Barclays U.S. Aggregate Bond Index		-2.73%		0.71%		—		—		—		6.17%

Metropolitan West Floating Rate Income Fund

M-Class (MWFRX), I-Class (MWFLX), Plan-Class (MWFPX)

For the one year period ending March 31, 2021, the MetWest Floating Rate Income Fund – I Class (“Fund”) gained 14.52% (net of fees), but lagged the S&P/LSTA Leveraged Loan Index (“Index”) by 619 bps. Although the Fund benefited from a defensive orientation during the earlier part of the period as those with more market risk underperformed amid the health crisis, this stance weighed on relative return for the overall period as cyclicals, metals/minerals, and energy led loans on vaccine progress, higher inflation expectations, and a better economic outlook toward the latter part of the period. Illustratively, energy surged by around 50%, while the more defensive utility sector returned 13%. Also detracting was an overweight to more conservative sectors like certain non-cyclicals and packaging as these industries lagged the Index. Slightly benefiting returns, however, was an overweight to gaming, which modestly outpaced the overall loan market, while issue selection within banking provided additional gains amid a steeper curve that benefits net interest margins for the industry. Finally, an up-in-quality emphasis held back performance due to the outperformance by lower-rated loans.

Given weak discount margins for ongoing risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, allocations continue to emphasize high conviction names and defensive

Annual Report March 2021 / 4

industries such as communications, non-cyclicals (especially healthcare), senior secured gaming, and select packaging, while remaining cautious of those with more market risk like cyclicals, energy, basic industry, transportation, and technology. Financials remain an underweight overall; within financials, however, the exposure to banking and finance companies is an overweight. Banking remains compelling given strong balance sheets, with the sector benefiting from a steeper yield curve that boosts net interest margins, while finance companies should gain from a resumption of economic activity as COVID-19 restrictions ease. In utilities, the small allocation consists of an overweight to utility servicers and an underweight to electric. Finally, on a quality basis, current valuation in lower-rated loans is frothy with overly optimistic assumptions, informing an emphasis on higher quality, though the strategy remains opportunistic and will look to take advantage of bouts of volatility and increase the exposure to lower-rated cohorts should attractive entry points present themselves.

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWFRX (Inception: June 28, 2013)		3.79%		14.30%		3.57%		4.08%		—		3.64	%
S&P/LSTA Leveraged Loan Index		5.66%		20.71%		4.12%		5.26%		—		4.07	%
MWFLX (Inception: June 28, 2013)		3.89%		14.52%		3.81%		4.29%		—		3.85	%
S&P/LSTA Leveraged Loan Index		5.66%		20.71%		4.12%		5.26%		—		4.07	%
MWFPX (Inception: January 29, 2021)		—		—		—		—		—		0.31	% 1
S&P/LSTA Leveraged Loan Index		—		—		—		—		—		0.59	%

¹ Non-annualized. Cumulative return for the Plan Class during the period of January 29, 2021 through March 31, 2021.

Metropolitan West High Yield Bond Fund

M-Class (MWHYX), I-Class (MWHIX)

The MetWest High Yield Bond Fund – I Class (“Fund”) returned 18.56% (net of fees) for the one-year period ended March 31, 2021, trailing the return of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index by approximately 509 bps, largely due to an underweight to lower quality credits. As spread products recovered from the depths of the pandemic weakness, investors moved out the risk spectrum to capture yield, leading to strong sponsorship of lower quality issues during the period. CCC-rated issues were up over 33%, handily outpacing the 21.6% and 22.4% gains posted by B- and BB-rated cohorts, respectively, which weighed on the Fund’s underweight. A further drag came from an underweight to top performing industrials such as energy and consumer cyclicals such as retail and lodging, which benefitted from stimulus measures and an easing of economic restrictions. Instead, the Fund continued to focus on more defensive sectors such as communications and consumer non-cyclicals, which trailed the broader Index during the period. From an issue selection perspective, Fund holdings within the communications and consumer non-cyclical space generally trailed those held in the Index, while the underweight exposure to various top performing energy credits also weighed on returns. Outside of corporates, the off-Index exposure (albeit shrinking) to floating rate holdings within the non-agency MBS space contributed to returns, as the sector was supported by the continued fundamental attractiveness of strong housing fundamentals, declining forbearance rates, and reduced supply. Finally, as rates moved off their historic lows hit last March (the 10-Year was 107 bps higher year-over-year), the relatively short duration position rewarded performance.

Given insufficient yield compensation for ongoing risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. Along those lines, we believe prospective returns for the lowest quality bonds (i.e., the CCC and below rated cohort) are particularly vulnerable to an adverse shock as discount has largely evaporated from the marketplace. Only fifteen individual CUSIPs were trading below $70 as of end-March 2021, implying that the broader market is pricing in little to no downside risk, and thus informing the Fund’s significant underweight to CCCs. In terms of sector positioning, the Fund continues to conduct relative value trades with an overall emphasis on what are viewed as more resilient, defensive areas of the market such as non-cyclical, recession-resistant sectors (such as communications and consumer non-cyclicals) while financial, retail and select leisure credits represent a relative underweight. Given expectations for episodic market volatility, prospective performance gains are likely to be less attributable to market beta and more the result of credit-specific alpha, informing the continued focus on security selection and fundamental credit underwriting to minimize principal loss. Finally, the Fund’s duration positioning ended the quarter at approximately 0.5 years shorter than the benchmark as Treasury rates remain near historic lows.

5 / Annual Report March 2021

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception  (Annualized)
MWHYX (Inception: September 30, 2002)		4.84%		18.14%	7.62%	7.02%	5.00%	8.14%
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index		7.35%		23.65%	6.82%	8.04%	6.47%	8.67%
MWHIX (Inception: March 31, 2003)		4.97%		18.56%	7.89%	7.29%	5.27%	7.61%
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index		7.35%		23.65%	6.82%	8.04%	6.47%	8.11%

Metropolitan West Intermediate Bond Fund

M-Class (MWIMX), I-Class (MWIIX)

For the one year period ending March 31, 2021, the MetWest Intermediate Bond Fund – I Class (“Fund”) gained 4.76% (net of fees), outperforming the Bloomberg Barclays Intermediate U.S. Government/Credit Index (“Index”) by 275 bps. Amid better inoculation logistics and an improved economic outlook, supported by fiscal and monetary stimulus, corporate credit continued to recover from last year’s COVID-related volatility. An overweight to the sector early in the period benefitted returns, and the position was subsequently trimmed as yield premiums declined. Issue selection among corporate credit was also significant to the Fund’s outperformance, particularly the preference for communications, gaming, healthcare, tobacco, midstream energy, and finance companies as these were among the better performing areas in the Index. Additional gains came from opportunistic credit additions made during the March 2020 volatility at very attractive entry points and subsequent trimming amid spread remediation. An out-of-Index allocation to high yield corporates was a slight tailwind as the sector outperformed investment grade fixed income, while the overweight (albeit shrinking) to municipal debt contributed as municipals saw yield premiums contract amid ongoing recovery from March 2020 levels. In securitized, a strong housing backdrop rewarded residential sectors, with non-agency MBS bolstering returns, especially bonds backed by subprime collateral, while the emphasis on production coupon agency MBS TBAs provided an additional boost given the significant sponsorship by the Fed and outperformance of TBAs versus pools, notwithstanding a drag toward the latter part of the period given rate volatility. Commercial MBS contributed to relative performance as yield premiums declined, particularly among agency CMBS which were trimmed to fund the aforementioned credit purchases as yield spreads reached historically low levels. Additionally, an overweight to ABS was beneficial as many of the consumer segments performed well amid government support that helped keep the consumer afloat during the pandemic. Another boost to returns came from treasury inflation-protected securities (TIPS), attributable to higher inflation expectations toward the latter half of the period, though the position was trimmed in the fourth quarter of 2020. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.

Given historically low yield spreads and ongoing risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures in single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields.

Annual Report March 2021 / 6

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception  (Annualized)
MWIMX (Inception: June 30, 2003)		-0.42%		4.63%		4.68%		2.91%		3.19%		4.24%
Bloomberg Barclays Intermediate U.S. Government/ Credit Index		-1.39%		2.01%		4.35%		2.75%		2.88%		3.45%
MWIIX (Inception: June 28, 2002)		-0.41%		4.76%		4.88%		3.13%		3.43%		5.05%
Bloomberg Barclays Intermediate U.S. Government/ Credit Index		-1.39%		2.01%		4.35%		2.75%		2.88%		3.83%

Metropolitan West Investment Grade Credit Fund

M-Class (MWISX), I-Class (MWIGX)

For the one year period ending March 31, 2021, the MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 8.20% (net of fees), outpacing the Bloomberg Barclays U.S. Intermediate Credit Index by approximately 81 bps. The underweight to corporate credit was the largest drag on performance as spreads tightened in amid better inoculation logistics and an improved economic outlook. In particular, relative returns were weighed down by the underweight to top performing industrials such as basic industry and energy. However, this drag was offset by strong issue selection within the sector, led by communications, gaming, healthcare, tobacco, midstream energy, and finance company names as these were among the better performing areas in the Index. A modest out-of-Index allocation to high yield corporates was a slight tailwind as the sector outperformed investment grade fixed income with a nearly 24% total return profile, while the exposure (albeit shrinking) to municipal debt contributed as municipals saw yield premiums contract amid ongoing recovery from March 2020 wides. An off-Index position in securitized products also benefitted the Fund, led by favorable issue selection among senior CMBS. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.

Given historically tight spreads and abundant risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture. The focus among credit continues to be on defensive sectors (non-cyclicals and communications) that offer more stability through volatility while the team also emphasizes selective idiosyncratic opportunities. Within securitized, the focus remains on high quality, more defensive holdings generally at the top of the capital structure across ABS and CMBS, with some potential to move down the capital structure as opportunities arise. Finally, among residential MBS, the strategy continues to hold well-structured agency MBS as well as legacy non-agency MBS, which remains attractive from a collateral perspective.

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception  (Annualized)
MWISX (Inception: June 29, 2018)		0.52%		7.97%		—		—		—		7.92%
Bloomberg Barclays U.S. Intermediate Credit Index		-0.56%		7.39%		—		—		—		5.71%
MWIGX (Inception: June 29, 2018)		0.63%		8.20%		—		—		—		8.15%
Bloomberg Barclays U.S. Intermediate Credit Index		-0.56%		7.39%		—		—		—		5.71%

Metropolitan West Low Duration Bond Fund

M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)

The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 4.12% (net of fees) for the one year period ending March 31, 2021, outpacing the ICE BofA 1-3 Year U.S. Treasury Index (“Index”) by 388 bps. Bolstering performance was the corporate credit allocation as the sector rebounded from COVID volatility, attributable to legislative support and vaccine developments. In particular, performance benefited from the opportunistic additions made at very attractive entry points then subsequent trimming as corporate spreads remediated over the remainder of the year. Notable contributors were issues selected within banking, finance companies, food & beverage, healthcare, midstream, automotive, and pharmaceuticals. Away from corporates, the emphasis on low coupon agency MBS was a detractor overall, mainly from the latter part of the period when higher rates weighed on the sector, though a bias for TBAs offset some of this drag given their higher running yield versus pools (due to the Fed’s sizable sponsorship). Additional gains derived from the allocation to agency MBS collateralized mortgage obligations (CMOs) with

7 / Annual Report March 2021

relatively stable duration profiles. Providing a boost to returns, meanwhile, was non-agency MBS, especially those backed by subprime, as the sector recovered from the volatility last March, sustained by strong housing fundamentals (i.e., robust home price appreciation) and limited supply. CMBS and ABS, finding some support from government stimulus programs, added to performance, with floating rate segments like government-guaranteed student loans particularly beneficial amid the backup in rates. Finally, a short duration profile reined in returns as rates hit historic lows, with the exposure extended in a disciplined manner during first quarter of 2021 on mounting inflation expectations, while exposures further out the curve further held back performance as the yield curve steepened.

Given historically low yield spreads and outstanding risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, credit exposure continues to emphasize high conviction names and defensive sectors such as communications and non-cyclicals, particularly healthcare and pharmaceuticals, as well as regulated banking given strong balance sheets, while remaining cautious of cyclical industries and non-corporate credit (though a small allocation to municipals is maintained, and emerging market debts are add candidates on cheaper entry points). Within securitized, the strategy continues to prefer current coupon agency MBS TBAs, which remain attractive given the relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains compelling from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures and single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLOs, with possible additions in well-collateralized AA-rated issues offering good yields.

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception  (Annualized)
MWLDX (Inception: March 31, 1997)		0.43%		3.91%		2.92%		2.09%		2.14%		3.56%
ICE BofA 1-3 Year U.S. Treasury Index		—		0.24%		2.77%		1.71%		1.29%		3.15%
MWLIX (Inception: March 31, 2000)		0.53%		4.12%		3.09%		2.31%		2.34%		3.26%
ICE BofA 1-3 Year U.S. Treasury Index		—		0.24%		2.77%		1.71%		1.29%		2.79%
MWLNX (Inception: September 22, 2009)		0.49%		3.83%		2.80%		2.00%		2.01%		3.13%
ICE BofA 1-3 Year U.S. Treasury Index		—		0.24%		2.77%		1.71%		1.29%		1.34%

Metropolitan West Strategic Income Fund

M-Class (MWSTX), I-Class (MWSIX)

Despite a headwind of rising interest rates, the MetWest Strategic Income Fund – I Class (“Fund”) gained 14.19% (net of fees), over 1,207 bps ahead of the ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps. Outperformance was largely driven by the allocation to corporate credit, particularly leading industrials within the investment grade space such as energy and transportation which benefitted from a rebound in economic activity. Favorable issue selection also came from finance companies, insurance, and REITs. Given the considerable rally for high yield credit (the sector was up an impressive 23.7% for the year), the portfolio’s exposure there was also beneficial. Further contributions came from the small position in emerging markets debt as the sector benefitted from optimism regarding accommodative global policies. Within the securitized space, exposure to legacy non-agency MBS rewarded returns as the sector continued to remediate from losses in the first quarter of 2020, supported by strong housing fundamentals, declining forbearance rates, and reduced supply. CMBS holdings and government-guaranteed student loan holdings within ABS also contributed, with the latter generally benefitting from policy support that has helped keep the consumer afloat. Finally, the duration position was extended over the course of the year, from 1.7 years to 2.4 years, weighing on performance as Treasury rates rose, with the 10-Year yield increasing by approximately 107 bps year-over-year.

Given historically low yield spreads and abundant risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer legacy non-agency MBS, which remains attractive from a collateral perspective while having the added benefit of having largely floating rate coupons if rates continue to rise. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures in single asset single borrower

Annual Report March 2021 / 8

(SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Lastly,though currently a small position, emerging market debt issues are add candidates on cheaper entry points.

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception  (Annualized)
MWSTX (Inception: June 30, 2003)		4.00%		14.14%		4.17%		3.84%		3.59%	4.19%
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps		1.05%		2.12%		3.52%		3.20%		2.64%	3.34%
MWSIX (Inception: March 31, 2004)		4.13%		14.19%		4.41%		4.09%		3.84%	3.71%
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps		1.05%		2.12%		3.52%		3.20%		2.64%	3.36%

Metropolitan West Total Return Bond Fund

M-Class (MWTRX), I-Class (MWTIX), I-2-Class (MWTTX), Administrative-Class (MWTNX), Plan-Class (MWTSX)

For the one year period ending March 31, 2021, the MetWest Total Return Bond Fund – I Class (“Fund”) gained 3.54% (net of fees), outperforming the Bloomberg Barclays U.S. Aggregate Bond Index (“Index”) by over 283 bps. Amid better inoculation logistics and an improved economic outlook, supported by fiscal and monetary stimulus, corporate credit continued to recover from last year’s COVID-related volatility. An overweight to the sector early in the period benefitted returns, and the position was subsequently trimmed as yield premiums declined. Issue selection among corporate credit was also significant to the Fund’s outperformance, particularly the preference for communications, gaming, healthcare, tobacco, midstream energy, and finance companies as these were among the better performing areas in the Index. Additional gains came from opportunistic credit additions made during the March 2020 volatility at very attractive entry points and subsequent trimming amid spread remediation. An out-of-Index allocation to high yield corporates was a slight tailwind as the sector outperformed investment grade fixed income, while the overweight (albeit shrinking) to municipal debt contributed as municipals saw yield premiums contract amid continuing recovery from March 2020. In securitized, a strong housing backdrop rewarded residential sectors, with non-agency MBS bolstering returns, especially bonds backed by subprime collateral, while the emphasis on production coupon agency MBS TBAs provided an additional boost given the significant sponsorship by the Fed and outperformance of TBAs versus pools, notwithstanding a drag toward the latter part of the period given rate volatility. Commercial MBS had minimal impact on performance and was trimmed to fund the aforementioned credit purchases, while an overweight to ABS was beneficial as many of the consumer segments performed well amid government support that helped keep the consumer afloat during the pandemic. Another boost to returns came from TIPS, attributable to higher inflation expectations toward the latter half of the period, though the position was trimmed in the fourth quarter of 2020. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.

Given historically rich pricing and evident risks, the strategy has dollar-cost averaged into a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures in single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Lastly, though currently a small position, emerging market debt issues are add candidates on cheaper entry points.

9 / Annual Report March 2021

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception  (Annualized)
MWTRX (Inception: March 31, 1997)		-1.86%		3.31%		5.22%		3.44%		4.04%	6.01%
Bloomberg Barclays U.S. Aggregate Bond Index		-2.73%		0.71%		4.65%		3.10%		3.44%	5.09%
MWTIX (Inception: March 31, 2000)		-1.75%		3.54%		5.46%		3.67%		4.27%	5.87%
Bloomberg Barclays U.S. Aggregate Bond Index		-2.73%		0.71%		4.65%		3.10%		3.44%	4.86%
MWTTX (Inception: March 6, 2020)		-1.80%		3.65%		—		—		—	0.58%
Bloomberg Barclays U.S. Aggregate Bond Index		-2.73%		0.71%		—		—		—	0.11%
MWTNX (Inception: December 18, 2009)		-1.91%		3.19%		5.10%		3.32%		3.89%	4.48%
Bloomberg Barclays U.S. Aggregate Bond Index		-2.73%		0.71%		4.65%		3.10%		3.44%	3.57%
MWTSX (Inception: August 1, 2011)		-1.67%		3.65%		5.56%		3.76%		—	4.17%
Bloomberg Barclays U.S. Aggregate Bond Index		-2.73%		0.71%		4.65%		3.10%		—	3.15%

Metropolitan West Ultra Short Bond Fund

M-Class (MWUSX), I-Class (MWUIX)

The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 1.43% (net of fees) for the one year period ending March 31, 2021, outpacing the ICE BofA 1-Year U.S. Treasury Index (“Index”) by 126 bps. Bolstering performance was the corporate credit allocation as the sector rebounded from COVID volatility, attributable to legislative support and vaccine developments. In particular, performance benefited from the opportunistic additions made at very attractive entry points then subsequent trimming as corporate bond prices appreciated over the remainder of the year. Notable contributors were issues selected within banking, finance companies, automotive, and pharmaceuticals. Away from corporates, the emphasis on low coupon agency MBS was a detractor overall, mainly from the latter part of the period when higher rates weighed on the sector, though a bias for TBAs offset some of this drag given their higher running yield versus pools (due to the Fed’s sizable sponsorship). Additional gains derived from the allocation to agency MBS CMOs with relatively stable duration profiles. Providing a boost to returns, meanwhile, was non-agency MBS, especially those backed by subprime, as the sector recovered from the volatility last March, sustained by strong housing fundamentals (i.e., robust demand for homes, particularly suburban) and limited supply. CMBS and ABS, finding some support from government stimulus programs, modestly added to performance, with floating rate segments like government-guaranteed student loans particularly beneficial amid the backup in rates. Finally, a short duration profile reined in returns as rates hit historic lows, with the exposure extended in a disciplined manner during first quarter of 2021 on mounting inflation expectations, while exposures further out the curve further held back performance as the yield curve steepened.

Given historically low yield spreads and outstanding risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, credit exposure continues to emphasize high conviction names and defensive sectors such as utilities and non-cyclicals, particularly healthcare and pharmaceuticals, as well as regulated banking given strong balance sheets, while remaining cautious of cyclical industries and non-corporate credit (though a small allocation to municipals is maintained, and emerging market debts are add candidates on cheaper entry points). Within securitized, the strategy continues to prefer current coupon agency MBS TBAs, which remain attractive given the relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Meanwhile, an allocation to well-structured CMOs is maintained given relatively stable duration profiles. Legacy non-agency MBS remains compelling from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures and single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions in well-collateralized AA-rated issues offering good yields.

Annual Report March 2021 / 10

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception  (Annualized)
MWUSX (Inception: June 30, 2003)		-0.04%		1.03%		1.75%		1.41%		1.36%	1.82%
ICE BofA 1-Year U.S. Treasury Index		0.12%		0.17%		2.14%		1.52%		0.92%	1.66%
MWUIX (Inception: July 31, 2004)		0.04%		1.43%		1.91%		1.58%		1.52%	1.68%
ICE BofA 1-Year U.S. Treasury Index		0.12%		0.17%		2.14%		1.52%		0.92%	1.71%

Metropolitan West Unconstrained Bond Fund

M-Class (MWCRX), I-Class (MWCIX), Plan-Class (MWCPX)

Despite a headwind of rising interest rates, the MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 11.35% (net of fees) over the one-year-period ending March 31, 2021, outpacing the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index (“Index”) by 1,088 bps. Outperformance was largely driven by the allocation to corporate credit, particularly leading industrials within the investment grade space such as energy and transportation which benefitted from a rebound in economic activity. Favorable issue selection also came from finance companies, insurance, and REITs. Given the considerable rally for high yield credit (the sector was up an impressive 23.7% for the year), the portfolio’s exposure there was also beneficial. Further contributions came from the small position in emerging markets debt as the sector benefitted from optimism regarding accommodative global policies. Within the securitized space, exposure to legacy non-agency MBS rewarded returns as the sector continued to remediate from losses in the first quarter of 2020, supported by strong housing fundamentals, declining forbearance rates, and reduced supply. CMBS holdings and government-guaranteed student loan receivables within ABS also contributed, with the latter generally benefitting from policy support that has helped keep the consumer afloat. Finally, the duration position was extended over the course of the year, from 1.7 years to 2.4 years, weighing on performance as Treasury rates rose, with the 10-Year yield increasing by approximately 107 bps year-over-year.

Given historically low yield spreads and abundant risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures in single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Lastly, though currently a small position, emerging market debt issues are add candidates on cheaper entry points.

	Performance Through March 31, 2021
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception  (Annualized)
MWCRX (Inception: October 1, 2011)		2.46%		11.14%		3.84%		3.56%		—	5.05%
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index		0.11%		0.47%		1.73%		1.48%		—	0.94%
MWCIX (Inception: October 1, 2011)		2.60%		11.35%		4.13%		3.86%		—	5.33%
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index		0.11%		0.47%		1.73%		1.48%		—	0.94%
MWCPX (Inception: March 6, 2020)		2.63%		11.44%		—		—		—	3.55%
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index		0.11%		0.47%		—		—		—	0.57%

11 / Annual Report March 2021

A Disciplined Value Philosophy

Reflecting on a turbulent and eventful 2020, along with a return of pure rate volatility to start this year, once again the importance of investment discipline is highlighted. While it’s cliché that the market doesn’t ring a bell at tops and bottoms, it is observable from a practical and historical perspective where relative values stand in overseeing the Funds. The hallmark of the MetWest teams has been and remains a steadfast pragmatism in allocating risk through the cycle, meaning a tendency to having liquidity when needed most and underwriting risk when compensated at its utmost. The benefit of such is not only a return pattern that delivers on expectations, but in a risk-adjusted fashion that stands out most favorably.

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

Sincerely,

David B. Lippman

President and Principal Executive Officer of the Trust

Metropolitan West Funds

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 rate, issue, and credit risks as those risks 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 HighYield 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 risk that the value of a Fund’s investments in foreign securities may decline based on changes to currency values, or 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 May 2021, 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.

This report must be preceded or accompanied by a prospectus.

Annual Report March 2021 / 12

Metropolitan West Funds

Illustration of an Assumed Investment of $10,000

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.tcw.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.

Metropolitan West AlphaTrak 500 Fund

Total Return Performance

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 60.83% and 14.79%, respectively. The graph assumes that distributions were reinvested.

Metropolitan West Corporate Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Corporate Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Corporate Index. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class M were 7.55% and 8.92%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Corporate Bond Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class I were 7.81% and 9.19%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Corporate Bond Fund Class I shares would have been valued at $12,739.

13 / Annual Report March 2021

Metropolitan West Flexible Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Flexible Income Fund Class M with the performance of the Bloomberg Barclays U.S. Aggregate Bond Index. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class M were 10.89% and 13.47%, respectively. The inception date for Class M was November 20, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Flexible Income Fund Class I was November 30, 2018. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class I were 10.83% and 13.58%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Flexible Income Fund Class I shares would have been valued at $13,457.

Metropolitan West Floating Rate Income Fund – Class M

Total Return Performance

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 14.30% and 3.64%, 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 Floating Rate Income Fund Class I were 14.52% and 3.85%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class I shares would have been valued at $13,400.

The inception date for the Metropolitan West Floating Rate Income Fund Plan Class was January 29, 2021. The since inception total return for the Metropolitan West Floating Rate Income Fund Plan Class was 0.31%. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Plan Class shares would have been valued at $10,031.

Annual Report March 2021 / 14

Metropolitan West High Yield Bond Fund – Class M

Total Return Performance

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 2% Issuer Capped Index. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class M were 18.14% and 5.00%, 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 were 18.56% and 5.27%, 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 $16,705.

Metropolitan West Intermediate Bond Fund – Class M

Total Return Performance

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 Index. The one year and average annual 10 year total returns for the Metropolitan West Intermediate Bond Fund Class M were 4.63% and 3.19%, 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 were 4.76% and 3.43%, 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 $14,004.

15 / Annual Report March 2021

Metropolitan West Investment Grade Credit Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class M with the performance of the Bloomberg Barclays U.S. Intermediate Credit Index. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class M were 7.97% and 7.92%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested

The inception date for the Metropolitan West Investment Grade Credit Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class I were 8.20% and 8.15%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class I shares would have been valued at $12,407.

Metropolitan West Low Duration Bond Fund – Class M

Total Return Performance

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 ICE BofA 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 3.91% and 2.14%, 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 were 4.12% and 2.34%, 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 $12,607.

For the Metropolitan West Low Duration Bond Fund Administrative Class, the one year and average annual 10 year total returns were 3.83% and 2.01%, 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 $12,196.

Annual Report March 2021 / 16

Metropolitan West Strategic Income Fund – Class M

Total Return Performance

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 ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps. The one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class M were 14.14% and 3.59%, 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 were 14.19% and 3.84%, 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 $14,570.

Metropolitan West Total Return Bond Fund – Class M

Total Return Performance

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 3.31% and 4.04%, 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 were 3.54% and 4.27%, 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 $15,190.

The inception date for the Metropolitan West Total Return Bond Fund Class I-2 was March 6, 2020. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Class I-2 were 3.65% and 0.58%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I-2 shares would have been valued at $10,062.

17 / Annual Report March 2021

For the Metropolitan West Total Return Bond Fund Administrative Class, the one year and average annual 10 year total returns were 3.19% and 3.89%, 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 $14,649.

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 3.65% and 4.17%, 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 $14,848.

Metropolitan West Ultra Short Bond Fund – Class M

Total Return Performance

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 ICE BofA 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 1.03% and 1.36%, 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 were 1.43% and 1.52%, 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 $11,631.

Annual Report March 2021 / 18

Metropolitan West Unconstrained Bond Fund – Class M

Total Return Performance

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 ICE BofA U.S.Dollar 3-Month Deposit Offered Rate Average Index. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class M were 11.14% and 5.05%, 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 11.35% and 5.33%, 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 $16,380.

The inception date for the Metropolitan West Unconstrained Bond Fund Plan Class was March 6, 2020. The one year and average annual since inception total return for the Metropolitan West Unconstrained Bond Fund Plan Class were 11.44% and 3.55%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Plan Class shares would have been valued at $10,378.

19 / Annual Report March 2021

Metropolitan West Funds

Disclosure of Fund Expenses (Unaudited)

For the Six Months Ended March 31, 2021

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.

This table illustrates your Fund’s costs in two ways:

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.

	Beginning Account Value 10/01/20		Ending Account Value 03/31/21		Expense Ratio1	Expenses   Paid During   Period2
ALPHATRAK 500 FUND
Actual Fund Return		$1,000.00		$1,195.10	0.90%	$4.93
Hypothetical 5% Return		$1,000.00		$1,020.44	0.90%	$4.53
CORPORATE BOND FUND
Actual Fund Return
Class M		$1,000.00		$   986.40	0.75%	$3.71
Class I		$1,000.00		$   987.60	0.50%	$2.48
Hypothetical 5% Return
Class M		$1,000.00		$1,021.19	0.75%	$3.78
Class I		$1,000.00		$1,022.44	0.50%	$2.52
FLEXIBLE INCOME FUND
Actual Fund Return
Class M		$1,000.00		$1,027.40	0.80%	$4.04
Class I		$1,000.00		$1,028.50	0.55%	$2.78
Hypothetical 5% Return
Class M		$1,000.00		$1,020.94	0.80%	$4.03
Class I		$1,000.00		$1,022.19	0.55%	$2.77

¹  Annualized, based on the Fund’s most recent fiscal half-year expenses.

²  Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period shown).

Annual Report March 2021 / 20

	Beginning Account Value 10/01/20			Ending Account Value 03/31/21		Expense Ratio1	Expenses   Paid During   Period2
FLOATING RATE INCOME FUND
Actual Fund Return
Class M		$1,000.00			$1,037.90	0.90%	$4.57
Class I		$1,000.00			$1,038.90	0.70%	$3.56
Plan Class		$1,000.00	3		$1,003.10	0.56%4	$0.915
Hypothetical 5% Return
Class M		$1,000.00			$1,020.44	0.90%	$4.53
Class I		$1,000.00			$1,021.44	0.70%	$3.53
Plan Class		$1,000.00	3		$1,007.18	0.56%4	$0.915
HIGH YIELD BOND FUND
Actual Fund Return
Class M		$1,000.00			$1,048.40	0.85%	$4.34
Class I		$1,000.00			$1,049.70	0.60%	$3.07
Hypothetical 5% Return
Class M		$1,000.00			$1,020.69	0.85%	$4.28
Class I		$1,000.00			$1,021.94	0.60%	$3.02
INTERMEDIATE BOND FUND
Actual Fund Return
Class M		$1,000.00			$   995.80	0.70%	$3.48
Class I		$1,000.00			$   995.90	0.48%	$2.39
Hypothetical 5% Return
Class M		$1,000.00			$1,021.44	0.70%	$3.53
Class I		$1,000.00			$1,022.54	0.48%	$2.42
INVESTMENT GRADE CREDIT FUND
Actual Fund Return
Class M		$1,000.00			$1,005.20	0.70%	$3.50
Class I		$1,000.00			$1,006.30	0.49%	$2.45
Hypothetical 5% Return
Class M		$1,000.00			$1,021.44	0.70%	$3.53
Class I		$1,000.00			$1,022.49	0.49%	$2.47
LOW DURATION BOND FUND
Actual Fund Return
Class M		$1,000.00			$1,004.30	0.62%	$3.10
Class I		$1,000.00			$1,005.30	0.42%	$2.10
Administrative Class		$1,000.00			$1,004.90	0.73%	$3.65
Hypothetical 5% Return
Class M		$1,000.00			$1,021.84	0.62%	$3.13
Class I		$1,000.00			$1,022.84	0.42%	$2.12
Administrative Class		$1,000.00			$1,021.29	0.73%	$3.68

¹  Annualized, based on the Fund’s most recent fiscal half-year expenses.

²  Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period shown).

³  The Floating Rate Income Fund Plan Class Shares commenced operations on January 29, 2021.

⁴  Annualized, based on the Fund’s expenses for the period between January 29, 2021 (the commencement date of the Plan Class) and March 31, 2021.

⁵  Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 61 days of expenses, then divided by 365 (to reflect the period shown between January 29, 2021 and March 31, 2021).

21 / Annual Report March 2021

	Beginning Account Value 10/01/20		Ending Account Value 03/31/21		Expense Ratio1	Expenses   Paid During   Period2
STRATEGIC INCOME FUND
Actual Fund Return
Class M		$1,000.00		$1,040.00	2.22%		$11.29
Class I		$1,000.00		$1,041.30	2.28%		$11.60
Hypothetical 5% Return
Class M		$1,000.00		$1,013.86	2.22%		$11.15
Class I		$1,000.00		$1,013.56	2.28%		$11.45
TOTAL RETURN BOND FUND
Actual Fund Return
Class M		$1,000.00		$   981.40	0.68%		$  3.36
Class I		$1,000.00		$   982.50	0.46%		$  2.27
Class I-2		$1,000.00		$   982.00	0.57%		$  2.82
Administrative Class		$1,000.00		$   980.90	0.79%		$  3.90
Plan Class		$1,000.00		$   983.30	0.38%		$  1.88
Hypothetical 5% Return
Class M		$1,000.00		$1,021.54	0.68%		$3.43
Class I		$1,000.00		$1,022.64	0.46%		$2.32
Class I-2		$1,000.00		$1,022.09	0.57%		$2.87
Administrative Class		$1,000.00		$1,020.99	0.79%		$3.98
Plan Class		$1,000.00		$1,023.04	0.38%		$1.92
ULTRA SHORT BOND FUND
Actual Fund Return
Class M		$1,000.00		$   999.60	0.50%		$2.49
Class I		$1,000.00		$1,000.40	0.34%		$1.70
Hypothetical 5% Return
Class M		$1,000.00		$1,022.44	0.50%		$2.52
Class I		$1,000.00		$1,023.24	0.34%		$1.72
UNCONSTRAINED BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,024.60	1.02%		$5.15
Class I		$1,000.00		$1,026.00	0.75%		$3.79
Plan Class		$1,000.00		$1,026.30	0.69%		$3.49
Hypothetical 5% Return
Class M		$1,000.00		$1,019.85	1.02%		$5.14
Class I		$1,000.00		$1,021.19	0.75%		$3.78
Plan Class		$1,000.00		$1,021.49	0.69%		$3.48

¹  Annualized, based on the Fund’s most recent fiscal half-year expenses.

²  Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period shown).

Annual Report March 2021 / 22

Metropolitan West Funds

Summary of Portfolio Holdings

March 31, 2021

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
Corporate Bonds	25.97%
U.S. Treasury Bills	12.78%
Asset-Backed Securities	11.37%
Mutual Funds	10.02%
Non-Agency Mortgage-Backed	6.84%
Money Market Funds	6.70%
Non-Agency Commercial Mortgage-Backed	4.87%
U.S. Agency Mortgage-Backed	4.68%
U.S. Agency Commercial Mortgage-Backed	4.22%
U.S. Treasury Securities	0.91%
Foreign Government Obligations	0.87%
Municipal Bonds	0.62%
Other*	10.15%
Total	100.00%
CORPORATE BOND FUND
Sector Diversification
Corporate Bonds	80.62%
U.S. Treasury Securities	12.41%
Municipal Bonds	2.23%
Money Market Funds	2.06%
Non-Agency Commercial Mortgage-Backed	0.65%
U.S. Agency Mortgage-Backed	0.38%
U.S. Agency Commercial Mortgage-Backed	0.35%
Asset-Backed Securities	0.34%
Other*	0.96%
Total	100.00%
FLEXIBLE INCOME FUND
Sector Diversification
Corporate Bonds	26.34%
Non-Agency Mortgage-Backed	18.89%
U.S. Agency Mortgage-Backed	15.56%
Asset-Backed Securities	14.09%
U.S. Treasury Bills	13.28%
Non-Agency Commercial Mortgage-Backed	11.27%
Bank Loans	7.68%
U.S. Agency Commercial Mortgage-Backed	6.48%
Money Market Funds	3.35%
Foreign Government Obligations	2.42%
Municipal Bonds	0.63%
Common Stock	0.24%
Warrant	0.07%
Other*	(20.30)%
Total	100.00%

FLOATING RATE INCOME FUND
Sector Diversification
Bank Loans	83.74%
U.S. Treasury Bills	10.19%
Corporate Bonds	7.50%
Money Market Funds	2.53%
Foreign Government Obligations	1.48%
Warrant	0.05%
Other*	(5.49)%
Total	100.00%
HIGH YIELD BOND FUND
Sector Diversification
Corporate Bonds	73.22%
Bank Loans	18.01%
U.S. Treasury Bills	3.89%
Non-Agency Mortgage-Backed	2.38%
Money Market Funds	0.91%
Non-Agency Commercial Mortgage-Backed	0.23%
Warrant	0.03%
Common Stock	0.02%
Other*	1.31%
Total	100.00%
INTERMEDIATE BOND FUND
Sector Diversification
U.S. Treasury Securities	50.58%
Corporate Bonds	25.45%
U.S. Agency Mortgage-Backed	12.68%
Asset-Backed Securities	6.79%
Non-Agency Mortgage-Backed	5.31%
Non-Agency Commercial Mortgage-Backed	2.14%
Bank Loans	1.46%
U.S. Treasury Bills	1.25%
Municipal Bonds	0.82%
U.S. Agency Commercial Mortgage-Backed	0.03%
Common Stock	0.00%
Money Market Funds	0.00%
Other*	(6.51)%
Total	100.00%

23 / Annual Report March 2021

INVESTMENT GRADE CREDIT FUND
Sector Diversification
Corporate Bonds	56.09%
U.S. Treasury Securities	17.06%
Non-Agency Commercial Mortgage-Backed	6.97%
Asset-Backed Securities	5.15%
U.S. Agency Mortgage-Backed	3.91%
Non-Agency Mortgage-Backed	3.65%
Municipal Bonds	2.70%
U.S. Agency Commercial Mortgage-Backed	2.27%
Money Market Funds	0.17%
Other*	2.03%
Total	100.00%
LOW DURATION BOND FUND
Sector Diversification
Corporate Bonds	26.67%
U.S. Agency Mortgage-Backed	16.76%
U.S. Treasury Securities	14.35%
Asset-Backed Securities	13.42%
Money Market Funds	10.87%
U.S. Agency Commercial Mortgage-Backed	8.07%
Non-Agency Mortgage-Backed	6.68%
Non-Agency Commercial Mortgage-Backed	6.45%
U.S. Treasury Bills	3.43%
Bank Loans	1.69%
Foreign Government Obligations	0.88%
Municipal Bonds	0.59%
Common Stock	0.00%
Purchased Swaptions	0.00%
Written Swaptions	0.00%
Other*	(9.86)%
Total	100.00%
STRATEGIC INCOME FUND
Sector Diversification
Non-Agency Mortgage-Backed	29.53%
Corporate Bonds	27.17%
Asset-Backed Securities	15.09%
U.S. Agency Commercial Mortgage-Backed	6.21%
Non-Agency Commercial Mortgage-Backed	5.40%
U.S. Treasury Bills	5.14%
U.S. Agency Mortgage-Backed	3.07%
Money Market Funds	2.07%
Municipal Bonds	0.71%
Common Stock	0.30%
Other*	5.31%
Total	100.00%

TOTAL RETURN BOND FUND
Sector Diversification
U.S. Treasury Securities	40.17%
U.S. Agency Mortgage-Backed	35.57%
Corporate Bonds	21.28%
Non-Agency Mortgage-Backed	6.09%
Money Market Funds	4.16%
Asset-Backed Securities	3.71%
U.S. Treasury Bills	2.68%
U.S. Agency Discount Notes	1.89%
Foreign Government Obligations	1.62%
Bank Loans	1.48%
Non-Agency Commercial Mortgage-Backed	1.33%
Municipal Bonds	0.94%
Repurchase Agreements	0.58%
U.S. Agency Commercial Mortgage-Backed	0.21%
Purchased Swaptions	0.03%
Purchased Options	0.02%
Common Stock	0.00%
Written Options	(0.03)%
Other*	(21.73)%
Total	100.00%
ULTRA SHORT BOND FUND
Sector Diversification
Corporate Bonds	23.40%
U.S. Treasury Bills	19.74%
U.S. Agency Mortgage-Backed	19.00%
U.S. Treasury Securities	14.73%
Money Market Funds	11.87%
Asset-Backed Securities	9.45%
Non-Agency Mortgage-Backed	5.76%
U.S. Agency Commercial Mortgage-Backed	5.75%
Non-Agency Commercial Mortgage-Backed	3.33%
Foreign Government Obligations	1.67%
Municipal Bonds	0.72%
Bank Loans	0.51%
Other*	(15.93)%
Total	100.00%
UNCONSTRAINED BOND FUND
Sector Diversification
Corporate Bonds	24.65%
Non-Agency Mortgage-Backed	23.92%
U.S. Agency Mortgage-Backed	14.04%
Asset-Backed Securities	12.77%
U.S. Treasury Bills	10.58%
Non-Agency Commercial Mortgage-Backed	6.13%
U.S. Agency Commercial Mortgage-Backed	5.14%
Bank Loans	4.50%
Money Market Funds	3.87%
Foreign Government Obligations	3.61%
U.S. Treasury Securities	0.96%
Municipal Bonds	0.64%
Common Stock	0.27%
Other*	(11.08)%
Total	100.00%

Annual Report March 2021 / 24

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

In addition to the 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 NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.

25 / Annual Report March 2021

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BONDS – 59.48%
ASSET-BACKED SECURITIES — 11.37%**
Access Group, Inc.,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
0.81%		07/25/56	1,2	$	13,994	$	13,976
Aimco CLO 11 Ltd.,
Series 2020-11A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.38%)
1.60%		10/15/31	1,2,3		100,000		100,175
AMMC CLO 23 Ltd.,
Series 2020-23A, Class A1L
(Cayman Islands)
(LIBOR USD 3-Month plus 1.40%)
1.64%		10/17/31	1,2,3		85,000		85,177
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.02%		01/20/28	1,2,3		68,294		68,184
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.17%		07/20/29	1,2,3		85,000		84,960
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.66%		01/25/35	1,2		10,261		10,105
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
1.39%		02/25/35	2		215,000		220,121
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.27%)
1.51%		10/25/32	1,2,3		80,000		80,114
Citibank Credit Card Issuance Trust,
Series 2018-A6, Class A6
3.21%		12/07/24			235,000		246,913
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.14%		04/15/29	1,2,3		50,000		49,910
Eaton Vance CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.89%		10/15/30	1,2,3		85,000		85,290
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
0.87%		04/25/35	2		2,489		2,483

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
1.16%		03/25/36	2	$	27,667	$	27,837
Ford Credit Floorplan Master Owner Trust A,
Series 2019-3, Class A1
2.23%		09/15/24			250,000		256,725
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.77%		07/20/31	1,2,3		140,000		140,574
Grand Avenue CRE,
Series 2019-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.12%)
1.23%		06/15/37	1,2,3		115,923		115,990
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
1.24%		05/25/34	1,2		124,071		124,774
JPMorgan Mortgage Acquisition Trust,
Series 2005-WMC1, Class M3
(LIBOR USD 1-Month plus 0.71%)
0.81%		09/25/35	2		100,000		98,361
LCM XIII LP,
Series 13A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.36%		07/19/27	1,2,3		80,000		80,043
Magnetite XXVII Ltd.,
Series 2020-27A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.77%		07/20/33	1,2,3		130,000		130,276
MF1 Ltd.,
Series 2020-FL4, Class A
(LIBOR USD 1-Month plus 1.70%)
1.81%		11/15/35	1,2		220,000		222,395
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
0.62%		06/25/31	2		96,686		95,360
Navient Student Loan Trust,
Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
1.16%		12/27/66	1,2		69,294		70,242
Navient Student Loan Trust,
Series 2017-4A, Class A2
(LIBOR USD 1-Month plus 0.50%)
0.61%		09/27/66	1,2		65,704		65,777
Nelnet Student Loan Trust,
Series 2014-3A, Class A
(LIBOR USD 1-Month plus 0.58%)
0.69%		06/25/41	1,2		15,511		15,398

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 26

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
North Carolina State Education Authority,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 0.90%)
1.12%		10/25/41	2	$	9,882	$	9,990
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.33%		11/20/30	1,2,3		85,000		85,058
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.47%		10/19/32	1,2,3		80,000		80,099
Palmer Square CLO Ltd.,
Series 2014-1A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.35%		01/17/31	1,2,3		85,000		85,048
PHEAA Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.15%)
1.26%		09/25/65	1,2		65,936		66,483
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
1.41%		10/20/30	1,2,3		130,000		130,032
SLM Student Loan Trust,
Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.47%)
0.65%		12/15/27	1,2		26,004		26,015
SLM Student Loan Trust,
Series 2003-11, Class A6
(LIBOR USD 3-Month plus 0.55%)
0.73%		12/15/25	1,2		33,786		33,793
SLM Student Loan Trust,
Series 2004-1, Class A4
(LIBOR USD 3-Month plus 0.26%)
0.48%		10/27/25	2		44,157		43,995
SLM Student Loan Trust,
Series 2005-4, Class A3
(LIBOR USD 3-Month plus 0.12%)
0.34%		01/25/27	2		63,294		63,166
SLM Student Loan Trust,
Series 2005-5, Class A4
(LIBOR USD 3-Month plus 0.14%)
0.36%		10/25/28	2		124,760		124,144
SLM Student Loan Trust,
Series 2005-8, Class A4
(LIBOR USD 3-Month plus 0.55%)
0.77%		01/25/28	2		12,758		12,762
SLM Student Loan Trust,
Series 2007-6, Class A4
(LIBOR USD 3-Month plus 0.38%)
0.60%		10/25/24	2		9,891		9,890

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
1.92%		07/25/23	2	$	111,612	$	112,435
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.32%		07/25/23	2		155,473		155,169
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.72%		04/25/23	2		41,830		42,054
SLM Student Loan Trust,
Series 2011-2, Class A1
(LIBOR USD 1-Month plus 0.60%)
0.71%		11/25/27	2		2,156		2,158
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
1.06%		09/25/28	2		154,385		152,694
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
0.81%		01/25/29	2		89,128		86,556
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
0.66%		06/25/43	2		6,248		6,243
Toyota Auto Receivables Owner Trust,
Series 2018-B, Class A4
3.11%		11/15/23			270,000		277,341
Voya CLO Ltd.,
Series 2014-3A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.72%)
0.94%		07/25/26	1,2,3		5,516		5,516
Voya CLO Ltd.,
Series 2020-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.82%		07/19/31	1,2,3		80,000		80,157
Total Asset-Backed Securities
(Cost $4,172,230)							4,181,958
CORPORATES — 25.97%*
Banking — 4.23%
Bank of America Corp.
3.00%		12/20/23	4		91,000		94,676
Discover Bank
(BKNT)
4.20%		08/08/23			125,000		135,065
HSBC Holdings PLC
(United Kingdom)
(LIBOR USD 3-Month plus 1.00%)
1.19%		05/18/24	2,3		85,000		85,947
JPMorgan Chase & Co.
3.21%		04/01/23	4		200,000		205,458

See accompanying Notes to Financial Statements.

27 / Annual Report March 2021

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	3,4	$	200,000	$	207,156
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	1,3,4		70,000		68,733
Santander UK Group Holdings PLC
(United Kingdom)
4.80%		11/15/24	3,4		75,000		82,581
Wells Fargo Bank N.A.
(BKNT)
2.08%		09/09/22	4		670,000		675,131
							1,554,747
Communications — 2.52%
AT&T, Inc.
(LIBOR USD 3-Month plus 1.18%)
1.36%		06/12/24	2		175,000		178,815
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%		05/01/32	1		19,000		19,266
Charter Communications Operating LLC/Charter
Communications Operating Capital
(LIBOR USD 3-Month plus 1.65%)
1.86%		02/01/24	2		125,000		128,474
Intelsat Jackson Holdings SA
(Luxembourg)
8.50%		10/15/24	1,3,5,6		20,000		12,713
9.75%		07/15/25	1,3,5,6		61,000		38,271
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%		09/20/21	1		100,000		101,000
4.74%		03/20/25	1		135,000		144,967
5.15%		03/20/28	1		50,000		57,125
T-Mobile USA, Inc.
2.25%		02/15/26			113,000		113,320
2.63%		04/15/26			124,000		125,945
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%		05/15/29	1,3		5,000		5,314
							925,210
Consumer Discretionary — 0.31%
Imperial Brands Finance PLC
(United Kingdom)
3.75%		07/21/22	1,3		110,000		113,713
Electric — 2.07%
Alliant Energy Finance LLC
3.75%		06/15/23	1		140,000		149,245
Dominion Energy, Inc.,
Series B
2.75%		09/15/22			150,000		153,912
Duquesne Light Holdings, Inc.
5.90%		12/01/21	1		50,000		51,640
El Paso Electric Co.
3.30%		12/15/22			50,000		50,960

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Evergy, Inc.
4.85%		06/01/21		$	100,000	$	100,000
FirstEnergy Transmission LLC
2.87%		09/15/28	1		128,000		129,248
NextEra Energy Capital Holdings, Inc.
2.40%		09/01/21			30,000		30,260
(LIBOR USD 3-Month plus 0.48%)
0.67%		05/04/21	2		55,000		55,016
(LIBOR USD 3-Month plus 0.55%)
0.74%		08/28/21	2		40,000		40,012
							760,293
Energy — 1.42%
Antero Resources Corp.
8.38%		07/15/26	1		15,000		16,575
Energy Transfer Operating LP
5.50%		06/01/27			12,000		13,856
NGPL Pipe Co. LLC
4.38%		08/15/22	1		150,000		155,743
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			125,000		137,723
Sunoco Logistics Partners Operations LP
4.25%		04/01/24			150,000		162,569
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	1,3		12,600		12,254
Transocean Pontus Ltd.
(Cayman Islands)
6.13%		08/01/25	1,3		4,350		4,119
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	1,3		18,000		16,671
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	1,3		2,400		2,286
							521,796
Entertainment — 0.03%
Live Nation Entertainment, Inc.
4.75%		10/15/27	1		11,000		11,100
Finance — 6.25%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
4.45%		12/16/21	3		150,000		153,474
Air Lease Corp.
2.25%		01/15/23			75,000		77,016
3.50%		01/15/22			65,000		66,476
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	1,3		5,000		5,334
Citigroup, Inc.
2.88%		07/24/23	4		225,000		231,957
(LIBOR USD 3-Month plus 0.95%)
1.17%		07/24/23	2		30,000		30,249

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 28

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
1.09%		02/15/22	1,2	$	150,000	$	151,024
Ford Motor Credit Co. LLC
3.81%		10/12/21			35,000		35,437
(LIBOR USD 3-Month plus 0.81%)
1.05%		04/05/21	2		45,000		45,000
General Motors Financial Co., Inc.
4.20%		11/06/21			60,000		61,310
4.38%		09/25/21			135,000		137,513
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	4		170,000		172,264
Goldman Sachs Group, Inc. (The) (MTN)
(LIBOR USD 3-Month plus 1.60%)
1.79%		11/29/23	2		75,000		77,123
Goldman Sachs Group, Inc. (The), Series FXD
0.48%		01/27/23			275,000		274,720
Intercontinental Exchange, Inc.
(LIBOR USD 3-Month plus 0.65%)
0.83%		06/15/23	2		140,000		140,254
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
1.15%		07/22/22	2		200,000		200,460
Morgan Stanley (MTN)
0.53%		01/25/24	4		150,000		149,774
Nationwide Building Society (United Kingdom)
3.62%		04/26/23	1,3,4		90,000		92,862
4.36%		08/01/24	1,3,4		75,000		81,019
Park Aerospace Holdings Ltd. (Cayman Islands)
4.50%		03/15/23	1,3		110,000		114,933
							2,298,199
Food — 0.53%
Kraft Heinz Foods Co.
4.00%		06/15/23			75,000		80,268
Smithfield Foods, Inc.
3.35%		02/01/22	1		115,000		116,478
							196,746
Health Care — 3.06%
AbbVie, Inc.
3.45%		03/15/22			50,000		51,160
3.75%		11/14/23			125,000		134,699
5.00%		12/15/21			40,000		40,802
Bayer U.S. Finance II LLC
2.20%		07/15/22	1		150,000		152,376
2.75%		07/15/21	1		90,000		90,515
Centene Corp.
5.38%		08/15/26	1		10,000		10,574
Dignity Health
3.13%		11/01/22			50,000		51,776

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	1	$	100,000	$	104,076
Fresenius U.S. Finance II, Inc.
4.50%		01/15/23	1		75,000		78,655
HCA, Inc.
5.00%		03/15/24			75,000		83,582
Humana, Inc.
3.85%		10/01/24			130,000		142,099
Royalty Pharma PLC (United Kingdom)
0.75%		09/02/23	1,3		85,000		84,921
Viatris, Inc.
1.13%		06/22/22	1		100,000		100,599
							1,125,834
Industrials — 1.17%
Amcor Flexibles North America, Inc.
4.50%		10/15/21			160,000		161,771
Berry Global, Inc.
0.95%		02/15/24	1		110,000		109,547
General Electric Co. (MTN)
(LIBOR USD 3-Month plus 0.38%)
0.58%		05/05/26	2		30,000		29,230
(LIBOR USD 3-Month plus 0.48%)
0.67%		08/15/36	2		75,000		60,770
General Electric Co.,
Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
1.24%		04/15/23	2		50,000		50,429
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	1		5,000		5,075
PowerTeam Services LLC
9.03%		12/04/25	1		9,000		9,934
Sealed Air Corp.
4.00%		12/01/27	1		5,000		5,137
							431,893
Information Technology — 0.03%
NXP BV/NXP Funding LLC (Netherlands)
4.63%		06/01/23	1,3		10,000		10,833
Insurance — 0.16%
Nationwide Mutual Insurance Co.
2.47%		12/15/24	1,4		60,000		59,967
Real Estate Investment Trust (REIT) — 2.61%
American Campus Communities Operating Partnership LP
3.75%		04/15/23			115,000		121,643
Camden Property Trust
2.95%		12/15/22			55,000		57,013
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			140,000		148,175
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			25,000		26,537
5.38%		11/01/23			85,000		93,048

See accompanying Notes to Financial Statements.

29 / Annual Report March 2021

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Kimco Realty Corp.
3.40%		11/01/22		$	100,000	$	104,202
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.50%		01/15/28			6,000		6,223
Post Apartment Homes LP
3.38%		12/01/22			75,000		77,929
SL Green Operating Partnership LP
3.25%		10/15/22			50,000		51,840
(LIBOR USD 3-Month plus 0.98%)
1.17%		08/16/21	2		115,000		115,004
WEA Finance LLC
3.15%		04/05/22	1		50,000		51,003
Welltower, Inc.
3.75%		03/15/23			100,000		105,638
							958,255
Retail — 0.33%
7-Eleven, Inc.
(LIBOR USD 3-Month plus 0.45%)
0.65%		08/10/22	1,2		90,000		90,097
Alimentation Couche-Tard, Inc.
(Canada)
2.70%		07/26/22	1,3		30,000		30,805
							120,902
Services — 0.33%
IHS Markit Ltd.
(Bermuda)
5.00%		11/01/22	1,3		115,000		121,316
Transportation — 0.92%
Aviation Capital Group LLC
(LIBOR USD 3-Month plus 0.95%)
1.14%		06/01/21	1,2		100,000		100,008
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%		04/02/21			6,868		6,868
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			103,755		105,936
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			80,561		83,122
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			39,925		41,322
							337,256
Total Corporates
(Cost $9,444,466)							9,548,060
MORTGAGE-BACKED — 20.61%**
Non-Agency Commercial Mortgage-Backed — 4.87%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%		08/10/35	1		48,402		50,748

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
BFLD Trust,
Series 2020-EYP, Class A
(LIBOR USD 1-Month plus 1.15%)
1.26%		10/15/35	1,2	$	125,000	$	126,074
BXMT Ltd.,
Series 2020-FL3, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.40%)
1.51%		03/15/37	1,2,3		410,000		411,739
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class AAB
2.61%		09/10/45			36,536		36,988
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class AAB
2.69%		04/10/46			47,865		48,739
Citigroup Commercial Mortgage Trust,
Series 2015-GC29, Class AAB
2.98%		04/10/48			71,940		74,969
Citigroup Commercial Mortgage Trust,
Series 2015-P1, Class AAB
3.47%		09/15/48			48,350		51,172
Commercial Mortgage Trust,
Series 2012-CR3, Class ASB
2.37%		10/15/45			17,065		17,271
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.67%		10/15/45	4		323,627		6,408
Commercial Mortgage Trust,
Series 2013-CR11, Class ASB
3.66%		08/10/50			11,215		11,635
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.21%		03/10/46	4		1,245,638		23,920
Commercial Mortgage Trust,
Series 2013-LC6, Class XB (IO)
0.38%		01/10/46	1,4		1,750,000		11,938
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class A2
3.05%		09/15/50			150,000		154,156
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.74%		08/10/43	1,4		3,074,310		37,233
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.17%		03/10/44	1,4		2,797,443		1,127
GS Mortgage Securities Trust,
Series 2012-GCJ7, Class A4
3.38%		05/10/45			54,159		54,504
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C17, Class XA (IO)
0.74%		01/15/47	4		1,653,669		28,230
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class ASB
3.14%		05/15/45			59,082		59,922

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 30

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.11%		01/15/46	4	$	8,589,776	$	20,973
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.25%		04/15/46	4		3,258,726		66,749
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2015-JP1, Class XA (IO)
0.92%		01/15/49	4,7,8		736,356		25,906
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO)
0.69%		09/15/39	1,4		514,016		1,134
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class ASB
3.56%		11/15/46			11,875		12,286
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C14, Class XA (IO)
1.00%		02/15/47	4		1,312,967		29,510
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C26, Class ASB
3.32%		10/15/48			73,092		77,172
TMSQ Mortgage Trust,
Series 2014-1500, Class XA (IO)
0.15%		10/10/36	1,4		14,000,000		85,989
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.20%		08/10/49	1,4,7,8		3,000,000		9,744
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50			168,100		175,612
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class XA (IO)
1.67%		11/15/44	1,4		5,255,405		9,878
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class ASB
3.39%		08/15/47			38,335		39,798
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class ASB
3.52%		03/15/47			28,693		29,690
							1,791,214
Non-Agency Mortgage-Backed — 6.84%
Alternative Loan Trust,
Series 2005-J4, Class M2
(LIBOR USD 1-Month plus 0.96%)
1.07%		07/25/35	2		107,112		107,190
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%		09/25/37			215,660		130,570
Asset-Backed Funding Certificates,
Series 2006-OPT1, Class A2
(LIBOR USD 1-Month plus 0.28%)
0.39%		09/25/36	2		13,659		13,568

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust,
Series 2006-G, Class 2A4
(LIBOR USD 1-Month plus 0.58%)
0.69%		07/20/36	2	$	15,395	$	15,423
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
0.26%		05/26/36	1,2		61,595		59,825
Banc of America Funding Trust,
Series 2015-R7, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus 0.92%)
1.30%		09/26/46	1,2		87,115		87,258
Centex Home Equity Loan Trust,
Series 2005-B, Class M2
(LIBOR USD 1-Month plus 0.65%)
0.75%		03/25/35	2		181,946		180,396
Centex Home Equity Loan Trust,
Series 2005-D, Class M4
(LIBOR USD 1-Month plus 0.92%)
1.02%		10/25/35	2		182,000		182,787
CIM Trust,
Series 2019-R1, Class A
3.25%		10/25/58	1,4		131,132		122,046
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A1
(LIBOR USD 1-Month plus 0.90%)
1.01%		10/25/47	2		86,201		85,817
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
0.71%		05/25/35	2		53,913		46,603
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 05/25/21)
3.95%		01/25/33			9,645		9,852
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB5, Class M1
(LIBOR USD 1-Month plus 1.02%)
1.13%		11/25/33	2		12,693		12,583
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.74%)
0.85%		07/19/44	2		3,127		3,020
Encore Credit Receivables Trust,
Series 2005-4, Class M2
(LIBOR USD 1-Month plus 0.66%)
0.77%		01/25/36	2		54,106		54,150
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3
(LIBOR USD 1-Month plus 0.56%)
0.67%		03/25/36	2		79,434		77,239
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.13%		04/19/36	4		78,739		69,721

See accompanying Notes to Financial Statements.

31 / Annual Report March 2021

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust,
Series 2005-4, Class 2A
2.72%		07/19/35	4	$	1,145	$	1,041
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(LIBOR USD 1-Month plus 0.68%)
0.79%		06/20/35	2		144,220		141,540
HSI Asset Securitization Corp. Trust,
Series 2007-WF1, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
0.27%		05/25/37	2		98,899		96,247
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1A
(LIBOR USD 1-Month plus 0.86%)
0.97%		08/25/34	2		7,753		7,411
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A1A
(LIBOR USD 1-Month plus 0.42%)
0.53%		05/25/46	2		102,229		98,751
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 2A1
3.03%		06/25/37	4		73,122		60,171
Legacy Mortgage Asset Trust,
Series 2019-GS1, Class A1 (STEP-reset date 04/25/21)
4.00%		01/25/59	1		108,949		111,566
Long Beach Mortgage Loan Trust,
Series 2004-4, Class 1A1
(LIBOR USD 1-Month plus 0.56%)
0.67%		10/25/34	2		100,360		96,222
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.44%)
0.55%		01/25/36	2		96,988		92,845
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WCW3, Class M1
(LIBOR USD 1-Month plus 0.72%)
0.83%		08/25/35	2		87,142		87,536
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%		11/25/31			4,097		1
Residential Asset Mortgage Products Trust,
Series 2005-RZ3, Class M3
(LIBOR USD 1-Month plus 0.55%)
0.93%		09/25/35	2		55,781		55,770
Residential Asset Securities Corp.,
Series 2005-AHL2, Class M1
(LIBOR USD 1-Month plus 0.63%)
0.74%		10/25/35	2		162,730		162,261
Structured Asset Mortgage Investments II Trust,
Series 2006-AR1, Class 3A1
(LIBOR USD 1-Month plus 0.46%)
0.57%		02/25/36	2		77,155		73,822
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	1,7,8		2,065,693		26,738

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus 1.40%)
1.66%		06/25/42	2	$	2,045	$	2,027
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 2AB2
(LIBOR USD 1-Month plus 0.42%)
0.95%		07/25/45	2		123,576		123,954
Wells Fargo Alternative Loan Trust,
Series 2005-2, Class M1
(LIBOR USD 1-Month plus 0.68%)
0.78%		10/25/35	2		7,558		7,574
Wells Fargo Mortgage-Backed Securities Trust,
Series 2003-I, Class A1
2.83%		09/25/33	4		10,960		11,022
							2,514,547
U.S. Agency Commercial Mortgage-Backed — 4.22%
Fannie Mae-Aces,
Series 2014-M2, Class ASV2
2.78%		06/25/21	4		441		442
Fannie Mae-Aces,
Series 2015-M4, Class X2 (IO)
0.44%		07/25/22	4		9,447,803		18,046
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K031, Class X1 (IO)
0.20%		04/25/23	4		7,767,568		31,139
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K033, Class X1 (IO)
0.29%		07/25/23	4		4,090,251		25,308
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K036, Class X1 (IO)
0.72%		10/25/23	4		5,282,494		85,113
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K044, Class X1 (IO)
0.73%		01/25/25	4		1,422,542		32,148
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K732, Class X3 (IO)
2.17%		05/25/46	4		250,000		21,184
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KAIV, Class X2 (IO)
3.59%		06/25/41	4		250,000		1,467
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC01, Class X1 (IO)
0.47%		12/25/22	4		4,309,954		26,444

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 32

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.20%		06/25/27	4	$	997,447	$	53,773
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF28, Class A
(LIBOR USD 1-Month plus 0.36%)
0.48%		01/25/24	2		315,094		315,549
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KIR1, Class A1
2.45%		03/25/26			224,711		233,966
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KIR1, Class X (IO)
1.06%		03/25/26	4		914,672		40,406
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KIR2, Class A1
2.75%		03/25/27			246,051		259,118
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ30, Class A1
0.53%		01/25/25			249,759		248,906
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS07, Class X (IO)
0.65%		09/25/25	4		2,975,344		82,253
Ginnie Mae,
Series 2010-140,Class IO (IO)
0.04%		10/16/43	4		996,742		181
Ginnie Mae,
Series 2011-38, Class D
3.72%		01/16/51	4		72,917		74,660
							1,550,103
U.S. Agency Mortgage-Backed — 4.68%
Fannie Mae Pool 802665
(LIBOR USD 6-Month plus 1.74%)
1.99%		12/01/34	2		647		650
Fannie Mae Pool AL0851
6.00%		10/01/40			2,764		3,214
Fannie Mae REMICS,
Series 1997-91, Class SL (IO)
(-2.00 X LIBOR USD 1-Month plus 16.00%, 7.50% Cap)
7.50%		11/25/23	2		11,569		700
Fannie Mae REMICS,
Series 2002-21, Class FB
(LIBOR USD 1-Month plus 0.90%)
1.01%		04/25/32	2		40,423		40,583
Fannie Mae REMICS,
Series 2002-53, Class FY
(LIBOR USD 1-Month plus 0.50%)
0.61%		08/25/32	2		100,337		101,387

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2003-11, Class FA
(LIBOR USD 1-Month plus 1.00%)
1.11%		09/25/32	2	$	5,231	$	5,355
Fannie Mae REMICS,
Series 2003-81, Class FE
(LIBOR USD 1-Month plus 0.50%)
0.61%		09/25/33	2		39,525		39,937
Fannie Mae REMICS,
Series 2006-48, Class FL
(LIBOR USD 1-Month plus 0.40%)
0.51%		06/25/36	2		48,342		48,643
Fannie Mae REMICS,
Series 2006-8, Class NF
(LIBOR USD 1-Month plus 0.37%)
0.48%		03/25/36	2		45,662		46,010
Fannie Mae REMICS,
Series 2008-12, Class FA
(LIBOR USD 1-Month plus 0.67%)
0.78%		03/25/38	2		133,435		135,916
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
0.51%		10/25/40	2		4,679		4,711
Fannie Mae REMICS,
Series 2010-74, Class AF
(LIBOR USD 1-Month plus 0.54%)
0.65%		07/25/37	2		43,334		44,009
Freddie Mac REMICS,
Series 2684, Class F
(LIBOR USD 1-Month plus 0.90%)
1.01%		01/15/33	2		4,890		5,009
Freddie Mac REMICS,
Series 3231, Class FB
(LIBOR USD 1-Month plus 0.35%)
0.46%		10/15/36	2		87,799		88,441
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
0.61%		06/15/42	2		13,960		14,069
Ginnie Mae,
Series 2003-42, Class FA
(LIBOR USD 1-Month plus 0.40%)
0.51%		07/16/31	2		96,391		96,402
UMBS (TBA)
2.00%		05/01/51			1,050,000		1,046,186
							1,721,222
Total Mortgage-Backed
(Cost $8,150,234)							7,577,086
MUNICIPAL BONDS — 0.62%*
Colorado — 0.37%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%		11/15/23			135,000		135,347

See accompanying Notes to Financial Statements.

33 / Annual Report March 2021

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Florida — 0.25%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
2.32%		10/01/22		$	90,000	$	92,593
Total Municipal Bonds
(Cost $227,216)							227,940
U.S. TREASURY SECURITIES — 0.91%
U.S. Treasury Notes — 0.91%
U.S. Treasury Notes
0.13%		01/31/23			215,000		214,899
0.13%		02/28/23			120,000		119,930
Total U.S. Treasury Securities
(Cost $335,019)							334,829
Total Bonds — 59.48%
(Cost $22,329,165)							21,869,873
Issues				Shares		Value
MUTUAL FUNDS — 10.02%
Mutual Funds — 10.02%
iShares Core S&P 500 ETF					3,845		1,529,618
SPDR S&P 500 ETF Trust9					5,439		2,155,639
Total Mutual Funds
(Cost $2,790,415)							3,685,257
Issues	Maturity Date			Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 20.35%
Foreign Government Obligations — 0.87%
Japan Treasury Discount Bill, Series 962
(Japan)
0.00%10		04/05/21	3		35,000,000		316,809
Money Market Funds — 6.70%
Dreyfus Government Cash Management Fund
0.03%11					505,000		505,000
Fidelity Investments Money Market Funds - Government Portfolio
0.01%11					20,201		20,201
JPMorgan U.S. Government Money Market Fund
0.03%11					1,044,000		1,044,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.03%11					896,000		896,000
							2,465,201
U.S. Treasury Bills — 12.78%
U.S. Treasury Bills
0.10%10		04/01/21			700,000		700,000
0.05%10		08/12/21			2,500,000		2,499,862

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
0.05%10		08/19/21	$	1,500,000	$	1,499,883
						4,699,745
Total Short-Term Investments
(Cost $7,501,231)						7,481,755
Total Investments - 89.85%
(Cost $32,620,811)						33,036,885
Cash and Other Assets, Less Liabilities - 10.15%						3,732,910
Net Assets - 100.00%					$	36,769,795

¹  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.

²  Floating rate security. The rate disclosed was in effect at March 31, 2021.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁵  Non-income producing security.

⁶  Security is currently in default with regard to scheduled interest or principal payments.

⁷  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁸  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $62,388, which is 0.17% of total net assets.

⁹  SPDR S&P 500 ETF Trust (the “S&P 500 ETF”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The S&P 500 ETF was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 Index (the “S&P 500 Index”). Each unit of fractional undivided interest in the S&P 500 ETF is referred to as a “Unit”. The S&P 500 ETF seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500 Index. You can access the financial statements of this ETF by going to its homepage at (https://us.spdrs.com/en/etf/spdr-sp-500-etf-SPY).

¹⁰  Represents annualized yield at date of purchase.

¹¹  Represents the current yield as of March 31, 2021.

^*  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.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 34

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2021

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): Bank Note

(CLO): Collateralized Loan Obligation

(ETF): Exchange-Traded Fund

(IO): Interest Only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(S&P): Standard & Poor’s

(SPDR): Standard & Poor’s Depositary Receipts

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold		Counterparty				Settlement Date		Unrealized Appreciation
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 337,327		JPY 35,000,000		Goldman Sachs International				04/05/21	$	20,568
Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
S&P 500 E-mini Index		166		06/18/21	$	32,938,550	$	133,232	$	133,232

See accompanying Notes to Financial Statements.

35 / Annual Report March 2021

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BONDS – 96.98%
ASSET-BACKED SECURITIES — 0.34%**
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/37	1,2	$	44,797	$	44,118
Total Asset-Backed Securities
(Cost $44,797)
CORPORATES — 80.62%*
Banking — 7.61%
Bank of America Corp.
2.59%		04/29/31	3		110,000		109,866
3.00%		12/20/23	3		35,000		36,414
Bank of America Corp.
(MTN)
3.97%		03/05/29	3		20,000		22,150
4.08%		03/20/51	3		20,000		22,379
4.27%		07/23/29	3		10,000		11,280
Bank of New York Mellon Corp. (The)
(MTN)
1.60%		04/24/25			15,000		15,295
3.25%		09/11/24			5,000		5,428
Discover Bank
(BKNT)
4.20%		08/08/23			10,000		10,805
Fifth Third Bancorp
2.55%		05/05/27			40,000		41,660
HSBC Holdings PLC
(United Kingdom)
2.01%		09/22/28	3,4		110,000		108,160
JPMorgan Chase & Co.
2.52%		04/22/31	3		5,000		4,993
3.11%		04/22/51	3		75,000		73,591
4.01%		04/23/29	3		20,000		22,371
4.02%		12/05/24	3		55,000		59,694
4.20%		07/23/29	3		15,000		16,985
4.49%		03/24/31	3		35,000		40,408
Lloyds Banking Group PLC
(United Kingdom)
3.87%		07/09/25	3,4		60,000		65,346
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	3,4,5		20,000		19,638
Santander UK Group Holdings PLC
(United Kingdom)
3.57%		01/10/23	4		15,000		15,335
4.80%		11/15/24	3,4		55,000		60,559
State Street Corp.
3.78%		12/03/24	3		5,000		5,417
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	3		20,000		20,644
2.39%		06/02/28	3		145,000		148,695
3.58%		05/22/28	3		25,000		27,279
5.01%		04/04/51	3		15,000		19,269
							983,661

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications — 11.17%
AT&T, Inc.
2.55%		12/01/33	5	$	35,000	$	33,248
3.80%		12/01/57	5		235,000		223,874
Charter Communications Operating LLC/Charter
Communications Operating Capital
3.75%		02/15/28			45,000		48,801
4.91%		07/23/25			30,000		34,068
5.38%		05/01/47			30,000		34,885
Comcast Corp.
1.50%		02/15/31			85,000		78,912
3.97%		11/01/47			10,000		11,104
4.00%		11/01/49			15,000		16,757
Cox Communications, Inc.
3.15%		08/15/24	5		50,000		53,416
Discovery Communications LLC
3.63%		05/15/30			30,000		32,120
Fox Corp.
3.50%		04/08/30			25,000		26,618
4.71%		01/25/29			3,000		3,456
Level 3 Financing, Inc.
3.88%		11/15/29	5		14,000		14,785
Qwest Corp.
7.25%		09/15/25			20,000		23,475
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	5		35,000		39,465
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%		09/20/21	5		1,125		1,136
4.74%		03/20/25	5		155,000		166,443
5.15%		03/20/28	5		25,000		28,563
Time Warner Cable LLC
5.50%		09/01/41			33,000		39,182
5.88%		11/15/40			25,000		31,168
T-Mobile USA, Inc.
2.55%		02/15/31	5		35,000		34,333
3.50%		04/15/25	5		15,000		16,239
4.50%		04/15/50	5		22,000		24,731
Verizon Communications, Inc.
2.55%		03/21/31			50,000		49,961
4.02%		12/03/29			45,000		50,357
4.50%		08/10/33			85,000		98,825
ViacomCBS, Inc.
4.60%		01/15/45			39,000		43,750
5.85%		09/01/43			8,000		10,252
Vodafone Group PLC
(United Kingdom)
4.13%		05/30/25	4		21,000		23,410
4.25%		09/17/50	4		41,000		45,119
4.88%		06/19/49	4		6,000		7,141
5.25%		05/30/48	4		3,000		3,754
Walt Disney Co. (The)
2.65%		01/13/31			70,000		71,542
3.60%		01/13/51			11,000		11,737
6.20%		12/15/34			8,000		11,099
							1,443,726

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 36

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary — 3.40%
Altria Group, Inc.
5.38%		01/31/44		$	5,000	$	5,874
5.95%		02/14/49			15,000		18,762
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%		02/01/36			30,000		35,240
Anheuser-Busch InBev Worldwide, Inc.
4.60%		04/15/48			77,000		88,382
4.75%		01/23/29			30,000		35,079
Bacardi Ltd.
(Bermuda)
4.70%		05/15/28	4,5		70,000		80,151
BAT Capital Corp.
4.39%		08/15/37			45,000		47,233
4.54%		08/15/47			10,000		10,084
Constellation Brands, Inc.
3.75%		05/01/50			45,000		47,155
Imperial Brands Finance PLC
(United Kingdom)
4.25%91		07/21/25	4,5		30,000		33,024
NIKE, Inc.
3.38%		03/27/50			5,000		5,276
Reynolds American,Inc.
4.45%		06/12/25			5,000		5,551
4.85%		09/15/23			20,000		21,969
5.85%		08/15/45			5,000		5,881
							439,661
Electric — 9.08%
AEP Transmission Co. LLC, Series M
3.65%		04/01/50			10,000		10,655
Alabama Power Co.
5.50%		03/15/41			9,000		11,613
Alliant Energy Finance LLC
1.40%		03/15/26	5		45,000		44,196
Ameren Corp.
3.50%		01/15/31			15,000		15,945
Appalachian Power Co.
4.45%		06/01/45			10,000		11,251
Appalachian Power Co., Series X
3.30%		06/01/27			40,000		43,102
Baltimore Gas and Electric Co.
2.90%		06/15/50			50,000		46,500
Black Hills Corp.
4.35%		05/01/33			35,000		39,328
Consolidated Edison Co. of New York, Inc., Series 2017
3.88%		06/15/47			10,000		10,622
Consolidated Edison Co. of New York, Inc., Series 20B
3.95%		04/01/50			60,000		65,180
Duke Energy Carolinas LLC
2.55%		04/15/31			40,000		40,369
3.75%		06/01/45			70,000		74,945

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Duquesne Light Holdings, Inc.
5.90%		12/01/21	5	$	122,000	$	126,001
Evergy, Inc.
2.45%		09/15/24			5,000		5,238
FirstEnergy Transmission LLC
5.45%		07/15/44	5		55,000		64,433
Florida Power & Light Co.
4.13%		02/01/42			90,000		104,039
Interstate Power and Light Co.
2.30%		06/01/30			20,000		19,768
ITC Holdings Corp.
4.05%		07/01/23			10,000		10,684
Metropolitan Edison Co.
4.00%		04/15/25	5		9,000		9,561
4.30%		01/15/29	5		15,000		16,534
MidAmerican Energy Co.
4.25%		05/01/46			10,000		11,546
Narragansett Electric Co. (The)
3.40%		04/09/30	5		10,000		10,657
Northern States Power Co.
4.13%		05/15/44			10,000		11,466
PacifiCorp.
4.13%		01/15/49			45,000		50,619
Public Service Co. of New Mexico
3.85%		08/01/25			45,000		48,400
Puget Energy, Inc.
3.65%		05/15/25			100,000		108,084
Southern Co. (The)
3.25%		07/01/26			6,000		6,430
Tucson Electric Power Co.
3.85%		03/15/23			60,000		63,413
Virginia Electric & Power Co., Series B
3.80%		09/15/47			20,000		21,735
Vistra Operations Co. LLC
3.55%		07/15/24	5		6,000		6,284
Xcel Energy, Inc.
4.80%		09/15/41			55,000		64,518
							1,173,116
Energy — 7.23%
BP Capital Markets America, Inc.
3.63%		04/06/30			45,000		49,382
Chevron Corp.
2.24%		05/11/30			20,000		19,949
ConocoPhillips
2.40%		02/15/31	5		35,000		34,520
Enbridge Energy Partners LP
5.50%		09/15/40			10,000		11,972
Energy Transfer Operating LP
3.75%		05/15/30			10,000		10,338
4.95%		06/15/28			25,000		27,993
5.00%		05/15/50			15,000		15,575
5.50%		06/01/27			37,000		42,724
6.13%		12/15/45			12,000		13,771

See accompanying Notes to Financial Statements.

37 / Annual Report March 2021

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
EQM Midstream Partners LP
6.50%		07/15/48		$	8,000	$	8,053
EQT Corp.
3.90%		10/01/27			5,000		5,109
Equinor ASA (Norway)
3.25%		11/18/49	4		6,000		5,886
3.70%		04/06/50	4		5,000		5,342
Exxon Mobil Corp.
3.45%		04/15/51			19,000		19,223
4.33%		03/19/50			17,000		19,546
Hess Corp.
4.30%		04/01/27			33,000		36,053
KeySpan Gas East Corp.
5.82%		04/01/41	5		15,000		19,643
Kinder Morgan Energy Partners LP
5.80%		03/15/35			15,000		18,372
Kinder Morgan Energy Partners LP (MTN)
6.95%		01/15/38			15,000		20,361
Kinder Morgan, Inc. (GMTN)
7.80%		08/01/31			15,000		20,843
NGPL Pipe Co. LLC
4.38%		08/15/22	5		30,000		31,149
4.88%		08/15/27	5		10,000		11,214
Occidental Petroleum Corp.
3.50%		08/15/29			5,000		4,692
Petroleos Mexicanos (Mexico)
7.69%		01/23/50	4		40,000		37,080
Plains All American Pipeline LP/PAA Finance Corp.
4.50%		12/15/26			19,000		20,890
4.65%		10/15/25			20,000		22,036
Rockies Express Pipeline LLC
3.60%		05/15/25	5		30,000		30,085
6.88%		04/15/40	5		17,000		18,445
Ruby Pipeline LLC
8.00%		04/01/22	1,2,5		6,288		5,267
Sabine Pass Liquefaction LLC
4.20%		03/15/28			3,000		3,297
5.75%		05/15/24			25,000		28,269
Shell International Finance BV (Netherlands)
2.38%		11/07/29	4		25,000		25,280
3.13%		11/07/49	4		20,000		19,353
Southern Co. Gas Capital Corp.
2.45%		10/01/23			13,000		13,527
4.40%		06/01/43			10,000		10,885
5.88%		03/15/41			30,000		40,157
Southern Natural Gas Co. LLC
4.80%		03/15/47	5		15,000		17,166
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			6,000		6,436
TC PipeLines LP
3.90%		05/25/27			15,000		16,314

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
4.38%		03/13/25		$	30,000	$	33,234
Texas Eastern Transmission LP
2.80%		10/15/22	5		40,000		41,151
7.00%		07/15/32			50,000		67,421
TransCanada PipeLines Ltd. (Canada)
5.00%		10/16/43	4		15,000		17,843
Williams Cos., Inc. (The)
3.90%		01/15/25			8,000		8,672
							934,518
Finance — 8.29%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.65%		07/21/27	4		25,000		26,254
3.88%		01/23/28	4		14,000		14,630
Air Lease Corp.
3.63%		12/01/27			19,000		19,901
4.25%		09/15/24			20,000		21,758
Avolon Holdings Funding Ltd. (Cayman Islands)
2.88%		02/15/25	4,5		15,000		15,042
Citigroup, Inc.
2.57%		06/03/31	3		60,000		60,002
2.88%		07/24/23	3		50,000		51,546
3.67%		07/24/28	3		20,000		21,895
Ford Motor Credit Co. LLC
3.34%		03/28/22			54,000		54,743
4.25%		09/20/22			19,000		19,685
GE Capital International Funding Co. (Ireland)
3.37%		11/15/25	4		60,000		65,100
4.42%		11/15/35	4		118,000		135,207
General Motors Financial Co., Inc.
3.20%		07/06/21			5,000		5,022
4.20%		11/06/21			20,000		20,437
4.38%		09/25/21			20,000		20,372
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27	3		15,000		14,864
2.60%		02/07/30			100,000		101,333
2.91%		07/24/23	3		35,000		36,041
3.27%		09/29/25	3		30,000		32,150
3.50%		11/16/26			5,000		5,423
Intercontinental Exchange, Inc.
1.85%		09/15/32			15,000		13,751
(LIBOR USD 3-Month plus 0.65%)
0.83%		06/15/23	6		25,000		25,045
Morgan Stanley (GMTN)
3.70%		10/23/24			5,000		5,478
3.77%		01/24/29	3		20,000		21,947
Morgan Stanley (MTN)
3.62%		04/01/31	3		65,000		70,655

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 38

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley,
Series F
3.88%		04/29/24		$	20,000	$	21,861
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	3,4,5		10,000		10,318
3.77%		03/08/24	3,4,5		40,000		42,277
4.36%		08/01/24	3,4,5		5,000		5,401
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%		02/15/24	4,5		5,000		5,439
Pipeline Funding Co. LLC
7.50%		01/15/30	5		27,024		33,856
Raymond James Financial, Inc.
3.63%		09/15/26			40,000		44,428
4.65%		04/01/30			25,000		29,215
							1,071,076
Food — 0.95%
Conagra Brands, Inc.
4.60%		11/01/25			6,000		6,817
General Mills, Inc.
4.20%		04/17/28			5,000		5,649
Kraft Heinz Foods Co.
4.63%		10/01/39			39,000		42,352
5.00%		07/15/35			13,000		15,027
Smithfield Foods, Inc.
3.35%		02/01/22	5		35,000		35,450
5.20%		04/01/29	5		5,000		5,742
Tyson Foods, Inc.
4.35%		03/01/29			10,000		11,398
							122,435
Health Care — 12.14%
AbbVie, Inc.
3.80%		03/15/25			20,000		21,861
4.40%		11/06/42			70,000		81,301
4.55%		03/15/35			10,000		11,643
Amgen, Inc.
3.15%		02/21/40			35,000		34,944
4.40%		05/01/45			15,000		17,420
Anthem, Inc.
3.70%		09/15/49			10,000		10,355
Ascension Health,
Series B
2.53%		11/15/29			10,000		10,268
AstraZeneca PLC
(United Kingdom)
3.38%		11/16/25	4		10,000		10,893
Barnabas Health, Inc.,
Series 2012
4.00%		07/01/28			5,000		5,613
Baxter International, Inc.
3.95%		04/01/30	5		10,000		11,266
Bayer U.S. Finance II LLC
3.88%		12/15/23	5		5,000		5,393

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
4.25%		12/15/25	5	$	10,000	$	11,138
4.38%		12/15/28	5		25,000		28,255
4.88%		06/25/48	5		35,000		41,981
Becton Dickinson and Co.
3.79%		05/20/50			30,000		31,959
4.67%		06/06/47			5,000		5,946
Bon Secours Mercy Health, Inc.,
Series 20-2
2.10%		06/01/31			65,000		62,903
Boston Scientific Corp.
2.65%		06/01/30			35,000		35,333
Bristol-Myers Squibb Co.
3.90%		02/20/28			13,000		14,615
Centene Corp.
3.00%		10/15/30			21,000		20,991
5.38%		08/15/26	5		4,000		4,230
Children’s Hospital Medical Center
2.82%		11/15/50			20,000		18,259
Cigna Corp.
2.40%		03/15/30			16,000		15,877
3.88%		10/15/47			8,000		8,572
4.38%		10/15/28			25,000		28,629
City of Hope,
Series 2013
5.62%		11/15/43			15,000		20,222
City of Hope,
Series 2018
4.38%		08/15/48			10,000		11,798
CommonSpirit Health
2.78%		10/01/30			35,000		35,700
CVS Health Corp.
3.25%		08/15/29			60,000		63,488
5.05%		03/25/48			45,000		55,288
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			40,000		41,871
Elanco Animal Health, Inc.
5.90%		08/28/28			5,000		5,684
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	5		50,000		52,038
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.71%		09/29/23	6		50,000		50,065
Hackensack Meridian Health, Inc.,
Series 2020
2.88%		09/01/50			30,000		28,325
HCA, Inc.
5.00%		03/15/24			49,000		54,607
5.25%		06/15/49			17,000		20,852
Humana, Inc.
3.95%		03/15/27			20,000		22,326
Illumina, Inc.
2.55%		03/23/31			30,000		29,772
Kaiser Foundation Hospitals
3.15%		05/01/27			10,000		10,926

See accompanying Notes to Financial Statements.

39 / Annual Report March 2021

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Mass General Brigham, Inc.,
Series 2020
3.34%		07/01/60		$	10,000	$	10,314
Mayo Clinic,
Series 2013
4.00%		11/15/47			25,000		28,808
MedStar Health, Inc.,
Series 20A
3.63%		08/15/49			10,000		10,287
Memorial Sloan-Kettering Cancer Center
4.13%		07/01/52			5,000		5,899
NYU Langone Hospitals,
Series 2020
3.38%		07/01/55			15,000		14,713
OhioHealth Corp.,
Series 2020
3.04%		11/15/50			15,000		15,082
PerkinElmer, Inc.
2.55%		03/15/31			25,000		24,797
Pfizer, Inc.
4.10%		09/15/38			10,000		11,675
Providence St. Joseph Health Obligated Group,
Series H
2.75%		10/01/26			10,000		10,647
Quest Diagnostics, Inc.
4.20%		06/30/29			25,000		28,587
Regeneron Pharmaceuticals, Inc.
1.75%		09/15/30			70,000		64,859
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/23	4,5		25,000		24,977
1.75%		09/02/27	4,5		45,000		43,934
Sharp HealthCare,
Series 20B
2.68%		08/01/50			50,000		45,740
Smith & Nephew PLC
(United Kingdom)
2.03%		10/14/30	4		30,000		28,275
Takeda Pharmaceutical Co. Ltd.
(Japan)
2.05%		03/31/30	4		20,000		19,273
Thermo Fisher Scientific, Inc.
4.50%		03/25/30			11,000		12,854
UnitedHealth Group, Inc.
2.90%		05/15/50			12,000		11,525
3.70%		08/15/49			10,000		10,955
4.25%		04/15/47			15,000		17,695
Viatris, Inc.
1.13%		06/22/22	5		15,000		15,090
West Virginia United Health System Obligated Group,
Series 2020
3.13%		06/01/50			35,000		33,291
Zimmer Biomet Holdings, Inc.
3.55%		03/20/30			25,000		26,758
							1,568,642

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials — 2.66%
Amcor Finance USA, Inc.
3.63%		04/28/26		$	10,000	$	10,945
Amcor Flexibles North America, Inc.
2.63%		06/19/30			5,000		4,993
BAE Systems Holdings, Inc.
3.85%		12/15/25	5		20,000		22,034
BAE Systems PLC
(United Kingdom)
3.40%		04/15/30	4,5		30,000		31,892
Berry Global, Inc.
0.95%		02/15/24	5		15,000		14,938
1.57%		01/15/26	5		28,000		27,590
Boeing Co. (The)
1.43%		02/04/24			35,000		35,065
CCL Industries, Inc.
(Canada)
3.05%		06/01/30	4,5		25,000		25,371
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.58%		05/05/26	6		10,000		9,743
L3Harris Technologies, Inc.
3.85%		06/15/23			50,000		53,376
Northrop Grumman Corp.
5.25%		05/01/50			20,000		26,138
Sonoco Products Co.
3.13%		05/01/30			10,000		10,338
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%		04/28/26	4,5		5,000		5,421
Trane Technologies Luxembourg Finance SA
(Luxembourg)
3.55%		11/01/24	4		5,000		5,410
WRKCo, Inc.
3.00%		09/15/24			30,000		31,906
3.00%		06/15/33			5,000		5,088
4.90%		03/15/29			20,000		23,375
							343,623
Information Technology — 2.45%
Amazon.com, Inc.
2.50%		06/03/50			40,000		35,815
Apple, Inc.
2.38%		02/08/41			25,000		23,185
2.65%		02/08/51			75,000		68,715
Broadcom, Inc.
3.63%		10/15/24			5,000		5,442
Fiserv, Inc.
2.65%		06/01/30			15,000		15,125
Intel Corp.
3.25%		11/15/49			15,000		15,114
NVIDIA Corp.
3.50%		04/01/50			25,000		26,453
NXP BV/NXP Funding LLC
(Netherlands)
3.88%		09/01/22	4,5		30,000		31,334

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 40

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
4.63%		06/01/23	4,5	$	10,000	$	10,833
Oracle Corp.
3.60%		04/01/50			60,000		58,218
3.95%		03/25/51			25,000		25,819
							316,053
Insurance — 4.75%
Allstate Corp. (The)
3.85%		08/10/49			25,000		27,574
Aon Corp. 2.80%		05/15/30			45,000		46,051
3.75%		05/02/29			5,000		5,509
Berkshire Hathaway Finance Corp.
4.20%		08/15/48			20,000		23,116
Equitable Financial Life Global Funding
1.80%		03/08/28	5		20,000		19,570
Farmers Insurance Exchange
4.75%		11/01/57	3,5		55,000		57,583
Guardian Life Insurance Co. of America (The)
3.70%		01/22/70	5		45,000		42,827
Marsh & McLennan Cos., Inc.
2.25%		11/15/30			10,000		9,836
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	5		47,000		46,494
Metropolitan Life Global Funding I
2.95%		04/09/30	5		40,000		41,730
3.45%		10/09/21	5		42,000		42,693
Nationwide Mutual Insurance Co.
2.47%		12/15/24	3,5		30,000		29,983
New York Life Insurance Co.
3.75%		05/15/50	5		95,000		100,801
Pacific LifeCorp
3.35%		09/15/50	5		25,000		24,387
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	3,5		65,000		69,122
Travelers Cos., Inc. (The)
4.05%		03/07/48			10,000		11,545
Willis North America, Inc.
2.95%		09/15/29			15,000		15,517
							614,338
Materials — 0.63%
Georgia-Pacific LLC
2.30%		04/30/30	5		15,000		14,956
International Flavors & Fragrances, Inc.
4.45%		09/26/28			5,000		5,675
5.00%		09/26/48			45,000		55,602
Sherwin-Williams Co. (The)
2.30%		05/15/30			5,000		4,933
							81,166
Real Estate Investment Trust (REIT) — 5.96%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26			50,000		55,277
4.50%		07/30/29			11,000		12,664
American Assets Trust LP
3.38%		02/01/31			30,000		29,755

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
American Campus Communities Operating Partnership LP
3.30%		07/15/26		$	10,000	$	10,758
3.63%		11/15/27			35,000		38,228
3.75%		04/15/23			25,000		26,444
3.88%		01/30/31			10,000		10,793
AvalonBay Communities, Inc. (MTN)
2.45%		01/15/31			10,000		9,982
Boston Properties LP
3.25%		01/30/31			10,000		10,363
3.40%		06/21/29			5,000		5,260
Crown Castle International Corp.
3.30%		07/01/30			45,000		47,177
CubeSmart LP
4.38%		02/15/29			5,000		5,574
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			5,000		5,292
3.45%		11/15/29			55,000		56,710
Essex Portfolio LP
2.65%		03/15/32			5,000		4,927
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			5,000		5,307
4.00%		01/15/30			65,000		67,659
Healthcare Realty Trust, Inc.
3.63%		01/15/28			30,000		32,280
Healthcare Trust of America Holdings LP
3.75%		07/01/27			65,000		72,036
Hudson Pacific Properties LP
3.95%		11/01/27			50,000		53,664
Kilroy Realty LP
2.50%		11/15/32			15,000		14,113
3.45%		12/15/24			10,000		10,707
Lexington Realty Trust
2.70%		09/15/30			45,000		44,014
Life Storage LP
2.20%		10/15/30			40,000		37,952
Mid-America Apartments LP
1.70%		02/15/31			10,000		9,208
SL Green Operating Partnership LP
3.25%		10/15/22			45,000		46,657
(LIBOR USD 3-Month plus 0.98%)
1.17%		08/16/21	6		15,000		15,000
UDR, Inc.
(MTN)
4.40%		01/26/29			5,000		5,655
Ventas Realty LP
3.00%		01/15/30			15,000		15,308
4.13%		01/15/26			10,000		11,213
							769,977
Retail — 1.27%
7-Eleven, Inc.
0.80%		02/10/24	5		35,000		34,899
Alimentation Couche-Tard, Inc.
(Canada)
3.80%		01/25/50	4,5		50,000		50,709

See accompanying Notes to Financial Statements.

41 / Annual Report March 2021

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
Home Depot, Inc. (The)
3.90%		12/06/28		$	5,000	$	5,734
Lowe’s Cos., Inc.
3.65%		04/05/29			25,000		27,372
McDonald’s Corp.
(MTN)
4.20%		04/01/50			20,000		22,835
Starbucks Corp.
3.80%		08/15/25			5,000		5,514
Walgreens Boots Alliance, Inc.
4.80%		11/18/44			15,000		16,607
							163,670
Services — 1.53%
IHS Markit Ltd.
(Bermuda)
4.00%		03/01/26	4,5		50,000		55,191
4.75%		08/01/28	4		5,000		5,784
5.00%		11/01/22	4,5		5,000		5,275
Northwestern University
3.69%		12/01/38			10,000		10,995
Pomona College,
Series A
2.89%		01/01/51			35,000		34,041
RELX Capital, Inc.
4.00%		03/18/29			35,000		38,646
University of Chicago (The),
Series 20B
2.76%		04/01/45			5,000		4,868
University of Southern California
2.81%		10/01/50			10,000		9,668
Waste Connections, Inc.
(Canada)
2.60%		02/01/30	4		5,000		5,025
3.05%		04/01/50	4		25,000		23,692
William Marsh Rice University
2.60%		05/15/50			5,000		4,599
							197,784
Transportation — 1.10%
Burlington Northern Santa Fe LLC
4.40%		03/15/42			18,000		21,101
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			24,253		24,322
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32			14,451		14,562
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32			30,000		32,594
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			23,748		24,466

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		$	15,555	$	16,100
United Airlines Pass-Through Trust,
Series 2016-2, Class AA
2.88%		10/07/28			8,414		8,542
							141,687
Water — 0.40%
American Water Capital Corp.
3.45%		05/01/50			51,000		51,860
Total Corporates
(Cost $10,498,602)							10,416,993
MORTGAGE-BACKED — 1.38%**
Non-Agency Commercial Mortgage-Backed — 0.65%
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.21%		03/10/46	3		325,401		6,248
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.86%		09/10/47	1,2,3		622,290		15,485
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
0.89%		12/10/47	3		477,674		12,186
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.74%		08/10/43	3,5		2,522,073		30,545
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.17%		03/10/44	3,5		699,361		282
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XA (IO)
1.41%		08/15/45	3,5		229,168		2,804
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C6, Class XA (IO)
1.61%		11/15/45	1,2,3,5		150,996		2,383
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.20%		08/10/49	1,2,3,5		2,200,000		7,146
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XA (IO)
1.30%		06/15/45	3,5		762,896		6,314
							83,393
U.S. Agency Commercial Mortgage-Backed — 0.35%
Fannie Mae-Aces,
Series 2014-M6, Class X2 (IO)
0.63%		05/25/21	3		2,232,285		163
Fannie Mae-Aces,
Series 2015-M4, Class X2 (IO)
0.44%		07/25/22	3		429,200		820
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K723, Class X1 (IO)
0.95%		08/25/23	3		913,452		15,819

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 42

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.22%		09/16/51	3	$	580,539	$	23,414
Ginnie Mae,
Series 2011-53, Class IO (IO)
0.00%		05/16/51	3		2,234,932		91
Ginnie Mae,
Series 2012-144, Class IO (IO)
0.40%		01/16/53	3		277,936		4,578
							44,885
U.S. Agency Mortgage-Backed — 0.38%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
5.89%		11/25/41	6		63,660		8,883
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42			25,077		25,448
Freddie Mac REMICS,
Series 4638, Class UF
(LIBOR USD 1-Month plus 1.00%)
1.12%		09/15/44	6		15,193		15,350
							49,681
Total Mortgage-Backed
(Cost $286,333)							177,959
MUNICIPAL BONDS — 2.23%*
California — 0.93%
City of San Francisco Public Utilities Commission Water
Revenue Bonds, Series E
2.83%		11/01/41			25,000		24,883
Los Angeles Department of Airports Revenue Bonds, Port,
Airport and Marina Improvements, Series A
3.89%		05/15/38			15,000		16,747
Los Angeles Department of Water & Power Power System
Revenue Bonds, Water Utility Improvements, Series SY
6.01%		07/01/39			5,000		6,478
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series KR
5.75%		07/01/34			5,000		6,618
5.76%		07/01/29			5,000		6,210
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series RY
6.76%		07/01/34			5,000		7,069
Regents of the University of California Medical Center
Pooled Revenue Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.01%		05/15/50			30,000		28,825
3.26%		05/15/60			5,000		5,007
Santa Clara Valley Transportation Authority Revenue Bonds,
Transit Improvements
5.88%		04/01/32			10,000		12,344

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
University of California, Taxable, College & University,
Revenue Bonds, University & College Improvements, Series
AJ
4.60%		05/15/31	$	5,000	$	5,826
						120,007
Colorado — 0.19%
City & County of Denver Airport System Revenue Bonds,
Series C
2.24%		11/15/30		25,000		24,466
Florida — 0.12%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
3.50%		10/01/31		15,000		15,842
Georgia — 0.16%
City of Atlanta Water & Waste water Revenue Bonds
2.26%		11/01/35		20,000		19,870
Massachusetts — 0.08%
Massachusetts School Building Authority Revenue Bonds,
Series B
2.97%		10/15/32		10,000		10,511
New York — 0.63%
City of New York General Obligation Bonds, Series D
1.92%		08/01/31		25,000		23,301
Metropolitan Transportation Authority Revenue Bonds,
Transit Improvements, Series C2
2 5.18%		11/15/49		5,000		6,214
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
3.73%		08/01/29		5,000		5,585
New York City Transitional Finance Authority Future
Tax Secured Revenue Bonds, Taxable Bonds, Public
Improvements
3.96%		08/01/32		30,000		33,214
New York City Water & Sewer System Revenue Bonds,
Series AA
5.00%		06/15/50		10,000		12,734
						81,048
Ohio — 0.12%
Ohio, Taxable Revenue Bonds, Advanced Refunding,
Cleveland Clinic
2.89%		01/01/32		15,000		15,619
Total Municipal Bonds
(Cost $289,811)						287,363
U.S. TREASURY SECURITIES — 12.41%
U.S. Treasury Bonds — 1.81%
U.S. Treasury Bonds
1.88%		02/15/51		264,000		234,341
U.S. Treasury Notes — 10.60%
U.S. Treasury Notes
0.13%		01/31/23		223,000		222,895

See accompanying Notes to Financial Statements.

43 / Annual Report March 2021

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
0.13%		02/28/23	$	412,000	$	411,759
0.50%		02/28/26		406,000		398,039
1.13%		02/15/31		356,000		336,448
						1,369,141
Total U.S. Treasury Securities
(Cost $1,607,208)						1,603,482
Total Bonds — 96.98%
(Cost $12,726,751)						12,529,915
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 2.06%
Money Market Funds — 2.06%
Dreyfus Government Cash Management Fund
0.03%7				235,000		235,000
Fidelity Investments Money Market Funds - Government Portfolio
0.01%7				31,086		31,086
Total Short-Term Investments
(Cost $266,086)						266,086
Total Investments - 99.04%
(Cost $12,992,837)						12,796,001
Cash and Other Assets, Less Liabilities - 0.96%						124,490
Net Assets - 100.00%					$	12,920,491

¹  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

²  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $74,399, which is 0.58% of total net assets.

³  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁴  Foreign denominated security issued by foreign domiciled entity.

⁵  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.

⁶  Floating rate security. The rate disclosed was in effect at March 31, 2021.

⁷  Represents the current yield as of March 31, 2021.

* 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.

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): Bank Note

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(USD): U.S. Dollar

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 44

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five Year Note		6		06/30/21	$	740,391	$	(9,340)	$	(9,340)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten Year Ultra Bond		6		06/21/21		(862,125)		30,315		30,315
TOTAL FUTURES CONTRACTS					$	(121,734)	$	20,975	$	20,975

See accompanying Notes to Financial Statements.

45 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BONDS – 103.36%
ASSET-BACKED SECURITIES — 14.09%**
Aimco CLO 11 Ltd.,
Series 2020-11A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.38%)
1.60%		10/15/31	1,2,3	$	185,000	$	185,324
Aimco CLO 14 Ltd.,
Series 2021-14A, Class SUB
(Cayman Islands)
0.00%		04/20/34	1,3,4		700,000		654,850
AMMC CLO 19 Ltd.,
Series 2016-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.38%		10/16/28	1,2,3		15,000		15,000
AMMC CLO 23 Ltd.,
Series 2020-23A, Class A1L
(Cayman Islands)
(LIBOR USD 3-Month plus 1.40%)
1.64%		10/17/31	1,2,3		480,000		480,998
BlueMountain CLO Ltd.,
Series 2018-3A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.77%)
1.99%		10/25/30	1,2,3		250,000		250,176
BlueMountain CLO XXX Ltd.,
Series 2020-30A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.80%)
1.96%		01/15/33	1,2,3		250,000		250,729
BMO SBA COOF Trust,
Series 2019-1, Class A (IO)
1.70%		10/25/45	1,4		4,768,139		285,567
Bombardier Capital Mortgage Securitization Corp.,
Series 1999-B, Class A2
6.98%		12/15/29	4		997,492		231,621
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A3
7.83%		06/15/30	4		1,658,345		413,762
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.27%)
1.51%		10/25/32	1,2,3		250,000		250,355
Chase Auto Credit Linked Notes,
Series 2021-1, Class R
28.35%		09/25/28	†,1		550,000		549,999
CIT Mortgage Loan Trust,
Series 2007-1, Class 1M2
(LIBOR USD 1-Month plus 1.75%)
1.86%		10/25/37	1,2		600,000		570,623
Conseco Finance Securitizations Corp.,
Series 2000-1, Class A5
8.06%		09/01/29	4		3,425,620		1,052,789
Conseco Finance Securitizations Corp.,
Series 2000-4, Class A5
7.97%		05/01/32			1,992,158		615,862

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.06%		10/15/52	1,4	$	843,399	$	60,793
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF3 (STEP-reset date 05/25/21)
3.33%		01/25/37			1,119,798		518,316
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF6 (STEP-reset date 05/25/21)
3.33%		01/25/37			1,976,916		935,734
Dryden 85 CLO Ltd.,
Series 2020-85A, Class D
(Cayman Islands)
(LIBOR USD 3-Month plus 3.90%)
4.11%		10/15/32	1,2,3		90,000		90,483
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.14%		04/15/29	1,2,3		64,000		63,884
Dryden XXVIII Senior Loan Fund,
Series 2013-28A, Class A1LR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
1.39%		08/15/30	1,2,3		10,000		10,008
Eaton Vance CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.89%		10/15/30	1,2,3		90,000		90,307
Galaxy XXIX CLO Ltd.,
Series 2018-29A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.79%)
0.98%		11/15/26	1,2,3		147,097		147,176
Gilbert Park CLO Ltd.,
Series 2017-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
1.43%		10/15/30	1,2,3		485,000		485,024
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.77%		07/20/31	1,2,3		85,000		85,348
Greenwood Park CLO Ltd.,
Series 2018-1A, Class SUB
(Cayman Islands)
0.00%		04/15/31	1,3,4		675,000		513,668
GSAA Home Equity Trust,
Series 2007-5, Class 2A2A
(LIBOR USD 1-Month plus 0.23%)
0.34%		04/25/47	2		1,041,972		662,094
Invesco CLO Ltd.,
Series 2021-1A, Class SUB
(Cayman Islands)
0.00%		04/15/34	†,1,3,4		650,000		539,499

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 46

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

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	1	$	47,810	$	52,662
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%		01/17/73	1		49,339		53,653
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH2, Class AF3 (STEP-reset date 05/25/21)
5.46%		09/25/29			653,063		526,290
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF5 (STEP-reset date 05/25/21)
6.34%		08/25/36			320,218		242,258
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A5 (STEP-reset date 05/25/21)
6.91%		07/25/36			1,968,028		877,282
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF2 (STEP-reset date 05/25/21)
4.55%		01/25/37			528,911		374,522
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF3 (STEP-reset date 05/25/21)
4.55%		10/25/30			812,018		556,121
LCM XIII LP,
Series 13A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.36%		07/19/27	1,2,3		500,000		500,267
LCM XXIV Ltd.,
Series 24A, Class AR
(Cayman Islands)
(-1.00 X LIBOR USD 3-Month plus 0.98%, 0.98% Cap)
0.00%		03/20/30	1,2,3		500,000		500,255
Lehman XS Trust,
Series 2006-17, Class 1A3
(LIBOR USD 1-Month plus 0.50%)
0.61%		08/25/46	2		283,533		274,879
Lehman XS Trust,
Series 2006-17, Class 1AIO (IO)
0.60%		08/25/46	5,6		10,479,327		276,129
Magnetite XXVII Ltd.,
Series 2020-27A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.77%		07/20/33	1,2,3		85,000		85,181
MASTR Asset-Backed Securities Trust,
Series 2006-NC2, Class A3
(LIBOR USD 1-Month plus 0.22%)
0.33%		08/25/36	2		832,437		442,374
Merrill Lynch Mortgage Investors Trust,
Series 2006-HE6, Class A2B
(LIBOR USD 1-Month plus 0.30%)
0.41%		11/25/37	2		918,785		446,327
Navient Student Loan Trust,
Series 2018-4A, Class B
(LIBOR USD 1-Month plus 1.30%)
1.41%		06/27/67	1,2		850,000		821,635

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
1.01%		06/25/54	1,2	$	100,000	$	100,769
Neuberger Berman Loan Advisers CLO 40 Ltd.,
Series 2021-40A, Class SUB
(Cayman Islands)
0.00%		04/16/33	1,3,4		275,000		260,177
Oakwood Mortgage Investors, Inc.,
Series 1999-C, Class A2
7.48%		08/15/27			435,054		412,407
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.33%		11/20/30	1,2,3		325,000		325,220
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.47%		10/19/32	1,2,3		275,000		275,341
Palmer Square CLO Ltd.,
Series 2014-1A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.35%		01/17/31	1,2,3		725,000		725,410
Palmer Square CLO Ltd.,
Series 2020-3A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.37%)
1.60%		11/15/31	1,2,3		550,000		551,633
Palmer Square CLO Ltd.,
Series 2021-1A, Class SUB
(Cayman Islands)
0.00%		04/20/34	1,3,4		625,000		605,801
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.12%		10/24/27	1,2,3		27,999		28,015
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.77%		04/20/28	1,2,3		10,000		10,007
PHEAA Student Loan Trust,
Series 2014-3A, Class A
(LIBOR USD 1-Month plus 0.59%)
0.70%		08/25/40	1,2		42,883		42,666
Progress Residential Trust,
Series 2019-SFR1, Class A
3.42%		08/17/35	1		347,657		357,135
Progress Residential Trust,
Series 2019-SFR2, Class A
3.15%		05/17/36	1		331,430		339,466

See accompanying Notes to Financial Statements.

47 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Progress Residential,
Series 2021-SFR1, Class H
5.00%		04/17/38	1	$	750,000	$	751,039
Rockford Tower CLO Ltd.,
Series 2017-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus1.02%)
1.26%		10/15/29	1,2,3		55,000		54,925
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
1.41%		10/20/30	1,2,3		475,000		475,119
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/37	5,6		547,517		539,219
SLM Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.50%)
0.72%		07/25/39	2		64,579		61,093
SLM Student Loan Trust,
Series 2007-2, Class B
(LIBOR USD 3-Month plus 0.17%)
0.39%		07/25/25	2		115,000		107,583
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
1.92%		07/25/23	2		8,681		8,745
SLM Student Loan Trust,
Series 2008-7, Class A4
(LIBOR USD 3-Month plus 0.90%)
1.12%		07/25/23	2		18,027		17,869
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		07/26/83	2		10,000		9,987
Soundview Home Loan Trust,
Series 2007-OPT2, Class 2A4
(LIBOR USD 1-Month plus 0.25%)
0.36%		07/25/37	2		384,299		342,267
Soundview Home Loan Trust,
Series 2007-OPT4, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
1.11%		09/25/37	2		502,183		404,567
Specialty Underwriting & Residential Finance Trust,
Series 2006-BC2, Class A1
(LIBOR USD 1-Month plus 0.36%)
0.47%		02/25/37	2		931,325		430,541
TAL Advantage VII LLC,
Series 2020-1A, Class A
2.05%		09/20/45	1		587,450		587,638
Textainer Marine Containers VIII Ltd.,
Series 2020-2A, Class A
(Bermuda)
2.10%		09/20/45	1,3		552,863		555,386

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
TIF Funding II LLC,
Series 2020-1A, Class A
2.09%		08/20/45	1	$	525,938	$	523,525
Voya CLO Ltd.,
Series 2018-4A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.83%		01/15/32	1,2,3		250,000		250,125
Voya CLO Ltd.,
Series 2020-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.82%		07/19/31	1,2,3		160,000		160,313
Total Asset-Backed Securities
(Cost $25,611,895)							25,353,812
BANK LOANS — 7.68%*
Communications — 0.25%
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%		03/15/27	2		124,684		123,571
CSC Holdings LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.61%		04/15/27	2		49,874		49,371
Frontier Communications Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.75%		10/08/21	2		125,000		124,844
GTT Communications BV,
Term Loan B, 1st Lien
(EURIBOR plus 3.25%)
3.25%		05/31/25	2		149,615		158,369
							456,155
Consumer Discretionary — 0.51%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.25%)
3.75%		12/23/27	2		150,000		148,865
Kwor Acquisition, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%		06/03/26	2		324,175		320,933
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		02/01/28	2		99,641		99,807
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		10/01/26	2		250,000		250,063

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 48

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Waystar technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.11%		10/22/26	2	$	99,497	$	99,809
							919,477
Electric — 1.01%
Astoria Energy LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%		12/10/27	2		273,506		274,141
Calpine Corp.,
Term Loan B9, 1st Lien
(LIBOR plus 2.00%)
2.11%		04/05/26	2		249,365		246,985
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%		04/06/26	2		398,987		397,337
Endure Digital, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%		02/10/28	2		400,000		396,500
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/31/25	2		498,615		495,766
							1,810,729
Entertainment — 0.57%
CineWorld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		02/28/25	2		125,224		107,356
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
7.00%		05/23/24	2		721,226		915,507
							1,022,863
Finance — 0.65%
DCG Acquisition Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
4.61%		09/30/26	2		274,304		273,961
Delos Finance SARL,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.95%		10/06/23	2		275,000		274,754
Mirion Technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.20%		03/06/26	2		99,492		99,779
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%		02/04/28	2		250,000		251,771

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
Schweitzer-Mauduit International, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.00%		01/27/28	2	$	275,000	$	274,656
							1,174,921
Food — 0.05%
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.86%		07/20/25	2		99,489		98,556
Gaming — 0.22%
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.11%		12/27/24	2		398,969		397,972
Health Care — 1.27%
Avantor Funding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.25%		11/08/27	2		99,750		99,912
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%		01/15/25	2		275,000		274,449
BCPE Eagle Buyer LLC,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.25%		03/18/24	2		308,652		308,009
Buckeye Partners LP,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
2.36%		11/01/26	2		249,375		248,569
CPI Holdco LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%		11/04/26	2		99,497		99,535
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.87%		08/01/27	2		548,188		541,824
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.00%)
2.20%		12/30/26	2		274,307		273,750
Gentiva Health Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.88%		07/02/25	2		70,973		70,678
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.50%		02/26/28	2		275,000		274,587

See accompanying Notes to Financial Statements.

49 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Pathway Vet Alliance LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
3.86%		03/31/27	2	$	99,499	$	99,053
							2,290,366
Industrials — 0.48%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
1.90%		07/01/26	2		399,000		396,381
Charter NEX U.S., Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%		12/01/27	2		75,000		75,248
Proampac PG Borrower LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.00%		11/03/25	2		200,000		200,166
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%		08/12/24	2		198,969		197,383
							869,178
Information Technology — 1.76%
AppLovin Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.61%		08/15/25	2		274,298		274,400
BJ’s Wholesale Club, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.11%		02/03/24	2		425,000		425,266
Ciox Health,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
6.00%		12/16/25	2		75,000		75,219
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.69%		08/14/25	2		274,298		270,698
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%		10/01/27	2		250,000		249,375
IQVIA, Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.86%		01/17/25	2		398,966		397,420
Nouryon USA LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		10/01/25	2		398,955		393,428

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Peraton Corp.,
Delayed-Draw Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.75%		02/01/28	2	$	175,359	$	175,652
Precision Medicine Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.75%		11/18/27	2,7		352,962		351,087
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.75%		02/18/28	2		275,000		274,083
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%		03/04/28	2		275,000		273,010
							3,159,638
Insurance — 0.15%
Asurion LLC,
Term Loan B7, 1st Lien
(LIBOR plus 3.00%)
3.11%		11/03/24	2		274,295		273,524
Real Estate Investment Trust (REIT) — 0.22%
VICI Properties 1 LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/20/24	2		400,000		396,044
Retail — 0.32%
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%		02/19/28	2		174,563		173,513
Sinclair Television Group, Inc.,
Term Loan B2B, 1st Lien
(LIBOR plus 2.50%)
2.61%		09/30/26	2		398,987		393,501
							567,014
Services — 0.22%
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/25	2		398,921		395,514
Total Bank Loans
(Cost $13,638,163)							13,831,951
CORPORATES — 26.34%*
Banking — 2.07%
Bank of America Corp.
2.59%		04/29/31	4		260,000		259,684
Bank of America Corp.
(MTN)
2.88%		10/22/30	4		5,000		5,146

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 50

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp.,
Series N
1.66%		03/11/27	4	$	340,000	$	341,146
Comerica, Inc.
5.63%		10/01/69	4		15,000		16,556
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	1,3,4		250,000		242,020
2.19%		06/05/26	1,3,4		25,000		25,380
Fifth Third Bancorp
2.55%		05/05/27			10,000		10,415
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	3,4		345,000		339,771
2.63%		11/07/25	3,4		150,000		157,048
4.29%		09/12/26	3,4		130,000		143,891
JPMorgan Chase & Co.
2.18%		06/01/28	4		20,000		20,231
2.52%		04/22/31	4		285,000		284,629
3.20%		06/15/26			5,000		5,409
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	3,4		305,000		303,244
2.86%		03/17/23	3,4		220,000		224,691
3.87%		07/09/25	3,4		30,000		32,673
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	3,4		325,000		325,364
3.37%		01/05/24	3,4		160,000		167,302
4.80%		11/15/24	3,4		135,000		148,646
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	4		345,000		356,102
2.39%		06/02/28	4		305,000		312,771
							3,722,119
Communications — 5.33%
AT&T, Inc.
3.50%		09/15/53	1		35,000		32,405
3.80%		12/01/57	1		130,000		123,845
4.75%		05/15/46			400,000		461,254
Cable One, Inc.
4.00%		11/15/30	1		360,000		355,835
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%		05/01/32	1		355,000		359,964
Charter Communications Operating LLC/Charter
Communications Operating Capital
5.38%		05/01/47			141,000		163,960
CSC Holdings LLC
3.38%		02/15/31	1		45,000		42,470
6.50%		02/01/29	1		99,000		109,581
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%		08/15/26	1		824,000		595,101
6.63%		08/15/27	1		525,000		281,205
DISH Network Corp.
3.38%		08/15/26			287,000		276,611

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Frontier Communications Corp.
5.00%		05/01/28	1	$	282,000	$	287,331
Intelsat Jackson Holdings SA
(Luxembourg)
5.50%		08/01/23	3,8,9		535,000		329,025
8.50%		10/15/24	1,3,8,9		270,000		171,619
9.75%		07/15/25	1,3,8,9		360,000		225,864
Level 3 Financing, Inc.
3.63%		01/15/29	1		40,000		38,859
4.25%		07/01/28	1		150,000		151,843
4.63%		09/15/27	1		172,000		177,326
National CineMedia LLC
5.88%		04/15/28	1		483,000		450,397
Qwest Corp.
7.25%		09/15/25			212,000		248,835
Scripps Escrow II, Inc.
5.38%		01/15/31	1		449,000		446,474
Scripps Escrow, Inc.
5.88%		07/15/27	1		116,000		120,205
Sprint Corp.
7.88%		09/15/23			252,000		288,351
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	1		325,000		348,993
5.15%		03/20/28	1		495,000		565,538
Time Warner Cable LLC
5.50%		09/01/41			80,000		94,987
T-Mobile USA, Inc.
2.25%		02/15/26			758,000		760,146
2.55%		02/15/31	1		199,000		195,207
4.38%		04/15/40	1		15,000		16,681
6.00%		04/15/24			348,000		351,045
Verizon Communications, Inc.
2.10%		03/22/28			85,000		85,314
2.55%		03/21/31			255,000		254,804
3.15%		03/22/30			5,000		5,278
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	1,3		324,000		327,515
5.50%		05/15/29	1,3		36,000		38,262
Vmed O2 UK Financing I PLC
(United Kingdom)
4.25%		01/31/31	1,3		375,000		365,475
Vodafone Group PLC
(United Kingdom)
4.25%		09/17/50	3		60,000		66,028
4.38%		05/30/28	3		205,000		235,649
Walt Disney Co. (The)
2.65%		01/13/31			85,000		86,873
3.60%		01/13/51			55,000		58,682
							9,594,837
Consumer Discretionary — 1.26%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.90%		02/01/46			215,000		257,409

See accompanying Notes to Financial Statements.

51 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Bacardi Ltd.
(Bermuda)
4.45%	05/15/251,3	$	215,000	$	239,225
4.70%	05/15/281,3		65,000		74,426
5.30%	05/15/481,3		115,000		141,752
BAT Capital Corp.
2.73%	03/25/31		15,000		14,593
3.56%	08/15/27		165,000		175,705
4.39%	08/15/37		150,000		157,444
Central Garden & Pet Co.
4.13%	10/15/30		278,000		281,249
Imperial Brands Finance PLC
(United Kingdom)
4.25%	07/21/251,3		160,000		176,130
Reynolds American, Inc.
4.45%	06/12/25		95,000		105,474
5.70%	08/15/35		100,000		118,666
5.85%	08/15/45		195,000		229,366
Spectrum Brands, Inc.
3.88%	03/15/311		300,000		293,960
				2,265,399
Electric — 1.13%
Alliant Energy Finance LLC
1.40%	03/15/261		245,000		240,620
Duke Energy Carolinas LLC
4.00%	09/30/42		250,000		280,027
Evergy, Inc.
4.85%	06/01/21		20,000		20,000
Eversource Energy,
Series O
4.25%	04/01/29		8,000		9,124
FirstEnergy Corp.,
Series C
3.40%	03/01/50		546,000		480,265
FirstEnergy Transmission LLC
2.87%	09/15/281		418,000		422,077
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.27%)
0.45%	02/22/232		385,000		385,081
Pennsylvania Electric Co.
4.15%	04/15/251		5,000		5,342
Public Service Co. of New Mexico
3.85%	08/01/25		40,000		43,022
Tucson Electric Power Co.
3.85%	03/15/23		140,000		147,964
				2,033,522
Energy — 3.13%
Antero Resources Corp.
8.38%	07/15/261		350,000		386,750
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/281		148,000		151,163
Endeavor Energy Resources LP/EER Finance, Inc.
5.75%	01/30/281		138,000		145,979

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Energy Transfer Operating LP
4.75%		01/15/26	$	10,000	$	11,092
4.90%		03/15/35		20,000		21,254
4.95%		06/15/28		100,000		111,972
5.00%		05/15/50		55,000		57,107
Energy Transfer Operating LP,
Series B
6.63%		02/15/704		733,000		651,454
Exxon Mobil Corp.
4.23%		03/19/40		70,000		78,854
4.33%		03/19/50		20,000		22,995
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/341,3		200,000		194,250
Hess Corp.
4.30%		04/01/27		45,000		49,163
5.60%		02/15/41		20,000		23,120
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%		04/14/331,3		200,000		205,260
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%		04/14/333		200,000		205,260
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/261		294,000		302,714
NGPL Pipe Co. LLC
4.38%		08/15/221		25,000		25,957
4.88%		08/15/271		40,000		44,858
Petroleos del Peru SA,
Series REGS
(Peru)
4.75%		06/19/323		200,000		211,286
Petroleos Mexicanos
(Mexico)
5.95%		01/28/313		5,000		4,794
6.63%		06/15/353		5,000		4,764
6.75%		09/21/473		15,000		12,784
6.95%		01/28/603		5,000		4,291
7.69%		01/23/503		140,000		129,780
Petronas Capital Ltd.
(Malaysia)
3.50%		04/21/301,3		200,000		214,360
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25		98,000		107,975
Rockies Express Pipeline LLC
4.80%		05/15/301		234,000		231,806
4.95%		07/15/291		215,000		220,058
Ruby Pipeline LLC
8.00%		04/01/221,5,6		254,659		213,302
Sabine Pass Liquefaction LLC
5.75%		05/15/24		55,000		62,192
Southern Natural Gas Co. LLC
4.80%		03/15/471		65,000		74,387
Sunoco Logistics Partners Operations LP
5.40%		10/01/47		28,000		30,036

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 52

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Sunoco LP/Sunoco Finance Corp.
4.50%		05/15/29	1	$	479,000	$	477,802
TC PipeLines LP
4.38%		03/13/25			33,000		36,558
Texas Eastern Transmission LP
2.80%		10/15/22	1		170,000		174,892
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			150,000		151,125
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	1,3		93,000		90,442
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	1,3		35,000		32,416
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	1,3		270,000		257,175
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		09/01/27			132,000		136,183
Williams Cos., Inc. (The)
4.30%		03/04/24			60,000		65,490
							5,633,100
Entertainment — 0.03%
Live Nation Entertainment, Inc.
4.75%		10/15/27	1		53,000		53,480
Finance — 2.16%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.65%		07/21/27	3		25,000		26,254
3.88%		01/23/28	3		5,000		5,225
4.45%		10/01/25	3		110,000		119,855
5.00%		10/01/21	3		25,000		25,544
Air Lease Corp.
2.25%		01/15/23			25,000		25,672
Air Lease Corp.
(MTN)
3.00%		02/01/30			35,000		34,328
Citigroup, Inc.
2.57%		06/03/31	4		190,000		190,006
4.41%		03/31/31	4		15,000		17,137
Discover Financial Services
3.95%		11/06/24			205,000		224,406
Ford Motor Credit Co. LLC
3.81%		10/12/21			6,000		6,075
4.25%		09/20/22			85,000		88,063
5.60%		01/07/22			430,000		442,827
(LIBOR USD 3-Month plus 0.81%)
1.05%		04/05/21	2		5,000		5,000
(LIBOR USD 3-Month plus 1.27%)
1.46%		03/28/22	2		300,000		298,093
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	3		330,000		378,122

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Motors Financial Co., Inc.
3.20%		07/06/21		$	280,000	$	281,225
4.38%		09/25/21			10,000		10,186
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27	4		395,000		391,422
3.27%		09/29/25	4		165,000		176,827
3.69%		06/05/28	4		5,000		5,462
Intercontinental Exchange, Inc.
(LIBOR USD 3-Month plus 0.65%)
0.83%		06/15/23	2		150,000		150,272
JPMorgan Chase & Co.
2.08%		04/22/26	4		165,000		169,657
Morgan Stanley
(GMTN)
4.43%		01/23/30	4		125,000		143,513
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	1,3,4		205,000		216,667
4.36%		08/01/24	1,3,4		25,000		27,006
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	1,3		30,000		31,346
5.25%		08/15/22	1,3		30,000		31,504
5.50%		02/15/24	1,3		5,000		5,439
Pipeline Funding Co. LLC
7.50%		01/15/30	1		157,640		197,497
Raymond James Financial, Inc.
4.65%		04/01/30			145,000		169,446
							3,894,076
Food — 1.25%
Campbell Soup Co.
4.15%		03/15/28			10,000		11,204
Chobani LLC/Chobani Finance Corp, Inc.
4.63%		11/15/28	1		284,000		291,163
Conagra Brands, Inc.
4.85%		11/01/28			10,000		11,653
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.50%		01/15/30	1,3		376,000		416,890
Kraft Heinz Foods Co.
3.00%		06/01/26			185,000		195,138
4.88%		10/01/49			70,000		79,164
Pilgrim’s Pride Corp.
4.25%		04/15/31	1		180,000		179,493
5.88%		09/30/27	1		184,000		197,407
Post Holdings, Inc.
4.50%		09/15/31	1		225,000		223,301
4.63%		04/15/30	1		320,000		321,200
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/29	1		160,000		161,513
Smithfield Foods, Inc.
3.35%		02/01/22	1		165,000		167,121

See accompanying Notes to Financial Statements.

53 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
5.20%		04/01/29	1	$	5,000	$	5,742
							2,260,989
Gaming — 0.25%
Caesars Entertainment, Inc.
6.25%		07/01/25	1		143,000		152,620
Churchill Downs, Inc.
5.50%		04/01/27	1		139,000		145,476
Live Nation Entertainment, Inc.
3.75%		01/15/28	1		150,000		148,312
							446,408
Health Care — 3.37%
AbbVie, Inc.
3.85%		06/15/24			10,000		10,894
4.05%		11/21/39			5,000		5,582
4.25%		11/21/49			180,000		204,012
4.50%		05/14/35			134,000		157,505
Aetna, Inc.
3.50%		11/15/24			10,000		10,807
Amgen, Inc.
3.15%		02/21/40			100,000		99,840
Bausch Health Cos., Inc.
(Canada)
7.00%		03/15/24	1,3		191,000		195,584
Bayer U.S. Finance II LLC
4.25%		12/15/25	1		255,000		284,017
4.38%		12/15/28	1		210,000		237,336
4.88%		06/25/48	1		180,000		215,904
Becton Dickinson and Co.
3.73%		12/15/24			10,000		10,929
Centene Corp.
3.00%		10/15/30			323,000		322,868
Cigna Corp.
3.40%		03/01/27			30,000		32,614
4.90%		12/15/48			75,000		92,088
CommonSpirit Health
2.78%		10/01/30			35,000		35,700
4.35%		11/01/42			100,000		110,987
CVS Health Corp.
5.05%		03/25/48			190,000		233,440
Elanco Animal Health, Inc.
5.27%		08/28/23			140,000		150,937
5.90%		08/28/28			65,000		73,897
Encompass Health Corp.
4.75%		02/01/30			156,000		160,741
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%		04/01/29	1,3		350,000		355,467
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	1		120,000		124,891
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.71%		09/29/23	2		155,000		155,201
HCA, Inc.
4.13%		06/15/29			80,000		88,677

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.00%		03/15/24		$	10,000	$	11,145
5.25%		06/15/49			185,000		226,917
ModivCare, Inc.
5.88%		11/15/25	1		274,000		288,899
Molina Healthcare, Inc.
3.88%		11/15/30	1		763,000		785,794
4.38%		06/15/28	1		74,000		76,260
Prime Healthcare Services, Inc.
7.25%		11/01/25	1		413,000		440,877
Royalty Pharma PLC
(United Kingdom)
1.75%		09/02/27	1,3		225,000		219,672
Tenet Healthcare Corp.
4.63%		09/01/24	1		130,000		134,017
4.63%		06/15/28	1		96,000		98,518
4.88%		01/01/26	1		230,000		239,430
UnitedHealth Group, Inc.
3.70%		08/15/49			5,000		5,478
Viatris, Inc.
1.13%		06/22/22	1		40,000		40,240
Zimmer Biomet Holdings, Inc.
3.55%		03/20/30			120,000		128,437
							6,065,602
Industrials — 0.99%
BAE Systems Holdings, Inc.
3.85%		12/15/25	1		60,000		66,103
Berry Global, Inc.
0.95%		02/15/24	1		140,000		139,423
1.57%		01/15/26	1		200,000		197,068
Boeing Co. (The)
1.43%		02/04/24			340,000		340,630
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.58%		05/05/26	2		60,000		58,459
(LIBOR USD 3-Month plus 0.48%)
0.67%		08/15/36	2		52,000		42,134
General Electric Co.,
Series A (MTN)
6.75%		03/15/32			30,000		40,231
Graham Packaging Co., Inc.
7.13%		08/15/28	1		140,000		149,367
Graphic Packaging International LLC
3.50%		03/15/28	1		193,000		192,573
PowerTeam Services LLC
9.03%		12/04/25	1		179,000		197,581
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	1,3		195,000		203,492
Trident TPI Holdings, Inc.
9.25%		08/01/24	1		142,000		151,591
							1,778,652

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 54

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology — 0.56%
Fiserv, Inc.
2.65%		06/01/30		$	10,000	$	10,083
Intel Corp.
4.75%		03/25/50			25,000		31,391
NCR Corp.
5.13%		04/15/29	1		360,000		363,557
Oracle Corp.
2.88%		03/25/31			170,000		173,144
3.95%		03/25/51			270,000		278,849
SS&C Technologies, Inc.
5.50%		09/30/27	1		142,000		151,415
							1,008,439
Insurance — 0.69%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/29	1		305,000		300,213
Aon Corp.
2.80%		05/15/30			15,000		15,350
Berkshire Hathaway Finance Corp.
4.25%		01/15/49			10,000		11,591
Farmers Insurance Exchange
4.75%		11/01/57	1,4		135,000		141,340
Metropolitan Life Global Funding I
2.95%		04/09/30	1		15,000		15,649
Nationwide Mutual Insurance Co.
2.47%		12/15/24	1,4		375,000		374,794
New York Life Insurance Co.
3.75%		05/15/50	1		170,000		180,380
Teachers Insurance & Annuity Association of America
3.30%		05/15/50	1		85,000		82,858
4.27%		05/15/47	1		40,000		45,104
4.38%		09/15/54	1,4		65,000		69,122
							1,236,401
Materials — 0.64%
Clearwater Paper Corp.
4.75%		08/15/28	1		284,000		287,154
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
3.15%		01/14/30	3		200,000		208,420
Indonesia Asahan Aluminium Persero PT,
Series REGS
(Indonesia)
5.45%		05/15/30	3		200,000		227,500
6.53%		11/15/28	3		200,000		241,295
International Flavors & Fragrances, Inc.
5.00%		09/26/48			65,000		80,315
Nutrition & Biosciences, Inc.
3.47%		12/01/50	1		110,000		108,015
							1,152,699
Real Estate Investment Trust (REIT) — 1.73%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26			75,000		82,915
American Assets Trust LP
3.38%		02/01/31			500,000		495,918

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
American Campus Communities Operating Partnership LP
3.30%		07/15/26		$	55,000	$	59,168
3.63%		11/15/27			80,000		87,379
3.75%		04/15/23			60,000		63,466
3.88%		01/30/31			35,000		37,774
Boston Properties LP
2.75%		10/01/26			10,000		10,527
3.25%		01/30/31			70,000		72,540
Crown Castle International Corp.
3.30%		07/01/30			35,000		36,693
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			5,000		5,292
3.45%		11/15/29			140,000		144,352
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30			180,000		187,362
5.25%		06/01/25			380,000		426,793
5.38%		11/01/23			10,000		10,947
5.75%		06/01/28			10,000		11,565
Healthcare Realty Trust, Inc.
3.63%		01/15/28			150,000		161,399
Healthcare Trust of America Holdings LP
2.00%		03/15/31			140,000		130,527
Healthpeak Properties, Inc.
3.40%		02/01/25			25,000		26,891
Hudson Pacific Properties LP
3.95%		11/01/27			55,000		59,031
Kilroy Realty LP
2.50%		11/15/32			50,000		47,044
Lexington Realty Trust
2.70%		09/15/30			160,000		156,495
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.63%		06/15/25	1		212,000		223,730
SL Green Operating Partnership LP
3.25%		10/15/22			420,000		435,461
(LIBOR USD 3-Month plus 0.98%)
1.17%		08/16/21	2		150,000		150,005
							3,123,274
Retail — 0.84%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
3.50%		02/15/29	1,3		441,000		429,328
7-Eleven, Inc.
0.80%		02/10/24	1		185,000		184,466
Alimentation Couche-Tard, Inc.
(Canada)
2.95%		01/25/30	1,3		75,000		76,659
FirstCash, Inc.
4.63%		09/01/28	1		443,000		452,691
Yum! Brands, Inc.
4.63%		01/31/32			360,000		367,989
							1,511,133

See accompanying Notes to Financial Statements.

55 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Services — 0.83%
Adtalem Global Education, Inc.
5.50%		03/01/28	1	$	220,000	$	218,345
Gartner,Inc.
3.75%		10/01/30	1		147,000		145,638
GFL Environmental, Inc.
(Canada)
3.75%		08/01/25	1,3		203,000		206,426
5.13%		12/15/26	1,3		18,000		18,983
IHS Markit Ltd.
(Bermuda)
3.63%		05/01/24	3		200,000		214,878
4.00%		03/01/26	1,3		200,000		220,763
4.75%		02/15/25	1,3		80,000		89,676
5.00%		11/01/22	1,3		10,000		10,549
Rent-A-Center, Inc.
6.38%		02/15/29	1		200,000		213,000
Waste Pro USA, Inc.
5.50%		02/15/26	1		147,000		150,918
							1,489,176
Transportation — 0.08%
Continental Airlines Pass-Through Trust,
Series 2001-1, Class A1
6.70%		06/15/21			2,282		2,304
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			24,253		24,322
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32			28,903		29,123
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32			75,000		81,486
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			15,555		16,100
							153,335
Total Corporates
(Cost $47,692,200)							47,422,641
FOREIGN GOVERNMENT OBLIGATIONS — 2.42%
Foreign Government Obligations — 2.42%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%		09/30/29	3		200,000		205,601
Brazilian Government International Bond
(Brazil)
3.88%		06/12/30	3		200,000		194,372
Chile Government International Bond
(Chile)
2.55%		01/27/32	3		200,000		202,246
Colombia Government International Bond
(Colombia)
3.00%		01/30/30	3		400,000		392,498

Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%		09/23/32	3	$	150,000	$	152,550
Egypt Government International Bond
(Egypt)
7.60%		03/01/29	1,3		200,000		213,443
Mexico Government International Bond
(Mexico)
2.66%		05/24/31	3		412,000		392,512
Panama Government International Bond
(Panama)
3.16%		01/23/30	3		200,000		208,880
3.88%		03/17/28	3		200,000		219,100
Paraguay Government International Bond
(Paraguay)
4.95%		04/28/31	1,3		200,000		227,002
Peruvian Government International Bond
(Peru)
1.86%		12/01/32	3		100,000		91,480
2.78%		01/23/31	3		100,000		100,370
2.84%		06/20/30	3		200,000		203,503
Philippine Government International Bond
(Philippines)
1.65%		06/10/31	3		200,000		189,417
Qatar Government International Bond,
Series REGS
(Qatar)
4.50%		04/23/28	3		200,000		233,750
Republic of South Africa Government International Bond
(South Africa)
4.85%		09/30/29	3		200,000		201,551
Romanian Government International Bond,
Series REGS
(Romania)
3.00%		02/14/31	3		100,000		100,338
Saudi Government International Bond
(Saudi Arabia)
2.75%		02/03/32	1,3		200,000		200,502
3.75%		01/21/55	1,3		200,000		196,875
Turkey Government International Bond
(Turkey)
3.25%		03/23/23	3		200,000		192,879
Uruguay Government International Bond
(Uruguay)
4.38%		01/23/31	3		200,000		232,531
Total Foreign Government Obligations
(Cost $4,521,426)							4,351,400
MORTGAGE-BACKED — 52.20%**
Non-Agency Commercial Mortgage-Backed — 11.27%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XA (IO)
0.79%		09/15/48	4		7,272,287		224,139

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 56

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%		09/15/48	1,4	$	500,000	$	21,088
BANK,
Series 2017-BNK5, Class XA (IO)
1.06%		06/15/60	4		139,769		6,114
BANK,
Series 2018-BN10, Class XA (IO)
0.73%		02/15/61	4		392,064		16,356
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2017-C1, Class XA (IO)
1.45%		02/15/50	4		137,476		9,118
BB-UBS Trust,
Series 2012-SHOW, Class XA (IO)
0.60%		11/05/36	1,4		3,109,000		65,517
BB-UBS Trust,
Series 2012-SHOW, Class XB (IO)
0.14%		11/05/36	1,4		1,395,000		9,063
Benchmark Mortgage Trust,
Series 2018-B1, Class A3
3.36%		01/15/51			523,000		548,947
Benchmark Mortgage Trust,
Series 2018-B1, Class XA (IO)
0.51%		01/15/51	4		11,283,606		324,426
Benchmark Mortgage Trust,
Series 2018-B2, Class XA (IO)
0.41%		02/15/51	4		16,359,092		342,226
Benchmark Mortgage Trust,
Series 2020-B18, Class AGNF
4.14%		07/15/53	1		449,000		460,660
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.41%		08/10/49	4		9,853,576		585,858
Century Plaza Towers,
Series 2019-CPT, Class F
3.00%		11/13/39	1,4		450,000		416,409
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
0.84%		09/10/46	4		4,132,731		71,885
Citigroup Commercial Mortgage Trust,
Series 2014-GC19, Class XA (IO)
1.14%		03/10/47	4		1,010,682		27,732
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.99%		10/10/47	4		6,463,091		191,353
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.34%		02/10/48	4		1,783,800		76,312
Commercial Mortgage Trust,
Series 2012-CR1, Class XA (IO)
1.88%		05/15/45	4		661,504		8,212
Commercial Mortgage Trust,
Series 2012-CR2, Class XA (IO)
1.62%		08/15/45	4		777,499		10,772

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.84%		10/15/45	4	$	755,923	$	13,077
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.67%		10/15/45	4		793,151		15,706
Commercial Mortgage Trust,
Series 2012-LC4, Class XA (IO)
2.10%		12/10/44	1,4		671,516		6,055
Commercial Mortgage Trust,
Series 2012-LC4, Class XB (IO)
0.54%		12/10/44	1,4		1,800,000		8,412
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.21%		03/10/46	4		5,382,894		103,366
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.09%		07/10/45	4		18,275,922		28,287
Commercial Mortgage Trust,
Series 2014-CR14, Class XA (IO)
0.58%		02/10/47	4		3,557,123		50,694
Commercial Mortgage Trust,
Series 2014-CR17, Class XA (IO)
0.97%		05/10/47	4		2,434,006		60,163
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
0.97%		08/10/47	4		1,020,456		26,422
Commercial Mortgage Trust,
Series 2014-CR19, Class XC (IO)
0.79%		08/10/47	1,4		1,200,000		29,196
Commercial Mortgage Trust,
Series 2014-LC15, Class XA (IO)
1.09%		04/10/47	4		4,106,808		105,595
Commercial Mortgage Trust,
Series 2014-LC17, Class A4
3.65%		10/10/47			307,000		324,719
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.07%		06/10/47	4		3,223,020		92,591
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.86%		09/10/47	4,5,6		32,051,591		797,591
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
0.89%		12/10/47	4		1,740,393		44,399
Commercial Mortgage Trust,
Series 2015-CR22, Class XA (IO)
0.89%		03/10/48	4		2,176,539		56,912
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.56%		06/15/52	4		570,016		58,334
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.79%		12/15/49	4		550,281		15,684

See accompanying Notes to Financial Statements.

57 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
DBUBS Mortgage Trust,
Series 2011-LC1A, Class XB (IO)
0.65%		11/10/46	1,4	$	92,686	$	4
DBUBS Mortgage Trust,
Series 2011-LC3A, Class XA (IO)
0.16%		08/10/44	1,4		14,873,616		199
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.49%		02/10/46	4		17,394,793		390,769
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class E
3.25%		02/10/37	1,4		500,000		473,793
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.74%		08/10/43	1,4		10,612,629		128,529
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.17%		03/10/44	1,4		1,188,913		479
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
1.20%		08/10/44	1,4		2,415,783		611
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
1.93%		11/10/45	4		670,305		14,839
GS Mortgage Securities Trust,
Series 2015-GC32, Class XA (IO)
0.74%		07/10/48	4		34,519,333		926,996
GS Mortgage Securities Trust,
Series 2015-GS1, Class XA (IO)
0.76%		11/10/48	4		9,484,090		303,440
GS Mortgage Securities Trust,
Series 2016-GS2, Class XA (IO)
1.75%		05/10/49	4		262,543		19,748
GS Mortgage Securities Trust,
Series 2016-GS3, Class XA (IO)
1.22%		10/10/49	4		2,598,716		139,061
GS Mortgage Securities Trust,
Series 2017-GS7, Class XA (IO)
1.12%		08/10/50	4		147,909		7,831
GSCG Trust,
Series 2019-600C, Class E
3.99%		09/06/34	1,4		261,000		256,259
GSCG Trust,
Series 2019-600C, Class G
3.99%		09/06/34	1,4		285,000		267,456
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
2.94%		12/10/41	1,4		535,000		500,044
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class XA (IO)
0.74%		04/15/47	4		15,309,365		227,987
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C31, Class XA (IO)
0.83%		08/15/48	4		6,325,661		196,175

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class XA (IO)
1.01%		03/15/50	4	$	5,586,150	$	241,671
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C2, Class XA (IO)
1.56%		06/15/49	4		294,190		16,414
JPMDB Commercial Mortgage Securities Trust,
Series 2017-C5, Class XA (IO)
0.95%		03/15/50	4		11,985,923		529,108
JPMDB Commercial Mortgage Securities Trust,
Series 2017-C7, Class XA (IO)
0.87%		10/15/50	4		358,036		16,086
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2011-C3, Class XA (IO)
1.07%		02/15/46	1,4		631,294		6
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2011-C5, Class A3
4.17%		08/15/46			177,481		178,709
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class XA (IO)
1.54%		05/15/45	4		517,336		6,038
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C8, Class XA (IO)
1.74%		10/15/45	4		619,926		10,819
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class XA (IO)
1.47%		06/15/45	4		452,693		2,408
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class XB (IO)
0.42%		06/15/45	1,4		134,366,812		674,978
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.49%		12/15/47	4		1,751,064		34,265
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C10, Class XA (IO)
0.95%		12/15/47	4		1,210,311		16,768
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.25%		04/15/46	4		2,732,128		55,963
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2014-C20, Class A3A2
3.47%		07/15/47	1		411,893		412,613
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-BOLT, Class A
(LIBOR USD 1-Month plus 1.15%)
1.26%		07/15/34	1,2		1,043,574		1,045,831
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-BOLT, Class B
(LIBOR USD 1-Month plus 2.20%)
2.31%		07/15/34	1,2		654,276		640,372
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-ACE, Class XA (IO)
0.34%		01/10/37	1,4		2,000,000		27,008
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-LOOP, Class XB (IO)
0.25%		12/05/38	1,4		2,010,000		27,559

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 58

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XAFX (IO)
1.88%		01/16/37	1,4	$	450,000	$	27,632
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XBFX (IO)
0.57%		01/16/37	1,4		1,450,000		27,937
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XA (IO)
1.41%		08/15/45	1,4		595,242		7,284
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XC (IO)
0.08%		08/15/45	1,4		35,000,000		53,197
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-CKSV, Class XA (IO)
1.04%		10/15/30	1,4		1,116,527		12,312
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class XA (IO)
0.95%		11/15/46	4		2,506,580		50,268
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C18, Class XA (IO)
0.68%		10/15/47	4		109,943		1,941
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.88%		03/15/48	4		3,542,365		101,544
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.03%		04/15/48	4		1,158,711		35,635
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.72%		05/15/48	4		7,668,254		207,448
Morgan Stanley Capital I Trust,
Series 2011-C2, Class XB (IO)
0.32%		06/15/44	1,4		21,649,275		138,118
Morgan Stanley Capital I Trust,
Series 2012-C4, Class XA (IO)
2.06%		03/15/45	1,4		666,607		5,291
Morgan Stanley Capital I Trust,
Series 2015-MS1, Class A3
3.51%		05/15/48			415,000		441,824
Morgan Stanley Capital I Trust,
Series 2017-CLS, Class F
(LIBOR USD 1-Month plus 2.60%)
2.71%		11/15/34	1,2		206,000		206,036
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.32%		01/15/43	1,4		70,000		69,366
Natixis Commercial Mortgage Securities Trust,
Series 2020-2PAC, Class MSK1
3.25%		12/15/36	1,4		172,000		170,808
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2A
3.66%		01/05/43	1,4		400,000		393,696
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%		01/05/43	1,4		460,000		444,482

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Taurus UK DAC,
Series 2021-UK1A, Class D
(Ireland)
(SONIA3M IR plus 2.60%)
0.00%		05/17/31	1,2,3	$	475,000	$	663,470
UBS Commercial Mortgage Trust,
Series 2017-C4, Class XA (IO)
1.05%		10/15/50	4		9,760,389		535,113
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.60%		12/10/45	1,4		766,472		14,269
Wells Fargo Commercial Mortgage Trust,
Series 2012-LC5, Class XA (IO)
1.74%		10/15/45	1,4		880,198		17,136
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.09%		08/15/50	4		18,534,586		525,194
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.04%		12/15/47	4		1,597,139		49,668
Wells Fargo Commercial Mortgage Trust,
Series 2015-C31, Class XA (IO)
0.97%		11/15/48	4		18,458,292		679,891
Wells Fargo Commercial Mortgage Trust,
Series 2015-LC20, Class XF (IO)
1.74%		04/15/50	1,4		415,000		20,109
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS3, Class XA (IO)
0.90%		09/15/57	4		10,110,086		345,571
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class XA (IO)
2.08%		06/15/49	4		7,340,132		508,447
Wells Fargo Commercial Mortgage Trust,
Series 2021-SAVE, Class XCP (IO)
10.12%		02/15/40	1,4		5,587,000		685,534
WF-RBS Commercial Mortgage Trust,
Series 2011-C3, Class XA (IO)
1.47%		03/15/44	1,4		138,380		204
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.52%		12/15/45	1,4		1,149,346		24,872
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XB (IO)
0.46%		12/15/45	1,4		56,000,000		471,789
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XB (IO)
0.10%		06/15/45	1,4		29,387,219		40,415
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.78%		08/15/45	1,4		617,614		8,992
WF-RBS Commercial Mortgage Trust,
Series 2014-C24, Class XA (IO)
0.87%		11/15/47	4		6,318,485		168,670

See accompanying Notes to Financial Statements.

59 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.26%		03/15/47	4	$	3,001,458	$	89,118
							20,287,507
Non-Agency Mortgage-Backed — 18.89%
Alternative Loan Trust,
Series 2005-46CB, Class A3
5.50%		10/25/35			289,495		268,289
Alternative Loan Trust,
Series 2005-46CB, Class A4
5.25%		10/25/35			270,993		247,889
Alternative Loan Trust,
Series 2005-46CB, Class A7
5.50%		10/25/35			764,452		708,455
Alternative Loan Trust,
Series 2005-55CB, Class 1A1
5.50%		11/25/35			267,687		238,767
Alternative Loan Trust,
Series 2005-65CB, Class 2A4
5.50%		12/25/35			446,499		402,022
Alternative Loan Trust,
Series 2005-67CB, Class A1
5.50%		01/25/36			99,907		94,535
Alternative Loan Trust,
Series 2005-74T1, Class A5
6.00%		01/25/36			606,608		482,447
Alternative Loan Trust,
Series 2005-7CB, Class 2A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.05%, 5.05% Cap)
4.94%		03/01/38	2,5,6		1,889,171		235,395
Alternative Loan Trust,
Series 2005-86CB, Class A1
5.50%		02/25/36			719,310		599,394
Alternative Loan Trust,
Series 2005-86CB, Class A8
5.50%		02/25/36			328,828		274,009
Alternative Loan Trust,
Series 2006-19CB, Class A15
6.00%		08/25/36			155,673		125,709
Alternative Loan Trust,
Series 2006-32CB, Class A18
6.00%		11/25/36			167,417		135,565
Alternative Loan Trust,
Series 2006-34, Class A5
6.25%		11/25/46			1,523,975		1,166,426
Alternative Loan Trust,
Series 2006-J1, Class 1A11
5.50%		02/25/36			278,347		252,871
Alternative Loan Trust,
Series 2007-13, Class A1
6.00%		06/25/47			339,786		256,220
Alternative Loan Trust,
Series 2007-15CB, Class A6
5.75%		07/25/37			710,441		586,558

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2007-16CB, Class 1A7
6.00%		08/25/37		$	9,918	$	9,660
Alternative Loan Trust,
Series 2007-18CB, Class 2A25
6.00%		08/25/37			419,884		343,475
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%		09/25/37			269,576		163,212
Alternative Loan Trust,
Series 2007-5CB, Class 1A3
6.00%		04/25/37			225,892		180,769
Alternative Loan Trust,
Series 2007-5CB, Class 1A4
6.00%		04/25/37			666,493		533,334
American Home Mortgage Assets Trust,
Series 2006-6, Class XP (IO) (PO)
2.66%		12/25/46	4,5,6		867,457		83,941
American Home Mortgage Assets Trust,
Series 2007-5, Class XP (IO) (PO)
3.10%		06/25/47	5,6		1,310,864		132,539
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)
0.39%		03/25/46	2		18,567		17,509
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%		03/25/36			8,697		8,657
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
0.26%		05/26/36	1,2		27,998		27,193
Banc of America Funding Trust,
Series 2015-R4, Class 5A1
(LIBOR USD 1-Month plus 0.15%)
0.27%		10/25/36	1,2		18,500		17,934
Bear Stearns ALT-A Trust,
Series 2005-7, Class 22A1
3.03%		09/25/35	4		185,469		143,579
Bear Stearns ARM Trust,
Series 2004-3, Class 2A
3.18%		07/25/34	4		10,512		10,389
Bear Stearns ARM Trust,
Series 2005-10, Class A3
3.04%		10/25/35	4		231,251		231,606
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC1, Class 22X (IO)
0.26%		12/25/35	4,5,6		1,368,410		12,084
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A4
8.29%		06/15/30	4		142,144		37,549
ChaseFlex Trust,
Series 2007-1, Class 1A1
6.50%		02/25/37			383,692		201,972

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 60

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2006-WF1, Class A2C (STEP-reset date 05/25/21)
4.82%		03/25/36		$	35,721	$	22,728
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
0.32%		06/25/47	1,2		1,454		1,456
CitiMortgage Alternative Loan Trust,
Series 2006-A1, Class 1A5
5.50%		04/25/36			455,562		447,839
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A1
6.00%		01/25/37			155,435		156,097
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A5
6.00%		01/25/37			296,699		297,960
CitiMortgage Alternative Loan Trust,
Series 2007-A2, Class 1A13
5.75%		02/25/37			352,402		352,486
CitiMortgage Alternative Loan Trust,
Series 2007-A3, Class 1A7
5.75%		03/25/37			306,339		307,216
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-14, Class A3
6.25%		09/25/37			26,948		20,941
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-20, Class A1
6.50%		01/25/38			271,282		206,081
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-7, Class A9
5.50%		06/25/37			741,810		519,933
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A4
(LIBOR USD 1-Month plus 0.16%)
0.27%		10/25/36	2		50,683		43,113
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-MH1, Class B1 (STEP-reset date 05/25/21)
6.25%		10/25/36	1		61,000		64,009
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 05/25/21)
3.79%		02/25/37			1,177,382		962,776
CSMC Mortgage-Backed Trust,
Series 2006-6, Class 1A8
6.00%		07/25/36			441,429		327,628
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 10A6
6.50%		08/25/36			1,361,763		1,086,859
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 8A11
6.50%		08/25/36			496,910		342,738
CSMC Mortgage-Backed Trust,
Series 2007-5, Class 1A9
7.00%		08/25/37	4		191,198		132,723

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CSMC Trust,
Series 2020-RPL5, Class A1
3.02%		08/25/60	1,4	$	302,407	$	307,714
Deutsche ALT-B Securities, Inc., Mortgage Loan Trust,
Series 2006-AB2, Class A2
4.95%		06/25/36	4		249,952		246,939
Deutsche Mortgage & Asset Receiving Corp.,
Series 2014-RS1, Class 1A2
6.49%		07/27/37	1,4		483,946		446,754
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.43%		10/25/36	2		501,883		411,358
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.33%		03/25/37	2		830,890		513,722
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA6, Class 2A3
6.25%		11/25/36			886,582		508,803
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA1, Class A4
6.25%		03/25/37			725,883		498,032
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA2, Class 1A4
5.75%		04/25/37			875,522		517,334
Fremont Home Loan Trust,
Series 2005-E, Class 2A4
(LIBOR USD 1-Month plus 0.66%)
0.77%		01/25/36	2		29,852		29,262
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.48%)
0.59%		08/25/45	2		8,893		8,545
GSAA Trust,
Series 2007-3, Class 2A1B
(LIBOR USD 1-Month plus 0.10%)
0.21%		03/25/47	2		166,316		18,016
GSMSC Resecuritization Trust,
Series 2015-5R, Class 1C
(LIBOR USD 1-Month plus 0.14%)
0.26%		04/26/37	1,2		700,000		682,152
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
2.93%		09/25/35	4		6,265		6,396
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(LIBOR USD 1-Month plus 0.68%)
0.79%		06/20/35	2		21,275		20,879
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2X (IO)
2.21%		06/20/35	1,4,5,6		1,560,150		77,543
HarborView Mortgage Loan Trust,
Series 2006-5, Class X2 (IO)
2.73%		07/19/46	4,5,6		3,276,508		257,443

See accompanying Notes to Financial Statements.

61 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HSI Asset Loan Obligation Trust,
Series 2007-WF1, Class A5 (STEP-reset date 05/25/21)
4.80%		12/25/36		$	285,647	$	140,020
IndyMac Index Mortgage Loan Trust,
Series 2006-AR3, Class 2A1A
2.94%		03/25/36	4		118,444		101,929
IndyMac Index Mortgage Loan Trust,
Series 2007-F2, Class 1A4
6.00%		07/25/37			11,380		10,906
JPMorgan Alternative Loan Trust,
Series 2006-S1, Class 3A4
6.18%		03/25/36	4		918,168		892,517
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF4 (STEP-reset date 05/25/21)
6.08%		08/25/36			635,187		457,351
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class AF6 (STEP-reset date 05/25/21)
4.81%		11/25/36			21,130		21,732
JPMorgan Mortgage Trust,
Series 2007-S1, Class 2A11
6.00%		03/25/37			424,024		284,767
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class M1
6.63%		04/15/40	4		353,691		377,142
Lehman Mortgage Trust,
Series 2006-1, Class 1A5
5.50%		02/25/36			170,207		132,769
Lehman Mortgage Trust,
Series 2006-7, Class 2A5 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
6.44%		11/25/36	2,5,6		203,727		59,526
Lehman Mortgage Trust,
Series 2007-5, Class 10A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap)
6.23%		06/25/37	2,5,6		262,928		59,519
Lehman Mortgage Trust,
Series 2007-5, Class 7A3
7.50%		10/25/36			616,089		389,348
Lehman XS Trust,
Series 2005-1, Class 3A4 (STEP-reset date 05/25/21)
5.37%		07/25/35			117,708		117,708
MASTR Alternative Loan Trust,
Series 2005-2, Class 4A3
(LIBOR USD 1-Month plus 0.40%)
0.51%		03/25/35	2		25,061		24,455
MASTR Alternative Loan Trust,
Series 2005-2, Class 4A4 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.10%, 5.10% Cap)
4.99%		03/25/35	2,5,6		503,834		45,400
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A1, Class A3
(LIBOR USD 1-Month plus 0.16%)
0.27%		01/25/37	2		760,846		343,906

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A3
(LIBOR USD 1-Month plus 0.26%)
0.37%		04/25/37	2	$	1,961,965	$	207,196
Merrill Lynch Mortgage Investors Trust,
Series 2004-B, Class A1
(LIBOR USD 1-Month plus 0.50%)
0.61%		05/25/29	2		16,547		15,738
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%		01/15/40			8,487		9,128
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%		10/15/40	1		51,868		55,192
Mid-State Trust XI,
Series 11, Class A1
4.86%		07/15/38			3,722		3,972
Morgan Stanley Mortgage Loan Trust,
Series 2007-13, Class 6A1
6.00%		10/25/37			190,234		152,883
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
0.36%		06/25/37	2		33,191		32,427
Nomura Resecuritization Trust,
Series 2015-5R, Class 4A1
(LIBOR USD 1-Month plus 0.14%)
1.06%		07/26/37	1,2		8,872		8,926
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A2
5.01%		03/15/20	4		15,284		15,658
Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2005-WCH1, Class M4
(LIBOR USD 1-Month plus 1.25%)
1.35%		01/25/36	2		20,966		21,202
Residential Accredit Loans Trust,
Series 2005-QS14, Class 3A3
6.00%		09/25/35			205,226		201,196
Residential Accredit Loans Trust,
Series 2005-QS16, Class A7
5.50%		11/25/35			684,654		684,620
Residential Accredit Loans Trust,
Series 2006-QS15, Class A3
6.50%		10/25/36			706,471		697,002
Residential Accredit Loans Trust,
Series 2006-QS4, Class A2
6.00%		04/25/36			424,510		407,040
Residential Accredit Loans Trust,
Series 2006-QS4, Class A4
6.00%		04/25/36			525,875		504,925
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A15
6.00%		06/25/36			219,573		210,305

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 62

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A2
6.00%		06/25/36		$	705,536	$	675,755
Residential Accredit Loans Trust,
Series 2007-QH9, Class X (IO) (PO)
0.69%		11/25/37	4,5,6		14,752,853		439,746
Residential Accredit Loans Trust,
Series 2007-QO2, Class A1
(LIBOR USD 1-Month plus 0.15%)
0.26%		02/25/47	2		622,507		322,769
Residential Accredit Loans Trust,
Series 2007-QS1, Class 1A4
6.00%		01/25/37			672,687		660,112
Residential Accredit Loans Trust,
Series 2007-QS3, Class A1
6.50%		02/25/37			639,190		629,281
Residential Accredit Loans Trust,
Series 2007-QS7, Class 1A1
6.00%		05/25/37			71,079		69,103
Residential Asset Mortgage Products Trust,
Series 2006-EFC2, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.33%		12/25/36	2		83,216		81,631
Residential Asset Securitization Trust,
Series 2003-A15, Class 1A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap)
7.44%		02/25/34	2,5,6		594,759		73,275
Residential Asset Securitization Trust,
Series 2005-A14, Class A5
5.50%		12/25/35			97,686		70,111
Residential Asset Securitization Trust,
Series 2005-A6CB, Class A1
5.50%		06/25/35			80,187		69,829
Residential Asset Securitization Trust,
Series 2005-A6CB, Class A7
6.00%		06/25/35			219,261		191,242
Residential Asset Securitization Trust,
Series 2005-A8CB, Class A9
5.38%		07/25/35			307,718		263,025
Residential Asset Securitization Trust,
Series 2006-A12, Class A1
6.25%		11/25/36			182,244		104,566
Residential Asset Securitization Trust,
Series 2006-A15, Class A2
6.25%		01/25/37			545,974		305,104
Residential Asset Securitization Trust,
Series 2006-A16, Class 1A3
6.00%		02/25/37			368,153		246,791
Residential Asset Securitization Trust,
Series 2006-A5CB, Class A4
6.00%		06/25/36			106,264		64,565
Residential Asset Securitization Trust,
Series 2007-A1, Class A1
6.00%		03/25/37			349,954		190,717

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust,
Series 2007-A3, Class 1A4
5.75%		04/25/37		$	62,134	$	44,379
Residential Asset Securitization Trust,
Series 2007-A6, Class 1A3
6.00%		06/25/37			176,086		146,472
Residential Funding Mortgage Securities Trust,
Series 2006-S3, Class A7
5.50%		03/25/36			730,133		699,390
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A10
6.00%		07/25/36			392,818		390,356
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A14
6.00%		07/25/36			125,956		125,451
Residential Funding Mortgage Securities Trust,
Series 2007-S8, Class 1A1
6.00%		09/25/37			212,227		191,240
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/21)
3.07%		01/25/36			124,819		115,925
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
0.26%		12/25/36	2		1,101,130		781,471
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 4A1
2.58%		02/25/34	4		2,042		2,066
Structured Asset Mortgage Investments II Trust,
Series 2006-AR2, Class A1
(LIBOR USD 1-Month plus 0.46%)
0.57%		02/25/36	2		25,261		22,859
VOLT XCVI LLC,
Series 2021-NPL5, Class A2 (STEP-reset date 04/25/21)
4.83%		03/27/51	1		800,000		798,900
WaMu Mortgage Pass-Through Certificates,
Series 2006-2, Class 1A6
6.00%		03/25/36			33,914		34,568
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class X3 (IO)
1.15%		05/25/46	5,6		9,976,557		422,694
Wells Fargo Alternative Loan Trust,
Series 2007-PA2, Class 1A1
6.00%		06/25/37			328,409		331,403
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37			204,774		200,361
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A3
2.78%		10/25/36	4		57,022		55,468
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 2A1
2.91%		04/25/36	4		12,281		11,332

See accompanying Notes to Financial Statements.

63 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust,
Series 2007-7, Class A1
6.00%		06/25/37		$	411,977	$	416,127
							34,007,917
U.S. Agency Commercial Mortgage-Backed — 6.48%
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2016-ISQ, Class E
3.61%		08/14/34	1,4		273,000		268,409
Barclays Commercial Mortgage Securities Trust,
Series 2015-SRCH, Class A2
4.20%		08/10/35	1		100,000		111,792
Commercial Mortgage Lease-Backed Certificates-1,
Series 2001-CMLB, Class X (IO)
0.65%		06/20/31	1,4		4,392,409		62,127
Commercial Mortgage Trust,
Series 2007-C9, Class XS (IO)
0.06%		12/10/49	1,4		31,827,712		155,972
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
0.83%		08/10/48	4		8,635,894		274,867
Commercial Mortgage Trust,
Series 2016-CR28, Class XA (IO)
0.70%		02/10/49	4		14,662,800		388,902
CSAIL Commercial Mortgage Trust,
Series 2015-C2, Class XA (IO)
0.75%		06/15/57	4		2,303,890		58,652
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class XA (IO)
0.87%		09/15/50	4		9,865,303		254,394
CSMC,
Series 2020-522F, Class A
(LIBOR USD 1-Month plus 3.74%)
4.14%		09/16/25	1,2		400,000		402,066
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.83%		07/25/39	4		568,832		23,144
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.10%		04/25/36	4		408,062		4,111
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.66%		01/25/39	4		1,168,742		62,796
Freddie Mac Multifamily Structured Pass-Through
Certificates
Series K045, Class X1 (IO)
0.44%		01/25/25	4		32,372,952		478,246
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K017, Class X3 (IO)
2.20%		12/25/39	4		2,147,000		32,295
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K022, Class X3 (IO)
1.81%		08/25/40	4		900,000		20,760

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K031, Class X3 (IO)
1.66%		07/25/41	4	$	1,170,000	$	38,478
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K037, Class X3 (IO)
2.21%		01/25/42	4		390,000		22,880
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K043, Class X1 (IO)
0.53%		12/25/24	4		23,889,963		428,254
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K044, Class X3 (IO)
1.48%		01/25/43	4		4,900,000		262,813
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K049, Class X1 (IO)
0.59%		07/25/25	4		13,235,763		301,631
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K049, Class X3 (IO)
1.55%		10/25/43	4		2,925,000		176,690
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K050, Class X1 (IO)
0.32%		08/25/25	4		22,416,914		294,350
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K056, Class X3 (IO)
2.11%		06/25/44	4		6,243,936		615,671
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K062, Class X3 (IO)
2.08%		01/25/45	4		3,000,000		316,308
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K063, Class X1 (IO)
0.29%		01/25/27	4		54,899,206		841,177
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K732, Class X3 (IO)
2.17%		05/25/46	4		4,850,000		410,963
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K735, Class X3 (IO)
2.15%		05/25/47	4		3,160,000		311,322
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K736, Class X3 (IO)
2.01%		09/25/47	4		2,495,000		236,865
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC05, Class X1 (IO)
1.20%		06/25/27	4		698,213		37,641

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 64

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KIR1, Class X (IO)
1.06%		03/25/26	4	$	960,405	$	42,427
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KLU1, Class X3 (IO)
3.97%		01/25/31	4		343,587		57,905
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS05, Class X (IO)
0.76%		01/25/23	4		4,683,167		64,295
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q013, Class XPT1 (IO)
1.66%		05/25/25			7,144,764		250,452
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q013, Class XPT2 (IO)
1.81%		05/25/27			5,352,397		219,583
FREMF Mortgage Trust,
Series 2012-K20, Class X2A (IO)
0.20%		05/25/45	1		3,562,327		5,632
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.22%		09/16/51	4		1,032,069		41,624
Ginnie Mae,
Series 2010-159, Class D
4.29%		09/16/44	4		471,452		486,566
Ginnie Mae,
Series 2011-119, Class IO (IO)
0.31%		08/16/51	4		2,009,990		11,534
Ginnie Mae,
Series 2011-165, Class B
3.18%		08/16/39			61,259		61,291
Ginnie Mae,
Series 2011-78, Class IX (IO)
0.00%		08/16/46	4		23,704		2,469
Ginnie Mae,
Series 2011-86, Class C
3.58%		09/16/51	4		483,027		505,835
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.76%		12/16/51	4		4,590,503		122,347
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.55%		01/16/53	4		431,305		8,944
Ginnie Mae,
Series 2013-33, Class IO (IO)
0.58%		04/16/54	4		557,381		7,034
Ginnie Mae,
Series 2014-126, Class IO (IO)
0.72%		02/16/55	4		7,261,176		220,629
Grace Trust,
Series 2020-GRCE, Class D
2.68%		12/10/40	1,4		360,000		341,735

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2014-GC18, Class XA (IO)
1.00%		01/10/47	4	$	1,004,083	$	23,130
GS Mortgage Securities Trust,
Series 2015-GC34, Class XA (IO)
1.22%		10/10/48	4		2,679,677		121,495
GS Mortgage Securities Trust,
Series 2016-GS4, Class XA (IO)
0.50%		11/10/49	4		6,212,353		143,148
Hilton USA Trust,
Series 2016-SFP, Class E
5.52%		11/05/35	1		400,000		403,212
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XA (IO)
0.51%		07/15/48	4		22,308,135		429,755
LB-UBS Commercial Mortgage Trust,
Series 2006-C7, Class XW (IO)
0.41%		11/15/38	1,4		2,574,227		8,484
ML-CFC Commercial Mortgage Trust,
Series 2007-6, Class X (IO)
0.06%		03/12/51	1,4		14,477,666		61,938
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.39%		01/05/43	1,4		925,000		815,032
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class XA (IO)
0.94%		05/15/47	4		11,760,741		265,301
WF-RBS Commercial Mortgage Trust,
Series 2014-C22, Class XA (IO)
0.80%		09/15/57	4		2,071,227		44,751
							11,660,124
U.S. Agency Mortgage-Backed — 15.56%
Fannie Mae Pool 462209
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.17%)
2.28%		04/01/36	2		56,883		57,518
Fannie Mae REMICS,
Series 2005-56, Class SP
(-6.00 X LIBOR USD 1-Month plus 42.30%, 6.00% Cap)
6.00%		08/25/33	2		7,637		8,176
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
5.89%		11/25/41	2		190,980		26,649
Fannie Mae REMICS,
Series 2012-139, Class AI (IO)
3.00%		12/25/27			323,016		24,300
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%		07/15/36			380,231		80,486
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.49%		10/20/33	2		421,834		91,542

See accompanying Notes to Financial Statements.

65 / Annual Report March 2021

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48	$	53,726	$	57,687
Ginnie Mae,
Series 2018-154, Class BP
3.50%		11/20/48		11,489		11,963
UMBS (TBA)
2.00%		05/01/51		20,175,000		20,101,708
2.50%		05/01/51		7,375,000		7,552,461
						28,012,490
Total Mortgage-Backed
(Cost $96,604,664)						93,968,038
MUNICIPAL BONDS — 0.63%*
California — 0.06%
Los Angeles Department of Airports Revenue Bonds, Port,
Airport and Marina Improvements, Series A
3.89%		05/15/38		100,000		111,648
Colorado — 0.03%
City & County of Denver Airport System Revenue Bonds,
Series C
2.24%		11/15/30		65,000		63,613
Florida — 0.09%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.61%		10/01/32		100,000		99,329
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
3.45%		10/01/30		30,000		31,794
Greater Orlando Aviation Authority Revenue Bonds, Port,
Airport and Marina Improvements, Series A
5.00%		10/01/44		25,000		30,587
						161,710
New York — 0.39%
City of New York General Obligation Bonds, Public
Improvements, Series F
3.62%		04/01/31		155,000		166,946
Metropolitan Transportation Authority Revenue Bonds,
Transit Improvements, Series C2
5.18%		11/15/49		15,000		18,643
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
4.00%		05/01/42		30,000		34,817
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries B3
1.85%		08/01/32		75,000		70,600
New York City Water & Sewer System Revenue Bonds,
Series AA
4.00%		06/15/50		50,000		58,402
New York State Dormitory Authority Revenue Bonds, School
Improvements, Series F
3.11%		02/15/39		150,000		152,910

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York State Urban Development Corp. Revenue Bonds,
Economic Improvements, Series E
4.00%		03/15/43	$	85,000	$	97,110
New York State Urban Development Corp. Revenue Bonds,
Economic Improvements, Series F
2.00%		03/15/33		100,000		95,037
						694,465
Ohio — 0.06%
Ohio, Taxable Revenue Bonds, Advanced Refunding,
Cleveland Clinic
2.89%		01/01/32		100,000		104,129
Total Municipal Bonds
(Cost $1,163,547)						1,135,565
Total Bonds — 103.36%
(Cost$189,231,895)						186,063,407
Issues			Shares		Value
COMMON STOCK — 0.24%
Real Estate Investment Trust (REIT) — 0.24%
AGNC Investment Corp.				25,500		427,380
Total Common Stock
(Cost $362,696)
WARRANT — 0.07%
Entertainment — 0.07%
Cineworld Group PLC3,8
(United Kingdom)				152,713		131,581
Total Warrant
(Cost $–)
Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 16.63%
Money Market Funds — 3.35%
Fidelity Investments Money Market Funds - Government
Portfolio
0.01%10				13,999		13,999
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
0.03%10				6,025,000		6,025,000
						6,038,999
U. S. Treasury Bills — 13.28%
U. S. Treasury Bills
0.10%11		04/01/21		1,900,000		1,900,000
0.05%11		08/12/21		17,000,000		16,999,058

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 66

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
0.05%11		08/19/21	$	5,000,000	$	4,999,612
						23,898,670
Total Short-Term Investments
(Cost $29,934,929)						29,937,669
Total Investments - 120.30%
(Cost $219,529,520)						216,560,037
Net unrealized depreciation on unfunded commitments - 0.00%						(762	)
Liabilities in Excess of Other Assets - (20.30)%						(36,551,270	)
Net Assets - 100.00%					$	180,008,005

¹ 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.

²  Floating rate security. The rate disclosed was in effect at March 31, 2021.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁵  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁶  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $3,725,346, which is 2.07% of total net assets.

⁷  Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $45,909, at an interest rate of 1.00% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.13% per annum.

⁸  Non-income producing security.

⁹  Security is currently in default with regard to scheduled interest or principal payments.

¹⁰  Represents the current yield as of March 31, 2021.

¹¹  Represents annualized yield at date of purchase.

^†  Fair valued security. The aggregate value of fair valued securities is $1,089,498, which is 0.61% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. 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.

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.

(CLO): Collateralized Loan Obligation

(EURIBOR): Euro InterBank Offer Rate

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PO): Principal Only

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold	Counterparty		Settlement Date		Unrealized Appreciation
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 668,712	GBP 475,000		Goldman Sachs International		04/23/21	$	13,304

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five Year Note		165		06/30/21	$	20,360,742	$	(161,348)	$	(161,348)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten Year Ultra Bond		92		06/21/21		(13,219,250)		337,604		337,604
U.S. Treasury Ultra Bond		19		06/21/21		(3,443,156)		165,386		165,386
						(16,662,406)		502,990		502,990
TOTAL FUTURES CONTRACTS					$	3,698,336	$	341,642	$	341,642

See accompanying Notes to Financial Statements.

67 / Annual Report March 2021

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BONDS – 91.24%
BANK LOANS — 83.74%*
Automotive — 0.23%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%	04/30/261	$	241,805	$	239,689
Oeconnection LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.11%	09/25/261,2		736,838		735,456
					975,145
Communications — 10.84%
A-L Parent LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.25%	12/01/231		492,288		454,298
Altice Financing SA,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.95%	01/31/261		967,500		949,964
Altice SA,
Term Loan B13, 1st Lien (France)
(LIBOR plus 4.00%)
4.20%	08/14/261,3		488,750		488,261
Banijay Group U.S. Holding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.86%	03/01/251		997,494		989,594
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	12/17/271		1,500,000		1,503,990
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%	03/15/271		2,724,343		2,700,029
Charter Communications Operating LLC,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
1.86%	04/30/251		945,230		944,375
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.87%	02/01/271		394,280		392,876
Clear Channel Outdoor Holdings,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.71%	08/21/261		486,313		468,550
Connect Finco SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	12/11/261		2,284,481		2,279,958
Consolidated Communications, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.75%	10/02/271		535,504		536,925

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Coralus Co-Borrower LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.36%	01/31/281	$	2,250,000	$	2,218,669
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%	01/15/261		980,000		968,059
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.61%	04/15/271		994,975		984,940
Dawn Acquisition LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.95%	12/31/251		1,483,749		1,362,275
EW Scripps Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.75%	01/07/281		498,750		497,777
Frontier Communications Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.75%	10/08/211		1,250,000		1,248,437
Global Tel*Link Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
4.36%	11/29/251		993,021		936,900
Gray Television, Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 2.25%)
2.37%	02/07/241		1,500,000		1,492,733
GTT Communications BV,
Term Loan B, 1st Lien
(EURIBOR plus 3.25%)
3.25%	05/31/251		1,396,410		1,478,107
GTT Communications, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%	05/30/251		941,098		798,315
Intelsat Jackson Holdings,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(LIBOR plus 5.50%)
6.50%	07/13/221,3		107,778		109,340
Intelsat Jackson Holdings SA,
Term Loan B5, 1st Lien (Luxembourg)
8.63%	01/02/241,3		500,000		511,522
Iridium Satellite LLC,
Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
3.75%	11/04/261		1,246,851		1,251,421
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%	03/01/271		2,337,328		2,310,063

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 68

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
MacDonald Dettwiler & Associates Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%	10/04/241	$	736,668	$	729,301
MH Sub I LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.75%	09/13/241		2,348,436		2,351,583
National Cinemedia LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	06/20/251		486,250		454,872
NEP/NCP Holdco, Inc.,
Term Loan, 2nd Lien
(LIBOR plus 7.00%)
7.11%	10/19/261		440,000		407,183
NEP/NCP Holding Co, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%	10/20/251		1,246,811		1,213,216
New Insight Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.50%)
6.50%	12/20/241		483,750		480,182
Nexstar Broadcasting, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
2.36%	01/17/241		927,096		923,054
Radiate Holdco LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	09/25/261		2,464,917		2,466,877
Sinclair Television Group, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 2.25%)
2.36%	01/03/241		1,624,890		1,617,578
Springer Nature Deutschland GmbH,
Term Loan B18, 1st Lien
(LIBOR plus 3.25%)
4.00%	08/14/261		657,947		658,591
Terrier Media Buyer, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.61%	12/17/261		1,535,651		1,524,026
UPC Financing Partnership,
Term Loan B2, 1st Lien
(LIBOR plus 3.50%)
3.61%	01/31/291		1,125,000		1,123,397
Virgin Media Bristol LLC,
Term Loan N, 1st Lien
(LIBOR plus 2.50%)
2.61%	01/31/281		3,000,000		2,977,335

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.11%	03/09/271	$	2,004,276	$	1,990,798
					46,795,371
Consumer Discretionary — 5.85%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.25%)
3.75%	12/23/271		1,000,000		992,430
AI Aqua Merger Sub, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.25%	12/13/231		1,451,250		1,451,707
Term Loan B1, 1st Lien
(LIBOR plus 3.25%)
4.25%	12/13/231		488,550		488,703
Allied Universal Holdco LLC,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
4.36%	07/10/261		740,625		739,470
Arterra Wines Canada, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.25%	11/24/271		698,250		699,996
CityCenter Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	04/18/241		2,171,717		2,146,981
Four Seasons Hotels, Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.11%	11/30/231		957,500		956,231
KUEHG Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.75%	02/21/251		334,451		327,856
Kwor Acquisition, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%	06/03/261		2,475,498		2,450,743
Landry’s,
Term Loan, 1st Lien
(LIBOR plus 12.00%)
13.00%	10/06/231		53,605		61,378
New Trojan Parent, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
3.75%	01/06/281		1,250,000		1,245,575
Nielsen Finance LLC,
Term Loan B4, 1st Lien
(LIBOR plus 2.00%)
2.10%	10/04/231		857,067		856,801

See accompanying Notes to Financial Statements.

69 / Annual Report March 2021

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		02/01/281	$	905,828	$	907,340
Prometric Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.00%		01/29/251		972,632		958,212
Refresco,
Term Loan B3, 1st Lien
(LIBOR plus 3.25%)
3.45%		03/28/251		1,940,400		1,936,354
Reynolds Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		02/06/231		917,731		914,937
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		10/01/261		1,250,000		1,250,313
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%		03/17/281		1,500,000		1,496,130
Waystar technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.11%		10/22/261		1,982,494		1,988,699
Weber-Stephen Products LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.00%		10/30/271		1,496,250		1,497,933
Whatabrands LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		07/31/261		1,431,024		1,423,869
Wyndham Hotels & Resorts, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		05/30/251		487,500		483,064
						25,274,722
Consumer Products — 0.10%
Hoffmaster Group, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.00%		11/21/231		467,755		434,194
Electric — 2.08%
Astoria Energy LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%		12/10/271		1,491,851		1,495,312
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%		04/06/261		1,972,469		1,964,313

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Electric (continued)
Endure Digital, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%		02/10/281	$	2,000,000	$	1,982,500
Linden LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%		10/01/271		1,706,311		1,702,514
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/31/251		1,863,618		1,852,967
						8,997,606
Energy — 1.08%
Calpine Corp.,
Term Loan B10, 1st Lien
(LIBOR plus 2.00%)
2.11%		08/12/261		190,831		188,956
Centurion Pipeline Co., LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%		09/29/251		977,500		973,468
EG Finco Ltd.,
Term Loan B, 1st Lien (United Kingdom)
(LIBOR plus 4.00%)
4.20%		02/07/251,3		565,160		557,087
EPIC Y-Grade Services,
Term Loan B, 1st Lien
(LIBOR plus 6.00%)
7.00%		06/30/271		252,500		219,675
Glass Mountain Pipeline Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%		12/23/241,4,5		137,685		36,716
KAMC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.19%		08/14/261,4,5		738,750		706,736
Stonepeak Lonestar Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
4.73%		10/19/261		1,058,410		1,061,718
Traverse Midstream Partners LLC,
Term Loan B, 1st Lien
(LIBOR plus 5.50%)
6.50%		09/27/241		932,829		927,581
						4,671,937
Entertainment — 1.60%
CineWorld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		02/28/251		2,152,760		1,845,605

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 70

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Entertainment (continued)
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
7.00%	05/23/241	$	1,084,241	$	1,376,309
NAI Entertainment Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	05/08/251		1,391,572		1,364,687
Nascar Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%	10/19/261		840,000		835,539
WildBrain Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
5.00%	03/20/281		1,500,000		1,489,695
					6,911,835
Finance — 5.03%
Auris Lux III SA,
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
3.86%	02/27/261,3		1,225,003		1,191,316
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B4, 1st Lien
(LIBOR plus 1.50%)
2.25%	02/12/271		498,741		493,786
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
3.25%	12/01/271		748,125		748,884
Blackstone CQP Holdco LP,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.69%	09/30/241		992,424		991,576
Camelot Finance SA,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.11%	10/30/261		987,500		980,864
CBAC Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.11%	07/08/241		236,726		228,012
Cushman & Wakefield,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%	08/21/251		635,456		623,939
DCG Acquisition Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
4.61%	09/30/261		2,476,642		2,473,546
Delos Finance SARL,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.95%	10/06/231		2,300,000		2,297,941

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
First Eagle Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
2.70%	02/01/271	$	1,481,250	$	1,464,379
Jane Street Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%	01/31/281		1,745,625		1,731,442
Mirion Technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.20%	03/06/261		1,733,598		1,738,582
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.75%	05/01/251		995,000		999,557
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	02/04/281		1,000,000		1,007,085
RPI Intermediate Finance Trust,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
1.86%	02/11/271		149,004		148,910
Schweitzer-Mauduit International, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.00%	01/27/281		2,000,000		1,997,500
Telenet Financing USD LLC,
Term Loan AR, 1st Lien
(LIBOR plus 2.00%)
2.11%	04/30/281		1,500,000		1,483,455
UPC Financing Partnership,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
3.61%	01/31/291		1,125,000		1,123,397
					21,724,171
Food — 4.00%
CH Guenther Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%	03/31/251		477,589		471,619
Chobani LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	10/25/271		1,492,500		1,493,619
Flora Food Group,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.26%	07/02/251		1,969,936		1,948,267
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%	08/03/251		2,428,307		2,419,541

See accompanying Notes to Financial Statements.

71 / Annual Report March 2021

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Food (continued)
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.86%	07/20/251	$	2,259,135	$	2,237,956
JBS USA LUX SA,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.00%)
2.11%	05/01/261,3		1,225,000		1,219,518
Matterhorn Merger Sub LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%	05/23/251		485,057		483,922
Shearer’s Foods LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	09/30/251		2,054,977		2,054,330
Snacking Investments Bidco,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	12/23/261		495,000		496,960
U.S. Foods, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.00%)
2.11%	09/14/261		1,970,000		1,935,052
Utz Quality Foods LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.11%	01/20/271		2,493,750		2,494,797
					17,255,581
Gaming — 2.67%
Caesars Resort Collection LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
4.61%	07/21/251		995,000		998,279
Term Loan, 1st Lien
(LIBOR plus 2.75%)
2.86%	12/23/241		1,451,250		1,431,999
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.11%	12/27/241		2,007,760		2,002,741
Gateway Casinos & Entertainment Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 6.50%)
7.50%	03/13/251		1,001,243		987,786
Golden Entertainment, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.75%	10/21/241		1,447,500		1,433,705
Golden Nugget,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.25%	10/04/231		1,994,377		1,966,785

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Gaming (continued)
GVC Holdings PLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.25%	03/29/241	$	1,455,000	$	1,456,819
Penn National Gaming, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	10/15/251		1,230,242		1,227,290
					11,505,404
Health Care — 13.78%
Admi Corp.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%	04/30/251		972,638		960,665
Aldevron LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.25%	10/12/261		990,000		990,619
Alphabet Holding Co., Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.61%	09/26/241		1,479,916		1,471,710
Avantor Funding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.25%	11/08/271		1,496,250		1,498,681
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%	01/15/251		789,836		788,253
BCPE Eagle Buyer LLC,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.25%	03/18/241		1,344,724		1,341,920
Buckeye Partners LP,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
2.36%	11/01/261		498,750		497,139
Cano Health LLC,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
5.50%	11/23/271,6		1,461,985		1,464,273
Catalent Pharma Solutions, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.50%	02/22/281		818,446		820,831
CCS-CMGC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.50%)
5.61%	10/01/251		488,750		483,711
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	03/01/241		2,189,467		2,189,587

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 72

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
CPI Holdco LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%	11/04/261	$	2,236,851	$	2,237,690
Da Vinci Purchaser Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	01/08/271		2,234,369		2,238,558
Dentalcorp Health Services ULC,
Term Loan, 1st Lien (Australia)
(LIBOR plus 3.75%)
4.75%	06/06/251,3		1,640,820		1,630,565
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.87%	08/01/271		2,786,457		2,754,106
Emerald Topco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.71%	07/27/261		987,469		980,063
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%	03/27/281		1,202,057		1,192,038
eResearchTechnology, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%	02/04/271		1,778,680		1,783,126
Femur Buyer, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
4.70%	03/05/261		631,028		604,998
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.00%)
2.20%	12/30/261		2,475,000		2,469,976
Gentiva Health Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.88%	07/02/251		2,233,135		2,223,833
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.08%	11/15/271		987,500		977,684
Heartland Dental LLC,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.61%	04/30/251		1,244,896		1,227,069
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.50%	02/26/281		1,500,000		1,497,750
Med Parentco LP,
Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 4.25%)
4.36%	08/31/261		296,925		295,045

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Term Loan, 1st Lien
(LIBOR plus 4.25%)
4.36%	08/31/261	$	1,184,044	$	1,176,549
Medical Solutions Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
5.50%	06/14/241		965,374		967,184
Medplast Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
3.86%	07/02/251		975,000		947,583
National Seating & Mobility,
Term Loan, 1st Lien
(LIBOR plus 5.25%)
5.36%	11/16/261		987,502		990,588
NMN Holdings III Corp.,
Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.61%	11/13/251		259,975		258,648
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.61%	11/13/251		1,211,766		1,205,579
NMSC Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
6.00%	04/19/231,4,5		411,048		405,808
Ortho-Clinical Diagnostics SA,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%	06/30/251		1,250,000		1,249,375
Pathway Vet Alliance LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
3.86%	03/31/271		2,483,089		2,471,965
PetVet Care Centers LLC,
Term Loan B3, 1st Lien
(LIBOR plus 3.50%)
4.25%	02/14/251		997,468		996,596
Phoenix Guarantor, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.25%	03/05/261		1,998,750		1,985,948
Pluto Acquisition I, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
4.61%	06/22/261		500,000		500,625
Premise Health Holding Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.70%	07/10/251		1,137,866		1,130,049
Romulus Merger Sub LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
2.86%	02/14/251		1,942,984		1,915,666

See accompanying Notes to Financial Statements.

73 / Annual Report March 2021

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Sotera Health Holdings LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
3.25%		12/11/261	$	1,000,000	$	998,750
Surgery Center Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.25%		09/03/241		1,208,656		1,199,023
(LIBOR plus 8.00%)
9.00%		09/03/241		222,750		228,389
Tecomet, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%		05/01/241		196,443		193,701
U.S. Renal Care, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.13%		06/26/261		1,782,975		1,774,898
UIC Merger Sub, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.25%		08/30/241		2,202,885		2,205,242
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		11/27/251		452,206		450,257
(LIBOR plus 3.00%)
3.11%		06/02/251		1,606,986		1,603,788
						59,476,101
Industrials — 9.87%
Anchor Packaging LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%		07/18/261		1,989,873		1,994,848
BCPE Empire Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%		06/11/261		1,232,017		1,226,245
(LIBOR plus 4.25%)
5.00%		06/11/261		500,000		500,000
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
1.90%		07/01/261		2,311,253		2,296,080
Charter NEX U.S., Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%		12/01/271		1,825,000		1,831,032
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		06/30/241		1,790,347		1,794,635

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Conserve Merger Sub, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.61%	08/08/251	$	1,950,000	$	1,918,624
Convergint Technologies,
Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	03/31/281		86,580		86,283
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	03/31/281		413,420		412,000
Deliver Buyer, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.20%	05/01/241		1,080,111		1,082,136
Energizer Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
2.75%	12/22/271		1,000,000		997,915
Engineered Machinery Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.25%	07/19/241		492,434		492,638
Jade Germany GMBH,
Term Loan, 1st Lien (Germany)
(LIBOR plus 5.50%)
6.50%	05/31/231,3		962,499		906,554
Liqui-Box Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%	02/26/271		992,500		947,838
Mauser Packaging Solutions Holdings,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.44%	04/03/241		1,506,928		1,476,977
Patriot Container Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.50%	03/20/251		1,480,916		1,468,425
Pelican Products, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	05/01/251		1,481,135		1,470,493
Plaze, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.61%	07/30/261		1,782,860		1,767,269
(LIBOR plus 3.75%)
4.50%	08/03/261		498,750		497,920
Pretium Packaging Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.75%	11/05/271		1,745,625		1,746,349

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 74

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Proampac PG Borrower LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.00%	11/03/251	$	2,950,000	$	2,952,448
Protective Industrial Products, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.75%	12/29/271		1,500,000		1,500,630
Refficiency Holdings LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.75%	12/16/271,7		836,613		839,232
Spectrum Holdings III Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.25%	01/31/251		1,416,224		1,354,562
Technimark LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
3.86%	08/08/251		977,500		970,169
Titan Acquisition, Ltd.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.27%	03/28/251		493,639		484,459
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	05/30/241		1,447,622		1,212,383
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.36%	05/30/251		492,513		483,182
TricorBraun Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 0.50%)
0.50%	03/03/281,8		9,181		9,107
Term Loan, 1st Lien
(LIBOR plus 3.25%)
3.75%	03/03/281		1,224,560		1,214,610
U.S. Ecology, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
2.61%	11/02/261		493,750		493,338
Univar Solutions USA, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.00%)
2.11%	07/01/261		493,750		491,943
WP Deluxe Merger Sub, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
4.00%	07/19/241		967,500		965,284

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%		08/12/241	$	4,756,097	$	4,718,191
						42,603,799
Information Technology — 13.59%
AppLovin Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.61%		08/15/251		748,087		748,364
AQA Acquisition Holding, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
4.75%		11/19/271		1,500,000		1,506,570
BJ’s Wholesale Club, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.11%		02/03/241		1,557,898		1,558,872
Buzz Merger Sub, Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		01/29/271		1,492,481		1,485,019
Castle U.S. Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.95%		01/29/271		991,667		981,130
Ciox Health,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
6.00%		12/16/251		780,000		782,274
Cornerstone OnDemand, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
4.36%		04/22/271		845,702		847,554
DCert Buyer, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%		10/16/261		1,488,741		1,488,019
Dell International LLC,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
2.00%		09/19/251		857,021		857,252
E2open LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%		02/04/281		1,500,000		1,500,945
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.69%		08/14/251		2,729,222		2,693,401
EQT Box Merger Sub, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
3.75%		02/26/281		250,000		248,047

See accompanying Notes to Financial Statements.

75 / Annual Report March 2021

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	10/01/271	$	1,500,000	$	1,496,250
GlobalLogic Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%	08/01/251		427,734		427,200
Helios Software Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.93%	03/05/281		2,000,000		1,988,760
Imperva, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.00%	01/12/261		1,772,231		1,774,305
ION Analytics,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.50%	02/16/281		1,000,000		993,750
IQVIA, Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.86%	01/17/251		957,559		953,848
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.95%	06/11/251		1,473,560		1,468,034
Logmein, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
4.85%	08/31/271		1,496,250		1,494,148
Murphy USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.25%	01/21/281		1,000,000		1,005,000
Northwest Fiber LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.86%	04/30/271		1,000,000		1,000,000
Panther Purchaser LP,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
4.71%	01/07/281		1,500,000		1,499,070
Peraton Corp.,
Delayed-Draw Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.75%	02/01/281		1,594,172		1,596,835
Perspecta, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%	05/30/251		437,500		439,414
Precision Medicine Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.75%	11/18/271,9		2,647,212		2,633,155

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Prime Security Services Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.50%	09/23/261	$	560,374	$	558,796
Project Alpha Intermediate Holding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.11%	04/26/241		1,960,087		1,957,392
ProQuest LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%	10/23/261		2,133,648		2,122,713
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.75%	02/18/281		1,500,000		1,494,997
RSA Security LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
6.00%	09/01/271		997,500		1,002,278
Scientific Games International, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.75%)
2.86%	08/14/241		1,948,639		1,914,976
Sophia LP,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
3.95%	10/07/271		1,995,000		1,996,875
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	03/04/281		2,000,000		1,985,530
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%	04/16/251		754,098		747,549
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.86%	04/16/251		563,049		558,159
Surf Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.68%	03/05/271		2,038,369		2,021,226
TIBCO Software, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 3.75%)
3.86%	06/30/261		1,989,975		1,968,831
TierPoint LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	05/05/261		977,303		973,535
TTM Technologies, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.50%)
2.62%	09/30/241		1,000,000		1,000,470

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 76

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Ultra Clean Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.75%	08/27/251	$	500,000	$	501,875
VS Buyer LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.11%	02/28/271		997,481		995,820
VT Topco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.61%	08/01/251		1,721,731		1,703,980
Zelis Payments Buyer, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.62%	09/30/261		742,500		740,644
Zotec Partners LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.75%	02/14/241		946,687		947,871
					58,660,733
Insurance — 1.15%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.70%	02/15/271		1,994,962		1,974,813
Asurion LLC,
Term Loan B8, 1st Lien
(LIBOR plus 3.25%)
3.36%	12/23/261		997,500		992,428
Term Loan B9, 1st Lien
(LIBOR plus 3.25%)
3.36%	07/31/271		1,000,000		994,060
Howden Group Holdings Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.00%	11/12/271		497,468		496,776
Hyperion Refinance SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.75%	11/12/271		498,183		499,428
					4,957,505
Materials — 2.88%
Archroma Finance SARL,
Term Loan B2, 1st Lien (Switzerland)
(LIBOR plus 4.25%)
4.36%	08/12/241,3		720,000		709,801
4.45%	08/12/241,3		3,750		3,697
Cyanco Intermediate Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.61%	03/16/251		446,322		444,816

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Materials (continued)
ICP Group,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%		12/29/271	$	1,500,000	$	1,502,505
INEOS U.S. Quattro LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.25%		01/29/261		1,250,000		1,248,244
Israel Chemicals Ltd.,
Term Loan, 1st Lien (Israel)
(LIBOR plus 3.00%)
3.11%		03/28/251,3		989,798		980,341
Lummus Technology Holdings V LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.61%		06/30/271		2,000,000		1,993,750
Polar U.S. Borrower LLC,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
4.86%		10/15/251		582,229		579,317
4.95%		10/15/251		4,271		4,250
Potters Borrower LP,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.20%		12/14/271		1,000,000		1,002,500
SCIH Salt Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%		03/16/271		496,250		497,567
SK Invictus Intermediate,
Term Loan, 2nd Lien
(LIBOR plus 6.75%)
6.86%		03/30/261		1,000,000		996,000
Tronox Finance LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
2.61%		03/11/281		423,077		421,226
2.68%		03/11/281		576,923		574,399
WR Grace & Co.-Conn,
Term Loan B3, 1st Lien
(LIBOR plus 2.00%)
2.00%		03/30/281		1,500,000		1,494,375
						12,452,788
Real Estate Investment Trust (REIT) — 0.63%
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/11/251		991,926		981,987
VICI Properties 1 LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/20/241		1,764,091		1,746,644
						2,728,631

See accompanying Notes to Financial Statements.

77 / Annual Report March 2021

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Retail — 2.53%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
5.50%	04/20/281	$	1,500,000	$	1,538,677
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	02/19/281		1,745,625		1,735,125
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
1.86%	11/19/261,3		2,134,845		2,099,493
BW Gas & Convenience Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	03/17/281		1,250,000		1,251,563
Curium Bidco SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.95%	07/09/261		994,950		989,975
(LIBOR plus 4.25%)
5.00%	12/02/271		997,500		1,001,240
Go Wireless, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 6.50%)
7.50%	12/22/241		595,282		594,538
IRB Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.25%	12/15/271		498,750		497,580
KFC Holding Co.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%	03/15/281		733,678		735,054
Michaels Stores, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	10/01/271		498,747		499,308
					10,942,553
Services — 4.86%
Adtalem Global Education, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
4.50%	02/14/281		1,500,000		1,488,442
AECOM,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.50%	01/29/271		2,500,000		2,512,500
Aramark Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 1.75%)
1.86%	03/11/251		1,865,325		1,849,302

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Services (continued)
Cambium Learning Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.25%	12/18/251	$	498,620	$	499,836
CCRR Parent, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
5.00%	03/06/281		1,000,000		1,002,500
Ensemble RCM LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
3.96%	08/03/261		993,709		993,476
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	05/30/251		354,650		355,315
Guidehouse LLP,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%	05/01/251		1,743,671		1,747,097
Hornblower Sub LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%	04/27/251		1,500,000		1,383,750
Lakeland Holdings LLC,
Term Loan, 1st Lien
(LIBOR plus 13.25%)
13.25%	09/25/271,4,5		489,115		236,404
Lakeland Tours LLC,
Term Loan, 1st Lien
(LIBOR plus 12.00%)
13.25%	09/25/231,4,5		183,717		184,865
(LIBOR plus 7.50%)
8.75%	09/25/251,4,5		816,920		697,984
PowerTeam Services LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.25%	03/06/251		149,647		148,735
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.25%	03/06/261,4,5		750,000		739,845
SRS Distribution, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
4.36%	05/23/251		493,750		492,824
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 1.75%)
1.86%	04/16/251		1,967,706		1,950,902
TKC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.75%	02/01/231		1,879,267		1,839,492

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 78

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Services (continued)
University Support Services LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%	07/17/251	$	1,889,081	$	1,873,742
Verscend Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.12%	08/27/251		1,000,000		1,001,390
					20,998,401
Transportation — 0.97%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%	01/29/271		271,094		248,144
Kenan Advantage Group, Inc. (The),
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	03/12/261		1,995,000		1,987,519
Kestrel Bidco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
4.00%	12/11/261		493,750		479,853
United Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 1.75%)
1.87%	04/01/241		1,496,104		1,459,771
					4,175,287
Total Bank Loans
(Cost $360,133,899)					361,541,764
CORPORATES — 7.50%*
Banking — 0.43%
Bank of America Corp.
3.00%	12/20/2310		1,300,000		1,352,511
HSBC Holdings PLC
(United Kingdom)
(LIBOR USD 3-Month plus 1.00%)
1.19%	05/18/241,3		500,000		505,571
					1,858,082
Communications — 2.21%
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%	08/15/2611		4,353,000		3,143,782
Intelsat Jackson Holdings SA
(Luxembourg)
8.50%	10/15/243,11,12,13		1,000,000		635,625
National CineMedia LLC
5.88%	04/15/2811		500,000		466,250
Scripps Escrow II, Inc.
5.38%	01/15/3111		400,000		397,750
T-Mobile USA, Inc.
2.25%	02/15/26		2,500,000		2,507,078
3.88%	04/15/3011		1,280,000		1,390,861

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
6.00%	03/01/23	$	1,000,000	$	1,007,500
					9,548,846
Energy — 0.48%
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/2611		1,500,000		1,544,458
USA Compression Partners LP/USA
Compression Finance Corp.
6.88%	09/01/27		500,000		515,845
					2,060,303
Finance — 1.39%
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.55%)
0.74%	08/25/361		1,800,000		1,578,094
Ford Motor Credit Co. LLC
(LIBOR USD 3-Month plus 0.81%)
1.05%	04/05/211		2,500,000		2,500,000
GE Capital International Funding Co.
(Ireland)
4.42%	11/15/353		75,000		85,937
Goldman Sachs Group, Inc. (The)
3.27%	09/29/2510		980,000		1,050,246
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/233,11		750,000		783,635
					5,997,912
Health Care — 1.50%
Centene Corp.
3.00%	10/15/30		1,400,000		1,399,426
Cigna Corp.
(LIBOR USD 3-Month plus 0.89%)
1.13%	07/15/231		2,700,000		2,733,779
Molina Healthcare, Inc.
3.88%	11/15/3011		500,000		514,937
Prime Healthcare Services, Inc.
7.25%	11/01/2511		1,250,000		1,334,375
Tenet Healthcare Corp.
4.63%	09/01/2411		500,000		515,448
					6,497,965
Industrials — 0.75%
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.67%	08/15/361		850,000		688,729
PowerTeam Services LLC
9.03%	12/04/2511		380,000		419,445
Sealed Air Corp.
5.25%	04/01/2311		1,500,000		1,593,593
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%	04/15/263,11		250,000		260,887

See accompanying Notes to Financial Statements.

79 / Annual Report March 2021

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Trident TPI Holdings, Inc.
9.25%		08/01/24	11	$	250,000	$	266,886
							3,229,540
Information Technology — 0.19%
NCR Corp.
8.13%		04/15/25	11		750,000		822,504
Real Estate Investment Trust (REIT) — 0.31%
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
1.17%		08/16/21	1		1,350,000		1,350,044
Retail — 0.24%
FirstCash, Inc.
4.63%		09/01/28	11		1,000,000		1,021,875
Total Corporates
(Cost $31,685,558)							32,387,071
Total Bonds — 91.24%
(Cost $391,819,457)							393,928,835
Issues				Shares		Value
WARRANT — 0.05%
Entertainment — 0.05%
Cineworld Group PLC3,12
(United Kingdom)					229,579		197,810
Total Warrant
(Cost $–)
Issues	Maturity Date			Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 14.20%
Foreign Government Obligations — 1.48%
Japan Treasury Discount Bill,
Series 962
(Japan)
0.00%14		04/05/21	3		710,000,000		6,426,705
Money Market Funds — 2.53%
Fidelity Investments Money Market Funds - Government Portfolio
0.01%15					1,279,212		1,279,212
JPMorgan U.S. Government Money Market Fund
0.03%15					6,895,000		6,895,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.03%15					2,728,000		2,728,000
							10,902,212
U.S. Treasury Bills — 10.19%
U.S. Treasury Bills
0.10%14		04/01/21			7,000,000		7,000,000

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
0.05%14		08/12/21	$	37,000,000	$	36,997,950
						43,997,950
Total Short-Term Investments
(Cost $61,726,537)						61,326,867
Total Investments - 105.49%
(Cost $453,545,994)						455,453,512
Net unrealized depreciation on unfunded
commitments - 0.00%						(4,477	)
Liabilities in Excess of Other Assets - (5.49)%						(23,707,112	)
Net Assets - 100.00%					$	431,741,923

¹  Floating rate security. The rate disclosed was in effect at March 31, 2021.

²  Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $2,674, at an interest rate of 4.00% and a maturity of September 25, 2026. The investment is accruing an unused commitment fee of 0.50% per annum.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁵  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $3,008,358, which is 0.70% of total net assets.

⁶  Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $535,187, at an interest rate of 4.75% and a maturity of November 23, 2027. The investment is accruing an unused commitment fee of 1.00% per annum.

⁷ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $161,795, at an interest rate of 4.00% and a maturity of December 16, 2027. The investment is not accruing an unused commitment fee.

⁸ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $264,095, at an interest rate of 0.50% and a maturity of March 03, 2028. The investment is not accruing an unused commitment fee.

⁹ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $344,316, at an interest rate of 1.00% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.13% per annum.

¹⁰ Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

¹¹ 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.

¹²  Non-income producing security.

¹³ Security is currently in default with regard to scheduled interest or principal payments.

¹⁴ Represents annualized yield at date of purchase.

¹⁵  Represents the current yield as of March 31, 2021.

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

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 80

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2021

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.

(EURIBOR): Euro InterBank Offer Rate

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 6,842,912		JPY 710,000,000		Goldman Sachs International		04/05/21	$	417,224

See accompanying Notes to Financial Statements.

81 / Annual Report March 2021

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BONDS – 93.84%
BANK LOANS — 18.01%*
Communications — 4.25%
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%		03/15/271		$	918,375	$	910,178
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%		07/17/251			13,237,424		13,085,922
Frontier Communications Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.75%		10/08/211			3,800,000		3,795,250
GTT Communications BV,
Term Loan B, 1st Lien
(EURIBOR plus 3.25%)
3.25%		05/31/251			2,443,718		2,586,687
GTT Communications, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		05/30/251			2,140,720		1,815,930
Intelsat Jackson Holdings,
Delayed-Draw Term Loan, 1st Lien (Luxembourg) (LIBOR plus 5.50%)
6.50%		07/13/221,2			286,538		290,693
Intelsat Jackson Holdings SA,
Term Loan B5, 1st Lien (Luxembourg)
8.63%		01/02/241,2			1,329,300		1,359,934
MacDonald Dettwiler & Associates Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		10/04/241			1,890,818		1,871,910
NEP/NCP Holdco, Inc.,
Term Loan, 2nd Lien
(LIBOR plus 7.00%)
7.11%		10/19/26	1		875,000		809,738
Nexstar Broadcasting, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 2.25%)
2.36%		01/17/24	1		2,285,712		2,275,747
Securus Technologies Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
5.50%		11/01/24	1		2,017,483		1,873,626
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.11%		03/09/27	1		2,071,086		2,057,157
							32,732,772
Consumer Discretionary — 1.62%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.25%)
3.75%		12/23/27	1		1,925,000		1,910,428

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
CityCenter Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%		04/18/24	1	$	2,123,560	$	2,099,372
Kwor Acquisition, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%		06/03/26	1		2,743,020		2,715,590
Landry’s,
Term Loan, 1st Lien
(LIBOR plus 12.00%)
13.00%		10/06/23	1		56,625		64,836
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		02/01/28	1		1,394,975		1,397,304
Reynolds Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		02/06/23	1		2,600,752		2,592,832
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%		03/17/28	1		1,725,000		1,720,550
							12,500,912
Electric — 0.13%
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%		04/06/26	1		985,000		980,927
Entertainment — 0.80%
CineWorld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		02/28/25	1		5,218,724		4,474,117
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
7.00%		05/23/24	1		1,361,756		1,728,579
							6,202,696
Finance — 0.58%
Auris Lux III SA,
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
3.86%		02/27/261,2			1,085,135		1,055,294
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%		02/04/28	1		3,425,000		3,449,266
							4,504,560

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 82

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Food — 0.49%
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.86%		07/20/25	1	$	3,845,839	$	3,809,785
Gaming — 0.52%
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.11%		12/27/24	1		2,058,842		2,053,695
Golden Nugget,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.25%		10/04/23	1		1,948,971		1,922,008
							3,975,703
Health Care — 2.44%
Alphabet Holding Co., Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.61%		09/26/24	1		983,223		977,771
Avantor Funding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.25%		11/08/27	1		1,745,625		1,748,462
BCPE Eagle Buyer LLC,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.25%		03/18/24	1		1,578,903		1,575,610
Term Loan, 2nd Lien
(LIBOR plus 8.00%)
9.00%		03/13/25	1,3,4		465,000		465,584
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		03/01/24	1		4,804,714		4,804,979
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.87%		08/01/27	1		3,742,816		3,699,362
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%		03/27/28	1		563,126		558,433
eResearchTechnology, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%		02/04/27	1		867,814		869,983
Gentiva Health Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.88%		07/02/25	1		1,466,531		1,460,423

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
PPD, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.75%		01/13/28	1	$	2,610,000	$	2,600,917
							18,761,524
Industrials — 3.11%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
1.90%		07/01/26	1		3,322,763		3,300,949
Charter NEX U.S., Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%		12/01/27	1		2,620,000		2,628,659
Liqui-Box Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%		02/26/27	1		1,488,750		1,421,756
Mauser Packaging Solutions Holdings,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.44%		04/03/24	1		2,466,472		2,417,451
Plaze, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		08/03/26	1		2,324,711		2,320,841
Proampac PG Borrower LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.00%		11/03/25	1		2,620,000		2,622,175
Titan Acquisition, Ltd.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.27%		03/28/25	1		923,104		905,939
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.36%		05/30/25	1		928,250		910,664
Trident TPI Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
4.00%		10/17/24	1		3,482,005		3,455,351
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%		08/12/24	1		4,014,201		3,982,208
							23,965,993
Information Technology — 2.66%
Ciox Health,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
6.00%		12/16/25	1		1,050,000		1,053,061

See accompanying Notes to Financial Statements.

83 / Annual Report March 2021

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
IQVIA, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.95%		06/11/25	1	$	4,979,099	$	4,960,428
Peraton Corp.,
Delayed-Draw Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.75%		02/01/28	1		2,455,025		2,459,125
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.75%		02/18/28	1		1,050,000		1,046,498
Scientific Games International, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.75%)
2.86%		08/14/24	1		1,887,272		1,854,669
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%		03/04/28	1		2,750,000		2,730,104
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/25	1		2,707,684		2,684,168
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/25	1		2,021,700		2,004,141
TierPoint LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		05/05/26	1		1,717,725		1,711,103
							20,503,297
Insurance — 0.26%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.70%		02/15/27	1		1,994,962		1,974,813
Real Estate Investment Trust (REIT) — 0.66%
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/11/25	1		918,198		908,998
VICI Properties 1 LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/20/24	1		4,237,000		4,195,096
							5,104,094
Retail — 0.06%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
5.50%		04/20/28	1		430,000		441,087

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services — 0.43%
AECOM,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.50%		01/29/27	1	$	1,750,000	$	1,758,750
PowerTeam Services LLC,
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.25%		03/06/26	1,3,4		1,565,000		1,543,810
							3,302,560
Total Bank Loans
(Cost $136,440,526)							138,760,723
CORPORATES — 73.22%*
Automotive — 0.65%
Ford Motor Credit Co. LLC
2.90%		02/16/28			5,160,000		4,964,333
Communications — 21.73%
AT&T, Inc.
3.55%		09/15/55	5		3,250,000		2,976,489
4.50%		05/15/35			4,043,000		4,576,855
Block Communications, Inc.
4.88%		03/01/28	5		2,272,000		2,321,870
Cable One, Inc.
4.00%		11/15/30	5		3,550,000		3,508,926
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%		05/01/32	5		1,596,000		1,618,318
5.38%		06/01/29	5		700,000		751,548
5.50%		05/01/26	5		16,239,000		16,762,708
5.75%		02/15/26	5		698,000		720,720
CSC Holdings LLC
6.50%		02/01/29	5		391,000		432,788
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%		08/15/26	5		9,010,000		6,507,116
6.63%		08/15/27	5		4,230,000		2,265,707
DISH DBS Corp.
7.38%		07/01/28			2,552,000		2,674,395
DISH Network Corp.
3.38%		08/15/26			4,771,000		4,598,290
Frontier Communications Corp.
5.00%		05/01/28	5		3,907,000		3,980,863
Intelsat Jackson Holdings SA
(Luxembourg)
5.50%		08/01/23	2,6,7		4,750,000		2,921,250
8.50%		10/15/24	2,5,6,7		2,853,000		1,813,438
9.75%		07/15/25	2,5,6,7		4,051,000		2,541,599
Intelsat Luxembourg SA
(Luxembourg)
8.13%		06/01/23	2,6,7		2,545,000		114,525
Lamar Media Corp.
3.75%		02/15/28			1,745,000		1,744,421
Level 3 Financing, Inc.
3.63%		01/15/29	5		275,000		267,156
4.25%		07/01/28	5		8,225,000		8,326,085
4.63%		09/15/27	5		3,500,000		3,608,377

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 84

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Lumen Technologies, Inc.
4.00%		02/15/27	5	$	1,956,000	$	2,000,484
Midcontinent Communications/Midcontinent Finance Corp.
5.38%		08/15/27	5		2,246,000		2,343,162
National CineMedia LLC
5.88%		04/15/28	5		4,930,000		4,597,225
Outfront Media Capital LLC/Outfront Media Capital Corp.
4.63%		03/15/30	5		445,000		430,671
Qwest Corp.
6.75%		12/01/21			6,582,000		6,804,432
7.25%		09/15/25			1,705,000		2,001,244
Scripps Escrow II, Inc.
5.38%		01/15/31	5		1,175,000		1,168,391
Scripps Escrow, Inc.
5.88%		07/15/27	5		2,579,000		2,672,489
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	5		3,782,000		4,264,498
Sinclair Television Group, Inc.
4.13%		12/01/30	5		3,776,000		3,646,200
Sirius XM Radio, Inc.
3.88%		08/01/22	5		10,340,000		10,404,625
5.50%		07/01/29	5		362,000		392,025
Sprint Corp.
7.88%		09/15/23			10,307,000		11,793,785
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
5.15%		03/20/28	5		7,850,000		8,968,625
T-Mobile USA, Inc.
2.25%		02/15/26			14,197,000		14,237,197
6.00%		04/15/24			650,000		655,688
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	2,5		10,175,000		10,285,367
5.50%		05/15/29	2,5		3,915,000		4,161,018
Vmed O2 UK Financing I PLC
(United Kingdom)
4.25%		01/31/31	2,5		1,600,000		1,559,360
							167,419,930
Consumer Discretionary — 0.98%
Anheuser-Busch InBev Worldwide, Inc.
4.60%		06/01/60			1,040,000		1,181,115
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	2,5		675,000		751,055
BAT Capital Corp.
5.28%		04/02/50			2,273,000		2,505,381
Edgewell Personal Care Co.
5.50%		06/01/28	5		2,685,000		2,840,005
Live Nation Entertainment, Inc.
6.50%		05/15/27	5		215,000		238,925
							7,516,481
Consumer Products — 0.44%
Newell Brands, Inc.
4.35%		04/01/23			1,325,000		1,399,531

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Products (continued)
4.88%		06/01/25		$	1,800,000	$	1,990,116
							3,389,647
Electric — 1.30%
FirstEnergy Corp.
2.65%		03/01/30			6,886,000		6,558,466
FirstEnergy Corp.,
Series C
3.40%		03/01/50			3,745,000		3,294,122
5.35%		07/15/47			148,000		167,508
							10,020,096
Energy — 9.58%
Antero Resources Corp.
7.63%		02/01/29	5		4,038,000		4,300,277
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%		04/01/28	5		4,517,000		4,613,528
DCP Midstream Operating LP
5.60%		04/01/44			754,000		754,942
Devon Energy Corp.
5.00%		06/15/45			1,037,000		1,137,377
Endeavor Energy Resources LP/EER Finance, Inc.
5.75%		01/30/28	5		2,904,000		3,071,909
Energy Transfer Operating LP
5.00%		05/15/50			840,000		872,177
Energy Transfer Operating LP,
Series B
6.63%		02/15/70	8		6,938,000		6,166,147
Hess Corp.
5.60%		02/15/41			1,047,000		1,210,321
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	5		3,270,000		3,366,917
Occidental Petroleum Corp.
3.50%		08/15/29			8,939,000		8,388,521
4.40%		08/15/49			5,900,000		4,933,993
5.88%		09/01/25			4,975,000		5,324,743
Petroleos Mexicanos
(Mexico)
6.75%		09/21/47	2		524,000		446,584
7.69%		01/23/50	2		425,000		393,975
Rockies Express Pipeline LLC
4.80%		05/15/30	5		650,000		643,906
6.88%		04/15/40	5		2,984,000		3,237,640
Ruby Pipeline LLC
8.00%		04/01/22	3,4,5		1,342,462		1,124,446
SM Energy Co.
5.63%		06/01/25			739,000		685,100
6.63%		01/15/27			910,000		841,750
6.75%		09/15/26			1,115,000		1,032,350
Sunoco Logistics Partners Operations LP
5.35%		05/15/45			820,000		866,767
5.40%		10/01/47			500,000		536,356
Sunoco LP/Sunoco Finance Corp.
4.50%		05/15/29	5		1,560,000		1,556,100
5.88%		03/15/28			3,165,000		3,335,119

See accompanying Notes to Financial Statements.

85 / Annual Report March 2021

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.50%		03/01/30		$	1,300,000	$	1,368,250
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			3,989,000		4,018,917
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	2,5		3,623,400		3,523,757
Transocean Pontus Ltd.
(Cayman Islands)
6.13%		08/01/25	2,5		1,165,075		1,103,180
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	2,5		2,041,800		1,944,815
Transocean Sentry Ltd.
(Cayman Islands)
5.38%		05/15/23	2,5		1,440,991		1,361,736
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		04/01/26			1,289,000		1,324,448
Valaris PLC
(United Kingdom)
7.75%		02/01/26	2,6,7		2,958,000		314,288
							73,800,336
Entertainment — 0.30%
Banijay Entertainment SASU
(France)
5.38%		03/01/25	2,5		252,000		260,455
Cinemark USA, Inc.
8.75%		05/01/25	5		1,889,000		2,076,719
							2,337,174
Finance — 2.40%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.50%		01/15/25	2		450,000		472,207
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	2,5		3,215,000		3,429,984
Ford Motor Credit Co. LLC
2.98%		08/03/22			1,805,000		1,834,331
3.22%		01/09/22			5,000,000		5,067,250
3.34%		03/28/22			950,000		963,072
(LIBOR USD 3-Month plus 1.27%)
1.46%		03/28/22	1		5,660,000		5,624,014
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	2		958,000		1,097,701
							18,488,559
Food — 5.20%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%		11/15/28	5		2,360,000		2,419,520

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.50%		01/15/30	2,5	$	4,250,000	$	4,712,187
Kraft Heinz Foods Co.
3.00%		06/01/26			13,040,000		13,754,561
4.63%		01/30/29			355,000		399,020
Nathan’s Famous, Inc.
6.63%		11/01/25	5		696,000		720,360
Pilgrim’s Pride Corp.
4.25%		04/15/31	5		3,000,000		2,991,557
Post Holdings, Inc.
4.50%		09/15/31	5		4,000,000		3,969,800
4.63%		04/15/30	5		4,629,000		4,646,359
5.63%		01/15/28	5		1,600,000		1,687,568
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/29	5		2,000,000		2,018,917
Smithfield Foods, Inc.
2.65%		10/03/21	5		460,000		463,933
5.20%		04/01/29	5		1,950,000		2,239,509
							40,023,291
Gaming — 0.88%
Caesars Entertainment, Inc.
6.25%		07/01/25	5		1,053,000		1,123,835
Churchill Downs, Inc.
4.75%		01/15/28	5		1,100,000		1,140,205
Live Nation Entertainment, Inc.
3.75%		01/15/28	5		3,217,000		3,180,809
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
5.13%		10/01/29	5		1,305,000		1,337,299
							6,782,148
Health Care — 10.82%
Bausch Health Cos., Inc.
(Canada)
7.00%		03/15/24	2,5		21,161,000		21,668,864
Centene Corp.
4.63%		12/15/29			3,241,000		3,511,948
Elanco Animal Health, Inc.
5.27%		08/28/23			4,153,000		4,477,453
Emergent BioSolutions, Inc.
3.88%		08/15/28	5		5,272,000		5,163,265
Encompass Health Corp.
4.75%		02/01/30			2,440,000		2,514,154
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	2,5		741,000		609,671
9.50%		07/31/27	2,5		542,000		589,917
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%		04/01/29	2,5		3,000,000		3,046,860
HCA, Inc.
5.25%		06/15/49			1,450,000		1,778,539

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 86

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Hill-Rom Holdings, Inc.
4.38%		09/15/27	5	$	1,160,000	$	1,197,700
Hologic, Inc.
3.25%		02/15/29	5		1,000,000		989,375
ModivCare, Inc.
5.88%		11/15/25	5		2,140,000		2,256,362
Molina Healthcare, Inc.
3.88%		11/15/30	5		5,404,000		5,565,438
4.38%		06/15/28	5		8,580,000		8,842,079
Owens & Minor, Inc.
4.50%		03/31/29	5		1,595,000		1,605,083
Par Pharmaceutical, Inc.
7.50%		04/01/27	5		244,000		259,538
Prime Healthcare Services, Inc.
7.25%		11/01/25	5		7,500,000		8,006,250
Teleflex, Inc.
4.25%		06/01/28	5		3,900,000		4,046,250
Tenet Healthcare Corp.
4.63%		09/01/24	5		2,307,000		2,378,279
4.63%		06/15/28	5		475,000		487,459
4.88%		01/01/26	5		2,019,000		2,101,779
5.13%		11/01/27	5		2,185,000		2,290,317
							83,386,580
Industrials — 6.31%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Ireland)
4.13%		08/15/26	2,5		8,927,000		9,186,329
Ball Corp.
4.00%		11/15/23			3,960,000		4,222,350
4.88%		03/15/26			3,895,000		4,357,687
5.25%		07/01/25			1,254,000		1,419,371
Clean Harbors, Inc.
4.88%		07/15/27	5		2,152,000		2,273,997
Energizer Holdings, Inc.
4.75%		06/15/28	5		2,525,000		2,616,531
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.67%		08/15/36	1		1,300,000		1,053,351
Graham Packaging Co., Inc.
7.13%		08/15/28	5		2,466,000		2,630,994
Graphic Packaging International LLC
3.50%		03/15/28	5		5,185,000		5,173,536
4.75%		07/15/27	5		2,571,000		2,805,604
4.88%		11/15/22			566,000		593,460
PowerTeam Services LLC
9.03%		12/04/25	5		659,000		727,406
Sealed Air Corp.
4.00%		12/01/27	5		815,000		837,413
4.88%		12/01/22	5		1,245,000		1,298,764
5.50%		09/15/25	5		4,898,000		5,370,933
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	2,5		2,195,000		2,290,592

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Trident TPI Holdings, Inc.
9.25%		08/01/24	5	$	875,000	$	934,099
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/26	2,5		800,000		841,266
							48,633,683
Information Technology — 1.14%
MSCI, Inc.
3.63%		09/01/30	5		870,000		886,156
NCR Corp.
5.13%		04/15/29	5		3,763,000		3,800,178
5.25%		10/01/30	5		1,717,000		1,741,896
8.13%		04/15/25	5		334,000		366,289
Science Applications International Corp.
4.88%		04/01/28	5		1,912,000		1,976,710
							8,771,229
Insurance — 0.39%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/29	5		3,075,000		3,026,741
Materials — 0.75%
Clearwater Paper Corp.
4.75%		08/15/28	5		5,695,000		5,758,255
Real Estate Investment Trust (REIT) — 3.33%
American Assets Trust LP
3.38%		02/01/31			3,810,000		3,778,896
CyrusOne LP/CyrusOne Finance Corp.
3.45%		11/15/29			6,128,000		6,318,510
GLP Capital LP/GLP Financing II, Inc.
5.75%		06/01/28			3,238,000		3,744,666
Iron Mountain, Inc.
5.25%		07/15/30	5		5,744,000		5,933,839
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.63%		06/15/25	5		2,369,000		2,500,071
SL Green Operating Partnership LP
3.25%		10/15/22			3,275,000		3,395,559
							25,671,541
Retail — 1.89%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
3.50%		02/15/29	2,5		5,195,000		5,057,507
FirstCash, Inc.
4.63%		09/01/28	5		5,013,000		5,122,659
Murphy Oil USA, Inc.
3.75%		02/15/31	5		1,610,000		1,585,519
Yum! Brands, Inc.
4.63%		01/31/32			2,750,000		2,811,023
							14,576,708
Services — 3.32%
Adtalem Global Education, Inc.
5.50%		03/01/28	5		2,349,000		2,331,331

See accompanying Notes to Financial Statements.

87 / Annual Report March 2021

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Services (continued)
GFL Environmental, Inc.
(Canada)
3.75%		08/01/25	2,5	$	5,000,000	$	5,084,375
4.25%		06/01/25	2,5		1,585,000		1,635,522
IHS Markit Ltd.
(Bermuda)
4.75%		02/15/25	2,5		1,420,000		1,591,749
5.00%		11/01/22	2,5		3,071,000		3,239,664
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%		08/31/27	5		3,211,000		3,118,707
Service Corp. International/U.S.
3.38%		08/15/30			1,690,000		1,651,637
4.63%		12/15/27			946,000		998,621
Waste Pro USA, Inc.
5.50%		02/15/26	5		5,753,000		5,906,346
							25,557,952
Transportation — 1.65%
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
5.75%		04/20/29	5		2,350,000		2,502,515
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			342,044		341,108
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			3,046,794		3,145,814
Delta Air Lines, Inc./SkyMiles IP Ltd.
4.75%		10/20/28	2,5		1,880,000		2,045,953
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.
6.50%		06/20/27	5		1,826,000		2,002,879
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			966,719		977,055
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			1,659,210		1,717,283
							12,732,607
Water — 0.16%
Solaris Midstream Holdings LLC
7.63%		04/01/26	5		1,200,000		1,228,500
Total Corporates
(Cost $552,340,725)							564,085,791
MORTGAGE-BACKED — 2.61%**
Non-Agency Commercial Mortgage- Backed — 0.23%
Morgan Stanley ABS Capital I Trust,
Series 2006-HE8, Class A2C
(LIBOR USD 1-Month plus 0.14%)
0.25%		10/25/36	1		3,178,380		1,753,333

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 2.38%
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-ASP6, Class A2C
(LIBOR USD 1-Month plus 0.16%)
0.27%		12/25/36	1	$	4,044,667	$	2,082,436
Ajax Mortgage Loan Trust,
Series 2019-D, Class A1 (STEP-reset date 04/25/21)
2.96%		09/25/65	5		1,592,801		1,613,115
GSAMP Trust,
Series 2005-HE4, Class M3
(LIBOR USD 1-Month plus 0.78%)
0.89%		07/25/45	1		2,350,000		2,343,976
GSAMP Trust,
Series 2005-HE5, Class M3
(LIBOR USD 1-Month plus 0.69%)
0.80%		11/25/35	1		2,500,889		2,488,459
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
0.25%		10/25/36	1		2,502,954		1,105,211
Lehman XS Trust,
Series 2005-7N, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
0.65%		12/25/35	1		904,330		891,008
Long Beach Mortgage Loan Trust,
Series 2006-10, Class 1A
(LIBOR USD 1-Month plus 0.15%)
0.26%		11/25/36	1		2,600,604		1,951,211
MASTR Asset-Backed Securities Trust,
Series 2006-HE2, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.41%		06/25/36	1		3,329,280		1,888,555
Morgan Stanley ABS Capital I Trust,
Series 2007-HE1, Class A2D
(LIBOR USD 1-Month plus 0.23%)
0.34%		11/25/36	1		1,719,482		1,207,865
Morgan Stanley Resecuritization Trust,
Series 2014-R3, Class 2A
3.00%		07/26/48	5,8		764,921		772,056
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(LIBOR USD 1-Month plus 0.22%)
0.33%		02/25/37	1		4,659,056		2,034,943
							18,378,835
Total Mortgage-Backed
(Cost $21,368,574)							20,132,168
Total Bonds — 93.84%
(Cost $710,149,825)							722,978,682
Issues				Shares		Value
COMMON STOCK — 0.02%
Electric — 0.00%
Homer City Holdings LLC†,3,4,6,9					502,908		—

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 88

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues			Shares		Value
COMMON STOCK — 0.02% (continued)
Energy — 0.02%
Valaris PLC6				114,000	$	114,000
Total Common Stock
(Cost $27,285,821)						114,000
WARRANT — 0.03%
Entertainment — 0.03%
Cineworld Group PLC2,6
(United Kingdom)				288,340		248,440
Total Warrant
(Cost $–)
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 4.80%
Money Market Funds — 0.91%
Dreyfus Government Cash Management Fund
0.03%10				3,131,000		3,131,000
JPMorgan U.S. Government Money Market Fund
0.03%10				3,871,000		3,871,000
						7,002,000
U.S. Treasury Bills — 3.89%
U.S. Treasury Bills
0.10%11		04/01/21	$	15,000,000		15,000,000
0.05%11		08/12/21		15,000,000		14,999,169
						29,999,169
Total Short-Term Investments (Cost $36,999,146)
						37,001,169
Total Investments - 98.69%
(Cost $774,434,792)						760,342,291
Cash and Other Assets, Less Liabilities - 1.31%						10,076,852
Net Assets - 100.00%					$	770,419,143

¹  Floating rate security. The rate disclosed was in effect at March 31, 2021.

²  Foreign denominated security issued by foreign domiciled entity.

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

⁴  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $3,133,840, which is 0.41% of total net assets.

⁵  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.

⁶  Non-income producing security.

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

⁸  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁹  Affiliated investment.

¹⁰  Represents the current yield as of March 31, 2021.

¹¹  Represents annualized yield at date of purchase.

^†  Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. 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.

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.

(EURIBOR): Euro InterBank Offer Rate

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(STEP): Step Coupon Bond

(USD): U.S. Dollar

Description	Number of Contracts	Expiration Date		Notional Amount			Value			Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five Year Note	225		06/30/21	$	27,764,649		$	(33,079	)	$	(33,079	)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ultra Bond	20		06/21/21		(3,624,375	)		68,191			68,191
U.S. Treasury Ten Year Ultra Bond	18		06/21/21		(2,586,375	)		19,603			19,603
					(6,210,750	)		87,794			87,794
TOTAL FUTURES CONTRACTS				$	21,553,899		$	54,715		$	54,715

See accompanying Notes to Financial Statements.

89 / Annual Report March 2021

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Reference Obligation/Index

Financing Rate Paid by the Fund

Payment Frequency

Counterparty

Expiration Date

Notional Amount1

Value

Premiums Paid

Unrealized Appreciation

SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC

Berry Global, Inc., 5.63%, due 07/15/27

5.00%

3 Months

Credit Suisse First Boston International

12/20/21

$

3,995,000

$

95,964

$

86,268

$

9,696

¹  The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 90

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BONDS – 105.26%
ASSET-BACKED SECURITIES — 6.79%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
1.21%		12/27/44	1,2	$	629,294	$	638,578
AMMC CLO 19 Ltd.,
Series 2016-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.38%		10/16/28	1,2,3		920,000		920,028
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.02%		01/20/28	1,2,3		1,197,414		1,195,498
Barings CLO Ltd.,
Series 2016-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.30%		07/20/28	1,2,3		47,525		47,522
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.66%		01/25/35	1,2		307,829		303,143
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
1.39%		02/25/35	2		650,000		665,482
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
0.99%		02/25/30	2		19,480		19,556
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.22%		10/27/36	2		1,030,000		1,036,367
CIT Education Loan Trust,
Series 2007-1, Class A
(LIBOR USD 3-Month plus 0.09%)
0.29%		03/25/42	1,2		231,769		223,084
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH1, Class M5
(LIBOR USD 1-Month plus 0.78%)
0.89%		01/25/36	2		2,000,000		1,956,434
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.16%		03/15/52	1,4		5,805,385		398,672
Countrywide Asset-Backed Certificates Trust,
Series 2005-7, Class MV5
(LIBOR USD 1-Month plus 1.13%)
1.23%		11/25/35	2		4,220,000		4,178,970
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.14%		04/15/29	1,2,3		1,785,000		1,781,776

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
0.87%		04/25/35	2	$	212,791	$	212,316
GCO Education Loan Funding Trust II,
Series 2006-2AR, Class A1RN
(LIBOR USD 1-Month plus 0.65%)
0.76%		08/27/46	1,2		769,270		765,782
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%		07/17/29	1,3		558,333		563,824
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
1.24%		05/25/34	1,2		812,665		817,268
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%		01/17/73	1		400,411		441,043
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%		01/17/73	1		756,538		822,673
LCM XVIII LP,
Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
1.48%		07/15/27	1,2,3		41,471		41,476
LCM XX LP,
Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
1.26%		10/20/27	1,2,3		1,509,064		1,508,838
Magnetite XVIII Ltd.,
Series 2016-18A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.27%		11/15/28	1,2,3		50,000		50,039
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2005-HE3, Class M5
(LIBOR USD 1-Month plus 1.03%)
1.14%		07/25/35	2		5,000,000		4,999,340
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
0.62%		06/25/31	2		644,576		635,732
Navient Student Loan Trust,
Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
0.73%		03/25/83	2		1,651,252		1,643,419
Navient Student Loan Trust,
Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
0.73%		03/25/83	2		1,501,841		1,494,107
Navient Student Loan Trust,
Series 2016-2A, Class A3
(LIBOR USD 1-Month plus 1.50%)
1.61%		06/25/65	1,2		1,640,000		1,704,873

See accompanying Notes to Financial Statements.

91 / Annual Report March 2021

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
1.06%		11/25/48	1,2	$	1,370,000	$	1,394,297
OCP CLO Ltd.,
Series 2020-19A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
1.97%		07/20/31	1,2,3		1,850,000		1,854,532
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.19%		04/20/34	1,2,3		1,875,000		1,871,439
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/37	5,6		2,289,618		2,254,916
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.49%		08/15/31	2		127,425		117,722
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
1.78%		12/15/32	2		271,650		278,529
SLM Student Loan Trust,
Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
0.69%		07/25/39	2		160,847		152,209
SLM Student Loan Trust,
Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
0.38%		01/25/41	2		1,025,000		1,005,107
SLM Student Loan Trust,
Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
0.97%		04/25/23	2		3,571,269		3,519,377
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%		01/25/83	2		185,000		174,411
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%		04/26/83	2		185,000		173,181
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		04/25/73	2		185,000		183,596
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		07/25/73	2		2,235,000		2,199,601
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.32%		07/25/23	2		1,898,070		1,894,353

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		07/26/83	2	$	185,000	$	182,315
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		07/26/83	2		185,000		184,759
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.47%		10/25/75	2		185,000		186,179
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.72%		04/25/23	2		669,277		672,867
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.47%		10/25/83	2		1,885,000		1,899,674
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
0.86%		01/25/45	1,2		3,023,164		3,062,133
SLM Student Loan Trust,
Series 2011-2, Class A2
(LIBOR USD 1-Month plus 1.20%)
1.31%		10/25/34	2		500,000		508,821
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
0.76%		05/26/26	2		615,364		604,205
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%		01/16/46	1		478,497		540,847
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%		07/01/42	1,2		500,000		461,218
Treman Park CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
1.29%		10/20/28	1,2,3		45,782		45,789
Total Asset-Backed Securities
(Cost $54,181,460)							54,487,917
BANK LOANS — 1.46%*
Automotive — 0.02%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%		04/30/26	2		193,444		191,751

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 92

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Communications — 0.40%
CenturyLink, Inc.,
Term Loan A, 1st Lien
(LIBOR plus 2.00%)
2.11%		01/31/25	2	$	234,375	$	233,203
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%		03/15/27	2		345,625		342,541
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.87%		02/01/27	2		98,747		98,395
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%		07/17/25	2		149,611		147,899
2.36%		01/15/26	2		352,800		348,501
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.61%		04/15/27	2		99,748		98,742
Intelsat Jackson Holdings,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(LIBOR plus 5.50%)
6.50%		07/13/22	2,3		48,500		49,203
Intelsat Jackson Holdings SA,
Term Loan B5, 1st Lien (Luxembourg)
8.63%		01/02/24	2,3		225,000		230,185
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		03/01/27	2		1,275,000		1,260,127
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.11%		03/09/27	2		445,395		442,400
							3,251,196
Consumer Discretionary — 0.02%
Reynolds Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		02/06/23	2		164,008		163,509
Electric — 0.02%
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/31/25	2		138,083		137,294
							137,294
Finance — 0.19%
Delos Finance SARL,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.95%		10/06/23	2		1,556,095		1,554,702

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Food — 0.04%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%		08/03/25	2	$	296,241	$	295,171
Gaming — 0.09%
Caesars Resort Collection LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
2.86%		12/23/24	2		638,351		629,883
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.11%		12/27/24	2		53,480		53,346
							683,229
Health Care — 0.34%
Avantor Funding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.25%		11/08/27	2		608,475		609,464
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%		01/15/25	2		52,744		52,638
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		03/01/24	2		315,041		315,058
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.87%		08/01/27	2		922,354		911,646
Gentiva Health Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.88%		07/02/25	2		732,244		729,194
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.08%		11/15/27	2		98,750		97,768
							2,715,768
Industrials — 0.16%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
1.90%		07/01/26	2		1,015,689		1,009,022
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.36%		05/30/25	2		294,260		288,685
							1,297,707

See accompanying Notes to Financial Statements.

93 / Annual Report March 2021

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology — 0.02%
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/25	2	$	79,031	$	78,344
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/25	2		59,009		58,496
							136,840
Real Estate Investment Trust (REIT) — 0.14%
VICI Properties 1 LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/20/24	2		1,125,000		1,113,874
Services — 0.01%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%		05/30/25	2		98,503		98,688
Transportation — 0.01%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		01/29/27	2		74,250		67,964
Total Bank Loans
(Cost $11,420,579)							11,707,693
CORPORATES — 25.45%*
Automotive — 0.12%
General Motors Co.
4.88%		10/02/23			845,000		925,834
Banking — 4.15%
Bank of America Corp.
2.59%		04/29/31	4		720,000		719,125
3.00%		12/20/23	4		2,497,000		2,597,862
Bank of America Corp.
(MTN)
3.09%		10/01/25	4		152,000		162,301
3.56%		04/23/27	4		605,000		658,650
Bank of New York Mellon Corp. (The)
(MTN)
2.60%		02/07/22			665,000		676,993
3.25%		09/11/24			365,000		396,221
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	1,3,4		780,000		755,104
2.19%		06/05/26	1,3,4		405,000		411,154
Fifth Third Bancorp
2.55%		05/05/27			910,000		947,753
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	3,4		1,165,000		1,147,343
2.01%		09/22/28	3,4		1,990,000		1,956,719

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase & Co.
2.01%		03/13/26	4	$	785,000	$	807,112
2.52%		04/22/31	4		290,000		289,622
3.20%		06/15/26			715,000		773,476
3.96%		01/29/27	4		50,000		55,335
4.02%		12/05/24	4		1,820,000		1,975,314
4.49%		03/24/31	4		865,000		998,653
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	3,4		380,000		388,102
3.87%		07/09/25	3,4		3,020,000		3,289,086
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	1,3,4		1,160,000		1,138,999
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	3,4		1,575,000		1,576,761
4.80%		11/15/24	3,4		1,730,000		1,904,869
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	1,3		330,000		361,700
Wells Fargo & Co.
(MTN)
2.39%		06/02/28	4		3,320,000		3,404,593
2.88%		10/30/30	4		3,815,000		3,934,240
3.58%		05/22/28	4		1,810,000		1,975,019
							33,302,106
Communications — 3.12%
AT&T, Inc.
2.55%		12/01/33	1		2,714,000		2,578,110
4.35%		03/01/29			365,000		412,908
(LIBOR USD 3-Month plus 1.18%)
1.36%		06/12/24	2		1,200,000		1,226,160
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.91%		07/23/25			500,000		567,790
CSC Holdings LLC
5.38%		02/01/28	1		65,000		68,494
6.50%		02/01/29	1		43,000		47,595
Fox Corp.
3.50%		04/08/30			1,500,000		1,597,055
Frontier Communications Corp.
5.00%		05/01/28	1		400,000		407,562
Intelsat Jackson Holdings SA
(Luxembourg)
8.50%		10/15/24	1,3,7,8		1,003,000		637,532
9.75%		07/15/25	1,3,7,8		585,000		367,029
Level 3 Financing, Inc.
3.88%		11/15/29	1		645,000		681,162
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	1		750,000		845,683
SES SA
(Luxembourg)
3.60%		04/04/23	1,3		1,500,000		1,579,475

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 94

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sirius XM Radio, Inc.
3.88%		08/01/22	1	$	219,000	$	220,369
Sprint Corp.
7.88%		09/15/23			65,000		74,376
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	1		479,000		483,790
4.74%		03/20/25	1		1,175,000		1,261,744
5.15%		03/20/28	1		1,785,000		2,039,363
Time Warner Cable LLC
4.00%		09/01/21			50,000		50,263
T-Mobile USA, Inc.
1.50%		02/15/26	1		85,000		84,268
2.25%		02/15/26			700,000		701,982
2.55%		02/15/31	1		740,000		725,896
3.88%		04/15/30	1		800,000		869,288
4.50%		02/01/26			172,000		176,407
6.00%		03/01/23			280,000		282,100
6.00%		04/15/24			293,000		295,564
Verizon Communications, Inc.
2.10%		03/22/28			395,000		396,459
2.55%		03/21/31			1,180,000		1,179,095
ViacomCBS, Inc.
4.20%		05/19/32			1,000,000		1,119,515
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	1,3		1,600,000		1,617,355
5.50%		05/15/29	1,3		65,000		69,085
Vodafone Group PLC
(United Kingdom)
4.38%		05/30/28	3		780,000		896,615
Walt Disney Co. (The)
2.00%		09/01/29			335,000		331,105
2.65%		01/13/31			1,090,000		1,114,017
							25,005,211
Consumer Discretionary — 0.97%
Anheuser-Busch InBev Worldwide, Inc.
3.50%		06/01/30			1,090,000		1,181,785
4.38%		04/15/38			725,000		825,057
4.75%		01/23/29			730,000		853,591
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	1,3		1,045,000		1,162,745
BAT Capital Corp.
2.73%		03/25/31			555,000		539,933
3.46%		09/06/29			770,000		804,647
4.39%		08/15/37			830,000		871,190
Reynolds American, Inc.
4.45%		06/12/25			365,000		405,240
5.70%		08/15/35			940,000		1,115,463
							7,759,651
Electric — 1.20%
AEP Texas, Inc.
3.85%		10/01/25	1		1,150,000		1,256,553

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Duke Energy Corp.
2.65%		09/01/26		$	30,000	$	31,413
Duquesne Light Holdings, Inc.
5.90%		12/01/21	1		395,000		407,955
Evergy Missouri West, Inc.
8.27%		11/15/21			1,995,000		2,083,210
FirstEnergy Transmission LLC
2.87%		09/15/28	1		853,000		861,320
Jersey Central Power & Light Co.
4.70%		04/01/24	1		995,000		1,082,962
Metropolitan Edison Co.
4.00%		04/15/25	1		770,000		817,943
Public Service Co. of New Mexico
3.85%		08/01/25			1,405,000		1,511,145
Southwestern Electric Power Co.
3.55%		02/15/22			955,000		972,994
Tucson Electric Power Co.
3.85%		03/15/23			595,000		628,846
							9,654,341
Energy — 1.96%
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	1		2,555,000		2,752,468
ConocoPhillips
3.75%		10/01/27	1		30,000		33,177
Energy Transfer Operating LP
3.75%		05/15/30			1,615,000		1,669,521
4.75%		01/15/26			130,000		144,196
4.95%		06/15/28			1,000,000		1,119,724
5.50%		06/01/27			531,000		613,148
Petroleos Mexicanos
(Mexico)
2.00%		12/20/22	3		600,000		609,126
5.95%		01/28/31	3		2,360,000		2,262,768
6.63%		06/15/35	3		1,780,000		1,696,064
Plains All American Pipeline LP/PAA Finance Corp.
4.50%		12/15/26			780,000		857,595
Rockies Express Pipeline LLC
4.80%		05/15/30	1		400,000		396,250
4.95%		07/15/29	1		1,000,000		1,023,526
Ruby Pipeline LLC
8.00%		04/01/22	1,5,6		613,068		513,506
Sabine Pass Liquefaction LLC
5.75%		05/15/24			1,081,000		1,222,347
Sunoco Logistics Partners Operations LP
3.45%		01/15/23			105,000		109,048
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		04/01/26			60,000		61,650
6.88%		09/01/27			181,000		186,736
Williams Cos., Inc. (The)
3.35%		08/15/22			480,000		494,502
							15,765,352

See accompanying Notes to Financial Statements.

95 / Annual Report March 2021

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Entertainment — 0.03%
Live Nation Entertainment, Inc.
4.75%		10/15/27	1	$	227,000	$	229,058
Finance — 4.25%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.50%		05/26/22	3		355,000		364,459
3.65%		07/21/27	3		355,000		372,814
3.95%		02/01/22	3		160,000		163,740
4.45%		12/16/21	3		750,000		767,368
Air Lease Corp.
2.25%		01/15/23			1,000,000		1,026,887
3.25%		03/01/25			820,000		863,098
3.25%		10/01/29			525,000		528,305
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%		02/15/25	1,3		1,160,000		1,163,257
5.13%		10/01/23	1,3		75,000		80,015
Citigroup, Inc.
4.41%		03/31/31	4		985,000		1,125,364
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
1.09%		02/15/22	1,2		1,900,000		1,912,976
Durrah MSN 35603
(Cayman Islands)
1.68%		01/22/25	3		2,269,361		2,327,264
Ford Motor Credit Co. LLC
3.22%		01/09/22			500,000		506,725
3.34%		03/28/22			40,000		40,550
3.81%		10/12/21			385,000		389,809
(LIBOR USD 3-Month plus 0.81%)
1.05%		04/05/21	2		850,000		850,000
GE Capital Funding LLC
4.40%		05/15/30	1		1,322,000		1,497,819
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	3		1,405,000		1,609,885
General Motors Financial Co., Inc.
3.15%		06/30/22			495,000		508,850
3.20%		07/06/21			1,040,000		1,044,551
3.45%		04/10/22			120,000		122,920
3.55%		04/09/21			1,000,000		1,000,354
4.20%		11/06/21			265,000		270,788
4.38%		09/25/21			220,000		224,094
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27	4		1,960,000		1,942,247
3.27%		09/29/25	4		725,000		776,968
3.75%		02/25/26			20,000		21,985
Intercontinental Exchange, Inc.
1.85%		09/15/32			870,000		797,521
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	1,3,4		390,000		402,401
3.77%		03/08/24	1,3,4		1,140,000		1,204,879
4.36%		08/01/24	1,3,4		1,085,000		1,172,080

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	1,3	$	860,000	$	898,568
5.25%		08/15/22	1,3		675,000		708,848
5.50%		02/15/24	1,3		140,000		152,284
Raymond James Financial, Inc.
5.63%		04/01/24			1,990,000		2,275,536
Safina Ltd.
(Cayman Islands)
2.00%		12/30/23	3		3,440,247		3,531,936
Sandalwood 2013 LLC
2.90%		07/10/25			1,378,372		1,451,327
							34,098,472
Food — 0.58%
Conagra Brands, Inc.
4.60%		11/01/25			1,400,000		1,590,546
Kraft Heinz Foods Co.
5.00%		07/15/35			2,295,000		2,652,905
6.88%		01/26/39			245,000		339,276
Pilgrim’s Pride Corp.
5.88%		09/30/27	1		65,000		69,736
							4,652,463
Gaming — 0.03%
Caesars Entertainment, Inc.
6.25%		07/01/25	1		230,000		245,472
Health Care — 3.88%
AbbVie, Inc.
3.60%		05/14/25			1,152,000		1,255,701
3.85%		06/15/24			1,342,000		1,461,972
Advocate Health & Hospitals Corp.,
Series 2020
2.21%		06/15/30			103,000		102,346
Aetna, Inc.
2.80%		06/15/23			50,000		52,175
3.50%		11/15/24			1,250,000		1,350,863
Alcon Finance Corp.
2.75%		09/23/26	1		2,300,000		2,434,494
Amgen, Inc.
3.63%		05/15/22			50,000		51,221
Bayer U.S. Finance II LLC
4.25%		12/15/25	1		575,000		640,430
4.38%		12/15/28	1		2,900,000		3,277,501
5.50%		08/15/25	1		1,100,000		1,245,791
Bayer U.S. Finance LLC
3.38%		10/08/24	1		1,020,000		1,100,117
Baylor Scott & White Holdings
2.65%		11/15/26			1,530,000		1,566,936
Becton Dickinson and Co.
3.36%		06/06/24			1,300,000		1,394,560
Cigna Corp.
4.13%		11/15/25			2,365,000		2,638,606
CommonSpirit Health
2.78%		10/01/30			810,000		826,204

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 96

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
CVS Health Corp.
2.88%		06/01/26		$	50,000	$	53,149
3.25%		08/15/29			2,890,000		3,057,986
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			1,000,000		1,046,771
Elanco Animal Health, Inc.
4.91%		08/27/21			1,000,000		1,010,625
HCA, Inc.
4.13%		06/15/29			1,145,000		1,269,193
5.00%		03/15/24			1,105,000		1,231,440
5.25%		04/15/25			206,000		235,406
5.25%		06/15/26			1,070,000		1,232,320
Hologic, Inc.
4.63%		02/01/28	1		60,000		63,075
Humana, Inc.
3.85%		10/01/24			860,000		940,037
3.95%		03/15/27			885,000		987,913
Royalty Pharma PLC (United Kingdom)
2.20%		09/02/30	1,3		675,000		645,614
							31,172,446
Industrials — 1.13%
Amcor Finance USA, Inc.
3.63%		04/28/26			1,950,000		2,134,160
BAE Systems Holdings, Inc.
3.80%		10/07/24	1		630,000		691,937
Berry Global, Inc.
0.95%		02/15/24	1		415,000		413,290
1.57%		01/15/26	1		180,000		177,361
Crane Co.
4.45%		12/15/23			1,130,000		1,228,896
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.58%		05/05/26	2		1,090,000		1,062,005
(LIBOR USD 3-Month plus 0.48%)
0.67%		08/15/36	2		1,115,000		903,450
General Electric Co.,
Series A (MTN)
6.75%		03/15/32			250,000		335,256
L3Harris Technologies, Inc.
3.85%		06/15/23			410,000		437,683
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	1		65,000		65,975
PowerTeam Services LLC
9.03%		12/04/25	1		227,000		250,563
Sealed Air Corp.
4.00%		12/01/27	1		65,000		66,788
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.38%		04/30/25	1,3		410,000		436,840
WRKCo, Inc.
4.65%		03/15/26			730,000		829,351
							9,033,555

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology — 0.29%
Apple, Inc.
3.25%		02/23/26		$	20,000	$	21,858
Broadcom, Inc.
3.63%		10/15/24			215,000		234,003
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
5.75%		03/01/25	1		65,000		66,206
Oracle Corp.
2.40%		09/15/23			40,000		41,631
2.88%		03/25/31			1,955,000		1,991,153
							2,354,851
Insurance — 0.31%
Berkshire Hathaway, Inc.
3.13%		03/15/26			55,000		59,916
Equitable Financial Life Global Funding
1.80%		03/08/28	1		1,190,000		1,164,396
Nationwide Mutual Insurance Co.
2.47%		12/15/24	1,4		1,212,000		1,211,335
New York Life Global Funding
3.00%		01/10/28	1		50,000		53,370
							2,489,017
Materials — 0.19%
International Flavors & Fragrances, Inc.
4.45%		09/26/28			800,000		907,921
Nutrition & Biosciences, Inc.
2.30%		11/01/30	1		635,000		616,033
							1,523,954
Real Estate Investment Trust (REIT) — 1.99%
American Campus Communities Operating Partnership LP
3.75%		04/15/23			50,000		52,888
4.13%		07/01/24			1,250,000		1,368,034
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			1,450,000		1,534,673
3.45%		11/15/29			1,000,000		1,031,088
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			1,140,000		1,210,053
5.25%		06/01/25			685,000		769,351
5.38%		11/01/23			30,000		32,841
5.38%		04/15/26			1,373,000		1,544,247
5.75%		06/01/28			325,000		375,854
Healthcare Realty Trust, Inc.
3.88%		05/01/25			1,400,000		1,519,671
Life Storage LP
2.20%		10/15/30			1,000,000		948,802
Piedmont Operating Partnership LP
3.40%		06/01/23			1,210,000		1,257,366
SL Green Operating Partnership LP
3.25%		10/15/22			1,350,000		1,399,696
(LIBOR USD 3-Month plus 0.98%)
1.17%		08/16/21	2		1,000,000		1,000,033
Ventas Realty LP
3.25%		10/15/26			1,155,000		1,246,877

See accompanying Notes to Financial Statements.

97 / Annual Report March 2021

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Welltower, Inc.
3.75%		03/15/23		$	640,000	$	676,086
							15,967,560
Retail — 0.34%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
3.50%		02/15/29	1,3		405,000		394,281
7-Eleven, Inc.
0.80%		02/10/24	1		1,565,000		1,560,485
Alimentation Couche-Tard, Inc.
(Canada)
2.70%		07/26/22	1,3		10,000		10,268
3.55%		07/26/27	1,3		640,000		696,168
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			65,000		70,747
							2,731,949
Services — 0.47%
GFL Environmental, Inc.
(Canada)
3.75%		08/01/25	1,3		600,000		610,125
IHS Markit Ltd.
(Bermuda)
4.13%		08/01/23	3		1,245,000		1,336,103
4.75%		02/15/25	1,3		1,340,000		1,502,073
Waste Pro USA, Inc.
5.50%		02/15/26	1		274,000		281,303
							3,729,604
Transportation — 0.44%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			1,365,938		1,394,645
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23			259,630		268,068
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			793,888		819,132
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			470,645		484,880
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			324,065		335,407
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25			281,539		265,883
							3,568,015
Total Corporates
(Cost $197,251,278)							204,208,911

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 20.16%**
Non-Agency Commercial Mortgage- Backed — 2.14%
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%		08/10/38	1,4	$	1,095,000	$	1,230,693
BX Trust,
Series 2019-OC11, Class A
3.20%		12/09/41	1		375,000		392,875
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%		03/10/39	1		805,000		901,341
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%		11/13/39	1		715,000		742,220
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class A5
3.62%		02/10/49			3,250,000		3,558,697
Citigroup Commercial Mortgage Trust,
Series 2016-GC37, Class A4
3.31%		04/10/49			1,000,000		1,081,174
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.15%		03/10/47	4		23,648,509		643,901
DC Office Trust,
Series 2019-MTC, Class A
2.97%		09/15/45	1		765,000		799,561
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	1		760,000		811,522
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%		12/10/41	1,4		765,000		800,671
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C29, Class XA (IO)
0.65%		05/15/48	4		28,584,327		658,640
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%		06/05/39	1		740,000		798,992
MKT Mortgage Trust,
Series 2020-525M, Class A
2.69%		02/12/40	1		945,000		965,806
Natixis Commercial Mortgage Securities Trust,
Series 2020-2PAC, Class A
2.97%		12/15/38	1		775,000		809,481
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/15/54	1		960,000		973,631
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.83%		01/15/32	1,4		560,000		584,993
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%		01/05/43	1,4		45,000		43,482
Wells Fargo Commercial Mortgage Trust,
Series 2015-C26, Class XA (IO)
1.21%		02/15/48	4		34,097,712		1,326,220
							17,123,900

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 98

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 5.31%
ACE Securities Corp. Home Equity Loan Trust,
Series 2005-HE2, Class M5
(LIBOR USD 1-Month plus 1.02%)
1.13%	04/25/352	$	4,582,129	$	4,580,872
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 05/25/21)
7.40%	10/25/27		12,485		12,732
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
1.08%	12/25/342		399,296		393,803
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		3,910		3,997
Bear Stearns ALT-A Trust,
Series 2004-12, Class 1M1
(LIBOR USD 1-Month plus 0.93%)
1.04%	01/25/352		3,275,612		3,256,902
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-HE12, Class M2
(LIBOR USD 1-Month plus 0.75%)
0.86%	12/25/352		464,009		462,955
Chevy Chase Mortgage Funding LLC, Mortgage- Backed Certificates,
Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
0.29%	05/25/361,2		56,542		53,628
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.06%	02/25/344		6,723		6,725
Conseco Finance Corp.,
Series 1996-7, Class M1
7.70%	09/15/264		48,800		49,660
Conseco Finance Corp.,
Series 1998-4, Class A5
6.18%	04/01/30		40,248		40,273
Conseco Finance Corp.,
Series 1998-6, Class A8
6.66%	06/01/304		28,441		28,621
Countrywide Home Loan Mortgage Pass- Through Trust,
Series 2004-14, Class 4A1
2.66%	08/25/344		73,614		71,790
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB3, Class AF1 (STEP-reset date 05/25/21)
3.38%	12/25/32		637,752		637,272
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF4 (STEP-reset date 05/25/21)
3.10%	12/25/36		406,462		406,720
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
0.17%	04/25/372		119,566		87,114
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A3
(LIBOR USD 1-Month plus 0.25%)
0.36%	04/25/372		1,420,749		1,063,624

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust,
Series 2005-FFH4, Class M1
(LIBOR USD 1-Month plus 0.72%)
0.83%	12/25/352	$	1,184,648	$	1,186,167
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.29%	09/25/344		77,825		77,405
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
2.94%	08/25/344		29,721		30,007
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
1.11%	10/25/372		2,127,581		2,145,579
HomeBanc Mortgage Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.54%)
0.65%	10/25/352		26,167		26,455
HSI Asset Securitization Corp. Trust,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
0.74%	11/25/352		333,100		331,806
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
0.97%	09/25/342		9,628		9,314
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
0.91%	11/25/342		28,441		27,453
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
3.00%	06/25/374		636,973		613,157
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A3
6.61%	02/25/28		48,390		48,845
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A4
6.75%	02/25/28		12,882		13,011
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		76,391		79,210
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(LIBOR USD 1-Month plus 0.29%)
0.40%	07/25/362		3,745,000		3,727,433
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
3.58%	05/25/374		153,918		154,590
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.14%	01/25/344		76,262		82,562

See accompanying Notes to Financial Statements.

99 / Annual Report March 2021

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
4.12%	06/25/344	$	1,781	$	1,817
MASTR Adjustable Rate Mortgages Trust,
Series 2007-HF2, Class A1
(LIBOR USD 1-Month plus 0.62%)
0.73%	09/25/372		1,793,997		1,767,224
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.69%	10/25/324		5,273		5,493
MASTR Seasoned Securitization Trust,
Series 2005-1, Class 4A1
2.73%	10/25/324		18,676		19,434
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.29%	06/25/372		402,164		298,131
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
0.36%	06/25/372		743,189		687,300
Mid-State Capital Corp. Trust,
Series 2004-1, Class A
6.01%	08/15/37		199,622		212,393
Mid-State Capital Corp. Trust,
Series 2004-1, Class B
8.90%	08/15/37		273,992		309,052
Mid-State Capital Corp. Trust,
Series 2004-1, Class M1
6.50%	08/15/37		195,708		212,396
Mid-State Capital Corp. Trust,
Series 2005-1, Class M2
7.08%	01/15/40		385,305		430,399
Mid-State Trust XI,
Series 11, Class A1
4.86%	07/15/38		512,709		547,176
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
1.04%	07/25/342		148,315		146,817
Nationstar Home Equity Loan Trust,
Series 2007-B, Class 1AV1
(LIBOR USD 1-Month plus 0.22%)
0.33%	04/25/372		3,516,479		3,487,507
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
0.78%	03/25/352		4,119,326		4,100,121
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
0.33%	02/25/362		2,362,768		2,344,960
New York Mortgage Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.48%)
0.59%	02/25/362		739,746		741,919

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Option One Mortgage Loan Trust,
Series 2005-2, Class M1
(LIBOR USD 1-Month plus 0.66%)
0.77%		05/25/352	$	107,080	$	107,059
RBSSP Resecuritization Trust,
Series 2009-12, Class 17A2
2.78%		10/25/351,4		2,792,909		2,762,153
Residential Asset Mortgage Products Trust,
Series 2003-SL1, Class A41
8.00%		04/25/31		18,999		19,997
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A7
7.00%		11/25/31		8,564		8,828
Residential Asset Mortgage Products Trust,
Series 2006-NC1, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.72%		01/25/362		1,034,413		1,029,883
Residential Asset Securities Corp.,
Series 2005-AHL3, Class A3
(LIBOR USD 1-Month plus 0.34%)
0.79%		11/25/352		41,098		40,950
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.01%		12/25/344		13,506		13,466
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
2.75%		10/25/344		782,213		746,666
Structured Asset Mortgage Investments II Trust,
Series 2005-AR1, Class A1
(LIBOR USD 1-Month plus 0.48%)
0.59%		04/19/352		502,374		493,048
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A2
(Federal Reserve US 12-Month Cumulative Average plus 1.48%)
1.98%		02/25/362		459,010		453,889
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
2.71%		05/25/364		1,944,013		1,244,560
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A3
(LIBOR USD 1-Month plus 1.56%)
1.67%		10/25/452		655,660		685,336
						42,627,656
U.S. Agency Commercial Mortgage- Backed — 0.03%
Fannie Mae-Aces,
Series 2015-M4, Class X2 (IO)
0.44%		07/25/224		71,047,477		135,708
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K021, Class A2
2.40%		06/25/22		105,000		107,218
						242,926

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 100

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 12.68%
Fannie Mae Pool 253974
7.00%		08/01/31		$	1,252	$	1,398
Fannie Mae Pool 254232
6.50%		03/01/22			396		402
Fannie Mae Pool 527247
7.00%		09/01/26			14		15
Fannie Mae Pool 545191
7.00%		09/01/31			646		736
Fannie Mae Pool 545646
7.00%		09/01/26			8		8
Fannie Mae Pool 549740
6.50%		10/01/27			3,276		3,679
Fannie Mae Pool 606108
7.00%		03/01/31			348		351
Fannie Mae Pool 630599
7.00%		05/01/32			3,171		3,669
Fannie Mae Pool 655928
7.00%		08/01/32			2,293		2,765
Fannie Mae Pool 735207
7.00%		04/01/34			862		1,009
Fannie Mae Pool 735686
6.50%		12/01/22			104		107
Fannie Mae Pool 735861
6.50%		09/01/33			54,079		60,355
Fannie Mae Pool 764388
(LIBOR USD 6-Month plus 1.38%)
1.63%		03/01/34	2		7,524		7,587
Fannie Mae Pool 776708
5.00%		05/01/34			88,263		102,600
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.58%)
1.95%		11/01/35	2		6,051		6,128
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
1.99%		12/01/35	2		8,303		8,353
Fannie Mae Pool 889184
5.50%		09/01/36			72,753		85,017
Fannie Mae Pool 890221
5.50%		12/01/33			110,063		125,438
Fannie Mae Pool 939419
(LIBOR USD 12-Month plus 1.26%)
3.02%		05/01/37	2		21,774		21,897
Fannie Mae Pool AL0209
4.50%		05/01/41			291,969		331,008
Fannie Mae Pool AN2786
2.76%		09/01/36			48,774		51,018
Fannie Mae Pool BL6060
2.46%		04/01/40			1,160,000		1,140,932
Fannie Mae Pool CA1710
4.50%		05/01/48			17,969		19,590
Fannie Mae Pool CA1711
4.50%		05/01/48			1,283,812		1,400,908
Fannie Mae Pool CA2208
4.50%		08/01/48			18,665		20,356
Fannie Mae Pool FM2318
3.50%		09/01/49			1,703,338		1,831,995

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FN0039
3.18%		09/01/27	4	$	35,648	$	39,082
Fannie Mae Pool MA1527
3.00%		08/01/33			20,905		22,132
Fannie Mae Pool MA1561
3.00%		09/01/33			1,153,819		1,221,521
Fannie Mae Pool MA1608
3.50%		10/01/33			1,038,229		1,122,266
Fannie Mae Pool MA3427
4.00%		07/01/33			14,866		15,855
Fannie Mae Pool MA3537
4.50%		12/01/48			1,378,071		1,501,301
Fannie Mae Pool MA3811
3.00%		10/01/49			1,122,432		1,148,867
Fannie Mae Pool MA4152
2.00%		10/01/40			3,296,684		3,336,486
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
10.75%		05/25/23	2		933		1,013
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%		10/25/31			114,391		132,008
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%		01/25/34	2		3,730		4,371
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
0.58%		07/25/37	2		52,443		53,110
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.94%		11/25/36	2		843,923		155,890
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%		06/25/47			9,697		10,153
Fannie Mae REMICS,
Series 2018-43, Class CT
3.00%		06/25/48			440,441		465,047
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%		01/25/47			91,868		95,315
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%		05/25/47			572,619		597,174
Fannie Mae Trust,
Series 2003-W6, Class 5T (IO)
(-1.00 X LIBOR USD 1-Month plus 8.15%, 0.55% Cap)
0.55%		09/25/42	2		8,650,755		125,330
Freddie Mac Gold Pool A25162
5.50%		05/01/34			94,864		109,247
Freddie Mac Gold Pool A33262
5.50%		02/01/35			32,976		38,672

See accompanying Notes to Financial Statements.

101 / Annual Report March 2021

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool A68781
5.50%		10/01/37		$	5,839	$	6,797
Freddie Mac Gold Pool C03813
3.50%		04/01/42			710,081		772,891
Freddie Mac Gold Pool C90504
6.50%		12/01/21			42		42
Freddie Mac Gold Pool G01548
7.50%		07/01/32			216,843		264,403
Freddie Mac Gold Pool G01644
5.50%		02/01/34			55,995		65,366
Freddie Mac Gold Pool G02366
6.50%		10/01/36			46,536		55,345
Freddie Mac Gold Pool G08844
5.00%		10/01/48			390,057		431,875
Freddie Mac Gold Pool G12393
5.50%		10/01/21			154		155
Freddie Mac Gold Pool G12909
6.00%		11/01/22			19,337		19,941
Freddie Mac Gold Pool G13032
6.00%		09/01/22			2,241		2,266
Freddie Mac Gold Pool G15897
2.50%		09/01/31			29,667		31,091
Freddie Mac Gold Pool G16085
2.50%		02/01/32			1,736,080		1,824,534
Freddie Mac Gold Pool G16524
3.50%		05/01/33			69,495		74,956
Freddie Mac Gold Pool G16756
3.50%		01/01/34			1,368,035		1,474,686
Freddie Mac Gold Pool G18581
2.50%		01/01/31			30,780		32,231
Freddie Mac Gold Pool J06246
5.50%		10/01/21			255		255
Freddie Mac Pool SD7503
3.50%		08/01/49			4,755,206		5,111,405
Freddie Mac REMICS,
Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	2		5,217		5,509
Freddie Mac REMICS,
Series 2174, Class PN
6.00%		07/15/29			21,073		23,752
Freddie Mac REMICS,
Series 3460, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
6.09%		06/15/38	2		837,859		153,447
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
6.50%		04/15/42	2		732,991		143,004
Ginnie Mae (TBA)
2.00%		05/20/51			7,525,000		7,583,052
2.50%		05/20/51			3,300,000		3,397,726
2.50%		06/20/51			600,000		616,690
Ginnie Mae I Pool 782810
4.50%		11/15/39			606,994		680,469

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.25%		07/20/34	2	$	15,155	$	15,738
Ginnie Mae II Pool MA4454
5.00%		05/20/47			26,881		29,958
Ginnie Mae II Pool MA4511
4.00%		06/20/47			7,628		8,271
Ginnie Mae II Pool MA4588
4.50%		07/20/47			273,664		300,558
Ginnie Mae II Pool MA4589
5.00%		07/20/47			1,446,787		1,610,246
Ginnie Mae II Pool MA4838
4.00%		11/20/47			716,545		775,097
Ginnie Mae II Pool MA4901
4.00%		12/20/47			578,940		625,395
Ginnie Mae II Pool MA5399
4.50%		08/20/48			794,975		870,027
Ginnie Mae II Pool MA5530
5.00%		10/20/48			10,783		11,780
Ginnie Mae II Pool MA6030
3.50%		07/20/49			181,159		185,734
Ginnie Mae II Pool MA6080
3.00%		08/20/49			73,933		75,467
Ginnie Mae II Pool MA6209
3.00%		10/20/49			1,216,769		1,254,066
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
14.07%		11/26/23	2		9,012		10,274
UMBS (TBA)
1.50%		05/01/36			3,825,000		3,835,502
2.00%		05/01/36			3,750,000		3,844,089
2.00%		05/01/51			42,025,000		41,872,331
2.50%		05/01/51			8,075,000		8,269,304
							101,787,886
Total Mortgage-Backed
(Cost $160,285,070)							161,782,368
MUNICIPAL BONDS — 0.82%*
California — 0.25%
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series G
2.19%		11/01/32			795,000		790,621
Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements,
Series C
5.52%		07/01/27			50,000		61,007
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%		07/01/34			875,000		1,158,118
							2,009,746

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 102

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
Florida — 0.07%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series C
4.06%		10/01/31	$	280,000	$	307,812
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31		245,000		258,750
						566,562
Massachusetts — 0.10%
Massachusetts School Building Authority Revenue Bonds, Series B
2.87%		10/15/31		765,000		817,341
New York — 0.40%
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements
6.55%		11/15/31		25,000		31,599
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3
5.27%		05/01/27		1,465,000		1,758,320
New York State Dormitory Authority Revenue Bonds, Transit Improvements, Series F
3.03%		02/15/33		1,245,000		1,311,032
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series D
5.50%		03/15/30		70,000		83,186
						3,184,137
Pennsylvania — 0.00%
Pennsylvania Economic Development Financing Authority Revenue Bonds, University of Pittsburgh Medical Center, Series B
3.20%		11/15/27		40,000		43,286
Total Municipal Bonds
(Cost $6,393,535)						6,621,072
U.S. TREASURY SECURITIES — 50.58%
U.S. Treasury Notes — 50.58%
U.S. Treasury Notes
0.13%		01/31/23		82,810,000		82,771,183
0.13%		02/28/23		85,880,000		85,829,679
0.13%		03/31/23		20,890,000		20,876,536
0.50%		02/28/26		88,425,000		86,691,041
0.75%		03/31/26		102,545,000		101,659,750
1.13%		02/15/31		29,760,000		28,125,526
Total U.S. Treasury Securities
(Cost $407,944,269)						405,953,715
Total Bonds — 105.26%
(Cost $837,476,191)						844,761,676

Issues			Shares		Value
COMMON STOCK — 0.00%
Electric — 0.00%
Homer City Holdings LLC†,5,6,7				8,014	$	—
Total Common Stock
(Cost $457,400)
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 1.25%
Money Market Funds — 0.00%
Fidelity Investments Money Market Funds - Government Portfolio
0.01%9,10				18,630		18,630
U.S. Treasury Bills — 1.25%
U.S. Treasury Bills
0.05%11		08/12/21	$	10,000,000		9,999,446
Total Short-Term Investments
(Cost $10,016,755)						10,018,076
Total Investments - 106.51%
(Cost $847,950,346)						854,779,752
Liabilities in Excess of Other Assets - (6.51)%						(52,264,940	)
Net Assets - 100.00%					$	802,514,812

¹  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.

²  Floating rate security. The rate disclosed was in effect at March 31, 2021.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁵  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁶  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,768,422, which is 0.35% of total net assets.

⁷  Non-income producing security.

⁸  Security is currently in default with regard to scheduled interest or principal payments.

⁹  Represents the current yield as of March 31, 2021.

¹⁰  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $34.

¹¹  Represents annualized yield at date of purchase.

^†  Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. 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.

See accompanying Notes to Financial Statements.

103 / Annual Report March 2021

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2021

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.

(CLO): Collateralized Loan Obligation

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Description	Number of Contracts		Expiration Date		Notional Amount			Value			Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two Year Note		113		06/30/21	$	24,942,102		$	(24,808	)	$	(24,808	)
U.S. Treasury Five Year Note		90		06/30/21		11,105,859			(140,104	)		(140,104	)
						36,047,961			(164,912	)		(164,912	)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ultra Bond		21		06/21/21		(3,805,594	)		192,042			192,042
U.S. Treasury Ten Year Ultra Bond		11		06/21/21		(1,580,563	)		55,578			55,578
						(5,386,157	)		247,620			247,620
TOTAL FUTURES CONTRACTS					$	30,661,804		$	82,708		$	82,708

Reference Obligation/Index

Financing Rate Paid by the Fund

Payment Frequency

Counterparty

Expiration Date

Notional Amount1

Value

Premiums Paid

Unrealized Appreciation

SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC

Berry Global, Inc., 5.63%, due 07/15/27

5.00%

3 Months

Credit Suisse First Boston International

12/20/21

$

1,155,000

$

27,744

$

24,941

$

2,803

¹  The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 104

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BONDS – 97.80%
ASSET-BACKED SECURITIES — 5.15%**
GCO Education Loan Funding Trust II,
Series 2006-2AR, Class A1RN
(LIBOR USD 1-Month plus 0.65%)
0.76%		08/27/46	1,2	$	70,854	$	70,533
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%		01/17/73	1		35,858		39,496
Orec Ltd.,
Series 2018-CRE1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.18%)
1.29%		06/15/36	1,2,3		15,000		15,036
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/37	4,5		39,819		39,216
SLC Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.16%)
0.34%		03/15/55	2		60,000		58,141
SLM Student Loan Trust,
Series 2007-2, Class B
(LIBOR USD 3-Month plus 0.17%)
0.39%		07/25/25	2		70,000		65,485
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%		01/25/83	2		20,000		18,855
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%		04/26/83	2		20,000		18,722
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		07/25/73	2		35,000		34,446
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.32%		07/25/23	2		32,390		32,327
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		07/26/83	2		20,000		19,710
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		07/26/83	2		20,000		19,974
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
1.72%		04/25/23	2		20,605		20,726
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.47%		10/25/75	2		30,000		30,191

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.72%		04/25/23	2	$	15,686	$	15,770
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.47%		10/25/83	2		15,000		15,117
Structured Receivables Finance LLC,
Series 2010-B, Class A
3.73%		08/15/36	1		57,983		60,666
Towd Point Mortgage Trust,
Series 2015-2, Class 1A13
2.50%		11/25/60	1,6		17,201		17,272
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
0.39%		04/25/40	1,2		39,043		38,385
Total Asset-Backed Securities
(Cost $611,330)							630,068
CORPORATES — 56.09%*
Banking — 6.57%
Bank of America Corp.
2.59%		04/29/31	6		10,000		9,988
3.00%		12/20/23	6		15,000		15,606
Bank of America Corp.
(MTN)
2.50%		02/13/31	6		35,000		34,759
3.97%		03/05/29	6		60,000		66,448
3.97%		02/07/30	6		30,000		33,331
Bank of New York Mellon Corp. (The)
(MTN)
1.60%		04/24/25			45,000		45,886
3.25%		09/11/24			5,000		5,428
Fifth Third Bancorp
2.55%		05/05/27			30,000		31,245
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	3,6		20,000		19,697
2.01%		09/22/28	3,6		55,000		54,080
JPMorgan Chase & Co.
2.52%		04/22/31	6		35,000		34,954
3.21%		04/01/23	6		50,000		51,365
3.56%		04/23/24	6		70,000		74,208
4.01%		04/23/29	6		20,000		22,371
4.20%		07/23/29	6		15,000		16,985
Lloyds Banking Group PLC
(United Kingdom)
3.87%		07/09/25	3,6		40,000		43,564
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	1,3,6		20,000		19,638
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	3,6		30,000		31,369
3.57%		01/10/23	3		10,000		10,223

See accompanying Notes to Financial Statements.

105 / Annual Report March 2021

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
State Street Corp.
3.78%		12/03/24	6	$	15,000	$	16,252
Wells Fargo & Co. (MTN)
2.39%		06/02/28	6		60,000		61,529
2.88%		10/30/30	6		5,000		5,156
3.58%		05/22/28	6		20,000		21,823
5.01%		04/04/51	6		60,000		77,077
							802,982
Communications — 6.11%
AT&T, Inc.
2.55%		12/01/33	1		29,000		27,548
2.75%		06/01/31			30,000		29,916
3.80%		12/01/57	1		70,000		66,686
4.30%		02/15/30			49,000		55,234
Charter Communications Operating LLC/Charter Communications Operating Capital
3.75%		02/15/28			42,000		45,548
Comcast Corp.
1.95%		01/15/31			70,000		67,502
Fox Corp.
3.50%		04/08/30			30,000		31,941
Level 3 Financing, Inc.
3.88%		11/15/29	1		11,000		11,617
SES SA
(Luxembourg)
3.60%		04/04/23	1,3		15,000		15,795
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	1		25,000		26,846
5.15%		03/20/28	1		50,000		57,125
T-Mobile USA, Inc.
2.55%		02/15/31	1		49,000		48,066
4.38%		04/15/40	1		25,000		27,801
Verizon Communications, Inc.
2.55%		03/21/31			35,000		34,973
4.33%		09/21/28			40,000		45,915
ViacomCBS, Inc.
4.20%		05/19/32			40,000		44,780
Vodafone Group PLC
(United Kingdom)
4.38%		05/30/28	3		65,000		74,718
Walt Disney Co. (The)
2.65%		01/13/31			15,000		15,331
6.20%		12/15/34			4,000		5,549
7.75%		01/20/24			12,000		14,234
							747,125
Consumer Discretionary — 2.51%
Anheuser-Busch InBev Worldwide, Inc.
3.50%		06/01/30			60,000		65,052
4.00%		04/13/28			52,000		58,040
4.75%		01/23/29			15,000		17,539

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	1,3	$	5,000	$	5,564
4.70%		05/15/28	1,3		30,000		34,350
BAT Capital Corp.
2.73%		03/25/31			10,000		9,729
Constellation Brands, Inc.
2.88%		05/01/30			20,000		20,459
4.25%		05/01/23			15,000		16,106
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/25	1,3		30,000		33,024
Reynolds American, Inc.
5.70%		08/15/35			40,000		47,467
							307,330
Electric — 3.66%
Alliant Energy Finance LLC
1.40%		03/15/26	1		40,000		39,285
Ameren Corp.
3.50%		01/15/31			35,000		37,204
Appalachian Power Co.
4.45%		06/01/45			5,000		5,625
Berkshire Hathaway Energy Co.
3.70%		07/15/30			50,000		55,512
Black Hills Corp.
4.35%		05/01/33			36,000		40,452
Consolidated Edison Co. of New York, Inc.,
Series 20A
3.35%		04/01/30			45,000		48,202
Duquesne Light Holdings, Inc.
5.90%		12/01/21	1		23,000		23,754
ITC Holdings Corp.
4.05%		07/01/23			10,000		10,684
Jersey Central Power & Light Co.
4.70%		04/01/24	1		5,000		5,442
Metropolitan Edison Co.
4.00%		04/15/25	1		25,000		26,557
Narragansett Electric Co. (The)
3.40%		04/09/30	1		35,000		37,298
Public Service Co. of New Mexico
3.85%		08/01/25			40,000		43,022
Southwestern Electric Power Co.,
Series M
4.10%		09/15/28			20,000		22,254
Tucson Electric Power Co.
5.15%		11/15/21			30,000		30,516
Xcel Energy, Inc.
3.40%		06/01/30			20,000		21,528
							447,335
Energy — 4.08%
Chevron Corp.
2.24%		05/11/30			15,000		14,962
ConocoPhillips
2.40%		02/15/31	1		65,000		64,108

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 106

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Energy Transfer Operating LP
4.20%		04/15/27		$	10,000	$	10,912
4.95%		06/15/28			35,000		39,190
5.50%		06/01/27			10,000		11,547
EQT Corp.
3.90%		10/01/27			10,000		10,219
Exxon Mobil Corp.
3.45%		04/15/51			20,000		20,234
Hess Corp.
4.30%		04/01/27			17,000		18,573
Kinder Morgan, Inc.
5.63%		11/15/23	1		25,000		27,790
Kinder Morgan, Inc.
(GMTN)
7.80%		08/01/31			10,000		13,895
NGPL Pipe Co. LLC
4.38%		08/15/22	1		25,000		25,957
Petroleos Mexicanos
(Mexico)
5.35%		02/12/28	3		15,000		14,612
5.95%		01/28/31	3		30,000		28,764
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			15,000		16,527
Rockies Express Pipeline LLC
3.60%		05/15/25	1		20,000		20,057
4.95%		07/15/29	1		10,000		10,235
Ruby Pipeline LLC
8.00%		04/01/22	1,4,5		15,720		13,167
Southern Natural Gas Co. LLC
4.80%		03/15/47	1		30,000		34,332
Sunoco Logistics Partners Operations LP
4.00%		10/01/27			10,000		10,760
TC PipeLines LP
3.90%		05/25/27			20,000		21,752
Texas Eastern Transmission LP
2.80%		10/15/22	1		10,000		10,288
TransCanada PipeLines Ltd.
(Canada)
4.10%		04/15/30	3		30,000		33,478
Williams Cos., Inc. (The)
4.30%		03/04/24			25,000		27,287
							498,646
Finance — 7.13%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.88%		01/23/28	3		11,000		11,495
3.95%		02/01/22	3		35,000		35,818
Air Lease Corp.
3.00%		09/15/23			30,000		31,358
3.63%		12/01/27			11,000		11,522
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%		02/15/25	1,3		5,000		5,014
Citigroup, Inc.
1.12%		01/28/27	6		20,000		19,573

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
2.57%		06/03/31	6	$	45,000	$	45,001
3.67%		07/24/28	6		20,000		21,895
Daimler Finance North America LLC
2.20%		10/30/21	1		20,000		20,213
Ford Motor Credit Co. LLC
4.25%		09/20/22			25,000		25,901
(LIBOR USD 3-Month plus 1.08%)
1.28%		08/03/22	2		35,000		34,650
GE Capital Funding LLC
4.40%		05/15/30	1		10,000		11,330
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	3		70,000		80,208
General Motors Financial Co., Inc.
3.15%		06/30/22			10,000		10,280
3.20%		07/06/21			20,000		20,087
4.20%		11/06/21			15,000		15,328
4.38%		09/25/21			5,000		5,093
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27	6		30,000		29,728
2.60%		02/07/30			30,000		30,400
2.88%		10/31/22	6		75,000		75,999
Intercontinental Exchange, Inc.
1.85%		09/15/32			5,000		4,584
2.10%		06/15/30			35,000		33,716
(LIBOR USD 3-Month plus 0.65%)
0.83%		06/15/23	2		20,000		20,036
Morgan Stanley
(GMTN)
3.70%		10/23/24			70,000		76,691
3.77%		01/24/29	6		20,000		21,947
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	1,3,6		35,000		36,113
3.77%		03/08/24	1,3,6		25,000		26,423
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	1,3		10,000		10,448
5.50%		02/15/24	1,3		15,000		16,316
Pipeline Funding Co. LLC
7.50%		01/15/30	1		18,016		22,571
Raymond James Financial, Inc.
3.63%		09/15/26			30,000		33,321
4.65%		04/01/30			25,000		29,215
							872,274
Food — 1.15%
Conagra Brands, Inc.
4.60%		11/01/25			16,000		18,178
General Mills, Inc.
3.70%		10/17/23			15,000		16,097
Kraft Heinz Foods Co.
5.00%		07/15/35			38,000		43,926
Smithfield Foods, Inc.
3.35%		02/01/22	1		50,000		50,642

See accompanying Notes to Financial Statements.

107 / Annual Report March 2021

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Food (continued)
5.20%		04/01/29	1		$	10,000		$	11,485
									140,328
Health Care — 8.32%
AbbVie, Inc.
3.60%		05/14/25				25,000			27,251
3.80%		03/15/25				5,000			5,465
5.00%		12/15/21				25,000			25,501
Alcon Finance Corp.
2.75%		09/23/26	1			20,000			21,169
Anthem, Inc.
3.65%		12/01/27				40,000			44,179
Ascension Health,
Series B
2.53%		11/15/29				20,000			20,537
Banner Health
2.34%		01/01/30				10,000			10,047
Barnabas Health, Inc.,
Series 2012
4.00%		07/01/28				15,000			16,840
Baxalta, Inc.
3.60%		06/23/22				25,000			25,821
Baxter International, Inc.
3.95%		04/01/30	1			25,000			28,165
Bayer U.S. Finance II LLC
3.88%		12/15/23	1			10,000			10,786
4.38%		12/15/28	1			55,000			62,160
4.40%		07/15/44	1			5,000			5,513
Becton Dickinson and Co.
3.36%		06/06/24				15,000			16,091
Bon Secours Mercy Health, Inc.,
Series 20-2
2.10%		06/01/31				30,000			29,032
Bristol-Myers Squibb Co.
3.90%		02/20/28				40,000			44,971
Centene Corp.
3.00%		10/15/30				50,000			49,979
Cigna Corp.
2.40%		03/15/30				25,000			24,808
4.38%		10/15/28				30,000			34,355
CommonSpirit Health
2.76%		10/01/24				25,000			26,541
2.78%		10/01/30				20,000			20,400
DENTSPLY SIRONA, Inc.
3.25%		06/01/30				30,000			31,403
Elanco Animal Health, Inc.
5.90%		08/28/28				15,000			17,053
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	1			30,000			31,223
HCA, Inc.
4.13%		06/15/29				25,000			27,712
5.00%		03/15/24				15,000			16,716
Humana, Inc.
2.90%		12/15/22				15,000			15,555
3.13%		08/15/29				15,000			15,663

Issues	Maturity Date			Principal Amount			Value
CORPORATES (continued)
Health Care (continued)
Illumina, Inc.
2.55%		03/23/31			$	30,000		$	29,772
NYU Langone Hospitals,
Series 2020
3.38%		07/01/55				20,000			19,618
PerkinElmer, Inc.
2.55%		03/15/31				25,000			24,797
Providence St. Joseph Health Obligated Group,
Series H
2.75%		10/01/26				20,000			21,295
Quest Diagnostics, Inc.
4.20%		06/30/29				20,000			22,870
Regeneron Pharmaceuticals, Inc.
1.75%		09/15/30				30,000			27,797
Royalty Pharma PLC
(United Kingdom)
1.75%		09/02/27	1,3			20,000			19,526
Smith & Nephew PLC
(United Kingdom)
2.03%		10/14/30	3			30,000			28,275
UnitedHealth Group, Inc.
3.70%		12/15/25				20,000			22,271
3.88%		12/15/28				40,000			45,068
Viatris, Inc.
1.13%		06/22/22	1			35,000			35,210
Zimmer Biomet Holdings, Inc.
3.55%		03/20/30				15,000			16,055
									1,017,490
Industrials — 2.32%
Amcor Finance USA, Inc.
3.63%		04/28/26				5,000			5,472
BAE Systems Holdings, Inc.
3.80%		10/07/24	1			25,000			27,458
3.85%		12/15/25	1			20,000			22,034
BAE Systems PLC
(United Kingdom)
3.40%		04/15/30	1,3			10,000			10,631
Berry Global, Inc.
0.95%		02/15/24	1			15,000			14,938
1.57%		01/15/26	1			25,000			24,634
Boeing Co. (The)
1.43%		02/04/24				30,000			30,056
General Electric Co.
(MTN)
5.88%		01/14/38				30,000			38,507
(LIBOR USD 3-Month plus 0.38%)
0.58%		05/05/26	2			10,000			9,743
Ingersoll-Rand Co.
9.00%		08/15/21				10,000			10,266
L3Harris Technologies, Inc.
3.85%		06/15/23				15,000			16,013
Sonoco Products Co.
3.13%		05/01/30				30,000			31,015

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 108

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%		04/28/26	1,3	$	15,000	$	16,262
WRKCo, Inc.
3.00%		06/15/33			10,000		10,177
4.65%		03/15/26			15,000		17,041
							284,247
Information Technology — 0.56%
Fiserv, Inc.
2.65%		06/01/30			25,000		25,208
NXP BV/NXP Funding LLC
(Netherlands)
4.63%		06/01/23	1,3		40,000		43,331
							68,539
Insurance — 3.01%
Aon Corp.
2.80%		05/15/30			25,000		25,584
3.75%		05/02/29			10,000		11,018
Berkshire Hathaway Finance Corp.
1.85%		03/12/30			10,000		9,768
Equitable Financial Life Global Funding
1.80%		03/08/28	1		25,000		24,462
Farmers Insurance Exchange
4.75%		11/01/57	1,6		45,000		47,113
Marsh & McLennan Cos., Inc.
2.25%		11/15/30			30,000		29,507
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	1		48,000		47,484
Metropolitan Life Global Funding I
2.95%		04/09/30	1		25,000		26,081
Nationwide Mutual Insurance Co.
2.47%		12/15/24	1,6		40,000		39,978
New York Life Insurance Co.
5.88%		05/15/33	1		30,000		38,144
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	1,6		45,000		47,854
Willis North America, Inc.
2.95%		09/15/29			20,000		20,690
							367,683
Materials — 1.07%
FMC Corp.
3.45%		10/01/29			20,000		21,130
Georgia-Pacific LLC
2.30%		04/30/30	1		35,000		34,899
International Flavors & Fragrances, Inc.
4.45%		09/26/28			40,000		45,396
Nutrition & Biosciences, Inc.
2.30%		11/01/30	1		10,000		9,701
Sherwin-Williams Co. (The)
2.30%		05/15/30			20,000		19,731
							130,857

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 6.31%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26		$	5,000	$	5,528
4.50%		07/30/29			18,000		20,723
American Assets Trust LP
3.38%		02/01/31			25,000		24,796
American Campus Communities Operating Partnership LP
3.30%		07/15/26			15,000		16,137
3.63%		11/15/27			5,000		5,461
3.75%		04/15/23			20,000		21,155
3.88%		01/30/31			110,000		118,720
American Tower Corp.
2.90%		01/15/30			10,000		10,230
3.55%		07/15/27			15,000		16,289
AvalonBay Communities, Inc.
(MTN)
2.45%		01/15/31			25,000		24,955
Boston Properties LP
2.75%		10/01/26			10,000		10,527
3.25%		01/30/31			25,000		25,907
3.40%		06/21/29			10,000		10,520
CC Holdings GS V LLC/Crown Castle GS III Corp.
3.85%		04/15/23			15,000		15,978
Crown Castle International Corp.
3.30%		07/01/30			20,000		20,968
CubeSmart LP
4.38%		02/15/29			15,000		16,724
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			15,000		15,876
3.45%		11/15/29			30,000		30,933
Essex Portfolio LP
2.65%		03/15/32			10,000		9,853
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			15,000		15,922
4.00%		01/15/30			15,000		15,613
5.30%		01/15/29			15,000		16,873
Healthcare Realty Trust, Inc.
3.88%		05/01/25			20,000		21,710
Healthcare Trust of America Holdings LP
2.00%		03/15/31			30,000		27,970
3.10%		02/15/30			15,000		15,531
Hudson Pacific Properties LP
3.95%		11/01/27			25,000		26,832
Kilroy Realty LP
2.50%		11/15/32			25,000		23,522
3.05%		02/15/30			5,000		5,039
4.38%		10/01/25			15,000		16,518
Lexington Realty Trust
2.70%		09/15/30			25,000		24,452
Life Storage LP
2.20%		10/15/30			40,000		37,952
Mid-America Apartments LP
1.70%		02/15/31			20,000		18,417
SL Green Operating Partnership LP
3.25%		10/15/22			35,000		36,289
(LIBOR USD 3-Month plus 0.98%)
1.17%		08/16/21	2		10,000		10,000

See accompanying Notes to Financial Statements.

109 / Annual Report March 2021

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
UDR, Inc.
(MTN)
4.40%		01/26/29		$	10,000	$	11,310
Ventas Realty LP
3.00%		01/15/30			15,000		15,308
4.13%		01/15/26			10,000		11,213
							771,751
Retail — 0.71%
7-Eleven, Inc.
(LIBOR USD 3-Month plus 0.45%)
0.65%		08/10/22	1,2		30,000		30,032
Alimentation Couche-Tard, Inc.
(Canada)
2.95%		01/25/30	1,3		15,000		15,332
3.80%		01/25/50	1,3		20,000		20,284
Home Depot, Inc. (The)
3.90%		12/06/28			10,000		11,467
Starbucks Corp.
2.00%		03/12/27			10,000		10,200
							87,315
Services — 1.04%
IHS Markit Ltd.
(Bermuda)
4.75%		08/01/28	3		5,000		5,784
5.00%		11/01/22	1,3		25,000		26,373
Northwestern University
3.69%		12/01/38			20,000		21,989
RELX Capital, Inc.
3.00%		05/22/30			10,000		10,399
4.00%		03/18/29			20,000		22,083
Republic Services, Inc.
2.90%		07/01/26			15,000		16,008
Waste Connections, Inc.
(Canada)
2.60%		02/01/30	3		25,000		25,126
							127,762
Transportation — 1.54%
Burlington Northern Santa Fe LLC
4.40%		03/15/42			4,000		4,689
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			20,751		21,187
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			24,253		24,322
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32			31,793		32,035
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			3,867		3,908
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			19,430		20,018

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		$	46,665	$	48,299
Union Pacific Corp.
3.95%		09/10/28			30,000		33,749
							188,207
Total Corporates
(Cost $6,657,971)							6,859,871
MORTGAGE-BACKED — 16.80%**
Non-Agency Commercial Mortgage-Backed — 6.97%
BANK,
Series 2018-BN10, Class XA (IO)
0.73%		02/15/61	6		269,544		11,245
BANK,
Series 2019-BN16, Class A4
4.01%		02/01/52			85,000		95,403
BANK,
Series 2019-BN17, Class A4
3.71%		04/15/52			55,000		60,654
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
0.84%		09/10/46	6		1,283,796		22,330
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.99%		10/10/47	6		635,416		18,813
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.21%		03/10/46	6		524,247		10,067
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.09%		07/10/45	6		17,845,341		27,621
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
0.97%		08/10/47	6		645,042		16,702
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.15%		03/10/47	6		1,036,542		28,223
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.07%		06/10/47	6		1,823,631		52,390
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.86%		09/10/47	4,5,6		2,145,070		53,379
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.79%		12/15/49	6		397,159		11,320
DBUBS Mortgage Trust,
Series 2011-LC2A, Class XA (IO)
1.08%		07/10/44	1,6		227,285		9
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%		02/10/37	1,6		375,000		4,978

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 110

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.74%		08/10/43	1,6	$	4,879,857	$	59,099
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
1.20%		08/10/44	1,6		877,231		222
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.01%		04/10/47	6		1,440,193		34,344
GS Mortgage Securities Trust,
Series 2016-GS3, Class XA (IO)
1.22%		10/10/49	6		218,086		11,670
GS Mortgage Securities Trust,
Series 2017-GS7, Class XA (IO)
1.12%		08/10/50	6		98,606		5,221
GS Mortgage Securities Trust,
Series 2019-GC42, Class A4
3.00%		09/01/52			50,000		52,785
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C29, Class XA (IO)
0.65%		05/15/48	6		617,639		14,232
JPMDB Commercial Mortgage Securities Trust,
Series 2017-C7, Class XA (IO)
0.87%		10/15/50	6		262,559		11,797
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2010-C2, Class XB (IO)
0.76%		11/15/43	1,6		1,397,175		2,210
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.49%		12/15/47	6		1,466,078		28,688
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2018-LAQ, Class A
(LIBOR USD 1-Month plus 1.00%)
1.11%		06/15/32	1,2		26,391		26,430
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%		06/05/39	1		5,000		5,399
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.03%		04/15/48	6		707,610		21,762
Natixis Commercial Mortgage Securities Trust,
Series 2020-2PAC, Class XB (IO)
0.81%		12/15/38	1,6		570,000		17,733
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.20%		08/10/49	1,4,5,6		3,700,000		12,018
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.09%		08/15/50	6		356,434		10,100
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.04%		12/15/47	6		958,283		29,801
Wells Fargo Commercial Mortgage Trust,
Series 2015-SG1, Class A4
3.79%		09/15/48			39,863		43,146

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2011-C3, Class XA (IO)
1.47%		03/15/44	1,6	$	162,007	$	239
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XA (IO)
1.30%		06/15/45	1,6		1,266,407		10,481
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.26%		03/15/47	6		1,410,448		41,878
							852,389
Non-Agency Mortgage-Backed — 3.65%
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R11, Class M3
(LIBOR USD 1-Month plus 0.75%)
0.86%		01/25/36	2		100,000		99,995
Banc of America Funding Trust,
Series 2014-R7, Class 2A1
(LIBOR USD 1-Month plus 0.14%)
0.25%		09/26/36	1,2		29,236		28,791
Bear Stearns ARM Trust,
Series 2004-1, Class 12A5
2.85%		04/25/34	6		9,483		9,425
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A2
7.58%		06/15/30	6		19,426		4,689
Centex Home Equity Loan Trust,
Series 2005-D, Class M4
(LIBOR USD 1-Month plus 0.92%)
1.02%		10/25/35	2		30,000		30,130
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
1.46%		10/25/37	1,2		8,565		8,618
Citigroup Mortgage Loan Trust,
Series 2015-6, Class 2A1
0.66%		12/25/35	1,6		11,978		12,078
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
0.74%		02/25/35	2		48,181		47,256
Conseco Finance Corp.,
Series 1998-4, Class A5
6.18%		04/01/30			11,897		11,905
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A1
(LIBOR USD 1-Month plus 0.90%)
1.01%		10/25/47	2		26,710		26,591
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
2.93%		09/25/35	6		15,663		15,989
HSI Asset Securitization Corp. Trust,
Series 2007-WF1, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
0.27%		05/25/37	2		23,270		22,646

See accompanying Notes to Financial Statements.

111 / Annual Report March 2021

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2007-FLX3, Class A1
(LIBOR USD 1-Month plus 0.24%)
0.35%		06/25/37	2	$	11,938	$	11,921
JPMorgan Mortgage Trust,
Series 2005-A3, Class 2A1
3.02%		06/25/35	6		8,956		9,374
Long Beach Mortgage Loan Trust,
Series 2006-1, Class 1A
(LIBOR USD 1-Month plus 0.44%)
0.55%		02/25/36	2		6,857		6,729
Morgan Stanley Mortgage Loan Trust,
Series 2004-5AR, Class 3A1
2.48%		07/25/34	6		16,349		17,231
Saxon Asset Securities Trust,
Series 2007-2, Class A2A
(LIBOR USD 1-Month plus 0.10%)
0.21%		05/25/47	2		79,934		68,352
Structured Asset Mortgage Investments II Trust,
Series 2004-AR1, Class 1A2
(LIBOR USD 1-Month plus 0.70%)
0.81%		03/19/34	2		2,115		2,032
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates,
Series 2004-1, Class 2A1
(LIBOR USD 1-Month plus 0.60%)
0.71%		04/25/34	2		12,976		12,067
							445,819
U.S. Agency Commercial Mortgage-Backed — 2.27%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.83%		07/25/39	6		604,948		24,613
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.10%		04/25/36	6		272,042		2,740
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.66%		01/25/39	6		662,844		35,614
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K015, Class X3 (IO)
2.82%		08/25/39	6		350,000		2,922
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K020, Class X1 (IO)
1.34%		05/25/22	6		1,777,050		19,849
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K025, Class X1 (IO)
0.79%		10/25/22	6		739,582		7,584
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K049, Class X3 (IO)
1.55%		10/25/43	6		250,000		15,102

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K717, Class X3 (IO)
1.62%		11/25/42	6	$	900,000	$	6,838
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K722, Class X1 (IO)
1.31%		03/25/23	6		2,295,675		42,243
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KAIV, Class X2 (IO)
3.59%		06/25/41	6		200,000		1,174
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC01, Class X1 (IO)
0.47%		12/25/22	6		2,596,748		15,933
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.20%		06/25/27	6		398,979		21,509
Ginnie Mae,
Series 2011-78, Class IX (IO)
0.00%		08/16/46	6		45,827		4,773
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.17%		02/16/53	6		3,791,707		30,871
Ginnie Mae,
Series 2013-1, Class IO (IO)
0.48%		02/16/54	6		1,162,289		21,516
Ginnie Mae,
Series 2013-125, Class IO (IO)
0.37%		10/16/54	6		1,358,855		24,896
							278,177
U.S. Agency Mortgage-Backed — 3.91%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
5.89%		11/25/41	2		159,150		22,208
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42			65,993		66,969
Fannie Mae REMICS,
Series 2013-5, Class GF
(LIBOR USD 1-Month plus 1.10%)
1.21%		10/25/42	2		45,671		46,058
Freddie Mac REMICS,
Series 4064, Class TB
3.50%		06/15/42			103,000		109,546
Freddie Mac REMICS,
Series 4638, Class UF
(LIBOR USD 1-Month plus 1.00%)
1.12%		09/15/44	2		15,193		15,350
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%		07/15/36			237,644		50,304

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 112

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.49%		10/20/33	2	$	271,179	$	58,848
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48			44,771		48,072
Ginnie Mae,
Series 2018-154, Class BP
3.50%		11/20/48			9,957		10,368
Ginnie Mae,
Series 2019-15, Class GT
3.50%		02/20/49			47,626		50,817
							478,540
Total Mortgage-Backed
(Cost $2,684,374)							2,054,925
MUNICIPAL BONDS — 2.70%*
California — 0.83%
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%		07/01/34			25,000		33,089
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%		07/01/34			10,000		14,137
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N
3.01%		05/15/50			10,000		9,609
Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements
5.88%		04/01/32			20,000		24,688
Santa Monica Community College District General Obligation Bonds
2.05%		08/01/33			20,000		19,713
							101,236
Colorado — 0.20%
City & County of Denver Airport System Revenue Bonds, Series C
2.24%		11/15/30			25,000		24,467
Florida — 0.13%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31			15,000		15,842
Georgia — 0.16%
City of Atlanta Water & Waste water Revenue Bonds
2.26%		11/01/35			20,000		19,870
Maryland — 0.12%
City of Baltimore Revenue Bonds, Series B
2.13%		07/01/33			15,000		14,575

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
Massachusetts — 0.13%
Massachusetts School Building Authority Revenue Bonds, Series B
2.97%		10/15/32	$	15,000	$	15,766
New York — 0.73%
City of New York General Obligation Bonds, Series D
1.92%		08/01/31		30,000		27,961
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.73%		08/01/29		5,000		5,584
New York State Dormitory Authority Revenue Bonds, School Improvements, Series F
2.96%		02/15/32		25,000		26,341
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series B
2.97%		03/15/34		15,000		15,324
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F
2.00%		03/15/33		15,000		14,256
						89,466
Texas — 0.40%
Dallas Area Rapid Transit Revenue Bonds
2.18%		12/01/32		25,000		24,807
North Texas Tollway Authority Revenue Bonds
1.88%		01/01/30		25,000		24,116
						48,923
Total Municipal Bonds
(Cost $335,364)						330,145
U.S. TREASURY SECURITIES — 17.06%
U.S. Treasury Notes — 17.06%
U.S. Treasury Notes
0.13%		01/31/23		330,000		329,845
0.13%		02/28/23		1,202,000		1,201,296
0.50%		02/28/26		101,000		99,019
0.75%		03/31/26		24,000		23,793
1.13%		02/15/31		458,000		432,846
Total U.S. Treasury Securities
(Cost $2,095,736)						2,086,799
Total Bonds — 97.80%
(Cost $12,384,775)						11,961,808

See accompanying Notes to Financial Statements.

113 / Annual Report March 2021

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 0.17%
Money Market Funds — 0.17%
Fidelity Investments Money Market Funds - Government Portfolio
0.01%7			20,597	$	20,597
Total Short-Term Investments
(Cost $20,597)
Total Investments - 97.97%
(Cost $12,405,372)					11,982,405
Cash and Other Assets, Less Liabilities - 2.03%					248,179
Net Assets - 100.00%				$	12,230,584

¹  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.

²  Floating rate security. The rate disclosed was in effect at March 31, 2021.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁵  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $117,780, which is 0.96% of total net assets.

⁶  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁷  Represents the current yield as of March 31, 2021.

* 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.

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.

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(USD): U.S. Dollar

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five Year Note		21		06/30/21	$	2,591,367	$	(31,355)	$	(31,355)
U.S. Treasury Two Year Note		3		06/30/21		662,180		(84)		(84)
						3,253,547		(31,439)		(31,439)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten Year Ultra Bond		10		06/21/21		(1,436,875)		50,526		50,526
U.S. Treasury Ultra Bond		2		06/21/21		(362,438)		18,289		18,289
						(1,799,313)		68,815		68,815
TOTAL FUTURES CONTRACTS					$	1,454,234	$	37,376	$	37,376

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 114

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BONDS – 94.68%
ASSET-BACKED SECURITIES — 13.42%**
Access Group, Inc.,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
0.81%		07/25/56	1,2	$	1,458,905	$	1,456,985
AMMC CLO 19 Ltd.,
Series 2016-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.38%		10/16/28	1,2,3		2,200,000		2,200,066
Arbor Realty Commercial Real Estate Notes Ltd.,
Series 2019-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.15%)
1.26%		05/15/37	1,2,3		9,800,000		9,828,110
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A5
(LIBOR USD 1-Month plus 0.27%)
0.38%		03/25/36	2		3,635,000		3,578,336
Barings CLO Ltd.,
Series 2016-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.30%		07/20/28	1,2,3		5,227,728		5,227,466
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.17%		07/20/29	1,2,3		3,877,000		3,875,155
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
0.56%		04/25/35	1,2		160,097		154,366
BlueMountain CLO Ltd.,
Series 2012-2A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.05%)
1.23%		11/20/28	1,2,3		5,233,912		5,237,314
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
0.99%		02/25/30	2		74,025		74,313
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.22%		10/27/36	2		5,075,000		5,106,374
BSPRT Issuer Ltd.,
Series 2018-FL4, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.05%)
1.16%		09/15/35	1,2,3		6,709,685		6,722,651
Canyon Capital CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(-1.00 X LIBOR USD 3-Month plus 0.80%, 0.80% Cap)
0.00%		04/15/34	1,2,3		1,800,000		1,800,900

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Cedar Funding II CLO Ltd.,
Series 2013-1A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.23%)
1.42%		06/09/30	1,2,3	$	5,600,000	$	5,603,651
Chase Funding Trust,
Series 2002-2, Class 2A1
(LIBOR USD 1-Month plus 0.50%)
0.61%		05/25/32	2		2,411,886		2,386,745
Countrywide Asset-Backed Certificates Trust,
Series 2006-14, Class 2A3
(LIBOR USD 1-Month plus 0.24%)
0.35%		02/25/37	2		3,981,350		3,863,246
Countrywide Asset-Backed Certificates Trust,
Series 2007-8, Class 1A1
(LIBOR USD 1-Month plus 0.19%)
0.30%		11/25/37	2		11,561,653		11,052,302
Dryden 33 Senior Loan Fund,
Series 2014-33A, Class AR3
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
1.24%		04/15/29	1,2,3		6,450,781		6,454,290
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
0.91%		04/26/32	1,2		7,977,846		8,004,052
Encore Credit Receivables Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.90%)
1.01%		10/25/35	2		7,017,000		7,008,833
FFMLT Trust,
Series 2005-FF8, Class M2
(LIBOR USD 1-Month plus 0.78%)
0.89%		09/25/35	2		3,694,470		3,706,238
Galaxy XXIX CLO Ltd.,
Series 2018-29A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.79%)
0.98%		11/15/26	1,2,3		5,677,942		5,680,991
GCO Education Loan Funding Trust II,
Series 2006-2AR, Class A1RN
(LIBOR USD 1-Month plus 0.65%)
0.76%		08/27/46	1,2		6,930,177		6,898,759
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
0.64%		08/25/42	2		2,013,046		1,891,047
Grand Avenue CRE,
Series 2019-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.12%)
1.23%		06/15/37	1,2,3		7,819,260		7,823,743
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
1.24%		05/25/34	1,2		744,426		748,643

See accompanying Notes to Financial Statements.

115 / Annual Report March 2021

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

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	1	$	3,391,539	$	3,735,701
JPMorgan Mortgage Acquisition Trust,
Series 2005-FRE1, Class M1
(LIBOR USD 1-Month plus 0.62%)
0.72%		10/25/35	2		8,966,755		8,942,731
KREF Ltd.,
Series 2018-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.10%)
1.21%		06/15/36	1,2,3		4,325,945		4,334,372
LCM XXIV Ltd.,
Series 24A, Class AR
(Cayman Islands)
(-1.00 X LIBOR USD 3-Month plus 0.98%, 0.98% Cap)
0.00%		03/20/30	1,2,3		4,500,000		4,502,295
LoanCore Issuer Ltd.,
Series 2018-CRE1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.13%)
1.24%		05/15/28	1,2,3		4,127,834		4,128,190
Madison Park Funding XIX Ltd.,
Series 2015-19A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 0.92%)
1.14%		01/22/28	1,2,3		6,500,000		6,498,882
Madison Park Funding XVII Ltd.,
Series 2015-17A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
1.17%		07/21/30	1,2,3		9,550,000		9,554,756
Magnetite VII Ltd.,
Series 2012-7A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.04%		01/15/28	1,2,3		5,590,000		5,577,926
Marathon CRE Ltd.,
Series 2018-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.15%)
1.26%		06/15/28	1,2,3		4,435,899		4,441,280
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2005-HE2, Class M1
(LIBOR USD 1-Month plus 0.60%)
0.71%		01/25/35	2		1,977,195		1,975,085
Navient Student Loan Trust,
Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
0.68%		11/26/40	2		4,572,121		4,555,785
Navient Student Loan Trust,
Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
1.16%		12/27/66	1,2		2,598,521		2,634,081

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust,
Series 2013-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
0.71%		06/25/41	1,2	$	2,186,800	$	2,169,990
Nelnet Student Loan Trust,
Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
0.66%		07/25/46	1,2		7,015,101		7,001,302
Octagon Investment Partners XIV Ltd.,
Series 2012-1A, Class AARR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.06%		07/15/29	1,2,3		6,000,000		6,002,862
Palmer Square CLO Ltd.,
Series 2018-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.03%)
1.25%		04/18/31	1,2,3		2,250,000		2,250,405
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
1.22%		04/20/28	1,2,3		4,231,112		4,233,477
Palmer Square Loan Funding Ltd.,
Series 2021-2A, Class A1
(Cayman Islands)
(-1.00 X LIBOR USD 3-Month plus 0.80%, 0.80% Cap)
0.00%		05/20/29	1,2,3		1,750,000		1,751,057
PHEAA Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.15%)
1.26%		09/25/65	1,2		7,033,154		7,091,563
Progress Residential Trust,
Series 2018-SFR2, Class A
3.71%		08/17/35	1		5,000,000		5,036,728
Progress Residential Trust,
Series 2018-SFR3, Class A
3.88%		10/17/35	1		8,759,978		8,866,424
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.19%		04/20/34	1,2,3		5,100,000		5,090,315
Residential Asset Mortgage Products Trust,
Series 2005-EFC1, Class M5
(LIBOR USD 1-Month plus 0.65%)
1.08%		05/25/35	2		6,206,000		6,217,737
Residential Asset Mortgage Products Trust,
Series 2006-NC2, Class A3
(LIBOR USD 1-Month plus 0.58%)
0.69%		02/25/36	2		2,490,385		2,480,308
Residential Asset Securities Corp.,
Series 2005-KS11, Class M2
(LIBOR USD 1-Month plus 0.63%)
0.74%		12/25/35	2		8,415,317		8,395,660

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 116

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/37	4,5	$	6,769,305	$	6,666,708
SLC Student Loan Trust, Series 2007-1, Class A4 (LIBOR USD 3-Month plus 0.06%)
0.25%		05/15/29	2		3,219,606		3,197,396
SLM Student Loan Trust, Series 2003-10A, Class A3 (LIBOR USD 3-Month plus 0.47%)
0.65%		12/15/27	1,2		3,144,788		3,146,102
SLM Student Loan Trust, Series 2003-11, Class A6 (LIBOR USD 3-Month plus 0.55%)
0.73%		12/15/25	1,2		2,145,421		2,145,860
SLM Student Loan Trust, Series 2007-6, Class A4 (LIBOR USD 3-Month plus 0.38%)
0.60%		10/25/24	2		914,898		914,865
SLM Student Loan Trust, Series 2008-1, Class A4 (LIBOR USD 3-Month plus 0.65%)
0.87%		01/25/22	2		4,749,148		4,662,563
SLM Student Loan Trust, Series 2008-4, Class A4 (LIBOR USD 3-Month plus 1.65%)
1.87%		07/25/22	2		3,953,635		4,020,151
SLM Student Loan Trust, Series 2008-6, Class A4 (LIBOR USD 3-Month plus 1.10%)
1.32%		07/25/23	2		2,701,348		2,696,058
SLM Student Loan Trust, Series 2012-2, Class A (LIBOR USD 1-Month plus 0.70%)
0.81%		01/25/29	2		2,293,550		2,227,382
SLM Student Loan Trust, Series 2012-7, Class A3 (LIBOR USD 1-Month plus 0.65%)
0.76%		05/26/26	2		8,984,313		8,821,394
SLM Student Loan Trust, Series 2013-4, Class A (LIBOR USD 1-Month plus 0.55%)
0.66%		06/25/43	2		2,702,147		2,699,906
SLM Student Loan Trust, Series 2014-1, Class A3 (LIBOR USD 1-Month plus 0.60%)
0.71%		02/26/29	2		4,364,495		4,249,911
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 (LIBOR USD 1-Month plus 0.98%)
1.08%		12/25/35	2		2,851,736		2,841,425
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC6, Class A4 (LIBOR USD 1-Month plus 0.17%)
0.28%		01/25/37	2		3,623,163		3,605,656

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2 (28 Day Auction Rate plus 0.00%)
1.61%		07/01/42	1,2	$	2,900,000	$	2,675,064
TPG Real Estate Finance Issuer Ltd., Series 2018-FL2, Class A (Cayman Islands) (LIBOR USD 1-Month plus 1.13%)
1.24%		11/15/37	1,2,3		17,130,903		17,165,637
TRTX Issuer Ltd., Series 2019-FL3, Class A (Cayman Islands) (LIBOR USD 1-Month plus 1.15%)
1.26%		10/15/34	1,2,3		11,495,000		11,539,136
Voya CLO, Series 2017-2A, Class A1R (Cayman Islands) (-1.00 X LIBOR USD 3-Month plus 0.98%, 0.98% Cap)
0.00%		06/07/30	1,2,3		5,850,000		5,852,925
Total Asset-Backed Securities
(Cost $331,431,781)							332,981,627
BANK LOANS — 1.69%*
Automotive — 0.02%
Clarios Global LP, Term Loan B, 1st Lien (LIBOR plus 3.25%)
3.36%		04/30/26	2		580,331		575,253
Communications — 0.66%
CenturyLink, Inc., Term Loan A, 1st Lien (LIBOR plus 2.00%)
2.11%		01/31/25	2		562,500		559,688
Term Loan B, 1st Lien (LIBOR plus 2.25%)
2.36%		03/15/27	2		888,750		880,818
Charter Communications Operating LLC, Term Loan B2, 1st Lien (LIBOR plus 1.75%)
1.87%		02/01/27	2		246,867		245,988
CSC Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%)
2.36%		07/17/25	2		448,834		443,697
2.36%		01/15/26	2		1,176,000		1,161,671
Term Loan B5, 1st Lien (LIBOR plus 2.50%)
2.61%		04/15/27	2		249,370		246,855
Frontier Communications Corp., Term Loan B, 1st Lien (LIBOR plus 4.75%)
5.75%		10/08/21	2		2,250,000		2,247,188
Intelsat Jackson Holdings, Delayed-Draw Term Loan, 1st Lien (Luxembourg) (LIBOR plus 5.50%)
6.50%		07/13/22	2,3		1,021,942		1,036,760

See accompanying Notes to Financial Statements.

117 / Annual Report March 2021

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Intelsat Jackson Holdings SA,
Term Loan B4, 1st Lien (Luxembourg)
(PRIME plus 3.50%)
8.75%		01/02/24	2,3	$	488,919	$	500,225
Term Loan B5, 1st Lien (Luxembourg)
8.63%		01/02/24	2,3		4,252,054		4,350,043
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		03/01/27	2		3,950,000		3,903,923
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.11%		03/09/27	2		712,632		707,839
							16,284,695
Electric — 0.01%
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/31/25	2		246,576		245,167
							245,167
Finance — 0.15%
Delos Finance SARL,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.95%		10/06/23	2		3,700,655		3,697,343
Food — 0.03%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%		08/03/25	2		641,855		639,537
Gaming — 0.08%
Caesars Resort Collection LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
2.86%		12/23/24	2		1,944,974		1,919,174
Health Care — 0.48%
Avantor Funding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.25%		11/08/27	2		1,596,000		1,598,594
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		03/01/24	2		917,285		917,335
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.87%		08/01/27	2		2,427,248		2,399,067
Gentiva Health Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.88%		07/02/25	2		1,509,366		1,503,080

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.08%		11/15/27	2	$	246,875	$	244,421
HCA, Inc.,
Term Loan B12, 1st Lien
(LIBOR plus 1.75%)
1.86%		03/13/25	2		4,726,010		4,729,389
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.11%		06/02/25	2		577,941		576,791
							11,968,677
Industrials — 0.15%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
1.90%		07/01/26	2		3,250,316		3,228,978
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.36%		05/30/25	2		395,000		387,517
							3,616,495
Information Technology — 0.06%
IQVIA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
1.86%		03/07/24	2		450,337		448,986
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.95%		06/11/25	2		733,077		730,328
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/25	2		223,852		221,908
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/25	2		167,140		165,689
							1,566,911
Real Estate Investment Trust (REIT) — 0.01%
VICI Properties 1 LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/20/24	2		250,000		247,527
Services — 0.03%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%		05/30/25	2		865,446		867,069

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 118

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Transportation — 0.01%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		01/29/27	2	$	247,500	$	226,547
Total Bank Loans
(Cost $41,094,647)							41,854,395
CORPORATES — 26.67%*
Banking — 3.65%
Bank of America Corp.
2.88%		04/24/23	6		3,000,000		3,072,254
3.00%		12/20/23	6		2,801,000		2,914,141
Bank of America Corp.
(MTN)
1.49%		05/19/24	6		17,920,000		18,236,670
Bank of America N.A.
3.34%		01/25/23	6		1,015,000		1,040,001
Credit Suisse Group AG
(Switzerland)
2.59%		09/11/25	1,3,6		4,645,000		4,822,145
3.80%		06/09/23	3		1,170,000		1,242,044
HSBC Holdings PLC
(United Kingdom)
3.95%		05/18/24	3,6		10,065,000		10,745,259
(LIBOR USD 3-Month plus 1.00%)
1.19%		05/18/24	2,3		2,880,000		2,912,089
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	3,6		7,750,000		7,915,232
3.87%		07/09/25	3,6		3,700,000		4,029,675
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	1,3,6		3,425,000		3,362,992
Santander UK Group Holdings PLC
(United Kingdom)
3.37%		01/05/24	3,6		1,000,000		1,045,639
4.80%		11/15/24	3,6		13,000,000		14,314,046
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	6		4,045,000		4,175,164
2.39%		06/02/28	6		2,000,000		2,050,959
3.75%		01/24/24			7,935,000		8,584,159
							90,462,469
Communications — 2.56%
AT&T, Inc.
2.30%		06/01/27			1,600,000		1,633,533
2.55%		12/01/33	1		1,599,000		1,518,938
4.30%		02/15/30			4,400,000		4,959,734
(LIBOR USD 3-Month plus 1.18%)
1.36%		06/12/24	2		475,000		485,355
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.50%		02/01/24			1,720,000		1,882,213
4.91%		07/23/25			2,200,000		2,498,276

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Cox Communications, Inc.
3.15%		08/15/24	1	$	3,480,000	$	3,717,773
7.63%		06/15/25			900,000		1,101,356
Qwest Corp.
7.25%		09/15/25			2,400,000		2,817,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%		09/20/21	1		3,554,375		3,589,919
4.74%		03/20/25	1		9,068,000		9,737,445
5.15%		03/20/28	1		3,675,000		4,198,687
T-Mobile USA, Inc.
1.50%		02/15/26	1		1,825,000		1,809,295
2.25%		02/15/26			3,091,000		3,099,752
3.50%		04/15/25	1		645,000		698,296
3.88%		04/15/30	1		3,810,000		4,139,984
Verizon Communications, Inc.
1.45%		03/20/26			12,325,000		12,336,104
Vodafone Group PLC
(United Kingdom)
4.13%		05/30/25	3		3,000,000		3,344,238
							63,567,898
Consumer Discretionary — 0.71%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	1,3		4,000,000		4,450,699
BAT Capital Corp.
3.22%		08/15/24			2,140,000		2,282,701
3.56%		08/15/27			4,000,000		4,259,517
Imperial Brands Finance PLC
(United Kingdom)
3.75%		07/21/22	1,3		830,000		858,016
4.25%		07/21/25	1,3		5,205,000		5,729,745
							17,580,678
Electric — 2.16%
Alliant Energy Finance LLC
1.40%		03/15/26	1		6,540,000		6,423,088
American Electric Power Co., Inc.,
Series I
3.65%		12/01/21			5,000,000		5,108,158
Black Hills Corp.
4.25%		11/30/23			4,050,000		4,395,952
Dominion Energy, Inc.
2.45%		01/15/23	1		5,000,000		5,173,344
Dominion Energy, Inc.,
Series A
3.30%		03/15/25			4,600,000		4,941,845
Duquesne Light Holdings, Inc.
5.90%		12/01/21	1		5,000,000		5,163,991
Evergy Metro, Inc.
3.65%		08/15/25			1,613,000		1,766,319
Jersey Central Power & Light Co.
4.70%		04/01/24	1		5,000,000		5,442,017

See accompanying Notes to Financial Statements.

119 / Annual Report March 2021

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.48%)
0.67%		05/04/21	2	$	10,650,000	$	10,653,072
(LIBOR USD 3-Month plus 0.55%)
0.74%		08/28/21	2		3,412,000		3,413,051
Pennsylvania Electric Co.
4.15%		04/15/25	1		500,000		534,162
Tucson Electric Power Co.
3.85%		03/15/23			530,000		560,149
							53,575,148
Energy — 1.60%
Energy Transfer Operating LP
4.05%		03/15/25			2,610,000		2,818,324
4.75%		01/15/26			2,000,000		2,218,406
4.90%		02/01/24			4,292,000		4,683,131
NGPL Pipe Co. LLC
4.38%		08/15/22	1		5,249,000		5,449,963
Petroleos Mexicanos
(Mexico)
5.35%		02/12/28	3		6,470,000		6,302,427
6.50%		01/23/29	3		955,000		966,398
Plains All American Pipeline LP/PAA Finance Corp.
4.50%		12/15/26			5,422,000		5,961,381
Ruby Pipeline LLC
8.00%		04/01/22	1,4,5		2,461,705		2,061,924
Sabine Pass Liquefaction LLC
5.75%		05/15/24			3,715,000		4,200,759
Southern Co. Gas Capital Corp.
3.88%		11/15/25			1,950,000		2,157,143
Sunoco Logistics Partners Operations LP
5.95%		12/01/25			2,520,000		2,936,713
							39,756,569
Finance — 6.33%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.95%		02/01/22	3		1,935,000		1,980,231
4.88%		01/16/24	3		718,000		782,060
Air Lease Corp.
3.50%		01/15/22			4,170,000		4,264,685
Air Lease Corp.
(MTN)
0.70%		02/15/24			1,250,000		1,235,161
Avolon Holdings Funding Ltd.
(Cayman Islands)
3.63%		05/01/22	1,3		2,860,000		2,917,057
Citigroup, Inc.
3.35%		04/24/25	6		8,620,000		9,229,244
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
1.09%		02/15/22	1,2		8,195,000		8,250,967
Discover Financial Services
5.20%		04/27/22			2,558,000		2,682,403
Ford Motor Credit Co. LLC
3.22%		01/09/22			2,793,000		2,830,566

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
5.60%		01/07/22		$	2,587,000	$	2,664,170
(LIBOR USD 3-Month plus 0.81%)
1.05%		04/05/21	2		1,205,000		1,205,000
(LIBOR USD 3-Month plus 0.88%)
1.10%		10/12/21	2		2,500,000		2,488,187
(LIBOR USD 3-Month plus 1.08%)
1.28%		08/03/22	2		2,700,000		2,673,000
GE Capital Funding LLC
4.40%		05/15/30	1		5,810,000		6,582,699
General Motors Financial Co., Inc.
4.20%		11/06/21			7,405,000		7,566,728
4.38%		09/25/21			4,000,000		4,074,445
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	6		726,000		735,670
2.91%		07/24/23	6		6,814,000		7,016,580
Goldman Sachs Group, Inc. (The),
Series FXD
0.48%		01/27/23			27,490,000		27,461,960
Intercontinental Exchange, Inc.
(LIBOR USD 3-Month plus 0.65%)
0.83%		06/15/23	2		9,150,000		9,166,567
JPMorgan Chase & Co.
0.70%		03/16/24	6		12,295,000		12,345,601
Morgan Stanley
(GMTN)
5.50%		07/28/21			5,260,000		5,347,093
Morgan Stanley
(MTN)
0.53%		01/25/24	6		17,835,000		17,808,118
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	1,3,6		8,205,000		8,465,900
3.77%		03/08/24	1,3,6		2,810,000		2,969,922
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	1,3		365,000		381,369
5.25%		08/15/22	1,3		3,605,000		3,785,775
							156,911,158
Food — 0.71%
Kraft Heinz Foods Co.
3.50%		06/06/22			1,445,000		1,492,959
4.00%		06/15/23			11,326,000		12,121,539
Smithfield Foods, Inc.
3.35%		02/01/22	1		3,946,000		3,996,716
							17,611,214
Health Care — 3.83%
AbbVie, Inc.
3.25%		10/01/22			1,500,000		1,551,862
3.45%		03/15/22			3,000,000		3,069,609
3.80%		03/15/25			4,615,000		5,044,509
3.85%		06/15/24			2,500,000		2,723,494
Aetna, Inc.
3.50%		11/15/24			3,136,000		3,389,046

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 120

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Amgen, Inc.
2.65%		05/11/22		$	671,000	$	686,721
Anthem, Inc.
3.70%		08/15/21			1,478,000		1,483,462
Bausch Health Cos., Inc.
(Canada)
7.00%		03/15/24	1,3		4,500,000		4,608,000
Bayer U.S. Finance II LLC
2.20%		07/15/22	1		1,455,000		1,478,050
2.75%		07/15/21	1		635,000		638,633
2.85%		04/15/25	1		2,300,000		2,381,594
3.50%		06/25/21	1		1,825,000		1,833,012
3.88%		12/15/23	1		5,540,000		5,975,664
4.25%		12/15/25	1		1,000,000		1,113,790
Boston Scientific Corp.
1.90%		06/01/25			2,500,000		2,568,061
Cigna Corp.
3.75%		07/15/23			2,166,000		2,316,015
CommonSpirit Health
2.76%		10/01/24			5,400,000		5,732,905
CVS Health Corp.
2.88%		06/01/26			4,330,000		4,602,745
Dignity Health
3.13%		11/01/22			1,140,000		1,180,486
Elanco Animal Health, Inc.
4.91%		08/27/21			2,500,000		2,526,562
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	1		4,650,000		4,839,544
Fresenius U.S. Finance II, Inc.
4.50%		01/15/23	1		5,205,000		5,458,630
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.71%		09/29/23	2		6,500,000		6,508,415
HCA, Inc.
5.00%		03/15/24			6,065,000		6,758,988
5.25%		04/15/25			1,500,000		1,714,122
Humana, Inc.
3.15%		12/01/22			2,000,000		2,074,793
3.85%		10/01/24			3,990,000		4,361,333
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/23	1,3		5,275,000		5,270,112
Tenet Healthcare Corp.
4.63%		09/01/24	1		3,000,000		3,092,690
							94,982,847
Industrials — 1.27%
Amcor Flexibles North America, Inc.
4.50%		10/15/21			6,947,000		7,023,887
Berry Global, Inc.
0.95%		02/15/24	1		1,405,000		1,399,210
1.57%		01/15/26	1		2,000,000		1,970,683
Boeing Co. (The)
1.17%		02/04/23			5,750,000		5,775,978

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.58%		05/05/26	2	$	7,674,000	$	7,476,902
(LIBOR USD 3-Month plus 0.48%)
0.67%		08/15/36	2		2,182,000		1,768,008
General Electric Co.,
Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
1.24%		04/15/23	2		4,936,000		4,978,395
Ingersoll-Rand Co.
9.00%		08/15/21			1,100,000		1,129,321
							31,522,384
Information Technology — 0.71%
NXP BV/NXP Funding LLC
(Netherlands)
4.63%		06/01/23	1,3		6,745,000		7,306,698
Oracle Corp.
1.65%		03/25/26			10,085,000		10,159,511
							17,466,209
Insurance — 0.36%
Metropolitan Life Global Funding I
3.38%		01/11/22	1		1,550,000		1,587,568
Nationwide Mutual Insurance Co.
2.47%		12/15/24	1,6		5,550,000		5,546,955
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	1,6		1,600,000		1,701,476
							8,835,999
Materials — 0.06%
Nutrition & Biosciences, Inc.
0.70%		09/15/22	1		1,490,000		1,493,182
Real Estate Investment Trust (REIT) — 1.67%
American Campus Communities Operating Partnership LP
3.75%		04/15/23			7,374,000		7,799,938
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			6,440,000		6,816,064
Federal Realty Investment Trust
7.48%		08/15/26			1,850,000		2,326,884
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			1,197,000		1,270,555
5.38%		11/01/23			7,673,000		8,399,517
Highwoods Realty LP
3.20%		06/15/21			943,000		947,638
Kilroy Realty LP
3.45%		12/15/24			1,558,000		1,668,134
Kimco Realty Corp.
3.40%		11/01/22			4,000,000		4,168,083
SL Green Operating Partnership LP
3.25%		10/15/22			645,000		668,744
(LIBOR USD 3-Month plus 0.98%)
1.17%		08/16/21	2		7,450,000		7,450,244
							41,515,801

See accompanying Notes to Financial Statements.

121 / Annual Report March 2021

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail — 0.33%
7-Eleven, Inc.
(LIBOR USD 3-Month plus 0.45%)
0.65%		08/10/22	1,2	$	5,860,000	$	5,866,317
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/27	1,3		2,175,000		2,365,883
							8,232,200
Services — 0.51%
IHS Markit Ltd.
(Bermuda)
3.63%		05/01/24	3		2,090,000		2,245,475
5.00%		11/01/22	1,3		9,936,000		10,481,701
							12,727,176
Transportation — 0.21%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%		04/02/21			22,201		22,422
Aviation Capital Group LLC
(LIBOR USD 3-Month plus 0.95%)
1.14%		06/01/21	1,2		2,135,000		2,135,165
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%		04/02/21			180,747		180,747
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			1,523,062		1,527,441
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			1,257,038		1,297,009
							5,162,784
Total Corporates
(Cost $650,794,035)							661,403,716
MORTGAGE-BACKED — 37.96%**
Non-Agency Commercial Mortgage-Backed — 6.45%
BX Commercial Mortgage Trust,
Series 2018-IND, Class A
(LIBOR USD 1-Month plus 0.75%)
0.86%		11/15/35	1,2		1,319,930		1,321,546
BX Commercial Mortgage Trust,
Series 2020-BXLP, Class A
(LIBOR USD 1-Month plus 0.80%)
0.91%		12/15/36	1,2		5,418,018		5,426,943
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%		05/10/58			3,393,000		3,582,034
CHT Mortgage Trust,
Series 2017-CSMO, Class A
(LIBOR USD 1-Month plus 0.93%)
1.04%		11/15/36	1,2		7,977,280		7,989,645
Citigroup Commercial Mortgage Trust,
Series 2017-C4, Class A2
3.19%		10/12/50			8,109,483		8,351,501

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2020-WSS, Class A
(LIBOR USD 1-Month plus 1.95%)
2.06%		02/15/39	1,2	$	12,989,276	$	13,181,020
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.21%		03/10/46	6		25,398,792		487,723
Commercial Mortgage Trust,
Series 2013-LC6, Class ASB
2.48%		01/10/46			4,335,082		4,404,997
Commercial Mortgage Trust,
Series 2014-CR15, Class ASB
3.60%		02/10/47			3,794,024		3,944,023
Commercial Mortgage Trust,
Series 2016-DC2, Class ASB
3.55%		02/10/49			246,728		262,283
DBRR Trust,
Series 2011-LC2, Class A4A
4.54%		07/12/44	1,6		273,612		273,570
DBUBS Mortgage Trust,
Series 2011-LC2A, Class A4
4.54%		07/10/44	1		2,306,071		2,311,109
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class A
3.55%		09/10/35	1,6		3,600,000		3,887,801
GS Mortgage Securities Corp. II,
Series 2018-GS10, Class A1
3.20%		07/10/51			4,345,919		4,441,844
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%		05/15/48	1		6,667,430		6,772,635
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C18, Class A4A2
3.79%		02/15/47	1		9,338,956		9,931,667
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class A4A2
3.41%		11/15/47	1		10,909,544		11,633,252
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2011-C5, Class A3
4.17%		08/15/46			1,003,406		1,010,353
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class ASB
3.14%		05/15/45			5,543,361		5,622,156
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C8, Class ASB
2.38%		10/15/45			2,067,288		2,094,781
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.25%		04/15/46	6		30,256,838		619,758
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2014-C20, Class A4A2
3.54%		07/15/47	1		5,000,000		5,199,288
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2018-LAQ, Class A
(LIBOR USD 1-Month plus 1.00%)
1.11%		06/15/32	1,2		10,287,634		10,303,057

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 122

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XA (IO)
0.59%		10/15/46	6	$	47,624,046	$	561,582
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.88%		03/15/48	6		35,611,504		1,020,823
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A4
4.12%		07/15/49			2,602,827		2,603,910
One Lincoln Street Commercial Mortgage,
Series 2004-C3, Class A1
5.72%		10/15/30	1,6		7,030,664		7,701,614
UBS Commercial Mortgage Trust,
Series 2018-C11, Class A1
3.21%		06/15/51			412,812		416,022
UBS Commercial Mortgage Trust,
Series 2019-C16, Class A1
2.74%		04/15/52			7,388,153		7,581,295
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50			15,239,421		15,920,453
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class A2
2.50%		11/15/59			2,262,232		2,281,897
Wells Fargo Commercial Mortgage Trust,
Series 2016-LC24, Class A2
2.50%		10/15/49			2,064,459		2,075,372
Wells Fargo Re-REMIC Trust,
Series 2011-RR1, Class 1B
4.77%		09/17/47	1,6		119,553		120,355
WF-RBS Commercial Mortgage Trust,
Series 2013-C18, Class A4
3.90%		12/15/46			6,240,057		6,616,784
							159,953,093
Non-Agency Mortgage-Backed — 6.68%
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.33%		02/25/37	2		7,118,769		7,045,062
Aegis Asset-Backed Securities Trust,
Series 2005-5, Class 2A
(LIBOR USD 1-Month plus 0.50%)
0.61%		12/25/35	2		1,265,717		1,266,900
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R1, Class M3
(LIBOR USD 1-Month plus 0.80%)
0.90%		03/25/35	2		5,964,887		5,959,278
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 05/25/21)
7.40%		10/25/27			5,186		5,288

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W2, Class M1
(LIBOR USD 1-Month plus 0.74%)
0.84%		10/25/35	2	$	9,183,202	$	9,180,809
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%		10/25/33			5,664,857		5,820,125
Banc of America Funding Trust,
Series 2015-R4, Class 3A1
(LIBOR USD 1-Month plus 0.14%)
0.25%		07/27/36	1,2		1,551,809		1,547,851
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%		03/25/40	1,6		2,954,486		2,981,578
BCAP LLC Trust,
Series 2008-IND2, Class A1
(LIBOR USD 1-Month plus 1.65%)
1.76%		04/25/38	2		399,928		401,264
BCAP LLC Trust,
Series 2013-RR5, Class 2A1
2.81%		03/26/37	1,6		840,608		846,047
Bear Stearns ALT-A Trust,
Series 2005-2, Class 1M1
(LIBOR USD 1-Month plus 0.75%)
0.86%		03/25/35	2		4,192,706		4,207,779
Bear Stearns ARM Trust,
Series 2004-3, Class 4A
3.27%		07/25/34	6		491,818		499,800
BNC Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.16%)
0.27%		03/25/37	2		5,873,912		5,616,559
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
2.70%		02/25/37	6		4,253,771		4,405,237
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
2.75%		06/25/35	6		895,934		913,430
Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates,
Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
0.29%		05/25/36	1,2		560,291		531,417
CIM Trust,
Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
1.19%		09/25/58	1,2		7,036,819		6,972,430
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.06%		02/25/34	6		27,724		27,733
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH4, Class A2C
(LIBOR USD 1-Month plus 1.30%)
1.41%		07/25/37	2		70,020		69,913

See accompanying Notes to Financial Statements.

123 / Annual Report March 2021

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
2.66%		08/25/34	6	$	10,082	$	9,832
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2004-AR1, Class 5A1
2.47%		02/25/34	6		968,080		1,025,881
Credit-Based Asset Servicing and Securitization LLC,
Series 2005-CB4, Class M2
(LIBOR USD 1-Month plus 0.68%)
0.78%		07/25/35	2		1,121,294		1,129,098
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(LIBOR USD 1-Month plus 0.09%)
0.20%		04/25/37	2		3,268,960		3,163,737
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
0.17%		04/25/37	2		2,397,599		1,746,856
DSLA Mortgage Loan Trust,
Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.42%)
0.53%		03/19/45	2		532,304		514,387
First Franklin Mortgage Loan Trust,
Series 2004-FF5, Class A3C
(LIBOR USD 1-Month plus 1.00%)
1.11%		08/25/34	2		597,454		606,236
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 2A5 (PO)
0.00%		04/25/36	7		7,285,429		7,210,084
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.29%		09/25/34	6		2,872		2,856
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
0.61%		06/25/30	2		89,037		69,785
GSAMP Trust,
Series 2006-NC1, Class A3
(LIBOR USD 1-Month plus 0.58%)
0.69%		02/25/36	2		3,694,885		3,649,760
GSR Mortgage Loan Trust,
Series 2005-AR7, Class 2A1
3.21%		11/25/35	6		231,861		234,199
Impac CMB Trust,
Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.32%)
0.75%		08/25/35	2		1,694,183		1,641,625
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
0.89%		12/25/34	2		215,235		184,627
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
0.91%		11/25/34	2		634,576		612,534

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%		09/25/28		$	347,999	$	360,843
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AV5
(LIBOR USD 1-Month plus 0.26%)
0.37%		01/25/37	2		4,157,398		4,154,053
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.39%		03/25/47	2		50,000		44,872
JPMorgan Mortgage Trust,
Series 2007-A1, Class 1A1
3.27%		07/25/35	6		703,755		711,438
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
2.58%		07/25/35	6		146,383		149,989
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class AIOC (IO)
0.55%		04/15/40	4,5,6		80,153,513		1,343,373
Long Beach Mortgage Loan Trust,
Series 2005-WL3, Class M1
(LIBOR USD 1-Month plus 0.65%)
0.75%		11/25/35	2		4,396,492		4,368,095
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.14%		01/25/34	6		6,698		7,252
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
3.18%		11/21/34	6		539,556		545,535
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
3.14%		04/25/34	6		68,262		70,580
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
4.12%		06/25/34	6		30,236		30,831
MASTR Alternative Loan Trust,
Series 2003-1, Class 1A1
6.25%		12/25/32			1,513,443		1,579,539
MASTR Alternative Loan Trust,
Series 2003-5, Class 4A1
5.50%		07/25/33			2,599,525		2,752,869
MASTR Alternative Loan Trust,
Series 2003-9, Class 4A1
5.25%		11/25/33			2,990,543		3,069,376
MASTR Alternative Loan Trust,
Series 2004-7, Class 1A1
5.50%		07/25/34			2,778,180		2,941,303
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.69%		10/25/32	6		104,443		108,799
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.29%		06/25/37	2		9,442,065		6,999,550

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 124

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
3.19%		08/25/34	6	$	723,879	$	734,925
Merrill Lynch Mortgage Investors Trust,
Series 2006-F1, Class 1A2
6.00%		04/25/36			1,033,834		735,443
Mid-State Capital Corp. Trust,
Series 2004-1, Class B
8.90%		08/15/37			619,743		699,047
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%		10/15/40	1		3,883,076		4,131,950
Mid-State Trust,
Series 10W, Class A2
5.82%		02/15/36			458,577		491,210
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
1.04%		07/25/34	2		964,045		954,311
Morgan Stanley Mortgage Loan Trust,
Series 2004-6AR, Class 1A
(LIBOR USD 1-Month plus 0.90%)
1.01%		07/25/34	2		31,283		31,356
MortgageIT Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.60%)
0.71%		08/25/35	2		197,729		199,995
MortgageIT Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.67%		10/25/35	2		5,185,004		5,137,196
Nationstar Home Equity Loan Trust,
Series 2007-B, Class 1AV1
(LIBOR USD 1-Month plus 0.22%)
0.33%		04/25/37	2		10,165,437		10,081,686
New Century Home Equity Loan Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.64%)
1.07%		07/25/35	2		4,958,500		4,962,802
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
0.33%		02/25/36	2		5,977,409		5,932,357
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.44%)
0.55%		01/25/36	2		2,037,072		1,950,049
Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2004-WCW2, Class M2
(LIBOR USD 1-Month plus 0.98%)
1.08%		10/25/34	2		1,479,839		1,509,681
PHH Alternative Mortgage Trust,
Series 2007-3, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.41%		07/25/37	2		9,733,699		9,433,525

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.41%		03/25/35	6	$	1,348,709	$	765,900
Residential Asset Mortgage Products Trust,
Series 2004-SL4, Class A3
6.50%		07/25/32			57,315		57,568
Residential Asset Mortgage Products Trust,
Series 2005-SL1, Class A5
6.50%		05/25/32			240,224		227,415
Saxon Asset Securities Trust,
Series 2005-3, Class M2
(LIBOR USD 1-Month plus 0.72%)
0.83%		11/25/35	2		2,263,632		2,260,974
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/21)
3.07%		01/25/36			1,681,913		1,375,625
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates,
Series 2003-26A, Class 3A5
2.40%		09/25/33	6		297,303		305,495
Terwin Mortgage Trust,
Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 1.10%)
1.21%		07/25/34	1,2		90,085		88,978
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
2.85%		01/25/35	6		437,847		442,732
WaMu Mortgage Pass-Through Certificates,
Series 2004-CB2, Class 2A
5.50%		07/25/34			1,940,503		1,997,191
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.58%)
0.69%		10/25/45	2		1,523,120		1,523,292
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
0.77%		01/25/45	2		245,077		244,432
							165,613,429
U.S. Agency Commercial Mortgage-Backed — 8.07%
Commercial Mortgage Trust,
Series 2013-CR6, Class A4
3.10%		03/10/46			10,800,000		11,125,742
Commercial Mortgage Trust,
Series 2014-CR20, Class A3
3.33%		11/10/47			4,076,364		4,330,121
Commercial Mortgage Trust,
Series 2014-UBS5, Class A3
3.57%		09/10/47			10,400,000		11,234,192
Fannie Mae-Aces,
Series 2017-M14, Class A1
2.87%		11/25/27	6		1,358,714		1,376,117
Fannie Mae-Aces,
Series 2017-M15, Class A1
2.96%		09/25/27	6		5,551,343		5,965,834

See accompanying Notes to Financial Statements.

125 / Annual Report March 2021

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K037, Class A1
2.59%		04/25/23		$	2,253,178	$	2,306,942
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K038, Class A1
2.60%		10/25/23			1,439,748		1,468,341
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K735, Class A1
2.74%		05/25/25			1,110,816		1,130,131
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF27, Class A
(LIBOR USD 1-Month plus 0.42%)
0.54%		12/25/26	2		2,172,719		2,182,616
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF29, Class A
(LIBOR USD 1-Month plus 0.36%)
0.48%		02/25/24	2		4,130,546		4,144,177
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
0.48%		08/25/24	2		2,563,972		2,572,258
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF37, Class A
(LIBOR USD 1-Month plus 0.36%)
0.48%		09/25/27	2		1,436,553		1,441,777
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF38, Class A
(LIBOR USD 1-Month plus 0.33%)
0.45%		09/25/24	2		5,217,313		5,231,946
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF39, Class A
(LIBOR USD 1-Month plus 0.32%)
0.44%		11/25/24	2		4,338,286		4,356,639
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF40, Class A
(LIBOR USD 1-Month plus 0.34%)
0.46%		11/25/27	2		1,389,903		1,394,464
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF43, Class A
(LIBOR USD 1-Month plus 0.24%)
0.36%		01/25/28	2		2,686,037		2,693,778

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF51, Class A
(LIBOR USD 1-Month plus 0.40%)
0.52%		08/25/25	2	$	4,670,790	$	4,697,141
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF60, Class A
(LIBOR USD 1-Month plus 0.49%)
0.61%		02/25/26	2		8,204,503		8,236,584
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF72, Class A
(LIBOR USD 1-Month plus 0.50%)
0.62%		11/25/26	2		8,484,042		8,550,154
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ24, Class A1
2.28%		05/25/26			10,375,992		10,779,653
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ26, Class A1
2.14%		07/25/25			18,593,543		19,225,077
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ29, Class A1
0.74%		01/25/26			9,794,154		9,712,935
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ30, Class A1
0.53%		01/25/25			7,781,696		7,755,127
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
1.00%		05/25/44	2		1,957,851		1,959,529
Ginnie Mae,
Series 2007-12, Class C
5.28%		04/16/41	6		663,186		669,390
Ginnie Mae,
Series 2008-92, Class E
5.56%		03/16/44	6		2,587,305		2,627,134
GS Mortgage Securities Trust,
Series 2011-GC5, Class AS
5.21%		08/10/44	1,6		5,000,000		5,027,901
GS Mortgage Securities Trust,
Series 2018-GS9, Class A2
3.84%		03/10/51			10,500,000		10,880,396
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class A2
3.24%		03/15/50			13,055,160		13,288,371
UBS Commercial Mortgage Trust,
Series 2018-C11, Class A2
3.99%		06/15/51			1,889,000		1,981,241

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 126

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
UBS Commercial Mortgage Trust,
Series 2018-C12, Class A2
4.15%		08/15/51		$	12,889,000	$	13,699,471
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class A4
3.67%		11/15/44			3,803,145		3,829,988
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class A2
3.43%		06/15/45			6,022,000		6,151,460
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class AS
3.39%		11/15/45			7,911,000		8,207,209
							200,233,836
U.S. Agency Mortgage-Backed — 16.76%
Fannie Mae Pool 567002
8.00%		05/01/23			6,014		6,264
Fannie Mae Pool 735861
6.50%		09/01/33			9,329		10,411
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
3.31%		04/01/34	2		115,282		117,897
Fannie Mae Pool AD0538
6.00%		05/01/24			131,856		138,512
Fannie Mae Pool AE0083
6.00%		01/01/40			758,091		902,144
Fannie Mae Pool AL0851
6.00%		10/01/40			882,934		1,026,642
Fannie Mae Pool AL2206
3.09%		07/01/22	6		846,722		862,804
Fannie Mae Pool AM4580
3.43%		10/01/23			6,185,999		6,577,606
Fannie Mae REMICS,
Series 1997-76, Class FS
(LIBOR USD 1-Month plus 0.45%)
0.56%		09/17/27	2		9,134		9,004
Fannie Mae REMICS,
Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
1.06%		10/25/31	2		536,657		539,526
Fannie Mae REMICS,
Series 2007-61, Class AF
(LIBOR USD 1-Month plus 0.28%)
0.39%		03/25/37	2		347,328		347,438
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
0.58%		07/25/37	2		275,968		279,480
Fannie Mae REMICS,
Series 2009-85, Class LF
(LIBOR USD 1-Month plus 1.20%)
1.31%		10/25/49	2		2,256,883		2,319,633
Fannie Mae REMICS,
Series 2009-96, Class FA
(LIBOR USD 1-Month plus 0.90%)
1.01%		11/25/49	2		1,744,042		1,794,872

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
0.51%		10/25/40	2	$	901,126	$	907,353
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
6.12%		11/25/36	2		5,370,176		1,109,305
Fannie Mae REMICS,
Series 2010-43, Class DP
5.00%		05/25/40			759,140		848,622
Fannie Mae REMICS,
Series 2010-6, Class BF
(LIBOR USD 1-Month plus 0.76%)
0.87%		02/25/40	2		1,185,050		1,209,917
Fannie Mae REMICS,
Series 2010-95, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.49%		09/25/40	2		4,302,483		954,613
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.61%		01/25/50	2		5,357,285		5,420,003
Fannie Mae REMICS,
Series 2020-10, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.61%		03/25/50	2		13,057,800		13,189,719
Fannie Mae REMICS,
Series G92-10, Class Z
7.75%		01/25/22			11		11
Freddie Mac Gold Pool A45796
7.00%		01/01/33			1,773		1,931
Freddie Mac Gold Pool C46104
6.50%		09/01/29			4,598		5,168
Freddie Mac Gold Pool G13032
6.00%		09/01/22			27,992		28,304
Freddie Mac Gold Pool G13475
6.00%		01/01/24			8,768		8,973
Freddie Mac REMICS,
Series 2174, Class PN
6.00%		07/15/29			292,430		329,617
Freddie Mac REMICS,
Series 2454, Class FQ
(LIBOR USD 1-Month plus 1.00%)
1.11%		06/15/31	2		4,815		4,921
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
0.71%		10/15/33	2		2,059,128		2,090,830
Freddie Mac REMICS,
Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
0.41%		04/15/35	2		1,831,105		1,835,957

See accompanying Notes to Financial Statements.

127 / Annual Report March 2021

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3084, Class FN
(LIBOR USD 1-Month plus 0.50%)
0.61%		12/15/34	2	$	648,362	$	648,923
Freddie Mac REMICS,
Series 3294, Class CB
5.50%		03/15/37			208,605		242,507
Freddie Mac REMICS,
Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
0.41%		08/15/35	2		554,766		556,980
Freddie Mac REMICS,
Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
0.41%		08/15/35	2		1,430,658		1,436,367
Freddie Mac REMICS,
Series 3524, Class FC
(LIBOR USD 1-Month plus 0.94%)
1.05%		06/15/38	2		306,893		315,146
Freddie Mac REMICS,
Series 3531, Class FM
(LIBOR USD 1-Month plus 0.90%)
1.01%		05/15/39	2		240,109		245,782
Freddie Mac REMICS,
Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
0.51%		11/15/40	2		166,258		165,494
Freddie Mac REMICS,
Series 4060, Class FJ
(LIBOR USD 1-Month plus 0.35%)
0.46%		02/15/41	2		2,379,927		2,386,327
Freddie Mac REMICS,
Series 4959, Class JF
(LIBOR USD 1-Month plus 0.45%)
0.56%		03/25/50	2		8,364,450		8,443,061
Freddie Mac Strips,
Series 240, Class F30
(LIBOR USD 1-Month plus 0.30%)
0.41%		07/15/36	2		1,663,509		1,671,287
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
0.61%		06/15/42	2		1,963,506		1,978,883
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
0.61%		11/15/43	2		9,063,426		9,160,621
Ginnie Mae (TBA)
2.00%		05/20/51			42,050,000		42,374,397
2.50%		05/20/51			115,425,000		118,843,190
2.50%		06/20/51			14,400,000		14,800,556
Ginnie Mae I Pool BW5284
3.55%		10/15/50			10,722,384		10,904,129
Ginnie Mae II Pool 1849
8.50%		08/20/24			171		172

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 2020
8.50%		06/20/25		$	207	$	211
Ginnie Mae II Pool 2286
8.50%		09/20/26			214		231
Ginnie Mae II Pool 2487
8.50%		09/20/27			4,867		5,357
Ginnie Mae II Pool 80059
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 1.50%)
2.88%		04/20/27	2		10,305		10,677
Ginnie Mae II Pool 80589
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 1.50%)
3.00%		03/20/32	2		10,413		10,562
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 1.50%)
2.88%		06/20/32	2		7,164		7,509
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 1.50%)
2.25%		07/20/34	2		212,409		220,580
Ginnie Mae II Pool 81201
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 2.00%)
3.50%		01/20/35	2		5,428		5,503
Ginnie Mae II Pool 8599
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 1.50%)
3.00%		02/20/25	2		7,202		7,282
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.69%		05/20/37	2		3,369,051		492,877
Ginnie Mae,
Series 2013-53, Class AD
1.50%		12/20/26			1,231,957		1,253,297
UMBS (TBA)
2.00%		05/01/51			97,250,000		96,896,710
2.50%		05/01/51			58,225,000		59,626,036
							415,588,131
Total Mortgage-Backed
(Cost $940,411,394)							941,388,489
MUNICIPAL BONDS — 0.59%*
Colorado — 0.04%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%		11/15/23			895,000		897,304
Florida — 0.15%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
1.74%		10/01/26			800,000		802,568
1.89%		10/01/27			1,500,000		1,493,130
2.14%		10/01/28			445,000		444,008

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 128

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Florida (continued)
2.29%		10/01/29		$	985,000	$	981,061
							3,720,767
New York — 0.40%
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
3.19%		08/01/25			1,110,000		1,197,954
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries B2
2.31%		11/01/26			4,060,000		4,302,041
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series D
5.00%		03/15/24			4,040,000		4,560,500
							10,060,495
Total Municipal Bonds
(Cost $14,365,460)							14,678,566
U.S. TREASURY SECURITIES — 14.35%
U.S. Treasury Notes — 14.35%
U.S. Treasury Floating Rate Notes
(US Treasury Bill Yield 3-Month plus 0.11%)
0.13%		04/30/22	2		20,000,000		20,021,576
U.S. Treasury Notes
0.13%		01/31/23			71,860,000		71,826,316
0.13%		02/28/23			185,635,000		185,526,229
0.13%		03/31/23			71,495,000		71,448,919
0.50%		02/28/26			3,965,000		3,887,249
0.75%		03/31/26			3,150,000		3,122,807
Total U.S. Treasury Securities
(Cost $355,993,797)							355,833,096
Total Bonds — 94.68%
(Cost $2,334,091,114)							2,348,139,889
Issues				Shares		Value
COMMON STOCK — 0.00%
Electric — 0.00%
Homer City Holdings LLC†,4,5,8					106,501		—
Total Common Stock
(Cost $6,078,660)
Purchased Swaptions - 0.00%
(Cost $939,000)							6,393
Issues	Maturity Date			Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 15.18%
Foreign Government Obligations — 0.88%
Japan Treasury Discount Bill,
Series 962
(Japan)
0.00%9		04/05/21	3		2,420,000,000		21,905,106

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds — 10.87%
Dreyfus Government Cash Management Fund
0.03%10				92,970,000	$	92,970,000
Fidelity Investments Money Market Funds - Government Portfolio
0.01%10,11				102,811		102,811
JPMorgan U.S. Government Money Market Fund
0.03%10				76,562,000		76,562,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.03%10				99,993,000		99,993,000
						269,627,811
U.S. Treasury Bills — 3.43%
U.S. Treasury Bills
0.10%9		04/01/21	$	15,000,000		15,000,000
0.05%9		08/12/21		70,000,000		69,996,122
						84,996,122
Total Short-Term Investments
(Cost $377,898,748)						376,529,039
Total Investments Before Written Swaptions - 109.86%
(Cost $2,719,007,522)						2,724,675,321
Written Swaptions - 0.00%
(Cost $(540,000))						(4,596	)
Liabilities in Excess of Other Assets - (9.86)%						(244,504,329	)
Net Assets - 100.00%					$	2,480,166,396

¹  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.

²  Floating rate security. The rate disclosed was in effect at March 31, 2021.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁵  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $10,072,005, which is 0.41% of total net assets.

⁶  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁷  Zero coupon bond. The rate shown is the effective yield as of March 31, 2021.

⁸  Non-income producing security.

⁹  Represents annualized yield at date of purchase.

¹⁰  Represents the current yield as of March 31, 2021.

¹¹  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $27.

^†  Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. 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.

See accompanying Notes to Financial Statements.

129 / Annual Report March 2021

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2021

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.

(CLO): Collateralized Loan Obligation

(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

Currency to be Purchased	Currency to be Sold		Counterparty				Settlement Date		Unrealized Appreciation
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 23,323,727		JPY 2,420,000,000		Goldman Sachs International				04/05/21	$	1,422,086
Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five Year Note		453		06/30/21	$	(55,899,492)	$	713,973	$	713,973
U.S. Treasury Ten Year Ultra Bond		287		06/21/21		(41,238,313)		1,450,088		1,450,088
TOTAL FUTURES CONTRACTS					$	(97,137,805)	$	2,164,061	$	2,164,061

Reference Obligation/Index	Financing Rate Paid by the Fund	Payment Frequency	Counterparty	Expiration Date	Notional Amount1	Value		Premiums Paid		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC
Berry Global, Inc., 5.63%, due 07/15/27	5.00%	3 Months	Credit Suisse First Boston International	12/20/21	$    3,425,000	$	82,272	$	73,959	$	8,313

¹  The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

Received by the Fund

Paid by the Fund

Description

Counterparty

Maturity Date

Rate

Frequency

Rate

Frequency

Notional Amount

Value

Premiums Paid

Unrealized (Depreciation)

PURCHASED SWAPTIONS

Option to enter into a

30-year Interest Rate

Goldman Sachs

3-month

Swap

International

12/24/23

USD LIBOR

Quarterly

6.00%

Quarterly

$

300,000

$

6,393

$

939,000

$

(932,607)

Received by the Fund

Paid by the Fund

Description

Counterparty

Maturity Date

Rate

Frequency

Rate

Frequency

Notional Amount

Value

Premiums (Received)

Unrealized Appreciation

WRITTEN SWAPTIONS

Option to enter into a

30-year Interest Rate

Goldman Sachs

3-month

Swap

International

12/24/23

7.50%

Quarterly

USD LIBOR

Quarterly

$

300,000

$

(4,596)

$

(540,000)

$

535,404

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 130

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
BONDS – 87.18%
ASSET-BACKED SECURITIES — 15.09%**
Allegro CLO XII Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
0.00%		01/21/32	1,2,3	$	45,000	$	45,062
Cedar Funding VI CLO Ltd.,
Series 2016-6A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.82%		10/20/28	1,2,3		35,000		34,983
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.27%)
1.51%		10/25/32	1,2,3		180,000		180,256
Conseco Finance Corp.,
Series 1998-3, Class A6
6.76%		03/01/30	4		32,994		33,050
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.16%		03/15/52	1,4		570,863		39,203
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%		03/15/50	1		140,000		140,532
Crystal River CDO,
Series 2005-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.36%)
2.68%		03/02/46	1,2,3,5,6		419,900		48,883
Dryden 85 CLO Ltd.,
Series 2020-85A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.35%)
1.56%		10/15/32	1,2,3		200,000		200,428
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%		07/17/29	1,3		101,667		102,666
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.47%		10/19/32	1,2,3		180,000		180,223
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.77%		04/20/28	1,2,3		100,000		100,065
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
1.95%		01/20/34	1,2,3		40,000		40,084
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/37	5,6		74,661		73,530

Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.49%		08/15/31	2	$	145,831	$	134,726
SLM Student Loan Trust,
Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
0.97%		10/27/70	2		215,000		195,737
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%		01/25/83	2		340,000		320,540
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%		04/26/83	2		340,000		318,278
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		04/25/73	2		340,000		337,419
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		07/25/73	2		235,000		231,278
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%		07/26/83	2		340,000		335,065
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%		01/16/46	1		287,098		324,508
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%		08/15/36	1		306,950		371,374
TCI-Flatiron CLO Ltd.,
Series 2016-1A, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.84%		01/17/32	1,2,3		25,000		25,014
Total Asset-Backed Securities
(Cost $4,124,450)							3,812,904
CORPORATES — 27.17%*
Banking — 2.28%
Bank of America Corp.
(MTN)
2.88%		10/22/30	4		55,000		56,606
Bank of America Corp.,
Series N
1.66%		03/11/27	4		50,000		50,168
Comerica, Inc.
5.63%		10/01/69	4		45,000		49,669
Credit Suisse Group AG
(Switzerland)
2.59%		09/11/25	1,3,4		35,000		36,335

See accompanying Notes to Financial Statements.

131 / Annual Report March 2021

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
HSBC Holdings PLC
(United Kingdom)
2.01%		09/22/28	3,4	$	100,000	$	98,328
JPMorgan Chase & Co.
2.18%		06/01/28	4		85,000		85,984
Santander UK Group Holdings PLC
(United Kingdom)
4.80%		11/15/24	3,4		65,000		71,570
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	4		50,000		51,609
2.39%		06/02/28	4		75,000		76,911
							577,180
Communications — 5.97%
AT&T, Inc.
3.50%		09/15/53	1		65,000		60,182
3.80%		12/01/57	1		136,000		129,561
4.75%		05/15/46			15,000		17,297
Cable One, Inc.
4.00%		11/15/30	1		37,000		36,572
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%		05/01/32	1		36,000		36,504
5.38%		06/01/29	1		30,000		32,209
CSC Holdings LLC
5.38%		02/01/28	1		5,000		5,269
6.50%		02/01/29	1		12,000		13,282
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%		08/15/26	1		85,000		61,388
Intelsat Jackson Holdings SA
(Luxembourg)
8.50%		10/15/24	1,3,7,8		38,000		24,154
9.75%		07/15/25	1,3,7,8		71,000		44,545
Lumen Technologies, Inc.
4.00%		02/15/27	1		24,000		24,546
Qwest Corp.
7.25%		09/15/25			70,000		82,162
Scripps Escrow II, Inc.
5.38%		01/15/31	1		25,000		24,859
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	1		200,000		225,515
Sinclair Television Group, Inc.
4.13%		12/01/30	1		52,000		50,212
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	1		120,000		128,859
Time Warner Cable LLC
5.50%		09/01/41			100,000		118,734
T-Mobile USA, Inc.
1.50%		02/15/26	1		10,000		9,914
2.25%		02/15/26			78,000		78,221
2.55%		02/15/31	1		10,000		9,810
2.63%		04/15/26			38,000		38,596
3.88%		04/15/30	1		25,000		27,165
Verizon Communications, Inc.
2.10%		03/22/28			15,000		15,056

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
2.55%		03/21/31		$	40,000	$	39,969
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%		05/15/29	1,3		66,000		70,147
Vodafone Group PLC
(United Kingdom)
4.88%		06/19/49	3		48,000		57,126
Walt Disney Co. (The)
2.65%		01/13/31			45,000		45,992
							1,507,846
Consumer Discretionary — 1.08%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.90%		02/01/46			85,000		101,766
Bacardi Ltd.
(Bermuda)
5.30%		05/15/48	1,3		40,000		49,305
BAT Capital Corp.
2.73%		03/25/31			25,000		24,321
4.39%		08/15/37			20,000		20,993
4.54%		08/15/47			75,000		75,631
							272,016
Electric — 1.03%
Entergy Texas, Inc.
3.45%		12/01/27			150,000		160,761
FirstEnergy Transmission LLC
2.87%		09/15/28	1		39,000		39,381
Jersey Central Power & Light Co.
4.70%		04/01/24	1		55,000		59,862
							260,004
Energy — 3.22%
Energy Transfer Operating LP
5.00%		05/15/50			15,000		15,575
5.50%		06/01/27			3,000		3,464
Hess Corp.
4.30%		04/01/27			50,000		54,626
Kinder Morgan Energy Partners LP
5.00%		08/15/42			45,000		50,791
Petroleos Mexicanos
(Mexico)
6.63%		06/15/35	3		100,000		95,285
6.75%		09/21/47	3		50,000		42,613
6.95%		01/28/60	3		35,000		30,034
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			50,000		55,089
Rockies Express Pipeline LLC
4.80%		05/15/30	1		100,000		99,062
Ruby Pipeline LLC
8.00%		04/01/22	1,5,6		37,727		31,600
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			174,000		186,652
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			35,000		35,262

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 132

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Transocean Pontus Ltd.
(Cayman Islands)
6.13%		08/01/25	1,3	$	29,725	$	28,146
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	1,3		20,000		18,524
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	1,3		11,400		10,859
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		04/01/26			32,000		32,880
6.88%		09/01/27			22,000		22,697
							813,159
Entertainment — 0.16%
Live Nation Entertainment, Inc.
4.75%		10/15/27	1		40,000		40,363
Finance — 2.40%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.95%		02/01/22	3		75,000		76,753
Air Lease Corp.
(MTN)
2.30%		02/01/25			75,000		76,674
Avolon Holdings Funding Ltd.
(Cayman Islands)
5.13%		10/01/23	1,3		56,000		59,745
5.25%		05/15/24	1,3		10,000		10,816
Ford Motor Credit Co. LLC
(LIBOR USD 3-Month plus 1.27%)
1.46%		03/28/22	2		115,000		114,269
General Motors Financial Co., Inc.
3.15%		06/30/22			75,000		77,098
3.45%		04/10/22			20,000		20,487
4.38%		09/25/21			25,000		25,465
Goldman Sachs Group, Inc. (The)
3.69%		06/05/28	4		50,000		54,616
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	1,3,4		50,000		52,846
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	1,3		35,000		36,570
							605,339
Food — 1.04%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.50%		01/15/30	1,3		25,000		27,719
Kraft Heinz Foods Co.
5.00%		06/04/42			74,000		83,392
Pilgrim’s Pride Corp.
4.25%		04/15/31	1		25,000		24,930

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Post Holdings, Inc.
4.63%		04/15/30	1	$	50,000	$	50,187
Smithfield Foods, Inc.
3.35%		02/01/22	1		75,000		75,964
							262,192
Gaming — 0.20%
Churchill Downs, Inc.
4.75%		01/15/28	1		50,000		51,828
Health Care — 3.10%
AbbVie, Inc.
3.60%		05/14/25			50,000		54,501
Bausch Health Americas, Inc.
9.25%		04/01/26	1		7,000		7,765
Bayer U.S. Finance II LLC
4.38%		12/15/28	1		70,000		79,112
4.63%		06/25/38	1		35,000		40,350
Centene Corp.
3.00%		10/15/30			59,000		58,976
CommonSpirit Health
2.78%		10/01/30			30,000		30,600
CVS Health Corp.
5.05%		03/25/48			60,000		73,718
Elanco Animal Health, Inc.
5.90%		08/28/28			60,000		68,212
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%		04/01/29	1,3		25,000		25,390
HCA, Inc.
5.25%		04/15/25			12,000		13,713
5.25%		06/15/49			110,000		134,924
Molina Healthcare, Inc.
3.88%		11/15/30	1		35,000		36,045
5.38%		11/15/22			43,000		45,168
Prime Healthcare Services, Inc.
7.25%		11/01/25	1		43,000		45,903
Tenet Healthcare Corp.
4.88%		01/01/26	1		67,000		69,747
							784,124
Industrials — 2.03%
Ball Corp.
4.00%		11/15/23			30,000		31,987
Berry Global, Inc.
1.57%		01/15/26	1		40,000		39,414
Boeing Co. (The)
1.43%		02/04/24			60,000		60,111
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.67%		08/15/36	2		325,000		263,338
Graphic Packaging International LLC
4.88%		11/15/22			55,000		57,668
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	1		5,000		5,075

See accompanying Notes to Financial Statements.

133 / Annual Report March 2021

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
OI European Group BV
(Netherlands)
4.00%		03/15/23	1,3	$	15,000	$	15,422
Sealed Air Corp.
4.00%		12/01/27	1		5,000		5,137
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	1,3		34,000		35,481
							513,633
Information Technology — 0.41%
NCR Corp.
5.13%		04/15/29	1		37,000		37,366
Oracle Corp.
2.88%		03/25/31			25,000		25,462
3.95%		03/25/51			40,000		41,311
							104,139
Insurance — 0.84%
Farmers Exchange Capital II
6.15%		11/01/53	1,4		50,000		63,427
Nationwide Mutual Insurance Co.
2.47%		12/15/24	1,4		75,000		74,959
Teachers Insurance & Annuity Association of America
4.27%		05/15/47	1		65,000		73,294
							211,680
Materials — 0.05%
International Flavors & Fragrances, Inc.
5.00%		09/26/48			10,000		12,356
Real Estate Investment Trust (REIT) — 1.64%
American Campus Communities Operating Partnership LP
3.63%		11/15/27			50,000		54,611
3.75%		04/15/23			35,000		37,022
CyrusOne LP/CyrusOne Finance Corp.
2.15%		11/01/30			5,000		4,633
2.90%		11/15/24			80,000		84,672
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26			65,000		73,107
5.75%		06/01/28			25,000		28,912
Lexington Realty Trust
2.70%		09/15/30			35,000		34,233
SL Green Operating Partnership LP
3.25%		10/15/22			40,000		41,473
Ventas Realty LP
4.40%		01/15/29			50,000		56,185
							414,848
Retail — 0.16%
Yum! Brands, Inc.
4.63%		01/31/32			40,000		40,888
Services — 0.41%
IHS Markit Ltd.
(Bermuda)
4.00%		03/01/26	1,3		7,000		7,727

Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Services (continued)
5.00%		11/01/22	1,3	$	45,000	$	47,471
Waste Pro USA, Inc.
5.50%		02/15/26	1		48,000		49,280
							104,478
Transportation — 1.15%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			181,975		181,477
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32			100,000		108,648
							290,125
Total Corporates
(Cost $6,667,844)							6,866,198
MORTGAGE-BACKED — 44.21%**
Non-Agency Commercial Mortgage-Backed — 5.40%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%		09/15/48	1,4		1,500,000		63,264
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.74%		09/10/45	1,4		1,369,970		24,641
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.99%		10/10/47	4		4,503,286		133,329
COBALT CMBS Commercial Mortgage Trust,
Series 2007-C2, Class X (IO)
0.45%		04/15/47	1,4		301,996		1,218
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
1.11%		10/10/46	4		1,795,621		43,179
Commercial Mortgage Trust,
Series 2014-CR17, Class XA (IO)
0.97%		05/10/47	4		2,078,575		51,378
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.49%		02/10/37	1,4		2,030,000		45,009
Credit Suisse Mortgage Capital Trust,
Series 2014-USA, Class X1 (IO)
0.54%		09/15/37	1,4		9,783,817		209,536
CSAIL Commercial Mortgage Trust,
Series 2015-C1, Class XA (IO)
0.83%		04/15/50	4		1,728,205		45,713
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%		02/10/37	1,4		940,000		12,477
GS Mortgage Securities Trust,
Series 2012-GC6, Class XA (IO)
1.92%		01/10/45	1,4		20,210,499		118,094
GS Mortgage Securities Trust,
Series 2012-GC6, Class XB (IO)
0.20%		01/10/45	1,4		5,749,132		9,761

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 134

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
1.93%		11/10/45	4	$	2,681,219	$	59,357
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C21, Class XA (IO)
0.99%		08/15/47	4		542,974		14,536
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.84%		11/15/47	4		5,033,844		130,193
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2013-C16, Class XA (IO)
0.92%		12/15/46	4		6,017,222		122,434
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.49%		12/15/47	4		1,969,947		38,548
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.11%		01/15/46	4		6,391,421		15,605
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-BOLT, Class B
(LIBOR USD 1-Month plus 2.20%)
2.31%		07/15/34	1,2		91,653		89,705
UBS Commercial Mortgage Trust,
Series 2012-C1, Class XA (IO)
2.06%		05/10/45	1,4		1,615,682		17,791
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS6, Class XA (IO)
1.61%		11/15/49	4		1,104,515		58,086
WF-RBS Commercial Mortgage Trust,
Series 2011-C3, Class XA (IO)
1.47%		03/15/44	1,4		1,107,038		1,635
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class XA (IO)
1.67%		11/15/44	1,4		3,003,089		5,645
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
1.87%		11/15/45	1,4		921,023		19,950
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.72%		06/15/46	4		2,941,456		33,436
							1,364,520
Non-Agency Mortgage-Backed — 29.53%
Conseco Finance Corp.,
Series 1996-7, Class M1
7.70%		09/15/26	4		53,496		54,438
Conseco Finance Corp.,
Series 1998-4, Class A6
6.53%		04/01/30	4		76,552		77,803
Conseco Finance Corp.,
Series 1998-4, Class A7
6.87%		04/01/30	4		37,906		38,592
Conseco Finance Corp.,
Series 1999-5, Class A5
7.86%		03/01/30	4		81,830		48,734

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/21)
3.79%		02/25/37		$	294,362	$	240,679
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 05/25/21)
3.47%		03/25/37			937,412		483,200
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
0.22%		12/25/37	2		391,298		363,452
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.33%		01/25/38	2		938,804		666,621
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
0.21%		03/25/37	2		636,644		386,128
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.13%		04/19/36	4		236,998		209,856
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 5A1A
2.99%		05/25/37	4		331,264		309,779
HSI Asset Loan Obligation Trust,
Series 2007-2, Class 2A12
6.00%		09/25/37			297,871		279,725
Impac CMB Trust,
Series 2004-4, Class 1A2
(LIBOR USD 1-Month plus 0.62%)
0.73%		09/25/34	2		148,230		146,656
IndyMac Index Mortgage Loan Trust,
Series 2005-AR25, Class 2A1
2.99%		12/25/35	4		311,935		310,664
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A3
6.61%		02/25/28			64,476		65,082
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A4
6.75%		02/25/28			27,142		27,414
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1998-1, Class A4
6.49%		09/25/28			59,425		61,618
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1998-1, Class A5
6.96%		09/25/28	4		143,233		151,901
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF6 (STEP-reset date 05/25/21)
4.21%		03/25/47			745,146		582,898

See accompanying Notes to Financial Statements.

135 / Annual Report March 2021

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust,
Series 2006-S2, Class 2A2
5.88%		06/25/21		$	57,545	$	55,459
JPMorgan Mortgage Trust,
Series 2007-S1, Class 1A2
5.50%		03/25/22			15,868		15,790
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.33%)
0.44%		04/25/37	2,5,6		1,696,107		159,315
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE2, Class A2C
(LIBOR USD 1-Month plus 1.16%)
1.27%		08/25/35	2		638,150		591,752
Mid-State Capital Corp. Trust,
Series 2004-1, Class B
8.90%		08/15/37			363,756		410,304
Mid-State Capital Corp. Trust,
Series 2004-1, Class M1
6.50%		08/15/37			251,576		273,028
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%		01/15/40			127,304		136,918
Mid-State Trust XI,
Series 11, Class B
8.22%		07/15/38			6,886		7,668
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.17%		09/25/34	4		169,796		169,072
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%		06/25/36	4		991,113		397,188
Oakwood Mortgage Investors, Inc.,
Series 1998-A, Class M
6.83%		05/15/28	4		32,502		32,666
Oakwood Mortgage Investors, Inc.,
Series 1999-B, Class A4
6.99%		12/15/26			145,100		147,285
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A3
6.03%		05/15/24	4		186,013		190,407
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.41%		03/25/35	4		172,970		98,226
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
2.71%		09/25/34	4		193,242		196,864
Terwin Mortgage Trust,
Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 1.10%)
1.21%		07/25/34	1,2		77,216		76,267
							7,463,449

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed — 6.21%
Fannie Mae-Aces,
Series 2011-M5, Class X (IO)
1.09%		07/25/21	4	$	1,067,427	$	2,089
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.83%		07/25/39	4		568,832		23,144
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
1.14%		07/25/33	4		535,000		58,949
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K021, Class X3 (IO)
1.97%		07/25/40	4		1,150,000		27,148
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K022, Class X3 (IO)
1.81%		08/25/40	4		5,250,000		121,099
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K023, Class X3 (IO)
1.69%		10/25/40	4		4,050,000		91,002
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K027, Class X3 (IO)
1.71%		01/25/41	4		5,000,000		141,853
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K031, Class X3 (IO)
1.66%		07/25/41	4		5,999,569		197,308
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K034, Class X1 (IO)
0.08%		07/25/23	4		6,275,747		13,667
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K040, Class X3 (IO)
2.04%		11/25/42	4		1,100,000		72,871
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K723, Class X1 (IO)
0.95%		08/25/23	4		6,498,829		112,548
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K724, Class X1 (IO)
0.26%		11/25/23	4		16,621,737		95,751
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KAIV, Class X2 (IO)
3.59%		06/25/41	4		1,220,000		7,159
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC04, Class X1 (IO)
1.25%		12/25/26	4		2,269,306		112,231

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 136

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC05, Class X1 (IO)
1.20%		06/25/27	4	$	1,994,894	$	107,546
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS11, Class XFX (IO)
1.60%		06/25/29	4		350,000		36,617
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q010, Class XPT2 (IO)
0.36%		08/25/24			3,787,735		27,085
FREMF Mortgage Trust,
Series 2012-K23, Class X2A (IO)
0.13%		10/25/45	1		60,112,240		82,062
FREMF Mortgage Trust,
Series 2017-K726, Class X2B (IO)
0.10%		07/25/49	1		25,000,000		63,905
Ginnie Mae,
Series 2009-114, Class IO (IO)
0.03%		10/16/49	4		4,629,362		579
Ginnie Mae,
Series 2010-148, Class IO (IO)
0.29%		09/16/50	4		1,561,239		17,956
Ginnie Mae,
Series 2014-103, Class IO (IO)
0.18%		05/16/55	4		1,403,939		17,048
Ginnie Mae,
Series 2014-125, Class IO (IO)
0.82%		11/16/54	4		815,609		31,458
Ginnie Mae,
Series 2015-47, Class IO (IO)
0.56%		10/16/56	4		759,547		23,547
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C26, Class XA (IO)
0.96%		01/15/48	4		2,841,978		83,397
							1,568,019
U.S. Agency Mortgage-Backed — 3.07%
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
10.75%		05/25/23	2		541		588
Fannie Mae REMICS,
Series 2000-45, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)
7.84%		12/18/30	2		87,489		11,036
Fannie Mae REMICS,
Series 2001-42, Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%		09/25/31	2		402		446
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%		01/25/34	2		4,145		4,857

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
5.99%		10/25/25	2	$	530,367	$	37,784
Fannie Mae REMICS,
Series 2006-125, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.09%		01/25/37	2		729,842		176,773
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.94%		11/25/36	2		868,035		160,344
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
6.31%		05/25/40	2		802,013		163,368
Freddie Mac REMICS,
Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	2		5,217		5,509
Freddie Mac REMICS,
Series 1673, Class SD
(-2.15 X US Treasury Yield Curve Rate T Note Constant
Maturity 10 Year plus 19.39%, 18.31% Cap)
16.57%		02/15/24	2		29,879		33,977
Freddie Mac REMICS,
Series 3247, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.65%, 0.15% Cap)
0.15%		08/15/36	2		11,069,389		49,231
Freddie Mac REMICS,
Series 3289, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)
6.01%		03/15/37	2		583,250		111,179
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
14.07%		11/26/23	2		19,024		21,690
							776,782
Total Mortgage-Backed
(Cost $15,530,106)							11,172,770
MUNICIPAL BONDS — 0.71%*
California — 0.14%
City of San Francisco Public Utilities Commission Water
Revenue Bonds, Series E
2.83%		11/01/41			35,000		34,836
Colorado — 0.12%
City & County of Denver Airport System Revenue Bonds,
Series C
2.24%		11/15/30			30,000		29,360
Florida — 0.06%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.86%		10/01/35			15,000		14,935

See accompanying Notes to Financial Statements.

137 / Annual Report March 2021

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
New York — 0.39%
Metropolitan Transportation Authority Revenue Bonds,
Transit Improvements, Series C2
5.18%		11/15/49	$	5,000	$	6,215
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries
B3
1.85%		08/01/32		75,000		70,600
New York State Urban Development Corp. Revenue Bonds,
Economic Improvements, Series E
4.00%		03/15/43		20,000		22,849
						99,664
Total Municipal Bonds
(Cost $182,974)						178,795
Total Bonds — 87.18%
(Cost $26,505,374)						22,030,667
Issues			Shares		Value
COMMON STOCK — 0.30%
Real Estate Investment Trust (REIT) — 0.30%
AGNC Investment Corp.				4,500		75,420
Total Common Stock
(Cost $64,005)
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 7.21%
Money Market Funds — 2.07%
Fidelity Investments Money Market Funds - Government
Portfolio
0.01%9				26,665		26,665
JPMorgan U.S. Government Money Market Fund
0.03%9				248,000		248,000
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
0.03%9				248,000		248,000
						522,665

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills — 5.14%
U.S. Treasury Bills
0.05%10		08/12/21	$	1,300,000	$	1,299,928
Total Short-Term Investments
(Cost $1,822,422)						1,822,593
Total Investments - 94.69%
(Cost $28,391,801)						23,928,680
Cash and Other Assets, Less Liabilities - 5.31%						1,341,624
Net Assets - 100.00%					$	25,270,304

¹  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.

²  Floating rate security. The rate disclosed was in effect at March 31, 2021.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁵  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁶  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $313,328, which is 1.24% of total net assets.

⁷  Non-income producing security.

⁸  Security is currently in default with regard to scheduled interest or principal payments.

⁹  Represents the current yield as of March 31, 2021.

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.

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

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.

(CDO): Collateralized Debt Obligations

(CLO): Collateralized Loan Obligation

(IO): Interest Only (LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(STEP): Step Coupon Bond

(USD): U.S. Dollar

Description	Number of Contracts		Expiration Date		Notional Amount			Value		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten Year Ultra Bond		8		06/21/21	$	(1,149,500	)	$	40,420	$	40,420
U.S. Treasury Ultra Bond		7		06/21/21		(1,268,531	)		64,014		64,014
TOTAL FUTURES CONTRACTS					$	(2,418,031	)	$	104,434	$	104,434

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 138

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BONDS – 111.65%
ASSET-BACKED SECURITIES — 3.71%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
1.21%	12/27/441,2	$	20,650,772	$	20,955,452
Aimco CLO 11 Ltd.,
Series 2020-11A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.38%)
1.60%	10/15/311,2,3		7,100,000		7,112,425
Aimco CLO 12 Ltd.,
Series 2020-12A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.21%)
1.44%	01/17/321,2,3		48,385,000		48,454,191
Aimco CLO,
Series 2015-AA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
1.09%	01/15/281,2,3		3,471,612		3,473,587
AMMC CLO 19 Ltd.,
Series 2016-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.38%	10/16/281,2,3		63,810,000		63,811,914
AMMC CLO 23 Ltd.,
Series 2020-23A, Class A1L
(Cayman Islands)
(LIBOR USD 3-Month plus 1.40%)
1.64%	10/17/311,2,3		11,960,000		11,984,877
Apidos CLO XXII,
Series 2015-22A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.06%)
1.28%	04/20/311,2,3		21,475,000		21,470,834
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.02%	01/20/281,2,3		24,394,455		24,355,423
Barings CLO Ltd.,
Series 2016-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.30%	07/20/281,2,3		47,401,235		47,398,865
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.17%	07/20/291,2,3		35,811,000		35,793,954
Barings CLO Ltd.,
Series 2020-4A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
1.44%	01/20/321,2,3		19,110,000		19,139,047

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.66%	01/25/351,2	$	1,152,340	$	1,134,799
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
0.56%	04/25/351,2		2,390,560		2,304,984
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
1.17%	07/20/291,2,3		28,145,000		28,159,101
Brazos Education Loan Authority, Inc.,
Series 2012-1, Class A1
(LIBOR USD 1-Month plus 0.70%)
0.81%	12/26/352		35,318		35,099
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
1.39%	02/25/352		12,315,000		12,608,321
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 1.05%)
1.24%	11/25/332		16,050,000		16,200,957
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.22%	10/27/362		24,361,000		24,511,600
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.27%)
1.51%	10/25/321,2,3		4,970,000		4,977,057
CIT Education Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
0.50%	06/25/421,2		12,019,116		10,951,119
Clear Creek CLO,
Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
1.42%	10/20/301,2,3		27,190,000		27,196,798
College Loan Corp. Trust,
Series 2005-2, Class B
(LIBOR USD 3-Month plus 0.49%)
0.73%	01/15/372		2,330,339		2,147,460
Conseco Finance Corp.,
Series 1998-3, Class A6
6.76%	03/01/304		309,460		309,981
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
1.01%	11/15/281,2,3		18,924,695		18,934,119

See accompanying Notes to Financial Statements.

139 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Dryden 83 CLO Ltd.,
Series 2020-83A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
1.46%	01/18/321,2,3	$	29,220,000	$	29,264,414
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.14%	04/15/291,2,3		22,948,000		22,906,556
Eaton Vance CLO Ltd.,
Series 2013-1A, Class A13R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.41%	01/15/341,2,3		23,950,000		24,025,443
Eaton Vance CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.89%	10/15/301,2,3		34,575,000		34,692,901
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
1.46%	07/26/661,2		35,752,461		36,766,058
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
0.91%	04/26/321,2		12,135,851		12,175,716
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
0.87%	04/25/352		14,933		14,899
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
1.16%	03/25/362		9,922,773		9,983,646
EFS Volunteer No. 2 LLC,
Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
1.46%	03/25/361,2		12,401,393		12,668,409
Flatiron CLO Ltd.,
Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.89%)
1.13%	04/15/271,2,3		3,096,820		3,098,610
Galaxy XXIX CLO Ltd.,
Series 2018-29A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.79%)
0.98%	11/15/261,2,3		3,612,701		3,614,641
GCO Education Loan Funding Trust,
Series 2006-1, Class A11L
(LIBOR USD 3-Month plus 0.23%)
0.42%	05/25/362		25,000,000		24,538,639

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/291,3	$	29,681,667	$	29,973,571
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
0.64%	08/25/422		2,105,387		1,977,792
Goal Structured Solutions Trust,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.65%)
0.76%	09/25/411,2		17,905,518		17,843,771
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.77%	07/20/311,2,3		10,025,000		10,066,102
GoldenTree Loan Opportunities IX Ltd.,
Series 2014-9A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
1.32%	10/29/291,2,3		5,283,000		5,283,792
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/731		624,521		687,896
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/731		41,020,786		44,606,737
LCM XIII LP,
Series 13A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.36%	07/19/271,2,3		25,575,000		25,588,683
LCM XVIII LP,
Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
1.48%	07/15/271,2,3		16,800,903		16,802,751
LCM XX LP,
Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
1.26%	10/20/271,2,3		6,021,166		6,020,263
LCM XXI LP,
Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
1.10%	04/20/281,2,3		28,348,751		28,364,598
Lehman ABS Mortgage Loan Trust,
Series 2007-1, Class 2A2
(LIBOR USD 1-Month plus 0.20%)
0.31%	06/25/371,2		232,141		185,055
Lucali CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.21%)
1.45%	01/15/331,2,3		11,550,000		11,566,632

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 140

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Madison Park Funding XLVIII Ltd.,
Series 2021-48A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.29%	04/19/331,2,3	$	30,825,000	$	30,840,258
Madison Park Funding XXX Ltd.,
Series 2018-30A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.75%)
0.99%	04/15/291,2,3		7,077,500		7,062,446
Magnetite XVIII Ltd.,
Series 2016-18A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.27%	11/15/281,2,3		20,600,000		20,616,150
Magnetite XXV Ltd.,
Series 2020-25A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
1.45%	01/25/321,2,3		27,025,000		27,062,646
Magnetite XXVII Ltd.,
Series 2020-27A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.77%	07/20/331,2,3		1,660,000		1,663,529
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
0.62%	06/25/312		757,376		746,985
Navient Student Loan Trust,
Series 2014-2, Class A
(LIBOR USD 1-Month plus 0.64%)
0.75%	03/25/832		36,887,504		36,701,818
Navient Student Loan Trust,
Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
0.73%	03/25/832		63,205,520		62,905,664
Navient Student Loan Trust,
Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
0.73%	03/25/832		94,795,088		94,306,886
Navient Student Loan Trust,
Series 2014-6, Class A
(LIBOR USD 1-Month plus 0.61%)
0.72%	03/25/832		39,412,709		39,230,405
Navient Student Loan Trust,
Series 2014-7, Class A
(LIBOR USD 1-Month plus 0.61%)
0.72%	03/25/832		81,279,203		80,845,873
Navient Student Loan Trust,
Series 2015-1, Class A2
(LIBOR USD 1-Month plus 0.60%)
0.71%	04/25/402		60,224,616		59,987,086
Navient Student Loan Trust,
Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
0.68%	11/26/402		119,750,739		119,322,875

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust,
Series 2016-7A, Class A
(LIBOR USD 1-Month plus 1.15%)
1.26%	03/25/661,2	$	58,176,275	$	59,011,779
Nelnet Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.45%)
0.63%	08/23/361,2		12,058,190		11,921,761
Nelnet Student Loan Trust,
Series 2007-2A, Class A3L
(LIBOR USD 3-Month plus 0.35%)
0.55%	03/25/261,2		20,750,441		20,653,568
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
0.71%	10/27/361,2		10,607,698		10,533,679
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
1.06%	11/25/481,2		11,630,000		11,836,262
Nelnet Student Loan Trust,
Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
0.66%	07/25/461,2		58,498,608		58,383,535
Nelnet Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
0.70%	04/25/461,2		109,144,922		108,337,400
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
1.01%	06/25/541,2		8,890,000		8,958,409
Neuberger Berman Loan Advisers CLO 36 Ltd.,
Series 2020-36A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.47%	04/20/331,2,3		25,455,000		25,484,299
North Carolina State Education Authority,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 0.90%)
1.12%	10/25/412		16,170,498		16,346,733
OCP CLO Ltd.,
Series 2020-19A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
1.97%	07/20/311,2,3		16,640,000		16,680,768
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.47%	10/19/321,2,3		14,400,000		14,417,856
Palmer Square CLO Ltd.,
Series 2020-3A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.37%)
1.60%	11/15/311,2,3		32,300,000		32,395,931

See accompanying Notes to Financial Statements.

141 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Palmer Square Loan Funding Ltd.,
Series 2019-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.05%)
1.27%	04/20/271,2,3	$	8,123,810	$	8,129,212
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.12%	10/24/271,2,3		50,596,840		50,626,034
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
1.22%	04/20/281,2,3		32,262,230		32,280,264
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.39%)
1.59%	01/20/341,2,3		50,000,000		50,321,000
PHEAA Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
0.71%	10/25/411,2		116,494,533		115,912,569
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.19%	04/20/341,2,3		42,760,000		42,678,799
Residential Asset Mortgage Products Trust,
Series 2005-RZ4, Class M3
(LIBOR USD 1-Month plus 0.78%)
0.89%	11/25/352		202,236		202,159
Rockford Tower CLO Ltd.,
Series 2017-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
1.26%	10/15/291,2,3		26,680,000		26,643,849
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
1.41%	10/20/301,2,3		1,880,000		1,880,470
Rockford Tower CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.28%)
1.53%	01/20/321,2,3		23,840,000		23,888,157
Scholar Funding Trust,
Series 2012-B, Class A2
(LIBOR USD 1-Month plus 1.10%)
1.21%	03/28/461,2		20,161,809		20,519,132
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB5, Class A3
(LIBOR USD 1-Month plus 0.28%)
0.39%	06/25/362		252,444		197,972

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Sixth Street CLO XVII Ltd.,
Series 2021-17A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
1.43%	01/20/341,2,3	$	41,060,000	$	41,155,875
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/375,6		32,044,697		31,559,020
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.49%	08/15/312		280,335		258,988
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
1.78%	12/15/322		12,401,167		12,715,202
SLM Student Loan Trust,
Series 2003-12, Class B
(LIBOR USD 3-Month plus 0.59%)
0.77%	03/15/382		53,263		50,729
SLM Student Loan Trust,
Series 2003-4, Class A5E
(LIBOR USD 3-Month plus 0.75%)
0.93%	03/15/331,2		4,712,798		4,591,428
SLM Student Loan Trust,
Series 2005-9, Class A7A
(LIBOR USD 3-Month plus 0.60%)
0.82%	01/25/412		58,614,817		58,484,843
SLM Student Loan Trust,
Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
0.39%	01/25/412		33,053,618		32,184,962
SLM Student Loan Trust,
Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
0.38%	01/25/412		32,989,000		32,348,756
SLM Student Loan Trust,
Series 2007-1, Class A6
(LIBOR USD 3-Month plus 0.14%)
0.36%	01/27/422		32,050,000		31,077,254
SLM Student Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.22%)
0.44%	01/27/422		4,007,523		3,680,859
SLM Student Loan Trust,
Series 2007-3, Class A4
(LIBOR USD 3-Month plus 0.06%)
0.28%	01/25/222		2,338,981		2,262,906
SLM Student Loan Trust,
Series 2007-6, Class B
(LIBOR USD 3-Month plus 0.85%)
1.07%	04/27/432		4,256,180		4,029,387
SLM Student Loan Trust,
Series 2007-7, Class A4
(LIBOR USD 3-Month plus 0.33%)
0.55%	01/25/222		279,040		272,114

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 142

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-1, Class A4
(LIBOR USD 3-Month plus 0.65%)
0.87%	01/25/222	$	36,873,744	$	36,201,475
SLM Student Loan Trust,
Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
0.97%	04/25/232		83,836,532		82,618,356
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%	01/25/832		38,874,000		36,649,003
SLM Student Loan Trust,
Series 2008-3, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.22%	10/25/212		17,323		17,226
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%	04/26/832		2,260,000		2,115,615
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
1.87%	07/25/222		2,041,918		2,076,271
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%	04/25/732		8,849,000		8,781,823
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
1.92%	07/25/232		29,891,431		30,111,726
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%	07/25/732		37,199,000		36,609,824
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.32%	07/25/232		12,716,419		12,691,518
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%	07/26/832		31,424,000		30,967,881
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%	07/26/832		17,206,000		17,183,581
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
1.72%	04/25/232		2,660,069		2,675,767
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.47%	10/25/752		625,000		628,983

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.72%	04/25/232	$	61,096,477	$	61,424,215
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.47%	10/25/832		45,100,000		45,451,094
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
0.86%	01/25/451,2		158,548,738		160,592,447
SLM Student Loan Trust,
Series 2011-1, Class A2
(LIBOR USD 1-Month plus 1.15%)
1.26%	10/25/342		2,721,510		2,775,979
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
1.06%	09/25/282		611,365		604,670
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
0.81%	01/25/292		12,874,478		12,503,056
SLM Student Loan Trust,
Series 2012-3, Class A
(LIBOR USD 1-Month plus 0.65%)
0.76%	12/27/382		15,089,266		15,102,195
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
0.76%	05/26/262		22,289,849		21,885,651
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/421,2		17,450,000		16,096,508
TCI-Flatiron CLO Ltd.,
Series 2016-1A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.39%	01/17/321,2,3		52,015,000		52,069,096
Treman Park CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
1.29%	10/20/281,2,3		19,764,171		19,767,136
Voya CLO Ltd.,
Series 2014-3A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.72%)
0.94%	07/25/261,2,3		3,855,821		3,855,886

See accompanying Notes to Financial Statements.

143 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Voya CLO Ltd.,
Series 2020-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.82%	07/19/311,2,3	$	44,530,000	$	44,617,234
Total Asset-Backed Securities
(Cost $3,208,664,549)					3,226,420,296
BANK LOANS — 1.48%*
Automotive — 0.02%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%	04/30/262		21,089,742		20,905,207
Communications — 0.29%
CenturyLink, Inc.,
Term Loan A, 1st Lien
(LIBOR plus 2.00%)
2.11%	01/31/252		13,403,506		13,336,489
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%	03/15/272		49,883,337		49,438,128
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.87%	02/01/272		7,949,123		7,920,824
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%	07/17/252		11,016,308		10,890,226
2.36%	01/15/262		24,804,183		24,501,944
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.61%	04/15/272		14,560,730		14,413,886
Frontier Communications Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.75%	10/08/212		13,775,000		13,757,781
Intelsat Jackson Holdings,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(LIBOR plus 5.50%)
6.50%	07/13/222,3		5,901,831		5,987,407
Intelsat Jackson Holdings SA,
Term Loan B4, 1st Lien (Luxembourg)
(PRIME plus 3.50%)
8.75%	01/02/242,3		2,000,000		2,046,250
Term Loan B5, 1st Lien (Luxembourg)
8.63%	01/02/242,3		25,379,651		25,964,525
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%	03/01/272		22,889,876		22,622,866
Sinclair Television Group, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 2.25%)
2.36%	01/03/242		12,850,000		12,792,175

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.11%		03/09/272	$	51,032,237	$	50,689,045
						254,361,546
Consumer Discretionary — 0.01%
Reynolds Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		02/06/232		11,617,246		11,581,871
Electric — 0.07%
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%		04/06/262		32,486,758		32,352,426
Homer City Generation LP,
Term Loan B, 1st Lien
(LIBOR plus 11.00%)
15.00%		04/05/232,5,6		6,076,402		4,405,391
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/31/252		27,182,794		27,027,445
						63,785,262
Entertainment — 0.01%
CineWorld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		02/28/252		7,823,390		6,707,149
Finance — 0.09%
Auris Lux III SA,
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
3.86%		02/27/262,3		1,473,688		1,433,162
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
3.25%		12/01/272		2,992,500		2,995,537
Delos Finance SARL,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.95%		10/06/232		40,728,731		40,692,279
Telenet Financing USD LLC,
Term Loan AR, 1st Lien
(LIBOR plus 2.00%)
2.11%		04/30/282		28,600,000		28,284,542
						73,405,520
Food — 0.02%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%		08/03/252		16,461,103		16,401,678

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 144

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Food (continued)
JBS USA LUX SA,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.00%)
2.11%		05/01/262,3	$	1,121,965	$	1,116,944
						17,518,622
Gaming — 0.10%
Caesars Resort Collection LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
4.61%		07/21/252		4,975,000		4,991,393
Term Loan, 1st Lien
(LIBOR plus 2.75%)
2.86%		12/23/242		55,581,379		54,844,092
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.11%		12/27/242		11,602,689		11,573,682
2.12%		03/17/282		13,000,000		12,951,250
						84,360,417
Health Care — 0.48%
Avantor Funding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.25%		11/08/272		67,231,500		67,340,751
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%		01/15/252		6,520,459		6,507,385
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		03/01/242		26,628,343		26,629,808
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.87%		08/01/272		94,031,575		92,939,868
Gentiva Health Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.88%		07/02/252		53,127,718		52,906,441
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.08%		11/15/272		55,020,208		54,473,308
HCA, Inc.,
Term Loan B12, 1st Lien
(LIBOR plus 1.75%)
1.86%		03/13/252		14,775,000		14,785,564
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.50%		02/26/282		40,995,476		40,933,983

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		11/27/252	$	4,292,763	$	4,274,261
(LIBOR plus 3.00%)
3.11%		06/02/252		56,271,433		56,159,453
						416,950,822
Industrials — 0.12%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
1.90%		07/01/262		79,560,418		79,038,105
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		06/30/242		2,916,667		2,923,652
Mauser Packaging Solutions Holdings,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.44%		04/03/242		4,226,093		4,142,099
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.36%		05/30/252		15,382,726		15,091,300
Term Loan F, 1st Lien
(LIBOR plus 2.25%)
2.36%		12/09/252		5,403,750		5,299,052
						106,494,208
Information Technology — 0.05%
IQVIA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
1.86%		03/07/242		13,182,323		13,142,776
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.86%		01/17/252		8,883,933		8,849,508
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.95%		06/11/252		6,369,381		6,345,496
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/252		7,921,735		7,852,935
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/252		5,914,787		5,863,417
						42,054,132
Real Estate Investment Trust (REIT) — 0.07%
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/11/252		43,840,300		43,401,020

See accompanying Notes to Financial Statements.

145 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Real Estate Investment Trust (REIT) (continued)
VICI Properties 1 LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%	12/20/242	$	19,528,636	$	19,335,498
					62,736,518
Retail — 0.09%
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	02/19/282		51,179,626		50,871,781
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
1.86%	11/19/262,3		23,730,305		23,337,331
KFC Holding Co.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%	03/15/282		1,346,440		1,348,964
					75,558,076
Services — 0.03%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	05/30/252		16,149,998		16,180,280
PowerTeam Services LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.25%	03/06/252		2,528,684		2,513,284
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 1.75%)
1.86%	04/16/252		5,365,981		5,320,155
					24,013,719
Transportation — 0.03%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%	01/29/272		8,019,000		7,340,112
United Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 1.75%)
1.87%	04/01/242		18,263,853		17,820,315
					25,160,427
Total Bank Loans (Cost $1,281,154,560)					1,285,593,496
CORPORATES — 21.28%*
Automotive — 0.01%
Ford Motor Co.
7.45%	07/16/31		200,000		252,336

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Automotive (continued)
General Motors Co.
(LIBOR USD 3-Month plus 0.90%)
1.08%	09/10/212	$	8,685,000	$	8,709,255
					8,961,591
Banking — 2.98%
Bank of America Corp.
(MTN)
4.08%	03/20/514		174,751,000		195,536,094
Bank of America Corp.,
Series N
1.66%	03/11/274		178,260,000		178,860,941
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		51,400,000		49,759,388
2.19%	06/05/261,3,4		12,426,000		12,614,817
2.59%	09/11/251,3,4		24,760,000		25,704,265
3.75%	03/26/253		10,000,000		10,786,953
4.28%	01/09/281,3		24,630,000		27,127,921
4.55%	04/17/263		2,715,000		3,039,506
Discover Bank
(BKNT)
2.70%	02/06/30		10,000,000		10,078,992
3.20%	08/09/21		5,860,000		5,904,638
4.20%	08/08/23		15,255,000		16,483,315
Fifth Third Bancorp
2.55%	05/05/27		75,000		78,111
Global Bank Corp.
(Panama)
5.25%	04/16/291,3,4		2,400,000		2,508,000
Grupo Aval Ltd.
(Cayman Islands)
4.38%	02/04/301,3		1,175,000		1,188,559
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		21,085,000		20,765,443
1.75%	07/24/273,4		34,075,000		47,458,883
2.01%	09/22/283,4		180,117,000		177,104,685
2.63%	11/07/253,4		66,815,000		69,954,314
3.95%	05/18/243,4		4,734,000		5,053,955
4.04%	03/13/283,4		20,000,000		21,950,396
4.58%	06/19/293,4		10,000,000		11,258,810
JPMorgan Chase & Co.
2.01%	03/13/264		103,935,000		106,862,697
2.18%	06/01/284		1,290,000		1,304,940
3.20%	06/15/26		1,765,000		1,909,351
3.21%	04/01/234		7,510,000		7,714,943
4.02%	12/05/244		205,535,000		223,074,767
4.20%	07/23/294		8,345,000		9,449,567
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,4		31,375,000		31,194,383
2.86%	03/17/233,4		10,835,000		11,066,006
2.91%	11/07/233,4		136,630,000		141,518,676
3.87%	07/09/253,4		7,745,000		8,435,089
3.90%	03/12/243		27,591,000		29,979,084

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 146

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
4.05%		08/16/233	$	29,990,000	$	32,368,384
Macquarie Group Ltd.
(Australia)
1.34%		01/12/271,3,4		31,770,000		31,194,816
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/253,4		171,185,000		171,376,438
1.53%		08/21/263,4		37,259,000		36,976,787
3.37%		01/05/243,4		72,705,000		76,023,183
4.80%		11/15/243,4		114,250,000		125,798,443
Santander UK PLC
(United Kingdom)
5.00%		11/07/231,3		60,000		65,764
Wells Fargo & Co.
3.07%		04/30/414		117,700,000		115,665,242
Wells Fargo & Co.
(MTN)
2.16%		02/11/264		84,665,000		87,389,429
2.39%		06/02/284		142,391,000		146,019,067
2.88%		10/30/304		167,798,000		173,042,632
4.15%		01/24/29		16,758,000		18,903,589
5.01%		04/04/514		87,489,000		112,389,071
						2,592,940,334
Communications — 3.99%
AT&T, Inc.
2.55%		12/01/331		114,000		108,292
3.50%		09/15/531		41,103,000		38,055,974
3.80%		12/01/571		273,699,000		260,741,131
4.30%		12/15/42		30,960,000		34,012,806
4.50%		05/15/35		48,155,000		54,513,586
4.75%		05/15/46		151,527,000		174,730,868
4.85%		03/01/39		4,620,000		5,378,533
5.25%		03/01/37		150,594,000		182,178,590
(LIBOR USD 3-Month plus 1.18%)
1.36%		06/12/242		50,000		51,090
C&W Senior Financing DAC
(Ireland)
6.88%		09/15/271,3		3,150,000		3,370,500
Cable One, Inc.
4.00%		11/15/301		16,432,000		16,241,882
CCO Holdings LLC/CCO Holdings Capital Corp.
4.25%		02/01/311		56,199,000		56,245,364
4.50%		08/15/301		68,186,000		69,750,869
4.75%		03/01/301		6,192,000		6,424,200
5.38%		06/01/291		18,207,000		19,547,763
Charter Communications Operating LLC/Charter
Communications Operating Capital
3.75%		02/15/28		100,000		108,447
4.80%		03/01/50		15,318,000		16,669,660
5.38%		04/01/38		2,030,000		2,415,823
5.38%		05/01/47		95,317,000		110,838,164
5.75%		04/01/48		26,342,000		32,163,845
CSC Holdings LLC
3.38%		02/15/311		7,038,000		6,642,312
5.38%		02/01/281		621,000		654,379

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
5.50%	04/15/271	$	3,945,000	$	4,146,045
6.75%	11/15/21		4,216,000		4,334,575
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%	08/15/261		28,766,000		20,775,106
Frontier Communications Corp.
5.00%	05/01/281		6,605,000		6,729,869
Intelsat Jackson Holdings SA
(Luxembourg)
5.50%	08/01/233,7,8		33,006,000		20,298,690
8.50%	10/15/241,3,7,8		118,259,000		75,168,377
9.75%	07/15/251,3,7,8		45,708,000		28,677,221
Level 3 Financing, Inc.
3.63%	01/15/291		27,865,000		27,070,140
3.88%	11/15/291		67,121,000		70,884,139
4.25%	07/01/281		22,250,000		22,523,452
4.63%	09/15/271		33,755,000		34,800,224
Lumen Technologies, Inc.
4.00%	02/15/271		15,364,000		15,713,410
Qwest Corp.
7.25%	09/15/25		9,409,000		11,043,814
SES GLOBAL Americas Holdings GP
5.30%	03/25/441		51,100,000		57,619,206
SES SA
(Luxembourg)
3.60%	04/04/231,3		16,882,000		17,776,459
Sinclair Television Group, Inc.
4.13%	12/01/301		6,088,000		5,878,725
Sirius XM Radio, Inc.
3.88%	08/01/221		1,910,000		1,921,937
Sprint Corp.
7.88%	09/15/23		12,820,000		14,669,285
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%	09/20/211		21,535,500		21,750,855
4.74%	03/20/251		109,491,000		117,574,173
5.15%	03/20/281		299,325,000		341,978,813
TEGNA, Inc.
5.50%	09/15/241		148,000		150,637
Time Warner Cable LLC
4.50%	09/15/42		18,977,000		20,310,740
5.50%	09/01/41		30,584,000		36,313,458
T-Mobile USA, Inc.
2.25%	02/15/26		3,845,000		3,855,887
2.55%	02/15/311		38,653,000		37,916,274
2.63%	04/15/26		109,831,000		111,554,096
3.50%	04/15/251		32,711,000		35,413,910
3.75%	04/15/271		7,651,000		8,362,061
3.88%	04/15/301		209,012,000		227,114,529
4.38%	04/15/401		6,315,000		7,022,659
4.50%	02/01/26		3,639,000		3,732,249
4.50%	04/15/501		5,000,000		5,620,700
4.75%	02/01/28		16,028,000		17,148,357
6.00%	03/01/23		48,736,000		49,101,520
6.00%	04/15/24		54,708,000		55,186,695
Verizon Communications, Inc.
2.10%	03/22/28		22,160,000		22,241,859

See accompanying Notes to Financial Statements.

147 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
2.55%	03/21/31	$	114,750,000	$	114,661,975
3.55%	03/22/51		7,680,000		7,682,677
4.40%	11/01/34		9,800,000		11,234,332
ViacomCBS, Inc.
3.45%	10/04/26		2,913,000		3,101,570
4.20%	05/19/32		48,485,000		54,279,666
5.85%	09/01/43		11,842,000		15,176,049
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%	08/15/301,3		70,910,000		71,679,152
5.50%	08/15/261,3		19,102,000		19,856,147
5.50%	05/15/291,3		71,116,000		75,584,930
Vmed O2 UK Financing I PLC
(United Kingdom)
4.25%	01/31/311,3		11,534,000		11,241,035
Vodafone Group PLC
(United Kingdom)
4.88%	06/19/493		154,972,500		184,437,778
5.25%	05/30/483		67,026,500		83,876,967
Walt Disney Co. (The)
2.65%	01/13/31		48,892,000		49,969,284
3.50%	05/13/40		50,500,000		53,508,638
4.63%	03/23/40		46,500,000		56,735,745
					3,466,250,169
Consumer Discretionary — 0.96%
Altria Group, Inc.
3.70%	02/04/51		995,000		908,899
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.70%	02/01/36		13,275,000		15,593,584
4.90%	02/01/46		62,554,000		74,892,749
Anheuser-Busch InBev Worldwide, Inc.
4.35%	06/01/40		46,730,000		52,971,573
4.38%	04/15/38		2,780,000		3,163,666
4.60%	04/15/48		29,578,000		33,950,057
4.60%	06/01/60		63,922,000		72,595,388
5.45%	01/23/39		2,000,000		2,503,107
Bacardi Ltd.
(Bermuda)
5.15%	05/15/381,3		12,881,000		15,430,013
5.30%	05/15/481,3		39,836,000		49,102,995
BAT Capital Corp.
2.73%	03/25/31		25,230,000		24,545,058
3.56%	08/15/27		30,503,000		32,482,013
3.98%	09/25/50		13,755,000		12,923,322
4.39%	08/15/37		66,445,000		69,742,487
4.54%	08/15/47		118,090,000		119,083,958
4.76%	09/06/49		20,502,000		21,127,034
5.28%	04/02/50		5,356,000		5,903,572
BAT International Finance PLC
(EMTN)
(United Kingdom)
2.25%	09/09/523		11,770,000		11,902,937

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/241,3	$	13,985,000	$	14,799,491
3.50%		02/11/231,3		4,800,000		4,998,921
3.50%		07/26/261,3		20,350,000		21,757,966
4.25%		07/21/251,3		9,808,000		10,796,798
Imperial Brands Finance PLC
(EMTN)
(United Kingdom)
8.13%		03/15/243		1,758,000		2,908,319
Reynolds American, Inc.
5.70%		08/15/35		34,320,000		40,726,267
5.85%		08/15/45		96,522,000		113,532,814
Spectrum Brands, Inc.
3.88%		03/15/311		8,675,000		8,500,330
						836,843,318
Electric — 0.66%
AEP Transmission Co. LLC,
Series M
3.65%		04/01/50		1,460,000		1,555,630
Alliant Energy Finance LLC
3.75%		06/15/231		31,081,000		33,133,425
American Electric Power Co., Inc.,
Series F
2.95%		12/15/22		4,511,000		4,664,807
American Electric Power Co., Inc.,
Series J
4.30%		12/01/28		8,480,000		9,541,884
Appalachian Power Co.
4.45%		06/01/45		100,000		112,505
Appalachian Power Co.,
Series Z
3.70%		05/01/50		9,450,000		9,634,280
Black Hills Corp.
4.35%		05/01/33		1,285,000		1,443,914
Cleco Power LLC
6.00%		12/01/40		1,545,000		1,971,903
Consolidated Edison Co. of New York, Inc.
3.70%		11/15/59		4,740,000		4,761,722
Consolidated Edison Co. of New York, Inc.,
Series 20B
3.95%		04/01/50		1,515,000		1,645,804
Consolidated Edison Co. of New York, Inc.,
Series C
3.00%		12/01/60		1,854,000		1,625,401
Consolidated Edison Co. of New York, Inc.,
Series E
4.65%		12/01/48		14,546,000		17,293,007
Duke Energy Carolinas LLC
4.00%		09/30/42		11,040,000		12,365,973
4.25%		12/15/41		18,683,000		21,377,291
Empresas Publicas de Medellin ESP,
Series REGS
(Colombia)
4.38%		02/15/313		1,000,000		1,007,000

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 148

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Evergy Missouri West, Inc.
8.27%		11/15/21	$	75,000	$	78,316
Evergy, Inc.
4.85%		06/01/21		2,521,000		2,521,000
FirstEnergy Corp.
2.65%		03/01/30		6,225,000		5,928,907
FirstEnergy Corp.,
Series C
3.40%		03/01/50		31,804,000		27,974,969
FirstEnergy Transmission LLC
2.87%		09/15/281		36,945,000		37,305,354
4.35%		01/15/251		23,330,000		25,432,257
4.55%		04/01/491		13,175,000		13,994,847
5.45%		07/15/441		24,625,000		28,848,276
Florida Power & Light Co.
3.70%		12/01/47		1,340,000		1,449,350
Jersey Central Power & Light Co.
4.30%		01/15/261		6,945,000		7,598,917
4.70%		04/01/241		49,765,000		54,164,398
6.40%		05/15/36		11,630,000		14,479,866
LG&E & KU Energy LLC
4.38%		10/01/21		14,595,000		14,713,514
Metropolitan Edison Co.
3.50%		03/15/231		10,715,000		11,146,428
4.00%		04/15/251		35,719,000		37,943,004
4.30%		01/15/291		16,746,000		18,458,846
Minejesa Capital BV
(Netherlands)
5.63%		08/10/371,3		4,400,000		4,620,000
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%		05/07/293		13,350,000		13,429,266
Narragansett Electric Co. (The)
3.40%		04/09/301		6,655,000		7,091,955
Pennsylvania Electric Co.
3.25%		03/15/281		125,000		128,560
4.15%		04/15/251		28,335,000		30,270,931
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara,
Series REGS (EMTN)
(Indonesia)
6.15%		05/21/483		8,400,000		10,242,498
Public Service Co. of New Mexico
3.85%		08/01/25		14,390,000		15,477,140
5.35%		10/01/21		5,065,000		5,126,094
Southwestern Electric Power Co.
3.55%		02/15/22		15,882,000		16,181,238
Southwestern Electric Power Co.,
Series K
2.75%		10/01/26		36,488,000		38,427,854
Tucson Electric Power Co.
4.85%		12/01/48		8,755,000		10,640,568
						575,808,899

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy — 2.27%
Antero Resources Corp.
5.00%		03/01/25	$	2,404,000	$	2,409,457
7.63%		02/01/291		3,775,000		4,020,195
8.38%		07/15/261		5,607,000		6,195,735
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%		01/30/261		2,377,000		2,472,793
5.75%		01/30/281		2,109,000		2,230,942
Energy Transfer Operating LP
3.75%		05/15/30		34,900,000		36,078,200
4.20%		04/15/27		17,685,000		19,297,486
4.90%		03/15/35		5,160,000		5,483,528
4.95%		06/15/28		11,678,000		13,076,138
5.00%		05/15/50		29,535,000		30,666,352
5.15%		03/15/45		81,000,000		83,854,128
5.30%		04/15/47		6,591,000		6,980,854
5.50%		06/01/27		52,203,000		60,278,978
6.13%		12/15/45		16,239,000		18,636,272
Exxon Mobil Corp.
3.45%		04/15/51		7,866,000		7,958,197
3.57%		03/06/45		1,433,000		1,464,427
4.11%		03/01/46		2,129,000		2,353,527
4.23%		03/19/40		96,653,000		108,877,594
4.33%		03/19/50		86,745,000		99,736,290
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/341,3		10,313,000		10,016,486
Hess Corp.
4.30%		04/01/27		15,205,000		16,611,767
5.60%		02/15/41		59,361,000		68,620,668
6.00%		01/15/40		5,095,000		6,064,382
HollyFrontier Corp.
5.88%		04/01/26		15,800,000		17,887,630
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%		04/14/331,3		1,800,000		1,847,340
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%		04/14/333		6,100,000		6,260,430
5.75%		04/19/473		15,807,000		18,797,842
Kinder Morgan Energy Partners LP
4.70%		11/01/42		5,000,000		5,399,148
5.00%		08/15/42		5,775,000		6,518,136
5.40%		09/01/44		5,000,000		5,867,125
5.80%		03/15/35		9,835,000		12,045,562
Kinder Morgan, Inc.
5.30%		12/01/34		13,970,000		16,514,645
5.55%		06/01/45		15,316,000		18,436,002
6.95%		06/01/28		5,465,000		6,670,169
Kinder Morgan, Inc.
(GMTN)
7.80%		08/01/31		150,000		208,429
NGPL Pipe Co. LLC
4.38%		08/15/221		22,454,000		23,313,672
Occidental Petroleum Corp.
4.40%		08/15/49		7,000,000		5,853,890

See accompanying Notes to Financial Statements.

149 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
4.50%	07/15/44	$	16,521,000	$	14,092,098
Pertamina Persero PT
(Indonesia)
3.10%	08/27/301,3		44,071,000		44,475,879
Petrobras Global Finance BV
(Netherlands)
5.09%	01/15/303		25,818,000		26,837,811
Petroleos del Peru SA,
Series REGS
(Peru)
4.75%	06/19/323		21,996,000		23,237,234
Petroleos Mexicanos
(Mexico)
5.95%	01/28/313		11,085,000		10,628,298
6.50%	01/23/293		80,000		80,955
6.63%	06/15/353		47,662,000		45,414,498
6.75%	09/21/473		148,565,000		126,616,007
6.95%	01/28/603		34,555,000		29,652,509
7.69%	01/23/503		112,817,000		104,581,359
Petronas Capital Ltd.
(Malaysia)
3.50%	04/21/301,3		25,277,000		27,091,889
Plains All American Pipeline LP/PAA Finance Corp.
3.55%	12/15/29		31,332,000		31,436,381
3.80%	09/15/30		5,000,000		5,098,030
4.50%	12/15/26		5,091,000		5,597,454
4.65%	10/15/25		50,090,000		55,188,411
Rockies Express Pipeline LLC
4.80%	05/15/301		5,125,000		5,076,953
4.95%	07/15/291		84,805,000		86,800,118
6.88%	04/15/401		44,867,000		48,680,695
Ruby Pipeline LLC
8.00%	04/01/221,5,6		59,594,000		49,915,934
Sabine Pass Liquefaction LLC
5.00%	03/15/27		9,915,000		11,309,779
5.63%	03/01/25		2,940,000		3,365,557
5.75%	05/15/24		6,616,000		7,481,083
Saudi Arabian Oil Co.,
Series REGS (EMTN)
(Saudi Arabia)
4.25%	04/16/393		5,663,000		6,120,827
Shell International Finance BV
(Netherlands)
4.00%	05/10/463		13,253,000		14,609,919
4.38%	05/11/453		11,450,000		13,347,964
Southern Co. Gas Capital Corp.
4.40%	05/30/47		50,000		55,472
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%	03/24/263		27,592,000		32,682,724
Sunoco Logistics Partners Operations LP
3.90%	07/15/26		18,019,000		19,368,430
4.00%	10/01/27		12,583,000		13,539,772
5.30%	04/01/44		6,630,000		6,998,571
5.35%	05/15/45		4,421,000		4,673,141

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
5.40%	10/01/47	$	119,561,000	$	128,254,655
TC PipeLines LP
4.38%	03/13/25		8,000,000		8,862,480
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		28,675,000		28,890,063
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%	10/15/241,3		18,728,400		18,213,369
Transocean Pontus Ltd.
(Cayman Islands)
6.13%	08/01/251,3		17,737,850		16,795,527
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/271,3		31,359,000		29,044,235
Transocean Proteus Ltd.
(Cayman Islands)
6.25%	12/01/241,3		17,928,000		17,076,420
USA Compression Partners LP/USA Compression Finance Corp.
6.88%	04/01/26		22,772,000		23,398,230
6.88%	09/01/27		18,450,000		19,034,681
Williams Cos., Inc. (The)
5.40%	03/04/44		5,000,000		5,818,856
6.30%	04/15/40		34,760,000		44,735,766
					1,973,184,450
Entertainment — 0.02%
Live Nation Entertainment, Inc.
4.75%	10/15/271		6,140,000		6,195,659
5.63%	03/15/261		14,000,000		14,548,963
					20,744,622
Finance — 3.22%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.30%	01/23/233		16,075,000		16,664,111
3.50%	05/26/223		24,610,000		25,265,742
3.65%	07/21/273		16,845,000		17,690,285
3.88%	01/23/283		5,015,000		5,240,557
3.95%	02/01/223		103,630,000		106,052,356
4.13%	07/03/233		2,815,000		2,987,553
4.45%	12/16/213		20,560,000		21,036,111
4.63%	07/01/223		3,030,000		3,164,609
4.88%	01/16/243		36,460,000		39,712,958
Air Lease Corp.
2.25%	01/15/23		18,850,000		19,356,829
3.00%	09/15/23		28,655,000		29,952,431
3.25%	03/01/25		19,930,000		20,977,480
3.25%	10/01/29		5,000,000		5,031,477
3.50%	01/15/22		48,195,000		49,289,325
3.75%	02/01/22		26,209,000		26,761,751
4.25%	09/15/24		5,554,000		6,042,197
4.63%	10/01/28		2,000,000		2,202,692
Air Lease Corp.
(MTN)
2.30%	02/01/25		41,695,000		42,625,676

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 150

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
3.00%		02/01/30	$	2,000,000	$	1,961,619
4.25%		02/01/24		5,000,000		5,426,252
Alta Wind Holdings LLC
7.00%		06/30/351,5,6		3,938,020		4,502,620
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%		02/15/251,3		43,160,000		43,281,161
3.63%		05/01/221,3		15,545,000		15,855,121
3.95%		07/01/241,3		35,499,000		37,133,130
5.13%		10/01/231,3		68,891,000		73,497,670
5.25%		05/15/241,3		22,545,000		24,385,897
5.50%		01/15/231,3		14,689,000		15,594,046
Citigroup, Inc.
1.12%		01/28/274		2,423,000		2,371,211
2.57%		06/03/314		20,955,000		20,955,615
2.67%		01/29/314		20,000,000		20,150,515
3.20%		10/21/26		15,592,000		16,767,109
3.67%		07/24/284		5,220,000		5,714,648
Daimler Finance North America LLC
3.75%		11/05/211		5,103,000		5,204,402
(LIBOR USD 3-Month plus 0.90%)
1.09%		02/15/221,2		54,915,000		55,290,036
Discover Financial Services
3.85%		11/21/22		8,794,000		9,245,375
Ford Motor Credit Co. LLC
3.22%		01/09/22		107,389,000		108,833,382
3.34%		03/28/22		48,646,000		49,315,372
3.47%		04/05/21		23,000,000		23,000,000
4.25%		09/20/22		19,823,000		20,537,421
5.60%		01/07/22		24,123,000		24,842,589
5.88%		08/02/21		21,050,000		21,359,435
(LIBOR USD 3-Month plus 0.81%)
1.05%		04/05/212		13,740,000		13,740,000
(LIBOR USD 3-Month plus 0.88%)
1.10%		10/12/212		58,605,000		58,328,086
(LIBOR USD 3-Month plus 1.08%)
1.28%		08/03/222		11,865,000		11,746,350
(LIBOR USD 3-Month plus 1.27%)
1.46%		03/28/222		77,615,000		77,121,522
(LIBOR USD 3-Month plus 3.14%)
3.38%		01/07/222		12,075,000		12,220,252
GE Capital Funding LLC
4.40%		05/15/301		59,925,000		67,894,706
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/353		391,382,000		448,455,535
General Motors Financial Co., Inc.
3.15%		06/30/22		11,161,000		11,473,275
3.20%		07/06/21		31,220,000		31,356,623
3.45%		04/10/22		24,235,000		24,824,782
3.55%		04/09/21		65,795,000		65,818,263
4.20%		11/06/21		132,055,000		134,939,132
4.38%		09/25/21		91,205,000		92,902,449
(LIBOR USD 3-Month plus 0.85%)
1.07%		04/09/212		10,000,000		9,928,020

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc. (The)
1.43%		03/09/274	$	114,075,000	$	113,041,750
2.91%		06/05/234		4,605,000		4,727,081
3.27%		09/29/254		120,490,000		129,126,681
3.69%		06/05/284		6,397,000		6,987,581
3.85%		01/26/27		140,000		153,642
Goldman Sachs Group, Inc. (The),
Series FXD
0.48%		01/27/23		14,350,000		14,335,363
Intercontinental Exchange, Inc.
1.85%		09/15/32		1,080,000		990,025
JPMorgan Chase & Co.
2.08%		04/22/264		32,845,000		33,771,924
Nationwide Building Society
(United Kingdom)
3.62%		04/26/231,3,4		11,735,000		12,108,146
3.77%		03/08/241,3,4		51,430,000		54,356,960
4.36%		08/01/241,3,4		104,478,000		112,863,168
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/231,3		10,746,000		11,227,924
5.50%		02/15/241,3		96,095,000		104,526,307
Pipeline Funding Co. LLC
7.50%		01/15/301		22,556,032		28,258,975
Raymond James Financial, Inc.
4.95%		07/15/46		51,716,000		63,350,173
						2,795,853,461
Food — 0.42%
JBS USA LLC/JBS USA Finance, Inc.
(Canada)
6.75%		02/15/281,3		2,000,000		2,195,000
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.50%		01/15/301,3		3,000,000		3,326,250
6.50%		04/15/291,3		3,000,000		3,394,648
Kraft Heinz Foods Co.
3.00%		06/01/26		4,173,000		4,401,671
3.75%		04/01/30		79,250,000		84,509,032
4.25%		03/01/31		17,850,000		19,675,283
4.38%		06/01/46		3,582,000		3,760,001
4.63%		01/30/29		2,000,000		2,247,998
5.00%		07/15/35		34,302,000		39,651,397
5.00%		06/04/42		45,154,000		50,885,064
5.20%		07/15/45		23,261,000		26,960,584
6.50%		02/09/40		6,240,000		8,168,254
6.75%		03/15/32		3,475,000		4,537,732
6.88%		01/26/39		2,639,000		3,654,487
Pilgrim’s Pride Corp.
4.25%		04/15/311		13,780,000		13,741,221
5.88%		09/30/271		4,269,000		4,580,049
Post Holdings, Inc.
4.50%		09/15/311		12,870,000		12,772,832
4.63%		04/15/301		46,710,000		46,885,162
5.50%		12/15/291		12,748,000		13,666,812

See accompanying Notes to Financial Statements.

151 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Food (continued)
5.63%		01/15/281	$	10,230,000	$	10,789,888
5.75%		03/01/271		2,991,000		3,145,186
						362,948,551
Gaming — 0.04%
Caesars Entertainment, Inc.
6.25%		07/01/251		19,342,000		20,643,137
Caesars Resort Collection LLC/CRC Finco, Inc.
5.75%		07/01/251		7,000,000		7,395,850
Churchill Downs, Inc.
4.75%		01/15/281		5,550,000		5,752,853
MGM Resorts International
6.00%		03/15/23		30,000		32,179
						33,824,019
Health Care — 2.70%
AbbVie, Inc.
3.20%		11/21/29		8,097,000		8,619,708
3.80%		03/15/25		26,713,000		29,199,127
4.05%		11/21/39		2,025,000		2,260,595
4.25%		11/21/49		47,988,000		54,389,779
4.40%		11/06/42		93,376,000		108,451,249
4.45%		05/14/46		15,404,000		17,844,138
4.50%		05/14/35		18,713,000		21,995,474
Aetna, Inc.
4.13%		11/15/42		6,375,000		6,980,603
Amgen, Inc.
4.40%		05/01/45		1,260,000		1,463,270
Bausch Health Americas, Inc.
9.25%		04/01/261		2,722,000		3,019,515
Bausch Health Cos., Inc.
(Canada)
7.00%		03/15/241,3		37,526,000		38,426,624
Bayer U.S. Finance II LLC
3.95%		04/15/451		10,790,000		11,085,741
4.25%		12/15/251		19,992,000		22,266,896
4.38%		12/15/281		118,100,000		133,473,415
4.40%		07/15/441		59,691,000		65,812,539
4.63%		06/25/381		36,299,000		41,847,137
4.88%		06/25/481		93,846,000		112,565,022
5.50%		08/15/251		13,932,000		15,778,507
5.50%		07/30/351		3,820,000		4,574,384
Bayer U.S. Finance LLC
3.38%		10/08/241		2,055,000		2,216,413
Becton Dickinson and Co.
2.82%		05/20/30		14,175,000		14,581,157
3.30%		03/01/23		10,000,000		10,428,173
3.36%		06/06/24		2,235,000		2,397,571
Catalent Pharma Solutions, Inc.
5.00%		07/15/271		13,935,000		14,620,463
Centene Corp.
3.00%		10/15/30		132,991,000		132,936,474
4.25%		12/15/27		75,412,000		79,418,360
5.38%		06/01/261		1,000,000		1,049,450
Cigna Corp.
3.20%		03/15/40		4,157,000		4,171,539

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
3.88%		10/15/47	$	32,722,000	$	35,060,910
4.50%		02/25/26		6,097,000		6,945,705
4.80%		08/15/38		35,478,000		42,479,886
4.80%		07/15/46		38,613,000		46,385,192
CommonSpirit Health
2.76%		10/01/24		11,198,000		11,888,347
2.78%		10/01/30		17,835,000		18,191,794
3.35%		10/01/29		37,085,000		39,664,945
4.35%		11/01/42		2,860,000		3,174,232
CVS Health Corp.
4.78%		03/25/38		23,581,000		27,879,372
4.88%		07/20/35		22,450,000		26,692,603
5.05%		03/25/48		123,050,000		151,183,130
5.13%		07/20/45		110,220,000		135,135,897
Elanco Animal Health, Inc.
4.91%		08/27/21		20,850,000		21,071,531
5.27%		08/28/23		37,890,000		40,850,156
5.90%		08/28/28		12,539,000		14,255,276
Encompass Health Corp.
4.50%		02/01/28		2,950,000		3,027,438
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/221		8,964,000		9,329,391
Hackensack Meridian Health, Inc.,
Series 2020
2.68%		09/01/41		25,000,000		23,356,229
HCA, Inc.
4.13%		06/15/29		10,936,000		12,122,177
4.50%		02/15/27		2,431,000		2,728,642
4.75%		05/01/23		8,906,000		9,602,133
5.00%		03/15/24		70,701,000		78,790,961
5.13%		06/15/39		65,000		78,209
5.25%		04/15/25		7,749,000		8,855,156
5.25%		06/15/26		37,878,000		43,624,141
5.25%		06/15/49		189,251,000		232,131,289
5.50%		06/15/47		34,281,000		43,061,735
Hologic, Inc.
3.25%		02/15/291		10,792,000		10,677,335
Humana, Inc.
3.13%		08/15/29		19,729,000		20,600,880
Molina Healthcare, Inc.
3.88%		11/15/301		46,518,000		47,907,669
4.38%		06/15/281		28,929,000		29,812,645
5.38%		11/15/22		16,345,000		17,169,033
NYU Langone Hospitals,
Series 2020
3.38%		07/01/55		4,300,000		4,217,838
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/231,3		11,885,000		11,873,987
1.75%		09/02/271,3		16,295,000		15,909,167
Teleflex, Inc.
4.25%		06/01/281		75,000		77,812
Tenet Healthcare Corp.
4.63%		09/01/241		37,212,000		38,361,723
4.63%		06/15/281		10,872,000		11,157,172
4.88%		01/01/261		4,522,000		4,707,402

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 152

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.13%		11/01/271	$	24,999,000	$	26,203,952
UnitedHealth Group, Inc.
3.88%		08/15/59		10,320,000		11,570,803
4.25%		04/15/47		13,825,000		16,308,879
4.25%		06/15/48		21,000,000		25,045,645
4.75%		07/15/45		3,910,000		4,910,545
						2,345,952,287
Industrials — 0.78%
Amcor Finance USA, Inc.
3.63%		04/28/26		11,781,000		12,893,609
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Ireland)
4.13%		08/15/261,3		7,959,000		8,190,209
Ball Corp.
4.00%		11/15/23		9,532,000		10,163,495
Berry Global, Inc.
1.57%		01/15/261		63,580,000		62,648,019
4.88%		07/15/261		48,410,000		51,275,872
Boeing Co. (The)
1.17%		02/04/23		12,010,000		12,064,260
1.43%		02/04/24		174,540,000		174,863,486
General Electric Co.
4.13%		10/09/42		6,416,000		6,894,609
4.25%		05/01/40		17,785,000		19,546,593
General Electric Co.
(GMTN)
6.88%		01/10/39		4,273,000		6,019,747
General Electric Co.
(MTN)
5.88%		01/14/38		102,907,000		132,086,378
(LIBOR USD 3-Month plus 0.38%)
0.58%		05/05/262		9,790,000		9,538,555
(LIBOR USD 3-Month plus 0.48%)
0.67%		08/15/362		11,550,000		9,358,614
General Electric Co.,
Series A (MTN)
6.75%		03/15/32		33,228,000		44,559,539
General Electric Co.,
Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
1.24%		04/15/232		10,789,000		10,881,666
Graphic Packaging International LLC
3.50%		03/15/281		2,540,000		2,534,384
4.13%		08/15/24		1,325,000		1,410,986
4.75%		07/15/271		6,346,000		6,925,073
4.88%		11/15/22		5,665,000		5,939,837
Heathrow Funding Ltd.
(United Kingdom)
5.23%		02/15/231,3		2,697,000		4,009,279
L3Harris Technologies, Inc.
3.95%		05/28/24		12,890,000		13,994,505
Mauser Packaging Solutions Holding Co.
5.50%		04/15/241		2,344,000		2,379,160

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
OI European Group BV
(Netherlands)
4.00%	03/15/231,3	$	3,364,000	$	3,458,612
PowerTeam Services LLC
9.03%	12/04/251		9,305,000		10,270,885
Sealed Air Corp.
4.00%	12/01/271		6,930,000		7,120,575
4.88%	12/01/221		6,050,000		6,311,264
5.13%	12/01/241		3,255,000		3,533,709
5.25%	04/01/231		3,800,000		4,037,101
5.50%	09/15/251		9,161,000		10,045,553
Trivium Packaging Finance BV
(Netherlands)
5.50%	08/15/261,3		28,140,000		29,591,522
					682,547,096
Information Technology — 0.41%
Broadcom, Inc.
3.63%	10/15/24		23,465,000		25,538,944
Fiserv, Inc.
3.20%	07/01/26		15,905,000		17,144,893
Intel Corp.
3.73%	12/08/47		590,000		637,168
4.60%	03/25/40		17,760,000		21,489,346
IQVIA, Inc.
5.00%	05/15/271		4,072,000		4,307,199
Oracle Corp.
1.65%	03/25/26		14,440,000		14,546,687
2.30%	03/25/28		70,000,000		70,864,126
2.88%	03/25/31		77,575,000		79,009,559
3.60%	04/01/40		25,000,000		25,158,616
3.60%	04/01/50		29,020,000		28,158,066
3.65%	03/25/41		69,940,000		70,844,657
SS&C Technologies, Inc.
5.50%	09/30/271		3,053,000		3,255,414
					360,954,675
Insurance — 0.54%
Farmers Exchange Capital
7.05%	07/15/281		13,283,000		15,935,480
7.20%	07/15/481		18,415,000		24,724,823
Farmers Exchange Capital II
6.15%	11/01/531,4		48,520,000		61,549,988
Farmers Exchange Capital III
5.45%	10/15/541,4		64,140,000		78,088,802
Farmers Insurance Exchange
4.75%	11/01/571,4		18,570,000		19,442,036
Massachusetts Mutual Life Insurance Co.
3.38%	04/15/501		2,805,000		2,774,822
Nationwide Mutual Insurance Co.
2.47%	12/15/241,4		35,439,000		35,419,558
New York Life Insurance Co.
3.75%	05/15/501		47,125,000		50,002,513
Teachers Insurance & Annuity Association of America
3.30%	05/15/501		145,045,000		141,389,476
4.27%	05/15/471		13,496,000		15,218,032

See accompanying Notes to Financial Statements.

153 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
4.38%	09/15/541,4	$	19,950,000	$	21,215,272
					465,760,802
Materials — 0.26%
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
3.15%	01/14/303		30,738,000		32,032,070
Indonesia Asahan Aluminium Persero PT
(Indonesia)
6.53%	11/15/281,3		9,000,000		10,858,275
Indonesia Asahan Aluminium Persero PT,
Series REGS
(Indonesia)
6.53%	11/15/283		2,067,000		2,493,784
6.76%	11/15/483		13,119,000		16,337,090
International Flavors & Fragrances, Inc.
5.00%	09/26/48		116,549,000		144,009,096
Nutrition & Biosciences, Inc.
2.30%	11/01/301		5,950,000		5,772,279
3.27%	11/15/401		15,000,000		14,812,702
					226,315,296
Real Estate Investment Trust (REIT) — 1.02%
American Campus Communities Operating Partnership LP
3.30%	07/15/26		21,300,000		22,914,151
3.63%	11/15/27		7,095,000		7,749,396
3.75%	04/15/23		45,679,000		48,317,515
3.88%	01/30/31		9,260,000		9,994,028
4.13%	07/01/24		4,095,000		4,481,679
Boston Properties LP
3.25%	01/30/31		42,590,000		44,135,318
CyrusOne LP/CyrusOne Finance Corp.
2.15%	11/01/30		7,265,000		6,731,749
2.90%	11/15/24		86,883,000		91,956,533
3.45%	11/15/29		7,045,000		7,264,018
Federal Realty Investment Trust
7.48%	08/15/26		18,825,000		23,677,616
GLP Capital LP/GLP Financing II, Inc.
3.35%	09/01/24		33,037,000		35,067,123
4.00%	01/15/30		30,000		31,227
5.25%	06/01/25		72,507,000		81,435,512
5.30%	01/15/29		34,755,000		39,094,162
5.38%	11/01/23		36,796,000		40,280,024
5.38%	04/15/26		98,421,000		110,696,559
5.75%	06/01/28		34,128,000		39,468,179
Healthcare Realty Trust, Inc.
2.05%	03/15/31		5,590,000		5,253,879
3.88%	05/01/25		20,446,000		22,193,713
Healthcare Trust of America Holdings LP
2.00%	03/15/31		17,940,000		16,726,157
3.10%	02/15/30		5,095,000		5,275,256
3.75%	07/01/27		18,945,000		20,995,725
Highwoods Realty LP
3.20%	06/15/21		25,000		25,123

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Hudson Pacific Properties LP
3.95%	11/01/27	$	12,607,000	$	13,530,868
4.65%	04/01/29		9,585,000		10,742,124
Kilroy Realty LP
3.45%	12/15/24		28,590,000		30,611,006
Life Storage LP
3.88%	12/15/27		6,960,000		7,714,955
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.50%	01/15/28		1,322,000		1,371,178
5.63%	05/01/24		10,000		10,753
Mid-America Apartments LP
4.30%	10/15/23		9,636,000		10,420,814
SBA Communications Corp.
4.88%	09/01/24		2,524,000		2,591,820
SL Green Operating Partnership LP
3.25%	10/15/22		49,011,000		50,815,181
(LIBOR USD 3-Month plus 0.98%)
1.17%	08/16/212		21,735,000		21,735,713
SL Green Realty Corp.
4.50%	12/01/22		15,845,000		16,595,423
Ventas Realty LP
3.50%	02/01/25		12,540,000		13,554,179
3.75%	05/01/24		9,705,000		10,480,330
4.00%	03/01/28		2,000,000		2,211,677
WEA Finance LLC
3.15%	04/05/221		6,330,000		6,456,990
Welltower, Inc.
3.75%	03/15/23		175,000		184,867
					882,792,520
Retail — 0.30%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
3.50%	02/15/291,3		40,257,000		39,191,541
7-Eleven, Inc.
0.63%	02/10/231		58,715,000		58,772,015
(LIBOR USD 3-Month plus 0.45%)
0.65%	08/10/221,2		26,990,000		27,019,093
Alimentation Couche-Tard, Inc.
(Canada)
3.55%	07/26/271,3		10,510,000		11,432,382
3.80%	01/25/501,3		54,072,000		54,839,186
Walgreens Boots Alliance, Inc.
3.45%	06/01/26		42,647,000		45,924,986
4.80%	11/18/44		13,354,000		14,784,952
Yum! Brands, Inc.
4.63%	01/31/32		11,110,000		11,356,531
					263,320,686
Services — 0.33%
DP World Crescent Ltd.
(Cayman Islands)
4.85%	09/26/281,3		7,600,000		8,512,000
Gartner, Inc.
3.75%	10/01/301		6,750,000		6,687,428

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 154

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Services (continued)
GFL Environmental, Inc.
(Canada)
3.75%	08/01/251,3	$	10,268,000	$	10,441,272
5.13%	12/15/261,3		3,974,000		4,191,041
IHS Markit Ltd.
(Bermuda)
4.00%	03/01/261,3		41,762,000		46,097,522
4.13%	08/01/233		28,228,000		30,293,584
4.75%	02/15/251,3		35,821,000		40,153,550
4.75%	08/01/283		2,767,000		3,201,184
5.00%	11/01/221,3		83,285,000		87,859,148
Service Corp. International/U.S.
4.63%	12/15/27		1,922,000		2,028,911
Waste Pro USA, Inc.
5.50%	02/15/261		44,027,000		45,200,540
					284,666,180
Transportation — 0.37%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%	04/02/21		1,379,639		1,393,369
American Airlines Pass-Through Trust,
Series 2013-1, Class A
4.00%	07/15/25		12,527,621		11,579,890
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%	10/15/29		17,246,330		17,634,372
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%	04/02/21		461,483		461,483
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22		47,257,917		48,251,132
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%	04/19/22		171,674		171,204
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%	01/02/23		15,128,850		15,620,538
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		87,450,908		87,702,347
Empresa de Transporte de Pasajeros Metro SA
(Chile)
3.65%	05/07/301,3		9,660,000		10,498,198
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%	11/15/32		10,650,000		11,571,017
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%	04/01/22		2,741,402		2,828,574
SMBC Aviation Capital Finance DAC
(Ireland)
3.00%	07/15/221,3		20,315,000		20,817,580

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23	$	13,172,520	$	13,313,354
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23		2,525,940		2,602,337
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		32,353,053		33,485,410
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%	06/03/25		7,894		7,455
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%	08/15/25		12,771,304		13,292,905
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%	03/01/30		30,854,890		32,011,949
					323,243,114
Total Corporates (Cost $17,835,218,549)					18,502,912,070
FOREIGN GOVERNMENT OBLIGATIONS — 0.87%
Foreign Government Obligations — 0.87%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%	09/30/293		38,500,000		39,578,231
Brazilian Government International Bond
(Brazil)
3.88%	06/12/303		22,393,000		21,762,861
Chile Government International Bond
(Chile)
2.45%	01/31/313		2,200,000		2,214,058
2.55%	01/27/323		9,095,000		9,197,137
Colombia Government International Bond
(Colombia)
3.00%	01/30/303		35,959,000		35,284,589
3.13%	04/15/313		14,363,000		14,104,825
5.20%	05/15/493		2,102,000		2,321,459
Croatia Government International Bond,
Series REGS
(Croatia)
6.00%	01/26/243		18,065,000		20,673,947
Dominican Republic International Bond
(Dominican Republic)
4.50%	01/30/301,3		25,047,000		25,257,708
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%	09/23/323		19,530,000		19,862,010
Egypt Government International Bond
(Egypt)
5.58%	02/21/231,3		4,700,000		4,918,080
7.60%	03/01/291,3		3,550,000		3,788,613

See accompanying Notes to Financial Statements.

155 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Indonesia Government International Bond
(Indonesia)
2.85%	02/14/303	$	12,786,000	$	13,044,277
Mexico Government International Bond
(Mexico)
2.66%	05/24/313		98,754,000		94,082,936
3.77%	05/24/613		21,481,000		19,165,348
4.50%	04/22/293		11,767,000		13,068,607
Mexico Government International Bond
(MTN)
(Mexico)
4.75%	03/08/443		8,694,000		9,137,394
Panama Government International Bond
(Panama)
2.25%	09/29/323		11,400,000		10,807,200
3.16%	01/23/303		57,474,000		60,025,846
3.88%	03/17/283		13,200,000		14,460,600
Paraguay Government International Bond
(Paraguay)
4.95%	04/28/311,3		3,477,000		3,946,430
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%	06/23/301,3		17,340,000		17,398,956
Perusahaan Penerbit SBSN Indonesia III,
Series REGS
(Indonesia)
4.15%	03/29/273		5,100,000		5,634,684
Peruvian Government International Bond
(Peru)
1.86%	12/01/323		5,140,000		4,702,072
2.78%	01/23/313		5,450,000		5,470,165
2.84%	06/20/303		28,449,000		28,947,284
4.13%	08/25/273		31,282,000		35,047,102
Philippine Government International Bond
(Philippines)
1.65%	06/10/313		8,405,000		7,960,242
2.46%	05/05/303		4,565,000		4,624,915
Qatar Government International Bond,
Series REGS
(Qatar)
4.50%	04/23/283		30,438,000		35,574,412
4.63%	06/02/463		11,215,000		13,304,355
Republic of South Africa Government International Bond
(South Africa)
4.30%	10/12/283		19,507,000		19,251,458
4.85%	09/30/293		29,185,000		29,411,257
5.75%	09/30/493		8,800,000		8,128,560
Romanian Government International Bond,
Series REGS
(Romania)
3.00%	02/14/313		26,000,000		26,087,945
Saudi Government International Bond
(Saudi Arabia)
2.75%	02/03/321,3		3,080,000		3,087,731
3.75%	01/21/551,3		4,255,000		4,188,516

Issues	Maturity Date	Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%	10/22/303	$	19,590,000	$	20,630,719
3.63%	03/04/283		24,942,000		27,154,230
4.50%	10/26/463		8,741,000		9,649,190
Uruguay Government International Bond
(Uruguay)
4.38%	01/23/313		10,570,000		12,289,263
Total Foreign Government Obligations (Cost $758,293,063)					755,245,212
MORTGAGE-BACKED — 43.20%**
Non-Agency Commercial Mortgage-Backed — 1.33%
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%	08/10/381,4		122,930,000		138,163,601
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2018-TALL, Class C
(LIBOR USD 1-Month plus 1.12%)
1.23%	03/15/371,2		18,000,000		17,627,854
Bayview Commercial Asset Trust,
Series 2004-1, Class A
(LIBOR USD 1-Month plus 0.54%)
0.65%	04/25/341,2		19,186		19,193
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
0.75%	08/25/341,2		184,206		182,345
BB-UBS Trust,
Series 2012-SHOW, Class A
3.43%	11/05/361		8,640,000		9,057,137
Benchmark Mortgage Trust,
Series 2018-B2, Class A5
3.88%	02/15/514		7,085,000		7,895,862
BX Commercial Mortgage Trust,
Series 2018-BIOA, Class E
(LIBOR USD 1-Month plus 1.95%)
2.06%	03/15/371,2		18,054,000		18,083,471
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(LIBOR USD 1-Month plus 0.92%)
1.03%	10/15/361,2		200,435,168		200,793,943
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/411		42,270,000		44,284,833
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/391		80,255,000		89,859,802
CALI Mortgage Trust,
Series 2019-101C, Class XA (IO)
0.30%	03/10/391,4		272,551,000		6,441,947
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%	11/13/391		32,645,000		33,887,815

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 156

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2015-GC31, Class A4
3.76%	06/10/48	$	10,000,000	$	10,971,687
Commercial Mortgage Trust,
Series 2013-CR12, Class A4
4.05%	10/10/46		440,000		473,316
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
1.09%	05/15/361,2		14,000,000		14,017,396
DC Office Trust,
Series 2019-MTC, Class A
2.97%	09/15/451		31,135,000		32,541,595
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class A
3.55%	09/10/351,4		1,362,500		1,471,425
GS Mortgage Securities Corp. Trust,
Series 2019-BOCA, Class A
(LIBOR USD 1-Month plus 1.20%)
1.31%	06/15/381,2		10,000,000		10,018,403
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/391		84,915,000		90,671,541
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/411,4		81,025,000		84,803,066
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2015-JP1, Class A5
3.91%	01/15/49		8,610,000		9,559,342
KKR Industrial Portfolio Trust,
Series 2020-AIP, Class F
(LIBOR USD 1-Month plus 3.43%)
3.54%	03/15/371,2		25,927,492		26,004,998
KNDL Mortgage Trust,
Series 2019-KNSQ, Class E
(LIBOR USD 1-Month plus 1.80%)
1.91%	05/15/361,2		26,449,000		26,457,866
Lehman Brothers Small Balance Commercial Mortgage
Trust,
Series 2007-1A, Class 2A3
5.62%	03/25/371,4		1,178,788		1,216,043
MKT Mortgage Trust,
Series 2020-525M, Class A
2.69%	02/12/401		70,000		71,541
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/541		147,667,000		149,763,665
Queens Center Mortgage Trust,
Series 2013-QCA, Class A
3.28%	01/11/371		15,810,000		16,455,570
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.83%	01/15/321,4		48,830,000		51,009,278
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A1
3.87%	01/05/431,4		56,465,000		56,216,063

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4	$	8,710,000	$	8,416,166
					1,156,436,764
Non-Agency Mortgage-Backed — 6.09%
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 05/25/21)
7.40%	06/25/32		33,112		33,601
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.33%	02/25/372		27,600,062		27,314,291
ACE Securities Corp. Home Equity Loan Trust,
Series 2004-IN1, Class A1
(LIBOR USD 1-Month plus 0.64%)
0.75%	05/25/342		163,341		160,105
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.30%)
0.41%	06/25/362		2,919,926		2,437,468
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP2, Class A1
(LIBOR USD 1-Month plus 0.38%)
0.49%	06/25/372		36,996,781		31,323,132
Adjustable Rate Mortgage Trust,
Series 2005-10, Class 6A1
(LIBOR USD 1-Month plus 0.54%)
0.65%	01/25/362		261,787		257,626
Adjustable Rate Mortgage Trust,
Series 2006-3, Class 4A32
(LIBOR USD 1-Month plus 0.40%)
0.51%	08/25/362		2,424,505		2,451,180
Aegis Asset-Backed Securities Trust,
Series 2005-5, Class 1A4
(LIBOR USD 1-Month plus 0.70%)
0.81%	12/25/352		96,512		96,576
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 04/25/21)
2.86%	07/25/591		208,393		214,205
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		6,776		6,999
Alternative Loan Trust,
Series 2005-38, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
1.50%)
1.76%	09/25/352		391,847		369,767
Alternative Loan Trust,
Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative Average plus
1.00%)
1.26%	02/25/362		45,605,016		44,928,458
Alternative Loan Trust,
Series 2005-84, Class 1A1
2.34%	02/25/364		39,026		33,121

See accompanying Notes to Financial Statements.

157 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2006-HY13, Class 4A1
3.04%	02/25/374	$	1,213,183	$	1,211,362
Alternative Loan Trust,
Series 2006-OC5, Class 2A2A
(LIBOR USD 1-Month plus 0.34%)
0.45%	06/25/462		27,065		40,348
Alternative Loan Trust,
Series 2007-J1, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
0.31%	03/25/372		582,885		138,230
American Home Mortgage Assets Trust,
Series 2006-3, Class 2A12
(Federal Reserve US 12-Month Cumulative Average plus
1.15%)
1.41%	10/25/462		40,328,103		33,832,254
American Home Mortgage Assets Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.13%)
0.23%	03/25/472		18,790,364		17,581,678
American Home Mortgage Investment Trust,
Series 2004-3, Class 2A
(LIBOR USD 6-Month plus 1.50%)
1.72%	10/25/342		5,111,386		5,216,108
Ameriquest Mortgage Securities Trust,
Series 2006-R1, Class M1
(LIBOR USD 1-Month plus 0.39%)
0.50%	03/25/362		10,506,773		10,535,366
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2004-R10, Class A1
(LIBOR USD 1-Month plus 0.66%)
0.77%	11/25/342		11,463,888		11,078,867
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R11, Class M1
(LIBOR USD 1-Month plus 0.68%)
0.78%	01/25/362		1,541,774		1,543,630
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 05/25/21)
7.40%	10/25/27		23,050		23,504
Argent Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2005-W2, Class M1
(LIBOR USD 1-Month plus 0.74%)
0.84%	10/25/352		241,663		241,600
Argent Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2005-W3, Class A1
(LIBOR USD 1-Month plus 0.52%)
0.63%	11/25/352		12,354,349		12,123,538
Argent Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2005-W3, Class M1
(LIBOR USD 1-Month plus 0.66%)
0.77%	11/25/352		19,840,000		19,466,530

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Asset-Backed Funding Certificates,
Series 2005-HE1, Class M1
(LIBOR USD 1-Month plus 0.63%)
0.74%	03/25/352	$	1,472,647	$	1,473,232
Asset-Backed Funding Certificates,
Series 2006-OPT3, Class A3B
(LIBOR USD 1-Month plus 0.32%)
0.43%	11/25/362		47,745,743		28,716,162
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2A
(LIBOR USD 1-Month plus 0.75%)
0.86%	06/25/372		26,925,993		24,886,381
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
1.11%	06/25/372		19,670,381		18,398,875
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE5, Class A1
(LIBOR USD 1-Month plus 0.13%)
0.23%	07/25/362		5,746,636		5,521,246
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE6, Class A5
(LIBOR USD 1-Month plus 0.23%)
0.34%	11/25/362		18,411,000		16,969,618
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		11,840		12,101
Banc of America Funding Trust,
Series 2006-D, Class 3A1
3.57%	05/20/364		3,533,856		3,413,127
Banc of America Funding Trust,
Series 2006-E, Class 2A1
3.45%	06/20/364		51,376		50,017
Banc of America Funding Trust,
Series 2006-G, Class 2A1
(LIBOR USD 1-Month plus 0.44%)
0.55%	07/20/362		1,562,500		1,563,462
Banc of America Funding Trust,
Series 2006-H, Class 3A1
3.09%	09/20/464		986,436		915,663
Banc of America Funding Trust,
Series 2015-R2, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
0.25%	08/27/361,2		15,602,587		14,953,474
Banc of America Funding Trust,
Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)
0.24%	10/26/361,2		34,877,878		34,299,770
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%	03/25/401,4		8,973,801		9,056,091
Banc of America Funding Trust,
Series 2016-R1, Class B2
3.50%	03/25/401,4		23,780,000		21,415,536

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 158

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Mortgage Trust,
Series 2004-F, Class 1A1
2.89%	07/25/344	$	28,512	$	29,109
Banc of America Mortgage Trust,
Series 2005-C, Class 2A2
3.36%	04/25/354		282,505		288,623
Banc of America Mortgage Trust,
Series 2006-2, Class A2
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
6.00%	07/25/462		88,878		85,988
Banc of America Mortgage Trust,
Series 2007-1, Class 1A24
6.00%	03/25/37		615,389		610,604
Banc of America Mortgage Trust,
Series 2007-3, Class 1A1
6.00%	09/25/37		267,210		266,909
BCAP LLC Trust,
Series 2007-AA2, Class 2A5
6.00%	04/25/37		258,365		184,637
BCAP LLC Trust,
Series 2007-AA5, Class A1
(LIBOR USD 1-Month plus 1.30%)
1.41%	09/25/472		17,523,247		17,952,252
Bear Stearns ALT-A Trust,
Series 2005-4, Class 22A2
3.11%	05/25/354		11,929		12,014
Bear Stearns ALT-A Trust,
Series 2005-7, Class 11A1
(LIBOR USD 1-Month plus 0.54%)
0.65%	08/25/352		141,922		143,521
Bear Stearns ALT-A Trust,
Series 2006-4, Class 32A1
3.18%	07/25/364		1,636,368		1,055,306
Bear Stearns ARM Trust,
Series 2004-1, Class 13A2
3.01%	04/25/344		6,663		6,678
Bear Stearns ARM Trust,
Series 2004-10, Class 14A1
2.64%	01/25/354		2,099,280		2,133,480
Bear Stearns ARM Trust,
Series 2006-4, Class 2A1
2.95%	10/25/364		364,882		334,346
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
0.36%	08/25/202		1,342,026		781,860
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%	03/25/36		352,057		369,374
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-HE9, Class 3A
(LIBOR USD 1-Month plus 0.14%)
0.25%	11/25/362		6,436,634		6,054,966
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A1 (STEP-reset date 05/25/21)
5.50%	01/25/34		558,609		568,222

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A2 (STEP-reset date 05/25/21)
5.75%	01/25/34	$	503,624	$	512,839
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.18%)
0.29%	10/25/362		1,363,404		1,267,792
Bear Stearns Mortgage Funding Trust,
Series 2006-AR5, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
0.27%	12/25/462		18,510,765		17,298,560
Bear Stearns Mortgage Funding Trust,
Series 2007-AR5, Class 1A1A
(LIBOR USD 1-Month plus 0.17%)
0.28%	06/25/472		392,793		372,926
Carrington Mortgage Loan Trust,
Series 2005-NC5, Class M1
(LIBOR USD 1-Month plus 0.72%)
0.83%	10/25/352		238,360		238,863
Carrington Mortgage Loan Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.31%)
0.42%	01/25/362		33,341,223		33,219,241
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.35%)
0.46%	02/25/362		146,624		145,606
Chase Funding Trust,
Series 2003-5, Class 2A2
(LIBOR USD 1-Month plus 0.60%)
0.71%	07/25/332		3,059		2,859
Chase Funding Trust,
Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)
0.61%	02/26/352		5,668		5,136
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2
3.37%	09/25/364		559,277		508,068
Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1
5.50%	11/25/21		1,524,160		955,112
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
2.75%	06/25/354		1,359,690		1,386,244
ChaseFlex Trust,
Series 2005-2, Class 4A2
5.50%	05/25/20		342,752		219,150
ChaseFlex Trust,
Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)
0.31%	09/25/362		6,593,036		5,581,514
CIM Trust,
Series 2017-5, Class A2A
2.50%	05/25/571,4		17,925,053		17,962,138

See accompanying Notes to Financial Statements.

159 / Annual Report March 2021

Total Return Bond Fund

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March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2017-6, Class A1
3.02%	06/25/571,4	$	41,163,059	$	41,224,166
CIM Trust,
Series 2018-R1, Class A1
3.65%	05/25/551,4		84,469,426		78,847,002
CIM Trust,
Series 2018-R2, Class A1
3.69%	08/01/571,4		54,823,286		55,984,297
CIM Trust,
Series 2018-R4, Class A1
4.07%	12/26/571,4		41,924,024		42,132,906
CIM Trust,
Series 2018-R5, Class A1
3.75%	07/25/581,4		92,548,321		93,932,798
CIM Trust,
Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
1.19%	09/25/581,2		79,547,269		78,819,388
CIM Trust,
Series 2019-R1, Class A
3.25%	10/25/581,4		227,881,445		212,092,588
CIM Trust,
Series 2019-R3, Class A
2.63%	06/25/581,4		165,255,345		163,129,914
CIM Trust,
Series 2019-R4, Class A1
3.00%	10/25/591,4		151,007,470		147,687,087
CIM Trust,
Series 2020-R1, Class A1
2.85%	10/27/591,4		195,313,241		164,638,046
CIM Trust,
Series 2020-R3, Class A1A
4.00%	01/26/601,4		193,344,253		181,358,940
CIM Trust,
Series 2020-R4, Class A1A
3.30%	06/25/601,4		105,566,996		104,766,323
CIM Trust,
Series 2020-R6, Class A1A
2.25%	12/25/601,4		222,884,134		220,260,186
CIM Trust,
Series 2020-R7, Class A1A
2.25%	12/27/611,4		365,529,612		363,333,181
CIM Trust,
Series 2021-R1, Class A2
2.40%	08/25/561,4		140,138,089		140,356,788
CIM Trust,
Series 2021-R2, Class A2
2.50%	01/25/571,4		135,222,000		135,222,000
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
1.46%	10/25/371,2		38,714,778		38,955,196
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%	02/25/35		144,879		147,043

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citicorp Residential Mortgage Trust,
Series 2006-2, Class A5 (STEP-reset date 05/25/21)
5.22%	09/25/36	$	215,078	$	219,143
Citicorp Residential Mortgage Trust,
Series 2007-1, Class A5 (STEP-reset date 05/25/21)
5.13%	03/25/37		519,578		535,111
Citigroup Mortgage Loan Trust,
Series 2006-AR2, Class 1A1
2.82%	03/25/364		9,030,616		8,057,437
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.81%	06/25/364		2,217,403		2,156,424
Citigroup Mortgage Loan Trust,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.29%)
0.40%	08/25/362		251,474		252,068
Citigroup Mortgage Loan Trust,
Series 2006-WF2, Class A1 (STEP-reset date 05/25/21)
7.25%	05/25/36		38,091,711		26,951,604
Citigroup Mortgage Loan Trust,
Series 2007-6, Class 1A4A
2.05%	03/25/374		289,366		255,980
Citigroup Mortgage Loan Trust,
Series 2007-AR5, Class 1A1A
2.87%	04/25/374		74,712		74,995
Citigroup Mortgage Loan Trust,
Series 2014-5, Class 2A2
(LIBOR USD 1-Month plus 1.75%)
2.21%	02/20/361,2		10,249,290		9,457,451
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
0.32%	06/25/471,2		766,861		767,815
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
1.08%	03/25/471,2		6,388,082		6,326,181
Citigroup Mortgage Loan Trust,
Series 2015-3, Class 1A1
(LIBOR USD 1-Month plus 0.27%)
0.66%	03/25/361,2		1,006,905		1,012,652
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.06%	02/25/344		31,266		31,277
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A
2.80%	10/25/354		450,323		317,441
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
0.37%	11/25/352		124,359		107,460
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH3, Class A3
(LIBOR USD 1-Month plus 0.25%)
0.36%	06/25/372		196,705		195,861

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 160

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Finance Corp.,
Series 1996-7, Class M1
7.70%	09/15/264	$	875,042	$	890,451
Conseco Finance Corp.,
Series 1998-6, Class A8
6.66%	06/01/304		285,324		287,134
Countrywide Asset-Backed Certificates Trust,
Series 2005-11, Class AF4
5.21%	03/25/344		548,500		548,736
Countrywide Asset-Backed Certificates Trust,
Series 2005-13, Class AF4
5.81%	04/25/364		207,948		208,713
Countrywide Asset-Backed Certificates Trust,
Series 2005-AB2, Class 1A1
(LIBOR USD 1-Month plus 0.46%)
0.57%	11/25/352		2,945,932		2,944,670
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A2
(LIBOR USD 1-Month plus 0.80%)
0.91%	10/25/472		9,877,133		9,809,523
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2001-HYB1, Class 1A1
2.07%	06/19/314		8,340		8,393
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2003-J8, Class 1A4
5.25%	09/25/23		39,439		39,833
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
2.66%	08/25/344		815,008		794,812
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-25, Class 1A1
(LIBOR USD 1-Month plus 0.66%)
0.77%	02/25/352		94,018		91,132
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-7, Class 2A1
3.49%	06/25/344		65,465		66,290
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB3, Class 1A
3.63%	06/20/344		19,204		19,853
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB4, Class 2A1
2.87%	09/20/344		689,007		694,081
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-11, Class 1A2
3.20%	04/25/354		656,413		652,499
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-31, Class 2A3
2.53%	01/25/364		119,709		113,761
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
0.71%	05/25/352		3,059,050		2,644,290
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HY5, Class 1A1
3.46%	09/25/474		757,849		713,439

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
3.09%	03/25/374	$	1,105,225	$	974,860
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR20, Class 2A4
3.11%	08/25/334		10,824		11,512
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-6, Class 8A1
4.50%	07/25/20		2,924		3,052
Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates,
Series 2004-1, Class 2A1
6.50%	02/25/34		19,767		20,338
Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates,
Series 2004-AR5, Class 6A1
2.98%	06/25/344		81,912		86,336
Credit Suisse Mortgage Capital Trust,
Series 2006-2, Class 5A1
(LIBOR USD 1-Month plus 0.70%)
0.81%	03/25/362		3,452,248		1,119,400
Credit Suisse Mortgage Capital Trust,
Series 2007-2, Class 3A4
5.50%	03/25/37		1,418,286		1,094,594
Credit Suisse Mortgage Capital Trust,
Series 2014-12R, Class 1A1
(LIBOR USD 1-Month plus 1.75%)
1.87%	08/27/361,2		2,738,372		2,756,279
Credit Suisse Mortgage Capital Trust,
Series 2015-1R, Class 5A1
2.75%	09/27/351,4		75,744		76,260
Credit Suisse Mortgage Capital Trust,
Series 2015-2R, Class 4A1
0.32%	06/27/471,4		1,609,050		1,619,699
Credit Suisse Mortgage Capital Trust,
Series 2015-6R, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
0.32%	11/27/461,2		5,230,826		5,183,857
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.46%	02/25/601,4		22,806,602		22,829,714
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 05/25/21)
3.95%	01/25/33		11,263		11,505
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB4, Class M1
(LIBOR USD 1-Month plus 1.03%)
1.14%	03/25/332		2,248,507		2,202,946
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB5, Class M1
(LIBOR USD 1-Month plus 1.02%)
1.13%	11/25/332		66,636		66,062
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.25%	10/25/362		47,739,362		41,691,567

See accompanying Notes to Financial Statements.

161 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB8, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.25%	10/25/362	$	13,938,215	$	12,134,052
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A3
(LIBOR USD 1-Month plus 0.15%)
0.26%	11/25/362		27,614,112		16,643,608
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF4 (STEP-reset date 05/25/21)
3.33%	01/25/37		6,916,402		3,204,737
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF5 (STEP-reset date 05/25/21)
3.33%	01/25/37		12,997,567		6,026,426
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A2
(LIBOR USD 1-Month plus 0.17%)
0.28%	04/25/372		24,935,109		18,960,033
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/21)
3.79%	02/25/37		30,513,088		24,948,389
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2D (STEP-reset date 05/25/21)
3.79%	02/25/37		22,340,124		18,261,159
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2E (STEP-reset date 05/25/21)
3.79%	02/25/37		4,062,517		3,321,431
CSAB Mortgage-Backed Trust,
Series 2006-4, Class A6B (STEP-reset date 05/25/21)
6.28%	12/25/36		5,268,016		459,261
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR3, Class A1
(LIBOR USD 1-Month plus 0.38%)
0.49%	08/25/362		2,897,965		2,833,008
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR4, Class A1
(LIBOR USD 1-Month plus 0.26%)
0.37%	12/25/362		1,688,679		838,404
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR6, Class A6
(LIBOR USD 1-Month plus 0.38%)
0.49%	02/25/372		551,645		538,259
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-3, Class 1A1
(LIBOR USD 1-Month plus 1.70%)
1.82%	10/25/472		28,665,769		26,409,664
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-OA3, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.25%	07/25/472		41,053,461		38,962,128
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2005-6, Class 1A7
5.50%	12/25/35		343,753		335,432

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2006-AR1, Class 2A1
3.04%	02/25/364	$	759,522	$	684,086
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.72%)
0.83%	01/19/452		2,003,174		1,772,568
DSLA Mortgage Loan Trust,
Series 2005-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.25%)
0.36%	02/19/452		140,906		140,306
DSLA Mortgage Loan Trust,
Series 2005-AR3, Class 2A1A
(LIBOR USD 1-Month plus 0.24%)
0.35%	07/19/452		125,896		122,090
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.31%	10/19/362		16,437,983		14,051,132
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
0.25%	03/19/372		7,597,539		6,942,561
Equity One Mortgage Pass-Through Trust,
Series 2002-4, Class M1
5.22%	02/25/334		8,917		9,064
Equity One Mortgage Pass-Through Trust,
Series 2002-5, Class M1 (STEP-reset date 05/25/21)
5.80%	11/25/32		36,213		37,483
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.43%	10/25/362		12,621,348		10,344,829
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2D
(LIBOR USD 1-Month plus 0.48%)
0.59%	10/25/362		795,872		660,944
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
0.22%	12/25/372		6,828,642		6,342,695
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2C
(LIBOR USD 1-Month plus 0.16%)
0.27%	12/25/372		18,779,379		17,506,519
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
0.32%	12/25/372		13,610,683		12,734,204
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 1A
(LIBOR USD 1-Month plus 0.30%)
0.41%	04/25/362		18,249,728		18,033,290

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 162

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust,
Series 2006-FF8, Class IIA4
(LIBOR USD 1-Month plus 0.46%)
0.57%	07/25/362	$	30,688,194	$	29,655,579
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2C
(LIBOR USD 1-Month plus 0.14%)
0.25%	01/25/382		65,419,781		45,868,131
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.25%	03/25/372		58,818,158		39,142,082
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
0.21%	03/25/372		24,602,735		14,921,707
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.26%	03/25/372		14,104,355		8,623,567
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.33%	03/25/372		26,261,935		16,237,224
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA2, Class 1A1
2.13%	08/25/344		5,360,552		5,384,804
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.29%	09/25/344		18,284		18,185
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA4, Class A1
2.37%	10/25/344		946,998		980,174
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
2.53%	12/25/354		10,703,282		10,223,736
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
2.38%	02/25/364		12,202,586		10,128,401
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA4, Class 2A1
2.32%	06/25/354		12,173,624		11,898,748
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
2.38%	09/25/354		10,284,887		10,084,029
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
2.34%	10/25/354		12,054,398		9,621,454
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
2.29%	11/25/354		12,617,060		11,518,735
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA1, Class 1A1
2.36%	03/25/364		14,209,574		11,716,723

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA8, Class 1A7
6.00%	02/25/37	$	9,635	$	6,148
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR6, Class 2A1
3.15%	12/25/344		138,113		142,001
First Horizon Mortgage Pass-Through Trust,
Series 2006-AR4, Class 1A2
2.88%	01/25/374		70,920		57,726
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR3, Class 1A1
2.94%	11/25/374		131,451		96,269
FNBA Mortgage Loan Trust,
Series 2004-AR1, Class A2
(LIBOR USD 1-Month plus 0.80%)
0.91%	08/19/342		641		641
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
0.61%	06/25/302		13,458		10,548
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR6, Class 3A1
3.04%	11/19/354		355,002		348,887
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR2, Class 1A1
3.27%	05/19/364		1,562,446		925,377
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.48%)
0.59%	08/25/452		1,314,675		1,263,162
GreenPoint Mortgage Funding Trust,
Series 2005-AR4, Class G41B
(LIBOR USD 1-Month plus 0.20%)
0.31%	10/25/452		13,385,584		12,548,764
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 3A2
(LIBOR USD 1-Month plus 0.16%)
0.27%	02/25/372		399,163		589,403
GS Mortgage-Backed Securities Trust,
Series 2018-RPL1, Class A1A
3.75%	10/25/571		36,888,028		37,416,117
GSAA Home Equity Trust,
Series 2005-11, Class 1A1
(LIBOR USD 1-Month plus 0.56%)
0.67%	10/25/352		1,765,936		1,770,707
GSAA Home Equity Trust,
Series 2005-11, Class 2A2
(LIBOR USD 1-Month plus 0.64%)
0.75%	10/25/352		123,859		122,839
GSAA Home Equity Trust,
Series 2005-11, Class 3A2
(LIBOR USD 1-Month plus 0.64%)
0.75%	10/25/352		87,937		87,480

See accompanying Notes to Financial Statements.

163 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAA Home Equity Trust,
Series 2005-6, Class M1
(LIBOR USD 1-Month plus 0.65%)
0.75%	06/25/352	$	127,010	$	127,562
GSAMP Trust,
Series 2005-AHL2, Class A2D
(LIBOR USD 1-Month plus 0.35%)
0.46%	12/25/352		25,693,000		25,210,627
GSAMP Trust,
Series 2006-NC1, Class A3
(LIBOR USD 1-Month plus 0.58%)
0.69%	02/25/362		83,719		82,696
GSR Mortgage Loan Trust,
Series 2004-9, Class 3A1
3.07%	08/25/344		2,365		2,372
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
2.94%	08/25/344		158,767		160,294
GSR Mortgage Loan Trust,
Series 2005-AR5, Class 2A3
2.93%	10/25/354		2,297,429		1,736,928
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 4A5
2.98%	09/25/354		74,531		75,855
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 2A1
3.05%	05/25/374		1,654,124		1,331,816
HarborView Mortgage Loan Trust,
Series 2004-1, Class 2A
2.19%	04/19/344		4,284		4,247
HarborView Mortgage Loan Trust,
Series 2004-11, Class 3A2A
(LIBOR USD 1-Month plus 0.68%)
0.79%	01/19/352		260,487		248,166
HarborView Mortgage Loan Trust,
Series 2004-3, Class 1A
2.72%	05/19/344		49,405		49,954
HarborView Mortgage Loan Trust,
Series 2004-5, Class 2A6
2.94%	06/19/344		2,144		2,240
HarborView Mortgage Loan Trust,
Series 2005-3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
0.59%	06/19/352		294,466		294,195
HarborView Mortgage Loan Trust,
Series 2005-4, Class 2A
2.72%	07/19/354		38,696		35,200
HarborView Mortgage Loan Trust,
Series 2006-10, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
0.31%	11/19/362		64,405,085		55,153,868
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.42%)
0.53%	09/19/462		68,253,614		65,704,334

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust,
Series 2007-7, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
1.11%	10/25/372	$	22,714,125	$	20,823,333
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
1.11%	10/25/372		18,733,576		18,892,055
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
0.25%	10/25/362		58,026,066		25,622,147
Impac CMB Trust,
Series 2004-8, Class 2A1
(LIBOR USD 1-Month plus 0.70%)
0.81%	10/25/342		193,586		196,429
Impac CMB Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
0.63%	04/25/352		3,407,492		3,322,136
Impac CMB Trust,
Series 2005-4, Class 1A1B
(LIBOR USD 1-Month plus 0.17%)
0.36%	05/25/352		3,885,703		3,718,417
Impac Secured Assets Corp.,
Series 2004-3, Class M1
(LIBOR USD 1-Month plus 0.90%)
1.01%	11/25/342		208,534		211,799
Impac Secured Assets Corp.,
Series 2004-4, Class M3
(LIBOR USD 1-Month plus 0.90%)
1.01%	02/25/352		542,353		546,435
Impac Secured Assets Trust,
Series 2006-3, Class A1
(LIBOR USD 1-Month plus 0.17%)
0.28%	11/25/362		6,690,621		6,358,749
Impac Secured Assets Trust,
Series 2006-5, Class 1A1C
(LIBOR USD 1-Month plus 0.27%)
0.38%	02/25/372		9,328,287		8,759,925
Impac Secured Assets Trust,
Series 2007-2, Class 1A1A
(LIBOR USD 1-Month plus 0.11%)
0.22%	05/25/372		5,919,982		5,060,729
Impac Secured Assets Trust,
Series 2007-2, Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
0.36%	05/25/372		48,125,643		40,352,307
IndyMac Index Mortgage Loan Trust,
Series 2004-AR4, Class 1A
2.87%	08/25/344		995,303		991,588
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1B
(LIBOR USD 1-Month plus 0.80%)
0.91%	08/25/342		16,521		15,716

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 164

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
0.97%	09/25/342	$	49,584	$	47,968
IndyMac Index Mortgage Loan Trust,
Series 2005-AR1, Class 4A1
2.91%	03/25/354		367,446		371,971
IndyMac Index Mortgage Loan Trust,
Series 2005-AR17, Class 3A1
2.89%	09/25/354		3,671,547		3,048,259
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
2.81%	10/25/354		22,368,814		19,917,615
IndyMac Index Mortgage Loan Trust,
Series 2005-AR31, Class 3A1
2.88%	01/25/364		807,475		801,684
IndyMac Index Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
(LIBOR USD 1-Month plus 0.48%)
0.59%	04/25/352		482,597		433,062
IndyMac Index Mortgage Loan Trust,
Series 2006-AR19, Class 1A2
3.22%	08/25/364		13,101,369		9,994,934
IndyMac Index Mortgage Loan Trust,
Series 2006-AR21, Class A1
(LIBOR USD 1-Month plus 0.12%)
0.23%	08/25/362		137,266		130,532
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 2A2
(LIBOR USD 1-Month plus 0.20%)
0.31%	10/25/362		18,734,944		17,796,257
IndyMac Index Mortgage Loan Trust,
Series 2006-AR35, Class 2A3A
(LIBOR USD 1-Month plus 0.20%)
0.31%	01/25/372		40,262,652		39,413,617
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1
2.87%	05/25/364		3,625,585		3,478,738
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 2A1
3.15%	05/25/364		23,237,903		18,428,358
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 1A2
3.07%	03/25/374		481,380		468,304
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
3.00%	06/25/374		3,136,083		3,018,827
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
2.86%	11/25/374		2,210,849		2,143,580
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A3
6.61%	02/25/28		39,929		40,305

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 2A1
3.08%	05/25/364	$	549,487	$	436,977
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 5A1
3.44%	05/25/364		5,644,015		4,102,762
JPMorgan Mortgage Acquisition Trust,
Series 2005-WMC1, Class M2
(LIBOR USD 1-Month plus 0.66%)
0.77%	09/25/352		1,692,771		1,696,516
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A3A (STEP-reset date 05/25/21)
6.33%	07/25/36		32,838,356		14,637,605
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A6 (STEP-reset date 05/25/21)
6.50%	07/25/36		4,579,229		2,069,206
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class A1
(LIBOR USD 1-Month plus 0.15%)
0.26%	05/25/372		31,294,426		29,545,133
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A5
(LIBOR USD 1-Month plus 0.26%)
0.37%	06/25/372		196,162		194,708
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF1
(LIBOR USD 1-Month plus 0.10%)
0.21%	03/25/472		126,173		81,464
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF2 (STEP-reset date 05/25/21)
4.21%	03/25/47		8,253,998		6,456,862
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF3 (STEP-reset date 05/25/21)
4.21%	05/25/35		6,946,746		5,434,211
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF4 (STEP-reset date 05/25/21)
4.21%	03/25/47		3,157,612		2,470,070
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.39%	03/25/472		240,000		215,385
JPMorgan Mortgage Trust,
Series 2003-A2, Class 2A3
2.31%	11/25/334		81,549		81,011
JPMorgan Mortgage Trust,
Series 2004-A4, Class 1A3
2.89%	09/25/344		201,180		198,443
JPMorgan Mortgage Trust,
Series 2005-A5, Class TA1
2.91%	08/25/354		96,936		98,642
JPMorgan Mortgage Trust,
Series 2005-S2, Class 4A3
5.50%	09/25/20		1,898,773		1,658,225
JPMorgan Mortgage Trust,
Series 2006-A2, Class 5A3
2.53%	11/25/334		3,325		3,343

See accompanying Notes to Financial Statements.

165 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
3.06%	05/25/364	$	694,084	$	640,708
JPMorgan Mortgage Trust,
Series 2006-A3, Class 3A3
3.25%	05/25/364		470,645		429,442
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
3.30%	06/25/364		388,623		337,935
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A4
3.30%	06/25/364		1,252,795		1,089,669
JPMorgan Mortgage Trust,
Series 2006-A5, Class 2A4
3.24%	08/25/364		363,324		339,389
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
2.58%	07/25/354		1,127,485		1,155,262
JPMorgan Mortgage Trust,
Series 2007-A3, Class 2A3
2.97%	05/25/374		2,018,157		1,790,873
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
3.58%	05/25/374		330,924		332,369
JPMorgan Mortgage Trust,
Series 2007-A4, Class 1A1
3.49%	06/25/374		2,830,593		2,573,736
JPMorgan Mortgage Trust,
Series 2007-A4, Class 2A3
3.51%	06/25/374		415,389		372,047
JPMorgan Resecuritization Trust,
Series 2015-1, Class 3A1
(LIBOR USD 1-Month plus 0.19%)
0.31%	12/27/461,2		2,431,860		2,439,227
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
0.41%	11/25/352		5,981,505		5,920,059
Lehman XS Trust,
Series 2005-7N, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
0.65%	12/25/352		361,732		356,403
Lehman XS Trust,
Series 2006-12N, Class A31A
(LIBOR USD 1-Month plus 0.40%)
0.51%	08/25/462		12,434,868		12,256,332
Lehman XS Trust,
Series 2006-14N, Class 3A2
(LIBOR USD 1-Month plus 0.24%)
0.35%	08/25/362		34,651		38,296
Lehman XS Trust,
Series 2006-5, Class 1A1A
(LIBOR USD 1-Month plus 0.42%)
0.53%	04/25/362		25,723,570		24,710,170

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman XS Trust,
Series 2006-8, Class 1A1A
(LIBOR USD 1-Month plus 0.16%)
0.43%	06/25/362	$	34,292,699	$	31,373,773
Lehman XS Trust,
Series 2007-4N, Class 1A3
(LIBOR USD 1-Month plus 0.24%)
0.35%	03/25/472		24,145,485		22,663,239
Long Beach Mortgage Loan Trust,
Series 2004-4, Class M1
(LIBOR USD 1-Month plus 0.90%)
1.01%	10/25/342		112,429		111,729
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.14%	01/25/344		35,508		38,442
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
2.00%	11/25/334		558,380		558,319
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
3.18%	11/21/344		2,817,427		2,848,649
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 9A1
3.14%	10/25/344		222,822		226,974
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
4.12%	06/25/344		245		250
MASTR Adjustable Rate Mortgages Trust,
Series 2004-8, Class 2A1
2.59%	09/25/344		2,441,844		2,433,016
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 5A1
3.42%	05/25/364		5,716,727		3,839,657
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.41%	11/25/362		14,159,223		6,734,745
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.42%)
0.53%	11/25/362		3,933,118		1,813,214
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
(LIBOR USD 1-Month plus 0.21%)
0.32%	05/25/372		26,667,812		25,942,167
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.69%	10/25/324		9,159		9,541
Mellon Residential Funding Corp. Mortgage Pass-Through
Certificates,
Series 2001-TBC1, Class A1
(LIBOR USD 1-Month plus 0.70%)
0.81%	11/15/312		878,528		894,839

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 166

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.25%	04/25/372	$	163,534,878	$	97,771,134
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2B
(LIBOR USD 1-Month plus 0.17%)
0.28%	04/25/372		31,547,891		17,578,286
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
0.36%	04/25/372		66,087,843		37,335,943
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.35%	05/25/372		32,701,291		19,178,261
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2D
(LIBOR USD 1-Month plus 0.32%)
0.43%	05/25/372		16,149,318		9,602,316
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.29%	06/25/372		12,884,267		9,551,308
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
0.36%	06/25/372		17,208,288		15,914,196
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.12%)
0.23%	07/25/372		28,076,396		24,696,579
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A3
(LIBOR USD 1-Month plus 0.16%)
0.27%	07/25/372		20,580,696		18,177,920
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
2.57%	10/25/334		284,202		286,689
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
3.19%	08/25/344		1,051,977		1,068,030
Merrill Lynch Mortgage Investors Trust,
Series 2005-A10, Class A
(LIBOR USD 1-Month plus 0.42%)
0.53%	02/25/362		7,667		7,574
Merrill Lynch Mortgage Investors Trust,
Series 2005-A6, Class 2A4
(LIBOR USD 1-Month plus 0.68%)
0.79%	08/25/352		78,322		78,742
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2B (STEP-reset date 05/25/21)
3.79%	03/25/37		29,655,389		10,608,667
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2D (STEP-reset date 05/25/21)
3.79%	03/25/37		23,210,253		8,302,851

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 2.40%)
2.49%	08/25/362	$	3,067,778	$	2,925,944
Mid-State Capital Corp. Trust,
Series 2004-1, Class A
6.01%	08/15/37		197,013		209,617
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%	01/15/40		11,551,346		12,423,787
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%	10/15/401		9,083,875		9,666,077
Mid-State Trust XI,
Series 11, Class A1
4.86%	07/15/38		185,171		197,619
Morgan Stanley Mortgage Loan Trust,
Series 2004-11AR, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.43%	01/25/352		99,528		96,413
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.17%	09/25/344		573,061		570,617
Morgan Stanley Mortgage Loan Trust,
Series 2005-2AR, Class A
(LIBOR USD 1-Month plus 0.26%)
0.37%	04/25/352		1,848,099		1,800,265
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/364		730,478		292,739
Morgan Stanley Mortgage Loan Trust,
Series 2007-6XS, Class 1A2S (STEP-reset date 05/25/21)
5.50%	02/25/47		74,120		74,085
Morgan Stanley Mortgage Loan Trust,
Series 2007-7AX, Class 2A1
(LIBOR USD 1-Month plus 0.12%)
0.23%	04/25/372		4,997,564		2,063,867
Morgan Stanley Resecuritization Trust,
Series 2013-R7, Class 2B
(LIBOR USD 1-Month plus 0.24%)
0.60%	12/26/461,2		4,057,517		4,069,430
Morgan Stanley Resecuritization Trust,
Series 2014-R2, Class 1A
(Federal Reserve US 12-Month Cumulative Average plus
0.82%)
1.20%	12/26/461,2		1,091,764		1,097,745
Morgan Stanley Resecuritization Trust,
Series 2014-R4, Class 2A
3.09%	08/26/341,4		227,992		229,651
Morgan Stanley Resecuritization Trust,
Series 2014-R8, Class 3A
(Federal Reserve US 12-Month Cumulative Average plus
0.75%)
1.13%	06/26/471,2		7,551,105		7,494,017

See accompanying Notes to Financial Statements.

167 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Resecuritization Trust,
Series 2014-R8, Class 4A
(Federal Reserve US 12-Month Cumulative Average plus
0.96%)
1.34%	06/26/471,2	$	1,266,376	$	1,268,531
Morgan Stanley Resecuritization Trust,
Series 2015-R4, Class 2A
(LIBOR USD 1-Month plus 0.40%)
0.92%	08/26/471,2		3,532,267		3,492,021
MortgageIT Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
0.75%	02/25/352		3,682,348		3,796,575
MortgageIT Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.67%	10/25/352		4,207,650		4,168,853
MortgageIT Trust,
Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.52%)
0.63%	12/25/352		729,765		732,972
Nationstar Home Equity Loan Trust,
Series 2006-B, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.39%	09/25/362		4,837,721		4,781,502
Nationstar Home Equity Loan Trust,
Series 2007-A, Class AV4
(LIBOR USD 1-Month plus 0.23%)
0.34%	03/25/372		115,547		114,698
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
0.36%	06/25/372		7,837,868		7,657,320
New Century Home Equity Loan Trust,
Series 2003-6, Class M1
(LIBOR USD 1-Month plus 1.08%)
1.19%	01/25/342		114,082		113,456
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
0.78%	03/25/352		423,472		421,498
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
0.33%	02/25/362		203,242		201,710
New Century Home Equity Loan Trust,
Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.33%)
0.44%	02/25/362		65,989		62,839
Nomura Home Equity Loan, Inc., Home Equity Loan Trust,
Series 2006-HE2, Class A4
(LIBOR USD 1-Month plus 0.27%)
0.38%	03/25/362		14,343,705		14,285,048

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nomura Resecuritization Trust,
Series 2013-1R, Class 2A1
(LIBOR USD 1-Month plus 0.14%)
0.31%	11/26/361,2	$	542,368	$	546,038
Nomura Resecuritization Trust,
Series 2014-6R, Class 2A1
(LIBOR USD 1-Month plus 0.16%)
1.13%	03/26/371,2		285,288		287,635
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 05/25/21)
3.00%	07/25/591		63,818,745		63,663,806
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/294		21,095,033		9,150,645
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.44%)
0.55%	01/25/362		9,318,664		8,920,573
Ownit Mortgage Loan Trust,
Series 2006-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
0.39%	05/25/372		15,742,756		14,699,180
Ownit Mortgage Loan Trust,
Series 2006-4, Class A2D
(LIBOR USD 1-Month plus 0.48%)
0.59%	05/25/372		18,761,807		17,134,279
Popular ABS Mortgage Pass-Through Trust,
Series 2005-6, Class A5 (STEP-reset date 05/25/21)
3.48%	01/25/36		22,910,000		20,882,465
Popular ABS Mortgage Pass-Through Trust,
Series 2006-D, Class A3
(LIBOR USD 1-Month plus 0.26%)
0.37%	11/25/362		46,422		45,996
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
0.42%	06/25/472		23,015,500		21,464,847
Popular ABS, Inc.,
Series 1998-1, Class A2 (STEP-reset date 05/25/21)
7.48%	11/25/29		47,252		47,305
Residential Accredit Loans Trust,
Series 2005-QA12, Class CB1
3.53%	12/25/354		4,049,947		2,447,573
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.46%	04/25/354		315,821		273,542
Residential Accredit Loans Trust,
Series 2005-QA7, Class A1
3.33%	07/25/354		3,002,932		2,594,659
Residential Accredit Loans Trust,
Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
1.26%	01/25/462		4,710,511		4,462,502

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 168

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2006-QA1, Class A11
3.81%	01/25/364	$	113,505	$	95,309
Residential Accredit Loans Trust,
Series 2006-QA1, Class A21
4.25%	01/25/364		11,121,371		9,334,604
Residential Accredit Loans Trust,
Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.37%)
0.48%	08/25/362		20,270,031		19,037,877
Residential Accredit Loans Trust,
Series 2006-QS10, Class AV (IO)
0.56%	08/25/364,5,6		20,480,547		412,835
Residential Accredit Loans Trust,
Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)
0.49%	09/25/362		194,663		152,962
Residential Accredit Loans Trust,
Series 2006-QS2, Class 1AV (IO)
0.46%	02/25/364,5,6		68,444,861		944,635
Residential Accredit Loans Trust,
Series 2006-QS7, Class AV (IO)
0.69%	06/25/364,5,6		33,441,724		642,961
Residential Accredit Loans Trust,
Series 2006-QS8, Class AV (IO)
0.79%	08/25/364,5,6		80,387,034		1,892,833
Residential Accredit Loans Trust,
Series 2007-QS10, Class AV (IO)
0.47%	09/25/374,5,6		62,107,901		1,170,206
Residential Accredit Loans Trust,
Series 2007-QS4, Class 3AV (IO)
0.37%	03/25/374,5,6		39,815,207		499,016
Residential Accredit Loans Trust,
Series 2007-QS5, Class AV (IO)
0.27%	03/25/374,5,6		42,076,599		345,941
Residential Accredit Loans Trust,
Series 2007-QS6, Class AV (IO)
0.33%	04/25/374,5,6		86,936,085		816,556
Residential Accredit Loans Trust,
Series 2007-QS7, Class 2AV (IO)
0.39%	06/25/374,5,6		32,403,321		401,791
Residential Accredit Loans Trust,
Series 2007-QS8, Class AV (IO)
0.41%	06/25/374,5,6		80,258,724		1,398,926
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%	12/25/31		21,164		12,704
Residential Asset Mortgage Products Trust,
Series 2005-RZ3, Class M3
(LIBOR USD 1-Month plus 0.55%)
0.93%	09/25/352		418,356		418,275
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.60%	04/25/362		764,963		762,292

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
2.79%	12/25/344	$	211,470	$	213,306
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.01%	12/25/344		12,740		12,702
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
2.78%	12/25/344		325,630		342,829
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%	07/25/36		1,985,727		1,981,803
Residential Funding Mortgage Securities Trust,
Series 2005-SA5, Class 1A
3.38%	11/25/354		3,446,127		2,479,833
Residential Funding Mortgage Securities Trust,
Series 2006-SA3, Class 3A1
4.30%	09/25/364		505,377		480,765
Residential Funding Mortgage Securities Trust,
Series 2006-SA3, Class 4A1
4.25%	09/25/364		248,084		171,732
Residential Funding Mortgage Securities Trust,
Series 2006-SA4, Class 2A1
4.70%	11/25/364		68,615		67,048
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 2A2
3.47%	04/25/374		1,333,415		1,226,699
Saxon Asset Securities Trust,
Series 2001-2, Class AF6 (STEP-reset date 05/25/21)
6.81%	06/25/16		304		675
Saxon Asset Securities Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.26%	01/25/472		3,346,217		3,272,043
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.35%	05/25/472		198,988		169,061
Saxon Asset Securities Trust,
Series 2007-3, Class 2A3
(LIBOR USD 1-Month plus 0.40%)
0.51%	09/25/472		32,174,000		30,856,253
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/21)
3.07%	01/25/36		6,631,125		5,423,553
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2A
(LIBOR USD 1-Month plus 0.11%)
0.22%	02/25/372		6,081,728		3,597,195
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2B
(LIBOR USD 1-Month plus 0.27%)
0.38%	02/25/372		30,106,455		18,183,673

See accompanying Notes to Financial Statements.

169 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
0.34%	02/25/372	$	40,758,515	$	22,246,568
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2A
(LIBOR USD 1-Month plus 0.13%)
0.24%	05/25/372		16,903,992		14,449,800
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2C
(LIBOR USD 1-Month plus 0.35%)
0.46%	05/25/372		12,748,845		11,080,101
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
0.26%	12/25/362		31,862,422		22,612,752
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC2, Class A2B
(LIBOR USD 1-Month plus 0.14%)
0.25%	01/25/372		16,822,858		14,784,175
Sequoia Mortgage Trust,
Series 2003-2, Class A1
(LIBOR USD 1-Month plus 0.66%)
0.77%	06/20/332		42,672		42,510
Sequoia Mortgage Trust,
Series 2003-8, Class A1
(LIBOR USD 1-Month plus 0.64%)
0.75%	01/20/342		1,223		1,206
Sequoia Mortgage Trust,
Series 2004-3, Class A
(LIBOR USD 6-Month plus 0.50%)
0.76%	05/20/342		243,666		243,666
Sequoia Mortgage Trust,
Series 2004-4, Class A
(LIBOR USD 6-Month plus 0.52%)
0.78%	05/20/342		97,779		95,173
Sequoia Mortgage Trust,
Series 2013-1, Class 1A1
1.45%	02/25/434		72,659		71,065
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
0.35%	12/25/361,2		13,872,898		10,525,610
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
0.78%	06/25/352		16,353,485		16,317,742
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 3A3
2.46%	02/25/344		19,190		19,058
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
2.71%	09/25/344		4,383,461		4,465,629
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 1A
2.69%	10/25/344		101,855		101,855

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 2A
2.50%	10/25/344	$	4,980,836	$	5,038,262
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
2.75%	10/25/344		1,746,071		1,666,722
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-17, Class A1
1.30%	11/25/344		29,630		28,327
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-20, Class 1A2
2.66%	01/25/354		461,685		469,625
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
2.76%	06/25/354		1,431,876		1,369,498
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-18, Class 7A3
2.96%	09/25/354		12,573,153		9,783,633
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-12, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.43%	01/25/372		23,271,821		23,082,074
Structured Adjustable Rate Mortgage Loan Trust,
Series 2007-9, Class 2A1
3.18%	10/25/474		612,455		518,940
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A1A
(LIBOR USD 1-Month plus 0.56%)
0.67%	02/25/362		510,926		490,944
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A3
(Federal Reserve US 12-Month Cumulative Average plus
2.00%)
2.50%	02/25/362		16,481,497		16,366,341
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1A
(-1.00 X LIBOR USD 1-Month plus 0.42%, 10.50% Cap)
0.32%	08/25/362		19,127,215		18,307,537
Structured Asset Mortgage Investments II Trust,
Series 2006-AR8, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
0.23%	10/25/362		17,930,670		17,083,686
Structured Asset Mortgage Investments II Trust,
Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
1.50%)
1.76%	08/25/472		116,278,166		114,011,474
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates,
Series 1997-2, Class 2A4
7.25%	03/28/30		668		691
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates,
Series 2003-26A, Class 3A5
2.40%	09/25/334		119,620		122,916

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 170

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-34A, Class 5A4
2.44%	11/25/334	$	987,201	$	1,006,378
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2004-23XS, Class 2A1
(LIBOR USD 1-Month plus 0.45%)
0.56%	01/25/352		268,575		268,039
Structured Asset Securities Corp. Trust,
Series 2005-5, Class 2A4
5.50%	04/25/35		1,378,474		1,372,043
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-3, Class 1A1
3.79%	06/25/374		1,882,892		1,568,172
Thornburg Mortgage Securities Trust,
Series 2004-4, Class 2A
2.07%	12/25/444		87,675		88,870
Wachovia Mortgage Loan Trust,
Series 2006-ALT1, Class A3
(LIBOR USD 1-Month plus 0.46%)
0.57%	01/25/372		13,233,573		7,213,155
Wachovia Mortgage Loan Trust,
Series 2006-AMN1, Class A3
(LIBOR USD 1-Month plus 0.48%)
0.59%	08/25/362		15,959,519		8,059,265
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
0.22%	01/25/372		3,529,827		2,233,469
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A3
(LIBOR USD 1-Month plus 0.15%)
0.26%	01/25/372		43,424,317		25,240,540
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
(LIBOR USD 1-Month plus 0.23%)
0.34%	01/25/372		10,937,990		6,447,337
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
3.07%	06/25/334		2,285,234		2,374,620
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR3, Class A2
3.54%	06/25/344		22,081		22,739
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.84%)
0.95%	05/25/442		564,322		570,344
WaMu Mortgage Pass-Through Certificates,
Series 2005-3, Class 2A3
(LIBOR USD 1-Month plus 0.55%)
0.66%	05/25/352		2,025,016		1,698,306
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
0.61%	06/25/352		4,007,608		3,292,100

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A
(LIBOR USD 1-Month plus 0.32%)
0.75%	01/25/452	$	497,982	$	495,596
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR11, Class A1A
(LIBOR USD 1-Month plus 0.32%)
0.75%	08/25/452		25,027,571		24,879,796
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
2.91%	10/25/354		838,356		835,870
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.58%)
0.69%	10/25/452		3,912,220		3,912,661
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
3.08%	12/25/354		3,172,628		3,220,515
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A1
(LIBOR USD 1-Month plus 0.26%)
0.63%	11/25/452		20,803,351		20,217,466
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR17, Class A1A1
(LIBOR USD 1-Month plus 0.54%)
0.65%	12/25/452		10,285,806		9,950,096
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR19, Class A1A2
(LIBOR USD 1-Month plus 0.58%)
0.69%	12/25/452		10,749,860		10,613,954
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 1A1A
(LIBOR USD 1-Month plus 0.66%)
0.77%	01/25/452		11,737,841		11,709,266
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.62%)
0.73%	01/25/452		813,264		811,533
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
0.77%	01/25/452		69,163		68,981
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A23
(LIBOR USD 1-Month plus 0.76%)
0.87%	01/25/452		2,887,895		2,888,025
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.23%)
0.57%	04/25/452		102,694		101,376
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 1A1A
(LIBOR USD 1-Month plus 0.27%)
0.65%	07/25/452		118,148		115,853

See accompanying Notes to Financial Statements.

171 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR1, Class 2A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.07%)
1.33%	01/25/462	$	20,560,589	$	20,632,931
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR10, Class 1A4
3.01%	09/25/364		9,957,940		9,799,796
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
3.17%	12/25/364		535,938		518,030
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
1.26%	02/25/462		12,411,671		12,086,123
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.94%)
1.32%	05/25/462		4,035,810		4,040,596
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus 0.98%)
1.24%	07/25/462		8,682,119		8,183,428
WaMu Mortgage Pass-Through Certificates,
Series 2007-1, Class 2A1
6.00%	01/25/22		76,801		78,179
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
3.32%	07/25/374		214,973		215,240
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
0.96%	02/25/472		10,349,175		9,655,618
WaMu MSC Mortgage Pass-Through Certificates,
Series 2002-AR1, Class 1A1
3.16%	11/25/304		220,721		225,601
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		122,455		119,816
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR1, Class 1A1
2.66%	03/25/364		1,811,569		1,781,536
					5,289,603,019
U.S. Agency Commercial Mortgage-Backed — 0.21%
BX Commercial Mortgage Trust,
Series 2020-VIV4, Class A
2.84%	03/09/441		180,165,000		183,168,983
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K154, Class A2
3.42%	04/25/32		750,000		842,572

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K155, Class A3
3.75%	04/25/33	$	125,000	$	144,048
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K157, Class A3
3.99%	08/25/334		300,000		352,064
					184,507,667
U.S. Agency Mortgage-Backed — 35.57%
Fannie Mae Pool 190375
5.50%	11/01/36		553,091		647,021
Fannie Mae Pool 190396
4.50%	06/01/39		7,983		8,999
Fannie Mae Pool 254232
6.50%	03/01/22		1,574		1,598
Fannie Mae Pool 313182
7.50%	10/01/26		827		907
Fannie Mae Pool 394854
6.50%	05/01/27		538		605
Fannie Mae Pool 468128
4.33%	07/01/21		1,834,578		1,833,942
Fannie Mae Pool 468587
3.84%	08/01/21		555,699		555,518
Fannie Mae Pool 545191
7.00%	09/01/31		2,182		2,487
Fannie Mae Pool 545756
7.00%	06/01/32		508		601
Fannie Mae Pool 606108
7.00%	03/01/31		2,244		2,268
Fannie Mae Pool 613142
7.00%	11/01/31		7,821		9,170
Fannie Mae Pool 625666
7.00%	01/01/32		6,886		7,847
Fannie Mae Pool 633698
7.50%	02/01/31		26,405		31,481
Fannie Mae Pool 655928
7.00%	08/01/32		110,363		133,042
Fannie Mae Pool 725257
5.50%	02/01/34		760,085		887,915
Fannie Mae Pool 734830
4.50%	08/01/33		8,778		9,751
Fannie Mae Pool 734922
4.50%	09/01/33		1,362,839		1,520,715
Fannie Mae Pool 735207
7.00%	04/01/34		14,215		16,650
Fannie Mae Pool 735224
5.50%	02/01/35		2,632,257		3,094,772
Fannie Mae Pool 735651
4.50%	06/01/35		3,094,652		3,499,235
Fannie Mae Pool 735686
6.50%	12/01/22		176		180
Fannie Mae Pool 740297
5.50%	10/01/33		1,449		1,692

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 172

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 745147
4.50%	12/01/35	$	18,734	$	20,864
Fannie Mae Pool 753168
4.50%	12/01/33		6,109		6,797
Fannie Mae Pool 815422
4.50%	02/01/35		30,752		34,272
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.58%)
1.95%	11/01/352		169,268		171,409
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
2.29%	11/01/352		3,690		3,689
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
1.99%	12/01/352		4,698		4,726
Fannie Mae Pool 888412
7.00%	04/01/37		193,892		222,673
Fannie Mae Pool 889184
5.50%	09/01/36		2,585,933		3,021,839
Fannie Mae Pool AB1613
4.00%	10/01/40		23,417,801		25,974,816
Fannie Mae Pool AB1803
4.00%	11/01/40		29,237,613		32,419,617
Fannie Mae Pool AB2127
3.50%	01/01/26		9,850,742		10,516,241
Fannie Mae Pool AB3679
3.50%	10/01/41		9,887,009		10,750,830
Fannie Mae Pool AB3864
3.50%	11/01/41		7,588,571		8,260,149
Fannie Mae Pool AB4045
3.50%	12/01/41		9,367,544		10,205,578
Fannie Mae Pool AB4262
3.50%	01/01/32		5,176,991		5,533,268
Fannie Mae Pool AB6385
3.00%	10/01/42		323,092		342,688
Fannie Mae Pool AB9703
3.50%	06/01/43		19,847,414		21,514,223
Fannie Mae Pool AC8279
4.50%	08/01/39		11,708		13,034
Fannie Mae Pool AE0138
4.50%	03/01/40		49,400		55,670
Fannie Mae Pool AE0482
5.50%	01/01/38		6,367,128		7,259,551
Fannie Mae Pool AH3780
4.00%	02/01/41		11,719,735		13,061,572
Fannie Mae Pool AJ1404
4.00%	09/01/41		16,554,424		18,332,968
Fannie Mae Pool AL0209
4.50%	05/01/41		17,527,546		19,871,145
Fannie Mae Pool AL0290
4.61%	04/01/214		444,058		443,925
Fannie Mae Pool AL0834
4.08%	10/01/214		14,223,208		14,297,916
Fannie Mae Pool AL0851
6.00%	10/01/40		10,667,068		12,403,254

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL1445
3.88%	11/01/214	$	1,723,401	$	1,733,723
Fannie Mae Pool AL2521
3.50%	09/01/42		122,108		132,591
Fannie Mae Pool AL4597
4.00%	01/01/44		44,618,550		49,708,692
Fannie Mae Pool AL6348
3.50%	02/01/45		43,109		47,113
Fannie Mae Pool AL7092
3.00%	07/01/45		61,691		65,582
Fannie Mae Pool AL8037
4.50%	07/01/34		171,166		188,652
Fannie Mae Pool AL8256
3.00%	08/01/43		521,624		558,870
Fannie Mae Pool AL8356
4.50%	07/01/34		428,119		471,778
Fannie Mae Pool AL8960
4.50%	05/01/46		33,126,803		36,990,304
Fannie Mae Pool AL9106
4.50%	02/01/46		44,279,426		49,443,631
Fannie Mae Pool AL9217
3.50%	10/01/46		27,404,344		29,556,178
Fannie Mae Pool AL9472
4.00%	10/01/43		6,833,479		7,509,345
Fannie Mae Pool AL9722
4.50%	08/01/46		139,567,107		155,844,489
Fannie Mae Pool AL9846
4.50%	02/01/47		144,337,742		161,171,512
Fannie Mae Pool AM4869
4.07%	12/01/25		1,750,218		1,965,536
Fannie Mae Pool AM6770
3.77%	09/01/29		161,398		180,622
Fannie Mae Pool AN4429
3.22%	01/01/27		23,130,000		25,366,235
Fannie Mae Pool AN7981
2.95%	01/01/28		100,000		108,287
Fannie Mae Pool AN9814
3.63%	08/01/28		130,662,172		147,211,823
Fannie Mae Pool AS8605
3.00%	01/01/32		190,724		203,572
Fannie Mae Pool AS8663
4.50%	01/01/47		26,501,301		29,133,795
Fannie Mae Pool AS9830
4.00%	06/01/47		57,464,139		61,974,647
Fannie Mae Pool AS9972
4.00%	07/01/47		57,782,251		62,611,929
Fannie Mae Pool AT9649
4.00%	07/01/43		182,739		203,721
Fannie Mae Pool AU3739
3.50%	08/01/43		31,368,758		34,306,003
Fannie Mae Pool BD2450
3.50%	01/01/47		87,211		92,982
Fannie Mae Pool BL6060
2.46%	04/01/40		126,370,000		124,292,700
Fannie Mae Pool BM4299
3.00%	03/01/30		40,903,214		43,181,131

See accompanying Notes to Financial Statements.

173 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool BM4304
3.00%	02/01/30	$	55,886,295	$	59,029,554
Fannie Mae Pool BM5164
4.00%	11/01/48		56,784,434		61,448,872
Fannie Mae Pool BM5507
3.00%	09/01/48		9,693,867		10,196,797
Fannie Mae Pool BN4316
4.00%	01/01/49		32,714		35,347
Fannie Mae Pool CA0862
3.50%	09/01/47		4,653,033		4,933,237
Fannie Mae Pool CA0996
3.50%	01/01/48		53,987		58,065
Fannie Mae Pool CA1187
3.50%	02/01/48		85,674,868		90,871,718
Fannie Mae Pool CA1191
3.50%	11/01/47		5,525,731		5,855,034
Fannie Mae Pool CA1710
4.50%	05/01/48		179,686		195,899
Fannie Mae Pool CA1711
4.50%	05/01/48		18,525,590		20,215,300
Fannie Mae Pool CA2208
4.50%	08/01/48		44,773,374		48,831,275
Fannie Mae Pool CA2327
4.00%	09/01/48		41,140,993		45,145,436
Fannie Mae Pool CA2493
4.50%	10/01/48		12,245,363		13,319,398
Fannie Mae Pool CA3633
3.50%	06/01/49		31,362,474		33,858,758
Fannie Mae Pool CA4011
3.50%	08/01/49		56,914,619		59,354,881
Fannie Mae Pool FM2310
3.00%	01/01/48		15,266,281		15,954,416
Fannie Mae Pool FM2318
3.50%	09/01/49		280,695,921		301,897,474
Fannie Mae Pool FM2388
3.50%	04/01/48		24,262,243		26,284,369
Fannie Mae Pool MA1146
4.00%	08/01/42		34,309,339		37,842,693
Fannie Mae Pool MA1177
3.50%	09/01/42		43,420,033		47,129,080
Fannie Mae Pool MA1404
3.50%	04/01/43		87,504		95,608
Fannie Mae Pool MA1432
3.00%	05/01/33		64,934		68,744
Fannie Mae Pool MA1459
3.00%	06/01/33		31,214		33,046
Fannie Mae Pool MA1527
3.00%	08/01/33		44,520,124		47,132,390
Fannie Mae Pool MA1561
3.00%	09/01/33		27,847,485		29,481,466
Fannie Mae Pool MA1582
3.50%	09/01/43		14,464,586		15,804,238
Fannie Mae Pool MA1584
3.50%	09/01/33		43,065,782		46,551,417
Fannie Mae Pool MA1608
3.50%	10/01/33		30,409,500		32,870,915

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA1982
3.50%	08/01/34	$	66,465	$	71,163
Fannie Mae Pool MA2895
3.00%	02/01/47		67,644		71,153
Fannie Mae Pool MA2960
4.00%	04/01/47		44,879,729		48,402,454
Fannie Mae Pool MA3027
4.00%	06/01/47		32,196,633		34,723,829
Fannie Mae Pool MA3029
3.00%	06/01/32		34,160,991		36,189,843
Fannie Mae Pool MA3060
3.00%	07/01/32		15,036		15,917
Fannie Mae Pool MA3120
3.50%	09/01/47		2,372,000		2,516,323
Fannie Mae Pool MA3182
3.50%	11/01/47		51,153,194		54,294,063
Fannie Mae Pool MA3210
3.50%	12/01/47		88,874,696		94,318,671
Fannie Mae Pool MA3238
3.50%	01/01/48		75,154,020		79,609,308
Fannie Mae Pool MA3276
3.50%	02/01/48		30,660,940		32,520,766
Fannie Mae Pool MA3305
3.50%	03/01/48		40,297,642		42,750,153
Fannie Mae Pool MA3332
3.50%	04/01/48		113,426,944		120,286,277
Fannie Mae Pool MA3364
3.50%	05/01/33		14,411,297		15,421,160
Fannie Mae Pool MA3537
4.50%	12/01/48		28,691,046		31,256,660
Fannie Mae Pool MA3811
3.00%	10/01/49		15,298,297		15,658,586
Fannie Mae Pool MA3846
3.00%	11/01/49		92,101		94,346
Fannie Mae Pool MA3942
3.00%	02/01/50		31,700,384		32,409,888
Fannie Mae Pool MA3997
3.00%	04/01/50		38,971,364		40,014,939
Fannie Mae Pool MA4093
2.00%	08/01/40		224,327,732		226,620,956
Fannie Mae Pool MA4128
2.00%	09/01/40		183,371,542		185,585,449
Fannie Mae Pool MA4152
2.00%	10/01/40		217,833,655		220,463,635
Fannie Mae Pool MA4176
2.00%	11/01/40		53,901,300		54,651,823
Fannie Mae REMICS,
Series 1991-65, Class Z
6.50%	06/25/21		2		2
Fannie Mae REMICS,
Series 1992-123, Class Z
7.50%	07/25/22		179		184
Fannie Mae REMICS,
Series 1993-132, Class D (PO)
0.00%	10/25/229		6,256		6,251

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 174

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 1993-29, Class PK
7.00%		03/25/23	$	541	$	560
Fannie Mae REMICS,
Series 1994-55, Class H
7.00%		03/25/24		4,129		4,435
Fannie Mae REMICS,
Series 1997-34, Class SA
(Cost of Funds for the 11th District of San Francisco plus 0.00%)
2.53%		10/25/232		1,082		1,202
Fannie Mae REMICS,
Series 1998-37, Class VZ
6.00%		06/17/28		2,632		2,779
Fannie Mae REMICS,
Series 1999-11, Class Z
5.50%		03/25/29		23,545		24,933
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%		10/25/31		92,233		106,438
Fannie Mae REMICS,
Series 2005-117, Class LC
5.50%		11/25/35		2,743,674		2,853,900
Fannie Mae REMICS,
Series 2005-122, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.49%		11/25/352		41,508		4,975
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
5.99%		10/25/252		2,524,926		179,880
Fannie Mae REMICS,
Series 2006-4, Class WE
4.50%		02/25/36		45,321		49,809
Fannie Mae REMICS,
Series 2006-49, Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
28.57%		04/25/362		1,423,635		2,274,432
Fannie Mae REMICS,
Series 2007-17, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
6.29%		03/25/372		1,211,699		166,892
Fannie Mae REMICS,
Series 2007-34, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
6.00%		04/25/372		2,422,499		462,585
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
0.58%		07/25/372		3,661		3,708
Fannie Mae REMICS,
Series 2008-24, Class NA
6.75%		06/25/37		267,468		304,369

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.49%	10/25/402	$	3,223,701	$	488,461
Fannie Mae REMICS,
Series 2010-135, Class EA
3.00%	01/25/40		3,029		3,055
Fannie Mae REMICS,
Series 2010-17, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
6.24%	03/25/402		6,422,011		1,152,797
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
6.31%	05/25/402		11,304,261		2,302,651
Fannie Mae REMICS,
Series 2011-101, Class HE
4.00%	10/25/41		10,100,000		11,165,045
Fannie Mae REMICS,
Series 2011-111, Class DB
4.00%	11/25/41		14,369,417		15,789,872
Fannie Mae REMICS,
Series 2012-84, Class VZ
3.50%	08/25/42		10,085,386		10,913,341
Fannie Mae REMICS,
Series 2013-101, Class BO (PO)
0.00%	10/25/439		15,527,977		13,694,988
Fannie Mae REMICS,
Series 2013-101, Class CO (PO)
0.00%	10/25/439		9,307,580		8,110,087
Fannie Mae REMICS,
Series 2016-45, Class AF
(LIBOR USD 1-Month plus 0.50%)
0.61%	07/25/462		10,825,223		10,942,076
Fannie Mae REMICS,
Series 2016-72, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.61%	10/25/462		24,165,369		24,430,925
Fannie Mae REMICS,
Series 2016-74, Class GF
(LIBOR USD 1-Month plus 0.50%)
0.61%	10/25/462		17,452,376		17,614,727
Fannie Mae REMICS,
Series 2016-75, Class FL
(LIBOR USD 1-Month plus 0.50%)
0.61%	10/25/462		16,971,714		17,129,179
Fannie Mae REMICS,
Series 2018-29, Class AP
3.50%	11/25/46		101,021,793		103,651,673
Fannie Mae REMICS,
Series 2018-38, Class LA
3.00%	06/25/48		32,096,090		33,553,618
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%	06/25/47		56,243		58,887

See accompanying Notes to Financial Statements.

175 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2018-45, Class GA
3.00%	06/25/48	$	36,888,933	$	38,949,768
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%	01/25/47		31,512,699		32,695,095
Fannie Mae REMICS,
Series 2018-57, Class QA
3.50%	05/25/46		113,935		117,845
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%	05/25/47		2,604,468		2,716,154
Fannie Mae REMICS,
Series 2018-94, Class KD
3.50%	12/25/48		10,836,494		11,319,729
Fannie Mae REMICS,
Series 2019-1, Class AB
3.50%	02/25/49		2,796,485		2,968,778
Fannie Mae REMICS,
Series 2019-1, Class KP
3.25%	02/25/49		4,179,708		4,349,532
Fannie Mae REMICS,
Series 2019-26, Class JE
3.00%	06/25/49		11,624,129		11,996,144
Fannie Mae REMICS,
Series 2019-45, Class PA
3.00%	08/25/49		40,872,859		43,264,710
Fannie Mae REMICS,
Series 2019-52, Class PA
3.00%	09/25/49		13,294,248		13,688,120
Fannie Mae REMICS,
Series 2019-67, Class FE
(LIBOR USD 1-Month plus 0.45%)
0.56%	11/25/492		47,034,545		47,418,199
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.61%	01/25/502		136,570		138,169
Fannie Mae REMICS,
Series G92-36, Class Z
7.00%	07/25/22		3		3
Fannie Mae REMICS,
Series G93-21, Class Z
7.20%	05/25/23		808		846
Fannie Mae Trust,
Series 2003-W2, Class 2A9
5.90%	07/25/42		22,450		25,928
Freddie Mac Gold Pool A24156
6.50%	10/01/31		101,021		113,555
Freddie Mac Gold Pool A25162
5.50%	05/01/34		1,447,827		1,667,343
Freddie Mac Gold Pool A39012
5.50%	06/01/35		32,028		37,033
Freddie Mac Gold Pool A54856
5.00%	01/01/34		2,589,787		2,959,165

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool A61164
5.00%	04/01/36	$	8,574	$	9,702
Freddie Mac Gold Pool A97038
4.00%	02/01/41		9,261,453		10,178,011
Freddie Mac Gold Pool C01492
5.00%	02/01/33		405,659		457,961
Freddie Mac Gold Pool C04546
3.00%	02/01/43		15,419,410		16,407,499
Freddie Mac Gold Pool C04573
3.00%	03/01/43		19,106,050		20,355,369
Freddie Mac Gold Pool C46104
6.50%	09/01/29		9,953		11,188
Freddie Mac Gold Pool C55789
7.50%	10/01/27		4,542		4,977
Freddie Mac Gold Pool C90573
6.50%	08/01/22		10,950		11,336
Freddie Mac Gold Pool E02402
6.00%	10/01/22		2,458		2,515
Freddie Mac Gold Pool G00992
7.00%	11/01/28		512		585
Freddie Mac Gold Pool G01515
5.00%	02/01/33		449,803		507,197
Freddie Mac Gold Pool G02579
5.00%	12/01/34		682,098		793,320
Freddie Mac Gold Pool G02884
6.00%	04/01/37		1,835,172		2,127,314
Freddie Mac Gold Pool G02955
5.50%	03/01/37		2,722,031		3,124,862
Freddie Mac Gold Pool G03357
5.50%	08/01/37		1,074,339		1,244,332
Freddie Mac Gold Pool G03676
5.50%	12/01/37		1,753,327		2,018,425
Freddie Mac Gold Pool G03783
5.50%	01/01/38		1,222,279		1,406,105
Freddie Mac Gold Pool G03985
6.00%	03/01/38		18,121		21,509
Freddie Mac Gold Pool G04438
5.50%	05/01/38		3,959,680		4,556,350
Freddie Mac Gold Pool G04703
5.50%	08/01/38		3,075,178		3,536,241
Freddie Mac Gold Pool G04706
5.50%	09/01/38		130,699		150,631
Freddie Mac Gold Pool G05866
4.50%	02/01/40		13,225,842		15,032,837
Freddie Mac Gold Pool G06361
4.00%	03/01/41		17,657		19,686
Freddie Mac Gold Pool G06498
4.00%	04/01/41		17,301,852		19,191,487
Freddie Mac Gold Pool G06499
4.00%	03/01/41		7,755,725		8,551,313
Freddie Mac Gold Pool G07408
3.50%	06/01/43		17,740,528		19,388,275
Freddie Mac Gold Pool G07786
4.00%	08/01/44		149,112,697		165,393,086
Freddie Mac Gold Pool G07848
3.50%	04/01/44		85,864,379		93,734,536

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 176

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G07849
3.50%	05/01/44	$	11,630,821	$	12,623,732
Freddie Mac Gold Pool G07924
3.50%	01/01/45		14,474,709		15,658,276
Freddie Mac Gold Pool G07925
4.00%	02/01/45		9,796,892		10,804,306
Freddie Mac Gold Pool G08676
3.50%	11/01/45		40,862,485		43,788,119
Freddie Mac Gold Pool G08681
3.50%	12/01/45		26,926,709		28,854,583
Freddie Mac Gold Pool G08698
3.50%	03/01/46		1,412		1,516
Freddie Mac Gold Pool G08710
3.00%	06/01/46		153,534,910		161,555,758
Freddie Mac Gold Pool G08711
3.50%	06/01/46		11,936,860		12,794,564
Freddie Mac Gold Pool G08715
3.00%	08/01/46		206,008,908		216,771,061
Freddie Mac Gold Pool G08721
3.00%	09/01/46		21,097,801		22,199,975
Freddie Mac Gold Pool G08722
3.50%	09/01/46		52,352,201		56,113,885
Freddie Mac Gold Pool G08726
3.00%	10/01/46		225,044,517		236,801,112
Freddie Mac Gold Pool G08727
3.50%	10/01/46		45,614,840		48,785,137
Freddie Mac Gold Pool G08732
3.00%	11/01/46		136,891,058		144,042,411
Freddie Mac Gold Pool G08741
3.00%	01/01/47		84,037,306		88,427,516
Freddie Mac Gold Pool G08742
3.50%	01/01/47		70,673,284		75,685,144
Freddie Mac Gold Pool G08747
3.00%	02/01/47		28,719,430		30,219,768
Freddie Mac Gold Pool G08757
3.50%	04/01/47		27,756,461		29,690,140
Freddie Mac Gold Pool G08758
4.00%	04/01/47		21,752		23,549
Freddie Mac Gold Pool G08762
4.00%	05/01/47		22,362,709		24,121,368
Freddie Mac Gold Pool G08779
3.50%	09/01/47		110,471		117,305
Freddie Mac Gold Pool G08784
3.50%	10/01/47		96,027		101,880
Freddie Mac Gold Pool G08792
3.50%	12/01/47		82,036		87,078
Freddie Mac Gold Pool G08826
5.00%	06/01/48		20,310,767		22,488,253
Freddie Mac Gold Pool G08833
5.00%	07/01/48		12,465,727		13,802,645
Freddie Mac Gold Pool G08838
5.00%	09/01/48		5,945,371		6,612,643
Freddie Mac Gold Pool G08840
5.00%	08/01/48		1,979,780		2,193,463
Freddie Mac Gold Pool G08843
4.50%	10/01/48		13,918,343		15,171,108

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08844
5.00%	10/01/48	$	16,549,313	$	18,323,539
Freddie Mac Gold Pool G08848
4.50%	11/01/48		2,573,966		2,806,356
Freddie Mac Gold Pool G08849
5.00%	11/01/48		6,448,486		7,155,190
Freddie Mac Gold Pool G12393
5.50%	10/01/21		5,113		5,124
Freddie Mac Gold Pool G12399
6.00%	09/01/21		31		31
Freddie Mac Gold Pool G12824
6.00%	08/01/22		187,393		192,157
Freddie Mac Gold Pool G12909
6.00%	11/01/22		587,491		605,858
Freddie Mac Gold Pool G13032
6.00%	09/01/22		21,859		22,103
Freddie Mac Gold Pool G16085
2.50%	02/01/32		3,914,025		4,113,446
Freddie Mac Gold Pool G16502
3.50%	05/01/33		92,239		98,969
Freddie Mac Gold Pool G16524
3.50%	05/01/33		31,710,960		34,202,594
Freddie Mac Gold Pool G16584
3.50%	08/01/33		5,504,063		5,875,205
Freddie Mac Gold Pool G16607
3.50%	09/01/33		54,411,776		58,655,801
Freddie Mac Gold Pool G16623
2.50%	09/01/32		33,709,405		35,101,045
Freddie Mac Gold Pool G16755
3.50%	02/01/34		51,867,167		55,630,963
Freddie Mac Gold Pool G16756
3.50%	01/01/34		4,840,495		5,217,856
Freddie Mac Gold Pool G18592
3.00%	03/01/31		32,823		34,789
Freddie Mac Gold Pool G18596
3.00%	04/01/31		38,020,992		40,301,509
Freddie Mac Gold Pool G18691
3.00%	06/01/33		14,643,589		15,475,453
Freddie Mac Gold Pool G18692
3.50%	06/01/33		21,281,730		22,716,770
Freddie Mac Gold Pool G18713
3.50%	11/01/33		25,765,504		27,501,881
Freddie Mac Gold Pool G18716
3.50%	12/01/33		78,283		83,559
Freddie Mac Gold Pool G60023
3.50%	04/01/45		14,710,493		16,022,051
Freddie Mac Gold Pool G60080
3.50%	06/01/45		155,170,973		168,061,233
Freddie Mac Gold Pool G60138
3.50%	08/01/45		118,013,392		128,535,230
Freddie Mac Gold Pool G60238
3.50%	10/01/45		47,989,873		52,086,084
Freddie Mac Gold Pool G60344
4.00%	12/01/45		118,944		130,784
Freddie Mac Gold Pool G67700
3.50%	08/01/46		35,992,872		39,009,309

See accompanying Notes to Financial Statements.

177 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G67703
3.50%	04/01/47	$	364,308,179	$	394,611,879
Freddie Mac Gold Pool G67706
3.50%	12/01/47		190,422,777		205,260,059
Freddie Mac Gold Pool G67707
3.50%	01/01/48		451,554,946		489,914,638
Freddie Mac Gold Pool G67708
3.50%	03/01/48		446,188,602		479,909,653
Freddie Mac Gold Pool G67709
3.50%	03/01/48		318,958,054		343,810,494
Freddie Mac Gold Pool G67710
3.50%	03/01/48		287,473,869		307,918,054
Freddie Mac Gold Pool G67711
4.00%	03/01/48		84,328,681		92,601,698
Freddie Mac Gold Pool G67713
4.00%	06/01/48		813,838		893,871
Freddie Mac Gold Pool G67714
4.00%	07/01/48		128,615		140,871
Freddie Mac Gold Pool G67717
4.00%	11/01/48		107,424,962		117,661,487
Freddie Mac Gold Pool H00790
5.50%	05/01/37		4,395		5,046
Freddie Mac Gold Pool H05069
5.50%	05/01/37		188,320		216,196
Freddie Mac Gold Pool Q05804
4.00%	01/01/42		30,801,823		34,255,870
Freddie Mac Gold Pool U99097
3.50%	07/01/43		46,119,433		50,209,241
Freddie Mac Gold Pool V62078
3.50%	08/01/33		5,710,677		6,146,918
Freddie Mac Gold Pool V62129
3.50%	08/01/33		12,378,417		13,284,962
Freddie Mac Gold Pool V80356
3.50%	08/01/43		31,278,765		34,060,380
Freddie Mac Pool RB5077
2.00%	10/01/40		130,606,250		132,183,113
Freddie Mac Pool RE6029
3.00%	02/01/50		10,641,398		10,879,569
Freddie Mac Pool SD7502
3.50%	07/01/49		13,884,847		14,850,063
Freddie Mac Pool SD7503
3.50%	08/01/49		29,078,102		31,256,258
Freddie Mac Pool SD7511
3.50%	01/01/50		28,893,055		31,093,466
Freddie Mac Pool ZA5103
3.50%	12/01/47		303,097		321,523
Freddie Mac Pool ZA5128
3.50%	12/01/47		771,018		816,966
Freddie Mac Pool ZM1779
3.00%	09/01/46		22,632,249		23,804,604
Freddie Mac Pool ZM2285
3.00%	12/01/46		25,362,401		26,676,177
Freddie Mac Pool ZS4693
3.00%	12/01/46		25,953,359		27,297,747
Freddie Mac Pool ZS4768
3.50%	05/01/48		2,229,856		2,361,350

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool ZT0277
3.50%	10/01/46	$	2,821,794	$	3,031,403
Freddie Mac Pool ZT1403
3.50%	11/01/33		30,116,963		32,150,213
Freddie Mac REMICS,
Series 1073, Class G
7.00%	05/15/21		5		5
Freddie Mac REMICS,
Series 1107, Class ZC
6.50%	07/15/21		91		91
Freddie Mac REMICS,
Series 1980, Class Z
7.00%	07/15/27		53,782		61,251
Freddie Mac REMICS,
Series 1983, Class Z
6.50%	12/15/23		14,047		14,987
Freddie Mac REMICS,
Series 2098, Class TZ
6.00%	01/15/28		220,802		244,912
Freddie Mac REMICS,
Series 2174, Class PN
6.00%	07/15/29		12,023		13,552
Freddie Mac REMICS,
Series 2313, Class LA
6.50%	05/15/31		5,868		6,737
Freddie Mac REMICS,
Series 2433, Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
20.65%	02/15/322		7,361		11,241
Freddie Mac REMICS,
Series 2481, Class AW
6.50%	08/15/32		24,589		27,044
Freddie Mac REMICS,
Series 3019, Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.09%	08/15/352		1,033,189		236,355
Freddie Mac REMICS,
Series 3063, Class YG
5.50%	11/15/35		2,725,024		3,146,897
Freddie Mac REMICS,
Series 3300, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.09%	08/15/352		456,796		86,523
Freddie Mac REMICS,
Series 3707, Class EI (IO)
5.00%	12/15/38		3,228,708		84,652
Freddie Mac REMICS,
Series 3730, Class JG
3.00%	09/15/39		1,878		1,892
Freddie Mac REMICS,
Series 3752, Class XL
4.50%	11/15/40		47,288,083		52,375,345
Freddie Mac REMICS,
Series 3891, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
5.84%	07/15/412		5,347,081		559,061

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 178

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3904, Class JB
4.50%	08/15/41	$	11,408,744	$	12,817,482
Freddie Mac REMICS,
Series 3925, Class LB
4.50%	09/15/41		9,215,000		10,726,490
Freddie Mac REMICS,
Series 3928, Class JD
4.00%	09/15/41		32,095,702		35,135,287
Freddie Mac REMICS,
Series 4102, Class TC
2.50%	09/15/41		11,181,427		11,628,496
Freddie Mac REMICS,
Series 4161, Class BA
2.50%	12/15/41		17,557,349		18,359,163
Freddie Mac REMICS,
Series 4656, Class EZ
4.00%	02/15/47		182,452		207,688
Freddie Mac REMICS,
Series 4818, Class CA
3.00%	04/15/48		2,726,318		2,839,617
Freddie Mac REMICS,
Series 4846, Class PA
4.00%	06/15/47		920,175		964,355
Freddie Mac REMICS,
Series 4852, Class CA
4.00%	11/15/47		31,553,725		33,276,827
Freddie Mac REMICS,
Series 4860, Class BH
3.50%	10/15/48		12,217,445		12,644,608
Freddie Mac REMICS,
Series 4860, Class PA
3.50%	02/15/49		5,580,545		5,889,666
Freddie Mac REMICS,
Series 4879, Class BC
3.00%	04/15/49		2,424,888		2,508,421
Freddie Mac REMICS,
Series 4896, Class DA
3.00%	01/15/49		2,306,598		2,378,469
Freddie Mac REMICS,
Series 4937, Class MF
(LIBOR USD 1-Month plus 0.45%)
0.56%	12/25/492		10,342,287		10,398,079
Freddie Mac Strips,
Series 309, Class PO (PO)
0.00%	08/15/439		20,941,681		18,250,323
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
0.61%	11/15/432		3,580,673		3,619,071
Ginnie Mae (TBA)
2.00%	05/20/51		1,727,625,000		1,740,952,850
2.50%	05/20/51		901,450,000		928,145,495
2.50%	06/20/51		291,400,000		299,505,693
Ginnie Mae I Pool 782817
4.50%	11/15/39		13,664,192		15,617,513

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae I Pool AA5452
3.50%	07/15/42	$	148,164	$	158,329
Ginnie Mae II Pool 2631
7.00%	08/20/28		1,339		1,511
Ginnie Mae II Pool 3388
4.50%	05/20/33		3,841		4,302
Ginnie Mae II Pool 3427
4.50%	08/20/33		1,297		1,454
Ginnie Mae II Pool 3554
4.50%	05/20/34		1,253		1,406
Ginnie Mae II Pool 4058
5.00%	12/20/37		693		798
Ginnie Mae II Pool 4342
5.00%	01/20/39		1,003		1,111
Ginnie Mae II Pool 4520
5.00%	08/20/39		19,759		21,884
Ginnie Mae II Pool 5140
4.50%	08/20/41		41,660		46,742
Ginnie Mae II Pool 5175
4.50%	09/20/41		44,865		50,339
Ginnie Mae II Pool 5281
4.50%	01/20/42		13,227		14,841
Ginnie Mae II Pool 783591
4.50%	07/20/41		16,409		18,411
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.25%	07/20/342		10,305		10,702
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.00%	03/20/352		15,779		15,969
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.25%	08/20/352		19,181		20,095
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.13%	10/20/352		15,054		15,778
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.88%	05/20/252		2,619		2,683
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.88%	06/20/252		3,542		3,591
Ginnie Mae II Pool MA0627
4.50%	12/20/42		54,843		61,541
Ginnie Mae II Pool MA0701
4.50%	01/20/43		55,239		61,868
Ginnie Mae II Pool MA1157
3.50%	07/20/43		50,749		54,906
Ginnie Mae II Pool MA1997
4.50%	06/20/44		13,615		15,275

See accompanying Notes to Financial Statements.

179 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA2374
5.00%	11/20/44	$	334,523	$	381,961
Ginnie Mae II Pool MA2756
4.50%	04/20/45		30,096		33,760
Ginnie Mae II Pool MA2828
4.50%	05/20/45		1,324,986		1,486,026
Ginnie Mae II Pool MA2894
4.50%	06/20/45		497,900		558,442
Ginnie Mae II Pool MA3036
4.50%	08/20/45		50,845		56,926
Ginnie Mae II Pool MA3309
3.00%	12/20/45		10,425		11,032
Ginnie Mae II Pool MA3456
4.50%	02/20/46		341,724		382,557
Ginnie Mae II Pool MA3521
3.50%	03/20/46		41,734,982		44,869,237
Ginnie Mae II Pool MA3524
5.00%	03/20/46		14,527		16,670
Ginnie Mae II Pool MA3597
3.50%	04/20/46		105,632,556		113,565,456
Ginnie Mae II Pool MA3600
5.00%	04/20/46		9,152,652		10,526,984
Ginnie Mae II Pool MA3662
3.00%	05/20/46		4,073,471		4,298,607
Ginnie Mae II Pool MA3663
3.50%	05/20/46		30,619,148		32,870,773
Ginnie Mae II Pool MA3665
4.50%	05/20/46		140,751		156,321
Ginnie Mae II Pool MA3666
5.00%	05/20/46		4,822,610		5,533,775
Ginnie Mae II Pool MA3738
4.50%	06/20/46		580,868		645,123
Ginnie Mae II Pool MA3739
5.00%	06/20/46		2,913,534		3,350,986
Ginnie Mae II Pool MA3805
4.50%	07/20/46		5,136,834		5,692,228
Ginnie Mae II Pool MA3806
5.00%	07/20/46		223,862		256,873
Ginnie Mae II Pool MA3873
3.00%	08/20/46		31,584,426		33,330,056
Ginnie Mae II Pool MA3876
4.50%	08/20/46		5,030,235		5,586,679
Ginnie Mae II Pool MA3877
5.00%	08/20/46		1,051,921		1,201,749
Ginnie Mae II Pool MA3937
3.50%	09/20/46		24,801,639		26,625,464
Ginnie Mae II Pool MA3939
4.50%	09/20/46		2,664,479		2,974,599
Ginnie Mae II Pool MA4003
3.00%	10/20/46		12,666,505		13,366,566
Ginnie Mae II Pool MA4006
4.50%	10/20/46		3,025,863		3,375,713
Ginnie Mae II Pool MA4007
5.00%	10/20/46		6,326,728		7,276,528
Ginnie Mae II Pool MA4069
3.50%	11/20/46		77,157,310		82,638,295

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4071
4.50%	11/20/46	$	8,785,001	$	9,852,502
Ginnie Mae II Pool MA4072
5.00%	11/20/46		1,596,994		1,832,436
Ginnie Mae II Pool MA4126
3.00%	12/20/46		210,725,835		222,372,374
Ginnie Mae II Pool MA4127
3.50%	12/20/46		82,650,225		88,280,089
Ginnie Mae II Pool MA4129
4.50%	12/20/46		27,940,500		31,181,684
Ginnie Mae II Pool MA4196
3.50%	01/20/47		20,086		21,513
Ginnie Mae II Pool MA4198
4.50%	01/20/47		233,436		257,653
Ginnie Mae II Pool MA4199
5.00%	01/20/47		5,104,465		5,857,007
Ginnie Mae II Pool MA4264
4.50%	02/20/47		70,161,785		77,440,705
Ginnie Mae II Pool MA4265
5.00%	02/20/47		1,259,965		1,445,697
Ginnie Mae II Pool MA4324
5.00%	03/20/47		6,827,050		7,755,986
Ginnie Mae II Pool MA4382
3.50%	04/20/47		51,381,835		54,678,571
Ginnie Mae II Pool MA4384
4.50%	04/20/47		3,273,555		3,598,848
Ginnie Mae II Pool MA4385
5.00%	04/20/47		12,469,109		13,915,864
Ginnie Mae II Pool MA4453
4.50%	05/20/47		170,560,994		187,456,305
Ginnie Mae II Pool MA4454
5.00%	05/20/47		26,499,017		29,532,395
Ginnie Mae II Pool MA4510
3.50%	06/20/47		72,357		77,000
Ginnie Mae II Pool MA4511
4.00%	06/20/47		10,656,938		11,554,744
Ginnie Mae II Pool MA4512
4.50%	06/20/47		597,296		656,136
Ginnie Mae II Pool MA4513
5.00%	06/20/47		531,917		592,783
Ginnie Mae II Pool MA4586
3.50%	07/20/47		86,640,395		92,145,223
Ginnie Mae II Pool MA4588
4.50%	07/20/47		99,514		109,294
Ginnie Mae II Pool MA4589
5.00%	07/20/47		25,538,928		28,424,321
Ginnie Mae II Pool MA4652
3.50%	08/20/47		6,604,341		7,021,894
Ginnie Mae II Pool MA4655
5.00%	08/20/47		30,493,857		34,123,551
Ginnie Mae II Pool MA4719
3.50%	09/20/47		84,233,666		89,559,255
Ginnie Mae II Pool MA4720
4.00%	09/20/47		216,676		233,915
Ginnie Mae II Pool MA4722
5.00%	09/20/47		602,552		668,839

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 180

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4781
5.00%		10/20/47	$	7,488,008	$	8,299,489
Ginnie Mae II Pool MA4836
3.00%		11/20/47		178,221,121		188,261,746
Ginnie Mae II Pool MA4837
3.50%		11/20/47		208,373,701		221,949,867
Ginnie Mae II Pool MA4838
4.00%		11/20/47		72,790,302		78,738,343
Ginnie Mae II Pool MA4840
5.00%		11/20/47		2,159,738		2,406,092
Ginnie Mae II Pool MA4900
3.50%		12/20/47		13,477,300		14,355,386
Ginnie Mae II Pool MA4901
4.00%		12/20/47		48,606,533		52,506,729
Ginnie Mae II Pool MA4961
3.00%		01/20/48		601,170		634,913
Ginnie Mae II Pool MA4963
4.00%		01/20/48		83,037,301		89,746,615
Ginnie Mae II Pool MA5078
4.00%		03/20/48		132,977		143,478
Ginnie Mae II Pool MA5137
4.00%		04/20/48		29,513,602		31,740,347
Ginnie Mae II Pool MA5399
4.50%		08/20/48		6,545,764		7,163,738
Ginnie Mae II Pool MA5466
4.00%		09/20/48		11,214,616		12,099,948
Ginnie Mae II Pool MA5467
4.50%		09/20/48		62,525		67,893
Ginnie Mae II Pool MA5528
4.00%		10/20/48		52,209,722		56,272,632
Ginnie Mae II Pool MA5530
5.00%		10/20/48		11,223,321		12,261,606
Ginnie Mae II Pool MA5651
4.00%		12/20/48		18,295		19,638
Ginnie Mae II Pool MA6030
3.50%		07/20/49		36,273,347		37,189,439
Ginnie Mae II Pool MA6080
3.00%		08/20/49		6,060		6,186
Ginnie Mae II Pool MA6081
3.50%		08/20/49		13,640,109		13,984,593
Ginnie Mae II Pool MA6209
3.00%		10/20/49		10,552,104		10,875,547
Ginnie Mae II Pool MA6210
3.50%		10/20/49		6,553,755		6,719,272
Ginnie Mae,
Series 2003-86, Class ZK
5.00%		10/20/33		5,379,923		6,047,862
Ginnie Mae,
Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
6.64%		06/16/372		9,638,954		1,971,696
Ginnie Mae,
Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
6.14%		03/20/362		8,612,031		1,010,805

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.69%	05/20/372	$	21,410,469	$	3,132,253
Ginnie Mae,
Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
6.37%	12/20/392		3,466,738		773,768
Ginnie Mae,
Series 2009-17, Class P
4.00%	08/16/38		1,866		1,878
Ginnie Mae,
Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.69%	07/16/392		30,648		4,231
Ginnie Mae,
Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
6.19%	08/16/382		45,511		4,226
Ginnie Mae,
Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
6.29%	01/16/402		44,437		9,356
Ginnie Mae,
Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
5.69%	01/16/402		8,079,527		1,488,166
Ginnie Mae,
Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
6.39%	09/16/392		1,561,694		117,775
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%	11/16/41		103,570		19,422
Ginnie Mae,
Series 2013-113, Class LY
3.00%	05/20/43		51,184,000		53,990,109
Ginnie Mae,
Series 2014-108, Class PA
2.63%	12/20/39		10,255,049		10,578,578
Ginnie Mae,
Series 2018-124, Class NW
3.50%	09/20/48		1,375,971		1,477,423
Ginnie Mae,
Series 2019-1, Class NP
3.50%	01/20/49		19,384,131		20,529,297
Ginnie Mae,
Series 2019-119, Class JE
3.00%	09/20/49		18,507,649		19,145,642
Ginnie Mae,
Series 2019-15, Class GT
3.50%	02/20/49		18,046,659		19,255,616
Ginnie Mae,
Series 2019-44, Class CA
3.50%	12/20/48		8,012,846		8,352,815

See accompanying Notes to Financial Statements.

181 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2019-71, Class PT
3.00%	06/20/49	$	4,685,161	$	4,866,935
Ginnie Mae,
Series 2019-86, Class C
2.50%	03/20/49		23,261,389		24,331,757
Ginnie Mae,
Series 2019-90, Class HE
3.00%	07/20/49		21,672,389		22,612,325
UMBS (TBA)
1.50%	05/01/36		1,096,500,000		1,099,510,495
2.00%	05/01/36		1,505,125,000		1,542,889,083
2.00%	05/01/51		9,975,100,000		9,938,862,457
2.50%	05/01/51		3,080,625,000		3,154,752,385
					30,925,159,272
Total Mortgage-Backed
(Cost $37,137,792,527)					37,555,706,722
MUNICIPAL BONDS — 0.94%*
Arizona — 0.03%
Maricopa County Industrial Development Authority Revenue Bonds, Health, Hospital and Nursing Home Improvements,
Series 2017D
3.00%	01/01/48		17,830,000		18,479,943
Maricopa County Industrial Development Authority Revenue Bonds, Health, Hospital and Nursing Home Improvements,
Series 2019E
3.00%	01/01/49		6,590,000		6,827,203
					25,307,146
California — 0.25%
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E
2.83%	11/01/41		16,975,000		16,895,557
Los Angeles Community College District General Obligation Bonds
2.34%	08/01/33		15,630,000		15,515,462
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
5.00%	05/15/44		185,000		224,598
Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements, Series C
5.52%	07/01/27		12,625,000		15,404,275
Los Angeles Department of Water & Power Power System Revenue Bonds, Water Utility Improvements, Series SY
6.01%	07/01/39		350,000		453,449
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%	07/01/34		10,755,000		14,234,915
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%	07/01/34		12,165,000		17,198,031

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N
3.01%		05/15/50	$	70,090,000	$	67,345,976
3.26%		05/15/60		40,075,000		40,129,301
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP
3.93%		05/15/45		30,115,000		32,995,840
						220,397,404
Colorado — 0.05%
City & County of Denver Airport System Revenue Bonds, Series C
2.04%		11/15/28		14,000,000		13,892,172
2.39%		11/15/31		6,010,000		5,891,919
2.52%		11/15/32		13,450,000		13,207,802
2.62%		11/15/33		9,000,000		8,839,464
2.72%		11/15/34		5,000,000		4,913,063
						46,744,420
Florida — 0.01%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series E
2.53%		10/01/30		2,160,000		2,153,519
Greater Orlando Aviation Authority Revenue Bonds, Port, Airport and Marina Improvements, Series A
5.00%		10/01/44		610,000		746,329
5.00%		10/01/54		1,425,000		1,716,420
						4,616,268
Massachusetts — 0.01%
Commonwealth of Massachusetts General Obligation Bonds, Public Improvements, Series C
3.00%		03/01/49		9,350,000		9,795,293
New Jersey — 0.00%
Jersey City Municipal Utilities Authority Revenue Bonds, Water Utility Improvements, Series B
5.47%		05/15/27		400,000		441,350
New Jersey State Turnpike Authority Revenue Bonds, Highway Improvements, Series A
7.10%		01/01/41		285,000		437,082
New Jersey Turnpike Authority Revenue Bonds, Highway Revenue, Series F
3.73%		01/01/36		300,000		328,662
						1,207,094
New York — 0.55%
City of New York General Obligation Bonds, Public Improvements
4.77%		10/01/23		4,420,000		4,895,166
5.21%		10/01/31		6,420,000		7,736,582
5.52%		10/01/37		6,075,000		7,907,161
City of New York General Obligation Bonds, Public Improvements, Series A
3.00%		08/01/34		15,185,000		15,355,344

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 182

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
City of New York General Obligation Bonds, Public Improvements, Series D-1
4.00%	03/01/50	$	7,000,000	$	7,894,692
City of New York General Obligation Bonds, Public Improvements, Series F
3.62%	04/01/31		3,145,000		3,387,395
City of New York General Obligation Bonds, Series D
1.72%	08/01/29		30,000,000		28,596,309
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%	11/15/49		19,375,000		24,081,092
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
4.00%	05/01/42		3,150,000		3,655,732
4.00%	05/01/43		3,750,000		4,329,930
5.51%	08/01/37		25,000,000		32,691,083
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series B3
2.00%	08/01/35		4,055,000		3,737,553
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series C
4.00%	05/01/43		5,000,000		5,594,050
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D
2.40%	11/01/32		17,295,000		17,171,029
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%	02/01/33		3,090,000		2,915,873
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries C5
3.90%	05/01/31		15,000,000		16,484,676
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI
4.00%	08/01/33		6,450,000		7,084,736
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries SU
3.88%	08/01/31		3,135,000		3,468,951
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3
5.27%	05/01/27		13,135,000		15,764,871
New York City Water & Sewer System Revenue Bonds, Series AA
4.00%	06/15/50		10,400,000		12,147,616
5.00%	06/15/50		5,575,000		7,098,982
New York State Dormitory Authority Revenue Bonds, School Improvements, Series A
4.00%	03/15/48		9,870,000		11,122,750
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%	03/15/33		44,990,000		53,977,895
5.43%	03/15/39		21,400,000		26,908,386

Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series A
3.00%	03/15/38	$	55,645,000	$	59,006,192
4.00%	03/15/47		155,000		176,566
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series E
4.00%	03/15/46		63,215,000		71,975,967
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series E
4.00%	03/15/43		18,715,000		21,381,326
New York State Urban Development Corp. Revenue Bonds, Public Improvements
5.77%	03/15/39		150,000		182,817
					476,730,722
Texas — 0.04%
North Texas Tollway Authority Revenue Bonds
2.23%	01/01/32		6,065,000		5,898,001
2.33%	01/01/33		8,765,000		8,523,570
2.43%	01/01/34		10,000,000		9,738,750
2.53%	01/01/35		8,000,000		7,803,720
Texas A&M University Revenue Bonds, University & College Improvements, Series B
2.69%	05/15/25		350,000		376,727
					32,340,768
Total Municipal Bonds (Cost $800,207,451)					817,139,115
U.S. TREASURY SECURITIES — 40.17%
U.S. Treasury Bonds — 5.44%
U.S. Treasury Bonds
1.63%	11/15/50		679,736,000		566,623,681
1.88%	02/15/41		1,143,021,000		1,064,884,805
1.88%	02/15/51		3,493,522,000		3,101,046,638
					4,732,555,124
U.S. Treasury Notes — 34.73%
U.S. Treasury Floating Rate Notes
(US Treasury Bill Yield 3-Month plus 0.11%)
0.13%	04/30/222		170,000,000		170,183,398
U.S. Treasury Notes
0.13%	12/31/22		973,572,000		973,248,745
0.13%	01/31/23		3,494,369,000		3,492,731,014
0.13%	02/28/23		5,839,461,000		5,836,039,426
0.13%	03/31/23		4,681,942,000		4,678,924,348
0.38%	03/31/22		79,520,000		79,764,020
0.38%	01/31/26		257,043,000		250,657,088
0.50%	02/28/26		6,531,325,000		6,403,249,831
0.75%	03/31/26		5,412,234,000		5,365,511,266
1.13%	02/15/31		2,500,739,000		2,363,393,788
1.50%	08/31/21		300,000,000		301,816,410

See accompanying Notes to Financial Statements.

183 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
2.25%		04/30/21	$	277,000,000	$	277,481,504
						30,193,000,838
Total U.S. Treasury Securities (Cost $35,215,381,578)						34,925,555,962
Total Bonds — 111.65% (Cost $96,236,712,277)						97,068,572,873
Issues			Shares		Value
COMMON STOCK — 0.00%
Electric — 0.00%
Homer City Holdings LLC†,5,6,7,10				1,180,703		—
Total Common Stock (Cost $65,187,440)
Purchased Swaptions - 0.03% (Cost $10,896,240)						25,889,302
Purchased Options - 0.02% (Cost $20,283,900)						14,875,000
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 10.06%
Foreign Government Obligations — 0.75%
Japan Treasury Discount Bill,
Series 962
(Japan)
0.00%11		04/05/213		44,150,000,000		399,632,415
Japan Treasury Discount Bill,
Series 964
(Japan)
0.00%11		04/12/213		28,000,000,000		253,411,545
						653,043,960
Money Market Funds — 4.16%
Dreyfus Government Cash Management Fund
0.03%12				1,290,653,000		1,290,653,000
JPMorgan U.S. Government Money Market Fund
0.03%12				1,204,314,000		1,204,314,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.03%12				1,120,441,000		1,120,441,000
						3,615,408,000
Repurchase Agreements — 0.58%
JPMorgan Chase & Co. (Dated 03/25/21, total to be received $500,000,972, (collateralized by U.S. Treasury Securities, 0.00% to 1.75%, due from 04/08/21 to 09/30/22, par and fair value of $499,370,000 and $507,268,976, respectively))
0.01%		04/01/21		500,000,000		500,000,000

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Agency Discount Notes — 1.89%
Fannie Mae Discount Notes
0.09%11		06/02/21		$  100,000,000	$	99,998,278
Federal Home Loan Bank
0.09%11		04/09/21		300,000,000		300,000,666
0.03%11		04/30/21		300,000,000		300,002,418
0.03%11		05/10/21		350,000,000		350,000,000
0.04%11		05/17/21		300,000,000		300,000,000
0.05%11		08/13/21		300,000,000		299,977,668
						1,649,979,030
U.S. Treasury Bills — 2.68%
U.S. Treasury Bills
0.08%11		04/15/21		25,000,000		24,999,904
0.04%11		05/13/21		300,000,000		299,994,750
0.05%11		08/05/21		750,000,000		749,968,935
0.05%11		08/12/21		750,000,000		749,958,450
0.04%11		08/19/21		505,000,000		504,960,736
						2,329,882,775
Total Short-Term Investments (Cost $8,789,125,905)						8,748,313,765
Total Investments Before Written Options - 121.76% (Cost $105,122,205,762)						105,857,650,940
Written Options - (0.03)%
(Cost $(21,994,700))						(25,593,750	)
Liabilities in Excess of Other Assets - (21.73)%						(18,890,874,387	)
Net Assets - 100.00%					$	86,941,182,803

¹  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.

²  Floating rate security. The rate disclosed was in effect at March 31, 2021.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁵  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁶  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $98,908,665, which is 0.11% of total net assets.

⁷  Non-income producing security.

⁸  Security is currently in default with regard to scheduled interest or principal payments.

⁹ Zero coupon bond. The rate shown is the effective yield as of March 31, 2021.

¹⁰  Affiliated investment.

¹¹  Represents annualized yield at date of purchase.

¹²  Represents the current yield as of March 31, 2021.

^† Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. 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.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 184

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

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): Bank Note

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(GBP): British Pound

(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

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 425,513,457		JPY 44,150,000,000		Goldman Sachs International		04/05/21	$	25,944,250
USD 269,650,282		JPY 28,000,000,000		Citigroup Global Markets, Inc.		04/12/21		16,223,590
USD 67,542,369		GBP 48,865,000		Goldman Sachs International		04/23/21		118,084
								42,285,924
GBP 700,000		USD 971,184		Goldman Sachs International		04/23/21		(5,319)
NET UNREALIZED APPRECIATION							$	42,280,605

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Ultra Bond		4,188		06/21/21	$	758,944,125	$	(18,638,881)	$	(18,638,881)
U.S. Treasury Five Year Note		1		06/30/21		123,398		(487)		(487)
						759,067,523		(18,639,368)		(18,639,368)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Two Year Note		345		06/30/21		(76,150,664)		69,261		69,261
TOTAL FUTURES CONTRACTS					$	682,916,859	$	(18,570,107)	$	(18,570,107)

Reference Obligation/Index

Financing Rate Paid by the Fund

Payment Frequency

Counterparty

Expiration Date

Notional Amount1

Value

Premiums Paid

Unrealized Appreciation

SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC

Credit Suisse

Berry Global, Inc., 5.63%, due

First Boston

07/15/27

5.00%

3 Months

International

12/20/21

$    60,665,000

$

1,457,232

$

1,309,994

$

147,238

¹  The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value
PURCHASED CALL OPTIONS EXCHANGE TRADED
IMM Eurodollar 3 Year MIDCV Future Options		35,000		$98.50		12/10/21	$	274,558,693,500	$	14,875,000
Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value
WRITTEN CALL OPTIONS EXCHANGE TRADED
IMM Eurodollar 3 Year MIDCV Future Options		35,000		$98.75		12/10/21	$	(186,043,992,750)	$	(8,750,000)

See accompanying Notes to Financial Statements.

185 / Annual Report March 2021

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value
WRITTEN PUT OPTIONS EXCHANGE TRADED
IMM Eurodollar 3 Year MIDCV Future Options		35,000	$	97.75		12/10/21	$	208,451,691,000	$	(16,843,750)

				Received by the Fund					Paid by the Fund
Description	Counterparty	Maturity Date		Rate			Frequency		Rate		Frequency		Notional Amount		Value		Premiums Paid		Unrealized Appreciation
PURCHASED SWAPTIONS
Option to enter into a
30-year Interest Rate	Barclay’s									3-month		Semi-
Swap	Capital		01/19/24		2.75	%		Quarterly		USD LIBOR		annually	$	79,350,000	$	5,565,443	$	2,340,825	$	3,224,618
Option to enter into a
30-year Interest Rate	Citigroup Global									3-month		Semi-
Swap	Markets, Inc.		01/19/24		2.75	%		Quarterly		USD LIBOR		annually	$	45,520,000	$	3,192,677	$	1,350,040	$	1,842,637
Option to enter into a
30-year Interest Rate	Goldman Sachs									3-month		Semi-
Swap	International		01/19/24		2.75	%		Quarterly		USD LIBOR		annually	$	244,250,000	$	17,131,182	$	7,205,375	$	9,925,807
TOTAL PURCHASED SWAPTIONS													$	369,120,000	$	25,889,302	$	10,896,240	$	14,993,062

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 186

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BONDS – 82.65%
ASSET-BACKED SECURITIES — 9.45%**
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.02%	01/20/281,2,3	$	1,274,813	$	1,272,773
BSPRT Issuer Ltd.,
Series 2018-FL4, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.05%)
1.16%	09/15/351,2,3		452,723		453,598
Canyon Capital CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(-1.00 X LIBOR USD 3-Month plus 0.80%, 0.80% Cap)
0.00%	04/15/341,2,3		700,000		700,350
Countrywide Asset-Backed Certificates Trust,
Series 2005-11, Class MV3
(LIBOR USD 1-Month plus 0.80%)
0.90%	02/25/362		137,823		137,750
Countrywide Asset-Backed Certificates Trust,
Series 2005-3, Class MV5
(LIBOR USD 1-Month plus 1.00%)
1.11%	08/25/352		348,820		349,326
Countrywide Asset-Backed Certificates Trust,
Series 2005-4, Class MV5
(LIBOR USD 1-Month plus 1.00%)
1.11%	10/25/352		800,000		801,916
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
0.87%	04/25/352		706,815		705,237
Encore Credit Receivables Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.90%)
1.01%	10/25/352		1,250,000		1,248,545
FFMLT Trust,
Series 2005-FF8, Class M2
(LIBOR USD 1-Month plus 0.78%)
0.89%	09/25/352		1,244,768		1,248,732
First Franklin Mortgage Loan Trust,
Series 2005-FF9, Class A1
(LIBOR USD 1-Month plus 0.58%)
0.69%	10/25/352		1,386,177		1,382,852
Grand Avenue CRE,
Series 2019-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.12%)
1.23%	06/15/371,2,3		778,541		778,988
GSAMP Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.43%	05/25/462		1,067,501		1,062,514
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
1.24%	05/25/341,2		310,177		311,935

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Home Partners of America Trust,
Series 2018-1, Class A
(LIBOR USD 1-Month plus 0.90%)
1.01%	07/17/371,2	$	1,306,118	$	1,307,293
LoanCore Issuer Ltd.,
Series 2018-CRE1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.13%)
1.24%	05/15/281,2,3		495,244		495,287
Marathon CRE Ltd.,
Series 2018-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.15%)
1.26%	06/15/281,2,3		290,080		290,432
MASTR Asset-Backed Securities Trust,
Series 2005-OPT1, Class M3
(LIBOR USD 1-Month plus 0.69%)
0.80%	03/25/352		770,197		771,092
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2005-WMC3, Class M4
(LIBOR USD 1-Month plus 0.93%)
1.04%	03/25/352		462,043		462,043
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
0.71%	10/27/361,2		321,356		319,114
Octagon Investment Partners XIV Ltd.,
Series 2012-1A, Class AARR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.06%	07/15/291,2,3		675,000		675,322
Option One Mortgage Loan Trust Asset-Backed Certificates 2005-5,
Series 2005-5, Class M1
(LIBOR USD 1-Month plus 0.59%)
0.69%	12/25/352		1,198,367		1,204,670
Palmer Square Loan Funding Ltd.,
Series 2020-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
0.98%	02/20/281,2,3		980,727		980,597
Palmer Square Loan Funding Ltd.,
Series 2021-2A, Class A1
(Cayman Islands)
(-1.00 X LIBOR USD 3-Month plus 0.80%, 0.80% Cap)
0.00%	05/20/291,2,3		750,000		750,453
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WHQ3, Class M4
(LIBOR USD 1-Month plus 0.95%)
1.05%	06/25/352		495,800		499,555
Progress Residential Trust,
Series 2018-SFR3, Class A
3.88%	10/17/351		1,996,576		2,020,837
Progress Residential Trust,
Series 2019-SFR1, Class A
3.42%	08/17/351		529,477		543,913

See accompanying Notes to Financial Statements.

187 / Annual Report March 2021

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.47%)
0.65%		12/15/271,2	$	343,257	$	343,400
SLM Student Loan Trust,
Series 2003-14, Class A6
(LIBOR USD 3-Month plus 0.30%)
0.52%		07/25/252		180,489		180,460
SLM Student Loan Trust,
Series 2005-8, Class A4
(LIBOR USD 3-Month plus 0.55%)
0.77%		01/25/282		81,452		81,482
SLM Student Loan Trust,
Series 2007-6, Class A4
(LIBOR USD 3-Month plus 0.38%)
0.60%		10/25/242		65,939		65,936
SLM Student Loan Trust,
Series 2007-8, Class A4
(LIBOR USD 3-Month plus 0.47%)
0.69%		01/26/262		111,270		110,972
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
0.66%		06/25/432		118,707		118,609
Soundview Home Loan Trust,
Series 2006-OPT3, Class 2A3
(LIBOR USD 1-Month plus 0.17%)
0.28%		06/25/362		463,427		462,766
TPG Real Estate Finance Issuer Ltd.,
Series 2018-FL2, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.13%)
1.24%		11/15/371,2,3		847,868		849,587
Total Asset-Backed Securities
(Cost $22,828,920)						22,988,336
BANK LOANS — 0.51%*
Health Care — 0.51%
HCA, Inc.,
Term Loan B12, 1st Lien
(LIBOR plus 1.75%)
1.86%		03/13/252		1,243,687		1,244,576
Total Bank Loans
(Cost $1,246,778)
CORPORATES — 23.40%*
Banking — 6.24%
Bank of America Corp.
2.88%		04/24/234		3,600,000		3,686,705
Credit Suisse Group AG
(Switzerland)
2.59%		09/11/251,3,4		235,000		243,962
3.80%		06/09/233		580,000		615,714
HSBC Holdings PLC
(United Kingdom)
3.95%		05/18/243,4		1,000,000		1,067,586

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
(LIBOR USD 3-Month plus 1.00%)
1.19%		05/18/242,3	$	795,000	$	803,858
JPMorgan Chase & Co.
3.21%		04/01/234		2,400,000		2,465,494
(LIBOR USD 3-Month plus 1.00%)
1.24%		01/15/232		200,000		201,525
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/233,4		1,345,000		1,393,125
Morgan Stanley
(GMTN)
3.13%		01/23/23		2,350,000		2,461,585
Santander UK Group Holdings PLC
(United Kingdom)
3.57%		01/10/233		750,000		766,748
Wells Fargo & Co.
(MTN)
3.75%		01/24/24		805,000		870,857
Wells Fargo Bank N.A.
(BKNT)
2.08%		09/09/224		600,000		604,595
						15,181,754
Communications — 1.31%
Qwest Corp.
7.25%		09/15/25		400,000		469,500
SES SA
(Luxembourg)
3.60%		04/04/231,3		600,000		631,790
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%		09/20/211		1,090,250		1,101,152
4.74%		03/20/251		710,000		762,416
5.15%		03/20/281		200,000		228,500
						3,193,358
Consumer Discretionary — 0.87%
Imperial Brands Finance PLC
(United Kingdom)
3.75%		07/21/221,3		810,000		837,341
Pernod Ricard SA
(France)
4.25%		07/15/221,3		600,000		627,686
Reynolds American, Inc.
4.85%		09/15/23		600,000		659,050
						2,124,077
Electric — 1.00%
Alliant Energy Finance LLC
3.75%		06/15/231		725,000		772,875
Dominion Energy, Inc.,
Series B
2.75%		09/15/22		350,000		359,129
Duquesne Light Holdings, Inc.
5.90%		12/01/211		450,000		464,759
Evergy, Inc.
4.85%		06/01/21		325,000		325,000

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 188

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
NextEra Energy Capital Holdings, Inc.
2.40%		09/01/21	$	250,000	$	252,165
(LIBOR USD 3-Month plus 0.55%)
0.74%		08/28/212		250,000		250,077
						2,424,005
Energy — 0.89%
Southern Co. Gas Capital Corp.
3.88%		11/15/25		1,000,000		1,106,227
Sunoco Logistics Partners Operations LP
5.95%		12/01/25		900,000		1,048,826
						2,155,053
Finance — 5.23%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.95%		02/01/223		600,000		614,025
4.45%		12/16/213		100,000		102,316
Air Lease Corp.
2.25%		01/15/23		600,000		616,133
3.50%		01/15/22		200,000		204,541
Citigroup, Inc.
3.14%		01/24/234		2,450,000		2,501,013
(LIBOR USD 3-Month plus 0.95%)
1.17%		07/24/232		308,000		310,557
Daimler Finance North America LLC
2.20%		10/30/211		65,000		65,692
(LIBOR USD 3-Month plus 0.90%)
1.09%		02/15/221,2		290,000		291,981
Ford Motor Credit Co. LLC
3.81%		10/12/21		1,150,000		1,164,363
(LIBOR USD 3-Month plus 0.81%)
1.05%		04/05/212		480,000		480,000
General Motors Financial Co., Inc.
4.38%		09/25/21		545,000		555,143
Goldman Sachs Group, Inc. (The)
2.88%		10/31/224		2,450,000		2,482,635
Goldman Sachs Group, Inc. (The),
Series FXD
0.48%		01/27/23		1,395,000		1,393,577
Morgan Stanley
(MTN)
0.53%		01/25/244		90,000		89,864
Nationwide Building Society
(United Kingdom)
3.62%		04/26/231,3,4		540,000		557,171
3.77%		03/08/241,3,4		680,000		718,700
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/231,3		100,000		104,484
5.25%		08/15/221,3		445,000		467,315
						12,719,510
Food — 0.43%
Kraft Heinz Foods Co.
4.00%		06/15/23		600,000		642,144

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Food (continued)
Smithfield Foods, Inc.
3.35%		02/01/221	$	400,000	$	405,141
						1,047,285
Health Care — 3.08%
AbbVie, Inc.
3.20%		11/06/22		600,000		622,644
3.25%		10/01/22		200,000		206,915
Anthem, Inc.
3.70%		08/15/21		500,000		501,848
Bausch Health Cos., Inc.
(Canada)
7.00%		03/15/241,3		252,000		258,048
Bayer U.S. Finance II LLC
2.20%		07/15/221		600,000		609,505
3.88%		12/15/231		1,140,000		1,229,649
Becton Dickinson and Co.
3.30%		03/01/23		600,000		625,690
CVS Health Corp.
3.50%		07/20/22		600,000		621,327
Dignity Health
3.13%		11/01/22		150,000		155,327
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/221		200,000		208,153
Fresenius U.S. Finance II, Inc.
4.50%		01/15/231		585,000		613,506
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.71%		09/29/232		655,000		655,848
Humana, Inc.
3.15%		12/01/22		600,000		622,438
Viatris, Inc.
1.13%		06/22/221		550,000		553,298
						7,484,196
Industrials — 0.90%
Amcor Flexibles North America, Inc.
4.50%		10/15/21		385,000		389,261
BAE Systems PLC
(United Kingdom)
4.75%		10/11/211,3		250,000		255,502
Berry Global, Inc.
0.95%		02/15/241		635,000		632,383
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.58%		05/05/262		150,000		146,147
General Electric Co.,
Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
1.24%		04/15/232		750,000		756,442
						2,179,735
Information Technology — 0.36%
NXP BV/NXP Funding LLC
(Netherlands)
3.88%		09/01/221,3		600,000		626,679

See accompanying Notes to Financial Statements.

189 / Annual Report March 2021

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
4.63%		06/01/231,3	$	220,000	$	238,321
						865,000
Insurance — 0.27%
Nationwide Mutual Insurance Co.
2.47%		12/15/241,4		670,000		669,632
Materials — 0.15%
Nutrition & Biosciences, Inc.
0.70%		09/15/221		375,000		375,801
Real Estate Investment Trust (REIT) — 1.40%
American Campus Communities Operating Partnership LP
3.75%		04/15/23		600,000		634,657
Boston Properties LP
3.85%		02/01/23		600,000		630,784
GLP Capital LP/GLP Financing II, Inc.
5.38%		11/01/23		1,000,000		1,094,685
Highwoods Realty LP
3.20%		06/15/21		131,000		131,645
SL Green Operating Partnership LP
3.25%		10/15/22		870,000		902,026
						3,393,797
Retail — 0.52%
7-Eleven, Inc.
(LIBOR USD 3-Month plus 0.45%)
0.65%		08/10/221,2		650,000		650,700
Alimentation Couche-Tard, Inc.
(Canada)
2.70%		07/26/221,3		600,000		616,102
						1,266,802
Services — 0.38%
IHS Markit Ltd. (Bermuda)
5.00%		11/01/221,3		880,000		928,331
Transportation — 0.37%
Aviation Capital Group LLC
(LIBOR USD 3-Month plus 0.95%)
1.14%		06/01/211,2		250,000		250,019
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22		259,388		264,840
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%		01/02/23		75,989		78,459
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22		292,947		302,263
						895,581
Total Corporates
(Cost $56,746,915)						56,903,917

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED — 33.84%**
Non-Agency Commercial Mortgage-Backed — 3.33%
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2017-C1, Class A2
3.19%	02/15/50	$	126,249	$	128,447
BX Commercial Mortgage Trust,
Series 2018-IND, Class A
(LIBOR USD 1-Month plus 0.75%)
0.86%	11/15/351,2		65,343		65,423
BX Commercial Mortgage Trust,
Series 2020-BXLP, Class A
(LIBOR USD 1-Month plus 0.80%)
0.91%	12/15/361,2		249,494		249,905
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%	05/10/58		450,000		475,071
Citigroup Commercial Mortgage Trust,
Series 2020-WSS, Class A
(LIBOR USD 1-Month plus 1.95%)
2.06%	02/15/391,2		761,777		773,022
Commercial Mortgage Trust,
Series 2013-CR9, Class ASB
3.83%	07/10/45		284,355		294,993
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.31%	01/10/464		2,673,169		48,928
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class A2
3.05%	09/15/50		950,000		976,319
DBRR Trust,
Series 2011-LC2, Class A4A
4.54%	07/12/441,4		73,465		73,454
GS Mortgage Securities Trust,
Series 2013-GC14, Class A4
3.96%	08/10/46		742,000		774,161
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%	05/15/481		476,245		483,760
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C18, Class A4A2
3.79%	02/15/471		1,047,805		1,114,305
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2011-C5, Class A3
4.17%	08/15/46		304,949		307,061
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class ASB
3.14%	05/15/45		236,328		239,687
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XA (IO)
0.59%	10/15/464		2,773,670		32,707
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C15, Class A3
3.77%	04/15/47		93,809		98,822
Morgan Stanley Capital I Trust,
Series 2011-C3, Class A4
4.12%	07/15/49		173,105		173,177

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 190

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
UBS Commercial Mortgage Trust,
Series 2012-C1, Class XA (IO)
2.06%	05/10/451,4	$	2,145,076	$	23,621
UBS Commercial Mortgage Trust,
Series 2018-C11, Class A1
3.21%	06/15/51		22,017		22,188
UBS-Barclays Commercial Mortgage Trust,
Series 2013-C5, Class XA (IO)
0.91%	03/10/461,4		3,724,050		45,897
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class A2
2.60%	06/15/49		493,719		494,494
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class A2
2.50%	11/15/59		120,423		121,470
Wells Fargo Commercial Mortgage Trust,
Series 2016-LC24, Class A2
2.50%	10/15/49		117,969		118,593
Wells Fargo Commercial Mortgage Trust,
Series 2018-C47, Class A2
4.36%	09/15/61		868,000		925,342
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class XA (IO)
1.67%	11/15/441,4		6,513,699		12,243
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
1.87%	11/15/451,4		1,412,235		30,589
					8,103,679
Non-Agency Mortgage-Backed — 5.76%
Aames Mortgage Investment Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.56%)
0.67%	04/25/362		292,456		290,691
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 05/25/21)
7.40%	06/25/32		16,556		16,801
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
3.06%	05/25/354		50,009		49,843
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 04/25/21)
2.86%	07/25/591		270,139		277,673
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		55,468		57,299
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		2,824		2,886
Bear Stearns ALT-A Trust,
Series 2005-2, Class 1M1
(LIBOR USD 1-Month plus 0.75%)
0.86%	03/25/352		424,168		425,693

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Carrington Mortgage Loan Trust,
Series 2005-NC4, Class M2
(LIBOR USD 1-Month plus 0.75%)
0.86%	09/25/352	$	357,220	$	360,483
Citigroup Mortgage Loan Trust,
Series 2007-AMC4, Class A2D
(LIBOR USD 1-Month plus 0.27%)
0.38%	05/25/372		500,000		474,501
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.06%	02/25/344		13,013		13,017
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH4, Class M2
(LIBOR USD 1-Month plus 0.44%)
0.54%	11/25/362		800,000		784,274
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2002-AR31, Class 4A2
2.52%	11/25/324		18,985		19,221
Credit-Based Asset Servicing and Securitization LLC,
Series 2005-CB4, Class M4
(LIBOR USD 1-Month plus 0.90%)
1.01%	07/25/352		1,000,000		994,186
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.74%)
0.85%	07/19/442		111,013		107,210
GE Mortgage Services LLC,
Series 1998-HE1, Class A7
6.47%	06/25/28		1		1
GSAA Home Equity Trust,
Series 2005-MTR1, Class A4
(LIBOR USD 1-Month plus 0.74%)
0.85%	10/25/352		788,659		790,542
HomeBanc Mortgage Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.54%)
0.65%	10/25/352		588,760		595,241
HSI Asset Securitization Corp. Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.36%)
0.47%	12/25/352		275,033		272,873
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
0.89%	12/25/342		334,705		287,107
IndyMac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
2.89%	10/25/344		107,377		106,114
JPMorgan Mortgage Acquisition Trust,
Series 2005-WMC1, Class M2
(LIBOR USD 1-Month plus 0.66%)
0.77%	09/25/352		504,094		505,209
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M1
(LIBOR USD 1-Month plus 0.22%)
0.33%	07/25/362		148,056		148,136

See accompanying Notes to Financial Statements.

191 / Annual Report March 2021

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2006-NC2, Class A5
(LIBOR USD 1-Month plus 0.25%)
0.36%	07/25/362	$	260,667	$	257,400
JPMorgan Mortgage Trust,
Series 2005-A2, Class 9A1
2.27%	04/25/354		128,394		129,397
Long Beach Mortgage Loan Trust,
Series 2005-WL1, Class M3
(LIBOR USD 1-Month plus 0.90%)
1.01%	06/25/352		533,110		533,394
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
2.94%	10/25/344		134,301		134,301
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
4.12%	06/25/344		5,720		5,833
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.69%	10/25/324		20,280		21,126
Merrill Lynch Mortgage Investors Trust,
Series 2003-A1, Class 2A
(LIBOR USD 12-Month plus 1.63%)
1.91%	12/25/322		148,421		147,866
MortgageIT Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
0.75%	02/25/352		806,342		831,355
Nomura Resecuritization Trust,
Series 2014-8R, Class 2A1
3.00%	09/26/351,4		508,322		508,322
Nomura Resecuritization Trust,
Series 2015-9R, Class 2A1 (STEP-reset date 05/25/21)
3.00%	05/25/361		709,390		709,389
Option One Mortgage Loan Trust Asset-Backed Certificates 2005-4,
Series 2005-4, Class M1
(LIBOR USD 1-Month plus 0.66%)
0.77%	11/25/352		271,667		272,006
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%	11/25/31		34,570		11
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.60%	04/25/362		732,112		729,555
Residential Asset Securities Corp.,
Series 2006-KS7, Class A4
(LIBOR USD 1-Month plus 0.24%)
0.35%	09/25/362		868,967		864,946
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
3.01%	12/25/344		63,221		63,031

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Loan Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.60%)
0.71%		02/25/362	$	592,587	$	591,555
Structured Asset Investment Loan Trust,
Series 2005-HE3, Class M1
(LIBOR USD 1-Month plus 0.72%)
0.83%		09/25/352		438,287		437,346
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-EQ1A, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.24%		07/25/361,2		386,155		367,555
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-OPT1, Class A1
(LIBOR USD 1-Month plus 0.18%)
0.29%		04/25/362		664,242		642,282
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/341,5,6		1,432,584		18,543
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus
1.40%)
1.66%		06/25/422		16,875		16,722
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
3.07%		06/25/334		40,598		42,186
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
0.61%		06/25/352		121,275		99,623
						14,002,745
U.S. Agency Commercial Mortgage-Backed — 5.75%
Banc of America Commercial Mortgage Trust,
Series 2016-UB10, Class A2
2.72%		07/15/49		798,831		802,720
Citigroup Commercial Mortgage Trust,
Series 2016-C2, Class A2
1.85%		08/10/49		407,000		408,244
Citigroup Commercial Mortgage Trust,
Series 2016-P5, Class A2
2.40%		10/10/49		760,000		764,318
Commercial Mortgage Trust,
Series 2015-CR22, Class A2
2.86%		03/10/48		1,640,067		1,649,324
DBWF Mortgage Trust,
Series 2018-AMXP, Class A
3.75%		05/05/351,4		1,500,000		1,531,952
Fannie Mae-Aces,
Series 2012-M4, Class X1 (IO)
0.51%		04/25/224		2,605,653		2,673
Fannie Mae-Aces,
Series 2016-M11, Class AL
2.94%		07/25/39		178,776		184,532

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 192

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Fannie Mae-Aces,
Series 2018-M1, Class A1
2.98%	12/25/274	$	364,408	$	387,001
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K021, Class X1 (IO)
1.40%	06/25/224		8,946,862		115,650
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF22, Class A
(LIBOR USD 1-Month plus 0.50%)
0.62%	07/25/232		310,368		310,962
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ24, Class A1
2.28%	05/25/26		426,955		443,565
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ26, Class A1
2.14%	07/25/25		994,907		1,028,700
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ28, Class A1
1.77%	02/25/25		211,187		216,278
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ29, Class A1
0.74%	01/25/26		851,263		844,204
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS07, Class X (IO)
0.65%	09/25/254		3,471,235		95,962
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q004, Class A2H
2.71%	01/25/464		83,221		83,376
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
1.00%	05/25/442		187,954		188,115
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q010, Class APT1
2.55%	04/25/464		265,459		275,079
Ginnie Mae,
Series 2007-12, Class C
5.28%	04/16/414		158,333		159,814
Ginnie Mae,
Series 2008-92, Class E
5.56%	03/16/444		179,653		182,418
Ginnie Mae,
Series 2010-159, Class D
4.29%	09/16/444		468,309		483,322

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2011-165, Class IO (IO)
0.01%	10/16/514	$	4,819,340	$	4,620
Ginnie Mae,
Series 2011-58, Class C
3.57%	08/16/514		756,725		781,152
Ginnie Mae,
Series 2011-92, Class C
3.78%	04/16/524		1,319,532		1,370,082
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.55%	01/16/534		2,627,238		54,484
WF-RBS Commercial Mortgage Trust,
Series 2014-C19, Class A3
3.66%	03/15/47		1,596,782		1,607,401
					13,975,948
U.S. Agency Mortgage-Backed — 19.00%
Fannie Mae Pool 254548
5.50%	12/01/32		79,329		92,207
Fannie Mae Pool 555098
(LIBOR USD 12-Month plus 1.51%)
1.95%	11/01/322		12,301		12,276
Fannie Mae Pool 555424
5.50%	05/01/33		52,805		60,552
Fannie Mae Pool 567002
8.00%	05/01/23		5,740		5,979
Fannie Mae Pool 655133
7.00%	08/01/32		6,186		6,545
Fannie Mae Pool 655151
7.00%	08/01/32		11,736		12,583
Fannie Mae Pool 762525
6.50%	11/01/33		19,352		21,655
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
3.31%	04/01/342		77,336		79,090
Fannie Mae Pool AD0538
6.00%	05/01/24		17,980		18,888
Fannie Mae Pool AE0443
6.50%	10/01/39		61,254		71,651
Fannie Mae Pool AL0851
6.00%	10/01/40		54,851		63,779
Fannie Mae Pool AM4580
3.43%	10/01/23		474,395		504,426
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
10.75%	05/25/232		299		324
Fannie Mae REMICS,
Series 2001-42, Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%	09/25/312		1,092		1,210
Fannie Mae REMICS,
Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
1.06%	10/25/312		78,130		78,548

See accompanying Notes to Financial Statements.

193 / Annual Report March 2021

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2002-30, Class FB
(LIBOR USD 1-Month plus 1.00%)
1.11%	08/25/312	$	87,824	$	89,520
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%	01/25/342		12,108		14,189
Fannie Mae REMICS,
Series 2004-60, Class FW
(LIBOR USD 1-Month plus 0.45%)
0.56%	04/25/342		276,019		277,964
Fannie Mae REMICS,
Series 2004-96, Class MT
(-17.50 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap)
7.00%	12/25/342		10,049		11,096
Fannie Mae REMICS,
Series 2005-73, Class DF
(LIBOR USD 1-Month plus 0.25%)
0.36%	08/25/352		140,909		141,306
Fannie Mae REMICS,
Series 2007-68, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
6.59%	07/25/372		79,159		17,048
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
0.51%	10/25/402		54,772		55,151
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
6.12%	11/25/362		297,268		61,406
Fannie Mae REMICS,
Series 2010-95, Class FB
(LIBOR USD 1-Month plus 0.40%)
0.51%	09/25/402		77,871		78,438
Fannie Mae REMICS,
Series 2011-47, Class GF
(LIBOR USD 1-Month plus 0.57%)
0.68%	06/25/412		1,038,853		1,055,090
Fannie Mae REMICS,
Series 2012-19, Class FP
(LIBOR USD 1-Month plus 0.50%)
0.61%	12/25/392		183,506		184,027
Fannie Mae REMICS,
Series 2014-19, Class FA
(LIBOR USD 1-Month plus 0.40%)
0.51%	11/25/392		28,946		28,954
Fannie Mae REMICS,
Series 2018-79, Class FA
(LIBOR USD 1-Month plus 0.25%)
0.36%	11/25/482		75,145		75,196
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.61%	01/25/502		170,713		172,712

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2020-10, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.61%	03/25/502	$	660,371	$	667,042
Freddie Mac Gold Pool C90474
7.00%	08/01/21		695		698
Freddie Mac REMICS,
Series 1526, Class L
6.50%	06/15/23		662		696
Freddie Mac REMICS,
Series 2368, Class AF
(LIBOR USD 1-Month plus 0.95%)
1.06%	10/15/312		61,416		62,081
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
0.71%	10/15/332		524,914		532,995
Freddie Mac REMICS,
Series 2990, Class LE
(LIBOR USD 1-Month plus 0.32%)
0.43%	10/15/342		201,341		201,710
Freddie Mac REMICS,
Series 3066, Class PF
(LIBOR USD 1-Month plus 0.30%)
0.41%	04/15/352		78,653		78,681
Freddie Mac REMICS,
Series 3085, Class FW
(LIBOR USD 1-Month plus 0.70%)
0.81%	08/15/352		340,608		346,792
Freddie Mac REMICS,
Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
0.41%	08/15/352		316,992		318,257
Freddie Mac REMICS,
Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
0.41%	08/15/352		63,679		63,933
Freddie Mac REMICS,
Series 3652, Class PF
(LIBOR USD 1-Month plus 0.75%)
0.86%	07/15/322		8,413		8,422
Freddie Mac REMICS,
Series 3767, Class JF
(LIBOR USD 1-Month plus 0.30%)
0.41%	02/15/392		34,576		34,595
Freddie Mac REMICS,
Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
0.51%	11/15/402		50,267		50,036
Freddie Mac REMICS,
Series 3806, Class DF
(LIBOR USD 1-Month plus 0.40%)
0.51%	08/15/252		22,777		22,793

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 194

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3845, Class FQ
(LIBOR USD 1-Month plus 0.25%)
0.36%		02/15/262	$	78,788	$	78,835
Freddie Mac REMICS,
Series 3879, Class MF
(LIBOR USD 1-Month plus 0.35%)
0.46%		09/15/382		95,810		95,974
Freddie Mac REMICS,
Series 3895, Class BF
(LIBOR USD 1-Month plus 0.50%)
0.61%		07/15/412		217,666		220,589
Freddie Mac REMICS,
Series 3907, Class FM
(LIBOR USD 1-Month plus 0.35%)
0.46%		05/15/262		59,846		60,042
Freddie Mac REMICS,
Series 3940, Class PF
(LIBOR USD 1-Month plus 0.35%)
0.46%		05/15/402		219,489		219,828
Freddie Mac REMICS,
Series 3946, Class FD
(LIBOR USD 1-Month plus 0.35%)
0.46%		04/15/412		201,403		201,848
Freddie Mac REMICS,
Series 3946, Class FG
(LIBOR USD 1-Month plus 0.35%)
0.46%		10/15/392		126,478		126,703
Freddie Mac REMICS,
Series 4097, Class TF
(LIBOR USD 1-Month plus 0.40%)
0.51%		05/15/392		41,654		41,731
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
0.61%		06/15/422		263,963		266,030
Ginnie Mae (TBA)
2.00%		05/20/51		4,800,000		4,837,030
2.50%		05/20/51		12,950,000		13,333,501
2.50%		06/20/51		3,700,000		3,802,920
Ginnie Mae I Pool BW5284
3.55%		10/15/50		1,193,370		1,213,598
Ginnie Mae II Pool 80546
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 1.50%)
2.13%		10/20/312		6,844		7,143
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 1.50%)
2.88%		06/20/322		85,114		89,211
Ginnie Mae II Pool 80614
(US Treasury Yield Curve Rate T Note Constant Maturity 1
Year plus 1.50%)
2.25%		07/20/322		8,294		8,666

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 80687
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.88%	04/20/332	$	58,423	$	59,931
Ginnie Mae II Pool 8339
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.13%	12/20/232		5,758		5,859
Ginnie Mae II Pool 8684
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.25%	08/20/252		14,403		14,863
Ginnie Mae II Pool MA0331
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.25%	08/20/422		61,383		63,681
Ginnie Mae,
Series 2002-72, Class FB
(LIBOR USD 1-Month plus 0.40%)
0.51%	10/20/322		88,616		89,135
Ginnie Mae,
Series 2002-72, Class FC
(LIBOR USD 1-Month plus 0.40%)
0.51%	10/20/322		130,719		131,484
Ginnie Mae,
Series 2003-42, Class FA
(LIBOR USD 1-Month plus 0.40%)
0.51%	07/16/312		495,588		495,644
Ginnie Mae,
Series 2004-2, Class FW
(LIBOR USD 1-Month plus 1.40%)
1.52%	01/16/342		433,247		441,559
Ginnie Mae,
Series 2009-92, Class FC
(LIBOR USD 1-Month plus 0.80%)
0.91%	10/16/392		104,673		107,127
Ginnie Mae,
Series 2010-19, Class FD
(LIBOR USD 1-Month plus 0.45%)
0.56%	07/16/392		41,889		42,172
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%	06/16/372		1,517,256		17,816
UMBS (TBA)
2.00%	05/01/51		8,200,000		8,170,211
2.50%	05/01/51		6,125,000		6,272,383
					46,196,055
Total Mortgage-Backed
(Cost $82,361,710)					82,278,427

See accompanying Notes to Financial Statements.

195 / Annual Report March 2021

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS — 0.72%*
Colorado — 0.40%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%		11/15/23	$	965,000	$	967,483
Florida — 0.32%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
2.32%		10/01/22		755,000		776,750
Total Municipal Bonds
(Cost $1,738,588)						1,744,233
U.S. TREASURY SECURITIES — 14.73%
U.S. Treasury Notes —14.73%
U.S. Treasury Floating Rate Notes
(US Treasury Bill Yield 3-Month plus 0.06%)
0.08%		10/31/222		12,500,000		12,508,633
(US Treasury Bill Yield 3-Month plus 0.11%)
0.13%		04/30/222		10,000,000		10,010,788
(US Treasury Bill Yield 3-Month plus 0.22%)
0.24%		07/31/212		10,100,000		10,108,917
U.S. Treasury Notes
0.75%		03/31/26		180,000		178,446
1.13%		09/30/21		3,000,000		3,016,289
Total U.S. Treasury Securities
(Cost $35,796,874)						35,823,073
Total Bonds — 82.65%
(Cost $200,719,785)						200,982,562
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 33.28%
Foreign Government Obligations — 1.67%
Japan Treasury Discount Bill,
Series 962
(Japan)
0.00%7		04/05/213		450,000,000		4,073,263
Money Market Funds — 11.87%
Dreyfus Government Cash Management Fund
0.03%8				7,389,000		7,389,000
Fidelity Investments Money Market Funds - Government
Portfolio
0.01%8				16,669		16,669
JPMorgan U.S. Government Money Market Fund
0.03%8				10,000,000		10,000,000

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
0.03%8				11,447,000	$	11,447,000
						28,852,669
U.S. Treasury Bills — 19.74%
U.S. Treasury Bills
0.10%7		04/01/21	$	8,000,000		8,000,000
0.05%7		08/12/21		32,000,000		31,998,227
0.05%7		08/19/21		8,000,000		7,999,378
						47,997,605
Total Short-Term Investments
(Cost $81,174,943)						80,923,537
Total Investments - 115.93%
(Cost $281,894,728)						281,906,099
Liabilities in Excess of Other Assets - (15.93)%						(38,733,383	)
Net Assets - 100.00%					$	243,172,716

¹  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.

²  Floating rate security. The rate disclosed was in effect at March 31, 2021.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁵  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁶  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $18,543, which is 0.01% of total net assets.

⁷  Represents annualized yield at date of purchase.

⁸  Represents the current yield as of March 31, 2021.

^*  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.

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): Bank Note

(CLO): Collateralized Loan Obligation

(GMTN): Global Medium-Term Note

(IO): Interest Only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 196

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 4,337,057		JPY 450,000,000		Goldman Sachs International		04/05/21	$	264,437

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Two Year Note		154		06/30/21	$	(33,991,891)	$	29,837	$	29,837
U.S. Treasury Five Year Note		20		06/30/21		(2,467,969)		31,522		31,522
U.S. Treasury Ten Year Ultra Bond		14		06/21/21		(2,011,625)		70,736		70,736
TOTAL FUTURES CONTRACTS					$	(38,471,485)	$	132,095	$	132,095

Reference Obligation/Index

Financing Rate Paid by the Fund

Payment Frequency

Counterparty

Expiration Date

Notional Amount1

Value

Premiums Paid

Unrealized Appreciation

SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC

Credit Suisse

Berry Global, Inc., 5.63%, due

First Boston

07/15/27

5.00%

3 Months

International

12/20/21

$

390,000

$

9,368

$

8,422

$

946

¹  The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

See accompanying Notes to Financial Statements.

197 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
BONDS – 95.45%
ASSET-BACKED SECURITIES — 12.77%**
321 Henderson Receivables VI LLC,
Series 2010-1A, Class B
9.31%	07/15/611	$	276,943	$	325,959
Allegro CLO XII Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
0.00%	01/21/321,2,3		5,400,000		5,407,398
Apidos CLO XXII,
Series 2015-22A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.06%)
1.28%	04/20/311,2,3		5,000,000		4,999,030
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.17%	07/20/291,2,3		6,850,000		6,846,739
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.66%	01/25/351,2		449,280		442,441
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
0.56%	04/25/351,2		771,410		743,796
Blackrock Rainier CLO VI Ltd.,
Series 2021-6A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.89%	04/20/331,2,3		10,000,000		10,015,080
BlueMountain CLO Ltd.,
Series 2013-1A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.23%)
1.45%	01/20/291,2,3		3,490,799		3,492,943
BlueMountain CLO XXX Ltd.,
Series 2020-30A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.39%)
1.55%	01/15/331,2,3		11,000,000		11,032,010
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
1.69%	07/20/291,2,3		5,800,000		5,779,584
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
0.99%	02/25/302		20,260		20,338
Cedar Funding VI CLO Ltd.,
Series 2016-6A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.82%	10/20/281,2,3		6,000,000		5,997,180

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.27%)
1.51%	10/25/321,2,3	$	8,000,000	$	8,011,360
CIT Education Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
0.50%	06/25/421,2		2,097,577		1,911,190
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.16%	03/15/521,4		23,981,076		1,646,849
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.06%	10/15/521,4		7,039,798		507,437
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%	03/15/501		5,197,000		5,216,749
CoreVest American Finance Trust,
Series 2020-3, Class XA (IO)
3.61%	08/15/531,4		23,686,141		3,634,869
CoreVest American Finance Trust,
Series 2020-4, Class XA (IO)
3.87%	12/15/521,4		27,184,475		4,051,589
CoreVest American Finance Trust,
Series 2020-4, Class XB (IO)
2.83%	12/15/521,4		12,500,000		1,892,982
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
1.01%	11/15/281,2,3		7,444,415		7,448,122
Eaton Vance CLO Ltd.,
Series 2013-1A, Class A13R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.41%	01/15/341,2,3		8,000,000		8,025,200
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
1.46%	07/26/661,2		14,568,793		14,981,824
ECMC Group Student Loan Trust,
Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
1.16%	05/25/671,2		13,584,947		13,706,030
Edsouth Indenture No. 3 LLC,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.73%)
0.84%	04/25/391,2		99,606		99,245
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
0.91%	04/26/321,2		3,300,685		3,311,527
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
1.16%	03/25/362		60,145		60,514

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 198

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
EFS Volunteer No. 2 LLC,
Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
1.46%	03/25/361,2	$	2,378,508	$	2,429,720
Flagship CLO VIII Ltd.,
Series 2014-8A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
1.07%	01/16/261,2,3		1,390,993		1,391,743
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/291,3		846,667		854,993
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
0.64%	08/25/422		369,366		346,981
GoldenTree Loan Management U.S. CLO 1 Ltd.,
Series 2021-9A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
1.62%	01/20/331,2,3		4,075,000		4,059,108
GoldenTree Loan Management U.S. CLO 1, Ltd.,
Series 2017-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.17%	04/20/291,2,3		4,485,000		4,486,449
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A1
(LIBOR USD 1-Month plus 0.10%)
0.21%	07/25/362		11,961,586		6,983,773
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A2
(LIBOR USD 1-Month plus 0.20%)
0.31%	07/25/362		13,239,171		7,801,355
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A4
(LIBOR USD 1-Month plus 0.50%)
0.61%	07/25/362		8,622,308		5,040,845
J.G. Wentworth XXXVII LLC,
Series 2016-1A, Class A
3.41%	06/15/671		6,111,519		6,478,300
J.G. Wentworth XXXVIII LLC,
Series 2017-1A, Class A
3.99%	08/16/601		3,353,839		3,713,954
KREF Ltd.,
Series 2018-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.10%)
1.21%	06/15/361,2,3		13,547,665		13,574,056
LCM XXI LP,
Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
1.10%	04/20/281,2,3		3,121,724		3,123,469

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
LCM XXIV Ltd.,
Series 24A, Class AR
(Cayman Islands)
(-1.00 X LIBOR USD 3-Month plus 0.98%, 0.98% Cap)
0.00%	03/20/301,2,3	$	15,000,000	$	15,007,650
Lehman XS Trust,
Series 2006-17, Class 1A3
(LIBOR USD 1-Month plus 0.50%)
0.61%	08/25/462		17,697,190		17,157,056
Magnetite XVIII Ltd.,
Series 2016-18A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.27%	11/15/281,2,3		2,550,000		2,551,999
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.48%)
0.59%	06/25/362		11,937,741		8,099,025
Nelnet Student Loan Trust,
Series 2006-2, Class B
(LIBOR USD 3-Month plus 0.20%)
0.42%	01/25/382		2,943,741		2,573,994
Nelnet Student Loan Trust,
Series 2007-1, Class A3
(LIBOR USD 3-Month plus 0.07%)
0.26%	05/27/252		592,820		591,791
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
0.71%	10/27/361,2		95,817		95,149
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
1.06%	11/25/481,2		1,865,000		1,898,076
Nelnet Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
0.70%	04/25/461,2		1,906,235		1,892,131
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
1.01%	06/25/541,2		11,000,000		11,084,645
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.47%	10/19/321,2,3		11,000,000		11,013,640
Palmer Square CLO Ltd.,
Series 2020-3A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.37%)
1.60%	11/15/311,2,3		7,200,000		7,221,384
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.12%	10/24/271,2,3		3,219,831		3,221,689

See accompanying Notes to Financial Statements.

199 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.77%	04/20/281,2,3	$	3,785,000	$	3,787,468
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
1.95%	01/20/341,2,3		5,000,000		5,010,550
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/375,6		10,253,507		10,098,102
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.49%	08/15/312		453,067		418,567
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
1.78%	12/15/322		2,585,243		2,650,709
SLM Student Loan Trust,
Series 2003-12, Class B
(LIBOR USD 3-Month plus 0.59%)
0.77%	03/15/382		4,192,111		3,992,644
SLM Student Loan Trust,
Series 2003-4, Class A5D
(LIBOR USD 3-Month plus 0.75%)
0.93%	03/15/331,2		2,008,237		1,961,927
SLM Student Loan Trust,
Series 2003-7, Class B
(LIBOR USD 3-Month plus 0.57%)
0.75%	09/15/392		2,964,097		2,801,980
SLM Student Loan Trust,
Series 2004-10, Class B
(LIBOR USD 3-Month plus 0.37%)
0.59%	01/25/402		8,593,043		8,113,379
SLM Student Loan Trust,
Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
0.69%	07/25/392		514,709		487,069
SLM Student Loan Trust,
Series 2005-3, Class B
(LIBOR USD 3-Month plus 0.15%)
0.37%	04/25/402		2,862,465		2,656,634
SLM Student Loan Trust,
Series 2006-8, Class B
(LIBOR USD 3-Month plus 0.23%)
0.45%	01/25/412		3,336,461		3,088,357
SLM Student Loan Trust,
Series 2007-2, Class B
(LIBOR USD 3-Month plus 0.17%)
0.39%	07/25/252		12,800,000		11,974,403
SLM Student Loan Trust,
Series 2007-3, Class A4
(LIBOR USD 3-Month plus 0.06%)
0.28%	01/25/222		161,698		156,439

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2007-3, Class B
(LIBOR USD 3-Month plus 0.15%)
0.37%	01/25/282	$	12,800,000	$	11,765,935
SLM Student Loan Trust,
Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
0.97%	10/27/702		2,195,000		1,998,341
SLM Student Loan Trust,
Series 2007-8, Class B
(LIBOR USD 3-Month plus 1.00%)
1.22%	04/27/832		4,281,635		4,089,229
SLM Student Loan Trust,
Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
0.97%	04/25/232		12,463,326		12,282,229
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%	01/25/832		1,000,000		942,764
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.42%	04/26/832		710,000		664,640
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
1.87%	07/25/222		1,068,813		1,086,794
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%	04/25/732		710,000		704,610
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
1.92%	07/25/232		5,202,359		5,240,700
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%	07/25/732		7,315,000		7,199,141
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.32%	07/25/232		8,246,562		8,230,414
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%	07/26/832		710,000		699,694
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.07%	07/26/832		820,000		818,932
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
1.72%	04/25/232		1,322,823		1,330,629

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 200

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.47%	10/25/752	$	735,000	$	739,684
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.72%	04/25/232		1,843,648		1,853,538
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.47%	10/25/832		7,235,000		7,291,323
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
0.86%	01/25/451,2		7,378,086		7,473,191
SLM Student Loan Trust,
Series 2011-2, Class A2
(LIBOR USD 1-Month plus 1.20%)
1.31%	10/25/342		4,035,000		4,106,187
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
1.06%	09/25/282		802,802		794,011
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
0.81%	01/25/292		1,182,426		1,148,313
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
0.76%	05/26/262		3,008,446		2,953,892
SLM Student Loan Trust,
Series 2012-7, Class B
(LIBOR USD 1-Month plus 1.80%)
1.91%	09/25/432		2,200,000		2,184,993
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
0.66%	06/25/432		1,062,116		1,061,235
SLM Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.60%)
0.71%	02/26/292		1,061,720		1,033,846
Store Master Funding,
Series 2019-1, Class A2
3.65%	11/20/491		4,152,815		4,263,774
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/461		1,570,070		1,774,653
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/361		1,105,022		1,336,946
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/421,2		150,000		138,365

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
TAL Advantage VII LLC,
Series 2020-1A, Class A
2.05%	09/20/451	$	10,138,250	$	10,141,501
TCI-Flatiron CLO Ltd.,
Series 2016-1A, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.84%	01/17/321,2,3		3,000,000		3,001,728
Textainer Marine Containers VIII Ltd.,
Series 2020-2A, Class A
(Bermuda)
2.10%	09/20/451,3		9,293,818		9,336,227
Textainer Marine Containers VIII Ltd.,
Series 2020-3A, Class A
(Bermuda)
2.11%	09/20/451,3		8,304,150		8,299,435
TIF Funding II LLC,
Series 2020-1A, Class A
2.09%	08/20/451		3,471,188		3,455,262
Total Asset-Backed Securities
(Cost $457,689,425)					458,941,344
BANK LOANS — 4.50%*
Automotive — 0.02%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%	04/30/262		580,331		575,253
Communications — 0.57%
CenturyLink, Inc.,
Term Loan A, 1st Lien
(LIBOR plus 2.00%)
2.11%	01/31/252		937,500		932,813
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%	03/15/272		1,842,835		1,826,387
Connect Finco SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	12/11/262		2,970,000		2,964,120
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.36%	07/17/252		1,047,280		1,035,294
2.36%	01/15/262		1,470,000		1,452,088
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.61%	04/15/272		1,047,355		1,036,792
Frontier Communications Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.75%	10/08/212		4,500,000		4,494,375
GTT Communications BV,
Term Loan B, 1st Lien
(EURIBOR plus 3.25%)
3.25%	05/31/252		1,246,795		1,319,738

See accompanying Notes to Financial Statements.

201 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
GTT Communications, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		05/30/252	$	1,845,256	$	1,565,294
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		03/01/272		2,750,000		2,717,921
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.11%		03/09/272		1,113,487		1,105,999
						20,450,821
Consumer Discretionary — 0.49%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.25%)
3.75%		12/23/272		1,500,000		1,488,645
Kwor Acquisition, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%		06/03/262		5,336,421		5,283,057
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		02/01/282		1,648,606		1,651,360
Reynolds Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.86%		02/06/232		300,682		299,766
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%		03/17/282		5,825,000		5,809,972
Waystar technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.11%		10/22/262		2,965,063		2,974,343
						17,507,143
Electric — 0.13%
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.36%		04/06/262		3,977,405		3,960,958
Homer City Generation LP,
Term Loan B, 1st Lien
(LIBOR plus 11.00%)
15.00%		04/05/232,5,6		537,524		389,705
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/31/252		286,028		284,394
						4,635,057

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Entertainment — 0.14%
CineWorld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		02/28/252	$	4,518,065	$	3,873,428
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
7.00%		05/23/242		1,000,000		1,269,375
						5,142,803
Finance — 0.41%
DCG Acquisition Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
4.61%		09/30/262		374,051		373,583
Delos Finance SARL,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.95%		10/06/232		5,956,840		5,951,509
Mirion Technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.20%		03/06/262		970,051		972,840
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%		02/04/282		3,970,000		3,998,127
Schweitzer-Mauduit International, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.00%		01/27/282		3,625,000		3,620,469
						14,916,528
Food — 0.18%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%		08/03/252		1,036,842		1,033,099
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.86%		07/20/252		2,810,550		2,784,201
Shearer’s Foods LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%		09/30/252		2,493,750		2,492,964
						6,310,264
Health Care — 0.80%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%		01/15/252		175,812		175,460
BCPE Eagle Buyer LLC,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.25%		03/18/242		3,855,995		3,847,955

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 202

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%		03/01/242	$	458,642	$	458,668
CPI Holdco LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.11%		11/04/262		1,095,725		1,096,136
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.87%		08/01/272		3,786,506		3,742,545
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%		03/27/282		3,050,000		3,024,578
Gentiva Health Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.88%		07/02/252		3,289,894		3,276,191
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.08%		11/15/272		2,740,562		2,713,321
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.50%		02/26/282		3,840,000		3,834,240
Pathway Vet Alliance LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
3.86%		03/31/272		1,145,496		1,140,364
U.S. Renal Care, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.13%		06/26/262		1,674,500		1,666,915
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.11%		06/02/252		3,716,303		3,708,908
						28,685,281
Industrials — 0.65%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
1.90%		07/01/262		5,366,525		5,331,294
Charter NEX U.S., Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%		12/01/272		3,347,500		3,358,563
Liqui-Box Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%		02/26/272		1,736,875		1,658,716

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Plaze, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		08/03/262	$	3,491,250	$	3,485,437
Proampac PG Borrower LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.00%		11/03/252		3,250,000		3,252,697
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.36%		05/30/252		493,750		484,396
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%		08/12/242		5,983,262		5,935,576
						23,506,679
Information Technology — 0.67%
AppLovin Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.61%		08/15/252		3,795,293		3,796,697
Ciox Health,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
6.00%		12/16/252		950,000		952,769
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.69%		08/14/252		5,211,671		5,143,268
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%		10/01/272		2,260,000		2,254,350
Helios Software Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.93%		03/05/282		2,000,000		1,988,760
IQVIA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
1.86%		03/07/242		675,505		673,478
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.95%		06/11/252		976,202		972,542
Peraton Corp.,
Delayed-Draw Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.75%		02/01/282		2,901,394		2,906,239
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%		03/04/282		4,780,000		4,745,417

See accompanying Notes to Financial Statements.

203 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/252	$	404,186	$	400,676
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/16/252		301,787		299,166
						24,133,362
Insurance — 0.03%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.70%		02/15/272		1,147,103		1,135,518
Real Estate Investment Trust (REIT) — 0.07%
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		04/11/252		2,222,163		2,199,896
VICI Properties 1 LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.86%		12/20/242		250,000		247,528
						2,447,424
Retail — 0.32%
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%		02/19/282		7,231,875		7,188,375
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
1.86%		11/19/262,3		710,305		698,543
BW Gas & Convenience Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%		03/17/282		3,600,000		3,604,500
						11,491,418
Services — 0.02%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%		05/30/252		789,783		791,263
Total Bank Loans
(Cost $160,764,195)						161,728,814
CORPORATES — 24.65%*
Banking — 2.11%
Banco Nacional de Comercio Exterior SNC/Cayman Islands
(Mexico)
3.80%		08/11/261,3,4		2,000,000		2,003,730

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp.
(MTN)
2.88%		10/22/304	$	2,000,000	$	2,058,401
Bank of America Corp.,
Series N
1.66%		03/11/274		7,430,000		7,455,048
Comerica, Inc.
5.63%		10/01/694		2,145,000		2,367,544
Credit Suisse Group AG
(Switzerland)
2.19%		06/05/261,3,4		2,709,000		2,750,164
2.59%		09/11/251,3,4		1,270,000		1,318,434
Global Bank Corp.
(Panama)
5.25%		04/16/291,3,4		600,000		627,000
Global Bank Corp.,
Series REGS
(Panama)
5.25%		04/16/293,4		1,000,000		1,045,000
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/273,4		1,785,000		1,757,947
1.75%		07/24/273,4		1,425,000		1,984,708
2.01%		09/22/283,4		8,130,000		7,994,032
2.63%		11/07/253,4		2,100,000		2,198,669
JPMorgan Chase & Co.
2.18%		06/01/284		5,000,000		5,057,906
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/273,4		2,000,000		1,988,486
3.87%		07/09/253,4		8,725,000		9,502,409
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/253,4		7,075,000		7,082,912
3.37%		01/05/243,4		3,000,000		3,136,917
4.80%		11/15/243,4		2,915,000		3,209,649
Santander UK PLC
(United Kingdom)
5.00%		11/07/231,3		3,415,000		3,743,050
Wells Fargo & Co.
(MTN)
2.16%		02/11/264		680,000		701,882
2.39%		06/02/284		3,665,000		3,758,383
2.88%		10/30/304		3,848,000		3,968,271
						75,710,542
Communications — 4.14%
AT&T, Inc.
3.55%		09/15/551		2,370,000		2,170,548
3.80%		12/01/571		11,051,000		10,527,807
4.30%		12/15/42		2,300,000		2,526,791
4.50%		05/15/35		2,150,000		2,433,895
4.75%		05/15/46		1,875,000		2,162,125
5.25%		03/01/37		6,985,000		8,449,988

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 204

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
C&W Senior Financing DAC (Ireland)
6.88%	09/15/271,3	$	1,200,000	$	1,284,000
Cable One, Inc.
4.00%	11/15/301		450,000		444,793
CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%	05/01/321		1,615,000		1,637,584
5.38%	06/01/291		3,104,000		3,332,579
Charter Communications Operating LLC/Charter
Communications Operating Capital
5.38%	05/01/47		3,050,000		3,546,654
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%	08/15/261		6,974,000		5,036,696
6.63%	08/15/271		3,000,000		1,606,884
Intelsat Jackson Holdings SA (Luxembourg)
8.50%	10/15/241,3,7,8		7,892,000		5,016,353
9.75%	07/15/251,3,7,8		6,820,000		4,278,871
Scripps Escrow II, Inc.
5.38%	01/15/311		6,410,000		6,373,944
SES GLOBAL Americas Holdings GP
5.30%	03/25/441		8,494,000		9,577,643
Sinclair Television Group, Inc.
4.13%	12/01/301		4,373,000		4,222,678
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
3.36%	09/20/211		2,133,750		2,155,087
4.74%	03/20/251		11,350,000		12,187,914
5.15%	03/20/281		4,400,000		5,027,000
Time Warner Cable LLC
5.50%	09/01/41		2,972,000		3,528,760
5.88%	11/15/40		965,000		1,203,094
T-Mobile USA, Inc.
2.25%	02/15/26		3,400,000		3,409,627
2.55%	02/15/311		115,000		112,808
2.63%	04/15/26		6,539,000		6,641,588
4.38%	04/15/401		4,000,000		4,448,240
6.00%	03/01/23		1,264,000		1,273,480
6.00%	04/15/24		7,068,000		7,129,845
Verizon Communications, Inc.
2.10%	03/22/28		1,770,000		1,776,538
2.55%	03/21/31		5,315,000		5,310,923
Virgin Media Secured Finance PLC (United Kingdom)
4.50%	08/15/301,3		1,200,000		1,213,016
5.50%	08/15/261,3		983,000		1,021,809
5.50%	05/15/291,3		3,379,000		3,591,336
Vodafone Group PLC (United Kingdom)
4.25%	09/17/503		50,000		55,023
4.88%	06/19/493		1,328,000		1,580,496
5.25%	05/30/483		4,682,000		5,859,055
Walt Disney Co. (The)
2.65%	01/13/31		6,540,000		6,684,102
					148,839,574

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary — 0.81%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.90%	02/01/46	$	3,921,000	$	4,694,416
Anheuser-Busch InBev Worldwide, Inc.
4.50%	06/01/50		3,196,000		3,641,424
Bacardi Ltd.
(Bermuda)
5.15%	05/15/381,3		1,500,000		1,796,834
BAT Capital Corp.
2.73%	03/25/31		915,000		890,160
4.54%	08/15/47		500,000		504,208
4.70%	04/02/27		1,390,000		1,566,434
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/241,3		1,500,000		1,587,361
Reynolds American, Inc.
5.85%	08/15/45		12,245,000		14,403,030
					29,083,867
Electric — 1.49%
Alabama Power Capital Trust V
3.30%	10/01/424		1,300,000		1,300,000
Cleco Power LLC
6.00%	12/01/40		1,380,000		1,761,311
Consolidated Edison Co. of New York, Inc.
4.45%	03/15/44		1,000,000		1,157,500
Dominion Energy, Inc.
5.75%	10/01/544		2,515,000		2,731,511
Duke Energy Carolinas LLC
3.70%	12/01/47		1,810,000		1,925,979
Duquesne Light Holdings, Inc.
5.90%	12/01/211		2,700,000		2,788,555
Eskom Holdings SOC Ltd.,
Series REGS
(South Africa)
7.13%	02/11/253		800,000		830,000
FirstEnergy Corp.,
Series C
3.40%	03/01/50		6,898,000		6,067,518
FirstEnergy Transmission LLC
2.87%	09/15/281		5,378,000		5,430,456
Metropolitan Edison Co.
4.00%	04/15/251		2,625,000		2,788,443
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%	05/07/293		900,000		905,344
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.27%)
0.45%	02/22/232		6,335,000		6,336,341
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara,
Series REGS (EMTN) (Indonesia)
6.15%	05/21/483		1,000,000		1,219,345

See accompanying Notes to Financial Statements.

205 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Public Service Co. of New Mexico
3.85%		08/01/25	$	5,565,000	$	5,985,426
5.35%		10/01/21		45,000		45,543
Public Service Electric & Gas Co.,
Series CC
9.25%		06/01/21		6,935,000		7,024,224
Southwestern Electric Power Co.
3.55%		02/15/22		2,625,000		2,674,458
Southwestern Electric Power Co.,
Series M
4.10%		09/15/28		2,190,000		2,436,765
						53,408,719
Energy — 3.42%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%		04/01/281		1,700,000		1,736,329
Enbridge Energy Partners LP
5.88%		10/15/25		2,190,000		2,579,455
Energy Transfer Operating LP
3.75%		05/15/30		1,600,000		1,654,015
4.95%		06/15/28		2,000,000		2,239,448
5.00%		05/15/50		2,065,000		2,144,101
5.15%		03/15/45		3,826,000		3,960,814
5.50%		06/01/27		1,448,000		1,672,010
6.13%		12/15/45		500,000		573,812
Energy Transfer Operating LP,
Series B
6.63%		02/15/704		7,161,000		6,364,339
Exxon Mobil Corp.
4.11%		03/01/46		2,000,000		2,210,923
4.33%		03/19/50		5,235,000		6,019,015
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/341,3		1,200,000		1,165,498
Hess Corp.
4.30%		04/01/27		2,265,000		2,474,558
7.88%		10/01/29		1,855,000		2,401,525
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%		04/14/333		300,000		307,890
5.75%		04/19/473		3,443,000		4,094,450
Kinder Morgan Energy Partners LP
5.00%		08/15/42		1,090,000		1,230,263
5.80%		03/15/35		210,000		257,201
Kinder Morgan, Inc.
5.30%		12/01/34		875,000		1,034,382
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/261		2,675,000		2,754,282
Pertamina Persero PT
(Indonesia)
3.10%		08/27/301,3		4,579,000		4,621,067
Petrobras Global Finance BV
(Netherlands)
5.09%		01/15/303		2,048,000		2,128,896

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Petroleos del Peru SA,
Series REGS (Peru)
4.75%	06/19/323	$	2,088,000	$	2,205,826
Petroleos Mexicanos
(Mexico)
1.70%	12/20/223		30,000		30,324
5.95%	01/28/313		920,000		882,096
6.63%	06/15/353		6,120,000		5,831,412
6.75%	09/21/473		3,815,000		3,251,372
6.95%	01/28/603		1,595,000		1,368,709
7.69%	01/23/503		743,000		688,761
Petronas Capital Ltd.
(Malaysia)
3.50%	04/21/301,3		3,405,000		3,649,479
Plains All American Pipeline LP/PAA Finance Corp.
3.80%	09/15/30		2,000,000		2,039,212
4.50%	12/15/26		4,450,000		4,892,687
Rockies Express Pipeline LLC
4.80%	05/15/301		2,000,000		1,981,250
4.95%	07/15/291		1,000,000		1,023,526
6.88%	04/15/401		3,175,000		3,444,875
Ruby Pipeline LLC
8.00%	04/01/221,5,6		4,307,197		3,607,708
Saudi Arabian Oil Co.,
Series REGS (EMTN)
(Saudi Arabia)
4.25%	04/16/393		901,000		973,842
Shell International Finance BV
(Netherlands)
4.00%	05/10/463		850,000		937,028
Southern Co. Gas Capital Corp.
3.25%	06/15/26		2,935,000		3,171,170
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%	03/24/263		3,426,000		4,058,097
Sunoco Logistics Partners Operations LP
5.40%	10/01/47		3,776,000		4,050,565
Sunoco LP/Sunoco Finance Corp.
4.50%	05/15/291		7,260,000		7,241,850
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		2,907,000		2,928,803
Transocean Pontus Ltd.
(Cayman Islands)
6.13%	08/01/251,3		1,176,675		1,114,164
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/271,3		4,148,000		3,841,815
Transocean Proteus Ltd.
(Cayman Islands)
6.25%	12/01/241,3		666,600		634,936
USA Compression Partners LP/USA Compression Finance Corp.
6.88%	04/01/26		1,984,000		2,038,560

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 206

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
6.88%	09/01/27	$	3,198,000	$	3,299,345
					122,811,685
Entertainment — 0.06%
Live Nation Entertainment, Inc.
4.75%	10/15/271		2,000,000		2,018,130
Finance — 3.22%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.65%	07/21/273		1,225,000		1,286,471
3.88%	01/23/283		1,090,000		1,139,024
3.95%	02/01/223		1,500,000		1,535,063
4.45%	12/16/213		1,750,000		1,790,525
Air Lease Corp.
2.25%	01/15/23		2,000,000		2,053,775
3.50%	01/15/22		2,000,000		2,045,412
3.88%	07/03/23		2,862,000		3,044,238
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.88%	02/15/251,3		4,555,000		4,567,787
3.95%	07/01/241,3		1,035,000		1,082,644
5.13%	10/01/231,3		2,603,000		2,777,060
Citigroup, Inc.
4.41%	03/31/314		6,526,000		7,455,966
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
1.09%	02/15/221,2		4,095,000		4,122,966
Ford Motor Credit Co. LLC
2.98%	08/03/22		3,015,000		3,063,994
3.34%	03/28/22		7,735,000		7,841,434
(LIBOR USD 3-Month plus 0.88%)
1.10%	10/12/212		3,000,000		2,985,825
(LIBOR USD 3-Month plus 1.08%)
1.28%	08/03/222		2,555,000		2,529,450
GE Capital International Funding Co.
(Ireland)
4.42%	11/15/353		19,382,000		22,208,393
General Motors Financial Co., Inc.
3.15%	06/30/22		500,000		513,990
3.20%	07/06/21		1,235,000		1,240,404
3.45%	04/10/22		675,000		691,427
4.20%	11/06/21		2,950,000		3,014,429
4.38%	09/25/21		11,995,000		12,218,243
Goldman Sachs Group, Inc. (The)
3.27%	09/29/254		12,035,000		12,897,665
JPMorgan Chase & Co.
2.08%	04/22/264		1,720,000		1,768,540
Nationwide Building Society
(United Kingdom)
3.62%	04/26/231,3,4		5,000,000		5,158,988
3.77%	03/08/241,3,4		2,570,000		2,716,263
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/231,3		455,000		475,405

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
5.50%		02/15/241,3	$	3,080,000	$	3,350,237
						115,575,618
Food — 0.58%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.50%		01/15/301,3		1,005,000		1,114,294
Kraft Heinz Foods Co.
3.88%		05/15/27		4,795,000		5,251,244
4.38%		06/01/46		2,467,000		2,589,593
4.88%		10/01/49		424,000		479,508
5.00%		06/04/42		2,965,000		3,341,326
Post Holdings, Inc.
4.63%		04/15/301		1,629,000		1,635,109
5.63%		01/15/281		964,000		1,016,759
Smithfield Foods, Inc.
5.20%		04/01/291		4,690,000		5,386,307
						20,814,140
Gaming — 0.09%
Caesars Entertainment, Inc.
6.25%		07/01/251		3,101,000		3,309,604
Health Care — 3.15%
AbbVie, Inc.
4.05%		11/21/39		1,550,000		1,730,332
4.25%		11/21/49		545,000		617,705
4.40%		11/06/42		5,190,000		6,027,909
4.45%		05/14/46		2,350,000		2,722,262
Bausch Health Cos., Inc.
(Canada)
7.00%		03/15/241,3		3,499,000		3,582,976
Bayer U.S. Finance II LLC
4.25%		12/15/251		2,005,000		2,233,150
4.38%		12/15/281		8,135,000		9,193,956
4.63%		06/25/381		2,775,000		3,199,146
4.88%		06/25/481		4,415,000		5,295,640
5.50%		08/15/251		2,000,000		2,265,074
Becton Dickinson and Co.
6.70%		08/01/28		2,930,000		3,549,362
Centene Corp.
3.00%		10/15/30		4,157,000		4,155,296
5.38%		08/15/261		90,000		95,166
Cigna Corp.
3.88%		10/15/47		4,825,000		5,169,882
4.13%		11/15/25		2,380,000		2,655,342
CommonSpirit Health
2.78%		10/01/30		2,995,000		3,054,916
CVS Health Corp.
5.05%		03/25/48		5,417,000		6,655,498
5.13%		07/20/45		755,000		925,672
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%		04/01/291,3		2,948,000		2,994,048
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/221		3,055,000		3,179,528

See accompanying Notes to Financial Statements.

207 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Hartford HealthCare Corp.
5.75%	04/01/44	$	1,525,000	$	1,998,610
HCA, Inc.
4.13%	06/15/29		2,400,000		2,660,317
5.00%	03/15/24		5,533,000		6,166,113
5.25%	04/15/25		2,477,000		2,830,587
5.25%	06/15/49		4,670,000		5,728,124
ModivCare, Inc.
5.88%	11/15/251		3,300,000		3,479,437
Molina Healthcare, Inc.
3.88%	11/15/301		3,128,000		3,221,445
4.38%	06/15/281		2,500,000		2,576,363
5.38%	11/15/22		2,317,000		2,433,812
Prime Healthcare Services, Inc.
7.25%	11/01/251		7,537,000		8,045,747
Tenet Healthcare Corp.
4.88%	01/01/261		4,617,000		4,806,297
					113,249,712
Industrials — 0.88%
Amcor Finance USA, Inc.
3.63%	04/28/26		2,125,000		2,325,687
Berry Global, Inc.
1.57%	01/15/261		1,740,000		1,714,494
4.88%	07/15/261		1,195,000		1,265,744
Boeing Co. (The)
1.43%	02/04/24		8,790,000		8,806,291
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.67%	08/15/362		10,370,000		8,402,496
General Electric Co.,
Series A (MTN)
6.75%	03/15/32		3,690,000		4,948,378
Heathrow Funding Ltd.
(United Kingdom)
4.88%	07/15/211,3		700,000		706,913
PowerTeam Services LLC
9.03%	12/04/251		1,730,000		1,909,579
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%	04/15/261,3		1,670,000		1,742,729
					31,822,311
Information Technology — 0.46%
Broadcom, Inc.
3.63%	10/15/24		960,000		1,044,849
NCR Corp.
5.13%	04/15/291		5,500,000		5,554,339
NXP BV/NXP Funding LLC
(Netherlands)
4.63%	06/01/231,3		795,000		861,205
Oracle Corp.
2.88%	03/25/31		3,365,000		3,427,227
3.95%	03/25/51		5,365,000		5,540,847
					16,428,467

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Insurance — 0.74%
Acrisure LLC/Acrisure Finance, Inc.
4.25%	02/15/291	$	4,660,000	$	4,586,867
Berkshire Hathaway Finance Corp.
4.25%	01/15/49		2,480,000		2,874,479
Farmers Exchange Capital
7.20%	07/15/481		150,000		201,397
Farmers Exchange Capital II
6.15%	11/01/531,4		2,500,000		3,171,372
Farmers Insurance Exchange
4.75%	11/01/571,4		3,800,000		3,978,446
8.63%	05/01/241		942,000		1,119,200
Nationwide Mutual Insurance Co.
2.47%	12/15/241,4		3,825,000		3,822,901
Teachers Insurance & Annuity Association of America
3.30%	05/15/501		2,645,000		2,578,339
4.27%	05/15/471		480,000		541,246
4.38%	09/15/541,4		3,425,000		3,642,221
					26,516,468
Materials — 0.52%
Clearwater Paper Corp.
4.75%	08/15/281		3,266,000		3,302,276
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
3.15%	01/14/303		5,371,000		5,597,119
Indonesia Asahan Aluminium Persero PT
(Indonesia)
6.53%	11/15/281,3		5,508,000		6,645,264
International Flavors & Fragrances, Inc.
5.00%	09/26/48		2,550,000		3,150,805
					18,695,464
Real Estate Investment Trust (REIT) — 1.72%
American Campus Communities Operating Partnership LP
3.63%	11/15/27		2,246,000		2,453,157
3.75%	04/15/23		2,925,000		3,093,954
4.13%	07/01/24		1,475,000		1,614,280
Boston Properties LP
3.25%	01/30/31		1,560,000		1,616,602
CyrusOne LP/CyrusOne Finance Corp.
2.90%	11/15/24		4,185,000		4,429,383
3.45%	11/15/29		11,930,000		12,300,885
GLP Capital LP/GLP Financing II, Inc.
4.00%	01/15/30		1,175,000		1,223,058
5.30%	01/15/29		2,280,000		2,564,658
5.38%	04/15/26		2,680,000		3,014,263
5.75%	06/01/28		6,241,000		7,217,560
Healthcare Realty Trust, Inc.
3.88%	05/01/25		2,190,000		2,377,200
Hudson Pacific Properties LP
3.95%	11/01/27		2,500,000		2,683,205
Lexington Realty Trust
2.70%	09/15/30		2,000,000		1,956,193
Piedmont Operating Partnership LP
3.40%	06/01/23		4,520,000		4,696,938

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 208

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Post Apartment Homes LP
3.38%	12/01/22	$	90,000	$	93,514
SL Green Operating Partnership LP
(LIBOR USD 3-Month plus 0.98%)
1.17%	08/16/212		1,500,000		1,500,049
SL Green Realty Corp.
4.50%	12/01/22		3,000,000		3,142,081
Ventas Realty LP
3.00%	01/15/30		1,705,000		1,739,957
3.25%	10/15/26		2,875,000		3,103,697
3.75%	05/01/24		875,000		944,904
					61,765,538
Retail — 0.30%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
3.50%	02/15/291,3		3,921,000		3,817,225
Alimentation Couche-Tard, Inc.
(Canada)
3.55%	07/26/271,3		1,935,000		2,104,820
FirstCash, Inc.
4.63%	09/01/281		2,288,000		2,338,050
Walgreens Boots Alliance, Inc.
3.45%	06/01/26		2,500,000		2,692,158
					10,952,253
Services — 0.81%
Adtalem Global Education, Inc.
5.50%	03/01/281		2,350,000		2,332,323
DP World Crescent Ltd.
(Cayman Islands)
4.85%	09/26/281,3		4,036,000		4,520,320
IHS Markit Ltd.
(Bermuda)
4.00%	03/01/261,3		1,516,000		1,673,384
4.75%	02/15/251,3		11,600,000		13,003,020
4.75%	08/01/283		1,750,000		2,024,601
Waste Pro USA, Inc.
5.50%	02/15/261		5,578,000		5,726,681
					29,280,329
Transportation — 0.15%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%	04/02/21		247,384		249,845
American Airlines Pass-Through Trust,
Series 2015-2, Class AA
3.60%	09/22/27		2,164,347		2,185,350
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%	04/02/21		78,914		78,914
Continental Airlines Pass-Through Trust,
Series 2001-1, Class A1
6.70%	06/15/21		14,263		14,403
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22		1,686,023		1,721,458

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%	01/02/23	$	385,013	$	397,526
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23		657,369		664,398
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		64,813		67,081
					5,378,975
Total Corporates (Cost $857,984,754)					885,661,396
FOREIGN GOVERNMENT OBLIGATIONS — 2.70%
Foreign Government Obligations — 2.70%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%	09/30/293		3,798,000		3,904,367
Brazilian Government International Bond
(Brazil)
3.88%	06/12/303		5,010,000		4,869,019
Chile Government International Bond
(Chile)
2.45%	01/31/313		700,000		704,473
2.55%	01/27/323		2,960,000		2,993,241
Colombia Government International Bond
(Colombia)
3.00%	01/30/303		7,373,000		7,234,719
3.13%	04/15/313		1,680,000		1,649,802
5.20%	05/15/493		916,000		1,011,635
Corp. Financiera de Desarrollo SA,
Series REGS
(Peru)
4.75%	07/15/253		1,066,000		1,185,818
Dominican Republic International Bond
(Dominican Republic)
4.50%	01/30/301,3		3,700,000		3,731,126
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%	09/23/323		2,580,000		2,623,860
Egypt Government International Bond
(Egypt)
5.58%	02/21/231,3		1,200,000		1,255,680
7.60%	03/01/291,3		700,000		747,051
Fondo MIVIVIENDA SA,
Series REGS
(Peru)
3.50%	01/31/233		650,000		677,105
Indonesia Government International Bond
(Indonesia)
2.85%	02/14/303		1,000,000		1,020,200

See accompanying Notes to Financial Statements.

209 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Mexico Government International Bond
(Mexico)
2.66%	05/24/313	$	11,693,000	$	11,139,921
Panama Government International Bond
(Panama)
2.25%	09/29/323		1,500,000		1,422,000
3.16%	01/23/303		3,931,000		4,105,536
Paraguay Government International Bond
(Paraguay)
2.74%	01/29/331,3		1,026,000		985,629
Peruvian Government International Bond
(Peru)
1.86%	12/01/323		770,000		704,396
2.78%	01/23/313		1,500,000		1,505,550
2.84%	06/20/303		4,360,000		4,436,365
4.13%	08/25/273		2,072,000		2,321,386
Philippine Government International Bond
(Philippines)
1.65%	06/10/313		741,000		701,789
2.46%	05/05/303		1,134,000		1,148,884
Qatar Government International Bond,
Series REGS
(Qatar)
4.50%	04/23/283		6,373,000		7,448,444
4.63%	06/02/463		1,953,000		2,316,844
Republic of South Africa Government International Bond
(South Africa)
4.30%	10/12/283		2,107,000		2,079,398
4.85%	09/30/293		4,655,000		4,691,088
Romanian Government International Bond,
Series REGS
(Romania)
3.00%	02/14/313		3,500,000		3,511,839
Saudi Government International Bond
(Saudi Arabia)
2.75%	02/03/321,3		500,000		501,255
3.75%	01/21/551,3		903,000		888,891
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%	10/22/303		3,700,000		3,896,563
3.63%	03/04/283		3,300,000		3,592,693
4.50%	10/26/463		1,308,000		1,443,901
Turkey Government International Bond
(Turkey)
5.13%	03/25/223		2,250,000		2,263,073
Uruguay Government International Bond
(Uruguay)
4.38%	01/23/313		1,988,717		2,312,192
Total Foreign Government Obligations (Cost $98,393,848)					97,025,733

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED — 49.23%**
Non-Agency Commercial Mortgage-Backed — 6.13%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%	08/10/351	$	16,359,970	$	17,152,862
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%	08/10/381,4		7,985,000		8,974,509
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BOC, Class A
2.63%	01/15/321		5,000,000		5,192,258
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BOC, Class X (IO)
0.47%	01/15/321,4		98,610,000		2,387,910
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
0.75%	08/25/341,2		676,844		670,006
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/411		7,060,000		7,396,521
BX Trust,
Series 2021-LBA, Class EJV
(LIBOR USD 1-Month plus 2.00%)
2.11%	02/15/361,2		10,000,000		10,016,394
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/391		10,760,000		12,047,741
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.41%	08/10/494		64,942,301		3,861,235
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%	11/13/391		6,125,000		6,358,182
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.74%	09/10/451,4		35,960,996		646,805
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.34%	02/10/484		67,337,378		2,880,747
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.67%	10/15/454		42,252,158		836,669
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.51%	12/10/454		69,925,487		1,463,988
Commercial Mortgage Trust,
Series 2013-CR13, Class XA (IO)
0.75%	11/10/464		61,672,187		1,073,885
Commercial Mortgage Trust,
Series 2014-CR16, Class XA (IO)
0.95%	04/10/474		105,353,265		2,611,223
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.49%	02/10/371,4		83,820,000		1,858,465

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 210

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2021-LBA, Class F
(LIBOR USD 1-Month plus 2.35%)
2.50%	03/15/381,2	$	7,211,000	$	7,232,907
DBJPM Mortgage Trust,
Series 2016-SFC, Class A
2.83%	08/10/361		8,000,000		8,167,697
DC Office Trust,
Series 2019-MTC, Class A
2.97%	09/15/451		6,555,000		6,851,137
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%	02/10/371,4		40,999,000		544,204
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.01%	04/10/474		64,486,255		1,537,804
GSCG Trust,
Series 2019-600C, Class G
3.99%	09/06/341,4		9,212,000		8,644,938
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/391		6,340,000		6,769,800
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/411,4		6,555,000		6,860,649
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
2.94%	12/10/411,4		3,131,000		2,926,423
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%	06/05/391		8,000,000		8,637,754
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2021-1440, Class B
(LIBOR USD 1-Month plus 1.75%)
1.86%	03/15/361,2		15,000,000		15,037,457
Lehman Brothers Small Balance Commercial Mortgage Trust,
Series 2007-2A, Class 1A4
(LIBOR USD 1-Month plus 0.25%)
0.36%	06/25/371,2		459,012		451,580
Life Mortgage Trust,
Series 2021-BMR, Class G
(LIBOR USD 1-Month plus 2.95%)
3.06%	03/15/381,2		10,718,000		10,765,562
MKT Mortgage Trust,
Series 2020-525M, Class A
2.69%	02/12/401		4,500,000		4,599,075
MKT Mortgage Trust,
Series 2020-525M, Class XA (IO)
0.21%	02/12/401,4		147,585,000		2,662,374
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.41%	06/25/362		11,190,504		7,480,396

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.03%	04/15/484	$	73,104,924	$	2,248,254
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.72%	05/15/484		113,952,895		3,082,744
Morgan Stanley Capital I Trust,
Series 2018-MP, Class A
4.28%	07/11/401,4		7,915,000		8,540,386
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.32%	01/15/431,4		1,095,000		1,085,088
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/541		6,895,000		6,992,899
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4		1,840,000		1,777,927
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.09%	08/15/504		48,475,071		1,373,585
Wells Fargo Commercial Mortgage Trust,
Series 2016-C33, Class XA (IO)
1.62%	03/15/594		85,537,325		5,660,492
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.52%	12/15/451,4		64,500,193		1,395,778
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.78%	08/15/451,4		41,997,767		611,483
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
1.87%	11/15/451,4		35,643,590		772,047
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.72%	06/15/464		73,213,228		832,222
WF-RBS Commercial Mortgage Trust,
Series 2014-C23, Class XA (IO)
0.56%	10/15/574		82,113,972		1,362,304
					220,334,366
Non-Agency Mortgage-Backed — 23.92%
Accredited Mortgage Loan Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.28%)
0.68%	04/25/362		2,445,654		2,422,234
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-OP2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.26%	08/25/362		275,445		271,376
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP1, Class A2D
(LIBOR USD 1-Month plus 0.38%)
0.49%	03/25/372		2,643,629		1,489,736

See accompanying Notes to Financial Statements.

211 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Adjustable Rate Mortgage Trust,
Series 2005-4, Class 5A1
2.62%	08/25/354	$	1,861,973	$	1,692,318
Adjustable Rate Mortgage Trust,
Series 2007-1, Class 1A1
3.00%	03/25/374		2,763,905		2,451,494
Alternative Loan Trust,
Series 2005-74T1, Class A1
6.00%	01/25/36		6,492,154		5,163,351
Alternative Loan Trust,
Series 2005-76, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus 1.48%)
1.74%	01/25/362		3,839,983		3,825,640
Alternative Loan Trust,
Series 2006-HY12, Class A5
3.23%	08/25/364		3,360,579		3,373,037
American Home Mortgage Investment Trust,
Series 2006-1, Class 12A1
(LIBOR USD 1-Month plus 0.40%)
0.51%	03/25/462		3,837,222		3,618,332
Asset-Backed Funding Certificates,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.30%)
0.41%	05/25/371,2		4,600,485		4,431,041
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A1A
(LIBOR USD 1-Month plus 1.25%)
1.36%	06/25/372		20,536,707		17,513,032
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
1.11%	06/25/372		3,838,959		3,590,806
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
1.08%	12/25/342		1,420,067		1,400,532
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE1, Class A4
(LIBOR USD 1-Month plus 0.60%)
0.71%	01/25/362		3,834,752		3,765,028
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE5, Class A5
(LIBOR USD 1-Month plus 0.24%)
0.35%	07/25/362		9,754,000		9,505,672
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%	10/25/33		733,819		753,932
Banc of America Funding Trust,
Series 2004-B, Class 5A1
2.90%	11/20/344		242,977		243,533
Banc of America Funding Trust,
Series 2006-D, Class 3A1
3.57%	05/20/364		848,749		819,753

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust,
Series 2006-G, Class 2A1
(LIBOR USD 1-Month plus 0.44%)
0.55%	07/20/362	$	337,133	$	337,340
Banc of America Funding Trust,
Series 2006-G, Class 2A4
(LIBOR USD 1-Month plus 0.58%)
0.69%	07/20/362		1,346,416		1,348,844
Banc of America Funding Trust,
Series 2015-R3, Class 6A2
0.29%	05/27/361,4		17,774,018		16,685,820
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%	03/25/401,4		1,284,559		1,296,338
Banc of America Funding Trust,
Series 2016-R1, Class B1
3.50%	03/25/401,4		16,181,000		15,578,125
Banc of America Mortgage Trust,
Series 2005-K, Class 2A1
2.66%	12/25/354		1,121,531		1,093,157
BCAP LLC Trust,
Series 2007-AA1, Class 2A1
(LIBOR USD 1-Month plus 0.18%)
0.29%	03/25/372		3,675,996		3,591,783
BCAP LLC Trust,
Series 2014-RR2, Class 6A1
(LIBOR USD 1-Month plus 0.24%)
0.60%	10/26/361,2		2,624,552		2,622,871
BCAP LLC Trust,
Series 2014-RR3, Class 4A1
0.42%	03/26/361,4		3,373,351		3,220,711
Bear Stearns ALT-A Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.75%)
0.86%	01/25/352		9,801,223		9,674,333
Bear Stearns ALT-A Trust,
Series 2005-2, Class 2A4
2.86%	04/25/354		1,392,190		1,390,508
Bear Stearns ALT-A Trust,
Series 2005-8, Class 11A1
(LIBOR USD 1-Month plus 0.54%)
0.65%	10/25/352		7,455,270		7,133,623
Bear Stearns ARM Trust,
Series 2005-9, Class A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.30%)
2.41%	10/25/352		1,542,611		1,575,008
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC6, Class 1A3
5.50%	09/25/354		418,915		424,222
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%	03/25/36		41,304		43,335

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 212

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
0.31%	09/25/472	$	6,765,747	$	6,472,492
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 2A1
(LIBOR USD 1-Month plus 0.21%)
0.32%	06/25/372		5,270,102		4,969,478
Carrington Mortgage Loan Trust,
Series 2005-OPT2, Class M4
(LIBOR USD 1-Month plus 0.98%)
1.08%	05/25/352		1,972,726		1,991,762
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.35%)
0.46%	02/25/362		3,424,373		3,400,598
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
2.70%	02/25/374		687,170		711,639
CIM Trust,
Series 2017-6, Class A1
3.02%	06/25/571,4		13,608,171		13,628,373
CIM Trust,
Series 2018-R4, Class A1
4.07%	12/26/571,4		9,021,999		9,066,950
CIM Trust,
Series 2018-R5, Class A1
3.75%	07/25/581,4		8,089,158		8,210,168
CIM Trust,
Series 2019-R3, Class A
2.63%	06/25/581,4		11,410,718		11,263,959
CIM Trust,
Series 2020-NR1, Class A (STEP-reset date 05/25/21)
3.45%	06/26/621		16,634,260		16,741,108
CIM Trust,
Series 2020-R1, Class A1
2.85%	10/27/591,4		15,023,552		12,664,007
CIM Trust,
Series 2020-R3, Class A1A
4.00%	01/26/601,4		11,335,653		10,632,961
CIM Trust,
Series 2020-R6, Class A1A
2.25%	12/25/601,4		8,088,300		7,993,079
CIM Trust,
Series 2020-R7, Class A1A
2.25%	12/27/611,4		14,004,394		13,920,243
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.81%	06/25/364		158,137		153,789
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
0.37%	11/25/352		51,019		44,086

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class M1
(LIBOR USD 1-Month plus 0.41%)
0.51%	08/25/362	$	6,223,582	$	6,247,704
Conseco Finance Corp.,
Series 1998-6, Class A8
6.66%	06/01/304		2,803		2,821
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-3, Class 1A2
(LIBOR USD 1-Month plus 0.58%)
0.69%	04/25/352		3,691,838		3,541,284
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
0.71%	05/25/352		83,927		72,548
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR26, Class 3A1
2.50%	11/25/334		469,720		473,122
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-11, Class 1A1
6.50%	12/25/35		629,724		454,307
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates,
Series 2004-AR5, Class 9A1
2.04%	06/25/344		46,675		46,578
Credit Suisse Mortgage Capital Trust,
Series 2006-8, Class 3A1
6.00%	10/25/21		33,921		24,755
Credit Suisse Mortgage Capital Trust,
Series 2019-RPL2, Class A1A
3.85%	11/01/581		11,849,428		11,755,290
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.46%	02/25/601,4		13,398,879		13,412,457
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF3 (STEP-reset date 05/25/21)
3.10%	12/25/36		774,019		777,399
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A2
(LIBOR USD 1-Month plus 0.11%)
0.22%	11/25/362		8,560,213		5,126,575
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF2 (STEP-reset date 05/25/21)
3.33%	01/25/37		2,806,083		1,298,714
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(LIBOR USD 1-Month plus 0.09%)
0.20%	04/25/372		2,438,350		2,359,863
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
0.17%	04/25/372		1,584,022		1,154,096
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 05/25/21)
3.79%	02/25/37		5,319,242		4,349,685

See accompanying Notes to Financial Statements.

213 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/21)
3.79%	02/25/37	$	1,273,116	$	1,040,937
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 05/25/21)
3.47%	03/25/37		6,155,669		3,173,014
CSMC Mortgage-Backed Trust,
Series 2006-1, Class 1A4
5.50%	02/25/36		4,617,918		4,661,020
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.72%)
0.83%	01/19/452		795,502		703,924
DSLA Mortgage Loan Trust,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.29%)
0.40%	10/19/452		4,373,164		4,254,740
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.31%	10/19/362		6,548,356		5,597,512
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
0.25%	03/19/372		1,655,400		1,512,689
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.43%	10/25/362		16,087,016		13,185,393
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
0.32%	12/25/372		991,895		928,021
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3
(LIBOR USD 1-Month plus 0.56%)
0.67%	03/25/362		9,992,812		9,716,652
First Franklin Mortgage Loan Trust,
Series 2006-FF9, Class 2A4
(LIBOR USD 1-Month plus 0.50%)
0.61%	06/25/362		8,650,000		6,720,098
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.33%	01/25/382		4,941,071		3,508,531
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
0.21%	03/25/372		636,644		386,128
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.29%	09/25/344		285,743		284,198

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A3
2.29%	09/25/344	$	439,384	$	437,007
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
2.53%	12/25/354		1,110,456		1,060,704
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
2.38%	02/25/364		1,635,230		1,357,275
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA2, Class 2A1
2.59%	04/25/354		2,123,521		2,262,722
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA3, Class 3A1
2.25%	05/25/354		1,804,875		1,730,425
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
2.38%	09/25/354		2,344,039		2,298,261
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
2.34%	10/25/354		2,396,244		1,912,609
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
2.29%	11/25/354		1,582,800		1,445,016
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA1, Class 1A1
2.36%	03/25/364		1,925,208		1,587,460
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA7, Class A1
2.53%	01/25/374		2,899,694		2,656,963
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 1A1
2.76%	09/25/354		2,885,126		2,620,412
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1
2.98%	10/25/354		80,061		80,714
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR5, Class 2A1
2.69%	11/25/354		813,212		699,334
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR2, Class 1A2
3.48%	08/25/374		85,998		56,011
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 2A1
3.14%	09/19/354		1,499,955		1,199,474
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 3A1
3.57%	09/19/354		1,547,535		1,499,125
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.13%	04/19/364		3,475,001		3,077,026
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.31%	03/25/472		12,456,147		11,539,358

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 214

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAMP Trust,
Series 2005-HE5, Class M2
(LIBOR USD 1-Month plus 0.65%)
0.75%	11/25/352	$	1,171,228	$	1,172,225
GSAMP Trust,
Series 2007-FM2, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.25%	01/25/372		21,569,837		15,320,913
GSR Mortgage Loan Trust,
Series 2005-7F, Class 3A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap)
5.39%	09/25/352,5,6		15,806		750
GSR Mortgage Loan Trust,
Series 2005-AR4, Class 5A1
3.42%	07/25/354		577,773		541,075
GSR Mortgage Loan Trust,
Series 2006-AR2, Class 2A1
2.71%	04/25/364		211,297		176,042
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 5A1A
2.99%	05/25/374		856,718		801,153
HarborView Mortgage Loan Trust,
Series 2005-10, Class 2A1A
(LIBOR USD 1-Month plus 0.62%)
0.73%	11/19/352		2,674,470		2,384,517
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.42%)
0.53%	09/19/462		11,054,052		10,641,182
HarborView Mortgage Loan Trust,
Series 2007-6, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
0.31%	08/19/372		13,572,418		12,810,399
Home Equity Mortgage Loan Asset-Backed Trust,
Series 2005-D, Class AII4
(LIBOR USD 1-Month plus 0.70%)
0.81%	03/25/362		4,786,294		4,697,921
HSI Asset Securitization Corp. Trust,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
0.74%	11/25/352		3,745,296		3,730,738
HSI Asset Securitization Corp. Trust,
Series 2006-HE2, Class 1A
(LIBOR USD 1-Month plus 0.26%)
0.37%	12/25/362		31,030,850		16,574,148
Impac CMB Trust,
Series 2005-2, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
0.63%	04/25/352		3,195,475		3,195,178
IndyMac Index Mortgage Loan Trust,
Series 2005-AR14, Class 1A1A
(LIBOR USD 1-Month plus 0.56%)
0.67%	07/25/352		11,061,965		8,981,572
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
2.81%	10/25/354		2,239,863		1,994,417

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 1A3
(LIBOR USD 1-Month plus 0.27%)
0.38%	10/25/362	$	6,368,649	$	3,700,318
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A2A
(LIBOR USD 1-Month plus 0.50%)
0.61%	05/25/462		10,631,427		10,471,904
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 3A1
2.90%	05/25/364		336,904		310,339
IndyMac Index Mortgage Loan Trust,
Series 2006-AR9, Class 3A3
3.18%	06/25/364		3,199,185		3,384,916
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		38,195		39,605
JPMorgan Mortgage Acquisition Trust,
Series 2006-ACC1, Class M1
(LIBOR USD 1-Month plus 0.27%)
0.38%	05/25/362		4,022,530		4,024,465
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(LIBOR USD 1-Month plus 0.29%)
0.40%	07/25/362		12,400,000		12,341,833
JPMorgan Mortgage Acquisition Trust,
Series 2006-WMC4, Class A4
(LIBOR USD 1-Month plus 0.15%)
0.26%	12/25/362		10,539,733		6,825,017
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class MV3
(LIBOR USD 1-Month plus 0.32%)
0.43%	11/25/362		14,417,000		14,450,347
JPMorgan Mortgage Trust,
Series 2005-A6, Class 7A1
3.16%	08/25/354		28,259		26,758
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
3.06%	05/25/364		24,714		22,813
JPMorgan Mortgage Trust,
Series 2006-S2, Class 2A2
5.88%	06/25/21		71,931		69,323
JPMorgan Mortgage Trust,
Series 2007-S1, Class 1A2
5.50%	03/25/22		21,818		21,711
Legacy Mortgage Asset Trust,
Series 2017-RPL1, Class A
(LIBOR USD 1-Month plus 1.75%)
1.87%	01/28/701,2		8,639,137		8,571,580
Legacy Mortgage Asset Trust,
Series 2019-GS4, Class A1 (STEP-reset date 04/26/21)
3.44%	05/25/591		12,119,427		12,131,963
Legacy Mortgage Asset Trust,
Series 2020-GS2, Class A1 (STEP-reset date 04/26/21)
2.75%	03/25/601		16,073,959		16,167,285

See accompanying Notes to Financial Statements.

215 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman XS Trust,
Series 2005-4, Class 1A3
(LIBOR USD 1-Month plus 0.80%)
0.91%	10/25/352	$	39,201	$	39,289
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
0.41%	11/25/352		2,741,980		2,713,813
Lehman XS Trust,
Series 2006-GP2, Class 1A5A
(LIBOR USD 1-Month plus 0.42%)
0.53%	06/25/462		5,446,741		5,249,207
Lehman XS Trust,
Series 2007-18N, Class 1A1
(LIBOR USD 1-Month plus 0.85%)
0.97%	10/25/372		5,813,343		5,529,802
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
2.00%	11/25/334		161,242		161,224
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 8A1
4.25%	10/25/344		316,713		322,157
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
3.14%	04/25/344		42,378		43,818
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.15%)
0.26%	03/25/472		3,898,213		3,731,766
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
(LIBOR USD 1-Month plus 0.28%)
0.39%	05/25/372		3,150,000		2,821,551
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.33%)
0.44%	04/25/372,5,6		883,581		82,995
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A2
(LIBOR USD 1-Month plus 0.21%)
0.32%	04/25/372		10,601,119		9,916,707
Merrill Lynch First Franklin Mortgage Loan Trust
Series 2007-4, Class 2A4
(LIBOR USD 1-Month plus 0.25%)
0.36%	07/25/372		1,079,398		962,439
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
0.36%	04/25/372		20,321,811		11,480,690
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
2.57%	10/25/334		136,054		137,245

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.40%)
2.49%	08/25/362	$	1,151,102	$	1,097,882
Mid-State Capital Corp. Trust,
Series 2004-1, Class B
8.90%	08/15/37		39,142		44,150
Morgan Stanley ABS Capital I Trust,
Series 2006-NC2, Class A2D
(LIBOR USD 1-Month plus 0.58%)
0.69%	02/25/362		2,013,905		1,999,332
Morgan Stanley Home Equity Loan Trust,
Series 2006-3, Class A4
(LIBOR USD 1-Month plus 0.52%)
0.63%	04/25/362		15,141,668		12,532,514
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.17%	09/25/344		297,143		295,875
Morgan Stanley Mortgage Loan Trust,
Series 2006-2, Class 1A
5.25%	02/25/21		97,483		87,449
Morgan Stanley Resecuritization Trust,
Series 2014-R9, Class 3A
(Federal Reserve US 12-Month Cumulative Average plus 0.84%)
1.22%	11/26/461,2		879,770		869,269
MortgageIT Trust,
Series 2005-2, Class 2A
(LIBOR USD 1-Month plus 1.65%)
1.77%	05/25/352		1,288,182		1,290,675
New Century Home Equity Loan Trust,
Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.33%)
0.44%	02/25/362		1,530,944		1,457,858
New York Mortgage Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.48%)
0.59%	02/25/362		443,848		445,152
Nomura Asset Acceptance Corp.,
Series 2005-AR4, Class 4A1
3.35%	08/25/354		2,722,727		2,640,568
Nomura Resecuritization Trust,
Series 2011-2RA, Class 1A2
3.26%	12/26/461,4		336,552		338,915
Nomura Resecuritization Trust,
Series 2016-2R, Class 1A1
0.27%	09/26/361,4		2,770,505		2,730,305
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 05/25/21)
3.00%	07/25/591		13,112,902		13,081,066
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/294		10,471,857		4,542,503

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 216

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates,
Series 2005-3, Class M2
(LIBOR USD 1-Month plus 0.72%)
0.83%	07/25/352	$	11,301,000	$	11,390,612
Option One Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.18%)
0.29%	04/25/372		15,723,710		11,020,679
Option One Mortgage Loan Trust,
Series 2007-5, Class 2A2
(LIBOR USD 1-Month plus 0.17%)
0.28%	05/25/372		22,355,651		14,059,453
Ownit Mortgage Loan Trust,
Series 2006-2, Class A1
(LIBOR USD 1-Month plus 0.42%)
0.53%	01/25/372		7,217,456		6,694,810
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
0.42%	06/25/472		5,152,000		4,804,888
RAAC Trust,
Series 2005-SP1, Class 4A1
7.00%	09/25/34		82,055		83,411
Residential Accredit Loans Trust,
Series 2005-QA13, Class 2A1
3.99%	12/25/354		1,755,461		1,623,191
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.46%	04/25/354		25,752		22,305
Residential Accredit Loans Trust,
Series 2005-QA7, Class A21
3.46%	07/25/354		775,578		745,909
Residential Accredit Loans Trust,
Series 2005-QA8, Class CB21
3.60%	07/25/354		719,042		525,236
Residential Accredit Loans Trust,
Series 2006-QS13, Class 2A1
5.75%	09/25/21		18,066		18,066
Residential Accredit Loans Trust,
Series 2006-QS16, Class A6
6.00%	11/25/36		501,059		478,937
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2AV (IO)
0.17%	01/25/374,5,6		2,190,438		13,318
Residential Asset Securities Corp.,
Series 2005-KS9, Class M4
(LIBOR USD 1-Month plus 0.60%)
1.01%	10/25/352		3,891,779		3,897,220
Residential Asset Securitization Trust,
Series 2006-A9CB, Class A9
6.00%	09/25/36		5,240,568		2,652,007
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 1A
3.49%	04/25/374		270,536		177,710

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Saxon Asset Securities Trust,
Series 2005-4, Class M1
(LIBOR USD 1-Month plus 0.66%)
0.77%	11/25/372	$	3,194,007	$	3,201,922
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.35%	05/25/472		16,072,128		13,654,907
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/21)
3.07%	01/25/36		4,254,248		3,951,110
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
0.34%	02/25/372		1,182,382		645,360
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR4, Class A2B
(LIBOR USD 1-Month plus 0.20%)
0.31%	05/25/372		2,370,180		1,688,264
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
0.26%	12/25/362		6,802,690		4,827,867
Soundview Home Loan Trust,
Series 2006-WF2, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.44%	12/25/362		6,768,489		6,803,068
Soundview Home Loan Trust,
Series 2007-WMC1, Class 3A3
(LIBOR USD 1-Month plus 0.26%)
0.37%	02/25/372		1,077,172		416,568
Stanwich Mortgage Loan Co.,
Series 2019-RPL1, Class A (STEP-reset date 04/16/21)
3.72%	02/15/491		11,577,829		11,583,801
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
2.71%	09/25/344		706,825		720,074
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-2, Class 4A2
2.53%	03/25/344		1,174,509		1,166,540
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
2.76%	06/25/354		948,837		907,502
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-21, Class 2A
2.51%	11/25/354		1,015,846		899,377
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-7, Class 1A3
3.00%	04/25/354		2,864,535		2,922,857
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-11, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.43%	12/25/362		1,585,477		1,544,677

See accompanying Notes to Financial Statements.

217 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Investment Loan Trust,
Series 2004-6, Class A3
(LIBOR USD 1-Month plus 0.80%)
0.91%	07/25/342	$	11,875,659	$	10,986,919
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
2.71%	05/25/364		483,573		309,584
Structured Asset Mortgage Investments II Trust,
Series 2006-AR5, Class 1A1
(LIBOR USD 1-Month plus 0.42%)
0.53%	05/25/362		337,523		294,141
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
0.23%	08/25/362		11,722,761		10,956,225
Structured Asset Mortgage Investments II Trust,
Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.50%)
1.76%	08/25/472		11,982,442		11,748,860
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-2XS, Class 2A2
(LIBOR USD 1-Month plus 1.50%)
1.62%	02/25/352		115,239		116,641
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-4XS, Class 2A1A
(LIBOR USD 1-Month plus 1.75%)
1.87%	03/25/352		1,288,997		1,306,423
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-34A, Class 3A3
2.75%	11/25/334		40,604		41,195
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-4, Class 3A1
3.00%	10/25/374		1,484,448		1,374,070
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-S1, Class 2A1
2.76%	01/25/374		525,010		543,572
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-S1, Class 5A1
3.02%	01/25/374		202,141		208,752
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
0.22%	01/25/372		6,245,513		3,951,797
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(LIBOR USD 1-Month plus 0.22%)
0.33%	02/25/372		27,929,709		12,198,901
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR13, Class A1A
(LIBOR USD 1-Month plus 0.72%)
0.83%	11/25/342		156,378		155,823
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
2.85%	01/25/354		507,376		513,037

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.84%)
0.95%	05/25/442	$	47,903	$	48,414
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
2.91%	10/25/354		1,144,988		1,141,592
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
3.08%	12/25/354		26,580		26,981
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR16, Class 1A3
2.74%	12/25/354		1,316,369		1,330,029
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
0.77%	01/25/452		684,621		682,820
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR9, Class A1A
(LIBOR USD 1-Month plus 0.32%)
0.75%	07/25/452		610,479		612,108
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
1.26%	02/25/462		4,782,064		4,656,634
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.94%)
1.32%	05/25/462		1,900,632		1,902,886
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus 0.98%)
1.24%	07/25/462		4,838,631		4,560,705
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY3, Class 1A1
2.84%	03/25/374		2,024,462		1,840,148
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA5, Class 1A
(Federal Reserve US 12-Month Cumulative Average plus 0.75%)
1.01%	06/25/472		1,629,295		1,555,967
WaMu Mortgage Pass-Through Certificates,
Series 2007-OC1, Class A1
(LIBOR USD 1-Month plus 0.24%)
0.35%	01/25/472		5,894,716		5,795,184
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		2,070,678		2,026,051
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2007-1, Class A3
(LIBOR USD 1-Month plus 0.32%)
0.43%	03/25/372		4,690,000		4,307,406

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 218

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A1
2.78%	10/25/364	$	484,151	$	470,952
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 1A1
2.90%	04/25/364		120,841		118,544
					859,654,138
U.S. Agency Commercial Mortgage-Backed — 5.14%
Fannie Mae-Aces,
Series 2011-M5, Class X (IO)
1.09%	07/25/214		15,045,015		29,442
Fannie Mae-Aces,
Series 2012-M4, Class X1 (IO)
0.51%	04/25/224		20,162,309		20,682
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.83%	07/25/394		23,114,435		940,449
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.10%	04/25/364		33,609,763		338,586
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.66%	01/25/394		45,704,383		2,455,683
Fannie Mae-Aces,
Series 2019-M29, Class X4 (IO)
0.70%	03/25/294		117,375,779		4,952,366
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
1.14%	07/25/334		14,520,699		1,599,960
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K015, Class X3 (IO)
2.82%	08/25/394		32,027,257		267,375
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K021, Class X3 (IO)
1.97%	07/25/404		26,660,903		629,385
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K022, Class X3 (IO)
1.81%	08/25/404		37,280,187		859,920
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K031, Class X1 (IO)
0.20%	04/25/234		366,511,204		1,469,307
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K043, Class X3 (IO)
1.63%	02/25/434		58,000,000		3,237,798
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K051, Class X3 (IO)
1.61%	10/25/434		44,865,280		2,924,750

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K054, Class X1 (IO)
1.17%	01/25/264	$	53,987,613	$	2,665,344
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K055, Class X3 (IO)
1.64%	04/25/444		32,000,000		2,368,387
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K056, Class X1 (IO)
1.26%	05/25/264		60,186,811		3,292,872
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K057, Class X1 (IO)
1.18%	07/25/264		123,625,606		6,604,624
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K719, Class X1 (IO)
0.70%	06/25/224		28,915,238		89,263
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K726, Class X1 (IO)
0.88%	04/25/244		133,535,224		2,820,484
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC01, Class X1 (IO)
0.47%	12/25/224		35,415,254		217,294
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.20%	06/25/274		88,922,395		4,793,842
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC07, Class X1 (IO)
0.73%	09/25/264		84,976,986		2,481,319
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF31, Class A
(LIBOR USD 1-Month plus 0.37%)
0.49%	04/25/242		2,393,507		2,397,690
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF51, Class A
(LIBOR USD 1-Month plus 0.40%)
0.52%	08/25/252		5,082,505		5,111,179
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF75, Class AL
(LIBOR USD 1-Month plus 0.51%)
0.63%	12/25/292		6,967,446		7,026,205
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF80, Class AL
(LIBOR USD 1-Month plus 0.44%)
0.56%	06/25/302		4,975,000		5,026,210

See accompanying Notes to Financial Statements.

219 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF84, Class AL
(LIBOR USD 1-Month plus 0.30%)
0.42%	07/25/302	$	15,750,825	$	15,792,719
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF85, Class AL
(LIBOR USD 1-Month plus 0.30%)
0.41%	08/25/302		12,000,000		12,032,818
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF86, Class AL
(LIBOR USD 1-Month plus 0.29%)
0.40%	08/25/272		12,355,612		12,418,565
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF87, Class AL
(LIBOR USD 1-Month plus 0.35%)
0.46%	08/25/302		14,000,000		14,074,208
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF88, Class AL
(LIBOR USD 1-Month plus 0.33%)
0.45%	09/25/302		24,823,000		24,932,102
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KIR1, Class X (IO)
1.06%	03/25/264		117,672,513		5,198,295
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KL05, Class X1HG (IO)
1.22%	12/25/274		49,531,000		3,148,098
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS05, Class X (IO)
0.76%	01/25/234		155,481,128		2,134,600
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS06, Class X (IO)
1.06%	08/25/264		67,494,490		2,765,654
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS07, Class X (IO)
0.65%	09/25/254		103,641,150		2,865,146
Ginnie Mae,
Series 2011-152, Class IO (IO)
0.11%	08/16/514		9,322,117		15,098
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.17%	02/16/534		41,234,812		335,726
Ginnie Mae,
Series 2012-78, Class IO (IO)
0.33%	06/16/524		63,525,261		459,065

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2014-103, Class IO (IO)
0.18%	05/16/554	$	23,108,029	$	280,603
Ginnie Mae,
Series 2014-125, Class IO (IO)
0.82%	11/16/544		13,774,273		531,273
Grace Trust,
Series 2020-GRCE, Class A
2.35%	12/10/401		8,000,000		7,910,949
GS Mortgage Securities Corp. II,
Series 2005-ROCK, Class A
5.37%	05/03/321		5,440,000		6,292,332
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.39%	01/05/431,4		10,000,000		8,811,163
					184,618,830
U.S. Agency Mortgage-Backed — 14.04%
Fannie Mae REMICS,
Series 2006-11, Class PS
(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap)
24.17%	03/25/362		16,156		25,148
Fannie Mae REMICS,
Series 2006-8, Class HJ (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.49%	03/25/362		814,507		152,775
Fannie Mae REMICS,
Series 2007-52, Class LS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.94%	06/25/372		35,950		4,190
Fannie Mae REMICS,
Series 2007-77, Class SK (IO)
(-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap)
5.76%	08/25/372		73,284		12,757
Fannie Mae REMICS,
Series 2007-88, Class JI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap)
6.34%	04/25/372		861,452		166,682
Fannie Mae REMICS,
Series 2008-18, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap)
6.89%	03/25/382		43,925		7,105
Fannie Mae REMICS,
Series 2008-62, Class SN (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
6.09%	07/25/382		118,831		18,007
Fannie Mae REMICS,
Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.49%	10/25/402		45,785		6,938
Fannie Mae REMICS,
Series 2012-56, Class FK
(LIBOR USD 1-Month plus 0.45%)
0.56%	06/25/422		3,517,897		3,545,568

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 220

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2013-5, Class GF
(LIBOR USD 1-Month plus 1.10%)
1.21%	10/25/422	$	205,517	$	207,260
Fannie Mae REMICS,
Series 2014-49, Class CF
(LIBOR USD 1-Month plus 1.00%)
1.12%	07/25/432		10,288,761		10,247,993
Fannie Mae REMICS,
Series 2019-33, Class FN
(LIBOR USD 1-Month plus 0.40%)
0.51%	07/25/492		6,165,405		6,213,648
Freddie Mac REMICS,
Series 2711, Class FA
(LIBOR USD 1-Month plus 1.00%)
1.11%	11/15/332		58,053		59,643
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
0.71%	10/15/332		210,351		213,590
Freddie Mac REMICS,
Series 3339, Class JS
(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap)
42.15%	07/15/372		12,404		25,863
Freddie Mac REMICS,
Series 3404, Class AS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.89% Cap)
5.79%	01/15/382		54,821		11,369
Freddie Mac REMICS,
Series 3439, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)
5.79%	04/15/382		40,368		6,193
Freddie Mac REMICS,
Series 3885, Class PO (PO)
0.00%	11/15/339		16,406		15,120
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
6.50%	04/15/422		112,521		21,952
Freddie Mac REMICS,
Series 4638, Class UF
(LIBOR USD 1-Month plus 1.00%)
1.12%	09/15/442		1,108,188		1,119,620
Freddie Mac REMICS,
Series 4919, Class FP
(LIBOR USD 1-Month plus 0.45%)
0.56%	09/25/492		6,396,287		6,439,820
Freddie Mac REMICS,
Series 4993, Class OP (PO)
0.00%	10/25/589		4,985,753		4,678,066
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%	11/16/41		89,689		16,819
Ginnie Mae,
Series 2011-69, Class GI (IO)
5.00%	05/16/40		14,604		68

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%	06/16/372	$	555,207	$	6,520
Ginnie Mae,
Series 2011-81, Class IC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap)
0.62%	07/20/352		684,005		10,703
Ginnie Mae,
Series 2013-135, Class CS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
6.09%	09/16/432		2,068,294		397,279
Ginnie Mae,
Series 2017-136, Class IO (IO)
5.00%	09/20/47		532,807		85,599
Ginnie Mae,
Series 2019-86, Class FE
(LIBOR USD 1-Month plus 0.40%)
0.51%	07/20/492		6,652,358		6,671,945
Ginnie Mae,
Series 2020-133, Class FA
0.51%	02/20/494		4,363,626		4,307,323
UMBS (TBA)
2.00%	05/01/51		338,850,000		337,619,026
2.50%	05/01/51		119,375,000		122,247,455
					504,562,044
Total Mortgage-Backed (Cost $1,835,449,686)					1,769,169,378
MUNICIPAL BONDS — 0.64%*
California — 0.15%
Los Angeles Department of Water & Power Power System
Revenue Bonds, Water Utility Improvements, Series SY
6.01%	07/01/39		1,950,000		2,526,359
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series C
4.00%	07/01/35		890,000		1,076,647
Regents of the University of California Medical Center
Pooled Revenue Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.26%	05/15/60		1,790,000		1,792,425
					5,395,431
Colorado — 0.10%
City & County of Denver Airport System Revenue Bonds,
Series C
2.14%	11/15/29		890,000		889,369
2.24%	11/15/30		2,625,000		2,568,977
					3,458,346
Florida — 0.13%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.81%	10/01/34		1,000,000		998,155
2.86%	10/01/35		1,750,000		1,742,461

See accompanying Notes to Financial Statements.

221 / Annual Report March 2021

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
Florida (continued)
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
3.35%		10/01/29	$	2,000,000	$	2,123,537
						4,864,153
New York — 0.26%
Metropolitan Transportation Authority Revenue Bonds,
Transit Improvements, Series C2
5.18%		11/15/49		975,000		1,211,823
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries FI
3.95%		08/01/32		1,000,000		1,102,971
New York State Dormitory Authority Revenue Bonds,
University & College Improvements
5.29%		03/15/33		3,100,000		3,719,304
New York State Urban Development Corp. Revenue Bonds,
Economic Improvements, Series E
4.00%		03/15/43		2,905,000		3,318,875
						9,352,973
Total Municipal Bonds (Cost $22,646,022)						23,070,903
U.S. TREASURY SECURITIES — 0.96%
U.S. Treasury Notes — 0.96%
U.S. Treasury Floating Rate Notes
(US Treasury Bill Yield 3-Month plus 0.06%)
0.08%		10/31/222		34,570,000		34,593,874
Total U.S. Treasury Securities (Cost $34,572,765)
Total Bonds — 95.45% (Cost $3,467,500,695)						3,430,191,442
Issues			Shares		Value
COMMON STOCK — 0.27%
Electric — 0.00%
Homer City Holdings LLC†,5,6,7				112,222		—
Real Estate Investment Trust (REIT) — 0.27%
AGNC Investment Corp.				582,000		9,754,320
Total Common Stock (Cost $13,797,770)						9,754,320
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 15.36%
Foreign Government Obligations — 0.91%
Japan Treasury Discount Bill,
Series 962
(Japan)
0.00%10		04/05/213		3,605,000,000		32,631,367

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds — 3.87%
Dreyfus Government Cash Management Fund
0.03%11				26,485,000	$	26,485,000
Fidelity Investments Money Market Funds - Government Portfolio
0.01%11,12				17,175		17,175
JPMorgan U.S. Government Money Market Fund
0.03%11				54,805,000		54,805,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.03%11				57,910,000		57,910,000
						139,217,175
U.S. Treasury Bills — 10.58%
U.S. Treasury Bills
0.05%10		08/05/21	$	50,000,000		49,997,929
0.05%10		08/12/21		200,000,000		199,988,920
0.04%10		08/19/21		130,000,000		129,989,892
						379,976,741
Total Short-Term Investments (Cost $553,835,046)						551,825,283
Total Investments - 111.08% (Cost $4,035,133,511)						3,991,771,045
Liabilities in Excess of Other Assets - (11.08)%						(398,243,427	)
Net Assets - 100.00%					$	3,593,527,618

¹  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.

²  Floating rate security. The rate disclosed was in effect at March 31, 2021.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

⁵  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁶  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $14,192,578, which is 0.40% of total net assets.

⁷  Non-income producing security.

⁸  Security is currently in default with regard to scheduled interest or principal payments.

⁹  Zero coupon bond. The rate shown is the effective yield as of March 31, 2021.

¹⁰  Represents annualized yield at date of purchase.

¹¹  Represents the current yield as of March 31, 2021.

¹²  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $6.

^†  Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. 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.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 222

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2021

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.

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(GBP): British Pound

(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

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 34,744,644	JPY 3,605,000,000	Goldman Sachs International	04/05/21	$	2,118,438
USD 1,977,536	GBP 1,425,000	Goldman Sachs International	04/23/21		11,311
USD 1,493,066	EUR 1,250,000	Goldman Sachs International	04/23/21		23,241
					2,152,990
EUR 160,000	USD 188,970	Goldman Sachs International	04/23/21		(833)
NET UNREALIZED APPRECIATION				$	2,152,157

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five Year Note		1,701		06/30/21	$	209,900,743	$	(2,221,792)	$	(2,221,792)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten Year Ultra Bond		1,355		06/21/21		(194,696,563)		6,214,215		6,214,215
U.S. Treasury Ultra Bond		693		06/21/21		(125,584,594)		6,084,602		6,084,602
						(320,281,157)		12,298,817		12,298,817
TOTAL FUTURES CONTRACTS					$	(110,380,414)	$	10,077,025	$	10,077,025

Reference Obligation/Index

Financing Rate Paid by the Fund

Payment Frequency

Counterparty

Expiration Date

Notional Amount1

Value

Premiums Paid

Unrealized Appreciation

SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC

Berry Global, Inc., 5.63%, due 07/15/27

5.00%

3 Months

Credit Suisse First Boston International

12/20/21

$

10,370,000

$

249,098

$

223,929

$

25,169

¹  The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

See accompanying Notes to Financial Statements.

223 / Annual Report March 2021

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2021

ASSETS:	ALPHATRAK 500 FUND			CORPORATE  BOND FUND
Investments, at value - Unaffiliated (Cost $32,620,811, $12,992,837, $219,529,520, $453,545,994, $747,262,971 and $847,950,346, respectively) (Note 2)		$	33,036,885		$	12,796,001
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $27,171,821 and $0, respectively) (Note 5)			—			—
Cash and cash equivalents (Note 2)			1,764,732			80,298
Cash on deposit with brokers for collateral on swaps (Note 2)			—			—
Cash on deposit with brokers for collateral on futures (Note 2)			2,708,000			42,000
Receivable for securities sold			1,052,342			37,350
Receivable for daily variation margin on futures contracts (Note 3)			171,985			2,062
Dividends and interest receivable			135,794			108,906
Receivable for capital stock sold			78,886			41,500
Unrealized appreciation on foreign currency exchange contracts			20,568			—
Due from Adviser (Note 6)			10,831			27,701
Unrealized appreciation on foreign currency transactions			—			—
Premiums paid for swap contracts			—			—
Unrealized appreciation on swap contracts			—			—
Other assets			15,939			27,206
Total assets			38,995,962			13,163,024
Liabilities:
Payable for securities purchased			2,113,815			136,806
Payable for capital stock redeemed			14,599			45,195
Distributions payable			327			236
Payable for daily variation margin on futures contracts (Note 3)			—			984
Net unrealized depreciation on unfunded commitments (Note 8)			—			—
Advisory fees payable (Note 6)			14,996			4,280
Accrued trustees fees and expenses			11			1
Accrued distribution (12b-1) and service fees payable			—			1,807
Administrative fees payable			36,776			32,048
Accrued other expenses			45,643			21,176
Total liabilities			2,226,167			242,533
Net assets		$	36,769,795		$	12,920,491
Class M Shares:
Net assets (Applicable to 2,773,846, 768,830, 2,147,224, 1,387,808, 18,755,387 and 3,395,400, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	36,769,795		$	8,190,105
Net asset value, offering and redemption price per Class M share		$	13.26		$	10.65
Class I Shares:
Net assets (Applicable to 0, 444,057, 16,108,761, 41,999,130, 54,120,573 and 71,377,801, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A		$	4,730,386
Net asset value, offering and redemption price per Class I share			N/A		$	10.65
Plan Class Shares:
Net assets (Applicable to 0, 0, 0, 10, 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:
Paid-in Capital (Note 9)		$	30,064,456		$	13,066,540
Accumulated Earnings (Loss)			6,705,339			(146,049	)
Net assets		$	36,769,795		$	12,920,491

¹ The net asset values of the Plan Class Shares of the Floating Rate Income Fund were calculated using unrounded net assets of $100.29 divided by the unrounded shares outstanding of 10.08.

See accompanying Notes to Financial Statements.

224 / Annual Report March 2021

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2021

FLEXIBLE INCOME FUND				FLOATING RATE INCOME FUND				HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND
	$	216,560,037			$	455,453,512			$	760,342,291			$	854,779,752
		—				—				—				—
		595,133				19,446,640				16,138,179				14,974,647
		—				—				—				34
		309,000				—				2,780,000				1,159,000
		28,346,360				6,658,377				9,684,995				74,060,112
		53,371				—				29,313				28,063
		1,454,609				655,429				6,116,064				2,420,791
		122,609				88,389				986,100				1,093,900
		13,304				417,224				—				—
		62,983				7,289				53,689				—
		4,005				26,829				40,794				—
		—				—				86,268				24,941
		—				—				9,696				2,803
		35,089				14,642				32,282				29,230
		247,556,500				482,768,331				796,299,671				948,573,273
		66,450,909				50,366,841				23,329,099				145,223,143
		905,840				245,495				1,822,981				362,764
		5,985				120,976				159,337				736
		27,070				—				28,771				20,062
		762				4,477				—				—
		65,956				195,388				324,296				235,726
		2				84				146				254
		4,514				2,921				42,452				6,517
		52,662				49,044				43,877				59,636
		34,795				41,182				129,569				149,623
		67,548,495				51,026,408				25,880,528				146,058,461
	$	180,008,005			$	431,741,923			$	770,419,143			$	802,514,812
	$	21,173,642			$	13,814,719			$	198,337,126			$	36,452,027
	$	9.86			$	9.95			$	10.57			$	10.74
	$	158,834,363			$	417,927,104			$	572,082,017			$	766,062,785
	$	9.86			$	9.95			$	10.57			$	10.73
		N/A			$	100				N/A				N/A
		N/A			$	9.95	1			N/A				N/A
	$	182,427,746			$	431,835,957			$	812,310,686			$	794,867,897
		(2,419,741	)			(94,034	)			(41,891,543	)			7,646,915
	$	180,008,005			$	431,741,923			$	770,419,143			$	802,514,812

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 225

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2021

ASSETS:	INVESTMENT GRADE CREDIT FUND				LOW DURATION BOND  FUND
Investments, at value - Unaffiliated (Cost $12,405,372, $2,719,007,522, $28,391,801, $105,057,018,322, $281,894,728 and $4,035,133,511, respectively) (Note 2)		$	11,982,405			$	2,724,675,321
Investments, at value - Affiliated (Cost $0, $0, $0, $65,187,440, $0 and $0, respectively) (Note 5)			—				—
Cash and cash equivalents (Note 2)			199,000				94,847,748
Foreign Currency, at value (Cost $0, $0, $0, $0, $0 and $4,695, respectively)			—				—
Cash on deposit with brokers for collateral on swaps (Note 2)			—				1,331,027
Cash on deposit with brokers for collateral on futures (Note 2)			55,000				3,693,000
Dividends and interest receivable			111,082				6,472,192
Due from Adviser (Note 6)			28,129				—
Receivable for capital stock sold			21,927				1,367,222
Receivable for daily variation margin on futures contracts (Note 3)			5,750				172,975
Unrealized appreciation on foreign currency exchange contracts			—				1,422,086
Unrealized appreciation on foreign currency transactions			—				—
Receivable for securities sold			—				354,919,198
Premiums paid for swap contracts			—				73,959
Unrealized appreciation on swap contracts			—				8,313
Other assets			24,542				52,465
Total assets			12,427,835				3,189,035,506
Liabilities:
Options written, at value (Premiums received $0, $540,000, $0, $21,994,700, $0 and $0, respectively) (Note 3)			—				4,596
Bank overdraft			—				—
Payable for securities purchased			102,527				705,947,226
Payable for capital stock redeemed			30,238				1,603,743
Payable for daily variation margin on futures contracts (Note 3)			3,572				—
Distributions payable			—				132,320
Unrealized depreciation on foreign currency exchange contracts			—				—
Advisory fees payable (Note 6)			3,612				629,468
Accrued trustees fees and expenses			2				677
Accrued distribution (12b-1) and service fees payable			452				71,901
Administrative fees payable			35,840				84,533
Audit fees payable			11,620				41,148
Accrued other expenses			9,388				353,498
Total liabilities			197,251				708,869,110
Net assets		$	12,230,584			$	2,480,166,396
Class M Shares:
Net assets (Applicable to 219,784, 50,165,234, 1,975,844, 661,139,405, 14,559,872 and 21,607,830, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	2,125,714			$	445,538,395
Net asset value, offering and redemption price per Class M share		$	9.67			$	8.88
Class I Shares:
Net assets (Applicable to 1,044,749, 229,018,746, 1,251,843, 4,897,035,762, 42,554,510 and 273,766,820, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	10,104,870			$	2,034,539,894
Net asset value, offering and redemption price per Class I share		$	9.67			$	8.88
Class I-2 Shares:
Net assets (Applicable to 0, 0, 0, 10,801,035, 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 Class I-2 share			N/A				N/A
Administrative Class Shares:
Net assets (Applicable to 0, 7,678, 0, 192,427,211, 0 and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A			$	88,107
Net asset value, offering and redemption price per Administrative Class share			N/A			$	11.48
Plan Class Shares:
Net assets (Applicable to 0, 0, 0, 2,425,345,101, 0 and 5,342,862, 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:
Paid-in Capital (Note 9)		$	12,634,791			$	2,505,985,868
Accumulated Earnings (Loss)			(404,207	)			(25,819,472	)
Net assets		$	12,230,584			$	2,480,166,396

See accompanying Notes to Financial Statements.

226 / Annual Report March 2021

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2021

STRATEGIC         INCOME FUND				TOTAL RETURN         BOND FUND				ULTRA SHORT            BOND FUND				UNCONSTRAINED         BOND FUND
	$	23,928,680			$	105,857,650,940			$	281,906,099			$	3,991,771,045
		—				—				—				—
		1,027,000				344,645,399				—				80,074,630
		—				—				—				4,695
		—				255,736,051				—				3,858,006
		351,000				80,275,000				129,000				20,859,000
		271,035				268,394,198				645,466				15,366,221
		28,057				—				51,304				—
		11,005				187,992,169				228,072				17,532,060
		10,844				16,172				15,313				1,260,927
		—				42,285,924				264,437				2,152,990
		—				5,339				—				2
		38,905				19,751,303,372				40,336,885				475,771,027
		—				1,309,994				8,422				223,929
		—				147,238				946				25,169
		19,682				753,424				16,221				57,849
		25,686,208				126,790,515,220				323,602,165				4,608,957,550
		—				25,593,750				—				—
		—				—				175,497				—
		191,584				39,654,771,737				78,640,502				994,920,791
		95,754				115,844,313				1,420,004				16,259,494
		—				4,842,539				—				279,066
		2,765				8,512,361				559				1,417,590
		—				5,319				—				833
		40,474				25,834,801				53,731				1,962,866
		27				26,065				33				1,091
		3,250				2,005,269				9,511				55,151
		36,034				1,474,676				38,456				125,538
		36,438				152,417				36,252				12,421
		9,578				10,269,170				54,904				395,091
		415,904				39,849,332,417				80,429,449				1,015,429,932
	$	25,270,304			$	86,941,182,803			$	243,172,716			$	3,593,527,618
	$	15,471,036			$	7,154,434,091			$	61,924,623			$	258,423,941
	$	7.83			$	10.82			$	4.25			$	11.96
	$	9,799,268			$	52,980,072,595			$	181,248,093			$	3,271,288,578
	$	7.83			$	10.82			$	4.26			$	11.95
		N/A			$	116,856,518				N/A				N/A
		N/A			$	10.82				N/A				N/A
		N/A			$	2,083,842,208				N/A				N/A
		N/A			$	10.83				N/A				N/A
		N/A			$	24,605,977,391				N/A			$	63,815,099
		N/A			$	10.15				N/A			$	11.94
	$	29,447,071			$	87,213,103,047			$	248,562,574			$	3,588,265,666
		(4,176,767	)			(271,920,244	)			(5,389,858	)			5,261,952
	$	25,270,304			$	86,941,182,803			$	243,172,716			$	3,593,527,618

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 227

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2021

	ALPHATRAK 500 FUND			CORPORATE BOND FUND
Investment Income:
Interest	$	777,379		$	350,000
Dividends		53,080			259
Total investment income		830,459			350,259
Expenses:
Investment advisory fees (Note 6)		174,544			38,958
Administration fees		105,281			92,176
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		—			15,522
Professional fees		47,218			32,255
Transfer agent fees		37,811			42,260
Registration and filing fees		28,965			61,162
Custodian fees		21,471			32,504
Miscellaneous expenses		9,642			6,284
Trustees’ fees and expenses		443			120
Commitment fee		—			48
Repayment of reimbursed expenses - Class I (Note 6)		—			—
Total operating expenses		425,375			321,289
Expenses waived and reimbursed (Note 6)		(122,267	)		(257,070	)
Net expenses		303,108			64,219
Net investment income		527,351			286,040
Realized and Change in Unrealized Gain (Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions and Swap Contracts:
Net realized gain (loss) on:
Investments - Unaffiliated		21,713			25,535
Futures contracts		11,439,986			47,444
Foreign currency exchange contracts		30,400			—
Foreign currency transactions		(195	)		—
Swap contracts		—			—
Net change in unrealized appreciation (depreciation) on:
Investments - Affiliated		—			—
Investments - Unaffiliated		1,774,249			(242,672	)
Futures contracts		1,792,689			21,784
Foreign currency exchange contracts		20,568			—
Foreign currency transactions		—			—
Swap contracts		—			—
Net realized and change in unrealized gain (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts		15,079,410			(147,909	)
Net Increase in Net Assets from Operations	$	15,606,761		$	138,131

See accompanying Notes to Financial Statements.

228 / Annual Report March 2021

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2021

FLEXIBLE INCOME          FUND				FLOATING RATE          INCOME FUND				HIGH YIELD         BOND FUND				INTERMEDIATE         BOND FUND
	$	5,284,478			$	12,233,257			$	29,331,916			$	14,894,576
		14,124				13,255				49,420				20,298
		5,298,602				12,246,512				29,381,336				14,914,874
		300,441				1,705,679				3,361,449				2,718,266
		139,312				143,539				127,199				178,429
		22,542				23,921				457,887				76,650
		37,880				51,862				48,904				55,826
		89,730				102,370				435,028				575,348
		55,365				57,737				76,840				72,589
		45,138				28,027				41,229				63,758
		7,924				19,338				89,419				63,811
		764				3,988				8,639				10,219
		229				1,547				3,446				4,320
		—				60,671				—				—
		699,325				2,198,679				4,650,040				3,819,216
		(309,577	)			(8,677	)			(158,414	)			(4,895	)
		389,748				2,190,002				4,491,626				3,814,321
		4,908,854				10,056,510				24,889,710				11,100,553
		(450,019	)			861,658				31,915,009				15,208,540
		828,671				—				2,985,976				2,578,956
		—				134,350				—				892,806
		(1,148	)			(4,879	)			—				—
		—				—				13,280				100,973
		—				—				(27,660	)			—
		(2,518,196	)			26,740,238				38,959,479				7,272,926
		365,099				—				(710,797	)			(1,621,668	)
		13,304				417,224				—				(520,871	)
		4,005				26,829				40,794				—
		—				—				9,696				(96,410	)
		(1,758,284	)			28,175,420				73,185,777				23,815,252
	$	3,150,570			$	38,231,930			$	98,075,487			$	34,915,805

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 229

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2021

	INVESTMENT GRADE CREDIT  FUND				LOW DURATION BOND  FUND
Investment Income:
Interest		$	825,459			$	39,229,517
Dividends			536				64,099
Total investment income			825,995				39,293,616
Expenses:
Investment advisory fees (Note 6)			41,296				6,494,813
Administration fees			103,204				253,111
Distribution (12b-1) and service fees - class specific (Note 7):			—				—
Class M			4,714				808,525
Administrative Class			—				371
Registration and filing fees			59,624				112,009
Transfer agent fees			41,019				1,828,395
Custodian fees			32,797				110,374
Professional fees			32,264				59,939
Miscellaneous expenses			6,187				174,666
Trustees’ fees and expenses			152				28,216
Commitment fee			65				11,565
Repayment of reimbursed expenses - Class I (Note 6)			—				—
Total operating expenses			321,322				9,881,984
Expenses waived and reimbursed (Note 6)			(259,548	)			—
Net expenses			61,774				9,881,984
Net investment income			764,221				29,411,632
Realized and Change in Unrealized Gain (Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions, Options and Swaptions Written and Swap Contracts:
Net realized gain (loss) on:
Investments - Unaffiliated			(52,230	)			1,700,514
Futures contracts			126,649				2,283,421
Foreign currency exchange contracts			—				10,707,573
Foreign currency transactions			—				(16,554	)
Options and swaptions written			—				—
Swap contracts			1,019				267,490
Net change in unrealized appreciation (depreciation) on:
Investments - Affiliated			—				—
Investments - Unaffiliated			(58,463	)			35,458,148
Futures contracts			28,325				1,176,230
Foreign currency exchange contracts			—				50,585
Foreign currency transactions			—				—
Options and swaptions written			—				(1,677	)
Swap contracts			(1,018	)			(250,299	)
Net realized and change in unrealized gain on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			44,282				51,375,431
Net Increase in Net Assets from Operations		$	808,503			$	80,787,063

See accompanying Notes to Financial Statements.

230 / Annual Report March 2021

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2021

STRATEGIC         INCOME FUND				TOTAL RETURN         BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
	$	3,183,481			$	1,690,062,356			$	2,185,752			$	116,484,856
		3,304				2,512,693				7,334				360,228
		3,186,785				1,692,575,049				2,193,086				116,845,084
		498,908				305,268,685				545,532				21,259,494
		113,654				4,432,283				113,724				372,080
		32,208				19,420,746				89,135				653,400
		—				8,022,765				—				—
		57,626				1,830,163				54,569				161,306
		72,698				48,652,054				219,361				2,132,039
		25,094				2,587,862				31,724				161,762
		46,012				512,791				46,392				79,382
		13,396				7,806,521				36,847				301,661
		543				1,147,018				2,804				42,844
		239				493,020				1,147				18,006
		38,432				—				—				—
		898,810				400,173,908				1,141,235				25,181,974
		(58,686	)			—				(310,177	)			—
		840,124				400,173,908				831,058				25,181,974
		2,346,661				1,292,401,141				1,362,028				91,663,110
		848,648				452,557,388				(2,185,391	)			46,969,955
		(169,100	)			334,478,582				(92,047	)			11,835,043
		21,714				125,717,719				1,766,156				5,546,983
		58				144,936				(9,129	)			29,011
		—				4,092,679				—				—
		10,225				11,218,090				1,297				473,554
		—				(64,939	)			—				—
		2,723,288				720,031,385				919,153				144,997,021
		672,574				(130,036,903	)			199,968				36,971,036
		—				18,325,040				195,737				(118,267	)
		—				11,224				—				2
		—				(13,977,372	)			—				—
		(10,397	)			(10,393,565	)			946				(421,508	)
		4,097,010				1,512,104,264				796,690				246,282,830
	$	6,443,671			$	2,804,505,405			$	2,158,718			$	337,945,940

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 231

Metropolitan West Funds

Statements of Changes in Net Assets

	ALPHATRAK 500 FUND
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Operations:
Net investment income	$	527,351		$	953,096
Net realized gain (loss) on investments		21,713			142,331
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts		11,470,191			(1,030,095	)
Net change in unrealized appreciation (depreciation) on investments		1,774,249			(1,361,452	)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts		1,813,257			(2,088,172	)
Net increase (decrease) in net assets resulting from operations		15,606,761			(3,384,292	)
Distributions to Shareholders:
Class M		(2,562,844	)		(3,355,949	)
Class I		—			—
Plan Class		—			—
Total Distributions		(2,562,844	)		(3,355,949	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		8,125,307			25,113,482
Shares issued in reinvestment of distributions		2,556,028			3,349,095
Cost of shares redeemed		(16,021,598	)		(13,858,501	)
Total Class M capital share transactions		(5,340,263	)		14,604,076
Class I:
Proceeds from sale of shares		—			—
Shares issued in reinvestment of distributions		—			—
Cost of shares redeemed		—			—
Total Class I capital share transactions		—			—
Plan Class:
Proceeds from sale of shares		—			—
Shares issued in reinvestment of distributions		—			—
Total Plan Class capital share transactions		—			—
Net increase (decrease) in net assets derived from capital share transactions		(5,340,263	)		14,604,076
Net increase (decrease) in net assets		7,703,654			7,863,835
Net assets at beginning of year		29,066,141			21,202,306
Net assets at end of year	$	36,769,795		$	29,066,141

See accompanying Notes to Financial Statements.

232 / Annual Report March 2021

Metropolitan West Funds

Statements of Changes in Net Assets

CORPORATE  BOND FUND								FLEXIBLE  INCOME FUND								FLOATING RATE INCOME FUND
YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020
	$	286,040			$	195,984			$	4,908,854			$	1,197,535			$	10,056,510			$	11,254,931
		25,535				8,947				(450,019	)			40,287				861,658				(1,233,355	)
		47,444				14,067				827,523				(258	)			129,471				101,494
		(242,672	)			(6,826	)			(2,518,196	)			(610,526	)			26,740,238				(22,243,330	)
		21,784				(1,872	)			382,408				(23,457	)			444,053				—
		138,131				210,300				3,150,570				603,581				38,231,930				(12,120,260	)
		(203,386	)			(75,400	)			(662,014	)			(221	)			(295,044	)			(411,136	)
		(149,087	)			(132,188	)			(4,457,044	)			(1,296,521	)			(9,868,566	)			(10,843,970	)
		—				—				—				—				(1	)			—
		(352,473	)			(207,588	)			(5,119,058	)			(1,296,742	)			(10,163,611	)			(11,255,106	)
		13,648,657				—				32,392,444				—				12,304,196				3,813,347
		201,816				75,400				642,289				221				280,843				409,671
		(6,263,385	)			—				(11,600,746	)			—				(5,625,876	)			(8,650,083	)
		7,587,088				75,400				21,433,987				221				6,959,163				(4,427,065	)
		3,272,792				900,000				154,410,363				2,895,439				155,690,567				65,504,910
		147,918				132,188				4,446,944				1,296,521				8,526,760				10,352,626
		(1,141,757	)			—				(7,249,876	)			—				(23,773,857	)			(65,420,233	)
		2,278,953				1,032,188				151,607,431				4,191,960				140,443,470				10,437,303
		—				—				—				—				100				—
		—				—				—				—				1				—
		—				—				—				—				101				—
		9,866,041				1,107,588				173,041,418				4,192,181				147,402,734				6,010,238
		9,651,699				1,110,300				171,072,930				3,499,020				175,471,053				(17,365,128	)
		3,268,792				2,158,492				8,935,075				5,436,055				256,270,870				273,635,998
	$	12,920,491			$	3,268,792			$	180,008,005			$	8,935,075			$	431,741,923			$	256,270,870

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 233

Metropolitan West Funds

Statements of Changes in Net Assets

	HIGH YIELD BOND FUND
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Operations:
Net investment income	$	24,889,710		$	18,538,464
Net realized gain (loss) on investments		31,915,009			9,112,768
Net realized gain on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		2,999,256			1,384,245
Net change in unrealized appreciation (depreciation) on investments		38,931,819			(25,435,386	)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(660,307	)		330,182
Net increase in net assets resulting from operations		98,075,487			3,930,273
Distributions to Shareholders:
Class M		(6,482,162	)		(6,806,120	)
Class I		(18,425,433	)		(11,733,736	)
Administrative Class		—			—
Total Distributions		(24,907,595	)		(18,539,856	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		128,950,497			39,365,774
Shares issued in reinvestment of distributions		6,182,278			6,576,867
Cost of shares redeemed		(84,380,539	)		(101,550,221	)
Total Class M capital share transactions		50,752,236			(55,607,580	)
Class I:
Proceeds from sale of shares		496,253,964			176,403,014
Shares issued in reinvestment of distributions		17,007,731			10,769,869
Cost of shares redeemed		(282,701,987	)		(181,596,530	)
Total Class I capital share transactions		230,559,708			5,576,353
Administrative Class:
Proceeds from sale of shares		—			—
Shares issued in reinvestment of distributions		—			—
Cost of shares redeemed		—			—
Total Administrative Class capital share transactions		—			—
Net increase (decrease) in net assets derived from capital share transactions		281,311,944			(50,031,227	)
Net increase (decrease) in net assets		354,479,836			(64,640,810	)
Net assets at beginning of year		415,939,307			480,580,117
Net assets at end of year	$	770,419,143		$	415,939,307

See accompanying Notes to Financial Statements.

234 / Annual Report March 2021

Metropolitan West Funds

Statements of Changes in Net Assets

INTERMEDIATEBOND FUND								INVESTMENT GRADECREDIT FUND								LOW DURATIONBOND FUND
YEAR ENDEDMARCH 31,2021				YEAR ENDEDMARCH 31,2020				YEAR ENDEDMARCH 31,2021				YEAR ENDEDMARCH 31,2020				YEAR ENDEDMARCH 31,2021				YEAR ENDEDMARCH 31,2020
	$	11,100,553			$	20,491,132			$	764,221			$	642,625			$	29,411,632			$	50,056,122
		15,208,540				21,175,681				(52,230	)			27,738				1,700,514				13,379,717
		3,572,735				3,749,699				127,668				41,117				13,241,930				16,582,593
		7,272,926				(6,500,278	)			(58,463	)			(431,127	)			35,458,148				(35,094,143	)
		(2,238,949	)			1,593,571				27,307				12,390				974,839				(694,381	)
		34,915,805				40,509,805				808,503				292,743				80,787,063				44,229,908
		(1,392,395	)			(907,641	)			(144,289	)			(94,322	)			(5,196,975	)			(12,024,510	)
		(28,359,551	)			(19,581,347	)			(764,833	)			(612,228	)			(24,338,731	)			(37,166,534	)
		—				—				—				—				(1,056	)			(5,009	)
		(29,751,946	)			(20,488,988	)			(909,122	)			(706,550	)			(29,536,762	)			(49,196,053	)
		14,300,978				10,513,623				4,313,649				—				118,060,426				49,556,729
		1,381,730				903,052				143,142				94,322				5,086,410				11,868,809
		(13,231,790	)			(13,854,184	)			(3,117,649	)			—				(139,138,520	)			(191,932,571	)
		2,450,918				(2,437,509	)			1,339,142				94,322				(15,991,684	)			(130,507,033	)
		235,831,557				122,812,134				4,570,081				1,095,000				933,006,583				370,441,484
		28,333,173				19,285,880				761,991				612,228				22,805,603				35,093,600
		(196,139,375	)			(176,794,379	)			(1,607,145	)			—				(417,147,385	)			(522,614,405	)
		68,025,355				(34,696,365	)			3,724,927				1,707,228				538,664,801				(117,079,321	)
		—				—				—				—				8,700				20,388
		—				—				—				—				683				1,673
		—				—				—				—				(17,573	)			(346,322	)
		—				—				—				—				(8,190	)			(324,261	)
		70,476,273				(37,133,874	)			5,064,069				1,801,550				522,664,927				(247,910,615	)
		75,640,132				(17,113,057	)			4,963,450				1,387,743				573,915,228				(252,876,760	)
		726,874,680				743,987,737				7,267,134				5,879,391				1,906,251,168				2,159,127,928
	$	802,514,812			$	726,874,680			$	12,230,584			$	7,267,134			$	2,480,166,396			$	1,906,251,168

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 235

Metropolitan West Funds

Statements of Changes in Net Assets

	STRATEGIC INCOME  FUND
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Operations:
Net investment income	$	2,346,661		$	3,423,527
Net realized gain (loss) on investments		848,648			504,462
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(137,103	)		(1,260,979	)
Net change in unrealized appreciation (depreciation) on investments		2,723,287			(5,440,080	)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		662,178			(364,036	)
Net increase (decrease) in net assets resulting from operations		6,443,671			(3,137,106	)
Distributions to Shareholders:
Class M		(790,679	)		(537,821	)
Class I		(1,569,363	)		(2,875,979	)
Class I-2		—			—
Administrative Class		—			—
Plan Class		—			—
Total Distributions		(2,360,042	)		(3,413,800	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		12,357,964			4,390,876
Shares issued in reinvestment of distributions		777,664			527,237
Cost of shares redeemed		(8,819,965	)		(11,601,313	)
Total Class M capital share transactions		4,315,663			(6,683,200	)
Class I:
Proceeds from sale of shares		5,452,200			8,919,733
Shares issued in reinvestment of distributions		1,563,564			2,871,974
Cost of shares redeemed		(48,809,465	)		(25,110,769	)
Total Class I capital share transactions		(41,793,701	)		(13,319,062	)
Class I-2:
Proceeds from sale of shares		—			—
Shares issued in reinvestment of distributions		—			—
Cost of shares redeemed		—			—
Total Class I-2 capital share transactions		—			—
Administrative Class:
Proceeds from sale of shares		—			—
Shares issued in reinvestment of distributions		—			—
Cost of shares redeemed		—			—
Total Administrative Class capital share transactions		—			—
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 derived from capital share transactions		(37,478,038	)		(20,002,262	)
Net increase (decrease) in net assets		(33,394,409	)		(26,553,168	)
Net assets at beginning of year		58,664,713			85,217,881
Net assets at end of year	$	25,270,304		$	58,664,g713

See accompanying Notes to Financial Statements.

236 / Annual Report March 2021

Metropolitan West Funds

Statements of Changes in Net Assets

TOTAL RETURN BOND FUND								ULTRA SHORT BOND FUND								UNCONSTRAINED BOND FUND
YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020
	$	1,292,401,141			$	2,023,008,126			$	1,362,028			$	2,638,815			$	91,663,110			$	121,034,413
		452,557,388				3,804,324,845				(2,185,391	)			60,894				46,969,957				26,851,078
		475,652,006				846,408,074				1,666,277				78,160				17,884,589				(22,176,323	)
		719,966,446				(750,124,991	)			919,153				(977,333	)			144,997,021				(180,850,914	)
		(136,071,576	)			70,491,225				396,651				(6,572	)			36,431,263				(20,140,194	)
		2,804,505,405				5,994,107,279				2,158,718				1,793,964				337,945,940				(75,281,940	)
		(568,049,079	)			(300,388,115	)			(271,401	)			(756,939	)			(8,563,350	)			(12,589,905	)
		(3,188,499,462	)			(1,537,934,853	)			(1,091,869	)			(1,886,190	)			(105,331,786	)			(107,860,978	)
		(6,121,053	)			—				—				—				—				—
		(116,011,676	)			(49,057,509	)			—				—				—				—
		(1,638,444,684	)			(823,240,499	)			—				—				(2,741,237	)			—
		(5,517,125,954	)			(2,710,620,976	)			(1,363,270	)			(2,643,129	)			(116,636,373	)			(120,450,883	)
		2,796,785,096				2,020,194,403				93,315,754				14,930,510				53,543,701				81,683,781
		563,596,147				297,755,323				262,337				725,591				8,240,006				11,911,123
		(4,976,311,646	)			(3,301,382,158	)			(60,144,904	)			(21,398,277	)			(89,674,103	)			(264,774,683	)
		(1,615,930,403	)			(983,432,432	)			33,433,187				(5,742,176	)			(27,890,396	)			(171,179,779	)
		18,725,199,269				13,667,391,267				175,164,379				42,913,142				1,145,664,099				1,089,940,500
		2,889,943,410				1,390,528,528				1,090,987				1,882,967				84,772,104				88,891,932
		(13,078,407,390	)			(11,771,099,618	)			(72,005,589	)			(35,906,941	)			(916,608,246	)			(891,192,312	)
		8,536,735,289				3,286,820,177				104,249,777				8,889,168				313,827,957				287,640,120
		130,514,638				100				—				—				—				—
		6,121,040				—				—				—				—				—
		(12,135,534	)			—				—				—				—				—
		124,500,144				100				—				—				—				—
		672,097,128				928,545,275				—				—				—				—
		114,756,083				48,519,313				—				—				—				—
		(376,823,384	)			(319,527,834	)			—				—				—				—
		410,029,827				657,536,754				—				—				—				—
		7,748,078,022				7,677,631,917				—				—				118,175,282				100
		1,525,649,602				763,872,829				—				—				2,740,188				—
		(7,703,153,603	)			(6,168,990,702	)			—				—				(61,961,252	)			—
		1,570,574,021				2,272,514,044				—				—				58,954,218				100
		9,025,908,878				5,233,438,643				137,682,964				3,146,992				344,891,779				116,460,441
		6,313,288,329				8,516,924,946				138,478,412				2,297,827				566,201,346				(79,272,382	)
		80,627,894,474				72,110,969,528				104,694,304				102,396,477				3,027,326,272				3,106,598,654
	$	86,941,182,803			$	80,627,894,474			$	243,172,716			$	104,694,304			$	3,593,527,618			$	3,027,326,272

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 237

Metropolitan West Funds

Financial Highlights

	ALPHATRAK 500 FUND CLASS M
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$    8.89			$  10.73			$    9.98			$    8.95			$    7.22
Income from Investment Operations:
Net investment income1		0.18			0.31			0.22			0.09			0.12
Net realized and unrealized gain (loss)		5.14			(1.14	)		0.76			1.03			1.77
Total Income (Loss) from Investment Operations		5.32			(0.83	)		0.98			1.12			1.89
Less Distributions:
From net investment income		(0.20	)		(0.30	)		(0.23	)		(0.09	)		(0.16	)
From net capital gains		(0.75	)		(0.71	)		—			—			—
Total Distributions		(0.95	)		(1.01	)		(0.23	)		(0.09	)		(0.16	)
Net Asset Value, End of Year		$  13.26			$    8.89			$  10.73			$    9.98			$    8.95
Total Return		60.83	%		(9.36	)%		9.93	%		12.52	%		26.38	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$36,770			$29,066			$21,202			$18,149			$20,714
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.26	%		1.04	%		1.39	%		0.90	%2		3.37	%
After expense waivers and reimbursements		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.57	%		2.80	%		2.15	%		0.90	%		1.49	%
Portfolio Turnover Rate		60	%		89	%		140	%		115	%		505	%

¹  Per share numbers have been calculated using the average share method.

²  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.88%.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 238

Metropolitan West Funds

Financial Highlights

	CORPORATE BOND FUND CLASS M*
	YEAR ENDED     MARCH 31,     2021				YEAR ENDED     MARCH 31,     2020				PERIOD ENDED     MARCH 31,     2019
Net Asset Value, Beginning of Period		$	10.32			$	10.31			$	10.00
Income from Investment Operations:
Net investment income1			0.28				0.88				0.41
Net realized and unrealized gain			0.50				0.06				0.34
Total Income from Investment Operations			0.78				0.94				0.75
Less Distributions:
From net investment income			(0.40	)			(0.86	)			(0.41	)
From net capital gains			(0.05	)			(0.07	)			(0.03	)
Total Distributions			(0.45	)			(0.93	)			(0.44	)
Net Asset Value, End of Period		$	10.65			$	10.32			$	10.31
Total Return			7.55	%			9.19	%			7.75	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	8,190			$	876			$	803
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.16	%			8.55	%			9.81	%3
After expense waivers and reimbursements			0.75	%			0.75	%			0.75	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.54	%			8.31	%			5.47	%3
Portfolio Turnover Rate			84	%			65	%			159	%2

¹  Per share numbers have been calculated using the average share method.

²  Non-Annualized.

³  Annualized.

^*  The Corporate Bond Fund Class M Shares commenced operations on June 29, 2018.

See accompanying Notes to Financial Statements.

239 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	CORPORATE BOND FUND CLASS I*
	YEAR ENDED     MARCH 31,     2021				YEAR ENDED     MARCH 31,     2020				PERIOD ENDED     MARCH 31,     2019
Net Asset Value, Beginning of Period		$	10.32			$	10.31			$	10.00
Income from Investment Operations:
Net investment income1			0.40				0.91				0.43
Net realized and unrealized gain			0.41				0.06				0.34
Total Income from Investment Operations			0.81				0.97				0.77
Less Distributions:
From net investment income			(0.43	)			(0.89	)			(0.43	)
From net capital gains			(0.05	)			(0.07	)			(0.03	)
Total Distributions			(0.48	)			(0.96	)			(0.46	)
Net Asset Value, End of Period		$	10.65			$	10.32			$	10.31
Total Return			7.81	%			9.46	%			7.95	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	4,730			$	2,392			$	1,355
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.54	%			8.30	%			9.56	%3
After expense waivers and reimbursements			0.50	%			0.50	%			0.50	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.64	%			8.62	%			5.72	%3
Portfolio Turnover Rate			84	%			65	%			159	%2

¹  Per share numbers have been calculated using the average share method.

²  Non-Annualized.

³  Annualized.

^*  The Corporate Bond Fund Class I Shares commenced operations on June 29, 2018.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 240

Metropolitan West Funds

Financial Highlights

	FLEXIBLE INCOME FUND CLASS M*
	YEAR ENDED     MARCH 31,     2021				YEAR ENDED     MARCH 31,     2020				PERIOD ENDED     MARCH 31,     2019
Net Asset Value, Beginning of Period		$	9.82			$	10.79			$	10.00
Income from Investment Operations:
Net investment income1			0.69				1.86				0.23
Net realized and unrealized gain (loss)			0.34				(0.85	)			0.79
Total Income from Investment Operations			1.03				1.01				1.02
Less Distributions:
From net investment income			(0.97	)			(1.98	)			(0.23	)
From net capital gains			(0.02	)			—				—
Total Distributions			(0.99	)			(1.98	)			(0.23	)
Net Asset Value, End of Period		$	9.86			$	9.82			$	10.79
Total Return			10.89	%			9.82	%			10.25	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	21,174			$	1			$	1
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.28	%			3.76	%			9.18	%3
After expense waivers and reimbursements			0.80	%			0.80	%			0.80	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.01	%			17.64	%			6.76	%3
Portfolio Turnover Rate			177	%			122	%			80	%2

¹  Per share numbers have been calculated using the average share method.

²  Non-Annualized.

³  Annualized.

^*  The Flexible Income Fund Class M Shares commenced operations on November 30, 2018.

See accompanying Notes to Financial Statements.

241 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	FLEXIBLE INCOME FUND CLASS I*
	YEAR ENDED     MARCH 31,     2021				YEAR ENDED     MARCH 31,     2020				PERIOD ENDED     MARCH 31,     2019
Net Asset Value, Beginning of Period		$	9.82			$	10.78			$	10.00
Income from Investment Operations:
Net investment income1			0.73				1.90				0.24
Net realized and unrealized gain (loss)			0.30				(0.85	)			0.78
Total Income from Investment Operations			1.03				1.05				1.02
Less Distributions:
From net investment income			(0.97	)			(2.01	)			(0.24	)
From net capital gains			(0.02	)			—				—
Total Distributions			(0.99	)			(2.01	)			(0.24	)
Net Asset Value, End of Period		$	9.86			$	9.82			$	10.78
Total Return			10.83	%			10.14	%			10.24	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	158,834			$	8,934			$	5,435
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.01	%			3.51	%			8.82	%3
After expense waivers and reimbursements			0.55	%			0.55	%			0.55	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.41	%			18.14	%			7.16	%3
Portfolio Turnover Rate			177	%			122	%			80	%2

¹  Per share numbers have been calculated using the average share method.

²  Non-Annualized.

³  Annualized.

^*  The Flexible Income Fund Class I Shares commenced operations on November 30, 2018.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 242

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND CLASS M
	YEAR ENDED   MARCH 31,   2021				YEAR ENDED   MARCH 31,   2020				YEAR ENDED   MARCH 31,   2019				YEAR ENDED   MARCH 31,   2018				YEAR ENDED   MARCH 31,   2017
Net Asset Value, Beginning of Year		$	8.98			$	9.90			$	10.06			$	10.06			$	9.80
Income from Investment Operations:
Net investment income1			0.30				0.42				0.42				0.36				0.33
Net realized and unrealized gain (loss)			0.97				(0.92	)			(0.15	)			—				0.26
Total Income (Loss) from Investment Operations			1.27				(0.50	)			0.27				0.36				0.59
Less Distributions:
From net investment income			(0.30	)			(0.42	)			(0.43	)			(0.36	)			(0.33	)
Net Asset Value, End of Year		$	9.95			$	8.98			$	9.90			$	10.06			$	10.06
Total Return			14.30	%			(5.36	)%			2.72	%			3.61	%			6.08	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	13,815			$	6,084			$	11,229			$	15,802			$	25,072
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.99	%			1.00	%			1.03	%			1.04	%			1.05	%
After expense waivers and reimbursements			0.90	%			0.90	%			0.90	%			0.90	%			0.90	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.05	%			4.27	%			4.23	%			3.53	%			3.28	%
Portfolio Turnover Rate			38	%			51	%			52	%			71	%			40	%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

243 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND CLASS I
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$      8.98			$      9.90			$    10.05			$    10.06			$      9.80
Income from Investment Operations:
Net investment income1		0.32			0.44			0.45			0.38			0.35
Net realized and unrealized gain (loss)		0.97			(0.92	)		(0.15	)		(0.01	)		0.26
Total Income (Loss) from Investment Operations		1.29			(0.48	)		0.30			0.37			0.61
Less Distributions:
From net investment income		(0.32	)		(0.44	)		(0.45	)		(0.38	)		(0.35	)
Net Asset Value, End of Year		$      9.95			$      8.98			$      9.90			$    10.05			$    10.06
Total Return		14.52	%		(5.17	)%		3.03	%		3.72	%		6.29	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$417,927			$250,187			$262,407			$237,759			$206,276
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.70	%2		0.70	%		0.71	%		0.72	%		0.75	%
After expense waivers and reimbursements		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.25	%		4.47	%		4.50	%		3.77	%		3.48	%
Portfolio Turnover Rate		38	%		51	%		52	%		71	%		40	%

¹  Per share numbers have been calculated using the average share method.

²  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 244

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND PLAN  CLASS*
	PERIOD ENDED MARCH 31, 2021
Net Asset Value, Beginning of Period		$9.97
Income from Investment Operations:
Net investment income1		0.05
Net realized and unrealized loss		(0.02	)
Total Income from Investment Operations		0.03
Less Distributions:
From net investment income		(0.05	)
Net Asset Value, End of Period		$9.95
Total Return		0.31	%2
Ratios/Supplemental Data:
Net Assets, end of period		$ 100	3
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.62	%4
After expense waivers and reimbursements		0.56	%4
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.15	%4
Portfolio Turnover Rate		38	%2

¹  Per share numbers have been calculated using the average share method.

²  Non-Annualized.

³  Represents the whole number without rounding to the 000s.

⁴  Annualized.

^*  The Floating Rate Income Fund Plan Class Shares commenced operations on January 29, 2021.

See accompanying Notes to Financial Statements.

245 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEARENDEDMARCH 31, 20191			YEAR ENDEDMARCH 31, 20181			YEAR ENDEDMARCH 31, 20171
Net Asset Value, Beginning of Year		$      9.27			$      9.66			$      9.55			$      9.60			$      9.09
Income from Investment Operations:
Net investment income2		0.36			0.40			0.41			0.34			0.34
Net realized and unrealized gain (loss)		1.31			(0.39	)		0.11			(0.05	)		0.50
Total Income from Investment Operations		1.67			0.01			0.52			0.29			0.84
Less Distributions:
From net investment income		(0.37	)		(0.40	)		(0.41	)		(0.34	)		(0.33	)
Net Asset Value, End of Year		$    10.57			$      9.27			$      9.66			$      9.55			$      9.60
Total Return		18.14	%		(0.06	)%		5.57	%		3.01	%		9.35	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$198,337			$126,587			$187,339			$211,021			$344,328
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.91	%		0.93	%		0.92	%		0.91	%		0.89	%
After expense waivers and reimbursements		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.53	%		4.07	%		4.33	%		3.47	%		3.55	%
Portfolio Turnover Rate		108	%		181	%		120	%		167	%		185	%

¹  Consolidated Financial Highlights.

²  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 246

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEARENDEDMARCH 31,20191			YEARENDEDMARCH 31,20181			YEARENDEDMARCH 31,20171
Net Asset Value, Beginning of Year		$      9.26			$      9.65			$      9.55			$      9.60			$      9.09
Income from Investment Operations:
Net investment income2		0.39			0.42			0.44			0.36			0.36
Net realized and unrealized gain (loss)		1.31			(0.39	)		0.09			(0.05	)		0.50
Total Income from Investment Operations		1.70			0.03			0.53			0.31			0.86
Less Distributions:
From net investment income		(0.39	)		(0.42	)		(0.43	)		(0.36	)		(0.35	)
Net Asset Value, End of Year		$    10.57			$      9.26			$      9.65			$      9.55			$      9.60
Total Return		18.56	%		0.19	%		5.72	%		3.27	%		9.62	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$572,082			$289,352			$293,241			$393,368			$532,071
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.61	%		0.62	%		0.63	%		0.63	%		0.62	%
After expense waivers and reimbursements		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.77	%		4.33	%		4.58	%		3.74	%		3.78	%
Portfolio Turnover Rate		108	%		181	%		120	%		167	%		185	%

¹  Consolidated Financial Highlights.

²  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

247 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS M
	YEAR ENDED   MARCH 31,   2021				YEAR ENDED   MARCH 31,   2020				YEAR ENDED   MARCH 31,   2019				YEAR ENDED   MARCH 31,   2018				YEAR ENDED   MARCH 31,   2017
Net Asset Value, Beginning of Year		$	10.65			$	10.37			$	10.21			$	10.37			$	10.58
Income from Investment Operations:
Net investment income1			0.13				0.26				0.25				0.18				0.14
Net realized and unrealized gain (loss)			0.36				0.28				0.17				(0.16	)			(0.09	)
Total Income from Investment Operations			0.49				0.54				0.42				0.02				0.05
Less Distributions:
From net investment income			(0.13	)			(0.26	)			(0.26	)			(0.18	)			(0.15	)
From net capital gains			(0.27	)			—				—				—				(0.11	)
Total Distributions			(0.40	)			(0.26	)			(0.26	)			(0.18	)			(0.26	)
Net Asset Value, End of Year		$	10.74			$	10.65			$	10.37			$	10.21			$	10.37
Total Return			4.63	%			5.27	%			4.15	%			0.19	%			0.43	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	36,452			$	33,836			$	35,343			$	52,942			$	92,642
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.71	%			0.71	%			0.69	%			0.70	%2			0.70	%3
After expense waivers and reimbursements			0.70	%			0.70	%			0.69	%			0.70	%			0.70	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.22	%			2.49	%			2.49	%			1.71	%			1.35	%
Portfolio Turnover Rate			372	%			393	%			277	%			251	%			252	%

¹  Per share numbers have been calculated using the average share method.

²  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.67%.

³  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 248

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$    10.65			$    10.36			$    10.21			$    10.37			$       10.58
Income from Investment Operations:
Net investment income1		0.16			0.29			0.28			0.20			0.17
Net realized and unrealized gain (loss)		0.35			0.28			0.15			(0.15	)		(0.10	)
Total Income from Investment Operations		0.51			0.57			0.43			0.05			0.07
Less Distributions:
From net investment income		(0.16	)		(0.28	)		(0.28	)		(0.21	)		(0.17	)
From net capital gains		(0.27	)		—			—			—			(0.11	)
Total Distributions		(0.43	)		(0.28	)		(0.28	)		(0.21	)		(0.28	)
Net Asset Value, End of Year		$    10.73			$    10.65			$    10.36			$    10.21			$       10.37
Total Return		4.76	%		5.60	%		4.29	%		0.43	%		0.68	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$766,063			$693,038			$708,645			$768,254			$1,064,551
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.48	%		0.48	%		0.47	%		0.46	%		0.45	%
After expense waivers and reimbursements		0.48	%		0.48	%		0.47	%		0.46	%		0.45	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.44	%		2.69	%		2.74	%		1.97	%		1.63	%
Portfolio Turnover Rate		372	%		393	%		277	%		251	%		252	%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

249 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	INVESTMENT GRADE CREDIT FUND CLASS M*
	YEAR ENDED     MARCH 31,     2021				YEAR ENDED     MARCH 31,     2020				PERIOD ENDED     MARCH 31,     2019
Net Asset Value, Beginning of Period		$	9.65			$	10.31			$	10.00
Income from Investment Operations:
Net investment income1			0.59				1.05				0.55
Net realized and unrealized gain (loss)			0.17				(0.55	)			0.33
Total Income from Investment Operations			0.76				0.50				0.88
Less Distributions:
From net investment income			(0.63	)			(1.05	)			(0.55	)
From net capital gains			(0.11	)			(0.11	)			(0.02	)
Total Distributions			(0.74	)			(1.16	)			(0.57	)
Net Asset Value, End of Period		$	9.67			$	9.65			$	10.31
Total Return			7.97	%			4.80	%			9.02	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	2,126			$	837			$	799
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.93	%			3.86	%			4.78	%3
After expense waivers and reimbursements			0.70	%			0.70	%			0.70	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			6.02	%			10.33	%			7.20	%3
Portfolio Turnover Rate			92	%			76	%			199	%2

¹  Per share numbers have been calculated using the average share method.

²  Non-Annualized.

³  Annualized.

^*  The Investment Grade Credit Fund Class M Shares commenced operations on June 29, 2018.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 250

Metropolitan West Funds

Financial Highlights

	INVESTMENT GRADE CREDIT FUND CLASS I*
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$    9.65			$10.31			$10.00
Income from Investment Operations:
Net investment income1		0.65			1.07			0.55
Net realized and unrealized gain (loss)		0.13			(0.55	)		0.34
Total Income from Investment Operations		0.78			0.52			0.89
Less Distributions:
From net investment income		(0.65	)		(1.07	)		(0.56	)
From net capital gains		(0.11	)		(0.11	)		(0.02	)
Total Distributions		(0.76	)		(1.18	)		(0.58	)
Net Asset Value, End of Period		$    9.67			$  9.65			$10.31
Total Return		8.20	%		5.02	%		9.20	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$10,105			$6,431			$5,081
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		2.68	%		3.61	%		4.53	%3
After expense waivers and reimbursements		0.49	%		0.49	%		0.49	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		6.56	%		10.54	%		7.29	%3
Portfolio Turnover Rate		92	%		76	%		199	%2

¹  Per share numbers have been calculated using the average share method.

²  Non-Annualized.

³  Annualized.

^*  The Investment Grade Credit Fund Class I Shares commenced operations on June 29, 2018.

See accompanying Notes to Financial Statements.

251 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$      8.65			$      8.68			$      8.63			$      8.72			$         8.73
Income from Investment Operations:
Net investment income1		0.11			0.20			0.20			0.13			0.10
Net realized and unrealized gain (loss)		0.23			(0.03	)		0.05			(0.09	)		(0.00	)2
Total Income from Investment Operations		0.34			0.17			0.25			0.04			0.10
Less Distributions:
From net investment income		(0.11	)		(0.20	)		(0.20	)		(0.13	)		(0.10	)
From net capital gains		—			—			—			—			(0.01	)
Return of capital		—			—			(0.00	)2		—			—
Total Distributions		(0.11	)		(0.20	)		(0.20	)		(0.13	)		(0.11	)
Net Asset Value, End of Year		$      8.88			$      8.65			$      8.68			$      8.63			$         8.72
Total Return		3.91	%		1.93	%		2.93	%		0.48	%		1.25	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$445,538			$449,701			$580,434			$975,388			$1,284,692
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.62	%		0.62	%		0.62	%		0.62	%		0.61	%
After expense waivers and reimbursements		0.62	%		0.62	%		0.62	%		0.62	%		0.61	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.22	%		2.32	%		2.29	%		1.45	%		1.19	%
Portfolio Turnover Rate		256	%		233	%		174	%		200	%		95	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 252

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$         8.65			$         8.68			$         8.64			$         8.72			$         8.73
Income from Investment Operations:
Net investment income1		0.12			0.22			0.22			0.15			0.12
Net realized and unrealized gain (loss)		0.24			(0.03	)		0.04			(0.08	)		(0.00	)2
Total Income from Investment Operations		0.36			0.19			0.26			0.07			0.12
Less Distributions:
From net investment income		(0.13	)		(0.22	)		(0.22	)		(0.15	)		(0.12	)
From net capital gains		—			—			—			—			(0.01	)
Return of capital		—			—			(0.00	)2		—			—
Total Distributions		(0.13	)		(0.22	)		(0.22	)		(0.15	)		(0.13	)
Net Asset Value, End of Year		$         8.88			$         8.65			$         8.68			$         8.64			$         8.72
Total Return		4.12	%		2.14	%		3.03	%		0.81	%		1.46	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$2,034,540			$1,456,456			$1,578,279			$1,685,415			$1,816,633
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.42	%		0.42	%		0.41	%		0.40	%		0.40	%
After expense waivers and reimbursements		0.42	%		0.42	%		0.41	%		0.40	%		0.40	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.39	%		2.51	%		2.53	%		1.68	%		1.40	%
Portfolio Turnover Rate		256	%		233	%		174	%		200	%		95	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

253 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND ADMINISTRATIVE CLASS
	YEAR ENDED   MARCH 31,   2021				YEAR ENDED   MARCH 31,   2020				YEAR ENDED   MARCH 31,   2019				YEAR ENDED   MARCH 31,   2018				YEAR ENDED   MARCH 31,   2017
Net Asset Value, Beginning of Year		$	11.18			$	11.21			$	11.16			$	11.27			$	11.27
Income from Investment Operations:
Net investment income1			0.13				0.26				0.23				0.15				0.12
Net realized and unrealized gain (loss)			0.30				(0.05	)			0.06				(0.10	)			(0.01	)
Total Income from Investment Operations			0.43				0.21				0.29				0.05				0.13
Less Distributions:
From net investment income			(0.13	)			(0.24	)			(0.24	)			(0.16	)			(0.12	)
From net capital gains			—				—				—				—				(0.01	)
Return of capital			—				—				(0.00	)2			—				—
Total Distributions			(0.13	)			(0.24	)			(0.24	)			(0.16	)			(0.13	)
Net Asset Value, End of Year		$	11.48			$	11.18			$	11.21			$	11.16			$	11.27
Total Return			3.83	%			1.90	%			2.68	%			0.43	%			1.22	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	88			$	94			$	415			$	5,374			$	7,210
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.73	%			0.72	%			0.72	%			0.72	%			0.72	%
After expense waivers and reimbursements			0.73	%			0.72	%			0.72	%			0.72	%			0.72	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.11	%			2.27	%			2.02	%			1.35	%			1.08	%
Portfolio Turnover Rate			256	%			233	%			174	%			200	%			95	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 254

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS M
	YEAR ENDED   MARCH 31,   2021				YEAR ENDED   MARCH 31,   2020				YEAR ENDED   MARCH 31,   2019				YEAR ENDED   MARCH 31,   2018				YEAR ENDED   MARCH 31,   2017
Net Asset Value, Beginning of Year		$	7.29			$	7.89			$	7.99			$	8.05			$	7.99
Income from Investment Operations:
Net investment income1			0.47				0.31				0.32				0.25				0.27
Net realized and unrealized gain (loss)			0.54				(0.60	)			(0.09	)			(0.03	)			0.04
Total Income (Loss) from Investment Operations			1.01				(0.29	)			0.23				0.22				0.31
Less Distributions:
From net investment income			(0.47	)			(0.31	)			(0.33	)			(0.28	)			(0.25	)
Net Asset Value, End of Year		$	7.83			$	7.29			$	7.89			$	7.99			$	8.05
Total Return			14.14	%			(3.86	)%			3.01	%			2.78	%			3.91	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	15,471			$	10,413			$	17,908			$	26,420			$	44,430
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.73	%			2.43	%			1.84	%2			2.45	%			2.09	%
After expense waivers and reimbursements			2.28	%			2.35	%			1.84	%			2.35	%			2.09	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			6.12	%			3.95	%			4.10	%			3.15	%			3.36	%
Portfolio Turnover Rate			24	%			50	%			36	%			32	%			42	%

¹  Per share numbers have been calculated using the average share method.

²  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.67%.

See accompanying Notes to Financial Statements.

255 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS I
	YEAR ENDED   MARCH 31,   2021				YEAR ENDED   MARCH 31,   2020				YEAR ENDED   MARCH 31,   2019				YEAR ENDED   MARCH 31,   2018				YEAR ENDED   MARCH 31,   2017
Net Asset Value, Beginning of Year		$	7.29			$	7.89			$	7.98			$	8.05			$	7.98
Income from Investment Operations:
Net investment income1			0.46				0.33				0.35				0.27				0.29
Net realized and unrealized gain (loss)			0.56				(0.60	)			(0.09	)			(0.04	)			0.05
Total Income (Loss) from Investment Operations			1.02				(0.27	)			0.26				0.23				0.34
Less Distributions:
From net investment income			(0.48	)			(0.33	)			(0.35	)			(0.30	)			(0.27	)
Net Asset Value, End of Year		$	7.83			$	7.29			$	7.89			$	7.98			$	8.05
Total Return			14.19	%			(3.61	)%			3.41	%			2.90	%			4.32	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	9,799			$	48,252			$	67,310			$	69,791			$	70,556
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.08	%2			2.20	%			1.53	%3			2.22	%			1.84	%
After expense waivers and reimbursements			2.08	%			2.10	%			1.53	%			2.10	%			1.84	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.92	%			4.23	%			4.45	%			3.40	%			3.64	%
Portfolio Turnover Rate			24	%			50	%			36	%			32	%			42	%

¹  Per share numbers have been calculated using the average share method.

²  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.93%.

³  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.41%.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 256

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$       11.12			$       10.64			$       10.46			$         10.57			$         10.83
Income from Investment Operations:
Net investment income1		0.15			0.26			0.28			0.21			0.18
Net realized and unrealized gain (loss)		0.24			0.57			0.18			(0.11	)		(0.11	)
Total Income from Investment Operations		0.39			0.83			0.46			0.10			0.07
Less Distributions:
From net investment income		(0.15	)		(0.26	)		(0.28	)		(0.21	)		(0.18	)
From net capital gains		(0.54	)		(0.09	)		—			—			(0.15	)
Total Distributions		(0.69	)		(0.35	)		(0.28	)		(0.21	)		(0.33	)
Net Asset Value, End of Year		$       10.82			$       11.12			$       10.64			$         10.46			$         10.57
Total Return		3.31	%		7.93	%		4.49	%		0.94	%		0.70	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$7,154,434			$8,979,527			$9,560,056			$11,617,735			$15,223,666
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.67	%		0.67	%		0.67	%		0.67	%		0.67	%
After expense waivers and reimbursements		0.67	%		0.67	%		0.67	%		0.67	%		0.67	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.28	%		2.38	%		2.68	%		1.96	%		1.71	%
Portfolio Turnover Rate		470	%		405	%		255	%		291	%		313	%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

257 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$         11.12			$         10.64			$       10.46			$         10.57			$         10.83
Income from Investment Operations:
Net investment income1		0.17			0.28			0.30			0.23			0.21
Net realized and unrealized gain (loss)		0.24			0.57			0.18			(0.11	)		(0.11	)
Total Income from Investment Operations		0.41			0.85			0.48			0.12			0.10
Less Distributions:
From net investment income		(0.17	)		(0.28	)		(0.30	)		(0.23	)		(0.21	)
From net capital gains		(0.54	)		(0.09	)		—			—			(0.15	)
Total Distributions		(0.71	)		(0.37	)		(0.30	)		(0.23	)		(0.36	)
Net Asset Value, End of Year		$         10.82			$         11.12			$         10.64			$         10.46			$         10.57
Total Return		3.54	%		8.16	%		4.72	%		1.17	%		0.93	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$52,980,073			$46,086,494			$40,927,700			$47,327,297			$49,013,553
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.45	%		0.45	%		0.44	%		0.44	%		0.44	%
After expense waivers and reimbursements		0.45	%		0.45	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.49	%		2.60	%		2.91	%		2.19	%		1.94	%
Portfolio Turnover Rate		470	%		405	%		255	%		291	%		313	%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 258

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I-2*
	YEAR ENDED     MARCH 31,     2021				PERIOD ENDED     MARCH 31,     2020
Net Asset Value, Beginning of Period		$	11.12			$	11.48
Income from Investment Operations:
Net investment income1			0.15				0.02
Net realized and unrealized gain (loss)			0.27				(0.36	)
Total Income (Loss) from Investment Operations			0.42				(0.34	)
Less Distributions:
From net investment income			(0.18	)			(0.02	)
From net capital gains			(0.54	)			—
Total Distributions			(0.72	)			(0.02	)
Net Asset Value, End of Period		$	10.82			$	11.12
Total Return			3.65	%			(2.93	)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	116,857			$	97	3
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.52	%			0.33	%4
After expense waivers and reimbursements			0.52	%			0.33	%4
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.32	%			3.49	%4
Portfolio Turnover Rate			470	%			405	%2

¹  Per share numbers have been calculated using the average share method.

²  Non-Annualized.

³  Represents the whole number without rounding to the 000s.

⁴  Annualized.

^*  The Total Return Bond Fund Class I-2 Shares commenced operations on March 6, 2020.

See accompanying Notes to Financial Statements.

259 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$       11.13			$       10.65			$       10.47			$    10.58			$    10.84
Income from Investment Operations:
Net investment income1		0.13			0.25			0.27			0.20			0.17
Net realized and unrealized gain (loss)		0.24			0.57			0.18			(0.11	)		(0.11	)
Total Income from Investment Operations		0.37			0.82			0.45			0.09			0.06
Less Distributions:
From net investment income		(0.13	)		(0.25	)		(0.27	)		(0.20	)		(0.17	)
From net capital gains		(0.54	)		(0.09	)		—			—			(0.15	)
Total Distributions		(0.67	)		(0.34	)		(0.27	)		(0.20	)		(0.32	)
Net Asset Value, End of Year		$       10.83			$       11.13			$       10.65			$    10.47			$    10.58
Total Return		3.19	%		7.80	%		4.36	%		0.83	%		0.59	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$2,083,842			$1,739,034			$1,011,637			$975,897			$768,125
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.78	%		0.78	%		0.78	%		0.78	%		0.78	%
After expense waivers and reimbursements		0.78	%		0.78	%		0.78	%		0.78	%		0.78	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.15	%		2.26	%		2.58	%		1.87	%		1.62	%
Portfolio Turnover Rate		470	%		405	%		255	%		291	%		313	%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 260

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND PLAN CLASS
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$         10.46			$         10.01			$           9.84			$           9.95			$         10.20
Income from Investment Operations:
Net investment income1		0.17			0.28			0.29			0.23			0.20
Net realized and unrealized gain (loss)		0.23			0.54			0.17			(0.11	)		(0.10	)
Total Income from Investment Operations		0.40			0.82			0.46			0.12			0.10
Less Distributions:
From net investment income		(0.17	)		(0.28	)		(0.29	)		(0.23	)		(0.20	)
From net capital gains		(0.54	)		(0.09	)		—			—			(0.15	)
Total Distributions		(0.71	)		(0.37	)		(0.29	)		(0.23	)		(0.35	)
Net Asset Value, End of Year		$         10.15			$         10.46			$         10.01			$           9.84			$           9.95
Total Return		3.65	%		8.29	%		4.80	%		1.18	%		1.03	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$24,605,977			$23,822,841			$20,611,577			$18,363,121			$13,687,733
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.37	%		0.37	%		0.37	%		0.37	%		0.37	%
After expense waivers and reimbursements		0.37	%		0.37	%		0.37	%		0.37	%		0.37	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.57	%		2.67	%		3.00	%		2.28	%		2.01	%
Portfolio Turnover Rate		470	%		405	%		255	%		291	%		313	%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

261 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$    4.23			$    4.26			$    4.25			$    4.27			$    4.27
Income from Investment Operations:
Net investment income1		0.02			0.11			0.09			0.05			0.04
Net realized and unrealized gain (loss)		0.02			(0.03	)		0.01			(0.02	)		0.01
Total Income from Investment Operations		0.04			0.08			0.10			0.03			0.05
Less Distributions:
From net investment income		(0.02	)		(0.11	)		(0.09	)		(0.05	)		(0.04	)
From net capital gains		—			—			—			—			(0.01	)
Total Distributions		(0.02	)		(0.11	)		(0.09	)		(0.05	)		(0.05	)
Net Asset Value, End of Year		$    4.25			$    4.23			$    4.26			$    4.25			$    4.27
Total Return		1.03	%		1.85	%		2.37	%		0.68	%		1.14	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$61,925			$28,355			$34,376			$50,777			$66,238
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.65	%		0.77	%		0.74	%		0.69	%		0.67	%
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		0.49	%		2.53	%		2.08	%		1.14	%		0.97	%
Portfolio Turnover Rate		210	%		303	%		172	%		183	%		63	%

¹  Per share numbers have been calculated using the average share method.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 262

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$      4.23			$    4.27			$    4.26			$    4.27			$    4.28
Income from Investment Operations:
Net investment income1		0.03			0.12			0.10			0.06			0.05
Net realized and unrealized gain (loss)		0.03			(0.04	)		0.01			(0.01	)		(0.00	)2
Total Income from Investment Operations		0.06			0.08			0.11			0.05			0.05
Less Distributions:
From net investment income		(0.03	)		(0.12	)		(0.10	)		(0.06	)		(0.05	)
From net capital gains		—			—			—			—			(0.01	)
Total Distributions		(0.03	)		(0.12	)		(0.10	)		(0.06	)		(0.06	)
Net Asset Value, End of Year		$      4.26			$    4.23			$    4.27			$    4.26			$    4.27
Total Return		1.43	%		1.78	%		2.53	%		1.08	%		1.06	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$181,248			$76,340			$68,020			$68,698			$70,744
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.48	%		0.58	%		0.56	%		0.52	%		0.49	%
After expense waivers and reimbursements		0.34	%		0.34	%		0.34	%		0.34	%		0.34	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		0.67	%		2.70	%		2.27	%		1.30	%		1.13	%
Portfolio Turnover Rate		210	%		303	%		172	%		183	%		63	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

263 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$    11.12			$    11.80			$    11.83			$    11.90			$       11.72
Income from Investment Operations:
Net investment income1		0.30			0.42			0.41			0.29			0.25
Net realized and unrealized gain (loss)		0.93			(0.69	)		(0.03	)		(0.03	)		0.22
Total Income (Loss) from Investment Operations		1.23			(0.27	)		0.38			0.26			0.47
Less Distributions:
From net investment income		(0.30	)		(0.41	)		(0.41	)		(0.31	)		(0.25	)
From net capital gains		(0.09	)		—			—			(0.02	)		(0.04	)
Return of capital		—			—			(0.00	)2		—			—
Total Distributions		(0.39	)		(0.41	)		(0.41	)		(0.33	)		(0.29	)
Net Asset Value, End of Year		$    11.96			$    11.12			$    11.80			$    11.83			$       11.90
Total Return		11.14	%		(2.47	)%		3.31	%		2.18	%		4.11	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$258,424			$267,139			$454,968			$642,999			$1,460,884
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.03	%		1.03	%		1.03	%3		1.05	%		1.04	%4
After expense waivers and reimbursements		1.03	%		1.03	%		1.03	%		1.04	%		1.04	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.56	%		3.49	%		3.46	%		2.39	%		2.13	%
Portfolio Turnover Rate		165	%		85	%		43	%		62	%		33	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

³  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.99%.

⁴  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.02%.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 264

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019			YEAR ENDED MARCH 31, 2018			YEAR ENDED MARCH 31, 2017
Net Asset Value, Beginning of Year		$       11.12			$       11.79			$       11.82			$       11.89			$       11.71
Income from Investment Operations:
Net investment income1		0.33			0.44			0.44			0.33			0.29
Net realized and unrealized gain (loss)		0.92			(0.67	)		(0.02	)		(0.04	)		0.22
Total Income (Loss) from Investment Operations		1.25			(0.23	)		0.42			0.29			0.51
Less Distributions:
From net investment income		(0.33	)		(0.44	)		(0.45	)		(0.34	)		(0.29	)
From net capital gains		(0.09	)		—			—			(0.02	)		(0.04	)
Return of capital		—			—			(0.00	)2		—			—
Total Distributions		(0.42	)		(0.44	)		(0.45	)		(0.36	)		(0.33	)
Net Asset Value, End of Year		$       11.95			$       11.12			$       11.79			$       11.82			$       11.89
Total Return		11.35	%		(2.11	)%		3.60	%		2.49	%		4.43	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$3,271,289			$2,760,187			$2,651,631			$2,627,294			$1,996,550
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.75	%		0.75	%		0.75	%		0.73	%		0.73	%
After expense waivers and reimbursements		0.75	%		0.75	%		0.75	%		0.73	%		0.73	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.82	%		3.72	%		3.76	%		2.77	%		2.46	%
Portfolio Turnover Rate		165	%		85	%		43	%		62	%		33	%

¹  Per share numbers have been calculated using the average share method.

²  Amount is greater than $(0.005) per share.

See accompanying Notes to Financial Statements.

265 / Annual Report March 2021

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND PLAN  CLASS*
	YEAR ENDED     MARCH 31,     2021				PERIOD ENDED     MARCH 31,     2020
Net Asset Value, Beginning of Period		$	11.11			$	11.96
Income from Investment Operations:
Net investment income1			0.34				0.03
Net realized and unrealized gain (loss)			0.92				(0.85	)
Total Income (Loss) from Investment Operations			1.26				(0.82	)
Less Distributions:
From net investment income			(0.34	)			(0.03	)
From net capital gains			(0.09	)			—
Total Distributions			(0.43	)			(0.03	)
Net Asset Value, End of Period		$	11.94			$	11.11
Total Return			11.44	%			(6.88	)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	63,815			$	93	3
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.69	%			0.68	%4
After expense waivers and reimbursements			0.69	%			0.68	%4
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.88	%			4.06	%4
Portfolio Turnover Rate			165	%			85	%2

¹  Per share numbers have been calculated using the average share method.

²  Non-Annualized.

³  Represents the whole number without rounding to the 000s.

⁴  Annualized.

^*  The Unconstrained Bond Fund Plan Class Shares commenced operations on March 6, 2020.

See accompanying Notes to Financial Statements.

Annual Report March 2021 / 266

Notes to Financial Statements

March 31, 2021

1. SUMMARY OF ORGANIZATION

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 twelve separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Alpha Trak 500 Fund (the “Alpha Trak 500 Fund”), Metropolitan West Corporate Bond Fund (the “Corporate Bond Fund”), Metropolitan West Flexible Income Fund (the “Flexible Income 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 Investment Grade Credit Fund (the “Investment Grade Credit 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 Alpha Trak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. The Corporate Bond Fund commenced investment operations on June 29, 2018 with Class M and Class I shares. The Flexible Income Fund commenced investment operations on November 30, 2018 with Class M and Class I shares. The Floating Rate Income Fund commenced investment operations on June 28, 2013 with Class M and Class I shares. The Plan Class was added on January 29, 2021. 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 Investment Grade Credit Fund commenced investment operations on June 29, 2018 with Class M and Class I shares. 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; Class I-2 was added on March 6, 2020; 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; and the Plan Class was added on March 6, 2020. 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 Alpha Trak 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/or 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 Corporate Bond Fund seeks to maximize long-term total return, by investing, under normal circumstances, at least 80% of its assets, which includes borrowings for investment purposes, in a diversified portfolio of corporate debt instruments of varying maturities issued by U.S. and foreign corporations domiciled in developed market and emerging market countries. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from three to nine years.

The Flexible Income Fund seeks a high level of current income with a secondary objective of long-term capital appreciation by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from zero to eight years.

The Floating Rate Income Fund seeks primarily to maximize current income with a secondary objective of long term capital appreciation, by investing normally at least 80% of its net assets, which includes borrowings for investment purposes, in floating rate investments and in investments that are the economic equivalent of floating rate investments. The Fund’s portfolio securities may have any duration or maturity.

The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. The Fund invests at least 80% of its net assets, plus any borrowing for investment purposes, in high yield bonds (commonly known as “junk bonds”). The remainder of the Fund’s net assets may be invested in investment grade securities rated by one of the nationally recognized statistical rating organizations or, if unrated, determined by the Adviser to be of comparable quality. The Fund’s portfolio duration is two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

267 / Annual Report March 2021

Notes to Financial Statements (Continued)

The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.

The Investment Grade Credit Fund seeks to maximize long-term total return. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in securities and instruments it regards as bonds in the U.S and abroad, including emerging markets, and may purchase securities of varying maturities issued by domestic and foreign corporations and governments. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from two to eight years.

The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is 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 focuses on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund focuses 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration normally will remain within one year of its benchmark index. The Fund’s dollar-weighted average portfolio maturity normally exceeds 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 Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in securities and instruments it regards as bonds in the U.S. and abroad, including emerging markets, and may purchase securities of varying maturities issued by domestic and foreign corporations and governments. There is no limit on the weighted average maturity of the Fund’s portfolio, and the average portfolio duration of the fixed-income portion of the Fund’s portfolio is expected to vary from negative three (-3) years to positive eight (8) years.

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.tcw.com or by calling (800) 241-4671.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Trust:

Net Asset Value:

The Net Asset Value (“NAV”) of each class of a Fund 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 of the Fund on each business day as of 4 p.m. ET.

Security Valuation:

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” or the “Board of Trustees”). 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 (e.g., 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 on which those securities

Annual Report March 2021 / 268

Notes to Financial Statements (Continued)

are 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 approved by the Board of Trustees 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.

Foreign Currency Translation:

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.

Foreign Taxes:

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 and Derivatives Transactions and Investment Income:

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:

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the Alpha Trak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The Alpha Trak 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.

Federal Income Taxation:

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.

269 / Annual Report March 2021

Notes to Financial Statements (Continued)

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, 2021, 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.

Cash and Cash Equivalents:

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.

Use of Estimates:

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.

Fair Value Measurements:

Various inputs are used in determining the fair value of investments, which are as follows:

* 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

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.

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; they would then be categorized as Level 3.

Annual Report March 2021 / 270

Notes to Financial Statements (Continued)

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.

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.

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.

Foreign currency contracts. The fair value of foreign currency contracts is 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.

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.

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.

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-wanted 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.

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, 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.

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.

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.

271 / Annual Report March 2021

Notes to Financial Statements (Continued)

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.

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 on similar securities and yields and therefore, would be in Level 2.

As of March 31, 2021, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks and corporate bonds.

The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of March 31, 2021 is as follows:

ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Foreign Government Obligations	$	—	$	316,809	$	—	$	316,809
Money Market Funds		2,465,201		—		—		2,465,201
U.S. Treasury Bills		4,699,745		—		—		4,699,745
Long-Term Investments:
Asset-Backed Securities		—		4,181,958		—		4,181,958
Corporates		—		9,548,060		—		9,548,060
Mortgage-Backed Securities		—		7,514,698		62,388		7,577,086
Municipal Bonds		—		227,940		—		227,940
Mutual Funds		3,685,257		—		—		3,685,257
U.S. Treasury Securities		334,829		—		—		334,829
Other Financial Instruments*
Assets:
Equity contracts		133,232		—		—		133,232
Foreign currency exchange contracts		—		20,568		—		20,568
Total		$        11,318,264		$        21,810,033		$               62,388		$        33,190,685

*Other financial instruments include foreign currency exchange contracts and futures. Equity contracts include futures.

CORPORATE BOND FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	266,086		$	—	$	—	$	266,086
Long-Term Investments:
Asset-Backed Securities		—			—		44,118		44,118
Corporates		—			10,411,726		5,267		10,416,993
Mortgage-Backed Securities		—			152,945		25,014		177,959
Municipal Bonds		—			287,363		—		287,363
U.S. Treasury Securities		1,603,482			—		—		1,603,482
Other Financial Instruments*
Assets:
Interest rate contracts		30,315			—		—		30,315
Liabilities:
Interest rate contracts		(9,340	)		—		—		(9,340	)
Total		$          1,890,543			$        10,852,034		$               74,399		$        12,816,976

*Other financial instruments include futures. Interest rate contracts include futures.

Annual Report March 2021 / 272

Notes to Financial Statements (Continued)

FLEXIBLE INCOME FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	6,038,999		$	—	$	—	$	6,038,999
U.S. Treasury Bills		23,898,670			—		—		23,898,670
Long-Term Investments:
Asset-Backed Securities		—			24,538,464		815,348		25,353,812
Bank Loans		—			13,831,951		—		13,831,951
Common Stock		427,380			—		—		427,380
Corporates		—			47,209,339		213,302		47,422,641
Foreign Government Obligations		—			4,351,400		—		4,351,400
Mortgage-Backed Securities		—			91,271,342		2,696,696		93,968,038
Municipal Bonds		—			1,135,565		—		1,135,565
Warrant		131,581			—		—		131,581
Other Financial Instruments*
Assets:
Foreign currency exchange contracts		—			13,304		—		13,304
Interest rate contracts		502,990			—		—		502,990
Liabilities:
Interest rate contracts		(161,348	)		—		—		(161,348	)
Total	$	30,838,272		$	182,351,365	$	3,725,346	$	216,914,983

*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.

FLOATING RATE INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Foreign Government Obligations	$	—	$	6,426,705	$	—	$	6,426,705
Money Market Funds		10,902,212		—		—		10,902,212
U.S. Treasury Bills		43,997,950		—		—		43,997,950
Long-Term Investments:
Bank Loans		—		358,533,406		3,008,358		361,541,764
Corporates		—		32,387,071		—		32,387,071
Warrant		197,810		—		—		197,810
Other Financial Instruments*
Assets:
Foreign currency exchange contracts		—		417,224		—		417,224
Total	$	55,097,972	$	397,764,406	$	3,008,358	$	455,870,736

*Other financial instruments include foreign currency exchange contracts.

273 / Annual Report March 2021

Notes to Financial Statements (Continued)

HIGH YIELD BOND FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	7,002,000		$	—	$	—	$	7,002,000
U.S. Treasury Bills		29,999,169			—		—		29,999,169
Long-Term Investments:
Bank Loans		—			136,751,329		2,009,394		138,760,723
Common Stock		—			114,000		—		114,000
Corporates		—			562,961,345		1,124,446		564,085,791
Mortgage-Backed Securities		—			20,132,168		—		20,132,168
Warrant		248,440			—		—		248,440
Other Financial Instruments*
Assets:
Credit contracts		—			95,964		—		95,964
Interest rate contracts		87,794			—		—		87,794
Liabilities:
Interest rate contracts		(33,079	)		—		—		(33,079	)
Total	$	37,304,324		$	720,054,806	$	3,133,840	$	760,492,970

*Other financial instruments include futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.

INTERMEDIATE BOND FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	18,630		$	—	$	—	$	18,630
U.S. Treasury Bills		9,999,446			—		—		9,999,446
Long-Term Investments:
Asset-Backed Securities		—			52,233,001		2,254,916		54,487,917
Bank Loans		—			11,707,693		—		11,707,693
Common Stock		—			—		—		—
Corporates		—			203,695,405		513,506		204,208,911
Mortgage-Backed Securities		—			161,782,368		—		161,782,368
Municipal Bonds		—			6,621,072		—		6,621,072
U.S. Treasury Securities		405,953,715			—		—		405,953,715
Other Financial Instruments*
Assets:
Credit contracts		—			27,744		—		27,744
Interest rate contracts		247,620			—		—		247,620
Liabilities:
Interest rate contracts		(164,912	)		—		—		(164,912	)
Total	$	416,054,499		$	436,067,283	$	2,768,422	$	854,890,204

*Other financial instruments include futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.

Annual Report March 2021 / 274

Notes to Financial Statements (Continued)

INVESTMENT GRADE CREDIT FUND	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	20,597		$	—	$	—	$	20,597
Long-Term Investments:
Asset-Backed Securities		—			590,852		39,216		630,068
Corporates		—			6,846,704		13,167		6,859,871
Mortgage-Backed Securities		—			1,989,528		65,397		2,054,925
Municipal Bonds		—			330,145		—		330,145
U.S. Treasury Securities		2,086,799			—		—		2,086,799
Other Financial Instruments*
Assets:
Interest rate contracts		68,815			—		—		68,815
Liabilities:
Interest rate contracts		(31,439	)		—		—		(31,439	)
Total	$	2,144,772		$	9,757,229	$	117,780	$	12,019,781

*Other financial instruments include futures. Interest rate contracts include futures.

LOW DURATION BOND FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Foreign Government Obligations	$	—	$	21,905,106		$	—	$	21,905,106
Money Market Funds		269,627,811		—			—		269,627,811
U.S. Treasury Bills		84,996,122		—			—		84,996,122
Long-Term Investments:
Asset-Backed Securities		—		326,314,919			6,666,708		332,981,627
Bank Loans		—		41,854,395			—		41,854,395
Common Stock		—		—			—		—
Corporates		—		659,341,792			2,061,924		661,403,716
Mortgage-Backed Securities		—		940,045,116			1,343,373		941,388,489
Municipal Bonds		—		14,678,566			—		14,678,566
Purchased Swaptions		—		6,393			—		6,393
U.S. Treasury Securities		355,833,096		—			—		355,833,096
Other Financial Instruments*
Assets:
Credit contracts		—		82,272			—		82,272
Foreign currency exchange contracts		—		1,422,086			—		1,422,086
Interest rate contracts		2,164,061		—			—		2,164,061
Liabilities:
Interest rate contracts		—		(4,596	)		—		(4,596	)
Total	$	712,621,090	$	2,005,646,049		$	10,072,005	$	2,728,339,144

*Other financial instruments include foreign currency exchange contracts, futures, swaps and written swaptions. Credit contracts include swaps. Interest rate contracts include futures and written swaptions.

275 / Annual Report March 2021

Notes to Financial Statements (Continued)

STRATEGIC INCOME FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds		$	522,665		$	—		$	—		$	522,665
U.S. Treasury Bills			1,299,928			—			—			1,299,928
Long-Term Investments:
Asset-Backed Securities			—			3,690,491			122,413			3,812,904
Common Stock			75,420			—			—			75,420
Corporates			—			6,834,598			31,600			6,866,198
Mortgage-Backed Securities			—			11,013,455			159,315			11,172,770
Municipal Bonds			—			178,795			—			178,795
Other Financial Instruments*
Assets:
Interest rate contracts			104,434			—			—			104,434
Total		$	2,002,447		$	21,717,339		$	313,328		$	24,033,114

*Other financial instruments include futures. Interest rate contracts include futures.

TOTAL RETURN BOND FUND	LEVEL 1				LEVEL 2				LEVEL 3			TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Foreign Government Obligations		$	—			$	653,043,960			$	—		$	653,043,960
Money Market Funds			3,615,408,000				—				—			3,615,408,000
Repurchase Agreements			—				500,000,000				—			500,000,000
U.S. Agency Discount Notes			—				1,649,979,030				—			1,649,979,030
U.S. Treasury Bills			2,329,882,775				—				—			2,329,882,775
Long-Term Investments:
Asset-Backed Securities			—				3,194,861,276				31,559,020			3,226,420,296
Bank Loans			—				1,281,188,105				4,405,391			1,285,593,496
Common Stock			—				—				—			—
Corporates			—				18,448,493,516				54,418,554			18,502,912,070
Foreign Government Obligations			—				755,245,212				—			755,245,212
Mortgage-Backed Securities			—				37,547,181,022				8,525,700			37,555,706,722
Municipal Bonds			—				817,139,115				—			817,139,115
Purchased Options			14,875,000				—				—			14,875,000
Purchased Swaptions			—				25,889,302				—			25,889,302
U.S. Treasury Securities			34,925,555,962				—				—			34,925,555,962
Other Financial Instruments*
Assets:
Credit contracts			—				1,457,232				—			1,457,232
Foreign currency exchange contracts			—				42,285,924				—			42,285,924
Interest rate contracts			69,261				—				—			69,261
Liabilities:
Foreign currency exchange contracts			—				(5,319	)			—			(5,319	)
Interest rate contracts			(44,233,118	)			—				—			(44,233,118	)
Total		$	40,841,557,880			$	64,916,758,375			$	98,908,665		$	105,857,224,920

*Other financial instruments include foreign currency exchange contracts, futures, swaps and written options. Credit contracts include swaps. Interest rate contracts include futures and written options.

Annual Report March 2021 / 276

Notes to Financial Statements (Continued)

ULTRA SHORT BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Foreign Government Obligations		$	—		$	4,073,263		$	—		$	4,073,263
Money Market Funds			28,852,669			—			—			28,852,669
U.S. Treasury Bills			47,997,605			—			—			47,997,605
Long-Term Investments:
Asset-Backed Securities			—			22,988,336			—			22,988,336
Bank Loans			—			1,244,576			—			1,244,576
Corporates			—			56,903,917			—			56,903,917
Mortgage-Backed Securities			—			82,259,884			18,543			82,278,427
Municipal Bonds			—			1,744,233			—			1,744,233
U.S. Treasury Securities			35,823,073			—			—			35,823,073
Other Financial Instruments*
Assets:
Credit contracts			—			9,368			—			9,368
Foreign currency exchange contracts			—			264,437			—			264,437
Interest rate contracts			132,095			—			—			132,095
Total		$	112,805,442		$	169,488,014		$	18,543		$	282,311,999

*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.

UNCONSTRAINED BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Foreign Government Obligations		$                   —			$        32,631,367			$                  —		$            32,631,367
Money Market Funds		139,217,175			—			—		139,217,175
U.S. Treasury Bills		379,976,741			—			—		379,976,741
Long-Term Investments:
Asset-Backed Securities		—			448,843,242			10,098,102		458,941,344
Bank Loans		—			161,339,109			389,705		161,728,814
Common Stock		9,754,320			—			—		9,754,320
Corporates		—			882,053,688			3,607,708		885,661,396
Foreign Government Obligations		—			97,025,733			—		97,025,733
Mortgage-Backed Securities		—			1,769,072,315			97,063		1,769,169,378
Municipal Bonds		—			23,070,903			—		23,070,903
U.S. Treasury Securities		34,593,874			—			—		34,593,874
Other Financial Instruments*
Assets:
Credit contracts		—			249,098			—		249,098
Foreign currency exchange contracts		—			2,152,990			—		2,152,990
Interest rate contracts		12,298,817			—			—		12,298,817
Liabilities:
Foreign currency exchange contracts		—			(833	)		—		(833	)
Interest rate contracts		(2,221,792	)		—			—		(2,221,792	)
Total		$    573,619,135			$     3,416,437,612			$      14,192,578		$     4,004,249,325

*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.

Certain securities held by the Funds are categorized as Level 3 investments. Their prices may be derived by utilizing unobservable prior transaction values or information from third party valuation services. The value of Level 3 investments could be significantly affected by changes in these unobservable inputs.

277 / Annual Report March 2021

Notes to Financial Statements (Continued)

For the year ended March 31, 2021, 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	MORTGAGE-     BACKED     SECURITIES
Balance as of April 1, 2020	$	84,531
Accrued discounts/premiums		(9,821	)
Realized gain (loss)		—
Change in unrealized (depreciation)*		(12,322	)
Purchases		—
Sales		—
Transfers into Level 3**		—
Transfers out of Level 3**		—
Balance as of March 31, 2021	$	62,388

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $ (12,322) and is included in the related net 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, 2021.

CORPORATE BOND FUND	ASSET-BACKED     SECURITIES			CORPORATES			MORTGAGE-     BACKED     SECURITIES
Balance as of April 1, 2020	$	—		$	—		$	35,813
Accrued discounts/premiums		—			(55	)		(1,289	)
Realized (loss)		—			(16	)		—
Change in unrealized (depreciation)*		(679	)		(159	)		(9,510	)
Purchases		45,000			—			—
Sales		(203	)		(1,061	)		—
Transfers into Level 3**		—			6,558			—
Transfers out of Level 3**		—			—			—
Balance as of March 31, 2021	$	44,118		$	5,267		$	25,014

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(10,348) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $6,558 transferred from level 2 to level 3 in the disclosure hierarchy.

Annual Report March 2021 / 278

Notes to Financial Statements (Continued)

FLEXIBLE INCOME FUND	ASSET-BACKED     SECURITIES			CORPORATES			MORTGAGE-     BACKED     SECURITIES
Balance as of April 1, 2020	$	—		$	—		$	357,614
Accrued discounts/premiums		(4,093	)		2,173			(53,203	)
Realized gain (loss)		—			—			—
Change in unrealized (depreciation)*		(10,483	)		(23,016	)		(306,330	)
Purchases		832,407			234,145			2,698,615
Sales		(2,483	)		—			—
Transfers into Level 3**		—			—			—
Transfers out of Level 3**		—			—			—
Balance as of March 31, 2021	$	815,348		$	213,302		$	2,696,696

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(339,829) and is included in the related net 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, 2021.

FLOATING RATE INCOME FUND	BANK LOANS
Balance as of April 1, 2020	$	2,905,819
Accrued discounts/premiums		(41,879	)
Realized (loss)		(304,115	)
Change in unrealized appreciation*		499,857
Purchases		1,695,614
Sales		(1,312,744	)
Transfers into Level 3**		—
Transfers out of Level 3**		(434,194	)
Balance as of March 31, 2021	$	3,008,358

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $231,324 and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $434,194 transferred from level 3 to level 2 in the disclosure hierarchy.

HIGH YIELD BOND FUND	BANK LOANS			COMMON STOCK			CORPORATES			WARRANT
Balance as of April 1, 2020	$	2,812,025		$	27,660		$	89,537		$	4,810
Accrued discounts/premiums		81,638			—			10,026			—
Realized gain (loss)		980			—			(141	)		4,810
Change in unrealized appreciation (depreciation)*		613,252			(27,660	)		(126,852	)		(4,810	)
Purchases		—			—			1,238,209			—
Sales		(3,959	)		—			(86,333	)		(4,810	)
Transfers into Level 3**		—			—			—			—
Transfers out of Level 3**		(1,494,542	)		—			—			—
Balance as of March 31, 2021	$	2,009,394		$	—		$	1,124,446		$	—

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $301,088 and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $1,494,542 transferred from level 3 to level 2 in the disclosure hierarchy.

279 / Annual Report March 2021

Notes to Financial Statements (Continued)

INTERMEDIATE BOND FUND	ASSET-BACKED SECURITIES			COMMON STOCK			CORPORATES
Balance as of April 1, 2020	$	—		$	441		$	—
Accrued discounts/premiums		—			—			(6,330	)
Realized (loss)		—			—			(1,862	)
Change in unrealized (depreciation)*		(34,702	)		(441	)		(14,325	)
Purchases		2,300,000			—			—
Sales		(10,382	)		—			(103,409	)
Transfers into Level 3**		—			—			639,432
Transfers out of Level 3**		—			—			—
Balance as of March 31, 2021	$	2,254,916		$	—		$	513,506

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(49,468) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $639,432 transferred from level 2 to level 3 in the disclosure hierarchy.

INVESTMENT GRADE CREDIT FUND	ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2020	$	—		$	—		$	20,170
Accrued discounts/premiums		—			(138	)		(1,258	)
Realized (loss)		—			(41	)		—
Change in unrealized (depreciation)*		(604	)		(398	)		(15,339	)
Purchases		40,000			—			61,824
Sales		(180	)		(2,652	)		—
Transfers into Level 3**		—			16,396			—
Transfers out of Level 3**		—			—			—
Balance as of March 31, 2021	$	39,216		$	13,167		$	65,397

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(16,340) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $16,396 transferred from level 2 to level 3 in the disclosure hierarchy.

Annual Report March 2021 / 280

Notes to Financial Statements (Continued)

LOW DURATION BOND FUND	ASSET-BACKED SECURITIES			COMMON STOCK			CORPORATES			MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2020	$	—		$	5,858		$	—			$1,711,943
Accrued discounts/premiums		—			—			(28,319	)		(51,188	)
Realized (loss)		—			—			(8,326	)		—
Change in unrealized (depreciation)*		(102,597	)		(5,858	)		(53,768	)		(317,382	)
Purchases		6,800,000			—			—			—
Sales		(30,695	)		—			(415,227	)		—
Transfers into Level 3**		—			—			2,567,564			—
Transfers out of Level 3**		—			—			—			—
Balance as of March 31, 2021	$	6,666,708		$	—		$	2,061,924			$          1,343,373

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(473,747) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $2,567,564 transferred from level 2 to level 3 in the disclosure hierarchy.

STRATEGIC INCOME FUND	ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2020	$	110,334		$	—		$	216,306
Accrued discounts/premiums		260			(1,348	)		75,907
Realized (loss)		(330,961	)		(2,455	)		(27,694	)
Change in unrealized appreciation (depreciation)*		275,372			13,040			(41,293	)
Purchases		75,000			—			—
Sales		(7,592	)		(108,802	)		(63,911	)
Transfers into Level 3**		—			131,165			—
Transfers out of Level 3**		—			—			—
Balance as of March 31, 2021	$	122,413		$	31,600		$	159,315

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(43,596) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $131,165 transferred from level 2 to level 3 in the disclosure hierarchy.

281 / Annual Report March 2021

Notes to Financial Statements (Continued)

TOTAL RETURN  BOND FUND	ASSET-BACKED SECURITIES			BANK LOANS			COMMON STOCK			CORPORATES			MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2020	$	3,430,498		$	6,069,565		$	64,939		$	5,264,767		$	11,260,792
Accrued discounts/premiums		—			77,134			—			(840,981	)		(1,236,442	)
Realized (loss)		(14,419,024	)		(471,332	)		—			(248,974	)		—
Change in unrealized appreciation (depreciation)*		11,774,688			79,383			(64,939	)		(1,309,937	)		(1,498,650	)
Purchases		32,190,000			1,304,800			—			—			—
Sales		(1,417,142	)		(2,810,919	)		—			(10,603,008	)		—
Transfers into Level 3**		—			—			—			62,156,687			—
Transfers out of Level 3**		—			—			—			—			—
Balance as of March 31, 2021	$	31,559,020		$	4,248,631		$	—		$	54,418,554		$	8,525,700

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(3,214,882) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $62,156,687 transferred from level 2 to level 3 in the disclosure hierarchy.

ULTRA SHORT  BOND FUND	MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2020		$         24,861
Accrued discounts/premiums		(5,896	)
Realized gain (loss)		—
Change in unrealized (depreciation)*		(422	)
Purchases		—
Sales		—
Transfers into Level 3**		—
Transfers out of Level 3**		—
Balance as of March 31, 2021		$        18,543

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(422) and is included in the related net 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, 2021.

Annual Report March 2021 / 282

Notes to Financial Statements (Continued)

UNCONSTRAINED   BOND FUND	ASSET-BACKED SECURITIES			BANK LOANS			COMMON STOCK			CORPORATES			MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2020	$	—		$	536,919		$	6,172		$	—		$	96,156
Accrued discounts/premiums		—			6,819			—			(58,532	)		37,237
Realized (loss)		—			(41,703	)		—			(17,116	)		—
Change in unrealized appreciation (depreciation)*		(155,405	)		7,035			(6,172	)		(82,546	)		(36,330	)
Purchases		10,300,000			115,423			—			—			—
Sales		(46,493	)		(248,656	)		—			(726,515	)		—
Transfers into Level 3**		—			—			—			4,492,417			—
Transfers out of Level 3**		—			—			—			—			—
Balance as of March 31, 2021	$	10,098,102		$	375,837		$	—		$	3,607,708		$	97,063

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(273,418) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $4,492,417 transferred from level 2 to level 3 in the disclosure hierarchy.

Significant unobservable valuations inputs for Level 3 investments as of March 31, 2021, are as follows:

	FAIR VALUE AT	VALUATION	UNOBSERVABLE			WEIGHTED
ALPHATRAK 500 FUND	3/31/21	TECHNIQUE*	INPUT	RANGE		AVERAGE
Mortgage-Backed  Securities-Commercial
Mortgage-Backed	$35,650	Third-party Vendor	Vendor Prices		$0.32 - $3.52		$2.65
Mortgage-Backed  Securities-Non-Agency	$26,738	Third-party Vendor	Vendor Prices		$1.29		$1.29
	FAIR VALUE AT	VALUATION	UNOBSERVABLE			WEIGHTED
CORPORATE BOND FUND	3/31/21	TECHNIQUE*	INPUT	RANGE		AVERAGE
Asset-Backed Securities	$44,118	Broker Quote	Offered Quote		$98.48		$98.48
Corporate Securities	$5,267	Third-party Vendor	Vendor Prices		$83.76		$83.76
Mortgage-Backed  Securities-Commercial
Mortgage-Backed	$25,014	Third-party Vendor	Vendor Prices		$0.32 - $2.49		$1.78
	FAIR VALUE AT	VALUATION	UNOBSERVABLE			WEIGHTED
FLEXIBLE INCOME FUND	3/31/21	TECHNIQUE*	INPUT	RANGE		AVERAGE
Asset-Backed Securities	$815,348	Broker Quote	Offered Quote		$2.63 - $98.48		$66.02
Corporate Securities	$213,302	Third-party Vendor	Vendor Prices		$83.76		$83.76
Mortgage-Backed  Securities-Commercial
Mortgage-Backed	$797,591	Third-party Vendor	Vendor Prices		$2.49		$2.49
Mortgage-Backed Securities-Non-Agency	$1,899,105	Third-party Vendor	Vendor Prices		$0.88 - $29.22		$7.90
	FAIR VALUE AT	VALUATION	UNOBSERVABLE			WEIGHTED
FLOATING RATE INCOME FUND	3/31/21	TECHNIQUE*	INPUT	RANGE		AVERAGE
Bank Loans	$3,008,358	Third-party Vendor	Vendor Prices		$26.67 - $100.62		$90.27
	FAIR VALUE AT	VALUATION	UNOBSERVABLE			WEIGHTED
HIGH YIELD BOND FUND	3/31/21	TECHNIQUE*	INPUT	RANGE		AVERAGE
Bank Loans	$2,009,394	Third-party Vendor	Vendor Prices		$98.65 - $100.13		$98.99
Corporate Securities	$1,124,446	Third-party Vendor	Vendor Prices		$83.76		$83.76

283 / Annual Report March 2021

Notes to Financial Statements (Continued)

	FAIR VALUE AT	VALUATION	UNOBSERVABLE		WEIGHTED
INTERMEDIATE BOND FUND	3/31/21	TECHNIQUE*	INPUT	RANGE	AVERAGE
Asset-Backed Securities	$2,254,916	Broker Quote	Offered Quote	$98.48	$98.48
Corporate Securities	$513,506	Third-party Vendor	Vendor Prices	$83.76	$83.76
	FAIR VALUE AT	VALUATION	UNOBSERVABLE		WEIGHTED
INVESTMENT GRADE CREDIT FUND	3/31/21	TECHNIQUE*	INPUT	RANGE	AVERAGE
Asset-Backed Securities	$39,216	Broker Quote	Offered Quote	$98.49	$98.49
Corporate Securities	$13,167	Third-party Vendor	Vendor Prices	$83.76	$83.76
Mortgage-Backed Securities-Commercial
Mortgage-Backed	$65,397	Third-party Vendor	Vendor Prices	$0.32 - $2.49	$2.09
	FAIR VALUE AT	VALUATION	UNOBSERVABLE		WEIGHTED
LOW DURATION BOND FUND	3/31/21	TECHNIQUE*	INPUT	RANGE	AVERAGE
Asset-Backed Securities	$6,666,708	Broker Quote	Offered Quote	$98.48	$98.48
Corporate Securities	$2,061,924	Third-party Vendor	Vendor Prices	$83.76	$83.76
Mortgage-Backed Securities-Non-Agency	$1,343,373	Third-party Vendor	Vendor Prices	$1.68	$1.68
	FAIR VALUE AT	VALUATION	UNOBSERVABLE		WEIGHTED
STRATEGIC INCOME FUND	3/31/21	TECHNIQUE*	INPUT	RANGE	AVERAGE
Asset-Backed Securities	$73,530	Broker Quote	Offered Quote	$98.49	$98.49
Asset-Backed Securities	$48,883	Third-party Vendor	Vendor Prices	$11.64	$11.64
Corporate Securities	$31,600	Third-party Vendor	Vendor Prices	$83.76	$83.76
Mortgage-Backed Securities-Non-Agency	$159,315	Third-party Vendor	Vendor Prices	$9.39	$9.39
	FAIR VALUE AT	VALUATION	UNOBSERVABLE		WEIGHTED
TOTAL RETURN BOND FUND	3/31/21	TECHNIQUE*	INPUT	RANGE	AVERAGE
Asset-Backed Securities	$31,559,020	Broker Quote	Offered Quote	$98.48	$98.48
Bank Loans	$4,405,391	Third-party Vendor	Vendor Prices	$72.50	$72.50
Corporate Securities	$54,418,554	Third-party Vendor	Vendor Prices	$83.76 - $114.34	$86.29
Mortgage-Backed Securities-Non-Agency	$8,525,700	Third-party Vendor	Vendor Prices	$0.82 - $2.35	$1.72
	FAIR VALUE AT	VALUATION	UNOBSERVABLE		WEIGHTED
ULTRA SHORT BOND FUND	3/31/21	TECHNIQUE*	INPUT	RANGE	AVERAGE
Mortgage-Backed Securities-Non-Agency	$18,543	Third-party Vendor	Vendor Prices	$1.29	$1.29
	FAIR VALUE AT	VALUATION	UNOBSERVABLE		WEIGHTED
UNCONSTRAINED BOND FUND	3/31/21	TECHNIQUE*	INPUT	RANGE	AVERAGE
Asset-Backed Securities	$10,098,102	Broker Quote	Offered Quote	$98.48	$98.48
Bank Loans	$389,705	Third-party Vendor	Vendor Prices	$72.50	$72.50
Corporate Securities	$3,607,708	Third-party Vendor	Vendor Prices	$83.76	$83.76
Mortgage-Backed Securities-Non-Agency	$97,063	Third-party Vendor	Vendor Prices	$0.61 - $9.39	$8.15

* The valuation technique employed on the Level 3 securities involves the use of vendor prices, broker quotes and benchmark pricing. The Adviser monitors the third-party brokers and vendors using the valuation process.

Annual Report March 2021 / 284

Notes to Financial Statements (Continued)

Derivative Instruments Categorized by Risk Exposure:

The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of March 31, 2021:

	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
	ASSET	LIABILITY
DERIVATIVE TYPE	DERIVATIVES	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

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2021:

				ASSET DERIVATIVE INVESTMENTS
	ALPHATRAK 500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
Credit contracts:
Swaps		$	—		$	—		$	—		$	—		$	95,964		$	27,744
Equity contracts:
Futures1			133,232			—			—			—			—			—
Interest contracts:
Futures1			—			30,315			502,990			—			87,794			247,620
Foreign currency exchange contracts:
Forwards			20,568			—			13,304			417,224			—			—
Total		$	153,800		$	30,315		$	516,294		$	417,224		$	183,758		$	275,364

				ASSET DERIVATIVE INVESTMENTS
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
Credit contracts:
Swaps		$	—		$	82,272		$	—		$	1,457,232		$	9,368		$	249,098
Interest contracts:
Futures1			68,815			2,164,061			104,434			69,261			132,095			12,298,817
Options and swaptions purchased			—			6,393			—			40,764,302			—			—
Foreign currency exchange contracts:
Forwards			—			1,422,086			—			42,285,924			264,437			2,152,990
Total		$	68,815		$	3,674,812		$	104,434		$	84,576,719		$	405,900		$	14,700,905

¹ Includes cumulative appreciation (depreciation) of financial futures contracts as reported in the Schedules of Portfolio Investments. Only the current day’s margin variation is reported within the Statements of Assets and Liabilities.

			LIABILITY DERIVATIVE INVESTMENTS
	ALPHATRAK 500 FUND		CORPORATE BOND FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND		INTERMEDIATE BOND FUND
Interest contracts:
Futures1		$            —		$        (9,340)		$        (161,348)		$            —		$        (33,079)		$        (164,912)
Total		$            —		$        (9,340)		$        (161,348)		$            —		$        (33,079)		$        (164,912)

285 / Annual Report March 2021

Notes to Financial Statements (Continued)

	LIABILITY DERIVATIVE INVESTMENTS
	INVESTMENT GRADE CREDIT FUND				LOW DURATION BOND FUND				STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
Interest contracts:
Futures1		$	(31,439	)		$	—			$	—		$	(18,639,368	)		$	—		$	(2,221,792	)
Options and swaptions written			—				(4,596	)			—			(25,593,750	)			—			—
Foreign currency exchange contracts:
Forwards			—				—				—			(5,319	)			—			(833	)
Total		$	(31,439	)		$	(4,596	)		$	—		$	(44,238,437	)		$	—		$	(2,222,625	)

¹Includes cumulative appreciation (depreciation) of financial futures contracts as reported in the Schedules of Portfolio Investments. Only the current day’s margin variation is reported within the Statements of Assets and Liabilities.

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, 2021:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ALPHATRAK 500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND
Credit contracts:
Swaps		$	—		$	—		$	—		$	—		$	(5,549	)		$	(1,604	)
Equity contracts:
Futures			11,439,986			—			—			—			—				—
Interest contracts:
Futures			—			47,444			828,671			—			2,985,976				2,578,956
Options and swaptions purchased1			—			—			—			—			—				—
Swaps			—			—			—			—			18,829				102,577
Foreign currency exchange contracts:
Forwards			30,400			—			—			134,350			—				892,806
Total		$	11,470,386		$	47,444		$	828,671		$	134,350		$	2,999,256			$	3,572,735

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
Credit contracts:
Swaps		$	—		$	(4,757	)		$	—			$	(84,257	)		$	(542	)		$	(14,403	)
Interest contracts:
Futures			126,649			2,283,421				(169,100	)			334,478,582				(92,047	)			11,835,043
Options and swaptions purchased1			—			—				—				20,902,129				—				—
Options and swaptions written			—			—				—				4,092,679				—				—
Swaps			1,019			272,24				10,225				11,302,347				1,839				487,957
Foreign currency exchange contracts:
Forwards			—			10,707,573				21,714				125,717,719				1,766,156				5,546,983
Total		$	127,668		$	13,258,484				$ (137,161)			$	496,409,199			$	1,675,406			$	17,855,580

¹Options and swaptions purchased are included in net realized gain (loss) from investments — unaffiliated.

Annual Report March 2021 / 286

Notes to Financial Statements (Continued)

	CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED
	IN THE STATEMENTS OF OPERATIONS
	ALPHATRAK 500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
Credit contracts:
Swaps		$	—		$	—		$	—		$	—		$	9,696		$	2,803
Equity contracts:
Futures			1,792,689			—			—			—			—			—
Interest contracts:
Futures			—			21,784			365,099			—			(710,797)			(1,621,668)
Options and swaptions purchased1			—			—			—			—			—			—
Swaps			—			—			—			—			—			(99,213)
Foreign currency exchange contracts:
Forwards			20,568			—			13,304			417,224			—			(520,871)
Total		$	1,813,257		$	21,784		$	378,403		$	417,224		$	(701,101)		$	(2,238,949)

	CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED
	IN THE STATEMENTS OF OPERATIONS
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
Credit contracts:
Swaps		$	—		$	8,313		$	—		$	147,238		$	946		$	25,169
Interest contracts:
Futures			28,325			1,176,230			672,574			(130,036,903)			199,968			36,971,036
Options and swaptions purchased1			—			2,529			—			9,584,162			—			—
Options and swaptions written			—			(1,677)			—			(13,977,372)			—			—
Swaps			(1,018)			(258,612)			(10,397)			(10,540,803)			—			(446,677)
Foreign currency exchange contracts:
Forwards			—			50,585			—			18,325,040			195,737			(118,267)
Total		$	27,307		$	977,368		$	662,177		$	(126,498,638)		$	396,651		$	36,431,261

¹Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

287 / Annual Report March 2021

Notes to Financial Statements (Continued)

	AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
	ALPHATRAK 500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
Financial futures contracts:
Average number of contracts purchased			176			5			64			—			135			278
Average number of contracts sold			—			5			52			—			232			166
Average value of contracts purchased		$	391,741		$	3,001		$	44,145		$	—		$	32,618		$	89,367
Average value of contracts sold		$	—		$	10,699		$	146,639		$	—		$	217,255		$	159,492
Credit default swaps:
Average number of contracts -sell protection			—			—			—			—			1			1
Average notional value - sell protection		$	—		$	—		$	—		$	—		$	998,750		$	288,750
Foreign currency exchange contracts:
Average number of contracts sold			1			—			1			1			—			—
Average value of contracts sold		$	6,521		$	—		$	3,326		$	110,875		$	—		$	—

Annual Report March 2021 / 288

Notes to Financial Statements (Continued)

	AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
	INVESTMENT GRADE CREDIT FUND			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			23			—			2			8,115			—			1,067
Average number of contracts sold			13			589			43			5,344			130			2,165
Average value of contracts purchased		$	11,551		$	—		$	32		$	6,725,069		$	—		$	640,522
Average value of contracts sold		$	24,865		$	655,711		$	44,124		$	3,776,083		$	49,520		$	4,143,127
Purchased options:
Average number of contracts			—			—			—			19,125			—			—
Average notional value		$	—		$	—		$	—		$	7,318,322		$	—		$	—
Written options:
Average number of contracts			—			—			—			29,500			—			—
Average notional value		$	—		$	—		$	—		$	6,672,616		$	—		$	—
Credit default swaps:
Average number of contracts - sell protection			—			1			—			1			1			1
Average notional value - sell protection		$	—		$	856,250		$	—		$	15,166,250		$	97,500		$	2,592,500
Purchased swaptions:
Average number of contracts			—			1			—			1			—			—
Average notional value		$	—		$	939,000		$	—		$	2,724,060		$	—		$	—
Written swaptions:
Average number of contracts			—			1			—			—			—			—
Average notional value		$	—		$	540,000		$	—		$	—		$	—		$	—
Foreign currency exchange contracts:
Average number of contracts sold			—			1			1			3			1			1
Average value of contracts sold		$	—		$	609,730		$	985		$	13,504,477		$	106,174		$	621,277

¹Amounts disclosed represent the volume of derivative contracts for the year ended March 31, 2021.

Counterparty Credit Risk:

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 to perform, and not the counterparty.

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.

289 / Annual Report March 2021

Notes to Financial Statements (Continued)

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.

Collateral requirements:

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by 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 of $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 a 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 AlphaTrak 500 Fund’s OTC derivative assets 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, 2021:

				ALPHATRAK 500 FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED1			DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE  ASSETS2
Goldman Sachs International
Foreign Currency Exchange Contracts		$	20,567		$	—		$	—		$	20,567
Total		$	20,567		$	—		$	—		$	20,567

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.

Annual Report March 2021 / 290

Notes to Financial Statements (Continued)

The following table presents Flexible Income Fund’s OTC derivative assets 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, 2021:

	FLEXIBLE INCOME FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED1			DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE ASSETS2
Goldman Sachs International
Foreign Currency Exchange Contracts		$	13,304		$	—		$	—		$	13,304
Total		$	13,304		$	—		$	—		$	13,304

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 following table presents Floating Rate Income Fund’s OTC derivative assets 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, 2021:

				FLOATING RATE INCOME FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED1			DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE ASSETS2
Goldman Sachs International
Foreign Currency Exchange Contracts		$	417,224		$	(260,000)		$	—		$	157,224
Total		$	417,224		$	(260,000)		$	—		$	157,224

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 following table presents High Yield Fund’s OTC derivative assets 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, 2021:

				HIGH YIELD FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED1			DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE ASSETS2
Credit Suisse First Boston
International Credit Default Swaps		$	95,964		$	—		$	—		$	95,964
Total		$	95,964		$	—		$	—		$	95,964

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.

291 / Annual Report March 2021

Notes to Financial Statements (Continued)

The following table presents Intermediate Bond Fund’s OTC derivative assets 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, 2021:

				INTERMEDIATE BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED1			DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE ASSETS2
Credit Suisse First Boston
International Credit Default Swaps		$	27,744		$	—		$	—		$	27,744
Total		$	27,744		$	—		$	—		$	27,744

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 following table presents Low Duration Bond Fund’s OTC derivative assets 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, 2021:

				LOW DURATION BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED1				DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET				NET AMOUNT OF DERIVATIVE ASSETS2
Credit Suisse First Boston
International Credit Default Swaps		$	82,272		$	—			$	—			$	82,272
Goldman Sachs International
Foreign Currency Exchange Contracts		$	1,422,086		$	(1,380,000	)		$	—			$	42,086
Swaptions			6,393			—				(4,596	)			1,797
Total Goldman Sachs
International		$	1,428,479		$	(1,380,000	)		$	(4,596	)		$	43,883
Total		$	1,510,751		$	(1,380,000	)		$	(4,596	)		$	126,155

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 following table presents Low Duration Bond 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, 2021:

				LOW DURATION BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL PLEDGED3			DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF DERIVATIVE LIABILITIES4
Goldman Sachs International Swaptions		$	4,596		$	—		$	(4,596	)		$	—
Total		$	4,596		$	—		$	(4,596	)		$	—

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.

Annual Report March 2021 / 292

Notes to Financial Statements (Continued)

The following table presents Total Return Bond Fund’s OTC derivative assets 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, 2021:

	TOTAL RETURN BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL   RECEIVED1				DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET				NET AMOUNT OF   DERIVATIVE ASSETS2
Barclay’s Capital
Swaptions		$	5,565,442		$	(2,840,000	)		$	(2,340,825	)		$	384,617
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts		$	16,223,591		$	(16,223,591	)		$	—			$	—
Swaptions			3,192,677			(1,246,409	)			(1,350,040	)			596,228
Total Citigroup Global Markets, Inc.		$	19,416,268		$	(17,470,000	)		$	(1,350,040	)		$	596,228
Credit Suisse First Boston
International Credit Default Swaps		$	1,457,232		$	(1,457,232	)		$	—			$	—
Goldman Sachs International
Foreign Currency Exchange Contracts		$	26,057,015		$	(26,057,015	)		$	—			$	—
Swaptions			17,131,182			(8,822,985	)			(7,205,375	)			1,102,822
Total Goldman Sachs
International		$	43,188,197		$	(34,880,000	)		$	(7,205,375	)			$    1,102,822
Total		$	69,627,140		$	(56,647,232	)		$	(10,896,240	)			$    2,083,668

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 following table presents Total Return Bond 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, 2021:

	TOTAL RETURN BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL   PLEDGED3			DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET				NET AMOUNT OF DERIVATIVE  LIABILITIES4
Barclay’s Capital
Swaptions		$	2,340,825		$	—		$	(2,340,825	)		$	—
Citigroup Global Markets, Inc.
Swaptions		$	1,350,040		$	—		$	(1,350,040	)		$	—
Goldman Sachs International
Swaptions		$	7,205,375		$	—		$	(7,205,375	)		$	—
Total		$	10,896,240		$	—		$	(10,896,240	)		$	—

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.

293 / Annual Report March 2021

Notes to Financial Statements (Continued)

The following table presents Ultra Short Bond Fund’s OTC derivative assets 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, 2021:

	ULTRA SHORT BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED1				DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE ASSETS2
Credit Suisse First Boston
International Credit Default Swaps		$	9,368		$	—			$	—		$	9,368
Goldman Sachs International
Foreign Currency Exchange Contracts		$	264,437		$	(240,000	)		$	—		$	24,437
Total		$	273,806		$	(240,000	)		$	—		$	33,806

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 following table presents Unconstrained Bond Fund’s OTC derivative assets 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, 2021:

	UNCONSTRAINED BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES			COLLATERAL RECEIVED1				DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE ASSETS2
Credit Suisse First Boston
International Credit Default Swaps		$	249,098		$	(249,098	)		$	—		$	—
Goldman Sachs International
Foreign Currency Exchange Contracts		$	2,152,157		$	(1,870,000	)		$	—		$	282,157
Total		$	2,401,254		$	(2,119,098	)		$	—		$	282,157

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.

3. PORTFOLIO INVESTMENTS

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.

Annual Report March 2021 / 294

Notes to Financial Statements (Continued)

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, there may be 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, 2021, 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 Corporate Bond Fund, Flexible Income Fund, High Yield Bond Fund, Investment Grade Credit Fund and Strategic Income Fund may not make short sales of securities or maintain a short position if more than 33 1/3% of the Fund’s total assets (taken at current value) are held as collateral for such sales at any one time. The AlphaTrak 500 Fund, Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained Bond Fund will not make total short sales exceeding 25% of the Fund’s total assets. The Floating

295 / Annual Report March 2021

Notes to Financial Statements (Continued)

Rate Income Fund will not make total short sales exceeding 15% of the Fund’s total 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, 2021, 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, 2021, 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 an 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, 2021, 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. Securities sold under reverse repurchase agreements are recorded as a liability. Interest payments made are recorded as a component of interest expense. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A reverse purchase agreement involves the risk that the market value of the security sold by a Fund may decline below the repurchase price of the security. A Fund will segregate assets determined to be liquid by the manager or otherwise cover its obligations under reverse repurchase agreements. The average dollar amount and average interest rate of reverse repurchase agreements in the High Yield Bond Fund, Total Return Bond Fund and the Unconstrained Bond Fund for the year ended March 31, 2021, were $736,482 and (2.39)%, $8,887,821 and (2.48)% and $1,473,036 and (2.39)%, respectively.

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 not 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. As of March 31, 2021, the Funds did not hold any reverse repurchase agreements.

Annual Report March 2021 / 296

Notes to Financial Statements (Continued)

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.

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 may 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.

Derivatives:

The Funds may engage 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.

297 / Annual Report March 2021

Notes to Financial Statements (Continued)

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, 2021, 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 for swap contracts, net of assets received as collateral, 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. As of March 31, 2021,

Annual Report March 2021 / 298

Notes to Financial Statements (Continued)

there were no credit default swaps outstanding in the Funds. 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, 2021, the Low Duration Bond Fund and Total Return 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, 2021, 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.

4. RISK CONSIDERATIONS

Foreign Investing Risk: The Funds may be exposed to the risk that the Funds’ share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.

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 a Fund’s investment portfolio, the greater the change in value.

299 / Annual Report March 2021

Notes to Financial Statements (Continued)

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 an 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 which 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.

Annual Report March 2021 / 300

Notes to Financial Statements (Continued)

Public Health Emergencies Risk and Impact of the Coronavirus (COVID-19): Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current outbreak of the novel coronavirus (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.

The World Health Organization officially declared in March 2020 that the COVID-19 outbreak formally constitutes a “pandemic.” This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to contain COVID-19, local, regional, and national governments, as well as private businesses and other organizations, have imposed and continue to impose severely restrictive measures, including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including “stay-at-home,” “shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently, COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment.

The ultimate impact of COVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent of COVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. Even if COVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term impacts of an extended period of unprecedented economic dislocation and disruption will be on future economic developments, the health of certain markets, industries and businesses, and commercial and consumer behavior.

The ongoing COVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses. The extent of the impact on business operations and performance of market participants and the companies in which we invest depends and will continue to depend on many factors, virtually all of which are highly uncertain and unpredictable, and this impact may include or lead to: (i) significant reductions in revenue and growth; (ii) unexpected operational losses and liabilities; (iii) impairments to credit quality; and (iv) reductions in the availability of capital. These same factors may limit the ability to source, research, and execute new investments, as well as to sell investments in the future, and governmental mitigation actions may constrain or alter existing financial, legal, and regulatory frameworks in ways that are adverse to the investment strategies we intend to pursue, all of which could materially diminish our ability to fulfill investment objectives. They may also impair the ability of the companies in which we invest or their counterparties to perform their respective obligations under debt instruments and other commercial agreements (including their ability to pay obligations as they become due), potentially leading to defaults with uncertain consequences, including the potential for defaults by borrowers under debt instruments held in a client’s portfolio. In addition, an extended period of remote working by the employees of the companies in which we invest subjects those companies to additional operational risks, including heightened cybersecurity risk. Remote working environments may be less secure and more susceptible to cyberattacks that seek to exploit the COVID-19 pandemic, and the operational damage of any such events could potentially disrupt our business and reduce the value of our investments. The operations of securities markets may also be significantly impacted, or even temporarily or permanently halted, as a result of government quarantine measures, restrictions on travel and movement, remote-working requirements, and other factors related to a public health emergency, including the potential adverse impact on the health of any such entity’s personnel. These measures may also hinder normal business operations by impairing usual communication channels and methods, hampering the performance of administrative functions such as processing payments and invoices, and diminishing the ability to make accurate and timely projections of financial performance. Because our ability to execute transactions on behalf of the Funds is dependent upon the timely performance of multiple third parties, any interruptions in the business operations of those third parties could impair our ability to effectively implement a Fund’s investment strategies.

LIBOR Risk: The London Interbank Offer Rate (“LIBOR”) historically has been and currently is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt

301 / Annual Report March 2021

Notes to Financial Statements (Continued)

securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including investment companies such as the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.

Bank Loan Risk: There is a risk of investing in corporate loans made by commercial banks and other financial institutions or institutional investors to companies that need capital to grow or restructure, which includes interest rate risk, liquidity risk and prepayment risk. The Fund may also be subject to the credit risk of other financial institutions and the risks associated with insufficient collateral securing a bank loan, limited available public information about a bank loan, delayed settlement, and less protection for holders of bank loans as compared to holders of registered securities. Bank loans are not registered and otherwise may not be treated as securities under the federal securities laws, meaning investors in loans have less protection against improper practices than investors in securities that are registered under or are otherwise subject to the protections of the securities laws.

5. SECURITIES TRANSACTIONS

Investment transactions for the year ended March 31, 2021, excluding U.S. government and short-term investments, were as follows:

PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	9,637,887	$	8,938,349
Corporate Bond Fund		10,308,515		1,589,147
Flexible Income Fund		156,299,384		9,843,427
Floating Rate Income Fund		242,415,962		110,990,951
High Yield Bond Fund		908,497,112		664,955,340
Intermediate Bond Fund		169,622,969		241,254,444
Investment Grade Credit Fund		5,839,360		2,161,801
Low Duration Bond Fund		1,125,060,668		879,440,970
Strategic Income Fund		8,004,586		43,600,550
Total Return Bond Fund		14,912,714,133		21,565,781,516
Ultra Short Bond Fund		113,669,158		41,271,860
Unconstrained Bond Fund		1,308,726,035		1,422,797,585
Investment transactions in U.S. government securities for the year ended March 31, 2021 were as follows:

PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	7,369,567	$	5,554,305
Corporate Bond Fund		6,904,672		5,483,523
Flexible Income Fund		135,199,817		100,257,868
Intermediate Bond Fund		2,770,459,817		2,613,082,108
Investment Grade Credit Fund		9,500,463		7,382,149
Low Duration Bond Fund		4,473,608,302		3,957,708,705
Strategic Income Fund		334,267		2,023,013
Total Return Bond Fund		414,695,930,849		398,148,161,823
Ultra Short Bond Fund		266,684,564		210,134,700
Unconstrained Bond Fund		3,918,638,497		3,563,819,321

Purchases include the Flexible Income Fund and Unconstrained Bond Fund’s purchase of certain securities from affiliated investment accounts for a total of $174,734 and $3,925,963, respectively. These trades are settled for cash in accordance with the valuation and other requirements set forth in Rule 17a-7 under the 1940 Act.

During the year ended March 31, 2021, the Total Return Bond Fund permitted an in-kind purchase of its shares, accepting payment for such shares in the form of securities that are permissible investments of the Fund. The purchase in-kind occurred on May 27, 2020 and totaled $49,180,420.

Annual Report March 2021 / 302

Notes to Financial Statements (Continued)

Investment transactions in the shares of affiliated issuers for the year ended March 31, 2021 were as follows:

	VALUE AT BEGINNING OF YEAR		PURCHASES		SALES		DIVIDEND/ INTEREST		VALUE AT END OF YEAR		REALIZED GAIN LOSS		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
High Yield Bond Fund
Homer City Holdings LLC		$  27,660		$—		$—		$—		$—		$—		$(27,660)
Total Return Bond Fund
Homer City Holdings LLC		64,939		—		—		—		—		—		(64,939)

6. INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS

As compensation for advisory services, the Adviser charges the Corporate Bond Fund, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit 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 0.40%, 0.45%, 0.55%, 0.50%, 0.35%, 0.35%, 0.30%, 0.35%, 0.25% and 0.65%, 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 ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps over the same period. Under this agreement, the basic fee was increased by 0.07% resulting in $498,908 of total management fees for the year ended March 31, 2021. 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 increased by 0.17% resulting in $174,544 total management fees for the year ended March 31, 2021.

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.

303 / Annual Report March 2021

Notes to Financial Statements (Continued)

Investment advisory fees and related contractual expense limitations for the year ended March 31, 2021, were as follows:

PORTFOLIO	INVESTMENT ADVISORY FEE RATE					CONTRACTUAL EXPENSE LIMITATION1
	CLASS M	CLASS I	CLASS I-2	ADMINI- STRATIVE CLASS	PLAN CLASS	CLASS M	CLASS I	CLASS I-2	ADMINI- STRATIVE CLASS	PLAN CLASS
AlphaTrak 500 Fund	0.00%- 0.70%	N/A	N/A	N/A	N/A	0.90%	N/A	N/A	N/A	N/A
Corporate Bond Fund	0.40%	0.40%	N/A	N/A	N/A	0.75%	0.50%	N/A	N/A	N/A
Flexible Income Fund	0.45%	0.45%	N/A	N/A	N/A	0.80%	0.55%	N/A	N/A	N/A
Floating Rate Income Fund	0.55%	0.55%	N/A	N/A	0.55%*	0.90%	0.70%	N/A	N/A	0.60%*
High Yield Bond Fund	0.50%	0.50%	N/A	N/A	N/A	0.85%	0.60%	N/A	N/A	N/A
Intermediate Bond Fund	0.35%	0.35%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Investment Grade Credit Fund	0.35%	0.35%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Low Duration Bond Fund	0.30%	0.30%	N/A	0.30%	N/A	0.63%	0.44%	N/A	0.83%	N/A
Strategic Income Fund	0.50%- 1.90%	0.50%- 1.90%	N/A	N/A	N/A	1.05%**	0.81%**	N/A	N/A	N/A
Total Return Bond Fund	0.35%	0.35%	0.35%	0.35%	0.35%	0.70%	0.49%	0.54%	0.90%	0.39%
Ultra Short Bond Fund	0.25%	0.25%	N/A	N/A	N/A	0.50%	0.34%	N/A	N/A	N/A
Unconstrained Bond Fund	0.65%	0.65%	N/A	N/A	0.65%	1.04%	0.80%	N/A	N/A	0.70%

¹The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2021, unless approved by the Board. *The Floating Rate Income Fund Plan Class commenced operations on February 1, 2021.

**Prior to March 15, 2021, the contractual expense limitation for the Strategic Income Fund Class M and Class I were 2.35% and 2.10%, respectively.

At March 31, 2021, the balance of recoupable expenses with expiration dates for the Funds were as follows:

PORTFOLIO	2021		2022		2023		2024		TOTAL
AlphaTrak 500 Fund	$	—	$	88,122	$	48,578	$	122,267	$	258,967
Corporate Bond Fund		—		138,411		179,693		257,070		575,174
Flexible Income Fund		—		84,349		195,102		309,577		589,028
Floating Rate Income Fund		26,817		29,043		9,650		8,677		74,187
High Yield Bond Fund		252,493		201,390		195,809		158,414		808,106
Intermediate Bond Fund		—		—		5,068		4,895		9,963
Investment Grade Credit Fund		—		142,645		191,069		259,548		593,262
Strategic Income Fund		—		—		40,102		58,687		98,789
Ultra Short Bond Fund		233,733		247,985		244,911		310,177		1,036,806
Total	$	513,043	$	931,945	$	1,109,982	$	1,489,312	$	4,044,282

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. Effective January 1, 2020, the annual retainer for each independent trustee is $135,000, and the additional retainer for the chairman of the Board is $55,500. Also effective January 1, 2020, the additional retainer for the chairman of the Audit Committee and the chairman of the Nomination and Governance Committee is $37,000 and $18,500, respectively. The Trust has an unfunded, nonqualified deferred compensation plan (the “Deferred Compensation Plan”) for certain eligible Trustees. The Deferred Compensation 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 Deferred Compensation Plan are recorded in Trustees’ fees and expenses in the Statements of Operations.

7. SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING PLAN

The Trust has a Share Marketing Plan (or the “12b-1 Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Corporate Bond Fund, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Strategic Income Fund, the Total Return Bond Fund, the Ultra Short Bond Fund, the Unconstrained Bond Fund, and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. Under the 12b-1 Plan, the Trust pays TCW Funds Distributors, Inc., 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

Annual Report March 2021 / 304

Notes to Financial Statements (Continued)

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, 2021. The Alpha Trak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2020, to pay the distribution expenses of the Alpha Trak 500 Fund out of its own resources.

The 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 Shareholder Servicing 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.

8. COMMITMENTS AND CONTINGENCIES

The Flexible Income Fund and Floating Rate Income Fund had the following unfunded commitments and unrealized gain (loss) by investment as of March 31, 2021

FLEXIBLE INCOME FUND     UNFUNDED COMMITMENTS	MATURITY			AMOUNT			UNREALIZED (LOSS)
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien		November	2027		$	45,909		$	(762)
Total Unfunded Commitments					$	45,909		$	(762)

FLOATING RATE INCOME FUND     UNFUNDED COMMITMENTS	MATURITY			AMOUNT			UNREALIZED GAIN (LOSS)
Oeconnection LLC, Delayed-Draw Term Loan, 1st Lien		September	2026		$	2,674		$	6
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien		November	2027			344,316			(3,247)
Cano Health LLC, Delayed-Draw Term Loan, 1st Lien		November	2027			535,187			2,768
Refficiency Holdings LLC, Delayed-Draw Term Loan, 1st Lien		December	2027			161,795			505
WMG Acquisition Corp., Term Loan G, 1st Lien		January	2028			997,655			(2,345)
TricorBraun Holdings, Inc., Delayed-Draw Term Loan, 1st Lien		March	2028			264,095			(2,164)
Total Unfunded Commitments					$	2,305,722		$	(4,477)

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.

9. CAPITAL SHARE TRANSACTIONS

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:

	ALPHATRAK 500 FUND
	CLASS M			CLASS M
	YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		3,268,505			1,976,652
Shares sold		696,121			2,257,963
Shares issued through reinvestment of distributions		207,881			304,572
Shares redeemed		(1,398,661	)		(1,270,682	)
Net increase (decrease) in fund shares		(494,659	)		1,291,853
Shares outstanding at end of year		2,773,846			3,268,505

305 / Annual Report March 2021

Notes to Financial Statements (Continued)

	CORPORATE BOND FUND
	CLASS M			CLASS M		CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020		YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		84,928			77,858		231,865			131,400
Shares sold		1,236,850			—		302,004			88,066
Shares issued through reinvestment of distributions		18,359			7,070		13,508			12,399
Shares redeemed		(571,307	)		—		(103,320	)		—
Net increase in fund shares		683,902			7,070		212,192			100,465
Shares outstanding at end of year		768,830			84,928		444,057			231,865

	FLEXIBLE INCOME FUND
	CLASS M			CLASS M		CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020		YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		123			102		909,949			503,964
Shares sold		3,246,654			—		15,480,089			281,710
Shares issued through reinvestment of distributions		64,488			21		446,626			124,275
Shares redeemed		(1,164,041	)		—		(727,903	)		—
Net increase in fund shares		2,147,101			21		15,198,812			405,985
Shares outstanding at end of year		2,147,224			123		16,108,761			909,949

	FLOATING RATE INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020			YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		677,246			1,133,918			27,856,410			26,508,328
Shares sold		1,261,859			384,559			15,726,159			6,894,396
Shares issued through reinvestment of distributions		28,802			41,488			875,259			1,049,921
Shares redeemed		(580,099	)		(882,719	)		(2,458,698	)		(6,596,235	)
Net increase (decrease) in fund shares		710,562			(456,672	)		14,142,720			1,348,082
Shares outstanding at end of year		1,387,808			677,246			41,999,130			27,856,410

	FLOATING RATE INCOME  FUND
	PLAN CLASS
	PERIOD ENDED MARCH 31, 2021*
Change in Fund shares:
Shares outstanding at beginning of period		—
Shares sold		10
Shares issued through reinvestment of distributions		—
Net increase in fund shares		10
Shares outstanding at end of period		10

* The Plan Class commenced operations on January 29, 2021.

Annual Report March 2021 / 306

Notes to Financial Statements (Continued)

	HIGH YIELD BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020			YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		13,656,919			19,395,315			31,231,832			30,373,750
Shares sold		12,682,957			4,010,225			48,545,618			18,242,498
Shares issued through reinvestment of distributions		598,528			670,728			1,644,258			1,099,895
Shares redeemed		(8,183,017	)		(10,419,349	)		(27,301,135	)		(18,484,311	)
Net increase (decrease) in fund shares		5,098,468			(5,738,396	)		22,888,741			858,082
Shares outstanding at end of year		18,755,387			13,656,919			54,120,573			31,231,832

	INTERMEDIATE BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020			YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		3,177,342			3,409,753			65,097,687			68,386,996
Shares sold		1,297,628			994,035			21,529,757			11,652,449
Shares issued through reinvestment of distributions		126,637			85,332			2,595,867			1,823,035
Shares redeemed		(1,206,207	)		(1,311,778	)		(17,845,510	)		(16,764,793	)
Net increase (decrease) in fund shares		218,058			(232,411	)		6,280,114			(3,289,309	)
Shares outstanding at end of year		3,395,400			3,177,342			71,377,801			65,097,687

	INVESTMENT GRADE CREDIT FUND
	CLASS M			CLASS M		CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020		YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		86,723			77,458		666,665			492,691
Shares sold		432,102			—		463,146			113,832
Shares issued through reinvestment of distributions		14,422			9,265		76,716			60,142
Shares redeemed		(313,463	)		—		(161,778	)		—
Net increase in fund shares		133,061			9,265		378,084			173,974
Shares outstanding at end of year		219,784			86,723		1,044,749			666,665

	LOW DURATION BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020			YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		51,991,467			66,879,265			168,341,807			181,809,771
Shares sold		13,288,674			5,671,052			105,146,438			42,417,475
Shares issued through reinvestment of distributions		574,080			1,356,321			2,570,754			4,009,045
Shares redeemed		(15,688,987	)		(21,915,171	)		(47,040,253	)		(59,894,484	)
Net increase (decrease) in fund shares		(1,826,233	)		(14,887,798	)		60,676,939			(13,467,964	)
Shares outstanding at end of year		50,165,234			51,991,467			229,018,746			168,341,807

	LOW DURATION BOND FUND
	ADMINISTRATIVE CLASS			ADMINISTRATIVE CLASS
	YEAR ENDEDMARCH 31,2021			YEAR ENDEDMARCH 31,2020
Change in Fund shares:
Shares outstanding at beginning of year		8,384			37,023
Shares sold		763			1,808
Shares issued through reinvestment of distributions		60			148
Shares redeemed		(1,529	)		(30,595	)
Net (decrease) in fund shares		(706	)		(28,639	)
Shares outstanding at end of year		7,678			8,384

307 / Annual Report March 2021

Notes to Financial Statements (Continued)

	STRATEGIC INCOME FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020			YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		1,428,333			2,269,164			6,621,937			8,532,803
Shares sold		1,585,527			557,743			712,954			1,127,898
Shares issued through reinvestment of distributions		99,943			66,837			202,975			364,480
Shares redeemed		(1,137,959	)		(1,465,411	)		(6,286,023	)		(3,403,244	)
Net increase (decrease) in fund shares		547,511			(840,831	)		(5,370,094	)		(1,910,866	)
Shares outstanding at end of year		1,975,844			1,428,333			1,251,843			6,621,937

	TOTAL RETURN BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020			YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		807,293,176			898,185,006			4,144,455,446			3,846,257,449
Shares sold		246,419,869			184,228,131			1,648,449,661			1,246,311,524
Shares issued through reinvestment of distributions		50,332,883			27,123,878			258,093,148			126,656,996
Shares redeemed		(442,906,523	)		(302,243,839	)		(1,153,962,493	)		(1,074,770,523	)
Net increase (decrease) in fund shares		(146,153,771	)		(90,891,830	)		752,580,316			298,197,997
Shares outstanding at end of year		661,139,405			807,293,176			4,897,035,762			4,144,455,446

	TOTAL RETURN BOND FUND
	CLASS I-2			CLASS I-2
	YEAR ENDEDMARCH 31,2021			PERIOD ENDEDMARCH 31,2020*
Change in Fund shares:
Shares outstanding at beginning of period		9			—
Shares sold		11,338,778			9
Shares issued through reinvestment of distributions		547,958			—	**
Shares redeemed		(1,085,710	)		—
Net increase in fund shares		10,801,026			9
Shares outstanding at end of period		10,801,035			9
* The Class I-2 commenced operations on March 6, 2020.
** Less than one share.

	TOTAL RETURN BOND FUND
	ADMINISTRATIVECLASS			ADMINISTRATIVECLASS			PLANCLASS			PLANCLASS
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020			YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		156,243,805			94,995,241			2,277,531,666			2,058,158,463
Shares sold		59,236,353			85,952,233			725,752,496			744,681,741
Shares issued through reinvestment of distributions		10,248,450			4,414,873			145,266,719			73,923,882
Shares redeemed		(33,301,397	)		(29,118,542	)		(723,205,780	)		(599,232,420	)
Net increase in fund shares		36,183,406			61,248,564			147,813,435			219,373,203
Shares outstanding at end of year		192,427,211			156,243,805			2,425,345,101			2,277,531,666

Annual Report March 2021 / 308

Notes to Financial Statements (Continued)

	ULTRA SHORT BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020			YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		6,709,806			8,068,983			18,036,590			15,940,806
Shares sold		21,914,311			3,504,697			41,150,119			10,070,643
Shares issued through reinvestment of distributions		61,610			170,292			255,902			441,304
Shares redeemed		(14,125,855	)		(5,034,166	)		(16,888,101	)		(8,416,163	)
Net increase (decrease) in fund shares		7,850,066			(1,359,177	)		24,517,920			2,095,784
Shares outstanding at end of year		14,559,872			6,709,806			42,554,510			18,036,590

	UNCONSTRAINED BOND FUND
	CLASS M			CLASS M			CLASS I			CLASS I
	YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH 31, 2020			YEAR ENDED   MARCH 31, 2021			YEAR ENDED   MARCH  31, 2020
Change in Fund shares:
Shares outstanding at beginning of year		24,012,697			38,551,315			248,328,242			224,878,988
Shares sold		4,522,456			6,881,972			96,605,193			92,050,551
Shares issued through reinvestment of distributions		693,758			1,004,035			7,137,466			7,502,540
Shares redeemed		(7,621,081	)		(22,424,625	)		(78,304,081	)		(76,103,837	)
Net increase (decrease) in fund shares		(2,404,867	)		(14,538,618	)		25,438,578			23,449,254
Shares outstanding at end of year		21,607,830			24,012,697			273,766,820			248,328,242

	UNCONSTRAINED BOND FUND
	PLAN CLASS			PLAN CLASS
	YEAR ENDEDMARCH 31,2021			PERIOD ENDEDMARCH 31,2020*
Change in Fund shares:
Shares outstanding at beginning of period		8			—
Shares sold		10,304,063			8
Shares issued through reinvestment of distributions		230,276			—	**
Shares redeemed		(5,191,485	)		—
Net increase in fund shares		5,342,854			8
Shares outstanding at end of period		5,342,862			8
* The Plan Class commenced operations on March 6, 2020.
** Less than one share.

10. FEDERAL TAX INFORMATION

Capital Loss Carryforwards:

At March 31, 2021, the following Funds had available for federal income tax purposes unused capital losses as follows:

FUND	AMOUNT UTILIZED IN CURRENT YEAR			SHORT-TERM   NON-EXPIRING   AMOUNTS*			LONG-TERM   NON-EXPIRING   AMOUNTS*
Floating Rate Income Fund		$	1,127,646		$	—		$	2,455,881
High Yield Bond Fund			33,938,119			—			29,747,978
Low Duration Bond Fund			15,497,575			—			33,200,241
Strategic Income Fund			1,383,543			—			261,312
Ultra Short Bond Fund			—			738,743			4,955,887
Unconstrained Bond Fund			4,858,243			—			—

* Under the Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment.

309 / Annual Report March 2021

Notes to Financial Statements (Continued)

Tax Basis of Distributable Income:

As of March 31, 2021,the components of accumulated earnings (accumulated losses) on a tax basis were as follows:

	ALPHATRAK   500 FUND				CORPORATE BOND   FUND				FLEXIBLE INCOME   FUND				FLOATING RATE   INCOME FUND				HIGH YIELD BOND   FUND				INTERMEDIATE   BOND FUND
Undistributed ordinary income (inclusive of short-term gains)		$	2,572,181			$	28,397			$	33,139			$	732,925			$	2,290,446			$	—
Undistributed long-term gains			3,730,361				28,361				540,585				—				—				2,724,855
Other temporary differences			(1,175	)			(236	)			(5,985	)			(129,447	)			(227,704	)			(39,094	)
Accumulated capital loss carryforwards and post-October losses			—				—				—				(2,455,881	)			(29,747,978	)			(1,228,731	)
Net unrealized appreciation (depreciation)			403,972				(202,571	)			(2,987,480	)			1,758,369				(14,206,307	)			6,189,885
Total accumulated earnings (losses)		$	6,705,339			$	(146,049	)		$	(2,419,741	)		$	(94,034	)		$	(41,891,543	)		$	7,646,915

	INVESTMENT  GRADE CREDIT  FUND				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 gains)		$	23,540			$	1,619,990			$	557,772			$	—			$	359,317			$	29,892,218
Undistributed long-term gains			—				—				—				—				—				20,305,457
Other temporary differences			—				(265,144	)			(10,104	)			(11,493,390	)			(8,287	)			(1,536,022	)
Accumulated capital loss carryforwards and post-October losses			—				(33,200,241	)			(261,312	)			(831,930,742	)			(5,694,630	)			—
Net unrealized appreciation (depreciation)			(427,747	)			6,025,923				(4,463,123	)			571,503,888				(46,258	)			(43,399,701	)
Total accumulated earnings (losses)		$	(404,207	)		$	(25,819,472	)		$	(4,176,767	)		$	(271,920,244	)		$	(5,389,858	)		$	5,261,952

Tax Basis of Distributions to Shareholders:

	ALPHATRAK 500 FUND						CORPORATE BOND FUND
	MARCH 31, 2021			MARCH 31, 2020			MARCH 31, 2021			MARCH 31, 2020
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	1,321,651		$	2,237,632		$	319,404		$	204,951
Net long-term capital gains			1,241,454			1,118,170			32,833			2,637
Total taxable distributions		$	2,563,105		$	3,355,802		$	352,237		$	207,588

Annual Report March 2021 / 310

Notes to Financial Statements (Continued)

	FLEXIBLE INCOME FUND						FLOATING RATE INCOME FUND
	MARCH 31, 2021			MARCH 31, 2020			MARCH 31, 2021			MARCH 31, 2020
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	5,004,078		$	1,296,742		$	10,150,408		$	11,164,984
Net long-term capital gains			108,995			—			—			—
Total taxable distributions		$	5,113,073		$	1,296,742		$	10,150,408		$	11,164,984

	HIGH YIELD BOND FUND						INTERMEDIATE BOND FUND
	MARCH 31, 2021			MARCH 31, 2020			MARCH 31, 2021			MARCH 31, 2020
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$	24,840,015		$	18,572,855		$	24,703,086		$	20,518,140
Net long-term capital gains			—			—			5,051,576			—
Total taxable distributions		$	24,840,015		$	18,572,855		$	29,754,662		$	20,518,140

	INVESTMENT GRADE CREDIT FUND				LOW DURATION BOND FUND
	MARCH 31, 2021		MARCH 31, 2020		MARCH 31, 2021		MARCH 31, 2020
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$ 863,178		$685,951		$29,545,421		$49,221,473
Net long-term capital gains		45,944		20,599		—		—
Total taxable distributions		$ 909,122		$706,550		$29,545,421		$49,221,473

	STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND
	MARCH 31, 2021		MARCH 31, 2020		MARCH 31, 2021		MARCH 31, 2020
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$ 2,358,251		$3,413,896		$ 4,488,711,334		$ 2,492,448,522
Net long-term capital gains		—		—		1,033,756,885		218,637,193
Total taxable distributions		$ 2,358,251		$3,413,896		$ 5,522,468,219		$ 2,711,085,715

	ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
	MARCH 31, 2021		MARCH 31, 2020		MARCH 31, 2021		MARCH 31, 2020
Distributions from:
Ordinary income (inclusive of short-term capital gains)		$ 1,364,313		$2,644,483		$116,535,196		$120,977,138
Total taxable distributions		$ 1,364,313		$2,644,483		$116,535,196		$120,977,138

311 / Annual Report March 2021

Notes to Financial Statements (Continued)

  Tax Cost

As of March 31, 2021, gross unrealized appreciation (depreciation) based on cost for federal income tax purposes were as follows:

	ALPHATRAK 500   FUND				CORPORATE   BOND FUND				FLEXIBLE INCOME   FUND				FLOATING RATE   INCOME FUND				HIGH YIELD   BOND FUND				INTERMEDIATE BOND FUND
Tax Cost		$	32,632,913			$	12,998,572			$	219,550,760			$	453,717,495			$	774,599,088			$	848,592,671
Gross unrealized appreciation			1,249,590				207,456				2,194,779				5,442,191				22,170,107				13,253,586
Gross unrealized (depreciation)			(845,618	)			(410,027	)			(5,185,502	)			(3,706,174	)			(36,426,904	)			(7,066,505	)
Net unrealized appreciation (depreciation)		$	403,972			$	(202,571	)		$	(2,990,723	)		$	1,736,017			$	(14,256,797	)		$	6,187,081

	INVESTMENT GRADE CREDIT FUND				LOW DURATION BOND FUND				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND				UNCONSTRAINED BOND FUND
Tax Cost		$	12,410,152			$	2,718,653,116			$	28,391,803			$	105,291,708,528			$	281,953,303			$	4,035,195,917
Gross unrealized appreciation			363,250				29,255,041				864,459				1,726,544,668				1,133,834				93,223,068
Gross unrealized (depreciation)			(790,997	)			(23,237,432	)			(5,327,582	)			(1,160,602,256	)			(1,181,038	)			(136,647,941	)
Net unrealized appreciation (depreciation)		$	(427,747	)		$	6,017,609			$	(4,463,123	)		$	565,942,412			$	(47,204	)		$	(43,424,873	)

11. COMMITTED LINE OF CREDIT

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 purposes with an expiration date of October 8, 2021. The upfront fee for borrowing is 0.05%. The interest rate on borrowing is the federal funds rate plus 1.25%. There were no borrowings from the line of credit as of or during the year ended March 31, 2021. The Funds pay the Bank a commitment fee equal to 0.15% 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.

12. INDEMNIFICATIONS

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.

13. NEW ACCOUNTING PRONOUNCEMENT

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.

Annual Report March 2021 / 312

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of

the Metropolitan West Funds

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of Metropolitan West Funds (the “Funds”) comprising the Metropolitan West AlphaTrak 500 Fund, Metropolitan West Corporate Bond Fund, Metropolitan West Flexible Income Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Unconstrained Bond Fund, including the schedules of portfolio investments, as of March 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights (as to Metropolitan West High Yield Bond Fund, consolidated financial highlights for the three years in the period ended March 31, 2019) for each of the five years in the period then ended for the Funds, except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund; the financial highlights for Metropolitan West Corporate Bond Fund for the years ended March 31, 2021, March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; the financial highlights for Metropolitan West Investment Grade Credit Fund for the years ended March 31, 2021, March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; the financial highlights for Metropolitan West Flexible Income Fund for the years ended March 31, 2021, March 31, 2020 and the period from November 30, 2018 (commencement of operations) through March 31, 2019; and the related notes.

In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund as of March 31,2021, and 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 five year years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Also, in our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund as of March 31, 2021; 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 financial highlights for Metropolitan West Corporate Bond Fund for the years ended March 31, 2021, March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; the results of operations, changes in net assets, and financial highlights for Metropolitan West Investment Grade Credit Fund for the years ended March 31, 2021, March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; and the results of operations, changes in net assets, and financial highlights for Metropolitan West Flexible Income Fund for the years ended March 31, 2021, March 31, 2020 and the period from November 30, 2018 (commencement of operations) through March 31, 2019, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting 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.

313 / Annual Report March 2021

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2021, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Los Angeles, California

May 27, 2021

We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.

Annual Report March 2021 / 314

Metropolitan West Funds

Tax Information Notice

(Unaudited)

For shareholders that do not have a March 31, 2021 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2021 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2021, 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.

	ALPHATRAK 500 FUND	CORPORATE BOND FUND	FLEXIBLE INCOME FUND	FLOATING RATE INCOME FUND	HIGH YIELD BOND FUND	INTERMEDIATE BOND FUND
Net Investment Income Distributions	21.41%	82.09%	96.01%	100.00%	100.00%	39.07%
Short-Term Capital Gain Distributions	30.15%	8.59%	1.86%	0.00%	0.00%	43.95%
Long-Term Capital Gain Distributions	48.44%	9.32%	2.13%	0.00%	0.00%	16.98%
Return of Capital	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Tax-Exempt Interest	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Qualifying For Corporate Dividends Rec
Deduction (1)	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Qualifying Dividend Income (2)	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
U.S. Government Interest (3)	0.38%	0.72%	0.34%	0.33%	0.28%	5.47%
Foreign Tax Credit (4)	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Qualified Interest Income (5)	100.00%	95.02%	90.95%	94.75%	85.45%	99.23%
Qualified Short-Term Capital Gain (6)	100.00%	100.00%	100.00%	0.00%	0.00%	100.00%

	INVESTMENT GRADE CREDIT FUND	LOW DURATION BOND FUND	STRATEGIC INCOME FUND	TOTAL RETURN BOND FUND	ULTRA SHORT BOND FUND	UNCONSTRAINED BOND FUND
Net Investment Income Distributions	84.06%	100.00%	100.00%	25.08%	100.00%	78.19%
Short-Term Capital Gain Distributions	10.89%	0.00%	0.00%	56.20%	0.00%	21.81%
Long-Term Capital Gain Distributions	5.05%	0.00%	0.00%	18.72%	0.00%	0.00%
Return of Capital	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Tax-Exempt Interest	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Qualifying For Corporate Dividends Rec
Deduction (1)	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Qualifying Dividend Income (2)	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
U.S. Government Interest (3)	0.43%	4.07%	2.38%	6.29%	9.57%	1.74%
Foreign Tax Credit (4)	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Qualified Interest Income (5)	97.12%	88.26%	89.84%	99.95%	80.39%	54.22%
Qualified Short-Term Capital Gain (6)	100.00%	0.00%	0.00%	100.00%	0.00%	100.00%

(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions).

(2) The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions).

(3) “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. government obligations is exempt from state income tax. However, for residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income for this fund.

(4) Foreign Tax Credit represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income).

(5) The percentage in this column represents the amount of “Qualifying Interest Income” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of net investment income distributions.

(6) The percentage in this column represents the amount of “Qualifying Short Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of short-term capital gain distributions.

315 / Annual Report March 2021

Liquidity Risk Management Program (Unaudited)

Rule 22e-4 under the 1940 Act (the “Liquidity Rule”) requires that all registered open-end management investment companies, including the Funds, establish a written liquidity risk management program (a “Liquidity Program”). Under a fund’s Liquidity Program, a fund must assess, manage and periodically review the fund’s liquidity risk, classify the liquidity of each of the fund’s portfolio investments, determine whether to specify highly liquid investment minimum (and, if so, at what level), limit illiquid investments to 15% of fund investments, and establish policies and procedures regarding how and when a fund will engage in redemptions in-kind. Consistent with the Liquidity Rule, the Board has approved the written Liquidity Program for the Funds and has designated a committee of professionals associated with the Adviser to administer the Funds’ Liquidity Program (the “Program Administrator”).

On March 8, 2021, the Board reviewed the Program Administrator’s written annual report (the “Report”) concerning the operation of the Funds’ Liquidity Program for the calendar year ended December 31, 2021 (the “Reporting Period”).The Report addressed the operation of the Liquidity Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s Highly Liquidity Investment Minimum (“HLIM”). The Report discussed, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and the operation and monitoring of the HLIM assigned to a Fund, as applicable; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions. The Report concluded that the Liquidity Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented with respect to each Fund during the Reporting Period.

There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Annual Report March 2021 / 316

Metropolitan West Funds

Privacy Policy

The TCW Group, Inc. and Subsidiaries TCW Investment Management Company LLC TCW Asset Management Company LLC Metropolitan West Asset Management, LLC
TCW Funds Inc.	Sepulveda Management LLC
TCW Strategic Income Fund, Inc.	TCW Direct Lending LLC
Metropolitan West Funds	TCW Direct Lending VII LLC

Effective January 2020

WHAT YOU SHOULD KNOW

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 United States Securities and Exchange Commission.

OUR PRIVACY POLICY

We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC and TCW Direct Lending VII LLC (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.

CATEGORIES OF INFORMATION WE COLLECT

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.

CATEGORIES OF INFORMATION WE DISCLOSE TO NONAFFILIATED THIRD PARTIES

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.

317 / Annual Report March 2021

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.

CATEGORIES OF INFORMATION WE DISCLOSE TO OUR AFFILIATED ENTITIES

• We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose.

• We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and confirm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you.

INFORMATION ABOUT FORMER CUSTOMERS

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.

QUESTIONS

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.

REMINDER ABOUT TCW’S FINANCIAL PRODUCTS

Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC and TCW Direct Lending VII LLC.

• Are not guaranteed by a bank;

• Are not obligations of The TCW Group, Inc. or of its subsidiaries;

• Are not insured by the Federal Deposit Insurance Corporation; and

• Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon.

THE TCW GROUP, INC	TCW STRATEGIC INCOME FUND, INC.
TCW FUNDS, INC.	METROPOLITAN WEST FUNDS
SEPULVEDA MANAGEMENT LLC	TCW DIRECT LENDING LLC
TCW DIRECT LENDING VII LLC
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com

Annual Report March 2021 / 318

MANAGEMENT INFORMATION

TRUSTEES AND OFFICERS (Unaudited)

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.

NAME AND  YEAR OF BIRTH***	POSITION(S)HELD WITHTRUST	TERM  OFOFFICEANDLENGTH OF TIMESERVED	PRINCIPAL OCCUPATIONS DURINGPAST FIVE YEARS	NUMBEROF FUNDS  INFUNDCOMPLEXOVERSEENBYTRUSTEE	OTHERDIRECTORSHIPSHELD BY TRUSTEE
Independent Trustees of the Trust*
Ronald J. Consiglio (1943)	Trustee	Indefinite term, since 2003	Since 1999, Mr. Consiglio has served as the managing director of Synergy Trading, a securities-trading partnership.	12	Mannkind Corp. (pharmaceutical preparations)
Patrick C. Haden (1953)	Trustee	Indefinite term, since 2010	President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 - June 2017), Athletic Director (2010 - June 2016), University of Southern California.	31	Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); TCW Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund)
Martin Luther King III (1957)	Trustee and Chairman of the Nominating and Governance Committee	Indefinite term, since 1997	Since 1998, Mr. King has served as the President and Chief Executive Officer of The King Center. Since January 2006, he has served as Chief Executive Officer of Realizing the Dream, a non-profit organization that continues the humanitarian and liberating work of Dr. Martin Luther King, Jr. and Mrs. Coretta Scott King. He has been engaged as an independent motivational lecturer since 1980.	12	None
Peter McMillan (1957)	Trustee	Indefinite term, since 2008	Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005 - 2019), KBS Capital Advisors (a manager of real estate investment trusts).	31	Pacific Oak Strategic Opportunity REIT (real estate investments); Pacific Oak Strategic Opportunity REIT II (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); Metropolitan West Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed- end fund); TCW DL VII Financing LLC (business development company)

319 / Annual Report March 2021

NAME AND  YEAR OF BIRTH***	POSITION(S)HELD WITHTRUST	TERM  OFOFFICEANDLENGTH OF TIMESERVED	PRINCIPAL OCCUPATIONS DURINGPAST FIVE YEARS	NUMBEROF FUNDS  INFUNDCOMPLEXOVERSEENBYTRUSTEE	OTHERDIRECTORSHIPSHELD BYTRUSTEE
Robert G. Rooney (1957)	Trustee and Chairman of the Audit Committee	Indefinite term, since 2009	Senior Financial Advisor (August 2020 – March 2021) and Chief Financial and Administrative Officer (November 2018 – August 2020), REEF Technology (real estate services and technology company); Chief Financial Officer (January 2018 - November 2018), Citizens Parking Inc. (parking services company); Chief Financial Officer (September 2015 – July 2017), Novitex Enterprise Solutions, Inc. (document management company).	12	None
Andrew Tarica (1959)	Trustee and Chairman of the Board	Indefinite term, since 2002 and 2008, respectively	Employee (since 2003), Cowen & Co. (broker-dealer); Chief Executive Officer (since 2001), Meadowbrook Capital Management (asset management company).	31	TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company)
Interested Trustees**
Patrick Moore (1964)	Trustee	Indefinite term, since 2014	Mr. Moore is a Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since 2000. Mr. Moore is a member of the CFA Institute.	12	None
Laird Landmann (1964)	Trustee and Executive Vice President	Indefinite term, since 2008 and 2007, respectively	Mr. Landmann is President for the Adviser and Group Managing Director of The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. Since August 1996, Mr. Landmann has been a Generalist Portfolio Manager with the Adviser and currently serves as the Adviser’s President.	12	None
Officers of the Trust who are not Trustees
David B. Lippman (1958)	President and Principal Executive Officer	Indefinite term, since November 2008	Mr. Lippman is the Chief Executive Officer of the Adviser (since February 2013), and the Chief Executive Officer and President of The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since 2008.	1	TCW Strategic Income Fund, Inc. (closed-end fund)

Annual Report March 2021 / 320

NAME AND  YEAR OF BIRTH***	POSITION(S)HELD WITHTRUST	TERM  OFOFFICEANDLENGTH OF TIMESERVED	PRINCIPAL OCCUPATIONS DURINGPAST FIVE YEARS	NUMBEROF FUNDS  INFUNDCOMPLEXOVERSEENBYTRUSTEE	OTHERDIRECTORSHIPSHELD BY TRUSTEE
Richard Villa (1964)	Treasurer, Principal Financial Officer and Principal Accounting Officer	Indefinite term, since February 2021	Mr. Villa is Group Managing Director, Chief Financial Officer and Assistant Secretary of the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and The TCW Group, Inc. (since 2008); Treasurer and Principal Financial Officer and Accounting Officer of TCW Funds, Inc. and TCW Strategic Income Fund, Inc. (since February 2014); Managing Director, Chief Financial Officer and Assistant Secretary of TCW LLC (since 2016).	N/A	N/A
Eric Chan (1978)	Assistant Treasurer	Indefinite term, since 2010	Mr. Chan is Managing Director of Fund Operations for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since November 2006. Mr. Chan is a Certified Public Accountant.	N/A	N/A
Tad Rivelle (1961)	Executive Vice President	Indefinite term, since 2007	Mr. Rivelle is the Chief Investment Officer and Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since August 1996.	N/A	N/A
Stephen M. Kane (1962)	Executive Vice President	Indefinite term, since 2007	Mr. Kane is a Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since August 1996.	N/A	N/A
Gladys Xiques (1973)	Chief Compliance Officer and Anti-Money Laundering Officer	Indefinite term, since January 2021	Ms. Xiques is Managing Director and Global Chief Compliance Officer of the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC (since January 2021); Global Chief Compliance Officer of The TCW Group, Inc. (since January 2021); Senior Vice President of TCW LLC, TCW Investment Management Company LLC, TCW Asset Management Company LLC and the Adviser (February 2015 – December 2020); Director and Compliance Counsel (March 2010 – January 2015), Kohlberg Kravis Roberts & Co. L.P.	N/A	N/A
Meredith Jackson (1959)	Vice President and Secretary	Indefinite term, since 2013	Ms. Jackson is Executive Vice President, General Counsel and Secretary of the Adviser, The TCW Group, Inc., TCW LLC, TCW Investment Management Company LLC and TCW Asset Management Company LLC (since February 2013). She is Senior Vice President, Secretary and General Counsel for the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and TCW Alternative Funds (2015 - 2018).	N/A	N/A

321 / Annual Report March 2021

NAME AND  YEAR OF BIRTH***	POSITION(S)HELD WITHTRUST	TERM  OFOFFICEANDLENGTH OF TIMESERVED	PRINCIPAL OCCUPATIONS DURINGPAST FIVE YEARS	NUMBEROF FUNDS  INFUNDCOMPLEXOVERSEENBYTRUSTEE	OTHERDIRECTORSHIPSHELD BY TRUSTEE
Patrick Dennis (1981)	Vice President and Assistant Secretary	Indefinite term, since 2013	Mr. Dennis is Senior Vice President, Associate General Counsel and Assistant Secretary of the Adviser, TCW Investment Management Company LLC, TCW LLC and TCW Asset Management Company LLC (since February 2013). He is Vice President and Assistant Secretary for the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and TCW Alternative Funds (2015 - 2018).	N/A	N/A

* Denotes a Trustee who is not an “interested” person of the Trust as defined in the 1940 Act.

** Denotes a Trustee who is an “interested” person of the Trust as defined in the 1940 Act, due to the relationship indicated with the Adviser.

*** For purposes of Trust business, the address for all Trustees and officers is c/o Metropolitan West Asset Management, LLC, 865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017.

Annual Report March 2021 / 322

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MetWest Funds

865 South Figueroa Street, Suite 1800

Los Angeles, California 90017

800 241 4671

www.TCW.com

Board of Trustees

Ronald J. Consiglio

Patrick C. Haden

Martin Luther King, III

Laird R. Landmann

Peter McMillan

Patrick Moore

Robert G. Rooney

Andrew Tarica

Officers

David Lippman

President and Principal Executive Officer

Richard Villa

Treasurer, Principal Financial Officer and

Principal Accounting Officer

Gladys Xiques

Chief Compliance Officer and

Anti-Money Laundering Officer

Adviser

Metropolitan West Asset Management, LLC

865 South Figueroa Street, Suite 1800

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 5th Street, Suite 2700

Los Angeles, CA 90013

Distributor

TCW Fund Distributors LLC

865 South Figueroa Street, Suite 1800

Los Angeles, CA 90017

Legal Counsel

Paul Hastings LLP

101 California Street, 48th Floor

San Francisco, CA 94111

For Additional Information about the MetWest Funds call:

(213) 244-0000 or (800) 241-4671 (toll-free)

www.TCW.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.

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 NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.

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.

FUNDap 5/2021

(b) Not Applicable.

Item 2. Code of Ethics.

(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(b) Not applicable.

(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

(d) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

(f)(1) Pursuant to Item 13(a)(1), the registrant is filing as an exhibit a copy of its code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

Item 3. Audit Committee Financial Expert.

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.

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $545,908 in 2021 and $545,908 in 2020.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 in 2021 and $0 in 2020.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $104,680 in 2021 and $101,760 in 2020.

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 in 2021 and $0 in 2020.

(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

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.

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b) N/A

(c) 100%

(d) N/A

(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $751,087 in 2021 and $1,058,854 in 2020.

(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which 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.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)	Code of ethics, or any amendments thereto, that is the subject of disclosure required by Item 2 is attached herewith.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)	Not applicable.
(a)(4)	Not applicable.
(b)	Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

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.

(Registrant)                               Metropolitan West Funds                                                                                          

By (Signature and Title)*         /s/  David B. Lippman                                                                                              

      David B. Lippman, President and Principal Executive Officer

      (principal executive officer)

Date                     June 3, 2021                                                                                                                               

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.

By (Signature and Title)*         /s/ David B. Lippman                                                                                              

      David B. Lippman, President and Principal Executive Officer

      (principal executive officer)

Date                     June 3, 2021                                                                                                                               

By (Signature and Title)*        /s/ Richard Villa                                                                                                      

      Richard Villa, Treasurer, Principal Financial Officer

      and Principal Accounting Officer

      (principal financial officer)

Date                     June 3, 2021                                                                                                                                   

^* Print the name and title of each signing officer under his or her signature.

EX-99.CODE ETH

Table of Contents
General Principles	1
Personal Investment Transactions	2
Overview	2
Covered Transactions/Covered Accounts	2
Pre-clearance of Covered Transactions	3
Pre-clearance Process	3
Prohibited Transactions	4
Exempt Securities	7
Exemptive Relief	11
Reporting	12
Personal Investment Reporting	12
Reporting on Opening, Changing or Closing a Covered Account	12
Required Certifications	13
Policy Statement on Insider Trading	14
What You Should Do If You Have Questions About Inside Information?	14
TCW Policy on Insider Trading	15
Trading Prohibition	15
Communication Prohibition	16
What is Material Information?	16
What is Non-Public Information?	17
Examples of How TCW Personnel Could Obtain Inside Information and What You Should Do In These Cases	17
Board of Directors Seats or Observation Rights	17
Deal-Specific Information	18
Participation in Rapid Fire Capital Infusions	19
Overview	19
What Should You Do?	19
What Are The Ramifications For Participating In A Rapid Fire Capital Infusion?	19
Creditors’ Committees	20
Information about TCW Products	20
Contacts with Public Companies	20
Expert Networks	21

i

What Is The Effect Of Receiving Inside Information?	21
Does TCW Monitor Trading Activities?	22
Penalties and Enforcement by SEC and Private Litigants	22
Ethical Wall Procedures	22
Identification of the Walled-In Individual or Group	23
Isolation of Information	23
Restrictions on Communications	23
Restrictions on Access to Information	24
Trading Activities by Persons within the Wall	24
Termination of Ethical Wall Procedures	24
Maintenance of Restricted List	25
Exemptions	25
Gifts & Entertainment: Anti-Corruption Policy	26
Gifts	26
Entertainment or Similar Expenditures	27
Gifts, Entertainment, Payments & Preferential Treatment	27
Foreign Corrupt Practices Act (FCPA)	32
Statement of Purpose	33
Scope	33
Prohibited Conduct	33
Health or Safety Exception	34
Third Party Representatives	34
Red Flag Reporting	35
Mandatory Reporting	36
Books and Records	36
Outside Business Activities	37
General	37
Obtaining Approval/Reporting	37
Political Activities & Contributions	38
Introduction	38
General Rules	38
Fundraising and Soliciting Political Contributions	38
Rules Governing Firm Contributions and Activities	39
Federal Elections	39

ii

Contributions to State and Local Candidates and Committees	39
Political Activities on Firm Premises and Using Firm Resources	39
Federal, State, and Local Elections	39
Rules for Individuals	40
Responsibility for Personal Contribution Limits	40
Pre-Approval of all Political Contributions and Volunteer Activity	40
New Hires	41
Participation in Public Affairs	41
Other Employee Conduct	42
Personal Loans	42
Taking Advantage of a Business Opportunity That Rightfully Belongs To the Firm	42
Disclosure of a Direct or Indirect Interest in a Transaction	42
Corporate Property or Services	43
Use of TCW Stationery	43
Giving Advice to Clients	43
Confidentiality	44
Sanctions	45
Reporting Illegal or Suspicious Activity - “Whistleblower Policy”	46
Policy	46
Procedure	46
Glossary	48

iii

General Principles

The TCW Group, Inc. is the parent of several companies that provide investment advisory services. As used in this Code of Ethics or Code, the “Firm” or “TCW” refers to The TCW Group, Inc., TCW Advisors, and controlled affiliates.

This Code is based on the principle that the officers, directors and employees of the Firm owe a fiduciary duty to the Firm’s clients. In consideration of this you must:

· Protect the interests of the Firm’s clients before looking after your own.

· If you know that an investment team is considering a transaction in a security, don’t trade that security.

· Never use opportunities provided for the Firm’s clients by brokers or others for your personal benefit.

· Avoid actual or apparent conflicts of interest in conducting your personal investing.

· Never trade on the basis of client information, or otherwise use client information for personal benefit.

· Maintain the confidentiality of all client financial and other confidential information. Loose lips sink ships.

· Comply with all applicable securities laws and Firm policies, including this Code.

· Communicate with clients or prospective clients candidly.

· Exercise independent judgment when making investment decisions.

· Treat all clients fairly.

In addition to the above fiduciary requirements, Officers, directors and employees of the Firm are prohibited from violating the laws of the United States, including but not limited to, the applicable federal and state securities laws. These provisions prohibit any manipulative conduct in connection with transactions in Securities in the marketplace:

· Employing any device, scheme or artifice to defraud;

· Making any untrue statement of a material fact, or omitting to state a material fact necessary in order to make the statements made not misleading, in connection with the offer, purchase, or sale of Securities; or

· Engaging in any action, transaction, practice or course of business that would operate as a fraud or deceit upon any person.

When in doubt, call the General Counsel, the Chief Compliance Officer, or any member of the Compliance or Legal Department before taking action. We are here to help. The reputation that TCW has built through decades of hard work can be destroyed by a single action. As an Access Person, you are responsible for safeguarding the reputation of TCW.    

Violations of this Code constitute grounds for disciplinary actions, including immediate dismissal.

1

Personal Investment Transactions

Overview

The first part of this policy restricts your personal investment activities to avoid actual or apparent conflicts of interest with investment activities on behalf of clients of the Firm. The second part addresses reporting requirements for personal investing. You must conduct your personal investment activities in compliance with these rules.    

Any questions about this policy should be addressed to the Administrator of the Code of Ethics at extension 0467 or ace@tcw.com.

All Securities trading by Access Persons and Covered Persons is monitored and reviewed. If patterns arise or it is determined that trading during the course of normal operations is of such a level as to interfere with the Person’s work performance or responsibilities, create any actual or apparent conflict of interest, negatively impact the operations of TCW or violate any Firm policy, limits may be imposed. The Person may be notified by his/her supervisor, or such other appropriate officer(s) that there is a trading issues, and that trading restrictions and/or other disciplinary action, as appropriate, may be implemented.

Every Covered Person should be familiar with the requirements of this policy. Contact the Administrator of the Code of Ethics to send each Covered Person a copy of this policy.

Covered Transactions/Covered Accounts

This policy covers investment activities (“Covered Transactions”) (i) by any Access Person or Covered Person in a Covered Account, or (ii) in any account in which any Access Person has a “beneficial interest”.                

An Access Person has a “beneficial interest” in an account if that Access Person:

· has benefits substantially equivalent to owning the Securities or the account,

· can obtain ownership of the Securities in the account within 60 days, or

· can vote or dispose of the Securities in the account.

Any account of an Access Person or Covered Person is a “Covered Account.” Covered Accounts include any personal trading account in which you have a beneficial interest. A representative list of such accounts includes:

– Brokerage accounts (i.e. individual, joint, trust, custodial); Individual Retirement Accounts (all types); DRIPs, profit sharing, and any other account/vehicle that have the ability to trade any non-exempt investment product.

2

– 401(k) and 529 Plans accounts that provide the ability to trade any non-exempt investment product.

o Please note: If the accounts hold MetWest or TCW funds, these accounts require reporting as well.

o Accounts held directly at mutual funds are exempt unless the account holds MetWest or TCW funds.

– A relative’s brokerage account for which the Access Person can effect trades, or an estate for which the Access Person makes investment decisions as executor.

– Direct investments in private funds.

Violations of this policy by a Covered Person will be treated as violations by you.    

Pre-clearance of Covered Transactions

Generally, all trading by Access Persons and Covered Persons requires pre-clearance. Exempt securities are listed in this Code of Ethics.

Pre-clearance Process

Pre-clearance is required for any non-exempt security. For example:

● Stocks

● Options

● ETFs, Closed-end Funds

● Private placements/securities/funds

● Any other investment product not listed on the Exempt securities list in the Code of Ethics

Pre-clearance expires at 1:00 p.m. Los Angeles time (4:00 p.m. New York time) on the next business day after approval has been received. If your order has not been executed by the next business day after approval, it should be canceled and a new pre-clearance obtained.

For marketable securities and Private Placement pre-clearance, log on to StarCompliance and file the required preclearance form at https://tcw-ng.starcompliance.com/Auth/Login

Outside Fiduciary Accounts require special procedures. Contact the Administrator of the Code of Ethics.

3

Prohibited Transactions

The following activities are prohibited and pre-clearance will generally not be available.

Prohibited Transaction	Exceptions/Limitations	Consequences/Comments
Transacting in a Security that the Firm is trading for its clients	Exception: Permitted once the Firm’s trading is completed or cancelled	Portfolio managers may accumulate a position in a particular security over a period of time. During such accumulation period, permission to trade in such a security will generally not be granted.
Transacting in a security that the Access Person knows is under consideration for trading by the Firm for its clients
Acquiring any Security in an IPO	Exception: Permitted if the Security is an Exempt Security. See chart below.
Acquiring an interest in a 3rd party registered investment company advised or sub- advised by the Firm	Exception: TCW sub-advised ETFs are permitted, but, as with all ETFs, must still be pre- cleared and reported as stated below.	See Prohibited Third-Party Mutual Fund List under Forms on myTCW.

4

Additional Restrictions for Certain Investment Personnel

In addition to the foregoing prohibited transactions, the following are prohibited for the Investment Personnel indicated below.    

Prohibited Transaction	Applies to	Consequences/Comments
Profiting from the purchase and sale, or sale and purchase, of the same (or equivalent) Securities within 60 calendar	·   Portfolio Managers ·   Securities Analysts and Researchers ·   Securities Traders who provide information or advice to a portfolio manager ·   Members of Investment Compliance	Transactions will be matched using a LIFO system. Profits from the sale or purchase of a security obtained within 60 days of the exercise of written call or put options are subject to the rule prohibiting such transactions for Investment Personnel. All profits of prohibited trades are subject to disgorgement Exceptions: ·   Exempt Securities ·   ETFs (Though exempt from this rule, ETFs still must be pre-cleared through StarCompliance)
Purchasing or selling a Security in the 5 business days BEFORE that Security is bought or sold on behalf of a Firm client (except for account rebalancings to maintain proportions after cash receipts, redemptions, or the like, that do not involve any investment decision) , in any ·   Covered Account, or ·   Outside Fiduciary Account	·   Prohibited for portfolio managers and any other investment professional in their product group, including traders, Researchers or Analysts, for the client account in which the Security is transacted. ·   Members of Investment Compliance	·   All prohibited transactions will generally be reversed; and ·   all profits are subject to disgorgement. Exceptions: ·   Stock transactions resulting from the forced exercise of a call or put option that you have written

5

Purchasing a Security in the 5 business days after that Security is sold on behalf of a Firm client, or selling a Security in the 5 business days AFTER that Security is purchased on behalf of a Firm client (except for account rebalancings to maintain proportions after cash receipts, redemptions, or the like, that do not involve any investment decision), in any ·   Covered Account, or ·   Outside Fiduciary Account	·   Prohibited for portfolio managers and any other investment professional in their product group, including traders, Researchers or Analysts, for the client account in which the security is transacted. ·   Members of Investment Compliance	·   All prohibited transactions will generally be reversed; and ·   all profits are subject to disgorgement. Exceptions: ·   Stock transactions resulting from the forced exercise of a call or put option that you have written
Purchasing or selling any Security in the 5 business days AFTER a TCW-advised or sub- advised registered investment company buys or sells the Security (except for account rebalancings to maintain proportions after cash receipts, redemptions, or the like, that do not involve any investment decision), in any ·   Covered Account, or ·   Outside Fiduciary Account	·   Prohibited for a portfolio manager and any other investment professional in their product group, including traders, Researchers or Analysts, managing funds for the registered investment company ·   Members of Investment Compliance	·   All prohibited transactions will generally be reversed; and ·   all profits are subject to disgorgement. Exceptions: ·   Stock transactions resulting from the forced exercise of a call or put option that you have written
Purchasing or selling any Security in a manner inconsistent with any recommendation made by that research analyst less than 30 days prior to the proposed purchase or sale	·   Prohibited for any Analyst or Researcher	·   All prohibited transactions must be reversed; and ·   all profits are subject to disgorgement.

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Recommending any Security for purchase by the Firm, including writing a research report advocating for the purchase of a Security, where such individual also holds such Security in a Covered Account. ·   Prohibited for any portfolio manager, Researcher or Analyst, unless they have held such Security for at least three months prior to the recommendation or drafting of the research report. ·   All prohibited transactions must be reversed; and   ·   all profits are subject to disgorgement.

Exempt Securities

Pre-clearance is generally not required for Exempt Securities. The following table identifies Exempt Securities and summarizes any pre-clearance and reporting requirements that apply.

Types of Exempt Securities	Pre-clearance Required?	Reporting Required?	Limitations/Comments
U.S. Government Securities (including agency obligations)	No	No
Investment-grade rated Securities issued by any State, Commonwealth or territory of the United States, or any political subdivision or taxing authority thereof	No	Yes
Bank certificates of deposit or time deposits	No	No
Bankers’ Acceptances	No	No
Investment grade debt instruments with a term of 13 months or less, including commercial paper, fixed-rate notes and repurchase agreements	No	Yes	Ask the Legal Department for clarification if any questions.

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Shares in money market mutual funds or a fund that appears on the exempt list.	No	No
Shares in open-end investment companies not advised or sub- advised by the Firm. (ETFs and closed-end funds are not exempt and require pre- clearance)	No	No* *MetWest and TCW funds require reporting	See Prohibited Third- Party Mutual Fund List under Forms on myTCW.
Investments in the S&P 500 CIT product within the TCW 401(k) Plan
Shares of unit investment trusts that are invested exclusively in mutual funds not advised by the Firm.	No	No
Futures and Non-Financial Commodities	No	Yes
Municipal bonds traded in the market	No	Yes	No
Trades in Non-Discretionary Accounts which you, your spouse, your domestic partner, or your significant other established.	The Account must first be certified as Non- Discretionary by Compliance – Contact the Administrator of the Code of Ethics. If designated as Non- Discretionary, no pre-clearance of trades required.	The Account must first be certified as Non-Discretionary by Compliance – Contact the Administrator of the Code of Ethics. If designated as Non- Discretionary, no reporting of trades required.	Periodic sample reviews of statements of non-discretionary accounts will be conducted.

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Dividends reinvested through a Dividend Reinvestment Plan (DRIP) [Note: Securities purchased or sold in a DRIP still needs pre-clearance]	No	Yes
Securities purchased pursuant to certain Robo Advisory Programs	The Program must first be evaluated by Compliance - Contact the Administrator of the Code of Ethics. If designated as Non- Discretionary, no pre-clearance of trades required.	The Program must first be evaluated by Compliance - Contact the Administrator of the Code of Ethics. If designated as Non- Discretionary, no reporting of trades required.	Periodic sample reviews of statements of non-discretionary accounts will be conducted.
Security purchases effected upon the exercise of rights issued by the issuer pro rata to all holders of a class of its securities, to the extent that such rights were acquired from such issuer, and sales of such rights were so acquired.	No	Yes
Interests in Firm-sponsored limited partnerships or other Firm -sponsored private placements.	No	Yes	Firm already must approve in order to invest, which serves as pre-clearance.

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Securities acquired or sold in connection with the involuntary exercise or assignment of an option.	No, unless you voluntarily exercise an option.	Yes, securities received must be reported.	Profits from the sale or purchase of a security obtained within 60 days of the exercise of written call or put options are subject to the rule prohibiting such transactions for Investment Personnel.
Ownership Interests in Clipper Holding, LP	No	No
Ownership Interests in TCW Owners, LLC	No	No
Rule 10b5-1 Plans	Prior approval required to enter plan. Transactions pursuant to an approved plan will not require pre-clearance.	Yes
Direct Purchase Plans	Prior approval required to enter plan. Transactions pursuant to an approved plan will not require pre-clearance.	Yes
Interests in Firm- sponsored Private Placements that are ·   Estate planning transfers ·   Court-ordered transfers	No	No
MetWest or TCW Fund in a Firm or Non-Firm Account	No	Yes	Compliance with frequent trading rules required.

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Securities where the Firm acts as an adviser or distributor for the investment, offered in:	No	Yes
●  A hedge fund; ●  Private Placement; or ●  Other Limited Offerings
Direct investments in Cryptocurrencies or Digital Currencies. Investment products derived from cryptocurrencies or digital currencies are not exempt.	No	No

Exemptive Relief

To seek approval for a Code of Ethics exemption, contact the Administrator of the Code of Ethics. The Administrator of the Code of Ethics will require a written statement indicating the basis for the requested approval, and coordinate obtaining the approval of the Approving Officers. The Approving Officers have no obligation to grant any requested approval or exemption.

The Approving Officers also may, under appropriate circumstances, grant exemption from Access Person status to any person.

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Reporting

Personal Investment Reporting

TCW receives automated feeds from many major brokers (“Linked Brokers”). If your broker is not a Linked Broker, you must ensure that TCW receives duplicate broker statements. The Administrator of the Code of Ethics can inform you if your broker is a Linked Broker, and set up your account for automated feed. If your broker is not a Linked Broker, the Administrator of the Code of Ethics can assist you with a release letter (“407 letter”) to allow TCW to receive duplicate statements. Corporate actions such as mergers, purchases and sales, spin-offs, stock splits, stock-on-stock dividends and like activities must also be reported unless made through an account with a Linked Broker. In addition, Access Persons must timely file all reports for all transactions as provided in the tables below. Transactions that must be reported include opening, closing or changing Covered Accounts.    

Reporting on Opening, Changing or Closing a Covered Account

Brokerage Accounts: You must use the StarCompliance, http://tcw.starcompliance.com, system to enter information about each Covered Account:

Activity	Comments	Exceptions
●   Upon becoming an Access Person ●   Upon opening a new Covered Account while you are an Access Person	Updates must occur within 30 days of the event	You are not required to report or enter information for: ●   Outside Fiduciary Accounts ●   Accounts that can only invest in open end mutual funds
●   Upon closing, or making any change to a Covered Account while you are an Access Person	Updates must occur within 30 days of the event	N/A

Separate Accounts: You must obtain pre-clearance from your group head and the Approving Officers to open a personal separately managed account at the Firm.

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Required Certifications

Reports are filed online at http://tcw.starcompliance.com.

If you will not be able to file a report on time, contact the Administrator of the Code of Ethics prior to the filing due date.

Certification	When Due	Additional Requirements
Initial Holdings Report	Within 10 days after becoming an Access Person	Include all securities except Exempt Securities
		Include all Covered Accounts. Holdings must be current no earlier than 45 days before you became an Access Person
Quarterly Report of Personal Investment Transactions	By each January 15, April 15,       July 15 and October 15	Must be filed even if there were no transactions during the period.
Annual Holdings Report	By January 31 of each year	Same as Initial report, except that holdings must be current as of December 31 of the prior year.
Annual Certificate of Compliance	By January 31 of each year
Report on Outside Activities (Includes, among other activities, Directorships, Officerships, Creditor Committees, Board Observation Rights and Employment)	4th quarter of each year

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Policy Statement on Insider Trading

Members of the Firm occasionally come into possession of material, non-public information or “inside information”. Various laws, court decisions, and general ethical standards impose duties with respect to the use of this inside information.

The SEC rules provide that any purchase or sale of a security while “having awareness” of inside information is illegal regardless of whether the information was a motivating factor in making a trade.    

Courts may attribute one employee’s knowledge of inside information to other employees that trade in the affected security, even if no actual communication of this knowledge occurred. Thus, by buying or selling a particular Security in the normal course of business, Firm personnel other than those with actual knowledge of inside information could inadvertently subject the Firm to liability.

The risks in this area can be significantly reduced through the use of a combination of trading restrictions and information barriers designed to confine material non-public information to a given individual, group or department (see defined term “Ethical Walls”).

See the Reference Table below if you have any questions on this Policy or who to consult in certain situations.

What You Should Do If You Have Questions About Inside Information?

Topic	You Should Contact:
If you have a question about:	The Legal Department
●   The Insider Trading Policy in general
●   Whether information is “material” or “non- public”
●   If you have a question about whether you have received inside information on a Firm commingled fund (e.g. partnerships, trusts, mutual funds)
●   Whether you have received material non-public information about a public company
●   Obtaining deal-specific information (pre- clearance is required)

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Topic	You Should Contact:
●   Sitting on a Creditors’ Committee (preapproval is required)
●   Need to have an Ethical Wall established
●   Terminating an Ethical Wall
●   Section 13/16 issues
●   Who is “within” or “outside” an Ethical Wall
●   If you wish to serve on a Board of Directors, serve as an alternate on a Board, serve as a Board Observer or sit on a Creditors Committee (Pre-approval is required)	Administrator of the Code of Ethics
In the event of inadvertent or non-intentional disclosure of material non-public information	The Legal Department

TCW Policy on Insider Trading

Trading Prohibition

● No Access Person of the Firm, either for themselves or on behalf of clients or others, may buy or sell a security (i.e., stock, bonds, convertibles, options, warrants or derivatives tied to a company’s securities) while in possession of material, non-public information about the company (except as listed in Deal-Specific Information below).    

● This applies in the case of both publicly traded and private companies.    

● This means that you may not buy or sell such securities for yourself or anyone, including your spouse, domestic partner, relative, friend, or client and you may not recommend that anyone else buy or sell a security of a company on the basis of inside information regarding that company.

If you believe you have received oral or written material, non-public information, you should not discuss the information with anyone except the Legal Department. Do not discuss the information with your supervisor, department head or any other individual who is on your team.

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Communication Prohibition

No Access Person may communicate material, non-public information to others who have no official need to know. This is known as “tipping,” which also is a violation of the insider trading laws, even if you as the “tipper” did not personally benefit. Therefore, you should not discuss such information acquired on the job with your spouse, domestic partner or with friends, relatives, clients, or anyone else inside or outside of the Firm except on a need-to-know basis relative to your duties at the Firm.    

Remember that TCW Mutual Funds are publicly traded entities and you may be privy to material non-public information regarding those entities. Communicating such information in violation of the Firm’s policies is illegal.

The prohibition on sharing material, non-public information extends to affiliates such as the Carlyle entities.

What is Material Information?

Information (whether positive or negative) is material:

· When a reasonable investor would consider it important in making an investment decision or

· When it could reasonably be expected to have an effect on the price of a company’s securities.

Some examples of Material Information are:

· Earnings results, changes in previously released earnings estimates, liquidity problems, dividend changes, defaults,

· Projections, major capital investment plans,

· Significant labor disputes,

· Significant merger, tender offers, secondary offerings, rights offerings, spin-off, joint venture, stock buy backs, stock splits or acquisition proposals or agreements,

· New product releases, price changes, schedule changes,

· Significant accounting changes, credit rating changes, write-offs or charges,

· Major technological discoveries, breakthroughs or failures,

· Major contract awards or cancellations, significant regulatory developments (e.g. FDA approvals),

· Governmental investigations, major litigation or disposition of litigation, or

· Extraordinary management developments or changes.

Because no clear or “bright line” definition of what is material exists, assessments sometimes require a fact-specific inquiry. If you have questions about whether information is material, direct the questions to the Legal Department.

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What is Non-Public Information?

Non-public information is information that:

· Has not been disseminated broadly to investors in the marketplace, such as a press release or publication in the Wall Street Journal or other generally circulated publication; or

· Has not become available to the general public through a public filing with the SEC or some other governmental agency, Bloomberg, or release by Standard & Poor’s or Reuters.

Examples of How TCW Personnel Could Obtain Inside Information and What You Should Do In These Cases

Examples of how a person could come into possession of inside information include:

Board of Directors Seats or Observation Rights

· Most public companies have restrictions on trading by Board members except during trading window periods.    

· Anyone who wishes to serve on a Board of Directors or as a Board Observer must seek pre-approval and complete the Outside Business Activity Form that is posted on myTCW and submit it to the Administrator of the Code of Ethics who will coordinate the approval process.

· If approval is granted, the Administrator of the Code of Ethics will notify the Legal Department so that the appropriate Ethical Wall and/or restricted securities listing can be made.

Portfolio Managers:

· Sitting on Boards of public companies in connection with an equity or fixed income position that they manage; or

· Having the intent to control or work with others to attempt to influence or control a company.

· Working with expert network consultants who were recent employees of a company involving a major transaction.

Should be mindful of:

· SEC filing obligations under Section 16 of the Exchange Act

· “Short swing profits” restrictions and penalties related to purchases and sales of shares held in client accounts within a 6-month period.

The Legal Department should be consulted in these situations.

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Deal-Specific Information

Employees may receive inside information for legitimate purposes such as:

· In the context of a direct investment, secondary transaction or participation in a transaction for a client account

· In the context of forming a confidential relationship

· Receiving “private” information through on-line services such as Intralinks.

This “deal-specific information” may be used by the department to which it was given for the purpose for which it was given. This type of situation typically arises in:

· mezzanine financings,

· loan participations, bank debt financings,

· venture capital financing,

· purchases of distressed securities,

· oil and gas investments, and

· purchases of substantial blocks of stock from insiders.

It should be assumed that inside information is transmitted whenever:

· A confidentiality agreement is entered into;

· An oral agreement is made or an expectation exists that you will maintain the information as confidential; or

· There is a pattern or practice of sharing confidences so that the recipient knows or reasonably should know that the provider expects the information to be kept confidential, such pattern or practice is sufficient to form a confidential relationship.    

There is a presumed duty of trust and confidence when a person receives material non-public information from his or her spouse, parent, child, or sibling.

Remember that even if the transaction for which the deal-specific information is received involves securities that are not publicly traded, the issuer may have other classes of traded securities, and the receipt of inside information can affect the ability of other product groups at the Firm to trade in those securities.

If you are to receive any deal-specific information or material, non-public information on a company (whether domestic or foreign), contact the Legal Department, who then will implement the appropriate Ethical Wall and trading procedures.

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Participation in Rapid Fire Capital Infusions

Overview

From time to time, public companies may seek rapid-fire capital infusions of capital from institutional investors. In the past, these have involved investment banks contacting potential investors, often over the weekends, on a pre-announcement basis.

What Should You Do?

If you work with marketable security strategies and you receive a call to participate in an offering before it is publicly announced, please contact the Legal Department, General Counsel or Chief Compliance Officer. Do not ask the name of the company that is the subject of the financing or agree to any confidentiality or standstill agreements. Otherwise, you may restrict trading in your and other portfolios and the Firm. Your email should include the contact information for the person who contacted you.

What Are The Ramifications For Participating In A Rapid Fire Capital Infusion?

Historically, the Firm’s marketable securities strategies have not received material non-public information and have relied solely on public information. Some of the ramifications of your participating in a rapid fire capital infusion are:

· Your accounts will be restricted for the company in question as soon as you learn about the name of the company, even if you decide not to participate. There is no ability to preview the names because just knowing about the potential transaction is in itself material non-public information.    

· A restriction in a name could last for a period of time and that period cannot be predicted in advance. In many cases, it may be a fairly short period (a week or so).

· You will need to be available or designate someone in your portfolio management group to be fully available at night and possibly over the weekend to consider the transaction(s).

If your group decides to participate in the offering, the Legal Department will work with your group to implement appropriate Ethical Wall procedures with the goal of ensuring that others at the Firm who do not have the information will not be frozen in their trading securities of the issuer. The shares of the company at issue will be restricted in accounts managed by your group and possibly others at the Firm until after the terms of the financing (or other material non-public information) are publicly announced.

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Creditors’ Committees

Members of the Firm may be asked to participate on a Creditors’ Committee which is given access to inside information. Since this could affect the Firm’s ability to trade in securities in the company, before agreeing to sit on any Creditors’ Committee, contact the Administrator of the Code of Ethics who will obtain any necessary approvals and notify the Legal Department so that the appropriate Ethical Wall can be established and/or restricted securities listings can be made.    

Information about TCW Products

Employees could come into possession of inside information about the Firm’s limited partnerships, trusts, and mutual funds that is not generally known to their investors or the public. The following could be considered inside information:

· Plans with respect to dividends, closing down a fund or changes in portfolio management personnel

· Buying or selling securities in a Firm product with knowledge of an imminent change in dividends or

· A large-scale buying or selling program or a sudden shift in allocation that was not generally known

Disclosing holdings of the TCW Mutual Funds on a selective basis could also be viewed as an improper disclosure of non-public information and should not be done. The Firm currently discloses holdings of the TCW Mutual Funds to the general public and investors through tcw.com on a monthly basis. This disclosure may occur on or prior to the 15^th calendar day following the end of that month (or, if the 15th calendar day is not a business day, the next business day thereafter). Disclosure of these funds’ holdings at other times, where a general disclosure has not yet been made through tcw.com, requires special confidentiality procedures and must be pre-cleared with the Legal Department (See the Marketing and Communications Policy for further information concerning portfolio holdings disclosure).

In the event of inadvertent or unintentional disclosure of material non-public information, the person making the disclosure should immediately contact the Legal Department or General Counsel. The Legal Department should notify the Administrator of the Code of Ethics of this type of inside information so that appropriate restrictions can be put in place.

Contacts with Public Companies

Contacts with public companies are an important part of the Firm’s research efforts coupled with publicly available information. Difficult legal issues arise when an employee becomes aware of material, non-public information through a company contact. This could happen, for example, if a company’s Chief Financial Officer prematurely discloses quarterly results, or if an investor-relations representative makes a selective disclosure of adverse news to a handful of investors. In such situations, the Firm must make a judgment regarding its further trading conduct.

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If an issue arises in this area, a research analyst’s notes could become subject to scrutiny. Research analyst’s notes have become increasingly the target of plaintiffs’ attorneys in securities class actions.

The SEC has declared publicly that they will take strict action against what they see as “selective disclosures” by corporate insiders to securities analysts, even when the corporate insider was getting no personal benefit and was trying to correct market misinformation. Analysts and portfolio managers who have private discussions with management of a company should be clear about whether they desire to obtain inside information and become restricted or not receive such information.

If an analyst or portfolio manager receives what he or she believes is inside information and if you feel you received it in violation of a corporate insider’s fiduciary duty or for his or her personal benefit, you should not trade and should discuss the situation with the Legal Department.

Expert Networks

The Firm may, from time to time, execute agreements with companies that provide access to a group of professionals, specialized information or research services (“Expert Networks”). In such circumstances, Expert Networks are engaged to provide authorized TCW employees with information that may be helpful in TCW understanding an industry, legislative initiatives, and many other important topical areas. However, TCW is mindful of the fact that Expert Networks present significant legal, compliance and regulatory risks concerning the receipt and transmission of materially non-public information. Given this inherent risk, TCW requires that the compliance policies of each Expert Network are reviewed and approved by our Compliance Department prior to entering into an agreement for services. Furthermore, the Firm requires that each employee who wishes to participate in an Expert Network read and confirm their understanding of the Firm Expert Network Guidelines, as well as complete an Insider Trading training module to ensure that they understand the Firm policies regarding material non-public information and insider trading.

What Is The Effect Of Receiving Inside Information?

Any person actually receiving inside information is subject to the trading and communication prohibitions discussed above. However, restrictions may extend to other persons and departments within the company. In the event of receipt of inside information by an employee, the Firm generally will:

Establish an Ethical Wall around the individual or a select group or department, and/or place a “firm wide restriction” on securities in the affected company that would bar any purchases or sales of the securities by any department or person within the Firm, whether for a client or personal account unless there is specific approval from the Compliance or Legal Departments.

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In connection with the Ethical Wall protocol, those persons falling within the Ethical Wall would be subject to the trading prohibition and, except for need-to-know communications to others within the Ethical Wall, the communication prohibition discussed above. The breadth of the Ethical Wall and the persons included within it will be determined on a case-by-case basis. In these circumstances, the Ethical Wall procedures are designed to “isolate” the inside information and restrict access to it to an individual or select group to allow the remainder of the Firm not to be affected by it.

In any case where an Ethical Wall is imposed, the Ethical Wall procedures discussed below must be strictly observed. Each Group Head is responsible for ensuring that members of his or her group abide by these Ethical Wall procedures in every instance.    

Does TCW Monitor Trading Activities?

Yes, TCW monitors trading activities through one or more of the following:

· Conducts reviews of trading in public securities listed on the Restricted Securities List.

· Surveys client account transactions that may violate laws against insider trading and, when necessary, investigates such trades

· Conducts monitoring of the Ethical Walls.

· Reviews personal securities trading to identify insider trading, other violations of the law or violations of the Firm’s policies.

· Obtains securities holding and transaction reports as required by SEC rules and regulations.

Penalties and Enforcement by SEC and Private Litigants

Insider trading violations subject both the Firm and the individuals involved to severe civil and criminal penalties and could result in damaging the reputation of the Firm. Violations constitute grounds for disciplinary sanctions, including dismissal.

The SEC pursues all cases of insider trading regardless of size and parties involved. Penalties for violations are severe for both the individual and possibly his or her employer. The regulators, the market and the Firm view violations seriously and there can be significant fines, jail time and lawsuits.

Ethical Wall Procedures

The SEC has long recognized that procedures designed to isolate inside information to specific individuals or groups can be a legitimate means of curtailing attribution of knowledge of such inside information to an entire company. These types of procedures are known as Ethical Wall procedures. In those situations where the Firm believes inside information can be isolated, the following Ethical Wall procedures would apply. These Ethical Wall procedures are designed to “quarantine” or “isolate” the individuals or select group of persons with the inside information within the Ethical Wall.

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Identification of the Walled-In Individual or Group

The persons subject to the Ethical Wall will be identified by name or group designation. If the Ethical Wall procedures are applicable simply because of someone serving on a Board of Directors of a public company in a personal capacity, the Ethical Wall likely will apply exclusively to that individual, although in certain circumstances expanding the wall may be appropriate. When the information is received as a result of being on a Creditors’ Committee, serving on a Board in a capacity related to the Firm’s investment activities, or receiving deal-specific information, the walled-in group generally will refer to the group associated with the deal and, in some cases, related groups or groups that are highly interactive with that group. Determination of the breadth of the Ethical Wall is fact-specific and must be made by the Legal Department, the General Counsel, or the Chief Compliance Officer. Therefore, as noted above, advising them if you come into possession of material, non-public information is important. If you are in a group where you expect to continuously receive material non-public information as part of its strategy, a global Ethical Wall may be required to be imposed on the department.

Isolation of Information

Fundamental to the concept of an Ethical Wall is that the inside information be effectively quarantined to the walled-in group. The two basic procedures that must be followed to accomplish this are as follows: restrictions on communications and restrictions on access to information.

Restrictions on Communications

Communications regarding the inside information of the subject company should only be held with persons within the walled-in group on a need-to-know basis or with the General Counsel, the Legal Department or Chief Compliance Officer. Communications should be discreet and should not be held in the halls, in the lunchroom or on cellular phones. In some cases using code names for the subject company as a precautionary measure may be appropriate.

If persons outside of the group are aware of your access to information and ask you about the target company, they should be told simply that you are not at liberty to discuss it. On occasion, discussing the matter with someone at the Firm outside of the group may be desirable. However, no such communications should be held without first receiving the prior clearance of the General Counsel, the Legal Department, or the Chief Compliance Officer. In such case, the person outside of the group and possibly his or her entire department, thereby will be designated as “inside the wall” and will be subject to all Ethical Wall restrictions in this policy.

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Restrictions on Access to Information

The files, computer files and offices where confidential information is physically stored generally should be made inaccessible to persons not within the walled-in group.

Trading Activities by Persons within the Wall

Persons within the Ethical Wall are prohibited from buying or selling securities in the subject company, whether on behalf of the Firm or clients or in personal transactions except:

· Where the affected persons have received deal-specific information, the persons are permitted to use the information to consummate the deal for which deal-specific information was given (Note that if the transaction is a secondary trade (vs. a direct company issuance), the Legal Department should be consulted to determine any disclosure obligations to the counterparty, and

· In connection with a client directed liquidation of an account in full provided that no confidential information has been shared with the client. The liquidating portfolio manager should confirm to the Administrator of the Code of Ethics in connection with such liquidation that no confidential information was shared with the client.

Termination of Ethical Wall Procedures

When the information that is the subject of the Ethical Wall has been publicly disseminated, a confidentiality agreement expires and information is no longer being provided or if the information has become stale, the person who contacted the Legal or Compliance Department to have the Ethical Wall established must notify the Legal Department as to whether the Ethical Wall can be terminated. This is particularly true if the information was received in an isolated circumstance such as an inadvertent disclosure to an analyst or receipt of deal-specific information.

Persons who by reason of an ongoing relationship or position with the company are exposed more frequently to the receipt of such information (e.g., being a member of the Board of Directors or on a Creditors’ Committee) would be subject ordinarily to the Ethical Wall procedures on a continuing basis and may be permitted to trade only during certain “window periods” when the company permits such “access” persons to trade.

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Certain Operational Procedures

The following are certain operational procedures that will be followed to ensure communication of insider trading policies to Firm employees and enforcement thereof by the Firm.

Maintenance of Restricted List

The Restricted Securities List is updated as needed by the Administrator of the Code of Ethics, who distributes it as necessary. The Administrator of the Code of Ethics also updates an annotated copy of the list and maintains the history of each item that has been deleted. This annotated Restricted Securities List is available to the General Counsel and the Chief Compliance Officer, as well as any additional persons, which either of them may approve.

The Restricted Securities List restricts issuers (i.e., companies) and not just specific securities issued by the issuer. The list of ticker symbols on the Restricted Securities List should not be considered the complete list – the key is that you are restricted as to the company or a derivative that is tied to the company. This is of particular importance to the strategies which may invest in securities listed on foreign exchanges.

The Restricted Securities List must be checked before each trade. If an order is not completed on one day, then the open order should be checked against the Restricted Securities List every day it is open beyond the approved period that was given (e.g., the waiver you received was for a specific period, such as one day).

Exemptions

Once an issuer is placed on the Restricted Securities List, any purchase or sale specified on the list (whether a personal trade or on behalf of a client account) must be cleared with the Administrator of the Code of Ethics.

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Gifts & Entertainment: Anti-Corruption Policy

Access Persons may provide reasonable Gifts and Entertainment for the bona fide purpose of promoting, demonstrating, or explaining Firm services, including fostering strong client relationships.

Where possible, or as required in this Policy, you should notify your department head before, or after, providing or accepting any Gifts or Entertainment, even if no other approval is required. As discussed below, Access Persons may also be required to obtain approval when giving or receiving certain Gifts and Entertainment. Unless otherwise specified below, if approvals are required, you must submit your request through StarCompliance for approval by the Administrator of the Code of Ethics. Access Persons must obtain prior written approval from the Administrator of the Code of Ethics where required. The Administrator of the Code of Ethics shall elevate the request in the event of high risk or higher value gifts, or as otherwise necessary or appropriate. Notwithstanding the foregoing, in light of the impromptu nature of some Entertainment, approval for Access Persons providing entertainment may on occasion be after the fact. After the fact approval shall not be deemed a violation of this Policy where (1) approval prior to such impromptu Entertainment was not feasible, and (2) the provision of such Entertainment or the value of such Entertainment does not violate applicable U.S. or local laws. However, to the extent feasible, any required approvals should be obtained before accepting or giving Gifts or Entertainment. It is the Access Person’s responsibility to seek prior approval from the Administrator of the Code of Ethics for Gifts and Entertainment which can be reasonably anticipated in advance of travel, events, meetings, conferences, or other similar circumstances where Gifts or Entertainment may be given or received. Repeated reliance on the impromptu nature of giving or receiving Gifts or Entertainment may be considered a violation of this Policy and may result in disciplinary action.

Gifts

A “Gift” is anything of value given or received without paying its reasonable fair value (e.g. merchandise, cash, gift cards, favors, credit, special discounts on goods or services, free services, loans of goods or money, tickets to sports or entertainment events, trips and hotel expenses where Access Persons are not present as attendees). Entertainment (as defined below) is not a Gift.

· A Gift must only be provided as a courtesy or token of regard or esteem (“Token Gift”).

· Any Token Gifts should be appropriate under the circumstances, not be excessive in value (generally, not more than $100) and involve no element of concealment.

· Gifts of cash or cash equivalents are prohibited.

You may not give or accept a Gift if you know, or have reason to know, that it is not permitted under the applicable laws.

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Entertainment or Similar Expenditures

“Entertainment” generally means the attendance by you and your hosts or guests at a meal, sporting event, theater production, or comparable event and also might include travel to, or accommodation expenses at, a conference or an out-of-town event.

· Business Entertainment (including meals, sporting events, theater productions, or comparable events) may only be provided if (i) a legitimate business purpose exists for such entertainment and (ii) such entertainment is reasonable and not excessive (e.g., 3 days of golf for a 1-day seminar is excessive and not reasonable).

· You may never pay or accept payment of Entertainment or similar expenditures if they are not commensurate with local custom or practice or if you know or have reason to know that they are not permitted under the applicable laws.

Access Persons are required to follow the approval process set forth below, and in this Policy, to obtain the requisite approvals, if any, before or after giving or receiving Gifts or Entertainment.

Gifts, Entertainment, Payments & Preferential Treatment

Gifts or Entertainment may create an actual or apparent conflict of interest, which could affect (or appear to affect) the recipients’ independent business judgment. Therefore, the Policy establishes reasonable limits and procedures relating to giving and receiving Gifts and Entertainment.

If approval is required, Access Persons should request approval through StarCompliance, and wait for a decision before taking any action. The Administrator of the Code of Ethics shall review the submission with your department head and the Approving Officers, as appropriate. Registered Persons are required to log gifts & entertainment given or received in StarCompliance. Refer to the table below which describes the Gifts & Entertainment for which a log may be required. If you have any doubt about whether a Gift or Entertainment requires approval, you should err on the side of caution and seek approval. Notwithstanding the foregoing, in light of the impromptu nature of some Entertainment, approval for Access Persons providing entertainment may on occasion be after the fact. After the fact approval shall not be deemed a violation of this Policy where (1) approval prior to such impromptu Entertainment was not feasible, and (2) the provision of such Entertainment or the value of such Entertainment does not violate applicable U.S. or local laws. However, to the extent feasible, any required approvals should be obtained before accepting or giving Gifts or Entertainment. It is the Access Person’s responsibility to seek prior approval from the Administrator of the Code of Ethics for Gifts and Entertainment which can be reasonably anticipated in advance of travel, events, meetings, conferences, or other similar circumstances where Gifts or Entertainment may be given or received. Repeated reliance on the impromptu nature of giving or receiving Gifts or Entertainment may be considered a violation of this Policy and may result in disciplinary action.

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Gifts Provided By the Firm/Access Persons

Type of Gift To Be Given	Approval Required
Cash Gifts (including gift cards)	Prohibited
Token Gifts (e.g. bottles of wine, fruit baskets, books) under $100 (unless given to a Foreign Official or Domestic Official)	No Approval Required
Gifts in excess of $100 that seem appropriate under the circumstances	Pre-Approval Required
Personal Charitable Gifts given where the recipient has a known business relationship with or a connection to a client or potential client of the Firm	Pre-Approval Required
Gifts to Foreign Officials or Domestic Officials (regardless of value)	Pre-Approval Required
Charitable Gifts given on behalf of the Firm	Pre-Approval Required. The Charitable Contribution request form must be completed before making the Gift.
Gifts by TCW Funds Distributors LLC (formerly, TCW Brokerage Services), a limited-purpose broker-dealer (“TFD”) Registered Persons aggregating less than $100 per year	No Approval Required, But Each Individual Must Maintain Their Own Log On StarCompliance Showing: Name of recipient(s) Date of Gift(s) Value of Gift(s) A log is not required to record gifts of de minimis value (e.g. pens, notepads or modest desk ornaments) or promotional items of nominal value that display the firm’s logo (e.g. umbrellas, tote bags or shirts) that are substantially below the $100 limit. However, all other gifts MUST be logged. If you are in doubt if something meets the “de minimis” standard, then the gift should be logged.

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Gifts by TFD Registered Persons aggregating more than $100 per year that do not relate to the business of the recipient’s employer. Examples of gifts not relating to the business of the recipient’s employer include personal gifts (not paid for by TCW) where there is a pre-existing personal or family relationship between you and the recipient.	Pre-Approval Required, And Must Maintain Log Showing: Name of recipient(s) Date of Gift(s) Value of Gift(s)
Gifts by TFD Registered Persons aggregating more than $100 per year that do relate to the business of the recipient’s employer	Prohibited
Gifts to Unions or Union Officers	Pre-Approval Required. The Request Form for Approval for Gift/Entertainment must be completed before making the gift. In addition, an LM-10 Information Report is required to be completed, approved by an officer and submitted to the Administrator of the Code of Ethics and to the Legal Department for each occurrence.

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Entertainment and Hospitality Provided by the Firm/Access Persons

Amount	Approval Required
$250 or less per person and $2,500 or less in aggregate per event	No Approval Required
Greater than $250 per person or $2,500 or more in aggregate per event	Pre-Approval Required
Attendance and participation at educational or industry sponsored events (for example, tickets for attendance or purchasing a table at an industry conference)	No Approval Required
If provided to Unions or Union Officers	Pre-Approval Required. The Request Form for Approval for Gift/Entertainment must be completed before making the entertainment. In addition, an LM-10 Information Report is required to be completed, approved by an officer and submitted to the Administrator of the Code of Ethics and to the Legal Department for each occurrence.
If provided to a Foreign Official or Domestic Official (regardless of value)	Pre-Approval Required

Note that for public pension plans, and in some cases other clients, Gifts or Entertainment may have to be disclosed by the Firm in response to client questionnaires and may reflect unfavorably on the Firm in obtaining business. Receipt of Gifts may even lead to disqualification. Therefore, discretion and restraint is advised.

Gifts and Entertainment Received by Firm Personnel

You should not accept Gifts that are of excessive value (generally, $100 or more) or inappropriate under the circumstances. Access Persons are required to report any gift that they receive worth more than $100 to the Administrator of the Code of Ethics.

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If a Gift has a value over $100 and is not approved as being otherwise appropriate, you should (i) reject the Gift, (ii) give the Gift to the Administrator of the Code of Ethics who will return it to the person giving the Gift (you may include a cover note), or (iii) if returning the Gift could affect friendly relations between a third party and the Firm, give it to the Administrator of the Code of Ethics, which will donate it to charity.

If the host of an event is personally present at the event, the event will be considered Entertainment; otherwise, it will be considered a Gift. You should not accept any invitation for Entertainment that is excessive or inappropriate under the circumstances. There may be some circumstances where it is difficult to reject an invitation or provision of hospitality or Entertainment. Where rejecting such an invitation or provision of hospitality could affect friendly relations between a third party and the Firm, use your best judgment and promptly report the entertainment or hospitality to the Administrator of the Code of Ethics. The Administrator of the Code of Ethics shall review such situation with your department head and the Approving Officers, as appropriate. No absolute rules exist, so good judgment must be exercised, considering the context, circumstances, and frequency of the Entertainment or hospitality. For example, approval might be required for an out-of-town sporting event, but not for a business conference in the same venue.

In light of the nature of Gift-giving and the impromptu nature of some Entertainment, approval for Access Persons accepting such items may often be after the fact. However, to the extent feasible, any required approvals should be obtained before accepting Gifts or Entertainment. Where prior approval is not possible with respect to impromptu Gifts or Entertainment, the Access Persons receiving such Gift or Entertainment must seek approval as soon as is reasonably practicable. If such Gift or Entertainment received is impermissible under U.S. or local laws, then the Administrator for the Code of Ethics may require the Access Persons to return the Gifts or reimburse such Entertainment received.

Type of Gift/Entertainment Received	Approval required
Cash Gifts (including gift cards)	Prohibited
Solicitation by Access Persons of Gifts from clients, suppliers, brokers, business partners, or potential business partners	Prohibited
Appropriate Gifts with value of $100 or less*	No Approval Required
Tickets(s) to attend an industry conference or seminar paid by a vendor or other third party (note that payment of airfare, accommodations, meals and other expenses paid by such vendor or third party would still require approval, unless exempted per the Speaker Exemption below)	No Approval Required

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Gifts believed to have a value in excess of $100, that seem appropriate under the circumstances*	Approval Required
Gifts given to a wide group of recipients (e.g. closing dinner Gifts, holiday Gifts)*	No Approval Required
Gifts received from the same donor more than twice in a calendar year*	Approval Required
Entertainment on a personal basis, involving a small group of people, more than twice in one calendar year	Approval Required
Entertainment over $250 per event*	Approval Required
Out-of-town accommodations and airfare for business conference or other industry event paid by sponsor as speaker expenses, or on the same basis as other attendees (the “Speaker Exemption”)	No Approval Required
Other out-of-town travel expenses, other than on a business trip or industry conference that is customary and usual for business purposes	Approval Required

*For Investment Personnel only:

· All Gifts and Entertainment, of any value, received from broker/dealers must be reported in StarCompliance.

· All Gifts received from broker/dealers with a value in excess of $100/person are prohibited and should be returned to the broker/dealer or turned over to Compliance for appropriate disposition.

· If an Investment Personnel is granted approval to accept entertainment with a value in excess of $250 per event from a broker/dealer, that person must personally pay the amount in excess of $250 and must maintain records indicating such payment.

Foreign Corrupt Practices Act (FCPA)

The FCPA permits small payments to low-level Foreign Officials (typically in countries with pervasive corruption) to expedite or secure the performance of non-discretionary government action (e.g., processing governmental papers, providing police protection, and providing mail service) under limited circumstances (“Facilitating Payments”). Nevertheless, because such payments may be illegal under the local law of the foreign country involved and/or other applicable anti-corruption laws and rules, such as the Bribery Act, this Policy prohibits Firm Personnel from making such payments, regardless of whether such payments would be permissible under the FCPA.

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Statement of Purpose

TCW (the “Firm”) is committed to complying with all applicable anti-corruption laws and rules, including, but not limited to, the U.S Foreign Corrupt Practices Act of 1977, as amended (the “FCPA”), the U.S. Travel Act (the “Travel Act”), the U.K. Bribery Act of 2010 (the “Bribery Act”) and any laws enacted pursuant to the OECD Convention on Combating Bribery of Foreign Public Officials in International Business Transactions (the “OECD Convention”). The purpose of this Anti-Corruption Policy (the “Policy”) is to ensure compliance with all applicable anti-corruption laws and rules.    

Of course, no policy can anticipate every possible situation that might arise. As such, Firm Personnel (defined below) are encouraged to discuss any questions that they may have relating to the Policy with their supervisor, Firm contact or the Legal or Compliance Departments. When in doubt, Firm Personnel should seek guidance.

Scope

This Policy is mandatory and applies to all directors, officers and employees of the Firm and any persons engaged to act on behalf of the Firm, including agents, representatives, temporary agency personnel, consultants, and contract-based personnel, wherever located (collectively referred to as “Firm Personnel”). Violations of this Policy may result in disciplinary action, up to and including termination of employment and referral to regulatory and criminal authorities.

Prohibited Conduct

Firm Personnel shall not, directly or indirectly, make, offer, or authorize any gift, payment or other inducement for the benefit of any person, including a Foreign Official or Domestic Official, with the intent that the recipient misuse his/her position to aid the Firm in obtaining, retaining, or directing business.

“Foreign Official” includes government officials, political party leaders, candidates for public office, employees of state-owned enterprises (such as state-owned banks or pension plans), employees of public international organizations (such as the World Bank or the International Monetary Fund), and close relatives or agents of any of the foregoing. Because U.S. regulators have a very broad view of what constitutes a “Foreign Official,” Firm Personnel should err on the side of caution by treating counter-parties as Foreign Officials when in doubt.

“Domestic Official” means any officer or employee of any government entity, department, agency, or instrumentality (federal, state, or local) in the U.S., candidates for public office, and close relatives or agents of any of the foregoing.    

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For purposes of this Policy, Foreign Official and Domestic Official also includes individuals who have actual influence in the award of business and any person or entity hired to review or accept bids for a government entity.

All payments, whether large or small, are prohibited if they are, in substance, bribes or kickbacks, including, cash payments, gifts, and the provision of hospitality and entertainment expenses. Personal funds (your own or a third party’s) must not be used to accomplish what is otherwise prohibited by this Policy.

Firm Personnel are also prohibited from requesting, agreeing to accept, or accepting Gifts from any third party in exchange for or as a reward for improper or unapproved performance of their job responsibilities.

Health or Safety Exception

Facilitating Payments are permitted in rare circumstances when the health or safety of Firm Personnel (or anyone else) is at risk. If a payment is made pursuant to this limited exception, Firm Personnel must report the payment and circumstances to the Legal Department as soon as possible after the health or safety of the individual(s) is no longer at risk. The payment must also be accurately recorded in the Firm’s books and records.

Third Party Representatives

Under the FCPA and other anti-bribery laws, the Firm may be held responsible for the misconduct of its agents, representatives, business partners, consultants, contractors or any other third party engaged to act on the Firm’s behalf (collectively “Third Party Representatives”). As such, prior to entering into an agreement with any Third Party Representative regarding business outside the United States, the Firm shall perform anti-corruption related due diligence and obtain from the Third Party Representative appropriate assurances of compliance in accordance with this Policy. The Legal Department is required to approve all engagements with Third Party Representatives. Any anti-corruption compliance issue that comes to the attention of any Firm Personnel must be reported to the General Counsel and addressed before proceeding with the relevant transaction or doing business with or through a Third Party Representative.

Firm Personnel should be alert to the activities of any Third Party Representative with whom they interact and promptly report any suspicious activity to the Legal Department. Firm Personnel should be especially alert to Third Party Representatives who are located in or interact with individuals in countries with high levels of corruption (the United States Department of Justice and Transparency International maintain internet-accessible lists of countries where corruption is a concern). Firm Personnel must consult with the Legal Department whenever encountering a situation involving any anti-corruption issue, including a Red Flag, or any other similar situation.

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It is important for Firm Personnel to identify and report anti-corruption compliance issues in the ordinary course of business. To this end, the following shall apply to all Firm Personnel:

a. Familiarize yourself with the examples of Red Flags listed in this Policy; Attend anti-corruption training as applicable so you can identify the types of situations that may raise Red Flags or other compliance concerns that are not enumerated in this Policy;

b. Be vigilant in detecting Red Flags; it is prohibited to “consciously avoid” or “close your eyes” to a violation or to a Red Flag;

c. Look out for Red Flags both before and during a relationship with any transaction partner; and

d. If you have information concerning a potential Red Flag, contact the General Counsel immediately.    

No Firm Personnel who in good faith provides information regarding a possible Red Flag will suffer any retaliation or adverse employment decision as a consequence of such report.

The existence of a Red Flag does not necessarily mean that a violation has occurred or will occur. However, once a Red Flag arises, Firm Personnel must report the Red Flag to the Legal Department who will oversee a reasonable inquiry into the circumstances surrounding the Red Flag. Upon request, other Firm Personnel will cooperate with and assist in the review of the Red Flag. The extent of this inquiry will depend on the facts of the particular situation and the degree of risk involved.

Red Flag Reporting

Firm Personnel are required to promptly report to the General Counsel any situations that raise anti-corruption compliance Red Flags. All Firm Personnel are expected to be alert to any Red Flags or other situations that may indicate any compliance issues. The existence of a Red Flag requires additional diligence to address potential problems before a transaction may go forward. Red Flags include (but are not limited to):

· A request for reimbursement of extraordinary, poorly documented, or last minute expenses;

· A request for payment in cash, to a numbered account, or to an account in the name of someone other than the appropriate counterparty;

· A request for payment in a country other than the one in which the transaction is taking place or counterparty is located, especially if it is a country with limited banking transparency;

· An unreasonable request (taking into consideration the circumstances of the request, including the size of payment and the timing of the request) for payment in advance or prior to an award of a contract, license, concession, or other business;

· A refusal by a party to certify that it will comply with the requirements and prohibitions of this Policy, applicable anti-corruption laws and rules;

· A refusal, if asked, to disclose owners, partners, or principals;

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· Use of shell or holding companies that obscure an entity’s ownership without credible explanation;

· As measured by local customs or standards, or under circumstances particular to the party’s environment, the party’s business seems understaffed, ill equipped, or inconveniently located to undertake its proposed relationship with the Firm;

· The party, under the circumstances, appears to have insufficient know-how or experience to provide the services the Firm needs; and

· In the case of engaging a Third Party Representative, the potential Third Party Representative:

o has an employee or a family member of an employee in a government position, particularly if the family member is or could be in a position to direct business to the Firm;

o is insolvent or has significant financial difficulties that would reasonably be expected to impact its dealings with the Firm;

o displays ignorance of or indifference to local laws and regulations;

o is unable to provide appropriate business references;

o lacks transparency in expenses and accounting records;

o is the subject of credible rumors or media reports of inappropriate payments; or

o requests payment that is disproportionate to the services provided.

Mandatory Reporting

Firm Personnel and Third Party Representatives are required to promptly report to the General Counsel or Chief Compliance Officer any instance in which they believe that they, or any other Firm Personnel or Third Party Representative may have violated this Policy. All suspected violations of this Policy, including minor violations, should be reported. For example, a failure to obtain pre-approval before giving Gifts in excess of $100 should be reported. In addition, Firm Personnel and Third Party Representatives must alert the General Counsel or Chief Compliance Officer if anyone solicits improper Gifts, payments or other inducements from them, including any request made by a Foreign Official or Domestic Official for a payment that would be prohibited under this Policy or any other actions taken to induce such a payment.

Firm Personnel may also report suspected violations of this Policy as specified in the Firm’s Whistleblower Policy.    

Books and Records

The Firm is required to maintain books and records that accurately reflect the Firm’s transactions, use of Firm assets, and other similar information. The Firm is also required to maintain the internal accounting controls necessary to maintain proper control over the Firm’s actions. The Firm should not create any undisclosed or unrecorded accounts for any purpose. False or artificial entries are not to be made in the books and records of the Firm for any reason.

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Outside Business Activities

General

The Firm discourages employees from holding outside employment, including consulting. In addition, an employee may not engage in outside employment that:

· interferes, competes, or conflicts with the interests of the Firm or gives an appearance of a conflict of interest.

o Employment in the securities brokerage industry is prohibited.

o Employees must abstain from negotiating, approving, or voting on any transaction between the Firm and any outside organization with which they are affiliated, except in the ordinary course of providing services for the Firm and on a fully disclosed basis.

· encroaches on normal working time or otherwise impairs performance,

· implies Firm sponsorship or support of an outside organization, or

· adversely reflects directly or indirectly on the Firm.

A conflict of interest may arise if an employee is engaged in an outside business activity (“OBA”) or receives any compensation for outside services that may be inconsistent with the Firm’s business interests. Examples of OBAs may include, but are not limited to, the following:

· Outside employment

· Serving in any capacity of any non-affiliated company or institution

· Accepting appointment as a fiduciary, including executor, trustee, guardian, conservator or general partner, except for the employee or immediate family for estate planning and other non-commercial and personal purposes

· Honorariums, public speaking appearances or instruction courses at educational institutions

· Providing investment advice, or any other financial services to, any person, organization or association, including any that are exclusively charitable, fraternal, religious, civic and are recognized as tax exempt

Obtaining Approval/Reporting

All employees are required to obtain pre-approval before engaging in any OBA by submitting an Outside Business Activity request through StarCompliance. The Administrator of the Code of Ethics will then coordinate the approval and reporting process.

In addition, all employees are required to submit an initial Outside Business Activity request upon their hire through StarCompliance if they have any OBA. Each employee that has disclosed an OBA must submit an updated request upon material changes to the activity or role involved. All employees will also complete the Report on Outside Business Activity annually.

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Political Activities & Contributions

Introduction

In the U.S., both federal and state laws impose restrictions on certain kinds of political contributions and activities. These laws apply not only to U.S. citizens, but also to foreign nationals and both U.S. and foreign corporations and other institutions. Accordingly, the Firm has adopted policies and procedures concerning political contributions and activities regarding federal, state, and local candidates, officials and political parties.

This policy applies to the Firm and all employees, and in some cases to affiliates, consultants, placement agents and solicitors working for the Firm. Failure to comply with these rules could result in civil or criminal penalties for the Firm and the individuals involved or loss of business for the Firm.

These policies are intended to comply with these laws and regulations and to avoid any appearance of impropriety. These policies are not intended to otherwise interfere with an individual’s right to participate in the political process. If you have any questions about political contributions or activities, contact the Administrator of the Code of Ethics.

General Rules

All persons are prohibited from making or soliciting political contributions where the purpose is to assist the Firm in obtaining or retaining business.

No employee shall apply pressure, direct or implied, on any other employee that infringes upon an individual’s right to decide whether, to whom, in what capacity, or in what amount or extent, to engage in political activities.

All persons are prohibited from doing indirectly or through another person anything prohibited by these policies and procedures or to avoid a required review for approval.

Fundraising and Soliciting Political Contributions

Firm officers, directors or other personnel may not make political solicitations under the auspices of the Firm, unless authorized in writing by the General Counsel who will maintain a copy. Use of Firm letterhead, email signature blocks, logos or other identifiers of TCW is prohibited.

Any solicitation or invitations to fundraisers by a Firm officer, director or other personnel on behalf of candidates, party committees or political committees must:

· originate from the individual’s home address,

· make clear that the solicitation is not sponsored by the Firm, and

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· make clear that the contribution is voluntary on the part of the person being solicited.

Rules Governing Firm Contributions and Activities

Federal Elections

The Firm is prohibited from:

· making or facilitating contributions to federal candidates from corporate treasury funds,

· making or facilitating contributions or donations to federal political party committees and making donations to state and local political party committees if the committees use the funds for federal election activities,

· using, or allowing the use of, corporate facilities, resources, or employees for federal political activities other than for making corporate communications to its officers, directors, stockholders, and their families, and

· making partisan communications to its “rank and file” employees or to the public at large.

Contributions to State and Local Candidates and Committees

The limitations on corporate political contributions and activities vary significantly from state to state. All Firm employees must obtain pre-clearance from the General Counsel prior to:

· using the Firm’s funds for any political contributions to state or local candidates, or

· making any political contribution in the Firm’s name.

Political Activities on Firm Premises and Using Firm Resources

Federal, State, and Local Elections

All employees are prohibited from:

· Using Firm resources for political activities, including the use of photocopier paper for political flyers, or Firm-provided refreshments at a political event, and

· directing subordinates to participate in federal, state, and/or local fundraising or other political activities, except where those subordinates have voluntarily agreed to participate in such activities. Any employee considering the use of the services of a subordinate employee (whether or not in the same reporting line) for political activities must inform the subordinate that his or her participation is strictly voluntary and that he or she may decline to participate without the risk of retaliation or any adverse job action.

Federal law and Firm policy allow an individual to engage in limited personal, volunteer political activities on company premises on behalf of a federal candidate if:

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· the individual obtains approval before the activities occur. Contact the Administrator of the Code of Ethics to request approval.

· the political activities are isolated and incidental (they may not exceed 1 hour per week or 4 hours per month),

· the activities do not prevent the individual from completing normal work or interfere with the Firm’s normal activity,

· the activities do not raise the overhead of the Firm (for example, result in phone charges, postage or delivery charges, use of Firm materials), and

· the activities do not involve services performed by other employees (including secretaries, assistants, or other subordinates) unless the other employees voluntarily engage in the political activities.

TCW follows the above policy for activities related to state and local elections.

Rules for Individuals

Responsibility for Personal Contribution Limits

Federal law and the laws of many states and localities establish contribution limits for individuals. Each employee is responsible for knowing and remaining within those limits.

Pre-Approval of all Political Contributions and Volunteer Activity

Each TCW employee, and their spouse, domestic partner and relative or significant other sharing the same house, must submit a Political Contribution Request Form to the Administrator of the Code of Ethics and obtain pre-approval before:

· making or soliciting any Contribution to a current holder or candidate for a state, local or federal elected office, or a campaign committee, political party committee, proposition, referendum, initiative, other political committee or organization (example: Republican, Democratic Governors Association or Super PAC) or inaugural committee. A Contribution includes anything of value given or paid to:

o influence any election for federal, state or local office;

o pay any debt incurred in connection with such election; or

o pay any transition or inaugural expenses incurred by the successful candidate for state or local office.

· volunteering their services to a political campaign, political party committee, proposition, referendum, initiative, political action committee (“PAC”) or political organization.

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Access Persons are required to affirm after the end of each calendar quarter that they have reported all political contributions and volunteer services they, and each of their spouse, domestic partner and relative or significant other sharing the same house, have provided during the quarter.

New Hires

TCW considers all employees to be Covered Associates. New hires may not be made without the prior review of their political contributions and activities by Compliance. Human Resources will gather information on any new hire and provide this to Compliance for review. This information shall include information about the political contributions or activities of the new hire or his/her spouses, domestic partners and relatives or significant others sharing the same house. Legal and Compliance can exempt individuals or categories of employees from this review.

Participation in Public Affairs

The Firm encourages its employees to be involved in public affairs and political processes. Normally, participation in public affairs takes place outside of regular business hours. If participation in public affairs requires corporate time, or you wish to accept an appointive office, or you want to run for elective office, contact the Administrator of the Code of Ethics in order to request approval.

You must campaign on your own time. You may not use Firm property or services without proper reimbursement to the Firm.

Employees participating in political activities do so as individuals and not as representatives of the Firm. You may not:

· use either the Firm’s name or its address in material you mail or fundraising, and

· identify the Firm in any advertisements or literature, except as necessary biographical information.

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Other Employee Conduct

Personal Loans

You may not borrow from clients or from Firm vendors or service providers, except those who engage in lending in the usual course of their business and then only on terms offered to others in similar circumstances, without special treatment. This prohibition does not preclude borrowing from individuals related to you by blood or marriage.

Taking Advantage of a Business Opportunity That Rightfully Belongs To the Firm

Employees must not take for their own advantage a business opportunity that rightfully belongs to the Firm. Whenever the Firm has been actively soliciting a business opportunity, or the opportunity has been offered to it, or the Firm’s funds, facilities, or personnel have been used in pursuing the opportunity, that opportunity rightfully belongs to the Firm and not to employees who may be in a position to divert the opportunity for their own benefits.

Examples of improperly taking advantage of a corporate opportunity include:

· selling information to which an employee has access because of his/her position,

· acquiring any property interest or right when the Firm is known to be interested in the property in question,

· receiving a commission or fee on a transaction that would otherwise accrue to the Firm, and

· diverting business or personnel from the Firm.

Disclosure of a Direct or Indirect Interest in a Transaction

If you or any family member have any interest in a transaction (whether on behalf of a client or the Firm), that interest must be disclosed, in writing, to the General Counsel or the Chief Compliance Officer to allow assessment of potential conflicts of interest.

You do not need to report any interest that is otherwise reported in accordance with the Personal Investment Transactions Policy.

Example of an interest that should be disclosed: conducting TCW business with a vendor or service provider who is related to you or for which your parent, spouse, or child is an officer should be disclosed.

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Corporate Property or Services

You may not purchase or acquire corporate property or use of the services of other employees for personal purposes. For example, you may not use inside counsel for personal legal advice absent approval from the General Counsel or use of outside counsel for that advice at the Firm’s expense.

Use of TCW Stationery

You may not use corporate stationery for personal correspondence or other non-job-related purposes.

Giving Advice to Clients

The Firm cannot practice law or provide legal advice.

· Avoid statements that might be interpreted as legal advice; and

· Avoid giving clients advice on tax matters, the preparation of tax returns, or investment decisions, except as appropriate in the performance of a fiduciary or advisory responsibility, or as otherwise required in the ordinary course of your duties.

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Confidentiality

All information relating to past, current, and prospective clients is confidential and is not to be discussed with anyone outside the organization under any circumstance. All employees and on-site long term temporary employees and consultants will be required to sign and adhere to a Confidentiality Agreement. You should report violations of the Confidentiality Agreement to the Chief Compliance Officer.

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Sanctions

The Firm may impose such sanctions it deems appropriate upon discovering a violation of this Code, including, but not limited to, an oral or written reprimand, supplemental training, a reversal of a transaction and disgorgement of profits, demotion, and suspension or termination of employment.

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Reporting Illegal or Suspicious Activity - “Whistleblower Policy”

Policy

The Firm is committed to compliance with the law and its policies in all of its operations. The Firm’s employees can provide early identification of significant issues that arise with compliance with policies and the law. The Firm’s policy is to create an environment in which its employees can report these issues in good faith without fear of reprisal.

The Firm requires that all employees report activity that is illegal or does not comply with the Firm’s policies and procedures (“Compliance Issues”), including this Code. Reports about Compliance Issues will be held confidentially by the Firm except in limited circumstances. The Firm expects the exercise of the Whistleblower Policy to be used responsibly. If an employee believes that a policy is not being followed because it is being overlooked, one first step could be to bring the issue to the attention of the party charged with the operation of the policy. If, however, you believe that a policy is not being followed and feel uncomfortable bringing it to the attention of the person involved, you may follow the other procedures set forth in this policy.

Procedure

In some cases, an employee should be able to resolve issues or concerns with their manager or, if appropriate, other management senior to their manager. However, this may fail or the employee may have legitimate reasons to choose not to notify management. In such cases, the Firm has established a system for employees to report Compliance Issues.

An employee who has a good faith belief that a Compliance Issue may occur or is occurring is required to come forward and report under this policy. “Good faith” means that the employee believes that they are disclosing information that is truthful, but it does not require that a reported concern is correct.

The report should be made to the General Counsel and may be made in person, in writing (including email) or via the whistleblower line at (213) 244-0055. The whistleblower line is only directly accessible by the General Counsel. Reports may also be made anonymously via the whistleblower line or the whistleblower drop box located in the dining room on the 21st floor of the Los Angeles office and in the Town Hall pantry in the New York office; however, the Firm encourages employees to identify themselves when making a report to facilitate follow-up communication. When making a report, employees should state in as much detail as possible the facts that raised a concern.

The General Counsel will consult with others, who may include the Chief Compliance Officer and outside counsel, about the investigation as appropriate. Depending on the nature of the matters covered by the report, an investigation may be conducted by an officer or manager, the Chief Compliance Officer, the General Counsel or an external party.

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The Firm understands the importance of maintaining confidentiality of the reporting employee. The identity of the employee making the report will be kept confidential, except to the extent that disclosure may be required by law, a governmental agency, or self-regulatory organization, or as an essential part of completing the investigation. The employee making the report will be advised if confidentiality cannot be maintained. To the extent practicable, employees will be kept apprised of the Firm’s response to their reports.

The Chief Compliance Officer will follow up to assure that the investigation is completed, that any Compliance Issue is addressed, and that no acts of retribution or retaliation occur against the person reporting violations or cooperating in an investigation in good faith.

Each quarter (or more frequently as necessary), the General Counsel will provide TCW’s Board of Directors with an update regarding the status of each report received under this policy during the preceding quarter. Employees may also contact the California Office of the Attorney General’s whistleblower hotline at (800) 952-5225. The Attorney General refers calls received on its whistleblower hotline to an appropriate governmental authority for review and possible investigation

Submitting a report that is known to be false is a violation of this Reporting of Illegal or Suspicious Activity Policy.

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Glossary

A

Access Person(s) - Includes all of the Firm’s directors, officers, and employees, except those who (i) do not devote substantially all working time to the activities of the Firm, and (ii) do not have access to information about the day-to-day investment activities of the Firm. A consultant, temporary employee, or other person may be considered an Access Person depending on various factors, including length of service, nature of duties, and access to Firm information.

Account - A separate account and/or a commingled fund (e.g., limited partnership, trust, mutual fund, REIT, and CBO/CDO/CLO).

Administrator of the Code of Ethics — Shall be a member of the Compliance Department, as designated by the Chief Compliance Officer.

Approving Officers - One of the Chief Operating Officer or the Head of Investment Technology in addition to one of the General Counsel or the Chief Compliance Officer.

B

Beneficial Interest — an interest of an Access Person in a security or account of another person under which they (i) can obtain benefits substantially equivalent to owning the security, (ii) can obtain ownership of the security immediately or within 60 days, or (iii) can vote or dispose of the security.

C

CBO - Collateralized bond obligation.

CDO - Collateralized debt obligation. A security backed by a pool of bonds, loans, and other assets.

Chief Compliance Officer - The Chief Compliance Officer of TCW. For purposes of this policy, the term Chief Compliance Officer shall include persons authorized by the Chief Compliance Officer to handle certain matters under this Code of Ethics policy.

CLO - Collateralized loan obligation.

Code of Ethics or Code - This Code of Ethics.

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Compliance Issue - activity that is illegal or does not comply with the Firm’s formal written policies and procedures

Contribution – includes anything of value given or paid to (i) influence any election for federal, state or local office, (ii) pay any debt incurred in connection with such election, or (iii) pay transition or inaugural expenses incurred by the successful candidate for state or local office.

Covered Account – Any account of an Access Person or Covered Person is a “Covered Account.” Covered Accounts include any personal trading account in which you have a beneficial interest. A non-exhaustive or a representative list of such accounts include:

– Brokerage accounts (i.e. individual, joint, trust, custodial); Individual Retirement Accounts (all types); DRIPs, profit sharing, and any other account/vehicle that have the ability to trade any non-exempt investment product.

– 401(k) and 529 Plans accounts that provide the ability to trade any non-exempt investment product.

o Please note: If the accounts hold MetWest or TCW funds, these accounts require reporting as well.

o Accounts held directly at mutual funds are exempt unless the account holds MetWest or TCW funds.

– A relative’s brokerage account for which the Access Person can effect trades, or an estate for which the Access Person makes investment decisions as executor.

– Direct investments in private funds.

Covered Person – Spouse, minor child, relative or significant other sharing a house with an Access Person, or any other person, when the Access Person has a “beneficial interest” in the person’s accounts or securities.

Covered Transaction – A transaction in a Covered Account.

D

Direct Purchase Plan - An investment service that allows individuals to purchase a security directly from a company or through a transfer agent. Not all companies offer Direct Purchase Plans and the plans often have restrictions on when an individual can purchase.

E

Entertainment - Generally means the attendance by you and your guests at a meal, sporting event, theater production, or comparable event where the expenses are paid by a business relation who invited you, and also might include payment of travel to, or accommodation expenses at, a conference or an out-of-town event.

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ETF - Exchange Traded Fund. A fund that tracks an index but can be traded like a stock.

Ethical Walls or Informational Barriers - The conscientious use of a combination of trading restrictions and information barriers designed to confine material non-public information to a given individual, group, or department.

Exchange Act - Securities Exchange Act of 1934, as amended.

Exempt Securities - Those Securities described in the subsection Exempt Securities in the Personal Investment Transactions Policy.

F

Firm or TCW - The TCW Group of companies.

Firm Personnel - All directors, officers and employees of the Firm and any persons engaged to act on behalf of the Firm, including agents, representatives, temporary agency personnel, consultants, and contract-based personnel, wherever located.

Foreign Official - Includes (i) government officials, (ii) political party leaders, (iii) candidates for office, (iv) employees of state-owned enterprises (such as state-owned banks or pension plans), and (v) relatives or agents of a Foreign Official if a payment is made to such relative or agent of a Foreign Official with the knowledge or intent that it ultimately would benefit the Foreign Official.

G

General Counsel - The General Counsel of TCW. For purposes of this policy, the term General Counsel shall include persons authorized by the General Counsel to handle certain matters under this Code of Ethics policy.

Gift - Anything of value received without paying its reasonable fair value (e.g., favors, credit, special discounts on goods or services, free services, loans of goods or money, tickets to sports or entertainment events, trips and hotel expenses). If something falls within the definition of Entertainment, it does not fall within the category of Gifts.

I

IPO - Initial public offering. An offering of securities registered under the Securities Act, the issuer of which, immediately before the registration, was not subject to the reporting requirements of Sections 13 or 15(d) of the Exchange Act.

Inside information - Material, non-public information.

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Investment Compliance - The support group for certain trading areas that, among others, checks proposed trades and open trades against investment restrictions.

Investment Personnel - Includes (i) any portfolio manager or securities analyst or securities trader who provides information or advice to a portfolio manager or who helps execute a portfolio manager’s decision, and (ii) a member of the Investment Compliance Department.

L

Limited Offering - An offering that is exempt from registration under the Securities Act pursuant to Sections 4(2) or 4(6), or pursuant to Rules 504, 505, or 506 or under the Securities Act. Note that a CBO or CDO is considered a Limited Offering or Private Placement.

Linked Broker – A broker that provides account information by automatic feed to StarCompliance.

LM-10 Information Report - Report required for reporting gifts or entertainment to labor unions or union officials.

M

Material Information - Information that a reasonable investor would consider important in making an investment decision. Generally, this is information the disclosure of which could reasonably be expected to have an effect on the price of a company’s securities.

MetWest - Metropolitan West Asset Management, LLC, a U.S.-registered investment advisor and direct subsidiary of The TCW Group, Inc.

MetWest Mutual Funds - Metropolitan West Funds, each of its series, and any other proprietary, registered, open-end investment companies (mutual funds) advised by MetWest.

N

Non-Discretionary Accounts - Accounts for which the individual does not directly or indirectly make or influence the investment decisions.

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O

Outside Fiduciary Accounts - Certain fiduciary accounts outside of the Firm for which an individual has received the Firm’s approval to act as fiduciary and that the Firm has determined qualify to be treated as Outside Fiduciary Accounts under this Code of Ethics.

P

Private Placements - An offering that is exempt from registration under the Securities Act pursuant to Sections 4(2) or 4(6), or pursuant to Rules 504, 505, or 506 or under the Securities Act. Note that a CBO or CDO is considered a Limited Offering or Private Placement.

R

REIT - Real estate investment trust.

Registered Person(s) - Any person having a securities license (e.g., Series 6, 7, 24, etc.) with TFD.

Restricted Securities List - A list of the securities for which the Firm is generally limited firm-wide from engaging in transactions.

Rule 10b5-1 Plan - A rule established by the Securities Exchange Commission (SEC) that allows insiders of publicly traded corporations to set up a trading plan for selling stocks they own. Rule 10b5-1 allows major holders to sell a predetermined number of shares at a predetermined time.

S

SEC - Securities and Exchange Commission.

Securities - Includes any interest or instrument commonly known as a security, including stocks, bonds, ETFs, shares of mutual funds, and other investment companies (including money market funds and their equivalents), options, warrants, financial commodities, a derivative linked to a specific security or other derivative products and interests in privately placed offerings and limited partnerships, including hedge funds. Does not include cryptocurrencies or digital currencies.

Securities Act - Securities Act of 1933, as amended.

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T

TAMCO - TCW Asset Management Company LLC, a U.S.-registered investment advisor and direct subsidiary of The TCW Group, Inc.

TCW or Firm - The TCW Group of companies.

TCW Advisor - Includes TAMCO, TIMCO, MetWest and any other U.S. federally registered advisors directly or indirectly controlled by The TCW Group, Inc.

TCW Funds - TCW Funds, Inc., each of its series, and any other proprietary, registered, open-end investment companies (mutual funds) advised by TIMCO

TCW Mutual Funds – Collectively, the TCW Funds, MetWest Mutual Funds, and TSI and any other registered investment company advised by TIMCO, MetWest or any other affiliate, unless otherwise indicated.

TFD or TCW Funds Distributors LLC – A limited-purpose broker-dealer (formerly, TCW Brokerage Services).

TIMCO - TCW Investment Management Company LLC, a U.S.-registered investment advisor and direct subsidiary of The TCW Group, Inc.

TSI - TCW Strategic Income Fund, Inc., a registered, closed-end investment company advised by TIMCO.

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EX-99.CERT

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, David B. Lippman, certify that:

1. I have reviewed this report on Form N-CSR of Metropolitan West Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:     June 3, 2021	/s/  David B. Lippman
	David B. Lippman, President and Principal
	Executive Officer
	(principal executive officer)

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, Richard Villa, certify that:

1. I have reviewed this report on Form N-CSR of Metropolitan West Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:     June 3, 2021	/s/  Richard Villa
	Richard Villa, Treasurer, Principal Financial
	Officer and Principal Accounting Officer
	(principal financial officer)

EX-99.906CERT

Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley

Act

I, David B. Lippman, President and Principal Executive Officer of Metropolitan West Funds (the “Registrant”), certify that, to my knowledge:

1. The periodic report on Form N-CSR of the Registrant for the period ended March 31, 2019 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:     June 3, 2021	/s/  David B. Lippman
	David B. Lippman, President and Principal
	Executive Officer
	(principal executive officer)

I, David S. DeVito, Treasurer, Principal Financial Officer and Principal Accounting Officer of Metropolitan West Funds (the “Registrant”), certify that, to my knowledge:

1. The periodic report on Form N-CSR of the Registrant for the period ended March 31, 2019 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:     June 3, 2021	/s/  Richard Villa
	Richard Villa, Treasurer, Principal Financial
	Officer and Principal Accounting Officer
	(principal financial officer)