Metropolitan West Funds

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Paper copies of the Funds’ 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 Funds’ 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.

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Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Semi-Annual Report for the Funds for the period ended September 30, 2021. As the assets of the Funds grew to $97 billion over the course of the past six months on performance gains and continuing investor sponsorship, a new strategy was added to the complex in the Opportunistic High Income Credit Fund. This new Fund will use the bottom-up value discipline characteristic of the MetWest management team to seek credit-specific opportunities extending across the quality spectrum and equity exposure as warranted. Adding this Fund represents an ongoing commitment to grow the product range in a measured approach consistent with strengths of our investment professionals.

The September 30, 2021 Semi-Annual Report covers the following Metropolitan West Funds:

Concerns about inflation monopolized headlines to start the year, leading to a significant re-pricing higher of interest rates in the opening months of 2021. Pricing pressures did ultimately manifest in the second quarter, with consecutive upside surprises for the consumer price index, though the reflation trade subsequently stalled as markets appeared to buy into the Fed’s narrative that these higher inflation prints would prove transitory. On the macroeconomic data front, though releases were generally positive to start the year (with a surge in manufacturing indices, relatively strong earnings results, and a marked improvement in consumer confidence), the sustainability of the recovery was brought into question during the summer months. The moderation of growth expectations stemmed partly from the spread of the Delta variant of the coronavirus, which held back economic activity despite accelerating inoculation progress and the avoidance of broader renewed lockdown measures. Further headwinds to economic growth came in the form of less accommodative monetary policy globally, as central banks signaled a move to reduced extraordinary pandemic-induced stimulus. At least fifteen central bank decisions came in the final week of the third quarter in response to robust recoveries and mounting inflation pressures, highlighted by the first post-crisis interest rate increase among G-10 currencies (Norway), while the Fed’s September meeting indicated that a taper announcement before the end of the year was all but certain. Amidst this environment, rates rose across all maturities in September, while equities as measured by the S&P Index fell over 4.6% for the month. For the full semi-annual period, however, the S&P 500 Index rose 9.2% and the 10-Year U.S. Treasury yield ended the period approximately 25 bps lower from the high of 1.74% hit at the end of March.

Given the decline in Treasury yields off March highs, fixed income markets delivered broadly positive total returns. The Bloomberg U.S. Aggregate Bond Index advanced 1.9% during the six-month period, outpacing duration-matched Treasuries by approximately 11 bps. This headline return was driven by investment grade corporates, which gained 3.5% and outpaced duration-matched Treasuries by 96 bps, led by sectors that benefitted from a re-opening theme such as energy and transportation. High yield fared even better, up nearly 3.7% with 290 bps of positive excess returns, driven by the lower quality cohort of CCC-rated issues, which were up 4.3%. Securitized sectors trailed corporates, though managed positive excess return with the exception of agency mortgage-backed securities (MBS). Agency MBS continued to benefit from ongoing Fed purchases, however, rate volatility as well as concerns over the prospect of Fed tapering held the sector back, resulting in nearly 60 bps of negative excess returns relative to Treasuries. Legacy non-agency MBS, on the other hand, delivered steady positive returns, recovering from early

2020 losses amid improved sentiment and ongoing improvement in the macro environment. Commercial MBS returned 1.8%, driven by non-agency backed collateral, which delivered over 100 bps of positive excess returns. Finally, asset-backed securities (ABS) rose 0.4% and performed ahead of duration-matched Treasuries by 27 bps.

The Fed, along with central banks globally, has a very difficult job ahead in trying to manage the withdrawal of fiscal and monetary stimulus, particularly as the list of “unknowns” grows. Risks include the potential for meaningful volatility due to a mistake by the Fed, higher inflation, slowing growth, the effects of elevated leverage, a change in the course of the COVID-19 virus, or myriad other factors. As such, the Fed will likely be quicker to increase accommodation rather than to reduce it, as high inflation, while painful, is a problem with some history (and a presumption to choke it off a la Volcker). Within this more vulnerable environment, valuations have been broadly unchanged with spread decompression across sectors and ratings minimal at best. Financial markets across the board are priced for perfection and, as value driven fixed income investors, experience says that perfection carries more downside than upside. All of this suggests that caution is warranted (notably so in the credit space) as the disparate indicators will ultimately need to be reconciled, a process typically accompanied by increased volatility.

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

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.

The MetWest AlphaTrak 500 Fund (“Fund”) gained 8.8% (net of fees) for the six-month reporting period ending September 30, 2021, but trailed the S&P 500 Index by 34 bps. The allocation to corporate credit provided a boost to returns as corporates delivered excess returns of 96 bps versus Treasuries on a duration-adjusted basis, while issue selection within the sector further boosted relative returns, with the biggest absolute contributions coming from banking, electric, wireless, midstream, airlines, manufacturing, pharmaceuticals, and finance companies. Away from credit, the emphasis on non-agency MBS provided a tailwind to performance as the sector continued to benefit from a solid housing backdrop and improving loan-to-value ratios. Agency MBS holdings maintained a bias for current (low) coupon issues, which benefited performance for the overall period given the Fed’s significant sponsorship, despite the sector coming under pressure toward the end of the timeframe on tapering concerns. The Fund’s emphasis on mortgage TBAs (To-Be-Announced) further contributed, owing to TBAs maintaining a higher running yield than specified pools. Producing additional gains were ABS and non-agency commercial mortgage-backed securities (CMBS), owing to strong investor demand, a relatively healthy consumer base, and ongoing improvements in fundamentals (i.e. lower delinquencies and special servicing rates), with collateralized loan obligations (CLOs) and government-guaranteed student loans leading contributions to returns in the former. Finally, the Fund’s small positive duration position detracted from returns amid the rise in front-end yields. Note that the Fund holds S&P 500 Index futures, which allows the portfolio to replicate the return of the benchmark, while the underlying fixed income portfolio generated the excess return.

Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated, and enhancing liquidity. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals, communications, and certain financials like well-capitalized banks) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy holds a small position in low coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship and money center banks. Meanwhile, a small allocation to well-structured collateralized mortgage obligations (CMOs) is maintained given relatively stable duration profiles. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 AAA-rated exposures, 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 of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. In addition, the Fund maintains a sizable allocation to government and cash bonds, despite low rates, as a buffer given the potential for equity volatility. Finally, duration positioning stands at a relatively modest 0.7 years as Treasury rates remain near historic lows.

The MetWest Corporate Bond Fund – I Class (“Fund”) gained 3.4% (net of fees) over the six-month period ending September 30, 2021, trailing the Bloomberg U.S. Corporate Index (“Index”) by approximately 10 bps. Performance was held back by the underweight to corporate credit as yield premiums declined amid improved economic data. Most notably, the underweight to top performing energy and retail sectors was a headwind. However, this was somewhat offset by issue selection within the space that rewarded relative returns. More specifically, credit holdings in the portfolio maintained a higher average yield than those in the benchmark, which benefitted relative returns, along with midstream energy and non-cyclical holdings that outpaced those in the benchmark. An off-Index position in taxable municipals was additive, given that the sector generally outperformed corporate credit. The modest allocation to securitized products had a positive impact on returns, with contributions led by non-agency backed CMBS issues. Finally, the duration profile of the portfolio has been adjusted in a disciplined manner given the evolving value proposition, but was shorter than the index for most of the period, which rewarded returns as Treasury yields rose later in the period, but was a drag in June and July when rates declined notably.

The MetWest Flexible Income Fund – I Class (“Fund”) gained 2.6% (net of fees) for the six-month period ending September 30, 2021, outpacing the Bloomberg U.S. Aggregate Bond Index (“Index”) by nearly 70 bps. Outperformance for the period was driven by issue selection among corporate and securitized issues, particularly legacy non-agency residential MBS positions (not held in the benchmark) as the sector benefitted from the ongoing strength in housing with the added bonus of being mostly floating rate amid the rise in yields later in the period, gaining more than 3% over the past six months. In the credit space, holdings in the portfolio maintained a higher average yield than those in the benchmark, which benefitted relative returns, along with favorable issue selection, with the emphasis on non-cyclicals and communications contributing as these sectors tightened, albeit by less than other areas more impacted by the pandemic. Additionally, the allocation to high yield debt provided a sizable tailwind as the sector outpaced Treasuries by 290 bps on a duration-adjusted basis. Smaller, though notable, contributions came from the allocation with ABS on CLOs, and among CMBS on private label issuance which outpaced agency CMBS for the period. Agency residential MBS, however, underperformed, led lower by current coupon issues resulting in a drag on relative performance. Finally, with rates falling during the earlier part of the period, the duration position of the Fund was trimmed in disciplined fashion, with the significant underweight to the index growing, particularly in the long-end of the curve. This position weighed on relative performance as longer Treasury yields fell.

Given prevailing conditions, the strategy is more defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by swapping into shorter-dated issues where credit curves are flat, reducing tight commodity-exposed names/sectors based upon our value discipline, and enhancing liquidity in anticipation of better entry points. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Additionally, a sizable allocation to up in quality high yield corporate credit is maintained, while avoiding the lowest quality bonds (i.e., the CCC and below rated cohort) as these are particularly vulnerable to an adverse shock as discount has largely evaporated from the marketplace. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields. Finally, overall duration positioning remains defensive given historically low yields.

The MetWest Floating Rate Income Fund – I Class (“Fund”) gained 1.9% (net of fees) for the six-month period ending September 30, 2021, but trailed the S&P/LSTA Leveraged Loan Index (“Index”) by 71 bps. As risk generally outperformed amid the ongoing recovery from March 2020 lows, a defensive posture expressed via an underweight in outperforming energy and metals & minerals hindered returns, with these industries further sustained by a surge in commodity prices toward the end of the period due to a global supply crunch. Issue selection among technology also detracted, though holdings in the consumer sectors netted a small positive contribution, notably among non-cyclicals in healthcare and beverage as these also bested the Index, with consumers largely healthy as reflected in high savings and robust spending, partially attributable to government stimulus checks. In communications, although the sector was among laggards in loans, weighed down in part by C-band auction spending for 5G investment, idiosyncratic names selected in the Fund rewarded performance. Financial holdings, meanwhile, detracted amid a flatter curve, with brokerage names particularly negative. Finally, on a quality basis, the Fund’s preference for higher rated loans was a drag against the outperformance by lower quality, illustrated by CCCs gaining 5.6% while Bs were up 2.7% for the semi-annual period.

Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within loans, the team has taken a prudent approach, de-risking exposures by moving up the quality spectrum, reducing tight commodity-exposed names/industries, swapping into shorter-dated, and enhancing liquidity. Prospective returns for the lowest rated issues (i.e., the CCC and below segments) are particularly vulnerable to an adverse shock as discount has largely evaporated from the marketplace. Against this backdrop, TCW’s value-oriented strategy will continue to approach markets with caution. The focus remains on industries that offer more stability in times of volatility (such as consumer non-cyclicals, certain communications, regional gaming, and select packaging) and on idiosyncratic opportunities where wider spreads offer more compelling value. Meanwhile, those that are asset-light and more susceptible to potential market headwinds like energy, cyclicals (e.g., retail), transportation, capital goods, and technology represent a relative underweight. In financials, allocations are based on attractive relative value, while banking is a small overweight amid the potential for a steeper curve, which benefits net interest margins. Finally, the small allocation to utilities remains an underweight, with the position emphasizing electric names. Going forward, performance in the intermediate term is likely to be less attributable to market beta and more the result of loan-specific alpha given expectations for episodic volatility, informing the continued focus on issue selection and fundamental underwriting metrics to extract value from idiosyncratic opportunities with favorable risk-adjusted potential.

The MetWest High Yield Bond Fund – I Class (“Fund”) gained 3.34% (net of fees) over the six-month reporting period ending September 30, 2021, approximately 28 bps behind the return of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap. An underweight to energy weighed on relative returns as this was the best performing sector in the Index, led higher by an over 12% gain for oil field services, while independent exploration and production (E&P) credits followed with a gain of 9.5%. The underweight to retailers and retail REITs was another drag on returns as both outperformed the Index given the continued recovery for consumer spending. Meanwhile, an overweight to trailing communications and consumer non-cyclicals (particularly pharmaceuticals) was offset by favorable issue selection within these sectors. An up-in-quality bias was a slight headwind, as the CCC-rated cohort outpaced the broader universe with a total return of 4.3% (B- and BB-rated credits followed with gains of 2.8% and 4.0%, respectively). Finally, the Fund’s duration was maintained relatively short versus the Index (from 0.4 to 0.5 years short), which weighed on performance as Treasury rates fell during the period for intermediate Treasuries.

Given prevailing conditions, the strategy is more defensively positioned, with elevated liquidity to respond to potential volatility. Within credit, the team has taken a prudent approach, enhancing quality and de-risking where possible. 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. The percent of high yield bonds trading at distressed valuations (spreads wide of 1,000 bps) has collapsed to 1.2%, with less than ten discrete bonds trading at a price below $70. Against this backdrop, TCW’s value-oriented strategy will continue to approach markets prospectively with caution given expectations for episodic volatility. A prevailing view from the team is that there will be additional opportunities to expand the risk budget at more attractive entry points. Until such time, 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 (e.g., communications and consumer non-cyclicals) while financials, energy, retail and technology credits represent relative underweights. Given expectations for further 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 0.4 years shorter than the benchmark as Treasury rates remain near historic lows.

The MetWest Intermediate Bond Fund – I Class (“Fund”) gained 0.88% (net of fees) for the six-month period ending September 30, 2021, trailing the Bloomberg Intermediate U.S. Government/Credit Index (“Index”) by 12 bps. Returns benefitted from issue selection among corporate and residential MBS. More specifically, legacy non-agency residential MBS positions (not held in the benchmark) boosted performance as the sector benefitted from the ongoing strength in housing with the added bonus of being

mostly floating rate amid the rise in yields later in the period, gaining more than 3% for the period. Agency residential MBS, however, underperformed for the period, led lower by current coupon issues resulting in a drag on relative performance. While the underweight to corporate credit also resulted in a small drag as yield premiums declined amid improved economic data, issue selection within the space rewarded relative returns with credit holdings in the portfolio maintaining a higher average yield than those in the benchmark. Finally, the duration profile of the Fund has been adjusted in a disciplined manner given the evolving value proposition, but was shorter than the Index for most of the period, which rewarded returns as Treasury yields rose later in the period.

Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the quarter approximately 0.4 years shorter than the Index.

The MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 1.66% (net of fees) over the six-month period ending September 30, 2021, outpacing the Bloomberg U.S. Intermediate Credit Index (“Index”) by 3 bps. The Fund’s more defensive posture with an underweight to corporate credit detracted from relative returns as intermediate corporates outpaced Treasuries by approximately 90 bps and saw yield premiums grind lower, particularly for COVID-19-sensitive segments of industrials like lodging and energy. Nevertheless, issue selection helped to somewhat offset this drag, with the emphasis on non-cyclicals and communications contributing as these sectors tightened, albeit by less than other areas more impacted by the pandemic. Meanwhile, the off-Index allocation to securitized products was the largest driver of returns. In particular, the Fund’s CMBS holdings fared well during the period, led by contributions from non-agency backed issues which outpaced Treasuries by over 100 bps on a duration-adjusted basis, and the position was trimmed on strength. Meanwhile, the allocation to residential agency MBS was a modest headwind to returns as the sector underperformed for the period, led lower by current coupon issues. Finally, the duration profile of the Fund has been adjusted in a disciplined manner given the evolving value proposition, but was shorter than the Index for most of the period, which rewarded returns as Treasury yields rose later in the period, but was a drag in June and July when rates declined notably.

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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the period approximately 0.5 years shorter than the Index.

The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 0.7% (net of fees) over the six-month reporting period as of September 30, 2021, outpacing the ICE BofA 1-3 Year U.S. Treasury Index by 70 bps. The allocation to corporate credit provided a boost to returns as short corporates outpaced Treasuries by 36 bps on a duration-adjusted basis, while issue selection within the sector further boosted relative returns, with the biggest absolute contributions coming from banking, healthcare, midstream, finance companies, and communications. Meanwhile, a notable gain derived from a modest allocation to bank loans, which performed well given higher inflation expectations. Away from credit, the emphasis on non-agency MBS provided a tailwind to performance as the sector continued to benefit from a solid housing backdrop and improving loan-to-value ratios. Agency MBS holdings maintained a bias for current (low) coupon issues, which benefited performance for the overall period given the Fed’s significant sponsorship, despite the sector coming under pressure toward the end of the timeframe on tapering concerns. The Fund’s emphasis on mortgage TBAs further contributed, owing to TBAs maintaining a higher running yield than specified pools. Producing additional gains were ABS and non-agency CMBS, owing to strong investor demand, a relatively healthy consumer base, and ongoing improvements in fundamentals (i.e., lower delinquencies and special servicing rates), with CLOs leading contributions to returns in the former. Finally, the duration profile of the Fund was adjusted in a disciplined manner based on evolving value propositions but remained shorter than that of the Index overall, which resulted in a small contribution as short yields ended higher for the specified period.

Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated, and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 CLOs, with possible additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the quarter approximately 0.3 years shorter than the Index.

Following its launch date of August 2, 2021, the MetWest Opportunistic High Income Fund – I Class (“Fund”) returned 2.47% (net of fees), ahead of the 0.89% gain delivered by the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap over the same period. Given a broad selection set including equities, bank loans, corporate and securitized credit, the Fund performance benefitted from weightings to legacy non-agency residential mortgage-backed securities, as well as commercial mortgage-backed securities. In addition, selections in the Pharmaceutical, Communications, Entertainment and Energy industries provided good incremental return contributions.

Strategically, the Fund will tend to position for good value opportunities with a higher yield profile. With a view that general valuation levels across risk markets skew to the richer end, the search for idiosyncratic securities and themes will guide the approach. Presently, just under a quarter of the holdings are allocated to residential and commercial MBS, with just 10% of Fund NAV allocated to each of equities and bank loans. Expectations are that these exposures can vary substantially as value perspectives shift in the market and present yield opportunities at attractive risk-adjusted yields.

The MetWest Strategic Income Fund – I Class (“Fund”) gained 1.50% (net of fees) for the six-month period ending September 30, 2021, outpacing the ICE BofA U.S. 3-Month U.S. Treasury Bill Index Plus 200 bps by over 60 bps. Returns were boosted by spread sector exposure, led by securitized products. In particular, non-agency MBS holdings provided a tailwind to performance as the sector continued to benefit from a solid housing backdrop and improving loan-to-value ratios. Smaller, though still meaningful, contributions came from ABS and CMBS exposures, owing to strong investor demand, a relatively healthy consumer base, and ongoing improvements in fundamentals (i.e. lower delinquencies and special servicing rates), with CLOs and government-guaranteed student loans leading contributions to returns in the former. The agency MBS allocation was challenged during the period in light of tapering concerns, and the sector posted negative excess returns – though a focus on TBAs offset this drag. Meanwhile, the allocation to corporate credit was additive, as the sector delivered excess returns of 96 bps versus Treasuries on a duration-adjusted basis. Notably, favorable issue selection within the sector further boosted relative returns, with the biggest absolute contributions coming from banking, midstream energy, consumer non-cyclicals, and communications names. Finally, the duration position was adjusted in a disciplined manner against a backdrop of rate volatility from 2.4 years at March month-end to close the period at 1.9 years, a position which boosted performance as rates fell for intermediate and longer maturities, with the 10-Year yield over 25 bps lower from the end of March.

curves are flat), and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the strategy will seek to add new exposure at favorable valuations. The strategy also maintains a position in agency MBS, with a focus on 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. 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the period at approximately 1.9 years.

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

The MetWest Total Return Bond Fund – I Class (“Fund”) returned 1.9% (net of fees) for the six-month period ending September 30, 2021, outpacing the Bloomberg U.S. Aggregate Bond Index (“Index”) by 5 bps. Outperformance for the period was driven by issue selection among corporate and residential MBS. More specifically, legacy non-agency residential MBS positions (not held in the benchmark) boosted performance as the sector benefitted from the ongoing strength in housing with the added bonus of being mostly floating rate amid the rise in yields later in the period, gaining more than 3% for the period. Agency residential MBS, however, underperformed for the period, led lower by current coupon issues resulting in a drag on relative performance. While the underweight to corporate credit also resulted in a small drag as yield premiums declined amid improved economic data, issue selection within the space rewarded relative returns. More specifically, credit holdings in the portfolio maintained a higher average yield than those in the benchmark, which benefitted relative returns, along with energy and non-cyclical holdings that outpaced those in the benchmark. Additionally, the small position in high yield corporates contributed as the sector outpaced Treasuries by 290 bps on a duration-adjusted basis. Finally, the duration profile of the Fund has been adjusted in a disciplined manner given the evolving value proposition, but was shorter than the Index for most of the period, which rewarded returns as Treasury yields rose later in the period, but was a drag in June and July when rates declined notably.

Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the quarter approximately 0.4 years shorter than the Index.

The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 0.3% (net of fees) over the six-month period ending September 30, 2021, ahead of the ICE BofA 1-Year U.S. Treasury Index (“Index”) by 29 bps. The allocation to corporate credit benefited returns as short corporates outpaced Treasuries by 36 bps on a duration-adjusted basis, while issue selection within the sector further added to relative returns, with the biggest absolute contributions coming from banking, healthcare, wirelines, pharmaceuticals, and midstream. In securitized, the Fund’s off-Index exposure to non-agency MBS provided a tailwind to performance as the sector continued to benefit from a solid housing backdrop and improving loan-to-value ratios. Agency MBS holdings maintained a bias for current (low) coupon issues, which benefited performance for the overall period given the Fed’s significant sponsorship, despite the sector coming under pressure toward the end of the timeframe on tapering concerns. The Fund’s emphasis on mortgage TBAs further contributed, owing to TBAs maintaining a higher running yield than specified pools. Producing additional gains, meanwhile, were ABS and non-agency CMBS, owing to strong investor demand, a relatively healthy consumer base, and ongoing improvements in fundamentals (i.e. lower delinquencies and special servicing rates), with CLOs leading contributions to returns in the former. Finally, the duration profile of the Fund was adjusted in a disciplined manner based on evolving value propositions but remained shorter than that of the Index overall, which resulted in a small contribution as short yields ended higher for the specified period.

Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated, and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and certain financials like well-capitalized banks) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship and money center banks. Meanwhile, a modest allocation to well-structured CMOs is maintained given relatively stable duration profiles. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 AAA-rated exposures, 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 of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes single family rental and government-guaranteed FFELP student loans. Finally, the Fund’s overall duration positioning remains defensive given historically low yields, with the strategy ending the quarter nearly 0.4 years shorter than the Index.

The MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 1.49% (net of fees) for the six-month period ending September 30, 2021, outpacing the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index by over 140 bps. Returns were boosted by spread sector exposure, most notably securitized products. In particular, non-agency MBS holdings fared well during the period, as a strong fundamental backdrop of housing strength (i.e., robust demand and scarce inventory) and improving borrower profiles supported the sector. Smaller, though still meaningful, contributions came from CMBS and ABS exposures, while agency MBS had limited impact on performance during the period. Within the credit allocation, investment grade credit was additive, with favorable issue selection among consumer non-cyclicals, energy, and communications names. The small allocation to high yield corporates was also beneficial, as it was one of the best performing fixed income sectors with a 3.7% return and roughly 290 bps of positive excess return over Treasuries. Finally, the duration position was adjusted in a disciplined manner against a backdrop of rate volatility and ended the period at 1.9 years, a position which boosted performance as rates fell for intermediate and longer maturities, with the 10-Year yield over 25 bps lower from the end of March.

Given prevailing conditions, the strategy remains defensively positioned, with ample levels of liquidity to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum (given tight A/BBB relationships), reducing tight commodity-exposed names/sectors, swapping into shorter-dated maturities (where curves are flat), and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the strategy will seek to add new exposure at favorable valuations. The strategy also maintains a position in agency MBS, with a focus on 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. 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the period at approximately 1.9 years.

As we think about the environment of the past 18 months and the economic and market conditions that have followed, it’s clear that it has been a period without precedent. Despite that, the practice of disciplined investment and rewards to such consistency also remain evident. Our commitment to that steady approach remains unflinching as we seek to deliver the best reward for the risk we can to our investors.

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.

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 October 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.

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

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

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

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

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

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



ALPHATRAK 500 FUND

Sector Diversification

Corporate Bonds			24.18%

Mutual Funds			23.49%

Asset-Backed Securities			14.80%

Non-Agency Commercial Mortgage-Backed			9.80%

U.S. Treasury Securities			4.96%

U.S. Agency Discount Notes			4.39%

U.S. Agency Commercial Mortgage-Backed			3.41%

U.S. Treasury Bills			3.30%

Non-Agency Mortgage-Backed			2.81%

U.S. Agency Mortgage-Backed			2.80%

Municipal Bonds			1.70%

Money Market Funds			0.16%

Other*			4.20%

Total			100.00%



CORPORATE BOND FUND

Sector Diversification

Corporate Bonds			82.84%

U.S. Treasury Securities			8.64%

Money Market Funds			2.79%

Municipal Bonds			2.35%

Non-Agency Commercial Mortgage-Backed			0.47%

Asset-Backed Securities			0.29%

U.S. Agency Commercial Mortgage-Backed			0.27%

U.S. Agency Mortgage-Backed			0.15%

Other*			2.20%

Total			100.00%



FLEXIBLE INCOME FUND

Sector Diversification

Corporate Bonds			28.44%

Asset-Backed Securities			18.61%

Non-Agency Mortgage-Backed			17.72%

U.S. Agency Mortgage-Backed			14.10%

Non-Agency Commercial Mortgage-Backed			13.98%

Bank Loans			8.83%

U.S. Agency Commercial Mortgage-Backed			3.40%

Foreign Government Obligations			2.37%

U.S. Treasury Bills			1.12%

U.S. Treasury Securities			1.02%

Money Market Funds			0.61%

Municipal Bonds			0.48%

Common Stock			0.22%

Warrant			0.05%

Other*			(10.95)%

Total			100.00%



FLOATING RATE INCOME FUND

Sector Diversification

Bank Loans			86.64%

Corporate Bonds			6.91%

U.S. Treasury Bills			5.28%

Money Market Funds			4.11%

Warrant			0.03%

Other*			(2.97)%

Total			100.00%



HIGH YIELD BOND FUND

Sector Diversification

Corporate Bonds			73.89%

Bank Loans			18.20%

U.S. Treasury Bills			3.05%

Money Market Funds			2.23%

Common Stock			0.32%

Warrant			0.02%

Other*			2.29%

Total			100.00%



INTERMEDIATE BOND FUND

Sector Diversification

U.S. Treasury Securities			53.44%

Corporate Bonds			25.51%

Asset-Backed Securities			9.68%

U.S. Agency Mortgage-Backed			8.39%

Non-Agency Commercial Mortgage-Backed			2.32%

Non-Agency Mortgage-Backed			2.04%

Bank Loans			1.07%

Municipal Bonds			0.78%

Purchased Options			0.03%

Money Market Funds			0.01%

U.S. Agency Commercial Mortgage-Backed			0.01%

Common Stock			0.00%

Written Options			(0.02)%

Other*			(3.26)%

Total			100.00%



INVESTMENT GRADE CREDIT FUND
Sector Diversification

Corporate Bonds			57.55%

U.S. Treasury Securities			22.73%

U.S. Agency Mortgage-Backed			5.53%

Asset-Backed Securities			5.29%

Non-Agency Commercial Mortgage-Backed			5.03%

Non-Agency Mortgage-Backed			2.69%

Municipal Bonds			2.17%

U.S. Agency Commercial Mortgage-Backed			1.08%

Money Market Funds			0.10%

Other*			(2.17)%

Total			100.00%


LOW DURATION BOND FUND
Sector Diversification

Corporate Bonds			28.94%

U.S. Treasury Securities			27.04%

Asset-Backed Securities			16.93%

U.S. Agency Mortgage-Backed			15.34%

Non-Agency Commercial Mortgage-Backed			12.14%

U.S. Agency Commercial Mortgage-Backed			5.92%

U.S. Treasury Bills			4.33%

Non-Agency Mortgage-Backed			3.14%

Bank Loans			1.11%

U.S. Agency Discount Notes			0.94%

Municipal Bonds			0.93%

Money Market Funds			0.64%

Purchased Options			0.03%

Common Stock			0.00%

Purchased Swaptions			0.00%

Written Swaptions			0.00%

Written Options			(0.02)%

Other*			(17.41)%

Total			100.00%


OPPORTUNISTIC HIGH INCOME CREDIT FUND
Sector Diversification

Corporate Bonds			47.52%

U.S. Treasury Bills			15.29%

Common Stock			11.07%

Bank Loans			10.88%

Non-Agency Mortgage-Backed			8.29%

Non-Agency Commercial Mortgage-Backed			6.60%

Money Market Funds			4.42%

U.S. Agency Commercial Mortgage-Backed			2.72%

Master Limited Partnerships			2.39%

Other*			(9.18)%

Total			100.00%



STRATEGIC INCOME FUND
Sector Diversification

Asset-Backed Securities			29.53%

Corporate Bonds			27.98%

Non-Agency Commercial Mortgage-Backed			11.75%

Non-Agency Mortgage-Backed			8.12%

U.S. Agency Mortgage-Backed			6.77%

U.S. Agency Commercial Mortgage-Backed			6.20%

U.S. Treasury Bills			5.86%

U.S. Agency Discount Notes			3.26%

Municipal Bonds			0.47%

Common Stock			0.23%

Money Market Funds			0.12%

Other*			(0.29)%

Total			100.00%


TOTAL RETURN BOND FUND
Sector Diversification

U.S. Treasury Securities			39.58%

U.S. Agency Mortgage-Backed			32.26%

Corporate Bonds			23.57%

Asset-Backed Securities			5.62%

U.S. Treasury Bills			4.88%

Non-Agency Mortgage-Backed			4.64%

U.S. Agency Discount Notes			3.80%

Money Market Funds			2.28%

Non-Agency Commercial Mortgage-Backed			1.72%

Bank Loans			1.60%

Foreign Government Obligations			0.97%

Repurchase Agreements			0.85%

Municipal Bonds			0.62%

Purchased Options			0.03%

Purchased Swaptions			0.01%

Common Stock			0.00%

U.S. Agency Commercial Mortgage-Backed			0.00%

Written Options			(0.01)%

Other*			(22.42)%

Total			100.00%


ULTRA SHORT BOND FUND
Sector Diversification

U.S. Treasury Securities			24.06%

Corporate Bonds			22.48%

U.S. Treasury Bills			17.98%

U.S. Agency Mortgage-Backed			15.11%

Asset-Backed Securities			11.43%

Non-Agency Commercial Mortgage-Backed			7.70%

Money Market Funds			3.81%

U.S. Agency Commercial Mortgage-Backed			2.27%

Non-Agency Mortgage-Backed			1.34%

Municipal Bonds			0.72%

Purchased Options			0.03%

Written Options			(0.02)%

Other*			(6.91)%

Total			100.00%

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.

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 64.46%

ASSET-BACKED SECURITIES — 14.80%**

Access Group, Inc.,

Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.70%)

0.79%

07/25/56

^1,2

12,739

12,717

Aimco CLO 11 Ltd.,

Series 2020-11A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.38%)

1.51%

10/15/31

^1,2,3

100,000

100,015

AMMC CLO 23 Ltd.,

Series 2020-23A, Class A1L

(Cayman Islands)

(LIBOR USD 3-Month plus 1.40%)

1.53%

10/17/31

^1,2,3

85,000

85,020

Arbor Realty Commercial Real Estate Notes Ltd.,

Series 2019-FL1, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.15%)

1.23%

05/15/37

^1,2,3

170,000

170,178

Asset-Backed Funding Certificates,

Series 2006-OPT1, Class A2

(LIBOR USD 1-Month plus 0.28%)

0.37%

09/25/36

11,700

11,650

Barings CLO Ltd.,

Series 2013-IA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

0.93%

01/20/28

^1,2,3

64,358

64,321

Barings CLO Ltd.,

Series 2018-3A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

1.08%

07/20/29

^1,2,3

85,000

85,030

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

0.64%

01/25/35

^1,2

8,747

8,654

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

1.33%

02/25/35

215,000

218,843

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

0.93%

02/25/30

202,221

203,070

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.27%)

1.40%

10/25/32

^1,2,3

80,000

80,015

Centex Home Equity Loan Trust,

Series 2005-B, Class M2

(LIBOR USD 1-Month plus 0.65%)

0.73%

03/25/35

181,946

181,216

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Centex Home Equity Loan Trust,

Series 2005-D, Class M4

(LIBOR USD 1-Month plus 0.92%)

1.00%

10/25/35

182,000

182,758

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-HE4, Class M2

(LIBOR USD 1-Month plus 0.68%)

0.76%

10/25/35

259,850

257,559

CLNC Ltd.,

Series 2019-FL1, Class A

(Cayman Islands)

(SOFR30A plus 1.36%)

1.41%

08/20/35

^1,2,3

240,000

240,490

Countrywide Asset-Backed Certificates Trust,

Series 2007-13, Class 2A1

(LIBOR USD 1-Month plus 0.90%)

0.99%

10/25/47

77,318

77,539

Credit-Based Asset Servicing and Securitization LLC,

Series 2003-CB1, Class AF (STEP-reset date 11/25/21)

3.95%

01/25/33

9,361

9,530

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

1.03%

04/15/29

^1,2,3

49,194

Eaton Vance CLO Ltd.,

Series 2020-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

1.25%

10/15/34

^1,2,3

150,000

150,103

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

0.78%

04/25/35

2,199

2,189

Educational Funding of the South, Inc.,

Series 2012-1, Class A

(LIBOR USD 1-Month plus 1.05%)

1.14%

03/25/36

24,627

24,776

First Franklin Mortgage Loan Trust,

Series 2006-FF4, Class A3

(LIBOR USD 1-Month plus 0.56%)

0.65%

03/25/36

54,363

53,247

Ford Credit Floorplan Master Owner Trust A,

Series 2019-3, Class A1

2.23%

09/15/24

250,000

254,684

GoldenTree Loan Management U.S. CLO 8 Ltd.,

Series 2020-8A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

1.24%

10/20/34

^1,2,3

140,000

140,096

Grand Avenue CRE,

Series 2019-FL1, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.12%)

1.20%

06/15/37

^1,2,3

50,879

50,864

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

1.18%

05/25/34

^1,2

101,791

102,213

Home Partners of America Trust,

Series 2017-1, Class B

(LIBOR USD 1-Month plus 1.35%)

1.43%

07/17/34

^1,2

113,000

113,017

HSI Asset Securitization Corp. Trust,

Series 2007-WF1, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

0.25%

05/25/37

84,528

83,964

Invitation Homes Trust,

Series 2018-SFR2, Class B

(LIBOR USD 1-Month plus 1.08%)

1.16%

06/17/37

^1,2

99,984

99,997

JPMorgan Mortgage Acquisition Trust,

Series 2005-WMC1, Class M3

(LIBOR USD 1-Month plus 0.71%)

0.79%

09/25/35

254,215

252,438

LCM 29 Ltd.,

Series 29A, Class XR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

0.93%

04/15/31

^1,2,3

125,000

125,062

LCM XIII LP,

Series 13A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.27%

07/19/27

^1,2,3

80,000

79,995

Legacy Mortgage Asset Trust,

Series 2019-GS1, Class A1 (STEP-reset

date 10/25/21)

4.00%

01/25/59

86,018

86,203

LoanCore Issuer Ltd.,

Series 2019-CRE2, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.13%)

1.21%

05/15/36

^1,2,3

112,042

112,112

Long Beach Mortgage Loan Trust,

Series 2004-4, Class 1A1

(LIBOR USD 1-Month plus 0.56%)

0.65%

10/25/34

100,360

96,617

MF1 Ltd.,

Series 2020-FL4, Class A

(SOFR30A plus 1.81%)

1.86%

11/15/35

^1,2

220,000

221,774

Navient Student Loan Trust,

Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.51%)

0.60%

06/25/31

90,654

88,993

Navient Student Loan Trust,

Series 2017-2A, Class A

(LIBOR USD 1-Month plus 1.05%)

1.14%

12/27/66

^1,2

67,908

68,960

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Navient Student Loan Trust,

Series 2017-4A, Class A2

(LIBOR USD 1-Month plus 0.50%)

0.59%

09/27/66

^1,2

52,302

52,382

Nelnet Student Loan Trust,

Series 2014-3A, Class A

(LIBOR USD 1-Month plus 0.58%)

0.67%

06/25/41

^1,2

14,276

14,409

North Carolina State Education Authority,

Series 2011-1, Class A3

(LIBOR USD 3-Month plus 0.90%)

1.08%

10/25/41

9,086

9,115

NYACK Park CLO Ltd.,

Series 2021-1A, Class X

(Cayman Islands)

(LIBOR USD 3-Month plus 0.65%)

0.00%

10/20/34

^1,2,3

120,000

120,060

OCP CLO Ltd.,

Series 2017-14A, Class A1A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

1.28%

11/20/30

^1,2,3

85,000

85,035

OHA Credit Funding 7 Ltd.,

Series 2020-7A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

1.38%

10/19/32

^1,2,3

80,000

80,012

Option One Mortgage Loan Trust,

Series 2006-1, Class 1A1

(LIBOR USD 1-Month plus 0.44%)

0.53%

01/25/36

60,543

60,526

Palmer Square CLO Ltd.,

Series 2014-1A, Class A1R2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

1.26%

01/17/31

^1,2,3

85,000

85,014

Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,

Series 2005-WCW3, Class M1

(LIBOR USD 1-Month plus 0.72%)

0.81%

08/25/35

57,707

58,525

PHEAA Student Loan Trust,

Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.15%)

1.24%

09/25/65

^1,2

60,519

61,543

Progress Residential Trust,

Series 2019-SFR4, Class A

2.69%

10/17/36

100,000

101,264

Residential Asset Mortgage Products Trust,

Series 2005-RZ3, Class M3

(LIBOR USD 1-Month plus 0.55%)

0.91%

09/25/35

21,470

21,488

Residential Asset Mortgage Products Trust,

Series 2006-NC3, Class M1

(LIBOR USD 1-Month plus 0.34%)

0.60%

03/25/36

100,000

95,940

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Residential Asset Securities Corp.,

Series 2005-AHL2, Class M1

(LIBOR USD 1-Month plus 0.63%)

0.72%

10/25/35

107,903

107,880

Rockford Tower CLO Ltd.,

Series 2017-3A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

1.32%

10/20/30

^1,2,3

130,000

130,015

SLM Student Loan Trust,

Series 2003-10A, Class A3

(LIBOR USD 3-Month plus 0.47%)

0.59%

12/15/27

^1,2

14,686

14,690

SLM Student Loan Trust,

Series 2003-11, Class A6

(LIBOR USD 3-Month plus 0.55%)

0.67%

12/15/25

^1,2

24,541

24,545

SLM Student Loan Trust,

Series 2004-1, Class A4

(LIBOR USD 3-Month plus 0.26%)

0.39%

10/27/25

33,660

33,615

SLM Student Loan Trust,

Series 2005-4, Class A3

(LIBOR USD 3-Month plus 0.12%)

0.25%

01/25/27

50,809

50,706

SLM Student Loan Trust,

Series 2005-5, Class A4

(LIBOR USD 3-Month plus 0.14%)

0.27%

10/25/28

103,037

102,630

SLM Student Loan Trust,

Series 2005-7, Class A4

(LIBOR USD 3-Month plus 0.15%)

0.28%

10/25/29

250,393

249,499

SLM Student Loan Trust,

Series 2005-8, Class A4

(LIBOR USD 3-Month plus 0.55%)

0.68%

01/25/28

2,602

SLM Student Loan Trust,

Series 2008-5, Class A4

(LIBOR USD 3-Month plus 1.70%)

1.83%

07/25/23

104,665

105,704

SLM Student Loan Trust,

Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

1.23%

07/25/23

147,611

148,439

SLM Student Loan Trust,

Series 2008-9, Class A

(LIBOR USD 3-Month plus 1.50%)

1.63%

04/25/23

39,228

39,504

SLM Student Loan Trust,

Series 2011-2, Class A1

(LIBOR USD 1-Month plus 0.60%)

0.69%

11/25/27

455

SLM Student Loan Trust,

Series 2012-1, Class A3

(LIBOR USD 1-Month plus 0.95%)

1.04%

09/25/28

147,983

146,772



Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
0.79%		01/25/29	²	$	85,649	$	84,336
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
0.64%		06/25/43	²		5,906		5,877
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^1,4,5		1,717,237		22,235
Toyota Auto Receivables Owner Trust,
Series 2018-B, Class A4
3.11%		11/15/23			270,000		273,118
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2005-4, Class M3
(LIBOR USD 1-Month plus 0.75%)
0.84%		12/25/35	²		100,000		97,874

Total Asset-Backed Securities
(Cost $6,742,124)							6,730,912


CORPORATES — 24.18%*

Banking — 6.29%
Bank of America Corp.
3.00%		12/20/23	⁶		91,000		93,803
Bank of America Corp.
(MTN)
3.46%		03/15/25	⁶		550,000		585,401
Credit Suisse Group AG
(Switzerland)
2.59%		09/11/25	^1,3,6		80,000		82,890
Discover Bank
(BKNT)
4.20%		08/08/23			125,000		133,413
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,6		200,000		200,124
HSBC Holdings PLC
(United Kingdom)
0.73%		08/17/24	^3,6		225,000		225,193
(LIBOR USD 3-Month plus 1.00%)
1.12%		05/18/24	^2,3		85,000		85,972
JPMorgan Chase & Co.
0.77%		08/09/25	⁶		110,000		109,584
0.97%		06/23/25	⁶		50,000		50,069
3.21%		04/01/23	⁶		200,000		202,812
4.02%		12/05/24	⁶		290,000		310,668
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,6		200,000		205,056
3.87%		07/09/25	^3,6		60,000		64,709
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	^1,3,6		70,000		69,420
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,6		105,000		113,327



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
4.52%		06/25/24	^3,6	$	45,000	$	47,910
Santander UK Group Holdings PLC
(United Kingdom)
4.80%		11/15/24	^3,6		75,000		81,219
UBS AG
(Switzerland)
0.70%		08/09/24	^1,3		200,000		199,569

							2,861,139


Communications — 1.99%
AT&T, Inc.
(LIBOR USD 3-Month plus 1.18%)
1.29%		06/12/24	²		175,000		179,466
Charter Communications Operating LLC/Charter Communications Operating Capital
(LIBOR USD 3-Month plus 1.65%)
1.78%		02/01/24	²		125,000		128,582
Intelsat Jackson Holdings SA
(Luxembourg)
8.50%		10/15/24	^1,3,7,8		20,000		11,600
9.75%		07/15/25	^1,3,7,8		61,000		34,406
Qwest Corp.
7.25%		09/15/25			100,000		119,142
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%		03/20/25	¹		118,125		126,305
5.15%		03/20/28	¹		50,000		57,203
T-Mobile USA, Inc.
2.25%		02/15/26			113,000		114,416
2.63%		04/15/26			124,000		126,862
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%		05/15/29	^1,3		5,000		5,276

							903,258


Consumer Discretionary — 0.80%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		100,000		110,260
Hyatt Hotels Corp.
1.30%		10/01/23			140,000		140,198
Imperial Brands Finance PLC
(United Kingdom)
3.75%		07/21/22	^1,3		110,000		112,188

							362,646


Electric — 1.06%
Alliant Energy Finance LLC
3.75%		06/15/23	¹		140,000		146,830
Dominion Energy, Inc.,
Series B
2.75%		09/15/22			150,000		152,637
El Paso Electric Co.
3.30%		12/15/22			50,000		51,258



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
FirstEnergy Transmission LLC
2.87%		09/15/28	¹	$	128,000	$	133,718

							484,443


Energy — 0.82%
Antero Resources Corp.
8.38%		07/15/26	¹		9,000		10,240
Energy Transfer LP
4.25%		04/01/24			150,000		160,634
5.50%		06/01/27			12,000		14,087
Occidental Petroleum Corp.
0.00%		10/10/36	⁹		25,000		13,813
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			125,000		138,721
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^1,3		11,550		11,795
Transocean Pontus Ltd.
(Cayman Islands)
6.13%		08/01/25	^1,3		4,020		4,033
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^1,3		18,000		17,938
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^1,3		2,200		2,210

							373,471


Finance — 5.74%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
4.45%		12/16/21	³		150,000		150,712
Air Lease Corp.
2.25%		01/15/23			75,000		76,655
3.50%		01/15/22			65,000		65,564
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		5,000		4,922
Citigroup, Inc.
2.88%		07/24/23	⁶		225,000		229,397
3.35%		04/24/25	⁶		290,000		308,095
(LIBOR USD 3-Month plus 0.95%)
1.08%		07/24/23	²		30,000		30,191
Daimler Finance North America LLC
1.75%		03/10/23	¹		75,000		76,378
(LIBOR USD 3-Month plus 0.90%)
1.02%		02/15/22	^1,2		150,000		150,481
Ford Motor Credit Co. LLC
3.81%		10/12/21			35,000		35,061
General Motors Financial Co., Inc.
4.20%		11/06/21			60,000		60,204
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	⁶		170,000		170,349
3.27%		09/29/25	⁶		40,000		42,784



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Goldman Sachs Group, Inc. (The)
(MTN)
(LIBOR USD 3-Month plus 1.60%)
1.72%		11/29/23	²	$	75,000	$	77,160
Goldman Sachs Group, Inc. (The),
Series FXD
0.48%		01/27/23			275,000		275,045
Morgan Stanley
(MTN)
0.53%		01/25/24	⁶		150,000		150,109
2.72%		07/22/25	⁶		400,000		419,121
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^1,3,6		90,000		91,573
4.36%		08/01/24	^1,3,6		75,000		79,844
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		110,000		114,970

							2,608,615


Food — 0.26%
Smithfield Foods, Inc.
3.35%		02/01/22	¹		115,000		116,107


Health Care — 2.47%
AbbVie, Inc.
3.45%		03/15/22			50,000		50,449
3.75%		11/14/23			125,000		133,209
Bayer U.S. Finance II LLC
2.20%		07/15/22	¹		150,000		151,594
Catalent Pharma Solutions, Inc.
3.50%		04/01/30	¹		14,000		13,983
Dignity Health
3.13%		11/01/22			50,000		51,392
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3		21,000		15,172
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	¹		100,000		101,748
Fresenius U.S. Finance II, Inc.
4.50%		01/15/23	¹		75,000		77,990
HCA, Inc.
5.00%		03/15/24			75,000		82,314
Humana, Inc.
0.65%		08/03/23			85,000		85,058
3.85%		10/01/24			130,000		140,734
Mozart Debt Merger Sub, Inc.
3.88%		04/01/29	¹		32,000		32,000
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/23	³		85,000		85,271
Viatris, Inc.
1.13%		06/22/22	¹		100,000		100,542

							1,121,456



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials — 0.95%
Artera Services LLC
9.03%		12/04/25	¹	$	9,000	$	9,774
Berry Global, Inc.
0.95%		02/15/24	¹		110,000		110,169
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.50%		05/05/26	²		30,000		29,710
(LIBOR USD 3-Month plus 0.48%)
0.60%		08/15/36	²		75,000		65,473
General Electric Co.,
Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
1.13%		04/15/23	²		50,000		50,414
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	¹		5,000		5,050
Sealed Air Corp.
4.00%		12/01/27	¹		5,000		5,344
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%		03/22/23	^1,3		150,000		156,733

							432,667


Information Technology — 0.73%
NXP BV/NXP Funding LLC
(Netherlands)
3.88%		09/01/22	^1,3		100,000		102,993
4.63%		06/01/23	^1,3		10,000		10,646
Skyworks Solutions, Inc.
0.90%		06/01/23			110,000		110,223
VMware, Inc.
1.00%		08/15/24			110,000		110,391

							334,253


Insurance — 0.32%
Athene Global Funding
(SOFR Rate plus 0.70%)
0.75%		05/24/24	^1,2		85,000		85,421
Nationwide Mutual Insurance Co.
2.41%		12/15/24	^1,6		60,000		60,071

							145,492


Real Estate Investment Trust (REIT) — 2.03%
American Campus Communities Operating Partnership LP
3.75%		04/15/23			115,000		119,772
Camden Property Trust
2.95%		12/15/22			55,000		56,271
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			140,000		146,892
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			25,000		26,519
5.38%		11/01/23			190,000		205,193
Healthpeak Properties, Inc.
4.00%		06/01/25			60,000		65,562
Host Hotels & Resorts LP,
Series D
3.75%		10/15/23			100,000		104,837



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
Kimco Realty Corp.
3.40%		11/01/22		$	100,000	$	102,747
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.50%		01/15/28			6,000		6,567
Post Apartment Homes LP
3.38%		12/01/22			37,000		37,965
SL Green Operating Partnership LP
3.25%		10/15/22			50,000		51,255

							923,580


Retail — 0.14%
7-Eleven, Inc.
(LIBOR USD 3-Month plus 0.45%)
0.58%		08/10/22	^1,2		44,000		44,011
Michaels Cos., Inc. (The)
5.25%		05/01/28	¹		20,000		20,655

							64,666


Services — 0.26%
IHS Markit Ltd.
(Bermuda)
5.00%		11/01/22	^1,3		115,000		119,389


Transportation — 0.32%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			71,777		72,721
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			32,002		32,814
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			37,464		39,659

							145,194


Total Corporates
(Cost $10,916,116)							10,996,376


MORTGAGE-BACKED — 18.82%**

Non-Agency Commercial Mortgage-Backed — 9.80%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%		08/10/35	¹		47,016		49,437
Banc of America Commercial Mortgage Trust,
Series 2017-BNK3, Class A2
3.12%		02/15/50			125,500		126,260
BANK,
Series 2017-BNK9, Class A1
2.32%		11/15/54			103,698		104,156
BANK,
Series 2018-BN14, Class A2
4.13%		09/15/60			125,000		131,059
Barclays Commercial Mortgage Securities Trust, Series 2018-BXH, Class A
(LIBOR USD 1-Month plus 1.00%)
1.08%		10/15/37	^1,2		119,346		119,644



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Benchmark Mortgage Trust,
Series 2018-B6, Class A2
4.20%		10/10/51		$	198,930	$	207,125
BFLD Trust,
Series 2020-EYP, Class A
(LIBOR USD 1-Month plus 1.15%)
1.23%		10/15/35	^1,2		125,000		125,913
BX Commercial Mortgage Trust,
Series 2018-IND, Class B
(LIBOR USD 1-Month plus 0.90%)
0.98%		11/15/35	^1,2		154,000		154,124
BX Trust,
Series 2019-MMP, Class A
(LIBOR USD 1-Month plus 1.00%)
1.08%		08/15/36	^1,2		233,830		234,062
BXMT Ltd.,
Series 2020-FL3, Class A
(Cayman Islands)
(SOFR30A plus 1.51%)
1.56%		03/15/37	^1,2,3		410,000		411,970
CD Mortgage Trust,
Series 2017-CD4, Class A2
3.03%		05/10/50			143,000		144,492
Citigroup Commercial Mortgage Trust
Series 2013-375P, Class A
3.25%		05/10/35	¹		97,000		100,318
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class AAB
2.61%		09/10/45			22,256		22,404
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class AAB
2.69%		04/10/46			34,362		34,767
Citigroup Commercial Mortgage Trust,
Series 2015-GC29, Class AAB
2.98%		04/10/48			62,086		64,245
Citigroup Commercial Mortgage Trust,
Series 2015-P1, Class AAB
3.47%		09/15/48			43,391		45,551
Commercial Mortgage Trust,
Series 2012-CR3, Class A3
2.82%		10/15/45			110,500		112,066
Commercial Mortgage Trust,
Series 2012-CR3, Class ASB
2.37%		10/15/45			10,336		10,406
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.84%		10/15/45	⁶		323,186		4,141
Commercial Mortgage Trust,
Series 2013-CR11, Class ASB
3.66%		08/10/50			8,694		8,937
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.32%		03/10/46	⁶		1,196,548		16,344
Commercial Mortgage Trust,
Series 2013-LC6, Class XB (IO)
0.51%		01/10/46	^1,6		1,750,000		7,872



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2015-LC23, Class A2
3.22%		10/10/48		$	125,159	$	125,196
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%		07/10/50			138,567		144,075
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class A2
3.05%		09/15/50			150,000		152,471
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.89%		08/10/43	^1,6		3,032,471		36,732
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.42%		03/10/44	^1,6		438,743		1,332
GS Mortgage Securities Trust,
Series 2012-GCJ7, Class A4
3.38%		05/10/45			17,368		17,410
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C17, Class XA (IO)
0.89%		01/15/47	⁶		1,607,767		21,981
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class A3
3.67%		04/15/47			88,306		89,141
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C24, Class A3
3.10%		11/15/47			270,000		279,686
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C32, Class A2
2.82%		11/15/48			178,004		179,664
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class A2
3.24%		03/15/50			43,832		44,093
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class ASB
3.14%		05/15/45			32,730		32,867
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.21%		01/15/46	⁶		8,453,323		14,314
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.38%		04/15/46	⁶		3,177,105		45,451
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2015-JP1, Class XA (IO)
1.06%		01/15/49	^4,5,6		703,217		22,939
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO)
0.77%		09/15/39	^1,6		303,520		40
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C6, Class A4
2.86%		11/15/45			138,925		140,736
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class ASB
3.56%		11/15/46			9,549		9,807



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C14, Class XA (IO)
1.15%		02/15/47	⁶	$	1,289,572	$	23,264
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C26, Class ASB
3.32%		10/15/48			64,837		67,986
One New York Plaza Trust,
Series 2020-1NYP, Class A
(LIBOR USD 1-Month plus 0.95%)
1.03%		01/15/26	^1,2		94,000		94,455
TMSQ Mortgage Trust,
Series 2014-1500, Class XA (IO)
0.28%		10/10/36	^1,6		14,000,000		71,206
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.32%		08/10/49	^1,4,5,6		3,000,000		6,204
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50			168,100		174,321
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS6, Class A2
2.40%		11/15/49			106,166		106,274
Wells Fargo Commercial Mortgage Trust,
Series 2017-C38, Class A2
3.04%		07/15/50			88,561		89,392
WF-RBS Commercial Mortgage Trust
Series 2014-C20, Class A4
3.72%		05/15/47			165,654		171,199
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class ASB
3.39%		08/15/47			31,622		32,630
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class ASB
3.52%		03/15/47			23,392		24,044

							4,454,203


Non-Agency Mortgage-Backed — 2.81%
Alternative Loan Trust,
Series 2005-J4, Class M2
(LIBOR USD 1-Month plus 0.96%)
1.05%		07/25/35	²		174,021		174,227
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%		09/25/37			204,606		117,855
Banc of America Funding Trust,
Series 2006-G, Class 2A4
(LIBOR USD 1-Month plus 0.58%)
0.67%		07/20/36	²		2,592		2,596
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
0.24%		05/26/36	^1,2		49,479		48,372

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Banc of America Funding Trust,

Series 2015-R7, Class 1A1

(Federal Reserve US 12-Month Cumulative Average plus 0.92%)

1.02%

09/26/46

^1,2

70,922

71,122

CIM Trust,

Series 2019-R1, Class A

3.25%

10/25/58

^1,6

117,640

109,801

CIM Trust,

Series 2021-R3, Class A1A

1.95%

06/25/57

^1,6

165,656

166,406

Countrywide Home Loan Mortgage Pass-Through Trust,

Series 2005-9, Class 1A1

(LIBOR USD 1-Month plus 0.60%)

0.69%

05/25/35

49,861

42,909

DSLA Mortgage Loan Trust,

Series 2004-AR3, Class 2A2A

(LIBOR USD 1-Month plus 0.74%)

0.83%

07/19/44

2,828

2,761

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

2.98%

04/19/36

⁶

71,312

62,869

HarborView Mortgage Loan Trust,

Series 2005-4, Class 2A

2.59%

07/19/35

⁶

1,074

974

HarborView Mortgage Loan Trust,

Series 2005-9, Class 2A1A

(LIBOR USD 1-Month plus 0.68%)

0.77%

06/20/35

132,154

130,498

IndyMac Index Mortgage Loan Trust,

Series 2004-AR5, Class 2A1A

(LIBOR USD 1-Month plus 0.86%)

0.95%

08/25/34

7,451

7,190

IndyMac Index Mortgage Loan Trust,

Series 2006-AR4, Class A1A

(LIBOR USD 1-Month plus 0.42%)

0.51%

05/25/46

92,420

89,613

IndyMac Index Mortgage Loan Trust,

Series 2007-AR1, Class 2A1

2.91%

06/25/37

⁶

68,755

55,619

Residential Asset Mortgage Products Trust,

Series 2004-SL1, Class A2

8.50%

11/25/31

4,097

Structured Asset Mortgage Investments II Trust,

Series 2006-AR1, Class 3A1

(LIBOR USD 1-Month plus 0.46%)

0.55%

02/25/36

71,280

69,108

WaMu Mortgage Pass-Through Certificates,

Series 2002-AR6, Class A

(Federal Reserve US 12-Month Cumulative Average plus 1.40%)

1.49%

06/25/42

1,487

1,489

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR8, Class 2AB2

(LIBOR USD 1-Month plus 0.84%)

0.93%

07/25/45

112,581

113,415

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Wells Fargo Alternative Loan Trust,

Series 2005-2, Class M1

(LIBOR USD 1-Month plus 0.68%)

0.76%

10/25/35

1,771

1,796

Wells Fargo Mortgage-Backed Securities Trust,

Series 2003-I, Class A1

2.38%

09/25/33

⁶

9,700

9,733

1,278,354

U.S. Agency Commercial Mortgage-Backed — 3.41%

Fannie Mae-Aces,

Series 2015-M4, Class X2 (IO)

0.61%

07/25/22

⁶

6,939,255

1,224

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K031, Class X1 (IO)

0.30%

04/25/23

⁶

7,640,564

21,689

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K033, Class X1 (IO)

0.40%

07/25/23

⁶

4,040,260

18,999

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K036, Class X1 (IO)

0.85%

10/25/23

⁶

5,218,289

65,577

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K044, Class X1 (IO)

0.84%

01/25/25

⁶

1,396,800

26,232

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K732, Class X3 (IO)

2.25%

05/25/46

⁶

250,000

18,792

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC01, Class X1 (IO)

0.55%

12/25/22

⁶

4,167,165

18,137

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC05, Class X1 (IO)

1.34%

06/25/27

⁶

995,810

47,028

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF28, Class A

(LIBOR USD 1-Month plus 0.36%)

0.44%

01/25/24

262,946

263,276

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF88, Class AL

(LIBOR USD 1-Month plus 0.33%)

0.41%

09/25/30

265,691

266,898

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KIR1, Class A1

2.45%

03/25/26

204,690

211,982

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)

1.19%

03/25/26

⁶

904,926

36,054

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KIR2, Class A1

2.75%

03/25/27

227,971

238,826

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ30, Class A1

0.53%

01/25/25

245,615

244,758

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KS07, Class X (IO)

0.77%

09/25/25

⁶

2,951,207

73,063

1,552,535

U.S. Agency Mortgage-Backed — 2.80%

Fannie Mae Pool 802665

(LIBOR USD 6-Month plus 1.74%)

1.99%

12/01/34

627

631

Fannie Mae Pool AL0851

6.00%

10/01/40

2,386

2,790

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

7,903

369

Fannie Mae REMICS,

Series 2002-21, Class FB

(LIBOR USD 1-Month plus 0.90%)

0.99%

04/25/32

33,071

33,439

Fannie Mae REMICS,

Series 2002-53, Class FY

(LIBOR USD 1-Month plus 0.50%)

0.59%

08/25/32

88,423

89,450

Fannie Mae REMICS,

Series 2003-11, Class FA

(LIBOR USD 1-Month plus 1.00%)

1.09%

09/25/32

4,678

4,744

Fannie Mae REMICS,

Series 2003-81, Class FE

(LIBOR USD 1-Month plus 0.50%)

0.59%

09/25/33

33,381

33,731

Fannie Mae REMICS,

Series 2006-48, Class FL

(LIBOR USD 1-Month plus 0.40%)

0.49%

06/25/36

42,809

43,096

Fannie Mae REMICS,

Series 2006-8, Class NF

(LIBOR USD 1-Month plus 0.37%)

0.46%

03/25/36

39,523

39,853

Fannie Mae REMICS,

Series 2008-12, Class FA

(LIBOR USD 1-Month plus 0.67%)

0.76%

03/25/38

120,455

122,658



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%)
0.49%		10/25/40	²	$	4,023	$	4,058
Fannie Mae REMICS,
Series 2010-74, Class AF
(LIBOR USD 1-Month plus 0.54%)
0.63%		07/25/37	²		37,938		38,584
Freddie Mac REMICS,
Series 2684, Class F
(LIBOR USD 1-Month plus 0.90%)
0.98%		01/15/33	²		4,197		4,296
Freddie Mac REMICS,
Series 3231, Class FB
(LIBOR USD 1-Month plus 0.35%)
0.43%		10/15/36	²		72,017		72,595
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
0.58%		06/15/42	²		10,954		11,058
UMBS (TBA)
2.50%		11/01/51			750,000		771,766

							1,273,118


Total Mortgage-Backed
(Cost $9,001,956)							8,558,210


MUNICIPAL BONDS — 1.70%*

California — 0.45%
State of California General Obligation, Series B
2.50%		10/01/22			200,000		204,520


Colorado — 0.30%
City & County of Denver Airport System Revenue Bonds, Series C
0.88%		11/15/23			135,000		136,289


Florida — 0.20%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
2.32%		10/01/22			90,000		91,777


Maryland — 0.24%
City of Baltimore General Obligation, School Improvements, Series C
5.00%		10/15/25			100,000		110,773


New York — 0.51%
City of New York General Obligation, Series D
0.43%		08/01/22			230,000		230,451


Total Municipal Bonds
(Cost $772,448)							773,810


U.S. TREASURY SECURITIES — 4.96%

U.S. Treasury Notes — 4.96%
U.S. Treasury Notes
0.13%		07/31/23			95,000		94,805

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)

0.25%

09/30/23

155,000

154,891

1.75%

11/30/21

2,000,000

2,005,586

Total U.S. Treasury Securities

(Cost $2,255,367)

2,255,282

Total Bonds — 64.46%

(Cost $29,688,011)

29,314,590

Issues

Shares

Value

MUTUAL FUNDS — 23.49%

Mutual Funds — 23.49%

iShares Core S&P 500 ETF

3,845

1,656,503

SPDR S&P 500 ETF Trust¹⁰

21,035

9,026,960

Total Mutual Funds

(Cost $9,639,610)

10,683,463

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 7.85%

Money Market Funds — 0.16%

Fidelity Investments Money Market Funds - Government Portfolio

0.01%¹¹

71,068

U.S. Agency Discount Notes — 4.39%

Federal Home Loan Bank

0.04%¹²

10/15/21

2,000,000

1,999,992

U.S. Treasury Bills — 3.30%

U.S. Treasury Bills

0.05%¹²

10/07/21

1,500,000

1,499,993

Total Short-Term Investments

(Cost $3,571,023)

3,571,053

Total Investments - 95.80%

(Cost $42,898,644)

43,569,106

Cash and Other Assets, Less

Liabilities - 4.20%

1,910,382

Net Assets - 100.00%

45,479,488

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 September 30, 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 $51,378, which is 0.11% 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	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 September 30, 2021.

¹⁰

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.

¹¹	Represents the current yield as of September 30, 2021.

¹²	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.

(BKNT): Bank Note

(CLO): Collateralized Loan Obligation

(ETF): Exchange-Traded Fund

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(SPDR): Standard & Poor’s Depositary Receipts

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar



Issues	Maturity Date			Principal Amount		Value

BONDS – 95.01%

ASSET-BACKED SECURITIES — 0.29%**
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		12/30/99	^1,2	$	43,567	$	43,691

Total Asset-Backed Securities (Cost $43,567)

CORPORATES — 82.84%*

Banking — 11.38%
Bank of America Corp.
1.73%		07/22/27	³		200,000		201,097
3.00%		12/20/23	³		35,000		36,078
Bank of America Corp.
(MTN)
2.09%		06/14/29	³		110,000		109,926
3.97%		03/05/29	³		20,000		22,226
4.08%		03/20/51	³		20,000		23,653
4.27%		07/23/29	³		15,000		17,036
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^3,4,5		30,000		29,369
2.19%		06/05/26	^3,4,5		25,000		25,503
3.09%		05/14/32	^3,4,5		10,000		10,262
4.55%		04/17/26	⁵		5,000		5,619
Discover Bank
(BKNT)
3.45%		07/27/26			25,000		27,119
4.20%		08/08/23			10,000		10,673
DNB Bank ASA
(Norway)
1.13%		09/16/26	^3,4,5		50,000		49,489
Fifth Third Bancorp
2.55%		05/05/27			40,000		42,073
HSBC Holdings PLC
(United Kingdom)
2.21%		08/17/29	^3,5		120,000		119,172
JPMorgan Chase & Co.
1.58%		04/22/27	³		50,000		50,113
2.07%		06/01/29	³		15,000		15,054
2.58%		04/22/32	³		10,000		10,146
3.11%		04/22/51	³		70,000		71,229
4.01%		04/23/29	³		20,000		22,322
4.02%		12/05/24	³		55,000		58,920
4.20%		07/23/29	³		25,000		28,456
4.49%		03/24/31	³		35,000		40,872
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	^3,5		10,000		9,995
3.87%		07/09/25	^3,5		65,000		70,101
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	^3,4,5		20,000		19,834
1.63%		09/23/27	^3,4,5		30,000		29,877
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,5		50,000		53,965



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	^3,5	$	80,000	$	80,173
3.57%		01/10/23	⁵		15,000		15,130
State Street Corp.
3.78%		12/03/24	³		5,000		5,364
Truist Financial Corp.
(MTN)
1.89%		06/07/29	³		30,000		30,025
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	³		20,000		20,638
2.39%		06/02/28	³		275,000		283,869
3.58%		05/22/28	³		25,000		27,389
5.01%		04/04/51	³		15,000		20,159

							1,692,926


Communications —11.51%
AT&T, Inc.
2.55%		12/01/33			70,000		68,931
3.80%		12/01/57			188,000		192,724
Charter Communications Operating LLC/Charter Communications Operating Capital
2.30%		02/01/32			50,000		47,678
3.75%		02/15/28			45,000		49,317
5.38%		05/01/47			52,000		62,437
5.75%		04/01/48			20,000		25,399
Comcast Corp.
1.50%		02/15/31			85,000		80,393
2.89%		11/01/51	⁴		25,000		23,989
3.97%		11/01/47			35,000		39,819
4.00%		11/01/49			15,000		17,374
Cox Communications, Inc.
2.60%		06/15/31	⁴		40,000		40,516
3.15%		08/15/24	⁴		18,000		19,066
Discovery Communications LLC
3.63%		05/15/30			45,000		48,861
Fox Corp.
3.50%		04/08/30			25,000		27,299
Level 3 Financing, Inc.
3.88%		11/15/29	⁴		24,000		25,693
Qwest Corp.
7.25%		09/15/25			20,000		23,828
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	⁴		35,000		40,104
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%		03/20/25	⁴		87,500		93,559
5.15%		03/20/28	⁴		15,000		17,161
Tencent Holdings Ltd.
(Cayman Islands)
3.98%		04/11/29	^4,5		40,000		43,955

Time Warner Cable LLC
5.50%		09/01/41			33,000		40,507
T-Mobile USA, Inc.
2.55%		02/15/31			103,000		103,434



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
3.50%		04/15/25		$	15,000	$	16,162
3.75%		04/15/27			25,000		27,555
4.50%		04/15/50			22,000		25,691
Verizon Communications, Inc.
2.36%		03/15/32	⁴		75,000		74,274
2.55%		03/21/31			107,000		108,566
4.02%		12/03/29			45,000		51,068
4.50%		08/10/33			95,000		113,214
ViacomCBS, Inc.
4.20%		05/19/32			20,000		22,888
4.60%		01/15/45			14,000		16,720
Vodafone Group PLC
(United Kingdom)
4.13%		05/30/25	⁵		21,000		23,222
4.25%		09/17/50	⁵		41,000		47,329
Walt Disney Co. (The)
3.60%		01/13/51			38,000		42,383
6.20%		12/15/34			8,000		11,330

							1,712,446


Consumer Discretionary — 3.73%
Altria Group, Inc.
3.70%		02/04/51			5,000		4,706
3.88%		09/16/46			11,000		10,770
5.95%		02/14/49			15,000		19,118
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%		02/01/36			30,000		36,304
Anheuser-Busch InBev Worldwide, Inc.
4.50%		06/01/50			35,000		41,919
4.60%		04/15/48			77,000		92,270
4.75%		01/23/29			30,000		35,349
Bacardi Ltd.
(Bermuda)
4.70%		05/15/28	^4,5		75,000		86,694
BAT Capital Corp.
4.39%		08/15/37			45,000		48,394
4.54%		08/15/47			50,000		51,880
Constellation Brands, Inc.
3.75%		05/01/50			35,000		38,107
Hyatt Hotels Corp.
1.80%		10/01/24			45,000		45,109
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/25	^4,5		35,000		38,175
Reynolds American, Inc.
5.85%		08/15/45			5,000		6,100

							554,895


Electric — 7.08%
AEP Transmission Co. LLC,
Series M
3.65%		04/01/50			10,000		11,196
AEP Transmission Co. LLC,
Series N
2.75%		08/15/51			50,000		48,064



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
Alabama Power Co.
5.50%		03/15/41		$	9,000	$	11,889
Alliant Energy Finance LLC
1.40%		03/15/26	⁴		45,000		44,429
Ameren Corp.
3.50%		01/15/31			15,000		16,323
Appalachian Power Co.
4.45%		06/01/45			10,000		11,949
Appalachian Power Co.,
Series X
3.30%		06/01/27			30,000		32,455
Baltimore Gas and Electric Co.
2.90%		06/15/50			50,000		49,617
Black Hills Corp.
4.35%		05/01/33			35,000		40,541
Consolidated Edison Co. of New York, Inc.,
Series 2017
3.88%		06/15/47			10,000		11,145
Consolidated Edison Co. of New York, Inc.,
Series 20B
3.95%		04/01/50			40,000		45,786
Duke Energy Carolinas LLC
3.75%		06/01/45			70,000		78,195
3.88%		03/15/46			15,000		17,160
4.00%		09/30/42			10,000		11,461
Evergy, Inc.
2.45%		09/15/24			5,000		5,229
FirstEnergy Transmission LLC
5.45%		07/15/44	⁴		55,000		70,485
Florida Power & Light Co.
4.13%		02/01/42			115,000		138,840
Interstate Power and Light Co.
2.30%		06/01/30			20,000		20,104
ITC Holdings Corp.
4.05%		07/01/23			10,000		10,501
Metropolitan Edison Co.
4.00%		04/15/25	⁴		39,000		41,111
4.30%		01/15/29	⁴		15,000		16,836
MidAmerican Energy Co.
4.25%		05/01/46			10,000		12,219
Narragansett Electric Co. (The)
3.40%		04/09/30	⁴		10,000		10,837
Northern States Power Co.
4.13%		05/15/44			10,000		12,034
PacifiCorp.
4.13%		01/15/49			60,000		70,991
Public Service Co. of New Mexico
3.85%		08/01/25			45,000		48,273
Southern Co. (The)
3.25%		07/01/26			6,000		6,462
Tucson Electric Power Co.
3.85%		03/15/23			60,000		62,332
Virginia Electric & Power Co.,
Series B
3.80%		09/15/47			20,000		22,806



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
Vistra Operations Co. LLC
3.55%		07/15/24	⁴	$	6,000	$	6,331
Xcel Energy, Inc.
4.80%		09/15/41			55,000		67,620
							1,053,221


Energy — 6.26%
BP Capital Markets America, Inc.
3.63%		04/06/30			45,000		50,199
ConocoPhillips
2.40%		02/15/31	⁴		35,000		35,596
Diamondback Energy, Inc.
4.40%		03/24/51			15,000		17,044
Energy Transfer LP
4.95%		06/15/28			25,000		28,702
5.00%		05/15/50			55,000		63,570
5.40%		10/01/47			6,000		7,162
5.50%		06/01/27			37,000		43,435
6.13%		12/15/45			12,000		15,287
EQM Midstream Partners LP
6.50%		07/15/48			8,000		9,190
Exxon Mobil Corp.
3.45%		04/15/51			24,000		25,562
4.33%		03/19/50			17,000		20,849
Hess Corp.
4.30%		04/01/27			33,000		36,673
KeySpan Gas East Corp.
5.82%		04/01/41	⁴		15,000		20,083
Kinder Morgan Energy Partners LP
5.80%		03/15/35			15,000		19,320
Kinder Morgan Energy Partners LP
(MTN)
6.95%		01/15/38			15,000		21,280
Kinder Morgan, Inc.
(GMTN)
7.80%		08/01/31			15,000		21,430
Lundin Energy Finance BV
(Netherlands)
3.10%		07/15/31	^4,5		30,000		30,440
NGPL Pipe Co. LLC
3.25%		07/15/31	⁴		20,000		20,558
4.88%		08/15/27	⁴		10,000		11,379
Petroleos Mexicanos
(Mexico)
7.69%		01/23/50	⁵		40,000		37,931
Phillips 66 Partners LP
4.90%		10/01/46			10,000		11,935
Plains All American Pipeline LP/PAA Finance Corp.
3.80%		09/15/30			15,000		16,025
4.50%		12/15/26			44,000		49,182
Rockies Express Pipeline LLC
3.60%		05/15/25	⁴		30,000		30,990
6.88%		04/15/40	⁴		17,000		18,785
Ruby Pipeline LLC
8.00%		04/01/22	^1,2,4		5,758		5,355



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Sabine Pass Liquefaction LLC
4.20%		03/15/28		$	3,000	$	3,361
Shell International Finance BV
(Netherlands)
2.38%		11/07/29	⁵		25,000		25,960
3.13%		11/07/49	⁵		20,000		20,808
3.25%		04/06/50	⁵		10,000		10,651
Southern Co. Gas Capital Corp.
2.45%		10/01/23			13,000		13,457
4.40%		06/01/43			10,000		11,762
5.88%		03/15/41			30,000		41,395
Southern Natural Gas Co. LLC
4.80%		03/15/47	⁴		15,000		18,394
TC PipeLines LP
3.90%		05/25/27			15,000		16,666
4.38%		03/13/25			30,000		32,843
Texas Eastern Transmission LP
2.80%		10/15/22	⁴		40,000		40,664
TransCanada PipeLines Ltd.
(Canada)
5.00%		10/16/43	⁵		15,000		18,624
Williams Cos., Inc. (The)
3.90%		01/15/25			8,000		8,647
							931,194

Finance — 8.88%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.65%		07/21/27	⁵		25,000		26,573
3.88%		01/23/28	⁵		4,000		4,273
Air Lease Corp.
3.63%		12/01/27			19,000		20,359
4.25%		09/15/24			20,000		21,699
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^4,5		3,000		2,953
2.88%		02/15/25	^4,5		25,000		25,722
Citigroup, Inc.
1.46%		06/09/27	³		15,000		14,926
2.57%		06/03/31	³		100,000		101,990
2.88%		07/24/23	³		50,000		50,977
3.67%		07/24/28	³		25,000		27,459
Ford Motor Credit Co. LLC
3.34%		03/28/22			54,000		54,477
4.25%		09/20/22			19,000		19,456
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	⁵		153,000		183,787
General Motors Financial Co., Inc.
4.20%		11/06/21			20,000		20,068
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27	³		15,000		14,961
1.54%		09/10/27	³		20,000		19,947
2.60%		02/07/30			100,000		102,989
2.91%		07/24/23	³		35,000		35,678
3.27%		09/29/25	³		30,000		32,088



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
3.50%		11/16/26		$	5,000	$	5,406
Intercontinental Exchange, Inc.
1.85%		09/15/32			50,000		47,288
LSEGA Financing PLC
(United Kingdom)
2.00%		04/06/28	^4,5		45,000		45,208
Morgan Stanley
0.99%		12/10/26	³		70,000		68,803
1.59%		05/04/27	³		30,000		30,095
Morgan Stanley
(GMTN)
1.51%		07/20/27	³		85,000		84,639
3.70%		10/23/24			5,000		5,426
3.77%		01/24/29	³		25,000		27,682
Morgan Stanley,
Series F
3.88%		04/29/24			20,000		21,587
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^3,4,5		10,000		10,175
3.77%		03/08/24	^3,4,5		65,000		67,782
4.36%		08/01/24	^3,4,5		15,000		15,969
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%		02/15/24	^4,5		2,000		2,183
Pipeline Funding Co. LLC
7.50%		01/15/30	⁴		26,694		34,016
Raymond James Financial, Inc.
3.75%		04/01/51			40,000		44,657
4.65%		04/01/30			25,000		29,683

							1,320,981


Food — 0.94%
Kraft Heinz Foods Co.
3.75%		04/01/30			5,000		5,431
4.63%		10/01/39			10,000		11,718
5.00%		07/15/35			13,000		16,022
Pilgrim’s Pride Corp.
3.50%		03/01/32	⁴		35,000		35,663
Smithfield Foods, Inc.
2.63%		09/13/31	⁴		30,000		29,259
3.35%		02/01/22	⁴		35,000		35,337
5.20%		04/01/29	⁴		5,000		5,747

							139,177


Health Care — 11.94%
AbbVie, Inc.
4.05%		11/21/39			20,000		23,000
4.40%		11/06/42			45,000		53,777
4.50%		05/14/35			13,000		15,557
4.55%		03/15/35			20,000		23,985
Amgen, Inc.
3.15%		02/21/40			45,000		45,953
4.40%		05/01/45			15,000		17,995
Anthem, Inc.
3.60%		03/15/51			20,000		21,868



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
3.70%		09/15/49		$	15,000	$	16,593
Ascension Health,
Series B
2.53%		11/15/29			10,000		10,486
AstraZeneca PLC
(United Kingdom)
3.38%		11/16/25	⁵		10,000		10,916
Barnabas Health, Inc.,
Series 2012
4.00%		07/01/28			5,000		5,639
Baxter International, Inc.
3.95%		04/01/30			10,000		11,371
Bayer U.S. Finance II LLC
3.88%		12/15/23	⁴		5,000		5,321
4.38%		12/15/28	⁴		25,000		28,326
4.88%		06/25/48	⁴		30,000		36,774
Becton Dickinson and Co.
3.79%		05/20/50			30,000		33,563
4.67%		06/06/47			5,000		6,261
Centene Corp.
3.00%		10/15/30			21,000		21,551
Children’s Hospital Medical Center
2.82%		11/15/50			20,000		19,665
Cigna Corp.
2.40%		03/15/30			16,000		16,276
3.40%		03/15/51			5,000		5,172
3.88%		10/15/47			33,000		36,771
4.38%		10/15/28			25,000		28,913
City of Hope,
Series 2013
5.62%		11/15/43			15,000		21,843
City of Hope,
Series 2018
4.38%		08/15/48			10,000		12,415
CommonSpirit Health
2.78%		10/01/30			35,000		36,056
3.91%		10/01/50			10,000		10,946
CVS Health Corp.
3.25%		08/15/29			60,000		64,530
5.05%		03/25/48			78,000		100,629
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			45,000		47,981
Elanco Animal Health, Inc.
5.90%		08/28/28			5,000		5,856
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	⁴		50,000		50,874
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.65%		09/29/23	⁶		50,000		50,030
Hackensack Meridian Health, Inc.,
Series 2020
2.88%		09/01/50			30,000		29,885
HCA, Inc.
2.38%		07/15/31			5,000		4,919
5.00%		03/15/24			29,000		31,828
5.25%		06/15/49			50,000		63,928



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Humana, Inc.
3.95%		03/15/27		$	25,000	$	27,917
Illumina, Inc.
2.55%		03/23/31			35,000		35,374
Johnson & Johnson
4.50%		09/01/40			35,000		44,922
Kaiser Foundation Hospitals
3.15%		05/01/27			10,000		10,871
Mass General Brigham, Inc.,
Series 2020
3.34%		07/01/60			10,000		10,694
Mayo Clinic,
Series 2013
4.00%		11/15/47			25,000		30,454
Memorial Sloan-Kettering Cancer Center
4.13%		07/01/52			5,000		6,289
NYU Langone Hospitals,
Series 2020
3.38%		07/01/55			15,000		15,739
OhioHealth Corp.,
Series 2020
3.04%		11/15/50			15,000		15,641
PerkinElmer, Inc.
2.25%		09/15/31			20,000		19,761
2.55%		03/15/31			35,000		35,571
Pfizer, Inc.
4.10%		09/15/38			10,000		11,967
Providence St. Joseph Health Obligated Group,
Series H
2.75%		10/01/26			10,000		10,603
Regeneron Pharmaceuticals, Inc.
1.75%		09/15/30			70,000		66,602
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/23	⁵		25,000		25,079
1.75%		09/02/27	⁵		45,000		44,699
Sharp HealthCare,
Series 20B
2.68%		08/01/50			50,000		47,987
Smith & Nephew PLC
(United Kingdom)
2.03%		10/14/30	⁵		30,000		29,287
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%		03/15/31	⁵		30,000		30,648
Thermo Fisher Scientific, Inc.
2.00%		10/15/31			45,000		44,093
UnitedHealth Group, Inc.
3.25%		05/15/51			60,000		64,035
3.70%		08/15/49			10,000		11,385
4.25%		04/15/47			15,000		18,525
Universal Health Services, Inc.
1.65%		09/01/26	⁴		40,000		39,779
Viatris, Inc.
1.13%		06/22/22	⁴		15,000		15,081



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
West Virginia United Health System Obligated Group,
Series 2020
3.13%		06/01/50		$	35,000	$	35,535

							1,775,991


Industrials — 2.59%
Amcor Finance USA, Inc.
3.63%		04/28/26			10,000		10,912
Amcor Flexibles North America, Inc.
2.63%		06/19/30			5,000		5,116
BAE Systems Holdings, Inc.
3.85%		12/15/25	⁴		20,000		21,836
BAE Systems PLC
(United Kingdom)
3.40%		04/15/30	^4,5		30,000		32,403
Berry Global, Inc.
0.95%		02/15/24	⁴		15,000		15,023
1.57%		01/15/26	⁴		28,000		28,025
Boeing Co. (The)
1.43%		02/04/24			35,000		35,052
CCL Industries, Inc.
(Canada)
3.05%		06/01/30	^4,5		25,000		26,229
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.50%		05/05/26	⁶		10,000		9,903
L3Harris Technologies, Inc.
3.85%		06/15/23			40,000		42,181
Northrop Grumman Corp.
5.25%		05/01/50			20,000		27,931
Sealed Air Corp.
1.57%		10/15/26	⁴		20,000		19,909
Sonoco Products Co.
3.13%		05/01/30			10,000		10,669
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%		04/28/26	^4,5		5,000		5,377
3.90%		03/22/23	^4,5		50,000		52,244
Trane Technologies Luxembourg Finance SA
(Luxembourg)
3.55%		11/01/24	⁵		5,000		5,374
WRKCo, Inc.
3.00%		09/15/24			30,000		31,842
3.00%		06/15/33			5,000		5,224

							385,250


Information Technology — 3.82%
Amazon.com, Inc.
3.10%		05/12/51			73,000		76,904
Analog Devices, Inc.
2.95%		10/01/51			35,000		35,010
Apple, Inc.
2.38%		02/08/41			25,000		24,004
2.65%		02/08/51			25,000		24,092
2.70%		08/05/51			70,000		68,116



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Information Technology (continued)
Broadcom, Inc.
3.63%		10/15/24		$	15,000	$	16,198
Fiserv, Inc.
2.65%		06/01/30			15,000		15,359
Intel Corp.
3.05%		08/12/51			35,000		35,055
3.25%		11/15/49			15,000		15,567
NVIDIA Corp.
3.50%		04/01/50			20,000		22,443
NXP BV/NXP Funding LLC
(Netherlands)
3.88%		09/01/22	^4,5		30,000		30,898
4.63%		06/01/23	^4,5		10,000		10,646
Oracle Corp.
3.60%		04/01/50			60,000		60,194
3.95%		03/25/51			45,000		47,726
salesforce.com, Inc.
2.90%		07/15/51			30,000		30,042
Skyworks Solutions, Inc.
0.90%		06/01/23			25,000		25,051
VMware, Inc.
1.00%		08/15/24			30,000		30,107

							567,412


Insurance — 4.72%
Allstate Corp. (The)
3.85%		08/10/49			20,000		23,738
Aon Corp.
2.80%		05/15/30			25,000		26,141
3.75%		05/02/29			5,000		5,569
Aon Corp./Aon Global Holdings PLC
2.05%		08/23/31			10,000		9,745
Athene Global Funding
1.61%		06/29/26	⁴		15,000		14,995
1.99%		08/19/28	⁴		10,000		9,890
(SOFR Rate plus 0.70%)
0.75%		05/24/24	^4,6		30,000		30,149
Berkshire Hathaway Finance Corp.
2.85%		10/15/50			35,000		34,582
4.20%		08/15/48			20,000		24,273
Equitable Financial Life Global Funding
1.80%		03/08/28	⁴		20,000		19,890
Farmers Insurance Exchange
4.75%		11/01/57	^3,4		55,000		62,523
Guardian Life Insurance Co. of America (The)
3.70%		01/22/70	⁴		45,000		47,404
Marsh & McLennan Cos., Inc.
2.25%		11/15/30			10,000		10,080
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	⁴		37,000		38,801
Metropolitan Life Global Funding I
3.45%		10/09/21	⁴		42,000		42,024
Nationwide Mutual Insurance Co.
2.41%		12/15/24	^3,4		30,000		30,036
New York Life Insurance Co.
3.75%		05/15/50	⁴		65,000		72,929



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
Northwestern Mutual Life Insurance Co. (The)
3.45%		03/30/51	⁴	$	39,000	$	41,922
Principal Life Global Funding II
0.75%		04/12/24	⁴		25,000		25,025
Teachers Insurance & Annuity Association of America
3.30%		05/15/50	⁴		15,000		15,794
4.38%		09/15/54	^3,4		65,000		68,185
Travelers Cos., Inc. (The)
4.05%		03/07/48			10,000		12,241
Willis North America, Inc.
2.95%		09/15/29			35,000		36,622

							702,558


Materials — 0.59%
Georgia-Pacific LLC
2.30%		04/30/30	⁴		15,000		15,302
International Flavors & Fragrances, Inc.
1.23%		10/01/25	⁴		5,000		4,961
2.30%		11/01/30	⁴		15,000		14,882
5.00%		09/26/48			25,000		32,386
Sherwin-Williams Co. (The)
2.30%		05/15/30			20,000		20,174

							87,705


Real Estate Investment Trust (REIT) — 6.10%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26			50,000		55,240
4.50%		07/30/29			11,000		12,791
American Assets Trust LP
3.38%		02/01/31			30,000		31,077
American Campus Communities Operating Partnership LP
3.30%		07/15/26			10,000		10,712
3.63%		11/15/27			35,000		38,330
3.75%		04/15/23			25,000		26,037
3.88%		01/30/31			10,000		11,179
American Homes 4 Rent LP
2.38%		07/15/31			15,000		14,875
Boston Properties LP
2.55%		04/01/32			10,000		10,012
3.25%		01/30/31			5,000		5,302
3.40%		06/21/29			5,000		5,420
Crown Castle International Corp.
3.30%		07/01/30			50,000		53,324
CubeSmart LP
4.38%		02/15/29			5,000		5,702
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			5,000		5,246
3.45%		11/15/29			55,000		57,342
Essex Portfolio LP
2.65%		03/15/32			5,000		5,068
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			5,000		5,304
4.00%		01/15/30			65,000		70,330
Healthcare Realty Trust, Inc.
3.63%		01/15/28			30,000		32,848



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
Healthcare Trust of America Holdings LP
3.75%		07/01/27		$	65,000	$	71,941
Healthpeak Properties, Inc.
4.00%		06/01/25			35,000		38,244
Host Hotels & Resorts LP,
Series D
3.75%		10/15/23			35,000		36,693
Hudson Pacific Properties LP
3.95%		11/01/27			50,000		54,795
Kilroy Realty LP
2.50%		11/15/32			15,000		14,771
3.45%		12/15/24			10,000		10,674
Lexington Realty Trust
2.38%		10/01/31			5,000		4,861
2.70%		09/15/30			45,000		45,595
Life Storage LP
2.20%		10/15/30			40,000		39,657
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.63%		06/15/25	⁴		28,000		30,274
Mid-America Apartments LP
1.70%		02/15/31			10,000		9,504
Piedmont Operating Partnership LP
2.75%		04/01/32			15,000		14,788
SL Green Operating Partnership LP
3.25%		10/15/22			45,000		46,130
UDR, Inc.
(MTN)
4.40%		01/26/29			5,000		5,699
Ventas Realty LP
3.00%		01/15/30			15,000		15,614
4.13%		01/15/26			10,000		11,054

							906,433


Retail — 0.68%
7-Eleven, Inc.
0.80%		02/10/24	⁴		35,000		34,995
Alimentation Couche-Tard, Inc.
(Canada)
3.80%		01/25/50	^4,5		45,000		48,119
McDonald’s Corp.
(MTN)
4.20%		04/01/50			15,000		17,925

							101,039


Services — 1.27%
IHS Markit Ltd.
(Bermuda)
4.00%		03/01/26	^4,5		50,000		55,073
4.75%		08/01/28	⁵		15,000		17,581
5.00%		11/01/22	^4,5		5,000		5,191
Moody’s Corp.
2.75%		08/19/41			20,000		19,415
Northwestern University
3.69%		12/01/38			10,000		11,919



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Services (continued)
RELX Capital, Inc.
4.00%		03/18/29		$	35,000	$	39,415
University of Southern California
2.81%		10/01/50			10,000		10,271
Waste Connections, Inc.
(Canada)
2.60%		02/01/30	⁵		5,000		5,153
3.05%		04/01/50	⁵		20,000		19,952
William Marsh Rice University
2.60%		05/15/50			5,000		4,950

							188,920


Transportation — 1.27%
Burlington Northern Santa Fe LLC
3.30%		09/15/51			20,000		21,559
4.40%		03/15/42			18,000		21,981
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			23,505		23,504
JetBlue Airways Pass-Through Trust,
Series 1A
4.00%		11/15/32			29,018		31,780
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32			14,086		14,146
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			22,147		23,537
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			14,597		15,452
Union Pacific Corp.
3.84%		03/20/60			25,000		28,733
United Airlines Pass-Through Trust,
Series 2016-2, Class AA
2.88%		10/07/28			8,150		8,365

							189,057


Water — 0.08%
American Water Capital Corp.
3.45%		05/01/50			11,000		11,826


Total Corporates
(Cost $12,194,616)							12,321,031


MORTGAGE-BACKED — 0.89%**

Non-Agency Commercial Mortgage-Backed — 0.47%
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.32%		03/10/46	³		312,577		4,269
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.01%		09/10/47	^1,2,3		607,120		12,459
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
1.03%		12/10/47	³		463,812		10,949



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)
0.89%		08/10/43	^3,4	$	2,487,750	$	30,134
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.42%		03/10/44	^3,4		109,686		333
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XA (IO)
1.53%		08/15/45	^3,4		222,622		1,188
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C6, Class XA (IO)
1.75%		11/15/45	^1,2,3,4		140,445		1,082
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.32%		08/10/49	^1,2,3,4		2,200,000		4,550
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XA (IO)
1.45%		06/15/45	^3,4		748,119		5,018

							69,982


U.S. Agency Commercial Mortgage-Backed — 0.27%
Fannie Mae-Aces,
Series 2015-M4, Class X2 (IO)
0.61%		07/25/22	³		315,240		56
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K723, Class X1 (IO)
1.04%		08/25/23	³		822,754		11,559
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.22%		09/16/51	³		575,044		26,351
Ginnie Mae,
Series 2011-53, Class IO (IO)
0.00%		05/16/51	³		1,743,708		64
Ginnie Mae,
Series 2012-144, Class IO (IO)
0.36%		01/16/53	³		173,473		2,225

							40,255


U.S. Agency Mortgage-Backed — 0.15%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
5.91%		11/25/41	⁶		47,421		6,445
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42			15,271		15,536

							21,981


Total Mortgage-Backed
(Cost $253,656)							132,218


MUNICIPAL BONDS — 2.35%*

California — 1.12%
California State University Revenue Bonds, University & College Improvements, Series B
2.37%		11/01/35			35,000		34,289



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

California (continued)
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E
2.83%		11/01/41	$	25,000	$	25,483
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
3.89%		05/15/38		15,000		16,936
Los Angeles Department of Water & Power Water System Revenue Bonds, Water Utility Improvements, Series SY
6.01%		07/01/39		5,000		6,658
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%		07/01/34		30,000		39,732
5.76%		07/01/29		10,000		12,331
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%		07/01/34		5,000		7,072
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home
Improvements, Series N
3.26%		05/15/60		5,000		5,391
Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements
5.88%		04/01/32		10,000		12,367
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AJ
4.60%		05/15/31		5,000		5,859

						166,118


Florida — 0.11%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31		15,000		16,102


Massachusetts — 0.07%
Massachusetts School Building Authority Revenue Bonds, Series B
2.97%		10/15/32		10,000		10,572


New York — 0.94%
City of New York General Obligation Bonds, Series D
1.92%		08/01/31		25,000		24,580
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%		11/15/49		5,000		6,788
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
3.73%		08/01/29		5,000		5,605
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33		20,000		19,616
New York City Transitional Finance Authority Future
Tax Secured Revenue Bonds, Taxable Bonds, Public
Improvements
3.96%		08/01/32		30,000		33,506



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

New York (continued)
New York State Dormitory Authority Revenue Bonds, Series C
1.95%		03/15/29	$	50,000	$	50,342

						140,437


Ohio — 0.11%
Ohio, Taxable Revenue Bonds, Advanced Refunding,
Cleveland Clinic
2.89%		01/01/32		15,000		15,707


Total Municipal Bonds
(Cost $347,043)						348,936


U.S. TREASURY SECURITIES — 8.64%

U.S. Treasury Bonds — 1.00%
U.S. Treasury Bonds
2.00%		08/15/51		151,000		148,241


U.S. Treasury Notes — 7.64%
U.S. Treasury Notes
0.13%		07/31/23		180,000		179,630
0.13%		08/31/23		198,000		197,489
0.25%		09/30/23		103,000		102,928
0.88%		09/30/26		335,000		333,237
1.25%		08/15/31		332,000		323,985

						1,137,269


Total U.S. Treasury Securities
(Cost $1,294,612)						1,285,510


Total Bonds — 95.01%
(Cost $14,133,494)						14,131,386



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 2.79%

Money Market Funds — 2.79%
Fidelity Investments Money Market Funds - Government
Portfolio
0.01%⁷				22,345		22,345
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
0.03%⁷				393,000		393,000


Total Short-Term Investments
(Cost $415,345)						415,345


Total Investments - 97.80%
(Cost $14,548,839)						14,546,731


Cash and Other Assets, Less Liabilities - 2.20%						326,529


Net Assets - 100.00%					$	14,873,260

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 $67,137, which is 0.45% 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	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁵	Foreign denominated security issued by foreign domiciled entity.

⁶	Floating rate security. The rate disclosed was in effect at September 30, 2021.

⁷	Represents the current yield as of September 30, 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.

(BKNT): Bank Note

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 108.95%

ASSET-BACKED SECURITIES — 18.61%**

Aimco CLO 11 Ltd.,

Series 2020-11A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.38%)

1.51%

10/15/31

^1,2,3

185,000

185,028

Aimco CLO 14 Ltd.,

Series 2021-14A, Class SUB

(Cayman Islands)

0.00%

04/20/34

^1,3,4

700,000

740,513

AMMC CLO 19 Ltd.,

Series 2016-19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.27%

10/16/28

^1,2,3

10,191

10,192

AMMC CLO 23 Ltd.,

Series 2020-23A, Class A1L

(Cayman Islands)

(LIBOR USD 3-Month plus 1.40%)

1.53%

10/17/31

^1,2,3

480,000

480,115

AMSR Trust,

Series 2020-SFR1, Class I

8.19%

04/17/37

450,000

485,689

BlueMountain CLO Ltd.,

Series 2018-3A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.77%)

1.90%

10/25/30

^1,2,3

250,000

250,033

BlueMountain CLO XXX Ltd.,

Series 2020-30A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.80%)

1.93%

01/15/33

^1,2,3

250,000

250,268

Bombardier Capital Mortgage Securitization Corp.,

Series 1999-B, Class A2

6.98%

12/15/29

⁴

997,492

207,208

Bombardier Capital Mortgage Securitization Corp.,

Series 2000-A, Class A3

7.83%

06/15/30

⁴

1,658,345

369,831

Bombardier Capital Mortgage Securitization Corp.,

Series 2000-A, Class A4

8.29%

06/15/30

⁴

142,144

33,562

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.27%)

1.40%

10/25/32

^1,2,3

250,000

250,047

CIFC Funding Ltd.,

Series 2018-1A, Class SUB

(Cayman Islands)

0.00%

04/18/31

^1,3,4

575,000

438,080

CIT Mortgage Loan Trust,

Series 2007-1, Class 1M2

(LIBOR USD 1-Month plus 1.75%)

1.84%

10/25/37

^1,2

600,000

607,703

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Citigroup Mortgage Loan Trust,

Series 2006-WF1, Class A2C (STEP-reset date 11/25/21)

4.86%

03/25/36

33,579

20,373

Conseco Finance Securitizations Corp.,

Series 2000-1, Class A5

8.06%

09/01/29

⁴

3,422,964

962,569

Conseco Finance Securitizations Corp.,

Series 2000-4, Class A5

7.97%

05/01/32

1,992,158

571,754

CoreVest American Finance Trust,

Series 2019-3, Class XA (IO)

2.20%

10/15/52

^1,4

759,124

50,026

CoreVest American Finance Trust,

Series 2021-1, Class XB (IO)

1.72%

04/15/53

^1,4

4,459,000

449,865

Credit-Based Asset Servicing and Securitization LLC,

Series 2006-CB7, Class A4

(LIBOR USD 1-Month plus 0.16%)

0.25%

10/25/36

45,505

38,545

Credit-Based Asset Servicing and Securitization LLC,

Series 2006-MH1, Class B1 (STEP-reset date 11/25/21)

6.25%

10/25/36

61,000

63,634

Credit-Based Asset Servicing and Securitization LLC,

Series 2007-CB1, Class AF3 (STEP-reset date 11/25/21)

3.26%

01/25/37

1,085,917

460,386

Credit-Based Asset Servicing and Securitization LLC,

Series 2007-CB1, Class AF6 (STEP-reset date 11/25/21)

3.26%

01/25/37

1,917,100

813,287

Credit-Based Asset Servicing and Securitization LLC,

Mortgage Loan Trust,

Series 2007-CB2, Class A2B (STEP-reset date 11/25/21)

3.66%

02/25/37

1,097,175

876,102

Dryden 72 CLO Ltd.,

Series 2019-72A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

1.77%

05/15/32

^1,2,3

925,000

925,865

Dryden 85 CLO Ltd.,

Series 2020-85A, Class D

(Cayman Islands)

(LIBOR USD 3-Month plus 3.90%)

4.03%

10/15/32

^1,2,3

90,000

90,025

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

1.03%

04/15/29

^1,2,3

62,968

Dryden XXVIII Senior Loan Fund,

Series 2013-28A, Class A1LR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.20%)

1.32%

08/15/30

^1,2,3

10,000

10,004

Elmwood CLO VI Ltd.,

Series 2020-3A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

0.00%

10/20/34

^1,2,3

440,000

440,220

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

First Franklin Mortgage Loan Trust,

Series 2006-FF13, Class A2C

(LIBOR USD 1-Month plus 0.32%)

0.41%

10/25/36

448,841

364,144

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2D

(LIBOR USD 1-Month plus 0.22%)

0.31%

03/25/37

797,431

507,188

Fremont Home Loan Trust,

Series 2005-E, Class 2A4

(LIBOR USD 1-Month plus 0.66%)

0.75%

01/25/36

27,457

27,137

Gilbert Park CLO Ltd.,

Series 2017-1A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

1.32%

10/15/30

^1,2,3

485,000

485,073

GoldenTree Loan Management U.S. CLO 8 Ltd.,

Series 2020-8A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

1.24%

10/20/34

^1,2,3

250,000

250,172

Greenwood Park CLO Ltd.,

Series 2018-1A, Class SUB

(Cayman Islands)

0.00%

04/15/31

^1,3,4

675,000

488,018

GSAA Home Equity Trust,

Series 2007-5, Class 1F3B

6.00%

05/25/37

⁴

4,300,000

600,650

GSAA Home Equity Trust,

Series 2007-5, Class 1F5B (STEP-reset date 11/25/21)

6.44%

05/25/37

1,987,261

264,851

GSAA Home Equity Trust,

Series 2007-5, Class 2A2A

(LIBOR USD 1-Month plus 0.23%)

0.55%

04/25/47

953,029

588,979

GSAA Trust,

Series 2007-3, Class 2A1B

(LIBOR USD 1-Month plus 0.20%)

0.29%

03/25/47

166,316

17,199

HSI Asset Loan Obligation Trust,

Series 2007-WF1, Class A5 (STEP-reset date 11/25/21)

4.80%

12/25/36

275,401

130,917

Invesco CLO Ltd.,

Series 2021-1A, Class SUB

(Cayman Islands)

0.00%

04/15/34

^1,3,4

650,000

595,336

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

45,884

51,510

J.G. Wentworth XXXII LLC,

Series 2014-2A, Class A

3.61%

01/17/73

47,471

52,268

JPMorgan Chase Bank Auto Credit Linked Notes,

Series 2021-1, Class R

28.35%

09/25/28

^†,1

545,515

569,513



Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH2, Class AF3 (STEP-reset date 11/25/21)
5.46%		09/25/29		$	581,064	$	452,497
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF4 (STEP-reset date 11/25/21)
6.08%		08/25/36			597,346		432,229
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF5 (STEP-reset date 11/25/21)
6.34%		08/25/36			301,142		221,446
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A5 (STEP-reset date 11/25/21)
6.91%		07/25/36			1,886,159		795,049
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class AF6 (STEP-reset date 11/25/21)
4.72%		11/25/36			12,449		12,808
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF2 (STEP-reset date 11/25/21)
4.54%		01/25/37			475,691		336,588
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF3 (STEP-reset date 11/25/21)
4.54%		10/25/30			730,311		516,104
LCM XIII LP,
Series 13A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.27%		07/19/27	^1,2,3		500,000		499,970
LCM XXIV Ltd.,
Series 24A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
1.11%		03/20/30	^1,2,3		500,000		500,490
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class M1
6.63%		04/15/40	⁴		1,113,814		1,194,250
Lehman XS Trust,
Series 2006-17, Class 1A3
(LIBOR USD 1-Month plus 0.50%)
0.59%		08/25/46	²		265,133		258,238
Lehman XS Trust,
Series 2006-17, Class 1AIO (IO)
0.60%		08/25/46	^5,6		9,534,323		210,725
MASTR Asset-Backed Securities Trust,
Series 2006-NC2, Class A3
(LIBOR USD 1-Month plus 0.22%)
0.31%		08/25/36	²		802,768		417,050
Merrill Lynch First Franklin Mortgage Loan Trust
Series 2007-3, Class A2B
(LIBOR USD 1-Month plus 0.13%)
0.22%		06/25/37	²		606,478		573,419
Merrill Lynch Mortgage Investors Trust,
Series 2006-HE6, Class A2B
(LIBOR USD 1-Month plus 0.30%)
0.39%		11/25/37	²		881,257		404,951
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%		01/15/40			7,309		7,799

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Mid-State Capital Corp. Trust,

Series 2006-1, Class A

5.79%

10/15/40

47,110

49,944

Mid-State Trust XI,

Series 11, Class A1

4.86%

07/15/38

3,281

3,455

Nationstar Home Equity Loan Trust,

Series 2007-C, Class 2AV4

(LIBOR USD 1-Month plus 0.25%)

0.34%

06/25/37

27,935

27,608

Navient Student Loan Trust,

Series 2018-4A, Class B

(LIBOR USD 1-Month plus 1.30%)

1.39%

06/27/67

^1,2

850,000

841,999

Nelnet Student Loan Trust,

Series 2015-3A, Class A3

(LIBOR USD 1-Month plus 0.90%)

0.99%

06/25/54

^1,2

630,000

636,933

Neuberger Berman Loan Advisers CLO 40 Ltd.,

Series 2021-40A, Class SUB

(Cayman Islands)

0.00%

04/16/33

^1,3,4

275,000

261,082

Oakwood Mortgage Investors, Inc.,

Series 1999-C, Class A2

7.48%

08/15/27

474,426

449,246

Oakwood Mortgage Investors, Inc.,

Series 2002-A, Class A2

5.01%

03/15/20

⁴

11,080

11,305

OCP CLO Ltd.,

Series 2017-14A, Class A1A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

1.28%

11/20/30

^1,2,3

325,000

325,133

OHA Credit Funding 7 Ltd.,

Series 2020-7A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

1.38%

10/19/32

^1,2,3

275,000

275,041

Palmer Square CLO Ltd.,

Series 2014-1A, Class A1R2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

1.26%

01/17/31

^1,2,3

725,000

725,116

Palmer Square CLO Ltd.,

Series 2020-3A, Class A1A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.37%)

1.49%

11/15/31

^1,2,3

550,000

551,198

Palmer Square CLO Ltd.,

Series 2021-1A, Class SUB

(Cayman Islands)

0.00%

04/20/34

^1,3,4

625,000

579,374

Palmer Square Loan Funding Ltd.,

Series 2019-4A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

1.03%

10/24/27

^1,2,3

19,447

19,451

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%)

1.68%

04/20/28

^1,2,3

10,000

10,003

Park Place Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2005-WCH1, Class M4

(LIBOR USD 1-Month plus 1.25%)

1.33%

01/25/36

15,016

15,189

PHEAA Student Loan Trust,

Series 2014-3A, Class A

(LIBOR USD 1-Month plus 0.59%)

0.68%

08/25/40

^1,2

39,206

38,991

Progress Residential Trust,

Series 2019-SFR1, Class A

3.42%

08/17/35

347,657

351,588

Progress Residential Trust,

Series 2019-SFR2, Class A

3.15%

05/17/36

331,059

334,848

Progress Residential,

Series 2021-SFR1, Class H

5.00%

04/17/38

750,000

770,809

Residential Asset Mortgage Products Trust,

Series 2006-EFC2, Class A4

(LIBOR USD 1-Month plus 0.22%)

0.31%

12/25/36

67,466

67,420

Rockford Tower CLO Ltd.,

Series 2017-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.02%)

1.15%

10/15/29

^1,2,3

55,000

55,003

Rockford Tower CLO Ltd.,

Series 2017-3A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.19%)

1.32%

10/20/30

^1,2,3

475,000

475,054

Securitized Asset-Backed Receivables LLC Trust,

Series 2006-CB1, Class AF4 (STEP-reset date 11/25/21)

2.92%

01/25/36

116,997

107,902

Securitized Asset-Backed Receivables LLC Trust,

Series 2007-NC1, Class A2B

(LIBOR USD 1-Month plus 0.15%)

0.24%

12/25/36

1,039,825

747,765

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

12/30/99

^5,6

532,481

533,999

SLM Student Loan Trust,

Series 2004-1, Class B

(LIBOR USD 3-Month plus 0.50%)

0.63%

07/25/39

198,095

190,127

SLM Student Loan Trust,

Series 2007-2, Class B

(LIBOR USD 3-Month plus 0.17%)

0.30%

07/25/25

115,000

104,272

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%)

1.83%

07/25/23

95,361

96,308

SLM Student Loan Trust,

Series 2008-7, Class A4

(LIBOR USD 3-Month plus 0.90%)

1.03%

07/25/23

17,106

17,095

SLM Student Loan Trust,

Series 2008-7, Class B

(LIBOR USD 3-Month plus 1.85%)

1.98%

07/26/83

10,000

10,041

Soundview Home Loan Trust,

Series 2007-OPT2, Class 2A4

(LIBOR USD 1-Month plus 0.25%)

0.34%

07/25/37

348,706

315,657

Soundview Home Loan Trust,

Series 2007-OPT4, Class 1A1

(LIBOR USD 1-Month plus 1.00%)

1.09%

09/25/37

471,985

381,288

TAL Advantage VII LLC,

Series 2020-1A, Class A

2.05%

09/20/45

554,900

559,926

Textainer Marine Containers VIII Ltd.,

Series 2020-2A, Class A

(Bermuda)

2.10%

09/20/45

^1,3

524,977

530,744

TIF Funding II LLC,

Series 2020-1A, Class A

2.09%

08/20/45

505,083

509,142

Voya CLO Ltd.,

Series 2018-4A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

1.78%

01/15/32

^1,2,3

250,000

250,026

Total Asset-Backed Securities

(Cost $34,519,489)

33,200,542

BANK LOANS — 8.83%*

Communications — 1.11%

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

03/15/27

124,053

122,873

CSC Holdings LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

2.58%

04/15/27

49,622

49,131

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

5.75%

08/02/27

350,000

350,620

Frontier Communications holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

05/01/28

124,375

124,491

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

GTT Communications BV,

Term Loan B, 1st Lien

(EURIBOR plus 3.25%)

3.25%

05/31/25

75,786

74,822

Intelsat Jackson Holdings SA,

Delayed-Draw Term Loan, 1st Lien (Luxembourg)

(LIBOR plus 4.75%)

5.75%

07/13/22

^2,3,7

1,000,000

1,008,750

National CineMedia LLC,

Term Loan B, 1st Lien

(LIBOR plus 8.00%)

9.00%

12/20/24

248,750

249,994

1,980,681

Consumer Discretionary — 0.61%

ADMI Corp.,

Term Loan B2, 1st Lien

(LIBOR plus 3.13%)

3.63%

12/23/27

149,250

148,237

Kwor Acquisition, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.08%

06/03/26

322,525

320,106

Peraton Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

02/01/28

273,625

274,267

Sunshine Luxembourg VII SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

10/01/26

248,750

249,730

Waystar technologies, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.08%

10/22/26

98,995

99,181

1,091,521

Electric — 1.01%

Astoria Energy LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

12/10/27

271,069

272,339

Calpine Corp.,

Term Loan B9, 1st Lien

(LIBOR plus 2.00%)

2.09%

04/05/26

248,096

245,577

CommScope, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

04/06/26

396,962

395,763

Endure Digital, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.25%

02/10/28

399,000

397,454

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Electric (continued)

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.83%

12/31/25

495,846

492,645

1,803,778

Entertainment — 0.58%

Cineworld Finance U.S., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

02/28/25

125,881

104,114

Crown Finance U.S., Inc.,

Term Loan B1, 1st Lien

7.00%

05/23/24

751,453

931,177

1,035,291

Finance — 0.36%

DCG Acquisition Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

4.59%

09/30/26

272,933

273,615

Mirion Technologies, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.08%

03/06/26

98,985

99,295

Schweitzer-Mauduit International, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

02/09/28

274,313

274,655

647,565

Food — 0.06%

Houston Foods, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.83%

07/20/25

98,977

97,864

Gaming — 0.22%

Churchill Downs, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.10%

12/27/24

396,907

Health Care — 1.41%

Avantor Funding, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

2.75%

11/08/27

99,500

99,780

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

2.50%

01/15/25

275,000

274,245

Buckeye Partners LP,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

2.33%

11/01/26

248,125

247,172

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Certara Holdco, Inc.,

Term Loan B

(LIBOR plus 3.50%)

3.58%

08/15/26

274,313

274,143

CPI Holdco LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.83%

11/04/26

98,995

99,119

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

08/01/27

545,365

539,374

Genesee & Wyoming, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.00%)

2.13%

12/30/26

272,922

271,557

Gentiva Health Services, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.88%

07/02/25

62,115

62,166

Horizon Therapeutics USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.50%

03/15/28

273,625

273,454

ICON Luxembourg SARL,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.00%

07/03/28

223,592

224,585

Indigo Merger Sub, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.00%

07/03/28

55,708

55,956

Pathway Vet Alliance LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.83%

03/31/27

99,001

98,928

2,520,479

Industrials — 0.60%

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

1.86%

07/01/26

357,442

355,922

Charter NEX U.S., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

12/01/27

74,625

74,876

Michaels Cos., Inc. (The),

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.00%

04/15/28

169,575

169,940

Proampac PG Borrower LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

11/03/25

199,000

199,622

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

08/12/24

272,550

266,588

1,066,948

Information Technology — 1.59%

AppLovin Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

08/15/25

272,895

272,874

BJ’s Wholesale Club, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.08%

02/03/24

372,002

372,635

CT Technologies Intermediate Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.00%

12/16/25

74,625

74,847

EagleView Technology Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.58%

08/14/25

273,597

270,792

Gainwell Acquisition Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

10/01/27

248,747

249,680

IQVIA, Inc.,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.83%

01/17/25

369,469

368,915

Nouryon USA LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.83%

10/01/25

332,587

330,799

Precision Medicine Group LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.75%

11/18/27

^2,8

351,192

351,703

RealPage, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.75%

04/24/28

275,000

274,455

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

03/04/28

274,313

275,388

2,842,088

Real Estate Investment Trust (REIT) — 0.28%

Aveanna Healthcare LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

07/01/28

251,509

251,725



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Real Estate Investment Trust (REIT) (continued)
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%		02/17/28	²	$	248,750	$	249,994

							501,719


Retail — 0.62%
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%		02/19/28	²		173,688		172,820
Aveanna Healthcare LLC,
Delayed-Draw Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.00%		07/17/28	²		58,491		58,541
Sinclair Television Group, Inc.,
Term Loan B2B, 1st Lien
(LIBOR plus 2.50%)
2.59%		09/30/26	²		396,962		391,010
U.S. Anesthesia Partners, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
4.75%		09/22/28	²		475,000		476,299

							1,098,670


Services — 0.22%
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 1.75%)
1.83%		04/16/25	²		396,716		393,576


Transportation — 0.16%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.00%		08/17/29	²		275,000		273,281


Total Bank Loans
(Cost $15,521,107)							15,750,368


CORPORATES — 28.44%*

Banking — 4.20%
Bank of America Corp.
(MTN)
2.02%		02/13/26	⁴		375,000		384,857
2.09%		06/14/29	⁴		365,000		364,754
3.82%		01/20/28	⁴		125,000		138,044
Bank of America Corp.,
Series N
1.66%		03/11/27	⁴		865,000		870,819
Comerica, Inc.
5.63%		10/01/70	⁴		15,000		16,556
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		425,000		416,055
2.19%		06/05/26	^1,3,4		195,000		198,923
2.59%		09/11/25	^1,3,4		40,000		41,445



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
3.75%		03/26/25	³	$	80,000	$	86,311
4.55%		04/17/26	³		155,000		174,204
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,4		270,000		270,168
HSBC Holdings PLC
(United Kingdom)
0.98%		05/24/25	^3,4		245,000		244,594
1.59%		05/24/27	^3,4		380,000		377,615
2.21%		08/17/29	^3,4		200,000		198,620
2.63%		11/07/25	^3,4		150,000		156,496
4.29%		09/12/26	^3,4		130,000		143,327
JPMorgan Chase & Co.
0.97%		06/23/25	⁴		280,000		280,385
1.47%		09/22/27	⁴		270,000		268,216
1.58%		04/22/27	⁴		270,000		270,612
2.01%		03/13/26	⁴		25,000		25,632
2.08%		04/22/26	⁴		165,000		169,775
2.52%		04/22/31	⁴		80,000		81,663
2.58%		04/22/32	⁴		205,000		207,995
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	^3,4		305,000		304,849
2.86%		03/17/23	^3,4		220,000		222,465
3.87%		07/09/25	^3,4		30,000		32,355
Macquarie Group Ltd.
(Australia)
2.69%		06/23/32	^1,3,4		100,000		99,911
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	^3,4		325,000		325,703
1.67%		06/14/27	^3,4		270,000		269,071
3.37%		01/05/24	^3,4		35,000		36,170
4.80%		11/15/24	^3,4		135,000		146,195
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	⁴		345,000		356,003
2.39%		06/02/28	⁴		305,000		314,836

							7,494,624


Communications — 5.23%
AT&T, Inc.
2.55%		12/01/33			897,000		883,304
4.75%		05/15/46			200,000		239,668
Cable One, Inc.
4.00%		11/15/30	¹		167,000		166,165
Charter Communications Operating LLC/Charter
Communications Operating Capital
5.38%		05/01/47			141,000		169,300
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		751,000		499,121
6.63%		08/15/27	¹		660,000		293,823
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.
5.88%		08/15/27	¹		275,000		287,369
DISH Network Corp.
3.38%		08/15/26			837,000		872,154



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Intelsat Jackson Holdings SA
(Luxembourg)
5.50%		08/01/23	^3,9,10	$	535,000	$	299,223
8.50%		10/15/24	^1,3,9,10		270,000		156,600
9.75%		07/15/25	^1,3,9,10		360,000		203,054
Level 3 Financing, Inc.
3.63%		01/15/29	¹		40,000		38,803
3.88%		11/15/29	¹		220,000		235,521
Lumen Technologies, Inc.
5.38%		06/15/29	¹		450,000		459,724
National CineMedia LLC
5.88%		04/15/28	¹		657,000		602,331
Scripps Escrow II, Inc.
5.38%		01/15/31	¹		449,000		442,096
Scripps Escrow, Inc.
5.88%		07/15/27	¹		116,000		119,480
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		284,375		304,068
5.15%		03/20/28	¹		495,000		566,305
Tencent Holdings Ltd.
(Cayman Islands)
2.88%		04/22/31	^1,3		200,000		204,361
Time Warner Cable LLC
5.50%		09/01/41			80,000		98,200
T-Mobile USA, Inc.
2.25%		02/15/26			758,000		767,495
2.55%		02/15/31			199,000		199,839
4.38%		04/15/40			15,000		17,300
Verizon Communications, Inc.
3.15%		03/22/30			5,000		5,350
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	^1,3		324,000		329,419
Vmed O2 UK Financing I PLC
(United Kingdom)
4.25%		01/31/31	^1,3		560,000		559,300
Vodafone Group PLC
(United Kingdom)
4.25%		09/17/50	³		60,000		69,261
4.38%		05/30/28	³		205,000		235,591

							9,324,225


Consumer Discretionary — 1.13%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.90%		02/01/46			215,000		264,685
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		215,000		237,059
4.70%		05/15/28	^1,3		65,000		75,134
5.30%		05/15/48	^1,3		115,000		150,226
BAT Capital Corp.
3.56%		08/15/27			165,000		177,836
4.39%		08/15/37			150,000		161,312
4.54%		08/15/47			5,000		5,188



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/25	^1,3	$	160,000	$	174,515
Reynolds American, Inc.
4.45%		06/12/25			95,000		104,774
5.70%		08/15/35			100,000		119,916
5.85%		08/15/45			195,000		237,900
Spectrum Brands, Inc.
3.88%		03/15/31	¹		300,000		303,559

							2,012,104


Electric — 1.17%
Alliant Energy Finance LLC
1.40%		03/15/26	¹		245,000		241,890
Duke Energy Carolinas LLC
4.00%		09/30/42			250,000		286,541
Eversource Energy,
Series O
4.25%		04/01/29			8,000		9,207
FirstEnergy Corp.,
Series C
3.40%		03/01/50			546,000		526,267
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		418,000		436,672
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.27%)
0.40%		02/22/23	²		385,000		385,052
Pennsylvania Electric Co.
4.15%		04/15/25	¹		5,000		5,317
Public Service Co. of New Mexico
3.85%		08/01/25			40,000		42,909
Tucson Electric Power Co.
3.85%		03/15/23			140,000		145,442

							2,079,297


Energy — 3.42%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%		04/01/28	¹		323,000		335,112
Endeavor Energy Resources LP/EER Finance, Inc.
5.75%		01/30/28	¹		138,000		145,417
Energy Transfer LP
4.75%		01/15/26			10,000		11,177
4.90%		03/15/35			20,000		23,027
4.95%		06/15/28			100,000		114,808
5.00%		05/15/50			55,000		63,570
5.40%		10/01/47			28,000		33,422
Energy Transfer LP,
Series B
6.63%		02/15/70	⁴		733,000		715,591
Exxon Mobil Corp.
4.23%		03/19/40			70,000		83,176
4.33%		03/19/50			20,000		24,528
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/34	^1,3		200,000		196,855



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Hess Corp.
4.30%		04/01/27		$	45,000	$	50,008
5.60%		02/15/41			20,000		24,918
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%		04/14/33	^1,3		200,000		206,840
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%		04/14/33	³		200,000		206,840
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	¹		294,000		300,171
NGPL Pipe Co. LLC
4.88%		08/15/27	¹		40,000		45,518
Occidental Petroleum Corp.
0.00%		10/10/36	¹¹		644,000		355,810
Petroleos Mexicanos
(Mexico)
6.63%		06/15/35	³		5,000		4,769
6.75%		09/21/47	³		15,000		13,105
6.95%		01/28/60	³		5,000		4,351
7.69%		01/23/50	³		145,000		137,498
Petronas Capital Ltd.
(Malaysia)
3.50%		04/21/30	^1,3		200,000		217,080
Rockies Express Pipeline LLC
4.80%		05/15/30	¹		234,000		242,190
4.95%		07/15/29	¹		215,000		223,934
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6		535,455		497,973
Southern Natural Gas Co. LLC
4.80%		03/15/47	¹		65,000		79,708
Texas Eastern Transmission LP
2.80%		10/15/22	¹		170,000		172,824
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			150,000		154,125
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^1,3		85,250		87,061
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^1,3		35,000		34,879
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^1,3		390,500		392,314
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		09/01/27			132,000		139,934
Venture Global Calcasieu Pass LLC
4.13%		08/15/31	¹		675,000		705,800
Williams Cos., Inc. (The)
4.30%		03/04/24			60,000		64,471

							6,108,804



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Entertainment — 0.21%
Cinemark USA, Inc.
5.25%		07/15/28	¹	$	385,000	$	380,188


Finance — 2.36%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.65%		07/21/27	³		25,000		26,574
3.88%		01/23/28	³		5,000		5,341
4.45%		10/01/25	³		110,000		120,127
Air Lease Corp.
2.25%		01/15/23			25,000		25,551
Air Lease Corp.
(MTN)
3.00%		02/01/30			35,000		35,584
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		28,000		27,561
Citigroup, Inc.
4.41%		03/31/31	⁴		15,000		17,328
Discover Financial Services
3.95%		11/06/24			205,000		222,003
Ford Motor Credit Co. LLC
3.22%		01/09/22			180,000		180,675
3.81%		10/12/21			6,000		6,011
4.25%		09/20/22			85,000		87,040
5.60%		01/07/22			430,000		435,676
(LIBOR USD 3-Month plus 1.27%)
1.40%		03/28/22	²		300,000		300,233
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³		330,000		396,403
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27	⁴		575,000		573,506
3.27%		09/29/25	⁴		165,000		176,484
Goldman Sachs Group, Inc. (The),
Series VAR
1.09%		12/09/26	⁴		5,000		4,929
Morgan Stanley
0.99%		12/10/26	⁴		145,000		142,520
1.59%		05/04/27	⁴		270,000		270,856
Morgan Stanley
(GMTN)
1.51%		07/20/27	⁴		510,000		507,831
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4		205,000		213,774
4.36%		08/01/24	^1,3,4		25,000		26,615
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		30,000		31,355
5.50%		02/15/24	^1,3		2,000		2,183
Pipeline Funding Co. LLC
7.50%		01/15/30	¹		155,715		198,430
Raymond James Financial, Inc.
4.65%		04/01/30			145,000		172,161

							4,206,751



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Food — 1.44%
Conagra Brands, Inc.
4.85%		11/01/28		$	10,000	$	11,737
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.75%		12/01/31	^1,3		235,000		246,478
5.50%		01/15/30	^1,3		376,000		418,665
Kraft Heinz Foods Co.
3.00%		06/01/26			185,000		194,813
4.88%		10/01/49			70,000		85,321
Pilgrim’s Pride Corp.
3.50%		03/01/32	¹		500,000		509,470
4.25%		04/15/31	¹		180,000		192,604
5.88%		09/30/27	¹		184,000		195,440
Post Holdings, Inc.
4.50%		09/15/31	¹		225,000		223,211
4.63%		04/15/30	¹		320,000		322,874
Smithfield Foods, Inc.
3.35%		02/01/22	¹		165,000		166,589
5.20%		04/01/29	¹		5,000		5,746

							2,572,948


Health Care — 3.89%
180 Medical, Inc.
3.88%		3.88	¹		275,000		275,000
AbbVie, Inc.
3.85%		06/15/24			10,000		10,759
4.05%		11/21/39			5,000		5,750
4.50%		05/14/35			424,000		507,379
Aetna, Inc.
3.50%		11/15/24			10,000		10,756
Amgen, Inc.
3.15%		02/21/40			100,000		102,118
Bayer U.S. Finance II LLC
4.25%		12/15/25	¹		255,000		282,004
4.38%		12/15/28	¹		210,000		237,938
4.88%		06/25/48	¹		180,000		220,642
Becton Dickinson and Co.
3.73%		12/15/24			3,000		3,243
Centene Corp.
2.45%		07/15/28			349,000		350,902
3.00%		10/15/30			323,000		331,479
Cigna Corp.
3.40%		03/01/27			30,000		32,799
3.40%		03/15/51			75,000		77,578
CommonSpirit Health
2.78%		10/01/30			35,000		36,056
4.35%		11/01/42			100,000		114,768
CVS Health Corp.
5.05%		03/25/48			190,000		245,122
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3		300,000		216,750
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%		04/01/29	^1,3		175,000		175,154



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	$	120,000	$	122,097
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.65%		09/29/23	²		155,000		155,093
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^1,3		275,000		281,734
HCA, Inc.
4.13%		06/15/29			80,000		89,418
5.00%		03/15/24			10,000		10,975
5.25%		06/15/49			185,000		236,533
HCRX Investments Holdco LP
4.50%		08/01/29	¹		425,000		427,658
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	¹		425,000		441,065
Molina Healthcare, Inc.
3.88%		11/15/30	¹		763,000		805,601
4.38%		06/15/28	¹		74,000		77,066
Mozart Debt Merger Sub, Inc.
3.88%		04/01/29	¹		267,000		267,000
Prime Healthcare Services, Inc.
7.25%		11/01/25	¹		396,000		424,710
Royalty Pharma PLC
(United Kingdom)
1.75%		09/02/27	³		225,000		223,494
Tenet Healthcare Corp.
4.63%		06/15/28	¹		96,000		99,600
UnitedHealth Group, Inc.
3.70%		08/15/49			5,000		5,693
Viatris, Inc.
1.13%		06/22/22	¹		40,000		40,217

							6,944,151


Industrials — 0.42%
Artera Services LLC
9.03%		12/04/25	¹		179,000		194,386
BAE Systems Holdings, Inc.
3.85%		12/15/251			60,000		65,508
Boeing Co. (The)
1.43%		02/04/24			340,000		340,507
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.50%		05/05/26	²		60,000		59,419
(LIBOR USD 3-Month plus 0.48%)
0.60%		08/15/36	²		52,000		45,395
General Electric Co.,
Series A (MTN)
6.75%		03/15/32			30,000		41,072

							746,287


Information Technology — 0.25%
Fiserv, Inc.
2.65%		06/01/30			10,000		10,240



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Information Technology (continued)
Intel Corp.
3.05%		08/12/51		$	29,000	$	29,045
Oracle Corp.
2.88%		03/25/31			65,000		67,022
3.95%		03/25/51			320,000		339,382

							445,689


Insurance — 0.95%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/29	¹		305,000		301,921
AmWINS Group, Inc.
4.88%		06/30/29	¹		179,000		181,756
Aon Corp.
2.80%		05/15/30			15,000		15,684
Athene Global Funding
1.99%		08/19/281			445,000		440,094
Farmers Insurance Exchange
4.75%		11/01/57	^1,4		135,000		153,467
Metropolitan Life Global Funding I
2.95%		04/09/30	¹		15,000		16,049
Nationwide Mutual Insurance Co.
2.41%		12/15/24	^1,4		375,000		375,445
Teachers Insurance & Annuity Association of America
3.30%		05/15/50	¹		85,000		89,501
4.27%		05/15/47	¹		40,000		48,349
4.38%		09/15/54	^1,4		65,000		68,185

							1,690,451


Materials — 1.03%
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
3.15%		01/14/30	³		200,000		206,980
Herens Holdco SARL
(Luxembourg)
4.75%		05/15/28	^1,3		450,000		452,859
Indonesia Asahan Aluminium Persero PT,
Series REGS
(Indonesia)
5.45%		05/15/30	³		200,000		230,260
6.53%		11/15/28	³		200,000		244,000
International Flavors & Fragrances, Inc.
2.30%		11/01/30	¹		270,000		267,876
Unifrax Escrow Issuer Corp.
5.25%		09/30/28	¹		425,000		430,765

							1,832,740


Real Estate Investment Trust (REIT) — 1.54%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26			75,000		82,860
American Assets Trust LP
3.38%		02/01/31			500,000		517,950
American Campus Communities Operating Partnership LP
3.30%		07/15/26			55,000		58,919
3.63%		11/15/27			80,000		87,610
3.75%		04/15/23			60,000		62,490
3.88%		01/30/31			35,000		39,125



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
Boston Properties LP
2.75%		10/01/26		$	10,000	$	10,559
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			5,000		5,246
3.45%		11/15/29			140,000		145,962
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30			180,000		194,760
5.25%		06/01/25			465,000		519,093
5.38%		11/01/23			10,000		10,800
5.75%		06/01/28			10,000		11,745
Healthcare Realty Trust, Inc.
3.63%		01/15/28			150,000		164,240
Healthcare Trust of America Holdings LP
2.00%		03/15/31			140,000		134,335
Healthpeak Properties, Inc.
3.40%		02/01/25			2,000		2,135
Hudson Pacific Properties LP
3.95%		11/01/27			55,000		60,274
Kilroy Realty LP
2.50%		11/15/32			50,000		49,238
Lexington Realty Trust
2.70%		09/15/30			160,000		162,114
SL Green Operating Partnership LP
3.25%		10/15/22			420,000		430,544

							2,749,999


Retail — 0.47%
7-Eleven, Inc.
0.80%		02/10/24	¹		185,000		184,974
Alimentation Couche-Tard, Inc.
(Canada)
2.95%		01/25/30	^1,3		75,000		78,053
Michaels Cos., Inc. (The)
7.88%		05/01/29	¹		555,000		577,464

							840,491


Services — 0.65%
Adtalem Global Education, Inc.
5.50%		03/01/28	¹		169,000		170,869
HealthEquity, Inc.
4.50%		10/01/29	¹		450,000		457,700
IHS Markit Ltd.
(Bermuda)
3.63%		05/01/24	³		200,000		213,090
4.00%		03/01/26	^1,3		200,000		220,292
4.75%		02/15/25	^1,3		80,000		88,605
5.00%		11/01/22	^1,3		10,000		10,382

							1,160,938


Transportation — 0.08%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			23,505		23,504
JetBlue Airways Pass-Through Trust,
Series 1A
4.00%		11/15/32			72,546		79,451



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Transportation (continued)
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32		$	28,171	$	28,293
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			14,597		15,451

							146,699


Total Corporates
(Cost $50,355,911)							50,736,386


FOREIGN GOVERNMENT OBLIGATIONS — 2.37%

Foreign Government Obligations — 2.37%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%		09/30/29	³		200,000		209,100
Brazilian Government International Bond
(Brazil)
3.88%		06/12/30	³		200,000		194,208
Chile Government International Bond
(Chile)
2.55%		01/27/32	³		200,000		198,946
Colombia Government International Bond
(Colombia)
3.00%		01/30/30	³		400,000		378,120
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%		09/23/32	³		150,000		153,390
Egypt Government International Bond
(Egypt)
7.60%		03/01/29	^1,3		200,000		207,812
Mexico Government International Bond
(Mexico)
2.66%		05/24/31	³		212,000		204,707
3.75%		01/11/28	³		200,000		218,224
Panama Government International Bond
(Panama)
3.16%		01/23/30	³		200,000		206,392
3.88%		03/17/28	³		200,000		217,620
Paraguay Government International Bond
(Paraguay)
4.95%		04/28/31	^1,3		200,000		226,260
Philippine Government International Bond
(Philippines)
1.65%		06/10/31	³		200,000		190,500
Qatar Government International Bond,
Series REGS
(Qatar)
3.75%		04/16/30	³		200,000		225,680
4.50%		04/23/28	³		200,000		233,604
Republic of South Africa Government International Bond
(South Africa)
4.85%		09/30/29	³		200,000		205,932

Issues

Maturity
Date

Principal
Amount

Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)

Romanian Government International Bond,

Series REGS

(Romania)

3.00%

02/14/31

100,000

102,300

Saudi Government International Bond,

Series REGS (EMTN)

(Saudi Arabia)

3.25%

10/26/26

400,000

432,000

Turkey Government International Bond

(Turkey)

3.25%

03/23/23

200,000

199,405

Uruguay Government International Bond

(Uruguay)

4.38%

01/23/31

200,000

231,620

Total Foreign Government Obligations

(Cost $4,342,498)

4,235,820

MORTGAGE-BACKED — 49.20%**

Non-Agency Commercial Mortgage-Backed — 13.98%

Banc of America Commercial Mortgage Trust,

Series 2015-UBS7, Class XA (IO)

0.94%

09/15/48

⁴

7,190,102

191,415

Banc of America Commercial Mortgage Trust,

Series 2015-UBS7, Class XE (IO)

1.25%

09/15/48

^1,4

500,000

18,946

Banc of America Merrill Lynch Commercial Mortgage Trust,

Series 2016-ISQ, Class E

3.73%

08/14/34

^1,4

273,000

266,354

BANK,

Series 2017-BNK5, Class XA (IO)

1.19%

06/15/60

⁴

138,848

5,672

BANK,

Series 2018-BN10, Class XA (IO)

0.87%

02/15/61

⁴

386,941

15,150

Barclays Commercial Mortgage Securities Mortgage Trust,

Series 2017-C1, Class XA (IO)

1.61%

02/15/50

⁴

135,244

8,420

BB-UBS Trust,

Series 2012-SHOW, Class XA (IO)

0.73%

11/05/36

^1,4

3,109,000

57,368

BB-UBS Trust,

Series 2012-SHOW, Class XB (IO)

0.28%

11/05/36

^1,4

1,395,000

7,896

Benchmark Mortgage Trust,

Series 2020-B18, Class AGNF

4.14%

07/15/53

449,000

460,974

BMO SBA COOF Trust,

Series 2019-1, Class A (IO)

1.62%

10/25/45

^1,4

4,540,556

271,238

BX Commercial Mortgage Trust,

Series 2020-FOX, Class G

(LIBOR USD 1-Month plus 4.75%)

4.83%

11/15/32

^1,2

713,697

724,093

CD Mortgage Trust,

Series 2016-CD1, Class XA (IO)

1.52%

08/10/49

⁴

9,768,056

527,962



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Century Plaza Towers,
Series 2019-CPT, Class F
3.10%		11/13/39	^1,4	$	450,000	$	422,531
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
1.00%		09/10/46	⁴		4,069,706		53,615
Citigroup Commercial Mortgage Trust,
Series 2014-GC19, Class XA (IO)
1.29%		03/10/47	⁴		977,869		21,694
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
1.11%		10/10/47	⁴		10,193,225		250,196
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.48%		02/10/48	⁴		1,755,562		64,879
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class XA (IO)
1.38%		02/10/49	⁴		5,671,636		251,930
Citigroup Commercial Mortgage Trust,
Series 2017-B1, Class XF (IO)
1.01%		08/15/50	^1,4		11,628,000		466,039
Commercial Mortgage Lease-Backed Certificates-1,
Series 2001-CMLB, Class X (IO)
0.72%		06/20/31	^1,4		4,022,665		51,568
Commercial Mortgage Trust,
Series 2012-CR1, Class XA (IO)
2.05%		05/15/45	⁴		589,740		2,304
Commercial Mortgage Trust,
Series 2012-CR2, Class XA (IO)
1.77%		08/15/45	⁴		765,815		5,725
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.99%		10/15/45	⁴		746,798		6,424
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.84%		10/15/45	⁴		792,070		10,149
Commercial Mortgage Trust,
Series 2012-LC4, Class XA (IO)
2.23%		12/10/44	^1,4		1,086,540		61
Commercial Mortgage Trust,
Series 2012-LC4, Class XB (IO)
0.63%		12/10/44	^1,4		1,800,000		2,411
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.32%		03/10/46	⁴		5,170,755		70,629
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.08%		07/10/45	⁴		15,635,874		11,195
Commercial Mortgage Trust,
Series 2014-CR14, Class XA (IO)
0.70%		02/10/47	⁴		3,472,663		39,698
Commercial Mortgage Trust,
Series 2014-CR17, Class XA (IO)
1.12%		05/10/47	⁴		6,687,295		138,238



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
1.11%		08/10/47	⁴	$	978,083	$	22,060
Commercial Mortgage Trust,
Series 2014-CR19, Class XC (IO)
0.84%		08/10/47	^1,4		1,200,000		22,126
Commercial Mortgage Trust,
Series 2014-LC15, Class XA (IO)
1.23%		04/10/47	⁴		3,468,037		73,314
Commercial Mortgage Trust,
Series 2014-LC17, Class A4
3.65%		10/10/47			258,869		272,547
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.23%		06/10/47	⁴		3,192,201		76,079
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.01%		09/10/47	^4,5,6		31,270,266		641,726
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
1.03%		12/10/47	⁴		13,142,239		310,248
Commercial Mortgage Trust,
Series 2015-CR22, Class XA (IO)
1.02%		03/10/48	⁴		12,006,407		264,807
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
0.97%		08/10/48	⁴		8,463,413		235,448
Commercial Mortgage Trust,
Series 2015-LC21, Class XE (IO)
1.23%		07/10/48	^1,4		10,015,000		380,549
Commercial Mortgage Trust,
Series 2016-CR28, Class XA (IO)
0.79%		02/10/49	⁴		15,060,111		353,475
CSAIL Commercial Mortgage Trust,
Series 2015-C2, Class XA (IO)
0.88%		06/15/57	⁴		17,915,011		394,249
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class XA (IO)
1.00%		09/15/50	⁴		9,810,584		212,818
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.73%		06/15/52	⁴		568,454		54,956
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.89%		12/15/49	⁴		549,600		14,068
CSMC,
Series 2019-RIO, Class A
(LIBOR USD 1-Month plus 3.02%)
4.02%		12/15/21	^1,2		425,000		425,777
CSMC,
Series 2020-522F, Class A
(LIBOR USD 1-Month plus 3.74%)
4.14%		09/16/25	^1,2		400,000		401,542
DBJPM 16-C1 Mortgage Trust,
Series 2016-C1, Class XA (IO)
1.53%		05/10/49	⁴		6,615,358		329,457



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
DBUBS Mortgage Trust,
Series 2011-LC1A, Class XB (IO)
1.36%		11/10/46	^1,4	$	81,101	$	82
Grace Trust,
Series 2020-GRCE, Class D
2.77%		12/10/40	^1,4		360,000		353,187
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.63%		02/10/46	⁴		17,080,559		262,706
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class E
3.35%		02/10/37	^1,4		500,000		507,188
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.89%		08/10/43	^1,4		10,468,200		126,800
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.42%		03/10/44	^1,4		186,466		566
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.09%		08/10/44	^1,4		809,367		8
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
2.08%		11/10/45	⁴		661,606		10,446
GS Mortgage Securities Trust,
Series 2014-GC18, Class XA (IO)
1.14%		01/10/47	⁴		29,351,782		556,765
GS Mortgage Securities Trust,
Series 2015-GC32, Class XA (IO)
0.88%		07/10/48	⁴		34,934,606		841,617
GS Mortgage Securities Trust,
Series 2015-GC34, Class XA (IO)
1.38%		10/10/48	⁴		5,583,560		228,568
GS Mortgage Securities Trust,
Series 2015-GS1, Class XA (IO)
0.91%		11/10/48	⁴		9,441,925		268,203
GS Mortgage Securities Trust,
Series 2016-GS2, Class XA (IO)
1.90%		05/10/49	⁴		257,474		17,281
GS Mortgage Securities Trust,
Series 2016-GS3, Class XA (IO)
1.34%		10/10/49	⁴		2,581,145		128,609
GS Mortgage Securities Trust,
Series 2016-GS4, Class XA (IO)
0.71%		11/10/49	⁴		15,434,352		350,920
GS Mortgage Securities Trust,
Series 2017-GS7, Class XA (IO)
1.26%		08/10/50	⁴		147,423		7,306
GSCG Trust,
Series 2019-600C, Class E
4.12%		09/06/34	^1,4		261,000		260,260
GSCG Trust,
Series 2019-600C, Class G
4.12%		09/06/34	^1,4		285,000		270,374



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Hilton USA Trust,
Series 2016-SFP, Class E
5.52%		11/05/35	¹	$	400,000	$	403,095
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
3.04%		12/10/41	^1,4		535,000		511,770
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class XA (IO)
0.81%		04/15/47	⁴		12,802,766		187,337
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XA (IO)
0.64%		07/15/48	⁴		22,067,778		368,655
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XNR (IO)
0.25%		07/15/48	^1,4		48,265,099		311,305
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C31, Class XA (IO)
0.98%		08/15/48	⁴		6,218,434		173,939
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class XA (IO)
1.12%		03/15/50	⁴		5,171,809		208,953
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C2, Class XA (IO)
1.71%		06/15/49	⁴		277,688		14,708
JPMDB Commercial Mortgage Securities Trust,
Series 2017-C7, Class XA (IO)
0.99%		10/15/50	⁴		354,230		14,630
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class XA (IO)
1.69%		05/15/45	⁴		498,359		1,987
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C8, Class XA (IO)
1.88%		10/15/45	⁴		598,371		6,251
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class XA (IO)
1.16%		06/15/45	⁴		213,612		604
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class XB (IO)
0.40%		06/15/45	^1,4		134,366,812		408,018
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.54%		12/15/47	⁴		1,436,092		17,121
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C10, Class XA (IO)
1.08%		12/15/47	⁴		1,192,735		11,174
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.38%		04/15/46	⁴		2,663,697		38,107
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-ACE, Class XA (IO)
0.47%		01/10/37	^1,4		2,000,000		23,106
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-LOOP, Class XB (IO)
0.38%		12/05/38	^1,4		2,010,000		25,184



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)
2.03%		01/16/37	^1,4	$	450,000	$	23,380
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XBFX (IO)
0.68%		01/16/37	^1,4		1,450,000		23,642
Last Mile Logistics Pan Euro Finance DAC,
Series 1A, Class F
(Ireland)
(-1.00 X 3 month Euribor plus 3.65%)
3.65%		08/17/33	^1,2,3		500,000		582,718
LB-UBS Commercial Mortgage Trust,
Series 2006-C7, Class XW (IO)
0.53%		11/15/38	^1,4		1,571,353		5,086
Merit 2020-Hill,
Series 2020-HILL, Class F
(LIBOR USD 1-Month plus 4.10%)
4.18%		08/15/37	^1,2		400,789		403,411
ML-CFC Commercial Mortgage Trust,
Series 2007-6, Class X (IO)
0.66%		03/12/51	^1,4		14,466,299		61,883
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XA (IO)
1.53%		08/15/45	^1,4		578,238		3,085
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XC (IO)
0.14%		08/15/45	^1,4		35,000,000		34,480
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-CKSV, Class XA (IO)
1.17%		10/15/30	^1,4		1,107,023		6,219
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class XA (IO)
1.11%		11/15/46	⁴		2,475,677		38,270
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C18, Class XA (IO)
0.79%		10/15/47	⁴		98,630		1,387
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
1.01%		03/15/48	⁴		3,494,770		85,506
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.16%		04/15/48	⁴		1,137,519		30,946
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.86%		05/15/48	⁴		7,547,949		177,742
Morgan Stanley Capital I Trust,
Series 2011-C2, Class XB (IO)
0.47%		06/15/44	^1,4		11,642,023		45,672
Morgan Stanley Capital I Trust,
Series 2012-C4, Class XA (IO)
2.05%		03/15/45	^1,4		266,970		150
Morgan Stanley Capital I Trust,
Series 2015-MS1, Class A3
3.51%		05/15/48			415,000		442,624



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I Trust,
Series 2017-CLS, Class F
(LIBOR USD 1-Month plus 2.60%)
2.68%		11/15/34	^1,2	$	206,000	$	206,269
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.46%		01/15/43	^1,4		70,000		71,187
Natixis Commercial Mortgage Securities Trust,
Series 2020-2PAC, Class MSK1
3.36%		12/15/36	^1,4		172,000		172,049
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2A
3.66%		01/05/43	^1,4		400,000		439,502
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%		01/05/43	^1,4		460,000		509,598
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.53%		01/05/43	^1,4		925,000		846,156
Taurus UK DAC,
Series 2021-UK1A, Class D
(Ireland)
(SONIA plus 2.60%)
2.65%		05/17/31	^1,2,3		475,000		647,112
UBS Commercial Mortgage Trust,
Series 2017-C4, Class XA (IO)
1.19%		10/15/50	⁴		9,688,747		505,377
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.73%		12/10/45	^1,4		740,320		8,271
Wells Fargo Commercial Mortgage Trust,
Series 2012-LC5, Class XA (IO)
1.89%		10/15/45	^1,4		865,785		9,551
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.24%		08/15/50	⁴		18,280,831		426,325
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.18%		12/15/47	⁴		1,563,750		41,213
Wells Fargo Commercial Mortgage Trust,
Series 2015-C27, Class XA (IO)
1.02%		02/15/48	⁴		19,782,034		468,638
Wells Fargo Commercial Mortgage Trust,
Series 2015-C31, Class XA (IO)
1.12%		11/15/48	⁴		18,279,843		610,989
Wells Fargo Commercial Mortgage Trust,
Series 2015-LC20, Class XF (IO)
1.89%		04/15/50	^1,4		415,000		18,926
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS3, Class XA (IO)
1.05%		09/15/57	⁴		9,998,605		306,852
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class XA (IO)
2.26%		06/15/49	⁴		6,930,795		464,568



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2021-SAVE, Class XCP (IO)
10.12%		02/15/40	^1,4	$	5,587,000	$	397,558
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.63%		12/15/45	^1,4		1,088,742		14,140
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XB (IO)
0.55%		12/15/45	^1,4		56,000,000		309,473
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XB (IO)
0.14%		06/15/45	^1,4		29,387,219		23,217
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.94%		08/15/45	^1,4		606,444		3,825
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class XA (IO)
1.08%		05/15/47	⁴		11,516,731		209,621
WF-RBS Commercial Mortgage Trust,
Series 2014-C22, Class XA (IO)
0.94%		09/15/57	⁴		1,949,599		37,126
WF-RBS Commercial Mortgage Trust,
Series 2014-C24, Class XA (IO)
1.00%		11/15/47	⁴		6,263,374		140,877
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.43%		03/15/47	⁴		10,810,336		259,054

							24,940,525


Non-Agency Mortgage-Backed — 17.72%
Alternative Loan Trust,
Series 2005-46CB, Class A3
5.50%		10/25/35			320,342		294,839
Alternative Loan Trust,
Series 2005-46CB, Class A4
5.25%		10/25/35			242,063		220,864
Alternative Loan Trust,
Series 2005-46CB, Class A7
5.50%		10/25/35			682,843		631,730
Alternative Loan Trust,
Series 2005-55CB, Class 1A1
5.50%		11/25/35			230,792		201,321
Alternative Loan Trust,
Series 2005-64CB, Class 2A1
6.00%		11/25/35			3,150,870		941,943
Alternative Loan Trust,
Series 2005-65CB, Class 2A4
5.50%		12/25/35			398,825		354,242
Alternative Loan Trust,
Series 2005-67CB, Class A1
5.50%		01/25/36			89,364		83,969
Alternative Loan Trust,
Series 2005-74T1, Class A5
6.00%		01/25/36			563,174		449,644



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2005-7CB, Class 2A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.05%, 5.05% Cap)
4.96%		03/01/38	^2,5,6	$	1,769,768	$	220,315
Alternative Loan Trust,
Series 2005-86CB, Class A1
5.50%		02/25/36			653,094		537,900
Alternative Loan Trust,
Series 2005-86CB, Class A8
5.50%		02/25/36			298,558		245,897
Alternative Loan Trust,
Series 2006-19CB, Class A15
6.00%		08/25/36			141,593		112,798
Alternative Loan Trust,
Series 2006-32CB, Class A18
6.00%		11/25/36			159,215		127,217
Alternative Loan Trust,
Series 2006-34, Class A5
6.25%		11/25/46			1,406,330		1,009,262
Alternative Loan Trust,
Series 2006-J1, Class 1A11
5.50%		02/25/36			247,645		223,969
Alternative Loan Trust,
Series 2007-13, Class A1
6.00%		06/25/47			307,347		225,273
Alternative Loan Trust,
Series 2007-15CB, Class A6
5.75%		07/25/37			652,924		527,292
Alternative Loan Trust,
Series 2007-16CB, Class 1A7
6.00%		08/25/37			9,026		8,816
Alternative Loan Trust,
Series 2007-18CB, Class 2A25
6.00%		08/25/37			378,285		305,370
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%		09/25/37			255,758		147,319
Alternative Loan Trust,
Series 2007-5CB, Class 1A3
6.00%		04/25/37			208,466		158,067
Alternative Loan Trust,
Series 2007-5CB, Class 1A4
6.00%		04/25/37			615,059		466,369
American Home Mortgage Assets Trust,
Series 2006-6, Class XP (IO) (PO)
2.42%		12/25/46	^4,5,6		746,385		68,843
American Home Mortgage Assets Trust,
Series 2007-5, Class XP (IO) (PO)
2.92%		06/25/47	^5,6		1,157,640		117,611
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)
0.37%		03/25/46	²		16,317		15,864
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%		03/25/36			7,326		7,308



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
0.24%		05/26/36	^1,2	$	22,491	$	21,987
Banc of America Funding Trust,
Series 2015-R4, Class 5A1
(LIBOR USD 1-Month plus 0.15%)
0.23%		10/25/36	^1,2		15,004		14,639
Bear Stearns ALT-A Trust,
Series 2005-7, Class 22A1
2.91%		09/25/35	⁴		169,419		131,586
Bear Stearns ARM Trust,
Series 2004-3, Class 2A
2.67%		07/25/34	⁴		9,077		9,315
Bear Stearns ARM Trust,
Series 2005-10, Class A3
2.70%		10/25/35	⁴		188,349		190,019
ChaseFlex Trust,
Series 2007-1, Class 1A1
6.50%		02/25/37			363,336		183,196
CIM Trust,
Series 2021-R5, Class A1B
2.00%		08/25/61	^1,4		681,000		612,061
Citigroup Mortgage Loan Trust,
Series 2009-10, Class 2A2
7.00%		12/25/35	^1,4		642,245		597,124
CitiMortgage Alternative Loan Trust,
Series 2006-A1, Class 1A5
5.50%		04/25/36			360,087		346,540
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A1
6.00%		01/25/37			137,924		138,043
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A5
6.00%		01/25/37			263,272		263,248
CitiMortgage Alternative Loan Trust,
Series 2007-A2, Class 1A13
5.75%		02/25/37			313,256		317,017
CitiMortgage Alternative Loan Trust,
Series 2007-A3, Class 1A7
5.75%		03/25/37			256,908		259,568
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-14, Class A3
6.25%		09/25/37			26,283		20,193
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-20, Class A1
6.50%		01/25/38			236,039		167,467
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-7, Class A9
5.50%		06/25/37			703,023		471,797
CSMC Mortgage-Backed Trust,
Series 2006-6, Class 1A8
6.00%		07/25/36			423,770		316,249
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 10A6
6.50%		08/25/36			1,351,042		1,053,820



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 8A11
6.50%		08/25/36		$	453,878	$	298,495
CSMC Mortgage-Backed Trust,
Series 2007-5, Class 1A9
7.00%		08/25/37	⁴		184,668		129,605
CSMC Trust,
Series 2020-RPL5, Class A1
3.02%		08/25/60	^1,4		269,670		273,128
CSMC,
Series 2014-8R, Class 3A2
3.94%		02/27/36	^1,4		1,015,378		978,217
Deutsche ALT-B Securities, Inc., Mortgage Loan Trust,
Series 2006-AB2, Class A2
4.98%		06/25/36	⁴		225,900		225,358
Deutsche Mortgage & Asset Receiving Corp.,
Series 2014-RS1, Class 1A2
6.50%		07/27/37	^1,4		431,089		407,659
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA6, Class 2A3
6.25%		11/25/36			826,895		438,016
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA1, Class A4
6.25%		03/25/37			691,786		452,799
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA2, Class 1A4
5.75%		04/25/37			828,627		464,013
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.48%)
0.57%		08/25/45	²		7,114		6,923
GSMSC Resecuritization Trust,
Series 2015-5R, Class 1C
(LIBOR USD 1-Month plus 0.14%)
0.22%		04/26/37	^1,2		594,843		587,245
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
2.86%		09/25/35	⁴		5,539		5,711
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(LIBOR USD 1-Month plus 0.68%)
0.77%		06/20/35	²		19,495		19,250
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2X (IO)
2.02%		06/20/35	^1,4,5,6		1,429,621		76,247
HarborView Mortgage Loan Trust,
Series 2006-5, Class X2 (IO)
2.65%		07/19/46	^4,5,6		3,122,220		261,526
IndyMac Index Mortgage Loan Trust,
Series 2006-AR3, Class 2A1A
2.95%		03/25/36	⁴		100,914		86,597
IndyMac Index Mortgage Loan Trust,
Series 2007-F2, Class 1A4
6.00%		07/25/37			10,415		9,983



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
JPMorgan Alternative Loan Trust,
Series 2006-S1, Class 3A4
6.18%		03/25/36	⁴	$	916,312	$	915,385
JPMorgan Mortgage Trust,
Series 2007-S1, Class 2A11
6.00%		03/25/37			398,099		252,698
Lehman Mortgage Trust,
Series 2006-1, Class 1A5
5.50%		02/25/36			160,477		125,705
Lehman Mortgage Trust,
Series 2006-7, Class 2A5 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
6.46%		11/25/36	^2,5,6		194,685		58,815
Lehman Mortgage Trust,
Series 2007-5, Class 10A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap)
6.25%		06/25/37	^2,5,6		259,001		76,394
Lehman Mortgage Trust,
Series 2007-5, Class 7A3
7.50%		10/25/36			585,224		357,207
Lehman XS Trust,
Series 2005-1, Class 3A4 (STEP-reset date 11/25/21)
5.37%		07/25/35			60,615		60,615
MASTR Alternative Loan Trust,
Series 2005-2, Class 4A3
(LIBOR USD 1-Month plus 0.40%)
0.49%		03/25/35	²		18,915		18,929
MASTR Alternative Loan Trust,
Series 2005-2, Class 4A4 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.10%, 5.10% Cap)
5.01%		03/25/35	^2,5,6		380,287		29,786
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A1, Class A3
(LIBOR USD 1-Month plus 0.16%)
0.41%		01/25/37	²		721,162		309,311
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A3
(LIBOR USD 1-Month plus 0.52%)
0.61%		04/25/37	²		1,961,965		209,128
Merrill Lynch Mortgage Investors Trust,
Series 2004-B, Class A1
(LIBOR USD 1-Month plus 0.50%)
0.59%		05/25/29	²		14,757		14,381
Morgan Stanley Mortgage Loan Trust,
Series 2007-13, Class 6A1
6.00%		10/25/37			182,465		142,570
Nomura Resecuritization Trust,
Series 2015-5R, Class 4A1
(LIBOR USD 1-Month plus 0.14%)
1.03%		07/26/37	^1,2		3,245		3,274
Residential Accredit Loans Trust,
Series 2005-QS14, Class 3A3
6.00%		09/25/35			175,469		174,387
Residential Accredit Loans Trust,
Series 2005-QS16, Class A7
5.50%		11/25/35			584,089		580,008



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2006-QS15, Class A3
6.50%		10/25/36		$	1,097,438	$	1,094,518
Residential Accredit Loans Trust,
Series 2006-QS4, Class A2
6.00%		04/25/36			377,689		368,533
Residential Accredit Loans Trust,
Series 2006-QS4, Class A4
6.00%		04/25/36			467,875		453,373
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A15
6.00%		06/25/36			191,162		183,852
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A2
6.00%		06/25/36			614,245		590,756
Residential Accredit Loans Trust,
Series 2007-QH9, Class X (IO) (PO)
0.69%		11/25/37	^4,5,6		13,496,850		375,595
Residential Accredit Loans Trust,
Series 2007-QO2, Class A1
(LIBOR USD 1-Month plus 0.15%)
0.24%		02/25/47	²		578,479		291,786
Residential Accredit Loans Trust,
Series 2007-QS1, Class 1A4
6.00%		01/25/37			613,191		599,041
Residential Accredit Loans Trust,
Series 2007-QS3, Class A1
6.50%		02/25/37			567,731		560,874
Residential Accredit Loans Trust,
Series 2007-QS7, Class 1A1
6.00%		05/25/37			62,890		61,760
Residential Asset Securitization Trust,
Series 2003-A15, Class 1A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap)
7.46%		02/25/34	^2,5,6		577,480		70,445
Residential Asset Securitization Trust,
Series 2005-A14, Class A5
5.50%		12/25/35			91,874		66,876
Residential Asset Securitization Trust,
Series 2005-A8CB, Class A9
5.38%		07/25/35			289,537		244,332
Residential Asset Securitization Trust,
Series 2006-A12, Class A1
6.25%		11/25/36			514,662		284,081
Residential Asset Securitization Trust,
Series 2006-A15, Class A2
6.25%		01/25/37			526,863		284,543
Residential Asset Securitization Trust,
Series 2006-A16, Class 1A3
6.00%		02/25/37			352,437		229,453
Residential Asset Securitization Trust,
Series 2006-A5CB, Class A4
6.00%		06/25/36			215,218		126,147
Residential Asset Securitization Trust,
Series 2007-A1, Class A1
6.00%		03/25/37			340,115		179,801



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		$	58,716	$	41,176
Residential Asset Securitization Trust,
Series 2007-A6, Class 1A3
6.00%		06/25/37			164,162		136,710
Residential Funding Mortgage Securities Trust,
Series 2006-S10, Class 1A1
6.00%		10/25/36			929,805		932,135
Residential Funding Mortgage Securities Trust,
Series 2006-S3, Class A7
5.50%		03/25/36			665,543		636,954
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A10
6.00%		07/25/36			300,725		297,423
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A14
6.00%		07/25/36			96,427		95,429
Residential Funding Mortgage Securities Trust,
Series 2007-S8, Class 1A1
6.00%		09/25/37			191,304		170,921
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 4A1
2.44%		02/25/34	⁴		1,591		1,604
Structured Asset Mortgage Investments II Trust,
Series 2006-AR2, Class A1
(LIBOR USD 1-Month plus 0.46%)
0.55%		02/25/36	²		22,404		21,686
VOLT XCVI LLC,
Series 2021-NPL5, Class A2 (STEP-reset date 10/25/21)
4.83%		03/27/51	¹		800,000		800,628
WaMu Mortgage Pass-Through Certificates,
Series 2006-2, Class 1A6
6.00%		03/25/36			30,931		31,586
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class X3 (IO)
1.15%		05/25/46	^5,6		9,114,422		410,830
Wells Fargo Alternative Loan Trust,
Series 2007-PA2, Class 1A1
6.00%		06/25/37			270,752		260,512
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37			480,938		479,410
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A3
2.53%		10/25/36	⁴		45,879		44,593
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 2A1
2.80%		04/25/36	⁴		10,784		9,921
Wells Fargo Mortgage-Backed Securities Trust,
Series 2007-7, Class A1
6.00%		06/25/37			311,710		314,246
							31,618,806

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed — 3.40%

Fannie Mae-Aces,

Series 2016-M11, Class X2 (IO)

2.97%

07/25/39

⁴

501,289

17,549

Fannie Mae-Aces,

Series 2016-M2, Class X3 (IO)

2.10%

04/25/36

⁴

161,750

1,642

Fannie Mae-Aces,

Series 2016-M4, Class X2 (IO)

2.70%

01/25/39

⁴

1,044,318

44,859

Freddie Mac Multifamily Structured Pass-Through

Certificates

Series K045, Class X1 (IO)

0.55%

11/25/25

⁴

32,071,179

397,140

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K017, Class X3 (IO)

2.36%

12/25/39

⁴

2,147,000

8,108

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K022, Class X3 (IO)

1.87%

08/25/40

⁴

900,000

13,480

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K028, Class X3 (IO)

1.72%

06/25/41

⁴

12,639,000

292,218

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K031, Class X3 (IO)

1.72%

07/25/41

⁴

1,170,000

29,158

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K037, Class X3 (IO)

2.28%

01/25/42

⁴

390,000

19,105

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K043, Class X1 (IO)

0.65%

12/25/24

⁴

23,696,085

358,488

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K044, Class X3 (IO)

1.53%

01/25/43

⁴

4,900,000

233,281

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K049, Class X1 (IO)

0.71%

07/25/25

⁴

13,105,829

259,805

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K049, Class X3 (IO)

1.60%

10/25/43

⁴

2,925,000

156,391

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K050, Class X1 (IO)

0.44%

08/25/25

⁴

22,216,257

254,274

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K056, Class X3 (IO)

2.18%

06/25/44

⁴

6,243,936

562,585

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K062, Class X3 (IO)

2.14%

01/25/45

⁴

3,000,000

294,476

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K063, Class X1 (IO)

0.42%

01/25/27

⁴

54,677,065

752,657

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K732, Class X3 (IO)

2.25%

05/25/46

⁴

4,850,000

364,571

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K735, Class X3 (IO)

2.23%

05/25/47

⁴

3,160,000

283,042

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K736, Class X3 (IO)

2.08%

09/25/47

⁴

2,495,000

215,408

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC05, Class X1 (IO)

1.34%

06/25/27

⁴

697,067

32,920

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KIR1, Class X (IO)

1.19%

03/25/26

⁴

950,172

37,857

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KLU1, Class X3 (IO)

4.10%

01/25/31

⁴

341,265

52,423

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KS05, Class X (IO)

0.12%

01/25/23

⁴

412,555

2,043

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series Q013, Class XPT1 (IO)

1.66%

05/25/25

5,879,959

205,251

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series Q013, Class XPT2 (IO)

1.81%

05/25/27

5,029,379

184,752

FREMF Mortgage Trust,

Series 2012-K20, Class X2A (IO)

0.20%

05/25/45

3,435,790

2,324

Ginnie Mae,

Series 2009-111, Class IO (IO)

0.22%

09/16/51

⁴

1,022,301

46,846



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2010-159, Class D
4.29%		09/16/44	⁴	$	428,415	$	440,725
Ginnie Mae,
Series 2011-119, Class IO (IO)
0.30%		08/16/51	⁴		1,824,331		8,592
Ginnie Mae,
Series 2011-86, Class C
3.63%		09/16/51	⁴		252,650		262,474
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.69%		12/16/51	⁴		2,302,741		41,760
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.54%		01/16/53	⁴		392,368		7,429
Ginnie Mae,
Series 2013-33, Class IO (IO)
0.51%		04/16/54	⁴		510,732		5,017
Ginnie Mae,
Series 2014-126, Class IO (IO)
0.72%		02/16/55	⁴		5,972,557		174,961

							6,063,611


U.S. Agency Mortgage-Backed — 14.10%
Fannie Mae Pool 462209
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.17%)
2.26%		04/01/36	²		55,333		55,674
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		5,989		6,271
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
5.91%		11/25/41	²		142,264		19,336
Fannie Mae REMICS,
Series 2012-139, Class AI (IO)
3.00%		12/25/27			268,807		16,780
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%		07/15/36			325,585		70,217
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.51%		10/20/33	²		378,859		71,829
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48			42,099		45,199
Ginnie Mae,
Series 2018-154, Class BP
3.50%		11/20/48			5,964		6,226
UMBS (TBA)
2.00%		11/01/51			11,925,000		11,933,577



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
2.50%		11/01/51	$	12,575,000	$	12,939,952

						25,165,061


Total Mortgage-Backed
(Cost $93,666,968)						87,788,003


MUNICIPAL BONDS — 0.48%*

California — 0.06%
Los Angeles Department of Airports Revenue Bonds, Port,
Airport and Marina Improvements, Series A
3.89%		05/15/38		100,000		112,905


Florida — 0.08%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.61%		10/01/32		100,000		102,448
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
3.45%		10/01/30		30,000		32,263

						134,711


New York — 0.28%
City of New York General Obligation Bonds, Public
Improvements, Series F
3.62%		04/01/31		155,000		169,064
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries
B3
1.85%		08/01/32		75,000		72,320
New York State Dormitory Authority Revenue Bonds, School
Improvements, Series F
3.11%		02/15/39		150,000		161,440
New York State Urban Development Corp. Revenue Bonds,
Economic Improvements, Series F
2.00%		03/15/33		100,000		96,914

						499,738


Ohio — 0.06%
Ohio, Taxable Revenue Bonds, Advanced Refunding,
Cleveland Clinic
2.89%		01/01/32		100,000		104,714


Total Municipal Bonds
(Cost $860,351)						852,068


U.S. TREASURY SECURITIES — 1.02%

U.S. Treasury Notes — 1.02%
U.S. Treasury Notes
0.88%		09/30/26		1,825,000		1,815,393


Total U.S. Treasury Securities
(Cost $1,815,091)

Total Bonds — 108.95%
(Cost $201,081,415)						194,378,580

Issues

Shares

Value

COMMON STOCK — 0.22%

Financials — 0.22%

AGNC Investment Corp.

25,500

402,135

Total Common Stock

(Cost $362,697)

WARRANT — 0.05%

Entertainment — 0.05%

Cineworld Group PLC^3,9

(United Kingdom)

152,713

85,453

Total Warrant

(Cost $–)

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 1.73%

Money Market Funds — 0.61%

Dreyfus Government Cash Management Fund

0.03%¹²

10,000

Fidelity Investments Money Market Funds - Government Portfolio

0.01%¹²

54,262

Morgan Stanley Institutional Liquidity Funds - Government Portfolio

0.03%¹²

1,021,000

1,085,262

U.S. Treasury Bills — 1.12%

U.S. Treasury Bills

0.04%¹³

03/03/22

2,000,000

1,999,670

Total Short-Term Investments

(Cost $3,084,917)

3,084,932

Total Investments - 110.95%

(Cost $204,529,029)

197,951,100

Net unrealized appreciation on unfunded commitments - 0.00%

4,434

Liabilities in Excess of Other Assets - (10.95)%

(19,547,113

)

Net Assets - 100.00%

178,408,421

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 September 30, 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 $3,650,830, which is 2.05% 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 $201,750, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $46,221, at an interest rate of 3.75% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.13% per annum.

⁹	Non-income producing security.

¹⁰	Security is currently in default with regard to scheduled interest or principal payments.

¹¹	Zero coupon bond. The rate shown is the effective yield as of September 30, 2021.

¹²	Represents the current yield as of September 30, 2021.

¹³	Represents annualized yield at date of purchase.

^†	Fair valued security. The aggregate value of fair valued securities is $569,513, which is 0.32% 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.

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(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

Issues

Maturity

Date

Principal

Amount

Value

BONDS – 93.55%

BANK LOANS — 86.64%*

Automotive — 0.20%

Clarios Global LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

04/30/26

211,302

210,642

Oeconnection LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.08%

09/25/26

736,114

735,194

945,836

Communications — 10.17%

A-L Parent LLC,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

4.25%

12/01/23

489,717

471,664

Altice Financing SA,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.90%

01/31/26

962,500

947,822

Altice France SA,

Term Loan B11, 1st Lien

(LIBOR plus 2.75%)

2.88%

07/31/25

994,805

981,027

Altice SA,

Term Loan B13, 1st Lien (France)

(LIBOR plus 4.00%)

4.12%

08/14/26

^1,2

486,250

485,642

Banijay Group U.S. Holding, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.83%

03/01/25

992,481

992,015

CCI Buyer, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

12/17/27

1,492,500

1,498,254

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

03/15/27

2,710,549

2,684,758

Charter Communications Operating LLC,

Term Loan B1, 1st Lien

(LIBOR plus 1.75%)

1.84%

04/30/25

940,345

940,110

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.84%

02/01/27

392,278

390,207

Clear Channel Outdoor Holdings,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.63%

08/21/26

151,102

148,209

Connect Finco SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

12/11/26

2,272,943

2,277,205

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Communications (continued)

Coralus Co-Borrower LLC,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

2.33%

01/31/28

2,250,000

2,222,572

Crown Subsea Communications Holding, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

5.75%

04/27/27

801,370

809,383

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

01/15/26

975,000

963,422

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

2.58%

04/15/27

989,950

980,154

Dawn Acquisition LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.90%

12/31/25

1,476,160

1,250,861

Diamond Sports Group LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.34%

08/24/26

1,492,386

935,845

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

5.75%

08/02/27

2,000,000

2,003,540

EW Scripps Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.75%

01/07/28

433,750

435,136

Frontier Communications holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

05/01/28

1,243,750

1,244,913

Global Tel*Link Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

4.33%

11/29/25

983,312

941,084

GTT Communications BV,

Term Loan B, 1st Lien

(EURIBOR plus 3.25%)

3.25%

05/31/25

710,927

701,884

GTT Communications, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.88%

05/30/25

493,257

420,502

Intelsat Jackson Holdings SA,

Delayed-Draw Term Loan, 1st Lien (Luxembourg)

(LIBOR plus 4.75%)

5.75%

07/13/22

^1,2,3

3,862,500

3,896,297

Term Loan B5, 1st Lien (Luxembourg)

8.63%

01/02/24

^1,2

500,000

509,375

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Communications (continued)

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.83%

03/01/27

2,337,328

2,311,652

MacDonald Dettwiler & Associates Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.84%

10/04/24

736,668

731,721

Metronet Systems Holdings LLC,

Term Loan B

(LIBOR plus 3.75%)

4.50%

06/02/28

1,496,250

1,501,861

MH Sub I LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

09/13/24

2,336,606

2,345,368

National Cinemedia LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

06/20/25

1,249,791

1,168,555

National CineMedia LLC,

Term Loan B, 1st Lien

(LIBOR plus 8.00%)

9.00%

12/20/24

582,749

585,663

NEP/NCP Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

10/20/25

1,240,434

1,197,019

Term Loan, 2nd Lien

(LIBOR plus 7.00%)

7.08%

10/19/26

440,000

424,417

New Insight Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.50%)

6.50%

12/20/24

481,250

476,789

Nexstar Broadcasting, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.25%)

2.33%

01/17/24

840,180

840,327

Sinclair Television Group, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 3.00%)

3.09%

04/01/28

1,620,827

1,608,671

Terrier Media Buyer, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.58%

12/17/26

1,527,954

1,526,571

Univision Communications, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.25%

05/06/28

1,000,000

999,820

UPC Financing Partnership,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

2.33%

04/30/28

250,000

247,865

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Communications (continued)

Virgin Media Bristol LLC,

Term Loan N, 1st Lien

(LIBOR plus 2.50%)

2.58%

01/31/28

1,000,000

994,505

Zayo Group Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

3.08%

03/09/27

2,004,276

1,988,913

48,081,598

Consumer Discretionary — 4.86%

ADMI Corp.,

Term Loan B2, 1st Lien

(LIBOR plus 3.13%)

3.63%

12/23/27

1,243,750

1,235,311

Arterra Wines Canada, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

4.25%

11/24/27

694,750

696,414

Birkenstock U.S. BidCo, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

04/28/28

750,000

750,394

Culligan International, Inc.,

Delayed-Draw Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.00%

07/31/28

127,778

128,337

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.50%

06/17/28

1,022,222

1,026,694

Four Seasons Hotels, Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.08%

11/30/23

952,500

950,714

Kwor Acquisition, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.08%

06/03/26

2,462,901

2,444,429

Landry’s,

Term Loan, 1st Lien

(LIBOR plus 12.00%)

13.00%

10/04/23

53,605

58,698

New Trojan Parent, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.75%

01/06/28

1,496,250

1,495,158

Nielsen Finance LLC,

Term Loan B4, 1st Lien

(LIBOR plus 2.00%)

2.08%

10/04/23

857,067

856,908

Peraton Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

02/01/28

2,487,500

2,493,333

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Discretionary (continued)

Prometric Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

4.00%

01/29/25

967,669

963,436

Refresco,

Term Loan B3, 1st Lien

(LIBOR plus 2.75%)

2.87%

03/28/25

1,940,400

1,933,725

Sunshine Luxembourg VII SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

10/01/26

2,238,750

2,247,571

Tecta America Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.00%

04/10/28

997,500

1,001,241

Triton Water Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.00%

03/31/28

1,496,250

1,496,160

Waystar technologies, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.08%

10/22/26

1,972,481

1,976,179

Weber-Stephen Products LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

4.00%

10/30/27

1,224,630

1,228,763

22,983,465

Consumer Products — 0.10%

Hoffmaster Group, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

5.00%

11/21/23

465,313

449,269

Electric — 1.81%

Astoria Energy LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

12/10/27

1,478,557

1,485,484

CommScope, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

04/06/26

1,962,456

1,956,529

Endure Digital, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.25%

02/10/28

1,995,000

1,987,269

Linden LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

10/01/27

1,290,233

1,296,220

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Electric (continued)

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.83%

12/31/25

1,853,267

1,841,304

8,566,806

Energy — 1.80%

Apro LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

11/14/26

1,339,570

1,343,757

Calpine Corp.,

Term Loan B10, 1st Lien

(LIBOR plus 2.00%)

2.08%

08/12/26

189,863

187,845

Centurion Pipeline Co., LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

09/29/25

972,500

956,697

DT Midstream, Inc.,

Term Loan B

(LIBOR plus 2.00%)

2.50%

06/12/28

2,493,750

2,495,895

EPIC Y-Grade Services,

Term Loan B, 1st Lien

(LIBOR plus 6.00%)

7.00%

06/30/27

251,238

216,535

ITT Holdings LLC,

Term Loan, 1st Lien

(LIBOR plus 2.75%)

3.25%

07/10/28

750,000

750,469

KAMC Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.12%

08/14/26

^1,4,5

735,000

672,525

Stonepeak Lonestar Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

4.63%

10/19/26

967,491

971,206

Traverse Midstream Partners LLC,

Term Loan B, 1st Lien

(LIBOR plus 5.50%)

6.50%

09/27/24

915,791

917,938

8,512,867

Entertainment — 1.74%

Cineworld Finance U.S., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

02/28/25

2,148,185

1,776,721

Crown Finance U.S., Inc.,

Term Loan B1, 1st Lien

7.00%

05/23/24

1,129,681

1,399,867

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Entertainment (continued)

NAI Entertainment Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

05/08/25

1,391,572

1,367,219

Nascar Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

2.58%

10/19/26

718,688

719,137

SMG US Midco 2, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.50%)

2.50%

01/23/25

498,731

491,874

WildBrain Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

5.00%

03/24/28

1,492,500

1,495,612

WMG Acquisition Corp.,

Term Loan G, 1st Lien

(LIBOR plus 2.13%)

2.21%

01/20/28

1,000,000

995,730

8,246,160

Finance — 4.43%

Auris Lux III SA,

Term Loan B, 1st Lien (Luxembourg)

(LIBOR plus 3.75%)

3.83%

02/27/26

^1,2

1,218,754

1,209,998

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B4, 1st Lien

(LIBOR plus 1.50%)

2.25%

02/12/27

496,222

492,086

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

2.75%

12/01/27

744,375

745,819

Camelot Finance SA,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.08%

10/30/26

982,500

981,169

DCG Acquisition Corp.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

4.59%

09/30/26

2,464,259

2,470,419

First Eagle Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.57%)

2.63%

02/01/27

1,435,118

1,422,690

Hertz Corp. (The),

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.00%

06/30/28

419,660

420,514

Term Loan C, 1st Lien

(LIBOR plus 3.50%)

4.00%

06/30/28

79,288

79,450

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Finance (continued)

Jane Street Group LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.83%

01/26/28

1,736,875

1,721,894

Mirion Technologies, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.08%

03/06/26

1,724,754

1,730,152

Mozart Borrower, LP,

Term Loan B

(LIBOR plus 3.25%)

3.25%

09/30/28

2,300,000

2,288,500

Pre-Paid Legal Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

05/01/25

990,000

994,331

Schweitzer-Mauduit International, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

02/09/28

1,995,000

1,997,494

Telenet Financing USD LLC,

Term Loan AR, 1st Lien

(LIBOR plus 2.00%)

2.08%

04/30/28

1,500,000

1,484,797

Trident TPI Holdings, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 4.00%)

4.50%

09/15/28

^1,6

875,776

878,329

Zebra Buyer LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.50%

04/22/28

2,000,000

2,008,570

20,926,212

Food — 4.44%

8th Avenue Food & Provisions, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

5.50%

10/01/25

500,000

498,750

CH Guenther Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.83%

03/31/25

475,134

473,651

Chobani LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

10/25/27

1,485,000

1,490,702

Dessert Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

06/09/28

^1,7

1,684,211

1,684,556

Flora Food Group,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.16%

07/02/25

1,959,808

1,929,803

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Food (continued)

Hostess Brands LLC,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

3.00%

08/03/25

2,415,980

2,411,910

Houston Foods, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.83%

07/20/25

2,247,520

2,222,235

JBS USA LUX SA,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 2.00%)

2.08%

05/01/26

^1,2

1,218,750

1,215,423

Matterhorn Merger Sub LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.08%

05/23/25

482,576

483,785

Shearer’s Foods LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.25%

09/23/27

2,044,676

Snacking Investments Bidco,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

12/18/26

492,500

495,066

Sovos Brands Intermediate, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

06/08/28

1,121,336

1,123,904

TKC Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.50%)

6.50%

05/15/28

995,595

995,441

U.S. Foods, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.00%)

2.08%

09/13/26

1,960,000

1,937,097

Utz Quality Foods LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.08%

01/20/28

1,983,758

1,983,768

20,990,767

Gaming — 2.31%

Bally’s Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.75%

08/06/28

500,000

500,487

Caesars Resort Collection LLC,

Term Loan, 1st Lien

(LIBOR plus 2.75%)

2.83%

12/23/24

1,443,750

1,437,044

Churchill Downs, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.10%

12/27/24

1,997,384

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Gaming (continued)

Gateway Casinos & Entertainment Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 6.50%)

7.50%

03/13/25

1,011,464

1,011,151

Golden Entertainment, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.75%

10/21/24

1,265,625

1,264,568

Golden Nugget,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.25%

10/04/23

1,983,092

1,976,270

GVC Holdings Gibraltar Ltd.,

Term Loan B4, 1st Lien

(LIBOR plus 2.50%)

3.00%

03/29/27

1,745,625

1,746,175

J&J Ventures Gaming LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

04/26/28

1,000,000

1,006,250

10,939,329

Health Care — 14.02%

ADMI Corp.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.83%

04/30/25

967,638

957,357

Avantor Funding, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

2.75%

11/08/27

1,492,500

1,496,701

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

2.50%

01/15/25

789,836

787,668

Bella Holding Co. LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

05/10/28

1,000,000

1,000,360

Buckeye Partners LP,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

2.33%

11/01/26

496,250

494,344

Cano Health LLC,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

5.25%

11/23/27

1,021,087

1,023,216

Catalent Pharma Solutions, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.50%

02/22/28

814,353

816,084

CCS-CMGC Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.50%)

5.58%

10/01/25

486,250

477,741

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Certara Holdco, Inc.,

Term Loan B

(LIBOR plus 3.50%)

3.58%

08/15/26

1,995,000

1,993,763

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

2,661,373

2,661,506

CPI Holdco LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.83%

11/04/26

2,225,554

2,228,347

Curia Global, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

08/30/26

2,191,685

2,196,474

Da Vinci Purchaser Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

01/08/27

2,223,112

2,234,928

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

08/01/27

1,275,980

1,261,963

Emerald Topco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.63%

07/24/26

1,481,187

1,473,552

Endo Luxembourg Finance Co.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

5.75%

03/27/28

1,844,418

1,807,917

eResearchTechnology, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

02/04/27

1,769,719

1,780,506

Femur Buyer, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

4.63%

03/05/26

627,817

592,502

Gentiva Health Services, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.88%

07/02/25

1,954,402

1,956,024

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.07%

11/15/27

982,500

967,763

HCRX Investments Holdco LP,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.25%

07/14/28

2,000,000

1,996,000

Heartland Dental LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.08%

04/30/25

498,750

498,251

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.58%

04/30/25

1,238,500

1,229,874

Horizon Therapeutics USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.50%

03/15/28

1,492,500

1,491,567

Jazz Financing Lux SARL,

Term Loan B, 1st Lien

(LIBOR plus 0.00%)

0.50%

05/05/28

1,995,000

1,999,997

Med Parentco LP,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

4.33%

08/31/26

1,473,451

1,472,877

Medical Solutions Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

06/14/24

960,473

962,875

Medplast Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.83%

07/02/25

970,000

939,202

National Seating & Mobility,

Term Loan, 1st Lien

(LIBOR plus 5.25%)

5.33%

11/16/26

1,977,435

1,979,907

NMN Holdings III Corp.,

Delayed-Draw Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.83%

11/13/25

258,762

252,778

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.83%

11/13/25

1,206,047

1,178,157

NMSC Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

6.00%

04/19/23

^1,4,5

408,891

409,300

Organon & Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.50%

06/02/28

1,496,250

1,501,861

Ortho-Clinical Diagnostics SA,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.08%

06/30/25

1,250,000

1,250,394

Pacific Dental Services, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.25%

05/05/28

997,500

1,002,901

Pathway Vet Alliance LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.83%

03/31/27

2,470,642

2,468,839

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Health Care (continued)

PetVet Care Centers LLC,

Term Loan B3, 1st Lien

(LIBOR plus 3.50%)

4.25%

02/14/25

2,488,588

2,492,483

Phoenix Guarantor, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.58%

03/05/26

1,988,756

1,983,784

Phoenix Newco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.50%

08/11/28

3,500,000

3,504,935

Premise Health Holding Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.63%

07/10/25

2,126,902

2,117,597

Prestige Brands, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.00%)

2.50%

06/09/28

1,500,000

1,500,465

Resonetics LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

04/28/28

1,250,000

1,253,644

Sotera Health Holdings LLC,

Term Loan, 1st Lien

(LIBOR plus 2.75%)

3.25%

12/11/26

1,000,000

998,335

Surgery Center Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

08/31/26

1,202,613

1,206,034

Tecomet, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

05/01/24

195,417

193,268

U.S. Renal Care, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

5.08%

06/26/26

776,469

(LIBOR plus 5.50%)

6.50%

06/26/26

1,000,000

1,005,785

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.83%

11/27/25

398,779

398,157

66,274,452

Industrials — 11.33%

Anchor Packaging LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.08%

07/18/26

1,979,747

1,980,994

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Industrials (continued)

Arterrsa Services LLC,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

4.50%

03/06/25

1,496,250

1,490,647

BCPE Empire Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.08%

06/11/26

1,225,767

1,220,656

4.50%

06/11/26

498,750

497,817

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

1.86%

07/01/26

2,070,521

2,061,721

Brown Group Holding LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

3.25%

06/07/28

467,191

467,446

Charter NEX U.S., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

12/01/27

1,745,614

1,751,479

Clean Harbors, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.83%

06/28/24

1,781,047

1,783,522

Conserve Merger Sub, Inc.,

Term Loan, 1st Lien (France)

(LIBOR plus 3.50%)

3.59%

08/08/25

^1,2

1,940,000

1,921,570

Convergint Technologies,

Delayed-Draw Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

03/31/28

^1,8

79,757

80,127

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

03/31/28

412,386

414,300

Deliver Buyer, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

5.13%

05/01/24

1,074,500

1,079,201

Eagle 4 Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

07/12/28

500,000

496,250

Energizer Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

2.75%

12/22/27

995,000

996,035

Engineered Machinery Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

05/19/28

491,174

491,481

Ingram Micro, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.00%

06/30/28

997,500

1,001,116

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Iridium Satellite LLC,

Term Loan B2, 1st Lien

(LIBOR plus 2.50%)

3.25%

11/04/26

1,244,137

1,246,470

Jade Germany GMBH,

Term Loan, 1st Lien (Germany)

(LIBOR plus 5.50%)

6.50%

05/31/23

^1,2

499,773

467,288

Liqui-Box Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

02/26/27

987,500

936,481

MAR Bidco SARL,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

4.75%

07/06/28

1,750,000

Mauser Packaging Solutions Holdings,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

04/03/24

1,499,099

1,470,871

Michaels Cos., Inc. (The),

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.00%

04/15/28

997,500

999,650

Patriot Container Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.75%

03/20/25

1,473,282

Pelican Products, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

05/01/25

1,473,520

1,471,685

Plaze, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.58%

08/03/26

1,773,833

1,766,082

(LIBOR plus 3.75%)

4.50%

08/03/26

496,250

496,458

Pretium Packaging Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

11/05/27

1,736,875

1,739,723

Proampac PG Borrower LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

11/03/25

2,935,250

2,944,423

Protective Industrial Products, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

12/29/27

1,788,621

Refficiency Holdings LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

12/16/27

^1,9

832,419

833,718

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Industrials (continued)

Ring Container Technologies Group, LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

08/04/28

1,000,000

1,002,375

Spectrum Holdings III Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

4.25%

01/31/25

1,408,924

1,380,527

Standard Industries, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.00%

09/22/28

1,500,000

1,503,218

Titan Acquisition, Ltd.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

3.17%

03/28/25

491,094

482,947

Transcendia Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

05/30/24

2,435,587

2,179,851

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

2.33%

05/30/25

490,019

484,584

TricorBraun Holdings, Inc.,

Delayed-Draw Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.75%

03/03/28

^1,10

94,109

93,709

Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.75%

03/03/28

1,221,499

1,216,314

U.S. Ecology, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

2.58%

11/02/26

491,250

491,326

Univar Solutions USA, Inc.,

Term Loan B6, 1st Lien

(LIBOR plus 2.00%)

2.08%

06/05/28

1,496,250

1,494,649

USIC Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

4.25%

05/12/28

1,500,000

1,500,938

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

08/12/24

4,731,454

4,627,953

53,577,505

Information Technology — 13.23%

AppLovin Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

08/15/25

744,260

744,201



Issues	Maturity Date	Principal Amount		Value

BANK LOANS (continued)

Information Technology (continued)
AQA Acquisition Holding, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
4.75%	03/03/28¹	$	1,496,250	$	1,505,602
BJ’s Wholesale Club, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.08%	02/03/24¹		1,363,627		1,365,945
Buzz Merger Sub, Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.83%	01/29/27¹		1,484,943		1,484,015
Caesars Resort Collection LLC,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.58%	07/20/25¹		990,000		991,990
Castle U.S. Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.88%	01/29/27¹		987,500		981,121
CHG Healthcare Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.00%	09/22/28¹		750,000		752,010
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%	12/16/25¹		1,274,847		1,278,633
DCert Buyer, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.08%	10/16/26¹		1,729,959		1,732,364
Dell International LLC,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
2.00%	09/19/25¹		852,736		853,422
E2open LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	02/04/28¹		1,995,000		1,998,431
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.58%	08/14/25¹		2,715,262		2,687,431
EQT Box Merger Sub, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
3.75%	04/17/28¹		250,000		249,687
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	10/01/27¹		1,492,481		1,498,078
Helios Software Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.92%	03/11/28¹		1,657,143		1,657,350



Issues	Maturity Date	Principal Amount		Value

BANK LOANS (continued)

Information Technology (continued)
Imperva, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.00%	01/12/26¹	$	1,763,212	$	1,768,722
ION Analytics,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.50%	02/16/28¹		677,083		680,228
IQVIA, Inc.,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.83%	01/17/25¹		886,762		885,432
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.88%	06/11/25¹		1,372,461		1,371,432
Logmein, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
4.83%	08/31/27¹		1,488,750		1,489,800
Magenta Buyer LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	07/27/28¹		2,000,000		2,002,500
Maximus, Inc.,
Term Loan B
(LIBOR plus 2.00%)
2.50%	05/28/28¹		1,496,250		1,499,991
Northwest Fiber LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.83%	04/30/27¹		995,000		995,249
Oryx Midstream Services, LLC,
Term Loan B
(LIBOR plus 3.25%)
3.75%	09/30/28¹		1,250,000		1,243,750
Pactiv Evergreen Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	09/20/28¹		2,250,000		2,250,000
Panther Purchaser LP,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
4.75%	01/07/28¹		1,496,250		1,503,417
Precision Medicine Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.75%	11/18/27^1,11		2,633,942		2,637,775
Pretium Packaging Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.50%	09/22/28¹		1,250,000		1,253,031
Project Alpha Intermediate Holding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.09%	04/26/24¹		1,950,262		1,951,832

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Proofpoint, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.75%

08/31/28

1,000,000

996,000

RealPage, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.75%

04/24/28

1,500,000

1,497,030

Scientific Games International, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.75%)

2.83%

08/14/24

1,938,594

1,932,420

Sitel Worldwide Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

08/27/28

1,500,000

1,503,750

Skillsoft Finance II, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

5.50%

06/30/28

1,250,000

1,257,812

Sophia LP,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.88%

10/07/27

987,513

992,346

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

03/04/28

1,995,000

2,002,820

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.83%

04/16/25

668,832

663,107

Term Loan B4, 1st Lien

(LIBOR plus 1.75%)

1.83%

04/16/25

506,468

502,132

Sunshine Software Merger Sub, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.75%

09/21/28

1,500,000

1,499,535

Surf Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.62%

03/05/27

2,028,106

2,019,923

TierPoint LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

05/05/26

972,226

975,264

TTM Technologies, Inc.,

Term Loan, 1st Lien

(LIBOR plus 2.50%)

2.59%

09/28/24

1,000,000

1,002,710

Veeam Software,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.08%

02/28/27

992,443

993,064

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

VT Topco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

3.33%

08/01/25

1,712,907

1,698,561

Zelis Payments Buyer, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.59%

09/30/26

738,778

736,636

Zotec Partners LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.75%

02/14/24

941,906

943,088

62,529,637

Insurance — 1.36%

Acrisure LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.63%

02/15/27

2,982,355

2,959,988

Alliant Holdings Intermediate LLC,

Term Loan B3, 1st Lien

(LIBOR plus 3.75%)

4.25%

11/05/27

995,384

997,599

Asurion LLC,

Term Loan B8, 1st Lien

(LIBOR plus 3.25%)

3.33%

12/23/26

495,006

488,286

Term Loan B9, 1st Lien

(LIBOR plus 3.25%)

3.33%

07/31/27

497,500

490,784

Howden Group Holdings Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

4.00%

11/12/27

994,974

995,134

Hyperion Refinance SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.75%

11/12/27

495,678

496,297

6,428,088

Materials — 3.70%

American Rock Salt Co. LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

06/09/28

997,500

1,004,069

Archroma Finance SARL,

Term Loan B2, 1st Lien (Switzerland)

(LIBOR plus 4.25%)

4.33%

08/12/24

^1,2

720,000

716,400

Cyanco Intermediate Corp.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.59%

03/16/25

424,183

423,604

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Materials (continued)

Geon Performance Solutions, LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

5.50%

08/10/28

1,200,000

1,210,122

Herens U.S. Holdco Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

07/03/28

1,845,375

1,853,282

ICP Group,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

12/29/27

1,492,500

1,493,746

INEOS U.S. Quattro LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

3.25%

01/29/26

1,246,875

1,248,901

Israel Chemicals Ltd.,

Term Loan, 1st Lien (Israel)

(LIBOR plus 3.00%)

3.08%

03/28/25

^1,2

986,955

985,825

Lummus Technology Holdings V LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.58%

06/30/27

1,894,523

1,894,267

Plaskolite PPC Intermediate II LLC,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

12/15/25

1,492,500

1,496,701

Polar U.S. Borrower LLC,

Term Loan, 1st Lien

(LIBOR plus 4.75%)

4.87%

10/15/25

541,551

(PRIME plus 3.75%)

7.00%

10/15/25

2,771

Potters Borrower LP,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

12/14/27

995,000

996,871

SK Invictus Intermediate,

Term Loan, 2nd Lien

(LIBOR plus 6.75%)

6.83%

03/30/26

1,000,000

1,000,470

Tronox Finance LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

03/10/28

272,308

271,579

2.38%

03/10/28

576,923

575,380

WR Grace Holdings, LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

09/22/28

1,750,000

1,758,479

17,474,018

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Real Estate Investment Trust (REIT) — 0.56%

Aveanna Healthcare LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

07/01/28

1,622,642

1,624,037

Rent-A-Center, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.75%

02/17/28

995,000

999,975

2,624,012

Retail — 3.12%

American Airlines, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.75%)

5.50%

04/20/28

1,500,000

1,552,807

AmWINS Group, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

3.00%

02/19/28

1,736,878

1,728,202

Aveanna Healthcare LLC,

Delayed-Draw Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.00%

07/17/28

377,358

377,683

BC ULC,

Term Loan B, 1st Lien (Canada)

(LIBOR plus 1.75%)

1.84%

11/19/26

^1,2

2,124,036

2,101,903

BW Gas & Convenience Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.00%

03/17/28

1,246,875

1,249,992

Clean Harbors, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.25%

09/21/28

750,000

751,560

Curium Bidco SARL,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.13%

07/09/26

989,899

990,518

(LIBOR plus 4.25%)

5.00%

12/02/27

992,500

996,222

Harbor Freight Tools USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

3.25%

10/19/27

498,744

499,078

KFC Holding Co.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

03/15/28

730,010

730,988

SRS Distribution, Inc.,

Term Loan B

(LIBOR plus 3.75%)

4.25%

06/02/28

750,000

750,780

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Retail (continued)

U.S. Anesthesia Partners, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

4.75%

09/22/28

1,500,000

1,504,102

Whatabrands LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.75%

08/03/28

1,500,000

1,500,338

14,734,173

Services — 5.81%

Adtalem Global Education, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.25%

08/12/28

1,500,000

1,503,938

AECOM,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

5.50%

01/29/27

2,487,500

2,511,753

Allied Universal Holdco LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

05/12/28

2,000,000

2,003,970

Aramark Services, Inc.,

Term Loan, 1st Lien

(LIBOR plus 1.75%)

1.83%

03/11/25

1,865,325

1,828,597

ArchKey Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 5.25%)

6.00%

06/29/28

500,000

502,188

Bifm CA Buyer, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.84%

06/01/26

^1,12

893,389

890,039

CCRR Parent, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

03/06/28

995,000

998,731

CoreLogic, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.00%

06/02/28

2,250,000

2,250,473

Ensemble RCM LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.88%

08/03/26

988,665

991,665

Guidehouse LLP,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.08%

05/01/25

1,734,952

1,740,383

Hornblower Sub LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

04/27/25

1,500,000

1,425,000

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Services (continued)

Lakeland Holdings LLC,

Term Loan, 1st Lien

(LIBOR plus 13.25%)

13.25%

09/25/27

^1,4,5

522,599

346,658

Lakeland Tours LLC,

Term Loan, 1st Lien

(LIBOR plus 12.00%)

13.25%

09/25/23

^1,4,5

188,423

190,897

(LIBOR plus 7.50%)

8.75%

09/25/25

^1,4,5

837,879

775,177

Mavenir Systems, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

5.25%

08/13/28

650,000

652,437

Olympus Water US Holding Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.75%

09/21/28

1,000,000

999,895

PowerTeam Services LLC,

Term Loan, 1st Lien

(LIBOR plus 3.25%)

4.25%

03/06/25

148,875

148,085

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

8.25%

03/06/26

^1,4,5

880,000

875,965

Technimark Holdings LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.25%

06/30/28

2,992,500

2,988,759

University Support Services LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.34%

07/17/25

1,861,539

Verscend Holding Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.08%

08/27/25

997,500

1,000,198

WW International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.00%

04/13/28

997,500

997,605

27,483,952

Transportation — 1.65%

American Airlines, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

01/29/27

271,094

260,691

Kenan Advantage Group, Inc. (The),

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

03/24/26

986,507

987,054

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

8.00%

08/17/29

2,350,000

2,335,313



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Transportation (continued)
Kestrel Bidco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
4.00%		12/11/26	¹	$	491,250	$	480,504
Ozark Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.25%		12/16/27	¹		1,994,859		2,000,843
United Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		04/21/28	¹		1,741,250		1,757,182


							7,821,587


Total Bank Loans
(Cost $407,414,958)							409,589,733


CORPORATES — 6.91%*

Banking — 0.39%
Bank of America Corp.
3.00%		12/20/23	¹³		1,300,000		1,340,041
HSBC Holdings PLC
(United Kingdom)
(LIBOR USD 3-Month plus 1.00%)
1.12%		05/18/24	^1,2		500,000		505,718


							1,845,759


Communications — 1.75%
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹⁴		4,353,000		2,893,040
Intelsat Jackson Holdings SA
(Luxembourg)
8.50%		10/15/24	^2,14,15,16		1,000,000		580,000
National CineMedia LLC
5.88%		04/15/28	¹⁴		500,000		458,395
Scripps Escrow II, Inc.
5.38%		01/15/31	¹⁴		400,000		393,850
T-Mobile USA, Inc.
2.25%		02/15/26			2,500,000		2,531,315
3.88%		04/15/30			1,280,000		1,414,009


							8,270,609


Energy — 0.44%
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	¹⁴		1,500,000		1,531,482
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		09/01/27			500,000		530,053


							2,061,535


Finance — 0.74%
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.55%)
0.68%		08/25/36	¹		1,800,000		1,578,431
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	²		75,000		90,092



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Goldman Sachs Group, Inc. (The)
3.27%		09/29/25	¹³	$	980,000	$	1,048,208
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^2,14		750,000		783,886


							3,500,617


Food — 0.51%
Pilgrim’s Pride Corp.
3.50%		03/01/32	¹⁴		2,350,000		2,394,510


Health Care — 1.85%
180 Medical, Inc.
3.88%		3.88	¹⁴		1,000,000		1,000,000
Centene Corp.
3.00%		10/15/30			1,400,000		1,436,750
Cigna Corp.
(LIBOR USD 3-Month plus 0.89%)
1.02%		07/15/23	¹		2,700,000		2,733,792
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^2,14		650,000		469,625
Molina Healthcare, Inc.
3.88%		11/15/30	¹⁴		500,000		527,917
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	¹⁴		697,000		732,965
Prime Healthcare Services, Inc.
7.25%		11/01/25	¹⁴		1,250,000		1,340,625
Tenet Healthcare Corp.
4.63%		09/01/24	¹⁴		500,000		511,876


							8,753,550


Industrials — 0.68%
Artera Services LLC
9.03%		12/04/25	¹⁴		380,000		412,662
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.60%		08/15/36	¹		850,000		742,028
Sealed Air Corp.
5.25%		04/01/23	¹⁴		1,500,000		1,569,375
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^2,14		250,000		256,120
Trident TPI Holdings, Inc.
9.25%		08/01/24	¹⁴		250,000		263,048


							3,243,233


Retail — 0.55%
FirstCash, Inc.
4.63%		09/01/28	¹⁴		500,000		519,375

Issues

Maturity

Date

Principal

Amount

Value

CORPORATES (continued)

Retail (continued)

Michaels Cos., Inc. (The)

7.88%

05/01/29

¹⁴

2,000,000

2,080,950

2,600,325

Total Corporates

(Cost $32,189,631)

32,670,138

Total Bonds — 93.55%

(Cost $439,604,589)

442,259,871

Issues

Shares

Value

WARRANT — 0.03%

Entertainment — 0.03%

Cineworld Group PLC^2,15

(United Kingdom)

229,579

128,464

Total Warrant

(Cost $–)

Issues

Maturity
Date

Principal
Amount/Shares

Value

SHORT-TERM INVESTMENTS — 9.39%

Money Market Funds — 4.11%

Dreyfus Government Cash Management Fund

0.03%¹⁷

1,902,000

Fidelity Investments Money Market Funds - Government

Portfolio

0.01%¹⁷

41,002

Morgan Stanley Institutional Liquidity Funds - Government

Portfolio

0.03%¹⁷

17,468,000

19,411,002

U.S. Treasury Bills — 5.28%

U.S. Treasury Bills

0.05%¹⁸

02/10/22

20,000,000

19,997,067

0.04%¹⁸

03/03/22

5,000,000

4,999,177

24,996,244

Total Short-Term Investments

(Cost $44,406,622)

44,407,246

Total Investments—102.97%

(Cost $484,011,211)

486,795,581

Net unrealized appreciation on unfunded commitments - 0.00%

17,475

Liabilities in Excess of Other Assets - (2.97)%

(14,059,126

)

Net Assets—100.00%

472,753,930

¹	Floating rate security. The rate disclosed was in effect at September 30, 2021.

²	Foreign denominated security issued by foreign domiciled entity.

³	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $779,259, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum.

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 $3,270,522, which is 0.69% 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 $124,586, at an interest rate of 2.00% and a maturity of September 15, 2028. The investment is not accruing an unused commitment fee.

⁷	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $315,854, at an interest rate of 4.00% and a maturity of June 09, 2028. 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 $6,654, at an interest rate of 3.75% and a maturity of March 31, 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 $161,542, at an interest rate of 4.00% and a maturity of December 16, 2027. The investment is not accruing an unused commitment fee.

¹⁰	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $180,562, at an interest rate of 3.25% and a maturity of March 03, 2028. The investment is not accruing an unused commitment fee.

¹¹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $346,657, at an interest rate of 3.75% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.25% per annum.

¹²	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $101,658, at an interest rate of 1.00% and a maturity of June 01, 2026. The investment is not accruing an unused commitment fee.

¹³	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.

¹⁴	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.

¹⁵	Non-income producing security.

¹⁶	Security is currently in default with regard to scheduled interest or principal payments.

¹⁷	Represents the current yield as of September 30, 2021.

¹⁸	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.

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(USD): U.S. Dollar

Issues

Maturity

Date

Principal

Amount

Value

BONDS – 92.09%

BANK LOANS — 18.20%*

Communications — 4.88%

CenturyLink, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

03/15/27

913,725

905,031

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

07/17/25

13,168,659

13,011,227

Diamond Sports Group LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.34%

08/24/26

1,044,670

655,092

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

5.75%

08/02/27

4,000,000

4,007,080

Frontier Communications holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

05/01/28

3,781,000

3,784,535

GTT Communications BV,

Term Loan B, 1st Lien

(EURIBOR plus 3.25%)

3.25%

05/31/25

1,244,122

1,228,297

GTT Communications, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.88%

05/30/25

1,122,015

956,517

Intelsat Jackson Holdings SA,

Delayed-Draw Term Loan, 1st Lien (Luxembourg)

(LIBOR plus 4.75%)

5.75%

07/13/22

^1,2,3

6,416,667

6,472,813

Term Loan B5, 1st Lien (Luxembourg)

8.63%

01/02/24

^1,2

1,329,300

1,354,224

MacDonald Dettwiler & Associates Ltd.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.84%

10/04/24

1,890,818

1,878,121

National Cinemedia LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

06/20/25

766,960

717,108

NEP/NCP Holdco, Inc.,

Term Loan, 2nd Lien

(LIBOR plus 7.00%)

7.08%

10/19/26

875,000

844,012

Nexstar Broadcasting, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 2.25%)

2.33%

01/17/24

2,071,425

2,071,787

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Zayo Group Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

3.08%

03/09/27

2,071,086

2,055,211

39,941,055

Consumer Discretionary — 1.25%

ADMI Corp.,

Term Loan B2, 1st Lien

(LIBOR plus 3.13%)

3.63%

12/23/27

1,915,375

1,902,379

Kwor Acquisition, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.08%

06/03/26

2,729,061

2,708,593

Landry’s,

Term Loan, 1st Lien

(LIBOR plus 12.00%)

13.00%

10/04/23

56,625

62,005

Peraton Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

02/01/28

3,830,750

3,839,733

Triton Water Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.00%

03/31/28

1,720,688

1,720,584

10,233,294

Electric — 0.12%

CommScope, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

04/06/26

980,000

977,040

Entertainment — 0.74%

Cineworld Finance U.S., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

02/28/25

5,200,157

4,300,946

Crown Finance U.S., Inc.,

Term Loan B1, 1st Lien

7.00%

05/23/24

1,418,826

1,758,167

6,059,113

Finance — 0.13%

Auris Lux III SA,

Term Loan B, 1st Lien (Luxembourg)

(LIBOR plus 3.75%)

3.83%

02/27/26

^1,2

1,079,599

1,071,843

Food — 0.46%

Houston Foods, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.83%

07/20/25

3,826,066

3,783,023

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Gaming — 0.49%

Churchill Downs, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.10%

12/27/24

2,048,202

Golden Nugget,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.25%

10/04/23

1,937,943

1,931,277

3,979,479

Health Care — 2.84%

Avantor Funding, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

2.75%

11/08/27

1,741,250

1,746,151

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

4,667,172

4,667,405

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

08/01/27

3,723,541

3,682,638

Endo Luxembourg Finance Co.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

5.75%

03/27/28

560,311

549,222

eResearchTechnology, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

02/04/27

863,442

868,705

Gentiva Health Services, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.88%

07/02/25

1,283,483

1,284,549

ICON Luxembourg SARL,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.00%

07/03/28

3,050,433

3,063,977

Indigo Merger Sub, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.00%

07/03/28

760,017

763,392

Phoenix Newco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.50%

08/11/28

4,000,000

4,005,640

PPD, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.50%

01/13/28

2,596,950

2,595,872

23,227,551

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Industrials — 3.06%

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

1.86%

07/01/26

2,976,676

2,964,025

Charter NEX U.S., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

12/01/27

2,606,900

2,615,659

Liqui-Box Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

02/26/27

1,481,250

1,404,721

Mauser Packaging Solutions Holdings,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

04/03/24

2,453,659

2,407,457

Plaze, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

08/03/26

2,313,058

2,314,030

Proampac PG Borrower LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

11/03/25

2,606,900

2,615,047

Titan Acquisition, Ltd.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

3.17%

03/28/25

918,346

903,111

Transcendia Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

4.50%

05/30/24

869,367

778,083

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

2.33%

05/30/25

923,550

913,308

Trident TPI Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

4.00%

10/17/24

3,464,010

3,465,933

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

08/12/24

4,739,516

4,635,839

25,017,213

Information Technology — 2.11%

CT Technologies Intermediate Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.00%

12/16/25

1,044,750

1,047,853

IQVIA, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.88%

06/11/25

4,637,492

4,634,014

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Information Technology (continued)

RealPage, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.75%

04/24/28

1,050,000

1,047,921

Scientific Games International, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.75%)

2.83%

08/14/24

1,877,544

1,871,563

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

03/04/28

2,743,125

2,753,878

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.83%

04/16/25

2,401,526

2,380,969

Term Loan B4, 1st Lien

(LIBOR plus 1.75%)

1.83%

04/16/25

1,818,537

1,802,971

TierPoint LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

05/05/26

1,708,802

1,714,142

17,253,311

Insurance — 0.24%

Acrisure LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.63%

02/15/27

1,984,887

1,970,000

Real Estate Investment Trust (REIT) — 0.68%

Aveanna Healthcare LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

07/01/28

1,277,830

1,278,929

Rent-A-Center, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.75%

02/17/28

3,407,875

3,424,914

SBA Senior Finance II LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

04/11/25

913,477

905,818

5,609,661

Retail — 0.20%

American Airlines, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.75%)

5.50%

04/20/28

430,000

445,138

Aveanna Healthcare LLC,

Delayed-Draw Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.00%

07/17/28

297,170

297,425



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Retail (continued)
U.S. Anesthesia Partners, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
4.75%		09/22/28	¹	$	870,000	$	872,380

							1,614,943


Services — 0.51%
AECOM,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.50%		01/29/27	¹		1,741,250		1,758,227
PowerTeam Services LLC,
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.25%		03/06/26	^1,4,5		2,402,000		2,390,987

							4,149,214


Transportation — 0.49%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.00%		08/17/29	¹		4,000,000		3,975,000


Total Bank Loans
(Cost $147,271,263)							148,861,740


CORPORATES — 73.89%*

Automotive — 0.63%
Ford Motor Credit Co. LLC
2.90%		02/16/28			5,160,000		5,136,500


Communications — 19.56%
Altice France SA
(France)
5.50%		10/15/29	^2,6		4,805,000		4,764,715
AT&T, Inc.
3.55%		09/15/55			3,250,000		3,212,327
4.50%		05/15/35			4,043,000		4,732,498
Block Communications, Inc.
4.88%		03/01/28	⁶		2,272,000		2,331,640
Cable One, Inc.
4.00%		11/15/30	⁶		1,250,000		1,243,750
CCO Holdings LLC/CCO Holdings Capital Corp.
5.50%		05/01/26	⁶		8,121,000		8,375,025
Cogent Communications Group, Inc.
3.50%		05/01/26	⁶		4,025,000		4,100,326
CommScope, Inc.
4.75%		09/01/29	⁶		4,000,000		4,000,000
CSC Holdings LLC
3.38%		02/15/31	⁶		2,500,000		2,327,189
4.50%		11/15/31	⁶		6,000,000		5,934,361
6.50%		02/01/29	⁶		1,141,000		1,237,072
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%		08/15/26	⁶		6,975,000		4,635,643
6.63%		08/15/27	⁶		6,971,000		3,103,400
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.
5.88%		08/15/27	⁶		300,000		313,493



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
DISH DBS Corp.
7.38%		07/01/28		$	2,552,000	$	2,709,471
DISH Network Corp.
3.38%		08/15/26			5,120,000		5,335,040
Intelsat Jackson Holdings SA
(Luxembourg)
5.50%		08/01/23	^2,7,8		6,350,000		3,551,523
8.50%		10/15/24	^2,6,7,8		2,853,000		1,654,740
9.75%		07/15/25	^2,6,7,8		4,051,000		2,284,923
Intelsat Luxembourg SA
(Luxembourg)
8.13%		06/01/23	^2,7,8		2,545,000		22,269
Lamar Media Corp.
3.75%		02/15/28			1,745,000		1,797,865
Level 3 Financing, Inc.
3.63%		01/15/29	⁶		4,000,000		3,880,364
3.75%		07/15/29	⁶		5,000,000		4,838,650
4.25%		07/01/28	⁶		3,000,000		3,032,602
4.63%		09/15/27	⁶		2,650,000		2,729,633
Lumen Technologies, Inc.
4.00%		02/15/27	⁶		1,956,000		1,999,973
5.38%		06/15/29	⁶		2,827,000		2,888,091
Midcontinent Communications/Midcontinent Finance Corp.
5.38%		08/15/27	⁶		2,246,000		2,342,488
National CineMedia LLC
5.75%		08/15/26			2,750,000		2,237,812
5.88%		04/15/28	⁶		3,702,000		3,393,957
Outfront Media Capital LLC/Outfront Media Capital Corp.
4.63%		03/15/30	⁶		445,000		446,501
Qwest Corp.
6.75%		12/01/21			6,582,000		6,647,181
7.25%		09/15/25			893,000		1,063,938
Scripps Escrow II, Inc.
5.38%		01/15/31	⁶		2,062,000		2,030,297
Scripps Escrow, Inc.
5.88%		07/15/27	⁶		2,579,000		2,656,370
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	⁶		3,782,000		4,333,477
Sinclair Television Group, Inc.
4.13%		12/01/30	⁶		6,970,000		6,821,888
Sirius XM Radio, Inc.
5.50%		07/01/29	⁶		362,000		392,933
Sprint Corp.
7.88%		09/15/23			10,307,000		11,529,410
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
5.15%		03/20/28	⁶		7,850,000		8,980,793
T-Mobile USA, Inc.
2.25%		02/15/26			8,657,000		8,765,437
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	^2,6		7,175,000		7,294,997



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%		07/15/31	^2,6	$	3,920,000	$	4,009,886

							159,983,948


Consumer Discretionary — 0.93%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^2,6		675,000		744,254
BAT Capital Corp.
5.28%		04/02/50			2,273,000		2,617,467
Edgewell Personal Care Co.
5.50%		06/01/28	⁶		1,085,000		1,146,756
Everi Holdings, Inc.
5.00%		07/15/29	⁶		815,000		835,375
Live Nation Entertainment, Inc.
6.50%		05/15/27	⁶		215,000		236,769
Primo Water Holdings, Inc.
4.38%		04/30/29	⁶		2,000,000		1,997,210

							7,577,831


Consumer Products — 0.41%
Newell Brands, Inc.
4.35%		04/01/23			1,325,000		1,381,392
4.88%		06/01/25			1,800,000		1,993,410

							3,374,802


Electric — 1.40%
FirstEnergy Corp.
2.65%		03/01/30			6,886,000		6,868,785
FirstEnergy Corp.,
Series C
3.40%		03/01/50			3,745,000		3,609,656
5.35%		07/15/47			148,000		181,196
Jersey Central Power & Light Co.
2.75%		03/01/32	⁶		800,000		820,343

							11,479,980


Energy — 9.43%
Antero Resources Corp.
7.63%		02/01/29	⁶		611,000		685,389
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%		04/01/28	⁶		5,267,000		5,464,513
DCP Midstream Operating LP
5.60%		04/01/44			754,000		882,946
Devon Energy Corp.
5.00%		06/15/45			1,037,000		1,217,749
Endeavor Energy Resources LP/EER Finance, Inc.
5.75%		01/30/28	⁶		2,904,000		3,060,090
Energy Transfer LP
5.00%		05/15/50			840,000		970,886
5.35%		05/15/45			820,000		960,107
5.40%		10/01/47			500,000		596,830
Energy Transfer LP,
Series B
6.63%		02/15/70	⁹		5,263,000		5,138,004



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Hess Corp.
5.60%		02/15/41		$	1,047,000	$	1,304,440
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	⁶		5,270,000		5,380,609
Occidental Petroleum Corp.
0.00%		10/10/36	¹⁰		19,685,000		10,875,962
4.40%		08/15/49			4,300,000		4,230,714
Petroleos Mexicanos
(Mexico)
6.75%		09/21/47	²		524,000		457,819
7.69%		01/23/50	²		425,000		403,012
Rockies Express Pipeline LLC
4.80%		05/15/30	⁶		650,000		672,750
6.88%		04/15/40	⁶		2,984,000		3,297,320
Ruby Pipeline LLC
8.00%		04/01/22	^4,5,6		4,309,545		4,007,877
SM Energy Co.
6.50%		07/15/28			1,907,000		1,973,154
6.63%		01/15/27			910,000		934,279
Sunoco LP/Sunoco Finance Corp.
4.50%		05/15/29			1,085,000		1,106,585
5.88%		03/15/28			3,165,000		3,350,944
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.50%		03/01/30			1,300,000		1,425,531
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			3,989,000		4,098,697
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^2,6		3,321,450		3,392,031
Transocean Pontus Ltd.
(Cayman Islands)
6.13%		08/01/25	^2,6		1,076,690		1,080,092
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^2,6		2,916,650		2,930,198
Transocean Sentry Ltd.
(Cayman Islands)
5.38%		05/15/23	^2,6		1,378,458		1,375,012
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		04/01/26			1,289,000		1,343,785
Valaris Ltd.,
Series 1145, PIK
(Bermuda)
8.25%		04/30/28	^2,11		111,000		115,337
Venture Global Calcasieu Pass LLC
4.13%		08/15/31	⁶		4,188,000		4,379,095

							77,111,757


Entertainment — 0.49%
Banijay Entertainment SASU
(France)
5.38%		03/01/25	^2,6		252,000		260,251



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Entertainment (continued)
Cinemark USA, Inc.
5.25%		07/15/28	⁶	$	3,825,000	$	3,777,187

							4,037,438


Finance — 2.27%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.50%		01/15/25	²		450,000		473,761
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^2,6		3,485,000		3,430,400
Ford Motor Credit Co. LLC
2.98%		08/03/22			1,805,000		1,826,949
3.22%		01/09/22			5,000,000		5,018,750
3.34%		03/28/22			950,000		958,391
(LIBOR USD 3-Month plus 1.27%)
1.40%		03/28/22	¹		5,660,000		5,664,398
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	²		958,000		1,150,770

							18,523,419


Food — 7.32%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/31	^2,6		2,000,000		2,097,689
5.50%		01/15/30	^2,6		5,250,000		5,845,718
6.50%		04/15/29	^2,6		5,500,000		6,147,152
Kraft Heinz Foods Co.
3.00%		06/01/26			13,040,000		13,731,709
4.63%		01/30/29			355,000		406,109
Lamb Weston Holdings, Inc.
4.63%		11/01/24	⁶		4,000,000		4,073,320
Nathan’s Famous, Inc.
6.63%		11/01/25	⁶		696,000		716,010
Pilgrim’s Pride Corp.
3.50%		03/01/32	⁶		14,000,000		14,265,166
Post Holdings, Inc.
4.50%		09/15/31	⁶		4,000,000		3,968,197
4.63%		04/15/30	⁶		5,629,000		5,679,548
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/29	⁶		696,000		704,501
Smithfield Foods, Inc.
5.20%		04/01/29	⁶		1,950,000		2,241,217

							59,876,336


Gaming — 1.00%
Boyd Gaming Corp.
4.75%		06/15/31	⁶		1,825,000		1,883,707
Caesars Entertainment, Inc.
4.63%		10/15/29	⁶		832,000		844,577
6.25%		07/01/25	⁶		1,053,000		1,110,845
Churchill Downs, Inc.
4.75%		01/15/28	⁶		1,100,000		1,152,250



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Gaming (continued)
Live Nation Entertainment, Inc.
3.75%		01/15/28	⁶	$	3,217,000	$	3,200,915

							8,192,294


Health Care — 9.99%
180 Medical, Inc.
3.88%		3.88	⁶		6,875,000		6,875,000
Bausch Health Cos., Inc.
(Canada)
4.88%		06/01/28	^2,6		1,960,000		2,033,500
Cano Health LLC
6.25%		10/01/28	⁶		1,352,000		1,367,210
Centene Corp.
2.45%		07/15/28			10,285,000		10,341,060
4.63%		12/15/29			3,241,000		3,536,093
Elanco Animal Health, Inc.
5.27%		08/28/23			799,000		852,517
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^2,6		3,988,000		2,881,330
9.50%		07/31/27	^2,6		542,000		543,939
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^2,6		6,897,000		7,065,890
HCA, Inc.
7.69%		06/15/25			1,650,000		1,994,437
HCA, Inc.
(MTN)
7.58%		09/15/25			1,650,000		1,994,557
HCRX Investments Holdco LP
4.50%		08/01/29	⁶		6,832,000		6,874,734
Hill-Rom Holdings, Inc.
4.38%		09/15/27	⁶		1,160,000		1,214,404
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	⁶		3,682,000		3,821,180
ModivCare, Inc.
5.88%		11/15/25	⁶		2,140,000		2,265,725
Molina Healthcare, Inc.
3.88%		11/15/30	⁶		7,845,000		8,283,019
4.38%		06/15/28	⁶		7,014,000		7,304,571
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	⁶		1,623,000		1,706,747
Owens & Minor, Inc.
4.50%		03/31/29	⁶		1,595,000		1,612,859
Par Pharmaceutical, Inc.
7.50%		04/01/27	⁶		244,000		249,490
Prime Healthcare Services, Inc.
7.25%		11/01/25	⁶		2,250,000		2,413,125
Teleflex, Inc.
4.25%		06/01/28	⁶		3,900,000		4,059,803
Tenet Healthcare Corp.
4.63%		09/01/24	⁶		2,307,000		2,361,795

							81,652,985



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials — 6.59%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Ireland)
4.13%		08/15/26	^2,6	$	8,927,000	$	9,310,861
Artera Services LLC
9.03%		12/04/25	⁶		1,434,000		1,557,256
Ball Corp.
3.13%		09/15/31			2,744,000		2,713,781
4.00%		11/15/23			3,960,000		4,182,750
4.88%		03/15/26			3,895,000		4,313,712
5.25%		07/01/25			1,254,000		1,401,345
Clean Harbors, Inc.
4.88%		07/15/27	⁶		2,152,000		2,235,390
Energizer Holdings, Inc.
4.75%		06/15/28	⁶		2,525,000		2,574,970
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.60%		08/15/36	¹		1,300,000		1,134,867
Graham Packaging Co., Inc.
7.13%		08/15/28	⁶		2,466,000		2,595,077
Graphic Packaging International LLC
3.50%		03/15/28	⁶		5,185,000		5,286,810
4.75%		07/15/27	⁶		2,571,000		2,792,749
4.88%		11/15/22			566,000		585,295
Intertape Polymer Group, Inc.
(Canada)
4.38%		06/15/29	^2,6		3,256,000		3,314,419
Mauser Packaging Solutions Holding Co.
7.25%		04/15/25	⁶		382,000		380,166
Sealed Air Corp.
4.00%		12/01/27	⁶		815,000		871,031
5.50%		09/15/25	⁶		4,898,000		5,478,737
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^2,6		2,195,000		2,248,734
Trident TPI Holdings, Inc.
9.25%		08/01/24	⁶		875,000		920,667

							53,898,617


Information Technology — 0.98%
Booz Allen Hamilton, Inc.
4.00%		07/01/29	⁶		2,000,000		2,052,036
Clarivate Science Holdings Corp.
3.88%		07/01/28	⁶		500,000		500,782
MSCI, Inc.
3.63%		09/01/30	⁶		870,000		900,450
NCR Corp.
5.13%		04/15/29	⁶		2,403,000		2,480,852
5.25%		10/01/30	⁶		117,000		122,884
Science Applications International Corp.
4.88%		04/01/28	⁶		1,912,000		1,978,451

							8,035,455


Insurance — 0.67%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/29	⁶		3,075,000		3,043,960



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
AmWINS Group, Inc.
4.88%		06/30/29	⁶	$	2,421,000	$	2,458,279

							5,502,239


Materials — 2.41%
Allegheny Technologies, Inc.
5.13%		10/01/31			823,000		831,395
Clearwater Paper Corp.
4.75%		08/15/28	⁶		2,671,000		2,761,393
Herens Holdco SARL
(Luxembourg)
4.75%		05/15/28	^2,6		3,300,000		3,320,961
Unifrax Escrow Issuer Corp.
5.25%		09/30/28	⁶		8,700,000		8,818,019
7.50%		09/30/29	⁶		3,869,000		3,969,628

							19,701,396


Real Estate Investment Trust (REIT) — 1.88%
American Assets Trust LP
3.38%		02/01/31			3,810,000		3,946,779
GLP Capital LP/GLP Financing II, Inc.
5.75%		06/01/28			3,238,000		3,803,031
Iron Mountain, Inc.
5.25%		07/15/30	⁶		934,000		992,356
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.63%		06/15/25	⁶		2,990,000		3,232,811
SL Green Operating Partnership LP
3.25%		10/15/22			3,275,000		3,357,220

							15,332,197


Retail — 2.51%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
3.50%		02/15/29	^2,6		5,195,000		5,147,734
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/29	⁶		1,600,000		1,672,576
FirstCash, Inc.
4.63%		09/01/28	⁶		1,195,000		1,241,306
Michaels Cos., Inc. (The)
7.88%		05/01/29	⁶		11,970,000		12,454,486

							20,516,102


Services — 4.11%
Adtalem Global Education, Inc.
5.50%		03/01/28	⁶		2,349,000		2,374,971
Allied Universal Holdco LLC/Allied Universal Finance Corp./ Atlas Luxco 4 SARL
(Canada)
4.63%		06/01/28	⁶		1,550,000		1,547,543
Carriage Services, Inc.
4.25%		05/15/29	⁶		1,900,000		1,918,620
Gartner, Inc.
3.63%		06/15/29	⁶		1,000,000		1,009,160
GFL Environmental, Inc.
(Canada)
3.75%		08/01/25	^2,6		2,000,000		2,060,000



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Services (continued)
4.25%		06/01/25	^2,6	$	1,585,000	$	1,636,512
4.38%		08/15/29	^2,6		2,220,000		2,244,975
HealthEquity, Inc.
4.50%		10/01/29	⁶		3,763,000		3,827,388
IHS Markit Ltd.
(Bermuda)
4.75%		02/15/25	^2,6		1,420,000		1,572,749
5.00%		11/01/22	^2,6		3,071,000		3,188,220
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%		08/31/27	⁶		3,211,000		3,085,980
Service Corp. International/U.S.
4.63%		12/15/27			946,000		993,300
Waste Pro USA, Inc.
5.50%		02/15/26	⁶		5,753,000		5,818,527
WW International, Inc.
4.50%		04/15/29	⁶		2,410,000		2,359,174

							33,637,119


Transportation — 1.15%
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
(Canada)
5.75%		04/20/29	⁶		2,350,000		2,536,531
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			213,399		215,101
Delta Air Lines, Inc./SkyMiles IP Ltd.
(Canada)
4.75%		10/20/28	⁶		1,880,000		2,097,362
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.
6.50%		06/20/27	⁶		1,826,000		1,988,142
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			886,020		913,344
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			1,556,964		1,648,146

							9,398,626


Water — 0.16%
Solaris Midstream Holdings LLC
7.63%		04/01/26	⁶		1,200,000		1,287,486


Total Corporates
(Cost $591,050,283)							604,256,527


Total Bonds — 92.09%
(Cost $738,321,546)							753,118,267



Issues				Shares		Value

COMMON STOCK — 0.32%

Electric — 0.00%
Homer City Holdings LLC^†,4,5,7,12 502,908							—


Energy — 0.06%
Valaris Ltd.⁷					15,493		540,396

Issues

Shares

Value

COMMON STOCK — 0.32% (continued)

Transportation — 0.26%

Hertz Global Holdings, Inc.⁷

150,000

2,103,750

Total Common Stock

(Cost $29,420,861)

2,644,146

WARRANT — 0.02%

Entertainment — 0.02%

Cineworld Group PLC^2,7

(United Kingdom)

288,340

161,345

Total Warrant

(Cost $–)

Issues

Maturity

Date

Principal

Amount/Shares

Value

SHORT-TERM INVESTMENTS — 5.28%

Money Market Funds — 2.23%

Dreyfus Government Cash Management Fund

0.03%¹³

768,000

JPMorgan U.S. Government Money Market Fund

0.01%¹³

605,000

Morgan Stanley Institutional Liquidity Funds - Government Portfolio

0.03%¹³

16,827,000

18,200,000

U.S. Treasury Bills — 3.05%

U.S. Treasury Bills

0.05%¹⁴

10/07/21

10,000,000

9,999,950

0.04%¹⁴

03/03/22

15,000,000

14,997,530

24,997,480

Total Short-Term Investments

(Cost $43,197,336)

43,197,480

Total Investments - 97.71%

(Cost $810,939,743)

799,121,238

Net unrealized appreciation on unfunded commitments - 0.00%

31,107

Cash and Other Assets, Less Liabilities - 2.29%

18,678,643

Net Assets - 100.00%

817,830,988

¹	Floating rate security. The rate disclosed was in effect at September 30, 2021.

²	Foreign denominated security issued by foreign domiciled entity.

³	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $1,294,563, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum.

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 $6,398,864, which is 0.78% of total net assets.

⁶	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.

⁷	Non-income producing security.

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

⁹	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.

¹⁰	Zero coupon bond. The rate shown is the effective yield as of September 30, 2021.

¹¹	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 8.25% cash or 12.00% payment-in-kind interest.

¹²	Affiliated investment.

¹³	Represents the current yield as of September 30, 2021.

¹⁴	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 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.

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PIK): Payment In Kind

(USD): U.S. Dollar

Issues

Maturity

Date

Principal

Amount

Value

BONDS – 103.24%

ASSET-BACKED SECURITIES — 9.68%**

Academic Loan Funding Trust,

Series 2012-1A, Class A2

(LIBOR USD 1-Month plus 1.10%)

1.19%

12/27/44

^1,2

584,046

592,681

ACE Securities Corp. Home Equity Loan Trust,

Series 2005-HE2, Class M5

(LIBOR USD 1-Month plus 1.02%)

1.11%

04/25/35

3,832,640

3,845,639

AMMC CLO 19 Ltd.,

Series 2016-19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.27%

10/16/28

^1,2,3

625,017

625,086

Amresco Residential Securities Corp. Mortgage Loan Trust,

Series 1998-1, Class A5 (STEP-reset date 11/25/21)

7.37%

10/25/27

10,288

10,445

Asset-Backed Securities Corp. Home Equity Loan Trust,

Series 2004-HE9, Class M1

(LIBOR USD 1-Month plus 0.98%)

1.06%

12/25/34

375,511

373,535

Barings CLO Ltd.,

Series 2013-IA, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

0.93%

01/20/28

^1,2,3

1,128,411

1,127,768

Barings CLO Ltd.,

Series 2016-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.21%

07/20/28

^1,2,3

38,481

38,522

Bayview Commercial Asset Trust,

Series 2004-3, Class A1

(LIBOR USD 1-Month plus 0.56%)

0.64%

01/25/35

^1,2

262,422

259,606

Brazos Higher Education Authority, Inc.,

Series 2010-1, Class A2

(LIBOR USD 3-Month plus 1.20%)

1.33%

02/25/35

650,000

661,618

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

0.93%

02/25/30

15,798

15,865

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

1.13%

10/27/36

1,030,000

1,042,717

CIT Education Loan Trust,

Series 2007-1, Class A

(LIBOR USD 3-Month plus 0.09%)

0.22%

03/25/42

^1,2

215,552

209,695

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH1, Class M5

(LIBOR USD 1-Month plus 0.78%)

0.87%

01/25/36

2,000,000

1,980,769

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Conseco Finance Corp.,

Series 1996-7, Class M1

7.70%

09/15/26

⁴

2,996

3,005

Conseco Finance Corp.,

Series 1998-4, Class A5

6.18%

04/01/30

12,608

12,611

CoreVest American Finance Trust,

Series 2019-1, Class XA (IO)

2.33%

03/15/52

^1,4

5,167,334

312,253

Countrywide Asset-Backed Certificates Trust,

Series 2005-7, Class MV5

(LIBOR USD 1-Month plus 1.13%)

1.21%

11/25/35

4,220,000

4,214,664

Credit-Based Asset Servicing and Securitization LLC,

Series 2003-CB3, Class AF1 (STEP-reset date 11/25/21)

3.38%

12/25/32

579,846

577,275

Credit-Based Asset Servicing and Securitization LLC,

Series 2006-CB2, Class AF4 (STEP-reset date 11/25/21)

3.10%

12/25/36

384,080

380,645

Credit-Based Asset Servicing and Securitization LLC,

Series 2007-CB5, Class A1

(LIBOR USD 1-Month plus 0.06%)

0.15%

04/25/37

112,451

84,074

Credit-Based Asset Servicing and Securitization LLC,

Series 2007-CB5, Class A3

(LIBOR USD 1-Month plus 0.25%)

0.34%

04/25/37

1,336,206

1,033,668

Dryden XXVI Senior Loan Fund,

Series 2013-26A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.90%)

1.03%

04/15/29

^1,2,3

1,756,208

1,756,226

Educational Funding of the South, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.65%)

0.78%

04/25/35

187,991

187,126

First Franklin Mortgage Loan Trust,

Series 2005-FFH4, Class M1

(LIBOR USD 1-Month plus 0.72%)

0.81%

12/25/35

232,287

232,549

Global SC Finance II SRL,

Series 2014-1A, Class A2

(Barbados)

3.09%

07/17/29

^1,3

474,583

484,105

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

1.18%

05/25/34

^1,2

666,729

669,494

HSI Asset Securitization Corp. Trust,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

0.72%

11/25/35

252,179

251,901

IndyMac Manufactured Housing Contract Pass-Through Certificates,

Series 1997-1, Class A3

6.61%

02/25/28

41,758

42,156



Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A4
6.75%		02/25/28		$	11,116	$	11,229
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%		09/25/28			64,625		66,844
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%		01/17/73	¹		384,278		431,394
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%		01/17/73	¹		727,882		801,439
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(LIBOR USD 1-Month plus 0.29%)
0.38%		07/25/36	²		3,228,398		3,221,876
LCM XVIII LP,
Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
1.37%		07/15/27	^1,2,3		26,561		26,569
LCM XX LP,
Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
1.17%		10/20/27	^1,2,3		976,162		976,410
Magnetite XVIII Ltd.,
Series 2016-18A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.20%		11/15/28	^1,2,3		50,000		50,016
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.27%		06/25/37	²		377,206		358,238
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
0.34%		06/25/37	²		697,067		666,076
Mid-State Capital Corp. Trust,
Series 2004-1, Class A
6.01%		08/15/37			160,816		169,430
Mid-State Capital Corp. Trust,
Series 2004-1, Class B
8.90%		08/15/37			220,728		246,437
Mid-State Capital Corp. Trust,
Series 2004-1, Class M1
6.50%		08/15/37			157,663		169,884
Mid-State Capital Corp. Trust,
Series 2005-1, Class M2
7.08%		01/15/40			331,838		362,337
Mid-State Trust XI,
Series 11, Class A1
4.86%		07/15/38			452,023		475,976

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Morgan Stanley ABS Capital I Trust,

Series 2004-NC7, Class M2

(LIBOR USD 1-Month plus 0.93%)

1.02%

07/25/34

134,572

134,383

Morgan Stanley ABS Capital I, Inc., Trust,

Series 2005-HE3, Class M5

(LIBOR USD 1-Month plus 1.03%)

1.12%

07/25/35

5,000,000

5,006,979

Nationstar Home Equity Loan Trust,

Series 2007-B, Class 1AV1

(LIBOR USD 1-Month plus 0.22%)

0.31%

04/25/37

2,815,270

2,809,628

Navient Student Loan Trust,

Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.51%)

0.60%

06/25/31

604,360

593,284

Navient Student Loan Trust,

Series 2014-3, Class A

(LIBOR USD 1-Month plus 0.62%)

0.71%

03/25/83

1,584,245

1,582,333

Navient Student Loan Trust,

Series 2014-4, Class A

(LIBOR USD 1-Month plus 0.62%)

0.71%

03/25/83

1,442,483

1,440,375

Navient Student Loan Trust,

Series 2016-2A, Class A3

(LIBOR USD 1-Month plus 1.50%)

1.59%

06/25/65

^1,2

1,640,000

1,704,046

Nelnet Student Loan Trust,

Series 2014-4A, Class A2

(LIBOR USD 1-Month plus 0.95%)

1.04%

11/25/48

^1,2

1,370,000

1,396,800

Neuberger Berman CLO XX Ltd.,

Series 2015-20A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

1.30%

07/15/34

^{^1,2,3}

2,140,000

2,143,368

New Century Home Equity Loan Trust,

Series 2005-1, Class M1

(LIBOR USD 1-Month plus 0.68%)

0.76%

03/25/35

^²

3,101,488

3,105,610

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month plus 0.44%)

0.53%

02/25/36

1,659,535

1,652,114

OCP CLO Ltd.,

Series 2020-19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

1.28%

10/20/34

^1,2,3

1,850,000

1,856,327

Option One Mortgage Loan Trust,

Series 2005-2, Class M1

(LIBOR USD 1-Month plus 0.66%)

0.75%

05/25/35

83,421

83,545

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Recette CLO Ltd.,

Series 2015-1A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.21%

04/20/34

^1,2,3

1,875,000

1,874,363

Regata XII Funding Ltd.,

Series 2019-1A, Class BR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

0.00%

10/15/32

^1,2,3

2,100,000

2,101,050

Residential Asset Mortgage Products Trust,

Series 2006-NC1, Class A3

(LIBOR USD 1-Month plus 0.30%)

0.69%

01/25/36

118,638

118,558

Residential Asset Securities Corp.,

Series 2005-AHL3, Class A3

(LIBOR USD 1-Month plus 0.34%)

0.77%

11/25/35

25,732

25,721

Rockford Tower CLO Ltd.,

Series 2019-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.10%)

1.23%

08/20/32

^1,2,3

2,000,000

2,001,354

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

12/30/99

^5,6

2,226,737

2,233,086

SLC Student Loan Trust,

Series 2004-1, Class B

(LIBOR USD 3-Month plus 0.29%)

0.41%

08/15/31

118,231

110,631

SLC Student Loan Trust,

Series 2008-1, Class A4A

(LIBOR USD 3-Month plus 1.60%)

1.72%

12/15/32

247,838

254,943

SLM Student Loan Trust,

Series 2004-2, Class B

(LIBOR USD 3-Month plus 0.47%)

0.60%

07/25/39

151,646

146,135

SLM Student Loan Trust,

Series 2006-8, Class A6

(LIBOR USD 3-Month plus 0.16%)

0.29%

01/25/41

1,022,968

1,010,685

SLM Student Loan Trust,

Series 2008-2, Class A3

(LIBOR USD 3-Month plus 0.75%)

0.88%

04/25/23

3,416,707

3,382,817

SLM Student Loan Trust,

Series 2008-2, Class B

(LIBOR USD 3-Month plus 1.20%)

1.33%

01/25/83

185,000

177,699

SLM Student Loan Trust,

Series 2008-3, Class B

(LIBOR USD 3-Month plus 1.20%)

1.33%

04/26/83

185,000

174,764

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust,

Series 2008-4, Class B

(LIBOR USD 3-Month plus 1.85%)

1.98%

04/25/73

185,000

185,946

SLM Student Loan Trust,

Series 2008-5, Class B

(LIBOR USD 3-Month plus 1.85%)

1.98%

07/25/73

2,235,000

2,213,669

SLM Student Loan Trust,

Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

1.23%

07/25/23

1,802,082

1,812,189

SLM Student Loan Trust,

Series 2008-6, Class B

(LIBOR USD 3-Month plus 1.85%)

1.98%

07/26/83

185,000

186,062

SLM Student Loan Trust,

Series 2008-7, Class B

(LIBOR USD 3-Month plus 1.85%)

1.98%

07/26/83

185,000

185,766

SLM Student Loan Trust,

Series 2008-8, Class B

(LIBOR USD 3-Month plus 2.25%)

2.38%

10/25/75

185,000

186,366

SLM Student Loan Trust,

Series 2008-9, Class A

(LIBOR USD 3-Month plus 1.50%)

1.63%

04/25/23

627,643

632,071

SLM Student Loan Trust,

Series 2008-9, Class B

(LIBOR USD 3-Month plus 2.25%)

2.38%

10/25/83

1,885,000

1,904,893

SLM Student Loan Trust,

Series 2009-3, Class A

(LIBOR USD 1-Month plus 0.75%)

0.84%

01/25/45

^1,2

2,821,012

2,837,758

SLM Student Loan Trust,

Series 2011-2, Class A2

(LIBOR USD 1-Month plus 1.20%)

1.29%

10/25/34

500,000

508,732

SLM Student Loan Trust,

Series 2012-7, Class A3

(LIBOR USD 1-Month plus 0.65%)

0.74%

05/26/26

591,906

580,850

Structured Receivables Finance LLC,

Series 2010-A, Class B

7.61%

01/16/46

461,496

519,733

Student Loan Consolidation Center Student Loan Trust I,

Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

1.61

^1,2

500,000

461,311

Treman Park CLO Ltd.,

Series 2015-1A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.07%)

1.20%

10/20/28

^1,2,3

33,722

33,727

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Vantage Data Centers Issuer LLC,

Series 2018-2A, Class A2

4.20%

11/16/43

2,040,500

2,116,070

Total Asset-Backed Securities

(Cost $79,254,743)

80,545,594

BANK LOANS — 1.07%*

Automotive — 0.02%

Clarios Global LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

04/30/26

169,042

168,513

Communications — 0.45%

CenturyLink, Inc.,

Term Loan A, 1st Lien

(LIBOR plus 2.00%)

2.08%

01/31/25

228,125

227,066

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

03/15/27

343,875

340,603

Charter Communications Operating LLC,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.84%

02/01/27

98,246

97,727

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

07/17/25

148,834

147,055

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

2.58%

04/15/27

99,244

98,262

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

5.75%

08/02/27

410,000

410,726

Intelsat Jackson Holdings SA,

Delayed-Draw Term Loan, 1st Lien (Luxembourg)

(LIBOR plus 4.75%)

5.75%

07/13/22

^2,3,7

479,167

483,359

Term Loan B5, 1st Lien (Luxembourg)

8.63%

01/02/24

^2,3

225,000

229,219

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.83%

03/01/27

1,275,000

1,260,994

Zayo Group Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

3.08%

03/09/27

445,395

441,981

3,736,992

Electric — 0.02%

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.83%

12/31/25

137,316

136,429

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

294,737

294,240

Gaming — 0.01%

Caesars Resort Collection LLC,

Term Loan, 1st Lien

(LIBOR plus 2.75%)

2.83%

12/23/24

1,067

1,062

Churchill Downs, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.10%

12/27/24

53,204

54,266

Health Care — 0.36%

Avantor Funding, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

2.75%

11/08/27

606,950

608,659

Avolon TLB Borrower 1 U.S. LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

2.50%

01/15/25

52,744

52,599

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

306,023

306,038

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

08/01/27

917,604

907,524

Gentiva Health Services, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.88%

07/02/25

284,564

284,800

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.07%

11/15/27

98,250

96,776

Horizon Therapeutics USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.50%

03/15/28

383,075

382,836

Jazz Financing Lux SARL,

Term Loan B, 1st Lien

(LIBOR plus 0.00%)

0.50%

05/05/28

399,000

399,999

3,039,231

Industrials — 0.14%

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

1.86%

07/01/26

909,899

906,032



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Industrials (continued)
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.33%		05/30/25	²	$	292,770	$	289,523

							1,195,555


Information Technology — 0.01%
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.83%		04/16/25	²		70,095		69,495
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.83%		04/16/25	²		53,079		52,624

							122,119


Services — 0.01%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%		05/30/25	²		74,130		74,350


Transportation — 0.01%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.84%		01/29/27	²		52,250		50,245


Total Bank Loans
(Cost $8,667,723)							8,871,940


CORPORATES — 25.51%*

Automotive — 0.11%
General Motors Co.
4.88%		10/02/23			845,000		913,677


Banking — 5.78%
Bank of America Corp.
1.73%		07/22/27	⁴		605,000		608,317
Bank of America Corp.
(MTN)
2.09%		06/14/29	⁴		515,000		514,652
3.09%		10/01/25	⁴		152,000		161,628
3.56%		04/23/27	⁴		2,605,000		2,835,917
3.97%		03/05/29	⁴		1,540,000		1,711,354
Bank of America Corp.,
Series N
1.66%		03/11/27	⁴		1,435,000		1,444,654
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		1,520,000		1,488,007
2.19%		06/05/26	^1,3,4		1,195,000		1,219,039
2.59%		09/11/25	^1,3,4		160,000		165,780
3.09%		05/14/32	^1,3,4		560,000		574,687
3.75%		03/26/25	³		210,000		226,568
4.28%		01/09/28	^1,3		175,000		194,481
4.55%		04/17/26	³		190,000		213,541



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,4	$	2,485,000	$	2,486,547
HSBC Holdings PLC
(United Kingdom)
0.98%		05/24/25	^3,4		715,000		713,817
1.59%		05/24/27	^3,4		1,315,000		1,306,746
2.01%		09/22/28	^3,4		1,990,000		1,991,112
2.21%		08/17/29	^3,4		1,195,000		1,186,756
JPMorgan Chase & Co.
0.77%		08/09/25	⁴		850,000		846,783
0.97%		06/23/25	⁴		755,000		756,038
1.47%		09/22/27	⁴		1,235,000		1,226,840
2.01%		03/13/26	⁴		2,820,000		2,891,270
2.52%		04/22/31	⁴		80,000		81,663
2.58%		04/22/32	⁴		210,000		213,069
3.96%		01/29/27	⁴		50,000		55,200
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	^3,4		380,000		384,257
2.91%		11/07/23	^3,4		875,000		897,122
3.87%		07/09/25	^3,4		3,020,000		3,257,008
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	^1,3,4		1,160,000		1,150,382
NatWest Group PLC
(United Kingdom)
3.50%		05/15/23	^3,4		1,200,000		1,221,972
4.27%		03/22/25	^3,4		385,000		415,530
4.52%		06/25/24	^3,4		1,165,000		1,240,344
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	^3,4		1,575,000		1,578,408
1.53%		08/21/26	^3,4		155,000		154,752
1.67%		06/14/27	^3,4		205,000		204,295
4.80%		11/15/24	^3,4		1,730,000		1,873,454
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	^1,3		330,000		357,017
UBS Group AG
(Switzerland)
3.49%		05/23/23	^1,3		1,000,000		1,019,462
Wells Fargo & Co.
2.19%		04/30/26	⁴		545,000		562,722
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	⁴		3,815,000		3,936,672
2.39%		06/02/28	⁴		4,585,000		4,732,867

							48,100,730


Communications — 2.94%
AT&T, Inc.
2.55%		12/01/33			3,777,000		3,719,329
Cox Communications, Inc.
2.60%		06/15/31	¹		705,000		714,097



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
CSC Holdings LLC
5.38%		02/01/28	¹	$	65,000	$	68,006
6.50%		02/01/29	¹		43,000		46,621
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		1,007,000		669,261
Fox Corp.
3.50%		04/08/30			1,500,000		1,637,946
Frontier Communications Holdings LLC
5.00%		05/01/28	¹		400,000		420,312
Intelsat Jackson Holdings SA
(Luxembourg)
8.50%		10/15/24	^1,3,8,9		1,003,000		581,740
9.75%		07/15/25	^1,3,8,9		585,000		329,963
Level 3 Financing, Inc.
3.88%		11/15/29	¹		645,000		690,505
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	¹		750,000		859,362
SES SA
(Luxembourg)
3.60%		04/04/23	^1,3		1,500,000		1,559,944
Sinclair Television Group, Inc.
4.13%		12/01/30	¹		800,000		783,000
Sprint Corp.
7.88%		09/15/23			65,000		72,709
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		1,028,125		1,099,323
5.15%		03/20/28	¹		1,785,000		2,042,129
Tencent Holdings Ltd.
(Cayman Islands)
2.88%		04/22/31	^1,3		1,210,000		1,236,383
T-Mobile USA, Inc.
2.25%		02/15/26			700,000		708,768
2.55%		02/15/31			740,000		743,121
3.75%		04/15/27			1,510,000		1,664,326
3.88%		04/15/30			800,000		883,756
Verizon Communications, Inc.
2.36%		03/15/32	¹		990,000		980,417
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	^1,3		1,600,000		1,626,759
5.50%		05/15/29	^1,3		65,000		68,591
Vodafone Group PLC
(United Kingdom)
4.38%		05/30/28	³		780,000		896,393
Walt Disney Co. (The)
2.00%		09/01/29			335,000		338,233

							24,440,994


Consumer Discretionary — 1.27%
Anheuser-Busch InBev Worldwide, Inc.
4.38%		04/15/38			725,000		847,050
4.75%		01/23/29			730,000		860,158
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		1,045,000		1,152,216



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
BAT Capital Corp.
2.73%		03/25/31		$	555,000	$	547,374
3.46%		09/06/29			770,000		811,527
4.39%		08/15/37			830,000		892,591
Hyatt Hotels Corp.
1.30%		10/01/23			1,240,000		1,241,756
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/24	^1,3		1,000,000		1,051,392
JDE Peet’s NV
(Netherlands)
0.80%		09/24/24	^1,3		1,650,000		1,645,806
Reynolds American, Inc.
4.45%		06/12/25			365,000		402,553
5.70%		08/15/35			940,000		1,127,210

							10,579,633


Electric — 1.06%
Appalachian Power Co.,
Series H
5.95%		05/15/33			350,000		455,571
Appalachian Power Co.,
Series X
3.30%		06/01/27			410,000		443,556
Duke Energy Corp.
2.65%		09/01/26			30,000		31,665
Evergy Missouri West, Inc.
8.27%		11/15/21			1,995,000		2,012,125
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		853,000		891,103
Jersey Central Power & Light Co.
4.70%		04/01/24	¹		995,000		1,073,275
Metropolitan Edison Co.
4.00%		04/15/25	¹		770,000		811,682
Public Service Co. of New Mexico
3.85%		08/01/25			1,405,000		1,507,186
Southwestern Electric Power Co.
3.55%		02/15/22			955,000		958,472
Tucson Electric Power Co.
3.85%		03/15/23			595,000		618,128

							8,802,763


Energy — 1.10%
Energy Transfer LP
3.45%		01/15/23			105,000		107,954
3.75%		05/15/30			315,000		339,937
4.75%		01/15/26			130,000		145,295
4.95%		06/15/28			1,000,000		1,148,079
5.50%		06/01/27			531,000		623,349
Occidental Petroleum Corp.
0.00%		10/10/36	¹⁰		444,000		245,310
Petroleos Mexicanos
(Mexico)
2.00%		12/20/22	³		450,000		454,788
5.95%		01/28/31	³		300,000		291,217
6.63%		06/15/35	³		1,780,000		1,697,675



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Plains All American Pipeline LP/PAA Finance Corp.
3.80%		09/15/30		$	525,000	$	560,893
Rockies Express Pipeline LLC
4.80%		05/15/30	¹		400,000		414,000
4.95%		07/15/29	¹		1,000,000		1,041,552
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6		561,364		522,068
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		04/01/26			60,000		62,550
6.88%		09/01/27			181,000		191,879
Venture Global Calcasieu Pass LLC
3.88%		08/15/29	¹		825,000		850,940
Williams Cos., Inc. (The)
3.35%		08/15/22			480,000		488,776

							9,186,262

Finance — 3.93%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.50%		05/26/22	³		355,000		360,798
3.65%		07/21/27	³		355,000		377,344
3.95%		02/01/22	³		160,000		161,347
4.45%		12/16/21	³		750,000		753,562
Air Lease Corp.
2.25%		01/15/23			1,000,000		1,022,063
3.25%		03/01/25			820,000		867,313
3.25%		10/01/29			525,000		547,299
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		773,000		760,889
2.88%		02/15/25	^1,3		1,160,000		1,193,515
Citigroup, Inc.
1.46%		06/09/27	⁴		1,215,000		1,208,964
4.41%		03/31/31	⁴		985,000		1,137,862
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
1.02%		02/15/22	^1,2		1,900,000		1,906,089
Durrah MSN 35603
(Cayman Islands)
1.68%		01/22/25	³		1,993,068		2,034,033
Ford Motor Credit Co. LLC
3.22%		01/09/22			500,000		501,875
3.34%		03/28/22			40,000		40,353
3.81%		10/12/21			385,000		385,674
GE Capital Funding LLC
4.40%		05/15/30			902,000		1,045,682
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³		1,405,000		1,687,716
General Motors Financial Co., Inc.
3.15%		06/30/22			495,000		503,607
3.45%		04/10/22			120,000		121,294
4.20%		11/06/21			265,000		265,901
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27	⁴		2,555,000		2,548,361



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
3.27%		09/29/25	⁴	$	725,000	$	775,460
3.75%		02/25/26			20,000		21,957
Intercontinental Exchange, Inc.
1.85%		09/15/32			870,000		822,810
Morgan Stanley
1.59%		05/04/27	⁴		1,210,000		1,213,836
Morgan Stanley
(GMTN)
1.51%		07/20/27	⁴		2,445,000		2,434,603
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^1,3,4		390,000		396,817
3.77%		03/08/24	^1,3,4		1,265,000		1,319,144
4.36%		08/01/24	^1,3,4		1,085,000		1,155,071
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		860,000		898,856
5.50%		02/15/24	^1,3		40,000		43,661
Safina Ltd.
(Cayman Islands)
2.00%		12/30/23	³		2,829,278		2,884,097
Sandalwood 2013 LLC
2.90%		07/10/25			1,233,808		1,286,593

							32,684,446

Food — 0.34%
Kraft Heinz Foods Co.
5.00%		07/15/35			1,295,000		1,596,087
5.00%		06/04/42			245,000		300,976
Pilgrim’s Pride Corp.
5.88%		09/30/27	¹		65,000		69,041
Post Holdings, Inc.
4.63%		04/15/30	¹		826,000		833,418

							2,799,522

Health Care — 3.68%
AbbVie, Inc.
3.60%		05/14/25			1,152,000		1,246,737
3.85%		06/15/24			1,342,000		1,443,790
Aetna, Inc.
2.80%		06/15/23			50,000		51,787
3.50%		11/15/24			1,250,000		1,344,512
Alcon Finance Corp.
2.75%		09/23/26	^¹		2,300,000		2,429,749
Amgen, Inc.
3.63%		05/15/22			50,000		50,617
Bayer U.S. Finance II LLC
4.25%		12/15/25	¹		25,000		27,648
4.38%		12/15/28	¹		2,900,000		3,285,811
5.50%		08/15/25	¹		1,100,000		1,241,174
Bayer U.S. Finance LLC
3.38%		10/08/24	¹		1,020,000		1,087,237
Baylor Scott & White Holdings
2.65%		11/15/26			1,530,000		1,612,876
Becton Dickinson and Co.
3.36%		06/06/24			589,000		626,283



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Catalent Pharma Solutions, Inc.
3.50%		04/01/30	¹	$	248,000	$	247,690
Cigna Corp.
4.13%		11/15/25			1,280,000		1,422,908
CommonSpirit Health
2.78%		10/01/30			810,000		834,438
CVS Health Corp.
3.25%		08/15/29			2,890,000		3,108,170
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			1,000,000		1,066,246
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3		389,000		281,052
HCA, Inc.
4.13%		06/15/29			1,145,000		1,279,787
5.00%		03/15/24			1,105,000		1,212,766
5.25%		04/15/25			206,000		233,617
5.25%		06/15/26			1,070,000		1,228,780
7.05%		12/01/27			80,000		99,824
Humana, Inc.
3.85%		10/01/24			860,000		931,011
3.95%		03/15/27			885,000		988,246
Mozart Debt Merger Sub, Inc.
3.88%		04/01/29	¹		578,000		578,000
PerkinElmer, Inc.
0.85%		09/15/24			2,050,000		2,050,093
Royalty Pharma PLC
(United Kingdom)
2.20%		09/02/30	³		675,000		661,017

							30,671,866


Industrials — 1.08%
Amcor Finance USA, Inc.
3.63%		04/28/26			1,950,000		2,127,746
Artera Services LLC
9.03%		12/04/25	¹		227,000		246,511
BAE Systems Holdings, Inc.
3.80%		10/07/24	¹		630,000		680,593
Boeing Co. (The)
1.43%		02/04/24			1,300,000		1,301,939
Crane Co.
4.45%		12/15/23			1,130,000		1,213,062
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.50%		05/05/26	²		1,090,000		1,079,447
(LIBOR USD 3-Month plus 0.48%)
0.60%		08/15/36	²		1,115,000		973,367
General Electric Co.,
Series A (MTN)
6.75%		03/15/32			250,000		342,268
L3Harris Technologies, Inc.
3.85%		06/15/23			410,000		432,354
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	¹		65,000		65,650



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)
Sealed Air Corp.
4.00%		12/01/27	¹	$	65,000	$	69,469
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.38%		04/30/25	^1,3		410,000		435,248

							8,967,654


Information Technology — 0.35%
Apple, Inc.
3.25%		02/23/26			20,000		21,767
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
5.75%		03/01/25	¹		65,000		65,813
Oracle Corp.
2.88%		03/25/31			1,955,000		2,015,820
VMware, Inc.
1.00%		08/15/24			815,000		817,895

							2,921,295


Insurance — 0.54%
Athene Global Funding
1.99%		08/19/28	¹		2,055,000		2,032,343
Equitable Financial Life Global Funding
1.80%		03/08/28	¹		1,190,000		1,183,460
Nationwide Mutual Insurance Co.
2.41%		12/15/24	^1,4		1,212,000		1,213,439
New York Life Global Funding
3.00%		01/10/28	¹		50,000		53,937

							4,483,179


Materials — 0.19%
International Flavors & Fragrances, Inc.
1.23%		10/01/25	¹		950,000		942,567
2.30%		11/01/30	¹		635,000		630,005

							1,572,572


Real Estate Investment Trust (REIT) — 2.00%
American Campus Communities Operating Partnership LP
3.75%		04/15/23			50,000		52,075
4.13%		07/01/24			1,250,000		1,357,396
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			1,450,000		1,521,383
3.45%		11/15/29			1,000,000		1,042,582
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			1,140,000		1,209,296
5.25%		06/01/25			1,929,000		2,153,401
5.38%		11/01/23			30,000		32,399
5.38%		04/15/26			393,000		447,313
5.75%		06/01/28			325,000		381,712
Healthcare Realty Trust, Inc.
3.88%		05/01/25			1,400,000		1,509,681
Healthpeak Properties, Inc.
4.00%		06/01/25			750,000		819,523
Hudson Pacific Properties LP
4.65%		04/01/29			1,065,000		1,223,425
Life Storage LP
2.20%		10/15/30			1,000,000		991,426



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
Piedmont Operating Partnership LP
3.40%		06/01/23		$	1,210,000	$	1,252,316
SL Green Operating Partnership LP
3.25%		10/15/22			1,350,000		1,383,892
Ventas Realty LP
3.25%		10/15/26			1,155,000		1,236,000

							16,613,820


Retail — 0.32%
7-Eleven, Inc.
0.80%		02/10/24	¹		1,565,000		1,564,778
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/27	^1,3		640,000		705,339
Michaels Cos., Inc. (The)
5.25%		05/01/28	¹		405,000		418,264

							2,688,381


Services — 0.54%
GFL Environmental, Inc.
(Canada)
4.75%		06/15/29	^1,3		400,000		411,430
IHS Markit Ltd.
(Bermuda)
4.13%		08/01/23	³		1,245,000		1,321,505
4.75%		02/15/25	^1,3		1,340,000		1,484,144
5.00%		11/01/22	^1,3		1,235,000		1,282,140

							4,499,219


Transportation — 0.28%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			944,944		957,375
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			315,367		323,366
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			438,920		466,467
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			304,095		321,903
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25			265,736		265,899

							2,335,010


Total Corporates
(Cost $206,752,089)							212,261,023


MORTGAGE-BACKED — 12.76%**

Non-Agency Commercial Mortgage-Backed — 2.32%
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.23%		08/10/38	^1,4		1,095,000		1,243,671



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(LIBOR USD 1-Month plus 0.92%)
1.00%		10/15/36	^1,2	$	1,921,981	$	1,925,817
BX Trust,
Series 2019-OC11, Class A
3.20%		12/09/41	¹		375,000		401,781
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%		03/10/39	¹		805,000		910,966
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%		11/13/39	¹		715,000		755,265
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class A5
3.62%		02/10/49			3,250,000		3,543,351
Citigroup Commercial Mortgage Trust,
Series 2016-GC37, Class A4
3.31%		04/10/49			1,000,000		1,079,316
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.29%		03/10/47	⁴		20,524,084		452,825
DC Office Trust,
Series 2019-MTC, Class A
2.97%		09/15/45	¹		765,000		811,838
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	¹		760,000		823,080
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
3.04%		12/10/41	^1,4		765,000		814,693
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C29, Class XA (IO)
0.78%		05/15/48	⁴		24,659,460		478,975
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%		06/05/39	¹		740,000		812,643
MKT Mortgage Trust,
Series 2020-525M, Class A
2.69%		02/12/40	¹		945,000		985,758
Morgan Stanley Capital I Trust,
Series 2012-C4, Class A4
3.24%		03/15/45			678,182		683,104
Natixis Commercial Mortgage Securities Trust,
Series 2020-2PAC, Class A
2.97%		12/15/38	¹		775,000		809,561
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/15/54	¹		960,000		991,705
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.96%		01/15/32	^1,4		560,000		590,195
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%		01/05/43	^1,4		45,000		49,852



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2015-C26, Class XA (IO)
1.35%		02/15/48	⁴	$	33,228,250	$	1,139,453

							19,303,849


Non-Agency Mortgage-Backed — 2.04%
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%		06/25/32			3,830		3,935
Bear Stearns ALT-A Trust,
Series 2004-12, Class 1M1
(LIBOR USD 1-Month plus 0.93%)
1.02%		01/25/35	²		2,636,328		2,645,224
Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates,
Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
0.27%		05/25/36	^1,2		49,127		47,236
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/57	^1,4		3,487,486		3,503,294
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.00%		02/25/34	⁴		3,183		3,194
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
2.44%		08/25/34	⁴		56,066		56,066
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.28%		09/25/34	⁴		59,658		59,597
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
2.20%		08/25/34	⁴		20,669		20,883
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
1.09%		10/25/37	²		1,939,967		1,964,733
HomeBanc Mortgage Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.54%)
0.63%		10/25/35	²		16,062		16,110
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
0.95%		09/25/34	²		8,430		8,134
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
0.89%		11/25/34	²		23,820		23,330
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
2.75%		06/25/37	⁴		583,066		567,234
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
3.13%		05/25/37	⁴		131,446		133,386



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.02%		01/25/34	⁴	$	49,520	$	53,019
MASTR Adjustable Rate Mortgages Trust,
Series 2007-HF2, Class A1
(LIBOR USD 1-Month plus 0.62%)
0.71%		09/25/37	²		1,383,203		1,379,419
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.47%		10/25/32	⁴		5,000		5,247
MASTR Seasoned Securitization Trust,
Series 2005-1, Class 4A1
2.38%		10/25/32	⁴		17,912		17,892
New York Mortgage Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.48%)
0.57%		02/25/36	²		577,679		582,866
RBSSP Resecuritization Trust,
Series 2009-12, Class 17A2
2.10%		10/25/35	^1,4		2,540,274		2,527,761
Residential Asset Mortgage Products Trust,
Series 2003-SL1, Class A41
8.00%		04/25/31			18,266		19,006
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A7
7.00%		11/25/31			7,639		7,747
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
2.85%		12/25/34	⁴		12,210		12,114
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
2.54%		10/25/34	⁴		658,064		632,506
Structured Asset Mortgage Investments II Trust,
Series 2005-AR1, Class A1
(LIBOR USD 1-Month plus 0.48%)
0.57%		04/19/35	²		441,875		437,785
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A2
(Federal Reserve US 12-Month Cumulative Average plus 1.48%)
1.98%		02/25/36	²		418,697		416,571
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
2.56%		05/25/36	⁴		1,927,993		1,266,801
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A3
(LIBOR USD 1-Month plus 1.56%)
1.65%		10/25/45	²		543,491		569,877

							16,980,967


U.S. Agency Commercial Mortgage-Backed — 0.01%
Fannie Mae-Aces,
Series 2015-M4, Class X2 (IO)
0.61%		07/25/22	⁴		52,183,199		9,203



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K021, Class A2
2.40%		06/25/22		$	102,973	$	104,068

							113,271


U.S. Agency Mortgage-Backed — 8.39%
Fannie Mae Pool 253974
7.00%		08/01/31			1,153		1,279
Fannie Mae Pool 254232
6.50%		03/01/22			103		103
Fannie Mae Pool 527247
7.00%		09/01/26			12		13
Fannie Mae Pool 545191
7.00%		09/01/31			557		631
Fannie Mae Pool 545646
7.00%		09/01/26			6		7
Fannie Mae Pool 549740
6.50%		10/01/27			2,897		3,256
Fannie Mae Pool 606108
7.00%		03/01/31			328		332
Fannie Mae Pool 630599
7.00%		05/01/32			3,018		3,457
Fannie Mae Pool 655928
7.00%		08/01/32			2,048		2,446
Fannie Mae Pool 735207
7.00%		04/01/34			830		964
Fannie Mae Pool 735686
6.50%		12/01/22			36		36
Fannie Mae Pool 735861
6.50%		09/01/33			50,823		56,613
Fannie Mae Pool 764388
(LIBOR USD 6-Month plus 1.38%)
1.51%		03/01/34	²		7,271		7,334
Fannie Mae Pool 776708
5.00%		05/01/34			80,915		92,312
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.53%)
1.99%		12/01/35	²		5,285		5,326
Fannie Mae Pool 889184
5.50%		09/01/36			63,849		73,791
Fannie Mae Pool 890221
5.50%		12/01/33			95,403		109,205
Fannie Mae Pool 939419
(LIBOR USD 12-Month plus 1.26%)
1.52%		05/01/37	²		21,232		21,337
Fannie Mae Pool AL0209
4.50%		05/01/41			260,881		293,849
Fannie Mae Pool AN2786
2.76%		09/01/36			48,356		52,208
Fannie Mae Pool BL6060
2.46%		04/01/40			1,160,000		1,194,716
Fannie Mae Pool CA1710
4.50%		05/01/48			13,522		14,663
Fannie Mae Pool CA1711
4.50%		05/01/48			903,899		980,626



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA2208
4.50%		08/01/48		$	13,166	$	14,284
Fannie Mae Pool FM2318
3.50%		09/01/49			1,324,433		1,431,481
Fannie Mae Pool FN0039
3.18%		09/01/27	⁴		35,299		38,692
Fannie Mae Pool MA1527
3.00%		08/01/33			17,580		18,674
Fannie Mae Pool MA1561
3.00%		09/01/33			985,336		1,046,635
Fannie Mae Pool MA1608
3.50%		10/01/33			879,765		947,562
Fannie Mae Pool MA3427
4.00%		07/01/33			10,614		11,260
Fannie Mae Pool MA3537
4.50%		12/01/48			914,228		987,726
Fannie Mae Pool MA3811
3.00%		10/01/49			670,061		686,059
Fannie Mae Pool MA4152
2.00%		10/01/40			2,952,456		3,015,628
Fannie Mae Pool MA4333
2.00%		05/01/41			779,024		796,130
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
10.77%		05/25/23	²		605		646
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%		10/25/31			104,551		118,613
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		2,985		3,492
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
0.56%		07/25/37	²		46,854		47,445
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.96%		11/25/36	²		737,511		134,332
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%		06/25/47			6,644		6,919
Fannie Mae REMICS,
Series 2018-43, Class CT
3.00%		06/25/48			301,647		315,277
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%		01/25/47			59,532		61,606
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%		05/25/47			361,735		373,465



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
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	$	7,898,926	$	122,237
Freddie Mac Gold Pool A25162
5.50%		05/01/34			70,466		80,666
Freddie Mac Gold Pool A33262
5.50%		02/01/35			28,134		32,829
Freddie Mac Gold Pool A68781
5.50%		10/01/37			4,965		5,748
Freddie Mac Gold Pool C03813
3.50%		04/01/42			580,274		630,759
Freddie Mac Gold Pool C90504
6.50%		12/01/21			8		8
Freddie Mac Gold Pool G01548
7.50%		07/01/32			207,835		251,122
Freddie Mac Gold Pool G01644
5.50%		02/01/34			49,623		57,284
Freddie Mac Gold Pool G02366
6.50%		10/01/36			41,252		49,622
Freddie Mac Gold Pool G08844
5.00%		10/01/48			270,468		296,748
Freddie Mac Gold Pool G12909
6.00%		11/01/22			9,396		9,593
Freddie Mac Gold Pool G13032
6.00%		09/01/22			209		212
Freddie Mac Gold Pool G15897
2.50%		09/01/31			26,004		27,258
Freddie Mac Gold Pool G16085
2.50%		02/01/32			1,558,184		1,639,966
Freddie Mac Gold Pool G16524
3.50%		05/01/33			58,870		63,194
Freddie Mac Gold Pool G16756
3.50%		01/01/34			1,005,563		1,079,825
Freddie Mac Gold Pool G18581
2.50%		01/01/31			25,375		26,634
Freddie Mac Pool SD7503
3.50%		08/01/49			3,724,545		4,023,254
Freddie Mac REMICS,
Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	²		3,705		3,869
Freddie Mac REMICS,
Series 2174, Class PN
6.00%		07/15/29			18,516		20,696
Freddie Mac REMICS,
Series 3460, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
6.12%		06/15/38	²		746,804		136,595
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
6.53%		04/15/42	²		603,673		124,062
Ginnie Mae (TBA)
2.00%		11/20/51			1,800,000		1,822,102
2.50%		11/20/51			3,900,000		4,019,244



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae I Pool 782810
4.50%		11/15/39		$	529,697	$	593,916
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		13,647		14,145
Ginnie Mae II Pool MA4454
5.00%		05/20/47			20,488		22,457
Ginnie Mae II Pool MA4511
4.00%		06/20/47			5,383		5,776
Ginnie Mae II Pool MA4588
4.50%		07/20/47			197,346		213,779
Ginnie Mae II Pool MA4589
5.00%		07/20/47			1,090,739		1,199,345
Ginnie Mae II Pool MA4838
4.00%		11/20/47			500,725		536,704
Ginnie Mae II Pool MA4901
4.00%		12/20/47			401,825		430,687
Ginnie Mae II Pool MA5399
4.50%		08/20/48			527,586		565,516
Ginnie Mae II Pool MA5530
5.00%		10/20/48			6,733		7,277
Ginnie Mae II Pool MA6030
3.50%		07/20/49			87,001		89,958
Ginnie Mae II Pool MA6080
3.00%		08/20/49			37,634		38,809
Ginnie Mae II Pool MA6209
3.00%		10/20/49			661,467		680,035
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
14.13%		11/26/23	²		6,454		7,196
UMBS (TBA)
1.50%		11/01/36			3,825,000		3,855,986
2.00%		11/01/36			3,750,000		3,857,227
2.00%		11/01/51			6,150,000		6,154,423
2.50%		11/01/51			23,350,000		24,027,665

							69,794,858


Total Mortgage-Backed
(Cost $106,470,793)							106,192,945


MUNICIPAL BONDS — 0.78%*

California — 0.24%
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series G
2.19%		11/01/32			795,000		809,240
Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements,
Series C
5.52%		07/01/27			50,000		61,246
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series KR
5.75%		07/01/34			875,000		1,158,839

							2,029,325



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	$	314,553
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31		245,000		262,993

						577,546

New York — 0.46%
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements
6.55%		11/15/31		25,000		32,265
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3
5.27%		05/01/27		1,465,000		1,750,211
New York State Dormitory Authority Revenue Bonds, Series C
1.95%		03/15/29		590,000		594,039
New York State Dormitory Authority Revenue Bonds, Transit Improvements, Series F
3.03%		02/15/33		1,245,000		1,343,573
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series D
5.50%		03/15/30		70,000		83,813

						3,803,901

Pennsylvania — 0.01%
Pennsylvania Economic Development Financing Authority Revenue Bonds, University of Pittsburgh Medical Center, Series B
3.20%		11/15/27		40,000		43,606


Total Municipal Bonds
(Cost $6,168,386)						6,454,378

U.S. TREASURY SECURITIES — 53.44%

U.S. Treasury Notes — 53.44%
U.S. Treasury Notes
0.13%		07/31/23		77,295,000		77,136,236
0.13%		08/31/23		77,985,000		77,783,945
0.25%		09/30/23		51,815,000		51,778,568
0.63%		07/31/26		47,450,000		46,694,855
0.75%		08/31/26		63,930,000		63,253,241
0.88%		09/30/26		98,858,000		98,337,606
1.25%		08/15/31		30,415,000		29,680,763


Total U.S. Treasury Securities
(Cost $445,925,111)						444,665,214

Total Bonds — 103.24%
(Cost $853,238,845)						858,991,094

Issues

Shares

Value

COMMON STOCK — 0.00%

Electric — 0.00%

Homer City Holdings LLC^†,5,6,8

8,014

—

Total Common Stock

(Cost $457,400)

Purchased Options - 0.03%

(Cost $130,246)

247,500

Issues

Maturity

Date

Principal

Amount/Shares

Value

SHORT-TERM INVESTMENTS — 0.01%

Money Market Funds — 0.01%

Fidelity Investments Money Market Funds - Government Portfolio

0.01%^11,12

45,210

Total Short-Term Investments

(Cost $45,210)

Total Investments Before Written Options - 103.28%

(Cost $853,871,701)

859,283,804

Written Options - (0.02)%

(Cost $(78,509))

(127,875

)

Net unrealized appreciation on unfunded commitments - 0.00%

2,323

Liabilities in Excess of Other Assets - (3.26)%

(27,137,372

)

Net Assets - 100.00%

832,020,880

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 September 30, 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 $2,755,154, which is 0.33% 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 $96,672, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum.

⁸	Non-income producing security.

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

¹⁰	Zero coupon bond. The rate shown is the effective yield as of September 30, 2021.

¹¹	Represents the current yield as of September 30, 2021.

¹²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $34.

^†	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.

Issues

Maturity

Date

Principal

Amount

Value

BONDS – 102.07%

ASSET-BACKED SECURITIES — 5.29%**

AGL CLO 13 Ltd.,

Series 2021-13A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.16%)

0.00%

10/20/34

^1,2,3

70,000

70,035

Aimco CLO,

Series 2015-AA, Class BR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.60%)

0.00%

10/17/34

^1,2,3

70,000

70,035

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,

Series 2005-R11, Class M3

(LIBOR USD 1-Month plus 0.75%)

0.84%

01/25/36

100,000

100,468

Bombardier Capital Mortgage Securitization Corp.,

Series 2000-A, Class A2

7.58%

06/15/30

⁴

19,426

4,191

Centex Home Equity Loan Trust,

Series 2005-D, Class M4

(LIBOR USD 1-Month plus 0.92%)

1.00%

10/25/35

30,000

30,125

CIT Mortgage Loan Trust,

Series 2007-1, Class 1A

(LIBOR USD 1-Month plus 1.35%)

1.44%

10/25/37

^1,2

6,687

6,750

Citigroup Mortgage Loan Trust, Inc.,

Series 2005-OPT1, Class M1

(LIBOR USD 1-Month plus 0.63%)

0.72%

02/25/35

45,864

45,264

Conseco Finance Corp.,

Series 1998-4, Class A5

6.18%

04/01/30

3,727

3,728

Countrywide Asset-Backed Certificates Trust,

Series 2005-6, Class M4

(LIBOR USD 1-Month plus 0.99%)

1.08%

12/25/35

8,408

8,417

Countrywide Asset-Backed Certificates Trust,

Series 2007-13, Class 2A1

(LIBOR USD 1-Month plus 0.90%)

0.99%

10/25/47

23,958

24,026

Eaton Vance CLO Ltd.,

Series 2020-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

1.25%

10/15/34

^1,2,3

120,000

120,083

HSI Asset Securitization Corp. Trust,

Series 2007-WF1, Class 1A1

(LIBOR USD 1-Month plus 0.16%)

0.25%

05/25/37

19,889

19,756

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

34,413

38,632

Issues

Maturity
Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Long Beach Mortgage Loan Trust,

Series 2006-1, Class 1A

(LIBOR USD 1-Month plus 0.44%)

0.53%

02/25/36

5,862

5,838

Madison Park Funding XXXIX Ltd.,

Series 2021-39A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.65%)

0.00%

10/22/34

^1,2,3

70,000

70,035

MASTR Asset-Backed Securities Trust,

Series 2005-WF1, Class M4

(LIBOR USD 1-Month plus 0.89%)

0.97%

06/25/35

102,028

102,134

Palmer Square CLO Ltd.,

Series 2021-4A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

1.31%

10/15/34

^1,2,3

125,000

125,069

RAAC Trust,

Series 2007-SP3, Class A1

(LIBOR USD 1-Month plus 1.20%)

1.29%

09/25/47

10,498

10,510

Saxon Asset Securities Trust,

Series 2007-2, Class A2A

(LIBOR USD 1-Month plus 0.10%)

0.19%

05/25/47

73,727

63,740

Sixth Street CLO XVII Ltd.,

Series 2021-17A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.24%)

1.41%

01/20/34

^1,2,3

120,000

120,339

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

12/30/99

^5,6

38,726

38,836

SLC Student Loan Trust,

Series 2006-1, Class A6

(LIBOR USD 3-Month plus 0.16%)

0.28%

03/15/55

60,000

58,875

SLM Student Loan Trust,

Series 2007-2, Class B

(LIBOR USD 3-Month plus 0.17%)

0.30%

07/25/25

70,000

63,470

SLM Student Loan Trust,

Series 2008-2, Class B

(LIBOR USD 3-Month plus 1.20%)

1.33%

01/25/83

20,000

19,211

SLM Student Loan Trust,

Series 2008-3, Class B

(LIBOR USD 3-Month plus 1.20%)

1.33%

04/26/83

20,000

18,893

SLM Student Loan Trust,

Series 2008-5, Class B

(LIBOR USD 3-Month plus 1.85%)

1.98%

07/25/73

35,000

34,666



Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.23%		07/25/23	²	$	30,752	$	30,925
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%		07/26/83	²		20,000		20,115
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%		07/26/83	²		20,000		20,083
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
1.63%		04/25/23	²		19,430		19,553
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.38%		10/25/75	²		30,000		30,221
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.63%		04/25/23	²		14,710		14,814
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.38%		10/25/83	²		15,000		15,158
Structured Receivables Finance LLC,
Series 2010-B, Class A
3.73%		08/15/36	¹		48,803		50,782
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
0.30%		04/25/40	^1,2		36,054		35,361
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates,
Series 2004-1, Class 2A1
(LIBOR USD 1-Month plus 0.60%)
0.69%		04/25/34	²		12,612		12,204


Total Asset-Backed Securities
(Cost $1,491,460)							1,522,342


CORPORATES — 57.55%*

Banking — 10.69%
Bank of America Corp.
1.73%		07/22/27	⁴		270,000		271,481
3.00%		12/20/23	⁴		15,000		15,462
Bank of America Corp.
(MTN)
2.09%		06/14/29	⁴		310,000		309,791
3.97%		03/05/29	⁴		60,000		66,676
3.97%		02/07/30	⁴		30,000		33,613
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		60,000		58,737
2.19%		06/05/26	^1,3,4		25,000		25,503



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
3.09%		05/14/32	^1,3,4	$	50,000	$	51,311
4.55%		04/17/26	³		5,000		5,620
Discover Bank
(BKNT)
3.45%		07/27/26			60,000		65,084
DNB Bank ASA
(Norway)
1.13%		09/16/26	^1,3,4		100,000		98,979
Fifth Third Bancorp
2.55%		05/05/27			30,000		31,554
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	^3,4		20,000		19,875
2.21%		08/17/29	^3,4		230,000		228,413
JPMorgan Chase & Co.
0.97%		06/23/25	⁴		180,000		180,247
1.58%		04/22/27	⁴		250,000		250,566
2.01%		03/13/26	⁴		35,000		35,885
2.52%		04/22/31	⁴		10,000		10,208
2.58%		04/22/32	⁴		50,000		50,731
3.56%		04/23/24	⁴		70,000		73,302
4.01%		04/23/29	⁴		20,000		22,322
4.20%		07/23/29	⁴		125,000		142,278
Lloyds Banking Group PLC
(United Kingdom)
3.87%		07/09/25	^3,4		150,000		161,772
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	^1,3,4		30,000		29,751
1.63%		09/23/27	^1,3,4		85,000		84,652
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,4		95,000		102,533
Santander UK Group Holdings PLC
(United Kingdom)
3.57%		01/10/23	³		10,000		10,087
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	^1,3		120,000		129,824
State Street Corp.
3.78%		12/03/24	⁴		15,000		16,092
Truist Financial Corp.
(MTN)
1.89%		06/07/29	⁴		35,000		35,030
Wells Fargo & Co.
(MTN)
2.39%		06/02/28	⁴		420,000		433,545
2.88%		10/30/30	⁴		5,000		5,232
3.58%		05/22/28	⁴		20,000		21,911

							3,078,067


Communications — 6.70%
AT&T, Inc.
2.25%		02/01/32			22,000		21,446
2.55%		12/01/33			214,000		210,733
2.75%		06/01/31			30,000		30,762



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
3.80%		12/01/57		$	50,000	$	51,256
Charter Communications Operating LLC/Charter Communications Operating Capital
2.30%		02/01/32			165,000		157,337
3.75%		02/15/28			82,000		89,867
Comcast Corp.
1.95%		01/15/31			135,000		132,816
Cox Communications, Inc.
3.35%		09/15/26	¹		80,000		85,945
Discovery Communications LLC
3.63%		05/15/30			70,000		76,006
Fox Corp.
3.50%		04/08/30			30,000		32,759
Level 3 Financing, Inc.
3.88%		11/15/29	¹		56,000		59,951
SES SA
(Luxembourg)
3.60%		04/04/23	^1,3		15,000		15,599
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		105,000		112,271
5.15%		03/20/28	¹		75,000		85,804
Tencent Holdings Ltd.
(Cayman Islands)
3.98%		04/11/29	^1,3		65,000		71,427
T-Mobile USA, Inc.
2.55%		02/15/31			179,000		179,755
4.38%		04/15/40			25,000		28,833
Verizon Communications, Inc.
2.36%		03/15/32	¹		216,000		213,909
4.33%		09/21/28			40,000		45,980
ViacomCBS, Inc.
4.20%		05/19/32			65,000		74,385
Vodafone Group PLC
(United Kingdom)
4.38%		05/30/28	³		75,000		86,192
Walt Disney Co. (The)
2.65%		01/13/31			45,000		47,057
6.20%		12/15/34			4,000		5,665
7.75%		01/20/24			12,000		13,895

							1,929,650


Consumer Discretionary — 2.33%
Anheuser-Busch InBev Worldwide, Inc.
3.50%		06/01/30			110,000		120,555
4.00%		04/13/28			52,000		58,748
4.75%		01/23/29			15,000		17,674
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		5,000		5,513
4.70%		05/15/28	^1,3		95,000		109,812
BAT Capital Corp.
2.73%		03/25/31			10,000		9,863
Constellation Brands, Inc.
2.88%		05/01/30			50,000		52,072
4.25%		05/01/23			15,000		15,870



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
Hyatt Hotels Corp.
1.80%		10/01/24		$	85,000	$	85,205
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/25	^1,3		60,000		65,443
Reynolds American, Inc.
5.70%		08/15/35			110,000		131,908

							672,663


Electric — 2.25%
Alliant Energy Finance LLC
1.40%		03/15/26	¹		65,000		64,175
Ameren Corp.
3.50%		01/15/31			95,000		103,377
Appalachian Power Co.
4.45%		06/01/45			5,000		5,974
Appalachian Power Co.,
Series X
3.30%		06/01/27			20,000		21,637
Berkshire Hathaway Energy Co.
3.70%		07/15/30			50,000		56,324
Black Hills Corp.
4.35%		05/01/33			36,000		41,700
Consolidated Edison Co. of New York, Inc.,
Series 20A
3.35%		04/01/30			45,000		49,293
Duke Energy Corp.
2.55%		06/15/31			65,000		66,031
ITC Holdings Corp.
4.05%		07/01/23			10,000		10,501
Jersey Central Power & Light Co.
2.75%		03/01/32	¹		70,000		71,780
4.70%		04/01/24	¹		5,000		5,393
Metropolitan Edison Co.
4.00%		04/15/25	¹		25,000		26,353
Narragansett Electric Co. (The)
3.40%		04/09/30	¹		35,000		37,928
Public Service Co. of New Mexico
3.85%		08/01/25			40,000		42,909
Southwestern Electric Power Co.,
Series M
4.10%		09/15/28			20,000		22,576
Xcel Energy, Inc.
3.40%		06/01/30			20,000		21,829

							647,780


Energy — 2.70%
ConocoPhillips
2.40%		02/15/31	¹		65,000		66,106
Energy Transfer LP
4.00%		10/01/27			30,000		33,121
4.20%		04/15/27			10,000		11,070
4.95%		06/15/28			135,000		154,991
5.50%		06/01/27			10,000		11,739
Exxon Mobil Corp.
3.45%		04/15/51			20,000		21,302



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Hess Corp.
4.30%		04/01/27		$	32,000	$	35,561
Kinder Morgan, Inc.
5.30%		12/01/34			40,000		49,413
5.63%		11/15/23	¹		25,000		27,225
Kinder Morgan, Inc.
(GMTN)
7.80%		08/01/31			10,000		14,287
Lundin Energy Finance BV
(Netherlands)
3.10%		07/15/31	^1,3		55,000		55,807
Petroleos Mexicanos
(Mexico)
5.35%		02/12/28	³		15,000		14,808
5.95%		01/28/31	³		30,000		29,122
Phillips 66 Partners LP
3.15%		12/15/29			25,000		26,171
Piedmont Natural Gas Co., Inc.
2.50%		03/15/31			20,000		20,157
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			60,000		66,586
Rockies Express Pipeline LLC
3.60%		05/15/25	¹		20,000		20,660
4.95%		07/15/29	¹		10,000		10,415
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6		14,394		13,386
Southern Natural Gas Co. LLC
4.80%		03/15/47	¹		30,000		36,788
TC PipeLines LP
3.90%		05/25/27			20,000		22,222
Texas Eastern Transmission LP
2.80%		10/15/22	¹		10,000		10,166
Williams Cos., Inc. (The)
4.30%		03/04/24			25,000		26,863

							777,966


Finance — 9.16%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.88%		01/23/28	³		36,000		38,456
3.95%		02/01/22	³		35,000		35,295
Air Lease Corp.
3.00%		09/15/23			30,000		31,193
3.63%		12/01/27			41,000		43,933
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		11,000		10,828
2.88%		02/15/25	^1,3		45,000		46,300
Citigroup, Inc.
0.98%		05/01/25	⁴		60,000		60,248
1.46%		06/09/27	⁴		255,000		253,733
2.57%		06/03/31	⁴		45,000		45,896
3.67%		07/24/28	⁴		145,000		159,261
Daimler Finance North America LLC
2.20%		10/30/21	¹		20,000		20,029



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Ford Motor Credit Co. LLC
4.25%		09/20/22		$	25,000	$	25,600
(LIBOR USD 3-Month plus 1.08%)
1.20%		08/03/22	²		35,000		34,983
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³		180,000		216,220
General Motors Financial Co., Inc.
3.15%		06/30/22			10,000		10,174
4.20%		11/06/21			15,000		15,051
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27	⁴		30,000		29,922
1.54%		09/10/27	⁴		380,000		378,999
2.60%		02/07/30			30,000		30,896
2.88%		10/31/22	⁴		75,000		75,154
Intercontinental Exchange, Inc.
1.85%		09/15/32			45,000		42,559
2.10%		06/15/30			35,000		34,658
LSEGA Financing PLC
(United Kingdom)
1.38%		04/06/26	^1,3		90,000		89,718
Morgan Stanley
1.59%		05/04/27	⁴		325,000		326,030
Morgan Stanley
(GMTN)
1.51%		07/20/27	⁴		95,000		94,596
3.70%		10/23/24			70,000		75,971
3.77%		01/24/29	⁴		130,000		143,945
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^1,3,4		35,000		35,612
3.77%		03/08/24	^1,3,4		90,000		93,852
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		10,000		10,452
5.50%		02/15/24	^1,3		5,000		5,457
Pipeline Funding Co. LLC
7.50%		01/15/30	¹		17,796		22,678
Raymond James Financial, Inc.
4.65%		04/01/30			85,000		100,922

							2,638,621


Food — 1.16%
Conagra Brands, Inc.
4.60%		11/01/25			16,000		17,989
General Mills, Inc.
3.70%		10/17/23			15,000		15,926
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.50%		01/15/30	^1,3		50,000		55,674
Kraft Heinz Foods Co.
5.00%		07/15/35			48,000		59,160
Pilgrim’s Pride Corp.
3.50%		03/01/32	¹		60,000		61,136



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Food (continued)
Smithfield Foods, Inc.
2.63%		09/13/31	¹	$	65,000	$	63,396
3.35%		02/01/22	¹		50,000		50,482
5.20%		04/01/29	¹		10,000		11,493

							335,256


Health Care — 7.83%
AbbVie, Inc.
3.60%		05/14/25			25,000		27,056
4.50%		05/14/35			65,000		77,782
Alcon Finance Corp.
2.75%		09/23/26	¹		80,000		84,513
Anthem, Inc.
3.65%		12/01/27			65,000		72,255
Ascension Health,
Series B
2.53%		11/15/29			20,000		20,972
Banner Health
2.34%		01/01/30			10,000		10,260
Barnabas Health, Inc.,
Series 2012
4.00%		07/01/28			15,000		16,916
Baxalta, Inc.
3.60%		06/23/22			25,000		25,469
Baxter International, Inc.
3.95%		04/01/30			25,000		28,427
Bayer U.S. Finance II LLC
3.88%		12/15/23	¹		10,000		10,643
4.38%		12/15/28	¹		105,000		118,969
4.40%		07/15/44	¹		5,000		5,629
Becton Dickinson and Co.
3.36%		06/06/24			7,000		7,443
3.70%		06/06/27			70,000		77,565
Bon Secours Mercy Health, Inc.,
Series 20-2
2.10%		06/01/31			30,000		29,772
Bristol-Myers Squibb Co.
3.90%		02/20/28			40,000		45,245
Centene Corp.
3.00%		10/15/30			60,000		61,575
Cigna Corp.
2.40%		03/15/30			135,000		137,331
4.38%		10/15/28			30,000		34,695
CommonSpirit Health
2.76%		10/01/24			25,000		26,308
2.78%		10/01/30			20,000		20,603
3.35%		10/01/29			50,000		53,771
CVS Health Corp.
3.25%		08/15/29			150,000		161,324
DENTSPLY SIRONA, Inc.
3.25%		06/01/30			85,000		90,631
Elanco Animal Health, Inc.
5.90%		08/28/28			15,000		17,569
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	¹		30,000		30,524



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Fresenius Medical Care U.S. Finance III, Inc.
1.88%		12/01/26	¹	$	30,000	$	30,150
HCA, Inc.
4.13%		06/15/29			140,000		156,480
4.50%		02/15/27			5,000		5,632
5.00%		03/15/24			15,000		16,463
Humana, Inc.
2.15%		02/03/32			40,000		39,093
2.90%		12/15/22			15,000		15,428
3.13%		08/15/29			15,000		16,003
Illumina, Inc.
2.55%		03/23/31			60,000		60,641
Molina Healthcare, Inc.
3.88%		11/15/30	¹		30,000		31,675
PerkinElmer, Inc.
2.25%		09/15/31			45,000		44,462
2.55%		03/15/31			70,000		71,142
Providence St. Joseph Health Obligated Group,
Series H
2.75%		10/01/26			20,000		21,205
Regeneron Pharmaceuticals, Inc.
1.75%		09/15/30			55,000		52,330
Royalty Pharma PLC
(United Kingdom)
1.75%		09/02/27	³		50,000		49,665
Smith & Nephew PLC
(United Kingdom)
2.03%		10/14/30	³		30,000		29,287
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%		03/15/31	³		65,000		66,405
Thermo Fisher Scientific, Inc.
2.00%		10/15/31			70,000		68,589
UnitedHealth Group, Inc.
3.70%		12/15/25			20,000		22,134
3.88%		12/15/28			65,000		74,189
Universal Health Services, Inc.
1.65%		09/01/26	¹		55,000		54,696
Viatris, Inc.
1.13%		06/22/22	¹		35,000		35,190

							2,254,106


Industrials — 1.74%
Amcor Finance USA, Inc.
3.63%		04/28/26			35,000		38,190
BAE Systems Holdings, Inc.
3.80%		10/07/24	¹		25,000		27,008
3.85%		12/15/25	¹		20,000		21,836
BAE Systems PLC
(United Kingdom)
3.40%		04/15/30	^1,3		25,000		27,003
Berry Global, Inc.
1.57%		01/15/26	¹		50,000		50,045
4.88%		07/15/26	¹		15,000		15,769
Boeing Co. (The)
1.43%		02/04/24			30,000		30,045



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)
4.88%		05/01/25		$	35,000	$	38,982
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.50%		05/05/26	²		10,000		9,903
L3Harris Technologies, Inc.
3.85%		06/15/23			15,000		15,818
Sealed Air Corp.
1.57%		10/15/26	¹		40,000		39,817
Sonoco Products Co.
3.13%		05/01/30			60,000		64,013
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%		04/28/26	^1,3		15,000		16,129
3.90%		03/22/23	^1,3		75,000		78,367
WRKCo, Inc.
3.00%		06/15/33			10,000		10,448
4.65%		03/15/26			15,000		17,050

							500,423


Information Technology — 2.60%
Amazon.com, Inc.
2.10%		05/12/31			105,000		106,430
Analog Devices, Inc.
(SOFR Rate plus 0.25%)
0.30%		10/01/24	²		75,000		75,115
Apple, Inc.
1.70%		08/05/31			140,000		136,327
Broadcom, Inc.
3.63%		10/15/24			35,000		37,795
Fiserv, Inc.
2.65%		06/01/30			25,000		25,599
Intel Corp.
2.00%		08/12/31			60,000		59,717
NXP BV/NXP Funding LLC
(Netherlands)
4.63%		06/01/23	^1,3		65,000		69,200
Oracle Corp.
2.88%		03/25/31			150,000		154,667
Skyworks Solutions, Inc.
0.90%		06/01/23			25,000		25,051
VMware, Inc.
1.00%		08/15/24			60,000		60,213

							750,114


Insurance — 2.65%
Aon Corp.
2.80%		05/15/30			50,000		52,281
3.75%		05/02/29			10,000		11,139
Athene Global Funding
1.61%		06/29/26	¹		45,000		44,986
(SOFR Rate plus 0.70%)
0.75%		05/24/24	^1,2		65,000		65,322
Berkshire Hathaway Finance Corp.
1.85%		03/12/30			10,000		9,967



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
Equitable Financial Life Global Funding
1.80%		03/08/28	¹	$	25,000	$	24,863
Farmers Exchange Capital
7.05%		07/15/28	¹		15,000		18,422
Farmers Insurance Exchange
4.75%		11/01/57	^1,4		45,000		51,156
Marsh & McLennan Cos., Inc.
2.25%		11/15/30			70,000		70,557
Massachusetts Mutual Life Insurance Co.
3.38%		04/15/50	¹		48,000		50,337
Metropolitan Life Global Funding I
2.95%		04/09/30	¹		75,000		80,243
Nationwide Mutual Insurance Co.
2.41%		12/15/24	^1,4		40,000		40,048
New York Life Insurance Co.
5.88%		05/15/33	¹		50,000		66,047
Principal Life Global Funding II
0.75%		04/12/24	¹		25,000		25,025
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^1,4		80,000		83,919
Willis North America, Inc.
2.95%		09/15/29			65,000		68,013

							762,325


Materials — 0.84%
FMC Corp.
3.45%		10/01/29			20,000		21,607
Georgia-Pacific LLC
2.30%		04/30/30	¹		35,000		35,705
International Flavors & Fragrances, Inc.
1.23%		10/01/25	¹		50,000		49,609
2.30%		11/01/30	¹		85,000		84,331
Sherwin-Williams Co. (The)
2.30%		05/15/30			50,000		50,434

							241,686


Real Estate Investment Trust (REIT) — 4.76%
Alexandria Real Estate Equities, Inc.
3.80%		04/15/26			5,000		5,524
4.50%		07/30/29			18,000		20,930
American Assets Trust LP
3.38%		02/01/31			25,000		25,898
American Campus Communities Operating Partnership LP
3.30%		07/15/26			15,000		16,069
3.63%		11/15/27			5,000		5,475
3.75%		04/15/23			20,000		20,830
3.88%		01/30/31			110,000		122,965
American Homes 4 Rent LP
2.38%		07/15/31			30,000		29,751
American Tower Corp.
2.90%		01/15/30			50,000		52,087
3.55%		07/15/27			15,000		16,357
Boston Properties LP
2.75%		10/01/26			10,000		10,559
3.25%		01/30/31			15,000		15,908
3.40%		06/21/29			25,000		27,098



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
CC Holdings GS V LLC/Crown Castle GS III Corp.
3.85%		04/15/23		$	15,000	$	15,754
Crown Castle International Corp.
3.30%		07/01/30			70,000		74,653
CubeSmart LP
4.38%		02/15/29			15,000		17,105
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			40,000		41,969
3.45%		11/15/29			85,000		88,620
Essex Portfolio LP
2.65%		03/15/32			10,000		10,135
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			15,000		15,912
4.00%		01/15/30			30,000		32,460
5.30%		01/15/29			60,000		69,873
Healthcare Realty Trust, Inc.
3.88%		05/01/25			20,000		21,567
Healthcare Trust of America Holdings LP
2.00%		03/15/31			55,000		52,775
3.10%		02/15/30			15,000		15,796
Healthpeak Properties, Inc.
4.00%		06/01/25			65,000		71,025
Host Hotels & Resorts LP,
Series D
3.75%		10/15/23			55,000		57,660
Hudson Pacific Properties LP
3.95%		11/01/27			60,000		65,754
4.65%		04/01/29			15,000		17,231
Kilroy Realty LP
2.50%		11/15/32			25,000		24,619
3.05%		02/15/30			5,000		5,247
4.38%		10/01/25			15,000		16,718
Lexington Realty Trust
2.38%		10/01/31			25,000		24,307
2.70%		09/15/30			25,000		25,330
Life Storage LP
2.20%		10/15/30			40,000		39,657
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.63%		06/15/25	¹		50,000		54,060
Mid-America Apartments LP
1.70%		02/15/31			20,000		19,008
Piedmont Operating Partnership LP
2.75%		04/01/32			25,000		24,648
SL Green Operating Partnership LP
3.25%		10/15/22			35,000		35,879
UDR, Inc.
(MTN)
4.40%		01/26/29			10,000		11,398
Ventas Realty LP
2.50%		09/01/31			25,000		24,731
3.00%		01/15/30			15,000		15,614
4.13%		01/15/26			10,000		11,054

							1,370,010



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Retail — 0.58%
7-Eleven, Inc.
(LIBOR USD 3-Month plus 0.45%)
0.58%		08/10/22	^1,2	$	16,000	$	16,004
Alimentation Couche-Tard, Inc.
(Canada)
2.95%		01/25/30	^1,3		60,000		62,443
3.80%		01/25/50	^1,3		20,000		21,386
Home Depot, Inc. (The)
3.90%		12/06/28			10,000		11,454
Starbucks Corp.
2.00%		03/12/27			10,000		10,259
2.55%		11/15/30			45,000		46,310

							167,856


Services — 0.95%
IHS Markit Ltd.
(Bermuda)
4.75%		08/01/28	³		75,000		87,908
5.00%		11/01/22	^1,3		25,000		25,954
Northwestern University
3.69%		12/01/38			20,000		23,838
RELX Capital, Inc.
3.00%		05/22/30			30,000		31,859
4.00%		03/18/29			20,000		22,523
Republic Services, Inc.
2.90%		07/01/26			15,000		15,976
Waste Connections, Inc.
(Canada)
2.60%		02/01/30	³		65,000		66,989

							275,047


Transportation — 0.61%
Burlington Northern Santa Fe LLC
4.40%		03/15/42			4,000		4,885
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			14,355		14,544
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			23,505		23,504
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32			30,988		31,122
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			3,544		3,653
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%		10/22/23			18,121		19,258
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			43,790		46,354



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Transportation (continued)
Union Pacific Corp.
2.89%		04/06/36	¹	$	30,000	$	31,209

							174,529


Total Corporates
(Cost $16,361,791)							16,576,099


MORTGAGE-BACKED — 14.33%**

Non-Agency Commercial Mortgage-Backed — 5.03%
BANK,
Series 2018-BN10, Class XA (IO)
0.87%		02/15/61	⁴		266,022		10,415
BANK,
Series 2019-BN16, Class A4
4.01%		02/15/52			85,000		96,831
BANK,
Series 2019-BN17, Class A4
3.71%		04/15/52			55,000		61,503
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class XA (IO)
1.50%		04/10/46	⁴		3,447,162		56,234
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
1.00%		09/10/46	⁴		1,264,218		16,655
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
1.11%		10/10/47	⁴		603,098		14,803
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.32%		03/10/46	⁴		503,587		6,879
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.08%		07/10/45	⁴		15,267,493		10,932
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.43%		01/10/46	⁴		2,119,950		23,946
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
1.11%		08/10/47	⁴		618,257		13,944
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.29%		03/10/47	⁴		899,595		19,848
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.23%		06/10/47	⁴		1,806,193		43,047
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
1.01%		09/10/47	^4,5,6		2,092,779		42,948
Commercial Mortgage Trust,
Series 2015-3BP, Class XA (IO)
0.17%		02/10/35	^1,4		8,554,000		27,407
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.89%		12/15/49	⁴		396,668		10,154



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.63%		02/10/46	⁴	$	3,133,941	$	48,201
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.45%		02/10/37	^1,4		375,000		4,264
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.89%		08/10/43	^1,4		4,813,447		58,305
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.09%		08/10/44	^1,4		293,901		3
GS Mortgage Securities Trust,
Series 2013-GC14, Class XA (IO)
0.71%		08/10/46	⁴		4,585,501		40,845
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.16%		04/10/47	⁴		1,361,130		27,787
GS Mortgage Securities Trust,
Series 2016-GS3, Class XA (IO)
1.34%		10/10/49	⁴		216,612		10,793
GS Mortgage Securities Trust,
Series 2017-GS7, Class XA (IO)
1.26%		08/10/50	⁴		98,282		4,870
GS Mortgage Securities Trust,
Series 2019-GC42, Class A4
3.00%		09/01/52			50,000		53,667
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class XA (IO)
0.98%		09/15/47	⁴		1,972,131		39,334
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.98%		11/15/47	⁴		1,539,709		34,438
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C29, Class XA (IO)
0.78%		05/15/48	⁴		532,832		10,349
JPMDB Commercial Mortgage Securities Trust,
Series 2017-C7, Class XA (IO)
0.99%		10/15/50	⁴		259,769		10,729
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2010-C2, Class XB (IO)
0.83%		11/15/43	^1,4		991,779		1,522
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.54%		12/15/47	⁴		1,202,368		14,335
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2018-LAQ, Class A
(LIBOR USD 1-Month plus 1.00%)
1.08%		06/15/32	^1,2		5,564		5,570
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%		06/05/39	¹		5,000		5,491
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C8, Class XA (IO)
1.04%		12/15/48	⁴		2,951,238		27,161



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
1.12%		12/15/47	⁴	$	1,882,733	$	47,237
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.16%		04/15/48	⁴		694,668		18,898
Morgan Stanley Capital I Trust,
Series 2012-C4, Class A4
3.24%		03/15/45			10,381		10,457
Natixis Commercial Mortgage Securities Trust,
Series 2020-2PAC, Class XB (IO)
0.95%		12/15/38	^1,4		570,000		15,359
SG Commercial Mortgage Securities Trust,
Series 2019-787E, Class E
4.66%		02/15/41	^1,4		50,000		51,849
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.32%		08/10/49	^1,4,5,6		3,700,000		7,652
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.24%		08/15/50	⁴		351,554		8,199
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.18%		12/15/47	⁴		5,029,801		132,562
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.80%		07/15/58	⁴		2,255,578		45,872
Wells Fargo Commercial Mortgage Trust,
Series 2015-SG1, Class A4
3.79%		09/15/48			39,470		42,358
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XA (IO)
1.45%		06/15/45	^1,4		5,563,011		37,315
WF-RBS Commercial Mortgage Trust,
Series 2014-C19, Class XA (IO)
1.17%		03/15/47	⁴		7,940,933		142,957
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.43%		03/15/47	⁴		1,387,911		33,259

							1,447,184


Non-Agency Mortgage-Backed — 2.69%
American Home Mortgage Investment Trust,
Series 2004-4, Class 1A1
(LIBOR USD 1-Month plus 0.68%)
0.77%		02/25/45	²		92,744		93,029
Banc of America Funding Trust,
Series 2014-R7, Class 2A1
(LIBOR USD 1-Month plus 0.14%)
0.23%		09/26/36	^1,2		22,558		22,335
Bear Stearns ARM Trust,
Series 2004-1, Class 12A5
2.80%		04/25/34	⁴		8,354		8,477
CIM Trust,
Series 2021-R4, Class A1A
2.00%		05/01/61	^1,4		92,073		92,407

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Galton Funding Mortgage Trust,

Series 2018-2, Class A22

4.00%

10/25/58

^1,4

32,488

33,020

GSR Mortgage Loan Trust,

Series 2005-AR6, Class 2A1

2.86%

09/25/35

⁴

13,849

14,277

Impac CMB Trust,

Series 2004-6, Class 1A2

(LIBOR USD 1-Month plus 0.78%)

0.87%

10/25/34

115,302

115,761

IndyMac Index Mortgage Loan Trust,

Series 2007-FLX3, Class A1

(LIBOR USD 1-Month plus 0.24%)

0.33%

06/25/37

91,316

91,977

JPMorgan Mortgage Trust,

Series 2005-A3, Class 2A1

2.67%

06/25/35

⁴

5,258

5,469

Morgan Stanley Mortgage Loan Trust,

Series 2004-5AR, Class 3A1

2.30%

07/25/34

⁴

14,793

15,452

Morgan Stanley Mortgage Loan Trust,

Series 2005-5AR, Class 1M3

(LIBOR USD 1-Month plus 0.83%)

0.91%

09/25/35

100,000

100,276

Structured Asset Mortgage Investments II Trust,

Series 2004-AR1, Class 1A2

(LIBOR USD 1-Month plus 0.70%)

0.79%

03/19/34

1,847

1,777

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR1, Class A2A1

(LIBOR USD 1-Month plus 0.68%)

0.77%

01/25/45

109,649

109,848

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR13, Class A1A2

(Federal Reserve US 12-Month Cumulative Average plus 1.45%)

1.54%

10/25/45

71,556

71,787

775,892

U.S. Agency Commercial Mortgage-Backed — 1.08%

Fannie Mae-Aces,

Series 2016-M11, Class X2 (IO)

2.97%

07/25/39

⁴

533,117

18,663

Fannie Mae-Aces,

Series 2016-M2, Class X3 (IO)

2.10%

04/25/36

⁴

107,833

1,095

Fannie Mae-Aces,

Series 2016-M4, Class X2 (IO)

2.70%

01/25/39

⁴

592,278

25,442

Freddie Mac Multifamily Structured Pass-Through Certificates,

Series K020, Class X1 (IO)

1.47%

05/25/22

⁴

1,713,928

8,111



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K025, Class X1 (IO)
0.91%		10/25/22	⁴	$	728,958	$	4,833
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K049, Class X3 (IO)
1.60%		10/25/43	⁴		250,000		13,367
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K717, Class X3 (IO)
1.65%		11/25/42	⁴		409,318		388
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K721, Class X1 (IO)
0.42%		08/25/22	⁴		33,013,810		72,653
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K722, Class X1 (IO)
1.44%		03/25/23	⁴		2,147,395		27,603
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC01, Class X1 (IO)
0.55%		12/25/22	⁴		2,510,717		10,927
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.34%		06/25/27	⁴		1,755,614		82,910
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.15%		02/16/53	⁴		3,262,808		18,228
Ginnie Mae,
Series 2013-1, Class IO (IO)
0.58%		02/16/54	⁴		534,349		9,116
Ginnie Mae,
Series 2013-125, Class IO (IO)
0.22%		10/16/54	⁴		1,156,967		18,639

							311,975


U.S. Agency Mortgage-Backed — 5.53%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
5.91%		11/25/41	²		118,554		16,113
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42			40,186		40,883
Fannie Mae REMICS,
Series 2013-5, Class GF
(LIBOR USD 1-Month plus 1.10%)
1.19%		10/25/42	²		42,630		43,018
Freddie Mac REMICS,
Series 4064, Class TB
3.50%		06/15/42			103,000		108,337



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%		07/15/36		$	203,491	$	43,886
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.51%		10/20/33	²		243,552		46,176
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48			35,082		37,666
Ginnie Mae,
Series 2018-154, Class BP
3.50%		11/20/48			5,169		5,396
Ginnie Mae,
Series 2019-15, Class GT
3.50%		02/20/49			33,580		35,901
UMBS (TBA)
2.00%		11/01/51			725,000		725,521
2.50%		11/01/51			475,000		488,786

							1,591,683


Total Mortgage-Backed
(Cost $4,796,807)							4,126,734


MUNICIPAL BONDS — 2.17%*

California — 0.70%
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%		07/01/34			25,000		33,110
5.76%		07/01/29			80,000		98,651
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%		07/01/34			10,000		14,144
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		10,099
Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements
5.88%		04/01/32			20,000		24,734
Santa Monica Community College District General Obligation Bonds
2.05%		08/01/33			20,000		19,972

							200,710


Florida — 0.06%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31			15,000		16,102


Maryland — 0.05%
City of Baltimore Revenue Bonds, Series B
2.13%		07/01/33			15,000		14,846



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

Massachusetts — 0.05%
Massachusetts School Building Authority Revenue Bonds, Series B
2.97%		10/15/32	$	15,000	$	15,858


New York — 1.31%
City of New York General Obligation Bonds, Series D
1.92%		08/01/31		30,000		29,496
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.73%		08/01/29		5,000		5,605
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D
2.50%		11/01/33		50,000		51,252
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33		100,000		98,081
New York State Dormitory Authority Revenue Bonds, School Improvements, Series F
2.96%		02/15/32		25,000		26,888
New York State Dormitory Authority Revenue Bonds, Series C
1.95%		03/15/29		75,000		75,513
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%		03/15/33		50,000		61,568
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series B
2.97%		03/15/34		15,000		15,766
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F
2.00%		03/15/33		15,000		14,537

						378,706


Total Municipal Bonds
(Cost $628,027)						626,222


U.S. TREASURY SECURITIES — 22.73%

U.S. Treasury Notes — 22.73%
U.S. Treasury Notes
0.13%		07/31/23		1,785,000		1,781,334
0.13%		08/31/23		2,550,000		2,543,426
0.25%		09/30/23		1,155,000		1,154,188
0.75%		08/31/26		590,000		583,754
0.88%		09/30/26		405,000		402,868
1.25%		08/15/31		85,000		82,948


Total U.S. Treasury Securities
(Cost $6,638,772)						6,548,518


Total Bonds — 102.07%
(Cost $29,916,857)						29,399,915



Issues	Maturity Date	Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 0.10%

Money Market Funds — 0.10%
Fidelity Investments Money Market Funds - Government Portfolio
0.01%⁷			27,530	$	27,530


Total Short-Term Investments
(Cost $27,530)

Total Investments - 102.17%
(Cost $29,944,387)					29,427,445


Liabilities in Excess of Other Assets - (2.17)%					(624,136	)


Net Assets - 100.00%				$	28,803,309

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 September 30, 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 $102,822, which is 0.36% of total net assets.

⁷	Represents the current yield as of September 30, 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.

(BKNT): Bank Note

(CLO): Collateralized Loan Obligation

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(SOFR): Secured Overnight Financing Rate

(TBA): To-Be-Announced

(USD): U.S. Dollar

Issues

Maturity

Date

Principal

Amount

Value

BONDS – 111.49%

ASSET-BACKED SECURITIES — 16.93%**

Access Group, Inc.,

Series 2015-1, Class A

(LIBOR USD 1-Month plus 0.70%)

0.79%

07/25/56

^1,2

1,328,067

1,325,769

Accredited Mortgage Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 1-Month plus 0.22%)

0.31%

02/25/37

5,016,442

4,984,596

ACE Securities Corp. Home Equity Loan Trust,

Series 2006-OP1, Class A2D

(LIBOR USD 1-Month plus 0.48%)

0.57%

04/25/36

8,982,033

8,785,149

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-

Through Certificates,

Series 2005-R1, Class M3

(LIBOR USD 1-Month plus 0.80%)

0.88%

03/25/35

4,205,135

4,204,746

Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-

Through Certificates,

Series 2005-R9, Class M1

(LIBOR USD 1-Month plus 0.71%)

0.79%

11/25/35

15,068,765

15,083,834

AMMC CLO 19 Ltd.,

Series 2016-19A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.27%

10/16/28

^1,2,3

1,494,607

1,494,771

AMMC CLO XIII Ltd.,

Series 2013-13A, Class A1R2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.05%)

1.18%

07/24/29

^1,2,3

6,050,000

6,050,787

Amresco Residential Securities Corp. Mortgage Loan Trust,

Series 1998-1, Class A5 (STEP-reset date 11/25/21)

7.37%

10/25/27

4,274

4,338

Arbor Realty Commercial Real Estate Notes Ltd.,

Series 2019-FL1, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.15%)

1.23%

05/15/37

^1,2,3

14,230,000

14,244,862

Argent Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2005-W2, Class M1

(LIBOR USD 1-Month plus 0.74%)

0.82%

10/25/35

7,567,157

7,577,476

Asset-Backed Securities Corp. Home Equity Loan Trust,

Series 2006-HE3, Class A5

(LIBOR USD 1-Month plus 0.54%)

0.63%

03/25/36

3,450,121

3,463,358

Barings CLO Ltd.,

Series 2016-2A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.21%

07/20/28

^1,2,3

4,232,964

4,237,392

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Barings CLO Ltd.,

Series 2018-3A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

1.08%

07/20/29

^1,2,3

3,877,000

3,878,353

Bayview Commercial Asset Trust,

Series 2005-1A, Class A1

(LIBOR USD 1-Month plus 0.45%)

0.54%

04/25/35

^1,2

142,122

139,594

BlueMountain CLO Ltd.,

Series 2012-2A, Class AR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.05%)

1.18%

11/20/28

^1,2,3

3,710,553

3,711,406

BNC Mortgage Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 1-Month plus 0.16%)

0.25%

03/25/37

7,050,743

6,773,829

Brazos Higher Education Authority, Inc.,

Series 2011-1, Class A2

(LIBOR USD 3-Month plus 0.80%)

0.93%

02/25/30

60,034

60,286

Brazos Higher Education Authority, Inc.,

Series 2011-2, Class A3

(LIBOR USD 3-Month plus 1.00%)

1.13%

10/27/36

5,075,000

5,137,658

BSPRT Issuer Ltd.,

Series 2018-FL4, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.05%)

1.13%

09/15/35

^1,2,3

3,312,727

3,313,591

Canyon Capital CLO Ltd.,

Series 2021-1A, Class X

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

0.93%

04/15/34

^1,2,3

1,800,000

1,800,898

Chase Funding Trust,

Series 2002-2, Class 2A1

(LIBOR USD 1-Month plus 0.50%)

0.59%

05/25/32

2,087,067

2,074,636

Citigroup Mortgage Loan Trust, Inc.,

Series 2006-WFH2, Class M2

(LIBOR USD 1-Month plus 0.42%)

0.51%

08/25/36

10,113,000

10,039,853

Citigroup Mortgage Loan Trust, Inc.,

Series 2007-WFH4, Class A2C

(LIBOR USD 1-Month plus 1.30%)

1.39%

07/25/37

26,733

26,721

Countrywide Asset-Backed Certificates Trust,

Series 2006-14, Class 2A3

(LIBOR USD 1-Month plus 0.24%)

0.33%

02/25/37

3,473,258

3,382,049

Countrywide Asset-Backed Certificates Trust,

Series 2007-8, Class 1A1

(LIBOR USD 1-Month plus 0.19%)

0.28%

11/25/37

9,950,103

9,679,044

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Credit-Based Asset Servicing and Securitization LLC,

Series 2007-CB4, Class A1A

(LIBOR USD 1-Month plus 0.09%)

0.18%

04/25/37

2,395,087

2,330,786

Credit-Based Asset Servicing and Securitization LLC,

Series 2007-CB5, Class A1

(LIBOR USD 1-Month plus 0.06%)

0.15%

04/25/37

2,254,928

1,685,906

Dryden 33 Senior Loan Fund,

Series 2014-33A, Class AR3

(Cayman Islands)

(LIBOR USD 3-Month plus 1.00%)

1.13%

04/15/29

^1,2,3

6,368,859

6,369,241

Education Loan Asset-Backed Trust I,

Series 2013-1, Class A2

(LIBOR USD 1-Month plus 0.80%)

0.89%

04/26/32

^1,2

7,129,863

7,133,232

Encore Credit Receivables Trust,

Series 2005-3, Class M4

(LIBOR USD 1-Month plus 0.90%)

0.99%

10/25/35

7,017,000

7,033,876

FFMLT Trust,

Series 2005-FF8, Class M2

(LIBOR USD 1-Month plus 0.78%)

0.87%

09/25/35

3,758,016

3,771,699

First Franklin Mortgage Loan Trust,

Series 2004-FF5, Class A3C

(LIBOR USD 1-Month plus 1.00%)

1.09%

08/25/34

522,264

529,228

First Franklin Mortgage Loan Trust,

Series 2006-FF5, Class 2A5 (PO)

0.00%

04/25/36

⁴

4,875,761

4,839,961

GMACM Home Equity Loan Trust,

Series 2000-HE2, Class A1

(LIBOR USD 1-Month plus 0.44%)

0.61%

06/25/30

75,903

74,372

Goal Capital Funding Trust,

Series 2006-1, Class B

(LIBOR USD 3-Month plus 0.45%)

0.58%

08/25/42

1,891,273

1,769,753

Grand Avenue CRE Ltd.,

Series 2020-FL2, Class C

(Cayman Islands)

(SOFR30A plus 3.73%)

3.78%

03/15/35

^1,2,3

2,710,000

2,731,715

Grand Avenue CRE,

Series 2019-FL1, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.12%)

1.20%

06/15/37

^1,2,3

3,431,896

3,430,869

GSAMP Trust,

Series 2005-HE4, Class M3

(LIBOR USD 1-Month plus 0.78%)

0.87%

07/25/45

2,442,035

2,447,716

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

GSAMP Trust,

Series 2006-NC1, Class A3

(LIBOR USD 1-Month plus 0.58%)

0.67%

02/25/36

2,602,267

2,601,006

Higher Education Funding I,

Series 2014-1, Class A

(LIBOR USD 3-Month plus 1.05%)

1.18%

05/25/34

^1,2

610,744

613,277

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1998-1, Class A4

6.49%

09/25/28

294,400

304,508

Invitation Homes Trust,

Series 2018-SFR2, Class B

(LIBOR USD 1-Month plus 1.08%)

1.16%

06/17/37

^1,2

5,844,082

5,844,853

J.G. Wentworth XXX LLC,

Series 2013-3A, Class A

4.08%

01/17/73

3,254,895

3,653,971

JPMorgan Mortgage Acquisition Trust,

Series 2005-FRE1, Class M1

(LIBOR USD 1-Month plus 0.62%)

0.70%

10/25/35

7,615,305

7,608,237

JPMorgan Mortgage Acquisition Trust,

Series 2006-NC1, Class M1

(LIBOR USD 1-Month plus 0.48%)

0.57%

04/25/36

6,000,000

5,924,574

JPMorgan Mortgage Acquisition Trust,

Series 2007-CH2, Class AV5

(LIBOR USD 1-Month plus 0.26%)

0.35%

01/25/37

598,798

599,326

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AV4

(LIBOR USD 1-Month plus 0.28%)

0.37%

03/25/47

50,000

48,653

LCM XXIV Ltd.,

Series 24A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.98%)

1.11%

03/20/30

^1,2,3

4,500,000

4,504,410

Lehman ABS Manufactured Housing Contract Trust,

Series 2001-B, Class AIOC (IO)

0.55%

04/15/40

^5,6,7

71,482,571

1,147,703

LoanCore Issuer Ltd.,

Series 2018-CRE1, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.13%)

1.21%

05/15/28

^1,2,3

2,958,689

2,959,428

Long Beach Mortgage Loan Trust,

Series 2005-WL3, Class M1

(LIBOR USD 1-Month plus 0.65%)

0.73%

11/25/35

3,272,341

3,261,344

Madison Park Funding XIX Ltd.,

Series 2015-19A, Class A1R2

(Cayman Islands)

(LIBOR USD 3-Month plus 0.92%)

1.06%

01/22/28

^1,2,3

6,166,189

6,168,428

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Madison Park Funding XVII Ltd.,

Series 2015-17A, Class AR2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.00%)

1.13%

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%)

0.93%

01/15/28

^1,2,3

5,522,296

5,513,239

Marathon CRE Ltd.,

Series 2018-FL1, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.15%)

1.23%

06/15/28

^1,2,3

2,963,622

2,964,429

MASTR Asset-Backed Securities Trust,

Series 2006-HE1, Class M1

(LIBOR USD 1-Month plus 0.56%)

0.64%

01/25/36

7,933,369

7,901,715

Merrill Lynch First Franklin Mortgage Loan Trust,

Series 2007-3, Class A2C

(LIBOR USD 1-Month plus 0.18%)

0.27%

06/25/37

8,856,099

8,410,769

Mid-State Capital Corp. Trust,

Series 2004-1, Class B

8.90%

08/15/37

499,265

557,417

Mid-State Capital Corp. Trust,

Series 2006-1, Class A

5.79%

10/15/40

3,526,912

3,739,038

Mid-State Trust,

Series 10W, Class A2

5.82%

02/15/36

407,856

434,226

Morgan Stanley ABS Capital I Trust,

Series 2004-NC7, Class M2

(LIBOR USD 1-Month plus 0.93%)

1.02%

07/25/34

874,718

873,487

Morgan Stanley ABS Capital I, Inc., Trust,

Series 2005-HE2, Class M1

(LIBOR USD 1-Month plus 0.60%)

0.69%

01/25/35

1,339,315

1,340,305

Nationstar Home Equity Loan Trust,

Series 2007-B, Class 1AV1

(LIBOR USD 1-Month plus 0.22%)

0.31%

04/25/37

8,138,383

8,122,074

Navient Student Loan Trust,

Series 2015-2, Class A3

(LIBOR USD 1-Month plus 0.57%)

0.66%

11/26/40

4,352,535

4,347,282

Navient Student Loan Trust,

Series 2017-2A, Class A

(LIBOR USD 1-Month plus 1.05%)

1.14%

12/27/66

^1,2

2,546,556

2,585,985

Nelnet Student Loan Trust,

Series 2013-1A, Class A

(LIBOR USD 1-Month plus 0.60%)

0.69%

06/25/41

^1,2

2,032,108

2,027,089

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Nelnet Student Loan Trust,

Series 2014-5A, Class A

(LIBOR USD 1-Month plus 0.55%)

0.64%

07/25/46

^1,2

6,539,344

6,522,566

New Century Home Equity Loan Trust,

Series 2005-3, Class M4

(LIBOR USD 1-Month plus 0.64%)

1.05%

07/25/35

3,928,361

3,939,274

New Century Home Equity Loan Trust,

Series 2005-D, Class A1

(LIBOR USD 1-Month plus 0.44%)

0.53%

02/25/36

4,198,347

4,179,573

New Century Home Equity Loan Trust,

Series 2005-D, Class M1

(LIBOR USD 1-Month plus 0.68%)

0.76%

02/25/36

5,000,000

4,994,170

NYACK Park CLO Ltd.,

Series 2021-1A, Class X

(Cayman Islands)

(LIBOR USD 3-Month plus 0.65%)

0.00%

10/20/34

^1,2,3

3,125,000

3,126,563

Octagon Investment Partners XIV Ltd.,

Series 2012-1A, Class AARR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.95%)

1.08%

07/15/29

^1,2,3

6,000,000

6,000,180

OHA Credit Funding 2 Ltd.,

Series 2019-2A, Class XR

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

0.93%

04/21/34

^1,2,3

2,296,875

2,298,021

Option One Mortgage Loan Trust,

Series 2006-1, Class 1A1

(LIBOR USD 1-Month plus 0.44%)

0.53%

01/25/36

1,271,601

1,271,246

Palmer Square CLO Ltd.,

Series 2018-1A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.03%)

1.16%

04/18/31

^1,2,3

2,250,000

2,250,225

Palmer Square Loan Funding Ltd.,

Series 2020-2A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.00%)

1.13%

04/20/28

^1,2,3

3,088,620

3,089,111

Palmer Square Loan Funding Ltd.,

Series 2021-2A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 0.80%)

0.93%

05/20/29

^1,2,3

1,619,242

1,620,619

Park Place Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2004-WCW2, Class M2

(LIBOR USD 1-Month plus 0.98%)

1.06%

10/25/34

208,146

228,787

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Park Place Securities, Inc., Asset-Backed Pass-Through

Certificates,

Series 2005-WCW3, Class M2

(LIBOR USD 1-Month plus 0.74%)

0.82%

08/25/35

2,500,000

2,478,141

PHEAA Student Loan Trust,

Series 2016-1A, Class A

(LIBOR USD 1-Month plus 1.15%)

1.24%

09/25/65

^1,2

6,455,395

6,564,581

Recette CLO Ltd.,

Series 2015-1A, Class ARR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.08%)

1.21%

04/20/34

^1,2,3

5,100,000

5,098,266

Residential Asset Mortgage Products Trust,

Series 2005-EFC1, Class M5

(LIBOR USD 1-Month plus 0.65%)

1.06%

05/25/35

5,621,729

5,649,161

Residential Asset Mortgage Products Trust,

Series 2006-NC2, Class A3

(LIBOR USD 1-Month plus 0.58%)

0.67%

02/25/36

1,715,967

1,713,787

Residential Asset Securities Corp.,

Series 2005-KS11, Class M2

(LIBOR USD 1-Month plus 0.63%)

0.72%

12/25/35

6,376,749

6,389,404

Saxon Asset Securities Trust,

Series 2006-2, Class M1

(LIBOR USD 1-Month plus 0.29%)

0.38%

09/25/36

11,000,000

10,711,994

Securitized Asset-Backed Receivables LLC Trust,

Series 2006-CB1, Class AF2 (STEP-reset date 11/25/21)

2.92%

01/25/36

1,576,514

1,285,431

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

12/30/99

^5,6

6,583,396

6,602,168

SLC Student Loan Trust,

Series 2007-1, Class A4

(LIBOR USD 3-Month plus 0.06%)

0.18%

05/15/29

2,915,913

2,900,679

SLM Student Loan Trust,

Series 2003-10A, Class A3

(LIBOR USD 3-Month plus 0.47%)

0.59%

12/15/27

^1,2

1,776,029

1,776,504

SLM Student Loan Trust,

Series 2003-11, Class A6

(LIBOR USD 3-Month plus 0.55%)

0.67%

12/15/25

^1,2

1,558,381

1,558,622

SLM Student Loan Trust,

Series 2008-1, Class A4

(LIBOR USD 3-Month plus 0.65%)

0.78%

01/25/22

4,559,931

4,500,740

SLM Student Loan Trust,

Series 2008-4, Class A4

(LIBOR USD 3-Month plus 1.65%)

1.78%

07/25/22

3,733,281

3,809,706

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust,

Series 2008-6, Class A4

(LIBOR USD 3-Month plus 1.10%)

1.23%

07/25/23

2,564,737

2,579,122

SLM Student Loan Trust,

Series 2012-2, Class A

(LIBOR USD 1-Month plus 0.70%)

0.79%

01/25/29

2,204,026

2,170,248

SLM Student Loan Trust,

Series 2012-7, Class A3

(LIBOR USD 1-Month plus 0.65%)

0.74%

05/26/26

8,641,821

8,480,415

SLM Student Loan Trust,

Series 2013-4, Class A

(LIBOR USD 1-Month plus 0.55%)

0.64%

06/25/43

2,554,279

2,541,630

SLM Student Loan Trust,

Series 2014-1, Class A3

(LIBOR USD 1-Month plus 0.60%)

0.69%

02/26/29

4,138,741

4,048,462

Specialty Underwriting & Residential Finance Trust,

Series 2005-BC2, Class M3

(LIBOR USD 1-Month plus 0.98%)

1.06%

12/25/35

2,546,468

2,539,120

Structured Asset Securities Corp. Mortgage Loan Trust,

Series 2006-BC6, Class A4

(LIBOR USD 1-Month plus 0.17%)

0.26%

01/25/37

2,708,265

2,695,666

Student Loan Consolidation Center Student Loan Trust I,

Series 2002-2, Class B2

(28 Day Auction Rate plus 0.00%)

1.61%

1.61

^1,2

2,900,000

2,675,604

Terwin Mortgage Trust,

Series 2004-7HE, Class A1

(LIBOR USD 1-Month plus 1.10%)

1.19%

07/25/34

^1,2

74,910

74,674

TPG Real Estate Finance Issuer Ltd.,

Series 2018-FL2, Class A

(Cayman Islands)

(LIBOR USD 1-Month plus 1.13%)

1.21%

11/15/37

^1,2,3

13,521,287

13,524,969

Tricon American Homes Trust,

Series 2017-SFR2, Class A

2.93%

01/17/36

11,193,121

11,371,221

Tricon American Homes Trust,

Series 2017-SFR2, Class B

3.28%

01/17/36

9,017,000

9,157,684

TRTX Issuer Ltd.,

Series 2019-FL3, Class A

(Cayman Islands)

(SOFR30A plus 1.26%)

1.31%

10/15/34

^1,2,3

11,495,000

11,503,143

Issues

Maturity

Date

Principal

Amount

Value

ASSET-BACKED SECURITIES (continued)

Voya CLO,

Series 2017-2A, Class A1R

(Cayman Islands)

(LIBOR USD 3-Month plus 0.98%)

1.11%

06/07/30

^1,2,3

5,850,000

5,851,755

Total Asset-Backed Securities

(Cost $445,233,000)

449,008,111

BANK LOANS — 1.11%*

Automotive — 0.02%

Clarios Global LP,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

04/30/26

507,125

505,540

Communications — 0.55%

CenturyLink, Inc.,

Term Loan A, 1st Lien

(LIBOR plus 2.00%)

2.08%

01/31/25

547,500

544,960

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

03/15/27

884,250

875,836

Charter Communications Operating LLC,

Term Loan B2, 1st Lien

(LIBOR plus 1.75%)

1.84%

02/01/27

245,614

244,317

CSC Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

2.33%

07/17/25

446,503

441,164

Term Loan B5, 1st Lien

(LIBOR plus 2.50%)

2.58%

04/15/27

248,111

245,656

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

5.75%

08/02/27

1,250,000

1,252,213

Intelsat Jackson Holdings SA,

Delayed-Draw Term Loan, 1st Lien (Luxembourg)

(LIBOR plus 4.75%)

5.75%

07/13/22

^2,3,8

1,537,863

1,551,319

Term Loan B4, 1st Lien (Luxembourg)

(PRIME plus 5.50%)

8.75%

01/02/24

^2,3

488,919

498,240

Term Loan B5, 1st Lien (Luxembourg)

8.63%

01/02/24

^2,3

4,252,054

4,331,780

Level 3 Parent LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.83%

03/01/27

3,950,000

3,906,609

Zayo Group Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.00%)

3.08%

03/09/27

712,632

707,169

14,599,263

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Electric — 0.01%

Vistra Operations Co., LLC,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.83%

12/31/25

245,207

243,624

Food — 0.02%

Hostess Brands LLC,

Term Loan, 1st Lien

(LIBOR plus 2.25%)

3.00%

08/03/25

638,597

637,521

Gaming — 0.00%

Caesars Resort Collection LLC,

Term Loan, 1st Lien

(LIBOR plus 2.75%)

2.83%

12/23/24

3,247

3,232

Health Care — 0.30%

Avantor Funding, Inc.,

Term Loan B5, 1st Lien

(LIBOR plus 2.25%)

2.75%

11/08/27

1,592,000

1,596,481

Change Healthcare Holdings LLC,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

03/01/24

891,026

891,071

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

08/01/27

2,414,748

2,388,222

Gentiva Health Services, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.88%

07/02/25

586,136

586,622

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.07%

11/15/27

245,625

241,941

Horizon Therapeutics USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.50%

03/15/28

1,133,031

1,132,323

Jazz Financing Lux SARL,

Term Loan B, 1st Lien

(LIBOR plus 0.00%)

0.50%

05/05/28

1,097,250

1,099,999

7,936,659

Industrials — 0.12%

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

1.86%

07/01/26

2,911,775

2,899,399



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Industrials (continued)
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.33%		05/30/25	²	$	393,000	$	388,642

							3,288,041

Information Technology — 0.06%
IQVIA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
1.83%		03/07/24	²		428,968		428,808
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.88%		06/11/25	²		682,782		682,270
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.83%		04/16/25	²		198,541		196,842
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.83%		04/16/25	²		150,344		149,057

							1,456,977

Services — 0.02%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%		05/30/25	²		655,146		657,091


Transportation — 0.01%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.84%		01/29/27	²		175,500		168,765


Total Bank Loans
(Cost $28,770,968)							29,496,713


CORPORATES — 28.94%*

Banking — 7.42%
Bank of America Corp.
2.88%		04/24/23	⁷		3,000,000		3,041,391
3.00%		12/20/23	⁷		2,801,000		2,887,273
Bank of America Corp.
(MTN)
1.49%		05/19/24	⁷		17,920,000		18,196,195
3.46%		03/15/25	⁷		6,773,000		7,208,952
Bank of America N.A.
3.34%		01/25/23	⁷		1,015,000		1,025,099
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,7		2,000,000		1,957,904
2.59%		09/11/25	^1,3,7		7,150,000		7,408,311
3.80%		06/09/23	³		1,170,000		1,232,299
DNB Bank ASA
(Norway)
0.86%		09/30/25	^1,3,7		8,340,000		8,345,191



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
HSBC Holdings PLC
(United Kingdom)
0.73%		08/17/24	^3,7	$	8,605,000	$	8,612,368
0.98%		05/24/25	^3,7		10,065,000		10,048,343
3.80%		03/11/25	^3,7		330,000		352,097
4.29%		09/12/26	^3,7		2,880,000		3,175,252
JPMorgan Chase & Co.
0.70%		03/16/24	⁷		6,581,000		6,601,158
0.77%		08/09/25	⁷		2,535,000		2,525,406
0.97%		06/23/25	⁷		9,244,000		9,256,713
4.02%		12/05/24	⁷		20,520,000		21,982,486
Lloyds Banking Group PLC
(United Kingdom)
2.86%		03/17/23	^3,7		7,750,000		7,836,834
3.87%		07/09/25	^3,7		5,501,000		5,932,715
Macquarie Group Ltd.
(Australia)
1.34%		01/12/27	^1,3,7		3,425,000		3,396,603
NatWest Group PLC
(United Kingdom)
3.50%		05/15/23	^3,7		11,639,000		11,852,116
Santander UK Group Holdings PLC
(United Kingdom)
4.80%		11/15/24	^3,7		13,000,000		14,077,978
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	^1,3		1,000,000		1,081,870
UBS AG
(Switzerland)
0.70%		08/09/24	^1,3		1,820,000		1,816,082
(SOFR Rate plus 0.45%)
0.50%		08/09/24	^1,2,3		4,000,000		4,024,909
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	⁷		21,765,000		22,459,149
2.39%		06/02/28	⁷		2,000,000		2,064,500
3.75%		01/24/24			7,935,000		8,484,102

							196,883,296


Communications — 2.07%
AT&T, Inc.
2.30%		06/01/27			1,600,000		1,658,214
2.55%		12/01/33			1,599,000		1,574,585
(LIBOR USD 3-Month plus 1.18%)
1.29%		06/12/24	²		475,000		487,122
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.50%		02/01/24			1,720,000		1,861,296
Cox Communications, Inc.
3.15%		08/15/24	¹		1,199,000		1,269,981
7.63%		06/15/25			900,000		1,091,560
Level 3 Financing, Inc.
3.40%		03/01/27	¹		1,330,000		1,401,238
Qwest Corp.
7.25%		09/15/25			4,900,000		5,837,958



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
SES SA
(Luxembourg)
3.60%		04/04/23	^1,3	$	4,820,000	$	5,012,620
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		11,476,500		12,271,247
5.15%		03/20/28	¹		3,675,000		4,204,384
T-Mobile USA, Inc.
2.25%		02/15/26			3,091,000		3,129,717
3.50%		04/15/25			645,000		694,962
3.75%		04/15/27			6,325,000		6,971,433
3.88%		04/15/30			3,810,000		4,208,885
Vodafone Group PLC
(United Kingdom)
4.13%		05/30/25	³		3,000,000		3,317,465

							54,992,667


Consumer Discretionary — 0.96%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		6,030,000		6,648,672
BAT Capital Corp.
3.22%		08/15/24			2,140,000		2,270,210
3.56%		08/15/27			4,000,000		4,311,179
Hyatt Hotels Corp.
1.30%		10/01/23			4,655,000		4,661,592
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/24	^1,3		1,106,000		1,162,839
3.75%		07/21/22	^1,3		830,000		846,507
4.25%		07/21/25	^1,3		5,205,000		5,677,187

							25,578,186


Electric — 1.29%
Alliant Energy Finance LLC
1.40%		03/15/26	¹		6,540,000		6,456,971
American Electric Power Co., Inc.,
Series I
3.65%		12/01/21			5,000,000		5,027,209
Black Hills Corp.
4.25%		11/30/23			4,050,000		4,332,449
Dominion Energy, Inc.
2.45%		01/15/23	¹		5,000,000		5,129,136
Dominion Energy, Inc.,
Series A
3.30%		03/15/25			4,600,000		4,925,641
Evergy Metro, Inc.
3.65%		08/15/25			1,613,000		1,752,126
Jersey Central Power & Light Co.
4.70%		04/01/24	¹		5,000,000		5,393,342
Pennsylvania Electric Co.
4.15%		04/15/25	¹		500,000		531,675
Tucson Electric Power Co.
3.85%		03/15/23			530,000		550,601

							34,099,150



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy — 1.12%
Energy Transfer LP
4.05%		03/15/25		$	2,610,000	$	2,817,903
4.75%		01/15/26			2,000,000		2,235,315
4.90%		02/01/24			4,292,000		4,626,717
5.95%		12/01/25			2,520,000		2,919,876
Petroleos Mexicanos
(Mexico)
5.35%		02/12/28	³		6,470,000		6,387,054
6.50%		01/23/29	³		390,000		401,472
Plains All American Pipeline LP/PAA Finance Corp.
4.50%		12/15/26			5,422,000		6,060,554
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6		2,254,091		2,096,305
Southern Co. Gas Capital Corp.
3.88%		11/15/25			1,950,000		2,139,406

							29,684,602


Finance — 6.52%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.95%		02/01/22	³		1,935,000		1,951,297
4.88%		01/16/24	³		718,000		776,438
Air Lease Corp.
3.50%		01/15/22			4,170,000		4,206,184
Air Lease Corp.
(MTN)
0.70%		02/15/24			1,250,000		1,243,042
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		3,108,000		3,059,306
3.63%		05/01/22	^1,3		2,860,000		2,903,123
Citigroup, Inc.
0.98%		05/01/25	⁷		6,270,000		6,295,942
3.11%		04/08/26	⁷		8,025,000		8,525,934
3.35%		04/24/25	⁷		17,240,000		18,315,752
Daimler Finance North America LLC
1.75%		03/10/23	¹		5,245,000		5,341,374
(LIBOR USD 3-Month plus 0.90%)
1.02%		02/15/22	^1,2		8,195,000		8,221,260
Discover Financial Services
5.20%		04/27/22			2,558,000		2,625,772
Ford Motor Credit Co. LLC
3.22%		01/09/22			5,378,000		5,398,168
5.60%		01/07/22			2,587,000		2,621,148
(LIBOR USD 3-Month plus 0.88%)
1.00%		10/12/21	²		2,500,000		2,500,018
(LIBOR USD 3-Month plus 1.08%)
1.20%		08/03/22	²		2,700,000		2,698,650
GE Capital Funding LLC
4.40%		05/15/30			5,810,000		6,735,490
General Motors Financial Co., Inc.
4.20%		11/06/21			7,405,000		7,430,189
Goldman Sachs Group, Inc. (The)
2.88%		10/31/22	⁷		726,000		727,489
2.91%		07/24/23	⁷		6,814,000		6,946,057



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Goldman Sachs Group, Inc. (The),
Series FXD
0.48%		01/27/23		$	27,490,000	$	27,494,502
Morgan Stanley
(GMTN)
0.79%		01/22/25	⁷		7,760,000		7,761,222
Morgan Stanley
(MTN)
0.53%		01/25/24	⁷		17,835,000		17,847,943
2.72%		07/22/25	⁷		7,270,000		7,617,532
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^1,3,7		8,205,000		8,348,419
3.77%		03/08/24	^1,3,7		4,810,000		5,015,878
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		365,000		381,491

							172,989,620


Food — 0.21%
Kraft Heinz Foods Co.
3.50%		06/06/22			1,445,000		1,472,361
Smithfield Foods, Inc.
3.35%		02/01/22	¹		3,946,000		3,983,996

							5,456,357


Health Care — 3.65%
AbbVie, Inc.
3.25%		10/01/22			1,500,000		1,532,798
3.45%		03/15/22			3,000,000		3,026,941
3.85%		06/15/24			2,500,000		2,689,624
Aetna, Inc.
3.50%		11/15/24			3,136,000		3,373,112
Amgen, Inc.
2.65%		05/11/22			671,000		679,416
Bayer U.S. Finance II LLC
2.20%		07/15/22	¹		1,455,000		1,470,464
2.85%		04/15/25	¹		2,300,000		2,367,178
3.88%		12/15/23	¹		5,540,000		5,896,289
4.25%		12/15/25	¹		1,000,000		1,105,898
Becton Dickinson and Co.
3.73%		12/15/24			3,000,000		3,243,197
Boston Scientific Corp.
1.90%		06/01/25			2,500,000		2,564,706
Cigna Corp.
3.75%		07/15/23			2,166,000		2,289,759
CommonSpirit Health
2.76%		10/01/24			5,400,000		5,682,451
CVS Health Corp.
2.88%		06/01/26			4,330,000		4,618,265
Dignity Health
3.13%		11/01/22			1,140,000		1,171,727
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	¹		4,650,000		4,731,261
Fresenius U.S. Finance II, Inc.
4.50%		01/15/23	¹		5,205,000		5,412,490



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.65%		09/29/23	²	$	6,500,000	$	6,503,922
HCA, Inc.
5.00%		03/15/24			6,065,000		6,656,494
5.25%		04/15/25			1,500,000		1,701,094
HCA, Inc.
(MTN)
7.58%		09/15/25			1,100,000		1,329,705
Humana, Inc.
0.65%		08/03/23			7,130,000		7,134,869
3.15%		12/01/22			2,000,000		2,051,144
3.85%		10/01/24			3,990,000		4,319,456
PerkinElmer, Inc.
0.85%		09/15/24			6,880,000		6,880,312
Royalty Pharma PLC
(United Kingdom)
0.75%		09/02/23	³		5,275,000		5,291,808
Tenet Healthcare Corp.
4.63%		09/01/24	¹		3,000,000		3,071,255

							96,795,635


Industrials — 1.24%
Artera Services LLC
9.03%		12/04/25	¹		2,500,000		2,714,882
Berry Global, Inc.
0.95%		02/15/24	¹		1,405,000		1,407,164
1.57%		01/15/26	¹		2,000,000		2,001,786
4.88%		07/15/26	¹		365,000		383,725
Boeing Co. (The)
1.17%		02/04/23			5,750,000		5,762,623
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.50%		05/05/26	²		7,674,000		7,599,705
(LIBOR USD 3-Month plus 0.48%)
0.60%		08/15/36	²		2,182,000		1,904,830
General Electric Co.,
Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
1.13%		04/15/23	²		4,936,000		4,976,894
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%		03/22/23	^1,3		5,920,000		6,185,740

							32,937,349


Information Technology — 1.13%
NXP BV/NXP Funding LLC
(Netherlands)
4.63%		06/01/23	^1,3		6,745,000		7,180,883
Oracle Corp.
1.65%		03/25/26			6,085,000		6,172,692
2.80%		04/01/27			3,300,000		3,497,558
Skyworks Solutions, Inc.
0.90%		06/01/23			6,340,000		6,352,871



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Information Technology (continued)
VMware, Inc.
1.00%		08/15/24		$	6,690,000	$	6,713,765

							29,917,769


Insurance — 0.88%
Athene Global Funding
(SOFR Rate plus 0.70%)
0.75%		05/24/24	^1,2		5,005,000		5,029,762
Equitable Financial Life Global Funding
0.80%		08/12/24	¹		3,655,000		3,652,329
Farmers Insurance Exchange
8.63%		05/01/24	¹		5,000,000		5,911,595
Metropolitan Life Global Funding I
3.38%		01/11/22	¹		1,550,000		1,563,579
Nationwide Mutual Insurance Co.
2.41%		12/15/24	^1,7		5,550,000		5,556,589
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^1,7		1,600,000		1,678,388

							23,392,242


Materials — 0.06%
International Flavors & Fragrances, Inc.
0.70%		09/15/22	¹		1,490,000		1,494,704


Real Estate Investment Trust (REIT) — 1.64%
American Campus Communities Operating Partnership LP
3.75%		04/15/23			7,374,000		7,680,017
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			6,440,000		6,757,041
Federal Realty Investment Trust
7.48%		08/15/26			1,850,000		2,285,968
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24			1,197,000		1,269,761
5.38%		11/01/23			7,673,000		8,286,547
Healthpeak Properties, Inc.
4.00%		06/01/25			3,455,000		3,775,267
Host Hotels & Resorts LP,
Series D
3.75%		10/15/23			6,045,000		6,337,397
Kilroy Realty LP
3.45%		12/15/24			1,558,000		1,662,998
Kimco Realty Corp.
3.40%		11/01/22			4,000,000		4,109,864
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.63%		06/15/25	¹		675,000		729,815
SL Green Operating Partnership LP
3.25%		10/15/22			645,000		661,193

							43,555,868


Retail — 0.20%
7-Eleven, Inc.
(LIBOR USD 3-Month plus 0.45%)
0.58%		08/10/22	^1,2		2,930,000		2,930,744



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Retail (continued)
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/27	^1,3	$	2,175,000	$	2,397,051

							5,327,795


Services — 0.47%
IHS Markit Ltd.
(Bermuda)
3.63%		05/01/24	³		2,090,000		2,226,791
5.00%		11/01/22	^1,3		9,936,000		10,315,257

							12,542,048


Transportation — 0.08%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28			1,476,124		1,476,067
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%		04/01/22			499,351		512,015

							1,988,082


Total Corporates
(Cost $758,463,770)							767,635,370


MORTGAGE-BACKED — 36.54%**
Non-Agency Commercial Mortgage-Backed — 12.14%
BANK,
Series 2018-BN14, Class A2
4.13%		09/15/60			9,520,000		9,981,446
BX Commercial Mortgage Trust,
Series 2018-IND, Class A
(LIBOR USD 1-Month plus 0.75%)
0.83%		11/15/35	^1,2		783,889		785,055
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(LIBOR USD 1-Month plus 0.92%)
1.00%		10/15/36	^1,2		8,836,694		8,854,331
BX Commercial Mortgage Trust,
Series 2020-BXLP, Class A
(LIBOR USD 1-Month plus 0.80%)
0.88%		12/15/36	^1,2		5,003,342		5,012,895
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%		05/10/58			3,158,775		3,310,691
CHT Mortgage Trust,
Series 2017-CSMO, Class A
(LIBOR USD 1-Month plus 0.93%)
1.01%		11/15/36	^1,2		7,977,280		7,993,080
Citigroup Commercial Mortgage Trust,
Series 2017-C4, Class A2
3.19%		10/12/50			7,818,939		7,981,315
Citigroup Commercial Mortgage Trust,
Series 2020-WSS, Class A
(LIBOR USD 1-Month plus 1.95%)
2.03%		02/15/39	^1,2		12,989,276		13,703,555



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2012-CR3, Class A3
2.82%		10/15/45		$	13,483,987	$	13,675,003
Commercial Mortgage Trust,
Series 2013-CR6, Class A4
3.10%		03/10/46			10,800,000		10,986,742
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.32%		03/10/46	⁷		24,397,830		333,257
Commercial Mortgage Trust,
Series 2013-LC6, Class ASB
2.48%		01/10/46			2,644,720		2,670,878
Commercial Mortgage Trust,
Series 2014-CR15, Class ASB
3.60%		02/10/47			3,107,314		3,215,098
Commercial Mortgage Trust,
Series 2014-CR20, Class A3
3.33%		11/10/47			3,965,529		4,175,909
Commercial Mortgage Trust,
Series 2014-UBS5, Class A3
3.57%		09/10/47			10,400,000		11,084,643
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%		07/10/50			7,840,576		8,152,258
Commercial Mortgage Trust,
Series 2016-DC2, Class ASB
3.55%		02/10/49			226,585		239,394
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
1.06%		05/15/36	^1,2		10,309,800		10,334,540
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class A2
3.05%		09/15/50			2,500,000		2,541,181
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class A
3.67%		09/10/35	^1,7		3,600,000		3,872,210
Great Wolf Trust,
Series 2019-WOLF, Class A
(LIBOR USD 1-Month plus 1.03%)
1.12%		12/15/36	^1,2		8,884,000		8,908,250
GS Mortgage Securities Corp. II,
Series 2018-GS10, Class A1
3.20%		07/10/51			3,462,216		3,522,105
GS Mortgage Securities Trust
Series 2012-ALOH, Class A
3.55%		04/10/34	¹		11,041,000		11,120,476
GS Mortgage Securities Trust,
Series 2011-GC5, Class AS
5.21%		08/10/44	^1,7		3,918,850		3,939,064
GS Mortgage Securities Trust,
Series 2018-GS9, Class A2
3.84%		03/10/51			10,194,544		10,442,326
Independence Plaza Trust,
Series 2018-INDP, Class B
3.91%		07/10/35	¹		10,000,000		10,474,262



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%		05/15/48	¹	$	5,126,169	$	5,186,441
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class A2
3.24%		03/15/50			2,143,910		2,156,680
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class ASB
3.14%		05/15/45			3,070,916		3,083,708
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C8, Class ASB
2.38%		10/15/45			1,116,200		1,123,658
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class A4FX
3.48%		06/15/45	¹		2,212,686		2,233,157
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.38%		04/15/46	⁷		29,498,999		422,011
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2014-C20, Class A4A2
3.54%		07/15/47	¹		4,998,969		5,195,057
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2018-LAQ, Class A
(LIBOR USD 1-Month plus 1.00%)
1.08%		06/15/32	^1,2		2,168,978		2,171,186
LoanCore Issuer Ltd.,
Series 2019-CRE3, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.05%)
1.13%		04/15/34	^1,2,3		10,559,307		10,565,905
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C6, Class A4
2.86%		11/15/45			8,968,947		9,085,876
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XA (IO)
0.74%		10/15/46	⁷		46,867,796		420,378
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
1.01%		03/15/48	⁷		35,133,026		859,594
Morgan Stanley Capital I Trust,
Series 2012-C4, Class A4
3.24%		03/15/45			2,486,703		2,504,751
New York City Housing Development Corp.,
Series 2014-8SPR, Class A (STEP-reset date 11/15/21)
3.71%		02/15/48			8,000,000		8,473,736
One Lincoln Street Commercial Mortgage,
Series 2004-C3, Class A1
5.72%		10/15/30	^1,7		6,526,780		7,063,482
One Market Plaza Trust
Series 2017-1MKT, Class A
3.61%		02/10/32	¹		8,500,000		8,596,633
One Market Plaza Trust,
Series 2017-1MKT, Class E
4.14%		02/10/32	¹		8,000,000		8,094,816



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
One New York Plaza Trust,
Series 2020-1NYP, Class A
(LIBOR USD 1-Month plus 0.95%)
1.03%		01/15/26	^1,2	$	3,240,000	$	3,255,667
Shelter Growth CRE Issuer Ltd.,
Series 2019-FL2, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.10%)
1.18%		05/15/36	^1,2,3		1,609,586		1,609,615
UBS Commercial Mortgage Trust,
Series 2018-C11, Class A2
3.99%		06/15/51			904,371		934,807
UBS Commercial Mortgage Trust,
Series 2018-C12, Class A2
4.15%		08/15/51			12,889,000		13,505,878
UBS Commercial Mortgage Trust,
Series 2019-C16, Class A1
2.74%		04/15/52			6,357,101		6,486,204
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class A3
2.53%		12/10/45			3,880,689		3,889,816
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50			15,239,421		15,803,437
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class A2
2.50%		11/15/59			1,335,674		1,352,802
Wells Fargo Commercial Mortgage Trust,
Series 2016-LC24, Class A2
2.50%		10/15/49			225,715		227,520
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class A2
3.43%		06/15/45			6,022,000		6,090,579
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class AS
3.39%		11/15/45			7,911,000		8,119,974
WF-RBS Commercial Mortgage Trust,
Series 2013-C18, Class A4
3.90%		12/15/46			5,976,213		6,247,197

							322,070,529


Non-Agency Mortgage-Backed — 3.14%
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%		10/25/33			4,708,360		4,847,825
Banc of America Funding Trust,
Series 2015-R4, Class 3A1
(LIBOR USD 1-Month plus 0.14%)
0.23%		07/27/36	^1,2		482,116		484,724
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%		03/25/40	^1,7		1,026,652		1,035,810
Bear Stearns ALT-A Trust,
Series 2004-10, Class M1
(LIBOR USD 1-Month plus 0.90%)
0.99%		09/25/34	²		4,943,833		4,940,090

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Bear Stearns ALT-A Trust,

Series 2005-2, Class 1M1

(LIBOR USD 1-Month plus 0.75%)

0.84%

03/25/35

2,235,605

2,242,228

Bear Stearns ARM Trust,

Series 2004-3, Class 4A

2.61%

07/25/34

⁷

341,602

347,166

Chase Mortgage Finance Trust,

Series 2007-A1, Class 8A1

2.47%

02/25/37

⁷

3,667,538

3,815,654

Chase Mortgage Finance Trust,

Series 2007-A2, Class 2A3

2.44%

06/25/35

⁷

727,600

744,562

Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates,

Series 2005-2A, Class A1

(LIBOR USD 1-Month plus 0.18%)

0.27%

05/25/36

^1,2

486,810

468,076

CIM Trust,

Series 2018-R6, Class A1

(LIBOR USD 1-Month plus 1.08%)

1.16%

09/25/58

^1,2

5,838,424

5,840,088

CIM Trust,

Series 2021-R3, Class A1A

1.95%

06/25/57

^1,7

10,802,488

10,851,452

Citigroup Mortgage Loan Trust, Inc.,

Series 2004-HYB1, Class A41

2.00%

02/25/34

⁷

13,125

13,171

Countrywide Home Loan Mortgage Pass-Through Trust,

Series 2004-14, Class 4A1

2.44%

08/25/34

⁷

7,679

Credit Suisse First Boston Mortgage Securities Corp.,

Series 2004-AR1, Class 5A1

2.36%

02/25/34

⁷

526,967

553,955

DSLA Mortgage Loan Trust,

Series 2005-AR2, Class 2A1A

(LIBOR USD 1-Month plus 0.42%)

0.51%

03/19/45

434,532

422,065

First Horizon Alternative Mortgage Securities Trust,

Series 2004-AA3, Class A1

2.28%

09/25/34

⁷

2,201

2,199

GSR Mortgage Loan Trust,

Series 2005-AR7, Class 2A1

2.80%

11/25/35

⁷

171,957

173,427

Impac CMB Trust,

Series 2005-5, Class A1

(LIBOR USD 1-Month plus 0.32%)

0.73%

08/25/35

1,363,907

1,341,297

IndyMac Index Mortgage Loan Trust,

Series 2004-AR12, Class A1

(LIBOR USD 1-Month plus 0.78%)

0.87%

12/25/34

206,378

177,636

IndyMac Index Mortgage Loan Trust,

Series 2004-AR8, Class 2A2A

(LIBOR USD 1-Month plus 0.80%)

0.89%

11/25/34

531,464

520,545



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class M1
(LIBOR USD 1-Month plus 0.23%)
0.32%		05/25/37	²	$	5,000,000	$	4,899,233
JPMorgan Mortgage Trust,
Series 2007-A1, Class 1A1
2.76%		07/25/35	⁷		475,466		481,717
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
2.50%		07/25/35	⁷		129,256		132,923
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.02%		01/25/34	⁷		4,349		4,657
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
2.73%		11/21/34	⁷		467,324		475,715
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
2.58%		04/25/34	⁷		66,882		69,502
MASTR Alternative Loan Trust,
Series 2003-1, Class 1A1
6.25%		12/25/32			1,234,147		1,293,343
MASTR Alternative Loan Trust,
Series 2003-5, Class 4A1
5.50%		07/25/33			2,105,592		2,233,839
MASTR Alternative Loan Trust,
Series 2003-9, Class 4A1
5.25%		11/25/33			2,666,494		2,760,425
MASTR Alternative Loan Trust,
Series 2004-7, Class 1A1
5.50%		07/25/34			2,264,790		2,401,938
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.47%		10/25/32	⁷		99,035		103,929
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
2.62%		08/25/34	⁷		654,782		658,591
Merrill Lynch Mortgage Investors Trust,
Series 2006-F1, Class 1A2
6.00%		04/25/36			948,096		685,135
MortgageIT Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.60%)
0.69%		08/25/35	²		155,347		155,014
MortgageIT Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.65%		10/25/35	²		3,877,701		3,865,611
NLT Trust,
Series 2021-INV2, Class A1
1.16%		08/25/56	^1,7		7,931,370		7,979,757
Opteum Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates,
Series 2005-5, Class 1APT
(LIBOR USD 1-Month plus 0.56%)
0.65%		12/25/35	²		3,835,727		3,798,249



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
PHH Alternative Mortgage Trust,
Series 2007-3, Class A3
(LIBOR USD 1-Month plus 0.60%)
0.69%		07/25/37	²	$	8,144,965	$	8,029,094
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.41%		03/25/35	⁷		958,139		574,811
Residential Asset Mortgage Products Trust,
Series 2004-SL4, Class A3
6.50%		07/25/32			39,927		40,006
Residential Asset Mortgage Products Trust,
Series 2005-SL1, Class A5
6.50%		05/25/32			162,257		154,084
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates,
Series 2003-26A, Class 3A5
2.23%		09/25/33	⁷		253,163		263,839
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
2.75%		01/25/35	⁷		368,631		376,426
WaMu Mortgage Pass-Through Certificates,
Series 2004-CB2, Class 2A
5.50%		07/25/34			1,440,002		1,483,955
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.58%)
0.67%		10/25/45	²		1,262,548		1,269,463
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
0.75%		01/25/45	²		193,356		194,117

							83,215,022


U.S. Agency Commercial Mortgage-Backed — 5.92%
Fannie Mae-Aces,
Series 2017-M14, Class A1
2.96%		11/25/27	⁷		782,958		788,608
Fannie Mae-Aces,
Series 2017-M15, Class A1
3.06%		09/25/27	⁷		5,278,713		5,611,161
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K037, Class A1
2.59%		04/25/23			1,719,420		1,748,876
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K038, Class A1
2.60%		10/25/23			1,058,758		1,073,841
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K735, Class A1
2.74%		05/25/25			874,888		883,341

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF27, Class A

(LIBOR USD 1-Month plus 0.42%)

0.50%

12/25/26

1,348,661

1,353,266

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF29, Class A

(LIBOR USD 1-Month plus 0.36%)

0.44%

02/25/24

2,926,550

2,934,849

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF34, Class A

(LIBOR USD 1-Month plus 0.36%)

0.44%

08/25/24

2,505,979

2,513,400

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF37, Class A

(LIBOR USD 1-Month plus 0.36%)

0.44%

09/25/27

996,991

999,874

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF38, Class A

(LIBOR USD 1-Month plus 0.33%)

0.41%

09/25/24

4,168,958

4,179,381

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF39, Class A

(LIBOR USD 1-Month plus 0.32%)

0.40%

11/25/24

4,239,278

4,252,541

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF40, Class A

(LIBOR USD 1-Month plus 0.34%)

0.42%

11/25/27

952,717

955,122

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF43, Class A

(LIBOR USD 1-Month plus 0.24%)

0.32%

01/25/28

2,601,439

2,608,642

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF51, Class A

(LIBOR USD 1-Month plus 0.40%)

0.48%

08/25/25

3,983,168

4,004,553

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF58, Class A

(LIBOR USD 1-Month plus 0.50%)

0.58%

01/25/26

11,033,956

11,099,695

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF60, Class A

(LIBOR USD 1-Month plus 0.49%)

0.57%

02/25/26

7,056,469

7,082,278

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF62, Class A

(LIBOR USD 1-Month plus 0.48%)

0.56%

04/25/26

8,467,918

8,517,052

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF64, Class A

(LIBOR USD 1-Month plus 0.44%)

0.52%

06/25/26

6,494,917

6,523,501

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF72, Class A

(LIBOR USD 1-Month plus 0.50%)

0.58%

10/25/26

7,334,688

7,388,971

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF80, Class AL

(LIBOR USD 1-Month plus 0.44%)

0.52%

06/25/30

11,184,098

11,254,608

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF83, Class AL

(LIBOR USD 1-Month plus 0.36%)

0.44%

06/25/30

10,000,000

10,032,377

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF85, Class AL

(LIBOR USD 1-Month plus 0.30%)

0.38%

08/25/30

10,525,179

10,557,577

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ24, Class A1

2.28%

05/25/26

8,304,140

8,615,353

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ26, Class A1

2.14%

07/25/25

13,395,275

13,713,769

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ29, Class A1

0.74%

01/25/26

8,467,114

8,430,846

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ30, Class A1

0.53%

01/25/25

7,652,603

7,625,881

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KJ34, Class A1

0.68%

06/25/26

8,348,718

8,293,386

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series Q004, Class AFL

(Federal Reserve US 12-Month Cumulative Average plus

0.74%)

0.83%

05/25/44

1,593,908

1,595,152



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2007-12, Class C
5.28%		04/16/41	⁷	$	415,987	$	418,588
Ginnie Mae,
Series 2008-92, Class E
5.56%		03/16/44	⁷		1,897,003		1,919,694

							156,976,183


U.S. Agency Mortgage-Backed — 15.34%
Fannie Mae Pool 567002
8.00%		05/01/23			3,697		3,795
Fannie Mae Pool 735861
6.50%		09/01/33			8,767		9,766
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
1.81%		04/01/34	²		92,557		94,513
Fannie Mae Pool AD0538
6.00%		05/01/24			91,192		95,084
Fannie Mae Pool AE0083
6.00%		01/01/40			654,593		774,169
Fannie Mae Pool AL0851
6.00%		10/01/40			762,078		891,371
Fannie Mae Pool AL2206
3.09%		07/01/22	⁷		835,572		840,679
Fannie Mae Pool AM4580
3.43%		10/01/23			6,122,384		6,395,110
Fannie Mae REMICS,
Series 1997-76, Class FS
(LIBOR USD 1-Month plus 0.45%)
0.53%		09/17/27	²		7,528		7,428
Fannie Mae REMICS,
Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
1.04%		10/25/31	²		468,790		479,947
Fannie Mae REMICS,
Series 2007-61, Class AF
(LIBOR USD 1-Month plus 0.28%)
0.37%		03/25/37	²		51,419		51,421
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
0.56%		07/25/37	²		246,557		249,669
Fannie Mae REMICS,
Series 2009-85, Class LF
(LIBOR USD 1-Month plus 1.20%)
1.29%		10/25/49	²		2,045,462		2,102,329
Fannie Mae REMICS,
Series 2009-96, Class FA
(LIBOR USD 1-Month plus 0.90%)
0.99%		11/25/49	²		1,544,740		1,589,919
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
0.49%		10/25/40	²		774,851		781,519



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
6.14%		11/25/36	²	$	4,810,265	$	996,593
Fannie Mae REMICS,
Series 2010-43, Class DP
5.00%		05/25/40			603,570		676,073
Fannie Mae REMICS,
Series 2010-6, Class BF
(LIBOR USD 1-Month plus 0.76%)
0.85%		02/25/40	²		1,082,594		1,105,100
Fannie Mae REMICS,
Series 2010-95, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.51%		09/25/40	²		3,821,626		860,078
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.59%		01/25/50	²		4,208,755		4,242,393
Fannie Mae REMICS,
Series 2020-10, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.59%		03/25/50	²		9,715,668		9,780,729
Freddie Mac Gold Pool A45796
7.00%		01/01/33			1,571		1,708
Freddie Mac Gold Pool C46104
6.50%		09/01/29			3,840		4,319
Freddie Mac Gold Pool G13032
6.00%		09/01/22			2,616		2,644
Freddie Mac Gold Pool G13475
6.00%		01/01/24			4,008		4,094
Freddie Mac REMICS,
Series 2174, Class PN
6.00%		07/15/29			256,952		287,210
Freddie Mac REMICS,
Series 2454, Class FQ
(LIBOR USD 1-Month plus 1.00%)
1.08%		06/15/31	²		4,179		4,276
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
0.68%		10/15/33	²		1,781,601		1,807,313
Freddie Mac REMICS,
Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
0.38%		04/15/35	²		1,351,068		1,354,379
Freddie Mac REMICS,
Series 3084, Class FN
(LIBOR USD 1-Month plus 0.50%)
0.58%		12/15/34	²		253,360		253,457
Freddie Mac REMICS,
Series 3294, Class CB
5.50%		03/15/37			204,418		236,484



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
0.38%		08/15/35	²	$	474,439	$	477,402
Freddie Mac REMICS,
Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
0.38%		08/15/35	²		1,223,506		1,231,146
Freddie Mac REMICS,
Series 3524, Class FC
(LIBOR USD 1-Month plus 0.94%)
1.02%		06/15/38	²		293,691		302,334
Freddie Mac REMICS,
Series 3531, Class FM
(LIBOR USD 1-Month plus 0.90%)
0.98%		05/15/39	²		212,022		217,726
Freddie Mac REMICS,
Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
0.48%		11/15/40	²		119,788		119,300
Freddie Mac REMICS,
Series 4060, Class FJ
(LIBOR USD 1-Month plus 0.35%)
0.43%		02/15/41	²		1,470,033		1,473,589
Freddie Mac REMICS,
Series 4959, Class JF
(LIBOR USD 1-Month plus 0.45%)
0.54%		03/25/50	²		6,877,286		6,944,297
Freddie Mac Strips,
Series 240, Class F30
(LIBOR USD 1-Month plus 0.30%)
0.38%		07/15/36	²		1,424,436		1,431,823
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
0.58%		06/15/42	²		1,540,757		1,555,352
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
0.58%		11/15/43	²		6,983,443		7,072,226
Ginnie Mae (TBA)
2.00%		11/20/51			17,500,000		17,714,878
2.50%		11/20/51			129,825,000		133,794,454
Ginnie Mae I Pool BW5284
3.55%		10/15/50			10,623,288		10,700,682
Ginnie Mae II Pool 1849
8.50%		08/20/24			134		134
Ginnie Mae II Pool 2020
8.50%		06/20/25			186		189
Ginnie Mae II Pool 2286
8.50%		09/20/26			120		122
Ginnie Mae II Pool 2487
8.50%		09/20/27			2,666		2,859



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 80059
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.88%		04/20/27	²	$	8,827	$	9,085
Ginnie Mae II Pool 80589
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.00%		03/20/32	²		10,016		10,156
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.88%		06/20/32	²		6,478		6,751
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		191,276		198,255
Ginnie Mae II Pool 81201
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.00%)
2.50%		01/20/35	²		5,267		5,328
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		6,239		6,302
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.71%		05/20/37	²		2,958,235		411,961
Ginnie Mae,
Series 2013-53, Class AD
1.50%		12/20/26			970,379		984,710
UMBS (TBA)
2.00%		11/01/51			102,300,000		102,373,577
2.50%		11/01/51			81,625,000		83,993,924

							407,022,131


Total Mortgage-Backed
(Cost $972,861,740)							969,283,865


MUNICIPAL BONDS — 0.93%*
California — 0.20%
Campbell Union School District General Obligation, School
Improvements, Series B
5.41%		08/01/27			4,600,000		5,274,106


Colorado — 0.03%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%		11/15/23			895,000		903,544


Florida — 0.06%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.14%		10/01/28			445,000		451,333
2.29%		10/01/29			985,000		1,002,563

							1,453,896



Issues	Maturity Date			Principal Amount		Value

MUNICIPAL BONDS (continued)
Maryland — 0.08%
City of Baltimore General Obligation, School Improvements,
Series C
5.00%		10/15/25		$	2,000,000	$	2,215,465


New York — 0.56%
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
3.19%		08/01/25			1,110,000		1,180,935
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries
B2
2.31%		11/01/26			4,060,000		4,242,812
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series D
5.00%		03/15/24			4,040,000		4,469,398
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series F
5.19%		03/15/24			4,360,000		4,843,710

							14,736,855


Total Municipal Bonds
(Cost $24,324,065)							24,583,866


U.S. TREASURY SECURITIES — 27.04%

U.S. Treasury Notes — 27.04%
U.S. Treasury Floating Rate Notes
(US Treasury Bill Yield 3-Month plus 0.11%)
0.15%		04/30/22	²		20,000,000		20,013,788
U.S. Treasury Notes
0.13%		07/31/23			102,830,000		102,618,787
0.13%		08/31/23			253,145,000		252,492,362
0.25%		09/30/23			156,065,000		155,955,267
0.38%		09/15/24			28,290,000		28,165,126
0.75%		08/31/26			48,135,000		47,625,446
0.88%		09/30/26			10,325,000		10,270,649
1.75%		11/30/21			100,000,000		100,279,297


Total U.S. Treasury Securities
(Cost $717,606,160)							717,420,722


Total Bonds — 111.49%
(Cost $2,947,259,703)							2,957,428,647



Issues				Shares		Value

COMMON STOCK — 0.00%

Electric — 0.00%
Homer City Holdings LLC^†,5,6,9					106,501		—


Total Common Stock
(Cost $6,078,660)

Purchased Swaptions - 0.00%
(Cost $939,000)							1,713


Purchased Options - 0.03%
(Cost $431,214)							817,500



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 5.91%

Money Market Funds — 0.64%
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
0.03%¹⁰				16,875,000	$	16,875,000


U.S. Agency Discount Notes — 0.94%
Federal Home Loan Bank
0.04%¹¹		10/29/21	$	25,000,000		24,999,806


U.S. Treasury Bills — 4.33%
U.S. Treasury Bills
0.03%¹¹		10/05/21		65,000,000		64,999,873
0.05%¹¹		02/10/22		50,000,000		49,992,666

						114,992,539


Total Short-Term Investments
(Cost $156,865,183)						156,867,345


Total Investments Before Written Options - 117.43%
(Cost $3,111,573,760)						3,115,115,205


Written Options - (0.02)%
(Cost $(800,323))						(423,215	)

Net unrealized appreciation on unfunded commitments - 0.00%						7,455
Liabilities in Excess of Other Assets - (17.41)%						(461,890,791	)

Net Assets - 100.00%					$	2,652,808,654

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 September 30, 2021.

³	Foreign denominated security issued by foreign domiciled entity.

⁴	Zero coupon bond. The rate shown is the effective yield as of September 30, 2021.

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 $9,846,176, which is 0.37% of total net assets.

⁷	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.

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $310,264, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum.

⁹	Non-income producing security.

¹⁰	Represents the current yield as of September 30, 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 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.

Issues

Maturity

Date

Principal

Amount

Value

BONDS – 76.01%

BANK LOANS — 10.88%*

Communications — 2.31%

DIRECTV Financing LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

5.75%

08/02/27

7,000

7,012

GTT Communications, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.88%

05/30/25

16,730

14,262

Intelsat Jackson Holdings SA,

Delayed-Draw Term Loan, 1st Lien (Luxembourg)

(LIBOR plus 4.75%)

5.75%

07/13/22

^1,2,3

50,000

50,438

71,712

Entertainment — 0.86%

Cineworld Finance U.S., Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.50%

02/28/25

15,951

13,192

Crown Finance U.S., Inc.,

Term Loan B1, 1st Lien

7.00%

05/23/24

11,000

13,631

26,823

Food — 0.38%

Sovos Brands Intermediate, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

06/08/28

11,662

11,689

Health Care — 2.08%

Cano Health LLC,

Term Loan, 1st Lien

(LIBOR plus 4.50%)

5.25%

11/23/27

12,967

12,994

Endo Luxembourg Finance Co.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

5.75%

03/27/28

12,967

12,711

Phoenix Newco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.50%

08/11/28

26,000

26,037

U.S. Renal Care, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.50%)

6.50%

06/26/26

13,000

13,075

64,817

Industrials — 1.48%

Protective Industrial Products, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.00%)

4.75%

12/29/27

13,000

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Industrials (continued)

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

08/12/24

33,912

33,170

46,170

Information Technology — 0.42%

Magenta Buyer LLC,

Term Loan, 1st Lien

(LIBOR plus 5.00%)

5.75%

07/27/28

13,000

13,016

Materials — 0.84%

Geon Performance Solutions, LLC,

Term Loan B, 1st Lien

(LIBOR plus 4.75%)

5.50%

08/10/28

13,000

13,110

WR Grace Holdings, LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

09/22/28

13,000

13,063

26,173

Retail — 0.81%

U.S. Anesthesia Partners, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.25%)

4.75%

09/22/28

25,000

25,068

Services — 1.06%

PowerTeam Services LLC,

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

8.25%

03/06/26

^1,4,5

33,000

32,849

Transportation — 0.64%

Kenan Advantage Group, Inc. (The),

Term Loan, 2nd Lien

(LIBOR plus 7.25%)

8.00%

08/17/29

20,000

19,875

Total Bank Loans

(Cost $334,611)

338,192

CORPORATES — 47.52%*

Communications — 10.53%

Altice France SA

(France)

5.50%

10/15/29

^2,6

25,000

24,790

CommScope, Inc.

4.75%

09/01/29

⁶

26,000

CSC Holdings LLC

4.50%

11/15/31

⁶

39,000

38,573

6.50%

02/01/29

⁶

3,000

3,253

Diamond Sports Group LLC/Diamond Sports Finance Co.

5.38%

08/15/26

⁶

47,000

31,236

6.63%

08/15/27

⁶

68,000

30,273



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
DISH DBS Corp.
5.13%		06/01/29		$	7,000	$	6,869
DISH Network Corp.
3.38%		08/15/26			26,000		27,092
Level 3 Financing, Inc.
3.75%		07/15/29	⁶		34,000		32,903
Lumen Technologies, Inc.
5.38%		06/15/29	⁶		15,000		15,324
Scripps Escrow II, Inc.
5.38%		01/15/31	⁶		20,000		19,693
Sinclair Television Group, Inc.
4.13%		12/01/30	⁶		34,000		33,278
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%		07/15/31	^2,6		37,000		37,848
							327,132

Energy — 9.38%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%		04/01/28	⁶		13,000		13,487
Endeavor Energy Resources LP/EER Finance, Inc.
5.75%		01/30/28	⁶		25,000		26,344
Energy Transfer LP,
Series B
6.63%		02/15/70	⁷		34,000		33,193
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	⁶		31,000		31,651
Occidental Petroleum Corp.
0.00%		10/10/36	⁸		98,000		54,145
Ruby Pipeline LLC
8.00%		04/01/22	^4,5,6		27,061		25,166
SM Energy Co.
6.50%		07/15/28			13,000		13,451
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			13,000		13,357
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24	^2,6		19,250		19,659
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^2,6		14,000		13,952
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		09/01/27			13,000		13,781
Venture Global Calcasieu Pass LLC
4.13%		08/15/31	⁶		32,000		33,460
							291,646

Entertainment — 0.70%
Cinemark USA, Inc.
5.25%		07/15/28	⁶		22,000		21,725

Food — 4.50%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/31	^2,6		25,000		26,221



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Food (continued)
6.50%		04/15/29	^2,6	$	31,000	$	34,648
Pilgrim’s Pride Corp.
3.50%		03/01/32	⁶		54,000		55,023
Post Holdings, Inc.
4.50%		09/15/31	⁶		17,000		16,865
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/29	⁶		7,000		7,085
							139,842

Gaming — 0.69%
Boyd Gaming Corp.
4.75%		06/15/31	⁶		13,000		13,418
Caesars Entertainment, Inc.
4.63%		10/15/29	⁶		8,000		8,121
							21,539

Health Care — 10.11%
Cano Health LLC
6.25%		10/01/28	⁶		18,000		18,202
Centene Corp.
3.00%		10/15/30			38,000		38,998
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^2,6		40,000		28,900
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^2,6		61,000		62,494
HCRX Investments Holdco LP
4.50%		08/01/29	⁶		33,000		33,206
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	⁶		46,000		47,739
Molina Healthcare, Inc.
3.88%		11/15/30	⁶		49,000		51,736
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	⁶		13,000		13,671
Prime Healthcare Services, Inc.
7.25%		11/01/25	⁶		18,000		19,305
							314,251

Industrials — 2.00%
Artera Services LLC
9.03%		12/04/25	⁶		6,000		6,516
Ball Corp.
3.13%		09/15/31			16,000		15,824
Graham Packaging Co., Inc.
7.13%		08/15/28	⁶		12,000		12,628
Mauser Packaging Solutions Holding Co.
7.25%		04/15/25	⁶		14,000		13,933
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^2,6		13,000		13,318
							62,219

Insurance — 0.67%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/29	⁶		14,000		13,858



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
AmWINS Group, Inc.
4.88%		06/30/29	⁶	$	7,000	$	7,108

							20,966


Materials — 2.28%
Allegheny Technologies, Inc.
5.13%		10/01/31			7,000		7,071
Clearwater Paper Corp.
4.75%		08/15/28	⁶		6,000		6,203
Unifrax Escrow Issuer Corp.
7.50%		09/30/29	⁶		56,000		57,457

							70,731


Real Estate Investment Trust (REIT) — 1.04%
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.63%		06/15/25	⁶		30,000		32,436


Retail — 2.45%
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/29	⁶		13,000		13,590
Michaels Cos., Inc. (The)
7.88%		05/01/29	⁶		60,000		62,428

							76,018


Services — 2.96%
Adtalem Global Education, Inc.
5.50%		03/01/28	⁶		13,000		13,144
Allied Universal Holdco LLC/Allied Universal Finance Corp.
6.00%		06/01/29	⁶		13,000		12,857
GFL Environmental, Inc.
(Canada)
4.38%		08/15/29	^2,6		20,000		20,225
HealthEquity, Inc.
4.50%		10/01/29	⁶		32,000		32,548
Waste Pro USA, Inc.
5.50%		02/15/26	⁶		13,000		13,148

							91,922


Water — 0.21%
Solaris Midstream Holdings LLC
7.63%		04/01/26	⁶		6,000		6,437


Total Corporates
(Cost $1,453,037)							1,476,864


MORTGAGE-BACKED — 17.61%**

Non-Agency Commercial Mortgage-Backed — 6.60%
BCRR Trust,
Series 2016-FRR3, Class E
(-1.00 X LIBOR USD 1-Month plus 18.35%)
2.02%		05/26/26	^1,6		13,295		12,321
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class XA (IO)
1.50%		04/10/46	⁷		386,643		6,307



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.99%		10/15/45	⁷	$	803,986	$	6,916
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.65%		12/10/45	⁷		483,149		6,678
Commercial Mortgage Trust,
Series 2014-CR14, Class A2
3.15%		02/10/47			20,368		20,469
Commercial Mortgage Trust,
Series 2016-CR28, Class XA (IO)
0.79%		02/10/49	⁷		783,316		18,385
DBUBS Mortgage Trust,
Series 2011-LC3A, Class C
5.55%		08/10/44	^6,7		17,903		17,975
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.63%		02/10/46	⁷		351,860		5,412
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
2.08%		11/10/45	⁷		926,248		14,624
GS Mortgage Securities Trust,
Series 2013-GC14, Class XA (IO)
0.71%		08/10/46	⁷		496,593		4,424
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.98%		11/15/47	⁷		166,865		3,732
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C32, Class A2
2.82%		11/15/48			13,306		13,430
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C8, Class XA (IO)
1.04%		12/15/48	⁷		319,464		2,940
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C23, Class XA (IO)
0.70%		07/15/50	⁷		274,692		4,922
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.73%		12/10/45	^6,7		1,174,148		13,117
Wells Fargo Commercial Mortgage Trust,
Series 2016-C35, Class A2
2.50%		07/15/48			1,569		1,569
WF-RBS Commercial Mortgage Trust
Series 2013-C13, Class XA (IO)
1.32%		05/15/45	^6,7		835,607		11,954
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.63%		12/15/45	^6,7		1,175,923		15,272
WF-RBS Commercial Mortgage Trust,
Series 2013-C17, Class XA (IO)
1.22%		12/15/46	⁷		608,037		11,716
WF-RBS Commercial Mortgage Trust,
Series 2013-UBS1, Class XA (IO)
1.12%		03/15/46	⁷		784,759		13,147

							205,310

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed — 8.29%

American Home Mortgage Assets Trust,

Series 2007-1, Class A1

(Federal Reserve US 12-Month Cumulative Average plus 0.70%)

0.79%

02/25/47

27,777

15,509

Galton Funding Mortgage Trust,

Series 2019-1, Class A22

4.00%

02/25/59

^6,7

14,167

14,324

HarborView Mortgage Loan Trust,

Series 2007-5, Class A1A

(LIBOR USD 1-Month plus 0.19%)

0.28%

09/19/37

21,861

20,576

IndyMac Index Mortgage Loan Trust,

Series 2007-AR7, Class 1A1

2.65%

11/25/37

⁷

10,983

10,736

MASTR Adjustable Rate Mortgages Trust,

Series 2004-13, Class 3A1

2.73%

11/21/34

⁷

51,406

52,329

MASTR Alternative Loan Trust,

Series 2006-2, Class 2A2 (IO)

(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap)

7.01%

03/25/36

^1,4,5

219,400

41,769

Residential Accredit Loans Trust,

Series 2006-QA6, Class A1

(LIBOR USD 1-Month plus 0.38%)

0.47%

07/25/36

32,084

32,474

Soundview Home Loan Trust,

Series 2006-3, Class A4

(LIBOR USD 1-Month plus 0.50%)

0.59%

11/25/36

46,000

44,693

WaMu Asset-Backed Certificates,

Series 2007-HE2, Class 2A2

(LIBOR USD 1-Month plus 0.19%)

0.28%

04/25/37

50,958

25,145

257,555

U.S. Agency Commercial Mortgage-Backed — 2.72%

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K024, Class X3 (IO)

1.71%

11/25/40

⁷

1,000,000

15,228

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K028, Class X3 (IO)

1.72%

06/25/41

⁷

219,000

5,063

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K032, Class X1 (IO)

0.19%

05/25/23

⁷

10,654,554

16,616

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K715, Class X3 (IO)

3.95%

02/25/41

⁷

860,609

15,100



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K721, Class X1 (IO)
0.42%		08/25/22	⁷	$	3,561,001	$	7,837
FREMF Mortgage Trust,
Series 2012-K20, Class X2A (IO)
0.20%		05/25/45	⁶		16,603,675		11,230
Ginnie Mae,
Series 2012-27, Class IO (IO)
0.74%		04/16/53	⁷		645,975		6,858
Ginnie Mae,
Series 2013-163, Class IO (IO)
1.16%		02/16/46	⁷		256,260		6,690
							84,622

Total Mortgage-Backed
(Cost $539,253)							547,487

Total Bonds — 76.01%
(Cost $2,326,901)							2,362,543


Issues				Shares		Value

COMMON STOCK — 11.07%

Communication Services — 3.04%
Altice USA, Inc.⁹					1,291		26,749
AT&T, Inc.					562		15,180
National CineMedia, Inc.					6,151		21,897
Nexstar Media Group, Inc.					107		16,260
T-Mobile U.S., Inc.⁹					114		14,565
							94,651

Consumer Discretionary — 2.26%
Newell Brands, Inc.					602		13,328
Qurate Retail, Inc.					1,466		14,939
Rent-A-Center, Inc.					745		41,876
							70,143

Financials — 0.52%
Wells Fargo & Co.					348		16,151

Health Care — 1.20%
Bausch Health Cos., Inc.⁹					795		22,141
Centene Corp.⁹					243		15,141
							37,282

Industrials — 0.71%
Maxar Technologies, Inc.					493		13,962
TransDigm Group, Inc.⁹					13		8,119
							22,081

Information Technology — 0.68%
CommScope Holding Co., Inc.⁹					1,012		13,753
SS&C Technologies Holdings, Inc.					105		7,287
							21,040

Real Estate Investment Trust (REIT) — 0.93%
Gaming and Leisure Properties, Inc.					306		14,174



Issues			Shares		Value

COMMON STOCK — 11.07% (continued)

Real Estate Investment Trust (REIT) — 0.93% (continued)
Hudson Pacific Properties, Inc.				560	$	14,711

						28,885


Transportation — 0.58%
Hertz Global Holdings, Inc.⁹				1,300		18,233


Utilities — 1.15%
FirstEnergy Corp.				1,001		35,656


Total Common Stock
(Cost $359,386)						344,122


MASTER LIMITED PARTNERSHIPS — 2.39%

Energy — 2.39%
Enterprise Products Partners LP				1,025		22,181
NGL Energy Partners LP				8,366		19,827
Sunoco LP				416		15,525
USA Compression Partners LP				1,017		16,852

						74,385


Total Master Limited Partnerships
(Cost $66,430)						74,385



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 19.71%

Money Market Funds — 4.42%
Fidelity Investments Money Market Funds - Government
Portfolio
0.01%¹⁰				137,509		137,509


U.S. Treasury Bills — 15.29%
U.S. Treasury Bills
0.05%¹¹		11/18/21	$	275,000		274,991



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills (continued)
0.04%¹¹		03/03/22	$	200,000	$	199,967

						474,958


Total Short-Term Investments
(Cost $612,457)						612,467


Total Investments -109.18%
(Cost $3,365,174)						3,393,517


Net unrealized appreciation on unfunded commitments - 0.01%						242

Liabilities in Excess of Other Assets - (9.19)%						(285,562	)


Net Assets - 100.00%					$	3,108,197

¹	Floating rate security. The rate disclosed was in effect at September 30, 2021.

²	Foreign denominated security issued by foreign domiciled entity.

³	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $10,088, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum.

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 $99,784, which is 3.21% of total net assets.

⁶	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.

⁷	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.

⁸	Zero coupon bond. The rate shown is the effective yield as of September 30, 2021.

⁹	Non-income producing security.

¹⁰	Represents the current yield as of September 30, 2021.

¹¹	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.

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(USD): U.S. Dollar

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 90.82%

ASSET-BACKED SECURITIES — 29.53%**

Allegro CLO XII Ltd.,

Series 2020-1A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

1.83%

01/21/32

^1,2,3

45,000

45,029

AMSR Trust,

Series 2020-SFR1, Class I

8.19%

04/17/37

100,000

107,931

Cedar Funding XII CLO Ltd.,

Series 2020-12A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.27%)

1.40%

10/25/32

^1,2,3

180,000

180,034

Conseco Finance Corp.,

Series 1996-7, Class M1

7.70%

09/15/26

⁴

3,285

3,294

Conseco Finance Corp.,

Series 1998-4, Class A6

6.53%

04/01/30

⁴

23,981

24,107

Conseco Finance Corp.,

Series 1998-4, Class A7

6.87%

04/01/30

⁴

11,874

11,942

Conseco Finance Corp.,

Series 1999-5, Class A5

7.86%

03/01/30

⁴

78,999

45,198

CoreVest American Finance Trust,

Series 2019-1, Class XA (IO)

2.33%

03/15/52

^1,4

508,121

30,705

CoreVest American Finance Trust,

Series 2020-1, Class A2

2.30%

03/15/50

140,000

142,753

Credit-Based Asset Servicing and Securitization LLC,

Mortgage Loan Trust,

Series 2007-CB2, Class A2C (STEP-reset date 11/25/21)

3.66%

02/25/37

274,309

219,012

Credit-Based Asset Servicing and Securitization LLC,

Mortgage Loan Trust,

Series 2007-CB3, Class A3 (STEP-reset date 11/25/21)

3.40%

03/25/37

906,208

479,315

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

48,581

Dryden 85 CLO Ltd.,

Series 2020-85A, Class A1

(Cayman Islands)

(LIBOR USD 3-Month plus 1.35%)

1.48%

10/15/32

^1,2,3

200,000

200,001

Dryden 85 CLO Ltd.,

Series 2020-85A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.15%)

0.00%

10/15/35

^1,2,3

150,000

150,075

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Eaton Vance CLO Ltd.,

Series 2020-1A, Class AR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.17%)

1.25%

10/15/34

^1,2,3

90,000

90,062

First Franklin Mortgage Loan Trust,

Series 2006-FF18, Class A2B

(LIBOR USD 1-Month plus 0.11%)

0.20%

12/25/37

359,712

343,352

First Franklin Mortgage Loan Trust,

Series 2007-FF1, Class A2D

(LIBOR USD 1-Month plus 0.22%)

0.31%

01/25/38

863,051

604,247

First Franklin Mortgage Loan Trust,

Series 2007-FF2, Class A2B

(LIBOR USD 1-Month plus 0.10%)

0.19%

03/25/37

611,007

380,048

Global SC Finance II SRL,

Series 2014-1A, Class A2

(Barbados)

3.09%

07/17/29

^1,3

86,417

88,150

Golub Capital Partners CLO 54M L.P,

Series 2021-54A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.53%)

1.65%

08/05/33

^1,2,3

90,000

90,052

HPS Loan Management 10-2016 Ltd.,

Series 10A-16, Class A1RR

(Cayman Islands)

(LIBOR USD 3-Month plus 1.14%)

1.27%

04/20/34

^1,2,3

85,000

85,095

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1997-1, Class A3

6.61%

02/25/28

55,639

56,169

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1997-1, Class A4

6.75%

02/25/28

23,422

23,660

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1998-1, Class A4

6.49%

09/25/28

50,272

51,998

IndyMac Manufactured Housing Contract Pass-Through

Certificates,

Series 1998-1, Class A5

6.96%

09/25/28

⁴

121,172

127,963

JPMorgan Mortgage Acquisition Trust,

Series 2007-HE1, Class AF6 (STEP-reset date 11/25/21)

4.22%

03/25/47

724,327

568,450

Merrill Lynch Mortgage Investors Trust,

Series 2004-HE2, Class A2C

(LIBOR USD 1-Month plus 1.16%)

1.25%

08/25/35

629,458

611,678

Mid-State Capital Corp. Trust,

Series 2004-1, Class B

8.90%

08/15/37

293,042

327,174

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

Mid-State Capital Corp. Trust,

Series 2004-1, Class M1

6.50%

08/15/37

202,670

218,380

Mid-State Capital Corp. Trust,

Series 2005-1, Class A

5.75%

01/15/40

109,638

116,979

Mid-State Trust XI,

Series 11, Class B

8.22%

07/15/38

6,071

6,713

Neuberger Berman Loan Advisers CLO 43 Ltd.,

Series 2021-43A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.13%)

1.24%

07/17/35

^1,2,3

85,000

85,088

Oakwood Mortgage Investors, Inc.,

Series 1999-B, Class A4

6.99%

12/15/26

101,980

103,065

Oakwood Mortgage Investors, Inc.,

Series 2002-A, Class A3

6.03%

05/15/24

⁴

134,839

137,385

OCP CLO Ltd.,

Series 2021-21A, Class B

(Cayman Islands)

(LIBOR USD 3-Month plus 1.70%)

0.00%

07/20/34

^1,2,3

50,000

50,070

OHA Credit Funding 7 Ltd.,

Series 2020-7A, Class A

(Cayman Islands)

(LIBOR USD 3-Month plus 1.25%)

1.38%

10/19/32

^1,2,3

180,000

180,027

Palmer Square Loan Funding Ltd.,

Series 2020-2A, Class A2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.55%)

1.68%

04/20/28

^1,2,3

100,000

100,025

Park Avenue Institutional Advisers CLO Ltd.,

Series 2021-1A, Class A2

(Cayman Islands)

(LIBOR USD 3-Month plus 1.75%)

1.88%

01/20/34

^1,2,3

40,000

40,030

Residential Asset Securities Corp.,

Series 2005-KS11, Class M3

(LIBOR USD 1-Month plus 0.66%)

0.75%

12/25/35

164,736

164,696

Skyline Aircraft Finance LLC,

Series 2021-1, Class A

3.23%

12/30/99

^5,6

72,611

72,818

SLC Student Loan Trust,

Series 2004-1, Class B

(LIBOR USD 3-Month plus 0.29%)

0.41%

08/15/31

135,309

126,611

SLM Student Loan Trust,

Series 2007-7, Class B

(LIBOR USD 3-Month plus 0.75%)

0.88%

10/27/70

215,000

196,384



Issues	Maturity Date			Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.33%		01/25/83	²	$	340,000	$	326,582
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.33%		04/26/83	²		340,000		321,188
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%		04/25/73	²		340,000		341,738
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%		07/25/73	²		235,000		232,757
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%		07/26/83	²		340,000		341,952
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%		01/16/46	¹		276,898		311,840
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%		08/15/36	¹		303,826		363,685
TCI-Flatiron CLO Ltd.,
Series 2016-1A, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.73%		01/17/32	^1,2,3		25,000		25,015
Terwin Mortgage Trust,
Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 1.10%)
1.19%		07/25/34	^1,2		64,209		64,007


Total Asset-Backed Securities
(Cost $9,740,873)							9,063,110


CORPORATES — 27.98%*

Banking — 4.20%
Bank of America Corp.
1.73%		07/22/27	⁴		110,000		110,603
Bank of America Corp.
(MTN)
2.09%		06/14/29	⁴		55,000		54,963
3.97%		02/07/30	⁴		25,000		28,011
Bank of America Corp.,
Series N
1.66%		03/11/27	⁴		100,000		100,673
Comerica, Inc.
5.63%		10/01/70	⁴		45,000		49,669
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		30,000		29,369
2.19%		06/05/26	^1,3,4		90,000		91,810
3.75%		03/26/25	³		15,000		16,183
4.55%		04/17/26	³		5,000		5,620



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
DNB Bank ASA
(Norway)
1.13%		09/16/26	^1,3,4	$	45,000	$	44,541
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	^3,4		25,000		24,843
2.21%		08/17/29	^3,4		100,000		99,310
3.80%		03/11/25	^3,4		5,000		5,335
4.29%		09/12/26	^3,4		10,000		11,025
JPMorgan Chase & Co.
0.77%		08/09/25	⁴		15,000		14,943
0.97%		06/23/25	⁴		45,000		45,062
1.47%		09/22/27	⁴		45,000		44,703
1.58%		04/22/27	⁴		40,000		40,090
2.01%		03/13/26	⁴		85,000		87,148
2.18%		06/01/28	⁴		15,000		15,324
Macquarie Group Ltd.
(Australia)
2.69%		06/23/32	^1,3,4		30,000		29,973
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,4		55,000		59,361
Santander UK Group Holdings PLC
(United Kingdom)
1.53%		08/21/26	^3,4		35,000		34,944
1.67%		06/14/27	^3,4		45,000		44,845
4.80%		11/15/24	^3,4		65,000		70,390
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	⁴		50,000		51,595
2.39%		06/02/28	⁴		75,000		77,419

							1,287,752


Communications — 5.13%
AT&T, Inc.
2.55%		12/01/33			93,000		91,580
3.80%		12/01/57			136,000		139,417
4.75%		05/15/46			15,000		17,975
Cable One, Inc.
4.00%		11/15/30	¹		37,000		36,815
CommScope, Inc.
4.75%		09/01/29	¹		24,000		24,000
CSC Holdings LLC
5.38%		02/01/28	¹		5,000		5,231
6.50%		02/01/29	¹		12,000		13,011
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		85,000		56,492
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.
5.88%		08/15/27	¹		30,000		31,349
Intelsat Jackson Holdings SA
(Luxembourg)
8.50%		10/15/24	^1,3,7,8		38,000		22,040
9.75%		07/15/25	^1,3,7,8		71,000		40,047
Level 3 Financing, Inc.
3.40%		03/01/27	¹		10,000		10,536
3.88%		11/15/29	¹		40,000		42,822



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Lumen Technologies, Inc.
4.00%		02/15/27	¹	$	24,000	$	24,539
5.38%		06/15/29	¹		42,000		42,908
National CineMedia LLC
5.88%		04/15/28	¹		33,000		30,254
Qwest Corp.
7.25%		09/15/25			70,000		83,399
Scripps Escrow II, Inc.
5.38%		01/15/31	¹		25,000		24,616
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	¹		200,000		229,163
Sinclair Television Group, Inc.
4.13%		12/01/30	¹		52,000		50,895
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		105,000		112,271
Tencent Holdings Ltd.
(Cayman Islands)
3.98%		04/11/29	^1,3		25,000		27,472
Time Warner Cable LLC
5.50%		09/01/41			100,000		122,750
T-Mobile USA, Inc.
2.25%		02/15/26			78,000		78,977
2.55%		02/15/31			10,000		10,042
2.63%		04/15/26			38,000		38,877
3.75%		04/15/27			10,000		11,022
3.88%		04/15/30			25,000		27,618
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%		05/15/29	^1,3		66,000		69,647
Vodafone Group PLC
(United Kingdom)
4.88%		06/19/49	³		48,000		59,961

							1,575,726


Consumer Discretionary — 1.10%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.70%		02/01/36			15,000		18,152
4.90%		02/01/46			65,000		80,021
Bacardi Ltd.
(Bermuda)
5.30%		05/15/48	^1,3		40,000		52,252
BAT Capital Corp.
2.73%		03/25/31			25,000		24,657
4.39%		08/15/37			20,000		21,508
4.54%		08/15/47			75,000		77,820
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/24	^1,3		25,000		26,285
Primo Water Holdings, Inc.
4.38%		04/30/29	¹		38,000		37,947

							338,642



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric — 0.85%
Entergy Texas, Inc.
3.45%		12/01/27		$	150,000	$	161,677
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		39,000		40,742
Jersey Central Power & Light Co.
4.70%		04/01/24	¹		55,000		59,327

							261,746

Energy — 2.70%
Energy Transfer LP
5.40%		10/01/47			174,000		207,697
5.50%		06/01/27			3,000		3,522
Hess Corp.
4.30%		04/01/27			50,000		55,564
Kinder Morgan Energy Partners LP
5.00%		08/15/42			45,000		53,215
Occidental Petroleum Corp.
0.00%		10/10/36	⁹		55,000		30,388
Petroleos Mexicanos
(Mexico)
6.63%		06/15/35	³		15,000		14,306
6.75%		09/21/47	³		50,000		43,685
6.95%		01/28/60	³		35,000		30,455
Rockies Express Pipeline LLC
4.80%		05/15/30	¹		100,000		103,500
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6		34,545		32,127
Sunoco LP/Sunoco Finance Corp.
4.50%		05/15/29			56,000		57,114
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			35,000		35,963
Transocean Pontus Ltd.
(Cayman Islands)
6.13%		08/01/25	^1,3		27,470		27,557
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^1,3		20,000		19,931
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^1,3		10,450		10,499
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		04/01/26			32,000		33,360
6.88%		09/01/27			22,000		23,322
Venture Global Calcasieu Pass LLC
3.88%		08/15/29	¹		45,000		46,415

							828,620


Entertainment — 0.10%
Cinemark USA, Inc.
5.25%		07/15/28	¹		32,000		31,600


Finance — 3.34%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.95%		02/01/22	³		75,000		75,632



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Air Lease Corp.
(MTN)
2.30%		02/01/25		$	75,000	$	77,065
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		60,000		59,060
5.25%		05/15/24	^1,3		10,000		10,934
Citigroup, Inc.
1.46%		06/09/27	⁴		145,000		144,280
3.11%		04/08/26	⁴		25,000		26,560
Ford Motor Credit Co. LLC
3.22%		01/09/22			30,000		30,113
(LIBOR USD 3-Month plus 1.27%)
1.40%		03/28/22	²		115,000		115,089
General Motors Financial Co., Inc.
3.15%		06/30/22			75,000		76,304
3.45%		04/10/22			20,000		20,216
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27	⁴		10,000		9,974
1.54%		09/10/27	⁴		90,000		89,763
3.27%		09/29/25	⁴		15,000		16,044
Goldman Sachs Group, Inc. (The),
Series VAR
1.09%		12/09/26	⁴		60,000		59,150
Morgan Stanley
1.59%		05/04/27	⁴		40,000		40,127
Morgan Stanley
(GMTN)
1.51%		07/20/27	⁴		85,000		84,639
Nationwide Building Society
(United Kingdom)
3.77%		03/08/24	^1,3,4		50,000		52,140
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3		35,000		36,581

							1,023,671


Food — 1.22%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/31	^1,3		27,000		28,319
5.50%		01/15/30	^1,3		25,000		27,836
Kraft Heinz Foods Co.
5.00%		06/04/42			74,000		90,907
Pilgrim’s Pride Corp.
3.50%		03/01/32	¹		30,000		30,568
4.25%		04/15/31	¹		25,000		26,751
Post Holdings, Inc.
4.63%		04/15/30	¹		50,000		50,449
Smithfield Foods, Inc.
2.63%		09/13/31	¹		45,000		43,890
3.35%		02/01/22	¹		75,000		75,722

							374,442



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care — 2.98%
AbbVie, Inc.
3.60%		05/14/25		$	50,000	$	54,112
Bausch Health Americas, Inc.
9.25%		04/01/26	¹		7,000		7,499
Bayer U.S. Finance II LLC
2.85%		04/15/25	¹		20,000		20,584
4.38%		12/15/28	¹		70,000		79,313
4.63%		06/25/38	¹		35,000		41,342
Centene Corp.
2.45%		07/15/28			46,000		46,250
3.00%		10/15/30			59,000		60,549
CommonSpirit Health
2.78%		10/01/30			40,000		41,207
CVS Health Corp.
5.05%		03/25/48			60,000		77,407
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3		47,000		33,958
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%		04/01/29	^1,3		13,000		13,011
Fresenius Medical Care U.S. Finance III, Inc.
1.88%		12/01/26	¹		30,000		30,150
HCA, Inc.
5.25%		04/15/25			12,000		13,609
5.25%		06/15/49			110,000		140,641
HCRX Investments Holdco LP
4.50%		08/01/29	¹		30,000		30,188
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	¹		15,000		15,567
Molina Healthcare, Inc.
3.88%		11/15/30	¹		35,000		36,954
5.38%		11/15/22			43,000		44,385
Mozart Debt Merger Sub, Inc.
3.88%		04/01/29	¹		30,000		30,000
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%		04/30/31	¹		35,000		36,806
Prime Healthcare Services, Inc.
7.25%		11/01/25	¹		43,000		46,118
Universal Health Services, Inc.
1.65%		09/01/26	¹		15,000		14,917

							914,567


Industrials — 1.95%
Ball Corp.
4.00%		11/15/23			30,000		31,688
Berry Global, Inc.
1.57%		01/15/26	¹		40,000		40,036
4.88%		07/15/26	¹		25,000		26,282
Boeing Co. (The)
1.43%		02/04/24			60,000		60,089
4.88%		05/01/25			10,000		11,138
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.60%		08/15/36	²		325,000		283,717



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Industrials (continued)
Graphic Packaging International LLC
4.88%		11/15/22		$	55,000	$	56,875
Intertape Polymer Group, Inc.
(Canada)
4.38%		06/15/29	^1,3		27,000		27,484
Mauser Packaging Solutions Holding Co.
5.50%		04/15/24	¹		5,000		5,050
OI European Group BV
(Netherlands)
4.00%		03/15/23	^1,3		15,000		15,325
Sealed Air Corp.
4.00%		12/01/27	¹		5,000		5,344
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/26	^1,3		34,000		34,832

							597,860


Information Technology — 0.33%
NCR Corp.
5.13%		04/15/29	¹		37,000		38,199
Oracle Corp.
2.88%		03/25/31			10,000		10,311
3.95%		03/25/51			49,000		51,968

							100,478


Insurance — 1.00%
Athene Global Funding
1.61%		06/29/26	¹		30,000		29,991
(SOFR Rate plus 0.70%)
0.75%		05/24/24	^1,2		30,000		30,148
Farmers Exchange Capital II
6.15%		11/01/53	^1,4		50,000		64,372
Nationwide Mutual Insurance Co.
2.41%		12/15/24	^1,4		75,000		75,089
Teachers Insurance & Annuity Association of America
4.27%		05/15/47	¹		65,000		78,567
Willis North America, Inc.
4.50%		09/15/28			25,000		28,611

							306,778


Materials — 0.08%
International Flavors & Fragrances, Inc.
2.30%		11/01/30	¹		26,000		25,795


Real Estate Investment Trust (REIT) — 1.40%
American Campus Communities Operating Partnership LP
3.63%		11/15/27			50,000		54,757
3.75%		04/15/23			35,000		36,452
CyrusOne LP/CyrusOne Finance Corp.
2.15%		11/01/30			5,000		4,705
2.90%		11/15/24			80,000		83,938
GLP Capital LP/GLP Financing II, Inc.
5.25%		06/01/25			10,000		11,163
5.38%		04/15/26			65,000		73,983
5.75%		06/01/28			25,000		29,363
Lexington Realty Trust
2.70%		09/15/30			35,000		35,463



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
SL Green Operating Partnership LP
3.25%		10/15/22		$	40,000	$	41,004
Ventas Realty LP
4.40%		01/15/29			50,000		57,205

							428,033


Retail — 0.26%
Michaels Cos., Inc. (The)
7.88%		05/01/29	¹		35,000		36,417
Yum! Brands, Inc.
4.63%		01/31/32			40,000		42,725

							79,142


Services — 0.62%
GFL Environmental, Inc.
(Canada)
4.75%		06/15/29	^1,3		28,000		28,800
HealthEquity, Inc.
4.50%		10/01/29	¹		30,000		30,513
IHS Markit Ltd.
(Bermuda)
4.00%		03/01/26	^1,3		7,000		7,710
4.75%		02/15/25	^1,3		25,000		27,689
5.00%		11/01/22	^1,3		45,000		46,718
Waste Pro USA, Inc.
5.50%		02/15/26	¹		48,000		48,547

							189,977


Transportation — 0.72%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%		04/19/22			113,533		114,438
JetBlue Airways Pass-Through Trust,
Series 1A
4.00%		11/15/32			96,728		105,935

							220,373


Total Corporates
(Cost $8,277,574)							8,585,202


MORTGAGE-BACKED — 32.84%**
Non-Agency Commercial Mortgage-Backed — 11.75%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%		09/15/48	^1,4		1,500,000		56,837
BCRR Trust,
Series 2016-FRR3, Class E
(-1.00 X LIBOR USD 1-Month plus 18.35%)
2.02%		05/26/26	^1,2		88,636		82,139
BX Commercial Mortgage Trust,
Series 2020-FOX, Class G
(LIBOR USD 1-Month plus 4.75%)
4.83%		11/15/32	^1,2		120,557		122,313
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.89%		09/10/45	^1,4		1,345,808		12,378



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class XA (IO)
1.50%		04/10/46	⁴	$	4,310,824	$	70,323
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
1.11%		10/10/47	⁴		4,274,245		104,913
COBALT CMBS Commercial Mortgage Trust,
Series 2007-C2, Class X (IO)
0.65%		04/15/47	^1,4		280,975		1,133
Commercial Mortgage Trust,
Series 2012-CR2, Class XA (IO)
1.77%		08/15/45	⁴		16,815,849		125,718
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.99%		10/15/45	⁴		7,743,433		66,610
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.65%		12/10/45	⁴		4,541,598		62,769
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
1.29%		10/10/46	⁴		1,767,973		33,794
Commercial Mortgage Trust,
Series 2014-CR17, Class XA (IO)
1.12%		05/10/47	⁴		2,748,843		56,823
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.72%		02/10/37	^1,4		1,667,987		31,678
Credit Suisse Mortgage Capital Trust,
Series 2014-USA, Class X1 (IO)
0.69%		09/15/37	^1,4		9,783,817		182,518
CSAIL Commercial Mortgage Trust,
Series 2015-C1, Class XA (IO)
0.97%		04/15/50	⁴		1,711,483		38,505
CSMC,
Series 2018-SITE, Class B
4.53%		04/15/36	¹		100,000		103,285
CSMC,
Series 2019-RIO, Class A
(LIBOR USD 1-Month plus 3.02%)
4.02%		12/15/21	^1,2		100,000		100,183
DBUBS Mortgage Trust,
Series 2011-LC3A, Class C
5.55%		08/10/44	^1,4		175,257		175,969
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.63%		02/10/46	⁴		3,918,280		60,265
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.45%		02/10/37	^1,4		940,000		10,689
GS Mortgage Securities Trust,
Series 2012-GC6, Class XA (IO)
1.72%		01/10/45	^1,4		2,490,862		62
GS Mortgage Securities Trust,
Series 2012-GC6, Class XB (IO)
0.32%		01/10/45	^1,4		5,745,340		3,537



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)
2.08%		11/10/45	⁴	$	2,646,423	$	41,783
GS Mortgage Securities Trust,
Series 2013-GC16, Class XB (IO)
0.33%		11/10/46	⁴		45,024,000		184,265
GS Mortgage Securities Trust,
Series 2014-GC24, Class XA (IO)
0.85%		09/10/47	⁴		2,855,963		52,653
Harvest Commercial Capital Loan Trust,
Series 2019-1, Class A
3.29%		09/25/46	^1,4		71,513		71,909
JPMBB Commercial Mortgage Securities Trust
Series 2013-C15, Class XA (IO)
1.20%		11/15/45	⁴		7,617,675		130,162
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class XA (IO)
0.98%		09/15/47	⁴		2,466,818		49,201
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class A3
3.67%		04/15/47			57,432		57,975
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C21, Class XA (IO)
1.12%		08/15/47	⁴		497,061		11,644
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.98%		11/15/47	⁴		4,970,300		111,167
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C26, Class XA (IO)
1.10%		01/15/48	⁴		2,804,111		71,122
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C32, Class A2
2.82%		11/15/48			149,322		150,715
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2013-C16, Class XA (IO)
1.08%		12/15/46	⁴		5,428,687		82,185
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.54%		12/15/47	⁴		1,615,603		19,261
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.21%		01/15/46	⁴		6,289,890		10,651
Ladder Capital Commercial Mortgage Trust,
Series 2013-GCP, Class XA (IO)
1.34%		02/15/36	^1,4		1,466,861		88,976
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C9, Class XB (IO)
0.39%		05/15/46	^1,4		12,532,749		60,212
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C6, Class A4
2.86%		11/15/45			89,977		91,150
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
1.12%		12/15/47	⁴		2,848,889		71,478



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-C23, Class XA (IO)
0.70%		07/15/50	⁴	$	3,075,209	$	55,098
UBS Commercial Mortgage Trust,
Series 2012-C1, Class XA (IO)
2.20%		05/10/45	^1,4		1,379,112		8,646
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.80%		07/15/58	⁴		3,412,265		69,395
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS6, Class XA (IO)
1.74%		11/15/49	⁴		1,536,185		77,668
WF-RBS Commercial Mortgage Trust
Series 2013-C13, Class XB (IO)
0.59%		05/15/45	^1,4		10,000,000		70,035
WF-RBS Commercial Mortgage Trust
Series 2014-C21, Class XA (IO)
1.17%		08/15/47	⁴		3,682,626		86,172
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
2.02%		11/15/45	^1,4		5,936,168		73,837
WF-RBS Commercial Mortgage Trust,
Series 2013-C12, Class XA (IO)
1.24%		03/15/48	^1,4		5,283,890		62,617
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.81%		06/15/46	⁴		2,468,542		19,342
WF-RBS Commercial Mortgage Trust,
Series 2013-C17, Class XA (IO)
1.22%		12/15/46	⁴		5,513,675		106,241
WF-RBS Commercial Mortgage Trust,
Series 2013-UBS1, Class XA (IO)
1.12%		03/15/46	⁴		7,047,924		118,073

							3,606,074


Non-Agency Mortgage-Backed — 8.12%
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/57	^1,4		104,625		105,099
CIM Trust,
Series 2021-R5, Class A1B
2.00%		08/25/61	^1,4		115,000		103,358
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
2.98%		04/19/36	⁴		214,646		189,232
GreenPoint Mortgage Funding Trust,
Series 2005-AR1, Class A2
(LIBOR USD 1-Month plus 0.44%)
0.53%		06/25/45	²		136,701		130,202
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 5A1A
2.95%		05/25/37	⁴		268,897		255,117
HSI Asset Loan Obligation Trust,
Series 2007-2, Class 2A12
6.00%		09/25/37			260,648		243,117



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Impac CMB Trust,
Series 2004-4, Class 1A2
(LIBOR USD 1-Month plus 0.62%)
0.71%		09/25/34	²	$	112,603	$	112,354
Impac CMB Trust,
Series 2004-6, Class 1A2
(LIBOR USD 1-Month plus 0.78%)
0.87%		10/25/34	²		144,127		144,701
IndyMac Index Mortgage Loan Trust,
Series 2005-AR25, Class 2A1
2.97%		12/25/35	⁴		274,758		275,582
JPMorgan Mortgage Trust,
Series 2006-S2, Class 2A2
5.88%		06/25/21			15,119		19,084
JPMorgan Mortgage Trust,
Series 2007-S1, Class 1A2
5.50%		03/25/22			13,252		13,198
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.33%)
0.42%		04/25/37	^2,5,6		1,696,107		126,270
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.05%		09/25/34	⁴		149,803		149,186
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%		06/25/36	⁴		966,990		395,052
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.41%		03/25/35	⁴		122,880		73,719
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
2.66%		09/25/34	⁴		152,339		154,833

							2,490,104


U.S. Agency Commercial Mortgage-Backed — 6.20%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.97%		07/25/39	⁴		501,289		17,549
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
1.14%		07/25/33	⁴		535,000		57,103
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K021, Class X3 (IO)
2.03%		07/25/40	⁴		1,150,000		15,829
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K022, Class X3 (IO)
1.87%		08/25/40	⁴		5,250,000		78,634
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K023, Class X3 (IO)
1.75%		10/25/40	⁴		4,050,000		57,304

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K024, Class X3 (IO)

1.71%

11/25/40

⁴

8,000,000

121,823

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K027, Class X3 (IO)

1.76%

01/25/41

⁴

5,000,000

104,372

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K028, Class X3 (IO)

1.72%

06/25/41

⁴

2,142,000

49,524

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K031, Class X3 (IO)

1.72%

07/25/41

⁴

5,999,569

149,520

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K034, Class X1 (IO)

0.19%

07/25/23

⁴

6,160,160

8,776

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K040, Class X3 (IO)

2.10%

11/25/42

⁴

1,100,000

64,195

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K723, Class X1 (IO)

1.04%

08/25/23

⁴

10,078,739

141,602

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series K724, Class X1 (IO)

0.39%

11/25/23

⁴

14,607,702

71,610

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC04, Class X1 (IO)

1.40%

12/25/26

⁴

2,268,664

97,359

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC05, Class X1 (IO)

1.34%

06/25/27

⁴

1,991,621

94,056

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KS11, Class XFX (IO)

1.76%

06/25/29

⁴

350,000

34,585

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series Q010, Class XPT2 (IO)

0.36%

08/25/24

2,924,136

17,566

FREMF Mortgage Trust

Series 2017-K66, Class X2A (IO)

0.10%

06/25/27

26,821,246

124,480

FREMF Mortgage Trust,

Series 2012-K23, Class X2A (IO)

0.13%

10/25/45

59,177,346

47,549



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
FREMF Mortgage Trust,
Series 2017-K726, Class X2B (IO)
0.10%		07/25/49	¹	$	25,000,000	$	60,187
Ginnie Mae,
Series 2009-114, Class IO (IO)
0.03%		10/16/49	⁴		4,569,734		428
Ginnie Mae,
Series 2010-148, Class IO (IO)
0.29%		09/16/50	⁴		1,541,742		17,826
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.69%		12/16/51	⁴		3,144,499		57,025
Ginnie Mae,
Series 2012-125, Class IO (IO)
0.21%		02/16/53	⁴		9,528,417		72,167
Ginnie Mae,
Series 2012-27, Class IO (IO)
0.74%		04/16/53	⁴		7,150,274		75,911
Ginnie Mae,
Series 2013-156, Class IO (IO)
0.34%		06/16/55	⁴		6,137,885		79,226
Ginnie Mae,
Series 2013-163, Class IO (IO)
1.16%		02/16/46	⁴		2,866,415		74,837
Ginnie Mae,
Series 2013-74, Class IO (IO)
0.57%		12/16/534			3,405,385		55,801
Ginnie Mae,
Series 2014-103, Class IO (IO)
0.26%		05/16/55	⁴		1,079,212		16,197
Ginnie Mae,
Series 2014-125, Class IO (IO)
0.90%		11/16/54	⁴		679,593		24,757
Ginnie Mae,
Series 2015-47, Class IO (IO)
0.43%		10/16/56	⁴		618,641		15,796

							1,903,594


U.S. Agency Mortgage-Backed — 6.77%
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
10.77%		05/25/23	²		351		375
Fannie Mae REMICS,
Series 2000-45, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)
7.86%		12/18/30	²		66,769		8,040
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		329		366
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		3,317		3,880



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)
6.01%		10/25/25	²	$	406,052	$	29,543
Fannie Mae REMICS,
Series 2006-125, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.11%		01/25/37	²		600,271		124,611
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.96%		11/25/36	²		758,582		138,170
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
6.33%		05/25/40	²		703,010		142,804
Freddie Mac REMICS,
Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	²		3,705		3,869
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)
16.68%		02/15/24	²		21,441		24,049
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		9,781,085		43,765
Freddie Mac REMICS,
Series 3289, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)
6.04%		03/15/37	²		530,186		97,005
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
14.13%		11/26/23	²		13,625		15,192
UMBS (TBA)
2.00%		11/01/51			725,000		725,522
2.50%		11/01/51			700,000		720,315

							2,077,506


Total Mortgage-Backed
(Cost $14,018,926)							10,077,278


MUNICIPAL BONDS — 0.47%*

California — 0.16%
California State University Revenue Bonds, University &
College Improvements, Series B
2.37%		11/01/35			15,000		14,695
City of San Francisco Public Utilities Commission Water
Revenue Bonds, Series E
2.83%		11/01/41			35,000		35,677

							50,372

Issues

Maturity

Date

Principal

Amount

Value

MUNICIPAL BONDS (continued)

Florida — 0.05%

County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B

2.86%

10/01/35

15,000

15,460

New York — 0.26%

Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2

5.18%

11/15/49

5,000

6,788

New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3

1.85%

08/01/32

75,000

72,320

79,108

Total Municipal Bonds

(Cost $144,464)

144,940

Total Bonds — 90.82%

(Cost $32,181,837)

27,870,530

Issues

Shares

Value

COMMON STOCK — 0.23%

Financials — 0.23%

AGNC Investment Corp.

4,500

70,965

Total Common Stock

(Cost $64,005)

Issues

Maturity

Date

Principal

Amount/Shares

Value

SHORT-TERM INVESTMENTS — 9.24%

Money Market Funds — 0.12%

Fidelity Investments Money Market Funds - Government Portfolio

0.01%¹⁰

28,546

Morgan Stanley Institutional Liquidity Funds - Government Portfolio

0.03%¹⁰

7,000

35,546

U.S. Agency Discount Notes — 3.26%

Federal Home Loan Bank

0.04%¹¹

10/15/21

1,000,000

999,996

U.S. Treasury Bills — 5.86%

U.S. Treasury Bills

0.05%¹¹

10/07/21

1,000,000

999,995



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills (continued)
0.04%¹¹		03/03/22	$	800,000	$	799,868

						1,799,863


Total Short-Term Investments
(Cost $2,835,384)						2,835,405


Total Investments - 100.29%
(Cost $35,081,226)						30,776,900


Liabilities in Excess of Other Assets - (0.29)%						(88,739	)

Net Assets - 100.00%					$	30,688,161

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 September 30, 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 $279,796, which is 0.91% 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 September 30, 2021.

¹⁰	Represents the current yield as of September 30, 2021.

¹¹	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.

(CDO): Collateralized Debt Obligation

(CLO): Collateralized Loan Obligation

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar



Issues	Maturity Date	Principal Amount		Value

BONDS – 110.58%

ASSET-BACKED SECURITIES — 5.62%**
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 11/25/21)
7.40%	06/25/32	$	29,188	$	29,508
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
1.19%	12/27/44^1,2		19,165,917		19,449,293
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.31%	02/25/37²		19,449,162		19,325,695
ACE Securities Corp. Home Equity Loan Trust,
Series 2004-IN1, Class A1
(LIBOR USD 1-Month plus 0.64%)
0.73%	05/25/34²		152,830		149,906
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.30%)
0.39%	06/25/36²		2,692,439		2,417,967
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP2, Class A1
(LIBOR USD 1-Month plus 0.38%)
0.47%	06/25/37²		33,318,532		28,935,576
ACRES Commercial Realty Ltd.,
Series 2021-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.20%)
1.28%	06/15/36^1,2,3		19,750,000		19,773,325
Aegis Asset-Backed Securities Trust,
Series 2005-5, Class 1A4
(LIBOR USD 1-Month plus 0.70%)
0.79%	12/25/35²		77,822		77,911
AIG CLO LLC,
Series 2020-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
0.00%	04/15/34^1,2,3		48,800,000		48,839,382
Aimco CLO 11 Ltd.,
Series 2020-11A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.38%)
1.51%	10/15/31^1,2,3		7,100,000		7,101,065
Aimco CLO 12 Ltd.,
Series 2020-12A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.21%)
1.34%	01/17/32^1,2,3		48,385,000		48,414,515
Aimco CLO,
Series 2015-AA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.85%)
0.98%	01/15/28^1,2,3		2,183,781		2,183,038
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 10/25/21)
2.86%	07/25/59¹		169,509		171,159



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Ameriquest Mortgage Securities Trust,
Series 2006-R1, Class M1
(LIBOR USD 1-Month plus 0.59%)
0.67%	03/25/36²	$	8,152,045	$	8,191,166
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2004-R10, Class A1
(LIBOR USD 1-Month plus 0.66%)
0.75%	11/25/34²		7,517,868		7,349,172
AMMC CLO 19 Ltd.,
Series 2016-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.27%	10/16/28^1,2,3		43,350,394		43,355,163
AMMC CLO 23 Ltd.,
Series 2020-23A, Class A1L
(Cayman Islands)
(LIBOR USD 3-Month plus 1.40%)
1.53%	10/17/31^1,2,3		11,960,000		11,962,870
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 11/25/21)
7.37%	10/25/27		18,994		19,282
Apidos CLO XXII,
Series 2015-22A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.06%)
1.19%	04/20/31^1,2,3		21,475,000		21,475,430
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W2, Class M1
(LIBOR USD 1-Month plus 0.74%)
0.82%	10/25/35²		199,136		199,407
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W3, Class A1
(LIBOR USD 1-Month plus 0.52%)
0.61%	11/25/35²		4,731,493		4,691,501
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W3, Class M1
(LIBOR USD 1-Month plus 0.66%)
0.75%	11/25/35²		19,840,000		19,671,344
Asset-Backed Funding Certificates,
Series 2006-OPT3, Class A3B
(LIBOR USD 1-Month plus 0.32%)
0.41%	11/25/36²		44,769,257		25,826,243
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2A
(LIBOR USD 1-Month plus 0.75%)
0.84%	06/25/37²		24,824,399		23,245,721
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
1.09%	06/25/37²		18,135,093		17,963,532



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE5, Class A1
(LIBOR USD 1-Month plus 0.13%)
0.21%	07/25/36²	$	1,857,080	$	1,830,814
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE6, Class A5
(LIBOR USD 1-Month plus 0.23%)
0.32%	11/25/36²		18,411,000		18,020,180
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
0.93%	01/20/28^1,2,3		22,988,702		22,975,599
Barings CLO Ltd.,
Series 2016-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.21%	07/20/28^1,2,3		38,342,960		38,383,066
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.08%	07/20/29^1,2,3		35,646,000		35,658,440
Barings CLO Ltd.,
Series 2020-4A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
1.35%	01/20/32^1,2,3		19,110,000		19,124,333
Bayview Commercial Asset Trust,
Series 2004-1, Class A
(LIBOR USD 1-Month plus 0.54%)
0.63%	04/25/34^1,2		10,303		10,308
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
0.73%	08/25/34^1,2		158,040		157,451
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.64%	01/25/35^1,2		982,361		971,821
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
0.54%	04/25/35^1,2		2,122,169		2,084,417
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-HE9, Class 3A
(LIBOR USD 1-Month plus 0.14%)
0.23%	11/25/36²		5,574,895		5,275,054
BlueMountain CLO XXXII Ltd.,
Series 2021-32A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.78%	10/15/34^1,2,3		25,000,000		25,020,900



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
1.11%	07/20/29^1,2,3	$	28,145,000	$	28,152,318
Brazos Education Loan Authority, Inc.,
Series 2012-1, Class A1
(LIBOR USD 1-Month plus 0.70%)
0.79%	12/26/35²		32,096		31,912
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
1.33%	02/25/35²		12,315,000		12,535,115
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 1.05%)
1.18%	11/25/33²		16,050,000		16,262,839
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.13%	10/27/36²		24,361,000		24,661,768
Carrington Mortgage Loan Trust,
Series 2005-NC5, Class M1
(LIBOR USD 1-Month plus 0.72%)
0.81%	10/25/35²		140,636		141,322
Carrington Mortgage Loan Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.31%)
0.40%	01/25/36²		21,972,937		21,965,399
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.53%)
0.61%	02/25/36²		113,117		112,771
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.27%)
1.40%	10/25/32^1,2,3		4,970,000		4,970,929
Chase Funding Trust,
Series 2003-5, Class 2A2
(LIBOR USD 1-Month plus 0.60%)
0.69%	07/25/33²		3,059		2,893
Chase Funding Trust,
Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)
0.59%	02/26/35²		5,668		5,217
CIFC Funding Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
0.00%	10/20/34^1,2,3		9,000,000		9,005,409
CIFC Funding Ltd.,
Series 2021-6A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
0.00%	10/15/34^1,2,3		20,000,000		20,010,000



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
CIT Education Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
0.43%	06/25/42^1,2	$	11,178,136	$	10,329,293
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
1.44%	10/25/37^1,2		30,223,631		30,508,712
Citicorp Residential Mortgage Trust,
Series 2006-2, Class A5 (STEP-reset date 11/25/21)
5.22%	09/25/36		146,643		148,493
Citicorp Residential Mortgage Trust,
Series 2007-1, Class A5 (STEP-reset date 11/25/21)
5.17%	03/25/37		389,276		398,444
Citigroup Mortgage Loan Trust,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.29%)
0.38%	08/25/36²		185,065		186,057
Citigroup Mortgage Loan Trust,
Series 2006-WF2, Class A1 (STEP-reset date 11/25/21)
7.25%	05/25/36		36,172,618		25,228,998
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH3, Class A3
(LIBOR USD 1-Month plus 0.25%)
0.34%	06/25/37²		82,940		82,747
Clear Creek CLO,
Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
1.33%	10/20/30^1,2,3		27,190,000		27,195,166
College Loan Corp. Trust,
Series 2005-2, Class B
(LIBOR USD 3-Month plus 0.49%)
0.62%	01/15/37²		2,172,019		2,074,432
Conseco Finance Corp.,
Series 1996-7, Class M1
7.70%	09/15/26⁴		53,727		53,888
Countrywide Asset-Backed Certificates Trust,
Series 2005-13, Class AF4
5.81%	04/25/36⁴		190,158		190,388
Countrywide Asset-Backed Certificates Trust,
Series 2005-AB2, Class 1A1
(LIBOR USD 1-Month plus 0.46%)
0.55%	11/25/35²		841,993		842,532
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A2
(LIBOR USD 1-Month plus 0.80%)
0.89%	10/25/47²		8,859,294		8,864,884
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 11/25/21)
3.95%	01/25/33		10,932		11,129
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.23%	10/25/36²		44,120,608		38,280,385



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB8, Class A1
(LIBOR USD 1-Month plus 0.28%)
0.37%	10/25/36²	$	12,240,976	$	11,537,193
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A3
(LIBOR USD 1-Month plus 0.15%)
0.24%	11/25/36²		26,438,177		15,896,012
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF4 (STEP-reset date 11/25/21)
3.26%	01/25/37		6,707,132		2,846,716
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF5 (STEP-reset date 11/25/21)
3.26%	01/25/37		12,604,299		5,353,369
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A2
(LIBOR USD 1-Month plus 0.17%)
0.26%	04/25/37²		23,451,329		17,835,118
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 11/25/21)
3.66%	02/25/37		28,434,454		22,702,443
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2D (STEP-reset date 11/25/21)
3.66%	02/25/37		20,818,254		16,869,499
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2E (STEP-reset date 11/25/21)
3.66%	02/25/37		3,785,767		3,022,425
CSAB Mortgage-Backed Trust,
Series 2006-4, Class A6B (STEP-reset date 11/25/21)
6.28%	12/25/36		5,268,016		427,276
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
0.94%	11/15/28^1,2,3		18,140,245		18,148,227
Dryden 83 CLO Ltd.,
Series 2020-83A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
1.35%	01/18/32^1,2,3		29,220,000		29,250,564
Dryden 92 CLO Ltd.,
Series 2021-92A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
0.00%	11/20/34^1,2,3		22,500,000		22,512,353
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.03%	04/15/29^1,2,3		22,577,849		22,578,074



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Eaton Vance CLO Ltd.,
Series 2013-1A, Class A13R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.38%	01/15/34^1,2,3	$	23,950,000	$	24,005,085
Eaton Vance CLO Ltd.,
Series 2020-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.73%	10/15/34^1,2,3		25,000,000		25,012,150
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
1.44%	07/26/66^1,2		35,113,794		36,424,412
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
0.89%	04/26/32^1,2		10,845,906		10,851,030
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
0.78%	04/25/35²		13,192		13,132
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
1.14%	03/25/36²		8,832,637		8,886,043
EFS Volunteer No. 2 LLC,
Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
1.44%	03/25/36^1,2		11,174,669		11,316,303
Elmwood CLO XI Ltd.,
Series 2021-4A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
0.00%	10/20/34^1,2,3		16,000,000		16,008,784
Equity One Mortgage Pass-Through Trust,
Series 2002-4, Class M1
5.22%	02/25/33⁴		8,558		8,657
Equity One Mortgage Pass-Through Trust,
Series 2002-5, Class M1 (STEP-reset date 11/25/21)
5.80%	11/25/32		36,213		37,268
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.41%	10/25/36²		11,287,456		9,157,499
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2D
(LIBOR USD 1-Month plus 0.48%)
0.57%	10/25/36²		711,760		585,608
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
0.20%	12/25/37²		6,277,424		5,991,917
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2C
(LIBOR USD 1-Month plus 0.16%)
0.25%	12/25/37²		17,263,479		16,530,047



Issues	Maturity Date		Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
0.30%		12/25/37²	$	12,512,008	$	12,017,939
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 1A
(LIBOR USD 1-Month plus 0.30%)
0.39%		04/25/36²		14,761,786		14,639,143
First Franklin Mortgage Loan Trust,
Series 2006-FF8, Class IIA4
(LIBOR USD 1-Month plus 0.46%)
0.55%		07/25/36²		26,320,118		26,035,558
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2C
(LIBOR USD 1-Month plus 0.14%)
0.23%		01/25/38²		60,140,994		41,452,655
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.23%		03/25/37²		54,539,120		36,010,738
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
0.19%		03/25/37²		23,612,019		14,686,744
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.24%		03/25/37²		13,536,393		8,498,778
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.31%		03/25/37²		25,204,405		16,030,702
Flatiron CLO 21 Ltd.,
Series 2021-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
1.26%		07/19/34^1,2,3		52,500,000		52,575,180
GCO Education Loan Funding Trust,
Series 2006-1, Class A11L
(LIBOR USD 3-Month plus 0.23%)
0.36%		05/25/36²		25,000,000		24,539,274
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%		07/17/29^1,3		25,229,417		25,735,589
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
0.61%		06/25/30²		11,472		11,241
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
0.58%		08/25/42²		1,978,028		1,850,934
Goal Structured Solutions Trust,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.65%)
0.74%		09/25/41^1,2		16,737,612		16,726,981



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.24%	10/20/34^1,2,3	$	36,180,000	$	36,204,819
GoldenTree Loan Opportunities IX Ltd.,
Series 2014-9A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
1.24%	10/29/29^1,2,3		5,283,000		5,285,731
GSAA Home Equity Trust,
Series 2005-11, Class 1A1
(LIBOR USD 1-Month plus 0.56%)
0.65%	10/25/35²		672,153		673,476
GSAA Home Equity Trust,
Series 2005-11, Class 2A2
(LIBOR USD 1-Month plus 0.64%)
0.73%	10/25/35²		116,557		116,604
GSAA Home Equity Trust,
Series 2005-11, Class 3A2
(LIBOR USD 1-Month plus 0.64%)
0.73%	10/25/35²		62,299		62,312
GSAA Home Equity Trust,
Series 2005-6, Class M1
(LIBOR USD 1-Month plus 0.65%)
0.73%	06/25/35²		103,672		104,341
GSAMP Trust,
Series 2005-AHL2, Class A2D
(LIBOR USD 1-Month plus 0.70%)
0.79%	12/25/35²		24,251,121		23,937,578
GSAMP Trust,
Series 2006-NC1, Class A3
(LIBOR USD 1-Month plus 0.58%)
0.67%	02/25/36²		58,962		58,933
GSAMP Trust,
Series 2007-HE2, Class A1
(LIBOR USD 1-Month plus 0.24%)
0.32%	03/25/47²		73,018,983		68,880,304
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
0.37%	10/25/36²		55,664,424		24,100,119
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A3
6.61%	02/25/28		34,456		34,785
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/73¹		599,359		672,846
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/73¹		39,467,002		43,455,427
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A3A (STEP-reset date 11/25/21)
6.33%	07/25/36		31,472,295		13,266,186



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A6 (STEP-reset date 11/25/21)
6.50%	07/25/36	$	4,388,736	$	1,871,449
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class A1
(LIBOR USD 1-Month plus 0.15%)
0.24%	05/25/37²		20,971,983		20,274,416
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A5
(LIBOR USD 1-Month plus 0.26%)
0.35%	06/25/37²		142,229		141,506
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF1
(LIBOR USD 1-Month plus 0.10%)
0.19%	03/25/47²		122,648		74,814
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF2 (STEP-reset date 11/25/21)
4.22%	03/25/47		8,023,383		6,296,989
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF3 (STEP-reset date 11/25/21)
4.22%	05/25/35		6,752,656		5,299,607
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF4 (STEP-reset date 11/25/21)
4.22%	03/25/47		3,069,389		2,408,836
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.37%	03/25/47²		240,000		233,536
LCM XIII LP,
Series 13A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.27%	07/19/27^1,2,3		25,575,000		25,573,466
LCM XVIII LP,
Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
1.37%	07/15/27^1,2,3		10,760,470		10,763,805
LCM XX LP,
Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
1.17%	10/20/27^1,2,3		3,894,888		3,895,877
LCM XXI LP,
Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
1.01%	04/20/28^1,2,3		16,739,768		16,737,089
Lehman ABS Mortgage Loan Trust,
Series 2007-1, Class 2A2
(LIBOR USD 1-Month plus 0.20%)
0.29%	06/25/37^1,2		217,320		181,860
Lehman Brothers Small Balance Commercial Mortgage Trust,
Series 2007-1A, Class 2A3
5.62%	03/25/37^1,4		950,113		973,247



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Lehman XS Trust,
Series 2006-5, Class 1A1A
(LIBOR USD 1-Month plus 0.42%)
0.51%	04/25/36²	$	23,282,060	$	22,473,132
Lehman XS Trust,
Series 2006-8, Class 1A1A
(LIBOR USD 1-Month plus 0.16%)
0.41%	06/25/36²		31,032,351		29,209,793
LoanCore Issuer Ltd.,
Series 2021-CRE5, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.30%)
1.38%	07/15/36^1,2,3		45,000,000		45,086,589
Long Beach Mortgage Loan Trust,
Series 2004-4, Class M1
(LIBOR USD 1-Month plus 0.90%)
0.99%	10/25/34²		96,578		96,251
Lucali CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.21%)
1.34%	01/15/33^1,2,3		11,550,000		11,564,553
Madison Park Funding XLVIII Ltd.,
Series 2021-48A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.28%	04/19/33^1,2,3		30,825,000		30,856,442
Madison Park Funding XXX Ltd.,
Series 2018-30A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.75%)
0.88%	04/15/29^1,2,3		7,057,143		7,058,836
Madison Park Funding XXXVIII Ltd.,
Series 2021-38A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.12%)
1.25%	07/17/34^1,2,3		20,500,000		20,524,682
Magnetite XVIII Ltd.,
Series 2016-18A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.20%	11/15/28^1,2,3		20,600,000		20,606,407
Magnetite XXV Ltd.,
Series 2020-25A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
1.33%	01/25/32^1,2,3		27,025,000		27,047,188
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.39%	11/25/36²		13,452,082		6,059,370
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.42%)
0.51%	11/25/36²		3,736,689		1,633,524



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
(LIBOR USD 1-Month plus 0.21%)
0.30%	05/25/37²	$	22,845,664	$	22,532,354
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.23%	04/25/37²		153,294,238		92,510,298
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2B
(LIBOR USD 1-Month plus 0.17%)
0.26%	04/25/37²		29,985,847		16,807,046
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
0.34%	04/25/37²		62,815,608		35,792,334
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.33%	05/25/37²		30,871,878		17,746,208
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2D
(LIBOR USD 1-Month plus 0.32%)
0.41%	05/25/37²		15,245,874		8,907,565
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.27%	06/25/37²		12,084,681		11,477,002
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
0.34%	06/25/37²		16,140,357		15,422,778
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.12%)
0.21%	07/25/37²		26,691,111		23,363,571
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A3
(LIBOR USD 1-Month plus 0.16%)
0.25%	07/25/37²		19,565,248		17,199,455
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2B (STEP-reset date 11/25/21)
3.79%	03/25/37		28,930,669		9,566,426
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2D (STEP-reset date 11/25/21)
3.79%	03/25/37		22,643,040		7,488,619
Mid-State Capital Corp. Trust,
Series 2004-1, Class A
6.01%	08/15/37		158,714		167,215
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%	01/15/40		9,948,411		10,614,524
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%	10/15/40¹		8,250,681		8,746,920



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Mid-State Trust XI,
Series 11, Class A1
4.86%	07/15/38	$	163,253	$	171,904
Morgan Stanley Mortgage Loan Trust,
Series 2007-7AX, Class 2A1
(LIBOR USD 1-Month plus 0.24%)
0.33%	04/25/37²		4,658,889		1,894,426
Nationstar Home Equity Loan Trust,
Series 2006-B, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.37%	09/25/36²		2,619,328		2,604,706
Nationstar Home Equity Loan Trust,
Series 2007-A, Class AV4
(LIBOR USD 1-Month plus 0.23%)
0.32%	03/25/37²		84,933		84,495
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
0.34%	06/25/37²		6,596,630		6,519,513
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
0.60%	06/25/31²		710,123		697,109
Navient Student Loan Trust,
Series 2014-2, Class A
(LIBOR USD 1-Month plus 0.64%)
0.73%	03/25/83²		34,744,053		34,737,679
Navient Student Loan Trust,
Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
0.71%	03/25/83²		60,640,671		60,567,463
Navient Student Loan Trust,
Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
0.71%	03/25/83²		91,048,440		90,915,401
Navient Student Loan Trust,
Series 2014-6, Class A
(LIBOR USD 1-Month plus 0.61%)
0.70%	03/25/83²		37,689,904		37,622,160
Navient Student Loan Trust,
Series 2014-7, Class A
(LIBOR USD 1-Month plus 0.61%)
0.70%	03/25/83²		76,955,269		76,808,357
Navient Student Loan Trust,
Series 2015-1, Class A2
(LIBOR USD 1-Month plus 0.60%)
0.69%	04/25/40²		57,911,875		57,919,472
Navient Student Loan Trust,
Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
0.66%	11/26/40²		113,999,452		113,861,875
Navient Student Loan Trust,
Series 2016-7A, Class A
(LIBOR USD 1-Month plus 1.15%)
1.24%	03/25/66^1,2		56,988,747		58,074,107



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.45%)
0.58%	08/23/36^1,2	$	11,356,250	$	11,331,584
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
0.69%	10/27/36^1,2		9,668,286		9,646,709
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
1.04%	11/25/48^1,2		11,630,000		11,857,508
Nelnet Student Loan Trust,
Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
0.64%	07/25/46^1,2		54,531,295		54,391,384
Nelnet Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
0.68%	04/25/46^1,2		102,245,330		101,969,955
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
0.99%	06/25/54^1,2		8,890,000		8,987,834
Neuberger Berman Loan Advisers CLO 33 Ltd.,
Series 2019-33A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
0.00%	10/16/33^1,2,3		23,000,000		23,013,915
Neuberger Berman Loan Advisers CLO 36 Ltd.,
Series 2020-36A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.38%	04/20/33^1,2,3		25,455,000		25,492,368
New Century Home Equity Loan Trust,
Series 2003-6, Class M1
(LIBOR USD 1-Month plus 1.08%)
1.17%	01/25/34²		102,026		101,687
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
0.76%	03/25/35²		318,837		319,261
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.44%)
0.53%	02/25/36²		142,751		142,112
New Century Home Equity Loan Trust,
Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.66%)
0.75%	02/25/36²		45,062		43,519
Nomura Home Equity Loan, Inc., Home Equity Loan Trust,
Series 2006-HE2, Class A4
(LIBOR USD 1-Month plus 0.54%)
0.63%	03/25/36²		10,272,727		10,287,171



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%)
1.08%	10/25/41²	$	14,866,974	$	14,914,944
NYACK Park CLO Ltd.,
Series 2021-1A, Class B1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
0.00%	10/20/34^1,2,3		20,000,000		20,012,040
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/29⁴		20,878,109		8,242,600
OCP CLO Ltd.,
Series 2020-19A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.83%	10/20/34^1,2,3		15,500,000		15,509,223
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.76%	07/15/36^1,2,3		7,250,000		7,257,489
OHA Credit Funding 3 Ltd.,
Series 2019-3A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.29%	07/02/35^1,2,3		33,250,000		33,290,499
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.38%	10/19/32^1,2,3		14,400,000		14,402,160
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.44%)
0.53%	01/25/36²		5,816,988		5,815,363
Ownit Mortgage Loan Trust,
Series 2006-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
0.37%	05/25/37²		13,085,662		12,313,221
Ownit Mortgage Loan Trust,
Series 2006-4, Class A2D
(LIBOR USD 1-Month plus 0.48%)
0.57%	05/25/37²		17,644,951		16,314,727
Palmer Square CLO Ltd.,
Series 2020-3A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.37%)
1.49%	11/15/31^1,2,3		32,300,000		32,370,349
Palmer Square CLO Ltd.,
Series 2021-4A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.79%	10/15/34^1,2,3		19,500,000		19,510,706



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%)
1.18%	04/20/27^1,2,3	$	4,843,776	$	4,845,060
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.03%	10/24/27^1,2,3		35,119,647		35,125,793
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
1.13%	04/20/28^1,2,3		23,550,726		23,554,470
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.39%)
1.52%	01/20/34^1,2,3		50,000,000		50,155,950
PHEAA Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
0.69%	10/25/41^1,2		106,019,240		105,497,569
Popular ABS Mortgage Pass-Through Trust,
Series 2005-6, Class A5 (STEP-reset date 11/25/21)
3.45%	01/25/36		22,910,000		21,017,467
Popular ABS Mortgage Pass-Through Trust,
Series 2006-D, Class A3
(LIBOR USD 1-Month plus 0.26%)
0.35%	11/25/36²		34,100		33,919
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
0.40%	06/25/47²		23,015,500		21,992,769
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.21%	04/20/34^1,2,3		42,730,000		42,715,472
Regatta XX Funding Ltd.,
Series 2021-2A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.78%	10/15/34^1,2,3		12,000,000		12,007,596
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%	12/25/31		17,658		11,113
Residential Asset Mortgage Products Trust,
Series 2005-RZ3, Class M3
(LIBOR USD 1-Month plus 0.55%)
0.91%	09/25/35²		161,024		161,159
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.58%	04/25/36²		611,638		612,386



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Rockford Tower CLO Ltd.,
Series 2017-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
1.15%	10/15/29^1,2,3	$	26,680,000	$	26,681,601
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
1.32%	10/20/30^1,2,3		1,880,000		1,880,214
Rockford Tower CLO Ltd.,
Series 2019-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.78%	08/20/32^1,2,3		20,000,000		20,013,480
Rockford Tower CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.28%)
1.41%	01/20/32^1,2,3		23,840,000		23,865,747
Saxon Asset Securities Trust,
Series 2001-2, Class AF6 (STEP-reset date 11/25/21)
6.81%	06/25/16		104		160
Saxon Asset Securities Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.24%	01/25/47²		2,181,641		2,149,221
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.33%	05/25/47²		183,536		159,940
Saxon Asset Securities Trust,
Series 2007-3, Class 2A3
(LIBOR USD 1-Month plus 0.40%)
0.49%	09/25/47²		30,779,761		29,660,684
Scholar Funding Trust,
Series 2012-B, Class A2
(LIBOR USD 1-Month plus 1.10%)
1.19%	03/28/46^1,2		19,155,666		19,495,266
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 11/25/21)
2.92%	01/25/36		6,215,579		5,067,954
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB5, Class A3
(LIBOR USD 1-Month plus 0.28%)
0.37%	06/25/36²		235,139		184,632
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2A
(LIBOR USD 1-Month plus 0.11%)
0.20%	02/25/37²		5,807,549		3,640,919
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2B
(LIBOR USD 1-Month plus 0.27%)
0.36%	02/25/37²		28,749,184		18,533,567



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
0.32%	02/25/37²	$	39,640,108	$	21,678,618
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2A
(LIBOR USD 1-Month plus 0.13%)
0.22%	05/25/37²		15,679,076		13,748,160
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2C
(LIBOR USD 1-Month plus 0.35%)
0.44%	05/25/37²		11,825,024		10,630,463
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
0.24%	12/25/36²		30,088,499		21,637,431
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC2, Class A2B
(LIBOR USD 1-Month plus 0.14%)
0.23%	01/25/37²		15,657,983		14,438,315
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
0.33%	12/25/36^1,2		13,565,435		10,583,982
Sixth Street CLO XVI Ltd.
Series 2021-20A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
0.00%	10/20/34^1,2,3		25,000,000		25,015,100
Sixth Street CLO XVII Ltd.,
Series 2021-17A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
1.41%	01/20/34^1,2,3		41,060,000		41,176,159
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	12/30/99^5,6		31,164,634		31,253,500
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.41%	08/15/31²		260,108		243,388
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
1.72%	12/15/32²		11,314,112		11,638,450
SLM Student Loan Trust,
Series 2003-12, Class B
(LIBOR USD 3-Month plus 0.59%)
0.71%	03/15/38²		49,975		48,140
SLM Student Loan Trust,
Series 2003-4, Class A5E
(LIBOR USD 3-Month plus 0.75%)
0.87%	03/15/33^1,2		4,390,568		4,322,756
SLM Student Loan Trust,
Series 2005-9, Class A7A
(LIBOR USD 3-Month plus 0.60%)
0.73%	01/25/41²		55,472,549		55,510,028



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
0.30%	01/25/41²	$	31,314,329	$	30,745,998
SLM Student Loan Trust,
Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
0.29%	01/25/41²		32,923,608		32,528,287
SLM Student Loan Trust,
Series 2007-1, Class A6
(LIBOR USD 3-Month plus 0.14%)
0.27%	01/27/42²		32,050,000		31,344,832
SLM Student Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.22%)
0.35%	01/27/42²		3,788,587		3,541,931
SLM Student Loan Trust,
Series 2007-3, Class A4
(LIBOR USD 3-Month plus 0.06%)
0.19%	01/25/22²		2,195,581		2,137,787
SLM Student Loan Trust,
Series 2007-6, Class B
(LIBOR USD 3-Month plus 0.85%)
0.98%	04/27/43²		4,256,180		4,055,100
SLM Student Loan Trust,
Series 2007-7, Class A4
(LIBOR USD 3-Month plus 0.33%)
0.46%	01/25/22²		264,714		260,356
SLM Student Loan Trust,
Series 2008-1, Class A4
(LIBOR USD 3-Month plus 0.65%)
0.78%	01/25/22²		35,404,611		34,945,031
SLM Student Loan Trust,
Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
0.88%	04/25/23²		80,208,159		79,412,574
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.33%	01/25/83²		38,874,000		37,339,858
SLM Student Loan Trust,
Series 2008-3, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.13%	10/25/21²		16,541		16,557
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.33%	04/26/83²		2,260,000		2,134,953
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
1.78%	07/25/22²		1,928,112		1,967,583
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%	04/25/73²		8,849,000		8,894,243



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%)
1.83%	07/25/23²	$	28,030,861	$	28,309,210
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%	07/25/73²		37,199,000		36,843,973
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.23%	07/25/23²		12,073,331		12,141,046
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%	07/26/83²		31,424,000		31,604,455
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%	07/26/83²		17,206,000		17,277,274
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
1.63%	04/25/23²		2,508,421		2,524,229
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.38%	10/25/75²		625,000		629,614
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.63%	04/25/23²		57,295,823		57,700,067
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.38%	10/25/83²		45,100,000		45,575,943
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
0.84%	01/25/45^1,2		147,946,965		148,825,178
SLM Student Loan Trust,
Series 2011-1, Class A2
(LIBOR USD 1-Month plus 1.15%)
1.24%	10/25/34²		2,485,364		2,533,838
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
1.04%	09/25/28²		586,014		581,218
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
0.79%	01/25/29²		12,371,949		12,182,345
SLM Student Loan Trust,
Series 2012-3, Class A
(LIBOR USD 1-Month plus 0.65%)
0.74%	12/27/38²		14,474,374		14,466,702



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
0.74%	05/26/26²	$	21,440,134	$	21,039,691
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
0.76%	06/25/35²		12,550,588		12,558,839
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	1.61^1,2		17,450,000		16,099,754
TCI-Flatiron CLO Ltd.,
Series 2016-1A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.28%	01/17/32^1,2,3		52,015,000		52,104,466
Treman Park CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
1.20%	10/20/28^1,2,3		14,557,967		14,559,714
Trestles CLO IV Ltd.,
Series 2021-4A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
0.00%	07/21/34^1,2,3		50,000,000		49,995,400
Voya CLO Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.79%	07/19/34^1,2,3		11,825,000		11,832,805
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
0.20%	01/25/37²		3,338,387		2,070,873
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A3
(LIBOR USD 1-Month plus 0.15%)
0.24%	01/25/37²		41,069,198		26,115,211
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
(LIBOR USD 1-Month plus 0.23%)
0.32%	01/25/37²		10,344,768		6,666,702


Total Asset-Backed Securities
(Cost $4,929,478,766)					4,933,911,924


BANK LOANS — 1.60%*

Automotive — 0.02%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.33%	04/30/26²		18,429,354		18,371,762



Issues	Maturity Date	Principal Amount		Value

BANK LOANS (continued)

Communications — 0.34%
CenturyLink, Inc.,
Term Loan A, 1st Lien
(LIBOR plus 2.00%)
2.08%	01/31/25²	$	13,046,079	$	12,985,545
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.33%	03/15/27²		49,630,763		49,158,527
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.33%	07/17/25²		15,933,106		15,742,626
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.58%	04/15/27²		9,512,444		9,418,319
Diamond Sports Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.34%	08/24/26²		46,869,752		29,391,084
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	08/02/27²		48,710,000		48,796,217
Frontier Communications holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	05/01/28²		16,691,125		16,706,731
Intelsat Jackson Holdings SA,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(LIBOR plus 4.75%)
5.75%	07/13/22^2,3,7		10,917,327		11,012,853
Term Loan B4, 1st Lien (Luxembourg)
(PRIME plus 5.50%)
8.75%	01/02/24^2,3		2,000,000		2,038,130
Term Loan B5, 1st Lien (Luxembourg)
8.63%	01/02/24^2,3		25,379,651		25,855,520
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.83%	03/01/27²		22,889,876		22,638,431
Sinclair Television Group, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 3.00%)
3.09%	04/01/28²		12,817,875		12,721,741
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.08%	03/09/27²		47,411,678		47,048,267

					303,513,991


Consumer Discretionary — 0.01%
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	10/01/26²		7,685,093		7,715,373



Issues	Maturity Date	Principal Amount		Value

BANK LOANS (continued)

Electric — 0.08%
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.33%	04/06/26²	$	44,260,937	$	44,127,269
Homer City Generation LP,
Term Loan B, 1st Lien
(LIBOR plus 11.00%)
15.00%	04/05/23^2,5,6		5,218,065		3,783,098
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.83%	12/31/25²		27,031,816		26,857,326

					74,767,693


Entertainment — 0.01%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	02/28/25²		7,775,088		6,430,620


Finance — 0.09%
Auris Lux III SA,
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
3.83%	02/27/26^2,3		1,466,171		1,455,636
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.75%	12/01/27²		16,443,580		16,475,481
Mozart Borrower, LP,
Term Loan B
(LIBOR plus 3.25%)
3.25%	09/30/28²		30,200,000		30,049,000
Telenet Financing USD LLC,
Term Loan AR, 1st Lien
(LIBOR plus 2.00%)
2.08%	04/30/28²		28,600,000		28,310,139

					76,290,256


Food — 0.05%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%	08/03/25²		43,247,880		43,175,007
JBS USA LUX SA,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.00%)
2.08%	05/01/26^2,3		1,116,241		1,113,193

					44,288,200


Gaming — 0.03%
Caesars Resort Collection LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
2.83%	12/23/24²		92,785		92,354



Issues	Maturity Date	Principal Amount		Value

BANK LOANS (continued)

Gaming (continued)
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.09%	03/17/28²	$	12,935,000	$	12,837,987
2.10%	12/27/24²		11,542,727		11,542,727

					24,473,068


Health Care — 0.59%
Avantor Funding, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.75%	11/08/27²		67,063,000		67,251,782
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%	01/15/25²		6,520,459		6,502,560
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	03/01/24²		26,996,215		26,997,565
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.84%	08/01/27²		93,547,325		92,519,708
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%	03/27/28²		34,413,534		33,732,490
Gentiva Health Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.88%	07/02/25²		35,440,609		35,470,024
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.07%	11/15/27²		54,741,625		53,920,501
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.50%	03/15/28²		72,355,555		72,310,333
Term Loan B1, 1st Lien
(LIBOR plus 2.25%)
2.38%	05/22/26²		628,170		625,893
ICON Luxembourg SARL,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.00%	07/03/28²		27,122,500		27,242,924
Indigo Merger Sub, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.00%	07/03/28²		6,757,588		6,787,591
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 0.00%)
0.50%	05/05/28²		43,052,100		43,159,946



Issues	Maturity Date	Principal Amount		Value

BANK LOANS (continued)

Health Care (continued)
Organon & Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	06/02/28²	$	27,057,188	$	27,158,652
PPD, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.50%	01/13/28²		19,900,000		19,891,741
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.83%	11/27/25²		3,785,588		3,779,682

					517,351,392


Industrials — 0.17%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
1.86%	07/01/26²		71,273,684		70,970,771
Mauser Packaging Solutions Holdings,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.33%	04/03/24²		4,204,139		4,124,975
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%	04/15/28²		28,169,400		28,230,105
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.33%	05/30/25²		15,304,838		15,135,107
Term Loan F, 1st Lien
(LIBOR plus 2.25%)
2.33%	12/09/25²		5,376,389		5,317,303
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	08/12/24²		27,931,031		27,320,040

					151,098,301


Information Technology — 0.04%
IQVIA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
1.83%	03/07/24²		12,556,829		12,552,120
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
1.83%	01/17/25²		8,227,099		8,214,759
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.88%	06/11/25²		5,932,389		5,927,940
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.83%	04/16/25²		7,026,025		6,965,882



Issues	Maturity Date	Principal Amount		Value

BANK LOANS (continued)

Information Technology (continued)
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
1.83%	04/16/25²	$	5,320,403	$	5,274,861

					38,935,562


Real Estate Investment Trust (REIT) — 0.05%
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.84%	04/11/25²		42,989,479		42,629,013


Retail — 0.09%
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	02/19/28²		50,923,161		50,668,799
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
1.84%	11/19/26^2,3		23,610,152		23,364,134
KFC Holding Co.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.84%	03/15/28²		1,339,708		1,341,503

					75,374,436


Services — 0.02%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	05/30/25²		12,207,500		12,243,756
PowerTeam Services LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.25%	03/06/25²		2,515,649		2,502,291
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 1.75%)
1.83%	04/16/25²		5,336,321		5,294,084

					20,040,131


Transportation — 0.01%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.84%	01/29/27²		5,659,000		5,441,836


Total Bank Loans
(Cost $1,405,248,048)					1,406,721,634


CORPORATES — 23.57%*

Banking — 5.03%
Bank of America Corp.
1.73%	07/22/27⁴		282,360,000		283,908,239
Bank of America Corp.
(MTN)
2.02%	02/13/26⁴		14,932,000		15,324,508



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Banking (continued)
2.09%	06/14/29⁴	$	267,814,000	$	267,633,158
Bank of America Corp.,
Series N
1.66%	03/11/27⁴		335,235,000		337,490,327
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/27^1,3,4		135,675,000		132,819,303
2.19%	06/05/26^1,3,4		120,398,000		122,819,920
2.59%	09/11/25^1,3,4		33,998,000		35,226,260
3.09%	05/14/32^1,3,4		98,280,000		100,857,609
4.28%	01/09/28^1,3		34,500,000		38,340,639
4.55%	04/17/26³		21,100,000		23,714,242
Discover Bank
(BKNT)
4.20%	08/08/23		15,255,000		16,281,678
DNB Bank ASA
(Norway)
0.86%	09/30/25^1,3,4		122,145,000		122,221,024
1.13%	09/16/26^1,3,4		7,581,000		7,503,592
Global Bank Corp.
(Panama)
5.25%	04/16/29^1,3,4		2,400,000		2,535,000
Grupo Aval Ltd.
(Cayman Islands)
4.38%	02/04/30^1,3		1,175,000		1,162,369
HSBC Holdings PLC
(United Kingdom)
0.98%	05/24/25^3,4		19,819,000		19,786,200
1.59%	05/24/27^3,4		32,550,000		32,345,680
1.75%	07/24/27^3,4		34,075,000		45,914,975
2.01%	09/22/28^3,4		180,117,000		180,217,702
2.21%	08/17/29^3,4		162,265,000		161,145,621
2.63%	11/07/25^3,4		86,815,000		90,574,431
3.80%	03/11/25^3,4		13,775,000		14,697,397
4.04%	03/13/28^3,4		20,000,000		22,151,523
4.29%	09/12/26^3,4		3,375,000		3,720,999
JPMorgan Chase & Co.
0.77%	08/09/25⁴		68,080,000		67,822,354
0.97%	06/23/25⁴		99,825,000		99,962,285
1.47%	09/22/27⁴		137,940,000		137,028,629
1.58%	04/22/27⁴		120,391,000		120,663,730
2.01%	03/13/26⁴		75,445,000		77,351,734
2.08%	04/22/26⁴		32,845,000		33,795,534
4.01%	04/23/29⁴		14,465,000		16,144,567
4.02%	12/05/24⁴		190,675,000		204,264,644
4.20%	07/23/29⁴		8,345,000		9,498,470
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/27^3,4		31,375,000		31,359,486
2.86%	03/17/23^3,4		10,835,000		10,956,399
2.91%	11/07/23^3,4		136,630,000		140,084,321
3.87%	07/09/25^3,4		27,225,000		29,361,602
3.90%	03/12/24³		27,591,000		29,670,251
4.05%	08/16/23³		10,510,000		11,193,071



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Banking (continued)
Macquarie Group Ltd.
(Australia)
1.34%	01/12/27^1,3,4	$	31,770,000	$	31,506,593
1.63%	09/23/27^1,3,4		35,840,000		35,693,030
2.69%	06/23/32^1,3,4		15,830,000		15,815,867
NatWest Group PLC
(United Kingdom)
1.64%	06/14/27^3,4		39,212,000		39,203,576
4.27%	03/22/25^3,4		101,684,000		109,747,355
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/25^3,4		171,185,000		171,555,443
1.53%	08/21/26^3,4		41,594,000		41,527,442
1.67%	06/14/27^3,4		38,865,000		38,731,246
3.37%	01/05/24^3,4		26,730,000		27,623,716
3.82%	11/03/28^3,4		8,897,000		9,755,420
4.80%	11/15/24^3,4		114,250,000		123,723,765
Santander UK PLC
(United Kingdom)
5.00%	11/07/23^1,3		27,746,000		30,017,565
UBS AG
(Switzerland)
(SOFR Rate plus 0.45%)
0.50%	08/09/24^1,2,3		98,100,000		98,710,884
Wells Fargo & Co.
2.19%	04/30/26⁴		58,175,000		60,066,662
3.07%	04/30/41⁴		102,312,000		105,234,143
Wells Fargo & Co.
(MTN)
2.16%	02/11/26⁴		87,063,000		89,839,692
2.39%	06/02/28⁴		142,391,000		146,983,140
2.88%	10/30/30⁴		122,613,000		128,299,381
4.15%	01/24/29		16,758,000		19,037,863

					4,420,622,256


Communications — 3.70%
AT&T, Inc.
2.55%	12/01/33		86,325,000		85,006,904
3.80%	12/01/57		273,699,000		280,576,454
4.30%	12/15/42		30,960,000		34,538,473
4.50%	05/15/35		48,155,000		56,367,411
4.75%	05/15/46		146,527,000		175,589,279
4.85%	03/01/39		4,620,000		5,541,575
5.25%	03/01/37		148,704,000		184,461,330
C&W Senior Financing DAC
(Ireland)
6.88%	09/15/27^1,3		3,150,000		3,315,690
Cable One, Inc.
4.00%	11/15/30¹		5,159,000		5,133,205
Charter Communications Operating LLC/Charter Communications Operating Capital
3.75%	02/15/28		100,000		109,594
4.80%	03/01/50		23,178,000		26,296,137
5.38%	04/01/38		2,030,000		2,456,353
5.38%	05/01/47		95,317,000		114,447,768
5.75%	04/01/48		18,482,000		23,470,846



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Cox Communications, Inc.
2.60%	06/15/31¹	$	44,990,000	$	45,570,543
CSC Holdings LLC
4.13%	12/01/30¹		10,500,000		10,309,433
4.50%	11/15/31¹		46,085,000		45,580,833
6.50%	02/01/29¹		11,072,000		12,004,263
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%	08/15/26¹		80,916,000		53,777,450
Intelsat Jackson Holdings SA
(Luxembourg)
5.50%	08/01/23^3,8,9		54,920,000		30,716,482
8.50%	10/15/24^1,3,8,9		149,759,000		86,860,220
9.75%	07/15/25^1,3,8,9		45,708,000		25,781,103
Level 3 Financing, Inc.
3.40%	03/01/27¹		54,425,000		57,340,138
3.63%	01/15/29¹		15,506,000		15,042,233
3.75%	07/15/29¹		36,223,000		35,054,084
3.88%	11/15/29¹		84,641,000		90,612,422
Lumen Technologies, Inc.
5.38%	06/15/29¹		186,000		190,019
Qwest Corp.
7.25%	09/15/25		4,044,000		4,818,102
SES GLOBAL Americas Holdings GP
5.30%	03/25/44¹		55,170,000		63,214,686
SES SA
(Luxembourg)
3.60%	04/04/23^1,3		16,882,000		17,556,648
Sinclair Television Group, Inc.
4.13%	12/01/30¹		9,461,000		9,259,954
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%	03/20/25¹		95,804,625		102,439,096
5.15%	03/20/28¹		299,325,000		342,442,766
TEGNA, Inc.
5.50%	09/15/24¹		148,000		150,019
Tencent Holdings Ltd.
(Cayman Islands)
2.88%	04/22/31^1,3		5,535,000		5,655,688
3.68%	04/22/41^1,3		22,760,000		23,641,634
3.84%	04/22/51^1,3		68,301,000		71,858,177
3.98%	04/11/29^1,3		9,225,000		10,137,214
Time Warner Cable LLC
4.50%	09/15/42		18,977,000		20,801,935
5.50%	09/01/41		30,584,000		37,541,762
T-Mobile USA, Inc.
2.25%	02/15/26¹		54,164,000		54,843,362
2.55%	02/15/31		8,128,000		8,162,279
2.63%	04/15/26		102,831,000		105,204,655
3.75%	04/15/27		73,175,000		80,653,690
3.88%	04/15/30		212,762,000		235,036,963
4.38%	04/15/40		3,715,000		4,284,679
4.75%	02/01/28		16,028,000		17,029,750
Verizon Communications, Inc.
2.36%	03/15/32¹		37,465,000		37,102,356
2.55%	03/21/31		7,150,000		7,254,631
3.40%	03/22/41		3,545,000		3,713,016



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Communications (continued)
4.50%	08/10/33	$	8,190,000	$	9,760,237
ViacomCBS, Inc.
3.45%	10/04/26		2,913,000		3,123,487
4.20%	05/19/32		36,230,000		41,460,889
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%	08/15/30^1,3		34,685,000		35,265,083
5.50%	05/15/29^1,3		67,281,000		70,998,275
Vmed O2 UK Financing I PLC
(United Kingdom)
4.25%	01/31/31^1,3		13,383,000		13,366,271
Vodafone Group PLC
(United Kingdom)
4.88%	06/19/49³		150,472,500		187,969,457
5.25%	05/30/48³		59,411,500		77,020,138
Walt Disney Co. (The)
4.63%	03/23/40		36,500,000		45,881,581

					3,253,798,722


Consumer Discretionary — 1.03%
Altria Group, Inc.
3.70%	02/04/51		995,000		936,555
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%	02/01/36		43,442,000		52,571,061
4.90%	02/01/46		34,861,000		42,917,145
Anheuser-Busch InBev Worldwide, Inc.
4.35%	06/01/40		46,730,000		54,361,856
4.38%	04/15/38		2,780,000		3,247,998
4.50%	06/01/50		7,886,000		9,445,029
4.60%	04/15/48		29,578,000		35,443,685
4.60%	06/01/60		63,922,000		77,006,464
5.45%	01/23/39		2,000,000		2,592,923
Bacardi Ltd.
(Bermuda)
4.45%	05/15/25^1,3		20,635,000		22,752,131
5.15%	05/15/38^1,3		12,881,000		15,908,713
5.30%	05/15/48^1,3		39,836,000		52,038,158

BAT Capital Corp.
2.73%	03/25/31		795,000		784,077
3.56%	08/15/27		8,003,000		8,625,591
3.98%	09/25/50		13,755,000		13,257,807
4.39%	08/15/37		76,445,000		82,209,740
4.54%	08/15/47		119,665,000		124,164,459
4.76%	09/06/49		30,502,000		33,030,477
5.28%	04/02/50		5,356,000		6,167,686

BAT International Finance PLC
(EMTN)
(United Kingdom)
2.25%	09/09/52³		11,770,000		11,092,415

Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/24^1,3		15,312,000		16,098,916

3.50%	02/11/23^1,3		4,800,000		4,945,766
3.50%	07/26/26^1,3		53,505,000		57,406,256
4.25%	07/21/25^1,3		15,566,000		16,978,115



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Consumer Discretionary (continued)
Imperial Brands Finance PLC
(EMTN)
(United Kingdom)
8.13%	03/15/24³	$	1,758,000	$	2,747,169
Reynolds American, Inc.
5.70%	08/15/35		34,320,000		41,155,171
5.85%	08/15/45		96,522,000		117,757,169

					905,642,532


Electric — 0.68%
AEP Transmission Co. LLC,
Series M
3.65%	04/01/50		1,460,000		1,634,668
Alliant Energy Finance LLC
3.75%	06/15/23¹		31,081,000		32,597,297
American Electric Power Co., Inc.,
Series F
2.95%	12/15/22		4,511,000		4,616,044
American Electric Power Co., Inc.,
Series J
4.30%	12/01/28		8,480,000		9,634,958
Appalachian Power Co.
4.45%	06/01/45		100,000		119,489
Appalachian Power Co.,
Series Z
3.70%	05/01/50		9,450,000		10,313,674
Black Hills Corp.
4.35%	05/01/33		1,285,000		1,488,444
Consolidated Edison Co. of New York, Inc.
3.70%	11/15/59		4,740,000		5,059,947
Consolidated Edison Co. of New York, Inc.,
Series 20B
3.95%	04/01/50		1,515,000		1,734,127
Consolidated Edison Co. of New York, Inc.,
Series C
3.00%	12/01/60		1,854,000		1,732,380
Consolidated Edison Co. of New York, Inc.,
Series E
4.65%	12/01/48		14,546,000		18,040,064
Duke Energy Carolinas LLC
4.00%	09/30/42		11,040,000		12,653,635
4.25%	12/15/41		14,683,000		17,469,684
Duke Energy Corp.
2.55%	06/15/31		41,835,000		42,498,720
Empresas Publicas de Medellin ESP,
Series REGS
(Colombia)
4.38%	02/15/31³		1,000,000		990,400
Evergy Missouri West, Inc.
8.27%	11/15/21		75,000		75,644
FirstEnergy Corp.
2.65%	03/01/30		6,225,000		6,209,438
FirstEnergy Corp.,
Series C
3.40%	03/01/50		31,804,000		30,654,603



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Electric (continued)
FirstEnergy Transmission LLC
2.87%	09/15/28¹	$	36,945,000	$	38,595,320
4.35%	01/15/25¹		23,330,000		25,508,474
4.55%	04/01/49¹		13,175,000		15,433,084
5.45%	07/15/44¹		24,625,000		31,558,161
Florida Power & Light Co.
3.70%	12/01/47		1,340,000		1,555,215
Jersey Central Power & Light Co.
2.75%	03/01/32¹		4,660,000		4,778,497
4.30%	01/15/26¹		6,945,000		7,652,097
4.70%	04/01/24¹		49,765,000		53,679,935
6.40%	05/15/36		11,630,000		15,847,374
Metropolitan Edison Co.
3.50%	03/15/23¹		10,715,000		11,051,970
4.00%	04/15/25¹		35,719,000		37,652,573
4.30%	01/15/29¹		16,746,000		18,795,878
Minejesa Capital BV
(Netherlands)
5.63%	08/10/37^1,3		4,400,000		4,684,240
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%	05/07/29³		13,350,000		13,348,465
Narragansett Electric Co. (The)
3.40%	04/09/30¹		6,655,000		7,211,674
Pennsylvania Electric Co.
3.25%	03/15/28¹		125,000		132,225
4.15%	04/15/25¹		28,335,000		30,129,999
Public Service Co. of New Mexico
3.85%	08/01/25		14,390,000		15,436,590
Southwestern Electric Power Co.
3.55%	02/15/22		15,882,000		15,939,739
Southwestern Electric Power Co.,
Series K
2.75%	10/01/26		36,488,000		38,402,405
Tucson Electric Power Co.
4.85%	12/01/48		8,755,000		11,348,139

					596,265,270


Energy — 1.92%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/28¹		37,255,000		38,652,063
Energy Transfer LP
4.00%	10/01/27		29,583,000		32,660,222
4.20%	04/15/27		2,685,000		2,972,399
4.90%	03/15/35		5,160,000		5,940,949
4.95%	06/15/28		26,678,000		30,628,464
5.00%	05/15/50		37,560,000		43,412,460
5.15%	03/15/45		48,691,000		55,775,321
5.30%	04/01/44		6,630,000		7,694,915
5.35%	05/15/45		4,421,000		5,176,383
5.40%	10/01/47		135,238,000		161,428,213
5.50%	06/01/27		52,203,000		61,281,863
6.13%	12/15/45		16,239,000		20,687,446
Exxon Mobil Corp.
3.45%	04/15/51		7,866,000		8,378,096



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Energy (continued)
3.57%	03/06/45	$	1,433,000	$	1,572,956
4.11%	03/01/46		2,129,000		2,500,509
4.23%	03/19/40		86,653,000		102,963,568
4.33%	03/19/50		64,250,000		78,795,064
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%	03/31/34^1,3		19,293,000		18,989,592
Hess Corp.
4.30%	04/01/27		15,205,000		16,897,164
5.60%	02/15/41		53,009,000		66,043,034
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%	04/14/33^1,3		1,800,000		1,861,560
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%	04/14/33³		23,199,000		23,992,406
5.38%	04/24/30³		9,801,000		11,588,898
KazTransGas JSC,
Series REGS
(Kazakhstan)
4.38%	09/26/27³		6,350,000		7,011,035
Kinder Morgan Energy Partners LP
4.70%	11/01/42		2,171,000		2,488,380
5.00%	08/15/42		5,775,000		6,829,303
5.40%	09/01/44		5,000,000		6,258,119
Kinder Morgan, Inc.
5.55%	06/01/45		4,831,000		6,242,102
6.95%	06/01/28		5,465,000		6,795,024
Kinder Morgan, Inc.
(GMTN)
7.80%	08/01/31		150,000		214,305
Occidental Petroleum Corp.
0.00%	10/10/36¹⁰		60,128,000		33,220,720
4.50%	07/15/44		7,811,000		7,853,745
Pertamina Persero PT
(Indonesia)
3.10%	08/27/30^1,3		44,071,000		45,238,882
Petroleos Mexicanos
(Mexico)
6.63%	06/15/35³		14,192,000		13,535,620
6.75%	09/21/47³		148,565,000		129,801,241
6.95%	01/28/60³		34,555,000		30,068,033
7.69%	01/23/50³		56,333,000		53,418,612
Petronas Capital Ltd.
(Malaysia)
2.48%	01/28/32^1,3		13,050,000		13,028,989
3.50%	04/21/30^1,3		30,277,000		32,862,656
Petronas Capital Ltd.,
Series REGS (EMTN)
(Malaysia)
2.48%	01/28/32³		5,000,000		4,991,950
Phillips 66 Partners LP
4.90%	10/01/46		5,485,000		6,546,323
Piedmont Natural Gas Co., Inc.
2.50%	03/15/31		7,272,000		7,328,898



Issues	Maturity Date		Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Plains All American Pipeline LP/PAA Finance Corp.
3.55%		12/15/29	$	31,332,000	$	32,975,981
3.80%		09/15/30		8,920,000		9,529,840
4.50%		12/15/26		5,500,000		6,147,741
Rockies Express Pipeline LLC
4.80%		05/15/30¹		5,125,000		5,304,375
4.95%		07/15/29¹		84,805,000		88,328,808
6.88%		04/15/40¹		44,867,000		49,578,035
Ruby Pipeline LLC
8.00%		04/01/22^1,5,6		59,913,909		55,719,936
Saudi Arabian Oil Co.,
Series REGS
(Saudi Arabia)
1.63%		11/24/25³		6,500,000		6,510,400
Southern Co. Gas Capital Corp.
4.40%		05/30/47		50,000		59,034
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%		03/24/26³		21,442,000		25,338,011
TC PipeLines LP
4.38%		03/13/25		2,198,000		2,406,306
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26		28,675,000		29,463,563
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%		10/15/24^1,3		18,023,500		18,406,499
Transocean Pontus Ltd.
(Cayman Islands)
6.13%		08/01/25^1,3		16,392,220		16,444,019
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27^1,3		31,359,000		31,250,968
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24^1,3		36,056,900		36,224,384
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		04/01/26		8,570,000		8,934,241
6.88%		09/01/27		18,450,000		19,558,937

Williams Cos., Inc. (The)
5.40%		03/04/44		5,000,000		6,315,708
6.30%		04/15/40		16,815,000		22,938,020

						1,685,062,288


Finance — 3.76%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
3.30%		01/23/23³		16,075,000		16,573,951
3.50%		05/26/22³		24,610,000		25,011,951
3.50%		01/15/25³		2,815,000		2,963,640
3.65%		07/21/27³		16,845,000		17,905,224
3.88%		01/23/28³		5,015,000		5,357,205
3.95%		02/01/22³		103,630,000		104,502,795
4.45%		12/16/21³		20,560,000		20,657,646
4.63%		07/01/22³		3,030,000		3,122,315



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Finance (continued)
4.88%	01/16/24³	$	36,460,000	$	39,427,469
Air Lease Corp.
2.25%	01/15/23		18,850,000		19,265,892
3.00%	09/15/23		28,655,000		29,794,405
3.25%	03/01/25		19,930,000		21,079,921
3.25%	10/01/29		5,000,000		5,212,374
3.50%	01/15/22		48,195,000		48,613,202
3.75%	02/01/22		26,209,000		26,346,282
4.25%	09/15/24		5,554,000		6,025,675
4.63%	10/01/28		2,000,000		2,250,658
Air Lease Corp.
(MTN)
2.30%	02/01/25		35,195,000		36,164,061
2.88%	01/15/26		6,500,000		6,794,992
3.00%	02/01/30		2,000,000		2,033,391
4.25%	02/01/24		5,000,000		5,365,165
Alta Wind Holdings LLC
7.00%	06/30/35^1,5,6		3,544,997		4,172,258
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/27^1,3		165,175,000		162,587,175
2.88%	02/15/25^1,3		43,160,000		44,406,978
3.63%	05/01/22^1,3		15,545,000		15,779,386
3.95%	07/01/24^1,3		35,499,000		37,695,985
5.25%	05/15/24^1,3		22,545,000		24,651,672
Citigroup, Inc.
1.46%	06/09/27⁴		206,213,000		205,188,653
2.67%	01/29/31⁴		7,145,000		7,334,893
3.11%	04/08/26⁴		7,705,000		8,185,959
3.52%	10/27/28⁴		22,030,000		23,971,516
3.67%	07/24/28⁴		5,220,000		5,733,395
Daimler Finance North America LLC
1.75%	03/10/23¹		6,030,000		6,140,798
3.75%	11/05/21¹		5,103,000		5,118,484
(LIBOR USD 3-Month plus 0.90%)
1.02%	02/15/22^1,2		54,915,000		55,090,972
Discover Financial Services
3.85%	11/21/22		8,794,000		9,131,365
Ford Motor Credit Co. LLC
3.22%	01/09/22		107,389,000		107,791,709
3.34%	03/28/22		48,646,000		49,075,678
4.25%	09/20/22		19,823,000		20,298,752
5.60%	01/07/22		24,123,000		24,441,424
(LIBOR USD 3-Month plus 0.88%)
1.00%	10/12/21²		58,605,000		58,605,418
(LIBOR USD 3-Month plus 1.08%)
1.20%	08/03/22²		11,865,000		11,859,068
(LIBOR USD 3-Month plus 1.27%)
1.40%	03/28/22²		77,615,000		77,675,308
(LIBOR USD 3-Month plus 3.14%)
3.28%	01/07/22²		12,075,000		12,128,370
GE Capital Funding LLC
4.40%	05/15/30		48,145,000		55,814,145
GE Capital International Funding Co.
(Ireland)
4.42%	11/15/35³		380,052,000		456,526,482



Issues	Maturity Date		Principal Amount		Value

CORPORATES (continued)

Finance (continued)
General Motors Financial Co., Inc.
3.15%		06/30/22	$	11,161,000	$	11,355,059
3.45%		04/10/22		24,235,000		24,496,281
4.20%		11/06/21		132,055,000		132,504,192
Goldman Sachs Group, Inc. (The)
1.43%		03/09/27⁴		170,920,000		170,475,869
1.54%		09/10/27⁴		116,190,000		115,883,891
2.88%		10/31/22⁴		12,005,000		12,029,620
2.91%		06/05/23⁴		4,605,000		4,680,722
3.27%		09/29/25⁴		145,892,000		156,046,098
3.50%		04/01/25		42,324,000		45,501,449
3.85%		01/26/27		140,000		153,909
Goldman Sachs Group, Inc. (The),
Series FXD
0.48%		01/27/23		160,000		160,026
Intercontinental Exchange, Inc.
1.85%		09/15/32		1,080,000		1,021,419
Morgan Stanley
1.59%		05/04/27⁴		138,547,000		138,986,272
Morgan Stanley
(GMTN)
0.79%		01/22/25⁴		21,175,000		21,178,334
1.51%		07/20/27⁴		247,095,000		246,044,224
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23^1,3,4		11,735,000		11,940,121
3.77%		03/08/24^1,3,4		55,190,000		57,552,247
4.36%		08/01/24^1,3,4		104,478,000		111,225,329
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23^1,3		10,746,000		11,231,521
5.50%		02/15/24^1,3		26,855,000		29,313,020
Raymond James Financial, Inc.
4.95%		07/15/46		51,716,000		66,770,690

						3,302,424,350


Food — 0.46%
JBS USA LLC/JBS USA Finance, Inc.
(Canada)
6.75%		02/15/28^1,3		41,000,000		44,528,460
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/31^1,3		13,672,000		14,339,800
5.50%		01/15/30^1,3		38,255,000		42,595,795
6.50%		04/15/29^1,3		33,928,000		37,920,107
Kraft Heinz Foods Co.
3.00%		06/01/26		4,173,000		4,394,358
3.75%		04/01/30		5,250,000		5,702,140
4.25%		03/01/31		17,850,000		20,191,514
4.38%		06/01/46		882,000		1,007,072
4.63%		01/30/29		2,000,000		2,287,939
5.00%		07/15/35		34,157,000		42,098,502
5.00%		06/04/42		10,220,000		12,554,981
5.20%		07/15/45		23,261,000		29,184,083
6.50%		02/09/40		6,240,000		8,875,435



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Food (continued)
6.75%	03/15/32	$	3,475,000	$	4,746,484
Pilgrim’s Pride Corp.
3.50%	03/01/32¹		60,095,000		61,233,223
4.25%	04/15/31¹		1,429,000		1,529,059
5.88%	09/30/27¹		4,269,000		4,534,426
Post Holdings, Inc.
4.50%	09/15/31¹		10,565,000		10,480,999
4.63%	04/15/30¹		46,710,000		47,129,456
Smithfield Foods, Inc.
2.63%	09/13/31¹		7,835,000		7,641,649

					402,975,482


Gaming — 0.00%
MGM Resorts International
6.00%	03/15/23		30,000		31,761


Health Care — 3.04%
AbbVie, Inc.
4.05%	11/21/39		24,382,000		28,039,514
4.40%	11/06/42		62,889,000		75,155,199
4.45%	05/14/46		11,444,000		13,777,452
4.50%	05/14/35		49,065,000		58,713,566
4.55%	03/15/35		33,431,000		40,091,973
Aetna, Inc.
4.13%	11/15/42		6,375,000		7,279,370
Amgen, Inc.
4.40%	05/01/45		1,260,000		1,511,596
Bayer U.S. Finance II LLC
2.85%	04/15/25¹		2,805,000		2,886,928
3.95%	04/15/45¹		10,790,000		11,450,183
4.25%	12/15/25¹		19,992,000		22,109,112
4.38%	12/15/28¹		118,100,000		133,811,827
4.40%	07/15/44¹		59,691,000		67,199,089
4.63%	06/25/38¹		36,299,000		42,877,012
4.88%	06/25/48¹		93,846,000		115,035,400
5.50%	08/15/25¹		13,932,000		15,720,038
5.50%	07/30/35¹		3,820,000		4,760,507
Bayer U.S. Finance LLC
3.38%	10/08/24¹		2,055,000		2,190,463
Becton Dickinson and Co.
2.82%	05/20/30		14,175,000		14,857,608
3.36%	06/06/24		1,013,000		1,077,123
Catalent Pharma Solutions, Inc.
3.50%	04/01/30¹		28,525,000		28,489,344
Centene Corp.
2.45%	07/15/28		31,858,000		32,031,647
3.00%	10/15/30		132,991,000		136,482,014
4.25%	12/15/27		75,412,000		79,024,235
Cigna Corp.
3.20%	03/15/40		4,157,000		4,269,034
3.88%	10/15/47		27,722,000		30,890,251
4.50%	02/25/26		6,097,000		6,885,422
4.80%	08/15/38		26,478,000		32,431,328
4.80%	07/15/46		38,613,000		48,304,163
CommonSpirit Health
2.76%	10/01/24		11,198,000		11,783,719
2.78%	10/01/30		17,835,000		18,373,094



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
3.35%	10/01/29	$	52,258,000	$	56,199,333
4.35%	11/01/42		2,860,000		3,282,368
CVS Health Corp.
4.78%	03/25/38		23,581,000		28,941,541
4.88%	07/20/35		22,450,000		27,206,160
5.05%	03/25/48		110,010,000		141,925,729
5.13%	07/20/45		110,220,000		142,224,568
Elanco Animal Health, Inc.
5.27%	08/28/23		11,740,000		12,526,345
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%	06/30/28^1,3		57,365,000		41,446,212
Fresenius Medical Care U.S. Finance II, Inc.
5.88%	01/31/22¹		8,964,000		9,120,649
Fresenius Medical Care U.S. Finance III, Inc.
1.88%	12/01/26¹		67,592,000		67,930,354
HCA, Inc.
2.38%	07/15/31		10,563,000		10,391,396
4.13%	06/15/29		10,936,000		12,223,364
4.50%	02/15/27		9,356,000		10,538,248
4.75%	05/01/23		8,906,000		9,466,000
5.00%	03/15/24		52,796,000		57,944,977
5.25%	04/15/25		7,749,000		8,787,850
5.25%	06/15/26		45,878,000		52,685,933
5.25%	06/15/49		180,807,000		231,172,377
5.50%	06/15/47		43,055,000		56,153,623
HCRX Investments Holdco LP
4.50%	08/01/29¹		12,000,000		12,075,060
Humana, Inc.
0.65%	08/03/23		118,205,000		118,285,721
3.13%	08/15/29		19,729,000		21,048,906

Molina Healthcare, Inc.
3.88%	11/15/30¹		55,275,000		58,361,238
4.38%	06/15/28¹		43,654,000		45,462,466
5.38%	11/15/22		16,345,000		16,871,309

Mozart Debt Merger Sub, Inc.
3.88%	04/01/29¹		37,335,000		37,335,000

NYU Langone Hospitals,
Series 2020
3.38%	07/01/55		4,300,000		4,511,932

PerkinElmer, Inc.
0.55%	09/15/23		35,000,000		35,029,882
0.85%	09/15/24		32,870,000		32,871,492

Royalty Pharma PLC
(United Kingdom)
0.75%	09/02/23³		11,885,000		11,922,871
1.75%	09/02/27³		16,295,000		16,185,912

Teleflex, Inc.
4.25%	06/01/28¹		75,000		78,073

Thermo Fisher Scientific, Inc.
2.00%	10/15/31		16,825,000		16,485,953
UnitedHealth Group, Inc.
3.05%	05/15/41		45,240,000		46,879,716
3.25%	05/15/51		41,055,000		43,815,805
3.88%	08/15/59		8,072,000		9,541,426
4.25%	04/15/47		13,825,000		17,073,568



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
4.25%	06/15/48	$	8,475,000	$	10,436,121
Universal Health Services, Inc.
1.65%	09/01/26¹		45,000,000		44,751,685

					2,666,699,374


Industrials — 0.60%
Amcor Finance USA, Inc.
3.63%	04/28/26		11,781,000		12,854,860
Artera Services LLC
9.03%	12/04/25¹		16,115,000		17,500,128
Berry Global, Inc.
1.57%	01/15/26¹		61,040,000		61,094,522
4.88%	07/15/26¹		75,040,000		78,889,552
Boeing Co. (The)
1.17%	02/04/23		12,010,000		12,036,365
1.43%	02/04/24		174,540,000		174,800,325
4.88%	05/01/25		19,940,000		22,208,874
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.50%	05/05/26²		9,790,000		9,695,219
(LIBOR USD 3-Month plus 0.48%)
0.60%	08/15/36²		11,550,000		10,082,857
General Electric Co.,
Series A (MTN)
6.75%	03/15/32		39,263,000		53,753,897
General Electric Co.,
Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
1.13%	04/15/23²		10,789,000		10,878,385
Heathrow Funding Ltd.
(United Kingdom)
5.23%	02/15/23^1,3		34,415,000		49,079,660
L3Harris Technologies, Inc.
3.95%	05/28/24		12,890,000		13,820,061

					526,694,705


Information Technology — 0.44%
Amazon.com, Inc.
2.88%	05/12/41		19,740,000		20,387,352
3.10%	05/12/51		7,840,000		8,259,235
Fiserv, Inc.
3.20%	07/01/26		15,905,000		17,170,991
Intel Corp.
3.05%	08/12/51		38,200,000		38,259,441
3.73%	12/08/47		590,000		658,948
4.60%	03/25/40		7,760,000		9,712,290
Oracle Corp.
1.65%	03/25/26		8,440,000		8,561,631
2.30%	03/25/28		56,500,000		57,840,886
2.80%	04/01/27		4,700,000		4,981,370
2.88%	03/25/31		2,845,000		2,933,508
3.60%	04/01/40		12,483,000		12,965,043
3.60%	04/01/50		24,020,000		24,097,606
3.65%	03/25/41		86,945,000		90,450,169
3.85%	07/15/36		23,336,000		25,380,898



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Information Technology (continued)
3.95%	03/25/51	$	36,326,000	$	38,526,226
VMware, Inc.
1.00%	08/15/24		27,040,000		27,136,054

					387,321,648


Insurance — 0.88%
Athene Global Funding
1.61%	06/29/26¹		66,330,000		66,309,813
1.99%	08/19/28¹		11,040,000		10,918,279
(SOFR Rate plus 0.70%)
0.75%	05/24/24^1,2		146,955,000		147,682,066
Farmers Exchange Capital
7.05%	07/15/28¹		13,283,000		16,313,571
7.20%	07/15/48¹		18,415,000		26,789,671
Farmers Exchange Capital II
6.15%	11/01/53^1,4		48,520,000		62,466,756
Farmers Exchange Capital III
5.45%	10/15/54^1,4		64,140,000		79,575,326
Farmers Insurance Exchange
4.75%	11/01/57^1,4		18,570,000		21,110,201
Nationwide Mutual Insurance Co.
2.41%	12/15/24^1,4		35,439,000		35,481,073
New York Life Insurance Co.
3.75%	05/15/50¹		39,515,000		44,335,283
Protective Life Global Funding
1.90%	07/06/28¹		56,210,000		56,320,771
Teachers Insurance & Annuity Association of America
3.30%	05/15/50¹		135,965,000		143,164,670
4.27%	05/15/47¹		13,496,000		16,312,968
4.38%	09/15/54^1,4		35,635,000		37,380,842
Willis North America, Inc.
4.50%	09/15/28		5,079,000		5,812,517

					769,973,807


Materials — 0.23%
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
3.15%	01/14/30³		28,849,000		29,855,830
4.50%	09/16/25³		1,744,000		1,937,061
Indonesia Asahan Aluminium Persero PT
(Indonesia)
6.53%	11/15/28^1,3		9,000,000		10,980,000
Indonesia Asahan Aluminium Persero PT,
Series REGS
(Indonesia)
6.53%	11/15/28³		5,767,000		7,035,740
International Flavors & Fragrances, Inc.
2.30%	11/01/30¹		5,950,000		5,903,197
3.27%	11/15/40¹		6,000,000		6,208,810
5.00%	09/26/48		106,734,000		138,267,876

					200,188,514


Real Estate Investment Trust (REIT) — 0.98%
American Campus Communities Operating Partnership LP
3.30%	07/15/26		21,300,000		22,817,572
3.63%	11/15/27		7,095,000		7,769,947



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
3.75%	04/15/23	$	45,679,000	$	47,574,653
3.88%	01/30/31		9,260,000		10,351,400
4.13%	07/01/24		4,095,000		4,446,829
Boston Properties LP
3.25%	01/30/31		33,845,000		35,893,009
CyrusOne LP/CyrusOne Finance Corp.
2.15%	11/01/30		7,265,000		6,835,856
2.90%	11/15/24		86,883,000		91,160,250
3.45%	11/15/29		7,045,000		7,344,990
Federal Realty Investment Trust
7.48%	08/15/26		18,825,000		23,261,264
GLP Capital LP/GLP Financing II, Inc.
3.35%	09/01/24		33,037,000		35,045,187
4.00%	01/15/30		30,000		32,460
5.25%	06/01/25		75,515,000		84,299,660
5.30%	01/15/29		34,755,000		40,473,935
5.38%	11/01/23		36,796,000		39,738,273
5.38%	04/15/26		99,048,000		112,736,434
5.75%	06/01/28		34,128,000		40,083,336
Healthcare Realty Trust, Inc.
2.05%	03/15/31		5,590,000		5,444,431
3.88%	05/01/25		20,446,000		22,047,806
Healthcare Trust of America Holdings LP
2.00%	03/15/31		17,940,000		17,214,104
3.10%	02/15/30		5,095,000		5,365,551
3.75%	07/01/27		18,945,000		20,967,976
Hudson Pacific Properties LP
3.95%	11/01/27		12,607,000		13,815,960
4.65%	04/01/29		9,585,000		11,010,828
Kilroy Realty LP
3.45%	12/15/24		28,590,000		30,516,765
Life Storage LP
3.88%	12/15/27		6,960,000		7,820,021
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.50%	01/15/28		265,000		290,032
Mid-America Apartments LP
4.30%	10/15/23		9,636,000		10,267,690
SL Green Operating Partnership LP
3.25%	10/15/22		49,011,000		50,241,437
SL Green Realty Corp.
4.50%	12/01/22		15,845,000		16,382,997
Ventas Realty LP
3.50%	02/01/25		12,540,000		13,424,446
3.75%	05/01/24		9,705,000		10,330,656
4.00%	03/01/28		2,000,000		2,228,688
4.88%	04/15/49		7,980,000		9,980,164

					857,214,607


Retail — 0.21%
7-Eleven, Inc.
0.63%	02/10/23¹		58,715,000		58,730,151
(LIBOR USD 3-Month plus 0.45%)
0.58%	08/10/22^1,2		13,496,000		13,499,427



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Retail (continued)
Alimentation Couche-Tard, Inc.
(Canada)
3.55%	07/26/27^1,3	$	10,510,000	$	11,582,993
3.80%	01/25/50^1,3		23,032,000		24,628,302
Michaels Cos., Inc. (The)
5.25%	05/01/28¹		16,953,000		17,508,211
7.88%	05/01/29¹		54,456,000		56,660,107

					182,609,191


Services — 0.29%
DP World Crescent Ltd.
(Cayman Islands)
4.85%	09/26/28^1,3		7,600,000		8,680,720
IHS Markit Ltd.
(Bermuda)
4.00%	03/01/26^1,3		48,637,000		53,571,710
4.13%	08/01/23³		28,228,000		29,962,611
4.75%	02/15/25^1,3		49,035,000		54,309,695
4.75%	08/01/28³		2,767,000		3,243,201
5.00%	11/01/22^1,3		83,285,000		86,463,988
Waste Pro USA, Inc.
5.50%	02/15/26¹		16,958,000		17,151,151

					253,383,076


Transportation — 0.32%
American Airlines Pass-Through Trust,
Series 2013-1, Class A
4.00%	07/15/25		11,298,082		10,990,886
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%	10/15/29		16,706,596		17,051,320
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22		32,692,609		33,122,697
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%	04/19/22		107,107		107,961
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		84,755,816		84,752,551
Empresa de Transporte de Pasajeros Metro SA
(Chile)
3.65%	05/07/30^1,3		9,660,000		10,491,726
JetBlue Airways Pass-Through Trust,
Series 1A
4.00%	11/15/32		10,301,548		11,282,007
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%	04/01/22		1,089,006		1,116,626
SMBC Aviation Capital Finance DAC
(Ireland)
3.00%	07/15/22^1,3		20,315,000		20,677,723
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23		12,072,911		12,445,222



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Transportation (continued)
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23	$	2,355,674	$	2,503,515
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		30,359,353		32,137,312
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%	06/03/25		7,451		7,455
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%	08/15/25		12,301,739		13,229,133
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%	03/01/30		29,989,358		31,692,360

					281,608,494


Total Corporates
(Cost $19,901,846,011)					20,692,516,077


FOREIGN GOVERNMENT OBLIGATIONS — 0.97%

Foreign Government Obligations — 0.97%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%	09/30/29³		38,500,000		40,251,750
Brazilian Government International Bond
(Brazil)
2.88%	06/06/25³		24,818,000		25,418,595
3.88%	06/12/30³		22,393,000		21,744,443
4.63%	01/13/28³		7,438,000		7,852,297
Chile Government International Bond
(Chile)
2.45%	01/31/31³		18,300,000		18,161,469
3.24%	02/06/28³		11,022,000		11,738,375
Colombia Government International Bond
(Colombia)
3.00%	01/30/30³		51,601,000		48,778,426
3.13%	04/15/31³		9,100,000		8,543,080
4.50%	01/28/26³		24,105,000		25,864,725
Croatia Government International Bond,
Series REGS
(Croatia)
6.00%	01/26/24³		18,065,000		20,175,010
Dominican Republic International Bond
(Dominican Republic)
4.50%	01/30/30^1,3		25,047,000		25,562,968
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%	09/23/32³		19,530,000		19,971,378
Egypt Government International Bond
(Egypt)
7.60%	03/01/29^1,3		3,550,000		3,688,663



Issues	Maturity Date	Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)
Egypt Government International Bond,
Series REGS
(Egypt)
5.25%	10/06/25³	$	4,765,000	$	4,868,467
Indonesia Government International Bond
(Indonesia)
2.85%	02/14/30³		29,861,000		30,921,066
Mexico Government International Bond
(Mexico)
2.66%	05/24/31³		40,616,000		39,218,810
3.75%	01/11/28³		54,600,000		59,575,015
4.50%	04/22/29³		11,767,000		13,251,995
4.75%	04/27/32³		5,485,000		6,183,076
Panama Government International Bond
(Panama)
2.25%	09/29/32³		11,400,000		10,744,500
3.16%	01/23/30³		63,774,000		65,812,217
3.88%	03/17/28³		13,200,000		14,362,920
Paraguay Government International Bond
(Paraguay)
2.74%	01/29/33^1,3		9,800,000		9,444,750
4.95%	04/28/31^1,3		3,477,000		3,933,530
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%	06/23/30^1,3		17,340,000		17,943,432
Perusahaan Penerbit SBSN Indonesia III,
Series REGS
(Indonesia)
4.15%	03/29/27³		5,100,000		5,704,860
Peruvian Government International Bond
(Peru)
2.84%	06/20/30³		16,141,000		16,310,480
4.13%	08/25/27³		1,827,000		2,024,718
Philippine Government International Bond
(Philippines)
1.65%	06/10/31³		8,405,000		8,005,763
1.95%	01/06/32³		7,040,000		6,819,648
2.46%	05/05/30³		4,565,000		4,671,388
Qatar Government International Bond,
Series REGS
(Qatar)
3.75%	04/16/30³		23,550,000		26,573,820
4.50%	04/23/28³		35,053,000		40,942,570
Republic of South Africa Government International Bond
(South Africa)
4.30%	10/12/28³		25,307,000		25,462,195
4.85%	09/30/29³		29,185,000		30,050,700
5.75%	09/30/49³		2,700,000		2,579,094
Romanian Government International Bond,
Series REGS
(Romania)
3.00%	02/14/31³		26,000,000		26,598,000
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%	10/26/26³		29,155,000		31,487,400



Issues	Maturity Date	Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)
3.25%	10/22/30³	$	16,040,000	$	17,205,499
3.63%	03/04/28³		27,097,000		29,802,906
Uruguay Government International Bond
(Uruguay)
4.38%	01/23/31³		15,570,000		18,031,617


Total Foreign Government Obligations
(Cost $844,869,094)					846,281,615


MORTGAGE-BACKED — 38.62%**

Non-Agency Commercial Mortgage-Backed — 1.72%
ACRES Commercial Realty Corp.,
Series 2020-RSO9, Class C
(Cayman Islands)
(SOFR30A plus 4.36%)
4.41%	04/17/37^1,2,3		18,171,607		18,462,657
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.23%	08/10/38^1,4		122,930,000		139,620,516
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2018-TALL, Class C
(LIBOR USD 1-Month plus 1.12%)
1.20%	03/15/37^1,2		18,000,000		17,644,891
Benchmark Mortgage Trust,
Series 2018-B2, Class A5
3.88%	02/15/51⁴		7,085,000		7,963,816
BFLD Trust,
Series 2020-OBRK, Class A
(LIBOR USD 1-Month plus 2.05%)
2.13%	11/15/28^1,2		65,000,000		65,748,306
BGME Trust,
Series 2021-VR, Class A
3.09%	01/10/43^1,4		20,000,000		20,689,123
BGME Trust,
Series 2021-VR, Class B
3.09%	01/10/43^1,4		32,137,000		32,448,563
BX Commercial Mortgage Trust,
Series 2018-BIOA, Class E
(LIBOR USD 1-Month plus 1.95%)
2.04%	03/15/37^1,2		18,054,000		18,069,164
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(LIBOR USD 1-Month plus 0.92%)
1.00%	10/15/36^1,2		188,321,433		188,697,298
BX Commercial Mortgage Trust,
Series 2020-VIV4, Class A
2.84%	03/09/44¹		180,165,000		187,826,509
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/41¹		42,270,000		45,288,788
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/39¹		80,255,000		90,819,355
CALI Mortgage Trust,
Series 2019-101C, Class XA (IO)
0.44%	03/10/39^1,4		272,551,000		6,047,798



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%	11/13/39¹	$	32,645,000	$	34,483,377
Citigroup Commercial Mortgage Trust,
Series 2015-GC31, Class A4
3.76%	06/10/48		10,000,000		10,915,566
Commercial Mortgage Trust,
Series 2013-CR12, Class A4
4.05%	10/10/46		440,000		467,461
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
1.06%	05/15/36^1,2		14,000,000		14,033,595
DC Office Trust,
Series 2019-MTC, Class A
2.97%	09/15/45¹		31,135,000		33,041,284
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class A
3.67%	09/10/35^1,4		1,362,500		1,465,524
Fontainebleau Miami Beach Trust,
Series 2019-FBLU, Class A
3.14%	12/10/36¹		35,000,000		36,659,546
GS Mortgage Securities Corp. Trust,
Series 2019-BOCA, Class A
(LIBOR USD 1-Month plus 1.20%)
1.28%	06/15/38^1,2		10,000,000		10,021,827
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/39¹		84,915,000		91,963,004
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
3.04%	12/10/41^1,4		81,025,000		86,288,214
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2015-JP1, Class A5
3.91%	01/15/49		8,610,000		9,471,391
KKR Industrial Portfolio Trust,
Series 2020-AIP, Class F
(LIBOR USD 1-Month plus 3.43%)
3.51%	03/15/37^1,2		25,927,492		25,923,515
KNDL Mortgage Trust,
Series 2019-KNSQ, Class E
(LIBOR USD 1-Month plus 1.80%)
1.88%	05/15/36^1,2		26,449,000		26,481,212
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/54¹		147,667,000		152,543,902
Queens Center Mortgage Trust,
Series 2013-QCA, Class A
3.28%	01/11/37¹		15,810,000		16,573,048
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.96%	01/15/32^1,4		48,830,000		51,462,919
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A1
3.87%	01/05/43^1,4		56,465,000		58,584,710



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%	01/05/43^1,4	$	8,710,000	$	9,649,133

					1,509,356,012


Non-Agency Mortgage-Backed — 4.64%
1301 Properties Owner LP
2.08%	12/30/99		47,327,027		47,327,027
Adjustable Rate Mortgage Trust,
Series 2005-10, Class 6A1
(LIBOR USD 1-Month plus 0.54%)
0.63%	01/25/36²		229,181		228,053
Adjustable Rate Mortgage Trust,
Series 2006-3, Class 4A32
(LIBOR USD 1-Month plus 0.40%)
0.49%	08/25/36²		459,464		463,857
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		4,182		4,342
Alternative Loan Trust,
Series 2005-38, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.50%)
1.59%	09/25/35²		364,528		353,841
Alternative Loan Trust,
Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
1.09%	02/25/36²		40,687,828		39,649,870
Alternative Loan Trust,
Series 2005-84, Class 1A1
2.22%	02/25/36⁴		31,900		29,878
Alternative Loan Trust,
Series 2006-HY13, Class 4A1
3.05%	02/25/37⁴		1,090,486		1,097,363
Alternative Loan Trust,
Series 2006-OC5, Class 2A2A
(LIBOR USD 1-Month plus 0.34%)
0.43%	06/25/46²		2,755		2,764
Alternative Loan Trust,
Series 2007-J1, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
0.29%	03/25/37²		569,523		131,207
American Home Mortgage Assets Trust,
Series 2006-3, Class 2A12
(Federal Reserve US 12-Month Cumulative Average plus 1.15%)
1.24%	10/25/46²		36,840,436		30,603,608
American Home Mortgage Assets Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.13%)
0.21%	03/25/47²		35,775,872		34,067,302
American Home Mortgage Investment Trust,
Series 2004-3, Class 2A
(LIBOR USD 6-Month plus 1.50%)
1.65%	10/25/34²		4,263,524		4,364,040



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32	$	11,598	$	11,914
Banc of America Funding Trust,
Series 2006-D, Class 3A1
2.93%	05/20/36⁴		3,153,982		3,069,377
Banc of America Funding Trust,
Series 2006-E, Class 2A1
2.65%	06/20/36⁴		49,257		48,054
Banc of America Funding Trust,
Series 2006-G, Class 2A1
(LIBOR USD 1-Month plus 0.44%)
0.53%	07/20/36²		263,060		263,426
Banc of America Funding Trust,
Series 2006-H, Class 3A1
2.87%	09/20/46⁴		740,268		693,640
Banc of America Funding Trust,
Series 2015-R2, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
0.23%	08/27/36^1,2		9,101,471		8,900,764
Banc of America Funding Trust,
Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)
0.22%	10/26/36^1,2		22,706,899		22,623,326
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%	03/25/40^1,4		3,118,298		3,146,115
Banc of America Funding Trust,
Series 2016-R1, Class B2
3.50%	03/25/40^1,4		23,780,000		21,892,826
Banc of America Mortgage Trust,
Series 2004-F, Class 1A1
2.45%	07/25/34⁴		25,132		25,905
Banc of America Mortgage Trust,
Series 2005-C, Class 2A2
2.71%	04/25/35⁴		191,055		191,970
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		81,579		80,487
Banc of America Mortgage Trust,
Series 2007-1, Class 1A24
6.00%	03/25/37		444,761		425,703
Banc of America Mortgage Trust,
Series 2007-3, Class 1A1
6.00%	09/25/37		226,961		230,106
BCAP LLC Trust,
Series 2007-AA2, Class 2A5
6.00%	04/25/37		238,112		168,109
BCAP LLC Trust,
Series 2007-AA5, Class A1
(LIBOR USD 1-Month plus 1.30%)
1.39%	09/25/47²		16,158,303		15,926,977
Bear Stearns ALT-A Trust,
Series 2005-4, Class 22A2
2.76%	05/25/35⁴		10,216		10,242



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Bear Stearns ALT-A Trust,
Series 2005-7, Class 11A1
(LIBOR USD 1-Month plus 0.54%)
0.63%		08/25/35²	$	57,763	$	58,117
Bear Stearns ALT-A Trust,
Series 2006-4, Class 32A1
2.94%		07/25/36⁴		1,506,237		970,292
Bear Stearns ARM Trust,
Series 2004-1, Class 13A2
2.82%		04/25/34⁴		5,622		5,663
Bear Stearns ARM Trust,
Series 2004-10, Class 14A1
2.71%		01/25/35⁴		1,927,643		1,973,967
Bear Stearns ARM Trust,
Series 2006-4, Class 2A1
2.86%		10/25/36⁴		281,911		272,794
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
0.34%		08/25/20²		1,224,653		676,750
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%		03/25/36		282,058		295,234
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A1 (STEP-reset date 11/25/21)
5.50%		01/25/34		520,240		530,091
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A2 (STEP-reset date 11/25/21)
5.75%		01/25/34		469,031		478,047
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.18%)
0.27%		10/25/36²		1,277,985		1,215,313
Bear Stearns Mortgage Funding Trust,
Series 2006-AR5, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
0.25%		12/25/46²		16,953,617		15,776,403
Bear Stearns Mortgage Funding Trust,
Series 2007-AR5, Class 1A1A
(LIBOR USD 1-Month plus 0.17%)
0.26%		06/25/47²		353,787		340,313
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2
3.16%		09/25/36⁴		475,881		428,913
Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1
5.50%		11/25/21		1,416,461		885,829
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
2.44%		06/25/35⁴		1,104,223		1,129,965
ChaseFlex Trust,
Series 2005-2, Class 4A2
5.50%		05/25/20		290,182		172,637



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
ChaseFlex Trust,
Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)
0.29%		09/25/36²	$	6,031,345	$	5,199,247
CIM Trust,
Series 2018-R5, Class A1
3.75%		07/25/58^1,4		73,108,424		74,035,900
CIM Trust,
Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
1.16%		09/25/58^1,2		66,000,082		66,018,898
CIM Trust,
Series 2019-R1, Class A
3.25%		10/25/58^1,4		204,434,718		190,813,069
CIM Trust,
Series 2019-R3, Class A
2.63%		06/25/58^1,4		140,304,755		139,075,187
CIM Trust,
Series 2019-R4, Class A1
3.00%		10/25/59^1,4		129,989,023		132,241,044
CIM Trust,
Series 2020-R1, Class A1
2.85%		10/27/59^1,4		174,285,485		148,753,358
CIM Trust,
Series 2020-R3, Class A1A
4.00%		01/26/60^1,4		163,875,470		156,819,402
CIM Trust,
Series 2020-R4, Class A1A
3.30%		06/25/60^1,4		94,703,932		94,245,015
CIM Trust,
Series 2020-R6, Class A1A
2.25%		12/25/60^1,4		196,614,002		195,107,978
CIM Trust,
Series 2020-R7, Class A1A
2.25%		12/27/61^1,4		318,684,851		318,211,604
CIM Trust,
Series 2021-R1, Class A2
2.40%		08/25/56^1,4		119,629,125		119,750,848
CIM Trust,
Series 2021-R2, Class A2
2.50%		01/25/57^1,4		114,949,755		115,312,582
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/57^1,4		392,863,565		394,644,258
CIM Trust,
Series 2021-R4, Class A1A
2.00%		05/01/61^1,4		282,851,657		283,875,637
CIM Trust,
Series 2021-R5, Class A1A
2.00%		08/25/61^1,4		266,643,995		265,887,259
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%		02/25/35		120,926		124,250
Citigroup Mortgage Loan Trust,
Series 2006-AR2, Class 1A1
2.81%		03/25/36⁴		8,455,873		7,496,155



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.18%	06/25/36⁴	$	1,873,417	$	1,834,272
Citigroup Mortgage Loan Trust,
Series 2007-6, Class 1A4A
2.13%	03/25/37⁴		240,747		214,459
Citigroup Mortgage Loan Trust,
Series 2007-AR5, Class 1A1A
2.90%	04/25/37⁴		65,194		65,659
Citigroup Mortgage Loan Trust,
Series 2014-5, Class 2A2
(LIBOR USD 1-Month plus 1.75%)
1.99%	02/20/36^1,2		9,072,042		8,468,483
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
0.80%	03/25/47^1,2		4,695,671		4,668,768
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.00%	02/25/34⁴		14,803		14,854
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A
2.53%	10/25/35⁴		390,713		270,272
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
0.35%	11/25/35²		122,041		107,979
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2001-HYB1, Class 1A1
1.75%	06/19/31⁴		7,824		7,903
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2003-J8, Class 1A4
5.25%	09/25/23		34,919		35,318
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
2.44%	08/25/34⁴		620,726		620,726
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-25, Class 1A1
(LIBOR USD 1-Month plus 0.66%)
0.75%	02/25/35²		86,300		84,750
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-7, Class 2A1
2.46%	06/25/34⁴		60,625		62,031
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB3, Class 1A
2.44%	06/20/34⁴		10,224		10,661
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB4, Class 2A1
2.55%	09/20/34⁴		646,011		653,199
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-11, Class 1A2
3.20%	04/25/35⁴		640,795		647,837
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-31, Class 2A3
2.54%	01/25/36⁴		112,984		110,388



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
0.69%	05/25/35²	$	2,829,121	$	2,434,676
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HY5, Class 1A1
3.40%	09/25/47⁴		613,762		573,217
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HYB1, Class 1A1
3.20%	03/25/37⁴		1,062,169		937,029
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR20, Class 2A4
2.64%	08/25/33⁴		10,061		10,766
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-6, Class 8A1
4.50%	07/25/20		2,831		2,969
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates,
Series 2004-1, Class 2A1
6.50%	02/25/34		17,665		18,323
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates,
Series 2004-AR5, Class 6A1
2.36%	06/25/34⁴		72,759		76,901
Credit Suisse Mortgage Capital Trust,
Series 2006-2, Class 5A1
(LIBOR USD 1-Month plus 0.70%)
0.79%	03/25/36²		3,344,697		1,101,519
Credit Suisse Mortgage Capital Trust,
Series 2007-2, Class 3A4
5.50%	03/25/37		1,237,849		908,221
Credit Suisse Mortgage Capital Trust,
Series 2014-12R, Class 1A1
(LIBOR USD 1-Month plus 1.75%)
1.84%	08/27/36^1,2		1,042,299		1,050,292
Credit Suisse Mortgage Capital Trust,
Series 2015-6R, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
0.28%	11/27/46^1,2		4,141,454		4,118,691
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.43%	02/25/60^1,4		21,030,584		21,642,139
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR3, Class A1
(LIBOR USD 1-Month plus 0.38%)
0.47%	08/25/36²		2,577,830		2,510,299
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR4, Class A1
(LIBOR USD 1-Month plus 0.26%)
0.35%	12/25/36²		1,601,423		748,302
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR6, Class A6
(LIBOR USD 1-Month plus 0.38%)
0.47%	02/25/37²		488,931		478,728



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-3, Class 1A1
(LIBOR USD 1-Month plus 1.70%)
1.79%	10/25/47²	$	25,835,929	$	23,990,348
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-OA3, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.23%	07/25/47²		35,457,808		34,021,997
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2005-6, Class 1A7
5.50%	12/25/35		288,627		281,391
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2006-AR1, Class 2A1
2.87%	02/25/36⁴		626,828		555,410
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.72%)
0.81%	01/19/45²		1,529,216		1,334,758
DSLA Mortgage Loan Trust,
Series 2005-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.50%)
0.59%	02/19/45²		100,426		100,122
DSLA Mortgage Loan Trust,
Series 2005-AR3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
0.57%	07/19/45²		102,865		101,531
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.29%	10/19/36²		15,258,232		13,081,323
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
0.23%	03/19/37²		6,771,765		6,377,917
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA2, Class 1A1
2.20%	08/25/34⁴		4,541,981		4,566,458
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.28%	09/25/34⁴		14,016		14,001
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA4, Class A1
2.34%	10/25/34⁴		796,015		829,349
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
2.51%	12/25/35⁴		9,381,346		8,965,001
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
2.45%	02/25/36⁴		11,139,070		9,121,385
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA4, Class 2A1
2.39%	06/25/35⁴		9,787,652		9,601,108
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
2.34%	09/25/35⁴		8,275,589		8,128,400



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
2.27%	10/25/35⁴	$	10,825,363	$	8,418,291
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
2.34%	11/25/35⁴		11,420,376		10,417,324
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA1, Class 1A1
2.33%	03/25/36⁴		12,096,412		9,959,616
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA8, Class 1A7
6.00%	02/25/37		8,863		5,382
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR6, Class 2A1
3.27%	12/25/34⁴		93,833		96,683
First Horizon Mortgage Pass-Through Trust,
Series 2006-AR4, Class 1A2
2.89%	01/25/37⁴		61,711		48,787
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR3, Class 1A1
2.76%	11/25/37⁴		112,824		78,616
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR6, Class 3A1
2.96%	11/19/35⁴		352,896		356,172
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR2, Class 1A1
2.66%	05/19/36⁴		1,557,967		931,860
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.48%)
0.57%	08/25/45²		1,051,648		1,023,352
GreenPoint Mortgage Funding Trust,
Series 2005-AR4, Class G41B
(LIBOR USD 1-Month plus 0.20%)
0.29%	10/25/45²		12,311,797		11,600,901
GS Mortgage-Backed Securities Trust,
Series 2018-RPL1, Class A1A
3.75%	10/25/57¹		30,209,537		30,744,545
GSR Mortgage Loan Trust,
Series 2004-9, Class 3A1
2.59%	08/25/34⁴		2,016		2,023
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
2.20%	08/25/34⁴		110,409		111,555
GSR Mortgage Loan Trust,
Series 2005-AR5, Class 2A3
2.63%	10/25/35⁴		2,057,517		1,449,517
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 4A5
2.80%	09/25/35⁴		54,814		55,907
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 2A1
2.79%	05/25/37⁴		1,520,091		1,158,844
HarborView Mortgage Loan Trust,
Series 2004-1, Class 2A
2.12%	04/19/34⁴		3,810		3,782



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust,
Series 2004-11, Class 3A2A
(LIBOR USD 1-Month plus 0.68%)
0.77%	01/19/35²	$	215,983	$	206,287
HarborView Mortgage Loan Trust,
Series 2004-3, Class 1A
2.71%	05/19/34⁴		42,711		43,424
HarborView Mortgage Loan Trust,
Series 2004-5, Class 2A6
2.40%	06/19/34⁴		1,575		1,654
HarborView Mortgage Loan Trust,
Series 2005-3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
0.57%	06/19/35²		245,883		247,143
HarborView Mortgage Loan Trust,
Series 2005-4, Class 2A
2.59%	07/19/35⁴		36,322		32,909
HarborView Mortgage Loan Trust,
Series 2006-10, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
0.29%	11/19/36²		58,148,748		53,538,291
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.42%)
0.51%	09/19/46²		61,764,545		59,726,389
HarborView Mortgage Loan Trust,
Series 2007-7, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
1.09%	10/25/37²		21,051,711		19,586,979
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
1.09%	10/25/37²		17,081,617		17,299,688
Impac CMB Trust,
Series 2004-8, Class 2A1
(LIBOR USD 1-Month plus 0.70%)
0.79%	10/25/34²		146,661		149,364
Impac CMB Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
0.61%	04/25/35²		2,594,603		2,534,663
Impac CMB Trust,
Series 2005-4, Class 1A1B
(LIBOR USD 1-Month plus 0.17%)
0.34%	05/25/35²		3,215,142		3,020,221
Impac Secured Assets Corp.,
Series 2004-3, Class M1
(LIBOR USD 1-Month plus 0.90%)
0.99%	11/25/34²		60,610		60,976
Impac Secured Assets Corp.,
Series 2004-4, Class M3
(LIBOR USD 1-Month plus 0.90%)
0.99%	02/25/35²		143,713		144,147



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Impac Secured Assets Trust,
Series 2006-3, Class A1
(LIBOR USD 1-Month plus 0.34%)
0.43%	11/25/36²	$	5,681,684	$	5,316,259
Impac Secured Assets Trust,
Series 2006-5, Class 1A1C
(LIBOR USD 1-Month plus 0.27%)
0.36%	02/25/37²		9,103,054		8,715,578
Impac Secured Assets Trust,
Series 2007-2, Class 1A1A
(LIBOR USD 1-Month plus 0.11%)
0.20%	05/25/37²		4,569,536		3,861,732
Impac Secured Assets Trust,
Series 2007-2, Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
0.34%	05/25/37²		43,366,568		36,788,337
IndyMac Index Mortgage Loan Trust,
Series 2004-AR4, Class 1A
2.73%	08/25/34⁴		921,649		924,094
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1B
(LIBOR USD 1-Month plus 0.80%)
0.89%	08/25/34²		15,878		15,252
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
0.95%	09/25/34²		43,413		41,887
IndyMac Index Mortgage Loan Trust,
Series 2005-AR1, Class 4A1
2.96%	03/25/35⁴		269,855		275,166
IndyMac Index Mortgage Loan Trust,
Series 2005-AR17, Class 3A1
2.78%	09/25/35⁴		3,416,719		2,804,545
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
2.76%	10/25/35⁴		20,399,034		19,440,167
IndyMac Index Mortgage Loan Trust,
Series 2005-AR31, Class 3A1
2.77%	01/25/36⁴		709,639		708,344
IndyMac Index Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
(LIBOR USD 1-Month plus 0.48%)
0.57%	04/25/35²		443,525		406,403
IndyMac Index Mortgage Loan Trust,
Series 2006-AR19, Class 1A2
3.01%	08/25/36⁴		11,974,740		8,943,276
IndyMac Index Mortgage Loan Trust,
Series 2006-AR21, Class A1
(LIBOR USD 1-Month plus 0.24%)
0.33%	08/25/36²		123,194		122,140
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 2A2
(LIBOR USD 1-Month plus 0.40%)
0.49%	10/25/36²		15,630,421		15,417,482



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2006-AR35, Class 2A3A
(LIBOR USD 1-Month plus 0.20%)
0.29%	01/25/37²	$	36,465,032	$	36,424,038
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1
2.78%	05/25/36⁴		3,407,346		3,330,767
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 2A1
2.96%	05/25/36⁴		21,299,375		16,701,466
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 1A2
3.01%	03/25/37⁴		436,984		415,627
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
2.75%	06/25/37⁴		2,870,676		2,792,730
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
2.65%	11/25/37⁴		1,912,437		1,869,449
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 2A1
2.92%	05/25/36⁴		495,974		385,628
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 5A1
3.01%	05/25/36⁴		5,063,377		3,594,650
JPMorgan Mortgage Trust,
Series 2003-A2, Class 2A3
1.76%	11/25/33⁴		66,535		66,645
JPMorgan Mortgage Trust,
Series 2004-A4, Class 1A3
2.24%	09/25/34⁴		190,795		188,678
JPMorgan Mortgage Trust,
Series 2005-A5, Class TA1
2.55%	08/25/35⁴		85,044		87,622
JPMorgan Mortgage Trust,
Series 2005-S2, Class 4A3
5.50%	09/25/20		1,645,817		1,426,597
JPMorgan Mortgage Trust,
Series 2006-A2, Class 5A3
2.36%	11/25/33⁴		2,780		2,806
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
2.92%	05/25/36⁴		613,730		565,542
JPMorgan Mortgage Trust,
Series 2006-A3, Class 3A3
3.06%	05/25/36⁴		414,863		377,287
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
2.88%	06/25/36⁴		335,128		292,207
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A4
2.88%	06/25/36⁴		1,080,345		932,796
JPMorgan Mortgage Trust,
Series 2006-A5, Class 2A4
2.72%	08/25/36⁴		320,042		297,849



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
2.50%	07/25/35⁴	$	995,569	$	1,023,812
JPMorgan Mortgage Trust,
Series 2007-A3, Class 2A3
2.66%	05/25/37⁴		1,730,205		1,526,331
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
3.13%	05/25/37⁴		282,608		286,779
JPMorgan Mortgage Trust,
Series 2007-A4, Class 1A1
3.23%	06/25/37⁴		2,454,793		2,220,460
JPMorgan Mortgage Trust,
Series 2007-A4, Class 2A3
3.05%	06/25/37⁴		361,335		321,810
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
0.39%	11/25/35²		4,151,882		4,138,828
Lehman XS Trust,
Series 2005-7N, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
0.63%	12/25/35²		322,989		320,863
Lehman XS Trust,
Series 2006-12N, Class A31A
(LIBOR USD 1-Month plus 0.40%)
0.49%	08/25/46²		10,567,086		10,651,868
Lehman XS Trust,
Series 2006-14N, Class 3A2
(LIBOR USD 1-Month plus 0.24%)
0.33%	08/25/36²		31,467		35,983
Lehman XS Trust,
Series 2007-4N, Class 1A3
(LIBOR USD 1-Month plus 0.24%)
0.33%	03/25/47²		20,702,270		20,673,728
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.02%	01/25/34⁴		23,057		24,686
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
1.91%	11/25/33⁴		484,588		485,578
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
2.73%	11/21/34⁴		2,440,249		2,484,065
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 9A1
2.77%	10/25/34⁴		183,630		187,876
MASTR Adjustable Rate Mortgages Trust,
Series 2004-8, Class 2A1
2.38%	09/25/34⁴		1,711,235		1,715,931
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 5A1
2.85%	05/25/36⁴		5,657,665		3,651,404
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.47%	10/25/32⁴		8,684		9,113



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates,
Series 2001-TBC1, Class A1
(LIBOR USD 1-Month plus 0.70%)
0.78%	11/15/31²	$	741,672	$	760,483
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
2.37%	10/25/33⁴		223,029		224,813
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
2.62%	08/25/34⁴		951,562		957,097
Merrill Lynch Mortgage Investors Trust,
Series 2005-A10, Class A
(LIBOR USD 1-Month plus 0.42%)
0.51%	02/25/36²		6,718		6,643
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.40%)
2.48%	08/25/36²		2,745,192		2,613,050
Morgan Stanley Mortgage Loan Trust,
Series 2004-11AR, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.41%	01/25/35²		89,959		87,311
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.05%	09/25/34⁴		505,587		503,503
Morgan Stanley Mortgage Loan Trust,
Series 2005-2AR, Class A
(LIBOR USD 1-Month plus 0.26%)
0.35%	04/25/35²		1,360,812		1,330,055
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/36⁴		712,699		291,164
Morgan Stanley Mortgage Loan Trust,
Series 2007-6XS, Class 1A2S (STEP-reset date 11/25/21)
5.50%	02/25/47		40,698		40,663
Morgan Stanley Resecuritization Trust,
Series 2014-R4, Class 2A
2.56%	08/26/34^1,4		35,406		35,668
Morgan Stanley Resecuritization Trust,
Series 2014-R8, Class 3A
(Federal Reserve US 12-Month Cumulative Average plus 0.75%)
0.85%	06/26/47^1,2		2,928,758		2,936,096
Morgan Stanley Resecuritization Trust,
Series 2015-R4, Class 2A
(LIBOR USD 1-Month plus 0.40%)
0.88%	08/26/47^1,2		1,637,053		1,639,718
MortgageIT Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
0.73%	02/25/35²		2,924,996		2,944,703



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
MortgageIT Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.65%	10/25/35²	$	3,146,768	$	3,136,957
MortgageIT Trust,
Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.52%)
0.61%	12/25/35²		584,480		590,234
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 11/25/21)
3.00%	07/25/59¹		57,595,494		57,911,595
Popular ABS, Inc.,
Series 1998-1, Class A2 (STEP-reset date 11/25/21)
7.48%	11/25/29		46,823		46,834
Residential Accredit Loans Trust,
Series 2005-QA12, Class CB1
3.51%	12/25/35⁴		3,835,884		2,232,158
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.26%	04/25/35⁴		147,334		132,714
Residential Accredit Loans Trust,
Series 2005-QA7, Class A1
3.35%	07/25/35⁴		2,538,026		2,156,000
Residential Accredit Loans Trust,
Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
1.09%	01/25/46²		4,330,465		4,061,931
Residential Accredit Loans Trust,
Series 2006-QA1, Class A11
4.01%	01/25/36⁴		106,268		92,749
Residential Accredit Loans Trust,
Series 2006-QA1, Class A21
4.31%	01/25/36⁴		10,177,026		9,092,014
Residential Accredit Loans Trust,
Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.37%)
0.45%	08/25/36²		17,607,064		17,033,490
Residential Accredit Loans Trust,
Series 2006-QS10, Class AV (IO)
0.57%	08/25/36^4,5,6		17,992,422		360,424
Residential Accredit Loans Trust,
Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)
0.47%	09/25/36²		162,462		128,145
Residential Accredit Loans Trust,
Series 2006-QS2, Class 1AV (IO)
0.47%	02/25/36^4,5,6		62,507,405		853,132
Residential Accredit Loans Trust,
Series 2006-QS7, Class AV (IO)
0.67%	06/25/36^4,5,6		29,240,853		390,558
Residential Accredit Loans Trust,
Series 2006-QS8, Class AV (IO)
0.78%	08/25/36^4,5,6		69,068,946		1,617,609



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2007-QS10, Class AV (IO)
0.47%	09/25/37^4,5,6	$	54,525,614	$	1,004,951
Residential Accredit Loans Trust,
Series 2007-QS4, Class 3AV (IO)
0.37%	03/25/37^4,5,6		35,322,390		434,367
Residential Accredit Loans Trust,
Series 2007-QS5, Class AV (IO)
0.28%	03/25/37^4,5,6		36,882,564		316,722
Residential Accredit Loans Trust,
Series 2007-QS6, Class AV (IO)
0.33%	04/25/37^4,5,6		78,239,033		721,849
Residential Accredit Loans Trust,
Series 2007-QS7, Class 2AV (IO)
0.38%	06/25/37^4,5,6		26,727,750		311,809
Residential Accredit Loans Trust,
Series 2007-QS8, Class AV (IO)
0.42%	06/25/37^4,5,6		68,686,065		1,068,072
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
2.77%	12/25/34⁴		200,482		202,118
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
2.85%	12/25/34⁴		11,518		11,426
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
2.55%	12/25/34⁴		304,289		322,648
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%	07/25/36		1,802,939		1,788,382
Residential Funding Mortgage Securities Trust,
Series 2005-SA5, Class 1A
3.11%	11/25/35⁴		2,998,978		2,121,285
Residential Funding Mortgage Securities Trust,
Series 2006-SA3, Class 3A1
4.14%	09/25/36⁴		349,042		327,663
Residential Funding Mortgage Securities Trust,
Series 2006-SA3, Class 4A1
4.78%	09/25/36⁴		10,447		8,168
Residential Funding Mortgage Securities Trust,
Series 2006-SA4, Class 2A1
4.60%	11/25/36⁴		53,800		52,442
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 2A2
3.29%	04/25/37⁴		1,160,763		1,068,984
Sequoia Mortgage Trust,
Series 2003-2, Class A1
(LIBOR USD 1-Month plus 0.66%)
0.75%	06/20/33²		33,064		33,133
Sequoia Mortgage Trust,
Series 2003-8, Class A1
(LIBOR USD 1-Month plus 0.64%)
0.73%	01/20/34²		1,104		1,092



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Sequoia Mortgage Trust,
Series 2004-3, Class A
(LIBOR USD 6-Month plus 0.50%)
0.72%	05/20/34²	$	199,345	$	200,108
Sequoia Mortgage Trust,
Series 2004-4, Class A
(LIBOR USD 6-Month plus 0.52%)
0.74%	05/20/34²		83,889		81,842
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 3A3
2.43%	02/25/34⁴		18,705		18,548
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
2.66%	09/25/34⁴		3,455,634		3,512,204
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 1A
2.68%	10/25/34⁴		78,829		78,829
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 2A
2.44%	10/25/34⁴		4,197,257		4,288,722
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
2.54%	10/25/34⁴		1,468,943		1,411,892
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-17, Class A1
1.24%	11/25/34⁴		28,655		27,833
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-20, Class 1A2
2.79%	01/25/35⁴		385,003		397,047
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
2.52%	06/25/35⁴		1,016,356		979,918
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-18, Class 7A3
2.77%	09/25/35⁴		11,959,732		9,178,278
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-12, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.41%	01/25/37²		18,893,685		19,184,031
Structured Adjustable Rate Mortgage Loan Trust,
Series 2007-9, Class 2A1
3.15%	10/25/47⁴		543,598		435,264
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A1A
(LIBOR USD 1-Month plus 0.56%)
0.65%	02/25/36²		466,055		450,702
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		15,034,018		15,022,031
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1A
(LIBOR USD 1-Month plus 0.42%)
0.51%	08/25/36²		17,276,794		17,166,262



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments II Trust,
Series 2006-AR8, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
0.21%	10/25/36²	$	15,989,281	$	15,387,376
Structured Asset Mortgage Investments II Trust,
Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative Average plus1.50%)
1.59%	08/25/47²		105,212,524		102,629,915
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 1997-2, Class 2A4
7.25%	03/28/30		544		569
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-26A, Class 3A5
2.23%	09/25/33⁴		101,860		106,156
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-34A, Class 5A4
2.45%	11/25/33⁴		818,759		832,488
Structured Asset Securities Corp. Trust,
Series 2005-5, Class 2A4
5.50%	04/25/35		1,135,884		1,134,800
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-3, Class 1A1
2.67%	06/25/37⁴		1,654,739		1,326,209
Thornburg Mortgage Securities Trust,
Series 2004-4, Class 2A
2.01%	12/25/44⁴		72,439		72,643
Wachovia Mortgage Loan Trust,
Series 2006-ALT1, Class A3
(LIBOR USD 1-Month plus 0.46%)
0.55%	01/25/37²		12,195,674		6,529,866
Wachovia Mortgage Loan Trust,
Series 2006-AMN1, Class A3
(LIBOR USD 1-Month plus 0.48%)
0.57%	08/25/36²		14,998,640		6,948,618
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
2.56%	06/25/33⁴		2,083,753		2,177,584
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR3, Class A2
2.58%	06/25/34⁴		19,257		19,968
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.84%)
0.93%	05/25/44²		385,117		389,834
WaMu Mortgage Pass-Through Certificates,
Series 2005-3, Class 2A3
(LIBOR USD 1-Month plus 0.55%)
0.64%	05/25/35²		1,923,665		1,643,652
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
0.59%	06/25/35²		3,504,677		2,991,120



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 0.64%)
0.73%	01/25/45²	$	438,596	$	436,548
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR11, Class A1A
(LIBOR USD 1-Month plus 0.64%)
0.73%	08/25/45²		21,554,276		21,636,355
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
2.81%	10/25/35⁴		716,401		724,071
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.58%)
0.67%	10/25/45²		3,242,926		3,260,687
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
2.99%	12/25/35⁴		2,784,409		2,882,421
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A1
(LIBOR USD 1-Month plus 0.52%)
0.61%	11/25/45²		18,128,012		17,871,454
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR17, Class A1A1
(LIBOR USD 1-Month plus 0.54%)
0.63%	12/25/45²		9,160,083		8,931,284
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR19, Class A1A2
(LIBOR USD 1-Month plus 0.58%)
0.67%	12/25/45²		9,431,588		9,470,438
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 1A1A
(LIBOR USD 1-Month plus 0.66%)
0.75%	01/25/45²		10,482,047		10,543,854
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.62%)
0.71%	01/25/45²		641,633		640,849
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
0.75%	01/25/45²		54,567		54,781
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A23
(LIBOR USD 1-Month plus 0.76%)
0.85%	01/25/45²		2,278,436		2,293,004
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.46%)
0.55%	04/25/45²		89,427		88,838
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
0.63%	07/25/45²		104,699		103,597



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%)
1.16%	01/25/46²	$	17,238,852	$	17,299,057
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR10, Class 1A4
2.86%	09/25/36⁴		8,840,632		8,886,262
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
3.11%	12/25/36⁴		474,373		471,936
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
1.09%	02/25/46²		10,659,433		10,429,377
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.94%)
1.04%	05/25/46²		3,643,703		3,636,443
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus 0.98%)
1.07%	07/25/46²		7,509,996		7,138,543
WaMu Mortgage Pass-Through Certificates,
Series 2007-1, Class 2A1
6.00%	01/25/22		66,533		68,392
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
3.10%	07/25/37⁴		187,961		191,229
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
0.79%	02/25/47²		9,282,395		8,831,563
WaMu MSC Mortgage Pass-Through Certificates,
Series 2002-AR1, Class 1A1
3.02%	11/25/30⁴		190,061		195,817
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		110,616		110,264
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR1, Class 1A1
2.65%	03/25/36⁴		1,571,958		1,548,817

					4,077,134,507


U.S. Agency Commercial Mortgage-Backed — 0.00%
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K154, Class A2
3.42%	04/25/32		750,000		850,661



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	$	147,655
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K157, Class A3
3.99%	08/25/33⁴		300,000		361,393

					1,359,709


U.S. Agency Mortgage-Backed — 32.26%
Fannie Mae Pool 190375
5.50%	11/01/36		470,756		547,028
Fannie Mae Pool 190396
4.50%	06/01/39		6,527		7,290
Fannie Mae Pool 254232
6.50%	03/01/22		408		410
Fannie Mae Pool 313182
7.50%	10/01/26		735		799
Fannie Mae Pool 394854
6.50%	05/01/27		445		500
Fannie Mae Pool 545191
7.00%	09/01/31		1,880		2,131
Fannie Mae Pool 545756
7.00%	06/01/32		415		494
Fannie Mae Pool 606108
7.00%	03/01/31		2,120		2,143
Fannie Mae Pool 613142
7.00%	11/01/31		7,383		8,663
Fannie Mae Pool 625666
7.00%	01/01/32		6,572		7,433
Fannie Mae Pool 633698
7.50%	02/01/31		24,911		29,367
Fannie Mae Pool 655928
7.00%	08/01/32		98,539		117,718
Fannie Mae Pool 725257
5.50%	02/01/34		638,880		737,608
Fannie Mae Pool 734830
4.50%	08/01/33		8,317		9,219
Fannie Mae Pool 734922
4.50%	09/01/33		1,133,559		1,267,137
Fannie Mae Pool 735207
7.00%	04/01/34		13,703		15,906
Fannie Mae Pool 735224
5.50%	02/01/35		2,269,635		2,622,270
Fannie Mae Pool 735651
4.50%	06/01/35		2,499,967		2,809,929
Fannie Mae Pool 735686
6.50%	12/01/22		60		61
Fannie Mae Pool 740297
5.50%	10/01/33		1,388		1,603
Fannie Mae Pool 745147
4.50%	12/01/35		15,561		17,309
Fannie Mae Pool 753168
4.50%	12/01/33		5,892		6,552



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 815422
4.50%	02/01/35	$	26,652	$	29,580
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
2.29%	11/01/35²		3,588		3,587
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.53%)
1.99%	12/01/35²		2,990		3,013
Fannie Mae Pool 888412
7.00%	04/01/37		190,469		217,414
Fannie Mae Pool 889184
5.50%	09/01/36		2,269,444		2,622,845
Fannie Mae Pool AB1613
4.00%	10/01/40		20,223,391		22,595,444
Fannie Mae Pool AB1803
4.00%	11/01/40		25,327,866		28,324,413
Fannie Mae Pool AB2127
3.50%	01/01/26		7,926,612		8,467,031
Fannie Mae Pool AB3679
3.50%	10/01/41		8,430,946		9,228,075
Fannie Mae Pool AB3864
3.50%	11/01/41		6,662,814		7,324,233
Fannie Mae Pool AB4045
3.50%	12/01/41		8,300,113		9,186,164
Fannie Mae Pool AB4262
3.50%	01/01/32		4,264,294		4,577,912
Fannie Mae Pool AB6385
3.00%	10/01/42		251,677		268,380
Fannie Mae Pool AB9703
3.50%	06/01/43		15,762,285		17,003,507
Fannie Mae Pool AC8279
4.50%	08/01/39		11,170		12,432
Fannie Mae Pool AE0138
4.50%	03/01/40		39,948		44,607
Fannie Mae Pool AE0482
5.50%	01/01/38		5,474,830		6,270,138
Fannie Mae Pool AH3780
4.00%	02/01/41		10,178,067		11,472,132
Fannie Mae Pool AJ1404
4.00%	09/01/41		13,428,582		14,877,907
Fannie Mae Pool AL0209
4.50%	05/01/41		15,661,298		17,640,406
Fannie Mae Pool AL0851
6.00%	10/01/40		9,206,954		10,768,994
Fannie Mae Pool AL2521
3.50%	09/01/42		104,832		113,788
Fannie Mae Pool AL4597
4.00%	01/01/44		39,502,193		44,214,205
Fannie Mae Pool AL6348
3.50%	02/01/45		35,337		38,229
Fannie Mae Pool AL7092
3.00%	07/01/45		51,029		55,061
Fannie Mae Pool AL8037
4.50%	07/01/34		145,489		159,433
Fannie Mae Pool AL8256
3.00%	08/01/43		472,375		512,207



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL8356
4.50%	07/01/34	$	356,869	$	389,269
Fannie Mae Pool AL8960
4.50%	05/01/46		26,171,181		29,119,676
Fannie Mae Pool AL9106
4.50%	02/01/46		35,705,754		39,728,432
Fannie Mae Pool AL9217
3.50%	10/01/46		22,574,328		24,582,434
Fannie Mae Pool AL9472
4.00%	10/01/43		5,497,248		6,054,528
Fannie Mae Pool AL9722
4.50%	08/01/46		107,484,484		119,593,887
Fannie Mae Pool AL9846
4.50%	02/01/47		111,752,907		124,343,198
Fannie Mae Pool AM4869
4.07%	12/01/25		1,731,274		1,923,734
Fannie Mae Pool AM6770
3.77%	09/01/29		159,725		181,118
Fannie Mae Pool AN4429
3.22%	01/01/27		23,130,000		25,396,998
Fannie Mae Pool AN7981
2.95%	01/01/28		100,000		108,883
Fannie Mae Pool AN9814
3.63%	08/01/28		129,464,216		145,771,119
Fannie Mae Pool AS8605
3.00%	01/01/32		166,334		177,108
Fannie Mae Pool AS8663
4.50%	01/01/47		21,792,033		23,871,689
Fannie Mae Pool AS9830
4.00%	06/01/47		40,099,348		43,218,364
Fannie Mae Pool AS9972
4.00%	07/01/47		35,681,864		38,457,278
Fannie Mae Pool AT9649
4.00%	07/01/43		166,667		187,845
Fannie Mae Pool AU3739
3.50%	08/01/43		28,281,283		31,316,726
Fannie Mae Pool BD2450
3.50%	01/01/47		59,044		62,972
Fannie Mae Pool BL6060
2.46%	04/01/40		126,370,000		130,151,899
Fannie Mae Pool BM4299
3.00%	03/01/30		32,815,512		34,526,412
Fannie Mae Pool BM4304
3.00%	02/01/30		44,011,302		46,286,862
Fannie Mae Pool BM5164
4.00%	11/01/48		43,362,397		47,425,820
Fannie Mae Pool BM5507
3.00%	09/01/48		7,663,307		8,105,323
Fannie Mae Pool BN4316
4.00%	01/01/49		26,740		28,905
Fannie Mae Pool CA0862
3.50%	09/01/47		3,327,071		3,535,939
Fannie Mae Pool CA0996
3.50%	01/01/48		42,677		46,108
Fannie Mae Pool CA1187
3.50%	02/01/48		56,736,277		60,379,896



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA1191
3.50%	11/01/47	$	3,906,315	$	4,146,664
Fannie Mae Pool CA1710
4.50%	05/01/48		135,218		146,635
Fannie Mae Pool CA1711
4.50%	05/01/48		13,043,388		14,150,576
Fannie Mae Pool CA2208
4.50%	08/01/48		31,581,963		34,265,964
Fannie Mae Pool CA2327
4.00%	09/01/48		33,447,615		36,851,429
Fannie Mae Pool CA2493
4.50%	10/01/48		8,151,494		8,808,790
Fannie Mae Pool CA3633
3.50%	06/01/49		25,178,911		27,238,207
Fannie Mae Pool CA4011
3.50%	08/01/49		27,482,271		28,683,684
Fannie Mae Pool CA5689
3.00%	05/01/50		75,480,110		80,305,659
Fannie Mae Pool FM2310
3.00%	01/01/48		11,937,395		12,578,442
Fannie Mae Pool FM2318
3.50%	09/01/49		218,255,538		235,896,107
Fannie Mae Pool FM2388
3.50%	04/01/48		20,804,100		22,654,631
Fannie Mae Pool MA1146
4.00%	08/01/42		26,771,446		29,453,260
Fannie Mae Pool MA1177
3.50%	09/01/42		33,943,182		36,751,707
Fannie Mae Pool MA1404
3.50%	04/01/43		70,793		76,603
Fannie Mae Pool MA1432
3.00%	05/01/33		54,726		58,130
Fannie Mae Pool MA1459
3.00%	06/01/33		25,644		27,239
Fannie Mae Pool MA1527
3.00%	08/01/33		37,439,224		39,768,341
Fannie Mae Pool MA1561
3.00%	09/01/33		23,781,145		25,260,584
Fannie Mae Pool MA1582
3.50%	09/01/43		11,957,436		12,938,841
Fannie Mae Pool MA1584
3.50%	09/01/33		36,335,404		39,135,491
Fannie Mae Pool MA1608
3.50%	10/01/33		25,768,126		27,753,876
Fannie Mae Pool MA1982
3.50%	08/01/34		52,698		56,272
Fannie Mae Pool MA2895
3.00%	02/01/47		53,749		56,850
Fannie Mae Pool MA2960
4.00%	04/01/47		31,731,518		34,345,246
Fannie Mae Pool MA3027
4.00%	06/01/47		22,998,617		24,849,893
Fannie Mae Pool MA3029
3.00%	06/01/32		26,916,031		28,424,559
Fannie Mae Pool MA3060
3.00%	07/01/32		11,779		12,431



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA3120
3.50%	09/01/47	$	1,690,632	$	1,799,408
Fannie Mae Pool MA3182
3.50%	11/01/47		36,546,736		38,914,082
Fannie Mae Pool MA3210
3.50%	12/01/47		63,325,649		67,455,457
Fannie Mae Pool MA3238
3.50%	01/01/48		54,453,650		57,782,827
Fannie Mae Pool MA3276
3.50%	02/01/48		21,730,442		23,125,976
Fannie Mae Pool MA3305
3.50%	03/01/48		28,914,437		30,763,068
Fannie Mae Pool MA3332
3.50%	04/01/48		79,525,746		84,557,292
Fannie Mae Pool MA3364
3.50%	05/01/33		10,317,224		11,058,798
Fannie Mae Pool MA3537
4.50%	12/01/48		19,033,981		20,564,191
Fannie Mae Pool MA3811
3.00%	10/01/49		9,132,664		9,350,701
Fannie Mae Pool MA3846
3.00%	11/01/49		54,141		55,477
Fannie Mae Pool MA3942
3.00%	02/01/50		18,738,760		19,374,592
Fannie Mae Pool MA3997
3.00%	04/01/50		21,563,745		22,146,546
Fannie Mae Pool MA4093
2.00%	08/01/40		194,780,236		198,944,883
Fannie Mae Pool MA4128
2.00%	09/01/40		161,387,166		164,837,005
Fannie Mae Pool MA4152
2.00%	10/01/40		195,088,232		199,262,390
Fannie Mae Pool MA4176
2.00%	11/01/40		48,749,269		49,776,866
Fannie Mae Pool MA4333
2.00%	05/01/41		85,522,190		87,400,194
Fannie Mae REMICS,
Series 1992-123, Class Z
7.50%	07/25/22		98		100
Fannie Mae REMICS,
Series 1993-132, Class D (PO)
0.00%	10/25/22¹⁰		3,111		3,107
Fannie Mae REMICS,
Series 1993-29, Class PK
7.00%	03/25/23		330		338
Fannie Mae REMICS,
Series 1994-55, Class H
7.00%	03/25/24		3,169		3,361
Fannie Mae REMICS,
Series 1997-34, Class SA
(Cost of Funds for the 11th District of San Francisco * 1.457, 37.68% Cap)
1.46%	10/25/23²		803		881
Fannie Mae REMICS,
Series 1998-37, Class VZ
6.00%	06/17/28		1,880		1,969



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 1999-11, Class Z
5.50%	03/25/29	$	19,245	$	20,324
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%	10/25/31		84,299		95,637
Fannie Mae REMICS,
Series 2005-117, Class LC
5.50%	11/25/35		1,790,606		1,836,824
Fannie Mae REMICS,
Series 2005-122, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.51%	11/25/35²		35,099		3,938
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
6.01%	10/25/25²		1,933,097		140,648
Fannie Mae REMICS,
Series 2006-4, Class WE
4.50%	02/25/36		33,594		37,088
Fannie Mae REMICS,
Series 2006-49, Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
28.66%	04/25/36²		1,149,778		1,791,868
Fannie Mae REMICS,
Series 2007-17, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
6.31%	03/25/37²		1,062,063		163,112
Fannie Mae REMICS,
Series 2007-34, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
6.02%	04/25/37²		2,199,384		413,636
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
0.56%	07/25/37²		3,271		3,312
Fannie Mae REMICS,
Series 2008-24, Class NA
6.75%	06/25/37		241,294		273,510
Fannie Mae REMICS,
Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.51%	10/25/40²		2,752,212		528,606
Fannie Mae REMICS,
Series 2010-135, Class EA
3.00%	01/25/40		996		999
Fannie Mae REMICS,
Series 2010-17, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
6.26%	03/25/40²		5,632,038		985,982
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
6.33%	05/25/40²		9,908,828		2,012,795



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2011-101, Class HE
4.00%	10/25/41	$	10,100,000	$	11,115,516
Fannie Mae REMICS,
Series 2011-111, Class DB
4.00%	11/25/41		10,652,217		11,631,285
Fannie Mae REMICS,
Series 2012-84, Class VZ
3.50%	08/25/42		9,648,986		10,293,957
Fannie Mae REMICS,
Series 2013-101, Class BO (PO)
0.00%	10/25/43¹⁰		13,014,023		11,607,674
Fannie Mae REMICS,
Series 2013-101, Class CO (PO)
0.00%	10/25/43¹⁰		7,860,882		7,047,909
Fannie Mae REMICS,
Series 2016-45, Class AF
(LIBOR USD 1-Month plus 0.50%)
0.59%	07/25/46²		9,460,089		9,586,594
Fannie Mae REMICS,
Series 2016-72, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.59%	10/25/46²		20,022,984		20,299,319
Fannie Mae REMICS,
Series 2016-74, Class GF
(LIBOR USD 1-Month plus 0.50%)
0.59%	10/25/46²		15,412,090		15,535,836
Fannie Mae REMICS,
Series 2016-75, Class FL
(LIBOR USD 1-Month plus 0.50%)
0.59%	10/25/46²		15,084,207		15,205,024
Fannie Mae REMICS,
Series 2018-29, Class AP
3.50%	11/25/46		64,874,568		67,003,414
Fannie Mae REMICS,
Series 2018-38, Class LA
3.00%	06/25/48		22,364,245		23,293,460
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%	06/25/47		38,534		40,128
Fannie Mae REMICS,
Series 2018-45, Class GA
3.00%	06/25/48		25,264,272		26,571,683
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%	01/25/47		20,420,538		21,132,073
Fannie Mae REMICS,
Series 2018-57, Class QA
3.50%	05/25/46		68,241		70,218
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%	05/25/47		1,645,296		1,698,647
Fannie Mae REMICS,
Series 2018-94, Class KD
3.50%	12/25/48		7,288,818		7,581,262



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2019-1, Class AB
3.50%	02/25/49	$	1,998,169	$	2,120,176
Fannie Mae REMICS,
Series 2019-1, Class KP
3.25%	02/25/49		2,922,903		3,033,182
Fannie Mae REMICS,
Series 2019-26, Class JE
3.00%	06/25/49		7,065,567		7,364,833
Fannie Mae REMICS,
Series 2019-45, Class PA
3.00%	08/25/49		27,196,120		28,460,620
Fannie Mae REMICS,
Series 2019-52, Class PA
3.00%	09/25/49		8,510,434		8,799,937
Fannie Mae REMICS,
Series 2019-67, Class FE
(LIBOR USD 1-Month plus 0.45%)
0.54%	11/25/49²		39,288,107		39,695,629
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.59%	01/25/50²		107,292		108,149
Fannie Mae REMICS,
Series G92-36, Class Z
7.00%	07/25/22		2		2
Fannie Mae REMICS,
Series G93-21, Class Z
7.20%	05/25/23		519		537
Fannie Mae Trust,
Series 2003-W2, Class 2A9
5.90%	07/25/42		20,620		23,665
Freddie Mac Gold Pool A24156
6.50%	10/01/31		92,789		104,358
Freddie Mac Gold Pool A25162
5.50%	05/01/34		1,075,456		1,231,127
Freddie Mac Gold Pool A39012
5.50%	06/01/35		28,543		32,874
Freddie Mac Gold Pool A54856
5.00%	01/01/34		2,430,165		2,753,671
Freddie Mac Gold Pool A61164
5.00%	04/01/36		7,998		8,946
Freddie Mac Gold Pool A97038
4.00%	02/01/41		7,817,429		8,512,292
Freddie Mac Gold Pool C01492
5.00%	02/01/33		353,498		394,412
Freddie Mac Gold Pool C04546
3.00%	02/01/43		13,630,408		14,717,322
Freddie Mac Gold Pool C04573
3.00%	03/01/43		17,294,021		18,705,606
Freddie Mac Gold Pool C46104
6.50%	09/01/29		8,312		9,348
Freddie Mac Gold Pool C55789
7.50%	10/01/27		4,141		4,504
Freddie Mac Gold Pool C90573
6.50%	08/01/22		5,857		5,976



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool E02402
6.00%	10/01/22	$	1,457	$	1,481
Freddie Mac Gold Pool G00992
7.00%	11/01/28		444		501
Freddie Mac Gold Pool G01515
5.00%	02/01/33		374,093		416,863
Freddie Mac Gold Pool G02579
5.00%	12/01/34		594,550		678,439
Freddie Mac Gold Pool G02884
6.00%	04/01/37		1,618,691		1,885,857
Freddie Mac Gold Pool G02955
5.50%	03/01/37		2,394,627		2,754,299
Freddie Mac Gold Pool G03357
5.50%	08/01/37		855,279		992,021
Freddie Mac Gold Pool G03676
5.50%	12/01/37		1,585,056		1,829,482
Freddie Mac Gold Pool G03783
5.50%	01/01/38		1,155,642		1,334,118
Freddie Mac Gold Pool G03985
6.00%	03/01/38		12,783		15,085
Freddie Mac Gold Pool G04438
5.50%	05/01/38		3,560,671		4,114,632
Freddie Mac Gold Pool G04703
5.50%	08/01/38		2,691,701		3,106,843
Freddie Mac Gold Pool G04706
5.50%	09/01/38		116,277		134,461
Freddie Mac Gold Pool G05866
4.50%	02/01/40		11,414,532		12,949,731
Freddie Mac Gold Pool G06361
4.00%	03/01/41		15,714		17,718
Freddie Mac Gold Pool G06498
4.00%	04/01/41		15,103,831		16,882,368
Freddie Mac Gold Pool G06499
4.00%	03/01/41		6,680,097		7,406,689
Freddie Mac Gold Pool G07408
3.50%	06/01/43		15,823,315		17,523,145
Freddie Mac Gold Pool G07786
4.00%	08/01/44		126,534,714		141,402,900
Freddie Mac Gold Pool G07848
3.50%	04/01/44		76,258,767		83,709,630
Freddie Mac Gold Pool G07849
3.50%	05/01/44		10,100,546		11,023,897
Freddie Mac Gold Pool G07924
3.50%	01/01/45		11,767,643		12,817,651
Freddie Mac Gold Pool G07925
4.00%	02/01/45		8,328,376		9,250,254
Freddie Mac Gold Pool G08676
3.50%	11/01/45		30,057,436		32,264,069
Freddie Mac Gold Pool G08681
3.50%	12/01/45		20,074,713		21,548,475
Freddie Mac Gold Pool G08698
3.50%	03/01/46		1,037		1,112
Freddie Mac Gold Pool G08710
3.00%	06/01/46		116,119,425		122,856,482
Freddie Mac Gold Pool G08711
3.50%	06/01/46		8,699,598		9,272,176



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08715
3.00%		08/01/46	$	156,564,741	$	165,648,369
Freddie Mac Gold Pool G08721
3.00%		09/01/46		15,989,694		16,917,389
Freddie Mac Gold Pool G08722
3.50%		09/01/46		39,050,039		41,620,180
Freddie Mac Gold Pool G08726
3.00%		10/01/46		171,315,049		181,254,465
Freddie Mac Gold Pool G08727
3.50%		10/01/46		34,513,955		36,785,546
Freddie Mac Gold Pool G08732
3.00%		11/01/46		105,227,163		111,332,269
Freddie Mac Gold Pool G08741
3.00%		01/01/47		65,616,543		69,423,506
Freddie Mac Gold Pool G08742
3.50%		01/01/47		53,495,511		57,014,315
Freddie Mac Gold Pool G08747
3.00%		02/01/47		22,860,450		24,186,776
Freddie Mac Gold Pool G08757
3.50%		04/01/47		19,926,694		21,329,539
Freddie Mac Gold Pool G08758
4.00%		04/01/47		15,594		16,870
Freddie Mac Gold Pool G08762
4.00%		05/01/47		16,060,029		17,364,300
Freddie Mac Gold Pool G08779
3.50%		09/01/47		78,388		83,058
Freddie Mac Gold Pool G08784
3.50%		10/01/47		67,871		72,243
Freddie Mac Gold Pool G08792
3.50%		12/01/47		58,889		62,681
Freddie Mac Gold Pool G08826
5.00%		06/01/48		14,921,210		16,371,069
Freddie Mac Gold Pool G08833
5.00%		07/01/48		8,150,204		8,942,141
Freddie Mac Gold Pool G08838
5.00%		09/01/48		4,460,022		4,919,223
Freddie Mac Gold Pool G08840
5.00%		08/01/48		1,269,099		1,396,246
Freddie Mac Gold Pool G08843
4.50%		10/01/48		9,571,720		10,350,885
Freddie Mac Gold Pool G08844
5.00%		10/01/48		11,475,371		12,590,406
Freddie Mac Gold Pool G08848
4.50%		11/01/48		1,802,624		1,953,795
Freddie Mac Gold Pool G08849
5.00%		11/01/48		4,632,880		5,108,927
Freddie Mac Gold Pool G12824
6.00%		08/01/22		79,391		80,584
Freddie Mac Gold Pool G12909
6.00%		11/01/22		285,460		291,466
Freddie Mac Gold Pool G13032
6.00%		09/01/22		2,043		2,065
Freddie Mac Gold Pool G16085
2.50%		02/01/32		3,512,954		3,697,332
Freddie Mac Gold Pool G16502
3.50%		05/01/33		69,254		74,249



Issues	Maturity Date		Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G16524
3.50%		05/01/33	$	26,862,379	$	28,835,710
Freddie Mac Gold Pool G16584
3.50%		08/01/33		3,966,267		4,238,291
Freddie Mac Gold Pool G16607
3.50%		09/01/33		40,533,128		43,526,549
Freddie Mac Gold Pool G16623
2.50%		09/01/32		28,304,620		29,649,417
Freddie Mac Gold Pool G16755
3.50%		02/01/34		36,750,321		39,447,367
Freddie Mac Gold Pool G16756
3.50%		01/01/34		3,557,966		3,820,726
Freddie Mac Gold Pool G18592
3.00%		03/01/31		26,472		27,980
Freddie Mac Gold Pool G18596
3.00%		04/01/31		30,533,846		32,284,279
Freddie Mac Gold Pool G18691
3.00%		06/01/33		11,031,128		11,631,587
Freddie Mac Gold Pool G18692
3.50%		06/01/33		15,692,085		16,803,050
Freddie Mac Gold Pool G18713
3.50%		11/01/33		18,467,326		19,733,751
Freddie Mac Gold Pool G18716
3.50%		12/01/33		56,085		59,931
Freddie Mac Gold Pool G60023
3.50%		04/01/45		12,606,816		13,830,686
Freddie Mac Gold Pool G60080
3.50%		06/01/45		129,162,612		140,566,495
Freddie Mac Gold Pool G60138
3.50%		08/01/45		101,468,934		111,319,539
Freddie Mac Gold Pool G60238
3.50%		10/01/45		39,816,256		43,306,784
Freddie Mac Gold Pool G60344
4.00%		12/01/45		98,744		108,767
Freddie Mac Gold Pool G67700
3.50%		08/01/46		30,146,643		32,751,792
Freddie Mac Gold Pool G67703
3.50%		04/01/47		306,736,393		333,243,295
Freddie Mac Gold Pool G67706
3.50%		12/01/47		155,859,019		169,279,010
Freddie Mac Gold Pool G67707
3.50%		01/01/48		389,319,349		426,297,384
Freddie Mac Gold Pool G67708
3.50%		03/01/48		358,476,219		387,239,189
Freddie Mac Gold Pool G67709
3.50%		03/01/48		264,447,015		286,840,949
Freddie Mac Gold Pool G67710
3.50%		03/01/48		226,457,276		243,599,979
Freddie Mac Gold Pool G67711
4.00%		03/01/48		68,378,585		75,252,063
Freddie Mac Gold Pool G67713
4.00%		06/01/48		618,100		678,349
Freddie Mac Gold Pool G67714
4.00%		07/01/48		101,981		111,865
Freddie Mac Gold Pool G67717
4.00%		11/01/48		83,695,274		91,807,321



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool H00790
5.50%	05/01/37	$	4,315	$	4,924
Freddie Mac Gold Pool H05069
5.50%	05/01/37		124,799		142,393
Freddie Mac Gold Pool Q05804
4.00%	01/01/42		27,388,441		30,671,329
Freddie Mac Gold Pool U99097
3.50%	07/01/43		39,029,994		42,329,060
Freddie Mac Gold Pool V62078
3.50%	08/01/33		4,039,101		4,347,073
Freddie Mac Gold Pool V62129
3.50%	08/01/33		9,170,841		9,848,909
Freddie Mac Gold Pool V80356
3.50%	08/01/43		26,774,483		29,441,055
Freddie Mac Pool RB5077
2.00%	10/01/40		117,359,356		119,872,646
Freddie Mac Pool RE6029
3.00%	02/01/50		6,253,058		6,465,232
Freddie Mac Pool SD7502
3.50%	07/01/49		10,322,346		11,056,978
Freddie Mac Pool SD7503
3.50%	08/01/49		22,775,602		24,602,212
Freddie Mac Pool SD7511
3.50%	01/01/50		23,009,667		24,869,431
Freddie Mac Pool ZA5103
3.50%	12/01/47		207,100		220,410
Freddie Mac Pool ZA5128
3.50%	12/01/47		536,947		569,984
Freddie Mac Pool ZM1779
3.00%	09/01/46		17,353,754		18,354,385
Freddie Mac Pool ZM2285
3.00%	12/01/46		20,026,287		21,181,019
Freddie Mac Pool ZS4693
3.00%	12/01/46		19,957,805		21,108,588
Freddie Mac Pool ZS4768
3.50%	05/01/48		1,527,080		1,620,442
Freddie Mac Pool ZT0277
3.50%	10/01/46		2,251,179		2,421,700
Freddie Mac Pool ZT1403
3.50%	11/01/33		22,144,214		23,666,230
Freddie Mac REMICS,
Series 1980, Class Z
7.00%	07/15/27		44,142		49,823
Freddie Mac REMICS,
Series 1983, Class Z
6.50%	12/15/23		10,905		11,502
Freddie Mac REMICS,
Series 2098, Class TZ
6.00%	01/15/28		189,319		208,292
Freddie Mac REMICS,
Series 2174, Class PN
6.00%	07/15/29		10,564		11,808
Freddie Mac REMICS,
Series 2313, Class LA
6.50%	05/15/31		4,927		5,602



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 2433, Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
20.71%	02/15/32²	$	6,029	$	9,175
Freddie Mac REMICS,
Series 2481, Class AW
6.50%	08/15/32		18,608		20,096
Freddie Mac REMICS,
Series 3019, Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.12%	08/15/35²		883,589		209,657
Freddie Mac REMICS,
Series 3063, Class YG
5.50%	11/15/35		2,327,829		2,671,837
Freddie Mac REMICS,
Series 3300, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
7.12%	08/15/35²		390,654		75,906
Freddie Mac REMICS,
Series 3707, Class EI (IO)
5.00%	12/15/38		699,665		3,935
Freddie Mac REMICS,
Series 3752, Class XL
4.50%	11/15/40		38,967,493		43,058,729
Freddie Mac REMICS,
Series 3891, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
5.87%	07/15/41²		4,515,670		472,796
Freddie Mac REMICS,
Series 3904, Class JB
4.50%	08/15/41		8,992,552		10,055,661
Freddie Mac REMICS,
Series 3925, Class LB
4.50%	09/15/41		9,215,000		10,876,524
Freddie Mac REMICS,
Series 3928, Class JD
4.00%	09/15/41		27,653,505		30,165,602
Freddie Mac REMICS,
Series 4102, Class TC
2.50%	09/15/41		9,795,767		10,168,906
Freddie Mac REMICS,
Series 4161, Class BA
2.50%	12/15/41		15,390,422		15,978,962
Freddie Mac REMICS,
Series 4656, Class EZ
4.00%	02/15/47		186,132		211,624
Freddie Mac REMICS,
Series 4818, Class CA
3.00%	04/15/48		1,868,100		1,945,115
Freddie Mac REMICS,
Series 4846, Class PA
4.00%	06/15/47		522,965		544,339
Freddie Mac REMICS,
Series 4852, Class CA
4.00%	11/15/47		20,330,920		21,561,264



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 4860, Class BH
3.50%	10/15/48	$	5,548,230	$	5,812,048
Freddie Mac REMICS,
Series 4860, Class PA
3.50%	02/15/49		3,823,082		3,999,656
Freddie Mac REMICS,
Series 4879, Class BC
3.00%	04/15/49		1,312,543		1,355,209
Freddie Mac REMICS,
Series 4896, Class DA
3.00%	01/15/49		1,569,481		1,666,036
Freddie Mac REMICS,
Series 4937, Class MF
(LIBOR USD 1-Month plus 0.45%)
0.54%	12/25/49²		8,357,822		8,424,497
Freddie Mac Strips,
Series 309, Class PO (PO)
0.00%	08/15/43¹⁰		17,231,962		15,097,790
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
0.58%	11/15/43²		2,758,937		2,794,013
Ginnie Mae (TBA)
2.00%	11/20/51		863,100,000		873,697,789
2.50%	11/20/51		1,192,850,000		1,229,321,890
Ginnie Mae I Pool 782817
4.50%	11/15/39		11,989,958		13,634,988
Ginnie Mae I Pool AA5452
3.50%	07/15/42		107,204		114,399
Ginnie Mae II Pool 2631
7.00%	08/20/28		1,180		1,321
Ginnie Mae II Pool 3388
4.50%	05/20/33		2,968		3,273
Ginnie Mae II Pool 3427
4.50%	08/20/33		1,113		1,231
Ginnie Mae II Pool 3554
4.50%	05/20/34		1,075		1,190
Ginnie Mae II Pool 4058
5.00%	12/20/37		604		689
Ginnie Mae II Pool 4342
5.00%	01/20/39		874		1,001
Ginnie Mae II Pool 4520
5.00%	08/20/39		16,466		18,855
Ginnie Mae II Pool 5140
4.50%	08/20/41		34,967		39,099
Ginnie Mae II Pool 5175
4.50%	09/20/41		37,964		42,450
Ginnie Mae II Pool 5281
4.50%	01/20/42		11,142		12,459
Ginnie Mae II Pool 783591
4.50%	07/20/41		13,705		15,325
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.25%	07/20/34²		9,280		9,619



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.00%	03/20/35²	$	15,290	$	15,471
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.25%	08/20/35²		17,435		18,204
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.13%	10/20/35²		13,205		13,791
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.00%	05/20/25²		2,162		2,219
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.50%	06/20/25²		2,941		2,973
Ginnie Mae II Pool MA0627
4.50%	12/20/42		42,375		47,378
Ginnie Mae II Pool MA0701
4.50%	01/20/43		47,205		52,450
Ginnie Mae II Pool MA1157
3.50%	07/20/43		41,866		45,456
Ginnie Mae II Pool MA1997
4.50%	06/20/44		11,287		12,622
Ginnie Mae II Pool MA2374
5.00%	11/20/44		262,749		295,398
Ginnie Mae II Pool MA2756
4.50%	04/20/45		24,286		27,080
Ginnie Mae II Pool MA2828
4.50%	05/20/45		1,039,928		1,154,915
Ginnie Mae II Pool MA2894
4.50%	06/20/45		402,341		447,319
Ginnie Mae II Pool MA3036
4.50%	08/20/45		40,678		45,178
Ginnie Mae II Pool MA3309
3.00%	12/20/45		7,979		8,439
Ginnie Mae II Pool MA3456
4.50%	02/20/46		274,239		304,528
Ginnie Mae II Pool MA3521
3.50%	03/20/46		31,345,378		33,405,080
Ginnie Mae II Pool MA3524
5.00%	03/20/46		12,459		14,192
Ginnie Mae II Pool MA3597
3.50%	04/20/46		79,197,590		84,253,160
Ginnie Mae II Pool MA3600
5.00%	04/20/46		7,609,306		8,684,311
Ginnie Mae II Pool MA3662
3.00%	05/20/46		3,005,758		3,165,522
Ginnie Mae II Pool MA3663
3.50%	05/20/46		22,733,101		24,184,266
Ginnie Mae II Pool MA3665
4.50%	05/20/46		109,798		121,549



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA3666
5.00%	05/20/46	$	3,930,940	$	4,468,715
Ginnie Mae II Pool MA3738
4.50%	06/20/46		459,829		510,622
Ginnie Mae II Pool MA3739
5.00%	06/20/46		2,317,099		2,637,194
Ginnie Mae II Pool MA3805
4.50%	07/20/46		4,061,023		4,475,342
Ginnie Mae II Pool MA3806
5.00%	07/20/46		181,760		206,748
Ginnie Mae II Pool MA3873
3.00%	08/20/46		23,344,530		24,585,355
Ginnie Mae II Pool MA3876
4.50%	08/20/46		4,147,166		4,605,265
Ginnie Mae II Pool MA3877
5.00%	08/20/46		894,074		1,005,170
Ginnie Mae II Pool MA3937
3.50%	09/20/46		18,500,270		19,681,233
Ginnie Mae II Pool MA3939
4.50%	09/20/46		2,116,326		2,366,261
Ginnie Mae II Pool MA4003
3.00%	10/20/46		9,465,432		9,968,545
Ginnie Mae II Pool MA4006
4.50%	10/20/46		2,506,228		2,790,117
Ginnie Mae II Pool MA4007
5.00%	10/20/46		4,732,630		5,327,322
Ginnie Mae II Pool MA4069
3.50%	11/20/46		57,881,107		61,449,326
Ginnie Mae II Pool MA4071
4.50%	11/20/46		6,902,524		7,699,280
Ginnie Mae II Pool MA4072
5.00%	11/20/46		1,347,167		1,537,437
Ginnie Mae II Pool MA4126
3.00%	12/20/46		159,695,956		168,184,227
Ginnie Mae II Pool MA4127
3.50%	12/20/46		63,296,363		67,437,032
Ginnie Mae II Pool MA4129
4.50%	12/20/46		22,243,543		24,825,472
Ginnie Mae II Pool MA4196
3.50%	01/20/47		14,940		15,861
Ginnie Mae II Pool MA4198
4.50%	01/20/47		183,458		199,882
Ginnie Mae II Pool MA4199
5.00%	01/20/47		3,965,801		4,513,547
Ginnie Mae II Pool MA4264
4.50%	02/20/47		53,917,587		58,609,674
Ginnie Mae II Pool MA4265
5.00%	02/20/47		957,902		1,073,177
Ginnie Mae II Pool MA4324
5.00%	03/20/47		5,400,174		6,188,261
Ginnie Mae II Pool MA4382
3.50%	04/20/47		36,817,217		39,052,386
Ginnie Mae II Pool MA4384
4.50%	04/20/47		2,394,719		2,598,625
Ginnie Mae II Pool MA4385
5.00%	04/20/47		9,803,550		10,942,072



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4453
4.50%	05/20/47	$	126,556,967	$	137,214,431
Ginnie Mae II Pool MA4454
5.00%	05/20/47		20,196,951		22,137,947
Ginnie Mae II Pool MA4510
3.50%	06/20/47		51,394		54,514
Ginnie Mae II Pool MA4511
4.00%	06/20/47		7,520,843		8,069,209
Ginnie Mae II Pool MA4512
4.50%	06/20/47		438,408		475,327
Ginnie Mae II Pool MA4513
5.00%	06/20/47		409,679		450,959
Ginnie Mae II Pool MA4586
3.50%	07/20/47		61,246,614		64,964,890
Ginnie Mae II Pool MA4588
4.50%	07/20/47		71,762		77,738
Ginnie Mae II Pool MA4589
5.00%	07/20/47		19,253,896		21,171,029
Ginnie Mae II Pool MA4652
3.50%	08/20/47		4,659,293		4,940,702
Ginnie Mae II Pool MA4655
5.00%	08/20/47		22,704,327		24,987,496
Ginnie Mae II Pool MA4719
3.50%	09/20/47		59,532,067		63,127,649
Ginnie Mae II Pool MA4720
4.00%	09/20/47		151,715		162,621
Ginnie Mae II Pool MA4722
5.00%	09/20/47		443,329		486,918
Ginnie Mae II Pool MA4781
5.00%	10/20/47		5,460,671		5,994,158
Ginnie Mae II Pool MA4836
3.00%	11/20/47		128,446,405		135,148,289
Ginnie Mae II Pool MA4837
3.50%	11/20/47		146,691,284		155,595,101
Ginnie Mae II Pool MA4838
4.00%	11/20/47		50,866,237		54,521,131
Ginnie Mae II Pool MA4840
5.00%	11/20/47		1,614,028		1,768,190
Ginnie Mae II Pool MA4900
3.50%	12/20/47		9,484,064		10,059,724
Ginnie Mae II Pool MA4901
4.00%	12/20/47		33,736,344		36,159,507
Ginnie Mae II Pool MA4961
3.00%	01/20/48		439,662		462,042
Ginnie Mae II Pool MA4963
4.00%	01/20/48		56,846,247		60,929,280
Ginnie Mae II Pool MA5078
4.00%	03/20/48		88,070		94,394
Ginnie Mae II Pool MA5137
4.00%	04/20/48		19,045,898		20,330,984
Ginnie Mae II Pool MA5399
4.50%	08/20/48		4,344,101		4,656,415
Ginnie Mae II Pool MA5466
4.00%	09/20/48		7,446,646		7,936,877
Ginnie Mae II Pool MA5467
4.50%	09/20/48		40,950		43,826



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA5528
4.00%	10/20/48	$	34,593,226	$	36,859,775
Ginnie Mae II Pool MA5530
5.00%	10/20/48		7,007,840		7,574,769
Ginnie Mae II Pool MA5651
4.00%	12/20/48		12,272		13,110
Ginnie Mae II Pool MA6030
3.50%	07/20/49		17,420,091		18,012,220
Ginnie Mae II Pool MA6080
3.00%	08/20/49		3,085		3,181
Ginnie Mae II Pool MA6081
3.50%	08/20/49		6,717,016		6,945,335
Ginnie Mae II Pool MA6209
3.00%	10/20/49		5,736,394		5,897,419
Ginnie Mae II Pool MA6210
3.50%	10/20/49		3,379,309		3,494,176
Ginnie Mae,
Series 2003-86, Class ZK
5.00%	10/20/33		4,650,533		5,175,869
Ginnie Mae,
Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
6.67%	06/16/37²		8,555,407		1,671,859
Ginnie Mae,
Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
6.16%	03/20/36²		7,562,937		861,908
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.71%	05/20/37²		18,799,716		2,618,030
Ginnie Mae,
Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
6.39%	12/20/39²		2,975,262		613,327
Ginnie Mae,
Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.72%	07/16/39²		23,966		3,001
Ginnie Mae,
Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
6.22%	08/16/38²		34,357		2,555
Ginnie Mae,
Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
6.32%	01/16/40²		38,445		8,080
Ginnie Mae,
Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
5.72%	01/16/40²		6,989,923		1,288,203
Ginnie Mae,
Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
6.42%	09/16/39²		1,085,300		65,328



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%	11/16/41	$	93,899	$	16,924
Ginnie Mae,
Series 2014-108, Class PA
2.63%	12/20/39		7,881,991		8,144,301
Ginnie Mae,
Series 2018-124, Class NW
3.50%	09/20/48		1,078,202		1,157,586
Ginnie Mae,
Series 2019-1, Class NP
3.50%	01/20/49		13,476,118		14,254,698
Ginnie Mae,
Series 2019-119, Class JE
3.00%	09/20/49		9,557,963		9,905,633
Ginnie Mae,
Series 2019-15, Class GT
3.50%	02/20/49		12,724,176		13,603,779
Ginnie Mae,
Series 2019-44, Class CA
3.50%	12/20/48		3,227,986		3,333,219
Ginnie Mae,
Series 2019-71, Class PT
3.00%	06/20/49		1,907,116		1,971,804
Ginnie Mae,
Series 2019-86, Class C
2.50%	03/20/49		16,391,047		17,001,246
Ginnie Mae,
Series 2019-90, Class HE
3.00%	07/20/49		13,291,792		13,835,742

UMBS (TBA)
1.50%	11/01/36		1,096,500,000		1,105,382,790
2.00%	11/01/36		1,505,125,000		1,548,162,153
2.00%	11/01/51		7,205,750,000		7,210,932,592
2.50%	11/01/51		6,446,475,000		6,633,564,855

					28,321,421,017


Total Mortgage-Backed
(Cost $33,593,717,334)					33,909,271,245


MUNICIPAL BONDS — 0.62%*

California — 0.27%

California State University Revenue Bonds, University & College Improvements, Series B
2.14%	11/01/33		14,500,000		14,303,078
2.27%	11/01/34		23,510,000		23,683,457

City of San Francisco Public Utilities Commission Water
Revenue Bonds, Series E
2.83%	11/01/41		16,975,000		17,303,127

Los Angeles Department of Airports Revenue Bonds, Port,
Airport and Marina Improvements, Series A
5.00%	05/15/44		185,000		226,256

Los Angeles Department of Water & Power Power System
Revenue Bonds, Electric Light & Power Improvements,
Series C
5.52%	07/01/27		12,625,000		15,464,717



Issues	Maturity Date	Principal Amount		Value

MUNICIPAL BONDS (continued)

California (continued)
Los Angeles Department of Water & Power Water System Revenue Bonds, Water Utility Improvements, Series SY
6.01%	07/01/39	$	350,000	$	466,045
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%	07/01/34		10,755,000		14,243,786
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%	07/01/34		12,165,000		17,205,529
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N
3.01%	05/15/50		62,945,000		63,569,412
3.26%	05/15/60		34,700,000		37,417,011
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP
3.93%	05/15/45		30,115,000		34,459,125

					238,341,543


Colorado — 0.04%
City & County of Denver Airport System Revenue Bonds, Series C
2.39%	11/15/31		6,010,000		6,179,557
2.52%	11/15/32		8,450,000		8,715,542
2.62%	11/15/33		9,000,000		9,324,197
2.72%	11/15/34		5,000,000		5,199,806

					29,419,102


Florida — 0.00%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series E
2.53%	10/01/30		2,160,000		2,218,019


New Jersey — 0.00%
Jersey City Municipal Utilities Authority Revenue Bonds, Water Utility Improvements, Series B
5.47%	05/15/27		350,000		392,734
New Jersey Turnpike Authority Revenue Bonds, Highway Revenue, Series F
3.73%	01/01/36		300,000		344,490

					737,224


New York — 0.29%
City of New York General Obligation Bonds, Public Improvements
4.77%	10/01/23		4,420,000		4,763,682
5.21%	10/01/31		6,420,000		7,749,408
5.52%	10/01/37		6,075,000		8,242,900
City of New York General Obligation Bonds, Public Improvements, Series A
3.00%	08/01/34		15,185,000		15,869,444
City of New York General Obligation Bonds, Public Improvements, Series F
3.62%	04/01/31		3,145,000		3,430,371



Issues	Maturity Date	Principal Amount		Value

MUNICIPAL BONDS (continued)

New York (continued)
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%	11/15/49	$	13,145,000	$	17,846,113
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
5.51%	08/01/37		25,000,000		33,430,700
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series B3
2.00%	08/01/35		4,055,000		3,854,839
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D
2.40%	11/01/32		17,295,000		17,518,309
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%	02/01/33		3,090,000		3,030,704
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries C5
3.90%	05/01/31		15,000,000		16,786,140
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI
4.00%	08/01/33		6,450,000		7,238,765
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries SU
3.88%	08/01/31		3,135,000		3,514,913
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3
5.27%	05/01/27		13,135,000		15,692,166
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series G
2.45%	11/01/34		3,000,000		3,039,971
New York State Dormitory Authority Revenue Bonds, Series C
1.95%	03/15/29		7,895,000		7,949,046
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%	03/15/33		44,990,000		55,399,219
5.43%	03/15/39		21,400,000		27,616,593
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series A
4.00%	03/15/47		155,000		177,994
New York State Urban Development Corp. Revenue Bonds, Public Improvements
5.77%	03/15/39		150,000		185,177

					253,336,454


Texas — 0.02%
North Texas Tollway Authority Revenue Bonds
2.33%	01/01/33		765,000		761,332
2.43%	01/01/34		10,000,000		9,956,250
2.53%	01/01/35		8,000,000		8,009,477



Issues	Maturity Date		Principal Amount		Value

MUNICIPAL BONDS (continued)

Texas (continued)
Texas A&M University Revenue Bonds, University & College Improvements, Series B
2.69%		05/15/25	$	350,000	$	373,071

						19,100,130


Total Municipal Bonds
(Cost $510,356,304)						543,152,472


U.S. TREASURY SECURITIES — 39.58%
U.S. Treasury Bonds — 6.49%
U.S. Treasury Bonds
2.00%		08/15/51		4,173,462,000		4,097,196,573
2.25%		05/15/41		1,092,034,000		1,135,187,908
2.38%		05/15/51		210,567,000		224,585,024
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.13%		02/15/51¹¹		224,934,089		247,075,672

						5,704,045,177


U.S. Treasury Notes — 33.09%
U.S. Treasury Floating Rate Notes
(US Treasury Bill Yield 3-Month plus 0.11%)
0.15%		04/30/22²		170,000,000		170,117,198
U.S. Treasury Notes
0.13%		07/31/23		4,579,816,000		4,570,409,058
0.13%		08/31/23		5,483,245,000		5,469,108,536
0.25%		09/30/23		4,218,616,000		4,215,649,807
0.38%		03/31/22		79,520,000		79,646,230
0.63%		07/31/26		2,472,804,000		2,433,450,437
0.75%		08/31/26		3,254,246,000		3,219,796,747
0.88%		09/30/26		4,985,402,000		4,959,158,595
1.25%		08/15/31		2,623,425,000		2,560,093,894
1.50%		11/30/21		500,000,000		501,191,405
1.75%		11/30/21		531,000,000		532,483,067
2.00%		11/15/21		200,000,000		200,476,562
2.88%		11/15/21		139,000,000		139,480,527

						29,051,062,063


Total U.S. Treasury Securities
(Cost $34,971,171,144)						34,755,107,240


Total Bonds — 110.58%
(Cost $96,156,686,701)						97,086,962,207



Issues			Shares		Value

COMMON STOCK — 0.00%

Electric — 0.00%
Homer City Holdings LLC^†,^5,6,8,12				1,180,703		—


Total Common Stock
(Cost $65,187,440)

Purchased Swaptions - 0.01%
(Cost $10,896,240)						12,344,628


Purchased Options - 0.03%
(Cost $14,888,907)						21,806,250



Issues	Maturity Date	Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 11.81%

Money Market Funds — 2.28%
Dreyfus Government Cash Management Fund
0.03%¹³			430,663,000	$	430,663,000
Fidelity Investments Money Market Funds - Government Portfolio
0.01%^13,14			4,622,031		4,622,031
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.03%¹³			1,567,088,000		1,567,088,000

					2,002,373,031


Repurchase Agreements — 0.85%
Bank of America N.A. (Dated 09/29/21, total to be received $250,001,944, (collateralized by U.S. Treasury Securities, 0.63%, due 05/15/30, par and fair value of $272,625,300 and $254,361,041, respectively))
0.04%	10/06/21	$	250,000,000		250,000,000
Barclay’s Capital (Dated 09/29/21, total to be received $250,001,944, (collateralized by U.S. Treasury Securities, 1.38% to 3.63%, due from 11/15/40 to 02/15/45, par and fair value of $228,280,700 and $254,146,259, respectively))
0.04%	10/06/21		250,000,000		250,000,000
JPMorgan Chase & Co. (Dated 09/29/21, total to be received $250,002,431, (collateralized by U.S. Treasury Securities, 0.00% to 6.88%, due from 08/15/22 to 05/31/26, par and fair value of $256,141,600 and $254,497,554, respectively))
0.05%	10/06/21		250,000,000		250,000,000

					750,000,000


U.S. Agency Discount Notes — 3.80%
Federal Home Loan Bank
0.04%¹⁵	10/06/21		300,000,000		299,999,583
0.04%¹⁵	10/08/21		500,000,000		499,999,030
0.04%¹⁵	10/15/21		794,000,000		793,996,911
0.04%¹⁵	10/29/21		100,000,000		99,999,222
0.04%¹⁵	11/19/21		269,000,000		268,989,017
0.04%¹⁵	11/24/21		500,000,000		499,977,505
0.00%¹⁵	11/26/21		300,000,000		299,982,733
0.00%¹⁵	01/19/22		300,000,000		299,972,505
0.00%¹⁵	02/22/22		275,000,000		274,956,011

					3,337,872,517


U.S. Treasury Bills — 4.88%
U.S. Treasury Bills
0.03%¹⁵	10/05/21		400,000,000		399,999,216
0.04%¹⁵	10/07/21		750,000,000		749,996,250
0.05%¹⁵	10/14/21		1,500,000,000		1,499,987,805
0.05%¹⁵	01/06/22		500,000,000		499,959,630
0.05%¹⁵	01/13/22		533,000,000		532,949,573
0.04%¹⁵	02/10/22		300,000,000		299,955,999



Issues	Maturity Date		Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills (continued)
0.04%¹⁵		03/03/22	$	300,000,000	$	299,950,593

						4,282,799,066


Total Short-Term Investments
(Cost $10,372,943,997)						10,373,044,614


Total Investments Before Written Options - 122.43%
(Cost $106,620,603,285)						107,494,157,699


Written Options - (0.01)%
(Cost $(10,034,883))						(10,729,375	)

Net unrealized appreciation on unfunded commitments - 0.00%						52,926

Liabilities in Excess of Other Assets - (22.42)%						(19,680,166,593	)

Net Assets - 100.00%					$	87,803,314,657

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 September 30, 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 $102,008,285, which is 0.12% 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 $2,202,571, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum.

⁸	Non-income producing security.

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

¹⁰	Zero coupon bond. The rate shown is the effective yield as of September 30, 2021.

¹¹	Inflation protected security. Principal amount reflects original security face amount.

¹²	Affiliated investment.

¹³	Represents the current yield as of September 30, 2021.

¹⁴	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $2,455.

¹⁵	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 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.

(BKNT): Bank Note

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PO): Principal Only

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar



Issues	Maturity Date	Principal Amount		Value

BONDS – 85.11%

ASSET-BACKED SECURITIES — 11.43%**
Aames Mortgage Investment Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.56%)
0.65%	04/25/36¹	$	159,706	$	159,141
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 11/25/21)
7.40%	06/25/32		14,594		14,754
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 10/25/21)
2.86%	07/25/59²		219,734		221,873
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-R9, Class M1
(LIBOR USD 1-Month plus 0.71%)
0.79%	11/25/35¹		1,243,503		1,244,746
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
0.93%	01/20/28^1,2,3		1,201,351		1,200,666
BSPRT Issuer Ltd.,
Series 2018-FL4, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.05%)
1.13%	09/15/35^1,2,3		223,520		223,578
Canyon Capital CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
0.93%	04/15/34^1,2,3		700,000		700,349
Carrington Mortgage Loan Trust,
Series 2005-NC4, Class M2
(LIBOR USD 1-Month plus 0.75%)
0.84%	09/25/35¹		161,777		165,043
Citigroup Mortgage Loan Trust,
Series 2007-AMC4, Class A2D
(LIBOR USD 1-Month plus 0.27%)
0.36%	05/25/37¹		400,223		383,365
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH4, Class M2
(LIBOR USD 1-Month plus 0.44%)
0.52%	11/25/36¹		800,000		791,561
Countrywide Asset-Backed Certificates Trust,
Series 2005-11, Class MV3
(LIBOR USD 1-Month plus 0.80%)
0.88%	02/25/36¹		89,432		89,461
Countrywide Asset-Backed Certificates Trust,
Series 2005-3, Class MV5
(LIBOR USD 1-Month plus 1.00%)
1.09%	08/25/35¹		89,427		89,547
Countrywide Asset-Backed Certificates Trust,
Series 2005-4, Class MV5
(LIBOR USD 1-Month plus 1.00%)
1.09%	10/25/35¹		800,000		810,030



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%)
0.78%		04/25/35¹	$	624,439	$	621,566
Encore Credit Receivables Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.90%)
0.99%		10/25/35¹		1,250,000		1,253,006
FFMLT Trust,
Series 2005-FF8, Class M2
(LIBOR USD 1-Month plus 0.78%)
0.87%		09/25/35¹		1,018,985		1,022,695
First Franklin Mortgage Loan Trust,
Series 2005-FF9, Class A1
(LIBOR USD 1-Month plus 0.58%)
0.67%		10/25/35¹		827,735		827,058
First Franklin Mortgage Loan Trust,
Series 2006-FFH1, Class M1
(LIBOR USD 1-Month plus 0.56%)
0.64%		01/25/36¹		880,125		874,229
GE Mortgage Services LLC,
Series 1998-HE1, Class A7
6.47%		06/25/28		1		1
Grand Avenue CRE,
Series 2019-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.12%)
1.20%		06/15/37^1,2,3		748,737		748,513
GSAA Home Equity Trust,
Series 2005-MTR1, Class A4
(LIBOR USD 1-Month plus 0.74%)
0.83%		10/25/35¹		504,643		506,120
GSAMP Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.41%		05/25/46¹		693,559		692,390
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
1.18%		05/25/34^1,2		254,477		255,532
Home Partners of America Trust,
Series 2018-1, Class A
(LIBOR USD 1-Month plus 0.90%)
0.99%		07/17/37^1,2		1,680,506		1,681,546
HSI Asset Securitization Corp. Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.36%)
0.45%		12/25/35¹		203,702		203,008
Invitation Homes Trust,
Series 2018-SFR2, Class B
(LIBOR USD 1-Month plus 1.08%)
1.16%		06/17/37^1,2		999,843		999,975
JPMorgan Mortgage Acquisition Trust,
Series 2006-NC2, Class A5
(LIBOR USD 1-Month plus 0.25%)
0.34%		07/25/36¹		123,136		122,365



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
LCM 29 Ltd.,
Series 29A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
0.93%	04/15/31^1,2,3	$	750,000	$	750,374
LoanCore Issuer Ltd.,
Series 2018-CRE1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.13%)
1.21%	05/15/28^1,2,3		313,073		313,151
Marathon CRE Ltd.,
Series 2018-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.15%)
1.23%	06/15/28^1,2,3		193,802		193,855
MASTR Asset-Backed Securities Trust,
Series 2005-OPT1, Class M3
(LIBOR USD 1-Month plus 0.69%)
0.78%	03/25/35¹		484,361		486,131
MF1 Ltd.,
Series 2020-FL4, Class A
(SOFR30A plus 1.81%)
1.86%	11/15/35^1,2		485,000		488,911
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
0.69%	10/27/36^1,2		292,897		292,243
Octagon Investment Partners XIV Ltd.,
Series 2012-1A, Class AARR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.08%	07/15/29^1,2,3		675,000		675,020
OHA Credit Funding 2 Ltd.,
Series 2019-2A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
0.93%	04/21/34^1,2,3		218,750		218,859
Option One Mortgage Loan Trust Asset-Backed Certificates 2005-5,
Series 2005-5, Class M1
(LIBOR USD 1-Month plus 0.59%)
0.67%	12/25/35¹		758,198		766,664
Palmer Square Loan Funding Ltd.,
Series 2020-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
0.93%	02/20/28^1,2,3		713,457		712,843
Palmer Square Loan Funding Ltd.,
Series 2021-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
0.93%	05/20/29^1,2,3		693,961		694,551
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WHQ3, Class M4
(LIBOR USD 1-Month plus 0.95%)
1.03%	06/25/35¹		342,304		345,351



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Progress Residential Trust,
Series 2019-SFR1, Class A
3.42%	08/17/35²	$	529,477	$	535,465
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.58%	04/25/36¹		585,371		586,087
Residential Asset Securities Corp.,
Series 2006-KS7, Class A4
(LIBOR USD 1-Month plus 0.24%)
0.33%	09/25/36¹		598,006		597,178
SLM Student Loan Trust,
Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.47%)
0.59%	12/15/27^1,2		193,855		193,907
SLM Student Loan Trust,
Series 2003-14, Class A6
(LIBOR USD 3-Month plus 0.30%)
0.43%	07/25/25¹		137,983		137,966
SLM Student Loan Trust,
Series 2005-8, Class A4
(LIBOR USD 3-Month plus 0.55%)
0.68%	01/25/28¹		16,613		16,614
SLM Student Loan Trust,
Series 2007-8, Class A4
(LIBOR USD 3-Month plus 0.47%)
0.60%	01/26/26¹		82,670		82,505
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
0.64%	06/25/43¹		112,211		111,655
Soundview Home Loan Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.60%)
0.69%	02/25/36¹		318,117		318,059
Soundview Home Loan Trust,
Series 2006-OPT3, Class 2A3
(LIBOR USD 1-Month plus 0.17%)
0.26%	06/25/36¹		282,112		282,113
Structured Asset Investment Loan Trust,
Series 2005-HE3, Class M1
(LIBOR USD 1-Month plus 0.72%)
0.81%	09/25/35¹		336,219		336,184
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-EQ1A, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.22%	07/25/36^1,2		299,264		295,899
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-OPT1, Class A1
(LIBOR USD 1-Month plus 0.18%)
0.27%	04/25/36¹		552,458		535,461
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%	08/25/34^2,4,5		1,190,925		15,421



Issues	Maturity Date		Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
TPG Real Estate Finance Issuer Ltd.,
Series 2018-FL2, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.13%)
1.21%		11/15/37^1,2,3	$	669,216	$	669,398
Tricon American Homes Trust,
Series 2017-SFR2, Class A
2.93%		01/17/36²		1,072,250		1,089,311


Total Asset-Backed Securities
(Cost $27,328,298)						27,643,294


CORPORATES — 22.48%*

Banking — 6.91%
Bank of America Corp.
2.88%		04/24/23⁶		3,600,000		3,649,670
Credit Suisse Group AG
(Switzerland)
2.59%		09/11/25^2,3,6		235,000		243,490
3.80%		06/09/23³		580,000		610,883
DNB Bank ASA
(Norway)
0.86%		09/30/25^2,3,6		715,000		715,445
HSBC Holdings PLC
(United Kingdom)
0.98%		05/24/25^3,6		1,000,000		998,345
(LIBOR USD 3-Month plus 1.00%)
1.12%		05/18/24^1,3		795,000		804,093
JPMorgan Chase & Co.
3.21%		04/01/23⁶		2,400,000		2,433,742
(LIBOR USD 3-Month plus 1.00%)
1.13%		01/15/23¹		200,000		200,611
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23^3,6		1,345,000		1,379,005
Morgan Stanley
(GMTN)
3.13%		01/23/23		2,350,000		2,433,515
NatWest Group PLC
(United Kingdom)
3.50%		05/15/23^3,6		1,000,000		1,018,310
Santander UK Group Holdings PLC
(United Kingdom)
3.57%		01/10/23³		750,000		756,492
UBS AG
(Switzerland)
0.70%		08/09/24^2,3		610,000		608,687
Wells Fargo & Co.
(MTN)
3.75%		01/24/24		805,000		860,706

						16,712,994

Communications — 0.82%
Qwest Corp.
7.25%		09/15/25		400,000		476,568
SES SA
(Luxembourg)
3.60%		04/04/23^2,3		600,000		623,977



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Communications (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%	03/20/25²	$	621,250	$	664,272
5.15%	03/20/28²		200,000		228,810

					1,993,627

Consumer Discretionary — 0.87%
Imperial Brands Finance PLC
(United Kingdom)
3.75%	07/21/22^2,3		810,000		826,109
Pernod Ricard SA
(France)
4.25%	07/15/22^2,3		600,000		617,975
Reynolds American, Inc.
4.85%	09/15/23		600,000		649,352

					2,093,436

Electric — 0.46%
Alliant Energy Finance LLC
3.75%	06/15/23²		725,000		760,370
Dominion Energy, Inc.,
Series B
2.75%	09/15/22		350,000		356,153

					1,116,523

Energy — 0.88%
Energy Transfer LP
5.95%	12/01/25		900,000		1,042,813
Southern Co. Gas Capital Corp.
3.88%	11/15/25		1,000,000		1,097,131

					2,139,944

Finance — 4.75%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.95%	02/01/22³		600,000		605,053
4.45%	12/16/21³		100,000		100,475
Air Lease Corp.
2.25%	01/15/23		600,000		613,238
3.50%	01/15/22		200,000		201,735
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/27^2,3		383,000		377,000
Citigroup, Inc.
3.14%	01/24/23⁶		2,450,000		2,470,598
(LIBOR USD 3-Month plus 0.95%)
1.08%	07/24/23¹		308,000		309,961
Daimler Finance North America LLC
2.20%	10/30/21²		65,000		65,094
(LIBOR USD 3-Month plus 0.90%)
1.02%	02/15/22^1,2		290,000		290,930
Ford Motor Credit Co. LLC
3.81%	10/12/21		1,150,000		1,152,013
Goldman Sachs Group, Inc. (The)
2.88%	10/31/22⁶		2,450,000		2,455,025



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Goldman Sachs Group, Inc. (The),
Series FXD
0.48%	01/27/23	$	1,395,000	$	1,395,228
Morgan Stanley
(MTN)
0.53%	01/25/24⁶		90,000		90,065
Nationwide Building Society
(United Kingdom)
3.62%	04/26/23^2,3,6		540,000		549,439
3.77%	03/08/24^2,3,6		680,000		709,105
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/23^2,3		100,000		104,518

					11,489,477


Food — 0.17%
Smithfield Foods, Inc.
3.35%	02/01/22²		400,000		403,852


Health Care — 2.75%
AbbVie, Inc.
3.20%	11/06/22		600,000		615,658
3.25%	10/01/22		200,000		204,373
Bayer U.S. Finance II LLC
2.20%	07/15/22²		600,000		606,377
3.88%	12/15/23²		1,140,000		1,213,316
CVS Health Corp.
3.50%	07/20/22		600,000		611,952
Dignity Health
3.13%	11/01/22		150,000		154,175
Fresenius Medical Care U.S. Finance II, Inc.
5.88%	01/31/22²		200,000		203,495
Fresenius U.S. Finance II, Inc.
4.50%	01/15/23²		585,000		608,320
Gilead Sciences, Inc.
(LIBOR USD 3-Month plus 0.52%)
0.65%	09/29/23¹		655,000		655,395
Humana, Inc.
0.65%	08/03/23		610,000		610,417
3.15%	12/01/22		600,000		615,343
Viatris, Inc.
1.13%	06/22/22²		550,000		552,979

					6,651,800


Industrials — 1.22%
BAE Systems PLC
(United Kingdom)
4.75%	10/11/21^2,3		250,000		250,214
Berry Global, Inc.
0.95%	02/15/24²		635,000		635,978
Boeing Co. (The)
1.43%	02/04/24		375,000		375,559
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.50%	05/05/26¹		150,000		148,548



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Industrials (continued)
General Electric Co.,
Series NOTZ (MTN)
(LIBOR USD 3-Month plus 1.00%)
1.13%	04/15/23¹	$	750,000	$	756,214
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%	03/22/23^2,3		750,000		783,666

					2,950,179


Information Technology — 0.81%
NXP BV/NXP Funding LLC
(Netherlands)
3.88%	09/01/22^2,3		600,000		617,957
4.63%	06/01/23^2,3		220,000		234,217
Skyworks Solutions, Inc.
0.90%	06/01/23		505,000		506,025
VMware, Inc.
1.00%	08/15/24		610,000		612,167

					1,970,366


Insurance — 0.49%
Athene Global Funding
(SOFR Rate plus 0.70%)
0.75%	05/24/24^1,2		500,000		502,474
Nationwide Mutual Insurance Co.
2.41%	12/15/24^2,6		670,000		670,795

					1,173,269


Materials — 0.16%
International Flavors & Fragrances, Inc.
0.70%	09/15/22²		375,000		376,184


Real Estate Investment Trust (REIT) — 1.56%
American Campus Communities Operating Partnership LP
3.75%	04/15/23		600,000		624,900
Boston Properties LP
3.85%	02/01/23		600,000		621,304
GLP Capital LP/GLP Financing II, Inc.
5.38%	11/01/23		1,000,000		1,079,962
Host Hotels & Resorts LP,
Series D
3.75%	10/15/23		525,000		550,394
SL Green Operating Partnership LP
3.25%	10/15/22		870,000		891,841

					3,768,401


Retail — 0.13%
7-Eleven, Inc.
(LIBOR USD 3-Month plus 0.45%)
0.58%	08/10/22^1,2		324,000		324,082


Services — 0.38%
IHS Markit Ltd.
(Bermuda)
5.00%	11/01/22^2,3		880,000		913,590



Issues	Maturity Date	Principal Amount		Value

CORPORATES (continued)

Transportation — 0.12%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22	$	179,442	$	181,803
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A1
7.04%	04/01/22		116,372		119,323

					301,126


Total Corporates
(Cost $54,213,442)					54,378,850


MORTGAGE-BACKED — 26.42%**
Non-Agency Commercial Mortgage-Backed — 7.70%
AREIT Trust,
Series 2020-CRE4, Class A
(Cayman Islands)
(SOFR30A plus 2.73%)
2.78%	04/15/37^1,2,3		555,078		558,620
Banc of America Commercial Mortgage Trust,
Series 2016-UB10, Class A2
2.72%	07/15/49		140,285		140,742
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2017-C1, Class A2
3.19%	02/15/50		106,295		107,091
BX Commercial Mortgage Trust,
Series 2018-IND, Class A
(LIBOR USD 1-Month plus 0.75%)
0.83%	11/15/35^1,2		38,806		38,864
BX Commercial Mortgage Trust,
Series 2018-IND, Class B
(LIBOR USD 1-Month plus 0.90%)
0.98%	11/15/35^1,2		843,500		844,179
BX Commercial Mortgage Trust,
Series 2020-BXLP, Class A
(LIBOR USD 1-Month plus 0.80%)
0.88%	12/15/36^1,2		230,399		230,839
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%	05/10/58		418,936		439,084
Citigroup Commercial Mortgage Trust,
Series 2016-C2, Class A2
1.85%	08/10/49		407,000		410,772
Citigroup Commercial Mortgage Trust,
Series 2016-P5, Class A2
2.40%	10/10/49		423,331		423,801
Citigroup Commercial Mortgage Trust,
Series 2020-WSS, Class A
(LIBOR USD 1-Month plus 1.95%)
2.03%	02/15/39^1,2		761,777		803,667
Commercial Mortgage Trust,
Series 2013-CR9, Class ASB
3.83%	07/10/45		223,344		229,413
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.43%	01/10/46⁶		2,488,826		28,113



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2014-CR20, Class A3
3.33%	11/10/47	$	460,186	$	484,600
Commercial Mortgage Trust,
Series 2015-CR22, Class A2
2.86%	03/10/48		1,354,293		1,361,843
CSAIL Commercial Mortgage Trust,
Series 2017-CX9, Class A2
3.05%	09/15/50		950,000		965,649
DBWF Mortgage Trust,
Series 2018-AMXP, Class A
3.87%	05/05/35^2,6		1,500,000		1,505,277
Great Wolf Trust,
Series 2019-WOLF, Class A
(LIBOR USD 1-Month plus 1.03%)
1.12%	12/15/36^1,2		850,000		852,320
GS Mortgage Securities Trust
Series 2012-ALOH, Class A
3.55%	04/10/34²		1,571,000		1,582,309
GS Mortgage Securities Trust,
Series 2012-GC6, Class AS
4.95%	01/10/45²		426,948		428,236
GS Mortgage Securities Trust,
Series 2013-GC14, Class A4
3.96%	08/10/46		728,880		753,287
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%	05/15/482		366,155		370,460
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class A3
3.51%	05/15/45		410,833		415,556
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class ASB
3.14%	05/15/45		130,921		131,466
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XA (IO)
0.74%	10/15/46⁶		2,729,626		24,483
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C15, Class A3
3.77%	04/15/47		93,809		98,133
Morgan Stanley Capital I Trust,
Series 2012-C4, Class A4
3.24%	03/15/45		249,833		251,646
PFP Ltd.,
Series 2019-5, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 0.97%)
1.05%	04/14/36^1,2,3		509,420		509,996
Shelter Growth CRE Issuer Ltd.,
Series 2019-FL2, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.10%)
1.18%	05/15/36^1,2,3		128,767		128,769
UBS Commercial Mortgage Trust,
Series 2012-C1, Class XA (IO)
2.20%	05/10/45^2,6		1,830,992		11,479



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
UBS-Barclays Commercial Mortgage Trust,
Series 2013-C5, Class XA (IO)
1.04%	03/10/46^2,6	$	3,678,450	$	30,414
VMC Finance LLC,
Series 2019-FL3, Class A
(LIBOR USD 1-Month plus 1.10%)
1.18%	09/15/36^1,2		512,896		512,720
Wells Fargo Commercial Mortgage Trust,
Series 2015-LC20, Class A2
2.68%	04/15/50		487,731		490,283
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class A2
2.60%	06/15/49		362,682		362,649
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class A2
2.50%	11/15/59		71,101		72,012
Wells Fargo Commercial Mortgage Trust,
Series 2016-LC24, Class A2
2.50%	10/15/49		12,898		13,001
Wells Fargo Commercial Mortgage Trust,
Series 2018-C47, Class A2
4.36%	09/15/61		868,000		912,363
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class A2
3.43%	06/15/45		480,000		485,466
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
2.02%	11/15/45^2,6		1,357,311		16,883
WF-RBS Commercial Mortgage Trust,
Series 2014-C19, Class A3
3.66%	03/15/47		1,596,782		1,600,309

					18,626,794


Non-Agency Mortgage-Backed — 1.34%
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
2.74%	05/25/35⁶		23,146		23,103
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		34,232		35,542
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		2,766		2,842
Bear Stearns ALT-A Trust,
Series 2005-2, Class 1M1
(LIBOR USD 1-Month plus 0.75%)
0.84%	03/25/35¹		226,172		226,842
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.00%	02/25/34⁶		6,161		6,182
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2002-AR31, Class 4A2
2.45%	11/25/32⁶		17,906		18,125



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.74%)
0.83%	07/19/44¹	$	100,410	$	98,028
HomeBanc Mortgage Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.54%)
0.63%	10/25/35¹		361,404		362,468
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
0.87%	12/25/34¹		320,931		276,237
IndyMac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
2.88%	10/25/34⁶		96,172		95,727
JPMorgan Mortgage Trust,
Series 2005-A2, Class 9A1
2.27%	04/25/35⁶		124,066		126,375
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
2.66%	10/25/34⁶		125,915		125,915
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.47%	10/25/32⁶		19,230		20,180
Merrill Lynch Mortgage Investors Trust,
Series 2003-A1, Class 2A
(LIBOR USD 12-Month plus 1.63%)
1.86%	12/25/32¹		143,007		144,041
MortgageIT Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
0.73%	02/25/35¹		640,501		644,816
Nomura Resecuritization Trust,
Series 2014-8R, Class 2A1
3.00%	09/26/35^2,6		394,303		394,303
Nomura Resecuritization Trust,
Series 2015-9R, Class 2A1 (STEP-reset date 11/29/21)
3.00%	05/25/36²		445,167		445,167
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%	11/25/31		34,570		11
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
2.85%	12/25/34⁶		57,155		56,702
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus 1.40%)
1.49%	06/25/42¹		12,267		12,286
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
2.56%	06/25/33⁶		37,018		38,685



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
0.59%	06/25/35¹	$	106,056	$	90,515

					3,244,092


U.S. Agency Commercial Mortgage-Backed — 2.27%
Fannie Mae-Aces,
Series 2012-M4, Class X1 (IO)
0.48%	04/25/22⁶		789,988		184
Fannie Mae-Aces,
Series 2016-M11, Class AL
2.94%	07/25/39		157,548		161,309
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K021, Class X1 (IO)
1.51%	06/25/22⁶		8,576,989		55,791
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF22, Class A
(LIBOR USD 1-Month plus 0.50%)
0.58%	07/25/23¹		110,216		110,371
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ24, Class A1
2.28%	05/25/26		341,701		354,507
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ26, Class A1
2.14%	07/25/25		716,757		733,799
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ28, Class A1
1.77%	02/25/25		190,356		193,710
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ29, Class A1
0.74%	01/25/26		735,923		732,771
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ34, Class A1
0.68%	06/25/26		762,057		757,007
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS07, Class X (IO)
0.77%	09/25/25⁶		3,443,074		85,240
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q004, Class A2H
2.77%	01/25/46⁶		55,011		55,121
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
0.83%	05/25/44¹		153,015		153,135



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q010, Class APT1
2.89%	04/25/46⁶	$	171,497	$	177,645
Ginnie Mae,
Series 2007-12, Class C
5.28%	04/16/41⁶		99,315		99,936
Ginnie Mae,
Series 2008-92, Class E
5.56%	03/16/44⁶		131,721		133,296
Ginnie Mae,
Series 2010-159, Class D
4.29%	09/16/44⁶		425,559		437,787
Ginnie Mae,
Series 2011-165, Class IO (IO)
0.01%	10/16/51⁶		2,898,324		715
Ginnie Mae,
Series 2011-58, Class C
3.87%	08/16/51⁶		97,939		98,949
Ginnie Mae,
Series 2011-92, Class C
3.74%	04/16/52⁶		1,079,378		1,114,864
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.54%	01/16/53⁶		2,390,058		45,253

					5,501,390


U.S. Agency Mortgage-Backed — 15.11%
Fannie Mae Pool 254548
5.50%	12/01/32		68,348		78,815
Fannie Mae Pool 555098
(LIBOR USD 12-Month plus 1.51%)
1.93%	11/01/32¹		11,767		11,752
Fannie Mae Pool 555424
5.50%	05/01/33		45,219		51,560
Fannie Mae Pool 567002
8.00%	05/01/23		3,529		3,622
Fannie Mae Pool 655133
7.00%	08/01/32		5,961		6,279
Fannie Mae Pool 655151
7.00%	08/01/32		11,106		11,866
Fannie Mae Pool 762525
6.50%	11/01/33		18,735		20,816
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
1.81%	04/01/34¹		62,091		63,403
Fannie Mae Pool AD0538
6.00%	05/01/24		12,435		12,966
Fannie Mae Pool AE0443
6.50%	10/01/39		52,569		61,258
Fannie Mae Pool AL0851
6.00%	10/01/40		47,343		55,375
Fannie Mae Pool AM4580
3.43%	10/01/23		469,516		490,431



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
10.77%	05/25/23¹	$	194	$	207
Fannie Mae REMICS,
Series 2001-42, Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%	09/25/31¹		894		994
Fannie Mae REMICS,
Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
1.04%	10/25/31¹		68,250		69,874
Fannie Mae REMICS,
Series 2002-30, Class FB
(LIBOR USD 1-Month plus 1.00%)
1.09%	08/25/31¹		74,168		75,531
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%	01/25/34¹		9,691		11,336
Fannie Mae REMICS,
Series 2004-60, Class FW
(LIBOR USD 1-Month plus 0.45%)
0.54%	04/25/34¹		227,883		229,355
Fannie Mae REMICS,
Series 2004-96, Class MT
(-17.50 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap)
7.00%	12/25/34¹		10,049		11,170
Fannie Mae REMICS,
Series 2005-73, Class DF
(LIBOR USD 1-Month plus 0.25%)
0.34%	08/25/35¹		119,118		119,451
Fannie Mae REMICS,
Series 2007-68, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
6.61%	07/25/37¹		69,418		14,771
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
0.49%	10/25/40¹		47,097		47,502
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
6.14%	11/25/36¹		266,274		55,167
Fannie Mae REMICS,
Series 2010-95, Class FB
(LIBOR USD 1-Month plus 0.40%)
0.49%	09/25/40¹		66,769		67,379
Fannie Mae REMICS,
Series 2011-47, Class GF
(LIBOR USD 1-Month plus 0.57%)
0.66%	06/25/41¹		898,981		914,056
Fannie Mae REMICS,
Series 2012-19, Class FP
(LIBOR USD 1-Month plus 0.50%)
0.59%	12/25/39¹		94,297		94,488



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2018-79, Class FA
(LIBOR USD 1-Month plus 0.25%)
0.34%	11/25/48¹	$	62,199	$	62,302
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.59%	01/25/50¹		134,114		135,186
Fannie Mae REMICS,
Series 2020-10, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.59%	03/25/50¹		491,349		494,640
Freddie Mac REMICS,
Series 1526, Class L
6.50%	06/15/23		447		465
Freddie Mac REMICS,
Series 2368, Class AF
(LIBOR USD 1-Month plus 0.95%)
1.03%	10/15/31¹		58,473		59,616
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
0.68%	10/15/33¹		454,166		460,721
Freddie Mac REMICS,
Series 2990, Class LE
(LIBOR USD 1-Month plus 0.32%)
0.40%	10/15/34¹		138,675		139,018
Freddie Mac REMICS,
Series 3066, Class PF
(LIBOR USD 1-Month plus 0.30%)
0.38%	04/15/35¹		1,102		1,102
Freddie Mac REMICS,
Series 3085, Class FW
(LIBOR USD 1-Month plus 0.70%)
0.78%	08/15/35¹		291,290		297,065
Freddie Mac REMICS,
Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
0.38%	08/15/35¹		271,093		272,786
Freddie Mac REMICS,
Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
0.38%	08/15/35¹		54,459		54,799
Freddie Mac REMICS,
Series 3652, Class PF
(LIBOR USD 1-Month plus 0.75%)
0.83%	07/15/32¹		2,072		2,073
Freddie Mac REMICS,
Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
0.48%	11/15/40¹		36,217		36,070
Freddie Mac REMICS,
Series 3845, Class FQ
(LIBOR USD 1-Month plus 0.25%)
0.33%	02/15/26¹		36,201		36,211



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3879, Class MF
(LIBOR USD 1-Month plus 0.35%)
0.43%	09/15/38¹	$	38,832	$	38,867
Freddie Mac REMICS,
Series 3895, Class BF
(LIBOR USD 1-Month plus 0.50%)
0.58%	07/15/41¹		175,886		179,072
Freddie Mac REMICS,
Series 3907, Class FM
(LIBOR USD 1-Month plus 0.35%)
0.43%	05/15/26¹		44,674		44,793
Freddie Mac REMICS,
Series 3940, Class PF
(LIBOR USD 1-Month plus 0.35%)
0.43%	05/15/40¹		83,379		83,438
Freddie Mac REMICS,
Series 3946, Class FD
(LIBOR USD 1-Month plus 0.35%)
0.43%	04/15/41¹		147,741		148,092
Freddie Mac REMICS,
Series 3946, Class FG
(LIBOR USD 1-Month plus 0.35%)
0.43%	10/15/39¹		81,596		81,726
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
0.58%	06/15/42¹		207,131		209,093
Ginnie Mae (TBA)
2.00%	11/20/51		2,400,000		2,429,469
2.50%	11/20/51		11,825,000		12,186,554
Ginnie Mae I Pool BW5284
3.55%	10/15/50		1,182,341		1,190,955
Ginnie Mae II Pool 80546
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.13%	10/20/31¹		6,359		6,618
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.88%	06/20/32¹		76,963		80,203
Ginnie Mae II Pool 80614
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.25%	07/20/32¹		7,740		8,058
Ginnie Mae II Pool 80687
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.88%	04/20/33¹		54,469		55,681
Ginnie Mae II Pool 8339
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.13%	12/20/23¹		4,197		4,261



Issues	Maturity Date	Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 8684
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.25%	08/20/25¹	$	11,482	$	11,827
Ginnie Mae II Pool MA0331
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.25%	08/20/42¹		51,335		53,771
Ginnie Mae,
Series 2002-72, Class FB
(LIBOR USD 1-Month plus 0.40%)
0.49%	10/20/32¹		71,225		71,597
Ginnie Mae,
Series 2002-72, Class FC
(LIBOR USD 1-Month plus 0.40%)
0.49%	10/20/32¹		105,065		105,614
Ginnie Mae,
Series 2004-2, Class FW
(LIBOR USD 1-Month plus 1.40%)
1.49%	01/16/34¹		372,857		379,056
Ginnie Mae,
Series 2009-92, Class FC
(LIBOR USD 1-Month plus 0.80%)
0.88%	10/16/39¹		90,900		92,931
Ginnie Mae,
Series 2010-19, Class FD
(LIBOR USD 1-Month plus 0.45%)
0.53%	07/16/39¹		34,614		34,844
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%	06/16/37¹		1,354,367		14,327
UMBS (TBA)
2.00%	11/01/51		5,750,000		5,754,136
2.50%	11/01/51		8,400,000		8,643,785

					36,540,246


Total Mortgage-Backed
(Cost $64,457,904)					63,912,522


MUNICIPAL BONDS — 0.72%*

Colorado — 0.40%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%	11/15/23		965,000		974,212


Florida — 0.32%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
2.32%	10/01/22		755,000		769,912


Total Municipal Bonds
(Cost $1,732,412)					1,744,124



Issues	Maturity Date	Principal Amount		Value

U.S. TREASURY SECURITIES — 24.06%

U.S. Treasury Notes — 24.06%
U.S. Treasury Floating Rate Notes
(US Treasury Bill Yield 3-Month plus 0.06%)
0.09%	10/31/22¹	$	12,500,000	$	12,506,250
(US Treasury Bill Yield 3-Month plus 0.11%)
0.15%	04/30/22¹		10,000,000		10,006,894
U.S. Treasury Notes
0.13%	07/31/23		4,850,000		4,840,038
0.13%	08/31/23		4,620,000		4,608,089
0.25%	09/30/23		3,845,000		3,842,297
0.38%	09/15/24		2,455,000		2,444,163
0.75%	08/31/26		4,075,000		4,031,862
0.88%	09/30/26		875,000		870,394
1.75%	11/30/21		15,000,000		15,041,895


Total U.S. Treasury Securities
(Cost $58,192,227)					58,191,882


Total Bonds — 85.11%
(Cost $205,924,283)					205,870,672


Issues		Shares		Value

Purchased Options - 0.03%
(Cost $38,976)					75,000


Issues	Maturity Date	Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS — 21.79%

Money Market Funds — 3.81%
Dreyfus Government Cash Management Fund
0.03%⁷			1,085,000		1,085,000
Fidelity Investments Money Market Funds - Government Portfolio
0.01%⁷			20,264		20,264
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.03%⁷			8,101,000		8,101,000

					9,206,264


U.S. Treasury Bills — 17.98%
U.S. Treasury Bills
0.03%⁸	10/05/21		12,500,000		12,499,975
0.05%⁸	10/07/21		4,000,000		3,999,980



Issues	Maturity Date	Principal Amount/Shares		Value

SHORT-TERM INVESTMENTS (continued)

U.S. Treasury Bills (continued)
0.05%⁸	02/10/22	$	15,000,000	$	14,997,800
0.04%⁸	03/03/22		12,000,000		11,998,024

					43,495,779


Total Short-Term Investments
(Cost $52,701,491)					52,702,043


Total Investments Before Written Options - 106.93%
(Cost $258,664,750)					258,647,715


Written Options - (0.02)%
(Cost $(23,298))					(38,750	)

Liabilities in Excess of Other Assets - (6.91)%					(16,722,145	)

Net Assets - 100.00%				$	241,886,820

¹	Floating rate security. The rate disclosed was in effect at September 30, 2021.

²	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

³	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 $15,421, which is 0.01% 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 September 30, 2021.

⁸	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.

(CLO): Collateralized Loan Obligation

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar



Issues	Maturity Date	Principal Amount		Value

BONDS – 89.52%

ASSET-BACKED SECURITIES — 22.75%**
321 Henderson Receivables VI LLC,
Series 2010-1A, Class B
9.31%	07/15/61¹	$	251,805	$	295,554
ACAM Ltd.,
Series 2019-FL1, Class B
(Cayman Islands)
(SOFR30A plus 2.01%)
2.06%	11/17/34^1,2,3		8,800,000		8,727,693
Accredited Mortgage Loan Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.28%)
0.64%	04/25/36²		1,625,311		1,616,028
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-OP2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.24%	08/25/36²		148,079		147,607
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP1, Class A2D
(LIBOR USD 1-Month plus 0.38%)
0.47%	03/25/37²		2,511,945		1,522,394
ACRES Commercial Realty Ltd.,
Series 2021-FL1, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.60%)
1.68%	06/15/36^1,2,3		9,831,000		9,852,516
AGL CLO 13 Ltd.,
Series 2021-13A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
0.00%	10/20/34^1,2,3		12,375,000		12,381,188
AIG CLO Ltd.,
Series 2018-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.83%	04/20/32^1,2,3		15,800,000		15,800,474
Allegro CLO XII Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.83%	01/21/32^1,2,3		5,400,000		5,403,510
Apidos CLO XXII,
Series 2015-22A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.06%)
1.19%	04/20/31^1,2,3		5,000,000		5,000,100
Asset-Backed Funding Certificates,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.30%)
0.39%	05/25/37^1,2		4,273,328		4,128,706
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A1A
(LIBOR USD 1-Month plus 1.25%)
1.34%	06/25/37²		19,293,459		17,746,754



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
1.09%	06/25/37²	$	3,539,325	$	3,505,843
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
1.06%	12/25/34²		1,335,478		1,328,452
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE1, Class A4
(LIBOR USD 1-Month plus 0.60%)
0.69%	01/25/36²		2,403,763		2,404,236
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE5, Class A5
(LIBOR USD 1-Month plus 0.24%)
0.33%	07/25/36²		9,754,000		9,501,227
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.08%	07/20/29^1,2,3		6,850,000		6,852,391
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
0.73%	08/25/34^1,2		580,699		578,537
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
0.64%	01/25/35^1,2		383,008		378,899
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
0.54%	04/25/35^1,2		684,804		672,621
Blackrock Rainier CLO VI Ltd.,
Series 2021-6A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.83%	04/20/33^1,2,3		10,000,000		10,012,700
BlueMountain CLO Ltd.,
Series 2013-1A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.23%)
1.36%	01/20/29^1,2,3		2,146,027		2,146,319
BlueMountain CLO XXX Ltd.,
Series 2020-30A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.39%)
1.52%	01/15/33^1,2,3		11,000,000		11,021,450
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
1.63%	07/20/29^1,2,3		5,800,000		5,797,970
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
0.93%	02/25/30²		16,430		16,499



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Carrington Mortgage Loan Trust,
Series 2005-OPT2, Class M4
(LIBOR USD 1-Month plus 0.98%)
1.06%	05/25/35²	$	1,400,120	$	1,412,727
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.53%)
0.61%	02/25/36²		2,641,823		2,633,750
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.27%)
1.40%	10/25/32^1,2,3		8,000,000		8,001,496
CIT Education Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
0.43%	06/25/42^1,2		1,950,809		1,802,669
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.41%	12/25/36²		7,139,008		5,927,419
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2D
(LIBOR USD 1-Month plus 0.46%)
0.55%	12/25/36²		7,629,474		6,402,688
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class M1
(LIBOR USD 1-Month plus 0.41%)
0.49%	08/25/36²		3,467,559		3,479,727
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.33%	03/15/52^1,4		21,345,395		1,289,866
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.20%	10/15/52^1,4		6,336,358		417,562
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%	03/15/50¹		5,197,000		5,299,210
CoreVest American Finance Trust,
Series 2020-3, Class XA (IO)
3.82%	08/15/53^1,4		20,095,041		3,010,476
CoreVest American Finance Trust,
Series 2020-4, Class XA (IO)
3.87%	12/15/52^1,4		26,206,147		3,197,543
CoreVest American Finance Trust,
Series 2020-4, Class XB (IO)
2.83%	12/15/52^1,4		12,500,000		1,744,587
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF3 (STEP-reset date 11/25/21)
3.10%	12/25/36		731,398		736,138
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A2
(LIBOR USD 1-Month plus 0.11%)
0.20%	11/25/36²		8,195,680		4,891,113
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF2 (STEP-reset date 11/25/21)
3.26%	01/25/37		2,721,179		1,153,555



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(LIBOR USD 1-Month plus 0.09%)
0.18%	04/25/37²	$	1,786,520	$	1,738,557
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
0.15%	04/25/37²		1,489,764		1,113,828
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 11/25/21)
3.66%	02/25/37		4,956,881		3,958,106
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 11/25/21)
3.66%	02/25/37		1,186,388		947,228
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 11/25/21)
3.40%	03/25/37		5,950,768		3,147,501
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
0.94%	11/15/28^1,2,3		7,135,835		7,138,975
Eaton Vance CLO Ltd.,
Series 2013-1A, Class A13R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.38%	01/15/34^1,2,3		8,000,000		8,018,400
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
1.44%	07/26/66^1,2		14,308,542		14,842,607
ECMC Group Student Loan Trust,
Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
1.14%	05/25/67^1,2		13,246,907		13,445,759
Edsouth Indenture No. 3 LLC,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.73%)
0.82%	04/25/39^1,2		89,330		89,919
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
0.89%	04/26/32^1,2		2,949,848		2,951,242
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
1.14%	03/25/36²		53,538		53,861
EFS Volunteer No. 2 LLC,
Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
1.44%	03/25/36^1,2		2,143,230		2,170,394



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
First Franklin Mortgage Loan Trust,
Series 2006-FF11, Class 2A3
(LIBOR USD 1-Month plus 0.30%)
0.39%	08/25/36²	$	5,828,866	$	5,728,173
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.41%	10/25/36²		14,386,853		11,672,037
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
0.30%	12/25/37²		911,828		875,822
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3
(LIBOR USD 1-Month plus 0.56%)
0.65%	03/25/36²		6,838,876		6,698,483
First Franklin Mortgage Loan Trust,
Series 2006-FF9, Class 2A4
(LIBOR USD 1-Month plus 0.50%)
0.59%	06/25/36²		8,650,000		8,384,935
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.31%	01/25/38²		4,542,371		3,180,247
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
0.19%	03/25/37²		611,007		380,048
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/29^1,3		719,667		734,105
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
0.58%	08/25/42²		347,023		324,725
GoldenTree Loan Management U.S. CLO 1 Ltd.,
Series 2021-9A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
1.63%	01/20/33^1,2,3		4,075,000		4,073,452
Golub Capital Partners CLO 54M L.P,
Series 2021-54A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.53%)
1.65%	08/05/33^1,2,3		10,150,000		10,155,897
Grand Avenue CRE Ltd.,
Series 2020-FL2, Class C
(Cayman Islands)
(SOFR30A plus 3.73%)
3.78%	03/15/35^1,2,3		9,625,000		9,702,123
GSAMP Trust,
Series 2007-FM2, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.23%	01/25/37²		20,282,197		14,549,316



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Home Equity Mortgage Loan Asset-Backed Trust,
Series 2005-D, Class AII4
(LIBOR USD 1-Month plus 0.70%)
0.79%	03/25/36²	$	3,918,210	$	3,858,047
HSI Asset Securitization Corp. Trust,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
0.72%	11/25/35²		2,835,438		2,832,309
HSI Asset Securitization Corp. Trust,
Series 2006-HE2, Class 1A
(LIBOR USD 1-Month plus 0.26%)
0.34%	12/25/36²		29,289,688		15,198,217
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A1
(LIBOR USD 1-Month plus 0.10%)
0.19%	07/25/36²		11,212,308		6,483,158
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A2
(LIBOR USD 1-Month plus 0.20%)
0.29%	07/25/36²		12,409,865		7,249,963
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A4
(LIBOR USD 1-Month plus 0.50%)
0.59%	07/25/36²		10,851,846		6,534,818
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		32,313		33,422
J.G. Wentworth XXXVII LLC,
Series 2016-1A, Class A
3.41%	06/15/67¹		5,842,147		6,324,113
J.G. Wentworth XXXVIII LLC,
Series 2017-1A, Class A
3.99%	08/16/60¹		3,243,698		3,687,547
JPMorgan Mortgage Acquisition Trust,
Series 2006-ACC1, Class M1
(LIBOR USD 1-Month plus 0.41%)
0.49%	05/25/36²		2,491,388		2,510,216
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(LIBOR USD 1-Month plus 0.29%)
0.38%	07/25/36²		10,689,488		10,667,893
JPMorgan Mortgage Acquisition Trust,
Series 2006-WMC4, Class A4
(LIBOR USD 1-Month plus 0.15%)
0.24%	12/25/36²		9,992,595		6,482,154
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class MV3
(LIBOR USD 1-Month plus 0.32%)
0.41%	11/25/36²		4,472,564		4,474,699
LCM XXI LP,
Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
1.01%	04/20/28^1,2,3		1,843,360		1,843,065



Issues	Maturity Date		Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
LCM XXIV Ltd.,
Series 24A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
1.11%		03/20/30^1,2,3	$	15,000,000	$	15,014,700
Legacy Mortgage Asset Trust,
Series 2017-RPL1, Class A
(LIBOR USD 1-Month plus 1.75%)
1.84%		01/28/70^1,2		6,491,182		6,452,961
Legacy Mortgage Asset Trust,
Series 2019-GS4, Class A1 (STEP-reset date 10/25/21)
3.44%		05/25/59¹		10,800,776		10,822,674
Lehman XS Trust,
Series 2005-4, Class 1A3
(LIBOR USD 1-Month plus 0.80%)
0.89%		10/25/35²		28,346		28,417
Lehman XS Trust,
Series 2006-17, Class 1A3
(LIBOR USD 1-Month plus 0.50%)
0.59%		08/25/46²		16,548,745		16,118,327
M360 LLC,
Series 2019-CRE2, Class A
(Cayman Islands)
(SOFR30A plus 1.51%)
1.56%		09/15/34^1,2,3		5,716,746		5,722,379
Magnetite XVIII Ltd.,
Series 2016-18A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.20%		11/15/28^1,2,3		2,550,000		2,550,793
MASTR Asset-Backed Securities Trust,
Series 2006-WMC1, Class A3
(LIBOR USD 1-Month plus 0.36%)
0.45%		02/25/36²		18,077,451		9,257,015
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
(LIBOR USD 1-Month plus 0.28%)
0.37%		05/25/37²		3,150,000		2,902,968
MASTR Asset-Backed Securities Trust,
Series 2007-WMC1, Class A2
(LIBOR USD 1-Month plus 0.05%)
0.14%		01/25/37²		17,488,188		7,061,823
Merrill Lynch First Franklin Mortgage Loan Trust
Series 2007-4, Class 2A4
(LIBOR USD 1-Month plus 0.25%)
0.34%		07/25/37²		1,026,141		910,944
Merrill Lynch First Franklin Mortgage Loan Trust
Series 2007-5, Class 1A
(LIBOR USD 1-Month plus 0.85%)
0.94%		10/25/37²		26,415,324		19,176,411
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
0.34%		04/25/37²		19,315,609		11,006,034



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
MF1 Ltd.,
Series 2021-FL6, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.45%)
1.53%	07/16/36^1,2,3	$	6,684,000	$	6,700,690
Mid-State Capital Corp. Trust,
Series 2004-1, Class B
8.90%	08/15/37		31,533		35,205
Morgan Stanley ABS Capital I Trust,
Series 2006-NC2, Class A2D
(LIBOR USD 1-Month plus 0.58%)
0.67%	02/25/36²		1,699,650		1,698,077
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.39%	06/25/36²		10,451,955		6,965,763
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.48%)
0.57%	06/25/36²		11,149,876		7,553,580
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2007-NC3, Class A2C
(LIBOR USD 1-Month plus 0.19%)
0.28%	05/25/37²		20,805,109		18,446,427
Morgan Stanley Home Equity Loan Trust,
Series 2006-3, Class A4
(LIBOR USD 1-Month plus 0.52%)
0.61%	04/25/36²		14,045,211		12,399,451
Nelnet Student Loan Trust,
Series 2006-2, Class B
(LIBOR USD 3-Month plus 0.20%)
0.33%	01/25/38²		2,762,567		2,464,939
Nelnet Student Loan Trust,
Series 2007-1, Class A3
(LIBOR USD 3-Month plus 0.07%)
0.20%	05/27/25²		330,664		330,373
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
0.69%	10/27/36^1,2		87,332		87,137
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
1.04%	11/25/48^1,2		1,865,000		1,901,483
Nelnet Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
0.68%	04/25/46^1,2		1,785,732		1,780,922
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
0.99%	06/25/54^1,2		11,000,000		11,121,055
New Century Home Equity Loan Trust,
Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.66%)
0.75%	02/25/36²		1,045,434		1,009,645



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/29⁴	$	10,364,173	$	4,091,737
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
1.27%	07/15/36^1,2,3		11,700,000		11,737,358
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.38%	10/19/32^1,2,3		11,000,000		11,001,650
Option One Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.18%)
0.27%	04/25/37²		14,841,133		10,382,176
Option One Mortgage Loan Trust,
Series 2007-5, Class 2A2
(LIBOR USD 1-Month plus 0.17%)
0.26%	05/25/37²		20,796,296		13,824,188
Ownit Mortgage Loan Trust,
Series 2006-2, Class A1
(LIBOR USD 1-Month plus 0.42%)
0.51%	01/25/37²		6,388,381		5,948,863
Palmer Square CLO Ltd.,
Series 2020-3A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.37%)
1.49%	11/15/31^1,2,3		7,200,000		7,215,682
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.03%	10/24/27^1,2,3		2,236,456		2,236,847
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.68%	04/20/28^1,2,3		3,785,000		3,785,954
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
1.88%	01/20/34^1,2,3		5,000,000		5,003,785
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
0.40%	06/25/47²		5,152,000		4,923,063
Residential Asset Securities Corp.,
Series 2005-KS9, Class M4
(LIBOR USD 1-Month plus 0.60%)
0.99%	10/25/35²		1,586,462		1,588,487
Sabey Data Center Issuer LLC,
Series 2020-1, Class A2
3.81%	04/20/45¹		7,905,000		8,369,046



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
Saxon Asset Securities Trust,
Series 2005-4, Class M1
(LIBOR USD 1-Month plus 0.66%)
0.75%	11/25/37²	$	1,532,470	$	1,534,252
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.33%	05/25/47²		14,824,026		12,918,238
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 11/25/21)
2.92%	01/25/36		3,987,652		3,677,656
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
0.32%	02/25/37²		1,149,937		628,884
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR4, Class A2B
(LIBOR USD 1-Month plus 0.20%)
0.29%	05/25/37²		2,230,781		1,627,198
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
0.24%	12/25/36²		6,423,954		4,619,634
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	12/30/99^5,6		9,971,908		10,000,343
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.41%	08/15/31²		420,377		393,354
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
1.72%	12/15/32²		2,358,627		2,426,241
SLM Student Loan EDC Repackaging Trust,
Series 2013-M1, Class M1R
0.00%	10/28/29^†,1		6,250		6,344,375
SLM Student Loan Trust,
Series 2003-12, Class B
(LIBOR USD 3-Month plus 0.59%)
0.71%	03/15/38²		3,933,281		3,788,896
SLM Student Loan Trust,
Series 2003-4, Class A5D
(LIBOR USD 3-Month plus 0.75%)
0.87%	03/15/33^1,2		1,870,927		1,852,045
SLM Student Loan Trust,
Series 2003-7, Class B
(LIBOR USD 3-Month plus 0.57%)
0.69%	09/15/39²		2,781,383		2,624,302
SLM Student Loan Trust,
Series 2004-10, Class B
(LIBOR USD 3-Month plus 0.37%)
0.50%	01/25/40²		8,138,500		7,792,237
SLM Student Loan Trust,
Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
0.60%	07/25/39²		485,267		467,632



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2005-3, Class B
(LIBOR USD 3-Month plus 0.15%)
0.28%	04/25/40²	$	2,692,326	$	2,527,305
SLM Student Loan Trust,
Series 2006-8, Class B
(LIBOR USD 3-Month plus 0.23%)
0.36%	01/25/41²		3,156,508		2,945,542
SLM Student Loan Trust,
Series 2007-2, Class B
(LIBOR USD 3-Month plus 0.17%)
0.30%	07/25/25²		12,800,000		11,605,888
SLM Student Loan Trust,
Series 2007-3, Class A4
(LIBOR USD 3-Month plus 0.06%)
0.19%	01/25/22²		151,785		147,789
SLM Student Loan Trust,
Series 2007-3, Class B
(LIBOR USD 3-Month plus 0.15%)
0.28%	01/25/28²		12,800,000		12,040,317
SLM Student Loan Trust,
Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
0.88%	10/27/70²		2,195,000		2,004,939
SLM Student Loan Trust,
Series 2007-8, Class B
(LIBOR USD 3-Month plus 1.00%)
1.13%	04/27/83²		4,281,635		4,106,358
SLM Student Loan Trust,
Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
0.88%	04/25/23²		11,923,924		11,805,650
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.33%	01/25/83²		1,000,000		960,536
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.33%	04/26/83²		710,000		670,715
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
1.78%	07/25/22²		1,009,243		1,029,903
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%	04/25/73²		710,000		713,630
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
1.83%	07/25/23²		6,992,306		7,061,740
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%	07/25/73²		7,315,000		7,245,186



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.23%	07/25/23²	$	7,829,521	$	7,873,434
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%	07/26/83²		710,000		714,077
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
1.98%	07/26/83²		820,000		823,397
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
1.63%	04/25/23²		1,247,410		1,255,271
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.38%	10/25/75²		735,000		740,426
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.63%	04/25/23²		1,728,959		1,741,158
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.38%	10/25/83²		7,235,000		7,311,351
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
0.84%	01/25/45^1,2		6,884,731		6,925,599
SLM Student Loan Trust,
Series 2011-2, Class A2
(LIBOR USD 1-Month plus 1.20%)
1.29%	10/25/34²		4,035,000		4,105,466
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
1.04%	09/25/28²		769,513		763,216
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
0.79%	01/25/29²		1,136,272		1,118,859
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
0.74%	05/26/26²		2,893,760		2,839,713
SLM Student Loan Trust,
Series 2012-7, Class B
(LIBOR USD 1-Month plus 1.80%)
1.89%	09/25/43²		2,200,000		2,204,745
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
0.64%	06/25/43²		1,003,994		999,022



Issues	Maturity Date	Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.60%)
0.69%	02/26/29²	$	1,006,802	$	984,841
Soundview Home Loan Trust,
Series 2006-WF2, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.42%	12/25/36²		4,288,556		4,273,242
Soundview Home Loan Trust,
Series 2007-OPT1, Class 2A3
(LIBOR USD 1-Month plus 0.21%)
0.30%	06/25/37²		21,929,432		18,801,118
Soundview Home Loan Trust,
Series 2007-WMC1, Class 3A3
(LIBOR USD 1-Month plus 0.26%)
0.35%	02/25/37²		1,048,765		396,009
Structured Asset Investment Loan Trust,
Series 2004-6, Class A3
(LIBOR USD 1-Month plus 0.80%)
0.89%	07/25/34²		11,020,192		10,319,085
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-2XS, Class 2A2
(LIBOR USD 1-Month plus 1.50%)
1.59%	02/25/35²		93,338		94,738
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-4XS, Class 2A1A
(LIBOR USD 1-Month plus 1.75%)
1.84%	03/25/35²		1,226,606		1,255,154
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/46¹		1,514,284		1,705,375
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/36¹		1,093,772		1,309,266
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	1.61^1,2		150,000		138,393
TAL Advantage VII LLC,
Series 2020-1A, Class A
2.05%	09/20/45¹		9,576,500		9,663,246
TCI-Flatiron CLO Ltd.,
Series 2016-1A, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.73%	01/17/32^1,2,3		3,000,000		3,001,740
Textainer Marine Containers VIII Ltd.,
Series 2020-2A, Class A
(Bermuda)
2.10%	09/20/45^1,3		11,630,954		11,758,732
Textainer Marine Containers VIII Ltd.,
Series 2020-3A, Class A
(Bermuda)
2.11%	09/20/45^1,3		7,908,300		7,985,760
TIF Funding II LLC,
Series 2020-1A, Class A
2.09%	08/20/45¹		3,333,550		3,360,336



Issues	Maturity Date		Principal Amount		Value

ASSET-BACKED SECURITIES (continued)
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
0.20%		01/25/37²	$	5,906,787	$	3,664,106
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(LIBOR USD 1-Month plus 0.22%)
0.31%		02/25/37²		30,028,315		12,386,609
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2007-1, Class A3
(LIBOR USD 1-Month plus 0.64%)
0.73%		03/25/37²		4,690,000		4,350,045


Total Asset-Backed Securities
(Cost $943,581,033)						932,548,898


BANK LOANS — 4.35%*

Automotive — 0.01%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.33%		04/30/26²		507,125		505,540


Communications — 0.56%
CenturyLink, Inc.,
Term Loan A, 1st Lien
(LIBOR plus 2.00%)
2.08%		01/31/25²		912,500		908,266
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.33%		03/15/27²		1,833,504		1,816,058
Connect Finco SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%		12/11/26²		2,955,000		2,960,541
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.33%		07/17/25²		1,041,839		1,029,384
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.58%		04/15/27²		1,042,065		1,031,754
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%		08/02/27²		3,150,000		3,155,576
Frontier Communications holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%		05/01/28²		4,477,500		4,481,687
GTT Communications BV,
Term Loan B, 1st Lien
(EURIBOR plus 3.25%)
3.25%		05/31/25²		634,756		626,682
GTT Communications, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.88%		05/30/25²		933,061		795,434



Issues	Maturity Date	Principal Amount		Value

BANK LOANS (continued)

Communications (continued)
Intelsat Jackson Holdings SA,
Delayed-Draw Term Loan, 1st Lien (Luxembourg)
(LIBOR plus 4.75%)
5.75%	07/13/22^2,3,7	$	2,210,358	$	2,229,698
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.83%	03/01/27²		2,750,000		2,719,791
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.08%	03/09/27²		1,113,487		1,104,952

					22,859,823


Consumer Discretionary — 0.57%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.13%)
3.63%	12/23/27²		1,492,500		1,482,373
Kwor Acquisition, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.08%	06/03/26²		5,309,264		5,269,445
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	02/01/28²		4,527,250		4,537,866
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	10/01/26²		3,482,500		3,496,221
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	03/31/28²		5,810,438		5,810,089
Waystar technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.08%	10/22/26²		2,950,088		2,955,619

					23,551,613


Electric — 0.11%
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.33%	04/06/26²		3,957,215		3,945,264
Homer City Generation LP,
Term Loan B, 1st Lien
(LIBOR plus 11.00%)
15.00%	04/05/23^2,5,6		461,595		334,656
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
1.83%	12/31/25²		284,440		282,604

					4,562,524



Issues	Maturity Date	Principal Amount		Value

BANK LOANS (continued)

Entertainment — 0.12%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	02/28/25²	$	4,530,707	$	3,747,257
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
7.00%	05/23/24²		1,050,983		1,302,346

					5,049,603


Finance — 0.17%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.75%	12/01/27²		1,994,975		1,998,845
DCG Acquisition Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
4.59%	09/30/26²		372,181		373,111
Mirion Technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.08%	03/06/26²		965,102		968,122
Schweitzer-Mauduit International, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	02/09/28²		3,615,938		3,620,458

					6,960,536


Food — 0.17%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%	08/03/25²		1,031,579		1,029,841
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.83%	07/20/25²		3,293,529		3,256,477
Shearer’s Foods LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	09/23/27²		2,481,250		2,481,250

					6,767,568


Health Care — 0.64%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%	01/15/25²		175,812		175,330
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	03/01/24²		445,513		445,535
CPI Holdco LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
3.83%	11/04/26²		1,090,192		1,091,560

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Elanco Animal Health, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

08/01/27

3,767,006

3,725,626

Endo Luxembourg Finance Co.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

5.75%

03/27/28

3,034,750

2,974,692

Gentiva Health Services, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.75%)

2.88%

07/02/25

2,879,260

2,881,650

Grifols Worldwide Operations USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.07%

11/15/27

2,726,686

2,685,785

Horizon Therapeutics USA, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.00%)

2.50%

03/15/28

3,820,800

3,818,412

ICON Luxembourg SARL,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.00%

07/03/28

1,513,238

1,519,957

Indigo Merger Sub, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.50%)

3.00%

07/03/28

377,024

378,698

Pathway Vet Alliance LLC,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

3.83%

03/31/27

1,139,754

1,138,922

Phoenix Newco, Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

3.50%

08/11/28

2,750,000

2,753,877

U.S. Renal Care, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 5.00%)

5.08%

06/26/26

1,167,272

(LIBOR plus 5.50%)

6.50%

06/26/26

500,000

502,893

Valeant Pharmaceuticals International, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.00%)

3.08%

06/02/25

1,026,650

1,026,522

26,286,731

Industrials — 0.73%

Arterrsa Services LLC,

Term Loan, 1st Lien

(LIBOR plus 3.50%)

4.50%

03/06/25

1,995,000

1,987,529

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Berry Global, Inc.,

Term Loan Z, 1st Lien

(LIBOR plus 1.75%)

1.86%

07/01/26

4,807,567

4,787,134

Charter NEX U.S., Inc.,

Term Loan, 1st Lien

(LIBOR plus 3.75%)

4.50%

12/01/27

3,333,250

3,344,450

Liqui-Box Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.50%)

5.50%

02/26/27

1,728,125

1,638,841

Michaels Cos., Inc. (The),

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.00%

04/15/28

3,491,250

3,498,774

Plaze, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.58%

08/03/26

1,720,220

1,712,703

(LIBOR plus 3.75%)

4.50%

08/03/26

3,473,750

3,475,209

Proampac PG Borrower LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.50%

11/03/25

3,233,750

3,243,855

TransDigm, Inc.,

Term Loan E, 1st Lien

(LIBOR plus 2.25%)

2.33%

05/30/25

491,250

485,802

Zep, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

5.00%

08/12/24

5,952,261

5,822,055

29,996,352

Information Technology — 0.51%

AppLovin Corp.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.33%

08/15/25

3,775,880

3,775,578

CT Technologies Intermediate Holdings, Inc.,

Term Loan, 1st Lien

(LIBOR plus 4.25%)

5.00%

12/16/25

945,250

948,057

EagleView Technology Co.,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.58%

08/14/25

5,198,342

5,145,059

Gainwell Acquisition Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

10/01/27

^²

2,248,672

2,257,104

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

Helios Software Holdings, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

3.92%

03/11/28

1,657,143

1,657,350

IQVIA, Inc.,

Term Loan B1, 1st Lien

(LIBOR plus 1.75%)

1.83%

03/07/24

643,453

643,211

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.88%

06/11/25

909,227

908,545

Spin Holdco, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

03/04/28

4,768,050

4,786,741

SS&C Technologies, Inc.,

Term Loan B3, 1st Lien

(LIBOR plus 1.75%)

1.83%

04/16/25

358,485

355,417

Term Loan B4, 1st Lien

(LIBOR plus 1.75%)

1.83%

04/16/25

271,460

269,136

20,746,198

Insurance — 0.03%

Acrisure LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.50%)

3.63%

02/15/27

1,141,310

1,132,750

Materials — 0.07%

Herens U.S. Holdco Corp.,

Term Loan B, 1st Lien

(LIBOR plus 4.00%)

4.75%

07/03/28

2,842,875

2,855,057

Real Estate Investment Trust (REIT) — 0.22%

Aveanna Healthcare LLC,

Term Loan B, 1st Lien

(LIBOR plus 3.75%)

4.25%

07/01/28

3,042,453

3,045,069

Rent-A-Center, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 3.25%)

3.75%

02/17/28

3,950,150

3,969,901

SBA Senior Finance II LLC,

Term Loan B, 1st Lien

(LIBOR plus 1.75%)

1.84%

04/11/25

2,210,738

2,192,201

9,207,171

Retail — 0.30%

AmWINS Group, Inc.,

Term Loan B, 1st Lien

(LIBOR plus 2.25%)

3.00%

02/19/28

7,195,635

7,159,693



Issues	Maturity Date			Principal Amount		Value

BANK LOANS (continued)

Retail (continued)
Aveanna Healthcare LLC,
Delayed-Draw Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.00%		07/17/28	²	$	707,547	$	708,156
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
1.84%		11/19/26	^2,3		706,709		699,345
BW Gas & Convenience Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%		03/17/28	²		3,591,000		3,599,978

							12,167,172


Services — 0.09%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.58%		01/31/27	²		2,984,887		2,987,379
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%		05/30/25	²		597,771		599,547

							3,586,926


Transportation — 0.05%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.00%		08/17/29	²		2,155,000		2,141,531


Total Bank Loans
(Cost $177,423,980)							178,377,095


CORPORATES — 23.60%*

Banking — 4.38%
Bank of America Corp.
1.73%		07/22/27	⁴		7,580,000		7,621,563
Bank of America Corp.
(MTN)
2.09%		06/14/29	⁴		7,505,000		7,499,932
3.09%		10/01/25	⁴		8,295,000		8,820,399
3.97%		03/05/29	⁴		790,000		877,903
Bank of America Corp.,
Series N
1.66%		03/11/27	⁴		14,050,000		14,144,523
Comerica, Inc.
5.63%		10/01/70	⁴		2,145,000		2,367,544
Credit Suisse Group AG
(Switzerland)
1.31%		02/02/27	^1,3,4		3,045,000		2,980,908
2.19%		06/05/26	^1,3,4		8,574,000		8,746,474
3.09%		05/14/32	^1,3,4		3,560,000		3,653,369
3.75%		03/26/25	³		2,595,000		2,799,728
4.55%		04/17/26	³		940,000		1,056,464



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
Discover Bank
(BKNT)
3.45%		07/27/26		$	2,811,000	$	3,049,204
DNB Bank ASA
(Norway)
1.13%		09/16/26	^1,3,4		165,000		163,315
1.61%		03/30/28	^1,3,4		6,000,000		5,975,261
Global Bank Corp.
(Panama)
5.25%		04/16/29	^1,3,4		600,000		633,750
Global Bank Corp.,
Series REGS
(Panama)
5.25%		04/16/29	^3,4		1,000,000		1,056,250
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/27	^3,4		2,575,000		2,558,837
1.75%		07/24/27	^3,4		1,425,000		1,920,142
2.01%		09/22/28	^3,4		290,000		290,162
2.10%		06/04/26	^3,4		3,620,000		3,700,624
2.21%		08/17/29	^3,4		14,100,000		14,002,732
4.29%		09/12/26	^3,4		2,100,000		2,315,288
JPMorgan Chase & Co.
0.97%		06/23/25	⁴		6,645,000		6,654,138
1.47%		09/22/27	⁴		6,095,000		6,054,730
1.58%		04/22/27	⁴		10,020,000		10,042,699
2.01%		03/13/26	⁴		5,000,000		5,126,366
2.08%		04/22/26	⁴		1,720,000		1,769,777
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/27	^3,4		2,000,000		1,999,011
3.87%		07/09/25	^3,4		8,725,000		9,409,733
Macquarie Group Ltd.
(Australia)
2.69%		06/23/32	^1,3,4		2,290,000		2,287,955
NatWest Group PLC
(United Kingdom)
4.27%		03/22/25	^3,4		7,587,000		8,188,635
Santander UK Group Holdings PLC
(United Kingdom)
1.09%		03/15/25	^3,4		7,075,000		7,090,310
1.53%		08/21/26	^3,4		1,210,000		1,208,064
1.67%		06/14/27	^3,4		1,475,000		1,469,924
3.37%		01/05/24	^3,4		900,000		930,091
4.80%		11/15/24	^3,4		2,915,000		3,156,716
Santander UK PLC
(United Kingdom)
5.00%		11/07/23	^1,3		3,415,000		3,694,586
UBS AG
(Switzerland)
0.70%		08/09/24	^1,3		5,865,000		5,852,375
Wells Fargo & Co.
(MTN)
2.16%		02/11/26	⁴		680,000		701,687
2.39%		06/02/28	⁴		3,665,000		3,783,197



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Banking (continued)
2.88%		10/30/30	⁴	$	3,848,000	$	4,026,458

							179,680,824


Communications — 3.75%
AT&T, Inc.
2.55%		12/01/33			5,346,000		5,264,372
3.55%		09/15/55			511,000		505,077
3.80%		12/01/57			10,051,000		10,303,559
4.30%		12/15/42			2,300,000		2,565,843
4.50%		05/15/35			2,150,000		2,516,664
4.75%		05/15/46			1,875,000		2,246,889
5.25%		03/01/37			6,985,000		8,664,611
C&W Senior Financing DAC
(Ireland)
6.88%		09/15/27	^1,3		1,200,000		1,263,120
Charter Communications Operating LLC/Charter
Communications Operating Capital
5.38%		05/01/47			3,050,000		3,662,156
5.75%		04/01/48			827,000		1,050,232
CSC Holdings LLC
4.50%		11/15/31	¹		2,500,000		2,472,650
Diamond Sports Group LLC/Diamond Sports Finance Co.
5.38%		08/15/26	¹		5,011,000		3,330,352
6.63%		08/15/27	¹		6,465,000		2,878,135
Intelsat Jackson Holdings SA
(Luxembourg)
8.50%		10/15/24	^1,3,8,9		7,892,000		4,577,360
9.75%		07/15/25	^1,3,8,9		6,820,000		3,846,747
Level 3 Financing, Inc.
3.40%		03/01/27	¹		1,130,000		1,190,526
3.88%		11/15/29	¹		2,820,000		3,018,951
Lumen Technologies, Inc.
5.38%		06/15/29	¹		3,796,000		3,878,032
National CineMedia LLC
5.88%		04/15/28	¹		4,452,000		4,081,549
Scripps Escrow II, Inc.
5.38%		01/15/31	¹		5,342,000		5,259,867
SES GLOBAL Americas Holdings GP
5.30%		03/25/44	¹		8,494,000		9,732,564
Sinclair Television Group, Inc.
4.13%		12/01/30	¹		5,883,000		5,757,986
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/25	¹		9,931,250		10,618,989
5.15%		03/20/28	¹		12,400,000		14,186,220
Tencent Holdings Ltd.
(Cayman Islands)
3.84%		04/22/51	^1,3		3,585,000		3,771,710
Time Warner Cable LLC
5.50%		09/01/41			2,972,000		3,648,120
T-Mobile USA, Inc.
2.25%		02/15/26	¹		5,557,000		5,626,773
2.55%		02/15/31			115,000		115,485
2.63%		04/15/26			1,734,000		1,774,026
3.75%		04/15/27			1,000,000		1,102,203
3.88%		04/15/30			4,947,000		5,464,923



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Communications (continued)
4.38%		04/15/40		$	2,000,000	$	2,306,691
Verizon Communications, Inc.
2.36%		03/15/32	¹		4,910,000		4,862,473
Virgin Media Secured Finance PLC
(United Kingdom)
4.50%		08/15/30	^1,3		1,200,000		1,220,069
5.50%		05/15/29	^1,3		1,513,000		1,596,593
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%		07/15/31	^1,3		1,645,000		1,682,720
Vodafone Group PLC
(United Kingdom)
4.25%		09/17/50	³		50,000		57,718
4.88%		06/19/49	³		1,328,000		1,658,931
5.25%		05/30/48	³		4,682,000		6,069,671

							153,830,557


Consumer Discretionary — 1.00%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.70%		02/01/36			3,200,000		3,872,460
4.90%		02/01/46			3,921,000		4,827,117
Bacardi Ltd.
(Bermuda)
4.45%		05/15/25	^1,3		3,585,000		3,952,817
5.15%		05/15/38	^1,3		1,500,000		1,852,579
BAT Capital Corp.
2.73%		03/25/31			915,000		902,428
4.54%		08/15/47			500,000		518,800
4.70%		04/02/27			1,390,000		1,573,043
Becle, SAB de CV
(Mexico)
2.50%		12/30/99	³		4,450,000		4,404,432
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/24	^1,3		1,500,000		1,577,088
3.50%		07/26/26	^1,3		2,520,000		2,703,743
Reynolds American, Inc.
5.85%		08/15/45			12,245,000		14,938,942

							41,123,449


Electric — 1.01%
Cleco Power LLC
6.00%		12/01/40			825,000		1,131,005
Consolidated Edison Co. of New York, Inc.
4.45%		03/15/44			1,000,000		1,204,307
Dominion Energy, Inc.
5.75%		10/01/54	⁴		2,515,000		2,763,772
Duke Energy Carolinas LLC
3.70%		12/01/47			1,810,000		2,015,404
Eskom Holdings SOC Ltd.,
Series REGS
(South Africa)
7.13%		02/11/25	³		800,000		835,446



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Electric (continued)
FirstEnergy Corp.,
Series C
3.40%		03/01/50		$	6,898,000	$	6,648,706
FirstEnergy Transmission LLC
2.87%		09/15/28	¹		5,378,000		5,618,233
Metropolitan Edison Co.
4.00%		04/15/25	¹		2,625,000		2,767,099
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%		05/07/29	³		900,000		899,897
NextEra Energy Capital Holdings, Inc.
(LIBOR USD 3-Month plus 0.27%)
0.40%		02/22/23	²		6,335,000		6,335,864
Public Service Co. of New Mexico
3.85%		08/01/25			5,565,000		5,969,745
Southwestern Electric Power Co.
3.55%		02/15/22			2,625,000		2,634,543
Southwestern Electric Power Co.,
Series M
4.10%		09/15/28			2,190,000		2,472,095

							41,296,116


Energy — 2.72%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%		04/01/28	¹		1,700,000		1,763,750
Enbridge Energy Partners LP
5.88%		10/15/25			2,190,000		2,553,046
Energy Transfer LP
4.95%		06/15/28			2,000,000		2,296,159
5.00%		05/15/50			1,077,000		1,244,814
5.15%		03/15/45			2,826,000		3,237,170
5.40%		10/01/47			4,716,000		5,629,301
5.50%		06/01/27			1,448,000		1,699,829
6.13%		12/15/45			500,000		636,968
Energy Transfer LP,
Series B
6.63%		02/15/70	⁴		3,889,000		3,796,636
Exxon Mobil Corp.
4.11%		03/01/46			2,000,000		2,348,999
4.33%		03/19/50			3,280,000		4,022,534
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/34	^1,3		2,000,000		1,968,547
Hess Corp.
4.30%		04/01/27			2,265,000		2,517,072
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%		04/14/33	³		2,421,000		2,503,798
5.38%		04/24/30	³		1,679,000		1,985,283
KazTransGas JSC,
Series REGS
(Kazakhstan)
4.38%		09/26/27	³		650,000		717,665



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Kinder Morgan Energy Partners LP
5.00%		08/15/42		$	1,090,000	$	1,288,994
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%		02/01/26	¹		1,929,000		1,969,486
Occidental Petroleum Corp.
0.00%		10/10/36	¹⁰		7,308,000		4,037,670
Pertamina Persero PT
(Indonesia)
3.10%		08/27/30	^1,3		4,579,000		4,700,343
Petroleos Mexicanos
(Mexico)
1.70%		12/20/22	³		22,500		22,690
6.63%		06/15/35	³		6,120,000		5,836,950
6.75%		09/21/47	³		3,815,000		3,333,166
6.95%		01/28/60	³		1,595,000		1,387,889
Petronas Capital Ltd.
(Malaysia)
2.48%		01/28/32	^1,3		2,050,000		2,046,699
3.50%		04/21/30	^1,3		4,405,000		4,781,187
Plains All American Pipeline LP/PAA Finance Corp.
3.80%		09/15/30			2,000,000		2,136,736
4.50%		12/15/26			4,450,000		4,974,081
Rockies Express Pipeline LLC
4.80%		05/15/30	¹		2,000,000		2,070,000
4.95%		07/15/29	¹		1,000,000		1,041,552
6.88%		04/15/40	¹		3,175,000		3,508,375
Ruby Pipeline LLC
8.00%		04/01/22	^1,5,6		3,943,939		3,667,864
Saudi Arabian Oil Co.,
Series REGS
(Saudi Arabia)
1.63%		11/24/25	³		1,100,000		1,101,760
Southern Co. Gas Capital Corp.
3.25%		06/15/26			2,935,000		3,151,634
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%		03/24/26	³		2,776,000		3,280,399
Sunoco LP/Sunoco Finance Corp.
4.50%		05/15/29			1,846,000		1,882,725
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26			2,907,000		2,986,943
Transocean Pontus Ltd.
(Cayman Islands)
6.13%		08/01/25	^1,3		1,087,410		1,090,846
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/27	^1,3		4,148,000		4,133,710
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/24	^1,3		1,986,050		1,995,275
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%		09/01/27			1,777,000		1,883,807



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Energy (continued)
Venture Global Calcasieu Pass LLC
3.88%		08/15/29	¹	$	4,000,000	$	4,125,769

							111,358,121


Entertainment — 0.03%
Cinemark USA, Inc.
5.88%		03/15/26	¹		1,364,000		1,378,862


Finance — 2.79%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.65%		07/21/27	³		1,225,000		1,302,102
3.88%		01/23/28	³		1,090,000		1,164,378
3.95%		02/01/22	³		1,500,000		1,512,633
4.45%		12/16/21	³		1,750,000		1,758,311
Air Lease Corp.
2.25%		01/15/23			2,000,000		2,044,126
3.50%		01/15/22			2,000,000		2,017,355
3.88%		07/03/23			2,862,000		3,009,820
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/27	^1,3		5,278,000		5,195,309
2.88%		02/15/25	^1,3		4,555,000		4,686,603
3.95%		07/01/24	^1,3		1,035,000		1,099,055
Citigroup, Inc.
1.46%		06/09/27	⁴		5,610,000		5,582,133
4.41%		03/31/31	⁴		6,526,000		7,538,766
Daimler Finance North America LLC
(LIBOR USD 3-Month plus 0.90%)
1.02%		02/15/22	^1,2		4,095,000		4,108,122
Ford Motor Credit Co. LLC
3.22%		01/09/22			3,700,000		3,713,875
3.34%		03/28/22			7,735,000		7,803,321
(LIBOR USD 3-Month plus 0.88%)
1.00%		10/12/21	²		3,000,000		3,000,021
(LIBOR USD 3-Month plus 1.08%)
1.20%		08/03/22	²		2,555,000		2,553,723
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³		8,872,000		10,657,234
General Motors Financial Co., Inc.
3.15%		06/30/22			500,000		508,694
3.45%		04/10/22			675,000		682,277
4.20%		11/06/21			2,950,000		2,960,035
Goldman Sachs Group, Inc. (The)
1.54%		09/10/27	⁴		2,520,000		2,513,361
3.27%		09/29/25	⁴		12,035,000		12,872,637
Morgan Stanley
1.59%		05/04/27	⁴		5,470,000		5,487,343
Morgan Stanley
(GMTN)
1.51%		07/20/27	⁴		11,395,000		11,346,543
Nationwide Building Society
(United Kingdom)
3.62%		04/26/23	^1,3,4		5,000,000		5,087,397
3.77%		03/08/24	^1,3,4		2,570,000		2,680,001



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Finance (continued)
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	^1,3	$	455,000	$	475,557
5.50%		02/15/24	^1,3		861,000		939,807

							114,300,539


Food — 0.49%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
5.50%		01/15/30	^1,3		1,005,000		1,119,038
6.50%		04/15/29	^1,3		2,952,000		3,299,344
Kraft Heinz Foods Co.
3.88%		05/15/27			4,795,000		5,239,064
4.88%		10/01/49			424,000		516,798
Post Holdings, Inc.
4.50%		09/15/31	¹		3,000,000		2,976,147
4.63%		04/15/30	¹		1,629,000		1,643,629
Smithfield Foods, Inc.
5.20%		04/01/29	¹		4,690,000		5,390,414

							20,184,434


Health Care — 2.90%
AbbVie, Inc.
4.05%		11/21/39			1,550,000		1,782,514
4.40%		11/06/42			5,190,000		6,202,285
4.45%		05/14/46			2,350,000		2,829,169
Bayer U.S. Finance II LLC
4.25%		12/15/25	¹		2,005,000		2,217,325
4.38%		12/15/28	¹		8,135,000		9,217,267
4.63%		06/25/38	¹		2,775,000		3,277,878
4.88%		06/25/48	¹		4,415,000		5,411,859
5.50%		08/15/25	¹		2,000,000		2,256,681
Becton Dickinson and Co.
6.70%		08/01/28			2,930,000		3,545,460
Centene Corp.
2.45%		07/15/28			13,561,000		13,634,917
Cigna Corp.
3.88%		10/15/47			4,825,000		5,376,432
4.13%		11/15/25			2,380,000		2,645,720
CommonSpirit Health
2.78%		10/01/30			3,680,000		3,791,028
3.91%		10/01/50			1,220,000		1,335,395
CVS Health Corp.
5.05%		03/25/48			5,417,000		6,988,562
5.13%		07/20/45			755,000		974,229
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/28	^1,3		3,650,000		2,637,125
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%		04/01/29	^1,3		1,948,000		1,949,710
Fresenius Medical Care U.S. Finance II, Inc.
5.88%		01/31/22	¹		3,055,000		3,108,387



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Health Care (continued)
Grifols Escrow Issuer SA
(Spain)
4.75%		10/15/28	^1,3	$	2,000,000	$	2,048,975
HCA, Inc.
4.13%		06/15/29			2,400,000		2,682,523
5.00%		03/15/24			5,533,000		6,072,611
5.25%		04/15/25			2,477,000		2,809,073
5.25%		06/15/49			4,670,000		5,970,869
HCRX Investments Holdco LP
4.50%		08/01/29	¹		4,090,000		4,115,583
ModivCare Escrow Issuer, Inc.
5.00%		10/01/29	¹		2,000,000		2,075,600
Molina Healthcare, Inc.
3.88%		11/15/30	¹		3,128,000		3,302,650
4.38%		06/15/28	¹		2,500,000		2,603,568
Mozart Debt Merger Sub, Inc.
3.88%		04/01/29	¹		4,068,000		4,068,000
Prime Healthcare Services, Inc.
7.25%		11/01/25	¹		1,754,000		1,881,165
Universal Health Services, Inc.
1.65%		09/01/26	¹		1,500,000		1,491,723
2.65%		01/15/32	¹		590,000		585,431

							118,889,714


Industrials — 0.68%
Amcor Finance USA, Inc.
3.63%		04/28/26			2,125,000		2,318,698
Artera Services LLC
9.03%		12/04/25	¹		1,730,000		1,878,698
Berry Global, Inc.
1.57%		01/15/26	¹		1,740,000		1,741,554
4.88%		07/15/26	¹		1,195,000		1,256,304
Boeing Co. (The)
1.43%		02/04/24			8,790,000		8,803,110
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.60%		08/15/36	²		10,370,000		9,052,747
General Electric Co.,
Series A (MTN)
6.75%		03/15/32			2,130,000		2,916,125

							27,967,236


Information Technology — 0.24%
NXP BV/NXP Funding LLC
(Netherlands)
4.63%		06/01/23	^1,3		795,000		846,375
Oracle Corp.
2.88%		03/25/31			1,325,000		1,366,221
3.95%		03/25/51			7,295,000		7,736,850

							9,949,446


Insurance — 0.89%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/29	¹		4,660,000		4,612,961
Athene Global Funding
1.99%		08/19/28	¹		8,980,000		8,880,991



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Insurance (continued)
Farmers Exchange Capital
7.20%		07/15/48	¹	$	150,000	$	218,216
Farmers Exchange Capital II
6.15%		11/01/53	^1,4		2,500,000		3,218,609
Farmers Insurance Exchange
4.75%		11/01/57	^1,4		3,800,000		4,319,804
8.63%		05/01/24	¹		942,000		1,113,745
Nationwide Mutual Insurance Co.
2.41%		12/15/24	^1,4		3,825,000		3,829,541
Teachers Insurance & Annuity Association of America
3.30%		05/15/50	¹		2,645,000		2,785,059
4.27%		05/15/47	¹		480,000		580,189
4.38%		09/15/54	^1,4		6,470,000		6,786,980

							36,346,095


Materials — 0.38%
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
3.15%		01/14/30	³		5,100,000		5,277,990
4.50%		09/16/25	³		245,000		272,121
Indonesia Asahan Aluminium Persero PT
(Indonesia)
6.53%		11/15/28	^1,3		5,508,000		6,719,760
Unifrax Escrow Issuer Corp.
5.25%		09/30/28	¹		2,000,000		2,027,131
7.50%		09/30/29	¹		1,020,000		1,046,529

							15,343,531


Real Estate Investment Trust (REIT) — 1.46%
American Campus Communities Operating Partnership LP
3.63%		11/15/27			2,246,000		2,459,662
3.75%		04/15/23			2,925,000		3,046,386
4.13%		07/01/24			1,475,000		1,601,727
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24			4,185,000		4,391,028
3.45%		11/15/29			11,930,000		12,438,002
GLP Capital LP/GLP Financing II, Inc.
5.25%		06/01/25			535,000		597,237
5.30%		01/15/29			2,280,000		2,655,174
5.38%		04/15/26			3,855,000		4,387,761
5.75%		06/01/28			6,241,000		7,330,054
Healthcare Realty Trust, Inc.
3.88%		05/01/25			2,190,000		2,361,572
Hudson Pacific Properties LP
3.95%		11/01/27			2,500,000		2,739,740
Lexington Realty Trust
2.70%		09/15/30			2,000,000		2,026,426
Piedmont Operating Partnership LP
3.40%		06/01/23			4,520,000		4,678,075
Post Apartment Homes LP
3.38%		12/01/22			45,000		46,173
SL Green Realty Corp.
4.50%		12/01/22			3,000,000		3,101,861
Ventas Realty LP
3.00%		01/15/30			1,705,000		1,774,800



Issues	Maturity Date			Principal Amount		Value

CORPORATES (continued)

Real Estate Investment Trust (REIT) (continued)
3.25%		10/15/26		$	2,875,000	$	3,076,623
3.75%		05/01/24			875,000		931,409

							59,643,710


Retail — 0.20%
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/27	^1,3		1,935,000		2,132,549
Michaels Cos., Inc. (The)
7.88%		05/01/29	¹		5,775,000		6,008,743

							8,141,292


Services — 0.58%
Adtalem Global Education, Inc.
5.50%		03/01/28	¹		1,962,000		1,983,692
DP World Crescent Ltd.
(Cayman Islands)
4.85%		09/26/28	^1,3		4,036,000		4,609,919
GFL Environmental, Inc.
(Canada)
4.75%		06/15/29	^1,3		662,000		680,917
IHS Markit Ltd.
(Bermuda)
4.00%		03/01/26	^1,3		1,516,000		1,669,813
4.75%		02/15/25	^1,3		11,600,000		12,847,812
4.75%		08/01/28	³		1,750,000		2,051,175

							23,843,328


Transportation — 0.10%
American Airlines Pass-Through Trust,
Series 2015-2, Class AA
3.60%		09/22/27			2,097,160		2,177,238
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22			1,166,376		1,181,720
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23			602,494		621,074
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24			60,819		64,381

							4,044,413


Total Corporates
(Cost $935,118,095)							967,321,667


FOREIGN GOVERNMENT OBLIGATIONS — 2.74%

Foreign Government Obligations — 2.74%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%		09/30/29	³		3,798,000		3,970,809
Brazilian Government International Bond
(Brazil)
2.88%		06/06/25	³		1,500,000		1,536,300
3.88%		06/12/30	³		5,010,000		4,864,898
4.63%		01/13/28	³		562,000		593,303



Issues	Maturity Date			Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)
Chile Government International Bond
(Chile)
2.45%		01/31/31	³	$	1,700,000	$	1,687,131
3.24%		02/06/28	³		1,678,000		1,787,062
Colombia Government International Bond
(Colombia)
3.00%		01/30/30	³		7,973,000		7,536,877
3.13%		04/15/31	³		900,000		844,920
4.50%		01/28/26	³		2,855,000		3,063,422
Dominican Republic International Bond
(Dominican Republic)
4.50%		01/30/30	^1,3		3,700,000		3,776,220
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%		09/23/32	³		2,580,000		2,638,308
Egypt Government International Bond
(Egypt)
7.60%		03/01/29	^1,3		700,000		727,342
Egypt Government International Bond,
Series REGS
(Egypt)
5.25%		10/06/25	³		1,200,000		1,226,057
Fondo MIVIVIENDA SA,
Series REGS
(Peru)
3.50%		01/31/23	³		650,000		668,720
Indonesia Government International Bond
(Indonesia)
2.85%		02/14/30	³		3,100,000		3,210,050
Mexico Government International Bond
(Mexico)
2.66%		05/24/31	³		6,531,000		6,306,334
3.75%		01/11/28	³		5,425,000		5,919,312
4.75%		04/27/32	³		3,000,000		3,381,810
Oman Government International Bond,
Series REGS
(Oman)
5.63%		01/17/28	³		1,500,000		1,564,575
Panama Government International Bond
(Panama)
2.25%		09/29/32	³		3,000,000		2,827,500
3.16%		01/23/30	³		6,131,000		6,326,947
Paraguay Government International Bond
(Paraguay)
2.74%		01/29/33	^1,3		2,626,000		2,530,807
Peruvian Government International Bond
(Peru)
2.84%		06/20/30	³		3,525,000		3,562,012
Philippine Government International Bond
(Philippines)
1.65%		06/10/31	³		741,000		705,803
1.95%		01/06/32	³		930,000		900,891
2.46%		05/05/30	³		1,134,000		1,160,428



Issues	Maturity Date			Principal Amount		Value

FOREIGN GOVERNMENT OBLIGATIONS (continued)

Foreign Government Obligations (continued)
Qatar Government International Bond,
Series REGS
(Qatar)
3.75%		04/16/30	³	$	2,640,000	$	2,978,976
4.50%		04/23/28	³		6,726,000		7,856,096
Republic of South Africa Government International Bond
(South Africa)
4.30%		10/12/28	³		3,607,000		3,629,120
4.85%		09/30/29	³		4,655,000		4,793,079
Romanian Government International Bond,
Series REGS
(Romania)
3.00%		02/14/31	³		3,500,000		3,580,500
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%		10/26/26	³		3,700,000		3,996,000
3.25%		10/22/30	³		2,220,000		2,381,310
3.63%		03/04/28	³		3,675,000		4,041,985
Turkey Government International Bond
(Turkey)
5.13%		03/25/22	³		2,250,000		2,284,785
Uruguay Government International Bond
(Uruguay)
4.38%		01/23/31	³		2,788,717		3,229,613


Total Foreign Government Obligations
(Cost $113,005,051)							112,089,302


MORTGAGE-BACKED — 34.71%**

Non-Agency Commercial Mortgage-Backed — 7.65%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%		08/10/35	¹		15,891,538		16,709,838
ACRES Commercial Realty Corp.,
Series 2020-RSO9, Class AS
(Cayman Islands)
(SOFR30A plus 3.61%)
3.66%		04/17/37	^1,2,3		9,606,042		9,751,156
ACRES Commercial Realty Corp.,
Series 2020-RSO9, Class B
(Cayman Islands)
(SOFR30A plus 4.01%)
4.06%		04/17/37	^1,2,3		7,639,192		7,760,129
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.23%		08/10/38	^1,4		7,985,000		9,069,144
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BOC, Class A
2.63%		01/15/32	¹		5,000,000		5,189,733
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BOC, Class X (IO)
0.57%		01/15/32	^1,4		98,610,000		2,178,517

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)

BDS Ltd.,

Series 2020-FL6, Class D

(Cayman Islands)

(SOFR30A plus 2.86%)

2.91%

09/15/35

^1,2,3

7,801,000

7,937,971

BFLD Trust,

Series 2021-FPM, Class A

(LIBOR USD 1-Month plus 1.60%)

1.68%

06/15/38

^1,2

7,182,000

7,200,459

BX Commercial Mortgage Trust,

Series 2018-IND, Class H

(LIBOR USD 1-Month plus 3.00%)

3.08%

11/15/35

^1,2

7,760,200

7,770,790

BX Trust,

Series 2019-OC11, Class A

3.20%

12/09/41

7,060,000

7,564,203

BX Trust,

Series 2021-LBA, Class EJV

(LIBOR USD 1-Month plus 2.00%)

2.08%

02/15/36

^1,2

10,000,000

10,022,687

CALI Mortgage Trust,

Series 2019-101C, Class A

3.96%

03/10/39

10,760,000

12,176,391

CAMB Commercial Mortgage Trust,

Series 2019-LIFE, Class G

(LIBOR USD 1-Month plus 3.25%)

3.33%

12/15/37

^1,2

8,503,000

8,529,676

CD Mortgage Trust,

Series 2016-CD1, Class XA (IO)

1.52%

08/10/49

⁴

64,378,662

3,479,660

Century Plaza Towers,

Series 2019-CPT, Class A

2.87%

11/13/39

6,125,000

6,469,924

Citigroup Commercial Mortgage Trust,

Series 2012-GC8, Class XA (IO)

1.89%

09/10/45

^1,4

35,326,755

324,925

Citigroup Commercial Mortgage Trust,

Series 2015-GC27, Class XA (IO)

1.48%

02/10/48

⁴

66,271,416

2,449,150

Commercial Mortgage Trust,

Series 2012-CR4, Class XA (IO)

1.84%

10/15/45

⁴

42,194,586

540,665

Commercial Mortgage Trust,

Series 2012-CR5, Class XA (IO)

1.65%

12/10/45

⁴

68,755,991

950,263

Commercial Mortgage Trust,

Series 2013-CR13, Class XA (IO)

0.91%

11/10/46

⁴

60,916,752

877,457

Commercial Mortgage Trust,

Series 2014-CR16, Class XA (IO)

1.12%

04/10/47

⁴

103,428,075

2,171,074

Commercial Mortgage Trust,

Series 2020-CBM, Class XCP (IO)

0.72%

02/10/37

^1,4

68,872,262

1,308,022



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%)
2.43%		03/15/38	^1,2	$	7,211,000	$	7,210,867
CSMC,
Series 2019-RIO, Class A
(LIBOR USD 1-Month plus 3.02%)
4.02%		12/15/21	^1,2		7,252,000		7,265,254
CSMC,
Series 2021-BPNY, Class A
(LIBOR USD 1-Month plus 3.71%)
3.80%		08/15/23	^1,2		10,974,000		11,001,410
DBJPM Mortgage Trust,
Series 2016-SFC, Class A
2.83%		08/10/36	¹		8,000,000		8,194,406
DC Office Trust,
Series 2019-MTC, Class A
2.97%		09/15/45	¹		6,555,000		6,956,339
Grace Trust,
Series 2020-GRCE, Class A
2.35%		12/10/40	¹		8,000,000		8,117,155
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.45%		02/10/37	^1,4		40,999,000		466,200
GS Mortgage Securities Trust
Series 2012-ALOH, Class A
3.55%		04/10/34	¹		6,825,000		6,874,128
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.16%		04/10/47	⁴		60,946,141		1,244,179
GSCG Trust,
Series 2019-600C, Class G
4.12%		09/06/34	^1,4		9,212,000		8,739,252
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/39	¹		6,340,000		6,866,224
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
3.04%		12/10/41	^1,4		6,555,000		6,980,799
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
3.04%		12/10/41	^1,4		3,131,000		2,995,053
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%		06/05/39	¹		8,000,000		8,785,330
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2021-1440, Class B
(LIBOR USD 1-Month plus 1.75%)
1.83%		03/15/36	^1,2		15,000,000		15,046,915
Life Mortgage Trust,
Series 2021-BMR, Class G
(LIBOR USD 1-Month plus 2.95%)
3.03%		03/15/38	^1,2		10,718,000		10,829,083



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
MF1 Ltd.,
Series 2020-FL3, Class AS
(SOFR30A plus 2.96%)
3.01%		07/15/35	^1,2	$	8,800,000	$	8,937,804
MKT Mortgage Trust,
Series 2020-525M, Class A
2.69%		02/12/40	¹		4,500,000		4,694,084
MKT Mortgage Trust,
Series 2020-525M, Class XA (IO)
0.29%		02/12/40	^1,4		147,585,000		2,517,180
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.16%		04/15/48	⁴		71,767,894		1,952,453
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.86%		05/15/48	⁴		112,165,113		2,641,310
Morgan Stanley Capital I Trust,
Series 2018-MP, Class A
4.42%		07/11/40	^1,4		7,915,000		8,870,412
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.46%		01/15/43	^1,4		1,095,000		1,113,562
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/15/54	¹		6,895,000		7,122,717
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%		01/05/43	^1,4		1,840,000		2,038,393
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.53%		01/05/43	^1,4		10,000,000		9,147,632
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class D
4.53%		01/05/43	^1,4		8,780,000		7,240,623
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.24%		08/15/50	⁴		47,811,404		1,115,003
Wells Fargo Commercial Mortgage Trust,
Series 2016-C33, Class XA (IO)
1.77%		03/15/59	⁴		82,878,196		5,033,098
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.63%		12/15/45	^1,4		61,099,204		793,514
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.94%		08/15/45	^1,4		41,238,177		260,114
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
2.02%		11/15/45	^1,4		34,257,338		426,112
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.81%		06/15/46	⁴		61,442,325		481,431



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2014-C23, Class XA (IO)
0.71%		10/15/57	⁴	$	79,429,017	$	1,141,991

							313,531,861


Non-Agency Mortgage-Backed — 12.50%
Adjustable Rate Mortgage Trust,
Series 2005-4, Class 5A1
2.47%		08/25/35	⁴		1,603,824		1,432,994
Adjustable Rate Mortgage Trust,
Series 2007-1, Class 1A1
2.92%		03/25/37	⁴		2,577,721		2,336,124
Alternative Loan Trust,
Series 2005-74T1, Class A1
6.00%		01/25/36			6,027,046		4,812,073
Alternative Loan Trust,
Series 2005-76, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus 1.48%)
1.57%		01/25/36	²		3,272,602		3,296,061
Alternative Loan Trust,
Series 2006-HY12, Class A5
3.02%		08/25/36	⁴		2,728,095		2,755,991
American Home Mortgage Investment Trust,
Series 2006-1, Class 12A1
(LIBOR USD 1-Month plus 0.40%)
0.49%		03/25/46	²		3,372,231		3,302,426
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%		10/25/33			609,915		627,981
Banc of America Funding Trust,
Series 2004-B, Class 5A1
2.68%		11/20/34	⁴		216,800		220,628
Banc of America Funding Trust,
Series 2006-D, Class 3A1
2.93%		05/20/36	⁴		757,512		737,192
Banc of America Funding Trust,
Series 2006-G, Class 2A1
(LIBOR USD 1-Month plus 0.44%)
0.53%		07/20/36	²		56,759		56,838
Banc of America Funding Trust,
Series 2006-G, Class 2A4
(LIBOR USD 1-Month plus 0.58%)
0.67%		07/20/36	²		226,681		227,034
Banc of America Funding Trust,
Series 2015-R3, Class 6A2
0.25%		05/27/36	^1,4		15,199,703		14,381,334
Banc of America Funding Trust,
Series 2016-R1, Class A1
2.50%		03/25/40	^1,4		446,370		450,352
Banc of America Funding Trust,
Series 2016-R1, Class B1
3.50%		03/25/40	^1,4		16,181,000		15,804,294
Banc of America Mortgage Trust,
Series 2005-K, Class 2A1
2.66%		12/25/35	⁴		990,954		970,144

Issues

Maturity

Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

BCAP LLC Trust,

Series 2007-AA1, Class 2A1

(LIBOR USD 1-Month plus 0.18%)

0.27%

03/25/37

3,213,923

3,178,555

BCAP LLC Trust,

Series 2014-RR3, Class 4A1

0.38%

03/26/36

^1,4

2,608,003

2,516,063

Bear Stearns ALT-A Trust,

Series 2005-1, Class M1

(LIBOR USD 1-Month plus 0.75%)

0.84%

01/25/35

6,716,635

6,768,128

Bear Stearns ALT-A Trust,

Series 2005-2, Class 2A4

2.86%

04/25/35

⁴

1,137,521

1,142,879

Bear Stearns ALT-A Trust,

Series 2005-8, Class 11A1

(LIBOR USD 1-Month plus 0.54%)

0.63%

10/25/35

6,455,907

6,251,507

Bear Stearns ARM Trust,

Series 2005-9, Class A1

(US Treasury Yield Curve Rate T Note Constant Maturity

1-Year plus 2.30%)

2.38%

10/25/35

1,321,720

1,359,998

Bear Stearns Asset-Backed Securities I Trust,

Series 2005-AC6, Class 1A3

5.50%

09/25/35

⁴

379,902

388,688

Bear Stearns Asset-Backed Securities I Trust,

Series 2006-AC2, Class 21A3

6.00%

03/25/36

33,091

34,637

Bear Stearns Mortgage Funding Trust,

Series 2007-AR4, Class 1A1

(LIBOR USD 1-Month plus 0.20%)

0.29%

09/25/47

6,039,562

5,800,764

Bear Stearns Mortgage Funding Trust,

Series 2007-AR4, Class 2A1

(LIBOR USD 1-Month plus 0.21%)

0.30%

06/25/37

4,601,320

4,410,518

Chase Mortgage Finance Trust,

Series 2007-A1, Class 8A1

2.47%

02/25/37

⁴

592,468

616,395

CIM Trust,

Series 2018-R5, Class A1

3.75%

07/25/58

^1,4

6,390,020

6,471,086

CIM Trust,

Series 2019-R3, Class A

2.63%

06/25/58

^1,4

9,687,905

9,603,004

CIM Trust,

Series 2020-NR1, Class A (STEP-reset date 11/25/21)

3.45%

06/26/62

14,776,264

14,931,335

CIM Trust,

Series 2020-R1, Class A1

2.85%

10/27/59

^1,4

13,406,090

11,442,152

CIM Trust,

Series 2020-R3, Class A1A

4.00%

01/26/60

^1,4

9,607,916

9,194,224



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2020-R6, Class A1A
2.25%		12/25/60	^1,4	$	7,134,976	$	7,080,324
CIM Trust,
Series 2020-R7, Class A1A
2.25%		12/27/61	^1,4		12,209,649		12,191,517
CIM Trust,
Series 2021-NR3, Class A1 (STEP-reset date 11/25/21)
2.57%		06/25/57	¹		6,539,387		6,551,894
CIM Trust,
Series 2021-R3, Class A1B
1.95%		06/25/57	^1,4		18,287,000		17,277,192
CIM Trust,
Series 2021-R4, Class A1A
2.00%		05/01/61	^1,4		15,652,470		15,709,136
CIM Trust,
Series 2021-R5, Class A1A
2.00%		08/25/61	^1,4		11,694,462		11,661,273
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.18%		06/25/36	⁴		133,606		130,814
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
0.35%		11/25/35	²		50,068		44,299
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-3, Class 1A2
(LIBOR USD 1-Month plus 0.58%)
0.67%		04/25/35	²		3,390,264		3,256,983
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
0.69%		05/25/35	²		77,619		66,797
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR26, Class 3A1
2.49%		11/25/33	⁴		451,912		455,978
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-11, Class 1A1
6.50%		12/25/35			591,117		413,183
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates,
Series 2004-AR5, Class 9A1
1.92%		06/25/34	⁴		44,958		45,024
Credit Suisse Mortgage Capital Trust,
Series 2006-8, Class 3A1
6.00%		10/25/21			26,089		15,662
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.43%		02/25/60	^1,4		12,355,468		12,714,756
CSMC Mortgage-Backed Trust,
Series 2006-1, Class 1A4
5.50%		02/25/36			3,948,604		4,012,858
CSMC Trust,
Series 2021-RPL7, Class A1
1.93%		12/01/50	^†,1		10,454,584		10,454,603



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
CSMCM Trust,
Series 2018-SP3, Class CERT
3.06%		10/25/58	^1,4	$	17,390,736	$	16,867,155
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.72%)
0.81%		01/19/45	²		607,284		530,060
DSLA Mortgage Loan Trust,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.58%)
0.67%		10/19/45	²		3,750,124		3,662,452
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.29%		10/19/36	²		6,078,381		5,211,172
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
0.23%		03/19/37	²		1,475,475		1,389,661
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.28%		09/25/34	⁴		219,040		218,817
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A3
2.28%		09/25/34	⁴		336,815		336,472
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
2.51%		12/25/35	⁴		973,306		930,111
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
2.45%		02/25/36	⁴		1,492,712		1,222,328
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA2, Class 2A1
2.57%		04/25/35	⁴		1,945,539		2,088,848
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA3, Class 3A1
2.26%		05/25/35	⁴		1,549,573		1,491,632
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
2.34%		09/25/35	⁴		1,886,098		1,852,552
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
2.27%		10/25/35	⁴		2,151,929		1,673,437
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
2.34%		11/25/35	⁴		1,432,677		1,306,845
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA1, Class 1A1
2.33%		03/25/36	⁴		1,638,903		1,349,395
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA7, Class A1
2.64%		01/25/37	⁴		2,644,162		2,346,693
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 1A1
2.57%		09/25/35	⁴		1,375,092		1,075,977

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

First Horizon Mortgage Pass-Through Trust,

Series 2005-AR4, Class 2A1

2.79%

10/25/35

⁴

70,298

71,258

First Horizon Mortgage Pass-Through Trust,

Series 2005-AR5, Class 2A1

2.71%

11/25/35

⁴

716,202

609,376

First Horizon Mortgage Pass-Through Trust,

Series 2007-AR2, Class 1A2

2.59%

08/25/37

⁴

56,825

27,182

GMACM Mortgage Corp. Loan Trust,

Series 2005-AR5, Class 2A1

2.76%

09/19/35

⁴

1,372,975

1,081,069

GMACM Mortgage Corp. Loan Trust,

Series 2005-AR5, Class 3A1

3.44%

09/19/35

⁴

1,351,348

1,286,271

GMACM Mortgage Corp. Loan Trust,

Series 2006-AR1, Class 1A1

2.98%

04/19/36

⁴

3,147,259

2,774,623

GreenPoint Mortgage Funding Trust,

Series 2007-AR1, Class 2A1A

(LIBOR USD 1-Month plus 0.20%)

0.29%

03/25/47

11,249,982

10,594,681

GSR Mortgage Loan Trust,

Series 2005-7F, Class 3A3 (IO)

(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap)

5.41%

09/25/35

^2,5,6

13,608

681

GSR Mortgage Loan Trust,

Series 2005-AR4, Class 5A1

3.16%

07/25/35

⁴

477,396

450,235

GSR Mortgage Loan Trust,

Series 2006-AR2, Class 2A1

2.72%

04/25/36

⁴

190,384

155,738

GSR Mortgage Loan Trust,

Series 2007-AR2, Class 5A1A

2.95%

05/25/37

⁴

695,425

659,785

HarborView Mortgage Loan Trust,

Series 2005-10, Class 2A1A

(LIBOR USD 1-Month plus 0.62%)

0.71%

11/19/35

2,301,699

1,995,494

HarborView Mortgage Loan Trust,

Series 2006-7, Class 1A

(LIBOR USD 1-Month plus 0.42%)

0.51%

09/19/46

10,003,111

9,673,021

HarborView Mortgage Loan Trust,

Series 2007-6, Class 1A1A

(LIBOR USD 1-Month plus 0.20%)

0.29%

08/19/37

12,476,788

11,930,576

Impac CMB Trust,

Series 2005-2, Class 1A1

(LIBOR USD 1-Month plus 0.52%)

0.61%

04/25/35

2,687,048

2,703,588

IndyMac Index Mortgage Loan Trust,

Series 2005-AR14, Class 1A1A

(LIBOR USD 1-Month plus 0.56%)

0.65%

07/25/35

10,076,199

8,008,950



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
2.76%		10/25/35	⁴	$	2,042,623	$	1,946,608
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 1A3
(LIBOR USD 1-Month plus 0.54%)
0.63%		10/25/36	²		5,846,850		3,280,770
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A2A
(LIBOR USD 1-Month plus 0.50%)
0.59%		05/25/46	²		9,611,278		9,610,279
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 3A1
2.73%		05/25/36	⁴		258,115		238,405
IndyMac Index Mortgage Loan Trust,
Series 2006-AR9, Class 3A3
2.95%		06/25/36	⁴		2,944,845		2,930,099
IndyMac Index Mortgage Loan Trust,
Series 2007-FLX4, Class 2A1
(LIBOR USD 1-Month plus 0.18%)
0.27%		07/25/37	²		16,154,081		15,645,998
JPMorgan Mortgage Trust,
Series 2005-A6, Class 7A1
2.95%		08/25/35	⁴		24,794		23,502
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
2.92%		05/25/36	⁴		21,853		20,137
JPMorgan Mortgage Trust,
Series 2006-S2, Class 2A2
5.88%		06/25/21			18,899		23,855
JPMorgan Mortgage Trust,
Series 2007-S1, Class 1A2
5.50%		03/25/22			18,221		18,147
Legacy Mortgage Asset Trust,
Series 2020-GS2, Class A1 (STEP-reset date 10/25/21)
2.75%		03/25/60	¹		14,566,474		14,663,742
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
0.39%		11/25/35	²		1,903,263		1,897,279
Lehman XS Trust,
Series 2006-GP2, Class 1A5A
(LIBOR USD 1-Month plus 0.42%)
0.51%		06/25/46	²		4,713,207		4,551,394
Lehman XS Trust,
Series 2007-18N, Class 1A1
(LIBOR USD 1-Month plus 0.85%)
0.94%		10/25/37	²		5,163,844		5,011,236
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
1.91%		11/25/33	⁴		139,933		140,219
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 8A1
3.56%		10/25/34	⁴		247,009		248,712

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

MASTR Adjustable Rate Mortgages Trust,

Series 2004-3, Class 3A3

2.58%

04/25/34

⁴

41,522

43,149

MASTR Adjustable Rate Mortgages Trust,

Series 2007-2, Class A1

(LIBOR USD 1-Month plus 0.30%)

0.39%

03/25/47

3,229,946

3,104,672

Merrill Lynch Alternative Note Asset Trust,

Series 2007-A3, Class A2D

(LIBOR USD 1-Month plus 0.33%)

0.42%

04/25/37

^2,5,6

883,581

65,780

Merrill Lynch Alternative Note Asset Trust,

Series 2007-OAR2, Class A2

(LIBOR USD 1-Month plus 0.42%)

0.51%

04/25/37

8,746,883

8,267,335

Merrill Lynch Mortgage Investors Trust,

Series 2003-A6, Class 2A

2.37%

10/25/33

⁴

106,769

107,623

Merrill Lynch Mortgage Investors Trust,

Series 2007-2, Class 1A1

(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.40%)

2.48%

08/25/36

1,030,060

980,477

Morgan Stanley Mortgage Loan Trust,

Series 2004-7AR, Class 2A4

2.05%

09/25/34

⁴

262,156

261,076

Morgan Stanley Mortgage Loan Trust,

Series 2006-2, Class 1A

5.25%

02/25/21

66,896

56,599

Morgan Stanley Resecuritization Trust,

Series 2014-R9, Class 3A

(Federal Reserve US 12-Month Cumulative Average plus 0.84%)

0.94%

11/26/46

^1,2

329,190

330,770

MortgageIT Trust,

Series 2005-2, Class 2A

(LIBOR USD 1-Month plus 1.65%)

1.74%

05/25/35

964,013

971,804

New York Mortgage Trust,

Series 2005-3, Class A1

(LIBOR USD 1-Month plus 0.48%)

0.57%

02/25/36

346,607

349,720

Nomura Asset Acceptance Corp.,

Series 2005-AR4, Class 4A1

3.18%

08/25/35

⁴

2,414,619

2,265,563

Nomura Resecuritization Trust,

Series 2016-2R, Class 1A1

0.23%

09/26/36

^1,4

2,007,060

1,988,778

NRPL,

Series 2019-3A, Class A1 (STEP-reset date 11/25/21)

3.00%

07/25/59

11,834,204

11,899,154

Opteum Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates,

Series 2005-3, Class M2

(LIBOR USD 1-Month plus 0.72%)

0.81%

07/25/35

8,479,151

8,542,947



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)
RAAC Trust,
Series 2005-SP1, Class 4A1
7.00%		09/25/34		$	53,942	$	54,675
Residential Accredit Loans Trust,
Series 2005-QA13, Class 2A1
3.95%		12/25/35	⁴		1,631,528		1,541,212
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.26%		04/25/35	⁴		12,014		10,822
Residential Accredit Loans Trust,
Series 2005-QA7, Class A21
2.99%		07/25/35	⁴		637,360		634,574
Residential Accredit Loans Trust,
Series 2005-QA8, Class CB21
3.42%		07/25/35	⁴		642,039		458,048
Residential Accredit Loans Trust,
Series 2006-QS13, Class 2A1
5.75%		09/25/21			7,916		7,018
Residential Accredit Loans Trust,
Series 2006-QS16, Class A6
6.00%		11/25/36			429,568		414,062
Residential Accredit Loans Trust,
Series 2007-QH6, Class A1
(LIBOR USD 1-Month plus 0.19%)
0.28%		07/25/37	²		9,831,461		9,507,615
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2AV (IO)
0.17%		01/25/37	^4,5,6		1,904,327		11,412
Residential Asset Securitization Trust,
Series 2006-A9CB, Class A9
6.00%		09/25/36			5,116,443		2,578,957
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 1A
3.50%		04/25/37	⁴		265,502		175,585
Stanwich Mortgage Loan Co.,
Series 2019-RPL1, Class A (STEP-reset date 10/16/21)
3.72%		02/15/49	¹		9,527,661		9,552,922
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
2.66%		09/25/34	⁴		557,214		566,336
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-2, Class 4A2
2.62%		03/25/34	⁴		1,007,946		1,019,917
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
2.52%		06/25/354			673,492		649,346
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-21, Class 2A
2.48%		11/25/35	⁴		877,882		774,367
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-7, Class 1A3
2.98%		04/25/35	⁴		2,614,958		2,712,194
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-11, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.41%		12/25/36	²		1,372,757		1,361,588

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

Structured Asset Mortgage Investments II Trust,

Series 2006-AR3, Class 22A1

2.56%

05/25/36

⁴

479,588

315,117

Structured Asset Mortgage Investments II Trust,

Series 2006-AR5, Class 1A1

(LIBOR USD 1-Month plus 0.42%)

0.51%

05/25/36

313,650

277,345

Structured Asset Mortgage Investments II Trust,

Series 2006-AR7, Class A1BG

(LIBOR USD 1-Month plus 0.12%)

0.21%

08/25/36

10,590,210

10,101,177

Structured Asset Mortgage Investments II Trust,

Series 2007-AR6, Class A1

(Federal Reserve US 12-Month Cumulative Average plus 1.50%)

1.59%

08/25/47

10,842,130

10,575,992

Structured Asset Securities Corp. Mortgage Pass-Through Certificates,

Series 2003-34A, Class 3A3

2.84%

11/25/33

⁴

25,712

26,724

SunTrust Adjustable Rate Mortgage Loan Trust,

Series 2007-4, Class 3A1

2.70%

10/25/37

⁴

1,211,410

1,145,347

SunTrust Adjustable Rate Mortgage Loan Trust,

Series 2007-S1, Class 2A1

2.54%

01/25/37

⁴

457,834

478,026

SunTrust Adjustable Rate Mortgage Loan Trust,

Series 2007-S1, Class 5A1

2.96%

01/25/37

⁴

134,117

138,774

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR13, Class A1A

(LIBOR USD 1-Month plus 0.72%)

0.81%

11/25/34

142,603

140,439

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR14, Class A1

2.75%

01/25/35

⁴

427,169

436,201

WaMu Mortgage Pass-Through Certificates,

Series 2004-AR6, Class A

(LIBOR USD 1-Month plus 0.84%)

0.93%

05/25/44

32,691

33,092

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR12, Class 1A6

2.81%

10/25/35

⁴

978,427

988,903

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR14, Class 2A1

2.99%

12/25/35

⁴

23,328

24,149

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR16, Class 1A3

2.72%

12/25/35

⁴

1,143,868

1,171,248

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR2, Class 2A21

(LIBOR USD 1-Month plus 0.66%)

0.75%

01/25/45

540,139

542,264

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

Non-Agency Mortgage-Backed (continued)

WaMu Mortgage Pass-Through Certificates,

Series 2005-AR9, Class A1A

(LIBOR USD 1-Month plus 0.64%)

0.73%

07/25/45

540,514

545,164

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR3, Class A1A

(Federal Reserve US 12-Month Cumulative Average plus 1.00%)

1.09%

02/25/46

4,106,948

4,018,311

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR4, Class 1A1A

(Federal Reserve US 12-Month Cumulative Average plus 0.94%)

1.04%

05/25/46

1,715,972

1,712,553

WaMu Mortgage Pass-Through Certificates,

Series 2006-AR7, Class 2A

(Federal Reserve US 12-Month Cumulative Average plus 0.98%)

1.07%

07/25/46

4,185,396

3,978,381

WaMu Mortgage Pass-Through Certificates,

Series 2007-HY3, Class 1A1

2.82%

03/25/37

⁴

1,768,689

1,649,968

WaMu Mortgage Pass-Through Certificates,

Series 2007-OA5, Class 1A

(Federal Reserve US 12-Month Cumulative Average plus 0.75%)

0.84%

06/25/47

1,468,270

1,427,964

WaMu Mortgage Pass-Through Certificates,

Series 2007-OC1, Class A1

(LIBOR USD 1-Month plus 0.24%)

0.33%

01/25/47

5,342,644

5,433,795

Wells Fargo Alternative Loan Trust,

Series 2007-PA5, Class 1A1

6.25%

11/25/37

1,870,479

1,864,535

Wells Fargo Mortgage-Backed Securities Trust,

Series 2006-AR14, Class 2A1

2.53%

10/25/36

⁴

389,540

378,616

Wells Fargo Mortgage-Backed Securities Trust,

Series 2006-AR4, Class 1A1

2.76%

04/25/36

⁴

93,433

92,065

512,192,456

U.S. Agency Commercial Mortgage-Backed — 3.44%

Fannie Mae-Aces,

Series 2012-M4, Class X1 (IO)

0.48%

04/25/22

⁴

6,112,861

1,426

Fannie Mae-Aces,

Series 2016-M11, Class X2 (IO)

2.97%

07/25/39

⁴

20,369,834

713,094

Fannie Mae-Aces,

Series 2016-M2, Class X3 (IO)

2.10%

04/25/36

⁴

13,322,405

135,249

Fannie Mae-Aces,

Series 2016-M4, Class X2 (IO)

2.70%

01/25/39

⁴

40,838,712

1,754,247



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Commercial Mortgage-Backed (continued)
Fannie Mae-Aces,
Series 2019-M29, Class X4 (IO)
0.70%		03/25/29	⁴	$	117,375,779	$	4,710,090
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
1.14%		07/25/33	⁴		14,520,699		1,549,873
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K021, Class X3 (IO)
2.03%		07/25/40	⁴		26,660,903		366,971
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K022, Class X3 (IO)
1.87%		08/25/40	⁴		37,280,187		558,379
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K031, Class X1 (IO)
0.30%		04/25/23	⁴		360,518,532		1,023,386
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K043, Class X3 (IO)
1.69%		02/25/43	⁴		58,000,000		2,866,609
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K051, Class X3 (IO)
1.67%		10/25/43	⁴		44,865,280		2,632,031
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K054, Class X1 (IO)
1.30%		01/25/26	⁴		53,525,968		2,375,156
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K055, Class X3 (IO)
1.70%		04/25/44	⁴		32,000,000		2,151,027
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K056, Class X1 (IO)
1.39%		05/25/26	⁴		59,688,381		2,927,969
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K057, Class X1 (IO)
1.31%		07/25/26	⁴		122,809,161		5,908,754
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K719, Class X1 (IO)
0.81%		06/25/22	⁴		24,696,774		45,424
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K726, Class X1 (IO)
1.02%		04/25/24	⁴		128,686,064		2,226,211
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC01, Class X1 (IO)
0.55%		12/25/22	⁴		34,241,942		149,033

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)

1.34%

06/25/27

⁴

88,776,489

4,192,550

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KC07, Class X1 (IO)

0.85%

09/25/26

⁴

84,929,830

2,148,928

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF31, Class A

(LIBOR USD 1-Month plus 0.37%)

0.45%

04/25/24

2,365,829

2,369,985

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF51, Class A

(LIBOR USD 1-Month plus 0.40%)

0.48%

08/25/25

4,334,271

4,357,541

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF75, Class AL

(LIBOR USD 1-Month plus 0.51%)

0.59%

12/25/29

6,967,446

7,062,052

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF80, Class AL

(LIBOR USD 1-Month plus 0.44%)

0.52%

06/25/30

4,757,258

4,787,250

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF84, Class AL

(LIBOR USD 1-Month plus 0.30%)

0.38%

07/25/30

14,572,428

14,583,769

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF85, Class AL

(LIBOR USD 1-Month plus 0.30%)

0.38%

08/25/30

10,798,748

10,831,987

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF86, Class AL

(LIBOR USD 1-Month plus 0.29%)

0.37%

08/25/27

8,962,905

8,987,096

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF87, Class AL

(LIBOR USD 1-Month plus 0.35%)

0.43%

08/25/30

13,678,957

13,729,961

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KF88, Class AL

(LIBOR USD 1-Month plus 0.33%)

0.41%

09/25/30

21,984,127

22,084,066

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)

1.19%

03/25/26

⁴

116,418,714

4,638,349

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KL05, Class X1HG (IO)

1.37%

12/25/27

⁴

49,531,000

2,862,811

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KS05, Class X (IO)

0.12%

01/25/23

⁴

13,696,821

67,824

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KS06, Class X (IO)

1.19%

08/25/26

⁴

66,981,029

2,462,745

Freddie Mac Multifamily Structured Pass-Through

Certificates,

Series KS07, Class X (IO)

0.77%

09/25/25

⁴

102,800,364

2,545,020

Ginnie Mae,

Series 2011-152, Class IO (IO)

0.02%

08/16/51

⁴

7,253,865

4,213

Ginnie Mae,

Series 2012-112, Class IO (IO)

0.15%

02/16/53

⁴

35,483,035

198,226

Ginnie Mae,

Series 2012-78, Class IO (IO)

0.22%

06/16/52

⁴

55,027,265

236,422

Ginnie Mae,

Series 2014-103, Class IO (IO)

0.26%

05/16/55

⁴

17,763,206

266,587

Ginnie Mae,

Series 2014-125, Class IO (IO)

0.90%

11/16/54

⁴

11,477,189

418,097

140,930,408

U.S. Agency Mortgage-Backed — 11.12%

Fannie Mae REMICS,

Series 2006-11, Class PS

(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap)

24.25%

03/25/36

14,383

23,190

Fannie Mae REMICS,

Series 2006-8, Class HJ (IO)

(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)

6.51%

03/25/36

680,529

133,172

Fannie Mae REMICS,

Series 2007-52, Class LS (IO)

(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)

5.96%

06/25/37

32,290

3,539

Fannie Mae REMICS,

Series 2007-77, Class SK (IO)

(-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap)

5.78%

08/25/37

68,342

11,498

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Fannie Mae REMICS,

Series 2007-88, Class JI (IO)

(-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap)

6.36%

04/25/37

766,162

146,770

Fannie Mae REMICS,

Series 2008-18, Class SM (IO)

(-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap)

6.91%

03/25/38

40,681

6,208

Fannie Mae REMICS,

Series 2008-62, Class SN (IO)

(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)

6.11%

07/25/38

80,409

13,324

Fannie Mae REMICS,

Series 2010-116, Class SE (IO)

(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)

6.51%

10/25/40

39,089

7,508

Fannie Mae REMICS,

Series 2012-56, Class FK

(LIBOR USD 1-Month plus 0.45%)

0.54%

06/25/42

2,728,880

2,758,725

Fannie Mae REMICS,

Series 2013-5, Class GF

(LIBOR USD 1-Month plus 1.10%)

1.19%

10/25/42

191,834

193,581

Fannie Mae REMICS,

Series 2014-49, Class CF

(LIBOR USD 1-Month plus 1.00%)

1.09%

07/25/43

5,807,557

5,830,801

Fannie Mae REMICS,

Series 2019-33, Class FN

(LIBOR USD 1-Month plus 0.40%)

0.49%

07/25/49

5,212,530

5,257,966

Freddie Mac REMICS,

Series 2711, Class FA

(LIBOR USD 1-Month plus 1.00%)

1.08%

11/15/33

48,943

50,199

Freddie Mac REMICS,

Series 2733, Class FB

(LIBOR USD 1-Month plus 0.60%)

0.68%

10/15/33

182,000

184,627

Freddie Mac REMICS,

Series 3339, Class JS

(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap)

42.29%

07/15/37

10,945

23,209

Freddie Mac REMICS,

Series 3404, Class AS (IO)

(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.89% Cap)

5.81%

01/15/38

46,319

10,271

Freddie Mac REMICS,

Series 3439, Class SC (IO)

(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)

5.82%

04/15/38

35,460

5,443

Freddie Mac REMICS,

Series 3885, Class PO (PO)

0.00%

11/15/33

¹⁰

13,819

12,866



Issues	Maturity Date			Principal Amount		Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
6.53%		04/15/42	²	$	92,669	$	19,044
Freddie Mac REMICS,
Series 4919, Class FP
(LIBOR USD 1-Month plus 0.45%)
0.54%		09/25/49	²		4,933,483		4,975,051
Freddie Mac REMICS,
Series 4993, Class OP (PO)
0.00%		10/25/58	¹⁰		3,934,585		3,762,046
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%		11/16/41			81,314		14,656
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%		06/16/37	²		495,601		5,243
Ginnie Mae,
Series 2011-81, Class IC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap)
0.62%		07/20/35	²		602,739		8,845
Ginnie Mae,
Series 2013-135, Class CS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
6.12%		09/16/43	²		1,814,287		351,542
Ginnie Mae,
Series 2017-136, Class IO (IO)
5.00%		09/20/47			416,816		67,448
Ginnie Mae,
Series 2019-86, Class FE
(LIBOR USD 1-Month plus 0.40%)
0.49%		07/20/49	²		5,551,629		5,593,544
Ginnie Mae,
Series 2020-133, Class FA
0.49%		02/20/49	⁴		3,694,551		3,599,537
UMBS (TBA)
2.00%		11/01/51			212,550,000		212,702,872
2.50%		11/01/51			204,100,000		210,023,399

							455,796,124


Total Mortgage-Backed
(Cost $1,483,192,134)							1,422,450,849


MUNICIPAL BONDS — 0.52%*

California — 0.25%
California State University Revenue Bonds, University & College Improvements, Series B
2.37%		11/01/35			1,995,000		1,954,446
Los Angeles Department of Water & Power Water System Revenue Bonds, Water Utility Improvements, Series SY
6.01%		07/01/39			1,950,000		2,596,534
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.76%		07/01/29			2,935,000		3,619,270



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
3.26%		05/15/60		$	1,790,000	$	1,930,157

							10,100,407


Florida — 0.12%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.81%		10/01/34			1,000,000		1,032,741
2.86%		10/01/35			1,750,000		1,803,618
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.35%		10/01/29			2,000,000		2,160,565

							4,996,924


New York — 0.15%
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%		11/15/49			975,000		1,323,694
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI
3.95%		08/01/32			1,000,000		1,122,808
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%		03/15/33			3,100,000		3,817,239

							6,263,741


Total Municipal Bonds
(Cost $20,295,705)							21,361,072


U.S. TREASURY SECURITIES — 0.85%

U.S. Treasury Notes — 0.85%
U.S. Treasury Floating Rate Notes
(US Treasury Bill Yield 3-Month plus 0.06%)
0.09%		10/31/22	²		34,570,000		34,587,286


Total U.S. Treasury Securities
(Cost $34,571,891)

Total Bonds — 89.52%
(Cost $3,707,187,889)							3,668,736,169



Issues				Shares		Value

COMMON STOCK — 0.22%

Electric — 0.00%
Homer City Holdings LLC^†,5,6,8					112,222		—


Financials — 0.22%
AGNC Investment Corp.					582,000		9,178,140


Total Common Stock
(Cost $13,797,770)							9,178,140


Purchased Options - 0.03%
(Cost $616,026)							1,170,000



Issues	Maturity Date		Principal Amount		Value

SHORT-TERM INVESTMENTS — 18.93%

Money Market Funds — 3.07%
Dreyfus Government Cash Management Fund
0.03%¹¹				10,087,000	$	10,087,000
Fidelity Investments Money Market Funds - Government Portfolio
0.01%^11,12				776,259		776,259
JPMorgan U.S. Government Money Market Fund
0.01%¹¹				2,046,000		2,046,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.03%¹¹				113,085,000		113,085,000

						125,994,259


U.S. Agency Discount Notes — 3.05%
Federal Home Loan Bank
0.04%¹³		10/15/21	$	50,000,000		49,999,805
0.04%¹³		10/29/21		75,000,000		74,999,417

						124,999,222


U.S. Treasury Bills — 12.81%
U.S. Treasury Bills
0.05%¹³		10/07/21		50,000,000		49,999,750
0.04%¹³		02/03/22		125,000,000		124,981,554
0.04%¹³		02/10/22		125,000,000		124,981,666
0.04%¹³		02/17/22		125,000,000		124,978,281
0.04%¹³		03/03/22		100,000,000		99,983,531

						524,924,782


Total Short-Term Investments
(Cost $775,917,124)						775,918,263


Total Investments Before Written Options - 108.70%
(Cost $4,497,518,809)						4,455,002,572


Written Options - (0.01)%
(Cost $(371,449))						(604,500	)


Net unrealized appreciation on unfunded commitments - 0.00%						10,716

Liabilities in Excess of Other Assets - (8.69)%						(355,943,821	)


Net Assets - 100.00%					$	4,098,464,967

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 September 30, 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 $14,080,736, which is 0.34% 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 $445,940, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum.

⁸	Non-income producing security.

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

¹⁰	Zero coupon bond. The rate shown is the effective yield as of September 30, 2021.

¹¹	Represents the current yield as of September 30, 2021.

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

¹³	Represents annualized yield at date of purchase.

^†

Fair valued security. The aggregate value of fair valued securities is $16,798,978, which is 0.41% 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.

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 thirteen separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West AlphaTrak 500 Fund (the “AlphaTrak 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 Opportunistic High Income Credit Fund (the “Opportunistic High Income Credit Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”) and Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”). The AlphaTrak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. The 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 Opportunistic High Income Credit Fund commenced investment operations on August 2, 2021 with Class M and Class I shares. 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 of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) No. 946, Financial Services – Investment Companies.

The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and/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, plus any 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, plus any 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 borrowings 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.

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 Opportunistic High Income Credit Fund seeks to maximize total returns through a combination of current income and capital appreciation by investing at least 80% of its net assets in investments across a range of global investment opportunities related to income-generating credit securities, with an emphasis on higher volatility, lower-quality debt securities rated below investment grade, or unrated securities determined by the Adviser to be of comparable quality. There is no limit on the weighted average maturity of the Fund’s portfolio, and there is no limit on the Fund’s average portfolio duration.

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 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.

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

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.

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 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 ask 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 ask 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 influence 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 recommendations provided by the Adviser. When the Funds use these fair valuation methods applied by the Adviser that use significant unobservable inputs to determine NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Funds could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Funds may differ from the value that would be realized if the securities were sold.

The books and records of each Fund are maintained in U.S. dollars as follows: (1) foreign currency denominated securities and other assets and liabilities stated in foreign currencies are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.

The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.

Securities transactions are accounted for no later than the first NAV calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on the trade date. Cost is determined and gains and losses are based on the first-in, first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the effective interest method.

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The AlphaTrak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.

Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.

As of and during the six months ended September 30, 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.

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts.

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

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

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized as 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 as 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 as Level 2 of the fair value hierarchy, unless key inputs are unobservable; they would then be categorized as Level 3.

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 as 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 as 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 as 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 categorized as 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 as 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 categorized as 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.

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 categorized as Level 1. Other government and agencies securities are quoted based on similar securities and yields, and therefore would be categorized as Level 2.

As of September 30, 2021, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and credit default swaps.

The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of September 30, 2021 is as follows:



ALPHATRAK 500 FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	71,068	$	—	$	—	$	71,068
U.S. Agency Discount Notes		—		1,999,992		—		1,999,992
U.S. Treasury Bills		1,499,993		—		—		1,499,993

Long-Term Investments:
Asset-Backed Securities		—		6,708,677		22,235		6,730,912
Corporates		—		10,996,376		—		10,996,376
Mortgage-Backed Securities		—		8,529,067		29,143		8,558,210
Municipal Bonds		—		773,810		—		773,810
Mutual Funds		10,683,463		—		—		10,683,463
U.S. Treasury Securities		2,255,282		—		—		2,255,282

Other Financial Instruments^*

Liabilities:
Equity contracts		(1,749,338)		—		—		(1,749,338)


Total	$	12,760,468	$	29,007,922	$	51,378	$	41,819,768


*Other financial instruments include 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	$	415,345	$	—	$	—	$	415,345

Long-Term Investments:
Asset-Backed Securities		—		—		43,691		43,691
Corporates		—		12,315,676		5,355		12,321,031
Mortgage-Backed Securities		—		114,127		18,091		132,218
Municipal Bonds		—		348,936		—		348,936
U.S. Treasury Securities		1,285,510		—		—		1,285,510

Other Financial Instruments^*

Assets:
Interest rate contracts		16,080		2,321		—		18,401

Liabilities:
Interest rate contracts		(2,209)		(361)		—		(2,570)


Total	$	1,714,726	$	12,780,699	$	67,137	$	14,562,562


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

FLEXIBLE INCOME FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:
Short-Term Investments:
Money Market Funds	$	1,085,262	$	—	$	—	$	1,085,262
U.S. Treasury Bills		1,999,670		—		—		1,999,670

Long-Term Investments:
Asset-Backed Securities		—		32,455,818		744,724		33,200,542
Bank Loans		—		15,750,368		—		15,750,368
Common Stock		402,135		—		—		402,135
Corporates		—		50,238,413		497,973		50,736,386
Foreign Government Obligations		—		4,235,820		—		4,235,820
Mortgage-Backed Securities		—		85,379,870		2,408,133		87,788,003
Municipal Bonds		—		852,068		—		852,068
U.S. Treasury Securities		1,815,393		—		—		1,815,393
Warrant		85,453		—		—		85,453

Other Financial Instruments^*

Assets:
Foreign currency exchange contracts		—		56,207		—		56,207
Interest rate contracts		591,604		—		—		591,604

Liabilities:

Foreign currency exchange contracts		—		(18,843)		—		(18,843)
Interest rate contracts		(241,667)		—		—		(241,667)


Total	$	5,737,850	$	188,949,721	$	3,650,830	$	198,338,401


*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:
Money Market Funds	$	19,411,002	$	—	$	—	$	19,411,002
U.S. Treasury Bills		24,996,244		—		—		24,996,244

Long-Term Investments:
Bank Loans		—		406,319,211		3,270,522		409,589,733
Corporates		—		32,670,138		—		32,670,138
Warrant		128,464		—		—		128,464

Other Financial Instruments^*

Assets:
Foreign currency exchange contracts		—		54,624		—		54,624

Liabilities:
Foreign currency exchange contracts		—		(18,494)		—		(18,494)


Total	$	44,535,710	$	439,025,479	$	3,270,522	$	486,831,711


*Other financial instruments include foreign currency exchange contracts.

HIGH YIELD BOND FUND		LEVEL 1		LEVEL 2		LEVEL 3		TOTAL


Investments in Securities

Assets:

Short-Term Investments:
Money Market Funds	$	18,200,000	$	—	$	—	$	18,200,000
U.S. Treasury Bills		24,997,480		—		—		24,997,480

Long-Term Investments:
Bank Loans		—		146,470,753		2,390,987		148,861,740
Common Stock		2,644,146		—		—		2,644,146
Corporates		—		600,248,650		4,007,877		604,256,527
Warrant		161,345		—		—		161,345

Other Financial Instruments^*

Assets:
Credit contracts		—		37,016		115,984		153,000
Foreign currency exchange contracts		—		95,156		—		95,156
Interest rate contracts		258,343		—		—		258,343

Liabilities:
Foreign currency exchange contracts		—		(32,228)		—		(32,228)
Interest rate contracts		(165,443)		—		—		(165,443)


Total	$	46,095,871	$	746,819,347	$	6,514,848	$	799,430,066


*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.

For the six months ended September 30, 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		ASSET-BACKED SECURITIES		MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2021	$	—	$	62,388
Accrued discounts/premiums		—		(5,917	)
Realized gain (loss)		—		—
Change in unrealized (depreciation)*		—		(5,093	)
Purchases		—		—
Sales		—		—
Other**		22,235		(22,235	)
Transfers into Level 3***		—		—
Transfers out of Level 3***		—		—

Balance as of
September 30, 2021	$	22,235	$	29,143

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(5,093) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**Certain Level 3 investments were re-classified between Mortgage-Backed Securities – Non-Agency and Asset-Backed Securities.

***There were no transfers between level 2 and 3 for the period ended September 30, 2021.


CORPORATE BOND FUND		ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2021	$	44,118		$	5,267		$	25,014
Accrued discounts/premiums		—			(25	)		(1,128	)
Realized (loss)		—			(5	)		—
Change in unrealized appreciation (depreciation)*		803			648			(5,795	)
Purchases		—			—			—
Sales		(1,230	)		(530	)		—
Transfers into Level 3**		—			—			—
Transfers out of Level 3**		—			—			—

Balance as of
September 30, 2021	$	43,691		$	5,355		$	18,091

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(4,343) 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 period ended September 30, 2021.


FLEXIBLE INCOME FUND		ASSET-BACKED SECURITIES		CORPORATES		MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2021	$	815,348	$	213,302	$	2,696,696
Accrued discounts/premiums		(4,415)		31,069		(65,016)
Realized gain (loss)		—		1,528		(1,961)
Change in unrealized appreciation (depreciation)*		(51,172)		21,153		(212,870)
Purchases		—		252,398		—
Sales		(15,037)		(21,477)		(8,716)
Transfers into Level 3**		—		—		—
Transfers out of Level 3**		—		—		—

Balance as of
September 30, 2021	$	744,724	$	497,973	$	2,408,133

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(241,818) 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 period ended September 30, 2021.

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $158,210 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 period ended September 30, 2021.


HIGH YIELD BOND FUND		BANK LOANS		COMMON STOCK		CORPORATES		CREDIT DEFAULT SWAPS
Balance as of
April 1, 2021	$	2,009,394	$	—	$	1,124,446		—
Accrued discounts/premiums		876		—		207,539		(11,820)
Realized gain		4,041		—		8,056		—
Change in unrealized appreciation*		491		—		83,848		3,690
Purchases		841,185		—		2,697,208		124,114
Sales		(465,000)		—		(113,220)		—
Transfers into Level 3**		—		—		—		—
Transfers out of Level 3**		—		—		—		—

Balance as of
September 30, 2021	$	2,390,987	$	—	$	4,007,877	$	115,984

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $89,701 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 period ended September 30, 2021.


INTERMEDIATE BOND FUND		ASSET-BACKED SECURITIES		CORPORATES		CREDIT DEFAULT SWAPS
Balance as of
April 1, 2021	$	2,254,916	$	513,506		—
Accrued discounts/premiums		—		(2,909)		(13,114)
Realized (loss)		—		(545)		—
Change in unrealized appreciation*		41,051		63,721		3,486
Purchases		—		—		130,579
Sales		(62,881)		(51,705)		—
Transfers into Level 3**		—		—		—
Transfers out of Level 3**		—		—		—

Balance as of
September 30, 2021	$	2,233,086	$	522,068	$	120,951

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $105,096 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 period ended September 30, 2021.


INVESTMENT GRADE CREDIT FUND		ASSET-BACKED SECURITIES		CORPORATES		MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2021	$	39,216	$	13,167	$	65,397
Accrued discounts/premiums		—		(64)		(1,928)
Realized (loss)		—		(12)		—
Change in unrealized appreciation (depreciation)*		714		1,621		(12,869)
Purchases		—		—		—
Sales		(1,094)		(1,326)		—
Transfers into Level 3**		—		—		—
Transfers out of Level 3**		—		—		—

Balance as of
September 30, 2021	$	38,836	$	13,386	$	50,600

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(10,534) 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 period ended September 30, 2021.


LOW DURATION BOND FUND		ASSET-BACKED SECURITIES		CORPORATES		CREDIT DEFAULT SWAPS		MORTGAGE- BACKED SECURITIES
Balance as of
April 1, 2021	$	6,666,708	$	2,061,924		—	$	1,343,373
Accrued discounts/premiums		(29,902)		(13,004)		(39,868)		—
Realized (loss)		—		(2,436)		—		—
Change in unrealized appreciation (depreciation)*		(44,398)		257,435		12,448		—
Purchases		—		—		418,611		—
Sales		(185,910)		(207,614)		—		—
Other**		1,343,373		—		—		(1,343,373)
Transfers into Level 3***		—		—		—		—
Transfers out of Level 3***		—		—		—		—

Balance as of
September 30, 2021	$	7,749,871	$	2,096,305	$	391,191	$	—

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $215,256 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**Certain Level 3 investments were re-classified between Mortgage-Backed Securities – Non-Agency and Asset-Backed Securities.

***There were no transfers between level 2 and 3 for the period ended September 30, 2021.

**The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $2,308 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 period ended September 30, 2021.

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(65,940) 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 period ended September 30, 2021.



TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES		BANK LOANS		CORPORATES		CREDIT DEFAULT SWAPS		MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2021	$	31,559,020	$	4,248,631	$	54,418,554		—	$	8,525,700
Accrued discounts/premiums		—		24,681		(236,652)		(119,494)		(676,563)
Realized (loss)		—		(181,196)		(99,615)		—		—
Change in unrealized appreciation (depreciation)*		574,543		120,867		6,312,845		33,417		(769,644)
Purchases		—		419,040		4,916,085		1,254,685		—
Sales		(880,063)		(848,925)		(5,419,023)		—		—
Transfers into Level 3**		—		—		—		—		—
Transfers out of Level 3**		—		—		—		—		—

Balance as of September 30, 2021	$	31,253,500	$	3,783,098	$	59,892,194	$	1,168,608	$	7,079,493

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $6,241,472 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 period ended September 30, 2021.

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(41) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**Certain Level 3 investments were re-classified between Mortgage-Backed Securities – Non-Agency and Asset-Backed Securities.

***There were no transfers between level 2 and 3 for the period ended September 30, 2021.



UNCONSTRAINED BOND FUND	ASSET-BACKED SECURITIES		BANK LOANS		CORPORATES		CREDIT DEFAULT SWAPS		MORTGAGE- BACKED SECURITIES
Balance as of April 1, 2021	$	10,098,102	$	375,837	$	3,607,708		—	$	97,063
Accrued discounts/premiums		—		2,182		(26,835)		(58,601)		18,184
Realized (loss)		—		(16,030)		(5,024)		—		—
Change in unrealized appreciation (depreciation)*		183,840		10,695		455,273		15,578		(37,374)
Purchases		—		37,069		—		583,504		—
Sales		(281,599)		(75,097)		(363,258)		—		—
Transfers into Level 3**		—		—		—		—		—
Transfers out of Level 3**		—		—		—		—		—

Balance as of September 30, 2021	$	10,000,343	$	334,656	$	3,667,864	$	540,481	$	77,873

*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $613,880 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 period ended September 30, 2021.

Significant unobservable valuations inputs for Level 3 investments as of September 30, 2021, are as follows:



FLEXIBLE INCOME FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$533,999	Broker Quote	Offered Quote	$100.29	$100.29
Asset-Backed Securities	$210,725	Third-Party Vendor	Vendor Prices	$2.21	$2.21
Corporate Securities	$497,973	Third-Party Vendor	Vendor Prices	$93.00	$93.00
Mortgage-Backed Securities-Commercial Mortgage-Backed	$641,726	Third-Party Vendor	Vendor Prices	$2.05	$2.05
Mortgage-Backed Securities-Non-Agency	$1,766,407	Third-Party Vendor	Vendor Prices	$2.78 - $30.21	$8.60


FLOATING RATE INCOME FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Bank Loans	$3,270,522	Third-Party Vendor	Vendor Prices	$66.33 - $101.31	$92.93


HIGH YIELD BOND FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Bank Loans	$2,390,987	Third-Party Vendor	Vendor Prices	$99.54	$99.54
Common Stock	$—	Broker Quote	Offered Quote	$—	$—
Corporate Securities	$4,007,877	Third-Party Vendor	Vendor Prices	$93.00	$93.00
Credit Default Swaps	$115,984	Broker Quote	Offered Quote	$—	$—


INTERMEDIATE BOND FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$2,233,086	Broker Quote	Offered Quote	$100.29	$100.29
Common Stock	$—	Broker Quote	Offered Quote	$—	$—
Corporate Securities	$522,068	Third-Party Vendor	Vendor Prices	$93.00	$93.00
Credit Default Swaps	$120,951	Broker Quote	Offered Quote	$—	$—


INVESTMENT GRADE CREDIT FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$38,836	Broker Quote	Offered Quote	$100.29	$100.29
Corporate Securities	$13,386	Third-Party Vendor	Vendor Prices	$93.00	$93.00
Mortgage-Backed Securities-Commercial Mortgage-Backed	$50,600	Third-Party Vendor	Vendor Prices	$0.21 - $2.05	$1.77


LOW DURATION BOND FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$6,602,168	Broker Quote	Offered Quote	$100.29	$100.29
Asset-Backed Securities	$1,147,703	Third-Party Vendor	Vendor Prices	$1.61	$1.61
Common Stock	$—	Broker Quote	Offered Quote	$—	$—
Corporate Securities	$2,096,305	Third-Party Vendor	Vendor Prices	$93.00	$93.00
Credit Default Swaps	$391,191	Broker Quote	Offered Quote	$—	$—


OPPORTUNISTIC HIGH INCOME CREDIT FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Bank Loans	$32,849	Third-Party Vendor	Vendor Prices	$99.54	$99.54
Corporate Securities	$25,166	Third-Party Vendor	Vendor Prices	$93.00	$93.00
Mortgage-Backed Securities-Non-Agency	$41,769	Third-Party Vendor	Vendor Prices	$19.04	$19.04



STRATEGIC INCOME FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$72,818	Broker Quote	Offered Quote	$100.29	$100.29
Asset-Backed Securities	$48,581	Third-Party Vendor	Vendor Prices	$11.57	$11.57
Corporate Securities	$32,127	Third-Party Vendor	Vendor Prices	$93.00	$93.00
Mortgage-Backed Securities-Non-Agency	$126,270	Third-Party Vendor	Vendor Prices	$7.44	$7.44


TOTAL RETURN BOND FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$31,253,500	Broker Quote	Offered Quote	$100.29	$100.29
Bank Loans	$3,783,098	Third-Party Vendor	Vendor Prices	$72.50	$72.50
Common Stock	$—	Broker Quote	Offered Quote	$—	$—
Corporate Securities	$59,892,194	Third-Party Vendor	Vendor Prices	$93.00 - $117.69	$94.72
Mortgage-Backed Securities-Non-Agency	$7,079,493	Third-Party Vendor	Vendor Prices	$0.86 - $2.34	$1.63
Credit Default Swaps	$1,168,608	Broker Quote	Offered Quote	$—	$—


ULTRA SHORT BOND FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$15,421	Third-Party Vendor	Vendor Prices	$1.29	$1.29


UNCONSTRAINED BOND FUND	FAIR VALUE AT 9/30/21	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE

Asset-Backed Securities	$10,000,343	Broker Quote	Offered Quote	$100.29	$100.29
Bank Loans	$334,656	Third-Party Vendor	Vendor Prices	$72.50	$72.50
Common Stock	$—	Broker Quote	Offered Quote	$—	$—
Corporate Securities	$3,667,864	Third-Party Vendor	Vendor Prices	$93.00	$93.00
Mortgage-Backed Securities-Non-Agency	$77,873	Third-Party Vendor	Vendor Prices	$0.60 - $7.44	$6.42
Credit Default Swaps	$540,481	Broker Quote	Offered Quote	$—	$—

* 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.

The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of September 30, 2021:

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 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	$	—	$	—	$	—	$	—	$	153,000	$	131,653
Interest contracts:
Futures¹		—		16,080		591,604		—		258,343		217,838
Options and swaptions purchased		—		—		—		—		—		247,500
Swaps		—		2,321		—		—		—		—
Foreign currency exchange contracts:
Forwards		—		—		56,207		54,624		95,156		—

Total	$	—	$	18,401	$	647,811	$	54,624	$	506,499	$	596,991


			ASSET DERIVATIVE INVESTMENTS
	INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND		ULTRA SHORT BOND FUND
Credit contracts:
Swaps	$	—	$	422,926	$	—	$	—	$	1,730,710	$	3,614
Interest contracts:
Futures¹		62,728		3,229,408		—		61,039		12,467,051		261,704
Options and swaptions purchased		—		819,213		—		—		34,150,878		75,000
Swaps		5,659		—		—		6,979		20,823,344		—
Foreign currency exchange contracts:
Forwards		—		—		—		—		5,288,986		—

Total	$	68,387	$	4,471,547	$	—	$	68,018	$	74,460,969	$	340,318

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.



			LIABILITY DERIVATIVE INVESTMENTS
	ALPHATRAK 500 FUND		CORPORATE BOND FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND		INTERMEDIATE BOND FUND
Equity contracts:
Futures¹	$	(1,749,338)	$	—	$	—	$	—	$	—	$	—
Interest contracts:
Futures¹		—		(2,209)		(241,667)		—		(165,443)		(92,735)
Options and swaptions written		—		—		—		—		—		(127,875)
Swaps		—		(361)		—		—		—		—
Foreign currency exchange contracts:
Forwards		—		—		(18,843)		(18,494)		(32,228)		—

Total	$	(1,749,338)	$	(2,570)	$	(260,510)	$	(18,494)	$	(197,671)	$	(220,610)



			LIABILITY DERIVATIVE INVESTMENTS
	INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND		ULTRA SHORT BOND FUND
Interest contracts:
Futures¹	$	(15,963)	$	(97,640)	$	(25)	$	(6,575)	$	(37,445,542)	$	—
Options and swaptions written		—		(423,215)		—		—		(10,729,375)		(38,750)
Swaps		(6,237)		—		—		(8,643)		(26,698,819)		—
Foreign currency exchange contracts:
Forwards		—		—		—		—		(1,963,955)		—

Total	$	(22,200)	$	(520,855)	$	(25)	$	(15,218)	$	(76,837,691)	$	(38,750)

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 six months ended September 30, 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	$	—	$	—	$	—	$	—	$	44,303	$	15,690
Equity contracts:
Futures		5,065,453		—		—		—		—		—
Interest contracts:
Futures		—		(20,858)		(632,281)		—		109,714		(598,403)
Options and swaptions purchased¹		—		—		—		—		—		58,798
Options and swaptions written		—		—		—		—		—		(27,103)
Swaps		—		(17)		—		—		—		—
Foreign currency exchange contracts:
Forwards		20,871		—		8,433		443,267		41,656		—


Total	$	5,086,324	$	(20,875)	$	(623,848)	$	443,267	$	195,673	$	(551,018)



REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND
Credit contracts:
Swaps	$	—	$	46,389		$	—	$	—	$	655,244		$	3,999
Interest contracts:
Futures		(52,173)		(2,141,925	)		—		(94,075)		106,422,141			(188,110)
Options and swaptions purchased¹		—		186,768			—		—		14,870,643			19,793
Options and swaptions written		—		(86,093	)		—		—		(1,687,141	)		(10,472)
Swaps		(31)		—			—		(36)		(103,604	)		—
Foreign currency exchange contracts:
Forwards		—		1,443,076			—		—		40,012,385			268,341


Total	$	(52,204)	$	(551,785	)	$	—	$	(94,111)	$	160,169,668		$	93,551

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



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	$	—	$	—	$	—	$	—	$	4,769	$	3,798
Equity contracts:
Futures		(1,882,570)		—		—		—		—		—
Interest contracts:
Futures		—		(7,104)		8,295		—		38,185		42,395
Options and swaptions purchased¹		—		—		—		—		—		117,254
Options and swaptions written		—		—		—		—		—		(49,366)
Swaps		—		1,960		—		—		—		—
Foreign currency exchange contracts:
Forwards		(20,568)		—		24,060		(381,094)		62,928		—


Total	$	(1,903,138)	$	(5,144)	$	32,355	$	(381,094)	$	105,882	$	114,081



CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS

	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND
Credit contracts:
Swaps	$	—		$	13,372		$	—		$	—		$	49,804		$	106
Interest contracts:
Futures		9,389			967,707			(25	)		(49,970	)		(6,408,384	)		129,609
Options and swaptions purchased¹		—			381,606			—			—			(1,218,431	)		36,024
Options and swaptions written		—			(158,296	)		—			—			2,904,558			(15,452	)
Swaps		(578	)		—			—			(1,664	)		(5,875,475	)		—
Foreign currency exchange contracts:
Forwards		—			(1,422,086	)		—			—			(38,955,574	)		(264,437	)


Total	$	8,811		$	(217,697	)	$	(25	)	$	(51,634	)	$	(49,503,502	)	$	(114,150	)

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



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		170		7		212		—		223		318
Average number of contracts sold		—		6		129		—		89		55
Average value of contracts purchased	$	817,167	$	4,037	$	119,710	$	—	$	85,420	$	114,697
Average value of contracts sold	$	—	$	18,166	$	395,939	$	—	$	128,795	$	217,377
Purchased options:
Average number of contracts		—		—		—		—		—		83
Average notional value	$	—	$	—	$	—	$	—	$	—	$	32,562
Written options:
Average number of contracts		—		—		—		—		—		165
Average notional value	$	—	$	—	$	—	$	—	$	—	$	19,627
Credit default swaps:
Average number of contracts - sell protection		—		—		—		—		1		1
Average notional value - sell protection	$	—	$	—	$	—	$	—	$	3,492,500	$	1,383,750
Interest rate swaps:
Average number of contracts - pays fixed rate		—		1		—		—		—		—
Average number of contracts - receives fixed rate		—		1		—		—		—		—
Average notional - pays fixed rate	$	—	$	283	$	—	$	—	$	—	$	—
Average notional - receives fixed rate	$	—	$	24	$	—	$	—	$	—	$	—
Foreign currency exchange contracts:
Average number of contracts sold		1		—		3		2		2		—
Average value of contracts sold	$	6,521	$	—	$	13,474	$	126,901	$	29,673	$	—



AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS¹

	INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND		ULTRA SHORT BOND FUND
Financial futures contracts:
Average number of contracts purchased		27		192		1		5		5,610		—
Average number of contracts sold		15		1,134		—		18		4,025		193
Average value of contracts purchased	$	16,341	$	24,410	$	6	$	1,757	$	26,436,258	$	—
Average value of contracts sold	$	47,608	$	1,670,558	$	—	$	68,329	$	5,004,190	$	111,415
Purchased options:
Average number of contracts		—		273		—		—		32,463		25
Average notional value	$	—	$	107,804	$	—	$	—	$	15,438,774	$	9,744
Written options:
Average number of contracts		—		545		—		—		56,175		50
Average notional value	$	—	$	200,081	$	—	$	—	$	13,810,805	$	5,825
Credit default swaps:
Average number of contracts - sell protection		—		1		—		—		—		1
Average notional value - sell protection	$	—	$	4,242,500	$	—	$	—	$	—	$	292,500
Interest rate swaps:
Average number of contracts - pays fixed rate		1		—		—		1		1		—
Average number of contracts - receives fixed rate		1		—		—		1		1		—
Average notional - pays fixed rate	$	514	$	—	$	—	$	578	$	1,706,784	$	—
Average notional - receives fixed rate	$	43	$	—	$	—	$	49	$	143,594	$	—
Purchased swaptions:
Average number of contracts		—		1		—		—		2		—
Average notional value	$	—	$	939,000	$	—	$	—	$	8,172,180	$	—
Written swaptions:
Average number of contracts		—		1		—		—		—		—
Average notional value	$	—	$	540,000	$	—	$	—	$	—	$	—
Foreign currency exchange contracts:
Average number of contracts sold		—		1		—		1		4		1
Average value of contracts sold	$	—	$	609,730	$	—	$	985	$	14,351,866	$	106,174

¹Amounts disclosed represent the volume of derivative contracts for the period ended September 30, 2021.

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.

In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net

payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

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

Cash collateral that has been pledged to cover obligations of a Fund, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Portfolio Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically 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 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 September 30, 2021:

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 Flexible Income 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 September 30, 2021:

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.

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 September 30, 2021:

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 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 September 30, 2021:

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.

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 September 30, 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
Citigroup Global Markets Inc.
Credit Default Swaps		$	115,984		$	—		$	—		$	115,984

Credit Suisse First Boston International
Credit Default Swaps		$	37,016		$	—		$	—		$	37,016

Goldman Sachs International
Foreign Currency Exchange Contracts		$	95,156		$	—		$	(32,228)		$	62,928

Total		$	248,156		$	—		$	(32,228)		$	215,928

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 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 September 30, 2021:

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.

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 September 30, 2021:

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 September 30, 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
Citigroup Global Markets Inc.
Credit Default Swaps		$	391,191		$	—		$	—		$	391,191

Credit Suisse First Boston International
Credit Default Swaps		$	31,735		$	(31,735)		$	—		$	—

Goldman Sachs International
Swaptions		$	1,713		$	(873)		$	(840)		$	—

Total		$	424,639		$	(32,608)		$	(840)		$	391,191

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 September 30, 2021:

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.

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 September 30, 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
Barclays Bank PLC
Swaptions		$	2,653,734		$	(401,893)		$	—		$	2,251,841

Citigroup Global Markets Inc.
Swaptions		$	1,522,344		$	—		$	—		$	1,522,344

Credit Suisse First Boston International
Credit Default Swaps		$	1,730,710		$	(1,730,710)		$	—		$	—

Goldman Sachs International
Foreign Currency Exchange Contracts		$	5,288,986		$	(1,807,860)		$	(1,963,955)		$	1,517,171
Swaptions			8,168,550			(2,792,140)			—			5,376,410

Total Goldman Sachs International		$	13,457,536		$	(4,600,000)		$	(1,963,955)		$	6,893,581

Total		$	19,364,324		$	(6,732,603)		$	(1,963,955)		$	10,667,766

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 September 30, 2021:

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.

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 September 30, 2021:

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 September 30, 2021:

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 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 September 30, 2021:

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.

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 the Federal National Mortgage Association (“FNMA”) and the Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.

On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by the 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 six months ended September 30, 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, Opportunistic High Income 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 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 September 30, 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 six months ended September 30, 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 September 30, 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 repurchase 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 Total Return Bond Fund for the six months ended September 30, 2021, was $638,028,138 and (0.36)%.

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 September 30, 2021, the Funds did not hold any reverse repurchase agreements.

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.

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 their investment objectives by investing in various derivative financial instruments, as described below:

Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the Adviser’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, and the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.

Options - The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. The Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. When the Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked-to-market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of September 30, 2021, the Low Duration Bond Fund held written options.

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 of 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. 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. As of September 30, 2021, there were no credit default swaps outstanding in the Funds.

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 September 30, 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 September 30, 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.

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.

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.

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 declared in March 2020 that the COVID-19 outbreak officially 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, imposed and in some cases 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.

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. 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 that may arise in the future could have a significant adverse impact on our investments and result in significant investment losses.

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 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. It is expected that market participants will transition to the use of different alternative reference or benchmark rates. However, although regulators have encouraged the development and adoption of alternative rates such as the Secured Overnight Financing Rate (“SOFR”), 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.

Investment transactions for the six months ended September 30, 2021, excluding U.S. government and short-term investments, were as follows:

Investment transactions in U.S. government securities for the six months ended September 30, 2021 were as follows:

There were no purchases or sales of securities from affiliated investment accounts for the six months ended September 30, 2021. These trades are in accordance with the provisions set forth in Section 17(a)-7 of the 1940 Act.

Investment transactions in the shares of affiliated issuers for the six months ended September 30, 2021 were as follows:

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 Opportunistic High Income Credit 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%, 0.50%, 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 six months ended September 30, 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 six months ended September 30, 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.

Investment advisory fees and related contractual expense limitations for the six months ended September 30, 2021, were as follows:

¹The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2023, unless approved by the Board.

²The Opportunistic High Income Credit Fund commenced operations on August 2, 2021.

At September 30, 2021, the balance of recoupable expenses with expiration dates for the Funds were as follows:



PORTFOLIO	2022		2023		2024		2025		TOTAL

AlphaTrak 500 Fund	$	40,586	$	48,578	$	122,267	$	—	$	211,431
Corporate Bond Fund		138,411		179,693		257,070		131,248		706,422
Flexible Income Fund		84,349		195,102		309,577		201,831		790,859
Floating Rate Income Fund		20,804		9,650		8,677		6,045		45,176
High Yield Bond Fund		201,390		195,809		158,414		74,738		630,351
Intermediate Bond Fund		—		5,068		4,895		659		10,622
Investment Grade Credit Fund		142,645		191,069		259,548		127,028		720,290
Opportunistic High Income Credit Fund		—		—		—		30,730		30,730
Strategic Income Fund		—		40,102		58,687		303,971		402,760
Ultra Short Bond Fund		247,985		244,911		310,177		174,383		977,456

Total	$	876,170	$	1,109,982	$	1,489,312	$	1,050,633	$	4,526,097

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. The annual retainer for each independent trustee is $135,000, and the additional retainer for the chairman of the Board is $55,500. 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.

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 Opportunistic High Income Credit 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 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, 0.25% for the Opportunistic High Income Credit Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the six months ended September 30, 2021. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2023, to pay the distribution expenses of the AlphaTrak 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.

The Flexible Income Fund, Floating Rate Income Fund, High Yield Bond Fund, Intermediate Bond Fund, Low Duration Bond Fund, Opportunistic High Income Credit Fund, Total Return Bond Fund and Unconstrained Bond Fund had the following unfunded commitments and unrealized gain (loss) by investment as of September 30, 2021:



FLEXIBLE INCOME FUND

UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN (LOSS)
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien	July	2022	$	201,750	$	4,848
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien	November	2027		46,221		(414)

Total Unfunded Commitments			$	247,971	$	4,434



FLOATING RATE INCOME FUND

UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN (LOSS)
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien	July	2022	$	779,259	$	18,725
Bifm CA Buyer, Inc., Delayed-Draw Term Loan, 1st Lien	May	2026		101,658		(383)
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien	November	2027		346,658		(807)
Refficiency Holdings LLC, Delayed-Draw Term Loan, 1st Lien	December	2027		161,542		252
TricorBraun Holdings, Inc., Delayed-Draw Term Loan, 1st Lien	March	2028		180,562		(770)
Convergint Technologies, Delayed-Draw Term Loan, 1st Lien	March	2028		6,654		31
Dessert Holdings, Inc., Delayed-Draw Term Loan	June	2028		315,854		65
Trident TPI Holdings, Inc., Delayed-Draw Term Loan, 1st Lien	September	2028		124,586		362

Total Unfunded Commitments			$	2,016,773	$	17,475



HIGH YIELD BOND FUND

UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien	July	2022	$	1,294,562	$	31,107

Total Unfunded Commitments			$	1,294,562	$	31,107



INTERMEDIATE BOND FUND UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien	July	2022	$	96,672	$	2,323

Total Unfunded Commitments			$	96,672	$	2,323



LOW DURATION BOND FUND UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien	July	2022	$	310,264	$	7,455

Total Unfunded Commitments			$	310,264	$	7,455



OPPORTUNISTIC HIGH INCOME CREDIT FUND UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien	July	2022	$	10,087	$	242

Total Unfunded Commitments			$	10,087	$	242



TOTAL RETURN BOND FUND UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien	July	2022	$	2,202,571	$	52,926

Total Unfunded Commitments			$	2,202,571	$	52,926



UNCONSTRAINED BOND FUND UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien	July	2022	$	445,940	$	10,716

Total Unfunded Commitments			$	445,940	$	10,716

In the normal course of business, the Trust enters into contracts which provide a variety of representations and warranties, and that provide general indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to the Trust under these arrangements is unknown as it would involve future claims that may be made against the Trust; however, based on the Trust’s experience, the risk of loss is remote and no such claims are expected to occur. As such, the Trust has not accrued any liability in connection with such indemnifications.

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:



	CORPORATE BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		768,830		84,928		444,057		231,865

Shares sold		97,385		1,236,850		324,868		302,004
Shares issued through reinvestment of distributions		6,327		18,359		5,899		13,508
Shares redeemed		(244,871)		(571,307)		(36,668)		(103,320)

Net increase (decrease) in fund shares		(141,159)		683,902		294,099		212,192

Shares outstanding at end of period		627,671		768,830		738,156		444,057



	FLEXIBLE INCOME FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		2,147,224		123		16,108,760		909,949

Shares sold		1,061,770		3,246,654		2,497,447		15,480,089
Shares issued through reinvestment of distributions		102,011		64,488		751,567		446,626
Shares redeemed		(883,946)		(1,164,041)		(3,305,599)		(727,903)

Net increase (decrease) in fund shares		279,835		2,147,101		(56,585)		15,198,812

Shares outstanding at end of period		2,427,059		2,147,224		16,052,175		16,108,761



	FLOATING RATE INCOME FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		1,387,808		677,246		41,999,130		27,856,410

Shares sold		321,318		1,261,859		6,686,969		15,726,159
Shares issued through reinvestment of distributions		19,335		28,802		612,923		875,259
Shares redeemed		(224,618)		(580,099)		(3,436,484)		(2,458,698)

Net increase in fund shares		116,035		710,562		3,863,408		14,142,720

Shares outstanding at end of period		1,503,843		1,387,808		45,862,538		41,999,130



	HIGH YIELD BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		18,755,387		13,656,919		54,120,573		31,231,832

Shares sold		2,383,406		12,682,957		9,546,901		48,545,618
Shares issued through reinvestment of distributions		308,065		598,528		945,392		1,644,258
Shares redeemed		(2,170,596)		(8,183,017)		(7,709,209)		(27,301,135)

Net increase in fund shares		520,875		5,098,468		2,783,084		22,888,7@41

Shares outstanding at end of period		19,276,262		18,755,387		56,903,657		54,120,573



	INTERMEDIATE BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		3,395,400		3,177,342		71,377,801		65,097,687

Shares sold		367,287		1,297,628		7,689,526		21,529,757
Shares issued through reinvestment of distributions		15,809		126,637		432,222		2,595,867
Shares redeemed		(580,643)		(1,206,207)		(5,396,127)		(17,845,510)

Net increase (decrease) in fund shares		(197,547)		218,058		2,725,621		6,280,114

Shares outstanding at end of period		3,197,853		3,395,400		74,103,422		71,377,801



	INVESTMENT GRADE CREDIT FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		219,784		86,723		1,044,749		666,665

Shares sold		390,849		432,102		1,560,601		463,146
Shares issued through reinvestment of distributions		5,873		14,422		36,232		76,716
Shares redeemed		(123,347)		(313,463)		(135,648)		(161,778)

Net increase in fund shares		273,375		133,061		1,461,185		378,084

Shares outstanding at end of period		493,159		219,784		2,505,934		1,044,749



	LOW DURATION BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		50,165,234		51,991,467		229,018,746		168,341,807

Shares sold		4,091,560		13,288,674		58,627,177		105,146,438
Shares issued through reinvestment of distributions		193,379		574,080		1,123,914		2,570,754
Shares redeemed		(2,795,047)		(15,688,987)		(42,494,943)		(47,040,253)

Net increase (decrease) in fund shares		1,489,892		(1,826,233)		17,256,148		60,676,939

Shares outstanding at end of period		51,655,126		50,165,234		246,274,894		229,018,746



	LOW DURATION BOND FUND
	ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		7,678		8,384

Shares sold		216,521		763
Shares issued through reinvestment of distributions		283		60
Shares redeemed		(2,383)		(1,529)

Net increase (decrease) in fund shares		214,421		(706)

Shares outstanding at end of period		222,099		7,678



	OPPORTUNISTIC HIGH INCOME CREDIT FUND

	CLASS M		CLASS I
	PERIOD ENDED SEPTEMBER 30, 2021 (UNAUDITED)*		PERIOD ENDED SEPTEMBER 30, 2021 (UNAUDITED)*


Change in Fund shares:
Shares outstanding at beginning of period		—		—

Shares sold		10		303,418
Shares issued through reinvestment of distributions		—		2,714

Net increase in fund shares		10		306,132

Shares outstanding at end of period		10		306,132


* The Fund commenced operations on August 2, 2021.



	STRATEGIC INCOME FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		1,975,844		1,428,333		1,251,843		6,621,937

Shares sold		700,771		1,585,527		462,833		712,954
Shares issued through reinvestment of distributions		87,607		99,943		54,933		202,975
Shares redeemed		(316,629)		(1,137,959)		(202,015)		(6,286,023)

Net increase (decrease) in fund shares		471,749		547,511		315,751		(5,370,094)

Shares outstanding at end of period		2,447,593		1,975,844		1,567,594		1,251,843



	TOTAL RETURN BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		661,139,405		807,293,176		4,897,035,762		4,144,455,446

Shares sold		78,479,144		246,419,869		703,921,270		1,648,449,661
Shares issued through reinvestment of distributions		3,355,647		50,332,883		28,303,121		258,093,148
Shares redeemed		(95,757,814)		(442,906,523)		(677,345,282)		(1,153,962,493)

Net increase (decrease) in fund shares		(13,923,023)		(146,153,771)		54,879,109		752,580,316

Shares outstanding at end of period		647,216,382		661,139,405		4,951,914,871		4,897,035,762



	TOTAL RETURN BOND FUND
	ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS		PLAN CLASS		PLAN CLASS
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		192,427,211		156,243,805		2,425,345,101		2,277,531,666

Shares sold		16,840,671		59,236,353		258,586,425		725,752,496
Shares issued through reinvestment of distributions		843,628		10,248,450		14,855,203		145,266,719
Shares redeemed		(22,761,459)		(33,301,397)		(347,943,409)		(723,205,780)

Net increase (decrease) in fund shares		(5,077,160)		36,183,406		(74,501,781)		147,813,435

Shares outstanding at end of period		187,350,051		192,427,211		2,350,843,320		2,425,345,101



	ULTRA SHORT BOND FUND

	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		14,559,872		6,709,806		42,554,510		18,036,590

Shares sold		2,880,111		21,914,311		10,400,014		41,150,119
Shares issued through reinvestment of distributions		33,294		61,610		146,746		255,902
Shares redeemed		(4,620,959)		(14,125,855)		(9,173,352)		(16,888,101)

Net increase (decrease) in fund shares		(1,707,554)		7,850,066		1,373,408		24,517,920

Shares outstanding at end of period		12,852,318		14,559,872		43,927,918		42,554,510


	UNCONSTRAINED BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021		SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)		YEAR ENDED MARCH 31, 2021


Change in Fund shares:
Shares outstanding at beginning of period		21,607,830		24,012,697		273,766,820		248,328,242

Shares sold		1,870,009		4,522,456		60,337,386		96,605,193
Shares issued through reinvestment of distributions		244,075		693,758		2,966,047		7,137,466
Shares redeemed		(1,977,775)		(7,621,081)		(26,663,082)		(78,304,081)

Net increase (decrease) in fund shares		136,309		(2,404,867)		36,640,351		25,438,578

Shares outstanding at end of period		21,744,139		21,607,830		310,407,171		273,766,820

At September 30, 2021, the following Funds had available for federal income tax purposes unused capital losses as follows:

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		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND		ULTRA SHORT BOND FUND
Undistributed ordinary income (inclusive of short-term gains)	$	23,540	$	1,619,990	$	—	$	557,772	$	—	$	359,317
Undistributed long-term gains		—		—		—		—		—		—
Other temporary differences		—		(265,144)		—		(10,104)		(11,493,390)		(8,287)
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)


Total accumulated earnings (losses)	$	(404,207)	$	(25,819,472)	$	—	$	(4,176,767)	$	(271,920,244)	$	(5,389,858)


	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



	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

As of September 30, 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	$	42,910,728	$	14,551,419	$	204,545,426	$	484,031,857	$	811,098,801	$	854,093,651

Gross unrealized appreciation		1,353,134		261,111		2,554,281		5,194,412		22,206,480		11,282,999
Gross unrealized (depreciation)		(694,756)		(265,799)		(9,148,607)		(2,430,688)		(34,184,043)		(6,092,846)


Net unrealized appreciation (depreciation)	$	658,378	$	(4,688)	$	(6,594,326)	$	2,763,724	$	(11,977,563)	$	5,190,153


		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND		ULTRA SHORT BOND FUND

Tax Cost	$	29,957,862	$	3,111,842,544	$	3,366,447	$	35,081,226	$	106,652,033,331	$	258,669,327

Gross unrealized appreciation		378,416		21,551,926		68,316		873,156		1,666,164,085		906,421
Gross unrealized (depreciation)		(908,833)		(18,279,265)		(41,246)		(5,177,482)		(824,039,717)		(928,033)


Net unrealized appreciation (depreciation)	$	(530,417)	$	3,272,661	$	27,070	$	(4,304,326)	$	842,124,368	$	(21,612)

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, 2022. 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 six months ended September 30, 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.

Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

In 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 provide 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.

The Adviser provides investment advisory services to each Fund under an Investment Management Agreement dated February 6, 2013, as amended (the “Agreement”), between the Trust, on behalf of each Fund, and the Adviser. The Agreement was approved for a two-year initial term by the shareholders of each Fund then existing at a special meeting of shareholders held on November 28, 2012, which was adjourned until December 20, 2012 with respect to certain Funds. The Agreement was most recently amended on July 29, 2021 for the purpose of adding the Metropolitan West ESG Securitized Fund (the “ESG Securitized Fund”) and the Metropolitan West Opportunistic High Income Credit Fund (the “Opportunistic High Income Credit Fund”). Following the Agreement’s initial two-year term with respect to each Fund, the Agreement continues in effect from year-to-year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Trustees of the Trust (the “Board”), and, in either event, by a majority of the Trustees who are not “interested persons” of the Trust, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Investment Company Act”), (the “Independent Trustees”) casting votes in person at a meeting called for that purpose.

On September 20, 2021, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2022 through February 5, 2023 with respect to each Fund, other than the ESG Securitized Fund and the Opportunistic High Income Credit Fund, for which the Agreement remains in the initial two-year term. The Board met by videoconference to approve that renewal, notwithstanding the in-person approval requirement that normally applies under the Investment Company Act, as permitted by relief provided by the Securities and Exchange Commission in light of the COVID-19 pandemic. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees also met by telephone in a working session on August 24, 2021 to hear presentations by representatives of the Adviser, to ask related questions, to review and discuss materials provided by the Adviser for their consideration, and to meet separately with their independent legal counsel. On September 20, 2021 they also met separately with their independent legal counsel to review and discuss supplemental information that had been requested on their behalf by their independent legal counsel and presented by the Adviser. The information, material facts, and conclusions that formed the basis for the Independent Trustees’ recommendation and the Board’s subsequent approval are described below.

Materials reviewed — During the course of each year, the Trustees receive a wide variety of materials relating to the services provided by the Adviser, including reports on the Adviser’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed information furnished to the Independent Trustees in response to a detailed request sent to the Adviser on their behalf. The information in the Adviser’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Trustees also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to peer groups of mutual funds selected by Broadridge. After reviewing this information, the Trustees requested additional information from the Adviser, which the Adviser provided and the Trustees considered.

Review process — The Trustees’ determinations were made on the basis of each Trustee’s business judgment after consideration of all the information presented. The Independent Trustees were advised by their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Trustees also discussed the renewal of the Agreement with the Adviser’s representatives and in private sessions at which no representatives of the Adviser were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Trustees did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Trustee may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and Independent Trustees.

The Board and the Independent Trustees considered the depth and quality of the Adviser’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Adviser; and the ability of its organizational structure to address the growth in assets over the past several years. The Board and the Independent Trustees considered the ability of the Adviser to attract and retain well-qualified investment professionals, noting in particular the Adviser’s hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Trustees also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, and portfolio accounting. They noted the

substantial additional resources made available by The TCW Group, Inc. (“TCW”), the parent company of the Adviser. The Board and the Independent Trustees examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Adviser’s institutional and sub-advised clients, as well as the Adviser’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Adviser and the Independent Trustees. The Adviser explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Trustees and their meetings, regulatory filings, and various operational personnel, and the related costs.

The Board and the Independent Trustees concluded that the nature, extent, and quality of the services provided by the Adviser are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.

The Board and the Independent Trustees considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2021. The Board and the Independent Trustees reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with the Adviser. In reviewing each Fund’s relative performance, the Board and the Independent Trustees took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.

The Board and the Independent Trustees noted that each Fund’s performance was satisfactory over the relevant periods and in some cases very favorable, particularly over longer periods, which the Board and the Independent Trustees believe are generally the most relevant. The Board and the Independent Trustees indicated their belief that the performance of each Fund for periods where the Fund lagged its respective peer group average remained satisfactory when assessed on a risk-adjusted basis, in part because performance quintiles do not necessarily reflect the amount of risk employed by peer funds to achieve their returns. The Board and the Independent Trustees recognized the Adviser’s deliberate strategy to manage risk in light of its critical view of the fixed-income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Trustees believed that relative performance also should be considered in light of future market conditions expected by the Adviser. The Board and the Independent Trustees noted the Adviser’s view that longer term performance can be more meaningful for active fixed income funds such as the Funds because market cycles in fixed income are generally longer than three years. The Board and the Independent Trustees also considered data showing that the Funds generally experienced less volatility for many periods compared to other funds in the applicable peer groups.

For the Metropolitan West Total Return Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second (Class I)/second (Class M) quintile for the ten-year period, the fourth (Class I)/fourth (Class M) quintile for the five-year period, the second (Class I)/third (Class M) quintile for the three-year period and the fifth (Class I)/fifth (Class M) quintile for the one-year period.

For the Metropolitan West Unconstrained Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the fourth quintile for the five-year period, the second quintile for the three-year period and the third quintile for the one-year period.

For the Metropolitan West Low Duration Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the third quintile for the five- and three-year periods and the fourth quintile for the one-year period.

For the Metropolitan West Intermediate Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-, five- and three-year periods and the second quintile for the one-year period.

For the Metropolitan West High Yield Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third quintile for the ten-year period, the second quintile for the five-year period, the first quintile for the three-year period and the fifth quintile for the one-year period.

For the Metropolitan West Floating Rate Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the five-year period, the first quintile for the three-year period and the fifth quintile for the one-year period. The Board and the Independent Trustees noted the substantially lower volatility for this Fund compared to the funds in the peer group.

For the Metropolitan West Ultra Short Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the fourth quintile for the ten-year period and the fifth quintile for the five-, three- and one-year periods. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance, including that the Fund is generally being managed with lower interest rate risk and credit risk as compared to the peer group funds. The Board also considered that the peer funds can have substantially longer dollar-weighted average maturities than would be permitted for this Fund, and those longer averages can result in higher performance under the prevailing market conditions over the applicable periods. The Board and the Independent further noted the substantially lower volatility for this Fund compared to the funds in the peer group.

For the Flexible Income Fund, the Board and the Independent Trustees noted that the Fund was in the fourth quintile for the one-year period and the first quintile for the period since the Fund’s inception on November 30, 2018. The Board and the Independent Trustees also noted the substantially lower volatility for this Fund compared to the funds in the peer group.

For the Metropolitan West AlphaTrak 500 Fund, the Board and the Independent Trustees noted that the Fund was in the first quintile for the ten- and five-year periods, the second quintile for the three-year period and the first quintile for the one-year period.

For the Metropolitan West Strategic Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the third quintile for the five-year period and the second quintile for the three- and one-year periods. The Board and the Independent Trustees also considered the limitations of using the absolute return funds peer group for this Fund because of the significant differences in the strategies used by those funds.

For the Investment Grade Credit Fund, the Board and the Independent Trustees noted that the Fund was in the first quintile for the one-year period and the period since the Fund’s inception on June 29, 2018.

For the Corporate Bond Fund, the Board and the Independent Trustees noted that the Fund was in the fourth quintile for the one-year period and the first quintile for the period since the Fund’s inception on June 29, 2018.

The Board and the Independent Trustees concluded that the Adviser was implementing each Fund’s investment objective(s) and that the Adviser’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.

The Board and the Independent Trustees compared the management fees (which Broadridge defines to include advisory fee and administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense levels of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Trustees by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Trustees observed that each Fund’s management fee was below or near the median of the peer group funds on a current basis, with the exception of the Unconstrained Bond Fund, the Floating Rate Income Fund and the Strategic Income Fund. The Board and the Independent Trustees noted the divergence in the management fees of the Unconstrained Bond Fund and the Floating Rate Income Fund as compared to the medians of their respective peer groups, which the Board did not consider to be unreasonable, with the management fees for the Unconstrained Bond Fund and the Floating Rate Income Fund each approximately 6 basis points higher than those medians. With respect to the Strategic Income Fund, the Board and the Independent Trustees considered the Adviser’s view that the Broadridge peer group did not provide a suitable comparison given the significant differences in the strategies used by the Fund as compared to those used by funds in the peer group. In particular, the Adviser’s view is that the Strategic Income Fund should instead be compared to private absolute return funds, which the Adviser views as that Fund’s closest relevant comparison and to which its fees and expenses compare very favorably. The Board and the Independent Trustees further noted that the AlphaTrak 500 Fund and the Strategic Income Fund at the time of the meeting each employed a fulcrum fee that adjusts upward from a basic fee only if the Fund has favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). The Board and the Independent Trustees noted that such a fee structure is designed so that the advisory fee payable to the Adviser by either Fund would be on the higher end of the fee range only if the Fund had favorable relative net performance and considered the appropriateness of the use of the AlphaTrak 500 Fund’s and the Strategic Income Fund’s respective benchmark indexes for these purposes, which the Adviser views as reasonable. The Board and the Independent Trustees further considered that the Adviser has proposed to change the fulcrum fee structure to a flat fee structure for each of the AlphaTrak 500 Fund and Strategic Income Fund, and that those proposals would be submitted for a vote by shareholders of the applicable Fund. The Board noted that if the new advisory fee structure had been in place for the year ended May 31, 2021, the management fee for each of the Strategic Income Fund and the AlphaTrak 500 Fund would have been well below the respective medians.

In considering the Funds’ total operating expenses, the Board and the Independent Trustees observed that each Fund’s total expenses were below or near the median of the peer group funds on a current basis, with the exception of the AlphaTrak 500 Fund, the Strategic Income Fund and Class M of the Total Return Bond Fund. The Board and the Independent Trustees noted that if the new advisory fee structure had been in place for the year ended May 31, 2021, the total expenses of the AlphaTrak 500 Fund would have been below the median, while the total expenses of the Strategic Income Fund would have been approximately 7 basis points above the median. The Board further noted that the total expenses of Class M shares of the Total Return Bond Fund were approximately 6 basis points above the median and determined that these divergences were not unreasonable. The Board and the Independent Trustees also considered the contractual expense limitations to which the Adviser has agreed with respect to each Fund and that the Adviser historically has absorbed any expenses in excess of these limits. They noted that although the Adviser may recoup, and has recouped in the past, certain fees and/or expenses previously waived or reimbursed for certain Funds, such recoupment is permitted only if it does not cause the applicable Fund’s annual expense ratio to exceed the lesser of (i) the expense limitation applicable at the time of that fee waiver and/ or expense reimbursement or (ii) the expense limitation in effect at the time of recoupment. The Board and the Independent Trustees concluded that the competitive fees charged by the Adviser, and competitive expense ratios, should continue to benefit each Fund and its shareholders.

The Board and the Independent Trustees also reviewed information regarding the advisory fees charged by the Adviser to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Trustees concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Adviser to the Funds and the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.

The Board and the Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel compensation costs, which constitute the Adviser’s largest operating cost. The Board and the Independent Trustees recognized that the Adviser should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Trustees also reviewed a comparison of the Adviser’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Adviser believed supported its view that the Adviser’s profitability was reasonable. Based on their review, the Board and the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.

The Board and the Independent Trustees considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Adviser’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. For example, the largest Fund, the Total Return Bond Fund, is one of the largest mutual funds in its peer group, but its actual management fees and total expenses remain at or below the peer group median. The Board and the Independent Trustees recognized the benefits of the Adviser’s substantial past and ongoing investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal, compliance and cybersecurity programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Trustees also noted the Adviser’s explanation of the increased resources required to manage the Funds as a result of both asset growth and increased competitive pressures. The Board and the Independent Trustees further noted the Adviser’s past and current subsidies of the operating expenses of newer and smaller Funds and the Adviser’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Trustees also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Trustees considered the risk borne by the Adviser that the Funds’ net assets and thus the Adviser’s fees might decline and that smaller Funds might not grow to become profitable. The Board and the Independent Trustees concluded that the Adviser was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.

The Board and the Independent Trustees also considered other actual and potential financial benefits to the Adviser or its affiliates. In particular, they noted that the Adviser does not have any affiliates that materially benefit from the Adviser’s relationship to the Funds except through TCW’s ownership of the Adviser. They noted that the principal underwriter for the Funds’ shares is affiliated with the Adviser but does not derive a profit from that role. The Board and the Independent Trustees concluded that any potential benefits received or to be derived by the Adviser from its relationships with the Funds are reasonably related to the services provided by the Adviser to the Funds.

Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.

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.

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, TCW Direct Lending VII LLC, and TCW Direct Lending VIII 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.

We may collect the following types of nonpublic personal and financial information about you from the following sources:

We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.

We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.

We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.

We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.

Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.

Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, and TCW Direct Lending VIII LLC

Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@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

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

There were no written solicitations to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons.

There was no change in the Registrant’s independent public accountant during the period covered by the report.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


Metropolitan West 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 Opportunistic High Income Credit Fund		M-Class (MWORX), I-Class (MWOPX)
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)


	Performance Through September 30, 2021

	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)		8.84%		30.07%		16.29%	17.58%	17.78%	8.18%
S&P 500 Index		9.18%		30.00%		15.98%	16.89%	16.62%	7.90%


	Performance Through September 30, 2021

	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWCSX (Inception: June 29, 2018)		3.31%		1.90%		8.73%		—		—	8.58%
Bloomberg U.S. Corporate Index		3.54%		1.74%		7.44%		—		—	7.15%
MWCBX (Inception: June 29, 2018)		3.44%		2.15%		9.00%		—		—	8.85%
Bloomberg U.S. Corporate Index		3.54%		1.74%		7.44%		—		—	7.15%


	Performance Through September 30, 2021

	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)		3.34%		8.34%		8.13%		6.54%	6.33%	8.10%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		3.65%		11.27%		6.88%		6.50%	7.41%	8.64%

MWHIX (Inception: March 31, 2003)		3.37%		8.51%		8.36%		6.79%	6.59%	7.59%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		3.65%		11.27%		6.88%		6.50%	7.41%	8.09%


	Beginning Account Value 04/01/21	Ending Account Value 09/30/21	Expense Ratio¹	Expenses Paid During Period²
ALPHATRAK 500 FUND
Actual Fund Return	$1,000.00	$1,088.40	0.90%	$4.71
Hypothetical 5% Return	$1,000.00	$1,020.56	0.90%	$4.56

CORPORATE BOND FUND

Actual Fund Return
Class M	$1,000.00	$1,033.10	0.75%	$3.82
Class I	$1,000.00	$1,034.40	0.50%	$2.55
Hypothetical 5% Return
Class M	$1,000.00	$1,021.31	0.75%	$3.80
Class I	$1,000.00	$1,022.56	0.50%	$2.54

FLEXIBLE INCOME FUND

Actual Fund Return
Class M	$1,000.00	$1,024.40	0.80%	$4.06
Class I	$1,000.00	$1,025.60	0.55%	$2.79

Hypothetical 5% Return
Class M	$1,000.00	$1,021.06	0.80%	$4.05
Class I	$1,000.00	$1,022.31	0.55%	$2.79






METWEST FUNDS
AlphaTrak 500 Fund
Corporate Bond Fund
Flexible Income Fund
Floating Rate Income Fund
High Yield Bond Fund
Intermediate Bond Fund
Investment Grade Credit Fund
Low Duration Bond Fund
Opportunistic High Income Credit Fund
Strategic Income Fund
Total Return Bond Fund
Ultra Short Bond Fund
Unconstrained Bond Fund


Metropolitan West Funds
Table of Contents		September 30, 2021


Letter to Shareholders			1

Disclosure of Fund Expenses (Unaudited)			13

Summary of Portfolio Holdings			16

Schedule of Portfolio Investments			19

AlphaTrak 500 Fund			19

Corporate Bond Fund			29

Flexible Income Fund			39

Floating Rate Income Fund			61

High Yield Bond Fund			76

Intermediate Bond Fund			85

Investment Grade Credit Fund			99

Low Duration Bond Fund			111

Opportunistic High income Credit Fund			129

Strategic Income Fund			134

Total Return Bond Fund			145

Ultra Short Bond Fund			192

Unconstrained Bond Fund			203

Statements of Assets and Liabilities			231

Statements of Operations			236

Statements of Changes in Net Assets			241

Financial Highlights			248

Notes to Financial Statements			279

Approval of Investment Management Agreement by Trustees			331

Privacy Policy			335



Description	Number of Contracts	Expiration Date		Notional Amount		Value			Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
S&P 500 E-mini Index	160		12/17/21	$	34,376,000	$	(1,749,338	)	$	(1,749,338	)



					Received by the Fund		Paid by the Fund

Description	Put/ Call		Maturity Date		Rate	Frequency	Rate	Frequency		Notional Amount (000’s)		Value		Premiums Paid		Unrealized Appreciation (Depreciation)
SWAPS: INTEREST RATE
Interest Rate Swap¹		Call		09/28/53	3-month USD LIBOR	Quarterly	1.87%		Semi-annually	$	95	$	2,321	$	—	$	2,321
Interest Rate Swap¹		Call		09/28/25	1.39%	Semi-annually	3-month USD LIBOR		Quarterly		1,130		(361)		—		(361)

TOTAL SWAPS CONTRACTS										$	1,225	$	1,960	$	—	$	1,960



Description	Number of Contracts		Expiration Date		Notional Amount		Value			Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		307		12/31/21	$	37,681,852	$	(241,667	)	$	(241,667)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		150		12/21/21		(21,787,500)		389,927			389,927
U.S. Treasury Ultra Bond		35		12/21/21		(6,687,188)		201,677			201,677

						(28,474,688)		591,604			591,604

TOTAL FUTURES CONTRACTS					$	9,207,164	$	349,937		$	349,937



Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 1,621,659	EUR 1,357,607	Goldman Sachs International	10/22/21	$	47,608
USD 715,574	EUR 610,000	Goldman Sachs International	01/07/22		7,016


					54,624


EUR 1,357,607	USD 1,592,544	Goldman Sachs International	10/22/21		(18,494)


NET UNREALIZED APPRECIATION				$	36,130



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	$	37,016	$	26,241	$	10,775
1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30		5.00%		3 Months		Citigroup Global Markets Inc.		06/20/23		1,985,000		115,984		112,294		3,690


TOTAL											$	153,000	$	138,535	$	14,465



Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value

PURCHASED PUT OPTIONS EXCHANGE TRADED
IMM Eurodollar 2-Year MIDCV Future Options		330		$99.13		12/10/21	$	51,657,174	$	247,500



Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value

WRITTEN PUT OPTIONS EXCHANGE TRADED
IMM Eurodollar 2-Year MIDCV Future Options		660		$98.75		12/10/21	$	(53,549,259)	$	(127,875)



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	$	96,085	$	68,115	$	27,970
1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30		5.00%		3 Months		Credit Suisse First Boston International		06/20/23		9,250,000		540,481		524,903		15,578


TOTAL											$	636,566	$	593,018	$	43,548


ASSETS:	ALPHATRAK 500 FUND			CORPORATE BOND FUND


Investments, at value - Unaffiliated (Cost $42,898,644, $14,548,839, $204,529,029, $484,011,211, $783,767,922 and $853,871,701, respectively) (Note 2)		$	43,569,106		$	14,546,731
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $27,171,821 and $0, respectively) (Note 5)			—			—
Cash and cash equivalents (Note 2)			1,161,124			509,427
Foreign Currency, at value (Cost $0, $0, $557, $1,042, $1,822 and $0, respectively)			—			—
Cash on deposit with brokers for collateral on swaps (Note 2)			—			7,453
Cash on deposit with brokers for collateral on futures (Note 2)			2,708,000			42,000
Receivable for securities sold			777,214			146,899
Dividends and interest receivable			174,404			107,069
Receivable for capital stock sold			139,841			1,218
Receivable for daily variation margin on futures contracts (Note 3)			6,000			367
Unrealized appreciation on foreign currency exchange contracts			—			—

Unrealized appreciation on foreign currency transactions			—			—
Net unrealized appreciation on unfunded commitments (Note 8)			—			—
Due from Adviser (Note 6)			—			22,220
Premiums paid for swap contracts			—			—
Unrealized appreciation on swap contracts			—			2,321
Other assets			12,766			13,810

Total assets			48,548,455			15,399,515

Liabilities:
Options written, at value (Premiums received $0, $0, $0, $0, $0 and $78,509, respectively) (Note 3)			—			—
Payable for securities purchased			2,457,495			486,478
Payable for daily variation margin on futures contracts (Note 3)			428,000			1,031
Payable for capital stock redeemed			114,854			5,033

Distributions payable			1,000			167
Unrealized depreciation on foreign currency exchange contracts			—			—
Unrealized depreciation on foreign currency transactions			—			—
Unrealized depreciation on swap contracts			—			361
Advisory fees payable (Note 6)			13,622			4,815
Accrued trustees fees and expenses			141			42
Accrued distribution (12b-1) and service fees payable			—			1,387
Administrative fees payable			26,439			20,224
Accrued other expenses			27,416			6,717

Total liabilities			3,068,967			526,255

Net assets		$	45,479,488		$	14,873,260

Class M Shares:

Net assets (Applicable to 3,169,335, 627,671, 2,427,059, 1,503,843, 19,276,262 and 3,197,853, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		$	45,479,488		$	6,835,155

Net asset value, offering and redemption price per Class M share		$	14.35		$	10.89


Class I Shares:
Net assets (Applicable to 0, 738,156, 16,052,175, 45,862,538, 56,903,657 and 74,103,422, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)			N/A		$	8,038,105

Net asset value, offering and redemption price per Class I share			N/A		$	10.89


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)		$	35,604,965		$	14,791,468
Accumulated Earnings (Loss)			9,874,523			81,792

Net assets		$	45,479,488		$	14,873,260


FLEXIBLE INCOME FUND				FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND				INTERMEDIATE BOND FUND


	$	197,951,100			$	486,795,581		$	799,121,238			$	859,283,804
		—				—			—				—
		8,314,466				8,219,664			40,403,506				23,494,298
		557				1,042			1,822				—
		—				—			—				34
		446,000				—			2,780,000				1,159,000
		25,808,972				14,315,442			7,101,378				57,995,831
		1,708,956				877,124			6,698,350				2,282,103
		102,100				253,978			1,476,622				1,110,170
		31,852				—			13,820				21,969
		56,207				54,624			95,156				—
		—				—			—				—
		4,434				17,475			31,107				2,323
		40,303				1,337			13,709				3
		—				—			138,535				125,052
		—				—			14,465				6,601
		31,807				44,603			61,350				34,776

		234,496,754				510,580,870			857,951,058				945,515,964



		—				—			—				127,875
		54,697,611				37,150,910			37,688,995				112,223,927
		25,780				—			18,390				1,031
		1,207,135				258,865			1,733,362				686,157
		9,997				139,027			89,096				4,436
		18,843				18,494			32,228				—
		114				—			—				—
		—				—			—				—
		65,615				212,278			333,490				236,516
		599				1,506			2,650				2,813
		4,842				3,030			42,553				5,929
		34,285				27,163			24,654				41,051
		23,512				15,667			154,652				165,349

		56,088,333				37,826,940			40,120,070				113,495,084

	$	178,408,421			$	472,753,930		$	817,830,988			$	832,020,880




	$	23,432,958			$	15,013,733		$	207,006,189			$	34,429,524

	$	9.65			$	9.98		$	10.74			$	10.77




	$	154,975,463			$	457,740,095		$	610,824,799			$	797,591,356

	$	9.65			$	9.98		$	10.73			$	10.76




		N/A			$	102			N/A				N/A

		N/A			$	9.98¹			N/A				N/A



	$	184,613,556			$	471,464,419		$	847,658,289			$	822,136,703
		(6,205,135	)			1,289,511			(29,827,301	)			9,884,177

	$	178,408,421			$	472,753,930		$	817,830,988			$	832,020,880


OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND			ULTRA SHORT BOND FUND


	$	3,393,517		$	30,776,900			$	107,494,157,699		$	258,647,715
		—			—				—			—
		8,803			875,677				147,430,507			11,820,053
		—			21,791				202,020,367			—
		—			351,000				80,275,000			316,000
		104,473			1,557,714				19,563,420,242			29,862,041
		41,080			403,847				273,056,459			683,521
		15,574			51,294				—			31,012
		—			6,979				21,020,386			1,052
		—			2,641				—			1,094
		—			151,037				105,834,933			2,193,010
		—			—				5,288,986			—
		—			—				—			—
		242			—				52,926			—
		—			—				1,533,668			2,562
		—			18,847				1,270,324			38,699

		3,563,689			34,217,727				127,895,361,497			303,596,759



		—			—				10,729,375			38,750
		431,083			3,283,262				39,868,249,379			61,418,705
		—			131,590				131,735,686			64,102
		—			8,643				26,698,819			—
		25			1,375				1,750,257			19,758
		—			4,461				7,697,743			262
		—			—				1,963,955			—
		—			—				44,242			—
		1,219			45,304				25,920,900			49,370
		6			102				305,727			833
		—			3,820				1,935,465			7,251
		16,128			23,535				844,540			23,631
		7,031			27,474				14,170,752			87,277

		455,492			3,529,566				40,092,046,840			61,709,939

	$	3,108,197		$	30,688,161			$	87,803,314,657		$	241,886,820



	$	103		$	18,708,899			$	7,096,869,470		$	54,684,078

	$	10.16¹		$	7.64			$	10.97		$	4.25




	$	3,108,094		$	11,979,262			$	54,285,998,258		$	187,202,742

	$	10.15		$	7.64			$	10.96		$	4.26




		N/A			N/A			$	197,606,925			N/A

		N/A			N/A			$	10.96			N/A




		N/A			N/A			$	2,055,835,259			N/A

		N/A			N/A			$	10.97			N/A




		N/A			N/A			$	24,167,004,745			N/A

		N/A			N/A			$	10.28			N/A



	$	3,066,519		$	35,556,186			$	86,901,518,575		$	247,162,944
		41,678			(4,868,025	)			901,796,082			(5,276,124	)

	$	3,108,197		$	30,688,161			$	87,803,314,657		$	241,886,820


	ALPHATRAK 500 FUND				CORPORATE BOND FUND
Investment Income:
Interest		$	313,625			$	174,127
Dividends			44,641				76

Total investment income			358,266				174,203


Expenses:
Investment advisory fees (Note 6)			25,096				24,971
Administration fees			50,575				48,689
Distribution (12b-1) and service fees - class specific (Note 7):
Class M			—				8,538
Professional fees			21,249				14,488
Transfer agent fees			19,183				20,081
Registration and filing fees			14,522				30,972
Custodian fees			11,158				17,346
Miscellaneous expenses			7,510				5,801
Trustees’ fees and expenses			253				76
Commitment fee			28				38
Repayment of reimbursed expenses - Class M (Note 6)			47,536				—
Repayment of reimbursed expenses - Class I (Note 6)			—				—

Total operating expenses			197,110				171,000
Expenses waived and reimbursed (Note 6)			—				(131,248	)

Net expenses			197,110				39,752

Net investment income			161,156				134,451


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			(175,194	)			59,121
Futures contracts			5,065,453				(20,858	)
Foreign currency exchange contracts			20,871				—
Foreign currency transactions			—				—
Options and swaptions written			—				—
Swap contracts			—				(17	)

Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated			254,388				194,728
Futures contracts			(1,882,570	)			(7,104	)
Foreign currency exchange contracts			(20,568	)			—
Foreign currency transactions			—				—
Options and swaptions written			—				—
Swap contracts			—				1,960


Net 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			3,262,380				227,830

Net Increase in Net Assets from Operations		$	3,423,536			$	362,281


OPPORTUNISTIC HIGH INCOME CREDIT FUND¹				STRATEGIC INCOME FUND				TOTAL RETURN BOND FUND				ULTRA SHORT BOND FUND

	$	29,558			$	1,294,322			$	761,422,801			$	1,225,760
		679				3,611				556,989				2,272

		30,237				1,297,933				761,979,790				1,228,032



		2,303				266,117				156,888,916				308,320
		16,128				52,197				2,258,592				62,773

		—				22,242				7,592,222				46,074
		—				—				4,218,147				—
		79				28,892				860,812				31,509
		4,973				28,928				24,523,872				129,723
		5,959				8,814				1,298,907				19,715
		2,540				20,620				192,606				20,723
		1,489				10,713				3,917,137				18,678
		6				155				543,693				1,546
		17				64				241,039				712

		33,494				438,742				202,535,943				639,773
		(30,730	)			(303,971	)			—				(174,383	)

		2,764				134,771				202,535,943				465,390

		27,473				1,163,162				559,443,847				762,642





		13,143				(739,978	)			936,798,036				226,951
		—				(94,075	)			106,422,141				(188,110	)
		—				—				40,012,385				268,341
		—				—				9,971				—
		—				—				(1,687,141	)			(10,472	)
		—				(36	)			551,640				3,999

		28,585				158,795				138,162,162				(28,406	)
		(25	)			(49,970	)			(6,408,384	)			129,609
		—				—				(38,955,574	)			(264,437	)
		—				—				(49,580	)			—
		—				—				2,904,558				(15,452	)
		—				(1,664	)			(5,825,671	)			106


		41,703				(726,928	)			1,171,934,543				122,129

	$	69,176			$	436,234			$	1,731,378,390			$	884,771


	ALPHATRAK 500 FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			YEAR ENDED MARCH 31, 2021
Operations:
Net investment income	$	161,156		$	527,351
Net realized gain (loss) on investments		(175,194	)		21,713
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		5,086,324			11,470,191
Net change in unrealized appreciation (depreciation) on investments		254,388			1,774,249
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(1,903,138	)		1,813,257

Net increase in net assets resulting from operations		3,423,536			15,606,761


Distributions to Shareholders:
Class M		(254,352	)		(2,562,844	)
Class I		—			—
Plan Class		—			—

Total Distributions		(254,352	)		(2,562,844	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		9,722,117			8,125,307
Shares issued in reinvestment of distributions		252,430			2,556,028
Cost of shares redeemed		(4,434,038	)		(16,021,598	)

Total Class M capital share transactions		5,540,509			(5,340,263	)

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		5,540,509			(5,340,263	)

Net increase (decrease) in net assets		8,709,693			7,703,654
Net assets at beginning of period		36,769,795			29,066,141

Net assets at end of period	$	45,479,488		$	36,769,795


CORPORATE BOND FUND						FLEXIBLE INCOME FUND						FLOATING RATE INCOME FUND
SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			YEAR ENDED MARCH 31, 2021			SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			YEAR ENDED MARCH 31, 2021			SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			YEAR ENDED MARCH 31, 2021

$	134,451		$	286,040		$	8,418,727		$	4,908,854		$	7,140,524		$	10,056,510
	59,121			25,535			392,317			(450,019	)		452,881			861,658

	(20,875	)		47,444			(624,193	)		827,523			426,754			129,471
	194,728			(242,672	)		(3,603,250	)		(2,518,196	)		898,804			26,740,238

	(5,144	)		21,784			28,236			382,408			(407,923	)		444,053

	362,281			138,131			4,611,837			3,150,570			8,511,040			38,231,930



	(69,924	)		(203,386	)		(1,042,265	)		(662,014	)		(210,169	)		(295,044	)
	(64,516	)		(149,087	)		(7,354,966	)		(4,457,044	)		(6,917,324	)		(9,868,566	)
	—			—			—			—			(2	)		(1	)

	(134,440	)		(352,473	)		(8,397,231	)		(5,119,058	)		(7,127,495	)		(10,163,611	)




	1,069,978			13,648,657			10,429,925			32,392,444			3,205,384			12,304,196
	68,946			201,816			997,294			642,289			192,687			280,843
	(2,644,693	)		(6,263,385	)		(8,667,315	)		(11,600,746	)		(2,237,193	)		(5,625,876	)

	(1,505,769	)		7,587,088			2,759,904			21,433,987			1,160,878			6,959,163


	3,565,527			3,272,792			24,453,098			154,410,363			66,609,058			155,690,567
	64,348			147,918			7,350,714			4,446,944			6,106,588			8,526,760
	(399,178	)		(1,141,757	)		(32,377,906	)		(7,249,876	)		(34,248,064	)		(23,773,857	)

	3,230,697			2,278,953			(574,094	)		151,607,431			38,467,582			140,443,470


	—			—			—			—			—			100
	—			—			—			—			2			1

	—			—			—			—			2			101

	1,724,928			9,866,041			2,185,810			173,041,418			39,628,462			147,402,734

	1,952,769			9,651,699			(1,599,584	)		171,072,930			41,012,007			175,471,053
	12,920,491			3,268,792			180,008,005			8,935,075			431,741,923			256,270,870

$	14,873,260		$	12,920,491		$	178,408,421		$	180,008,005		$	472,753,930		$	431,741,923


	OPPORTUNISTIC HIGH INCOME CREDIT FUND¹
	PERIOD ENDED SEPTEMBER 30, 2021 (UNAUDITED)
Operations:
Net investment income	$	27,473
Net realized gain (loss) on investments		13,143
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		—
Net change in unrealized appreciation (depreciation) on investments		28,585
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(25	)

Net increase in net assets resulting from operations		69,176


Distributions to Shareholders:
Class M		(1	)
Class I		(27,497	)
Class I-2		—
Administrative Class		—
Plan Class		—

Total Distributions		(27,498	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		100
Shares issued in reinvestment of distributions		1
Cost of shares redeemed		—

Total Class M capital share transactions		101

Class I:
Proceeds from sale of shares		3,038,921
Shares issued in reinvestment of distributions		27,497
Cost of shares redeemed		—

Total Class I capital share transactions		3,066,418

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		3,066,519

Net increase (decrease) in net assets		3,108,197
Net assets at beginning of period		—

Net assets at end of period	$	3,108,197


STRATEGIC INCOME FUND						TOTAL RETURN BOND FUND						ULTRA SHORT BOND FUND
SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			YEAR ENDED MARCH 31, 2021			SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			YEAR ENDED MARCH 31, 2021			SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			YEAR ENDED MARCH 31, 2021

$	1,163,162		$	2,346,661		$	559,443,847		$	1,292,401,141		$	762,642		$	1,362,028
	(739,978	)		848,648			936,798,036			452,557,388			226,951			(2,185,391	)

	(94,111	)		(137,103	)		145,308,996			475,652,006			73,758			1,666,277
	158,795			2,723,287			138,162,164			719,966,446			(28,406	)		919,153

	(51,634	)		662,178			(48,334,653	)		(136,071,576	)		(150,174	)		396,651

	436,234			6,443,671			1,731,378,390			2,804,505,405			884,771			2,158,718



	(698,472	)		(790,679	)		(37,258,166	)		(568,049,079	)		(144,964	)		(271,401	)
	(429,020	)		(1,569,363	)		(344,549,963	)		(3,188,499,462	)		(626,073	)		(1,091,869	)
	—			—			(966,413	)		(6,121,053	)		—			—
	—			—			(9,415,421	)		(116,011,676	)		—			—
	—			—			(165,472,101	)		(1,638,444,684	)		—			—

	(1,127,492	)		(2,360,042	)		(557,662,064	)		(5,517,125,954	)		(771,037	)		(1,363,270	)




	5,441,010			12,357,964			860,914,226			2,796,785,096			12,258,388			93,315,754
	677,158			777,664			36,864,275			563,596,147			141,744			262,337
	(2,445,141	)		(8,819,965	)		(1,050,972,849	)		(4,976,311,646	)		(19,676,117	)		(60,144,904	)

	3,673,027			4,315,663			(153,194,348	)		(1,615,930,403	)		(7,275,985	)		33,433,187


	3,576,876			5,452,200			7,721,011,300			18,725,199,269			44,351,020			175,164,379
	424,595			1,563,564			310,908,978			2,889,943,410			625,680			1,090,987
	(1,565,383	)		(48,809,465	)		(7,445,251,820	)		(13,078,407,390	)		(39,100,345	)		(72,005,589	)

	2,436,088			(41,793,701	)		586,668,458			8,536,735,289			5,876,355			104,249,777


	—			—			92,670,385			130,514,638			—			—
	—			—			966,317			6,121,040			—			—
	—			—			(14,376,386	)		(12,135,534	)		—			—

	—			—			79,260,316			124,500,144			—			—


	—			—			185,067,878			672,097,128			—			—
	—			—			9,273,873			114,756,083			—			—
	—			—			(249,433,352	)		(376,823,384	)		—			—

	—			—			(55,091,601	)		410,029,827			—			—


	—			—			2,661,800,995			7,748,078,022			—			—
	—			—			153,021,608			1,525,649,602			—			—
	—			—			(3,584,049,900	)		(7,703,153,603	)		—			—

	—			—			(769,227,297	)		1,570,574,021			—			—

	6,109,115			(37,478,038	)		(311,584,472	)		9,025,908,878			(1,399,630	)		137,682,964

	5,417,857			(33,394,409	)		862,131,854			6,313,288,329			(1,285,896	)		138,478,412
	25,270,304			58,664,713			86,941,182,803			80,627,894,474			243,172,716			104,694,304

$	30,688,161		$	25,270,304		$	87,803,314,657		$	86,941,182,803		$	241,886,820		$	243,172,716



	UNCONSTRAINED BOND FUND

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			YEAR ENDED MARCH 31, 2021

Operations:
Net investment income		$	52,227,546		$	91,663,110
Net realized gain on investments			17,275,442			46,969,957
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(11,139,832)			17,884,589
Net change in unrealized appreciation on investments			856,945			144,997,021
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(4,994,486)			36,431,263

Net increase in net assets resulting from operations			54,225,615			337,945,940



Distributions to Shareholders:
Class M			(3,028,817)			(8,563,350)
Class I			(45,121,223)			(105,331,786)
Plan Class			(1,519,402)			(2,741,237)

Total Distributions			(49,669,442)			(116,636,373)



Capital Share Transactions:
Class M:
Proceeds from sale of shares			22,463,016			53,543,701
Shares issued in reinvestment of distributions			2,932,593			8,240,006
Cost of shares redeemed			(23,761,668)			(89,674,103)

Total Class M capital share transactions			1,633,941			(27,890,396)

Class I:
Proceeds from sale of shares			724,224,165			1,145,664,099
Shares issued in reinvestment of distributions			35,607,299			84,772,104
Cost of shares redeemed			(320,082,717)			(916,608,246)

Total Class I capital share transactions			439,748,747			313,827,957

Plan Class:
Proceeds from sale of shares			105,134,753			118,175,282
Shares issued in reinvestment of distributions			1,483,487			2,740,188
Cost of shares redeemed			(47,619,752)			(61,961,252)

Total Plan Class capital share transactions			58,998,488			58,954,218

Net increase in net assets derived from capital share transactions			500,381,176			344,891,779

Net increase in net assets			504,937,349			566,201,346
Net assets at beginning of period			3,593,527,618			3,027,326,272

Net assets at end of period		$	4,098,464,967		$	3,593,527,618


	ALPHATRAK 500 FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			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 Period	$	13.26		$	8.89		$	10.73		$	9.98		$	8.95		$	7.22


Income from Investment Operations:
Net investment income¹		0.05			0.18			0.31			0.22			0.09			0.12
Net realized and unrealized gain (loss)		1.12			5.14			(1.14	)		0.76			1.03			1.77

Total Income (Loss) from Investment Operations		1.17			5.32			(0.83	)		0.98			1.12			1.89


Less Distributions:
From net investment income		(0.08	)		(0.20	)		(0.30	)		(0.23	)		(0.09	)		(0.16	)
From net capital gains		—			(0.75	)		(0.71	)		—			—			—

Total Distributions		(0.08	)		(0.95	)		(1.01	)		(0.23	)		(0.09	)		(0.16	)

Net Asset Value, End of Period	$	14.35		$	13.26		$	8.89		$	10.73		$	9.98		$	8.95

Total Return		8.84	%²		60.83	%		(9.36	)%		9.93	%		12.52	%		26.38	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	45,479		$	36,770		$	29,066		$	21,202		$	18,149		$	20,714
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.90	%^3,4		1.26	%		1.04	%		1.39	%		0.90	%⁵		3.37	%
After expense waivers and reimbursements		0.90	%³		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		0.74	%³		1.57	%		2.80	%		2.15	%		0.90	%		1.49	%
Portfolio Turnover Rate		40	%²		60	%		89	%		140	%		115	%		505	%


	CORPORATE BOND FUND CLASS M^*

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	10.65			$	10.32			$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.11				0.28				0.88				0.41
Net realized and unrealized gain			0.24				0.50				0.06				0.34


Total Income from Investment Operations			0.35				0.78				0.94				0.75


Less Distributions:
From net investment income			(0.11	)			(0.40	)			(0.86	)			(0.41	)
From net capital gains			—				(0.05	)			(0.07	)			(0.03	)


Total Distributions			(0.11	)			(0.45	)			(0.93	)			(0.44	)


Net Asset Value, End of Period		$	10.89			$	10.65			$	10.32			$	10.31

Total Return			3.31	%²			7.55	%			9.19	%			7.75	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	6,835			$	8,190			$	876			$	803
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.90	%³			3.16	%			8.55	%			9.81	%³
After expense waivers and reimbursements			0.75	%³			0.75	%			0.75	%			0.75	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.05	%³			2.54	%			8.31	%			5.47	%³
Portfolio Turnover Rate			86	%²			84	%			65	%			159	%²


	CORPORATE BOND FUND CLASS I^*

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	10.65			$	10.32			$	10.31			$	10.00


Income from Investment Operations:
Net investment income¹			0.12				0.40				0.91				0.43
Net realized and unrealized gain			0.25				0.41				0.06				0.34


Total Income from Investment Operations			0.37				0.81				0.97				0.77


Less Distributions:
From net investment income			(0.13	)			(0.43	)			(0.89	)			(0.43	)
From net capital gains			—				(0.05	)			(0.07	)			(0.03	)


Total Distributions			(0.13	)			(0.48	)			(0.96	)			(0.46	)


Net Asset Value, End of Period		$	10.89			$	10.65			$	10.32			$	10.31

Total Return			3.44	%²			7.81	%			9.46	%			7.95	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	8,038			$	4,730			$	2,392			$	1,355
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.55	%³			3.54	%			8.30	%			9.56	%³
After expense waivers and reimbursements			0.50	%³			0.50	%			0.50	%			0.50	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.28	%³			3.64	%			8.62	%			5.72	%³
Portfolio Turnover Rate			86	%²			84	%			65	%			159	%²


	FLEXIBLE INCOME FUND CLASS M^*

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	9.86			$	9.82			$	10.79			$	10.00


Income from Investment Operations:
Net investment income¹			0.45				0.69				1.86				0.23
Net realized and unrealized gain (loss)			(0.21	)			0.34				(0.85	)			0.79


Total Income from Investment Operations			0.24				1.03				1.01				1.02


Less Distributions:
From net investment income			(0.45	)			(0.97	)			(1.98	)			(0.23	)
From net capital gains			—				(0.02	)			—				—


Total Distributions			(0.45	)			(0.99	)			(1.98	)			(0.23	)


Net Asset Value, End of Period		$	9.65			$	9.86			$	9.82			$	10.79

Total Return			2.44	%²			10.89	%			9.82	%			10.25	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	23,433			$	21,174			$	1			$	1
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.02	%³			1.28	%			3.76	%			9.18	%³
After expense waivers and reimbursements			0.80	%³			0.80	%			0.80	%			0.80	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			9.17	%³			7.01	%			17.64	%			6.76	%³
Portfolio Turnover Rate			104	%²			177	%			122	%			80	%²


	FLEXIBLE INCOME FUND CLASS I^*

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	9.86			$	9.82			$	10.78			$	10.00


Income from Investment Operations:
Net investment income¹			0.46				0.73				1.90				0.24
Net realized and unrealized gain (loss)			(0.21	)			0.30				(0.85	)			0.78

Total Income from Investment Operations			0.25				1.03				1.05				1.02


Less Distributions:
From net investment income			(0.46	)			(0.97	)			(2.01	)			(0.24	)
From net capital gains			—				(0.02	)			—				—

Total Distributions			(0.46	)			(0.99	)			(2.01	)			(0.24	)


Net Asset Value, End of Period		$	9.65			$	9.86			$	9.82			$	10.78

Total Return			2.56	%²			10.83	%			10.14	%			10.24	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	154,975			$	158,834			$	8,934			$	5,435
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.77	%³			1.01	%			3.51	%			8.82	%³
After expense waivers and reimbursements			0.55	%³			0.55	%			0.55	%			0.55	%³
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			9.38	%³			7.41	%			18.14	%			7.16	%³
Portfolio Turnover Rate			104	%²			177	%			122	%			80	%²


	FLOATING RATE INCOME FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			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 Period	$	9.95		$	8.98		$	9.90		$	10.06		$	10.06		$	9.80


Income from Investment Operations:
Net investment income¹		0.15			0.30			0.42			0.42			0.36			0.33
Net realized and unrealized gain (loss)		0.03			0.97			(0.92	)		(0.15	)		—			0.26


Total Income (Loss) from Investment Operations		0.18			1.27			(0.50	)		0.27			0.36			0.59


Less Distributions:
From net investment income		(0.15	)		(0.30	)		(0.42	)		(0.43	)		(0.36	)		(0.33	)


Net Asset Value, End of Period	$	9.98		$	9.95		$	8.98		$	9.90		$	10.06		$	10.06

Total Return		1.78	%²		14.30	%		(5.36	)%		2.72	%		3.61	%		6.08	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	15,014		$	13,815		$	6,084		$	11,229		$	15,802		$	25,072
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.98	%³		0.99	%		1.00	%		1.03	%		1.04	%		1.05	%
After expense waivers and reimbursements		0.90	%³		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.92	%³		3.05	%		4.27	%		4.23	%		3.53	%		3.28	%
Portfolio Turnover Rate		23	%²		38	%		51	%		52	%		71	%		40	%


	FLOATING RATE INCOME FUND CLASS I

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			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 Period	$	9.95		$	8.98		$	9.90		$	10.05		$	10.06		$	9.80


Income from Investment Operations:
Net investment income¹		0.16			0.32			0.44			0.45			0.38			0.35
Net realized and unrealized gain (loss)		0.03			0.97			(0.92	)		(0.15	)		(0.01	)		0.26


Total Income (Loss) from Investment Operations		0.19			1.29			(0.48	)		0.30			0.37			0.61


Less Distributions:
From net investment income		(0.16	)		(0.32	)		(0.44	)		(0.45	)		(0.38	)		(0.35	)


Net Asset Value, End of Period	$	9.98		$	9.95		$	8.98		$	9.90		$	10.05		$	10.06

Total Return		1.89	%²		14.52	%		(5.17	)%		3.03	%		3.72	%		6.29	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	457,740		$	417,927		$	250,187		$	262,407		$	237,759		$	206,276
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.68	%^3,4		0.70	%⁴		0.70	%		0.71	%		0.72	%		0.75	%
After expense waivers and reimbursements		0.68	%³		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.14	%³		3.25	%		4.47	%		4.50	%		3.77	%		3.48	%
Portfolio Turnover Rate		23	%²		38	%		51	%		52	%		71	%		40	%


	FLOATING RATE INCOME FUND PLAN CLASS^*

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			PERIOD ENDED MARCH 31, 2021
Net Asset Value, Beginning of Period	$	9.95		$	9.97


Income from Investment Operations:
Net investment income¹		0.17			0.05
Net realized and unrealized gain (loss)		0.03			(0.02	)


Total Income from Investment Operations		0.20			0.03


Less Distributions:
From net investment income		(0.17	)		(0.05	)


Net Asset Value, End of Period	$	9.98		$	9.95

Total Return		1.99	%²		0.31	%²

Ratios/Supplemental Data:
Net Assets, end of period	$	102	³	$	100	³
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.66	%⁴		0.62	%⁴
After expense waivers and reimbursements		0.60	%⁴		0.56	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.38	%⁴		3.15	%⁴
Portfolio Turnover Rate		23	%²		38	%²


	HIGH YIELD BOND FUND CLASS M

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020			YEAR ENDED MARCH 31, 2019¹			YEAR ENDED MARCH 31, 2018¹			YEAR ENDED MARCH 31, 2017¹
Net Asset Value, Beginning of Period	$	10.57		$	9.27		$	9.66		$	9.55		$	9.60		$	9.09


Income from Investment Operations:
Net investment income²		0.18			0.36			0.40			0.41			0.34			0.34
Net realized and unrealized gain (loss)		0.17			1.31			(0.39	)		0.11			(0.05	)		0.50


Total Income from Investment Operations		0.35			1.67			0.01			0.52			0.29			0.84


Less Distributions:
From net investment income		(0.18	)		(0.37	)		(0.40	)		(0.41	)		(0.34	)		(0.33	)


Net Asset Value, End of Period	$	10.74		$	10.57		$	9.27		$	9.66		$	9.55		$	9.60

Total Return		3.34	%³		18.14	%		(0.06	)%		5.57	%		3.01	%		9.35	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	207,006		$	198,337		$	126,587		$	187,339		$	211,021		$	344,328
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.90	%⁴		0.91	%		0.93	%		0.92	%		0.91	%		0.89	%
After expense waivers and reimbursements		0.85	%⁴		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.36	%⁴		3.53	%		4.07	%		4.33	%		3.47	%		3.55	%
Portfolio Turnover Rate		48	%³		108	%		181	%		120	%		167	%		185	%


	HIGH YIELD BOND FUND CLASS I

	SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED)				YEAR ENDED MARCH 31, 2021				YEAR ENDED MARCH 31, 2020				YEAR ENDED MARCH 31, 2019¹				YEAR ENDED MARCH 31, 2018¹				YEAR ENDED MARCH 31, 2017¹

Net Asset Value, Beginning of Period		$	10.57			$	9.26			$	9.65			$	9.55			$	9.60			$	9.09


Income from Investment Operations:
Net investment income²			0.19				0.39				0.42				0.44				0.36				0.36
Net realized and unrealized gain (loss)			0.16				1.31				(0.39	)			0.09				(0.05	)			0.50


Total Income from Investment Operations			0.35				1.70				0.03				0.53				0.31				0.86


Less Distributions:
From net investment income			(0.19	)			(0.39	)			(0.42	)			(0.43	)			(0.36	)			(0.35	)


Net Asset Value, End of Period		$	10.73			$	10.57			$	9.26			$	9.65			$	9.55			$	9.60


Total Return			3.37	%³			18.56	%			0.19	%			5.72	%			3.27	%			9.62	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	610,825			$	572,082			$	289,352			$	293,241			$	393,368			$	532,071
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.61	%⁴			0.61	%			0.62	%			0.63	%			0.63	%			0.62	%
After expense waivers and reimbursements			0.60	%⁴			0.60	%			0.60	%			0.60	%			0.60	%			0.60	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.61	%⁴			3.77	%			4.33	%			4.58	%			3.74	%			3.78	%
Portfolio Turnover Rate			48	%³			108	%			181	%			120	%			167	%			185	%